UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
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Investment Company Act file number: | | 811-03623 |
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Exact name of registrant as specified in charter: | | The Prudential Series Fund |
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Address of principal executive offices: | | Gateway Center 3, 100 Mulberry Street, Newark, New Jersey 07102 |
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Name and address of agent for service: | | Deborah A. Docs Gateway Center 3, 100 Mulberry Street, Newark, New Jersey 07102 |
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Registrant’s telephone number, including area code: | | 973-367-7521 |
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Date of fiscal year end: | | 12/31/2013 |
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Date of reporting period: | | 12/31/2013 |
Item 1 – Reports to Stockholders
THE PRUDENTIAL SERIES FUND
ANNUAL REPORT Ÿ DECEMBER 31, 2013
This report is one of several that provides financial information about certain investment choices available under the variable annuity or variable life insurance contract you own. 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 annuity or variable life insurance contract prospectus to determine which portfolios are available to you.
The views expressed in this report and information about the Fund’s portfolio holdings are for the period covered by this report and are subject to change thereafter.
Please note that this document may include prospectus supplements that are separate from and not a part of this report. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.
For information regarding enrollment in the e-Delivery program, please see the inside front cover of this report.
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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 |
Value Portfolio |
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The Prudential Series Fund Table of Contents | | Annual Report | | December 31, 2013 |
| n | | LETTER TO CONTRACT OWNERS |
| n | | PRESENTATION OF PORTFOLIO HOLDINGS |
| n | | FEES AND EXPENSES TABLE |
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| Section A | | Schedule of Investments and Financial Statements |
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| | | Conservative Balanced Portfolio | | A1 |
| | | Diversified Bond Portfolio | | A31 |
| | | Equity Portfolio | | A61 |
| | | Flexible Managed Portfolio | | A65 |
| | | Global Portfolio | | A93 |
| | | Government Income Portfolio | | A100 |
| | | High Yield Bond Portfolio | | A108 |
| | | Jennison Portfolio | | A128 |
| | | Money Market Portfolio | | A132 |
| | | Natural Resources Portfolio | | A137 |
| | | Small Capitalization Stock Portfolio | | A142 |
| | | Stock Index Portfolio | | A153 |
| | | Value Portfolio | | A163 |
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| Section B | | Notes to Financial Statements | | |
| Section C | | Financial Highlights | | |
| Section D | | Report of Independent Registered Public Accounting Firm | | |
| Section E | | 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.
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The Prudential Series Fund Letter to Contract Owners | | Annual Report | | December 31, 2013 |
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. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Robert F. O’Donnell
President,
The Prudential Series Fund | January 31, 2014 |
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The Prudential Series Fund, Conservative Balanced Portfolio | | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
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| Average Annual Total Returns | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 16.15 | % | | | 12.63 | % | | | 6.43 | % |
Blended Index | | | 14.31 | | | | 10.88 | | | | 5.95 | |
S&P 500 Index | �� | | 32.37 | | | | 17.93 | | | | 7.40 | |
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, 2013, the Conservative Balanced Portfolio returned 16.15%.
The Portfolio is subadvised by Prudential Investment Management Inc. and Quantitative Management Associates LLC. The Portfolio’s investment objective is total investment return consistent with a conservatively managed diversified portfolio.
Historically strong equity market gains drove the Portfolio’s gain, despite a weak year for fixed income markets. The Portfolio topped its benchmark due to the tactical asset allocation decision to overweight stocks all year combined with solid active returns in equities and fixed income. In addition, cutting bond allocations and adding to cash helped returns in the second half of 2013 as bond yields rose, prices fell, and bonds slipped to negative returns.
Despite repeated calls by some for a correction in equity prices throughout 2013, as well as periodic chaos in Washington, the S&P 500 went nearly straight up in 2013, providing a total return over 30% without a single 5% pullback. Evidence mounted through the year that the U.S. economy was finally gaining some traction and breaking out of its weak 2% average annual Gross Domestic Product (GDP) growth pattern that had prevailed since 2009. By the third quarter, a reduced fiscal drag, recovery in housing, autos and other consumer goods, a highly stimulative Federal Reserve policy, contributions from a revived U.S. energy sector, and inventory accumulation resulted in a strong 4.1% GDP growth. Although there is no guarantee that growth will continue at this robust pace, consensus expectations have been rising closer to the 3%-plus average of the post-war period after wallowing for years at 2% or worse.
Equity returns were driven by rising Price-Earnings (P/E) multiples in 2013, since market returns were far above the more modest 6% earnings growth rate. Investors cannot count on multiples increasing indefinitely, but today’s levels are roughly in line with historical averages, and well below levels that led to bear markets. Returns in 2014 and over the next few years are more likely to come from sales and earnings growth rather than the rocket fuel of higher P/E ratios. But if the economy continues to recover and drive growth, returns in the vicinity of the historical average of around 10% may not be unreasonable.
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 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 advisers and Prudential Financial companies.
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| The Prudential Series Fund, Diversified Bond Portfolio | | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
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| Average Annual Total Returns | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | -0.71 | % | | | 9.50 | % | | | 6.28 | % |
Barclays U.S. Aggregate Bond Index | | | -2.02 | | | | 4.44 | | | | 4.55 | |
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, 2013, the Diversified Bond Portfolio declined by 0.71%.
The Portfolio is subadvised by Prudential Investment Management, Inc. The Portfolio’s investment objective is a high level of income over a longer term while providing reasonable safety of capital.
For the most part, the fixed-income markets were a challenging place to be in 2013, particularly the most rate-sensitive sectors. U.S. Treasury yields began a steep ascent in mid-May, after the Federal Reserve (Fed) indicated that it could begin to scale back its massive quantitative easing (QE) program later in the year, if warranted by the economic data. The rise in yields was briefly interrupted in September, after the Fed surprised the markets by postponing action on QE. However, improving economic data brought consideration of tapering QE back to the front burner late in the year, and the Fed finally pulled the trigger in December, announcing a $10 billion-per-month reduction of its bond-buying campaign. Consequently, Treasury yields finished the year near their highs, and government bond prices struggled, especially those with longer maturities. The yield of the bellwether 10-year Treasury note ended the year at 3.14%, versus just 1.78% on the final day of 2012. However, other fixed-income sectors, such as high-yield corporate bonds, short-term investment-grade corporates, and bank loans, finished the year with positive returns.
The Portfolio outperformed its benchmark, the Barclays Capital U.S. Aggregate Bond Index (the Index), which declined by 2.02%. Security selection was the largest contributor to performance, adding value in all but the second quarter. The most notable successes here were in subprime non-agency mortgage backed securities (MBS), high-yield and investment-grade corporates, and emerging markets (EM) bonds.
Sector allocation was also a contributor to performance. The fund benefited from positions in a number of non-benchmark sectors — most notably, high-yield bonds and bank loans, both of which delivered positive returns — and from an underweighting in U.S. Treasury securities. An allocation to EM debt detracted from performance for the year overall, although a stronger second half of the year partially offset losses in the first half for this group.
Non-dollar exposure detracted from performance results for the full year, most notably from January through early July, when there was a strong rally in the U.S. dollar. Subsequently, the dollar reversed its strengthening trend due to the postponement of the anticipated QE taper and expectations of successful budget and debt ceiling negotiations around the end of the third quarter.
Duration and curve positioning detracted from performance. The Portfolio’s longer-duration bias had a negative impact for much of the May through August period, when rates climbed steadily, but contributed in September and October, after the Fed made its no-taper call, and was a positive contributor for the third quarter as a whole.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
Barclays U.S. Aggregate Bond Index is an unmanaged index comprised of more than 5,000 government and corporate bonds. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
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| The Prudential Series Fund, Equity Portfolio | | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
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| Average Annual Total Returns | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio: Class I | | | 33.53 | % | | | 17.77 | % | | | 7.77 | % |
Portfolio: Class II | | | 32.99 | | | | 17.30 | | | | 7.34 | |
Russell 1000® Index | | | 33.11 | | | | 18.59 | | | | 7.78 | |
S&P 500 Index | | | 32.37 | | | | 17.93 | | | | 7.40 | |
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, 2013, the Equity Portfolio Class I shares returned 33.53% and Class II shares returned 32.99%.
The Portfolio’s investment objective is long-term growth of capital. It is subadvised by Jennison Associates LLC (Jennison).
The U.S. equity markets, as measured by the broad market indexes, realized substantial gains for the year. The S&P 500 Index (the “Index”) rose 32.37%, with double-digit gains in all sectors. Consumer discretionary, healthcare, and industrials had the strongest returns; those in telecommunication services and utilities were more modest. The Portfolio performed in line with the Index.
Stock selection in information technology, financials, and industrials and an overweight position in consumer discretionary contributed most to relative returns. LinkedIn, Mastercard, Google, and Microsoft were key contributors in information technology. Morgan Stanley and MetLife led contributors in financials while Boeing led in industrials. LinkedIn is a leading global online professional network that provides what Jennison considers unique access to a large database of active and passive job candidates. Adjacent growth opportunities in marketing services and professional publishing are added potential drivers in early phases of development. MasterCard, the No. 2 payment system in the U.S., is likely to continue to benefit from the long-term shift from cash to electronic credit/debit transactions.
During the period, Morgan Stanley continued to make progress on several fronts; it announced an unexpected share buyback, anticipates being compliant with the Basel III supplementary leverage ratios by 2015, enjoyed steady growth in its wealth management division, and reported that it is on track to achieve expense reduction targets. Boeing reported several strong successive quarters, putting behind it a rocky start to the year as a result of 787 battery problems. Margins have been particularly strong as a result of higher production rates in high margin legacy programs and lower than expected research and development costs. Costs of 787 production also have continued to decline and free cash flow has consistently exceeded expectations.
Individual stock selection in materials and consumer discretionary was most detrimental to relative performance. An underweight in industrials and an overweight in energy also detracted. In materials, the gold-mining companies Kinross Gold and Goldcorp were the source of weakness, due largely to declining gold prices. Those mining companies that can get their costs under control now — and Jennison believes Goldcorp has demonstrated that it is able to — will most likely benefit from significant operating leverage when gold prices finally rise again.
JCPenney was the key detractor in consumer discretionary. JCPenney has been in the midst of a turnaround and began to show signs that it had reached a turning point late in the period, in Jennison’s view. Shares probably declined on profit taking as positive indicators accumulated.
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 adviser and a Prudential Financial company.
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| The Prudential Series Fund, Flexible Managed Portfolio | | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
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| Average Annual Total Returns | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 20.15 | % | | | 13.82 | % | | | 7.05 | % |
Blended Index | | | 17.67 | | | | 12.46 | | | | 6.38 | |
S&P 500 Index | | | 32.37 | | | | 17.93 | | | | 7.40 | |
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 ending December 31, 2013, the Flexible Managed Portfolio returned a 20.15%.
The Portfolio is subadvised by Prudential Investment Management Inc. and Quantitative Management Associates LLC. The Portfolio’s investment objective is total investment return consistent with an aggressively managed diversified portfolio.
Historically strong equity market gains drove the Portfolio’s gain, despite a weak year for fixed income markets. The Portfolio topped its benchmark with the tactical asset allocation decision to overweight stocks all year combining with solid active returns in equities and fixed income to deliver value-added to the portfolio. In addition, cutting bond allocations and adding to cash helped returns in the second half of 2013 as bond yields rose, prices fell, and bonds slipped to negative returns.
Despite repeated calls by some in the media for a correction in equity prices throughout 2013 and despite periodic chaos in Washington, the S&P 500 went nearly straight up in 2013, providing a total return over 30% without even one 5% pullback. The evidence mounted throughout the year that the U.S. economy was finally gaining some traction and breaking out of its weak, 2% average annual GDP growth pattern that prevailed since 2009. By Q3, a reduced fiscal drag, recovery in housing, autos and other consumer goods, a highly stimulative Federal Reserve policy, contributions from a revived U.S. energy sector and inventory accumulation resulted in a strong 4.1% GDP growth. Although there is no guarantee that growth will continue at this robust pace, consensus expectations have been rising closer to the 3%+ average of the post-war period after wallowing for years at 2% or worse.
Equity returns were driven by rising Price-Earnings (P/E) multiples in 2013, since market returns were far above the more modest 6% earnings growth rate. Investors cannot count on multiples increasing indefinitely, but today’s levels are roughly in line with historical averages, and well below levels that led to bear markets. Returns in 2014 and over the next few years are more likely to come from sales and earnings growth rather than the rocket fuel of higher P/E ratios. But if the economy continues to recover and drive growth, returns in the vicinity of the historical average of around 10% are not unreasonable.
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 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.
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| The Prudential Series Fund, Global Portfolio | | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
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| Average Annual Total Returns | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 27.29 | % | | | 15.57 | % | | | 7.06 | % |
MSCI World Index (GD) | | | 27.37 | | | | 15.68 | | | | 7.56 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not 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, 2013, the Global Portfolio rose 27.29%.
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. The Portfolio is co-managed by five subadvisers: Brown Advisory (Brown), LLC, (U.S. growth stocks), T. Rowe Price Associates, Inc. (U.S. value stocks), William Blair & Company LLC (international growth stocks), LSV Asset Management (international value stocks), and Quantitative Management Associates LLC. Brown replaced Marsico Capital Management, LLC early in 2013.
The MSCI World Index (GD) (the Index) rose 27.37%. Over the course of the year, investors came to realize that the economies of developed countries were in a sustained, albeit slow, recovery and that of these the United States was growing most rapidly. Nonetheless, the U.S. Federal Reserve was not going to allow interest rates to rise sharply and choke off the recovery. This set the stage for very strong domestic stock markets and sound international markets. The broad U.S. stock market, represented by the Russell 3000 Index, returned 33.55%, while the MSCI EAFE Index of other developed countries was about 10 percentage points lower, still a very good return.
The LSV International Value segment was the top contributor to the Portfolio’s performance relative to the Index due to strong stock selection in the financials, materials, and energy sectors. The Portfolio was also helped by an overweight in France compared with the Index, but hurt by an underweight in Japan, both of which had above-average returns for the international developed country markets.
The international growth segment of the Portfolio, managed by William Blair & Company, underperformed its target, primarily because of poor stock selection in the healthcare, consumer staples, and energy sectors. This was partially offset by good stock selection within the technology and consumer discretionary sectors.
None of the four subadvisers use derivative instruments as a principal investment strategy. The types of derivatives employed most often are stock futures contracts (to help manage cash flows in the Portfolio) and currency forwards and futures contracts (to hedge a portion of the Portfolio’s currency exposure).
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.
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| The Prudential Series Fund, Government Income Portfolio | | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
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| Average Annual Total Returns | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | -2.34 | % | | | 4.65 | % | | | 4.26 | % |
Barclays Government Bond Index | | | -2.60 | | | | 2.26 | | | | 4.14 | |
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, 2013, the Government Income Portfolio returned -2.34%.
The Portfolio is subadvised by Prudential Investment Management, Inc., and its investment objective is a high level of income over the long term consistent with the preservation of capital.
U.S. Treasury yields began a steep ascent in mid-May, after the Federal Reserve (Fed) indicated that it could begin to scale back its massive quantitative easing (QE) program later in the year, if warranted by the economic data. The rise in yields was briefly interrupted in September, after the Fed surprised the markets by postponing action on QE. However, improving economic data brought consideration of tapering QE back to the front burner late in the year, and the Fed finally pulled the trigger in December, announcing a $10 billion-per-month reduction of its bond-buying campaign. Consequently, Treasury yields finished the year near their highs, and government bond prices struggled, especially those with longer maturities. The yield of the bellwether 10-year Treasury note ended the year at 3.14%, versus just 1.78% on the final day of 2012.
The Portfolio outperformed its benchmark, the Barclays Capital Government Bond Index (the Index). Sector allocation was the primary driver of performance. U.S. Treasuries were outperformed by most other high-quality fixed-income sectors, including commercial mortgage-backed securities (CMBS) and agency mortgages. Consequently, the Portfolio’s overweights in these high-quality sectors and its underweighting in Treasuries contributed to performance versus the index.
Security selection also contributed to performance, most notably within mortgage-backed securities. The Portfolio was overweight in CMBS and agency mortgages. Investment grade corporate bonds were an out-of-benchmark position.
The Portfolio’s exposure to the Prudential Core Short-Term Bond Fund was a key contributor to performance, as this Fund’s net asset value rose throughout much of the year.
These positive factors were modestly offset by security selection within the CMBS and MBS sectors, as the Portfolio had a higher-quality bias at a time when securities of lower credit quality performed best.
Tactical duration strategies and yield curve positioning that were partially implemented via interest rate swaps (derivatives) modestly benefited performance. (Duration measures the approximate price change of a bond portfolio for a given change in interest rates.)
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
Barclays Government Bond Index is a weighted unmanaged index comprised of securities issued or backed by the U.S. Government, its agencies, and instrumentalities with a remaining maturity of one to 30 years. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
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| The Prudential Series Fund, High Yield Bond Portfolio | | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
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| Average Annual Total Returns | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 7.26 | % | | | 16.70 | % | | | 8.06 | % |
Barclays U.S. High Yield 1% Issuer Capped Index | | | 7.48 | | | | 18.99 | | | | 8.52 | |
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, 2013, the High Yield Bond Portfolio returned 7.26%.
The Portfolio is subadvised by Prudential Investment Management, Inc., and its investment objective is high total return.
High-yield bonds were a bright spot on the U.S. and European fixed-income landscape in 2013. In the U.S., Treasury yields began a steep ascent in mid-May, after the Federal Reserve (Fed) indicated that it could begin to scale back its massive quantitative easing program later in the year — a forecast the Fed followed through on in December. European sovereign yields increased around the same time. As a result of rising rates, government bond prices struggled during the year both in the U.S. and Europe. However, high-yield bonds are less affected by movements in interest rates and are more sensitive to corporate profits and credit default conditions. Both of these factors remained generally supportive during the year. Additionally, high-yield bond prices frequently move in tandem with stocks, which enjoyed sizable gains in Europe and especially the U.S. Consequently, many high-yield bond benchmarks closed the year near their highs.
The U.S. economic recovery continued to make progress, albeit at a pace that fell considerably short of most previous recoveries. Meanwhile, the euro zone officially emerged from its lengthy recession in the second quarter of 2013, although data showed the economies of core nations Germany and France faltering again in the third quarter. Perhaps in response to this disappointing news, the European Central Bank implemented a surprise cut in short-term interest rates in November, which helped keep equity and high-yield bond prices on an upward trajectory.
During 2013, issuance of high-yield bonds continued at a record pace in Europe, where many companies found the market an attractive source of financing amid continued retrenching by the region’s banks. In the U.S., issuance of junk bonds was robust but fell short of the record set in 2012.
The Portfolio underperformed its benchmark, the Barclays U.S. High Yield 1% Issuer Capped Index (the Index), which returned 7.48%. An emphasis on higher quality and shorter duration relative to the Index helped the Portfolio, as longer-duration bonds underperformed in an environment of sharply higher interest rates.
The Portfolio was aided by both sector allocation and security selection. In the former category, overweighted exposure to information technology and food retailers helped, as did an underweighting in pipelines. Conversely, underweightings in insurance and consumer retailing detracted somewhat, along with an overweighting in electric utilities.
Looking at security selection, our picks in technology and gaming were strong contributors, somewhat offset by positioning in the energy and media/entertainment groups.
The Portfolio makes use of derivatives, including credit default swaps, to increase or hedge exposure to individual issuers and the broader market. Use of the CDX, a credit default swap index, provided market exposure during periods of lower liquidity, partially offsetting the drag from cash. Cash held for liquidity purposes in short-term, low-rate securities created a drag on performance during the strong rally.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
Barclays 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 | | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
| | | | | | | | | | | | |
| Average Annual Total Returns | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio: Class I | | | 37.66 | % | | | 20.76 | % | | | 8.72 | % |
Portfolio: Class II | | | 37.11 | | | | 20.30 | | | | 8.28 | |
Russell 1000® Growth Index | | | 33.48 | | | | 20.39 | | | | 7.83 | |
S&P 500 Index | | | 32.37 | | | | 17.93 | | | | 7.40 | |
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.
For the year ended December 31, 2013, the Jennison Portfolio Class I shares returned 37.66% and Class II shares returned 37.11%.
The investment objective of the Portfolio is long-term growth of capital. The Portfolio is built from the bottom up, with stocks selected one at a time, based on fundamental analysis of individual companies. The Portfolio is subadvised by Jennison Associates LLC (Jennison).
Consumer discretionary positions, which hold a major weight in the Portfolio, were strong contributors to return as both an overweight and stock selection were beneficial. Amazon.com accelerated its business investment to drive robust longer-term growth not only in its core retail business but through the proliferation of digital commerce via the mobile market. Substantial revenue growth reflected its efforts. Gross bookings growth increased at online travel company Priceline.com, which Jennison believes is poised to benefit from the long-term shift to online travel spending.
Healthcare holdings, in particular biopharmaceutical companies, which held a meaningful weight in the Portfolio, were strong contributors to return. The Food and Drug Administration (FDA) approved Biogen Idec’s Tecfidera for multiple sclerosis. Jennison believes the drug’s ease of use could support broad adoption and potential market leadership. Tecfidera may also eventually treat other neurodegenerative diseases such as ALS and Parkinson’s. The FDA also approved Gilead Sciences’ Sovaldi for the treatment of hepatitis C. Sovaldi could shorten treatment duration, and trial data indicate that it is significantly more effective than current regimens. Gilead’s oncology pipeline also looks promising.
Stock selection was beneficial in information technology. MasterCard’s strong revenue and earnings were driven by strong growth in global dollar volume and processed transactions. Jennison expects MasterCard to continue to benefit from the long-term shift from cash to electronic credit/debit transactions. Google performed well, reflecting its competitive position, strong advertising revenue, and YouTube income-generating opportunities. LinkedIn’s revenue and earnings exceeded consensus expectations significantly. The company is a leading global online professional network that provides what Jennison considers unique access to a scale database of active and passive job candidates. Adjacent growth opportunities in marketing services and professional publishing are added potential drivers in early phases of development. Facebook, whose ad revenue advanced strongly, was driven by gains in mobile. Jennison views Facebook as the world’s preeminent Internet-based social network with a dominance Jennison believes no rival can easily match and a network effect that creates formidable barriers to entry.
Other technology holdings detracted from performance. Rackspace Hosting’s difficulties were largely related to changes in its sales force structure and concerns that its business is being commoditized. Rackspace provides Web and cloud-hosting services to more than 180,000 enterprise customers. VMware was hurt by uncertainty about the timing and pace of new product revenue acceleration. Jennison eliminated the Portfolio’s position in Rackspace.
In industrials, Boeing reported strong earnings-per-share (EPS), revenue, cash flow, and margins. Of particular note, the profitability of the company’s 787 Dreamliner improved, due to an accelerated production rate.
Portfolio holdings in energy and materials posted solid double-digit returns but lagged the returns of the benchmark sectors.
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.
Jennison Associates LLC is a registered investment adviser and a Prudential Financial company.
| | |
| The Prudential Series Fund, Money Market Portfolio | | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
| | | | | | | | | | | | | | | | |
| Average Annual Total Returns | | 7-Day*
Current
Net Yield | | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 0.00 | % | | | 0.00 | % | | | 0.09 | % | | | 1.67 | % |
Lipper (VIP) Money Market Funds Avg. | | | N/A | | | | -0.03 | | | | 0.02 | | | | 1.51 | |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
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, 2013, the Money Market Portfolio returned 0.00%.
The Portfolio is subadvised by Prudential Investment Management, Inc. The investment objective is to seek maximum current income consistent with the stability of capital and maintenance of liquidity.
The seven-day current yield and total return of the Portfolio remained near zero during the period. Throughout the year, the yields on all money market funds in the United States stayed at historically low levels, as the Federal Reserve (Fed) maintained its efforts to keep rates low in hopes of fueling economic growth. In mid-spring, comments by Fed Chairman Ben Bernanke suggesting the Fed might begin winding down its bond-buying program sooner rather than later, drove longer term rates higher. Overall, the markets remained volatile in anticipation of Fed tapering and in response to fiscal gridlock in Washington, D.C., which emerged early in the fourth quarter.
During the reporting period, the three-month LIBOR (the interest rate at which banks borrow funds from other banks) declined from 0.30% to 0.25% as it was evident that global efforts to support the banking system would continue. The Federal Funds effective rate ended the year at 0.07%.
On average, the Portfolio’s weighted average maturity was well within its permitted limits as a flat yield curve and scarce supply provided few investment opportunities. Corporations took advantage of low interest rates to issue debt with maturities of longer than one year. At the same time, demand was strong for a limited number of shorter-term issues. As corporate spreads (the difference in yield between corporate bonds and government bonds of similar maturities) narrowed, the Portfolio focused on increasing its exposure to government securities. In the latter part of the year, fiscal policy antics in Washington, D.C. disrupted the short end of the U.S. treasury market. U.S. treasuries maturing in October and November rose in yield, as investors avoided holding any security likely to defer payment, temporarily creating a buying opportunity for the Portfolio.
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 270 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 12/31/2013. |
The Lipper Variable Insurance Products (VIP) Funds Average is calculated by Lipper Analytical Services, Inc., and reflects 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 the Money Market Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Portfolio seeks to preserve the value of your investment at $10.00 per share, it is possible to lose money by investing in the Portfolio.
| | |
| The Prudential Series Fund, Natural Resources Portfolio | | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
| | | | | | | | | | | | | | | | |
| Average Annual Total Returns | | 1-Year | | | 5-Year | | | 10-Year | | | Since
Inception | |
Portfolio: Class I | | | 10.23 | % | | | 14.56 | % | | | 12.61 | % | | | N/A | |
Portfolio: Class II | | | 9.76 | | | | 14.09 | | | | N/A | | | | 10.87 | % |
Lipper (VUF) Natural Resources Funds Index | | | 14.33 | | | | 13.33 | | | | 9.64 | | | | 9.21 | |
S&P 500 Index | | | 32.37 | | | | 17.93 | | | | 7.40 | | | | 7.81 | |
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 II) inception: 4/28/2005. 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 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.
$10,000 INVESTED OVER 10 YEARS1
For the year ended December 31, 2013, the Natural Resources Portfolio Class I shares gained 10.23% and Class II shares gained 9.76%.
The Portfolio’s subadviser is Jennison Associates LLC (Jennison). The Portfolio’s investment objective is long-term growth of capital.
U.S. equity markets posted strong gains in 2013: the broad market Russell 3000® Index rose 33.55%, while the S&P 500 Index advanced 32.37% for the year. All 10 sectors of the S&P index showed positive returns, with the most significant gains coming from financials and healthcare. The Natural Resources Portfolio posted a solid gain for the period, but underperformed the broad market indexes.
Ambiguity over the prospects for global economic growth, against a backdrop of continuing political tensions in the Middle East and Africa, heightened the level of uncertainty in the natural resources sector. Toward the end of the year, signs of strengthening economic activity, particularly in the U.S., helped to buoy the energy markets. However, precious metals prices continued to slide, with gold marking its first annual decline in 13 years.
Metals and mining names led Portfolio detractors for the year. Eldorado Gold declined with the price of gold bullion. Additionally, the company operates in challenging environments in Greece, Turkey, and China and has experienced slippage in some of the projects in its pipeline. Nevertheless, Jennison continues to like Eldorado’s geographic diversity and the quality of its assets.
Shares of London-based gold exploration and mining company Randgold Resources also fell along with the price of gold. Heightened sensitivity to rising political tensions in Africa weighed on performance. While Jennison continues to monitor these developments, it expects Randgold will continue to be successful in managing its operations through challenging environments as it has in the past. Silver Wheaton was another holding that lost ground amid declining precious metal prices. However, Jennison continues to like the company’s business model of purchasing silver by-product from non-silver mines at a fixed unit cost.
Energy companies dominated the year’s largest positive contributors, led by some of the Portfolio’s highest conviction holdings. Dril-Quip’s solid performance was driven by strong eastern hemisphere, revenue growth, specifically Asia Pacific, and continued improvements in operating margins. With persistent order backlog, robust cash flow, and good growth prospects, Jennison continues to like the company. Halliburton benefited from improving margins in North America and healthy performance in the eastern hemisphere. Jennison sees Halliburton as attractively valued and believes the company’s current programs focused on cost cutting and efficiency gains could amplify expected North American and international growth in the months ahead.
Shares of independent oil and gas E&P EOG Resources saw a particularly strong third quarter before pulling back a bit after mid-October. Given the depth of its portfolio, the health of its balance sheet, and its stepped-up cash flow, Jennison believes EOG has the potential to command a premium and outperform irrespective of oil and gas prices.
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 Underlying Funds (VUF) Natural Resources Funds Index is calculated by Lipper Analytical Services, Inc. and 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.
Jennison Associates LLC is a registered investment adviser and a Prudential Financial company.
| | |
| The Prudential Series Fund, Small Capitalization Stock Portfolio | | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
| | | | | | | | | | | | |
| Average Annual Total Returns | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 40.95 | % | | | 20.99 | % | | | 10.32 | % |
S&P SmallCap 600 Index | | | 41.31 | | | | 21.37 | | | | 10.65 | |
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, 2013, the Small Capitalization Stock Portfolio returned 40.95%.
The Portfolio is subadvised by Quantitative Management Associates LLC (QMA). The Portfolio’s investment objective is long-term growth of capital.
U.S. market performance was strong during 2013. Steady, albeit moderate, growth in the U.S. economy, positive news on the employment front, a more conciliatory environment in Washington regarding the budget, and a Federal Reserve that continues to be accommodative with only moderate tapering buoyed the market. In this type of environment, investors were willing to hold riskier assets in their portfolio in lieu of more defensive, stable, high quality assets. Cyclical sectors outperformed, as did lower quality stocks.
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 SmallCap 600 Index. It underperformed the S&P 600 Index by a modest amount in 2013.
During the year, the Portfolio had a small exposure to derivative instruments to enhance its liquidity, but the position 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.
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 | | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
| | | | | | | | | | | | |
| Average Annual Total Returns | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 31.89 | % | | | 17.58 | % | | | 7.11 | % |
S&P 500 Index | | | 32.37 | | | | 17.93 | | | | 7.40 | |
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, 2013, the Prudential Stock Index Portfolio returned 31.89%.
Quantitative Management Associates LLC subadvises the Portfolio which is an index fund that uses a risk-controlled quantitative approach that seeks to effectively track the performance of its benchmark, the S&P 500 Index (the “Index”). While Prudential is one of the components of the S&P 500, the Portfolio cannot hold shares of Prudential Financial, Inc. because of compliance restrictions. The Portfolio’s investment objective is to achieve investment results that generally correspond to the performance of publicly traded common stocks.
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 Index. In 2013, the Portfolio modestly underperformed the Index which returned 32.37%.
U.S. market performance was strong in 2013. The market was buoyed by steady, albeit moderate, growth in the U.S. economy, positive news on the employment front, a more conciliatory environment in Washington regarding the budget, and a Federal Reserve that continues to be accommodative although a measured tapering of its bond-buying program was announced shortly before the period ended. In this environment, investors were willing to hold riskier assets in their portfolio in lieu of more defensive, stable, high quality assets.
All sectors in the Index finished the year firmly in positive territory. Cyclical sectors outperformed led by consumer discretionary, healthcare and industrials. Interest rate sensitive sectors including utilities and telecommunication services trailed although both posted double-digit returns. Lower quality stocks outperformed higher quality as investors became more comfortable with holding riskier assets. Small-capitalization stocks outperformed mid- and large-capitalization stocks. Often during a recovery, stocks of smaller firms, and particularly rapidly growing smaller firms, lead the markets.
The Portfolio uses derivative instruments, though not as a principal investment strategy. It had a small position in futures contracts on the S&P 500 Index to help enhance the Portfolio’s liquidity. This exposure did not have a material impact on performance.
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 | | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
| | | | | | | | | | | | |
| Average Annual Total Returns | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio: Class I | | | 33.09 | % | | | 18.41 | % | | | 8.48 | % |
Portfolio: Class II | | | 32.53 | | | | 17.94 | | | | 8.04 | |
Russell 1000® Value Index | | | 32.53 | | | | 16.67 | | | | 7.58 | |
S&P 500 Index | | | 32.37 | | | | 17.93 | | | | 7.40 | |
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® 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.
$10,000 INVESTED OVER 10 YEARS1
For the year ended December 31, 2013, the Value Portfolio Class I shares returned 33.09% and Class II shares returned 32.53%.
The Portfolio’s investment objective is capital appreciation. The Portfolio is subadvised by Jennison Associates LLC (Jennison).
The Portfolio performed in line with its benchmark index, the Russell 1000 Value Index. Stock selection in financials and industrials were the most important contributors to relative performance. Several strong performers from diverse sub-sectors contributed and were led by Morgan Stanley and MetLife. During the period, Morgan Stanley continued to make progress on several fronts; it announced an unexpected share buyback, anticipates being compliant with the Basel III supplementary leverage ratios by 2015, enjoyed steady growth in its wealth management division, and reported that it is on track to achieve expense reduction targets. Jennison considers MetLife to be an excellent, attractively valued company that has significantly reduced risk, improved its business mix, and is seeing growth in its emerging markets businesses.
In industrials, Boeing, Delta Air Lines, and United Continental Holdings were especially strong contributors. Boeing reported several strong successive quarters, putting behind it a rocky start to the year as a result of 787 battery problems. Margins have been particularly strong as a result of higher production rates in high margin legacy programs and lower than expected research and development costs. Costs of 787 production also have continued to decline and free cash flow has consistently exceeded expectations. The Portfolio no longer holds a position in Delta Air Lines.
Stock selection was most detrimental to relative returns in materials, information technology, and consumer discretionary, but overweight positions in the latter two sectors offset a significant portion of the negative impact. In materials, two gold mining companies, Newmont Mining and Goldcorp, hurt by declining gold prices, accounted for most of the losses. Those mining companies that can get their costs under control now — and Jennison believes Goldcorp has demonstrated that it is able to — will most likely benefit from significant operating leverage when gold prices finally rise again. The Portfolio no longer holds a position in Newmont Mining.
In information technology, only JDS Uniphase and Maxim Integrated lost ground, and their losses were offset by several strong performers, including Google, Flextronics International, and Microsoft. However, the absence from the Portfolio of a couple of strong holdings in the benchmark weakened relative performance.
In consumer discretionary, JC Penney detracted. JCPenney has been in the midst of a turnaround and began to show signs that it had reached a turning point late in the period, in Jennison’s view. Shares probably declined on profit taking as positive indicators accumulated. Lear, Liberty Global, and Comcast, meanwhile, were major contributors in the sector.
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.
Jennison Associates LLC is a registered investment adviser and a Prudential Financial company.
| | |
The Prudential Series Fund Presentation of Portfolio Holdings — unaudited | | December 31, 2013 |
| | | | |
| Conservative Balanced | |
| Five Largest Holdings | | | (% of Net Assets | ) |
Apple, Inc. | | | 1.6% | |
Exxon Mobil Corp. | | | 1.4% | |
Google, Inc. (Class A Stock) | | | 1.0% | |
| General Electric Co. | | | 0.9% | |
| Microsoft Corp. | | | 0.9% | |
| | | | |
| Diversified Bond | |
Issuer | | | (% of Net Assets | ) |
Credit Suisse Commercial Mortgage Trust | | | 0.9% | |
MBNA Credit Card Master Note Trust | | | 0.8% | |
JPMorgan Chase Commercial Mortgage Securities Trust | | | 0.8% | |
Verizon Communications, Inc. | | | 0.7% | |
General Electric Capital Corp. | | | 0.6% | |
| | | | |
| Equity | |
| Five Largest Holdings | | | (% of Net Assets | ) |
MasterCard, Inc. (Class A Stock) | | | 3.2% | |
Google, Inc. (Class A Stock) | | | 2.9% | |
Goldman Sachs Group, Inc. (The) | | | 2.5% | |
| Amazon.com, Inc. | | | 2.3% | |
| Apple, Inc. | | | 2.0% | |
| | | | |
| Flexible Managed | |
| Five Largest Holdings | | | (% of Net Assets | ) |
Apple, Inc. | | | 2.0% | |
Exxon Mobil Corp. | | | 1.7% | |
Google, Inc. | | | 1.5% | |
Johnson & Johnson | | | 1.4% | |
Chevron Corp. | | | 1.2% | |
| | | | |
| Global | |
| Top Five Countries | | | (% of Net Assets | ) |
United States | | | 49.5% | |
United Kingdom | | | 9.2% | |
Japan | | | 9.2% | |
France | | | 4.7% | |
Germany | | | 3.6% | |
| | | | |
| Government Income | |
| Allocation | | | (% of Net Assets | ) |
| U.S. Government Agency Obligations | | | 48.8% | |
| U.S. Treasury Obligations | | | 27.9% | |
| Commercial Mortgage-Backed Securities | | | 17.3% | |
| Corporate Bonds | | | 1.9% | |
| Municipal Bonds | | | 1.8% | |
| | | | |
| High Yield Bond | |
Issuer | | | (% of Net Assets | ) |
CIT Group, Inc. | | | 0.8% | |
CommScope Holding Co., Inc. | | | 0.7% | |
Energy Future Intermediate Holding Co. LLC | | | 0.7% | |
HCA, Inc. | | | 0.7% | |
First Data Corp. | | | 0.7% | |
| | | | |
| Jennison | |
| Five Largest Holdings | | | (% of Net Assets | ) |
| MasterCard, Inc., (Class A Stock) | | | 4.4% | |
| Google, Inc., (Class A Stock) | | | 4.4% | |
Apple, Inc. | | | 3.8% | |
| Amazon.com, Inc. | | | 3.7% | |
| priceline.com, Inc. | | | 2.7% | |
| | | | |
| Natural Resources | |
| Five Largest Holdings | | | (% of Net Assets | ) |
| Noble Energy, Inc. | | | 3.9% | |
| Schlumberger Ltd. | | | 3.7% | |
Dril-Quip, Inc. | | | 3.5% | |
Halliburton Co. | | | 3.3% | |
EOG Resources, Inc. | | | 3.1% | |
| | | | |
| Small Capitalization Stock | |
| Five Largest Holdings | | | (% of Net Assets | ) |
Align Technology, Inc. | | | 0.6% | |
Fifth & Pacific Cos., Inc. | | | 0.5% | |
FEI Co. | | | 0.5% | |
Toro Co. | | | 0.5% | |
Financial Engines, Inc. | | | 0.5% | |
| | | | |
| Stock Index | |
| Five Largest Holdings | | | (% of Net Assets | ) |
Apple, Inc. | | | 3.0% | |
Exxon Mobil Corp. | | | 2.6% | |
Google, Inc., (Class A Stock) | | | 1.9% | |
Microsoft Corp. | | | 1.7% | |
General Electric Co. | | | 1.7% | |
| | | | |
| Value | |
| Five Largest Holdings | | | (% of Net Assets | ) |
JPMorgan Chase & Co. | | | 3.1% | |
Wells Fargo & Co. | | | 3.0% | |
Liberty Global PLC (United Kingdom) (Class C Stock) | | | 2.6% | |
Goldman Sachs Group, Inc. | | | 2.5% | |
Citigroup, Inc. | | | 2.3% | |
��
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, 2013 |
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, 2013 through December 31, 2013.
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 fees and charges were included, your costs would have been higher.
| | | | | | | | | | | | | | | | | | |
| The Prudential Series Fund Portfolios | | Beginning
Account Value
July 1, 2013 | | | Ending
Account Value
December 31, 2013 | | | Annualized Expense
Ratio based on the
Six-Month Period | | | Expenses Paid
During the
Six-Month Period* | |
| Conservative Balanced (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,093.80 | | | | 0.59 | % | | $ | 3.11 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,022.23 | | | | 0.59 | % | | $ | 3.01 | |
| Diversified Bond (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,019.10 | | | | 0.45 | % | | $ | 2.29 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,022.94 | | | | 0.45 | % | | $ | 2.29 | |
| Equity (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,197.70 | | | | 0.48 | % | | $ | 2.66 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,022.79 | | | | 0.48 | % | | $ | 2.45 | |
| Equity (Class II) | | Actual | | $ | 1,000.00 | | | $ | 1,195.40 | | | | 0.88 | % | | $ | 4.87 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,020.77 | | | | 0.88 | % | | $ | 4.48 | |
| Flexible Managed (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,113.70 | | | | 0.63 | % | | $ | 3.36 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,022.03 | | | | 0.63 | % | | $ | 3.21 | |
| Global (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,168.40 | | | | 0.83 | % | | $ | 4.54 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,021.02 | | | | 0.83 | % | | $ | 4.23 | |
| Government Income (Class I) | | Actual | | $ | 1,000.00 | | | $ | 998.80 | | | | 0.49 | % | | $ | 2.47 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,022.74 | | | | 0.49 | % | | $ | 2.50 | |
| High Yield Bond (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,058.30 | | | | 0.57 | % | | $ | 2.96 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,022.33 | | | | 0.57 | % | | $ | 2.91 | |
| Jennison (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,256.40 | | | | 0.63 | % | | $ | 3.58 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,022.03 | | | | 0.63 | % | | $ | 3.21 | |
| Jennison (Class II) | | Actual | | $ | 1,000.00 | | | $ | 1,253.70 | | | | 1.03 | % | | $ | 5.85 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,020.01 | | | | 1.03 | % | | $ | 5.24 | |
Money Market
(Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,000.00 | | | | 0.15 | % | | $ | 0.76 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,024.45 | | | | 0.15 | % | | $ | 0.77 | |
| | |
The Prudential Series Fund Fees and Expenses — unaudited (continued) | | December 31, 2013 |
| | | | | | | | | | | | | | | | | | |
| The Prudential Series Fund Portfolios | | Beginning
Account Value
July 1, 2013 | | | Ending
Account Value
December 31, 2013 | | | Annualized Expense
Ratio based on the
Six-Month Period | | | Expenses Paid
During the
Six-Month Period* | |
| Natural Resources (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,138.30 | | | | 0.45 | % | | $ | 2.43 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,022.94 | | | | 0.45 | % | | $ | 2.29 | |
| Natural Resources (Class II) | | Actual | | $ | 1,000.00 | | | $ | 1,135.90 | | | | 0.85 | % | | $ | 4.58 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,020.92 | | | | 0.85 | % | | $ | 4.33 | |
| Small Capitalization Stock (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,214.50 | | | | 0.39 | % | | $ | 2.18 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,023.24 | | | | 0.39 | % | | $ | 1.99 | |
| Stock Index (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,160.70 | | | | 0.32 | % | | $ | 1.74 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,023.59 | | | | 0.32 | % | | $ | 1.63 | |
| Value (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,151.30 | | | | 0.38 | % | | $ | 2.06 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,023.29 | | | | 0.38 | % | | $ | 1.94 | |
| Value (Class II) | | Actual | | $ | 1,000.00 | | | $ | 1,148.60 | | | | 0.78 | % | | $ | 4.22 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,021.27 | | | | 0.78 | % | | $ | 3.97 | |
* 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, 2013, and divided by the 365 days in the Portfolio’s fiscal year ended December 31, 2013 (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, 2013 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 84.7% | |
| COMMON STOCKS — 58.0% | | Shares
| | | Value
(Note 2)
| |
Aerospace & Defense — 1.5% | | | | | | | | |
BAE Systems PLC (United Kingdom) | | | 2,343 | | | $ | 16,869 | |
Boeing Co. (The) | | | 53,700 | | | | 7,329,513 | |
General Dynamics Corp. | | | 26,000 | | | | 2,484,300 | |
Honeywell International, Inc. | | | 59,912 | | | | 5,474,159 | |
L-3 Communications Holdings, Inc. | | | 6,700 | | | | 715,962 | |
Lockheed Martin Corp. | | | 20,800 | | | | 3,092,128 | |
Northrop Grumman Corp. | | | 17,062 | | | | 1,955,476 | |
Precision Castparts Corp. | | | 11,400 | | | | 3,070,020 | |
Raytheon Co. | | | 24,200 | | | | 2,194,940 | |
Rockwell Collins, Inc. | | | 10,800 | | | | 798,336 | |
Safran SA (France) | | | 16,951 | | | | 1,178,582 | |
Textron, Inc. | | | 23,100 | | | | 849,156 | |
Thales SA (France) | | | 15,336 | | | | 988,310 | |
United Technologies Corp. | | | 65,400 | | | | 7,442,520 | |
| | | | | | |
|
|
|
| | | | | | | | 37,590,271 | |
| | | | | | |
|
|
|
Air Freight & Logistics — 0.4% | | | | | | | | |
C.H. Robinson Worldwide, Inc. | | | 13,200 | | | | 770,088 | |
Deutsche Post AG (Germany) | | | 16,244 | | | | 593,314 | |
Expeditors International of Washington, Inc. | | | 15,000 | | | | 663,750 | |
FedEx Corp. | | | 23,000 | | | | 3,306,710 | |
TNT Express NV (Netherlands) | | | 1,542 | | | | 14,343 | |
United Parcel Service, Inc. (Class B Stock) | | | 55,400 | | | | 5,821,432 | |
| | | | | | |
|
|
|
| | | | | | | | 11,169,637 | |
| | | | | | |
|
|
|
Airlines — 0.2% | | | | | | | | |
Delta Air Lines, Inc. | | | 66,600 | | | | 1,829,502 | |
easyJet PLC (United Kingdom) | | | 40,771 | | | | 1,039,136 | |
International Consolidated Airlines Group SA (United Kingdom)* | | | 11,917 | | | | 79,383 | |
Southwest Airlines Co. | | | 59,700 | | | | 1,124,748 | |
| | | | | | |
|
|
|
| | | | | | | | 4,072,769 | |
| | | | | | |
|
|
|
Auto Components — 0.3% | | | | | | | | |
Aisin Seiki Co. Ltd. (Japan) | | | 2,500 | | | | 101,640 | |
BorgWarner, Inc. | | | 17,400 | | | | 972,834 | |
Bridgestone Corp. (Japan) | | | 3,300 | | | | 125,027 | |
Continental AG (Germany) | | | 58 | | | | 12,742 | |
Delphi Automotive PLC (United Kingdom) | | | 23,300 | | | | 1,401,029 | |
Denso Corp. (Japan) | | | 22,900 | | | | 1,209,777 | |
Goodyear Tire & Rubber Co. (The) | | | 18,000 | | | | 429,300 | |
Johnson Controls, Inc. | | | 52,200 | | | | 2,677,860 | |
NGK Spark Plug Co. Ltd. (Japan) | | | 2,000 | | | | 47,401 | |
Toyota Industries Corp. (Japan) | | | 2,100 | | | | 94,930 | |
Valeo SA (France) | | | 8,878 | | | | 983,876 | |
| | | | | | |
|
|
|
| | | | | | | | 8,056,416 | |
| | | | | | |
|
|
|
Automobiles — 0.7% | | | | | | | | |
Bayerische Motoren Werke AG (Germany) | | | 2,802 | | | | 329,048 | |
Daimler AG (Germany) | | | 23,282 | | | | 2,020,524 | |
Fiat SpA (Italy)* | | | 113,220 | | | | 926,701 | |
Ford Motor Co. | | | 310,085 | | | | 4,784,612 | |
Fuji Heavy Industries Ltd. (Japan) | | | 38,300 | | | | 1,100,702 | |
General Motors Co.* | | | 79,500 | | | | 3,249,165 | |
Harley-Davidson, Inc. | | | 18,400 | | | | 1,274,016 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Automobiles (continued) | | | | | | | | |
Honda Motor Co. Ltd. (Japan) | | | 1,200 | | | $ | 49,533 | |
Toyota Motor Corp. (Japan) | | | 36,000 | | | | 2,195,103 | |
Suzuki Motor Corp. (Japan) | | | 3,400 | | | | 91,619 | |
Volkswagen AG (Germany) | | | 1,884 | | | | 511,542 | |
| | | | | | |
|
|
|
| | | | | | | | 16,532,565 | |
| | | | | | |
|
|
|
Beverages — 1.3% | | | | | | | | |
Anheuser-Busch InBev NV (Belgium) | | | 17,161 | | | | 1,824,843 | |
Asahi Group Holdings Ltd. (Japan) | | | 4,900 | | | | 138,276 | |
Beam, Inc. | | | 12,100 | | | | 823,526 | |
Brown-Forman Corp. (Class B Stock) | | | 13,650 | | | | 1,031,531 | |
Coca-Cola Co. (The) | | | 295,200 | | | | 12,194,712 | |
Coca-Cola Enterprises, Inc. | | | 21,400 | | | | 944,382 | |
Coca-Cola West Co. Ltd. (Japan) | | | 800 | | | | 16,944 | |
Constellation Brands, Inc. (Class A Stock)* | | | 13,000 | | | | 914,940 | |
Diageo PLC (United Kingdom) | | | 30,203 | | | | 1,000,889 | |
Dr. Pepper Snapple Group, Inc. | | | 15,000 | | | | 730,800 | |
Heineken Holding NV (Netherlands) | | | 5,808 | | | | 367,646 | |
Heineken NV (Netherlands) | | | 966 | | | | 65,289 | |
Kirin Holdings Co. Ltd. (Japan) | | | 11,000 | | | | 158,416 | |
Molson Coors Brewing Co. (Class B Stock) | | | 13,300 | | | | 746,795 | |
Monster Beverage Corp.* | | | 11,200 | | | | 759,024 | |
PepsiCo, Inc. | | | 119,407 | | | | 9,903,617 | |
SABMiller PLC (United Kingdom) | | | 18,473 | | | | 950,904 | |
| | | | | | |
|
|
|
| | | | | | | | 32,572,534 | |
| | | | | | |
|
|
|
Biotechnology — 1.3% | | | | | | | | |
Actelion Ltd. (Switzerland) | | | 4,003 | | | | 339,538 | |
Alexion Pharmaceuticals, Inc.* | | | 15,700 | | | | 2,089,042 | |
Amgen, Inc. | | | 58,287 | | | | 6,654,044 | |
Biogen Idec, Inc.* | | | 18,490 | | | | 5,172,578 | |
Celgene Corp.* | | | 31,500 | | | | 5,322,240 | |
Gilead Sciences, Inc.* | | | 118,500 | | | | 8,905,275 | |
Regeneron Pharmaceuticals, Inc.*(a) | | | 5,800 | | | | 1,596,392 | |
Vertex Pharmaceuticals, Inc.* | | | 17,900 | | | | 1,329,970 | |
| | | | | | |
|
|
|
| | | | | | | | 31,409,079 | |
| | | | | | |
|
|
|
Building Products — 0.1% | | | | | | | | |
Allegion PLC* | | | 7,433 | | | | 328,479 | |
Assa Abloy AB (Sweden) (Class B Stock) | | | 6,545 | | | | 346,519 | |
Daikin Industries Ltd. (Japan) | | | 3,000 | | | | 187,208 | |
LIXIL Group Corp. (Japan) | | | 3,500 | | | | 96,083 | |
Masco Corp. | | | 29,500 | | | | 671,715 | |
TOTO Ltd. (Japan) | | | 63,000 | | | | 999,252 | |
| | | | | | |
|
|
|
| | | | | | | | 2,629,256 | |
| | | | | | |
|
|
|
Capital Markets — 1.3% | | | | | | | | |
Aberdeen Asset Management PLC (United Kingdom) | | | 119,405 | | | | 992,937 | |
Ameriprise Financial, Inc. | | | 16,320 | | | | 1,877,616 | |
Bank of New York Mellon Corp. (The) | | | 88,658 | | | | 3,097,711 | |
BlackRock, Inc. | | | 9,800 | | | | 3,101,406 | |
Charles Schwab Corp. (The) | | | 86,750 | | | | 2,255,500 | |
Daiwa Securities Group, Inc. (Japan) | | | 81,000 | | | | 811,259 | |
E*TRADE Financial Corp.* | | | 25,520 | | | | 501,213 | |
Franklin Resources, Inc. | | | 30,100 | | | | 1,737,673 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Capital Markets (continued) | | | | | | | | |
Goldman Sachs Group, Inc. (The) | | | 32,200 | | | $ | 5,707,772 | |
Invesco Ltd. (Bermuda) | | | 36,600 | | | | 1,332,240 | |
Investec PLC (United Kingdom) | | | 96,704 | | | | 702,343 | |
Legg Mason, Inc.(a) | | | 10,200 | | | | 443,496 | |
Macquarie Group Ltd. | | | 19,708 | | | | 967,319 | |
Morgan Stanley | | | 107,380 | | | | 3,367,437 | |
Northern Trust Corp. | | | 17,000 | | | | 1,052,130 | |
State Street Corp. | | | 33,900 | | | | 2,487,921 | |
T. Rowe Price Group, Inc. | | | 21,500 | | | | 1,801,055 | |
UBS AG (Switzerland) | | | 1,832 | | | | 35,078 | |
| | | | | | |
|
|
|
| | | | | | | | 32,272,106 | |
| | | | | | |
|
|
|
Chemicals — 1.5% | | | | | | | | |
Air Products & Chemicals, Inc. | | | 15,400 | | | | 1,721,412 | |
Air Water, Inc. (Japan) | | | 2,000 | | | | 27,106 | |
Airgas, Inc. | | | 4,600 | | | | 514,510 | |
Asahi Kasei Corp. (Japan) | | | 128,000 | | | | 1,004,009 | |
BASF SE (Germany) | | | 12,682 | | | | 1,353,605 | |
CF Industries Holdings, Inc. | | | 4,600 | | | | 1,071,984 | |
Daicel Corp. (Japan) | | | 58,000 | | | | 472,689 | |
Dow Chemical Co. (The) | | | 91,331 | | | | 4,055,096 | |
E.I. du Pont de Nemours & Co. | | | 72,720 | | | | 4,724,618 | |
Eastman Chemical Co. | | | 12,700 | | | | 1,024,890 | |
Ecolab, Inc. | | | 20,400 | | | | 2,127,108 | |
EMS-Chemie Holding AG (Switzerland) | | | 1,818 | | | | 648,251 | |
FMC Corp. | | | 11,500 | | | | 867,790 | |
International Flavors & Fragrances, Inc. | | | 6,500 | | | | 558,870 | |
K+S AG (Germany)(a) | | | 18,030 | | | | 555,554 | |
Kaneka Corp. (Japan) | | | 4,000 | | | | 26,265 | |
Kuraray Co. Ltd. (Japan) | | | 1,800 | | | | 21,486 | |
LyondellBasell Industries NV (Netherlands) (Class A Stock) | | | 34,300 | | | | 2,753,604 | |
Mitsubishi Chemical Holdings Corp. (Japan) | | | 3,500 | | | | 16,197 | |
Monsanto Co. | | | 40,994 | | | | 4,777,851 | |
Mosaic Co. (The) | | | 26,100 | | | | 1,233,747 | |
Nippon Paint Co. Ltd. (Japan) | | | 2,000 | | | | 33,276 | |
Orica Ltd. (Australia) | | | 4,786 | | | | 102,342 | |
PPG Industries, Inc. | | | 10,700 | | | | 2,029,362 | |
Praxair, Inc. | | | 22,600 | | | | 2,938,678 | |
Sherwin-Williams Co. (The) | | | 7,200 | | | | 1,321,200 | |
Sigma-Aldrich Corp. | | | 8,900 | | | | 836,689 | |
Yara International ASA (Norway) | | | 22,944 | | | | 989,534 | |
| | | | | | |
|
|
|
| | | | | | | | 37,807,723 | |
| | | | | | |
|
|
|
Commercial Banks — 2.4% | | | | | | | | |
Australia & New Zealand Banking Group Ltd. (Australia) | | | 66,078 | | | | 1,907,548 | |
Banco Bilbao Vizcaya Argentaria SA (Spain) | | | 34,992 | | | | 432,872 | |
Banco Santander SA (Spain) | | | 161,684 | | | | 1,453,949 | |
Bank Hapoalim BM (Israel) | | | 171,951 | | | | 963,458 | |
Bank of East Asia Ltd. (Hong Kong) | | | 77,200 | | | | 327,717 | |
Bank of Yokohama Ltd. (The) (Japan) | | | 15,000 | | | | 83,688 | |
BB&T Corp. | | | 56,400 | | | | 2,104,848 | |
BNP Paribas SA (France) | | | 1,175 | | | | 91,659 | |
BOC Hong Kong Holdings Ltd. (China) | | | 49,000 | | | | 157,371 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Commercial Banks (continued) | | | | | | | | |
Comerica, Inc. | | | 15,300 | | | $ | 727,362 | |
Commonwealth Bank of Australia (Australia) | | | 32,517 | | | | 2,265,683 | |
DNB ASA (Norway) | | | 62,590 | | | | 1,123,375 | |
Fifth Third Bancorp | | | 63,521 | | | | 1,335,847 | |
Fukuoka Financial Group, Inc. (Japan) | | | 10,000 | | | | 43,894 | |
Hang Seng Bank Ltd. (Hong Kong) | | | 56,000 | | | | 909,527 | |
HSBC Holdings PLC (United Kingdom) | | | 323,929 | | | | 3,554,864 | |
Huntington Bancshares, Inc. | | | 68,536 | | | | 661,372 | |
Iyo Bank Ltd. (The) (Japan) | | | 3,400 | | | | 33,357 | |
Joyo Bank Ltd. (The) (Japan) | | | 9,000 | | | | 46,019 | |
KBC Groep NV (Belgium) | | | 12,755 | | | | 725,195 | |
KeyCorp | | | 76,800 | | | | 1,030,656 | |
Lloyds Banking Group PLC (United Kingdom)* | | | 337,815 | | | | 443,279 | |
M&T Bank Corp. | | | 10,700 | | | | 1,245,694 | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | | | 299,100 | | | | 1,985,844 | |
Mizrahi Tefahot Bank Ltd. (Israel) | | | 1,636 | | | | 21,414 | |
Mizuho Financial Group, Inc. (Japan) | | | 297,400 | | | | 645,665 | |
National Australia Bank Ltd. (Australia) | | | 5,195 | | | | 162,146 | |
Nishi-Nippon City Bank Ltd. (The) (Japan) | | | 9,000 | | | | 24,245 | |
PNC Financial Services Group, Inc. | | | 41,133 | | | | 3,191,098 | |
Regions Financial Corp. | | | 115,103 | | | | 1,138,369 | |
Resona Holdings, Inc. (Japan) | | | 97,800 | | | | 499,021 | |
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock) | | | 91,124 | | | | 1,203,864 | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | | | 33,700 | | | | 1,752,514 | |
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | | | 42,000 | | | | 222,231 | |
SunTrust Banks, Inc. | | | 40,900 | | | | 1,505,529 | |
Suruga Bank Ltd. (Japan) | | | 1,000 | | | | 17,957 | |
Swedbank AB (Sweden) (Class A Stock) | | | 14,776 | | | | 416,230 | |
UniCredit SpA (Italy) | | | 55,966 | | | | 412,843 | |
US Bancorp | | | 140,685 | | | | 5,683,674 | |
Wells Fargo & Co. | | | 374,064 | | | | 16,982,506 | |
Westpac Banking Corp. (Australia) | | | 63,233 | | | | 1,833,035 | |
Yamaguchi Financial Group, Inc. (Japan) | | | 3,000 | | | | 27,820 | |
Zions Bancorporation(a) | | | 15,550 | | | | 465,878 | |
| | | | | | |
|
|
|
| | | | | | | | 59,861,117 | |
| | | | | | |
|
|
|
Commercial Services & Supplies — 0.3% | | | | | | | | |
ADT Corp. (The)(a) | | | 15,700 | | | | 635,379 | |
Babcock International Group PLC (United Kingdom) | | | 14,357 | | | | 322,604 | |
Cintas Corp.(a) | | | 8,900 | | | | 530,351 | |
Dai Nippon Printing Co. Ltd. (Japan) | | | 7,000 | | | | 74,355 | |
Iron Mountain, Inc. | | | 14,685 | | | | 445,690 | |
Pitney Bowes, Inc.(a) | | | 15,400 | | | | 358,820 | |
Republic Services, Inc. | | | 22,065 | | | | 732,558 | |
Secom Co. Ltd. (Japan) | | | 2,700 | | | | 162,904 | |
Stericycle, Inc.* | | | 6,900 | | | | 801,573 | |
Toppan Printing Co. Ltd. (Japan) | | | 7,000 | | | | 56,032 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Commercial Services & Supplies (continued) | |
Tyco International Ltd. (Switzerland) | | | 32,900 | | | $ | 1,350,216 | |
Waste Management, Inc. | | | 31,342 | | | | 1,406,316 | |
| | | | | | |
|
|
|
| | | | | | | | 6,876,798 | |
| | | | | | |
|
|
|
Communications Equipment — 0.9% | | | | | | | | |
Cisco Systems, Inc. | | | 416,100 | | | | 9,341,445 | |
F5 Networks, Inc.*(a) | | | 7,000 | | | | 636,020 | |
Harris Corp. | | | 9,400 | | | | 656,214 | |
Juniper Networks, Inc.* | | | 38,200 | | | | 862,174 | |
Motorola Solutions, Inc. | | | 18,489 | | | | 1,248,008 | |
Nokia OYJ (Finland)* | | | 49,587 | | | | 400,665 | |
QUALCOMM, Inc. | | | 132,800 | | | | 9,860,400 | |
| | | | | | |
|
|
|
| | | | | | | | 23,004,926 | |
| | | | | | |
|
|
|
Computers & Peripherals — 2.1% | | | | | | | | |
Apple, Inc. | | | 70,120 | | | | 39,345,033 | |
EMC Corp. | | | 161,350 | | | | 4,057,953 | |
Hewlett-Packard Co. | | | 146,448 | | | | 4,097,615 | |
NetApp, Inc. | | | 26,300 | | | | 1,081,982 | |
SanDisk Corp.(a) | | | 18,600 | | | | 1,312,044 | |
Seagate Technology PLC (Ireland) | | | 25,600 | | | | 1,437,696 | |
Western Digital Corp. | | | 15,600 | | | | 1,308,840 | |
| | | | | | |
|
|
|
| | | | | | | | 52,641,163 | |
| | | | | | |
|
|
|
Construction & Engineering — 0.2% | | | | | | | | |
ACS Actividades de Construccion y Servicios SA (Spain) | | | 20,329 | | | | 700,773 | |
Bouygues SA (France) | | | 25,831 | | | | 976,824 | |
Fluor Corp. | | | 12,600 | | | | 1,011,654 | |
Hochtief AG (Germany) | | | 402 | | | | 34,404 | |
Jacobs Engineering Group, Inc.* | | | 11,300 | | | | 711,787 | |
JGC Corp. (Japan) | | | 1,000 | | | | 39,244 | |
Leighton Holdings Ltd. (Australia) | | | 2,199 | | | | 31,757 | |
Quanta Services, Inc.* | | | 16,700 | | | | 527,052 | |
Vinci SA (France) | | | 7,842 | | | | 515,467 | |
| | | | | | |
|
|
|
| | | | | | | | 4,548,962 | |
| | | | | | |
|
|
|
Construction Materials | | | | | | | | |
Imerys SA (France) | | | 2,771 | | | | 241,211 | |
Vulcan Materials Co. | | | 11,600 | | | | 689,272 | |
| | | | | | |
|
|
|
| | | | | | | | 930,483 | |
| | | | | | |
|
|
|
Consumer Finance — 0.5% | | | | | | | | |
American Express Co. | | | 71,400 | | | | 6,478,122 | |
Capital One Financial Corp. | | | 45,261 | | | | 3,467,445 | |
Discover Financial Services | | | 35,840 | | | | 2,005,248 | |
SLM Corp. | | | 34,100 | | | | 896,148 | |
| | | | | | |
|
|
|
| | | | | | | | 12,846,963 | |
| | | | | | |
|
|
|
Containers & Packaging — 0.1% | | | | | | | | |
Avery Dennison Corp. | | | 7,600 | | | | 381,444 | |
Ball Corp. | | | 9,700 | | | | 501,102 | |
Bemis Co., Inc. | | | 7,800 | | | | 319,488 | |
MeadWestvaco Corp. | | | 12,614 | | | | 465,835 | |
Owens-Illinois, Inc.* | | | 13,500 | | | | 483,030 | |
Sealed Air Corp. | | | 17,100 | | | | 582,255 | |
| | | | | | |
|
|
|
| | | | | | | | 2,733,154 | |
| | | | | | |
|
|
|
Distributors | | | | | | | | |
Genuine Parts Co. | | | 11,900 | | | | 989,961 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Diversified Consumer Services | | | | | | | | |
Graham Holdings Co. (Class B Stock) | | | 400 | | | $ | 265,328 | |
H&R Block, Inc. | | | 19,800 | | | | 574,992 | |
| | | | | | |
|
|
|
| | | | | | | | 840,320 | |
| | | | | | |
|
|
|
Diversified Financial Services — 2.7% | | | | | | | | |
Bank of America Corp. | | | 836,821 | | | | 13,029,303 | |
Berkshire Hathaway, Inc. (Class B Stock)* | | | 139,400 | | | | 16,527,264 | |
Citigroup, Inc. | | | 236,485 | | | | 12,323,233 | |
CME Group, Inc. | | | 23,200 | | | | 1,820,272 | |
Exor SpA (Italy) | | | 2,394 | | | | 95,152 | |
IntercontinentalExchange, Inc. | | | 9,071 | | | | 2,040,249 | |
Investor AB (Sweden) (Class B Stock) | | | 32,438 | | | | 1,117,929 | |
JPMorgan Chase & Co. | | | 293,345 | | | | 17,154,816 | |
Leucadia National Corp. | | | 23,400 | | | | 663,156 | |
McGraw-Hill Financial, Inc. | | | 22,700 | | | | 1,775,140 | |
Moody’s Corp. | | | 16,000 | | | | 1,255,520 | |
NASDAQ OMX Group, Inc. (The) | | | 7,600 | | | | 302,480 | |
ORIX Corp. (Japan) | | | 16,700 | | | | 293,450 | |
Pohjola Bank PLC (Finland) (Class A Stock) | | | 1,826 | | | | 36,613 | |
| | | | | | |
|
|
|
| | | | | | | | 68,434,577 | |
| | | | | | |
|
|
|
Diversified Telecommunication Services — 1.3% | |
AT&T, Inc. | | | 412,268 | | | | 14,495,343 | |
Bezeq the Israeli Telecommunication Corp. Ltd. (Israel) | | | 57,945 | | | | 98,267 | |
BT Group PLC (United Kingdom) | | | 240,642 | | | | 1,517,482 | |
CenturyLink, Inc. | | | 47,436 | | | | 1,510,837 | |
Deutsche Telekom AG (Germany) | | | 15,432 | | | | 265,897 | |
Frontier Communications Corp. | | | 78,990 | | | | 367,304 | |
Nippon Telegraph & Telephone Corp. (Japan) | | | 21,400 | | | | 1,152,613 | |
Swisscom AG (Switzerland) | | | 1,898 | | | | 1,003,081 | |
Telefonica SA (Spain) | | | 1,049 | | | | 17,152 | |
Telenor ASA (Norway) | | | 27,902 | | | | 666,679 | |
TeliaSonera AB (Sweden) | | | 137,343 | | | | 1,145,497 | |
Telstra Corp. Ltd. (Australia) | | | 56,587 | | | | 265,596 | |
Verizon Communications, Inc. | | | 221,576 | | | | 10,888,245 | |
Windstream Holdings, Inc.(a) | | | 57,357 | | | | 457,709 | |
| | | | | | |
|
|
|
| | | | | | | | 33,851,702 | |
| | | | | | |
|
|
|
Electric Utilities — 0.9% | | | | | | | | |
American Electric Power Co., Inc. | | | 38,860 | | | | 1,816,316 | |
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong) | | | 8,000 | | | | 50,569 | |
Chubu Electric Power Co., Inc. (Japan) | | | 8,100 | | | | 104,715 | |
Chugoku Electric Power Co., Inc. (The) (Japan) | | | 3,800 | | | | 59,167 | |
Duke Energy Corp. | | | 54,661 | | | | 3,772,156 | |
Edison International | | | 25,200 | | | | 1,166,760 | |
EDP – Energias de Portugal SA (Portugal) | | | 226,263 | | | | 831,088 | |
Electricite de France SA (France) | | | 23,622 | | | | 835,682 | |
Entergy Corp.(a) | | | 13,200 | | | | 835,164 | |
Exelon Corp.(a) | | | 63,313 | | | | 1,734,143 | |
FirstEnergy Corp. | | | 31,906 | | | | 1,052,260 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Electric Utilities (continued) | | | | | | | | |
Hokkaido Electric Power Co., Inc. (Japan)* | | | 2,400 | | | $ | 27,618 | |
Hokuriku Electric Power Co. (Japan) | | | 2,200 | | | | 29,877 | |
Iberdrola SA (Spain) | | | 25,090 | | | | 160,119 | |
Kansai Electric Power Co., Inc. (The) (Japan)* | | | 8,900 | | | | 102,433 | |
Kyushu Electric Power Co., Inc. (Japan)* | | | 5,500 | | | | 70,245 | |
NextEra Energy, Inc. | | | 32,700 | | | | 2,799,774 | |
Northeast Utilities | | | 23,700 | | | | 1,004,643 | |
Pepco Holdings, Inc. | | | 22,600 | | | | 432,338 | |
Pinnacle West Capital Corp. | | | 8,100 | | | | 428,652 | |
PPL Corp. | | | 49,500 | | | | 1,489,455 | |
Shikoku Electric Power Co., Inc. (Japan)* | | | 2,300 | | | | 34,492 | |
Southern Co. (The) | | | 67,200 | | | | 2,762,592 | |
SSE PLC (United Kingdom) | | | 1,118 | | | | 25,406 | |
Tohoku Electric Power Co., Inc. (Japan)* | | | 5,900 | | | | 66,465 | |
Tokyo Electric Power Co., Inc. (Japan)* | | | 18,900 | | | | 93,122 | |
Xcel Energy, Inc. | | | 41,110 | | | | 1,148,613 | |
| | | | | | |
|
|
|
| | | | | | | | 22,933,864 | |
| | | | | | |
|
|
|
Electrical Equipment — 0.4% | | | | | | | | |
ABB Ltd. (Switzerland) | | | 12,675 | | | | 335,127 | |
AMETEK, Inc. | | | 19,100 | | | | 1,005,997 | |
Eaton Corp., PLC (Ireland) | | | 36,237 | | | | 2,758,360 | |
Emerson Electric Co. | | | 56,200 | | | | 3,944,116 | |
Fuji Electric Co. Ltd. (Japan) | | | 7,000 | | | | 32,798 | |
Nidec Corp. (Japan) | | | 1,200 | | | | 118,218 | |
OSRAM Licht AG (Germany)* | | | 5,509 | | | | 310,729 | |
Rockwell Automation, Inc. | | | 11,500 | | | | 1,358,840 | |
Roper Industries, Inc. | | | 8,200 | | | | 1,137,176 | |
| | | | | | |
|
|
|
| | | | | | | | 11,001,361 | |
| | | | | | |
|
|
|
Electronic Equipment & Instruments | | | | | | | | |
Murata Manufacturing Co. Ltd. (Japan) | | | 12,400 | | | | 1,102,773 | |
| | | | | | |
|
|
|
Electronic Equipment, Instruments & Components — 0.3% | |
Amphenol Corp. (Class A Stock) | | | 12,100 | | | | 1,079,078 | |
Citizen Holdings Co. Ltd. (Japan) | | | 3,400 | | | | 28,686 | |
Corning, Inc. | | | 108,200 | | | | 1,928,124 | |
FLIR Systems, Inc. | | | 11,600 | | | | 349,160 | |
FUJIFILM Holdings Corp. (Japan) | | | 40,500 | | | | 1,149,594 | |
Hirose Electric Co. Ltd. (Japan) | | | 400 | | | | 57,021 | |
Hitachi Ltd. (Japan) | | | 120,000 | | | | 909,858 | |
Hoya Corp. (Japan) | | | 5,600 | | | | 155,747 | |
Jabil Circuit, Inc. | | | 13,900 | | | | 242,416 | |
Keyence Corp. (Japan) | | | 600 | | | | 256,911 | |
Nippon Electric Glass Co. Ltd. (Japan) | | | 5,000 | | | | 26,266 | |
Omron Corp. (Japan) | | | 2,700 | | | | 119,322 | |
TE Connectivity Ltd. (Switzerland) | | | 30,100 | | | | 1,658,811 | |
| | | | | | |
|
|
|
| | | | | | | | 7,960,994 | |
| | | | | | |
|
|
|
Energy Equipment & Services — 1.0% | | | | | | | | |
Baker Hughes, Inc. | | | 35,598 | | | | 1,967,145 | |
Cameron International Corp.* | | | 17,200 | | | | 1,023,916 | |
Diamond Offshore Drilling, Inc. | | | 6,000 | | | | 341,520 | |
Ensco PLC (Class A Stock) | | | 19,300 | | | | 1,103,574 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Energy Equipment & Services (continued) | |
FMC Technologies, Inc.* | | | 18,000 | | | $ | 939,780 | |
Halliburton Co. | | | 65,800 | | | | 3,339,350 | |
Helmerich & Payne, Inc.(a) | | | 7,600 | | | | 639,008 | |
Nabors Industries Ltd. (Bermuda) | | | 19,900 | | | | 338,101 | |
National Oilwell Varco, Inc. | | | 32,800 | | | | 2,608,584 | |
Noble Corp. PLC | | | 20,900 | | | | 783,123 | |
Rowan Cos. PLC (United Kingdom) (Class A Stock)* | | | 9,600 | | | | 339,456 | |
Schlumberger Ltd. | | | 102,418 | | | | 9,228,886 | |
Seadrill Ltd. (Norway) | | | 6,396 | | | | 262,137 | |
Transocean Ltd. | | | 4,638 | | | | 226,982 | |
Transocean Ltd.(a) | | | 25,000 | | | | 1,235,500 | |
| | | | | | |
|
|
|
| | | | | | | | 24,377,062 | |
| | | | | | |
|
|
|
Food & Staples Retailing — 1.4% | | | | | | | | |
Aeon Co. Ltd. (Japan) (Class A Stock) | | | 7,800 | | | | 105,742 | |
Carrefour SA (France) | | | 6,514 | | | | 258,563 | |
Casino Guichard Perrachon SA (France) | | | 8,392 | | | | 968,323 | |
Costco Wholesale Corp. | | | 33,800 | | | | 4,022,538 | |
CVS Caremark Corp. | | | 93,648 | | | | 6,702,387 | |
FamilyMart Co. Ltd. (Japan) | | | 800 | | | | 36,549 | |
J Sainsbury PLC (United Kingdom) | | | 150,742 | | | | 912,329 | |
Koninklijke Ahold NV (Netherlands) | | | 60,632 | | | | 1,089,630 | |
Kroger Co. (The) | | | 37,746 | | | | 1,492,099 | |
Safeway, Inc. | | | 19,900 | | | | 648,143 | |
Sysco Corp. | | | 48,600 | | | | 1,754,460 | |
Wal-Mart Stores, Inc. | | | 126,000 | | | | 9,914,940 | |
Walgreen Co. | | | 67,300 | | | | 3,865,712 | |
Wesfarmers Ltd. (Australia) | | | 2,014 | | | | 79,297 | |
Whole Foods Market, Inc. | | | 29,600 | | | | 1,711,768 | |
WM Morrison Supermarkets PLC (United Kingdom) | | | 227,272 | | | | 983,823 | |
Woolworths Ltd. (Australia) | | | 8,760 | | | | 265,264 | |
| | | | | | |
|
|
|
| | | | | | | | 34,811,567 | |
| | | | | | |
|
|
|
Food Products — 1.0% | | | | | | | | |
Ajinomoto Co., Inc. (Japan) | | | 4,000 | | | | 57,907 | |
Archer-Daniels-Midland Co. | | | 49,426 | | | | 2,145,088 | |
Campbell Soup Co.(a) | | | 15,000 | | | | 649,200 | |
ConAgra Foods, Inc. | | | 31,800 | | | | 1,071,660 | |
General Mills, Inc. | | | 48,900 | | | | 2,440,599 | |
Golden Agri-Resources Ltd. (Singapore) | | | 49,000 | | | | 21,212 | |
Hershey Co. (The) | | | 11,600 | | | | 1,127,868 | |
Hormel Foods Corp. | | | 8,900 | | | | 402,013 | |
J.M. Smucker Co. (The) | | | 8,500 | | | | 880,770 | |
Kellogg Co. | | | 19,700 | | | | 1,203,079 | |
Kraft Foods Group, Inc. | | | 45,217 | | | | 2,438,101 | |
Lindt & Spruengli AG (Switzerland) | | | 11 | | | | 593,128 | |
Lindt & Spruengli AG (Switzerland) | | | 11 | | | | 49,584 | |
McCormick & Co., Inc. | | | 11,400 | | | | 785,688 | |
Mead Johnson Nutrition Co. | | | 16,667 | | | | 1,396,028 | |
Mondelez International, Inc. (Class A Stock) | | | 138,253 | | | | 4,880,331 | |
Nestle SA (Switzerland) | | | 27,827 | | | | 2,039,443 | |
Nippon Meat Packers, Inc. (Japan) | | | 2,000 | | | | 34,375 | |
Suedzucker AG (Germany) | | | 33,768 | | | | 912,246 | |
Tate & Lyle PLC (United Kingdom) | | | 3,668 | | | | 49,204 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Food Products (continued) | | | | | | | | |
Tyson Foods, Inc. (Class A Stock) | | | 23,000 | | | $ | 769,580 | |
Unilever NV (Netherlands) | | | 16,469 | | | | 662,144 | |
Wilmar International Ltd. (Singapore) | | | 339,000 | | | | 920,820 | |
| | | | | | |
|
|
|
| | | | | | | | 25,530,068 | |
| | | | | | |
|
|
|
Gas Utilities — 0.1% | | | | | | | | |
AGL Resources, Inc. | | | 8,939 | | | | 422,189 | |
ONEOK, Inc. | | | 16,000 | | | | 994,880 | |
| | | | | | |
|
|
|
| | | | | | | | 1,417,069 | |
| | | | | | |
|
|
|
Healthcare Equipment & Supplies — 1.1% | |
Abbott Laboratories | | | 121,000 | | | | 4,637,930 | |
Baxter International, Inc. | | | 41,700 | | | | 2,900,235 | |
Becton Dickinson and Co. | | | 15,300 | | | | 1,690,497 | |
Boston Scientific Corp.* | | | 113,067 | | | | 1,359,065 | |
C.R. Bard, Inc. | | | 5,800 | | | | 776,852 | |
CareFusion Corp.* | | | 17,675 | | | | 703,819 | |
Covidien PLC (Ireland) | | | 34,800 | | | | 2,369,880 | |
DENTSPLY International, Inc. | | | 11,200 | | | | 542,976 | |
Edwards Lifesciences Corp.* | | | 8,800 | | | | 578,688 | |
Intuitive Surgical, Inc.* | | | 3,300 | | | | 1,267,464 | |
Medtronic, Inc. | | | 78,700 | | | | 4,516,593 | |
Smith & Nephew PLC (United Kingdom) | | | 6,315 | | | | 90,196 | |
St. Jude Medical, Inc. | | | 23,400 | | | | 1,449,630 | |
Stryker Corp. | | | 21,600 | | | | 1,623,024 | |
Varian Medical Systems, Inc.* | | | 8,900 | | | | 691,441 | |
Zimmer Holdings, Inc. | | | 12,900 | | | | 1,202,151 | |
| | | | | | |
|
|
|
| | | | | | | | 26,400,441 | |
| | | | | | |
|
|
|
Healthcare Providers & Services — 1.1% | | | | | | | | |
Aetna, Inc. | | | 27,469 | | | | 1,884,099 | |
Alfresa Holdings Corp. (Japan) | | | 500 | | | | 24,817 | |
AmerisourceBergen Corp. | | | 17,900 | | | | 1,258,549 | |
Cardinal Health, Inc. | | | 24,750 | | | | 1,653,548 | |
CIGNA Corp. | | | 21,500 | | | | 1,880,820 | |
DaVita HealthCare Partners, Inc.* | | | 14,600 | | | | 925,202 | |
Express Scripts Holding Co.* | | | 63,749 | | | | 4,477,730 | |
Fresenius SE & Co. KGaA (Germany) | | | 7,042 | | | | 1,082,885 | |
Humana, Inc. | | | 12,600 | | | | 1,300,572 | |
Laboratory Corp. of America Holdings*(a) | | | 7,400 | | | | 676,138 | |
McKesson Corp. | | | 17,530 | | | | 2,829,342 | |
Medipal Holdings Corp. (Japan) | | | 53,300 | | | | 703,638 | |
Patterson Cos., Inc. | | | 9,000 | | | | 370,800 | |
Quest Diagnostics, Inc.(a) | | | 11,000 | | | | 588,940 | |
Sonic Healthcare Ltd. (Australia) | | | 30,814 | | | | 457,293 | |
Tenet Healthcare Corp.*(a) | | | 6,850 | | | | 288,522 | |
UnitedHealth Group, Inc. | | | 78,700 | | | | 5,926,110 | |
WellPoint, Inc. | | | 22,300 | | | | 2,060,297 | |
| | | | | | |
|
|
|
| | | | | | | | 28,389,302 | |
| | | | | | |
|
|
|
Healthcare Technology — 0.1% | | | | | | | | |
Cerner Corp.* | | | 24,400 | | | | 1,360,056 | |
| | | | | | |
|
|
|
Hotels, Restaurants & Leisure — 1.0% | | | | | | | | |
Carnival Corp. | | | 34,400 | | | | 1,381,848 | |
Chipotle Mexican Grill, Inc.* | | | 2,450 | | | | 1,305,311 | |
Darden Restaurants, Inc.(a) | | | 10,750 | | | | 584,478 | |
Flight Centre Ltd. (Australia) | | | 718 | | | | 30,579 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Hotels, Restaurants & Leisure (continued) | |
Galaxy Entertainment Group Ltd. (Hong Kong)* | | | 117,000 | | | $ | 1,053,382 | |
International Game Technology | | | 17,600 | | | | 319,616 | |
Marriott International, Inc. (Class A Stock) | | | 17,428 | | | | 860,246 | |
McDonald’s Corp. | | | 77,400 | | | | 7,510,122 | |
MGM China Holdings Ltd. (Hong Kong) | | | 144,800 | | | | 619,725 | |
Oriental Land Co. Ltd. (Japan) | | | 700 | | | | 100,950 | |
SJM Holdings Ltd. (Hong Kong) | | | 19,000 | | | | 63,868 | |
Starbucks Corp. | | | 58,200 | | | | 4,562,298 | |
Starwood Hotels & Resorts Worldwide, Inc. | | | 16,100 | | | | 1,279,145 | |
TUI Travel PLC (United Kingdom) | | | 96,450 | | | | 661,112 | |
Wyndham Worldwide Corp. | | | 12,320 | | | | 907,861 | |
Wynn Resorts Ltd.(a) | | | 6,100 | | | | 1,184,681 | |
Yum! Brands, Inc. | | | 33,900 | | | | 2,563,179 | |
| | | | | | |
|
|
|
| | | | | | | | 24,988,401 | |
| | | | | | |
|
|
|
Household Durables — 0.3% | | | | | | | | |
D.R. Horton, Inc.*(a) | | | 22,400 | | | | 499,968 | |
Garmin Ltd.(a) | | | 8,900 | | | | 411,358 | |
Harman International Industries, Inc. | | | 4,300 | | | | 351,955 | |
Iida Group Holdings Co. Ltd. (Japan)* | | | 1,900 | | | | 37,924 | |
Leggett & Platt, Inc.(a) | | | 11,700 | | | | 361,998 | |
Lennar Corp. (Class A Stock)(a) | | | 13,900 | | | | 549,884 | |
Mohawk Industries, Inc.* | | | 2,200 | | | | 327,580 | |
Newell Rubbermaid, Inc. | | | 23,814 | | | | 771,812 | |
Panasonic Corp. (Japan) | | | 116,600 | | | | 1,359,231 | |
Persimmon PLC (United Kingdom) | | | 39,050 | | | | 802,841 | |
PulteGroup, Inc. | | | 26,822 | | | | 546,364 | |
Sekisui Chemical Co. Ltd. (Japan) | | | 50,000 | | | | 613,576 | |
Whirlpool Corp. | | | 6,426 | | | | 1,007,982 | |
| | | | | | |
|
|
|
| | | | | | | | 7,642,473 | |
| | | | | | |
|
|
|
Household Products — 1.1% | | | | | | | | |
Clorox Co. (The)(a) | | | 10,800 | | | | 1,001,808 | |
Colgate-Palmolive Co. | | | 69,500 | | | | 4,532,095 | |
Kimberly-Clark Corp. | | | 29,700 | | | | 3,102,462 | |
Procter & Gamble Co. (The) | | | 212,025 | | | | 17,260,955 | |
Reckitt Benckiser Group PLC (United Kingdom) | | | 9,058 | | | | 719,534 | |
Svenska Cellulosa AB (Sweden) (Class B Stock) | | | 20,055 | | | | 617,852 | |
| | | | | | |
|
|
|
| | | | | | | | 27,234,706 | |
| | | | | | |
|
|
|
Independent Power Producers & Energy Traders — 0.1% | |
AES Corp. | | | 44,500 | | | | 645,695 | |
Electric Power Development Co. Ltd. (Japan) | | | 1,500 | | | | 43,735 | |
NRG Energy, Inc. | | | 22,100 | | | | 634,712 | |
| | | | | | |
|
|
|
| | | | | | | | 1,324,142 | |
| | | | | | |
|
|
|
Industrial Conglomerates — 1.4% | | | | | | | | |
3M Co. | | | 50,500 | | | | 7,082,625 | |
Danaher Corp. | | | 46,300 | | | | 3,574,360 | |
General Electric Co. | | | 785,200 | | | | 22,009,156 | |
Hutchison Whampoa Ltd. (Hong Kong) | | | 97,000 | | | | 1,321,699 | |
Siemens AG (Germany) | | | 2,536 | | | | 347,734 | |
| | | | | | |
|
|
|
| | | | | | | | 34,335,574 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A5
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Insurance — 1.9% | | | | | | | | |
ACE Ltd. (Switzerland) | | | 28,100 | | | $ | 2,909,193 | |
Aegon NV (Netherlands) | | | 57,261 | | | | 542,638 | |
Aflac, Inc. | | | 38,400 | | | | 2,565,120 | |
Ageas (Belgium) | | | 13,350 | | | | 569,294 | |
Allianz SE (Germany) | | | 6,006 | | | | 1,080,638 | |
Allstate Corp. (The) | | | 38,300 | | | | 2,088,882 | |
American International Group, Inc. | | | 114,339 | | | | 5,837,006 | |
Aon PLC | | | 25,400 | | | | 2,130,806 | |
Assurant, Inc. | | | 8,400 | | | | 557,508 | |
AXA SA (France) | | | 47,516 | | | | 1,323,213 | |
Baloise Holding AG (Switzerland) | | | 622 | | | | 79,314 | |
Chubb Corp. (The) | | | 21,300 | | | | 2,058,219 | |
Cincinnati Financial Corp.(a) | | | 11,237 | | | | 588,482 | |
Genworth Financial, Inc. (Class A Stock)* | | | 47,000 | | | | 729,910 | |
Hannover Rueckversicherung AG (Germany) | | | 10,975 | | | | 943,533 | |
Hartford Financial Services Group, Inc. (The) | | | 34,600 | | | | 1,253,558 | |
Insurance Australia Group Ltd. (Australia) | | | 28,725 | | | | 149,560 | |
Legal & General Group PLC (United Kingdom) | | | 328,047 | | | | 1,212,618 | |
Lincoln National Corp. | | | 20,118 | | | | 1,038,491 | |
Loews Corp. | | | 23,275 | | | | 1,122,786 | |
Marsh & McLennan Cos., Inc. | | | 45,400 | | | | 2,195,544 | |
MetLife, Inc. | | | 86,700 | | | | 4,674,864 | |
Muenchener Rueckversicherungs AG (Germany) | | | 6,195 | | | | 1,366,436 | |
NKSJ Holdings, Inc. (Japan) | | | 1,300 | | | | 36,184 | |
Principal Financial Group, Inc. | | | 23,600 | | | | 1,163,716 | |
Progressive Corp. (The) | | | 42,000 | | | | 1,145,340 | |
Prudential PLC (United Kingdom) | | | 28,777 | | | | 642,997 | |
Sampo OYJ (Finland) (Class A Stock) | | | 18,369 | | | | 902,888 | |
Swiss Re AG (Switzerland) | | | 14,137 | | | | 1,303,268 | |
Torchmark Corp. | | | 9,750 | | | | 761,963 | |
Travelers Cos., Inc. (The) | | | 29,235 | | | | 2,646,937 | |
Unum Group | | | 25,410 | | | | 891,383 | |
XL Group PLC (Ireland) | | | 21,700 | | | | 690,928 | |
Zurich Insurance Group AG (Switzerland) | | | 1,129 | | | | 327,482 | |
| | | | | | |
|
|
|
| | | | | | | | 47,530,699 | |
| | | | | | |
|
|
|
Internet & Catalog Retail — 0.8% | | | | | | | | |
Amazon.com, Inc.* | | | 28,700 | | | | 11,445,273 | |
Expedia, Inc. | | | 8,150 | | | | 567,729 | |
Netflix, Inc.* | | | 4,700 | | | | 1,730,399 | |
priceline.com, Inc.* | | | 3,900 | | | | 4,533,360 | |
TripAdvisor, Inc.*(a) | | | 8,250 | | | | 683,348 | |
| | | | | | |
|
|
|
| | | | | | | | 18,960,109 | |
| | | | | | |
|
|
|
Internet Software & Services — 1.6% | | | | | | | | |
Akamai Technologies, Inc.*(a) | | | 14,700 | | | | 693,546 | |
eBay, Inc.* | | | 88,700 | | | | 4,868,743 | |
Facebook, Inc. (Class A Stock)* | | | 124,900 | | | | 6,827,034 | |
Google, Inc. (Class A Stock)* | | | 21,690 | | | | 24,308,200 | |
United Internet AG (Germany) | | | 18,292 | | | | 779,792 | |
VeriSign, Inc.*(a) | | | 9,600 | | | | 573,888 | |
Yahoo!, Inc.* | | | 72,500 | | | | 2,931,900 | |
| | | | | | |
|
|
|
| | | | | | | | 40,983,103 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
IT Services — 1.9% | | | | | | | | |
Accenture PLC (Ireland) (Class A Stock) | | | 50,300 | | | $ | 4,135,666 | |
Alliance Data Systems Corp.*(a) | | | 2,300 | | | | 604,739 | |
Amadeus IT Holding SA (Spain) (Class A Stock) | | | 13,276 | | | | 568,684 | |
Automatic Data Processing, Inc. | | | 37,200 | | | | 3,006,132 | |
Cap Gemini SA (France) | | | 15,225 | | | | 1,030,514 | |
Cognizant Technology Solutions Corp. (Class A Stock)* | | | 22,700 | | | | 2,292,248 | |
Computer Sciences Corp. | | | 12,500 | | | | 698,500 | |
Computershare Ltd. (Australia) | | | 2,348 | | | | 23,927 | |
Fidelity National Information Services, Inc. | | | 24,100 | | | | 1,293,688 | |
Fiserv, Inc.* | | | 21,400 | | | | 1,263,670 | |
International Business Machines Corp. | | | 79,700 | | | | 14,949,329 | |
MasterCard, Inc. (Class A Stock) | | | 7,950 | | | | 6,641,907 | |
Otsuka Corp. (Japan) | | | 1,300 | | | | 166,080 | |
Paychex, Inc. | | | 24,500 | | | | 1,115,485 | |
Teradata Corp.*(a) | | | 11,400 | | | | 518,586 | |
Total System Services, Inc. | | | 15,596 | | | | 519,035 | |
Visa, Inc. (Class A Stock) | | | 40,000 | | | | 8,907,200 | |
Western Union Co. (The) | | | 45,210 | | | | 779,873 | |
| | | | | | |
|
|
|
| | | | | | | | 48,515,263 | |
| | | | | | |
|
|
|
Leisure Equipment & Products — 0.1% | | | | | | | | |
Hasbro, Inc.(a) | | | 9,900 | | | | 544,599 | |
Mattel, Inc. | | | 27,151 | | | | 1,291,845 | |
Namco Bandai Holdings, Inc. (Japan) | | | 2,300 | | | | 51,066 | |
| | | | | | |
|
|
|
| | | | | | | | 1,887,510 | |
| | | | | | |
|
|
|
Life Sciences Tools & Services — 0.3% | | | | | | | | |
Agilent Technologies, Inc. | | | 27,314 | | | | 1,562,088 | |
Life Technologies Corp.* | | | 14,301 | | | | 1,084,016 | |
PerkinElmer, Inc. | | | 10,100 | | | | 416,423 | |
Thermo Fisher Scientific, Inc.(a) | | | 27,700 | | | | 3,084,395 | |
Waters Corp.* | | | 7,300 | | | | 730,000 | |
| | | | | | |
|
|
|
| | | | | | | | 6,876,922 | |
| | | | | | |
|
|
|
Machinery — 1.0% | | | | | | | | |
Atlas Copco AB (Sweden) (Class A Stock) | | | 6,382 | | | | 177,203 | |
Atlas Copco AB (Sweden) (Class B Stock) | | | 5,174 | | | | 131,530 | |
Caterpillar, Inc. | | | 49,900 | | | | 4,531,419 | |
Cummins, Inc. | | | 12,800 | | | | 1,804,416 | |
Deere & Co. | | | 29,100 | | | | 2,657,703 | |
Dover Corp. | | | 13,500 | | | | 1,303,290 | |
Flowserve Corp. | | | 10,600 | | | | 835,598 | |
GEA Group AG (Germany) | | | 4,399 | | | | 209,769 | |
Hino Motors Ltd. (Japan) | | | 60,000 | | | | 945,165 | |
IHI Corp. (Japan) | | | 17,000 | | | | 73,519 | |
Illinois Tool Works, Inc. | | | 31,400 | | | | 2,640,112 | |
Ingersoll-Rand PLC (Ireland) | | | 22,300 | | | | 1,373,680 | |
Joy Global, Inc.(a) | | | 6,600 | | | | 386,034 | |
Kone OYJ (Finland) (Class B Stock) | | | 524 | | | | 23,632 | |
Kubota Corp. (Japan) | | | 14,000 | | | | 232,221 | |
Mitsubishi Heavy Industries Ltd. (Japan) | | | 40,000 | | | | 247,743 | |
PACCAR, Inc. | | | 25,543 | | | | 1,511,379 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A6
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Machinery (continued) | | | | | | | | |
Pall Corp. | | | 9,600 | | | $ | 819,360 | |
Parker Hannifin Corp. | | | 11,065 | | | | 1,423,402 | |
Pentair Ltd. (Switzerland) | | | 16,277 | | | | 1,264,235 | |
Snap-on, Inc. | | | 4,800 | | | | 525,696 | |
Stanley Black & Decker, Inc. | | | 12,897 | | | | 1,040,659 | |
Xylem, Inc. | | | 15,200 | | | | 525,920 | |
Yangzijiang Shipbuilding Holdings Ltd. (China) | | | 897,000 | | | | 844,231 | |
| | | | | | |
|
|
|
| | | | | | | | 25,527,916 | |
| | | | | | |
|
|
|
Marine | | | | | | | | |
A.P. Moeller – Maersk A/S (Denmark) (Class A Stock) | | | 7 | | | | 72,107 | |
A.P. Moeller – Maersk A/S (Denmark) (Class B Stock) | | | 86 | | | | 930,688 | |
| | | | | | |
|
|
|
| | | | | | | | 1,002,795 | |
| | | | | | |
|
|
|
Media — 2.0% | | | | | | | | |
Cablevision Systems Corp. (Class A Stock)(a) | | | 14,900 | | | | 267,157 | |
CBS Corp. (Class B Stock) | | | 42,934 | | | | 2,736,613 | |
Comcast Corp. (Class A Stock) | | | 202,490 | | | | 10,522,393 | |
Dentsu, Inc. (Japan) | | | 2,900 | | | | 118,606 | |
DIRECTV* | | | 38,900 | | | | 2,687,601 | |
Discovery Communications, Inc. (Class A Stock)* | | | 19,000 | | | | 1,717,980 | |
Gannett Co., Inc. | | | 16,800 | | | | 496,944 | |
Interpublic Group of Cos., Inc. (The) | | | 37,731 | | | | 667,839 | |
ITV PLC (United Kingdom) | | | 329,701 | | | | 1,061,031 | |
JCDecaux SA (France) | | | 22,701 | | | | 937,173 | |
News Corp. (Class A Stock)* | | | 33,075 | | | | 596,012 | |
Omnicom Group, Inc. | | | 20,200 | | | | 1,502,274 | |
REA Group Ltd. | | | 12,355 | | | | 417,321 | |
RTL Group SA (Germany) | | | 504 | | | | 65,235 | |
Scripps Networks Interactive, Inc. (Class A Stock) | | | 9,200 | | | | 794,972 | |
Time Warner Cable, Inc. | | | 21,914 | | | | 2,969,347 | |
Time Warner, Inc. | | | 71,566 | | | | 4,989,582 | |
Twenty-First Century Fox, Inc. (Class A Stock) | | | 151,500 | | | | 5,329,770 | |
Viacom, Inc. (Class B Stock) | | | 32,434 | | | | 2,832,786 | |
Walt Disney Co. (The) | | | 128,600 | | | | 9,825,040 | |
| | | | | | |
|
|
|
| | | | | | | | 50,535,676 | |
| | | | | | |
|
|
|
Metals & Mining — 0.6% | | | | | | | | |
Alcoa, Inc.(a) | | | 90,540 | | | | 962,440 | |
Allegheny Technologies, Inc. | | | 9,900 | | | | 352,737 | |
Anglo American PLC (United Kingdom) | | | 57,926 | | | | 1,267,735 | |
BHP Billiton Ltd. (Australia) | | | 45,477 | | | | 1,550,440 | |
BHP Billiton PLC (United Kingdom) | | | 56,068 | | | | 1,739,794 | |
Cliffs Natural Resources, Inc.(a) | | | 12,700 | | | | 332,867 | |
Fortescue Metals Group Ltd. (Australia) | | | 187,552 | | | | 979,736 | |
Freeport-McMoRan Copper & Gold, Inc. | | | 81,988 | | | | 3,094,227 | |
JFE Holdings, Inc. (Japan) | | | 6,300 | | | | 150,129 | |
Kobe Steel Ltd. (Japan)* | | | 32,000 | | | | 54,860 | |
Mitsubishi Materials Corp. (Japan) | | | 82,000 | | | | 303,109 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Metals & Mining (continued) | | | | | | | | |
Newmont Mining Corp. | | | 37,600 | | | $ | 865,928 | |
Nippon Steel & Sumitomo Metal Corp. (Japan) | | | 98,000 | | | | 328,673 | |
Nucor Corp. | | | 24,800 | | | | 1,323,824 | |
Rio Tinto PLC (United Kingdom) | | | 444 | | | | 25,090 | |
Sumitomo Metal Mining Co. Ltd. (Japan) | | | 41,000 | | | | 537,235 | |
United States Steel Corp.(a) | | | 14,700 | | | | 433,650 | |
Voestalpine AG (Austria) | | | 19,359 | | | | 930,287 | |
| | | | | | |
|
|
|
| | | | | | | | 15,232,761 | |
| | | | | | |
|
|
|
Multi-Utilities — 0.7% | | | | | | | | |
Ameren Corp. | | | 20,000 | | | | 723,200 | |
CenterPoint Energy, Inc. | | | 33,400 | | | | 774,212 | |
Centrica PLC (United Kingdom) | | | 95,788 | | | | 552,376 | |
CMS Energy Corp. | | | 23,000 | | | | 615,710 | |
Consolidated Edison, Inc. | | | 24,200 | | | | 1,337,776 | |
Dominion Resources, Inc. | | | 44,732 | | | | 2,893,713 | |
DTE Energy Co. | | | 13,100 | | | | 869,709 | |
E.ON AG (Germany) | | | 69,549 | | | | 1,285,820 | |
GDF Suez (France) | | | 26,655 | | | | 626,913 | |
Integrys Energy Group, Inc. | | | 6,620 | | | | 360,194 | |
National Grid PLC (United Kingdom) | | | 116,087 | | | | 1,518,334 | |
NiSource, Inc. | | | 24,800 | | | | 815,424 | |
PG&E Corp. | | | 33,900 | | | | 1,365,492 | |
Public Service Enterprise Group, Inc. | | | 39,400 | | | | 1,262,376 | |
SCANA Corp. | | | 11,500 | | | | 539,695 | |
Sempra Energy | | | 18,019 | | | | 1,617,385 | |
TECO Energy, Inc.(a) | | | 20,500 | | | | 353,420 | |
Wisconsin Energy Corp.(a) | | | 18,800 | | | | 777,192 | |
| | | | | | |
|
|
|
| | | | | | | | 18,288,941 | |
| | | | | | |
|
|
|
Multiline Retail — 0.4% | | | | | | | | |
Dollar General Corp.* | | | 22,800 | | | | 1,375,296 | |
Dollar Tree, Inc.*(a) | | | 16,800 | | | | 947,856 | |
Family Dollar Stores, Inc. | | | 7,600 | | | | 493,772 | |
Kohl’s Corp. | | | 16,900 | | | | 959,075 | |
Macy’s, Inc. | | | 29,174 | | | | 1,557,892 | |
Next PLC (United Kingdom) | | | 6,385 | | | | 577,153 | |
Nordstrom, Inc.(a) | | | 12,400 | | | | 766,320 | |
Takashimaya Co. Ltd. (Japan) | | | 3,000 | | | | 29,933 | |
Target Corp. | | | 48,900 | | | | 3,093,903 | |
| | | | | | |
|
|
|
| | | | | | | | 9,801,200 | |
| | | | | | |
|
|
|
Office Electronics — 0.1% | | | | | | | | |
Konica Minolta Holdings, Inc. (Japan) | | | 18,500 | | | | 184,876 | |
Ricoh Co. Ltd. (Japan) | | | 25,000 | | | | 265,870 | |
Xerox Corp. | | | 95,663 | | | | 1,164,219 | |
| | | | | | |
|
|
|
| | | | | | | | 1,614,965 | |
| | | | | | |
|
|
|
Oil, Gas & Consumable Fuels — 4.8% | | | | | | | | |
Anadarko Petroleum Corp. | | | 39,354 | | | | 3,121,559 | |
Apache Corp. | | | 31,014 | | | | 2,665,343 | |
BG Group PLC (United Kingdom) | | | 2,059 | | | | 44,307 | |
BP PLC (United Kingdom) | | | 367,497 | | | | 2,978,253 | |
Cabot Oil & Gas Corp. | | | 33,700 | | | | 1,306,212 | |
Chesapeake Energy Corp.(a) | | | 41,800 | | | | 1,134,452 | |
Chevron Corp. | | | 149,822 | | | | 18,714,266 | |
ConocoPhillips | | | 94,677 | | | | 6,688,930 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A7
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Oil, Gas & Consumable Fuels (continued) | |
CONSOL Energy, Inc.(a) | | | 19,500 | | | $ | 741,780 | |
Delek Group Ltd. (Israel) | | | 1,515 | | | | 578,709 | |
Denbury Resources, Inc.* | | | 26,700 | | | | 438,681 | |
Devon Energy Corp. | | | 28,100 | | | | 1,738,547 | |
ENI SpA (Italy) | | | 24,463 | | | | 591,118 | |
EOG Resources, Inc. | | | 21,000 | | | | 3,524,640 | |
EQT Corp. | | | 11,500 | | | | 1,032,470 | |
Exxon Mobil Corp. | | | 338,899 | | | | 34,296,579 | |
Hess Corp. | | | 21,200 | | | | 1,759,600 | |
Kinder Morgan, Inc. | | | 51,598 | | | | 1,857,528 | |
Marathon Oil Corp. | | | 52,782 | | | | 1,863,205 | |
Marathon Petroleum Corp. | | | 24,341 | | | | 2,232,800 | |
Murphy Oil Corp. | | | 13,700 | | | | 888,856 | |
Newfield Exploration Co.* | | | 13,900 | | | | 342,357 | |
Noble Energy, Inc. | | | 28,700 | | | | 1,954,757 | |
Occidental Petroleum Corp. | | | 62,100 | | | | 5,905,710 | |
OMV AG (Austria) | | | 19,182 | | | | 918,065 | |
Peabody Energy Corp. | | | 23,300 | | | | 455,049 | |
Phillips 66 | | | 47,238 | | | | 3,643,467 | |
Pioneer Natural Resources Co. | | | 10,300 | | | | 1,895,921 | |
QEP Resources, Inc. | | | 15,500 | | | | 475,075 | |
Range Resources Corp. | | | 12,100 | | | | 1,020,151 | |
Repsol SA (Spain) | | | 8,195 | | | | 206,786 | |
Royal Dutch Shell PLC (United Kingdom) (Class A Stock) | | | 19,046 | | | | 682,579 | |
Royal Dutch Shell PLC (United Kingdom) (Class B Stock) | | | 57,558 | | | | 2,171,109 | |
Showa Shell Sekiyu KK (Japan) | | | 76,600 | | | | 778,630 | |
Southwestern Energy Co.* | | | 29,000 | | | | 1,140,570 | |
Spectra Energy Corp. | | | 49,162 | | | | 1,751,150 | |
Tesoro Corp. | | | 11,200 | | | | 655,200 | |
Total SA (France) | | | 41,433 | | | | 2,543,145 | |
Valero Energy Corp. | | | 43,300 | | | | 2,182,320 | |
Williams Cos., Inc. (The) | | | 50,300 | | | | 1,940,071 | |
Woodside Petroleum Ltd. (Australia) | | | 8,681 | | | | 302,345 | |
WPX Energy, Inc.*(a) | | | 20,033 | | | | 408,273 | |
| | | | | | |
|
|
|
| | | | | | | | 119,570,565 | |
| | | | | | |
|
|
|
Paper & Forest Products — 0.1% | | | | | | | | |
International Paper Co. | | | 32,173 | | | | 1,577,442 | |
OJI Holdings Corp. (Japan) | | | 11,000 | | | | 56,424 | |
| | | | | | |
|
|
|
| | | | | | | | 1,633,866 | |
| | | | | | |
|
|
|
Personal Products — 0.1% | | | | | | | | |
Avon Products, Inc. | | | 39,200 | | | | 675,024 | |
Estee Lauder Cos., Inc. (The) (Class A Stock) | | | 18,300 | | | | 1,378,356 | |
| | | | | | |
|
|
|
| | | | | | | | 2,053,380 | |
| | | | | | |
|
|
|
Pharmaceuticals — 3.6% | | | | | | | | |
AbbVie, Inc. | | | 122,100 | | | | 6,448,101 | |
Actavis, Inc.* | | | 13,000 | | | | 2,184,000 | |
Allergan, Inc. | | | 22,300 | | | | 2,477,084 | |
AstraZeneca PLC (United Kingdom) | | | 6,732 | | | | 399,391 | |
Bayer AG (Germany) | | | 3,151 | | | | 442,436 | |
Bristol-Myers Squibb Co. | | | 127,470 | | | | 6,775,031 | |
Eli Lilly & Co. | | | 76,800 | | | | 3,916,800 | |
Forest Laboratories, Inc.* | | | 17,600 | | | | 1,056,528 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Pharmaceuticals (continued) | | | | | | | | |
GlaxoSmithKline PLC (United Kingdom) | | | 96,215 | | | $ | 2,570,636 | |
Hospira, Inc.*(a) | | | 14,860 | | | | 613,421 | |
Johnson & Johnson | | | 219,148 | | | | 20,071,765 | |
Merck & Co., Inc. | | | 226,633 | | | | 11,342,982 | |
Merck KGaA (Germany) | | | 3,822 | | | | 685,776 | |
Mylan, Inc.* | | | 31,500 | | | | 1,367,100 | |
Novartis AG (Switzerland) | | | 30,072 | | | | 2,410,252 | |
Novo Nordisk A/S (Denmark) (Class B Stock) | | | 2,242 | | | | 410,963 | |
Otsuka Holdings Co. Ltd. (Japan) | | | 35,600 | | | | 1,027,912 | |
Perrigo Co. PLC | | | 8,300 | | | | 1,273,718 | |
Pfizer, Inc. | | | 509,570 | | | | 15,608,129 | |
Roche Holding AG (Switzerland) | | | 12,043 | | | | 3,373,561 | |
Sanofi (France) | | | 10,170 | | | | 1,086,108 | |
Shionogi & Co. Ltd. (Japan) | | | 35,600 | | | | 772,865 | |
Shire PLC (United Kingdom) | | | 13,613 | | | | 641,546 | |
Taisho Pharmaceutical Holdings Co. Ltd. (Japan) | | | 400 | | | | 27,495 | |
Teva Pharmaceutical Industries Ltd. (Israel) | | | 19,370 | | | | 775,021 | |
Zoetis, Inc. | | | 41,300 | | | | 1,350,097 | |
| | | | | | |
|
|
|
| | | | | | | | 89,108,718 | |
| | | | | | |
|
|
|
Professional Services — 0.1% | | | | | | | | |
Adecco SA (Switzerland) | | | 4,289 | | | | 340,490 | |
Capita PLC (United Kingdom) | | | 42,072 | | | | 724,198 | |
Dun & Bradstreet Corp. (The) | | | 2,900 | | | | 355,975 | |
Equifax, Inc. | | | 10,100 | | | | 697,809 | |
Nielsen Holdings NV | | | 17,600 | | | | 807,664 | |
Randstad Holding NV (Netherlands) | | | 3,477 | | | | 225,634 | |
Robert Half International, Inc. | | | 11,200 | | | | 470,288 | |
| | | | | | |
|
|
|
| | | | | | | | 3,622,058 | |
| | | | | | |
|
|
|
Real Estate Investment Trusts — 1.0% | | | | | | | | |
American Tower Corp. | | | 29,900 | | | | 2,386,618 | |
Apartment Investment & Management Co. (Class A Stock) | | | 13,033 | | | | 337,685 | |
AvalonBay Communities, Inc. | | | 10,075 | | | | 1,191,167 | |
Boston Properties, Inc. | | | 12,600 | | | | 1,264,662 | |
CapitaCommercial Trust (Singapore) | | | 501,000 | | | | 576,973 | |
CapitaMall Trust (Singapore) | | | 32,000 | | | | 48,427 | |
Dexus Property Group (Australia) | | | 61,408 | | | | 55,229 | |
Equity Residential(a) | | | 24,100 | | | | 1,250,067 | |
General Growth Properties, Inc.(a) | | | 35,000 | | | | 702,450 | |
HCP, Inc. | | | 36,600 | | | | 1,329,312 | |
Health Care REIT, Inc.(a) | | | 20,200 | | | | 1,082,114 | |
Host Hotels & Resorts, Inc.(a) | | | 61,982 | | | | 1,204,930 | |
Japan Retail Fund Investment Corp. (Japan) | | | 30 | | | | 61,041 | |
Kimco Realty Corp. | | | 33,800 | | | | 667,550 | |
Link REIT (The) (Hong Kong) | | | 200,500 | | | | 972,437 | |
Macerich Co. (The) | | | 9,500 | | | | 559,455 | |
Nippon Building Fund, Inc. (Japan) | | | 18 | | | | 104,584 | |
Plum Creek Timber Co., Inc.(a) | | | 12,700 | | | | 590,677 | |
Prologis, Inc. | | | 39,977 | | | | 1,477,150 | |
Public Storage | | | 10,600 | | | | 1,595,512 | |
Simon Property Group, Inc. | | | 24,243 | | | | 3,688,815 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A8
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Real Estate Investment Trusts (continued) | |
Unibail-Rodamco SE (Netherlands) | | | 4,547 | | | $ | 1,165,216 | |
Ventas, Inc. | | | 21,918 | | | | 1,255,463 | |
Vornado Realty Trust | | | 14,225 | | | | 1,263,038 | |
Westfield Retail Trust (Australia) | | | 39,307 | | | | 104,424 | |
Weyerhaeuser Co. | | | 42,398 | | | | 1,338,505 | |
| | | | | | |
|
|
|
| | | | | | | | 26,273,501 | |
| | | | | | |
|
|
|
Real Estate Management & Development — 0.1% | |
CBRE Group, Inc. (Class A Stock)* | | | 24,300 | | | | 639,090 | |
Daiwa House Industry Co. Ltd. (Japan) | | | 8,000 | | | | 155,002 | |
Henderson Land Development Co. Ltd. (Hong Kong) | | | 5,000 | | | | 28,585 | |
Hysan Development Co. Ltd. (Hong Kong) | | | 196,000 | | | | 846,082 | |
Keppel Land Ltd. (Singapore) | | | 9,000 | | | | 23,890 | |
Sino Land Co. Ltd. (Hong Kong) | | | 36,000 | | | | 49,370 | |
Swire Pacific Ltd. (Hong Kong) (Class A Stock) | | | 9,000 | | | | 105,747 | |
Swiss Prime Site AG (Switzerland) | | | 4,583 | | | | 354,902 | |
Wheelock & Co. Ltd. (Hong Kong) | | | 15,000 | | | | 69,103 | |
| | | | | | |
|
|
|
| | | | | | | | 2,271,771 | |
| | | | | | |
|
|
|
Road & Rail — 0.5% | | | | | | | | |
ComfortDelGro Corp. Ltd. (Singapore) | | | 26,000 | | | | 41,574 | |
CSX Corp. | | | 76,300 | | | | 2,195,151 | |
East Japan Railway Co. (Japan) | | | 4,300 | | | | 342,529 | |
Kansas City Southern | | | 9,000 | | | | 1,114,470 | |
Nippon Express Co. Ltd. (Japan) | | | 10,000 | | | | 48,406 | |
Norfolk Southern Corp. | | | 23,400 | | | | 2,172,222 | |
Ryder System, Inc. | | | 4,900 | | | | 361,522 | |
Union Pacific Corp. | | | 35,900 | | | | 6,031,200 | |
West Japan Railway Co. (Japan) | | | 7,600 | | | | 329,296 | |
| | | | | | |
|
|
|
| | | | | | | | 12,636,370 | |
| | | | | | |
|
|
|
Semiconductors & Semiconductor Equipment — 1.0% | |
Altera Corp. | | | 23,800 | | | | 774,214 | |
Analog Devices, Inc. | | | 25,700 | | | | 1,308,901 | |
Applied Materials, Inc. | | | 87,500 | | | | 1,547,875 | |
Broadcom Corp. (Class A Stock) | | | 45,450 | | | | 1,347,593 | |
First Solar, Inc.*(a) | | | 5,400 | | | | 295,056 | |
Intel Corp. | | | 385,800 | | | | 10,015,368 | |
KLA-Tencor Corp. | | | 11,400 | | | | 734,844 | |
Lam Research Corp.* | | | 11,650 | | | | 634,343 | |
Linear Technology Corp.(a) | | | 15,400 | | | | 701,470 | |
LSI Corp. | | | 44,200 | | | | 487,084 | |
Microchip Technology, Inc.(a) | | | 16,600 | | | | 742,850 | |
Micron Technology, Inc.* | | | 81,800 | | | | 1,779,968 | |
NVIDIA Corp.(a) | | | 47,750 | | | | 764,955 | |
Rohm Co. Ltd. (Japan) | | | 1,200 | | | | 58,532 | |
Texas Instruments, Inc. | | | 85,800 | | | | 3,767,478 | |
Xilinx, Inc. | | | 22,000 | | | | 1,010,240 | |
| | | | | | |
|
|
|
| | | | | | | | 25,970,771 | |
| | | | | | |
|
|
|
Software — 1.8% | | | | | | | | |
Adobe Systems, Inc.* | | | 35,000 | | | | 2,095,800 | |
Autodesk, Inc.* | | | 14,900 | | | | 749,917 | |
CA, Inc. | | | 25,164 | | | | 846,769 | |
Citrix Systems, Inc.* | | | 15,100 | | | | 955,075 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Software (continued) | | | | | | | | |
Electronic Arts, Inc.*(a) | | | 26,400 | | | $ | 605,616 | |
Intuit, Inc.(a) | | | 23,500 | | | | 1,793,520 | |
Microsoft Corp. | | | 586,900 | | | | 21,967,667 | |
Oracle Corp. | | | 276,900 | | | | 10,594,194 | |
Red Hat, Inc.* | | | 12,700 | | | | 711,708 | |
Salesforce.com, Inc.*(a) | | | 43,300 | | | | 2,389,727 | |
SAP AG (Germany) | | | 367 | | | | 31,827 | |
Symantec Corp. | | | 57,678 | | | | 1,360,047 | |
Trend Micro, Inc. (Japan) | | | 1,000 | | | | 35,043 | |
| | | | | | |
|
|
|
| | | | | | | | 44,136,910 | |
| | | | | | |
|
|
|
Specialty Retail — 1.2% | | | | | | | | |
ABC-Mart, Inc. (Japan) | | | 300 | | | | 13,107 | |
AutoNation, Inc.* | | | 3,874 | | | | 192,499 | |
AutoZone, Inc.*(a) | | | 2,750 | | | | 1,314,335 | |
Bed Bath & Beyond, Inc.*(a) | | | 18,000 | | | | 1,445,400 | |
Best Buy Co., Inc. | | | 22,025 | | | | 878,357 | |
CarMax, Inc.*(a) | | | 18,500 | | | | 869,870 | |
GameStop Corp. (Class A Stock) | | | 9,100 | | | | 448,266 | |
Gap, Inc. (The) | | | 18,700 | | | | 730,796 | |
Hennes & Mauritz AB (Sweden) (Class B Stock) | | | 10,994 | | | | 506,345 | |
Home Depot, Inc. (The) | | | 109,450 | | | | 9,012,113 | |
L Brands, Inc. | | | 20,306 | | | | 1,255,926 | |
Lowe’s Cos., Inc. | | | 82,600 | | | | 4,092,830 | |
O’Reilly Automotive, Inc.*(a) | | | 8,200 | | | | 1,055,422 | |
PetSmart, Inc.(a) | | | 8,600 | | | | 625,650 | |
Ross Stores, Inc. | | | 17,700 | | | | 1,326,261 | |
Staples, Inc. | | | 56,449 | | | | 896,975 | |
Tiffany & Co. | | | 8,300 | | | | 770,074 | |
TJX Cos., Inc. (The) | | | 55,400 | | | | 3,530,642 | |
Urban Outfitters, Inc.* | | | 6,900 | | | | 255,990 | |
USS Co. Ltd. (Japan) | | | 1,200 | | | | 16,460 | |
| | | | | | |
|
|
|
| | | | | | | | 29,237,318 | |
| | | | | | |
|
|
|
Textiles, Apparel & Luxury Goods — 0.5% | |
Asics Corp. (Japan) | | | 3,500 | | | | 59,823 | |
Christian Dior SA (France) | | | 3,895 | | | | 737,253 | |
Cie Financiere Richemont SA (Switzerland) | | | 1,881 | | | | 187,907 | |
Coach, Inc. | | | 22,100 | | | | 1,240,473 | |
Fossil Group, Inc.* | | | 3,000 | | | | 359,820 | |
Michael Kors Holdings Ltd.* | | | 13,900 | | | | 1,128,541 | |
NIKE, Inc. (Class B Stock) | | | 59,000 | | | | 4,639,760 | |
PVH Corp. | | | 6,500 | | | | 884,130 | |
Ralph Lauren Corp. | | | 5,100 | | | | 900,507 | |
Swatch Group AG (The) (Switzerland) | | | 556 | | | | 62,674 | |
VF Corp. | | | 25,600 | | | | 1,595,904 | |
Yue Yuen Industrial Holdings Ltd. (Hong Kong) | | | 7,500 | | | | 25,078 | |
| | | | | | |
|
|
|
| | | | | | | | 11,821,870 | |
| | | | | | |
|
|
|
Thrifts & Mortgage Finance | | | | | | | | |
Hudson City Bancorp, Inc. | | | 34,300 | | | | 323,449 | |
People’s United Financial, Inc. | | | 26,300 | | | | 397,656 | |
| | | | | | |
|
|
|
| | | | | | | | 721,105 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A9
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Tobacco — 0.9% | | | | | | | | |
Altria Group, Inc. | | | 154,100 | | | $ | 5,915,899 | |
British American Tobacco (United Kingdom) | | | 23,704 | | | | 1,272,298 | |
Imperial Tobacco Group PLC (United Kingdom) | | | 709 | | | | 27,487 | |
Japan Tobacco, Inc. (Japan) | | | 38,000 | | | | 1,236,473 | |
Lorillard, Inc. | | | 26,841 | | | | 1,360,302 | |
Philip Morris International, Inc. | | | 125,300 | | | | 10,917,389 | |
Reynolds American, Inc. | | | 24,100 | | | | 1,204,759 | |
| | | | | | |
|
|
|
| | | | | | | | 21,934,607 | |
| | | | | | |
|
|
|
Trading Companies & Distributors — 0.2% | |
Fastenal Co. | | | 21,500 | | | | 1,021,465 | |
ITOCHU Corp. (Japan) | | | 17,000 | | | | 210,165 | |
Marubeni Corp. (Japan) | | | 53,000 | | | | 381,551 | |
Mitsubishi Corp. (Japan) | | | 61,700 | | | | 1,184,512 | |
Mitsui & Co. Ltd. (Japan) | | | 22,400 | | | | 312,282 | |
Sojitz Corp. (Japan) | | | 465,900 | | | | 829,497 | |
Travis Perkins PLC (United Kingdom) | | | 24,026 | | | | 746,348 | |
W.W. Grainger, Inc. | | | 4,700 | | | | 1,200,474 | |
| | | | | | |
|
|
|
| | | | | | | | 5,886,294 | |
| | | | | | |
|
|
|
Transportation Infrastructure — 0.1% | | | | | | | | |
Abertis Infraestructuras SA (Spain) | | | 23,314 | | | | 518,572 | |
Atlantia SpA (Italy) | | | 43,713 | | | | 979,168 | |
Auckland International Airport Ltd. (New Zealand) | | | 18,452 | | | | 53,588 | |
Sydney Airport (Australia) | | | 20,874 | | | | 70,943 | |
| | | | | | |
|
|
|
| | | | | | | | 1,622,271 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Wireless Telecommunication Services — 0.2% | | | | | |
Crown Castle International Corp.* | | | 24,300 | | | $ | 1,784,349 | |
KDDI Corp. (Japan) | | | 21,200 | | | | 1,306,244 | |
Millicom International Cellular SA, SDR | | | 865 | | | | 86,194 | |
NTT DOCOMO, Inc. (Japan) | | | 20,900 | | | | 344,145 | |
Softbank Corp. (Japan) | | | 1,300 | | | | 114,076 | |
Vodafone Group PLC (United Kingdom) | | | 357,973 | | | | 1,409,416 | |
| | | | | | |
|
|
|
| | | | | | | | 5,044,424 | |
| | | | | | |
|
|
|
TOTAL COMMON STOCKS
(cost $706,859,563) | | | | 1,452,785,994 | |
| | | | | | |
|
|
|
| EXCHANGE TRADED FUND — 0.1% | | | | | |
iShares MSCI EAFE Index Fund
(cost $2,398,561) | | | 39,150 | | | | 2,625,399 | |
| | | | | | |
|
|
|
| PREFERRED STOCKS — 0.1% | | | | | |
Automobiles | | | | | | | | |
Bayerische Motoren Werke AG (Germany) (PRFC) | | | 697 | | | | 59,602 | |
Volkswagen AG (Germany) (PRFC) | | | 168 | | | | 47,279 | |
| | | | | | |
|
|
|
| | | | | | | | 106,881 | |
| | | | | | |
|
|
|
Banking | | | | | | | | |
Citigroup Capital XIII, 7.875%,
(Capital Security, fixed to floating preferred)(b) | | | 20,000 | | | | 545,000 | |
| | | | | | |
|
|
|
Media — 0.1% | | | | | | | | |
ProSiebenSat.1 Media AG (Germany) | | | 19,323 | | | | 959,505 | |
| | | | | | |
|
|
|
TOTAL PREFERRED STOCKS
(cost $1,437,193) | | | | 1,611,386 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A10
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
| ASSET-BACKED SECURITIES — 1.9% | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Collateralized Debt Obligations | | | | | | | | | | | | | | | | |
Cent CDO XI Ltd. (Cayman Islands), Series 2006-11A, Class A1, 144A | | | | | 0.498% | (b) | | 04/25/19 | | | 419 | | | $ | 413,522 | |
| | | | | | | | | | | | | | |
|
|
|
Collateralized Loan Obligations — 1.1% | | | | | | | | | | | | | | | | |
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | | | | | 1.422% | (b) | | 04/20/25 | | | 2,100 | | | | 2,064,702 | |
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A | | | | | 3.360% | | | 04/20/25 | | | 250 | | | | 245,150 | |
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | | | | | 1.466% | (b) | | 07/13/25 | | | 2,400 | | | | 2,359,259 | |
Ares Enhanced Loan Investment Strategy Ltd. (Cayman Islands), Series 2005-2A, Class A2, 144A | | | | | 0.498% | (b) | | 01/26/20 | | | 600 | | | | 594,016 | |
Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A | | | | | 1.475% | (b) | | 07/15/24 | | | 1,000 | | | | 978,771 | |
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | | | | | 1.394% | (b) | | 04/17/25 | | | 2,200 | | | | 2,150,165 | |
Carlyle Daytona CLO Ltd. (Cayman Islands), Series 2007-1A, Class A1L, 144A | | | | | 0.488% | (b) | | 04/27/21 | | | 2,662 | | | | 2,616,470 | |
Four Corners CLO Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A | | | | | 0.491% | (b) | | 07/22/20 | | | 395 | | | | 390,276 | |
Fraser Sullivan CLO Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A | | | | | 0.713% | (b) | | 03/15/20 | | | 1,000 | | | | 972,313 | |
ING Investment Management CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | | | | | 1.384% | (b) | | 04/15/24 | | | 1,500 | | | | 1,472,041 | |
Lafayette CLO Ltd. (Cayman Islands), Series 2012-1A, Class A, 144A | | | | | 1.642% | (b) | | 09/06/22 | | | 179 | | | | 179,240 | |
LCM CLO LP (Cayman Islands), Series 2005-3A, Class A, 144A | | | | | 0.499% | (b) | | 06/01/17 | | | 120 | | | | 119,533 | |
LightPoint CLO Ltd., Series 2005-3A, Class A1A, 144A | | | | | 0.503% | (b) | | 09/15/17 | | | 335 | | | | 331,568 | |
Magnetite VI Ltd. (Cayman Islands), Series 2012-6A, Class A, 144A | | | | | 1.743% | (b) | | 09/15/23 | | | 300 | | | | 299,301 | |
Marine Park CLO Ltd. (Cayman Islands), Series 2012-1A, Class A1A, 144A | | | | | 1.708% | (b) | | 05/18/23 | | | 1,100 | | | | 1,095,989 | |
Mayport CLO Ltd. (Cayman Islands), Series 2006-1A, Class A1L, 144A | | | | | 0.488% | (b) | | 02/22/20 | | | 161 | | | | 159,685 | |
Mountain Capital CLO IV Ltd. (Cayman Islands), Series 2005-4A, Class A1L, 144A | | | | | 0.493% | (b) | | 03/15/18 | | | 58 | | | | 57,484 | |
OCP CLO Ltd. (Cayman Islands), Series 2012-2A, Class A2, 144A | | | | | 1.718% | (b) | | 11/22/23 | | | 1,000 | | | | 997,431 | |
OCP CLO Ltd. (Cayman Islands), Series 2012-2A, Class B, 144A | | | | | 2.438% | (b) | | 11/22/23 | | | 900 | | | | 883,435 | |
OHA Intrepid Leveraged Loan Fund CLO Ltd. (Cayman Islands), Series 2011-1AR, Class AR, 144A | | | | | 1.162% | (b) | | 04/20/21 | | | 1,486 | | | | 1,475,603 | |
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A | | | | | 1.467% | (b) | | 07/22/25 | | | 1,000 | | | | 981,102 | |
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | | | | | 1.294% | (b) | | 04/15/25 | | | 2,600 | | | | 2,541,234 | |
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A | | | | | 2.888% | (b) | | 08/17/22 | | | 500 | | | | 494,836 | |
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A | | | | | 2.942% | (b) | | 10/20/23 | | | 900 | | | | 905,341 | |
Trimaran CLO VI Ltd. (Cayman Islands), Series 2006-2A, Class A1L, 144A | | | | | 0.492% | (b) | | 11/01/18 | | | 912 | | | | 902,570 | |
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | | | | | 1.393% | (b) | | 07/15/25 | | | 2,200 | | | | 2,155,550 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 27,423,065 | |
| | | | | | | | | | | | | | |
|
|
|
Non-Residential Mortgage-Backed Securities — 0.4% | | | | | | | | | | | | | | | | |
American Express Credit Account Master Trust, Series 2012-4, Class C, 144A | | | | | 0.967% | (b) | | 05/15/20 | | | 2,700 | | | | 2,706,737 | |
Citibank Credit Card Issuance Trust, Series 2005-C2, Class C2 | | | | | 0.634% | (b) | | 03/24/17 | | | 1,000 | | | | 998,143 | |
GE Capital Credit Card Master Note Trust, Series 2012-4, Class B | | | | | 1.017% | (b) | | 06/15/18 | | | 4,500 | | | | 4,484,093 | |
MBNA Credit Card Master Note Trust, Series 2004-C2, Class C2 | | | | | 1.067% | (b) | | 11/15/16 | | | 1,000 | | | | 1,002,195 | |
SVO VOI Mortgage Corp., Series 2012-AA, Class A, 144A | | | | | 2.000% | | | 09/20/29 | | | 1,290 | | | | 1,286,294 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 10,477,462 | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A11
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
ASSET-BACKED SECURITIES
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Residential Mortgage-Backed Securities — 0.4% | | | | | | | | | | | | | | | | |
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1 | | | | | 1.816% | (b) | | 03/25/33 | | | 372 | | | $ | 348,934 | |
Countrywide Asset-Backed Certificates, Series 2004-1, Class M1 | | | | | 0.916% | (b) | | 03/25/34 | | | 3,240 | | | | 3,058,145 | |
Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB6, Class A3 | | | | | 4.499% | | | 07/25/35 | | | 375 | | | | 360,095 | |
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | | | | | 5.141% | | | 07/25/34 | | | 506 | | | | 481,144 | |
Fremont Home Loan Trust, Series 2004-2, Class M1 | | | | | 1.021% | (b) | | 07/25/34 | | | 506 | | | | 433,216 | |
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1 | | | | | 0.696% | (b) | | 06/25/34 | | | 774 | | | | 727,219 | |
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 | | | | | 1.366% | (b) | | 05/25/33 | | | 190 | | | | 176,484 | |
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 | | | | | 1.216% | (b) | | 12/27/33 | | | 1,070 | | | | 1,027,765 | |
Morgan Stanley Dean Witter Capital I, Series 2002-HE1, Class M1 | | | | | 1.066% | (b) | | 07/25/32 | | | 500 | | | | 455,788 | |
Morgan Stanley Dean Witter Capital I, Series 2002-NC4, Class M1 | | | | | 1.441% | (b) | | 09/25/32 | | | 708 | | | | 655,613 | |
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1 | | | | | 0.930% | (b) | | 02/25/34 | | | 1,112 | | | | 1,020,012 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 8,744,415 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL ASSET-BACKED SECURITIES
(cost $46,605,626) | | | | 47,058,464 | |
| | | | | | | | | | | | | | |
|
|
|
| BANK LOANS(b) — 0.3% | | | | | | | | | | | | | | | | |
Automotive | | | | | | | | | | | | | | | | |
Schaeffler AG (Germany) | | | | | 4.250% | | | 01/27/17 | | | 600 | | | | 604,500 | |
| | | | | | | | | | | | | | |
|
|
|
Cable | | | | | | | | | | | | | | | | |
Virgin Media Investment Holdings Ltd. (United Kingdom) | | | | | 3.500% | | | 06/08/20 | | | 1,000 | | | | 1,001,250 | |
| | | | | | | | | | | | | | |
|
|
|
Foods — 0.1% | | | | | | | | | | | | | | | | |
ARAMARK Corp. | | | | | 4.000% | | | 09/09/19 | | | 900 | | | | 903,750 | |
Del Monte Foods Co. | | | | | 4.000% | | | 03/08/18 | | | 958 | | | | 959,051 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 1,862,801 | |
| | | | | | | | | | | | | | |
|
|
|
Healthcare & Pharmaceutical — 0.1% | | | | | | | | | | | | | | | | |
CHS/Community Health Systems, Inc. | | | | | 2.987% | | | 10/25/16 | | | 440 | | | | 440,205 | |
HCA, Inc. | | | | | 2.997% | | | 05/01/18 | | | 369 | | | | 368,583 | |
HCA, Inc. | | | | | 2.998% | | | 03/31/17 | | | 884 | | | | 884,244 | |
RPI Finance Trust | | | | | 4.000% | | | 09/11/18 | | | 892 | | | | 892,269 | |
Universal Health Services, Inc. | | | | | 1.675% | | | 08/15/16 | | | 85 | | | | 85,299 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 2,670,600 | |
| | | | | | | | | | | | | | |
|
|
|
Technology — 0.1% | | | | | | | | | | | | | | | | |
First Data Corp. | | | | | 4.164% | | | 03/24/17 | | | 156 | | | | 156,105 | |
First Data Corp. | | | | | 4.164% | | | 03/26/18 | | | 2,055 | | | | 2,055,955 | |
Sensata Technologies BV (Netherlands) | | | | | 3.750% | | | 05/12/18 | | | 152 | | | | 152,330 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 2,364,390 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL BANK LOANS
(cost $8,427,655) | | | | 8,503,541 | |
| | | | | | | | | | | | | | |
|
|
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.5% | |
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3 | | | | | 5.369% | | | 10/10/45 | | | 3,400 | | | | 3,474,280 | |
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A | | | | | 5.742% | (b) | | 04/10/49 | | | 3,886 | | | | 4,226,649 | |
Banc of America Commercial Mortgage Trust, Series 2007-3, Class A2 | | | | | 5.797% | (b) | | 06/10/49 | | | 318 | | | | 318,177 | |
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 | | | | | 5.894% | (b) | | 12/10/49 | | | 800 | | | | 894,707 | |
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 | | | | | 2.815% | | | 04/10/46 | | | 900 | | | | 835,325 | |
Commercial Mortgage Pass Through Certificates, Series 2012-CR3, Class A2 | | | | | 1.765% | | | 10/15/45 | | | 2,600 | | | | 2,577,515 | |
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3 | | | | | 2.540% | | | 12/10/45 | | | 1,000 | | | | 916,381 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A12
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Commercial Mortgage Pass-Through Certificates, Series 2013-CR12, Class A3 | | | | | 3.765% | | | 10/10/46 | | | 1,000 | | | $ | 984,352 | |
Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3 | | | | | 2.929% | | | 03/10/46 | | | 1,400 | | | | 1,313,766 | |
Commercial Mortgage Pass-Through Certificates, Series 2013-CR9, Class A3 | | | | | 4.022% | | | 07/10/45 | | | 1,100 | | | | 1,115,083 | |
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class A4 | | | | | 5.609% | (b) | | 02/15/39 | | | 2,810 | | | | 3,027,497 | |
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM | | | | | 5.643% | (b) | | 02/15/39 | | | 530 | | | | 566,327 | |
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C2, Class A4 | | | | | 4.832% | | | 04/15/37 | | | 900 | | | | 933,833 | |
CW Capital Cobalt Ltd., Series 2006-C1, Class A4 | | | | | 5.223% | | | 08/15/48 | | | 1,020 | | | | 1,100,572 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K017, Class A2 | | | | | 2.873% | | | 12/25/21 | | | 3,500 | | | | 3,423,315 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class A2 | | | | | 2.373% | | | 05/25/22 | | | 1,000 | | | | 932,991 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O | | | | | 1.609% | (b) | | 05/25/22 | | | 21,268 | | | | 2,000,063 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O | | | | | 1.645% | (b) | | 06/25/22 | | | 5,867 | | | | 575,889 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2 | | | | | 3.320% | (b) | | 02/25/23 | | | 5,300 | | | | 5,241,960 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2 | | | | | 3.531% | (b) | | 07/25/23 | | | 1,800 | | | | 1,800,187 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O | | | | | 1.875% | (b) | | 08/25/16 | | | 6,084 | | | | 189,710 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O | | | | | 1.913% | (b) | | 05/25/19 | | | 16,891 | | | | 1,359,394 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O | | | | | 1.832% | (b) | | 07/25/19 | | | 17,434 | | | | 1,370,736 | |
Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A5 | | | | | 5.224% | (b) | | 04/10/37 | | | 1,400 | | | | 1,476,409 | |
Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A2 | | | | | 5.381% | | | 03/10/39 | | | 2,044 | | | | 2,089,942 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP1, Class ASB | | | | | 4.853% | (b) | | 03/15/46 | | | 544 | | | | 549,994 | |
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2005-LDP2, Class A3 | | | | | 4.697% | | | 07/15/42 | | | 156 | | | | 158,125 | |
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2005-LDP2, Class AM | | | | | 4.780% | | | 07/15/42 | | | 1,000 | | | | 1,045,511 | |
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2005-LDP2, Class ASB | | | | | 4.659% | | | 07/15/42 | | | 1,212 | | | | 1,229,969 | |
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2005-LDP4, Class AM | | | | | 4.999% | (b) | | 10/15/42 | | | 1,170 | | | | 1,239,159 | |
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2006-CB16, Class ASB | | | | | 5.523% | | | 05/12/45 | | | 1,063 | | | | 1,107,451 | |
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2007-LD11, Class A2 | | | | | 5.987% | (b) | | 06/15/49 | | | 803 | | | | 809,071 | |
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-CBX, Class A3 | | | | | 3.139% | | | 06/15/45 | | | 1,800 | | | | 1,813,788 | |
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-LC9, Class A4 | | | | | 2.611% | | | 12/15/47 | | | 1,500 | | | | 1,377,134 | |
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-C10, Class A4 | | | | | 2.875% | | | 12/15/47 | | | 3,200 | | | | 2,986,832 | |
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-C16, Class A2 | | | | | 3.070% | | | 12/15/46 | | | 1,700 | | | | 1,745,645 | |
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class A4 | | | | | 2.694% | | | 04/15/46 | | | 1,100 | | | | 1,006,949 | |
LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5 | | | | | 4.739% | | | 07/15/30 | | | 628 | | | | 652,990 | |
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM | | | | | 5.263% | (b) | | 11/15/40 | | | 1,390 | | | | 1,489,851 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A13
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM | | | | | 5.866% | (b) | | 05/12/39 | | | 780 | | | $ | 840,789 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, Class AM | | | | | 5.703% | (b) | | 02/12/39 | | | 440 | | | | 475,984 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4 | | | | | 6.081% | (b) | | 06/12/46 | | | 2,210 | | | | 2,413,948 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A3 | | | | | 5.364% | | | 08/12/48 | | | 225 | | | | 225,263 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A2 | | | | | 5.331% | | | 03/12/51 | | | 1,992 | | | | 1,994,840 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | | | | | 2.863% | | | 12/15/48 | | | 1,200 | | | | 1,123,854 | |
Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4 | | | | | 5.839% | (b) | | 10/15/42 | | | 2,265 | | | | 2,428,827 | |
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB | | | | | 5.444% | | | 02/12/44 | | | 2,716 | | | | 2,789,542 | |
Morgan Stanley Capital I Trust, Series 2007-T27, Class AAB | | | | | 5.814% | (b) | | 06/11/42 | | | 356 | | | | 363,270 | |
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | | | | | 2.792% | | | 12/10/45 | | | 1,400 | | | | 1,305,017 | |
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | | | | | 2.920% | | | 03/10/46 | | | 3,200 | | | | 2,998,598 | |
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | | | | | 2.971% | | | 04/10/46 | | | 1,500 | | | | 1,408,757 | |
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4 | | | | | 5.909% | (b) | | 05/15/43 | | | 3,688 | | | | 3,978,624 | |
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A | | | | | 5.608% | (b) | | 05/15/46 | | | 4,240 | | | | 4,655,967 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $87,299,036) | | | | 86,960,809 | |
| | | | | | | | | | | | | | |
|
|
|
| CORPORATE BONDS — 8.1% | | | | | | | | | | | | | | | | |
Aerospace & Defense | | | | | | | | | | | | | | | | |
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A | | | | | 6.300% | | | 05/01/14 | | | 900 | | | | 913,500 | |
| | | | | | | | | | | | | | |
|
|
|
Airlines — 0.2% | | | | | | | | | | | | | | | | |
Continental Airlines, Inc. 1998-1 Class A Pass-Through Trust, Pass-Through Certificates, Series 1998-1 | | | | | 6.648% | | | 09/15/17 | | | 139 | | | | 146,335 | |
Continental Airlines, Inc. 2001-1 Class A-1 Pass-Through Trust, Pass-Through Certificates, Series 2001-1 | | | | | 6.703% | | | 06/15/21(c) | | | 126 | | | | 135,579 | |
Continental Airlines, Inc. 2009-2 Class A Pass-Through Trust, Pass-Through Certificates | | | | | 7.250% | | | 11/10/19 | | | 599 | | | | 685,747 | |
Continental Airlines, Inc. 2010-1 Class A Pass-Through Trust, Pass-Through Certificates, Series 2010-1 | | | | | 4.750% | | | 01/12/21(a) | | | 656 | | | | 696,670 | |
Continental Airlines, Inc. 2012-2 Class A Pass-Through Trust, Pass-Through Certificates, Series 2012-2 | | | | | 4.000% | | | 10/29/24 | | | 405 | | | | 402,975 | |
Delta Air Lines 2007-1 Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A | | | | | 6.821% | | | 08/10/22 | | | 336 | | | | 379,263 | |
Delta Air Lines 2010-2 Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A | | | | | 4.950% | | | 05/23/19(a) | | | 538 | | | | 579,821 | |
Delta Air Lines 2011-1 Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A | | | | | 5.300% | | | 04/15/19(a) | | | 870 | | | | 947,814 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 3,974,204 | |
| | | | | | | | | | | | | | |
|
|
|
Automotive — 0.2% | | | | | | | | | | | | | | | | |
Cummins, Inc., Sr. Unsec’d. Notes | | | | | 4.875% | | | 10/01/43 | | | 70 | | | | 70,104 | |
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | | | | | 4.207% | | | 04/15/16 | | | 1,890 | | | | 2,013,867 | |
General Motors Co., Sr. Unsec’d. Notes, 144A | | | | | 4.875% | | | 10/02/23(a) | | | 755 | | | | 764,438 | |
General Motors Co., Sr. Unsec’d. Notes, 144A | | | | | 6.250% | | | 10/02/43 | | | 1,065 | | | | 1,106,269 | |
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A | | | | | 2.700% | | | 03/15/17 | | | 380 | | | | 389,555 | |
Johnson Controls, Inc., Sr. Unsec’d. Notes | | | | | 5.500% | | | 01/15/16 | | | 235 | | | | 255,265 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 4,599,498 | |
| | | | | | | | | | | | | | |
|
|
|
Banking — 2.2% | | | | | | | | | | | | | | | | |
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A | | | | | 3.875% | | | 09/20/22 | | | 530 | | | | 499,880 | |
Bank of America Corp., Jr. Sub. Notes, Series K | | | | | 8.000% | (b) | | 12/29/49(a) | | | 2,100 | | | | 2,326,800 | |
Bank of America Corp., Sr. Unsec’d. Notes, MTN | | | | | 3.300% | | | 01/11/23 | | | 360 | | | | 340,656 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A14
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Banking (continued) | | | | | | | | | | | | | | | | |
Bank of America Corp., Sr. Unsec’d. Notes | | | | | 4.500% | | | 04/01/15 | | | 185 | | | $ | 193,543 | |
Bank of America Corp., Sr. Unsec’d. Notes, MTN | | | | | 5.650% | | | 05/01/18 | | | 105 | | | | 119,518 | |
Bank of America Corp., Sr. Unsec’d. Notes | | | | | 5.700% | | | 01/24/22 | | | 1,290 | | | | 1,460,093 | |
Bank of America Corp., Sr. Unsec’d. Notes | | | | | 6.000% | | | 09/01/17 | | | 1,330 | | | | 1,518,583 | |
Bank of America NA, Sub. Notes | | | | | 5.300% | | | 03/15/17 | | | 850 | | | | 936,889 | |
Bank of America NA, Sub. Notes | | | | | 6.000% | | | 10/15/36 | | | 805 | | | | 923,865 | |
Bank of Nova Scotia (Canada), Covered Bonds, 144A | | | | | 1.650% | | | 10/29/15 | | | 1,265 | | | | 1,289,794 | |
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes | | | | | 5.300% | | | 10/30/15 | | | 550 | | | | 593,242 | |
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes | | | | | 6.400% | | | 10/02/17 | | | 270 | | | | 313,351 | |
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes | | | | | 7.250% | | | 02/01/18 | | | 1,135 | | | | 1,359,016 | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | | | 3.875% | | | 10/25/23 | | | 1,730 | | | | 1,700,690 | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | | | 4.500% | | | 01/14/22(a) | | | 1,125 | | | | 1,192,176 | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | | | 6.875% | | | 03/05/38 | | | 103 | | | | 126,659 | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | | | 8.125% | | | 07/15/39 | | | 850 | | | | 1,192,285 | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | | | 8.500% | | | 05/22/19 | | | 1,195 | | | | 1,531,499 | |
Citigroup, Inc., Sub. Notes | | | | | 6.125% | | | 08/25/36 | | | 725 | | | | 772,973 | |
Depfa ACS Bank (Ireland), Covered Bonds, 144A | | | | | 5.125% | | | 03/16/37 | | | 500 | | | | 423,125 | |
Discover Bank, Sub. Notes | | | | | 7.000% | | | 04/15/20 | | | 485 | | | | 564,049 | |
Discover Financial Services, Sr. Unsec’d. Notes | | | | | 3.850% | | | 11/21/22 | | | 900 | | | | 853,353 | |
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | | | | | 5.250% | | | 07/27/21 | | | 2,305 | | | | 2,523,611 | |
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | | | | | 5.750% | | | 01/24/22 | | | 1,250 | | | | 1,407,110 | |
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | | | | | 6.250% | | | 02/01/41 | | | 220 | | | | 253,528 | |
Goldman Sachs Group, Inc. (The), Sub. Notes | | | | | 5.625% | | | 01/15/17 | | | 765 | | | | 842,983 | |
Goldman Sachs Group, Inc. (The), Sub. Notes | | | | | 6.450% | | | 05/01/36 | | | 1,020 | | | | 1,092,336 | |
Goldman Sachs Group, Inc. (The), Sub. Notes | | | | | 6.750% | | | 10/01/37 | | | 113 | | | | 125,718 | |
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | | | | | 4.875% | | | 01/14/22 | | | 1,230 | | | | 1,327,318 | |
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | | | | | 5.100% | | | 04/05/21 | | | 920 | | | | 1,022,533 | |
Huntington Bancshares, Inc., Sub. Notes | | | | | 7.000% | | | 12/15/20(a) | | | 150 | | | | 173,946 | |
Intesa Sanpaolo SpA (Italy), Sr. Unsec’d. Notes | | | | | 3.125% | | | 01/15/16 | | | 1,145 | | | | 1,166,826 | |
JPMorgan Chase & Co., Jr. Sub. Notes | | | | | 7.900% | (b) | | 04/24/49(a) | | | 2,000 | | | | 2,205,000 | |
JPMorgan Chase & Co., Sr. Unsec’d. Notes | | | | | 4.250% | | | 10/15/20 | | | 1,660 | | | | 1,759,661 | |
JPMorgan Chase & Co., Sub. Notes | | | | | 5.625% | | | 08/16/43 | | | 185 | | | | 195,503 | |
Lloyds TSB Bank PLC (United Kingdom), Bank Gtd. Notes, MTN, 144A | | | | | 5.800% | | | 01/13/20 | | | 1,770 | | | | 2,029,250 | |
Morgan Stanley, Notes, MTN | | | | | 5.450% | | | 01/09/17 | | | 1,530 | | | | 1,696,772 | |
Morgan Stanley, Notes, MTN | | | | | 6.625% | | | 04/01/18 | | | 100 | | | | 117,009 | |
Morgan Stanley, Sr. Unsec’d. Notes, MTN | | | | | 5.500% | | | 07/28/21 | | | 1,535 | | | | 1,715,298 | |
Morgan Stanley, Sr. Unsec’d. Notes, MTN | | | | | 5.625% | | | 09/23/19 | | | 2,110 | | | | 2,398,407 | |
Morgan Stanley, Sr. Unsec’d. Notes | | | | | 6.375% | | | 07/24/42 | | | 640 | | | | 749,620 | |
MUFG Capital Finance 1 Ltd. (Cayman Islands), Gtd. Notes | | | | | 6.346% | (b) | | 07/29/49 | | | 800 | | | | 866,594 | |
Northern Trust Corp., Sub. Notes | | | | | 3.950% | | | 10/30/25 | | | 750 | | | | 730,871 | |
People’s United Financial, Inc., Sr. Unsec’d. Notes | | | | | 3.650% | | | 12/06/22 | | | 1,195 | | | | 1,129,763 | |
PNC Bank NA, Sub. Notes | | | | | 3.800% | | | 07/25/23 | | | 480 | | | | 465,522 | |
PNC Funding Corp., Gtd. Notes | | | | | 6.700% | | | 06/10/19 | | | 390 | | | | 468,458 | |
Royal Bank of Canada (Canada), Covered Bonds | | | | | 2.000% | | | 10/01/18 | | | 3,260 | | | | 3,243,081 | |
Santander Holdings USA, Inc., Sr. Unsec’d. Notes | | | | | 3.000% | | | 09/24/15 | | | 780 | | | | 805,466 | |
US Bancorp, Sub. Notes, MTN | | | | | 2.950% | | | 07/15/22 | | | 915 | | | | 850,150 | |
Westpac Banking Corp. (Australia), Covered Bonds, 144A | | | | | 1.850% | | | 11/26/18 | | | 4,640 | | | | 4,556,944 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 56,151,317 | |
| | | | | | | | | | | | | | |
|
|
|
Brokerage — 0.1% | | | | | | | | | | | | | | | | |
Jefferies Group LLC, Sr. Unsec’d. Notes | | | | | 6.500% | | | 01/20/43 | | | 465 | | | | 461,087 | |
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(d) | | | | | 6.875% | | | 02/06/12 | | | 1,850 | | | | 393,125 | |
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(d) | | | | | 6.875% | | | 05/02/18 | | | 700 | | | | 151,375 | |
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN | | | | | 2.000% | | | 09/13/16 | | | 680 | | | | 685,622 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 1,691,209 | |
| | | | | | | | | | | | | | |
|
|
|
Building Materials & Construction — 0.1% | | | | | | | | | | | | | | | | |
D.R. Horton, Inc., Gtd. Notes | | | | | 3.625% | | | 02/15/18 | | | 900 | | | | 913,500 | |
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A | | | | | 5.125% | | | 06/26/22(a) | | | 500 | | | | 489,375 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 1,402,875 | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A15
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Cable — 0.3% | | | | | | | | | | | | | | | | |
Cablevision Systems Corp., Sr. Unsec’d. Notes | | | | | 8.625% | | | 09/15/17(a) | | | 900 | | | $ | 1,048,500 | |
Comcast Cable Holdings LLC, Gtd. Notes | | | | | 9.875% | | | 06/15/22 | | | 1,440 | | | | 1,918,260 | |
Comcast Corp., Gtd. Notes | | | | | 6.400% | | | 05/15/38 | | | 310 | | | | 357,972 | |
Comcast Corp., Gtd. Notes | | | | | 6.950% | | | 08/15/37 | | | 290 | | | | 356,497 | |
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | | | | | 3.500% | | | 03/01/16 | | | 605 | | | | 635,062 | |
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | | | | | 3.550% | | | 03/15/15 | | | 165 | | | | 170,439 | |
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | | | | | 5.150% | | | 03/15/42 | | | 520 | | | | 467,013 | |
Time Warner Cable, Inc., Gtd. Notes | | | | | 5.850% | | | 05/01/17 | | | 1,240 | | | | 1,352,466 | |
Time Warner Cable, Inc., Gtd. Notes | | | | | 7.500% | | | 04/01/14 | | | 345 | | | | 350,728 | |
Videotron Ltd. (Canada), Gtd. Notes | | | | | 5.000% | | | 07/15/22 | | | 850 | | | | 830,875 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 7,487,812 | |
| | | | | | | | | | | | | | |
|
|
|
Capital Goods — 0.3% | | | | | | | | | | | | | | | | |
Actuant Corp., Gtd. Notes | | | | | 5.625% | | | 06/15/22 | | | 1,040 | | | | 1,053,000 | |
Case New Holland, Inc., Gtd. Notes | | | | | 7.875% | | | 12/01/17 | | | 1,100 | | | | 1,298,000 | |
ERAC USA Finance LLC, Gtd. Notes, 144A
(original cost $1,195,904; purchased 10/10/07) | | | | | 6.375% | | | 10/15/17(c)(e) | | | 1,198 | | | | 1,386,305 | |
ERAC USA Finance LLC, Gtd. Notes, 144A
(original cost $386,623; purchased 10/10/07) | | | | | 7.000% | | | 10/15/37(c)(e) | | | 390 | | | | 461,535 | |
General Electric Co., Sr. Unsec’d. Notes | | | | | 4.125% | | | 10/09/42 | | | 455 | | | | 420,355 | |
Penske Truck Leasing Co. LP/PTL Finance Corp.,
Sr. Unsec’d. Notes, 144A
(original cost $319,875; purchased 07/10/12) | | | | | 2.500% | | | 07/11/14(c)(e) | | | 320 | | | | 322,604 | |
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A (original cost $419,593; purchased 05/08/12) | | | | | 3.125% | | | 05/11/15(c)(e) | | | 420 | | | | 431,962 | |
Xylem, Inc., Sr. Unsec’d. Notes | | | | | 4.875% | | | 10/01/21 | | | 1,060 | | | | 1,104,985 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 6,478,746 | |
| | | | | | | | | | | | | | |
|
|
|
Chemicals — 0.1% | | | | | | | | | | | | | | | | |
Dow Chemical Co. (The), Sr. Unsec’d. Notes | | | | | 9.400% | | | 05/15/39(a) | | | 35 | | | | 52,287 | |
LyondellBasell Industries NV, Sr. Unsec’d. Notes | | | | | 5.000% | | | 04/15/19 | | | 800 | | | | 888,497 | |
Mosaic Co. (The), Sr. Unsec’d. Notes | | | | | 5.450% | | | 11/15/33 | | | 370 | | | | 376,974 | |
Mosaic Co. (The), Sr. Unsec’d. Notes | | | | | 5.625% | | | 11/15/43 | | | 775 | | | | 786,224 | |
Rhodia SA (France), Sr. Unsec’d. Notes, 144A | | | | | 6.875% | | | 09/15/20 | | | 950 | | | | 1,051,612 | |
Union Carbide Corp., Sr. Unsec’d. Notes | | | | | 7.500% | | | 06/01/25 | | | 500 | | | | 579,012 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 3,734,606 | |
| | | | | | | | | | | | | | |
|
|
|
Consumer — 0.1% | | | | | | | | | | | | | | | | |
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes | | | | | 6.250% | | | 04/15/18 | | | 1,600 | | | | 1,811,864 | |
| | | | | | | | | | | | | | |
|
|
|
Electric — 0.4% | | | | | | | | | | | | | | | | |
Arizona Public Service Co., Sr. Unsec’d. Notes | | | | | 6.250% | | | 08/01/16 | | | 170 | | | | 190,734 | |
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | | | | | 6.350% | | | 10/01/36 | | | 530 | | | | 622,910 | |
Calpine Corp., Sr. Sec’d. Notes, 144A | | | | | 7.500% | | | 02/15/21 | | | 741 | | | | 808,616 | |
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge., Series K2 | | | | | 6.950% | | | 03/15/33 | | | 300 | | | | 385,403 | |
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series 09-C | | | | | 5.500% | | | 12/01/39 | | | 145 | | | | 160,070 | |
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes, 144A | | | | | 4.800% | | | 11/01/43 | | | 45 | | | | 43,508 | |
Duke Energy Carolinas LLC, First Mtge. Bonds | | | | | 6.050% | | | 04/15/38 | | | 530 | | | | 629,053 | |
El Paso Electric Co., Sr. Unsec’d. Notes | | | | | 6.000% | | | 05/15/35 | | | 845 | | | | 876,565 | |
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes | | | | | 8.625% | | | 08/01/15 | | | 1,160 | | | | 1,277,904 | |
Energy East Corp. (Spain), Gtd. Notes | | | | | 6.750% | | | 09/15/33 | | | 140 | | | | 147,935 | |
Exelon Corp., Sr. Unsec’d. Notes | | | | | 4.900% | | | 06/15/15(a) | | | 195 | | | | 205,589 | |
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | | | | | 6.250% | | | 10/01/39 | | | 1,375 | | | | 1,393,407 | |
Florida Power & Light Co., First Mtge. Bonds | | | | | 5.950% | | | 10/01/33 | | | 380 | | | | 447,429 | |
MidAmerican Energy Holdings Co., Sr. Unsec’d. Notes | | | | | 5.950% | | | 05/15/37 | | | 325 | | | | 355,636 | |
Niagara Mohawk Power Corp. (United Kingdom), Sr. Unsec’d. Notes, 144A | | | | | 4.881% | | | 08/15/19 | | | 545 | | | | 602,472 | |
NSTAR LLC, Sr. Unsec’d. Notes | | | | | 4.500% | | | 11/15/19 | | | 605 | | | | 656,649 | |
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes | | | | | 6.375% | | | 01/15/15 | | | 465 | | | | 490,578 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A16
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Electric (continued) | | | | | | | | | | | | | | | | |
Public Service Co. of New Mexico, Sr. Unsec’d. Notes | | | | | 7.950% | | | 05/15/18 | | | 135 | | | $ | 160,470 | |
Public Service Electric & Gas Co, Sr. Sec’d. Notes, MTN | | | | | 5.800% | | | 05/01/37 | | | 515 | | | | 591,129 | |
Xcel Energy, Inc., Sr. Unsec’d. Notes | | | | | 4.800% | | | 09/15/41 | | | 480 | | | | 467,418 | |
Xcel Energy, Inc., Sr. Unsec’d. Notes | | | | | 5.613% | | | 04/01/17 | | | 263 | | | | 289,767 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 10,803,242 | |
| | | | | | | | | | | | | | |
|
|
|
Energy – Integrated | | | | | | | | | | | | | | | | |
Reliance Holdings USA, Inc. (India), Gtd. Notes, 144A | | | | | 5.400% | | | 02/14/22 | | | 650 | | | | 657,372 | |
| | | | | | | | | | | | | | |
|
|
|
Energy – Other — 0.2% | | | | | | | | | | | | | | | | |
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | | | | | 6.450% | | | 09/15/36 | | | 305 | | | | 342,495 | |
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | | | | | 6.950% | | | 06/15/19 | | | 225 | | | | 267,802 | |
Anadarko Petroleum Corp., Sr. Unsec’d. Notes(f) | | | | | 7.936% | | | 10/10/36 | | | 1,000 | | | | 357,090 | |
Nabors Industries, Inc., Gtd. Notes | | | | | 4.625% | | | 09/15/21 | | | 890 | | | | 891,043 | |
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A | | | | | 5.375% | | | 01/26/19 | | | 350 | | | | 352,625 | |
Pemex Project Funding Master Trust (Mexico), Gtd. Notes | | | | | 6.625% | | | 06/15/35 | | | 513 | | | | 539,933 | |
Phillips 66, Gtd. Notes | | | | | 2.950% | | | 05/01/17 | | | 415 | | | | 431,762 | |
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | | | | | 6.875% | | | 05/01/18 | | | 1,450 | | | | 1,697,821 | |
Transocean, Inc., Gtd. Notes | | | | | 2.500% | | | 10/15/17(a) | | | 755 | | | | 762,998 | |
Weatherford International Ltd., Gtd. Notes | | | | | 5.125% | | | 09/15/20(a) | | | 685 | | | | 735,867 | |
Weatherford International Ltd., Gtd. Notes | | | | | 6.500% | | | 08/01/36 | | | 25 | | | | 26,075 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 6,405,511 | |
| | | | | | | | | | | | | | |
|
|
|
Foods — 0.3% | | | | | | | | | | | | | | | | |
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes | | | | | 8.000% | | | 11/15/39 | | | 1,160 | | | | 1,671,791 | |
Bunge Ltd. Finance Corp., Gtd. Notes | | | | | 5.350% | | | 04/15/14 | | | 1,000 | | | | 1,012,710 | |
Bunge Ltd. Finance Corp., Gtd. Notes | | | | | 8.500% | | | 06/15/19 | | | 860 | | | | 1,056,495 | |
Darling International, Inc., Gtd. Notes | | | | | 8.500% | | | 12/15/18 | | | 1,000 | | | | 1,102,500 | |
Delhaize Group SA (Belgium), Gtd. Notes | | | | | 6.500% | | | 06/15/17 | | | 460 | | | | 516,622 | |
TreeHouse Foods, Inc., Gtd. Notes | | | | | 7.750% | | | 03/01/18 | | | 1,200 | | | | 1,257,000 | |
Tyson Foods, Inc., Gtd. Notes | | | | | 6.600% | | | 04/01/16 | | | 785 | | | | 876,262 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 7,493,380 | |
| | | | | | | | | | | | | | |
|
|
|
Healthcare & Pharmaceutical — 0.3% | | | | | | | | | | | | | | | | |
Actavis PLC, Sr. Unsec’d. Notes | | | | | 4.625% | | | 10/01/42 | | | 460 | | | | 418,508 | |
Actavis, Inc., Sr. Unsec’d. Notes | | | | | 6.125% | | | 08/15/19 | | | 440 | | | | 507,226 | |
Amgen, Inc., Sr. Unsec’d. Notes | | | | | 5.150% | | | 11/15/41 | | | 1,365 | | | | 1,359,930 | |
AstraZeneca PLC (United Kingdom), Sr. Unsec’d. Notes | | | | | 6.450% | | | 09/15/37 | | | 480 | | | | 573,168 | |
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes | | | | | 5.125% | | | 08/15/18 | | | 900 | | | | 929,250 | |
Gilead Sciences, Inc., Sr. Unsec’d. Notes | | | | | 5.650% | | | 12/01/41(a) | | | 140 | | | | 155,853 | |
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | | | | | 3.750% | | | 08/23/22(a) | | | 150 | | | | 145,296 | |
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | | | | | 5.625% | | | 12/15/15 | | | 560 | | | | 608,025 | |
Merck Sharp & Dohme Corp., Gtd. Notes | | | | | 5.950% | | | 12/01/28 | | | 205 | | | | 239,081 | |
Mylan, Inc., Gtd. Notes, 144A | | | | | 1.800% | | | 06/24/16 | | | 355 | | | | 361,907 | |
Thermo Fisher Scientific, Inc., Sr. Unsec’d. Notes | | | | | 4.150% | | | 02/01/24 | | | 925 | | | | 916,211 | |
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A | | | | | 6.500% | | | 07/15/16(a) | | | 822 | | | | 848,715 | |
Zoetis, Inc., Sr. Unsec’d. Notes | | | | | 4.700% | | | 02/01/43 | | | 155 | | | | 144,872 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 7,208,042 | |
| | | | | | | | | | | | | | |
|
|
|
Healthcare Insurance — 0.2% | | | | | | | | | | | | | | | | |
Aetna, Inc., Sr. Unsec’d. Notes | | | | | 6.625% | | | 06/15/36 | | | 480 | | | | 573,927 | |
Cigna Corp., Sr. Unsec’d. Notes | | | | | 5.875% | | | 03/15/41 | | | 540 | | | | 595,648 | |
Cigna Corp., Sr. Unsec’d. Notes | | | | | 6.150% | | | 11/15/36 | | | 640 | | | | 721,199 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | | | 6.000% | | | 06/15/17 | | | 115 | | | | 131,975 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | | | 6.500% | | | 06/15/37 | | | 400 | | | | 474,553 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | | | 6.625% | | | 11/15/37 | | | 410 | | | | 496,041 | |
WellPoint, Inc., Sr. Unsec’d. Notes | | | | | 4.625% | | | 05/15/42 | | | 330 | | | | 304,991 | |
WellPoint, Inc., Sr. Unsec’d. Notes | | | | | 4.650% | | | 01/15/43 | | | 775 | | | | 717,497 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 4,015,831 | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A17
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Insurance — 0.7% | | | | | | | | | | | | | | | | |
Allied World Assurance Co. Ltd., Gtd. Notes | | | | | 5.500% | | | 11/15/20 | | | 480 | | | $ | 519,122 | |
Allstate Corp. (The), Sr. Unsec’d. Notes | | | | | 4.500% | | | 06/15/43 | | | 125 | | | | 118,272 | |
American International Group, Inc., Sr. Unsec’d. Notes | | | | | 6.400% | | | 12/15/20 | | | 910 | | | | 1,075,494 | |
American International Group, Inc., Sr. Unsec’d. Notes | | | | | 8.250% | | | 08/15/18 | | | 900 | | | | 1,125,792 | |
Axis Specialty Finance LLC, Gtd. Notes | | | | | 5.875% | | | 06/01/20 | | | 990 | | | | 1,086,038 | |
Chubb Corp. (The), Jr. Sub. Notes | | | | | 6.375% | (b) | | 03/29/67 | | | 1,260 | | | | 1,363,950 | |
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes | | | | | 5.125% | | | 04/15/22 | | | 635 | | | | 691,649 | |
Liberty Mutual Group, Inc., Gtd. Notes, 144A | | | | | 6.500% | | | 05/01/42 | | | 215 | | | | 235,952 | |
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A | | | | | 7.000% | | | 03/15/34 | | | 910 | | | | 1,039,449 | |
Lincoln National Corp., Jr. Sub. Notes | | | | | 6.050% | (b) | | 04/20/67 | | | 250 | | | | 248,125 | |
Lincoln National Corp., Sr. Unsec’d. Notes | | | | | 6.300% | | | 10/09/37 | | | 476 | | | | 547,284 | |
Lincoln National Corp., Sr. Unsec’d. Notes | | | | | 7.000% | | | 06/15/40 | | | 660 | | | | 826,896 | |
Lincoln National Corp., Sr. Unsec’d. Notes | | | | | 8.750% | | | 07/01/19 | | | 505 | | | | 650,014 | |
Markel Corp., Sr. Unsec’d. Notes | | | | | 5.000% | | | 03/30/43 | | | 165 | | | | 154,307 | |
MetLife, Inc., Sr. Unsec’d. Notes | | | | | 5.700% | | | 06/15/35 | | | 960 | | | | 1,048,456 | |
MetLife, Inc., Sr. Unsec’d. Notes | | | | | 6.375% | | | 06/15/34 | | | 85 | | | | 100,527 | |
MetLife, Inc., Sr. Unsec’d. Notes | | | | | 6.750% | | | 06/01/16 | | | 270 | | | | 306,998 | |
New York Life Insurance Co., Sub. Notes, 144A | | | | | 6.750% | | | 11/15/39(a) | | | 650 | | | | 792,888 | |
Northwestern Mutual Life Insurance Co. (The), Sub.Notes, 144A | | | | | 6.063% | | | 03/30/40 | | | 350 | | | | 393,229 | |
Ohio National Financial Services, Inc., Sr. Notes, 144A | | | | | 6.375% | | | 04/30/20 | | | 640 | | | | 709,610 | |
Pacific Life Insurance Co., Sub. Notes, 144A | | | | | 9.250% | | | 06/15/39 | | | 870 | | | | 1,208,179 | |
Principal Financial Group, Inc., Gtd. Notes | | | | | 4.625% | | | 09/15/42 | | | 105 | | | | 98,648 | |
Progressive Corp. (The), Jr. Sub. Notes | | | | | 6.700% | (b) | | 06/15/37 | | | 715 | | | | 772,200 | |
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | | | | | 6.850% | | | 12/16/39 | | | 1,430 | | | | 1,765,176 | |
Unum Group, Sr. Unsec’d. Notes | | | | | 5.625% | | | 09/15/20 | | | 315 | | | | 345,286 | |
W.R. Berkley Corp., Sr. Unsec’d. Notes | | | | | 5.600% | | | 05/15/15 | | | 705 | | | | 744,201 | |
W.R. Berkley Corp., Sr. Unsec’d. Notes | | | | | 6.150% | | | 08/15/19 | | | 575 | | | | 647,811 | |
XL Group PLC (Ireland), Sr. Unsec’d. Notes | | | | | 5.250% | | | 09/15/14 | | | 110 | | | | 113,377 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 18,728,930 | |
| | | | | | | | | | | | | | |
|
|
|
Lodging — 0.3% | | | | | | | | | | | | | | | | |
Choice Hotels International, Inc., Gtd. Notes | | | | | 5.750% | | | 07/01/22 | | | 955 | | | | 996,781 | |
Marriott International, Inc., Sr. Unsec’d. Notes | | | | | 3.000% | | | 03/01/19 | | | 490 | | | | 493,433 | |
Marriott International, Inc., Sr. Unsec’d. Notes | | | | | 3.250% | | | 09/15/22 | | | 805 | | | | 750,510 | |
Starwood Hotels & Resorts Worldwide, Inc.,Sr.Unsec’d.Notes | | | | | 6.750% | | | 05/15/18 | | | 2,700 | | | | 3,125,015 | |
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | | | | | 2.500% | | | 03/01/18 | | | 405 | | | | 403,625 | |
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | | | | | 4.250% | | | 03/01/22 | | | 890 | | | | 868,615 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 6,637,979 | |
| | | | | | | | | | | | | | |
|
|
|
Media & Entertainment — 0.2% | | | | | | | | | | | | | | | | |
Belo Corp., Gtd. Notes | | | | | 8.000% | | | 11/15/16 | | | 1,000 | | | | 1,042,500 | |
CBS Corp., Gtd. Notes
(original cost $355,252; purchased 07/16/12) | | | | | 4.850% | | | 07/01/42(c)(e) | | | 340 | | | | 306,357 | |
Historic TW, Inc., Gtd. Notes | | | | | 9.150% | | | 02/01/23 | | | 625 | | | | 828,801 | |
News America, Inc., Gtd. Notes | | | | | 6.150% | | | 03/01/37 | | | 250 | | | | 274,772 | |
News America, Inc., Gtd. Notes | | | | | 6.900% | | | 08/15/39 | | | 35 | | | | 41,715 | |
News America, Inc., Gtd. Notes | | | | | 7.625% | | | 11/30/28 | | | 1,265 | | | | 1,569,033 | |
Time Warner, Inc., Gtd. Notes | | | | | 6.200% | | | 03/15/40(a) | | | 175 | | | | 192,791 | |
Time Warner, Inc., Gtd. Notes | | | | | 6.250% | | | 03/29/41 | | | 495 | | | | 549,689 | |
Time Warner, Inc., Gtd. Notes | | | | | 7.625% | | | 04/15/31 | | | 155 | | | | 196,163 | |
Viacom, Inc., Sr. Unsec’d. Notes | | | | | 4.500% | | | 02/27/42 | | | 50 | | | | 42,658 | |
Viacom, Inc., Sr. Unsec’d. Notes | | | | | 5.850% | | | 09/01/43 | | | 460 | | | | 483,562 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 5,528,041 | |
| | | | | | | | | | | | | | |
|
|
|
Metals — 0.1% | | | | | | | | | | | | | | | | |
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes | | | | | 5.000% | | | 09/30/43 | | | 700 | | | | 711,719 | |
Newmont Mining Corp., Gtd. Notes | | | | | 6.250% | | | 10/01/39 | | | 15 | | | | 13,268 | |
Peabody Energy Corp., Gtd. Notes | | | | | 6.000% | | | 11/15/18 | | | 575 | | | | 612,375 | |
Southern Copper Corp., Sr. Unsec’d. Notes | | | | | 7.500% | | | 07/27/35 | | | 370 | | | | 385,566 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A18
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Metals (continued) | | | | | | | | | | | | | | | | |
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A | | | | | 2.050% | | | 10/23/15 | | | 905 | | | $ | 916,518 | |
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A | | | | | 2.850% | | | 11/10/14 | | | 995 | | | | 1,008,811 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 3,648,257 | |
| | | | | | | | | | | | | | |
|
|
|
Non-Captive Finance — 0.3% | | | | | | | | | | | | | | | | |
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | | | | | 5.875% | | | 01/14/38 | | | 970 | | | | 1,104,941 | |
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | | | | | 6.000% | | | 08/07/19 | | | 3,010 | | | | 3,531,669 | |
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | | | | | 6.875% | | | 01/10/39 | | | 730 | | | | 938,485 | |
International Lease Finance Corp., Sr. Unsec’d. Notes | | | | | 5.750% | | | 05/15/16 | | | 230 | | | | 246,388 | |
SLM Corp., Sr. Unsec’d. Notes, MTN | | | | | 6.250% | | | 01/25/16 | | | 365 | | | | 394,200 | |
SLM Corp., Sr. Unsec’d. Notes, MTN | | | | | 8.450% | | | 06/15/18 | | | 295 | | | | 343,675 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 6,559,358 | |
| | | | | | | | | | | | | | |
|
|
|
Packaging — 0.1% | | | | | | | | | | | | | | | | |
Ball Corp., Gtd. Notes | | | | | 4.000% | | | 11/15/23 | | | 1,710 | | | | 1,530,450 | |
Crown Americas LLC/Crown Americas Capital Corp. IV | | | | | 4.500% | | | 01/15/23(a) | | | 1,000 | | | | 935,000 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 2,465,450 | |
| | | | | | | | | | | | | | |
|
|
|
Paper — 0.1% | | | | | | | | | | | | | | | | |
Georgia-Pacific LLC, Gtd. Notes, 144A
(original cost $273,386; purchased 10/27/10) | | | | | 5.400% | | | 11/01/20(c)(e) | | | 275 | | | | 307,258 | |
International Paper Co., Sr. Unsec’d. Notes | | | | | 6.000% | | | 11/15/41 | | | 1,270 | | | | 1,379,164 | |
International Paper Co., Sr. Unsec’d. Notes | | | | | 7.950% | | | 06/15/18 | | | 460 | | | | 558,758 | |
Rock-Tenn Co., Gtd. Notes | | | | | 4.000% | | | 03/01/23 | | | 360 | | | | 343,833 | |
Rock-Tenn Co., Gtd. Notes | | | | | 4.900% | | | 03/01/22 | | | 675 | | | | 694,823 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 3,283,836 | |
| | | | | | | | | | | | | | |
|
|
|
Pipelines & Other — 0.1% | | | | | | | | | | | | | | | | |
Energy Transfer Partners LP, Sr. Unsec’d. Notes | | | | | 4.650% | | | 06/01/21 | | | 610 | | | | 627,472 | |
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes | | | | | 5.950% | | | 02/15/18 | | | 530 | | | | 602,289 | |
NiSource Finance Corp., Gtd. Notes | | | | | 5.450% | | | 09/15/20 | | | 500 | | | | 555,996 | |
ONEOK Partners LP, Gtd. Notes | | | | | 6.650% | | | 10/01/36 | | | 130 | | | | 143,061 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 1,928,818 | |
| | | | | | | | | | | | | | |
|
|
|
Railroads — 0.1% | | | | | | | | | | | | | | | | |
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | | | | | 6.700% | | | 08/01/28 | | | 735 | | | | 847,827 | |
CSX Corp., Sr. Unsec’d. Notes | | | | | 6.150% | | | 05/01/37 | | | 690 | | | | 770,431 | |
Norfolk Southern Corp., Sr. Unsec’d. Notes | | | | | 5.590% | | | 05/17/25 | | | 120 | | | | 131,136 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 1,749,394 | |
| | | | | | | | | | | | | | |
|
|
|
Real Estate Investment Trusts — 0.2% | | | | | | | | | | | | | | | | |
Felcor Lodging LP, Sr. Sec’d. Notes | | | | | 10.000% | | | 10/01/14 | | | 369 | | | | 390,218 | |
HCP, Inc., Sr. Unsec’d. Notes | | | | | 2.700% | | | 02/01/14 | | | 670 | | | | 671,046 | |
Mack-Cali Realty Corp., Sr. Unsec’d. Notes | | | | | 7.750% | | | 08/15/19 | | | 685 | | | | 821,184 | |
ProLogis LP, Gtd. Notes | | | | | 6.875% | | | 03/15/20 | | | 68 | | | | 80,091 | |
Simon Property Group LP, Sr. Unsec’d. Notes | | | | | 2.800% | | | 01/30/17(a) | | | 235 | | | | 243,062 | |
Simon Property Group LP, Sr. Unsec’d. Notes | | | | | 3.375% | | | 03/15/22 | | | 190 | | | | 185,190 | |
Simon Property Group LP, Sr. Unsec’d. Notes | | | | | 6.125% | | | 05/30/18 | | | 2,925 | | | | 3,386,606 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 5,777,397 | |
| | | | | | | | | | | | | | |
|
|
|
Retailers — 0.1% | | | | | | | | | | | | | | | | |
CVS Caremark Corp., Sr. Unsec’d. Notes | | | | | 5.300% | | | 12/05/43 | | | 170 | | | | 175,808 | |
CVS Caremark Corp., Sr. Unsec’d. Notes | | | | | 5.750% | | | 05/15/41 | | | 130 | | | | 141,878 | |
CVS Caremark Corp., Sr. Unsec’d. Notes | | | | | 6.125% | | | 09/15/39 | | | 335 | | | | 379,930 | |
Lowe’s Cos, Inc., Sr. Unsec’d. Notes | | | | | 6.500% | | | 03/15/29 | | | 345 | | | | 409,189 | |
Ltd. Brands, Inc., Gtd. Notes | | | | | 5.625% | | | 02/15/22 | | | 1,300 | | | | 1,329,250 | |
Macy’s Retail Holdings, Inc., Gtd. Notes | | | | | 3.875% | | | 01/15/22 | | | 300 | | | | 295,703 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 2,731,758 | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A19
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Technology | | | | | | | | | | | | | | | | |
Arrow Electronics, Inc., Sr. Unsec’d. Notes | | | | | 3.375% | | | 11/01/15 | | | 370 | | | $ | 382,907 | |
Seagate HDD Cayman, Gtd. Notes, 144A | | | | | 3.750% | | | 11/15/18 | | | 455 | | | | 460,119 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 843,026 | |
| | | | | | | | | | | | | | |
|
|
|
Telecommunications — 0.6% | | | | | | | | | | | | | | | | |
America Movil SAB de CV (Mexico), Gtd. Notes | | | | | 6.125% | | | 03/30/40 | | | 400 | | | | 423,246 | |
AT&T Corp., Gtd. Notes | | | | | 8.000% | | | 11/15/31 | | | 18 | | | | 23,957 | |
AT&T, Inc., Sr. Unsec’d. Notes | | | | | 5.350% | | | 09/01/40 | | | 1,378 | | | | 1,363,437 | |
British Telecommunications PLC (United Kingdom),
Sr. Unsec’d. Notes | | | | | 9.625% | | | 12/15/30 | | | 350 | | | | 522,285 | |
Cellco Partnership/Verizon Wireless Capital LLC, Sr. Unsec’d. Notes | | | | | 8.500% | | | 11/15/18 | | | 1,830 | | | | 2,317,023 | |
Embarq Corp., Sr. Unsec’d. Notes
(original cost $367,380; purchased 05/04/11-05/11/11) | | | | | 7.082% | | | 06/01/16(c)(e) | | | 325 | | | | 363,155 | |
Embarq Corp., Sr. Unsec’d. Notes
(original cost $644,955; purchased 05/12/06) | | | | | 7.995% | | | 06/01/36(c)(e) | | | 645 | | | | 653,024 | |
Qwest Corp., Sr. Unsec’d. Notes | | | | | 7.500% | | | 10/01/14 | | | 880 | | | | 923,681 | |
Sprint Communications, Inc., Sr. Unsec’d. Notes | | | | | 6.000% | | | 12/01/16(a) | | | 950 | | | | 1,036,688 | |
Verizon Communications, Inc., Sr. Unsec’d. Notes | | | | | 6.400% | | | 09/15/33 | | | 1,285 | | | | 1,477,905 | |
Verizon Communications, Inc., Sr. Unsec’d. Notes | | | | | 6.550% | | | 09/15/43 | | | 4,190 | | | | 4,902,128 | |
Verizon Communications, Inc., Sr. Unsec’d. Notes | �� | | | | 6.400% | | | 02/15/38 | | | 55 | | | | 61,763 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 14,068,292 | |
| | | | | | | | | | | | | | |
|
|
|
Tobacco — 0.2% | | | | | | | | | | | | | | | | |
Altria Group, Inc., Gtd. Notes | | | | | 4.000% | | | 01/31/24 | | | 1,585 | | | | 1,549,201 | |
Altria Group, Inc., Gtd. Notes | | | | | 9.700% | | | 11/10/18 | | | 354 | | | | 465,295 | |
Altria Group, Inc., Gtd. Notes | | | | | 9.950% | | | 11/10/38 | | | 42 | | | | 64,067 | |
Altria Group, Inc., Gtd. Notes | | | | | 10.200% | | | 02/06/39 | | | 274 | | | | 427,499 | |
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A | | | | | 2.050% | | | 02/11/18 | | | 1,680 | | | | 1,661,218 | |
Lorillard Tobacco Co., Gtd. Notes | | | | | 8.125% | | | 06/23/19(a) | | | 290 | | | | 353,262 | |
Reynolds American, Inc., Gtd. Notes | | | | | 4.750% | | | 11/01/42 | | | 290 | | | | 257,758 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 4,778,300 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL CORPORATE BONDS
(cost $191,254,448) | | | | 203,557,845 | |
| | | | | | | | | | | | | | |
|
|
|
| MUNICIPAL BONDS — 0.5% | | | | | | | | | | | | | | | | |
California — 0.2% | | | | | | | | | | | | | | | | |
Bay Area Toll Authority, Revenue Bonds, BABs | | | | | 6.263% | | | 04/01/49 | | | 1,305 | | | | 1,565,230 | |
State of California, GO, BABs | | | | | 7.300% | | | 10/01/39 | | | 1,250 | | | | 1,571,988 | |
State of California, GO, BABs | | | | | 7.500% | | | 04/01/34 | | | 350 | | | | 445,382 | |
State of California, GO, BABs | | | | | 7.550% | | | 04/01/39 | | | 245 | | | | 317,518 | |
State of California, GO, BABs | | | | | 7.625% | | | 03/01/40 | | | 205 | | | | 269,899 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 4,170,017 | |
| | | | | | | | | | | | | | |
|
|
|
Colorado | | | | | | | | | | | | | | | | |
Regional Transportation District, Revenue Bonds,
Series 2010B, BABs | | | | | 5.844% | | | 11/01/50 | | | 625 | | | | 721,550 | |
| | | | | | | | | | | | | | |
|
|
|
Illinois — 0.1% | | | | | | | | | | | | | | | | |
Chicago O’Hare International Airport, Revenue Bonds, BABs | | | | | 6.395% | | | 01/01/40 | | | 970 | | | | 1,082,103 | |
State of Illinois, GO, Taxable Series | | | | | 4.421% | | | 01/01/15 | | | 630 | | | | 650,173 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 1,732,276 | |
| | | | | | | | | | | | | | |
|
|
|
New Jersey — 0.1% | | | | | | | | | | | | | | | | |
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs | | | | | 7.414% | | | 01/01/40 | | | 1,000 | | | | 1,332,450 | |
| | | | | | | | | | | | | | |
|
|
|
New York — 0.1% | | | | | | | | | | | | | | | | |
New York City Transitional Finance Authority, Revenue Bonds, BABs | | | | | 5.767% | | | 08/01/36 | | | 1,100 | | | | 1,247,697 | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A20
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
MUNICIPAL BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Ohio | | | | | | | | | | | | | | | | |
Ohio State University (The), Revenue Bonds, BABs | | | | | 4.910% | | | 06/01/40 | | | 415 | | | $ | 415,822 | |
Ohio State Water Development Authority, Revenue Bonds, BABs | | | | | 4.879% | | | 12/01/34 | | | 275 | | | | 278,930 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 694,752 | |
| | | | | | | | | | | | | | |
|
|
|
Oregon | | | | | | | | | | | | | | | | |
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs | | | | | 5.834% | | | 11/15/34 | | | 425 | | | | 489,247 | |
| | | | | | | | | | | | | | |
|
|
|
Pennsylvania | | | | | | | | | | | | | | | | |
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs | | | | | 5.511% | | | 12/01/45 | | | 505 | | | | 535,861 | |
| | | | | | | | | | | | | | |
|
|
|
Tennessee | | | | | | | | | | | | | | | | |
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | | | | | 6.731% | | | 07/01/43 | | | 945 | | | | 1,047,514 | |
| | | | | | | | | | | | | | |
|
|
|
Texas | | | | | | | | | | | | | | | | |
Texas State Transportation Commission, Revenue Bonds,
Series B, BABs | | | | | 5.028% | | | 04/01/26 | | | 305 | | | | 328,064 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL MUNICIPAL BONDS
(cost $10,711,348) | | | | 12,299,428 | |
| | | | | | | | | | | | | | |
|
|
|
| NON-CORPORATE FOREIGN AGENCIES — 0.7% | | | | | | | | | | | | | | | | |
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A | | | | | 4.875% | | | 01/15/24 | | | 490 | | | | 486,325 | |
Commonwealth Bank of Australia (Australia),
Gov’t. Gtd. Notes, 144A | | | | | 2.700% | | | 11/25/14(a) | | | 7,220 | | | | 7,373,208 | |
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes | | | | | 5.125% | | | 06/29/20 | | | 365 | | | | 401,034 | |
Gazprom OAO Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes, 144A | | | | | 9.250% | | | 04/23/19 | | | 695 | | | | 854,850 | |
Kommunalbanken AS (Norway), Sr. Unsec’d Notes, 144A | | | | | 1.125% | | | 05/23/18 | | | 2,634 | | | | 2,558,668 | |
Korea Hydro & Nuclear Power Co. Ltd. (South Korea),
Sr. Unsec’d. Notes, 144A | | | | | 6.250% | | | 06/17/14 | | | 800 | | | | 818,538 | |
Pemex Project Funding Master Trust (Mexico), Gtd. Notes | | | | | 8.625% | | | 12/01/23 | | | 350 | | | | 426,125 | |
Petrobras Global Finance BV (Brazil), Gtd. Notes | | | | | 2.000% | | | 05/20/16 | | | 1,400 | | | | 1,398,893 | |
Petroleos Mexicanos (Mexico), Gtd. Notes | | | | | 3.500% | | | 01/30/23(a) | | | 795 | | | | 728,419 | |
Petroleos Mexicanos (Mexico), Gtd. Notes | | | | | 4.875% | | | 01/18/24 | | | 425 | | | | 425,000 | |
Petroleos Mexicanos (Mexico), Gtd. Notes | | | | | 5.500% | | | 01/21/21 | | | 2,240 | | | | 2,408,000 | |
RSHB Capital SA For OJSC Russian Agricultural Bank (Russia), Sr. Unsec’d. Notes, 144A | | | | | 6.299% | | | 05/15/17 | | | 760 | | | | 810,350 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL NON-CORPORATE FOREIGN AGENCIES
(cost $18,703,657) | | | | 18,689,410 | |
| | | | | | | | | | | | | | |
|
|
|
| NON-CORPORATE SOVEREIGNS — 0.2% | | | | | | | | | | | | | | | | |
Brazilian Government International Bond (Brazil), Sr. Unsec’d. | | | | | 4.250% | | | 01/07/25 | | | 970 | | | | 923,925 | |
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | | | | | 4.000% | | | 02/26/24 | | | 1,120 | | | | 1,079,680 | |
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d., 144A | | | | | 5.875% | | | 03/13/20(a) | | | 870 | | | | 919,590 | |
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes, 144A | | | | | 6.875% | | | 01/17/18 | | | 845 | | | | 945,133 | |
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes | | | | | 3.625% | | | 03/15/22 | | | 600 | | | | 600,000 | |
Mexico Government International Bond (Mexico),
Sr. Unsec’d. Notes, MTN | | | | | 4.750% | | | 03/08/44(a) | | | 846 | | | | 762,458 | |
Panama Government International Bond (Panama), Sr. Unsec’d. | | | | | 5.200% | | | 01/30/20 | | | 475 | | | | 517,156 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL NON-CORPORATE SOVEREIGNS
(cost $5,911,434) | | | | 5,747,942 | |
| | | | | | | | | | | | | | |
|
|
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.2% | | | | | | | | |
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 | | | | | 6.000% | | | 01/25/36 | | | 1,865 | | | | 1,453,239 | |
Banc of America Mortgage Trust, Series 2005-A, Class 2A1 | | | | | 2.945% | (b) | | 02/25/35 | | | 407 | | | | 403,489 | |
Banc of America Mortgage Trust, Series 2005-B, Class 2A1 | | | | | 2.879% | (b) | | 03/25/35 | | | 463 | | | | 427,313 | |
Chase Mortgage Finance Trust Series, Series 2007-A1, Class 1A5 | | | | | 2.740% | (b) | | 02/25/37 | | | 994 | | | | 985,420 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A21
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Countrywide Alternative Loan Trust, Series 2004-18CB, Class 3A1 | | | | | 5.250% | | | 09/25/19 | | | 473 | | | $ | 482,563 | |
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1 | | | | | 2.737% | (b) | | 07/25/35 | | | 560 | | | | 556,074 | |
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | | | | | 5.000% | | | 04/25/19 | | | 125 | | | | 128,043 | |
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | | | | | 1.840% | (b) | | 02/25/34 | | | 570 | | | | 570,304 | |
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | | | | | 5.000% | | | 03/25/20 | | | 341 | | | | 348,054 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $5,780,157) | | | | 5,354,499 | |
| | | | | | | | | | | | | | |
|
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.1% | | | | | | | | | | | | | | | | |
Federal Home Loan Bank | | | | | 0.375% | | | 08/28/15 | | | 375 | | | | 375,232 | |
Federal Home Loan Bank | | | | | 5.500% | | | 07/15/36(g) | | | 950 | | | | 1,098,995 | |
Federal Home Loan Mortgage Corp. | | | | | 0.750% | | | 01/12/18 | | | 455 | | | | 442,836 | |
Federal Home Loan Mortgage Corp. | | | | | 1.375% | | | 05/01/20(a) | | | 3,535 | | | | 3,314,112 | |
Federal Home Loan Mortgage Corp. | | | | | 2.375% | | | 01/13/22(a) | | | 6,555 | | | | 6,266,351 | |
Federal Home Loan Mortgage Corp. | | | | | 2.384% | (b) | | 06/01/36 | | | 366 | | | | 386,849 | |
Federal Home Loan Mortgage Corp. | | | | | 2.572% | (b) | | 12/01/35 | | | 363 | | | | 388,083 | |
Federal Home Loan Mortgage Corp. | | | | | 3.000% | | | 10/01/42 | | | 1,485 | | | | 1,408,305 | |
Federal Home Loan Mortgage Corp. | | | | | 3.500% | | | TBA | | | 1,000 | | | | 1,042,500 | |
Federal Home Loan Mortgage Corp. | | | | | 3.500% | | | TBA | | | 5,000 | | | | 4,960,938 | |
Federal Home Loan Mortgage Corp. | | | | | 4.000% | | | TBA | | | 4,500 | | | | 4,621,289 | |
Federal Home Loan Mortgage Corp. | | | | | 4.000% | | | 06/01/26-12/01/40 | | | 5,703 | | | | 5,962,929 | |
Federal Home Loan Mortgage Corp. | | | | | 4.500% | | | 02/01/19-10/01/41 | | | 14,455 | | | | 15,325,582 | |
Federal Home Loan Mortgage Corp. | | | | | 5.000% | | | 07/01/18-05/01/39 | | | 5,388 | | | | 5,785,896 | |
Federal Home Loan Mortgage Corp. | | | | | 5.500% | | | 12/01/33-07/01/38 | | | 4,669 | | | | 5,102,030 | |
Federal Home Loan Mortgage Corp. | | | | | 6.000% | | | 03/01/32-08/01/39 | | | 1,750 | | | | 1,951,432 | |
Federal Home Loan Mortgage Corp. | | | | | 6.500% | | | 12/01/14-09/01/16 | | | 15 | | | | 15,304 | |
Federal Home Loan Mortgage Corp. | | | | | 7.000% | | | 05/01/31-10/01/31 | | | 380 | | | | 425,432 | |
Federal National Mortgage Assoc. | | | | | 1.625% | | | 11/27/18(a) | | | 4,205 | | | | 4,169,922 | |
Federal National Mortgage Assoc. | | | | | 2.014% | (b) | | 07/01/33 | | | 480 | | | | 505,391 | |
Federal National Mortgage Assoc. | | | | | 2.058% | (b) | | 06/01/37 | | | 75 | | | | 78,820 | |
Federal National Mortgage Assoc. | | | | | 2.166% | (b) | | 07/01/37 | | | 586 | | | | 619,472 | |
Federal National Mortgage Assoc. | | | | | 2.500% | | | TBA | | | 4,500 | | | | 4,453,594 | |
Federal National Mortgage Assoc. | | | | | 2.500% | | | 01/01/28 | | | 1,959 | | | | 1,941,202 | |
Federal National Mortgage Assoc. | | | | | 3.000% | | | TBA | | | 2,500 | | | | 2,551,270 | |
Federal National Mortgage Assoc. | | | | | 3.000% | | | TBA | | | 12,500 | | | | 11,866,211 | |
Federal National Mortgage Assoc. | | | | | 3.500% | | | TBA | | | 5,000 | | | | 5,228,711 | |
Federal National Mortgage Assoc. | | | | | 3.500% | | | 06/01/39-03/01/43 | | | 21,152 | | | | 21,036,893 | |
Federal National Mortgage Assoc. | | | | | 4.000% | | | TBA | | | 10,000 | | | | 10,293,750 | |
Federal National Mortgage Assoc. | | | | | 4.500% | | | TBA | | | 4,000 | | | | 4,238,281 | |
Federal National Mortgage Assoc. | | | | | 4.500% | | | 11/01/18-03/01/41 | | | 10,609 | | | | 11,279,007 | |
Federal National Mortgage Assoc. | | | | | 5.000% | | | TBA | | | 2,000 | | | | 2,165,781 | |
Federal National Mortgage Assoc. | | | | | 5.000% | | | 10/01/18-05/01/36 | | | 3,715 | | | | 4,029,113 | |
Federal National Mortgage Assoc. | | | | | 5.500% | | | 03/01/16-04/01/37 | | | 6,798 | | | | 7,462,786 | |
Federal National Mortgage Assoc. | | | | | 6.000% | | | 05/01/14-06/01/38 | | | 7,542 | | | | 8,422,001 | |
Federal National Mortgage Assoc. | | | | | 6.500% | | | 07/01/17-01/01/37 | | | 2,769 | | | | 3,081,365 | |
Federal National Mortgage Assoc. | | | | | 7.000% | | | 02/01/32-07/01/32 | | | 292 | | | | 329,939 | |
Federal National Mortgage Assoc. | | | | | 7.500% | | | 05/01/32 | | | 61 | | | | 69,215 | |
Government National Mortgage Assoc. | | | | | 3.000% | | | TBA | | | 2,000 | | | | 1,931,406 | |
Government National Mortgage Assoc. | | | | | 3.000% | | | TBA | | | 2,000 | | | | 1,932,344 | |
Government National Mortgage Assoc. | | | | | 3.500% | | | TBA | | | 8,000 | | | | 8,062,813 | |
Government National Mortgage Assoc. | | | | | 4.000% | | | TBA | | | 12,000 | | | | 12,476,719 | |
Government National Mortgage Assoc. | | | | | 4.000% | | | 06/15/40-05/20/41 | | | 1,743 | | | | 1,813,590 | |
Government National Mortgage Assoc. | | | | | 4.500% | | | TBA | | | 1,000 | | | | 1,066,953 | |
Government National Mortgage Assoc. | | | | | 4.500% | | | 01/20/41-02/20/41 | | | 4,972 | | | | 5,337,383 | |
Government National Mortgage Assoc. | | | | | 5.500% | | | 08/15/33-04/15/36 | | | 3,172 | | | | 3,541,776 | |
Government National Mortgage Assoc. | | | | | 6.000% | | | 11/15/23-07/15/34 | | | 1,087 | | | | 1,229,474 | |
Government National Mortgage Assoc. | | | | | 6.500% | | | 10/15/23-09/15/36 | | | 2,136 | | | | 2,417,545 | |
Government National Mortgage Assoc. | | | | | 8.000% | | | 01/15/24-07/15/24 | | | 41 | | | | 46,391 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A22
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Tennessee Valley Authority, Sr. Unsecured Notes | | | | | 5.880% | | | 04/01/36 | | | 85 | | | $ | 98,466 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $199,817,132) | | | | 202,651,679 | |
| | | | | | | | | | | | | | |
|
|
|
| U.S. TREASURY OBLIGATIONS — 3.0% | | | | | | | | | | | | | | | | |
U.S. Treasury Bonds | | | | | 3.625% | | | 08/15/43(a) | | | 1,625 | | | | 1,534,609 | |
U.S. Treasury Bonds | | | | | 3.750% | | | 11/15/43(h) | | | 5,765 | | | | 5,572,230 | |
U.S. Treasury Inflation Indexed Bonds, TIPS | | | | | 0.125% | | | 04/15/18 | | | 3,673 | | | | 3,746,011 | |
U.S. Treasury Inflation Indexed Bonds, TIPS | | | | | 0.375% | | | 07/15/23 | | | 2,424 | | | | 2,337,632 | |
U.S. Treasury Inflation Indexed Bonds, TIPS | | | | | 0.625% | | | 02/15/43 | | | 711 | | | | 546,792 | |
U.S. Treasury Inflation Indexed Bonds, TIPS | | | | | 1.375% | | | 01/15/20 | | | 9,316 | | | | 10,003,541 | |
U.S. Treasury Notes | | | | | 0.625% | | | 04/30/18 | | | 1,430 | | | | 1,379,056 | |
U.S. Treasury Notes | | | | | 0.875% | | | 07/31/19 | | | 4,980 | | | | 4,689,372 | |
U.S. Treasury Notes | | | | | 1.250% | | | 11/30/18(a) | | | 11,705 | | | | 11,454,443 | |
U.S. Treasury Notes | | | | | 1.500% | | | 12/31/18 | | | 10,760 | | | | 10,638,950 | |
U.S. Treasury Notes | | | | | 2.375% | | | 12/31/20 | | | 19,985 | | | | 19,906,939 | |
U.S. Treasury Notes | | | | | 2.750% | | | 11/15/23(a) | | | 20 | | | | 19,566 | |
U.S. Treasury Strips Principal | | | | | 7.187% | (f) | | 05/15/43(a) | | | 7,040 | | | | 2,067,219 | |
U.S. Treasury Strips Principal | | | | | 7.928% | (f) | | 02/15/43 | | | 730 | | | | 216,554 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL U.S. TREASURY OBLIGATIONS
(cost $73,976,593) | | | | 74,112,914 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $1,359,182,403) | | | | 2,121,959,310 | |
| | | | | | | | | | | | | | |
|
|
|
| SHORT-TERM INVESTMENTS — 21.8% | | | | | | | | | | | | | | | | |
U.S. TREASURY OBLIGATION — 0.1% | | | | | | | | | | | | | | | | |
U.S. Treasury Bills
(cost $3,699,566) | | | | | 0.060% | (k) | | 03/20/14(g) | | | 3,700 | | | | 3,699,526 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | |
| | | | | | | | | | Shares
| | | | |
AFFILIATED MUTUAL FUNDS — 21.7% | | | | | | | | | | | | | | | | |
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund
(cost $98,578,461) (Note 4)(i) | | | 10,287,849 | | | | 95,779,870 | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund
(cost $446,488,086; includes $91,648,093 of cash collateral received for securities on loan) (Note 4)(i)(j) | | | 446,488,086 | | | | 446,488,086 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL AFFILIATED MUTUAL FUNDS
(cost $545,066,547) | | | | 542,267,956 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | |
| | |
| | | | | Counterparty
| | Notional
Amount
(000)#
| | | | |
OPTIONS PURCHASED* | | | | | | | | | | | | | | | | |
Call Options | | | | | | | | | | | | | | | | |
Interest Rate Swap Options, | | | | | | | | | | | |
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, expiring 04/24/14 | | | Barclays Capital Group | | | 22,670 | | | | 229 | |
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, expiring 04/24/14 | | | Citibank Global Markets | | | 27,775 | | | | 280 | |
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, expiring 04/24/14 | | | Citibank Global Markets | | | 27,775 | | | | 280 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL OPTIONS PURCHASED
(cost $82,826) | | | | 789 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(cost $548,848,939) | | | | 545,968,271 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT — 106.5%
(cost $1,908,031,342) | | | | 2,667,927,581 | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A23
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
| | |
| | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
| SECURITY SOLD SHORT — (0.1)% | | | | | | | | | | | | | | | | |
U.S. GOVERNMENT AGENCY OBLIGATION | | | | | | | | | | | | | | | | |
Federal National Mortgage Assoc.
(proceeds received $3,468,281) | | | | | 3.500% | | | 01/15/42 | | | 3,500 | | | $ | (3,476,758 | ) |
| | | | | | | | | | | | | | |
|
|
|
TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT — 106.4%
(cost $1,904,563,061) | | | | 2,664,450,823 | |
LIABILITIES IN EXCESS OF OTHER ASSETS(l) — (6.4)% | | | | (160,052,513 | ) |
| | | | | | | | | | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 2,504,398,310 | |
| | | | | | | | | | | | | | |
|
|
|
The following abbreviations are used in the 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. |
| ABS | | Asset-Backed Security |
| BABs | | Build America Bonds |
| CDO | | Collateralized Debt Obligation |
| CDX | | Credit Derivative Index |
| CLO | | Collateralized Loan Obligation |
| EAFE | | Europe, Australasia and Far East |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| GO | | General Obligation |
| I/O | | Interest Only |
| LIBOR | | London Interbank Offered Rate |
| MTN | | Medium Term Note |
| MSCI | | Morgan Stanley Capital International |
| PRFC | | Preference Shares |
| REIT | | Real Estate Investment Trust |
| SDR | | Swedish Depositary Receipt |
| TBA | | To Be Announced |
| TIPS | | Treasury Inflation Protected Securities |
| * | Non-income producing security. |
| # | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| (a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $89,513,399; cash collateral of $91,648,093 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2013. |
| (c) | Indicates a security or securities that have been deemed illiquid. |
| (d) | Represents issuer in default on interest payments and/or principal repayment; non-income producing security. Such securities may be post maturity. |
| (e) | Indicates a restricted security; the aggregate original cost of the restricted securities is $3,962,968. The aggregate value of $4,232,200, is approximately 0.2% of net assets. |
| (f) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
| (g) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (h) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (i) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
| (j) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (k) | Rate quoted represents yield-to-maturity as of purchase date. |
SEE NOTES TO FINANCIAL STATEMENTS.
A24
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| (l) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at December 31, 2013:
| | | | | | | | | | | | | | | | | | |
Number of
Contracts
| | Type
| | Expiration
Date
| | | Value at
Trade Date
| | | Value at
December 31, 2013
| | | Unrealized
Appreciation
(Depreciation)
| |
| Long Positions: | | | | | | | | | | | | | | | | | | |
| 132 | | 90 Day Euro Dollar | | | Sept. 2016 | | | $ | 32,420,825 | | | $ | 32,321,850 | | | $ | (98,975 | ) |
| 839 | | 5 Year U.S. Treasury Notes | | | Mar. 2014 | | | | 100,801,381 | | | | 100,103,188 | | | | (698,193 | ) |
| 167 | | 10 Year U.S. Treasury Notes | | | Mar. 2014 | | | | 20,733,733 | | | | 20,548,828 | | | | (184,905 | ) |
| 297 | | S&P 500 E-mini Futures | | | Mar. 2014 | | | | 26,413,014 | | | | 27,340,335 | | | | 927,321 | |
| 96 | | S&P 500 Index Futures | | | Mar. 2014 | | | | 42,507,812 | | | | 44,186,400 | | | | 1,678,588 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 1,623,836 | |
| | | | | | | | | | | | | | | | |
|
|
|
| Short Positions: | | | | | | | | | | | | | | | | | | |
| 132 | | 90 Day Euro Dollar | | | Sept. 2015 | | | | 32,727,720 | | | | 32,712,900 | | | | 14,820 | |
| 151 | | U.S. Long Bond | | | Mar. 2014 | | | | 19,633,487 | | | | 19,375,188 | | | | 258,299 | |
| 56 | | U.S. Ultra Bond | | | Mar. 2014 | | | | 7,723,137 | | | | 7,630,000 | | | | 93,137 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 366,256 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | $ | 1,990,092 | |
| | | | | | | | | | | | | | | | |
|
|
|
Interest rate swap agreements outstanding at December 31, 2013:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Notional
Amount
(000)#
| | | Termination
Date
| | | Fixed
Rate
| | | Floating Rate
| | Fair
Value
| | | Upfront
Premiums
Paid
(Received)
| | | Unrealized
Appreciation
(Depreciation)
| | | Counterparty
|
| Over-the-counter swap agreements: |
| | 1,900 | | | | 09/14/16 | | | | 1.206% | | | 3 month LIBOR(2) | | $ | (30,560 | ) | | $ | — | | | $ | (30,560 | ) | | Deutsche Bank |
| | 11,150 | | | | 02/28/17 | | | | 0.680% | | | 3 month LIBOR(1) | | | (69,174 | ) | | | — | | | | (69,174 | ) | | Citigroup Global Markets |
| | 6,325 | | | | 08/31/17 | | | | 0.751% | | | 3 Month LIBOR(2) | | | 83,959 | | | | — | | | | 83,959 | | | Bank of Nova Scotia |
| | 2,634 | | | | 05/17/18 | | | | 0.989% | | | 3 month LIBOR(2) | | | 56,942 | | | | — | | | | 56,942 | | | Credit Suisse First Boston Corp. |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
| | |
| | | | | | | | | | | | | | | $ | 41,167 | | | $ | — | | | $ | 41,167 | | | |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
| | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Notional
Amount
(000)#
| | | Termination
Date
| | | Fixed
Rate
| | | Floating Rate
| | Value at
Trade Date
| | | Value at
December 31, 2013
| | | Unrealized
Appreciation
(Depreciation)
| |
| Exchange-traded swap agreements: | | | | | |
| | 8,655 | | | | 02/28/18 | | | | 1.649% | | | 3 month LIBOR(2) | | $ | 189 | | | $ | (79,330 | ) | | $ | (79,519 | ) |
| | 4,205 | | | | 11/27/18 | | | | 1.592% | | | 3 month LIBOR(2) | | | 169 | | | | 32,061 | | | | 31,892 | |
| | 6,400 | | | | 08/31/20 | | | | 2.085% | | | 3 month LIBOR(2) | | | 188 | | | | 118,335 | | | | 118,147 | |
| | 7,625 | | | | 08/31/20 | | | | 2.219% | | | 3 month LIBOR(2) | | | 196 | | | | 76,034 | | | | 75,838 | |
| | 5,965 | | | | 08/31/20 | | | | 2.220% | | | 3 month LIBOR(2) | | | 186 | | | | 59,115 | | | | 58,929 | |
| | 1,385 | | | | 08/31/20 | | | | 2.490% | | | 3 month LIBOR(2) | | | 158 | | | | (10,099 | ) | | | (10,257 | ) |
| | 1,360 | | | | 01/22/22 | | | | 2.785% | | | 3 month LIBOR(2) | | | 158 | | | | (4,606 | ) | | | (4,764 | ) |
| | 2,155 | | | | 01/31/22 | | | | 2.505% | | | 3 month LIBOR(2) | | | 163 | | | | 38,560 | | | | 38,397 | |
| | 15,350 | | | | 08/05/23 | | | | 0.238% | | | 3 month LIBOR(1) | | | — | | | | (213,315 | ) | | | (213,315 | ) |
| | 6,140 | | | | 08/06/23 | | | | 4.210% | | | 3 month LIBOR(1) | | | — | | | | (82,802 | ) | | | (82,802 | ) |
| | 5,905 | | | | 10/28/23 | | | | 4.220% | | | 3 month LIBOR(1) | | | 177 | | | | (138,782 | ) | | | (138,959 | ) |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | | | | | | $ | 1,584 | | | $ | (204,829 | ) | | $ | (206,413 | ) |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| (1) | Portfolio pays the floating rate and receives the fixed rate. |
| (2) | Portfolio pays the fixed rate and receives the floating rate. |
| # | Notional Amount is shown in U.S. dollars unless otherwise stated. |
SEE NOTES TO FINANCIAL STATEMENTS.
A25
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
Credit default swap agreements outstanding at December 31, 2013:
| | | | | | | | | | | | | | | | | | | | | | | | |
Reference Entity/Obligation
| | Termination
Date
| | | Fixed
Rate
| | | Notional
Amount
(000)#(3)
| | | Value at
Trade Date
| | | Value at
December 31, 2013
| | | Unrealized
Appreciation
(Depreciation)
| |
Exchange-Traded credit default swaps on credit indices—Buy Protection(1): | |
CDX.NA.IG.21.V1 | | | 12/20/18 | | | | 1.000% | | | $ | 46,250 | | | $ | (467,199 | ) | | $ | (827,490 | ) | | $ | (360,291 | ) |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Entity/Obligation
| | Termination
Date
| | | Fixed
Rate
| | | Notional
Amount
(000)#(3)
| | | Fair
Value
| | | Upfront
Premiums
Paid
(Received)
| | | Unrealized
Appreciation
(Depreciation)
| | | Counterparty
|
Over-the-counter credit default swaps on corporate issues—Buy Protection(1): |
Bunge Ltd. Finance Corp. | | | 06/20/14 | | | | 0.650% | | | | 1,110 | | | $ | (2,905 | ) | | $ | — | | | $ | (2,905 | ) | | JPMorgan Chase |
Newell Rubbermaid, Inc. | | | 06/20/18 | | | | 1.000% | | | | 1,600 | | | | (41,402 | ) | | | — | | | | (41,402 | ) | | Morgan Stanley |
Simon Property Group LP | | | 06/20/18 | | | | 0.970% | | | | 2,700 | | | | (62,630 | ) | | | — | | | | (62,630 | ) | | Morgan Stanley |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
| | |
| | | | | | | | | | | | | | | $ | (106,937 | ) | | $ | — | | | $ | (106,937 | ) | | |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
| | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Entity/Obligation
| | Termination
Date
| | | Fixed
Rate
| | | Notional
Amount
(000)#(3)
| | | Fair
Value(4)
| | | Upfront
Premiums
Paid
(Received)
| | | Unrealized
Appreciation
(Depreciation)
| | | Counterparty
|
Over-the-counter credit default swaps on credit indices—Sell Protection(2): |
CDX.NA.HY.17.V5 | | | 12/20/16 | | | | 5.000% | | | | 1,200 | | | $ | 112,179 | | | $ | 50,007 | | | $ | 62,172 | | | Credit Suisse First Boston Corp. |
CDX.NA.HY.17.V5 | | | 12/20/16 | | | | 5.000% | | | | 3,120 | | | | 291,665 | | | | 133,918 | | | | 157,747 | | | Deutsche Bank |
CDX.NA.HY.17.V5 | | | 12/20/16 | | | | 5.000% | | | | 4,320 | | | | 403,844 | | | | 189,300 | | | | 214,544 | | | Deutsche Bank |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
| | |
| | | | | | | | | | | | | | | $ | 807,688 | | | $ | 373,225 | | | $ | 434,463 | | | |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
| | |
The Portfolio entered into credit default swaps as the protection seller on credit indices to take an active short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness.
| (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 of (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) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | The fair value of credit default swap agreements on credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| # | 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 in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| Level 3— | significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A26
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The following is a summary of the inputs used as of December 31, 2013 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 1,285,156,020 | | | $ | 167,629,974 | | | $ | — | |
Exchange Traded Fund | | | 2,625,399 | | | | — | | | | — | |
Preferred Stocks | | | 545,000 | | | | 1,066,386 | | | | — | |
Asset-Backed Securities | | | | | | | | | | | | |
Collateralized Debt Obligations | | | — | | | | 413,522 | | | | — | |
Collateralized Loan Obligations | | | — | | | | 27,423,065 | | | | — | |
Non-Residential Mortgage-Backed Securities | | | — | | | | 10,477,462 | | | | — | |
Residential Mortgage-Backed Securities | | | — | | | | 8,744,415 | | | | — | |
Bank Loans | | | — | | | | 8,503,541 | | | | — | |
Commercial Mortgage-Backed Securities | | | — | | | | 86,960,809 | | | | — | |
Corporate Bonds | | | — | | | | 199,583,641 | | | | 3,974,204 | |
Municipal Bonds | | | — | | | | 12,299,428 | | | | — | |
Non-Corporate Foreign Agencies | | | — | | | | 18,689,410 | | | | — | |
Non-Corporate Sovereigns | | | — | | | | 5,747,942 | | | | — | |
Residential Mortgage-Backed Securities | | | — | | | | 5,354,499 | | | | — | |
U.S. Government Agency Obligations | | | — | | | | 202,651,679 | | | | — | |
U.S. Treasury Obligations | | | — | | | | 77,812,440 | | | | — | |
Affiliated Mutual Funds | | | 542,267,956 | | | | — | | | | — | |
Options Purchased | | | — | | | | 789 | | | | — | |
U.S. Government Agency Obligation Security Sold Short | | | — | | | | (3,476,758 | ) | | | — | |
Other Financial Instruments* | | | | | | | | | | | | |
Futures Contracts | | | 1,990,092 | | | | — | | | | — | |
Interest Rate Swaps Agreements | | | (206,413 | ) | | | 41,167 | | | | — | |
Credit Default Swap Agreements | | | (360,291 | ) | | | 327,526 | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 1,832,017,763 | | | $ | 830,250,937 | | | $ | 3,974,204 | |
| | |
|
|
| |
|
|
| |
|
|
|
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swaps contracts, which are recorded at the unrealized appreciation/depreciation of 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, 2013 was as follows:
| | | | |
Affiliated Mutual Funds (including 3.7% of collateral received for securities on loan) | | | 21.7 | % |
U.S. Government Agency Obligations | | | 8.1 | |
Oil, Gas & Consumable Fuels | | | 4.8 | |
Pharmaceuticals | | | 3.6 | |
Commercial Mortgage-Backed Securities | | | 3.5 | |
U.S. Treasury Obligations | | | 3.1 | |
Diversified Financial Services | | | 2.7 | |
Insurance | | | 2.6 | |
Commercial Banks | | | 2.4 | |
Banking | | | 2.2 | |
Computers & Peripherals | | | 2.1 | |
Media | | | 2.1 | |
IT Services | | | 1.9 | |
Software | | | 1.8 | |
Chemicals | | | 1.6 | |
Internet Software & Services | | | 1.6 | |
Aerospace & Defense | | | 1.5 | |
Food & Staples Retailing | | | 1.4 | |
Industrial Conglomerates | | | 1.4 | |
Diversified Telecommunication Services | | | 1.3 | |
Beverages | | | 1.3 | |
Capital Markets | | | 1.3 | |
Biotechnology | | | 1.3 | |
Real Estate Investment Trusts | | | 1.2 | |
Specialty Retail | | | 1.2 | |
| | | | |
Healthcare Providers & Services | | | 1.1 | % |
Collateralized Loan Obligations | | | 1.1 | |
Household Products | | | 1.1 | |
Tobacco | | | 1.1 | |
Healthcare Equipment & Supplies | | | 1.1 | |
Semiconductors & Semiconductor Equipment | | | 1.0 | |
Food Products | | | 1.0 | |
Machinery | | | 1.0 | |
Hotels, Restaurants & Leisure | | | 1.0 | |
Energy Equipment & Services | | | 1.0 | |
Communications Equipment | | | 0.9 | |
Electric Utilities | | | 0.9 | |
Internet & Catalog Retail | | | 0.8 | |
Non-Corporate Foreign Agencies | | | 0.7 | |
Multi-Utilities | | | 0.7 | |
Automobiles | | | 0.7 | |
Metals & Mining | | | 0.6 | |
Residential Mortgage-Backed Securities | | | 0.6 | |
Telecommunications | | | 0.6 | |
Consumer Finance | | | 0.5 | |
Road & Rail | | | 0.5 | |
Municipal Bonds | | | 0.5 | |
Textiles, Apparel & Luxury Goods | | | 0.5 | |
Air Freight & Logistics | | | 0.4 | |
Electrical Equipment | | | 0.4 | |
Electric | | | 0.4 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A27
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | |
Industry table (cont.)
| | | |
Non-Residential Mortgage-Backed Securities | | | 0.4 | % |
Healthcare & Pharmaceutical | | | 0.4 | |
Multiline Retail | | | 0.4 | |
Foods | | | 0.4 | |
Airlines | | | 0.4 | |
Cable | | | 0.3 | |
Auto Components | | | 0.3 | |
Electronic Equipment, Instruments & Components | | | 0.3 | |
Household Durables | | | 0.3 | |
Life Sciences Tools & Services | | | 0.3 | |
Commercial Services & Supplies | | | 0.3 | |
Lodging | | | 0.3 | |
Non-Captive Finance | | | 0.3 | |
Capital Goods | | | 0.3 | |
Energy – Other | | | 0.2 | |
Trading Companies & Distributors | | | 0.2 | |
Non-Corporate Sovereigns | | | 0.2 | |
Media & Entertainment | | | 0.2 | |
Automotive | | | 0.2 | |
Wireless Telecommunication Services | | | 0.2 | |
Construction & Engineering | | | 0.2 | |
Healthcare Insurance | | | 0.2 | |
Metals | | | 0.1 | |
Professional Services | | | 0.1 | |
Paper | | | 0.1 | |
| | | | |
Industry table (cont.)
| | | |
Technology | | | 0.1 | % |
Containers & Packaging | | | 0.1 | |
Retailers | | | 0.1 | |
Building Products | | | 0.1 | |
Exchange Traded Fund | | | 0.1 | |
Packaging | | | 0.1 | |
Real Estate Management & Development | | | 0.1 | |
Personal Products | | | 0.1 | |
Pipelines & Other | | | 0.1 | |
Leisure Equipment & Products | | | 0.1 | |
Consumer | | | 0.1 | |
Railroads | | | 0.1 | |
Brokerage | | | 0.1 | |
Paper & Forest Products | | | 0.1 | |
Transportation Infrastructure | | | 0.1 | |
Office Electronics | | | 0.1 | |
Gas Utilities | | | 0.1 | |
Building Materials & Construction | | | 0.1 | |
Healthcare Technology | | | 0.1 | |
Independent Power Producers & Energy Traders | | | 0.1 | |
| | |
|
|
|
| | | | 106.5 | |
Short Sales – U.S. Government Agency Obligation | | | (0.1 | ) |
Liabilities in excess of other assets | | | (6.4 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, equity risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2013 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 | | Premiums paid for swap agreements | | $ | 373,225 | | | — | | $ | — | |
Credit contracts | | Unrealized appreciation on over-the-counter swap agreements | | | 434,463 | | | Unrealized depreciation on over-the-counter swap agreements | | | 106,937 | |
Credit contracts | | — | | | — | | | Due from broker — variation margin | | | 360,291 | * |
Equity contracts | | Due from broker — variation margin | | | 2,605,909 | * | | — | | | — | |
Interest rate contracts | | Unaffiliated investments | | | 789 | | | — | | | — | |
Interest rate contracts | | Unrealized appreciation on over-the-counter swap agreements | | | 140,901 | | | Unrealized depreciation on over-the-counter swap agreements | | | 99,734 | |
Interest rate contracts | | Due from broker — variation margin | | | 689,459 | * | | Due from broker — variation margin | | | 1,511,689 | * |
| | | | |
|
|
| | | |
|
|
|
Total | | | | $ | 4,244,746 | | | | | $ | 2,078,651 | |
| | | | |
|
|
| | | |
|
|
|
| * | Includes cumulative appreciation/depreciation as reported in the schedule of open futures and exchange-traded swap contracts cleared through an exchange. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A28
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2013 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*
| | | Options
Purchased*
| | | Options
Written
| | | Futures
| | | Swaps
| | | Total
| |
Credit contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (280,315 | ) | | $ | (280,315 | ) |
Equity contracts | | | 8,191 | | | | — | | | | — | | | | 11,121,860 | | | | — | | | | 11,130,051 | |
Interest rate contracts | | | — | | | | (212,653 | ) | | | 18,490 | | | | (1,412,757 | ) | | | 544,224 | | | | (1,062,696 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 8,191 | | | $ | (212,653 | ) | | $ | 18,490 | | | $ | 9,709,103 | | | $ | 263,909 | | | $ | 9,787,040 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
| * | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| | | | | | | | | | | | | | | | | | | | |
|
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
| |
Derivatives not designated as hedging instruments, carried at fair value
| | Rights**
| | | Options
Purchased**
| | | Futures
| | | Swaps
| | | Total
| |
Credit contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (29,662 | ) | | $ | (29,662 | ) |
Equity contracts | | | (690 | ) | | | — | | | | 2,955,956 | | | | — | | | | 2,955,266 | |
Interest rate contracts | | | — | | | | (82,037 | ) | | | (930,865 | ) | | | 389,775 | | | | (623,127 | ) |
| | |
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|
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|
|
Total | | $ | (690 | ) | | $ | (82,037 | ) | | $ | 2,025,091 | | | $ | 360,113 | | | $ | 2,302,477 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
| ** | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2013, the Portfolio’s average volume of derivative activities is as follows:
| | | | | | |
Options Purchased
(Cost)
| | Options Written
(Premiums Received)
| | Futures
Long Position
(Value at Trade Date)
| | Futures
Short Position
(Value at Trade Date)
|
| $104,487 | | $10,250 | | $169,940,310 | | $32,994,674 |
| | | | |
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))
|
| $111,858 | | $43,738 | | $6,912 |
The Portfolio invested in financial instruments and derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument and derivative assets and liabilities:
| | | | | | | | | | | | | | | | |
Description
| | Gross Amounts
Recognized
| | | Gross Amounts
not subject to
netting
| | | Gross Amounts
Offset in the
Statement of
Financial Position
| | | Net Amounts
Presented in the
Statement of
Financial Position
| |
Assets: | | | | | | | | | | | | | | | | |
Securities on loan | | $ | 89,513,399 | | | $ | — | | | $ | — | | | $ | 89,513,399 | |
Exchange-traded and cleared derivatives | | | 237,238 | | | | — | | | | — | | | | 237,238 | |
Over-the-counter derivatives* | | | 576,153 | | | | (789 | ) | | | — | | | | 575,364 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 90,326,001 | |
| | | | | | | | | | | | | | |
|
|
|
Liabilities: | | | | | | | | | | | | | | | | |
Securities sold short | | | (3,476,758 | ) | | | 3,476,758 | | | | — | | | | — | |
Exchange-traded and cleared derivatives | | | — | | | | — | | | | — | | | | — | |
Over-the-counter derivatives* | | | (206,671 | ) | | | — | | | | — | | | | (206,671 | ) |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | (206,671 | ) |
| | | | | | | | | | | | | | |
|
|
|
Collateral Amounts Pledged/(Received): | | | | | | | | | | | | | | | | |
Securities on loan | | | | | | | | | | | | | | | (89,513,399 | ) |
Exchange-traded and cleared derivatives | | | | | | | | | | | | | | | — | |
Over-the-counter derivatives | | | | | | | | | | | | | | | (341,731 | ) |
| | | | | | | | | | | | | | |
|
|
|
Net Amount | | | | | | | | | | | | | | $ | 264,200 | |
| | | | | | | | | | | | | | |
|
|
|
| * | Over-the-counter derivatives may consist of forward foreign currency exchange contracts, options contracts and swap agreements. The amounts disclosed above represent the exposure to one or more counterparties. For further detail on individual derivative contracts and the corresponding unrealized appreciation (depreciation) by counterparty, see the Schedule of Investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
A29
| | | | | | |
| | | CONSERVATIVE BALANCED PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2013
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $89,513,399: | | | | |
Unaffiliated investments (cost $1,362,964,795) | | $ | 2,125,659,625 | |
Affiliated investments (cost $545,066,547) | | | 542,267,956 | |
Cash | | | 64,981 | |
Foreign currency, at value (cost $453,660) | | | 456,645 | |
Receivable for investments sold | | | 15,914,100 | |
Dividends and interest receivable | | | 6,360,474 | |
Unrealized appreciation on swap agreements | | | 575,364 | |
Premiums paid for swap agreements | | | 373,225 | |
Due from broker-variation margin | | | 237,238 | |
Tax reclaim receivable | | | 142,816 | |
Prepaid expenses | | | 22,127 | |
Receivable for Series shares sold | | | 11,178 | |
| | |
|
|
|
Total Assets | | | 2,692,085,729 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 91,648,093 | |
Payable for investments purchased | | | 90,484,272 | |
Securities sold short, at value (proceeds received $3,468,281) | | | 3,476,758 | |
Management fee payable | | | 1,157,066 | |
Payable for Series shares repurchased | | | 416,840 | |
Accrued expenses and other liabilities | | | 296,793 | |
Unrealized depreciation on swap agreements | | | 206,671 | |
Affiliated transfer agent fee payable | | | 926 | |
| | |
|
|
|
Total Liabilities | | | 187,687,419 | |
| | |
|
|
|
| NET ASSETS | | $ | 2,504,398,310 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 1,580,090,082 | |
Retained earnings | | | 924,308,228 | |
| | |
|
|
|
Net assets, December 31, 2013 | | $ | 2,504,398,310 | |
| | |
|
|
|
Net asset value and redemption price per share, $2,504,398,310 / 121,368,729 outstanding shares of beneficial interest | | $ | 20.63 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2013
| | | | |
| INCOME | | | | |
Unaffiliated dividend income (net of foreign withholding taxes of $185,692) | | $ | 29,587,703 | |
Interest income | | | 26,581,239 | |
Affiliated dividend income | | | 1,888,130 | |
Affiliated income from securities loaned, net | | | 195,590 | |
| | |
|
|
|
| | | | 58,252,662 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 13,206,907 | |
Custodian’s fees and expenses | | | 386,000 | |
Shareholders’ reports | | | 260,000 | |
Audit fee | | | 37,000 | |
Trustees’ fees | | | 32,000 | |
Insurance expenses | | | 29,000 | |
Legal fees and expenses | | | 14,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4) | | | 12,000 | |
Commitment fee on syndicated credit agreement | | | 4,000 | |
Miscellaneous | | | 52,521 | |
| | |
|
|
|
Total expenses | | | 14,033,428 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 44,219,234 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 89,090,519 | |
Futures transactions | | | 9,709,103 | |
Swap agreement transactions | | | 263,909 | |
Written options | | | 18,490 | |
Foreign currency transactions | | | (61,119 | ) |
| | |
|
|
|
| | | | 99,020,902 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments (including affiliated: $3,105,162) | | | 212,207,613 | |
Securities sold short | | | (821 | ) |
Futures | | | 2,025,091 | |
Swap agreements | | | 360,113 | |
Foreign currencies | | | 9,181 | |
| | |
|
|
|
| | | | 214,601,177 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | | | 313,622,079 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 357,841,313 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 44,219,234 | | | $ | 48,100,637 | |
Net realized gain on investment and foreign currency transactions | | | 99,020,902 | | | | 40,776,625 | |
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | | | 214,601,177 | | | | 152,480,681 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 357,841,313 | | | | 241,357,943 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | — | | | | (47,221,872 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [937,002 and 580,731 shares, respectively] | | | 18,092,234 | | | | 10,042,436 | |
Series shares issued in reinvestment of distributions [0 and 2,817,534 shares, respectively] | | | — | | | | 47,221,872 | |
Series shares repurchased [8,251,336 and 8,997,150 shares, respectively] | | | (158,563,701 | ) | | | (155,986,711 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (140,471,467 | ) | | | (98,722,403 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 217,369,846 | | | | 95,413,668 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 2,287,028,464 | | | | 2,191,614,796 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 2,504,398,310 | | | $ | 2,287,028,464 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A30
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | | | | | |
LONG-TERM INVESTMENTS — 89.5% ASSET-BACKED SECURITIES — 11.6% | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Collateralized Debt Obligations | | | | | | | | | | | | | | | | | | | | |
Eaton Vance CDO IX Ltd. (Cayman Islands), Series 2007-9A, Class A1A, 144A | | | | | 0.452% | (a) | | 04/20/19(b) | | | | | | | 444 | | | $ | 442,479 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Collateralized Loan Obligations — 4.5% | | | | | | | | | | | | | | | | | | | | |
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | | | | | 1.422% | (a) | | 04/20/25 | | | | | | | 3,300 | | | | 3,244,532 | |
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A | | | | | 3.360% | | | 04/20/25 | | | | | | | 500 | | | | 490,299 | |
Battalion CLO Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A | | | | | 1.689% | (a) | | 10/22/25 | | | | | | | 1,300 | | | | 1,283,741 | |
Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A | | | | | 1.472% | (a) | | 07/15/24 | | | | | | | 900 | | | | 880,893 | |
Black Diamond CLO Delaware Corp. (Cayman Islands), Series 2005-1A, Class A1, 144A | | | | | 0.515% | (a) | | 06/20/17 | | | | | | | 1,618 | | | | 1,609,928 | |
Blue Hill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | | | | | 1.767% | (a) | | 01/15/26 | | | | | | | 700 | | | | 697,262 | |
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | | | | | 1.394% | (a) | | 04/17/25 | | | | | | | 2,600 | | | | 2,541,105 | |
Carlyle Daytona CLO Ltd. (Cayman Islands), Series 2007-1A, Class A1L, 144A | | | | | 0.488% | (a) | | 04/27/21 | | | | | | | 416 | | | | 408,823 | |
Flagship CLO (Cayman Islands), Series 2013-7A, Class A1, 144A | | | | | 1.714% | (a) | | 01/20/26 | | | | | | | 2,500 | | | | 2,490,000 | |
Flatiron CLO Ltd., Series 2013-1A, Class A1, 144A | | | | | 1.641% | (a) | | 01/17/26 | | | | | | | 3,750 | | | | 3,720,076 | |
Four Corners CLO Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A | | | | | 0.491% | (a) | | 07/22/20 | | | | | | | 987 | | | | 975,689 | |
Fraser Sullivan CLO Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A | | | | | 0.713% | (a) | | 03/15/20 | | | | | | | 1,500 | | | | 1,458,469 | |
ING Investment Management CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | | | | | 1.384% | (a) | | 04/15/24 | | | | | | | 4,200 | | | | 4,121,715 | |
LCM CLO LP (Cayman Islands), Series 2005-3A, Class A, 144A | | | | | 0.499% | (a) | | 06/01/17 | | | | | | | 150 | | | | 149,416 | |
LightPoint CLO Ltd., Series 2005-3A, Class A1A, 144A | | | | | 0.503% | (a) | | 09/15/17 | | | | | | | 1,302 | | | | 1,289,429 | |
Mountain Capital CLO IV Ltd. (Cayman Islands), Series 2005-4A, Class A1L, 144A | | | | | 0.493% | (a) | | 03/15/18 | | | | | | | 433 | | | | 431,129 | |
North Westerly CLO BV (Netherlands), Series II-A, Class A, 144A | | | | | 0.721% | | | 09/14/19 | | | EUR | | | | 2,671 | | | | 3,616,071 | |
OCP CLO Ltd. (Cayman Islands), Series 2012-2A, Class A2, 144A | | | | | 1.718% | (a) | | 11/22/23 | | | | | | | 2,800 | | | | 2,792,807 | |
OCP CLO Ltd. (Cayman Islands), Series 2012-2A, Class B, 144A | | | | | 2.438% | (a) | | 11/22/23 | | | | | | | 2,700 | | | | 2,650,304 | |
OCP CLO Ltd. (Cayman Islands), Series 2013-4A, Class A2, 144A | | | | | 2.052% | (a) | | 10/24/25 | | | | | | | 2,200 | | | | 2,164,078 | |
OHA Intrepid Leveraged Loan Fund CLO Ltd. (Cayman Islands), Series 2011-1AR, Class AR, 144A | | | | | 1.162% | (a) | | 04/20/21 | | | | | | | 4,128 | | | | 4,098,899 | |
Shackleton CLO Ltd. (Cayman Islands), Series 2013-3A, Class B2, 144A | | | | | 3.440% | | | 04/15/25 | | | | | | | 700 | | | | 689,749 | |
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | | | | | 1.294% | (a) | | 04/15/25 | | | | | | | 7,300 | | | | 7,135,003 | |
Trimaran CLO VI Ltd. (Cayman Islands), Series 2006-2A, Class A1L, 144A | | | | | 0.492% | (a) | | 11/01/18 | | | | | | | 1,414 | | | | 1,398,983 | |
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | | | | | 1.393% | (a) | | 07/15/25 | | | | | | | 300 | | | | 293,939 | |
Wind River CLO Ltd. (Cayman Islands), Series 2013-2A, Class A1, 144A | | | | | 1.694% | (a) | | 01/18/26 | | | | | | | 3,300 | | | | 3,281,766 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 53,914,105 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Non-Residential Mortgage-Backed Securities — 1.6% | | | | | | | | | | | | | | | | | | | | |
Bank One Issuance Trust, Series 2004-C2, Class C2 | | | | | 0.967% | (a) | | 02/15/17 | | | | | | | 2,100 | | | | 2,102,119 | |
Citibank Credit Card Issuance Trust, Series 2005-C2, Class C2 | | | | | 0.634% | (a) | | 03/24/17 | | | | | | | 2,320 | | | | 2,315,692 | |
GE Business Loan Trust, Series 2006-1A, Class D, 144A | | | | | 1.167% | (a) | | 05/15/34 | | | | | | | 184 | | | | 131,229 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A31
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | | | |
ASSET-BACKED SECURITIES
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Non-Residential Mortgage-Backed Securities (continued) | | | | | | | | | | | | | | | | | | |
Marriott Vacation Club Owner Trust, Series 2010-1A, Class A, 144A | | | | | 3.540% | | | 10/20/32 | | | | | 2,967 | | | $ | 3,062,447 | |
MBNA Credit Card Master Note Trust, Series 2004-C2, Class C2 | | | | | 1.067% | (a) | | 11/15/16 | | | | | 9,800 | | | | 9,821,511 | |
SVO VOI Mortgage Corp., Series 2012-AA, Class A, 144A | | | | | 2.000% | | | 09/20/29 | | | | | 1,765 | | | | 1,760,192 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 19,193,190 | |
| | | | | | | | | | | | | | | | |
|
|
|
Residential Mortgage-Backed Securities — 5.5% | | | | | | | | | | | | | | | | | | |
ABFC Trust, Series 2004-OPT1, Class M1 | | | | | 1.215% | (a) | | 08/25/33 | | | | | 1,600 | | | | 1,499,967 | |
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1, Class M1 | | | | | 1.065% | (a) | | 09/25/33 | | | | | 1,521 | | | | 1,411,670 | |
Alternative Loan Trust, Series 2004-18CB, Class 3A1 | | | | | 5.250% | | | 09/25/19 | | | | | 585 | | | | 596,855 | |
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M1 | | | | | 1.125% | (a) | | 09/25/34 | | | | | 950 | | | | 915,689 | |
Argent Securities, Inc., Series 2003-W2, Class M4 | | | | | 5.790% | (a) | | 09/25/33 | | | | | 2,400 | | | | 2,231,467 | |
Argent Securities, Inc., Series 2004-W10, Class A2 | | | | | 0.945% | (a) | | 10/25/34 | | | | | 1,802 | | | | 1,711,689 | |
Argent Securities, Inc., Series 2004-W6, Class M1 | | | | | 0.715% | (a) | | 05/25/34 | | | | | 2,159 | | | | 2,106,663 | |
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE3, Class M1 | | | | | 1.412% | (a) | | 06/15/33 | | | | | 1,368 | | | | 1,291,041 | |
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE1, Class M1 | | | | | 1.217% | (a) | | 01/15/34 | | | | | 235 | | | | 225,485 | |
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE5, Class M1 | | | | | 1.065% | (a) | | 08/25/34 | | | | | 2,081 | | | | 1,996,694 | |
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE2, Class M1 | | | | | 1.066% | (a) | | 03/25/34 | | | | | 4,784 | | | | 4,453,453 | |
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE3, Class M2 | | | | | 1.890% | (a) | | 04/25/34 | | | | | 1,935 | | | | 1,698,509 | |
CDC Mortgage Capital Trust, Series 2002-HE3, Class M2 | | | | | 3.541% | (a) | | 03/25/33 | | | | | 224 | | | | 23,527 | |
Centex Home Equity Loan Trust, Series 2004-B, Class AF6 | | | | | 4.686% | | | 03/25/34 | | | | | 1,216 | | | | 1,217,123 | |
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2002-HE4, Class M2 | | | | | 2.416% | (a) | | 08/25/32 | | | | | 78 | | | | 66,890 | |
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | | | | | 5.121% | | | 07/25/34 | | | | | 641 | | | | 608,676 | |
FBR Securitization Trust, Series 2005-2, Class M1 | | | | | 0.886% | (a) | | 09/25/35 | | | | | 3,600 | | | | 3,382,085 | |
Floating Rate Mortgage Pass-Through Certificates, Series 2001-2, Class M3 | | | | | 3.090% | (a) | | 10/25/31 | | | | | 492 | | | | 386,874 | |
Fremont Home Loan Trust, Series 2003-B, Class M1 | | | | | 1.215% | (a) | | 12/25/33 | | | | | 243 | | | | 228,651 | |
GSAMP Trust, Series 2004-FM1, Class M1 | | | | | 1.140% | (a) | | 11/25/33 | | | | | 2,391 | | | | 2,319,012 | |
HSBC Home Equity Loan Trust, Series 2006-1, Class M1 | | | | | 0.447% | (a) | | 01/20/36 | | | | | 583 | | | | 558,814 | |
HSBC Home Equity Loan Trust, Series 2006-2, Class A1 | | | | | 0.317% | (a) | | 03/20/36 | | | | | 156 | | | | 152,041 | |
HSBC Home Equity Loan Trust, Series 2006-2, Class A2 | | | | | 0.347% | (a) | | 03/20/36 | | | | | 189 | | | | 184,244 | |
Long Beach Mortgage Loan Trust, Series 2004-1, Class M1 | | | | | 0.915% | (a) | | 02/25/34 | | | | | 4,250 | | | | 3,957,753 | |
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | | | | | 5.000% | | | 04/25/19 | | | | | 125 | | | | 128,042 | |
MASTR Asset-Backed Securities Trust, Series 2004-WMC1, Class M1 | | | | | 0.945% | (a) | | 02/25/34 | | | | | 2,381 | | | | 2,349,087 | |
Merrill Lynch Mortgage Investors Trust, Series 2004-HE2, Class M1 | | | | | 0.965% | (a) | | 08/25/35 | | | | | 776 | | | | 686,896 | |
Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1A | | | | | 0.686% | (a) | | 06/25/35 | | | | | 2,154 | | | | 2,019,000 | |
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 | | | | | 1.365% | (a) | | 05/25/33 | | | | | 1,412 | | | | 1,314,802 | |
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE3, Class M1 | | | | | 1.185% | (a) | | 10/25/33 | | | | | 1,090 | | | | 1,006,222 | |
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 | | | | | 1.215% | (a) | | 12/25/33 | | | | | 869 | | | | 835,059 | |
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-OP1, Class M1 | | | | | 1.035% | (a) | | 11/25/34 | | | | | 3,688 | | | | 3,257,144 | |
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC1, Class M1 | | | | | 1.095% | (a) | | 06/25/34 | | | | | 2,415 | | | | 2,243,820 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A32
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | | | | | |
ASSET-BACKED SECURITIES
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Residential Mortgage-Backed Securities (continued) | | | | | | | | | | | | | | | | | | | | |
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC2, Class M1 | | | | | 1.080% | (a) | | 07/25/34 | | | | | | | 1,908 | | | $ | 1,808,872 | |
New Century Home Equity Loan Trust, Series 2003-4, Class M1 | | | | | 1.290% | (a) | | 10/25/33 | | | | | | | 3,219 | | | | 3,104,922 | |
New Century Home Equity Loan Trust, Series 2004-4, Class M1 | | | | | 0.930% | (a) | | 02/25/35 | | | | | | | 3,048 | | | | 2,716,185 | |
Residential Asset Mortgage Products, Inc., Series 2004-RS12, Class MII2 | | | | | 1.365% | (a) | | 12/25/34 | | | | | | | 477 | | | | 468,480 | |
Residential Asset Securities Corp., Series 2004-KS1, Class AI5 | | | | | 5.221% | | | 02/25/34 | | | | | | | 1,000 | | | | 1,058,562 | |
Saxon Asset Securities Trust, Series 2002-3, Class M1 | | | | | 1.290% | (a) | | 12/25/32 | | | | | | | 199 | | | | 181,427 | |
Securitized Asset-Backed Receivables LLC Trust, Series 2004-NC1, Class M1 | | | | | 0.945% | (a) | | 02/25/34 | | | | | | | 3,601 | | | | 3,220,716 | |
Specialty Underwriting & Residential Finance Trust, Series 2004-BC1, Class M1 | | | | | 0.930% | (a) | | 02/25/35 | | | | | | | 76 | | | | 71,913 | |
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | | | | | 2.906% | (a) | | 02/25/34 | | | | | | | 1,596 | | | | 1,596,851 | |
Structured Asset Investment Loan Trust, Series 2004-2, Class A4 | | | | | 0.870% | (a) | | 03/25/34 | | | | | | | 2,297 | | | | 2,153,416 | |
Structured Asset Investment Loan Trust, Series 2004-7, Class A8 | | | | | 1.365% | (a) | | 08/25/34 | | | | | | | 1,400 | | | | 1,258,698 | |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-HF2, Class M3 | | | | | 3.165% | (a) | | 07/25/32 | | | | | | | 996 | | | | 924,644 | |
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | | | | | 5.000% | | | 03/25/20 | | | | | | | 524 | | | | 533,946 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 66,163,576 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL ASSET-BACKED SECURITIES
(cost $130,656,086) | | | | 139,713,350 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| BANK LOANS(a) — 3.1% | | | | | | | | | | | | | | | | | | | | |
Automotive — 0.1% | | | | | | | | | | | | | | | | | | | | |
Chrysler Group LLC | | | | | 3.750% | | | 05/24/17 | | | | | | | 1,356 | | | | 1,361,760 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Banking — 0.2% | | | | | | | | | | | | | | | | | | | | |
AA Group (United Kingdom) | | | | | 3.264% | | | 07/31/18 | | | GBP | | | | 1,212 | | | | 1,993,684 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Cable | | | | | | | | | | | | | | | | | | | | |
Cequel Communication LLC | | | | | 3.500% | | | 02/14/19 | | | | | | | 295 | | | | 295,951 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Capital Goods — 0.1% | | | | | | | | | | | | | | | | | | | | |
Gardner Denver, Inc.
(original cost $1,375,306; purchased 07/24/13) | | | | | 4.750% | | | 07/30/20(b)(c) | | | EUR | | | | 1,047 | | | | 1,447,483 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Chemicals — 0.1% | | | | | | | | | | | | | | | | | | | | |
Ceramtec GmbH (Germany) | | | | | 4.750% | | | 08/30/20 | | | EUR | | | | 690 | | | | 960,841 | |
Ceramtec GmbH (Germany) | | | | | 4.750% | | | 08/30/20 | | | EUR | | | | 210 | | | | 292,254 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 1,253,095 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Electric — 0.1% | | | | | | | | | | | | | | | | | | | | |
Calpine Corp. | | | | | 4.000% | | | 04/01/18 | | | | | | | 821 | | | | 825,261 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Financials — 0.2% | | | | | | | | | | | | | | | | | | | | |
Scandlines GmbH (Germany) | | | | | 4.691% | | | 12/03/20 | | | EUR | | | | 2,000 | | | | 2,785,803 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Gaming — 0.2% | | | | | | | | | | | | | | | | | | | | |
CCM Merger, Inc. | | | | | 5.000% | | | 03/01/17 | | | | | | | 2,469 | | | | 2,490,321 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Healthcare & Pharmaceutical — 0.7% | | | | | | | | | | | | | | | | | | | | |
Alere, Inc. | | | | | 3.198% | | | 06/30/16 | | | | | | | 468 | | | | 466,329 | |
DaVita, Inc. | | | | | 4.000% | | | 11/01/19 | | | | | | | 1,036 | | | | 1,041,235 | |
HCA, Inc. | | | | | 2.919% | | | 03/31/17 | | | | | | | 1,105 | | | | 1,105,305 | |
HCA, Inc. | | | | | 2.997% | | | 05/01/18 | | | | | | | 461 | | | | 460,728 | |
Quintiles Transnational Corp. | | | | | 4.000% | | | 06/08/18 | | | | | | | 1,473 | | | | 1,471,390 | |
RPI Finance Trust (Luxembourg) | | | | | 3.250% | | | 09/05/18 | | | | | | | 3,861 | | | | 3,864,383 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 8,409,370 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A33
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | | | | | |
BANK LOANS(a)
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Media & Entertainment — 0.4% | | | | | | | | | | | | | | | | | | | | |
ProSiebenSat 1 Media AG (Germany) | | | | | 2.970% | | | 07/03/18 | | | EUR | | | | 2,805 | | | $ | 3,859,791 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Non-Captive Finance — 0.1% | | | | | | | | | | | | | | | | | | | | |
RBS WorldPay, Inc. (United Kingdom) | | | | | 5.750% | | | 11/29/19 | | | GBP | | | | 900 | | | | 1,498,878 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Retailers — 0.3% | | | | | | | | | | | | | | | | | | | | |
Alliance Boots Holdings Ltd. (United Kingdom) | | | | | 3.970% | | | 07/09/17 | | | GBP | | | | 2,000 | | | | 3,303,636 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Technology — 0.4% | | | | | | | | | | | | | | | | | | | | |
First Data Corp. | | | | | 4.164% | | | 03/24/17 | | | | | | | 183 | | | | 183,123 | |
First Data Corp. | | | | | 4.164% | | | 03/26/18 | | | | | | | 2,411 | | | | 2,411,793 | |
Freescale Semiconductor, Inc. | | | | | 5.000% | | | 02/28/20 | | | | | | | 1,737 | | | | 1,754,244 | |
Sensata Technologies BV, Inc. (Netherlands) | | | | | 3.250% | | | 12/05/19 | | | | | | | 437 | | | | 439,347 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 4,788,507 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Transportation — 0.2% | | | | | | | | | | | | | | | | | | | | |
RAC PLC
(original cost $2,404,536; purchased 10/24/12) | | | | | 5.344% | | | 10/29/19(b)(c) | | | GBP | | | | 1,500 | | | | 2,505,672 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
TOTAL BANK LOANS
(cost $35,335,529) | | | | 36,819,212 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 13.3% | | | | | | | | | | | | | | | |
Banc of America Commercial Mortgage Trust, Series 2006-3, Class A4 | | | | | 5.889% | (a) | | 07/10/44 | | | | | | | 1,591 | | | | 1,730,866 | |
Banc of America Commercial Mortgage Trust, Series 2006-5, Class A2 | | | | | 5.317% | | | 09/10/47 | | | | | | | 2,204 | | | | 2,216,466 | |
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A2 | | | | | 5.309% | | | 10/10/45 | | | | | | | 385 | | | | 385,349 | |
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A4 | | | | | 5.356% | | | 10/10/45 | | | | | | | 800 | | | | 861,267 | |
Banc of America Commercial Mortgage Trust, Series 2007-1, Class A3 | | | | | 5.449% | | | 01/15/49 | | | | | | | 654 | | | | 653,609 | |
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A | | | | | 5.572% | (a) | | 04/10/49 | | | | | | | 1,762 | | | | 1,916,081 | |
Banc of America Commercial Mortgage Trust, Series 2007-4, Class A3 | | | | | 5.813% | (a) | | 02/10/51 | | | | | | | 3,749 | | | | 3,821,904 | |
Banc of America Commercial Mortgage Trust, Series 2007-5, Class A3 | | | | | 5.620% | | | 02/10/51 | | | | | | | 2,390 | | | | 2,399,218 | |
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR9, Class A2 | | | | | 4.735% | | | 09/11/42 | | | | | | | 11 | | | | 10,969 | |
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 | | | | | 5.705% | (a) | | 12/10/49 | | | | | | | 1,590 | | | | 1,778,231 | |
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 | | | | | 2.815% | | | 04/10/46 | | | | | | | 2,800 | | | | 2,598,789 | |
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class AAB | | | | | 5.334% | (a) | | 01/15/46 | | | | | | | 1,154 | | | | 1,167,718 | |
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A3 | | | | | 5.293% | | | 12/11/49 | | | | | | | 2,515 | | | | 2,561,394 | |
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3 | | | | | 2.540% | | | 12/10/45 | | | | | | | 2,000 | | | | 1,832,762 | |
Commercial Mortgage Pass-Through Certificates, Series 2013-CR11, Class A3 | | | | | 3.983% | | | 10/10/46 | | | | | | | 3,600 | | | | 3,608,341 | |
Commercial Mortgage Pass-Through Certificates, Series 2013-CR12, Class A3 | | | | | 3.765% | | | 10/10/46 | | | | | | | 6,500 | | | | 6,398,288 | |
Commercial Mortgage Trust, Series 2005-GG3, Class AJ | | | | | 4.859% | (a) | | 08/10/42 | | | | | | | 1,700 | | | | 1,757,307 | |
Commercial Mortgage Trust, Series 2006-C7, Class A4 | | | | | 5.752% | (a) | | 06/10/46 | | | | | | | 4,000 | | | | 4,349,628 | |
Commercial Mortgage Trust, Series 2007-GG9, Class A2 | | | | | 5.381% | | | 03/10/39 | | | | | | | 2,560 | | | | 2,617,652 | |
Commercial Mortgage Trust, Series 2013-CR7, Class A3 | | | | | 2.929% | | | 03/10/46 | | | | | | | 3,900 | | | | 3,659,776 | |
Credit Suisse Commercial Mortgage Trust, Series 2007-C4, Class A2 | | | | | 5.760% | (a) | | 09/15/39 | | | | | | | 266 | | | | 265,724 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A34
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Credit Suisse Commercial Mortgage Trust, Series 2007-C4, Class A3 | | | | | 5.760% | (a) | | 09/15/39 | | | | | 10,550 | | | $ | 10,638,225 | |
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM | | | | | 5.465% | (a) | | 02/15/39 | | | | | 970 | | | | 1,036,486 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O | | | | | 1.473% | (a) | | 05/25/22 | | | | | 29,181 | | | | 2,744,273 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O | | | | | 1.512% | (a) | | 06/25/22 | | | | | 16,607 | | | | 1,630,060 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O | | | | | 1.751% | (a) | | 08/25/16 | | | | | 11,883 | | | | 370,527 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O | | | | | 1.783% | (a) | | 05/25/19 | | | | | 23,349 | | | | 1,879,163 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O | | | | | 1.710% | (a) | | 07/25/19 | | | | | 27,895 | | | | 2,193,178 | |
GE Capital Commercial Mortgage Corp., Series 2007-C1, Class A2 | | | | | 5.417% | | | 12/10/49 | | | | | 4,979 | | | | 4,976,488 | |
GS Mortgage Securities Trust, Series 2006-GG6, Class A4 | | | | | 5.553% | (a) | | 04/10/38 | | | | | 6,700 | | | | 7,214,594 | |
GS Mortgage Securities Trust, Series 2013-GC12, Class A3 | | | | | 2.860% | | | 06/10/46 | | | | | 4,600 | | | | 4,272,291 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM | | | | | 4.999% | (a) | | 10/15/42 | | | | | 1,820 | | | | 1,927,580 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A2 | | | | | 5.791% | (a) | | 06/15/49 | | | | | 4,252 | | | | 4,284,029 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class A3 | | | | | 5.927% | (a) | | 02/15/51 | | | | | 9,174 | | | | 9,256,667 | |
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2012-LC9, Class A4 | | | | | 2.611% | | | 12/15/47 | | | | | 2,000 | | | | 1,836,178 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 | | | | | 2.875% | | | 12/15/47 | | | | | 4,600 | | | | 4,293,571 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | | | | | 2.694% | | | 04/15/46 | | | | | 4,600 | | | | 4,210,877 | |
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM | | | | | 5.263% | (a) | | 11/15/40 | | | | | 2,100 | | | | 2,250,854 | |
LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A2 | | | | | 5.300% | | | 11/15/38 | | | | | 880 | | | | 912,269 | |
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A3 | | | | | 5.859% | (a) | | 06/12/50 | | | | | 526 | | | | 541,654 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class A2 | | | | | 5.112% | | | 12/12/49 | | | | | 483 | | | | 483,100 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A2 | | | | | 5.590% | | | 09/12/49 | | | | | 777 | | | | 777,822 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A3 | | | | | 3.968% | (a) | | 07/15/46 | | | | | 4,800 | | | | 4,882,800 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class A3 | | | | | 3.973% | | | 10/15/46 | | | | | 3,600 | | | | 3,641,947 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | | | | | 2.863% | | | 12/15/48 | | | | | 1,700 | | | | 1,592,127 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A3 | | | | | 2.834% | | | 05/15/46 | | | | | 2,300 | | | | 2,131,716 | |
Morgan Stanley Capital I Trust, Series 2006-T23, Class A3 | | | | | 5.807% | (a) | | 08/12/41 | | | | | 1,318 | | | | 1,324,661 | |
Morgan Stanley Capital I Trust, Series 2007-IQ14, Class AAB | | | | | 5.654% | (a) | | 04/15/49 | | | | | 4,150 | | | | 4,305,069 | |
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | | | | | 2.792% | | | 12/10/45 | | | | | 2,300 | | | | 2,143,957 | |
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | | | | | 2.920% | | | 03/10/46 | | | | | 4,600 | | | | 4,310,485 | |
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | | | | | 2.971% | | | 04/10/46 | | | | | 3,800 | | | | 3,568,850 | |
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class AMFX | | | | | 5.179% | (a) | | 07/15/42 | | | | | 3,145 | | | | 3,337,518 | |
Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A2 | | | | | 5.500% | | | 10/15/48 | | | | | 69 | | | | 69,439 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A35
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 | | | | | 5.509% | | | 04/15/47(d) | | | | | 5,150 | | | $ | 5,620,896 | |
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A1A | | | | | 5.733% | (a) | | 06/15/49 | | | | | 2,716 | | | | 2,997,077 | |
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A3 | | | | | 5.925% | (a) | | 02/15/51 | | | | | 3,421 | | | | 3,463,912 | |
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A2 | | | | | 5.569% | | | 05/15/46 | | | | | 1,973 | | | | 1,969,559 | |
| | | | | | | | | | | | | | | | |
|
|
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $163,670,068) | | | | 159,681,238 | |
| | | | | | | | | | | | | | | | |
|
|
|
| CORPORATE BONDS — 46.8% | | | | | | | | | | | | | | | | | | |
Aerospace & Defense — 0.2% | | | | | | | | | | | | | | | | | | |
Textron, Inc., Sr. Unsec’d. Notes | | | | | 7.250% | | | 10/01/19 | | | | | 2,350 | | | | 2,720,546 | |
| | | | | | | | | | | | | | | | |
|
|
|
Airlines — 0.5% | | | | | | | | | | | | | | | | | | |
Continental Airlines, Inc. Pass-Through Trust, Pass-Through Certificates, Ser. 2001-1, Class A-1 | | | | | 6.703% | | | 06/15/21(b) | | | | | 2 | | | | 2,558 | |
Continental Airlines, Inc. Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class B | | | | | 7.373% | | | 12/15/15 | | | | | 394 | | | | 420,489 | |
Continental Airlines, Inc. Pass-Through Trust, Pass-Through Certificates, Series 2007-2, Class A | | | | | 5.983% | | | 04/19/22 | | | | | 1,591 | | | | 1,738,097 | |
Continental Airlines, Inc. Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A | | | | | 4.750% | | | 01/12/21(d) | | | | | 500 | | | | 530,797 | |
Delta Air Lines Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A | | | | | 6.821% | | | 08/10/22 | | | | | 1,248 | | | | 1,407,064 | |
Delta Air Lines Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A | | | | | 4.950% | | | 05/23/19(d) | | | | | 623 | | | | 671,591 | |
Delta Air Lines Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A | | | | | 5.300% | | | 04/15/19 | | | | | 648 | | | | 706,704 | |
United Airlines Pass-Through Trust, Pass-Through Certificates, Series 071A, Class A | | | | | 6.636% | | | 07/02/22 | | | | | 931 | | | | 986,931 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 6,464,231 | |
| | | | | | | | | | | | | | | | |
|
|
|
Automotive — 1.2% | | | | | | | | | | | | | | | | | | |
Cummins, Inc., Sr. Unsec’d. Notes | | | | | 4.875% | | | 10/01/43 | | | | | 125 | | | | 125,186 | |
Delphi Corp., Gtd. Notes | | | | | 5.875% | | | 05/15/19 | | | | | 1,400 | | | | 1,480,500 | |
Ford Motor Co., Sr. Unsec’d. Notes | | | | | 4.750% | | | 01/15/43 | | | | | 750 | | | | 676,406 | |
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | | | | | 2.375% | | | 01/16/18 | | | | | 2,225 | | | | 2,247,161 | |
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | | | | | 3.984% | | | 06/15/16 | | | | | 375 | | | | 398,775 | |
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | | | | | 4.207% | | | 04/15/16 | | | | | 4,630 | | | | 4,933,441 | |
General Motors Co., Sr. Unsec’d. Notes, 144A | | | | | 4.875% | | | 10/02/23 | | | | | 1,350 | | | | 1,366,875 | |
General Motors Co., Sr. Unsec’d. Notes, 144A | | | | | 6.250% | | | 10/02/43 | | | | | 1,885 | | | | 1,958,044 | |
Harley-Davidson Funding Corp., Gtd. Notes, MTN, 144A | | | | | 5.750% | | | 12/15/14 | | | | | 660 | | | | 689,282 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 13,875,670 | |
| | | | | | | | | | | | | | | | |
|
|
|
Banking — 10.5% | | | | | | | | | | | | | | | | | | |
American Express Co., Sr. Unsec’d. Notes | | | | | 2.650% | | | 12/02/22 | | | | | 3,202 | | | | 2,970,412 | |
Bangkok Bank PCL (Thailand), Sr. Unsec’d. Notes, 144A | | | | | 3.875% | | | 09/27/22(d) | | | | | 1,730 | | | | 1,607,955 | |
Bank of America Corp., Jr. Sub. Notes, Series K | | | | | 8.000% | (a) | | 12/29/49(d) | | | | | 3,500 | | | | 3,878,000 | |
Bank of America Corp., Sr. Unsec’d. Notes, MTN | | | | | 3.300% | | | 01/11/23 | | | | | 4,275 | | | | 4,045,291 | |
Bank of America Corp., Sr. Unsec’d. Notes | | | | | 5.700% | | | 01/24/22 | | | | | 1,775 | | | | 2,009,043 | |
Bank of America Corp., Sr. Unsec’d. Notes | | | | | 6.000% | | | 09/01/17 | | | | | 4,590 | | | | 5,240,825 | |
Bank of America Corp., Sr. Unsec’d. Notes, Series 1 | | | | | 3.750% | | | 07/12/16 | | | | | 1,340 | | | | 1,424,577 | |
Bank of America NA, Sub. Notes | | | | | 5.300% | | | 03/15/17 | | | | | 790 | | | | 870,755 | |
Barclays Bank PLC, Sr. Unsec’d. Notes | | | | | 6.750% | | | 05/22/19(d) | | | | | 1,610 | | | | 1,940,486 | |
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes | | | | | 7.250% | | | 02/01/18 | | | | | 1,575 | | | | 1,885,859 | |
Capital One Financial Corp., Sr. Unsec’d. Notes | | | | | 5.250% | | | 02/21/17 | | | | | 2,460 | | | | 2,659,796 | |
Capital One Financial Corp., Sub. Notes | | | | | 6.150% | | | 09/01/16 | | | | | 700 | | | | 782,937 | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | | | 6.125% | | | 11/21/17 | | | | | 2,050 | | | | 2,363,053 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A36
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Banking (continued) | | | | | | | | | | | | | | | | | | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | | | 6.125% | | | 05/15/18(d) | | | | | 2,500 | | | $ | 2,893,223 | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | | | 8.125% | | | 07/15/39(d) | | | | | 4,120 | | | | 5,779,075 | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | | | 8.500% | | | 05/22/19 | | | | | 1,375 | | | | 1,762,185 | |
Discover Bank, Sub. Notes | | | | | 7.000% | | | 04/15/20 | | | | | 2,005 | | | | 2,331,789 | |
Euasian Development Bank (Supranational Bank), Sr. Unsec’d. Notes, 144A | | | | | 5.000% | | | 09/26/20 | | | | | 1,600 | | | | 1,628,000 | |
Fifth Third Bank, Sr. Unsec’d. Notes | | | | | 1.450% | | | 02/28/18 | | | | | 3,275 | | | | 3,191,203 | |
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | | | | | 5.750% | | | 01/24/22 | | | | | 4,200 | | | | 4,727,890 | |
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | | | | | 6.000% | | | 06/15/20 | | | | | 2,420 | | | | 2,774,716 | |
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | | | | | 6.150% | | | 04/01/18 | | | | | 1,355 | | | | 1,553,747 | |
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | | | | | 6.250% | | | 09/01/17 | | | | | 3,195 | | | | 3,657,828 | |
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | | | | | 6.250% | | | 02/01/41 | | | | | 2,195 | | | | 2,529,518 | |
Goldman Sachs Group, Inc. (The), Sub. Notes | | | | | 6.750% | | | 10/01/37 | | | | | 440 | | | | 489,520 | |
HSBC Holdings PLC (United Kingdom), Sub. Notes | | | | | 6.500% | | | 09/15/37 | | | | | 1,625 | | | | 1,921,946 | |
Huntington Bancshares, Inc., Sub. Notes | | | | | 7.000% | | | 12/15/20(d) | | | | | 260 | | | | 301,506 | |
ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A | | | | | 7.250% | (a) | | 08/29/49 | | | | | 2,380 | | | | 2,225,300 | |
ING Bank NV (Netherlands), Unsec’d. Notes, 144A | | | | | 2.000% | | | 09/25/15 | | | | | 770 | | | | 782,757 | |
Intesa Sanpaolo SpA, Sr. Unsec’d. Notes | | | | | 3.125% | | | 01/15/16 | | | | | 1,625 | | | | 1,655,976 | |
JPMorgan Chase & Co., Jr. Sub. Notes | | | | | 7.900% | (a) | | 04/29/49(d) | | | | | 6,130 | | | | 6,758,325 | |
JPMorgan Chase & Co., Sr. Unsec’d. Notes | | | | | 3.150% | | | 07/05/16 | | | | | 2,245 | | | | 2,353,618 | |
JPMorgan Chase & Co., Sr. Unsec’d. Notes | | | | | 3.250% | | | 09/23/22 | | | | | 500 | | | | 479,161 | |
JPMorgan Chase & Co., Sr. Unsec’d. Notes | | | | | 4.250% | | | 10/15/20 | | | | | 600 | | | | 636,022 | |
JPMorgan Chase & Co., Sr. Unsec’d. Notes | | | | | 4.400% | | | 07/22/20 | | | | | 5,100 | | | | 5,482,291 | |
JPMorgan Chase & Co., Sub. Notes | | | | | 5.625% | | | 08/16/43 | | | | | 675 | | | | 713,322 | |
KeyCorp, Sr. Unsec’d. Notes, MTN | | | | | 5.100% | | | 03/24/21(d) | | | | | 1,155 | | | | 1,262,315 | |
Krung Thai Bank PCL (Thailand), Bank Gtd. Notes | | | | | 7.378% | (a) | | 10/29/49 | | | | | 1,590 | | | | 1,613,799 | |
Lloyds TSB Bank PLC (United Kingdom), Bank Gtd. Notes, MTN, 144A | | | | | 5.800% | | | 01/13/20 | | | | | 2,650 | | | | 3,038,143 | |
Mizuho Bank Ltd. (Japan), Gtd. Notes, 144A | | | | | 1.850% | | | 03/21/18(d) | | | | | 1,125 | | | | 1,096,504 | |
Morgan Stanley, Notes, GMTN | | | | | 5.450% | | | 01/09/17 | | | | | 4,035 | | | | 4,474,819 | |
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | | | | | 5.500% | | | 07/28/21 | | | | | 3,830 | | | | 4,279,864 | |
Morgan Stanley, Sr. Unsec’d. Notes, MTN | | | | | 5.625% | | | 09/23/19 | | | | | 2,635 | | | | 2,995,168 | |
Morgan Stanley, Sr. Unsec’d. Notes | | | | | 5.750% | | | 01/25/21 | | | | | 1,920 | | | | 2,172,027 | |
Northern Trust Corp., Sub. Notes | | | | | 3.950% | | | 10/30/25(d) | | | | | 3,025 | | | | 2,947,847 | |
People’s United Financial, Inc., Sr. Unsec’d. Notes | | | | | 3.650% | | | 12/06/22 | | | | | 1,675 | | | | 1,583,558 | |
Royal Bank of Scotland Group PLC (The) (United Kingdom), Sr. Unsec’d. Notes | | | | | 2.550% | | | 09/18/15 | | | | | 625 | | | | 639,223 | |
Santander Holdings USA, Inc., Sr. Unsec’d. Notes | | | | | 3.000% | | | 09/24/15 | | | | | 950 | | | | 981,017 | |
Santander Holdings USA, Inc., Sr. Unsec’d. Notes | | | | | 4.625% | | | 04/19/16 | | | | | 525 | | | | 559,835 | |
State Street Corp., Jr. Sub. Debs | | | | | 4.956% | | | 03/15/18 | | | | | 3,025 | | | | 3,281,823 | |
Sumitomo Mitsui Banking Corp. (Japan), Bank Gtd. Notes | | | | | 3.000% | | | 01/18/23(d) | | | | | 2,250 | | | | 2,087,838 | |
US Bancorp, Jr. Sub. Notes | | | | | 3.442% | | | 02/01/16 | | | | | 4,120 | | | | 4,297,518 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 125,619,205 | |
| | | | | | | | | | | | | | | | |
|
|
|
Brokerage — 0.2% | | | | | | | | | | | | | | | | | | |
Jefferies Group LLC, Sr. Unsec’d. Notes | | | | | 6.500% | | | 01/20/43 | | | | | 650 | | | | 644,531 | |
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(j) | | | | | 6.875% | | | 05/02/18 | | | | | 2,740 | | | | 592,525 | |
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN | | | | | 2.000% | | | 09/13/16 | | | | | 950 | | | | 957,854 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 2,194,910 | |
| | | | | | | | | | | | | | | | |
|
|
|
Building Materials & Construction — 1.1% | | | | | | | | | | | | | | | | | | |
Building Materials Corp. of America, Gtd. Notes, 144A (original cost $1,800,725; purchased 05/09/13) | | | | | 7.500% | | | 03/15/20(c) | | | | | 1,615 | | | | 1,744,200 | |
Cemex Espana Luxembourg, Sr. Sec’d. Notes | | | | | 9.875% | | | 04/30/19 | | | | | 1,000 | | | | 1,142,500 | |
Cemex Finance LLC, Sr. Sec’d. Notes, 144A | | | | | 9.875% | | | 04/30/19(d) | | | | | 1,360 | | | | 1,553,800 | |
Mohawk Industries, Inc., Sr. Unsec’d. Notes | | | | | 3.850% | | | 02/01/23 | | | | | 594 | | | | 564,300 | |
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A | | | | | 5.125% | | | 06/26/22(d) | | | | | 2,000 | | | | 1,957,500 | |
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A | | | | | 7.125% | | | 06/26/42 | | | | | 1,540 | | | | 1,422,575 | |
Toll Brothers Finance Corp., Gtd. Notes | | | | | 5.150% | | | 05/15/15 | | | | | 4,695 | | | | 4,900,406 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 13,285,281 | |
| | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A37
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Cable — 1.9% | | | | | | | | | | | | | | | | | | |
Columbus International, Inc. (Barbados), Sr. Sec’d. Notes, 144A (original cost $410,238; purchased 09/13/12) | | | | | 11.500% | | | 11/20/14(b)(c) | | | | | 370 | | | $ | 398,675 | |
CSC Holdings LLC, Sr. Unsec’d. Notes | | | | | 6.750% | | | 11/15/21(d) | | | | | 2,225 | | | | 2,397,438 | |
CSC Holdings LLC, Sr. Unsec’d. Notes | | | | | 8.625% | | | 02/15/19 | | | | | 1,610 | | | | 1,887,725 | |
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | | | | | 3.500% | | | 03/01/16 | | | | | 2,825 | | | | 2,965,371 | |
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | | | | | 3.550% | | | 03/15/15 | | | | | 275 | | | | 284,066 | |
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | | | | | 5.150% | | | 03/15/42 | | | | | 1,375 | | | | 1,234,890 | |
DISH DBS Corp., Gtd. Notes | | | | | 6.625% | | | 10/01/14 | | | | | 1,400 | | | | 1,456,000 | |
Nara Cable Funding Ltd. (Spain), Sr. Sec’d. Notes, RegS | | | | | 8.875% | | | 12/01/18 | | EUR | | | 800 | | | | 1,193,099 | |
NBCUniversal Media LLC, Gtd. Notes | | | | | 4.375% | | | 04/01/21 | | | | | 1,350 | | | | 1,428,870 | |
NBCUniversal Media LLC, Gtd. Notes | | | | | 4.450% | | | 01/15/43(d) | | | | | 2,675 | | | | 2,396,329 | |
TCI Communications, Inc., Sr. Unsec’d. Notes | | | | | 7.875% | | | 02/15/26 | | | | | 750 | | | | 971,611 | |
Time Warner Cable, Inc., Gtd. Notes | | | | | 6.750% | | | 07/01/18(d) | | | | | 2,620 | | | | 2,938,168 | |
Videotron Ltd. (Canada), Gtd. Notes | | | | | 9.125% | | | 04/15/18 | | | | | 953 | | | | 998,268 | |
Virgin Media Secured Finance PLC (United Kingdom), Sr. Sec’d. Notes, 144A | | | | | 6.000% | | | 04/15/21 | | GBP | | | 1,050 | | | | 1,786,572 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 22,337,082 | |
| | | | | | | | | | | | | | | | |
|
|
|
Capital Goods — 1.4% | | | | | | | | | | | | | | | | | | |
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A | | | | | 6.500% | | | 07/15/22 | | | | | 1,375 | | | | 1,466,094 | |
ERAC USA Finance LLC, Gtd. Notes, 144A
(original cost $1,098,609; purchased 05/30/13) | | | | | 6.700% | | | 06/01/34(b)(c) | | | | | 920 | | | | 1,021,209 | |
ERAC USA Finance LLC, Gtd. Notes, 144A
(original cost $996,365; purchased 05/14/13) | | | | | 7.000% | | | 10/15/37(b)(c) | | | | | 770 | | | | 911,236 | |
General Electric Co., Sr. Unsec’d. Notes | | | | | 4.125% | | | 10/09/42 | | | | | 1,275 | | | | 1,177,919 | |
Hertz Corp. (The), Gtd. Notes | | | | | 6.750% | | | 04/15/19(d) | | | | | 1,500 | | | | 1,616,250 | |
Ingersoll-Rand Global Holding Co. Ltd., Gtd. Notes, 144A | | | | | 5.750% | | | 06/15/43 | | | | | 425 | | | | 431,363 | |
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A
(original cost $474,815; purchased 07/10/12) | | | | | 2.500% | | | 07/11/14(b)(c) | | | | | 475 | | | | 478,866 | |
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A
(original cost $2,022,003; purchased 09/24/12) | | | | | 2.500% | | | 03/15/16(b)(c) | | | | | 2,025 | | | | 2,074,647 | |
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A
(original cost $674,345; purchased 05/08/12) | | | | | 3.125% | | | 05/11/15(b)(c) | | | | | 675 | | | | 694,224 | |
Pentair Finance SA, Gtd. Notes | | | | | 1.875% | | | 09/15/17 | | | | | 625 | | | | 617,459 | |
Rockwell Automation, Inc., Sr. Unsec’d. Notes | | | | | 5.200% | | | 01/15/98 | | | | | 1,100 | | | | 945,700 | |
United Rentals North America, Inc., Gtd. Notes | | | | | 7.625% | | | 04/15/22 | | | | | 1,700 | | | | 1,889,125 | |
United Technologies Corp., Sr. Unsec’d. Notes | | | | | 4.500% | | | 06/01/42 | | | | | 1,675 | | | | 1,626,571 | |
Xylem, Inc., Sr. Unsec’d. Notes | | | | | 4.875% | | | 10/01/21 | | | | | 1,960 | | | | 2,043,180 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 16,993,843 | |
| | | | | | | | | | | | | | | | |
|
|
|
Chemicals — 1.5% | | | | | | | | | | | | | | | | | | |
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | | | | | 4.900% | | | 06/01/43(d) | | | | | 1,300 | | | | 1,203,804 | |
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | | | | | 6.125% | | | 01/15/41 | | | | | 450 | | | | 484,350 | |
Ashland, Inc., Gtd. Notes | | | | | 4.750% | | | 08/15/22(d) | | | | | 875 | | | | 831,250 | |
CF Industries, Inc., Gtd. Notes | | | | | 4.950% | | | 06/01/43(d) | | | | | 675 | | | | 614,322 | |
CF Industries, Inc., Gtd. Notes | | | | | 6.875% | | | 05/01/18 | | | | | 380 | | | | 440,729 | |
CF Industries, Inc., Gtd. Notes | | | | | 7.125% | | | 05/01/20 | | | | | 300 | | | | 351,643 | �� |
Dow Chemical Co. (The), Sr. Unsec’d. Notes | | | | | 9.400% | | | 05/15/39(d) | | | | | 1,252 | | | | 1,870,374 | |
LyondellBasell Industries NV, Sr. Unsec’d. Notes | | | | | 6.000% | | | 11/15/21 | | | | | 3,550 | | | | 4,082,898 | |
Mexichem SAB de CV, Sr. Unsec’d. Notes, 144A | | | | | 4.875% | | | 09/19/22 | | | | | 850 | | | | 833,000 | |
Mosaic Co. (The), Sr. Unsec’d. Notes | | | | | 5.450% | | | 11/15/33 | | | | | 655 | | | | 667,345 | |
Mosaic Co. (The), Sr. Unsec’d. Notes | | | | | 5.625% | | | 11/15/43 | | | | | 1,395 | | | | 1,415,202 | |
Sibur Securities Ltd. (Russia), Gtd. Notes, 144A | | | | | 3.914% | | | 01/31/18 | | | | | 1,050 | | | | 1,025,063 | |
Union Carbide Corp., Sr. Unsec’d. Notes | | | | | 7.875% | | | 04/01/23 | | | | | 3,058 | | | | 3,643,136 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 17,463,116 | |
| | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A38
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Consumer — 0.2% | | | | | | | | | | | | | | | | | | |
Service Corp. International, Sr. Unsec’d. Notes | | | | | 7.625% | | | 10/01/18 | | | | | 2,000 | | | $ | 2,300,000 | |
| | | | | | | | | | | | | | | | |
|
|
|
Electric — 3.2% | | | | | | | | | | | | | | | | | | |
AES Corp. (The), Sr. Unsec’d. Notes | | | | | 8.000% | | | 10/15/17 | | | | | 4,000 | | | | 4,700,000 | |
AES Corp. (The), Sr. Unsec’d. Notes | | | | | 9.750% | | | 04/15/16(d) | | | | | 775 | | | | 912,563 | |
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | | | | | 3.350% | | | 07/01/23 | | | | | 550 | | | | 528,058 | |
Calpine Corp., Sr. Sec’d. Notes, 144A | | | | | 7.500% | | | 02/15/21 | | | | | 1,108 | | | | 1,209,105 | |
Covanta Holding Corp., Sr. Unsec’d. Notes | | | | | 7.250% | | | 12/01/20 | | | | | 2,500 | | | | 2,729,235 | |
Duke Energy Corp., Sr. Unsec’d. Notes | | | | | 2.100% | | | 06/15/18(d) | | | | | 3,775 | | | | 3,753,328 | |
El Paso Electric Co., Sr. Unsec’d. Notes | | | | | 6.000% | | | 05/15/35 | | | | | 2,325 | | | | 2,411,850 | |
Enel Finance International NV (Netherlands), Gtd. Notes, 144A | | | | | 6.000% | | | 10/07/39 | | | | | 1,450 | | | | 1,390,746 | |
Enersis SA (Chile), Sr. Unsec’d. Notes | | | | | 7.375% | | | 01/15/14 | | | | | 1,700 | | | | 1,703,237 | |
Exelon Corp., Sr. Unsec’d. Notes | | | | | 4.900% | | | 06/15/15(d) | | | | | 500 | | | | 527,152 | |
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | | | | | 6.200% | | | 10/01/17(d) | | | | | 1,930 | | | | 2,180,989 | |
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | | | | | 6.250% | | | 10/01/39(d) | | | | | 1,900 | | | | 1,925,435 | |
FirstEnergy Corp., Sr. Unsec’d. Notes | | | | | 2.750% | | | 03/15/18 | | | | | 1,800 | | | | 1,768,626 | |
Iberdrola International BV (Spain), Gtd. Notes | | | | | 6.750% | | | 09/15/33 | | | | | 1,150 | | | | 1,215,176 | |
NRG Energy, Inc., Gtd. Notes | | | | | 6.625% | | | 03/15/23(d) | | | | | 2,750 | | | | 2,770,625 | |
Pacific Gas & Electric Co., Sr. Unsec’d. Notes | | | | | 4.600% | | | 06/15/43(d) | | | | | 1,950 | | | | 1,860,754 | |
South Carolina Electric & Gas Co., First Mortgage | | | | | 4.600% | | | 06/15/43 | | | | | 2,025 | | | | 1,978,658 | |
TransAlta Corp. (Canada), Sr. Unsec’d. Notes | | | | | 6.650% | | | 05/15/18 | | | | | 1,953 | | | | 2,205,398 | |
Westar Energy, Inc., First Mortgage | | | | | 4.100% | | | 04/01/43 | | | | | 475 | | | | 430,277 | |
Xcel Energy, Inc., Sr. Unsec’d. Notes | | | | | 5.613% | | | 04/01/17 | | | | | 1,947 | | | | 2,145,156 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 38,346,368 | |
| | | | | | | | | | | | | | | | |
|
|
|
Energy – Integrated — 1.0% | | | | | | | | | | | | | | | | | | |
Cenovus Energy, Inc., Sr. Unsec’d. Notes | | | | | 4.450% | | | 09/15/42 | | | | | 1,825 | | | | 1,643,321 | |
LUKOIL international Finance BV (Netherlands), Gtd. Notes, 144A | | | | | 7.250% | | | 11/05/19 | | | | | 1,300 | | | | 1,501,500 | |
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A | | | | | 5.375% | | | 01/26/19 | | | | | 870 | | | | 876,525 | |
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A | | | | | 7.250% | | | 12/12/21(d) | | | | | 1,340 | | | | 1,420,400 | |
Pacific Rubiales Energy Corp. (Colombia), Notes | | | | | 7.250% | | | 12/12/21 | | | | | 340 | | | | 360,400 | |
Reliance Holdings USA, Inc. (India), Gtd. Notes, RegS | | | | | 5.400% | | | 02/14/22 | | | | | 500 | | | | 505,671 | |
Reliance Holdings USA, Inc. (India), Gtd. Notes, 144A | | | | | 5.400% | | | 02/14/22 | | | | | 1,860 | | | | 1,881,096 | |
Rosneft Finance SA (Russia), Gtd. Notes, 144A | | | | | 6.625% | | | 03/20/17 | | | | | 585 | | | | 646,425 | |
Sasol Financing International PLC (South Africa), Gtd. Notes | | | | | 4.500% | | | 11/14/22 | | | | | 2,725 | | | | 2,534,250 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 11,369,588 | |
| | | | | | | | | | | | | | | | |
|
|
|
Energy – Other — 1.5% | | | | | | | | | | | | | | | | | | |
Afren PLC (United Kingdom), Sr. Sec’d. Notes, RegS | | | | | 11.500% | | | 02/01/16 | | | | | 600 | | | | 687,000 | |
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | | | | | 6.375% | | | 09/15/17 | | | | | 3,265 | | | | 3,748,445 | |
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | | | | | 6.450% | | | 09/15/36 | | | | | 1,450 | | | | 1,628,256 | |
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | | | | | 6.950% | | | 06/15/19 | | | | | 250 | | | | 297,558 | |
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | | | | | 7.936% | (e) | | 10/10/36 | | | | | 2,000 | | | | 714,180 | |
Cameron International Corp., Sr. Unsec’d. Notes | | | | | 7.000% | | | 07/15/38 | | | | | 450 | | | | 544,108 | |
Nabors Industries, Inc., Gtd. Notes | | | | | 4.625% | | | 09/15/21 | | | | | 1,650 | | | | 1,651,934 | |
Noble Energy Inc, Sr. Unsec’d. Notes | | | | | 5.250% | | | 11/15/43 | | | | | 430 | | | | 429,649 | |
Noble Energy, Inc., Sr. Unsec’d. Notes | | | | | 6.000% | | | 03/01/41 | | | | | 1,530 | | | | 1,635,992 | |
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | | | | | 6.875% | | | 05/01/18 | | | | | 1,750 | | | | 2,049,094 | |
Precision Drilling Corp. (Canada), Gtd. Notes | | | | | 6.625% | | | 11/15/20 | | | | | 1,000 | | | | 1,067,500 | |
Transocean, Inc., Gtd. Notes | | | | | 2.500% | | | 10/15/17(d) | | | | | 1,075 | | | | 1,086,389 | |
Weatherford International Ltd., Gtd. Notes | | | | | 5.125% | | | 09/15/20 | | | | | 1,165 | | | | 1,251,511 | |
Weatherford International Ltd., Gtd. Notes | | | | | 5.950% | | | 04/15/42 | | | | | 1,550 | | | | 1,553,007 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 18,344,623 | |
| | | | | | | | | | | | | | | | |
|
|
|
Foods — 1.4% | | | | | | | | | | | | | | | | | | |
Anheuser-Busch InBev Worldwide, Inc. (Belgium),
Gtd. Notes(f) | | | | | 7.750% | | | 01/15/19 | | | | | 1,640 | | | | 2,047,801 | |
ARAMARK Corp., Gtd. Notes, 144A | | | | | 5.750% | | | 03/15/20(d) | | | | | 1,350 | | | | 1,410,750 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A39
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Foods (continued) | | | | | | | | | | | | | | | | | | |
BRF SA (Brazil), Sr. Unsec’d. Notes, 144A | | | | | 3.950% | | | 05/22/23 | | | | | 275 | | | $ | 237,875 | |
Coca-Cola Icecek A/S (Turkey), Sr. Unsec’d. Notes, 144A | | | | | 4.750% | | | 10/01/18(d) | | | | | 375 | | | | 381,608 | |
Corp. Pesquera Inca SAC, Gtd. Notes, 144A | | | | | 9.000% | | | 02/10/17 | | | | | 1,000 | | | | 995,000 | |
Cott Beverages, Inc., Gtd. Notes | | | | | 8.125% | | | 09/01/18 | | | | | 3,356 | | | | 3,624,480 | |
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A
(original cost $1,226,925; purchased 12/08/11) | | | | | 7.250% | | | 06/01/21(b)(c)(d) | | | | | 1,330 | | | | 1,386,525 | |
Kraft Foods Group, Inc., Sr. Unsec’d. Notes | | | | | 5.000% | | | 06/04/42 | | | | | 900 | | | | 887,213 | |
Minerva Luxembourg SA (Brazil), Gtd. Notes, 144A | | | | | 12.250% | | | 02/10/22 | | | | | 725 | | | | 833,750 | |
Sigma Alimentos SA de CV, Gtd. Notes | | | | | 5.625% | | | 04/14/18 | | | | | 950 | | | | 1,026,000 | |
Stater Brothers Holdings, Inc., Gtd. Notes | | | | | 7.750% | | | 04/15/15 | | | | | 2,200 | | | | 2,205,544 | |
Tyson Foods, Inc., Gtd. Notes | | | | | 6.600% | | | 04/01/16 | | | | | 1,000 | | | | 1,116,257 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 16,152,803 | |
| | | | | | | | | | | | | | | | |
|
|
|
Gaming — 0.1% | | | | | | | | | | | | | | | | | | |
Pinnacle Entertainment, Inc., Gtd. Notes | | | | | 7.500% | | | 04/15/21 | | | | | 1,550 | | | | 1,681,750 | |
| | | | | | | | | | | | | | | | |
|
|
|
Healthcare & Pharmaceutical — 2.1% | | | | | | | | | | | | | | | | | | |
AbbVie, Inc., Sr. Unsec’d. Notes | | | | | 4.400% | | | 11/06/42 | | | | | 850 | | | | 792,773 | |
Actavis PLC, Sr. Unsec’d. Notes | | | | | 4.625% | | | 10/01/42 | | | | | 700 | | | | 636,860 | |
Amgen, Inc., Sr. Unsec’d. Notes | | | | | 5.150% | | | 11/15/41 | | | | | 2,515 | | | | 2,505,659 | |
Amgen, Inc., Sr. Unsec’d. Notes | | | | | 5.375% | | | 05/15/43 | | | | | 115 | | | | 118,072 | |
CHS/Community Health Systems, Inc., Gtd. Notes | | | | | 8.000% | | | 11/15/19 | | | | | 2,500 | | | | 2,712,500 | |
Express Scripts Holding Co., Gtd. Notes | | | | | 2.750% | | | 11/21/14 | | | | | 3,750 | | | | 3,822,319 | |
Gilead Sciences, Inc., Sr. Unsec’d. Notes | | | | | 5.650% | | | 12/01/41(d) | | | | | 250 | | | | 278,309 | |
HCA, Inc., Gtd. Notes | | | | | 8.000% | | | 10/01/18(d) | | | | | 2,250 | | | | 2,657,813 | |
HCA, Inc., Sr. Unsec’d. Notes | | | | | 6.375% | | | 01/15/15 | | | | | 1,000 | | | | 1,050,000 | |
HCA, Inc., Sr. Unsec’d. Notes, MTN | | | | | 9.000% | | | 12/15/14 | | | | | 320 | | | | 342,400 | |
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | | | | | 3.750% | | | 08/23/22 | | | | | 225 | | | | 217,944 | |
LifePoint Hospitals, Inc., Gtd. Notes | | | | | 6.625% | | | 10/01/20 | | | | | 1,000 | | | | 1,065,000 | |
Merck & Co, Inc., Sr. Unsec’d. Notes | | | | | 4.150% | | | 05/18/43(d) | | | | | 2,075 | | | | 1,895,699 | |
Pfizer, Inc., Sr. Unsec’d. Notes | | | | | 4.300% | | | 06/15/43(d) | | | | | 1,550 | | | | 1,457,543 | |
Valeant Pharmaceuticals International, Gtd. Notes, 144A | | | | | 6.875% | | | 12/01/18 | | | | | 1,500 | | | | 1,605,000 | |
Valeant Pharmaceuticals International, Inc.,
Sr. Unsec’d. Notes, 144A | | | | | 6.750% | | | 08/15/18(d) | | | | | 2,000 | | | | 2,197,500 | |
Zoetis, Inc., Sr. Unsec’d. Notes, 144A | | | | | 4.700% | | | 02/01/43 | | | | | 1,525 | | | | 1,425,355 | |
| | | | | | | | | | | | �� | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 24,780,746 | |
| | | | | | | | | | | | | | | | |
|
|
|
Healthcare Insurance — 1.2% | | | | | | | | | | | | | | | | | | |
Aetna, Inc., Sr. Unsec’d. Notes | | | | | 6.750% | | | 12/15/37 | | | | | 1,900 | | | | 2,317,099 | |
Cigna Corp., Sr. Unsec’d. Notes | | | | | 4.375% | | | 12/15/20 | | | | | 745 | | | | 792,646 | |
Cigna Corp., Sr. Unsec’d. Notes | | | | | 5.375% | | | 03/15/17 | | | | | 2,125 | | | | 2,354,815 | |
Cigna Corp., Sr. Unsec’d. Notes | | | | | 5.875% | | | 03/15/41 | | | | | 750 | | | | 827,289 | |
Coventry Health Care, Inc., Sr. Unsec’d. Notes | | | | | 6.125% | | | 01/15/15 | | | | | 4,025 | | | | 4,250,545 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | | | 4.250% | | | 03/15/43 | | | | | 1,200 | | | | 1,076,916 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | | | 6.500% | | | 06/15/37 | | | | | 760 | | | | 901,650 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | | | 6.625% | | | 11/15/37 | | | | | 195 | | | | 235,922 | |
WellPoint, Inc., Sr. Unsec’d. Notes | | | | | 4.625% | | | 05/15/42 | | | | | 525 | | | | 485,212 | |
WellPoint, Inc., Sr. Unsec’d. Notes | | | | | 4.650% | | | 01/15/43 | | | | | 1,225 | | | | 1,134,107 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 14,376,201 | |
| | | | | | | | | | | | | | | | |
|
|
|
Insurance — 3.3% | | | | | | | | | | | | | | | | | | |
Allied World Assurance Co. Ltd., Gtd. Notes | | | | | 5.500% | | | 11/15/20 | | | | | 430 | | | | 465,047 | |
Allied World Assurance Co. Ltd., Gtd. Notes | | | | | 7.500% | | | 08/01/16 | | | | | 2,475 | | | | 2,841,295 | |
Allstate Corp. (The), Sr. Unsec’d. Notes | | | | | 4.500% | | | 06/15/43 | | | | | 375 | | | | 354,815 | |
American International Group, Inc., Sr. Unsec’d. Notes | | | | | 5.050% | | | 10/01/15 | | | | | 315 | | | | 337,379 | |
American International Group, Inc., Sr. Unsec’d. Notes, MTN | | | | | 5.850% | | | 01/16/18 | | | | | 3,700 | | | | 4,244,085 | |
American International Group, Inc., Sr. Unsec’d. Notes(f) | | | | | 6.400% | | | 12/15/20 | | | | | 950 | | | | 1,122,768 | |
American International Group, Inc., Sr. Unsec’d. Notes | | | | | 8.250% | | | 08/15/18 | | | | | 2,005 | | | | 2,508,014 | |
Axis Capital Holdings Ltd., Sr. Unsec’d. Notes | | | | | 5.750% | | | 12/01/14 | | | | | 3,350 | | | | 3,500,241 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A40
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Insurance (continued) | | | | | | | | | | | | | | | | |
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes(f) | | | | 3.000% | | 02/11/23 | | | | | 1,850 | | | $ | 1,747,083 | |
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes | | | | 4.500% | | 02/11/43(d) | | | | | 1,350 | | | | 1,248,002 | |
Chubb Corp. (The), Jr. Sub. Notes | | | | 6.375%(a) | | 03/29/67(d) | | | | | 1,775 | | | | 1,921,438 | |
Endurance Specialty Holdings Ltd., Sr. Unsec’d. Notes | | | | 7.000% | | 07/15/34 | | | | | 1,350 | | | | 1,492,001 | |
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes | | | | 5.125% | | 04/15/22 | | | | | 500 | | | | 544,606 | |
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A | | | | 6.500% | | 03/15/35(d) | | | | | 1,030 | | | | 1,124,525 | |
Lincoln National Corp., Jr. Sub. Notes | | | | 6.050%(a) | | 04/20/67 | | | | | 350 | | | | 347,375 | |
Lincoln National Corp., Sr. Unsec’d. Notes | | | | 7.000% | | 06/15/40 | | | | | 1,265 | | | | 1,584,884 | |
Lincoln National Corp., Sr. Unsec’d. Notes | | | | 8.750% | | 07/01/19 | | | | | 1,265 | | | | 1,628,252 | |
Markel Corp., Sr. Unsec’d. Notes | | | | 5.000% | | 03/30/43 | | | | | 350 | | | | 327,318 | |
Massachusetts Mutual Life Insurance Co., Sub. Notes, 144A | | | | 8.875% | | 06/01/39 | | | | | 1,200 | | | | 1,719,674 | |
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A | | | | 5.000%(a) | | 10/18/42 | | | | | 850 | | | | 877,625 | |
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A | | | | 6.063% | | 03/30/40 | | | | | 500 | | | | 561,755 | |
Ohio National Financial Services, Inc., Sr. Notes, 144A | | | | 6.375% | | 04/30/20 | | | | | 850 | | | | 942,451 | |
Principal Financial Group, Inc., Gtd. Notes | | | | 4.625% | | 09/15/42 | | | | | 150 | | | | 140,926 | |
Progressive Corp. (The), Jr. Sub. Notes | | | | 6.700%(a) | | 06/15/37 | | | | | 1,015 | | | | 1,096,200 | |
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | | | | 6.850% | | 12/16/39 | | | | | 2,310 | | | | 2,851,439 | |
Unum Group, Sr. Unsec’d. Notes | | | | 5.625% | | 09/15/20 | | | | | 500 | | | | 548,073 | |
Willis Group Holdings PLC, Gtd. Notes | | | | 4.125% | | 03/15/16 | | | | | 1,280 | | | | 1,340,076 | |
XL Group PLC (Ireland), Jr. Sub. Notes | | | | 6.500%(a) | | 12/31/49(d) | | | | | 1,880 | | | | 1,849,450 | |
XL Group PLC (Ireland), Sr. Unsec’d. Notes | | | | 5.250% | | 09/15/14 | | | | | 140 | | | | 144,298 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 39,411,095 | |
| | | | | | | | | | | | | | |
|
|
|
Lodging — 0.3% | | | | | | | | | | | | | | | | |
Marriott International, Inc., Sr. Unsec’d. Notes | | | | 3.250% | | 09/15/22 | | | | | 1,325 | | | | 1,235,311 | |
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | | | | 2.950% | | 03/01/17 | | | | | 2,420 | | | | 2,454,483 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 3,689,794 | |
| | | | | | | | | | | | | | |
|
|
|
Media & Entertainment — 2.4% | | | | | | | | | | | | | | | | |
British Sky Broadcasting Group PLC, Gtd. Notes, 144A | | | | 6.100% | | 02/15/18 | | | | | 210 | | | | 239,074 | |
CBS Corp., Gtd. Notes
(original cost $1,253,820; purchased 09/21/12) | | | | 4.850% | | 07/01/42(b)(c) | | | | | 1,200 | | | | 1,081,261 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes | | | | 9.125% | | 08/01/18 | | | | | 2,300 | | | | 2,495,500 | |
Historic TW, Inc., Gtd. Notes | | | | 6.625% | | 05/15/29 | | | | | 1,837 | | | | 2,108,384 | |
Liberty Interactive LLC, Sr. Unsec’d. Notes | | | | 8.250% | | 02/01/30(d) | | | | | 2,250 | | | | 2,396,250 | |
Myriad International Holdings BV (South Africa), Gtd. Notes, 144A | | | | 6.000% | | 07/18/20 | | | | | 775 | | | | 829,250 | |
News America, Inc., Gtd. Notes | | | | 6.150% | | 03/01/37 | | | | | 460 | | | | 505,581 | |
News America, Inc., Gtd. Notes | | | | 6.150% | | 02/15/41(d) | | | | | 1,430 | | | | 1,593,771 | |
News America, Inc., Gtd. Notes | | | | 6.900% | | 08/15/39 | | | | | 65 | | | | 77,470 | |
News America, Inc., Gtd. Notes | | | | 7.625% | | 11/30/28 | | | | | 1,415 | | | | 1,755,084 | |
RR Donnelley & Sons Co., Sr. Unsec’d. Notes | | | | 4.950% | | 04/01/14 | | | | | 7,000 | | | | 7,070,000 | |
RR Donnelley & Sons Co., Sr. Unsec’d. Notes | | | | 8.600% | | 08/15/16 | | | | | 4,750 | | | | 5,498,125 | |
Time Warner Cos., Inc., Gtd. Notes | | | | 6.950% | | 01/15/28 | | | | | 532 | | | | 627,672 | |
Time Warner Cos., Inc., Gtd. Notes | | | | 7.250% | | 10/15/17 | | | | | 1,440 | | | | 1,716,633 | |
Viacom, Inc., Sr. Unsec’d. Notes | | | | 4.500% | | 02/27/42(d) | | | | | 95 | | | | 81,051 | |
Viacom, Inc., Sr. Unsec’d. Notes | | | | 4.875% | | 06/15/43 | | | | | 275 | | | | 248,773 | |
Viacom, Inc., Sr. Unsec’d. Notes | | | | 5.850% | | 09/01/43 | | | | | 625 | | | | 657,014 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 28,980,893 | |
| | | | | | | | | | | | | | |
|
|
|
Metals — 1.0% | | | | | | | | | | | | | | | | |
Berau Capital Resources Pte Ltd., Sr. Sec’d. Notes, RegS | | | | 12.500% | | 07/08/15 | | | | | 1,600 | | | | 1,688,000 | |
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes | | | | 5.000% | | 09/30/43 | | | | | 1,250 | | | | 1,270,926 | |
Newmont Mining Corp., Gtd. Notes | | | | 6.250% | | 10/01/39 | | | | | 75 | | | | 66,339 | |
Peabody Energy Corp., Gtd. Notes | | | | 6.000% | | 11/15/18(d) | | | | | 4,075 | | | | 4,339,875 | |
PT Adaro Indonesia (Indonesia), Sr. Unsec’d. Notes, RegS | | | | 7.625% | | 10/22/19 | | | | | 745 | | | | 785,975 | |
Southern Copper Corp., Sr. Unsec’d. Notes | | | | 6.750% | | 04/16/40 | | | | | 990 | | | | 958,580 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A41
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Metals (continued) | | | | | | | | | | | | | | | | | | |
Southern Copper Corp., Sr. Unsec’d. Notes | | | | | 7.500% | | | 07/27/35 | | | | | 550 | | | $ | 573,138 | |
Vedanta Resources PLC, Sr. Notes, 144A | | | | | 6.000% | | | 01/31/19 | | | | | 1,050 | | | | 1,015,875 | |
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A | | | | | 2.850% | | | 11/10/14 | | | | | 1,825 | | | | 1,850,331 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 12,549,039 | |
| | | | | | | | | | | | | | | | |
|
|
|
Non-Captive Finance — 2.8% | | | | | | | | | | | | | | | | | | |
CIT Group, Inc., Sr. Unsec’d. Notes | | | | | 5.000% | | | 08/15/22 | | | | | 1,350 | | | | 1,316,250 | |
CIT Group, Inc., Sr. Unsec’d. Notes, 144A | | | | | 5.500% | | | 02/15/19(d) | | | | | 4,000 | | | | 4,290,000 | |
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | | | | | 5.875% | | | 01/14/38(d) | | | | | 675 | | | | 768,902 | |
General Electric Capital Corp., Sr. Unsec’d. Notes, GMTN(f) | | | | | 6.000% | | | 08/07/19 | | | | | 6,315 | | | | 7,409,465 | |
General Electric Capital Corp., Sub. Notes | | | | | 5.300% | | | 02/11/21(d) | | | | | 1,185 | | | | 1,325,565 | |
HSBC Finance Corp., Sub. Notes | | | | | 6.676% | | | 01/15/21 | | | | | 295 | | | | 338,966 | |
International Lease Finance Corp., Sr. Sec’d. Notes, 144A | | | | | 6.500% | | | 09/01/14 | | | | | 2,875 | | | | 2,972,031 | |
International Lease Finance Corp., Sr. Unsec’d. Notes | | | | | 5.750% | | | 05/15/16 | | | | | 1,125 | | | | 1,205,156 | |
International Lease Finance Corp., Sr. Unsec’d. Notes | | | | | 6.250% | | | 05/15/19 | | | | | 1,400 | | | | 1,515,500 | |
Nelnet, Inc., Jr. Sub. Notes | | | | | 3.622% | (a) | | 09/29/36 | | | | | 3,775 | | | | 2,765,188 | |
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A | | | | | 0.970% | (a) | | 07/03/33(b) | | | | | 1,171 | | | | 974,365 | |
Schahin II Finance Co. SPV Ltd. (Brazil), Sr. Sec’d. Notes, 144A | | | | | 5.875% | | | 09/25/22(d) | | | | | 1,820 | | | | 1,738,291 | |
SLM Corp., Sr. Unsec’d. Notes, MTN | | | | | 5.050% | | | 11/14/14 | | | | | 4,150 | | | | 4,284,875 | |
SLM Corp., Sr. Unsec’d. Notes, MTN | | | | | 6.000% | | | 01/25/17 | | | | | 1,075 | | | | 1,163,688 | |
Springleaf Finance Corp., Sr. Unsec’d. Notes, MTN | | | | | 6.900% | | | 12/15/17(d) | | | | | 1,000 | | | | 1,093,000 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 33,161,242 | |
| | | | | | | | | | | | | | | | |
|
|
|
Packaging — 0.4% | | | | | | | | | | | | | | | | | | |
Ball Corp., Gtd. Notes | | | | | 6.750% | | | 09/15/20(d) | | | | | 345 | | | | 375,188 | |
Greif Luxembourg Finance, Notes, MTN, 144A | | | | | 7.375% | | | 07/15/21 | | EUR | | | 1,470 | | | | 2,376,187 | |
Greif, Inc., Sr. Unsec’d. Notes | | | | | 7.750% | | | 08/01/19 | | | | | 1,815 | | | | 2,060,025 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 4,811,400 | |
| | | | | | | | | | | | | | | | |
|
|
|
Paper — 0.9% | | | | | | | | | | | | | | | | | | |
International Paper Co., Sr. Unsec’d. Notes | | | | | 6.000% | | | 11/15/41 | | | | | 675 | | | | 733,020 | |
International Paper Co., Sr. Unsec’d. Notes | | | | | 7.300% | | | 11/15/39 | | | | | 1,000 | | | | 1,234,722 | |
International Paper Co., Sr. Unsec’d. Notes | | | | | 7.950% | | | 06/15/18 | | | | | 1,640 | | | | 1,992,095 | |
MeadWestvaco Corp., Sr. Unsec’d. Notes | | | | | 7.375% | | | 09/01/19 | | | | | 4,400 | | | | 5,222,202 | |
Rock-Tenn Co., Gtd. Notes | | | | | 4.450% | | | 03/01/19(d) | | | | | 1,165 | | | | 1,228,842 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 10,410,881 | |
| | | | | | | | | | | | | | | | |
|
|
|
Pipelines & Other — 0.9% | | | | | | | | | | | | | | | | | | |
AGL Capital Corp., Gtd. Notes | | | | | 4.400% | | | 06/01/43 | | | | | 1,050 | | | | 946,742 | |
Buckeye Partners LP, Sr. Unsec’d. Notes | | | | | 4.150% | | | 07/01/23(d) | | | | | 1,760 | | | | 1,692,312 | |
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes, 144a | | | | | 4.800% | | | 11/01/43 | | | | | 75 | | | | 72,512 | |
Enterprise Products Operating LLC, Gtd. Notes | | | | | 5.700% | | | 02/15/42 | | | | | 900 | | | | 948,875 | |
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes | | | | | 5.000% | | | 08/15/42 | | | | | 550 | | | | 507,958 | |
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes | | | | | 7.300% | | | 08/15/33 | | | | | 1,550 | | | | 1,825,212 | |
NiSource Finance Corp., Gtd. Notes | | | | | 4.800% | | | 02/15/44 | | | | | 300 | | | | 270,680 | |
NiSource Finance Corp., Gtd. Notes | | | | | 5.450% | | | 09/15/20 | | | | | 1,345 | | | | 1,495,628 | |
ONEOK Partners LP, Gtd. Notes | | | | | 2.000% | | | 10/01/17 | | | | | 750 | | | | 746,335 | |
Sempra Energy, Sr. Unsec’d. Notes | | | | | 6.500% | | | 06/01/16 | | | | | 2,275 | | | | 2,559,837 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 11,066,091 | |
| | | | | | | | | | | | | | | | |
|
|
|
Real Estate Investment Trusts — 0.6% | | | | | | | | | | | | | | | | | | |
Felcor Lodging LP, Sr. Sec’d. Notes | | | | | 10.000% | | | 10/01/14 | | | | | 1,921 | | | | 2,031,458 | |
Hospitality Properties Trust, Sr. Unsec’d. Notes | | | | | 7.875% | | | 08/15/14 | | | | | 2,900 | | | | 2,923,539 | |
ProLogis LP, Gtd. Notes | | | | | 6.875% | | | 03/15/20 | | | | | 8 | | | | 9,422 | |
Simon Property Group LP, Sr. Unsec’d. Notes | | | | | 2.800% | | | 01/30/17(d) | | | | | 45 | | | | 46,544 | |
Simon Property Group LP, Sr. Unsec’d. Notes | | | | | 3.375% | | | 03/15/22 | | | | | 325 | | | | 316,772 | |
Simon Property Group LP, Sr. Unsec’d. Notes | | | | | 6.125% | | | 05/30/18 | | | | | 40 | | | | 46,313 | |
Simon Property Group LP, Sr. Unsec’d. Notes | | | | | 10.350% | | | 04/01/19 | | | | | 1,685 | | | | 2,280,095 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 7,654,143 | |
| | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A42
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Retailers — 0.6% | | | | | | | | | | | | | | | | | | |
CVS Caremark Corp., Sr. Unsec’d. Notes | | | | | 5.300% | | | 12/05/43 | | | | | 125 | | | $ | 129,270 | |
CVS Caremark Corp., Sr. Unsec’d. Notes | | | | | 6.125% | | | 09/15/39(d) | | | | | 2,000 | | | | 2,268,238 | |
Home Depot, Inc. (The), Sr. Unsec’d. Notes | | | | | 4.200% | | | 04/01/43 | | | | | 1,025 | | | | 934,080 | |
Ltd. Brands, Inc., Gtd. Notes | | | | | 5.625% | | | 02/15/22 | | | | | 2,200 | | | | 2,249,500 | |
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes | | | | | 5.625% | | | 04/15/41 | | | | | 1,190 | | | | 1,351,214 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 6,932,302 | |
| | | | | | | | | | | | | | | | |
|
|
|
Technology — 1.2% | | | | | | | | | | | | | | | | | | |
Arrow Electronics, Inc., Sr. Unsec’d. Notes | | | | | 3.375% | | | 11/01/15 | | | | | 600 | | | | 620,930 | |
Avaya, Inc., Sec’d. Notes, 144A | | | | | 10.500% | | | 03/01/21(d) | | | | | 2,200 | | | | 2,101,000 | |
CDW LLC/CDW Finance Corp., Gtd. Notes | | | | | 12.535% | | | 10/12/17 | | | | | 843 | | | | 880,935 | |
Fiserv, Inc., Gtd. Notes | | | | | 3.125% | | | 10/01/15 | | | | | 195 | | | | 201,892 | |
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A | | | | | 3.750% | | | 06/01/18 | | | | | 1,925 | | | | 1,939,438 | |
Seagate HDD Cayman, Gtd. Notes | | | | | 6.875% | | | 05/01/20 | | | | | 2,875 | | | | 3,108,594 | |
SunGard Data Systems, Inc., Gtd. Notes | | | | | 7.625% | | | 11/15/20(d) | | | | | 1,700 | | | | 1,853,000 | |
TransUnion LLC/TransUnion Financing Corp., Gtd. Notes | | | | | 11.375% | | | 06/15/18 | | | | | 1,850 | | | | 2,016,500 | |
Xerox Corp., Sr. Unsec’d. Notes | | | | | 4.250% | | | 02/15/15 | | | | | 2,000 | | | | 2,074,856 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 14,797,145 | |
| | | | | | | | | | | | | | | | |
|
|
|
Telecommunications — 2.2% | | | | | | | | | | | | | | | | | | |
America Movil SAB de CV (Mexico), Gtd. Notes | | | | | 6.125% | | | 03/30/40 | | | | | 655 | | | | 693,066 | |
AT&T Corp., Gtd. Notes | | | | | 8.000% | | | 11/15/31 | | | | | 103 | | | | 137,086 | |
AT&T, Inc., Sr. Unsec’d. Notes | | | | | 5.350% | | | 09/01/40 | | | | | 483 | | | | 477,896 | |
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A | | | | | 5.125% | | | 03/11/23 | | | | | 1,305 | | | | 1,198,512 | |
British Telecommunications PLC (United Kingdom),
Sr. Unsec’d. Notes | | | | | 9.625% | | | 12/15/30 | | | | | 328 | | | | 489,456 | |
Cellco Partnership/Verizon Wireless Capital LLC,
Sr. Unsec’d. Notes | | | | | 8.500% | | | 11/15/18 | | | | | 2,255 | | | | 2,855,130 | |
Eileme 2 AB (Sweden), Sr. Sec’d. Notes, RegS | | | | | 11.750% | | | 01/31/20 | | EUR | | | 1,400 | | | | 2,320,814 | |
Embarq Corp., Sr. Unsec’d. Notes
(original cost ($1,303,800, purchased 04/22/10) | | | | | 7.995% | | | 06/01/36(b)(c) | | | | | 1,250 | | | | 1,265,550 | |
MetroPCS Wireless, Inc., Gtd. Notes | | | | | 7.875% | | | 09/01/18 | | | | | 775 | | | | 832,156 | |
SK Telecom Co. Ltd. (South Korea), Sr. Unsec’d. Notes, MTN, 144A | | | | | 2.125% | | | 05/01/18 | | | | | 675 | | | | 655,300 | |
Sprint Capital Corp., Gtd. Notes | | | | | 6.900% | | | 05/01/19(d) | | | | | 1,300 | | | | 1,420,250 | |
Verizon Communications, Inc., Sr. Unsec’d. Notes | | | | | 6.400% | | | 09/15/33 | | | | | 2,250 | | | | 2,587,772 | |
Verizon Communications, Inc., Sr. Unsec’d. Notes | | | | | 6.550% | | | 09/15/43 | | | | | 7,400 | | | | 8,657,697 | |
Verizon Communications, Inc., Sr. Unsec’d. Notes | | | | | 4.750% | | | 11/01/41 | | | | | 745 | | | | 696,460 | |
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC,
Sr. Unsec’d. Notes, 144A | | | | | 7.748% | | | 02/02/21 | | | | | 1,300 | | | | 1,412,125 | |
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC,
Sr. Unsec’d. Notes, 144A | | | | | 9.125% | | | 04/30/18(b) | | | | | 200 | | | | 234,500 | |
Wind Acquisition Finance SA, Sec’d. Notes, 144A
(original cost $492,804; purchased 11/30/11) | | | | | 11.750% | | | 07/15/17(c) | | EUR | | | 450 | | | | 657,833 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 26,591,603 | |
| | | | | | | | | | | | | | | | |
|
|
|
Tobacco — 1.0% | | | | | | | | | | | | | | | | | | |
Altria Group, Inc., Gtd. Notes | | | | | 4.000% | | | 01/31/24 | | | | | 4,300 | | | | 4,202,880 | |
Altria Group, Inc., Gtd. Notes | | | | | 9.950% | | | 11/10/38 | | | | | 873 | | | | 1,331,675 | |
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A | | | | | 2.050% | | | 02/11/18 | | | | | 2,375 | | | | 2,348,448 | |
Lorillard Tobacco Co., Gtd. Notes | | | | | 3.500% | | | 08/04/16 | | | | | 515 | | | | 541,906 | |
Lorillard Tobacco Co., Gtd. Notes | | | | | 3.750% | | | 05/20/23(d) | | | | | 825 | | | | 751,054 | |
Lorillard Tobacco Co., Gtd. Notes | | | | | 8.125% | | | 06/23/19(d) | | | | | 895 | | | | 1,090,241 | |
Philip Morris International, Inc., Sr. Unsec’d. Notes | | | | | 4.875% | | | 11/15/43 | | | | | 2100 | | | | 2,080,323 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 12,346,527 | |
| | | | | | | | | | | | | | | | |
|
|
|
TOTAL CORPORATE BONDS
(cost $533,343,171) | | | | 560,708,118 | |
| | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A43
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | | | |
| COVERED BOND — 0.1% | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Depfa ACS Bank (Ireland), Covered Bonds, 144A
(cost $1,377,446) | | | | | 5.125% | | | 03/16/37 | | | | | 1,400 | | | $ | 1,184,750 | |
| | | | | | | | | | | | | | | | |
|
|
|
| FOREIGN AGENCIES — 3.3% | | | | | | | | | | | | | | | | | | |
CNOOC Finance 2013 Ltd. (China), Gtd. Notes | | | | | 3.000% | | | 05/09/23(d) | | | | | 750 | | | | 669,887 | |
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A | | | | | 4.875% | | | 01/15/24 | | | | | 875 | | | | 868,438 | |
Dolphin Energy Ltd. (United Arab Emirates), Sr. Sec’d. Notes, 144A | | | | | 5.888% | | | 06/15/19 | | | | | 2,190 | | | | 2,390,229 | |
Export Credit Bank of Turkey (Turkey), Sr. Unsec’d. Notes, 144A | | | | | 5.375% | | | 11/04/16 | | | | | 265 | | | | 272,235 | |
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, RegS | | | | | 9.250% | | | 04/23/19 | | | | | 1,080 | | | | 1,328,400 | |
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | | | | | 4.950% | | | 05/23/16(d) | | | | | 1,950 | | | | 2,069,925 | |
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | | | | | 6.510% | | | 03/07/22 | | | | | 975 | | | | 1,046,906 | |
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | | | | | 9.250% | | | 04/23/19 | | | | | 2,845 | | | | 3,499,350 | |
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, MTN, 144A | | | | | 5.750% | | | 04/30/43 | | | | | 1,075 | | | | 927,403 | |
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, MTN, 144A | | | | | 9.125% | | | 07/02/18 | | | | | 935 | | | | 1,133,688 | |
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, MTN, 144A | | | | | 11.750% | | | 01/23/15 | | | | | 1,475 | | | | 1,618,813 | |
Korea Finance Corp. (South Korea), Sr. Unsec’d. Notes | | | | | 4.625% | | | 11/16/21 | | | | | 600 | | | | 633,550 | |
Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes, RegS | | | | | 4.250% | | | 11/02/20(d) | | | | | 1,750 | | | | 1,817,648 | |
Korea Hydro & Nuclear Power Co. Ltd. (South Korea),
Sr. Unsec’d. Notes, 144A | | | | | 3.000% | | | 09/19/22 | | | | | 1,450 | | | | 1,331,509 | |
Korea Hydro & Nuclear Power Co. Ltd. (South Korea),
Sr. Unsec’d. Notes, 144A | | | | | 4.750% | | | 07/13/21 | | | | | 1,650 | | | | 1,733,485 | |
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS | | | | | 7.750% | | | 10/17/16 | | | | | 2,500 | | | | 2,746,875 | |
Pertamina Persero PT (Indonesia), Sr. Unsec’d. Notes, MTN, 144A | | | | | 4.300% | | | 05/20/23 | | | | | 650 | | | | 565,500 | |
Petrobras International Finance Co. (Brazil), Gtd. Notes | | | | | 5.375% | | | 01/27/21(d) | | | | | 2,925 | | | | 2,902,735 | |
Petroleos de Venezuela SA (Venezuela), Sr. Unsec’d. Notes | | | | | 4.900% | | | 10/28/14 | | | | | 3,435 | | | | 3,134,438 | |
Petroleos Mexicanos (Mexico), Gtd. Notes | | | | | 3.500% | | | 01/30/23(d) | | | | | 1,125 | | | | 1,030,781 | |
Petroleos Mexicanos (Mexico), Gtd. Notes | | | | | 4.875% | | | 01/24/22 | | | | | 2,100 | | | | 2,157,750 | |
Petroleos Mexicanos (Mexico), Gtd. Notes | | | | | 5.500% | | | 06/27/44 | | | | | 2,180 | | | | 1,989,250 | |
Petroleos Mexicanos (Mexico), Gtd. Notes | | | | | 6.500% | | | 06/02/41 | | | | | 745 | | | | 778,525 | |
Power Sector Assets & Liabilities Management Corp. (Philippines), Gov’t. Gtd. Notes, RegS | | | | | 7.390% | | | 12/02/24 | | | | | 1,750 | | | | 2,135,000 | |
State Bank of India (India), Sr. Unsec’d. Notes, 144A | | | | | 4.125% | | | 08/01/17 | | | | | 250 | | | | 252,818 | |
| | | | | | | | | | | | | | | | |
|
|
|
TOTAL FOREIGN AGENCIES
(cost $39,340,565) | | | | 39,035,138 | |
| | | | | | | | | | | | | | | | |
|
|
|
| MUNICIPAL BONDS — 2.0% | | | | | | | | | | | | | | | | | | |
California — 0.6% | | | | | | | | | | | | | | | | | | |
Bay Area Toll Authority, Revenue Bonds, BABs | | | | | 6.907% | | | 10/01/50 | | | | | 1,125 | | | | 1,363,129 | |
State of California, General Obligation Unlimited, BABs | | | | | 7.300% | | | 10/01/39 | | | | | 2,280 | | | | 2,867,305 | |
State of California, General Obligation Unlimited, BABs | | | | | 7.625% | | | 03/01/40 | | | | | 725 | | | | 954,520 | |
University of California, Revenue Bonds, BABs | | | | | 5.770% | | | 05/15/43 | | | | | 1,400 | | | | 1,553,384 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 6,738,338 | |
| | | | | | | | | | | | | | | | |
|
|
|
Colorado — 0.1% | | | | | | | | | | | | | | | | | | |
Regional Transportation District, Revenue Bonds, Series 2010B, BABs | | | | | 5.844% | | | 11/01/50 | | | | | 1,000 | | | | 1,154,480 | |
| | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A44
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | | | |
MUNICIPAL BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Illinois — 0.6% | | | | | | | | | | | | | | | | | | |
Chicago O’Hare International Airport, Revenue Bonds, BABs | | | | | 6.395% | | | 01/01/40 | | | | | 1,380 | | | $ | 1,539,487 | |
State of Illinois, GO | | | | | 4.421% | | | 01/01/15 | | | | | 5,030 | | | | 5,191,061 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 6,730,548 | |
| | | | | | | | | | | | | | | | |
|
|
|
New Jersey — 0.3% | | | | | | | | | | | | | | | | | | |
New Jersey State Turnpike Authority, Revenue Bonds, Series 2010, BABs | | | | | 7.102% | | | 01/01/41 | | | | | 1,175 | | | | 1,504,540 | |
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs | | | | | 7.414% | | | 01/01/40 | | | | | 2,050 | | | | 2,731,522 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 4,236,062 | |
| | | | | | | | | | | | | | | | |
|
|
|
Ohio — 0.1% | | | | | | | | | | | | | | | | | | |
Ohio State University (The), Revenue Bonds, BABs | | | | | 4.910% | | | 06/01/40 | | | | | 695 | | | | 696,376 | |
Ohio State Water Development Authority, Revenue Bonds, BABs | | | | | 4.879% | | | 12/01/34 | | | | | 450 | | | | 456,431 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 1,152,807 | |
| | | | | | | | | | | | | | | | |
|
|
|
Oregon — 0.1% | | | | | | | | | | | | | | | | | | |
Oregon State Department of Transportation, Revenue Bonds, Series A, BABs | | | | | 5.834% | | | 11/15/34 | | | | | 615 | | | | 707,970 | |
| | | | | | | | | | | | | | | | |
|
|
|
Pennsylvania — 0.1% | | | | | | | | | | | | | | | | | | |
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs | | | | | 5.511% | | | 12/01/45 | | | | | 800 | | | | 848,888 | |
| | | | | | | | | | | | | | | | |
|
|
|
Tennessee — 0.1% | | | | | | | | | | | | | | | | | | |
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | | | | | 6.731% | | | 07/01/43 | | | | | 1,375 | | | | 1,524,160 | |
| | | | | | | | | | | | | | | | |
|
|
|
Texas | | | | | | | | | | | | | | | | | | |
Texas State Transportation Commission, Revenue Bonds, Series B, BABs | | | | | 5.028% | | | 04/01/26 | | | | | 425 | | | | 457,138 | |
| | | | | | | | | | | | | | | | |
|
|
|
TOTAL MUNICIPAL BONDS
(cost $20,666,380) | | | | 23,550,391 | |
| | | | | | | | | | | | | | | | |
|
|
|
| SOVEREIGNS — 5.6% | | | | | | | | | | | | | | | | | | |
Brazilian Government International Bond (Brazil),
Sr. Unsec’d. Notes | | | | | 5.625% | | | 01/07/41(d) | | | | | 1,000 | | | | 970,000 | |
Colombia Government International Bond (Colombia),
Sr. Unsec’d. Notes | | | | | 4.000% | | | 02/26/24 | | | | | 2,000 | | | | 1,928,000 | |
Hellenic Republic Government Bond (Greece),
Sr. Unsec’d. Notes, Series PSI | | | | | 2.000% | | | 02/24/23 | | EUR | | | 2,245 | | | | 2,078,186 | |
Hellenic Republic Government Bond (Greece),
Sr. Unsec’d. Notes, Series 9BR | | | | | 5.800% | | | 07/14/15 | | JPY | | | 76,200 | | | | 665,692 | |
Hellenic Republic Government Bond (Greece),
Sr. Unsec’d. Notes, Series 9RG | | | | | 5.800% | | | 07/14/15 | | JPY | | | 107,100 | | | | 935,638 | |
Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes | | | | | 6.375% | | | 03/29/21 | | | | | 776 | | | | 832,260 | |
Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes | | | | | 4.125% | | | 02/19/18 | | | | | 1,370 | | | | 1,385,070 | |
Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes | | | | | 5.750% | | | 11/22/23 | | | | | 650 | | | | 653,250 | |
Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes | | | | | 6.000% | | | 01/11/19 | | EUR | | | 715 | | | | 1,077,074 | |
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes | | | | | 5.875% | | | 03/13/20 | | | | | 2,245 | | | | 2,372,965 | |
Ireland Government Bond (Ireland), Sr. Unsec’d. Notes | | | | | 4.400% | | | 06/18/19 | | EUR | | | 2,880 | | | | 4,347,837 | |
Italy Buoni Poliennali del Tesoro (Italy), Sr. Unsec’d. Notes | | | | | 6.500% | | | 11/01/27 | | EUR | | | 3,545 | | | | 5,899,594 | |
Italy Government International Bond (Italy), Sr. Unsec’d. Notes, RegS | | | | | 3.450% | | | 03/24/17 | | JPY | | | 170,000 | | | | 1,653,310 | |
Italy Government International Bond (Italy), Sr. Unsec’d. Notes, RegS | | | | | 4.500% | | | 06/08/15 | | JPY | | | 130,000 | | | | 1,282,509 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A45
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | | | |
SOVEREIGNS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Mexico Government International Bond (Mexico),
Sr. Unsec’d. Notes, MTN | | | | | 4.750% | | | 03/08/44(d) | | | | | 2,500 | | | $ | 2,253,125 | |
Panama Government International Bond (Panama),
Sr. Unsec’d. | | | | | 5.200% | | | 01/30/20 | | | | | 1,115 | | | | 1,213,956 | |
Peru Enhanced Pass-Through Finance Ltd. (Peru), Pass-Through Certificates, 144A | | | | | 4.841% | (e) | | 05/31/18 | | | | | 889 | | | | 822,100 | |
Portugal Obrigacoes do Tesouro OT (Portugal),
Sr. Unsec’d. Notes, RegS, 144A | | | | | 4.450% | | | 06/15/18 | | EUR | | | 950 | | | | 1,283,918 | |
Portugal Obrigacoes do Tesouro OT (Portugal),
Sr. Unsec’d. Notes, 144A | | | | | 4.750% | | | 06/14/19 | | EUR | | | 4,480 | | | | 5,954,844 | |
Qatar Government International Bond (Qatar),
Sr. Unsec’d. Notes, 144A | | | | | 5.750% | | | 01/20/42 | | | | | 900 | | | | 945,000 | |
Republic of Brazil (Brazil), Sr. Unsec’d. Notes | | | | | 7.125% | | | 01/20/37 | | | | | 900 | | | | 1,030,500 | |
Republic of Brazil (Brazil), Sr. Unsec’d. Notes | | | | | 8.250% | | | 01/20/34 | | | | | 510 | | | | 651,525 | |
Republic of Brazil (Brazil), Unsec’d. Notes | | | | | 11.000% | | | 06/26/17 | | EUR | | | 2,200 | | | | 3,901,224 | |
Republic of Colombia (Colombia), Sr. Unsec’d. Notes | | | | | 7.375% | | | 09/18/37 | | | | | 900 | | | | 1,104,750 | |
Republic of Indonesia (Indonesia), Sr. Unsec’d. Notes, RegS | | | | | 4.875% | | | 05/05/21 | | | | | 1,600 | | | | 1,584,000 | |
Republic of Indonesia (Indonesia), Sr. Unsec’d. Notes, MTN, 144A | | | | | 4.625% | | | 04/15/43(d) | | | | | 1,450 | | | | 1,161,813 | |
Republic of Philippines (Philippines), Sr. Unsec’d. Notes | | | | | 6.250% | | | 03/15/16 | | EUR | | | 850 | | | | 1,265,762 | |
Republic of Portugal (Portugal), Sr. Unsec’d. Notes, RegS | | | | | 3.500% | | | 03/25/15 | | | | | 2,130 | | | | 2,151,436 | |
Republic of Turkey (Turkey), Sr. Unsec’d. Notes | | | | | 8.000% | | | 02/14/34 | | | | | 845 | | | | 940,063 | |
Russian Foreign Bond — Eurobond (Russia), Sr. Unsec’d. Notes, 144A | | | | | 7.500% | | | 03/31/30 | | | | | 872 | | | | 1,016,404 | |
Slovenia Government International Bond (Slovenia),
Sr. Unsec’d Notes., RegS | | | | | 4.750% | | | 05/10/18 | | | | | 1,300 | | | | 1,332,500 | |
Spain Government Bond (Spain), Sr. Unsec’d. Notes | | | | | 4.250% | | | 10/31/16 | | EUR | | | 1,940 | | | | 2,837,540 | |
Spain Government International Bond (Spain),
Sr. Unsec’d. Notes, RegS | | | | | 4.000% | | | 03/06/18 | | | | | 3,000 | | | | 3,049,500 | |
Spain Government International Bond (Spain),
Sr. Unsec’d. Notes, MTN, 144A | | | | | 4.000% | | | 03/06/18 | | | | | 1,500 | | | | 1,524,750 | |
Turkey Government International Bond (Turkey),
Sr. Unsec’d. Notes | | | | | 7.000% | | | 06/05/20 | | | | | 1,510 | | | | 1,648,165 | |
United Mexican States (Mexico), Sr. Unsec’d. Notes | | | | | 2.750% | | | 04/22/23 | | EUR | | | 2,350 | | | | 3,117,815 | |
| | | | | | | | | | | | | | | | |
|
|
|
TOTAL SOVEREIGNS
(cost $65,585,729) | | | | 66,872,075 | |
| | | | | | | | | | | | | | | | |
|
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.9% | | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp. | | | | | 3.500% | | | TBA | | | | | 500 | | | | 496,094 | |
Federal Home Loan Mortgage Corp. | | | | | 4.000% | | | TBA | | | | | 2,000 | | | | 2,053,906 | |
Federal Home Loan Mortgage Corp. | | | | | 5.000% | | | 07/01/19 | | | | | 179 | | | | 190,016 | |
Federal Home Loan Mortgage Corp. | | | | | 5.500% | | | 10/01/33-06/01/34 | | | | | 1,836 | | | | 2,045,441 | |
Federal Home Loan Mortgage Corp. | | | | | 6.000% | | | 11/01/33-06/01/34 | | | | | 1,382 | | | | 1,545,396 | |
Federal Home Loan Mortgage Corp. | | | | | 6.500% | | | 07/01/32-09/01/32 | | | | | 1,046 | | | | 1,175,661 | |
Federal Home Loan Mortgage Corp. | | | | | 7.000% | | | 10/01/32 | | | | | 161 | | | | 181,283 | |
Federal National Mortgage Assoc.(g) | | | | | 1.625% | | | 11/27/18(d) | | | | | 5,945 | | | | 5,895,407 | |
Federal National Mortgage Assoc. | | | | | 4.000% | | | 05/01/19 | | | | | 115 | | | | 121,913 | |
Federal National Mortgage Assoc. | | | | | 4.500% | | | TBA | | | | | 500 | | | | 529,785 | |
Federal National Mortgage Assoc. | | | | | 4.500% | | | 12/01/18-02/01/35 | | | | | 972 | | | | 1,034,679 | |
Federal National Mortgage Assoc. | | | | | 5.500% | | | 03/01/17-06/01/34 | | | | | 3,490 | | | | 3,775,162 | |
Federal National Mortgage Assoc. | | | | | 6.000% | | | 09/01/17-11/01/36 | | | | | 2,712 | | | | 3,032,310 | |
Federal National Mortgage Assoc. | | | | | 6.500% | | | 12/01/14-11/01/33 | | | | | 2,026 | | | | 2,260,924 | |
Federal National Mortgage Assoc. | | | | | 7.000% | | | 05/01/32-06/01/32 | | | | | 184 | | | | 206,926 | |
Government National Mortgage Assoc. | | | | | 3.500% | | | TBA | | | | | 2,000 | | | | 2,015,703 | |
Government National Mortgage Assoc. | | | | | 5.500% | | | 01/15/33-07/15/35 | | | | | 2,549 | | | | 2,827,361 | |
Government National Mortgage Assoc. | | | | | 6.000% | | | 12/15/32-11/15/34 | | | | | 2,707 | | | | 3,069,115 | |
Government National Mortgage Assoc. | | | | | 6.500% | | | 09/15/32-11/15/33 | | | | | 2,117 | | | | 2,364,071 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A46
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Government National Mortgage Assoc. | | | | | 7.500% | | | 10/15/25-02/15/26 | | | | | 64 | | | $ | 71,815 | |
| | | | | | | | | | | | | | | | |
|
|
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $33,026,809) | | | | 34,892,968 | |
| | | | | | | | | | | | | | | | |
|
|
|
| U.S. TREASURY OBLIGATIONS — 0.7% | | | | | | | | | | | | | | | | | | |
U.S. Treasury Bonds | | | | | 3.625% | | | 08/15/43 | | | | | 1,280 | | | | 1,208,800 | |
U.S. Treasury Notes | | | | | 1.250% | | | 11/30/18(d) | | | | | 2,730 | | | | 2,671,562 | |
U.S. Treasury Notes | | | | | 1.500% | | | 12/31/18 | | | | | 425 | | | | 420,219 | |
U.S. Treasury Notes(f) | | | | | 2.375% | | | 02/28/15 | | | | | 4,000 | | | | 4,100,156 | |
| | | | | | | | | | | | | | | | |
|
|
|
TOTAL U.S. TREASURY OBLIGATIONS
(cost $8,439,447) | | | | 8,400,737 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | |
| | |
| | | | | | | | | Shares
| | | | |
| PREFERRED STOCK — 0.1% | | | | | | | | | | | | | | | | | | |
Banking — 0.1% | | | | | | | | | | | | | | | | | | |
Citigroup Capital XIII, 7.875%, (Capital Security, fixed to floating preferred)(a)
(cost $1,125,000) | | | 45,000 | | | | 1,226,250 | |
| | | | | | | | | | | | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $1,032,566,230) | | | | 1,072,084,227 | |
| | | | | | | | | | | | | | | | |
|
|
|
| SHORT-TERM INVESTMENTS — 17.8% | | | | | | | | | | | | | | | | | | |
AFFILIATED MUTUAL FUNDS | | | | | | | | | | | | | | | | | | |
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund
(cost $119,729,540) (Note 4)(h) | | | 12,203,390 | | | | 113,613,561 | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund
(cost $99,097,020; includes $93,280,167 of cash collateral for securities on loan) (Note 4)(h)(i) | | | 99,097,020 | | | | 99,097,020 | |
| | | | | | | | | | | | | | | | |
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(cost $218,826,560) | | | | 212,710,581 | |
| | | | | | | | | | | | | | | | |
|
|
|
TOTAL INVESTMENTS — 107.3%
(cost $1,251,392,790) | | | | 1,284,794,808 | |
LIABILITIES IN EXCESS OF OTHER ASSETS(k) — (7.3)% | | | | (87,288,729 | ) |
| | | | | | | | | | | | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 1,197,506,079 | |
| | | | | | | | | | | | | | | | |
|
|
|
The following abbreviations are used in the 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. |
| RegS | | Regulation S. Security was purchased pursuant to Regulation S and may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. |
| ABS | | Asset-Backed Security |
| BABs | | Build America Bonds |
| BBR | | New Zealand Bank Bill Rate |
| bps | | Basis Points |
| BUBOR | | Budapest Interbank Offered Rate |
| CDO | | Collateralized Debt Obligation |
| CDX | | Credit Derivative Index |
| CLO | | Collateralized Loan Obligation |
| COLIBOR | | Columbia Interbank Offered Rate |
| EURIBOR | | Euro Interbank Offered Rate |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| GMTN | | Global Medium Term Note |
| GO | | General Obligation |
| I/O | | Interest Only |
| JIBAR | | Johannesburg Interbank Agreed Rate |
| LIBOR | | London Interbank Offered Rate |
| MIBOR | | Mumbai Interbank Offered Rate |
SEE NOTES TO FINANCIAL STATEMENTS.
A47
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | |
| MOSPRIME | | Moscow Prime Offered Rate |
| MTN | | Medium Term Note |
| TBA | | To Be Announced |
| TELBOR | | Tel Aviv Interbank Offered Rate |
| WIBOR | | Warsaw Interbank Offered Rate |
| AUD | | Australian Dollar |
| BRL | | Brazilian Real |
| CAD | | Canadian Dollar |
| CHF | | Swiss Franc |
| CNY | | Chinese Yuan Renminbi |
| COP | | Colombian Peso |
| CZK | | Czech Koruna |
| EUR | | Euro |
| GBP | | British Pound |
| HUF | | Hungarian Forint |
| ILS | | Israel New Shekel |
| INR | | Indian Rupee |
| JPY | | Japanese Yen |
| KRW | | South Korean Won |
| MXN | | Mexican Peso |
| MYR | | Malaysian Ringgit |
| NOK | | Norwegian Krone |
| NZD | | New Zealand Dollar |
| PEN | | Peruvian Nuevo Sol |
| PHP | | Philippine Peso |
| PLN | | Polish Zloty |
| RON | | Romanian Leu |
| RUB | | Russian Ruble |
| SEK | | Swedish Krona |
| SGD | | Singapore Dollar |
| TRY | | Turkish Lira |
| ZAR | | South African Rand |
| # | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| (a) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2013. |
| (b) | Indicates a security or securities that have been deemed illiquid. |
| (c) | Indicates a restricted security; the aggregate original cost of the restricted securities is $15,534,291. The aggregate value, $15,667,381, is approximately 1.3% of net assets. |
| (d) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $90,924,537; cash collateral of $93,280,167 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (e) | Represents zero coupon bond or step coupon bond. Rate quoted represents yield to maturity at purchase date. |
| (f) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (g) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (h) | 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. |
| (i) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (j) | Represents issuer in default on interest payments and/or principal repayments; non-income producing security. |
| (k) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Open futures contracts outstanding at December 31, 2013:
| | | | | | | | | | | | | | | | | | |
Number of
Contracts
| | Type
| | Expiration
Date
| | | Value at
Trade Date
| | | Value at
December 31, 2013
| | | Unrealized
Appreciation
(Depreciation)
| |
| Long Positions: | | | | | | | | | | | | | | | | | | |
| 395 | | 5 Year U.S. Treasury Notes | | | Mar. 2014 | | | $ | 47,388,717 | | | $ | 47,128,438 | | | | $ (260,279 | ) |
| 2,916 | | 10 Year U.S. Treasury Notes | | | Mar. 2014 | | | | 364,484,184 | | | | 358,804,688 | | | | (5,679,496 | ) |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | (5,939,775 | ) |
| | | | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A48
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
Open futures contracts outstanding at December 31, 2013 (continued):
| | | | | | | | | | | | | | | | | | |
Number of
Contracts
| | Type
| | Expiration
Date
| | | Value at
Trade Date
| | | Value at
December 31, 2013
| | | Unrealized
Appreciation
(Depreciation)
| |
| Short Positions: | | | | | | | | | | | | | | | | | | |
| 73 | | Euro-Bobl | | | Mar. 2014 | | | $ | 12,625,508 | | | $ | 12,496,066 | | | $ | 129,442 | |
| 40 | | Euro-Bond | | | Mar. 2014 | | | | 7,775,990 | | | | 7,658,275 | | | | 117,715 | |
| 12 | | U.S. Ultra Bond | | | Mar. 2014 | | | | 1,651,858 | | | | 1,635,000 | | | | 16,858 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 264,015 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | $ | (5,675,760 | ) |
| | | | | | | | | | | | | | | | |
|
|
|
Forward foreign currency exchange contracts outstanding at December 31, 2013:
| | | | | | | | | | | | | | | | | | |
Purchase Contracts
| | Counterparty
| | Notional
Amount (000)
| | | Value at
Settlement Date
Payable
| | | Current
Value
| | | Unrealized
Appreciation
(Depreciation)
| |
Australian Dollar, | | | | | | | | | | | | | | | | | | |
Expiring 01/23/14 | | Citigroup Global Markets | | AUD | 9,729 | | | $ | 9,307,938 | | | $ | 8,673,223 | | | $ | (634,715 | ) |
Expiring 01/23/14 | | Goldman Sachs & Co. | | AUD | 133 | | | | 120,700 | | | | 118,317 | | | | (2,383 | ) |
Expiring 01/23/14 | | JPMorgan Chase & Co. | | AUD | 3,239 | | | | 3,038,100 | | | | 2,887,303 | | | | (150,797 | ) |
Expiring 01/23/14 | | JPMorgan Chase & Co. | | AUD | 1,306 | | | | 1,233,000 | | | | 1,164,501 | | | | (68,499 | ) |
Brazilian Real, | | | | | | | | | | | | | | | | | | |
Expiring 01/17/14 | | Citigroup Global Markets | | BRL | 2,700 | | | | 1,210,500 | | | | 1,139,177 | | | | (71,323 | ) |
Expiring 01/22/14 | | Citigroup Global Markets | | BRL | 5,682 | | | | 2,536,760 | | | | 2,394,758 | | | | (142,002 | ) |
Expiring 01/22/14 | | Citigroup Global Markets | | BRL | 1,438 | | | | 602,500 | | | | 605,972 | | | | 3,472 | |
British Pound, | | | | | | | | | | | | | | | | | | |
Expiring 01/27/14 | | Barclays Bank PLC | | GBP | 1,118 | | | | 1,819,900 | | | | 1,850,304 | | | | 30,404 | |
Expiring 01/27/14 | | Citigroup Global Markets | | GBP | 1,841 | | | | 3,014,700 | | | | 3,048,001 | | | | 33,301 | |
Expiring 01/27/14 | | Citigroup Global Markets | | GBP | 1,099 | | | | 1,801,100 | | | | 1,819,781 | | | | 18,681 | |
Expiring 01/27/14 | | Goldman Sachs & Co. | | GBP | 2,220 | | | | 3,633,400 | | | | 3,675,517 | | | | 42,117 | |
Expiring 01/27/14 | | JPMorgan Chase & Co. | | GBP | 2,579 | | | | 4,213,800 | | | | 4,270,708 | | | | 56,908 | |
Expiring 01/27/14 | | JPMorgan Chase & Co. | | GBP | 1,503 | | | | 2,415,800 | | | | 2,487,950 | | | | 72,150 | |
Expiring 01/27/14 | | JPMorgan Chase & Co. | | GBP | 701 | | | | 1,147,078 | | | | 1,160,109 | | | | 13,031 | |
Canadian Dollar, | | | | | | | | | | | | | | | | | | |
Expiring 01/22/14 | | Barclays Bank PLC | | CAD | 2,581 | | | | 2,466,000 | | | | 2,427,996 | | | | (38,004 | ) |
Expiring 01/22/14 | | Citigroup Global Markets | | CAD | 4,330 | | | | 4,199,733 | | | | 4,074,071 | | | | (125,662 | ) |
Expiring 01/22/14 | | Citigroup Global Markets | | CAD | 1,929 | | | | 1,845,200 | | | | 1,815,128 | | | | (30,072 | ) |
Expiring 01/22/14 | | Citigroup Global Markets | | CAD | 1,909 | | | | 1,825,000 | | | | 1,796,270 | | | | (28,730 | ) |
Expiring 01/22/14 | | Deutsche Bank | | CAD | 4,330 | | | | 4,198,418 | | | | 4,074,071 | | | | (124,347 | ) |
Expiring 01/22/14 | | Goldman Sachs & Co. | | CAD | 1,911 | | | | 1,830,600 | | | | 1,797,767 | | | | (32,833 | ) |
Expiring 01/22/14 | | JPMorgan Chase & Co. | | CAD | 1,931 | | | | 1,849,500 | | | | 1,817,001 | | | | (32,499 | ) |
Expiring 01/22/14 | | JPMorgan Chase & Co. | | CAD | 1,919 | | | | 1,827,100 | | | | 1,806,002 | | | | (21,098 | ) |
Chinese Yuan Renminbi, | | | | | | | | | | | | | | | | | | |
Expiring 01/15/14 | | Citigroup Global Markets | | CNY | 35,935 | | | | 5,864,296 | | | | 5,930,230 | | | | 65,934 | |
Expiring 01/15/14 | | Citigroup Global Markets | | CNY | 22,523 | | | | 3,696,400 | | | | 3,716,945 | | | | 20,545 | |
Expiring 01/15/14 | | HSBC Securities, Inc. | | CNY | 18,798 | | | | 3,067,935 | | | | 3,102,100 | | | | 34,165 | |
Expiring 01/15/14 | | JPMorgan Chase & Co. | | CNY | 19,597 | | | | 3,197,995 | | | | 3,233,978 | | | | 35,983 | |
Expiring 01/15/14 | | UBS AG | | CNY | 22,584 | | | | 3,684,635 | | | | 3,727,005 | | | | 42,370 | |
Colombian Peso, | | | | | | | | | | | | | | | | | | |
Expiring 01/22/14 | | Citigroup Global Markets | | COP | 2,301,384 | | | | 1,214,707 | | | | 1,191,859 | | | | (22,848 | ) |
Expiring 01/22/14 | | Citigroup Global Markets | | COP | 1,409,658 | | | | 739,590 | | | | 730,045 | | | | (9,545 | ) |
Czech Koruna, | | | | | | | | | | | | | | | | | | |
Expiring 01/24/14 | | Barclays Bank PLC | | CZK | 34,421 | | | | 1,848,200 | | | | 1,733,662 | | | | (114,538 | ) |
Euro, | | | | | | | | | | | | | | | | | | |
Expiring 01/27/14 | | Barclays Bank PLC | | EUR | 2,212 | | | | 3,027,704 | | | | 3,042,924 | | | | 15,220 | |
Expiring 01/27/14 | | Barclays Bank PLC | | EUR | 1,346 | | | | 1,842,417 | | | | 1,851,676 | | | | 9,259 | |
Expiring 01/27/14 | | Citigroup Global Markets | | EUR | 1,940 | | | | 2,673,298 | | | | 2,668,580 | | | | (4,718 | ) |
Expiring 01/27/14 | | Citigroup Global Markets | | EUR | 1,346 | | | | 1,855,070 | | | | 1,852,226 | | | | (2,844 | ) |
Expiring 01/27/14 | | Citigroup Global Markets | | EUR | 210 | | | | 284,778 | | | | 288,238 | | | | 3,460 | |
Expiring 01/27/14 | | Credit Suisse | | EUR | 4,258 | | | | 5,869,684 | | | | 5,858,080 | | | | (11,604 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
A49
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
Forward foreign currency exchange contracts outstanding at December 31, 2013 (continued):
| | | | | | | | | | | | | | | | | | |
Purchase Contracts
| | Counterparty
| | Notional
Amount (000)
| | | Value at
Settlement Date
Payable
| | | Current
Value
| | | Unrealized
Appreciation
(Depreciation)
| |
Euro (continued), | | | | | | | | | | | | | | | | | | |
Expiring 01/27/14 | | Goldman Sachs & Co. | | EUR | 4,034 | | | $ | 5,435,500 | | | $ | 5,548,998 | | | $ | 113,498 | |
Expiring 01/27/14 | | Goldman Sachs & Co. | | EUR | 1,799 | | | | 2,411,600 | | | | 2,474,757 | | | | 63,157 | |
Expiring 01/27/14 | | Goldman Sachs & Co. | | EUR | 1,776 | | | | 2,449,700 | | | | 2,443,533 | | | | (6,167 | ) |
Expiring 01/27/14 | | JPMorgan Chase & Co. | | EUR | 1,786 | | | | 2,426,600 | | | | 2,457,494 | | | | 30,894 | |
Hungarian Forint, | | | | | | | | | | | | | | | | | | |
Expiring 01/24/14 | | UBS AG | | HUF | 389,529 | | | | 1,787,200 | | | | 1,800,150 | | | | 12,950 | |
Expiring 01/24/14 | | Citigroup Global Markets | | HUF | 394,721 | | | | 1,828,800 | | | | 1,824,143 | | | | (4,657 | ) |
Expiring 01/24/14 | | Citigroup Global Markets | | HUF | 134,864 | | | | 614,278 | | | | 623,255 | | | | 8,977 | |
Expiring 01/24/14 | | Citigroup Global Markets | | HUF | 134,864 | | | | 614,446 | | | | 623,255 | | | | 8,809 | |
Expiring 01/24/14 | | Deutsche Bank | | HUF | 788,013 | | | | 3,642,137 | | | | 3,641,683 | | | | (454 | ) |
Expiring 01/24/14 | | HSBC Securities, Inc. | | HUF | 788,013 | | | | 3,667,735 | | | | 3,641,683 | | | | (26,052 | ) |
Indian Rupee, | | | | | | | | | | | | | | | | | | |
Expiring 02/03/14 | | Citigroup Global Markets | | INR | 76,063 | | | | 1,209,500 | | | | 1,229,699 | | | | 20,199 | |
Expiring 02/03/14 | | UBS AG | | INR | 263,466 | | | | 4,183,656 | | | | 4,223,774 | | | | 40,118 | |
Expiring 02/03/14 | | UBS AG | | INR | 397,774 | | | | 6,249,645 | | | | 6,376,953 | | | | 127,308 | |
Japanese Yen, | | | | | | | | | | | | | | | | | | |
Expiring 01/27/14 | | Citigroup Global Markets | | JPY | 34,014 | | | | 339,546 | | | | 323,036 | | | | (16,510 | ) |
Expiring 01/27/14 | | Goldman Sachs & Co. | | JPY | 170,160 | | | | 1,726,200 | | | | 1,616,015 | | | | (110,185 | ) |
Malaysian Ringgit, | | | | | | | | | | | | | | | | | | |
Expiring 01/16/14 | | UBS AG | | MYR | 3,922 | | | | 1,214,200 | | | | 1,196,254 | | | | (17,946 | ) |
Expiring 01/22/14 | | UBS AG | | MYR | 5,796 | | | | 1,817,500 | | | | 1,766,933 | | | | (50,567 | ) |
Expiring 01/22/14 | | Citigroup Global Markets | | MYR | 5,833 | | | | 1,849,500 | | | | 1,778,309 | | | | (71,191 | ) |
Expiring 01/22/14 | | Citigroup Global Markets | | MYR | 5,799 | | | | 1,822,900 | | | | 1,767,848 | | | | (55,052 | ) |
Mexican Peso, | | | | | | | | | | | | | | | | | | |
Expiring 01/22/14 | | UBS AG | | MXN | 23,719 | | | | 1,813,200 | | | | 1,813,170 | | | | (30 | ) |
Expiring 01/22/14 | | Barclays Bank PLC | | MXN | 23,888 | | | | 1,808,700 | | | | 1,826,135 | | | | 17,435 | |
Expiring 01/22/14 | | Citigroup Global Markets | | MXN | 39,817 | | | | 3,075,800 | | | | 3,043,842 | | | | (31,958 | ) |
Expiring 01/22/14 | | Citigroup Global Markets | | MXN | 31,301 | | | | 2,407,900 | | | | 2,392,811 | | | | (15,089 | ) |
Expiring 01/22/14 | | Citigroup Global Markets | | MXN | 23,969 | | �� | | 1,849,500 | | | | 1,832,320 | | | | (17,180 | ) |
Expiring 01/22/14 | | Citigroup Global Markets | | MXN | 23,274 | | | | 1,805,400 | | | | 1,779,204 | | | | (26,196 | ) |
Expiring 01/22/14 | | JPMorgan Chase & Co. | | MXN | 108,206 | | | | 8,384,694 | | | | 8,271,839 | | | | (112,855 | ) |
Expiring 01/22/14 | | Morgan Stanley & Co. | | MXN | 23,924 | | | | 1,845,500 | | | | 1,828,885 | | | | (16,615 | ) |
New Zealand Dollar, | | | | | | | | | | | | | | | | | | |
Expiring 01/23/14 | | Citigroup Global Markets | | NZD | 10,977 | | | | 9,134,774 | | | | 9,012,265 | | | | (122,509 | ) |
Expiring 01/23/14 | | JPMorgan Chase & Co. | | NZD | 1,499 | | | | 1,230,100 | | | | 1,231,010 | | | | 910 | |
Expiring 10/23/14 | | Goldman Sachs & Co. | | NZD | 3,824 | | | | 3,082,500 | | | | 3,063,790 | | | | (18,710 | ) |
Norwegian Krone, | | | | | | | | | | | | | | | | | | |
Expiring 01/24/14 | | UBS AG | | NOK | 10,933 | | | | 1,848,200 | | | | 1,800,827 | | | | (47,373 | ) |
Expiring 01/24/14 | | Barclays Bank PLC | | NOK | 14,461 | | | | 2,438,300 | | | | 2,382,023 | | | | (56,277 | ) |
Expiring 01/24/14 | | Barclays Bank PLC | | NOK | 11,119 | | | | 1,811,800 | | | | 1,831,563 | | | | 19,763 | |
Expiring 01/24/14 | | Barclays Bank PLC | | NOK | 11,065 | | | | 1,808,800 | | | | 1,822,552 | | | | 13,752 | |
Expiring 01/24/14 | | Citigroup Global Markets | | NOK | 11,102 | | | | 1,805,800 | | | | 1,828,731 | | | | 22,931 | |
Expiring 01/24/14 | | Credit Suisse | | NOK | 17,999 | | | | 3,026,566 | | | | 2,964,867 | | | | (61,699 | ) |
Expiring 01/24/14 | | Deutsche Bank | | NOK | 10,915 | | | | 1,795,700 | | | | 1,797,883 | | | | 2,183 | |
Expiring 01/24/14 | | Goldman Sachs & Co. | | NOK | 14,848 | | | | 2,422,300 | | | | 2,445,727 | | | | 23,427 | |
Expiring 01/24/14 | | JPMorgan Chase & Co. | | NOK | 17,999 | | | | 3,026,764 | | | | 2,964,867 | | | | (61,897 | ) |
Expiring 01/24/14 | | Morgan Stanley & Co. | | NOK | 10,896 | | | | 1,849,500 | | | | 1,794,850 | | | | (54,650 | ) |
Peruvian Nuevo Sol, | | | | | | | | | | | | | | | | | | |
Expiring 02/04/14 | | Citigroup Global Markets | | PEN | 6,714 | | | | 2,407,085 | | | | 2,386,287 | | | | (20,798 | ) |
Philippine Peso, | | | | | | | | | | | | | | | | | | |
Expiring 01/17/14 | | UBS AG | | PHP | 184,909 | | | | 4,240,961 | | | | 4,167,330 | | | | (73,631 | ) |
Polish Zloty, | | | | | | | | | | | | | | | | | | |
Expiring 01/24/14 | | Citigroup Global Markets | | PLN | 5,638 | | | | 1,811,800 | | | | 1,863,258 | | | | 51,458 | |
Expiring 01/24/14 | | Goldman Sachs & Co. | | PLN | 9,225 | | | | 3,009,800 | | | | 3,048,732 | | | | 38,932 | |
Expiring 01/24/14 | | JPMorgan Chase & Co. | | PLN | 30,792 | | | | 10,065,887 | | | | 10,176,494 | | | | 110,607 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A50
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
Forward foreign currency exchange contracts outstanding at December 31, 2013 (continued):
| | | | | | | | | | | | | | | | | | |
Purchase Contracts
| | Counterparty
| | Notional
Amount (000)
| | | Value at
Settlement Date
Payable
| | | Current
Value
| | | Unrealized
Appreciation
(Depreciation)
| |
Romanian Leu, | | | | | | | | | | | | | | | | | | |
Expiring 01/24/14 | | Barclays Bank PLC | | RON | 10,053 | | | $ | 3,084,801 | | | $ | 3,089,690 | | | $ | 4,889 | |
Expiring 01/24/14 | | Citigroup Global Markets | | RON | 10,053 | | | | 3,087,170 | | | | 3,089,690 | | | | 2,520 | |
Expiring 01/24/14 | | Deutsche Bank | | RON | 5,968 | | | | 1,849,500 | | | | 1,834,180 | | | | (15,320 | ) |
Russian Ruble, | | | | | | | | | | | | | | | | | | |
Expiring 01/17/14 | | Citigroup Global Markets | | RUB | 39,610 | | | | 1,210,500 | | | | 1,200,683 | | | | (9,817 | ) |
Expiring 01/22/14 | | Citigroup Global Markets | | RUB | 39,374 | | | | 1,219,200 | | | | 1,192,461 | | | | (26,739 | ) |
Expiring 01/22/14 | | Citigroup Global Markets | | RUB | 39,173 | | | | 1,182,879 | | | | 1,186,367 | | | | 3,488 | |
Expiring 01/22/14 | | Credit Suisse | | RUB | 39,603 | | | | 1,232,100 | | | | 1,199,388 | | | | (32,712 | ) |
Singapore Dollar, | | | | | | | | | | | | | | | | | | |
Expiring 01/17/14 | | Credit Suisse | | SGD | 5,715 | | | | 4,597,291 | | | | 4,529,019 | | | | (68,272 | ) |
Expiring 01/17/14 | | Deutsche Bank | | SGD | 5,715 | | | | 4,599,049 | | | | 4,529,020 | | | | (70,029 | ) |
South African Rand, | | | | | | | | | | | | | | | | | | |
Expiring 01/30/14 | | Barclays Bank PLC | | ZAR | 23,730 | | | | 2,376,596 | | | | 2,252,133 | | | | (124,463 | ) |
Expiring 01/30/14 | | Barclays Bank PLC | | ZAR | 369 | | | | 35,132 | | | | 35,063 | | | | (69 | ) |
Expiring 01/30/14 | | Citigroup Global Markets | | ZAR | 12,331 | | | | 1,213,000 | | | | 1,170,287 | | | | (42,713 | ) |
South Korean Won, | | | | | | | | | | | | | | | | | | |
Expiring 01/17/14 | | UBS AG | | KRW | 5,514,677 | | | | 5,088,044 | | | | 5,225,448 | | | | 137,404 | |
Expiring 01/17/14 | | UBS AG | | KRW | 1,944,514 | | | | 1,811,800 | | | | 1,840,259 | | | | 28,459 | |
Expiring 01/17/14 | | UBS AG | | KRW | 1,286,414 | | | | 1,207,900 | | | | 1,217,443 | | | | 9,543 | |
Swedish Krona, | | | | | | | | | | | | | | | | | | |
Expiring 01/24/14 | | UBS AG | | SEK | 15,952 | | | | 2,450,400 | | | | 2,479,121 | | | | 28,721 | |
Expiring 01/24/14 | | Barclays Bank PLC | | SEK | 15,875 | | | | 2,421,300 | | | | 2,467,139 | | | | 45,839 | |
Expiring 01/24/14 | | Barclays Bank PLC | | SEK | 11,932 | | | | 1,811,300 | | | | 1,854,379 | | | | 43,079 | |
Expiring 01/24/14 | | Barclays Bank PLC | | SEK | 11,841 | | | | 1,808,800 | | | | 1,840,160 | | | | 31,360 | |
Expiring 01/24/14 | | Credit Suisse | | SEK | 49,669 | | | | 7,765,224 | | | | 7,719,039 | | | | (46,185 | ) |
Expiring 01/24/14 | | Deutsche Bank | | SEK | 15,389 | | | | 2,394,300 | | | | 2,391,614 | | | | (2,686 | ) |
Expiring 01/24/14 | | Deutsche Bank | | SEK | 11,701 | | | | 1,845,500 | | | | 1,818,458 | | | | (27,042 | ) |
Swiss Franc, | | | | | | | | | | | | | | | | | | |
Expiring 01/24/14 | | Credit Suisse | | CHF | 2,730 | | | | 3,062,100 | | | | 3,060,425 | | | | (1,675 | ) |
Expiring 01/24/14 | | Deutsche Bank | | CHF | 1,637 | | | | 1,837,300 | | | | 1,835,166 | | | | (2,134 | ) |
Turkish Lira, | | | | | | | | | | | | | | | | | | |
Expiring 01/30/14 | | Citigroup Global Markets | | TRY | 3,723 | | | | 1,817,500 | | | | 1,721,193 | | | | (96,307 | ) |
Expiring 01/30/14 | | Citigroup Global Markets | | TRY | 3,714 | | | | 1,822,900 | | | | 1,717,287 | | | | (105,613 | ) |
Expiring 01/30/14 | | Citigroup Global Markets | | TRY | 2,462 | | | | 1,213,000 | | | | 1,138,362 | | | | (74,638 | ) |
Expiring 01/30/14 | | Goldman Sachs & Co. | | TRY | 500 | | | | 241,600 | | | | 231,134 | | | | (10,466 | ) |
Expiring 01/30/14 | | JPMorgan Chase & Co. | | TRY | 3,724 | | | | 1,811,800 | | | | 1,721,755 | | | | (90,045 | ) |
| | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | $ | 286,199,496 | | | $ | 284,146,872 | | | $ | (2,052,624 | ) |
| | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | |
Sale Contracts
| | Counterparty
| | Notional
Amount (000)
| | | Value at
Settlement Date
Receivable
| | | Current
Value
| | | Unrealized
Appreciation
(Depreciation)
| |
Australian Dollar, | | | | | | | | | | | | | | | | | | |
Expiring 01/23/14 | | Citigroup Global Markets | | AUD | 1,466 | | | $ | 1,383,363 | | | $ | 1,307,022 | | | $ | 76,341 | |
Expiring 01/23/14 | | Goldman Sachs & Co. | | AUD | 1,700 | | | | 1,583,500 | | | | 1,515,263 | | | | 68,237 | |
Expiring 01/23/14 | | Goldman Sachs & Co. | | AUD | 2,585 | | | | 2,433,300 | | | | 2,304,523 | | | | 128,777 | |
Expiring 01/23/14 | | Goldman Sachs & Co. | | AUD | 3,288 | | | | 3,020,100 | | | | 2,931,554 | | | | 88,546 | |
Expiring 01/23/14 | | JPMorgan Chase & Co. | | AUD | 5,164 | | | | 4,928,500 | | | | 4,603,465 | | | | 325,035 | |
Brazilian Real, | | | | | | | | | | | | | | | | | | |
Expiring 01/22/14 | | Citigroup Global Markets | | BRL | 3,415 | | | | 1,470,300 | | | | 1,439,117 | | | | 31,183 | |
Expiring 01/22/14 | | Citigroup Global Markets | | BRL | 2,762 | | | | 1,232,100 | | | | 1,164,168 | | | | 67,932 | |
British Pound, | | | | | | | | | | | | | | | | | | |
Expiring 01/27/14 | | Citigroup Global Markets | | GBP | 398 | | | | 637,678 | | | | 658,288 | | | | (20,610 | ) |
Expiring 01/27/14 | | Citigroup Global Markets | | GBP | 3,899 | | | | 6,300,914 | | | | 6,455,679 | | | | (154,765 | ) |
Expiring 01/27/14 | | Credit Suisse | | GBP | 1,877 | | | | 3,042,172 | | | | 3,108,078 | | | | (65,906 | ) |
Expiring 01/27/14 | | JPMorgan Chase & Co. | | GBP | 1,144 | | | | 1,848,200 | | | | 1,894,287 | | | | (46,087 | ) |
Expiring 01/27/14 | | JPMorgan Chase & Co. | | GBP | 2,558 | | | | 4,170,100 | | | | 4,234,640 | | | | (64,540 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
A51
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
Forward foreign currency exchange contracts outstanding at December 31, 2013 (continued):
| | | | | | | | | | | | | | | | | | |
Sale Contracts
| | Counterparty
| | Notional
Amount (000)
| | | Value at
Settlement Date
Receivable
| | | Current
Value
| | | Unrealized
Appreciation
(Depreciation)
| |
Canadian Dollar, | | | | | | | | | | | | | | | | | | |
Expiring 01/22/14 | | UBS AG | | CAD | 5,704 | | | $ | 5,435,500 | | | $ | 5,366,491 | | | $ | 69,009 | |
Expiring 01/22/14 | | Citigroup Global Markets | | CAD | 3,174 | | | | 3,020,100 | | | | 2,986,403 | | | | 33,697 | |
Expiring 01/22/14 | | Goldman Sachs & Co. | | CAD | 4,843 | | | | 4,654,400 | | | | 4,556,377 | | | | 98,023 | |
Expiring 01/22/14 | | JPMorgan Chase & Co. | | CAD | 3,185 | | | | 3,018,900 | | | | 2,996,527 | | | | 22,373 | |
Expiring 01/22/14 | | JPMorgan Chase & Co. | | CAD | 3,823 | | | | 3,674,600 | | | | 3,596,506 | | | | 78,094 | |
Colombian Peso, | | | | | | | | | | | | | | | | | | |
Expiring 01/22/14 | | Citigroup Global Markets | | COP | 1,410,432 | | | | 744,410 | | | | 730,446 | | | | 13,964 | |
Expiring 01/22/14 | | Citigroup Global Markets | | COP | 2,322,778 | | | | 1,224,900 | | | | 1,202,939 | | | | 21,961 | |
Czech Koruna, | | | | | | | | | | | | | | | | | | |
Expiring 01/24/14 | | Deutsche Bank | | CZK | 35,093 | | | | 1,849,500 | | | | 1,767,526 | | | | 81,974 | |
Euro, | | | | | | | | | | | | | | | | | | |
Expiring 01/27/14 | | Barclays Bank PLC | | EUR | 94 | | | | 128,954 | | | | 128,895 | | | | 59 | |
Expiring 01/27/14 | | Credit Suisse | | EUR | 1,932 | | | | 2,653,444 | | | | 2,657,532 | | | | (4,088 | ) |
Expiring 01/27/14 | | Goldman Sachs & Co. | | EUR | 4,898 | | | | 6,658,200 | | | | 6,737,531 | | | | (79,331 | ) |
Hungarian Forint, | | | | | | | | | | | | | | | | | | |
Expiring 01/24/14 | | UBS AG | | HUF | 1,636,048 | | | | 7,380,700 | | | | 7,560,751 | | | | (180,051 | ) |
Expiring 01/24/14 | | Barclays Bank PLC | | HUF | 380,693 | | | | 1,694,900 | | | | 1,759,316 | | | | (64,416 | ) |
Expiring 01/24/14 | | Citigroup Global Markets | | HUF | 268,840 | | | | 1,211,100 | | | | 1,242,405 | | | | (31,305 | ) |
Indian Rupee, | | | | | | | | | | | | | | | | | | |
Expiring 03/04/14 | | UBS AG | | INR | 112,373 | | | | 1,937,300 | | | | 1,789,995 | | | | 147,305 | |
Expiring 03/04/14 | �� | UBS AG | | INR | 112,966 | | | | 1,944,500 | | | | 1,799,435 | | | | 145,065 | |
Expiring 03/04/14 | | UBS AG | | INR | 133,937 | | | | 2,325,300 | | | | 2,133,492 | | | | 191,808 | |
Expiring 03/04/14 | | UBS AG | | INR | 151,938 | | | | 2,591,700 | | | | 2,420,232 | | | | 171,468 | |
Expiring 03/04/14 | | Citigroup Global Markets | | INR | 69,996 | | | | 1,093,000 | | | | 1,114,964 | | | | (21,964 | ) |
Expiring 03/04/14 | | Citigroup Global Markets | | INR | 70,391 | | | | 1,123,200 | | | | 1,121,260 | | | | 1,940 | |
Expiring 03/04/14 | | Citigroup Global Markets | | INR | 87,301 | | | | 1,330,000 | | | | 1,390,624 | | | | (60,624 | ) |
Japanese Yen, | | | | | | | | | | | | | | | | | | |
Expiring 01/27/14 | | Barclays Bank PLC | | JPY | 96,429 | | | | 991,783 | | | | 915,793 | | | | 75,990 | |
Expiring 01/27/14 | | Credit Suisse | | JPY | 182,354 | | | | 1,849,500 | | | | 1,731,824 | | | | 117,676 | |
Malaysian Ringgit, | | | | | | | | | | | | | | | | | | |
Expiring 01/16/14 | | Citigroup Global Markets | | MYR | 3,922 | | | | 1,219,750 | | | | 1,196,254 | | | | 23,496 | |
Expiring 01/22/14 | | UBS AG | | MYR | 7,842 | | | | 2,407,800 | | | | 2,390,723 | | | | 17,077 | |
Expiring 01/22/14 | | UBS AG | | MYR | 9,471 | | | | 2,911,900 | | | | 2,887,254 | | | | 24,646 | |
Mexican Peso, | | | | | | | | | | | | | | | | | | |
Expiring 01/22/14 | | UBS AG | | MXN | 15,939 | | | | 1,213,300 | | | | 1,218,467 | | | | (5,167 | ) |
Expiring 01/22/14 | | Citigroup Global Markets | | MXN | 32,236 | | | | 2,464,199 | | | | 2,464,261 | | | | (62 | ) |
Expiring 01/22/14 | | Citigroup Global Markets | | MXN | 84,383 | | | | 6,416,100 | | | | 6,450,688 | | | | (34,588 | ) |
Expiring 01/22/14 | | Credit Suisse | | MXN | 48,253 | | | | 3,722,400 | | | | 3,688,711 | | | | 33,689 | |
Expiring 01/22/14 | | JPMorgan Chase & Co. | | MXN | 32,353 | | | | 2,450,400 | | | | 2,473,219 | | | | (22,819 | ) |
Expiring 01/22/14 | | Morgan Stanley & Co. | | MXN | 39,901 | | | | 3,062,100 | | | | 3,050,245 | | | | 11,855 | |
New Zealand Dollar, | | | | | | | | | | | | | | | | | | |
Expiring 01/23/14 | | Goldman Sachs & Co. | | NZD | 1,485 | | | | 1,232,100 | | | | 1,219,371 | | | | 12,729 | |
Expiring 01/23/14 | | Goldman Sachs & Co. | | NZD | 2,234 | | | | 1,845,500 | | | | 1,834,417 | | | | 11,083 | |
Expiring 01/23/14 | | Goldman Sachs & Co. | | NZD | 3,582 | | | | 2,952,700 | | | | 2,941,021 | | | | 11,679 | |
Expiring 01/23/14 | | JPMorgan Chase & Co. | | NZD | 5,056 | | | | 4,105,700 | | | | 4,150,623 | | | | (44,923 | ) |
Expiring 01/23/14 | | Morgan Stanley & Co. | | NZD | 3,675 | | | | 3,062,100 | | | | 3,017,426 | | | | 44,674 | |
Norwegian Krone, | | | | | | | | | | | | | | | | | | |
Expiring 01/24/14 | | Citigroup Global Markets | | NOK | 11,141 | | | | 1,815,900 | | | | 1,835,164 | | | | (19,264 | ) |
Expiring 01/24/14 | | Citigroup Global Markets | | NOK | 36,784 | | | | 6,126,100 | | | | 6,059,015 | | | | 67,085 | |
Expiring 01/24/14 | | Goldman Sachs & Co. | | NOK | 14,844 | | | | 2,422,300 | | | | 2,445,025 | | | | (22,725 | ) |
Expiring 01/24/14 | | Morgan Stanley & Co. | | NOK | 17,328 | | | | 2,801,600 | | | | 2,854,213 | | | | (52,613 | ) |
Expiring 01/24/14 | | Morgan Stanley & Co. | | NOK | 18,392 | | | | 3,041,700 | | | | 3,029,470 | | | | 12,230 | |
Peruvian Nuevo Sol, | | | | | | | | | | | | | | | | | | |
Expiring 02/04/14 | | Citigroup Global Markets | | PEN | 6,861 | | | | 2,426,100 | | | | 2,438,508 | | | | (12,408 | ) |
Philippine Peso, | | | | | | | | | | | | | | | | | | |
Expiring 03/17/14 | | Citigroup Global Markets | | PHP | 185,239 | | | | 4,231,900 | | | | 4,178,207 | | | | 53,693 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A52
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
Forward foreign currency exchange contracts outstanding at December 31, 2013 (continued):
| | | | | | | | | | | | | | | | | | |
Sale Contracts
| | Counterparty
| | Notional
Amount (000)
| | | Value at
Settlement Date
Receivable
| | | Current
Value
| | | Unrealized
Appreciation
(Depreciation)
| |
Polish Zloty, | | | | | | | | | | | | | | | | | | |
Expiring 01/24/14 | | Morgan Stanley & Co. | | PLN | 24,657 | | | $ | 7,872,800 | | | $ | 8,148,955 | | | $ | (276,155 | ) |
Romanian Leu, | | | | | | | | | | | | | | | | | | |
Expiring 01/24/14 | | JPMorgan Chase & Co. | | RON | 14,402 | | | | 4,351,800 | | | | 4,426,054 | | | | (74,254 | ) |
Russian Ruble, | | | | | | | | | | | | | | | | | | |
Expiring 01/22/14 | | Citigroup Global Markets | | RUB | 52,139 | | | | 1,602,800 | | | | 1,579,056 | | | | 23,744 | |
Expiring 01/22/14 | | Citigroup Global Markets | | RUB | 109,032 | | | | 3,288,800 | | | | 3,302,082 | | | | (13,282 | ) |
Singapore Dollar, | | | | | | | | | | | | | | | | | | |
Expiring 01/17/14 | | UBS AG | | SGD | 4,529 | | | | 3,627,400 | | | | 3,588,886 | | | | 38,514 | |
Expiring 01/17/14 | | Goldman Sachs & Co. | | SGD | 2,266 | | | | 1,811,300 | | | | 1,795,259 | | | | 16,041 | |
Expiring 01/17/14 | | Goldman Sachs & Co. | | SGD | 4,552 | | | | 3,631,700 | | | | 3,607,165 | | | | 24,535 | |
South African Rand, | | | | | | | | | | | | | | | | | | |
Expiring 01/30/14 | | Citigroup Global Markets | | ZAR | 11,289 | | | | 1,092,000 | | | | 1,071,410 | | | | 20,590 | |
Expiring 01/30/14 | | JPMorgan Chase & Co. | | ZAR | 25,356 | | | | 2,460,200 | | | | 2,406,475 | | | | 53,725 | |
South Korean Won, | | | | | | | | | | | | | | | | | | |
Expiring 01/17/14 | | UBS AG | | KRW | 3,520,871 | | | | 3,264,600 | | | | 3,332,100 | | | | (67,500 | ) |
Expiring 01/17/14 | | Citigroup Global Markets | | KRW | 1,956,620 | | | | 1,813,700 | | | | 1,851,715 | | | | (38,015 | ) |
Swedish Krona, | | | | | | | | | | | | | | | | | | |
Expiring 01/24/14 | | UBS AG | | SEK | 11,890 | | | | 1,849,500 | | | | 1,847,884 | | | | 1,616 | |
Expiring 01/24/14 | | UBS AG | | SEK | 43,134 | | | | 6,621,600 | | | | 6,703,381 | | | | (81,781 | ) |
Expiring 01/24/14 | | UBS AG | | SEK | 50,363 | | | | 7,767,900 | | | | 7,826,813 | | | | (58,913 | ) |
Expiring 01/24/14 | | Barclays Bank PLC | | SEK | 15,344 | | | | 2,314,400 | | | | 2,384,530 | | | | (70,130 | ) |
Swiss Franc, | | | | | | | | | | | | | | | | | | |
Expiring 01/24/14 | | Brown Brothers Harriman & Co. | | CHF | 2,205 | | | | 2,462,799 | | | | 2,472,257 | | | | (9,458 | ) |
Expiring 01/24/14 | | Credit Suisse | | CHF | 2,161 | | | | 2,405,420 | | | | 2,423,333 | | | | (17,913 | ) |
Turkish Lira, | | | | | | | | | | | | | | | | | | |
Expiring 01/30/14 | | Citigroup Global Markets | | TRY | 56,614 | | | | 28,157,039 | | | | 26,174,666 | | | | 1,982,373 | |
Expiring 01/30/14 | | Deutsche Bank | | TRY | 1,734 | | | | 862,500 | | | | 801,556 | | | | 60,944 | |
Expiring 01/30/14 | | Deutsche Bank | | TRY | 6,180 | | | | 3,026,500 | | | | 2,857,161 | | | | 169,339 | |
Expiring 01/30/14 | | Goldman Sachs & Co. | | TRY | 7,458 | | | | 3,639,900 | | | | 3,447,988 | | | | 191,912 | |
| | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | $ | 246,442,425 | | | $ | 243,194,356 | | | $ | 3,248,069 | |
| | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | | | | | | | | $ | 1,195,445 | |
| | | | | | | | | | | | | | | | |
|
|
|
Cross currency exchange contracts outstanding at December 31, 2013:
| | | | | | | | | | | | | | | | |
Settlement
| | Type
| | Notional
Amount
(000)
| | | In Exchange
for (000)
| | | Unrealized
Appreciation
(Depreciation)
| | | Counterparty
|
| 01/24/14 | | BUY | | EUR | 1,805 | | | PLN | 7,630 | | | $ | (39,109 | ) | | Goldman Sachs & Co. |
| 01/24/14 | | BUY | | SEK | 15,921 | | | EUR | 1,793 | | | | 8,310 | | | Deutsche Bank |
| 01/27/14 | | BUY | | EUR | 1,767 | | | GBP | 1,477 | | | | (13,936 | ) | | JPMorgan Chase & Co. |
| 01/27/14 | | BUY | | EUR | 3,952 | | | GBP | 3,334 | | | | (82,258 | ) | | Goldman Sachs & Co. |
| 01/30/14 | | BUY | | TRY | 753 | | | EUR | 273 | | | | (28,016 | ) | | Goldman Sachs & Co. |
| | | | | | | | | | | | |
|
|
| | |
| | | | | | | | | | | | | $ | (155,009 | ) | | |
| | | | | | | | | | | | |
|
|
| | |
Interest rate swap agreements outstanding at December 31, 2013:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Notional
Amount
(000)#
| | | Termination
Date
| | | Fixed
Rate
| | | Floating
Rate
| | Fair
Value
| | | Upfront
Premiums
Paid
(Received)
| | | Unrealized
Appreciation
(Depreciation)
| | | Counterparty
|
| Over-the-counter swap agreements: |
| | 15,385 | | | | 12/14/14 | | | | 0.351% | | | 3 month LIBOR(2) | | $ | 7,775 | | | $ | — | | | $ | 7,775 | | | Citigroup Global Markets |
| | 19,220 | | | | 01/25/16 | | | | 0.503% | | | 3 month LIBOR(1) | | | (32,718 | ) | | | — | | | | (32,718 | ) | | Citigroup Global Markets |
| | 59,295 | | | | 08/31/16 | | | | 0.934% | | | 3 month LIBOR(2) | | | 510,484 | | | | — | | | | 510,484 | | | Credit Suisse First Boston Corp. |
| | 17,550 | | | | 08/31/17 | | | | 0.751% | | | 3 month LIBOR(2) | | | 232,961 | | | | — | | | | 232,961 | | | Bank of Nova Scotia |
| | 870 | | | | 04/18/18 | | | | 0.986% | | | 6 month LIBOR(1) | | | 20,577 | | | | — | | | | 20,577 | | | Citigroup Global Markets |
SEE NOTES TO FINANCIAL STATEMENTS.
A53
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
Interest rate swap agreements outstanding at December 31, 2013 (continued):
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Notional
Amount
(000)#
| | | Termination
Date
| | | Fixed
Rate
| | | Floating
Rate
| | Fair
Value
| | | Upfront
Premiums
Paid
(Received)
| | | Unrealized
Appreciation
(Depreciation)
| | | Counterparty
|
| Over-the-counter swap agreements (continued): |
| | 25,690 | | | | 11/15/19 | | | | 1.334% | | | 3 month LIBOR(1) | | $ | 1,113,375 | | | $ | — | | | $ | 1,113,375 | | | Citigroup Global Markets |
| | 2,225 | | | | 04/19/20 | | | | 1.441% | | | 6 month LIBOR(1) | | | 119,241 | | | | — | | | | 119,241 | | | Citigroup Global Markets |
| | 2,090 | | | | 12/13/27 | | | | 2.200% | | | 3 month LIBOR(2) | | | (320,499 | ) | | | — | | | | (320,499 | ) | | Barclays Capital Group |
| AUD | 1,270 | | | | 12/19/32 | | | | 4.423% | | | 6 month Australian Bank Bill Rate(2) | | | (77,511 | ) | | | — | | | | (77,511 | ) | | Citigroup Global Markets |
| AUD | 1,620 | | | | 12/20/32 | | | | 4.420% | | | 6 month Australian Bank Bill Rate(2) | | | (99,727 | ) | | | — | | | | (99,727 | ) | | Citigroup Global Markets |
| BRL | 7,942 | | | | 01/01/17 | | | | 0.00% | | | 1 day Brazil Interbank Rate(2) | | | (373,321 | ) | | | — | | | | (373,321 | ) | | Citigroup Global Markets |
| BRL | 13,135 | | | | 01/01/17 | | | | 9.130% | | | 1 day Brazil Interbank Rate(2) | | | (421,934 | ) | | | — | | | | (421,934 | ) | | Barclays Bank Group |
| BRL | 37,393 | | | | 01/02/17 | | | | 10.580% | | | 1 day Brazil Interbank Rate(2) | | | (632,137 | ) | | | — | | | | (632,137 | ) | | HSBC Bank USA NA |
| COP | 1,935,000 | | | | 11/19/18 | | | | 0.00% | | | 1 day COLIBOR OIS(2) | | | 12,020 | | | | — | | | | 12,020 | | | HSBC Bank USA, NA |
| COP | 1,935,000 | | | | 11/20/18 | | | | 0.00% | | | 1 day COLIBOR OIS(2) | | | 7,844 | | | | — | | | | 7,844 | | | Deutsche Bank AG |
| EUR | 13,985 | | | | 12/14/14 | | | | 0.349% | | | 6 month EURIBOR(1) | | | 8,261 | | | | — | | | | 8,261 | | | Citigroup Global Markets |
| EUR | 16,020 | | | | 01/25/16 | | | | 0.695% | | | 6 month EURIBOR(2) | | | 201,648 | | | | — | | | | 201,648 | | | Citigroup Global Markets |
| EUR | 1,640 | | | | 12/13/27 | | | | 2.065% | | | 6 month EURIBOR(1) | | | 124,541 | | | | — | | | | 124,541 | | | Barclays Capital Group |
| ILS | 40,700 | | | | 11/20/18 | | | | 2.163% | | | 3 month TELBOR(2) | | | (63,836 | ) | | | — | | | | (63,836 | ) | | Barclays Bank, PLC |
| MXN | 65,000 | | | | 12/02/15 | | | | 5.080% | | | 28 day Mexican Interbank Rate(2) | | | 83,720 | | | | — | | | | 83,720 | | | Morgan Stanley Capital Services |
| MXN | 76,000 | | | | 06/20/18 | | | | 6.020% | | | 28 day Mexican Interbank Rate(2) | | | 166,926 | | | | — | | | | 166,926 | | | Credit Suisse International Corp. |
| MXN | 73,100 | | | | 11/09/18 | | | | 5.410% | | | 28 day Mexican Interbank Rate(2) | | | (21,357 | ) | | | — | | | | (21,357 | ) | | Deutsche Bank AG |
| MXN | 48,200 | | | | 05/25/22 | | | | 6.370% | | | 28 day Mexican Interbank Rate(2) | | | (42,696 | ) | | | — | | | | (42,696 | ) | | Morgan Stanley & Co., Inc. |
| MXN | 20,100 | | | | 04/28/23 | | | | 5.100% | | | 28 day Mexican Interbank Rate(2) | | | (191,497 | ) | | | — | | | | (191,497 | ) | | Barclays Bank PLC |
| MXN | 43,400 | | | | 10/20/23 | | | | 6.540% | | | 28 day Mexican Interbank Rate(2) | | | (72,533 | ) | | | — | | | | (72,533 | ) | | Deutsche Bank |
| NZD | 13,400 | | | | 08/18/16 | | | | 4.173% | | | 3 month BBR(2) | | | 163,332 | | | | — | | | | 163,332 | | | Citigroup Global Markets |
| NZD | 4,320 | | | | 03/26/17 | | | | 3.810% | | | 3 month BBR(2) | | | (15,172 | ) | | | — | | | | (15,172 | ) | | HSBC Bank USA NA |
| NZD | 325 | | | | 08/12/18 | | | | 4.143% | | | 3 month BBR(2) | | | (2,065 | ) | | | — | | | | (2,065 | ) | | Citigroup Global Markets |
| NZD | 245 | | | | 08/13/18 | | | | 4.160% | | | 3 month BBR(2) | | | (1,402 | ) | | | — | | | | (1,402 | ) | | Citigroup Global Markets |
| NZD | 245 | | | | 08/13/18 | | | | 4.218% | | | 3 month BBR(2) | | | (876 | ) | | | — | | | | (876 | ) | | Barclays Capital Group |
| NZD | 1,960 | | | | 09/25/22 | | | | 3.790% | | | 3 month BBR(2) | | | (141,967 | ) | | | — | | | | (141,967 | ) | | Citigroup Global Markets |
| NZD | 330 | | | | 08/12/23 | | | | 4.648% | | | 3 month BBR(2) | | | (8,228 | ) | | | — | | | | (8,228 | ) | | Citigroup Global Markets |
| NZD | 240 | | | | 08/13/23 | | | | 4.668% | | | 3 month BBR(2) | | | (5,678 | ) | | | — | | | | (5,678 | ) | | Citigroup Global Markets |
| NZD | 240 | | | | 08/13/23 | | | | 4.730% | | | 3 month BBR(2) | | | (4,697 | ) | | | — | | | | (4,697 | ) | | Barclays Capital Group |
| PLN | 31,900 | | | | 06/28/18 | | | | 3.736% | | | 6 month WIBOR(2) | | | 260,195 | | | | — | | | | 260,195 | | | Citigroup Global Markets |
| RUB | 95,000 | | | | 05/17/23 | | | | 7.250% | | | 3 month MOSPRIME(2) | | | 36,289 | | | | — | | | | 36,289 | | | Credit Suisse International |
| RUB | 95,000 | | | | 05/20/23 | | | | 7.250% | | | 3 month MOSPRIME(2) | | | 35,227 | | | | — | | | | 35,227 | | | Credit Suisse International |
| ZAR | 63,400 | | | | 06/25/18 | | | | 7.420% | | | 3 month JIBAR(2) | | | 51,580 | | | | — | | | | 51,580 | | | Barclays Bank PLC |
| ZAR | 10,000 | | | | 09/03/33 | | | | 8.970% | | | 3 month JIBAR(2) | | | 16,936 | | | | — | | | | 16,936 | | | HSBC Bank USA NA |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
| | |
| | | | | | | | | | | | | | | $ | 643,081 | | | $ | — | | | $ | 643,081 | | | |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
| | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Notional
Amount
(000)#
| | | Termination
Date
| | | Fixed
Rate
| | | Floating
Rate
| | Value at
Trade Date
| | | Value at
December 31, 2013
| | | Unrealized
Appreciation
(Depreciation)
| |
| Exchange-traded swap agreements: | |
| | 24,320 | | | | 08/29/15 | | | | 0.740% | | | 3 month LIBOR(1) | | $ | 174 | | | $ | (63,653 | ) | | $ | (63,827 | ) |
| | 5,945 | | | | 11/27/18 | | | | 1.592% | | | 3 month LIBOR(2) | | | 177 | | | | 44,439 | | | | 44,262 | |
| | 22,775 | | | | 08/31/20 | | | | 2.085% | | | 3 month LIBOR(2) | | | 286 | | | | 419,949 | | | | 419,663 | |
| | 18,000 | | | | 08/31/20 | | | | 2.160% | | | 3 month LIBOR(1) | | | 258 | | | | 245,464 | | | | 245,206 | |
| | 19,625 | | | | 08/31/20 | | | | 2.219% | | | 3 month LIBOR(2) | | | 268 | | | | 194,640 | | | | 194,372 | |
| | 21,315 | | | | 08/31/20 | | | | 2.220% | | | 3 month LIBOR(2) | | | 278 | | | | 210,091 | | | | 209,813 | |
| | 19,125 | | | | 08/31/20 | | | | 2.278% | | | 3 month LIBOR(1) | | | 265 | | | | 117,793 | | | | 117,528 | |
| | 250 | | | | 05/09/23 | | | | 1.955% | | | 3 month LIBOR(2) | | | — | | | | (21,937 | ) | | | (21,937 | ) |
| | 30,450 | | | | 08/07/23 | | | | 4.248% | | | 3 month LIBOR(2) | | | 287 | | | | (375,726 | ) | | | (376,013 | ) |
| | 13,270 | | | | 08/08/23 | | | | 4.283% | | | 3 month LIBOR(2) | | | 210 | | | | (144,586 | ) | | | (144,796 | ) |
| | 13,270 | | | | 08/09/23 | | | | 4.231% | | | 3 month LIBOR(2) | | | 210 | | | | (173,695 | ) | | | (173,905 | ) |
| EUR | 43,700 | | | | 09/11/15 | | | | 0.565% | | | 6 month EURIBOR(1) | | | 352 | | | | (79,970 | ) | | | (80,322 | ) |
| GBP | 3,800 | | | | 11/21/23 | | | | 2.761% | | | 6 month GBP LIBOR(2) | | | 292 | | | | (119,662 | ) | | | (119,954 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
A54
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | | | | | | | | | |
Notional
Amount
(000)#
| | | Termination
Date
| | | Fixed
Rate
| | | Floating
Rate
| | Value at
Trade Date
| | | Value at
December 31, 2013
| | | Unrealized
Appreciation
(Depreciation)
| |
| Exchange-traded swap agreements (continued): | |
| HUF | 1,380,000 | | | | 11/18/18 | | | | 4.340% | | | 6 month BUBOR(2) | | $ | 29 | | | $ | 74,951 | | | $ | 74,922 | |
| HUF | 209,900 | | | | 09/02/23 | | | | 6.085% | | | 6 month BUBOR(2) | | | 8 | | | | 68,270 | | | | 68,262 | |
| HUF | 400,000 | | | | 09/03/23 | | | | 5.940% | | | 6 month BUBOR(2) | | | 14 | | | | 109,412 | | | | 109,398 | |
| NZD | 32,430 | | | | 09/01/15 | | | | 3.858% | | | 3 month NZD LIBOR(2) | | | 142 | | | | (56,973 | ) | | | (57,115 | ) |
| PLN | 25,000 | | | | 09/03/18 | | | | 3.985% | | | 6 month WIBOR(2) | | | 81 | | | | 123,874 | | | | 123,793 | |
| PLN | 10,000 | | | | 11/18/23 | | | | 4.020% | | | 6 month WIBOR(2) | | | 74 | | | | (50,512 | ) | | | (50,586 | ) |
| ZAR | 20,000 | | | | 10/22/23 | | | | 7.625% | | | 3 month JIBAR(2) | | | 32 | | | | (76,595 | ) | | | (76,627 | ) |
| ZAR | 38,300 | | | | 11/14/23 | | | | 8.190% | | | 3 month JIBAR(2) | | | 45 | | | | (7,006 | ) | | | (7,051 | ) |
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|
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|
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| | | | | | | | | | | | | | | $ | 3,482 | | | $ | 438,568 | | | $ | 435,086 | |
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|
| (1) | Portfolio pays the fixed rate and receives the floating rate. |
| (2) | 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 at December 31, 2013:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Entity/Obligation
| | Termination
Date
| | | Fixed
Rate
| | | Notional
Amount
(000)#(4)
| | | Fair
Value
| | | Upfront
Premiums
Paid
(Received)
| | | Unrealized
Depreciation
| | | Counterparty
|
Over-the-counter credit default swaps on corporate issues—Buy Protection(1): |
American International Group, Inc. | | | 03/20/18 | | | | 3.700% | | | | 3,700 | | | $ | (483,059 | ) | | $ | — | | | $ | (483,059 | ) | | Deutsche Bank AG |
Centex Corp. | | | 06/20/14 | | | | 1.000% | | | | 2,500 | | | | (11,854 | ) | | | (1,623 | ) | | | (10,231 | ) | | Credit Suisse International |
Duke Energy Corp. | | | 03/20/14 | | | | 0.700% | | | | 3,400 | | | | (5,934 | ) | | | — | | | | (5,934 | ) | | Goldman Sachs & Co. |
R.R. Donnelley & Sons Co. | | | 06/20/14 | | | | 1.000% | | | | 7,000 | | | | (31,797 | ) | | | 52,540 | | | | (84,337 | ) | | Deutsche Bank AG |
R.R. Donnelley & Sons Co. | | | 09/20/16 | | | | 1.000% | | | | 4,750 | | | | (21,026 | ) | | | 229,661 | | | | (250,687 | ) | | JPMorgan Chase |
SLM Corp. | | | 06/20/14 | | | | 5.000% | | | | 4,150 | | | | (98,773 | ) | | | 75,432 | | | | (174,205 | ) | | JPMorgan Chase |
Toll Brothers Financial Corp. | | | 03/20/15 | | | | 1.000% | | | | 4,695 | | | | (47,941 | ) | | | 8,900 | | | | (56,841 | ) | | Credit Suisse First Boston Corp. |
Westvaco Corp. | | | 09/20/19 | | | | 1.000% | | | | 4,400 | | | | 18,373 | | | | 49,517 | | | | (31,144 | ) | | JPMorgan Chase |
| | | | | | | | | | | | | | |
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| |
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|
| |
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| | |
| | | | | | | | | | | | | | | $ | (682,011 | ) | | $ | 414,427 | | | $ | (1,096,438 | ) | | |
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| | |
|
Over-the-counter credit default swaps on credit indices—Buy Protection(1): |
iTRAXX.EUR.18.V1 | | | 12/20/17 | | | | 1.000% | | | | EUR23,000 | | | | (595,166 | ) | | | 212,651 | | | | (807,817 | ) | | Bank of America |
iTRAXX.EUR.18.V1 | | | 12/20/17 | | | | 1.000% | | | | EUR23,000 | | | | (595,166 | ) | | | 351,134 | | | | (946,300 | ) | | Deutsche Bank |
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| | |
| | | | | | | | | | | | | | | $ | (1,190,332 | ) | | $ | 563,785 | | | $ | (1,754,117 | ) | | |
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|
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| | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Entity/Obligation
| | Termination
Date
| | | Fixed
Rate
| | | Notional
Amount
(000)#(4)
| | | Fair
Value(3)
| | | Upfront
Premiums
Paid
(Received)
| | | Unrealized
Appreciation
| | | Counterparty
|
Over-the-counter credit default swaps on credit indices—Sell Protection(2): |
CDX.NA.HY.17.V5 | | | 12/20/16 | | | | 5.000% | | | | 6,720 | | | $ | 628,203 | | | $ | 281,867 | | | $ | 346,336 | | | Credit Suisse First Boston Corp. |
CDX.NA.HY.17.V5 | | | 12/20/16 | | | | 5.000% | | | | 12,960 | | | | 1,211,533 | | | | 592,200 | | | | 619,333 | | | Deutsche Bank |
CDX.NA.HY.17.V5 | | | 12/20/16 | | | | 5.000% | | | | 18,720 | | | | 1,749,992 | | | | 808,600 | | | | 941,392 | | | Deutsche Bank |
CDX.NA.HY.17.V5 | | | 12/20/16 | | | | 5.000% | | | | 12,000 | | | | 1,121,790 | | | | 525,833 | | | | 595,957 | | | Deutsche Bank |
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| | |
| | | | | | | | | | | | | | | $ | 4,711,518 | | | $ | 2,208,500 | | | $ | 2,503,018 | | | |
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| | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Entity/Obligation
| | Termination
Date
| | | Fixed
Rate
| | | Notional
Amount
(000)#(4)
| | | Value at
Trade Date
| | | Value at
December 31, 2013
| | | Unrealized
Depreciation
| | | |
Exchange-traded credit default swap on credit indices—Buy Protection(1): | | | |
CDX.NA.IG.21.V1 | | | 12/20/18 | | | | 1.000% | | | | 175,250 | | | $ | (1,760,176 | ) | | $ | (3,154,990 | ) | | $ | (1,394,814 | ) | | |
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| | |
The Portfolio entered into credit default swaps as the protection seller on credit indices and sovereign issues to take an active short position with respect to the likelihood of a particular issuer’s default or the referenced entity’s credit soundness.
| (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 |
SEE NOTES TO FINANCIAL STATEMENTS.
A55
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (3) | The fair value of credit default swap agreements on credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| (4) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| # | Notional Amount is shown in U.S. dollars unless otherwise stated. |
Currency swap agreements outstanding at December 31, 2013:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Notional
Amount
(000)#
| | | Fund
Receives
| | | Notional
Amount
(000)#
| | | Fund Pays
| | Counterparty
| | Termination
Date
| | | Fair
Value
| | | Upfront
Premiums
Paid
(Received)
| | | Unrealized
Appreciation
(Depreciation)
| |
| Over-the-counter swap agreements: | | | | | | | | | | | | | |
| | 22,206 | | | | 3 month LIBOR | | | EUR | 16,740 | | | 3 month EURIBOR minus 26.25 bps | | Barclays Bank PLC | | | 01/25/15 | | | $ | (760,021 | ) | | $ | — | | | $ | (760,021 | ) |
| | 3,494 | | | | 3 month LIBOR | | | EUR | 2,700 | | | 3 month EURIBOR minus 28.25 bps | | Barclays Bank PLC | | | 10/17/14 | | | | (210,883 | ) | | | — | | | | (210,883 | ) |
| | 2,143 | | | | 3 month LIBOR | | | EUR | 1,650 | | | 3 month EURIBOR minus 30.50 bps | | Barclays Bank PLC | | | 12/04/14 | | | | (121,252 | ) | | | — | | | | (121,252 | ) |
| | 502 | | | | 3 month LIBOR | | | JPY | 50,000 | | | 3 month EURIBOR
minus 54.00 bps | | Barclays Bank PLC | | | 10/12/16 | | | | 30,763 | | | | — | | | | 30,763 | |
| | 18,547 | | | | 3 month LIBOR | | | EUR | 13,940 | | | 3 month EURIBOR minus 26.00 bps | | Citigroup Global Markets | | | 01/25/15 | | | | (577,610 | ) | | | — | | | | (577,610 | ) |
| | 956 | | | | 3 month LIBOR | | | JPY | 93,235 | | | 3 month EURIBOR minus 32.75 bps | | Citigroup Global Markets | | | 05/02/15 | | | | 73,733 | | | | — | | | | 73,733 | |
| | 1,541 | | | | 3 month LIBOR | | | JPY | 120,000 | | | 3.450% | | Citigroup Global Markets | | | 03/24/17 | | | | 459,102 | | | | 7,475 | | | | 451,627 | |
| | 384 | | | | 3 month LIBOR | | | JPY | 30,000 | | | 4.500% | | Citigroup Global Markets | | | 06/08/15 | | | | 99,350 | | | | (15,095 | ) | | | 114,445 | |
| | 1,284 | | | | 3 month LIBOR | | | JPY | 100,000 | | | 4.500% | | Citigroup Global Markets | | | 06/08/15 | | | | 310,227 | | | | (56,202 | ) | | | 366,429 | |
| | 1,157 | | | | 3 month LIBOR | | | EUR | 900 | | | 3 month EURIBOR minus 31.75 bps | | HSBC | | | 09/28/17 | | | | (71,182 | ) | | | — | | | | (71,182 | ) |
| | 1,040 | | | | 3 month LIBOR | | | EUR | 780 | | | 3 month EURIBOR minus 25.75 bps | | HSBC Bank USA NA | | | 01/17/15 | | | | (30,426 | ) | | | — | | | | (30,426 | ) |
| | 8,894 | | | | 3 month LIBOR | | | EUR | 6,770 | | | 3 month EURIBOR minus 26.00 bps | | HSBC Bank USA NA | | | 01/25/15 | | | | (304,271 | ) | | | — | | | | (304,271 | ) |
| | TRY5,590 | | | | 7.700% | | | | 2,904 | | | 3 month LIBOR | | Barclays Capital Group | | | 07/22/18 | | | | (368,938 | ) | | | — | | | | (368,938 | ) |
| | TRY5,900 | | | | 7.710% | | | | 3,068 | | | 3 month LIBOR | | Barclays Capital Group | | | 07/23/18 | | | | (392,195 | ) | | | — | | | | (392,195 | ) |
| | TRY20,000 | | | | 8.680% | | | | 9,749 | | | 3 month LIBOR | | HSBC Bank USA NA | | | 09/05/15 | | | | (246,622 | ) | | | — | | | | (246,622 | ) |
| | TRY23,640 | | | | 8.690% | | | | 11,376 | | | 3 month LIBOR | | HSBC Bank USA NA | | | 09/09/15 | | | | (151,788 | ) | | | — | | | | (151,788 | ) |
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| | | | | | | | | | | | | | | | | | | | | $ | (2,262,013 | ) | | $ | (63,822 | ) | | $ | (2,198,191 | ) |
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|
|
| # | 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 in active markets for identical securities. |
| Level 2—other | significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| Level 3—significant | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A56
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The following is a summary of the inputs used as of December 31, 2013 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Asset-Backed Securities | | | | | | | | | | | | |
Collateralized Debt Obligations | | $ | — | | | $ | 442,479 | | | $ | — | |
Collateralized Loan Obligations | | | — | | | | 51,424,105 | | | | 2,490,000 | |
Non-Residential Mortgage-Backed Securities | | | — | | | | 19,193,190 | | | | — | |
Residential Mortgage-Backed Securities | | | — | | | | 66,163,576 | | | | — | |
Bank Loans | | | — | | | | 33,515,576 | | | | 3,303,636 | |
Commercial Mortgage-Backed Securities | | | — | | | | 159,681,238 | | | | — | |
Corporate Bonds | | | — | | | | 553,269,522 | | | | 7,438,596 | |
Covered Bond | | | — | | | | 1,184,750 | | | | — | |
Foreign Agencies | | | — | | | | 39,035,138 | | | | — | |
Municipal Bonds | | | — | | | | 23,550,391 | | | | — | |
Sovereigns | | | — | | | | 66,872,075 | | | | — | |
U.S. Government Agency Obligations | | | — | | | | 34,892,968 | | | | — | |
U.S. Treasury Obligations | | | — | | | | 8,400,737 | | | | — | |
Preferred Stock | | | 1,226,250 | | | | — | | | | — | |
Affiliated Mutual Funds | | | 212,710,581 | | | | — | | | | — | |
Other Financial Instruments* | | | | | | | | | | | | |
Futures Contracts | | | (5,675,760 | ) | | | — | | | | — | |
Forward Foreign Currency Exchange Contracts | | | — | | | | 1,040,436 | | | | — | |
Interest Rate Swaps | | | 435,086 | | | | 643,081 | | | | — | |
Credit Default Swap Agreements | | | (1,394,814 | ) | | | (341,603 | ) | | | (5,934 | ) |
Currency Swap Agreements | | | — | | | | (2,198,191 | ) | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 207,301,343 | | | $ | 1,056,769,468 | | | $ | 13,226,298 | |
| | |
|
|
| |
|
|
| |
|
|
|
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Collateralized
Loan
Obligations
| | | Non-Residential
Mortgage Backed
Securities
| | | Bank
Loans
| | | Corporate
Bonds
| | | Sovereigns
| | | Credit Default
Swaps
| |
Balance as of 12/31/12 | | $ | — | | | $ | 199,293 | | | $ | 195,353 | | | $ | 6,948,002 | | | $ | 978,284 | | | $ | (27,303 | ) |
Realized gain (loss) | | | — | | | | 130 | | | | (3,741 | ) | | | — | | | | — | | | | — | ** |
Change in unrealized appreciation (depreciation)*** | |
| —
|
| | | (481 | ) | | | 235,276 | | | | 55,381 | | | | — | | | | 21,369 | |
Purchases | | | 2,490,000 | | | | — | | | | 3,034,472 | | | | — | | | | — | | | | — | |
Sales | | | — | | | | (198,972 | ) | | | (193,678 | ) | | | (802,861 | ) | | | — | | | | — | |
Accrued discount/premium | | | — | | | | 30 | | | | 35,954 | | | | (733 | ) | | | — | | | | — | |
Transfers into Level 3 | | | — | | | | — | | | | — | | | | 1,238,807 | | | | — | | | | — | |
Transfers out of Level 3 | | | — | | | | — | | | | — | | | | — | | | | (978,284 | ) | | | — | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Balance as of 12/31/13 | | $ | 2,490,000 | | | $ | — | | | $ | 3,303,636 | | | $ | 7,438,596 | | | $ | — | | | $ | (5,934 | ) |
| | |
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| * | Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards and swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument. |
| ** | The realized loss incurred during the period for other financial instruments was $(24,131). |
| *** | Of which, $(289,139) 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 far value as of the beginning of period. At the reporting period end, 1 Sovereign transferred out of Level 3 as a result of being valued by an independent pricing source and 1 Corporate Bond transferred into level 3 as a result of using fixed income securities valuation model.
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by the Board of Trustees, which contain unobservable inputs. Such methodologies include, but are not limited to, using prices provided by a single broker/dealer, the cost of the investment and prices of any recent transactions or bids/offers for such securities or any comparable securities.
SEE NOTES TO FINANCIAL STATEMENTS.
A57
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
Included in the table above, under Level 3, are securities that were fair valued using pricing methodologies approved by the Board of Trustees, which contain unobservable inputs. Such methodologies include, but not limited to, using prices provided by a single broker/dealer, the cost of the investment, and prices of any recent transactions or bids/offers for such securities or any comparable securities.
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 was as follows:
| | | | |
Affiliated Mutual Funds (including 7.8% of collateral received for securities on loan) | | | 17.8 | % |
Commercial Mortgage-Backed Securities | | | 13.3 | |
Banking | | | 10.8 | |
Sovereigns | | | 5.6 | |
Residential Mortgage-Backed Securities | | | 5.5 | |
Collateralized Loan Obligations | | | 4.5 | |
Electric | | | 3.3 | |
Insurance | | | 3.3 | |
Foreign Agencies | | | 3.3 | |
U.S. Government Agency Obligations | | | 2.9 | |
Non-Captive Finance | | | 2.9 | |
Healthcare & Pharmaceutical | | | 2.8 | |
Media & Entertainment | | | 2.8 | |
Telecommunications | | | 2.2 | |
Municipal Bonds | | | 2.0 | |
Cable | | | 1.9 | |
Technology | | | 1.6 | |
Non-Residential Mortgage-Backed Securities | | | 1.6 | |
Chemicals | | | 1.6 | |
Capital Goods | | | 1.5 | |
Energy – Other | | | 1.5 | |
Foods | | | 1.4 | |
Automotive | | | 1.3 | |
| | | | |
Healthcare Insurance | | | 1.2 | % |
Building Materials & Construction | | | 1.1 | |
Metals | | | 1.0 | |
Energy – Integrated | | | 1.0 | |
Tobacco | | | 1.0 | |
Pipelines & Other | | | 0.9 | |
Paper | | | 0.9 | |
Retailers | | | 0.9 | |
U.S. Treasury Obligations | | | 0.7 | |
Real Estate Investment Trusts | | | 0.6 | |
Airlines | | | 0.5 | |
Packaging | | | 0.4 | |
Gaming | | | 0.3 | |
Lodging | | | 0.3 | |
Financials | | | 0.2 | |
Aerospace & Defense | | | 0.2 | |
Consumer | | | 0.2 | |
Brokerage | | | 0.2 | |
Transportation | | | 0.2 | |
Covered Bond | | | 0.1 | |
| | |
|
|
|
| | | | 107.3 | |
Liabilities in excess of other assets | | | (7.3 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, 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, 2013 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 | | — | | $ | — | | | Due to broker — variation margin | | $ | 1,394,814 | * |
Credit contracts | | Premiums paid for swap agreements | | | 3,188,335 | | | Premiums received for swap agreements | | | 1,623 | |
Credit contracts | | Unrealized appreciation on swap agreements | | | 2,503,018 | | | Unrealized depreciation on swap agreements | | | 2,850,555 | |
Foreign exchange contracts | | Unrealized appreciation on forward currency contracts | | | 6,661,272 | | | Unrealized depreciation on forward currency contracts | | | 5,620,836 | |
Interest rate contracts | | Due to broker — variation margin | | | 1,871,234 | * | | Due to broker — variation margin | | | 7,111,908 | * |
Interest rate contracts | | Premiums paid for swap agreements | | | 7,475 | | | Premiums received for swap agreements | | | 71,297 | |
Interest rate contracts | | Unrealized appreciation on swap agreements | | | 4,209,929 | | | Unrealized depreciation on swap agreements | | | 5,765,039 | |
| | | | |
|
|
| | | |
|
|
|
Total | | | | $ | 18,441,263 | | | | | $ | 22,816,072 | |
| | | | |
|
|
| | | |
|
|
|
| * | Includes cumulative appreciation/depreciation as reported in the schedule of open futures and exchange-traded swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A58
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2013 are as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
| |
Derivatives not designated as
hedging instruments, carried at fair
value
| | Options
Purchased(1)
| | | Options
Written
| | | Futures
| | | Forward
Currency
Contracts(2)
| | | Swaps
| | | Total
| |
Credit contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (5,008,175 | ) | | $ | (5,008,175 | ) |
Foreign exchange contracts | | | — | | | | — | | | | — | | | | (7,118,438 | ) | | | — | | | | (7,118,438 | ) |
Interest rate contracts | | | (331,159 | ) | | | (39,440 | ) | | | (11,500,957 | ) | | | — | | | | 3,736,851 | | | | (8,134,705 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total | | $ | (331,159 | ) | | $ | (39,440 | ) | | $ | (11,500,957 | ) | | $ | (7,118,438 | ) | | $ | (1,271,324 | ) | | $ | (20,261,318 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | | | | | | | |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
| |
Derivatives not designated as hedging
instruments, carried at fair value
| | Futures
| | | Forward
Currency
Contracts(3)
| | | Swaps
| | | Total
| |
Credit contracts | | $ | — | | | $ | — | | | $ | (116,363 | ) | | $ | (116,363 | ) |
Foreign exchange contracts | | | — | | | | 1,603,474 | | | | — | | | | 1,603,474 | |
Interest rate contracts | | | (4,927,631 | ) | | | — | | | | (2,622,504 | ) | | | (7,550,135 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total | | $ | (4,927,631 | ) | | $ | 1,603,474 | | | $ | (2,738,867 | ) | | $ | (6,063,024 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
|
| (1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| (2) | Included in net realized gain (loss) on foreign currency transactions in the Statement of Operations. |
| (3) | Included in net change in unrealized appreciation (depreciation) on foreign currencies in the Statement of Operations. |
For the year ended December 31, 2013, the Portfolio’s average volume of derivative activities is as follows:
| | | | | | | | | | |
Options Purchased
(Cost)
| | Options Written
(Premium)
| | Futures
Long Position
(Value at Trade Date)
| | Futures
Short Position
(Value at Trade Date)
| | Forward Currency
Contracts—Purchased
(Value at Settlement
Date Payable)
| | Forward Currency
Contracts—Sold
(Value at Settlement
Date Receivable)
|
| $167,002 | | $14,256 | | $394,507,888 | | $45,413,351 | | $346,500,036 | | $279,646,490 |
| | | | | | |
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))
| | Currency Swaps
(Notional Amount
in USD (000))
|
| $498,637 | | $253,297 | | $45,270 | | $61,617 |
The Portfolio invested in financial instruments and derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument and derivative assets and liabilities:
| | | | | | | | | | | | | | | | |
Description
| | Gross Amounts
Recognized
| | | Gross Amounts
not subject to
netting
| | | Gross Amounts
Offset in the
Statement of
Financial Position
| | | Net Amounts
Presented in the
Statement of
Financial Position
| |
Assets: | | | | | | | | | | | | | | | | |
Securities on loan | | $ | 90,924,537 | | | $ | — | | | $ | — | | | $ | 90,924,537 | |
Exchange-traded and cleared derivatives | | | — | | | | — | | | | — | | | | — | |
Over-the-counter derivatives* | | | 13,374,219 | | | | — | | | | — | | | | 13,374,219 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 104,298,756 | |
| | | | | | | | | | | | | | |
|
|
|
Liabilities: | | | | | | | | | | | | | | | | |
Exchange-traded and cleared derivatives | | | (445,591 | ) | | | — | | | | — | | | | (445,591 | ) |
Over-the-counter derivatives* | | | (14,236,430 | ) | | | — | | | | — | | | | (14,236,430 | ) |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | (14,682,021 | ) |
| | | | | | | | | | | | | | |
|
|
|
Collateral Amounts Pledged/(Received): | | | | | | | | | | | | | | | | |
Exchange-traded and cleared derivatives | | | | | | | | | | | | | | | 445,591 | |
Securities on loan | | | | | | | | | | | | | | | (90,924,537 | ) |
Over-the-counter derivatives | | | | | | | | | | | | | | | 203,389 | |
| | | | | | | | | | | | | | |
|
|
|
Net Amount | | | | | | | | | | | | | | $ | (658,822 | ) |
| | | | | | | | | | | | | | |
|
|
|
| * | Over-the-counter derivatives may consist of forward foreign currency exchange contracts, options contracts and swap agreements. The amounts disclosed above represent the exposure to one or more counterparties. For further detail on individual derivative contracts and the corresponding unrealized appreciation (depreciation) by counterparty, see the Schedule of Investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
A59
| | | | | | |
| | | DIVERSIFIED BOND PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2013
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $90,924,537: | | | | |
Unaffiliated investments (cost $1,032,566,230) | | $ | 1,072,084,227 | |
Affiliated investments (cost $218,826,560) | | | 212,710,581 | |
Foreign currency, at value (cost $1,207,874) | | | 1,212,699 | |
Cash | | | 145,583 | |
Dividends and interest receivable | | | 12,100,543 | |
Receivable for investments sold | | | 6,985,959 | |
Unrealized appreciation on over-the-counter swap agreements | | | 6,712,947 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | 6,661,272 | |
Premium paid for swap agreements | | | 3,195,810 | |
Receivable for Series shares sold | | | 54,414 | |
Prepaid expenses | | | 11,506 | |
Tax reclaim receivable | | | 2,556 | |
| | |
|
|
|
Total Assets | | | 1,321,878,097 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 93,280,167 | |
Payable for investments purchased | | | 15,549,952 | |
Unrealized depreciation on over-the-counter swap agreements | | | 8,615,594 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 5,620,836 | |
Due to broker-variation margin | | | 445,591 | |
Management fee payable | | | 408,378 | |
Accrued expenses and other liabilities | | | 222,250 | |
Payable for Series shares reacquired | | | 152,267 | |
Premium received for swap agreements | | | 72,920 | |
Deferred trustees’ fees | | | 3,137 | |
Affiliated transfer agent fee payable | | | 926 | |
| | |
|
|
|
Total Liabilities | | | 124,372,018 | |
| | |
|
|
|
| NET ASSETS | | $ | 1,197,506,079 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 1,161,237,542 | |
Retained earnings | | | 36,268,537 | |
| | |
|
|
|
Net assets, December 31, 2013 | | $ | 1,197,506,079 | |
| | |
|
|
|
Net asset value and redemption price per share, $1,197,506,079 / 108,774,003 outstanding shares of beneficial interest | | $ | 11.01 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2013
| | | | |
| INCOME | | | | |
Interest income | | $ | 54,884,539 | |
Affiliated dividend income | | | 1,625,449 | |
Affiliated income from securities loaned, net | | | 141,843 | |
Unaffiliated dividend income | | | 88,594 | |
| | |
|
|
|
| | | | 56,740,425 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 4,996,206 | |
Custodian’s fees and expenses | | | 258,000 | |
Shareholders’ reports | | | 147,000 | |
Audit fee | | | 41,000 | |
Trustees’ fees | | | 23,000 | |
Insurance expenses | | | 16,000 | |
Legal fees and expenses | | | 14,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4) | | | 12,000 | |
Commitment fee on syndicated credit agreement | | | 3,000 | |
Miscellaneous | | | 17,197 | |
| | |
|
|
|
Total expenses | | | 5,527,403 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 51,213,022 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions
(including affiliated: $(387,513)) | | | 10,285,340 | |
Futures transactions | | | (11,500,957 | ) |
Swap agreement transactions | | | (1,271,324 | ) |
Foreign currency transactions | | | (7,055,751 | ) |
Options written transactions | | | (39,440 | ) |
| | |
|
|
|
| | | | (9,582,132 | ) |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments (including affiliated: $1,383,530) | | | (45,562,822 | ) |
Futures | | | (4,927,631 | ) |
Swap agreements | | | (2,738,867 | ) |
Foreign currencies | | | 1,563,151 | |
| | |
|
|
|
| | | | (51,666,169 | ) |
| | |
|
|
|
| NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES | | | (61,248,301 | ) |
| | |
|
|
|
| NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (10,035,279 | ) |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 51,213,022 | | | $ | 63,489,896 | |
Net realized gain (loss) on investments and foreign currency transactions | | | (9,582,132 | ) | | | 35,260,830 | |
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | | | (51,666,169 | ) | | | 44,689,412 | |
| | |
|
|
| |
|
|
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | | (10,035,279 | ) | | | 143,440,138 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | (84,677,590 | ) | | | (119,592,407 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [2,523,548 and 10,761,927 shares, respectively] | | | 29,114,479 | | | | 126,405,304 | |
Series shares issued in reinvestment of distributions [7,523,922 and 10,330,307 shares, respectively] | | | 84,677,590 | | | | 119,592,407 | |
Series shares repurchased [11,154,465 and 43,877,359 shares, respectively] | | | (127,474,174 | ) | | | (520,843,578 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (13,682,105 | ) | | | (274,845,867 | ) |
| | |
|
|
| |
|
|
|
| TOTAL DECREASE IN NET ASSETS | | | (108,394,974 | ) | | | (250,998,136 | ) |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 1,305,901,053 | | | | 1,556,899,189 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 1,197,506,079 | | | $ | 1,305,901,053 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A60
| | | | | | |
| | | EQUITY PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 97.0% | |
| COMMON STOCKS | | Shares
| | | Value
(Note 2)
| |
Aerospace & Defense — 1.0% | |
Boeing Co. (The) | | | 279,739 | | | $ | 38,181,576 | |
| | | | | | |
|
|
|
Airlines — 1.3% | |
American Airlines Group, Inc.*(a) | | | 565,178 | | | | 14,270,745 | |
United Continental Holdings, Inc.* | | | 967,039 | | | | 36,583,085 | |
| | | | | | |
|
|
|
| | | | | | | | 50,853,830 | |
| | | | | | |
|
|
|
Auto Components — 1.1% | |
Lear Corp. | | | 546,354 | | | | 44,238,283 | |
| | | | | | |
|
|
|
Automobiles — 0.6% | |
General Motors Co.* | | | 558,559 | | | | 22,828,306 | |
| | | | | | |
|
|
|
Biotechnology — 6.1% | |
Alexion Pharmaceuticals, Inc.*(a) | | | 335,413 | | | | 44,630,054 | |
Biogen Idec, Inc.* | | | 246,895 | | | | 69,068,876 | |
BioMarin Pharmaceutical, Inc.* | | | 775,348 | | | | 54,483,704 | |
Celgene Corp.* | | | 219,581 | | | | 37,100,406 | |
Gilead Sciences, Inc.* | | | 500,828 | | | | 37,637,224 | |
| | | | | | |
|
|
|
| | | | | | | | 242,920,264 | |
| | | | | | |
|
|
|
Capital Markets — 3.7% | |
Goldman Sachs Group, Inc. (The) | | | 554,372 | | | | 98,267,981 | |
Morgan Stanley | | | 1,607,439 | | | | 50,409,287 | |
| | | | | | |
|
|
|
| | | | | | | | 148,677,268 | |
| | | | | | |
|
|
|
Chemicals — 1.7% | |
Monsanto Co. | | | 565,126 | | | | 65,865,435 | |
| | | | | | |
|
|
|
Commercial Banks — 2.4% | |
PNC Financial Services Group, Inc. | | | 515,210 | | | | 39,969,992 | |
Wells Fargo & Co. | | | 1,202,108 | | | | 54,575,703 | |
| | | | | | |
|
|
|
| | | | | | | | 94,545,695 | |
| | | | | | |
|
|
|
Communications Equipment — 0.8% | |
JDS Uniphase Corp.* | | | 2,528,247 | | | | 32,816,646 | |
| | | | | | |
|
|
|
Computers & Peripherals — 2.5% | |
Apple, Inc. | | | 145,139 | | | | 81,438,944 | |
Stratasys Ltd.*(a) | | | 138,890 | | | | 18,708,483 | |
| | | | | | |
|
|
|
| | | | | | | | 100,147,427 | |
| | | | | | |
|
|
|
Consumer Finance — 0.9% | |
Capital One Financial Corp. | | | 465,073 | | | | 35,629,243 | |
| | | | | | |
|
|
|
Diversified Financial Services — 3.3% | |
Citigroup, Inc. | | | 975,066 | | | | 50,810,689 | |
ING US, Inc. | | | 811,451 | | | | 28,522,503 | |
JPMorgan Chase & Co. | | | 869,336 | | | | 50,838,769 | |
| | | | | | |
|
|
|
| | | | | | | | 130,171,961 | |
| | | | | | |
|
|
|
Diversified Telecommunication Services — 2.0% | |
CenturyLink, Inc.(a) | | | 1,182,988 | | | | 37,678,168 | |
Vivendi SA (France) | | | 1,628,411 | | | | 42,953,423 | |
| | | | | | |
|
|
|
| | | | | | | | 80,631,591 | |
| | | | | | |
|
|
|
Electronic Equipment, Instruments & Components — 1.3% | |
Flextronics International Ltd. (Singapore)* | | | 6,579,992 | | | | 51,126,538 | |
| | | | | | |
|
|
|
Energy Equipment & Services — 2.1% | |
Halliburton Co. | | | 887,495 | | | | 45,040,371 | |
Schlumberger Ltd. | | | 417,537 | | | | 37,624,259 | |
| | | | | | |
|
|
|
| | | | | | | | 82,664,630 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Food & Staples Retailing — 2.1% | |
Costco Wholesale Corp. | | | 352,567 | | | $ | 41,958,999 | |
Whole Foods Market, Inc. | | | 723,898 | | | | 41,863,021 | |
| | | | | | |
|
|
|
| | | | | | | | 83,822,020 | |
| | | | | | |
|
|
|
Food Products — 2.5% | |
Bunge Ltd. | | | 566,789 | | | | 46,539,045 | |
Mondelez International, Inc.
(Class A Stock) | | | 1,491,419 | | | | 52,647,091 | |
| | | | | | |
|
|
|
| | | | | | | | 99,186,136 | |
| | | | | | |
|
|
|
Health Care Providers & Services — 3.1% | |
Cigna Corp. | | | 393,094 | | | | 34,387,863 | |
Express Scripts Holding Co.* | | | 723,433 | | | | 50,813,934 | |
HCA Holdings, Inc.* | | | 794,308 | | | | 37,896,435 | |
| | | | | | |
|
|
|
| | | | | | | | 123,098,232 | |
| | | | | | |
|
|
|
Hotels, Restaurants & Leisure — 2.9% | |
Carnival Corp. | | | 1,158,647 | | | | 46,542,850 | |
Dunkin’ Brands Group, Inc.(a) | | | 615,443 | | | | 29,664,352 | |
Starbucks Corp. | | | 496,233 | | | | 38,899,705 | |
| | | | | | |
|
|
|
| | | | | | | | 115,106,907 | |
| | | | | | |
|
|
|
Independent Power Producers & Energy Traders — 0.9% | |
Calpine Corp.* | | | 1,905,320 | | | | 37,172,793 | |
| | | | | | |
|
|
|
Industrial Conglomerates — 0.7% | |
Siemens AG, ADR (Germany) | | | 214,034 | | | | 29,645,849 | |
| | | | | | |
|
|
|
Insurance — 1.3% | |
MetLife, Inc. | | | 973,474 | | | | 52,489,718 | |
| | | | | | |
|
|
|
Internet & Catalog Retail — 5.1% | |
Amazon.com, Inc.* | | | 230,052 | | | | 91,742,437 | |
ASOS PLC 144A (United Kingdom)* | | | 385,268 | | | | 39,254,434 | |
priceline.com, Inc.* | | | 60,863 | | | | 70,747,151 | |
| | | | | | |
|
|
|
| | | | | | | | 201,744,022 | |
| | | | | | |
|
|
|
Internet Software & Services — 6.0% | |
Facebook, Inc. (Class A Stock)* | | | 1,243,207 | | | | 67,953,695 | |
Google, Inc. (Class A Stock)* | | | 102,852 | | | | 115,267,265 | |
LinkedIn Corp. (Class A Stock)* | | | 199,805 | | | | 43,323,718 | |
Twitter, Inc.*(a) | | | 166,909 | | | | 10,623,758 | |
| | | | | | |
|
|
|
| | | | | | | | 237,168,436 | |
| | | | | | |
|
|
|
IT Services — 3.7% | |
FleetCor Technologies, Inc.* | | | 162,916 | | | | 19,088,868 | |
MasterCard, Inc. (Class A Stock) | | | 153,424 | | | | 128,179,615 | |
| | | | | | |
|
|
|
| | | | | | | | 147,268,483 | |
| | | | | | |
|
|
|
Machinery — 1.1% | |
SPX Corp. | | | 429,182 | | | | 42,750,819 | |
| | | | | | |
|
|
|
Media — 3.8% | |
Comcast Corp. (Class A Stock) | | | 852,659 | | | | 44,308,425 | |
Liberty Global PLC (Class C Stock) (United Kingdom)* | | | 583,464 | | | | 49,197,684 | |
Walt Disney Co. (The) | | | 756,470 | | | | 57,794,308 | |
| | | | | | |
|
|
|
| | | | | | | | 151,300,417 | |
| | | | | | |
|
|
|
Metals & Mining — 1.1% | |
Goldcorp, Inc. (Canada) | | | 1,871,346 | | | | 40,552,068 | |
Kinross Gold Corp. (Canada) | | | 927,185 | | | | 4,061,070 | |
| | | | | | |
|
|
|
| | | | | | | | 44,613,138 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A61
| | | | | | |
| | | EQUITY PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Multiline Retail — 0.6% | |
J.C. Penney Co., Inc.*(a) | | | 2,782,059 | | | $ | 25,455,840 | |
| | | | | | |
|
|
|
Oil, Gas & Consumable Fuels — 7.4% | |
Anadarko Petroleum Corp. | | | 513,970 | | | | 40,768,100 | |
Hess Corp. | | | 304,234 | | | | 25,251,422 | |
Marathon Oil Corp. | | | 1,254,756 | | | | 44,292,887 | |
Marathon Petroleum Corp. | | | 110,097 | | | | 10,099,198 | |
Noble Energy, Inc. | | | 719,852 | | | | 49,029,120 | |
Occidental Petroleum Corp. | | | 475,069 | | | | 45,179,062 | |
Suncor Energy, Inc. (Canada) | | | 1,144,960 | | | | 40,139,619 | |
Williams Cos., Inc. (The) | | | 989,883 | | | | 38,179,787 | |
| | | | | | |
|
|
|
| | | | | | | | 292,939,195 | |
| | | | | | |
|
|
|
Personal Products — 1.9% | |
Avon Products, Inc. | | | 1,977,645 | | | | 34,055,047 | |
Estee Lauder Cos., Inc. (The) (Class A Stock) | | | 573,338 | | | | 43,183,818 | |
| | | | | | |
|
|
|
| | | | | | | | 77,238,865 | |
| | | | | | |
|
|
|
Pharmaceuticals — 8.0% | |
Actavis PLC* | | | 204,805 | | | | 34,407,240 | |
Allergan, Inc. | | | 356,434 | | | | 39,592,689 | |
Bayer AG, ADR (Germany) | | | 186,367 | | | | 26,464,114 | |
Bristol-Myers Squibb Co. | | | 977,721 | | | | 51,965,871 | |
Merck & Co., Inc. | | | 972,336 | | | | 48,665,417 | |
Novo Nordisk A/S, ADR (Denmark) | | | 226,876 | | | | 41,917,610 | |
Sanofi, ADR (France) | | | 660,780 | | | | 35,437,631 | |
Shire PLC, ADR (Ireland) | | | 172,854 | | | | 24,422,542 | |
Teva Pharmaceutical Industries Ltd., ADR (Israel) | | | 356,831 | | | | 14,301,786 | |
| | | | | | |
|
|
|
| | | | | | | | 317,174,900 | |
| | | | | | |
|
|
|
Road & Rail — 1.2% | |
Canadian Pacific Railway Ltd. (Canada) | | | 325,192 | | | | 49,208,053 | |
| | | | | | |
|
|
|
Semiconductors & Semiconductor Equipment — 0.4% | |
Intel Corp. | | | 603,857 | | | | 15,676,128 | |
| | | | | | |
|
|
|
Software — 5.0% | |
Microsoft Corp. | | | 1,071,705 | | | | 40,113,918 | |
Red Hat, Inc.* | | | 540,496 | | | | 30,289,396 | |
Salesforce.com, Inc.*(a) | | | 866,268 | | | | 47,809,331 | |
Splunk, Inc.* | | | 360,750 | | | | 24,772,703 | |
VMware, Inc. (Class A Stock)*(a) | | | 381,011 | | | | 34,180,497 | |
Workday, Inc. (Class A Stock)*(a) | | | 270,408 | | | | 22,487,129 | |
| | | | | | |
|
|
|
| | | | | | | | 199,652,974 | |
| | | | | | |
|
|
|
Specialty Retail — 3.1% | |
Bed Bath & Beyond, Inc.*(a) | | | 108,132 | | | | 8,683,000 | |
Inditex SA, ADR (Spain) | | | 1,520,948 | | | | 50,221,703 | |
TJX Cos., Inc. (The) | | | 980,937 | | | | 62,515,115 | |
| | | | | | |
|
|
|
| | | | | | | | 121,419,818 | |
| | | | | | |
|
|
|
Textiles, Apparel & Luxury Goods — 4.1% | |
Burberry Group PLC (United Kingdom) | | | 829,444 | | | | 20,898,198 | |
Michael Kors Holdings Ltd.* | | | 743,842 | | | | 60,392,532 | |
NIKE, Inc. (Class B Stock) | | | 753,280 | | | | 59,237,939 | |
Ralph Lauren Corp. | | | 128,264 | | | | 22,647,575 | |
| | | | | | |
|
|
|
| | | | | | | | 163,176,244 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Wireless Telecommunication Services — 0.2% | |
NII Holdings, Inc.* | | | 2,377,019 | | | $ | 6,536,802 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS (cost $2,569,869,570) | | | | 3,855,144,482 | |
| | | | | | |
|
|
|
| SHORT-TERM INVESTMENT — 5.9% | |
AFFILIATED MONEY MARKET MUTUAL FUND | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $234,213,027; includes $128,902,801 of cash collateral for securities on loan) (Note 4)(b)(w) | | | 234,213,027 | | | | 234,213,027 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 102.9% (cost $2,804,082,597) | | | | 4,089,357,509 | |
LIABILITIES IN EXCESS OF
OTHER ASSETS — (2.9)% | | | | (116,113,013 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 3,973,244,496 | |
| | | | | | |
|
|
|
The following abbreviation is used in the Portfolio description:
| | |
| 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 |
| * | 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 $126,169,077; cash collateral of $128,902,801 (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 in active markets for identical securities. |
| Level 2—other | significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| Level 3—significant | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A62
| | | | | | |
| | | EQUITY PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The following is a summary of the inputs used as of December 31, 2013 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 3,752,038,427 | | | $ | 103,106,055 | | | $ | — | |
Affiliated Money Market Mutual Fund | | | 234,213,027 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 3,986,251,454 | | | $ | 103,106,055 | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 were as follows:
| | | | |
Pharmaceuticals | | | 8.0 | % |
Oil, Gas & Consumable Fuels | | | 7.4 | |
Biotechnology | | | 6.1 | |
Internet Software & Services | | | 6.0 | |
Affiliated Money Market Mutual Fund (3.2% represents investments purchased with collateral from securities on loan) | | | 5.9 | |
Internet & Catalog Retail | | | 5.1 | |
Software | | | 5.0 | |
Textiles, Apparel & Luxury Goods | | | 4.1 | |
Media | | | 3.8 | |
Capital Markets | | | 3.7 | |
IT Services | | | 3.7 | |
Diversified Financial Services | | | 3.3 | |
Health Care Providers & Services | | | 3.1 | |
| | | | |
Specialty Retail | | | 3.1 | % |
Hotels, Restaurants & Leisure | | | 2.9 | |
Computers & Peripherals | | | 2.5 | |
Food Products | | | 2.5 | |
Commercial Banks | | | 2.4 | |
Food & Staples Retailing | | | 2.1 | |
Energy Equipment & Services | | | 2.1 | |
Diversified Telecommunication Services | | | 2.0 | |
Personal Products | | | 1.9 | |
Chemicals | | | 1.7 | |
Insurance | | | 1.3 | |
Electronic Equipment, Instruments & Components | | | 1.3 | |
Airlines | | | 1.3 | |
Road & Rail | | | 1.2 | |
Metals & Mining | | | 1.1 | |
Auto Components | | | 1.1 | |
Machinery | | | 1.1 | |
Aerospace & Defense | | | 1.0 | |
Independent Power Producers & Energy Traders | | | 0.9 | |
Consumer Finance | | | 0.9 | |
Communications Equipment | | | 0.8 | |
Industrial Conglomerates | | | 0.7 | |
Multiline Retail | | | 0.6 | |
Automobiles | | | 0.6 | |
Semiconductors & Semiconductor Equipment | | | 0.4 | |
Wireless Telecommunication Services | | | 0.2 | |
| | |
|
|
|
| | | | 102.9 | |
Liabilities in excess of other assets | | | (2.9 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
The Portfolio invested in financial instruments during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument assets and liabilities
| | | | | | | | | | | | | | | | |
Description
| | Gross Amounts
Recognized
| | | Gross Amounts
not subject to
netting
| | | Gross Amounts
Offset in the
Statement of
Financial Position
| | | Net Amounts
Presented in the
Statement of
Financial Position
| |
Assets: | | | | | | | | | | | | | | | | |
Securities on Loan | | $ | 126,169,077 | | | $ | — | | | $ | — | | | $ | 126,169,077 | |
|
Collateral Amounts Pledged/(Received): | |
Securities on Loan | | | | | | | | | | | | | | | (126,169,077 | ) |
| | | | | | | | | | | | | | |
|
|
|
Net Amount | | | | | | | | | | | | | | $ | — | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A63
| | | | | | |
| | | EQUITY PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2013
| | | | |
| ASSETS | | | | |
Investments at value, including securities on loan of $126,169,077: | | | | |
Unaffiliated investments (cost $2,569,869,570) | | $ | 3,855,144,482 | |
Affiliated investments (cost $234,213,027) | | | 234,213,027 | |
Cash | | | 989,742 | |
Foreign currency, at value (cost $54,065) | | | 53,893 | |
Receivable for investments sold | | | 36,234,924 | |
Dividends receivable | | | 3,220,257 | |
Tax reclaim receivable | | | 1,313,777 | |
Receivable for Series shares sold | | | 14,720 | |
Prepaid expenses | | | 29,665 | |
| | |
|
|
|
Total Assets | | | 4,131,214,487 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 128,902,801 | |
Payable for investments purchased | | | 26,584,648 | |
Management fee payable | | | 1,488,528 | |
Payable for Series shares repurchased | | | 691,433 | |
Accrued expenses and other liabilities | | | 300,402 | |
Affiliated transfer agent fees payable | | | 926 | |
Deferred trustees’ fees | | | 792 | |
Distribution fee payable | | | 461 | |
| | |
|
|
|
Total Liabilities | | | 157,969,991 | |
| | |
|
|
|
| NET ASSETS | | $ | 3,973,244,496 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 2,400,979,118 | |
Retained earnings | | | 1,572,265,378 | |
| | |
|
|
|
Net assets, December 31, 2013 | | $ | 3,973,244,496 | |
| | |
|
|
|
| Class I: | | | | |
Net asset value and redemption price per share, $3,970,925,750 / 110,899,705 outstanding shares of beneficial interest | | $ | 35.81 | |
| | |
|
|
|
| Class II: | | | | |
Net asset value and redemption price per share, $2,318,746 / 64,328 outstanding shares of beneficial interest | | $ | 36.05 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2013
| | | | |
| INVESTMENT INCOME | | | | |
Unaffiliated dividend income (net of $1,410,737 foreign withholding tax) | | $ | 46,732,042 | |
Affiliated income from securities lending, net | | | 519,974 | |
Affiliated dividend income | | | 103,723 | |
| | |
|
|
|
| | | | 47,355,739 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 15,969,567 | |
Distribution fee—Class II | | | 4,988 | |
Administration fee—Class II | | | 2,993 | |
Custodian’s fees and expenses | | | 431,000 | |
Shareholders’ reports | | | 264,000 | |
Insurance expenses | | | 41,000 | |
Trustees’ fees | | | 41,000 | |
Audit fee | | | 24,000 | |
Legal fees and expenses | | | 19,000 | |
Transfer agent’s fees and expenses (including affiliated expense of $5,600) (Note 4) | | | 12,000 | |
Commitment fee on syndicated credit agreement | | | 5,000 | |
Miscellaneous | | | 24,876 | |
| | |
|
|
|
Total expenses | | | 16,839,424 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 30,516,315 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 417,663,494 | |
Foreign currency transactions | | | (52,774 | ) |
| | |
|
|
|
| | | | 417,610,720 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | |
Investments | | | 579,350,926 | |
Foreign currencies | | | 55,066 | |
| | |
|
|
|
| | | | 579,405,992 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | | | 997,016,712 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 1,027,533,027 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 30,516,315 | | | $ | 32,977,472 | |
Net realized gain on investment and foreign currency transactions | | | 417,610,720 | | | | 160,093,957 | |
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | | | 579,405,992 | | | | 208,970,300 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 1,027,533,027 | | | | 402,041,729 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | | | | | | |
Class I | | | — | | | | (18,817,932 | ) |
Class II | | | — | | | | (4,233 | ) |
| | |
|
|
| |
|
|
|
TOTAL DISTRIBUTIONS | | | — | | | | (18,822,165 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS (Note 7): | | | | | | | | |
Series shares sold | | | 15,823,185 | | | | 17,165,247 | |
Series shares issued in reinvestment of distributions | | | — | | | | 18,822,165 | |
Series shares repurchased | | | (238,940,216 | ) | | | (249,839,713 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (223,117,031 | ) | | | (213,852,301 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 804,415,996 | | | | 169,367,263 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 3,168,828,500 | | | | 2,999,461,237 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 3,973,244,496 | | | $ | 3,168,828,500 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A64
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 94.1% | | | | |
| COMMON STOCKS — 70.7% | | Shares
| | | Value
(Note 2)
| |
Aerospace & Defense — 2.3% | | | | | | | | |
Boeing Co. (The) | | | 61,500 | | | $ | 8,394,135 | |
General Dynamics Corp. | | | 188,400 | | | | 18,001,620 | |
Honeywell International, Inc. | | | 72,500 | | | | 6,624,325 | |
L-3 Communications Holdings, Inc. | | | 87,600 | | | | 9,360,936 | |
Northrop Grumman Corp. | | | 184,100 | | | | 21,099,701 | |
Raytheon Co. | | | 152,700 | | | | 13,849,890 | |
Safran SA (France) | | | 13,345 | | | | 927,861 | |
Spirit Aerosystems Holdings, Inc. (Class A Stock)* | | | 126,500 | | | | 4,311,120 | |
Teledyne Technologies, Inc.* | | | 8,300 | | | | 762,438 | |
Thales SA (France) | | | 12,074 | | | | 778,095 | |
United Technologies Corp. | | | 5,600 | | | | 637,280 | |
| | | | | | |
|
|
|
| | | | | | | | 84,747,401 | |
| | | | | | |
|
|
|
Air Freight & Logistics — 0.6% | | | | | | | | |
Deutsche Post AG (Germany) | | | 17,271 | | | | 630,826 | |
FedEx Corp. | | | 8,500 | | | | 1,222,045 | |
United Parcel Service, Inc. (Class B Stock) | | | 187,100 | | | | 19,660,468 | |
| | | | | | |
|
|
|
| | | | | | | | 21,513,339 | |
| | | | | | |
|
|
|
Airlines — 0.1% | | | | | | | | |
Alaska Air Group, Inc. | | | 20,200 | | | | 1,482,074 | |
easyJet PLC (United Kingdom) | | | 32,099 | | | | 818,112 | |
International Consolidated Airlines Group SA (United Kingdom)* | | | 9,383 | | | | 62,503 | |
Japan Airlines Co. Ltd. (Japan) | | | 600 | | | | 29,599 | |
| | | | | | |
|
|
|
| | | | | | | | 2,392,288 | |
| | | | | | |
|
|
|
Auto Components — 0.3% | | | | | | | | |
Aisin Seiki Co. Ltd. (Japan) | | | 2,000 | | | | 81,312 | |
BorgWarner, Inc. | | | 75,200 | | | | 4,204,432 | |
Bridgestone Corp. (Japan) | | | 3,100 | | | | 117,449 | |
Continental AG (Germany) | | | 121 | | | | 26,583 | |
Denso Corp. (Japan) | | | 18,100 | | | | 956,199 | |
Johnson Controls, Inc. | | | 73,900 | | | | 3,791,070 | |
NGK Spark Plug Co. Ltd. (Japan) | | | 2,000 | | | | 47,401 | |
Toyota Industries Corp. (Japan) | | | 1,700 | | | | 76,848 | |
Valeo SA (France) | | | 6,990 | | | | 774,644 | |
| | | | | | |
|
|
|
| | | | | | | | 10,075,938 | |
| | | | | | |
|
|
|
Automobiles — 0.7% | | | | | | | | |
Bayerische Motoren Werke AG (Germany) | | | 2,757 | | | | 323,763 | |
Daimler AG (Germany) | | | 18,334 | | | | 1,591,113 | |
Fiat SpA (Italy)* | | | 89,138 | | | | 729,591 | |
Ford Motor Co. | | | 1,319,300 | | | | 20,356,799 | |
Fuji Heavy Industries Ltd. (Japan) | | | 30,100 | | | | 865,043 | |
Honda Motor Co. Ltd. (Japan) | | | 1,000 | | | | 41,277 | |
Suzuki Motor Corp. (Japan) | | | 1,300 | | | | 35,031 | |
Thor Industries, Inc. | | | 35,500 | | | | 1,960,665 | |
Toyota Motor Corp. (Japan) | | | 28,400 | | | | 1,731,693 | |
Volkswagen AG (Germany) | | | 1,024 | | | | 278,035 | |
| | | | | | |
|
|
|
| | | | | | | | 27,913,010 | |
| | | | | | |
|
|
|
Beverages — 1.6% | | | | | | | | |
Anheuser-Busch InBev NV (Belgium) | | | 12,791 | | | | 1,360,152 | |
Asahi Group Holdings Ltd. (Japan) | | | 3,900 | | | | 110,057 | |
Coca-Cola Co. (The) | | | 329,100 | | | | 13,595,121 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Beverages (continued) | | | | | | | | |
Coca-Cola Enterprises, Inc. | | | 162,900 | | | $ | 7,188,777 | |
Coca-Cola West Co. Ltd. (Japan) | | | 600 | | | | 12,708 | |
Diageo PLC (United Kingdom) | | | 28,158 | | | | 933,121 | |
Dr. Pepper Snapple Group, Inc. | | | 41,800 | | | | 2,036,496 | |
Heineken Holding NV (Netherlands) | | | 5,294 | | | | 335,110 | |
Heineken NV (Netherlands) | | | 752 | | | | 50,825 | |
Kirin Holdings Co. Ltd. (Japan) | | | 11,000 | | | | 158,416 | |
PepsiCo, Inc. | | | 384,320 | | | | 31,875,501 | |
SABMiller PLC (United Kingdom) | | | 17,121 | | | | 881,309 | |
Treasury Wine Estates Ltd. (Australia) | | | 4,908 | | | | 21,168 | |
| | | | | | |
|
|
|
| | | | | | | | 58,558,761 | |
| | | | | | |
|
|
|
Biotechnology — 1.7% | | | | | | | | |
Actelion Ltd. (Switzerland) | | | 1,021 | | | | 86,602 | |
Alexion Pharmaceuticals, Inc.* | | | 85,100 | | | | 11,323,406 | |
Amgen, Inc. | | | 120,308 | | | | 13,734,361 | |
Biogen Idec, Inc.* | | | 84,800 | | | | 23,722,800 | |
Celgene Corp.* | | | 40,600 | | | | 6,859,776 | |
Gilead Sciences, Inc.* | | | 115,700 | | | | 8,694,855 | |
| | | | | | |
|
|
|
| | | | | | | | 64,421,800 | |
| | | | | | |
|
|
|
Building Products — 0.4% | | | | | | | | |
AO Smith Corp. | | | 30,300 | | | | 1,634,382 | |
Armstrong World Industries, Inc.* | | | 20,600 | | | | 1,186,766 | |
Assa Abloy AB (Sweden) (Class B Stock) | | | 9,334 | | | | 494,180 | |
Daikin Industries Ltd. (Japan) | | | 2,400 | | | | 149,767 | |
Lennox International, Inc. | | | 20,000 | | | | 1,701,200 | |
LIXIL Group Corp. (Japan) | | | 2,600 | | | | 71,376 | |
Masco Corp. | | | 429,100 | | | | 9,770,607 | |
TOTO Ltd. (Japan) | | | 50,000 | | | | 793,057 | |
| | | | | | |
|
|
|
| | | | | | | | 15,801,335 | |
| | | | | | |
|
|
|
Capital Markets — 1.9% | | | | | | | | |
Aberdeen Asset Management PLC (United Kingdom) | | | 97,456 | | | | 810,416 | |
BlackRock, Inc. | | | 25,100 | | | | 7,943,397 | |
Daiwa Securities Group, Inc. (Japan) | | | 74,000 | | | | 741,151 | |
E*TRADE Financial Corp.* | | | 35,900 | | | | 705,076 | |
Franklin Resources, Inc. | | | 284,800 | | | | 16,441,504 | |
Goldman Sachs Group, Inc. (The) | | | 152,000 | | | | 26,943,520 | |
Invesco Ltd. | | | 11,300 | | | | 411,320 | |
Investec PLC (United Kingdom) | | | 59,886 | | | | 434,941 | |
Macquarie Group Ltd. | | | 11,893 | | | | 583,739 | |
Morgan Stanley | | | 107,500 | | | | 3,371,200 | |
Raymond James Financial, Inc., Common Stock | | | 51,100 | | | | 2,666,909 | |
State Street Corp. | | | 97,600 | | | | 7,162,864 | |
T. Rowe Price Group, Inc. | | | 15,200 | | | | 1,273,304 | |
UBS AG (Switzerland) | | | 1,443 | | | | 27,630 | |
| | | | | | |
|
|
|
| | | | | | | | 69,516,971 | |
| | | | | | |
|
|
|
Chemicals — 1.4% | | | | | | | | |
Air Water, Inc. (Japan) | | | 2,000 | | | | 27,106 | |
Asahi Kasei Corp. (Japan) | | | 100,000 | | | | 784,382 | |
BASF SE (Germany) | | | 9,457 | | | | 1,009,387 | |
Daicel Corp. (Japan) | | | 43,000 | | | | 350,442 | |
Dow Chemical Co. (The) | | | 65,000 | | | | 2,886,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A65
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Chemicals (continued) | | | | | | | | |
Eastman Chemical Co. | | | 14,200 | | | $ | 1,145,940 | |
EMS-Chemie Holding AG (Switzerland) | | | 1,874 | | | | 668,219 | |
International Flavors & Fragrances, Inc. | | | 53,100 | | | | 4,565,538 | |
Israel Chemicals Ltd. (Israel) | | | 2,783 | | | | 23,213 | |
K+S AG (Germany)(a) | | | 12,469 | | | | 384,204 | |
Kaneka Corp. (Japan) | | | 3,000 | | | | 19,698 | |
LyondellBasell Industries NV (Netherlands) (Class A Stock) | | | 209,100 | | | | 16,786,548 | |
Mitsubishi Chemical Holdings Corp. (Japan) | | | 3,000 | | | | 13,883 | |
Nippon Paint Co. Ltd. (Japan) | | | 2,000 | | | | 33,276 | |
Orica Ltd. (Australia) | | | 3,768 | | | | 80,574 | |
PPG Industries, Inc. | | | 88,300 | | | | 16,746,978 | |
Westlake Chemical Corp. | | | 59,300 | | | | 7,238,751 | |
Yara International ASA (Norway) | | | 18,067 | | | | 779,198 | |
| | | | | | |
|
|
|
| | | | | | | | 53,543,337 | |
| | | | | | |
|
|
|
Commercial Banks — 2.8% | | | | | | | | |
Australia & New Zealand Banking Group Ltd. (Australia) | | | 51,642 | | | | 1,490,808 | |
Banco Bilbao Vizcaya Argentaria SA (Spain) | | | 36,909 | | | | 456,586 | |
Banco Santander SA (Spain) | | | 114,583 | | | | 1,030,392 | |
Bank Hapoalim BM (Israel) | | | 135,378 | | | | 758,536 | |
Bank of East Asia Ltd. (Hong Kong) | | | 50,400 | | | | 213,950 | |
Bank of Yokohama Ltd. (The) (Japan) | | | 2,000 | | | | 11,158 | |
BNP Paribas SA (France) | | | 983 | | | | 76,681 | |
BOC Hong Kong Holdings Ltd. (Hong Kong) | | | 38,500 | | | | 123,649 | |
Commonwealth Bank of Australia (Australia) | | | 25,601 | | | | 1,783,798 | |
DNB ASA (Norway) | | | 49,292 | | | | 884,701 | |
Fifth Third Bancorp | | | 539,400 | | | | 11,343,582 | |
Fukuoka Financial Group, Inc. (Japan) | | | 8,000 | | | | 35,116 | |
Hang Seng Bank Ltd. (Hong Kong) | | | 47,800 | | | | 776,347 | |
HSBC Holdings PLC (United Kingdom) | | | 255,106 | | | | 2,799,586 | |
Huntington Bancshares, Inc. | | | 950,400 | | | | 9,171,360 | |
Iyo Bank Ltd. (The) (Japan) | | | 2,700 | | | | 26,490 | |
Joyo Bank Ltd. (The) (Japan) | | | 7,000 | | | | 35,792 | |
KBC Groep NV (Belgium) | | | 10,115 | | | | 575,096 | |
KeyCorp | | | 1,056,900 | | | | 14,183,598 | |
Lloyds Banking Group PLC (United Kingdom)* | | | 171,247 | | | | 224,709 | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | | | 235,500 | | | | 1,563,578 | |
Mizrahi Tefahot Bank Ltd. (Israel) | | | 1,129 | | | | 14,778 | |
Mizuho Financial Group, Inc. (Japan) | | | 234,100 | | | | 508,238 | |
National Australia Bank Ltd. (Australia) | | | 4,091 | | | | 127,688 | |
Nishi-Nippon City Bank Ltd. (The) (Japan) | | | 7,000 | | | | 18,858 | |
PNC Financial Services Group, Inc. | | | 85,000 | | | | 6,594,300 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Commercial Banks (continued) | | | | | | | | |
Regions Financial Corp. | | | 32,100 | | | $ | 317,469 | |
Resona Holdings, Inc. (Japan) | | | 91,200 | | | | 465,345 | |
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock) | | | 71,742 | | | | 947,803 | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | | | 26,500 | | | | 1,378,090 | |
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | | | 33,000 | | | | 174,610 | |
Suruga Bank Ltd. (Japan) | | | 1,000 | | | | 17,957 | |
Swedbank AB (Sweden) (Class A Stock) | | | 10,777 | | | | 303,581 | |
UniCredit SpA (Italy) | | | 48,503 | | | | 357,791 | |
US Bancorp | | | 13,900 | | | | 561,560 | |
Wells Fargo & Co. | | | 966,812 | | | | 43,893,265 | |
Westpac Banking Corp. (Australia) | | | 50,107 | | | | 1,452,531 | |
| | | | | | |
|
|
|
| | | | | | | | 104,699,377 | |
| | | | | | |
|
|
|
Commercial Services & Supplies — 0.1% | | | | | |
Dai Nippon Printing Co. Ltd. (Japan) | | | 6,000 | | | | 63,733 | |
Pitney Bowes, Inc.(a) | | | 15,400 | | | | 358,820 | |
Secom Co. Ltd. (Japan) | | | 2,100 | | | | 126,703 | |
Steelcase, Inc. (Class A Stock) | | | 25,100 | | | | 398,086 | |
Toppan Printing Co. Ltd. (Japan) | | | 3,000 | | | | 24,014 | |
UniFirst Corp. | | | 9,500 | | | | 1,016,500 | |
| | | | | | |
|
|
|
| | | | | | | | 1,987,856 | |
| | | | | | |
|
|
|
Communications Equipment — 1.7% | | | | | | | | |
Cisco Systems, Inc. | | | 1,209,900 | | | | 27,162,255 | |
Harris Corp. | | | 52,300 | | | | 3,651,063 | |
Juniper Networks, Inc.* | | | 118,300 | | | | 2,670,031 | |
Nokia OYJ (Finland)* | | | 42,763 | | | | 345,526 | |
QUALCOMM, Inc. | | | 400,700 | | | | 29,751,975 | |
| | | | | | |
|
|
|
| | | | | | | | 63,580,850 | |
| | | | | | |
|
|
|
Computers & Peripherals — 3.1% | |
Apple, Inc. | | | 136,000 | | | | 76,310,960 | |
EMC Corp. | | | 498,500 | | | | 12,537,275 | |
Hewlett-Packard Co. | | | 741,900 | | | | 20,758,362 | |
NetApp, Inc. | | | 73,700 | | | | 3,032,018 | |
Western Digital Corp. | | | 53,800 | | | | 4,513,820 | |
| | | | | | |
|
|
|
| | | | | | | | 117,152,435 | |
| | | | | | |
|
|
|
Construction & Engineering — 0.4% | |
ACS Actividades de Construccion y Servicios SA (Spain) | | | 18,409 | | | | 634,588 | |
AECOM Technology Corp.* | | | 82,200 | | | | 2,419,146 | |
Bouygues SA (France) | | | 15,365 | | | | 581,042 | |
Jacobs Engineering Group, Inc.* | | | 106,800 | | | | 6,727,332 | |
JGC Corp. (Japan) | | | 1,000 | | | | 39,244 | |
Quanta Services, Inc.* | | | 177,400 | | | | 5,598,744 | |
Vinci SA (France) | | | 5,872 | | | | 385,975 | |
| | | | | | |
|
|
|
| | | | | | | | 16,386,071 | |
| | | | | | |
|
|
|
Construction Materials | |
Imerys SA (France) | | | 2,182 | | | | 189,939 | |
| | | | | | |
|
|
|
Consumer Finance — 0.3% | |
Capital One Financial Corp. | | | 33,400 | | | | 2,558,774 | |
Discover Financial Services | | | 185,800 | | | | 10,395,510 | |
| | | | | | |
|
|
|
| | | | | | | | 12,954,284 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A66
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Containers & Packaging | |
Packaging Corp. of America | | | 13,600 | | | $ | 860,608 | |
Toyo Seikan Group Holdings Ltd. (Japan) | | | 1,300 | | | | 27,987 | |
| | | | | | |
|
|
|
| | | | | | | | 888,595 | |
| | | | | | |
|
|
|
Diversified Consumer Services — 0.1% | |
Graham Holdings Co. (Class B Stock) | | | 8,400 | | | | 5,571,888 | |
| | | | | | |
|
|
|
Diversified Financial Services — 3.1% | |
Bank of America Corp. | | | 1,462,982 | | | | 22,778,630 | |
Berkshire Hathaway, Inc. (Class B Stock)* | | | 133,500 | | | | 15,827,760 | |
Citigroup, Inc. | | | 574,950 | | | | 29,960,645 | |
Exor SpA (Italy) | | | 1,054 | | | | 41,892 | |
Industrivarden AB (Sweden) (Class C Stock) | | | 1,250 | | | | 23,784 | |
Investor AB (Sweden) (Class B Stock) | | | 25,544 | | | | 880,337 | |
JPMorgan Chase & Co. | | | 637,594 | | | | 37,286,497 | |
McGraw-Hill Financial, Inc. | | | 87,000 | | | | 6,803,400 | |
ORIX Corp. (Japan) | | | 13,200 | | | | 231,949 | |
Pohjola Bank PLC (Finland) (Class A Stock) | | | 9,806 | | | | 196,618 | |
| | | | | | |
|
|
|
| | | | | | | | 114,031,512 | |
| | | | | | |
|
|
|
Diversified Telecommunication Services — 1.5% | |
AT&T, Inc. | | | 816,647 | | | | 28,713,309 | |
Bezeq the Israeli Telecommunication Corp. Ltd. (Israel) | | | 158,628 | | | | 269,011 | |
BT Group PLC (United Kingdom) | | | 189,488 | | | | 1,194,906 | |
CenturyLink, Inc. | | | 270,200 | | | | 8,605,870 | |
Deutsche Telekom AG (Germany) | | | 2,378 | | | | 40,974 | |
Nippon Telegraph & Telephone Corp. (Japan) | | | 16,900 | | | | 910,241 | |
Swisscom AG (Switzerland) | | | 1,495 | | | | 790,098 | |
Telefonica SA (Spain) | | | 826 | | | | 13,506 | |
Telenor ASA (Norway) | | | 21,612 | | | | 516,388 | |
TeliaSonera AB (Sweden) | | | 98,920 | | | | 825,033 | |
Telstra Corp. Ltd. (Australia) | | | 44,551 | | | | 209,104 | |
Verizon Communications, Inc. | | | 261,188 | | | | 12,834,778 | |
| | | | | | |
|
|
|
| | | | | | | | 54,923,218 | |
| | | | | | |
|
|
|
Electric Utilities — 1.0% | |
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong) | | | 10,000 | | | | 63,212 | |
Chubu Electric Power Co., Inc. (Japan) | | | 6,300 | | | | 81,445 | |
Chugoku Electric Power Co., Inc. (The) (Japan) | | | 3,000 | | | | 46,711 | |
Duke Energy Corp. | | | 131,400 | | | | 9,067,914 | |
EDP—Energias de Portugal SA (Portugal) | | | 116,565 | | | | 428,156 | |
Electricite de France SA (France) | | | 21,129 | | | | 747,487 | |
Exelon Corp.(a) | | | 239,300 | | | | 6,554,427 | |
Hokkaido Electric Power Co., Inc. (Japan)* | | | 1,900 | | | | 21,865 | |
Hokuriku Electric Power Co. (Japan) | | | 1,700 | | | | 23,087 | |
Iberdrola SA (Spain) | | | 22,892 | | | | 146,092 | |
Kansai Electric Power Co., Inc. (The) (Japan)* | | | 7,000 | | | | 80,565 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Electric Utilities (continued) | |
Kyushu Electric Power Co., Inc. (Japan)* | | | 4,400 | | | $ | 56,196 | |
Power Assets Holdings Ltd. (Hong Kong) | | | 4,000 | | | | 31,842 | |
PPL Corp. | | | 508,500 | | | | 15,300,765 | |
Shikoku Electric Power Co., Inc. (Japan)* | | | 1,800 | | | | 26,994 | |
SSE PLC (United Kingdom) | | | 1,588 | | | | 36,086 | |
Tohoku Electric Power Co., Inc. (Japan)* | | | 4,600 | | | | 51,820 | |
Tokyo Electric Power Co., Inc. (Japan)* | | | 14,900 | | | | 73,414 | |
Xcel Energy, Inc. | | | 170,900 | | | | 4,774,946 | |
| | | | | | |
|
|
|
| | | | | | | | 37,613,024 | |
| | | | | | |
|
|
|
Electrical Equipment — 0.6% | |
ABB Ltd. (Switzerland) | | | 6,548 | | | | 173,129 | |
AMETEK, Inc. | | | 31,400 | | | | 1,653,838 | |
Emerson Electric Co. | | | 182,100 | | | | 12,779,778 | |
Fuji Electric Co. Ltd. (Japan) | | | 34,000 | | | | 159,305 | |
Nidec Corp. (Japan) | | | 800 | | | | 78,812 | |
OSRAM Licht AG (Germany)* | | | 2,395 | | | | 135,087 | |
Rockwell Automation, Inc. | | | 49,500 | | | | 5,848,920 | |
| | | | | | |
|
|
|
| | | | | | | | 20,828,869 | |
| | | | | | |
|
|
|
Electronic Equipment & Instruments | |
Murata Manufacturing Co. Ltd. (Japan) | | | 9,000 | | | | 800,400 | |
| | | | | | |
|
|
|
Electronic Equipment, Instruments & Components — 0.5% | |
Arrow Electronics, Inc.* | | | 74,200 | | | | 4,025,350 | |
Avnet, Inc. | | | 83,300 | | | | 3,674,363 | |
Citizen Holdings Co. Ltd. (Japan) | | | 2,700 | | | | 22,780 | |
FUJIFILM Holdings Corp. (Japan) | | | 31,900 | | | | 905,483 | |
Hirose Electric Co. Ltd. (Japan) | | | 300 | | | | 42,765 | |
Hitachi Ltd. (Japan) | | | 102,000 | | | | 773,380 | |
Hoya Corp. (Japan) | | | 4,400 | | | | 122,372 | |
Ingram Micro, Inc. (Class A Stock)* | | | 119,300 | | | | 2,798,778 | |
Jabil Circuit, Inc. | | | 93,800 | | | | 1,635,872 | |
Keyence Corp. (Japan) | | | 500 | | | | 214,093 | |
Nippon Electric Glass Co. Ltd. (Japan) | | | 5,000 | | | | 26,266 | |
Omron Corp. (Japan) | | | 2,100 | | | | 92,806 | |
ScanSource, Inc.* | | | 7,200 | | | | 305,496 | |
SYNNEX Corp.* | | | 12,500 | | | | 842,500 | |
TE Connectivity Ltd. (Switzerland) | | | 61,400 | | | | 3,383,754 | |
| | | | | | |
|
|
|
| | | | | | | | 18,866,058 | |
| | | | | | |
|
|
|
Energy Equipment & Services — 1.3% | |
Baker Hughes, Inc. | | | 167,700 | | | | 9,267,102 | |
Ensco PLC (Class A Stock) | | | 138,200 | | | | 7,902,276 | |
Schlumberger Ltd. | | | 340,000 | | | | 30,637,400 | |
Seadrill Ltd. (Bermuda) | | | 5,252 | | | | 215,250 | |
Transocean Ltd. | | | 3,652 | | | | 178,728 | |
| | | | | | |
|
|
|
| | | | | | | | 48,200,756 | |
| | | | | | |
|
|
|
Food & Staples Retailing — 2.0% | | | | | | | | |
Aeon Co. Ltd. (Japan) (Class A Stock) | | | 6,100 | | | | 82,696 | |
Carrefour SA (France) | | | 5,277 | | | | 209,463 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A67
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Food & Staples Retailing (continued) | | | | | | | | |
Casino Guichard Perrachon SA (France) | | | 6,608 | | | $ | 762,474 | |
CVS Caremark Corp. | | | 354,300 | | | | 25,357,251 | |
FamilyMart Co. Ltd. (Japan) | | | 400 | | | | 18,275 | |
J Sainsbury PLC (United Kingdom) | | | 118,715 | | | | 718,494 | |
Koninklijke Ahold NV (Netherlands) | | | 47,423 | | | | 852,249 | |
Kroger Co. (The) | | | 370,100 | | | | 14,630,053 | |
Wal-Mart Stores, Inc. | | | 384,000 | | | | 30,216,960 | |
Wesfarmers Ltd. (Australia) | | | 2,344 | | | | 92,290 | |
WM Morrison Supermarkets PLC (United Kingdom) | | | 178,985 | | | | 774,797 | |
Woolworths Ltd. (Australia) | | | 6,058 | | | | 183,444 | |
| | | | | | |
|
|
|
| | | | | | | | 73,898,446 | |
| | | | | | |
|
|
|
Food Products — 0.8% | | | | | | | | |
Ajinomoto Co., Inc. (Japan) | | | 4,000 | | | | 57,907 | |
Archer-Daniels-Midland Co. | | | 362,900 | | | | 15,749,860 | |
Chiquita Brands International, Inc.* | | | 51,900 | | | | 607,230 | |
Darling International, Inc.* | | | 66,300 | | | | 1,384,344 | |
Dean Foods Co.* | | | 149,400 | | | | 2,568,186 | |
Golden Agri-Resources Ltd. (Singapore) | | | 38,000 | | | | 16,450 | |
J.M. Smucker Co. (The) | | | 7,600 | | | | 787,512 | |
Kraft Foods Group, Inc. | | | 17,400 | | | | 938,208 | |
Lindt & Spruengli AG (Switzerland) | | | 9 | | | | 485,287 | |
Lindt & Spruengli AG (Switzerland) (Class C Stock) | | | 9 | | | | 40,568 | |
Nestle SA (Switzerland) | | | 21,912 | | | | 1,605,932 | |
Nippon Meat Packers, Inc. (Japan) | | | 2,000 | | | | 34,375 | |
Suedzucker AG (Germany) | | | 26,593 | | | | 718,412 | |
Tyson Foods, Inc. (Class A Stock) | | | 104,200 | | | | 3,486,532 | |
Unilever NV (Netherlands) | | | 11,485 | | | | 461,760 | |
Wilmar International Ltd. (Singapore) | | | 267,000 | | | | 725,247 | |
| | | | | | |
|
|
|
| | | | | | | | 29,667,810 | |
| | | | | | |
|
|
|
Gas Utilities — 0.1% | | | | | | | | |
AGL Resources, Inc. | | | 21,500 | | | | 1,015,445 | |
Gas Natural SDG SA (Spain) | | | 2,445 | | | | 62,933 | |
New Jersey Resources Corp. | | | 24,300 | | | | 1,123,632 | |
Snam SpA (Italy) | | | 20,849 | | | | 116,533 | |
UGI Corp. | | | 39,300 | | | | 1,629,378 | |
| | | | | | |
|
|
|
| | | | | | | | 3,947,921 | |
| | | | | | |
|
|
|
Healthcare Equipment & Supplies — 1.4% | | | | | |
Abbott Laboratories | | | 567,800 | | | | 21,763,774 | |
Baxter International, Inc. | | | 55,900 | | | | 3,887,845 | |
Becton Dickinson and Co. | | | 40,900 | | | | 4,519,041 | |
CareFusion Corp.* | | | 78,100 | | | | 3,109,942 | |
Covidien PLC (Ireland) | | | 34,900 | | | | 2,376,690 | |
Hill-Rom Holdings, Inc.(a) | | | 26,700 | | | | 1,103,778 | |
Medtronic, Inc. | | | 81,300 | | | | 4,665,807 | |
Smith & Nephew PLC (United Kingdom) | | | 4,238 | | | | 60,530 | |
St. Jude Medical, Inc. | | | 124,300 | | | | 7,700,385 | |
Stryker Corp. | | | 44,000 | | | | 3,306,160 | |
| | | | | | |
|
|
|
| | | | | | | | 52,493,952 | |
| | | | | | |
|
|
|
Healthcare Providers & Services — 1.0% | | | | | |
Alfresa Holdings Corp. (Japan) | | | 400 | | | | 19,854 | |
CIGNA Corp. | | | 121,000 | | | | 10,585,080 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Healthcare Providers & Services (continued) | | | | | |
Fresenius SE & Co. KGaA (Germany) | | | 4,960 | | | $ | 762,725 | |
Medipal Holdings Corp. (Japan) | | | 49,200 | | | | 649,512 | |
Sonic Healthcare Ltd. (Australia) | | | 34,327 | | | | 509,427 | |
UnitedHealth Group, Inc.(a) | | | 152,900 | | | | 11,513,370 | |
WellPoint, Inc. | | | 131,800 | | | | 12,177,002 | |
| | | | | | |
|
|
|
| | | | | | | | 36,216,970 | |
| | | | | | |
|
|
|
Healthcare Technology — 0.1% | | | | | | | | |
Cerner Corp.* | | | 53,800 | | | | 2,998,812 | |
| | | | | | |
|
|
|
Hotels, Restaurants & Leisure — 1.1% | | | | | | | | |
Flight Centre Ltd. (Australia) | | | 565 | | | | 24,063 | |
Galaxy Entertainment Group Ltd. (Hong Kong)* | | | 90,000 | | | | 810,294 | |
Jack in the Box, Inc.* | | | 65,500 | | | | 3,276,310 | |
Marriott Vacations Worldwide Corp.* | | | 34,400 | | | | 1,814,944 | |
McDonald’s Corp. | | | 258,300 | | | | 25,062,849 | |
MGM China Holdings Ltd. (Macau) | | | 114,800 | | | | 491,329 | |
Oriental Land Co. Ltd. (Japan) | | | 500 | | | | 72,107 | |
SJM Holdings Ltd. (Hong Kong) | | | 20,000 | | | | 67,229 | |
TUI Travel PLC (United Kingdom) | | | 75,224 | | | | 515,619 | |
Wyndham Worldwide Corp. | | | 101,700 | | | | 7,494,273 | |
| | | | | | |
|
|
|
| | | | | | | | 39,629,017 | |
| | | | | | |
|
|
|
Household Durables — 0.4% | | | | | | | | |
Iida Group Holdings Co. Ltd. (Japan)* | | | 1,500 | | | | 29,940 | |
Panasonic Corp. (Japan) | | | 91,800 | | | | 1,070,132 | |
Persimmon PLC (United Kingdom) | | | 29,201 | | | | 600,352 | |
Sekisui Chemical Co. Ltd. (Japan) | | | 42,000 | | | | 515,404 | |
Whirlpool Corp. | | | 93,700 | | | | 14,697,782 | |
| | | | | | |
|
|
|
| | | | | | | | 16,913,610 | |
| | | | | | |
|
|
|
Household Products — 1.4% | | | | | | | | |
Colgate-Palmolive Co. | | | 177,400 | | | | 11,568,254 | |
Kimberly-Clark Corp. | | | 18,000 | | | | 1,880,280 | |
Procter & Gamble Co. (The) | | | 460,905 | | | | 37,522,276 | |
Reckitt Benckiser Group PLC (United Kingdom) | | | 7,066 | | | | 561,297 | |
Svenska Cellulosa AB (Sweden) (Class B Stock) | | | 15,224 | | | | 469,019 | |
| | | | | | |
|
|
|
| | | | | | | | 52,001,126 | |
| | | | | | |
|
|
|
Independent Power Producers & Energy Traders — 0.3% | |
AES Corp. | | | 663,000 | | | | 9,620,130 | |
Electric Power Development Co. Ltd. (Japan) | | | 1,200 | | | | 34,988 | |
| | | | | | |
|
|
|
| | | | | | | | 9,655,118 | |
| | | | | | |
|
|
|
Industrial Conglomerates — 1.3% | | | | | | | | |
3M Co. | | | 114,200 | | | | 16,016,550 | |
General Electric Co. | | | 1,088,000 | | | | 30,496,640 | |
Hutchison Whampoa Ltd. (Hong Kong) | | | 75,000 | | | | 1,021,932 | |
Koninklijke Philips NV (Netherlands) | | | 2,292 | | | | 84,395 | |
Siemens AG (Germany) | | | 1,997 | | | | 273,827 | |
| | | | | | |
|
|
|
| | | | | | | | 47,893,344 | |
| | | | | | |
|
|
|
Insurance — 1.8% | | | | | | | | |
Aegon NV (Netherlands) | | | 36,913 | | | | 349,808 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A68
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Insurance (continued) | | | | | | | | |
Ageas (Belgium) | | | 10,422 | | | $ | 444,433 | |
Allianz SE (Germany) | | | 4,730 | | | | 851,052 | |
Allstate Corp. (The) | | | 19,400 | | | | 1,058,076 | |
American Financial Group, Inc. | | | 55,300 | | | | 3,191,916 | |
American International Group, Inc. | | | 200,500 | | | | 10,235,525 | |
Aspen Insurance Holdings Ltd. | | | 25,100 | | | | 1,036,881 | |
AXA SA (France) | | | 39,231 | | | | 1,092,494 | |
Axis Capital Holdings Ltd. (Bermuda) | | | 49,200 | | | | 2,340,444 | |
Baloise Holding AG (Switzerland) | | | 1,350 | | | | 172,144 | |
Chubb Corp. (The) | | | 61,300 | | | | 5,923,419 | |
Everest Re Group Ltd. | | | 16,500 | | | | 2,571,855 | |
Hannover Rueckversicherung AG (Germany) | | | 8,590 | | | | 738,492 | |
Insurance Australia Group Ltd. (Australia) | | | 22,622 | | | | 117,784 | |
Legal & General Group PLC (United Kingdom) | | | 258,272 | | | | 954,697 | |
MetLife, Inc. | | | 22,700 | | | | 1,223,984 | |
Muenchener Rueckversicherungs AG (Germany) | | | 4,879 | | | | 1,076,165 | |
PartnerRe Ltd. | | | 114,300 | | | | 12,050,649 | |
ProAssurance Corp. | | | 13,400 | | | | 649,632 | |
Prudential PLC (United Kingdom) | | | 32,159 | | | | 718,565 | |
Reinsurance Group of America, Inc. | | | 17,700 | | | | 1,370,157 | |
Sampo OYJ (Finland) (Class A Stock) | | | 9,661 | | | | 474,865 | |
Swiss Re AG (Switzerland) | | | 11,132 | | | | 1,026,242 | |
Travelers Cos., Inc. (The) | | | 169,600 | | | | 15,355,584 | |
Tryg A/S (Denmark) | | | 1,496 | | | | 144,663 | |
XL Group PLC (Ireland) | | | 32,500 | | | | 1,034,800 | |
Zurich Insurance Group AG (Switzerland) | | | 378 | | | | 109,644 | |
| | | | | | |
|
|
|
| | | | | | | | 66,313,970 | |
| | | | | | |
|
|
|
Internet & Catalog Retail — 0.5% | | | | | | | | |
Amazon.com, Inc.* | | | 18,500 | | | | 7,377,615 | |
Expedia, Inc. | | | 118,400 | | | | 8,247,744 | |
HSN, Inc. | | | 54,400 | | | | 3,389,120 | |
Overstock.com Inc*(a) | | | 23,800 | | | | 732,802 | |
| | | | | | |
|
|
|
| | | | | | | | 19,747,281 | |
| | | | | | |
|
|
|
Internet Software & Services — 1.6% | | | | | | | | |
Akamai Technologies, Inc.*(a) | | | 22,600 | | | | 1,066,268 | |
Facebook, Inc. (Class A Stock)* | | | 101,900 | | | | 5,569,854 | |
Google, Inc. (Class A Stock)* | | | 48,500 | | | | 54,354,435 | |
United Internet AG (Germany) | | | 15,308 | | | | 652,583 | |
| | | | | | |
|
|
|
| | | | | | | | 61,643,140 | |
| | | | | | |
|
|
|
IT Services — 1.9% | | | | | | | | |
Accenture PLC (Ireland) (Class A Stock) | | | 107,700 | | | | 8,855,094 | |
Amadeus IT Holding SA (Spain) (Class A Stock) | | | 7,243 | | | | 310,257 | |
Amdocs Ltd. | | | 8,100 | | | | 334,044 | |
Broadridge Financial Solutions, Inc. | | | 14,400 | | | | 569,088 | |
Cap Gemini SA (France) | | | 11,987 | | | | 811,348 | |
Cognizant Technology Solutions Corp. (Class A Stock)* | | | 98,900 | | | | 9,986,922 | |
CoreLogic, Inc.* | | | 102,900 | | | | 3,656,037 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
IT Services (continued) | | | | | | | | |
DST Systems, Inc. | | | 52,900 | | | $ | 4,800,146 | |
Fiserv, Inc.* | | | 100,800 | | | | 5,952,240 | |
iGATE Corp.* | | | 58,000 | | | | 2,329,280 | |
International Business Machines Corp. | | | 99,800 | | | | 18,719,486 | |
MasterCard, Inc. (Class A Stock) | | | 6,900 | | | | 5,764,674 | |
NeuStar, Inc.* | | | 4,600 | | | | 229,356 | |
Otsuka Corp. (Japan) | | | 200 | | | | 25,551 | |
Syntel, Inc.* | | | 22,700 | | | | 2,064,565 | |
Total System Services, Inc. | | | 120,300 | | | | 4,003,584 | |
Visa, Inc. (Class A Stock)(a) | | | 11,200 | | | | 2,494,016 | |
| | | | | | |
|
|
|
| | | | | | | | 70,905,688 | |
| | | | | | |
|
|
|
Leisure Equipment & Products — 0.2% | | | | | | | | |
Namco Bandai Holdings, Inc. (Japan) | | | 1,800 | | | | 39,964 | |
Polaris Industries, Inc.(a) | | | 53,300 | | | | 7,762,612 | |
Smith & Wesson Holding Corp.*(a) | | | 50,900 | | | | 686,641 | |
| | | | | | |
|
|
|
| | | | | | | | 8,489,217 | |
| | | | | | |
|
|
|
Life Sciences Tools & Services | | | | | | | | |
PerkinElmer, Inc. | | | 13,600 | | | | 560,728 | |
Techne Corp. | | | 3,100 | | | | 293,477 | |
| | | | | | |
|
|
|
| | | | | | | | 854,205 | |
| | | | | | |
|
|
|
Machinery — 1.1% | | | | | | | | |
Atlas Copco AB (Sweden) (Class B Stock) | | | 4,073 | | | | 103,541 | |
Deere & Co. | | | 102,800 | | | | 9,388,724 | |
Dover Corp. | | | 75,500 | | | | 7,288,770 | |
GEA Group AG (Germany) | | | 3,065 | | | | 146,157 | |
Hino Motors Ltd. (Japan) | | | 47,000 | | | | 740,379 | |
Illinois Tool Works, Inc. | | | 57,000 | | | | 4,792,560 | |
Kone OYJ (Finland) (Class B Stock) | | | 2,717 | | | | 122,533 | |
Kubota Corp. (Japan) | | | 11,000 | | | | 182,460 | |
Lincoln Electric Holdings, Inc. | | | 27,600 | | | | 1,968,984 | |
Mitsubishi Heavy Industries Ltd. (Japan) | | | 31,000 | | | | 192,001 | |
Mueller Industries, Inc. | | | 9,800 | | | | 617,498 | |
Oshkosh Corp. | | | 184,700 | | | | 9,305,186 | |
SMC Corp. (Japan) | | | 400 | | | | 100,955 | |
Valmont Industries, Inc. (Class B Stock) | | | 26,400 | | | | 3,936,768 | |
WABCO Holdings, Inc.* | | | 22,100 | | | | 2,064,361 | |
Yangzijiang Shipbuilding Holdings Ltd. (Singapore) | | | 718,000 | | | | 675,762 | |
| | | | | | |
|
|
|
| | | | | | | | 41,626,639 | |
| | | | | | |
|
|
|
Marine — 0.1% | | | | | | | | |
A.P. Moeller-Maersk A/S (Denmark) (Class A Stock) | | | 6 | | | | 61,806 | |
A.P. Moeller-Maersk A/S (Denmark) (Class B Stock) | | | 69 | | | | 746,715 | |
Matson, Inc. | | | 43,400 | | | | 1,133,174 | |
Nippon Yusen K.K. (Japan) | | | 10,000 | | | | 31,974 | |
| | | | | | |
|
|
|
| | | | | | | | 1,973,669 | |
| | | | | | |
|
|
|
Media — 1.9% | | | | | | | | |
AMC Networks, Inc. (Class A Stock)* | | | 14,600 | | | | 994,406 | |
CBS Corp. (Class B Stock) | | | 103,400 | | | | 6,590,716 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A69
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Media (continued) | | | | | | | | |
Cinemark Holdings, Inc. | | | 17,100 | | | $ | 569,943 | |
Comcast Corp. (Class A Stock) | | | 643,373 | | | | 33,432,878 | |
Dentsu, Inc. (Japan) | | | 2,300 | | | | 94,067 | |
DIRECTV* | | | 103,600 | | | | 7,157,724 | |
ITV PLC (United Kingdom) | | | 259,625 | | | | 835,515 | |
JCDecaux SA (France) | | | 17,875 | | | | 737,940 | |
ProSiebenSat.1 Media AG (Germany) (Germany) | | | 15,213 | | | | 755,418 | |
REA Group Ltd. | | | 9,730 | | | | 328,655 | |
RTL Group SA (Germany) | | | 397 | | | | 51,385 | |
Scripps Networks Interactive, Inc. (Class A Stock) | | | 47,800 | | | | 4,130,398 | |
Twenty-First Century Fox, Inc. (Class A Stock) | | | 94,500 | | | | 3,324,510 | |
Viacom, Inc. (Class B Stock) | | | 65,700 | | | | 5,738,238 | |
Walt Disney Co. (The) | | | 102,400 | | | | 7,823,360 | |
| | | | | | |
|
|
|
| | | | | | | | 72,565,153 | |
| | | | | | |
|
|
|
Metals & Mining — 1.0% | | | | | | | | |
Anglo American PLC (United Kingdom) | | | 45,619 | | | | 998,391 | |
BHP Billiton Ltd. (Australia) | | | 33,444 | | | | 1,140,201 | |
BHP Billiton PLC (United Kingdom) | | | 44,156 | | | | 1,370,164 | |
Cliffs Natural Resources, Inc.(a) | | | 10,600 | | | | 277,826 | |
Fortescue Metals Group Ltd. (Australia) | | | 147,704 | | | | 771,578 | |
Freeport-McMoRan Copper & Gold, Inc. | | | 512,900 | | | | 19,356,846 | |
JFE Holdings, Inc. (Japan) | | | 5,000 | | | | 119,150 | |
Kobe Steel Ltd. (Japan)* | | | 25,000 | | | | 42,860 | |
Mitsubishi Materials Corp. (Japan) | | | 51,000 | | | | 188,519 | |
Newmont Mining Corp. | | | 321,900 | | | | 7,413,357 | |
Nippon Steel & Sumitomo Metal Corp. (Japan) | | | 77,000 | | | | 258,243 | |
Rio Tinto PLC (United Kingdom) | | | 350 | | | | 19,778 | |
Southern Copper Corp. (British Virgin Islands) | | | 166,900 | | | | 4,791,699 | |
Sumitomo Metal Mining Co. Ltd. (Japan) | | | 37,000 | | | | 484,822 | |
Voestalpine AG (Austria) | | | 15,244 | | | | 732,543 | |
| | | | | | |
|
|
|
| | | | | | | | 37,965,977 | |
| | | | | | |
|
|
|
Multi-Utilities — 0.4% | | | | | | | | |
Centrica PLC (United Kingdom) | | | 62,579 | | | | 360,871 | |
E.ON AG (Germany) | | | 54,767 | | | | 1,012,531 | |
GDF Suez (France) | | | 18,553 | | | | 436,358 | |
National Grid PLC (United Kingdom) | | | 91,396 | | | | 1,195,393 | |
PG&E Corp. | | | 161,600 | | | | 6,509,248 | |
SCANA Corp. | | | 82,900 | | | | 3,890,497 | |
| | | | | | |
|
|
|
| | | | | | | | 13,404,898 | |
| | | | | | |
|
|
|
Multiline Retail — 1.0% | | | | | | | | |
Dillard’s, Inc. (Class A Stock) | | | 62,400 | | | | 6,065,904 | |
Dollar General Corp.* | | | 173,900 | | | | 10,489,648 | |
Macy’s, Inc. | | | 316,200 | | | | 16,885,080 | |
Next PLC (United Kingdom) | | | 6,447 | | | | 582,757 | |
Takashimaya Co. Ltd. (Japan) | | | 3,000 | | | | 29,933 | |
Target Corp. | | | 44,300 | | | | 2,802,861 | |
| | | | | | |
|
|
|
| | | | | | | | 36,856,183 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Office Electronics | | | | | | | | |
Konica Minolta Holdings, Inc. (Japan) | | | 12,500 | | | $ | 124,916 | |
Ricoh Co. Ltd. (Japan) | | | 33,000 | | | | 350,949 | |
| | | | | | |
|
|
|
| | | | | | | | 475,865 | |
| | | | | | |
|
|
|
Oil, Gas & Consumable Fuels — 6.4% | | | | | | | | |
Anadarko Petroleum Corp. | | | 228,500 | | | | 18,124,620 | |
Apache Corp. | | | 112,700 | | | | 9,685,438 | |
BG Group PLC (United Kingdom) | | | 1,621 | | | | 34,881 | |
BP PLC (United Kingdom) | | | 289,331 | | | | 2,344,783 | |
Chevron Corp. | | | 359,756 | | | | 44,937,122 | |
ConocoPhillips | | | 328,434 | | | | 23,203,862 | |
Delek Group Ltd. (Israel) | | | 311 | | | | 118,798 | |
Devon Energy Corp. | | | 162,500 | | | | 10,053,875 | |
ENI SpA (Italy) | | | 22,763 | | | | 550,040 | |
EOG Resources, Inc. | | | 47,300 | | | | 7,938,832 | |
Exxon Mobil Corp. | | | 607,516 | | | | 61,480,619 | |
Idemitsu Kosan Co. Ltd. (Japan) | | | 800 | | | | 18,213 | |
Kinder Morgan, Inc. | | | 470,800 | | | | 16,948,800 | |
Marathon Oil Corp. | | | 255,200 | | | | 9,008,560 | |
Marathon Petroleum Corp. | | | 91,500 | | | | 8,393,295 | |
OMV AG (Austria) | | | 15,102 | | | | 722,793 | |
Phillips 66 | | | 256,100 | | | | 19,752,993 | |
Repsol SA (Spain) | | | 9,167 | | | | 231,313 | |
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | | | 18,928 | | | | 678,350 | |
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | | | 45,316 | | | | 1,709,336 | |
Showa Shell Sekiyu KK (Japan) | | | 61,400 | | | | 624,124 | |
Total SA (France) | | | 32,891 | | | | 2,018,840 | |
Woodside Petroleum Ltd. (Australia) | | | 6,835 | | | | 238,052 | |
| | | | | | |
|
|
|
| | | | | | | | 238,817,539 | |
| | | | | | |
|
|
|
Paper & Forest Products — 0.1% | | | | | | | | |
Clearwater Paper Corp.* | | | 19,700 | | | | 1,034,250 | |
OJI Holdings Corp. (Japan) | | | 8,000 | | | | 41,035 | |
Schweitzer-Mauduit International, Inc. | | | 15,400 | | | | 792,638 | |
| | | | | | |
|
|
|
| | | | | | | | 1,867,923 | |
| | | | | | |
|
|
|
Personal Products — 0.2% | | | | | | | | |
Avon Products, Inc. | | | 250,300 | | | | 4,310,166 | |
Medifast, Inc.* | | | 9,400 | | | | 245,622 | |
Nu Skin Enterprises, Inc. (Class A Stock) | | | 13,800 | | | | 1,907,436 | |
| | | | | | |
|
|
|
| | | | | | | | 6,463,224 | |
| | | | | | |
|
|
|
Pharmaceuticals — 5.2% | | | | | | | | |
AbbVie, Inc. | | | 16,500 | | | | 871,365 | |
Allergan, Inc. | | | 172,800 | | | | 19,194,624 | |
AstraZeneca PLC (United Kingdom) | | | 7,252 | | | | 430,241 | |
Bayer AG (Germany) | | | 2,481 | | | | 348,360 | |
Eli Lilly & Co. | | | 383,200 | | | | 19,543,200 | |
Express Scripts Holding Co.* | | | 307,400 | | | | 21,591,776 | |
Forest Laboratories, Inc.* | | | 142,200 | | | | 8,536,266 | |
GlaxoSmithKline PLC (United Kingdom) | | | 67,970 | | | | 1,815,997 | |
Jazz Pharmaceuticals PLC* | | | 31,800 | | | | 4,024,608 | |
Johnson & Johnson | | | 561,098 | | | | 51,390,966 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A70
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Pharmaceuticals (continued) | | | | | | | | |
Merck & Co., Inc. | | | 416,800 | | | $ | 20,860,840 | |
Merck KGaA (Germany) | | | 4,541 | | | | 814,785 | |
Novartis AG (Switzerland) | | | 25,469 | | | | 2,041,325 | |
Novo Nordisk A/S (Denmark) (Class B Stock) | | | 1,467 | | | | 268,904 | |
Otsuka Holdings Co. Ltd. (Japan) | | | 28,100 | | | | 811,357 | |
Pfizer, Inc. | | | 1,163,597 | | | | 35,640,976 | |
Roche Holding AG (Switzerland) | | | 9,623 | | | | 2,695,655 | |
Sanofi (France) | | | 8,009 | | | | 855,324 | |
Shionogi & Co. Ltd. (Japan) | | | 15,200 | | | | 329,987 | |
Shire PLC (United Kingdom) | | | 13,635 | | | | 642,583 | |
Taisho Pharmaceutical Holdings Co. Ltd. (Japan) | | | 300 | | | | 20,622 | |
Teva Pharmaceutical Industries Ltd. (Israel) | | | 18,357 | | | | 734,489 | |
Zoetis, Inc. | | | 9,300 | | | | 304,017 | |
| | | | | | |
|
|
|
| | | | | | | | 193,768,267 | |
| | | | | | |
|
|
|
Professional Services | | | | | | | | |
Adecco SA (Switzerland) | | | 3,998 | | | | 317,388 | |
Capita PLC (United Kingdom) | | | 33,038 | | | | 568,693 | |
Randstad Holding NV (Netherlands) | | | 3,093 | | | | 200,715 | |
| | | | | | |
|
|
|
| | | | | | | | 1,086,796 | |
| | | | | | |
|
|
|
Real Estate Investment Trusts — 1.0% | | | | | | | | |
American Capital Agency Corp. | | | 158,800 | | | | 3,063,252 | |
American Capital Mortgage Investment Corp. | | | 69,200 | | | | 1,208,232 | |
Annaly Capital Management, Inc. | | | 966,000 | | | | 9,631,020 | |
CapitaCommercial Trust (Singapore) | | | 347,000 | | | | 399,620 | |
CapitaMall Trust (Singapore) | | | 25,000 | | | | 37,833 | |
Dexus Property Group (Australia) | | | 236,762 | | | | 212,939 | |
Franklin Street Properties Corp. | | | 75,100 | | | | 897,445 | |
Hospitality Properties Trust | | | 16,000 | | | | 432,480 | |
Japan Retail Fund Investment Corp. (Japan) | | | 24 | | | | 48,833 | |
Link REIT (The) (Hong Kong) | | | 158,000 | | | | 766,309 | |
Resource Capital Corp. | | | 126,900 | | | | 752,517 | |
RLJ Lodging Trust | | | 139,700 | | | | 3,397,504 | |
Simon Property Group, Inc. | | | 36,800 | | | | 5,599,488 | |
Starwood Property Trust, Inc. | | | 54,600 | | | | 1,512,420 | |
Unibail-Rodamco SE (France) | | | 3,580 | | | | 917,412 | |
Ventas, Inc. | | | 117,800 | | | | 6,747,584 | |
Westfield Retail Trust (Australia) | | | 30,952 | | | | 82,228 | |
| | | | | | |
|
|
|
| | | | | | | | 35,707,116 | |
| | | | | | |
|
|
|
Real Estate Management & Development — 0.5% | |
CBRE Group, Inc. (Class A Stock)* | | | 544,700 | | | | 14,325,610 | |
Daiwa House Industry Co. Ltd. (Japan) | | | 6,000 | | | | 116,251 | |
Henderson Land Development Co. Ltd. (Hong Kong) | | | 8,000 | | | | 45,736 | |
Hulic Co. Ltd. (Japan) | | | 800 | | | | 11,839 | |
Hysan Development Co. Ltd. (Hong Kong) | | | 153,000 | | | | 660,462 | |
Jones Lang LaSalle, Inc. | | | 48,500 | | | | 4,965,915 | |
Keppel Land Ltd. (Singapore) | | | 7,000 | | | | 18,581 | |
Swire Pacific Ltd. (Hong Kong) (Class A Stock) | | | 4,000 | | | | 46,999 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Real Estate Management & Development (continued) | |
Swiss Prime Site AG (Switzerland) | | | 4,182 | | | $ | 323,849 | |
Wheelock & Co. Ltd. (Hong Kong) | | | 13,000 | | | | 59,889 | |
| | | | | | |
|
|
|
| | | | | | | | 20,575,131 | |
| | | | | | |
|
|
|
Road & Rail — 1.1% | | | | | | | | |
ComfortDelGro Corp. Ltd. (Singapore) | | | 21,000 | | | | 33,579 | |
CSX Corp. | | | 404,200 | | | | 11,628,834 | |
East Japan Railway Co. (Japan) | | | 3,400 | | | | 270,837 | |
Nippon Express Co. Ltd. (Japan) | | | 5,000 | | | | 24,203 | |
Norfolk Southern Corp. | | | 51,700 | | | | 4,799,311 | |
Union Pacific Corp. | | | 147,000 | | | | 24,696,000 | |
West Japan Railway Co. (Japan) | | | 3,700 | | | | 160,315 | |
| | | | | | |
|
|
|
| | | | | | | | 41,613,079 | |
| | | | | | |
|
|
|
Semiconductors & Semiconductor Equipment — 0.9% | |
Cabot Microelectronics Corp.* | | | 11,900 | | | | 543,830 | |
Infineon Technologies AG (Germany) | | | 3,769 | | | | 40,259 | |
Intel Corp. | | | 846,900 | | | | 21,985,524 | |
Intersil Corp. | | | 89,600 | | | | 1,027,712 | |
LSI Corp. | | | 801,000 | | | | 8,827,020 | |
Rohm Co. Ltd. (Japan) | | | 1,000 | | | | 48,777 | |
Skyworks Solutions, Inc.* | | | 98,600 | | | | 2,816,016 | |
| | | | | | |
|
|
|
| | | | | | | | 35,289,138 | |
| | | | | | |
|
|
|
Software — 2.9% | | | | | | | | |
ANSYS, Inc.* | | | 22,200 | | | | 1,935,840 | |
CA, Inc. | | | 81,700 | | | | 2,749,205 | |
Citrix Systems, Inc.*(a) | | | 112,500 | | | | 7,115,625 | |
Genpact Ltd. (Bermuda) | | | 83,900 | | | | 1,541,243 | |
Manhattan Associates, Inc.* | | | 12,000 | | | | 1,409,760 | |
Microsoft Corp. | | | 919,600 | | | | 34,420,628 | |
Oracle Corp. | | | 949,800 | | | | 36,339,348 | |
Red Hat, Inc.* | | | 28,500 | | | | 1,597,140 | |
SAP AG (Germany) | | | 342 | | | | 29,659 | |
Symantec Corp. | | | 478,900 | | | | 11,292,462 | |
Trend Micro, Inc. (Japan) | | | 1,100 | | | | 38,547 | |
VMware, Inc. (Class A Stock)*(a) | | | 108,600 | | | | 9,742,506 | |
| | | | | | |
|
|
|
| | | | | | | | 108,211,963 | |
| | | | | | |
|
|
|
Specialty Retail — 1.8% | | | | | | | | |
ABC-Mart, Inc. (Japan) | | | 200 | | | | 8,738 | |
Express, Inc.* | | | 34,700 | | | | 647,849 | |
GameStop Corp. (Class A Stock) | | | 125,500 | | | | 6,182,130 | |
Gap, Inc. (The) | | | 319,800 | | | | 12,497,784 | |
Hennes & Mauritz AB (Sweden) (Class B Stock) | | | 6,041 | | | | 278,227 | |
Home Depot, Inc. (The) | | | 236,450 | | | | 19,469,293 | |
Lowe’s Cos., Inc. | | | 106,100 | | | | 5,257,255 | |
PetSmart, Inc.(a) | | | 14,100 | | | | 1,025,775 | |
Ross Stores, Inc. | | | 122,100 | | | | 9,148,953 | |
TJX Cos., Inc. (The) | | | 203,100 | | | | 12,943,563 | |
| | | | | | |
|
|
|
| | | | | | | | 67,459,567 | |
| | | | | | |
|
|
|
Textiles, Apparel & Luxury Goods — 0.6% | |
Asics Corp. (Japan) | | | 2,200 | | | | 37,603 | |
Christian Dior SA (France) | | | 3,231 | | | | 611,569 | |
Cie Financiere Richemont SA (Switzerland) | | | 1,265 | | | | 126,370 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A71
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Textiles, Apparel & Luxury Goods (continued) | |
Michael Kors Holdings Ltd. (Hong Kong)* | | | 114,700 | | | $ | 9,312,493 | |
NIKE, Inc. (Class B Stock) | | | 135,200 | | | | 10,632,128 | |
Swatch Group AG (The) (Switzerland) | | | 438 | | | | 49,373 | |
Yue Yuen Industrial Holdings Ltd. (Bermuda) | | | 7,500 | | | | 25,078 | |
| | | | | | |
|
|
|
| | | | | | | | 20,794,614 | |
| | | | | | |
|
|
|
Tobacco — 0.6% | | | | | | | | |
Altria Group, Inc. | | | 301,800 | | | | 11,586,102 | |
British American Tobacco (United Kingdom) | | | 15,216 | | | | 816,709 | |
Japan Tobacco, Inc. (Japan) | | | 29,900 | | | | 972,909 | |
Philip Morris International, Inc. | | | 103,500 | | | | 9,017,955 | |
| | | | | | |
|
|
|
| | | | | | | | 22,393,675 | |
| | | | | | |
|
|
|
Trading Companies & Distributors — 0.3% | |
ITOCHU Corp. (Japan) | | | 13,700 | | | | 169,368 | |
Marubeni Corp. (Japan) | | | 41,000 | | | | 295,162 | |
Mitsubishi Corp. (Japan) | | | 48,600 | | | | 933,019 | |
Mitsui & Co. Ltd. (Japan) | | | 17,600 | | | | 245,364 | |
MRC Global, Inc.* | | | 89,600 | | | | 2,890,496 | |
Sojitz Corp. (Japan) | | | 354,800 | | | | 631,693 | |
Travis Perkins PLC (United Kingdom) | | | 19,684 | | | | 611,467 | |
W.W. Grainger, Inc. | | | 29,300 | | | | 7,483,806 | |
| | | | | | |
|
|
|
| | | | | | | | 13,260,375 | |
| | | | | | |
|
|
|
Transportation Infrastructure | | | | | |
Abertis Infraestructuras SA (Spain) | | | 14,496 | | | | 322,434 | |
Atlantia SpA (Italy) | | | 34,421 | | | | 771,028 | |
Auckland International Airport Ltd. (New Zealand) | | | 10,889 | | | | 31,624 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Transportation Infrastructure (continued) | | | | | |
Sydney Airport (Australia) | | | 12,602 | | | $ | 42,830 | |
| | | | | | |
|
|
|
| | | | | | | | 1,167,916 | |
| | | | | | |
|
|
|
Water Utilities — 0.1% | | | | | | | | |
American Water Works Co., Inc. | | | 78,500 | | | | 3,317,410 | |
| | | | | | |
|
|
|
Wireless Telecommunication Services — 0.1% | |
KDDI Corp. (Japan) | | | 15,500 | | | | 955,037 | |
Millicom International Cellular SA, (Luxembourg) SDR | | | 681 | | | | 67,859 | |
NTT DOCOMO, Inc. (Japan) | | | 15,700 | | | | 258,521 | |
Softbank Corp. (Japan) | | | 2,000 | | | | 175,502 | |
Vodafone Group PLC (United Kingdom) | | | 281,877 | | | | 1,109,810 | |
| | | | | | |
|
|
|
| | | | | | | | 2,566,729 | |
| | | | | | |
|
|
|
TOTAL COMMON STOCKS
(cost $1,937,865,727) | | | | 2,639,657,785 | |
| | | | | | |
|
|
|
| EXCHANGE TRADED FUND — 0.1% | |
iShares MSCI EAFE Index Fund (cost $1,861,747) | | | 30,800 | | | | 2,065,448 | |
| | | | | | |
|
|
|
| PREFERRED STOCKS | | | | | |
Automobiles | | | | | | | | |
Bayerische Motoren Werke AG (Germany) | | | 548 | | | | 46,861 | |
Volkswagen AG (Germany) | | | 372 | | | | 104,688 | |
| | | | | | |
|
|
|
| | | | | | | | 151,549 | |
| | | | | | |
|
|
|
Banking | | | | | |
Citigroup Capital XIII, 7.875%, (Capital Security, fixed to floating preferred)(b) | | | 22,000 | | | | 599,500 | |
| | | | | | |
|
|
|
TOTAL PREFERRED STOCKS
(cost $682,706) | | | | 751,049 | |
| | | | | | |
|
|
|
| | | | | | | | | | | | | | | | |
| ASSET-BACKED SECURITIES — 1.5% | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | | |
Collateralized Loan Obligations — 1.3% | | | | | | | | | | | | | | | | |
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | | | | | 1.422% | (b) | | 04/20/25 | | | 2,550 | | | | 2,507,139 | |
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A | | | | | 3.360% | | | 04/20/25 | | | 500 | | | | 490,299 | |
American Express Credit Account Master Trust, Series 2012-4, Class C, 144A | | | | | 0.967% | (b) | | 05/15/20 | | | 3,900 | | | | 3,909,731 | |
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | | | | | 1.466% | (b) | | 07/13/25 | | | 2,700 | | | | 2,654,166 | |
Ares Enhanced Loan Investment Strategy Ltd. (Cayman Islands), Series 2005-2A, Class A2, 144A | | | | | 0.498% | (b) | | 01/26/20 | | | 729 | | | | 721,306 | |
Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A | | | | | 1.472% | (b) | | 07/15/24 | | | 1,200 | | | | 1,174,525 | |
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | | | | | 1.394% | (b) | | 04/17/25 | | | 2,100 | | | | 2,052,431 | |
Carlyle Daytona CLO Ltd. (Cayman Islands), Series 2007-1A, Class A1L, 144A | | | | | 0.488% | (b) | | 04/27/21 | | | 3,410 | | | | 3,352,352 | |
Cent CDO XI Ltd. (Cayman Islands), Series 2006-11A, Class A1, 144A | | | | | 0.498% | (b) | | 04/25/19 | | | 502 | | | | 496,226 | |
Chatham Light CLO Ltd. (Cayman Islands), Series 2005-2A, Class A1, 144A | | | | | 0.492% | (b) | | 08/03/19 | | | 189 | | | | 187,326 | |
Citibank Credit Card Issuance Trust, Series 2005-C2, Class C2 | | | | | 0.634% | (b) | | 03/24/17 | | | 2,200 | | | | 2,195,915 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A72
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
ASSET-BACKED SECURITIES (continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Collateralized Loan Obligations (continued) | | | | | | | | | | | | | | | | |
Flagship CLO (Cayman Islands), Series 2013-7A, Class A1, 144A | | | | | 1.715% | | | 01/20/26 | | | 2,300 | | | $ | 2,290,800 | |
Four Corners CLO Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A | | | | | 0.491% | (b) | | 07/22/20 | | | 592 | | | | 585,413 | |
Fraser Sullivan CLO Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A | | | | | 0.713% | (b) | | 03/15/20 | | | 1,000 | | | | 972,313 | |
GE Capital Credit Card Master Note Trust, Series 2012-4, Class B | | | | | 1.017% | (b) | | 06/15/18 | | | 5,500 | | | | 5,480,558 | |
ING Investment Management CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | | | | | 1.384% | (b) | | 04/15/24 | | | 1,850 | | | | 1,815,517 | |
Lafayette CLO Ltd. (Cayman Islands), Series 2012-1A, Class A, 144A | | | | | 1.642% | (b) | | 09/06/22 | | | 287 | | | | 286,783 | |
LCM CLO LP (Cayman Islands), Series 2005-3A, Class A, 144A | | | | | 0.499% | (b) | | 06/01/17 | | | 144 | | | | 143,440 | |
LightPoint CLO Ltd., Series 2005-3A, Class A1A, 144A | | | | | 0.503% | (b) | | 09/15/17 | | | 409 | | | | 405,249 | |
Marine Park CLO Ltd. (Cayman Islands), Series 2012-1A, Class A1A, 144A | | | | | 1.708% | (b) | | 05/18/23 | | | 1,350 | | | | 1,345,078 | |
Mayport CLO Ltd. (Cayman Islands), Series 2006-1A, Class A1L, 144A | | | | | 0.488% | (b) | | 02/22/20 | | | 202 | | | | 199,606 | |
Mountain Capital CLO IV Ltd. (Cayman Islands), Series 2005-4A, Class A1L, 144A | | | | | 0.493% | (b) | | 03/15/18 | | | 87 | | | | 86,226 | |
OCP CLO Ltd. (Cayman Islands), Series 2012-2A, Class A2, 144A | | | | | 1.718% | (b) | | 11/22/23 | | | 1,200 | | | | 1,196,917 | |
OCP CLO Ltd. (Cayman Islands), Series 2012-2A, Class B, 144A | | | | | 2.438% | (b) | | 11/22/23 | | | 1,200 | | | | 1,177,913 | |
OHA Intrepid Leveraged Loan Fund CLO Ltd. (Cayman Islands), Series 2011-1AR, Class AR, 144A | | | | | 1.162% | (b) | | 04/20/21 | | | 1,816 | | | | 1,803,515 | |
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A | | | | | 1.467% | (b) | | 07/22/25 | | | 1,200 | | | | 1,177,323 | |
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | | | | | 1.294% | (b) | | 04/15/25 | | | 3,200 | | | | 3,127,673 | |
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A | | | | | 2.888% | (b) | | 08/17/22 | | | 500 | | | | 494,836 | |
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A | | | | | 2.942% | (b) | | 10/20/23 | | | 1,100 | | | | 1,106,528 | |
SVO VOI Mortgage Corp., Series 2012-AA, Class A, 144A | | | | | 2.000% | | | 09/20/29 | | | 1,562 | | | | 1,557,093 | |
Trimaran CLO VI Ltd. (Cayman Islands), Series 2006-2A, Class A1L, 144A | | | | | 0.492% | (b) | | 11/01/18 | | | 1,095 | | | | 1,083,084 | |
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | | | | | 1.393% | (b) | | 07/15/25 | | | 2,700 | | | | 2,645,448 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 48,722,729 | |
| | | | | | | | | | | | | | |
|
|
|
Residential Mortgage-Backed Securities — 0.2% | | | | | | | | | | | | | | | | |
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1 | | | | | 1.815% | (b) | | 03/25/33 | | | 296 | | | | 276,966 | |
Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB6, Class A3 | | | | | 4.465% | (b) | | 07/25/35 | | | 302 | | | | 289,731 | |
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | | | | | 5.121% | (b) | | 07/25/34 | | | 390 | | | | 371,003 | |
GSAMP Trust, Series 2004-HE2, Class A3C | | | | | 0.745% | (b) | | 09/25/34 | | | 674 | | | | 653,387 | |
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1 | | | | | 0.695% | (b) | | 06/25/34 | | | 774 | | | | 727,219 | |
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 | | | | | 1.365% | (b) | | 05/25/33 | | | 474 | | | | 441,209 | |
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE5, Class M1 | | | | | 1.110% | (b) | | 06/25/34 | | | 989 | | | | 920,127 | |
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 | | | | | 1.215% | (b) | | 12/27/33 | | | 869 | | | | 835,059 | |
Morgan Stanley Dean Witter Capital I, Series 2002-HE1, Class M1 | | | | | 1.065% | (b) | | 07/25/32 | | | 460 | | | | 419,805 | |
Morgan Stanley Dean Witter Capital I, Series 2002-NC4, Class M1 | | | | | 1.440% | (b) | | 09/25/32 | | | 539 | | | | 499,515 | |
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1 | | | | | 0.930% | (b) | | 02/25/34 | | | 887 | | | | 813,685 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 6,247,706 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL ASSET-BACKED SECURITIES
(cost $54,801,126) | | | | 54,970,435 | |
| | | | | | | | | | | | | | |
|
|
|
| BANK LOANS(b) — 0.2% | | | | | | | | | | | | | | | | |
Automotive | | | | | | | | | | | | | | | | |
Schaeffler AG (Germany) | | | | | 4.250% | | | 01/27/17 | | | 750 | | | | 755,625 | |
| | | | | | | | | | | | | | |
|
|
|
Cable | | | | | | | | | | | | | | | | |
Virgin Media Investment Holdings Ltd. (United Kingdom) | | | | | 3.500% | | | 06/08/20 | | | 1,000 | | | | 1,001,250 | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A73
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
BANK LOANS(b) (continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Foods | | | | | | | | | | | | | | | | |
ARAMARK Corp. | | | | | 4.000% | | | 08/22/19 | | | 1,100 | | | $ | 1,104,584 | |
Del Monte Foods Co. | | | | | 4.000% | | | 03/08/18 | | | 1,065 | | | | 1,066,129 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 2,170,713 | |
| | | | | | | | | | | | | | |
|
|
|
Healthcare & Pharmaceutical — 0.1% | | | | | | | | | | | | | | | | |
CHS/Community Health Systems, Inc. | | | | | 2.987% | | | 10/25/16 | | | 440 | | | | 440,205 | |
HCA, Inc. | | | | | 2.919% | | | 03/31/17 | | | 884 | | | | 883,797 | |
HCA, Inc. | | | | | 2.997% | | | 05/01/18 | | | 369 | | | | 368,583 | |
RPI Finance Trust | | | | | 3.250% | | | 11/09/18 | | | 1,058 | | | | 1,057,504 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 2,750,089 | |
| | | | | | | | | | | | | | |
|
|
|
Technology — 0.1% | | | | | | | | | | | | | | | | |
First Data Corp. | | | | | 4.164% | | | 03/24/17 | | | 162 | | | | 162,109 | |
First Data Corp. | | | | | 4.164% | | | 03/26/18 | | | 2,134 | | | | 2,135,030 | |
Sensata Technologies BV (Netherlands) | | | | | 3.250% | | | 05/12/19 | | | 150 | | | | 150,599 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 2,447,738 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL BANK LOANS
(cost $9,041,951) | | | | 9,125,415 | |
| | | | | | | | | | | | | | |
|
|
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 0.1% | | | | | | | | | | | |
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 | | | | | 6.000% | | | 01/25/36 | | | 2,238 | | | | 1,743,887 | |
Banc of America Mortgage Trust, Series 2005-A, Class 2A1 | | | | | 2.944% | (b) | | 02/25/35 | | | 445 | | | | 441,148 | |
Banc of America Mortgage Trust, Series 2005-B, Class 2A1 | | | | | 2.843% | (b) | | 03/25/35 | | | 383 | | | | 353,245 | |
Chase Mortgage Finance Trust Series, Series 2007-A1, Class 1A5 | | | | | 2.722% | (b) | | 02/25/37 | | | 1,029 | | | | 1,020,614 | |
Countrywide Alternative Loan Trust, Series 2004-18CB, Class 3A1 | | | | | 5.250% | | | 09/25/19 | | | 374 | | | | 380,971 | |
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1 | | | | | 2.737% | (b) | | 07/25/35 | | | 604 | | | | 600,176 | |
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | | | | | 5.000% | | | 04/25/19 | | | 125 | | | | 128,042 | |
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | | | | | 2.906% | (b) | | 02/25/34 | | | 456 | | | | 456,243 | |
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | | | | | 5.000% | | | 03/25/20 | | | 175 | | | | 177,982 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(cost $5,632,433) | | | | 5,302,308 | |
| | | | | | | | | | | | | | |
|
|
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.2% | | | | | | | | | | | |
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3 | | | | | 5.369% | | | 10/10/45 | | | 3,900 | | | | 3,985,203 | |
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A | | | | | 5.572% | (b) | | 04/10/49 | | | 6,839 | | | | 7,438,902 | |
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A3 | | | | | 5.596% | (b) | | 04/10/49 | | | 1,500 | | | | 1,534,082 | |
Banc of America Commercial Mortgage Trust, Series 2007-3, Class A2 | | | | | 5.649% | (b) | | 06/10/49 | | | 328 | | | | 327,617 | |
Banc of America Commercial Mortgage Trust, Series 2007-5, Class A3 | | | | | 5.620% | | | 02/10/51 | | | 1,877 | | | | 1,884,048 | |
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 | | | | | 5.705% | (b) | | 12/10/49 | | | 1,000 | | | | 1,118,384 | |
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 | | | | | 2.815% | | | 04/10/46 | | | 1,100 | | | | 1,020,953 | |
Commercial Mortgage Pass Through Certificates, Series 2012-CR3, Class A2 | | | | | 1.765% | | | 10/15/45 | | | 3,100 | | | | 3,073,191 | |
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3 | | | | | 2.540% | | | 12/10/45 | | | 1,000 | | | | 916,381 | |
Commercial Mortgage Pass-Through Certificates, Series 2013-CR12, Class A3 | | | | | 3.765% | | | 10/10/46 | | | 1,300 | | | | 1,279,658 | |
Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3 | | | | | 2.929% | | | 03/10/46 | | | 1,700 | | | | 1,595,287 | |
Commercial Mortgage Pass-Through Certificates, Series 2013-CR9, Class A3 | | | | | 4.022% | | | 07/10/45 | | | 1,400 | | | | 1,419,197 | |
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class A4 | | | | | 5.465% | (b) | | 02/15/39 | | | 2,700 | | | | 2,908,983 | |
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM | | | | | 5.465% | (b) | | 02/15/39 | | | 640 | | | | 683,867 | |
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C2, Class A4 | | | | | 4.832% | | | 04/15/37 | | | 1,900 | | | | 1,971,425 | |
CW Capital Cobalt Ltd., Series 2006-C1, Class A4 | | | | | 5.223% | | | 08/15/48 | | | 1,230 | | | | 1,327,160 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K017, Class A2 | | | | | 2.873% | | | 12/25/21 | | | 3,500 | | | | 3,423,315 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A74
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class A2 | | | | | 2.373% | | | 05/25/22 | | | 2,000 | | | $ | 1,865,982 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O | | | | | 1.473% | (b) | | 05/25/22 | | | 25,719 | | | | 2,418,681 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O | | | | | 1.512% | (b) | | 06/25/22 | | | 7,259 | | | | 712,541 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2 | | | | | 3.320% | | | 02/25/23 | | | 5,800 | | | | 5,736,484 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2 | | | | | 3.531% | | | 07/25/23 | | | 2,400 | | | | 2,400,250 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O | | | | | 1.751% | (b) | | 08/25/16 | | | 7,510 | | | | 234,173 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O | | | | | 1.783% | (b) | | 05/25/19 | | | 19,872 | | | | 1,599,287 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O | | | | | 1.710% | (b) | | 07/25/19 | | | 20,921 | | | | 1,644,884 | |
GE Capital Commercial Mortgage Corp., Series 2005-C4, Class A4 | | | | | 5.310% | (b) | | 11/10/45 | | | 2,585 | | | | 2,747,312 | |
GE Capital Commercial Mortgage Corp., Series 2006-C1, Class A4 | | | | | 5.280% | (b) | | 03/10/44 | | | 2,060 | | | | 2,206,301 | |
Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A3 | | | | | 4.569% | | | 08/10/42 | | | 131 | | | | 131,099 | |
Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A5 | | | | | 5.224% | (b) | | 04/10/37 | | | 8,050 | | | | 8,489,353 | |
Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A2 | | | | | 5.381% | | | 03/10/39 | | | 2,044 | | | | 2,089,942 | |
GS Mortgage Securities Trust, Series 2006-GG6, Class AAB | | | | | 5.587% | | | 04/10/38 | | | 3,076 | | | | 3,148,109 | |
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP7, Class A3A | | | | | 5.863% | (b) | | 04/15/45 | | | 38 | | | | 37,736 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP1, Class ASB | | | | | 4.853% | | | 03/15/46 | | | 571 | | | | 577,494 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP2, Class A3 | | | | | 4.697% | | | 07/15/42 | | | 187 | | | | 189,750 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP2, Class AM | | | | | 4.780% | | | 07/15/42 | | | 1,000 | | | | 1,045,511 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP2, Class ASB | | | | | 4.659% | | | 07/15/42 | | | 1,206 | | | | 1,224,185 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM | | | | | 4.999% | (b) | | 10/15/42 | | | 1,270 | | | | 1,345,070 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class ASB | | | | | 5.523% | | | 05/12/45 | | | 2,074 | | | | 2,159,530 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3 | | | | | 3.139% | | | 06/15/45 | | | 2,100 | | | | 2,116,086 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4 | | | | | 2.611% | | | 12/15/47 | | | 1,700 | | | | 1,560,751 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 | | | | | 2.875% | | | 12/15/47 | | | 3,900 | | | | 3,640,202 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2 | | | | | 3.070% | | | 12/15/46 | | | 2,700 | | | | 2,772,495 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | | | | | 2.694% | | | 04/15/46 | | | 1,400 | | | | 1,281,571 | |
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM | | | | | 5.263% | (b) | | 11/15/40 | | | 1,510 | | | | 1,618,471 | |
Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM | | | | | 5.676% | (b) | | 05/12/39 | | | 930 | | | | 1,002,479 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, Class AM | | | | | 5.518% | (b) | | 02/12/39 | | | 530 | | | | 573,344 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4 | | | | | 5.886% | (b) | | 06/12/46 | | | 1,795 | | | | 1,960,650 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A2 | | | | | 5.331% | | | 03/12/51 | | | 2,213 | | | | 2,216,489 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | | | | | 2.863% | | | 12/15/48 | | | 1,500 | | | | 1,404,818 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A75
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4 | | | | | 5.668% | (b) | | 10/15/42 | | | 2,265 | | | $ | 2,428,827 | |
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A31 | | | | | 5.439% | | | 02/12/44 | | | 649 | | | | 655,542 | |
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB | | | | | 5.444% | | | 02/12/44 | | | 2,839 | | | | 2,916,339 | |
Morgan Stanley Capital I Trust, Series 2007-T27, Class AAB | | | | | 5.648% | (b) | | 06/11/42 | | | 379 | | | | 385,974 | |
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | | | | | 2.792% | | | 12/10/45 | | | 1,700 | | | | 1,584,664 | |
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | | | | | 2.920% | | | 03/10/46 | | | 3,900 | | | | 3,654,542 | |
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | | | | | 2.971% | | | 04/10/46 | | | 1,800 | | | | 1,690,508 | |
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4 | | | | | 5.724% | (b) | | 05/15/43 | | | 700 | | | | 755,264 | |
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4(a) | | | | | 5.509% | | | 04/15/47 | | | 4,500 | | | | 4,911,462 | |
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A | | | | | 5.608% | (b) | | 05/15/46 | | | 1,330 | | | | 1,460,696 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $119,287,302) | | | | 118,502,501 | |
| | | | | | | | | | | | | | |
|
|
|
| CORPORATE BONDS — 7.0% | | | | | | | | | | | | | | | | |
Aerospace & Defense | | | | | | | | | | | | | | | | |
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A | | | | | 6.300% | | | 05/01/14 | | | 1,075 | | | | 1,091,125 | |
| | | | | | | | | | | | | | |
|
|
|
Airlines — 0.1% | | | | | | | | | | | | | | | | |
Continental Airlines, Inc. 1998-1 Class A Pass-Through Trust, Pass-Through Certificates | | | | | 6.648% | | | 09/15/17 | | | 153 | | | | 160,346 | |
Continental Airlines, Inc. 2010-1 Class A Pass-Through Trust, Pass-Through Certificates(a) | | | | | 4.750% | | | 01/12/21 | | | 763 | | | | 810,413 | |
Continental Airlines, Inc. 2012-2 Class A Pass-Through Trust, Pass-Through Certificates | | | | | 4.000% | | | 10/29/24 | | | 705 | | | | 701,475 | |
Continental Airlines, Inc., 2009-2 Class A Pass-Through Trust, Pass-Through Certificates, Series 2009-2 | | | | | 7.250% | | | 11/10/19 | | | 653 | | | | 747,228 | |
Delta Air Lines 2007-1, Class A Pass-Through Trust, Pass-Through Certificates | | | | | 6.821% | | | 08/10/22 | | | 350 | | | | 394,433 | |
Delta Air Lines 2010-2, Class A Pass-Through Trust, Pass-Through Certificates(a) | | | | | 4.950% | | | 05/23/19 | | | 592 | | | | 638,220 | |
Delta Air Lines 2011-1, Class A Pass-Through Trust, Pass-Through Certificates | | | | | 5.300% | | | 04/15/19 | | | 1,133 | | | | 1,234,653 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 4,686,768 | |
| | | | | | | | | | | | | | |
|
|
|
Automotive — 0.1% | | | | | | | | | | | | | | | | |
Cummins, Inc., Sr. Unsec’d. Notes | | | | | 4.875% | | | 10/01/43 | | | 90 | | | | 90,134 | |
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | | | | | 4.207% | | | 04/15/16 | | | 2,090 | | | | 2,226,974 | |
General Motors Co., Sr. Unsec’d. Notes, 144A(a) | | | | | 4.875% | | | 10/02/23 | | | 995 | | | | 1,007,438 | |
General Motors Co., Sr. Unsec’d. Notes, 144A | | | | | 6.250% | | | 10/02/43 | | | 1,395 | | | | 1,449,056 | |
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A | | | | | 2.700% | | | 03/15/17 | | | 450 | | | | 461,315 | |
Johnson Controls, Inc., Sr. Unsec’d. Notes | | | | | 5.500% | | | 01/15/16 | | | 245 | | | | 266,127 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 5,501,044 | |
| | | | | | | | | | | | | | |
|
|
|
Banking — 1.9% | | | | | | | | | | | | | | | | |
American Express Co., Sr. Unsec’d. Notes | | | | | 2.650% | | | 12/02/22 | | | 2,213 | | | | 2,052,943 | |
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A | | | | | 3.875% | | | 09/20/22 | | | 645 | | | | 608,345 | |
Bank of America Corp., Jr. Sub. Notes, Series K(a) | | | | | 8.000% | (b) | | 12/29/49 | | | 2,200 | | | | 2,437,600 | |
Bank of America Corp., Sr. Unsec’d. Notes, MTN | | | | | 3.300% | | | 01/11/23 | | | 780 | | | | 738,088 | |
Bank of America Corp., Sr. Unsec’d. Notes | | | | | 4.500% | | | 04/01/15 | | | 595 | | | | 622,475 | |
Bank of America Corp., Sr. Unsec’d. Notes, MTN | | | | | 5.000% | | | 05/13/21 | | | 630 | | | | 688,447 | |
Bank of America Corp., Sr. Unsec’d. Notes | | | | | 5.700% | | | 01/24/22 | | | 1,770 | | | | 2,003,383 | |
Bank of America Corp., Sr. Unsec’d. Notes | | | | | 6.000% | | | 09/01/17 | | | 1,075 | | | | 1,227,426 | |
Bank of America Corp., Sr. Unsec’d. Notes, Series 1 | | | | | 3.750% | | | 07/12/16 | | | 870 | | | | 924,912 | |
Bank of America Corp., Sub. Notes | | | | | 5.750% | | | 08/15/16 | | | 1,775 | | | | 1,957,488 | |
Bank of America NA, Sub. Notes | | | | | 5.300% | | | 03/15/17 | | | 930 | | | | 1,025,066 | |
Bank of America NA, Sub. Notes | | | | | 6.000% | | | 10/15/36 | | | 410 | | | | 470,540 | |
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes | | | | | 5.300% | | | 10/30/15 | | | 515 | | | | 555,490 | |
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes | | | | | 6.400% | | | 10/02/17 | | | 330 | | | | 382,985 | |
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes | | | | | 7.250% | | | 02/01/18 | | | 1,175 | | | | 1,406,911 | |
Capital One Bank USA NA, Sub. Notes(a) | | | | | 3.375% | | | 02/15/23 | | | 1,560 | | | | 1,450,301 | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | | | 3.875% | | | 10/25/23 | | | 1,900 | | | | 1,867,810 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A76
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Banking (continued) | | | | | | | | | | | | | | | | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | | | 3.953% | | | 06/15/16 | | | 1,010 | | | $ | 1,074,541 | |
Citigroup, Inc., Sr. Unsec’d. Notes(a) | | | | | 4.500% | | | 01/14/22 | | | 2,450 | | | | 2,596,294 | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | | | 4.750% | | | 05/19/15 | | | 2,265 | | | | 2,383,351 | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | | | 6.875% | | | 03/05/38 | | | 69 | | | | 84,849 | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | | | 8.125% | | | 07/15/39 | | | 710 | | | | 995,908 | |
Citigroup, Inc., Sr. Unsec’d. Notes | | | | | 8.500% | | | 05/22/19 | | | 1,895 | | | | 2,428,611 | |
Citigroup, Inc., Sub. Notes | | | | | 5.000% | | | 09/15/14 | | | 454 | | | | 466,932 | |
Citigroup, Inc., Sub. Notes | | | | | 6.125% | | | 08/25/36 | | | 570 | | | | 607,717 | |
Discover Bank, Sub. Notes | | | | | 7.000% | | | 04/15/20 | | | 570 | | | | 662,903 | |
Discover Financial Services, Sr. Unsec’d. Notes | | | | | 3.850% | | | 11/21/22 | | | 900 | | | | 853,353 | |
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(a) | | | | | 3.625% | | | 02/07/16 | | | 2,000 | | | | 2,098,960 | |
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | | | | | 5.250% | | | 07/27/21 | | | 2,055 | | | | 2,249,900 | |
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | | | | | 5.750% | | | 01/24/22 | | | 3,620 | | | | 4,074,991 | |
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | | | | | 6.250% | | | 02/01/41 | | | 270 | | | | 311,148 | |
Goldman Sachs Group, Inc. (The), Sub. Notes | | | | | 5.625% | | | 01/15/17 | | | 1,190 | | | | 1,311,306 | |
Goldman Sachs Group, Inc. (The), Sub. Notes | | | | | 6.750% | | | 10/01/37 | | | 104 | | | | 115,705 | |
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes(a) | | | | | 4.875% | | | 01/14/22 | | | 1,910 | | | | 2,061,119 | |
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes(a) | | | | | 5.100% | | | 04/05/21 | | | 1,025 | | | | 1,139,235 | |
Huntington Bancshares, Inc., Sub. Notes(a) | | | | | 7.000% | | | 12/15/20 | | | 170 | | | | 197,138 | |
Intesa Sanpaolo SpA (Italy), Sr. Unsec’d. Notes | | | | | 3.125% | | | 01/15/16 | | | 1,395 | | | | 1,421,591 | |
JPMorgan Chase & Co., Jr. Sub. Notes | | | | | 7.900% | (b) | | 04/29/49 | | | 2,000 | | | | 2,205,000 | |
JPMorgan Chase & Co., Sr. Unsec’d. Notes | | | | | 4.250% | | | 10/15/20 | | | 2,930 | | | | 3,105,908 | |
JPMorgan Chase & Co., Sub. Notes | | | | | 5.625% | | | 08/16/43 | | | 490 | | | | 517,819 | |
Lloyds Bank PLC (United Kingdom), Bank Gtd. Notes(a) | | | | | 6.375% | | | 01/21/21 | | | 1,400 | | | | 1,650,873 | |
Lloyds TSB Bank PLC (United Kingdom), Bank Gtd. Notes, MTN, 144A | | | | | 5.800% | | | 01/13/20 | | | 1,870 | | | | 2,143,897 | |
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN | | | | | 6.400% | | | 08/28/17 | | | 20 | | | | 23,058 | |
Morgan Stanley, Notes, MTN(a) | | | | | 5.450% | | | 01/09/17 | | | 1,345 | | | | 1,491,606 | |
Morgan Stanley, Notes, MTN | | | | | 6.625% | | | 04/01/18 | | | 105 | | | | 122,860 | |
Morgan Stanley, Sr. Unsec’d. Notes, MTN | | | | | 5.500% | | | 07/28/21 | | | 2,360 | | | | 2,637,201 | |
Morgan Stanley, Sr. Unsec’d. Notes, MTN | | | | | 5.625% | | | 09/23/19 | | | 1,415 | | | | 1,608,411 | |
Morgan Stanley, Sr. Unsec’d. Notes | | | | | 5.750% | | | 01/25/21 | | | 1,400 | | | | 1,583,770 | |
Morgan Stanley, Sr. Unsec’d. Notes | | | | | 6.375% | | | 07/24/42 | | | 780 | | | | 913,599 | |
MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes | | | | | 6.346% | (b) | | 07/29/49 | | | 800 | | | | 866,594 | |
Northern Trust Corp., Sub. Notes | | | | | 3.950% | | | 10/30/25 | | | 990 | | | | 964,750 | |
People’s United Financial, Inc., Sr. Unsec’d. Notes | | | | | 3.650% | | | 12/06/22 | | | 1,455 | | | | 1,375,569 | |
PNC Bank NA, Sub. Notes | | | | | 3.800% | | | 07/25/23 | | | 270 | | | | 261,856 | |
PNC Funding Corp., Gtd. Notes | | | | | 6.700% | | | 06/10/19 | | | 440 | | | | 528,517 | |
Royal Bank of Scotland Group PLC (The) (United Kingdom), Sr. Unsec’d. Notes | | | | | 2.550% | | | 09/18/15 | | | 455 | | | | 465,354 | |
Santander Holdings USA, Inc., Sr. Unsec’d. Notes | | | | | 3.000% | | | 09/24/15 | | | 955 | | | | 986,180 | |
US Bancorp, Sub. Notes, MTN | | | | | 2.950% | | | 07/15/22 | | | 1,120 | | | | 1,040,621 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 72,049,205 | |
| | | | | | | | | | | | | | |
|
|
|
Brokerage — 0.1% | | | | | | | | | | | | | | | | |
Jefferies Group LLC, Sr. Unsec’d. Notes | | | | | 6.500% | | | 01/20/43 | | | 560 | | | | 555,288 | |
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(c) | | | | | 6.875% | | | 02/06/12 | | | 1,715 | | | | 364,438 | |
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(c) | | | | | 6.875% | | | 05/02/18 | | | 700 | | | | 151,375 | |
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN | | | | | 2.000% | | | 09/13/16 | | | 820 | | | | 826,779 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 1,897,880 | |
| | | | | | | | | | | | | | |
|
|
|
Building Materials & Construction — 0.1% | | | | | | | | | | | | | | | | |
D.R. Horton, Inc., Gtd. Notes | | | | | 3.625% | | | 02/15/18 | | | 1,150 | | | | 1,167,250 | |
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A(a) | | | | | 5.125% | | | 06/26/22 | | | 700 | | | | 685,125 | |
Owens Corning, Inc., Gtd. Notes | | | | | 4.200% | | | 12/15/22 | | | 775 | | | | 740,072 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 2,592,447 | |
| | | | | | | | | | | | | | |
|
|
|
Cable — 0.2% | | | | | | | | | | | | | | | | |
Cablevision Systems Corp., Sr. Unsec’d. Notes | | | | | 8.625% | | | 09/15/17 | | | 1,000 | | | | 1,165,000 | |
Comcast Cable Communications Holdings, Inc., Gtd. Notes | | | | | 9.455% | | | 11/15/22 | | | 255 | | | | 353,194 | |
Comcast Corp., Gtd. Notes | | | | | 6.400% | | | 05/15/38 | | | 570 | | | | 658,206 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A77
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS (continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Cable (continued) | | | | | | | | | | | | | | | | |
Comcast Corp., Gtd. Notes | | | | | 6.450% | | | 03/15/37 | | | 155 | | | $ | 179,884 | |
Comcast Corp., Gtd. Notes | | | | | 6.500% | | | 11/15/35 | | | 450 | | | | 524,881 | |
Comcast Corp., Gtd. Notes | | | | | 6.950% | | | 08/15/37 | | | 605 | | | | 743,727 | |
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | | | | | 3.500% | | | 03/01/16 | | | 920 | | | | 965,714 | |
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | | | | | 3.550% | | | 03/15/15 | | | 165 | | | | 170,439 | |
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | | | | | 5.150% | | | 03/15/42 | | | 860 | | | | 772,368 | |
Time Warner Cable, Inc., Gtd. Notes | | | | | 5.850% | | | 05/01/17 | | | 1,710 | | | | 1,865,094 | |
Time Warner Cable, Inc., Gtd. Notes | | | | | 7.500% | | | 04/01/14 | | | 345 | | | | 350,728 | |
Videotron Ltd. (Canada), Gtd. Notes | | | | | 5.000% | | | 07/15/22 | | | 1,040 | | | | 1,016,600 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 8,765,835 | |
| | | | | | | | | | | | | | |
|
|
|
Capital Goods — 0.3% | | | | | | | | | | | | | | | | |
Actuant Corp., Gtd. Notes | | | | | 5.625% | | | 06/15/22 | | | 1,205 | | | | 1,220,063 | |
Case New Holland, Inc., Gtd. Notes(a) | | | | | 7.875% | | | 12/01/17 | | | 1,255 | | | | 1,480,900 | |
ERAC USA Finance LLC, Gtd. Notes, 144A
(original cost $1,299,722; purchased 10/10/07) | | | | | 6.375% | | | 10/15/17(d)(e) | | | 1,302 | | | | 1,506,652 | |
ERAC USA Finance LLC, Gtd. Notes, 144A
(original cost $501,539; purchased 05/30/13) | | | | | 6.700% | | | 06/01/34(d)(e) | | | 420 | | | | 466,204 | |
ERAC USA Finance LLC, Gtd. Notes, 144A
(original cost $376,709; purchased 10/10/07) | | | | | 7.000% | | | 10/15/37(d)(e) | | | 380 | | | | 449,701 | |
General Electric Co., Sr. Unsec’d. Notes(a) | | | | | 4.125% | | | 10/09/42 | | | 485 | | | | 448,071 | |
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A
(original cost $384,850; purchased 07/10/12) | | | | | 2.500% | | | 07/11/14(d)(e) | | | 385 | | | | 388,134 | |
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A
(original cost $1,887,203; purchased 09/24/12) | | | | | 2.500% | | | 03/15/16(d)(e) | | | 1,890 | | | | 1,936,337 | |
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A
(original cost $499,515; purchased 05/08/12) | | | | | 3.125% | | | 05/11/15(d)(e) | | | 500 | | | | 514,240 | |
United Technologies Corp., Sr. Unsec’d. Notes | | | | | 4.500% | | | 06/01/42 | | | 1,445 | | | | 1,403,221 | |
Xylem, Inc., Sr. Unsec’d. Notes | | | | | 4.875% | | | 10/01/21 | | | 1,260 | | | | 1,313,473 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 11,126,996 | |
| | | | | | | | | | | | | | |
|
|
|
Chemicals — 0.1% | | | | | | | | | | | | | | | | |
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | | | | | 3.150% | | | 10/01/22 | | | 780 | | | | 714,853 | |
Dow Chemical Co. (The), Sr. Unsec’d. Notes(a) | | | | | 9.400% | | | 05/15/39 | | | 432 | | | | 645,369 | |
LyondellBasell Industries NV, Sr. Unsec’d. Notes | | | | | 5.000% | | | 04/15/19 | | | 1,000 | | | | 1,110,621 | |
Mosaic Co. (The), Sr. Unsec’d. Notes | | | | | 5.450% | | | 11/15/33 | | | 485 | | | | 494,141 | |
Mosaic Co. (The), Sr. Unsec’d. Notes | | | | | 5.625% | | | 11/15/43 | | | 1,020 | | | | 1,034,772 | |
Rhodia SA (France), Sr. Unsec’d. Notes, 144A | | | | | 6.875% | | | 09/15/20 | | | 1,175 | | | | 1,300,678 | |
Union Carbide Corp., Sr. Unsec’d. Notes | | | | | 7.500% | | | 06/01/25 | | | 460 | | | | 532,691 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 5,833,125 | |
| | | | | | | | | | | | | | |
|
|
|
Consumer — 0.1% | | | | | | | | | | | | | | | | |
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes | | | | | 6.250% | | | 04/15/18 | | | 1,700 | | | | 1,925,106 | |
| | | | | | | | | | | | | | |
|
|
|
Electric — 0.4% | | | | | | | | | | | | | | | | |
Arizona Public Service Co., Sr. Unsec’d. Notes | | | | | 6.250% | | | 08/01/16 | | | 175 | | | | 196,344 | |
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | | | | | 6.350% | | | 10/01/36 | | | 550 | | | | 646,416 | |
Calpine Corp., Sr. Sec’d. Notes, 144A | | | | | 7.500% | | | 02/15/21 | | | 871 | | | | 950,479 | |
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge. | | | | | 6.950% | | | 03/15/33 | | | 590 | | | | 757,958 | |
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A | | | | | 4.875% | | | 01/15/24 | | | 645 | | | | 640,163 | |
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes | | | | | 5.500% | | | 12/01/39 | | | 220 | | | | 242,864 | |
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes, 144A | | | | | 4.800% | | | 11/01/43 | | | 65 | | | | 62,845 | |
Duke Energy Carolinas LLC, First Mtge. Bonds | | | | | 6.050% | | | 04/15/38 | | | 550 | | | | 652,791 | |
Duke Energy Carolinas LLC, First Ref. Mortgage(a) | | | | | 4.000% | | | 09/30/42 | | | 570 | | | | 514,486 | |
El Paso Electric Co., Sr. Unsec’d. Notes | | | | | 6.000% | | | 05/15/35 | | | 670 | | | | 695,028 | |
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes(a) | | | | | 8.625% | | | 08/01/15 | | | 1,295 | | | | 1,426,625 | |
Energy East Corp. (Spain), Gtd. Notes | | | | | 6.750% | | | 09/15/33 | | | 145 | | | | 153,218 | |
Exelon Corp., Sr. Unsec’d. Notes | | | | | 4.900% | | | 06/15/15 | | | 155 | | | | 163,417 | |
Exelon Generation Co. LLC, Sr. Unsec’d. Notes(a) | | | | | 6.250% | | | 10/01/39 | | | 1,425 | | | | 1,444,076 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A78
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS (continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Electric (continued) | | | | | | | | | | | | | | | | |
Florida Power & Light Co., First Mtge. Bonds | | | | | 5.950% | | | 10/01/33 | | | 295 | | | $ | 347,346 | |
MidAmerican Energy Holdings Co., Sr. Unsec’d. Notes | | | | | 5.950% | | | 05/15/37 | | | 300 | | | | 328,280 | |
Nevada Power Co., Gen. Ref. Mtge. | | | | | 6.500% | | | 05/15/18 | | | 1,260 | | | | 1,485,158 | |
Niagara Mohawk Power Corp. (United Kingdom), Sr. Unsec’d. Notes, 144A | | | | | 4.881% | | | 08/15/19 | | | 610 | | | | 674,327 | |
NSTAR LLC, Sr. Unsec’d. Notes | | | | | 4.500% | | | 11/15/19 | | | 615 | | | | 667,503 | |
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes | | | | | 6.375% | | | 01/15/15 | | | 345 | | | | 363,977 | |
Public Service Co. of New Mexico, Sr. Unsec’d. Notes | | | | | 7.950% | | | 05/15/18 | | | 140 | | | | 166,414 | |
Public Service Electric & Gas Co, Sr. Sec’d. Notes, MTN | | | | | 5.800% | | | 05/01/37 | | | 535 | | | | 614,086 | |
Xcel Energy, Inc., Sr. Unsec’d. Notes | | | | | 4.800% | | | 09/15/41 | | | 480 | | | | 467,418 | |
Xcel Energy, Inc., Sr. Unsec’d. Notes | | | | | 5.613% | | | 04/01/17 | | | 199 | | | | 219,253 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 13,880,472 | |
| | | | | | | | | | | | | | |
|
|
|
Energy – Integrated | | | | | | | | | | | | | | | | |
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A | | | | | 5.375% | | | 01/26/19 | | | 460 | | | | 463,450 | |
Reliance Holdings USA, Inc. (India), Gtd. Notes, 144A | | | | | 5.400% | | | 02/14/22 | | | 800 | | | | 809,074 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 1,272,524 | |
| | | | | | | | | | | | | | |
|
|
|
Energy – Other — 0.3% | | | | | | | | | | | | | | | | |
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | | | | | 6.375% | | | 09/15/17 | | | 1,195 | | | | 1,371,942 | |
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | | | | | 6.450% | | | 09/15/36 | | | 325 | | | | 364,954 | |
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | | | | | 6.950% | | | 06/15/19 | | | 250 | | | | 297,558 | |
Anadarko Petroleum Corp., Sr. Unsec’d. Notes(f) | | | | | 7.790% | | | 10/10/36 | | | 2,000 | | | | 714,180 | |
Cameron International Corp., Sr. Unsec’d. Notes | | | | | 4.500% | | | 06/01/21 | | | 2,200 | | | | 2,287,666 | |
Nabors Industries, Inc., Gtd. Notes | | | | | 4.625% | | | 09/15/21 | | | 1,070 | | | | 1,071,254 | |
Phillips 66, Gtd. Notes | | | | | 2.950% | | | 05/01/17 | | | 490 | | | | 509,791 | |
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | | | | | 6.875% | | | 05/01/18 | | | 1,500 | | | | 1,756,367 | |
Transocean, Inc., Gtd. Notes(a) | | | | | 2.500% | | | 10/15/17 | | | 920 | | | | 929,746 | |
Weatherford International Ltd., Gtd. Notes(a) | | | | | 5.125% | | | 09/15/20 | | | 810 | | | | 870,149 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 10,173,607 | |
| | | | | | | | | | | | | | |
|
|
|
Foods — 0.3% | | | | | | | | | | | | | | | | |
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes | | | | | 8.000% | | | 11/15/39 | | | 1,285 | | | | 1,851,941 | |
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes | | | | | 8.200% | | | 01/15/39 | | | 250 | | | | 365,640 | |
Bunge Ltd. Finance Corp., Gtd. Notes | | | | | 5.350% | | | 04/15/14 | | | 1,040 | | | | 1,053,218 | |
Bunge Ltd. Finance Corp., Gtd. Notes | | | | | 8.500% | | | 06/15/19 | | | 985 | | | | 1,210,056 | |
Constellation Brands, Inc., Gtd. Notes | | | | | 4.250% | | | 05/01/23 | | | 1,400 | | | | 1,305,500 | |
Darling International, Inc., Gtd. Notes | | | | | 8.500% | | | 12/15/18 | | | 1,200 | | | | 1,323,000 | |
Delhaize Group SA (Belgium), Gtd. Notes | | | | | 6.500% | | | 06/15/17 | | | 480 | | | | 539,084 | |
TreeHouse Foods, Inc., Gtd. Notes | | | | | 7.750% | | | 03/01/18 | | | 1,271 | | | | 1,331,373 | |
Tyson Foods, Inc., Gtd. Notes | | | | | 6.600% | | | 04/01/16 | | | 735 | | | | 820,449 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 9,800,261 | |
| | | | | | | | | | | | | | |
|
|
|
Healthcare & Pharmaceutical — 0.2% | | | | | | | | | | | | | | | | |
Actavis PLC, Sr. Unsec’d. Notes(a) | | | | | 4.625% | | | 10/01/42 | | | 560 | | | | 509,488 | |
Actavis, Inc., Sr. Unsec’d. Notes | | | | | 6.125% | | | 08/15/19 | | | 445 | | | | 512,990 | |
Amgen, Inc., Sr. Unsec’d. Notes | | | | | 5.150% | | | 11/15/41 | | | 1,640 | | | | 1,633,909 | |
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes | | | | | 5.125% | | | 08/15/18 | | | 1,100 | | | | 1,135,750 | |
Gilead Sciences, Inc., Sr. Unsec’d. Notes(a) | | | | | 5.650% | | | 12/01/41 | | | 185 | | | | 205,949 | |
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes(a) | | | | | 3.750% | | | 08/23/22 | | | 180 | | | | 174,356 | |
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | | | | | 5.625% | | | 12/15/15 | | | 580 | | | | 629,740 | |
Merck Sharp & Dohme Corp., Gtd. Notes | | | | | 5.950% | | | 12/01/28 | | | 165 | | | | 192,431 | |
Mylan, Inc., Gtd. Notes, 144A | | | | | 1.800% | | | 06/24/16 | | | 425 | | | | 433,269 | |
Thermo Fisher Scientific, Inc., Sr. Unsec’d. Notes | | | | | 4.150% | | | 02/01/24 | | | 1,215 | | | | 1,203,455 | |
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A | | | | | 6.500% | | | 07/15/16 | | | 498 | | | | 514,185 | |
Wyeth LLC, Gtd. Notes | | | | | 6.450% | | | 02/01/24 | | | 60 | | | | 71,840 | |
Zoetis, Inc., Sr. Unsec’d. Notes | | | | | 4.700% | | | 02/01/43 | | | 190 | | | | 177,585 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 7,394,947 | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A79
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS (continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Healthcare Insurance — 0.2% | | | | | | | | | | | | | | | | |
Aetna, Inc., Sr. Unsec’d. Notes | | | | | 6.500% | | | 09/15/18 | | | 1,570 | | | $ | 1,849,361 | |
Aetna, Inc., Sr. Unsec’d. Notes | | | | | 6.625% | | | 06/15/36 | | | 515 | | | | 615,776 | |
Cigna Corp., Sr. Unsec’d. Notes | | | | | 5.875% | | | 03/15/41 | | | 650 | | | | 716,984 | |
Cigna Corp., Sr. Unsec’d. Notes | | | | | 6.150% | | | 11/15/36 | | | 670 | | | | 755,005 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | | | 3.950% | | | 10/15/42 | | | 260 | | | | 220,497 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | | | 6.000% | | | 06/15/17 | | | 195 | | | | 223,784 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | | | 6.500% | | | 06/15/37 | | | 420 | | | | 498,280 | |
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | | | | | 6.625% | | | 11/15/37 | | | 420 | | | | 508,139 | |
WellPoint, Inc., Sr. Unsec’d. Notes | | | | | 4.625% | | | 05/15/42 | | | 390 | | | | 360,443 | |
WellPoint, Inc., Sr. Unsec’d. Notes | | | | | 4.650% | | | 01/15/43 | | | 995 | | | | 921,173 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 6,669,442 | |
| | | | | | | | | | | | | | |
|
|
|
Insurance — 0.6% | | | | | | | | | | | | | | | | |
Allied World Assurance Co. Ltd., Gtd. Notes | | | | | 5.500% | | | 11/15/20 | | | 525 | | | | 567,790 | |
Allstate Corp. (The), Sr. Unsec’d. Notes | | | | | 4.500% | | | 06/15/43 | | | 150 | | | | 141,926 | |
American International Group, Inc., Sr. Unsec’d. Notes | | | | | 6.400% | | | 12/15/20 | | | 2,425 | | | | 2,866,013 | |
American International Group, Inc., Sr. Unsec’d. Notes | | | | | 8.250% | | | 08/15/18 | | | 990 | | | | 1,238,371 | |
Aon Corp., Gtd. Notes | | | | | 3.125% | | | 05/27/16 | | | 2,655 | | | | 2,768,820 | |
Axis Specialty Finance LLC, Gtd. Notes | | | | | 5.875% | | | 06/01/20 | | | 1,030 | | | | 1,129,918 | |
Chubb Corp. (The), Jr. Sub. Notes(a) | | | | | 6.375% | (b) | | 03/29/67 | | | 1,300 | | | | 1,407,250 | |
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes | | | | | 5.125% | | | 04/15/22 | | | 755 | | | | 822,354 | |
Liberty Mutual Group, Inc., Gtd. Notes, 144A | | | | | 6.500% | | | 05/01/42 | | | 365 | | | | 400,570 | |
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A | | | | | 7.000% | | | 03/15/34 | | | 850 | | | | 970,914 | |
Lincoln National Corp., Jr. Sub. Notes | | | | | 6.050% | (b) | | 04/20/67 | | | 260 | | | | 258,050 | |
Lincoln National Corp., Sr. Unsec’d. Notes | | | | | 6.300% | | | 10/09/37 | | | 492 | | | | 565,680 | |
Lincoln National Corp., Sr. Unsec’d. Notes | | | | | 7.000% | | | 06/15/40 | | | 705 | | | | 883,275 | |
Lincoln National Corp., Sr. Unsec’d. Notes | | | | | 8.750% | | | 07/01/19 | | | 605 | | | | 778,729 | |
Markel Corp., Sr. Unsec’d. Notes | | | | | 5.000% | | | 03/30/43 | | | 200 | | | | 187,039 | |
MetLife, Inc., Sr. Unsec’d. Notes | | | | | 5.700% | | | 06/15/35 | | | 835 | | | | 911,939 | |
MetLife, Inc., Sr. Unsec’d. Notes | | | | | 6.375% | | | 06/15/34 | | | 400 | | | | 473,067 | |
New York Life Insurance Co., Sub. Notes, 144A(a) | | | | | 6.750% | | | 11/15/39 | | | 660 | | | | 805,086 | |
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A | | | | | 6.063% | | | 03/30/40 | | | 370 | | | | 415,699 | |
Ohio National Financial Services, Inc., Sr. Notes, 144A | | | | | 6.375% | | | 04/30/20 | | | 680 | | | | 753,961 | |
Pacific Life Insurance Co., Sub. Notes, 144A | | | | | 9.250% | | | 06/15/39 | | | 995 | | | | 1,381,767 | |
Principal Financial Group, Inc., Gtd. Notes | | | | | 4.625% | | | 09/15/42 | | | 130 | | | | 122,136 | |
Progressive Corp. (The), Jr. Sub. Notes | | | | | 6.700% | (b) | | 06/15/37 | | | 735 | | | | 793,800 | |
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | | | | | 6.850% | | | 12/16/39 | | | 1,450 | | | | 1,789,864 | |
Unum Group, Sr. Unsec’d. Notes | | | | | 5.625% | | | 09/15/20 | | | 350 | | | | 383,651 | |
W.R. Berkley Corp., Sr. Unsec’d. Notes | | | | | 5.600% | | | 05/15/15 | | | 555 | | | | 585,860 | |
W.R. Berkley Corp., Sr. Unsec’d. Notes | | | | | 6.150% | | | 08/15/19 | | | 460 | | | | 518,248 | |
XL Group PLC (Ireland), Sr. Unsec’d. Notes | | | | | 5.250% | | | 09/15/14 | | | 85 | | | | 87,610 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 24,009,387 | |
| | | | | | | | | | | | | | |
|
|
|
Lodging — 0.2% | | | | | | | | | | | | | | | | |
Choice Hotels International, Inc., Gtd. Notes | | | | | 5.750% | | | 07/01/22 | | | 1,000 | | | | 1,043,750 | |
Marriott International, Inc., Sr. Unsec’d. Notes | | | | | 3.000% | | | 03/01/19 | | | 580 | | | | 584,063 | |
Marriott International, Inc., Sr. Unsec’d. Notes | | | | | 3.250% | | | 09/15/22 | | | 980 | | | | 913,664 | |
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes | | | | | 6.750% | | | 05/15/18 | | | 2,800 | | | | 3,240,756 | |
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | | | | | 2.500% | | | 03/01/18 | | | 490 | | | | 488,337 | |
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | | | | | 4.250% | | | 03/01/22 | | | 1,055 | | | | 1,029,650 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 7,300,220 | |
| | | | | | | | | | | | | | |
|
|
|
Media & Entertainment — 0.2% | | | | | | | | | | | | | | | | |
Belo Corp., Gtd. Notes | | | | | 8.000% | | | 11/15/16 | | | 1,200 | | | | 1,251,000 | |
CBS Corp., Gtd. Notes
(original cost $417,944; purchased 07/16/12) | | | | | 4.850% | | | 07/01/42(d)(e) | | | 400 | | | | 360,420 | |
Historic TW, Inc., Gtd. Notes | | | | | 9.150% | | | 02/01/23 | | | 505 | | | | 669,671 | |
News America, Inc., Gtd. Notes | | | | | 6.150% | | | 03/01/37 | | | 620 | | | | 681,435 | |
News America, Inc., Gtd. Notes(a) | | | | | 6.150% | | | 02/15/41 | | | 1,315 | | | | 1,465,600 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A80
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS (continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Media & Entertainment (continued) | | | | | | | | | | | | | | | | |
News America, Inc., Gtd. Notes | | | | | 6.900% | | | 08/15/39 | | | 90 | | | $ | 107,267 | |
Time Warner, Inc., Gtd. Notes(a) | | | | | 6.200% | | | 03/15/40 | | | 210 | | | | 231,349 | |
Time Warner, Inc., Gtd. Notes | | | | | 6.250% | | | 03/29/41 | | | 1,465 | | | | 1,626,856 | |
Time Warner, Inc., Gtd. Notes | | | | | 7.625% | | | 04/15/31 | | | 180 | | | | 227,802 | |
Viacom, Inc., Sr. Unsec’d. Notes(a) | | | | | 4.500% | | | 02/27/42 | | | 50 | | | | 42,658 | |
Viacom, Inc., Sr. Unsec’d. Notes | | | | | 5.850% | | | 09/01/43 | | | 605 | | | | 635,989 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 7,300,047 | |
| | | | | | | | | | | | | | |
|
|
|
Metals — 0.1% | | | | | | | | | | | | | | | | |
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes | | | | | 5.000% | | | 09/30/43 | | | 920 | | | | 935,402 | |
Newmont Mining Corp., Gtd. Notes | | | | | 6.250% | | | 10/01/39 | | | 35 | | | | 30,958 | |
Peabody Energy Corp., Gtd. Notes | | | | | 6.000% | | | 11/15/18 | | | 725 | | | | 772,125 | |
Southern Copper Corp., Sr. Unsec’d. Notes | | | | | 7.500% | | | 07/27/35 | | | 425 | | | | 442,879 | |
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A | | | | | 2.050% | | | 10/23/15 | | | 1,110 | | | | 1,124,127 | |
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A | | | | | 2.700% | | | 10/25/17 | | | 1,220 | | | | 1,233,848 | |
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A | | | | | 2.850% | | | 11/10/14 | | | 1,185 | | | | 1,201,448 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 5,740,787 | |
| | | | | | | | | | | | | | |
|
|
|
Non-Captive Finance — 0.2% | | | | | | | | | | | | | | | | |
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN(a) | | | | | 5.875% | | | 01/14/38 | | | 1,750 | | | | 1,993,450 | |
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | | | | | 6.000% | | | 08/07/19 | | | 920 | | | | 1,079,447 | |
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | | | | | 6.875% | | | 01/10/39 | | | 1,625 | | | | 2,089,094 | |
International Lease Finance Corp., Sr. Unsec’d. Notes | | | | | 5.750% | | | 05/15/16 | | | 375 | | | | 401,719 | |
SLM Corp., Sr. Unsec’d. Notes, MTN | | | | | 6.250% | | | 01/25/16 | | | 570 | | | | 615,600 | |
SLM Corp., Sr. Unsec’d. Notes, MTN | | | | | 8.450% | | | 06/15/18 | | | 240 | | | | 279,600 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 6,458,910 | |
| | | | | | | | | | | | | | |
|
|
|
Packaging — 0.1% | | | | | | | | | | | | | | | | |
Ball Corp., Gtd. Notes | | | | | 4.000% | | | 11/15/23 | | | 2,015 | | | | 1,803,425 | |
Crown Americas LLC/Crown Americas Capital Corp. IV(a) | | | | | 4.500% | | | 01/15/23 | | | 1,100 | | | | 1,028,500 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 2,831,925 | |
| | | | | | | | | | | | | | |
|
|
|
Paper — 0.1% | | | | | | | | | | | | | | | | |
Georgia-Pacific LLC, Gtd. Notes, 144A
(original cost $288,298; purchased 10/27/10) | | | | | 5.400% | | | 11/01/20(d)(e) | | | 290 | | | | 324,017 | |
International Paper Co., Sr. Unsec’d. Notes(a) | | | | | 6.000% | | | 11/15/41 | | | 1,595 | | | | 1,732,100 | |
International Paper Co., Sr. Unsec’d. Notes | | | | | 7.950% | | | 06/15/18 | | | 510 | | | | 619,493 | |
Rock-Tenn Co., Gtd. Notes | | | | | 4.000% | | | 03/01/23 | | | 440 | | | | 420,240 | |
Rock-Tenn Co., Gtd. Notes | | | | | 4.900% | | | 03/01/22 | | | 800 | | | | 823,494 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 3,919,344 | |
| | | | | | | | | | | | | | |
|
|
|
Pipelines & Other — 0.1% | | | | | | | | | | | | | | | | |
Energy Transfer Partners LP, Sr. Unsec’d. Notes | | | | | 4.650% | | | 06/01/21 | | | 675 | | | | 694,333 | |
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes | | | | | 5.950% | | | 02/15/18 | | | 510 | | | | 579,561 | |
NiSource Finance Corp., Gtd. Notes | | | | | 5.250% | | | 09/15/17 | | | 245 | | | | 270,522 | |
NiSource Finance Corp., Gtd. Notes | | | | | 5.450% | | | 09/15/20 | | | 350 | | | | 389,197 | |
ONEOK Partners LP, Gtd. Notes | | | | | 6.650% | | | 10/01/36 | | | 145 | | | | 159,569 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 2,093,182 | |
| | | | | | | | | | | | | | |
|
|
|
Railroads | | | | | | | | | | | | | | | | |
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | | | | | 6.700% | | | 08/01/28 | | | 670 | | | | 772,849 | |
CSX Corp., Sr. Unsec’d. Notes | | | | | 6.150% | | | 05/01/37 | | | 715 | | | | 798,345 | |
Norfolk Southern Corp., Sr. Unsec’d. Notes | | | | | 5.590% | | | 05/17/25 | | | 100 | | | | 109,280 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 1,680,474 | |
| | | | | | | | | | | | | | |
|
|
|
Real Estate Investment Trusts — 0.2% | | | | | | | | | | | | | | | | |
Felcor Lodging LP, Sr. Sec’d. Notes | | | | | 10.000% | | | 10/01/14 | | | 385 | | | | 407,138 | |
HCP, Inc., Sr. Unsec’d. Notes | | | | | 2.700% | | | 02/01/14 | | | 750 | | | | 751,171 | |
Mack-Cali Realty Corp., Sr. Unsec’d. Notes | | | | | 7.750% | | | 08/15/19 | | | 765 | | | | 917,089 | |
ProLogis LP, Gtd. Notes | | | | | 6.875% | | | 03/15/20 | | | 72 | | | | 84,802 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A81
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS (continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Real Estate Investment Trusts (continued) | | | | | | | | | | | | | | | | |
Simon Property Group LP, Sr. Unsec’d. Notes(a) | | | | | 2.800% | | | 01/30/17 | | | 295 | | | $ | 305,120 | |
Simon Property Group LP, Sr. Unsec’d. Notes | | | | | 3.375% | | | 03/15/22 | | | 230 | | | | 224,177 | |
Simon Property Group LP, Sr. Unsec’d. Notes | | | | | 6.125% | | | 05/30/18 | | | 3,080 | | | | 3,566,067 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 6,255,564 | |
| | | | | | | | | | | | | | |
|
|
|
Retailers — 0.1% | | | | | | | | | | | | | | | | |
CVS Caremark Corp., Sr. Unsec’d. Notes | | | | | 5.300% | | | 12/05/43 | | | 225 | | | | 232,687 | |
CVS Caremark Corp., Sr. Unsec’d. Notes | | | | | 5.750% | | | 05/15/41 | | | 100 | | | | 109,137 | |
CVS Caremark Corp., Sr. Unsec’d. Notes(a) | | | | | 6.125% | | | 09/15/39 | | | 515 | | | | 584,071 | |
Lowe’s Cos, Inc., Sr. Unsec’d. Notes | | | | | 6.500% | | | 03/15/29 | | | 385 | | | | 456,631 | |
Ltd. Brands, Inc., Gtd. Notes | | | | | 5.625% | | | 02/15/22 | | | 1,450 | | | | 1,482,625 | |
Macy’s Retail Holdings, Inc., Gtd. Notes | | | | | 3.875% | | | 01/15/22 | | | 360 | | | | 354,844 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 3,219,995 | |
| | | | | | | | | | | | | | |
|
|
|
Technology — 0.1% | | | | | | | | | | | | | | | | |
Arrow Electronics, Inc., Sr. Unsec’d. Notes | | | | | 3.375% | | | 11/01/15 | | | 400 | | | | 413,953 | |
Fidelity National Information Services, Inc., Gtd. Notes | | | | | 7.875% | | | 07/15/20 | | | 1,100 | | | | 1,200,055 | |
Fiserv, Inc., Gtd. Notes | | | | | 3.125% | | | 06/15/16 | | | 2,410 | | | | 2,514,849 | |
Seagate HDD Cayman, Gtd. Notes, 144A | | | | | 3.750% | | | 11/15/18 | | | 605 | | | | 611,806 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 4,740,663 | |
| | | | | | | | | | | | | | |
|
|
|
Telecommunications — 0.5% | | | | | | | | | | | | | | | | |
America Movil SAB de CV (Mexico), Gtd. Notes | | | | | 6.125% | | | 03/30/40 | | | 480 | | | | 507,896 | |
AT&T Corp., Gtd. Notes | | | | | 8.000% | | | 11/15/31 | | | 7 | | | | 9,317 | |
AT&T, Inc., Sr. Unsec’d. Notes | | | | | 5.350% | | | 09/01/40 | | | 815 | | | | 806,387 | |
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes | | | | | 9.625% | | | 12/15/30 | | | 400 | | | | 596,898 | |
Embarq Corp., Sr. Unsec’d. Notes
(original cost $367,380; purchased 05/04/11-05/11/11) | | | | | 7.082% | | | 06/01/16(d)(e) | | | 325 | | | | 363,155 | |
Embarq Corp., Sr. Unsec’d. Notes
(original cost $1,002,520; purchased 05/12/06-04/10/07) | | | | | 7.995% | | | 06/01/36(d)(e) | | | 1,000 | | | | 1,012,440 | |
Qwest Corp., Sr. Unsec’d. Notes | | | | | 7.500% | | | 10/01/14 | | | 1,440 | | | | 1,511,479 | |
Sprint Communications, Inc., Sr. Unsec’d. Notes(a) | | | | | 6.000% | | | 12/01/16 | | | 1,075 | | | | 1,173,094 | |
Verizon Communications, Inc., Sr. Unsec’d. Notes | | | | | 6.400% | | | 09/15/33 | | | 1,705 | | | | 1,960,956 | |
Verizon Communications, Inc., Sr. Unsec’d. Notes | | | | | 6.550% | | | 09/15/43 | | | 5,580 | | | | 6,528,371 | |
Verizon Communications, Inc., Sr. Unsec’d. Notes | | | | | 6.350% | | | 04/01/19 | | | 3,165 | | | | 3,720,109 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 18,190,102 | |
| | | | | | | | | | | | | | |
|
|
|
Tobacco — 0.1% | | | | | | | | | | | | | | | | |
Altria Group, Inc., Gtd. Notes | | | | | 4.000% | | | 01/31/24 | | | 1,500 | | | | 1,466,121 | |
Altria Group, Inc., Gtd. Notes | | | | | 9.950% | | | 11/10/38 | | | 46 | | | | 70,168 | |
Altria Group, Inc., Gtd. Notes | | | | | 10.200% | | | 02/06/39 | | | 254 | | | | 396,295 | |
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A | | | | | 2.050% | | | 02/11/18 | | | 2,050 | | | | 2,027,081 | |
Lorillard Tobacco Co., Gtd. Notes | | | | | 3.500% | | | 08/04/16 | | | 465 | | | | 489,294 | |
Lorillard Tobacco Co., Gtd. Notes(a) | | | | | 8.125% | | | 06/23/19 | | | 325 | | | | 395,897 | |
Reynolds American, Inc., Gtd. Notes | | | | | 4.750% | | | 11/01/42 | | | 330 | | | | 293,311 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 5,138,167 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL CORPORATE BONDS
(cost $249,642,900) | | | | 263,539,551 | |
| | | | | | | | | | | | | | |
|
|
|
| COVERED BONDS — 0.4% | | | | | | | | | | | | | | | | |
Bank Of Nova Scotia (Canada), Covered Bonds, 144A | | | | | 1.650% | | | 10/29/15 | | | 1,535 | | | | 1,565,086 | |
Depfa ACS Bank (Ireland), Covered Bonds, 144A | | | | | 5.125% | | | 03/16/37 | | | 500 | | | | 423,125 | |
Royal Bank of Canada (Canada), Covered Bonds | | | | | 2.000% | | | 10/01/18 | | | 4,280 | | | | 4,257,787 | |
Westpac Banking Corp. (Australia), Covered Bonds, 144A | | | | | 1.850% | | | 11/26/18 | | | 6,500 | | | | 6,383,650 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL COVERED BONDS
(cost $12,820,658) | | | | 12,629,648 | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A82
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
| FOREIGN AGENCIES — 0.6% | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Commonwealth Bank of Australia (Australia), Gov’t. Gtd. Notes, 144A | | | | | 2.700% | | | 11/25/14 | | | 7,435 | | | $ | 7,592,771 | |
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes | | | | | 5.125% | | | 06/29/20 | | | 400 | | | | 439,490 | |
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | | | | | 9.250% | | | 04/23/19 | | | 930 | | | | 1,143,900 | |
Kommunalbanken AS (Norway), Sr. Unsec’d Notes, 144A | | | | | 1.125% | | | 05/23/18 | | | 3,158 | | | | 3,067,681 | |
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A | | | | | 6.250% | | | 06/17/14 | | | 1,000 | | | | 1,023,173 | |
Pemex Project Funding Master Trust (Mexico), Gtd. Notes | | | | | 6.625% | | | 06/15/35 | | | 1,624 | | | | 1,709,260 | |
Pemex Project Funding Master Trust (Mexico), Gtd. Notes | | | | | 8.625% | | | 12/01/23 | | | 350 | | | | 426,125 | |
Petrobras Global Finance BV (Brazil), Gtd. Notes | | | | | 2.000% | | | 05/20/16 | | | 1,665 | | | | 1,663,683 | |
Petroleos Mexicanos (Mexico), Gtd. Notes(a) | | | | | 3.500% | | | 01/30/23 | | | 970 | | | | 888,763 | |
Petroleos Mexicanos (Mexico), Gtd. Notes | | | | | 4.875% | | | 01/18/24 | | | 510 | | | | 510,000 | |
Petroleos Mexicanos (Mexico), Gtd. Notes | | | | | 5.500% | | | 01/21/21 | | | 2,730 | | | | 2,934,750 | |
RSHB Capital SA For OJSC Russian Agricultural Bank (Russia), Sr. Unsec’d. Notes, 144A | | | | | 6.299% | | | 05/15/17 | | | 1,030 | | | | 1,098,238 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL FOREIGN AGENCIES
(cost $22,564,733) | | | | 22,497,834 | |
| | | | | | | | | | | | | | |
|
|
|
| MUNICIPAL BONDS — 0.4% | | | | | | | | | | | | | | | | |
California — 0.1% | | | | | | | | | | | | | | | | |
Bay Area Toll Authority, Revenue Bonds, BABs | | | | | 6.263% | | | 04/01/49 | | | 1,325 | | | | 1,589,218 | |
State of California, GO, BABs | | | | | 7.300% | | | 10/01/39 | | | 1,270 | | | | 1,597,139 | |
State of California, GO, BABs | | | | | 7.500% | | | 04/01/34 | | | 475 | | | | 604,447 | |
State of California, GO, BABs | | | | | 7.550% | | | 04/01/39 | | | 245 | | | | 317,518 | |
State of California, GO, BABs | | | | | 7.625% | | | 03/01/40 | | | 215 | | | | 283,065 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 4,391,387 | |
| | | | | | | | | | | | | | |
|
|
|
Colorado | | | | | | | | | | | | | | | | |
Regional Transportation District, Revenue Bonds, Series 2010B, BABs | | | | | 5.844% | | | 11/01/50 | | | 680 | | | | 785,046 | |
| | | | | | | | | | | | | | |
|
|
|
Illinois — 0.1% | | | | | | | | | | | | | | | | |
Chicago O’Hare International Airport, Revenue Bonds, BABs | | | | | 6.395% | | | 01/01/40 | | | 1,030 | | | | 1,149,037 | |
State of Illinois, GO, Taxable Series | | | | | 4.421% | | | 01/01/15 | | | 740 | | | | 763,695 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 1,912,732 | |
| | | | | | | | | | | | | | |
|
|
|
New Jersey — 0.1% | | | | | | | | | | | | | | | | |
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs | | | | | 7.414% | | | 01/01/40 | | | 1,070 | | | | 1,425,722 | |
| | | | | | | | | | | | | | |
|
|
|
New York — 0.1% | | | | | | | | | | | | | | | | |
New York City Transitional Finance Authority, Revenue Bonds, BABs | | | | | 5.767% | | | 08/01/36 | | | 1,130 | | | | 1,281,725 | |
| | | | | | | | | | | | | | |
|
|
|
Ohio | | | | | | | | | | | | | | | | |
Ohio State University (The), Revenue Bonds, BABs | | | | | 4.910% | | | 06/01/40 | | | 455 | | | | 455,901 | |
Ohio State Water Development Authority, Revenue Bonds, BABs | | | | | 4.879% | | | 12/01/34 | | | 300 | | | | 304,287 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 760,188 | |
| | | | | | | | | | | | | | |
|
|
|
Oregon | | | | | | | | | | | | | | | | |
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs | | | | | 5.834% | | | 11/15/34 | | | 445 | | | | 512,271 | |
| | | | | | | | | | | | | | |
|
|
|
Pennsylvania | | | | | | | | | | | | | | | | |
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs | | | | | 5.511% | | | 12/01/45 | | | 550 | | | | 583,611 | |
| | | | | | | | | | | | | | |
|
|
|
Tennessee | | | | | | | | | | | | | | | | |
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | | | | | 6.731% | | | 07/01/43 | | | 1,000 | | | | 1,108,480 | |
| | | | | | | | | | | | | | |
|
|
|
Texas | | | | | | | | | | | | | | | | |
Texas State Transportation Commission, Revenue Bonds, Series B, BABs | | | | | 5.028% | | | 04/01/26 | | | 335 | | | | 360,333 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL MUNICIPAL BONDS
(cost $11,435,814) | | | | 13,121,495 | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A83
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
| SOVEREIGN BONDS — 0.2% | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes | | | | | 4.250% | | | 01/07/25 | | | 1,275 | | | $ | 1,214,438 | |
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | | | | | 4.000% | | | 02/26/24 | | | 1,475 | | | | 1,421,900 | |
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a) | | | | | 5.875% | | | 03/13/20 | | | 1,135 | | | | 1,199,695 | |
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A | | | | | 6.875% | | | 01/17/18 | | | 1,120 | | | | 1,252,720 | |
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes | | | | | 3.625% | | | 03/15/22 | | | 700 | | | | 700,000 | |
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN(a) | | | | | 4.750% | | | 03/08/44 | | | 1,006 | | | | 906,658 | |
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | | | | | 5.200% | | | 01/30/20 | | | 620 | | | | 675,025 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL SOVEREIGN BONDS
(cost $7,570,632) | | | | 7,370,436 | |
| | | | | | | | | | | | | | |
|
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 7.1% | | | | | | | | | | | |
Federal Home Loan Bank | | | | | 0.375% | | | 08/28/15 | | | 460 | | | | 460,284 | |
Federal Home Loan Bank | | | | | 5.500% | | | 07/15/36 | | | 1,080 | | | | 1,249,384 | |
Federal Home Loan Mortgage Corp.(a) | | | | | 0.750% | | | 01/12/18 | | | 685 | | | | 666,688 | |
Federal Home Loan Mortgage Corp.(a) | | | | | 1.375% | | | 05/01/20 | | | 5,785 | | | | 5,423,518 | |
Federal Home Loan Mortgage Corp.(a) | | | | | 2.375% | | | 01/13/22 | | | 8,305 | | | | 7,939,289 | |
Federal Home Loan Mortgage Corp. | | | | | 2.384% | (b) | | 06/01/36 | | | 549 | | | | 580,273 | |
Federal Home Loan Mortgage Corp. | | | | | 2.572% | (b) | | 12/01/35 | | | 337 | | | | 360,486 | |
Federal Home Loan Mortgage Corp. | | | | | 3.000% | | | 10/01/42 | | | 1,980 | | | | 1,877,741 | |
Federal Home Loan Mortgage Corp. | | | | | 3.500% | | | TBA 30YR | | | 6,500 | | | | 6,449,219 | |
Federal Home Loan Mortgage Corp. | | | | | 3.500% | | | TBA 15 YR | | | 1,500 | | | | 1,563,750 | |
Federal Home Loan Mortgage Corp. | | | | | 4.000% | | | TBA 30 YR | | | 6,500 | | | | 6,675,195 | |
Federal Home Loan Mortgage Corp. | | | | | 4.000% | | | 06/01/26-12/01/40 | | | 6,524 | | | | 6,817,090 | |
Federal Home Loan Mortgage Corp. | | | | | 4.500% | | | 02/01/19-10/01/41 | | | 17,294 | | | | 18,331,442 | |
Federal Home Loan Mortgage Corp. | | | | | 5.000% | | | 07/01/18-06/01/39 | | | 6,401 | | | | 6,881,435 | |
Federal Home Loan Mortgage Corp. | | | | | 5.500% | | | 12/01/33-07/01/38 | | | 6,855 | | | | 7,493,256 | |
Federal Home Loan Mortgage Corp. | | | | | 6.000% | | | 03/01/32-08/01/39 | | | 3,028 | | | | 3,360,694 | |
Federal Home Loan Mortgage Corp. | | | | | 6.500% | | | 12/01/14 | | | 9 | | | | 9,160 | |
Federal Home Loan Mortgage Corp. | | | | | 7.000% | | | 01/01/31-10/01/32 | | | 431 | | | | 481,665 | |
Federal National Mortgage Assoc.(a)(g) | | | | | 1.625% | | | 11/27/18 | | | 4,690 | | | | 4,650,876 | |
Federal National Mortgage Assoc. | | | | | 2.014% | (b) | | 07/01/33 | | | 393 | | | | 414,113 | |
Federal National Mortgage Assoc. | | | | | 2.058% | (b) | | 06/01/37 | | | 139 | | | | 146,582 | |
Federal National Mortgage Assoc. | | | | | 2.500% | | | TBA 15 YR | | | 6,000 | | | | 5,938,125 | |
Federal National Mortgage Assoc. | | | | | 2.500% | | | 01/01/28 | | | 2,939 | | | | 2,911,802 | |
Federal National Mortgage Assoc. | | | | | 3.000% | | | TBA 15 YR | | | 9,500 | | | | 9,694,824 | |
Federal National Mortgage Assoc. | | | | | 3.000% | | | TBA 30 YR | | | 12,500 | | | | 11,866,211 | |
Federal National Mortgage Assoc. | | | | | 3.000% | | | 12/01/42 | | | 2,460 | | | | 2,337,542 | |
Federal National Mortgage Assoc. | | | | | 3.500% | | | TBA 15 YR | | | 5,500 | | | | 5,751,582 | |
Federal National Mortgage Assoc. | | | | | 3.500% | | | 06/01/39-03/01/43 | | | 27,581 | | | | 27,432,049 | |
Federal National Mortgage Assoc. | | | | | 4.000% | | | TBA 30 YR | | | 12,500 | | | | 12,867,188 | |
Federal National Mortgage Assoc. | | | | | 4.500% | | | TBA 30 YR | | | 5,500 | | | | 5,827,637 | |
Federal National Mortgage Assoc. | | | | | 4.500% | | | 11/01/18-07/01/42 | | | 13,886 | | | | 14,755,067 | |
Federal National Mortgage Assoc. | | | | | 5.000% | | | 10/01/18-02/01/36 | | | 6,032 | | | | 6,553,292 | |
Federal National Mortgage Assoc. | | | | | 5.500% | | | 03/01/16-08/01/37 | | | 8,659 | | | | 9,522,751 | |
Federal National Mortgage Assoc. | | | | | 6.000% | | | 05/01/14-05/01/38 | | | 7,572 | | | | 8,444,606 | |
Federal National Mortgage Assoc. | | | | | 6.500% | | | 07/01/17-09/01/37 | | | 2,675 | | | | 2,979,706 | |
Federal National Mortgage Assoc. | | | | | 7.000% | | | 02/01/32-07/01/32 | | | 279 | | | | 315,316 | |
Federal National Mortgage Assoc. | | | | | 7.500% | | | 05/01/32 | | | 61 | | | | 69,215 | |
Financing Corp., Strips Principal, Series A-P | | | | | 1.610% | (f) | | 10/06/17 | | | 1,570 | | | | 1,479,262 | |
Financing Corp., Strips Principal, Series B-P | | | | | 1.610% | (f) | | 10/06/17 | | | 2,140 | | | | 2,016,319 | |
Government National Mortgage Assoc. | | | | | 3.000% | | | TBA 30 YR | | | 2,500 | | | | 2,414,258 | |
Government National Mortgage Assoc. | | | | | 3.000% | | | TBA 30 YR | | | 3,000 | | | | 2,898,516 | |
Government National Mortgage Assoc. | | | | | 3.500% | | | TBA 30 YR | | | 11,000 | | | | 11,086,368 | |
Government National Mortgage Assoc. | | | | | 4.000% | | | TBA 30 YR | | | 15,000 | | | | 15,595,899 | |
Government National Mortgage Assoc. | | | | | 4.000% | | | 06/15/40-05/20/41 | | | 2,994 | | | | 3,116,904 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A84
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Government National Mortgage Assoc. | | | | | 4.500% | | | TBA 30 YR | | | 2,000 | | | $ | 2,133,906 | |
Government National Mortgage Assoc. | | | | | 4.500% | | | TBA 30 YR | | | 1,000 | | | | 1,069,141 | |
Government National Mortgage Assoc. | | | | | 4.500% | | | 01/20/41-02/20/41 | | | 5,564 | | | | 5,973,314 | |
Government National Mortgage Assoc. | | | | | 5.500% | | | 11/15/32-02/15/36 | | | 3,329 | | | | 3,683,590 | |
Government National Mortgage Assoc. | | | | | 6.000% | | | 02/15/33-10/15/34 | | | 1,598 | | | | 1,800,589 | |
Government National Mortgage Assoc. | | | | | 6.500% | | | 10/15/23-07/15/35 | | | 1,915 | | | | 2,164,699 | |
Government National Mortgage Assoc. | | | | | 8.000% | | | 01/15/24-04/15/25 | | | 61 | | | | 69,346 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $261,861,937) | | | | 264,601,164 | |
| | | | | | | | | | | | | | |
|
|
|
| U.S. TREASURY OBLIGATIONS — 2.6% | | | | | | | | | | | | | | | | |
U.S. Treasury Bonds(a)(h) | | | | | 3.625% | | | 08/15/43 | | | 5,300 | | | | 5,005,188 | |
U.S. Treasury Bonds | | | | | 3.750% | | | 11/15/43 | | | 7,080 | | | | 6,843,259 | |
U.S. Treasury Inflation Indexed Bonds | | | | | 0.125% | | | 04/15/18 | | | 4,820 | | | | 4,915,673 | |
U.S. Treasury Inflation Indexed Bonds | | | | | 0.375% | | | 07/15/23 | | | 3,192 | | | | 3,078,124 | |
U.S. Treasury Inflation Indexed Bonds | | | | | 0.625% | | | 02/15/43 | | | 935 | | | | 718,641 | |
U.S. Treasury Inflation Indexed Bonds | | | | | 1.375% | | | 01/15/20 | | | 6,005 | | | | 6,448,660 | |
U.S. Treasury Notes | | | | | 0.625% | | | 04/30/18 | | | 1,875 | | | | 1,808,203 | |
U.S. Treasury Notes | | | | | 0.875% | | | 07/31/19 | | | 4,145 | | | | 3,903,102 | |
U.S. Treasury Notes(a) | | | | | 1.250% | | | 11/30/18 | | | 18,330 | | | | 17,937,628 | |
U.S. Treasury Notes | | | | | 1.500% | | | 12/31/18 | | | 16,020 | | | | 15,839,775 | |
U.S. Treasury Notes | | | | | 2.375% | | | 12/31/20 | | | 24,390 | | | | 24,294,733 | |
U.S. Treasury Notes(a) | | | | | 2.750% | | | 11/15/23 | | | 15 | | | | 14,674 | |
U.S. Treasury Notes | | | | | 3.500% | | | 02/15/18 | | | 4,010 | | | | 4,353,356 | |
U.S. Treasury Strips Principal(a) | | | | | 8.020% | (f) | | 05/15/43 | | | 8,120 | | | | 2,384,349 | |
U.S. Treasury Strips Principal | | | | | 8.070% | (f) | | 02/15/43 | | | 1,920 | | | | 569,566 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL U.S. TREASURY OBLIGATIONS
(cost $98,536,105) | | | | 98,114,931 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $2,793,605,771) | | | | 3,512,250,000 | |
| | | | | | | | | | | | | | |
|
|
|
| SHORT-TERM INVESTMENTS — 11.4% | | | | | | | | |
U.S. TREASURY OBLIGATION — 0.1% | | | | | | | | | | | | | | | | |
U.S. Treasury Bonds(g)
(cost $1,924,804) | | | | | 0.047% | (f) | | 03/20/14 | | | 1,925 | | | | 1,924,754 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | |
| | | | | | | | | | Shares
| | | | |
AFFILIATED MUTUAL FUNDS — 11.3% | |
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund
(cost $131,765,674) (Note 4)(i) | | | 13,390,235 | | | | 124,663,087 | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund
(cost $296,818,840; includes $108,463,728 of cash collateral for securities on loan) (Note 4)(i)(j) | | | 296,818,840 | | | | 296,818,840 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL AFFILIATED MUTUAL FUNDS
(cost $428,584,514) | | | | 421,481,927 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | |
| | | | | | | | Counterparty
| | Notional
Amount
(000)#
| | | | |
OPTIONS PURCHASED* | | | | | | | | | | | | | | | | |
Call Options | | | | | | | | | | | | | | | | |
Interest Rate Swap Options, | | | | | | | | | | | | | | | | |
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, expiring 04/24/14 | | | Barclays Bank PLC | | | 29,770 | | | | 300 | |
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, expiring 04/24/14 | | | Citibank NA | | | 36,480 | | | | 368 | |
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, expiring 04/24/14 | | | Citibank NA | | | 36,480 | | | | 368 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL OPTIONS PURCHASED
(cost $108,779) | | | | 1,036 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(cost $430,618,097) | | | | 423,407,717 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT — 105.5%
(cost $3,224,223,868) | | | | 3,935,657,717 | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A85
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
| SECURITY SOLD SHORT — (0.2)% | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
U.S. GOVERNMENT AGENCY OBLIGATION | | | | | | | | | | | | | | | | |
Federal National Mortgage Assoc. (proceeds received $5,450,156) | | | | | 3.500% | | | 01/15/42 | | | 5,500 | | | $ | (5,463,477 | ) |
| | | | | | | | | | | | | | |
|
|
|
TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT — 105.3%
(cost $3,218,773,712) | | | | 3,930,194,240 | |
LIABILITIES IN EXCESS OF OTHER ASSETS(k) — (5.3)% | | | | (199,568,459 | ) |
| | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 3,730,625,781 | |
| | | | | | | | | | | | | | |
|
|
|
The following abbreviations are used in the portfolio descriptions:
| | |
| 144A | | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to the rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be illiquid. |
| ABS | | Asset-Back Security |
| BABs | | Build America Bonds |
| CDO | | Collateralized Debt Obligation |
| CDX | | Credit Derivative Index |
| CLO | | Collateralized Loan Obligation |
| EAFE | | Europe, Australasia and Far East |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| GO | | General Obligation |
| I/O | | Interest Only |
| LIBOR | | London Interbank Offered Rate |
| MSCI | | Morgan Stanley Capital International |
| MTN | | Medium Term Note |
| REIT | | Real Estate Investment Trust |
| SDR | | Swedish Depositary Receipt |
| TBA | | To Be Announced |
| # | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| * | Non-income producing security. |
| (a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $105,942,063; cash collateral of $108,463,728 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2013. |
| (c) | Represents issuer in default on interest payments. Non-income producing security. Such securities may be post maturity. |
| (d) | Indicates a security that has been deemed illiquid. |
| (e) | Indicates a restricted security; the aggregate original cost of the restricted securities is $7,025,680. The aggregate value, $7,321,300, is approximately 0.2% of net assets. |
| (f) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
| (g) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (h) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (i) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
| (j) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (k) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
SEE NOTES TO FINANCIAL STATEMENTS.
A86
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
Open futures contracts outstanding at December 31, 2013:
| | | | | | | | | | | | | | | | | | | | |
Number of
Contracts
| | | Type
| | Expiration
Date
| | | Value at
Trade Date
| | | Value at
December 31, 2013
| | | Unrealized
Appreciation
(Depreciation)
| |
| | Long Positions: | | | | | | | | | | | | | | | | | | | |
| | 968 | | | 5 Year U.S. Treasury Notes | | | Mar. 2014 | | | $ | 116,300,600 | | | $ | 115,494,500 | | | $ | (806,100 | ) |
| | 196 | | | 10 Year U.S. Treasury Notes | | | Mar. 2014 | | | | 24,333,384 | | | | 24,117,188 | | | | (216,196 | ) |
| | 172 | | | 90 Day Euro Dollar | | | Sept. 2016 | | | | 42,245,330 | | | | 42,116,350 | | | | (128,980 | ) |
| | 430 | | | S&P 500 E-mini Futures | | | Mar. 2014 | | | | 38,277,787 | | | | 39,583,650 | | | | 1,305,863 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 154,587 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | Short Positions: | | | | | | | | | | | | | | | | | | | |
| | 172 | | | 90 Day Euro Dollar | | | Sept. 2015 | | | | 42,645,251 | | | | 42,625,900 | | | | 19,351 | |
| | 164 | | | U.S. Long Bond | | | Mar. 2014 | | | | 21,320,899 | | | | 21,043,250 | | | | 277,649 | |
| | 64 | | | U.S. Ultra Bond | | | Mar. 2014 | | | | 8,829,843 | | | | 8,720,000 | | | | 109,843 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | | 406,843 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | | $ | 561,430 | |
| | | | | | | | | | | | | | | | | | |
|
|
|
Interest rate swap agreements outstanding at December 31, 2013:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Notional
Amount
(000)#
| | | Termination
Date
| | | Fixed
Rate
| | | Floating Rate
| | Fair
Value
| | | Upfront
Premiums
Paid
(Received)
| | | Unrealized
Appreciation
(Depreciation)
| | | Counterparty
|
| Over-the-counter swap agreements: |
| | 2,195 | | | | 09/14/16 | | | | 1.206% | | | 3 month LIBOR(2) | | $ | (35,305 | ) | | $ | — | | | $ | (35,305 | ) | | Deutsche Bank AG |
| | 13,615 | | | | 02/28/17 | | | | 0.680% | | | 3 month LIBOR(1) | | | (84,466 | ) | | | — | | | | (84,466 | ) | | Citibank Global Markets |
| | 7,580 | | | | 08/31/17 | | | | 0.751% | | | 3 Month LIBOR(2) | | | 100,618 | | | | — | | | | 100,618 | | | Bank of Nova Scotia |
| | 3,158 | | | | 05/17/18 | | | | 0.989% | | | 3 month LIBOR(2) | | | 68,269 | | | | — | | | | 68,269 | | | Credit Suisse First Boston Corp. |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
| | |
| | | | | | | | | | | | | | | $ | 49,116 | | | $ | — | | | $ | 49,116 | | | |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
| | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Notional
Amount
(000)#
| | | Termination
Date
| | | Fixed
Rate
| | | Floating Rate
| | Value at
Trade Date
| | | Value at
December 31, 2013
| | | Unrealized
Appreciation
(Depreciation)
| |
| Exchange-traded swap agreements: | | | | | |
| | 11,365 | | | | 02/28/18 | | | | 1.649% | | | 3 month LIBOR(2) | | $ | 201 | | | $ | (104,169 | ) | | $ | (104,370 | ) |
| | 4,690 | | | | 11/27/18 | | | | 1.592% | | | 3 month LIBOR(2) | | | 171 | | | | 35,758 | | | | 35,587 | |
| | 8,370 | | | | 08/31/20 | | | | 2.085% | | | 3 month LIBOR(2) | | | 200 | | | | 154,760 | | | | 154,560 | |
| | 10,000 | | | | 08/31/20 | | | | 2.219% | | | 3 month LIBOR(2) | | | 210 | | | | 99,717 | | | | 99,507 | |
| | 7,865 | | | | 08/31/20 | | | | 2.220% | | | 3 month LIBOR(2) | | | 197 | | | | 77,944 | | | | 77,747 | |
| | 1,815 | | | | 08/31/20 | | | | 2.490% | | | 3 month LIBOR(2) | | | 161 | | | | (13,235 | ) | | | (13,396 | ) |
| | 1,785 | | | | 01/22/22 | | | | 2.785% | | | 3 month LIBOR(2) | | | 161 | | | | (6,045 | ) | | | (6,206 | ) |
| | 1,970 | | | | 01/31/22 | | | | 2.505% | | | 3 month LIBOR(2) | | | 162 | | | | 35,249 | | | | 35,087 | |
| | 18,450 | | | | 08/05/23 | | | | 4.210% | | | 3 month LIBOR(1) | | | — | | | | (256,396 | ) | | | (256,396 | ) |
| | 7,380 | | | | 08/06/23 | | | | 4.220% | | | 3 month LIBOR(1) | | | — | | | | (99,524 | ) | | | (99,524 | ) |
| | 7,760 | | | | 10/28/23 | | | | 4.029% | | | 3 month LIBOR(1) | | | 185 | | | | (182,379 | ) | | | (182,564 | ) |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | | | | | | $ | 1,648 | | | $ | (258,320 | ) | | $ | (259,968 | ) |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| (1) | Portfolio pays the floating rate and receives the fixed rate. |
| (2) | Portfolio pays the fixed rate and receives the floating rate. |
| # | Notional Amount is shown in U.S. dollars unless otherwise stated. |
SEE NOTES TO FINANCIAL STATEMENTS.
A87
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
Credit default swap agreements outstanding at December 31, 2013:
| | | | | | | | | | | | | | | | | | | | | | | | |
Reference Entity/ Obligation
| | Termination
Date
| | | Fixed
Rate
| | | Notional
Amount
(000)#(3)
| | | Value at
Trade
Date
| | | Value at
December 31,
2013
| | | Unrealized
Depreciation
| |
Exchange-traded credit default swaps on credit indices—Buy Protection(1): | |
CDX.NA.IG.21.V1 | | | 12/20/18 | | | | 1.000% | | | | 43,000 | | | $ | (441,990 | ) | | $ | (769,342 | ) | | $ | (327,352 | ) |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Reference Entity/
Obligation
| | Termination
Date
| | | Fixed
Rate
| | | Notional
Amount
(000)#(3)
| | | Fair
Value(4)
| | | Upfront
Premiums
Paid
(Received)
| | | Unrealized
Depreciation
| | | Counterparty
|
Over-the-counter credit default swaps on corporate issues—Buy Protection(1): |
Bunge Ltd. Finance Corp. | | | 06/20/14 | | | | 0.650% | | | | 1,150 | | | $ | (3,010 | ) | | $ | — | | | $ | (3,010 | ) | | JPMorgan Chase Bank |
Newell Rubbermaid, Inc. | | | 06/20/18 | | | | 1.000% | | | | 1,700 | | | | (43,990 | ) | | | — | | | | (43,990 | ) | | Morgan Stanley Capital Services, Inc. |
Simon Property Group LP | | | 06/20/18 | | | | 0.970% | | | | 2,800 | | | | (64,950 | ) | | | — | | | | (64,950 | ) | | Morgan Stanley Capital Services, Inc. |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
| | |
| | | | | | | | | | | | | | | $ | (111,950 | ) | | $ | — | | | $ | (111,950 | ) | | |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
| | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Reference Entity/
Obligation
| | Termination
Date
| | | Fixed
Rate
| | | Notional
Amount
(000)#(3)
| | | Fair
Value(4)
| | | Upfront
Premiums
Paid
(Received)
| | | Unrealized
Appreciation
| | | Counterparty
|
Over-the-counter credit default swaps on credit indices—Sell Protection(2): |
CDX.NA.HY.17.V5 | | | 12/20/16 | | | | 5.000% | | | | 1,440 | | | $ | 134,615 | | | $ | 60,400 | | | $ | 74,215 | | | Credit Suisse First Boston Corp. |
CDX.NA.HY.17.V5 | | | 12/20/16 | | | | 5.000% | | | | 3,840 | | | | 358,973 | | | | 165,867 | | | | 193,106 | | | Deutsche Bank |
CDX.NA.HY.17.V5 | | | 12/20/16 | | | | 5.000% | | | | 5,280 | | | | 493,588 | | | | 231,367 | | | | 262,221 | | | Deutsche Bank |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
| | |
| | | | | | | | | | | | | | | $ | 987,176 | | | $ | 457,634 | | | $ | 529,542 | | | |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
| | |
The Portfolio entered into credit default swaps as the protection seller on credit indices to take an active short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness.
| (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) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | The fair value of credit default swap agreements on asset-backed securities and credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as the reporting date. Increasing fair value in absolute terms, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| # | 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 in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| 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, 2013 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 2,506,648,590 | | | $ | 133,009,195 | | | $ | — | |
Exchange Traded Fund | | | 2,065,448 | | | | — | | | | — | |
Preferred Stocks | | | 599,500 | | | | 151,549 | | | | — | |
Asset-Backed Securities | | | — | | | | 52,679,635 | | | | 2,290,800 | |
Bank Loans | | | — | | | | 9,125,415 | | | | — | |
SEE NOTES TO FINANCIAL STATEMENTS.
A88
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Collateralized Mortgage Obligations | | $ | — | | | $ | 5,302,308 | | | $ | — | |
Commercial Mortgage-Backed Securities | | | — | | | | 118,502,501 | | | | — | |
Corporate Bonds | | | — | | | | 258,852,783 | | | | 4,686,768 | |
Covered Bonds | | | — | | | | 12,629,648 | | | | — | |
Foreign Agencies | | | — | | | | 22,497,834 | | | | — | |
Municipal Bonds | | | — | | | | 13,121,495 | | | | — | |
Sovereign Bonds | | | — | | | | 7,370,436 | | | | — | |
U.S. Government Agency Obligations | | | — | | | | 264,601,164 | | | | — | |
U.S. Treasury Obligations | | | — | | | | 100,039,685 | | | | — | |
Affiliated Mutual Funds | | | 421,481,927 | | | | — | | | | — | |
Options Purchased | | | — | | | | 1,036 | | | | — | |
U.S. Government Agency Obligation Sold Short | | | — | | | | (5,463,477 | ) | | | — | |
Other Financial Instruments* | | | | | | | | | | | | |
Futures Contracts | | | 561,430 | | | | — | | | | — | |
Interest Rate Swap Agreements | | | (259,968 | ) | | | 49,116 | | | | — | |
Credit Default Swap Agreements | | | (327,352 | ) | | | 417,592 | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 2,930,769,575 | | | $ | 992,887,915 | | | $ | 6,977,568 | |
| | |
|
|
| |
|
|
| |
|
|
|
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swaps contracts, which are recorded at the unrealized appreciation/depreciation of the instrument. |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 was as follows:
| | | | |
Affiliated Mutual Funds (including 2.9% of collateral received for securities on loan) | | | 11.3 | % |
U.S. Government Agency Obligations | | | 7.1 | |
Oil, Gas & Consumable Fuels | | | 6.4 | |
Pharmaceuticals | | | 5.2 | |
Commercial Mortgage-Backed Securities | | | 3.2 | |
Computers & Peripherals | | | 3.1 | |
Diversified Financial Services | | | 3.1 | |
Software | | | 2.9 | |
Commercial Banks | | | 2.8 | |
U.S. Treasury Obligations | | | 2.7 | |
Insurance | | | 2.4 | |
Aerospace & Defense | | | 2.3 | |
Food & Staples Retailing | | | 2.0 | |
Banking | | | 1.9 | |
Media | | | 1.9 | |
IT Services | | | 1.9 | |
Capital Markets | | | 1.9 | |
Specialty Retail | | | 1.8 | |
Biotechnology | | | 1.7 | |
Communications Equipment | | | 1.7 | |
Internet Software & Services | | | 1.6 | |
Beverages | | | 1.6 | |
Chemicals | | | 1.5 | |
Diversified Telecommunication Services | | | 1.5 | |
Healthcare Equipment & Supplies | | | 1.4 | |
Household Products | | | 1.4 | |
Collateralized Loan Obligations | | | 1.3 | |
Energy Equipment & Services | | | 1.3 | |
Industrial Conglomerates | | | 1.3 | |
Real Estate Investment Trusts | | | 1.2 | |
Machinery | | | 1.1 | |
Road & Rail | | | 1.1 | |
Hotels, Restaurants & Leisure | | | 1.1 | |
Metals & Mining | | | 1.0 | |
Electric Utilities | | | 1.0 | |
| | | | |
Multiline Retail | | | 1.0 | % |
Healthcare Providers & Services | | | 1.0 | |
Semiconductors & Semiconductor Equipment | | | 0.9 | |
Food Products | | | 0.8 | |
Automobiles | | | 0.7 | |
Tobacco | | | 0.7 | |
Foreign Agencies | | | 0.6 | |
Air Freight & Logistics | | | 0.6 | |
Electrical Equipment | | | 0.6 | |
Textiles, Apparel & Luxury Goods | | | 0.6 | |
Real Estate Management & Development | | | 0.5 | |
Internet & Catalog Retail | | | 0.5 | |
Electronic Equipment, Instruments & Components | | | 0.5 | |
Telecommunications | | | 0.5 | |
Household Durables | | | 0.4 | |
Construction & Engineering | | | 0.4 | |
Building Products | | | 0.4 | |
Electric | | | 0.4 | |
Multi-Utilities | | | 0.4 | |
Municipal Bonds | | | 0.4 | |
Covered Bonds | | | 0.4 | |
Trading Companies & Distributors | | | 0.3 | |
Consumer Finance | | | 0.3 | |
Foods | | | 0.3 | |
Capital Goods | | | 0.3 | |
Energy – Other | | | 0.3 | |
Healthcare & Pharmaceutical | | | 0.3 | |
Auto Components | | | 0.3 | |
Independent Power Producers & Energy Traders | | | 0.3 | |
Cable | | | 0.2 | |
Leisure Equipment & Products | | | 0.2 | |
Sovereign Bonds | | | 0.2 | |
Lodging | | | 0.2 | |
Media & Entertainment | | | 0.2 | |
Technology | | | 0.2 | |
Airlines | | | 0.2 | |
Healthcare Insurance | | | 0.2 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A89
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | |
Industry table (cont.)
| | | |
Personal Products | | | 0.2 | % |
Non-Captive Finance | | | 0.2 | |
Residential Mortgage-Backed Securities | | | 0.2 | |
Automotive | | | 0.1 | |
Metals | | | 0.1 | |
Diversified Consumer Services | | | 0.1 | |
Collateralized Mortgage Obligations | | | 0.1 | |
Gas Utilities | | | 0.1 | |
Paper | | | 0.1 | |
Water Utilities | | | 0.1 | |
Retailers | | | 0.1 | |
Healthcare Technology | | | 0.1 | |
Packaging | | | 0.1 | |
| | | | |
Building Materials & Construction | | | 0.1 | % |
Wireless Telecommunication Services | | | 0.1 | |
Pipelines & Other | | | 0.1 | |
Exchange Traded Fund | | | 0.1 | |
Commercial Services & Supplies | | | 0.1 | |
Marine | | | 0.1 | |
Consumer | | | 0.1 | |
Brokerage | | | 0.1 | |
Paper & Forest Products | | | 0.1 | |
| | |
|
|
|
| | | | 105.5 | |
U.S. Government Agency Obligation Sold Short | | | (0.2 | ) |
Liabilities in excess of other assets | | | (5.3 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, equity risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2013 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 | | — | | | — | | | Due from broker — variation margin | | $ | 327,352 | * |
Credit contracts | | Premiums paid for swap agreements | | | 457,633 | | | Premiums received for swap agreements | | | — | |
Credit contracts | | Unrealized appreciation on over-the-counter swap agreements | | | 529,542 | | | Unrealized depreciation on over-the-counter swap agreements | | | 111,950 | |
Equity contracts | | Due from broker — variation margin | | | 1,305,863 | * | | — | | | — | |
Interest rate contracts | | Due from broker — variation margin | | | 809,331 | * | | Due from broker — variation margin | | | 1,813,732 | * |
Interest rate contracts | | Unaffiliated investments | | | 1,036 | | | — | | | — | |
Interest rate contracts | | Unrealized appreciation on over-the-counter swap agreements | | | 168,887 | | | Unrealized depreciation on over-the-counter swap agreements | | | 119,771 | |
| | | | |
|
|
| | | |
|
|
|
Total | | | | $ | 3,272,292 | | | | | $ | 2,372,805 | |
| | | | |
|
|
| | | |
|
|
|
| * | Includes cumulative appreciation/depreciation as reported in the schedule of open futures and exchange-traded swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2013 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*
| | | Options
Purchased*
| | | Options
Written
| | | Futures
| | | Swaps
| | | Total
| |
Credit contracts | | $ | — | | | | — | | | | — | | | $ | — | | | $ | (297,646 | ) | | $ | (297,646 | ) |
Equity contracts | | | 6,811 | | | | — | | | | — | | | | 3,574,077 | | | | — | | | | 3,580,888 | |
Interest rate contracts | | | — | | | | (266,674 | ) | | | 24,481 | | | | (511,258 | ) | | | 681,686 | | | | (71,765 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 6,811 | | | $ | (266,674 | ) | | $ | 24,481 | | | $ | 3,062,819 | | | $ | 384,040 | | | $ | 3,211,477 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
* Included in net realized gain (loss) on investment transactions on the Statement of Operations | |
|
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
| |
Derivatives not designated as hedging
instruments, carried at fair value
| | | Rights**
| | | Options
Purchased**
| | | Futures
| | | Swaps
| | | Total
| |
Credit contracts | | | $ | — | | | $ | — | | | $ | — | | | $ | 94,627 | | | $ | 94,627 | |
Equity contracts | | | | (1,409 | ) | | | — | | | | 1,305,863 | | | | — | | | | 1,304,454 | |
Interest rate contracts | | | | — | | | | (107,743 | ) | | | (1,027,012 | ) | | | 443,769 | | | | (690,986 | ) |
| | | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total | | | $ | (1,409 | ) | | $ | (107,743 | ) | | $ | 278,851 | | | $ | 538,396 | | | $ | 708,095 | |
| | | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
** Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operation. | |
SEE NOTES TO FINANCIAL STATEMENTS.
A90
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
For the year ended December 31, 2013, the Portfolio’s average volume of derivative activities is as follows:
| | | | | | |
Options Purchased
(Cost)
| | Options Written
(Premiums Received)
| | Futures
Long Position
(Value at Trade Date)
| | Futures
Short Position
(Value at Trade Date)
|
| $127,582 | | $12,391 | | $164,056,692 | | $40,674,209 |
| | | | |
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))
|
| $134,616 | | $46,170 | | $8,448 |
The Portfolio invested in financial instruments and derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument and derivative assets and liabilities:
| | | | | | | | | | | | | | | | |
Description
| | Gross Amounts
Recognized
| | | Gross Amounts
not subject to
netting
| | | Gross Amounts
Offset in the
Statement of
Financial Position
| | | Net Amounts
Presented in the
Statement of
Financial Position
| |
Assets: | | | | | | | | | | | | | | | | |
Securities on loan | | $ | 105,942,063 | | | $ | — | | | $ | — | | | $ | 105,942,063 | |
Exchange-traded and cleared derivatives | | | 129,046 | | | | — | | | | — | | | | 129,046 | |
Over-the-counter derivatives* | | | 699,465 | | | | (1,036 | ) | | | — | | | | 698,429 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 106,769,538 | |
| | | | | | | | | | | | | | |
|
|
|
Liabilities: | | | | | | | | | | | | | | | | |
Securities sold short | | | (5,463,477 | ) | | | 5,463,477 | | | | — | | | | — | |
Exchange-traded and cleared derivatives | | | — | | | | — | | | | — | | | | — | |
Over-the-counter derivatives* | | | (231,721 | ) | | | — | | | | — | | | | (231,721 | ) |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | (231,721 | ) |
| | | | | | | | | | | | | | |
|
|
|
Collateral Amounts Pledged/(Received): | | | | | | | | | | | | |
Securities on loan | | | | | | | | | | | | | | | (105,942,063 | ) |
Exchange-traded and cleared derivatives | | | | | | | | | | | | | | | — | |
Over-the-counter derivatives | | | | | | | | | | | | | | | (562,506 | ) |
| | | | | | | | | | | | | | |
|
|
|
Net Amount | | | | | | | | | | | | | | $ | 33,248 | |
| | | | | | | | | | | | | | |
|
|
|
| * | Over-the-counter derivatives may consist of forward foreign currency exchange contracts, options contracts and swap agreements. The amounts disclosed above represent the exposure to one or more counterparties. For further detail on individual derivative contracts and the corresponding unrealized appreciation (depreciation) by counterparty, see the Schedule of Investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
A91
| | | | | | |
| | | FLEXIBLE MANAGED PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2013
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $105,942,063: | | | | |
Unaffiliated investments (cost $2,795,639,354) | | $ | 3,514,175,790 | |
Affiliated investments (cost $428,584,514) | | | 421,481,927 | |
Cash | | | 46,358 | |
Foreign currency, at value (cost $376,441) | | | 378,812 | |
Receivable for investments sold | | | 13,290,867 | |
Dividends and interest receivable | | | 9,213,865 | |
Unrealized appreciation on over-the-counter swap agreements | | | 698,429 | |
Premiums paid for swap agreements | | | 457,633 | |
Tax reclaim receivable | | | 157,648 | |
Due from broker—variation margin | | | 129,046 | |
Prepaid expenses | | | 32,289 | |
Receivable for Series shares sold | | | 24,106 | |
| | |
|
|
|
Total Assets | | | 3,960,086,770 | |
| | |
|
|
|
| LIABILITIES | | | | |
Payable for investments purchased | | | 112,635,908 | |
Collateral for securities on loan | | | 108,463,728 | |
Securities sold short, at value
(proceeds received $5,450,156) | | | 5,463,477 | |
Management fee payable | | | 1,872,673 | |
Payable for Series shares repurchased | | | 460,473 | |
Unrealized depreciation on over-the-counter swap agreements | | | 231,721 | |
Accrued expenses and other liabilities | | | 332,083 | |
Affiliated transfer agent fee payable | | | 926 | |
| | |
|
|
|
Total Liabilities | | | 229,460,989 | |
| | |
|
|
|
| NET ASSETS | | $ | 3,730,625,781 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 2,640,135,796 | |
Retained earnings | | | 1,090,489,985 | |
| | |
|
|
|
Net assets, December 31, 2013 | | $ | 3,730,625,781 | |
| | |
|
|
|
Net asset value and redemption price per share, $3,730,625,781 / 174,773,170 outstanding shares of beneficial interest | | $ | 21.35 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2013
| | | | |
| INCOME | | | | |
Unaffiliated dividend income (net of foreign withholding taxes of $205,712) | | $ | 53,162,287 | |
Interest income | | | 31,705,324 | |
Affiliated dividend income | | | 2,040,557 | |
Affiliated income from securities loaned, net | | | 212,318 | |
| | |
|
|
|
| | | | 87,120,486 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 21,024,924 | |
Custodian’s fees and expenses | | | 511,000 | |
Shareholders’ reports | | | 290,000 | |
Trustees’ fees | | | 42,000 | |
Insurance expenses | | | 41,000 | |
Audit fee | | | 37,000 | |
Legal fees and expenses | | | 16,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4) | | | 12,000 | |
Commitment fee on syndicated credit agreement | | | 6,000 | |
Miscellaneous | | | 52,598 | |
| | |
|
|
|
Total expenses | | | 22,032,522 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 65,087,964 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions (including affiliated: ($1,156,796)) | | | 319,541,367 | |
Futures transactions | | | 3,062,819 | |
Swap agreements transactions | | | 384,040 | |
Foreign currency transactions | | | (46,123 | ) |
Option written transactions | | | 24,481 | |
| | |
|
|
|
| | | | 322,966,584 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments (including affiliated: $2,310,361) | | | 252,667,911 | |
Securities sold short | | | (2,794 | ) |
Futures | | | 278,851 | |
Swap agreements | | | 538,396 | |
Foreign currencies | | | 8,239 | |
| | |
|
|
|
| | | | 253,490,603 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | | | 576,457,187 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 641,545,151 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 65,087,964 | | | $ | 65,899,714 | |
Net realized gain on investments and foreign currencies | | | 322,966,584 | | | | 140,795,570 | |
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | | | 253,490,603 | | | | 192,663,911 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 641,545,151 | | | | 399,359,195 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | — | | | | (61,900,998 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [651,459 and 819,611 shares, respectively] | | | 12,747,246 | | | | 14,077,527 | |
Series shares issued in reinvestment of distributions [0 and 3,735,727 shares, respectively] | | | — | | | | 61,900,998 | |
Series shares repurchased [9,694,842 and 10,708,816 shares, respectively] | | | (189,432,596 | ) | | | (184,472,132 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (176,685,350 | ) | | | (108,493,607 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 464,859,801 | | | | 228,964,590 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 3,265,765,980 | | | | 3,036,801,390 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 3,730,625,781 | | | $ | 3,265,765,980 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A92
| | | | | | |
| | | GLOBAL PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 96.5% | |
| COMMON STOCKS — 96.5% | | Shares
| | | Value
(Note 2)
| |
Australia — 1.9% | |
Arrium Ltd. | | | 447,200 | | | $ | 702,266 | |
Ausdrill Ltd. | | | 123,200 | | | | 113,883 | |
Bendigo & Adelaide Bank Ltd. | | | 103,400 | | | | 1,086,952 | |
Bradken Ltd. | | | 98,900 | | | | 534,091 | |
Challenger Ltd. | | | 204,200 | | | | 1,134,079 | |
CSL Ltd. | | | 50,999 | | | | 3,143,918 | |
Downer EDI Ltd. | | | 182,200 | | | | 793,980 | |
Fortescue Metals Group Ltd. | | | 99,300 | | | | 518,724 | |
GrainCorp Ltd. | | | 42,400 | | | | 321,948 | |
Leighton Holdings Ltd. | | | 37,200 | | | | 537,232 | |
Lend Lease Group | | | 114,600 | | | | 1,143,671 | |
Metcash Ltd. | | | 206,000 | | | | 581,749 | |
Mineral Resources Ltd. | | | 25,500 | | | | 271,328 | |
National Australia Bank Ltd. | | | 37,600 | | | | 1,173,569 | |
Pacific Brands Ltd. | | | 460,600 | | | | 263,974 | |
Qantas Airways Ltd.* | | | 419,500 | | | | 411,493 | |
Rio Tinto Ltd. | | | 23,400 | | | | 1,432,244 | |
| | | | | | |
|
|
|
| | | | | | | | 14,165,101 | |
| | | | | | |
|
|
|
Austria — 0.3% | |
OMV AG | | | 30,300 | | | | 1,450,182 | |
Voestalpine AG | | | 14,500 | | | | 696,790 | |
| | | | | | |
|
|
|
| | | | | | | | 2,146,972 | |
| | | | | | |
|
|
|
Belgium — 0.2% | |
AGFA-Gevaert NV* | | | 86,100 | | | | 208,469 | |
Delhaize Group SA | | | 21,500 | | | | 1,279,083 | |
| | | | | | |
|
|
|
| | | | | | | | 1,487,552 | |
| | | | | | |
|
|
|
Bermuda — 0.5% | |
Genpact Ltd. | | | 195,847 | | | | 3,597,709 | |
| | | | | | |
|
|
|
Brazil — 0.3% | |
Cielo SA | | | 40,200 | | | | 1,118,631 | |
Kroton Educacional SA | | | 55,900 | | | | 930,225 | |
| | | | | | |
|
|
|
| | | | | | | | 2,048,856 | |
| | | | | | |
|
|
|
Canada — 0.9% | |
Brookfield Asset Management, Inc. (Class A Stock) | | | 79,958 | | | | 3,104,769 | |
Canadian Pacific Railway Ltd. | | | 21,750 | | | | 3,291,210 | |
| | | | | | |
|
|
|
| | | | | | | | 6,395,979 | |
| | | | | | |
|
|
|
China — 0.8% | |
Baidu, Inc., ADR* | | | 4,963 | | | | 882,818 | |
CIMC Enric Holdings Ltd. | | | 526,000 | | | | 850,259 | |
Poly Property Group Co. Ltd. | | | 846,000 | | | | 453,389 | |
Shougang Fushan Resources Group Ltd. | | | 1,160,000 | | | | 407,847 | |
Tencent Holdings Ltd. | | | 54,400 | | | | 3,483,095 | |
| | | | | | |
|
|
|
| | | | | | | | 6,077,408 | |
| | | | | | |
|
|
|
Denmark — 0.5% | |
A.P. Moeller – Maersk A/S (Class B Stock) | | | 70 | | | | 757,537 | |
Coloplast A/S (Class B Stock) | | | 40,249 | | | | 2,668,331 | |
| | | | | | |
|
|
|
| | | | | | | | 3,425,868 | |
| | | | | | |
|
|
|
Finland — 0.5% | |
Sampo OYJ (Class A Stock) | | | 63,003 | | | | 3,096,776 | |
Tieto OYJ | | | 41,300 | | | | 935,381 | |
| | | | | | |
|
|
|
| | | | | | | | 4,032,157 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
France — 4.7% | |
Alstom SA | | | 22,200 | | | $ | 809,560 | |
Arkema SA | | | 7,200 | | | | 840,662 | |
AXA SA | | | 40,200 | | | | 1,119,479 | |
BNP Paribas SA | | | 96,941 | | | | 7,562,134 | |
Bouygues SA | | | 21,900 | | | | 828,170 | |
Cap Gemini SA | | | 44,649 | | | | 3,022,097 | |
Cie Generale des Etablissements Michelin | | | 12,000 | | | | 1,276,814 | |
Credit Agricole SA* | | | 62,500 | | | | 801,186 | |
Dassault Systemes SA | | | 22,824 | | | | 2,833,140 | |
Electricite de France SA | | | 24,600 | | | | 870,281 | |
Renault SA | | | 12,300 | | | | 989,864 | |
Sanofi | | | 11,900 | | | | 1,270,864 | |
SCOR SE | | | 22,000 | | | | 804,686 | |
Societe Generale SA | | | 10,800 | | | | 628,028 | |
Technip SA | | | 10,740 | | | | 1,033,844 | |
Thales SA | | | 24,500 | | | | 1,578,873 | |
Total SA | | | 38,500 | | | | 2,363,118 | |
Valeo SA | | | 13,300 | | | | 1,473,930 | |
Vinci SA | | | 55,520 | | | | 3,649,414 | |
Vivendi SA | | | 59,600 | | | | 1,572,099 | |
| | | | | | |
|
|
|
| | | | | | | | 35,328,243 | |
| | | | | | |
|
|
|
Germany — 3.6% | |
Allianz SE | | | 10,300 | | | | 1,853,242 | |
Aurubis AG | | | 6,200 | | | | 378,339 | |
BASF SE | | | 8,700 | | | | 928,589 | |
Bayer AG | | | 5,600 | | | | 786,303 | |
Bayerische Motoren Werke AG | | | 35,517 | | | | 4,170,873 | |
Brenntag AG | | | 12,164 | | | | 2,257,597 | |
Continental AG | | | 6,100 | | | | 1,340,111 | |
Daimler AG | | | 23,700 | | | | 2,056,801 | |
Deutsche Bank AG | | | 13,700 | | | | 658,170 | |
E.ON AG | | | 46,000 | | | | 850,447 | |
Freenet AG | | | 37,500 | | | | 1,126,729 | |
Hannover Rueckversicherung AG | | | 8,600 | | | | 739,352 | |
Lanxess AG | | | 8,100 | | | | 541,239 | |
Metro AG | | | 17,100 | | | | 829,009 | |
Muenchener Rueckversicherungs AG | | | 5,700 | | | | 1,257,254 | |
ProSiebenSat.1 Media AG | | | 36,860 | | | | 1,830,324 | |
Rational AG | | | 2,512 | | | | 833,313 | |
Rheinmetall AG | | | 13,300 | | | | 820,541 | |
RWE AG | | | 18,800 | | | | 688,816 | |
Stada Arzneimittel AG | | | 14,500 | | | | 717,897 | |
Volkswagen AG | | | 7,400 | | | | 2,009,240 | |
| | | | | | |
|
|
|
| | | | | | | | 26,674,186 | |
| | | | | | |
|
|
|
Hong Kong — 1.2% | |
AIA Group Ltd. | | | 987,800 | | | | 4,972,079 | |
Cheung Kong Holdings Ltd. | | | 46,000 | | | | 727,756 | |
First Pacific Co. Ltd. | | | 528,000 | | | | 602,021 | |
Huabao International Holdings Ltd. | | | 1,286,000 | | | | 712,959 | |
Kingboard Chemical Holdings Ltd. | | | 216,000 | | | | 565,341 | |
Singamas Container Holdings Ltd. | | | 2,676,000 | | | | 629,774 | |
Yue Yuen Industrial Holdings Ltd. | | | 154,000 | | | | 514,933 | |
| | | | | | |
|
|
|
| | | | | | | | 8,724,863 | |
| | | | | | |
|
|
|
India — 0.3% | |
Tata Motors Ltd., ADR | | | 81,031 | | | | 2,495,755 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A93
| | | | | | |
| | | GLOBAL PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
Indonesia — 0.2% | |
PT Bank Rakyat Indonesia (Persero) Tbk | | | 2,638,000 | | | $ | 1,576,787 | |
| | | | | | |
|
|
|
Ireland — 1.4% | |
Accenture PLC (Class A Stock) | | | 58,910 | | | | 4,843,580 | |
Allegion PLC* | | | 7,000 | | | | 309,330 | |
Irish Life & Permanent Group Holdings PLC* | | | 51,300 | | | | 3,176 | |
Ryanair Holdings PLC, ADR* | | | 45,755 | | | | 2,147,282 | |
Smurfit Kappa Group PLC | | | 43,000 | | | | 1,055,272 | |
XL Group PLC | | | 66,902 | | | | 2,130,160 | |
| | | | | | |
|
|
|
| | | | | | | | 10,488,800 | |
| | | | | | |
|
|
|
Israel — 0.7% | |
Bank Hapoalim BM | | | 128,000 | | | | 717,196 | |
Check Point Software Technologies Ltd.*(a) | | | 41,249 | | | | 2,661,385 | |
Elbit Systems Ltd. | | | 11,400 | | | | 688,528 | |
Teva Pharmaceutical Industries Ltd. | | | 20,500 | | | | 820,234 | |
| | | | | | |
|
|
|
| | | | | | | | 4,887,343 | |
| | | | | | |
|
|
|
Italy — 0.6% | |
Banco Popolare Scarl* | | | 38,200 | | | | 73,158 | |
Enel SpA | | | 323,000 | | | | 1,409,383 | |
ENI SpA | | | 70,800 | | | | 1,710,794 | |
Finmeccanica SpA* | | | 79,000 | | | | 599,655 | |
Telecom Italia SpA | | | 626,400 | | | | 624,621 | |
| | | | | | |
|
|
|
| | | | | | | | 4,417,611 | |
| | | | | | |
|
|
|
Japan — 9.2% | |
Alpine Electronics, Inc. | | | 22,700 | | | | 318,108 | |
Aoyama Trading Co. Ltd. | | | 39,100 | | | | 1,057,431 | |
Aozora Bank Ltd. | | | 278,000 | | | | 787,821 | |
Astellas Pharma, Inc. | | | 29,400 | | | | 1,743,033 | |
Autobacs Seven Co. Ltd. | | | 42,000 | | | | 654,203 | |
Bank of Yokohama Ltd. (The) | | | 96,000 | | | | 535,606 | |
Coca-Cola West Co. Ltd. | | | 21,900 | | | | 463,838 | |
Daikin Industries Ltd. | | | 50,600 | | | | 3,157,578 | |
Denso Corp. | | | 65,000 | | | | 3,433,865 | |
Fuji Heavy Industries Ltd. | | | 119,574 | | | | 3,436,432 | |
Fukuoka Financial Group, Inc. | | | 129,000 | | | | 566,239 | |
Hogy Medical Co. Ltd. | | | 11,400 | | | | 600,319 | |
Hoya Corp. | | | 37,600 | | | | 1,045,727 | |
ITOCHU Corp. | | | 76,300 | | | | 943,269 | |
JX Holdings, Inc. | | | 101,400 | | | | 522,154 | |
KDDI Corp. | | | 27,600 | | | | 1,700,581 | |
Keihin Corp. | | | 24,500 | | | | 380,403 | |
Keyence Corp. | | | 7,800 | | | | 3,339,846 | |
KYORIN Holdings, Inc. | | | 37,400 | | | | 801,332 | |
Kyowa Exeo Corp. | | | 81,900 | | | | 1,083,068 | |
Lawson, Inc. | | | 30,400 | | | | 2,275,013 | |
Marubeni Corp. | | | 146,000 | | | | 1,051,065 | |
MISUMI Group, Inc. | | | 53,800 | | | | 1,691,501 | |
Mitsubishi Corp. | | | 50,200 | | | | 963,736 | |
Mitsubishi UFJ Financial Group, Inc. | | | 243,500 | | | | 1,616,693 | |
Mitsui & Co. Ltd. | | | 99,700 | | | | 1,389,932 | |
Mizuho Financial Group, Inc. | | | 703,200 | | | | 1,526,669 | |
Nichii Gakkan Co. | | | 40,300 | | | | 323,200 | |
Nichirei Corp. | | | 118,000 | | | | 601,820 | |
Nippon Telegraph & Telephone Corp. | | | 37,000 | | | | 1,992,835 | |
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
Japan (continued) | |
Nishi-Nippon City Bank Ltd. (The) | | | 167,000 | | | $ | 449,888 | |
Nissan Motor Co. Ltd. | | | 71,300 | | | | 597,495 | |
NTT DOCOMO, Inc. | | | 90,000 | | | | 1,481,966 | |
ORIX Corp. | | | 261,500 | | | | 4,595,044 | |
Resona Holdings, Inc. | | | 235,900 | | | | 1,203,672 | |
Sankyu, Inc. | | | 210,000 | | | | 819,489 | |
Secom Co. Ltd. | | | 49,600 | | | | 2,992,615 | |
Seino Holdings Co. Ltd. | | | 65,000 | | | | 684,039 | |
Shimachu Co. Ltd. | | | 30,700 | | | | 726,872 | |
Shin-Etsu Chemical Co. Ltd. | | | 35,100 | | | | 2,052,974 | |
Start Today Co. Ltd. | | | 23,100 | | | | 574,393 | |
Sumitomo Corp. | | | 88,900 | | | | 1,117,307 | |
Sumitomo Metal Mining Co. Ltd. | | | 21,200 | | | | 277,790 | |
Sumitomo Mitsui Financial Group, Inc. | | | 121,686 | | | | 6,328,084 | |
Toagosei Co. Ltd. | | | 147,000 | | | | 629,177 | |
Toho Holdings Co. Ltd. | | | 53,300 | | | | 855,585 | |
Tsumura & Co. | | | 22,900 | | | | 606,847 | |
UNY Group Holdings Co. Ltd. | | | 75,600 | | | | 463,769 | |
West Japan Railway Co. | | | 18,000 | | | | 779,912 | |
Yokohama Rubber Co. Ltd. (The) | | | 100,000 | | | | 983,352 | |
| | | | | | |
|
|
|
| | | | | | | | 68,223,587 | |
| | | | | | |
|
|
|
Liechtenstein | |
Verwaltungs- und Privat-Bank AG | | | 2,100 | | | | 229,527 | |
| | | | | | |
|
|
|
Macau — 0.4% | |
MGM China Holdings Ltd. | | | 744,800 | | | | 3,187,647 | |
| | | | | | |
|
|
|
Netherlands — 2.1% | |
Aegon NV | | | 104,300 | | | | 988,406 | |
Core Laboratories NV(a) | | | 31,803 | | | | 6,072,783 | |
ING Groep NV, CVA* | | | 83,900 | | | | 1,171,965 | |
Koninklijke Ahold NV | | | 85,000 | | | | 1,527,553 | |
Royal Dutch Shell PLC (Class B Stock) | | | 106,900 | | | | 4,032,308 | |
Royal Dutch Shell PLC, ADR | | | 25,550 | | | | 1,820,949 | |
| | | | | | |
|
|
|
| | | | | | | | 15,613,964 | |
| | | | | | |
|
|
|
New Zealand — 0.1% | |
Air New Zealand Ltd. | | | 737,900 | | | | 996,448 | |
| | | | | | |
|
|
|
Norway — 0.8% | |
DNB ASA | | | 54,100 | | | | 970,995 | |
Fred Olsen Energy ASA | | | 17,100 | | | | 697,775 | |
Statoil ASA | | | 36,100 | | | | 877,826 | |
Telenor ASA | | | 91,857 | | | | 2,194,794 | |
Yara International ASA | | | 23,200 | | | | 1,000,575 | |
| | | | | | |
|
|
|
| | | | | | | | 5,741,965 | |
| | | | | | |
|
|
|
Singapore — 0.3% | |
DBS Group Holdings Ltd. | | | 119,000 | | | | 1,617,182 | |
Golden Agri-Resources Ltd. | | | 1,127,400 | | | | 488,051 | |
| | | | | | |
|
|
|
| | | | | | | | 2,105,233 | |
| | | | | | |
|
|
|
South Africa — 0.8% | |
Aspen Pharmacare Holdings Ltd. | | | 58,686 | | | | 1,505,128 | |
Bidvest Group Ltd. | | | 77,813 | | | | 1,993,440 | |
Discovery Ltd. | | | 276,604 | | | | 2,230,949 | |
| | | | | | |
|
|
|
| | | | | | | | 5,729,517 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A94
| | | | | | |
| | | GLOBAL PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
South Korea — 0.2% | |
Samsung Electronics Co. Ltd. | | | 1,175 | | | $ | 1,531,081 | |
| | | | | | |
|
|
|
Spain — 1.1% | |
Amadeus IT Holding SA (Class A Stock) | | | 12,685 | | | | 543,368 | |
Banco Santander SA | | | 148,213 | | | | 1,332,810 | |
Gas Natural SDG SA | | | 51,600 | | | | 1,328,155 | |
Inditex SA | | | 20,449 | | | | 3,376,371 | |
Repsol SA | | | 57,200 | | | | 1,443,340 | |
Telefonica SA | | | 25,100 | | | | 410,406 | |
| | | | | | |
|
|
|
| | | | | | | | 8,434,450 | |
| | | | | | |
|
|
|
Sweden — 0.7% | |
Boliden AB | | | 45,100 | | | | 691,453 | |
NCC AB (Class B Stock) | | | 15,700 | | | | 512,764 | |
Nordea Bank AB | | | 72,500 | | | | 977,503 | |
Oriflame Cosmetics SA, SDR | | | 13,600 | | | | 418,112 | |
Swedbank AB (Class A Stock) | | | 50,400 | | | | 1,419,733 | |
TeliaSonera AB | | | 154,700 | | | | 1,290,261 | |
| | | | | | |
|
|
|
| | | | | | | | 5,309,826 | |
| | | | | | |
|
|
|
Switzerland — 3.5% | |
Baloise Holding AG | | | 11,400 | | | | 1,453,661 | |
Cie Financiere Richemont SA | | | 36,358 | | | | 3,632,072 | |
Credit Suisse Group AG | | | 50,297 | | | | 1,552,335 | |
Geberit AG | | | 9,067 | | | | 2,750,756 | |
Georg Fischer AG | | | 2,000 | | | | 1,408,068 | |
Novartis AG | | | 18,000 | | | | 1,442,689 | |
Partners Group Holding AG | | | 9,959 | | | | 2,655,957 | |
Roche Holding AG | | | 21,188 | | | | 5,935,316 | |
Swiss Life Holding AG* | | | 7,800 | | | | 1,621,618 | |
Swiss Re AG | | | 19,300 | | | | 1,779,237 | |
Zurich Insurance Group AG | | | 5,800 | | | | 1,682,372 | |
| | | | | | |
|
|
|
| | | | | | | | 25,914,081 | |
| | | | | | |
|
|
|
United Kingdom — 9.2% | |
Alent PLC | | | 46,600 | | | | 273,945 | |
AMEC PLC | | | 35,900 | | | | 648,170 | |
ARM Holdings PLC | | | 103,749 | | | | 1,886,465 | |
AstraZeneca PLC | | | 51,200 | | | | 3,037,555 | |
Aviva PLC | | | 144,400 | | | | 1,080,327 | |
Babcock International Group PLC | | | 111,587 | | | | 2,507,377 | |
BAE Systems PLC | | | 256,400 | | | | 1,849,883 | |
Barclays PLC | | | 287,100 | | | | 1,298,239 | |
Beazley PLC | | | 175,100 | | | | 790,459 | |
Berkeley Group Holdings PLC | | | 66,221 | | | | 2,919,582 | |
BG Group PLC | | | 103,891 | | | | 2,235,575 | |
BP PLC | | | 351,100 | | | | 2,845,369 | |
BT Group PLC | | | 348,600 | | | | 2,198,262 | |
Carillion PLC | | | 145,900 | | | | 799,917 | |
Centrica PLC | | | 160,065 | | | | 923,039 | |
Compass Group PLC | | | 285,661 | | | | 4,586,275 | |
Debenhams PLC | | | 301,400 | | | | 365,115 | |
Diageo PLC | | | 50,901 | | | | 1,686,795 | |
Experian PLC | | | 81,751 | | | | 1,510,141 | |
GlaxoSmithKline PLC | | | 23,400 | | | | 625,192 | |
Home Retail Group PLC | | | 107,200 | | | | 341,449 | |
HSBC Holdings PLC (XLON) | | | 90,500 | | | | 993,166 | |
HSBC Holdings PLC (XHKG) | | | 306,599 | | | | 3,342,333 | |
IMI PLC | | | 82,974 | | | | 2,101,240 | |
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
United Kingdom (continued) | |
InterContinental Hotels Group PLC | | | 84,230 | | | $ | 2,809,621 | |
Intermediate Capital Group PLC | | | 108,800 | | | | 758,617 | |
J Sainsbury PLC | | | 259,000 | | | | 1,567,535 | |
Johnson Matthey PLC | | | 49,169 | | | | 2,675,441 | |
Legal & General Group PLC | | | 366,900 | | | | 1,356,238 | |
Meggitt PLC | | | 296,248 | | | | 2,593,794 | |
Mondi PLC | | | 26,600 | | | | 461,739 | |
Old Mutual PLC | | | 214,100 | | | | 671,765 | |
Premier Foods PLC* | | | 152,560 | | | | 315,791 | |
Rolls-Royce Holdings PLC | | | 99,673 | | | | 2,108,232 | |
RSA Insurance Group PLC | | | 300,200 | | | | 454,366 | |
St. James’s Place PLC | | | 230,337 | | | | 2,784,069 | |
TESCO PLC | | | 233,500 | | | | 1,296,711 | |
Tullow Oil PLC | | | 110,584 | | | | 1,569,482 | |
Vesuvius PLC | | | 81,100 | | | | 685,764 | |
Vodafone Group PLC | | | 295,900 | | | | 1,165,021 | |
WM Morrison Supermarkets PLC | | | 320,700 | | | | 1,388,258 | |
WPP PLC | | | 134,277 | | | | 3,075,489 | |
| | | | | | |
|
|
|
| | | | | | | | 68,583,803 | |
| | | | | | |
|
|
|
United States — 49.5% | |
3M Co. | | | 30,725 | | | | 4,309,181 | |
AES Corp. | | | 166,850 | | | | 2,420,994 | |
Allstate Corp. (The) | | | 49,500 | | | | 2,699,730 | |
American Express Co. | | | 33,100 | | | | 3,003,163 | |
Ameriprise Financial, Inc. | | | 17,350 | | | | 1,996,118 | |
Amgen, Inc. | | | 19,450 | | | | 2,220,412 | |
Amphenol Corp. (Class A Stock) | | | 65,481 | | | | 5,839,596 | |
Anadarko Petroleum Corp. | | | 7,950 | | | | 630,594 | |
ANSYS, Inc.* | | | 38,934 | | | | 3,395,045 | |
Apache Corp. | | | 39,250 | | | | 3,373,145 | |
Apple, Inc. | | | 14,616 | | | | 8,201,184 | |
AT&T, Inc. | | | 108,450 | | | | 3,813,102 | |
Avon Products, Inc. | | | 71,900 | | | | 1,238,118 | |
Baker Hughes, Inc. | | | 31,250 | | | | 1,726,875 | |
Bank of America Corp. | | | 260,850 | | | | 4,061,435 | |
Boeing Co. (The) | | | 15,200 | | | | 2,074,648 | |
Carnival Corp. | | | 60,400 | | | | 2,426,268 | |
Celanese Corp., Series A | | | 73,600 | | | | 4,070,816 | |
Charles Schwab Corp. (The) | | | 352,435 | | | | 9,163,310 | |
Chevron Corp. | | | 38,550 | | | | 4,815,281 | |
Cisco Systems, Inc. | | | 116,500 | | | | 2,615,425 | |
Cognizant Technology Solutions Corp. (Class A Stock)* | | | 37,197 | | | | 3,756,153 | |
Comcast Corp. (Class A Stock) | | | 25,700 | | | | 1,335,501 | |
Comcast Corp. (Special Class A Stock) | | | 18,300 | | | | 912,804 | |
CONSOL Energy, Inc.(a) | | | 35,300 | | | | 1,342,812 | |
Costco Wholesale Corp. | | | 42,477 | | | | 5,055,188 | |
Covance, Inc.* | | | 50,556 | | | | 4,451,961 | |
Covidien PLC | | | 32,300 | | | | 2,199,630 | |
Danaher Corp. | | | 88,816 | | | | 6,856,595 | |
DaVita HealthCare Partners, Inc.* | | | 81,022 | | | | 5,134,364 | |
Ecolab, Inc. | | | 55,333 | | | | 5,769,572 | |
Emerson Electric Co. | | | 19,400 | | | | 1,361,492 | |
Entergy Corp.(a) | | | 33,650 | | | | 2,129,036 | |
EQT Corp. | | | 21,950 | | | | 1,970,671 | |
Estee Lauder Cos., Inc. (The) (Class A Stock) | | | 87,307 | | | | 6,575,963 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A95
| | | | | | |
| | | GLOBAL PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
United States (continued) | |
Exelon Corp.(a) | | | 59,700 | | | $ | 1,635,183 | |
Express Scripts Holding Co.* | | | 118,242 | | | | 8,305,318 | |
Exxon Mobil Corp. | | | 48,600 | | | | 4,918,320 | |
Fifth Third Bancorp | | | 87,500 | | | | 1,840,125 | |
Fluor Corp. | | | 98,335 | | | | 7,895,317 | |
FMC Technologies, Inc.* | | | 99,821 | | | | 5,211,654 | |
Fossil Group, Inc.* | | | 34,946 | | | | 4,191,423 | |
General Electric Co. | | | 155,550 | | | | 4,360,067 | |
General Motors Co.* | | | 91,050 | | | | 3,721,214 | |
Gilead Sciences, Inc.* | | | 63,401 | | | | 4,764,585 | |
Goldman Sachs Group, Inc. (The) | | | 4,975 | | | | 881,869 | |
Google, Inc. (Class A Stock)* | | | 8,411 | | | | 9,426,292 | |
Hess Corp. | | | 26,250 | | | | 2,178,750 | |
Honeywell International, Inc. | | | 25,950 | | | | 2,371,052 | |
Illinois Tool Works, Inc. | | | 21,650 | | | | 1,820,332 | |
Ingersoll-Rand PLC | | | 21,000 | | | | 1,293,600 | |
International Paper Co. | | | 69,500 | | | | 3,407,585 | |
Intuitive Surgical, Inc.* | | | 17,233 | | | | 6,618,851 | |
Invesco Ltd. | | | 47,100 | | | | 1,714,440 | |
Johnson & Johnson | | | 41,950 | | | | 3,842,201 | |
JPMorgan Chase & Co. | | | 111,000 | | | | 6,491,280 | |
Kellogg Co. | | | 22,800 | | | | 1,392,396 | |
Kohl’s Corp. | | | 51,450 | | | | 2,919,788 | |
Liberty Media Corp. (Class A Stock)* | | | 4,000 | | | | 585,800 | |
Lockheed Martin Corp. | | | 7,450 | | | | 1,107,517 | |
Lowe’s Cos., Inc. | | | 72,900 | | | | 3,612,195 | |
Mallinckrodt PLC* | | | 3,843 | | | | 200,835 | |
Marsh & McLennan Cos., Inc. | | | 80,500 | | | | 3,892,980 | |
Mead Johnson Nutrition Co. | | | 79,959 | | | | 6,697,366 | |
Merck & Co., Inc. | | | 90,800 | | | | 4,544,540 | |
MetLife, Inc. | | | 41,650 | | | | 2,245,768 | |
Microsoft Corp. | | | 105,200 | | | | 3,937,636 | |
Morgan Stanley | | | 125,650 | | | | 3,940,384 | |
Murphy Oil Corp. | | | 2,550 | | | | 165,444 | |
National Instruments Corp. | | | 105,386 | | | | 3,374,460 | |
NetApp, Inc. | | | 104,666 | | | | 4,305,959 | |
Newfield Exploration Co.* | | | 15,400 | | | | 379,302 | |
NRG Energy, Inc. | | | 115,750 | | | | 3,324,340 | |
PepsiCo, Inc. | | | 27,500 | | | | 2,280,850 | |
Pfizer, Inc. | | | 192,700 | | | | 5,902,401 | |
PG&E Corp. | | | 53,450 | | | | 2,152,966 | |
PNC Financial Services Group, Inc. | | | 21,500 | | | | 1,667,970 | |
Procter & Gamble Co. (The) | | | 41,200 | | | | 3,354,092 | |
QUALCOMM, Inc. | | | 104,197 | | | | 7,736,627 | |
Raytheon Co. | | | 22,650 | | | | 2,054,355 | |
Roper Industries, Inc. | | | 40,260 | | | | 5,583,257 | |
Salesforce.com, Inc.*(a) | | | 92,781 | | | | 5,120,583 | |
Schlumberger Ltd. | | | 80,999 | | | | 7,298,820 | |
SLM Corp. | | | 63,550 | | | | 1,670,094 | |
Southwest Airlines Co. | | | 229,500 | | | | 4,323,780 | |
Spectra Energy Corp. | | | 46,050 | | | | 1,640,301 | |
St. Joe Co. (The)*(a) | | | 40,150 | | | | 770,479 | |
Starbucks Corp. | | | 89,639 | | | | 7,026,801 | |
Stericycle, Inc.* | | | 49,276 | | | | 5,724,393 | |
TE Connectivity Ltd. | | | 31,100 | | | | 1,713,921 | |
Texas Instruments, Inc. | | | 39,500 | | | | 1,734,445 | |
Thermo Fisher Scientific, Inc.(a) | | | 31,500 | | | | 3,507,525 | |
Time Warner Cable, Inc. | | | 26,000 | | | | 3,523,000 | |
Time Warner, Inc. | | | 53,200 | | | | 3,709,104 | |
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
United States (continued) | |
Union Pacific Corp. | | | 17,500 | | | $ | 2,940,000 | |
United Technologies Corp. | | | 31,350 | | | | 3,567,630 | |
U.S. Bancorp | | | 78,300 | | | | 3,163,320 | |
Visa, Inc. (Class A Stock) | | | 40,500 | | | | 9,018,540 | |
Vulcan Materials Co. | | | 21,050 | | | | 1,250,791 | |
Wal-Mart Stores, Inc. | | | 18,750 | | | | 1,475,438 | |
Wells Fargo & Co. | | | 49,000 | | | | 2,224,600 | |
Western Union Co. (The) | | | 75,750 | | | | 1,306,688 | |
Weyerhaeuser Co. | | | 94,750 | | | | 2,991,258 | |
Whole Foods Market, Inc. | | | 102,678 | | | | 5,937,863 | |
| | | | | | |
|
|
|
| | | | | | | | 368,834,242 | |
| | | | | | |
|
|
|
TOTAL COMMON STOCKS
(cost $554,692,628) | | | | 718,406,561 | |
| | | | | | |
|
|
|
| | |
| RIGHTS* | | Units
| | | | |
Spain | |
Repsol SA (Spain),
expiring 01/09/14
(cost $37,373) | | | 57,200 | | | | 39,030 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $554,730,001) | | | | 718,445,591 | |
| | | | | | |
|
|
|
| SHORT-TERM INVESTMENT — 5.0% | |
AFFILIATED MONEY MARKET MUTUAL FUND | |
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $36,997,610; includes $18,518,249 of cash collateral received for securities on loan) (b)(c) (Note 4) | | | 36,997,610 | | | | 36,997,610 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 101.5%
(cost $591,727,611) | | | | 755,443,201 | |
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.5)% | | | | (10,899,473 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 744,543,728 | |
| | | | | | |
|
|
|
The following abbreviations are used in the Portfolio descriptions:
| | |
| ADR | | American Depositary Receipt |
| CVA | | Certificate Van Anadelen (Bearer) |
| SDR | | Swedish Depositary Receipt |
| XHKG | | Hong Kong Stock Exchange |
| XLON | | London 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 $18,125,648; cash collateral of $18,518,249 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (c) | 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.
A96
| | | | | | |
| | | GLOBAL PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1—quoted | prices generally in active markets for identical securities. |
| Level 2—other | significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| 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, 2013 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | |
Australia | | $ | — | | | $ | 14,165,101 | | | $ | — | |
Austria | | | 1,450,182 | | | | 696,790 | | | | — | |
Belgium | | | 208,469 | | | | 1,279,083 | | | | — | |
Bermuda | | | 3,597,709 | | | | — | | | | — | |
Brazil | | | 2,048,856 | | | | — | | | | — | |
Canada | | | 6,395,979 | | | | — | | | | — | |
China | | | 882,818 | | | | 5,194,590 | | | | — | |
Denmark | | | — | | | | 3,425,868 | | | | — | |
Finland | | | — | | | | 4,032,157 | | | | — | |
France | | | 2,833,140 | | | | 32,495,103 | | | | — | |
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Germany | | $ | — | | | $ | 26,674,186 | | | $ | — | |
Hong Kong | | | — | | | | 8,724,863 | | | | — | |
India | | | 2,495,755 | | | | — | | | | — | |
Indonesia | | | — | | | | 1,576,787 | | | | — | |
Ireland | | | 9,430,352 | | | | 1,058,448 | | | | — | |
Israel | | | 2,661,385 | | | | 2,225,958 | | | | — | |
Italy | | | — | | | | 4,417,611 | | | | — | |
Japan | | | — | | | | 68,223,587 | | | | — | |
Liechtenstein | | | 229,527 | | | | — | | | | — | |
Macau | | | — | | | | 3,187,647 | | | | — | |
Netherlands | | | 7,893,732 | | | | 7,720,232 | | | | — | |
New Zealand | | | — | | | | 996,448 | | | | — | |
Norway | | | — | | | | 5,741,965 | | | | — | |
Singapore | | | — | | | | 2,105,233 | | | | — | |
South Africa | | | — | | | | 5,729,517 | | | | — | |
South Korea | | | — | | | | 1,531,081 | | | | — | |
Spain | | | — | | | | 8,434,450 | | | | — | |
Sweden | | | — | | | | 5,309,826 | | | | — | |
Switzerland | | | 2,655,957 | | | | 23,258,124 | | | | — | |
United Kingdom | | | 1,044,102 | | | | 67,539,701 | | | | — | |
United States | | | 368,834,242 | | | | — | | | | — | |
Rights: | | | | | | | | | | | | |
Spain | | | 39,030 | | | | — | | | | — | |
Affiliated Money Market Mutual Fund | | | 36,997,610 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 449,698,845 | | | $ | 305,744,356 | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 were as follows:
| | | | |
Commercial Banks | | | 6.3 | % |
Oil, Gas & Consumable Fuels | | | 5.8 | |
Insurance | | | 5.5 | |
Affiliated Money Market Mutual Fund (including 2.5% of collateral received for securities on loan) | | | 5.0 | |
Pharmaceuticals | | | 4.5 | |
IT Services | | | 3.9 | |
Food & Staples Retailing | | | 3.3 | |
Capital Markets | | | 3.1 | |
Energy Equipment & Services | | | 3.0 | |
Aerospace & Defense | | | 2.7 | |
Chemicals | | | 2.7 | |
Automobiles | | | 2.7 | |
Hotels, Restaurants & Leisure | | | 2.6 | |
Industrial Conglomerates | | | 2.5 | |
Software | | | 2.5 | |
Diversified Financial Services | | | 2.4 | |
Electronic Equipment, Instruments & Components | | | 2.1 | |
Construction & Engineering | | | 2.1 | |
Media | | | 2.0 | |
Health Care Providers & Services | | | 1.9 | |
Diversified Telecommunication Services | | | 1.9 | |
Internet Software & Services | | | 1.8 | |
Computers & Peripherals | | | 1.7 | |
Health Care Equipment & Supplies | | | 1.7 | |
Commercial Services & Supplies | | | 1.6 | |
Machinery | | | 1.4 | |
Communications Equipment | | | 1.3 | |
Biotechnology | | | 1.3 | |
Food Products | | | 1.3 | |
Auto Components | | | 1.3 | |
Specialty Retail | | | 1.2 | |
Trading Companies & Distributors | | | 1.2 | |
| | | | |
Road & Rail | | | 1.2 | % |
Textiles, Apparel & Luxury Goods | | | 1.2 | |
Personal Products | | | 1.2 | |
Life Sciences Tools & Services | | | 1.1 | |
Airlines | | | 1.1 | |
Electrical Equipment | | | 1.0 | |
Real Estate Management & Development | | | 0.9 | |
Building Products | | | 0.8 | |
Electric Utilities | | | 0.8 | |
Metals & Mining | | | 0.8 | |
Independent Power Producers & Energy Traders | | | 0.7 | |
Wireless Telecommunication Services | | | 0.7 | |
Semiconductors & Semiconductor Equipment | | | 0.7 | |
Consumer Finance | | | 0.6 | |
Multi-Utilities | | | 0.6 | |
Beverages | | | 0.6 | |
Paper & Forest Products | | | 0.6 | |
Multiline Retail | | | 0.5 | |
Household Products | | | 0.4 | |
Household Durables | | | 0.4 | |
Real Estate Investment Trusts | | | 0.4 | |
Professional Services | | | 0.2 | |
Construction Materials | | | 0.2 | |
Gas Utilities | | | 0.1 | |
Containers & Packaging | | | 0.1 | |
Diversified Consumer Services | | | 0.1 | |
Internet & Catalog Retail | | | 0.1 | |
Marine | | | 0.1 | |
| | |
|
|
|
| | | | 101.5 | |
Liabilities in excess of other assets | | | (1.5 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A97
| | | | | | |
| | | GLOBAL PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
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.
Fair values of derivative instruments as of December 31, 2013 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 contract | | Unaffiliated investments | | $ | 39,030 | | | — | | $ | — | |
| | | | |
|
|
| | | |
|
|
|
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2013 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*
| | | Forward
Currency
Contracts**
| | | Total
| |
Equity contracts | | $ | 140,674 | | | $ | — | | | $ | 140,674 | |
Foreign exchange contracts | | | — | | | | 80,622 | | | | 80,622 | |
| | |
|
|
| |
|
|
| |
|
|
|
| | | $ | 140,674 | | | $ | 80,622 | | | $ | 221,296 | |
| | |
|
|
| |
|
|
| |
|
|
|
| * | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| ** | Included in net realized gain (loss) on foreign currency transactions in the Statement of Operations. |
| | | | |
|
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
| |
Derivatives not designated as hedging instruments, carried at fair value
| | Rights*
| |
Equity contracts | | $ | (33,225 | ) |
| | |
|
|
|
| * | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2013, the Portfolio’s average volume of derivative activities is as follows:
| | |
Forward Currency Contracts—Purchased (Value at Settlement Date Payable)
| | Forward Currency Contracts—Sold
(Value at Settlement Date Receivable)
|
| $8,292,287 | | $8,265,368 |
The Portfolio invested in financial instruments during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument assets and liabilities:
| | | | | | | | | | | | | | | | |
Description
| | Gross Amounts
Recognized
| | | Gross Amounts
not subject to
netting
| | | Gross Amounts
Offset in the
Statement of
Financial Position
| | | Net Amounts
Presented in the
Statement of
Financial Position
| |
Assets: | | | | | | | | | | | | | | | | |
Securities on loan | | $ | 18,125,648 | | | $ | — | | | $ | — | | | $ | 18,125,648 | |
Collateral Amounts Pledged/(Received): | |
Securities on loan | | | | | | | | | | | | | | | (18,125,648 | ) |
| | | | | | | | | | | | | | |
|
|
|
Net Amount | | | | | | | | | | | | | | $ | — | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A98
| | | | | | |
| | | GLOBAL PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2013
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $18,125,648: | | | | |
Unaffiliated investments (cost $554,730,001) | | $ | 718,445,591 | |
Affiliated investments (cost $36,997,610) | | | 36,997,610 | |
Foreign currency, at value (cost $2,389,637) | | | 2,422,736 | |
Cash | | | 130,344 | |
Receivable for investments sold | | | 4,855,793 | |
Tax reclaim receivable | | | 1,098,309 | |
Dividends and interest receivable | | | 632,374 | |
Receivable for Series shares sold | | | 16,296 | |
Prepaid expenses | | | 6,105 | |
| | |
|
|
|
Total Assets | | | 764,605,158 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 18,518,249 | |
Payable for investments purchased | | | 823,971 | |
Management fee payable | | | 456,123 | |
Accrued expenses and other liabilities | | | 187,381 | |
Payable for Series shares reacquired | | | 74,780 | |
Affiliated transfer agent fee payable | | | 926 | |
| | |
|
|
|
Total Liabilities | | | 20,061,430 | |
| | |
|
|
|
| NET ASSETS | | $ | 744,543,728 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 587,649,712 | |
Retained earnings | | | 156,894,016 | |
| | |
|
|
|
Net assets, December 31, 2013 | | $ | 744,543,728 | |
| | |
|
|
|
Net asset value and redemption price per share, $744,543,728 / 29,886,074 outstanding shares of beneficial interest | | $ | 24.91 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2013
| | | | |
| INCOME | | | | |
Unaffiliated dividend income (net of foreign withholding taxes of $754,924) | | $ | 14,312,116 | |
Affiliated income from securities loaned, net | | | 32,555 | |
Affiliated dividend income | | | 28,295 | |
Interest | | | 2,478 | |
| | |
|
|
|
| | | | 14,375,444 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 5,060,139 | |
Custodian’s fees and expenses | | | 385,000 | |
Shareholders’ reports | | | 120,000 | |
Audit fee | | | 26,000 | |
Trustees’ fees | | | 17,000 | |
Legal fees and expenses | | | 13,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4) | | | 12,000 | |
Insurance expenses | | | 8,000 | |
Commitment fee on syndicated credit agreement | | | 3,000 | |
Miscellaneous | | | 42,621 | |
| | |
|
|
|
Total expenses | | | 5,686,760 | |
Less: Management fee waiver (Note 3) | | | (35,273 | ) |
| | |
|
|
|
Net expenses | | | 5,651,487 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 8,723,957 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 65,696,798 | |
Foreign currency transactions | | | (301,772 | ) |
| | |
|
|
|
| | | | 65,395,026 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments | | | 88,703,634 | |
Foreign currencies | | | 75,117 | |
| | |
|
|
|
| | | | 88,778,751 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | | | 154,173,777 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 162,897,734 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| |
| INCREASE IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 8,723,957 | | | $ | 10,856,377 | |
Net realized gain on investment and foreign currency transactions | | | 65,395,026 | | | | 16,017,924 | |
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | | | 88,778,751 | | | | 68,607,745 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 162,897,734 | | | | 95,482,046 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | — | | | | (9,580,386 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [782,060 and 392,325 shares, respectively] | | | 17,649,736 | | | | 7,205,788 | |
Series shares issued in reinvestment of distributions [0 and 555,063 shares, respectively] | | | — | | | | 9,580,386 | |
Series shares repurchased [2,132,268 and 3,015,270 shares, respectively] | | | (47,193,527 | ) | | | (55,676,472 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (29,543,791 | ) | | | (38,890,298 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 133,353,943 | | | | 47,011,362 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 611,189,785 | | | | 564,178,423 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 744,543,728 | | | $ | 611,189,785 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A99
| | | | | | |
| | | GOVERNMENT INCOME PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
LONG-TERM INVESTMENTS — 99.4% ASSET-BACKED SECURITIES — 1.7% | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Collateralized Mortgage Obligations — 0.7% | | | | | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp., REMICS, Series, 2002-2496, Class PM | | | | | 5.500% | | | 09/15/17 | | | 533 | | | $ | 567,985 | |
Federal Home Loan Mortgage Corp., REMICS, Series, 2002-2501, Class MC | | | | | 5.500% | | | 09/15/17 | | | 185 | | | | 195,353 | |
Federal Home Loan Mortgage Corp., REMICS, Series, 2002-2513, Class HC | | | | | 5.000% | | | 10/15/17 | | | 1,049 | | | | 1,110,538 | |
Federal National Mortgage Assoc., REMICS, Series, 2002-57, Class ND | | | | | 5.500% | | | 09/25/17 | | | 216 | | | | 228,380 | |
Federal National Mortgage Assoc., REMICS, Series, 2002-18, Class PC | | | | | 5.500% | | | 04/25/17 | | | 5 | | | | 4,545 | |
Merrill Lynch Mortgage Investors, Inc., Series 2003-E, Class A1 | | | | | 0.785% | (a) | | 10/25/28 | | | 63 | | | | 61,322 | |
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | | | | | 2.906% | (a) | | 02/25/34 | | | 262 | | | | 262,341 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 2,430,464 | |
| | | | | | | | | | | | | | |
|
|
|
Non-Residential Mortgage-Backed Securities — 1.0% | | | | | | | | | | | | | | | | |
Citibank Credit Card Issuance Trust, Series 2007-A8, Class A8 | | | | | 5.650% | | | 09/20/19 | | | 1,500 | | | | 1,718,018 | |
Small Business Administration Participation Certificates, Series 1996-20J, Class 1 | | | | | 7.200% | | | 10/01/16 | | | 458 | | | | 479,236 | |
Small Business Administration Participation Certificates, Series 1997-20A, Class 1 | | | | | 7.150% | | | 01/01/17 | | | 359 | | | | 376,467 | |
Small Business Administration Participation Certificates, Series 1997-20G, Class 1 | | | | | 6.850% | | | 07/01/17 | | | 177 | | | | 186,251 | |
Small Business Administration Participation Certificates, Series 1998-20I, Class 1 | | | | | 6.000% | | | 09/01/18 | | | 478 | | | | 509,092 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 3,269,064 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL ASSET-BACKED SECURITIES
(cost $5,275,131) | | | | 5,699,528 | |
| | | | | | | | | | | | | | |
|
|
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 17.3% | | | | | | | | | | | | | | | | |
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A3 | | | | | 5.293% | | | 12/11/49 | | | 1,800 | | | | 1,833,205 | |
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3 | | | | | 2.540% | | | 12/10/45 | | | 1,000 | | | | 916,381 | |
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM | | | | | 5.465% | (a) | | 02/15/39 | | | 200 | | | | 213,708 | |
CW Capital Cobalt Ltd., Series 2006-C1, Class A4 | | | | | 5.223% | | | 08/15/48 | | | 2,000 | | | | 2,157,984 | |
Federal National Mortgage Assoc., Series 2012-M13, Class A2 | | | | | 2.377% | | | 05/25/22 | | | 1,850 | | | | 1,721,122 | |
Federal National Mortgage Assoc., Series 2012-M2, Class A2 | | | | | 2.717% | | | 02/25/22 | | | 200 | | | | 192,443 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K003, Class A5 | | | | | 5.085% | | | 03/25/19 | | | 250 | | | | 282,053 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K004, Class A2 | | | | | 4.186% | | | 08/25/19 | | | 4,825 | | | | 5,240,669 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K005, Class A2 | | | | | 4.317% | | | 11/25/19 | | | 1,100 | | | | 1,201,071 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K010, Class A2 | | | | | 4.333% | | | 10/25/20 | | | 3,600 | | | | 3,895,423 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K013, Class A2 | | | | | 3.974% | (a) | | 01/25/21 | | | 3,525 | | | | 3,726,394 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K016, Class A2 | | | | | 2.968% | | | 10/25/21 | | | 2,800 | | | | 2,763,863 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O | | | | | 1.473% | (a) | | 05/25/22 | | | 9,397 | | | | 883,749 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O | | | | | 1.512% | (a) | | 06/25/22 | | | 9,944 | | | | 976,084 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K024, Class A2 | | | | | 2.573% | | | 09/25/22 | | | 2,000 | | | | 1,879,968 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K026, Class A2 | | | | | 2.510% | | | 11/25/22 | | | 3,600 | | | | 3,355,524 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K029,
Class A2 | | | | | 3.320% | (a) | | 02/25/23 | | | 3,600 | | | | 3,560,576 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K033, Class A2(b) | | | | | 3.060% | (a) | | 07/25/23 | | | 3,600 | | | | 3,467,120 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2 | | | | | 3.531% | (a) | | 07/25/23 | | | 3,200 | | | | 3,200,333 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O | | | | | 1.751% | (a) | | 08/25/16 | | | 4,088 | | | | 127,461 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A100
| | | | | | |
| | | GOVERNMENT INCOME PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O | | | | | 1.783% | (a) | | 05/25/19 | | | 8,446 | | | $ | 679,697 | |
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O | | | | | 1.710% | (a) | | 07/25/19 | | | 7,970 | | | | 626,622 | |
Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A2 | | | | | 5.381% | | | 03/10/39 | | | 1,234 | | | | 1,261,803 | |
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A3 | | | | | 5.806% | (a) | | 06/15/49 | | | 1,000 | | | | 1,018,912 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class A3 | | | | | 5.172% | | | 12/12/49 | | | 2,000 | | | | 2,168,314 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A2 | | | | | 5.590% | | | 09/12/49 | | | 430 | | | | 430,926 | |
Morgan Stanley Capital I Trust, Series 2005-IQ10, Class A4B | | | | | 5.284% | (a) | | 09/15/42 | | | 800 | | | | 842,966 | |
NCUA Guaranteed Notes, Series 2010-C1, Class A2 | | | | | 2.900% | | | 10/29/20 | | | 2,600 | | | | 2,685,693 | |
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | | | | | 2.792% | | | 12/10/45 | | | 1,300 | | | | 1,211,802 | |
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class A5 | | | | | 5.416% | (a) | | 01/15/45 | | | 1,500 | | | | 1,615,854 | |
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A5 | | | | | 5.724% | (a) | | 05/15/43 | | | 2,000 | | | | 2,186,732 | |
Wachovia Bank Commercial Mortgage Trust, Series 2006-C27, Class A3 | | | | | 5.765% | (a) | | 07/15/45 | | | 2,532 | | | | 2,719,124 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $60,511,992) | | | | 59,043,576 | |
| | | | | | | | | | | | | | |
|
|
|
| CORPORATE BONDS — 1.9% | | | | | | | | | | | | | | | | |
Asian Development Bank, Sr. Unsec’d. Notes, GMTN | | | | | 1.750% | | | 09/11/18 | | | 3,705 | | | | 3,705,611 | |
Depfa ACS Bank, Covered Bonds, 144A | | | | | 5.125% | | | 03/16/37 | | | 600 | | | | 507,750 | |
Westpac Banking Corp., Covered Bonds, 144A (original cost $2,177,297; purchased 11/18/13)(c) | | | | | 1.850% | | | 11/26/18 | | | 2,180 | | | | 2,140,978 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL CORPORATE BONDS
(cost $6,452,476) | | | | 6,354,339 | |
| | | | | | | | | | | | | | |
|
|
|
| MUNICIPAL BONDS — 1.8% | | | | | | | | | | | | | | | | |
New York City Transitional Finance Authority , Series A1, Sub-Future Tax Secured Revenue | | | | | 5.000% | | | 11/01/42 | | | 620 | | | | 637,422 | |
New York City Water & Sewer System, Series EE, Revenue Bonds | | | | | 5.000% | | | 06/15/47 | | | 1,600 | | | | 1,635,904 | |
Ohio State Turnpike Commission, Series A-1, Revenue Bonds | | | | | 5.000% | | | 02/15/48 | | | 825 | | | | 810,983 | |
Pennsylvania Turnpike Commission, Series C, Revenue Bonds | | | | | 5.000% | | | 12/01/43 | | | 1,055 | | | | 1,051,708 | |
State of California, GO, Refunding Notes | | | | | 5.000% | | | 11/01/43 | | | 600 | | | | 609,282 | |
State of Utah, BABs, Series D | | | | | 4.554% | | | 07/01/24 | | | 630 | | | | 669,236 | |
Utility Debt Securitization Utility Authority, Restructuring Bonds, Series TE | | | | | 5.000% | | | 12/15/41 | | | 650 | | | | 681,155 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL MUNICIPAL BONDS
(cost $6,070,143) | | | | 6,095,690 | |
| | | | | | | | | | | | | | |
|
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 48.8% | | | | | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp.(b) | | | | | 0.750% | | | 01/12/18 | | | 1,380 | | | | 1,343,108 | |
Federal Home Loan Mortgage Corp.(b) | | | | | 1.375% | | | 05/01/20 | | | 2,950 | | | | 2,765,666 | |
Federal Home Loan Mortgage Corp. | | | | | 2.354% | (a) | | 05/01/34 | | | 486 | | | | 515,656 | |
Federal Home Loan Mortgage Corp.(b) | | | | | 2.375% | | | 01/13/22 | | | 17,335 | | | | 16,571,653 | |
Federal Home Loan Mortgage Corp.(d) | | | | | 3.000% | | | TBA | | | 5,500 | | | | 5,209,531 | |
Federal Home Loan Mortgage Corp.(d) | | | | | 3.500% | | | TBA | | | 1,000 | | | | 1,042,500 | |
Federal Home Loan Mortgage Corp.(d) | | | | | 3.500% | | | TBA | | | 3,000 | | | | 2,976,563 | |
Federal Home Loan Mortgage Corp.(d) | | | | | 4.000% | | | TBA | | | 4,500 | | | | 4,621,289 | |
Federal Home Loan Mortgage Corp. | | | | | 4.000% | | | 06/01/26-12/01/40 | | | 2,174 | | | | 2,266,802 | |
Federal Home Loan Mortgage Corp. | | | | | 4.500% | | | 09/01/39 | | | 4,330 | | | | 4,586,029 | |
Federal Home Loan Mortgage Corp. | | | | | 5.000% | | | 06/01/33-05/01/34 | | | 2,199 | | | | 2,382,866 | |
Federal Home Loan Mortgage Corp. | | | | | 5.500% | | | 05/01/37-05/01/38 | | | 1,538 | | | | 1,675,979 | |
Federal Home Loan Mortgage Corp. | | | | | 6.000% | | | 09/01/34-08/01/39 | | | 1,040 | | | | 1,151,293 | |
Federal Home Loan Mortgage Corp. | | | | | 6.500% | | | 09/01/32 | | | 125 | | | | 138,755 | |
Federal National Mortgage Assoc. | | | | | 0.875% | | | 05/21/18 | | | 580 | | | | 561,041 | |
Federal National Mortgage Assoc.(b) | | | | | 1.625% | | | 11/27/18 | | | 2,145 | | | | 2,127,106 | |
Federal National Mortgage Assoc. | | | | | 2.165% | (a) | | 07/01/33 | | | 1,453 | | | | 1,540,808 | |
Federal National Mortgage Assoc. | | | | | 2.248% | (a) | | 06/01/34 | | | 400 | | | | 425,027 | |
Federal National Mortgage Assoc. | | | | | 2.255% | (a) | | 04/01/34 | | | 197 | | | | 209,241 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A101
| | | | | | |
| | | GOVERNMENT INCOME PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Federal National Mortgage Assoc. | | | | | 2.373% | (a) | | 04/01/34 | | | 348 | | | $ | 368,001 | |
Federal National Mortgage Assoc. | | | | | 2.392% | (a) | | 08/01/33 | | | 873 | | | | 917,430 | |
Federal National Mortgage Assoc.(d) | | | | | 2.500% | | | TBA | | | 2,500 | | | | 2,474,219 | |
Federal National Mortgage Assoc.(d) | | | | | 3.000% | | | TBA | | | 13,500 | | | | 13,776,855 | |
Federal National Mortgage Assoc.(d) | | | | | 3.000% | | | TBA | | | 7,000 | | | | 6,645,078 | |
Federal National Mortgage Assoc.(d) | | | | | 3.500% | | | TBA | | | 11,000 | | | | 11,503,164 | |
Federal National Mortgage Assoc.(d) | | | | | 3.500% | | | TBA | | | 2,000 | | | | 1,986,719 | |
Federal National Mortgage Assoc. | | | | | 3.500% | | | 06/01/39 | | | 624 | | | | 621,063 | |
Federal National Mortgage Assoc.(d) | | | | | 4.000% | | | TBA | | | 12,000 | | | | 12,352,500 | |
Federal National Mortgage Assoc.(d) | | | | | 4.500% | | | TBA | | | 5,000 | | | | 5,297,852 | |
Federal National Mortgage Assoc. | | | | | 4.500% | | | 05/01/40 | | | 5,416 | | | | 5,749,814 | |
Federal National Mortgage Assoc.(d) | | | | | 5.000% | | | TBA | | | 2,000 | | | | 2,165,781 | |
Federal National Mortgage Assoc. | | | | | 5.000% | | | 07/01/18-05/01/36 | | | 3,853 | | | | 4,160,160 | |
Federal National Mortgage Assoc. | | | | | 5.500% | | | 01/01/17-11/01/35 | | | 8,744 | | | | 9,688,368 | |
Federal National Mortgage Assoc. | | | | | 6.000% | | | 11/01/14-05/01/38 | | | 2,000 | | | | 2,219,089 | |
Federal National Mortgage Assoc. | | | | | 6.500% | | | 01/01/15-10/01/37 | | | 1,949 | | | | 2,187,114 | |
Federal National Mortgage Assoc. | | | | | 7.000% | | | 12/01/31-01/01/36 | | | 349 | | | | 390,614 | |
Federal National Mortgage Assoc. | | | | | 8.000% | | | 03/01/22-02/01/26 | | | 17 | | | | 16,618 | |
Federal National Mortgage Assoc. | | | | | 9.000% | | | 02/01/25-04/01/25 | | | 40 | | | | 46,514 | |
Financing Corp. Strips Principal, Series 4-P | | | | | 1.398% | (e) | | 10/06/17 | | | 2,700 | | | | 2,543,954 | |
Financing Corp. Strips Principal, Series D-P | | | | | 2.224% | (e) | | 09/26/19 | | | 1,370 | | | | 1,182,900 | |
Government National Mortgage Assoc.(d) | | | | | 3.000% | | | TBA | | | 3,000 | | | | 2,897,109 | |
Government National Mortgage Assoc.(d) | | | | | 3.500% | | | TBA | | | 5,000 | | | | 5,043,946 | |
Government National Mortgage Assoc.(d) | | | | | 3.500% | | | TBA | | | 3,500 | | | | 3,527,481 | |
Government National Mortgage Assoc.(d) | | | | | 4.000% | | | TBA | | | 4,500 | | | | 4,678,770 | |
Government National Mortgage Assoc. | | | | | 4.000% | | | 06/15/40 | | | 745 | | | | 775,438 | |
Government National Mortgage Assoc.(d) | | | | | 4.500% | | | TBA | | | 1,500 | | | | 1,603,711 | |
Government National Mortgage Assoc.(d) | | | | | 4.500% | | | TBA | | | 3,000 | | | | 3,200,859 | |
Government National Mortgage Assoc. | | | | | 4.500% | | | 02/20/41 | | | 1,917 | | | | 2,057,755 | |
Government National Mortgage Assoc. | | | | | 5.000% | | | 07/15/33-04/15/34 | | | 1,062 | | | | 1,161,029 | |
Government National Mortgage Assoc. | | | | | 5.500% | | | 03/15/34-03/15/36 | | | 903 | | | | 999,182 | |
Government National Mortgage Assoc. | | | | | 6.500% | | | 07/15/32-08/15/32 | | | 291 | | | | 332,884 | |
Government National Mortgage Assoc. | | | | | 7.000% | | | 03/15/23-08/15/28 | | | 630 | | | | 700,477 | |
Government National Mortgage Assoc. | | | | | 7.500% | | | 12/15/25-02/15/26 | | | 116 | | | | 130,762 | |
Government National Mortgage Assoc. | | | | | 8.500% | | | 09/15/24-04/15/25 | | | 192 | | | | 220,813 | |
Hashemite Kingdom of Jordan USAID Bond (Jordan), U.S. Gov’t. Gtd. Notes | | | | | 2.503% | | | 10/30/20 | | | 835 | | | | 817,836 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(cost $164,765,001) | | | | 166,552,772 | |
| | | | | | | | | | | | | | |
|
|
|
| U.S. TREASURY OBLIGATIONS — 27.9% | | | | | | | | | | | | | | | | |
U.S. Treasury Bonds | | | | | 3.750% | | | 11/15/43 | | | 860 | | | | 831,243 | |
U.S. Treasury Inflation Indexed Bonds, TIPS | | | | | 0.125% | | | 04/15/18 | | | 10,695 | | | | 10,908,259 | |
U.S. Treasury Inflation Indexed Bonds, TIPS | | | | | 0.375% | | | 07/15/23 | | | 2,499 | | | | 2,410,229 | |
U.S. Treasury Inflation Indexed Bonds, TIPS | | | | | 0.625% | | | 02/15/43 | | | 726 | | | | 558,509 | |
U.S. Treasury Notes | | | | | 0.250% | | | 10/31/15 | | | 1,535 | | | | 1,532,842 | |
U.S. Treasury Notes | | | | | 0.625% | | | 04/30/18 | | | 4,160 | | | | 4,011,800 | |
U.S. Treasury Notes(f) | | | | | 0.875% | | | 07/31/19 | | | 2,610 | | | | 2,457,683 | |
U.S. Treasury Notes(b) | | | | | 1.250% | | | 11/30/18 | | | 4,050 | | | | 3,963,306 | |
U.S. Treasury Notes | | | | | 1.500% | | | 12/31/18 | | | 25,730 | | | | 25,440,538 | |
U.S. Treasury Notes | | | | | 2.375% | | | 12/31/20 | | | 14,060 | | | | 14,005,082 | |
U.S. Treasury Notes | | | | | 4.500% | | | 05/15/17 | | | 11,525 | | | | 12,861,185 | |
U.S. Treasury Strips Principal(b) | | | | | 7.892% | (e) | | 02/15/43 | | | 7,375 | | | | 2,187,786 | |
U.S. Treasury Strips Coupon(g) | | | | | 2.450% | (e) | | 08/15/21 | | | 3,370 | | | | 2,737,040 | |
U.S. Treasury Strips Coupon | | | | | 2.019% | (e) | | 02/15/22-05/15/22 | | | 11,100 | | | | 8,726,792 | |
U.S. Treasury Strips Coupon | | | | | 7.476% | (e) | | 02/15/42 | | | 5,000 | | | | 1,548,585 | |
U.S. Treasury Strips Principal(b) | | | | | 7.910% | (e) | | 08/15/43 | | | 3,580 | | | | 1,038,720 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL U.S. TREASURY OBLIGATIONS
(cost $96,574,213) | | | | 95,219,599 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $339,648,956) | | | | 338,965,504 | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A102
| | | | | | |
| | | GOVERNMENT INCOME PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | |
| SHORT-TERM INVESTMENTS — 36.7% | | | | | | | | Shares
| | | Value
(Note 2)
| |
AFFILIATED MUTUAL FUNDS — 36.7% | | | | | | | | | | | | | | |
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund
(cost $54,574,955) (Note 4)(h) | | | 5,541,811 | | | $ | 51,594,262 | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund
(cost $73,670,753; includes $34,046,284 of cash collateral for securities on loan) (Note 4)(h)(i) | | | 73,670,753 | | | | 73,670,753 | |
| | | | | | | | | | | | |
|
|
|
TOTAL AFFILIATED MUTUAL FUNDS
(cost $128,245,708) | | | | 125,265,015 | |
| | | | | | | | | | | | |
|
|
|
| | | | | |
| | | | | | | Counterparty
| | Notional
Amount
(000)#
| | | | |
OPTIONS PURCHASED* | | | | | | | | | | | | | | |
Call Options | | | | | | | | | | | | | | |
Interest Rate Swap Options, | | | | | | | | | | | | | | |
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, expiring 04/24/14 | | | | | | Barclays Bank PLC | | | 23,230 | | | | 234 | |
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, expiring 04/24/14 | | | | | | Citibank NA | | | 28,475 | | | | 287 | |
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, expiring 04/24/14 | | | | | | Citibank NA | | | 28,475 | | | | 287 | |
| | | | | | | | | | | | |
|
|
|
TOTAL OPTIONS PURCHASED
(cost $84,901) | | | | 808 | |
| | | | | | | | | | | | |
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(cost $128,330,609) | | | | 125,265,823 | |
| | | | | | | | | | | | |
|
|
|
TOTAL INVESTMENTS — 136.1%
(cost $467,979,565) | | | | 464,231,327 | |
LIABILITIES IN EXCESS OF OTHER ASSETS(j) — (36.1)% | | | | (123,152,219 | ) |
| | | | | | | | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 341,079,108 | |
| | | | | | | | | | | | |
|
|
|
The following abbreviations are used in the 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 |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| GMTN | | Global Medium Term Note |
| GO | | General Obligation |
| I/O | | Interest Only |
| LIBOR | | London Interbank Offered Rate |
| REMICS | | Real Estate Mortgage Investment Conduit Security |
| TBA | | To Be Announced |
| TIPS | | Treasury Inflation Protected Securities |
| USAID | | United States Agency for International Development |
| * | Non-income producing security. |
| # | Principal amount shown in U.S. dollars unless otherwise stated. |
| (a) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2013. |
| (b) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $32,915,005; cash collateral of $34,046,284 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (c) | Indicates a restricted security; the aggregated original cost of such security was $2,177,297. The aggregated market value of $2,140,978 is approximately 0.6% of net assets. |
| (d) | All or a partial principal amount of $89,500,000 represents a to-be announced (“TBA”) securities acquired under mortgage dollar roll agreement. |
| (e) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
| (f) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (g) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (h) | 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A103
| | | | | | |
| | | GOVERNMENT INCOME PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| (i) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (j) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Open futures contracts outstanding at December 31, 2013:
| | | | | | | | | | | | | | | | | | |
Number of
Contracts
| | Type
| | Expiration
Date
| | | Value at
Trade Date
| | | Value at
December 31, 2013
| | | Unrealized
Appreciation
(Depreciation)
| |
| Long Positions: | | | | | | | | | | | | | | | | | | |
| 664 | | 5 Year U.S. Treasury Notes | | | Mar. 2014 | | | $ | 79,798,361 | | | $ | 79,223,500 | | | $ | (574,861 | ) |
| 161 | | 10 Year U.S. Treasury Notes | | | Mar. 2014 | | | | 20,031,838 | | | | 19,810,547 | | | | (221,291 | ) |
| 133 | | 90 Day Euro Dollar | | | Sept. 2016 | | | | 32,671,643 | | | | 32,566,713 | | | | (104,930 | ) |
| 8 | | U.S. Ultra Bond | | | Mar. 2014 | | | | 1,093,761 | | | | 1,090,000 | | | | (3,761 | ) |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | (904,843 | ) |
| | | | | | | | | | | | | | | | |
|
|
|
| Short Positions: | | | | | | | | | | | | | | | | | | |
| 133 | | 90 Day Euro Dollar | | | Sept. 2015 | | | | 32,975,345 | | | | 32,960,725 | | | | 14,620 | |
| 34 | | U.S. Long Bond | | | Mar. 2014 | | | | 4,417,812 | | | | 4,362,625 | | | | 55,187 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | | 69,807 | |
| | | | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | | $ | (835,036 | ) |
| | | | | | | | | | | | | | | | |
|
|
|
Interest rate swap agreements outstanding at December 31, 2013:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Notional
Amount
(000)#
| | | Termination
Date
| | | Fixed
Rate
| | | Floating
Rate
| | Fair
Value
| | | Upfront
Premiums
Paid
(Received)
| | | Unrealized
Appreciation
(Depreciation)
| | | Counterparty
|
| Over-the-counter swap agreements: | | | | | | | | | | | | | | |
| | 880 | | | | 09/14/16 | | | | 1.206% | | | 3 month LIBOR(1) | | $ | (14,154 | ) | | $ | — | | | $ | (14,154 | ) | | Deutsche Bank |
| | 1,360 | | | | 11/30/16 | | | | 0.945% | | | 3 month LIBOR(1) | | | (5,294 | ) | | | — | | | | (5,294 | ) | | Citigroup Global Markets |
| | 9,525 | | | | 02/28/17 | | | | 0.680% | | | 3 month LIBOR(2) | | | (59,093 | ) | | | — | | | | (59,093 | ) | | Citigroup Global Markets |
| | 5,055 | | | | 08/31/17 | | | | 0.751% | | | 3 month LIBOR(1) | | | 67,101 | | | | — | | | | 67,101 | | | Bank of Nova Scotia |
| | 4,700 | | | | 02/15/19 | | | | 1.656% | | | 3 month LIBOR(1) | | | 15,546 | | | | — | | | | 15,546 | | | Citigroup Global Markets |
| | 4,700 | | | | 02/15/19 | | | | 1.794% | | | 3 month LIBOR(2) | | | 19,176 | | | | — | | | | 19,176 | | | JPMorgan Chase |
| | 20,975 | | | | 01/28/23 | | | | 1.895% | | | 3 month LIBOR(1) | | | 1,664,602 | | | | — | | | | 1,664,602 | | | Morgan Stanley |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
| | |
| | | | | | | | | | | | | | | $ | 1,687,884 | | | $ | — | | | $ | 1,687,884 | | | |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
| | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Notional
Amount
(000)#
| | | Termination
Date
| | | Fixed
Rate
| | | Floating Rate
| | Value at
Trade Date
| | | Value at
December 31,
2013
| | | Unrealized
Appreciation
(Depreciation)
| |
| Exchange-traded swap agreements: | | | | | | | | | | | | |
| | 8,980 | | | | 02/28/18 | | | | 1.649% | | | 3 month LIBOR(1) | | $ | 190 | | | $ | (82,309 | ) | | $ | (82,499 | ) |
| | 22,000 | | | | 02/28/18 | | | | 1.820% | | | 3 month LIBOR(1) | | | 249 | | | | (357,618 | ) | | | (357,867 | ) |
| | 2,145 | | | | 11/27/18 | | | | 1.592% | | | 3 month LIBOR(1) | | | 160 | | | | 16,354 | | | | 16,194 | |
| | 6,525 | | | | 08/31/20 | | | | 2.085% | | | 3 month LIBOR(1) | | | 189 | | | | 120,646 | | | | 120,457 | |
| | 7,875 | | | | 08/31/20 | | | | 2.219% | | | 3 month LIBOR(1) | | | 197 | | | | 78,527 | | | | 78,330 | |
| | 6,215 | | | | 08/31/20 | | | | 2.220% | | | 3 month LIBOR(1) | | | 187 | | | | 61,592 | | | | 61,405 | |
| | 1,435 | | | | 08/31/20 | | | | 2.490% | | | 3 month LIBOR(1) | | | 159 | | | | (10,464 | ) | | | (10,623 | ) |
| | 14,000 | | | | 08/31/20 | | | | 2.655% | | | 3 month LIBOR(1) | | | 234 | | | | (248,278 | ) | | | (248,512 | ) |
| | 5,100 | | | | 01/13/22 | | | | 2.351% | | | 3 month LIBOR(1) | | | 181 | | | | 146,057 | | | | 145,876 | |
| | 1,585 | | | | 01/13/22 | | | | 2.457% | | | 3 month LIBOR(1) | | | 160 | | | | 32,784 | | | | 32,624 | |
| | 4,850 | | | | 01/13/22 | | | | 2.480% | | | 3 month LIBOR(1) | | | 179 | | | | 91,963 | | | | 91,784 | |
| | 1,710 | | �� | | 01/22/22 | | | | 3.497% | | | 3 month LIBOR(1) | | | 160 | | | | 35,049 | | | | 34,889 | |
| | 1,410 | | | | 01/22/22 | | | | 2.785% | | | 3 month LIBOR(1) | | | 158 | | | | (4,775 | ) | | | (4,933 | ) |
| | 825 | | | | 01/31/22 | | | | 2.505% | | | 3 month LIBOR(1) | | | 155 | | | | 14,762 | | | | 14,607 | |
| | 12,550 | | | | 08/05/23 | | | | 4.210% | | | 3 month LIBOR(2) | | | — | | | | (174,405 | ) | | | (174,405 | ) |
| | 5,020 | | | | 08/06/23 | | | | 4.220% | | | 3 month LIBOR(2) | | | (173 | ) | | | (67,698 | ) | | | (67,525 | ) |
| | 6,070 | | | | 10/28/23 | | | | 4.029% | | | 3 month LIBOR(2) | | | 177 | | | | (142,660 | ) | | | (142,837 | ) |
| | 8,720 | | | | 12/20/23 | | | | 2.932% | | | 3 month LIBOR(1) | | | 220 | | | | 121,373 | | | | 121,153 | |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | | | | | | $ | 2,782 | | | $ | (369,100 | ) | | $ | (371,882 | ) |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| (1) | The Portfolio pays the fixed rate and receives the floating rate. |
| (2) | The Portfolio pays the floating rate and receives the fixed rate. |
| # | Notional Amount is shown in U.S. dollars unless otherwise stated. |
SEE NOTES TO FINANCIAL STATEMENTS.
A104
| | | | | | |
| | | GOVERNMENT INCOME PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| 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, 2013 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Asset-Backed Securities | | | | | | | | | | | | |
Collateralized Mortgage Obligations | | $ | — | | | $ | 2,430,464 | | | $ | — | |
Non-Residential Mortgage-Backed Securities | | | — | | | | 3,269,064 | | | | — | |
Commercial Mortgage-Backed Securities | | | — | | | | 59,043,576 | | | | — | |
Corporate Bonds | | | — | | | | 6,354,339 | | | | — | |
Municipal Bonds | | | — | | | | 6,095,690 | | | | — | |
U.S. Government Agency Obligations | | | — | | | | 166,552,772 | | | | — | |
U.S. Treasury Obligations | | | — | | | | 95,219,599 | | | | — | |
Affiliated Mutual Funds | | | 125,265,015 | | | | — | | | | — | |
Options Purchased | | | — | | | | 808 | | | | — | |
Other Financial Instruments* | | | | | | | | | | | | |
Futures Contracts | | | (835,036 | ) | | | — | | | | — | |
Interest Rate Swaps | | | (371,882 | ) | | | 1,687,884 | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 124,058,097 | | | $ | 340,654,196 | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swaps contracts, which are recorded at the unrealized appreciation/depreciation of the instrument. |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 was as follows:
| | | | |
U.S. Government Agency Obligations | | | 48.8 | % |
Affiliated Mutual Funds (including 10.0% of collateral received for securities on loan) | | | 36.7 | |
U.S. Treasury Obligations | | | 27.9 | |
Commercial Mortgage-Backed Securities | | | 17.3 | |
Corporate Bonds | | | 1.9 | |
Municipal Bonds | | | 1.8 | |
| | | | |
Non-Residential Mortgage-Backed Securities | | | 1.0 | % |
Collateralized Mortgage Obligations | | | 0.7 | |
| | |
|
|
|
| | | | 136.1 | |
Liabilities in excess of other assets | | | (36.1 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2013 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 from broker — variation margin | | $ | 787,126 | * | | Due from broker — variation margin | | $ | 1,994,044 | * |
Interest rate contracts | | Unrealized appreciation on swap agreements | | | 1,766,425 | | | Unrealized depreciation on swap agreements | | | 78,541 | |
Interest rate contracts | | Unaffiliated investments | | | 808 | | | — | | | — | |
| | | | |
|
|
| | | |
|
|
|
Total | | | | $ | 2,554,359 | | | | | $ | 2,072,585 | |
| | | | |
|
|
| | | |
|
|
|
| * | Includes cumulative appreciation/depreciation as reported in the schedule of open futures contracts and exchange-traded swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A105
| | | | | | |
| | | GOVERNMENT INCOME PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2013 are as follows:
| | | | | | | | | | | | | | | | | | | | |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
| |
Derivatives not designated as hedging instruments, carried at fair value
| | Options
Purchased
| | | Options
Written
| | | Futures
| | | Swaps
| | | Total
| |
Interest rate contracts | | $ | (191,609 | ) | | $ | 19,678 | | | $ | 1,092,082 | | | $ | 267,504 | | | $ | 1,187,655 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | | | | | | | |
|
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
| |
Derivatives not designated as hedging instruments, carried at fair value
| | Options
Purchased
| | | Futures
| | | Swaps
| | | Total
| |
Interest rate contracts | | $ | (84,093 | ) | | $ | (1,180,447 | ) | | $ | 1,739,529 | | | $ | 474,989 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
|
For the year ended December 31, 2013, the Portfolio’s average volume of derivative activities is as follows:
| | | | |
Options Purchased
(Cost)
| | Options Written
(Premium Received)
| | Futures
Long Position
(Value at Trade Date)
|
| $87,039 | | $8,266 | | $64,953,777 |
| | |
Futures
Short Position
(Value at Trade Date)
| | Interest Rate Swaps
(Notional Amount in USD (000))
|
| $26,427,336 | | $140,767 |
The Portfolio invested in financial instruments and derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument and derivative assets and liabilities:
| | | | | | | | | | | | | | | | |
Description
| | Gross Amounts
Recognized
| | | Gross Amounts
not subject
to netting
| | | Gross Amounts
Offset in the
Statement of
Financial Position
| | | Net Amounts
Presented in the
Statement of
Financial Position
| |
Assets: | | | | | | | | | | | | | | | | |
Securities on loan | | $ | 32,915,005 | | | $ | — | | | $ | — | | | $ | 32,915,005 | |
Exchange-traded and cleared derivatives | | | 124,926 | | | | — | | | | — | | | | 124,926 | |
Over-the-counter derivatives* | | | 1,767,233 | | | | (808 | ) | | | — | | | | 1,766,425 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 34,806,356 | |
| | | | | | | | | | | | | | |
|
|
|
Liabilities: | | | | | | | | | | | | | | | | |
Exchange-traded and cleared derivatives | | | — | | | | — | | | | — | | | | — | |
Over-the-counter derivatives* | | | (78,541 | ) | | | — | | | | — | | | | (78,541 | ) |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | (78,541 | ) |
| | | | | | | | | | | | | | |
|
|
|
Collateral Amounts Pledged/(Received): | | | | | | | | | | | | |
Securities on loan | | | | | | | | | | | | | | | (32,915,005 | ) |
Exchange-traded and cleared derivatives | | | | | | | | | | | | | | | — | |
Over-the-counter derivatives | | | | | | | | | | | | | | | (1,417,293 | ) |
| | | | | | | | | | | | | | |
|
|
|
Net Amount | | | | | | | | | | | | | | $ | 395,517 | |
| | | | | | | | | | | | | | |
|
|
|
| * | Over-the-counter derivatives may consist of forward foreign currency exchange contracts, options contracts and swap agreements. The amounts disclosed above represent the exposure to one or more counterparties. For further detail on individual derivative contracts and the corresponding unrealized appreciation (depreciation) by counterparty, see the Schedule of Investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
A106
| | | | | | |
| | | GOVERNMENT INCOME PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2013
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $32,915,005: | | | | |
Unaffiliated investments (cost $339,733,857) | | $ | 338,966,312 | |
Affiliated investments (cost $128,245,708) | | | 125,265,015 | |
Cash | | | 3,262 | |
Receivable for investments sold | | | 56,164,032 | |
Unrealized appreciation on over-the-counter swap agreements | | | 1,766,425 | |
Dividends and interest receivable | | | 1,076,016 | |
Due from broker—variation margin | | | 124,926 | |
Receivable for Series shares sold | | | 9,638 | |
Prepaid expenses | | | 3,361 | |
| | |
|
|
|
Total Assets | | | 523,378,987 | |
| | |
|
|
|
| LIABILITIES | | | | |
Payable for investments purchased | | | 147,819,654 | |
Collateral for securities on loan | | | 34,046,284 | |
Accrued expenses and other liabilities | | | 132,487 | |
Management fee payable | | | 116,863 | |
Payable for Series shares reacquired | | | 105,083 | |
Unrealized depreciation on over-the-counter swap agreements | | | 78,541 | |
Affiliated transfer agent fee payable | | | 926 | |
Deferred trustees’ fees | | | 41 | |
| | |
|
|
|
Total Liabilities | | | 182,299,879 | |
| | |
|
|
|
| NET ASSETS | | $ | 341,079,108 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 346,347,355 | |
Retained earnings | | | (5,268,247 | ) |
| | |
|
|
|
Net assets, December 31, 2013 | | $ | 341,079,108 | |
| | |
|
|
|
Net asset value and redemption price per share, $341,079,108 / 30,179,139 outstanding shares of beneficial interest | | $ | 11.30 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2013
| | | | |
| INCOME | | | | |
Interest Income (net of foreign withholding taxes of $246) | | $ | 7,333,126 | |
Affiliated dividend income | | | 776,394 | |
Affiliated income from securities loaned, net | | | 60,720 | |
| | |
|
|
|
| | | | 8,170,240 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 1,443,755 | |
Shareholders’ reports | | | 142,000 | |
Custodian’s fees and expenses | | | 88,000 | |
Audit fee | | | 30,000 | |
Trustees’ fees | | | 14,000 | |
Legal fees and expenses | | | 11,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4) | | | 11,000 | |
Insurance expenses | | | 5,000 | |
Commitment fee on syndicated credit agreement | | | 1,000 | |
Miscellaneous | | | 11,113 | |
| | |
|
|
|
Total expenses | | | 1,756,868 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 6,413,372 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | (3,778,983 | ) |
Futures transactions | | | 1,092,082 | |
Swap agreement transactions | | | 267,504 | |
Options written transactions | | | 19,678 | |
| | |
|
|
|
| | | | (2,399,719 | ) |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments (including affiliated: $437,794) | | | (12,979,924 | ) |
Futures | | | (1,180,447 | ) |
Swap agreements | | | 1,739,529 | |
| | |
|
|
|
| | | | (12,420,842 | ) |
| | |
|
|
|
| NET LOSS ON INVESTMENTS | | | (14,820,561 | ) |
| | |
|
|
|
| NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (8,407,189 | ) |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 6,413,372 | | | $ | 7,739,864 | |
Net realized gain (loss) on investment transactions | | | (2,399,719 | ) | | | 11,047,414 | |
Net change in unrealized appreciation (depreciation) on investments | | | (12,420,842 | ) | | | (4,769,310 | ) |
| | |
|
|
| |
|
|
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | | (8,407,189 | ) | | | 14,017,968 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | (17,437,795 | ) | | | (20,654,654 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [353,311 and 775,380 shares, respectively] | | | 4,141,803 | | | | 9,542,642 | |
Series shares issued in reinvestment of distributions [1,506,594 and 1,707,009 shares, respectively] | | | 17,437,795 | | | | 20,654,654 | |
Series shares repurchased [3,202,620 and 4,651,275 shares, respectively] | | | (37,560,842 | ) | | | (57,309,200 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (15,981,244 | ) | | | (27,111,904 | ) |
| | |
|
|
| |
|
|
|
| TOTAL DECREASE IN NET ASSETS | | | (41,826,228 | ) | | | (33,748,590 | ) |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 382,905,336 | | | | 416,653,926 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 341,079,108 | | | $ | 382,905,336 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A107
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
LONG-TERM INVESTMENTS — 95.6% ASSET-BACKED SECURITIES — 0.5% | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Collateralized Loan Obligations — 0.5% | | | | | | | | | | | | | | | | |
Primus CLO II Ltd. (Cayman Islands), Series 2007-2A, Class A, 144A | | | | | 0.476% | (a) | | 07/15/21 | | | 478 | | | $ | 465,610 | |
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class D, 144A | | | | | 4.488% | (a) | | 08/17/22 | | | 13,000 | | | | 12,897,362 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 13,362,972 | |
| | | | | | | | | | | | | | |
|
|
|
Residential Mortgage-Backed Securities | | | | | | | | | | | | | | | | |
Argent Securities, Inc./Asset-Backed Pass-Through Certificate, Series 2003-W8, Class M1 | | | | | 1.215% | (a) | | 12/25/33 | | | 112 | | | | 107,447 | |
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF2 | | | | | 4.402% | (a) | | 01/25/37 | | | 545 | | | | 257,783 | |
Morgan Stanley ABS Capital I, Inc., Trust, Series 2007-HE6, Class A2 | | | | | 0.305% | (a) | | 05/25/37 | | | 96 | | | | 56,100 | |
Morgan Stanley Mortgage Loan Trust, Series 2006-12XS, Class A6A | | | | | 5.726% | | | 10/25/36 | | | 375 | | | | 223,727 | |
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-9XS, Class 2A1 | | | | | 0.465% | (a) | | 06/25/35 | | | 297 | | | | 254,195 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 899,252 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL ASSET-BACKED SECURITIES
(cost $12,703,848) | | | | 14,262,224 | |
| | | | | | | | | | | | | | |
|
|
|
| BANK LOANS(a) — 1.5% | | | | | | | | | | | | | | | | |
Capital Goods — 0.3% | | | | | | | | | | | | | | | | |
CPM Acquisition Corp. | | | | | 10.250% | | | 03/01/18 | | | 7,750 | | | | 7,808,125 | |
Polymer Group, Inc. | | | | | 5.250% | (a) | | 12/19/19 | | | 3,000 | | | | 3,011,250 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 10,819,375 | |
| | | | | | | | | | | | | | |
|
|
|
Energy – Other — 0.3% | | | | | | | | | | | | | | | | |
Fieldwood Energy LLC | | | | | 8.375% | | | 09/30/20 | | | 3,000 | | | | 3,060,000 | |
Shelf Drilling Holdings Ltd.
(original cost $4,851,000; purchased 10/10/12) | | | | | 6.250% | | | 05/31/18(b)(c) | | | 4,950 | | | | 4,950,000 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 8,010,000 | |
| | | | | | | | | | | | | | |
|
|
|
Gaming — 0.4% | | | | | | | | | | | | | | | | |
Caesars Entertainment Operating Co. | | | | | 9.500% | | | 10/31/16 | | | 5,160 | | | | 5,194,090 | |
CCM Merger, Inc. | | | | | 5.000% | | | 03/01/17 | | | 4,449 | | | | 4,488,185 | |
Golden Nugget, Inc. | | | | | 5.500% | (a) | | 11/21/19 | | | 1,500 | | | | 1,518,083 | |
Yonkers Racing Corp. | | | | | 8.750% | | | 08/20/20 | | | 2,500 | | | | 2,512,500 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 13,712,858 | |
| | | | | | | | | | | | | | |
|
|
|
Lodging — 0.1% | | | | | | | | | | | | | | | | |
Four Seasons Holdings, Inc. (Canada) | | | | | 6.250% | | | 12/28/20 | | | 1,750 | | | | 1,789,375 | |
| | | | | | | | | | | | | | |
|
|
|
Media & Entertainment — 0.1% | | | | | | | | | | | | | | | | |
Clear Channel Communications, Inc. | | | | | 3.819% | | | 01/29/16 | | | 4,000 | | | | 3,874,000 | |
| | | | | | | | | | | | | | |
|
|
|
Retailers — 0.1% | | | | | | | | | | | | | | | | |
Sears Roebuck Acceptance Corp. | | | | | 5.500% | | | 06/30/18 | | | 2,550 | | | | 2,561,383 | |
| | | | | | | | | | | | | | |
|
|
|
Technology — 0.2% | | | | | | | | | | | | | | | | |
Kronos, Inc. | | | | | 9.750% | | | 04/30/20 | | | 5,737 | | | | 5,933,016 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL BANK LOANS
(cost $45,716,638) | | | | 46,700,007 | |
| | | | | | | | | | | | | | |
|
|
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 0.1% | | | | | | | | | | | | | | | | |
Adjustable Rate Mortgage Trust, Series 2005-7, Class 1A1 | | | | | 2.536% | (a) | | 10/25/35 | | | 101 | | | | 80,493 | |
Alternative Loan Trust, Series 2005-43, Class 4A3 | | | | | 5.066% | (a) | | 10/25/35 | | | 37 | | | | 28,892 | |
Alternative Loan Trust, Series 2006-HY13, Class 4A1 | | | | | 2.820% | (a) | | 02/25/37 | | | 39 | | | | 33,764 | |
Alternative Loan Trust, Series 2006-OA9, Class 2A1A | | | | | 0.377% | (a) | | 07/20/46 | | | 35 | | | | 21,024 | |
Alternative Loan Trust, Series 2006-OA11, Class A1B | | | | | 0.355% | (a) | | 09/25/46 | | | 50 | | | | 36,327 | |
American Home Mortgage Assets Trust, Series 2006-4, Class 1A12 | | | | | 0.375% | (a) | | 10/25/46 | | | 44 | | | | 28,636 | |
American Home Mortgage Assets Trust, Series 2006-5, Class A1 | | | | | 1.059% | (a) | | 11/25/46 | | | 376 | | | | 190,873 | |
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1 | | | | | 1.849% | (a) | | 09/25/45 | | | 23 | | | | 20,700 | |
Banc of America Alternative Loan Trust, Series 2005-4, Class CB6 | | | | | 0.565% | (a) | | 05/25/35 | | | 48 | | | | 36,749 | |
Banc of America Funding Trust, Series 2006-B, Class 2A1 | | | | | 2.850% | (a) | | 03/20/36 | | | 139 | | | | 117,323 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A108
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
COLLATERALIZED MORTGAGE OBLIGATIONS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Bear Stearns ARM Trust, Series 2005-10, Class A2 | | | | | 2.660% | (a) | | 10/25/35 | | | 83 | | | $ | 82,705 | |
Bear Stearns ARM Trust, Series 2007-3, Class 1A1 | | | | | 2.861% | (a) | | 05/25/47 | | | 43 | | | | 36,036 | |
Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA | | | | | 2.845% | (a) | | 09/25/37 | | | 84 | | | | 68,490 | |
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-2, Class 2A1 | | | | | 0.485% | (a) | | 03/25/35 | | | 110 | | | | 94,378 | |
First Horizon Alternative Mortgage Securities Trust, Series 2006-FA2, Class 1A5 | | | | | 6.000% | | | 05/25/36 | | | 72 | | | | 61,737 | |
Harborview Mortgage Loan Trust, Series 2006-1, Class 2A1A | | | | | 0.406% | (a) | | 03/19/36 | | | 335 | | | | 244,020 | |
Harborview Mortgage Loan Trust, Series 2006-5, Class 2A1A | | | | | 0.346% | (a) | | 07/19/46 | | | 48 | | | | 33,058 | |
Harborview Mortgage Loan Trust, Series 2006-7, Class 2A1B | | | | | 0.416% | (a) | | 09/19/46 | | | 116 | | | | 16,409 | |
IndyMac Indx Mortgage Loan Trust, Series 2006-AR12, Class A1 | | | | | 0.355% | (a) | | 09/25/46 | | | 38 | | | | 31,767 | |
JP Morgan Mortgage Trust, Series 2007-S3, Class 1A96 | | | | | 6.000% | | | 08/25/37 | | | 36 | | | | 32,054 | |
MASTR Adjustable Rate Mortgages Trust, Series 2006-OA1, Class 1A1 | | | | | 0.375% | (a) | | 04/25/46 | | | 27 | | | | 19,790 | |
Residential Accredit Loans, Inc., Series 2006-QA2, Class 3A1 | | | | | 5.500% | | | 02/25/36 | | | 237 | | | | 183,079 | |
Residential Accredit Loans, Inc., Series 2007-QS4, Class 2A1 | | | | | 0.495% | (a) | | 03/25/37 | | | 172 | | | | 61,773 | |
Residential Asset Securitization Trust, Series 2007-A5, Class 2A3 | | | | | 6.000% | | | 05/25/37 | | | 72 | | | | 62,449 | |
Structured Asset Mortgage Investments Trust, Series 2006-AR6, Class 2A1 | | | | | 0.355% | (a) | | 07/25/46 | | | 51 | | | | 41,952 | |
SunTrust Alternative Loan Trust, Series 2006-1F, Class 3A | | | | | 0.515% | (a) | | 04/25/36 | | | 118 | | | | 39,610 | |
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 2A3 | | | | | 4.558% | (a) | | 02/25/37 | | | 35 | | | | 29,023 | |
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 4A1 | | | | | 2.517% | (a) | | 02/25/37 | | | 44 | | | | 38,660 | |
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-OA3, Class 2A1A | | | | | 0.899% | (a) | | 04/25/47 | | | 48 | | | | 41,902 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(cost $1,655,273) | | | | 1,813,673 | |
| | | | | | | | | | | | | | |
|
|
|
| CORPORATE BONDS — 93.5% | | | | | | | | | | | | | | | | |
Aerospace & Defense — 1.4% | | | | | | | | | | | | | | | | |
Alliant Techsystems, Inc., Gtd. Notes | | | | | 6.875% | | | 09/15/20(d) | | | 2,375 | | | | 2,562,031 | |
Alliant Techsystems, Inc., Sr. Unsec’d. Notes, 144A | | | | | 5.250% | | | 10/01/21 | | | 1,300 | | | | 1,303,250 | |
Bombardier, Inc. (Canada), Sr. Notes, 144A | | | | | 6.125% | | | 01/15/23(d) | | | 5,300 | | | | 5,260,250 | |
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A | | | | | 5.750% | | | 03/15/22(d) | | | 3,275 | | | | 3,250,438 | |
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A | | | | | 7.750% | | | 03/15/20 | | | 2,476 | | | | 2,810,260 | |
Esterline Technologies Corp., Gtd. Notes | | | | | 7.000% | | | 08/01/20 | | | 5,400 | | | | 5,832,000 | |
Sequa Corp., Gtd. Notes, 144A
(original cost $8,703,219; purchased 12/10/12-12/17/13) | | | | | 7.000% | | | 12/15/17(b)(c) | | | 8,659 | | | | 8,745,590 | |
TransDigm, Inc., Gtd. Notes | | | | | 7.500% | | | 07/15/21(d) | | | 5,245 | | | | 5,638,375 | |
TransDigm, Inc., Gtd. Notes | | | | | 7.750% | | | 12/15/18 | | | 7,300 | | | | 7,829,250 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 43,231,444 | |
| | | | | | | | | | | | | | |
|
|
|
Automotive — 3.3% | | | | | | | | | | | | | | | | |
American Axle & Manufacturing, Inc., Gtd. Notes | | | | | 6.250% | | | 03/15/21(d) | | | 5,575 | | | | 5,923,438 | |
American Axle & Manufacturing, Inc., Gtd. Notes | | | | | 6.625% | | | 10/15/22(d) | | | 5,250 | | | | 5,525,625 | |
Chrysler Group LLC/CG Co.-Issuer, Inc., Sec’d. Notes | | | | | 8.000% | | | 06/15/19(d) | | | 6,300 | | | | 6,961,500 | |
Chrysler Group LLC/CG Co.-Issuer, Inc., Sec’d. Notes | | | | | 8.250% | | | 06/15/21(d) | | | 9,200 | | | | 10,465,000 | |
Dana Holding Corp., Sr. Unsec’d. Notes | | | | | 5.375% | | | 09/15/21 | | | 4,050 | | | | 4,065,188 | |
Dana Holding Corp., Sr. Unsec’d. Notes | | | | | 6.750% | | | 02/15/21(d) | | | 10,059 | | | | 10,813,425 | |
Delphi Corp., Gtd. Notes | | | | | 5.000% | | | 02/15/23 | | | 6,325 | | | | 6,506,844 | |
Delphi Corp., Gtd. Notes | | | | | 6.125% | | | 05/15/21(d) | | | 7,748 | | | | 8,590,595 | |
General Motors Co., Sr. Unsec’d. Notes, 144A | | | | | 4.875% | | | 10/02/23 | | | 7,650 | | | | 7,745,625 | |
General Motors Financial Co., Inc., Gtd. Notes, 144A | | | | | 3.250% | | | 05/15/18 | | | 1,150 | | | | 1,150,000 | |
General Motors Financial Co., Inc., Sr. Unsec’d. Notes, 144A | | | | | 3.500% | | | 10/02/18 | | | 3,400 | | | | 3,476,500 | |
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A | | | | | 5.625% | | | 02/01/23(d) | | | 650 | | | | 650,000 | |
Lear Corp., Gtd. Notes | | | | | 7.875% | | | 03/15/18 | | | 6,275 | | | | 6,573,063 | |
Lear Corp., Gtd. Notes | | | | | 8.125% | | | 03/15/20 | | | 6,953 | | | | 7,665,683 | |
Lear Corp., Gtd. Notes, 144A | | | | | 4.750% | | | 01/15/23 | | | 775 | | | | 726,563 | |
Meritor, Inc., Gtd. Notes | | | | | 6.750% | | | 06/15/21(d) | | | 4,225 | | | | 4,309,500 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A109
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Automotive (continued) | | | | | | | | | | | | | | | | |
Schaeffler Finance BV (Germany), Sr. Sec’d. Notes, 144A | | | | | 4.750% | | | 05/15/21(d) | | | 4,125 | | | $ | 4,114,688 | |
Titan International, Inc., Sr. Sec’d. Notes, 144A | | | | | 6.875% | | | 10/01/20 | | | 5,350 | | | | 5,577,375 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 100,840,612 | |
| | | | | | | | | | | | | | |
|
|
|
Banking — 0.7% | | | | | | | | | | | | | | | | |
Ally Financial, Inc., Gtd. Notes | | | | | 5.500% | | | 02/15/17 | | | 1,350 | | | | 1,461,375 | |
Ally Financial, Inc., Gtd. Notes | | | | | 8.000% | | | 03/15/20(d) | | | 8,480 | | | | 10,165,400 | |
Bank of America Corp., Jr. Sub. Notes | | | | | 5.200% | (a) | | 12/31/49(d) | | | 2,925 | | | | 2,574,000 | |
Bank of America Corp., Series K, Jr. Sub. Notes | | | | | 8.000% | (a) | | 12/29/49(d) | | | 730 | | | | 808,840 | |
Citigroup, Inc., Jr. Sub. Notes | | | | | 5.350% | (a) | | 12/31/49 | | | 2,875 | | | | 2,524,250 | |
HBOS PLC (United Kingdom), Sub. Notes, GMTN, 144A | | | | | 6.750% | | | 05/21/18 | | | 400 | | | | 452,451 | |
JPMorgan Chase & Co., Jr. Sub. Notes | | | | | 6.000% | (a) | | 12/31/49(d) | | | 2,925 | | | | 2,797,031 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 20,783,347 | |
| | | | | | | | | | | | | | |
|
|
|
Brokerage — 0.2% | | | | | | | | | | | | | | | | |
Blackstone Holdings Finance Co. LLC, Gtd. Notes, 144A | | | | | 4.750% | | | 02/15/23 | | | 3,250 | | | | 3,367,699 | |
Jefferies LoanCore LLC/JLC Finance Corp., Sr. Unsec’d. Notes, 144A | | | | | 6.875% | | | 06/01/20 | | | 2,525 | | | | 2,499,750 | |
KKR Group Finance Co., Gtd. Notes, 144A | | | | | 6.375% | | | 09/29/20 | | | 1,000 | | | | 1,122,949 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 6,990,398 | |
| | | | | | | | | | | | | | |
|
|
|
Building Materials & Construction — 3.4% | | | | | | | | | | | | | | | | |
Beazer Homes USA, Inc., Gtd. Notes | | | | | 7.250% | | | 02/01/23 | | | 1,425 | | | | 1,425,000 | |
Beazer Homes USA, Inc., Gtd. Notes | | | | | 9.125% | | | 06/15/18 | | | 4,000 | | | | 4,280,000 | |
Beazer Homes USA, Inc., Gtd. Notes | | | | | 9.125% | | | 05/15/19 | | | 5,000 | | | | 5,350,000 | |
Beazer Homes USA, Inc., Gtd. Notes, 144A | | | | | 7.500% | | | 09/15/21 | | | 6,125 | | | | 6,339,375 | |
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A | | | | | 6.125% | | | 07/01/22 | | | 5,725 | | | | 5,753,625 | |
Building Materials Corp. of America, Sr. Notes, 144A
(original cost $2,215,000; purchased 04/19/13) | | | | | 6.750% | | | 05/01/21(b)(c) | | | 2,000 | | | | 2,165,000 | |
Building Materials Corp. of America, Sr. Notes, 144A
(original cost $1,488,750; purchased 09/27/10) | | | | | 6.875% | | | 08/15/18(b)(c) | | | 1,500 | | | | 1,593,750 | |
Building Materials Corp. of America, Sr. Sec’d. Notes, 144A
(original cost $5,975,750; purchased 02/02/10-04/27/11) | | | | | 7.000% | | | 02/15/20(b)(c) | | | 5,825 | | | | 6,261,875 | |
Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A | | | | | 9.375% | | | 10/12/22(d) | | | 5,975 | | | | 6,736,813 | |
D.R. Horton, Inc., Gtd. Notes | | | | | 4.750% | | | 02/15/23(d) | | | 8,825 | | | | 8,383,750 | |
D.R. Horton, Inc., Gtd. Notes | | | | | 6.500% | | | 04/15/16(d) | | | 900 | | | | 983,250 | |
HD Supply, Inc., Gtd. Notes | | | | | 7.500% | | | 07/15/20(d) | | | 6,025 | | | | 6,491,938 | |
K. Hovnanian Enterprises, Inc., Sr. Sec’d. Notes, 144A | | | | | 7.250% | | | 10/15/20 | | | 9,125 | | | | 9,797,969 | |
KB Home, Gtd. Notes | | | | | 7.000% | | | 12/15/21(d) | | | 2,725 | | | | 2,840,813 | |
KB Home, Gtd. Notes | | | | | 7.500% | | | 09/15/22(d) | | | 6,925 | | | | 7,288,563 | |
Masco Corp., Sr. Unsec’d. Notes | | | | | 5.950% | | | 03/15/22(d) | | | 1,675 | | | | 1,771,313 | |
Standard Pacific Corp., Gtd. Notes | | | | | 6.250% | | | 12/15/21(d) | | | 800 | | | | 834,000 | |
Standard Pacific Corp., Gtd. Notes | | | | | 8.375% | | | 05/15/18(d) | | | 925 | | | | 1,086,875 | |
Standard Pacific Corp., Gtd. Notes | | | | | 8.375% | | | 01/15/21(d) | | | 525 | | | | 611,625 | |
Standard Pacific Corp., Gtd. Notes | | | | | 10.750% | | | 09/15/16(d) | | | 3,875 | | | | 4,669,375 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A | | | | | 7.750% | | | 04/15/20 | | | 5,892 | | | | 6,481,200 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A | | | | | 7.750% | | | 04/15/20 | | | 1,762 | | | | 1,938,200 | |
Toll Brothers Finance Corp., Gtd. Notes | | | | | 4.000% | | | 12/31/18 | | | 825 | | | | 839,438 | |
WCI Communities, Inc., Gtd. Notes, 144A | | | | | 6.875% | | | 08/15/21 | | | 8,570 | | | | 8,527,150 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 102,450,897 | |
| | | | | | | | | | | | | | |
|
|
|
Cable — 3.8% | | | | | | | | | | | | | | | | |
Cablevision Systems Corp., Sr. Unsec’d. Notes | | | | | 5.875% | | | 09/15/22(d) | | | 1,860 | | | | 1,780,950 | |
Cablevision Systems Corp., Sr. Unsec’d. Notes | | | | | 7.750% | | | 04/15/18(d) | | | 1,375 | | | | 1,534,844 | |
Cablevision Systems Corp., Sr. Unsec’d. Notes | | | | | 8.625% | | | 09/15/17(d) | | | 11,725 | | | | 13,659,625 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes | | | | | 5.125% | | | 02/15/23(d) | | | 2,848 | | | | 2,641,520 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes | | | | | 5.250% | | | 09/30/22 | | | 2,200 | | | | 2,054,250 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A110
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Cable (continued) | | | | | | | | | | | | | | | | |
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes | | | | | 5.750% | | | 01/15/24 | | | 12,950 | | | $ | 12,237,750 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes | | | | | 8.125% | | | 04/30/20 | | | 1,600 | | | | 1,736,000 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A | | | | | 5.250% | | | 03/15/21 | | | 1,500 | | | | 1,432,500 | |
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A | | | | | 5.750% | | | 09/01/23(d) | | | 7,625 | | | | 7,224,688 | |
Cequel Communications Holdings I LLC/Cequel Capital Corp.,
Sr. Unsec’d. Notes, 144A | | | | | 5.125% | | | 12/15/21(d) | | | 8,505 | | | | 7,973,438 | |
Cequel Communications Holdings I LLC/Cequel Capital Corp.,
Sr. Unsec’d. Notes, 144A | | | | | 6.375% | | | 09/15/20 | | | 5,375 | | | | 5,509,375 | |
CSC Holdings LLC, Sr. Unsec’d. Notes | | | | | 6.750% | | | 11/15/21(d) | | | 7,400 | | | | 7,973,500 | |
CSC Holdings LLC, Sr. Unsec’d. Notes | | | | | 7.875% | | | 02/15/18 | | | 850 | | | | 971,125 | |
DISH DBS Corp., Gtd. Notes | | | | | 5.000% | | | 03/15/23(d) | | | 2,100 | | | | 1,958,250 | |
DISH DBS Corp., Gtd. Notes | | | | | 5.875% | | | 07/15/22 | | | 3,275 | | | | 3,275,000 | |
DISH DBS Corp., Gtd. Notes | | | | | 6.750% | | | 06/01/21 | | | 825 | | | | 874,500 | |
Nara Cable Funding Ltd. (Spain), Sr. Sec’d. Notes, 144A | | | | | 8.875% | | | 12/01/18(d) | | | 5,175 | | | | 5,563,125 | |
ONO Finance II PLC (Spain), Gtd. Notes, 144A | | | | | 10.875% | | | 07/15/19 | | | 1,625 | | | | 1,779,375 | |
Quebecor Media, Inc. (Canada), Sr. Unsec’d. Notes | | | | | 5.750% | | | 01/15/23 | | | 11,408 | | | | 11,037,240 | |
Quebecor Media, Inc. (Canada), Sr. Unsec’d. Notes | | | | | 7.750% | | | 03/15/16 | | | 850 | | | | 860,625 | |
UPC Holding BV (Netherlands), Sec’d. Notes, 144A | | | | | 9.875% | | | 04/15/18 | | | 2,600 | | | | 2,788,500 | |
UPCB Finance V Ltd. (Netherlands), Sr. Sec’d. Notes, 144A | | | | | 7.250% | | | 11/15/21 | | | 3,600 | | | | 3,906,000 | |
UPCB Finance VI Ltd. (Netherlands), Sr. Sec’d. Notes, 144A | | | | | 6.875% | | | 01/15/22 | | | 5,325 | | | | 5,657,813 | |
Videotron Ltd. (Canada), Gtd. Notes | | | | | 5.000% | | | 07/15/22 | | | 4,625 | | | | 4,520,938 | |
Virgin Media Secured Finance PLC (United Kingdom),
Sr. Sec’d. Notes, 144A | | | | | 5.375% | | | 04/15/21(d) | | | 4,000 | | | | 4,000,000 | |
WaveDivision Escrow LLC/WaveDivision Escrow Corp.,
Sr. Unsec’d. Notes, 144A | | | | | 8.125% | | | 09/01/20(d) | | | 1,855 | | | | 1,966,300 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 114,917,231 | |
| | | | | | | | | | | | | | |
|
|
|
Capital Goods — 6.6% | | | | | | | | | | | | | | | | |
ADS Waste Holdings, Inc., Gtd. Notes | | | | | 8.250% | | | 10/01/20 | | | 3,675 | | | | 3,987,375 | |
Aguila 3 SA (Luxembourg), Sr. Sec’d. Notes, 144A | | | | | 7.875% | | | 01/31/18(d) | | | 3,250 | | | | 3,445,000 | |
Amsted Industries, Inc., Sr. Notes, 144A
(original cost $4,417,960; purchased 03/12/10) | | | | | 8.125% | | | 03/15/18(b)(c) | | | 4,450 | | | | 4,689,188 | |
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A | | | | | 6.500% | | | 07/15/22 | | | 8,925 | | | | 9,516,281 | |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes | | | | | 8.250% | | | 01/15/19(d) | | | 3,149 | | | | 3,432,410 | |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes | | | | | 9.750% | | | 03/15/20 | | | 3,850 | | | | 4,514,125 | |
Belden, Inc., Gtd. Notes, 144A | | | | | 5.500% | | | 09/01/22 | | | 4,025 | | | | 3,944,500 | |
Case New Holland, Inc., Gtd. Notes | | | | | 7.875% | | | 12/01/17 | | | 4,150 | | | | 4,897,000 | |
Clean Harbors, Inc., Gtd. Notes | | | | | 5.250% | | | 08/01/20(d) | | | 6,850 | | | | 7,055,500 | |
Cleaver-Brooks, Inc., Sr. Sec’d. Notes, 144A
(original cost $5,385,438; purchased 04/08/13) | | | | | 8.750% | | | 12/15/19(b)(c) | | | 4,975 | | | | 5,397,875 | |
CPG Merger Sub LLC, Gtd. Notes, 144A | | | | | 8.000% | | | 10/01/21 | | | 475 | | | | 494,000 | |
Dycom Investments, Inc., Gtd. Notes | | | | | 7.125% | | | 01/15/21 | | | 5,225 | | | | 5,629,938 | |
Gardner Denver, Inc., Sr. Unsec’d. Notes, 144A
(original cost $2,945,000; purchased 07/22/13-07/24/13) | | | | | 6.875% | | | 08/15/21(b)(c)(d) | | | 2,945 | | | | 2,937,638 | |
General Cable Corp., Gtd. Notes, 144A | | | | | 6.500% | (a) | | 10/01/22(d) | | | 3,225 | | | | 3,160,500 | |
Griffon Corp., Gtd. Notes | | | | | 7.125% | | | 04/01/18(d) | | | 7,775 | | | | 8,241,500 | |
H&E Equipment Services, Inc., Gtd. Notes | | | | | 7.000% | | | 09/01/22 | | | 8,820 | | | | 9,613,800 | |
Hertz Corp. (The), Gtd. Notes | | | | | 5.875% | | | 10/15/20 | | | 1,375 | | | | 1,424,844 | |
Hertz Corp. (The), Gtd. Notes | | | | | 6.250% | | | 10/15/22(d) | | | 2,050 | | | | 2,116,625 | |
Hertz Corp. (The), Gtd. Notes | | | | | 6.750% | | | 04/15/19(d) | | | 4,200 | | | | 4,525,500 | |
Interline Brands, Inc., Gtd. Notes | | | | | 7.500% | (a) | | 11/15/18 | | | 5,420 | | | | 5,745,200 | |
International Wire Group Holdings, Inc., Sr. Sec’d. Notes, 144A | | | | | 8.500% | | | 10/15/17 | | | 6,250 | | | | 6,593,750 | |
Kenan Advantage Group, Inc. (The), Sr. Unsec’d. Notes, 144A | | | | | 8.375% | | | 12/15/18 | | | 9,270 | | | | 9,756,675 | |
Laureate Education, Inc., Gtd. Notes, 144A | | | | | 9.250% | | | 09/01/19 | | | 12,425 | | | | 13,512,188 | |
Manitowoc Co., Inc. (The), Gtd. Notes | | | | | 5.875% | | | 10/15/22(d) | | | 2,550 | | | | 2,575,500 | |
NES Rentals Holdings, Inc., Sec’d. Notes, 144A
(original cost $4,001,250; purchased 04/12/13-07/02/13) | | | | | 7.875% | | | 05/01/18(b)(c)(d) | | | 4,025 | | | | 4,236,313 | |
Rexel SA (France), Sr. Unsec’d. Notes, 144A | | | | | 6.125% | | | 12/15/19 | | | 3,600 | | | | 3,762,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A111
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Capital Goods (continued) | | | | | | | | | | | | | | | | |
Safway Group Holding LLC/Safway Finance Corp., Sec’d. Notes, 144A | | | | | 7.000% | | | 05/15/18(d) | | | 1,450 | | | $ | 1,529,750 | |
SPX Corp., Gtd. Notes | | | | | 6.875% | | | 09/01/17(d) | | | 4,925 | | | | 5,565,250 | |
Terex Corp., Gtd. Notes | | | | | 6.000% | | | 05/15/21(d) | | | 8,889 | | | | 9,189,004 | |
Terex Corp., Gtd. Notes | | | | | 6.500% | | | 04/01/20(d) | | | 2,175 | | | | 2,327,250 | |
Unifrax I LLC/Unifrax Holding Co., Gtd. Notes, 144A
(original cost $3,045,000; purchased 10/10/13) | | | | | 7.500% | | | 02/15/19(b)(c) | | | 3,000 | | | | 3,105,000 | |
United Rentals North America, Inc., Gtd. Notes | | | | | 7.375% | | | 05/15/20(d) | | | 2,625 | | | | 2,910,469 | |
United Rentals North America, Inc., Gtd. Notes | | | | | 7.625% | | | 04/15/22 | | | 12,640 | | | | 14,046,200 | |
United Rentals North America, Inc., Gtd. Notes | | | | | 8.375% | | | 09/15/20(d) | | | 2,750 | | | | 3,066,250 | |
United Rentals North America, Inc., Sr. Unsec’d Notes | | | | | 8.250% | | | 02/01/21 | | | 8,350 | | | | 9,414,625 | |
United Rentals North America, Inc., Sr. Unsec’d. Notes | | | | | 10.250% | | | 11/15/19 | | | 2,425 | | | | 2,747,525 | |
WireCo WorldGroup, Inc., Gtd. Notes | | | | | 9.500% | | | 05/15/17 | | | 10,800 | | | | 11,191,500 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 200,298,048 | |
| | | | | | | | | | | | | | |
|
|
|
Chemicals — 3.6% | | | | | | | | | | | | | | | | |
Ashland, Inc., Gtd. Notes | | | | | 4.750% | (a) | | 08/15/22 | | | 300 | | | | 285,000 | |
Axiall Corp., Gtd. Notes, 144A | | | | | 4.875% | | | 05/15/23(d) | | | 2,175 | | | | 2,055,375 | |
Celanese US Holdings LLC, Gtd. Notes | | | | | 4.625% | | | 11/15/22 | | | 3,225 | | | | 3,087,938 | |
Chemtura Corp., Gtd. Notes | | | | | 5.750% | | | 07/15/21(d) | | | 6,300 | | | | 6,386,625 | |
Eagle Spinco, Inc., Gtd. Notes, 144A | | | | | 4.625% | | | 02/15/21(d) | | | 2,625 | | | | 2,572,500 | |
Hexion US Finance Corp., Sr. Sec’d. Notes | | | | | 6.625% | | | 04/15/20 | | | 5,675 | | | | 5,816,875 | |
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, Sec’d. Notes | | | | | 9.000% | | | 11/15/20(d) | | | 17,255 | | | | 17,211,863 | |
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC,
Sr. Sec’d. Notes | | | | | 8.875% | | | 02/01/18 | | | 400 | | | | 415,500 | |
Huntsman International LLC, Gtd. Notes | | | | | 8.625% | | | 03/15/20(d) | | | 1,650 | | | | 1,825,313 | |
Koppers, Inc., Gtd. Notes | | | | | 7.875% | | | 12/01/19 | | | 6,142 | | | | 6,633,360 | |
NOVA Chemicals Corp. (Canada), Sr. Unsec’d. Notes, 144A | | | | | 5.250% | | | 08/01/23 | | | 6,204 | | | | 6,390,120 | |
Orion Engineered Carbons Bondco GmbH (Germany),
Sr. Sec’d. Notes, 144A | | | | | 9.625% | | | 06/15/18 | | | 4,550 | | | | 5,027,750 | |
Orion Engineered Carbons Finance & Co. SCA (Luxembourg), Gtd. Notes, PIK, 144A | | | | | 9.250% | | | 08/01/19(d) | | | 5,125 | | | | 5,355,625 | |
PetroLogistics LP/PetroLogistics Finance Corp., Gtd. Notes, 144A | | | | | 6.250% | | | 04/01/20 | | | 5,850 | | | | 5,864,625 | |
Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp.,
Sec’d. Notes, 144A | | | | | 6.500% | | | 04/15/21 | | | 6,325 | | | | 6,103,625 | |
Rockwood Specialties Group, Inc., Gtd. Notes | | | | | 4.625% | | | 10/15/20(d) | | | 2,500 | | | | 2,553,125 | |
Taminco Global Chemical Corp. (Belgium), Sec’d. Notes, 144A | | | | | 9.750% | | | 03/31/20 | | | 10,305 | | | | 11,696,175 | |
TPC Group, Inc., Sr. Sec’d. Notes, 144A | | | | | 8.750% | | | 12/15/20 | | | 7,820 | | | | 8,308,750 | |
Tronox Finance LLC, Gtd. Notes | | | | | 6.375% | | | 08/15/20(d) | | | 6,481 | | | | 6,610,620 | |
US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV (Netherlands), Gtd. Notes, 144A | | | | | 7.375% | | | 05/01/21(d) | | | 4,225 | | | | 4,504,906 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 108,705,670 | |
| | | | | | | | | | | | | | |
|
|
|
Consumer — 1.7% | | | | | | | | | | | | | | | | |
Brand Energy & Infrastructure Services, Inc., Gtd. Notes, 144A | | | | | 8.500% | | | 12/01/21 | | | 5,325 | | | | 5,411,531 | |
Carlson Wagonlit BV (Netherlands), Sr. Sec’d. Notes, 144A | | | | | 6.875% | | | 06/15/19 | | | 3,100 | | | | 3,216,250 | |
First Quality Finance Co., Inc., Sr. Unsec’d. Notes, 144A | | | | | 4.625% | | | 05/15/21 | | | 3,755 | | | | 3,567,250 | |
Live Nation Entertainment, Inc., Gtd. Notes, 144A | | | | | 7.000% | | | 09/01/20(d) | | | 3,425 | | | | 3,716,125 | |
Phillips-Van Heusen Corp., Sr. Unsec’d. Notes | | | | | 4.500% | | | 12/15/22(d) | | | 2,950 | | | | 2,795,125 | |
Phillips-Van Heusen Corp., Sr. Unsec’d. Notes | | | | | 7.375% | | | 05/15/20 | | | 4,061 | | | | 4,472,176 | |
Scotts Miracle-Gro Co. (The), Gtd. Notes | | | | | 7.250% | | | 01/15/18 | | | 2,600 | | | | 2,704,000 | |
Service Corp. International, Sr. Unsec’d. Notes | | | | | 4.500% | | | 11/15/20 | | | 2,325 | | | | 2,243,625 | |
Service Corp. International, Sr. Unsec’d. Notes | | | | | 7.000% | (a) | | 06/15/17 | | | 4,143 | | | | 4,640,160 | |
Service Corp. International, Sr. Unsec’d. Notes | | | | | 7.000% | | | 05/15/19 | | | 6,855 | | | | 7,334,850 | |
Service Corp. International, Sr. Unsec’d. Notes, 144A | | | | | 5.375% | | | 01/15/22 | | | 925 | | | | 936,563 | |
Spectrum Brands Escrow Corp., Gtd. Notes, 144A | | | | | 6.375% | | | 11/15/20 | | | 3,000 | | | | 3,202,500 | |
Stewart Enterprises, Inc., Gtd. Notes | | | | | 6.500% | | | 04/15/19(d) | | | 4,065 | | | | 4,308,900 | |
Visant Corp., Gtd. Notes | | | | | 10.000% | | | 10/01/17 | | | 1,939 | | | | 1,880,830 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 50,429,885 | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A112
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Electric — 4.6% | | | | | | | | | | | | | | | | |
AES Corp. (The), Sr. Unsec’d. Notes | | | | | 4.875% | | | 05/15/23 | | | 4,175 | | | $ | 3,903,625 | |
AES Corp. (The), Sr. Unsec’d. Notes | | | | | 7.375% | | | 07/01/21 | | | 9,275 | | | | 10,457,563 | |
AES Corp. (The), Sr. Unsec’d. Notes | | | | | 8.000% | | | 10/15/17 | | | 1,100 | | | | 1,292,500 | |
AES Corp. (The), Sr. Unsec’d. Notes | | | | | 8.000% | | | 06/01/20 | | | 1,800 | | | | 2,106,000 | |
Calpine Corp., Sr. Sec’d. Notes, 144A | | | | | 6.000% | | | 01/15/22(d) | | | 2,100 | | | | 2,152,500 | |
Calpine Corp., Sr. Sec’d. Notes, 144A | | | | | 7.500% | | | 02/15/21 | | | 13,631 | | | | 14,874,829 | |
Calpine Corp., Sr. Sec’d. Notes, 144A | | | | | 7.875% | | | 01/15/23 | | | 3,890 | | | | 4,249,825 | |
Covanta Holding Corp., Sr. Unsec’d. Notes | | | | | 6.375% | | | 10/01/22 | | | 2,450 | | | | 2,515,459 | |
Covanta Holding Corp., Sr. Unsec’d. Notes | | | | | 7.250% | | | 12/01/20 | | | 3,055 | | | | 3,335,125 | |
DPL, Inc., Sr. Unsec’d. Notes | | | | | 6.500% | | | 10/15/16 | | | 2,075 | | | | 2,246,188 | |
DPL, Inc., Sr. Unsec’d. Notes | | | | | 7.250% | | | 10/15/21 | | | 6,675 | | | | 6,758,438 | |
Dynegy, Inc., Gtd. Notes, 144A | | | | | 5.875% | | | 06/01/23 | | | 10,200 | | | | 9,639,000 | |
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.,
Sec’d. Notes | | | | | 11.000% | | | 10/01/21 | | | 4,500 | | | | 5,006,250 | |
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.,
Sec’d. Notes, 144A | | | | | 12.250% | (a) | | 03/01/22(d) | | | 18,075 | | | | 21,238,125 | |
GenOn Americas Generation LLC, Sr. Unsec’d. Notes | | | | | 8.500% | | | 10/01/21(d) | | | 1,000 | | | | 1,052,500 | |
GenOn Energy, Inc., Sr. Unsec’d. Notes | | | | | 9.500% | | | 10/15/18(d) | | | 2,500 | | | | 2,831,250 | |
GenOn REMA LLC, Pass-Through Certificates | | | | | 9.237% | | | 07/02/17(b) | | | 2,284 | | | | 2,352,991 | |
GenOn REMA LLC, Pass-Through Certificates | | | | | 9.681% | | | 07/02/26 | | | 6,335 | | | | 6,525,050 | |
InterGen NV (Netherlands), Sr. Sec’d. Notes, 144A
(original cost $4,837,877; purchased 06/07/13) | | | | | 7.000% | | | 06/30/23(b)(c)(d) | | | 4,925 | | | | 5,097,375 | |
Mirant Corp., Bonds, 144A | | | | | 7.400% | (e) | | 07/15/49(b) | | | 1,825 | | | | 1,825 | |
Mirant Mid Atlantic LLC Pass-Through Trust, Pass-Through Certificates | | | | | 9.125% | | | 06/30/17 | | | 7,083 | | | | 7,569,760 | |
NRG Energy, Inc., Gtd. Notes | | | | | 6.625% | | | 03/15/23 | | | 1,300 | | | | 1,309,750 | |
NRG Energy, Inc., Gtd. Notes | | | | | 7.625% | | | 01/15/18(d) | | | 6,645 | | | | 7,575,300 | |
NRG Energy, Inc., Gtd. Notes | | | | | 7.625% | | | 05/15/19(d) | | | 1,300 | | | | 1,374,750 | |
NRG Energy, Inc., Gtd. Notes | | | | | 7.875% | | | 05/15/21(d) | | | 4,240 | | | | 4,695,800 | |
NRG Energy, Inc., Gtd. Notes | | | | | 8.250% | | | 09/01/20 | | | 7,175 | | | | 7,946,313 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 138,108,091 | |
| | | | | | | | | | | | | | |
|
|
|
Energy – Other — 8.5% | | | | | | | | | | | | | | | | |
Athlon Holdings LP/Athlon Finance Corp., Gtd. Notes, 144A | | | | | 7.375% | | | 04/15/21 | | | 5,925 | | | | 6,221,250 | |
Bonanza Creek Energy, Inc., Gtd. Notes | | | | | 6.750% | | | 04/15/21 | | | 6,975 | | | | 7,306,313 | |
Bristow Group, Inc., Gtd. Notes | | | | | 6.250% | | | 10/15/22(d) | | | 2,950 | | | | 3,114,315 | |
Cie Generale Gde Geophysique-Veritas (France), Gtd. Notes | | | | | 6.500% | | | 06/01/21 | | | 2,125 | | | | 2,178,125 | |
Cie Generale Gde Geophysique-Veritas (France), Gtd. Notes | | | | | 7.750% | | | 05/15/17(d) | | | 2,150 | | | | 2,214,500 | |
CITIC Resources Finance 2007 Ltd. (China), Gtd. Notes, 144A | | | | | 6.750% | | | 05/15/14 | | | 25 | | | | 25,313 | |
Concho Resources, Inc., Gtd. Notes | | | | | 5.500% | | | 04/01/23 | | | 6,775 | | | | 6,978,250 | |
Continental Resources, Inc., Gtd. Notes | | | | | 5.000% | | | 09/15/22 | | | 4,400 | | | | 4,570,500 | |
Denbury Resources, Inc., Gtd. Notes | | | | | 4.625% | | | 07/15/23 | | | 6,450 | | | | 5,821,125 | |
Denbury Resources, Inc., Gtd. Notes | | | | | 6.375% | | | 08/15/21 | | | 2,565 | | | | 2,731,725 | |
Denbury Resources, Inc., Gtd. Notes | | | | | 8.250% | | | 02/15/20 | | | 2,968 | | | | 3,268,510 | |
EP Energy LLC/EP Energy Finance, Inc., Sr. Unsec’d. Notes | | | | | 9.375% | | | 05/01/20(d) | | | 5,926 | | | | 6,837,123 | |
EP Energy LLC/Everest Acquisition Finance, Inc., Sr. Sec’d. Notes | | | | | 6.875% | | | 05/01/19 | | | 1,800 | | | | 1,937,250 | |
Harvest Operations Corp. (South Korea), Gtd. Notes | | | | | 6.875% | | | 10/01/17 | | | 11,100 | | | | 12,154,500 | |
Hercules Offshore, Inc., Gtd. Notes, 144A | | | | | 7.500% | | | 10/01/21(d) | | | 2,625 | | | | 2,782,500 | |
Hercules Offshore, Inc., Gtd. Notes, 144A | | | | | 8.750% | | | 07/15/21(d) | | | 3,225 | | | | 3,595,875 | |
Hercules Offshore, Inc., Gtd. Notes, 144A | | | | | 10.250% | | | 04/01/19(d) | | | 3,500 | | | | 3,963,750 | |
Hercules Offshore, Inc., Sr. Sec’d. Notes, 144A | | | | | 7.125% | | | 04/01/17 | | | 1,975 | | | | 2,100,906 | |
Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Notes, 144A
(original cost $2,707,250; purchased 03/19/13) | | | | | 7.625% | | | 04/15/21(b)(c) | | | 2,450 | | | | 2,658,250 | |
Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Notes, 144A
(original cost $1,653,750; purchased 03/15/13) | | | | | 8.000% | | | 02/15/20(b)(c) | | | 1,500 | | | | 1,623,750 | |
Hornbeck Offshore Services, Inc., Gtd. Notes | | | | | 5.875% | | | 04/01/20 | | | 6,225 | | | | 6,427,313 | |
MEG Energy Corp. (Canada), Gtd. Notes, 144A | | | | | 6.500% | | | 03/15/21 | | | 5,395 | | | | 5,678,238 | |
MEG Energy Corp. (Canada), Gtd. Notes, 144A | | | | | 7.000% | | | 03/31/24 | | | 7,875 | | | | 7,973,438 | |
Midstates Petroleum Co., Inc./Midstates Petroleum Co. LLC, Gtd. Notes | | | | | 9.250% | | | 06/01/21 | | | 7,550 | | | | 7,889,750 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A113
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Energy – Other (continued) | | | | | | | | | | | | | | | | |
Newfield Exploration Co., Sr. Unsec’d. Notes | | | | | 5.625% | | | 07/01/24 | | | 3,625 | | | $ | 3,606,875 | |
Newfield Exploration Co., Sr. Unsec’d. Notes | | | | | 5.750% | | | 01/30/22 | | | 1,875 | | | | 1,931,250 | |
Oasis Petroleum, Inc., Gtd. Notes, 144A | | | | | 6.875% | | | 03/15/22(d) | | | 4,900 | | | | 5,194,000 | |
Offshore Group Investment Ltd., Sr. Sec’d. Notes | | | | | 7.125% | | | 04/01/23(d) | | | 5,425 | | | | 5,533,500 | |
Offshore Group Investment Ltd., Sr. Sec’d. Notes | | | | | 7.500% | | | 11/01/19 | | | 3,050 | | | | 3,316,875 | |
Parker Drilling Co., Gtd. Notes | | | | | 9.125% | | | 04/01/18 | | | 8,369 | | | | 8,871,140 | |
Parker Drilling Co., Gtd. Notes, 144A | | | | | 7.500% | | | 08/01/20 | | | 1,975 | | | | 2,073,750 | |
Petrohawk Energy Corp., Gtd. Notes | | | | | 7.250% | | | 08/15/18 | | | 800 | | | | 862,400 | |
Petrohawk Energy Corp., Gtd. Notes | | | | | 7.875% | | | 06/01/15 | | | 3,775 | | | | 3,874,094 | |
Plains Exploration & Production Co., Gtd. Notes | | | | | 6.625% | | | 05/01/21(d) | | | 1,000 | | | | 1,096,546 | |
Plains Exploration & Production Co., Gtd. Notes | | | | | 6.750% | | | 02/01/22 | | | 600 | | | | 660,914 | |
Precision Drilling Corp. (Canada), Gtd. Notes | | | | | 6.500% | | | 12/15/21(d) | | | 2,075 | | | | 2,209,875 | |
Precision Drilling Corp. (Canada), Gtd. Notes | | | | | 6.625% | | | 11/15/20 | | | 2,500 | | | | 2,668,750 | |
QEP Resources, Inc., Sr. Unsec’d. Notes | | | | | 5.250% | | | 05/01/23(d) | | | 7,475 | | | | 7,007,813 | |
QEP Resources, Inc., Sr. Unsec’d. Notes | | | | | 5.375% | | | 10/01/22(d) | | | 1,300 | | | | 1,251,250 | |
Range Resources Corp., Gtd. Notes | | | | | 5.000% | | | 08/15/22 | | | 2,250 | | | | 2,210,625 | |
Range Resources Corp., Gtd. Notes | | | | | 5.000% | | | 03/15/23 | | | 2,567 | | | | 2,509,243 | |
Range Resources Corp., Gtd. Notes | | | | | 5.750% | | | 06/01/21 | | | 2,925 | | | | 3,100,500 | |
Range Resources Corp., Gtd. Notes | | | | | 6.750% | | | 08/01/20 | | | 700 | | | | 757,750 | |
Range Resources Corp., Gtd. Notes | | | | | 8.000% | | | 05/15/19 | | | 1,623 | | | | 1,730,524 | |
Samson Investment Co., Gtd. Notes, 144A | | | | | 10.500% | (a) | | 02/15/20(d) | | | 13,775 | | | | 15,014,750 | |
Sanchez Energy Corp., Gtd. Notes, 144A | | | | | 7.750% | | | 06/15/21 | | | 5,525 | | | | 5,649,313 | |
Seadrill Ltd. (Norway), Sr. Unsec’d. Notes, 144A | | | | | 6.125% | | | 09/15/20 | | | 10,425 | | | | 10,398,938 | |
Seitel, Inc., Gtd. Notes | | | | | 9.500% | | | 04/15/19 | | | 4,125 | | | | 4,166,250 | |
SESI LLC, Gtd. Notes | | | | | 6.375% | | | 05/01/19 | | | 3,050 | | | | 3,255,875 | |
SESI LLC, Gtd. Notes | | | | | 7.125% | | | 12/15/21 | | | 1,900 | | | | 2,118,500 | |
Tullow Oil PLC (United Kingdom), Gtd. Notes, 144A | | | | | 6.000% | | | 11/01/20 | | | 5,400 | | | | 5,481,000 | |
Ultra Petroleum Corp., Sr. Unsec’d. Notes, 144A | | | | | 5.750% | | | 12/15/18 | | | 2,125 | | | | 2,183,438 | |
Western Refining, Inc., Gtd. Notes | | | | | 6.250% | | | 04/01/21 | | | 4,825 | | | | 4,861,188 | |
Whiting Petroleum Corp., Gtd. Notes | | | | | 5.000% | | | 03/15/19 | | | 5,075 | | | | 5,189,188 | |
Whiting Petroleum Corp., Gtd. Notes | | | | | 5.750% | | | 03/15/21 | | | 11,750 | | | | 12,161,250 | |
WPX Energy, Inc., Sr. Unsec’d. Notes | | | | | 5.250% | | | 01/15/17(d) | | | 3,325 | | | | 3,549,438 | |
WPX Energy, Inc., Sr. Unsec’d. Notes | | | | | 6.000% | | | 01/15/22(d) | | | 12,950 | | | | 12,950,000 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 257,499,371 | |
| | | | | | | | | | | | | | |
|
|
|
Foods — 4.1% | | | | | | | | | | | | | | | | |
ARAMARK Corp., Gtd. Notes, 144A | | | | | 5.750% | | | 03/15/20(d) | | | 2,785 | | | | 2,910,325 | |
B&G Foods, Inc., Gtd. Notes | | | | | 4.625% | | | 06/01/21(d) | | | 4,025 | | | | 3,864,000 | |
Bumble Bee Acquisition Corp. (Luxembourg), Sr. Sec’d. Notes, 144A | | | | | 9.000% | | | 12/15/17 | | | 508 | | | | 556,260 | |
Constellation Brands, Inc., Gtd. Notes | | | | | 4.250% | | | 05/01/23 | | | 2,600 | | | | 2,424,500 | |
Cott Beverages, Inc., Gtd. Notes | | | | | 8.125% | | | 09/01/18 | | | 2,605 | | | | 2,813,400 | |
Crestview DS Merger Sub II, Inc., Sec’d. Notes, 144A | | | | | 10.000% | | | 09/01/21(d) | | | 6,650 | | | | 7,132,125 | |
Darling Escrow Corp., Sr. Unsec’d. Notes, 144A | | | | | 5.375% | | | 01/15/22 | | | 2,225 | | | | 2,241,688 | |
Darling International, Inc., Gtd. Notes | | | | | 8.500% | | | 12/15/18 | | | 1,325 | | | | 1,460,813 | |
Dave & Buster’s, Inc., Gtd. Notes | | | | | 11.000% | | | 06/01/18 | | | 2,450 | | | | 2,685,813 | |
Del Monte Corp., Gtd. Notes | | | | | 7.625% | | | 02/15/19(d) | | | 3,450 | | | | 3,583,688 | |
Hawk Acquisition Sub, Inc., Sec’d. Notes, 144A | | | | | 4.250% | | | 10/15/20(d) | | | 4,550 | | | | 4,402,125 | |
Ingles Markets, Inc., Sr. Unsec’d. Notes | | | | | 5.750% | | | 06/15/23 | | | 5,450 | | | | 5,341,000 | |
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A
(original cost $3,017,471; purchased 05/20/11-06/15/11) | | | | | 7.250% | | | 06/01/21(b)(c)(d) | | | 3,085 | | | | 3,216,113 | |
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A
(original cost $9,130,750; purchased 09/13/13-10/15/13) | | | | | 7.250% | | | 06/01/21(b)(c) | | | 9,125 | | | | 9,490,000 | |
Landry’s, Inc., Sr. Notes, 144A
(original cost $17,082,188; purchased 04/19/12-07/17/13) | | | | | 9.375% | | | 05/01/20(b)(c)(d) | | | 16,350 | | | | 17,821,500 | |
Michael Foods Group, Inc., Gtd. Notes | | | | | 9.750% | | | 07/15/18 | | | 12,360 | | | | 13,441,500 | |
Post Holdings, Inc., Gtd. Notes | | | | | 7.375% | | | 02/15/22 | | | 7,350 | | | | 7,864,500 | |
Post Holdings, Inc., Gtd. Notes, 144A | | | | | 6.750% | | | 12/01/21(d) | | | 975 | | | | 1,009,125 | |
Roundy’s Supermarkets, Inc., Sec’d. Notes, 144A | | | | | 10.250% | | | 12/15/20(d) | | | 2,000 | | | | 2,040,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A114
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Foods (continued) | | | | | | | | | | | | | | | | |
Smithfield Foods, Inc., Sr. Unsec’d. Notes | | | | | 6.625% | | | 08/15/22 | | | 5,250 | | | $ | 5,565,000 | |
Stater Brothers Holdings, Inc., Gtd. Notes | | | | | 7.375% | | | 11/15/18 | | | 1,025 | | | | 1,083,938 | |
Stater Brothers Holdings, Inc., Gtd. Notes | | | | | 7.750% | | | 04/15/15(d) | | | 1,750 | | | | 1,754,410 | |
Sun Merger Sub, Inc., Sr. Unsec’d. Notes, 144A | | | | | 5.250% | | | 08/01/18 | | | 1,350 | | | | 1,414,125 | |
Sun Merger Sub, Inc., Sr. Unsec’d. Notes, 144A | | | | | 5.875% | | | 08/01/21 | | | 4,125 | | | | 4,228,125 | |
Tops Holding Corp./Tops Markets LLC, Sr. Sec’d. Notes, 144A
(original cost $4,680,951; purchased 12/07/12-12/12/13) | | | | | 8.875% | | | 12/15/17(b)(c) | | | 4,531 | | | | 4,978,436 | |
Wok Acquisition Corp., Gtd. Notes, 144A | | | | | 10.250% | | | 06/30/20(d) | | | 8,000 | | | | 8,690,000 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 122,012,509 | |
| | | | | | | | | | | | | | |
|
|
|
Gaming — 5.5% | | | | | | | | | | | | | | | | |
Affinity Gaming LLC/Affinity Gaming Finance Corp., Gtd. Notes | | | | | 9.000% | | | 05/15/18 | | | 10,700 | | | | 11,449,000 | |
Boyd Gaming Corp., Gtd. Notes | | | | | 9.000% | | | 07/01/20(d) | | | 4,709 | | | | 5,156,355 | |
Boyd Gaming Corp., Gtd. Notes | | | | | 9.125% | | | 12/01/18(d) | | | 7,760 | | | | 8,439,000 | |
Caesars Entertainment Operating Co., Inc., Sec’d. Notes | | | | | 10.000% | | | 12/15/18 | | | 3,213 | | | | 1,654,695 | |
Caesars Entertainment Operating Co., Inc., Sec’d. Notes | | | | | 12.750% | | | 04/15/18(d) | | | 12,101 | | | | 6,837,065 | |
Caesars Entertainment Operating Co., Inc, Sr. Sec’d. Notes | | | | | 9.000% | | | 02/15/20(d) | | | 2,700 | | | | 2,625,750 | |
Caesars Entertainment Operating Co., Inc., Sr. Sec’d. Notes | | | | | 11.250% | | | 06/01/17 | | | 5,895 | | | | 5,998,163 | |
Caesars Entertainment Resort Properties LLC, Sr. Sec’d. Notes, 144A | | | | | 8.000% | | | 10/01/20(d) | | | 3,625 | | | | 3,770,000 | |
CCM Merger, Inc., Gtd. Notes, 144A
(original cost $9,406,000; purchased 03/14/12-01/04/13) | | | | | 9.125% | | | 05/01/19(b)(c)(d) | | | 9,450 | | | | 9,875,250 | |
Churchill Downs, Inc., Gtd. Notes, 144A | | | | | 5.375% | | | 12/15/21 | | | 1,325 | | | | 1,348,188 | |
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes, 144A | | | | | 4.875% | | | 11/01/20(d) | | | 1,975 | | | | 1,975,000 | |
Golden Nugget Escrow, Inc., Sr. Unsec’d. Notes, 144A | | | | | 8.500% | | | 12/01/21 | | | 4,075 | | | | 4,115,750 | |
Isle of Capri Casinos, Inc., Gtd. Notes | | | | | 5.875% | | | 03/15/21(d) | | | 750 | | | | 736,875 | |
Isle of Capri Casinos, Inc., Gtd. Notes | | | | | 7.750% | | | 03/15/19 | | | 9,337 | | | | 10,107,303 | |
Isle of Capri Casinos, Inc., Gtd. Notes | | | | | 8.875% | | | 06/15/20(d) | | | 2,598 | | | | 2,773,365 | |
MCE Finance Ltd. (Macau), Gtd. Notes, 144A | | | | | 5.000% | | | 02/15/21 | | | 2,475 | | | | 2,413,125 | |
MGM Resorts International, Gtd. Notes | | | | | 6.625% | | | 12/15/21(d) | | | 17,115 | | | | 18,099,113 | |
MGM Resorts International, Gtd. Notes | | | | | 6.750% | | | 10/01/20(d) | | | 1,700 | | | | 1,819,000 | |
MGM Resorts International, Gtd. Notes | | | | | 7.625% | | | 01/15/17(d) | | | 3,025 | | | | 3,440,938 | |
MGM Resorts International, Gtd. Notes | | | | | 8.625% | | | 02/01/19 | | | 4,000 | | | | 4,690,000 | |
MGM Resorts International, Gtd. Notes | | | | | 10.000% | | | 11/01/16(d) | | | 1,750 | | | | 2,100,000 | |
MTR Gaming Group, Inc., Sec’d. Notes | | | | | 11.500% | | | 08/01/19 | | | 14,093 | | | | 15,660,708 | |
Penn National Gaming, Inc., Sr. Unsec’d. Notes, 144A | | | | | 5.875% | | | 11/01/21(d) | | | 5,225 | | | | 5,159,688 | |
Pinnacle Entertainment, Inc., Gtd. Notes | | | | | 7.750% | | | 04/01/22(d) | | | 6,375 | | | | 6,948,750 | |
PNK Finance Corp., Gtd. Notes, 144A | | | | | 6.375% | | | 08/01/21(d) | | | 7,967 | | | | 8,146,258 | |
Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock Intern, Gtd. Notes, 144A | | | | | 5.875% | | | 05/15/21 | | | 4,100 | | | | 4,028,250 | |
Station Casinos LLC, Gtd. Notes | | | | | 7.500% | | | 03/01/21 | | | 5,155 | | | | 5,490,075 | |
Sugarhouse Hsp Gaming Prop Mezz LP/Sugarhouse Hsp Gaming Finance Corp., Sr. Sec’d. Notes, 144A | | | | | 6.375% | | | 06/01/21 | | | 11,450 | | | | 11,049,250 | |
Wynn Macau Ltd. (Macau), Sr. Unsec’d. Notes, 144A | | | | | 5.250% | | | 10/15/21 | | | 1,100 | | | | 1,101,375 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 167,008,289 | |
| | | | | | | | | | | | | | |
|
|
|
Healthcare & Pharmaceutical — 8.3% | | | | | | | | | | | | | | | | |
Acadia Healthcare Co., Inc., Gtd. Notes | | | | | 12.875% | | | 11/01/18 | | | 4,220 | | | | 5,106,200 | |
Acadia Healthcare Co., Inc., Gtd. Notes, 144A | | | | | 6.125% | | | 03/15/21 | | | 2,750 | | | | 2,818,750 | |
Accellent, Inc., Gtd. Notes | | | | | 10.000% | | | 11/01/17 | | | 3,975 | | | | 4,104,188 | |
Accellent, Inc., Sr. Sec’d. Notes | | | | | 8.375% | | | 02/01/17 | | | 7,405 | | | | 7,747,481 | |
Biomet, Inc., Gtd. Notes | | | | | 6.500% | | | 08/01/20 | | | 7,975 | | | | 8,373,750 | |
Capella Healthcare, Inc., Gtd. Notes | | | | | 9.250% | | | 07/01/17 | | | 10,030 | | | | 10,681,950 | |
Capsugel SA, Sr. Unsec’d. Notes, PIK, 144A | | | | | 7.000% | | | 05/15/19(d) | | | 2,250 | | | | 2,292,188 | |
CHS/Community Health Systems, Inc., Gtd. Notes | | | | | 7.125% | | | 07/15/20(d) | | | 6,725 | | | | 6,977,188 | |
CHS/Community Health Systems, Inc., Gtd. Notes | | | | | 8.000% | | | 11/15/19 | | | 17,405 | | | | 18,884,425 | |
ConvaTec Finance International SA (Luxembourg), Sr. Unsec’d. Notes, PIK, 144A | | | | | 8.250% | | | 01/15/19(d) | | | 3,575 | | | | 3,659,906 | |
ConvaTec Healthcare E SA (Luxembourg), Gtd. Notes, 144A | | | | | 10.500% | | | 12/15/18 | | | 11,383 | | | | 12,791,646 | |
DaVita HealthCare Partners, Inc., Gtd. Notes | | | | | 5.750% | | | 08/15/22 | | | 660 | | | | 668,250 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A115
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Healthcare & Pharmaceutical (continued) | | | | | | | | | | | | | | | | |
Endo Finance Co., Gtd. Notes, 144A | | | | | 5.750% | | | 01/15/22 | | | 2,450 | | | $ | 2,462,250 | |
Forest Laboratories, Inc., Sr. Unsec’d. Notes, 144A | | | | | 5.000% | | | 12/15/21 | | | 2,375 | | | | 2,383,906 | |
Fresenius Medical Care US Finance II, Inc., Gtd. Notes, 144A | | | | | 5.625% | | | 07/31/19 | | | 1,450 | | | | 1,566,000 | |
HCA Holdings, Inc., Sr. Unsec’d. Notes | | | | | 6.250% | | | 02/15/21(d) | | | 2,450 | | | | 2,563,313 | |
HCA, Inc., Gtd. Notes | | | | | 5.875% | | | 05/01/23(d) | | | 4,350 | | | | 4,295,625 | |
HCA, Inc., Gtd. Notes | | | | | 7.500% | | | 02/15/22(d) | | | 3,850 | | | | 4,225,375 | |
HCA, Inc., Gtd. Notes | | | | | 8.000% | | | 10/01/18 | | | 17,250 | | | | 20,376,563 | |
HCA, Inc., Sr. Sec’d. Notes | | | | | 4.750% | | | 05/01/23(d) | | | 3,600 | | | | 3,384,000 | |
HCA, Inc., Sr. Sec’d. Notes | | | | | 7.875% | | | 02/15/20 | | | 900 | | | | 966,375 | |
HCA, Inc., Sr. Sec’d. Notes | | | | | 8.500% | | | 04/15/19 | | | 2,155 | | | | 2,284,300 | |
HCA, Inc., Sr. Unsec’d. Notes | | | | | 6.500% | | | 02/15/16(d) | | | 2,910 | | | | 3,182,813 | |
HCA, Inc., Sr. Unsec’d. Notes | | | | | 7.190% | | | 11/15/15 | | | 2,116 | | | | 2,306,440 | |
HCA, Inc., Sr. Unsec’d. Notes, MTN | | | | | 9.000% | | | 12/15/14 | | | 10,765 | | | | 11,518,550 | |
Healthcare Technology Intermediate, Inc., Sr. Unsec’d. Notes, PIK, 144A | | | | | 7.375% | | | 09/01/18 | | | 1,625 | | | | 1,690,000 | |
HealthSouth Corp., Gtd. Notes | | | | | 7.250% | | | 10/01/18 | | | 5,888 | | | | 6,292,800 | |
HealthSouth Corp., Gtd. Notes | | | | | 7.750% | | | 09/15/22 | | | 1,788 | | | | 1,957,860 | |
Kindred Healthcare, Inc., Gtd. Notes | | | | | 8.250% | | | 06/01/19(d) | | | 4,430 | | | | 4,717,950 | |
LifePoint Hospitals, Inc., Gtd. Notes, 144A | | | | | 5.500% | | | 12/01/21(d) | | | 2,850 | | | | 2,860,688 | |
Mallinckrodt International Finance SA, Gtd. Notes, 144A | | | | | 4.750% | | | 04/15/23 | | | 5,175 | | | | 4,776,204 | |
MedAssets, Inc., Gtd. Notes | | | | | 8.000% | | | 11/15/18 | | | 5,800 | | | | 6,264,000 | |
MPH Intermediate Holding Co. 2, Sr. Unsec’d. Notes, PIK, 144A
(original cost $4,000,000; purchased 07/22/13) | | | | | 8.375% | | | 08/01/18(b)(c) | | | 4,000 | | | | 4,160,000 | |
Opal Acquisition, Inc., Sr. Unsec’d. Notes, 144A | | | | | 8.875% | | | 12/15/21 | | | 5,425 | | | | 5,397,875 | |
ResCare, Inc., Gtd. Notes | | | | | 10.750% | | | 01/15/19 | | | 4,950 | | | | 5,544,000 | |
Salix Pharmaceuticals Ltd., Gtd. Notes, 144A | | | | | 6.000% | | | 01/15/21 | | | 2,350 | | | | 2,408,750 | |
Select Medical Corp., Gtd. Notes | | | | | 6.375% | | | 06/01/21(d) | | | 4,225 | | | | 4,129,938 | |
STHI Holding Corp., Sec’d. Notes, 144A
(original cost $1,225,000; purchased 03/11/11) | | | | | 8.000% | | | 03/15/18(b)(c) | | | 1,225 | | | | 1,310,750 | |
Tenet Healthcare Corp., Sr. Sec’d. Notes | | | | | 4.375% | | | 10/01/21 | | | 4,545 | | | | 4,272,300 | |
Tenet Healthcare Corp., Sr. Sec’d. Notes | | | | | 4.500% | | | 04/01/21(d) | | | 5,025 | | | | 4,761,188 | |
Tenet Healthcare Corp., Sr. Sec’d. Notes | | | | | 4.750% | | | 06/01/20 | | | 2,975 | | | | 2,908,063 | |
Tenet Healthcare Corp., Sr. Sec’d. Notes | | | | | 6.250% | | | 11/01/18(d) | | | 5,225 | | | | 5,786,688 | |
Tenet Healthcare Corp., Sr. Sec’d. Notes, 144A | | | | | 6.000% | | | 10/01/20(d) | | | 3,575 | | | | 3,731,406 | |
Tenet Healthcare Corp., Sr. Unsec’d. Notes | | | | | 8.125% | | | 04/01/22(d) | | | 9,900 | | | | 10,667,250 | |
Valeant Pharmaceuticals International, Gtd. Notes, 144A | | | | | 5.625% | | | 12/01/21 | | | 1,825 | | | | 1,834,125 | |
Valeant Pharmaceuticals International, Gtd. Notes, 144A | | | | | 6.375% | | | 10/15/20 | | | 5,500 | | | | 5,795,625 | |
Valeant Pharmaceuticals International, Gtd. Notes, 144A | | | | | 6.875% | | | 12/01/18 | | | 9,450 | | | | 10,111,500 | |
Valeant Pharmaceuticals International, Sr. Unsec’d. Notes, 144A | | | | | 7.500% | | | 07/15/21 | | | 2,375 | | | | 2,606,563 | |
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A | | | | | 7.000% | | | 10/01/20 | | | 1,975 | | | | 2,128,063 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 251,735,018 | |
| | | | | | | | | | | | | | |
|
|
|
Lodging — 0.4% | | | | | | | | | | | | | | | | |
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp., Gtd. Notes, 144A | | | | | 5.625% | | | 10/15/21 | | | 5,775 | | | | 5,991,563 | |
Royal Caribbean Cruises Ltd., Sr. Unsec’d. Notes | | | | | 7.250% | | | 03/15/18(d) | | | 3,700 | | | | 4,255,000 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 10,246,563 | |
| | | | | | | | | | | | | | |
|
|
|
Media & Entertainment — 5.1% | | | | | | | | | | | | | | | | |
AMC Entertainment, Inc., Gtd. Notes | | | | | 9.750% | | | 12/01/20 | | | 13,784 | | | | 15,765,450 | |
AMC Networks, Inc., Gtd. Notes | | | | | 4.750% | | | 12/15/22(d) | | | 2,150 | | | | 2,047,875 | |
AMC Networks, Inc., Gtd. Notes | | | | | 7.750% | | | 07/15/21 | | | 1,775 | | | | 1,996,875 | |
Belo Corp., Sr. Unsec’d. Notes | | | | | 7.750% | | | 06/01/27 | | | 4,000 | | | | 4,310,000 | |
Carmike Cinemas, Inc., Sec’d. Notes | | | | | 7.375% | | | 05/15/19 | | | 4,550 | | | | 4,959,500 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes | | | | | 9.125% | | | 08/01/18 | | | 2,125 | | | | 2,305,625 | |
Cedar Fair LP/Canada’s Wonderland Co/Magnum Management Corp., Gtd. Notes | | | | | 5.250% | | | 03/15/21 | | | 2,350 | | | | 2,320,625 | |
Cinemark USA, Inc., Gtd. Notes | | | | | 5.125% | | | 12/15/22 | | | 4,850 | | | | 4,692,375 | |
Clear Channel Worldwide Holdings, Inc., Gtd. Notes | | | | | 6.500% | | | 11/15/22 | | | 5,547 | | | | 5,642,599 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A116
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Media & Entertainment (continued) | | | | | | | | | | | | | | | | |
Clear Channel Worldwide Holdings, Inc., Gtd. Notes | | | | | 7.625% | | | 03/15/20(d) | | | 2,700 | | | $ | 2,808,000 | |
Entercom Radio LLC, Gtd. Notes | | | | | 10.500% | | | 12/01/19 | | | 4,075 | | | | 4,614,938 | |
Gray Television, Inc., Gtd. Notes | | | | | 7.500% | | | 10/01/20 | | | 5,150 | | | | 5,471,875 | |
Griffey Intermediate, Inc./Griffey Finance Sub LLC, Sr. Notes, 144A | | | | | 7.000% | | | 10/15/20(d) | | | 8,344 | | | | 6,612,620 | |
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes | | | | | 7.250% | | | 10/15/20(d) | | | 5,700 | | | | 6,234,375 | |
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes, 144A | | | | | 5.500% | | | 08/01/23(d) | | | 13,000 | | | | 12,366,250 | |
LIN Television Corp., Gtd. Notes | | | | | 6.375% | | | 01/15/21 | | | 2,375 | | | | 2,470,000 | |
LIN Television Corp., Gtd. Notes | | | | | 8.375% | | | 04/15/18 | | | 2,875 | | | | 3,040,313 | |
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance, Sr. Sec’d. Notes, 144A | | | | | 9.750% | | | 04/01/21(d) | | | 5,200 | | | | 5,746,000 | |
Mood Media Corp. (Canada), Gtd. Notes, 144A | | | | | 9.250% | | | 10/15/20(d) | | | 4,475 | | | | 3,949,188 | |
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., Sr. Sec’d. Notes, 144A
(original cost $4,850,000; purchased 07/30/13) | | | | | 5.000% | | | 08/01/18(b)(c) | | | 4,850 | | | | 5,007,625 | |
National CineMedia LLC, Sr. Sec’d. Notes | | | | | 6.000% | | | 04/15/22 | | | 4,350 | | | | 4,491,375 | |
Nexstar Broadcasting, Inc., Gtd. Notes | | | | | 6.875% | | | 11/15/20 | | | 6,675 | | | | 7,142,250 | |
Regal Cinemas Corp., Gtd. Notes | | | | | 8.625% | | | 07/15/19 | | | 2,000 | | | | 2,145,000 | |
Sinclair Television Group, Inc., Gtd. Notes | | | | | 5.375% | | | 04/01/21 | | | 4,850 | | | | 4,777,250 | |
Sinclair Television Group, Inc., Gtd. Notes, 144A | | | | | 6.375% | | | 11/01/21 | | | 3,925 | | | | 4,062,375 | |
Sinclair Television Group, Inc., Sr. Unsec’d. Notes | | | | | 6.125% | | | 10/01/22 | | | 3,900 | | | | 3,939,000 | |
SSI Investments II Ltd./SSI Co.-Issuer LLC, Gtd. Notes | | | | | 11.125% | | | 06/01/18 | | | 11,375 | | | | 12,341,875 | |
Telesat Canada/Telesat LLC (Canada), Sr. Unsec’d. Notes, 144A | | | | | 6.000% | | | 05/15/17 | | | 1,050 | | | | 1,092,000 | |
Univision Communications, Inc., Sr. Sec’d. Notes, 144A | | | | | 5.125% | | | 05/15/23(d) | | | 2,000 | | | | 1,997,500 | |
Vail Resorts, Inc., Gtd. Notes | | | | | 6.500% | | | 05/01/19 | | | 2,000 | | | | 2,120,000 | |
WMG Acquisition Corp., Gtd. Notes | | | | | 11.500% | | | 10/01/18 | | | 4,450 | | | | 5,117,500 | |
WMG Acquisition Corp., Sr. Sec’d. Notes, 144A | | | | | 6.000% | | | 01/15/21 | | | 1,750 | | | | 1,817,813 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 153,406,046 | |
| | | | | | | | | | | | | | |
|
|
|
Metals — 3.3% | | | | | | | | | | | | | | | | |
AK Steel Corp., Gtd. Notes | | | | | 8.375% | | | 04/01/22(d) | | | 2,380 | | | | 2,385,950 | |
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes | | | | | 6.000% | (a) | | 03/01/21(d) | | | 6,700 | | | | 7,102,000 | |
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes | | | | | 6.750% | (a) | | 02/25/22(d) | | | 3,000 | | | | 3,262,500 | |
ArcelorMittal SA (Luxembourg), Sr. Unsec’d. Notes | | | | | 6.125% | | | 06/01/18 | | | 11,800 | | | | 12,950,500 | |
ArcelorMittal SA (Luxembourg), Sr. Unsec’d. Notes | | | | | 9.500% | (a) | | 02/15/15 | | | 4,350 | | | | 4,725,188 | |
Arch Coal, Inc., Gtd. Notes | | | | | 7.250% | | | 10/01/20(d) | | | 5,125 | | | | 3,984,688 | |
Arch Coal, Inc., Gtd. Notes | | | | | 9.875% | | | 06/15/19 | | | 2,525 | | | | 2,247,250 | |
Bluescope Steel Ltd./Bluescope Steel Finance (Australia), Gtd. Notes, 144A | | | | | 7.125% | | | 05/01/18 | | | 2,775 | | | | 2,906,813 | |
CONSOL Energy, Inc., Gtd. Notes | | | | | 8.000% | | | 04/01/17(d) | | | 3,025 | | | | 3,187,594 | |
Eldorado Gold Corp. (Canada), Sr. Unsec’d. Notes, 144A | | | | | 6.125% | | | 12/15/20(d) | | | 4,841 | | | | 4,659,463 | |
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A | | | | | 6.000% | | | 04/01/17(d) | | | 4,000 | | | | 4,250,000 | |
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A | | | | | 6.375% | | | 02/01/16(d) | | | 2,760 | | | | 2,856,600 | |
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A | | | | | 6.875% | | | 02/01/18(d) | | | 3,200 | | | | 3,368,000 | |
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A | | | | | 7.000% | | | 11/01/15 | | | 1,242 | | | | 1,288,575 | |
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A | | | | | 8.250% | | | 11/01/19(d) | | | 2,827 | | | | 3,173,308 | |
FQM Akubra, Inc. (Canada), Gtd. Notes, 144A | | | | | 7.500% | | | 06/01/21 | | | 1,200 | | | | 1,254,000 | |
FQM Akubra, Inc. (Canada), Gtd. Notes, 144A | | | | | 8.750% | | | 06/01/20 | | | 7,675 | | | | 8,327,375 | |
GrafTech International Ltd., Gtd. Notes | | | | | 6.375% | | | 11/15/20(d) | | | 2,650 | | | | 2,716,250 | |
Iamgold Corp. (Canada), Gtd. Notes, 144A | | | | | 6.750% | | | 10/01/20 | | | 1,925 | | | | 1,655,500 | |
Murray Energy Corp., Sr. Sec’d. Notes, 144A
(original cost $1,200,000; purchased 05/17/13) | | | | | 8.625% | | | 06/15/21(b)(c) | | | 1,200 | | | | 1,242,000 | |
New Gold, Inc. (Canada), Sr. Unsec’d. Notes, 144A | | | | | 6.250% | | | 11/15/22 | | | 6,775 | | | | 6,554,813 | |
Peabody Energy Corp., Gtd. Notes | | | | | 6.000% | | | 11/15/18(d) | | | 6,250 | | | | 6,656,250 | |
Peabody Energy Corp., Gtd. Notes | | | | | 6.250% | | | 11/15/21(d) | | | 1,625 | | | | 1,641,250 | |
Westmoreland Coal Co./Westmoreland Partners, Sr. Sec’d. Notes | | | | | 10.750% | | | 02/01/18 | | | 6,025 | | | | 6,612,438 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 99,008,305 | |
| | | | | | | | | | | | | | |
|
|
|
Non-Captive Finance — 2.4% | | | | | | | | | | | | | | | | |
ACE Cash Express, Inc., Sr. Sec’d. Notes, 144A | | | | | 11.000% | | | 02/01/19 | | | 3,325 | | | | 2,668,313 | |
CIT Group, Inc., Sr. Unsec’d. Notes | | | | | 4.250% | | | 08/15/17 | | | 1,025 | | | | 1,067,281 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A117
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Non-Captive Finance (continued) | | | | | | | | | | | | | | | | |
CIT Group, Inc., Sr. Unsec’d. Notes | | | | | 5.000% | | | 05/15/17 | | | 4,800 | | | $ | 5,124,000 | |
CIT Group, Inc., Sr. Unsec’d. Notes | | | | | 5.000% | | | 08/15/22 | | | 24,500 | | | | 23,887,500 | |
CIT Group, Inc., Sr. Unsec’d. Notes | | | | | 5.250% | | | 03/15/18(d) | | | 6,925 | | | | 7,427,063 | |
CIT Group, Inc., Sr. Unsec’d. Notes | | | | | 5.375% | | | 05/15/20(d) | | | 750 | | | | 796,875 | |
CIT Group, Inc., Sr. Unsec’d. Notes, 144A | | | | | 5.500% | | | 02/15/19 | | | 5,000 | | | | 5,362,500 | |
CNG Holdings, Inc., Sr. Sec’d. Notes, 144A | | | | | 9.375% | | | 05/15/20 | | | 675 | | | | 621,000 | |
Community Choice Financial, Inc., Sr. Sec’d. Notes | | | | | 10.750% | | | 05/01/19 | | | 1,110 | | | | 929,625 | |
Fly Leasing Ltd. (Ireland), Gtd. Notes | | | | | 6.750% | | | 12/15/20 | | | 2,200 | | | | 2,227,500 | |
HSBC Finance Capital Trust IX (United Kingdom), Gtd. Notes | | | | | 5.911% | (a) | | 11/30/35 | | | 100 | | | | 103,000 | |
International Lease Finance Corp., Sr. Sec’d. Notes, 144A | | | | | 7.125% | | | 09/01/18 | | | 525 | | | | 607,688 | |
International Lease Finance Corp., Sr. Unsec’d. Notes | | | | | 3.875% | | | 04/15/18(d) | | | 3,525 | | | | 3,533,813 | |
International Lease Finance Corp., Sr. Unsec’d. Notes | | | | | 6.250% | | | 05/15/19(d) | | | 2,120 | | | | 2,294,900 | |
International Lease Finance Corp., Sr. Unsec’d. Notes | | | | | 8.875% | | | 09/01/17(d) | | | 1,200 | | | | 1,428,000 | |
Jet Equipment Trust 1994-A, Equipment Trust, 144A | | | | | 10.000% | (a) | | 06/15/12(b)(e) | | | 64 | | | | 50,913 | |
Jet Equipment Trust 1994-A, Sr. Unsec’d. Notes, 144A | | | | | 7.630% | (a) | | 08/15/12(b)(e) | | | 11 | | | | 8 | |
Patriot Merger Corp., Sr. Unsec’d. Notes, 144A | | | | | 9.000% | | | 07/15/21 | | | 2,375 | | | | 2,493,750 | |
SLM Corp., Sr. Unsec’d. Notes, MTN | | | | | 8.000% | | | 03/25/20 | | | 1,900 | | | | 2,151,750 | |
Springleaf Finance Corp., Gtd. Notes | | | | | 6.000% | | | 06/01/20 | | | 9,525 | | | | 9,525,000 | |
Springleaf Finance Corp., Gtd. Notes | | | | | 8.250% | | | 10/01/23 | | | 1,125 | | | | 1,217,813 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 73,518,292 | |
| | | | | | | | | | | | | | |
|
|
|
Packaging — 2.6% | | | | | | | | | | | | | | | | |
Ardagh Packaging Finance PLC (Luxembourg), Gtd. Notes, 144A | | | | | 9.125% | | | 10/15/20(d) | | | 5,450 | | | | 5,967,750 | |
Ardagh Packaging Finance PLC (Ireland), Sr. Unsec’d. Notes, 144A | | | | | 7.000% | | | 11/15/20(d) | | | 5,600 | | | | 5,656,000 | |
Berry Plastics Corp., Sec’d. Notes | | | | | 9.750% | | | 01/15/21 | | | 4,875 | | | | 5,642,813 | |
Beverage Packaging Holdings Luxembourg II SA/Beverage Packaging Holdings II, Gtd. Notes, 144A | | | | | 6.000% | | | 06/15/17(d) | | | 5,150 | | | | 5,214,375 | |
BOE Intermediate Holding Corp., Sr. Unsec’d. Notes, PIK, 144A | | | | | 9.000% | | | 11/01/17 | | | 3,044 | | | | 3,173,800 | |
BOE Merger Corp., Sr. Unsec’d. Notes, PIK, 144A
(original cost $6,877,500; purchased 10/24/12-04/30/13) | | | | | 9.500% | | | 11/01/17(b)(c) | | | 6,625 | | | | 7,039,063 | |
BWAY Holding Co., Gtd. Notes
(original cost $1,002,500; purchased 10/05/11) | | | | | 10.000% | | | 06/15/18(b)(c) | | | 1,000 | | | | 1,085,000 | |
Exopack Holdings SA, Gtd. Notes, 144A | | | | | 7.875% | | | 11/01/19 | | | 5,875 | | | | 5,992,500 | |
Greif, Inc., Sr. Unsec’d. Notes | | | | | 6.750% | | | 02/01/17 | | | 4,970 | | | | 5,504,275 | |
Plastipak Holdings, Inc., Sr. Unsec’d. Notes, 144A
(original cost $3,075,000; purchased 09/25/13) | | | | | 6.500% | | | 10/01/21(b)(c) | | | 3,075 | | | | 3,182,625 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, Gtd. Notes | | | | | 9.875% | | | 08/15/19(d) | | | 6,175 | | | | 6,869,688 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, Sr. Sec’d. Notes | | | | | 5.750% | | | 10/15/20 | | | 10,450 | | | | 10,659,000 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, Sr. Sec’d. Notes | | | | | 6.875% | | | 02/15/21(d) | | | 1,575 | | | | 1,697,063 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, Sr. Sec’d. Notes | | | | | 7.875% | | | 08/15/19 | | | 2,750 | | | | 3,038,750 | |
Sealed Air Corp., Gtd. Notes, 144A | | | | | 6.500% | | | 12/01/20(d) | | | 1,400 | | | | 1,505,000 | |
Sealed Air Corp., Gtd. Notes, 144A | | | | | 8.375% | | | 09/15/21 | | | 4,000 | | | | 4,540,000 | |
Sealed Air Corp., Sr. Notes, 144A | | | | | 5.250% | | | 04/01/23 | | | 1,725 | | | | 1,677,563 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 78,445,265 | |
| | | | | | | | | | | | | | |
|
|
|
Paper — 0.3% | | | | | | | | | | | | | | | | |
Domtar Corp., Gtd. Notes | | | | | 10.750% | | | 06/01/17(d) | | | 1,125 | | | | 1,404,134 | |
Graphic Packaging International, Inc., Gtd. Notes | | | | | 7.875% | | | 10/01/18 | | | 1,375 | | | | 1,491,875 | �� |
Smurfit Kappa Acquisitions (Ireland), Sr. Sec’d. Notes, 144A | | | | | 4.875% | | | 09/15/18 | | | 5,750 | | | | 5,965,625 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 8,861,634 | |
| | | | | | | | | | | | | | |
|
|
|
Pipelines & Other — 2.5% | | | | | | | | | | | | | | | | |
AmeriGas Finance LLC/AmeriGas Finance Corp., Gtd. Notes | | | | | 7.000% | | | 05/20/22 | | | 5,635 | | | | 6,113,975 | |
AmeriGas Partners LP/AmeriGas Finance Corp., Sr. Unsec’d. Notes | | | | | 6.500% | | | 05/20/21 | | | 1,240 | | | | 1,323,700 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp, Gtd. Notes | | | | | 6.000% | | | 12/15/20 | | | 2,900 | | | | 2,987,000 | |
Energy Transfer Equity LP, Sr. Sec’d. Notes | | | | | 7.500% | | | 10/15/20 | | | 4,300 | | | | 4,826,750 | |
Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsec’d. Notes, 144A | | | | | 6.750% | | | 01/15/22 | | | 2,295 | | | | 2,329,425 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A118
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Pipelines & Other (continued) | | | | | | | | | | | | | | | | |
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., Sr. Unsec’d. Notes | | | | | 8.625% | | | 06/15/20 | | | 3,659 | | | $ | 3,851,098 | |
Kinder Morgan, Inc., Sr. Sec’d. Notes, 144A | | | | | 5.000% | | | 02/15/21 | | | 2,775 | | | | 2,733,336 | |
Kinder Morgan, Inc., Sr. Sec’d. Notes, 144A | | | | | 5.625% | | | 11/15/23 | | | 5,725 | | | | 5,543,157 | |
Regency Energy Partners LP/Regency Energy Finance Corp., Gtd. Notes | | | | | 5.500% | | | 04/15/23 | | | 3,275 | | | | 3,193,125 | |
Regency Energy Partners LP/Regency Energy Finance Corp., Gtd. Notes | | | | | 5.750% | | | 09/01/20(d) | | | 5,225 | | | | 5,394,813 | |
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A
(original cost $8,664,483; purchased 01/10/13-06/13/13) | | | | | 6.000% | | | 01/15/19(b)(c) | | | 8,722 | | | | 8,067,850 | |
Selectica, Inc. (Escrow Shares) | | | | | —% | (e) | | 01/01/20 | | | 1,350 | | | | — | |
Suburban Propane Partners LP/Suburban Energy Finance Corp., Sr. Unsec’d. Notes | | | | | 7.375% | | | 08/01/21 | | | 2,400 | | | | 2,616,000 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes | | | | | 6.375% | | | 08/01/22 | | | 798 | | | | 843,885 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes | | | | | 6.875% | | | 02/01/21 | | | 8,050 | | | | 8,653,750 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes | | | | | 7.875% | | | 10/15/18 | | | 4,350 | | | | 4,676,250 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes, 144A | | | | | 4.250% | | | 11/15/23(d) | | | 4,975 | | | | 4,452,625 | |
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes | | | | | 5.875% | | | 10/01/20 | | | 1,575 | | | | 1,610,438 | |
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes | | | | | 6.125% | | | 10/15/21 | | | 3,025 | | | | 3,115,750 | |
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes, 144A | | | | | 5.875% | | | 10/01/20 | | | 1,750 | | | | 1,789,375 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 74,122,302 | |
| | | | | | | | | | | | | | |
|
|
|
Real Estate Investment Trusts — 1.4% | | | | | | | | | | | | | | | | |
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., Gtd. Notes | | | | | 7.750% | | | 02/15/19 | | | 16,150 | | | | 17,361,250 | |
CyrusOne LP/CyrusOne Finance Corp., Gtd. Notes | | | | | 6.375% | | | 11/15/22(d) | | | 2,850 | | | | 2,949,750 | |
DuPont Fabros Technology LP, Gtd. Notes | | | | | 5.875% | | | 09/15/21 | | | 4,125 | | | | 4,259,063 | |
Felcor Lodging LP, Sr. Sec’d. Notes | | | | | 5.625% | | | 03/01/23 | | | 2,425 | | | | 2,364,375 | |
Felcor Lodging LP, Sr. Sec’d. Notes | | | | | 10.000% | | | 10/01/14 | | | 1,076 | | | | 1,137,870 | |
Omega Healthcare Investors, Inc., Gtd. Notes | | | | | 6.750% | | | 10/15/22 | | | 475 | | | | 515,969 | |
Omega Healthcare Investors, Inc., Gtd. Notes | | | | | 7.500% | | | 02/15/20 | | | 825 | | | | 899,250 | |
Sabra Health Care LP/Sabra Capital Corp., Gtd. Notes | | | | | 5.375% | | | 06/01/23 | | | 2,800 | | | | 2,723,000 | |
Senior Housing Properties Trust, Sr. Unsec’d. Notes | | | | | 6.750% | | | 04/15/20 | | | 1,875 | | | | 2,081,944 | |
Senior Housing Properties Trust, Sr. Unsec’d. Notes | | | | | 6.750% | | | 12/15/21 | | | 7,250 | | | | 8,004,413 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 42,296,884 | |
| | | | | | | | | | | | | | |
|
|
|
Retailers — 2.9% | | | | | | | | | | | | | | | | |
Academy Ltd./Academy Finance Corp., Gtd. Notes, 144A | | | | | 9.250% | | | 08/01/19 | | | 4,525 | | | | 5,000,125 | |
Chinos Intermediate Holdings A, Inc., Sr. Unsec’d. Notes, PIK, 144A | | | | | 7.750% | | | 05/01/19(d) | | | 950 | | | | 971,375 | |
Claire’s Stores, Inc., Gtd. Notes, 144A | | | | | 7.750% | | | 06/01/20(d) | | | 2,350 | | | | 2,185,500 | |
Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A | | | | | 6.125% | | | 03/15/20(d) | | | 3,000 | | | | 2,895,000 | |
Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A | | | | | 9.000% | | | 03/15/19(d) | | | 3,250 | | | | 3,526,250 | |
CST Brands, Inc., Gtd. Notes | | | | | 5.000% | | | 05/01/23 | | | 1,900 | | | | 1,833,500 | |
Dufry Finance SCA (Switzerland), Gtd. Notes, 144A | | | | | 5.500% | | | 10/15/20 | | | 9,550 | | | | 9,788,750 | |
Hot Topic, Inc., Sr. Sec’d. Notes, 144A
(original cost $8,579,563; purchased 06/06/13-12/18/13) | | | | | 9.250% | | | 06/15/21(b)(c)(d) | | | 8,425 | | | | 8,825,188 | |
HT Intermediate Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A | | | | | 12.000% | | | 05/15/19 | | | 1,550 | | | | 1,534,500 | |
Ltd. Brands, Inc., Gtd. Notes | | | | | 5.625% | | | 02/15/22 | | | 7,385 | | | | 7,551,163 | |
Ltd. Brands, Inc., Gtd. Notes | | | | | 5.625% | | | 10/15/23 | | | 2,825 | | | | 2,867,375 | |
Michaels FinCo Holdings LLC/Michaels FinCo, Inc., Sr. Unsec’d. Notes, PIK, 144A | | | | | 7.500% | | | 08/01/18 | | | 3,900 | | | | 4,056,000 | |
Murphy Oil USA, Inc., Gtd. Notes, 144A | | | | | 6.000% | | | 08/15/23 | | | 2,000 | | | | 2,010,000 | |
Neiman Marcus Group Ltd., Inc., Gtd. Notes, 144A | | | | | 8.000% | | | 10/15/21(d) | | | 3,325 | | | | 3,474,625 | |
New Academy Finance Co. LLC/New Academy Finance Corp.,
Sr. Unsec’d. Notes, PIK, 144A | | | | | 8.000% | | | 06/15/18(d) | | | 2,050 | | | | 2,101,271 | |
Pantry Inc. (The), Gtd. Notes | | | | | 8.375% | | | 08/01/20 | | | 14,700 | | | | 15,618,750 | |
Penske Automotive Group, Inc., Gtd. Notes | | | | | 5.750% | | | 10/01/22 | | | 3,975 | | | | 4,064,438 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A119
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Retailers (continued) | | | | | | | | | | | | | | | | |
Petco Holdings, Inc., Sr. Notes, PIK, 144A
(original cost $1,417,875; purchased 10/04/12) | | | | | 8.500% | | | 10/15/17(b)(c)(d) | | | 1,425 | | | $ | 1,453,500 | |
Toys “R” Us Property Co. II LLC, Sr. Sec’d. Notes | | | | | 8.500% | | | 12/01/17(d) | | | 3,381 | | | | 3,482,430 | |
Toys “R” Us, Inc., Sr. Unsec’d. Notes | | | | | 10.375% | | | 08/15/17(d) | | | 4,800 | | | | 4,116,000 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 87,355,740 | |
| | | | | | | | | | | | | | |
|
|
|
Technology — 10.7% | | | | | | | | | | | | | | | | |
Activision Blizzard, Inc., Gtd. Notes, 144A | | | | | 5.625% | | | 09/15/21 | | | 3,000 | | | | 3,105,000 | |
Activision Blizzard, Inc., Gtd. Notes, 144A | | | | | 6.125% | | | 09/15/23 | | | 2,900 | | | | 3,023,250 | |
Ancestry.com, Inc., Gtd. Notes | | | | | 11.000% | | | 12/15/20 | | | 1,750 | | | | 2,030,000 | |
Ancestry.com, Inc., Sr. Unsec’d. Notes, PIK, 144A | | | | | 9.625% | | | 10/15/18 | | | 4,675 | | | | 4,838,625 | |
Audatex North America, Inc., Gtd. Notes, 144A | | | | | 6.000% | | | 06/15/21(d) | | | 9,450 | | | | 9,898,875 | |
Avaya, Inc., Sec’d. Notes, 144A | | | | | 10.500% | | | 03/01/21(d) | | | 12,500 | | | | 11,937,500 | |
Avaya, Inc., Sr. Sec’d. Notes, 144A | | | | | 7.000% | | | 04/01/19 | | | 3,000 | | | | 2,940,000 | |
Blackboard, Inc., Sr. Unsec’d. Notes, 144A | | | | | 7.750% | | | 11/15/19 | | | 7,950 | | | | 7,890,375 | |
Brightstar Corp., Gtd. Notes, 144A
(original cost $6,424,600; purchased 11/23/10-06/13/12) | | | | | 9.500% | | | 12/01/16(b)(c) | | | 6,345 | | | | 6,979,500 | |
Brightstar Corp., Sr. Unsec’d. Notes, 144A
(original cost $9,408,490; purchased 07/26/13-08/09/13) | | | | | 7.250% | | | 08/01/18(b)(c) | | | 9,500 | | | | 10,307,500 | |
CDW LLC/CDW Finance Corp., Gtd. Notes | | | | | 8.500% | | | 04/01/19 | | | 16,452 | | | | 18,179,460 | |
CDW LLC/CDW Finance Corp., Gtd. Notes | | | | | 12.535% | | | 10/12/17 | | | 2,160 | | | | 2,257,200 | |
Ceridian Corp., Gtd. Notes | | | | | 11.250% | (a) | | 11/15/15 | | | 17,425 | | | | 17,555,688 | |
Ceridian Corp., Gtd. Notes, PIK | | | | | 12.250% | | | 11/15/15(d) | | | 524 | | | | 527,930 | |
Ceridian HCM Holding, Inc., Sr. Unsec’d. Notes, 144A | | | | | 11.000% | | | 03/15/21 | | | 1,950 | | | | 2,247,375 | |
CommScope Holding Co., Inc., Sr. Unsec’d. Notes, PIK, 144A | | | | | 6.625% | | | 06/01/20 | | | 21,480 | | | | 22,339,200 | |
CommScope, Inc., Gtd. Notes, 144A
(original cost $7,824,713; purchased 08/09/11-10/21/11) | | | | | 8.250% | | | 01/15/19(b)(c)(d) | | | 7,911 | | | | 8,672,434 | |
Compiler Finance Sub, Inc., Sr. Unsec’d. Notes, 144A | | | | | 7.000% | | | 05/01/21 | | | 3,780 | | | | 3,751,650 | |
CoreLogic, Inc., Gtd. Notes | | | | | 7.250% | | | 06/01/21 | | | 2,825 | | | | 3,065,125 | |
First Data Corp., Gtd. Notes | | | | | 12.625% | | | 01/15/21 | | | 3,967 | | | | 4,656,266 | |
First Data Corp., Gtd. Notes, 144A | | | | | 10.625% | | | 06/15/21 | | | 18,185 | | | | 19,707,994 | |
First Data Corp., Gtd. Notes, 144A | | | | | 11.250% | | | 01/15/21 | | | 5,450 | | | | 6,015,438 | |
First Data Corp., Gtd. Notes, 144A | | | | | 11.750% | | | 08/15/21(d) | | | 13,675 | | | | 14,427,125 | |
First Data Corp., Gtd. Notes, 144A | | | | | 11.750% | | | 08/15/21 | | | 13,500 | | | | 14,242,500 | |
First Data Corp., Sr. Sec’d. Notes, 144A | | | | | 6.750% | | | 11/01/20 | | | 2,500 | | | | 2,600,000 | |
Freescale Semiconductor, Inc., Gtd. Notes | | | | | 8.050% | | | 02/01/20(d) | | | 4,055 | | | | 4,359,125 | |
Freescale Semiconductor, Inc., Sr. Sec’d. Notes, 144A | | | | | 6.000% | | | 01/15/22(d) | | | 6,180 | | | | 6,257,250 | |
Igloo Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A | | | | | 8.250% | | | 12/15/17 | | | 7,659 | | | | 7,716,443 | |
Interactive Data Corp., Gtd. Notes | | | | | 10.250% | | | 08/01/18 | | | 7,520 | | | | 8,278,768 | |
Iron Mountain, Inc., Gtd. Notes | | | | | 6.000% | | | 08/15/23(d) | | | 7,050 | | | | 7,226,250 | |
Lender Processing Services, Inc., Gtd. Notes | | | | | 5.750% | | | 04/15/23 | | | 5,800 | | | | 6,003,000 | |
NCR Escrow Corp., Sr. Unsec’d. Notes, 144A | | | | | 5.875% | | | 12/15/21(d) | | | 3,200 | | | | 3,260,000 | |
Nortel Networks Ltd. (Canada), Gtd. Notes | | | | | 10.125% | (a) | | 07/15/13(b)(e) | | | 3,050 | | | | 3,553,250 | |
Nuance Communications, Inc., Gtd. Notes, 144A | | | | | 5.375% | | | 08/15/20(d) | | | 10,350 | | | | 10,117,125 | |
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A | | | | | 5.750% | | | 02/15/21 | | | 2,910 | | | | 3,040,950 | |
NXP BV/NXP Funding LLC (Netherlands), Sr. Unsec’d. Notes, 144A | | | | | 5.750% | | | 03/15/23 | | | 6,850 | | | | 6,969,875 | |
Seagate Technology HDD Holdings, Gtd. Notes | | | | | 6.800% | | | 10/01/16 | | | 264 | | | | 298,320 | |
Sensata Technologies BV, Gtd. Notes, 144A | | | | | 4.875% | | | 10/15/23 | | | 6,775 | | | | 6,368,500 | |
Sensata Technologies BV, Gtd. Notes, 144A | | | | | 6.500% | | | 05/15/19(d) | | | 3,531 | | | | 3,786,998 | |
Sophia Holding Finance LP/Sophia Holding Finance, Inc., Gtd. Notes, PIK, 144A | | | | | 9.625% | | | 12/01/18(d) | | | 1,265 | | | | 1,302,950 | |
Sophia LP/Sophia Finance, Inc., Gtd. Notes, 144A | | | | | 9.750% | | | 01/15/19 | | | 8,915 | | | | 9,873,363 | |
SunGard Data Systems, Inc., Gtd. Notes | | | | | 6.625% | | | 11/01/19 | | | 3,075 | | | | 3,228,750 | |
SunGard Data Systems, Inc., Gtd. Notes | | | | | 7.375% | | | 11/15/18 | | | 500 | | | | 529,375 | |
Syniverse Holdings, Inc., Gtd. Notes | | | | | 9.125% | | | 01/15/19 | | | 4,830 | | | | 5,276,775 | |
TransUnion Holding Co., Inc., Sr. Unsec’d. Notes | | | | | 8.125% | | | 06/15/18 | | | 750 | | | | 791,250 | |
TransUnion Holding Co., Inc., Sr. Unsec’d. Notes | | | | | 9.625% | | | 06/15/18 | | | 13,050 | | | | 14,028,750 | |
TransUnion LLC/TransUnion Financing Corp., Gtd. Notes | | | | | 11.375% | | | 06/15/18 | | | 6,946 | | | | 7,571,140 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 323,034,217 | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A120
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CORPORATE BONDS
(continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Telecommunications — 5.7% | | | | | | | | | | | | | | | | |
Alcatel-Lucent USA, Inc. (France), Gtd. Notes, 144A | | | | | 6.750% | | | 11/15/20(d) | | | 7,175 | | | $ | 7,453,031 | |
Avanti Communications Group PLC (United Kingdom),
Sr. Sec’d. Notes, 144A | | | | | 10.000% | | | 10/01/19 | | | 1,350 | | | | 1,350,000 | |
CenturyLink, Inc., Sr. Unsec’d. Notes | | | | | 6.150% | | | 09/15/19 | | | 3,031 | | | | 3,197,705 | |
CenturyLink, Inc., Sr. Unsec’d. Notes | | | | | 6.875% | | | 01/15/28 | | | 4,000 | | | | 3,680,000 | |
Crown Castle International Corp., Sr. Unsec’d. Notes | | | | | 5.250% | | | 01/15/23 | | | 5,150 | | | | 5,047,000 | |
Digicel Group Ltd. (Jamaica), Sr. Unsec’d. Notes, 144A | | | | | 8.250% | | | 09/30/20 | | | 6,100 | | | | 6,321,125 | |
Eileme 2 AB (Poland), Sr. Sec’d. Notes, 144A | | | | | 11.625% | | | 01/31/20 | | | 6,315 | | | | 7,569,974 | |
Frontier Communications Corp., Sr. Unsec’d. Notes | | | | | 7.125% | | | 01/15/23 | | | 1,950 | | | | 1,925,625 | |
Frontier Communications Corp., Sr. Unsec’d. Notes | | | | | 7.625% | | | 04/15/24 | | | 1,075 | | | | 1,072,313 | |
Frontier Communications Corp., Sr. Unsec’d. Notes | | | | | 8.250% | | | 05/01/14 | | | 8 | | | | 8,180 | |
Frontier Communications Corp., Sr. Unsec’d. Notes | | | | | 8.500% | | | 04/15/20 | | | 250 | | | | 280,000 | |
Frontier Communications Corp., Sr. Unsec’d. Notes | | | | | 8.750% | | | 04/15/22 | | | 4,400 | | | | 4,884,000 | |
Frontier Communications Corp., Sr. Unsec’d. Notes | | | | | 9.250% | | | 07/01/21 | | | 1,850 | | | | 2,132,125 | |
Level 3 Financing, Inc., Gtd. Notes | | | | | 7.000% | | | 06/01/20(d) | | | 3,625 | | | | 3,842,500 | |
Level 3 Financing, Inc., Gtd. Notes | | | | | 8.125% | | | 07/01/19 | | | 1,275 | | | | 1,396,125 | |
Level 3 Financing, Inc., Gtd. Notes | | | | | 8.625% | | | 07/15/20(d) | | | 2,250 | | | | 2,520,000 | |
MetroPCS Wireless, Inc., Gtd. Notes, 144A | | | | | 6.625% | | | 04/01/23(d) | | | 1,975 | | | | 2,039,188 | |
NII Capital Corp., Gtd. Notes | | | | | 7.625% | | | 04/01/21(d) | | | 4,233 | | | | 1,735,530 | |
Northwestern Bell Telephone, Sr. Unsec’d. Notes | | | | | 7.750% | | | 05/01/30 | | | 750 | | | | 777,752 | |
Softbank Corp. (Japan), Gtd. Notes, 144A | | | | | 4.500% | | | 04/15/20(d) | | | 6,835 | | | | 6,664,125 | |
Sprint Capital Corp., Gtd. Notes | | | | | 6.875% | | | 11/15/28 | | | 14,220 | | | | 13,402,350 | |
Sprint Capital Corp., Gtd. Notes | | | | | 6.900% | | | 05/01/19(d) | | | 13,275 | | | | 14,502,938 | |
Sprint Communications, Inc., Gtd. Notes, 144A | | | | | 9.000% | | | 11/15/18 | | | 1,175 | | | | 1,415,875 | |
Sprint Communications, Inc., Sr. Unsec’d. Notes | | | | | 9.125% | | | 03/01/17 | | | 2,250 | | | | 2,643,750 | |
Sprint Corp., Gtd. Notes, 144A | | | | | 7.125% | | | 06/15/24 | | | 9,650 | | | | 9,794,750 | |
Sprint Nextel Corp., Gtd. Notes, 144A | | | | | 7.000% | | | 03/01/20(d) | | | 4,225 | | | | 4,710,875 | |
Sprint Nextel Corp., Gtd. Notes, 144A | | | | | 7.875% | | | 09/15/23 | | | 6,305 | | | | 6,777,875 | |
Sprint Nextel Corp., Sr. Unsec’d. Notes | | | | | 6.000% | | | 11/15/22 | | | 1,325 | | | | 1,291,875 | |
Sprint Nextel Corp., Sr. Unsec’d. Notes | | | | | 7.000% | | | 08/15/20(d) | | | 2,075 | | | | 2,246,188 | |
T-Mobile USA, Inc., Gtd. Notes | | | | | 6.125% | | | 01/15/22 | | | 3,150 | | | | 3,205,125 | |
T-Mobile USA, Inc., Gtd. Notes | | | | | 6.633% | | | 04/28/21 | | | 5,650 | | | | 5,946,625 | |
Wind Acquisition Finance SA (Italy), Sec’d. Notes, 144A | | | | | 11.750% | | | 07/15/17 | | | 12,510 | | | | 13,307,513 | |
Wind Acquisition Finance SA (Italy), Sr. Sec’d. Notes, 144A | | | | | 7.250% | | | 02/15/18(d) | | | 4,400 | | | | 4,631,000 | |
Wind Acquisition Holdings Finance SA (Italy), Sr. Sec’d. Notes, PIK, 144A | | | | | 12.250% | | | 07/15/17 | | | 9,528 | | | | 10,028,603 | |
Windstream Corp., Gtd. Notes | | | | | 6.375% | | | 08/01/23(d) | | | 6,675 | | | | 6,241,125 | |
Windstream Corp., Gtd. Notes | | | | | 7.500% | | | 06/01/22(d) | | | 925 | | | | 945,813 | |
Windstream Corp., Gtd. Notes | | | | | 7.500% | | | 04/01/23(d) | | | 5,085 | | | | 5,110,425 | |
Windstream Corp., Gtd. Notes | | | | | 7.750% | | | 10/15/20(d) | | | 2,525 | | | | 2,679,656 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 172,778,659 | |
| | | | | | | | | | | | | | |
|
|
|
Tobacco — 0.3% | | | | | | | | | | | | | | | | |
Vector Group Ltd., Sr. Sec’d. Notes | | | | | 7.750% | | | 02/15/21 | | | 8,205 | | | | 8,676,788 | |
| | | | | | | | | | | | | | |
|
|
|
Transportation — 0.2% | | | | | | | | | | | | | | | | |
Navios Maritime Holdings, Inc/Navios Maritime Finance II US, Inc.,
Sr. Sec’d. Notes, 144A | | | | | 7.375% | | | 01/15/22 | | | 5,850 | | | | 5,879,250 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL CORPORATE BONDS
(cost $2,732,888,783) | | | | 2,822,640,755 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | |
| | | | | | | | | | Shares
| | | | |
| COMMON STOCKS | | | | | | | | | | | | | | | | |
Cable | | | | | | | | | | | | | | | | |
Adelphia Recovery Trust*(b) | | | 500,000 | | | | 500 | |
| | | | | | | | | | | | | | |
|
|
|
Media | | | | | | | | | | | | | | | | |
DEX Media, Inc.*(d) | | | 36,485 | | | | 247,368 | |
Liberty Global PLC (United Kingdom) (Class A Stock)* | | | 2,200 | | | | 195,778 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A121
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | |
COMMON STOCKS
(continued) | | | | | | | | Shares
| | | Value
(Note 2)
| |
Media (continued) | | | | | | | | | | | | | | |
Liberty Global PLC (United Kingdom) (Class C Stock)* | | | | | | | | | 1,642 | | | $ | 138,453 | |
| | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | 581,599 | |
| | | | | | | | | | | | |
|
|
|
Pipelines & Other | | | | | | | | | | | | | | |
SemGroup Corp. (Class A Stock) | | | | | | | | | 3,493 | | | | 227,848 | |
| | | | | | | | | | | | |
|
|
|
Telecommunications | | | | | | | | | | | | | | |
Netia SA (Poland)* | | | | | | | | | 227,114 | | | | 395,244 | |
| | | | | | | | | | | | |
|
|
|
TOTAL COMMON STOCKS
(cost $25,816,460) | | | | 1,205,191 | |
| | | | | | | | | | | | |
|
|
|
| PREFERRED STOCKS | | | | | | | | | | | | | | |
Building Materials & Construction | | | | | | | | | | | | | | |
New Millenium Homes LLC
(original cost $0; purchased 09/25/00)*(b)(c) | | | | | | | | | 3,000 | | | | 282,000 | |
| | | | | | | | | | | | |
|
|
|
Cable | | | | | | | | | | | | | | |
Adelphia Communications Corp. Class A Stock*(b) | | | | | | | | | 5,000 | | | | 5 | |
| | | | | | | | | | | | |
|
|
|
TOTAL PREFERRED STOCKS
(cost $4,765) | | | | 282,005 | |
| | | | | | | | | | | | |
|
|
|
| | | | | |
| | | | | | | | | Units
| | | | |
| WARRANTS* | | | | | | | | | | | | | | |
Media & Entertainment | | | | | | | | | | | | | | |
MediaNews Group, Inc., expiring 03/19/17
(original cost $0; purchased 06/30/11)(b)(c) | | | | | | | | | 5,557 | | | | 56 | |
| | | | | | | | | | | | |
|
|
|
Pipelines & Other | | | | | | | | | | | | | | |
Semgroup Corp., expiring 11/30/14 | | | | | | | | | 3,676 | | | | 147,909 | |
| | | | | | | | | | | | |
|
|
|
Telecommunications | | | | | | | | | | | | | | |
Hawaiian Telcom Holdco, Inc., expiring 10/28/15 | | | | | | | | | 19,187 | | | | 296,823 | |
| | | | | | | | | | | | |
|
|
|
TOTAL WARRANTS
(cost $320,316) | | | | 444,788 | |
| | | | | | | | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $2,819,106,083) | | | | 2,887,348,643 | |
| | | | | | | | | | | | |
|
|
|
| | | | | |
| | | | | | | | | Shares
| | | | |
| SHORT-TERM INVESTMENTS — 20.7% | | | | | | | | | | | | | | |
AFFILIATED MONEY MARKET MUTUAL FUNDS | | | | | | | | | | | | | | |
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund
(cost $5,013,509) (Note 4)(g) | | | 528,053 | | | | 4,916,175 | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund
(cost $621,133,360; includes $529,567,521 of cash collateral received for securities on loan)(Note 4)(g)(h) | | | 621,133,360 | | | | 621,133,360 | |
| | | | | | | | | | | | |
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(cost $626,146,869) | | | | 626,049,535 | |
| | | | | | | | | | | | |
|
|
|
TOTAL INVESTMENTS — 116.3%
(cost $3,445,252,952) | | | | 3,513,398,178 | |
LIABILITIES IN EXCESS OF OTHER ASSETS(i) — (16.3)% | | | | (492,898,277 | ) |
| | | | | | | | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 3,020,499,901 | |
| | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A122
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The following abbreviations are used in the 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. |
| ABS | | Asset-Backed Security |
| ARM | | Adjustable Rate Mortgage |
| CDX | | Credit Derivative Index |
| CLO | | Collateralized Loan Obligation |
| GMTN | | Global Medium Term Note |
| MTN | | Medium Term Note |
| PIK | | Payment-in-Kind |
| # | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| * | Non-income producing security. |
| (a) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2013. |
| (b) | Indicates a security or securities that have been deemed illiquid. |
| (c) | Indicates a restricted security; the aggregate cost of such securities is $160,094,328. The aggregate value, $166,457,994, is approximately 5.5% of net assets. |
| (d) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $517,661,942; cash collateral of $529,567,521 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (e) | Represents issuer in default on interest payments. Non-income producing security. Such securities may be post maturity. |
| (f) | Represents zero coupon bond or step coupon bond. Rate quoted represents effective yield at December 31, 2013. |
| (g) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
| (h) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (i) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Credit default swap agreements outstanding at December 31, 2013:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Entity/Obligation
| | Termination
Date
| | | Fixed
Rate
| | | Notional
Amount
(000)(3)#
| | | Implied
Credit
Spread at
December 31,
2013(4)
| | | Fair
Value
| | | Upfront
Premiums
Paid
(Received)
| | | Unrealized
Appreciation
| | Counterparty
|
Over-the-counter credit default swaps on corporate issues—Sell Protection(1): |
NRG Energy, Inc. | | | 03/20/16 | | | | 4.100% | | | | 3,150 | | | | 1.790 | % | | $ | 230,662 | | | $ | — | | | $230,662 | | Goldman Sachs & Co. |
| | | | | | | | | | | | | | | | | | |
|
|
| |
|
|
| |
| | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Entity/Obligation
| | Termination
Date
| | | Fixed
Rate
| | | Notional
Amount
(000)(3)#
| | | Fair
Value(2)
| | | Upfront
Premiums
Paid
(Received)
| | | Unrealized
Appreciation
| | | Counterparty
|
Over-the-counter credit default swaps on credit indices—Sell Protection(1): |
CDX.NA.HY.18.V2 | | | 06/20/17 | | | | 5.000% | | | | 4,950 | | | $ | 488,124 | | | $ | (149,531 | ) | | $ | 637,655 | | | Barclays Capital Group |
CDX.NA.HY.18.V2 | | | 06/20/17 | | | | 5.000% | | | | 9,900 | | | | 976,247 | | | | (679,937 | ) | | | 1,656,184 | | | Goldman Sachs & Co. |
CDX.NA.HY.18.V2 | | | 06/20/17 | | | | 5.000% | | | | 12,870 | | | | 1,269,122 | | | | (1,020,663 | ) | | | 2,289,785 | | | Morgan Stanley |
CDX.NA.HY.19.V1 | | | 12/20/17 | | | | 5.000% | | | | 6,500 | | | | 659,960 | | | | 297,917 | | | | 362,043 | | | Bank of America |
CDX.NA.HY.19.V1 | | | 12/20/17 | | | | 5.000% | | | | 6,000 | | | | 609,193 | | | | 10,833 | | | | 598,360 | | | Barclays Capital Group |
CDX.NA.HY.20.V1 | | | 06/20/18 | | | | 5.000% | | | | 20,000 | | | | 1,937,425 | | | | 1,397,222 | | | | 540,203 | | | Barclays Capital Group |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
| | |
| | | | | | | | | | | | | | | $ | 5,940,071 | | | $ | (144,159 | ) | | $ | 6,084,230 | | | |
| | | | | | | | | | | | | | |
|
|
| |
|
|
| |
|
|
| | |
| (1) | 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 agreements, the Portfolio will either (i) pay to 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. |
| (2) | The fair value of credit default swap agreements on asset-backed securities and credit indices services as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, represent a deterioration of the referenced entity’s credit soundness and greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| (3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
SEE NOTES TO FINANCIAL STATEMENTS.
A123
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| (4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate 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. |
| # | 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 in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| 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, 2013 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Asset-Backed Securities | | | | | | | | | | | | |
Collateralized Loan Obligations | | $ | — | | | $ | 13,362,972 | | | $ | — | |
Residential Mortgage-Backed Securities | | | — | | | | 899,252 | | | | — | |
Bank Loans | | | — | | | | 29,640,007 | | | | 17,060,000 | |
Collateralized Mortgage Obligations | | | — | | | | 1,813,673 | | | | — | |
Corporate Bonds | | | — | | | | 2,813,709,968 | | | | 8,930,787 | |
Common Stocks | | | 809,447 | | | | 395,244 | | | | 500 | |
Preferred Stocks | | | — | | | | — | | | | 282,005 | |
Warrants | | | 296,823 | | | | 147,909 | | | | 56 | |
Affiliated Money Market Mutual Funds | | | 626,049,535 | | | | — | | | | — | |
Other Financial Instruments* | | | | | | | | | | | | |
Credit Default Swap Agreements | | | — | | | | 6,314,892 | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 627,155,805 | | | $ | 2,866,283,917 | | | $ | 26,273,348 | |
| | |
|
|
| |
|
|
| |
|
|
|
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| | | | | | | | | | | | | | | | | | | | |
| | | Bank
Loans
| | | Corporate
Bonds
| | | Common
Stocks
| | | Preferred
Stocks
| | | Warrants
| |
Balance as of 12/31/12 | | $ | 17,933,125 | | | $ | 17,604,246 | | | $ | 500 | | | $ | 222,005 | | | $ | 56 | |
Realized gain (loss) | | | — | | | | (2,976 | ) | | | 114 | | | | — | | | | — | |
Change in unrealized appreciation (depreciation)** | | | 122,384 | | | | (496,253 | ) | | | — | | | | 60,000 | | | | — | |
Purchases | | | 4,207,500 | | | | 2,172,500 | | | | — | | | | — | | | | — | |
Sales | | | (49,125 | ) | | | (597,821 | ) | | | (114 | ) | | | — | | | | — | |
Accrued discount/premium | | | 46,116 | | | | (38,238 | ) | | | — | | | | — | | | | — | |
Transfer into Level 3 | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfer out of Level 3 | | | (5,200,000 | ) | | | (9,710,671 | ) | | | — | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Balance as of 12/31/13 | | $ | 17,060,000 | | | $ | 8,930,787 | | | $ | 500 | | | $ | 282,005 | | | $ | 56 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument. |
| ** | Of which, $(313,869) 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 was one bank loan and two corporate bonds transferred out of Level 3 as a result of no longer using a single broker quote.
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by the Board of Trustees, which contain unobservable inputs. Such methodologies include, but not limited to, using prices provided by a single broker/dealer, the cost of the investment and prices of any recent transactions or bids/offers for such securities or any comparable securities.
SEE NOTES TO FINANCIAL STATEMENTS.
A124
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 was as follows:
| | | | |
Affiliated Money Market Mutual Funds (including 17.5% of collateral received for securities on loan) | | | 20.7 | % |
Technology | | | 10.9 | |
Energy – Other | | | 8.8 | |
Healthcare & Pharmaceutical | | | 8.3 | |
Capital Goods | | | 6.9 | |
Gaming | | | 5.9 | |
Telecommunications | | | 5.7 | |
Media & Entertainment | | | 5.2 | |
Electric | | | 4.6 | |
Foods | | | 4.1 | |
Cable | | | 3.8 | |
Chemicals | | | 3.6 | |
Building Materials & Construction | | | 3.4 | |
Automotive | | | 3.3 | |
Metals | | | 3.3 | |
Retailers | | | 3.0 | |
Packaging | | | 2.6 | |
| | | | |
Pipelines & Other | | | 2.5 | % |
Non-Captive Finance | | | 2.4 | |
Consumer | | | 1.7 | |
Aerospace & Defense | | | 1.4 | |
Real Estate Investment Trusts | | | 1.4 | |
Banking | | | 0.7 | |
Collateralized Loan Obligations | | | 0.5 | |
Lodging | | | 0.5 | |
Paper | | | 0.3 | |
Tobacco | | | 0.3 | |
Brokerage | | | 0.2 | |
Transportation | | | 0.2 | |
Collateralized Mortgage Obligations | | | 0.1 | |
| | |
|
|
|
| | | | 116.3 | |
Liabilities in excess of other assets | | | (16.3 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk 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, 2013 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 | | Premiums paid for swap agreements | | $ | 1,705,972 | | | Premiums received for swap agreements | | $ | 1,850,131 | |
Credit contracts | | Unrealized appreciation on swap agreements | | | 6,314,892 | | | Unrealized depreciation on swap agreements | | | — | |
Equity contracts | | Unaffiliated investments | | | 444,788 | | | — | | | — | |
| | | | |
|
|
| | | |
|
|
|
Total | | | | $ | 8,465,652 | | | | | $ | 1,850,131 | |
| | | | |
|
|
| | | |
|
|
|
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2013 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
| |
Credit contracts | | | $ | 3,998,693 | |
| | | | | | | | | | |
|
|
|
|
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 | | $ | 2,952,236 | | | $ | — | | | $ | 2,952,236 | |
Equity contracts | | | — | | | | 279,109 | | | | 279,109 | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 2,952,236 | | | $ | 279,109 | | | $ | 3,231,345 | |
| | |
|
|
| |
|
|
| |
|
|
|
| * | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2013, the Portfolio’s average notional amount for credit default swaps as writer was $54,750,000.
SEE NOTES TO FINANCIAL STATEMENTS.
A125
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The Portfolio invested in financial instruments and derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument and derivative assets and liabilities:
| | | | | | | | | | | | | | | | |
Description
| | Gross Amounts
Recognized
| | | Gross Amounts
not subject to
netting
| | | Gross Amounts
Offset in the
Statement of
Financial Position
| | | Net Amounts
Presented in the
Statement of
Financial Position
| |
Assets: | | | | | | | | | | | | | | | | |
Securities on loan | | $ | 517,661,942 | | | $ | — | | | $ | — | | | $ | 517,661,942 | |
Over-the-counter derivatives* | | | 6,314,892 | | | | — | | | | — | | | | 6,314,892 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 523,976,834 | |
| | | | | | | | | | | | | | |
|
|
|
Collateral Amounts Pledged/(Received): | | | | | | | | | | | | | | | | |
Securities on loan | | | | | | | | | | | | | | | (517,661,942 | ) |
Over-the-counter derivatives | | | | | | | | | | | | | | | (4,268,983 | ) |
| | | | | | | | | | | | | | |
|
|
|
Net Amount | | | | | | | | | | | | | | $ | 2,045,909 | |
| | | | | | | | | | | | | | |
|
|
|
| * | Over-the-counter derivatives may consist of forward foreign currency exchange contracts, options contracts and swap agreements. The amounts disclosed above represent the exposure to one or more counterparties. For further detail on individual derivative contracts and the corresponding unrealized appreciation (depreciation) by counterparty, see the Schedule of Investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
A126
| | | | | | |
| | | HIGH YIELD BOND PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2013
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $517,661,942: | | | | |
Unaffiliated investments (cost $2,819,106,083) | | $ | 2,887,348,643 | |
Affiliated investments (cost $626,146,869) | | | 626,049,535 | |
Cash | | | 1,923,117 | |
Foreign currency, at value (cost $27,296) | | | 29,272 | |
Dividends and interest receivable | | | 52,435,647 | |
Unrealized appreciation on swap agreements | | | 6,314,892 | |
Receivable for investments sold | | | 2,081,344 | |
Premium paid for swap agreements | | | 1,705,972 | |
Receivable for Series shares sold | | | 36,835 | |
Prepaid expenses | | | 28,259 | |
| | |
|
|
|
Total Assets | | | 3,577,953,516 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 529,567,521 | |
Payable for investments purchased | | | 24,246,099 | |
Premium received for swap agreements | | | 1,850,131 | |
Management fee payable | | | 1,390,245 | |
Payable for Series shares repurchased | | | 200,600 | |
Accrued expenses and other liabilities | | | 195,359 | |
Deferred trustees’ fees | | | 2,734 | |
Affiliated transfer agent fee payable | | | 926 | |
| | |
|
|
|
Total Liabilities | | | 557,453,615 | |
| | |
|
|
|
| NET ASSETS | | $ | 3,020,499,901 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 3,158,380,133 | |
Retained earnings | | | (137,880,232 | ) |
| | |
|
|
|
Net assets, December 31, 2013 | | $ | 3,020,499,901 | |
| | |
|
|
|
Net asset value and redemption price per share, $3,020,499,901 / 571,161,792 outstanding shares of beneficial interest | | $ | 5.29 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2013
| | | | |
| INCOME | | | | |
Interest income | | $ | 198,303,479 | |
Affiliated income from securities loaned, net | | | 1,059,179 | |
Affiliated dividend income | | | 188,490 | |
Unaffiliated dividend income | | | 71,128 | |
| | |
|
|
|
| | | | 199,622,276 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 15,871,112 | |
Custodian’s fees and expenses | | | 348,000 | |
Shareholders’ reports | | | 155,000 | |
Trustees’ fees | | | 38,000 | |
Audit fee | | | 37,000 | |
Insurance expenses | | | 33,000 | |
Legal fees and expenses | | | 17,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4) | | | 12,000 | |
Commitment fee on syndicated credit agreement | | | 5,000 | |
Miscellaneous | | | 18,302 | |
| | |
|
|
|
Total expenses | | | 16,534,414 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 183,087,862 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 49,329,530 | |
Swap agreement transactions | | | 3,998,693 | |
| | |
|
|
|
| | | | 53,328,223 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: Investments (including affiliated: $41,716) | | | (39,441,787 | ) |
Swap agreements | | | 2,952,236 | |
Foreign currencies | | | 1,976 | |
| | |
|
|
|
| | | | (36,487,575 | ) |
| | |
|
|
|
| NET GAIN ON INVESTMENTS, SWAPS AND FOREIGN CURRENCIES | | | 16,840,648 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 199,928,510 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 183,087,862 | | | $ | 176,188,047 | |
Net realized gain on investments, swaps and foreign currencies | | | 53,328,223 | | | | 38,714,992 | |
Net change in unrealized appreciation (depreciation) on investments, swaps and foreign currencies | | | (36,487,575 | ) | | | 123,873,570 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 199,928,510 | | | | 338,776,609 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | (184,894,260 | ) | | | (179,249,371 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [19,157,710 and 85,281,012 shares, respectively] | | | 102,403,661 | | | | 436,199,039 | |
Series shares issued in reinvestment of distributions [35,311,797 and 34,933,095 shares, respectively] | | | 184,894,260 | | | | 179,249,371 | |
Series shares repurchased [23,256,125 and 17,785,446 shares, respectively] | | | (123,671,701 | ) | | | (91,535,916 | ) |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | 163,626,220 | | | | 523,912,494 | |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 178,660,470 | | | | 683,439,732 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 2,841,839,431 | | | | 2,158,399,699 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 3,020,499,901 | | | $ | 2,841,839,431 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A127
| | | | | | |
| | | JENNISON PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 99.2% | |
| COMMON STOCKS | | Shares
| | | Value
(Note 2)
| |
Aerospace & Defense — 6.2% | |
Boeing Co. (The) | | | 250,748 | | | $ | 34,224,595 | |
Precision Castparts Corp. | | | 117,396 | | | | 31,614,743 | |
Rolls-Royce Holdings PLC (United Kingdom) | | | 374,107 | | | | 7,912,920 | |
United Technologies Corp. | | | 215,384 | | | | 24,510,699 | |
| | | | | | |
|
|
|
| | | | | | | | 98,262,957 | |
| | | | | | |
|
|
|
Automobiles — 0.8% | |
Tesla Motors, Inc.*(a) | | | 83,235 | | | | 12,516,879 | |
| | | | | | |
|
|
|
Beverages — 0.9% | |
Diageo PLC (United Kingdom) | | | 452,468 | | | | 14,994,221 | |
| | | | | | |
|
|
|
Biotechnology — 8.4% | |
Alexion Pharmaceuticals, Inc.* | | | 185,515 | | | | 24,684,626 | |
Biogen Idec, Inc.* | | | 138,769 | | | | 38,820,628 | |
Celgene Corp.* | | | 140,738 | | | | 23,779,092 | |
Gilead Sciences, Inc.* | | | 368,847 | | | | 27,718,852 | |
Vertex Pharmaceuticals, Inc.* | | | 252,667 | | | | 18,773,158 | |
| | | | | | |
|
|
|
| | | | | | | | 133,776,356 | |
| | | | | | |
|
|
|
Capital Markets — 2.2% | |
Goldman Sachs Group, Inc. (The) | | | 137,510 | | | | 24,375,023 | |
Morgan Stanley | | | 353,980 | | | | 11,100,813 | |
| | | | | | |
|
|
|
| | | | | | | | 35,475,836 | |
| | | | | | |
|
|
|
Chemicals — 2.3% | |
Monsanto Co. | | | 311,355 | | | | 36,288,425 | |
| | | | | | |
|
|
|
Computers & Peripherals — 3.8% | |
Apple, Inc. | | | 107,533 | | | | 60,337,842 | |
| | | | | | |
|
|
|
Energy Equipment & Services — 1.4% | |
FMC Technologies, Inc.* | | | 165,841 | | | | 8,658,559 | |
Schlumberger Ltd. | | | 155,820 | | | | 14,040,940 | |
| | | | | | |
|
|
|
| | | | | | | | 22,699,499 | |
| | | | | | |
|
|
|
Food & Staples Retailing — 3.3% | |
Costco Wholesale Corp. | | | 230,811 | | | | 27,468,817 | |
Sprouts Farmers Market, Inc.*(a) | | | 88,873 | | | | 3,415,389 | |
Whole Foods Market, Inc. | | | 370,765 | | | | 21,441,340 | |
| | | | | | |
|
|
|
| | | | | | | | 52,325,546 | |
| | | | | | |
|
|
|
Food Products — 2.1% | |
Mead Johnson Nutrition Co. | | | 125,978 | | | | 10,551,917 | |
Mondelez International, Inc. (Class A Stock) | | | 645,588 | | | | 22,789,256 | |
| | | | | | |
|
|
|
| | | | | | | | 33,341,173 | |
| | | | | | |
|
|
|
Health Care Equipment & Supplies — 1.4% | |
Abbott Laboratories | | | 581,829 | | | | 22,301,506 | |
| | | | | | |
|
|
|
Health Care Providers & Services — 1.0% | |
Express Scripts Holding Co.* | | | 228,339 | | | | 16,038,531 | |
| | | | | | |
|
|
|
Hotels, Restaurants & Leisure — 3.3% | |
Chipotle Mexican Grill, Inc.*(a) | | | 30,458 | | | | 16,227,413 | |
Dunkin’ Brands Group, Inc. | | | 347,475 | | | | 16,748,295 | |
Starbucks Corp. | | | 256,724 | | | | 20,124,594 | |
| | | | | | |
|
|
|
| | | | | | | | 53,100,302 | |
| | | | | | |
|
|
|
Internet & Catalog Retail — 8.0% | |
Amazon.com, Inc.* | | | 147,407 | | | | 58,784,438 | |
Netflix, Inc.* | | | 46,883 | | | | 17,260,914 | |
priceline.com, Inc.* | | | 37,944 | | | | 44,106,106 | |
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
Internet & Catalog Retail (continued) | |
TripAdvisor, Inc.*(a) | | | 93,826 | | | $ | 7,771,608 | |
| | | | | | |
|
|
|
| | | | | | | | 127,923,066 | |
| | | | | | |
|
|
|
Internet Software & Services — 9.5% | |
eBay, Inc.* | | | 250,686 | | | | 13,760,155 | |
Facebook, Inc. (Class A Stock)* | | | 572,129 | | | | 31,272,571 | |
Google, Inc. (Class A Stock)* | | | 62,113 | | | | 69,610,660 | |
LinkedIn Corp. (Class A Stock)* | | | 125,077 | | | | 27,120,446 | |
Twitter, Inc.*(a) | | | 139,364 | | | | 8,870,519 | |
| | | | | | |
|
|
|
| | | | | | | | 150,634,351 | |
| | | | | | |
|
|
|
IT Services — 6.8% | |
MasterCard, Inc. (Class A Stock) | | | 83,971 | | | | 70,154,412 | |
Visa, Inc. (Class A Stock) | | | 173,108 | | | | 38,547,689 | |
| | | | | | |
|
|
|
| | | | | | | | 108,702,101 | |
| | | | | | |
|
|
|
Life Sciences Tools & Services — 1.5% | |
Illumina, Inc.*(a) | | | 210,500 | | | | 23,285,510 | |
| | | | | | |
|
|
|
Media — 3.7% | |
Discovery Communications, Inc. (Class A Stock)*(a) | | | 225,992 | | | | 20,434,197 | |
Twenty-First Century Fox, Inc. (Class A Stock) | | | 268,667 | | | | 9,451,705 | |
Walt Disney Co. (The)(a) | | | 390,761 | | | | 29,854,140 | |
| | | | | | |
|
|
|
| | | | | | | | 59,740,042 | |
| | | | | | |
|
|
|
Oil, Gas & Consumable Fuels — 2.4% | |
Concho Resources, Inc.* | | | 183,269 | | | | 19,793,052 | |
EOG Resources, Inc. | | | 107,317 | | | | 18,012,085 | |
| | | | | | |
|
|
|
| | | | | | | | 37,805,137 | |
| | | | | | |
|
|
|
Personal Products — 1.4% | |
Estee Lauder Cos., Inc. (The) (Class A Stock) | | | 294,179 | | | | 22,157,562 | |
| | | | | | |
|
|
|
Pharmaceuticals — 6.9% | |
Allergan, Inc. | | | 239,506 | | | | 26,604,326 | |
Bristol-Myers Squibb Co. | | | 603,220 | | | | 32,061,143 | |
Merck & Co., Inc. | | | 186,294 | | | | 9,324,015 | |
Novo Nordisk A/S (Denmark), ADR | | | 133,509 | | | | 24,667,123 | |
Perrigo Co. PLC(a) | | | 108,246 | | | | 16,611,431 | |
| | | | | | |
|
|
|
| | | | | | | | 109,268,038 | |
| | | | | | |
|
|
|
Real Estate Investment Trusts (REITs) — 0.8% | |
American Tower Corp. | | | 165,437 | | | | 13,205,181 | |
| | | | | | |
|
|
|
Road & Rail — 2.2% | |
Canadian Pacific Railway Ltd. (Canada) | | | 120,470 | | | | 18,229,520 | |
Union Pacific Corp. | | | 105,294 | | | | 17,689,392 | |
| | | | | | |
|
|
|
| | | | | | | | 35,918,912 | |
| | | | | | |
|
|
|
Semiconductors & Semiconductor Equipment — 0.9% | |
ARM Holdings PLC (United Kingdom), ADR | | | 266,422 | | | | 14,583,940 | |
| | | | | | |
|
|
|
Software — 7.3% | |
Adobe Systems, Inc.* | | | 261,163 | | | | 15,638,440 | |
FireEye, Inc.*(a) | | | 76,741 | | | | 3,346,675 | |
Red Hat, Inc.* | | | 360,338 | | | | 20,193,342 | |
Salesforce.com, Inc.*(a) | | | 478,740 | | | | 26,421,661 | |
Splunk, Inc.*(a) | | | 228,665 | | | | 15,702,426 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A128
| | | | | | |
| | | JENNISON PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS (continued) | | Shares
| | | Value
(Note 2)
| |
Software (continued) | |
Tableau Software, Inc. (Class A Stock)* | | | 46,233 | | | $ | 3,186,841 | |
VMware, Inc. (Class A Stock)*(a) | | | 219,014 | | | | 19,647,746 | |
Workday, Inc. (Class A Stock)*(a) | | | 142,521 | | | | 11,852,046 | |
| | | | | | |
|
|
|
| | | | | | | | 115,989,177 | |
| | | | | | |
|
|
|
Specialty Retail — 4.2% | |
Inditex SA (Spain) | | | 184,354 | | | | 30,439,019 | |
O’Reilly Automotive, Inc.*(a) | | | 32,766 | | | | 4,217,312 | |
TJX Cos., Inc. (The) | | | 495,163 | | | | 31,556,738 | |
| | | | | | |
|
|
|
| | | | | | | | 66,213,069 | |
| | | | | | |
|
|
|
Textiles, Apparel & Luxury Goods — 6.5% | |
Luxottica Group SpA (Italy) | | | 289,330 | | | | 15,505,659 | |
Michael Kors Holdings Ltd. (Hong Kong)*(a) | | | 186,348 | | | | 15,129,594 | |
NIKE, Inc. (Class B Stock) | | | 386,701 | | | | 30,410,167 | |
Ralph Lauren Corp. | | | 69,277 | | | | 12,232,240 | |
Swatch Group AG (The) (Switzerland) | | | 24,173 | | | | 16,021,956 | |
Under Armour, Inc. (Class A Stock)*(a) | | | 164,308 | | | | 14,344,088 | |
| | | | | | |
|
|
|
| | | | | | | | 103,643,704 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $861,958,838) | | | | 1,580,528,863 | |
| | | | | | |
|
|
|
| SHORT-TERM INVESTMENT — 9.5% | |
AFFILIATED MONEY MARKET MUTUAL FUND | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $150,831,739; includes $144,133,527 of cash collateral for securities on loan) (Note 4)(b)(c) | | | 150,831,739 | | | | 150,831,739 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 108.7%
(cost $1,012,790,577) | | | | 1,731,360,602 | |
LIABILITIES IN EXCESS OF
OTHER ASSETS — (8.7)% | | | | (139,170,741 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 1,592,189,861 | |
| | | | | | |
|
|
|
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 $141,841,769; cash collateral of $144,133,527 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (c) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| 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, 2013 in valuing such portfolio securities: |
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 1,495,655,088 | | | $ | 84,873,775 | | | $ | — | |
Affiliated Money Market Mutual Fund | | | 150,831,739 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 1,646,486,827 | | | $ | 84,873,775 | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
The industry classification of investments and other liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 was as follows:
| | | | |
Affiliated Money Market Mutual Fund (including 9.1% of collateral received for securities on loan) | | | 9.5 | % |
Internet Software & Services | | | 9.5 | |
Biotechnology | | | 8.4 | |
Internet & Catalog Retail | | | 8.0 | |
Software | | | 7.3 | |
Pharmaceuticals | | | 6.9 | |
IT Services | | | 6.8 | |
Textiles, Apparel & Luxury Goods | | | 6.5 | |
Aerospace & Defense | | | 6.2 | |
Specialty Retail | | | 4.2 | |
Computers & Peripherals | | | 3.8 | |
Media | | | 3.7 | |
Hotels, Restaurants & Leisure | | | 3.3 | |
Food & Staples Retailing | | | 3.3 | |
Oil, Gas & Consumable Fuels | | | 2.4 | |
Chemicals | | | 2.3 | |
Road & Rail | | | 2.2 | |
Capital Markets | | | 2.2 | |
Food Products | | | 2.1 | |
Life Sciences Tools & Services | | | 1.5 | |
Energy Equipment & Services | | | 1.4 | |
Health Care Equipment & Supplies | | | 1.4 | |
Personal Products | | | 1.4 | |
Health Care Providers & Services | | | 1.0 | |
Beverages | | | 0.9 | |
Semiconductors & Semiconductor Equipment | | | 0.9 | |
Real Estate Investment Trusts (REITs) | | | 0.8 | |
Automobiles | | | 0.8 | |
| | |
|
|
|
| | | | 108.7 | |
Liabilities in excess of other assets | | | (8.7 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A129
| | | | | | |
| | | JENNISON PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The Portfolio invested in financial instruments during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument assets and liabilities:
| | | | | | | | | | | | | | | | |
Description
| | Gross Amounts
Recognized
| | | Gross Amounts
not subject to
netting
| | | Gross Amounts
Offset in the
Statement of
Financial Position
| | | Net Amounts
Presented in the
Statement of
Financial Position
| |
Assets: | | | | | | | | | | | | | | | | |
Securities on loan | | $ | 141,841,769 | | | $ | — | | | $ | — | | | $ | 141,841,769 | |
Collateral Amounts Pledged/(Received): | | | | | | | | | | | | |
Securities on loan | | | | | | | | | | | | | | | (141,841,769 | ) |
| | | | | | | | | | | | | | |
|
|
|
Net Amount | | | | | | | | | | | | | | $ | — | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A130
| | | | | | |
| | | JENNISON PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2013
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $141,841,769: | | | | |
Unaffiliated investments (cost $861,958,838) | | $ | 1,580,528,863 | |
Affiliated investments (cost $150,831,739) | | | 150,831,739 | |
Cash | | | 338,549 | |
Receivable for investments sold | | | 12,734,383 | |
Dividends and interest receivable | | | 1,097,084 | |
Tax reclaim receivable | | | 167,961 | |
Receivable for Series shares sold | | | 38,609 | |
Prepaid expenses | | | 12,360 | |
| | |
|
|
|
Total Assets | | | 1,745,749,548 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 144,133,527 | |
Payable for investments purchased | | | 8,021,399 | |
Management fee payable | | | 791,524 | |
Payable for Series shares reacquired | | | 455,033 | |
Accrued expenses and other liabilities | | | 143,072 | |
Distribution fee payable | | | 8,324 | |
Administration fee payable | | | 5,083 | |
Deferred trustees’ fees | | | 799 | |
Affiliated transfer agent fee payable | | | 926 | |
| | |
|
|
|
Total Liabilities | | | 153,559,687 | |
| | |
|
|
|
| NET ASSETS | | $ | 1,592,189,861 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 1,318,837,902 | |
Retained earnings | | | 273,351,959 | |
| | |
|
|
|
Net assets, December 31, 2013 | | $ | 1,592,189,861 | |
| | |
|
|
|
| Class I: | | | | |
Net asset value and redemption price per share, $1,551,875,899 / 41,778,253 outstanding shares of beneficial interest | | $ | 37.15 | |
| | |
|
|
|
| Class II: | | | | |
Net asset value and redemption price per share, $40,313,962 / 1,109,666 outstanding shares of beneficial interest | | $ | 36.33 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2013
| | | | |
| INCOME | | | | |
Dividend income (net of foreign withholding taxes of $204,110) | | $ | 11,112,767 | |
Affiliated income from securities loaned, net | | | 165,480 | |
Affiliated dividend income | | | 7,835 | |
| | |
|
|
|
| | | | 11,286,082 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 8,304,303 | |
Distribution fee—Class II | | | 89,342 | |
Administration fee—Class II | | | 53,605 | |
Custodian’s fees and expenses | | | 181,000 | |
Shareholders’ reports | | | 147,000 | |
Trustees’ fees | | | 23,000 | |
Audit fee | | | 20,000 | |
Insurance expenses | | | 16,000 | |
Legal fees and expenses | | | 12,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4) | | | 12,000 | |
Commitment fee on syndicated credit agreement | | | 4,000 | |
Loan interest expense (Note 8) | | | 2,390 | |
Miscellaneous | | | 18,885 | |
| | |
|
|
|
Total expenses | | | 8,883,525 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 2,402,557 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 132,828,652 | |
Foreign currency transactions | | | (21,197 | ) |
| | |
|
|
|
| | | | 132,807,455 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments | | | 313,905,778 | |
Foreign currencies | | | 5,073 | |
| | |
|
|
|
| | | | 313,910,851 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | | | 446,718,306 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 449,120,863 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 2,402,557 | | | $ | 5,174,366 | |
Net realized gain on investments and foreign currencies | | | 132,807,455 | | | | 102,722,741 | |
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | | | 313,910,851 | | | | 76,847,446 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 449,120,863 | | | | 184,744,553 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS: | | | | | | | | |
Class I | | | — | | | | (1,936,533 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS (Note 7): | | | | | | | | |
Series shares sold | | | 24,077,738 | | | | 39,290,312 | |
Series shares issued in reinvestment of distributions | | | — | | | | 1,936,533 | |
Series shares repurchased | | | (127,868,729 | ) | | | (135,434,311 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (103,790,991 | ) | | | (94,207,466 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 345,329,872 | | | | 88,600,554 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 1,246,859,989 | | | | 1,158,259,435 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 1,592,189,861 | | | $ | 1,246,859,989 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A131
| | | | | | |
| | | MONEY MARKET PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
CERTIFICATES OF DEPOSIT — 13.0% | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Bank of Montreal | | | | | 0.243% | (a) | | 06/18/14 | | | 7,000 | | | $ | 7,000,000 | |
Bank of Nova Scotia | | | | | 0.190% | | | 04/01/14 | | | 3,000 | | | | 3,000,000 | |
Bank of Nova Scotia | | | | | 0.190% | | | 04/14/14 | | | 2,000 | | | | 2,000,000 | |
Bank of Nova Scotia | | | | | 0.244% | (a) | | 06/19/14 | | | 5,000 | | | | 5,000,000 | |
Bank Of Nova Scotia Houston | | | | | 0.597% | (a) | | 09/30/14 | | | 3,000 | | | | 3,007,831 | |
Bank of Nova Scotia Houston | | | | | 0.788% | (a) | | 01/27/14 | | | 4,000 | | | | 4,001,458 | |
Bank of Tokyo-Mitsubishi UFJ Ltd. | | | | | 0.120% | | | 01/07/14 | | | 10,000 | | | | 10,000,000 | |
Bank of Tokyo-Mitsubishi UFJ Ltd. | | | | | 0.210% | | | 01/10/14 | | | 7,000 | | | | 7,000,000 | |
Citibank NA | | | | | 0.219% | (a) | | 06/05/14 | | | 7,000 | | | | 7,000,000 | |
Deutsche Bank AG | | | | | 0.230% | | | 02/28/14 | | | 2,000 | | | | 2,000,000 | |
DNB Bank ASA | | | | | 0.255% | | | 01/24/14 | | | 4,000 | | | | 3,999,987 | |
JPMorgan Chase Bank NA | | | | | 0.289% | (a) | | 07/31/14 | | | 4,500 | | | | 4,500,000 | |
JPMorgan Chase Bank NA | | | | | 0.330% | | | 02/18/14 | | | 3,000 | | | | 3,000,000 | |
National Australia Bank Ltd. | | | | | 1.494% | (a) | | 01/17/14 | | | 5,000 | | | | 5,002,871 | |
Norinchukin Bank (New York Branch) | | | | | 0.190% | | | 01/22/14 | | | 5,000 | | | | 5,000,000 | |
Rabobank Nederland | | | | | 0.323% | (a) | | 01/06/14 | | | 3,000 | | | | 3,000,069 | |
Royal Bank of Canada | | | | | 0.264% | (a) | | 10/17/14 | | | 5,000 | | | | 5,000,000 | |
Royal Bank of Canada | | | | | 0.300% | (a) | | 03/26/14 | | | 4,000 | | | | 4,000,000 | |
Royal Bank of Canada | | | | | 0.310% | (a) | | 01/25/14 | | | 1,000 | | | | 1,000,000 | |
Societe Generale SA | | | | | 0.210% | | | 01/31/14 | | | 5,000 | | | | 5,000,000 | |
Sumitomo Mitsui Banking Corp. (New York Branch) | | | | | 0.230% | | | 01/13/14 | | | 7,000 | | | | 7,000,000 | |
Toronto Dominion Bank | | | | | 0.235% | (a) | | 07/26/14 | | | 4,000 | | | | 4,000,000 | |
Wells Fargo Bank NA | | | | | 0.210% | | | 03/27/14 | | | 4,000 | | | | 4,000,000 | |
Wells Fargo Bank NA | | | | | 0.217% | (a) | | 08/20/14 | | | 3,000 | | | | 3,000,000 | |
Wells Fargo Bank NA | | | | | 0.221% | (a) | | 07/11/14 | | | 2,000 | | | | 2,000,000 | |
Wells Fargo Bank NA | | | | | 0.238% | (a) | | 12/09/14 | | | 3,000 | | | | 3,000,000 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | 112,512,216 | |
| | | | | | | | | | | | | | |
|
|
|
| COMMERCIAL PAPER — 17.9% | | | | | | | | | | | | | | | | |
ABN AMRO Funding USA LLC, 144A | | | | | 0.241% | (b) | | 01/07/14 | | | 4,070 | | | | 4,069,837 | |
ABN AMRO Funding USA LLC, 144A | | | | | 0.280% | (b) | | 01/06/14 | | | 3,000 | | | | 2,999,883 | |
BHP Billiton Finance USA Ltd., 144A | | | | | 0.150% | (b) | | 01/23/14 | | | 5,000 | | | | 4,999,542 | |
Caisse Centrale Desjardins du Quebec, 144A | | | | | 0.258% | (a) | | 10/23/14 | | | 9,000 | | | | 9,000,000 | |
CPPIB Capital, Inc., 144A | | | | | 0.125% | (b) | | 01/10/14 | | | 1,750 | | | | 1,749,945 | |
CPPIB Capital, Inc., 144A | | | | | 0.180% | (b) | | 01/16/14 | | | 5,000 | | | | 4,999,625 | |
DNB Bank ASA, 144A | | | | | 0.190% | (b) | | 01/15/14 | | | 2,000 | | | | 1,999,852 | |
DNB Bank ASA, 144A | | | | | 0.248% | (a) | | 11/07/14 | | | 3,000 | | | | 3,000,000 | |
DNB Bank ASA, 144A | | | | | 0.249% | (a) | | 06/11/14 | | | 3,000 | | | | 3,000,000 | |
DNB Bank ASA, 144A | | | | | 0.251% | (a) | | 09/10/14 | | | 5,000 | | | | 5,000,000 | |
DNB Bank ASA, 144A | | | | | 0.321% | (a) | | 01/22/14 | | | 2,000 | | | | 2,000,000 | |
Electricite de France, 144A | | | | | 0.140% | (b) | | 01/13/14 | | | 4,000 | | | | 3,999,813 | |
Electricite de France, 144A | | | | | 0.200% | (b) | | 01/10/14 | | | 1,000 | | | | 999,950 | |
GDF Suez, 144A | | | | | 0.210% | (b) | | 02/03/14 | | | 3,500 | | | | 3,499,326 | |
General Electric Capital Corp. | | | | | 0.200% | (b) | | 06/09/14 | | | 5,000 | | | | 4,995,583 | |
General Electric Capital Corp. | | | | | 0.240% | (b) | | 01/28/14 | | | 2,000 | | | | 1,999,640 | |
HSBC Bank PLC, 144A | | | | | 0.319% | (a) | | 01/31/14 | | | 6,000 | | | | 6,000,000 | |
ING (U.S.) Funding LLC | | | | | 0.220% | (b) | | 02/24/14 | | | 4,000 | | | | 3,998,680 | |
ING (U.S.) Funding LLC | | | | | 0.220% | (b) | | 03/06/14 | | | 2,200 | | | | 2,199,140 | |
International Bank for Reconstruction & Development | | | | | 0.090% | (b) | | 01/30/14 | | | 7,000 | | | | 6,999,493 | |
International Bank for Reconstruction & Development | | | | | 0.100% | (b) | | 01/16/14 | | | 9,000 | | | | 8,999,625 | |
International Bank for Reconstruction & Development | | | | | 0.100% | (b) | | 02/05/14 | | | 5,500 | | | | 5,499,465 | |
International Finance Corp. | | | | | 0.110% | (b) | | 02/19/14 | | | 4,000 | | | | 3,999,401 | |
JPMorgan Chase & Co., 144A | | | | | 0.300% | (b) | | 04/21/14 | | | 2,000 | | | | 1,998,167 | |
JPMorgan Chase & Co., 144A | | | | | 0.365% | (a) | | 11/18/14 | | | 4,000 | | | | 4,000,000 | |
JPMorgan Chase & Co., 144A | | | | | 0.367% | (a) | | 12/16/14 | | | 4,000 | | | | 4,000,000 | |
Monsanto Co., 144A | | | | | 0.270% | (b) | | 01/17/14 | | | 7,000 | | | | 6,999,160 | |
Nordea Bank AB, 144A | | | | | 0.245% | (b) | | 01/24/14 | | | 4,000 | | | | 3,999,374 | |
Nordea Bank AB, 144A | | | | | 0.250% | (b) | | 02/18/14 | | | 1,000 | | | | 999,667 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A132
| | | | | | |
| | | MONEY MARKET PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
COMMERCIAL PAPER (continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Philip Morris International, Inc., 144A | | | | | 0.150% | (b) | | 01/13/14 | | | 3,000 | | | $ | 2,999,850 | |
PNC Bank NA | | | | | 0.240% | | | 02/10/14 | | | 4,000 | | | | 4,000,000 | |
PNC Bank NA | | | | | 0.300% | (b) | | 08/25/14 | | | 7,000 | | | | 6,986,233 | |
PSP Capital, Inc., 144A | | | | | 0.130% | (b) | | 01/06/14 | | | 3,000 | | | | 2,999,946 | |
Quebec (Province of), 144A | | | | | 0.150% | (b) | | 01/06/14 | | | 4,000 | | | | 3,999,917 | |
Skandinaviska Enskilda Banken AB, 144A | | | | | 0.210% | (b) | | 01/03/14 | | | 5,000 | | | | 4,999,942 | |
Societe Generale North America, Inc. | | | | | 0.245% | (b) | | 01/31/14 | | | 2,000 | | | | 1,999,592 | |
State Street Corp. | | | | | 0.160% | (b) | | 02/25/14 | | | 4,000 | | | | 3,999,022 | |
Toronto Dominion Holdings USA, Inc., 144A | | | | | 0.250% | (b) | | 02/18/14 | | | 3,000 | | | | 2,999,000 | |
Toyota Motor Credit Corp. | | | | | 0.150% | (b) | | 02/12/14 | | | 2,000 | | | | 1,999,650 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | 154,988,320 | |
| | | | | | | | | | | | | | |
|
|
|
| OTHER CORPORATE OBLIGATIONS — 11.8% | | | | | | | | | | | | | | | | |
ABN AMRO Bank NV, Sr. Unsec’d. Notes, 144A | | | | | 3.000% | | | 01/31/14 | | | 4,065 | | | | 4,073,809 | |
BNP Paribas SA, Sr. Unsec’d. Notes | | | | | 1.144% | (a) | | 01/10/14 | | | 6,177 | | | | 6,178,447 | |
Credit Suisse Group (New York Branch), Sr. Unsec’d. Notes | | | | | 1.204% | (a) | | 01/14/14 | | | 5,000 | | | | 5,001,811 | |
General Electric Capital Corp., Sr. Unsec’d. Notes | | | | | 0.503% | (a) | | 09/15/14 | | | 7,635 | | | | 7,649,527 | |
General Electric Capital Corp., Sr. Unsec’d. Notes | | | | | 1.093% | (a) | | 01/07/14 | | | 5,000 | | | | 5,000,708 | |
HSBC Bank PLC, Sr. Unsec’d. Notes, 144A | | | | | 1.044% | (a) | | 01/17/14 | | | 6,300 | | | | 6,301,966 | |
HSBC Bank PLC, Sr. Unsec’d. Notes, 144A | | | | | 2.000% | | | 01/19/14 | | | 1,000 | | | | 1,000,778 | |
MetLife Institutional Funding II, Sec’d. Notes, 144A | | | | | 0.314% | (a) | | 01/10/14 | | | 2,000 | | | | 2,000,000 | |
Metropolitan Life Global Funding I, Inc., Sec’d. Notes, 144A | | | | | 0.994% | (a) | | 01/10/14 | | | 5,931 | | | | 5,931,989 | |
Metropolitan Life Global Funding I, Inc., Sec’d. Notes, 144A | | | | | 5.125% | | | 06/10/14 | | | 500 | | | | 510,340 | |
Mizuho Bank Ltd. (New York Branch) | | | | | 0.220% | | | 01/17/14 | | | 3,000 | | | | 3,000,053 | |
National Australia Bank Ltd., Sr. Unsec’d. Notes, 144A | | | | | 1.188% | (a) | | 07/25/14 | | | 3,500 | | | | 3,518,749 | |
Principal Life Global Funding II, Sr. Sec’d. Notes, 144A | | | | | 0.404% | (a) | | 09/19/14 | | | 7,175 | | | | 7,182,899 | |
Principal Life Global Funding II, Sr. Sec’d. Notes, 144A | | | | | 0.868% | (a) | | 07/09/14 | | | 3,200 | | | | 3,210,618 | |
Rabobank Nederland, Bank Gtd. Notes | | | | | 1.850% | | | 01/10/14 | | | 5,000 | | | | 5,002,047 | |
Royal Bank of Canada, Sr. Unsec’d. Notes, MTN | | | | | 0.473% | (a) | | 01/06/15 | | | 3,000 | | | | 3,006,919 | |
Royal Bank of Canada, Sr. Unsec’d. Notes, MTN | | | | | 0.544% | (a) | | 04/17/14 | | | 2,000 | | | | 2,001,750 | |
Toronto Dominion Bank, Sr. Unsec’d. Notes | | | | | 0.544% | (a) | | 07/14/14 | | | 5,960 | | | | 5,970,183 | |
Total Capital Canada Ltd., Sr. Unsec’d. Notes | | | | | 0.624% | (a) | | 01/17/14 | | | 3,000 | | | | 3,000,549 | |
Toyota Motor Credit Corp., Sr. Unsec’d. Notes, MTN | | | | | 0.243% | (a) | | 10/08/14 | | | 4,000 | | | | 4,000,000 | |
Toyota Motor Credit Corp., Sr. Unsec’d. Notes, MTN | | | | | 0.253% | (a) | | 04/07/14 | | | 8,000 | | | | 8,000,000 | |
Wal-Mart Stores, Inc., Sr. Unsec’d. Notes | | | | | 5.403% | (a) | | 06/01/14 | | | 4,000 | | | | 4,085,345 | |
Westpac Banking Corp., Sr. Unsec’d. Notes, 144A | | | | | 0.977% | (a) | | 03/31/14 | | | 7,000 | | | | 7,013,441 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | 102,641,928 | |
| | | | | | | | | | | | | | |
|
|
|
| TIME DEPOSITS — 4.8% | | | | | | | | | | | | | | | | |
Australia & New Zealand Banking Group Ltd. | | | | | 0.250% | | | 01/03/14 | | | 5,000 | | | | 5,000,000 | |
Australia & New Zealand Banking Group Ltd.(d) | | | | | 0.250% | | | 01/15/14 | | | 11,000 | | | | 11,000,000 | |
U.S. Bank NA | | | | | 0.150% | | | 01/02/14 | | | 8,000 | | | | 8,000,000 | |
U.S. Bank NA | | | | | 0.150% | | | 01/02/14 | | | 18,055 | | | | 18,055,000 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | 42,055,000 | |
| | | | | | | | | | | | | | |
|
|
|
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 35.3% | | | | | | | | | | | | | | | | |
Federal Home Loan Bank | | | | | 0.040% | (b) | | 01/27/14 | | | 2,000 | | | | 1,999,942 | |
Federal Home Loan Bank | | | | | 0.044% | (b) | | 01/03/14 | | | 11,000 | | | | 10,999,973 | |
Federal Home Loan Bank | | | | | 0.050% | (b) | | 01/06/14 | | | 8,000 | | | | 7,999,944 | |
Federal Home Loan Bank | | | | | 0.058% | (a) | | 01/27/14 | | | 3,000 | | | | 2,999,873 | |
Federal Home Loan Bank | | | | | 0.060% | (b) | | 01/08/14-02/21/14 | | | 31,000 | | | | 30,998,644 | |
Federal Home Loan Bank | | | | | 0.063% | (b) | | 01/02/14 | | | 20,000 | | | | 19,999,965 | |
Federal Home Loan Bank | | | | | 0.072% | (b) | | 03/26/14 | | | 9,000 | | | | 8,998,488 | |
Federal Home Loan Bank | | | | | 0.075% | (b) | | 01/29/14 | | | 15,000 | | | | 14,999,122 | |
Federal Home Loan Bank | | | | | 0.076% | (b) | | 02/07/14 | | | 26,000 | | | | 25,997,963 | |
Federal Home Loan Bank | | | | | 0.080% | (b) | | 02/03/14 | | | 5,000 | | | | 4,999,633 | |
Federal Home Loan Bank | | | | | 0.082% | (a) | | 08/15/14 | | | 10,000 | | | | 9,996,845 | |
Federal Home Loan Bank | | | | | 0.084% | (a) | | 01/17/14 | | | 12,000 | | | | 11,999,950 | |
Federal Home Loan Bank | | | | | 0.090% | | | 01/30/14 | | | 5,000 | | | | 4,999,914 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A133
| | | | | | |
| | | MONEY MARKET PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | | | | | | | | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | | | | Interest
Rate
| | | Maturity
Date
| | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
Federal Home Loan Bank | | | | | 0.090% | (a) | | 06/18/14 | | | 5,000 | | | $ | 5,000,000 | |
Federal Home Loan Bank | | | | | 0.105% | (b) | | 03/19/14 | | | 6,000 | | | | 5,998,653 | |
Federal Home Loan Bank | | | | | 0.107% | (a) | | 02/28/14 | | | 7,000 | | | | 6,999,691 | |
Federal Home Loan Bank | | | | | 0.108% | (a) | | 05/09/14 | | | 7,000 | | | | 6,999,950 | |
Federal Home Loan Bank | | | | | 0.109% | (a) | | 06/12/14-08/12/14 | | | 12,000 | | | | 11,999,537 | |
Federal Home Loan Bank | | | | | 0.110% | (b) | | 03/21/14 | | | 8,000 | | | | 7,998,069 | |
Federal Home Loan Bank | | | | | 0.111% | (a) | | 08/19/14 | | | 2,000 | | | | 2,000,000 | |
Federal Home Loan Bank | | | | | 0.112% | (a) | | 08/20/14 | | | 7,000 | | | | 7,000,000 | |
Federal Home Loan Bank | | | | | 0.113% | (a) | | 12/08/14 | | | 8,000 | | | | 7,999,808 | |
Federal Home Loan Bank | | | | | 0.115% | (a) | | 12/18/14-03/26/15 | | | 10,000 | | | | 9,999,506 | |
Federal Home Loan Bank | | | | | 0.117% | (a) | | 12/19/14 | | | 5,000 | | | | 4,999,510 | |
Federal Home Loan Bank | | | | | 0.118% | (a) | | 04/04/14-07/10/14 | | | 9,000 | | | | 8,999,831 | |
Federal Home Loan Bank | | | | | 0.129% | (a) | | 12/09/14 | | | 6,000 | | | | 6,000,000 | |
Federal Home Loan Bank | | | | | 0.142% | (a) | | 11/18/14 | | | 6,000 | | | | 5,999,735 | |
Federal Home Loan Bank | | | | | 0.250% | | | 02/14/14 | | | 8,000 | | | | 8,001,799 | |
Federal Home Loan Bank | | | | | 1.530% | (b) | | 02/12/14 | | | 8,000 | | | | 7,999,286 | |
Federal Home Loan Mortgage Corp. | | | | | 0.110% | (b) | | 01/21/14 | | | 15,000 | | | | 14,999,083 | |
Federal Home Loan Mortgage Corp. | | | | | 2.500% | | | 01/07/14 | | | 13,000 | | | | 13,004,577 | |
Federal National Mortgage Association | | | | | 0.147% | (a) | | 06/20/14 | | | 2,500 | | | | 2,500,423 | |
Federal National Mortgage Association | | | | | 1.250% | | | 02/27/14 | | | 4,066 | | | | 4,073,318 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | 305,563,032 | |
| | | | | �� | | | | | | | | | |
|
|
|
| U.S. TREASURY OBLIGATIONS — 13.4% | | | | | | | | | | | | | | | | |
U.S. Treasury Bills | | | | | 0.045% | (b) | | 01/30/14 | | | 20,000 | | | | 19,999,275 | |
U.S. Treasury Bills | | | | | 0.050% | (b) | | 02/06/14 | | | 9,000 | | | | 8,999,550 | |
U.S. Treasury Bills | | | | | 0.070% | (b) | | 02/13/14 | | | 6,000 | | | | 5,999,498 | |
U.S. Treasury Bills | | | | | 0.083% | (b) | | 02/20/14 | | | 7,000 | | | | 6,999,198 | |
U.S. Treasury Notes | | | | | 0.250% | | | 02/28/14-03/31/14 | | | 31,000 | | | | 31,010,022 | |
U.S. Treasury Notes | | | | | 1.250% | | | 02/15/14-03/15/14 | | | 20,000 | | | | 20,038,214 | |
U.S. Treasury Notes | | | | | 1.750% | | | 01/31/14-03/31/14 | | | 19,000 | | | | 19,031,644 | |
U.S. Treasury Notes | | | | | 1.875% | | | 04/30/14 | | | 4,000 | | | | 4,023,343 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | 116,100,744 | |
| | | | | | | | | | | | | | |
|
|
|
| REPURCHASE AGREEMENTS(c) — 4.2% | | | | | | | | | | | | | | | | |
Morgan Stanley & Co., Inc.
0.04%, dated 12/30/13, due 01/06/14 in the amount of $9,000,070 | | | 9,000 | | | | 9,000,000 | |
Morgan Stanley & Co., Inc.
0.04%, dated 12/31/13, due 01/02/14 in the amount of $27,000,060 | | | 27,000 | | | | 27,000,000 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | 36,000,000 | |
| | | | | | | | | | | | | | |
|
|
|
TOTAL INVESTMENTS — 100.4%
(amortized cost $869,861,240) | | | | 869,861,240 | |
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.4)% | | | | (3,818,307 | ) |
| | | | | | | | | | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 866,042,933 | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A134
| | | | | | |
| | | MONEY MARKET PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The following abbreviations are used in the 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. |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| MTN | | Medium Term Note |
| # | Principal amount is shown in U.S. dollars unless otherwise stated. |
| (a) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2013. |
| (b) | Rate quoted represents yield-to-maturity as of purchase date. |
| (c) | Repurchase agreements are collateralized by FHLMC (coupon rates 3.000%-4.000%, maturity dates 06/01/32-05/01/43), with the aggregate value, including accrued interest of $36,720,000. |
| (d) | Indicates a security or securities that have been deemed illiquid. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| 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, 2013 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Certificates of Deposit | | $ | — | | | $ | 112,512,216 | | | $ | — | |
Commercial Paper | | | — | | | | 154,988,320 | | | | — | |
Other Corporate Obligations | | | — | | | | 102,641,928 | | | | — | |
Time Deposits | | | — | | | | 42,055,000 | | | | — | |
U.S. Government Agency Obligations | | | — | | | | 305,563,032 | | | | — | |
U.S. Treasury Obligations | | | — | | | | 116,100,744 | | | | — | |
Repurchase Agreements | | | — | | | | 36,000,000 | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | — | | | $ | 869,861,240 | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 was as follows:
| | | | |
U.S. Government Agency Obligations | | | 35.3 | % |
Commercial Paper | | | 17.9 | |
U.S. Treasury Obligations | | | 13.4 | |
Certificates of Deposit | | | 13.0 | |
Other Corporate Obligations | | | 11.8 | |
| | | | |
Time Deposits | | | 4.8 | % |
Repurchase Agreements | | | 4.2 | |
| | |
|
|
|
| | | | 100.4 | |
Liabilities in excess of other assets | | | (0.4 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
The Portfolio invested in financial instruments during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument assets and liabilities:
| | | | | | | | | | | | | | | | |
Description
| | Gross Amounts
Recognized
| | | Gross Amounts
not subject to
netting
| | | Gross Amounts
Offset in the
Statement of
Financial Position
| | | Net Amounts
Presented in the
Statement of
Financial Position
| |
Assets: | | | | | | | | | | | | | | | | |
Repurchase Agreements | | $ | 36,000,000 | | | $ | — | | | $ | — | | | $ | 36,000,000 | |
Collateral Amounts Pledged/(Received): | |
Repurchase Agreements | | | | | | | | | | | | | | | (36,000,000 | ) |
| | | | | | | | | | | | | | |
|
|
|
Net Amount | | | | | | | | | | | | | | $ | — | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A135
| | | | | | |
| | | MONEY MARKET PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2013
| | | | |
| ASSETS | | | | |
Investments, at amortized cost which approximates fair value | | $ | 869,861,240 | |
Cash | | | 29,663 | |
Interest receivable | | | 858,905 | |
Receivable for Series shares sold | | | 155,522 | |
Prepaid expenses | | | 8,341 | |
| | |
|
|
|
Total Assets | | | 870,913,671 | |
| | |
|
|
|
| LIABILITIES | | | | |
Payable for investments purchased | | | 3,999,895 | |
Payable for Series shares repurchased | | | 625,228 | |
Accrued expenses and other liabilities | | | 137,613 | |
Management fee payable | | | 107,076 | |
Affiliated transfer agent fee payable | | | 926 | |
| | |
|
|
|
Total Liabilities | | | 4,870,738 | |
| | |
|
|
|
| NET ASSETS | | $ | 866,042,933 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 866,042,933 | |
| | |
|
|
|
Net assets, December 31, 2013 | | $ | 866,042,933 | |
| | |
|
|
|
Net asset value and redemption price per share, $866,042,933 / 86,601,311 outstanding shares of beneficial interest | | $ | 10.00 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2013
| | | | |
| INCOME | | | | |
Interest | | $ | 1,495,566 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 3,530,860 | |
Custodian’s fees and expenses | | | 134,000 | |
Shareholders’ reports | | | 117,000 | |
Audit fee | | | 20,000 | |
Trustees’ fees | | | 19,000 | |
Insurance expenses | | | 12,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4) | | | 12,000 | |
Legal fees and expenses | | | 10,000 | |
Miscellaneous | | | 12,720 | |
| | |
|
|
|
Total expenses | | | 3,867,580 | |
Less: Management fee waiver (Note 3) | | | (2,372,014 | ) |
| | |
|
|
|
Net expenses | | | 1,495,566 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | — | |
| | |
|
|
|
| NET REALIZED GAIN ON INVESTMENT TRANSACTIONS | | | 14,454 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 14,454 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | — | | | $ | 99,241 | |
Net realized gain on investments transactions | | | 14,454 | | | | 22,568 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 14,454 | | | | 121,809 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | (14,454 | ) | | | (121,809 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [15,412,796 and 17,733,417 shares, respectively] | | | 154,127,954 | | | | 177,334,172 | |
Series shares issued in reinvestment of distributions [1,445 and 12,187 shares, respectively] | | | 14,454 | | | | 121,809 | |
Series shares repurchased [19,157,649 and 28,997,164 shares, respectively] | | | (191,576,491 | ) | | | (289,971,640 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (37,434,083 | ) | | | (112,515,659 | ) |
| | |
|
|
| |
|
|
|
| TOTAL DECREASE IN NET ASSETS | | | (37,434,083 | ) | | | (112,515,659 | ) |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 903,477,016 | | | | 1,015,992,675 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 866,042,933 | | | $ | 903,477,016 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A136
| | | | | | |
| | | NATURAL RESOURCES PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 96.6% | |
| COMMON STOCKS — 96.0% | | Shares
| | | Value
(Note 2)
| |
Aluminum — 1.2% | | | | | | | | |
Alcoa, Inc.(a) | | | 9,977 | | | $ | 106,056 | |
Constellium NV (Netherlands) (Class A Stock)* | | | 416,551 | | | | 9,693,142 | |
| | | | | | |
|
|
|
| | | | | | | | 9,799,198 | |
| | | | | | |
|
|
|
Coal & Consumable Fuels — 2.8% | | | | | | | | |
CONSOL Energy, Inc. | | | 372,824 | | | | 14,182,225 | |
Glencore Xstrata PLC (Switzerland) | | | 1,856,320 | | | | 9,657,661 | |
| | | | | | |
|
|
|
| | | | | | | | 23,839,886 | |
| | | | | | |
|
|
|
Construction Materials — 0.4% | | | | | | | | |
Holcim Ltd. (Switzerland) | | | 258 | | | | 19,289 | |
PT Semen Indonesia Persero Tbk (Indonesia) | | | 2,970,259 | | | | 3,463,633 | |
Taiheiyo Cement Corp. (Japan) | | | 15,246 | | | | 58,632 | |
| | | | | | |
|
|
|
| | | | | | | | 3,541,554 | |
| | | | | | |
|
|
|
Diversified Metals & Mining — 5.7% | | | | | | | | |
African Rainbow Minerals Ltd. (South Africa) | | | 288,544 | | | | 5,210,452 | |
BHP Billiton Ltd. (Australia) ADR | | | 129,703 | | | | 8,845,745 | |
First Quantum Minerals Ltd. (Canada) | | | 497,906 | | | | 8,971,448 | |
Freeport-McMoRan Copper & Gold, Inc. | | | 181,422 | | | | 6,846,866 | |
Ivanhoe Mines Ltd. (Canada)* | | | 384,942 | | | | 677,657 | |
Ivanhoe Mines Ltd. (Canada) (Class A Stock), 144A*(b) | | | 433,900 | | | | 763,844 | |
Northern Dynasty Minerals Ltd. (Canada)*(a) | | | 399,636 | | | | 511,534 | |
Rio Tinto PLC (United Kingdom) ADR(a) | | | 236,628 | | | | 13,352,918 | |
Southern Copper Corp. | | | 113,956 | | | | 3,271,677 | |
| | | | | | |
|
|
|
| | | | | | | | 48,452,141 | |
| | | | | | |
|
|
|
Gold — 2.9% | | | | | | | | |
Agnico Eagle Mines Ltd. (Canada) | | | 1,184 | | | | 31,234 | |
Alamos Gold, Inc. (Canada) | | | 476,363 | | | | 5,771,515 | |
Algold Resources Ltd. (Canada), Private Placement
(original cost $2,350,592; purchased 12/13/06), 144A*(b)(c) | | | 29,193 | | | | 3,298 | |
Axmin, Inc. (Canada)* | | | 155,620 | | | | 5,860 | |
B2Gold Corp. (Canada)*(a) | | | 1,567,184 | | | | 3,216,250 | |
Eldorado Gold Corp. (Canada) | | | 959,572 | | | | 5,447,135 | |
Goldcorp, Inc. (Canada) | | | 1,738 | | | | 37,662 | |
Kinross Gold Corp. (Canada) | | | 617,587 | | | | 2,705,031 | |
Newmont Mining Corp. | | | 2,307 | | | | 53,130 | |
Randgold Resources Ltd. (United Kingdom) ADR | | | 109,848 | | | | 6,899,553 | |
| | | | | | |
|
|
|
| | | | | | | | 24,170,668 | |
| | | | | | |
|
|
|
Integrated Oil & Gas — 5.0% | | | | | | | | |
Hess Corp. | | | 106,777 | | | | 8,862,491 | |
Occidental Petroleum Corp. | | | 132,823 | | | | 12,631,467 | |
Royal Dutch Shell PLC (Netherlands) ADR | | | 851 | | | | 60,651 | |
Suncor Energy, Inc. (Canada) | | | 586,437 | | | | 20,554,617 | |
| | | | | | |
|
|
|
| | | | | | | | 42,109,226 | |
| | | | | | |
|
|
|
| | | | | | | | |
| | |
| COMMON STOCKS | | Shares
| | | Value
(Note 2)
| |
Oil & Gas Drilling — 4.7% | | | | | | | | |
Ensco PLC (United Kingdom) (Class A Stock) | | | 124,293 | | | $ | 7,107,074 | |
Helmerich & Payne, Inc. | | | 146,567 | | | | 12,323,353 | |
Noble Corp. PLC (United Kingdom) | | | 1,023 | | | | 38,332 | |
Patterson-UTI Energy, Inc. | | | 344,909 | | | | 8,733,096 | |
Rowan Cos. PLC (Class A Stock)* | | | 337,018 | | | | 11,916,956 | |
| | | | | | |
|
|
|
| | | | | | | | 40,118,811 | |
| | | | | | |
|
|
|
Oil & Gas Equipment & Services — 20.8% | |
Baker Hughes, Inc. | | | 1,704 | | | | 94,163 | |
Cameron International Corp.* | | | 414,141 | | | | 24,653,814 | |
Core Laboratories NV(a) | | | 66,190 | | | | 12,638,981 | |
Dresser-Rand Group, Inc.* | | | 144,269 | | | | 8,602,760 | |
Dril-Quip, Inc.* | | | 268,921 | | | | 29,562,486 | |
FMC Technologies, Inc.* | | | 212,116 | | | | 11,074,576 | |
Halliburton Co. | | | 557,668 | | | | 28,301,651 | |
National Oilwell Varco, Inc. | | | 264,874 | | | | 21,065,429 | |
Oceaneering International, Inc. | | | 899 | | | | 70,913 | |
Schlumberger Ltd. | | | 346,943 | | | | 31,263,034 | |
Superior Energy Services, Inc.* | | | 312,553 | | | | 8,317,035 | |
Technip SA (France) | | | 681 | | | | 65,554 | |
Tenaris SA (Luxembourg) ADR | | | 919 | | | | 40,151 | |
Weatherford International Ltd. (Switzerland)* | | | 5,482 | | | | 84,916 | |
| | | | | | |
|
|
|
| | | | | | | | 175,835,463 | |
| | | | | | |
|
|
|
Oil & Gas Exploration & Production — 43.6% | |
Africa Oil Corp. (Canada)*(a) | | | 381,409 | | | | 3,314,102 | |
Africa Oil Corp., Reg. D (Canada)*(b) | | | 42,762 | | | | 371,563 | |
Anadarko Petroleum Corp. | | | 292,302 | | | | 23,185,395 | |
Antero Resources Corp.* | | | 76,588 | | | | 4,858,743 | |
Apache Corp. | | | 958 | | | | 82,331 | |
Athlon Energy, Inc.* | | | 45,219 | | | | 1,367,875 | |
Bankers Petroleum Ltd. (Canada)* | | | 1,222,140 | | | | 5,027,773 | |
Bonanza Creek Energy, Inc.* | | | 209,002 | | | | 9,085,317 | |
Cabot Oil & Gas Corp. | | | 2,125 | | | | 82,365 | |
Canadian Natural Resources Ltd. (Canada) | | | 180,003 | | | | 6,091,302 | |
Chesapeake Energy Corp.(a) | | | 3,179 | | | | 86,278 | |
Cimarex Energy Co. | | | 140,077 | | | | 14,695,478 | |
Cobalt International Energy, Inc.* | | | 225,864 | | | | 3,715,463 | |
Concho Resources, Inc.* | | | 237,966 | | | | 25,700,328 | |
Continental Resources, Inc.*(a) | | | 853 | | | | 95,980 | |
Denbury Resources, Inc.* | | | 867,610 | | | | 14,254,832 | |
Devon Energy Corp. | | | 128,982 | | | | 7,980,116 | |
Energy XXI Ltd.(a) | | | 156,851 | | | | 4,244,388 | |
EOG Resources, Inc. | | | 158,312 | | | | 26,571,086 | |
EQT Corp. | | | 954 | | | | 85,650 | |
Gulfport Energy Corp.* | | | 125,581 | | | | 7,930,440 | |
Kodiak Oil & Gas Corp.* | | | 898,151 | | | | 10,068,273 | |
Kosmos Energy Ltd.* | | | 360,653 | | | | 4,032,101 | |
Laredo Petroleum Holdings, Inc.* | | | 364,685 | | | | 10,098,128 | |
Lekoil Ltd., Reg. D (Nigeria)*(b) | | | 2,947,579 | | | | 3,050,667 | |
Marathon Oil Corp. | | | 544,919 | | | | 19,235,641 | |
MEG Energy Corp. (Canada)* | | | 91,558 | | | | 2,638,353 | |
MEG Energy Corp. (Canada), 144A*(b) | | | 131,600 | | | | 3,792,211 | |
Murphy Oil Corp. | | | 1,179 | | | | 76,494 | |
Newfield Exploration Co.* | | | 247,558 | | | | 6,097,354 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A137
| | | | | | |
| | | NATURAL RESOURCES PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
| | |
| COMMON STOCKS | | Shares
| | | Value
(Note 2)
| |
Oil & Gas Exploration & Production (continued) | |
Noble Energy, Inc. | | | 483,820 | | | $ | 32,952,980 | |
Oil Search Ltd. (Australia) | | | 711,801 | | | | 5,171,126 | |
Pacific Rubiales Energy Corp. (Colombia) | | | 308,715 | | | | 5,330,038 | |
PDC Energy, Inc.* | | | 175,034 | | | | 9,315,309 | |
Pioneer Natural Resources Co. | | | 49,997 | | | | 9,202,948 | |
QGEP Participacoes SA (Brazil) | | | 544,364 | | | | 2,256,598 | |
Range Resources Corp. | | | 196,526 | | | | 16,569,107 | |
Rosetta Resources, Inc.* | | | 262,468 | | | | 12,608,963 | |
Sanchez Energy Corp.*(a) | | | 261,187 | | | | 6,401,693 | |
SM Energy Co. | | | 56,193 | | | | 4,670,200 | |
Southwestern Energy Co.* | | | 364,051 | | | | 14,318,126 | |
Talisman Energy, Inc. (Canada) | | | 561,087 | | | | 6,536,664 | |
Tullow Oil PLC (United Kingdom) | | | 511,064 | | | | 7,253,360 | |
Whiting Petroleum Corp.* | | | 280,949 | | | | 17,382,311 | |
Woodside Petroleum Ltd. (Australia) | | | 1,963 | | | | 68,368 | |
Zodiac Exploration, Inc. (Canada)* | | | 4,820,909 | | | | 204,228 | |
Zodiac Exploration, Inc., Reg D (Canada)*(b) | | | 11,600,000 | | | | 491,410 | |
| | | | | | |
|
|
|
| | | | | | | | 368,649,456 | |
| | | | | | |
|
|
|
Oil & Gas Refining & Marketing — 3.7% | | | | | | | | |
Marathon Petroleum Corp. | | | 172,414 | | | | 15,815,536 | |
Phillips 66 | | | 205,537 | | | | 15,853,069 | |
| | | | | | |
|
|
|
| | | | | | | | 31,668,605 | |
| | | | | | |
|
|
|
Oil & Gas Storage & Transportation — 2.5% | | | | | |
Cheniere Energy, Inc.* | | | 283,243 | | | | 12,213,438 | |
Williams Cos., Inc. (The) | | | 230,737 | | | | 8,899,526 | |
| | | | | | |
|
|
|
| | | | | | | | 21,112,964 | |
| | | | | | |
|
|
|
Packaged Foods & Meats — 0.2% | | | | | | | | |
Adecoagro SA (Luxembourg)* | | | 245,365 | | | | 1,985,003 | |
| | | | | | |
|
|
|
Precious Metals & Minerals — 1.1% | | | | | | | | |
Platinum Group Metals Ltd. (Canada)* | | | 1,234,422 | | | | 1,444,274 | |
Platmin Ltd. (South Africa), Private Placement
(original cost $1,102,975; purchased 11/27/07)*(b)(c) | | | 129,100 | | | | 13,044 | |
Silver Wheaton Corp. (Canada) | | | 235,189 | | | | 4,748,466 | |
Tahoe Resources, Inc.* | | | 89,267 | | | | 1,484,912 | |
Tahoe Resources, Inc. (Canada), 144A*(b) | | | 116,000 | | | | 1,929,602 | |
| | | | | | |
|
|
|
| | | | | | | | 9,620,298 | |
| | | | | | |
|
|
|
Steel — 1.4% | | | | | | | | |
ArcelorMittal (Luxembourg) ADR(a) | | | 5,113 | | | | 91,216 | |
Guyana Goldfields, Inc. (Canada), 144A*(b) | | | 726,972 | | | | 1,122,367 | |
Nucor Corp. | | | 1,717 | | | | 91,653 | |
Reliance Steel & Aluminum Co. | | | 139,146 | | | | 10,552,833 | |
| | | | | | |
|
|
|
| | | | | | | | 11,858,069 | |
| | | | | | |
|
|
|
TOTAL COMMON STOCKS
(cost $545,338,079) | | | | | | | 812,761,342 | |
| | | | | | |
|
|
|
| | | | | | | | |
| CONVERTIBLE PREFERRED STOCKS* — 0.6% | |
| Shares
|
| |
| Value
(Note 2)
|
|
Steel — 0.6% | | | | | | | | |
Manabi SA, Private Placement (Class A Preferred) (Brazil), 144A
(original cost $4,587,721; purchased 05/25/11)(b)(c) | | | 3,660 | | | $ | 3,530,634 | |
Manabi SA, Private Placement (Class B Preferred) (Brazil), 144A
(original cost $1,848,551; purchased 08/21/12)(b)(c) | | | 1,464 | | | | 1,471,732 | |
| | | | | | |
|
|
|
TOTAL CONVERTIBLE PREFERRED STOCKS
(cost $6,436,272) | | | | 5,002,366 | |
| | | | | | |
|
|
|
| | | Units
| | | | |
| RIGHTS* | | | | | | | | |
Oil, Gas & Consumable Fuels | | | | | | | | |
Trident Resources Corp. CVR, Private Placement (Canada), expiring 06/30/15
(original cost $0; purchased 06/30/10)(b)(c) | | | 9,007 | | | | — | (d) |
| | | | | | |
|
|
|
| WARRANTS* | | | | | | | | |
Gold | | | | | | | | |
Algold Resources Ltd., Private Placement (Canada), 144A(b) | | | 14,596 | | | | — | (d) |
| | | | | | |
|
|
|
Metals & Mining | | | | | | | | |
Crystallex International Corp., Private Placement (Canada), expiring 11/04/14 (original cost $0; purchased 11/04/09)(b)(c) | | | 221,350 | | | | — | (d) |
| | | | | | |
|
|
|
TOTAL WARRANTS
(cost $0) | | | | — | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $551,774,351) | | | | 817,763,708 | |
| | | | | | |
|
|
|
| SHORT-TERM INVESTMENT — 7.8% | | | | | |
AFFILIATED MONEY MARKET MUTUAL FUND | | | | | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $65,906,877; includes $37,190,772 of cash collateral received for securities on loan)(Note 4)(e)(f) | | | 65,906,877 | | | | 65,906,877 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 104.4%
(cost $617,681,228) | | | | 883,670,585 | |
LIABILITIES IN EXCESS OF
OTHER ASSETS — (4.4)% | | | | (37,489,532 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 846,181,053 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A138
| | | | | | |
| | | NATURAL RESOURCES PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The following abbreviations are used in the 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 |
| CVR | | Contingent Value Rights |
| Reg. D | | Security was purchased pursuant to Regulation D under the Securities Act of 1933, providing exemption from the registration requirements. Unless otherwise noted, Regulation D securities are deemed to be liquid. |
| * | 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 $36,119,475; cash collateral of $37,190,772 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) | Indicates a security that has been deemed illiquid. |
| (c) | Indicates a restricted security; the aggregate original cost of such securities is $9,889,839. The aggregate value of $5,018,709, is approximately 0.6% of net assets. |
| (e) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
| (f) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| 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, 2013 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 765,945,095 | | | $ | 46,803,203 | | | $ | 13,044 | |
Convertible Preferred Stocks | | | — | | | | — | | | | 5,002,366 | |
Rights | | | — | | | | — | | | | — | ** |
Warrants | | | — | | | | — | ** | | | — | ** |
Affiliated Money Market Mutual Fund | | | 65,906,877 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 831,851,972 | | | $ | 46,803,203 | | | $ | 5,015,410 | |
| | |
|
|
| |
|
|
| |
|
|
|
Fair value of Level 2 investments at December 31, 2012 was $58,739,885. An amount of $6,758,175 was transferred from Level 1 to Level 2 at December 31, 2013. One security transferred from Level 1 to Level 2 as a result of using the mean price. Three securities transferred from Level 1 to Level 2 as a result of using a reflected security as proxy. Such fair values are used to reflect the impact of market movements between the time at which the Portfolio values 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 beginning period.
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| | | | | | | | | | | | | | | | |
| | | Common
Stocks
| | | Convertible
Preferred
Stocks
| | | Rights
| | | Warrants
| |
Balance as of 12/31/12 | | $ | 9,259,181 | | | $ | 6,305,472 | | | $ | — | ** | | $ | — | ** |
Realized gain (loss) | | | (9,479,736 | ) | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation)* | | | 812,849 | | | | (1,303,106 | ) | | | — | | | | — | |
Purchases | | | — | | | | — | | | | — | | | | — | |
Sales | | | (290,796 | ) | | | — | | | | — | | | | — | |
Transfer into Level 3 | | | — | | | | — | | | | — | | | | — | |
Transfer out of Level 3 | | | (288,454 | ) | | | — | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Balance as of 12/31/13 | | $ | 13,044 | | | $ | 5,002,366 | | | $ | — | ** | | $
| —
| **
|
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
|
| * | Of which, ($1,300,879) 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 beginning period. One security in the amount of $288,454 was transferred from Level 3 to Level 2 at December 31, 2013 as a result of using a quoted price of similar security for non-registered security.
SEE NOTES TO FINANCIAL STATEMENTS.
A139
| | | | | | |
| | | NATURAL RESOURCES PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
Included in the table above, under Level 3 securities, are common and convertible preferred stocks and equity rights, that were fair valued using the last traded price or the original cost adjusted for daily changes in indices deemed directly or indirectly correlated to the security. For convertible preferred stocks, the fair value is determined by a periodic evaluation of the underlying company by an independent valuation firm. For equity rights received through a bankruptcy distribution, the fair value is determined to be the residual value of the original bonds and other factors impacting the values of securities being issued pursuant to the reorganization. For the common stocks, convertible preferred stocks and rights, the securities were private placement and therefore, the prices were a significant unobservable input. For certain warrants received in a private placement offering, the Manager has determined the fair value using the Black Scholes method with adjustment for volatility factor which is deemed to be a significant unobservable input.
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 were as follows:
| | | | |
Oil & Gas Exploration & Production | | | 43.6 | % |
Oil & Gas Equipment & Services | | | 20.8 | |
Affiliated Money Market Mutual Fund (including 4.4% of collateral received for securities on loan) | | | 7.8 | |
Diversified Metals & Mining | | | 5.7 | |
Integrated Oil & Gas | | | 5.0 | |
Oil & Gas Drilling | | | 4.7 | |
Oil & Gas Refining & Marketing | | | 3.7 | |
Gold | | | 2.9 | |
Coal & Consumable Fuels | | | 2.8 | |
Oil & Gas Storage & Transportation | | | 2.5 | |
| | | | |
Steel | | | 2.0 | % |
Aluminum | | | 1.2 | |
Precious Metals & Minerals | | | 1.1 | |
Construction Materials | | | 0.4 | |
Packaged Foods & Meats | | | 0.2 | |
| | |
|
|
|
| | | | 104.4 | |
Liabilities in excess of other assets | | | (4.4 | ) |
| | |
|
|
|
| | | | 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.
At December 31, 2013, the Portfolio held derivatives not accounted for as hedging instruments. These equity contracts have a fair value at December 31, 2013 of $0 and are presented in the Statement of Assets and Liabilities as such.
For the year ended December 31, 2013, the Portfolio did not have any realized gain or (loss) or change in unrealized appreciation or (depreciation) on derivatives recognized in income on the Statement of Operations.
The Portfolio invested in financial instruments during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument assets and liabilities:
| | | | | | | | | | | | | | | | |
Description
| | Gross Amounts
Recognized
| | | Gross Amounts
not subject
to netting
| | | Gross Amounts
Offset in the
Statement of
Financial Position
| | | Net Amounts
Presented in the
Statement of
Financial Position
| |
Assets: | | | | | | | | | | | | | | | | |
Securities on loan | | $ | 36,119,475 | | | $ | — | | | $ | — | | | $ | 36,119,475 | |
Collateral Amounts Pledged/(Received): | | | | | | | | | | | | |
Securities on loan | | | | | | | | | | | | | | | (36,119,475 | ) |
| | | | | | | | | | | | | | |
|
|
|
Net Amount | | | | | | | | | | | | | | $ | — | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A140
| | | | | | |
| | | NATURAL RESOURCES PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2013
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $36,119,475: | | | | |
Unaffiliated investments (cost $551,774,351) | | $ | 817,763,708 | |
Affiliated investments (cost $65,906,877) | | | 65,906,877 | |
Dividends and interest receivable | | | 236,645 | |
Tax reclaim receivable | | | 212,557 | |
Prepaid expenses | | | 7,340 | |
Receivable for Series shares sold | | | 295 | |
| | |
|
|
|
Total Assets | | | 884,127,422 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 37,190,772 | |
Payable for Series shares repurchased | | | 297,323 | |
Management fee payable | | | 283,531 | |
Accrued expenses and other liabilities | | | 155,524 | |
Distribution fee payable | | | 11,429 | |
Administration fee payable | | | 6,864 | |
Affiliated transfer agent fee payable | | | 926 | |
| | |
|
|
|
Total Liabilities | | | 37,946,369 | |
| | |
|
|
|
| NET ASSETS | | $ | 846,181,053 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 568,083,849 | |
Retained earnings | | | 278,097,204 | |
| | |
|
|
|
Net assets, December 31, 2013 | | $ | 846,181,053 | |
| | |
|
|
|
| Class I: | | | | |
Net asset value and redemption price per share, $792,110,442 / 21,243,641 outstanding shares of beneficial interest | | $ | 37.29 | |
| | |
|
|
|
| Class II: | | | | |
Net asset value and redemption price per share, $54,070,611 / 1,470,053 outstanding shares of beneficial interest | | $ | 36.78 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2013
| | | | |
| INCOME | | | | |
Unaffiliated dividend income (net of foreign withholding taxes of $333,610) | | $ | 8,530,551 | |
Affiliated income from securities loaned, net | | | 135,177 | |
Affiliated dividend income | | | 46,632 | |
| | |
|
|
|
| | | | 8,712,360 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 3,809,623 | |
Distribution fee—Class II | | | 141,689 | |
Administration fee—Class II | | | 85,014 | |
Shareholders’ reports | | | 160,000 | |
Custodian’s fees and expenses | | | 144,000 | |
Audit fee | | | 30,000 | |
Trustees’ fees | | | 19,000 | |
Legal fees and expenses | | | 13,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4) | | | 12,000 | |
Insurance expenses | | | 10,000 | |
Commitment fee on syndicated credit agreement | | | 2,000 | |
Miscellaneous | | | 49,437 | |
| | |
|
|
|
Total expenses | | | 4,475,763 | |
Less: Management fee waiver (Note 3) | | | (213,515 | ) |
| | |
|
|
|
Net expenses | | | 4,262,248 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 4,450,112 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 11,712,359 | |
Foreign currency transactions | | | (235,301 | ) |
| | |
|
|
|
| | | | 11,477,058 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments | | | 66,882,326 | |
Foreign currencies | | | (7,705 | ) |
| | |
|
|
|
| | | | 66,874,621 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | | | 78,351,679 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 82,801,791 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 4,450,112 | | | $ | 6,345,477 | |
Net realized gain on investment and foreign currency transactions | | | 11,477,058 | | | | 12,094,195 | |
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | | | 66,874,621 | | | | (42,413,654 | ) |
| | |
|
|
| |
|
|
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | | 82,801,791 | | | | (23,973,982 | ) |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS: | | | | | | | | |
Class I | | | — | | | | (73,450,794 | ) |
Class II | | | — | | | | (5,441,151 | ) |
| | |
|
|
| |
|
|
|
TOTAL DISTRIBUTIONS | | | — | | | | (78,891,945 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS (Note 7): | | | | | | | | |
Series shares sold | | | 22,409,085 | | | | 41,195,889 | |
Series shares issued in reinvestment of distributions | | | — | | | | 78,891,945 | |
Series shares repurchased | | | (122,377,266 | ) | | | (148,360,752 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (99,968,181 | ) | | | (28,272,918 | ) |
| | |
|
|
| |
|
|
|
| TOTAL DECREASE IN NET ASSETS | | | (17,166,390 | ) | | | (131,138,845 | ) |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 863,347,443 | | | | 994,486,288 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 846,181,053 | | | $ | 863,347,443 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A141
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 98.4% | |
| COMMON STOCKS — 98.0% | | Shares
| | | Value
(Note 2)
| |
Aerospace & Defense — 2.3% | | | | | | | | |
AAR Corp. | | | 43,171 | | | $ | 1,209,220 | |
Aerovironment, Inc.* | | | 21,414 | | | | 623,790 | |
American Science & Engineering, Inc. | | | 8,516 | | | | 612,386 | |
Cubic Corp. | | | 22,973 | | | | 1,209,758 | |
Curtiss-Wright Corp. | | | 51,602 | | | | 3,211,192 | |
Engility Holdings, Inc.* | | | 18,500 | | | | 617,900 | |
GenCorp, Inc.*(a) | | | 66,775 | | | | 1,203,286 | |
Moog, Inc. (Class A Stock)* | | | 49,494 | | | | 3,362,622 | |
National Presto Industries, Inc.* | | | 5,299 | | | | 426,570 | |
Orbital Sciences Corp.* | | | 66,040 | | | | 1,538,732 | |
Teledyne Technologies, Inc.* | | | 40,896 | | | | 3,756,707 | |
| | | | | | |
|
|
|
| | | | | | | | 17,772,163 | |
| | | | | | |
|
|
|
Air Freight & Logistics — 0.5% | | | | | | | | |
Atlas Air Worldwide Holdings, Inc.* | | | 27,400 | | | | 1,127,510 | |
Forward Air Corp. | | | 33,656 | | | | 1,477,835 | |
Hub Group, Inc. (Class A Stock)* | | | 37,970 | | | | 1,514,244 | |
| | | | | | |
|
|
|
| | | | | | | | 4,119,589 | |
| | | | | | |
|
|
|
Airlines — 0.3% | | | | | | | | |
Allegiant Travel Co. | | | 15,994 | | | | 1,686,407 | |
SkyWest, Inc. | | | 54,660 | | | | 810,608 | |
| | | | | | |
|
|
|
| | | | | | | | 2,497,015 | |
| | | | | | |
|
|
|
Auto Components — 0.6% | | | | | | | | |
Dorman Products, Inc.*(a) | | | 33,000 | | | | 1,850,310 | |
Drew Industries, Inc. | | | 23,989 | | | | 1,228,237 | |
Spartan Motors, Inc. | | | 36,283 | | | | 243,096 | |
Standard Motor Products, Inc. | | | 22,499 | | | | 827,963 | |
Superior Industries International, Inc. | | | 25,118 | | | | 518,184 | |
| | | | | | |
|
|
|
| | | | | | | | 4,667,790 | |
| | | | | | |
|
|
|
Automobiles — 0.1% | | | | | | | | |
Winnebago Industries, Inc.* | | | 30,231 | | | | 829,841 | |
| | | | | | |
|
|
|
Beverages — 0.3% | | | | | | | | |
Boston Beer Co., Inc. (The) (Class A Stock)*(a) | | | 9,525 | | | | 2,303,050 | |
| | | | | | |
|
|
|
Biotechnology — 0.6% | | | | | | | | |
Acorda Therapeutics, Inc.* | | | 45,000 | | | | 1,314,000 | |
ArQule, Inc.* | | | 57,201 | | | | 122,982 | |
Emergent Biosolutions, Inc.* | | | 30,857 | | | | 709,402 | |
Ligand Pharmaceuticals, Inc. (Class B Stock)* | | | 22,300 | | | | 1,172,980 | |
Momenta Pharmaceuticals, Inc.* | | | 49,600 | | | | 876,928 | |
Spectrum Pharmaceuticals, Inc.*(a) | | | 57,300 | | | | 507,105 | |
| | | | | | |
|
|
|
| | | | | | | | 4,703,397 | |
| | | | | | |
|
|
|
Building Products — 1.0% | | | | | | | | |
AAON, Inc. | | | 30,226 | | | | 965,721 | |
American Woodmark Corp.* | | | 13,100 | | | | 517,843 | |
Apogee Enterprises, Inc. | | | 31,738 | | | | 1,139,712 | |
Gibraltar Industries, Inc.*(a) | | | 31,068 | | | | 577,554 | |
Griffon Corp. | | | 46,829 | | | | 618,611 | |
Quanex Building Products Corp. | | | 40,188 | | | | 800,545 | |
Simpson Manufacturing Co., Inc. | | | 44,183 | | | | 1,622,842 | |
Universal Forest Products, Inc. | | | 21,564 | | | | 1,124,347 | |
| | | | | | |
|
|
|
| | | | | | | | 7,367,175 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Capital Markets — 2.3% | | | | | | | | |
Calamos Asset Management, Inc. (Class A Stock) | | | 20,200 | | | $ | 239,168 | |
Evercore Partners, Inc. (Class A Stock) | | | 35,800 | | | | 2,140,124 | |
Financial Engines, Inc. | | | 54,900 | | | | 3,814,452 | |
FXCM, Inc. (Class A Stock) | | | 38,500 | | | | 686,840 | |
HFF, Inc. (Class A Stock)* | | | 35,800 | | | | 961,230 | |
Investment Technology Group, Inc.* | | | 39,366 | | | | 809,365 | |
Piper Jaffray Cos.* | | | 17,565 | | | | 694,696 | |
Prospect Capital Corp. | | | 309,500 | | | | 3,472,590 | |
Stifel Financial Corp.*(a) | | | 64,530 | | | | 3,092,278 | |
SWS Group, Inc.* | | | 30,826 | | | | 187,422 | |
Virtus Investment Partners, Inc.* | | | 7,710 | | | | 1,542,386 | |
| | | | | | |
|
|
|
| | | | | | | | 17,640,551 | |
| | | | | | |
|
|
|
Chemicals — 2.9% | | | | | | | | |
A. Schulman, Inc. | | | 32,066 | | | | 1,130,647 | |
American Vanguard Corp. | | | 27,048 | | | | 656,996 | |
Balchem Corp. | | | 32,883 | | | | 1,930,232 | |
Calgon Carbon Corp.* | | | 59,754 | | | | 1,229,140 | |
Flotek Industries, Inc.* | | | 48,900 | | | | 981,423 | |
FutureFuel Corp. | | | 24,400 | | | | 385,520 | |
Hawkins, Inc. | | | 10,300 | | | | 383,057 | |
HB Fuller Co. | | | 54,918 | | | | 2,857,933 | |
Innophos Holdings, Inc. | | | 24,300 | | | | 1,180,980 | |
Koppers Holdings, Inc. | | | 22,500 | | | | 1,029,375 | |
Kraton Performance Polymers, Inc.* | | | 35,300 | | | | 813,665 | |
LSB Industries, Inc.* | | | 20,700 | | | | 849,114 | |
OM Group, Inc.* | | | 34,656 | | | | 1,261,825 | |
PolyOne Corp. | | | 105,002 | | | | 3,711,821 | |
Quaker Chemical Corp. | | | 14,598 | | | | 1,125,068 | |
Stepan Co. | | | 20,970 | | | | 1,376,261 | |
Tredegar Corp. | | | 27,335 | | | | 787,521 | |
Zep, Inc. | | | 24,407 | | | | 443,231 | |
| | | | | | |
|
|
|
| | | | | | | | 22,133,809 | |
| | | | | | |
|
|
|
Commercial Banks — 7.5% | | | | | | | | |
Bank of the Ozarks, Inc. | | | 35,236 | | | | 1,994,005 | |
Banner Corp. | | | 21,200 | | | | 950,184 | |
BBCN Bancorp, Inc. | | | 85,682 | | | | 1,421,464 | |
Boston Private Financial Holdings, Inc. | | | 86,002 | | | | 1,085,345 | |
Cardinal Financial Corp. | | | 32,600 | | | | 586,800 | |
City Holding Co.(a) | | | 17,444 | | | | 808,181 | |
Columbia Banking System, Inc. | | | 55,508 | | | | 1,527,025 | |
Community Bank System, Inc. | | | 44,196 | | | | 1,753,697 | |
CVB Financial Corp. | | | 101,200 | | | | 1,727,484 | |
First BanCorp. (Puerto Rico)* | | | 106,972 | | | | 662,157 | |
First Commonwealth Financial Corp. | | | 103,910 | | | | 916,486 | |
First Financial Bancorp | | | 62,503 | | | | 1,089,427 | |
First Financial Bankshares, Inc. | | | 33,339 | | | | 2,211,042 | |
First Midwest Bancorp, Inc. | | | 81,340 | | | | 1,425,890 | |
FNB Corp. | | | 173,000 | | | | 2,183,260 | |
Glacier Bancorp, Inc. | | | 80,973 | | | | 2,412,186 | |
Hanmi Financial Corp. | | | 34,036 | | | | 745,048 | |
Home BancShares, Inc. | | | 52,004 | | | | 1,942,349 | |
Independent Bank Corp. | | | 25,306 | | | | 991,742 | |
MB Financial, Inc. | | | 60,100 | | | | 1,928,609 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A142
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Commercial Banks (continued) | | | | | | | | |
National Penn Bancshares, Inc. | | | 126,176 | | | $ | 1,429,574 | |
NBT Bancorp, Inc. | | | 47,310 | | | | 1,225,329 | |
Old National BanCorp | | | 109,247 | | | | 1,679,126 | |
PacWest Bancorp(a) | | | 42,000 | | | | 1,773,240 | |
Pinnacle Financial Partners, Inc. | | | 35,871 | | | | 1,166,884 | |
PrivateBanCorp, Inc. | | | 71,449 | | | | 2,067,020 | |
S&T Bancorp, Inc. | | | 32,173 | | | | 814,299 | |
Simmons First National Corp. (Class A Stock) | | | 17,678 | | | | 656,738 | |
Sterling Bancorp | | | 84,458 | | | | 1,129,203 | |
Susquehanna Bancshares, Inc. | | | 202,709 | | | | 2,602,784 | |
Taylor Capital Group, Inc.* | | | 16,600 | | | | 441,228 | |
Texas Capital Bancshares, Inc.* | | | 44,700 | | | | 2,780,340 | |
Tompkins Financial Corp. | | | 13,164 | | | | 676,498 | |
UMB Financial Corp.(a) | | | 40,872 | | | | 2,627,252 | |
Umpqua Holdings Corp. | | | 122,270 | | | | 2,340,248 | |
United Bankshares, Inc.(a) | | | 49,697 | | | | 1,562,971 | |
United Community Banks, Inc.* | | | 41,587 | | | | 738,169 | |
Viewpoint Financial Group, Inc. | | | 39,000 | | | | 1,070,550 | |
Wilshire Bancorp, Inc. | | | 73,913 | | | | 807,869 | |
Wintrust Financial Corp.(a) | | | 43,513 | �� | | | 2,006,820 | |
| | | | | | |
|
|
|
| | | | | | | | 57,958,523 | |
| | | | | | |
|
|
|
Commercial Services & Supplies — 2.0% | |
ABM Industries, Inc. | | | 55,503 | | | | 1,586,831 | |
Consolidated Graphics, Inc.* | | | 8,757 | | | | 590,572 | |
G&K Services, Inc. (Class A Stock) | | | 21,719 | | | | 1,351,573 | |
Healthcare Services Group, Inc. | | | 75,676 | | | | 2,146,928 | |
Interface, Inc. | | | 63,002 | | | | 1,383,524 | |
Mobile Mini, Inc.* | | | 44,697 | | | | 1,840,622 | |
Tetra Tech, Inc.* | | | 69,888 | | | | 1,955,466 | |
UniFirst Corp. | | | 16,730 | | | | 1,790,110 | |
United Stationers, Inc. | | | 43,742 | | | | 2,007,320 | |
Viad Corp. | | | 22,047 | | | | 612,466 | |
| | | | | | |
|
|
|
| | | | | | | | 15,265,412 | |
| | | | | | |
|
|
|
Communications Equipment — 1.6% | | | | | | | | |
ARRIS Group, Inc.* | | | 125,211 | | | | 3,050,766 | |
Bel Fuse, Inc. (Class B Stock) | | | 10,622 | | | | 226,355 | |
Black Box Corp. | | | 17,293 | | | | 515,331 | |
CalAmp Corp.* | | | 36,400 | | | | 1,018,108 | |
Comtech Telecommunications Corp. | | | 17,859 | | | | 562,916 | |
Digi International, Inc.* | | | 27,364 | | | | 331,652 | |
Harmonic, Inc.* | | | 108,924 | | | | 803,859 | |
Ixia* | | | 60,500 | | | | 805,255 | |
NETGEAR, Inc.* | | | 42,546 | | | | 1,401,465 | |
Oplink Communications, Inc.* | | | 19,000 | | | | 353,400 | |
PC-Tel, Inc. | | | 18,184 | | | | 174,021 | |
Procera Networks, Inc.* | | | 22,000 | | | | 330,440 | |
ViaSat, Inc.* | | | 45,715 | | | | 2,864,045 | |
| | | | | | |
|
|
|
| | | | | | | | 12,437,613 | |
| | | | | | |
|
|
|
Computers & Peripherals — 0.5% | | | | | | | | |
Avid Technology, Inc.* | | | 33,147 | | | | 270,148 | |
Electronics for Imaging, Inc.* | | | 51,300 | | | | 1,986,849 | |
Intevac, Inc.* | | | 24,944 | | | | 185,334 | |
Qlogic Corp.* | | | 93,100 | | | | 1,101,373 | |
Super Micro Computer, Inc.* | | | 34,900 | | | | 598,884 | |
| | | | | | |
|
|
|
| | | | | | | | 4,142,588 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Construction & Engineering — 0.8% | | | | | | | | |
Aegion Corp.* | | | 41,937 | | | $ | 918,001 | |
Comfort Systems USA, Inc. | | | 40,484 | | | | 784,985 | |
Dycom Industries, Inc.* | | | 36,731 | | | | 1,020,754 | |
EMCOR Group, Inc. | | | 73,225 | | | | 3,107,669 | |
Orion Marine Group, Inc.* | | | 29,300 | | | | 352,479 | |
| | | | | | |
|
|
|
| | | | | | | | 6,183,888 | |
| | | | | | |
|
|
|
Construction Materials — 0.3% | | | | | | | | |
Headwaters, Inc.* | | | 78,768 | | | | 771,139 | |
Texas Industries, Inc.*(a) | | | 23,623 | | | | 1,624,790 | |
| | | | | | |
|
|
|
| | | | | | | | 2,395,929 | |
| | | | | | |
|
|
|
Consumer Finance — 1.2% | | | | | | | | |
Cash America International, Inc. | | | 30,544 | | | | 1,169,835 | |
Encore Capital Group, Inc.*(a) | | | 25,600 | | | | 1,286,656 | |
EZCORP., Inc. (Class A Stock)* | | | 58,411 | | | | 682,825 | |
First Cash Financial Services, Inc.* | | | 31,725 | | | | 1,961,874 | |
Green Dot Corp. (Class A Stock)* | | | 24,000 | | | | 603,600 | |
Portfolio Recovery Associates, Inc.*(a) | | | 54,267 | | | | 2,867,468 | |
World Acceptance Corp.*(a) | | | 11,952 | | | | 1,046,159 | |
| | | | | | |
|
|
|
| | | | | | | | 9,618,417 | |
| | | | | | |
|
|
|
Containers & Packaging — 0.1% | | | | | | | | |
Myers Industries, Inc. | | | 28,620 | | | | 604,454 | |
| | | | | | |
|
|
|
Distributors — 0.4% | | | | | | | | |
Pool Corp. | | | 50,055 | | | | 2,910,198 | |
VOXX International Corp.* | | | 20,757 | | | | 346,642 | |
| | | | | | |
|
|
|
| | | | | | | | 3,256,840 | |
| | | | | | |
|
|
|
Diversified Consumer Services — 0.8% | |
American Public Education, Inc.* | | | 19,233 | | | | 836,059 | |
Capella Education Co. | | | 11,986 | | | | 796,350 | |
Career Education Corp.* | | | 62,100 | | | | 353,970 | |
Hillenbrand, Inc. | | | 68,748 | | | | 2,022,566 | |
ITT Educational Services, Inc.*(a) | | | 19,800 | | | | 664,884 | |
Regis Corp. | | | 47,500 | | | | 689,225 | |
Strayer Education, Inc.*(a) | | | 11,700 | | | | 403,299 | |
Universal Technical Institute, Inc. | | | 22,406 | | | | 311,667 | |
| | | | | | |
|
|
|
| | | | | | | | 6,078,020 | |
| | | | | | |
|
|
|
Diversified Financial Services — 0.5% | | | | | | | | |
Interactive Brokers Group, Inc. (Class A Stock) | | | 54,100 | | | | 1,316,794 | |
MarketAxess Holdings, Inc. | | | 41,100 | | | | 2,748,357 | |
| | | | | | |
|
|
|
| | | | | | | | 4,065,151 | |
| | | | | | |
|
|
|
Diversified Telecommunication Services — 0.3% | | | | | |
Atlantic Tele-Network, Inc. | | | 10,800 | | | | 610,956 | |
Cbeyond, Inc.* | | | 30,437 | | | | 210,015 | |
Cincinnati Bell, Inc.* | | | 225,200 | | | | 801,712 | |
General Communication, Inc. (Class A Stock)* | | | 33,124 | | | | 369,333 | |
Lumos Networks Corp. | | | 19,021 | | | | 399,441 | |
| | | | | | |
|
|
|
| | | | | | | | 2,391,457 | |
| | | | | | |
|
|
|
Electric Utilities — 1.1% | | | | | | | | |
ALLETE, Inc. | | | 40,397 | | | | 2,015,002 | |
El Paso Electric Co. | | | 44,208 | | | | 1,552,143 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A143
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Electric Utilities (continued) | | | | | | | | |
UIL Holdings Corp. | | | 61,511 | | | $ | 2,383,551 | |
UNS Energy Corp. | | | 45,351 | | | | 2,714,257 | |
| | | | | | |
|
|
|
| | | | | | | | 8,664,953 | |
| | | | | | |
|
|
|
Electrical Equipment — 1.5% | | | | | | | | |
AZZ, Inc. | | | 28,142 | | | | 1,375,018 | |
Brady Corp. (Class A Stock) | | | 51,122 | | | | 1,581,203 | |
Encore Wire Corp. | | | 20,231 | | | | 1,096,520 | |
EnerSys, Inc. | | | 51,600 | | | | 3,616,644 | |
Franklin Electric Co, Inc. | | | 42,700 | | | | 1,906,128 | |
II-VI, Inc.* | | | 58,462 | | | | 1,028,931 | |
Powell Industries, Inc. | | | 9,972 | | | | 668,024 | |
Vicor Corp.*(a) | | | 19,531 | | | | 262,106 | |
| | | | | | |
|
|
|
| | | | | | | | 11,534,574 | |
| | | | | | |
|
|
|
Electronic Equipment, Instruments & Components — 5.3% | |
Agilysys, Inc.* | | | 14,832 | | | | 206,461 | |
Anixter International, Inc. | | | 29,264 | | | | 2,629,078 | |
Badger Meter, Inc. | | | 15,607 | | | | 850,582 | |
Belden, Inc. | | | 47,512 | | | | 3,347,220 | |
Benchmark Electronics, Inc.* | | | 59,110 | | | | 1,364,259 | |
Checkpoint Systems, Inc.* | | | 44,439 | | | | 700,803 | |
Cognex Corp.* | | | 90,380 | | | | 3,450,708 | |
Coherent, Inc.* | | | 27,100 | | | | 2,015,969 | |
CTS Corp. | | | 36,264 | | | | 722,016 | |
Daktronics, Inc. | | | 40,708 | | | | 638,301 | |
DTS, Inc.* | | | 19,585 | | | | 469,648 | |
Electro Scientific Industries, Inc. | | | 27,241 | | | | 284,941 | |
FARO Technologies, Inc.* | | | 18,584 | | | | 1,083,447 | |
FEI Co. | | | 45,512 | | | | 4,066,952 | |
Insight Enterprises, Inc.* | | | 45,835 | | | | 1,040,913 | |
Littelfuse, Inc. | | | 24,525 | | | | 2,279,108 | |
Measurement Specialties, Inc.* | | | 16,600 | | | | 1,007,454 | |
Mercury Systems, Inc.* | | | 34,708 | | | | 380,053 | |
Methode Electronics, Inc. | | | 39,066 | | | | 1,335,667 | |
MTS Systems Corp. | | | 16,935 | | | | 1,206,619 | |
Newport Corp.* | | | 42,408 | | | | 766,313 | |
OSI Systems, Inc.* | | | 20,800 | | | | 1,104,688 | |
Park Electrochemical Corp. | | | 22,644 | | | | 650,336 | |
Plexus Corp.* | | | 37,120 | | | | 1,606,925 | |
Rofin-sinar Technologies, Inc.* | | | 30,400 | | | | 821,408 | |
Rogers Corp.* | | | 19,331 | | | | 1,188,857 | |
Sanmina Corp.*(a) | | | 91,800 | | | | 1,533,060 | |
ScanSource, Inc.* | | | 30,933 | | | | 1,312,487 | |
SYNNEX Corp.* | | | 28,850 | | | | 1,944,490 | |
TTM Technologies, Inc.*(a) | | | 58,989 | | | | 506,126 | |
| | | | | | |
|
|
|
| | | | | | | | 40,514,889 | |
| | | | | | |
|
|
|
Energy Equipment & Services — 2.2% | | | | | | | | |
Basic Energy Services, Inc.* | | | 28,617 | | | | 451,576 | |
Bristow Group, Inc. | | | 39,955 | | | | 2,999,022 | |
C&J Energy Services, Inc.*(a) | | | 49,000 | | | | 1,131,900 | |
Era Group, Inc.* | | | 20,371 | | | | 628,649 | |
Exterran Holdings, Inc.*(a) | | | 64,100 | | | | 2,192,220 | |
Geospace Technologies Corp.*(a) | | | 14,310 | | | | 1,357,017 | |
Gulf Island Fabrication, Inc. | | | 13,377 | | | | 310,614 | |
Hornbeck Offshore Services, Inc.*(a) | | | 35,615 | | | | 1,753,326 | |
ION Geophysical Corp.* | | | 131,945 | | | | 435,419 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Energy Equipment & Services (continued) | |
Matrix Service Co.* | | | 28,373 | | | $ | 694,287 | |
Newpark Resources, Inc.* | | | 94,700 | | | | 1,163,863 | |
Pioneer Energy Services Corp.* | | | 67,517 | | | | 540,811 | |
SEACOR Holdings, Inc.*(a) | | | 20,671 | | | | 1,885,195 | |
Tesco Corp.* | | | 33,600 | | | | 664,608 | |
TETRA Technologies, Inc.* | | | 85,241 | | | | 1,053,579 | |
| | | | | | |
|
|
|
| | | | | | | | 17,262,086 | |
| | | | | | |
|
|
|
Food & Staples Retailing — 0.7% | | | | | | | | |
Andersons, Inc. (The) | | | 19,316 | | | | 1,722,408 | |
Casey’s General Stores, Inc. | | | 41,965 | | | | 2,948,041 | |
Spartan Stores, Inc. | | | 39,706 | | | | 964,062 | |
| | | | | | |
|
|
|
| | | | | | | | 5,634,511 | |
| | | | | | |
|
|
|
Food Products — 2.1% | | | | | | | | |
Annie’s, Inc.*(a) | | | 18,600 | | | | 800,544 | |
B&G Foods, Inc. | | | 58,200 | | | | 1,973,562 | |
Cal-Maine Foods, Inc. | | | 16,195 | | | | 975,425 | |
Calavo Growers, Inc. | | | 14,090 | | | | 426,363 | |
Darling International, Inc.* | | | 172,320 | | | | 3,598,042 | |
Diamond Foods, Inc.*(a) | | | 22,957 | | | | 593,209 | |
J&J Snack Foods Corp. | | | 15,918 | | | | 1,410,176 | |
Sanderson Farms, Inc. | | | 22,235 | | | | 1,608,258 | |
Seneca Foods Corp. (Class A Stock)* | | | 7,700 | | | | 245,553 | |
Snyders-Lance, Inc. | | | 53,416 | | | | 1,534,108 | |
TreeHouse Foods, Inc.* | | | 39,765 | | | | 2,740,604 | |
| | | | | | |
|
|
|
| | | | | | | | 15,905,844 | |
| | | | | | |
|
|
|
Gas Utilities — 1.6% | | | | | | | | |
Laclede Group, Inc. (The) | | | 33,014 | | | | 1,503,458 | |
New Jersey Resources Corp. | | | 45,804 | | | | 2,117,977 | |
Northwest Natural Gas Co. | | | 29,765 | | | | 1,274,537 | |
Piedmont Natural Gas Co., Inc. | | | 82,903 | | | | 2,749,063 | |
South Jersey Industries, Inc. | | | 35,222 | | | | 1,971,023 | |
Southwest Gas Corp. | | | 50,611 | | | | 2,829,661 | |
| | | | | | |
|
|
|
| | | | | | | | 12,445,719 | |
| | | | | | |
|
|
|
Health Care Equipment & Supplies — 3.9% | |
Abaxis, Inc.* | | | 22,812 | | | | 912,936 | |
Abiomed, Inc.*(a) | | | 37,900 | | | | 1,013,446 | |
Align Technology, Inc.* | | | 77,057 | | | | 4,403,808 | |
Analogic Corp. | | | 13,633 | | | | 1,207,338 | |
Anika Therapeutics, Inc.* | | | 12,400 | | | | 473,184 | |
Cantel Medical Corp. | | | 36,562 | | | | 1,239,817 | |
CONMED Corp. | | | 30,349 | | | | 1,289,833 | |
Cryolife, Inc. | | | 26,353 | | | | 292,255 | |
Cyberonics, Inc.*(a) | | | 27,097 | | | | 1,775,124 | |
Cynosure, Inc. (Class A Stock)* | | | 20,890 | | | | 557,345 | |
Greatbatch, Inc.* | | | 26,144 | | | | 1,156,611 | |
Haemonetics Corp.* | | | 56,194 | | | | 2,367,453 | |
ICU Medical, Inc.* | | | 14,592 | | | | 929,656 | |
Integra LifeSciences Holdings Corp.* | | | 25,602 | | | | 1,221,471 | |
Invacare Corp. | | | 31,002 | | | | 719,556 | |
Meridian Bioscience, Inc. | | | 44,975 | | | | 1,193,187 | |
Merit Medical Systems, Inc.* | | | 43,548 | | | | 685,446 | |
Natus Medical, Inc.* | | | 30,025 | | | | 675,563 | |
Neogen Corp.* | | | 39,720 | | | | 1,815,204 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A144
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Health Care Equipment & Supplies (continued) | |
NuVasive, Inc.* | | | 49,000 | | | $ | 1,584,170 | |
SurModics, Inc.* | | | 15,552 | | | | 379,313 | |
Symmetry Medical, Inc.* | | | 39,777 | | | | 400,952 | |
West Pharmaceutical Services, Inc. | | | 76,134 | | | | 3,735,134 | |
| | | | | | |
|
|
|
| | | | | | | | 30,028,802 | |
| | | | | | |
|
|
|
Health Care Providers & Services — 3.2% | |
Air Methods Corp.*(a) | | | 38,316 | | | | 2,234,972 | |
Almost Family, Inc.* | | | 9,152 | | | | 295,884 | |
Amedisys, Inc.* | | | 34,759 | | | | 508,524 | |
AMN Healthcare Services, Inc.* | | | 49,499 | | | | 727,635 | |
Amsurg Corp.* | | | 35,074 | | | | 1,610,598 | |
Bio-Reference Labs, Inc.*(a) | | | 26,770 | | | | 683,706 | |
Centene Corp.* | | | 59,708 | | | | 3,519,787 | |
Chemed Corp.(a) | | | 19,411 | | | | 1,487,271 | |
Corvel Corp.* | | | 12,490 | | | | 583,283 | |
Cross Country Healthcare, Inc.* | | | 28,463 | | | | 284,061 | |
Ensign Group, Inc. (The) | | | 21,200 | | | | 938,524 | |
Gentiva Health Services, Inc.* | | | 31,192 | | | | 387,093 | |
Hanger, Inc.* | | | 37,709 | | | | 1,483,472 | |
Healthways, Inc.* | | | 36,986 | | | | 567,735 | |
IPC The Hospitalist Co, Inc.* | | | 18,705 | | | | 1,110,890 | |
Kindred Healthcare, Inc. | | | 58,300 | | | | 1,150,842 | |
Landauer, Inc. | | | 10,668 | | | | 561,243 | |
LHC Group, Inc.* | | | 13,198 | | | | 317,280 | |
Magellan Health Services, Inc.* | | | 29,541 | | | | 1,769,801 | |
Molina Healthcare, Inc.*(a) | | | 30,722 | | | | 1,067,590 | |
MWI Veterinary Supply, Inc.* | | | 14,096 | | | | 2,404,637 | |
PharMerica Corp.* | | | 32,295 | | | | 694,343 | |
| | | | | | |
|
|
|
| | | | | | | | 24,389,171 | |
| | | | | | |
|
|
|
Health Care Technology — 0.9% | | | | | | | | |
Computer Programs & Systems, Inc. | | | 11,736 | | | | 725,402 | |
Healthstream, Inc.* | | | 22,400 | | | | 734,048 | |
Medidata Solutions, Inc.* | | | 54,800 | | | | 3,319,236 | |
Omnicell, Inc.* | | | 38,822 | | | | 991,126 | |
Quality Systems, Inc. | | | 48,134 | | | | 1,013,702 | |
| | | | | | |
|
|
|
| | | | | | | | 6,783,514 | |
| | | | | | |
|
|
|
Hotels, Restaurants & Leisure — 3.4% | | | | | | | | |
Biglari Holdings, Inc.* | | | 1,636 | | | | 828,863 | |
BJ’s Restaurants, Inc.* | | | 26,872 | | | | 834,644 | |
Boyd Gaming Corp.* | | | 81,700 | | | | 919,942 | |
Buffalo Wild Wings, Inc.*(a) | | | 20,565 | | | | 3,027,168 | |
CEC Entertainment, Inc. | | | 18,307 | | | | 810,634 | |
Cracker Barrel Old Country Store, Inc. | | | 25,978 | | | | 2,859,398 | |
DineEquity, Inc. | | | 17,705 | | | | 1,479,253 | |
Interval Leisure Group, Inc. | | | 42,936 | | | | 1,326,722 | |
Jack in the Box, Inc.* | | | 46,417 | | | | 2,321,778 | |
Marcus Corp. | | | 19,358 | | | | 260,172 | |
Marriott Vacations Worldwide Corp.* | | | 33,400 | | | | 1,762,184 | |
Monarch Casino & Resort, Inc.* | | | 10,231 | | | | 205,438 | |
Multimedia Games Holding Co, Inc.* | | | 32,199 | | | | 1,009,761 | |
Papa John’s International, Inc. | | | 34,830 | | | | 1,581,282 | |
Pinnacle Entertainment, Inc.*(a) | | | 64,513 | | | | 1,676,693 | |
Red Robin Gourmet Burgers, Inc.* | | | 14,463 | | | | 1,063,609 | |
Ruby Tuesday, Inc.* | | | 61,984 | | | | 429,549 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Hotels, Restaurants & Leisure (continued) | |
Ruth’s Hospitality Group, Inc. | | | 38,348 | | | $ | 544,925 | |
Sonic Corp.* | | | 57,314 | | | | 1,157,170 | |
Texas Roadhouse, Inc.(a) | | | 65,530 | | | | 1,821,734 | |
| | | | | | |
|
|
|
| | | | | | | | 25,920,919 | |
| | | | | | |
|
|
|
Household Durables — 1.6% | | | | | | | | |
Blyth, Inc.(a) | | | 9,166 | | | | 99,726 | |
Ethan Allen Interiors, Inc. | | | 28,199 | | | | 857,814 | |
Helen of Troy Ltd.* | | | 33,110 | | | | 1,639,276 | |
iRobot Corp.* | | | 31,700 | | | | 1,102,209 | |
La-Z-Boy, Inc. (Class Z Stock) | | | 57,501 | | | | 1,782,531 | |
M/I Homes, Inc.* | | | 26,170 | | | | 666,027 | |
Meritage Homes Corp.* | | | 37,397 | | | | 1,794,682 | |
Ryland Group, Inc. (The) | | | 50,600 | | | | 2,196,546 | |
Standard Pacific Corp.* | | | 161,922 | | | | 1,465,394 | |
Universal Electronics, Inc.* | | | 17,254 | | | | 657,550 | |
| | | | | | |
|
|
|
| | | | | | | | 12,261,755 | |
| | | | | | |
|
|
|
Household Products — 0.2% | | | | | | | | |
Central Garden and Pet Co. (Class A Stock)* | | | 44,988 | | | | 303,669 | |
WD-40 Co. | | | 15,609 | | | | 1,165,680 | |
| | | | | | |
|
|
|
| | | | | | | | 1,469,349 | |
| | | | | | |
|
|
|
Insurance — 2.1% | | | | | | | | |
AMERISAFE, Inc. | | | 20,414 | | | | 862,287 | |
eHealth, Inc.* | | | 20,391 | | | | 947,978 | |
Employers Holdings, Inc. | | | 34,315 | | | | 1,086,070 | |
HCI Group, Inc.(a) | | | 11,000 | | | | 588,500 | |
Horace Mann Educators Corp. | | | 44,000 | | | | 1,387,760 | |
Infinity Property & Casualty Corp. | | | 12,489 | | | | 896,086 | |
Meadowbrook Insurance Group, Inc. | | | 49,900 | | | | 347,304 | |
Navigators Group, Inc. (The)* | | | 11,518 | | | | 727,477 | |
ProAssurance Corp. | | | 67,466 | | | | 3,270,752 | |
RLI Corp. | | | 18,805 | | | | 1,831,231 | |
Safety Insurance Group, Inc. | | | 13,860 | | | | 780,318 | |
Selective Insurance Group, Inc. | | | 61,107 | | | | 1,653,555 | |
Stewart Information Services Corp. | | | 22,702 | | | | 732,594 | |
Tower Group International Ltd. | | | 41,236 | | | | 139,378 | |
United Fire Group, Inc. | | | 23,361 | | | | 669,526 | |
| | | | | | |
|
|
|
| | | | | | | | 15,920,816 | |
| | | | | | |
|
|
|
Internet & Catalog Retail — 0.3% | | | | | | | | |
Blue Nile, Inc.* | | | 14,080 | | | | 663,027 | |
FTD Cos., Inc.* | | | 20,006 | | | | 651,795 | |
Nutrisystem, Inc. | | | 30,928 | | | | 508,456 | |
PetMed Express, Inc. | | | 21,581 | | | | 358,892 | |
| | | | | | |
|
|
|
| | | | | | | | 2,182,170 | |
| | | | | | |
|
|
|
Internet Software & Services — 2.2% | | | | | | | | |
Blucora, Inc.*(a) | | | 44,612 | | | | 1,300,886 | |
comScore, Inc.* | | | 35,977 | | | | 1,029,302 | |
DealerTrack Technologies, Inc.*(a) | | | 47,883 | | | | 2,302,215 | |
Dice Holdings, Inc.* | | | 40,400 | | | | 292,900 | |
Digital River, Inc.* | | | 30,100 | | | | 556,850 | |
j2 Global, Inc. | | | 47,778 | | | | 2,389,378 | |
Liquidity Services, Inc.*(a) | | | 27,900 | | | | 632,214 | |
LivePerson, Inc.* | | | 52,900 | | | | 783,978 | |
LogMeIn, Inc.* | | | 24,800 | | | | 832,040 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A145
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Internet Software & Services (continued) | |
Monster Worldwide, Inc.* | | | 113,400 | | | $ | 808,542 | |
NIC, Inc. | | | 64,700 | | | | 1,609,089 | |
OpenTable, Inc.* | | | 25,400 | | | | 2,015,998 | |
Perficient, Inc.* | | | 35,614 | | | | 834,080 | |
QuinStreet, Inc.* | | | 30,400 | | | | 264,176 | |
Stamps.com, Inc.* | | | 16,020 | | | | 674,442 | |
XO Group, Inc.* | | | 26,495 | | | | 393,716 | |
| | | | | | |
|
|
|
| | | | | | | | 16,719,806 | |
| | | | | | |
|
|
|
IT Services — 2.1% | | | | | | | | |
CACI International, Inc. (Class A Stock)*(a) | | | 25,544 | | | | 1,870,332 | |
Cardtronics, Inc.* | | | 49,200 | | | | 2,137,740 | |
CIBER, Inc.* | | | 70,923 | | | | 293,621 | |
CSG Systems International, Inc. | | | 36,624 | | | | 1,076,746 | |
ExlService Holdings, Inc.* | | | 34,000 | | | | 939,080 | |
Forrester Research, Inc. | | | 13,962 | | | | 534,186 | |
Heartland Payment Systems, Inc. | | | 40,411 | | | | 2,014,084 | |
Higher One Holdings, Inc.* | | | 34,500 | | | | 336,720 | |
iGATE Corp.* | | | 32,000 | | | | 1,285,120 | |
MAXIMUS, Inc. | | | 74,672 | | | | 3,284,821 | |
Sykes Enterprises, Inc.* | | | 42,270 | | | | 921,909 | |
Teletech Holdings, Inc.* | | | 20,967 | | | | 501,950 | |
Virtusa Corp.* | | | 25,900 | | | | 986,531 | |
| | | | | | |
|
|
|
| | | | | | | | 16,182,840 | |
| | | | | | |
|
|
|
Leisure Equipment & Products — 0.4% | |
Arctic Cat, Inc. | | | 14,557 | | | | 829,458 | |
Callaway Golf Co. | | | 81,180 | | | | 684,347 | |
JAKKS Pacific, Inc. | | | 18,430 | | | | 124,034 | |
Sturm Ruger & Co., Inc.(a) | | | 21,227 | | | | 1,551,481 | |
| | | | | | |
|
|
|
| | | | | | | | 3,189,320 | |
| | | | | | |
|
|
|
Life Sciences Tools & Services — 0.6% | |
Affymetrix, Inc.*(a) | | | 77,100 | | | | 660,747 | |
Cambrex Corp.* | | | 32,732 | | | | 583,612 | |
Luminex Corp.* | | | 39,900 | | | | 774,060 | |
PAREXEL International Corp.* | | | 61,557 | | | | 2,781,145 | |
| | | | | | |
|
|
|
| | | | | | | | 4,799,564 | |
| | | | | | |
|
|
|
Machinery — 3.4% | | | | | | | | |
Actuant Corp. (Class A Stock) | | | 79,364 | | | | 2,907,897 | |
Albany International Corp. (Class A Stock) | | | 31,104 | | | | 1,117,567 | |
Astec Industries, Inc. | | | 20,210 | | | | 780,712 | |
Barnes Group, Inc. | | | 50,016 | | | | 1,916,113 | |
Briggs & Stratton Corp. | | | 51,846 | | | | 1,128,169 | |
CIRCOR International, Inc. | | | 19,388 | | | | 1,566,163 | |
EnPro Industries, Inc.*(a) | | | 23,078 | | | | 1,330,447 | |
ESCO Technologies, Inc. | | | 28,721 | | | | 983,981 | |
Federal Signal Corp.* | | | 67,400 | | | | 987,410 | |
John Bean Technologies Corp. | | | 29,547 | | | | 866,614 | |
Lindsay Corp.(a) | | | 13,979 | | | | 1,156,762 | |
Lydall, Inc.* | | | 17,956 | | | | 316,385 | |
Mueller Industries, Inc. | | | 30,849 | | | | 1,943,795 | |
Standex International Corp. | | | 14,170 | | | | 891,010 | |
Tennant Co. | | | 20,400 | | | | 1,383,324 | |
Titan International, Inc. | | | 57,700 | | | | 1,037,446 | |
Toro Co. (The) | | | 62,366 | | | | 3,966,478 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Machinery (continued) | | | | | | | | |
Watts Water Technologies, Inc. (Class A Stock) | | | 31,321 | | | $ | 1,937,830 | |
| | | | | | |
|
|
|
| | | | | | | | 26,218,103 | |
| | | | | | |
|
|
|
Media — 0.7% | | | | | | | | |
Digital Generation, Inc.* | | | 22,700 | | | | 289,425 | |
E.W. Scripps Co. (Class A Stock)* | | | 32,201 | | | | 699,406 | |
Harte-Hanks, Inc. | | | 47,400 | | | | 370,668 | |
Live Nation Entertainment, Inc.* | | | 154,176 | | | | 3,046,518 | |
Scholastic Corp. | | | 28,100 | | | | 955,681 | |
| | | | | | |
|
|
|
| | | | | | | | 5,361,698 | |
| | | | | | |
|
|
|
Metals & Mining — 1.5% | | | | | | | | |
A.M. Castle & Co.* | | | 18,183 | | | | 268,563 | |
AK Steel Holding Corp.*(a) | | | 146,900 | | | | 1,204,580 | |
AMCOL International Corp. | | | 27,091 | | | | 920,552 | |
Century Aluminum Co.* | | | 55,363 | | | | 579,097 | |
Globe Specialty Metals, Inc. | | | 70,100 | | | | 1,262,501 | |
Haynes International, Inc. | | | 13,400 | | | | 740,216 | |
Kaiser Aluminum Corp. | | | 20,600 | | | | 1,446,944 | |
Materion Corp. | | | 22,378 | | | | 690,361 | |
Olympic Steel, Inc. | | | 9,738 | | | | 282,207 | |
RTI International Metals, Inc.*(a) | | | 33,111 | | | | 1,132,727 | |
Stillwater Mining Co.*(a) | | | 129,000 | | | | 1,591,860 | |
SunCoke Energy, Inc.* | | | 75,800 | | | | 1,728,998 | |
| | | | | | |
|
|
|
| | | | | | | | 11,848,606 | |
| | | | | | |
|
|
|
Multi-Utilities — 0.5% | | | | | | | | |
Avista Corp. | | | 65,803 | | | | 1,854,987 | |
NorthWestern Corp. | | | 42,200 | | | | 1,828,104 | |
| | | | | | |
|
|
|
| | | | | | | | 3,683,091 | |
| | | | | | |
|
|
|
Multiline Retail — 0.2% | | | | | | | | |
Fred’s, Inc. (Class A Stock) | | | 36,766 | | | | 680,906 | |
Tuesday Morning Corp.* | | | 39,632 | | | | 632,527 | |
| | | | | | |
|
|
|
| | | | | | | | 1,313,433 | |
| | | | | | |
|
|
|
Oil, Gas & Consumable Fuels — 1.8% | | | | | |
Approach Resources, Inc.*(a) | | | 38,000 | | | | 733,020 | |
Arch Coal Inc.(a) | | | 231,200 | | | | 1,028,840 | |
Carrizo Oil & Gas, Inc.* | | | 45,000 | | | | 2,014,650 | |
Cloud Peak Energy, Inc.* | | | 65,900 | | | | 1,186,200 | |
Comstock Resources, Inc. | | | 47,500 | | | | 868,775 | |
Contango Oil & Gas Co.* | | | 16,600 | | | | 784,516 | |
Forest Oil Corp.*(a) | | | 129,400 | | | | 467,134 | |
Green Plains Renewable Energy, Inc. | | | 31,700 | | | | 614,663 | |
Northern Oil And Gas, Inc.*(a) | | | 61,900 | | | | 932,833 | |
PDC Energy, Inc.* | | | 39,026 | | | | 2,076,964 | |
Penn Virginia Corp.* | | | 56,898 | | | | 536,548 | |
Petroquest Energy, Inc.* | | | 60,645 | | | | 261,986 | |
Stone Energy Corp.*(a) | | | 54,794 | | | | 1,895,324 | |
Swift Energy Co.*(a) | | | 46,744 | | | | 631,044 | |
| | | | | | |
|
|
|
| | | | | | | | 14,032,497 | |
| | | | | | |
|
|
|
Paper & Forest Products — 1.2% | | | | | | | | |
Clearwater Paper Corp.* | | | 22,980 | | | | 1,206,450 | |
Deltic Timber Corp. | | | 12,191 | | | | 828,257 | |
KapStone Paper and Packaging Corp.* | | | 43,800 | | | | 2,446,668 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A146
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Paper & Forest Products (continued) | | | | | | | | |
Neenah Paper, Inc. | | | 17,978 | | | $ | 768,919 | |
P.H. Glatfelter Co. | | | 47,500 | | | | 1,312,900 | |
Schweitzer-Mauduit International, Inc. | | | 34,376 | | | | 1,769,333 | |
Wausau Paper Corp. | | | 53,267 | | | | 675,426 | |
| | | | | | |
|
|
|
| | | | | | | | 9,007,953 | |
| | | | | | |
|
|
|
Personal Products — 0.1% | | | | | | | | |
Inter Parfums, Inc. | | | 18,400 | | | | 658,904 | |
Medifast, Inc.* | | | 13,700 | | | | 357,981 | |
| | | | | | |
|
|
|
| | | | | | | | 1,016,885 | |
| | | | | | |
|
|
|
Pharmaceuticals — 2.1% | | | | | | | | |
Akorn, Inc.*(a) | | | 78,000 | | | | 1,921,140 | |
Hi-Tech Pharmacal Co., Inc.* | | | 11,900 | | | | 516,341 | |
Impax Laboratories, Inc.* | | | 70,500 | | | | 1,772,370 | |
Medicines Co. (The)* | | | 69,600 | | | | 2,687,952 | |
Prestige Brands Holdings, Inc.* | | | 56,400 | | | | 2,019,120 | |
Questcor Pharmaceuticals, Inc.(a) | | | 60,900 | | | | 3,316,005 | |
ViroPharma, Inc.* | | | 71,437 | | | | 3,561,134 | |
| | | | | | |
|
|
|
| | | | | | | | 15,794,062 | |
| | | | | | |
|
|
|
Professional Services — 1.5% | | | | | | | | |
CDI Corp. | | | 15,288 | | | | 283,287 | |
Exponent, Inc. | | | 14,240 | | | | 1,102,746 | |
Heidrick & Struggles International, Inc. | | | 17,314 | | | | 348,704 | |
Insperity, Inc. | | | 24,779 | | | | 895,265 | |
Kelly Services, Inc. (Class A Stock) | | | 29,339 | | | | 731,715 | |
Korn/Ferry International* | | | 54,200 | | | | 1,415,704 | |
Navigant Consulting, Inc.* | | | 54,100 | | | | 1,038,720 | |
On Assignment, Inc.* | | | 50,586 | | | | 1,766,463 | |
Resources Connection, Inc. | | | 42,900 | | | | 614,757 | |
TrueBlue, Inc.* | | | 45,018 | | | | 1,160,564 | |
WageWorks, Inc.* | | | 32,400 | | | | 1,925,856 | |
| | | | | | |
|
|
|
| | | | | | | | 11,283,781 | |
| | | | | | |
|
|
|
Real Estate Investment Trusts (REITs) — 6.5% | | | | | |
Acadia Realty Trust | | | 60,805 | | | | 1,509,788 | |
Agree Realty Corp. | | | 15,900 | | | | 461,418 | |
American Assets Trust, Inc. | | | 37,200 | | | | 1,169,196 | |
Associated Estates Realty Corp. | | | 62,800 | | | | 1,007,940 | |
Capstead Mortgage Corp.(a) | | | 103,700 | | | | 1,252,696 | |
Cedar Realty Trust, Inc. | | | 66,966 | | | | 419,207 | |
Coresite Realty Corp. | | | 23,100 | | | | 743,589 | |
Cousins Properties, Inc. | | | 191,000 | | | | 1,967,300 | |
DiamondRock Hospitality Co.(a) | | | 211,670 | | | | 2,444,789 | |
EastGroup Properties, Inc. | | | 33,363 | | | | 1,932,719 | |
EPR Properties | | | 56,270 | | | | 2,766,233 | |
Franklin Street Properties Corp. | | | 94,402 | | | | 1,128,104 | |
Geo Group, Inc. (The) | | | 78,673 | | | | 2,534,844 | |
Getty Realty Corp. | | | 29,000 | | | | 532,730 | |
Government Properties Income Trust(a) | | | 59,300 | | | | 1,473,605 | |
Healthcare Realty Trust, Inc. | | | 104,800 | | | | 2,233,288 | |
Inland Real Estate Corp. | | | 90,635 | | | | 953,480 | |
Kite Realty Group Trust(a) | | | 142,291 | | | | 934,852 | |
LaSalle Hotel Properties | | | 113,272 | | | | 3,495,574 | |
Lexington Realty Trust(a) | | | 219,616 | | | | 2,242,279 | |
LTC Properties, Inc. | | | 38,226 | | | | 1,352,818 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Real Estate Investment Trusts (REITs) (continued) | | | | | |
Medical Properties Trust, Inc. | | | 175,966 | | | $ | 2,150,305 | |
Parkway Properties, Inc. | | | 65,148 | | | | 1,256,705 | |
Pennsylvania Real Estate Investment Trust | | | 73,822 | | | | 1,401,142 | |
Post Properties, Inc.(a) | | | 59,161 | | | | 2,675,852 | |
PS Business Parks, Inc. | | | 22,002 | | | | 1,681,393 | |
Sabra Health Care REIT, Inc. | | | 41,300 | | | | 1,079,582 | |
Saul Centers, Inc. | | | 14,100 | | | | 672,993 | |
Sovran Self Storage, Inc. | | | 34,897 | | | | 2,274,237 | |
Tanger Factory Outlet Centers | | | 102,984 | | | | 3,297,548 | |
Universal Health Realty Income Trust | | | 13,700 | | | | 548,822 | |
Urstadt Biddle Properties, Inc. (Class A Stock) | | | 27,350 | | | | 504,608 | |
| | | | | | |
|
|
|
| | | | | | | | 50,099,636 | |
| | | | | | |
|
|
|
Real Estate Management & Development — 0.1% | | | | | |
Forestar Group, Inc.* | | | 37,756 | | | | 803,070 | |
| | | | | | |
|
|
|
Road & Rail — 0.5% | | | | | |
Arkansas Best Corp. | | | 26,195 | | | | 882,248 | |
Heartland Express, Inc.(a) | | | 52,048 | | | | 1,021,182 | |
Knight Transportation, Inc. | | | 64,988 | | | | 1,191,880 | |
Saia, Inc.* | | | 26,400 | | | | 846,120 | |
| | | | | | |
|
|
|
| | | | | | | | 3,941,430 | |
| | | | | | |
|
|
|
Semiconductors & Semiconductor Equipment — 3.8% | |
Advanced Energy Industries, Inc.* | | | 39,697 | | | | 907,473 | |
ATMI, Inc.* | | | 34,606 | | | | 1,045,447 | |
Brooks Automation, Inc. | | | 71,605 | | | | 751,136 | |
Cabot Microelectronics Corp.* | | | 25,711 | | | | 1,174,993 | |
Ceva, Inc.* | | | 23,600 | | | | 359,192 | |
Cirrus Logic, Inc.*(a) | | | 68,700 | | | | 1,403,541 | |
Cohu, Inc. | | | 24,697 | | | | 259,319 | |
Diodes, Inc.* | | | 39,470 | | | | 929,913 | |
DSP Group, Inc.* | | | 23,828 | | | | 231,370 | |
Entropic Communications, Inc.* | | | 98,000 | | | | 461,580 | |
Exar Corp.* | | | 51,123 | | | | 602,740 | |
GT Advanced Technologies, Inc.*(a) | | | 142,800 | | | | 1,245,216 | |
Hittite Microwave Corp.* | | | 34,606 | | | | 2,136,228 | |
Kopin Corp.* | | | 66,196 | | | | 279,347 | |
Kulicke & Soffa Industries, Inc.* | | | 81,432 | | | | 1,083,046 | |
Micrel, Inc. | | | 47,602 | | | | 469,832 | |
Microsemi Corp.* | | | 102,319 | | | | 2,552,859 | |
MKS Instruments, Inc. | | | 58,285 | | | | 1,745,053 | |
Monolithic Power Systems, Inc.* | | | 37,900 | | | | 1,313,614 | |
Nanometrics, Inc.* | | | 23,800 | | | | 453,390 | |
Pericom Semiconductor Corp.* | | | 21,860 | | | | 193,680 | |
Power Integrations, Inc. | | | 32,600 | | | | 1,819,732 | |
Rubicon Technology, Inc.*(a) | | | 18,700 | | | | 186,065 | |
Rudolph Technologies, Inc.*(a) | | | 35,294 | | | | 414,352 | |
Sigma Designs, Inc.* | | | 32,958 | | | | 155,562 | |
Supertex, Inc.* | | | 11,172 | | | | 279,859 | |
Synaptics, Inc.*(a) | | | 36,279 | | | | 1,879,615 | |
Tessera Technologies, Inc. | | | 52,577 | | | | 1,036,293 | |
TriQuint Semiconductor, Inc.* | | | 174,876 | | | | 1,458,466 | |
Ultratech, Inc.* | | | 30,711 | | | | 890,619 | |
Veeco Instruments, Inc.* | | | 43,142 | | | | 1,419,803 | |
| | | | | | |
|
|
|
| | | | | | | | 29,139,335 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A147
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Software — 2.6% | | | | | | | | |
Blackbaud, Inc. | | | 50,183 | | | $ | 1,889,390 | |
Bottomline Technologies de, Inc.* | | | 40,100 | | | | 1,450,016 | |
Ebix, Inc.(a) | | | 34,357 | | | | 505,735 | |
EPIQ Systems, Inc. | | | 32,617 | | | | 528,722 | |
Interactive Intelligence Group, Inc.* | | | 17,379 | | | | 1,170,649 | |
Manhattan Associates, Inc.* | | | 20,993 | | | | 2,466,258 | |
MicroStrategy, Inc. (Class A Stock)* | | | 9,860 | | | | 1,225,006 | |
Monotype Imaging Holdings, Inc. | | | 42,700 | | | | 1,360,422 | |
NetScout Systems, Inc.* | | | 40,995 | | | | 1,213,042 | |
Progress Software Corp.* | | | 56,547 | | | | 1,460,609 | |
Synchronoss Technologies, Inc.* | | | 33,300 | | | | 1,034,631 | |
Take-Two Interactive Software, Inc.* | | | 100,512 | | | | 1,745,893 | |
Tangoe, Inc.*(a) | | | 37,300 | | | | 671,773 | |
Tyler Technologies, Inc.* | | | 30,927 | | | | 3,158,575 | |
VASCO Data Security International, Inc.* | | | 31,100 | | | | 240,403 | |
| | | | | | |
|
|
|
| | | | | | | | 20,121,124 | |
| | | | | | |
|
|
|
Specialty Retail — 4.7% | | | | | | | | |
Aeropostale Inc.*(a) | | | 85,500 | | | | 777,195 | |
Barnes & Noble, Inc.* | | | 39,900 | | | | 596,505 | |
Big 5 Sporting Goods Corp. | | | 19,237 | | | | 381,277 | |
Brown Shoe Co., Inc. | | | 44,434 | | | | 1,250,373 | |
Buckle, Inc. (The)(a) | | | 30,459 | | | | 1,600,925 | |
Cato Corp. (The) (Class A Stock) | | | 29,203 | | | | 928,655 | |
Children’s Place Retail Stores, Inc. (The)* | | | 24,565 | | | | 1,399,468 | |
Christopher & Banks Corp.* | | | 38,678 | | | | 330,310 | |
Finish Line, Inc. (The) (Class A Stock) | | | 53,146 | | | | 1,497,123 | |
Francesca’s Holdings Corp.*(a) | | | 45,700 | | | | 841,337 | |
Genesco, Inc.* | | | 26,322 | | | | 1,923,085 | |
Group 1 Automotive, Inc. | | | 23,064 | | | | 1,638,005 | |
Haverty Furniture Cos., Inc. | | | 21,741 | | | | 680,493 | |
Hibbett Sports, Inc.*(a) | | | 28,596 | | | | 1,921,937 | |
Jos A. Bank Clothiers, Inc.* | | | 30,731 | | | | 1,681,908 | |
Kirkland’s, Inc.* | | | 16,100 | | | | 381,087 | |
Lithia Motors, Inc. (Class A Stock) | | | 24,730 | | | | 1,716,757 | |
Lumber Liquidators Holdings, Inc.*(a) | | | 30,122 | | | | 3,099,253 | |
MarineMax, Inc.* | | | 26,042 | | | | 418,755 | |
Men’s Wearhouse, Inc. (The) | | | 49,567 | | | | 2,531,882 | |
Monro Muffler Brake, Inc. | | | 32,772 | | | | 1,847,030 | |
Outerwall, Inc.*(a) | | | 30,431 | | | | 2,047,093 | |
Pep Boys-Manny Moe & Jack (The)* | | | 57,126 | | | | 693,510 | |
Select Comfort Corp.* | | | 60,200 | | | | 1,269,618 | |
Sonic Automotive, Inc. (Class A Stock) | | | 37,247 | | | | 911,807 | |
Stage Stores, Inc.(a) | | | 34,479 | | | | 766,123 | |
Stein Mart, Inc. | | | 29,983 | | | | 403,271 | |
Vitamin Shoppe, Inc.* | | | 33,400 | | | | 1,737,134 | |
Zale Corp.* | | | 34,962 | | | | 551,351 | |
Zumiez, Inc.* | | | 23,950 | | | | 622,700 | |
| | | | | | |
|
|
|
| | | | | | | | 36,445,967 | |
| | | | | | |
|
|
|
Textiles, Apparel & Luxury Goods — 2.7% | | | | | |
Crocs, Inc.* | | | 95,643 | | | | 1,522,637 | |
Fifth & Pacific Cos., Inc* | | | 133,766 | | | | 4,289,876 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Textiles, Apparel & Luxury Goods (continued) | | | | | |
G-III Apparel Group Ltd., Common Stock* | | | 17,200 | | | $ | 1,269,188 | |
Iconix Brand Group, Inc.*(a) | | | 56,231 | | | | 2,232,371 | |
Movado Group, Inc. | | | 19,717 | | | | 867,745 | |
Oxford Industries, Inc. | | | 15,916 | | | | 1,283,944 | |
Perry Ellis International, Inc.* | | | 13,479 | | | | 212,833 | |
Quiksilver, Inc.*(a) | | | 138,493 | | | | 1,214,584 | |
Skechers U.S.A., Inc. (Class A Stock)* | | | 43,476 | | | | 1,440,360 | |
Steven Madden Ltd.* | | | 64,200 | | | | 2,349,078 | |
Wolverine World Wide, Inc. | | | 109,554 | | | | 3,720,454 | |
| | | | | | |
|
|
|
| | | | | | | | 20,403,070 | |
| | | | | | |
|
|
|
Thrifts & Mortgage Finance — 0.9% | | | | | |
Bank Mutual Corp. | | | 46,235 | | | | 324,107 | |
BofI Holding, Inc.* | | | 13,300 | | | | 1,043,119 | |
Brookline Bancorp, Inc. | | | 75,232 | | | | 719,970 | |
Dime Community Bancshares, Inc. | | | 31,481 | | | | 532,659 | |
Northwest Bancshares, Inc. | | | 101,900 | | | | 1,506,080 | |
Oritani Financial Corp. | | | 42,000 | | | | 674,100 | |
Provident Financial Services, Inc. | | | 57,700 | | | | 1,114,762 | |
TrustCo Bank Corp. | | | 101,595 | | | | 729,450 | |
| | | | | | |
|
|
|
| | | | | | | | 6,644,247 | |
| | | | | | |
|
|
|
Tobacco | | | | | |
Alliance One International, Inc.* | | | 86,838 | | | | 264,856 | |
| | | | | | |
|
|
|
Trading Companies & Distributors — 0.6% | | | | | |
Applied Industrial Technologies, Inc. | | | 46,228 | | | | 2,269,331 | |
DXP Enterprises, Inc.* | | | 11,300 | | | | 1,301,761 | |
Kaman Corp. | | | 29,422 | | | | 1,168,934 | |
| | | | | | |
|
|
|
| | | | | | | | 4,740,026 | |
| | | | | | |
|
|
|
Water Utilities — 0.2% | | | | | |
American States Water Co. | | | 42,552 | | | | 1,222,519 | |
| | | | | | |
|
|
|
Wireless Telecommunication Services — 0.1% | | | | | |
NTELOS Holdings Corp. | | | 16,421 | | | | 332,197 | |
USA Mobility, Inc. | | | 23,280 | | | | 332,438 | |
| | | | | | |
|
|
|
| | | | | | | | 664,635 | |
| | | | | | |
|
|
|
TOTAL COMMON STOCKS
(cost $438,564,356) | | | | 754,293,298 | |
| | | | | | |
|
|
|
| EXCHANGE TRADED FUND — 0.4% | |
iShares Core S&P Small-Cap ETF
(cost $1,664,568)(a) | | | 28,900 | | | | 3,156,169 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $440,228,924) | | | | 757,449,467 | |
| | | |
|
|
|
| SHORT-TERM INVESTMENTS — 12.6% | |
AFFILIATED MONEY MARKET MUTUAL FUND — 12.5% | |
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $96,607,968; includes $86,264,795 of cash collateral for securities on loan) (Note 4)(b)(c) | | | 96,607,968 | | | | 96,607,968 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A148
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
SHORT-TERM INVESTMENTS
(continued) | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
U.S. TREASURY OBLIGATION — 0.1% | |
U.S. Treasury Bill, 0.080%, 03/20/14 (cost $749,914)(d)(e) | | $ | 750 | | | $ | 749,904 | |
| | | | | | |
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(cost $97,357,882) | | | | 97,357,872 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 111.0%
(cost $537,586,806) | | | | 854,807,339 | |
LIABILITIES IN EXCESS OF
OTHER ASSETS(f) — (11.0)% | | | | (84,711,214 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 770,096,125 | |
| | | | | | |
|
|
|
The following abbreviations are used in the Portfolio descriptions:
| | |
| ETF | | Exchange Traded Fund |
| REIT | | Real Estate Investment Trust |
| * | Non-income producing security. |
| # | Principal amount shown in U.S. dollars unless otherwise stated. |
| (a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $84,216,199; cash collateral of $86,264,795 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (c) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
| (d) | Rate quoted represents yield-to-maturity as of purchase date. |
| (e) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (f) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Open futures contracts outstanding at December 31, 2013:
| | | | | | | | | | | | | | | | | | |
Number of
Contracts
| | Type
| | Expiration
Date
| | | Value at
Trade Date
| | | Value at
December 31, 2013
| | | Unrealized
Appreciation
| |
| Long Position: | | | | | | | | | | | | | | | | | | |
| 109 | | Russell 2000 Mini Index | | | Mar. 2014 | | | $ | 12,301,998 | | | $ | 12,659,260 | | | $ | 357,262 | |
| | | | | | | | | | | | | | | | |
|
|
|
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| 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, 2013 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 754,293,298 | | | $ | — | | | $ | — | |
Exchange Traded Fund | | | 3,156,169 | | | | — | | | | — | |
Affiliated Money Market Mutual Fund | | | 96,607,968 | | | | — | | | | — | |
U.S. Treasury Obligation | | | — | | | | 749,904 | | | | — | |
Other Financial Instruments* | | | | | | | | | | | | |
Futures Contract | | | 357,262 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 854,414,697 | | | $ | 749,904 | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swaps contracts, which are recorded at the unrealized appreciation/depreciation of the instrument. |
SEE NOTES TO FINANCIAL STATEMENTS.
A149
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 was as follows:
| | | | |
Affiliated Money Market Mutual Fund (including 11.2% of collateral received for securities on loan) | | | 12.5 | % |
Commercial Banks | | | 7.5 | |
Real Estate Investment Trusts (REITs) | | | 6.5 | |
Electronic Equipment, Instruments & Components | | | 5.3 | |
Specialty Retail | | | 4.7 | |
Health Care Equipment & Supplies | | | 3.9 | |
Semiconductors & Semiconductor Equipment | | | 3.8 | |
Machinery | | | 3.4 | |
Hotels, Restaurants & Leisure | | | 3.4 | |
Health Care Providers & Services | | | 3.2 | |
Chemicals | | | 2.9 | |
Textiles, Apparel & Luxury Goods | | | 2.7 | |
Software | | | 2.6 | |
Aerospace & Defense | | | 2.3 | |
Capital Markets | | | 2.3 | |
Energy Equipment & Services | | | 2.2 | |
Internet Software & Services | | | 2.2 | |
IT Services | | | 2.1 | |
Insurance | | | 2.1 | |
Food Products | | | 2.1 | |
Pharmaceuticals | | | 2.1 | |
Commercial Services & Supplies | | | 2.0 | |
Oil, Gas & Consumable Fuels | | | 1.8 | |
Gas Utilities | | | 1.6 | |
Communications Equipment | | | 1.6 | |
Household Durables | | | 1.6 | |
Metals & Mining | | | 1.5 | |
Electrical Equipment | | | 1.5 | |
Professional Services | | | 1.5 | |
Consumer Finance | | | 1.2 | |
Paper & Forest Products | | | 1.2 | |
Electric Utilities | | | 1.1 | |
Building Products | | | 1.0 | |
Health Care Technology | | | 0.9 | |
| | | | |
Thrifts & Mortgage Finance | | | 0.9 | % |
Construction & Engineering | | | 0.8 | |
Diversified Consumer Services | | | 0.8 | |
Food & Staples Retailing | | | 0.7 | |
Media | | | 0.7 | |
Life Sciences Tools & Services | | | 0.6 | |
Trading Companies & Distributors | | | 0.6 | |
Biotechnology | | | 0.6 | |
Auto Components | | | 0.6 | |
Computers & Peripherals | | | 0.5 | |
Air Freight & Logistics | | | 0.5 | |
Diversified Financial Services | | | 0.5 | |
Road & Rail | | | 0.5 | |
Multi-Utilities | | | 0.5 | |
Distributors | | | 0.4 | |
Leisure Equipment & Products | | | 0.4 | |
Exchange Traded Fund | | | 0.4 | |
Airlines | | | 0.3 | |
Construction Materials | | | 0.3 | |
Diversified Telecommunication Services | | | 0.3 | |
Beverages | | | 0.3 | |
Internet & Catalog Retail | | | 0.3 | |
Household Products | | | 0.2 | |
Multiline Retail | | | 0.2 | |
Water Utilities | | | 0.2 | |
Personal Products | | | 0.1 | |
Automobiles | | | 0.1 | |
Real Estate Management & Development | | | 0.1 | |
U.S. Treasury Obligation | | | 0.1 | |
Wireless Telecommunication Services | | | 0.1 | |
Containers & Packaging | | | 0.1 | |
| | |
|
|
|
| | | | 111.0 | |
Liabilities in excess of other assets | | | (11.0 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
Fair values of derivative instruments as of December 31, 2013 as presented in the Statement of Assets and Liabilities:
| | | | | | | | | | | | |
Derivatives not accounted for as hedging
instruments, carried at fair value
| | Asset Derivatives
| | | Liability Derivatives
| |
| | Balance Sheet Location
| | Fair Value
| | | Balance Sheet Location
| | Fair Value
| |
Equity contracts | | Due from broker — variation margin | | $ | 357,262 | * | | — | | $ | — | |
| | | | |
|
|
| | | |
|
|
|
| * | Includes cumulative appreciation/depreciation as reported in schedule of open futures. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2013 are as follows:
| | | | |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
| |
| |
Derivatives not accounted for as hedging instruments, carried at fair value
| | Futures
| |
Equity contracts | | $ | 2,945,709 | |
| | |
|
|
|
|
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
| |
| |
Derivatives not accounted for as hedging instruments, carried at fair value
| | Futures
| |
Equity contracts | | $ | 288,755 | |
| | |
|
|
|
For the year ended December 31, 2013, the Fund’s average value at trade date for futures long positions was $9,704,976.
SEE NOTES TO FINANCIAL STATEMENTS.
A150
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The Portfolio invested in financial instruments and derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument and derivative assets and liabilities:
| | | | | | | | | | | | | | | | |
Description
| | Gross Amounts
Recognized
| | | Gross Amounts
not subject
to netting
| | | Gross Amounts
Offset in the
Statement of
Financial Position
| | | Net Amounts
Presented in the
Statement of
Financial Position
| |
Assets: | | | | | | | | | | | | | | | | |
Securities on loan | | $ | 84,216,199 | | | $ | — | | | $ | — | | | $ | 84,216,199 | |
Exchange-traded and cleared derivatives | | | 48,098 | | | | | | | | — | | | | 48,098 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 84,264,297 | |
| | | | | | | | | | | | | | |
|
|
|
Collateral Amounts Pledged/(Received): | | | | | | | | | | | | | | | | |
Securities on loan | | | | | | | | | | | | | | | (84,216,199 | ) |
Exchange-traded and cleared derivatives | | | | | | | | | | | | | | | — | |
| | | | | | | | | | | | | | |
|
|
|
Net Amount | | | | | | | | | | | | | | $ | 48,098 | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A151
| | | | | | |
| | | SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2013
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $84,216,199: | | | | |
Unaffiliated investments (cost $440,978,838) | | $ | 758,199,371 | |
Affiliated investments (cost $96,607,968) | | | 96,607,968 | |
Receivable for investments sold | | | 2,137,236 | |
Dividends and interest receivable | | | 1,000,497 | |
Receivable for Series shares sold | | | 77,616 | |
Due from broker—variation margin | | | 48,098 | |
Prepaid expenses | | | 6,187 | |
| | |
|
|
|
Total Assets | | | 858,076,973 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 86,264,795 | |
Payable for investments purchased | | | 1,268,878 | |
Management fee payable | | | 224,136 | |
Accrued expenses and other liabilities | | | 136,631 | |
Payable for Series shares repurchased | | | 85,482 | |
Affiliated transfer agent fee payable | | | 926 | |
| | |
|
|
|
Total Liabilities | | | 87,980,848 | |
| | |
|
|
|
| NET ASSETS | | $ | 770,096,125 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | | 379,571,025 | |
Retained earnings | | | 390,525,100 | |
| | |
|
|
|
Net assets, December 31, 2013 | | $ | 770,096,125 | |
| | |
|
|
|
Net asset value and redemption price per share, $770,096,125 / 29,442,796 outstanding shares of beneficial interest | | $ | 26.16 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2013
| | | | |
| INCOME | | | | |
Unaffiliated dividend income | | $ | 8,164,517 | |
Affiliated income from securities loaned, net | | | 919,371 | |
Affiliated dividend income | | | 13,601 | |
| | |
|
|
|
| | | | 9,097,489 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 2,705,633 | |
Shareholders’ reports | | | 132,000 | |
Custodian’s fees and expenses | | | 75,000 | |
Audit fee | | | 20,000 | |
Trustees’ fees | | | 17,000 | |
Legal fees and expenses | | | 12,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4) | | | 12,000 | |
Insurance expenses | | | 7,000 | |
Commitment fee on syndicated credit agreement | | | 2,000 | |
Miscellaneous | | | 58,148 | |
| | |
|
|
|
Total expenses | | | 3,040,781 | |
Less: Management fee waiver (Note 3) | | | (181,731 | ) |
| | |
|
|
|
Net expenses | | | 2,859,050 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 6,238,439 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | |
Net realized gain on: | | | | |
Investment transactions | | | 50,777,331 | |
Futures transactions | | | 2,945,709 | |
| | |
|
|
|
| | | | 53,723,040 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments | | | 170,884,997 | |
Futures | | | 288,755 | |
| | |
|
|
|
| | | | 171,173,752 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS | | | 224,896,792 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 231,135,231 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 6,238,439 | | | $ | 8,119,306 | |
Net realized gain on investments | | | 53,723,040 | | | | 13,472,019 | |
Net change in unrealized appreciation (depreciation) on investments | | | 171,173,752 | | | | 62,063,712 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 231,135,231 | | | | 83,655,037 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | — | | | | (32,045,611 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [1,159,772 and 489,166 shares, respectively] | | | 25,996,841 | | | | 8,809,368 | |
Series shares issued in reinvestment of distributions [0 and 1,922,352 shares, respectively] | | | — | | | | 32,045,611 | |
Series shares repurchased [2,883,214 and 3,160,413 shares, respectively] | | | (65,438,115 | ) | | | (56,707,510 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (39,441,274 | ) | | | (15,852,531 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 191,693,957 | | | | 35,756,895 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 578,402,168 | | | | 542,645,273 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 770,096,125 | | | $ | 578,402,168 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A152
| | | | | | |
| | | STOCK INDEX PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 97.6% | | | | |
| COMMON STOCKS | | Shares
| | | Value
(Note 2)
| |
Aerospace & Defense — 2.7% | | | | | |
Boeing Co. (The) | | | 118,936 | | | $ | 16,233,575 | |
General Dynamics Corp. | | | 56,500 | | | | 5,398,575 | |
Honeywell International, Inc. | | | 134,750 | | | | 12,312,108 | |
L-3 Communications Holdings, Inc. | | | 15,300 | | | | 1,634,958 | |
Lockheed Martin Corp. | | | 46,698 | | | | 6,942,125 | |
Northrop Grumman Corp. | | | 38,926 | | | | 4,461,309 | |
Precision Castparts Corp. | | | 25,100 | | | | 6,759,430 | |
Raytheon Co. | | | 54,718 | | | | 4,962,923 | |
Rockwell Collins, Inc. | | | 23,300 | | | | 1,722,336 | |
Textron, Inc. | | | 44,900 | | | | 1,650,524 | |
United Technologies Corp. | | | 144,900 | | | | 16,489,620 | |
| | | | | | |
|
|
|
| | | | | | | | 78,567,483 | |
| | | | | | |
|
|
|
Air Freight & Logistics — 0.8% | | | | | |
C.H. Robinson Worldwide, Inc. | | | 26,100 | | | | 1,522,674 | |
Expeditors International of Washington, Inc. | | | 35,600 | | | | 1,575,300 | |
FedEx Corp. | | | 51,540 | | | | 7,409,906 | |
United Parcel Service, Inc. (Class B Stock) | | | 124,400 | | | | 13,071,952 | |
| | | | | | |
|
|
|
| | | | | | | | 23,579,832 | |
| | | | | | |
|
|
|
Airlines — 0.2% | | | | | |
Delta Air Lines, Inc. | | | 137,500 | | | | 3,777,125 | |
Southwest Airlines Co. | | | 123,437 | | | | 2,325,553 | |
| | | | | | |
|
|
|
| | | | | | | | 6,102,678 | |
| | | | | | |
|
|
|
Auto Components — 0.4% | | | | | |
BorgWarner, Inc. | | | 37,400 | | | | 2,091,034 | |
Delphi Automotive PLC | | | 48,100 | | | | 2,892,253 | |
Goodyear Tire & Rubber Co. (The) | | | 38,600 | | | | 920,610 | |
Johnson Controls, Inc. | | | 120,000 | | | | 6,156,000 | |
| | | | | | |
|
|
|
| | | | | | | | 12,059,897 | |
| | | | | | |
|
|
|
Automobiles — 0.7% | | | | | | | | |
Ford Motor Co. | | | 686,559 | | | | 10,593,605 | |
General Motors Co.* | | | 181,600 | | | | 7,421,992 | |
Harley-Davidson, Inc. | | | 36,000 | | | | 2,492,640 | |
| | | | | | |
|
|
|
| | | | | | | | 20,508,237 | |
| | | | | | |
|
|
|
Beverages — 2.1% | | | | | |
Beam, Inc. | | | 24,900 | | | | 1,694,694 | |
Brown-Forman Corp. (Class B Stock) | | | 26,350 | | | | 1,991,270 | |
Coca-Cola Co. (The) | | | 649,250 | | | | 26,820,518 | |
Coca-Cola Enterprises, Inc. | | | 43,800 | | | | 1,932,894 | |
Constellation Brands, Inc.
(Class A Stock)* | | | 26,900 | | | | 1,893,222 | |
Dr. Pepper Snapple Group, Inc. | | | 36,800 | | | | 1,792,896 | |
Molson Coors Brewing Co.
(Class B Stock) | | | 27,500 | | | | 1,544,125 | |
Monster Beverage Corp.* | | | 23,600 | | | | 1,599,372 | |
PepsiCo, Inc. | | | 265,214 | | | | 21,996,849 | |
| | | | | | |
|
|
|
| | | | | | | | 61,265,840 | |
| | | | | | |
|
|
|
Biotechnology — 2.4% | | | | | |
Alexion Pharmaceuticals, Inc.* | | | 33,900 | | | | 4,510,734 | |
Amgen, Inc. | | | 129,794 | | | | 14,817,283 | |
Biogen Idec, Inc.* | | | 41,125 | | | | 11,504,719 | |
Celgene Corp.* | | | 71,000 | | | | 11,996,160 | |
Gilead Sciences, Inc.* | | | 263,600 | | | | 19,809,540 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Biotechnology (continued) | | | | | |
Regeneron Pharmaceuticals, Inc.*(a) | | | 12,900 | | | $ | 3,550,596 | |
Vertex Pharmaceuticals, Inc.* | | | 37,100 | | | | 2,756,530 | |
| | | | | | |
|
|
|
| | | | | | | | 68,945,562 | |
| | | | | | |
|
|
|
Building Products — 0.1% | | | | | |
Allegion PLC* | | | 15,433 | | | | 681,999 | |
Masco Corp. | | | 54,800 | | | | 1,247,796 | |
| | | | | | |
|
|
|
| | | | | | | | 1,929,795 | |
| | | | | | |
|
|
|
Capital Markets — 2.2% | | | | | |
Ameriprise Financial, Inc. | | | 33,400 | | | | 3,842,670 | |
Bank of New York Mellon Corp. (The) | | | 197,889 | | | | 6,914,242 | |
BlackRock, Inc. | | | 22,000 | | | | 6,962,340 | |
Charles Schwab Corp. (The) | | | 192,300 | | | | 4,999,800 | |
E*TRADE Financial Corp.* | | | 38,710 | | | | 760,264 | |
Franklin Resources, Inc. | | | 71,300 | | | | 4,116,149 | |
Goldman Sachs Group, Inc. (The) | | | 71,700 | | | | 12,709,542 | |
Invesco Ltd. | | | 79,300 | | | | 2,886,520 | |
Legg Mason, Inc.(a) | | | 19,800 | | | | 860,904 | |
Morgan Stanley | | | 240,010 | | | | 7,526,714 | |
Northern Trust Corp. | | | 38,600 | | | | 2,388,954 | |
State Street Corp. | | | 75,325 | | | | 5,528,102 | |
T. Rowe Price Group, Inc. | | | 44,200 | | | | 3,702,634 | |
| | | | | | |
|
|
|
| | | | | | | | 63,198,835 | |
| | | | | | |
|
|
|
Chemicals — 2.5% | | | | | |
Air Products & Chemicals, Inc. | | | 36,300 | | | | 4,057,614 | |
Airgas, Inc. | | | 10,300 | | | | 1,152,055 | |
CF Industries Holdings, Inc. | | | 10,000 | | | | 2,330,400 | |
Dow Chemical Co. (The) | | | 205,211 | | | | 9,111,368 | |
E.I. du Pont de Nemours & Co. | | | 159,191 | | | | 10,342,639 | |
Eastman Chemical Co. | | | 27,100 | | | | 2,186,970 | |
Ecolab, Inc. | | | 44,600 | | | | 4,650,442 | |
FMC Corp. | | | 21,200 | | | | 1,599,752 | |
International Flavors & Fragrances, Inc. | | | 15,300 | | | | 1,315,494 | |
LyondellBasell Industries NV
(Class A Stock) | | | 75,200 | | | | 6,037,056 | |
Monsanto Co. | | | 90,896 | | | | 10,593,929 | |
Mosaic Co. (The) | | | 52,500 | | | | 2,481,675 | |
PPG Industries, Inc. | | | 24,700 | | | | 4,684,602 | |
Praxair, Inc. | | | 50,900 | | | | 6,618,527 | |
Sherwin-Williams Co. (The) | | | 14,800 | | | | 2,715,800 | |
Sigma-Aldrich Corp. | | | 20,700 | | | | 1,946,007 | |
| | | | | | |
|
|
|
| | | | | | | | 71,824,330 | |
| | | | | | |
|
|
|
Commercial Banks — 2.7% | | | | | |
BB&T Corp. | | | 121,500 | | | | 4,534,380 | |
Comerica, Inc. | | | 29,650 | | | | 1,409,561 | |
Fifth Third Bancorp | | | 153,949 | | | | 3,237,547 | |
Huntington Bancshares, Inc. | | | 144,675 | | | | 1,396,114 | |
KeyCorp | | | 159,900 | | | | 2,145,858 | |
M&T Bank Corp. | | | 21,600 | | | | 2,514,672 | |
PNC Financial Services Group, Inc. | | | 90,293 | | | | 7,004,931 | |
Regions Financial Corp. | | | 249,312 | | | | 2,465,696 | |
SunTrust Banks, Inc. | | | 94,600 | | | | 3,482,226 | |
US Bancorp | | | 315,181 | | | | 12,733,312 | |
Wells Fargo & Co. | | | 820,736 | | | | 37,261,414 | |
Zions Bancorporation(a) | | | 30,000 | | | | 898,800 | |
| | | | | | |
|
|
|
| | | | | | | | 79,084,511 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A153
| | | | | | |
| | | STOCK INDEX PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Commercial Services & Supplies — 0.5% | | | | | |
ADT Corp. (The)(a) | | | 33,700 | | | $ | 1,363,839 | |
Cintas Corp.(a) | | | 17,200 | | | | 1,024,948 | |
Iron Mountain, Inc. | | | 31,817 | | | | 965,646 | |
Pitney Bowes, Inc.(a) | | | 34,700 | | | | 808,510 | |
Republic Services, Inc. | | | 42,635 | | | | 1,415,482 | |
Stericycle, Inc.* | | | 13,900 | | | | 1,614,763 | |
Tyco International Ltd. | | | 81,800 | | | | 3,357,072 | |
Waste Management, Inc. | | | 75,830 | | | | 3,402,492 | |
| | | | | | |
|
|
|
| | | | | | | | 13,952,752 | |
| | | | | | |
|
|
|
Communications Equipment — 1.7% | | | | | |
Cisco Systems, Inc. | | | 916,475 | | | | 20,574,864 | |
F5 Networks, Inc.*(a) | | | 14,500 | | | | 1,317,470 | |
Harris Corp. | | | 19,500 | | | | 1,361,295 | |
Juniper Networks, Inc.* | | | 89,600 | | | | 2,022,272 | |
Motorola Solutions, Inc. | | | 36,327 | | | | 2,452,073 | |
QUALCOMM, Inc. | | | 290,550 | | | | 21,573,338 | |
| | | | | | |
|
|
|
| | | | | | | | 49,301,312 | |
| | | | | | |
|
|
|
Computers & Peripherals — 4.0% | | | | | |
Apple, Inc. | | | 154,015 | | | | 86,419,357 | |
EMC Corp. | | | 356,374 | | | | 8,962,806 | |
Hewlett-Packard Co. | | | 324,866 | | | | 9,089,751 | |
NetApp, Inc. | | | 59,900 | | | | 2,464,286 | |
SanDisk Corp.(a) | | | 39,700 | | | | 2,800,438 | |
Seagate Technology PLC | | | 54,800 | | | | 3,077,568 | |
Western Digital Corp. | | | 33,900 | | | | 2,844,210 | |
| | | | | | |
|
|
|
| | | | | | | | 115,658,416 | |
| | | | | | |
|
|
|
Construction & Engineering — 0.2% | | | | | |
Fluor Corp. | | | 28,200 | | | | 2,264,178 | |
Jacobs Engineering Group, Inc.* | | | 22,200 | | | | 1,398,378 | |
Quanta Services, Inc.* | | | 33,000 | | | | 1,041,480 | |
| | | | | | |
|
|
|
| | | | | | | | 4,704,036 | |
| | | | | | |
|
|
|
Construction Materials | | | | | |
Vulcan Materials Co. | | | 22,300 | | | | 1,325,066 | |
| | | | | | |
|
|
|
Consumer Finance — 1.0% | | | | | |
American Express Co. | | | 157,300 | | | | 14,271,829 | |
Capital One Financial Corp. | | | 100,269 | | | | 7,681,608 | |
Discover Financial Services | | | 83,505 | | | | 4,672,105 | |
SLM Corp. | | | 77,000 | | �� | | 2,023,560 | |
| | | | | | |
|
|
|
| | | | | | | | 28,649,102 | |
| | | | | | |
|
|
|
Containers & Packaging — 0.2% | | | | | |
Avery Dennison Corp. | | | 16,900 | | | | 848,211 | |
Ball Corp. | | | 24,300 | | | | 1,255,338 | |
Bemis Co., Inc. | | | 17,900 | | | | 733,184 | |
MeadWestvaco Corp. | | | 31,689 | | | | 1,170,275 | |
Owens-Illinois, Inc.* | | | 30,400 | | | | 1,087,712 | |
Sealed Air Corp. | | | 31,620 | | | | 1,076,661 | |
| | | | | | |
|
|
|
| | | | | | | | 6,171,381 | |
| | | | | | |
|
|
|
Distributors — 0.1% | | | | | |
Genuine Parts Co. | | | 24,825 | | | | 2,065,192 | |
| | | | | | |
|
|
|
Diversified Consumer Services — 0.1% | | | | | |
Graham Holdings Co.
(Class B Stock) | | | 700 | | | | 464,324 | |
H&R Block, Inc. | | | 47,600 | | | | 1,382,304 | |
| | | | | | |
|
|
|
| | | | | | | | 1,846,628 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Diversified Financial Services — 5.1% | | | | | |
Bank of America Corp. | | | 1,825,182 | | | $ | 28,418,084 | |
Berkshire Hathaway, Inc.
(Class B Stock)* | | | 306,400 | | | | 36,326,784 | |
Citigroup, Inc. | | | 520,022 | | | | 27,098,346 | |
CME Group, Inc. | | | 54,800 | | | | 4,299,608 | |
IntercontinentalExchange, Inc. | | | 19,399 | | | | 4,363,132 | |
JPMorgan Chase & Co. | | | 644,045 | | | | 37,663,752 | |
Leucadia National Corp. | | | 45,200 | | | | 1,280,968 | |
McGraw-Hill Financial, Inc. | | | 47,800 | | | | 3,737,960 | |
Moody’s Corp. | | | 30,020 | | | | 2,355,669 | |
NASDAQ OMX Group, Inc. (The) | | | 20,700 | | | | 823,860 | |
| | | | | | |
|
|
|
| | | | | | | | 146,368,163 | |
| | | | | | |
|
|
|
Diversified Telecommunication Services — 2.1% | | | | | |
AT&T, Inc. | | | 903,211 | | | | 31,756,899 | |
CenturyLink, Inc. | | | 106,485 | | | | 3,391,547 | |
Frontier Communications Corp. | | | 164,916 | | | | 766,859 | |
Verizon Communications, Inc. | | | 491,738 | | | | 24,164,005 | |
Windstream Holdings, Inc.(a) | | | 93,065 | | | | 742,659 | |
| | | | | | |
|
|
|
| | | | | | | | 60,821,969 | |
| | | | | | |
|
|
|
Electric Utilities — 1.6% | | | | | |
American Electric Power Co., Inc. | | | 83,040 | | | | 3,881,290 | |
Duke Energy Corp. | | | 121,548 | | | | 8,388,027 | |
Edison International | | | 58,500 | | | | 2,708,550 | |
Entergy Corp.(a) | | | 31,700 | | | | 2,005,659 | |
Exelon Corp.(a) | | | 149,373 | | | | 4,091,326 | |
FirstEnergy Corp. | | | 74,180 | | | | 2,446,456 | |
NextEra Energy, Inc. | | | 71,175 | | | | 6,094,004 | |
Northeast Utilities | | | 56,600 | | | | 2,399,274 | |
Pepco Holdings, Inc. | | | 35,700 | | | | 682,941 | |
Pinnacle West Capital Corp. | | | 18,500 | | | | 979,020 | |
PPL Corp. | | | 105,100 | | | | 3,162,459 | |
Southern Co. (The) | | | 152,100 | | | | 6,252,831 | |
Xcel Energy, Inc. | | | 86,495 | | | | 2,416,670 | |
| | | | | | |
|
|
|
| | | | | | | | 45,508,507 | |
| | | | | | |
|
|
|
Electrical Equipment — 0.8% | | | | | |
AMETEK, Inc. | | | 36,600 | | | | 1,927,722 | |
Eaton Corp., PLC | | | 79,761 | | | | 6,071,407 | |
Emerson Electric Co. | | | 120,600 | | | | 8,463,708 | |
Rockwell Automation, Inc. | | | 24,400 | | | | 2,883,104 | |
Roper Industries, Inc. | | | 17,100 | | | | 2,371,428 | |
| | | | | | |
|
|
|
| | | | | | | | 21,717,369 | |
| | | | | | |
|
|
|
Electronic Equipment, Instruments & Components — 0.4% | |
Amphenol Corp. (Class A Stock) | | | 27,700 | | | | 2,470,286 | |
Corning, Inc. | | | 247,600 | | | | 4,412,232 | |
FLIR Systems, Inc. | | | 23,500 | | | | 707,350 | |
Jabil Circuit, Inc. | | | 34,100 | | | | 594,704 | |
TE Connectivity Ltd. | | | 70,500 | | | | 3,885,255 | |
| | | | | | |
|
|
|
| | | | | | | | 12,069,827 | |
| | | | | | |
|
|
|
Energy Equipment & Services — 1.8% | | | | | |
Baker Hughes, Inc. | | | 77,948 | | | | 4,307,406 | |
Cameron International Corp.* | | | 40,800 | | | | 2,428,824 | |
Diamond Offshore Drilling, Inc. | | | 12,500 | | | | 711,500 | |
Ensco PLC (Class A Stock) | | | 39,700 | | | | 2,270,046 | |
FMC Technologies, Inc.* | | | 38,300 | | | | 1,999,643 | |
Halliburton Co. | | | 143,700 | | | | 7,292,775 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A154
| | | | | | |
| | | STOCK INDEX PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Energy Equipment & Services (continued) | | | | | |
Helmerich & Payne, Inc. | | | 18,400 | | | $ | 1,547,072 | |
Nabors Industries Ltd. | | | 45,700 | | | | 776,443 | |
National Oilwell Varco, Inc. | | | 74,000 | | | | 5,885,220 | |
Noble Corp. PLC | | | 45,300 | | | | 1,697,391 | |
Rowan Cos. PLC (Class A Stock)* | | | 20,500 | | | | 724,880 | |
Schlumberger Ltd. | | | 225,572 | | | | 20,326,293 | |
Transocean Ltd.(a) | | | 53,400 | | | | 2,639,028 | |
| | | | | | |
|
|
|
| | | | | | | | 52,606,521 | |
| | | | | | |
|
|
|
Food & Staples Retailing — 2.3% | | | | | | | | |
Costco Wholesale Corp. | | | 75,722 | | | | 9,011,675 | |
CVS Caremark Corp. | | | 205,538 | | | | 14,710,355 | |
Kroger Co. (The) | | | 91,000 | | | | 3,597,230 | |
Safeway, Inc. | | | 40,200 | | | | 1,309,314 | |
Sysco Corp. | | | 101,500 | | | | 3,664,150 | |
Wal-Mart Stores, Inc. | | | 276,900 | | | | 21,789,261 | |
Walgreen Co. | | | 149,000 | | | | 8,558,560 | |
Whole Foods Market, Inc. | | | 59,800 | | | | 3,458,234 | |
| | | | | | |
|
|
|
| | | | | | | | 66,098,779 | |
| | | | | | |
|
|
|
Food Products — 1.5% | | | | | |
Archer-Daniels-Midland Co. | | | 115,138 | | | | 4,996,989 | |
Campbell Soup Co.(a) | | | 30,100 | | | | 1,302,728 | |
ConAgra Foods, Inc. | | | 70,300 | | | | 2,369,110 | |
General Mills, Inc. | | | 109,400 | | | | 5,460,154 | |
Hershey Co. (The) | | | 25,700 | | | | 2,498,811 | |
Hormel Foods Corp. | | | 23,600 | | | | 1,066,012 | |
J.M. Smucker Co. (The) | | | 18,200 | | | | 1,885,884 | |
Kellogg Co. | | | 42,900 | | | | 2,619,903 | |
Kraft Foods Group, Inc. | | | 102,037 | | | | 5,501,835 | |
McCormick & Co., Inc. | | | 23,100 | | | | 1,592,052 | |
Mead Johnson Nutrition Co. | | | 34,993 | | | | 2,931,014 | |
Mondelez International, Inc.
(Class A Stock) | | | 302,811 | | | | 10,689,228 | |
Tyson Foods, Inc. (Class A Stock) | | | 50,100 | | | | 1,676,346 | |
| | | | | | |
|
|
|
| | | | | | | | 44,590,066 | |
| | | | | | |
|
|
|
Gas Utilities — 0.1% | | | | | |
AGL Resources, Inc. | | | 19,837 | | | | 936,902 | |
ONEOK, Inc. | | | 36,240 | | | | 2,253,403 | |
| | | | | | |
|
|
|
| | | | | | | | 3,190,305 | |
| | | | | | |
|
|
|
Health Care Equipment & Supplies — 2.0% | | | | | |
Abbott Laboratories | | | 266,350 | | | | 10,209,196 | |
Baxter International, Inc. | | | 93,200 | | | | 6,482,060 | |
Becton Dickinson and Co. | | | 33,800 | | | | 3,734,562 | |
Boston Scientific Corp.* | | | 225,299 | | | | 2,708,094 | |
C.R. Bard, Inc. | | | 13,000 | | | | 1,741,220 | |
CareFusion Corp.* | | | 35,837 | | | | 1,427,029 | |
Covidien PLC | | | 79,000 | | | | 5,379,900 | |
DENTSPLY International, Inc. | | | 22,500 | | | | 1,090,800 | |
Edwards Lifesciences Corp.* | | | 20,200 | | | | 1,328,352 | |
Intuitive Surgical, Inc.* | | | 6,550 | | | | 2,515,724 | |
Medtronic, Inc. | | | 172,800 | | | | 9,916,992 | |
St. Jude Medical, Inc. | | | 50,300 | | | | 3,116,085 | |
Stryker Corp. | | | 49,600 | | | | 3,726,944 | |
Varian Medical Systems, Inc.* | | | 19,300 | | | | 1,499,417 | |
Zimmer Holdings, Inc. | | | 29,486 | | | | 2,747,800 | |
| | | | | | |
|
|
|
| | | | | | | | 57,624,175 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Health Care Providers & Services — 2.0% | | | | | |
Aetna, Inc. | | | 62,257 | | | $ | 4,270,208 | |
AmerisourceBergen Corp. | | | 39,900 | | | | 2,805,369 | |
Cardinal Health, Inc. | | | 58,975 | | | | 3,940,120 | |
CIGNA Corp. | | | 48,400 | | | | 4,234,032 | |
DaVita HealthCare Partners, Inc.* | | | 30,600 | | | | 1,939,122 | |
Express Scripts Holding Co.* | | | 137,826 | | | | 9,680,898 | |
Humana, Inc. | | | 26,300 | | | | 2,714,686 | |
Laboratory Corp. of America Holdings*(a) | | | 15,500 | | | | 1,416,235 | |
McKesson Corp. | | | 38,807 | | | | 6,263,450 | |
Patterson Cos., Inc. | | | 15,900 | | | | 655,080 | |
Quest Diagnostics, Inc.(a) | | | 26,300 | | | | 1,408,102 | |
Tenet Healthcare Corp.*(a) | | | 17,800 | | | | 749,736 | |
UnitedHealth Group, Inc. | | | 171,500 | | | | 12,913,950 | |
WellPoint, Inc. | | | 51,500 | | | | 4,758,085 | |
| | | | | | |
|
|
|
| | | | | | | | 57,749,073 | |
| | | | | | |
|
|
|
Health Care Technology — 0.1% | | | | | |
Cerner Corp.* | | | 49,800 | | | | 2,775,852 | |
| | | | | | |
|
|
|
Hotels, Restaurants & Leisure — 1.7% | | | | | |
Carnival Corp. | | | 76,100 | | | | 3,056,937 | |
Chipotle Mexican Grill, Inc.* | | | 5,300 | | | | 2,823,734 | |
Darden Restaurants, Inc.(a) | | | 23,350 | | | | 1,269,540 | |
International Game Technology | | | 50,300 | | | | 913,448 | |
Marriott International, Inc.
(Class A Stock) | | | 39,303 | | | | 1,939,996 | |
McDonald’s Corp. | | | 171,000 | | | | 16,592,130 | |
Starbucks Corp. | | | 130,000 | | | | 10,190,700 | |
Starwood Hotels & Resorts Worldwide, Inc. | | | 32,800 | | | | 2,605,960 | |
Wyndham Worldwide Corp. | | | 22,863 | | | | 1,684,774 | |
Wynn Resorts Ltd.(a) | | | 12,500 | | | | 2,427,625 | |
Yum! Brands, Inc. | | | 74,600 | | | | 5,640,506 | |
| | | | | | |
|
|
|
| | | | | | | | 49,145,350 | |
| | | | | | |
|
|
|
Household Durables — 0.4% | | | | | |
D.R. Horton, Inc.*(a) | | | 45,200 | | | | 1,008,864 | |
Garmin Ltd.(a) | | | 16,200 | | | | 748,764 | |
Harman International Industries, Inc. | | | 13,200 | | | | 1,080,420 | |
Leggett & Platt, Inc.(a) | | | 26,200 | | | | 810,628 | |
Lennar Corp. (Class A Stock)(a) | | | 24,300 | | | | 961,308 | |
Mohawk Industries, Inc.* | | | 6,900 | | | | 1,027,410 | |
Newell Rubbermaid, Inc. | | | 51,249 | | | | 1,660,980 | |
PulteGroup, Inc. | | | 53,685 | | | | 1,093,563 | |
Whirlpool Corp. | | | 13,907 | | | | 2,181,452 | |
| | | | | | |
|
|
|
| | | | | | | | 10,573,389 | |
| | | | | | |
|
|
|
Household Products — 2.0% | | | | | |
Clorox Co. (The)(a) | | | 22,500 | | | | 2,087,100 | |
Colgate-Palmolive Co. | | | 151,100 | | | | 9,853,231 | |
Kimberly-Clark Corp. | | | 66,488 | | | | 6,945,336 | |
Procter & Gamble Co. (The) | | | 465,606 | | | | 37,904,984 | |
| | | | | | |
|
|
|
| | | | | | | | 56,790,651 | |
| | | | | | |
|
|
|
Independent Power Producers & Energy Traders — 0.1% | |
AES Corp. | | | 111,800 | | | | 1,622,218 | |
NRG Energy, Inc. | | | 49,500 | | | | 1,421,640 | |
| | | | | | |
|
|
|
| | | | | | | | 3,043,858 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A155
| | | | | | |
| | | STOCK INDEX PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Industrial Conglomerates — 2.5% | | | | | |
3M Co. | | | 109,700 | | | $ | 15,385,425 | |
Danaher Corp. | | | 102,200 | | | | 7,889,840 | |
General Electric Co. | | | 1,729,775 | | | | 48,485,593 | |
| | | | | | |
|
|
|
| | | | | | | | 71,760,858 | |
| | | | | | |
|
|
|
Insurance — 2.9% | | | | | |
ACE Ltd. | | | 62,100 | | | | 6,429,213 | |
Aflac, Inc. | | | 85,000 | | | | 5,678,000 | |
Allstate Corp. (The) | | | 82,788 | | | | 4,515,258 | |
American International Group, Inc. | | | 258,429 | | | | 13,192,800 | |
Aon PLC | | | 54,525 | | | | 4,574,102 | |
Assurant, Inc. | | | 19,400 | | | | 1,287,578 | |
Chubb Corp. (The) | | | 46,100 | | | | 4,454,643 | |
Cincinnati Financial Corp.(a) | | | 30,128 | | | | 1,577,803 | |
Genworth Financial, Inc.
(Class A Stock)* | | | 103,200 | | | | 1,602,696 | |
Hartford Financial Services Group, Inc. (The) | | | 80,100 | | | | 2,902,023 | |
Lincoln National Corp. | | | 54,363 | | | | 2,806,218 | |
Loews Corp. | | | 58,826 | | | | 2,837,766 | |
Marsh & McLennan Cos., Inc. | | | 103,400 | | | | 5,000,424 | |
MetLife, Inc. | | | 193,400 | | | | 10,428,128 | |
Principal Financial Group, Inc. | | | 52,700 | | | | 2,598,637 | |
Progressive Corp. (The) | | | 109,000 | | | | 2,972,430 | |
Torchmark Corp. | | | 20,750 | | | | 1,621,613 | |
Travelers Cos., Inc. (The) | | | 67,498 | | | | 6,111,269 | |
Unum Group | | | 54,956 | | | | 1,927,856 | |
XL Group PLC | | | 59,500 | | | | 1,894,480 | |
| | | | | | |
|
|
|
| | | | | | | | 84,412,937 | |
| | | | | | |
|
|
|
Internet & Catalog Retail — 1.4% | | | | | |
Amazon.com, Inc.* | | | 63,200 | | | | 25,203,528 | |
Expedia, Inc. | | | 16,700 | | | | 1,163,322 | |
Netflix, Inc.* | | | 9,400 | | | | 3,460,798 | |
priceline.com, Inc.* | | | 8,800 | | | | 10,229,120 | |
TripAdvisor, Inc.*(a) | | | 15,700 | | | | 1,300,431 | |
| | | | | | |
|
|
|
| | | | | | | | 41,357,199 | |
| | | | | | |
|
|
|
Internet Software & Services — 3.1% | | | | | |
Akamai Technologies, Inc.* | | | 30,400 | | | | 1,434,272 | |
eBay, Inc.* | | | 200,100 | | | | 10,983,489 | |
Facebook, Inc. (Class A Stock)* | | | 271,200 | | | | 14,823,792 | |
Google, Inc. (Class A Stock)* | | | 48,035 | | | | 53,833,305 | |
VeriSign, Inc.*(a) | | | 22,700 | | | | 1,357,006 | |
Yahoo!, Inc.* | | | 163,900 | | | | 6,628,116 | |
| | | | | | |
|
|
|
| | | | | | | | 89,059,980 | |
| | | | | | |
|
|
|
IT Services — 3.5% | | | | | |
Accenture PLC (Class A Stock) | | | 108,500 | | | | 8,920,870 | |
Alliance Data Systems Corp.*(a) | | | 6,100 | | | | 1,603,873 | |
Automatic Data Processing, Inc. | | | 80,700 | | | | 6,521,367 | |
Cognizant Technology Solutions Corp. (Class A Stock)* | | | 51,800 | | | | 5,230,764 | |
Computer Sciences Corp. | | | 26,300 | | | | 1,469,644 | |
Fidelity National Information
Services, Inc. | | | 47,100 | | | | 2,528,328 | |
Fiserv, Inc.* | | | 43,600 | | | | 2,574,580 | |
International Business Machines Corp. | | | 174,525 | | | | 32,735,654 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
IT Services (continued) | | | | | |
MasterCard, Inc. (Class A Stock) | | | 17,700 | | | $ | 14,787,642 | |
Paychex, Inc. | | | 54,850 | | | | 2,497,321 | |
Teradata Corp.*(a) | | | 29,600 | | | | 1,346,504 | |
Total System Services, Inc. | | | 29,993 | | | | 998,167 | |
Visa, Inc. (Class A Stock) | | | 86,300 | | | | 19,217,284 | |
Western Union Co. (The) | | | 99,104 | | | | 1,709,544 | |
| | | | | | |
|
|
|
| | | | | | | | 102,141,542 | |
| | | | | | |
|
|
|
Leisure Equipment & Products — 0.1% | | | | | |
Hasbro, Inc.(a) | | | 19,050 | | | | 1,047,941 | |
Mattel, Inc. | | | 57,681 | | | | 2,744,462 | |
| | | | | | |
|
|
|
| | | | | | | | 3,792,403 | |
| | | | | | |
|
|
|
Life Sciences Tools & Services — 0.5% | | | | | |
Agilent Technologies, Inc. | | | 56,482 | | | | 3,230,206 | |
Life Technologies Corp.* | | | 30,630 | | | | 2,321,754 | |
PerkinElmer, Inc. | | | 20,000 | | | | 824,600 | |
Thermo Fisher Scientific, Inc.(a) | | | 63,600 | | | | 7,081,860 | |
Waters Corp.* | | | 14,500 | | | | 1,450,000 | |
| | | | | | |
|
|
|
| | | | | | | | 14,908,420 | |
| | | | | | |
|
|
|
Machinery — 1.7% | | | | | |
Caterpillar, Inc. | | | 107,800 | | | | 9,789,318 | |
Cummins, Inc. | | | 30,500 | | | | 4,299,585 | |
Deere & Co. | | | 64,450 | | | | 5,886,219 | |
Dover Corp. | | | 30,500 | | | | 2,944,470 | |
Flowserve Corp. | | | 25,200 | | | | 1,986,516 | |
Illinois Tool Works, Inc. | | | 69,475 | | | | 5,841,458 | |
Ingersoll-Rand PLC | | | 46,300 | | | | 2,852,080 | |
Joy Global, Inc.(a) | | | 16,600 | | | | 970,934 | |
PACCAR, Inc. | | | 61,128 | | | | 3,616,944 | |
Pall Corp. | | | 20,100 | | | | 1,715,535 | |
Parker Hannifin Corp. | | | 26,087 | | | | 3,355,832 | |
Pentair Ltd. | | | 34,107 | | | | 2,649,091 | |
Snap-on, Inc. | | | 11,000 | | | | 1,204,720 | |
Stanley Black & Decker, Inc. | | | 26,835 | | | | 2,165,316 | |
Xylem, Inc. | | | 27,600 | | | | 954,960 | |
| | | | | | |
|
|
|
| | | | | | | | 50,232,978 | |
| | | | | | |
|
|
|
Media — 3.6% | | | | | |
Cablevision Systems Corp.
(Class A Stock)(a) | | | 33,800 | | | | 606,034 | |
CBS Corp. (Class B Stock) | | | 93,468 | | | | 5,957,650 | |
Comcast Corp. (Class A Stock) | | | 449,946 | | | | 23,381,444 | |
DIRECTV* | | | 86,325 | | | | 5,964,194 | |
Discovery Communications, Inc. (Class A Stock)*(a) | | | 37,100 | | | | 3,354,582 | |
Gannett Co., Inc. | | | 39,200 | | | | 1,159,536 | |
Interpublic Group of Cos., Inc. (The) | | | 76,362 | | | | 1,351,607 | |
News Corp. (Class A Stock)* | | | 88,125 | | | | 1,588,013 | |
Omnicom Group, Inc. | | | 45,300 | | | | 3,368,961 | |
Scripps Networks Interactive, Inc. (Class A Stock) | | | 15,600 | | | | 1,347,996 | |
Time Warner Cable, Inc. | | | 49,326 | | | | 6,683,673 | |
Time Warner, Inc. | | | 157,315 | | | | 10,968,002 | |
Twenty-First Century Fox, Inc.
(Class A Stock) | | | 337,900 | | | | 11,887,322 | |
Viacom, Inc. (Class B Stock) | | | 70,743 | | | | 6,178,694 | |
Walt Disney Co. (The) | | | 280,576 | | | | 21,436,006 | |
| | | | | | |
|
|
|
| | | | | | | | 105,233,714 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A156
| | | | | | |
| | | STOCK INDEX PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Metals & Mining — 0.5% | | | | | |
Alcoa, Inc.(a) | | | 182,276 | | | $ | 1,937,594 | |
Allegheny Technologies, Inc. | | | 15,440 | | | | 550,127 | |
Cliffs Natural Resources, Inc.(a) | | | 26,000 | | | | 681,460 | |
Freeport-McMoRan Copper & Gold, Inc. | | | 177,412 | | | | 6,695,529 | |
Newmont Mining Corp. | | | 89,403 | | | | 2,058,951 | |
Nucor Corp. | | | 56,300 | | | | 3,005,294 | |
United States Steel Corp.(a) | | | 19,740 | | | | 582,330 | |
| | | | | | |
|
|
|
| | | | | | | | 15,511,285 | |
| | | | | | |
|
|
|
Multiline Retail — 0.7% | | | | | |
Dollar General Corp.* | | | 48,700 | | | | 2,937,584 | |
Dollar Tree, Inc.*(a) | | | 37,100 | | | | 2,093,182 | |
Family Dollar Stores, Inc. | | | 16,400 | | | | 1,065,508 | |
Kohl’s Corp. | | | 35,900 | | | | 2,037,325 | |
Macy’s, Inc. | | | 64,520 | | | | 3,445,368 | |
Nordstrom, Inc. | | | 24,300 | | | | 1,501,740 | |
Target Corp. | | | 108,468 | | | | 6,862,770 | |
| | | | | | |
|
|
|
| | | | | | | | 19,943,477 | |
| | | | | | |
|
|
|
Multi-Utilities — 1.1% | | | | | |
Ameren Corp. | | | 42,000 | | | | 1,518,720 | |
CenterPoint Energy, Inc. | | | 73,110 | | | | 1,694,690 | |
CMS Energy Corp. | | | 45,800 | | | | 1,226,066 | |
Consolidated Edison, Inc. | | | 52,400 | | | | 2,896,672 | |
Dominion Resources, Inc. | | | 99,184 | | | | 6,416,213 | |
DTE Energy Co. | | | 29,600 | | | | 1,965,144 | |
Integrys Energy Group, Inc. | | | 12,050 | | | | 655,641 | |
NiSource, Inc. | | | 49,600 | | | | 1,630,848 | |
PG&E Corp. | | | 76,900 | | | | 3,097,532 | |
Public Service Enterprise Group, Inc. | | | 89,200 | | | | 2,857,968 | |
SCANA Corp. | | | 22,200 | | | | 1,041,846 | |
Sempra Energy | | | 39,654 | | | | 3,559,343 | |
TECO Energy, Inc.(a) | | | 34,200 | | | | 589,608 | |
Wisconsin Energy Corp.(a) | | | 39,600 | | | | 1,637,064 | |
| | | | | | |
|
|
|
| | | | | | | | 30,787,355 | |
| | | | | | |
|
|
|
Office Electronics — 0.1% | | | | | |
Xerox Corp. | | | 206,511 | | | | 2,513,239 | |
| | | | | | |
|
|
|
Oil, Gas & Consumable Fuels — 8.2% | | | | | |
Anadarko Petroleum Corp. | | | 86,426 | | | | 6,855,310 | |
Apache Corp. | | | 69,250 | | | | 5,951,345 | |
Cabot Oil & Gas Corp. | | | 73,600 | | | | 2,852,736 | |
Chesapeake Energy Corp.(a) | | | 89,400 | | | | 2,426,316 | |
Chevron Corp. | | | 328,642 | | | | 41,050,672 | |
ConocoPhillips | | | 209,229 | | | | 14,782,029 | |
CONSOL Energy, Inc.(a) | | | 35,600 | | | | 1,354,224 | |
Denbury Resources, Inc.* | | | 66,900 | | | | 1,099,167 | |
Devon Energy Corp. | | | 66,700 | | | | 4,126,729 | |
EOG Resources, Inc. | | | 47,200 | | | | 7,922,048 | |
EQT Corp. | | | 26,400 | | | | 2,370,192 | |
Exxon Mobil Corp. | | | 746,504 | | | | 75,546,205 | |
Hess Corp. | | | 47,875 | | | | 3,973,625 | |
Kinder Morgan, Inc. | | | 109,943 | | | | 3,957,948 | |
Marathon Oil Corp. | | | 122,594 | | | | 4,327,568 | |
Marathon Petroleum Corp. | | | 51,647 | | | | 4,737,579 | |
Murphy Oil Corp. | | | 30,800 | | | | 1,998,304 | |
Newfield Exploration Co.* | | | 23,700 | | | | 583,731 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Oil, Gas & Consumable Fuels (continued) | | | | | |
Noble Energy, Inc. | | | 62,800 | | | $ | 4,277,308 | |
Occidental Petroleum Corp. | | | 137,400 | | | | 13,066,740 | |
Peabody Energy Corp. | | | 47,100 | | | | 919,863 | |
Phillips 66 | | | 104,164 | | | | 8,034,169 | |
Pioneer Natural Resources Co. | | | 22,400 | | | | 4,123,168 | |
QEP Resources, Inc. | | | 28,200 | | | | 864,330 | |
Range Resources Corp. | | | 27,900 | | | | 2,352,249 | |
Southwestern Energy Co.* | | | 62,500 | | | | 2,458,125 | |
Spectra Energy Corp. | | | 116,742 | | | | 4,158,350 | |
Tesoro Corp. | | | 24,100 | | | | 1,409,850 | |
Valero Energy Corp. | | | 91,600 | | | | 4,616,640 | |
Williams Cos., Inc. (The) | | | 116,500 | | | | 4,493,405 | |
WPX Energy, Inc.*(a) | | | 36,133 | | | | 736,397 | |
| | | | | | |
|
|
|
| | | | | | | | 237,426,322 | |
| | | | | | |
|
|
|
Paper & Forest Products — 0.1% | | | | | |
International Paper Co. | | | 75,567 | | | | 3,705,050 | |
| | | | | | |
|
|
|
Personal Products — 0.1% | | | | | |
Avon Products, Inc. | | | 76,700 | | | | 1,320,774 | |
Estee Lauder Cos., Inc. (The) (Class A Stock) | | | 40,500 | | | | 3,050,460 | |
| | | | | | |
|
|
|
| | | | | | | | 4,371,234 | |
| | | | | | |
|
|
|
Pharmaceuticals — 5.7% | | | | | |
AbbVie, Inc. | | | 274,500 | | | | 14,496,345 | |
Actavis, Inc.* | | | 28,400 | | | | 4,771,200 | |
Allergan, Inc. | | | 49,650 | | | | 5,515,122 | |
Bristol-Myers Squibb Co. | | | 285,140 | | | | 15,155,191 | |
Eli Lilly & Co. | | | 171,300 | | | | 8,736,300 | |
Forest Laboratories, Inc.* | | | 40,900 | | | | 2,455,227 | |
Hospira, Inc.*(a) | | | 28,920 | | | | 1,193,818 | |
Johnson & Johnson | | | 484,996 | | | | 44,420,784 | |
Merck & Co., Inc. | | | 501,504 | | | | 25,100,267 | |
Mylan, Inc.* | | | 68,500 | | | | 2,972,900 | |
Perrigo Co. PLC | | | 19,100 | | | | 2,931,086 | |
Pfizer, Inc. | | | 1,113,623 | | | | 34,110,272 | |
Zoetis, Inc. | | | 79,800 | | | | 2,608,662 | |
| | | | | | |
|
|
|
| | | | | | | | 164,467,174 | |
| | | | | | |
|
|
|
Professional Services — 0.2% | | | | | |
Dun & Bradstreet Corp. (The) | | | 7,200 | | | | 883,800 | |
Equifax, Inc. | | | 21,500 | | | | 1,485,435 | |
Nielsen Holdings NV | | | 36,300 | | | | 1,665,807 | |
Robert Half International, Inc. | | | 23,100 | | | | 969,969 | |
| | | | | | |
|
|
|
| | | | | | | | 5,005,011 | |
| | | | | | |
|
|
|
Real Estate Investment Trusts (REITs) — 1.8% | | | | | |
American Tower Corp. | | | 71,500 | | | | 5,707,130 | |
Apartment Investment & Management Co. (Class A Stock) | | | 24,074 | | | | 623,757 | |
AvalonBay Communities, Inc. | | | 19,418 | | | | 2,295,790 | |
Boston Properties, Inc. | | | 26,200 | | | | 2,629,694 | |
Equity Residential(a) | | | 55,600 | | | | 2,883,972 | |
General Growth Properties, Inc.(a) | | | 81,000 | | | | 1,625,670 | |
HCP, Inc. | | | 78,700 | | | | 2,858,384 | |
Health Care REIT, Inc.(a) | | | 46,300 | | | | 2,480,291 | |
Host Hotels & Resorts, Inc.(a) | | | 123,726 | | | | 2,405,233 | |
Kimco Realty Corp. | | | 76,400 | | | | 1,508,900 | |
Macerich Co. (The) | | | 20,200 | | | | 1,189,578 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A157
| | | | | | |
| | | STOCK INDEX PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Real Estate Investment Trusts (REITs) (continued) | | | | | |
Plum Creek Timber Co., Inc.(a) | | | 25,900 | | | $ | 1,204,609 | |
Prologis, Inc. | | | 82,828 | | | | 3,060,495 | |
Public Storage | | | 25,400 | | | | 3,823,208 | |
Simon Property Group, Inc. | | | 55,001 | | | | 8,368,952 | |
Ventas, Inc. | | | 51,204 | | | | 2,932,965 | |
Vornado Realty Trust | | | 32,157 | | | | 2,855,220 | |
Weyerhaeuser Co. | | | 99,310 | | | | 3,135,217 | |
| | | | | | |
|
|
|
| | | | | | | | 51,589,065 | |
| | | | | | |
|
|
|
Real Estate Management & Development | | | | | |
CBRE Group, Inc. (Class A Stock)* | | | 53,500 | | | | 1,407,050 | |
| | | | | | |
|
|
|
Road & Rail — 0.9% | | | | | |
CSX Corp. | | | 176,672 | | | | 5,082,853 | |
Kansas City Southern | | | 16,800 | | | | 2,080,344 | |
Norfolk Southern Corp. | | | 54,300 | | | | 5,040,669 | |
Ryder System, Inc. | | | 9,100 | | | | 671,398 | |
Union Pacific Corp. | | | 79,250 | | | | 13,314,000 | |
| | | | | | |
|
|
|
| | | | | | | | 26,189,264 | |
| | | | | | |
|
|
|
Semiconductors & Semiconductor Equipment — 2.0% | |
Altera Corp. | | | 52,500 | | | | 1,707,825 | |
Analog Devices, Inc. | | | 52,900 | | | | 2,694,197 | |
Applied Materials, Inc. | | | 213,900 | | | | 3,783,891 | |
Broadcom Corp. (Class A Stock) | | | 86,950 | | | | 2,578,068 | |
First Solar, Inc.*(a) | | | 7,200 | | | | 393,408 | |
Intel Corp. | | | 852,900 | | | | 22,141,284 | |
KLA-Tencor Corp. | | | 28,700 | | | | 1,850,002 | |
Lam Research Corp.* | | | 29,750 | | | | 1,619,888 | |
Linear Technology Corp.(a) | | | 42,300 | | | | 1,926,765 | |
LSI Corp. | | | 93,600 | | | | 1,031,472 | |
Microchip Technology, Inc. | | | 31,900 | | | | 1,427,525 | |
Micron Technology, Inc.* | | | 165,900 | | | | 3,609,984 | |
NVIDIA Corp.(a) | | | 96,450 | | | | 1,545,129 | |
Texas Instruments, Inc. | | | 190,000 | | | | 8,342,900 | |
Xilinx, Inc. | | | 44,000 | | | | 2,020,480 | |
| | | | | | |
|
|
|
| | | | | | | | 56,672,818 | |
| | | | | | |
|
|
|
Software — 3.4% | | | | | |
Adobe Systems, Inc.* | | | 76,875 | | | | 4,603,275 | |
Autodesk, Inc.* | | | 36,900 | | | | 1,857,177 | |
CA, Inc. | | | 56,973 | | | | 1,917,141 | |
Citrix Systems, Inc.* | | | 32,400 | | | | 2,049,300 | |
Electronic Arts, Inc.*(a) | | | 52,800 | | | | 1,211,232 | |
Intuit, Inc.(a) | | | 49,000 | | | | 3,739,680 | |
Microsoft Corp. | | | 1,300,300 | | | | 48,670,229 | |
Oracle Corp. | | | 610,095 | | | | 23,342,235 | |
Red Hat, Inc.* | | | 33,300 | | | | 1,866,132 | |
Salesforce.com, Inc.*(a) | | | 90,000 | | | | 4,967,100 | |
Symantec Corp. | | | 124,211 | | | | 2,928,895 | |
| | | | | | |
|
|
|
| | | | | | | | 97,152,396 | |
| | | | | | |
|
|
|
Specialty Retail — 2.2% | | | | | |
AutoNation, Inc.* | | | 6,089 | | | | 302,562 | |
AutoZone, Inc.*(a) | | | 5,600 | | | | 2,676,464 | |
Bed Bath & Beyond, Inc.*(a) | | | 36,400 | | | | 2,922,920 | |
Best Buy Co., Inc. | | | 48,025 | | | | 1,915,237 | |
CarMax, Inc.*(a) | | | 40,000 | | | | 1,880,800 | |
GameStop Corp. (Class A Stock) | | | 21,800 | | | | 1,073,868 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Specialty Retail (continued) | | | | | |
Gap, Inc. (The) | | | 46,387 | | | $ | 1,812,804 | |
Home Depot, Inc. (The) | | | 241,069 | | | | 19,849,621 | |
L Brands, Inc. | | | 42,496 | | | | 2,628,378 | |
Lowe’s Cos., Inc. | | | 180,325 | | | | 8,935,104 | |
O’Reilly Automotive, Inc.*(a) | | | 17,100 | | | | 2,200,941 | |
PetSmart, Inc.(a) | | | 19,100 | | | | 1,389,525 | |
Ross Stores, Inc. | | | 37,800 | | | | 2,832,354 | |
Staples, Inc. | | | 110,800 | | | | 1,760,612 | |
Tiffany & Co. | | | 19,400 | | | | 1,799,932 | |
TJX Cos., Inc. (The) | | | 122,700 | | | | 7,819,671 | |
Urban Outfitters, Inc.* | | | 19,000 | | | | 704,900 | |
| | | | | | |
|
|
|
| | | | | | | | 62,505,693 | |
| | | | | | |
|
|
|
Textiles, Apparel & Luxury Goods — 0.8% | | | | | |
Coach, Inc. | | | 50,500 | | | | 2,834,565 | |
Fossil Group, Inc.* | | | 8,300 | | | | 995,502 | |
Michael Kors Holdings Ltd.* | | | 27,700 | | | | 2,248,963 | |
NIKE, Inc. (Class B Stock) | | | 129,800 | | | | 10,207,472 | |
PVH Corp. | | | 12,000 | | | | 1,632,240 | |
Ralph Lauren Corp. | | | 11,000 | | | | 1,942,270 | |
VF Corp. | | | 62,144 | | | | 3,874,057 | |
| | | | | | |
|
|
|
| | | | | | | | 23,735,069 | |
| | | | | | |
|
|
|
Thrifts & Mortgage Finance — 0.1% | | | | | |
Hudson City Bancorp, Inc. | | | 86,900 | | | | 819,467 | |
People’s United Financial, Inc. | | | 59,200 | | | | 895,104 | |
| | | | | | |
|
|
|
| | | | | | | | 1,714,571 | |
| | | | | | |
|
|
|
Tobacco — 1.5% | | | | | |
Altria Group, Inc. | | | 344,900 | | | | 13,240,711 | |
Lorillard, Inc. | | | 62,493 | | | | 3,167,145 | |
Philip Morris International, Inc. | | | 273,600 | | | | 23,838,768 | |
Reynolds American, Inc. | | | 53,800 | | | | 2,689,462 | |
| | | | | | |
|
|
|
| | | | | | | | 42,936,086 | |
| | | | | | |
|
|
|
Trading Companies & Distributors — 0.2% | | | | | |
Fastenal Co.(a) | | | 47,600 | | | | 2,261,476 | |
W.W. Grainger, Inc. | | | 10,700 | | | | 2,732,994 | |
| | | | | | |
|
|
|
| | | | | | | | 4,994,470 | |
| | | | | | |
|
|
|
Wireless Telecommunication Services — 0.1% | | | | | |
Crown Castle International Corp.* | | | 52,700 | | | | 3,869,758 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $1,062,854,343) | | | | 2,820,811,157 | |
| | | | | | |
|
|
|
| SHORT-TERM INVESTMENTS — 5.5% | | | | | |
AFFILIATED MONEY MARKET MUTUAL FUND — 5.4% | |
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $156,953,844; includes $94,754,164 of cash collateral for securities on loan) (Note 4)(b)(c) | | | 156,953,844 | | | | 156,953,844 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A158
| | | | | | |
| | | STOCK INDEX PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
SHORT-TERM
INVESTMENTS (continued) | | Principal
Amount
(000)#
| | | Value
(Note 2)
| |
U.S. TREASURY OBLIGATION — 0.1% | | | | | |
U.S. Treasury Bill, 0.057%, 03/20/14
(cost $3,799,534)(d)(e) | | $ | 3,800 | | | $ | 3,799,514 | |
| | | | | | |
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(cost $160,753,378) | | | | 160,753,358 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 103.1%
(cost $1,223,607,721) | | | | 2,981,564,515 | |
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (3.1)% | | | | (91,014,730 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 2,890,549,785 | |
| | | | | | |
|
|
|
The following abbreviation is used in the Portfolio descriptions:
| | |
| REIT | | Real Estate Investment Trust |
| # | Principal amount shown in U.S. dollars unless otherwise stated. |
| * | Non-income producing security. |
| (a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $92,674,777; cash collateral of $94,754,164 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (c) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
| (d) | Rate quoted represents yield-to-maturity as of purchase date. |
| (e) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (f) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Open futures contracts outstanding at December 31, 2013:
| | | | | | | | | | | | | | | | | | |
Number of
Contracts
| | Type
| | Expiration
Date
| | | Value at
Trade Date
| | | Value at
December 31, 2013
| | | Unrealized
Appreciation
| |
| Long Position: | | | | | | | | | | | | | | | | | | |
| 153 | | S&P 500 Index | | | Mar. 2014 | | | $ | 67,743,757 | | | $ | 70,422,075 | | | $ | 2,678,318 | |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| 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, 2013 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 2,820,811,157 | | | $ | — | | | $ | — | |
Affiliated Money Market Mutual Fund | | | 156,953,844 | | | | — | | | | — | |
U.S. Treasury Obligation | | | — | | | | 3,799,514 | | | | — | |
Other Financial Instruments* | | | | | | | | | | | | |
Futures Contract | | | 2,678,318 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 2,980,443,319 | | | $ | 3,799,514 | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
| * | Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards and swaps contracts, which are recorded at the unrealized appreciation/depreciation of the instrument. |
SEE NOTES TO FINANCIAL STATEMENTS.
A159
| | | | | | |
| | | STOCK INDEX PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 was as follows:
| | | | |
Oil, Gas & Consumable Fuels | | | 8.2 | % |
Pharmaceuticals | | | 5.7 | |
Affiliated Money Market Mutual Fund (including 3.3% of collateral received for securities on loan) | | | 5.4 | |
Diversified Financial Services | | | 5.1 | |
Computers & Peripherals | | | 4.0 | |
Media | | | 3.6 | |
IT Services | | | 3.5 | |
Software | | | 3.4 | |
Internet Software & Services | | | 3.1 | |
Insurance | | | 2.9 | |
Commercial Banks | | | 2.7 | |
Aerospace & Defense | | | 2.7 | |
Chemicals | | | 2.5 | |
Industrial Conglomerates | | | 2.5 | |
Biotechnology | | | 2.4 | |
Food & Staples Retailing | | | 2.3 | |
Capital Markets | | | 2.2 | |
Specialty Retail | | | 2.2 | |
Beverages | | | 2.1 | |
Diversified Telecommunication Services | | | 2.1 | |
Health Care Providers & Services | | | 2.0 | |
Health Care Equipment & Supplies | | | 2.0 | |
Household Products | | | 2.0 | |
Semiconductors & Semiconductor Equipment | | | 2.0 | |
Energy Equipment & Services | | | 1.8 | |
Real Estate Investment Trusts (REITs) | | | 1.8 | |
Machinery | | | 1.7 | |
Communications Equipment | | | 1.7 | |
Hotels, Restaurants & Leisure | | | 1.7 | |
Electric Utilities | | | 1.6 | |
Food Products | | | 1.5 | |
Tobacco | | | 1.5 | |
Internet & Catalog Retail | | | 1.4 | |
Multi-Utilities | | | 1.1 | |
| | | | |
Consumer Finance | | | 1.0 | % |
Road & Rail | | | 0.9 | |
Textiles, Apparel & Luxury Goods | | | 0.8 | |
Air Freight & Logistics | | | 0.8 | |
Electrical Equipment | | | 0.8 | |
Automobiles | | | 0.7 | |
Multiline Retail | | | 0.7 | |
Metals & Mining | | | 0.5 | |
Life Sciences Tools & Services | | | 0.5 | |
Commercial Services & Supplies | | | 0.5 | |
Electronic Equipment, Instruments & Components | | | 0.4 | |
Auto Components | | | 0.4 | |
Household Durables | | | 0.4 | |
Containers & Packaging | | | 0.2 | |
Airlines | | | 0.2 | |
Professional Services | | | 0.2 | |
Trading Companies & Distributors | | | 0.2 | |
Construction & Engineering | | | 0.2 | |
Personal Products | | | 0.1 | |
Wireless Telecommunication Services | | | 0.1 | |
U.S. Treasury Obligation | | | 0.1 | |
Leisure Equipment & Products | | | 0.1 | |
Paper & Forest Products | | | 0.1 | |
Gas Utilities | | | 0.1 | |
Independent Power Producers & Energy Traders | | | 0.1 | |
Health Care Technology | | | 0.1 | |
Office Electronics | | | 0.1 | |
Distributors | | | 0.1 | |
Building Products | | | 0.1 | |
Diversified Consumer Services | | | 0.1 | |
Thrifts & Mortgage Finance | | | 0.1 | |
| | |
|
|
|
| | | | 103.1 | |
Liabilities in excess of other assets | | | (3.1 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
Fair values of derivative instruments as of December 31, 2013 as presented in the Statement of Assets and Liabilities:
| | | | | | | | | | | | |
Derivatives not accounted for as hedging
instruments, carried at fair value
| | Asset Derivatives
| | | Liability Derivatives
| |
| | Balance Sheet Location
| | Fair Value
| | | Balance Sheet Location
| | Fair Value
| |
Equity contracts | | Due from broker — variation margin | | $ | 2,678,318 | * | | — | | $ | — | |
| | | | |
|
|
| | | |
|
|
|
| * | Includes cumulative appreciation/depreciation as reported in schedule of open futures. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2013 are as follows:
| | | | |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
| |
Derivatives not accounted for as hedging instruments, carried at fair value
| | Futures
| |
Equity contracts | | $ | 14,568,035 | |
| | |
|
|
|
| | | | |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
| |
Derivatives not accounted for as hedging instruments, carried at fair value
| | Futures
| |
Equity contracts | | $ | 3,070,209 | |
| | |
|
|
|
For the year ended December 31, 2013, the Fund’s average value at trade date for futures long positions was $62,711,799.
SEE NOTES TO FINANCIAL STATEMENTS.
A160
| | | | | | |
| | | STOCK INDEX PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The Portfolio invested in financial instruments and derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument and derivative assets and liabilities:
| | | | | | | | | | | | | | | | |
Description
| | Gross Amounts
Recognized
| | | Gross Amounts
not subject to
netting
| | | Gross Amounts
Offset in the
Statement of
Financial Position
| | | Net Amounts
Presented in the
Statement of
Financial Position
| |
Assets: | | | | | | | | | | | | | | | | |
Securities on loan | | $ | 92,674,777 | | | $ | — | | | $ | — | | | $ | 92,674,777 | |
Exchange-traded and cleared derivatives | | | 244,800 | | | | | | | | — | | | | 244,800 | |
| | | | | | | | | | | | | | |
|
|
|
| | | | | | | | | | | | | | | | 92,919,577 | |
| | | | | | | | | | | | | | |
|
|
|
Collateral Amounts Pledged/(Received): | |
Securities on loan | | | | | | | | | | | | | | | (92,674,777 | ) |
Exchange-traded and cleared derivatives | | | | | | | | | | | | | | | — | |
| | | | | | | | | | | | | | |
|
|
|
Net Amount | | | | | | | | | | | | | | $ | 244,800 | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A161
| | | | | | |
| | | STOCK INDEX PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2013
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $92,674,777: | | | | |
Unaffiliated investments (cost $1,066,653,877) | | $ | 2,824,610,671 | |
Affiliated investments (cost $156,953,844) | | | 156,953,844 | |
Cash | | | 16,482 | |
Receivable for investments sold | | | 4,173,595 | |
Dividends and interest receivable | | | 3,863,431 | |
Due from broker—variation margin | | | 244,800 | |
Prepaid expenses | | | 24,238 | |
Receivable for Series shares sold | | | 6,102 | |
| | |
|
|
|
Total Assets | | | 2,989,893,163 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 94,754,164 | |
Payable for Series shares repurchased | | | 1,988,618 | |
Payable for investments purchased | | | 1,705,348 | |
Management fee payable | | | 722,914 | |
Accrued expenses and other liabilities | | | 171,408 | |
Affiliated transfer agent fee payable | | | 926 | |
| | |
|
|
|
Total Liabilities | | | 99,343,378 | |
| | |
|
|
|
| NET ASSETS | | $ | 2,890,549,785 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 954,708,112 | |
Retained earnings | | | 1,935,841,673 | |
| | |
|
|
|
Net assets, December 31, 2013 | | $ | 2,890,549,785 | |
| | |
|
|
|
Net asset value and redemption price per share, $2,890,549,785 / 61,470,972 outstanding shares of beneficial interest | | $ | 47.02 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2013
| | | | |
| INVESTMENT INCOME | | | | |
Unaffiliated dividend income (net of foreign withholding taxes of $29,873) | | $ | 54,718,373 | |
Affiliated income from securities loaned, net | | | 187,931 | |
Affiliated dividend income | | | 89,609 | |
Interest | | | 1,306 | |
| | |
|
|
|
| | | | 54,997,219 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 9,223,633 | |
Custodian’s fees and expenses | | | 265,000 | |
Shareholders’ reports | | | 150,000 | |
Trustees’ fees | | | 33,000 | |
Insurance expenses | | | 30,000 | |
Audit fee | | | 20,000 | |
Legal fees and expenses | | | 14,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4) | | | 12,000 | |
Commitment fee on syndicated credit agreement | | | 4,000 | |
Miscellaneous | | | 25,228 | |
| | |
|
|
|
Total expenses | | | 9,776,861 | |
Less: Management fee waiver (Note 3) | | | (1,317,662 | ) |
| | |
|
|
|
Net expenses | | | 8,459,199 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 46,538,020 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 63,099,810 | |
Futures transactions | | | 14,568,035 | |
| | |
|
|
|
| | | | 77,667,845 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments | | | 596,802,571 | |
Futures | | | 3,070,209 | |
| | |
|
|
|
| | | | 599,872,780 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS | | | 677,540,625 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 724,078,645 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 46,538,020 | | | $ | 45,446,287 | |
Net realized gain on investments | | | 77,667,845 | | | | 55,517,092 | |
Net change in unrealized appreciation (depreciation) on investments | | | 599,872,780 | | | | 230,843,600 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 724,078,645 | | | | 331,806,979 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | — | | | | (45,812,464 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [952,181 and 1,497,834 shares, respectively] | | | 39,860,195 | | | | 52,031,635 | |
Series shares issued in reinvestment of distributions [0 and 1,398,000 shares, respectively] | | | — | | | | 45,812,464 | |
Series shares repurchased [5,120,314 and 5,978,533 shares, respectively] | | | (213,653,470 | ) | | | (205,985,546 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (173,793,275 | ) | | | (108,141,447 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 550,285,370 | | | | 177,853,068 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 2,340,264,415 | | | | 2,162,411,347 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 2,890,549,785 | | | $ | 2,340,264,415 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A162
| | | | |
| | | VALUE PORTFOLIO | | |
| | |
| SCHEDULE OF INVESTMENTS | | | | December 31, 2013 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 99.4% | | | | |
| COMMON STOCKS | | Shares
| | | Value
(Note 2)
| |
Aerospace & Defense — 2.0% | | | | | |
Boeing Co. (The) | | | 229,765 | | | $ | 31,360,625 | |
| | | | | | |
|
|
|
Airlines — 2.2% | | | | | |
American Airlines Group,
Inc.*(a) | | | 463,000 | | | | 11,690,750 | |
United Continental Holdings, Inc.* | | | 608,609 | | | | 23,023,678 | |
| | | | | | |
|
|
|
| | | | | | | | 34,714,428 | |
| | | | | | |
|
|
|
Auto Components — 1.7% | | | | | |
Lear Corp. | | | 327,506 | | | | 26,518,161 | |
| | | | | | |
|
|
|
Automobiles — 1.2% | | | | | | | | |
General Motors Co.* | | | 458,293 | | | | 18,730,435 | |
| | | | | | |
|
|
|
Capital Markets — 4.5% | | | | | | | | |
Goldman Sachs Group, Inc. (The) | | | 218,534 | | | | 38,737,337 | |
Morgan Stanley | | | 1,021,713 | | | | 32,040,920 | |
| | | | | | |
|
|
|
| | | | | | | | 70,778,257 | |
| | | | | | |
|
|
|
Commercial Banks — 5.0% | | | | | |
PNC Financial Services Group, Inc. (The) | | | 411,170 | | | | 31,898,569 | |
Wells Fargo & Co. | | | 1,032,903 | | | | 46,893,796 | |
| | | | | | |
|
|
|
| | | | | | | | 78,792,365 | |
| | | | | | |
|
|
|
Communications Equipment — 1.2% | | | | | |
JDS Uniphase Corp.* | | | 1,445,316 | | | | 18,760,202 | |
| | | | | | |
|
|
|
Computers & Peripherals — 1.0% | | | | | |
Apple, Inc. | | | 29,202 | | | | 16,385,534 | |
| | | | | | |
|
|
|
Consumer Finance — 2.9% | | | | | |
Capital One Financial Corp. | | | 274,725 | | | | 21,046,682 | |
SLM Corp. | | | 924,996 | | | | 24,308,895 | |
| | | | | | |
|
|
|
| | | | | | | | 45,355,577 | |
| | | | | | |
|
|
|
Diversified Financial Services — 6.9% | | | | | |
Citigroup, Inc. | | | 710,030 | | | | 36,999,663 | |
ING US, Inc. | | | 667,171 | | | | 23,451,061 | |
JPMorgan Chase & Co. | | | 823,238 | | | | 48,142,958 | |
| | | | | | |
|
|
|
| | | | | | | | 108,593,682 | |
| | | | | | |
|
|
|
Diversified Telecommunication Services — 3.0% | | | | | |
CenturyLink, Inc. | | | 677,610 | | | | 21,581,879 | |
Vivendi SA (France) | | | 962,762 | | | | 25,395,262 | |
| | | | | | |
|
|
|
| | | | | | | | 46,977,141 | |
| | | | | | |
|
|
|
Electronic Equipment, Instruments & Components — 2.3% | |
Flextronics International Ltd. (Singapore)* | | | 4,609,385 | | | | 35,814,921 | |
| | | | | | |
|
|
|
Energy Equipment & Services — 1.4% | | | | | |
Halliburton Co. | | | 444,810 | | | | 22,574,108 | |
| | | | | | |
|
|
|
Food & Staples Retailing — 1.8% | | | | | |
CVS Caremark Corp. | | | 241,545 | | | | 17,287,376 | |
Wal-Mart Stores, Inc. | | | 148,026 | | | | 11,648,166 | |
| | | | | | |
|
|
|
| | | | | | | | 28,935,542 | |
| | | | | | |
|
|
|
Food Products — 3.3% | | | | | | | | |
Bunge Ltd. | | | 337,018 | | | | 27,672,548 | |
Mondelez International, Inc.
(Class A Stock) | | | 710,400 | | | | 25,077,120 | |
| | | | | | |
|
|
|
| | | | | | | | 52,749,668 | |
| | | | | | |
|
|
|
Health Care Providers & Services — 6.9% | |
CIGNA Corp. | | | 264,904 | | | | 23,173,802 | |
Express Scripts Holding Co.* | | | 477,007 | | | | 33,504,972 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Health Care Providers & Services (continued) | |
HCA Holdings, Inc.* | | | 648,097 | | | $ | 30,920,708 | |
UnitedHealth Group, Inc. | | | 273,949 | | | | 20,628,360 | |
| | | | | | |
|
|
|
| | | | | | | | 108,227,842 | |
| | | | | | |
|
|
|
Hotels, Restaurants & Leisure — 4.3% | |
Carnival Corp. | | | 648,472 | | | | 26,049,120 | |
Hilton Worldwide Holdings, Inc.* | | | 160,138 | | | | 3,563,071 | |
Hyatt Hotels Corp. (Class A Stock)* | | | 354,307 | | | | 17,524,024 | |
International Game Technology | | | 1,173,698 | | | | 21,314,356 | |
| | | | | | |
|
|
|
| | | | | | | | 68,450,571 | |
| | | | | | |
|
|
|
Independent Power Producers & Energy Traders — 1.7% | |
Calpine Corp.* | | | 1,407,164 | | | | 27,453,770 | |
| | | | | | |
|
|
|
Industrial Conglomerates — 1.1% | |
Siemens AG (Germany), ADR | | | 119,533 | | | | 16,556,516 | |
| | | | | | |
|
|
|
Insurance — 5.0% | |
Axis Capital Holdings Ltd. (Bermuda) | | | 306,255 | | | | 14,568,550 | |
MetLife, Inc. | | | 624,490 | | | | 33,672,501 | |
Travelers Cos., Inc. (The) | | | 175,043 | | | | 15,848,393 | |
XL Group PLC (Ireland) | | | 454,387 | | | | 14,467,682 | |
| | | | | | |
|
|
|
| | | | | | | | 78,557,126 | |
| | | | | | |
|
|
|
Internet Software & Services — 2.0% | |
Google, Inc. (Class A Stock)* | | | 27,460 | | | | 30,774,697 | |
| | | | | | |
|
|
|
Machinery — 1.4% | |
SPX Corp. | | | 220,475 | | | | 21,961,515 | |
| | | | | | |
|
|
|
Media — 4.3% | |
Comcast Corp. (Class A Stock) | | | 517,700 | | | | 26,902,281 | |
Liberty Global PLC (United Kingdom) (Class C Stock)* | | | 487,917 | | | | 41,141,161 | |
| | | | | | |
|
|
|
| | | | | | | | 68,043,442 | |
| | | | | | |
|
|
|
Metals & Mining — 1.6% | |
Goldcorp, Inc. (Canada) | | | 1,158,307 | | | | 25,100,513 | |
| | | | | | |
|
|
|
Multiline Retail — 0.6% | |
J.C. Penney Co., Inc.*(a) | | | 1,092,483 | | | | 9,996,219 | |
| | | | | | |
|
|
|
Oil, Gas & Consumable Fuels — 12.5% | |
Anadarko Petroleum Corp. | | | 273,597 | | | | 21,701,714 | |
Denbury Resources, Inc.* | | | 949,360 | | | | 15,597,985 | |
EOG Resources, Inc. | | | 153,264 | | | | 25,723,830 | |
Marathon Oil Corp. | | | 864,372 | | | | 30,512,332 | |
Marathon Petroleum Corp. | | | 90,429 | | | | 8,295,052 | |
Noble Energy, Inc. | | | 445,896 | | | | 30,369,977 | |
Occidental Petroleum Corp. | | | 235,422 | | | | 22,388,632 | |
Suncor Energy, Inc. (Canada) | | | 604,407 | | | | 21,184,465 | |
Williams Cos., Inc. (The) | | | 558,568 | | | | 21,543,968 | |
| | | | | | |
|
|
|
| | | | | 197,317,955 | |
| | | | | | |
|
|
|
Personal Products — 1.3% | |
Avon Products, Inc. | | | 1,199,761 | | | | 20,659,884 | |
| | | | | | |
|
|
|
Pharmaceuticals — 10.2% | |
Actavis, Inc.* | | | 168,541 | | | | 28,314,888 | |
Bayer AG (Germany), ADR | | | 152,248 | | | | 21,619,216 | |
Merck & Co., Inc. | | | 313,451 | | | | 15,688,223 | |
Mylan, Inc.* | | | 776,089 | | | | 33,682,263 | |
Sanofi (France), ADR | | | 551,359 | | | | 29,569,383 | |
Shire PLC (Ireland), ADR | | | 137,678 | | | | 19,452,525 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A163
| | | | | | |
| | | VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Pharmaceuticals (continued) | |
Teva Pharmaceutical Industries Ltd. (Israel), ADR | | | 290,910 | | | $ | 11,659,673 | |
| | | | | | |
|
|
|
| | | | | | | | 159,986,171 | |
| | | | | | |
|
|
|
Road & Rail — 3.3% | | | | | | | | |
Hertz Global Holdings, Inc.* | | | 1,013,588 | | | | 29,008,887 | |
Union Pacific Corp. | | | 136,368 | | | | 22,909,822 | |
| | | | | | |
|
|
|
| | | | | | | | 51,918,709 | |
| | | | | | |
|
|
|
Semiconductors & Semiconductor Equipment — 0.8% | |
Intel Corp. | | | 500,207 | | | | 12,985,373 | |
| | | | | | |
|
|
|
Software — 1.3% | |
Microsoft Corp. | | | 560,159 | | | | 20,966,751 | |
| | | | | | |
|
|
|
Specialty Retail — 0.5% | |
Bed Bath & Beyond, Inc.*(a) | | | 97,358 | | | | 7,817,847 | |
| | | | | | |
|
|
|
Wireless Telecommunication Services — 0.2% | |
NII Holdings, Inc.* | | | 1,393,456 | | | | 3,832,004 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $1,130,604,779) | | | | 1,567,647,551 | |
| | | | | | |
|
|
|
| SHORT-TERM INVESTMENT — 3.4% | |
AFFILIATED MONEY MARKET MUTUAL FUND | |
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $53,272,011; includes $27,563,848 of cash collateral for securities on loan) (Note 4)(b)(c) | | | 53,272,011 | | | | 53,272,011 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 102.8%
(cost $1,183,876,790) | | | | 1,620,919,562 | |
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.8)% | | | | (44,772,312 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 1,576,147,250 | |
| | | | | | |
|
|
|
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 $26,129,834; cash collateral of $27,563,848 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (c) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| 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, 2013 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | |
Common Stocks | | $ | 1,542,252,289 | | | $ | 25,395,262 | | | $ | — | |
Affiliated Money Market Mutual Fund | | | 53,272,011 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 1,595,524,300 | | | $ | 25,395,262 | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A164
| | | | | | |
| | | VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 was as follows:
| | | | |
Oil, Gas & Consumable Fuels | | | 12.5 | % |
Pharmaceuticals | | | 10.2 | |
Diversified Financial Services | | | 6.9 | |
Health Care Providers & Services | | | 6.9 | |
Commercial Banks | | | 5.0 | |
Insurance | | | 5.0 | |
Capital Markets | | | 4.5 | |
Hotels, Restaurants & Leisure | | | 4.3 | |
Media | | | 4.3 | |
Affiliated Money Market Mutual Fund (including 1.7% of collateral received for securities on loan) | | | 3.4 | |
Food Products | | | 3.3 | |
Road & Rail | | | 3.3 | |
Diversified Telecommunication Services | | | 3.0 | |
Consumer Finance | | | 2.9 | |
Electronic Equipment, Instruments & Components | | | 2.3 | |
Airlines | | | 2.2 | |
Aerospace & Defense | | | 2.0 | |
Internet Software & Services | | | 2.0 | |
Food & Staples Retailing | | | 1.8 | |
| | | | |
Independent Power Producers & Energy Traders | | | 1.7 | % |
Auto Components | | | 1.7 | |
Metals & Mining | | | 1.6 | |
Energy Equipment & Services | | | 1.4 | |
Machinery | | | 1.4 | |
Software | | | 1.3 | |
Personal Products | | | 1.3 | |
Communications Equipment | | | 1.2 | |
Automobiles | | | 1.2 | |
Industrial Conglomerates | | | 1.1 | |
Computers & Peripherals | | | 1.0 | |
Semiconductors & Semiconductor Equipment | | | 0.8 | |
Multiline Retail | | | 0.6 | |
Specialty Retail | | | 0.5 | |
Wireless Telecommunication Services | | | 0.2 | |
| | |
|
|
|
| | | | 102.8 | |
Liabilities in excess of other assets | | | (2.8 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
The Portfolio invested in financial instruments during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument assets and liabilities:
| | | | | | | | | | | | | | | | |
Description
| | Gross Amounts
Recognized
| | | Gross Amounts
not subject to
netting
| | | Gross Amounts
Offset in the
Statement of
Financial Position
| | | Net Amounts
Presented in the
Statement of
Financial Position
| |
Assets: | | | | | | | | | | | | | | | | |
Securities on loan | | $ | 26,129,834 | | | $ | — | | | $ | — | | | $ | 26,129,834 | |
Collateral Amounts Pledged/(Received): | |
Securities on loan | | | | | | | | | | | | | | | (26,129,834 | ) |
| | | | | | | | | | | | | | |
|
|
|
Net Amount | | | | | | | | | | | | | | $ | — | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A165
| | | | | | |
| | | VALUE PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2013
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $26,129,834: | | | | |
Unaffiliated investments (cost $1,130,604,779) | | $ | 1,567,647,551 | |
Affiliated investments (cost $53,272,011) | | | 53,272,011 | |
Cash | | | 7,802,304 | |
Receivable for investments sold | | | 4,188,922 | |
Dividends and interest receivable | | | 978,484 | |
Tax reclaim receivable | | | 615,408 | |
Receivable for Series shares sold | | | 47,899 | |
Prepaid expenses | | | 13,267 | |
| | |
|
|
|
Total Assets | | | 1,634,565,846 | |
| | |
|
|
|
| LIABILITIES | | | | |
Payable for investments purchased | | | 29,848,168 | |
Collateral for securities on loan | | | 27,563,848 | |
Management fee payable | | | 459,263 | |
Payable for Series shares repurchased | | | 346,993 | |
Accrued expenses and other liabilities | | | 196,304 | |
Distribution fee payable | | | 1,541 | |
Deferred trustees’ fees | | | 1,000 | |
Administration fee payable | | | 553 | |
Affiliated transfer agent fee payable | | | 926 | |
| | |
|
|
|
Total Liabilities | | | 58,418,596 | |
| | |
|
|
|
| NET ASSETS | | $ | 1,576,147,250 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 1,157,335,925 | |
Retained earnings | | | 418,811,325 | |
| | |
|
|
|
Net assets, December 31, 2013 | | $ | 1,576,147,250 | |
| | |
|
|
|
| Class I: | | | | |
Net asset value and redemption price per share, $1,568,716,126 / 65,235,694 outstanding shares of beneficial interest | | $ | 24.05 | |
| | |
|
|
|
| Class II: | | | | |
Net asset value and redemption price per share, $7,431,124 / 308,084 outstanding shares of beneficial interest | | $ | 24.12 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2013
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| INCOME | | | | |
Unaffiliated dividend income (net of foreign withholding taxes of $826,690) | | $ | 20,718,996 | |
Affiliated income from securities loaned, net | | | 228,413 | |
Affiliated dividend income | | | 69,849 | |
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| | | | 21,017,258 | |
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| EXPENSES | | | | |
Management fee | | | 5,764,056 | |
Distribution fee—Class II | | | 17,555 | |
Administration fee—Class II | | | 10,533 | |
Custodian’s fees and expenses | | | 146,000 | |
Shareholders’ reports | | | 140,000 | |
Trustees’ fees | | | 24,000 | |
Audit fee | | | 20,000 | |
Insurance expenses | | | 16,000 | |
Legal fees and expenses | | | 12,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4) | | | 12,000 | |
Commitment fee on syndicated credit agreement | | | 3,000 | |
Miscellaneous | | | 12,170 | |
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Total expenses | | | 6,177,314 | |
Less: Management fee waiver (Note 3) | | | (379,684 | ) |
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Net expenses | | | 5,797,630 | |
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| NET INVESTMENT INCOME | | | 15,219,628 | |
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| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | | | | |
Net realized gain on: | | | | |
Investment transactions | | | 184,045,844 | |
Foreign currency transactions | | | 5,175 | |
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| | | | 184,051,019 | |
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Net change in unrealized appreciation (depreciation) on: | | | | |
Investments | | | 206,900,365 | |
Foreign currencies | | | 6,369 | |
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| | | | 206,906,734 | |
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| NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | | | 390,957,753 | |
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| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 406,177,381 | |
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STATEMENT OF CHANGES IN NET ASSETS
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| | | Year Ended December 31,
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| | | 2013
| | | 2012
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| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 15,219,628 | | | $ | 17,134,113 | |
Net realized gain (loss) on investments and foreign currencies | | | 184,051,019 | | | | (7,142,198 | ) |
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | | | 206,906,734 | | | | 162,783,620 | |
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NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 406,177,381 | | | | 172,775,535 | |
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| DISTRIBUTIONS: | | | | | | | | |
Class I | | | — | | | | (12,289,580 | ) |
Class II | | | — | | | | (34,396 | ) |
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TOTAL DISTRIBUTIONS | | | — | | | | (12,323,976 | ) |
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| SERIES SHARE TRANSACTIONS (Note 7): | | | | | | | | |
Series shares sold | | | 25,700,974 | | | | 7,601,414 | |
Series shares issued in reinvestment of distributions | | | — | | | | 12,323,976 | |
Series shares repurchased | | | (125,239,881 | ) | | | (148,489,438 | ) |
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NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (99,538,907 | ) | | | (128,564,048 | ) |
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| TOTAL INCREASE IN NET ASSETS | | | 306,638,474 | | | | 31,887,511 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 1,269,508,776 | | | | 1,237,621,265 | |
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End of year | | $ | 1,576,147,250 | | | $ | 1,269,508,776 | |
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SEE NOTES TO FINANCIAL STATEMENTS.
A166
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 (“1940 Act”). The Series Fund is composed of eighteen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the 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.
Diversified Bond Portfolio: High level of income over a longer term while providing reasonable safety of capital.
Equity Portfolio: Long-term growth of capital.
Flexible Managed Portfolio: Total return consistent with an aggressively managed diversified portfolio.
Global Portfolio: Long-term growth of capital.
Government Income Portfolio: High level of income over the long-term consistent with the preservation of capital.
High Yield Bond Portfolio: High total return.
Jennison Portfolio: Long-term growth of capital.
Money Market Portfolio: Maximum current income consistent with the stability of capital and maintenance of liquidity.
Natural Resources Portfolio: Long-term growth of capital.
Small Capitalization Stock Portfolio: Long-term growth of capital.
Stock Index Portfolio: Achieve investment results that generally correspond to the performance of publicly traded common stocks.
Value Portfolio: Capital appreciation.
The ability of debt securities issuers (other than those issued or guaranteed by the U.S. Government) held by the Portfolios to meet their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.
| Note 2: | | Accounting Policies |
The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolios consistently follow such policies in the preparation of their financial statements.
Security Valuation: Each Portfolio holds securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.
B1
Various inputs determine how each Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following each Portfolio’s Schedule of Investments.
Common stocks, exchange-traded funds, and derivative instruments that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price; they are classified as Level 1 in the fair value hierarchy.
In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and asked prices, or at the last bid price in the absence of an asked price. These securities are classified as Level 2 in the fair value hierarchy, as the inputs are observable and considered to be significant to the valuation.
Common stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy, as the adjustment factors are observable and considered to be significant to the valuation.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the over-the-counter market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.
The Money Market Portfolio values all of its securities of sufficient credit quality, at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assumes a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy.
Over-the-counter derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.
Portfolio securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that significant unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
Restricted and Illiquid Securities: Subject to guidelines adopted by the Board, each Portfolio may hold up to 15% of their 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
B2
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 be 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 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 long-term portfolio 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 long-term portfolio securities sold during the period. Accordingly, these realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions.
Net realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Series Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains or losses from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.
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. A Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life.
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
B3
result, the Portfolio assumes the credit risk of the borrower and any other persons interpositioned between the Portfolio and the borrower. The Portfolio may not directly benefit from the collateral supporting the senior loan in which it has purchased the loan participation.
Financial Futures Contracts: A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolio is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (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 at the closing of a purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in net realized gain or loss on investment transactions. Gain or loss on written options is presented separately as net realized gain or loss on options written. The Portfolio, as writer of an option, may have no control over whether the underlying securities may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security underlying the written option. 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. Swap agreements are negotiated in the over-the-counter market and may be executed either directly with a counterparty (“OTC Traded”) or through a central clearing facility, such as a registered commodities exchange (“Exchange Traded”). 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. Exchange Traded swaps pay or receive an amount, known as “variation margin”, based on daily changes in the valuation of the swap contract. Payments received or paid by the Portfolio are recorded as realized gains or losses upon termination or maturity of the swap. Risk of loss may exceed amounts recognized on the Statements of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.
B4
Interest Rate Swaps: Interest rate swaps represent agreements between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. Certain Portfolios used interest rate swaps to either maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments using interest rate swap contracts. A Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life.
Credit Default Swaps: Credit default swaps involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for the referenced entity, typically corporate issues or sovereign issues of an emerging country, on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index.
Certain Portfolios are subject to credit risk in the normal course of pursuing their investment objectives. Certain Portfolios have entered into 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. A Portfolios’ maximum risk of loss from counterparty credit risk for purchased credit default swaps is the inability of the counterparty to honor the contract up to the notional value based on a credit event.
As a seller of protection on credit default swap agreements, the Portfolio generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the Portfolio may be subject to investment exposure on the notional amount of the swap.
The maximum amount of the payment that 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 which the Portfolio entered for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as indicators of the current status of the payment/performance risk. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.
Currency Swaps: Certain Portfolios entered into currency swap agreements primarily to gain yield exposure on foreign bonds. Currency swap agreements involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specified exchange rates.
Master Netting Arrangements: Certain Portfolios are subject to various Master Agreements, or netting arrangements, with select counterparties. 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. The right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the
B5
amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there were no instances where the right of set-off existed and management has not elected to offset.
Certain Portfolios are parties to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over-the-counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian, and with respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.
In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in the portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/insolvency of either party. Such 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, 2013, none of the Portfolios have met conditions under such agreements which give the counterparty the right to call for an early termination.
Forward currency contracts, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by having master netting arrangements.
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 approved fair valuation procedures.
Securities Lending: Each Portfolio of the Series Fund may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid short-term money market and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities and any interest on the investment of any cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent
B6
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 or losses from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management, that may differ from actual.
For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains or losses are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.
Taxes: For federal income tax purposes, each Portfolio 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 (Participating Insurance Companies). 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, if any, daily. The Diversified Bond, Government Income and High Yield Bond Portfolios make distributions, if any, quarterly. 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 Prudential Investment Management, Inc. (“PIM”), Jennison Associates LLC (“Jennison”), Brown Advisory, LLC (“Brown”), LSV Asset Management (“LSV”), Quantitative Management Associates LLC (“QMA”), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “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.
B7
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 | | | 0.13 | * |
Natural Resources Portfolio | | 0.45 | | | 0.42 | **** |
Small Capitalization Stock Portfolio | | 0.40 | | | 0.37 | **** |
Stock Index Portfolio | | 0.35% up to $4 billion
0.30% over $4 billion | | | 0.30 | ** |
Value Portfolio | | 0.40 | | | 0.37 | **** |
| | * | 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 of the Portfolio (excluding capital gain or loss) does not fall below 0.00%. Prior to July 1, 2012, PI had voluntarily agreed to limit the management fees of the Money Market Portfolio such that the 1-day annualized yield of the Portfolio (excluding capital gain or loss) did not fall below 0.02%. The waiver is voluntary and may be modified or terminated by PI at any time without notice. During the year ended December 31, 2013, the total waiver as a result of this voluntary agreement was $2,372,014 or an annualized 0.27% 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. |
| | *** | Effective July 1, 2013, PI has contractually agreed, through June 30, 2014, to waive a portion of its management fee equal to an annual rate of 0.01% of the average net assets of the Portfolio. |
| | **** | Effective July 1, 2013, PI has contractually agreed, through June 30, 2014, to waive a portion of its management fee equal to an annual rate of 0.05% of the average net assets of the Portfolio. |
At December 31, 2013, 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 | | Brown*, LSV, 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 |
| | * | Effective June 17, 2013, Brown replaced Marsico Capital Management, LLC. |
The Series Fund has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually
B8
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, PIM, QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
Certain Portfolios have entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those portfolios generating the applicable trades. Such amounts are included with realized gain or loss on investment transactions presented in the Statement of Operations. For the year ended December 31, 2013, brokerage commission recaptured under these agreements was as follows:
| | | | |
Portfolio
| | Amount
| |
Equity Portfolio | | $ | 327,037 | |
Global Portfolio | | | 10,550 | |
Jennison Portfolio | | | 113,838 | |
Natural Resources Portfolio | | | 46,140 | |
Value Portfolio | | | 100,046 | |
| 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, 2013, PIM was compensated as follows for these services by the Series Fund Portfolios:
| | |
Portfolio
| | Amount
|
Conservative Balanced Portfolio | | $58,423 |
Diversified Bond Portfolio | | 42,369 |
Equity Portfolio | | 154,613 |
Flexible Managed Portfolio | | 63,420 |
Global Portfolio | | 9,724 |
Government Income Portfolio | | 18,321 |
High Yield Bond Portfolio | | 316,378 |
Jennison Portfolio | | 49,429 |
Natural Resources Portfolio | | 40,378 |
Small Capitalization Stock Portfolio | | 274,617 |
Stock Index Portfolio | | 56,135 |
Value Portfolio | | 68,227 |
Certain Portfolios invest in the Prudential Core Short-Term Bond Fund and in the Prudential Core Taxable Money Market Fund (the “Core Funds”), each a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act, as amended, and managed by PI. Earnings from the Core Funds are disclosed on the Statement of Operations as affiliated dividend income.
B9
| 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, 2013 were as follows:
| | | | | | | | |
Portfolio
| | Cost of Purchases
| | | Proceeds from Sales
| |
Conservative Balanced Portfolio | | $ | 3,265,647,924 | | | $ | 3,517,597,896 | |
Diversified Bond Portfolio | | | 714,275,381 | | | | 730,599,512 | |
Equity Portfolio | | | 1,542,217,332 | | | | 1,804,007,113 | |
Flexible Managed Portfolio | | | 5,977,365,074 | | | | 6,160,852,936 | |
Global Portfolio | | | 450,199,419 | | | | 475,325,106 | |
Government Income Portfolio | | | 4,613,567,528 | | | | 4,626,048,667 | |
High Yield Bond Portfolio | | | 1,686,766,899 | | | | 1,508,937,560 | |
Jennison Portfolio | | | 545,618,086 | | | | 653,539,232 | |
Natural Resources Portfolio | | | 175,562,973 | | | | 272,014,256 | |
Small Capitalization Stock Portfolio | | | 92,934,053 | | | | 126,876,277 | |
Stock Index Portfolio | | | 66,804,219 | | | | 189,640,875 | |
Value Portfolio | | | 574,529,803 | | | | 627,801,353 | |
Options written transactions, during the year ended December 31, 2013, were as follows:
| | | | | | | | |
Conservative Balanced Portfolio
| | Contracts
| | | Premiums
| |
Balance as of December 31, 2012 | | | — | | | $ | — | |
Options written | | | 14,512,453 | | | | 111,097 | |
Options terminated in closing purchase transactions | | | (14,512,194 | ) | | | (70,929 | ) |
Options expired | | | (259 | ) | | | (40,168 | ) |
| | |
|
|
| |
|
|
|
Balance as of December 31, 2013 | | | — | | | $ | — | |
| | |
|
|
| |
|
|
|
| | |
Diversified Bond Portfolio
| | Contracts
| | | Premiums
| |
Balance as of December 31, 2012 | | | — | | | $ | — | |
Options written | | | 20,185,218 | | | | 91,338 | |
Options terminated in closing purchase transactions | | | (20,185,218 | ) | | | (91,338 | ) |
Options expired | | | | | | | | |
| | |
|
|
| |
|
|
|
Balance as of December 31, 2013 | | | — | | | $ | — | |
| | |
|
|
| |
|
|
|
| | |
Flexible Managed Portfolio
| | Contracts
| | | Premiums
| |
Balance as of December 31, 2012 | | | — | | | $ | — | |
Options written | | | 17,544,586 | | | | 137,948 | |
Options terminated in closing purchase transactions | | | (17,544,255 | ) | | | (87,828 | ) |
Options expired | | | (331 | ) | | | (50,120 | ) |
| | |
|
|
| |
|
|
|
Balance as of December 31, 2013 | | | — | | | $ | — | |
| | |
|
|
| |
|
|
|
| | |
Government Income Portfolio
| | Contracts
| | | Premiums
| |
Balance as of December 31, 2012 | | | — | | | $ | — | |
Options written | | | 11,592,452 | | | | 98,166 | |
Options terminated in closing purchase transactions | | | (11,592,198 | ) | | | (61,410 | ) |
Options expired | | | (254 | ) | | | (36,756 | ) |
| | |
|
|
| |
|
|
|
Balance as of December 31, 2013 | | | — | | | $ | — | |
| | |
|
|
| |
|
|
|
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.
B10
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 no provision for income tax is required in the Portfolios’ financial statements for the current period. 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. As of December 31, 2013, the Equity, Jennison, Natural Resources and Value Portfolios have Class II shares outstanding.
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, 2013: | | | | | | | | |
Series shares sold | | | 497,608 | | | $ | 15,342,872 | |
Series shares issued in reinvestment of distributions | | | — | | | | — | |
Series shares repurchased | | | (7,725,116 | ) | | | (238,388,587 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (7,227,508 | ) | | $ | (223,045,715 | ) |
| | |
|
|
| |
|
|
|
Year ended December 31, 2012: | | | | | | | | |
Series shares sold | | | 665,566 | | | $ | 17,089,685 | |
Series shares issued in reinvestment of distributions | | | 764,646 | | | | 18,817,932 | |
Series shares repurchased | | | (9,596,928 | ) | | | (249,386,485 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (8,166,716 | ) | | $ | (213,478,868 | ) |
| | |
|
|
| |
|
|
|
| | |
Class II
| | | | | | |
Year ended December 31, 2013: | | | | | | | | |
Series shares sold | | | 14,609 | | | $ | 480,313 | |
Series shares issued in reinvestment of distributions | | | — | | | | — | |
Series shares repurchased | | | (17,287 | ) | | | (551,629 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (2,678 | ) | | $ | (71,316 | ) |
| | |
|
|
| |
|
|
|
Year ended December 31, 2012: | | | | | | | | |
Series shares sold | | | 2,851 | | | $ | 75,562 | |
Series shares issued in reinvestment of distributions | | | 170 | | | | 4,233 | |
Series shares repurchased | | | (18,112 | ) | | | (453,228 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (15,091 | ) | | $ | (373,433 | ) |
| | |
|
|
| |
|
|
|
Jennison Portfolio:
| | | | | | | | |
Class I
| | Shares
| | | Amount
| |
Year ended December 31, 2013: | | | | | | | | |
Series shares sold | | | 600,416 | | | $ | 18,575,262 | |
Series shares issued in reinvestment of distributions | | | — | | | | — | |
Series shares repurchased | | | (3,796,246 | ) | | | (117,710,464 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (3,195,830 | ) | | $ | (99,135,202 | ) |
| | |
|
|
| |
|
|
|
B11
Jennison Portfolio (cont’d):
| | | | | | | | |
Class I
| | Shares
| | | Amount
| |
Year ended December 31, 2012: | | | | | | | | |
Series shares sold | | | 1,025,506 | | | $ | 27,133,671 | |
Series shares issued in reinvestment of distributions | | | 75,735 | | | | 1,936,533 | |
Series shares repurchased | | | (4,559,725 | ) | | | (120,020,319 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (3,458,484 | ) | | $ | (90,950,115 | ) |
| | |
|
|
| |
|
|
|
| | |
Class II
| | | | | | |
Year ended December 31, 2013: | | | | | | | | |
Series shares sold | | | 178,735 | | | $ | 5,502,476 | |
Series shares issued in reinvestment of distributions | | | — | | | | — | |
Series shares repurchased | | | (337,133 | ) | | | (10,158,265 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (158,398 | ) | | $ | (4,655,789 | ) |
| | |
|
|
| |
|
|
|
Year ended December 31, 2012: | | | | | | | | |
Series shares sold | | | 466,072 | | | $ | 12,156,641 | |
Series shares issued in reinvestment of distributions | | | — | | | | — | |
Series shares repurchased | | | (592,524 | ) | | | (15,413,992 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (126,452 | ) | | $ | (3,257,351 | ) |
| | |
|
|
| |
|
|
|
Natural Resources Portfolio:
| | | | | | | | |
Class I
| | Shares
| | | Amount
| |
Year ended December 31, 2013: | | | | | | | | |
Series shares sold | | | 352,213 | | | $ | 12,346,615 | |
Series shares issued in reinvestment of distributions | | | — | | | | — | |
Series shares repurchased | | | (2,823,203 | ) | | | (99,674,548 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (2,470,990 | ) | | $ | (87,327,933 | ) |
| | |
|
|
| |
|
|
|
Year ended December 31, 2012: | | | | | | | | |
Series shares sold | | | 364,027 | | | $ | 13,108,269 | |
Series shares issued in reinvestment of distributions | | | 2,374,743 | | | | 73,450,794 | |
Series shares repurchased | | | (3,246,104 | ) | | | (115,601,851 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (507,334 | ) | | $ | (29,042,788 | ) |
| | |
|
|
| |
|
|
|
| | |
Class II
| | | | | | |
Year ended December 31, 2013: | | | | | | | | |
Series shares sold | | | 287,501 | | | $ | 10,062,470 | |
Series shares issued in reinvestment of distributions | | | — | | | | — | |
Series shares repurchased | | | (643,622 | ) | | | (22,702,718 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (356,121 | ) | | $ | (12,640,248 | ) |
| | |
|
|
| |
|
|
|
Year ended December 31, 2012: | | | | | | | | |
Series shares sold | | | 736,538 | | | $ | 28,087,620 | |
Series shares issued in reinvestment of distributions | | | 177,121 | | | | 5,441,151 | |
Series shares repurchased | | | (879,763 | ) | | | (32,758,901 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | 33,896 | | | $ | 769,870 | |
| | |
|
|
| |
|
|
|
Value Portfolio:
| | | | | | | | |
Class I
| | Shares
| | | Amount
| |
Year ended December 31, 2013: | | | | | | | | |
Series shares sold | | | 1,155,615 | | | $ | 25,006,947 | |
Series shares issued in reinvestment of distributions | | | — | | | | — | |
Series shares repurchased | | | (5,836,962 | ) | | | (123,779,113 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (4,681,347 | ) | | $ | (98,772,166 | ) |
| | |
|
|
| |
|
|
|
B12
Value Portfolio (cont’d):
| | | | | | | | |
Class I
| | Shares
| | | Amount
| |
Year ended December 31, 2012: | | | | | | | | |
Series shares sold | | | 430,235 | | | $ | 7,336,846 | |
Series shares issued in reinvestment of distributions | | | 770,990 | | | | 12,289,580 | |
Series shares repurchased | | | (8,582,460 | ) | | | (147,590,033 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (7,381,235 | ) | | $ | (127,963,607 | ) |
| | |
|
|
| |
|
|
|
| | |
Class II
| | | | | | |
Year ended December 31, 2013: | | | | | | | | |
Series shares sold | | | 32,096 | | | $ | 694,027 | |
Series shares issued in reinvestment of distributions | | | — | | | | — | |
Series shares repurchased | | | (67,319 | ) | | | (1,460,768 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (35,223 | ) | | $ | (766,741 | ) |
| | |
|
|
| |
|
|
|
Year ended December 31, 2012: | | | | | | | | |
Series shares sold | | | 15,559 | | | $ | 264,568 | |
Series shares issued in reinvestment of distributions | | | 2,138 | | | | 34,396 | |
Series shares repurchased | | | (51,890 | ) | | | (899,405 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (34,193 | ) | | $ | (600,441 | ) |
| | |
|
|
| |
|
|
|
The Portfolios (excluding the Money Market Portfolio), along with other affiliated registered investment companies (the “Funds”), are a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period November 5, 2013 through November 4, 2014. The Funds pay an annualized commitment fee of 0.08% of the unused portion of the SCA. Prior to November 5, 2013, the Funds had another SCA with substantially similar terms. Interest on any borrowings under the SCA is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.
The following Portfolio utilized the SCA during the year ended December 31, 2013. 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,
2013
| |
Jennison Portfolio | | $ | 877,910 | | | | 67 | | | | 1.45 | % | | | — | |
| Note 9: | | Ownership and Affiliates |
As of December 31, 2013, 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.
B13
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | Conservative Balanced Portfolio
| |
| | | Year Ended December 31,
| |
| | | 2013(a)
| | | 2012
| | | 2011
| | | 2010
| | | 2009
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 17.77 | | | $ | 16.32 | | | $ | 15.96 | | | $ | 14.65 | | | $ | 12.69 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .35 | | | | .38 | | | | .36 | | | | .37 | | | | .39 | |
Net realized and unrealized gain on investments | | | 2.51 | | | | 1.43 | | | | .37 | | | | 1.31 | | | | 2.08 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 2.86 | | | | 1.81 | | | | .73 | | | | 1.68 | | | | 2.47 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions | | | — | | | | (.36 | ) | | | (.37 | ) | | | (.37 | ) | | | (.51 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 20.63 | | | $ | 17.77 | | | $ | 16.32 | | | $ | 15.96 | | | $ | 14.65 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(b) | | | 16.09 | % | | | 11.23 | % | | | 4.60 | % | | | 11.74 | % | | | 20.01 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 2,504.4 | | | $ | 2,287.0 | | | $ | 2,191.6 | | | $ | 2,234.7 | | | $ | 2,138.7 | |
Ratios to average net assets(c): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .58 | % | | | .58 | % | | | .59 | % | | | .59 | % | | | .59 | % |
Net investment income | | | 1.84 | % | | | 2.11 | % | | | 2.12 | % | | | 2.32 | % | | | 2.68 | % |
Portfolio turnover rate | | | 196 | % | | | 188 | % | | | 215 | % | | | 185 | % | | | 250 | % |
| |
| | | Diversified Bond Portfolio
| |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012(a)
| | | 2011
| | | 2010
| | | 2009
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 11.88 | | | $ | 11.74 | | | $ | 11.67 | | | $ | 11.16 | | | $ | 9.89 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .48 | | | | .54 | | | | .56 | | | | .52 | | | | .50 | |
Net realized and unrealized gain (loss) on investments | | | (.56 | ) | | | .66 | | | | .30 | | | | .63 | | | | 1.46 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | (.08 | ) | | | 1.20 | | | | .86 | | | | 1.15 | | | | 1.96 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions | | | (.79 | ) | | | (1.06 | ) | | | (.79 | ) | | | (.64 | ) | | | (.69 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 11.01 | | | $ | 11.88 | | | $ | 11.74 | | | $11.67 | | | | $ | 11.16 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(b) | | | (.71 | )% | | | 10.68 | % | | | 7.51 | % | | | 10.57 | % | | | 20.51 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 1,197.5 | | | $ | 1,305.9 | | | $ | 1,556.9 | | | $ | 1,522.9 | | | $ | 1,363.5 | |
Ratios to average net assets(c): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .44 | % | | | .44 | % | | | .42 | % | | | .46 | % | | | .44 | % |
Net investment income | | | 4.10 | % | | | 4.57 | % | | | 4.76 | % | | | 4.46 | % | | | 4.79 | % |
Portfolio turnover rate | | | 111 | % | | | 144 | % | | | 167 | % | | | 191 | % | | | 401 | % |
| (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,
| |
| | | 2013
| | | 2012(c)
| | | 2011
| | | 2010
| | | 2009
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 26.81 | | | $ | 23.73 | | | $ | 24.75 | | | $ | 22.30 | | | $ | 16.40 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .27 | | | | .27 | | | | .13 | | | | .15 | | | | .16 | |
Net realized and unrealized gain (loss) on investments | | | 8.73 | | | | 2.96 | | | | (.98 | ) | | | 2.48 | | | | 6.04 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 9.00 | | | | 3.23 | | | | (.85 | ) | | | 2.63 | | | | 6.20 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | — | | | | (.15 | ) | | | (.17 | ) | | | (.18 | ) | | | (.30 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 35.81 | | | $ | 26.81 | | | $ | 23.73 | | | $ | 24.75 | | | $ | 22.30 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a) | | | 33.57 | % | | | 13.69 | % | | | (3.47 | )% | | | 11.90 | % | | | 38.17 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 3,970.9 | | | $ | 3,167.0 | | | $ | 2,997.5 | | | $ | 3,324.3 | | | $ | 3,195.1 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .47 | % | | | .47 | % | | | .48 | % | | | .48 | % | | | .48 | % |
Net investment income | | | .86 | % | | | 1.04 | % | | | .58 | % | | | .71 | % | | | .90 | % |
Portfolio turnover rate | | | 45 | % | | | 48 | % | | | 49 | % | | | 68 | % | | | 98 | % |
| |
| | | Equity Portfolio
| |
| | | Class II
| |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012(c)
| | | 2011
| | | 2010
| | | 2009
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 27.10 | | | $ | 23.99 | | | $ | 25.00 | | | $ | 22.46 | | | $ | 16.47 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .13 | | | | .17 | | | | .06 | | | | .04 | | | | .09 | |
Net realized and unrealized gain (loss) on investments | | | 8.82 | | | | 3.00 | | | | (1.03 | ) | | | 2.54 | | | | 6.07 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 8.95 | | | | 3.17 | | | | (.97 | ) | | | 2.58 | | | | 6.16 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | — | | | | (.06 | ) | | | (.04 | ) | | | (.04 | ) | | | (.17 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 36.05 | | | $ | 27.10 | | | $ | 23.99 | | | $ | 25.00 | | | $ | 22.46 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a) | | | 33.03 | % | | | 13.23 | % | | | (3.87 | )% | | | 11.50 | % | | | 37.58 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 2.3 | | | $ | 1.8 | | | $ | 2.0 | | | $ | 1.9 | | | $ | .4 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .87 | % | | | .87 | % | | | .88 | % | | | .88 | % | | | .88 | % |
Net investment income | | | .47 | % | | | .63 | % | | | .19 | % | | | .34 | % | | | .52 | % |
Portfolio turnover rate | | | 45 | % | | | 48 | % | | | 49 | % | | | 68 | % | | | 98 | % |
| (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 return 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 on average shares outstanding during the year. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | Flexible Managed Portfolio
| |
| | | Year Ended December 31,
| |
| | | 2013(a)
| | | 2012
| | | 2011
| | | 2010
| | | 2009
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 17.77 | | | $ | 15.99 | | | $ | 15.63 | | | $ | 14.28 | | | $ | 12.34 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .36 | | | | .37 | | | | .33 | | | | .31 | | | | .34 | |
Net realized and unrealized gain on investments | | | 3.22 | | | | 1.74 | | | | .34 | | | | 1.37 | | | | 2.05 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 3.58 | | | | 2.11 | | | | .67 | | | | 1.68 | | | | 2.39 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions | | | — | | | | (.33 | ) | | | (.31 | ) | | | (.33 | ) | | | (.45 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 21.35 | | | $ | 17.77 | | | $ | 15.99 | | | $ | 15.63 | | | $ | 14.28 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(b) | | | 20.15 | % | | | 13.37 | % | | | 4.34 | % | | | 12.03 | % | | | 19.95 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 3,730.6 | | | $ | 3,265.8 | | | $ | 3,036.8 | | | $ | 3,077.3 | | | $ | 2,906.0 | |
Ratios to average net assets(c): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .63 | % | | | .63 | % | | | .63 | % | | | .64 | % | | | .63 | % |
Net investment income | | | 1.86 | % | | | 2.05 | % | | | 2.01 | % | | | 2.06 | % | | | 2.50 | % |
Portfolio turnover rate(d) | | | 210 | % | | | 214 | % | | | 246 | % | | | 205 | % | | | 248 | % |
| |
| | | Global Portfolio
| |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| | | 2011
| | | 2010
| | | 2009
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 19.57 | | | $ | 16.94 | | | $ | 18.49 | | | $ | 16.68 | | �� | $ | 13.07 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .31 | | | | .36 | | | | .29 | | | | .28 | | | | .28 | |
Net realized and unrealized gain (loss) on investments | | | 5.03 | | | | 2.57 | | | | (1.56 | ) | | | 1.79 | | | | 3.75 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 5.34 | | | | 2.93 | | | | (1.27 | ) | | | 2.07 | | | | 4.03 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions | | | — | | | | (.30 | ) | | | (.28 | ) | | | (.26 | ) | | | (.42 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 24.91 | | | $ | 19.57 | | | $ | 16.94 | | | $ | 18.49 | | | $ | 16.68 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(b) | | | 27.29 | % | | | 17.52 | % | | | (6.97 | )% | | | 12.74 | % | | | 31.39 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 744.5 | | | $ | 611.2 | | | $ | 564.2 | | | $ | 648.5 | | | $ | 619.5 | |
Ratios to average net assets(c): | | | | | | | | | | | | | | | | | | | | |
Expenses after waivers and/or expense reimbursements | | | .84 | % | | | .84 | % | | | .84 | % | | | .87 | % | | | .85 | % |
Expenses before waivers and/or expense reimbursements | | | .84 | % | | | .84 | % | | | .84 | % | | | .87 | % | | | .85 | % |
Net investment income | | | 1.29 | % | | | 1.82 | % | | | 1.54 | % | | | 1.60 | % | | | 1.77 | % |
Portfolio turnover rate | | | 70 | % | | | 57 | % | | | 69 | % | | | 69 | % | | | 50 | % |
| (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. |
| (d) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate. |
SEE NOTES TO FINANCIAL STATEMENTS.
C3
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | Government Income Portfolio
| |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| | | 2011
| | | 2010
| | | 2009
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 12.15 | | | $ | 12.37 | | | $ | 12.03 | | | $ | 11.86 | | | $ | 11.40 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .21 | | | | .25 | | | | .30 | | | | .35 | | | | .37 | |
Net realized and unrealized gain (loss) on investments | | | (.49 | ) | | | .19 | | | | .60 | | | | .47 | | | | .49 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | (.28 | ) | | | .44 | | | | .90 | | | | .82 | | | | .86 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions | | | (.57 | ) | | | (.66 | ) | | | (.56 | ) | | | (.65 | ) | | | (.40 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 11.30 | | | $ | 12.15 | | | $ | 12.37 | | | $ | 12.03 | | | $ | 11.86 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a) | | | (2.34 | )% | | | 3.63 | % | | | 7.63 | % | | | 6.99 | % | | | 7.71 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 341.1 | | | $ | 382.9 | | | $ | 416.7 | | | $ | 399.2 | | | $ | 375.4 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .49 | % | | | .48 | % | | | .46 | % | | | .50 | % | | | .47 | % |
Net investment income | | | 1.78 | % | | | 1.96 | % | | | 2.48 | % | | | 2.87 | % | | | 3.11 | % |
Portfolio turnover rate(c) | | | 1135 | % | | | 1154 | % | | | 1554 | % | | | 1122 | % | | | 1179 | % |
| |
| | | High Yield Bond Portfolio
| |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| | | 2011
| | | 2010
| | | 2009
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 5.26 | | | $ | 4.93 | | | $ | 5.06 | | | $ | 4.83 | | | $ | 3.61 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .34 | | | | .35 | | | | .38 | | | | .42 | | | | .41 | |
Net realized and unrealized gain (loss) on investments | | | .03 | | | | .34 | | | | (.13 | ) | | | .23 | | | | 1.22 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | .37 | | | | .69 | | | | .25 | | | | .65 | | | | 1.63 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions | | | (.34 | ) | | | (.36 | ) | | | (.38 | ) | | | (.42 | ) | | | (.41 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 5.29 | | | $ | 5.26 | | | $ | 4.93 | | | $ | 5.06 | | | $ | 4.83 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a) | | | 7.26 | % | | | 14.43 | % | | | 5.10 | % | | | 14.05 | % | | | 47.16 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 3,020.5 | | | $ | 2,841.8 | | | $ | 2,158.4 | | | $ | 2,141.2 | | | $ | 1,938.3 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .57 | % | | | .57 | % | | | .58 | % | | | .58 | % | | | .58 | % |
Net investment income | | | 6.34 | % | | | 6.95 | % | | | 7.53 | % | | | 8.51 | % | | | 9.75 | % |
Portfolio turnover rate | | | 54 | % | | | 53 | % | | | 68 | % | | | 89 | % | | | 84 | % |
| (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) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | Jennison Portfolio
| |
| | | Class I
| |
| | | Year Ended December 31,
| |
| | | 2013(a)
| | | 2012(a)
| | | 2011
| | | 2010(a)
| | | 2009(a)
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 26.98 | | | $ | 23.26 | | | $ | 23.26 | | | $ | 20.87 | | | $ | 14.69 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .06 | | | | .11 | | | | .03 | | | | .06 | | | | .08 | |
Net realized and unrealized gain on investments | | | 10.11 | | | | 3.65 | | | | .04 | | | | 2.42 | | | | 6.22 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 10.17 | | | | 3.76 | | | | .07 | | | | 2.48 | | | | 6.30 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions | | | — | | | | (.04 | ) | | | (.07 | ) | | | (.09 | ) | | | (.12 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 37.15 | | | $ | 26.98 | | | $ | 23.26 | | | $ | 23.26 | | | $ | 20.87 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(b) | | | 37.69 | % | | | 16.18 | % | | | .30 | % | | | 11.95 | % | | | 43.03 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 1,551.9 | | | $ | 1,213.3 | | | $ | 1,126.3 | | | $ | 1,362.1 | | | $ | 1,298.7 | |
Ratios to average net assets(c): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .63 | % | | | .63 | % | | | .64 | % | | | .64 | % | | | .64 | % |
Net investment income | | | .18 | % | | | .42 | % | | | .16 | % | | | .29 | % | | | .44 | % |
Portfolio turnover rate | | | 40 | % | | | 45 | % | | | 51 | % | | | 67 | % | | | 76 | % |
| |
| | | Jennison Portfolio
| |
| | | Class II
| |
| | | Year Ended December 31,
| |
| | | 2013(a)
| | | 2012(a)
| | | 2011
| | | 2010(a)
| | | 2009(a)
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 26.49 | | | $ | 22.89 | | | $ | 22.91 | | | $ | 20.55 | | | $ | 14.46 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | (.07 | ) | | | — | (d) | | | (.07 | ) | | | (.02 | ) | | | .01 | |
Net realized and unrealized gain on investments | | | 9.91 | | | | 3.60 | | | | .05 | | | | 2.38 | | | | 6.13 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 9.84 | | | | 3.60 | | | | (.02 | ) | | | 2.36 | | | | 6.14 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions | | | — | | | | — | | | | — | | | | — | (d) | | | (.05 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 36.33 | | | $ | 26.49 | | | $ | 22.89 | | | $ | 22.91 | | | $ | 20.55 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(b) | | | 37.15 | % | | | 15.73 | % | | | (.09 | )% | | | 11.50 | % | | | 42.52 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 40.3 | | | $ | 33.6 | | | $ | 31.9 | | | $ | 33.2 | | | $ | 20.2 | |
Ratios to average net assets(c): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 1.03 | % | | | 1.03 | % | | | 1.04 | % | | | 1.04 | % | | | 1.04 | % |
Net investment income (loss) | | | (.22 | )% | | | .02 | % | | | (.24 | )% | | | (.10 | )% | | | .03 | % |
Portfolio turnover rate | | | 40 | % | | | 45 | % | | | 51 | % | | | 67 | % | | | 76 | % |
| (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,
| |
| | | 2013
| | | 2012
| | | 2011
| | | 2010
| | | 2009
| |
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) | | | — | (a) | | | — | (a) | | | — | (a) | | | .04 | |
Distributions | | | — | (a) | | | — | (a) | | | — | (a) | | | — | (a) | | | (.04 | ) |
Capital contributions(c) | | | — | | | | — | | | | — | | | | — | (a) | | | — | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 10.00 | | | $ | 10.00 | | | $ | 10.00 | | | $ | 10.00 | | | $ | 10.00 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(b) | | | — | %(d) | | | .01 | % | | | .02 | % | | | .03 | % | | | .40 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 866.0 | | | $ | 903.5 | | | $ | 1,016.0 | | | $ | 1,127.1 | | | $ | 1,223.4 | |
Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
Expenses after waivers and/or expense reimbursements | | | .17 | % | | | .21 | % | | | .18 | % | | | .25 | % | | | .39 | % |
Expenses before waivers and/or expense reimbursements | | | .44 | % | | | .44 | % | | | .42 | % | | | .44 | % | | | .43 | % |
Net investment income | | | .00 | % | | | .01 | % | | | .02 | % | | | .03 | % | | | .41 | % |
| (a) | Less than $.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) | The Portfolio received payments related to an unaffiliated-third party’s settlement of regulatory proceedings involving allegations of improper trading in Portfolio shares during the fiscal year ended December 31, 2010. The Portfolio was not involved in the proceedings or in the calculation of the amount of settlement. |
SEE NOTES TO FINANCIAL STATEMENTS.
C6
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | Natural Resources Portfolio
| |
| | | Class I
| |
| | | Year Ended December 31,
| |
| | | 2013(a)
| | | 2012
| | | 2011(a)
| | | 2010(a)
| | | 2009(a)
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 33.83 | | | $ | 38.25 | | | $ | 47.33 | | | $ | 37.15 | | | $ | 23.70 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .20 | | | | .25 | | | | .16 | | | | .08 | | | | .15 | |
Net realized and unrealized gain (loss) on investments | | | 3.26 | | | | (1.49 | ) | | | (9.16 | ) | | | 10.26 | | | | 17.34 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 3.46 | | | | (1.24 | ) | | | (9.00 | ) | | | 10.34 | | | | 17.49 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions | | | — | | | | (3.18 | ) | | | (.08 | ) | | | (.16 | ) | | | (4.04 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 37.29 | | | $ | 33.83 | | | $ | 38.25 | | | $ | 47.33 | | | $ | 37.15 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(b) | | | 10.23 | % | | | (2.47 | )% | | | (19.03 | )% | | | 27.98 | % | | | 77.10 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 792.1 | | | $ | 802.2 | | | $ | 926.6 | | | $ | 1,259.5 | | | $ | 1,079.6 | |
Ratios to average net assets(c): | | | | | | | | | | | | | | | | | | | | |
Expenses after waivers and/or expense reimbursements | | | .48 | % | | | .50 | % | | | .50 | % | | | .50 | % | | | .53 | % |
Expenses before waivers and/or expense reimbursements | | | .51 | % | | | .50 | % | | | .50 | % | | | .50 | % | | | .53 | % |
Net investment income | | | .55 | % | | | .71 | % | | | .36 | % | | | .22 | % | | | .51 | % |
Portfolio turnover rate | | | 22 | % | | | 26 | % | | | 34 | % | | | 28 | % | | | 27 | % |
| |
| | | Natural Resources Portfolio
| |
| | | Class II
| |
| | | Year Ended December 31,
| |
| | | 2013(a)
| | | 2012
| | | 2011(a)
| | | 2010(a)
| | | 2009(a)
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 33.50 | | | $ | 37.89 | | | $ | 46.98 | | | $ | 36.88 | | | $ | 23.54 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | .05 | | | | .12 | | | | (.02 | ) | | | (.07 | ) | | | .03 | |
Net realized and unrealized gain (loss) on investments | | | 3.23 | | | | (1.51 | ) | | | (9.07 | ) | | | 10.20 | | | | 17.21 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 3.28 | | | | (1.39 | ) | | | (9.09 | ) | | | 10.13 | | | | 17.24 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions | | | — | | | | (3.00 | ) | | | — | | | | (.03 | ) | | | (3.90 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 36.78 | | | $ | 33.50 | | | $ | 37.89 | | | $ | 46.98 | | | $ | 36.88 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(b) | | | 9.79 | % | | | (2.94 | )% | | | (19.35 | )% | | | 27.48 | % | | | 76.41 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 54.1 | | | $ | 61.2 | | | $ | 67.9 | | | $ | 101.9 | | | $ | 92.6 | |
Ratios to average net assets(c): | | | | | | | | | | | | | | | | | | | | |
Expenses after waivers and/or expense reimbursements | | | .88 | % | | | .90 | % | | | .90 | % | | | .90 | % | | | .93 | % |
Expenses before waivers and/or expense reimbursements | | | .91 | % | | | .90 | % | | | .90 | % | | | .90 | % | | | .93 | % |
Net investment income (loss) | | | .15 | % | | | .31 | % | | | (.04 | )% | | | (.18 | )% | | | .10 | % |
Portfolio turnover rate | | | 22 | % | | | 26 | % | | | 34 | % | | | 28 | % | | | 27 | % |
| (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,
| |
| | | 2013
| | | 2012
| | | 2011
| | | 2010
| | | 2009
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 18.56 | | | $ | 17.00 | | | $ | 17.27 | | | $ | 13.83 | | | $ | 12.52 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .22 | | | | .26 | | | | .10 | | | | .13 | | | | .14 | |
Net realized and unrealized gain (loss) on investments | | | 7.38 | | | | 2.35 | | | | — | (c) | | | 3.43 | | | | 2.70 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 7.60 | | | | 2.61 | | | | .10 | | | | 3.56 | | | | 2.84 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions | | | — | | | | (1.05 | ) | | | (.37 | ) | | | (.12 | ) | | | (1.53 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 26.16 | | | $ | 18.56 | | | $ | 17.00 | | | $ | 17.27 | | | $ | 13.83 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a) | | | 40.95 | % | | | 16.03 | % | | | .56 | % | | | 25.93 | % | | | 25.18 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 770.1 | | | $ | 578.4 | | | $ | 542.6 | | | $ | 589.9 | | | $ | 492.2 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses after waivers and/or expense reimbursements | | | .42 | % | | | .46 | % | | | .48 | % | | | .49 | % | | | .49 | % |
Expenses before waivers and/or expense reimbursements | | | .45 | % | | | .46 | % | | | .48 | % | | | .49 | % | | | .49 | % |
Net investment income | | | .92 | % | | | 1.43 | % | | | .60 | % | | | .88 | % | | | 1.03 | % |
Portfolio turnover rate | | | 14 | % | | | 10 | % | | | 17 | % | | | 15 | % | | | 14 | % |
| |
| | | Stock Index Portfolio
| |
| | | Year Ended December 31,
| |
| | | 2013(d)
| | | 2012
| | | 2011
| | | 2010
| | | 2009
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 35.65 | | | $ | 31.47 | | | $ | 31.37 | | | $ | 27.89 | | | $ | 22.76 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .73 | | | | .68 | | | | .54 | | | | .48 | | | | .49 | |
Net realized and unrealized gain on investments | | | 10.64 | | | | 4.19 | | | | .07 | | | | 3.51 | | | | 5.32 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 11.37 | | | | 4.87 | | | | .61 | | | | 3.99 | | | | 5.81 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions | | | — | | | | (.69 | ) | | | (.51 | ) | | | (.51 | ) | | | (.68 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 47.02 | | | $ | 35.65 | | | $ | 31.47 | | | $ | 31.37 | | | $ | 27.89 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a) | | | 31.89 | % | | | 15.68 | % | | | 1.95 | % | | | 14.59 | % | | | 26.07 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 2,890.5 | | | $ | 2,340.3 | | | $ | 2,162.4 | | | $ | 2,277.6 | | | $ | 2,098.1 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses after waivers and/or expense reimbursements | | | .32 | % | | | .32 | % | | | .33 | % | | | .36 | % | | | .37 | % |
Expenses before waivers and/or expense reimbursements | | | .37 | % | | | .37 | % | | | .38 | % | | | .38 | % | | | .37 | % |
Net investment income | | | 1.77 | % | | | 1.97 | % | | | 1.74 | % | | | 1.70 | % | | | 2.06 | % |
Portfolio turnover rate | | | 3 | % | | | 2 | % | | | 2 | % | | | 4 | % | | | 5 | % |
| (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) | Less than $0.005 per share. |
| (d) | Calculated based on average shares outstanding during the year. |
SEE NOTES TO FINANCIAL STATEMENTS.
C8
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | Value Portfolio
| |
| | | Class I
| |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| | | 2011
| | | 2010
| | | 2009
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 18.07 | | | $ | 15.93 | | | $ | 17.04 | | | $ | 15.10 | | | $ | 10.86 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .22 | | | | .22 | | | | .14 | | | | .17 | | | | .14 | |
Net realized and unrealized gain (loss) on investments | | | 5.76 | | | | 2.09 | | | | (1.08 | ) | | | 1.90 | | | | 4.36 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 5.98 | | | | 2.31 | | | | (.94 | ) | | | 2.07 | | | | 4.50 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions | | | — | | | | (.17 | ) | | | (.17 | ) | | | (.13 | ) | | | (.26 | ) |
| | |
|
|
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Net Asset Value, end of year | | $ | 24.05 | | | $ | 18.07 | | | $ | 15.93 | | | $ | 17.04 | | | $ | 15.10 | |
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Total Return(a) | | | 33.09 | % | | | 14.62 | % | | | (5.58 | )% | | | 13.86 | % | | | 41.93 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 1,568.7 | | | $ | 1,263.3 | | | $ | 1,231.6 | | | $ | 1,432.9 | | | $ | 1,181.7 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses after waivers and/or expense reimbursements | | | .40 | % | | | .43 | % | | | .43 | % | | | .44 | % | | | .43 | % |
Expenses before waivers and/or expense reimbursements | | | .43 | % | | | .43 | % | | | .43 | % | | | .44 | % | | | .43 | % |
Net investment income | | | 1.06 | % | | | 1.36 | % | | | .90 | % | | | 1.08 | % | | | 1.15 | % |
Portfolio turnover rate | | | 41 | % | | | 28 | % | | | 43 | % | | | 63 | % | | | 51 | % |
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Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 18.20 | | | $ | 16.04 | | | $ | 17.13 | | | $ | 15.16 | | | $ | 10.91 | |
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Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .16 | | | | .17 | | | | .08 | | | | .12 | | | | .13 | |
Net realized and unrealized gain (loss) on investments | | | 5.76 | | | | 2.08 | | | | (1.08 | ) | | | 1.90 | | | | 4.33 | |
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Total from investment operations | | | 5.92 | | | | 2.25 | | | | (1.00 | ) | | | 2.02 | | | | 4.46 | |
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Less Distributions | | | — | | | | (.09 | ) | | | (.09 | ) | | | (.05 | ) | | | (.21 | ) |
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Net Asset Value, end of year | | $ | 24.12 | | | $ | 18.20 | | | $ | 16.04 | | | $ | 17.13 | | | $ | 15.16 | |
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Total Return(a) | | | 32.53 | % | | | 14.14 | % | | | (5.89 | )% | | | 13.39 | % | | | 41.26 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 7.4 | | | $ | 6.2 | | | $ | 6.0 | | | $ | 7.1 | | | $ | 3.7 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses after waivers and/or expense reimbursements | | | .80 | % | | | .83 | % | | | .83 | % | | | .84 | % | | | .83 | % |
Expenses before waivers and/or expense reimbursements | | | .83 | % | | | .83 | % | | | .83 | % | | | .84 | % | | | .83 | % |
Net investment income | | | .66 | % | | | .95 | % | | | .50 | % | | | .69 | % | | | .74 | % |
Portfolio turnover rate | | | 41 | % | | | 28 | % | | | 43 | % | | | 63 | % | | | 51 | % |
| (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 schedules of investments, as of December 31, 2013, 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, 2013, 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, 2013, 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 14, 2014
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 Investment Company Act of 1940, 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 Investment Company Act of 1940.
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| Independent Trustees(1) | | | | |
Name, Address, Age No. of Portfolios Overseen | | Principal Occupation(s) During Past Five Years | | Other Directorships Held |
Susan Davenport Austin (46) No. of Portfolios Overseen: 98 | | Vice Chairman (since 2013), Senior Vice President and Chief Financial Officer (2007-2012) 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); Chairman of the Board of Directors, Broadcast Music, Inc. (Since 2007); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010). | | None. |
Sherry S. Barrat (64) No. of Portfolios Overseen: 98 | | Formerly, Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly, President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly, Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly, President & CEO, Palm Beach/Martin County Region, Northern Trust. | | Director of NextEra Energy, Inc. (formerly, FPL Group, Inc.) (1998-Present); Director of Arthur J. Gallagher & Company (since July 2013). |
Kay Ryan Booth (63) No. of Portfolios Overseen: 98 | | Managing Director of Cappello Waterfield & Co. LLC (since 2011); formerly, Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly, Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly, Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995). | | None. |
Delayne Dedrick Gold (75) No. of Portfolios Overseen: 98 | | Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc. | | None. |
Robert F. Gunia (67) No. of Portfolios Overseen: 98 | | 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. |
W. Scott McDonald, Jr., Ph.D. (76) No. of Portfolios Overseen: 98 | | 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 (72) No. of Portfolios Overseen: 98 | | Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976). | | None. |
E1
| | | | |
| Independent Trustees(1) | | | | |
Name, Address, Age No. of Portfolios Overseen | | Principal Occupation(s) During Past Five Years | | Other Directorships Held |
Thomas M. O’Brien (63) No. of Portfolios Overseen: 98 | | Director, The BankUnited (NYSE: BKU) (since May 2012); Consultant, Valley National Bancorp, Inc. and Valley National Bank (since January 2012); Formerly President and COO (November 2006-December 2011) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York. | | Formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006-January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island. |
| Interested Trustees(1) | | | | |
Robert F. O’Donnell (45) No. of Portfolios Overseen: 98 | | President of Prudential Annuities (since April 2012); Senior Vice President, Head of Product, Investment Management & Marketing for Prudential Annuities (October 2008-April 2012); Senior Vice President, Head of Product (July 2004-October 2008). | | None. |
Timothy S. Cronin (48) Number of Portfolios Overseen: 98 | | 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. |
Bruce W. Ferris (58) Number of Portfolios Overseen: 98 | | Senior Vice President, Sales and Distribution, Product, Marketing, Prudential Annuities (since May 2006); Vice President-Sales, The Hartford Insurance Company (October 1994-April 2005); Sales Manager, Aetna Investment Services (October 1993-September 1994). | | None. |
(1) The year that each Trustee joined the Fund’s Board is as follows: Susan Davenport Austin, 2011; Sherry S. Barrat, 2013; Kay Ryan Booth, 2013; Delayne Dedrick Gold, 2001; Robert F. Gunia, 2001; W. Scott McDonald, Jr. 1983; Thomas T. Mooney, 2001; Thomas M. O’Brien, 2003; Robert F. O’Donnell, 2012; Timothy S. Cronin, 2011; Bruce W. Ferris, 2013.
| | |
| Fund Officers(a)(1) | | |
Name, Address and Age Position with the Fund | | Principal Occupation(s) During the Past Five Years |
Raymond A. O’Hara (58) Chief Legal Officer | | Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.). |
Deborah A. Docs (56) Secretary | | Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of Prudential Investments LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. |
Kathleen DeNicholas (39) Assistant Secretary | | Vice President and Corporate Counsel (since May 2013) of Prudential; Managing Counsel at The Bank of New York Mellon Corporation (2011-2013); formerly Senior Counsel (2007-2011) and Assistant General Counsel (2001-2007) of The Dreyfus Corporation; Chief Legal Officer and Secretary of MBSC Securities Corporation (2011-2013); Vice President and Assistant Secretary of The Dreyfus Family of Funds (2010-2012). |
Claudia DiGiacomo (39) Assistant Secretary | | Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of Prudential Investments LLC (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004). |
Jonathan D. Shain (55) Assistant Secretary | | Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of Prudential Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. |
Andrew R. French (51) Assistant Secretary | | Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of Prudential Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC. |
Amanda S. Ryan (36) Assistant Secretary | | Director and Corporate Counsel (since March 2012) of Prudential; Director and Assistant Secretary (since June 2012) of Prudential Investments LLC; Associate at Ropes & Gray (2008-2012). |
Bruce Karpati (44) Chief Compliance Officer | | Chief Compliance Officer of the Prudential Investments Funds, Target Funds, Advanced Series Trust, the Prudential Series Fund and Prudential’s Gibraltar Fund, Inc. (May 2013-Present); formerly National Chief (May 2012-May 2013) and Co-Chief (January 2010-May 2012) of the Asset Management Unit, Division of Enforcement, of the U.S. Securities & Exchange Commission; Assistant Regional Director (January 2005-January 2010) of the U.S. Securities & Exchange Commission. |
Theresa C. Thompson (51) Deputy Chief Compliance Officer | | Vice President, Compliance, Prudential Investments LLC (since April 2004); and Director, Compliance, Prudential Investments LLC (2001-2004). |
E2
| | |
| Fund Officers(a)(1) | | |
Name, Address and Age Position with the Fund | | Principal Occupation(s) During the Past Five Years |
Richard W. Kinville (45) Anti-Money Laundering Compliance Officer | | Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2005) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2007); formerly Investigator and Supervisor in the Special Investigations Unit for the New York Central Mutual Fire Insurance Company (August 1994-January 1999); Investigator in AXA Financial’s Internal Audit Department and Manager in AXA’s Anti-Money Laundering Office (January 1999-January 2005); first chair of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (June 2007-December 2009). |
Grace C. Torres (54) Treasurer and Principal Financial and Accounting Officer | | Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of Prudential Investments LLC; 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 (50) Assistant Treasurer | | Vice President (since 2005) of Prudential Investments LLC. |
Peter Parrella (55) 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 (57) Assistant Treasurer | | Vice President and Corporate Counsel – Tax, Prudential Financial, Inc. (since October 2003). |
(a) Excludes Mr. O’Donnell and Mr. Cronin, Interested Trustees who also serve as President and Vice President, respectively.
(1) The year in which each individual became an Officer of the Fund is as follows: Raymond A. O’Hara, 2012; Deborah A. Docs, 2005; Kathleen DeNicholas, 2013; Claudia DiGiacomo, 2005; Jonathan D. Shain, 2005; Andrew R. French, 2006; Amanda S. Ryan, 2012; Bruce Karpati, 2013; Theresa C. Thompson, 2008; Richard W. Kinville, 2011; 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 Investment Company Act of 1940, by reason of their affiliation with Prudential Investments LLC and/or an affiliate of Prudential Investments LLC. Robert F. O’Donnell, Timothy S. Cronin and Bruce W. Ferris are Interested Trustees because they are employed by an affiliate of the Manager of the Fund.
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 Investment Company Act of 1940.
“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, Prudential’s Gibraltar Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Global Short Duration High Yield Fund, Inc.
E3
This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.
A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request by calling the appropriate phone number listed below. 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 Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.
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 or by calling the telephone number referenced below.
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.
This report may include financial information pertaining to certain portfolios that are not available through the variable annuity contract or the variable life insurance policy that you have chosen. Please refer to your variable product prospectus to determine which portfolios are available to you.
To contact your client services representative, please call the phone number listed below. Thank you.
Owners of Individual Annuity contracts should call (888) 778-2888.
Owners of Individual Life Insurance contracts should call (800) 778-2255.
Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.
Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.
The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), Three Gateway Center, 14th Floor, Newark, NJ 07102-4077, member SIPC, a Prudential Financial company and solely responsible for its own financial condition and contractual obligations.
Annuity and life insurance 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 | | | | PRESORTED STD U.S. POSTAGE PAID HARRISONBURG, VA PERMIT No. 250 ZIP CODE 22801 |
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The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation, and The Prudential Insurance Company of America are available upon request. You may call (800)778-2255 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. Householding is not yet available on all products. You should be aware that by calling (877)778-5008, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.
Prudential, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.
0239280-00003-00 PSF-AR-A
THE PRUDENTIAL SERIES FUND
ANNUAL REPORT Ÿ DECEMBER 31, 2013
This report is one of several that provides financial information about certain investment choices available under the variable annuity or variable life insurance contract you own. 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 annuity or variable life insurance contract prospectus to determine which portfolios are available to you.
The views expressed in this report and information about the Fund’s portfolio holdings are for the period covered by this report and are subject to change thereafter.
Please note that this document may include prospectus supplements that are separate from and not a part of this report. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.
For information regarding enrollment in the e-Delivery program, please see the inside front cover of this report.
|
SP International Growth Portfolio |
SP International Value Portfolio |
SP Prudential U.S. Emerging Growth Portfolio |
SP Small Cap Value Portfolio |
For information about enrolling in e-Delivery, please refer to the instructions below. Thank you.
Individual Annuity Contract Owners - To receive your reports online, go to www.annuities.prudential.com/investor/edelivery, or scan the code below.
Individual Life Insurance Contract Owners - To receive your reports online, go to www.prudential.com/edelivery, or scan the code below.
Group Variable Universal Life Contract Owners - To receive your reports online, go to www.prudential.com/gulgvul, or scan the code below.
| | | | |
The Prudential Series Fund Table of Contents | | Annual Report | | December 31, 2013 |
| n | | LETTER TO CONTRACT OWNERS |
| n | | PRESENTATION OF PORTFOLIO HOLDINGS |
| n | | FEES AND EXPENSES TABLE |
| | | | |
| Section A | | Schedule of Investments and Financial Statements |
| | |
| | | SP International Growth Portfolio | | A1 |
| | | SP International Value Portfolio | | A7 |
| | | SP Prudential U.S. Emerging Growth Portfolio | | A14 |
| | | SP Small Cap Value Portfolio | | A18 |
| | |
| Section B | | Notes to Financial Statements | | |
| Section C | | Financial Highlights | | |
| Section D | | Report of Independent Registered Public Accounting Firm | | |
| Section E | | 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.
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The Prudential Series Fund Letter to Contract Owners | | Annual Report | | December 31, 2013 |
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. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Robert F. O’Donnell
President,
The Prudential Series Fund | January 31, 2014 |
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The Prudential Series Fund, SP International Growth Portfolio | | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
| | | | | | | | | | | | |
| Average Annual Total Returns | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio: Class I | | | 18.87 | % | | | 14.12 | % | | | 6.56 | % |
Portfolio: Class II | | | 18.51 | | | | 13.69 | | | | 6.13 | |
MSCI EAFE® Index (GD) | | | 23.29 | | | | 12.96 | | | | 7.39 | |
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, 2013 the SP International Growth Portfolio Class I shares returned 18.87% and the Class II shares returned 18.51%.
The Portfolio’s assets are subadvised by William Blair & Company, Jennison Associates LLC, and a third subadviser. Marsico Capital Management, LLC subadvised the third segment in 2013 until its replacement by Neuberger Berman Management LLC, in June. The investment objective of the Portfolio is long-term growth of capital.
The MSCI EAFE Index (GD) (the Index) climbed by 23.29% for the year. Large gains were common among developed market countries, as investors became convinced that the global economy was recovering, albeit slowly. In terms of economic sectors, telecommunication services and consumer discretionary stocks led the market, while materials, energy, and utilities trailed.
Allocations to emerging markets countries, which are not in the Index, had the largest negative impact on performance relative to that Index. Allocations to Mexico, Brazil, South Korea, South Africa, and Turkey all significantly detracted as emerging markets suffered from the potential impact of the end of U.S. Federal Reserve’s easing, which may cause interest rates to rise and capital flows into emerging markets to decline. All subadvisers routinely invest in emerging markets stocks, where they have found significant growth opportunities and within the Portfolio’s expectations.
Underweights in Japan also detracted. The William Blair and Jennison subadvised segments routinely underweighted Japan, as higher growth opportunities have been difficult to find. The Neuberger subadvised segment also underweighted Japan. Last year, Japanese stocks advanced significantly as the new government led by Shinzo Abe announced reforms that included stimulus policies. This led to a declining yen, and stocks of Japanese exporters rose, benefiting the Japanese market as a whole. However, it is still unclear whether these reforms will produce long-term growth, and Neuberger and Jennison continue to underweight Japan, while William Blair recently found a few more opportunities, and had a market weight as of December 31, 2013.
In aggregate, stock selection detracted from returns, as financial sector holdings for the Jennison, Neuberger, and William Blair subadvised segments did not keep pace with corresponding Index components. From a country perspective, subadviser Jennison’s U.K. holdings outperformed the corresponding Index components, offsetting some negative relative performance. Moreover, overall Portfolio allocations to various economic sectors contributed to its relative performance. As global economic conditions improved, international consumer discretionary stocks benefited, while the slowdown in China led to commodity price declines and faltering materials stocks. The William Blair and Jennison subadvised segments look for companies with higher growth rates, so they were overweight in the consumer discretionary sector and underweight in materials companies, which tend to have lower growth rates.
At times, the William Blair subadvised segment uses derivatives to hedge, which had a slight negative impact in 2013. Although the yen weakened against the dollar for the year as a whole, there were times in the middle of the year when it strengthened. British sterling gained against the dollar through most of the year as European prospects continued to improve.
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.
Jennison Associates LLC is a registered investment adviser and a Prudential Financial company.
1
| | |
| The Prudential Series Fund, SP International Value Portfolio | | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
| | | | | | | | | | | | |
| Average Annual Total Returns | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 20.09 | % | | | 12.34 | % | | | 7.23 | % |
MSCI EAFE® Index (GD) | | | 23.29 | | | | 12.96 | | | | 7.39 | |
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, 2013, the SP International Value Portfolio returned 20.09%.
The Portfolio’s assets are subadvised by LSV Asset Management (LSV) and Thornburg Investment Management (Thornburg). The Portfolio’s investment managers allocate a portion of the assets to each. The Portfolio’s Investment objective is long-term capital appreciation.
The MSCI EAFE Index (GD) (the Index) gained 23.29%. International investors in the value style had an easier time outperforming the Index than did international growth managers. The Index outperformed almost half of the funds in the Lipper VP International Core and International Growth universes, while slightly outperforming the median of the value universe. Its return was dominated by its financials sector, which makes up about a quarter of the Index by capitalization, and which rose more than 20% in U.S. dollars. The smaller telecommunication services, consumer discretionary, and health care sectors performed even better.
The Portfolio’s underperformance of the Index was largely the result of asset selection in the industrials and consumer discretionary sectors. In the industrials sector, underperformance was concentrated in the capital goods industries, while stock selection in the Pacific Rim region accounted for underperformance in the consumer discretionary sector. This occurred notably in the automobile components and consumer apparel groups. Conversely, the Portfolio’s relative performance was helped by its stock selection in the materials, technology, telecommunication and utilities sectors. Geographically, holdings in France, the United Kingdom, Switzerland, and Mexico contributed to relative performance.
A small, yet consistent, allocation to cash, held to assist with day-to-day cash flow management, had a negative impact on performance as foreign equity markets rallied strongly in 2013.
From time-to-time, Thornburg will use currency forwards (a form of a 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. Overall for 2013, foreign exchange hedging had a slightly positive effect on the 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.
2
| | |
The Prudential Series Fund, SP Prudential U.S. Emerging Growth Portfolio | | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
| | | | | | | | | | | | |
| Average Annual Total Returns | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio: Class I | | | 28.47 | % | | | 21.27 | % | | | 11.84 | % |
Portfolio: Class II | | | 27.83 | | | | 20.73 | | | | 11.43 | |
Russell Midcap® Growth Index | | | 35.74 | | | | 23.37 | | | | 9.77 | |
S&P Midcap 400 Index | | | 33.50 | | | | 21.89 | | | | 10.36 | |
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. Unless noted otherwise, Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception (Class II). The
$10,000 INVESTED OVER 10 YEARS1
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 ended December 31, 2013, the SP Prudential U.S. Emerging Growth Portfolio Class I shares returned 28.47% and Class II shares returned 27.83%.
The Portfolio is subadvised by Jennison Associates LLC. The Portfolio’s investment objective is long-term capital appreciation.
Despite strong gains, the Portfolio underperformed its benchmark, the Russell Midcap Growth Index (the Index). Jennison’s strategy is to purchase stable growth companies. During the year certain stocks in the benchmark that the subadviser considers aggressive growth companies with unproven business models or value stocks with historically modest growth performed particularly well.
Stock selection in consumer discretionary along with a large underweight stance in the sector proved detrimental, though no individual holding was a significant detractor.
Other sources of relative weakness included stock selection in information technology and energy as well as a meaningful overweight in telecommunication services which was the Index’s weakest sector during the period.
Within information technology, Rackspace Hosting, which was a notable contributor last fiscal year, suffered an outsized loss. Shares of the cloud services provider fell due to the heavy investment spending needed to expand the business and transition to a new product line. The company’s success in hybrid cloud services is key to Jennison’s investment decision, along with improving their branding and opening new, more profitable data centers.
Teradata, a provider of analytic data solutions reported disappointing results as large deal activity was weak and it appears as though its management team has lost the ability to forecast when and if deals will close. The Portfolio no longer holds a position in Teradata.
Shares of Canada-based international gold producer Eldorado Gold sold off after the company provided guidance for 2013-2016 that was lower than some analysts had anticipated. Eldorado operates in challenging environments in Greece, Turkey, and China and has experienced difficulties in some of the projects in its pipeline. The Portfolio no longer holds a position in Eldorado Gold.
NII Holdings was plagued by poor operational and financial results, the continued depreciation of local currency exchange rates, and the expected impact of Project Accelerate on its near-term earnings. Project Accelerate aims to intensify and refocus previously planned initiatives such as aggressive marketing campaigns, offering smartphones, and accelerating early deployment of LTE technology in select cities to boost growth next year.
Healthcare added the most value on both an absolute and relative basis. Valeant Pharmaceuticals, Universal Health Services, Vertex Pharmaceuticals drove results. Valeant Pharmaceuticals announced an acquisition of Bausch and Lomb from private equity, boosting its ophthalmology franchise.
Vertex Pharmaceuticals received positive news for one of its cystic fibrosis drugs, which was a very favorable indicator for Vertex’s pipeline.
Shares of Universal Health Services rose in tandem with many other hospitals as the stocks began to reflect the potential benefit of healthcare reform which will start in 2014.
Stock selection in consumer staples was also beneficial. Herbalife, a notable detractor last fiscal year, reported strong quarterly results, with volume and sales growth up meaningfully. Jennison continues to like the company’s ongoing pursuit of new markets, its generation of new products for existing markets, its solid balance sheet, and potential for additional share repurchases.
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 adviser and Prudential Financial company.
3
| | |
The Prudential Series Fund, SP Small Cap Value Portfolio | | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
| | | | | | | | | | | | |
| Average Annual Total Returns | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio | | | 37.45 | % | | | 20.70 | % | | | 9.52 | % |
Russell 2000® Value Index | | | 34.52 | | | | 17.64 | | | | 8.61 | |
Russell 2500™ Index | | | 36.80 | | | | 21.77 | | | | 9.81 | |
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, 2013, the SP Small Cap Value Portfolio returned 37.45%.
The Portfolio is subadvised by Goldman Sachs Asset Management, L.P. (Goldman) and ClearBridge Advisors, LLC (ClearBridge). The Portfolio’s investment objective is long-term growth of capital. The Portfolio’s investment manager allocates a portion of the assets to each.
The Russell 2000 Value Index (the Index) gained 34.52%. It was a very strong year for domestic stocks. As is often the case in an economic recovery, stocks of smaller firms led the way. Although shares of rapidly growing firms only slightly outperformed value stocks in the large- and mid-cap markets, the style disparity was huge (almost 10 percentage points) among small caps, taken over the whole year. Financial stocks make up well over a third of the Index and they had a below-average, although still high, absolute return. However, there were very strong returns (sector averages above 40%) in the consumer discretionary, consumer staples, healthcare, industrials, and information technology sectors.
The Portfolio outperformed this strong benchmark primarily because of good stock selection within each sector, which is not surprising, since both subadvisers are bottom-up stock pickers. They were most effective this year relative to the Index in the financials (especially capital market companies and commercial banks), energy, and materials (mostly metals and miners) sectors. Although the Goldman subadvised portion had the better return of the two subadvisers, it was not by a significant amount.
Distribution of holdings among sectors slightly dragged on the Portfolio’s relative performance. It was underweight in the consumer discretionary sector, which was the strongest of the nine economic sectors in 2013. Having a modest cash position also detracted from relative performance, as the Index return was so high. The cash position results from the subadvisers’ investment process and is not used as a tactical tool. If the Index had been negative, the cash weight would have buffered that impact as well.
The Portfolio had a modest tilt toward stocks of rapidly growing firms, which helped its performance given the market preference for growth in small caps.
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.
4
| | |
Prudential Series Fund Presentation of Portfolio Holdings — unaudited | | December 31, 2013 |
| | | | |
| SP International Growth | |
| Five Largest Holdings | | | (% of Net Assets | ) |
Tencent Holdings Ltd. (China)
| | | 2.7% | |
Roche Holding AG (Switzerland)
| | | 2.6% | |
| Inditex SA (Spain) | | | 2.2% | |
| | | | | |
| Continental AG (Germany) | | | 1.8% | |
| ASOS PLC (United Kingdom) | | | 1.8% | |
| | | | |
| SP International Value | |
| Five Largest Holdings | | | (% of Net Assets | ) |
Novartis AG (Switzerland)
| | | 1.5% | |
| Royal Dutch Shell PLC (Class B Stock) (Netherlands) | | | 1.5% | |
| Roche Holding AG (Switzerland) | | | 1.5% | |
| Mitsubishi UFJ Financial Group, Inc. (Japan) | | | 1.4% | |
| Deutsche Bank AG (Germany) | | | 1.3% | |
| | | | |
| SP Prudential U.S. Emerging Growth | |
| Five Largest Holdings | | | (% of Net Assets | ) |
| SBA Communications Corp. (Class A Stock) | | | 2.4% | |
VeriSign, Inc.
| | | 2.0% | |
| Adobe Systems, Inc. | | | 2.0% | |
Henry Schein, Inc.
| | | 2.0% | |
| Dollar Tree, Inc. | | | 2.0% | |
| | | | |
| SP Small Cap Value | |
| Five Largest Holdings | | | (% of Net Assets | ) |
| iShares Russell 2000 Value Index Fund | | | 1.7% | |
| Signature Bank | | | 1.5% | |
| SVB Financial Group | | | 1.2% | |
| Affiliated Managers Group, Inc. | | | 1.1% | |
| Allied World Assurance Co. Holdings AG | | | 1.1% | |
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, 2013 |
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, 2013 through December 31, 2013.
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, 2013 | | | Ending
Account Value
December 31, 2013 | | | Annualized Expense
Ratio based on the
Six-Month Period | | | Expenses Paid
During the
Six-Month Period* | |
| SP International Growth (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,188.70 | | | | 1.39 | % | | $ | 7.67 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,018.20 | | | | 1.39 | % | | $ | 7.07 | |
| SP International Growth (Class II) | | Actual | | $ | 1,000.00 | | | $ | 1,187.40 | | | | 1.79 | % | | $ | 9.87 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,016.18 | | | | 1.79 | % | | $ | 9.10 | |
SP International Value (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,176.00 | | | | 1.18 | % | | $ | 6.47 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,019.26 | | | | 1.18 | % | | $ | 6.01 | |
| SP Prudential U.S. Emerging Growth (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,172.10 | | | | 0.68 | % | | $ | 3.72 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,021.78 | | | | 0.68 | % | | $ | 3.47 | |
| SP Prudential U.S. Emerging Growth (Class II) | | Actual | | $ | 1,000.00 | | | $ | 1,168.90 | | | | 1.08 | % | | $ | 5.90 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,019.76 | | | | 1.08 | % | | $ | 5.50 | |
| SP Small Cap Value (Class I) | | Actual | | $ | 1,000.00 | | | $ | 1,195.60 | | | | 1.06 | % | | $ | 5.87 | |
| | Hypothetical | | $ | 1,000.00 | | | $ | 1,019.86 | | | | 1.06 | % | | $ | 5.40 | |
* 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, 2013, and divided by the 365 days in the Portfolio’s fiscal year ended December 31, 2013 (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 INTERNATIONAL GROWTH PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 98.0% | |
| COMMON STOCKS — 96.5% | | Shares
| | | Value
(Note 2)
| |
Argentina — 0.7% | | | | | | | | |
MercadoLibre, Inc. | | | 5,975 | | | $ | 644,045 | |
| | | | | | |
|
|
|
Australia — 0.8% | | | | | | | | |
Brambles Ltd. | | | 35,725 | | | | 292,692 | |
CSL Ltd. | | | 5,913 | | | | 364,517 | |
Iluka Resources Ltd. | | | 16,415 | | | | 127,200 | |
Recall Holdings Ltd.* | | | 7,144 | | | | 25,898 | |
| | | | | | |
|
|
|
| | | | | | | | 810,307 | |
| | | | | | |
|
|
|
Austria — 0.3% | | | | | | | | |
Andritz AG | | | 5,165 | | | | 323,687 | |
| | | | | | |
|
|
|
Belgium — 0.3% | | | | | | | | |
Colruyt SA | | | 5,835 | | | | 326,022 | |
| | | | | | |
|
|
|
Brazil — 0.2% | | | | | | | | |
Cielo SA | | | 4,700 | | | | 130,785 | |
Kroton Educacional SA | | | 6,500 | | | | 108,166 | |
| | | | | | |
|
|
|
| | | | | | | | 238,951 | |
| | | | | | |
|
|
|
Canada — 2.8% | | | | | | | | |
Agrium, Inc. | | | 2,080 | | | | 190,278 | |
Alimentation Couche Tard, Inc.
(Class B Stock) | | | 2,080 | | | | 156,414 | |
Bank of Nova Scotia | | | 3,193 | | | | 199,681 | |
Brookfield Asset Management, Inc. (Class A Stock)(a) | | | 9,271 | | | | 359,993 | |
Canadian Pacific Railway Ltd. | | | 6,765 | | | | 1,023,680 | |
Cenovus Energy, Inc. | | | 4,870 | | | | 139,372 | |
Dollarama, Inc. | | | 2,410 | | | | 200,128 | |
New Gold, Inc.* | | | 27,940 | | | | 146,243 | |
Shawcor Ltd. | | | 3,245 | | | | 129,769 | |
Silver Wheaton Corp. | | | 8,980 | | | | 181,333 | |
| | | | | | |
|
|
|
| | | | | | | | 2,726,891 | |
| | | | | | |
|
|
|
China — 4.6% | | | | | | | | |
Baidu, Inc., ADR* | | | 575 | | | | 102,281 | |
China Mobile Ltd., ADR | | | 8,235 | | | | 430,608 | |
CIMC Enric Holdings Ltd | | | 62,000 | | | | 100,221 | |
Great Wall Motor Co. Ltd.
(Class H Stock) | | | 130,617 | | | | 723,671 | |
PICC Property & Casualty Co. Ltd.
(Class H Stock) | | | 94,800 | | | | 140,975 | |
Tencent Holdings Ltd. | | | 40,804 | | | | 2,612,577 | |
Tong Ren Tang Technologies Co. Ltd. (Class H Stock) | | | 90,099 | | | | 287,995 | |
| | | | | | |
|
|
|
| | | | | | | | 4,398,328 | |
| | | | | | |
|
|
|
Denmark — 1.5% | | | | | | | | |
Coloplast A/S (Class B Stock) | | | 4,667 | | | | 309,402 | |
Jyske Bank A/S* | | | 5,072 | | | | 274,240 | |
Novo Nordisk A/S (Class B Stock) | | | 3,447 | | | | 631,841 | |
Tryg A/S | | | 2,419 | | | | 233,917 | |
| | | | | | |
|
|
|
| | | | | | | | 1,449,400 | |
| | | | | | |
|
|
|
Finland — 0.4% | | | | | | | | |
Sampo OYJ (Class A Stock) | | | 7,305 | | | | 359,062 | |
| | | | | | |
|
|
|
France — 6.2% | | | | | | | | |
Arkema SA | | | 3,125 | | | | 364,871 | |
BNP Paribas SA | | | 18,396 | | | | 1,435,028 | |
Cap Gemini SA | | | 5,177 | | | | 350,409 | |
Dassault Systemes SA | | | 2,646 | | | | 328,448 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
France (continued) | | | | | | | | |
Eutelsat Communications SA | | | 13,670 | | | $ | 426,538 | |
Pernod-Ricard SA | | | 1,595 | | | | 181,721 | |
Publicis Groupe SA | | | 3,180 | | | | 291,369 | |
Rexel SA | | | 20,835 | | | | 546,787 | |
Sanofi | | | 4,530 | | | | 483,783 | |
Schneider Electric SA | | | 5,130 | | | | 447,551 | |
Sodexo | | | 5,020 | | | | 509,070 | |
Technip SA | | | 1,245 | | | | 119,845 | |
Vinci SA | | | 6,438 | | | | 423,179 | |
| | | | | | |
|
|
|
| | | | | | | | 5,908,599 | |
| | | | | | |
|
|
|
Germany — 8.0% | | | | | | | | |
Bayer AG | | | 11,908 | | | | 1,672,016 | |
Bayerische Motoren Werke AG | | | 4,118 | | | | 483,590 | |
Brenntag AG | | | 7,502 | | | | 1,392,346 | |
Continental AG | | | 7,730 | | | | 1,698,206 | |
Deutsche Boerse AG | | | 6,350 | | | | 526,252 | |
Linde AG | | | 2,060 | | | | 431,337 | |
ProSiebenSat.1 Media AG | | | 4,274 | | | | 212,230 | |
Rational AG | | | 291 | | | | 96,534 | |
SAP AG, ADR(a) | | | 3,990 | | | | 347,689 | |
Wirecard AG | | | 21,352 | | | | 845,164 | |
| | | | | | |
|
|
|
| | | | | | | | 7,705,364 | |
| | | | | | |
|
|
|
Hong Kong — 2.1% | | | | | | | | |
AIA Group Ltd. | | | 114,600 | | | | 576,838 | |
Jardine Matheson Holdings Ltd. | | | 4,932 | | | | 256,217 | |
Sands China Ltd. | | | 138,992 | | | | 1,139,086 | |
| | | | | | |
|
|
|
| | | | | | | | 1,972,141 | |
| | | | | | |
|
|
|
India — 0.3% | | | | | | | | |
Tata Motors Ltd. | | | 9,396 | | | | 289,397 | |
| | | | | | |
|
|
|
Indonesia — 0.4% | | | | | | | | |
PT Bank Rakyat Indonesia Persero Tbk | | | 306,000 | | | | 182,903 | |
PT Tower Bersama Infrastructure Tbk* | | | 219,750 | | | | 104,874 | |
PT Tower Bersama Infrastructure
Tbk, 144A* | | | 256,930 | | | | 122,618 | |
| | | | | | |
|
|
|
| | | | | | | | 410,395 | |
| | | | | | |
|
|
|
Ireland — 0.3% | | | | | | | | |
Ryanair Holdings PLC, ADR* | | | 5,305 | | | | 248,964 | |
| | | | | | |
|
|
|
Israel — 1.3% | | | | | | | | |
Bezeq Israeli Telecommunication Corp. Ltd. (The) | | | 251,804 | | | | 427,025 | |
Check Point Software Technologies Ltd.*(a) | | | 12,933 | | | | 834,437 | |
| | | | | | |
|
|
|
| | | | | | | | 1,261,462 | |
| | | | | | |
|
|
|
Italy — 7.5% | | | | | | | | |
Azimut Holding SpA | | | 53,389 | | | | 1,456,681 | |
Brunello Cucinelli SpA(a) | | | 22,457 | | | | 798,367 | |
Luxottica Group SpA | | | 20,056 | | | | 1,074,833 | |
Moncler SpA, 144A* | | | 29,813 | | | | 648,020 | |
Prada SpA | | | 122,343 | | | | 1,092,860 | |
World Duty Free SpA, 144A* | | | 62,948 | | | | 791,505 | |
Yoox SpA* | | | 29,148 | | | | 1,306,909 | |
| | | | | | |
|
|
|
| | | | | | | | 7,169,175 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A1
| | | | | | |
| | | SP INTERNATIONAL GROWTH PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Japan — 14.1% | | | | | | | | |
Astellas Pharma, Inc. | | | 3,400 | | | $ | 201,575 | |
Daikin Industries Ltd. | | | 5,900 | | | | 368,176 | |
Denso Corp. | | | 7,500 | | | | 396,215 | |
FANUC Corp. | | | 2,800 | | | | 513,074 | |
Fuji Heavy Industries Ltd. | | | 42,612 | | | | 1,224,625 | |
Hino Motors Ltd. | | | 57,052 | | | | 898,726 | |
Hoya Corp. | | | 4,400 | | | | 122,372 | |
Kansai Paint Co. Ltd. | | | 36,600 | | | | 541,238 | |
Keyence Corp. | | | 2,400 | | | | 1,027,645 | |
Lawson, Inc. | | | 6,200 | | | | 463,983 | |
Miraca Holdings, Inc. | | | 4,200 | | | | 198,140 | |
MISUMI Group, Inc. | | | 6,300 | | | | 198,075 | |
Mitsui Fudosan Co. Ltd. | | | 20,758 | | | | 748,755 | |
Murata Manufacturing Co. Ltd. | | | 10,560 | | | | 939,136 | |
ORIX Corp. | | | 30,300 | | | | 532,428 | |
Pigeon Corp. | | | 14,488 | | | | 702,661 | |
Rakuten, Inc. | | | 35,534 | | | | 530,289 | |
Sanrio Co. Ltd.(a) | | | 5,300 | | | | 223,169 | |
Santen Pharmaceutical Co. Ltd. | | | 4,500 | | | | 209,665 | |
Secom Co. Ltd. | | | 5,800 | | | | 349,943 | |
Shin-Etsu Chemical Co. Ltd. | | | 4,100 | | | | 239,806 | |
SMC Corp. | | | 2,300 | | | | 580,494 | |
Softbank Corp. | | | 3,700 | | | | 324,678 | |
Start Today Co. Ltd. | | | 2,500 | | | | 62,164 | |
Sugi Holdings Co. Ltd. | | | 5,200 | | | | 211,249 | |
Sumitomo Mitsui Financial Group, Inc. | | | 9,500 | | | | 494,032 | |
Toyota Motor Corp. | | | 9,300 | | | | 567,068 | |
Unicharm Corp. | | | 11,035 | | | | 629,641 | |
| | | | | | |
|
|
|
| | | | | | | | 13,499,022 | |
| | | | | | |
|
|
|
Macau — 0.4% | | | | | | | | |
MGM China Holdings Ltd. | | | 86,400 | | | | 369,781 | |
| | | | | | |
|
|
|
Mexico — 1.2% | | | | | | | | |
Alfa SAB de CV (Class A Stock) | | | 259,351 | | | | 727,410 | |
Corp. Inmobiliaria Vesta SAB de CV, 144A | | | 218,419 | | | | 380,412 | |
| | | | | | |
|
|
|
| | | | | | | | 1,107,822 | |
| | | | | | |
|
|
|
Netherlands — 1.7% | | | | | | | | |
Akzo Nobel NV | | | 5,895 | | | | 457,135 | |
ASML Holding NV | | | 2,880 | | | | 269,747 | |
Koninklijke Ahold NV | | | 24,775 | | | | 445,237 | |
Unilever NV, CVA | | | 12,725 | | | | 511,614 | |
| | | | | | |
|
|
|
| | | | | | | | 1,683,733 | |
| | | | | | |
|
|
|
Norway — 0.7% | | | | | | | | |
DnB ASA | | | 22,810 | | | | 409,397 | |
Telenor ASA | | | 10,651 | | | | 254,491 | |
| | | | | | |
|
|
|
| | | | | | | | 663,888 | |
| | | | | | |
|
|
|
Panama — 0.6% | | | | | | | | |
Copa Holdings SA (Class A Stock) | | | 3,693 | | | | 591,286 | |
| | | | | | |
|
|
|
Russia — 0.2% | | | | | | | | |
Sberbank of Russia, ADR | | | 18,500 | | | | 232,545 | |
| | | | | | |
|
|
|
Singapore — 0.2% | | | | | | | | |
United Overseas Bank Ltd. | | | 11,400 | | | | 192,512 | |
| | | | | | |
|
|
|
South Africa — 1.5% | | | | | | | | |
Aspen Pharmacare Holdings Ltd. | | | 35,240 | | | | 903,805 | |
Aspen Pharmacare Holdings Ltd., 144A | | | 2,864 | | | | 73,454 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
South Africa (continued) | | | | | | | | |
Bidvest Group Ltd. | | | 9,023 | | | $ | 231,154 | |
Discovery Ltd. | | | 32,073 | | | | 258,685 | |
| | | | | | |
|
|
|
| | | | | | | | 1,467,098 | |
| | | | | | |
|
|
|
South Korea — 1.8% | | | | | | | | |
NAVER Corp.* | | | 1,397 | | | | 962,711 | |
Samsung Electronics Co. Ltd. | | | 571 | | | | 744,040 | |
| | | | | | |
|
|
|
| | | | | | | | 1,706,751 | |
| | | | | | |
|
|
|
Spain — 2.3% | | | | | | | | |
Amadeus IT Holding SA
(Class A Stock) | | | 1,466 | | | | 62,797 | |
Inditex SA | | | 12,898 | | | | 2,129,612 | |
| | | | | | |
|
|
|
| | | | | | | | 2,192,409 | |
| | | | | | |
|
|
|
Sweden — 2.0% | | | | | | | | |
Assa Abloy AB (Class B Stock) | | | 13,926 | | | | 737,299 | |
Elekta AB (Class B Stock) | | | 11,845 | | | | 181,266 | |
Nordea Bank AB | | | 45,445 | | | | 612,726 | |
Telefonaktiebolaget LM Ericsson
(Class B Stock) | | | 28,740 | | | | 350,901 | |
| | | | | | |
|
|
|
| | | | | | | | 1,882,192 | |
| | | | | | |
|
|
|
Switzerland — 8.4% | | | | | | | | |
Cie Financiere Richemont SA | | | 4,216 | | | | 421,168 | |
Geberit AG | | | 1,051 | | | | 318,853 | |
Givaudan SA* | | | 433 | | | | 619,435 | |
Julius Baer Group Ltd.* | | | 4,240 | | | | 203,757 | |
Novartis AG | | | 6,150 | | | | 492,919 | |
Partners Group Holding AG | | | 2,259 | | | | 602,451 | |
Roche Holding AG | | | 8,870 | | | | 2,484,720 | |
SGS SA | | | 260 | | | | 598,586 | |
Sika AG | | | 155 | | | | 552,334 | |
Sonova Holding AG* | | | 1,745 | | | | 235,304 | |
Sulzer AG | | | 2,256 | | | | 364,527 | |
Swatch Group AG (The) | | | 1,510 | | | | 1,000,834 | |
UBS AG* | | | 9,815 | | | | 187,931 | |
| | | | | | |
|
|
|
| | | | | | | | 8,082,819 | |
| | | | | | |
|
|
|
Turkey — 0.6% | | | | | | | | |
BIM Birlesik Magazalar A/S | | | 26,345 | | | | 532,059 | |
| | | | | | |
|
|
|
United Arab Emirates — 0.1% | | | | | | | | |
Dragon Oil PLC | | | 13,336 | | | | 125,356 | |
| | | | | | |
|
|
|
United Kingdom — 19.0% | | | | | | | | |
Afren PLC* | | | 101,676 | | | | 285,198 | |
Amlin PLC | | | 62,714 | | | | 477,418 | |
AON PLC | | | 4,075 | | | | 341,852 | |
ARM Holdings PLC | | | 82,133 | | | | 1,493,422 | |
Ashtead Group PLC | | | 80,435 | | | | 1,014,671 | |
ASOS PLC* | | | 16,545 | | | | 1,685,748 | |
ASOS PLC, 144A* | | | 568 | | | | 57,872 | |
Babcock International Group PLC | | | 12,939 | | | | 290,741 | |
Berkeley Group Holdings PLC | | | 7,678 | | | | 338,511 | |
BG Group PLC | | | 12,046 | | | | 259,212 | |
Bunzl PLC | | | 20,447 | | | | 491,366 | |
Burberry Group PLC | | | 44,122 | | | | 1,111,673 | |
Compass Group PLC | | | 78,989 | | | | 1,268,165 | |
Diageo PLC | | | 36,466 | | | | 1,208,437 | |
Experian PLC | | | 9,479 | | | | 175,100 | |
HSBC Holdings PLC | | | 35,476 | | | | 386,735 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
| | | | | | |
| | | SP INTERNATIONAL GROWTH PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
United Kingdom (continued) | | | | | | | | |
ICAP PLC | | | 22,610 | | | $ | 169,348 | |
IMI PLC | | | 9,621 | | | | 243,643 | |
InterContinental Hotels Group PLC | | | 9,767 | | | | 325,793 | |
Johnson Matthey PLC | | | 5,701 | | | | 310,210 | |
Meggitt PLC | | | 34,350 | | | | 300,751 | |
Reed Elsevier PLC | | | 34,315 | | | | 511,763 | |
Rolls-Royce Holdings PLC* | | | 69,336 | | | | 1,466,560 | |
SABMiller PLC | | | 23,931 | | | | 1,231,856 | |
Sports Direct International PLC, 144A* | | | 43,309 | | | | 514,136 | |
St. James’s Place PLC | | | 110,155 | | | | 1,331,437 | |
Travis Perkins PLC | | | 5,351 | | | | 166,224 | |
Tullow Oil PLC | | | 26,977 | | | | 382,876 | |
WPP PLC | | | 15,570 | | | | 356,616 | |
| | | | | | |
|
|
|
| | | | | | | | 18,197,334 | |
| | | | | | |
|
|
|
United States — 4.0% | | | | | | | | |
Core Laboratories NV(a) | | | 5,026 | | | | 959,715 | |
Michael Kors Holdings Ltd.*(a) | | | 18,182 | | | | 1,476,197 | |
Nielsen Holdings NV | | | 6,405 | | | | 293,925 | |
Stratasys Ltd.* | | | 8,304 | | | | 1,118,549 | |
| | | | | | |
|
|
|
| | | | | | | | 3,848,386 | |
| | | | | | |
|
|
|
TOTAL COMMON STOCKS
(cost $73,382,146) | | | | 92,617,183 | |
| | | | | | |
|
|
|
| PREFERRED STOCKS — 1.5% | |
Germany — 1.5% | | | | | | | | |
Henkel AG & Co. KGaA (PRFC) | | | 3,410 | | | | 396,361 | |
Volkswagen AG (PRFC) | | | 3,642 | | | | 1,024,931 | |
| | | | | | |
|
|
|
| | | | | | | | 1,421,292 | |
| | | | | | |
|
|
|
United Kingdom | | | | | | | | |
Rolls-Royce Holdings PLC (PRFC)* | | | 6,041,758 | �� | | | 10,005 | |
| | | | | | |
|
|
|
TOTAL PREFERRED STOCKS
(cost $1,122,994) | | | | 1,431,297 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $74,505,140) | | | | 94,048,480 | |
| | | | | | |
|
|
|
| | | | | | | | |
SHORT-TERM
INVESTMENT — 7.0% | | Shares
| | | Value
(Note 2)
| |
AFFILIATED MONEY MARKET MUTUAL FUND | |
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $6,711,630; includes $5,078,008 of cash collateral for securities on loan)(b)(w) (Note 4) | | | 6,711,630 | | | $ | 6,711,630 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 105.0%
(cost $81,216,770) | | | | 100,760,110 | |
LIABILITIES IN EXCESS OF
OTHER ASSETS(x) — (5.0)% | | | | (4,766,645 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 95,993,465 | |
| | | | | | |
|
|
|
The following abbreviations are used in the 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 |
| CVA | | Certificate Van Aandelen (Bearer) |
| PRFC | | Preference Shares |
| DKK | | Danish Krone |
| * | 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 $4,961,304; cash collateral of $5,078,008 (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 co-manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund. |
| (x) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Forward foreign currency exchange contracts outstanding at December 31, 2013:
| | | | | | | | | | | | | | | | | | | | |
Sale Contracts
| | Counterparty
| | | Notional
Amount (000)
| | | Value at
Settlement Date
Receivable
| | | Current
Value
| | | Unrealized
Appreciation
(Depreciation)
| |
Danish Krone,
expiring 01/02/14 | | | Credit Suisse First Boston Corp. | | | | DKK 598 | | | $ | 109,686 | | | $ | 110,259 | | | $ | (573 | ) |
expiring 01/03/14 | | | State Street Global Markets | | | | DKK 425 | | | | 78,400 | | | | 78,341 | | | | 59 | |
| | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | | | $ | 188,086 | | | $ | 188,600 | | | $ | (514 | ) |
| | | | | | | | | | |
|
|
| |
|
|
| |
|
|
|
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| Level 3— | significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
| | | | | | |
| | | SP INTERNATIONAL GROWTH PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The following is a summary of the inputs used as of December 31, 2013 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | |
Common Stocks: | | | | | | | | | | | | |
Argentina | | $ | 644,045 | | | $ | — | | | $ | — | |
Australia | | | 25,898 | | | | 784,409 | | | | — | |
Austria | | | — | | | | 323,687 | | | | — | |
Belgium | | | — | | | | 326,022 | | | | — | |
Brazil | | | 238,951 | | | | — | | | | — | |
Canada | | | 2,726,891 | | | | — | | | | — | |
China | | | 532,889 | | | | 3,865,439 | | | | — | |
Denmark | | | 631,841 | | | | 817,559 | | | | — | |
Finland | | | — | | | | 359,062 | | | | — | |
France | | | 328,448 | | | | 5,580,151 | | | | — | |
Germany | | | 347,689 | | | | 7,357,675 | | | | — | |
Hong Kong | | | 256,217 | | | | 1,715,924 | | | | — | |
India | | | 289,397 | | | | — | | | | — | |
Indonesia | | | — | | | | 410,395 | | | | — | |
Ireland | | | 248,964 | | | | — | | | | — | |
Israel | | | 834,437 | | | | 427,025 | | | | — | |
Italy | | | 1,439,525 | | | | 5,729,650 | | | | — | |
Japan | | | — | | | | 13,499,022 | | | | — | |
Macau | | | — | | | | 369,781 | | | | — | |
Mexico | | | 1,107,822 | | | | — | | | | — | |
Netherlands | | | — | | | | 1,683,733 | | | | — | |
Norway | | | — | | | | 663,888 | | | | — | |
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Panama | | $ | 591,286 | | | $ | — | | | $ | — | |
Russia | | | 232,545 | | | | — | | | | — | |
Singapore | | | — | | | | 192,512 | | | | — | |
South Africa | | | — | | | | 1,467,098 | | | | — | |
South Korea | | | — | | | | 1,706,751 | | | | — | |
Spain | | | — | | | | 2,192,409 | | | | — | |
Sweden | | | — | | | | 1,882,192 | | | | — | |
Switzerland | | | 602,451 | | | | 7,480,368 | | | | — | |
Turkey | | | — | | | | 532,059 | | | | — | |
United Arab Emirates | | | — | | | | 125,356 | | | | — | |
United Kingdom | | | 341,852 | | | | 17,855,482 | | | | — | |
United States | | | 3,848,386 | | | | — | | | | — | |
Preferred Stock: | | | | | | | | | | | | |
Germany | | | — | | | | 1,421,292 | | | | — | |
United Kingdom | | | 10,005 | | | | — | | | | — | |
Affiliated Money Market Mutual Fund | | | 6,711,630 | | | | — | | | | — | |
Other Financial Instruments* | | | | | | | | | |
Forward Foreign Currency Contracts | | | — | | | | (514 | ) | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 21,991,169 | | | $ | 78,768,427 | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument. |
Fair Value of Level 2 investments at 12/31/12 was $68,279,343, as a result of fair valuing such foreign investments using third party vendor modeling tools. Such fair values are used to reflect the impact of market movements between the time at which the Portfolio values its securities and the earlier closing of foreign markets. An amount of $3,666,360 was transferred from Level 2 into Level 1 at 12/31/13 as a result of using quoted prices in active markets for such foreign securities.
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, 2013 were as follows (unaudited):
| | | | |
Textiles, Apparel & Luxury Goods | | | 7.9 | % |
Pharmaceuticals | | | 7.7 | |
Affiliated Money Market Mutual Fund (5.3% represents investments purchased with collateral from securities on loan) | | | 7.0 | |
Automobiles | | | 4.6 | |
Commercial Banks | | | 4.5 | |
Internet Software & Services | | | 4.5 | |
Trading Companies & Distributors | | | 4.1 | |
Insurance | | | 3.9 | |
Chemicals | | | 3.9 | |
Internet & Catalog Retail | | | 3.9 | |
Specialty Retail | | | 3.7 | |
Hotels, Restaurants & Leisure | | | 3.7 | |
Machinery | | | 3.1 | |
Beverages | | | 2.8 | |
Capital Markets | | | 2.7 | |
Semiconductors & Semiconductor Equipment | | | 2.7 | |
Food & Staples Retailing | | | 2.2 | |
Auto Components | | | 2.2 | |
Electronic Equipment, Instruments & Components | | | 2.2 | |
Media | | | 1.9 | |
Aerospace & Defense | | | 1.8 | |
| | | | |
Household Products | | | 1.8 | % |
Software | | | 1.6 | |
Real Estate Management & Development | | | 1.6 | |
Building Products | | | 1.5 | |
IT Services | | | 1.5 | |
Energy Equipment & Services | | | 1.2 | |
Oil, Gas & Consumable Fuels | | | 1.2 | |
Computers & Peripherals | | | 1.2 | |
Professional Services | | | 1.1 | |
Diversified Financial Services | | | 1.1 | |
Road & Rail | | | 1.1 | |
Wireless Telecommunication Services | | | 1.0 | |
Industrial Conglomerates | | | 1.0 | |
Commercial Services & Supplies | | | 1.0 | |
Airlines | | | 0.9 | |
Health Care Equipment & Supplies | | | 0.8 | |
Diversified Telecommunication Services | | | 0.7 | |
Food Products | | | 0.5 | |
Multiline Retail | | | 0.5 | |
Electrical Equipment | | | 0.5 | |
Metals & Mining | | | 0.4 | |
Construction & Engineering | | | 0.4 | |
Biotechnology | | | 0.4 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
| | | | | | |
| | | SP INTERNATIONAL GROWTH PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | |
Industry table (cont.)
| |
| |
Communications Equipment | | | 0.4 | % |
Household Durables | | | 0.3 | |
Health Care Providers & Services | | | 0.2 | |
| | | | |
Diversified Consumer Services | | | 0.1 | % |
| | |
|
|
|
| | | | 105.0 | |
Liabilities in excess of other assets | | | (5.0 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
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, 2013 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 | | $ | 59 | | | Unrealized depreciation on foreign currency forward contracts | | $ | 573 | |
| | | | |
|
|
| | | |
|
|
|
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2013 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(1)
| | | Forward
Currency
Contracts(2)
| | | Total
| |
Foreign exchange contracts | | $ | — | | | $ | (17,048 | ) | | $ | (17,048 | ) |
Equity contracts | | | 11 | | | | — | | | | 11 | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 11 | | | $ | (17,048 | ) | | $ | (17,037 | ) |
| | |
|
|
| |
|
|
| |
|
|
|
| | | | |
|
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(3)
| |
Foreign exchange contracts | | $ | (514 | ) |
| | |
|
|
|
| (1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| (2) | Included in net realized gain (loss) on foreign currency transactions in the Statement of Operations. |
| (3) | Included in net change in unrealized appreciation (depreciation) on foreign currencies in the Statement of Operations. |
For the year ended December 31, 2013, the Portfolio’s average value at settlement date payable for forward foreign currency exchange purchase contracts was $1,086,879 and the average value at settlement date receivable for forward foreign currency exchange sale contracts was $1,117,013.
The Portfolio invested in financial instruments and derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument and derivative assets and liabilities
| | | | | | | | | | | | | | | | |
Description
| | Gross Amounts
Recognized
| | | Gross Amounts
not subject to
netting
| | | Gross Amounts
Offset in the
Statement of
Financial Position
| | | Net Amounts
Presented in the
Statement of
Financial Position
| |
Assets: | | | | | | | | | | | | | | | | |
Securities on Loan | | $ | 4,961,304 | | | $ | — | | | $ | — | | | $ | 4,961,304 | |
Over-the-counter Derivatives* | | | 59 | | | | — | | | | — | | | | 59 | |
Liabilities: | | | | | | | | | | | | | | | | |
Over-the-counter Derivatives* | | | (573 | ) | | | — | | | | — | | | | (573 | ) |
Collateral Amounts Pledged/(Received): | | | | | | | | | |
Securities on Loan | | | | (4,961,304 | ) |
Over-the-counter Derivatives | | | | — | |
| | | | | | | | | | | | | | |
|
|
|
Net Amount | | | $ | (514 | ) |
| | | | | | | | | | | | | | |
|
|
|
| * | Over-the-counter derivatives may consist of forward foreign currency exchange contracts, options contracts and swap agreements. The amounts disclosed above represent the exposure to one or more counterparties. For further detail on individual derivative contracts and the corresponding unrealized appreciation (depreciation) by counterparty, see the Schedule of Investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
A5
| | | | | | |
| | | SP INTERNATIONAL GROWTH PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2013
| | | | |
| ASSETS | | | | |
Investments at value, including securities on loan of $4,961,304: | | | | |
Unaffiliated investments (cost $74,505,140) | | $ | 94,048,480 | |
Affiliated investments (cost $6,711,630) | | | 6,711,630 | |
Foreign currency, at value (cost $826) | | | 826 | |
Tax reclaim receivable | | | 381,416 | |
Receivable for investments sold | | | 188,297 | |
Dividends receivable | | | 65,045 | |
Receivable for Series shares sold | | | 5,236 | |
Unrealized appreciation on foreign currency forward contracts | | | 59 | |
Prepaid expenses | | | 861 | |
| | |
|
|
|
Total Assets | | | 101,401,850 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 5,078,008 | |
Accrued expenses and other liabilities | | | 123,636 | |
Payable for Series shares repurchased | | | 72,158 | |
Management fee payable | | | 67,112 | |
Payable for investments purchased | | | 62,549 | |
Distribution fee payable | | | 1,908 | |
Administration fee payable | | | 1,515 | |
Affiliated transfer agent fees payable | | | 926 | |
Unrealized depreciation on foreign currency forward contracts | | | 573 | |
| | |
|
|
|
Total Liabilities | | | 5,408,385 | |
| | |
|
|
|
| NET ASSETS | | $ | 95,993,465 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 113,651,778 | |
Retained earnings | | | (17,658,313 | ) |
| | |
|
|
|
Net assets, December 31, 2013 | | $ | 95,993,465 | |
| | |
|
|
|
| Class I: | | | | |
Net asset value and redemption price per share, $86,853,884 / 13,776,273 outstanding shares of beneficial interest | | $ | 6.30 | |
| | |
|
|
|
| Class II: | | | | |
Net asset value and redemption price per share, $9,139,581 / 1,471,386 outstanding shares of beneficial interest | | $ | 6.21 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2013
| | | | |
| INVESTMENT INCOME | | | | |
Unaffiliated dividend income (net of $152,191 foreign withholding tax) | | $ | 1,508,659 | |
Affiliated income from securities lending, net | | | 12,261 | |
Affiliated dividend income | | | 3,280 | |
| | |
|
|
|
| | | | 1,524,200 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 775,528 | |
Distribution fee—Class II | | | 21,831 | |
Administration fee—Class II | | | 13,099 | |
Custodian’s fees and expenses | | | 260,000 | |
Shareholders’ reports | | | 49,000 | |
Audit fee | | | 26,000 | |
Legal fees and expenses | | | 13,000 | |
Trustees’ fees | | | 12,000 | |
Transfer agent’s fees and expenses (including affiliated expense of $5,600) (Note 4) | | | 12,000 | |
Loan interest expense (Note 8) | | | 3,709 | |
Commitment fee on syndicated credit agreement | | | 3,000 | |
Insurance expenses | | | 1,000 | |
Miscellaneous | | | 38,370 | |
| | |
|
|
|
Total expenses | | | 1,228,537 | |
Less: advisory fee waiver and/or expense reimbursement | | | (4,997 | ) |
| | |
|
|
|
Net expenses | | | 1,223,540 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 300,660 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 10,356,921 | |
Foreign currency transactions | | | (69,851 | ) |
| | |
|
|
|
| | | | 10,287,070 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments | | | 5,236,019 | |
Foreign currencies | | | 14,600 | |
| | |
|
|
|
| | | | 5,250,619 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | | | 15,537,689 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 15,838,349 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 300,660 | | | $ | 1,357,374 | |
Net realized gain on investment and foreign currency transactions | | | 10,287,070 | | | | 5,430,918 | |
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | | | 5,250,619 | | | | 10,877,146 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 15,838,349 | | | | 17,665,438 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | | | | | | |
Class I | | | — | | | | (507,441 | ) |
Class II | | | — | | | | — | |
| | |
|
|
| |
|
|
|
| TOTAL DISTRIBUTIONS | | | — | | | | (507,441 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS (NOTE 7): | | | | | | | | |
Series shares sold | | | 6,792,290 | | | | 5,765,927 | |
Series shares issued in reinvestment of distributions | | | — | | | | 507,441 | |
Series shares repurchased | | | (16,145,802 | ) | | | (16,609,487 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (9,353,512 | ) | | | (10,336,119 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 6,484,837 | | | | 6,821,878 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 89,508,628 | | | | 82,686,750 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 95,993,465 | | | $ | 89,508,628 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A6
| | | | | | |
| | | SP INTERNATIONAL VALUE PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 97.5% | |
| COMMON STOCKS — 97.1% | | Shares
| | | Value
(Note 2)
| |
Argentina — 0.3% | | | | | | | | |
MercadoLibre, Inc. | | | 4,219 | | | $ | 454,766 | |
| | | | | | |
|
|
|
Australia — 3.4% | | | | | | | | |
Arrium Ltd. | | | 269,600 | | | | 423,370 | |
Ausdrill Ltd. | | | 62,500 | | | | 57,773 | |
Bendigo and Adelaide Bank Ltd. | | | 32,600 | | | | 342,695 | |
Challenger Ltd. | | | 123,500 | | | | 685,890 | |
Downer EDI Ltd. | | | 101,900 | | | | 444,053 | |
Emeco Holdings Ltd. | | | 372,800 | | | | 75,127 | |
Fortescue Metals Group Ltd. | | | 50,000 | | | | 261,190 | |
GrainCorp Ltd. (Class A Stock) | | | 21,300 | | | | 161,734 | |
Leighton Holdings Ltd. | | | 17,300 | | | | 249,842 | |
Lend Lease Group | | | 51,500 | | | | 513,954 | |
Mineral Resources Ltd. | | | 12,900 | | | | 137,260 | |
National Australia Bank Ltd. | | | 17,500 | | | | 546,209 | |
Pacific Brands Ltd. | | | 502,100 | | | | 287,758 | |
Rio Tinto Ltd. | | | 6,000 | | | | 367,242 | |
Toll Holdings Ltd. | | | 82,500 | | | | 419,606 | |
| | | | | | |
|
|
|
| | | | | 4,973,703 | |
| | | | | | |
|
|
|
Austria — 0.7% | | | | | | | | |
OMV AG | | | 15,300 | | | | 732,270 | |
Voestalpine AG | | | 6,500 | | | | 312,354 | |
| | | | | | |
|
|
|
| | | | | 1,044,624 | |
| | | | | | |
|
|
|
Belgium — 1.1% | | | | | | | | |
AGFA-Gevaert NV* | | | 84,400 | | | | 204,353 | |
Anheuser-Busch InBev NV | | | 8,908 | | | | 947,247 | |
Delhaize Group SA | | | 7,300 | | | | 434,293 | |
| | | | | | |
|
|
|
| | | | | 1,585,893 | |
| | | | | | |
|
|
|
Brazil — 0.5% | | | | | | | | |
Embraer SA, ADR | | | 11,040 | | | | 355,267 | |
Natura Cosmeticos SA | | | 22,913 | | | | 401,785 | |
| | | | | | |
|
|
|
| | | | | 757,052 | |
| | | | | | |
|
|
|
Canada — 1.6% | | | | | | | | |
Canadian National Railway Co. | | | 14,062 | | | | 801,689 | |
Lululemon Athletica, Inc.* | | | 15,023 | | | | 886,808 | |
Potash Corp. of Saskatchewan, Inc. | | | 17,280 | | | | 569,549 | |
| | | | | | |
|
|
|
| | | | | 2,258,046 | |
| | | | | | |
|
|
|
China — 3.6% | | | | | | | | |
Baidu, Inc., ADR* | | | 9,267 | | | | 1,648,414 | |
China Mobile Ltd. | | | 109,802 | | | | 1,143,733 | |
Industrial & Commercial Bank of China Ltd. (Class H Stock) | | | 1,881,318 | | | | 1,275,742 | |
SINA Corp.* | | | 5,400 | | | | 454,950 | |
Sinopharm Group Co. Ltd. (Class H Stock) | | | 224,182 | | | | 644,965 | |
| | | | | | |
|
|
|
| | | | | 5,167,804 | |
| | | | | | |
|
|
|
Denmark — 1.2% | | | | | | | | |
Novo Nordisk A/S (Class B Stock) | | | 9,427 | | | | 1,727,986 | |
| | | | | | |
|
|
|
Finland — 0.8% | | | | | | | | |
Kone Oyj (Class B Stock) | | | 14,682 | | | | 662,140 | |
Tieto Oyj | | | 21,500 | | | | 486,942 | |
| | | | | | |
|
|
|
| | | | | 1,149,082 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
France — 9.7% | | | | | | | | |
Air Liquide SA | | | 7,262 | | | $ | 1,027,822 | |
Alstom SA | | | 10,400 | | | | 379,254 | |
AXA SA | | | 19,800 | | | | 551,385 | |
BNP Paribas SA | | | 8,300 | | | | 647,463 | |
Cie Generale des Etablissements Michelin (Class B Stock) | | | 13,080 | | | | 1,391,727 | |
Ciments Francais SA | | | 4,200 | | | | 319,463 | |
Credit Agricole SA* | | | 53,627 | | | | 687,443 | |
LVMH Moet Hennessy Louis Vuitton SA | | | 8,905 | | | | 1,626,897 | |
Publicis Groupe SA | | | 14,955 | | | | 1,370,261 | |
Renault SA | | | 5,700 | | | | 458,717 | |
Sanofi | | | 9,600 | | | | 1,025,235 | |
SCOR SE | | | 13,800 | | | | 504,758 | |
Societe Generale SA | | | 9,318 | | | | 541,848 | |
Thales SA | | | 9,700 | | | | 625,105 | |
Total SA | | | 21,200 | | | | 1,301,250 | |
Valeo SA | | | 6,500 | | | | 720,342 | |
Vivendi SA | | | 28,520 | | | | 752,287 | |
| | | | | | |
|
|
|
| | | | | 13,931,257 | |
| | | | | | |
|
|
|
Germany — 9.2% | | | | | | | | |
Adidas AG | | | 11,648 | | | | 1,485,334 | |
Allianz SE | | | 6,900 | | | | 1,241,492 | |
BASF SE | | | 7,800 | | | | 832,528 | |
Bayer AG | | | 4,300 | | | | 603,768 | |
Continental AG | | | 2,900 | | | | 637,102 | |
Daimler AG | | | 9,900 | | | | 859,170 | |
Deutsche Bank AG | | | 38,772 | | | | 1,862,669 | |
E.ON SE | | | 12,200 | | | | 225,553 | |
Freenet AG* | | | 13,900 | | | | 417,641 | |
Fresenius Medical Care AG & Co. KGaA | | | 18,802 | | | | 1,341,073 | |
Hannover Rueck SE | | | 6,900 | | | | 593,201 | |
Muenchener Rueckversicherungs AG | | | 2,400 | | | | 529,370 | |
Rheinmetall AG | | | 7,400 | | | | 456,541 | |
RWE AG | | | 6,300 | | | | 230,827 | |
SAP AG | | | 8,151 | | | | 706,871 | |
Stada Arzneimittel AG | | | 4,800 | | | | 237,648 | |
Volkswagen AG | | | 3,900 | | | | 1,058,924 | |
| | | | | | |
|
|
|
| | | | | 13,319,712 | |
| | | | | | |
|
|
|
Hong Kong — 2.8% | | | | | | | | |
AIA Group Ltd. | | | 266,476 | | | | 1,341,304 | |
Cheung Kong Holdings Ltd. | | | 15,000 | | | | 237,312 | |
First Pacific Co. Ltd. | | | 246,000 | | | | 280,487 | |
Hong Kong Exchanges and Clearing Ltd. | | | 66,533 | | | | 1,112,121 | |
Huabao International Holdings Ltd. | | | 774,000 | | | | 429,106 | |
Kingboard Chemical Holdings Ltd. | | | 144,000 | | | | 376,894 | |
Sands China Ltd. | | | 30,418 | | | | 249,286 | |
Solomon Systech International Ltd.* | | | 445,000 | | | | 20,736 | |
| | | | | | |
|
|
|
| | | | | 4,047,246 | |
| | | | | | |
|
|
|
Ireland — 0.4% | | | | | | | | |
Permanent TSB Group Holdings PLC* | | | 45,500 | | | | 2,817 | |
Smurfit Kappa Group PLC | | | 23,000 | | | | 564,447 | |
| | | | | | |
|
|
|
| | | | | 567,264 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A7
| | | | | | |
| | | SP INTERNATIONAL VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Israel — 0.9% | | | | | | | | |
Bank Hapoalim BM | | | 73,200 | | | $ | 410,146 | |
Elbit Systems Ltd. | | | 6,900 | | | | 416,741 | |
Teva Pharmaceutical Industries Ltd. | | | 11,300 | | | | 452,129 | |
| | | | | | |
|
|
|
| | | | | 1,279,016 | |
| | | | | | |
|
|
|
Italy — 2.2% | | | | | | | | |
Banco Popolare Scarl* | | | 23,700 | | | | 45,388 | |
Enel SpA | | | 132,800 | | | | 579,461 | |
Eni SpA | | | 38,600 | | | | 932,721 | |
Finmeccanica SpA* | | | 30,000 | | | | 227,717 | |
Intesa Sanpaolo SpA | | | 264,937 | | | | 651,669 | |
Saipem SpA | | | 21,861 | | | | 468,825 | |
Telecom Italia SpA | | | 277,700 | | | | 276,912 | |
| | | | | | |
|
|
|
| | | | | 3,182,693 | |
| | | | | | |
|
|
|
Japan — 18.4% | | | | | | | | |
Aoyama Trading Co. Ltd. | | | 18,500 | | | | 500,319 | |
Aozora Bank Ltd. | | | 104,000 | | | | 294,724 | |
Bridgestone Corp. | | | 29,539 | | | | 1,119,141 | |
FANUC Corp. | | | 5,613 | | | | 1,028,530 | |
Fukuoka Financial Group, Inc. | | | 77,000 | | | | 337,988 | |
Fuyo General Lease Co. Ltd. | | | 9,200 | | | | 359,931 | |
Hogy Medical Co. Ltd. | | | 7,600 | | | | 400,213 | |
Japan Exchange Group, Inc. | | | 9,640 | | | | 274,006 | |
Japan Tobacco, Inc. | | | 24,324 | | | | 791,473 | |
JX Holdings, Inc. | | | 60,600 | | | | 312,057 | |
KDDI Corp. | | | 12,400 | | | | 764,029 | |
Keihin Corp. | | | 11,700 | | | | 181,662 | |
Keiyo Bank Ltd. (The) | | | 55,000 | | | | 264,816 | |
Komatsu Ltd. | | | 41,682 | | | | 855,785 | |
Kubota Corp. | | | 53,330 | | | | 884,597 | |
KYORIN Holdings, Inc. | | | 19,900 | | | | 426,377 | |
Kyowa Exeo Corp. | | | 41,600 | | | | 550,130 | |
Marubeni Corp. | | | 79,000 | | | | 568,727 | |
Miraca Holdings, Inc. | | | 4,900 | | | | 231,164 | |
Mitsubishi Corp. | | | 8,900 | | | | 170,862 | |
Mitsubishi Estate Co. Ltd. | | | 24,732 | | | | 740,131 | |
Mitsubishi UFJ Financial Group, Inc. | | | 314,320 | | | | 2,086,895 | |
Mitsui & Co. Ltd. | | | 30,900 | | | | 430,781 | |
Mizuho Financial Group, Inc. | | | 287,900 | | | | 625,040 | |
Nichii Gakkan Co. | | | 18,300 | | | | 146,763 | |
Nippon Telegraph & Telephone Corp. | | | 15,500 | | | | 834,836 | |
NTT DoCoMo, Inc. | | | 40,000 | | | | 658,651 | |
Otsuka Holdings Co. Ltd. | | | 18,000 | | | | 519,731 | |
Paramount Bed Holdings Co. Ltd. | | | 11,300 | | | | 378,533 | |
Resona Holdings, Inc. | | | 70,800 | | | | 361,255 | |
Sankyu, Inc. | | | 91,000 | | | | 355,112 | |
Seino Holdings Co. Ltd. | | | 43,000 | | | | 452,518 | |
Shimachu Co. Ltd. | | | 17,400 | | | | 411,973 | |
Shizuoka Gas Co. Ltd. | | | 38,100 | | | | 226,692 | |
Softbank Corp. | | | 13,750 | | | | 1,206,573 | |
Sumitomo Corp. | | | 38,400 | | | | 482,616 | |
Sumitomo Mitsui Financial Group, Inc. | | | 18,800 | | | | 977,664 | |
Sumitomo Mitsui Trust Holdings, Inc. | | | 261,300 | | | | 1,382,594 | |
Toagosei Co. Ltd. | | | 82,000 | | | | 350,969 | |
Toho Holdings Co. Ltd. | | | 11,900 | | | | 191,022 | |
Toppan Forms Co. Ltd. | | | 50,100 | | | | 459,629 | |
Toyota Motor Corp. | | | 28,638 | | | | 1,746,205 | |
Tsuruha Holdings, Inc. | | | 2,100 | | | | 192,820 | |
West Japan Railway Co. | | | 11,300 | | | | 489,612 | |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Japan (continued) | | | | | | | | |
Yokohama Rubber Co. Ltd. (The) | | | 46,700 | | | $ | 459,225 | |
| | | | | | |
|
|
|
| | | | | 26,484,371 | |
| | | | | | |
|
|
|
Liechtenstein — 0.2% | | | | | | | | |
Verwaltungs-und Privat-Bank AG | | | 2,300 | | | | 251,387 | |
| | | | | | |
|
|
|
Mexico — 0.3% | | | | | | | | |
Wal-Mart de Mexico SAB de CV (Class V Stock) | | | 147,811 | | | | 387,853 | |
| | | | | | |
|
|
|
Netherlands — 3.8% | | | | | | | | |
ASML Holding NV | | | 8,669 | | | | 811,956 | |
ING Groep NV, CVA* | | | 116,812 | | | | 1,631,699 | |
Koninklijke Ahold NV | | | 47,900 | | | | 860,821 | |
Royal Dutch Shell PLC (Class B Stock) | | | 56,300 | | | | 2,123,657 | |
| | | | | | |
|
|
|
| | | | | 5,428,133 | |
| | | | | | |
|
|
|
New Zealand — 0.4% | | | | | | | | |
Air New Zealand Ltd. | | | 434,700 | | | | 587,012 | |
| | | | | | |
|
|
|
Norway — 1.0% | | | | | | | | |
DNB ASA | | | 29,200 | | | | 524,086 | |
Statoil ASA | | | 17,200 | | | | 418,244 | |
Yara International ASA | | | 12,500 | | | | 539,103 | |
| | | | | | |
|
|
|
| | | | | 1,481,433 | |
| | | | | | |
|
|
|
Russia — 0.6% | | | | | | | | |
Yandex NV (Class A Stock)* | | | 21,050 | | | | 908,308 | |
| | | | | | |
|
|
|
Singapore — 0.1% | | | | | | | | |
Golden Agri-Resources Ltd. | | | 499,600 | | | | 216,277 | |
| | | | | | |
|
|
|
South Korea — 0.7% | | | | | | | | |
Samsung Electronics Co. Ltd. | | | 732 | | | | 953,831 | |
| | | | | | |
|
|
|
Spain — 2.1% | | | | | | | | |
Amadeus IT Holding SA (Class A Stock) | | | 13,004 | | | | 557,032 | |
Banco Bilbao Vizcaya Argentaria SA | | | 56,442 | | | | 698,221 | |
Banco Santander SA | | | 78,705 | | | | 707,758 | |
Gas Natural SDG SA | | | 14,400 | | | | 370,648 | |
Repsol SA | | | 27,200 | | | | 686,343 | |
| | | | | | |
|
|
|
| | | | | 3,020,002 | |
| | | | | | |
|
|
|
Sweden — 2.0% | | | | | | | | |
Boliden AB | | | 29,900 | | | | 458,414 | |
Hennes & Mauritz AB (Class B Stock) | | | 23,539 | | | | 1,084,123 | |
NCC AB (Class B Stock) | | | 5,900 | | | | 192,695 | |
Nordea Bank AB | | | 28,700 | | | | 386,956 | |
Oriflame Cosmetics SA, SDR | | | 6,300 | | | | 193,684 | |
TeliaSonera AB | | | 71,700 | | | | 598,007 | |
| | | | | | |
|
|
|
| | | | | 2,913,879 | |
| | | | | | |
|
|
|
Switzerland — 7.6% | | | | | | | | |
Baloise Holding AG | | | 6,800 | | | | 867,096 | |
Credit Suisse Group AG* | | | 17,517 | | | | 540,634 | |
Georg Fischer AG* | | | 500 | | | | 352,017 | |
Julius Baer Group Ltd.* | | | 17,250 | | | | 828,966 | |
Lonza Group AG* | | | 3,300 | | | | 313,609 | |
Nestle SA | | | 14,352 | | | | 1,051,859 | |
Novartis AG | | | 26,732 | | | | 2,142,553 | |
Roche Holding AG | | | 7,468 | | | | 2,091,983 | |
Swiss Life Holding AG* | | | 2,100 | | | | 436,590 | |
Swiss Re AG* | | | 8,100 | | | | 746,726 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A8
| | | | | | |
| | | SP INTERNATIONAL VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Switzerland (continued) | | | | | | | | |
Syngenta AG | | | 2,233 | | | $ | 890,291 | |
Zurich Insurance Group AG* | | | 2,400 | | | | 696,154 | |
| | | | | | |
|
|
|
| | | | | 10,958,478 | |
| | | | | | |
|
|
|
Taiwan — 0.2% | | | | | | | | |
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | | | 19,000 | | | | 331,360 | |
| | | | | | |
|
|
|
United Kingdom — 19.0% | | | | | | | | |
Alent PLC | | | 21,700 | | | | 127,567 | |
AMEC PLC | | | 12,500 | | | | 225,686 | |
ARM Holdings PLC | | | 25,572 | | | | 464,975 | |
AstraZeneca PLC | | | 24,200 | | | | 1,435,719 | |
Aviva PLC | | | 77,400 | | | | 579,067 | |
BAE Systems PLC | | | 157,100 | | | | 1,133,450 | |
Barclays PLC | | | 87,400 | | | | 395,214 | |
Beazley PLC | | | 111,100 | | | | 501,542 | |
Berendsen PLC | | | 3,400 | | | | 52,770 | |
BP PLC | | | 168,600 | | | | 1,366,360 | |
British American Tobacco PLC | | | 8,714 | | | | 467,719 | |
BT Group PLC | | | 241,900 | | | | 1,525,414 | |
Burberry Group PLC | | | 28,591 | | | | 720,363 | |
Cable & Wireless Communications PLC | | | 157,900 | | | | 147,336 | |
Carillion PLC | | | 65,500 | | | | 359,113 | |
Carnival PLC | | | 21,337 | | | | 883,315 | |
Centrica PLC | | | 63,800 | | | | 367,912 | |
Dairy Crest Group PLC | | | 40,400 | | | | 361,264 | |
Experian PLC | | | 28,100 | | | | 519,076 | |
GlaxoSmithKline PLC | | | 7,700 | | | | 205,726 | |
Home Retail Group PLC | | | 49,500 | | | | 157,665 | |
HSBC Holdings PLC | | | 91,002 | | | | 992,042 | |
J Sainsbury PLC | | | 135,800 | | | | 821,896 | |
Kingfisher PLC | | | 211,923 | | | | 1,352,932 | |
Legal & General Group PLC | | | 291,300 | | | | 1,076,784 | |
Liberty Global PLC (Class A Stock)* | | | 11,020 | | | | 980,670 | |
Marston’s PLC | | | 86,500 | | | | 206,045 | |
Old Mutual PLC | | | 178,500 | | | | 560,066 | |
Pearson PLC | | | 30,951 | | | | 690,082 | |
Reckitt Benckiser Group PLC | | | 18,073 | | | | 1,435,652 | |
Rolls-Royce Holdings PLC* | | | 56,790 | | | | 1,201,193 | |
RSA Insurance Group PLC | | | 195,300 | | | | 295,595 | |
SABMiller PLC | | | 16,366 | | | | 842,445 | |
Standard Chartered PLC | | | 52,205 | | | | 1,179,158 | |
Tesco PLC | | | 136,000 | | | | 755,258 | |
Tullett Prebon PLC | | | 57,600 | | | | 359,958 | |
Vesuvius PLC | | | 51,200 | | | | 432,936 | |
Vodafone Group PLC* | | | 134,300 | | | | 528,768 | |
WM Morrison Supermarkets PLC | | | 146,400 | | | | 633,742 | |
WPP PLC | | | 46,902 | | | | 1,074,246 | |
| | | | | | |
|
|
|
| | | | | 27,416,721 | |
| | | | | | |
|
|
|
United States — 2.3% | | | | | | | | |
Accenture PLC (Class A Stock) | | | 10,397 | | | | 854,841 | |
Schlumberger Ltd. | | | 12,902 | | | | 1,162,599 | |
Yum! Brands, Inc. | | | 16,529 | | | | 1,249,758 | |
| | | | | | |
|
|
|
| | | | | 3,267,198 | |
| | | | | | |
|
|
|
TOTAL COMMON STOCKS
(cost $108,167,695) | | | | 140,052,387 | |
| | | | | | |
|
|
|
| | | | | | | | |
PREFERRED STOCKS — 0.4%
| | Shares
| | | Value
(Note 2)
| |
Brazil — 0.4% | |
Itau Unibanco Holding SA (PRFC), ADR | | | 47,209 | | | $ | 640,626 | |
| | | | | | |
|
|
|
United Kingdom | | | | | | | | |
Rolls-Royce Holdings PLC (PRFC)*(g) | | | 4,410,080 | | | | 7,303 | |
| | | | | | |
|
|
|
TOTAL PREFERRED STOCKS
(cost $807,028) | | | | 647,929 | |
| | | | | | |
|
|
|
| | |
| | | Units
| | | | |
| RIGHTS* | | | | | | | | |
Spain | | | | | | | | |
Repsol SA
expiring 01/09/14
(cost $18,231) | | | 27,200 | | | | 18,560 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $108,992,954) | | | | 140,718,876 | |
| | | | | | |
|
|
|
| | |
| | |
| | | Shares
| | | | |
| SHORT-TERM INVESTMENT — 1.1% | |
AFFILIATED MONEY MARKET MUTUAL FUND | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $1,587,189)(w) (Note 4) | | | 1,587,189 | | | | 1,587,189 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 98.6%
(cost $110,580,143) | | | | 142,306,065 | |
OTHER ASSETS IN EXCESS OF
LIABILITIES(x) — 1.4% | | | | 1,950,956 | |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 144,257,021 | |
| | | | | | |
|
|
|
The following abbreviations are used in the Portfolio descriptions:
| | | | | | |
| ADR | | American Depositary Receipt |
| CVA | | Certificate Van Aandelen (Bearer) |
| PRFC | | Preference Shares |
| SDR | | Sweden Depositary Receipt |
| AUD | | Australian Dollar |
| EUR | | Euro |
| GBP | | British Pound |
| JPY | | Japanese Yen |
| * | Non-income producing security. |
| (g) | Indicates a security that has been deemed illiquid. |
| (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. |
| (x) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
SEE NOTES TO FINANCIAL STATEMENTS.
A9
| | | | | | |
| | | SP INTERNATIONAL VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
Forward foreign currency exchange contracts outstanding at December 31, 2013:
| | | | | | | | | | | | | | | | | | |
Purchase Contracts
| | Counterparty
| | Notional
Amount (000)
| | | Value at
Settlement Date
Payable
| | | Current
Value
| | | Unrealized
Appreciation
(Depreciation)
| |
Australian Dollar,
Expiring 01/02/14 | | Deutsche Bank | | AUD | 65 | | | $ | 57,770 | | | $ | 58,006 | | | $ | 236 | |
British Pound,
Expiring 02/18/14 | | State Street Bank | | GBP | 1,424 | | | | 2,304,721 | | | | 2,357,450 | | | | 52,729 | |
Japanese Yen,
Expiring 01/06/14 | | State Street Bank | | JPY | 132,524 | | | | 1,324,701 | | | | 1,258,454 | | | | (66,247 | ) |
| | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | $ | 3,687,192 | | | $ | 3,673,910 | | | $ | (13,282 | ) |
| | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | |
Sale Contracts
| | Counterparty
| | Notional
Amount (000)
| | | Value at
Settlement Date
Receivable
| | | Current
Value
| | | Unrealized
Appreciation
(Depreciation)
| |
British Pound, | | | | | | | | | | | | | | | | | | |
Expiring 01/02/14 | | Deutsche Bank | | GBP | 35 | | | $ | 57,770 | | | $ | 57,941 | | | $ | (171 | ) |
Expiring 02/18/14 | | State Street Bank | | GBP | 1,424 | | | | 2,206,090 | | | | 2,357,450 | | | | (151,360 | ) |
Euro, | | | | | | | | | | | | | | | | | | |
Expiring 04/28/14 | | State Street Bank | | EUR | 1,099 | | | | 1,484,465 | | | | 1,512,466 | | | | (28,001 | ) |
Expiring 04/28/14 | | State Street Bank | | EUR | 2,615 | | | | 3,609,889 | | | | 3,597,230 | | | | 12,659 | |
Japanese Yen, | | | | | | | | | | | | | | | | | | |
Expiring 01/06/14 | | State Street Bank | | JPY | 92,954 | | | | 892,284 | | | | 882,693 | | | | 9,591 | |
Expiring 01/06/14 | | State Street Bank | | JPY | 633,042 | | | | 6,383,855 | | | | 6,011,402 | | | | 372,453 | |
| | | | | | | | |
|
|
| |
|
|
| |
|
|
|
| | | | | | | | | $ | 14,634,353 | | | $ | 14,419,182 | | | $ | 215,171 | |
| | | | | | | | |
|
|
| |
|
|
| |
|
|
|
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1—quoted | prices generally in active markets for identical securities. |
| Level 2—other | significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| 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, 2013 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | |
Argentina | | $ | 454,766 | | | $ | — | | | $ | — | |
Australia | | | — | | | | 4,973,703 | | | | — | |
Austria | | | 732,270 | | | | 312,354 | | | | — | |
Belgium | | | 204,353 | | | | 1,381,540 | | | | — | |
Brazil | | | 757,052 | | | | — | | | | — | |
Canada | | | 2,258,046 | | | | — | | | | — | |
China | | | 2,103,364 | | | | 3,064,440 | | | | — | |
Denmark | | | 1,727,986 | | | | — | | | | — | |
Finland | | | — | | | | 1,149,082 | | | | — | |
France | | | 319,463 | | | | 13,611,794 | | | | — | |
Germany | | | — | | | | 13,319,712 | | | | — | |
Hong Kong | | | — | | | | 4,047,246 | | | | — | |
Ireland | | | 2,817 | | | | 564,447 | | | | — | |
Israel | | | — | | | | 1,279,016 | | | | — | |
Italy | | | — | | | | 3,182,693 | | | | — | |
Japan | | | — | | | | 26,484,371 | | | | — | |
Liechtenstein | | | 251,387 | | | | — | | | | — | |
Mexico | | | 387,853 | | | | — | | | | — | |
Netherlands | | | — | | | | 5,428,133 | | | | — | |
New Zealand | | | — | | | | 587,012 | | | | — | |
Norway | | | — | | | | 1,481,433 | | | | — | |
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Russia | | $ | 908,308 | | | $ | — | | | $ | — | |
Singapore | | | — | | | | 216,277 | | | | — | |
South Korea | | | — | | | | 953,831 | | | | — | |
Spain | | | — | | | | 3,020,002 | | | | — | |
Sweden | | | — | | | | 2,913,879 | | | | — | |
Switzerland | | | — | | | | 10,958,478 | | | | — | |
Taiwan | | | 331,360 | | | | — | | | | — | |
United Kingdom | | | 1,765,096 | | | | 25,651,625 | | | | — | |
United States | | | 3,267,198 | | | | — | | | | — | |
Preferred Stocks: | | | | | | | | | | | | |
Brazil | | | 640,626 | | | | — | | | | — | |
United Kingdom | | | — | | | | 7,303 | | | | — | |
Rights: | | | | | | | | | | | | |
Spain | | | 18,560 | | | | — | | | | — | |
Affiliated Money Market Mutual Fund | | | 1,587,189 | | | | — | | | | — | |
Other Financial Instruments* | | | | | |
Foreign Forward Currency Contracts | | | — | | | | 201,889 | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 17,717,694 | | | $ | 124,790,260 | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument. |
SEE NOTES TO FINANCIAL STATEMENTS.
A10
| | | | | | |
| | | SP INTERNATIONAL VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
Fair value of Level 2 investments at 12/31/12 was $105,748,078 which was a result of valuing investments using third-party vendor modeling tools. An amount of $2,831,158 was transferred from Level 2 into Level 1 at 12/31/2013 as a result of using quoted prices in active markets for such foreign securities. Such fair values are used to reflect the impact of significant market movements between the time at which the Portfolio values 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, 2013 were as follows (unaudited):
| | | | |
Commercial Banks | | | 11.8 | % |
Pharmaceuticals | | | 7.6 | |
Insurance | | | 7.3 | |
Oil, Gas & Consumable Fuels | | | 5.4 | |
Chemicals | | | 3.3 | |
Wireless Telecommunication Services | | | 3.3 | |
Textiles, Apparel & Luxury Goods | | | 3.2 | |
Auto Components | | | 3.1 | |
Diversified Financial Services | | | 3.1 | |
Machinery | | | 2.9 | |
Diversified Telecommunication Services | | | 2.9 | |
Media | | | 2.9 | |
Automobiles | | | 2.8 | |
Food & Staples Retailing | | | 2.8 | |
Capital Markets | | | 2.8 | |
Aerospace & Defense | | | 2.7 | |
Specialty Retail | | | 2.4 | |
Internet Software & Services | | | 2.3 | |
Hotels, Restaurants & Leisure | | | 1.8 | |
Semiconductors & Semiconductor Equipment | | | 1.8 | |
Health Care Providers & Services | | | 1.8 | |
Road & Rail | | | 1.4 | |
IT Services | | | 1.3 | |
Energy Equipment & Services | | | 1.3 | |
Beverages | | | 1.3 | |
Metals & Mining | | | 1.2 | |
Food Products | | | 1.2 | |
Trading Companies & Distributors | | | 1.2 | |
| | | | |
Affiliated Money Market Mutual Fund | | | 1.1 | % |
Real Estate Management & Development | | | 1.0 | |
Household Products | | | 1.0 | |
Construction & Engineering | | | 1.0 | |
Tobacco | | | 0.9 | |
Commercial Services & Supplies | | | 0.7 | |
Multi-Utilities | | | 0.6 | |
Health Care Equipment & Supplies | | | 0.6 | |
Software | | | 0.5 | |
Gas Utilities | | | 0.4 | |
Personal Products | | | 0.4 | |
Airlines | | | 0.4 | |
Electric Utilities | | | 0.4 | |
Containers & Packaging | | | 0.4 | |
Professional Services | | | 0.4 | |
Industrial Conglomerates | | | 0.3 | |
Air Freight & Logistics | | | 0.3 | |
Electrical Equipment | | | 0.3 | |
Electronic Equipment, Instruments & Components | | | 0.2 | |
Construction Materials | | | 0.2 | |
Life Sciences Tools & Services | | | 0.2 | |
Distributors | | | 0.2 | |
Health Care Technology | | | 0.1 | |
Internet & Catalog Retail | | | 0.1 | |
| | |
|
|
|
| | | | 98.6 | |
Other assets in excess of liabilities | | | 1.4 | |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
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, 2013 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 | | $ | 447,668 | | | Unrealized depreciation on foreign currency forward contracts | | $ | 245,779 | |
Equity contracts | | Unaffiliated investments | | | 18,560 | | | — | | | — | |
| | | | |
|
|
| | | |
|
|
|
Total | | | | $ | 466,228 | | | | | $ | 245,779 | |
| | | | |
|
|
| | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A11
| | | | | | |
| | | SP INTERNATIONAL VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2013 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(1)
| | | Forward
Currency
Contracts(2)
| | | Total
| |
Foreign exchange contracts | | $ | — | | | $ | 86,848 | | | $ | 86,848 | |
Equity contracts | | | (37,895 | ) | | | — | | | | (37,895 | ) |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | (37,895 | ) | | $ | 86,848 | | | $ | 48,953 | |
| | |
|
|
| |
|
|
| |
|
|
|
|
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
| |
Derivatives not accounted for as hedging instruments, carried at fair value
| | Rights(3)
| | | Forward
Currency
Contracts(4)
| | | Total
| |
Foreign exchange contracts | | $ | — | | | $ | 238,163 | | | $ | 238,163 | |
Equity contracts | | | 1,005 | | | | — | | | | 1,005 | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 1,005 | | | $ | 238,163 | | | $ | 239,168 | |
| | |
|
|
| |
|
|
| |
|
|
|
| (1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| (2) | Included in net realized gain (loss) on foreign currency transactions in the Statement of Operations. |
| (3) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
| (4) | Included in net change in unrealized appreciation (depreciation) on foreign currencies in the Statement of Operations. |
For the year ended December 31, 2013, the Portfolio’s average value at settlement date payable for forward foreign currency exchange purchase contracts was $4,140,116 and the average value at settlement date receivable for foreign currency exchange sale contracts was $12,590,454.
The Portfolio invested in derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of derivative assets and liabilities
| | | | | | | | | | | | | | | | |
Description
| | Gross Amounts
Recognized
| | | Gross Amounts
not subject to
netting
| | | Gross Amounts
Offset in the
Statement of
Financial Position
| | | Net Amounts
Presented in the
Statement of
Financial Position
| |
Assets: | | | | | | | | | | | | | | | | |
Over-the-counter Derivatives* | | $ | 447,668 | | | $ | — | | | $ | — | | | $ | 447,668 | |
Liabilities: | | | | | | | | | | | | | | | | |
Over-the-counter Derivatives* | | | (245,779 | ) | | | — | | | | — | | | | (245,779 | ) |
Collateral Amounts Pledged/(Received): | | | | | | | | | |
Over-the-counter Derivatives | | | | — | |
| | | | | | | | | | | | | | |
|
|
|
Net Amount | | | $ | 201,889 | |
| | | | | | | | | | | | | | |
|
|
|
| * | Over-the-counter derivatives may consist of forward foreign currency exchange contracts, options contracts and swap agreements. The amounts disclosed above represent the exposure to one or more counterparties. For further detail on individual derivative contracts and the corresponding unrealized appreciation (depreciation) by counterparty, see the Schedule of Investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
A12
| | | | | | |
| | | SP INTERNATIONAL VALUE PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2013
| | | | |
| ASSETS | | | | |
Investments at value: | | | | |
Unaffiliated investments (cost $108,992,954) | | $ | 140,718,876 | |
Affiliated investments (cost $1,587,189) | | | 1,587,189 | |
Foreign currency, at value (cost $1,203,356) | | | 1,209,451 | |
Cash | | | 2,135 | |
Tax reclaim receivable | | | 594,164 | |
Unrealized appreciation on foreign currency forward contracts | | | 447,668 | |
Receivable for investments sold | | | 222,168 | |
Dividends receivable | | | 134,103 | |
Receivable for Series shares sold | | | 7,211 | |
Prepaid expenses | | | 1,136 | |
| | |
|
|
|
Total Assets | | | 144,924,101 | |
| | |
|
|
|
| LIABILITIES | | | | |
Unrealized depreciation on foreign currency forward contracts | | | 245,779 | |
Payable for investments purchased | | | 187,434 | |
Management fee payable | | | 107,674 | |
Accrued expenses and other liabilities | | | 97,422 | |
Payable for Series shares repurchased | | | 27,845 | |
Affiliated transfer agent fees payable | | | 926 | |
| | |
|
|
|
Total Liabilities | | | 667,080 | |
| | |
|
|
|
| NET ASSETS | | $ | 144,257,021 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 138,213,760 | |
Retained earnings | | | 6,043,261 | |
| | |
|
|
|
Net assets, December 31, 2013 | | $ | 144,257,021 | |
| | |
|
|
|
Net asset value and redemption price per share, $144,257,021 / 18,148,549 outstanding shares of beneficial interest | | $ | 7.95 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2013
| | | | |
| INVESTMENT INCOME | | | | |
Unaffiliated dividend income (net of $309,781 foreign withholding tax) | | $ | 3,707,859 | |
Affiliated dividend income | | | 4,495 | |
| | |
|
|
|
| | | | 3,712,354 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 1,203,090 | |
Custodian’s fees and expenses | | | 198,000 | |
Shareholders’ reports | | | 44,000 | |
Audit fee | | | 26,000 | |
Trustees’ fees | | | 12,000 | |
Transfer agent’s fees and expenses (including affiliated expense of $5,600) (Note 4) | | | 12,000 | |
Legal fees and expenses | | | 11,000 | |
Commitment fee on syndicated credit agreement | | | 3,000 | |
Insurance expenses | | | 2,000 | |
Miscellaneous | | | 31,992 | |
| | |
|
|
|
Total expenses | | | 1,543,082 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 2,169,272 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | | | | |
Net realized gain on: | | | | |
Investment transactions | | | 6,394,656 | |
Foreign currency transactions | | | 7,808 | |
| | |
|
|
|
| | | | 6,402,464 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments | | | 15,738,120 | |
Foreign currencies | | | 263,171 | |
| | |
|
|
|
| | | | 16,001,291 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | | | 22,403,755 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 24,573,027 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 2,169,272 | | | $ | 2,957,671 | |
Net realized gain on investment and foreign currency transactions | | | 6,402,464 | | | | 1,025,895 | |
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | | | 16,001,291 | | | | 15,578,866 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 24,573,027 | | | | 19,562,432 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | — | | | | (3,268,463 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | |
Series shares sold [872,737 and 482,817 shares, respectively] | | | 6,158,434 | | | | 2,965,787 | |
Series shares issued in reinvestment of distributions [0 and 585,746 shares, respectively] | | | — | | | | 3,268,463 | |
Series shares repurchased [1,567,209 and 3,277,534 shares, respectively] | | | (11,229,049 | ) | | | (20,546,558 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (5,070,615 | ) | | | (14,312,308 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 19,502,412 | | | | 1,981,661 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 124,754,609 | | | | 122,772,948 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 144,257,021 | | | $ | 124,754,609 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A13
| | | | | | |
| | | SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 98.8% | | | | |
| COMMON STOCKS | | Shares
| | | Value
(Note 2)
| |
Airlines — 0.7% | |
United Continental Holdings, Inc.* | | | 50,109 | | | $ | 1,895,622 | |
| | | | | | |
|
|
|
Biotechnology — 2.7% | |
BioMarin Pharmaceutical, Inc.* | | | 47,147 | | | | 3,313,020 | |
Incyte Corp Ltd.*(a) | | | 27,005 | | | | 1,367,263 | |
Vertex Pharmaceuticals, Inc.* | | | 28,374 | | | | 2,108,188 | |
| | | | | | |
|
|
|
| | | | | | | | 6,788,471 | |
| | | | | | |
|
|
|
Capital Markets — 1.7% | |
Eaton Vance Corp. | | | 55,358 | | | | 2,368,769 | |
Waddell & Reed Financial, Inc.
(Class A Stock) | | | 27,972 | | | | 1,821,537 | |
| | | | | | |
|
|
|
| | | | | | | | 4,190,306 | |
| | | | | | |
|
|
|
Chemicals — 5.1% | |
Airgas, Inc. | | | 26,714 | | | | 2,987,961 | |
Albemarle Corp.(a) | | | 37,085 | | | | 2,350,818 | |
Ecolab, Inc. | | | 33,542 | | | | 3,497,424 | |
FMC Corp. | | | 52,494 | | | | 3,961,197 | |
| | | | | | |
|
|
|
| | | | | | | | 12,797,400 | |
| | | | | | |
|
|
|
Commercial Banks — 1.6% | |
First Republic Bank | | | 77,656 | | | | 4,065,292 | |
| | | | | | |
|
|
|
Commercial Services & Supplies — 1.5% | |
Iron Mountain, Inc. | | | 37,067 | | | | 1,124,983 | |
Stericycle, Inc.* | | | 23,760 | | | | 2,760,199 | |
| | | | | | |
|
|
|
| | | | | | | | 3,885,182 | |
| | | | | | |
|
|
|
Communications Equipment — 1.1% | |
F5 Networks, Inc.*(a) | | | 30,806 | | | | 2,799,033 | |
| | | | | | |
|
|
|
Computers & Peripherals — 0.5% | |
SanDisk Corp.(a) | | | 18,500 | | | | 1,304,990 | |
| | | | | | |
|
|
|
Construction & Engineering — 0.8% | |
Fluor Corp. | | | 24,835 | | | | 1,994,002 | |
| | | | | | |
|
|
|
Electrical Equipment — 3.6% | |
AMETEK, Inc. | | | 94,598 | | | | 4,982,477 | |
Roper Industries, Inc. | | | 28,986 | | | | 4,019,778 | |
| | | | | | |
|
|
|
| | | | | | | | 9,002,255 | |
| | | | | | |
|
|
|
Electronic Equipment, Instruments & Components — 1.7% | |
Amphenol Corp. (Class A Stock) | | | 47,844 | | | | 4,266,728 | |
| | | | | | |
|
|
|
Energy Equipment & Services — 1.7% | |
Cameron International Corp.* | | | 40,927 | | | | 2,436,384 | |
Core Laboratories NV (Netherlands)(a) | | | 10,157 | | | | 1,939,479 | |
| | | | | | |
|
|
|
| | | | | | | | 4,375,863 | |
| | | | | | |
|
|
|
Food & Staples Retailing — 1.7% | |
Fresh Market, Inc. (The)* | | | 29,662 | | | | 1,201,311 | |
Kroger Co. (The) | | | 30,234 | | | | 1,195,150 | |
Whole Foods Market, Inc. | | | 33,541 | | | | 1,939,676 | |
| | | | | | |
|
|
|
| | | | | | | | 4,336,137 | |
| | | | | | |
|
|
|
Food Products — 2.6% | |
Hain Celestial Group, Inc. (The)*(a) | | | 44,666 | | | | 4,054,779 | |
Mead Johnson Nutrition Co. | | | 29,819 | | | | 2,497,639 | |
| | | | | | |
|
|
|
| | | | | | | | 6,552,418 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Health Care Providers & Services — 5.0% | |
Catamaran Corp.* | | | 63,392 | | | $ | 3,009,852 | |
Henry Schein, Inc.* | | | 44,261 | | | | 5,057,262 | |
Universal Health Services, Inc.
(Class B Stock) | | | 56,175 | | | | 4,564,781 | |
| | | | | | |
|
|
|
| | | | | | | | 12,631,895 | |
| | | | | | |
|
|
|
Health Care Technology — 1.3% | |
Allscripts Healthcare Solutions, Inc.* | | | 128,073 | | | | 1,980,009 | |
Cerner Corp.*(a) | | | 24,276 | | | | 1,353,144 | |
| | | | | | |
|
|
|
| | | | | | | | 3,333,153 | |
| | | | | | |
|
|
|
Hotels, Restaurants & Leisure — 3.2% | |
Hilton Worldwide Holdings, Inc.* | | | 25,510 | | | | 567,598 | |
Norwegian Cruise Line Holding Ltd.* | | | 31,682 | | | | 1,123,761 | |
Starwood Hotels & Resorts Worldwide, Inc. | | | 42,796 | | | | 3,400,142 | |
Tim Hortons, Inc. (Canada) | | | 49,461 | | | | 2,887,533 | |
| | | | | | |
|
|
|
| | | | | | | | 7,979,034 | |
| | | | | | |
|
|
|
Household Products — 1.5% | |
Church & Dwight Co., Inc. | | | 56,432 | | | | 3,740,313 | |
| | | | | | |
|
|
|
Insurance — 1.0% | |
WR Berkley Corp. | | | 55,494 | | | | 2,407,885 | |
| | | | | | |
|
|
|
Internet & Catalog Retail — 0.4% | |
TripAdvisor, Inc.*(a) | | | 11,403 | | | | 944,510 | |
| | | | | | |
|
|
|
Internet Software & Services — 3.1% | |
Rackspace Hosting, Inc.*(a) | | | 67,938 | | | | 2,658,414 | |
VeriSign, Inc.*(a) | | | 86,043 | | | | 5,143,651 | |
| | | | | | |
|
|
|
| | | | | | | | 7,802,065 | |
| | | | | | |
|
|
|
IT Services — 3.2% | |
Alliance Data Systems Corp.*(a) | | | 5,963 | | | | 1,567,852 | |
Gartner, Inc.* | | | 29,493 | | | | 2,095,478 | |
Vantiv, Inc. (Class A Stock)*(a) | | | 136,716 | | | | 4,458,309 | |
| | | | | | |
|
|
|
| | | | | | | | 8,121,639 | |
| | | | | | |
|
|
|
Life Sciences Tools & Services — 3.0% | |
Agilent Technologies, Inc. | | | 56,684 | | | | 3,241,758 | |
Illumina, Inc.*(a) | | | 26,897 | | | | 2,975,346 | |
Waters Corp.* | | | 14,193 | | | | 1,419,300 | |
| | | | | | |
|
|
|
| | | | | | | | 7,636,404 | |
| | | | | | |
|
|
|
Machinery — 4.4% | |
Flowserve Corp. | | | 39,390 | | | | 3,105,114 | |
IDEX Corp. | | | 59,049 | | | | 4,360,769 | |
Pall Corp. | | | 33,979 | | | | 2,900,108 | |
WABCO Holdings, Inc.* | | | 8,348 | | | | 779,787 | |
| | | | | | |
|
|
|
| | | | | | | | 11,145,778 | |
| | | | | | |
|
|
|
Metals & Mining — 1.0% | |
Reliance Steel & Aluminum Co. | | | 34,378 | | | | 2,607,228 | |
| | | | | | |
|
|
|
Multiline Retail — 2.0% | |
Dollar Tree, Inc.*(a) | | | 89,005 | | | | 5,021,662 | |
| | | | | | |
|
|
|
Oil, Gas & Consumable Fuels — 4.9% | |
Concho Resources, Inc.* | | | 30,623 | | | | 3,307,284 | |
Denbury Resources, Inc.* | | | 181,038 | | | | 2,974,454 | |
Marathon Petroleum Corp. | | | 19,821 | | | | 1,818,180 | |
Noble Energy, Inc. | | | 52,946 | | | | 3,606,152 | |
SM Energy Co. | | | 8,832 | | | | 734,028 | |
| | | | | | |
|
|
|
| | | | | | | | 12,440,098 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A14
| | | | | | |
| | | SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Personal Products — 0.5% | | | | | | | | |
Herbalife Ltd. (Cayman Islands)(a) | | | 15,975 | | | $ | 1,257,233 | |
| | | | | | |
|
|
|
Pharmaceuticals — 4.5% | | | | | | | | |
Actavis, Inc.* | | | 19,325 | | | | 3,246,600 | |
Perrigo Co. PLC | | | 22,664 | | | | 3,478,017 | |
Valeant Pharmaceuticals International, Inc.* | | | 26,899 | | | | 3,157,943 | |
Zoetis, Inc. | | | 45,876 | | | | 1,499,686 | |
| | | | | | |
|
|
|
| | | | | | | | 11,382,246 | |
| | | | | | |
|
|
|
Professional Services — 2.1% | | | | | | | | |
IHS, Inc. (Class A Stock)* | | | 31,937 | | | | 3,822,859 | |
Towers Watson & Co.
(Class A Stock) | | | 11,079 | | | | 1,413,791 | |
| | | | | | |
|
|
|
| | | | | | | | 5,236,650 | |
| | | | | | |
|
|
|
Real Estate Investment Trusts (REITs) — 1.1% | | | | | |
Annaly Capital Management, Inc. | | | 105,781 | | | | 1,054,637 | |
Starwood Property Trust, Inc. | | | 63,836 | | | | 1,768,257 | |
| | | | | | |
|
|
|
| | | | | | | | 2,822,894 | |
| | | | | | |
|
|
|
Road & Rail — 0.4% | | | | | | | | |
Old Dominion Freight Line, Inc.* | | | 20,914 | | | | 1,108,860 | |
| | | | | | |
|
|
|
Semiconductors & Semiconductor Equipment — 2.0% | |
Analog Devices, Inc. | | | 24,304 | | | | 1,237,803 | |
Xilinx, Inc. | | | 81,061 | | | | 3,722,321 | |
| | | | | | |
|
|
|
| | | | | | | | 4,960,124 | |
| | | | | | |
|
|
|
Software — 9.4% | | | | | | | | |
Activision Blizzard, Inc. | | | 178,157 | | | | 3,176,539 | |
Adobe Systems, Inc.* | | | 85,205 | | | | 5,102,075 | |
Check Point Software Technologies Ltd. (Israel)*(a) | | | 43,763 | | | | 2,823,589 | |
Electronic Arts, Inc.*(a) | | | 149,956 | | | | 3,439,991 | |
Intuit, Inc.(a) | | | 41,838 | | | | 3,193,076 | |
Red Hat, Inc.* | | | 60,655 | | | | 3,399,106 | |
ServiceNow, Inc.*(a) | | | 29,542 | | | | 1,654,647 | |
Ultimate Software Group, Inc. (The)* | | | 5,393 | | | | 826,315 | |
| | | | | | |
|
|
|
| | | | | | | | 23,615,338 | |
| | | | | | |
|
|
|
Specialty Retail — 10.2% | | | | | | | | |
Bed Bath & Beyond, Inc.*(a) | | | 30,758 | | | | 2,469,867 | |
Dick’s Sporting Goods, Inc. | | | 43,893 | | | | 2,550,183 | |
GNC Holdings, Inc. (Class A Stock) | | | 44,061 | | | | 2,575,365 | |
L Brands, Inc. | | | 50,515 | | | | 3,124,353 | |
O’Reilly Automotive, Inc.*(a) | | | 24,257 | | | | 3,122,118 | |
PetSmart, Inc.(a) | | | 26,064 | | | | 1,896,156 | |
Ross Stores, Inc. | | | 66,391 | | | | 4,974,678 | |
Tractor Supply Co.(a) | | | 21,440 | | | | 1,663,315 | |
Ulta Salon Cosmetics & Fragrance, Inc.* | | | 21,205 | | | | 2,046,707 | |
Urban Outfitters, Inc.* | | | 34,116 | | | | 1,265,704 | |
| | | | | | |
|
|
|
| | | | | | | | 25,688,446 | |
| | | | | | |
|
|
|
| | | | | | | | |
Textiles, Apparel & Luxury Goods — 2.5% | | | | | |
Michael Kors Holdings Ltd. (Hong Kong)* | | | 18,066 | | | | 1,466,779 | |
PVH Corp. | | | 35,089 | | | | 4,772,806 | |
| | | | | | |
|
|
|
| | | | | | | | 6,239,585 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Trading Companies & Distributors — 0.9% | |
WESCO International, Inc.*(a) | | | 26,128 | | | $ | 2,379,477 | |
| | | | | | |
|
|
|
Wireless Telecommunication Services — 4.2% | |
Crown Castle International Corp.* | | | 56,143 | | | | 4,122,580 | |
NII Holdings, Inc.* | | | 173,975 | | | | 478,431 | |
SBA Communications Corp.
(Class A Stock)*(a) | | | 67,530 | | | | 6,066,896 | |
| | | | | | |
|
|
|
| | | | | | | | 10,667,907 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS (cost $158,344,837) | | | | 249,424,123 | |
| | | | | | |
|
|
|
| SHORT-TERM INVESTMENT — 24.1% | |
Affiliated Money Market Mutual Fund | |
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $60,926,501; includes $57,728,379 of cash collateral for securities on loan)(b)(w) (Note 4) | | | 60,926,501 | | | | 60,926,501 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 122.9%
(cost $219,271,338) | | | | 310,350,624 | |
LIABILITIES IN EXCESS OF
OTHER ASSETS — (22.9)% | | | | (57,830,521 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 252,520,103 | |
| | | | | | |
|
|
|
| * | 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 $56,775,793; cash collateral of $57,728,379 (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 in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| Level 3— | significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A15
| | | | | | |
| | | SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The following is a summary of the inputs used as of December 31, 2013 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 249,424,123 | | | $ | — | | | $ | — | |
Affiliated Money Market Mutual Fund | | | 60,926,501 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 310,350,624 | | | $ | — | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 was as follows:
| | | | |
Affiliated Money Market Mutual Fund (including 22.9% of collateral received for securities on loan) | | | 24.1 | % |
Specialty Retail | | | 10.2 | |
Software | | | 9.4 | |
Chemicals | | | 5.1 | |
Health Care Providers & Services | | | 5.0 | |
Oil, Gas & Consumable Fuels | | | 4.9 | |
Pharmaceuticals | | | 4.5 | |
Machinery | | | 4.4 | |
Wireless Telecommunication Services | | | 4.2 | |
Electrical Equipment | | | 3.6 | |
IT Services | | | 3.2 | |
Hotels, Restaurants & Leisure | | | 3.2 | |
Internet Software & Services | | | 3.1 | |
Life Sciences Tools & Services | | | 3.0 | |
Biotechnology | | | 2.7 | |
Food Products | | | 2.6 | |
Textiles, Apparel & Luxury Goods | | | 2.5 | |
Professional Services | | | 2.1 | |
Multiline Retail | | | 2.0 | |
Semiconductors & Semiconductor Equipment | | | 2.0 | |
Energy Equipment & Services | | | 1.7 | |
| | | | |
Food & Staples Retailing | | | 1.7 | % |
Electronic Equipment, Instruments & Components | | | 1.7 | |
Capital Markets | | | 1.7 | |
Commercial Banks | | | 1.6 | |
Commercial Services & Supplies | | | 1.5 | |
Household Products | | | 1.5 | |
Health Care Technology | | | 1.3 | |
Real Estate Investment Trusts (REITs) | | | 1.1 | |
Communications Equipment | | | 1.1 | |
Metals & Mining | | | 1.0 | |
Insurance | | | 1.0 | |
Trading Companies & Distributors | | | 0.9 | |
Construction & Engineering | | | 0.8 | |
Airlines | | | 0.7 | |
Computers & Peripherals | | | 0.5 | |
Personal Products | | | 0.5 | |
Road & Rail | | | 0.4 | |
Internet & Catalog Retail | | | 0.4 | |
| | |
|
|
|
| | | | 122.9 | |
Liabilities in excess of other assets | | | (22.9 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
The Portfolio invested in financial instruments during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument assets and liabilities
| | | | | | | | | | | | | | | | |
Description
| | Gross Amounts
Recognized
| | | Gross Amounts
not subject
to netting
| | | Gross Amounts
Offset in the
Statement of
Financial Position
| | | Net Amounts
Presented in the
Statement of
Financial Position
| |
Assets: | | | | | | | | | | | | | | | | |
Securities on Loan | | $ | 56,775,793 | | | $ | — | | | $ | — | | | $ | 56,775,793 | |
Collateral Amounts Pledged/(Received): | | | | | | | | | | | | |
Securities on Loan | | | | (56,775,793 | ) |
| | | | | | | | | | | | | | |
|
|
|
Net Amount | | | $ | — | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A16
| | | | | | |
| | | SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2013
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $56,775,793: | | | | |
Unaffiliated investments (cost $158,344,837) | | $ | 249,424,123 | |
Affiliated investments (cost $60,926,501) | | | 60,926,501 | |
Dividends receivable | | | 142,846 | |
Receivable for Series shares sold | | | 70,263 | |
Prepaid expenses | | | 2,451 | |
| | |
|
|
|
Total Assets | | | 310,566,184 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 57,728,379 | |
Management fee payable | | | 125,947 | |
Payable for investments purchased | | | 75,530 | |
Accrued expenses and other liabilities | | | 63,080 | |
Payable for Series shares reacquired | | | 47,592 | |
Deferred trustees’ fees | | | 2,384 | |
Payable to custodian | | | 2,040 | |
Affiliated transfer agent fee payable | | | 926 | |
Distribution fee payable | | | 127 | |
Administration fee payable | | | 76 | |
| | |
|
|
|
Total Liabilities | | | 58,046,081 | |
| | |
|
|
|
| NET ASSETS | | $ | 252,520,103 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 128,997,419 | |
Retained earnings | | | 123,522,684 | |
| | |
|
|
|
Net assets, December 31, 2013 | | $ | 252,520,103 | |
| | |
|
|
|
| Class I: | | | | |
Net asset value and redemption price per share, $251,834,799 / 23,262,704 outstanding shares of beneficial interest | | $ | 10.83 | |
| | |
|
|
|
| Class II: | | | | |
Net asset value and redemption price per share, $685,304 / 66,005 outstanding shares of beneficial interest | | $ | 10.38 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2013
| | | | |
| INCOME | | | | |
Unaffiliated dividend income (net of foreign withholding taxes of $14,771) | | $ | 1,710,414 | |
Affiliated income from securities loaned, net | | | 92,963 | |
Affiliated dividend income | | | 8,044 | |
| | |
|
|
|
| | | | 1,811,421 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 1,426,377 | |
Distribution fee—Class II | | | 1,199 | |
Administration fee—Class II | | | 720 | |
Custodian’s fees and expenses | | | 57,000 | |
Shareholders’ reports | | | 53,000 | |
Audit fee | | | 20,000 | |
Trustees’ fees | | | 13,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4) | | | 12,000 | |
Legal fees and expenses | | | 11,000 | |
Insurance expenses | | | 3,000 | |
Commitment fee on syndicated credit agreement | | | 2,000 | |
Miscellaneous | | | 13,355 | |
| | |
|
|
|
Total expenses | | | 1,612,651 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 198,770 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS | | | | |
Net realized gain on investment transactions | | | 23,218,743 | |
Net change in unrealized appreciation (depreciation) on Investments | | | 35,765,499 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS | | | 58,984,242 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 59,183,012 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 198,770 | | | $ | 1,623,087 | |
Net realized gain on investments | | | 23,218,743 | | | | 28,274,398 | |
Net change in unrealized appreciation (depreciation) on investments | | | 35,765,499 | | | | 4,622,612 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 59,183,012 | | | | 34,520,097 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS: | | | | | | | | |
Class I | | | — | | | | (16,531,764 | ) |
Class II | | | — | | | | (21,691 | ) |
| | |
|
|
| |
|
|
|
TOTAL DISTRIBUTIONS | | | — | | | | (16,553,455 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS (Note 7): | | | | | | | | |
Series shares sold | | | 6,115,312 | | | | 9,426,304 | |
Series shares issued in reinvestment of distributions | | | — | | | | 16,553,455 | |
Series shares repurchased | | | (34,115,247 | ) | | | (33,710,025 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (27,999,935 | ) | | | (7,730,266 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 31,183,077 | | | | 10,236,376 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 221,337,026 | | | | 211,100,650 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 252,520,103 | | | $ | 221,337,026 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A17
| | | | | | |
| | | SP SMALL CAP VALUE PORTFOLIO | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 98.6% | | | | |
| COMMON STOCKS — 96.4% | | Shares
| | | Value
(Note 2)
| |
Aerospace & Defense — 2.4% | |
Cubic Corp. | | | 10,533 | | | $ | 554,668 | |
Esterline Technologies Corp.* | | | 12,901 | | | | 1,315,386 | |
Huntington Ingalls Industries, Inc. | | | 23,080 | | | | 2,077,431 | |
Moog, Inc. (Class A Stock)* | | | 14,179 | | | | 963,321 | |
Teledyne Technologies, Inc.* | | | 7,409 | | | | 680,591 | |
| | | | | | |
|
|
|
| | | | | | | | 5,591,397 | |
| | | | | | |
|
|
|
Air Freight & Logistics — 0.3% | |
Forward Air Corp. | | | 15,037 | | | | 660,275 | |
| | | | | | |
|
|
|
Auto Components — 1.1% | |
American Axle & Manufacturing Holdings, Inc.* | | | 34,147 | | | | 698,306 | |
Dana Holding Corp.(a) | | | 38,470 | | | | 754,781 | |
Superior Industries International, Inc. | | | 24,330 | | | | 501,928 | |
Tenneco, Inc.* | | | 10,507 | | | | 594,381 | |
| | | | | | |
|
|
|
| | | | | | | | 2,549,396 | |
| | | | | | |
|
|
|
Biotechnology — 0.8% | |
Acorda Therapeutics, Inc.* | | | 18,836 | | | | 550,011 | |
Exact Sciences Corp.*(a) | | | 50,415 | | | | 589,351 | |
Infinity Pharmaceuticals, Inc.* | | | 47,669 | | | | 658,309 | |
| | | | | | |
|
|
|
| | | | | | | | 1,797,671 | |
| | | | | | |
|
|
|
Building Products — 0.3% | |
Gibraltar Industries, Inc.* | | | 15,540 | | | | 288,889 | |
Trex Co., Inc.* | | | 5,995 | | | | 476,782 | |
| | | | | | |
|
|
|
| | | | | | | | 765,671 | |
| | | | | | |
|
|
|
Capital Markets — 4.8% | |
Affiliated Managers Group, Inc.* | | | 11,640 | | | | 2,524,483 | |
Cohen & Steers, Inc.(a) | | | 17,750 | | | | 711,065 | |
E*TRADE Financial Corp.* | | | 33,087 | | | | 649,829 | |
Greenhill & Co., Inc. | | | 4,346 | | | | 251,807 | |
HFF, Inc. (Class A Stock)* | | | 28,693 | | | | 770,407 | |
Manning & Napier, Inc. | | | 5,873 | | | | 103,658 | |
New Mountain Finance Corp. | | | 15,190 | | | | 228,458 | |
Piper Jaffray Cos.* | | | 3,359 | | | | 132,848 | |
Raymond James Financial, Inc. | | | 24,890 | | | | 1,299,009 | |
Solar Capital Ltd. | | | 10,456 | | | | 235,783 | |
Stifel Financial Corp.*(a) | | | 16,493 | | | | 790,344 | |
THL Credit, Inc. | | | 9,893 | | | | 163,136 | |
Virtus Investment Partners Inc* | | | 2,414 | | | | 482,921 | |
Waddell & Reed Financial, Inc. (Class A Stock) | | | 35,940 | | | | 2,340,413 | |
Walter Investment Management Corp.* | | | 8,230 | | | | 291,013 | |
| | | | | | |
|
|
|
| | | | | | | | 10,975,174 | |
| | | | | | |
|
|
|
Chemicals — 3.1% | |
Axiall Corp. | | | 5,201 | | | | 246,735 | |
H.B. Fuller Co. | | | 4,556 | | | | 237,094 | |
Koppers Holdings, Inc. | | | 29,137 | | | | 1,333,018 | |
Kraton Performance Polymers, Inc.* | | | 22,650 | | | | 522,082 | |
Methanex Corp. (Canada) | | | 13,492 | | | | 799,266 | |
PolyOne Corp. | | | 50,259 | | | | 1,776,656 | |
Quaker Chemical Corp. | | | 4,936 | | | | 380,418 | |
Taminco Corp* | | | 24,823 | | | | 501,673 | |
W.R. Grace & Co.* | | | 8,019 | | | | 792,839 | |
Westlake Chemical Corp. | | | 3,821 | | | | 466,429 | |
| | | | | | |
|
|
|
| | | | | | | | 7,056,210 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Commercial Banks — 15.0% | |
Bancorp, Inc. (The)* | | | 13,739 | | | $ | 246,065 | |
BancorpSouth, Inc.(a) | | | 40,762 | | | | 1,036,170 | |
Bank of the Ozarks, Inc.(a) | | | 21,845 | | | | 1,236,209 | |
BankUnited, Inc. | | | 19,900 | | | | 655,108 | |
Banner Corp. | | | 13,579 | | | | 608,611 | |
Boston Private Financial Holdings, Inc. | | | 46,767 | | | | 590,200 | |
Bridge Capital Holdings* | | | 8,604 | | | | 176,726 | |
CoBiz Financial, Inc. | | | 17,955 | | | | 214,742 | |
Community Bank System, Inc. | | | 15,993 | | | | 634,602 | |
First Financial Bankshares, Inc. | | | 10,682 | | | | 708,430 | |
First Financial Holdings, Inc. | | | 9,984 | | | | 664,036 | |
First Midwest Bancorp, Inc. | | | 25,604 | | | | 448,838 | |
First of Long Island Corp. (The) | | | 4,453 | | | | 190,900 | |
First Republic Bank | | | 18,350 | | | | 960,623 | |
FirstMerit Corp. | | | 82,350 | | | | 1,830,641 | |
Flushing Financial Corp. | | | 19,009 | | | | 393,486 | |
Glacier Bancorp, Inc. | | | 31,018 | | | | 924,026 | |
Heritage Financial Corp. | | | 8,576 | | | | 146,735 | |
Home BancShares, Inc. | | | 20,038 | | | | 748,419 | |
Iberiabank Corp. | | | 36,740 | | | | 2,309,109 | |
Independent Bank Corp. | | | 10,280 | | | | 402,873 | |
Independent Bank Group, Inc. | | | 5,900 | | | | 292,994 | |
Lakeland Financial Corp. | | | 6,682 | | | | 260,598 | |
MB Financial, Inc. | | | 26,771 | | | | 859,081 | |
PacWest Bancorp(a) | | | 19,677 | | | | 830,763 | |
Pinnacle Financial Partners, Inc. | | | 18,144 | | | | 590,224 | |
PrivateBancorp, Inc. | | | 37,716 | | | | 1,091,124 | |
Prosperity Bancshares, Inc. | | | 14,050 | | | | 890,630 | |
Sandy Spring Bancorp, Inc. | | | 8,840 | | | | 249,200 | |
Sierra Bancorp | | | 4,185 | | | | 67,337 | |
Signature Bank*(a) | | | 31,137 | | | | 3,344,737 | |
Southcoast Financial Corp.* | | | 5,539 | | | | 32,957 | |
Southwest Bancorp, Inc. | | | 14,260 | | | | 227,019 | |
Sterling Financial Corp. | | | 8,521 | | | | 290,396 | |
Summit State Bank | | | 4,459 | | | | 47,042 | |
SVB Financial Group* | | | 26,950 | | | | 2,825,977 | |
Texas Capital Bancshares, Inc.*(a) | | | 19,682 | | | | 1,224,220 | |
Tompkins Financial Corp. | | | 13,579 | | | | 697,825 | |
Trico Bancshares | | | 8,929 | | | | 253,316 | |
UMB Financial Corp.(a) | | | 16,776 | | | | 1,078,361 | |
ViewPoint Financial Group, Inc. | | | 27,864 | | | | 764,867 | |
Webster Financial Corp. | | | 24,841 | | | | 774,542 | |
Wintrust Financial Corp. | | | 52,270 | | | | 2,410,692 | |
| | | | | | |
|
|
|
| | | | | | | | 34,230,451 | |
| | | | | | |
|
|
|
Commercial Services & Supplies — 1.9% | |
ACCO Brands Corp.*(a) | | | 184,190 | | | | 1,237,757 | |
Ceco Environmental Corp. | | | 15,001 | | | | 242,566 | |
G & K Services, Inc. (Class A Stock) | | | 11,340 | | | | 705,688 | |
Herman Miller, Inc. | | | 16,160 | | | | 477,043 | |
Mobile Mini, Inc.* | | | 16,886 | | | | 695,365 | |
Progressive Waste Solutions Ltd. (Canada) | | | 17,082 | | | | 422,780 | |
West Corp. | | | 17,690 | | | | 454,810 | |
| | | | | | |
|
|
|
| | | | | | | | 4,236,009 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A18
| | | | | | |
| | | SP SMALL CAP VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Communications Equipment — 2.2% | |
ADTRAN, Inc. | | | 17,561 | | | $ | 474,323 | |
Bel Fuse, Inc. (Class B Stock) | | | 12,120 | | | | 258,277 | |
Black Box Corp. | | | 9,690 | | | | 288,762 | |
CommScope Holding Co., Inc* | | | 33,352 | | | | 631,020 | |
Digi International, Inc.* | | | 93,176 | | | | 1,129,293 | |
InterDigital, Inc. | | | 19,310 | | | | 569,452 | |
Plantronics, Inc. | | | 24,550 | | | | 1,140,347 | |
RADWARE Ltd. (Israel)* | | | 28,045 | | | | 504,249 | |
| | | | | | |
|
|
|
| | | | | | | | 4,995,723 | |
| | | | | | |
|
|
|
Computers & Peripherals — 0.2% | |
Electronics For Imaging, Inc.* | | | 12,768 | | | | 494,505 | |
| | | | | | |
|
|
|
Construction & Engineering — 1.7% | |
Comfort Systems USA, Inc. | | | 20,858 | | | | 404,437 | |
EMCOR Group, Inc. | | | 51,583 | | | | 2,189,182 | |
MYR Group, Inc.* | | | 15,828 | | | | 396,966 | |
Tutor Perini Corp. | | | 30,720 | | | | 807,936 | |
| | | | | | |
|
|
|
| | | | | | | | 3,798,521 | |
| | | | | | |
|
|
|
Consumer Finance — 0.2% | |
First Cash Financial Services, Inc.* | | | 6,119 | | | | 378,399 | |
| | | | | | |
|
|
|
Containers & Packaging — 0.3% | |
Graphic Packaging Holding Co* | | | 78,062 | | | | 749,395 | |
| | | | | | |
|
|
|
Diversified Consumer Services — 0.3% | |
Sotheby’s | | | 11,110 | | | | 591,052 | |
Steiner Leisure Ltd.* | | | 3,628 | | | | 178,461 | |
| | | | | | |
|
|
|
| | | | | | | | 769,513 | |
| | | | | | |
|
|
|
Diversified Financial Services — 0.2% | |
MarketAxess Holdings, Inc. | | | 6,311 | | | | 422,017 | |
| | | | | | |
|
|
|
Diversified Telecommunication Services — 0.4% | |
Premiere Global Services, Inc.* | | | 70,242 | | | | 814,105 | |
| | | | | | |
|
|
|
Electric Utilities — 3.3% | |
ALLETE, Inc. | | | 13,302 | | | | 663,504 | |
Cleco Corp. | | | 45,101 | | | | 2,102,609 | |
El Paso Electric Co. | | | 24,042 | | | | 844,115 | |
IDACORP, Inc. | | | 24,268 | | | | 1,258,053 | |
MGE Energy, Inc. | | | 5,230 | | | | 302,817 | |
Portland General Electric Co. | | | 46,898 | | | | 1,416,319 | |
UNS Energy Corp. | | | 15,820 | | | | 946,827 | |
| | | | | | |
|
|
|
| | | | | | | | 7,534,244 | |
| | | | | | |
|
|
|
Electrical Equipment — 0.4% | |
Powell Industries, Inc.* | | | 4,546 | | | | 304,536 | |
Thermon Group Holdings, Inc.* | | | 18,269 | | | | 499,292 | |
| | | | | | |
|
|
|
| | | | | | | | 803,828 | |
| | | | | | |
|
|
|
Electronic Equipment, Instruments & Components — 2.8% | |
Anixter International, Inc.* | | | 11,285 | | | | 1,013,844 | |
AVX Corp. | | | 89,320 | | | | 1,244,228 | |
Belden, Inc. | | | 8,155 | | | | 574,520 | |
CTS Corp. | | | 24,827 | | | | 494,306 | |
Littelfuse, Inc. | | | 5,680 | | | | 527,842 | |
Newport Corp.* | | | 36,757 | | | | 664,199 | |
Park Electrochemical Corp. | | | 67,035 | | | | 1,925,245 | |
| | | | | | |
|
|
|
| | | | | | | | 6,444,184 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Energy Equipment & Services — 3.6% | |
Dril-Quip, Inc.* | | | 4,766 | | | $ | 523,926 | |
Forum Energy Technologies, Inc.* | | | 33,117 | | | | 935,886 | |
Gulf Island Fabrication, Inc. | | | 24,490 | | | | 568,658 | |
Gulfmark Offshore, Inc. (Class A Stock) | | | 12,851 | | | | 605,668 | |
Key Energy Services, Inc.* | | | 37,450 | | | | 295,855 | |
Matrix Service Co.* | | | 29,960 | | | | 733,121 | |
McDermott International, Inc.* | | | 32,050 | | | | 293,578 | |
Natural Gas Services Group, Inc.* | | | 23,060 | | | | 635,764 | |
Newpark Resources, Inc.* | | | 73,105 | | | | 898,461 | |
Tesco Corp.* | | | 12,960 | | | | 256,349 | |
TETRA Technologies, Inc.* | | | 109,251 | | | | 1,350,342 | |
Tidewater, Inc. | | | 17,880 | | | | 1,059,748 | |
| | | | | | |
|
|
|
| | | | | | | | 8,157,356 | |
| | | | | | |
|
|
|
Food & Staples Retailing — 1.3% | |
Pantry, Inc. (The)* | | | 63,379 | | | | 1,063,500 | |
Susser Holdings Corp.* | | | 10,594 | | | | 693,801 | |
Weis Markets, Inc. | | | 22,840 | | | | 1,200,470 | |
| | | | | | |
|
|
|
| | | | | | | | 2,957,771 | |
| | | | | | |
|
|
|
Food Products — 0.4% | |
Hain Celestial Group, Inc. (The)* | | | 9,783 | | | | 888,101 | |
| | | | | | |
|
|
|
Gas Utilities — 1.2% | |
Laclede Group, Inc. (The) | | | 5,190 | | | | 236,353 | |
New Jersey Resources Corp. | | | 11,270 | | | | 521,125 | |
Northwest Natural Gas Co. | | | 3,250 | | | | 139,165 | |
Southwest Gas Corp. | | | 27,214 | | | | 1,521,535 | |
WGL Holdings, Inc. | | | 5,490 | | | | 219,929 | |
| | | | | | |
|
|
|
| | | | | | | | 2,638,107 | |
| | | | | | |
|
|
|
Health Care Equipment & Supplies — 0.5% | |
Alere, Inc.* | | | 8,498 | | | | 307,628 | |
Hill-Rom Holdings, Inc. | | | 10,045 | | | | 415,260 | |
Teleflex, Inc. | | | 5,646 | | | | 529,934 | |
| | | | | | |
|
|
|
| | | | | | | | 1,252,822 | |
| | | | | | |
|
|
|
Health Care Providers & Services — 1.6% | |
Cross Country Healthcare, Inc.* | | | 58,710 | | | | 585,926 | |
HealthSouth Corp. | | | 15,918 | | | | 530,388 | |
LifePoint Hospitals, Inc.* | | | 24,940 | | | | 1,317,830 | |
Surgical Care Affiliates, Inc* | | | 7,975 | | | | 277,849 | |
WellCare Health Plans, Inc.* | | | 12,656 | | | | 891,235 | |
| | | | | | |
|
|
|
| | | | | | | | 3,603,228 | |
| | | | | | |
|
|
|
Health Care Technology — 0.4% | |
Allscripts Healthcare Solutions, Inc.* | | | 56,079 | | | | 866,981 | |
| | | | | | |
|
|
|
Hotels, Restaurants & Leisure — 1.0% | |
Bloomin’ Brands, Inc.* | | | 20,941 | | | | 502,793 | |
Diamond Resorts International, Inc.* | | | 21,057 | | | | 388,712 | |
Marriott Vacations Worldwide Corp.* | | | 11,345 | | | | 598,562 | |
Pinnacle Entertainment, Inc.* | | | 10,032 | | | | 260,732 | |
Vail Resorts, Inc. | | | 8,086 | | | | 608,310 | |
| | | | | | |
|
|
|
| | | | | | | | 2,359,109 | |
| | | | | | |
|
|
|
Household Durables — 1.3% | | | | | | | | |
Meritage Homes Corp.* | | | 15,469 | | | | 742,357 | |
Ryland Group, Inc. (The) | | | 21,500 | | | | 933,315 | |
Standard Pacific Corp.* | | | 74,413 | | | | 673,438 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A19
| | | | | | |
| | | SP SMALL CAP VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Household Durables (continued) | | | | | | | | |
WCI Communities, Inc.* | | | 14,760 | | | $ | 281,769 | |
William Lyon Homes* | | | 15,080 | | | | 333,871 | |
| | | | | | |
|
|
|
| | | | | | | | 2,964,750 | |
| | | | | | |
|
|
|
Household Products — 0.6% | | | | | | | | |
Central Garden & Pet Co. (Class A Stock)* | | | 30,890 | | | | 208,507 | |
Spectrum Brands Holdings, Inc. | | | 15,109 | | | | 1,065,940 | |
| | | | | | |
|
|
|
| | | | | | | | 1,274,447 | |
| | | | | | |
|
|
|
Industrial Conglomerates — 0.5% | | | | | | | | |
Carlisle Cos., Inc. | | | 13,150 | | | | 1,044,110 | |
| | | | | | |
|
|
|
Insurance — 4.8% | | | | | | | | |
Allied World Assurance Co. Holdings AG | | | 21,490 | | | | 2,424,287 | |
American Equity Investment Life Holding Co.(a) | | | 57,450 | | | | 1,515,531 | |
Axis Capital Holdings Ltd. | | | 37,040 | | | | 1,761,993 | |
CNO Financial Group, Inc. | | | 67,670 | | | | 1,197,082 | |
Endurance Specialty Holdings Ltd. | | | 9,065 | | | | 531,844 | |
Enstar Group Ltd.* | | | 3,310 | | | | 459,792 | |
Fidelity & Guaranty Life* | | | 11,333 | | | | 214,647 | |
Maiden Holdings Ltd. | | | 45,908 | | | | 501,774 | |
Meadowbrook Insurance Group, Inc. | | | 45,357 | | | | 315,685 | |
ProAssurance Corp. | | | 35,667 | | | | 1,729,136 | |
RLI Corp. | | | 4,097 | | | | 398,966 | |
| | | | | | |
|
|
|
| | | | | | | | 11,050,737 | |
| | | | | | |
|
|
|
Internet & Catalog Retail — 0.3% | | | | | | | | |
HSN, Inc. | | | 10,487 | | | | 653,340 | |
| | | | | | |
|
|
|
IT Services — 0.4% | | | | | | | | |
Convergys Corp. | | | 33,305 | | | | 701,070 | |
Unisys Corp.*(a) | | | 9,300 | | | | 312,201 | |
| | | | | | |
|
|
|
| | | | | | | | 1,013,271 | |
| | | | | | |
|
|
|
Leisure Equipment & Products — 0.5% | | | | | | | | |
Arctic Cat, Inc. | | | 10,641 | | | | 606,324 | |
Brunswick Corp. | | | 9,082 | | | | 418,317 | |
Leapfrog Enterprises, Inc.*(a) | | | 26,970 | | | | 214,142 | |
| | | | | | |
|
|
|
| | | | | | | | 1,238,783 | |
| | | | | | |
|
|
|
Life Sciences Tools & Services — 0.3% | | | | | | | | |
PerkinElmer, Inc. | | | 19,324 | | | | 796,729 | |
| | | | | | |
|
|
|
Machinery — 3.5% | | | | | | | | |
Actuant Corp. (Class A Stock) | | | 21,093 | | | | 772,847 | |
Altra Industrial Motion Corp. | | | 17,430 | | | | 596,455 | |
Barnes Group, Inc.(a) | | | 26,046 | | | | 997,822 | |
CIRCOR International, Inc. | | | 8,646 | | | | 698,424 | |
Crane Co. | | | 9,760 | | | | 656,360 | |
Edwards Group Ltd., ADR (United Kingdom)* | | | 46,278 | | | | 471,110 | |
Graco, Inc. | | | 4,756 | | | | 371,539 | |
Harsco Corp. | | | 17,344 | | | | 486,152 | |
RBC Bearings, Inc.* | | | 28,173 | | | | 1,993,240 | |
Snap-on, Inc. | | | 6,930 | | | | 758,974 | |
Twin Disc, Inc. | | | 10,218 | | | | 264,544 | |
| | | | | | |
|
|
|
| | | | | | | | 8,067,467 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Marine — 0.5% | | | | | | | | |
Diana Shipping, Inc. (Greece)*(a) | | | 49,560 | | | $ | 658,652 | |
Kirby Corp.* | | | 5,220 | | | | 518,085 | |
| | | | | | |
|
|
|
| | | | | | | | 1,176,737 | |
| | | | | | |
|
|
|
Metals & Mining — 2.2% | | | | | | | | |
Carpenter Technology Corp. | | | 13,632 | | | | 847,910 | |
Commercial Metals Co. | | | 16,667 | | | | 338,840 | |
Globe Specialty Metals, Inc. | | | 26,491 | | | | 477,103 | |
Haynes International, Inc. | | | 10,214 | | | | 564,221 | |
Horsehead Holding Corp.*(a) | | | 69,460 | | | | 1,125,947 | |
Kaiser Aluminum Corp. | | | 12,449 | | | | 874,418 | |
Olympic Steel, Inc. | | | 5,318 | | | | 154,116 | |
RTI International Metals, Inc.*(a) | | | 14,270 | | | | 488,177 | |
SunCoke Energy, Inc.* | | | 11,405 | | | | 260,148 | |
| | | | | | |
|
|
|
| | | | | | | | 5,130,880 | |
| | | | | | |
|
|
|
Multi-Utilities — 0.4% | | | | | | | | |
Black Hills Corp. | | | 4,783 | | | | 251,155 | |
NorthWestern Corp. | | | 12,808 | | | | 554,843 | |
| | | | | | |
|
|
|
| | | | | | | | 805,998 | |
| | | | | | |
|
|
|
Multiline Retail — 0.1% | | | | | | | | |
Burlington Stores, Inc.* | | | 9,380 | | | | 300,160 | |
| | | | | | |
|
|
|
Oil, Gas & Consumable Fuels — 3.2% | | | | | | | | |
Approach Resources, Inc.* | | | 17,587 | | | | 339,253 | |
Bill Barrett Corp.* | | | 25,320 | | | | 678,070 | |
Carrizo Oil & Gas, Inc.* | | | 15,880 | | | | 710,948 | |
Cloud Peak Energy, Inc.* | | | 27,580 | | | | 496,440 | |
Delek US Holdings, Inc. | | | 6,355 | | | | 218,676 | |
Diamondback Energy, Inc. | | | 14,097 | | | | 745,167 | |
Laredo Petroleum, Inc.* | | | 34,708 | | | | 961,064 | |
Rex Energy Corp.* | | | 80,697 | | | | 1,590,538 | |
Western Refining, Inc. | | | 35,130 | | | | 1,489,863 | |
| | | | | | |
|
|
|
| | | | | | | | 7,230,019 | |
| | | | | | |
|
|
|
Paper & Forest Products — 0.7% | | | | | | | | |
Boise Cascade Co.* | | | 20,320 | | | | 599,034 | |
KapStone Paper and Packaging Corp. | | | 19,626 | | | | 1,096,308 | |
| | | | | | |
|
|
|
| | | | | | | | 1,695,342 | |
| | | | | | |
|
|
|
Pharmaceuticals — 0.4% | | | | | | | | |
Mallinckrodt PLC* | | | 4,940 | | | | 258,164 | |
Prestige Brands Holdings, Inc.* | | | 18,566 | | | | 664,663 | |
| | | | | | |
|
|
|
| | | | | | | | 922,827 | |
| | | | | | |
|
|
|
Professional Services — 0.9% | | | | | | | | |
Korn/Ferry International* | | | 18,650 | | | | 487,138 | |
TrueBlue, Inc.* | | | 58,468 | | | | 1,507,305 | |
| | | | | | |
|
|
|
| | | | | | | | 1,994,443 | |
| | | | | | |
|
|
|
Real Estate Investment Trusts (REITs) — 8.9% | |
Acadia Realty Trust | | | 20,381 | | | | 506,060 | |
American Campus Communities, Inc.(a) | | | 34,425 | | | | 1,108,829 | |
Apollo Commercial Real Estate Finance, Inc. | | | 46,656 | | | | 758,160 | |
BioMed Realty Trust, Inc. | | | 52,660 | | | | 954,199 | |
Blackstone Mortgage Trust, Inc. (Class A Stock) | | | 31,554 | | | | 856,060 | |
SEE NOTES TO FINANCIAL STATEMENTS.
A20
| | | | | | |
| | | SP SMALL CAP VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Real Estate Investment Trusts (REITs) (continued) | | | | | |
Campus Crest Communities, Inc.(a) | | | 75,015 | | | $ | 705,891 | |
CBL & Associates Properties, Inc. | | | 24,631 | | | | 442,373 | |
Chesapeake Lodging Trust | | | 23,792 | | | | 601,700 | |
CoreSite Realty Corp. | | | 8,961 | | | | 288,455 | |
Corporate Office Properties Trust(a) | | | 15,340 | | | | 363,405 | |
Cousins Properties, Inc. | | | 63,903 | | | | 658,201 | |
CubeSmart | | | 47,835 | | | | 762,490 | |
DuPont Fabros Technology, Inc.(a) | | | 26,708 | | | | 659,955 | |
EastGroup Properties, Inc. | | | 15,670 | | | | 907,763 | |
Empire State Realty Trust, Inc. (Class A Stock)(a) | | | 20,000 | | | | 306,000 | |
First Potomac Realty Trust | | | 20,750 | | | | 241,322 | |
Healthcare Trust of America, Inc.(a) | | | 37,258 | | | | 366,619 | |
Hersha Hospitality Trust | | | 39,010 | | | | 217,286 | |
Highwoods Properties, Inc.(a) | | | 26,245 | | | | 949,282 | |
Hudson Pacific Properties, Inc. | | | 36,656 | | | | 801,667 | |
LaSalle Hotel Properties | | | 26,150 | | | | 806,989 | |
MFA Financial, Inc.(a) | | | 97,439 | | | | 687,919 | |
Mid-America Apartment Communities, Inc. | | | 24,003 | | | | 1,457,942 | |
National Health Investors, Inc. | | | 11,213 | | | | 629,049 | |
Pebblebrook Hotel Trust | | | 73,100 | | | | 2,248,556 | |
PS Business Parks, Inc. | | | 10,236 | | | | 782,235 | |
Strategic Hotels & Resorts, Inc.* | | | 60,913 | | | | 575,628 | |
Two Harbors Investment Corp. | | | 61,509 | | | | 570,803 | |
Washington Real Estate Investment Trust | | | 7,900 | | | | 184,544 | |
| | | | | | |
|
|
|
| | | | | | | | 20,399,382 | |
| | | | | | |
|
|
|
Real Estate Management & Development — 0.7% | |
CBRE Group, Inc. (Class A Stock)* | | | 9,200 | | | | 241,960 | |
Jones Lang LaSalle, Inc. | | | 5,300 | | | | 542,667 | |
Kennedy-Wilson Holdings, Inc. | | | 33,481 | | | | 744,952 | |
| | | | | | |
|
|
|
| | | | | | | | 1,529,579 | |
| | | | | | |
|
|
|
Road & Rail — 1.0% | | | | | | | | |
Celadon Group, Inc. | | | 10,084 | | | | 196,436 | |
Genesee & Wyoming, Inc. (Class A Stock)* | | | 7,660 | | | | 735,743 | |
Old Dominion Freight Line, Inc.* | | | 26,987 | | | | 1,430,851 | |
| | | | | | |
|
|
|
| | | | | | | | 2,363,030 | |
| | | | | | |
|
|
|
Semiconductors & Semiconductor Equipment — 5.4% | |
Cabot Microelectronics Corp.* | | | 15,256 | | | | 697,199 | |
Exar Corp.* | | | 114,680 | | | | 1,352,077 | |
Fairchild Semiconductor International, Inc.* | | | 39,669 | | | | 529,581 | |
Intersil Corp. (Class A Stock) | | | 62,400 | | | | 715,728 | |
Micrel, Inc. | | | 22,385 | | | | 220,940 | |
MKS Instruments, Inc. | | | 22,353 | | | | 669,249 | |
ON Semiconductor Corp.* | | | 196,690 | | | | 1,620,726 | |
PMC – Sierra, Inc.* | | | 62,379 | | | | 401,097 | |
Rudolph Technologies, Inc.* | | | 139,900 | | | | 1,642,426 | |
Semtech Corp.* | | | 19,966 | | | | 504,740 | |
Teradyne, Inc.*(a) | | | 135,886 | | | | 2,394,311 | |
TriQuint Semiconductor, Inc.* | | | 37,231 | | | | 310,507 | |
Veeco Instruments, Inc.* | | | 37,788 | | | | 1,243,603 | |
| | | | | | |
|
|
|
| | | | | | | | 12,302,184 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Software — 1.4% | | | | | | | | |
Monotype Imaging Holdings, Inc. | | | 15,028 | | | $ | 478,792 | |
Netscout Systems, Inc.* | | | 12,067 | | | | 357,063 | |
PTC, Inc.* | | | 26,532 | | | | 938,967 | |
SS&C Technologies Holdings, Inc.* | | | 17,996 | | | | 796,503 | |
Verint Systems, Inc.* | | | 16,784 | | | | 720,705 | |
| | | | | | |
|
|
|
| | | | | | | | 3,292,030 | |
| | | | | | |
|
|
|
Specialty Retail — 3.1% | | | | | | | | |
ANN, Inc.* | | | 26,570 | | | | 971,399 | |
Asbury Automotive Group, Inc.* | | | 11,512 | | | | 618,655 | |
Cato Corp. (The) (Class A Stock) | | | 6,940 | | | | 220,692 | |
Chico’s FAS, Inc. | | | 11,929 | | | | 224,742 | |
GNC Holdings, Inc. (Class A Stock) | | | 12,342 | | | | 721,390 | |
Jos. A. Bank Clothiers, Inc.* | | | 11,969 | | | | 655,063 | |
MarineMax, Inc.* | | | 58,970 | | | | 948,238 | |
Men’s Wearhouse, Inc. (The) | | | 8,726 | | | | 445,724 | |
Monro Muffler Brake, Inc.(a) | | | 5,990 | | | | 337,596 | |
Office Depot, Inc.* | | | 73,630 | | | | 389,503 | |
Pier 1 Imports, Inc. | | | 35,090 | | | | 809,877 | |
Shoe Carnival, Inc. | | | 13,068 | | | | 379,103 | |
Vitamin Shoppe, Inc.* | | | 5,461 | | | | 284,027 | |
| | | | | | |
|
|
|
| | | | | | | | 7,006,009 | |
| | | | | | |
|
|
|
Textiles, Apparel & Luxury Goods — 1.0% | | | | | |
Carter’s, Inc. | | | 7,875 | | | | 565,346 | |
Movado Group, Inc. | | | 33,790 | | | | 1,487,098 | |
Steven Madden Ltd.* | | | 8,997 | | | | 329,200 | |
| | | | | | |
|
|
|
| | | | | | | | 2,381,644 | |
| | | | | | |
|
|
|
Thrifts & Mortgage Finance — 1.4% | | | | | | | | |
Brookline Bancorp, Inc. | | | 19,376 | | | | 185,428 | |
Dime Community Bancshares, Inc. | | | 13,431 | | | | 227,253 | |
Home Loan Servicing Solutions Ltd. | | | 19,525 | | | | 448,489 | |
Oritani Financial Corp. | | | 17,052 | | | | 273,685 | |
Provident Financial Services, Inc. | | | 25,236 | | | | 487,559 | |
Radian Group, Inc.(a) | | | 50,174 | | | | 708,457 | |
Westfield Financial, Inc. | | | 70,030 | | | | 522,424 | |
WSFS Financial Corp. | | | 3,738 | | | | 289,807 | |
| | | | | | |
|
|
|
| | | | | | | | 3,143,102 | |
| | | | | | |
|
|
|
Trading Companies & Distributors — 1.2% | |
Applied Industrial Technologies, Inc. | | | 15,229 | | | | 747,592 | |
Kaman Corp. | | | 19,713 | | | | 783,197 | |
Rush Enterprises, Inc. (Class A Stock)*(a) | | | 27,090 | | | | 803,218 | |
Watsco, Inc. | | | 3,211 | | | | 308,449 | |
| | | | | | |
|
|
|
| | | | | | | | 2,642,456 | |
| | | | | | |
|
|
|
TOTAL COMMON STOCKS
(cost $147,266,775) | | | | 220,209,619 | |
| | | | | | |
|
|
|
| EXCHANGE TRADED FUNDS — 2.0% | |
iShares Nasdaq Biotechnology Index Fund(a) | | | 2,780 | | | | 631,227 | |
iShares Russell 2000 Value Index Fund | | | 38,400 | | | | 3,820,800 | |
| | | | | | |
|
|
|
TOTAL EXCHANGE TRADED FUNDS
(cost $3,525,205) | | | | 4,452,027 | |
| | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A21
| | | | | | |
| | | SP SMALL CAP VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| | | | | | | | |
UNAFFILIATED MUTUAL
FUNDS — 0.2% | | Shares
| | | Value
(Note 2)
| |
Golub Capital BDC, Inc.(a) | | | 10,692 | | | $ | 204,324 | |
PennantPark Investment Corp. | | | 15,907 | | | | 184,521 | |
Solar Senior Capital Ltd. | | | 6,083 | | | | 110,832 | |
| | | | | | |
|
|
|
TOTAL UNAFFILIATED MUTUAL FUNDS
(cost $487,345) | | | | 499,677 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $151,279,325) | | | | 225,161,323 | |
| | | | | | |
|
|
|
| SHORT-TERM INVESTMENT — 10.7% | |
AFFILIATED MONEY MARKET MUTUAL FUND | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $24,366,226; includes $22,151,035 of cash collateral for securities on loan)(b)(w)(Note 4) | | | 24,366,226 | | | | 24,366,226 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 109.3%
(cost $175,645,551) | | | | 249,527,549 | |
LIABILITIES IN EXCESS OF
OTHER ASSETS — (9.3)% | | | | (21,209,720 | ) |
| | | | | | |
|
|
|
NET ASSETS — 100.0% | | | $ | 228,317,829 | |
| | | | | | |
|
|
|
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 $21,627,144; cash collateral of $22,151,035 (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 in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| 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, 2013 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 220,209,619 | | | $ | — | | | $ | — | |
Exchange Traded Funds | | | 4,452,027 | | | | — | | | | — | |
Unaffiliated Mutual Funds | | | 499,677 | | | | — | | | | — | |
Affiliated Mutual Funds | | | 24,366,226 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 249,527,549 | | | $ | — | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A22
| | | | | | |
| | | SP SMALL CAP VALUE PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 were as follows:
| | | | |
Commercial Banks | | | 15.0 | % |
Affiliated Money Market Mutual Fund (9.7% represents investments purchased with collateral from securities on loan) | | | 10.7 | |
Real Estate Investment Trusts (REITs) | | | 8.9 | |
Semiconductors & Semiconductor Equipment | | | 5.4 | |
Insurance | | | 4.8 | |
Capital Markets | | | 4.8 | |
Energy Equipment & Services | | | 3.6 | |
Machinery | | | 3.5 | |
Electric Utilities | | | 3.3 | |
Oil, Gas & Consumable Fuels | | | 3.2 | |
Chemicals | | | 3.1 | |
Specialty Retail | | | 3.1 | |
Electronic Equipment, Instruments & Components | | | 2.8 | |
Aerospace & Defense | | | 2.4 | |
Metals & Mining | | | 2.2 | |
Communications Equipment | | | 2.2 | |
Exchange Traded Funds | | | 2.0 | |
Commercial Services & Supplies | | | 1.9 | |
Construction & Engineering | | | 1.7 | |
Health Care Providers & Services | | | 1.6 | |
Software | | | 1.4 | |
Thrifts & Mortgage Finance | | | 1.4 | |
Household Durables | | | 1.3 | |
Food & Staples Retailing | | | 1.3 | |
Trading Companies & Distributors | | | 1.2 | |
Gas Utilities | | | 1.2 | |
Auto Components | | | 1.1 | |
Textiles, Apparel & Luxury Goods | | | 1.0 | |
Road & Rail | | | 1.0 | |
Hotels, Restaurants & Leisure | | | 1.0 | |
| | | | |
Professional Services | | | 0.9 | % |
Biotechnology | | | 0.8 | |
Paper & Forest Products | | | 0.7 | |
Real Estate Management & Development | | | 0.7 | |
Household Products | | | 0.6 | |
Health Care Equipment & Supplies | | | 0.5 | |
Leisure Equipment & Products | | | 0.5 | |
Marine | | | 0.5 | |
Industrial Conglomerates | | | 0.5 | |
IT Services | | | 0.4 | |
Pharmaceuticals | | | 0.4 | |
Food Products | | | 0.4 | |
Health Care Technology | | | 0.4 | |
Diversified Telecommunication Services | | | 0.4 | |
Multi-Utilities | | | 0.4 | |
Electrical Equipment | | | 0.4 | |
Life Sciences Tools & Services | | | 0.3 | |
Diversified Consumer Services | | | 0.3 | |
Building Products | | | 0.3 | |
Containers & Packaging | | | 0.3 | |
Air Freight & Logistics | | | 0.3 | |
Internet & Catalog Retail | | | 0.3 | |
Unaffiliated Mutual Funds | | | 0.2 | |
Computers & Peripherals | | | 0.2 | |
Diversified Financial Services | | | 0.2 | |
Consumer Finance | | | 0.2 | |
Multiline Retail | | | 0.1 | |
| | |
|
|
|
| | | | 109.3 | |
Liabilities in excess of other assets | | | (9.3 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
The Portfolio invested in derivative instruments during the reporting period. The primary types 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.
The Fund did not hold any derivative instruments as of December 31, 2013, accordingly, no derivative positions were presented in the Statements of Assets and Liabilities.
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2013 are as follows:
| | |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
|
Derivatives not accounted for as hedging instruments, carried at fair value
| | Warrants(1)
|
Equity contracts | | $(2,250) |
| | |
|
| (1) | Included in the net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2013, the Portfolio did not have any realized gain or (loss) on derivatives recognized in income.
The Portfolio invested in financial instruments during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument assets and liabilities
| | | | | | | | | | | | | | | | |
Description
| | Gross Amounts
Recognized
| | | Gross Amounts
not subject to
netting
| | | Gross Amounts
Offset in the
Statement of
Financial Position
| | | Net Amounts
Presented in the
Statement of
Financial Position
| |
Assets: | | | | | | | | | | | | | | | | |
Securities on Loan | | $ | 21,627,144 | | | $ | — | | | $ | — | | | $ | 21,627,144 | |
Collateral Amounts Pledged/(Received): | | | | | | | | | | | | | |
Securities on Loan | | | | (21,627,144 | ) |
| | | | | | | | | | | | | | |
|
|
|
Net Amount | | | $ | — | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A23
| | | | | | |
| | | SP SMALL CAP VALUE PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2013
| | | | |
| ASSETS | | | | |
Investments at value, including securities on loan of $21,627,144: | | | | |
Unaffiliated investments (cost $151,279,325) | | $ | 225,161,323 | |
Affiliated investments (cost $24,366,226) | | | 24,366,226 | |
Receivable for investments sold | | | 1,925,619 | |
Dividends and interest receivable | | | 362,412 | |
Receivable for Series shares sold | | | 12,278 | |
Tax reclaim receivable | | | 1,119 | |
Prepaid expenses | | | 1,700 | |
| | |
|
|
|
Total Assets | | | 251,830,677 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 22,151,035 | |
Payable for investments purchased | | | 1,040,334 | |
Management fee payable | | | 171,289 | |
Accrued expenses and other liabilities | | | 75,693 | |
Payable for Series shares repurchased | | | 72,427 | |
Affiliated transfer agent fees payable | | | 926 | |
Deferred trustees’ fees | | | 874 | |
Payable to custodian | | | 270 | |
| | |
|
|
|
Total Liabilities | | | 23,512,848 | |
| | |
|
|
|
| NET ASSETS | | $ | 228,317,829 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 126,119,114 | |
Retained earnings | | | 102,198,715 | |
| | |
|
|
|
Net assets, December 31, 2013 | | $ | 228,317,829 | |
| | |
|
|
|
Net asset value and redemption price per share, $228,317,829 / 12,124,477 outstanding shares of beneficial interest | | $ | 18.83 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2013
| | | | |
| INVESTMENT INCOME | | | | |
Unaffiliated dividend income (net of $2,446 foreign withholding tax) | | $ | 3,060,496 | |
Affiliated income from securities lending, net | | | 58,883 | |
Affiliated dividend income | | | 4,310 | |
Interest income | | | 41 | |
| | |
|
|
|
| | | | 3,123,730 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 1,829,408 | |
Custodian’s fees and expenses | | | 102,000 | |
Shareholders’ reports | | | 52,000 | |
Audit fee | | | 24,000 | |
Trustees’ fees | | | 12,000 | |
Transfer agent’s fees and expenses (including affiliated expense of $5,600) (Note 4) | | | 12,000 | |
Legal fees and expenses | | | 10,000 | |
Insurance expenses | | | 2,000 | |
Commitment fee on syndicated credit agreement | | | 2,000 | |
Loan interest expense (Note 8) | | | 6 | |
Miscellaneous | | | 12,730 | |
| | |
|
|
|
Total expenses | | | 2,058,144 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 1,065,586 | |
| | |
|
|
|
| NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | | | | |
Net realized gain on investment transactions | | | 28,973,275 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments | | | 34,404,226 | |
Foreign currencies | | | (17 | ) |
| | |
|
|
|
| | | | 34,404,209 | |
| | |
|
|
|
| NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | | | 63,377,484 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 64,443,070 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income | | $ | 1,065,586 | | | $ | 2,078,684 | |
Net realized gain on investment transactions | | | 28,973,275 | | | | 16,651,841 | |
Net change in unrealized appreciation (depreciation) on investments | | | 34,404,209 | | | | 8,467,610 | |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 64,443,070 | | | | 27,198,135 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS | | | — | | | | (822,771 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS: | | | | | | | | |
Series shares sold [622,114 and 438,835 shares, respectively] | | | 10,373,241 | | | | 5,693,146 | |
Series shares issued in reinvestment of distributions [0 and 67,220 shares, respectively] | | | — | | | | 822,771 | |
Series shares repurchased [1,613,558 and 2,364,511 shares, respectively] | | | (26,139,642 | ) | | | (30,783,627 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (15,766,401 | ) | | | (24,267,710 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE IN NET ASSETS | | | 48,676,669 | | | | 2,107,654 | |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 179,641,160 | | | | 177,533,506 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 228,317,829 | | | $ | 179,641,160 | |
| | |
|
|
| |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A24
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, (“1940 Act”). The Series Fund is composed of eighteen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to four Portfolios which are listed below along with each Portfolio’s investment objective.
SP International Growth Portfolio: Long-term growth of capital.
SP International Value Portfolio: Long-term capital appreciation.
SP Prudential U.S. Emerging Growth Portfolio: Long-term capital appreciation.
SP Small Cap Value Portfolio: Long-term growth of capital.
The ability of debt securities issuers (other than those issued or guaranteed by the U.S. Government) held by the Portfolios to meet their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.
| Note 2: | | Accounting Policies |
The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolios consistently follow such policies in the preparation of their financial statements.
Security Valuation: Each Portfolio holds securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.
Various inputs determine how each Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Schedule of Investments.
Common stocks, exchange-traded funds, and derivative instruments that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy.
In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and asked prices, or at the last bid price in the absence of an asked price. These securities are classified as Level 2 in the fair value hierarchy, as the inputs are observable and considered to be significant to the valuation.
Common stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy, as the adjustment factors are observable and considered to be significant to the valuation.
B1
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the over-the-counter market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.
Over-the-counter derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.
Portfolio securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that significant unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
Restricted and Illiquid Securities: Subject to guidelines adopted by the Board, each Portfolio may hold up to 15% of its net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above.
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. 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
B2
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. Upon entering into these contracts, risks may arise from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. A Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life.
Master Netting Arrangements: Certain Portfolios are subject to various Master Agreements, or netting arrangements, with select counterparties. 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. The right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there were no instances where the right of set-off existed and management has not elected to offset.
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. The Portfolio holds such warrants and rights as long positions until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.
Securities Lending: Each Portfolio of the Series Fund may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid short-term money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities, and any interest on the investment of cash received as collateral. The 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 or losses from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on an accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management, that may differ from actual.
For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees which are charged directly to the respective class) and unrealized and realized gains or losses are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.
Delayed-Delivery Transactions: Certain Portfolios may purchase or sell securities on a when-issued or delayed-delivery basis. These transactions involve a commitment by the Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the Portfolio will set aside and maintain an amount of liquid assets sufficient to meet the purchase price in a segregated account until the settlement date. When purchasing a security on a delayed-delivery basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into
B3
account when determining its net asset value. The Portfolio may dispose of or renegotiate a delayed-delivery transaction subsequent to establishment, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When selling a security on a delayed-delivery basis, the Portfolio forfeits its eligibility to realize future gains and losses with respect to the security.
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 the Portfolios’ shareholders (Participating Insurance Companies). The Portfolios are not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items.
Withholding taxes on foreign dividends, 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. Such taxes are accrued net of reclaimable amounts at the time the related income/gain is recorded.
Distributions: Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
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”), Neuberger Berman Management, LLC (“Neuberger Berman”), William Blair & Company LLC (“William Blair”), Thornburg Investment Management (“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 International Growth Portfolio | | | 0.85 | % | | | 0.84 | %* |
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 | |
* Effective June 17, 2013, PI has contractually agreed, through June 30, 2014, to waive a portion of its management fee equal to an annual rate of 0.01% of the average net assets of the Portfolio.
At December 31, 2013 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 International Growth Portfolio | | William Blair, Neuberger Berman*, Jennison |
SP International Value Portfolio | | LSV, Thornburg |
SP Prudential U.S. Emerging Growth Portfolio | | Jennison |
SP Small Cap Value Portfolio | | GSAM, ClearBridge |
* Effective June 17, 2013, Neuberger Berman replaced Marsico Capital Management, LLC.
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
B4
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, and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
The Portfolios have entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those portfolios generating the applicable trades. Such amounts are included within realized gain or loss on investment transactions presented in the Statement of Operations. For the year ended December 31, 2013, broker commission recaptured under these agreements was as follows:
| | | | |
Portfolio
| | Amount
| |
SP International Growth Portfolio | | $ | 1,961 | |
SP International Value Portfolio | | | 2,527 | |
SP Prudential U.S. Emerging Growth Portfolio | | | 13,862 | |
SP Small Cap Value Portfolio | | | 10,173 | |
| 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.
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, 2013, PIM was compensated as follows for these services by the Series Fund Portfolios:
| | | | |
| | Amount
| |
SP International Growth Portfolio | | $ | 3,637 | |
SP Prudential U.S. Emerging Growth Portfolio | | | 27,768 | |
SP Small Cap Value Portfolio | | | 17,585 | |
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 1940 Act, and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as affiliated dividend income.
| Note 5: | | Portfolio Securities |
Purchases and sales of portfolio securities, other than short-term investments and U.S. Government securities, for the year ended December 31, 2013, were as follows:
| | | | | | | | |
Portfolio
| | Cost of Purchases
| | | Proceeds from Sales
| |
SP International Growth Portfolio | | $ | 91,072,428 | | | $ | 100,545,775 | |
SP International Value Portfolio | | | 31,676,252 | | | | 34,689,833 | |
SP Prudential U.S. Emerging Growth Portfolio | | | 87,433,860 | | | | 111,377,857 | |
SP Small Cap Value Portfolio | | | 111,540,457 | | | | 126,214,190 | |
All Portfolios are treated as a partnership for tax purposes. The character of the cash distributions paid by the partnership 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.
B5
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. The Portfolios generally attempt to manage their diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Management has analyzed the Portfolios’ tax positions taken on federal income tax returns for all open tax years and has concluded that no provision for income tax would be required in the Portfolio’s financial statements. 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 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, 2013, 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:
SP International Growth Portfolio:
| | | | | | | | |
Class I
| | Shares
| | | Amount
| |
Year ended December 31, 2013: | | | | | | | | |
Series shares sold | | | 1,005,050 | | | $ | 5,635,828 | |
Series shares issued in reinvestment of distributions | | | — | | | | — | |
Series shares repurchased | | | (2,492,981 | ) | | | (14,075,216 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (1,487,931 | ) | | $ | (8,439,388 | ) |
| | |
|
|
| |
|
|
|
Year ended December 31, 2012: | | | | | | | | |
Series shares sold | | | 856,840 | | | $ | 4,180,512 | |
Series shares issued in reinvestment of distributions | | | 112,515 | | | | 507,441 | |
Series shares repurchased | | | (3,042,664 | ) | | | (14,903,764 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (2,073,309 | ) | | $ | (10,215,811 | ) |
| | |
|
|
| |
|
|
|
| | |
Class II
| | | | | | |
Year ended December 31, 2013: | | | | | | | | |
Series shares sold | | | 206,283 | | | $ | 1,156,462 | |
Series shares issued in reinvestment of distributions | | | — | | | | — | |
Series shares repurchased | | | (373,137 | ) | | | (2,070,586 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (166,854 | ) | | $ | (914,124 | ) |
| | |
|
|
| |
|
|
|
Year ended December 31, 2012: | | | | | | | | |
Series shares sold | | | 330,289 | | | $ | 1,585,415 | |
Series shares issued in reinvestment of distributions | | | — | | | | — | |
Series shares repurchased | | | (358,741 | ) | | | (1,705,723 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (28,452 | ) | | $ | (120,308 | ) |
| | |
|
|
| |
|
|
|
B6
SP Prudential U.S. Emerging Growth Portfolio:
| | | | | | | | |
Class I
| | Shares
| | | Amount
| |
Year ended December 31, 2013: | | | | | | | | |
Series shares sold | | | 607,127 | | | $ | 5,854,481 | |
Series shares issued in reinvestment of distributions | | | — | | | | — | |
Series shares repurchased | | | (3,549,073 | ) | | | (34,069,600 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (2,941,946 | ) | | $ | (28,215,119 | ) |
| | |
|
|
| |
|
|
|
Year ended December 31, 2012: | | | | | | | | |
Series shares sold | | | 1,104,011 | | | $ | 9,377,618 | |
Series shares issued in reinvestment of distributions | | | 2,092,628 | | | | 16,531,764 | |
Series shares repurchased | | | (4,021,161 | ) | | | (33,669,186 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (824,522 | ) | | $ | (7,759,804 | ) |
| | |
|
|
| |
|
|
|
| | |
Class II
| | | | | | |
Year ended December 31, 2013: | | | | | | | | |
Series shares sold | | | 27,432 | | | $ | 260,831 | |
Series shares issued in reinvestment of distributions | | | — | | | | — | |
Series shares repurchased | | | (4,849 | ) | | | (45,647 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | 22,583 | | | $ | 215,184 | |
| | |
|
|
| |
|
|
|
Year ended December 31, 2012: | | | | | | | | |
Series shares sold | | | 6,155 | | | $ | 48,686 | |
Series shares issued in reinvestment of distributions | | | 2,846 | | | | 21,691 | |
Series shares repurchased | | | (4,930 | ) | | | (40,839 | ) |
| | |
|
|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | 4,071 | | | $ | 29,538 | |
| | |
|
|
| |
|
|
|
The Portfolios, along with other affiliated registered investment companies (the “Funds”), are a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period November 5, 2013 through November 4, 2014. The Funds pay an annualized commitment fee of 0.08% on the unused portion of the SCA. Prior to November 5, 2013, the Funds had another SCA with substantially similar terms. Interest on any borrowings under the SCA 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, 2013. 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,
2013
| |
SP International Growth | | $ | 7,678,333 | | | | 12 | | | | 1.44 | % | | $ | — | |
SP Small Cap Value | | | 154,000 | | | | 1 | | | | 1.44 | | | | — | |
| Note 9: | | Ownership and Affiliates |
As of December 31, 2013, 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.
B7
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | SP International Growth Portfolio
| |
| | | Class I
| |
| | | Year Ended December 31,
| |
| | | 2013(c)
| | | 2012(c)
| | | 2011(c)
| | | 2010(c)
| | | 2009(c)
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 5.30 | | | $ | 4.36 | | | $ | 5.19 | | | $ | 4.63 | | | $ | 3.45 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .02 | | | | .08 | | | | .02 | | | | .04 | | | | .05 | |
Net realized and unrealized gain (loss) on investments | | | .98 | | | | .89 | | | | (.79 | ) | | | .59 | | | | 1.22 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 1.00 | | | | .97 | | | | (.77 | ) | | | .63 | | | | 1.27 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | — | | | | (.03 | ) | | | (.06 | ) | | | (.07 | ) | | | (.09 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 6.30 | | | $ | 5.30 | | | $ | 4.36 | | | $ | 5.19 | | | $ | 4.63 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a) | | | 18.87 | % | | | 22.40 | % | | | (14.91 | )% | | | 14.01 | % | | | 37.15 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 86.9 | | | $ | 80.9 | | | $ | 75.5 | | | $ | 162.1 | | | $ | 162.5 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses After Waivers and/or Expense Reimbursement | | | 1.30 | % | | | 1.19 | % | | | 1.21 | % | | | 1.10 | % | | | .99 | % |
Expenses Before Waivers and/or Expense Reimbursement | | | 1.31 | % | | | 1.19 | % | | | 1.21 | % | | | 1.10 | % | | | .99 | % |
Net investment income | | | .37 | % | | | 1.59 | % | | | .47 | % | | | .77 | % | | | 1.18 | % |
Portfolio turnover rate | | | 103 | % | | | 111 | % | | | 118 | % | | | 141 | % | | | 89 | % |
| |
| | | SP International Growth Portfolio
| |
| | | Class II
| |
| | | Year Ended December 31,
| |
| | | 2013(c)
| | | 2012(c)
| | | 2011(c)
| | | 2010(c)
| | | 2009(c)
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 5.24 | | | $ | 4.30 | | | $ | 5.10 | | | $ | 4.54 | | | $ | 3.37 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | — | (d) | | | .06 | | | | — | (d) | | | .02 | | | | .03 | |
Net realized and unrealized gain (loss) on investments | | | .97 | | | | .88 | | | | (.78 | ) | | | .59 | | | | 1.19 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | .97 | | | | .94 | | | | (.78 | ) | | | .61 | | | | 1.22 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | — | | | | — | | | | (.02 | ) | | | (.05 | ) | | | (.05 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 6.21 | | | $ | 5.24 | | | $ | 4.30 | | | $ | 5.10 | | | $ | 4.54 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a) | | | 18.51 | % | | | 21.86 | % | | | (15.32 | )% | | | 13.81 | % | | | 36.44 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 9.1 | | | $ | 8.6 | | | $ | 7.2 | | | $ | 10.1 | | | $ | 11.1 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses After Waivers and/or Expense Reimbursement | | | 1.70 | % | | | 1.59 | % | | | 1.61 | % | | | 1.50 | % | | | 1.39 | % |
Expenses Before Waivers and/or Expense Reimbursement | | | 1.71 | % | | | 1.59 | % | | | 1.61 | % | | | 1.50 | % | | | 1.39 | % |
Net investment income (loss) | | | (.03 | )% | | | 1.16 | % | | | (.09 | )% | | | .39 | % | | | .70 | % |
Portfolio turnover rate | | | 103 | % | | | 111 | % | | | 118 | % | | | 141 | % | | | 89 | % |
| (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 return 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.
C1
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | SP International Value Portfolio
| |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| | | 2011
| | | 2010
| | | 2009
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 6.62 | | | $ | 5.83 | | | $ | 6.87 | | | $ | 6.35 | | | $ | 4.95 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .12 | | | | .16 | | | | .20 | | | | .12 | | | | .14 | |
Net realized and unrealized gain (loss) on investments | | | 1.21 | | | | .80 | | | | (1.07 | ) | | | .54 | | | | 1.43 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 1.33 | | | | .96 | | | | (.87 | ) | | | .66 | | | | 1.57 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions: | | | — | | | | (.17 | ) | | | (.17 | ) | | | (.14 | ) | | | (.17 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 7.95 | | | $ | 6.62 | | | $ | 5.83 | | | $ | 6.87 | | | $ | 6.35 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a) | | | 20.09 | % | | | 16.92 | % | | | (13.10 | )% | | | 10.81 | % | | | 32.35 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 144.3 | | | $ | 124.8 | | | $ | 122.8 | | | $ | 211.5 | | | $ | 203.3 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 1.15 | % | | | 1.13 | % | | | 1.10 | % | | | 1.05 | % | | | 1.03 | % |
Net investment income | | | 1.62 | % | | | 2.40 | % | | | 2.02 | % | | | 1.76 | % | | | 1.82 | % |
Portfolio turnover rate | | | 25 | % | | | 17 | % | | | 19 | % | | | 25 | % | | | 67 | % |
| (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 return for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | SP Prudential U.S. Emerging Growth Portfolio
| |
| | | Class I
| |
| | | Year Ended December 31,
| |
| | | 2013(d)
| | | 2012
| | | 2011
| | | 2010
| | | 2009
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 8.43 | | | $ | 7.80 | | | $ | 7.74 | | | $ | 6.45 | | | $ | 4.58 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .01 | | | | .06 | | | | .04 | | | | .03 | | | | .04 | |
Net realized and unrealized gain on investments | | | 2.39 | | | | 1.21 | | | | .13 | | | | 1.28 | | | | 1.87 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 2.40 | | | | 1.27 | | | | .17 | | | | 1.31 | | | | 1.91 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Less Distributions | | | — | | | | (.64 | ) | | | (.11 | ) | | | (.02 | ) | | | (.04 | ) |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Net Asset Value, end of year | | $ | 10.83 | | | $ | 8.43 | | | $ | 7.80 | | | $ | 7.74 | | | $ | 6.45 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a) | | | 28.47 | % | | | 16.88 | % | | | 2.22 | % | | | 20.43 | % | | | 41.89 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 251.8 | | | $ | 221.0 | | | $ | 210.8 | | | $ | 242.4 | | | $ | 142.3 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .68 | % | | | .67 | % | | | .64 | % | | | .70 | % | | | .71 | % |
Net investment income | | | .08 | % | | | .73 | % | | | .39 | % | | | .69 | % | | | .66 | % |
Portfolio turnover rate | | | 38 | % | | | 44 | % | | | 40 | % | | | 73 | % | | | 50 | % |
| |
| | | SP Prudential U.S. Emerging Growth Portfolio
| |
| | | Class II
| |
| | | Year Ended December 31,
| |
| | | 2013(d)
| | | 2012
| | | 2011
| | | 2010
| | | 2009
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 8.12 | | | $ | 7.53 | | | $ | 7.48 | | | $ | 6.25 | | | $ | 4.44 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | (.03 | ) | | | .04 | | | | — | (c) | | | .01 | | | | .01 | |
Net realized and unrealized gain on investments | | | 2.29 | | | | 1.16 | | | | .13 | | | | 1.24 | | | | 1.81 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total from investment operations | | | 2.26 | | | | 1.20 | | | | .13 | | | | 1.25 | | | | 1.82 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
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Less Distributions | | | — | | | | (.61 | ) | | | (.08 | ) | | | (.02 | ) | | | (.01 | ) |
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Net Asset Value, end of year | | $ | 10.38 | | | $ | 8.12 | | | $ | 7.53 | | | $ | 7.48 | | | $ | 6.25 | |
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Total Return(a) | | | 27.83 | % | | | 16.44 | % | | | 1.77 | % | | | 19.96 | % | | | 41.14 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | .7 | | | $ | .4 | | | $ | .3 | | | $ | .3 | | | $ | .3 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 1.08 | % | | | 1.07 | % | | | 1.04 | % | | | 1.10 | % | | | 1.11 | % |
Net investment income (loss) | | | (.32 | )% | | | .38 | % | | | (.01 | )% | | | .24 | % | | | .25 | % |
Portfolio turnover rate | | | 38 | % | | | 44 | % | | | 40 | % | | | 73 | % | | | 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. |
| (c) | Less than $.005 per share. |
| (d) | Calculated based on average shares outstanding during the year. |
SEE NOTES TO FINANCIAL STATEMENTS.
C3
Financial Highlights
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| | | SP Small Cap Value Portfolio
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Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 13.70 | | | $ | 11.86 | | | $ | 12.28 | | | $ | 9.79 | | | $ | 7.60 | |
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Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .10 | | | | .16 | | | | .07 | | | | .07 | | | | .07 | |
Net realized and unrealized gain (loss) on investments | | | 5.03 | | | | 1.74 | | | | (.41 | ) | | | 2.49 | | | | 2.24 | |
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Total from investment operations | | | 5.13 | | | | 1.90 | | | | (.34 | ) | | | 2.56 | | | | 2.31 | |
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Less Distributions: | | | — | | | | (.06 | ) | | | (.08 | ) | | | (.07 | ) | | | (.12 | ) |
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Net Asset Value, end of year | | $ | 18.83 | | | $ | 13.70 | | | $ | 11.86 | | | $ | 12.28 | | | $ | 9.79 | |
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Total Return(a) | | | 37.45 | % | | | 16.06 | % | | | (2.77 | )% | | | 26.27 | % | | | 30.80 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 228.3 | | | $ | 179.6 | | | $ | 177.5 | | | $ | 232.7 | | | $ | 208.0 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 1.01 | % | | | 1.01 | % | | | .99 | % | | | 1.00 | % | | | 1.00 | % |
Net investment income | | | .52 | % | | | 1.14 | % | | | .41 | % | | | .62 | % | | | .70 | % |
Portfolio turnover rate | | | 56 | % | | | 39 | % | | | 36 | % | | | 39 | % | | | 52 | % |
| (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 return for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
THE BOARD OF TRUSTEES AND SHAREHOLDERS
THE PRUDENTIAL SERIES FUND:
We have audited the accompanying statements of assets and liabilities of 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 schedules of investments, as of December 31, 2013, 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, 2013, 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, 2013, 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 20, 2014
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 Investment Company Act of 1940, 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 Investment Company Act of 1940.
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| Independent Trustees(1) | | | | |
Name, Address, Age No. of Portfolios Overseen | | Principal Occupation(s) During Past Five Years | | Other Directorships Held |
Susan Davenport Austin (46) No. of Portfolios Overseen: 98 | | Vice Chairman (since 2013), Senior Vice President and Chief Financial Officer (2007-2012) 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); Chairman of the Board of Directors, Broadcast Music, Inc. (Since 2011); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); President, Candide Business Advisors, Inc. (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010). | | None. |
Sherry S. Barrat (64) No. of Portfolios Overseen: 98 | | Formerly, Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly, President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly, Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly, President & CEO, Palm Beach/Martin County Region, Northern Trust. | | Director of NextEra Energy, Inc. (formerly, FPL Group, Inc.) (1998-Present); Director of Arthur J. Gallagher & Company (since July 2013). |
Kay Ryan Booth (63) No. of Portfolios Overseen: 98 | | Managing Director of Cappello Waterfield & Co. LLC (since 2011); formerly, Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly, Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly, Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995). | | None. |
Delayne Dedrick Gold (75) No. of Portfolios Overseen: 98 | | Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc. | | None. |
Robert F. Gunia (67) No. of Portfolios Overseen: 98 | | 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. |
W. Scott McDonald, Jr., Ph.D. (76) No. of Portfolios Overseen: 98 | | 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 (72) No. of Portfolios Overseen: 98 | | Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976). | | None. |
E1
| | | | |
| Independent Trustees(1) | | | | |
Name, Address, Age No. of Portfolios Overseen | | Principal Occupation(s) During Past Five Years | | Other Directorships Held |
Thomas M. O’Brien (63) No. of Portfolios Overseen: 98 | | Director, The BankUnited (NYSE: BKU) (since May 2012); Consultant, Valley National Bancorp, Inc. and Valley National Bank (since January 2012); Formerly President and COO (November 2006-December 2011) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York. | | Formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006-January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island. |
| Interested Trustees(1) | | | | |
Robert F. O’Donnell (45) No. of Portfolios Overseen: 98 | | President of Prudential Annuities (since April 2012); Senior Vice President, Head of Product, Investment Management & Marketing for Prudential Annuities (October 2008-April 2012); Senior Vice President, Head of Product (July 2004-October 2008). | | None. |
Timothy S. Cronin (48) Number of Portfolios Overseen: 98 | | 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. |
Bruce W. Ferris (58) Number of Portfolios Overseen: 98 | | Senior Vice President, Sales and Distribution, Product, Marketing, Prudential Annuities (since May 2006); Vice President-Sales, The Hartford Insurance Company (October 1994-April 2005); Sales Manager, Aetna Investment Services (October 1993-September 1994). | | None. |
(1) The year that each Trustee joined the Fund’s Board is as follows: Susan Davenport Austin, 2011; Sherry S. Barrat, 2013; Kay Ryan Booth, 2013; Delayne Dedrick Gold, 2001; Robert F. Gunia, 2001; W. Scott McDonald, Jr. 1983; Thomas T. Mooney, 2001; Thomas M. O’Brien, 2003; Robert F. O’Donnell, 2012; Timothy S. Cronin, 2011; Bruce W. Ferris, 2013.
| | |
| Fund Officers(a)(1) | | |
Name, Address and Age Position with the Fund | | Principal Occupation(s) During the Past Five Years |
Raymond A. O’Hara (58) Chief Legal Officer | | Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.). |
Deborah A. Docs (56) Secretary | | Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of Prudential Investments LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. |
Kathleen DeNicholas (39) Assistant Secretary | | Vice President and Corporate Counsel (since May 2013) of Prudential; Managing Counsel at The Bank of New York Mellon Corporation (2011-2013); formerly Senior Counsel (2007-2011) and Assistant General Counsel (2001-2007) of The Dreyfus Corporation; Chief Legal Officer and Secretary of MBSC Securities Corporation (2011-2013); Vice President and Assistant Secretary of The Dreyfus Family of Funds (2010-2012). |
Claudia DiGiacomo (39) Assistant Secretary | | Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of Prudential Investments LLC (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004). |
Jonathan D. Shain (55) Assistant Secretary | | Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of Prudential Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. |
Andrew R. French (51) Assistant Secretary | | Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of Prudential Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC. |
Amanda S. Ryan (36) Assistant Secretary | | Director and Corporate Counsel (since March 2012) of Prudential; Director and Assistant Secretary (since June 2012) of Prudential Investments LLC; Associate at Ropes & Gray (2008-2012). |
Bruce Karpati (44) Chief Compliance Officer | | Chief Compliance Officer of the Prudential Investments Funds, Target Funds, Advanced Series Trust, the Prudential Series Fund and Prudential’s Gibraltar Fund, Inc. (May 2013-Present); formerly National Chief (May 2012-May 2013) and Co-Chief (January 2010-May 2012) of the Asset Management Unit, Division of Enforcement, of the U.S. Securities & Exchange Commission; Assistant Regional Director (January 2005-January 2010) of the U.S. Securities & Exchange Commission. |
Theresa C. Thompson (51) Deputy Chief Compliance Officer | | Vice President, Compliance, Prudential Investments LLC (since April 2004); and Director, Compliance, Prudential Investments LLC (2001-2004). |
E2
| | |
| Fund Officers(a)(1) | | |
Name, Address and Age Position with the Fund | | Principal Occupation(s) During the Past Five Years |
Richard W. Kinville (45) Anti-Money Laundering Compliance Officer | | Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2005) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2007); formerly Investigator and Supervisor in the Special Investigations Unit for the New York Central Mutual Fire Insurance Company (August 1994-January 1999); Investigator in AXA Financial’s Internal Audit Department and Manager in AXA’s Anti-Money Laundering Office (January 1999-January 2005); first chair of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (June 2007-December 2009). |
Grace C. Torres (54) Treasurer and Principal Financial and Accounting Officer | | Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of Prudential Investments LLC; 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 (50) Assistant Treasurer | | Vice President (since 2005) of Prudential Investments LLC. |
Peter Parrella (55) 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 (57) Assistant Treasurer | | Vice President and Corporate Counsel – Tax, Prudential Financial, Inc. (since October 2003). |
(a) Excludes Mr. O’Donnell and Mr. Cronin, Interested Trustees who also serve as President and Vice President, respectively.
(1) The year in which each individual became an Officer of the Fund is as follows: Raymond A. O’Hara, 2012; Deborah A. Docs, 2005; Kathleen DeNicholas, 2013; Claudia DiGiacomo, 2005; Jonathan D. Shain, 2005; Andrew R. French, 2006; Amanda S. Ryan, 2012; Bruce Karpati, 2013; Theresa C. Thompson, 2008; Richard W. Kinville, 2011; 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 Investment Company Act of 1940, by reason of their affiliation with Prudential Investments LLC and/or an affiliate of Prudential Investments LLC. Robert F. O’Donnell, Timothy S. Cronin and Bruce W. Ferris are Interested Trustees because they are employed by an affiliate of the Manager of the Fund.
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 Investment Company Act of 1940.
“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, Prudential’s Gibraltar Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Global Short Duration High Yield Fund, Inc.
E3
This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.
A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request by calling the appropriate phone number listed below. 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 Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.
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 or by calling the telephone number referenced below.
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.
This report may include financial information pertaining to certain portfolios that are not available through the variable annuity contract or the variable life insurance policy that you have chosen. Please refer to your variable product prospectus to determine which portfolios are available to you.
To contact your client services representative, please call the phone number listed below. Thank you.
Owners of Individual Annuity contracts should call (888) 778-2888.
Owners of Individual Life Insurance contracts should call (800) 778-2255.
Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.
Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.
The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), Three Gateway Center, 14th Floor, Newark, NJ 07102-4077, member SIPC, a Prudential Financial company and solely responsible for its own financial condition and contractual obligations.
Annuity and life insurance 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 | | | | PRESORTED STD U.S. POSTAGE PAID HARRISONBURG, VA PERMIT No. 250 ZIP CODE 22801 |
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The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, and The Prudential Insurance Company of America are available upon request. You may call (888)778-2888 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.
Prudential Investments, Prudential, the Prudential logo, and the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.
0239311-00002-00 PSF-AR-B
THE PRUDENTIAL SERIES FUND
ANNUAL REPORT Ÿ DECEMBER 31, 2013
This report is one of several that provides financial information about certain investment choices available under the variable annuity or variable life insurance contract you own. 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 annuity or variable life insurance contract prospectus to determine which portfolios are available to you.
The views expressed in this report and information about the Fund’s portfolio holdings are for the period covered by this report and are subject to change thereafter.
Please note that this document may include prospectus supplements that are separate from and not a part of the annual report. Please refer to your variable life insurance contract prospectus to determine which supplements are applicable to you.
For information regarding enrollment in the e-Delivery program, please see the inside front cover of this report.
Jennison 20/20 Focus Portfolio
For information about enrolling in e-Delivery, please refer to the instructions below. Thank you.
Individual Annuity Contract Owners - To receive your reports online, go to www.annuities.prudential.com/investor/edelivery, or scan the code below.
Individual Life Insurance Contract Owners - To receive your reports online, go to www.prudential.com/edelivery, or scan the code below.
Group Variable Universal Life Contract Owners - To receive your reports online, go to www.prudential.com/gulgvul, or scan the code below.
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The Prudential Series Fund Table of Contents | | Annual Report | | December 31, 2013 |
| n | | LETTER TO CONTRACT OWNERS |
| n | | PRESENTATION OF PORTFOLIO HOLDINGS |
| n | | FEES AND EXPENSES TABLE |
| | |
| Section A | | Schedule of Investments and Financial Statements |
| Section B | | Notes to Financial Statements |
| Section C | | Financial Highlights |
| Section D | | Report of Independent Registered Public Accounting Firm |
| Section E | | Information about Trustees and Officers |
| | | | |
The Prudential Series Fund Letter to Contract Owners | | Annual Report | | December 31, 2013 |
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. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Robert F. O’Donnell
President,
The Prudential Series Fund | January 31, 2014 |
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The Prudential Series Fund, Jennison 20/20 Focus Portfolio | | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
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| Average Annual Total Returns | | 1-Year | | | 5-Year | | | 10-Year | |
Portfolio: Class I | | | 29.88 | % | | | 18.66 | % | | | 9.80 | % |
Portfolio: Class II | | | 29.35 | | | | 18.22 | | | | 9.37 | |
Russell 1000® Index | | | 33.11 | | | | 18.59 | | | | 7.78 | |
S&P 500 Index | | | 32.37 | | | | 17.93 | | | | 7.40 | |
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 fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2013, the Jennison 20/20 Focus Portfolio’s Class I shares returned 29.88% and Class II shares returned 29.35%.
The Portfolio is subadvised by Jennison Associates LLC. The Portfolio’s investment objective is long-term growth of capital.
The selection of stocks in information technology accounted for the outperformance of the growth stocks in the Portfolio. LinkedIn, MasterCard, Google, and Salesforce.com made key individual contributions in information technology. LinkedIn is a leading global online professional network that provides what Jennison considers unique access to a scale database of active and passive job candidates. Adjacent growth opportunities in marketing services and professional publishing are added potential drivers in early phases of development.
Overweights in consumer discretionary and healthcare also made key contributions to the growth stocks’ robust performance.
The selection of growth stocks in industrials and consumer discretionary was detrimental to performance but in consumer discretionary, an overweight position offset some of the relative negative impact. In consumer discretionary, Lululemon Athletica and Tesla Motors detracted. Lululemon, the apparel and accessories retailer, had a second product recall and the chief executive officer left the company, raising questions about execution and leadership during a period of transition. The Portfolio no longer has a position in Lululemon.
Stock selection in materials combined with an overweight position was the largest contributor to underperformance by the value stocks in the Portfolio. Kinross Gold accounted for most of the weakness in materials. Shares of Kinross Gold, like those of other gold mining companies, have lagged as gold prices have been under pressure.
Stock selection in energy and consumer discretionary was also detrimental to the performance of the value portion of the Portfolio. An overweight position in energy further detracted, while an overweight in consumer discretionary offset some of the negative impact of stock selection in the sector. Cobalt International Energy had the largest negative impact in energy. In consumer discretionary, J.C. Penney was the largest detractor. Shares of J.C. Penney fell through much of the period on a number of signs of weakness, including sales declines and disappointing margins. The Portfolio no longer has positions in Cobalt International and J.C. Penney.
Stock selection in healthcare and financials contributed most to relative performance of the value stocks in the Portfolio. Actavis and UnitedHealth Group were the strongest contributors in healthcare, while MetLife and Morgan Stanley stood out in financials. Jennison considers MetLife to be an excellent, attractively valued company that has significantly reduced risk, improved its business mix, and is seeing growth in its emerging markets businesses. The Portfolio no longer has positions in UnitedHealth Group and Morgan Stanley.
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 adviser and a Prudential Financial company.
| | |
The Prudential Series Fund Presentation of Portfolio Holdings — unaudited | | December 31, 2013 |
| | | | |
| Jennison 20/20 Focus | | | | |
| Five Largest Holdings | | | (% of Net Assets | ) |
MasterCard, Inc. | | | 4.0% | |
Google, Inc. | | | 3.6% | |
Biogen Idec, Inc. | | | 3.3% | |
Amazon.com, Inc. | | | 3.3% | |
priceline.com, Inc. | | | 3.3% | |
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, 2013 |
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, 2013 through December 31, 2013.
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, 2013 | | | Ending Account Value
December 31, 2013 | | | 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 | | | $ | 1,173.60 | | | | 0.85 | % | | $ | 4.66 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,020.92 | | | | 0.85 | % | | $ | 4.33 | |
| Jennison 20/20 Focus (Class II) | | Actual | | $ | 1,000.00 | | | $ | 1,170.90 | | | | 1.25 | % | | $ | 6.84 | |
| | | Hypothetical | | $ | 1,000.00 | | | $ | 1,018.90 | | | | 1.25 | % | | $ | 6.36 | |
* 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, 2013, and divided by the 365 days in the Portfolio’s fiscal year ended December 31, 2013 (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, 2013 |
| | | | | | | | |
| LONG-TERM INVESTMENTS — 96.9% | |
| COMMON STOCKS | | Shares
| | | Value
(Note 2)
| |
Aerospace & Defense — 2.3% | |
Boeing Co. (The) | | | 41,230 | | | $ | 5,627,483 | |
| | | | | | |
|
|
|
Automobiles — 2.1% | |
Tesla Motors, Inc.*(a) | | | 34,245 | | | | 5,149,763 | |
| | | | | | |
|
|
|
Biotechnology — 5.6% | |
Biogen Idec, Inc.* | | | 29,600 | | | | 8,280,600 | |
BioMarin Pharmaceutical, Inc.* | | | 79,787 | | | | 5,606,632 | |
| | | | | | |
|
|
|
| | | | | | | | 13,887,232 | |
| | | | | | |
|
|
|
Chemicals — 2.5% | |
Monsanto Co. | | | 52,927 | | | | 6,168,642 | |
| | | | | | |
|
|
|
Computers & Peripherals — 2.2% | |
Apple, Inc. | | | 9,638 | | | | 5,407,978 | |
| | | | | | |
|
|
|
Diversified Financial Services — 2.2% | |
JPMorgan Chase & Co. | | | 95,270 | | | | 5,571,390 | |
| | | | | | |
|
|
|
Electronic Equipment, Instruments & Components — 2.5% | |
Flextronics International Ltd. (Singapore)* | | | 789,786 | | | | 6,136,637 | |
| | | | | | |
|
|
|
Energy Equipment & Services — 2.6% | |
Halliburton Co. | | | 125,409 | | | | 6,364,507 | |
| | | | | | |
|
|
|
Food Products — 5.6% | |
Bunge Ltd. | | | 83,708 | | | | 6,873,264 | |
Mondelez International, Inc. (Class A Stock) | | | 198,318 | | | | 7,000,625 | |
| | | | | | |
|
|
|
| | | | | | | | 13,873,889 | |
| | | | | | |
|
|
|
Health Care Providers & Services — 2.7% | |
Express Scripts Holding Co.* | | | 94,495 | | | | 6,637,329 | |
| | | | | | |
|
|
|
Hotels, Restaurants & Leisure — 5.4% | |
Carnival Corp. | | | 190,029 | | | | 7,633,465 | |
International Game Technology | | | 312,955 | | | | 5,683,263 | |
| | | | | | |
|
|
|
| | | | | | | | 13,316,728 | |
| | | | | | |
|
|
|
Independent Power Producers & Energy Traders — 2.3% | |
Calpine Corp.* | | | 290,347 | | | | 5,664,670 | |
| | | | | | |
|
|
|
Insurance — 2.4% | |
MetLife, Inc. | | | 108,483 | | | | 5,849,403 | |
| | | | | | |
|
|
|
Internet & Catalog Retail — 6.6% | |
Amazon.com, Inc.* | | | 20,417 | | | | 8,142,095 | |
priceline.com, Inc.* | | | 6,945 | | | | 8,072,868 | |
| | | | | | |
|
|
|
| | | | | | | | 16,214,963 | |
| | | | | | |
|
|
|
Internet Software & Services — 8.5% | |
Facebook, Inc. (Class A Stock)* | | | 97,734 | | | | 5,342,140 | |
Google, Inc. (Class A Stock)* | | | 7,873 | | | | 8,823,350 | |
LinkedIn Corp. (Class A Stock)* | | | 31,507 | | | | 6,831,663 | |
| | | | | | |
|
|
|
| | | | | | | | 20,997,153 | |
| | | | | | |
|
|
|
IT Services — 4.0% | |
MasterCard, Inc. (Class A Stock) | | | 11,831 | | | | 9,884,327 | |
| | | | | | |
|
|
|
Life Sciences Tools & Services — 1.9% | |
Illumina, Inc.*(a) | | | 42,675 | | | | 4,720,709 | |
| | | | | | |
|
|
|
Metals & Mining — 1.6% | |
Goldcorp, Inc. (Canada) | | | 148,561 | | | | 3,219,317 | |
Kinross Gold Corp. (Canada) | | | 150,096 | | | | 657,420 | |
| | | | | | |
|
|
|
| | | | | | | | 3,876,737 | |
| | | | | | |
|
|
|
| | | | | | | | |
COMMON STOCKS
(continued) | | Shares
| | | Value
(Note 2)
| |
Oil, Gas & Consumable Fuels — 6.6% | |
Anadarko Petroleum Corp. | | | 71,497 | | | $ | 5,671,142 | |
Marathon Oil Corp. | | | 177,881 | | | | 6,279,199 | |
Suncor Energy, Inc. (Canada) | | | 127,880 | | | | 4,482,194 | |
| | | | | | |
|
|
|
| | | | | | | | 16,432,535 | |
| | | | | | |
|
|
|
Personal Products — 2.1% | |
Avon Products, Inc. | | | 306,128 | | | | 5,271,524 | |
| | | | | | |
|
|
|
Pharmaceuticals — 7.1% | |
Actavis, Inc.* | | | 23,094 | | | | 3,879,792 | |
Allergan, Inc. | | | 45,153 | | | | 5,015,595 | |
Bayer AG (Germany), ADR | | | 14,392 | | | | 2,043,664 | |
Bristol-Myers Squibb Co. | | | 122,333 | | | | 6,501,999 | |
| | | | | | |
|
|
|
| | | | | | | | 17,441,050 | |
| | | | | | |
|
|
|
Road & Rail — 1.6% | |
Canadian Pacific Railway Ltd. (Canada) | | | 26,980 | | | | 4,082,614 | |
| | | | | | |
|
|
|
Semiconductors & Semiconductor Equipment — 2.3% | |
Intel Corp. | | | 219,453 | | | | 5,697,000 | |
| | | | | | |
|
|
|
Software — 2.8% | |
Salesforce.com, Inc.*(a) | | | 126,119 | | | | 6,960,508 | |
| | | | | | |
|
|
|
Specialty Retail — 5.6% | |
Inditex SA (Spain), ADR | | | 215,500 | | | | 7,115,810 | |
TJX Cos., Inc. (The) | | | 105,388 | | | | 6,716,377 | |
| | | | | | |
|
|
|
| | | | | | | | 13,832,187 | |
| | | | | | |
|
|
|
Textiles, Apparel & Luxury Goods — 5.4% | |
Michael Kors Holdings Ltd. (Hong Kong)* | | | 93,990 | | | | 7,631,048 | |
NIKE, Inc. (Class B Stock) | | | 74,290 | | | | 5,842,166 | |
| | | | | | |
|
|
|
| | | | | | | | 13,473,214 | |
| | | | | | |
|
|
|
Wireless Telecommunication Services — 0.4% | |
NII Holdings, Inc.* | | | 361,496 | | | | 994,114 | |
| | | | | | |
|
|
|
TOTAL LONG-TERM INVESTMENTS
(cost $180,847,851) | | | | 239,534,286 | |
| | | | | | |
|
|
|
| SHORT-TERM INVESTMENT — 8.3% | |
AFFILIATED MONEY MARKET MUTUAL FUND | |
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $20,597,138; includes $13,501,952 of cash collateral received for securities on loan) (Note 4)(b)(c) | | | 20,597,138 | | | | 20,597,138 | |
| | | | | | |
|
|
|
TOTAL INVESTMENTS — 105.2%
(cost $201,444,989) | | | | 260,131,424 | |
LIABILITIES IN EXCESS OF
OTHER ASSETS — (5.2)% | | | | (12,867,307 | ) |
| | | | | | |
|
|
|
NET ASSETS 100.0% | | | $ | 247,264,117 | |
| | | | | | |
|
|
|
The following abbreviation is used in the Portfolio descriptions:
| | |
| ADR | | American Depositary Receipt |
| * | | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
| | | | | | |
| | | JENNISON 20/20 FOCUS PORTFOLIO (continued) | | |
| |
| SCHEDULE OF INVESTMENTS | | December 31, 2013 |
| (a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $13,118,049; cash collateral of $13,501,952 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (c) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| 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, 2013 in valuing such portfolio securities:
| | | | | | | | | | | | |
| | | Level 1
| | | Level 2
| | | Level 3
| |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 239,534,286 | | | $ | — | | | $ | — | |
Affiliated Money Market Mutual Fund | | | 20,597,138 | | | | — | | | | — | |
| | |
|
|
| |
|
|
| |
|
|
|
Total | | $ | 260,131,424 | | | $ | — | | | $ | — | |
| | |
|
|
| |
|
|
| |
|
|
|
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 were as follows:
| | | | |
Internet Software & Services | | | 8.5 | % |
Affiliated Money Market Mutual Fund (including 5.5% of collateral received for securities on loan) | | | 8.3 | |
Pharmaceuticals | | | 7.1 | |
Oil, Gas & Consumable Fuels | | | 6.6 | |
Internet & Catalog Retail | | | 6.6 | |
Biotechnology | | | 5.6 | |
Food Products | | | 5.6 | |
Specialty Retail | | | 5.6 | |
Hotels, Restaurants & Leisure | | | 5.4 | |
Textiles, Apparel & Luxury Goods | | | 5.4 | |
IT Services | | | 4.0 | |
Software | | | 2.8 | |
Health Care Providers & Services | | | 2.7 | |
Energy Equipment & Services | | | 2.6 | |
Chemicals | | | 2.5 | |
Electronic Equipment, Instruments & Components | | | 2.5 | |
| | | | |
Insurance | | | 2.4 | % |
Aerospace & Defense | | | 2.3 | |
Independent Power Producers & Energy Traders | | | 2.3 | |
Semiconductors & Semiconductor Equipment | | | 2.3 | |
Computers & Peripherals | | | 2.2 | |
Diversified Financial Services | | | 2.2 | |
Automobiles | | | 2.1 | |
Personal Products | | | 2.1 | |
Life Sciences Tools & Services | | | 1.9 | |
Metals & Mining | | | 1.6 | |
Road & Rail | | | 1.6 | |
Wireless Telecommunication Services | | | 0.4 | |
| | |
|
|
|
| | | | 105.2 | |
Liabilities in excess of other assets | | | (5.2 | ) |
| | |
|
|
|
| | | | 100.0 | % |
| | |
|
|
|
The Portfolio invested in financial instruments during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
| | | | | | | | | | | | | | | | |
Offsetting of financial instrument assets and liabilities
| |
Description
| | Gross
Amounts
Recognized
| | | Gross
Amounts not
subject to
netting
| | | Gross Amounts
Offset in the
Statement of
Financial
Position
| | | Net Amounts
Presented in the
Statement of
Financial
Position
| |
Assets: | | | | | | | | | | | | | | | | |
Securities on Loan | | $ | 13,118,049 | | | $ | — | | | $ | — | | | $ | 13,118,049 | |
| | | | |
Collateral Amounts Pledged/(Received): | | | | | | | | | | | | | | | | |
Securities on Loan | | | | | | | | | | | | | | | (13,118,049 | ) |
| | | | | | | | | | | | | | |
|
|
|
Net Amount | | | | | | | | | | | | | | $ | — | |
| | | | | | | | | | | | | | |
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A2
| | | | | | |
| | | JENNISON 20/20 FOCUS PORTFOLIO (continued) | | |
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2013
| | | | |
| ASSETS | | | | |
Investments, at value including securities on loan of $13,118,049: | | | | |
Unaffiliated investments (cost $180,847,851) | | $ | 239,534,286 | |
Affiliated investments (cost $20,597,138) | | | 20,597,138 | |
Cash | | | 18,551 | |
Receivable for investments sold | | | 3,091,838 | |
Receivable for Series shares sold | | | 155,279 | |
Dividends and interest receivable | | | 140,645 | |
Tax reclaim receivable | | | 47,812 | |
Prepaid expenses | | | 2,085 | |
| | |
|
|
|
Total Assets | | | 263,587,634 | |
| | |
|
|
|
| LIABILITIES | | | | |
Collateral for securities on loan | | | 13,501,952 | |
Payable for investments purchased | | | 2,282,055 | |
Payable for Series shares repurchased | | | 265,725 | |
Management fee payable | | | 155,020 | |
Accrued expenses and other liabilities | | | 58,077 | |
Distribution fee payable | | | 37,270 | |
Administration fee payable | | | 22,492 | |
Affiliated transfer agent fee payable | | | 926 | |
| | |
|
|
|
Total Liabilities | | | 16,323,517 | |
| | |
|
|
|
| NET ASSETS | | $ | 247,264,117 | |
| | |
|
|
|
Net assets were comprised of: | | | | |
Paid-in capital | | $ | 105,321,829 | |
Retained earnings | | | 141,942,288 | |
| | |
|
|
|
Net assets, December 31, 2013 | | $ | 247,264,117 | |
| | |
|
|
|
| Class I: | | | | |
Net asset value and redemption price per share, $68,736,006 / 3,321,615 outstanding shares of beneficial interest | | $ | 20.69 | |
| | |
|
|
|
| Class II: | | | | |
Net asset value and redemption price per share, $178,528,111 / 8,862,764 outstanding shares of beneficial interest | | $ | 20.14 | |
| | |
|
|
|
STATEMENT OF OPERATIONS
Year Ended December 31, 2013
| | | | |
| INCOME | | | | |
Unaffiliated dividend income (net of foreign withholding taxes of $49,339) | | $ | 2,945,663 | |
Affiliated income from securities loaned, net | | | 52,977 | |
Affiliated dividend income | | | 5,349 | |
| | |
|
|
|
| | | | 3,003,989 | |
| | |
|
|
|
| EXPENSES | | | | |
Management fee | | | 1,728,658 | |
Distribution fee—Class II | | | 416,080 | |
Administration fee—Class II | | | 249,648 | |
Shareholders’ reports | | | 77,000 | |
Custodian’s fees and expenses | | | 53,000 | |
Audit fee | | | 20,000 | |
Trustees’ fees | | | 14,000 | |
Transfer agent’s fee and expenses (including affiliated expense of $5,600) (Note 4) | | | 12,000 | |
Legal fees and expenses | | | 11,000 | |
Insurance expenses | | | 4,000 | |
Commitment fee on syndicated credit agreement | | | 3,000 | |
Loan interest expense (Note 8) | | | 61 | |
Miscellaneous | | | 8,587 | |
| | |
|
|
|
Total expenses | | | 2,597,034 | |
| | |
|
|
|
| NET INVESTMENT INCOME | | | 406,955 | |
| | |
|
|
|
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | | | | |
Net realized gain (loss) on: | | | | |
Investment transactions | | | 41,458,173 | |
Foreign currency transactions | | | (13,252 | ) |
| | |
|
|
|
| | | | 41,444,921 | |
| | |
|
|
|
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments | | | 17,543,929 | |
| | |
|
|
|
| NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | | | 58,988,850 | |
| | |
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 59,395,805 | |
| | |
|
|
|
STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Year Ended December 31,
| |
| | | 2013
| | | 2012
| |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
| OPERATIONS: | | | | | | | | |
Net investment income (loss) | | $ | 406,955 | | | $ | (324,410 | ) |
Net realized gain on investment and foreign currency transactions | | | 41,444,921 | | | | 42,405,615 | |
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | | | 17,543,929 | | | | (14,083,567 | ) |
| | |
|
|
| |
|
|
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | 59,395,805 | | | | 27,997,638 | |
| | |
|
|
| |
|
|
|
| DISTRIBUTIONS: | | | | | | | | |
Class I | | | — | | | | (2,125,804 | ) |
Class II | | | — | | | | (14,068,043 | ) |
| | |
|
|
| |
|
|
|
TOTAL DISTRIBUTIONS | | | — | | | | (16,193,847 | ) |
| | |
|
|
| |
|
|
|
| SERIES SHARE TRANSACTIONS (NOTE 7): | | | | | | | | |
Series shares sold | | | 19,773,001 | | | | 41,176,954 | |
Series shares issued in reinvestment of distributions | | | — | | | | 16,193,847 | |
Series shares repurchased | | | (45,776,645 | ) | | | (297,038,252 | ) |
| | |
|
|
| |
|
|
|
NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS | | | (26,003,644 | ) | | | (239,667,451 | ) |
| | |
|
|
| |
|
|
|
| TOTAL INCREASE (DECREASE) IN NET ASSETS | | | 33,392,161 | | | | (227,863,660 | ) |
| NET ASSETS: | | | | | | | | |
Beginning of year | | | 213,871,956 | | | | 441,735,616 | |
| | |
|
|
| |
|
|
|
End of year | | $ | 247,264,117 | | | $ | 213,871,956 | |
| | |
|
|
| |
|
|
|
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 (“1940 Act”). The Series Fund is composed of eighteen 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’s investment objective is long-term growth of capital.
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 accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolio consistently follow such policies in the preparation of their financial statements.
Security Valuation: The Portfolio holds securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit the Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.
Various inputs determine how the Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Schedule of Investments.
Common stocks, exchange-traded funds, and derivative instruments that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price; they are classified as Level 1 in the fair value hierarchy.
In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and asked prices, or at the last bid price in the absence of an asked price. These securities are classified as Level 2 in the fair value hierarchy, as the inputs are observable and considered to be significant to the valuation.
Common stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy, as the adjustment factors are observable and considered to be significant to the valuation.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the over-the-counter market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level
B1
attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.
Over-the-counter derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.
Portfolio securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that significant unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
Foreign Currency Translation: The books and records of the Portfolio are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities — at the current rates of exchange.
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio 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 long-term portfolio securities held at the end of the period. Similarly, the Portfolio does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, these realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions.
Net realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from holdings of foreign currencies, currency gains or losses realized between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains or losses from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) foreign currencies.
Master Netting Arrangements: The Portfolio may be subject to various Master Agreements, or netting arrangements, with select counterparties. 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. The right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there were no instances where the right of set-off existed and management has not elected to offset.
Securities Lending: The Portfolio may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid short-term money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of
B2
the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities 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 or losses from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date and interest income, including amortization of premium and accretion of discount on debt securities, is recorded on the accrual basis. Expenses are recorded on the accrual basis which may require the use of certain estimates by management, that may differ from actual.
Net investment income or loss (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains or losses are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.
Taxes: For federal income tax purposes, each Portfolio 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 the Portfolios’ partners (Participating Insurance Companies). 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. Distributions are recorded on the ex-date.
Estimates: The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
The Portfolio 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 Portfolio, occupancy and certain clerical and administrative expenses of the Portfolio. 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 Portfolio has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolio. The Portfolio compensates PIMS for distributing and servicing the Portfolio’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 Portfolio. Pursuant to the Class II Plan, the Class II shares of the 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 Portfolio has an administration agreement with PI, which acts as the administrator of the Class II shares of the Portfolio. 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”).
B3
The Portfolio has entered into a brokerage commission recapture agreement with certain registered broker-dealer. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those portfolios generating the applicable trades. Such amounts are included with realized gain or loss on investment transactions presented in the Statement of Operations. For the year ended December 31, 2013, brokerage commission recaptured under these agreements was $22,551.
| 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 Portfolio’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 Portfolio’s security lending agent. For the year ended December 31, 2013, PIM was compensated $15,832 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, registered under the 1940 Act and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as affiliated dividend income.
| Note 5: | | 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, 2013 were $176,432,154 and $207,218,508, respectively.
The Portfolio is treated as a partnership for tax purposes. The character of the cash distributions made by the partnership is generally classified as return of capital nontaxable distributions. After each fiscal year each partner will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.
With respect to the Portfolio, book cost of assets differs from tax cost of assets as a result of the 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 no provision for income tax is required in the Portfolio’s financial statements for the current period. The Portfolio’s 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.
B4
Transactions in shares of beneficial interest of the Jennison 20/20 Focus Portfolio were as follows:
| | | | | | | | |
Class I
| | Shares
| | | Amount
| |
Year ended December 31, 2013: | | | | | | | | |
Series shares sold | | | 145,480 | | | $ | 2,652,652 | |
Series shares issued in reinvestment of distributions | | | — | | | | — | |
Series shares repurchased | | | (533,701 | ) | | | (9,716,573 | ) |
| | |
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|
| |
|
|
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Net increase (decrease) in shares outstanding | | | (388,221 | ) | | $ | (7,063,921 | ) |
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|
| |
|
|
|
Year ended December 31, 2012: | | | | | | | | |
Series shares sold | | | 237,364 | | | $ | 3,707,325 | |
Series shares issued in reinvestment of distributions | | | 144,416 | | | | 2,125,804 | |
Series shares repurchased | | | (615,968 | ) | | | (9,659,767 | ) |
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|
| |
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|
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Net increase (decrease) in shares outstanding | | | (234,188 | ) | | $ | (3,826,638 | ) |
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| | |
Class II
| | | | | | |
Year ended December 31, 2013: | | | | | | | | |
Series shares sold | | | 954,246 | | | $ | 17,120,349 | |
Series shares issued in reinvestment of distributions | | | — | | | | — | |
Series shares repurchased | | | (2,029,408 | ) | | | (36,060,072 | ) |
| | |
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|
| |
|
|
|
Net increase (decrease) in shares outstanding | | | (1,075,162 | ) | | $ | (18,939,723 | ) |
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| |
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Year ended December 31, 2012: | | | | | | | | |
Series shares sold | | | 2,411,811 | | | $ | 37,469,629 | |
Series shares issued in reinvestment of distributions | | | 975,593 | | | | 14,068,043 | |
Series shares repurchased | | | (19,641,828 | ) | | | (287,378,485 | ) |
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| |
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Net increase (decrease) in shares outstanding | | | (16,254,424 | ) | | $ | (235,840,813 | ) |
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|
The Portfolio, along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period November 5, 2013 through November 4, 2014. The Funds pay an annualized commitment fee of 0.08% of the unused portion of the SCA. Prior to November 5, 2013, the Funds had another SCA with substantially similar terms. Interest on any borrowings under the SCA is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.
The Portfolio utilized the SCA during the year ended December 31, 2013. The average daily balance for the 11 days that the Portfolio had loans outstanding during the period was $136,909, borrowed at a weighted average interest rate of 1.44%. At December 31, 2013, the Portfolio did not have an outstanding loan amount.
| Note 9: | | Ownership and Affiliates |
As of December 31, 2013, 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
| | | | | | | | | | | | | | | | | | | | |
| | | Jennison 20/20 Focus Portfolio
| |
| | | Class I
| |
| | | Year Ended December 31,
| |
| | 2013(c)
| | | 2012(c)
| | | 2011(c)
| | | 2010(c)
| | | 2009(c)
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 15.93 | | | $ | 14.89 | | | $ | 15.55 | | | $ | 14.42 | | | $ | 9.18 | |
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|
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Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | .09 | | | | .05 | | | | .04 | | | | .05 | | | | .03 | |
Net realized and unrealized gain (loss) on investments | | | 4.67 | | | | 1.55 | | | | (.69 | ) | | | 1.08 | | | | 5.26 | |
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| |
|
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| |
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| |
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Total from investment operations | | | 4.76 | | | | 1.60 | | | | (.65 | ) | | | 1.13 | | | | 5.29 | |
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| |
|
|
| |
|
|
| |
|
|
| |
|
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Less Distributions | | | — | | | | (.56 | ) | | | (.01 | ) | | | — | | | | (.05 | ) |
| | |
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| |
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| |
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|
| |
|
|
| |
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|
|
Net Asset Value, end of year | | $ | 20.69 | | | $ | 15.93 | | | $ | 14.89 | | | $ | 15.55 | | | $ | 14.42 | |
| | |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
|
Total Return(a) | | | 29.88 | % | | | 11.04 | % | | | (4.17 | )% | | | 7.84 | % | | | 57.83 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 68.7 | | | $ | 59.1 | | | $ | 58.7 | | | $ | 66.8 | | | $ | 70.5 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | .84 | % | | | .80 | % | | | .80 | % | | | .80 | % | | | .81 | % |
Net investment income | | | .46 | % | | | .32 | % | | | .24 | % | | | .36 | % | | | .27 | % |
Portfolio turnover rate | | | 78 | % | | | 75 | % | | | 83 | % | | | 112 | % | | | 106 | % |
| |
| | | Jennison 20/20 Focus Portfolio
| |
| | | Class II
| |
| | | Year Ended December 31,
| |
| | 2013(c)
| | | 2012(c)
| | | 2011(c)
| | | 2010(c)
| | | 2009(c)
| |
Per Share Operating Performance: | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, beginning of year | | $ | 15.57 | | | $ | 14.62 | | | $ | 15.31 | | | $ | 14.25 | | | $ | 9.06 | |
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Income (Loss) From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | .01 | | | | (.03 | ) | | | (.03 | ) | | | (.01 | ) | | | (.01 | ) |
Net realized and unrealized gain (loss) on investments | | | 4.56 | | | | 1.54 | | | | (.66 | ) | | | 1.07 | | | | 5.20 | |
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| |
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Total from investment operations | | | 4.57 | | | | 1.51 | | | | (.69 | ) | | | 1.06 | | | | 5.19 | |
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Less Distributions | | | — | | | | (.56 | ) | | | — | | | | — | | | | — | (d) |
| | |
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Net Asset Value, end of year | | $ | 20.14 | | | $ | 15.57 | | | $ | 14.62 | | | $ | 15.31 | | | $ | 14.25 | |
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Total Return(a) | | | 29.35 | % | | | 10.62 | % | | | (4.51 | )% | | | 7.44 | % | | | 57.29 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of year (in millions) | | $ | 178.5 | | | $ | 154.8 | | | $ | 383.0 | | | $ | 476.2 | | | $ | 284.9 | |
Ratios to average net assets(b): | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 1.24 | % | | | 1.20 | % | | | 1.20 | % | | | 1.20 | % | | | 1.21 | % |
Net investment income (loss) | | | .07 | % | | | (.18 | )% | | | (.16 | )% | | | (.05 | )% | | | (.13 | )% |
Portfolio turnover rate | | | 78 | % | | | 75 | % | | | 83 | % | | | 112 | % | | | 106 | % |
| (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 Jennison 20/20 Focus Portfolio (hereafter referred to as the “Portfolio”), a portfolio of The Prudential Series Fund, including the schedule of investments, as of December 31, 2013, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolio’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, 2013, 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, 2013, the results of its operations, the changes in its 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 12, 2014
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 Investment Company Act of 1940, 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 Investment Company Act of 1940.
| | | | |
| Independent Trustees(1) | | | | |
Name, Address, Age No. of Portfolios Overseen | | Principal Occupation(s) During Past Five Years | | Other Directorships Held |
Susan Davenport Austin (46) No. of Portfolios Overseen: 98 | | Vice Chairman (since 2013), Senior Vice President and Chief Financial Officer (2007-2012) 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); Chairman of the Board of Directors, Broadcast Music, Inc. (Since 2007); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010). | | None. |
Sherry S. Barrat (64) No. of Portfolios Overseen: 98 | | Formerly, Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly, President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly, Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly, President & CEO, Palm Beach/Martin County Region, Northern Trust. | | Director of NextEra Energy, Inc. (formerly, FPL Group, Inc.) (1998-Present); Director of Arthur J. Gallagher & Company (since July 2013). |
Kay Ryan Booth (63) No. of Portfolios Overseen: 98 | | Managing Director of Cappello Waterfield & Co. LLC (since 2011); formerly, Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly, Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly, Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995). | | None. |
Delayne Dedrick Gold (75) No. of Portfolios Overseen: 98 | | Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc. | | None. |
Robert F. Gunia (67) No. of Portfolios Overseen: 98 | | 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. |
W. Scott McDonald, Jr., Ph.D. (76) No. of Portfolios Overseen: 98 | | 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 (72) No. of Portfolios Overseen: 98 | | Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976). | | None. |
E1
| | | | |
| Independent Trustees(1) | | | | |
Name, Address, Age No. of Portfolios Overseen | | Principal Occupation(s) During Past Five Years | | Other Directorships Held |
Thomas M. O’Brien (63) No. of Portfolios Overseen: 98 | | Director, The BankUnited (NYSE: BKU) (since May 2012); Consultant, Valley National Bancorp, Inc. and Valley National Bank (since January 2012); Formerly President and COO (November 2006-December 2011) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York. | | Formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006-January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island. |
| Interested Trustees(1) | | | | |
Robert F. O’Donnell (45) No. of Portfolios Overseen: 98 | | President of Prudential Annuities (since April 2012); Senior Vice President, Head of Product, Investment Management & Marketing for Prudential Annuities (October 2008-April 2012); Senior Vice President, Head of Product (July 2004-October 2008). | | None. |
Timothy S. Cronin (48) Number of Portfolios Overseen: 98 | | 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. |
Bruce W. Ferris (58) Number of Portfolios Overseen: 98 | | Senior Vice President, Sales and Distribution, Product, Marketing, Prudential Annuities (since May 2006); Vice President-Sales, The Hartford Insurance Company (October 1994-April 2005); Sales Manager, Aetna Investment Services (October 1993-September 1994). | | None. |
(1) The year that each Trustee joined the Fund’s Board is as follows: Susan Davenport Austin, 2011; Sherry S. Barrat, 2013; Kay Ryan Booth, 2013; Delayne Dedrick Gold, 2001; Robert F. Gunia, 2001; W. Scott McDonald, Jr. 1983; Thomas T. Mooney, 2001; Thomas M. O’Brien, 2003; Robert F. O’Donnell, 2012; Timothy S. Cronin, 2011; Bruce W. Ferris, 2013.
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| Fund Officers(a)(1) | | |
Name, Address and Age Position with the Fund | | Principal Occupation(s) During the Past Five Years |
Raymond A. O’Hara (58) Chief Legal Officer | | Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.). |
Deborah A. Docs (56) Secretary | | Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of Prudential Investments LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. |
Kathleen DeNicholas (39) Assistant Secretary | | Vice President and Corporate Counsel (since May 2013) of Prudential; Managing Counsel at The Bank of New York Mellon Corporation (2011-2013); formerly Senior Counsel (2007-2011) and Assistant General Counsel (2001-2007) of The Dreyfus Corporation; Chief Legal Officer and Secretary of MBSC Securities Corporation (2011-2013); Vice President and Assistant Secretary of The Dreyfus Family of Funds (2010-2012). |
Claudia DiGiacomo (39) Assistant Secretary | | Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of Prudential Investments LLC (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004). |
Jonathan D. Shain (55) Assistant Secretary | | Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of Prudential Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. |
Andrew R. French (51) Assistant Secretary | | Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of Prudential Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC. |
Amanda S. Ryan (36) Assistant Secretary | | Director and Corporate Counsel (since March 2012) of Prudential; Director and Assistant Secretary (since June 2012) of Prudential Investments LLC; Associate at Ropes & Gray (2008-2012). |
Bruce Karpati (44) Chief Compliance Officer | | Chief Compliance Officer of the Prudential Investments Funds, Target Funds, Advanced Series Trust, the Prudential Series Fund and Prudential’s Gibraltar Fund, Inc. (May 2013-Present); formerly National Chief (May 2012-May 2013) and Co-Chief (January 2010-May 2012) of the Asset Management Unit, Division of Enforcement, of the U.S. Securities & Exchange Commission; Assistant Regional Director (January 2005-January 2010) of the U.S. Securities & Exchange Commission. |
Theresa C. Thompson (51) Deputy Chief Compliance Officer | | Vice President, Compliance, Prudential Investments LLC (since April 2004); and Director, Compliance, Prudential Investments LLC (2001-2004). |
E2
| | |
| Fund Officers(a)(1) | | |
Name, Address and Age Position with the Fund | | Principal Occupation(s) During the Past Five Years |
Richard W. Kinville (45) Anti-Money Laundering Compliance Officer | | Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2005) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2007); formerly Investigator and Supervisor in the Special Investigations Unit for the New York Central Mutual Fire Insurance Company (August 1994-January 1999); Investigator in AXA Financial’s Internal Audit Department and Manager in AXA’s Anti-Money Laundering Office (January 1999-January 2005); first chair of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (June 2007-December 2009). |
Grace C. Torres (54) Treasurer and Principal Financial and Accounting Officer | | Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of Prudential Investments LLC; 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 (50) Assistant Treasurer | | Vice President (since 2005) of Prudential Investments LLC. |
Peter Parrella (55) 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 (57) Assistant Treasurer | | Vice President and Corporate Counsel – Tax, Prudential Financial, Inc. (since October 2003). |
(a) Excludes Mr. O’Donnell and Mr. Cronin, Interested Trustees who also serve as President and Vice President, respectively.
(1) The year in which each individual became an Officer of the Fund is as follows: Raymond A. O’Hara, 2012; Deborah A. Docs, 2005; Kathleen DeNicholas, 2013; Claudia DiGiacomo, 2005; Jonathan D. Shain, 2005; Andrew R. French, 2006; Amanda S. Ryan, 2012; Bruce Karpati, 2013; Theresa C. Thompson, 2008; Richard W. Kinville, 2011; 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 Investment Company Act of 1940, by reason of their affiliation with Prudential Investments LLC and/or an affiliate of Prudential Investments LLC. Robert F. O’Donnell, Timothy S. Cronin and Bruce W. Ferris are Interested Trustees because they are employed by an affiliate of the Manager of the Fund.
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 Investment Company Act of 1940.
“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, Prudential’s Gibraltar Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Global Short Duration High Yield Fund, Inc.
E3
This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.
A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request by calling the appropriate phone number listed below. 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 Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.
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 or by calling the telephone number referenced below.
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.
This report may include financial information pertaining to certain portfolios that are not available through the variable annuity contract or the variable life insurance policy that you have chosen. Please refer to your variable product prospectus to determine which portfolios are available to you.
To contact your client services representative, please call the phone number listed below. Thank you.
Owners of Individual Annuity contracts should call (888) 778-2888.
Owners of Individual Life Insurance contracts should call (800) 778-2255.
Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.
Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.
The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), Three Gateway Center, 14th Floor, Newark, NJ 07102-4077, member SIPC, a Prudential Financial company and solely responsible for its own financial condition and contractual obligations.
Annuity and life insurance 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.
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The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777 | | | | Presorted Standard U.S. Postage PAID Prudential |
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The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, and The Prudential Insurance Company of America are available upon request. You may call (800)778-2255 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, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.
0239275-00002-00 PSF-AR-20/20 Focus
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, 2013 and December 31, 2012, KPMG LLP (“KPMG”), the Registrant’s principal accountant, billed the Registrant $475,500 and $466,000, respectively, for professional services rendered for the audit of the Registrant’s annual financial statements or services that are normally provided in connection with statutory and regulatory filings.
(b) Audit-Related Fees
None.
(c) Tax Fees
None.
(d) All Other Fees
None.
(e) (1) Audit Committee Pre-Approval Policies and Procedures
THE PRUDENTIAL MUTUAL FUNDS
AUDIT COMMITTEE POLICY
on
Pre-Approval of Services Provided by the Independent Accountants
The Audit Committee of each Prudential Mutual Fund is charged with the responsibility to monitor the independence of the Fund’s independent accountants. As part of this responsibility, the Audit Committee must pre-approve any independent accounting firm’s engagement to render audit and/or permissible non-audit services, as required by law. In evaluating a proposed engagement of the independent accountants, the Audit Committee will assess the effect that the engagement might reasonably be expected to have on the accountant’s independence. The Committee’s evaluation will be based on:
| | • | | a review of the nature of the professional services expected to be provided, |
| | • | | a review of the safeguards put into place by the accounting firm to safeguard independence, and |
| | • | | periodic meetings with the accounting firm. |
Policy for Audit and Non-Audit Services Provided to the Funds
On an annual basis, the scope of audits for each Fund, audit fees and expenses, and audit-related and non-audit services (and fees proposed in respect thereof) proposed to be performed by the Fund’s independent accountants will be presented by the Treasurer and the independent accountants to the Audit Committee for review and, as appropriate, approval prior to the initiation of such services. Such presentation shall be accompanied by confirmation by both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants. Proposed services shall be described in sufficient detail to enable the Audit Committee to assess the appropriateness of such services and fees, and the compatibility of the provision of such services with the auditor’s independence. The Committee shall receive periodic reports on the progress of the audit and other services which are approved by the Committee or by the Committee Chair pursuant to authority delegated in this Policy.
The categories of services enumerated under “Audit Services”, “Audit-related Services”, and “Tax Services” are intended to provide guidance to the Treasurer and the independent accountants as to those categories of services which the Committee believes are generally consistent with the independence of the independent accountants and which the Committee (or the Committee Chair) would expect upon the presentation of specific proposals to pre-approve. The enumerated categories are not intended as an exclusive list of audit, audit-related or tax services, which the Committee (or the Committee Chair) would consider for pre-approval.
Audit Services
The following categories of audit services are considered to be consistent with the role of the Fund’s independent accountants:
| | • | | Annual Fund financial statement audits |
| | • | | Seed audits (related to new product filings, as required) |
| | • | | SEC and regulatory filings and consents |
Audit-related Services
The following categories of audit-related services are considered to be consistent with the role of the Fund’s independent accountants:
| | • | | Accounting consultations |
| | • | | Fund merger support services |
| | • | | Agreed Upon Procedure Reports |
| | • | | 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 – |
Not applicable.
| (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 2013 and 2012. 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 2013 and 2012 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.
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| Item 5 – | | Audit Committee of Listed Registrants – Not applicable. |
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| Item 6 – | | Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form. |
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| Item 7 – | | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable. |
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| Item 8 – | | Portfolio Managers of Closed-End Management Investment Companies – Not applicable. |
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| Item 9 – | | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable. |
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| Item 10 – | | Submission of Matters to a Vote of Security Holders – Not applicable. |
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| 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
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| By: | | /s/ Deborah A. Docs |
| | Deborah A. Docs |
| | Secretary |
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| Date: | | February 27, 2014 |
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.
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| By: | | /s/ Timothy S. Cronin |
| | Timothy S. Cronin |
| | Acting Principal Executive Officer |
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| Date: | | February 27, 2014 |
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| By: | | /s/ Grace C. Torres |
| | Grace C. Torres |
| | Treasurer and Principal Financial Officer |
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| Date: | | February 27, 2014 |
