UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: | 811-03623 | |
Exact name of registrant as specified in charter: | The Prudential Series Fund | |
Address of principal executive offices: | Gateway Center 3, 100 Mulberry Street, Newark, New Jersey 07102 | |
Name and address of agent for service: | Deborah A. Docs Gateway Center 3, 100 Mulberry Street, Newark, New Jersey 07102 | |
Registrant’s telephone number, including area code: | 973-367-7521 | |
Date of fiscal year end: | 12/31/2014 | |
Date of reporting period: | 6/30/2014 |
Item 1 – Reports to Stockholders – [ INSERT REPORT ]
THE PRUDENTIAL SERIES FUND
SEMIANNUAL REPORT Ÿ JUNE 30, 2014
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.
The accompanying financial statements as of June 30, 2014, were not audited and, accordingly, no auditor’s opinion is expressed on them.
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.
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 | Semiannual Report | June 30, 2014 |
n | LETTER TO CONTRACT OWNERS |
n | PRESENTATION OF PORTFOLIO HOLDINGS |
n | FEES AND EXPENSES TABLE |
n |
Section A | Schedule of Investments and Financial Statements | |||
Conservative Balanced Portfolio | A1 | |||
Diversified Bond Portfolio | A31 | |||
Equity Portfolio | A60 | |||
Flexible Managed Portfolio | A65 | |||
Global Portfolio | A93 | |||
Government Income Portfolio | A100 | |||
High Yield Bond Portfolio | A109 | |||
Jennison Portfolio | A129 | |||
Money Market Portfolio | A133 | |||
Natural Resources Portfolio | A138 | |||
Small Capitalization Stock Portfolio | A143 | |||
Stock Index Portfolio | A155 | |||
Value Portfolio | A165 | |||
Section B | Notes to Financial Statements | |||
Section C | Financial Highlights |
n | APPROVAL OF ADVISORY AGREEMENTS |
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.
The Prudential Series Fund
Letter to Contract Owners | Semiannual Report | June 30, 2014 |
n | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund semiannual report outlines our efforts to achieve this goal. We hope you find it informative and useful.
Prudential has been building on a heritage of success for more than 135 years. 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.
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2014 |
Conservative Balanced | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Apple, Inc. | 1.5% | |||
Exxon Mobil Corp. | 1.1% | |||
Microsoft Corp. | 0.8% | |||
Johnson & Johnson | 0.8% | |||
U.S. Treasury Notes, 1.500%, 01/31/19 | 0.7% |
Diversified Bond | ||||
Issuer | (% of Net Assets | ) | ||
Banking | 12.4% | |||
Commercial Mortgage-Backed Securities | 11.8% | |||
Sovereigns | 6.3% | |||
Residential Mortgage-Backed Securities | 5.9% | |||
Collateralized Loan Obligations | 4.4% |
Equity | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Apple, Inc. | 2.6% | |||
MasterCard, Inc. (Class A Stock) | 2.3% | |||
Morgan Stanley | 2.3% | |||
Facebook, Inc. (Class A Stock) | 2.2% | |||
Biogen Idec, Inc. | 1.9% |
Flexible Managed | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Apple, Inc. | 1.8% | |||
Exxon Mobil Corp. | 1.7% | |||
General Electric Co. | 1.4% | |||
Johnson & Johnson | 1.3% | |||
Wells Fargo & Co. | 1.1% |
Global | ||||
Top Five Countries | (% of Net Assets | ) | ||
United States | 51.5% | |||
Japan | 8.8% | |||
United Kingdom | 7.6% | |||
France | 4.3% | |||
Switzerland | 4.2% |
Government Income | ||||
Allocation | (% of Net Assets | ) | ||
U.S. Government Agency Obligations | 44.6% | |||
U.S. Treasury Obligations | 32.7% | |||
Commercial Mortgage-Backed Securities | 17.1% | |||
Corporate Bonds | 1.2% | |||
Municipal Bonds | 1.2% |
High Yield Bond | ||||
Issuer | (% of Net Assets | ) | ||
Technology | 12.2% | |||
Energy—Other | 9.4% | |||
Healthcare & Pharmaceutical | 7.7% | |||
Capital Goods | 6.7% | |||
Electric | 5.7% |
Jennison | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Apple, Inc. | 4.1% | |||
MasterCard, Inc. (Class A Stock) | 3.4% | |||
Amazon.com Inc. | 2.9% | |||
Facebook, Inc. (Class A Stock) | 2.9% | |||
Biogen Idec, Inc. | 2.6% |
Natural Resources | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Schlumberger Ltd. | 4.1% | |||
Halliburton Co. | 4.1% | |||
Noble Energy, Inc. | 3.8% | |||
Concho Resources, Inc. | 3.5% | |||
EOG Resources, Inc. | 3.3% |
Small Capitalization Stock | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Questcor Pharmaceuticals, Inc. | 0.7% | |||
Centene Corp. | 0.6% | |||
Teledyne Technologies, Inc. | 0.5% | |||
Toro Co. (The) | 0.5% | |||
Darling Ingredients, Inc. | 0.5% |
Stock Index | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Apple, Inc. | 3.0% | |||
Exxon Mobil Corp. | 2.3% | |||
Microsoft Corp. | 1.7% | |||
Johnson & Johnson | 1.6% | |||
General Electric Co. | 1.4% |
Value | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Wells Fargo & Co. | 3.1% | |||
JPMorgan Chase & Co. | 2.8% | |||
Flextronics International Ltd. | 2.8% | |||
Hertz Global Holdings, Inc. | 2.5% | |||
Liberty Global PLC (Class C Stock) (United Kingdom) | 2.5% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.
The Prudential Series Fund
Fees and Expenses — unaudited | June 30, 2014 |
As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2014 through June 30, 2014.
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 January 1, 2014 | Ending Account Value June 30, 2014 | Annualized Expense Ratio based on the Six-Month Period | Expenses Paid During the Six-Month Period* | ||||||||||||||
Conservative Balanced (Class I) | Actual | $ | 1,000.00 | $ | 1,052.80 | 0.59 | % | $ | 3.00 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.87 | 0.59 | % | $ | 2.96 | ||||||||||
Diversified Bond (Class I) | Actual | $ | 1,000.00 | $ | 1,054.40 | 0.45 | % | $ | 2.29 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.56 | 0.45 | % | $ | 2.26 | ||||||||||
Equity (Class I) | Actual | $ | 1,000.00 | $ | 1,050.60 | 0.47 | % | $ | 2.39 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.46 | 0.47 | % | $ | 2.36 | ||||||||||
Equity (Class II) | Actual | $ | 1,000.00 | $ | 1,048.60 | 0.87 | % | $ | 4.42 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.48 | 0.87 | % | $ | 4.36 | ||||||||||
Flexible Managed (Class I) | Actual | $ | 1,000.00 | $ | 1,070.30 | 0.63 | % | $ | 3.23 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.67 | 0.63 | % | $ | 3.16 | ||||||||||
Global (Class I) | Actual | $ | 1,000.00 | $ | 1,045.80 | 0.81 | % | $ | 4.11 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.78 | 0.81 | % | $ | 4.06 | ||||||||||
Government Income (Class I) | Actual | $ | 1,000.00 | $ | 1,038.20 | 0.48 | % | $ | 2.43 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.41 | 0.48 | % | $ | 2.41 | ||||||||||
High Yield Bond (Class I) | Actual | $ | 1,000.00 | $ | 1,052.00 | 0.57 | % | $ | 2.90 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.97 | 0.57 | % | $ | 2.86 | ||||||||||
Jennison (Class I) | Actual | $ | 1,000.00 | $ | 1,045.00 | 0.63 | % | $ | 3.19 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.67 | 0.63 | % | $ | 3.16 | ||||||||||
Jennison (Class II) | Actual | $ | 1,000.00 | $ | 1,043.00 | 1.03 | % | $ | 5.22 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.69 | 1.03 | % | $ | 5.16 | ||||||||||
Money Market (Class I) | Actual | $ | 1,000.00 | $ | 1,000.00 | 0.15 | % | $ | 0.74 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,024.05 | 0.15 | % | $ | 0.75 |
The Prudential Series Fund
Fees and Expenses — unaudited (continued) | June 30, 2014 |
The Prudential Series Fund Portfolios | Beginning Account Value January 1, 2014 | Ending Account Value June 30, 2014 | Annualized Expense Ratio based on the Six-Month Period | Expenses Paid During the Six-Month Period* | ||||||||||||||
Natural Resources (Class I) | Actual | $ | 1,000.00 | $ | 1,183.20 | 0.45 | % | $ | 2.44 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.56 | 0.45 | % | $ | 2.26 | ||||||||||
Natural Resources (Class II) | Actual | $ | 1,000.00 | $ | 1,181.10 | 0.85 | % | $ | 4.60 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.58 | 0.85 | % | $ | 4.26 | ||||||||||
Small Capitalization Stock (Class I) | Actual | $ | 1,000.00 | $ | 1,030.60 | 0.40 | % | $ | 2.01 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.81 | 0.40 | % | $ | 2.01 | ||||||||||
Stock Index (Class I) | Actual | $ | 1,000.00 | $ | 1,069.50 | 0.32 | % | $ | 1.64 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.21 | 0.32 | % | $ | 1.61 | ||||||||||
Value (Class I) | Actual | $ | 1,000.00 | $ | 1,087.30 | 0.37 | % | $ | 1.91 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.96 | 0.37 | % | $ | 1.86 | ||||||||||
Value (Class II) | Actual | $ | 1,000.00 | $ | 1,085.00 | 0.77 | % | $ | 3.98 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.98 | 0.77 | % | $ | 3.86 |
* 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 181 days in the six-month period ended June 30, 2014, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2014 (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 | June 30, 2014 (Unaudited) |
LONG-TERM INVESTMENTS — 80.8% | ||||||||
COMMON STOCKS — 52.9% | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 1.3% | ||||||||
Boeing Co. (The) | 45,800 | $ | 5,827,134 | |||||
General Dynamics Corp. | 21,800 | 2,540,790 | ||||||
Honeywell International, Inc. | 52,512 | 4,880,991 | ||||||
L-3 Communications Holdings, Inc. | 5,800 | 700,350 | ||||||
Lockheed Martin Corp. | 18,100 | 2,909,213 | ||||||
Northrop Grumman Corp. | 14,562 | 1,742,052 | ||||||
Precision Castparts Corp. | 9,800 | 2,473,520 | ||||||
Raytheon Co. | 21,100 | 1,946,475 | ||||||
Rockwell Collins, Inc. | 9,100 | 711,074 | ||||||
Safran SA (France) | 3,170 | 207,523 | ||||||
Textron, Inc. | 19,000 | 727,510 | ||||||
Thales SA (France) | 6,937 | 419,442 | ||||||
United Technologies Corp. | 56,400 | 6,511,380 | ||||||
Zodiac Aerospace (France) | 11,696 | 395,996 | ||||||
31,993,450 | ||||||||
Air Freight & Logistics — 0.4% | ||||||||
C.H. Robinson Worldwide, Inc.(a) | 10,000 | 637,900 | ||||||
Deutsche Post AG (Germany) | 37,955 | 1,369,983 | ||||||
Expeditors International of Washington, Inc. | 14,000 | 618,240 | ||||||
FedEx Corp. | 18,800 | 2,845,944 | ||||||
United Parcel Service, Inc. | 47,600 | 4,886,616 | ||||||
10,358,683 | ||||||||
Airlines — 0.2% | ||||||||
Delta Air Lines, Inc. | 56,900 | 2,203,168 | ||||||
Deutsche Lufthansa AG (Germany) | 31,050 | 666,552 | ||||||
easyJet PLC (United Kingdom) | 40,771 | 952,108 | ||||||
International Consolidated Airlines Group SA (United Kingdom)* | 13,840 | 87,822 | ||||||
Singapore Airlines Ltd. (Singapore) | 30,000 | 249,660 | ||||||
Southwest Airlines Co. | 47,000 | 1,262,420 | ||||||
5,421,730 | ||||||||
Auto Components — 0.3% | ||||||||
BorgWarner, Inc. | 15,300 | 997,407 | ||||||
Bridgestone Corp. (Japan) | 8,600 | 301,202 | ||||||
Continental AG (Germany) | 2,232 | 516,062 | ||||||
Delphi Automotive PLC (United Kingdom) | 18,700 | 1,285,438 | ||||||
Goodyear Tire & Rubber Co. (The) | 18,000 | 500,040 | ||||||
Johnson Controls, Inc. | 44,500 | 2,221,885 | ||||||
Koito Manufacturing Co. Ltd. (Japan) | 1,300 | 33,313 | ||||||
NGK Spark Plug Co. Ltd. (Japan) | 2,000 | 56,468 | ||||||
NOK Corp. (Japan) | 1,200 | 24,129 | ||||||
Stanley Electric Co. Ltd. (Japan) | 1,900 | 49,572 | ||||||
Sumitomo Rubber Industries Ltd. (Japan) | 2,300 | 33,243 | ||||||
Toyota Industries Corp. (Japan) | 10,400 | 537,371 | ||||||
Valeo SA (France) | 8,878 | 1,191,203 | ||||||
7,747,333 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Automobiles — 0.6% | ||||||||
Bayerische Motoren Werke AG (Germany) | 11,593 | $ | 1,468,019 | |||||
Daimler AG (Germany) | 23,282 | 2,174,879 | ||||||
Fiat SpA (Italy)* | 11,621 | 114,577 | ||||||
Ford Motor Co. | 263,885 | 4,549,377 | ||||||
Fuji Heavy Industries Ltd. (Japan) | 41,500 | 1,150,744 | ||||||
General Motors Co. | 87,300 | 3,168,990 | ||||||
Harley-Davidson, Inc.(a) | 14,800 | 1,033,780 | ||||||
Peugeot SA (France)* | 38,105 | 563,788 | ||||||
Renault SA (France) | 2,658 | 240,269 | ||||||
Suzuki Motor Corp. (Japan) | 4,700 | 147,447 | ||||||
Toyota Motor Corp. (Japan) | 20,600 | 1,233,376 | ||||||
Volkswagen AG (Germany) | 383 | 98,779 | ||||||
15,944,025 | ||||||||
Banks — 3.7% | ||||||||
Aozora Bank Ltd. (Japan) | 14,000 | 46,029 | ||||||
Australia & New Zealand Banking Group Ltd. (Australia) | 66,558 | 2,092,887 | ||||||
Banco Bilbao Vizcaya Argentaria SA (Spain) | 5,554 | 70,788 | ||||||
Banco Santander SA (Spain) | 131,993 | 1,379,230 | ||||||
Bank Hapoalim BM (Israel) | 165,926 | 958,385 | ||||||
Bank of America Corp. | 715,121 | 10,991,410 | ||||||
Bank of East Asia Ltd. (Hong Kong) | 15,800 | 65,507 | ||||||
Bank of Queensland Ltd. (Australia) | 4,708 | 54,105 | ||||||
Bank of Yokohama Ltd. (The) (Japan) | 15,000 | 86,385 | ||||||
BB&T Corp. | 47,600 | 1,876,868 | ||||||
BNP Paribas SA (France) | 848 | 57,629 | ||||||
Citigroup, Inc. | 206,185 | 9,711,314 | ||||||
Comerica, Inc. | 12,200 | 611,952 | ||||||
Commonwealth Bank of Australia (Australia) | 33,427 | 2,549,419 | ||||||
Credit Agricole SA (France) | 72,380 | 1,021,923 | ||||||
DBS Group Holdings Ltd. (Singapore) | 23,000 | 309,343 | ||||||
DNB ASA (Norway) | 62,590 | 1,143,600 | ||||||
Fifth Third Bancorp | 57,021 | 1,217,398 | ||||||
Fukuoka Financial Group, Inc. (Japan) | 10,000 | 48,301 | ||||||
Hachijuni Bank Ltd. (The) (Japan) | 5,000 | 30,961 | ||||||
Hang Seng Bank Ltd. (Hong Kong) | 10,100 | 164,928 | ||||||
Hiroshima Bank Ltd. (The) (Japan) | 7,000 | 33,457 | ||||||
HSBC Holdings PLC (United Kingdom) | 251,228 | 2,548,714 | ||||||
Huntington Bancshares, Inc. | 59,636 | 568,927 | ||||||
Intesa Sanpaolo SpA (Italy) | 12,097 | 32,131 | ||||||
Iyo Bank Ltd. (The) (Japan) | 2,000 | 20,229 | ||||||
JPMorgan Chase & Co. | 255,445 | 14,718,741 | ||||||
KeyCorp | 59,600 | 854,068 | ||||||
Lloyds Banking Group PLC (United Kingdom)* | 68,386 | 86,923 | ||||||
M&T Bank Corp.(a) | 8,800 | 1,091,640 |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks (continued) | ||||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 320,200 | $ | 1,965,617 | |||||
Mizuho Financial Group, Inc. (Japan) | 753,700 | 1,549,234 | ||||||
National Australia Bank Ltd. (Australia) | 2,707 | 83,670 | ||||||
Natixis (France) | 73,562 | 472,114 | ||||||
Nordea Bank AB (Sweden) | 40,432 | 570,008 | ||||||
Oversea-Chinese Banking Corp. Ltd. (Singapore) | 51,573 | 395,572 | ||||||
PNC Financial Services Group, Inc. (The) | 35,833 | 3,190,929 | ||||||
Regions Financial Corp. | 95,003 | 1,008,932 | ||||||
Resona Holdings, Inc. (Japan) | 97,800 | 569,913 | ||||||
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock) | 88,415 | 1,180,142 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 16,700 | 700,681 | ||||||
SunTrust Banks, Inc. | 35,800 | 1,434,148 | ||||||
Svenska Handelsbanken AB (Sweden) (Class A Stock) | 14,833 | 725,327 | ||||||
Swedbank AB (Sweden) | 32,763 | 867,798 | ||||||
U.S. Bancorp | 121,985 | 5,284,390 | ||||||
Wells Fargo & Co. | 324,464 | 17,053,828 | ||||||
Westpac Banking Corp. (Australia) | 68,258 | 2,183,313 | ||||||
Yamaguchi Financial Group, Inc. (Japan) | 3,000 | 31,638 | ||||||
Zions Bancorporation(a) | 12,450 | 366,902 | ||||||
94,077,348 | ||||||||
Beverages — 1.1% | ||||||||
Anheuser-Busch InBev NV (Belgium) | 10,690 | 1,228,285 | ||||||
Asahi Group Holdings Ltd. (Japan) | 5,100 | 160,155 | ||||||
Brown-Forman Corp. | 10,850 | 1,021,744 | ||||||
Carlsberg A/S (Denmark) | 1,409 | 151,755 | ||||||
Coca-Cola Co. (The) | 253,600 | 10,742,496 | ||||||
Coca-Cola Enterprises, Inc. | 16,000 | 764,480 | ||||||
Constellation Brands, Inc. | 11,200 | 987,056 | ||||||
Diageo PLC (United Kingdom) | 27,439 | 873,903 | ||||||
Dr. Pepper Snapple Group, Inc. | 13,200 | 773,256 | ||||||
Kirin Holdings Co. Ltd. (Japan) | 11,000 | 158,827 | ||||||
Molson Coors Brewing Co. | 10,600 | 786,096 | ||||||
Monster Beverage Corp.* | 9,100 | 646,373 | ||||||
PepsiCo, Inc. | 102,507 | 9,157,975 | ||||||
27,452,401 | ||||||||
Biotechnology — 1.2% | ||||||||
Actelion Ltd. (Switzerland)* | 1,305 | 165,174 | ||||||
Alexion Pharmaceuticals, Inc.* | 14,100 | 2,203,125 | ||||||
Amgen, Inc. | 50,887 | 6,023,494 | ||||||
Biogen Idec, Inc.* | 16,290 | 5,136,400 | ||||||
Celgene Corp.* | 54,400 | 4,671,872 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Biotechnology (continued) | ||||||||
Gilead Sciences, Inc.* | 105,500 | $ | 8,747,005 | |||||
Regeneron Pharmaceuticals, | 5,300 | 1,497,091 | ||||||
Vertex Pharmaceuticals, Inc.* | 15,800 | 1,495,944 | ||||||
29,940,105 | ||||||||
Building Products — 0.1% | ||||||||
Allegion PLC | 6,033 | 341,950 | ||||||
Daikin Industries Ltd. (Japan) | 3,300 | 208,272 | ||||||
Geberit AG (Switzerland) | 3,209 | 1,125,697 | ||||||
LIXIL Group Corp. (Japan) | 3,500 | 94,731 | ||||||
Masco Corp. | 23,900 | 530,580 | ||||||
2,301,230 | ||||||||
Capital Markets — 1.1% | ||||||||
3i Group PLC (United Kingdom) | 147,123 | 1,011,098 | ||||||
Ameriprise Financial, Inc. | 13,820 | 1,658,400 | ||||||
Bank of New York Mellon Corp. (The) | 75,958 | 2,846,906 | ||||||
BlackRock, Inc. | 8,500 | 2,716,600 | ||||||
Charles Schwab Corp. (The) | 78,250 | 2,107,273 | ||||||
Daiwa Securities Group, Inc. (Japan) | 22,000 | 190,614 | ||||||
E*TRADE Financial Corp.* | 19,320 | 410,743 | ||||||
Franklin Resources, Inc. | 27,100 | 1,567,464 | ||||||
Goldman Sachs Group, Inc. (The) | 29,200 | 4,889,248 | ||||||
Invesco Ltd. | 29,000 | 1,094,750 | ||||||
Legg Mason, Inc. | 8,100 | 415,611 | ||||||
Macquarie Group Ltd. (Australia) | 5,405 | 304,052 | ||||||
Morgan Stanley | 93,880 | 3,035,140 | ||||||
Northern Trust Corp. | 15,000 | 963,150 | ||||||
Schroders PLC (United Kingdom) | 21,315 | 913,387 | ||||||
State Street Corp. | 28,900 | 1,943,814 | ||||||
T. Rowe Price Group, Inc. | 17,600 | 1,485,616 | ||||||
UBS AG (Switzerland)* | 3,653 | 66,976 | ||||||
27,620,842 | ||||||||
Chemicals — 1.4% | ||||||||
Air Products & Chemicals, Inc. | 14,200 | 1,826,404 | ||||||
Air Water, Inc. (Japan) | 2,000 | 32,014 | ||||||
Airgas, Inc.(a) | 4,600 | 500,986 | ||||||
Asahi Kasei Corp. (Japan) | 16,000 | 122,488 | ||||||
BASF SE (Germany) | 14,443 | 1,680,063 | ||||||
CF Industries Holdings, Inc. | 3,500 | 841,855 | ||||||
Daicel Corp. (Japan) | 111,000 | 1,061,302 | ||||||
Dow Chemical Co. (The) | 81,431 | 4,190,439 | ||||||
E.I. du Pont de Nemours & Co.(a) | 62,120 | 4,065,133 | ||||||
Eastman Chemical Co. | 10,300 | 899,705 | ||||||
Ecolab, Inc. | 18,200 | 2,026,388 | ||||||
FMC Corp. | 8,900 | 633,591 | ||||||
Hitachi Chemical Co. Ltd. (Japan) | 15,100 | 250,000 | ||||||
International Flavors & Fragrances, Inc. | 5,500 | 573,540 | ||||||
Israel Chemicals Ltd. (Israel) | 5,841 | 50,046 | ||||||
K+S AG (Germany) | 30,161 | 990,439 | ||||||
Kaneka Corp. (Japan) | 4,000 | 25,045 | ||||||
Kuraray Co. Ltd. (Japan) | 4,500 | 57,074 | ||||||
LyondellBasell Industries NV (Class A Stock) | 28,900 | 2,822,085 |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Chemicals (continued) | ||||||||
Monsanto Co. | 35,194 | $ | 4,390,100 | |||||
Mosaic Co. (The) | 22,700 | 1,122,515 | ||||||
Nippon Paint Co. Ltd. (Japan) | 2,000 | 42,347 | ||||||
Nitto Denko Corp. (Japan) | 2,100 | 98,367 | ||||||
PPG Industries, Inc. | 9,300 | 1,954,395 | ||||||
Praxair, Inc. | 19,700 | 2,616,948 | ||||||
Sherwin-Williams Co. (The) | 5,800 | 1,200,078 | ||||||
Sigma-Aldrich Corp.(a) | 8,000 | 811,840 | ||||||
Sika AG (Switzerland) | 28 | 114,397 | ||||||
Yara International ASA (Norway) | 22,944 | 1,149,472 | ||||||
36,149,056 | ||||||||
Commercial Services & Supplies — 0.2% |
| |||||||
ADT Corp. (The)(a) | 12,300 | 429,762 | ||||||
Babcock International Group PLC (United Kingdom) | 4,683 | 93,083 | ||||||
Cintas Corp. | 6,800 | 432,072 | ||||||
Dai Nippon Printing Co. Ltd. (Japan) | 7,000 | 73,136 | ||||||
Iron Mountain, Inc. | 11,485 | 407,143 | ||||||
Pitney Bowes, Inc.(a) | 13,600 | 375,632 | ||||||
Republic Services, Inc. | 18,165 | 689,725 | ||||||
Stericycle, Inc.* | 5,700 | 674,994 | ||||||
Toppan Printing Co. Ltd. (Japan) | 7,000 | 54,126 | ||||||
Tyco International Ltd. | 30,800 | 1,404,480 | ||||||
Waste Management, Inc. | 28,942 | 1,294,576 | ||||||
5,928,729 | ||||||||
Communications Equipment — 0.8% | ||||||||
Cisco Systems, Inc. | 344,700 | 8,565,795 | ||||||
F5 Networks, Inc.* | 5,100 | 568,344 | ||||||
Harris Corp. | 7,200 | 545,400 | ||||||
Juniper Networks, Inc.* | 31,700 | 777,918 | ||||||
Motorola Solutions, Inc. | 15,189 | 1,011,132 | ||||||
QUALCOMM, Inc. | 115,900 | 9,179,280 | ||||||
20,647,869 | ||||||||
Construction & Engineering — 0.2% | ||||||||
ACS Actividades de Construccion y Servicios SA (Spain) | 25,534 | 1,168,697 | ||||||
Fluor Corp. | 10,800 | 830,520 | ||||||
Hochtief AG (Germany) | 1,834 | 158,730 | ||||||
Jacobs Engineering Group, Inc.*(a) | 8,900 | 474,192 | ||||||
Leighton Holdings Ltd. (Australia)(a) | 22,174 | 411,716 | ||||||
Quanta Services, Inc.* | 15,600 | 539,448 | ||||||
Taisei Corp. (Japan) | 14,000 | 77,590 | ||||||
Vinci SA (France) | 18,575 | 1,388,644 | ||||||
5,049,537 | ||||||||
Construction Materials | ||||||||
Taiheiyo Cement Corp. (Japan) | 15,000 | 60,481 | ||||||
Vulcan Materials Co. | 8,800 | 561,000 | ||||||
621,481 | ||||||||
Consumer Finance — 0.5% | ||||||||
American Express Co. | 62,200 | 5,900,914 | ||||||
Capital One Financial Corp. | 38,361 | 3,168,619 | ||||||
Discover Financial Services | 31,540 | 1,954,849 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Consumer Finance (continued) | ||||||||
Navient Corp. | 28,700 | $ | 508,277 | |||||
11,532,659 | ||||||||
Containers & Packaging — 0.1% | ||||||||
Avery Dennison Corp. | 6,500 | 333,125 | ||||||
Ball Corp. | 9,700 | 607,996 | ||||||
Bemis Co., Inc. | 7,800 | 317,148 | ||||||
MeadWestvaco Corp. | 12,614 | 558,296 | ||||||
Owens-Illinois, Inc.* | 11,100 | 384,504 | ||||||
Sealed Air Corp. | 13,000 | 444,210 | ||||||
Toyo Seikan Group Holdings Ltd. (Japan) | 9,200 | 141,432 | ||||||
2,786,711 | ||||||||
Distributors | ||||||||
Genuine Parts Co. | 10,300 | 904,340 | ||||||
Diversified Consumer Services | ||||||||
Graham Holdings Co. | 350 | 251,339 | ||||||
H&R Block, Inc. | 19,100 | 640,232 | ||||||
891,571 | ||||||||
Diversified Financial Services — 0.9% |
| |||||||
Berkshire Hathaway, Inc. (Class B Stock)* | 120,900 | 15,301,104 | ||||||
CME Group, Inc. | 21,200 | 1,504,140 | ||||||
Industrivarden AB (Sweden) (Class C Stock) | 48,317 | 953,794 | ||||||
Intercontinental Exchange, Inc. | 7,771 | 1,467,942 | ||||||
Investment AB Kinnevik (Sweden) (Class B Stock) | 493 | 21,006 | ||||||
Investor AB (Sweden) | 32,438 | 1,215,490 | ||||||
Leucadia National Corp. | 21,000 | 550,620 | ||||||
McGraw-Hill Financial, Inc. | 18,200 | 1,511,146 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan) | 6,300 | 36,215 | ||||||
Moody’s Corp. | 12,600 | 1,104,516 | ||||||
NASDAQ OMX Group, Inc. (The)(a) | 7,600 | 293,512 | ||||||
ORIX Corp. (Japan) | 17,600 | 291,822 | ||||||
24,251,307 | ||||||||
Diversified Telecommunication Services — 1.3% |
| |||||||
AT&T, Inc. | 349,468 | 12,357,188 | ||||||
BT Group PLC (United Kingdom) | 239,700 | 1,575,076 | ||||||
CenturyLink, Inc.(a) | 38,736 | 1,402,243 | ||||||
Frontier Communications Corp. | 66,890 | 390,638 | ||||||
Nippon Telegraph & Telephone Corp. (Japan) | 21,700 | 1,352,515 | ||||||
Orange SA (France) | 25,169 | 398,232 | ||||||
Portugal Telecom SGPS SA (Portugal) | 8,371 | 30,707 | ||||||
Swisscom AG (Switzerland) | 150 | 87,131 | ||||||
Telecom Italia SpA (Italy) | 1,005,768 | 994,889 | ||||||
Telefonica SA (Spain) | 54,169 | 929,966 | ||||||
Telekom Austria AG (Austria) | 2,889 | 28,258 | ||||||
Telstra Corp. Ltd. (Australia) | 57,574 | 282,848 | ||||||
Verizon Communications, Inc. | 277,976 | 13,601,366 |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Diversified Telecommunication Services (continued) |
| |||||||
Windstream Holdings, Inc. | 41,957 | $ | 417,892 | |||||
33,848,949 | ||||||||
Electric Utilities — 1.0% | ||||||||
American Electric Power Co., Inc. | 32,660 | 1,821,448 | ||||||
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong) | 8,000 | 55,265 | ||||||
Chubu Electric Power Co., Inc. (Japan)* | 8,100 | 100,598 | ||||||
Chugoku Electric Power Co., Inc. (The) (Japan) | 3,800 | 51,781 | ||||||
Contact Energy Ltd. (New Zealand) | 3,553 | 16,502 | ||||||
Duke Energy Corp. | 47,361 | 3,513,712 | ||||||
Edison International | 21,800 | 1,266,798 | ||||||
EDP-Energias de Portugal SA (Portugal) | 226,263 | 1,135,300 | ||||||
Electricite de France (France) | 3,109 | 97,896 | ||||||
Enel SpA (Italy) | 43,554 | 253,338 | ||||||
Entergy Corp. | 12,000 | 985,080 | ||||||
Exelon Corp. | 57,413 | 2,094,426 | ||||||
FirstEnergy Corp. | 28,106 | 975,840 | ||||||
Fortum OYJ (Finland) | 43,450 | 1,166,718 | ||||||
Hokuriku Electric Power Co. (Japan) | 2,200 | 29,166 | ||||||
Kansai Electric Power Co., Inc. (The) (Japan)* | 8,900 | 83,892 | ||||||
Kyushu Electric Power Co., Inc. (Japan)* | 5,500 | 61,919 | ||||||
NextEra Energy, Inc. | 29,200 | 2,992,416 | ||||||
Northeast Utilities | 21,200 | 1,002,124 | ||||||
Pepco Holdings, Inc. | 16,800 | 461,664 | ||||||
Pinnacle West Capital Corp. | 8,100 | 468,504 | ||||||
PPL Corp. | 42,300 | 1,502,919 | ||||||
Red Electrica Corp. SA (Spain) | 1,433 | 130,994 | ||||||
Shikoku Electric Power Co., Inc. (Japan)* | 2,300 | 32,071 | ||||||
Southern Co. (The)(a) | 59,500 | 2,700,110 | ||||||
SSE PLC (United Kingdom) | 12,693 | 340,032 | ||||||
Tohoku Electric Power Co., Inc. (Japan) | 5,900 | 69,049 | ||||||
Tokyo Electric Power Co., Inc. (Japan)* | 18,900 | 78,560 | ||||||
Xcel Energy, Inc. | 33,410 | 1,076,804 | ||||||
24,564,926 | ||||||||
Electrical Equipment — 0.3% | ||||||||
AMETEK, Inc. | 16,400 | 857,392 | ||||||
Eaton Corp. PLC | 31,837 | 2,457,180 | ||||||
Emerson Electric Co. | 47,100 | 3,125,556 | ||||||
Fuji Electric Co. Ltd. (Japan) | 7,000 | 33,215 | ||||||
Mitsubishi Electric Corp. (Japan) | 26,000 | 321,171 | ||||||
Rockwell Automation, Inc. | 9,300 | 1,163,988 | ||||||
Schneider Electric SA (France) | 5,302 | 499,944 | ||||||
8,458,446 | ||||||||
Electronic Equipment, Instruments & Components — 0.3% |
| |||||||
Amphenol Corp. (Class A Stock) | 10,600 | 1,021,204 | ||||||
Citizen Holdings Co. Ltd. (Japan) | 3,400 | 26,699 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Electronic Equipment, Instruments & Components (continued) |
| |||||||
Corning, Inc. | 87,600 | $ | 1,922,820 | |||||
FLIR Systems, Inc. | 9,500 | 329,935 | ||||||
FUJIFILM Holdings Corp. (Japan) | 41,400 | 1,155,499 | ||||||
Hirose Electric Co. Ltd. (Japan) | 400 | 59,465 | ||||||
Hitachi High-Technologies Corp. (Japan) | 800 | 19,049 | ||||||
Hitachi Ltd. (Japan) | 59,000 | 432,415 | ||||||
Hoya Corp. (Japan) | 5,600 | 186,188 | ||||||
Ibiden Co. Ltd. (Japan) | 1,500 | 30,262 | ||||||
Jabil Circuit, Inc. | 13,900 | 290,510 | ||||||
Murata Manufacturing Co. Ltd. (Japan) | 2,600 | 243,830 | ||||||
Nippon Electric Glass Co. Ltd. (Japan) | 5,000 | 29,139 | ||||||
Omron Corp. (Japan) | 2,700 | 113,858 | ||||||
TDK Corp. (Japan) | 1,600 | 75,121 | ||||||
TE Connectivity Ltd. (Switzerland) | 27,500 | 1,700,600 | ||||||
7,636,594 | ||||||||
Energy Equipment & Services — 1.0% |
| |||||||
Baker Hughes, Inc. | 31,298 | 2,330,136 | ||||||
Cameron International Corp.* | 13,700 | 927,627 | ||||||
Diamond Offshore Drilling, Inc.(a) | 4,700 | 233,261 | ||||||
Ensco PLC (Class A Stock)(a) | 15,700 | 872,449 | ||||||
FMC Technologies, Inc.* | 15,800 | 964,906 | ||||||
Halliburton Co. | 57,000 | 4,047,570 | ||||||
Helmerich & Payne, Inc. | 7,500 | 870,825 | ||||||
Nabors Industries Ltd. | 17,500 | 513,975 | ||||||
National Oilwell Varco, Inc.(a) | 28,700 | 2,363,445 | ||||||
Noble Corp. PLC(a) | 17,100 | 573,876 | ||||||
Rowan Cos. PLC (Class A Stock) | 9,600 | 306,528 | ||||||
Schlumberger Ltd. | 87,518 | 10,322,748 | ||||||
Transocean Ltd.(a) | 22,800 | 1,026,684 | ||||||
Transocean Ltd. (SWX) | 4,638 | 208,377 | ||||||
25,562,407 | ||||||||
Food & Staples Retailing — 1.2% | ||||||||
Carrefour SA (France) | 8,121 | 299,455 | ||||||
Casino Guichard Perrachon SA (France) | 8,392 | 1,112,613 | ||||||
Costco Wholesale Corp. | 29,500 | 3,397,220 | ||||||
CVS Caremark Corp. | 79,148 | 5,965,385 | ||||||
Delhaize Group SA (Belgium) | 5,235 | 354,238 | ||||||
Distribuidora Internacional de Alimentacion SA (Spain) | 8,206 | 75,530 | ||||||
J. Sainsbury PLC (United Kingdom) | 183,115 | 988,441 | ||||||
Koninklijke Ahold NV (Netherlands) | 57,286 | 1,074,175 | ||||||
Kroger Co. (The) | 34,646 | 1,712,552 | ||||||
Lawson, Inc. (Japan) | 900 | 67,552 | ||||||
Safeway, Inc. | 15,500 | 532,270 | ||||||
Sysco Corp. | 39,200 | 1,468,040 | ||||||
Wal-Mart Stores, Inc. | 108,300 | 8,130,081 | ||||||
Walgreen Co. | 58,500 | 4,336,605 | ||||||
Wesfarmers Ltd. (Australia) | 2,730 | 107,730 | ||||||
Whole Foods Market, Inc. | 24,900 | 961,887 | ||||||
WM Morrison Supermarkets PLC (United Kingdom) | 80,057 | 251,079 |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Food & Staples Retailing (continued) |
| |||||||
Woolworths Ltd. (Australia) | 16,158 | $ | 536,552 | |||||
31,371,405 | ||||||||
Food Products — 1.1% | ||||||||
Archer-Daniels-Midland Co. | 44,126 | 1,946,398 | ||||||
Campbell Soup Co.(a) | 12,000 | 549,720 | ||||||
ConAgra Foods, Inc. | 28,200 | 836,976 | ||||||
General Mills, Inc. | 41,800 | 2,196,172 | ||||||
Golden Agri-Resources Ltd. (Singapore) | 1,842,000 | 821,511 | ||||||
Hershey Co. (The) | 10,100 | 983,437 | ||||||
Hormel Foods Corp. | 8,900 | 439,215 | ||||||
J.M. Smucker Co. (The) | 7,000 | 745,990 | ||||||
Kellogg Co. | 17,200 | 1,130,040 | ||||||
Keurig Green Mountain, Inc. | 8,700 | 1,084,107 | ||||||
Kraft Foods Group, Inc. | 39,917 | 2,393,024 | ||||||
Lindt & Spruengli AG (Switzerland) | 1 | 61,773 | ||||||
McCormick & Co., Inc. | 8,800 | 629,992 | ||||||
Mead Johnson Nutrition Co. | 13,567 | 1,264,037 | ||||||
Mondelez International, Inc. | 113,853 | 4,282,011 | ||||||
Nestle SA (Switzerland) | 32,707 | 2,534,366 | ||||||
NH Foods Ltd. (Japan) | 36,000 | 702,870 | ||||||
Toyo Suisan Kaisha Ltd. (Japan) | 1,000 | 30,825 | ||||||
Tyson Foods, Inc. (Class A Stock) | 18,000 | 675,720 | ||||||
Unilever NV (Netherlands) | 42,274 | 1,850,463 | ||||||
Unilever PLC (United Kingdom) | 38,520 | 1,746,083 | ||||||
Wilmar International Ltd. (Singapore) | 384,000 | 982,986 | ||||||
27,887,716 | ||||||||
Gas Utilities | ||||||||
AGL Resources, Inc. | 8,939 | 491,913 | ||||||
Enagas SA (Spain) | 2,467 | 79,410 | ||||||
Gas Natural SDG SA (Spain) | 4,607 | 145,550 | ||||||
Snam SpA (Italy) | 26,639 | 160,445 | ||||||
877,318 | ||||||||
Health Care Equipment & Supplies — 1.0% |
| |||||||
Abbott Laboratories | 103,300 | 4,224,970 | ||||||
Baxter International, Inc. | 36,400 | 2,631,720 | ||||||
Becton, Dickinson & Co. | 13,000 | 1,537,900 | ||||||
Boston Scientific Corp.* | 97,067 | 1,239,546 | ||||||
C.R. Bard, Inc. | 5,200 | 743,652 | ||||||
CareFusion Corp.* | 13,975 | 619,791 | ||||||
Coloplast A/S (Denmark) (Class B Stock) | 11,908 | 1,077,497 | ||||||
Covidien PLC | 30,200 | 2,723,436 | ||||||
DENTSPLY International, Inc. | 9,500 | 449,825 | ||||||
Edwards Lifesciences Corp.* | 7,200 | 618,048 | ||||||
Intuitive Surgical, Inc.* | 2,600 | 1,070,680 | ||||||
Medtronic, Inc. | 67,000 | 4,271,920 | ||||||
Smith & Nephew PLC | 11,592 | 205,154 | ||||||
St. Jude Medical, Inc. | 19,000 | 1,315,750 | ||||||
Stryker Corp. | 19,800 | 1,669,536 | ||||||
Varian Medical Systems, Inc.* | 7,000 | 581,980 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Health Care Equipment & Supplies (continued) |
| |||||||
Zimmer Holdings, Inc. | 11,400 | $ | 1,184,004 | |||||
26,165,409 | ||||||||
Health Care Providers & Services — 1.0% |
| |||||||
Aetna, Inc. | 24,269 | 1,967,731 | ||||||
Alfresa Holdings Corp. (Japan) | 4,400 | 283,680 | ||||||
AmerisourceBergen Corp. | 15,400 | 1,118,964 | ||||||
Cardinal Health, Inc. | 22,950 | 1,573,452 | ||||||
Cigna Corp. | 19,400 | 1,784,218 | ||||||
DaVita HealthCare Partners, Inc.* | 11,900 | 860,608 | ||||||
Express Scripts Holding Co.* | 51,949 | 3,601,624 | ||||||
Fresenius SE & Co. KGaA (Germany) | 3,304 | 492,744 | ||||||
Humana, Inc. | 10,400 | 1,328,288 | ||||||
Laboratory Corp. of America Holdings* | 5,800 | 593,920 | ||||||
McKesson Corp. | 15,430 | 2,873,220 | ||||||
Medipal Holdings Corp. (Japan) | 64,500 | 914,469 | ||||||
Patterson Cos., Inc.(a) | 6,500 | 256,815 | ||||||
Quest Diagnostics, Inc.(a) | 9,700 | 569,293 | ||||||
Sonic Healthcare Ltd. (Australia) | 4,980 | 81,464 | ||||||
Suzuken Co. Ltd. (Japan) | 900 | 33,526 | ||||||
Tenet Healthcare Corp.* | 6,850 | 321,539 | ||||||
UnitedHealth Group, Inc. | 66,200 | 5,411,850 | ||||||
WellPoint, Inc. | 18,900 | 2,033,829 | ||||||
26,101,234 | ||||||||
Health Care Technology | ||||||||
Cerner Corp.* | 19,800 | 1,021,284 | ||||||
Hotels, Restaurants & Leisure — 0.8% |
| |||||||
Accor SA (France) | 2,301 | 119,596 | ||||||
Carnival Corp. | 29,400 | 1,106,910 | ||||||
Chipotle Mexican Grill, Inc.* | 2,150 | 1,273,896 | ||||||
Darden Restaurants, Inc.(a) | 8,850 | 409,489 | ||||||
Marriott International, Inc. (Class A Stock)(a) | 14,828 | 950,475 | ||||||
McDonald’s Corp. | 66,300 | 6,679,062 | ||||||
Oriental Land Co. Ltd. (Japan) | 700 | 119,971 | ||||||
Sands China Ltd. (Hong Kong) | 32,800 | 247,564 | ||||||
Starbucks Corp. | 50,600 | 3,915,428 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 12,900 | 1,042,578 | ||||||
TUI Travel PLC (United Kingdom) | 122,959 | 837,034 | ||||||
Whitbread PLC (United Kingdom) | 767 | 57,863 | ||||||
Wyndham Worldwide Corp. | 9,620 | 728,426 | ||||||
Wynn Resorts Ltd. | 5,500 | 1,141,580 | ||||||
Yum! Brands, Inc. | 29,700 | 2,411,640 | ||||||
21,041,512 | ||||||||
Household Durables — 0.3% | ||||||||
D.R. Horton, Inc.(a) | 19,100 | 469,478 | ||||||
Electrolux AB (Sweden) | 1,057 | 26,675 | ||||||
Garmin Ltd.(a) | 8,900 | 542,010 | ||||||
Harman International Industries, Inc. | 4,600 | 494,178 | ||||||
Iida Group Holdings Co. Ltd. (Japan) | 1,900 | 28,877 |
SEE NOTES TO FINANCIAL STATEMENTS.
A5
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Household Durables (continued) | ||||||||
Leggett & Platt, Inc. | 9,300 | $ | 318,804 | |||||
Lennar Corp. (Class A Stock)(a) | 11,800 | 495,364 | ||||||
Mohawk Industries, Inc.* | 4,100 | 567,194 | ||||||
Newell Rubbermaid, Inc. | 18,714 | 579,947 | ||||||
Panasonic Corp. (Japan) | 116,600 | 1,413,432 | ||||||
Persimmon PLC (United Kingdom)* | 21,281 | 463,491 | ||||||
Persimmon PLC (United Kingdom) B/C Share* | 21,281 | 25,494 | ||||||
PulteGroup, Inc. | 23,022 | 464,124 | ||||||
Sekisui Chemical Co. Ltd. (Japan) | 72,000 | 834,740 | ||||||
Sekisui House Ltd. (Japan) | 7,300 | 100,174 | ||||||
Sony Corp. (Japan) | 13,900 | 232,276 | ||||||
Whirlpool Corp. | 5,226 | 727,564 | ||||||
7,783,822 | ||||||||
Household Products — 0.9% | ||||||||
Clorox Co. (The)(a) | 8,700 | 795,180 | ||||||
Colgate-Palmolive Co. | 58,500 | 3,988,530 | ||||||
Henkel AG & Co. KGaA (Germany) | 10,525 | 1,058,454 | ||||||
Kimberly-Clark Corp. | 25,400 | 2,824,988 | ||||||
Procter & Gamble Co. (The) | 182,425 | 14,336,781 | ||||||
Reckitt Benckiser Group PLC (United Kingdom) | 3,426 | 298,729 | ||||||
23,302,662 | ||||||||
Independent Power & Renewable Electricity Producers — 0.1% |
| |||||||
AES Corp. | 45,100 | 701,305 | ||||||
Electric Power Development Co. Ltd. (Japan) | 1,500 | 48,676 | ||||||
NRG Energy, Inc. | 21,800 | 810,960 | ||||||
1,560,941 | ||||||||
Industrial Conglomerates — 1.2% | ||||||||
3M Co. | 42,200 | 6,044,728 | ||||||
Danaher Corp. | 40,200 | 3,164,946 | ||||||
General Electric Co. | 678,400 | 17,828,352 | ||||||
Hopewell Holdings Ltd. (Hong Kong) | 77,500 | 270,009 | ||||||
Hutchison Whampoa Ltd. (Hong Kong) | 97,000 | 1,326,627 | ||||||
NWS Holdings Ltd. (Hong Kong) | 240,000 | 445,293 | ||||||
Roper Industries, Inc. | 6,700 | 978,267 | ||||||
Siemens AG (Germany) | 2,536 | 334,838 | ||||||
30,393,060 | ||||||||
Insurance — 1.6% | ||||||||
ACE Ltd. | 22,600 | 2,343,620 | ||||||
Aegon NV (Netherlands) | 18,604 | 162,291 | ||||||
Aflac, Inc. | 30,500 | 1,898,625 | ||||||
Ageas (Belgium) | 2,947 | 117,530 | ||||||
Allianz SE (Germany) | 1,767 | 294,937 | ||||||
Allstate Corp. (The) | 30,000 | 1,761,600 | ||||||
American International Group, Inc. | 100,039 | 5,460,129 | ||||||
Aon PLC | 20,200 | 1,819,818 | ||||||
Assurant, Inc. | 5,500 | 360,525 | ||||||
AXA SA (France) | 31,478 | 752,115 | ||||||
Baloise Holding AG (Switzerland) | 2,725 | 320,860 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Insurance (continued) | ||||||||
Chubb Corp. (The) | 16,500 | $ | 1,520,805 | |||||
Cincinnati Financial Corp. | 9,937 | 477,373 | ||||||
Genworth Financial, Inc. | 37,200 | 647,280 | ||||||
Hartford Financial Services Group, Inc. (The) | 29,900 | 1,070,719 | ||||||
Insurance Australia Group Ltd. (Australia) | 193,272 | 1,064,535 | ||||||
Legal & General Group PLC | 78,171 | 301,152 | ||||||
Lincoln National Corp. | 17,718 | 911,414 | ||||||
Loews Corp. | 20,575 | 905,506 | ||||||
Marsh & McLennan Cos., Inc. | 36,700 | 1,901,794 | ||||||
MetLife, Inc. | 75,200 | 4,178,112 | ||||||
Muenchener Rueckversicherungs AG (Germany) | 6,376 | 1,411,955 | ||||||
Old Mutual PLC (United Kingdom) | 55,922 | 188,985 | ||||||
Principal Financial Group, Inc. | 18,400 | 928,832 | ||||||
Progressive Corp. (The) | 36,700 | 930,712 | ||||||
Prudential PLC (United Kingdom) | 70,983 | 1,626,315 | ||||||
Sampo OYJ (Finland) | 23,370 | 1,181,410 | ||||||
Swiss Life Holding AG (Switzerland)* | 4,193 | 993,916 | ||||||
Swiss Re AG (Switzerland)* | 14,868 | 1,322,021 | ||||||
Torchmark Corp. | 5,950 | 487,424 | ||||||
Travelers Cos., Inc. (The) | 23,635 | 2,223,344 | ||||||
UnipolSai SpA (Italy) | 290,604 | 933,539 | ||||||
Unum Group | 17,410 | 605,172 | ||||||
XL Group PLC (Ireland) | 18,500 | 605,505 | ||||||
Zurich Insurance Group AG (Switzerland)* | 182 | 54,816 | ||||||
41,764,686 | ||||||||
Internet & Catalog Retail — 0.6% | ||||||||
Amazon.com, Inc.* | 24,900 | 8,087,022 | ||||||
Expedia, Inc. | 6,850 | 539,506 | ||||||
Netflix, Inc.* | 4,100 | 1,806,460 | ||||||
Priceline Group, Inc. (The)* | 3,550 | 4,270,650 | ||||||
TripAdvisor, Inc.*(a) | 7,450 | 809,517 | ||||||
15,513,155 | ||||||||
Internet Software & Services — 1.5% | ||||||||
Akamai Technologies, Inc.* | 12,000 | 732,720 | ||||||
eBay, Inc.* | 78,000 | 3,904,680 | ||||||
Facebook, Inc. (Class A Stock)* | 117,400 | 7,899,846 | ||||||
Google, Inc. (Class A Stock)* | 19,140 | 11,190,584 | ||||||
Google, Inc. (Class C Stock)* | 19,090 | 10,982,095 | ||||||
VeriSign, Inc.*(a) | 8,500 | 414,885 | ||||||
Yahoo!, Inc.* | 62,900 | 2,209,677 | ||||||
37,334,487 | ||||||||
IT Services — 1.6% | ||||||||
Accenture PLC (Class A Stock) | 42,700 | 3,451,868 | ||||||
Alliance Data Systems Corp.*(a) | 3,600 | 1,012,500 | ||||||
Amadeus IT Holding SA (Spain) (Class A Stock) | 17,857 | 736,125 | ||||||
Automatic Data Processing, Inc. | 32,300 | 2,560,744 | ||||||
Cap Gemini SA (France) | 1,919 | 136,947 |
SEE NOTES TO FINANCIAL STATEMENTS.
A6
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
IT Services (continued) | ||||||||
Cognizant Technology Solutions Corp. (Class A Stock)* | 40,700 | $ | 1,990,637 | |||||
Computer Sciences Corp. | 9,800 | 619,360 | ||||||
Computershare Ltd. (Australia) | 6,178 | 72,716 | ||||||
Fidelity National Information Services, Inc. | 19,500 | 1,067,430 | ||||||
Fiserv, Inc.* | 17,100 | 1,031,472 | ||||||
Fujitsu Ltd. (Japan) | 40,000 | 299,714 | ||||||
International Business Machines Corp. | 65,800 | 11,927,566 | ||||||
MasterCard, Inc. (Class A Stock) | 68,300 | 5,018,001 | ||||||
Paychex, Inc.(a) | 21,700 | 901,852 | ||||||
Teradata Corp.*(a) | 11,400 | 458,280 | ||||||
Total System Services, Inc. | 12,096 | 379,935 | ||||||
Visa, Inc. (Class A Stock) | 34,000 | 7,164,140 | ||||||
Western Union Co. (The)(a) | 36,710 | 636,551 | ||||||
Xerox Corp. | 74,563 | 927,564 | ||||||
40,393,402 | ||||||||
Leisure Products — 0.1% | ||||||||
Bandai Namco Holdings, Inc. (Japan) | 2,300 | 53,925 | ||||||
Hasbro, Inc. | 7,800 | 413,790 | ||||||
Mattel, Inc. | 22,851 | 890,503 | ||||||
Shimano, Inc. (Japan) | 1,000 | 110,966 | ||||||
1,469,184 | ||||||||
Life Sciences Tools & Services — 0.2% |
| |||||||
Agilent Technologies, Inc. | 22,314 | 1,281,716 | ||||||
PerkinElmer, Inc. | 7,600 | 355,984 | ||||||
Thermo Fisher Scientific, Inc. | 26,300 | 3,103,400 | ||||||
Waters Corp.* | 5,700 | 595,308 | ||||||
5,336,408 | ||||||||
Machinery — 0.9% | ||||||||
Alfa Laval AB (Sweden) | 21,871 | 563,179 | ||||||
Amada Co. Ltd. (Japan) | 64,000 | 651,898 | ||||||
Atlas Copco AB (Sweden) | 5,174 | 138,070 | ||||||
Caterpillar, Inc. | 42,700 | 4,640,209 | ||||||
Cummins, Inc. | 11,700 | 1,805,193 | ||||||
Deere & Co. | 24,800 | 2,245,640 | ||||||
Dover Corp. | 11,400 | 1,036,830 | ||||||
FANUC Corp. (Japan) | 1,100 | 189,957 | ||||||
Flowserve Corp. | 9,300 | 691,455 | ||||||
Hitachi Construction Machinery Co. Ltd. (Japan) | 1,400 | 27,944 | ||||||
IHI Corp. (Japan) | 17,000 | 79,244 | ||||||
Illinois Tool Works, Inc. | 27,200 | 2,381,632 | ||||||
Ingersoll-Rand PLC | 17,400 | 1,087,674 | ||||||
Joy Global, Inc.(a) | 6,600 | 406,428 | ||||||
Komatsu Ltd. (Japan) | 12,300 | 285,523 | ||||||
Mitsubishi Heavy Industries Ltd. (Japan) | 40,000 | 249,836 | ||||||
NSK Ltd. (Japan) | 35,000 | 455,467 | ||||||
PACCAR, Inc. | 23,743 | 1,491,773 | ||||||
Pall Corp. | 7,400 | 631,886 | ||||||
Parker Hannifin Corp. | 10,065 | 1,265,473 | ||||||
Pentair Ltd. (United Kingdom) | 13,277 | 957,537 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Machinery (continued) | ||||||||
Snap-on, Inc. | 4,300 | $ | 509,636 | |||||
Stanley Black & Decker, Inc. | 10,497 | 921,847 | ||||||
THK Co. Ltd. (Japan) | 1,500 | 35,363 | ||||||
Xylem, Inc. | 12,400 | 484,592 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. (China) | 25,000 | 21,659 | ||||||
23,255,945 | ||||||||
Marine — 0.1% | ||||||||
A.P. Moeller – Maersk A/S (Denmark) (Class A Stock) | 35 | 82,375 | ||||||
A.P. Moeller – Maersk A/S (Denmark) (Class B Stock) | 455 | 1,131,259 | ||||||
Mitsui OSK Lines Ltd. (Japan) | 14,000 | 52,157 | ||||||
Nippon Yusen K.K. (Japan) | 70,000 | 201,921 | ||||||
1,467,712 | ||||||||
Media — 1.7% | ||||||||
Cablevision Systems Corp. | 14,900 | 262,985 | ||||||
CBS Corp. (Class B Stock) | 36,934 | 2,295,079 | ||||||
Comcast Corp. (Class A Stock) | 175,490 | 9,420,303 | ||||||
Dentsu, Inc. (Japan) | 2,900 | 118,102 | ||||||
DIRECTV* | 31,800 | 2,703,318 | ||||||
Discovery Communications, Inc. (Class A Stock)* | 14,900 | 1,106,772 | ||||||
Gannett Co., Inc. | 15,300 | 479,043 | ||||||
Interpublic Group of Cos., Inc. (The) | 28,431 | 554,689 | ||||||
ITV PLC (United Kingdom) | 359,879 | 1,096,708 | ||||||
JCDecaux SA (France) | 4,696 | 175,389 | ||||||
News Corp. (Class A Stock)* | 35,775 | 641,804 | ||||||
Omnicom Group, Inc. | 17,300 | 1,232,106 | ||||||
REA Group Ltd. (Australia) | 20,633 | 831,308 | ||||||
RTL Group SA (Germany) | 504 | 55,942 | ||||||
Scripps Networks Interactive, Inc. (Class A Stock) | 7,400 | 600,436 | ||||||
Time Warner Cable, Inc. | 18,614 | 2,741,842 | ||||||
Time Warner, Inc. | 59,766 | 4,198,561 | ||||||
Twenty-First Century Fox, Inc. (Class A Stock) | 129,900 | 4,565,985 | ||||||
Viacom, Inc. (Class B Stock) | 26,734 | 2,318,640 | ||||||
Walt Disney Co. (The) | 109,100 | 9,354,234 | ||||||
44,753,246 | ||||||||
Metals & Mining — 0.6% | ||||||||
Alcoa, Inc. | 78,440 | 1,167,972 | ||||||
Allegheny Technologies, Inc.(a) | 7,700 | 347,270 | ||||||
Anglo American PLC (United Kingdom) | 3,215 | 78,794 | ||||||
ArcelorMittal (Luxembourg) | 60,194 | 897,382 | ||||||
BHP Billiton Ltd. (Australia) | 69,956 | 2,385,830 | ||||||
BHP Billiton PLC (United Kingdom) | 56,068 | 1,822,706 | ||||||
Fortescue Metals Group Ltd. (Australia) | 20,363 | 84,102 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | 69,488 | 2,536,312 | ||||||
JFE Holdings, Inc. (Japan) | 6,300 | 130,311 |
SEE NOTES TO FINANCIAL STATEMENTS.
A7
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Metals & Mining (continued) | ||||||||
Kobe Steel Ltd. (Japan) | 40,000 | $ | 60,158 | |||||
Maruichi Steel Tube Ltd. (Japan) | 700 | 18,800 | ||||||
Mitsubishi Materials Corp. (Japan) | 15,000 | 52,623 | ||||||
Newmont Mining Corp. | 33,400 | 849,696 | ||||||
Nippon Steel & Sumitomo Metal Corp. (Japan) | 102,000 | 326,758 | ||||||
Nucor Corp. | 21,400 | 1,053,950 | ||||||
Rio Tinto PLC (United Kingdom) | 1,416 | 76,455 | ||||||
Sumitomo Metal Mining Co. Ltd. (Japan) | 72,000 | 1,175,181 | ||||||
United States Steel Corp.(a) | 10,700 | 278,628 | ||||||
Voestalpine AG (Austria) | 19,171 | 913,942 | ||||||
14,256,870 | ||||||||
Multiline Retail — 0.4% | ||||||||
Dollar General Corp.* | 20,300 | 1,164,408 | ||||||
Dollar Tree, Inc.* | 14,000 | 762,440 | ||||||
Family Dollar Stores, Inc. | 6,400 | 423,296 | ||||||
Kohl’s Corp. | 13,500 | 711,180 | ||||||
Macy’s, Inc. | 24,674 | 1,431,586 | ||||||
Next PLC (United Kingdom) | 10,464 | 1,158,391 | ||||||
Nordstrom, Inc. | 9,600 | 652,128 | ||||||
Takashimaya Co. Ltd. (Japan) | 97,000 | 942,116 | ||||||
Target Corp.(a) | 42,300 | 2,451,285 | ||||||
9,696,830 | ||||||||
Multi-Utilities — 0.7% | ||||||||
Ameren Corp. | 16,300 | 666,344 | ||||||
CenterPoint Energy, Inc. | 28,700 | 732,998 | ||||||
Centrica PLC (United Kingdom) | 65,912 | 352,207 | ||||||
CMS Energy Corp. | 17,900 | 557,585 | ||||||
Consolidated Edison, Inc.(a) | 19,600 | 1,131,704 | ||||||
Dominion Resources, Inc. | 38,932 | 2,784,417 | ||||||
DTE Energy Co. | 11,900 | 926,653 | ||||||
GDF Suez (France) | 48,421 | 1,334,074 | ||||||
Integrys Energy Group, Inc. | 5,420 | 385,525 | ||||||
National Grid PLC (United Kingdom) | 111,241 | 1,601,507 | ||||||
NiSource, Inc. | 21,100 | 830,074 | ||||||
PG&E Corp. | 30,700 | 1,474,214 | ||||||
Public Service Enterprise Group, Inc. | 33,900 | 1,382,781 | ||||||
SCANA Corp. | 10,500 | 565,005 | ||||||
Sempra Energy | 15,219 | 1,593,581 | ||||||
TECO Energy, Inc.(a) | 14,800 | 273,504 | ||||||
Wisconsin Energy Corp.(a) | 15,200 | 713,184 | ||||||
17,305,357 | ||||||||
Oil, Gas & Consumable Fuels — 4.5% |
| |||||||
Anadarko Petroleum Corp. | 33,754 | 3,695,050 | ||||||
Apache Corp. | 26,414 | 2,657,777 | ||||||
BG Group PLC (United Kingdom) | 1,251 | 26,398 | ||||||
BP PLC (United Kingdom) | 367,497 | 3,236,134 | ||||||
Cabot Oil & Gas Corp. | 28,300 | 966,162 | ||||||
Chesapeake Energy Corp.(a) | 33,900 | 1,053,612 | ||||||
Chevron Corp. | 128,222 | 16,739,382 | ||||||
Cimarex Energy Co. | 4,700 | 674,262 | ||||||
ConocoPhillips | 84,077 | 7,207,921 | ||||||
CONSOL Energy, Inc. | 15,400 | 709,478 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
Delek Group Ltd. (Israel) | 1,515 | $ | 626,679 | |||||
Denbury Resources, Inc.(a) | 23,900 | 441,194 | ||||||
Devon Energy Corp. | 25,700 | 2,040,580 | ||||||
Eni SpA (Italy) | 27,519 | 752,636 | ||||||
EOG Resources, Inc. | 37,900 | 4,428,994 | ||||||
EQT Corp. | 10,500 | 1,122,450 | ||||||
Exxon Mobil Corp. | 291,899 | 29,388,391 | ||||||
Hess Corp. | 18,300 | 1,809,687 | ||||||
Idemitsu Kosan Co. Ltd. (Japan) | 1,100 | 23,886 | ||||||
Inpex Corp. (Japan) | 7,600 | 115,613 | ||||||
Kinder Morgan, Inc. | 44,898 | 1,628,002 | ||||||
Marathon Oil Corp. | 46,682 | 1,863,545 | ||||||
Marathon Petroleum Corp. | 19,741 | 1,541,180 | ||||||
Murphy Oil Corp. | 11,600 | 771,168 | ||||||
Neste Oil OYJ (Finland) | 2,497 | 48,723 | ||||||
Newfield Exploration Co.* | 10,200 | 450,840 | ||||||
Noble Energy, Inc. | 24,100 | 1,866,786 | ||||||
Occidental Petroleum Corp. | 53,200 | 5,459,916 | ||||||
OMV AG (Austria) | 19,632 | 886,875 | ||||||
ONEOK, Inc. | 14,000 | 953,120 | ||||||
Peabody Energy Corp.(a) | 18,200 | 297,570 | ||||||
Phillips 66 | 40,338 | 3,244,385 | ||||||
Pioneer Natural Resources Co. | 9,750 | 2,240,648 | ||||||
QEP Resources, Inc. | 13,000 | 448,500 | ||||||
Range Resources Corp. | 11,000 | 956,450 | ||||||
Repsol SA (Spain) | 5,575 | 146,994 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | 42,657 | 1,762,695 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | 31,817 | 1,382,763 | ||||||
Showa Shell Sekiyu K.K. (Japan) | 2,500 | 28,418 | ||||||
Southwestern Energy Co.* | 23,700 | 1,078,113 | ||||||
Spectra Energy Corp. | 44,862 | 1,905,738 | ||||||
Statoil ASA (Norway) | 35,810 | 1,100,758 | ||||||
Tesoro Corp. | 8,900 | 522,163 | ||||||
Total SA (France) | 42,578 | 3,080,506 | ||||||
Valero Energy Corp. | 35,700 | 1,788,570 | ||||||
Williams Cos., Inc. (The) | 45,800 | 2,666,018 | ||||||
Woodside Petroleum Ltd. (Australia) | 6,959 | 269,811 | ||||||
116,106,541 | ||||||||
Paper & Forest Products — 0.1% | ||||||||
International Paper Co. | 29,373 | 1,482,455 | ||||||
Oji Holdings Corp. (Japan) | 11,000 | 45,265 | ||||||
UPM-Kymmene OYJ (Finland) | 6,863 | 117,231 | ||||||
1,644,951 | ||||||||
Personal Products — 0.1% | ||||||||
Avon Products, Inc. | 29,100 | 425,151 | ||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 17,200 | 1,277,272 | ||||||
1,702,423 | ||||||||
Pharmaceuticals — 3.4% | ||||||||
AbbVie, Inc. | 106,300 | 5,999,572 | ||||||
Actavis PLC*(a) | 12,200 | 2,721,210 | ||||||
Allergan, Inc. | 20,400 | 3,452,088 | ||||||
AstraZeneca PLC (United Kingdom) | 16,563 | 1,232,242 |
SEE NOTES TO FINANCIAL STATEMENTS.
A8
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Pharmaceuticals (continued) | ||||||||
Bayer AG (Germany) | 4,359 | $ | 614,938 | |||||
Bristol-Myers Squibb Co. | 113,470 | 5,504,430 | ||||||
Daiichi Sankyo Co. Ltd. (Japan) | 9,000 | 168,226 | ||||||
Eli Lilly & Co. | 66,000 | 4,103,220 | ||||||
Forest Laboratories, Inc.* | 16,000 | 1,584,000 | ||||||
GlaxoSmithKline PLC (United Kingdom) | 74,302 | 1,978,295 | ||||||
Hospira, Inc.*(a) | 11,160 | 573,289 | ||||||
Johnson & Johnson | 191,348 | 20,018,828 | ||||||
Merck & Co., Inc. | 197,933 | 11,450,424 | ||||||
Merck KGaA (Germany) | 7,644 | 662,863 | ||||||
Mylan, Inc.*(a) | 24,900 | 1,283,844 | ||||||
Novartis AG (Switzerland) | 41,040 | 3,716,516 | ||||||
Novo Nordisk A/S (Denmark) | 6,199 | 286,102 | ||||||
Orion OYJ (Finland) | 1,148 | 42,789 | ||||||
Otsuka Holdings Co. Ltd. (Japan) | 36,700 | 1,138,072 | ||||||
Perrigo Co. PLC | 9,000 | 1,311,840 | ||||||
Pfizer, Inc. | 434,170 | 12,886,165 | ||||||
Roche Holding AG (Switzerland) | 12,043 | 3,588,295 | ||||||
Sanofi (France) | 10,170 | 1,080,965 | ||||||
Shionogi & Co. Ltd. (Japan) | 3,900 | 81,458 | ||||||
Shire PLC (Ireland) | 13,613 | 1,067,840 | ||||||
Teva Pharmaceutical Industries Ltd. (Israel) | 12,775 | 671,109 | ||||||
Zoetis, Inc. | 33,500 | 1,081,045 | ||||||
88,299,665 | ||||||||
Professional Services — 0.2% | ||||||||
Adecco SA (Switzerland)* | 2,236 | 184,009 | ||||||
Capita PLC (United Kingdom) | 57,289 | 1,122,359 | ||||||
Dun & Bradstreet Corp. (The) | 2,900 | 319,580 | ||||||
Equifax, Inc. | 8,200 | 594,828 | ||||||
Nielsen Holdings NV | 20,300 | 982,723 | ||||||
Robert Half International, Inc. | 9,200 | 439,208 | ||||||
Seek Ltd. (Australia) | 20,017 | 299,337 | ||||||
3,942,044 | ||||||||
Real Estate Investment Trusts (REITs) — 1.2% |
| |||||||
American Tower Corp. | 26,500 | 2,384,470 | ||||||
Apartment Investment & Management Co. | 10,833 | 349,581 | ||||||
AvalonBay Communities, Inc. | 8,175 | 1,162,403 | ||||||
Boston Properties, Inc. | 10,300 | 1,217,254 | ||||||
British Land Co. PLC (United Kingdom) | 12,560 | 150,915 | ||||||
CapitaCommercial Trust (Singapore) | 49,000 | 66,925 | ||||||
Crown Castle International Corp. | 22,400 | 1,663,424 | ||||||
Dexus Property Group (Australia) | 610,649 | 639,120 | ||||||
Equity Residential(a) | 22,500 | 1,417,500 | ||||||
Essex Property Trust, Inc. | 4,300 | 795,113 | ||||||
Federation Centres Ltd. (Australia) | 177,578 | 416,741 | ||||||
Gecina SA (France) | 293 | 42,691 | ||||||
General Growth Properties, Inc. | 36,600 | 862,296 | ||||||
GPT Group (The) (Australia) | 22,669 | 82,098 | ||||||
Hammerson PLC (United Kingdom) | 65,264 | 647,597 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Real Estate Investment Trusts (REITs) (continued) |
| |||||||
HCP, Inc. | 30,600 | $ | 1,266,228 | |||||
Health Care REIT, Inc. | 20,500 | 1,284,735 | ||||||
Host Hotels & Resorts, Inc.(a) | 50,682 | 1,115,511 | ||||||
Intu Properties PLC (United Kingdom) | 118,784 | 633,600 | ||||||
Kimco Realty Corp. | 27,500 | 631,950 | ||||||
Land Securities Group PLC (United Kingdom) | 10,189 | 180,543 | ||||||
Link REIT (The) (Hong Kong) | 205,000 | 1,103,673 | ||||||
Macerich Co. (The) | 9,500 | 634,125 | ||||||
Plum Creek Timber Co., Inc. | 12,700 | 572,770 | ||||||
Prologis, Inc. | 33,477 | 1,375,570 | ||||||
Public Storage | 9,700 | 1,662,095 | ||||||
Simon Property Group, Inc. | 21,043 | 3,499,030 | ||||||
Unibail-Rodamco SE (France) | 1,277 | 371,620 | ||||||
Ventas, Inc. | 19,718 | 1,263,924 | ||||||
Vornado Realty Trust | 11,725 | 1,251,409 | ||||||
Weyerhaeuser Co.(a) | 39,198 | 1,297,062 | ||||||
30,041,973 | ||||||||
Real Estate Management & Development — 0.1% |
| |||||||
CBRE Group, Inc. | 19,700 | 631,188 | ||||||
Cheung Kong Holdings Ltd. | 41,000 | 727,408 | ||||||
Daiwa House Industry Co. Ltd. (Japan) | 8,000 | 165,845 | ||||||
Deutsche Wohnen AG (Germany) | 32,276 | 695,246 | ||||||
Henderson Land Development Co. Ltd. (Hong Kong) | 15,400 | 90,130 | ||||||
Hysan Development Co. Ltd. | 183,000 | 857,105 | ||||||
Sino Land Co. Ltd. (Hong Kong) | 36,000 | 59,260 | ||||||
Wheelock & Co. Ltd. (Hong Kong) | 12,000 | 50,095 | ||||||
3,276,277 | ||||||||
Road & Rail — 0.5% | ||||||||
Aurizon Holdings Ltd. (Australia) | 26,271 | 123,363 | ||||||
ComfortDelGro Corp. Ltd. (Singapore) | 26,000 | 52,139 | ||||||
CSX Corp. | 67,500 | 2,079,675 | ||||||
Kansas City Southern | 7,400 | 795,574 | ||||||
MTR Corp. Ltd. (Hong Kong) | 18,500 | 71,246 | ||||||
Norfolk Southern Corp. | 20,800 | 2,143,024 | ||||||
Ryder System, Inc. | 3,900 | 343,551 | ||||||
Union Pacific Corp. | 60,900 | 6,074,775 | ||||||
11,683,347 | ||||||||
Semiconductors & Semiconductor Equipment — 1.1% |
| |||||||
Altera Corp. | 21,300 | 740,388 | ||||||
Analog Devices, Inc. | 21,000 | 1,135,470 | ||||||
Applied Materials, Inc. | 81,100 | 1,828,805 | ||||||
Avago Technologies Ltd. (Singapore) | 16,800 | 1,210,776 | ||||||
Broadcom Corp. (Class A Stock) | 36,950 | 1,371,584 | ||||||
First Solar, Inc.*(a) | 5,100 | 362,406 | ||||||
Infineon Technologies AG (Germany) | 87,288 | 1,089,629 | ||||||
Intel Corp. | 338,700 | 10,465,830 | ||||||
KLA-Tencor Corp. | 11,400 | 828,096 |
SEE NOTES TO FINANCIAL STATEMENTS.
A9
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Semiconductors & Semiconductor Equipment (continued) |
| |||||||
Lam Research Corp. | 10,950 | $ | 740,001 | |||||
Linear Technology Corp. | 15,800 | 743,706 | ||||||
Microchip Technology, Inc.(a) | 13,400 | 654,054 | ||||||
Micron Technology, Inc.* | 71,000 | 2,339,450 | ||||||
NVIDIA Corp. | 37,150 | 688,761 | ||||||
Rohm Co. Ltd. (Japan) | 4,600 | 263,833 | ||||||
Texas Instruments, Inc. | 75,600 | 3,612,924 | ||||||
Xilinx, Inc. | 17,900 | 846,849 | ||||||
28,922,562 | ||||||||
Software — 1.6% | ||||||||
Adobe Systems, Inc.* | 31,100 | 2,250,396 | ||||||
Autodesk, Inc.* | 15,300 | 862,614 | ||||||
CA, Inc. | 22,664 | 651,363 | ||||||
Citrix Systems, Inc.*(a) | 11,000 | 688,050 | ||||||
Dassault Systemes SA (France) | 707 | 90,907 | ||||||
Electronic Arts, Inc.*(a) | 20,800 | 746,096 | ||||||
Intuit, Inc. | 19,000 | 1,530,070 | ||||||
Microsoft Corp. | 510,400 | 21,283,680 | ||||||
Oracle Corp. | 234,800 | 9,516,444 | ||||||
Red Hat, Inc.* | 12,700 | 701,929 | ||||||
salesforce.com, inc.*(a) | 37,600 | 2,183,808 | ||||||
SAP SE (Germany) | 367 | 28,279 | ||||||
Symantec Corp. | 46,278 | 1,059,766 | ||||||
41,593,402 | ||||||||
Specialty Retail — 0.9% | ||||||||
AutoNation, Inc.* | 3,874 | 231,200 | ||||||
AutoZone, Inc.*(a) | 2,350 | 1,260,164 | ||||||
Bed Bath & Beyond, Inc.*(a) | 14,300 | 820,534 | ||||||
Best Buy Co., Inc. | 19,325 | 599,268 | ||||||
CarMax, Inc.*(a) | 15,000 | 780,150 | ||||||
GameStop Corp. | 7,800 | 315,666 | ||||||
Gap, Inc. (The) | 18,700 | 777,359 | ||||||
Home Depot, Inc. (The) | 94,250 | 7,630,480 | ||||||
L Brands, Inc. | 16,406 | 962,376 | ||||||
Lowe’s Cos., Inc. | 70,000 | 3,359,300 | ||||||
O’Reilly Automotive, Inc.*(a) | 7,200 | 1,084,320 | ||||||
PetSmart, Inc.(a) | 7,000 | 418,600 | ||||||
Ross Stores, Inc. | 14,400 | 952,272 | ||||||
Staples, Inc. | 43,549 | 472,071 | ||||||
Tiffany & Co. | 7,400 | 741,850 | ||||||
TJX Cos., Inc. (The) | 47,600 | 2,529,940 | ||||||
Tractor Supply Co. | 9,000 | 543,600 | ||||||
Urban Outfitters, Inc.* | 6,900 | 233,634 | ||||||
USS Co. Ltd. (Japan) | 4,100 | 69,980 | ||||||
Yamada Denki Co. Ltd. (Japan) | 11,700 | 41,708 | ||||||
23,824,472 | ||||||||
Technology Hardware, Storage & Peripherals — 2.1% |
| |||||||
Apple, Inc. | 409,640 | 38,067,845 | ||||||
Brother Industries Ltd. (Japan) | 38,400 | 665,761 | ||||||
Canon, Inc. (Japan) | 15,000 | 490,230 | ||||||
EMC Corp. | 136,950 | 3,607,263 | ||||||
Hewlett-Packard Co. | 126,848 | 4,272,241 | ||||||
Konica Minolta, Inc. (Japan) | 6,500 | 64,247 | ||||||
NEC Corp. (Japan) | 33,000 | 105,320 | ||||||
NetApp, Inc. | 22,200 | 810,744 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Technology Hardware, Storage & Peripherals (continued) |
| |||||||
Ricoh Co. Ltd. (Japan) | 25,000 | $ | 297,966 | |||||
SanDisk Corp.(a) | 15,100 | 1,576,893 | ||||||
Seagate Technology PLC(a) | 22,000 | 1,250,040 | ||||||
Seiko Epson Corp. (Japan) | 29,400 | 1,250,799 | ||||||
Western Digital Corp. | 14,100 | 1,301,430 | ||||||
53,760,779 | ||||||||
Textiles, Apparel & Luxury Goods — 0.4% |
| |||||||
Christian Dior SA (France) | 371 | 73,865 | ||||||
Cie Financiere Richemont SA (Switzerland) | 486 | 50,928 | ||||||
Coach, Inc. | 18,600 | 635,934 | ||||||
Fossil Group, Inc.* | 3,000 | 313,560 | ||||||
Michael Kors Holdings Ltd.* | 12,100 | 1,072,665 | ||||||
NIKE, Inc. (Class B Stock) | 49,800 | 3,861,990 | ||||||
Pandora A/S (Denmark) | 13,699 | 1,051,313 | ||||||
PVH Corp. | 5,500 | 641,300 | ||||||
Ralph Lauren Corp. | 4,000 | 642,760 | ||||||
Swatch Group AG (The) (Switzerland) | 660 | 73,221 | ||||||
Under Armour, Inc. | 10,600 | 630,594 | ||||||
VF Corp. | 23,600 | 1,486,800 | ||||||
Yue Yuen Industrial Holdings Ltd. (Hong Kong) | 7,500 | 25,094 | ||||||
10,560,024 | ||||||||
Thrifts & Mortgage Finance | ||||||||
Hudson City Bancorp, Inc. | 34,300 | 337,169 | ||||||
People’s United Financial, Inc.(a) | 20,800 | 315,536 | ||||||
652,705 | ||||||||
Tobacco — 0.8% | ||||||||
Altria Group, Inc.(a) | 133,400 | 5,594,796 | ||||||
British American Tobacco PLC (United Kingdom) | 23,582 | 1,403,175 | ||||||
Japan Tobacco, Inc. (Japan) | 40,800 | 1,487,654 | ||||||
Lorillard, Inc. | 24,241 | 1,477,974 | ||||||
Philip Morris International, Inc. | 106,700 | 8,995,877 | ||||||
Reynolds American, Inc. | 20,900 | 1,261,315 | ||||||
20,220,791 | ||||||||
Trading Companies & Distributors — 0.2% |
| |||||||
Bunzl PLC (United Kingdom) | 827 | 22,959 | ||||||
Fastenal Co.(a) | 18,300 | 905,667 | ||||||
ITOCHU Corp. (Japan) | 20,100 | 258,040 | ||||||
Marubeni Corp. (Japan) | 22,000 | 161,018 | ||||||
Mitsubishi Corp. (Japan) | 50,700 | 1,055,291 | ||||||
Mitsui & Co. Ltd. (Japan) | 23,200 | 371,934 | ||||||
Sojitz Corp. (Japan) | 462,000 | 817,015 | ||||||
Sumitomo Corp. (Japan) | 66,700 | 899,993 | ||||||
Travis Perkins PLC (United Kingdom) | 13,400 | 375,270 | ||||||
W.W. Grainger, Inc.(a) | 4,100 | 1,042,507 | ||||||
5,909,694 | ||||||||
Transportation Infrastructure | ||||||||
Groupe Eurotunnel SA (France) | 2,830 | 38,287 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A10
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
KDDI Corp. (Japan) | 23,700 | $ | 1,446,022 | |||||
Millicom International Cellular SA (Luxembourg) SDR | 865 | 79,180 | ||||||
SoftBank Corp. (Japan) | 1,300 | 96,880 | ||||||
Vodafone Group PLC (United Kingdom) | 356,945 | 1,193,004 | ||||||
2,815,086 | ||||||||
TOTAL COMMON STOCKS | 1,356,740,397 | |||||||
EXCHANGE TRADED FUND — 0.1% | ||||||||
iShares MSCI EAFE Index Fund(a) | 35,050 | 2,396,369 | ||||||
PREFERRED STOCKS | Shares | Value (Note 2) | ||||||
Automobiles | ||||||||
Bayerische Motoren Werke AG (Germany) (PRFC) | 697 | $ | 66,733 | |||||
Volkswagen AG (Germany) (PRFC) | 2,134 | 558,930 | ||||||
625,663 | ||||||||
Banking | ||||||||
Citigroup Capital XIII 7.875%, | 20,000 | 554,000 | ||||||
TOTAL PREFERRED STOCKS | 1,179,663 | |||||||
ASSET-BACKED SECURITIES — 2.0% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Collateralized Debt Obligation | ||||||||||||||
Cent CDO XI Ltd. (Cayman Islands), Series 2006-11A, Class A1, 144A | 0.489% | (b) | 04/25/19 | 404 | $ | 398,769 | ||||||||
Collateralized Loan Obligations — 1.3% | ||||||||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 1.408% | (b) | 04/20/25 | 2,100 | 2,074,144 | |||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A | 3.360% | 04/20/25 | 250 | 240,931 | ||||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.417% | (b) | 07/13/25 | 2,400 | 2,370,462 | |||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A | 1.766% | (b) | 04/28/26 | 400 | 400,188 | |||||||||
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A | 1.426% | (b) | 07/15/24 | 1,000 | 987,923 | |||||||||
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.376% | (b) | 04/17/25 | 2,200 | 2,170,377 | |||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 1.755% | (b) | 04/20/26 | 1,650 | 1,649,779 | |||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A2, 144A | 2.005% | (b) | 04/20/26 | 500 | 488,568 | |||||||||
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A | 0.478% | (b) | 07/22/20 | 340 | 338,202 | |||||||||
Fraser Sullivan CLO I Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A | 0.701% | (b) | 03/15/20 | 1,000 | 984,610 | |||||||||
ING IM CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.366% | (b) | 04/15/24 | 1,500 | 1,477,631 | |||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 1.819% | (b) | 05/15/26 | 250 | 249,807 | |||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-2A, Class B, 144A | 2.377% | (b) | 04/15/26 | 750 | 742,875 | |||||||||
Lafayette CLO I Ltd. (Cayman Islands), Series 2012-1A, Class A, 144A | 1.630% | (b) | 09/06/22 | 32 | 32,212 | |||||||||
Magnetite VI Ltd. (Cayman Islands), Series 2012-6A, Class A, 144A | 1.731% | (b) | 09/15/23 | 300 | 300,136 | |||||||||
Magnetite VIII Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A | 1.708% | (b) | 04/15/26 | 1,750 | 1,749,441 | |||||||||
Magnetite VIII Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A | 1.700% | (b) | 07/25/26 | 3,000 | 2,998,470 | |||||||||
Marine Park CLO Ltd. (Cayman Islands), Series 2012-1A, Class A1A, 144A | 1.696% | (b) | 05/18/23 | 1,100 | 1,099,446 | |||||||||
Mayport CLO Ltd. (Cayman Islands), Series 2006-1A, Class A1L, 144A | 0.478% | (b) | 02/22/20 | 51 | 51,150 | |||||||||
OCP CLO Ltd. (Cayman Islands), Series 2012-2A, Class A2, 144A | 1.708% | (b) | 11/22/23 | 1,000 | 999,868 | |||||||||
OHA Intrepid Leveraged Loan Fund Ltd. (Cayman Islands), Series 2011-1AR, Class AR, 144A | 1.148% | (b) | 04/20/21 | 1,233 | 1,226,292 | |||||||||
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A | 1.378% | (b) | 07/22/25 | 1,000 | 985,738 | |||||||||
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A | 1.704% | (b) | 07/17/26 | 500 | 499,796 | |||||||||
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A | 4.350% | 07/17/26 | 500 | 501,938 | ||||||||||
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.276% | (b) | 04/15/25 | 2,600 | 2,551,995 | |||||||||
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A | 2.876% | (b) | 08/17/22 | 500 | 501,647 | |||||||||
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A | 2.928% | (b) | 10/20/23 | 900 | 894,010 | |||||||||
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.346% | (b) | 07/15/25 | 2,200 | 2,166,077 | |||||||||
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 1.726% | (b) | 04/20/26 | 1,300 | 1,300,496 | |||||||||
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A | 4.250% | 04/20/26 | 500 | 501,969 | ||||||||||
32,536,178 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A11
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Non-Residential Mortgage-Backed Securities — 0.4% | ||||||||||||||
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A | 0.952% | (b) | 05/15/20 | 2,700 | $ | 2,718,722 | ||||||||
Ford Credit Auto Owner Trust, Series 2014-1, Class A, 144A | 2.260% | 11/15/25 | 1,500 | 1,513,449 | ||||||||||
GE Capital Credit Card Master Note Trust, Series 2012-4, Class B | 1.002% | (b) | 06/15/18 | 4,500 | 4,507,614 | |||||||||
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A | 2.000% | 09/20/29 | 1,112 | 1,115,487 | ||||||||||
9,855,272 | ||||||||||||||
Residential Mortgage-Backed Securities — 0.3% | ||||||||||||||
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1 | 1.802% | (b) | 03/25/33 | 355 | 335,081 | |||||||||
Countrywide Asset-Backed Certificates, Series 2004-1, Class M1 | 0.902% | (b) | 03/25/34 | 3,010 | 2,871,117 | |||||||||
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3 | 4.279% | 07/25/35 | 375 | 357,883 | ||||||||||
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | 5.076% | 07/25/34 | 485 | 461,581 | ||||||||||
Fremont Home Loan Trust, Series 2004-2, Class M1, | 1.007% | (b) | 07/25/34 | 506 | 451,750 | |||||||||
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1, | 0.947% | (b) | 06/25/34 | 713 | 674,417 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1, | 1.352% | (b) | 05/25/33 | 174 | 162,939 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1, | 1.202% | (b) | 12/25/33 | 996 | 959,804 | |||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1 | 1.052% | (b) | 07/25/32 | 449 | 428,154 | |||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1 | 1.427% | (b) | 09/25/32 | 644 | 632,481 | |||||||||
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1 | 0.917% | (b) | 02/25/34 | 1,056 | 989,728 | |||||||||
8,324,935 | ||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 51,115,154 | ||||||||||||
BANK LOANS(b) — 0.2% | ||||||||||||||
Automotive | ||||||||||||||
Schaeffler AG (Germany) | 3.750% | 05/31/20 | 600 | 601,500 | ||||||||||
Cable | ||||||||||||||
Virgin Media Investment Holdings Ltd. (United Kingdom) | 3.500% | 06/07/20 | 1,000 | 996,000 | ||||||||||
Foods — 0.1% | ||||||||||||||
ARAMARK Corp. | 3.250% | 09/09/19 | 449 | 446,280 | ||||||||||
Big Heart Pet Brands, Inc. | 3.500% | 03/09/20 | 772 | 773,503 | ||||||||||
1,219,783 | ||||||||||||||
Healthcare & Pharmaceutical | ||||||||||||||
Grifols Worldwide Operations USA, Inc. | 3.234% | 02/26/21 | 249 | 248,939 | ||||||||||
RPI Finance Trust | 3.250% | 11/09/18 | 882 | 882,710 | ||||||||||
Universal Health Services, Inc. | 1.661% | 08/15/16 | 84 | 84,145 | ||||||||||
1,215,794 | ||||||||||||||
Technology — 0.1% | ||||||||||||||
Avago Technologies Finance Pte Ltd. | 3.750% | 05/06/21 | 825 | 827,646 | ||||||||||
First Data Corp. | 4.231% | 03/26/18 | 1,055 | 1,056,307 | ||||||||||
Trans Union LLC | 4.000% | 04/09/21 | 399 | 398,800 | ||||||||||
2,282,753 | ||||||||||||||
TOTAL BANK LOANS |
| 6,315,830 | ||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.6% | ||||||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3 | 5.369% | 10/10/45 | 3,400 | 3,479,264 | ||||||||||
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A | 5.730% | (b) | 04/10/49 | 3,032 | 3,309,421 | |||||||||
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 | 5.898% | (b) | 12/10/49 | 800 | 883,742 | |||||||||
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 | 2.815% | 04/10/46 | 900 | 875,048 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 | 3.575% | 05/10/47 | 2,090 | 2,133,161 | ||||||||||
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4 | 5.223% | 08/15/48 | 979 | 1,045,103 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2012-CR3, Class A2 | 1.765% | 10/15/45 | 2,600 | 2,614,789 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 1,000 | 959,137 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3 | 2.929% | 03/10/46 | 1,400 | 1,380,641 |
SEE NOTES TO FINANCIAL STATEMENTS.
A12
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2013-CR9, Class A3 | 4.022% | 07/10/45 | 1,100 | $ | 1,171,232 | |||||||||
Commercial Mortgage Pass-Through Certificates, Series 2013-CR12, Class A3 | 3.765% | 10/10/46 | 1,000 | 1,041,655 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class A2 | 2.928% | 02/10/47 | 2,000 | 2,076,694 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR18, Class A4 | 3.550% | 07/15/47 | 2,100 | 2,139,009 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS3, Class A2 | 2.844% | 06/10/47 | 1,700 | 1,750,198 | ||||||||||
Commercial Mortgage Trust, Series 2005-GG5, Class A5 | 5.224% | (b) | 04/10/37 | 1,400 | 1,450,407 | |||||||||
Commercial Mortgage Trust, Series 2007-GG9, Class A2 | 5.381% | 03/10/39 | 1,829 | 1,858,887 | ||||||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class A4, | 5.609% | (b) | 02/15/39 | 2,810 | 2,966,938 | |||||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM | 5.643% | (b) | 02/15/39 | 530 | 564,357 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C2, Class A4 | 4.832% | 04/15/37 | 900 | 919,398 | ||||||||||
Federal National Mortgage Assoc., Series 2014-M2, Class A2 | 3.513% | (b) | 12/25/23 | 1,925 | 2,028,228 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K017, Class A2 | 2.873% | 12/25/21 | 3,500 | 3,596,152 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class A2 | 2.373% | 05/25/22 | 1,000 | 987,293 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O | 1.606% | (b) | 05/25/22 | 21,150 | 1,941,047 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O | 1.643% | (b) | 06/25/22 | 5,847 | 558,148 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2 | 3.320% | (b) | 02/25/23 | 5,300 | 5,529,866 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2 | 3.531% | (b) | 07/25/23 | 1,800 | 1,901,273 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O | 1.863% | (b) | 08/25/16 | 6,035 | 151,580 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O | 1.911% | (b) | 05/25/19 | 16,808 | 1,240,831 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O | 1.831% | (b) | 07/25/19 | 17,391 | 1,254,694 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP1, Class ASB | 4.853% | (b) | 03/15/46 | 137 | 136,942 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP2, Class A3 | 4.697% | 07/15/42 | 153 | 154,372 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP2, Class AM | 4.780% | 07/15/42 | 1,000 | 1,031,907 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP2, Class ASB | 4.659% | 07/15/42 | 551 | 554,628 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM | 4.999% | (b) | 10/15/42 | 1,170 | 1,221,735 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class ASB | 5.523% | 05/12/45 | 803 | 830,404 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A2 | 5.976% | (b) | 06/15/49 | 230 | 229,375 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3 | 3.139% | 06/15/45 | 1,800 | 1,872,232 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4 | 2.611% | 12/15/47 | 1,500 | 1,441,209 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 | 2.875% | 12/15/47 | 3,200 | 3,150,608 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2 | 3.070% | 12/15/46 | 1,700 | 1,773,930 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 1,100 | 1,055,881 |
SEE NOTES TO FINANCIAL STATEMENTS.
A13
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5 | 4.739% | 07/15/30 | 600 | $ | 613,908 | |||||||||
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM | 5.263% | (b) | 11/15/40 | 1,390 | 1,467,398 | |||||||||
Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM | 5.862% | (b) | 05/12/39 | 780 | 837,785 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2006-1, Class AM | 5.701% | (b) | 02/12/39 | 440 | 468,659 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2006-2, Class A4 | 6.066% | (b) | 06/12/46 | 2,203 | 2,370,903 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A2, | 5.331% | 03/12/51 | 1,805 | 1,809,290 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | 2.863% | 12/15/48 | 1,200 | 1,172,777 | ||||||||||
Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4 | 5.829% | (b) | 10/15/42 | 2,195 | 2,316,130 | |||||||||
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB | 5.444% | 02/12/44 | 2,203 | 2,243,873 | ||||||||||
Morgan Stanley Capital I Trust, Series 2007-T27, Class AAB | 5.831% | (b) | 06/11/42 | 297 | 298,741 | |||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | 2.792% | 12/10/45 | 1,400 | 1,369,448 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | 2.920% | 03/10/46 | 3,200 | 3,147,370 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | 2.971% | 04/10/46 | 1,500 | 1,478,189 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4, | 5.904% | (b) | 05/15/43 | 3,455 | 3,665,534 | |||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A | 5.608% | (b) | 05/15/46 | 4,226 | 4,654,925 | |||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 93,176,346 | ||||||||||||
CORPORATE BONDS — 8.0% | ||||||||||||||
Airlines — 0.1% | ||||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A | 6.648% | 09/15/17 | 104 | 110,281 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, | 6.703% | 06/15/21 | 126 | 137,148 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, | 7.250% | 11/10/19 | 580 | 679,185 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, | 4.750% | 01/12/21 | 632 | 684,649 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, | 4.000% | 10/29/24 | 394 | 401,384 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, | 6.821% | 08/10/22 | 325 | 383,857 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, | 4.950% | 05/23/19 | 504 | 549,301 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, | 5.300% | 04/15/19 | 823 | 907,164 | ||||||||||
3,852,969 | ||||||||||||||
Automotive — 0.1% | ||||||||||||||
Cummins, Inc., Sr. Unsec’d. Notes | 4.875% | 10/01/43 | 70 | 76,727 | ||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | 4.207% | 04/15/16 | 1,890 | 1,994,714 | ||||||||||
General Motors Co., Sr. Unsec’d. Notes, 144A | 6.250% | 10/02/43 | 1,065 | 1,222,087 | ||||||||||
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A | 2.700% | 03/15/17 | 380 | 393,010 | ||||||||||
Johnson Controls, Inc., Sr. Unsec’d. Notes | 5.500% | 01/15/16 | 235 | 251,399 | ||||||||||
3,937,937 | ||||||||||||||
Banking — 2.4% | ||||||||||||||
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A | 3.875% | 09/20/22 | 530 | 533,220 | ||||||||||
Bank of America Corp., Series K, Jr. Sub. Notes | 8.000% | (b) | 12/29/49 | 2,100 | 2,324,185 | |||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 5.700% | 01/24/22 | 1,290 | 1,496,894 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 6.000% | 09/01/17 | 1,330 | 1,502,549 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 3.300% | 01/11/23 | 360 | 354,836 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN(a) | 4.000% | 04/01/24 | 745 | 760,296 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.125% | 01/22/24 | 2,740 | 2,824,921 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.500% | 04/01/15 | 185 | 190,518 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 5.650% | 05/01/18 | 105 | 119,021 | ||||||||||
Bank of America NA, Sub. Notes | 5.300% | 03/15/17 | 850 | 934,860 | ||||||||||
Bank of America NA, Sub. Notes | 6.000% | 10/15/36 | 805 | 976,332 |
SEE NOTES TO FINANCIAL STATEMENTS.
A14
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Banking (continued) | ||||||||||||||
Bank of Nova Scotia (Canada), Covered Bonds, 144A | 1.650% | 10/29/15 | 1,265 | $ | 1,285,354 | |||||||||
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes | 5.300% | 10/30/15 | 550 | 582,999 | ||||||||||
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes | 6.400% | 10/02/17 | 270 | 311,291 | ||||||||||
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes | 7.250% | 02/01/18 | 1,135 | 1,350,735 | ||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 3.750% | 04/24/24 | 2,170 | 2,202,520 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes(a) | 3.875% | 10/25/23 | 1,730 | 1,771,970 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes(a) | 4.500% | 01/14/22 | 1,125 | 1,222,877 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 6.875% | 03/05/38 | 36 | 47,862 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes(a) | 8.125% | 07/15/39 | 850 | 1,275,832 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.500% | 05/22/19 | 1,195 | 1,527,438 | ||||||||||
Citigroup, Inc., Sub. Notes | 6.125% | 08/25/36 | 725 | 830,269 | ||||||||||
Discover Bank, Sr. Unsec’d. Notes | 4.250% | 03/13/26 | 595 | 618,009 | ||||||||||
Discover Bank, Sub. Notes | 7.000% | 04/15/20 | 485 | 582,564 | ||||||||||
Discover Financial Services, Sr. Unsec’d. Notes | 3.850% | 11/21/22 | 900 | 916,321 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.250% | 07/27/21 | 2,305 | 2,588,361 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.750% | 01/24/22 | 1,250 | 1,446,480 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 02/01/41 | 220 | 268,379 | ||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes(a) | 6.750% | 10/01/37 | 1,100 | 1,323,337 | ||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 5.625% | 01/15/17 | 765 | 841,913 | ||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 4.875% | 01/14/22 | 1,230 | 1,380,358 | ||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 5.100% | 04/05/21 | 920 | 1,045,377 | ||||||||||
Huntington Bancshares, Inc., Sub. Notes | 7.000% | 12/15/20 | 150 | 181,923 | ||||||||||
Intesa Sanpaolo SpA (Italy), Bank Gtd. Notes | 3.125% | 01/15/16 | 1,145 | 1,176,950 | ||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes | 7.900% | (b) | 04/29/49 | 2,000 | 2,235,000 | |||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 4.250% | 10/15/20 | 1,660 | 1,800,823 | ||||||||||
JPMorgan Chase & Co., Sub. Notes | 5.625% | 08/16/43 | 185 | 209,121 | ||||||||||
Lloyds Bank PLC (United Kingdom), Bank Gtd. Notes, MTN, 144A | 5.800% | 01/13/20 | 1,770 | 2,054,795 | ||||||||||
Morgan Stanley, Jr. Sub. Notes | 5.450% | (b) | 12/31/49 | 640 | 651,674 | |||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 6.375% | 07/24/42 | 640 | 812,060 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.450% | 01/09/17 | 1,530 | 1,685,440 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN(a) | 5.500% | 07/28/21 | 1,535 | 1,763,449 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.625% | 09/23/19 | 2,110 | 2,426,941 | ||||||||||
Morgan Stanley, Sr. Unsec’d Notes, MTN | 6.625% | 04/01/18 | 100 | 116,897 | ||||||||||
MUFG Capital Finance 1 Ltd. (Japan), Bank Gtd. Notes | 6.346% | (b) | 07/29/49 | 800 | 868,000 | |||||||||
Northern Trust Corp., Sub. Notes | 3.950% | 10/30/25 | 750 | 779,451 | ||||||||||
People’s United Financial, Inc., Sr. Unsec’d. Notes | 3.650% | 12/06/22 | 1,195 | 1,197,864 | ||||||||||
PNC Bank NA, Sub. Notes | 3.800% | 07/25/23 | 480 | 497,156 | ||||||||||
PNC Funding Corp., Bank Gtd. Notes | 6.700% | 06/10/19 | 390 | 471,760 | ||||||||||
Santander Holdings USA, Inc., Sr. Unsec’d. Notes | 3.000% | 09/24/15 | 780 | 801,166 | ||||||||||
Sumitomo Mitsui Banking Corp. (Japan), Bank Gtd. Notes | 2.450% | 01/10/19 | 925 | 945,922 | ||||||||||
US Bancorp, Sub. Notes, MTN | 2.950% | 07/15/22 | 915 | 901,071 | ||||||||||
Westpac Banking Corp. (Australia), 144A(a) | 2.000% | 05/21/19 | 4,740 | 4,737,919 | ||||||||||
61,753,260 | ||||||||||||||
Brokerage — 0.1% | ||||||||||||||
Jefferies Group LLC, Sr. Unsec’d. Notes | 6.500% | 01/20/43 | 465 | 512,931 | ||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(e) | 5.250% | 02/06/12 | 1,850 | 365,375 | ||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(e) | 6.875% | 05/02/18 | 700 | 140,000 | ||||||||||
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN | 2.000% | 09/13/16 | 680 | 691,098 | ||||||||||
1,709,404 | ||||||||||||||
Building Materials & Construction | ||||||||||||||
D.R. Horton, Inc., Gtd. Notes | 3.625% | 02/15/18 | 375 | 383,906 | ||||||||||
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A | 5.250% | 06/27/29 | 530 | 527,615 | ||||||||||
911,521 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A15
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
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 | 900 | $ | 1,047,375 | |||||||||
Comcast Cable Holdings LLC, Gtd. Notes | 9.875% | 06/15/22 | 1,440 | 1,983,204 | ||||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | 3.500% | 03/01/16 | 605 | 631,315 | ||||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | 3.550% | 03/15/15 | 165 | 168,540 | ||||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | 5.150% | 03/15/42 | 520 | 546,069 | ||||||||||
Time Warner Cable, Inc., Gtd. Notes | 5.850% | 05/01/17 | 1,240 | 1,394,589 | ||||||||||
Videotron Ltd. (Canada), Gtd. Notes(a) | 5.000% | 07/15/22 | 850 | 873,375 | ||||||||||
6,644,467 | ||||||||||||||
Capital Goods — 0.3% | ||||||||||||||
Actuant Corp., Gtd. Notes | 5.625% | 06/15/22 | 1,040 | 1,092,000 | ||||||||||
Case New Holland Industrial, Inc., Gtd. Notes | 7.875% | 12/01/17 | 1,100 | 1,281,500 | ||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 6.375% | 10/15/17 | 1,198 | 1,377,877 | ||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 7.000% | 10/15/37 | 390 | 511,037 | ||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.125% | 10/09/42 | 180 | 177,777 | ||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.500% | 03/11/44 | 260 | 270,904 | ||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A (original cost $319,875; purchased 07/10/12)(c)(d) | 2.500% | 07/11/14 | 320 | 320,142 | ||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A | 3.125% | 05/11/15 | 420 | 429,137 | ||||||||||
Xylem, Inc., Sr. Unsec’d. Notes | 4.875% | 10/01/21 | 1,060 | 1,152,782 | ||||||||||
6,613,156 | ||||||||||||||
Chemicals — 0.1% | ||||||||||||||
CF Industries, Inc., Gtd. Notes | 5.375% | 03/15/44 | 445 | 477,148 | ||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 9.400% | 05/15/39 | 35 | 57,352 | ||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes, | 5.000% | 04/15/19 | 800 | 902,381 | ||||||||||
Monsanto Co., Sr. Unsec’d Notes | 3.375% | 07/15/24 | 110 | 110,727 | ||||||||||
Monsanto Co., Sr. Unsec’d Notes | 4.200% | 07/15/34 | 150 | 151,391 | ||||||||||
Monsanto Co., Sr. Unsec’d Notes | 4.400% | 07/15/44 | 180 | 180,395 | ||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.450% | 11/15/33 | 265 | 296,942 | ||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.625% | 11/15/43 | 860 | 979,988 | ||||||||||
Union Carbide Corp., Sr. Unsec’d. Notes | 7.500% | 06/01/25 | 500 | 636,344 | ||||||||||
3,792,668 | ||||||||||||||
Consumer — 0.1% | ||||||||||||||
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes | 6.250% | 04/15/18 | 1,600 | 1,817,893 | ||||||||||
Electric — 0.5% | ||||||||||||||
Arizona Public Service Co., Sr. Unsec’d. Notes | 6.250% | 08/01/16 | 170 | 188,911 | ||||||||||
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | 6.350% | 10/01/36 | 530 | 683,681 | ||||||||||
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes | 6.500% | 09/15/37 | 315 | 406,206 | ||||||||||
Calpine Corp., Sr. Sec’d. Notes, 144A(a) | 7.500% | 02/15/21 | 741 | 803,985 | ||||||||||
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge., Series K2 | 6.950% | 03/15/33 | 300 | 409,457 | ||||||||||
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series 09-C | 5.500% | 12/01/39 | 145 | 171,991 | ||||||||||
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes, 144A | 4.800% | 11/01/43 | 45 | 47,872 | ||||||||||
Duke Energy Carolinas LLC, First Mtge. Bonds | 6.050% | 04/15/38 | 530 | 680,812 | ||||||||||
El Paso Electric Co., Sr. Unsec’d. Notes | 6.000% | 05/15/35 | 845 | 993,788 | ||||||||||
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes | 8.625% | 08/01/15 | 1,160 | 1,242,114 | ||||||||||
Exelon Corp., Sr. Unsec’d. Notes | 4.900% | 06/15/15 | 195 | 202,710 | ||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes(a) | 6.250% | 10/01/39 | 1,375 | 1,613,268 | ||||||||||
FirstEnergy Transmission LLC, Sr. Unsec’d Notes, 144A | 5.450% | 07/15/44 | 265 | 268,496 | ||||||||||
Florida Power & Light Co., First Mtge. Bonds | 5.950% | 10/01/33 | 380 | 478,792 | ||||||||||
Iberdrola International BV (Spain), Gtd. Notes | 6.750% | 09/15/33 | 140 | 160,039 | ||||||||||
Niagara Mohawk Power Corp. (United Kingdom), Sr. Unsec’d. Notes, 144A | 4.881% | 08/15/19 | 545 | 609,490 | ||||||||||
Northeast Utilities, Sr. Unsec’d. Notes | 4.500% | 11/15/19 | 605 | 665,121 | ||||||||||
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes | 6.375% | 01/15/15 | 465 | 479,134 | ||||||||||
Public Service Co. of New Mexico, Sr. Unsec’d. Notes | 7.950% | 05/15/18 | 135 | 162,082 |
SEE NOTES TO FINANCIAL STATEMENTS.
A16
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Electric (continued) | ||||||||||||||
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN | 5.800% | 05/01/37 | 515 | $ | 639,577 | |||||||||
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A | 2.750% | 05/07/19 | 500 | 504,066 | ||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 4.800% | 09/15/41 | 480 | 516,649 | ||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 5.613% | 04/01/17 | 263 | 291,211 | ||||||||||
12,219,452 | ||||||||||||||
Energy – Integrated | ||||||||||||||
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A | 5.400% | 02/14/22 | 650 | 701,843 | ||||||||||
Energy – Other — 0.2% | ||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.450% | 09/15/36 | 305 | 388,950 | ||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.950% | 06/15/19 | 225 | 275,366 | ||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 7.936% | (f) | 10/10/36 | 1,000 | 386,702 | |||||||||
Nabors Industries, Inc., Gtd. Notes(a) | 4.625% | 09/15/21 | 890 | 964,036 | ||||||||||
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A | 5.375% | 01/26/19 | 350 | 364,875 | ||||||||||
Phillips 66, Gtd. Notes | 2.950% | 05/01/17 | 415 | 434,933 | ||||||||||
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | 6.875% | 05/01/18 | 1,450 | 1,713,497 | ||||||||||
Transocean, Inc., Gtd. Notes | 2.500% | 10/15/17 | 755 | 771,000 | ||||||||||
Weatherford International Ltd., Gtd. Notes | 5.125% | 09/15/20 | 685 | 767,223 | ||||||||||
6,066,582 | ||||||||||||||
Foods — 0.2% | ||||||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes | 8.000% | 11/15/39 | 1,160 | 1,749,195 | ||||||||||
Bunge Ltd. Finance Corp., Gtd. Notes | 8.500% | 06/15/19 | 860 | 1,080,696 | ||||||||||
Delhaize Group SA (Belgium), Gtd. Notes | 6.500% | 06/15/17 | 460 | 518,706 | ||||||||||
Tyson Foods, Inc., Gtd. Notes | 6.600% | 04/01/16 | 785 | 859,864 | ||||||||||
4,208,461 | ||||||||||||||
Healthcare & Pharmaceutical — 0.3% | ||||||||||||||
Actavis Funding SCS, Gtd. Notes, 144A | 4.850% | 06/15/44 | 445 | 449,205 | ||||||||||
Actavis, Inc., Sr. Unsec’d. Notes | 6.125% | 08/15/19 | 440 | 516,886 | ||||||||||
Amgen, Inc., Sr. Unsec’d. Notes | 5.150% | 11/15/41 | 1,365 | 1,464,691 | ||||||||||
AstraZeneca PLC (United Kingdom), Sr. Unsec’d. Notes(a) | 6.450% | 09/15/37 | 480 | 622,978 | ||||||||||
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes(a) | 5.125% | 08/15/18 | 900 | 943,875 | ||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 5.650% | 12/01/41 | 140 | 164,976 | ||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 3.750% | 08/23/22 | 150 | 151,780 | ||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 5.625% | 12/15/15 | 560 | 598,614 | ||||||||||
Merck Sharp & Dohme Corp., Gtd. Notes | 5.950% | 12/01/28 | 205 | 255,085 | ||||||||||
Mylan, Inc., Gtd. Notes | 1.800% | 06/24/16 | 355 | 360,027 | ||||||||||
Novartis Capital Corp. (Switzerland), Gtd. Notes(a) | 4.400% | 05/06/44 | 1,010 | 1,051,215 | ||||||||||
Thermo Fisher Scientific, Inc., Sr. Unsec’d. Notes | 4.150% | 02/01/24 | 925 | 967,320 | ||||||||||
Zoetis, Inc., Sr. Unsec’d. Notes(a) | 4.700% | 02/01/43 | 90 | 91,412 | ||||||||||
7,638,064 | ||||||||||||||
Healthcare Insurance — 0.2% | ||||||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.625% | 06/15/36 | 480 | 624,525 | ||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.875% | 03/15/41 | 540 | 656,617 | ||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 6.150% | 11/15/36 | 640 | 789,996 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.000% | 06/15/17 | 115 | 130,658 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.500% | 06/15/37 | 400 | 523,376 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.625% | 11/15/37 | 410 | 543,785 | ||||||||||
WellPoint, Inc., Sr. Unsec’d. Notes | 4.625% | 05/15/42 | 330 | 335,985 | ||||||||||
WellPoint, Inc., Sr. Unsec’d. Notes(a) | 4.650% | 01/15/43 | 775 | 787,960 | ||||||||||
4,392,902 | ||||||||||||||
Insurance — 0.8% | ||||||||||||||
Allied World Assurance Co. Holdings Ltd., Gtd. Notes | 5.500% | 11/15/20 | 480 | 542,266 | ||||||||||
Allstate Corp. (The), Sr. Unsec’d. Notes | 4.500% | 06/15/43 | 125 | 129,861 | ||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 6.400% | 12/15/20 | 910 | 1,098,594 | ||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 8.250% | 08/15/18 | 900 | 1,118,168 |
SEE NOTES TO FINANCIAL STATEMENTS.
A17
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Insurance (continued) | ||||||||||||||
Axis Specialty Finance LLC, Gtd. Notes(a) | 5.875% | 06/01/20 | 990 | $ | 1,136,820 | |||||||||
Chubb Corp. (The), Jr. Sub. Notes | 6.375% | (b) | 03/29/67 | 1,260 | 1,400,175 | |||||||||
Hartford Financial Services Group, Inc. (The), Sr. Unsec’d. Notes | 5.125% | 04/15/22 | 635 | 722,067 | ||||||||||
Liberty Mutual Group, Inc., Gtd. Notes, 144A(a) | 6.500% | 05/01/42 | 215 | 269,632 | ||||||||||
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A | 7.000% | 03/15/34 | 910 | 1,145,652 | ||||||||||
Lincoln National Corp., Jr. Sub. Notes | 6.050% | (b) | 04/20/67 | 250 | 252,812 | |||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 6.300% | 10/09/37 | 476 | 597,972 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 7.000% | 06/15/40 | 660 | 904,820 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 8.750% | 07/01/19 | 505 | 654,760 | ||||||||||
Markel Corp., Sr. Unsec’d. Notes | 5.000% | 03/30/43 | 165 | 171,427 | ||||||||||
MetLife, Inc., Sr. Unsec’d. Notes | 5.700% | 06/15/35 | 960 | 1,155,582 | ||||||||||
MetLife, Inc., Sr. Unsec’d. Notes | 6.375% | 06/15/34 | 85 | 109,404 | ||||||||||
MetLife, Inc., Sr. Unsec’d. Notes(a) | 6.750% | 06/01/16 | 270 | 300,041 | ||||||||||
New York Life Insurance Co., Sub. Notes, 144A | 6.750% | 11/15/39 | 650 | 872,295 | ||||||||||
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A | 6.063% | 03/30/40 | 350 | 434,127 | ||||||||||
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A | 6.375% | 04/30/20 | 640 | 745,013 | ||||||||||
Pacific Life Insurance Co., Sub. Notes, 144A | 9.250% | 06/15/39 | 695 | 1,069,139 | ||||||||||
Principal Financial Group, Inc., Gtd. Notes | 4.625% | 09/15/42 | 105 | 106,410 | ||||||||||
Progressive Corp. (The), Jr. Sub. Notes | 6.700% | (b) | 06/15/37 | 715 | 795,437 | |||||||||
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | 6.850% | 12/16/39 | 1,430 | 1,907,054 | ||||||||||
Unum Group, Sr. Unsec’d. Notes | 5.625% | 09/15/20 | 315 | 361,372 | ||||||||||
W.R. Berkley Corp., Sr. Unsec’d. Notes | 5.600% | 05/15/15 | 705 | 733,705 | ||||||||||
W.R. Berkley Corp., Sr. Unsec’d. Notes | 6.150% | 08/15/19 | 575 | 649,861 | ||||||||||
XLIT Ltd. (Ireland), Gtd. Notes | 5.250% | 09/15/14 | 110 | 111,085 | ||||||||||
19,495,551 | ||||||||||||||
Lodging — 0.3% | ||||||||||||||
Choice Hotels International, Inc., Gtd. Notes | 5.750% | 07/01/22 | 955 | 1,024,963 | ||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.000% | 03/01/19 | 490 | 506,620 | ||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.250% | 09/15/22 | 805 | 796,054 | ||||||||||
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes(a) | 6.750% | 05/15/18 | 2,700 | 3,177,414 | ||||||||||
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | 2.500% | 03/01/18 | 405 | 411,184 | ||||||||||
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | 4.250% | 03/01/22 | 890 | 914,725 | ||||||||||
6,830,960 | ||||||||||||||
Media & Entertainment — 0.2% | ||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.150% | 03/01/37 | 250 | 300,598 | ||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.900% | 08/15/39 | 35 | 45,783 | ||||||||||
21st Century Fox America, Inc., Gtd. Notes | 7.625% | 11/30/28 | 1,265 | 1,649,694 | ||||||||||
CBS Corp., Gtd. Notes | 4.850% | 07/01/42 | 340 | 337,439 | ||||||||||
Historic TW, Inc., Gtd. Notes | 9.150% | 02/01/23 | 625 | 865,783 | ||||||||||
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS | 6.375% | 07/28/17 | 750 | 825,000 | ||||||||||
Time Warner, Inc., Gtd. Notes | 6.200% | 03/15/40 | 175 | 208,041 | ||||||||||
Time Warner, Inc., Gtd. Notes | 6.250% | 03/29/41 | 495 | 595,658 | ||||||||||
Time Warner, Inc., Gtd. Notes | 7.625% | 04/15/31 | 155 | 212,971 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.500% | 02/27/42 | 50 | 47,716 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.875% | 06/15/43 | 150 | 150,925 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 5.850% | 09/01/43 | 325 | 373,369 | ||||||||||
5,612,977 | ||||||||||||||
Metals — 0.1% | ||||||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes | 5.000% | 09/30/43 | 700 | 773,630 | ||||||||||
Glencore Finance Canada Ltd. (Canada), Gtd. Notes, 144A | 2.050% | 10/23/15 | 905 | 915,252 | ||||||||||
Glencore Finance Canada Ltd. (Canada), Gtd. Notes, 144A | 2.850% | 11/10/14 | 995 | 1,000,702 | ||||||||||
Newmont Mining Corp., Gtd. Notes | 6.250% | 10/01/39 | 15 | 15,765 |
SEE NOTES TO FINANCIAL STATEMENTS.
A18
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
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 | 370 | $ | 430,726 | |||||||||
3,136,075 | ||||||||||||||
Non-Captive Finance — 0.3% | ||||||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A | 3.750% | 05/15/19 | 600 | 604,500 | ||||||||||
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | 5.875% | 01/14/38 | 580 | 703,659 | ||||||||||
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | 6.000% | 08/07/19 | 3,010 | 3,565,489 | ||||||||||
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | 6.875% | 01/10/39 | 1,085 | 1,457,457 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes(a) | 5.750% | 05/15/16 | 230 | 246,388 | ||||||||||
Navient Corp., Sr. Unsec’d. Notes, MTN | 8.450% | 06/15/18 | 295 | 348,837 | ||||||||||
6,926,330 | ||||||||||||||
Packaging | ||||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes(a) | 4.500% | 01/15/23 | 1,000 | 974,000 | ||||||||||
Paper — 0.1% | ||||||||||||||
Georgia-Pacific LLC, Gtd. Notes, 144A | 5.400% | 11/01/20 | 275 | 317,417 | ||||||||||
International Paper Co., Sr. Unsec’d. Notes | 6.000% | 11/15/41 | 1,270 | 1,496,549 | ||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.950% | 06/15/18 | 460 | 562,542 | ||||||||||
Rock-Tenn Co., Gtd. Notes(a) | 4.900% | 03/01/22 | 675 | 736,760 | ||||||||||
3,113,268 | ||||||||||||||
Pipelines & Other — 0.1% | ||||||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes | 4.650% | 06/01/21 | 610 | 657,087 | ||||||||||
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes | 5.950% | 02/15/18 | 530 | 604,731 | ||||||||||
NiSource Finance Corp., Gtd. Notes | 5.450% | 09/15/20 | 500 | 572,310 | ||||||||||
ONEOK Partners LP, Gtd. Notes | 6.650% | 10/01/36 | 130 | 159,997 | ||||||||||
1,994,125 | ||||||||||||||
Railroads — 0.1% | ||||||||||||||
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | 6.700% | 08/01/28 | 735 | 906,945 | ||||||||||
CSX Corp., Sr. Unsec’d. Notes | 6.150% | 05/01/37 | 690 | 852,503 | ||||||||||
Norfolk Southern Corp., Sr. Unsec’d. Notes | 5.590% | 05/17/25 | 120 | 136,388 | ||||||||||
1,895,836 | ||||||||||||||
Real Estate Investment Trusts — 0.2% | ||||||||||||||
Felcor Lodging LP, Sr. Sec’d. Notes | 10.000% | 10/01/14 | 369 | 375,937 | ||||||||||
Mack-Cali Realty LP, Sr. Unsec’d. Notes | 7.750% | 08/15/19 | 685 | 815,743 | ||||||||||
Prologis LP, Gtd. Notes | 6.875% | 03/15/20 | 68 | 81,701 | ||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 2.800% | 01/30/17 | 235 | 244,959 | ||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 3.375% | 03/15/22 | 190 | 195,673 | ||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 6.125% | 05/30/18 | 2,925 | 3,403,091 | ||||||||||
5,117,104 | ||||||||||||||
Retailers — 0.1% | ||||||||||||||
CVS Caremark Corp., Sr. Unsec’d. Notes | 5.300% | 12/05/43 | 170 | 192,179 | ||||||||||
CVS Caremark Corp., Sr. Unsec’d. Notes | 5.750% | 05/15/41 | 130 | 155,873 | ||||||||||
CVS Caremark Corp., Sr. Unsec’d. Notes(a) | 6.125% | 09/15/39 | 335 | 417,134 | ||||||||||
Home Depot, Inc. (The), Sr. Unsec’d Notes | 4.400% | 03/15/45 | 565 | 573,589 | ||||||||||
L Brands, Inc., Gtd. Notes | 5.625% | 02/15/22 | 1,300 | 1,407,250 | ||||||||||
Lowe’s Cos., Inc., Sr. Unsec’d. Notes | 6.500% | 03/15/29 | 345 | 433,263 | ||||||||||
Macy’s Retail Holdings, Inc., Gtd. Notes | 3.875% | 01/15/22 | 300 | 313,149 | ||||||||||
Target Corp., Sr. Unsec’d Notes(a) | 3.500% | 07/01/24 | 460 | 465,190 | ||||||||||
3,957,627 | ||||||||||||||
Technology — 0.1% | ||||||||||||||
Arrow Electronics, Inc., Sr. Unsec’d. Notes | 3.375% | 11/01/15 | 370 | 381,835 | ||||||||||
CDW LLC/CDW Finance Corp., Sr. Sec’d. Notes | 8.000% | 12/15/18 | 1,000 | 1,062,500 |
SEE NOTES TO FINANCIAL STATEMENTS.
A19
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Technology (continued) | ||||||||||||||
Oracle Corp., Sr. Unsec’d Notes | 4.300% | 07/08/34 | 700 | $ | 699,720 | |||||||||
Seagate HDD Cayman, Gtd. Notes, 144A | 3.750% | 11/15/18 | 455 | 465,237 | ||||||||||
2,609,292 | ||||||||||||||
Telecommunications — 0.5% | ||||||||||||||
America Movil SAB de CV (Mexico), Gtd. Notes(a) | 6.125% | 03/30/40 | 400 | 471,128 | ||||||||||
AT&T Corp., Gtd. Notes | 8.000% | 11/15/31 | 18 | 26,430 | ||||||||||
AT&T, Inc., Sr. Unsec’d Notes | 4.800% | 06/15/44 | 400 | 408,344 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.350% | 09/01/40 | 1,133 | 1,232,387 | ||||||||||
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes | 9.625% | 12/15/30 | 350 | 557,464 | ||||||||||
Embarq Corp., Sr. Unsec’d. Notes | 7.082% | 06/01/16 | 325 | 361,618 | ||||||||||
Embarq Corp., Sr. Unsec’d. Notes | 7.995% | 06/01/36 | 645 | 704,662 | ||||||||||
Qwest Corp., Sr. Unsec’d. Notes | 7.500% | 10/01/14 | 880 | 894,894 | ||||||||||
Sprint Communications, Inc., Sr. Unsec’d. Notes(a) | 6.000% | 12/01/16 | 950 | 1,034,312 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 6.400% | 09/15/33 | 1,285 | 1,574,045 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 6.400% | 02/15/38 | 55 | 67,174 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 6.550% | 09/15/43 | 4,190 | 5,272,868 | ||||||||||
12,605,326 | ||||||||||||||
Tobacco — 0.2% | ||||||||||||||
Altria Group, Inc., Gtd. Notes | 4.000% | 01/31/24 | 1,585 | 1,628,634 | ||||||||||
Altria Group, Inc., Gtd. Notes | 9.700% | 11/10/18 | 354 | 463,858 | ||||||||||
Altria Group, Inc., Gtd. Notes | 9.950% | 11/10/38 | 42 | 69,965 | ||||||||||
Altria Group, Inc., Gtd. Notes(a) | 10.200% | 02/06/39 | 274 | 465,158 | ||||||||||
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A | 2.050% | 02/11/18 | 1,680 | 1,689,925 | ||||||||||
Lorillard Tobacco Co., Gtd. Notes(a) | 8.125% | 06/23/19 | 290 | 361,559 | ||||||||||
4,679,099 | ||||||||||||||
TOTAL CORPORATE BONDS |
| 205,208,149 | ||||||||||||
MUNICIPAL BONDS — 0.5% | ||||||||||||||
California — 0.2% | ||||||||||||||
Bay Area Toll Authority, Revenue Bonds, BABs | 6.263% | 04/01/49 | 1,305 | 1,754,181 | ||||||||||
State of California, GO, BABs | 7.300% | 10/01/39 | 1,250 | 1,760,413 | ||||||||||
State of California, GO, BABs | 7.500% | 04/01/34 | 350 | 498,617 | ||||||||||
State of California, GO, BABs(a) | 7.550% | 04/01/39 | 245 | 364,562 | ||||||||||
State of California, GO, BABs | 7.625% | 03/01/40 | 205 | 301,506 | ||||||||||
4,679,279 | ||||||||||||||
Colorado | ||||||||||||||
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs | 5.844% | 11/01/50 | 625 | 801,550 | ||||||||||
Illinois — 0.1% | ||||||||||||||
Chicago O’Hare International Airport, Revenue Bonds, BABs | 6.395% | 01/01/40 | 970 | 1,239,786 | ||||||||||
State of Illinois, GO, Taxable Series | 4.421% | 01/01/15 | 630 | 642,386 | ||||||||||
1,882,172 | ||||||||||||||
New Jersey — 0.1% | ||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs | 7.414% | 01/01/40 | 1,000 | 1,441,050 | ||||||||||
New York — 0.1% | ||||||||||||||
New York City Transitional Finance Authority, Revenue Bonds, BABs | 5.767% | 08/01/36 | 1,100 | 1,343,551 | ||||||||||
Ohio | ||||||||||||||
Ohio State University (The), Revenue Bonds, BABs | 4.910% | 06/01/40 | 415 | 469,776 | ||||||||||
Ohio State Water Development Authority, Revenue Bonds, BABs | 4.879% | 12/01/34 | 275 | 304,427 | ||||||||||
774,203 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A20
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
MUNICIPAL BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Oregon | ||||||||||||||
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs | 5.834% | 11/15/34 | 425 | $ | 531,522 | |||||||||
Pennsylvania | ||||||||||||||
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs | 5.511% | 12/01/45 | 505 | 593,264 | ||||||||||
Tennessee | ||||||||||||||
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | 6.731% | 07/01/43 | 945 | 1,212,974 | ||||||||||
Texas | ||||||||||||||
Texas State Transportation Commission, Revenue Bonds, Series B, BABs | 5.028% | 04/01/26 | 305 | 355,337 | ||||||||||
TOTAL MUNICIPAL BONDS |
| 13,614,902 | ||||||||||||
NON-CORPORATE FOREIGN AGENCIES — 0.8% | ||||||||||||||
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A(a) | 4.875% | 01/15/24 | 490 | 523,075 | ||||||||||
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes | 5.125% | 06/29/20 | 365 | 412,857 | ||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 9.250% | 04/23/19 | 695 | 843,556 | ||||||||||
International Bank for Reconstruction & Development (Supranational Bank), Sr. Unsec’d Notes | 2.250% | 06/24/19 | 3,295 | 3,300,526 | ||||||||||
KFW (Germany), Gov’t. Gtd. Notes | 1.875% | 04/01/19 | 3,460 | 3,495,410 | ||||||||||
Kommunalbanken AS (Norway), Sr. Unsec’d Notes, 144A | 1.125% | 05/23/18 | 2,634 | 2,604,299 | ||||||||||
Petrobras Global Finance BV (Brazil), Gtd. Notes(a) | 2.000% | 05/20/16 | 1,400 | 1,402,022 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 3.500% | 01/30/23 | 795 | 776,317 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 4.875% | 01/18/24 | 425 | 455,813 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 5.500% | 01/21/21 | 2,240 | 2,514,400 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 6.625% | 06/15/35 | 513 | 604,057 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 8.625% | 12/01/23 | 350 | 445,900 | ||||||||||
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), | 6.299% | 05/15/17 | 760 | 801,800 | ||||||||||
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A | 1.750% | 04/10/17 | 1,235 | 1,235,563 | ||||||||||
TOTAL NON-CORPORATE FOREIGN AGENCIES |
| 19,415,595 | ||||||||||||
NON-CORPORATE SOVEREIGNS — 0.4% | ||||||||||||||
Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes | 4.250% | 01/07/25 | 970 | 983,095 | ||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes(a) | 4.000% | 02/26/24 | 1,120 | 1,154,720 | ||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 4.000% | 03/25/19 | 442 | 455,302 | ||||||||||
Indonesia Government International Bond (Indonesia), | 5.875% | 03/13/20 | 870 | 965,700 | ||||||||||
Indonesia Government International Bond (Indonesia), | 6.875% | 01/17/18 | 845 | 966,469 | ||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes | 3.625% | 03/15/22 | 600 | 622,500 | ||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN | 4.750% | 03/08/44 | 846 | 862,920 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes(a) | 5.200% | 01/30/20 | 475 | 530,100 | ||||||||||
Province of British Columbia (Canada), Sr. Unsec’d. Notes | 2.000% | 10/23/22 | 1,975 | 1,873,134 | ||||||||||
Romanian Government International Bond (Romania), | 4.875% | 01/22/24 | 140 | 148,925 | ||||||||||
Slovenia Government International Bond (Slovenia), Bonds, 144A(a) | 4.125% | 02/18/19 | 200 | 210,690 | ||||||||||
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes | 7.000% | 06/05/20 | 610 | 710,467 | ||||||||||
TOTAL NON-CORPORATE SOVEREIGNS |
| 9,484,022 | ||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.2% | ||||||||||||||
Alternative Loan Trust, Series 2004-18CB, Class 3A1 | 5.250% | 09/25/19 | 419 | 427,378 | ||||||||||
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 | 6.000% | 01/25/36 | 1,715 | 1,373,730 | ||||||||||
Bank of America Mortgage Trust, Series 2005-A, Class 2A1 | 2.753% | (b) | 02/25/35 | 390 | 392,042 | |||||||||
Bank of America Mortgage Trust, Series 2005-B, Class 2A1 | 2.601% | (b) | 03/25/35 | 443 | 408,909 | |||||||||
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5 | 2.602% | (b) | 02/25/37 | 897 | 896,884 |
SEE NOTES TO FINANCIAL STATEMENTS.
A21
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1 | 2.634% | (b) | 07/25/35 | 504 | $ | 510,948 | ||||||||
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | 5.000% | 04/25/19 | 102 | 104,217 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 2.467% | (b) | 02/25/34 | 507 | 514,896 | |||||||||
Washington Mutual Mortgage Pass-Through Certificates, | 5.000% | 03/25/20 | 295 | 300,085 | ||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES | 4,929,089 | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.4% | ||||||||||||||
Federal Home Loan Bank(a) | 0.375% | 08/28/15 | 375 | 375,812 | ||||||||||
Federal Home Loan Bank(g) | 5.500% | 07/15/36 | 950 | 1,215,509 | ||||||||||
Federal Home Loan Mortgage Corp. | 0.750% | 01/12/18 | 455 | 448,192 | ||||||||||
Federal Home Loan Mortgage Corp. | 1.750% | 05/30/19 | 1,180 | 1,184,430 | ||||||||||
Federal Home Loan Mortgage Corp | 2.213% | (b) | 06/01/36 | 311 | 330,982 | |||||||||
Federal Home Loan Mortgage Corp. | 2.348% | (b) | 12/01/35 | 356 | 378,466 | |||||||||
Federal Home Loan Mortgage Corp.(a) | 2.375% | 01/13/22 | 4,140 | 4,131,852 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 10/01/28-01/01/43 | 4,417 | 4,511,939 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | TBA | 5,000 | 5,139,455 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | TBA | 1,000 | 1,057,031 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | TBA | 4,500 | 4,767,187 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 06/01/26-12/01/40 | 4,830 | 5,145,877 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 02/01/19-10/01/41 | 13,690 | 14,815,891 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/18-05/01/39 | 4,599 | 5,031,810 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 12/01/33-07/01/38 | 4,048 | 4,523,804 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 03/01/32-08/01/39 | 1,537 | 1,740,918 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 12/01/14-09/01/16 | 5 | 4,871 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 05/01/31-10/01/31 | 360 | 404,564 | ||||||||||
Federal National Mortgage Assoc. | 1.750% | 06/20/19 | 3,930 | 3,939,063 | ||||||||||
Federal National Mortgage Assoc. | 1.784% | (b) | 07/01/33 | 442 | 466,641 | |||||||||
Federal National Mortgage Assoc. | 1.809% | (b) | 06/01/37 | 75 | 74,808 | |||||||||
Federal National Mortgage Assoc.(a) | 1.875% | 02/19/19 | 1,790 | 1,813,907 | ||||||||||
Federal National Mortgage Assoc. | 1.916% | (b) | 07/01/37 | 586 | 621,488 | |||||||||
Federal National Mortgage Assoc. | 2.500% | TBA | 3,500 | 3,555,234 | ||||||||||
Federal National Mortgage Assoc. | 2.500% | 01/01/28 | 1,856 | 1,887,317 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | TBA | 2,000 | 2,077,500 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | TBA | 16,000 | 15,766,256 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 6,000 | 6,176,250 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 10,000 | 10,262,500 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 3,000 | 3,171,563 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 06/01/39-03/01/43 | 16,951 | 17,477,666 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | TBA | 9,000 | 9,522,774 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 11/01/18-03/01/41 | 9,784 | 10,652,371 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | TBA | 3,500 | 3,886,641 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 10/01/18-05/01/36 | 3,192 | 3,532,920 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 03/01/16-04/01/37 | 5,810 | 6,492,222 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 09/01/17-06/01/38 | 6,600 | 7,464,535 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/17-01/01/37 | 2,489 | 2,809,516 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 02/01/32-07/01/32 | 262 | 296,412 | ||||||||||
Federal National Mortgage Assoc. | 7.500% | 05/01/32 | 60 | 68,246 | ||||||||||
Government National Mortgage Assoc. | 3.000% | TBA | 2,000 | 2,015,000 | ||||||||||
Government National Mortgage Assoc. | 3.000% | TBA | 2,000 | 2,018,750 | ||||||||||
Government National Mortgage Assoc. | 3.500% | TBA | 8,500 | 8,839,337 | ||||||||||
Government National Mortgage Assoc. | 4.000% | TBA | 4,000 | 4,280,625 | ||||||||||
Government National Mortgage Assoc. | 4.000% | TBA | 7,000 | 7,470,312 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 06/15/40-05/20/41 | 1,590 | 1,702,258 | ||||||||||
Government National Mortgage Assoc. | 4.500% | TBA | 1,000 | 1,086,718 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 01/20/41-03/20/41 | 6,015 | 6,589,564 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 08/15/33-04/15/36 | 2,761 | 3,109,505 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 11/15/23-07/15/34 | 1,002 | 1,150,548 |
SEE NOTES TO FINANCIAL STATEMENTS.
A22
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Government National Mortgage Assoc. | 6.500% | 10/15/23-09/15/36 | 1,928 | $ | 2,212,005 | |||||||||
Government National Mortgage Assoc. | 8.000% | 01/15/24-07/15/24 | 39 | 44,190 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond (Jordan), | 1.945% | 06/23/19 | 355 | 356,881 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond (Jordan), | 2.503% | 10/30/20 | 1,110 | 1,124,181 | ||||||||||
Tennessee Valley Authority, Sr. Unsecured Notes | 5.880% | 04/01/36 | 85 | 109,953 | ||||||||||
Ukraine Government AID Bonds, U.S. Gov’t. Gtd. Notes | 1.844% | 05/16/19 | 4,685 | 4,679,715 | ||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 214,013,962 | ||||||||||||
U.S. TREASURY OBLIGATIONS — 3.7% | ||||||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 1.375% | 01/15/20 | 9,455 | 10,370,557 | ||||||||||
U.S. Treasury Notes | 0.625% | 04/30/18 | 3,509 | 3,426,209 | ||||||||||
U.S. Treasury Notes | 0.875% | 07/31/19 | 4,980 | 4,788,579 | ||||||||||
U.S. Treasury Notes | 1.000% | 06/30/19-09/30/19 | �� | 15,730 | 15,191,760 | |||||||||
U.S. Treasury Notes | 1.250% | 11/30/18 | 790 | 782,841 | ||||||||||
U.S. Treasury Notes(h) | 1.500% | 12/31/18 | 2,320 | 2,321,269 | ||||||||||
U.S. Treasury Notes | 1.500% | 01/31/19 | 18,945 | 18,933,159 | ||||||||||
U.S. Treasury Notes(a) | 1.500% | 05/31/19 | 8,770 | 8,726,150 | ||||||||||
U.S. Treasury Notes | 1.625% | 04/30/19-06/30/19 | 22,670 | 22,700,206 | ||||||||||
U.S. Treasury Notes | 2.000% | 05/31/21 | 445 | 441,663 | ||||||||||
U.S. Treasury Notes | 2.250% | 04/30/21 | 1,960 | 1,979,294 | ||||||||||
U.S. Treasury Notes | 2.500% | 05/15/24 | 95 | 94,866 | ||||||||||
U.S. Treasury Notes | 3.625% | 02/15/44 | 2,240 | 2,363,899 | ||||||||||
U.S. Treasury Strips Principal(a) | 6.183% | (f) | 05/15/44 | 1,640 | 575,929 | |||||||||
U.S. Treasury Strips Principal | 6.992% | (f) | 02/15/44 | 3,535 | 1,252,786 | |||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 93,949,167 | ||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 2,071,538,645 | ||||||||||||
SHORT-TERM INVESTMENTS — 26.6% | ||||||||||||||
U.S. TREASURY OBLIGATION — 0.2% | ||||||||||||||
U.S. Treasury Bill(g) | 0.020% | (i) | 09/18/14 | 3,800 | 3,799,833 | |||||||||
Shares | ||||||||||||||
AFFILIATED MUTUAL FUNDS — 26.4% | ||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (cost $99,204,833) (Note 4)(j) | 10,354,926 | 96,922,105 | ||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund | 580,078,606 | 580,078,606 | ||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 677,000,711 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A23
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Counterparty | Notional Amount (000)# | Value (Note 2) | ||||||||||
OPTION PURCHASED* | ||||||||||||
Call Option | ||||||||||||
Interest Rate Swap Option, | ||||||||||||
Receive a fixed rate of 2.75% and pay a floating rate based on 3 month LIBOR, expiring 08/14/14 (cost $303,600) | Citigroup Global Markets | 23,920 | $ | 301,071 | ||||||||
TOTAL SHORT-TERM INVESTMENTS | 681,101,615 | |||||||||||
TOTAL INVESTMENTS — 107.4% | 2,752,640,260 | |||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(l) — (7.4)% | (188,463,574 | ) | ||||||||||
NET ASSETS — 100.0% | $ | 2,564,176,686 | ||||||||||
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 | |
CDO | Collateralized Debt Obligation | |
CDX | Credit Derivative Index | |
CLO | Collateralized Loan Obligation | |
CMBS | Collateralized Mortgage-Backed Security | |
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 | |
PRFC | Preference Shares | |
REIT | Real Estate Investment Trust | |
SDR | Swedish Depositary Receipt | |
TBA | To Be Announced | |
TIPS | Treasury Inflation Protected Securities | |
USAID | United States Agency for International Development |
* | 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 $101,308,087; cash collateral of $103,525,962 (included in liabilities) was received with which the Portfolio’s purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2014. |
(c) | Indicates a restricted security; the aggregate original cost of the restricted securities is $4,471,539. The aggregate value, $4,931,339, is approximately 0.2% of net assets. |
(d) | Indicates a security that has been deemed illiquid. |
(e) | Represents issuer in default on interest payments and/or principal re-payments; non-income producing security. Such securities may be post maturity. |
(f) | Represents zero coupon bond or principal only 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) | Rate quoted represents yield-to-maturity as of purchase date. |
SEE NOTES TO FINANCIAL STATEMENTS.
A24
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
(j) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
(k) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
(l) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2014:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2014 | Unrealized Appreciation (Depreciation)(1) | |||||||||||||
Long Positions: | ||||||||||||||||||
214 | 2 Year U.S. Treasury Notes | Sep. 2014 | $ | 46,943,663 | $ | 46,993,062 | $ | 49,399 | ||||||||||
224 | 5 Year U.S. Treasury Notes | Sep. 2014 | 26,630,285 | 26,759,250 | 128,965 | |||||||||||||
90 | 10 Year U.S. Treasury Notes | Sep. 2014 | 11,264,050 | 11,265,469 | 1,419 | |||||||||||||
16 | MSCI EAFE Mini Futures | Sep. 2014 | 1,566,261 | 1,575,120 | 8,859 | |||||||||||||
314 | S&P 500 E-Mini Futures | Sep. 2014 | 30,331,801 | 30,652,680 | 320,879 | |||||||||||||
84 | S&P 500 Index Futures | Sep. 2014 | 40,555,456 | 41,000,400 | 444,944 | |||||||||||||
954,465 | ||||||||||||||||||
Short Position: | ||||||||||||||||||
11 | U.S. Ultra Bond | Sep. 2014 | 1,647,734 | 1,649,312 | (1,578 | ) | ||||||||||||
$ | 952,887 | |||||||||||||||||
(1) | A U.S. Treasury obligation with a market value of $3,609,856 has been segregated with Goldman Sachs & Co. and a U.S. Government Agency security with a market value of $600,227 has been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2014. |
Interest rate swap agreements outstanding at June 30, 2014:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation | Counterparty | |||||||||||||||||||
| Over-the-counter swap agreements: | |||||||||||||||||||||||||
2,634 | 05/17/18 | 0.989% | 3 Month LIBOR(2) | $ | 32,289 | $ | — | $ | 32,289 | Credit Suisse First Boston Corp. | ||||||||||||||||
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2014 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Exchange-traded swap agreements: |
| ||||||||||||||||||||||
26,485 | 11/30/18 | 1.625% | 3 Month LIBOR(2) | $ | (24,641 | ) | $ | (26,739 | ) | $ | (2,098 | ) | ||||||||||||
17,350 | 05/15/21 | 2.375% | 3 Month LIBOR(2) | (115,808 | ) | (169,183 | ) | (53,375 | ) | |||||||||||||||
350 | 03/31/44 | 3.474% | 3 Month LIBOR(1) | 156 | 11,618 | 11,462 | ||||||||||||||||||
$ | (140,293 | ) | $ | (184,304 | ) | $ | (44,011 | ) | ||||||||||||||||
(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. |
Credit default swap agreements outstanding at June 30, 2014:
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at June 30, 2014 | Unrealized Depreciation | ||||||||||||||||||
Exchange-Traded credit default swaps on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.IG.22.V1 | 06/20/19 | 1.000% | 41,000 | $ | (626,652 | ) | $ | (812,818 | ) | $ | (186,166 | ) | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A25
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Credit default swap agreements outstanding at June 30, 2014 (continued):
Reference Entity/ | 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% | 1,188 | $ | 91,602 | $ | 49,486 | $ | 42,116 | Credit Suisse First Boston Corp. | ||||||||||||||||
CDX.NA.HY.17.V5 | 12/20/16 | 5.000% | 3,088 | 238,166 | 132,523 | 105,643 | Deutsche Bank AG | |||||||||||||||||||
CDX.NA.HY.17.V5 | 12/20/16 | 5.000% | 4,275 | 329,768 | 187,328 | 142,440 | Deutsche Bank AG | |||||||||||||||||||
$ | 659,536 | $ | 369,337 | $ | 290,199 | |||||||||||||||||||||
A U.S. Treasury obligation with a market value of $1,120,662 has been segregated with Citigroup Global Markets to cover requirements for open exchange-traded interest rate and credit default swap contracts at June 30, 2014.
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 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. |
The following is a summary of the inputs used as of June 30, 2014 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 1,178,337,707 | $ | 178,402,690 | $ | — | ||||||
Exchange Traded Fund | 2,396,369 | — | — | |||||||||
Preferred Stocks | 554,000 | 625,663 | — | |||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Debt Obligation | — | 398,769 | — | |||||||||
Collateralized Loan Obligations | — | 28,794,833 | 3,741,345 | |||||||||
Non-Residential Mortgage-Backed Securities | — | 9,855,272 | — | |||||||||
Residential Mortgage-Backed Securities | — | 8,324,935 | — | |||||||||
Bank Loans | — | 6,315,830 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 93,176,346 | — | |||||||||
Corporate Bonds | — | 201,355,180 | 3,852,969 | |||||||||
Municipal Bonds | — | 13,614,902 | — | |||||||||
Non-Corporate Foreign Agencies | — | 19,415,595 | — | |||||||||
Non-Corporate Sovereigns | — | 9,484,022 | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A26
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Residential Mortgage-Backed Securities | $ | — | $ | 4,929,089 | $ | — | ||||||
U.S. Government Agency Obligations | — | 214,013,962 | — | |||||||||
U.S. Treasury Obligations | — | 97,749,000 | — | |||||||||
Affiliated Mutual Funds | 677,000,711 | — | — | |||||||||
Option Purchased | — | 301,071 | — | |||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 952,887 | — | — | |||||||||
Interest Rate Swap Agreements | — | (11,722 | ) | — | ||||||||
Credit Default Swap Agreements | — | 104,033 | — | |||||||||
Total | $ | 1,859,241,674 | $ | 886,849,470 | $ | 7,594,314 | ||||||
* | 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 June 30, 2014 was as follows:
Affiliated Mutual Funds (including 4.0% of collateral for securities on loan) | 26.4 | % | ||
U.S. Government Agency Obligations | 8.4 | |||
Oil, Gas & Consumable Fuels | 4.5 | |||
U.S. Treasury Obligations | 3.9 | |||
Banks | 3.7 | |||
Commercial Mortgage-Backed Securities | 3.6 | |||
Pharmaceuticals | 3.4 | |||
Banking | 2.4 | |||
Insurance | 2.4 | |||
Technology Hardware, Storage & Peripherals | 2.1 | |||
Media | 1.7 | |||
IT Services | 1.6 | |||
Software | 1.6 | |||
Chemicals | 1.5 | |||
Internet Software & Services | 1.5 | |||
Real Estate Investment Trusts (REITs) | 1.4 | |||
Aerospace & Defense | 1.3 | |||
Collateralized Loan Obligations | 1.3 | |||
Diversified Telecommunication Services | 1.3 | |||
Biotechnology | 1.2 | |||
Food & Staples Retailing | 1.2 | |||
Industrial Conglomerates | 1.2 | |||
Beverages | 1.1 | |||
Capital Markets | 1.1 | |||
Food Products | 1.1 | |||
Semiconductors & Semiconductor Equipment | 1.1 | |||
Electric Utilities | 1.0 | |||
Energy Equipment & Services | 1.0 | |||
Health Care Equipment & Supplies | 1.0 | |||
Health Care Providers & Services | 1.0 | |||
Tobacco | 1.0 | |||
Diversified Financial Services | 0.9 | |||
Household Products | 0.9 | |||
Machinery | 0.9 | |||
Specialty Retail | 0.9 | |||
Communications Equipment | 0.8 | |||
Hotels, Restaurants & Leisure | 0.8 | |||
Non-Corporate Foreign Agencies | 0.8 | |||
Multi-Utilities | 0.7 | |||
Automobiles | 0.6 | |||
Internet & Catalog Retail | 0.6 | |||
Metals & Mining | 0.6 |
Consumer Finance | 0.5 | % | ||
Electric | 0.5 | |||
Municipal Bonds | 0.5 | |||
Residential Mortgage-Backed Securities | 0.5 | |||
Road & Rail | 0.5 | |||
Telecommunications | 0.5 | |||
Air Freight & Logistics | 0.4 | |||
Multiline Retail | 0.4 | |||
Non-Corporate Sovereigns | 0.4 | |||
Non-Residential Mortgage-Backed Securities | 0.4 | |||
Textiles, Apparel & Luxury Goods | 0.4 | |||
Airlines | 0.3 | |||
Auto Components | 0.3 | |||
Cable | 0.3 | |||
Capital Goods | 0.3 | |||
Electrical Equipment | 0.3 | |||
Electronic Equipment, Instruments & Components | 0.3 | |||
Foods | 0.3 | |||
Healthcare & Pharmaceutical | 0.3 | |||
Household Durables | 0.3 | |||
Lodging | 0.3 | |||
Non-Captive Finance | 0.3 | |||
Commercial Services & Supplies | 0.2 | |||
Construction & Engineering | 0.2 | |||
Energy – Other | 0.2 | |||
Healthcare Insurance | 0.2 | |||
Life Sciences Tools & Services | 0.2 | |||
Media & Entertainment | 0.2 | |||
Professional Services | 0.2 | |||
Technology | 0.2 | |||
Trading Companies & Distributors | 0.2 | |||
Automotive | 0.1 | |||
Brokerage | 0.1 | |||
Building Products | 0.1 | |||
Consumer | 0.1 | |||
Containers & Packaging | 0.1 | |||
Exchange Traded Fund | 0.1 | |||
Independent Power & Renewable Electricity Producers | 0.1 | |||
Leisure Products | 0.1 | |||
Marine | 0.1 | |||
Metals | 0.1 | |||
Paper | 0.1 | |||
Paper & Forest Products | 0.1 |
SEE NOTES TO FINANCIAL STATEMENTS.
A27
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Industry table (cont.) | ||||
Personal Products | 0.1 | % | ||
Pipelines & Other | 0.1 | |||
Railroads | 0.1 | |||
Real Estate Management & Development | 0.1 | |||
Retailers | 0.1 |
Wireless Telecommunication Services | 0.1 | % | ||
107.4 | ||||
Liabilities in excess of other assets | (7.4 | ) | ||
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 June 30, 2014 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Credit contracts | Premiums paid for swap agreements | $ | 369,337 | — | $ | — | ||||||
Credit contracts | — | — | Due from broker — variation margin | 186,166 | * | |||||||
Credit contracts | Unrealized appreciation on over-the-counter swap agreements | 290,199 | — | — | ||||||||
Equity Contracts | Due from broker — variation margin | 774,682 | * | — | — | |||||||
Interest rate contracts | Due from broker — variation margin | 191,245 | * | Due from broker — variation margin | 57,051 | * | ||||||
Interest rate contracts | Unrealized appreciation on over-the-counter swap agreements | 32,289 | — | — | ||||||||
Interest rate contracts | Unaffiliated investments | 301,071 | — | — | ||||||||
Total | $ | 1,958,823 | $ | 243,217 | ||||||||
* | Includes cumulative appreciation/depreciation as reported in 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 six months ended June 30, 2014 are as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not accounted for as hedging | Rights* | Options Purchased* | Options Written | Futures | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (564,951 | ) | $ | (564,951 | ) | ||||||||||
Equity contracts | 13,236 | — | — | 6,737,417 | — | 6,750,653 | ||||||||||||||||||
Interest rate contracts | — | (89,276 | ) | 111,193 | (368,795 | ) | (167,567 | ) | (514,445 | ) | ||||||||||||||
Total | $ | 13,236 | $ | (89,276 | ) | $ | 111,193 | $ | 6,368,622 | $ | (732,518 | ) | $ | 5,671,257 | ||||||||||
* | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased* | Futures | Swaps | Total | ||||||||||||
Credit contracts | $ | — | $ | — | $ | 136,798 | $ | 136,798 | ||||||||
Equity contracts | — | (1,831,227 | ) | — | (1,831,227 | ) | ||||||||||
Interest rate contracts | 79,508 | 794,022 | 153,524 | 1,027,054 | ||||||||||||
Total | $ | 79,508 | $ | (1,037,205 | ) | $ | 290,322 | $ | (667,375 | ) | ||||||
* | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A28
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
For the six months ended June 30, 2014, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased | Options Written | Futures | Futures | |||
$303,657 | $59,062 | $183,422,636 | $26,326,284 |
Interest Rate Swaps | Credit Default | Credit Default | ||
$62,797 | $44,553 | $8,980 |
Offsetting of over-the-counter (OTC) derivative assets and liabilities:
The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.
Counterparty | Gross amounts of recognized assets(1) | Gross amounts available for offset | Collateral Received(3) | Net Amount | ||||||||||||
Citigroup Global Markets | $ | 301,071 | $ | — | $ | (521,697 | ) | $ | — | |||||||
Credit Suisse First Boston Corp. | 123,891 | — | — | 123,891 | ||||||||||||
Deutsche Bank AG | 567,934 | — | (514,612 | ) | 53,322 | |||||||||||
$ | 992,896 | |||||||||||||||
Counterparty | Gross amounts of recognized liabilities(2) | Gross amounts available for offset | Collateral Pledged(3) | Net Amount | ||||||||||||
Citigroup Global Markets | $ | — | $ | — | $ | — | $ | — | ||||||||
Credit Suisse First Boston Corp. | — | — | — | — | ||||||||||||
Deutsche Bank AG | — | — | — | — | ||||||||||||
$ | — | |||||||||||||||
(1) | Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options. |
(2) | Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options. |
(3) | Amounts shown reflect actual collateral received or pledged by the Portfolio. Such amounts are applied up to 100% of the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A29
CONSERVATIVE BALANCED PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
June 30, 2014 (Unaudited)
ASSETS | ||||
Investments at value, including securities on loan of $101,308,087: | ||||
Unaffiliated investments (cost $1,309,292,541) | $ | 2,075,639,549 | ||
Affiliated investments (cost $679,283,439) | 677,000,711 | |||
Cash | 439,492 | |||
Foreign currency, at value (cost $779,809) | 785,091 | |||
Receivable for investments sold | 70,117,679 | |||
Dividends and interest receivable | 6,408,624 | |||
Premium paid for swap agreements | 369,337 | |||
Tax reclaim receivable | 367,379 | |||
Unrealized appreciation on over-the-counter swap agreements | 322,488 | |||
Receivable for Series shares sold | 180,706 | |||
Due from broker—variation margin | 26,775 | |||
Prepaid expenses | 3,236 | |||
Total Assets | 2,831,661,067 | |||
LIABILITIES | ||||
Payable for investments purchased | 162,279,982 | |||
Payable to broker for collateral for securities on loan | 103,525,962 | |||
Management fee payable | 1,155,869 | |||
Accrued expenses and other liabilities | 307,201 | |||
Payable for Series shares repurchased | 214,441 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 267,484,381 | |||
NET ASSETS | $ | 2,564,176,686 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 1,509,142,795 | ||
Retained earnings | 1,055,033,891 | |||
Net assets, June 30, 2014 | $ | 2,564,176,686 | ||
Net asset value and redemption price per share $2,564,176,686 / 117,979,390 outstanding shares of beneficial interest | $ | 21.73 | ||
STATEMENT OF OPERATIONS
Six Months Ended June 30, 2014 (Unaudited)
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $396,829) | $ | 17,783,017 | ||
Interest income | 11,377,899 | |||
Affiliated dividend income | 843,548 | |||
Affiliated income from securities loaned, net | 95,013 | |||
Total income | 30,099,477 | |||
EXPENSES | ||||
Management fee | 6,835,073 | |||
Custodian’s fees and expenses | 222,000 | |||
Shareholders’ reports | 119,000 | |||
Insurance expenses | 19,000 | |||
Audit fee | 19,000 | |||
Trustees’ fees | 16,000 | |||
Legal fees and expenses | 7,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Commitment fee on syndicated credit agreement | 2,000 | |||
Miscellaneous | 25,274 | |||
Total expenses | 7,270,347 | |||
NET INVESTMENT INCOME | 22,829,130 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 98,711,085 | |||
Futures transactions | 6,368,622 | |||
Options written transactions | 111,193 | |||
Swap agreements transactions | (732,518 | ) | ||
Foreign currency transactions | 6,243 | |||
104,464,625 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated: $515,863) | 4,168,041 | |||
Futures | (1,037,205 | ) | ||
Securities sold short | 8,477 | |||
Swap agreements | 290,322 | |||
Foreign currencies | 2,273 | |||
3,431,908 | ||||
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 107,896,533 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 130,725,663 | ||
STATEMENT OF CHANGES IN NET ASSET
(Unaudited)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 22,829,130 | $ | 44,219,234 | ||||
Net realized gain on investment and foreign currency transactions | 104,464,625 | 99,020,902 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 3,431,908 | 214,601,177 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 130,725,663 | 357,841,313 | ||||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [313,875 and 937,002 shares, respectively] | 6,573,328 | 18,092,234 | ||||||
Series shares repurchased [3,703,214 and 8,251,336 shares, respectively] | (77,520,615 | ) | (158,563,701 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (70,947,287 | ) | (140,471,467 | ) | ||||
TOTAL INCREASE | 59,778,376 | 217,369,846 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 2,504,398,310 | 2,287,028,464 | ||||||
End of period | $ | 2,564,176,686 | $ | 2,504,398,310 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A30
DIVERSIFIED BOND PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
LONG-TERM INVESTMENTS — 88.8% ASSET-BACKED SECURITIES — 10.7% | 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 | 0.438% | (a) | 04/20/19 | 25 | $ | 25,389 | ||||||||||||
Collateralized Loan Obligations — 4.4% | ||||||||||||||||||
A Voce CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A | 0.000% | (f) | 07/15/26 | 500 | 499,235 | |||||||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 1.408% | (a) | 04/20/25 | 3,300 | 3,259,369 | |||||||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A | 3.360% | 04/20/25 | 500 | 481,861 | ||||||||||||||
Battalion CLO Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A(b) | 1.628% | 10/22/25 | 1,300 | 1,295,007 | ||||||||||||||
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A | 1.426% | (a) | 07/15/24 | 900 | 889,131 | |||||||||||||
Black Diamond CLO Delaware Corp. (Cayman Islands), Series 2005-1A, Class A1, 144A | 0.501% | (a) | 06/20/17 | 1,123 | 1,120,453 | |||||||||||||
Blue Hill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 1.707% | (a) | 01/15/26 | 700 | 699,768 | |||||||||||||
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.376% | (a) | 04/17/25 | 2,600 | 2,564,991 | |||||||||||||
Flagship VII Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A | 1.698% | (a) | 01/20/26 | 2,500 | 2,497,687 | |||||||||||||
Flatiron CLO Ltd., Series 2013-1A, Class A1, 144A | 1.690% | (a) | 01/17/26 | 3,750 | 3,734,941 | |||||||||||||
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A | 0.478% | (a) | 07/22/20 | 851 | 845,506 | |||||||||||||
Fraser Sullivan CLO I Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A | 0.701% | (a) | 03/15/20 | 1,500 | 1,476,915 | |||||||||||||
ING Investment Management CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.366% | (a) | 04/15/24 | 4,200 | 4,137,367 | |||||||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A | 1.774% | (a) | 07/15/26 | 250 | 249,550 | |||||||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-2A, Class B, 144A | 2.377% | (a) | 07/15/26 | 2,000 | 1,981,000 | |||||||||||||
Magnetite VIII Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A | 1.700% | (a) | 07/25/26 | 1,250 | 1,249,362 | |||||||||||||
North Westerly CLO BV (Netherlands), Series II-A, Class A | 0.785% | 09/14/19 | EUR | 906 | 1,238,543 | |||||||||||||
OCP CLO Ltd. (Cayman Islands), Series 2012-2A, Class A2, 144A | 1.708% | (a) | 11/22/23 | 2,800 | 2,799,630 | |||||||||||||
OCP CLO Ltd. (Cayman Islands), Series 2013-4A, Class A2, 144A | 2.029% | (a) | 10/24/25 | 2,200 | 2,161,458 | |||||||||||||
OHA Intrepid Leveraged Loan Fund Ltd. (Cayman Islands), Series 2011-1AR, Class AR, 144A | 1.148% | (a) | 04/20/21 | 3,424 | 3,406,368 | |||||||||||||
Shackleton CLO Ltd. (Cayman Islands), Series 2013-3A, Class B2, 144A | 3.440% | 04/15/25 | 700 | 678,013 | ||||||||||||||
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.276% | (a) | 04/15/25 | 7,300 | 7,165,216 | |||||||||||||
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2013-2A, Class A1, 144A | 1.678% | (a) | 01/18/26 | 3,300 | 3,294,272 | |||||||||||||
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.347% | (a) | 07/15/25 | 300 | 295,374 | |||||||||||||
48,021,017 | ||||||||||||||||||
Non-Residential Mortgage-Backed Securities — 0.4% | ||||||||||||||||||
GE Business Loan Trust, Series 2006-1A, Class D, 144A | 1.152% | (a) | 05/15/34 | 171 | 133,129 | |||||||||||||
Marriott Vacation Club Owner Trust, Series 2010-1A, Class A, 144A | 3.540% | 10/20/32 | 2,604 | 2,682,100 | ||||||||||||||
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A | 2.000% | 09/20/29 | 1,521 | 1,526,456 | ||||||||||||||
4,341,685 | ||||||||||||||||||
Residential Mortgage-Backed Securities — 5.9% | ||||||||||||||||||
ABFC Trust, Series 2004-OPT1, Class M1 | 1.202% | (a) | 08/25/33 | 1,522 | 1,434,126 | |||||||||||||
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1, Class M1 | 1.052% | (a) | 09/25/33 | 1,437 | 1,341,485 | |||||||||||||
Alternative Loan Trust, Series 2004-18CB, Class 3A1 | 5.250% | 09/25/19 | 519 | 528,599 | ||||||||||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M1 | 1.112% | (a) | 09/25/34 | 950 | 940,115 | |||||||||||||
Ameriquest Mortgage Securities, Inc. Floating Rate Mortgage Pass-Through Certificates, Series 2001-2, Class M3 | 3.077% | (a) | 10/25/31 | 453 | 362,953 | |||||||||||||
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-W6, Class M1 | 0.977% | (a) | 05/25/34 | 1,957 | 1,903,674 |
SEE NOTES TO FINANCIAL STATEMENTS.
A31
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Residential Mortgage-Backed Securities (continued) | ||||||||||||||||||
Argent Securities, Inc., Series 2003-W2, Class M4 | 5.777% | (a) | 09/25/33 | 2,400 | $ | 2,249,035 | ||||||||||||
Argent Securities, Inc., Series 2004-W10, Class A2 | 0.932% | (a) | 10/25/34 | 1,802 | 1,748,096 | |||||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE3, Class M1 | 1.397% | (a) | 06/15/33 | 1,287 | 1,219,352 | |||||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE1, Class M1 | 1.202% | (a) | 01/15/34 | 225 | 216,317 | |||||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE5, Class M1 | 1.050% | (a) | 08/25/34 | 1,949 | 1,880,456 | |||||||||||||
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE2, Class M1 | 1.050% | (a) | 03/25/34 | 4,448 | 4,177,352 | |||||||||||||
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE3, Class M2 | 1.875% | (a) | 04/25/34 | 1,935 | 1,746,282 | |||||||||||||
CDC Mortgage Capital Trust, Series 2002-HE3, Class M2 | 3.527% | (a) | 03/25/33 | 191 | 19,586 | |||||||||||||
Centex Home Equity Loan Trust, Series 2004-B, Class AF6 | 4.686% | 03/25/34 | 1,062 | 1,091,705 | ||||||||||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-HE4, Class M2 | 2.400% | (a) | 08/25/32 | 75 | 65,000 | |||||||||||||
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | 5.076% | 07/25/34 | 614 | 583,928 | ||||||||||||||
FBR Securitization Trust, Series 2005-2, Class M1 | 0.872% | (a) | 09/25/35 | 3,600 | 3,426,300 | |||||||||||||
Fremont Home Loan Trust, Series 2003-B, Class M1 | 1.202% | (a) | 12/25/33 | 216 | 204,712 | |||||||||||||
GSAMP Trust, Series 2004-FM1, Class M1 | 1.127% | (a) | 11/25/33 | 2,224 | 2,158,832 | |||||||||||||
HSBC Home Equity Loan Trust, Series 2006-1, Class M1 | 0.433% | (a) | 01/20/36 | 501 | 498,324 | |||||||||||||
HSBC Home Equity Loan Trust, Series 2006-2, Class A1 | 0.303% | (a) | 03/20/36 | 132 | 130,516 | |||||||||||||
HSBC Home Equity Loan Trust, Series 2006-2, Class A2 | 0.333% | (a) | 03/20/36 | 160 | 158,490 | |||||||||||||
Long Beach Mortgage Loan Trust, Series 2004-1, Class M1 | 0.902% | (a) | 02/25/34 | 4,250 | 4,002,710 | |||||||||||||
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | 5.000% | 04/25/19 | 102 | 104,217 | ||||||||||||||
MASTR Asset-Backed Securities Trust, Series 2004-WMC1, Class M1 | 0.932% | (a) | 02/25/34 | 2,248 | 2,225,666 | |||||||||||||
Merrill Lynch Mortgage Investors Trust, Series 2004-HE2, Class M1 | 1.352% | (a) | 08/25/35 | 737 | 700,932 | |||||||||||||
Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1A | 0.672% | (a) | 06/25/35 | 1,980 | 1,872,380 | |||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 | 1.352% | (a) | 05/25/33 | 1,298 | 1,213,894 | |||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE3, Class M1 | 1.172% | (a) | 10/25/33 | 1,006 | 936,699 | |||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 | 1.202% | (a) | 12/27/33 | 810 | 779,841 | |||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-OP1, Class M1 | 1.022% | (a) | 11/25/34 | 3,688 | 3,293,608 | |||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC1, Class M1 | 1.082% | (a) | 06/25/34 | 2,195 | 2,050,071 | |||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC2, Class M1 | 1.067% | (a) | 07/25/34 | 1,828 | 1,743,875 | |||||||||||||
New Century Home Equity Loan Trust, Series 2003-4, Class M1 | 1.277% | (a) | 10/25/33 | 3,090 | 2,994,230 | |||||||||||||
New Century Home Equity Loan Trust, Series 2004-4, Class M1 | 0.917% | (a) | 02/25/35 | 3,048 | 2,804,730 | |||||||||||||
Residential Asset Mortgage Products, Inc., Series 2004-RS12, Class MII2 | 1.350% | (a) | 12/25/34 | 364 | 358,075 | |||||||||||||
Residential Asset Securities Corp., Series 2004-KS1, Class AI5 | 5.221% | 02/25/34 | 1,000 | 1,057,734 | ||||||||||||||
Saxon Asset Securities Trust, Series 2002-3, Class M1 | 1.277% | (a) | 12/25/32 | 199 | 183,427 | |||||||||||||
Securitized Asset-Backed Receivables LLC Trust, Series 2004-NC1, Class M1 | 0.932% | (a) | 02/25/34 | 3,427 | 3,166,618 | |||||||||||||
Specialty Underwriting & Residential Finance Trust, Series 2004-BC1, Class M1 | 0.917% | (a) | 02/25/35 | 76 | 71,900 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 2.467% | (a) | 02/25/34 | 1,420 | 1,441,709 | |||||||||||||
Structured Asset Investment Loan Trust, Series 2004-2, Class A4 | 0.857% | (a) | 03/25/34 | 2,297 | 2,110,763 | |||||||||||||
Structured Asset Investment Loan Trust, Series 2004-7, Class A8 | 1.352% | (a) | 08/25/34 | 1,400 | 1,270,122 | |||||||||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-HF2, Class M3 | 3.152% | (a) | 07/25/32 | 905 | 838,544 | |||||||||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | 5.000% | 03/25/20 | 452 | 460,357 | ||||||||||||||
63,767,337 | ||||||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 116,155,428 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A32
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
BANK LOANS(a) — 3.1% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Automotive — 0.1% | ||||||||||||||||||
Chrysler Group LLC | 3.500% | 05/24/17 | 1,349 | $ | 1,353,219 | |||||||||||||
Chemicals — 0.1% | ||||||||||||||||||
CeramTec GmbH (Germany) | 4.750% | 08/30/20 | EUR | 900 | 1,240,587 | |||||||||||||
Financials — 0.3% | ||||||||||||||||||
Scandlines GmbH (Germany) | 4.697% | 12/03/20 | EUR | 2,000 | 2,764,031 | |||||||||||||
Foods — 0.1% | ||||||||||||||||||
Pinnacle Foods Finance LLC | 3.250% | 04/29/20 | 747 | 742,320 | ||||||||||||||
Gaming — 0.2% | ||||||||||||||||||
CCM Merger, Inc. | 5.000% | 03/01/17 | 2,454 | 2,450,652 | ||||||||||||||
Healthcare & Pharmaceutical — 0.7% | ||||||||||||||||||
Alere, Inc. | 3.180% | 06/30/16 | 454 | 454,849 | ||||||||||||||
Davita Healthcare Partners, Inc. | 3.500% | 06/30/21 | 1,500 | 1,506,965 | ||||||||||||||
Grifols SA | 3.234% | 03/31/21 | 150 | 149,363 | ||||||||||||||
Nima ACQ LLC | 3.250% | 03/01/21 | 1,696 | 1,687,271 | ||||||||||||||
Quintiles Transnational Corp. | 3.750% | 06/08/18 | 1,473 | 1,471,390 | ||||||||||||||
RPI Finance Trust (Luxembourg) | 3.250% | 05/09/18 | 2,327 | 2,329,150 | ||||||||||||||
7,598,988 | ||||||||||||||||||
Media & Entertainment — 0.1% | ||||||||||||||||||
CBS Outdoor Americas CAP Co. | 3.000% | 01/31/21 | 1,000 | 995,625 | ||||||||||||||
Retailers — 0.3% | ||||||||||||||||||
Alliance Boots Holdings Ltd. (United Kingdom) | 3.978% | 07/09/17 | GBP | 2,000 | 3,422,782 | |||||||||||||
Technology — 0.9% | ||||||||||||||||||
Avago Technologies Finance Pte Ltd. | 3.750% | 05/06/21 | 400 | 401,283 | ||||||||||||||
First Data Corp. | 4.231% | 03/26/18 | 2,411 | 2,413,454 | ||||||||||||||
First Data Corp. | 4.234% | 03/24/21 | 183 | 182,731 | ||||||||||||||
Freescale Semiconductor, Inc. | 4.250% | 02/28/20 | 1,728 | 1,728,191 | ||||||||||||||
Interactive Data Corp. | 4.750% | 05/02/21 | 1,200 | 1,209,000 | ||||||||||||||
RBS WorldPay, Inc. (United Kingdom) | 5.750% | 11/29/19 | GBP | 900 | 1,548,916 | |||||||||||||
TransUnion LLC/TransUnion Financing Corp. | 4.000% | 03/31/21 | 200 | 199,400 | ||||||||||||||
Vantiv LLC | 0.000% | (f) | 06/13/19 | 1,500 | 1,475,625 | |||||||||||||
9,158,600 | ||||||||||||||||||
Telecommunications — 0.1% | ||||||||||||||||||
SBA SNR Fin Li LLC | 3.250% | 03/24/21 | 1,150 | 1,143,172 | ||||||||||||||
Transportation — 0.2% | ||||||||||||||||||
RAC PLC | 5.316% | 10/29/19 | GBP | 1,500 | 2,567,087 | |||||||||||||
TOTAL BANK LOANS |
| 33,437,063 | ||||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 11.8% | ||||||||||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-3, Class A4 | 5.889% | (a) | 07/10/44 | 1,568 | 1,691,179 | |||||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-5, Class A2 | 5.317% | 09/10/47 | 1,550 | 1,555,526 | ||||||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A2 | 5.309% | 10/10/45 | 358 | 358,609 | ||||||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A4 | 5.356% | 10/10/45 | 800 | 852,760 | ||||||||||||||
Banc of America Commercial Mortgage Trust, Series 2007-1, Class A3 | 5.449% | 01/15/49 | 328 | 327,750 | ||||||||||||||
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A | 5.730% | (a) | 04/10/49 | 1,375 | 1,500,271 | |||||||||||||
Banc of America Commercial Mortgage Trust, Series 2007-5, Class A3 | 5.620% | 02/10/51 | 148 | 148,122 |
SEE NOTES TO FINANCIAL STATEMENTS.
A33
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 | 5.898% | (a) | 12/10/49 | 1,590 | $ | 1,756,438 | ||||||||||||
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 | 2.815% | 04/10/46 | 2,800 | 2,722,370 | ||||||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 | 3.575% | 05/10/47 | 3,200 | 3,266,083 | ||||||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class AAB | 5.510% | (a) | 01/15/46 | 756 | 763,435 | |||||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A3 | 5.293% | 12/11/49 | 2,013 | 2,050,223 | ||||||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2007-GG9, Class A2 | 5.381% | 03/10/39 | 2,291 | 2,328,257 | ||||||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 2,000 | 1,918,274 | ||||||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3 | 2.929% | 03/10/46 | 3,900 | 3,846,071 | ||||||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2013-CR12, Class A3 | 3.765% | 10/10/46 | 6,500 | 6,770,757 | ||||||||||||||
Commercial Mortgage Trust, Series 2005-GG3, Class AJ | 4.859% | (a) | 08/10/42 | 1,700 | 1,729,199 | |||||||||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM | 5.643% | (a) | 02/15/39 | 970 | 1,032,880 | |||||||||||||
Credit Suisse Commercial Mortgage Trust, Series 2007-C4, Class A3 | 6.051% | (a) | 09/15/39 | 1,893 | 1,901,085 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, I/O | 1.816% | (a) | 06/25/20 | 9,548 | 718,670 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O | 1.606% | (a) | 05/25/22 | 29,020 | 2,663,296 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O | 1.643% | (a) | 06/25/22 | 16,551 | 1,579,843 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, I/O | 1.027% | (a) | 10/25/22 | 11,243 | 672,913 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K036, Class X1, I/O | 0.942% | (a) | 10/25/23 | 13,219 | 784,802 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O | 1.862% | (a) | 08/25/16 | 11,788 | 296,054 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O | 1.911% | (a) | 05/25/19 | 23,235 | 1,715,266 | |||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O | 1.830% | (a) | 07/25/19 | 27,826 | 2,007,511 | |||||||||||||
GE Capital Commercial Mortgage Corp., Series 2007-C1, Class A2 | 5.417% | 12/10/49 | 4,182 | 4,183,270 | ||||||||||||||
GS Mortgage Securities Trust, Series 2013-GC12, Class A3 | 2.860% | 06/10/46 | 4,600 | 4,478,086 | ||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM | 4.999% | (a) | 10/15/42 | 1,820 | 1,900,477 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A2 | 5.976% | (a) | 06/15/49 | 1,215 | 1,214,543 | |||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class A3(a) | 6.145% | 02/15/51 | 3,095 | 3,100,965 | ||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4 | 2.611% | 12/15/47 | 2,000 | 1,921,612 | ||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 | 2.875% | 12/15/47 | 4,600 | 4,528,999 | ||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 4,600 | 4,415,503 | ||||||||||||||
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM | 5.263% | (a) | 11/15/40 | 2,100 | 2,216,932 | |||||||||||||
LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A2 | 5.300% | 11/15/38 | 880 | 908,056 | ||||||||||||||
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A3 | 6.032% | (a) | 06/12/50 | 471 | 473,240 | |||||||||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class A2 | 5.112% | 12/12/49 | 479 | 479,258 | ||||||||||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A2 | 5.590% | 09/12/49 | 319 | 319,038 | ||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | 2.863% | 12/15/48 | 1,700 | 1,661,434 | ||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A3 | 2.834% | 05/15/46 | 2,300 | 2,231,810 |
SEE NOTES TO FINANCIAL STATEMENTS.
A34
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A3 | 4.104% | (a) | 07/15/46 | 4,800 | $ | 5,102,909 | ||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class A3 | 3.973% | 10/15/46 | 3,600 | 3,780,724 | ||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C15, Class A3 | 3.773% | 04/15/47 | 4,100 | 4,245,677 | ||||||||||||||
Morgan Stanley Capital I Trust, Series 2006-T23, Class A3 | 5.981% | (a) | 08/12/41 | 1,178 | 1,180,373 | |||||||||||||
Morgan Stanley Capital I Trust, Series 2007-IQ14, Class AAB | 5.654% | (a) | 04/15/49 | 3,641 | 3,760,814 | |||||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | 2.792% | 12/10/45 | 2,300 | 2,249,807 | ||||||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | 2.920% | 03/10/46 | 4,600 | 4,524,344 | ||||||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | 2.971% | 04/10/46 | 3,800 | 3,744,744 | ||||||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class AMFX | 5.179% | (a) | 07/15/42 | 3,145 | 3,282,185 | |||||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4(b) | 5.509% | 04/15/47 | 5,150 | 5,575,498 | ||||||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A1A | 5.933% | (a) | 06/15/49 | 2,713 | 2,985,401 | |||||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A2 | 5.569% | 05/15/46 | 1,812 | 1,788,570 | ||||||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class A4 | 3.548% | 08/15/50 | 4,300 | 4,356,601 | ||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 127,568,514 | ||||||||||||||||
CORPORATE BONDS — 48.7% | ||||||||||||||||||
Aerospace & Defense — 0.3% | ||||||||||||||||||
Textron, Inc., Sr. Unsec’d. Notes | 7.250% | 10/01/19 | 2,350 | 2,849,260 | ||||||||||||||
Airlines — 0.6% | ||||||||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1 | 6.703% | 06/15/21 | 2 | 2,588 | ||||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class B | 7.373% | 12/15/15 | 394 | 422,183 | ||||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A | 5.983% | 04/19/22 | 1,559 | 1,746,176 | ||||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A | 4.750% | 01/12/21 | 482 | 521,637 | ||||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certs., Series 2007-1 Class A | 6.821% | 08/10/22 | 1,207 | 1,424,107 | ||||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certs., Series 2010-2, Class A(b) | 4.950% | 05/23/19 | 584 | 636,240 | ||||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certs., Series 2011-1, Class A | 5.300% | 04/15/19 | 614 | 676,395 | ||||||||||||||
United Airlines Pass-Through Trust, Pass-Through Certificates, Series 2007-071A, Class A | 6.636% | 07/02/22 | 900 | 994,384 | ||||||||||||||
6,423,710 | ||||||||||||||||||
Automotive — 1.1% | ||||||||||||||||||
Ford Motor Co., Sr. Unsec’d. Notes(b) | 4.750% | 01/15/43 | 750 | 758,242 | ||||||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | 1.700% | 05/09/16 | 4,620 | 4,678,826 | ||||||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | 3.984% | 06/15/16 | 375 | 396,252 | ||||||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes(b) | 2.375% | 01/16/18 | 2,225 | 2,272,860 | ||||||||||||||
General Motors Co., Sr. Unsec’d. Notes, 144A | 4.875% | 10/02/23 | 1,350 | 1,420,875 | ||||||||||||||
General Motors Co., Sr. Unsec’d. Notes, 144A | 6.250% | 10/02/43 | 1,885 | 2,163,037 | ||||||||||||||
Harley-Davidson Funding Corp., Gtd. Notes, MTN, 144A | 5.750% | 12/15/14 | 660 | 675,486 | ||||||||||||||
12,365,578 | ||||||||||||||||||
Banking — 12.5% | ||||||||||||||||||
Bank of America Corp., Jr. Sub Notes, Series K | 8.000% | (a) | 12/29/49 | 3,500 | 3,873,642 | |||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 3.300% | 01/11/23 | 4,275 | 4,213,679 |
SEE NOTES TO FINANCIAL STATEMENTS.
A35
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Banking (continued) | ||||||||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 4.000% | 04/01/24 | 1,150 | $ | 1,173,611 | |||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.125% | 01/22/24 | 3,750 | 3,866,224 | ||||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 5.700% | 01/24/22 | 1,775 | 2,059,680 | ||||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 6.000% | 09/01/17 | 4,590 | 5,185,488 | ||||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, Series 1 | 3.750% | 07/12/16 | 1,340 | 1,409,625 | ||||||||||||||
Bank of America NA, Sub. Notes | 5.300% | 03/15/17 | 790 | 868,870 | ||||||||||||||
Barclays Bank PLC (United Kingdom), Sr. Unsec’d. Notes(b) | 3.750% | 05/15/24 | 3,375 | 3,387,062 | ||||||||||||||
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes | 7.250% | 02/01/18 | 1,575 | 1,874,368 | ||||||||||||||
Branch Banking & Trust Co., Sr. Unsec’d. Notes(b) | 2.850% | 04/01/21 | 3,700 | 3,741,000 | ||||||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 3.750% | 04/24/24 | 2,400 | 2,435,966 | ||||||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 5.250% | 02/21/17 | 2,460 | 2,707,237 | ||||||||||||||
Capital One Financial Corp., Sub. Notes | 6.150% | 09/01/16 | 700 | 774,666 | ||||||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 6.125% | 11/21/17 | 2,050 | 2,344,681 | ||||||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes(b) | 6.125% | 05/15/18 | 2,500 | 2,880,302 | ||||||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.125% | 07/15/39 | 4,120 | 6,184,033 | ||||||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.500% | 05/22/19 | 1,375 | 1,757,513 | ||||||||||||||
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes | 3.700% | 05/30/24 | 1,650 | 1,650,502 | ||||||||||||||
Discover Bank, Sr. Unsec’d. Notes | 4.250% | 03/13/26 | 1,150 | 1,194,472 | ||||||||||||||
Discover Bank, Sub. Notes | 7.000% | 04/15/20 | 2,005 | 2,408,330 | ||||||||||||||
Fifth Third Bank, Sr. Unsec’d. Notes | 1.450% | 02/28/18 | 3,275 | 3,264,003 | ||||||||||||||
Fifth Third Bank, Sr. Unsec’d. Notes | 2.375% | 04/25/19 | 425 | 430,519 | ||||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.750% | 01/24/22 | 4,200 | 4,860,173 | ||||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.150% | 04/01/18 | 1,355 | 1,553,941 | ||||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 09/01/17 | 3,195 | 3,637,367 | ||||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 02/01/41 | 2,195 | 2,677,687 | ||||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes, Series D | 6.000% | 06/15/20 | 2,420 | 2,820,764 | ||||||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 6.750% | 10/01/37 | 440 | 529,335 | ||||||||||||||
Huntington Bancshares, Inc., Sub. Notes | 7.000% | 12/15/20 | 260 | 315,333 | ||||||||||||||
ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A | 7.250% | (a) | 08/29/49 | 2,380 | 2,403,800 | |||||||||||||
ING Bank NV (Netherlands), Unsec’d. Notes, 144A | 2.000% | 09/25/15 | 770 | 782,389 | ||||||||||||||
Intesa Sanpaolo SpA (Italy), Bank Gtd. Notes | 3.125% | 01/15/16 | 1,625 | 1,670,344 | ||||||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes, Series 1 | 7.900% | 04/29/49 | 6,130 | 6,850,275 | ||||||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 3.150% | 07/05/16 | 2,245 | 2,340,074 | ||||||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 3.250% | 09/23/22 | 500 | 502,283 | ||||||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 4.250% | 10/15/20 | 600 | 650,900 | ||||||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 4.400% | 07/22/20 | 5,100 | 5,572,444 | ||||||||||||||
JPMorgan Chase & Co., Sub. Notes | 5.625% | 08/16/43 | 675 | 763,008 | ||||||||||||||
KeyCorp, Sr. Unsec’d. Notes, MTN | 5.100% | 03/24/21 | 1,155 | 1,308,735 | ||||||||||||||
Lloyds Bank PLC (United Kingdom), Bank Gtd. Notes, MTN, 144A | 5.800% | 01/13/20 | 2,650 | 3,076,388 | ||||||||||||||
Mizuho Bank Ltd. (Japan), Gtd. Notes, 144A | 1.850% | 03/21/18 | 1,125 | 1,129,441 | ||||||||||||||
Morgan Stanley, Jr. Sub. Notes, Series H | 5.450% | 12/31/49 | 975 | 992,784 | ||||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.450% | 01/09/17 | 4,035 | 4,444,936 | ||||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.500% | 07/28/21 | 3,830 | 4,400,007 | ||||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.625% | 09/23/19 | 2,635 | 3,030,801 | ||||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 5.750% | 01/25/21 | 1,920 | 2,230,320 | ||||||||||||||
Northern Trust Corp., Sub. Notes | 3.950% | 10/30/25 | 3,025 | 3,143,786 | ||||||||||||||
People’s United Bank, Sub. Notes | 4.000% | 07/15/24 | 550 | 552,175 | ||||||||||||||
People’s United Financial, Inc., Sr. Unsec’d. Notes | 3.650% | 12/06/22 | 1,675 | 1,679,015 | ||||||||||||||
PNC Financial Services Group, Inc. (The), Sub. Notes | 3.900% | 04/29/24 | 975 | 993,520 | ||||||||||||||
Royal Bank of Scotland Group PLC (The) (United Kingdom), Sr. Unsec’d. Notes | 2.550% | 09/18/15 | 625 | 637,890 | ||||||||||||||
Santander Holdings USA, Inc., Sr. Unsec’d. Notes | 3.000% | 09/24/15 | 950 | 975,779 | ||||||||||||||
Santander Holdings USA, Inc., Sr. Unsec’d. Notes | 4.625% | 04/19/16 | 525 | 558,181 | ||||||||||||||
State Street Corp., Jr. Sub. Debs | 4.956% | 03/15/18 | 3,025 | 3,318,712 | ||||||||||||||
Sumitomo Mitsui Banking Corp. (Japan), Bank Gtd. Notes | 2.450% | 01/10/19 | 625 | 639,136 | ||||||||||||||
Sumitomo Mitsui Banking Corp. (Japan), Bank Gtd. Notes | 3.000% | 01/18/23 | 2,250 | 2,205,679 | ||||||||||||||
Westpac Banking Corp. (Australia), 144A(b) | 2.000% | 05/21/19 | 2,020 | 2,019,113 | ||||||||||||||
134,951,988 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A36
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Brokerage — 0.2% | ||||||||||||||||||
Jefferies Group LLC, Sr. Unsec’d. Notes | 6.500% | 01/20/43 | 650 | $ | 717,001 | |||||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(e) | 6.875% | 05/02/18 | 2,740 | 548,000 | ||||||||||||||
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN | 2.000% | 09/13/16 | 950 | 965,504 | ||||||||||||||
2,230,505 | ||||||||||||||||||
Building Materials & Construction — 1.2% | ||||||||||||||||||
Building Materials Corp. of America, Gtd. Notes, 144A , | 7.500% | 03/15/20 | 1,615 | 1,719,975 | ||||||||||||||
Cemex Espana Luxembourg (Mexico), Sr. Sec’d. Notes | 9.875% | 04/30/19 | 1,233 | 1,414,867 | ||||||||||||||
Cemex Espana Luxembourg (Mexico), Sr. Sec’d. Notes, 144A | 9.250% | 05/12/20 | 1,260 | 1,378,125 | ||||||||||||||
Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A | 9.875% | 04/30/19 | 1,360 | 1,560,600 | ||||||||||||||
Mohawk Industries, Inc., Sr. Unsec’d. Notes | 3.850% | 02/01/23 | 594 | 591,773 | ||||||||||||||
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A | 5.250% | 06/27/29 | 1,275 | 1,269,262 | ||||||||||||||
Toll Brothers Finance Corp., Gtd. Notes | 5.150% | 05/15/15 | 4,695 | 4,841,719 | ||||||||||||||
12,776,321 | ||||||||||||||||||
Cable — 1.4% | ||||||||||||||||||
British Sky Broadcasting Group PLC (United Kingdom), Gtd. Notes, 144A | 6.100% | 02/15/18 | 210 | 238,278 | ||||||||||||||
CSC Holdings LLC, Sr. Unsec’d. Notes | 6.750% | 11/15/21 | 2,225 | 2,447,500 | ||||||||||||||
CSC Holdings LLC, Sr. Unsec’d. Notes(b) | 8.625% | 02/15/19 | 1,610 | 1,913,888 | ||||||||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | 3.500% | 03/01/16 | 2,825 | 2,947,876 | ||||||||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | 3.550% | 03/15/15 | 275 | 280,899 | ||||||||||||||
Nara Cable Funding Ltd. (Spain), Sr. Sec’d. Notes, RegS | 8.875% | 12/01/18 | EUR | 800 | 1,169,404 | |||||||||||||
NBCUniversal Media LLC, Gtd. Notes | 4.450% | 01/15/43 | 290 | 290,943 | ||||||||||||||
TCI Communications, Inc., Sr. Unsec’d. Notes | 7.875% | 02/15/26 | 750 | 1,049,885 | ||||||||||||||
Time Warner Cable, Inc., Gtd. Notes | 6.750% | 07/01/18 | 2,620 | 3,100,272 | ||||||||||||||
Virgin Media Secured Finance PLC (United Kingdom), | 6.000% | 04/15/21 | GBP | 1,050 | 1,895,793 | |||||||||||||
15,334,738 | ||||||||||||||||||
Capital Goods — 1.7% | ||||||||||||||||||
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A | 6.500% | 07/15/22 | 1,375 | 1,502,187 | ||||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A , | 6.700% | 06/01/34 | 920 | 1,151,490 | ||||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A , | 7.000% | 10/15/37 | 770 | 1,008,969 | ||||||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.125% | 10/09/42 | 500 | 493,825 | ||||||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.500% | 03/11/44 | 740 | 771,035 | ||||||||||||||
Hertz Corp. (The), Gtd. Notes(b) | 6.750% | 04/15/19 | 1,500 | 1,590,000 | ||||||||||||||
Ingersoll-Rand Global Holding Co. Ltd., Gtd. Notes | 5.750% | 06/15/43 | 425 | 495,216 | ||||||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., | 2.500% | 07/11/14 | 475 | 475,211 | ||||||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., | 2.500% | 03/15/16 | 2,025 | 2,081,548 | ||||||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A, | 3.125% | 05/11/15 | 675 | 689,685 | ||||||||||||||
Pentair Finance SA, Gtd. Notes | 1.875% | 09/15/17 | 625 | 631,807 | ||||||||||||||
Rockwell Automation, Inc., Sr. Unsec’d. Notes | 5.200% | 01/15/98 | 1,100 | 1,046,331 | ||||||||||||||
United Rentals North America, Inc., Gtd. Notes | 7.625% | 04/15/22 | 2,700 | 3,030,750 | ||||||||||||||
United Technologies Corp., Sr. Unsec’d. Notes | 4.500% | 06/01/42 | 1,675 | 1,754,335 | ||||||||||||||
Xylem, Inc., Sr. Unsec’d. Notes | 4.875% | 10/01/21 | 1,960 | 2,131,559 | ||||||||||||||
18,853,948 | ||||||||||||||||||
Chemicals — 1.6% | ||||||||||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 4.900% | 06/01/43 | 1,300 | 1,328,426 | ||||||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes(b) | 6.125% | 01/15/41 | 450 | 535,896 | ||||||||||||||
Ashland, Inc., Gtd. Notes(b) | 4.750% | 08/15/22 | 875 | 879,375 |
SEE NOTES TO FINANCIAL STATEMENTS.
A37
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Chemicals (continued) | ||||||||||||||||||
CF Industries, Inc., Gtd. Notes(b) | 4.950% | 06/01/43 | 675 | $ | 676,032 | |||||||||||||
CF Industries, Inc., Gtd. Notes | 5.375% | 03/15/44 | 700 | 750,570 | ||||||||||||||
CF Industries, Inc., Gtd. Notes | 6.875% | 05/01/18 | 380 | 446,771 | ||||||||||||||
CF Industries, Inc., Gtd. Notes | 7.125% | 05/01/20 | 300 | 369,524 | ||||||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 9.400% | 05/15/39 | 1,252 | 2,051,546 | ||||||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 6.000% | 11/15/21 | 3,550 | 4,244,930 | ||||||||||||||
Mexichem SAB de CV (Mexico), Sr. Unsec’d. Notes, 144A(b) | 4.875% | 09/19/22 | 850 | 884,000 | ||||||||||||||
Monsanto Co., Sr. Unsec’d. Notes | 3.375% | 07/15/24 | 175 | 176,157 | ||||||||||||||
Monsanto Co., Sr. Unsec’d. Notes | 4.200% | 07/15/34 | 225 | 227,087 | ||||||||||||||
Monsanto Co., Sr. Unsec’d. Notes | 4.400% | 07/15/44 | 275 | 275,604 | ||||||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.450% | 11/15/33 | 465 | 521,049 | ||||||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.625% | 11/15/43 | 155 | 176,626 | ||||||||||||||
Union Carbide Corp., Sr. Unsec’d. Notes | 7.875% | 04/01/23 | 3,058 | 3,863,853 | ||||||||||||||
17,407,446 | ||||||||||||||||||
Consumer — 0.2% | ||||||||||||||||||
Service Corp. International, Sr. Unsec’d. Notes | 7.625% | 10/01/18 | 2,000 | 2,345,000 | ||||||||||||||
Electric — 3.5% | ||||||||||||||||||
AES Corp. (The), Sr. Unsec’d. Notes | 8.000% | 10/15/17 | 4,000 | 4,660,000 | ||||||||||||||
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | 3.350% | 07/01/23 | 550 | 558,298 | ||||||||||||||
Calpine Corp., Sr. Sec’d. Notes, 144A | 7.500% | 02/15/21 | 1,108 | 1,202,180 | ||||||||||||||
Covanta Holding Corp., Sr. Unsec’d. Notes | 7.250% | 12/01/20 | 2,500 | 2,725,000 | ||||||||||||||
Duke Energy Corp., Sr. Unsec’d. Notes | 2.100% | 06/15/18 | 3,775 | 3,816,616 | ||||||||||||||
El Paso Electric Co., Sr. Unsec’d. Notes | 6.000% | 05/15/35 | 2,325 | 2,734,386 | ||||||||||||||
Enel Finance International NV (Netherlands), Gtd. Notes, 144A(b) | 6.000% | 10/07/39 | 1,450 | 1,652,095 | ||||||||||||||
Exelon Corp., Sr. Unsec’d. Notes | 4.900% | 06/15/15 | 500 | 519,769 | ||||||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes(b) | 6.200% | 10/01/17 | 1,930 | 2,198,917 | ||||||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes(b) | 6.250% | 10/01/39 | 1,900 | 2,229,243 | ||||||||||||||
FirstEnergy Corp., Series A, Sr. Unsec’d. Notes | 2.750% | 03/15/18 | 1,800 | 1,821,541 | ||||||||||||||
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A | 5.450% | 07/15/44 | 400 | 405,278 | ||||||||||||||
Iberdrola International BV (Spain), Gtd. Notes | 6.750% | 09/15/33 | 1,150 | 1,314,604 | ||||||||||||||
NRG Energy, Inc., Gtd. Notes(b) | 6.625% | 03/15/23 | 2,750 | 2,976,875 | ||||||||||||||
Pacific Gas & Electric Co., Sr. Unsec’d. Notes(b) | 4.600% | 06/15/43 | 1,950 | 2,026,594 | ||||||||||||||
South Carolina Electric & Gas Co., First Mortgage | 4.600% | 06/15/43 | 2,025 | 2,163,552 | ||||||||||||||
TransAlta Corp. (Canada), Sr. Unsec’d. Notes | 6.650% | 05/15/18 | 1,953 | 2,213,059 | ||||||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 5.613% | 04/01/17 | 1,947 | 2,155,847 | ||||||||||||||
37,373,854 | ||||||||||||||||||
Energy – Integrated — 1.0% | ||||||||||||||||||
Lukoil International Finance BV (Netherlands), Gtd. Notes, 144A | 7.250% | 11/05/19 | 1,300 | 1,473,875 | ||||||||||||||
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A | 5.375% | 01/26/19 | 870 | 906,975 | ||||||||||||||
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A | 7.250% | 12/12/21 | 1,040 | 1,154,400 | ||||||||||||||
Pacific Rubiales Energy Corp. (Colombia), Sr. Unsec’d. Notes, RegS | 7.250% | 12/12/21 | 1,540 | 1,709,400 | ||||||||||||||
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A | 5.400% | 02/14/22 | 1,860 | 2,008,352 | ||||||||||||||
Rosneft Finance SA (Russia), Gtd. Notes, 144A(b) | 6.625% | 03/20/17 | 585 | 640,575 | ||||||||||||||
Sasol Financing International PLC (South Africa), Gtd. Notes | 4.500% | 11/14/22 | 2,725 | 2,765,357 | ||||||||||||||
10,658,934 | ||||||||||||||||||
Energy – Other — 1.5% | ||||||||||||||||||
Afren PLC (United Kingdom), Sr. Sec’d. Notes, RegS | 11.500% | 02/01/16 | 600 | 669,750 | ||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.375% | 09/15/17 | 3,265 | 3,759,125 | ||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.450% | 09/15/36 | 875 | 1,115,841 | ||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.950% | 06/15/19 | 250 | 305,962 | ||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 7.936% | (f) | 10/10/36 | 2,000 | 773,404 | |||||||||||||
Cameron International Corp., Sr. Unsec’d. Notes | 7.000% | 07/15/38 | 450 | 587,977 | ||||||||||||||
Nabors Industries, Inc., Gtd. Notes | 4.625% | 09/15/21 | 1,650 | 1,787,257 | ||||||||||||||
Noble Energy, Inc., Sr. Unsec’d. Notes | 6.000% | 03/01/41 | 1,530 | 1,841,083 | ||||||||||||||
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | 6.875% | 05/01/18 | 1,750 | 2,068,013 | ||||||||||||||
Precision Drilling Corp. (Canada), Gtd. Notes | 6.625% | 11/15/20 | 1,000 | 1,070,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
A38
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Energy – Other (continued) | ||||||||||||||||||
Transocean, Inc., Gtd. Notes | 2.500% | 10/15/17 | 1,075 | $ | 1,097,781 | |||||||||||||
Weatherford International Ltd., Gtd. Notes | 5.125% | 09/15/20 | 1,165 | 1,304,840 | ||||||||||||||
16,381,033 | ||||||||||||||||||
Foods — 0.8% | ||||||||||||||||||
Aramark Corp., Gtd. Notes | 5.750% | 03/15/20 | 1,350 | 1,427,625 | ||||||||||||||
BRF SA (Brazil), Sr. Unsec’d. Notes, 144A | 4.750% | 05/22/24 | 775 | 763,375 | ||||||||||||||
BRF SA (Brazil), Sr. Unsec’d. Notes, 144A | 3.950% | 05/22/23 | 275 | 259,875 | ||||||||||||||
Coca-Cola Icecek A/S (Turkey), Sr. Unsec’d. Notes, 144A | 4.750% | 10/01/18 | 375 | 394,912 | ||||||||||||||
Corp. Pesquera Inca SAC (Peru), Gtd. Notes, 144A | 9.000% | 02/10/17 | 1,000 | 975,000 | ||||||||||||||
JBS Finance II Ltd. (Brazil), Gtd. Notes, 144A | 8.250% | 01/29/18 | 200 | 212,000 | ||||||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A , | 7.250% | 06/01/21 | 1,330 | 1,426,425 | ||||||||||||||
Minerva Luxembourg SA (Brazil), Gtd. Notes, 144A | 12.250% | 02/10/22 | 725 | 819,250 | ||||||||||||||
Sigma Alimentos SA de CV (Mexico), Gtd. Notes | 5.625% | 04/14/18 | 950 | 1,050,700 | ||||||||||||||
Tyson Foods, Inc., Gtd. Notes | 6.600% | 04/01/16 | 1,000 | 1,095,368 | ||||||||||||||
8,424,530 | ||||||||||||||||||
Gaming — 0.2% | ||||||||||||||||||
Pinnacle Entertainment, Inc., Gtd. Notes(b) | 7.500% | 04/15/21 | 1,550 | 1,670,125 | ||||||||||||||
Healthcare & Pharmaceutical — 1.9% | ||||||||||||||||||
Actavis Funding SCS, Gtd. Notes, 144A | 4.850% | 06/15/44 | 680 | 686,425 | ||||||||||||||
Amgen, Inc., Sr. Unsec’d. Notes | 5.150% | 11/15/41 | 2,515 | 2,698,681 | ||||||||||||||
Amgen, Inc., Sr. Unsec’d. Notes | 5.375% | 05/15/43 | 115 | 126,900 | ||||||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes | 8.000% | 11/15/19 | 2,500 | 2,737,500 | ||||||||||||||
ConvaTec Finance International SA (Luxembourg), | 8.250% | 01/15/19 | 2,300 | 2,351,750 | ||||||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 5.650% | 12/01/41 | 250 | 294,600 | ||||||||||||||
HCA, Inc., Gtd. Notes | 8.000% | 10/01/18 | 2,250 | 2,660,625 | ||||||||||||||
HCA, Inc., Sr. Unsec’d. Notes, MTN(b) | 9.000% | 12/15/14 | 320 | 329,600 | ||||||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 3.750% | 08/23/22 | 225 | 227,670 | ||||||||||||||
LifePoint Hospitals, Inc., Gtd. Notes | 6.625% | 10/01/20 | 1,000 | 1,080,000 | ||||||||||||||
Merck & Co, Inc., Sr. Unsec’d. Notes | 4.150% | 05/18/43 | 2,075 | 2,030,539 | ||||||||||||||
Pfizer, Inc., Sr. Unsec’d. Notes | 4.300% | 06/15/43 | 1,550 | 1,565,464 | ||||||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes | 8.000% | 08/01/20 | 1,570 | 1,701,488 | ||||||||||||||
Valeant Pharmaceuticals International, Gtd. Notes, 144A | 6.750% | 08/15/18 | 2,000 | 2,155,000 | ||||||||||||||
20,646,242 | ||||||||||||||||||
Healthcare Insurance — 1.4% | ||||||||||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.750% | 12/15/37 | 1,900 | 2,525,313 | ||||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 4.375% | 12/15/20 | 745 | 814,757 | ||||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.375% | 03/15/17 | 2,125 | 2,355,675 | ||||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.875% | 03/15/41 | 750 | 911,968 | ||||||||||||||
Coventry Health Care, Inc., Sr. Unsec’d. Notes | 6.125% | 01/15/15 | 4,025 | 4,144,627 | ||||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 4.250% | 03/15/43 | 1,200 | 1,172,723 | ||||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.500% | 06/15/37 | 760 | 994,414 | ||||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.625% | 11/15/37 | 195 | 258,629 | ||||||||||||||
WellPoint, Inc., Sr. Unsec’d. Notes | 4.625% | 05/15/42 | 525 | 534,521 | ||||||||||||||
WellPoint, Inc., Sr. Unsec’d. Notes | 4.650% | 01/15/43 | 1,225 | 1,245,486 | ||||||||||||||
14,958,113 | ||||||||||||||||||
Insurance — 3.6% | ||||||||||||||||||
Allied World Assurance Co. Ltd., Gtd. Notes | 5.500% | 11/15/20 | 430 | 485,780 | ||||||||||||||
Allied World Assurance Co. Ltd., Gtd. Notes | 7.500% | 08/01/16 | 2,475 | 2,782,142 | ||||||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 5.050% | 10/01/15 | 315 | 332,080 | ||||||||||||||
American International Group, Inc., Sr. Unsec’d. Notes, MTN | 5.850% | 01/16/18 | 3,700 | 4,223,853 | ||||||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 6.400% | 12/15/20 | 950 | 1,146,884 | ||||||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 8.250% | 08/15/18 | 2,005 | 2,491,030 | ||||||||||||||
Axis Capital Holdings Ltd., Sr. Unsec’d. Notes | 5.750% | 12/01/14 | 3,350 | 3,421,275 |
SEE NOTES TO FINANCIAL STATEMENTS.
A39
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Insurance (continued) | ||||||||||||||||||
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes | 3.000% | 02/11/23 | 1,850 | $ | 1,847,736 | |||||||||||||
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes(b) | 4.500% | 02/11/43 | 1,350 | 1,391,949 | ||||||||||||||
Chubb Corp. (The), Jr. Sub. Notes | 6.375% | (a) | 03/29/67 | 1,775 | 1,972,469 | |||||||||||||
Endurance Specialty Holdings Ltd., Sr. Unsec’d. Notes | 7.000% | 07/15/34 | 1,350 | 1,625,540 | ||||||||||||||
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes | 5.125% | 04/15/22 | 500 | 568,556 | ||||||||||||||
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A | 6.500% | 03/15/35 | 1,030 | 1,261,667 | ||||||||||||||
Lincoln National Corp., Jr. Sub. Notes | 6.050% | (a) | 04/20/67 | 350 | 353,937 | |||||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 7.000% | 06/15/40 | 1,265 | 1,734,239 | ||||||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 8.750% | 07/01/19 | 1,265 | 1,640,141 | ||||||||||||||
Markel Corp., Sr. Unsec’d. Notes | 5.000% | 03/30/43 | 350 | 363,632 | ||||||||||||||
Massachusetts Mutual Life Insurance Co., Sub. Notes, 144A | 8.875% | 06/01/39 | 1,200 | 1,911,088 | ||||||||||||||
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A | 6.063% | 03/30/40 | 500 | 620,181 | ||||||||||||||
Ohio National Financial Services, Inc., Sr. Notes, 144A | 6.375% | 04/30/20 | 850 | 989,471 | ||||||||||||||
Principal Financial Group, Inc., Gtd. Notes | 4.625% | 09/15/42 | 150 | 152,014 | ||||||||||||||
Progressive Corp. (The), Jr. Sub. Notes | 6.700% | (a) | 06/15/37 | 1,015 | 1,129,187 | |||||||||||||
Teachers Insurance & Annuity Association of America, | 6.850% | 12/16/39 | 2,310 | 3,080,625 | ||||||||||||||
Unum Group, Sr. Unsec’d. Notes | 5.625% | 09/15/20 | 500 | 573,606 | ||||||||||||||
Willis Group Holdings PLC, Gtd. Notes | 4.125% | 03/15/16 | 1,280 | 1,338,369 | ||||||||||||||
XL Group PLC (Ireland), Jr. Sub. Notes | 6.500% | (a) | 12/31/49 | 1,880 | 1,856,500 | |||||||||||||
XLIT Ltd. (Ireland), Gtd. Notes | 5.250% | 09/15/14 | 140 | 141,381 | ||||||||||||||
39,435,332 | ||||||||||||||||||
Lodging — 0.4% | ||||||||||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.250% | 09/15/22 | 1,325 | 1,310,275 | ||||||||||||||
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | 2.950% | 03/01/17 | 2,420 | 2,513,599 | ||||||||||||||
3,823,874 | ||||||||||||||||||
Media & Entertainment — 2.2% | ||||||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.150% | 03/01/37 | 460 | 553,099 | ||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.900% | 08/15/39 | 65 | 85,026 | ||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 7.625% | 11/30/28 | 1,415 | 1,845,310 | ||||||||||||||
AMC Networks, Inc., Gtd. Notes | 7.750% | 07/15/21 | 3,000 | 3,356,250 | ||||||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes | 9.125% | 08/01/18 | 2,300 | 2,419,600 | ||||||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes, 144A | 5.375% | 06/01/24 | 425 | 430,313 | ||||||||||||||
Historic TW, Inc., Gtd. Notes(b) | 6.625% | 05/15/29 | 1,837 | 2,340,863 | ||||||||||||||
Liberty Interactive LLC, Sr. Unsec’d. Notes(b) | 8.250% | 02/01/30 | 2,250 | 2,486,250 | ||||||||||||||
Myriad International Holdings BV (South Africa), Gtd. Notes, 144A | 6.000% | 07/18/20 | 1,035 | 1,141,088 | ||||||||||||||
RR Donnelley & Sons Co., Sr. Unsec’d. Notes | 8.600% | 08/15/16 | 4,750 | 5,450,625 | ||||||||||||||
Time Warner Cos., Inc., Gtd. Notes | 6.950% | 01/15/28 | 532 | 685,953 | ||||||||||||||
Time Warner Cos., Inc., Gtd. Notes | 7.250% | 10/15/17 | 1,440 | 1,684,486 | ||||||||||||||
Viacom, Inc., Sr. Unsec’d. Notes, | 4.500% | 02/27/42 | 95 | 90,661 | ||||||||||||||
Viacom, Inc., Sr. Unsec’d. Notes, | 4.875% | 06/15/43 | 475 | 477,928 | ||||||||||||||
Viacom, Inc., Sr. Unsec’d. Notes, | 5.850% | 09/01/43 | 445 | 511,228 | ||||||||||||||
23,558,680 | ||||||||||||||||||
Metals — 1.1% | ||||||||||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes | 5.000% | 09/30/43 | 1,250 | 1,381,481 | ||||||||||||||
CITIC Pacific Ltd. (China), Sr. Unsec’d. Notes, MTN | 6.875% | 01/21/18 | 585 | 654,498 | ||||||||||||||
FMG Resources (August 2006) Pty Ltd. (Australia), | 6.000% | 04/01/17 | 1,000 | 1,032,500 | ||||||||||||||
Goldcorp, Inc. (Canada), Sr. Unsec’d. Notes | 3.625% | 06/09/21 | 825 | 834,390 | ||||||||||||||
Newmont Mining Corp., Gtd. Notes | 6.250% | 10/01/39 | 75 | 78,824 | ||||||||||||||
Peabody Energy Corp., Gtd. Notes(b) | 6.000% | 11/15/18 | 4,075 | 4,248,188 |
SEE NOTES TO FINANCIAL STATEMENTS.
A40
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Metals (continued) | ||||||||||||||||||
Southern Copper Corp., Sr. Unsec’d. Notes | 6.750% | 04/16/40 | 990 | $ | 1,076,433 | |||||||||||||
Southern Copper Corp., Sr. Unsec’d. Notes | 7.500% | 07/27/35 | 550 | 640,269 | ||||||||||||||
Vedanta Resources PLC (India), Sr. Unsec’d. Notes, 144A | 6.000% | 01/31/19 | 400 | 413,520 | ||||||||||||||
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A | 2.850% | 11/10/14 | 1,825 | 1,835,459 | ||||||||||||||
12,195,562 | ||||||||||||||||||
Non-Captive Finance — 2.9% | ||||||||||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes(b) | 5.000% | 08/15/22 | 1,350 | 1,397,250 | ||||||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes, 144A(b) | 5.500% | 02/15/19 | 4,000 | 4,335,000 | ||||||||||||||
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | 5.875% | 01/14/38 | 675 | 818,913 | ||||||||||||||
General Electric Capital Corp., Sr. Unsec’d. Notes, GMTN(g) | 6.000% | 08/07/19 | 6,315 | 7,480,421 | ||||||||||||||
General Electric Capital Corp., Sub. Notes | 5.300% | 02/11/21 | 1,185 | 1,347,486 | ||||||||||||||
HSBC Finance Corp., Sub. Notes | 6.676% | 01/15/21 | 295 | 352,791 | ||||||||||||||
International Lease Finance Corp., Sr. Sec’d. Notes, 144A | 6.500% | 09/01/14 | 2,875 | 2,896,563 | ||||||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes(b) | 5.750% | 05/15/16 | 1,125 | 1,205,156 | ||||||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes(b) | 6.250% | 05/15/19 | 1,400 | 1,568,000 | ||||||||||||||
Nelnet, Inc., Jr. Sub. Notes | 3.609% | (a) | 09/29/36 | 625 | 487,500 | |||||||||||||
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A , | 0.955% | (a) | 07/03/33 | 904 | 850,187 | |||||||||||||
Schahin II Finance Co. SPV Ltd. (Brazil), Sr. Sec’d. Notes, 144A(b) | 5.875% | 09/25/22 | 1,764 | 1,738,000 | ||||||||||||||
SLM Corp., Sr. Unsec’d. Notes, MTN | 5.050% | 11/14/14 | 4,150 | 4,207,062 | ||||||||||||||
SLM Corp., Sr. Unsec’d. Notes, MTN | 6.000% | 01/25/17 | 1,075 | 1,167,719 | ||||||||||||||
Trust F/1401 (Mexico), Sr. Unsec’d. Notes, 144A(b) | 5.250% | 12/15/24 | 1,235 | 1,296,750 | ||||||||||||||
31,148,798 | ||||||||||||||||||
Packaging — 0.4% | ||||||||||||||||||
Ball Corp., Gtd. Notes | 6.750% | 09/15/20 | 345 | 367,856 | ||||||||||||||
Greif Luxembourg Finance, Sr. Unsec’d. Notes, 144A, MTN | 7.375% | 07/15/21 | EUR | 1,470 | 2,395,317 | |||||||||||||
Greif, Inc., Sr. Unsec’d. Notes | 7.750% | 08/01/19 | 1,815 | 2,087,250 | ||||||||||||||
4,850,423 | ||||||||||||||||||
Paper — 1.0% | ||||||||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 6.000% | 11/15/41 | 675 | 795,410 | ||||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.300% | 11/15/39 | 1,000 | 1,349,904 | ||||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.950% | 06/15/18 | 1,640 | 2,005,584 | ||||||||||||||
MeadWestvaco Corp., Sr. Unsec’d. Notes | 7.375% | 09/01/19 | 4,400 | 5,324,911 | ||||||||||||||
Rock-Tenn Co., Gtd. Notes(b) | 4.450% | 03/01/19 | 1,165 | 1,262,269 | ||||||||||||||
�� | ||||||||||||||||||
10,738,078 | ||||||||||||||||||
Pipelines & Other — 1.0% | ||||||||||||||||||
AGL Capital Corp., Gtd. Notes | 4.400% | 06/01/43 | 1,050 | 1,072,356 | ||||||||||||||
Buckeye Partners LP, Sr. Unsec’d. Notes | 4.150% | 07/01/23 | 1,760 | 1,813,986 | ||||||||||||||
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes | 5.000% | 08/15/42 | 550 | 546,704 | ||||||||||||||
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes | 7.300% | 08/15/33 | 1,550 | 1,969,903 | ||||||||||||||
NiSource Finance Corp., Gtd. Notes | 4.800% | 02/15/44 | 300 | 303,300 | ||||||||||||||
NiSource Finance Corp., Gtd. Notes | 5.450% | 09/15/20 | 1,345 | 1,539,515 | ||||||||||||||
ONEOK Partners LP, Gtd. Notes | 2.000% | 10/01/17 | 750 | 760,237 | ||||||||||||||
Sempra Energy, Sr. Unsec’d. Notes | 6.500% | 06/01/16 | 2,275 | 2,513,679 | ||||||||||||||
Western Gas Partners LP, Sr. Unsec’d. Notes | 5.450% | 04/01/44 | 575 | 633,385 | ||||||||||||||
11,153,065 | ||||||||||||||||||
Real Estate Investment Trusts — 0.4% | ||||||||||||||||||
Felcor Lodging LP, Sr. Sec’d. Notes | 10.000% | 10/01/14 | 1,921 | 1,957,115 | ||||||||||||||
ProLogis LP, Gtd. Notes | 6.875% | 03/15/20 | 8 | 9,612 | ||||||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 3.375% | 03/15/22 | 325 | 334,703 | ||||||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 6.125% | 05/30/18 | 40 | 46,538 | ||||||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 10.350% | 04/01/19 | 1,685 | 2,282,937 | ||||||||||||||
4,630,905 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A41
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Retailers — 0.5% | �� | |||||||||||||||||
CVS Caremark Corp., Sr. Unsec’d. Notes(b) | 6.125% | 09/15/39 | 2,000 | $ | 2,490,350 | |||||||||||||
Home Depot, Inc. (The), Sr. Unsec’d. Notes | 4.400% | 03/15/45 | 875 | 888,302 | ||||||||||||||
Limited Brands, Inc., Gtd. Notes | 5.625% | 02/15/22 | 2,200 | 2,381,500 | ||||||||||||||
5,760,152 | ||||||||||||||||||
Technology — 1.3% | ||||||||||||||||||
Arrow Electronics, Inc., Sr. Unsec’d. Notes | 3.375% | 11/01/15 | 600 | 619,192 | ||||||||||||||
Avaya, Inc., Sec’d. Notes, 144A(b) | 10.500% | 03/01/21 | 200 | 184,500 | ||||||||||||||
CDW LLC/CDW Finance Corp., Gtd. Notes | 8.500% | 04/01/19 | 3,000 | 3,247,500 | ||||||||||||||
Fiserv, Inc., Gtd. Notes | 3.125% | 10/01/15 | 195 | 200,603 | ||||||||||||||
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A | 3.750% | 06/01/18 | 1,925 | 1,929,813 | ||||||||||||||
Oracle Corp., Sr. Unsec’d. Notes | 4.300% | 07/08/34 | 1,070 | 1,069,572 | ||||||||||||||
Seagate HDD Cayman, Gtd. Notes | 6.875% | 05/01/20 | 2,610 | 2,822,062 | ||||||||||||||
SunGard Data Systems, Inc., Gtd. Notes | 7.625% | 11/15/20 | 1,700 | 1,853,000 | ||||||||||||||
Xerox Corp., Sr. Unsec’d. Notes | 4.250% | 02/15/15 | 2,000 | 2,046,056 | ||||||||||||||
13,972,298 | ||||||||||||||||||
Telecommunications — 2.3% | ||||||||||||||||||
America Movil SAB de CV (Mexico), Gtd. Notes | 6.125% | 03/30/40 | 655 | 771,472 | ||||||||||||||
AT&T Corp., Gtd. Notes | 8.000% | 11/15/31 | 103 | 151,237 | ||||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.800% | 06/15/44 | 1,975 | 2,016,197 | ||||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.350% | 09/01/40 | 483 | 525,369 | ||||||||||||||
Bharti Airtel International Netherlands BV (India), | 5.125% | 03/11/23 | 1,305 | 1,336,907 | ||||||||||||||
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A | 5.350% | 05/20/24 | 690 | 715,909 | ||||||||||||||
British Telecommunications PLC (United Kingdom), | 9.625% | 12/15/30 | 328 | 522,423 | ||||||||||||||
Eileme 2 AB (Sweden), Sr. Sec’d. Notes, RegS | 11.750% | 01/31/20 | EUR | 1,400 | 2,298,124 | |||||||||||||
Embarq Corp., Sr. Unsec’d. Notes , | 7.995% | 06/01/36 | 1,160 | 1,267,300 | ||||||||||||||
MetroPCS Wireless, Inc., Gtd. Notes | 7.875% | 09/01/18 | 775 | 813,982 | ||||||||||||||
Sprint Capital Corp., Gtd. Notes | 6.900% | 05/01/19 | 1,300 | 1,433,250 | ||||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.750% | 11/01/41 | 745 | 751,832 | ||||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 6.400% | 09/15/33 | 2,250 | 2,756,110 | ||||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 6.550% | 09/15/43 | 6,000 | 7,550,646 | ||||||||||||||
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC (Russia), Sr. Unsec’d. Notes, 144A | 7.748% | 02/02/21 | 1,300 | 1,420,250 | ||||||||||||||
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC (Russia), Sr. Unsec’d. Notes, 144A | 9.125% | 04/30/18 | 200 | 227,400 | ||||||||||||||
24,558,408 | ||||||||||||||||||
Tobacco — 0.5% | ||||||||||||||||||
Altria Group, Inc., Gtd. Notes | 9.950% | 11/10/38 | 873 | 1,454,277 | ||||||||||||||
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A | 2.050% | 02/11/18 | 2,375 | 2,389,032 | ||||||||||||||
Lorillard Tobacco Co., Gtd. Notes | 3.500% | 08/04/16 | 515 | 538,766 | ||||||||||||||
Lorillard Tobacco Co., Gtd. Notes | 3.750% | 05/20/23 | 435 | 429,613 | ||||||||||||||
Lorillard Tobacco Co., Gtd. Notes(b) | 8.125% | 06/23/19 | 895 | 1,115,845 | ||||||||||||||
5,927,533 | ||||||||||||||||||
TOTAL CORPORATE BONDS |
| 527,404,433 | ||||||||||||||||
FOREIGN AGENCIES — 2.5% | ||||||||||||||||||
CNOOC Finance 2013 Ltd. (China), Gtd. Notes | 3.000% | 05/09/23 | 750 | 708,163 | ||||||||||||||
Comision Federal de Electricidad (Mexico), | 4.875% | 01/15/24 | 875 | 934,062 | ||||||||||||||
Ecopetrol SA (Colombia), Sr. Unsec’d. Notes | 5.875% | 05/28/45 | 525 | 542,997 | ||||||||||||||
Export Credit Bank of Turkey (Turkey), Sr. Unsec’d. Notes, 144A | 5.375% | 11/04/16 | 790 | 829,500 | ||||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), | 9.250% | 04/23/19 | 1,080 | 1,310,850 |
SEE NOTES TO FINANCIAL STATEMENTS.
A42
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
FOREIGN AGENCIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), | 6.510% | 03/07/22 | 975 | $ | 1,056,412 | |||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), | 9.250% | 04/23/19 | 1,445 | 1,753,869 | ||||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), | 5.750% | 04/30/43 | 1,075 | 1,032,000 | ||||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), | 7.000% | 05/05/20 | 475 | 540,313 | ||||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), | 9.125% | 07/02/18 | 935 | 1,126,535 | ||||||||||||||
Korea Finance Corp. (South Korea), Sr. Unsec’d. Notes | 4.625% | 11/16/21 | 600 | 659,119 | ||||||||||||||
Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes, RegS(b) | 4.250% | 11/02/20 | 1,750 | 1,895,703 | ||||||||||||||
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), | 4.750% | 07/13/21 | 1,650 | 1,823,562 | ||||||||||||||
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS | 7.750% | 10/17/16 | 2,500 | 2,812,500 | ||||||||||||||
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS | 7.750% | 01/20/20 | 1,500 | 1,755,000 | ||||||||||||||
Petrobras International Finance Co. (Brazil), Gtd. Notes(b) | 5.375% | 01/27/21 | 2,925 | 3,048,523 | ||||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 3.500% | 01/30/23 | 1,125 | 1,098,562 | ||||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 4.875% | 01/24/22 | 2,100 | 2,271,780 | ||||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 6.500% | 06/02/41 | 745 | 866,063 | ||||||||||||||
Power Sector Assets & Liabilities Management Corp. (Philippines), Gov’t. Gtd. Notes, RegS | 7.390% | 12/02/24 | 1,000 | 1,285,000 | ||||||||||||||
TOTAL FOREIGN AGENCIES |
| 27,350,513 | ||||||||||||||||
MUNICIPAL BONDS —1.9% | ||||||||||||||||||
California — 0.7% | ||||||||||||||||||
Bay Area Toll Authority, Revenue Bonds, BABs | 6.907% | 10/01/50 | 1,125 | 1,596,161 | ||||||||||||||
State of California, General Obligation Unlimited, BABs | 7.300% | 10/01/39 | 2,280 | 3,210,993 | ||||||||||||||
State of California, General Obligation Unlimited, BABs | 7.625% | 03/01/40 | 725 | 1,066,301 | ||||||||||||||
University of California, Revenue Bonds, BABs | 5.770% | 05/15/43 | 1,400 | 1,711,780 | ||||||||||||||
7,585,235 | ||||||||||||||||||
Colorado — 0.1% | ||||||||||||||||||
Regional Transportation District, Revenue Bonds, | 5.844% | 11/01/50 | 1,000 | 1,282,480 | ||||||||||||||
Illinois — 0.2% | ||||||||||||||||||
Chicago O’Hare International Airport, Revenue Bonds, BABs | 6.395% | 01/01/40 | 1,380 | 1,763,819 | ||||||||||||||
New Jersey — 0.4% | ||||||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, | 7.102% | 01/01/41 | 1,175 | 1,643,825 | ||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, | 7.414% | 01/01/40 | 2,050 | 2,954,152 | ||||||||||||||
4,597,977 | ||||||||||||||||||
Ohio — 0.1% | ||||||||||||||||||
Ohio State University (The), Revenue Bonds, BABs | 4.910% | 06/01/40 | 695 | 786,733 | ||||||||||||||
Ohio State Water Development Authority, Revenue Bonds, BABs | 4.879% | 12/01/34 | 450 | 498,155 | ||||||||||||||
1,284,888 | ||||||||||||||||||
Oregon — 0.1% | ||||||||||||||||||
Oregon State Department of Transportation, Revenue Bonds, Series A, BABs | 5.834% | 11/15/34 | 615 | 769,144 | ||||||||||||||
Pennsylvania — 0.1% | ||||||||||||||||||
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs | 5.511% | 12/01/45 | 800 | 939,824 | ||||||||||||||
Tennessee — 0.2% | ||||||||||||||||||
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | 6.731% | 07/01/43 | 1,375 | 1,764,909 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A43
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
MUNICIPAL BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Texas | ||||||||||||||||||
Texas State Transportation Commission, Revenue Bonds, Series B, BABs | 5.028% | 04/01/26 | 425 | $ | 495,142 | |||||||||||||
TOTAL MUNICIPAL BONDS |
| 20,483,418 | ||||||||||||||||
SOVEREIGNS — 6.3% | ||||||||||||||||||
Brazilian Government International Bond (Brazil), Unsec’d. Notes | 11.000% | 06/26/17 | EUR | 2,200 | 3,850,226 | |||||||||||||
Colombia Government International Bond (Colombia), | 4.000% | 02/26/24 | 2,000 | 2,062,000 | ||||||||||||||
Hellenic Republic Government Bond (Greece), | 4.750% | 04/17/19 | EUR | 800 | 1,119,233 | |||||||||||||
Hellenic Republic Government Bond (Greece), | 5.800% | 07/14/15 | JPY | 76,200 | 764,475 | |||||||||||||
Hellenic Republic Government Bond (Greece), | 5.800% | 07/14/15 | JPY | 107,100 | 1,074,478 | |||||||||||||
Hellenic Republic Government International Bond (Greece), Sr. Unsec’d. Notes, MTN | 3.800% | 08/08/17 | JPY | 680,000 | 6,477,248 | |||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 4.000% | 03/25/19 | 676 | 696,345 | ||||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 4.125% | 02/19/18 | 2,020 | 2,105,850 | ||||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 6.000% | 01/11/19 | EUR | 715 | 1,132,927 | |||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 6.375% | 03/29/21 | 776 | 884,640 | ||||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 7.625% | 03/29/41 | 462 | 591,646 | ||||||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes | 5.875% | 03/13/20 | 2,245 | 2,491,950 | ||||||||||||||
Italy Buoni Poliennali del Tesoro (Italy), Sr. Unsec’d Notes | 6.500% | 11/01/27 | EUR | 3,545 | 6,578,118 | |||||||||||||
Italy Government International Bond (Italy), | 3.450% | 03/24/17 | JPY | 170,000 | 1,765,520 | |||||||||||||
Italy Government International Bond (Italy), | 4.500% | 06/08/15 | JPY | 130,000 | 1,325,162 | |||||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes | 2.750% | 04/22/23 | EUR | 2,350 | 3,287,040 | |||||||||||||
Mexico Government International Bond (Mexico), | 4.750% | 03/08/44 | 2,500 | 2,550,000 | ||||||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes(b) | 5.200% | 01/30/20 | 1,115 | �� | 1,244,340 | |||||||||||||
Peru Enhanced Pass-Through Finance Ltd. (Peru), Pass-Through Certificates, 144A | 4.841% | (f) | 05/31/18 | 791 | 743,608 | |||||||||||||
Philippine Government International Bond (Philippines), | 6.250% | 03/15/16 | EUR | 850 | 1,259,811 | |||||||||||||
Portugal Government International Bond (Portugal), | 3.500% | 03/25/15 | 2,200 | 2,233,000 | ||||||||||||||
Portugal Obrigacoes do Tesouro OT (Portugal), | 4.750% | 06/14/19 | EUR | 5,410 | 8,213,747 | |||||||||||||
Qatar Government International Bond (Qatar), | 5.750% | 01/20/42 | 900 | 1,028,250 | ||||||||||||||
Republic of Brazil (Brazil), Sr. Unsec’d. Notes | 8.250% | 01/20/34 | 510 | 706,350 | ||||||||||||||
Republic of Colombia (Colombia), Sr. Unsec’d. Notes | 7.375% | 09/18/37 | 900 | 1,224,000 | ||||||||||||||
Republic of Indonesia (Indonesia), Sr. Unsec’d. Notes, RegS | 4.875% | 05/05/21 | 1,600 | 1,680,000 | ||||||||||||||
Romanian Government International Bond (Romania), | 4.875% | 01/22/24 | 1,370 | 1,457,337 | ||||||||||||||
Russian Foreign Bond – Eurobond (Russia), | 7.500% | 03/31/30 | 836 | 967,858 | ||||||||||||||
Slovenia Government International Bond (Slovenia), Bonds, 144A | 4.125% | 02/18/19 | 300 | 316,035 |
SEE NOTES TO FINANCIAL STATEMENTS.
A44
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
SOVEREIGNS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Slovenia Government International Bond (Slovenia), | 4.750% | 05/10/18 | 1,300 | $ | 1,400,750 | |||||||||||||
Spain Government International Bond (Spain), | 4.000% | 03/06/18 | 3,000 | 3,205,920 | ||||||||||||||
Spain Government International Bond (Spain), Sr. Unsec’d. Notes, MTN, 144A | 4.000% | 03/06/18 | 1,500 | 1,602,960 | ||||||||||||||
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes | 7.000% | 06/05/20 | 1,510 | 1,758,697 | ||||||||||||||
TOTAL SOVEREIGNS |
| 67,799,521 | ||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.0% | ||||||||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/19 | 145 | 155,169 | ||||||||||||||
Federal Home Loan Mortgage Corp.(h) | 5.500% | 10/01/33 | 1,408 | 1,606,721 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 01/01/34-06/01/34 | 357 | 399,000 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 11/01/33-06/01/34 | 1,354 | 1,531,088 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 07/01/32-09/01/32 | 950 | 1,077,523 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 10/01/32 | 158 | 178,447 | ||||||||||||||
Federal National Mortgage Assoc. | 4.000% | 05/01/19 | 97 | 103,757 | ||||||||||||||
Federal National Mortgage Assoc. | 4.500% | 12/01/18-02/01/35 | 741 | 786,816 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 03/01/17-06/01/34 | 2,968 | 3,247,152 | ||||||||||||||
Federal National Mortgage Assoc. | 6.000% | 09/01/17-11/01/36 | 1,766 | 1,998,618 | ||||||||||||||
Federal National Mortgage Assoc.(h) | 6.000% | 10/01/33 | 672 | 766,384 | ||||||||||||||
Federal National Mortgage Assoc. | 6.500% | 12/01/14-11/01/33 | 1,353 | 1,523,093 | ||||||||||||||
Federal National Mortgage Assoc.(h) | 6.500% | 09/01/32 | 437 | 505,407 | ||||||||||||||
Federal National Mortgage Assoc. | 7.000% | 05/01/32-06/01/32 | 180 | 202,323 | ||||||||||||||
Government National Mortgage Assoc. | 5.500% | 01/15/33-07/15/35 | 2,203 | 2,466,982 | ||||||||||||||
Government National Mortgage Assoc. | 6.000% | 12/15/32-06/20/34 | 1,328 | 1,532,881 | ||||||||||||||
Government National Mortgage Assoc.(h) | 6.000% | 11/15/34 | 1,141 | 1,318,239 | ||||||||||||||
Government National Mortgage Assoc. | 6.500% | 09/15/32-11/15/33 | 1,886 | 2,145,763 | ||||||||||||||
Government National Mortgage Assoc. | 7.500% | 10/15/25-02/15/26 | 61 | 69,753 | ||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 21,615,116 | ||||||||||||||||
U.S. TREASURY OBLIGATIONS — 1.7% | ||||||||||||||||||
U.S. Treasury Notes | 0.875% | 06/15/17 | 35 | 35,014 | ||||||||||||||
U.S. Treasury Notes(b) | 1.500% | 05/31/19 | 6,340 | 6,308,300 | ||||||||||||||
U.S. Treasury Notes | 2.000% | 05/31/21 | 805 | 798,962 | ||||||||||||||
U.S. Treasury Notes(g) | 2.375% | 02/28/15 | 3,395 | 3,446,322 | ||||||||||||||
U.S. Treasury Notes(b) | 2.500% | 05/15/24 | 1,380 | 1,378,060 | ||||||||||||||
U.S. Treasury Notes(g) | 3.375% | 05/15/44 | 2,405 | 2,421,159 | ||||||||||||||
U.S. Treasury Notes | 3.625% | 02/15/44 | 4,230 | 4,463,970 | ||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 18,851,787 | ||||||||||||||||
Shares | ||||||||||||||||||
COMMON STOCK | ||||||||||||||||||
Diversified Financial Services | ||||||||||||||||||
Rescap Liquidating Trust | 4 | 62 | ||||||||||||||||
PREFERRED STOCK — 0.1% | ||||||||||||||||||
Banking | ||||||||||||||||||
Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(a) | 45,000 | 1,246,500 | ||||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 961,912,355 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A45
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
SHORT-TERM INVESTMENTS — 15.1% | Shares | Value (Note 2) | ||||||||||||||
AFFILIATED MUTUAL FUNDS — 15.0% | ||||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund | 10,668,551 | $ | 99,857,636 | |||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund | 62,564,779 | 62,564,779 | ||||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 162,422,415 | ||||||||||||||
Counterparty | Notional Amount (000)# | |||||||||||||||
OPTION PURCHASED* — 0.1% | ||||||||||||||||
Call Option | ||||||||||||||||
Interest Rate Swap Option | ||||||||||||||||
Receive a fixed rate of 2.75% and pay a floating rate based on 3 month LIBOR, expiring 08/14/14 | Citigroup Global Markets | 73,420 | 924,107 | |||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 163,346,522 | ||||||||||||||
TOTAL INVESTMENTS — 103.9% |
| 1,125,258,877 | ||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(k) — (3.9)% |
| (42,654,840 | ) | |||||||||||||
NET ASSETS — 100.0% |
| $ | 1,082,604,037 | |||||||||||||
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 | |
BBSW | Australian Bank Bill Swap Reference Rate | |
bps | Basis Points | |
BUBOR | Budapest Interbank Offered Rate | |
CDO | Collateralized Debt Obligation | |
CDX | Credit Derivative Index | |
CLICP | Chilean Indice Camara Promedio | |
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 | |
I/O | Interest Only | |
JIBAR | Johannesburg Interbank Agreed Rate | |
LIBOR | London Interbank Offered Rate | |
MOSPRIME | Moscow Prime Offered Rate | |
MTN | Medium Term Note | |
NZDLIBOR | New Zealand LIBOR | |
TELBOR | Tel Aviv Interbank Offered Rate | |
WIBOR | Warsaw Interbank Offered Rate | |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CLP | Chilean Peso | |
CNH | Chinese Renminbi | |
COP | Colombian Peso | |
EUR | Euro |
SEE NOTES TO FINANCIAL STATEMENTS.
A46
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
GBP | British Pound | |
HUF | Hungarian Forint | |
ILS | Israeli New Shekel | |
JPY | Japanese Yen | |
KRW | South Korean Won | |
MXN | Mexican Peso | |
MYR | Malaysian Ringgit | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PHP | Philippine Peso | |
PLN | Polish Zloty | |
RON | Romanian Leu | |
RUB | Russian Ruble | |
SEK | Swedish Krona | |
SGD | Singapore Dollar | |
TRY | Turkish Lira | |
USD | United States Dollar | |
ZAR | South African Rand |
# | 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 June 30, 2014. |
(b) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $50,931,115; cash collateral of $52,226,183 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(c) | Indicates a security or securities that have been deemed illiquid. |
(d) | Indicates a restricted security; the aggregate original cost of the restricted securities is $16,332,221. The aggregate value, $16,768,346, is approximately 1.5% of net assets. |
(e) | Represents issuer in default on interest payments and/or principal repayments; non-income producing security. |
(f) | Represents zero coupon bond or step coupon bond. Rate quoted represents yield to maturity at purchase date. |
(g) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
(h) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(i) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
(j) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
(k) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2014:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2014 | Unrealized Appreciation (Depreciation)(1) | |||||||||||||
Long Positions: | ||||||||||||||||||
1,537 | 5 Year U.S. Treasury Notes | Sep. 2014 | $ | 183,603,435 | $ | 183,611,461 | $ | 8,026 | ||||||||||
1,056 | 10 Year U.S. Treasury Notes | Sep. 2014 | 131,841,507 | 132,181,500 | 339,993 | |||||||||||||
21 | U.S. Ultra Treasury Bonds | Sep. 2014 | 3,083,280 | 3,148,688 | 65,408 | |||||||||||||
413,427 | ||||||||||||||||||
Short Positions: | ||||||||||||||||||
54 | 2 Year U.S. Treasury Notes | Sep. 2014 | 11,862,533 | 11,858,063 | 4,470 | |||||||||||||
53 | Euro-Bond | Sep. 2014 | 10,574,059 | 10,668,944 | (94,885 | ) | ||||||||||||
(90,415 | ) | |||||||||||||||||
$ | 323,012 | |||||||||||||||||
(1) | U.S. Government Agency securities with a combined market value of $727,639 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS.
A47
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Forward foreign currency exchange contracts outstanding at June 30, 2014:
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date Payable | Current Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Australian Dollar, | ||||||||||||||||||||||
Expiring 07/15/14 | Barclays Bank PLC | AUD | 3,335 | $ | 3,116,007 | $ | 3,140,932 | $ | 24,925 | |||||||||||||
Expiring 07/15/14 | Citigroup Global Markets | AUD | 2,316 | 2,156,200 | 2,181,151 | 24,951 | ||||||||||||||||
Expiring 07/15/14 | Citigroup Global Markets | AUD | 1,773 | 1,647,753 | 1,670,117 | 22,364 | ||||||||||||||||
Expiring 07/15/14 | Citigroup Global Markets | AUD | 1,718 | 1,615,600 | 1,618,254 | 2,654 | ||||||||||||||||
Expiring 07/15/14 | Deutsche Bank AG | AUD | 117 | 108,200 | 110,383 | 2,183 | ||||||||||||||||
Expiring 07/15/14 | Goldman Sachs & Co. | AUD | 1,718 | 1,600,100 | 1,618,230 | 18,130 | ||||||||||||||||
Expiring 07/15/14 | Goldman Sachs & Co. | AUD | 1,159 | 1,076,700 | 1,091,431 | 14,731 | ||||||||||||||||
Expiring 07/15/14 | JPMorgan Chase & Co. | AUD | 1,732 | 1,617,800 | 1,631,002 | 13,202 | ||||||||||||||||
Expiring 07/15/14 | JPMorgan Chase & Co. | AUD | 1,155 | 1,079,300 | 1,087,918 | 8,618 | ||||||||||||||||
Expiring 07/15/14 | JPMorgan Chase & Co. | AUD | 1,146 | 1,076,500 | 1,079,641 | 3,141 | ||||||||||||||||
Expiring 07/15/14 | UBS AG | AUD | 2,345 | 2,173,200 | 2,208,719 | 35,519 | ||||||||||||||||
Brazilian Real, | ||||||||||||||||||||||
Expiring 07/01/14 | Barclays Bank PLC | BRL | 3,663 | 1,616,000 | 1,657,689 | 41,689 | ||||||||||||||||
Expiring 07/01/14 | Citigroup Global Markets | BRL | 7,943 | 3,614,699 | 3,595,067 | (19,632 | ) | |||||||||||||||
Expiring 07/01/14 | Citigroup Global Markets | BRL | 3,643 | 1,614,273 | 1,648,611 | 34,338 | ||||||||||||||||
Expiring 07/01/14 | Citigroup Global Markets | BRL | 2,429 | 1,079,200 | 1,099,568 | 20,368 | ||||||||||||||||
Expiring 07/01/14 | Citigroup Global Markets | BRL | 2,422 | 1,067,700 | 1,095,969 | 28,269 | ||||||||||||||||
Expiring 07/01/14 | Toronto Dominion | BRL | 4,213 | 1,917,181 | 1,906,769 | (10,412 | ) | |||||||||||||||
Expiring 10/01/14 | Toronto Dominion | BRL | 4,213 | 1,849,026 | 1,856,316 | 7,290 | ||||||||||||||||
British Pound, | ||||||||||||||||||||||
Expiring 07/28/14 | Bank of America | GBP | 1,317 | 2,219,602 | 2,252,695 | 33,093 | ||||||||||||||||
Expiring 07/28/14 | Citigroup Global Markets | GBP | 1,284 | 2,153,400 | 2,197,305 | 43,905 | ||||||||||||||||
Expiring 07/28/14 | JPMorgan Chase & Co. | GBP | 1,284 | 2,166,800 | 2,197,195 | 30,395 | ||||||||||||||||
Expiring 07/28/14 | JPMorgan Chase & Co. | GBP | 1,280 | 2,153,100 | 2,189,796 | 36,696 | ||||||||||||||||
Canadian Dollar, | ||||||||||||||||||||||
Expiring 07/15/14 | Goldman Sachs & Co. | CAD | 2,321 | 2,154,400 | 2,174,118 | 19,718 | ||||||||||||||||
Expiring 07/15/14 | Goldman Sachs & Co. | CAD | 1,777 | 1,628,400 | 1,664,416 | 36,016 | ||||||||||||||||
Expiring 07/15/14 | JPMorgan Chase & Co. | CAD | 2,353 | 2,156,200 | 2,203,942 | 47,742 | ||||||||||||||||
Expiring 07/15/14 | JPMorgan Chase & Co. | CAD | 1,757 | 1,615,600 | 1,646,094 | 30,494 | ||||||||||||||||
Expiring 07/15/14 | JPMorgan Chase & Co. | CAD | 1,177 | 1,080,500 | 1,102,418 | 21,918 | ||||||||||||||||
Expiring 07/15/14 | JPMorgan Chase & Co. | CAD | 1,171 | 1,078,300 | 1,097,233 | 18,933 | ||||||||||||||||
Expiring 07/15/14 | Toronto Dominion Bank | CAD | 4,628 | 4,180,795 | 4,335,614 | 154,819 | ||||||||||||||||
Expiring 07/15/14 | UBS AG | CAD | 1,763 | 1,618,100 | 1,651,093 | 32,993 | ||||||||||||||||
Expiring 10/16/14 | JPMorgan Chase & Co. | CAD | 1,159 | 1,082,800 | 1,082,759 | (41 | ) | |||||||||||||||
Chilean Peso, | ||||||||||||||||||||||
Expiring 08/27/14 | Citigroup Global Markets | CLP | 598,920 | 1,077,000 | 1,076,222 | (778 | ) | |||||||||||||||
Expiring 08/27/14 | Citigroup Global Markets | CLP | 595,533 | 1,077,400 | 1,070,136 | (7,264 | ) | |||||||||||||||
Chinese Renminbi, | ||||||||||||||||||||||
Expiring 07/14/14 | Citigroup Global Markets | CNH | 19,262 | 3,094,935 | 3,099,724 | 4,789 | ||||||||||||||||
Expiring 07/14/14 | Citigroup Global Markets | CNH | 13,446 | 2,156,200 | 2,163,874 | 7,674 | ||||||||||||||||
Expiring 07/14/14 | Hong Kong & Shanghai Bank | CNH | 18,798 | 3,020,656 | 3,024,990 | 4,334 | ||||||||||||||||
Expiring 07/14/14 | JPMorgan Chase & Co. | CNH | 37,956 | 6,098,474 | 6,108,008 | 9,534 | ||||||||||||||||
Expiring 07/14/14 | Morgan Stanley | CNH | 9,856 | 1,583,548 | 1,586,049 | 2,501 | ||||||||||||||||
Expiring 07/14/14 | UBS AG | CNH | 22,584 | 3,628,688 | 3,634,361 | 5,673 | ||||||||||||||||
Expiring 10/10/14 | Citigroup Global Markets | CNH | 6,757 | 1,082,301 | 1,081,654 | (647 | ) | |||||||||||||||
Colombian Peso, | ||||||||||||||||||||||
Expiring 07/01/14 | Barclays Bank PLC | COP | 2,075,918 | 1,100,693 | 1,105,682 | 4,989 | ||||||||||||||||
Expiring 07/01/14 | Citigroup Global Markets | COP | 2,087,326 | 1,106,742 | 1,111,758 | 5,016 | ||||||||||||||||
Expiring 07/01/14 | JPMorgan Chase & Co. | COP | 4,163,243 | 2,208,616 | 2,217,439 | 8,823 | ||||||||||||||||
Expiring 07/08/14 | Citigroup Global Markets | COP | 4,171,695 | 2,123,000 | 2,221,215 | 98,215 | ||||||||||||||||
Euro, | ||||||||||||||||||||||
Expiring 07/28/14 | Barclays Bank PLC | EUR | 77 | 106,800 | 105,537 | (1,263 | ) | |||||||||||||||
Expiring 07/28/14 | Citigroup Global Markets | EUR | 9,704 | 13,412,604 | 13,289,716 | (122,888 | ) | |||||||||||||||
Expiring 07/28/14 | Citigroup Global Markets | EUR | 1,948 | 2,678,762 | 2,667,041 | (11,721 | ) | |||||||||||||||
Expiring 07/28/14 | Citigroup Global Markets | EUR | 1,051 | 1,436,674 | 1,438,866 | 2,192 | ||||||||||||||||
Expiring 07/28/14 | Citigroup Global Markets | EUR | 920 | 1,271,787 | 1,259,627 | (12,160 | ) | |||||||||||||||
Expiring 07/28/14 | Deutsche Bank AG | EUR | 2,194 | 2,983,010 | 3,004,386 | 21,376 |
SEE NOTES TO FINANCIAL STATEMENTS.
A48
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Forward foreign currency exchange contracts outstanding at June 30, 2014 (continued):
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date Payable | Current Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Euro (continued), | ||||||||||||||||||||||
Expiring 07/28/14 | Hong Kong & Shanghai Bank | EUR | 2,399 | $ | 3,273,472 | $ | 3,285,848 | $ | 12,376 | |||||||||||||
Expiring 07/28/14 | UBS AG | EUR | 551 | 761,862 | 754,102 | (7,760 | ) | |||||||||||||||
Hungarian Forint, | ||||||||||||||||||||||
Expiring 07/24/14 | JPMorgan Chase & Co. | HUF | 1,383,174 | 6,192,022 | 6,109,114 | (82,908 | ) | |||||||||||||||
Expiring 07/28/14 | Citigroup Global Markets | HUF | 238,627 | 1,074,900 | 1,053,771 | (21,129 | ) | |||||||||||||||
Malaysian Ringgit, | ||||||||||||||||||||||
Expiring 07/10/14 | UBS AG | MYR | 6,942 | 2,123,000 | 2,160,285 | 37,285 | ||||||||||||||||
Expiring 07/10/14 | UBS AG | MYR | 6,920 | 2,135,700 | 2,153,270 | 17,570 | ||||||||||||||||
Mexican Peso, | ||||||||||||||||||||||
Expiring 07/22/14 | BNP Paribas | MXN | 28,242 | 2,154,600 | 2,173,211 | 18,611 | ||||||||||||||||
Expiring 07/22/14 | Deutsche Bank AG | MXN | 14,043 | 1,077,200 | 1,080,574 | 3,374 | ||||||||||||||||
Expiring 07/22/14 | Deutsche Bank AG | MXN | 14,018 | 1,077,199 | 1,078,682 | 1,483 | ||||||||||||||||
Expiring 07/22/14 | JPMorgan Chase & Co. | MXN | 94,543 | 7,163,697 | 7,275,056 | 111,359 | ||||||||||||||||
New Zealand Dollar, | ||||||||||||||||||||||
Expiring 07/15/14 | Goldman Sachs & Co. | NZD | 2,477 | 2,156,200 | 2,165,414 | 9,214 | ||||||||||||||||
Expiring 07/15/14 | Goldman Sachs & Co. | NZD | 1,927 | 1,629,900 | 1,684,864 | 54,964 | ||||||||||||||||
Expiring 07/15/14 | Goldman Sachs & Co. | NZD | 1,865 | 1,614,800 | 1,630,297 | 15,497 | ||||||||||||||||
Expiring 07/15/14 | Goldman Sachs & Co. | NZD | 1,246 | 1,078,300 | 1,089,554 | 11,254 | ||||||||||||||||
Expiring 07/15/14 | JPMorgan Chase & Co. | NZD | 1,271 | 1,078,600 | 1,111,112 | 32,512 | ||||||||||||||||
Expiring 07/15/14 | JPMorgan Chase & Co. | NZD | 1,237 | 1,077,000 | 1,081,060 | 4,060 | ||||||||||||||||
Expiring 10/23/14 | Goldman Sachs & Co. | NZD | 3,824 | 3,082,500 | 3,310,512 | 228,012 | ||||||||||||||||
Norwegian Krone, | ||||||||||||||||||||||
Expiring 07/24/14 | Deutsche Bank AG | NOK | 35,087 | 5,845,601 | 5,714,690 | (130,911 | ) | |||||||||||||||
Expiring 07/24/14 | Goldman Sachs & Co. | NOK | 6,447 | 1,078,600 | 1,049,975 | (28,625 | ) | |||||||||||||||
Expiring 07/24/14 | UBS AG | NOK | 12,719 | 2,157,100 | 2,071,506 | (85,594 | ) | |||||||||||||||
Philippine Peso, | ||||||||||||||||||||||
Expiring 08/20/14 | UBS AG | PHP | 17,207 | 391,965 | 393,807 | 1,842 | ||||||||||||||||
Expiring 09/17/14 | UBS AG | PHP | 77,930 | 1,733,900 | 1,782,628 | 48,728 | ||||||||||||||||
Polish Zloty, | ||||||||||||||||||||||
Expiring 07/24/14 | Deutsche Bank AG | PLN | 4,938 | 1,620,000 | 1,623,133 | 3,133 | ||||||||||||||||
Expiring 07/24/14 | Deutsche Bank AG | PLN | 3,322 | 1,083,000 | 1,092,132 | 9,132 | ||||||||||||||||
Expiring 07/24/14 | JPMorgan Chase & Co. | PLN | 12,521 | 4,103,761 | 4,115,748 | 11,987 | ||||||||||||||||
Expiring 07/24/14 | JPMorgan Chase & Co. | PLN | 4,981 | 1,624,300 | 1,637,299 | 12,999 | ||||||||||||||||
Expiring 07/24/14 | JPMorgan Chase & Co. | PLN | 766 | 251,750 | 251,688 | (62 | ) | |||||||||||||||
Romanian Leu, | ||||||||||||||||||||||
Expiring 07/24/14 | BNP Paribas | RON | 11,673 | 3,590,091 | 3,640,830 | 50,739 | ||||||||||||||||
Russian Ruble, | ||||||||||||||||||||||
Expiring 07/17/14 | Citigroup Global Markets | RUB | 37,902 | 1,083,000 | 1,111,053 | 28,053 | ||||||||||||||||
Expiring 07/17/14 | Citigroup Global Markets | RUB | 37,802 | 1,083,400 | 1,108,113 | 24,713 | ||||||||||||||||
Expiring 07/17/14 | Citigroup Global Markets | RUB | 37,369 | 1,080,500 | 1,095,423 | 14,923 | ||||||||||||||||
Expiring 07/17/14 | Citigroup Global Markets | RUB | 36,979 | 1,077,000 | 1,083,982 | 6,982 | ||||||||||||||||
Expiring 07/17/14 | Goldman Sachs & Co. | RUB | 8,154 | 223,277 | 239,025 | 15,748 | ||||||||||||||||
Expiring 10/17/14 | Citigroup Global Markets | RUB | 37,375 | 1,081,200 | 1,072,033 | (9,167 | ) | |||||||||||||||
Expiring 10/17/14 | Citigroup Global Markets | RUB | 37,243 | 1,077,000 | 1,068,239 | (8,761 | ) | |||||||||||||||
Singapore Dollar, | ||||||||||||||||||||||
Expiring 07/17/14 | Deutsche Bank AG | SGD | 12,831 | 10,240,020 | 10,290,115 | 50,095 | ||||||||||||||||
Expiring 07/17/14 | Societe General Securities | SGD | 2,016 | 1,614,800 | 1,616,423 | 1,623 | ||||||||||||||||
South African Rand, | ||||||||||||||||||||||
Expiring 07/25/14 | Citigroup Global Markets | ZAR | 11,476 | 1,080,000 | 1,074,135 | (5,865 | ) | |||||||||||||||
Expiring 07/25/14 | Citigroup Global Markets | ZAR | 354 | 33,238 | 33,127 | (111 | ) | |||||||||||||||
Expiring 07/25/14 | Deutsche Bank AG | ZAR | 11,429 | 1,077,000 | 1,069,735 | (7,265 | ) | |||||||||||||||
Expiring 07/25/14 | Deutsche Bank AG | ZAR | 11,404 | 1,077,000 | 1,067,451 | (9,549 | ) | |||||||||||||||
Expiring 07/25/14 | JPMorgan Chase & Co. | ZAR | 17,238 | 1,616,700 | 1,613,520 | (3,180 | ) | |||||||||||||||
Expiring 07/25/14 | Toronto Dominion Bank | ZAR | 43,288 | 4,021,087 | 4,051,823 | 30,736 | ||||||||||||||||
South Korean Won, | ||||||||||||||||||||||
Expiring 07/10/14 | BNP Paribas | KRW | 2,281,067 | 2,144,828 | 2,253,537 | 108,709 |
SEE NOTES TO FINANCIAL STATEMENTS.
A49
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Forward foreign currency exchange contracts outstanding at June 30, 2014 (continued):
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date Payable | Current Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Swedish Krona, | ||||||||||||||||||||||
Expiring 07/24/14 | Goldman Sachs & Co. | SEK | 14,059 | $ | 2,135,700 | $ | 2,103,462 | $ | (32,238 | ) | ||||||||||||
Expiring 07/24/14 | Goldman Sachs & Co. | SEK | 10,726 | 1,617,500 | 1,604,882 | (12,618 | ) | |||||||||||||||
Expiring 07/24/14 | UBS AG | SEK | 13,970 | 2,136,300 | 2,090,140 | (46,160 | ) | |||||||||||||||
Turkish Lira, | ||||||||||||||||||||||
Expiring 07/25/14 | Citigroup Global Markets | TRY | 4,572 | 2,163,200 | 2,146,315 | (16,885 | ) | |||||||||||||||
Expiring 07/25/14 | Deutsche Bank AG | TRY | 2,271 | 1,079,200 | 1,066,292 | (12,908 | ) | |||||||||||||||
Expiring 07/25/14 | Goldman Sachs & Co. | TRY | 2,315 | 1,080,000 | 1,086,943 | 6,943 | ||||||||||||||||
Expiring 07/25/14 | JPMorgan Chase & Co. | TRY | 3,444 | 1,629,900 | 1,616,950 | (12,950 | ) | |||||||||||||||
$ | 210,244,196 | $ | 211,491,610 | $ | 1,247,414 | |||||||||||||||||
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date Receivable | Current Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Australian Dollar, | ||||||||||||||||||||||
Expiring 07/15/14 | Citigroup Global Markets | AUD | 1,150 | $ | 1,077,000 | $ | 1,083,215 | $ | (6,215 | ) | ||||||||||||
Expiring 07/15/14 | Deutsche Bank AG | AUD | 2,316 | 2,156,200 | 2,181,214 | (25,014 | ) | |||||||||||||||
Expiring 07/15/14 | Goldman Sachs & Co. | AUD | 1,735 | 1,617,600 | 1,634,156 | (16,556 | ) | |||||||||||||||
Expiring 07/15/14 | Goldman Sachs & Co. | AUD | 2,124 | 1,950,100 | 2,000,552 | (50,452 | ) | |||||||||||||||
Expiring 07/15/14 | Goldman Sachs & Co. | AUD | 6,814 | 6,293,700 | 6,417,800 | (124,100 | ) | |||||||||||||||
Expiring 07/15/14 | JPMorgan Chase & Co. | AUD | 940 | 866,400 | 885,019 | (18,619 | ) | |||||||||||||||
Brazilian Real, | ||||||||||||||||||||||
Expiring 07/01/14 | Citigroup Global Markets | BRL | 7,943 | 3,474,000 | 3,595,067 | (121,067 | ) | |||||||||||||||
Expiring 07/01/14 | Toronto Dominion | BRL | 4,213 | 1,897,750 | 1,906,769 | (9,019 | ) | |||||||||||||||
Expiring 07/01/14 | Barclays Bank PLC | BRL | 3,663 | 1,666,741 | 1,657,689 | 9,052 | ||||||||||||||||
Expiring 07/01/14 | Citigroup Global Markets | BRL | 3,643 | 1,657,614 | 1,648,611 | 9,003 | ||||||||||||||||
Expiring 07/01/14 | Citigroup Global Markets | BRL | 2,429 | 1,105,572 | 1,099,568 | 6,004 | ||||||||||||||||
Expiring 07/01/14 | Citigroup Global Markets | BRL | 2,422 | 1,101,954 | 1,095,969 | 5,985 | ||||||||||||||||
British Pound, | ||||||||||||||||||||||
Expiring 07/28/14 | Barclays Bank PLC | GBP | 1,297 | 2,165,700 | 2,218,708 | (53,008 | ) | |||||||||||||||
Expiring 07/28/14 | Citigroup Global Markets | GBP | 3,462 | 5,810,167 | 5,922,671 | (112,504 | ) | |||||||||||||||
Expiring 07/28/14 | Credit Suisse First Boston Corp. | GBP | 320 | 537,779 | 547,523 | (9,744 | ) | |||||||||||||||
Expiring 07/28/14 | JPMorgan Chase & Co. | GBP | 648 | 1,082,899 | 1,109,320 | (26,421 | ) | |||||||||||||||
Expiring 07/28/14 | JPMorgan Chase & Co. | GBP | 975 | 1,629,900 | 1,669,059 | (39,159 | ) | |||||||||||||||
Canadian Dollar, | ||||||||||||||||||||||
Expiring 07/15/14 | BNP Paribas | CAD | 1,177 | 1,080,400 | 1,102,975 | (22,575 | ) | |||||||||||||||
Expiring 07/15/14 | Deutsche Bank AG | CAD | 2,369 | 2,171,200 | 2,219,520 | (48,320 | ) | |||||||||||||||
Expiring 07/15/14 | Goldman Sachs & Co. | CAD | 2,362 | 2,173,200 | 2,212,593 | (39,393 | ) | |||||||||||||||
Expiring 07/15/14 | Goldman Sachs & Co. | CAD | 2,831 | 2,560,200 | 2,651,649 | (91,449 | ) | |||||||||||||||
Expiring 07/15/14 | JPMorgan Chase & Co. | CAD | 1,061 | 969,000 | 994,328 | (25,328 | ) | |||||||||||||||
Expiring 07/15/14 | JPMorgan Chase & Co. | CAD | 1,768 | 1,600,100 | 1,656,501 | (56,401 | ) | |||||||||||||||
Chinese Renminbi, | ||||||||||||||||||||||
Expiring 07/14/14 | Barclays Bank PLC | CNH | 13,369 | 2,131,551 | 2,151,417 | (19,866 | ) | |||||||||||||||
Expiring 07/14/14 | Citigroup Global Markets | CNH | 6,803 | 1,082,900 | 1,094,707 | (11,807 | ) | |||||||||||||||
Expiring 07/14/14 | Citigroup Global Markets | CNH | 40,217 | 6,406,000 | 6,471,941 | (65,941 | ) | |||||||||||||||
Expiring 07/14/14 | Deutsche Bank AG | CNH | 6,698 | 1,067,500 | 1,077,880 | (10,380 | ) | |||||||||||||||
Expiring 07/14/14 | UBS AG | CNH | 13,270 | 2,127,284 | 2,135,402 | (8,118 | ) | |||||||||||||||
Colombian Peso, | ||||||||||||||||||||||
Expiring 07/01/14 | Citigroup Global Markets | COP | 2,087,326 | 1,079,000 | 1,111,758 | (32,758 | ) | |||||||||||||||
Expiring 07/01/14 | JPMorgan Chase & Co. | COP | 4,163,243 | 2,207,434 | 2,217,440 | (10,006 | ) | |||||||||||||||
Expiring 07/01/14 | Morgan Stanley | COP | 2,075,918 | 1,077,000 | 1,105,682 | (28,682 | ) | |||||||||||||||
Expiring 07/08/14 | JPMorgan Chase & Co. | COP | 4,163,243 | 2,206,159 | 2,216,714 | (10,555 | ) | |||||||||||||||
Euro, | ||||||||||||||||||||||
Expiring 07/28/14 | Barclays Bank PLC | EUR | 970 | 1,339,810 | 1,327,963 | 11,847 | ||||||||||||||||
Expiring 07/28/14 | Citigroup Global Markets | EUR | 157 | 216,100 | 215,305 | 795 | ||||||||||||||||
Hungarian Forint, | ||||||||||||||||||||||
Expiring 07/24/14 | Citigroup Global Markets | HUF | 236,343 | 1,052,700 | 1,043,865 | 8,835 | ||||||||||||||||
Expiring 07/24/14 | Deutsche Bank AG | HUF | 462,769 | 2,045,400 | 2,043,930 | 1,470 |
SEE NOTES TO FINANCIAL STATEMENTS.
A50
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Forward foreign currency exchange contracts outstanding at June 30, 2014 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date Receivable | Current Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Hungarian Forint (continued), | ||||||||||||||||||||||
Expiring 07/24/14 | Deutsche Bank AG | HUF | 485,346 | $ | 2,165,700 | $ | 2,143,644 | $ | 22,056 | |||||||||||||
Expiring 07/24/14 | Deutsche Bank AG | HUF | 601,154 | 2,669,200 | 2,655,140 | 14,060 | ||||||||||||||||
Israeli New Shekel, | ||||||||||||||||||||||
Expiring 07/10/14 | JPMorgan Chase & Co. | ILS | 1,129 | 324,900 | 328,900 | (4,000 | ) | |||||||||||||||
Japanese Yen, | ||||||||||||||||||||||
Expiring 07/28/14 | BNP Paribas | JPY | 74,609 | 728,543 | 736,651 | (8,108 | ) | |||||||||||||||
Expiring 07/28/14 | Citigroup Global Markets | JPY | 48,991 | 479,823 | 483,713 | (3,890 | ) | |||||||||||||||
Malaysian Ringgit, | ||||||||||||||||||||||
Expiring 07/10/14 | UBS AG | MYR | 7,034 | 2,171,200 | 2,188,724 | (17,524 | ) | |||||||||||||||
Mexican Peso, | ||||||||||||||||||||||
Expiring 07/22/14 | Citigroup Global Markets | MXN | 33,854 | 2,588,600 | 2,605,041 | (16,441 | ) | |||||||||||||||
Expiring 07/22/14 | Deutsche Bank AG | MXN | 21,237 | 1,617,600 | 1,634,151 | (16,551 | ) | |||||||||||||||
Expiring 07/22/14 | Deutsche Bank AG | MXN | 32,349 | 2,496,900 | 2,489,265 | 7,635 | ||||||||||||||||
Expiring 07/25/14 | Deutsche Bank AG | MXN | 14,115 | 1,067,700 | 1,085,902 | (18,202 | ) | |||||||||||||||
New Zealand Dollar, | ||||||||||||||||||||||
Expiring 07/15/14 | Deutsche Bank AG | NZD | 1,269 | 1,080,500 | 1,109,298 | (28,798 | ) | |||||||||||||||
Expiring 07/15/14 | Deutsche Bank AG | NZD | 1,931 | 1,622,601 | 1,688,075 | (65,474 | ) | |||||||||||||||
Expiring 07/15/14 | Goldman Sachs & Co. | NZD | 1,409 | 1,191,200 | 1,231,647 | (40,447 | ) | |||||||||||||||
Expiring 07/15/14 | Goldman Sachs & Co. | NZD | 3,128 | 2,666,800 | 2,734,229 | (67,429 | ) | |||||||||||||||
Expiring 07/15/14 | UBS AG | NZD | 556 | 478,493 | 485,777 | (7,284 | ) | |||||||||||||||
Norwegian Krone, | ||||||||||||||||||||||
Expiring 07/24/14 | Deutsche Bank AG | NOK | 13,224 | 2,154,000 | 2,153,771 | 229 | ||||||||||||||||
Expiring 07/24/14 | Toronto Dominion Bank | NOK | 19,197 | 3,193,134 | 3,126,673 | 66,461 | ||||||||||||||||
Expiring 07/24/14 | UBS AG | NOK | 6,408 | 1,078,800 | 1,043,747 | 35,053 | ||||||||||||||||
Expiring 07/24/14 | UBS AG | NOK | 6,640 | 1,080,000 | 1,081,507 | (1,507 | ) | |||||||||||||||
Polish Zloty, | ||||||||||||||||||||||
Expiring 07/24/14 | BNP Paribas | PLN | 6,591 | 2,154,600 | 2,166,493 | (11,893 | ) | |||||||||||||||
Expiring 07/24/14 | BNP Paribas | PLN | 8,235 | 2,701,100 | 2,707,007 | (5,907 | ) | |||||||||||||||
Expiring 07/24/14 | Deutsche Bank AG | PLN | 4,948 | 1,617,500 | 1,626,620 | (9,120 | ) | |||||||||||||||
Russian Ruble, | ||||||||||||||||||||||
Expiring 07/17/14 | Citigroup Global Markets | RUB | 7,530 | 215,700 | 221,624 | (5,924 | ) | |||||||||||||||
Expiring 07/17/14 | Citigroup Global Markets | RUB | 38,246 | 1,077,800 | 1,121,120 | (43,320 | ) | |||||||||||||||
Expiring 07/17/14 | Citigroup Global Markets | RUB | 57,426 | 1,622,600 | 1,683,370 | (60,770 | ) | |||||||||||||||
Singapore Dollar, | ||||||||||||||||||||||
Expiring 07/17/14 | Citigroup Global Markets | SGD | 2,687 | 2,135,701 | 2,155,028 | (19,327 | ) | |||||||||||||||
Expiring 07/17/14 | Goldman Sachs & Co. | SGD | 6,119 | 4,867,900 | 4,907,018 | (39,118 | ) | |||||||||||||||
Expiring 07/17/14 | JPMorgan Chase & Co. | SGD | 2,727 | 2,173,200 | 2,187,265 | (14,065 | ) | |||||||||||||||
South African Rand, | ||||||||||||||||||||||
Expiring 07/25/14 | Barclays Bank PLC | ZAR | 11,644 | 1,078,600 | 1,089,929 | (11,329 | ) | |||||||||||||||
Expiring 07/25/14 | Barclays Bank PLC | ZAR | 27,074 | 2,590,300 | 2,534,208 | 56,092 | ||||||||||||||||
Expiring 07/25/14 | Deutsche Bank AG | ZAR | 4,657 | 430,800 | 435,879 | (5,079 | ) | |||||||||||||||
Expiring 07/25/14 | Deutsche Bank AG | ZAR | 8,026 | 746,700 | 751,287 | (4,587 | ) | |||||||||||||||
Expiring 07/25/14 | Deutsche Bank AG | ZAR | 11,463 | 1,078,100 | 1,072,933 | 5,167 | ||||||||||||||||
Swedish Krona, | ||||||||||||||||||||||
Expiring 07/24/14 | BNP Paribas | SEK | 14,147 | 2,156,200 | 2,116,638 | 39,562 | ||||||||||||||||
Expiring 07/24/14 | Citigroup Global Markets | SEK | 3,629 | 538,600 | 542,924 | (4,324 | ) | |||||||||||||||
Expiring 07/24/14 | Deutsche Bank AG | SEK | 6,545 | 972,000 | 979,306 | (7,306 | ) | |||||||||||||||
Expiring 07/24/14 | Deutsche Bank AG | SEK | 14,176 | 2,160,900 | 2,121,038 | 39,862 | ||||||||||||||||
Turkish Lira, | ||||||||||||||||||||||
Expiring 07/25/14 | Barclays Bank PLC | TRY | 56,942 | 26,145,280 | 26,732,665 | (587,385 | ) | |||||||||||||||
Expiring 07/25/14 | Deutsche Bank AG | TRY | 1,862 | 866,400 | 874,263 | (7,863 | ) | |||||||||||||||
Expiring 07/25/14 | Deutsche Bank AG | TRY | 3,469 | 1,616,700 | 1,628,815 | (12,115 | ) | |||||||||||||||
Expiring 07/25/14 | Deutsche Bank AG | TRY | 3,496 | 1,617,500 | 1,641,244 | (23,744 | ) | |||||||||||||||
$ | 162,103,889 | $ | 164,027,009 | (1,923,120 | ) | |||||||||||||||||
$ | (675,706 | ) | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A51
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Interest rate swap agreements outstanding at June 30, 2014:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
| Over-the-counter swap agreements: |
| ||||||||||||||||||||||||
AUD | 1,270 | 12/19/32 | 4.423% | 6 month BBSW(2) | $ | 16,955 | $ | — | $ | 16,955 | Barclays Capital Group | |||||||||||||||
AUD | 1,620 | 12/20/32 | 4.420% | 6 month BBSW(2) | 20,914 | — | 20,914 | Citigroup Global Markets | ||||||||||||||||||
BRL | 7,942 | 01/01/17 | 0.000% | 1 day Brazil Interbank Rate(2) | (318,537 | ) | — | (318,537 | ) | Citigroup Global Markets | ||||||||||||||||
BRL | 13,135 | 01/01/17 | 0.000% | 1 day Brazil Interbank Rate(2) | (304,238 | ) | — | (304,238 | ) | Barclays Capital Group | ||||||||||||||||
BRL | 37,393 | 01/02/17 | 0.000% | 1 day Brazil Interbank Rate(2) | (256,061 | ) | — | (256,061 | ) | Hong Kong & Shanghai Bank | ||||||||||||||||
BRL | 7,343 | 01/01/21 | 0.000% | 1 day Brazil Interbank Rate(2) | 172,803 | — | 172,803 | Deutsche Bank AG | ||||||||||||||||||
CLP | 330,000 | 02/27/24 | 5.240% | 6 month CLICP(2) | 27,869 | — | 27,869 | Barclays Capital Group | ||||||||||||||||||
COP | 1,935,000 | 11/19/18 | 5.380% | 1 day COLIBOR OIS(2) | 172 | — | 172 | Deutsche Bank AG | ||||||||||||||||||
COP | 1,935,000 | 11/20/18 | 5.290% | 1 day COLIBOR OIS(2) | (3,676 | ) | — | (3,676 | ) | Deutsche Bank AG | ||||||||||||||||
EUR | 1,640 | 12/13/27 | 2.065% | 3 month EURIBOR(1) | (102,008 | ) | — | (102,008 | ) | Barclays Capital Group | ||||||||||||||||
ILS | 40,700 | 11/20/18 | 2.163% | 3 month TELBOR(2) | 457,294 | — | 457,294 | Barclays Capital Group | ||||||||||||||||||
MXN | 76,000 | 06/20/18 | 6.020% | 28 day Mexican Interbank Rate(2) | 328,105 | — | 328,105 | Credit Suisse First Boston Corp. | ||||||||||||||||||
MXN | 73,100 | 11/09/18 | 5.410% | 28 day Mexican Interbank Rate(2) | 166,959 | — | 166,959 | Deutsche Bank AG | ||||||||||||||||||
MXN | 20,100 | 04/28/23 | 5.100% | 28 day Mexican Interbank Rate(2) | (95,912 | ) | — | (95,912 | ) | Barclays Capital Group | ||||||||||||||||
NZD | 13,400 | 08/18/16 | 4.173% | 3 month BBR(2) | 129,855 | — | 129,855 | Citigroup Global Markets | ||||||||||||||||||
NZD | 4,320 | 03/26/17 | 3.810% | 3 month BBR(2) | (13,977 | ) | — | (13,977 | ) | Hong Kong & Shanghai Bank | ||||||||||||||||
NZD | 325 | 08/12/18 | 4.143% | 3 month BBR(2) | (432 | ) | — | (432 | ) | Citigroup Global Markets | ||||||||||||||||
NZD | 245 | 08/13/18 | 4.160% | 3 month BBR(2) | (162 | ) | — | (162 | ) | Citigroup Global Markets | ||||||||||||||||
NZD | 245 | 08/13/18 | 4.218% | 3 month BBR(2) | 345 | — | 345 | Barclays Capital Group | ||||||||||||||||||
NZD | 1,960 | 09/25/22 | 3.790% | 3 month BBR(2) | (101,143 | ) | — | (101,143 | ) | Citigroup Global Markets | ||||||||||||||||
NZD | 330 | 08/12/23 | 4.648% | 3 month BBR(2) | (196 | ) | — | (196 | ) | Citigroup Global Markets | ||||||||||||||||
NZD | 240 | 08/13/23 | 4.668% | 3 month BBR(2) | 188 | — | 188 | Citigroup Global Markets | ||||||||||||||||||
NZD | 240 | 08/13/23 | 4.730% | 3 month BBR(2) | 1,200 | — | 1,200 | Barclays Capital Group | ||||||||||||||||||
PLN | 31,900 | 06/28/18 | 3.736% | 6 month WIBOR(2) | 378,472 | — | 378,472 | Citigroup Global Markets | ||||||||||||||||||
RUB | 95,000 | 05/17/23 | 7.250% | 3 month MOSPRIME(2) | (289,958 | ) | — | (289,958 | ) | Credit Suisse First Boston Corp. | ||||||||||||||||
RUB | 95,000 | 05/20/23 | 7.250% | 3 month MOSPRIME(2) | (291,789 | ) | — | (291,789 | ) | Credit Suisse First Boston Corp. | ||||||||||||||||
25,690 | 11/15/19 | 1.334% | 3 month LIBOR(1) | 584,023 | — | 584,023 | Citigroup Global Markets | |||||||||||||||||||
2,090 | 12/13/27 | 2.200% | 3 month LIBOR(2) | (172,205 | ) | — | (172,205 | ) | Barclays Capital Group | |||||||||||||||||
ZAR | 63,400 | 06/25/18 | 7.420% | 3 month JIBAR(2) | 16,919 | — | 16,919 | Barclays Capital Group | ||||||||||||||||||
ZAR | 10,000 | 09/03/33 | 8.970% | 3 month JIBAR(2) | 34,508 | — | 34,508 | Hong Kong & Shanghai Bank | ||||||||||||||||||
$ | 386,287 | $ | — | $ | 386,287 | |||||||||||||||||||||
Notional Amount (000)# | Termination Date | Fixed Rate | Floating | Value at Trade Date | Value at June 30, 2014 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Exchange-traded swap agreements: |
| ||||||||||||||||||||||
AUD | 2,300 | 03/07/29 | 4.743% | 6 month BBSW(2) | $ | 940 | $ | 130,515 | $ | 129,575 | ||||||||||||||
HUF | 1,380,000 | 11/18/18 | 4.340% | 6 month BUBOR(2) | (9,559 | ) | 406,657 | 416,216 | ||||||||||||||||
HUF | 209,900 | 09/02/23 | 6.085% | 6 month BUBOR(2) | (6,810 | ) | 177,464 | 184,274 | ||||||||||||||||
HUF | 400,000 | 09/03/23 | 5.940% | 6 month BUBOR(2) | (11,826 | ) | 317,990 | 329,816 | ||||||||||||||||
MXN | 65,000 | 12/02/15 | 5.080% | 28 day Mexican Interbank Rate(2) | 1,823 | 107,440 | 105,617 | |||||||||||||||||
MXN | 70,000 | 04/18/19 | 5.480% | 28 day Mexican Interbank Rate(2) | (543 | ) | 145,873 | 146,416 | ||||||||||||||||
MXN | 48,200 | 05/25/22 | 6.370% | 28 day Mexican Interbank Rate(2) | (797 | ) | 154,324 | 155,121 | ||||||||||||||||
NZD | 32,430 | 09/01/15 | 3.858% | 3 month NZDLIBOR(2) | (2,006 | ) | (53,020 | ) | (51,014 | ) | ||||||||||||||
PLN | 25,000 | 09/03/18 | 3.985% | 6 month WIBOR(2) | (3,379 | ) | 374,122 | 377,501 | ||||||||||||||||
80,695 | 11/30/18 | 1.625% | 3 month LIBOR(1) | (78,206 | ) | (81,469 | ) | (3,263 | ) | |||||||||||||||
500 | 04/08/19 | 1.794% | 3 month LIBOR(1) | 152 | (3,819 | ) | (3,971 | ) | ||||||||||||||||
76,650 | 05/15/21 | 2.375% | 3 month LIBOR(1) | (588,510 | ) | (747,430 | ) | (158,920 | ) | |||||||||||||||
250 | 05/09/23 | 1.955% | 3 month LIBOR(2) | — | (10,586 | ) | (10,586 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
A52
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating | Value at Trade Date | Value at June 30, 2014 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Exchange-traded swap agreements (continued): |
| ||||||||||||||||||||||
30,450 | 08/07/23 | 4.248% | 3 month LIBOR(2) | $ | 287 | $ | 977,006 | $ | 976,719 | |||||||||||||||
13,270 | 08/08/23 | 4.283% | 3 month LIBOR(2) | 210 | 445,656 | 445,446 | ||||||||||||||||||
13,270 | 08/09/23 | 4.231% | 3 month LIBOR(2) | 210 | 415,462 | 415,252 | ||||||||||||||||||
2,500 | 03/31/44 | 3.475% | 3 month LIBOR(2) | 194 | 82,987 | 82,793 | ||||||||||||||||||
ZAR | 43,900 | 02/24/16 | 7.200% | 3 month JIBAR(2) | (688 | ) | 35,009 | 35,697 | ||||||||||||||||
ZAR | 87,800 | 03/04/16 | 7.200% | 3 month JIBAR(2) | (1,204 | ) | 69,854 | 71,058 | ||||||||||||||||
ZAR | 20,000 | 10/22/23 | 7.625% | 3 month JIBAR(2) | 424 | (63,261 | ) | (63,685 | ) | |||||||||||||||
ZAR | 38,300 | 11/14/23 | 8.190% | 3 month JIBAR(2) | (6,539 | ) | 11,551 | 18,090 | ||||||||||||||||
$ | (705,827 | ) | $ | 2,892,325 | $ | 3,598,152 | ||||||||||||||||||
(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 June 30, 2014:
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(2) | 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 | $ | (457,804 | ) | $ | — | $ | (457,804 | ) | Deutsche Bank AG | ||||||||||||||
R.R. Donnelley & Sons Co. | 09/20/16 | 1.000% | 4,750 | (36,791 | ) | 187,800 | (224,591 | ) | JPMorgan Chase & Co. | |||||||||||||||||
Toll Brothers Financial Corp. | 03/20/15 | 1.000% | 4,695 | (30,635 | ) | 5,264 | (35,899 | ) | Credit Suisse First Boston Corp. | |||||||||||||||||
Westvaco Corp. | 09/20/19 | 1.000% | 4,400 | (49,659 | ) | 45,224 | (94,883 | ) | JPMorgan Chase & Co. | |||||||||||||||||
$ | (574,889 | ) | $ | 238,288 | $ | (813,177 | ) | |||||||||||||||||||
Over-the-counter credit default swaps on credit indices—Buy Protection(1): | ||||||||||||||||||||||||||
iTRAXX.EUR.18.V1 | 12/20/17 | 1.000% | EUR 23,000 | (637,335 | ) | 184,393 | (821,728 | ) | Bank of America | |||||||||||||||||
iTRAXX.EUR.18.V1 | 12/20/17 | 1.000% | EUR 23,000 | (637,336 | ) | 304,278 | (941,614 | ) | Deutsche Bank AG | |||||||||||||||||
$ | (1,274,671 | ) | $ | 488,671 | $ | (1,763,342 | ) | |||||||||||||||||||
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(4) | Fair Value(3) | 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% | 6,650 | $ | 512,973 | $ | 278,931 | $ | 234,042 | Credit Suisse First Boston Corp. | ||||||||||||||||
CDX.NA.HY.17.V5 | 12/20/16 | 5.000% | 12,825 | 989,304 | 586,031 | 403,273 | Deutsche Bank AG | |||||||||||||||||||
CDX.NA.HY.17.V5 | 12/20/16 | 5.000% | 18,525 | 1,428,996 | 800,177 | 628,819 | Deutsche Bank AG | |||||||||||||||||||
CDX.NA.HY.17.V5 | 12/20/16 | 5.000% | 11,875 | 916,023 | 520,356 | 395,667 | Deutsche Bank AG | |||||||||||||||||||
$ | 3,847,296 | $ | 2,185,495 | $ | 1,661,801 | |||||||||||||||||||||
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(4) | Value at Trade Date | Value at June 30, 2014 | Unrealized Depreciation | ||||||||||||||||||
Exchange-traded credit default swaps on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.IG.22.V1 | 06/20/19 | 1.000% | 140,000 | $ | (2,140,294 | ) | $ | (2,775,477 | ) | $ | (635,183 | ) | ||||||||||||
The Portfolio entered into credit default swaps on credit indices as the protection seller 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 of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
SEE NOTES TO FINANCIAL STATEMENTS.
A53
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
(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 June 30, 2014:
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 | $ | (688,287 | ) | $ | — | $ | (688,287 | ) | ||||||||||||||||
3,494 | 3 month LIBOR | EUR | 2,700 | 3 month EURIBOR minus 28.25 bps | Barclays Bank PLC | 10/17/14 | (199,700 | ) | — | (199,700 | ) | |||||||||||||||||||
2,143 | 3 month LIBOR | EUR | 1,650 | 3 month EURIBOR minus 30.50 bps | Barclays Bank PLC | 12/04/14 | (114,760 | ) | — | (114,760 | ) | |||||||||||||||||||
502 | 3 month LIBOR | JPY | 50,000 | 3 month JPY LIBOR minus 54.00 bps | Barclays Bank PLC | 10/12/16 | 12,488 | — | 12,488 | |||||||||||||||||||||
18,547 | 3 month LIBOR | EUR | 13,940 | 3 month EURIBOR minus 26.00 bps | Citigroup Global Markets | 01/25/15 | (518,643 | ) | — | (518,643 | ) | |||||||||||||||||||
956 | 3 month LIBOR | JPY | 93,235 | 3 month JPY LIBOR minus 32.75 bps | Citigroup Global Markets | 05/02/15 | 37,385 | — | 37,385 | |||||||||||||||||||||
1,541 | 3 month LIBOR | JPY | 120,000 | 3.450% | Citigroup Global Markets | 03/24/17 | 413,411 | 7,475 | 405,936 | |||||||||||||||||||||
384 | 3 month LIBOR | JPY | 30,000 | 4.500% | Citigroup Global Markets | 06/08/15 | 79,939 | (15,095 | ) | 95,034 | ||||||||||||||||||||
1,284 | 3 month LIBOR | JPY | 100,000 | 4.500% | Citigroup Global Markets | 06/08/15 | 290,581 | (56,202 | ) | 346,783 | ||||||||||||||||||||
5,882 | 3 month LIBOR | JPY | 600,000 | 3 month JPY LIBOR minus 31.25 bps | Deutsche Bank AG | 05/14/17 | (35,695 | ) | — | (35,695 | ) | |||||||||||||||||||
1,040 | 3 month LIBOR | EUR | 780 | 3 month EURIBOR minus 25.75 bps | Hong Kong & Shanghai Bank | 01/17/15 | (26,929 | ) | — | (26,929 | ) | |||||||||||||||||||
8,984 | 3 month LIBOR | EUR | 6,770 | 3 month EURIBOR minus 26.00 bps | Hong Kong & Shanghai Bank | 01/25/15 | (275,603 | ) | — | (275,603 | ) | |||||||||||||||||||
1,157 | 3 month LIBOR | EUR | 900 | 3 month EURIBOR minus 31.75 bps | Hong Kong & Shanghai Bank | 09/28/17 | (65,418 | ) | — | (65,418 | ) | |||||||||||||||||||
TRY | 5,590 | 7.70% | 2,904 | 3 month LIBOR | Barclays Bank PLC | 07/22/18 | (132,600 | ) | — | (132,600 | ) | |||||||||||||||||||
TRY | 5,900 | 7.71% | 3,068 | 3 month LIBOR | Barclays Bank PLC | 07/23/18 | (142,547 | ) | — | (142,547 | ) | |||||||||||||||||||
TRY | 20,000 | 8.68% | 9,749 | 3 month LIBOR | Hong Kong & Shanghai Bank | 09/05/15 | 443,069 | — | 443,069 | |||||||||||||||||||||
TRY | 23,640 | 8.69% | 11,376 | 3 month LIBOR | Hong Kong & Shanghai Bank | 09/09/15 | 662,887 | — | 662,887 | |||||||||||||||||||||
$ | (260,422 | ) | $ | (63,822 | ) | $ | (196,600 | ) | ||||||||||||||||||||||
# | Notional Amount is shown in U.S. dollars unless otherwise stated. |
U.S. Treasury Obligations with a combined market value of $3,544,904 have been segregated with Citigroup Global Markets to cover requirements for open exchange-traded interest rate and credit default swap contracts at June 30, 2014.
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.
A54
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
The following is a summary of the inputs used as of June 30, 2014 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Debt Obligations | $ | — | $ | 25,389 | $ | — | ||||||
Collateralized Loan Obligations | — | �� | 44,041,870 | 3,979,147 | ||||||||
Non-Residential Mortgage-Backed Securities | — | 4,341,685 | — | |||||||||
Residential Mortgage-Backed Securities | — | 63,767,337 | — | |||||||||
Bank Loans | — | 30,014,281 | 3,422,782 | |||||||||
Commercial Mortgage-Backed Securities | — | 127,568,514 | — | |||||||||
Corporate Bonds | — | 520,130,536 | 7,273,897 | |||||||||
Foreign Agencies | — | 27,350,513 | — | |||||||||
Municipal Bonds | — | 20,483,418 | — | |||||||||
Sovereigns | — | 67,799,521 | — | |||||||||
U.S. Government Agency Obligations | — | 21,615,116 | — | |||||||||
U.S. Treasury Obligations | — | 18,851,787 | — | |||||||||
Common Stock | 62 | — | — | |||||||||
Preferred Stock | 1,246,500 | — | — | |||||||||
Affiliated Mutual Funds | 162,422,415 | — | — | |||||||||
Option Purchased | — | 924,107 | — | |||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 323,012 | — | — | |||||||||
Forward Foreign Currency Exchange Contracts | — | (675,706 | ) | — | ||||||||
Interest Rate Swap Agreements | — | 3,984,439 | — | |||||||||
Credit Default Swap Agreements | — | (1,549,901 | ) | — | ||||||||
Currency Swap Agreements | — | (196,600 | ) | — | ||||||||
Total | $ | 163,991,989 | $ | 948,476,306 | $ | 14,675,826 | ||||||
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
Collateralized Loan Obligations | Bank Loans | Corporate Bonds | Credit Default Swaps | |||||||||||||
Balance as of 12/31/13 | $ | 2,490,000 | $ | 3,303,636 | $ | 7,438,596 | $ | (5,934 | ) | |||||||
Realized gain (loss) | — | — | — | — | ||||||||||||
Change in unrealized appreciation (depreciation)*** | 15 | 99,644 | 299,029 | 5,934 | ||||||||||||
Purchases | 3,979,132 | — | — | — | ||||||||||||
Sales | — | — | (463,344 | ) | — | |||||||||||
Accrued discount/premium | — | 19,502 | (384 | ) | — | |||||||||||
Transfer into Level 3 | — | — | — | — | ||||||||||||
Transfer out of Level 3 | (2,490,000 | ) | — | — | — | |||||||||||
Balance as of 06/30/14 | $ | 3,979,147 | $ | 3,422,782 | $ | 7,273,897 | $ | — | ||||||||
* | 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 $(6,016). |
*** | Of which, ($398,688) 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, 1 Collateralized Loan Obligation transferred out of Level 3 as a result of being valued by an independent pricing source.
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by the Valuation Committee, 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.
A55
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2014 was as follows:
Affiliated Mutual Funds (including 4.8% of collateral for securities on loan) | 15.0 | % | ||
Banking | 12.6 | |||
Commercial Mortgage-Backed Securities | 11.8 | |||
Sovereigns | 6.3 | |||
Residential Mortgage-Backed Securities | 5.9 | |||
Collateralized Loan Obligations | 4.4 | |||
Insurance | 3.6 | |||
Electric | 3.5 | |||
Non-Captive Finance | 2.9 | |||
Healthcare & Pharmaceutical | 2.6 | |||
Foreign Agencies | 2.5 | |||
Telecommunications | 2.4 | |||
Media & Entertainment | 2.3 | |||
Technology | 2.2 | |||
U.S. Government Agency Obligations | 2.0 | |||
Municipal Bonds | 1.9 | |||
Capital Goods | 1.7 | |||
Chemicals | 1.7 | |||
U.S. Treasury Obligations | 1.7 | |||
Energy – Other | 1.5 | |||
Cable | 1.4 | |||
Healthcare Insurance | 1.4 | |||
Automotive | 1.2 |
Building Materials & Construction | 1.2 | % | ||
Metals | 1.1 | |||
Energy – Integrated | 1.0 | |||
Paper | 1.0 | |||
Pipelines & Other | 1.0 | |||
Foods | 0.9 | |||
Retailers | 0.8 | |||
Airlines | 0.6 | |||
Tobacco | 0.5 | |||
Gaming | 0.4 | |||
Lodging | 0.4 | |||
Non-Residential Mortgage-Backed Securities | 0.4 | |||
Packaging | 0.4 | |||
Real Estate Investment Trusts | 0.4 | |||
Aerospace & Defense | 0.3 | |||
Financials | 0.3 | |||
Brokerage | 0.2 | |||
Consumer | 0.2 | |||
Transportation | 0.2 | |||
Option Purchased | 0.1 | |||
103.9 | ||||
Liabilities in excess of other assets | (3.9 | ) | ||
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 June 30, 2014 as presented in the Statement of Assets and Liabilities:
Derivatives not designated as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Credit contracts | — | $ | — | Due from broker — variation margin | $ | 635,183 | * | |||||
Credit contracts | Premiums paid for swap agreements | 2,912,454 | — | — | ||||||||
Credit contracts | Unrealized appreciation on swap agreements | 1,661,801 | Unrealized depreciation on swap agreements | 2,576,519 | ||||||||
Foreign exchange contracts | Unrealized appreciation on forward currency contracts | 2,308,034 | Unrealized depreciation on forward currency contracts | 2,983,740 | ||||||||
Interest rate contracts | Due from broker — variation margin | 4,307,488 | * | Due to broker — variation margin | 386,324 | * | ||||||
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 | 4,340,163 | Unrealized depreciation on swap agreements | 4,150,476 | ||||||||
Total | $ | 15,537,415 | $ | 10,803,539 | ||||||||
* | 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.
A56
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2014 are as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not designated as hedging | Options Purchased* | Options Written | Futures | Forward Currency Contracts** | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (2,340,488 | ) | $ | (2,340,488 | ) | ||||||||||
Foreign exchange contracts | — | — | — | (1,490,762 | ) | — | (1,490,762 | ) | ||||||||||||||||
Interest rate contracts | 171,569 | 85,176 | 3,646,203 | — | (312,645 | ) | 3,590,303 | |||||||||||||||||
Total | $ | 171,569 | $ | 85,176 | $ | 3,646,203 | $ | (1,490,762 | ) | $ | (2,653,133 | ) | $ | (240,947 | ) | |||||||||
* | 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 | Option Purchased* | Futures | Forward Currency Contracts** | Swaps | Total | |||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | 192,450 | $ | 192,450 | ||||||||||
Foreign exchange contracts | — | — | (1,716,142 | ) | — | (1,716,142 | ) | |||||||||||||
Interest rate contracts | (7,762 | ) | 5,998,772 | — | 4,907,863 | 10,898,873 | ||||||||||||||
Total | $ | (7,762 | ) | $ | 5,998,772 | $ | (1,716,142 | ) | $ | 5,100,313 | $ | 9,375,181 | ||||||||
* | Included in net unrealized appreciation (depreciation) on investment transactions in the Statement of Operations. |
** | Included in net unrealized appreciation (depreciation) on foreign currency transactions in the Statement of Operations. |
For the six months ended June 30, 2014, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased | Options Written | Futures | Futures | Forward Currency | Forward Currency | |||||
$652,074 | $46,135 | $350,051,297 | $60,092,906 | $239,248,954 | $191,614,532 |
Interest Rate Swaps | Credit Default | Credit Default | Currency Swaps | |||
$505,904 | $249,416 | $50,225 | $91,266 |
Offsetting of over-the-counter (OTC) derivative assets and liabilities:
The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.
Counterparty | Gross amounts of recognized assets(1) | Gross amounts available for offset | Collateral Received(3) | Net Amount | ||||||||||||
Bank of America | $ | 217,486 | $ | (217,486 | ) | $ | — | $ | — | |||||||
Barclays Capital Group | 681,664 | (681,664 | ) | — | — | |||||||||||
BNP Paribas | 217,621 | (48,483 | ) | — | 169,138 | |||||||||||
Citigroup Global Markets | 3,330,200 | (1,751,706 | ) | (1,747,024 | ) | — | ||||||||||
Credit Suisse First Boston Corp. | 846,342 | (627,390 | ) | (628,113 | ) | — | ||||||||||
Deutsche Bank AG | 4,159,790 | (1,881,975 | ) | (2,865,765 | ) | — | ||||||||||
Goldman Sachs & Co. | 430,227 | (430,227 | ) | — | — | |||||||||||
Hong Kong & Shanghai Bank | 1,157,174 | (637,988 | ) | (515,022 | ) | 4,164 | ||||||||||
JPMorgan Chase | 635,437 | (623,169 | ) | — | 12,268 | |||||||||||
Morgan Stanley | 2,501 | (2,501 | ) | — | — | |||||||||||
Societe Generale | 1,623 | — | — | 1,623 | ||||||||||||
Toronto Dominion | 259,306 | (19,431 | ) | — | 239,875 | |||||||||||
UBS AG | 214,663 | (173,947 | ) | — | 40,716 | |||||||||||
$ | 12,154,034 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A57
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Counterparty | Gross amounts of recognized liabilities(2) | Gross amounts available for offset | Collateral Pledged(3) | Net Amount | ||||||||||||
Bank of America | $ | (821,728 | ) | $ | 217,486 | $ | 521,758 | $ | (82,484 | ) | ||||||
Barclays Capital Group | (2,625,108 | ) | 681,664 | 1,801,945 | (141,499 | ) | ||||||||||
BNP Paribas | (48,483 | ) | 48,483 | — | — | |||||||||||
Citigroup Global Markets | (1,751,706 | ) | 1,751,706 | — | — | |||||||||||
Credit Suisse First Boston Corp. | (627,390 | ) | 627,390 | — | — | |||||||||||
Deutsche Bank AG | (1,881,975 | ) | 1,881,975 | — | — | |||||||||||
Goldman Sachs & Co. | (542,425 | ) | 430,227 | — | (112,198 | ) | ||||||||||
Hong Kong & Shanghai Bank | (637,988 | ) | 637,988 | — | — | |||||||||||
JPMorgan Chase | (623,169 | ) | 623,169 | — | — | |||||||||||
Morgan Stanley | (28,682 | ) | 2,501 | — | (26,181 | ) | ||||||||||
Societe Generale | — | — | — | — | ||||||||||||
Toronto Dominion | (19,431 | ) | 19,431 | — | — | |||||||||||
UBS AG | (173,947 | ) | 173,947 | — | — | |||||||||||
$ | (9,782,032 | ) | ||||||||||||||
(1) | Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options. |
(2) | Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options. |
(3) | Amounts shown reflect actual collateral received or pledged by the Portfolio. Such amounts are applied up to 100% of the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A58
DIVERSIFIED BOND PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
June 30, 2014
ASSETS | ||||
Investments at value, including securities on loan of $50,931,115: | ||||
Unaffiliated investments (cost $900,369,097) | $ | 962,836,462 | ||
Affiliated investments (cost $166,881,545) | 162,422,415 | |||
Cash | 267,157 | |||
Foreign currency, at value (cost $890,439) | 896,226 | |||
Receivable for investments sold | 11,795,537 | |||
Dividends and interest receivable | 10,074,685 | |||
Unrealized appreciation on over-the-counter swap agreements | 6,001,964 | |||
Premium paid for swap agreements | 2,919,929 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 2,308,034 | |||
Due from broker-variation margin | 229,050 | |||
Receivable for Series shares sold | 55,217 | |||
Tax reclaim receivable | 2,465 | |||
Prepaid expenses | 1,683 | |||
Total Assets | 1,159,810,824 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 52,226,183 | |||
Payable for investments purchased | 14,322,324 | |||
Unrealized depreciation on over-the-counter swap agreements | 6,726,995 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 2,983,740 | |||
Management fee payable | 354,813 | |||
Payable for Series shares repurchased | 302,871 | |||
Accrued expenses | 215,215 | |||
Premium received for swap agreements | 71,297 | |||
Deferred trustees’ fees | 2,423 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 77,206,787 | |||
NET ASSETS | $ | 1,082,604,037 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 998,444,628 | ||
Retained earnings | 84,159,409 | |||
Net assets, June 30, 2014 | $ | 1,082,604,037 | ||
Net asset value and redemption price per share $1,082,604,037 / 94,263,952 outstanding shares of beneficial interest | $ | 11.48 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2014
NET INVESTMENT INCOME | ||||
Income | ||||
Interest income (net of foreign withholding taxes of $23,276) | $ | 22,981,133 | ||
Affiliated dividend income | 659,001 | |||
Unaffiliated dividend income | 44,297 | |||
Affiliated income from securities loaned, net | 43,968 | |||
Total income | 23,728,399 | |||
EXPENSES | ||||
Management fee | 2,192,035 | |||
Custodian’s fees and expenses | 136,000 | |||
Shareholders’ reports | 54,000 | |||
Audit fee | 21,000 | |||
Insurance expenses | 10,000 | |||
Trustees’ fees | 10,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Legal fees and expenses | 5,000 | |||
Interest expense | 3,917 | |||
Commitment fee on syndicated credit agreement | 3,000 | |||
Miscellaneous | 7,691 | |||
Total expenses | 2,448,643 | |||
NET INVESTMENT INCOME | 21,279,756 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 4,540,294 | |||
Futures transactions | 3,646,203 | |||
Options written transactions | 85,176 | |||
Swap agreements transactions | (2,653,133 | ) | ||
Foreign currency transactions | (1,210,365 | ) | ||
4,408,175 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 24,606,217 | |||
Futures | 5,998,772 | |||
Swap agreements | 5,100,313 | |||
Foreign currencies | (1,674,807 | ) | ||
34,030,495 | ||||
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 38,438,670 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 59,718,426 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 21,279,756 | $ | 51,213,022 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 4,408,175 | (9,582,132 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 34,030,495 | (51,666,169 | ) | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 59,718,426 | (10,035,279 | ) | |||||
DISTRIBUTIONS | (11,827,554 | ) | (84,677,590 | ) | ||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [970,371 and 2,523,548 shares, respectively] | 10,917,714 | 29,114,479 | ||||||
Series shares issued in reinvestment of distributions [1,060,767 and 7,523,922 shares, respectively] | 11,827,554 | 84,677,590 | ||||||
Series shares repurchased [16,541,189 and 11,154,465 shares, respectively] | (185,538,182 | ) | (127,474,174 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (162,792,914 | ) | (13,682,105 | ) | ||||
TOTAL DECREASE | (114,902,042 | ) | (108,394,974 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 1,197,506,079 | 1,305,901,053 | ||||||
End of period | $ | 1,082,604,037 | $ | 1,197,506,079 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A59
EQUITY PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
LONG-TERM INVESTMENTS — 97.5% | ||||||||
COMMON STOCKS | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 2.6% |
| |||||||
Boeing Co. (The) | 526,863 | $ | 67,032,779 | |||||
Precision Castparts Corp. | 145,404 | 36,699,970 | ||||||
103,732,749 | ||||||||
Airlines — 1.7% |
| |||||||
American Airlines Group, Inc.* | 714,258 | 30,684,523 | ||||||
United Continental Holdings, Inc.* | 967,039 | 39,716,292 | ||||||
70,400,815 | ||||||||
Auto Components — 1.0% |
| |||||||
Lear Corp. | 471,815 | 42,142,516 | ||||||
Automobiles — 1.9% |
| |||||||
General Motors Co. | 1,175,797 | 42,681,431 | ||||||
Tesla Motors, Inc.*(a) | 144,758 | 34,750,606 | ||||||
77,432,037 | ||||||||
Banks — 5.1% |
| |||||||
Citigroup, Inc. | 975,066 | 45,925,609 | ||||||
JPMorgan Chase & Co. | 869,336 | 50,091,140 | ||||||
PNC Financial Services Group, Inc. | 515,210 | 45,879,451 | ||||||
Wells Fargo & Co. | 1,202,108 | 63,182,796 | ||||||
205,078,996 | ||||||||
Biotechnology — 4.8% |
| |||||||
Alexion Pharmaceuticals, Inc.* | 221,703 | 34,641,094 | ||||||
Biogen Idec, Inc.* | 249,297 | 78,605,837 | ||||||
Celgene Corp.* | 490,470 | 42,121,563 | ||||||
Gilead Sciences, Inc.*(a) | 480,604 | 39,846,878 | ||||||
195,215,372 | ||||||||
Capital Markets — 3.4% |
| |||||||
Goldman Sachs Group, Inc. (The) | 272,657 | 45,653,688 | ||||||
Morgan Stanley | 2,882,367 | 93,186,925 | ||||||
138,840,613 | ||||||||
Chemicals — 1.3% |
| |||||||
Monsanto Co. | 430,456 | 53,695,081 | ||||||
Communications Equipment — 0.8% |
| |||||||
JDS Uniphase Corp.* | 2,528,247 | 31,527,240 | ||||||
Consumer Finance — 1.5% |
| |||||||
Capital One Financial Corp. | 465,073 | 38,415,030 | ||||||
SLM Corp. | 2,885,940 | 23,982,161 | ||||||
62,397,191 | ||||||||
Diversified Financial Services — 0.7% |
| |||||||
Voya Financial, Inc. | 811,451 | 29,488,129 | ||||||
Diversified Telecommunication Services — 1.0% |
| |||||||
CenturyLink, Inc. | 1,059,204 | 38,343,185 | ||||||
Electronic Equipment, Instruments & Components — 1.6% |
| |||||||
Flextronics International Ltd.* | 5,682,934 | 62,910,079 | ||||||
Energy Equipment & Services — 3.1% |
| |||||||
Halliburton Co. | 769,691 | 54,655,758 | ||||||
Schlumberger Ltd. | 609,809 | 71,926,972 | ||||||
126,582,730 | ||||||||
Food & Staples Retailing — 1.1% |
| |||||||
Costco Wholesale Corp. | 352,567 | 40,601,616 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Food & Staples Retailing (continued) |
| |||||||
Whole Foods Market, Inc. | 90,796 | $ | 3,507,449 | |||||
44,109,065 | ||||||||
Food Products — 2.3% |
| |||||||
Bunge Ltd. | 566,789 | 42,871,920 | ||||||
Mondelez International, Inc. (Class A Stock) | 1,310,366 | 49,282,865 | ||||||
92,154,785 | ||||||||
Health Care Providers & Services — 1.1% |
| |||||||
Express Scripts Holding Co.* | 642,885 | 44,571,217 | ||||||
Health Care Technology | ||||||||
Castlight Health, Inc. (Class B Stock)*(a) | 24,383 | 370,622 | ||||||
Hotels, Restaurants & Leisure — 2.9% |
| |||||||
Carnival Corp. | 1,299,299 | 48,918,607 | ||||||
Dunkin’ Brands Group, Inc.(a) | 596,582 | 27,329,422 | ||||||
Starbucks Corp. | 543,281 | 42,039,084 | ||||||
118,287,113 | ||||||||
Independent Power & Renewable Electricity Producers — 1.1% |
| |||||||
NRG Energy, Inc. | 1,172,754 | 43,626,449 | ||||||
Industrial Conglomerates — 0.7% |
| |||||||
Siemens AG, ADR (Germany) | 214,034 | 28,293,154 | ||||||
Insurance — 1.7% |
| |||||||
MetLife, Inc. | 855,760 | 47,546,025 | ||||||
XL Group PLC (Ireland) | 654,938 | 21,436,121 | ||||||
68,982,146 | ||||||||
Internet & Catalog Retail — 3.1% |
| |||||||
Amazon.com, Inc.* | 199,835 | 64,902,411 | ||||||
Coupons.com, Inc.*(a) | 21,734 | 571,822 | ||||||
Priceline Group, Inc. (The)* | 48,708 | 58,595,724 | ||||||
124,069,957 | ||||||||
�� | ||||||||
Internet Software & Services — 6.1% |
| |||||||
Facebook, Inc. (Class A Stock)* | 1,305,020 | 87,814,796 | ||||||
Google, Inc. (Class A Stock)* | 88,886 | 51,968,977 | ||||||
Google, Inc. (Class C Stock)* | 88,886 | 51,134,338 | ||||||
LinkedIn Corp. (Class A Stock)* | 208,127 | 35,687,537 | ||||||
Twitter Inc* | 465,895 | 19,087,718 | ||||||
245,693,366 | ||||||||
IT Services — 3.2% |
| |||||||
FleetCor Technologies, Inc.* | 267,564 | 35,264,935 | ||||||
MasterCard, Inc. (Class A Stock) | 1,278,773 | 93,951,453 | ||||||
129,216,388 | ||||||||
Life Sciences Tools & Services — 1.1% |
| |||||||
Illumina, Inc.*(a) | 251,083 | 44,828,359 | ||||||
Machinery — 2.2% |
| |||||||
Caterpillar, Inc. | 378,167 | 41,095,408 | ||||||
SPX Corp. | 429,182 | 46,441,784 | ||||||
87,537,192 | ||||||||
Media — 4.0% |
| |||||||
Comcast Corp. (Class A Stock) | 852,659 | 45,770,735 | ||||||
Liberty Global PLC (United Kingdom) (Class C Stock)* | 1,174,556 | 49,695,464 |
SEE NOTES TO FINANCIAL STATEMENTS.
A60
EQUITY PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Media (continued) |
| |||||||
Walt Disney Co. (The) | 756,470 | $ | 64,859,738 | |||||
160,325,937 | ||||||||
Metals & Mining — 1.3% |
| |||||||
Goldcorp, Inc. (Canada) | 1,871,346 | 52,229,267 | ||||||
Oil, Gas & Consumable Fuels — 8.4% |
| |||||||
Anadarko Petroleum Corp. | 469,506 | 51,396,822 | ||||||
Denbury Resources, Inc.(a) | 2,402,730 | 44,354,396 | ||||||
Marathon Oil Corp. | 1,177,401 | 47,001,848 | ||||||
Marathon Petroleum Corp. | 389,948 | 30,443,240 | ||||||
Noble Energy, Inc. | 666,719 | 51,644,053 | ||||||
Occidental Petroleum Corp. | 410,422 | 42,121,610 | ||||||
Southwestern Energy Co.* | 424,294 | 19,301,134 | ||||||
Suncor Energy, Inc. (Canada) | 1,247,094 | 53,177,243 | ||||||
339,440,346 | ||||||||
Personal Products — 0.8% |
| |||||||
Avon Products, Inc. | 2,311,950 | 33,777,590 | ||||||
Pharmaceuticals — 6.7% |
| |||||||
Actavis PLC*(a) | 188,934 | 42,141,729 | ||||||
Allergan, Inc. | 166,052 | 28,099,319 | ||||||
Bayer AG (Germany), ADR | 310,713 | 43,894,426 | ||||||
Bristol-Myers Squibb Co. | 638,512 | 30,974,217 | ||||||
Merck & Co., Inc. | 516,247 | 29,864,889 | ||||||
Novo Nordisk A/S (Denmark), ADR | 1,149,686 | 53,103,996 | ||||||
Teva Pharmaceutical Industries Ltd. (Israel), ADR | 814,231 | 42,681,989 | ||||||
270,760,565 | ||||||||
Road & Rail — 2.8% |
| |||||||
Canadian Pacific Railway Ltd. (Canada) | 334,217 | 60,540,067 | ||||||
Hertz Global Holdings, Inc.* | 1,823,933 | 51,124,842 | ||||||
111,664,909 | ||||||||
Semiconductors & Semiconductor Equipment — 1.8% |
| |||||||
Applied Materials, Inc. | 3,242,154 | 73,110,573 | ||||||
Software — 4.3% |
| |||||||
FireEye, Inc.*(a) | 271,069 | 10,991,848 | ||||||
Red Hat, Inc.* | 540,496 | 29,873,214 | ||||||
salesforce.com, inc.*(a) | 828,789 | 48,136,065 | ||||||
Splunk, Inc.* | 415,513 | 22,990,334 | ||||||
VMware, Inc. (Class A Stock)*(a) | 408,921 | 39,587,642 | ||||||
Workday, Inc. (Class A Stock)*(a) | 258,489 | 23,227,822 | ||||||
174,806,925 | ||||||||
Specialty Retail — 2.6% |
| |||||||
Inditex SA (Spain), ADR | 1,663,293 | 51,345,855 | ||||||
TJX Cos., Inc. (The) | 980,937 | 52,136,802 | ||||||
103,482,657 | ||||||||
Technology Hardware, Storage & Peripherals — 3.3% |
| |||||||
Apple, Inc. | 1,130,283 | 105,037,199 | ||||||
EMC Corp. | 1,107,561 | 29,173,157 | ||||||
134,210,356 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Textiles, Apparel & Luxury Goods — 3.3% |
| |||||||
Burberry Group PLC (United Kingdom) | 829,444 | $ | 21,052,040 | |||||
Michael Kors Holdings Ltd.* | 618,663 | 54,844,475 | ||||||
NIKE, Inc. (Class B Stock) | 763,251 | 59,190,115 | ||||||
135,086,630 | ||||||||
Wireless Telecommunication Services — 1.1% |
| |||||||
SBA Communications Corp. (Class A Stock)* | 424,823 | 43,459,393 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 3,941,881,694 | ||||||
SHORT-TERM INVESTMENT — 7.5% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $303,678,693; includes $220,047,392 of cash collateral for securities on loan) (Note 4)(b)(c) | 303,678,693 | 303,678,693 | ||||||
TOTAL INVESTMENTS — 105.0% |
| 4,245,560,387 | ||||||
LIABILITIES IN EXCESS OF |
| (200,360,967 | ) | |||||
NET ASSETS — 100.0% |
| $ | 4,045,199,420 | |||||
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 $216,996,005; cash collateral of $220,047,392 (included with liabilities) was received with which the Portfolio’s purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. Cash collateral is less than 102% of the market value of securities loaned due to significant market increases on last business day of the reporting period. Collateral was subsequently received on the following business day and the Portfolio remained in compliance. |
(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.
A61
EQUITY PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1—quoted | prices generally in active markets for identical securities. |
Level 2—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 June 30, 2014 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 103,732,749 | $ | — | $ | — | ||||||
Airlines | 70,400,815 | — | — | |||||||||
Auto Components | 42,142,516 | — | — | |||||||||
Automobiles | 77,432,037 | — | — | |||||||||
Banks | 205,078,996 | — | — | |||||||||
Biotechnology | 195,215,372 | — | — | |||||||||
Capital Markets | 138,840,613 | — | — | |||||||||
Chemicals | 53,695,081 | — | — | |||||||||
Communications Equipment | 31,527,240 | — | — | |||||||||
Consumer Finance | 62,397,191 | — | — | |||||||||
Diversified Financial Services | 29,488,129 | — | — | |||||||||
Diversified Telecommunication Services | 38,343,185 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 62,910,079 | — | — | |||||||||
Energy Equipment & Services | 126,582,730 | — | — | |||||||||
Food & Staples Retailing | 44,109,065 | — | — | |||||||||
Food Products | 92,154,785 | — | — | |||||||||
Health Care Providers & Services | 44,571,217 | — | — | |||||||||
Health Care Technology | 370,622 | — | — |
Level 1 | Level 2 | Level 3 | ||||||||||
Hotels, Restaurants & Leisure | $ | 118,287,113 | $ | — | $ | — | ||||||
Independent Power & Renewable Electricity Producers | 43,626,449 | — | — | |||||||||
Industrial Conglomerates | 28,293,154 | — | — | |||||||||
Insurance | 68,982,146 | — | — | |||||||||
Internet & Catalog Retail | 124,069,957 | — | — | |||||||||
Internet Software & Services | 245,693,366 | — | — | |||||||||
IT Services | 129,216,388 | — | — | |||||||||
Life Sciences Tools & Services | 44,828,359 | — | — | |||||||||
Machinery | 87,537,192 | — | — | |||||||||
Media | 160,325,937 | — | — | |||||||||
Metals & Mining | 52,229,267 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 339,440,346 | — | — | |||||||||
Personal Products | 33,777,590 | — | — | |||||||||
Pharmaceuticals | 270,760,565 | — | — | |||||||||
Road & Rail | 111,664,909 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 73,110,573 | — | — | |||||||||
Software | 174,806,925 | — | — | |||||||||
Specialty Retail | 103,482,657 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 134,210,356 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 114,034,590 | 21,052,040 | — | |||||||||
Wireless Telecommunication Services | 43,459,393 | — | — | |||||||||
Affiliated Money Market Mutual Fund | 303,678,693 | — | — | |||||||||
Total | $ | 4,224,508,347 | $ | 21,052,040 | $ | — | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A62
EQUITY PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2014 was as follows:
Oil, Gas & Consumable Fuels | 8.4 | % | ||
Affiliated Money Market Mutual Fund (including 5.4% of collateral for securities on loan) | 7.5 | |||
Pharmaceuticals | 6.7 | |||
Internet Software & Services | 6.1 | |||
Banks | 5.1 | |||
Biotechnology | 4.8 | |||
Software | 4.3 | |||
Media | 4.0 | |||
Capital Markets | 3.4 | |||
Technology Hardware, Storage & Peripherals | 3.3 | |||
Textiles, Apparel & Luxury Goods | 3.3 | |||
IT Services | 3.2 | |||
Energy Equipment & Services | 3.1 | |||
Internet & Catalog Retail | 3.1 | |||
Hotels, Restaurants & Leisure | 2.9 | |||
Road & Rail | 2.8 | |||
Aerospace & Defense | 2.6 | |||
Specialty Retail | 2.6 | |||
Food Products | 2.3 | |||
Machinery | 2.2 | |||
Automobiles | 1.9 |
Semiconductors & Semiconductor Equipment | 1.8 | % | ||
Airlines | 1.7 | |||
Insurance | 1.7 | |||
Electronic Equipment, Instruments & Components | 1.6 | |||
Consumer Finance | 1.5 | |||
Chemicals | 1.3 | |||
Metals & Mining | 1.3 | |||
Food & Staples Retailing | 1.1 | |||
Health Care Providers & Services | 1.1 | |||
Independent Power & Renewable Electricity Producers | 1.1 | |||
Life Sciences Tools & Services | 1.1 | |||
Wireless Telecommunication Services | 1.1 | |||
Auto Components | 1.0 | |||
Diversified Telecommunication Services | 1.0 | |||
Communications Equipment | 0.8 | |||
Personal Products | 0.8 | |||
Diversified Financial Services | 0.7 | |||
Industrial Conglomerates | 0.7 | |||
105.0 | ||||
Liabilities in excess of other assets | (5.0 | ) | ||
100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A63
EQUITY PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
June 30, 2014
ASSETS | ||||
Investments at value, including securities on loan of $216,996,005: | ||||
Unaffiliated investments (cost $2,595,501,481) | $ | 3,941,881,694 | ||
Affiliated investments (cost $303,678,693) | 303,678,693 | |||
Foreign currency, at value (cost $66,728) | 67,202 | |||
Receivable for investments sold | 24,963,303 | |||
Dividends receivable | 2,048,395 | |||
Tax reclaim receivable | 1,812,045 | |||
Receivable for Series shares sold | 1,837 | |||
Prepaid expenses | 4,338 | |||
Total Assets | 4,274,457,507 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 220,047,392 | |||
Payable for investments purchased | 6,722,560 | |||
Management fee payable | 1,482,658 | |||
Payable for Series shares reacquired | 681,282 | |||
Accrued expenses | 322,098 | |||
Affiliated transfer agent fee payable | 926 | |||
Deferred trustees’ fees | 697 | |||
Distribution fee payable | 474 | |||
Total Liabilities | 229,258,087 | |||
NET ASSETS | $ | 4,045,199,420 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 2,277,643,430 | ||
Retained earnings | 1,767,555,990 | |||
Net assets, June 30, 2014 | $ | 4,045,199,420 | ||
Class I: | ||||
Net asset value and redemption price per share $4,042,885,843 / 107,489,478 outstanding shares of beneficial interest | $ | 37.61 | ||
Class II: | ||||
Net asset value and redemption price per share $2,313,577 / 61,223 outstanding shares of beneficial interest | $ | 37.79 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2014
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of $763,368 foreign withholding tax) | $ | 16,004,951 | ||
Affiliated income from securities lending, net | 435,457 | |||
Affiliated dividend income | 51,072 | |||
Total income | 16,491,480 | |||
EXPENSES | ||||
Management fee | 8,807,682 | |||
Distribution fee—Class II | 3,047 | |||
Administration fee—Class II | 1,828 | |||
Custodian’s fees and expenses | 228,000 | |||
Reports to shareholders | 115,000 | |||
Insurance fees | 25,000 | |||
Trustees’ fees | 22,000 | |||
Audit fee | 12,000 | |||
Legal fees and expenses | 8,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Miscellaneous | 15,626 | |||
Total expenses | 9,244,183 | |||
NET INVESTMENT INCOME | 7,247,297 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 126,951,554 | |||
Foreign currency transactions | (18,993 | ) | ||
126,932,561 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 61,105,301 | |||
Foreign currencies | 5,453 | |||
61,110,754 | ||||
NET GAIN ON INVESTMENT TRANSACTIONS | 188,043,315 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 195,290,612 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 7,247,297 | $ | 30,516,315 | ||||
Net realized gain on investment and foreign currency transactions | 126,932,561 | 417,610,720 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 61,110,754 | 579,405,992 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 195,290,612 | 1,027,533,027 | ||||||
SERIES SHARE TRANSACTIONS (Note 7) | ||||||||
Series shares sold | 6,303,214 | 15,823,185 | ||||||
Series shares repurchased | (129,638,902 | ) | (238,940,216 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (123,335,688 | ) | (223,117,031 | ) | ||||
TOTAL INCREASE | 71,954,924 | 804,415,996 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 3,973,244,496 | 3,168,828,500 | ||||||
End of period | $ | 4,045,199,420 | $ | 3,973,244,496 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A64
FLEXIBLE MANAGED PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
LONG-TERM INVESTMENTS — 89.6% | ||||||||
COMMON STOCKS — 65.8% | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 1.9% | ||||||||
Hexcel Corp.* | 108,000 | $ | 4,417,200 | |||||
Huntington Ingalls Industries, Inc. | 22,000 | 2,080,980 | ||||||
L-3 Communications Holdings, Inc. | 31,400 | 3,791,550 | ||||||
Lockheed Martin Corp. | 95,300 | 15,317,569 | ||||||
Northrop Grumman Corp. | 178,900 | 21,401,807 | ||||||
Raytheon Co. | 142,700 | 13,164,075 | ||||||
Thales SA (France) | 10,762 | 650,718 | ||||||
United Technologies Corp. | 115,700 | 13,357,565 | ||||||
Zodiac Aerospace (France) | 11,221 | 379,914 | ||||||
74,561,378 | ||||||||
Air Freight & Logistics — 0.3% | ||||||||
Deutsche Post AG (Germany) | 29,810 | 1,075,989 | ||||||
FedEx Corp. | 8,500 | 1,286,730 | ||||||
United Parcel Service, Inc. | 89,100 | 9,147,006 | ||||||
11,509,725 | ||||||||
Airlines — 0.3% | ||||||||
Alaska Air Group, Inc. | 27,400 | 2,604,370 | ||||||
Copa Holdings SA (Panama) | 14,100 | 2,010,237 | ||||||
Delta Air Lines, Inc. | 86,700 | 3,357,024 | ||||||
Deutsche Lufthansa AG (Germany) | 28,961 | 621,707 | ||||||
easyJet PLC (United Kingdom) | 32,099 | 749,594 | ||||||
International Consolidated Airlines Group SA (United Kingdom)* | 10,892 | 69,116 | ||||||
Singapore Airlines Ltd. (Singapore) | 6,000 | 49,932 | ||||||
Southwest Airlines Co. | 125,100 | 3,360,186 | ||||||
12,822,166 | ||||||||
Auto Components — 0.3% | ||||||||
Bridgestone Corp. (Japan) | 6,800 | 238,160 | ||||||
Continental AG (Germany) | 1,515 | 350,284 | ||||||
Gentex Corp. | 25,200 | 733,068 | ||||||
Johnson Controls, Inc. | 203,200 | 10,145,776 | ||||||
Koito Manufacturing Co. Ltd. (Japan) | 1,000 | 25,626 | ||||||
NGK Spark Plug Co. Ltd. (Japan) | 2,000 | 56,468 | ||||||
NOK Corp. (Japan) | 1,000 | 20,107 | ||||||
Sumitomo Rubber Industries Ltd. (Japan) | 1,800 | 26,016 | ||||||
Toyota Industries Corp. (Japan) | 6,600 | 341,024 | ||||||
Valeo SA (France) | 6,990 | 937,881 | ||||||
12,874,410 | ||||||||
Automobiles — 0.3% | ||||||||
Bayerische Motoren Werke AG (Germany) | 9,105 | 1,152,964 | ||||||
Daimler AG (Germany) | 18,334 | 1,712,663 | ||||||
Fiat SpA (Italy)* | 9,150 | 90,215 | ||||||
Fuji Heavy Industries Ltd. (Japan) | 32,900 | 912,276 | ||||||
Nissan Motor Co. Ltd. (Japan) | 21,600 | 204,540 | ||||||
Peugeot SA (France)* | 40,465 | 598,706 | ||||||
Renault SA (France) | 2,459 | 222,281 | ||||||
Suzuki Motor Corp. (Japan) | 3,700 | 116,075 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Automobiles (continued) | ||||||||
Thor Industries, Inc. | 60,600 | $ | 3,446,322 | |||||
Toyota Motor Corp. (Japan) | 16,200 | 969,936 | ||||||
Volkswagen AG (Germany) | 301 | 77,631 | ||||||
9,503,609 | ||||||||
Banks — 3.9% | ||||||||
Aozora Bank Ltd. (Japan) | 11,000 | 36,166 | ||||||
Australia & New Zealand Banking Group Ltd. (Australia) | 52,409 | 1,647,978 | ||||||
Banco Bilbao Vizcaya Argentaria | 5,156 | 65,715 | ||||||
Banco Santander SA (Spain) | 94,088 | 983,150 | ||||||
Bank Hapoalim BM (Israel) | 130,391 | 753,136 | ||||||
Bank of America Corp. | 1,100,982 | 16,922,093 | ||||||
Bank of Queensland Ltd. (Australia) | 3,705 | 42,578 | ||||||
Bank of Yokohama Ltd. (The) (Japan) | 12,000 | 69,108 | ||||||
BNP Paribas SA (France) | 667 | 45,328 | ||||||
Citigroup, Inc. | 474,450 | 22,346,595 | ||||||
Commonwealth Bank of Australia (Australia) | 26,172 | 1,996,093 | ||||||
Credit Agricole SA (France) | 57,049 | 805,467 | ||||||
DBS Group Holdings Ltd. (Singapore) | 18,000 | 242,094 | ||||||
DNB ASA (Norway) | 49,292 | 900,628 | ||||||
First Niagara Financial | 448,200 | 3,917,268 | ||||||
Fukuoka Financial Group, Inc. (Japan) | 8,000 | 38,641 | ||||||
Fulton Financial Corp. | 106,200 | 1,315,818 | ||||||
Hachijuni Bank Ltd. (The) (Japan) | 4,000 | 24,769 | ||||||
Hang Seng Bank Ltd. | 7,900 | 129,003 | ||||||
HSBC Holdings PLC | 195,456 | 1,982,906 | ||||||
Intesa Sanpaolo SpA (Italy) | 9,506 | 25,249 | ||||||
Iyo Bank Ltd. (The) (Japan) | 2,700 | 27,310 | ||||||
JPMorgan Chase & Co. | 347,194 | 20,005,318 | ||||||
KeyCorp | 740,700 | 10,614,231 | ||||||
Lloyds Banking Group PLC | 53,740 | 68,307 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 255,600 | 1,569,056 | ||||||
Mizuho Financial Group, Inc. (Japan) | 593,100 | 1,219,120 | ||||||
National Australia Bank Ltd. (Australia) | 2,130 | 65,836 | ||||||
Natixis (France) | 54,295 | 348,460 | ||||||
Nordea Bank AB (Sweden) | 31,773 | 447,934 | ||||||
Oversea-Chinese Banking Corp. Ltd. (Singapore) | 50,138 | 384,565 | ||||||
PNC Financial Services | 85,000 | 7,569,250 | ||||||
Popular, Inc. (Puerto Rico)*(a) | 58,800 | 2,009,784 | ||||||
Regions Financial Corp. | 311,600 | 3,309,192 | ||||||
Resona Holdings, Inc. (Japan) | 91,200 | 531,453 |
SEE NOTES TO FINANCIAL STATEMENTS.
A65
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks (continued) | ||||||||
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock) | 71,742 | $ | 957,595 | |||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 13,700 | 574,810 | ||||||
SunTrust Banks, Inc. | 39,200 | 1,570,352 | ||||||
Svenska Handelsbanken AB (Sweden) (Class A Stock) | 19,910 | 973,590 | ||||||
Swedbank AB (Sweden) | 10,582 | 280,287 | ||||||
Wells Fargo & Co. | 842,812 | 44,298,199 | ||||||
Westpac Banking Corp. (Australia) | 53,719 | 1,718,266 | ||||||
Yamaguchi Financial Group, Inc. (Japan) | 2,000 | 21,092 | ||||||
152,853,790 | ||||||||
Beverages — 1.7% | ||||||||
Anheuser-Busch InBev NV (Belgium) | 8,400 | 965,163 | ||||||
Asahi Group Holdings Ltd. (Japan) | 4,000 | 125,612 | ||||||
Carlsberg A/S (Denmark) | 1,092 | 117,613 | ||||||
Coca-Cola Co. (The) | 90,100 | 3,816,636 | ||||||
Coca-Cola Enterprises, Inc. | 291,100 | 13,908,758 | ||||||
Diageo PLC (United Kingdom) | 22,432 | 714,435 | ||||||
Heineken NV (Netherlands) | 345 | 24,764 | ||||||
Kirin Holdings Co. Ltd. (Japan) | 4,000 | 57,755 | ||||||
Monster Beverage Corp.* | 164,300 | 11,670,229 | ||||||
PepsiCo, Inc. | 394,920 | 35,282,153 | ||||||
SABMiller PLC (United Kingdom) | 260 | 15,068 | ||||||
66,698,186 | ||||||||
Biotechnology — 2.0% | ||||||||
Actelion Ltd. (Switzerland) | 1,110 | 140,492 | ||||||
Alexion Pharmaceuticals, Inc.* | 91,200 | 14,250,000 | ||||||
Amgen, Inc. | 120,308 | 14,240,858 | ||||||
Biogen Idec, Inc.* | 84,700 | 26,706,757 | ||||||
Celgene Corp.* | 23,000 | 1,975,240 | ||||||
Gilead Sciences, Inc.*(a) | 245,900 | 20,387,569 | ||||||
77,700,916 | ||||||||
Building Products — 0.1% | ||||||||
A.O. Smith Corp. | 46,700 | 2,315,386 | ||||||
Daikin Industries Ltd. (Japan) | 6,700 | 422,856 | ||||||
Geberit AG (Switzerland) | 2,522 | 884,702 | ||||||
LIXIL Group Corp. (Japan) | 2,600 | 70,371 | ||||||
3,693,315 | ||||||||
Capital Markets — 1.8% | �� | |||||||
3i Group PLC (United Kingdom) | 115,551 | 794,120 | ||||||
Affiliated Managers Group, Inc.* | 9,800 | 2,012,920 | ||||||
Ameriprise Financial, Inc. | 28,900 | 3,468,000 | ||||||
BlackRock, Inc. | 50,100 | 16,011,960 | ||||||
Daiwa Securities Group, Inc. (Japan) | 17,000 | 147,293 | ||||||
Franklin Resources, Inc. | 132,000 | 7,634,880 | ||||||
Goldman Sachs Group, Inc. (The) | 151,500 | 25,367,160 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Capital Markets (continued) | ||||||||
Macquarie Group Ltd. (Australia) | 5,738 | $ | 322,785 | |||||
Raymond James Financial, Inc. | 43,800 | 2,221,974 | ||||||
Schroders PLC (United Kingdom) | 16,774 | 718,796 | ||||||
SEI Investments Co. | 7,800 | 255,606 | ||||||
T. Rowe Price Group, Inc. | 103,200 | 8,711,112 | ||||||
UBS AG (Switzerland) | 2,112 | 38,723 | ||||||
Waddell & Reed Financial, Inc. (Class A Stock) | 51,500 | 3,223,385 | ||||||
70,928,714 | ||||||||
Chemicals — 1.4% | ||||||||
Air Water, Inc. (Japan) | 2,000 | 32,014 | ||||||
Asahi Kasei Corp. (Japan) | 13,000 | 99,522 | ||||||
BASF SE (Germany) | 10,001 | 1,163,353 | ||||||
Cytec Industries, Inc. | 10,900 | 1,149,078 | ||||||
Daicel Corp. (Japan) | 87,000 | 831,831 | ||||||
Dow Chemical Co. (The) | 308,500 | 15,875,410 | ||||||
Eastman Chemical Co. | 32,700 | 2,856,345 | ||||||
Hitachi Chemical Co. Ltd. (Japan) | 12,300 | 203,643 | ||||||
International Flavors & Fragrances, Inc. | 36,100 | 3,764,508 | ||||||
K+S AG (Germany) | 23,727 | 779,157 | ||||||
Kaneka Corp. (Japan) | 3,000 | 18,783 | ||||||
Kuraray Co. Ltd. (Japan) | 3,600 | 45,660 | ||||||
LyondellBasell Industries NV (Netherlands) (Class A Stock) | 151,900 | 14,833,035 | ||||||
Nippon Paint Co. Ltd. (Japan) | 2,000 | 42,347 | ||||||
Nitto Denko Corp. (Japan) | 1,600 | 74,946 | ||||||
PPG Industries, Inc. | 9,000 | 1,891,350 | ||||||
Sika AG (Switzerland) | 22 | 89,883 | ||||||
Westlake Chemical Corp. | 118,600 | 9,933,936 | ||||||
Yara International ASA (Norway) | 18,067 | 905,139 | ||||||
54,589,940 | ||||||||
Commercial Services & Supplies | ||||||||
Babcock International Group PLC (United Kingdom) | 3,735 | 74,240 | ||||||
Dai Nippon Printing Co. Ltd. (Japan) | 6,000 | 62,688 | ||||||
Toppan Printing Co. Ltd. (Japan) | 6,000 | 46,393 | ||||||
183,321 | ||||||||
Communications Equipment — 1.6% |
| |||||||
Cisco Systems, Inc. | 953,900 | 23,704,415 | ||||||
Harris Corp. | 32,700 | 2,477,025 | ||||||
QUALCOMM, Inc. | �� | 430,600 | 34,103,520 | |||||
60,284,960 | ||||||||
Construction & Engineering — 0.2% | ||||||||
ACS Actividades de Construccion y Servicios SA (Spain) | 20,089 | 919,478 | ||||||
Hochtief AG (Germany) | 245 | 21,204 | ||||||
Leighton Holdings Ltd. (Australia)(a) | 22,955 | 426,218 | ||||||
Quanta Services, Inc.* | 123,400 | 4,267,172 | ||||||
Taisei Corp. (Japan) | 11,000 | 60,964 | ||||||
Vinci SA (France) | 14,597 | 1,091,254 | ||||||
6,786,290 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A66
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Construction Materials | ||||||||
Taiheiyo Cement Corp. (Japan) | 12,000 | $ | 48,384 | |||||
Consumer Finance — 0.5% | ||||||||
Capital One Financial Corp.(a) | 60,100 | 4,964,260 | ||||||
Discover Financial Services | 251,100 | 15,563,178 | ||||||
20,527,438 | ||||||||
Containers & Packaging | ||||||||
Toyo Seikan Group Holdings Ltd. (Japan) | 10,100 | 155,268 | ||||||
Diversified Consumer Services | ||||||||
Apollo Education Group, Inc.* | 32,200 | 1,006,250 | ||||||
Diversified Financial Services — 0.7% |
| |||||||
Berkshire Hathaway, Inc. | 177,100 | 22,413,776 | ||||||
CBOE Holdings, Inc. | 49,600 | 2,440,816 | ||||||
Industrivarden AB (Sweden) | 36,939 | 729,188 | ||||||
Interactive Brokers Group, Inc. (Class A Stock) | 20,500 | 477,445 | ||||||
Investor AB (Sweden) | 25,544 | 957,164 | ||||||
McGraw-Hill Financial, Inc. | 19,800 | 1,643,994 | ||||||
ORIX Corp. (Japan) | 13,200 | 218,867 | ||||||
28,881,250 | ||||||||
Diversified Telecommunication Services — 1.2% |
| |||||||
AT&T, Inc.(a) | 476,047 | 16,833,022 | ||||||
BT Group PLC (United Kingdom) | 188,261 | 1,237,069 | ||||||
Nippon Telegraph & Telephone Corp. (Japan) | 16,900 | 1,053,341 | ||||||
Orange SA (France) | 19,779 | 312,950 | ||||||
Portugal Telecom SGPS SA (Portugal) | 6,591 | 24,177 | ||||||
Telecom Italia SpA (Italy) | 791,216 | 782,658 | ||||||
Telefonica SA (Spain) | 43,540 | 747,488 | ||||||
Telekom Austria AG (Austria) | 7,232 | 70,738 | ||||||
Telstra Corp. Ltd. (Australia) | 45,244 | 222,274 | ||||||
Verizon Communications, Inc. | 499,088 | 24,420,376 | ||||||
45,704,093 | ||||||||
Electric Utilities — 1.0% | ||||||||
American Electric Power Co., Inc. | 43,500 | 2,425,995 | ||||||
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong) | 6,000 | 41,449 | ||||||
Chubu Electric Power Co., Inc. (Japan)* | 6,300 | 78,243 | ||||||
Chugoku Electric Power Co., Inc. (The) (Japan) | 3,000 | 40,880 | ||||||
Contact Energy Ltd. (New Zealand) | 3,837 | 17,821 | ||||||
Duke Energy Corp.(a) | 268,500 | 19,920,015 | ||||||
EDP-Energias de Portugal SA (Portugal) | 116,565 | 584,878 | ||||||
Electricite de France (France) | 2,447 | 77,051 | ||||||
Enel SpA (Italy) | 48,368 | 281,339 | ||||||
Entergy Corp. | 89,200 | 7,322,428 | ||||||
Exelon Corp. | 109,100 | 3,979,968 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Electric Utilities (continued) | ||||||||
Fortum OYJ (Finland) | 34,195 | $ | 918,203 | |||||
Hokuriku Electric Power Co. (Japan) | 1,700 | 22,537 | ||||||
Iberdrola SA (Spain) | 15,485 | 118,453 | ||||||
Kansai Electric Power Co., Inc. (The) (Japan)* | 7,000 | 65,983 | ||||||
Kyushu Electric Power Co., Inc. (Japan)* | 4,400 | 49,535 | ||||||
PPL Corp. | 75,700 | 2,689,621 | ||||||
Red Electrica Corp. SA (Spain) | 1,128 | 103,113 | ||||||
Shikoku Electric Power Co., Inc. (Japan)* | 1,800 | 25,099 | ||||||
SSE PLC (United Kingdom) | 10,001 | 267,916 | ||||||
Tohoku Electric Power Co., Inc. (Japan) | 4,600 | 53,835 | ||||||
Tokyo Electric Power Co., Inc. (Japan)* | 14,900 | 61,933 | ||||||
39,146,295 | ||||||||
Electrical Equipment — 0.6% | ||||||||
AMETEK, Inc. | 103,600 | 5,416,208 | ||||||
Emerson Electric Co. | 240,300 | 15,946,308 | ||||||
EnerSys, Inc. | 29,900 | 2,056,821 | ||||||
Fuji Electric Co. Ltd. (Japan) | 6,000 | 28,470 | ||||||
Mitsubishi Electric Corp. (Japan) | 26,000 | 321,171 | ||||||
Schneider Electric SE (France) | 2,746 | 258,930 | ||||||
24,027,908 | ||||||||
Electronic Equipment, Instruments & Components — 0.2% |
| |||||||
Arrow Electronics, Inc.* | 37,200 | 2,247,252 | ||||||
Citizen Holdings Co. Ltd. (Japan) | 2,700 | 21,203 | ||||||
FUJIFILM Holdings Corp. (Japan) | 32,600 | 909,886 | ||||||
Hirose Electric Co. Ltd. (Japan) | 300 | 44,599 | ||||||
Hitachi High-Technologies Corp. (Japan) | 600 | 14,286 | ||||||
Hoya Corp. (Japan) | 4,400 | 146,290 | ||||||
Ibiden Co. Ltd. (Japan) | 1,200 | 24,210 | ||||||
Ingram Micro, Inc. (Class A Stock)* | 119,300 | 3,484,753 | ||||||
Murata Manufacturing Co. Ltd. (Japan) | 2,000 | 187,561 | ||||||
Nippon Electric Glass Co. Ltd. (Japan) | 4,000 | 23,311 | ||||||
Omron Corp. (Japan) | 2,100 | 88,556 | ||||||
7,191,907 | ||||||||
Energy Equipment & Services — 1.3% |
| |||||||
Baker Hughes, Inc. | 258,600 | 19,252,770 | ||||||
Helmerich & Payne, Inc. | 68,400 | 7,941,924 | ||||||
RPC, Inc. | 84,600 | 1,987,254 | ||||||
Schlumberger Ltd. | 185,700 | 21,903,315 | ||||||
Transocean Ltd. | 3,652 | 164,078 | ||||||
51,249,341 | ||||||||
Food & Staples Retailing — 1.4% | ||||||||
Carrefour SA (France) | 6,394 | 235,774 | ||||||
Casino Guichard Perrachon SA (France) | 6,608 | 876,090 |
SEE NOTES TO FINANCIAL STATEMENTS.
A67
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Food & Staples Retailing (continued) |
| |||||||
CVS Caremark Corp. | 87,800 | $ | 6,617,486 | |||||
Delhaize Group SA (Belgium) | 1,068 | 72,269 | ||||||
Distribuidora Internacional de Alimentacion SA (Spain) | 6,445 | 59,321 | ||||||
J. Sainsbury PLC (United Kingdom) | 143,819 | 776,324 | ||||||
Koninklijke Ahold NV (Netherlands) | 45,084 | 845,375 | ||||||
Kroger Co. (The) | 356,700 | 17,631,681 | ||||||
Lawson, Inc. (Japan) | 700 | 52,540 | ||||||
Wal-Mart Stores, Inc. | 349,200 | 26,214,444 | ||||||
Wesfarmers Ltd. (Australia) | 4,957 | 195,610 | ||||||
WM Morrison Supermarkets PLC (United Kingdom) | 38,870 | 121,906 | ||||||
Woolworths Ltd. (Australia) | 12,973 | 430,789 | ||||||
54,129,609 | ||||||||
Food Products — 0.9% | ||||||||
Archer-Daniels-Midland Co. | 138,100 | 6,091,591 | ||||||
Bunge Ltd. | 31,700 | 2,397,788 | ||||||
Cal-Maine Foods, Inc. | 5,900 | 438,488 | ||||||
Golden Agri-Resources Ltd. (Singapore) | 1,513,000 | 674,780 | ||||||
Kellogg Co. | 18,800 | 1,235,160 | ||||||
Lindt & Spruengli AG (Switzerland) | 1 | 61,773 | ||||||
Nestle SA (Switzerland) | 26,358 | 2,042,401 | ||||||
Nippon Meat Packers, Inc. (Japan) | 32,000 | 624,774 | ||||||
Sanderson Farms, Inc.(a) | 29,200 | 2,838,240 | ||||||
Tyson Foods, Inc. (Class A Stock) | 357,400 | 13,416,796 | ||||||
Unilever NV (Netherlands) | 31,748 | 1,389,708 | ||||||
Unilever PLC (United Kingdom) | 30,328 | 1,374,746 | ||||||
Wilmar International Ltd. (Singapore) | 294,000 | 752,598 | ||||||
�� | ||||||||
33,338,843 | ||||||||
Gas Utilities — 0.3% | ||||||||
AGL Resources, Inc. | 184,300 | 10,142,029 | ||||||
Enagas SA (Spain) | 1,942 | 62,511 | ||||||
Gas Natural SDG SA (Spain) | 3,625 | 114,525 | ||||||
Snam SpA (Italy) | 20,358 | 122,615 | ||||||
10,441,680 | ||||||||
Health Care Equipment & Supplies — 1.1% |
| |||||||
Abbott Laboratories | 578,500 | 23,660,650 | ||||||
Becton, Dickinson and Co. | 65,400 | 7,736,820 | ||||||
Boston Scientific Corp.* | 282,900 | 3,612,633 | ||||||
C.R. Bard, Inc.(a) | 37,200 | 5,319,972 | ||||||
Coloplast A/S (Denmark) (Class B Stock) | 10,149 | 918,334 | ||||||
Smith & Nephew PLC (United Kingdom) | 9,198 | 162,785 | ||||||
St. Jude Medical, Inc. | 30,400 | 2,105,200 | ||||||
43,516,394 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Health Care Providers & Services — 1.2% |
| |||||||
Aetna, Inc. | 79,700 | $ | 6,462,076 | |||||
Alfresa Holdings Corp. (Japan) | 2,000 | 128,945 | ||||||
Cigna Corp. | 140,500 | 12,921,785 | ||||||
Express Scripts Holding Co.* | 223,800 | 15,516,054 | ||||||
Fresenius Medical Care AG & Co. KGaA (Germany) | 941 | 63,312 | ||||||
Fresenius SE & Co. KGaA (Germany) | 2,806 | 418,474 | ||||||
Health Net, Inc.* | 17,300 | 718,642 | ||||||
Medipal Holdings Corp. (Japan) | 50,700 | 718,815 | ||||||
Ramsay Health Care Ltd. (Australia) | 1,336 | 57,383 | ||||||
Sonic Healthcare Ltd. (Australia) | 3,921 | 64,141 | ||||||
Suzuken Co. Ltd. (Japan) | 700 | 26,076 | ||||||
WellPoint, Inc. | 100,200 | 10,782,522 | ||||||
47,878,225 | ||||||||
Health Care Technology — 0.2% | ||||||||
Cerner Corp.*(a) | 125,700 | 6,483,606 | ||||||
Hotels, Restaurants & Leisure — 1.4% |
| |||||||
Accor SA (France) | 1,643 | 85,396 | ||||||
DineEquity, Inc. | 5,000 | 397,450 | ||||||
Jack in the Box, Inc. | 34,600 | 2,070,464 | ||||||
Marriott Vacations Worldwide Corp.* | 38,500 | 2,257,255 | ||||||
McDonald’s Corp. | 226,100 | 22,777,314 | ||||||
Oriental Land Co. Ltd. (Japan) | 500 | 85,693 | ||||||
Sands China Ltd. (Hong Kong) | 26,000 | 196,240 | ||||||
TUI Travel PLC (United Kingdom) | 96,749 | 658,611 | ||||||
Whitbread PLC (United Kingdom) | 1,821 | 137,377 | ||||||
Wyndham Worldwide Corp. | 183,200 | 13,871,904 | ||||||
Yum! Brands, Inc. | 154,700 | 12,561,640 | ||||||
55,099,344 | ||||||||
Household Durables — 0.1% | ||||||||
Electrolux AB (Sweden) | 2,490 | 62,839 | ||||||
Iida Group Holdings Co. Ltd. (Japan) | 1,500 | 22,798 | ||||||
Panasonic Corp. (Japan) | 91,800 | 1,112,805 | ||||||
Persimmon PLC (United Kingdom) | 16,344 | 355,965 | ||||||
Persimmon PLC – B/C Share (United Kingdom)* | 16,344 | 19,580 | ||||||
Sekisui Chemical Co. Ltd. (Japan) | 55,000 | 637,649 | ||||||
Sekisui House Ltd. (Japan) | 5,100 | 69,985 | ||||||
Sony Corp. (Japan) | 11,000 | 183,815 | ||||||
2,465,436 | ||||||||
Household Products — 1.0% | ||||||||
Colgate-Palmolive Co. | 7,600 | 518,168 | ||||||
Henkel AG & Co. KGaA (Germany) | 8,280 | 832,684 | ||||||
Kimberly-Clark Corp. | 156,900 | 17,450,418 | ||||||
Procter & Gamble Co. (The) | 258,305 | 20,300,190 | ||||||
Reckitt Benckiser Group PLC (United Kingdom) | 1,613 | 140,645 | ||||||
39,242,105 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A68
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Independent Power & Renewable Electricity Producers — 0.3% |
| |||||||
AES Corp. | 792,900 | $ | 12,329,595 | |||||
Electric Power Development Co. Ltd. (Japan) | 1,200 | 38,941 | ||||||
12,368,536 | ||||||||
Industrial Conglomerates — 1.5% | ||||||||
Carlisle Cos., Inc. | 33,300 | 2,884,446 | ||||||
General Electric Co. | 2,046,700 | 53,787,276 | ||||||
Hopewell Holdings Ltd. (Hong Kong) | 84,000 | 292,655 | ||||||
Hutchison Whampoa Ltd. (Hong Kong) | 75,000 | 1,025,742 | ||||||
NWS Holdings Ltd. (Bermuda) | 236,000 | 437,872 | ||||||
Siemens AG (Germany) | 1,997 | 263,672 | ||||||
58,691,663 | ||||||||
Insurance — 1.7% | ||||||||
Aegon NV (Netherlands) | 18,817 | 164,149 | ||||||
Aflac, Inc. | 289,000 | 17,990,250 | ||||||
Ageas (Belgium) | 2,315 | 92,325 | ||||||
Allianz SE (Germany) | 1,830 | 305,452 | ||||||
American Financial Group, Inc. | 89,000 | 5,300,840 | ||||||
AXA SA (France) | 25,333 | 605,290 | ||||||
Baloise Holding AG (Switzerland) | 1,508 | 177,563 | ||||||
Genworth Financial, Inc. (Class A Stock)* | 144,200 | 2,509,080 | ||||||
Insurance Australia Group Ltd. (Australia) | 152,103 | 837,777 | ||||||
Legal & General Group PLC (United Kingdom) | 61,395 | 236,523 | ||||||
Muenchener Rueckversicherungs AG (Germany) | 5,020 | 1,111,671 | ||||||
PartnerRe Ltd. | 124,100 | 13,552,961 | ||||||
Prudential PLC (United Kingdom) | 55,863 | 1,279,896 | ||||||
Sampo OYJ (Finland) (Class A Stock) | 18,392 | 929,760 | ||||||
Swiss Life Holding AG (Switzerland) | 3,295 | 781,053 | ||||||
Swiss Re AG (Switzerland) | 11,684 | 1,038,909 | ||||||
Travelers Cos., Inc. (The) | 156,500 | 14,721,955 | ||||||
UnipolSai SpA (Italy) | 228,241 | 733,203 | ||||||
Unum Group | 121,600 | 4,226,816 | ||||||
Zurich Insurance Group AG (Switzerland) | 433 | 130,414 | ||||||
66,725,887 | ||||||||
Internet & Catalog Retail — 0.4% | ||||||||
HSN, Inc. | 7,100 | 420,604 | ||||||
Liberty Ventures* | 27,400 | 2,022,120 | ||||||
Priceline Group, Inc. (The)* | 6,800 | 8,180,400 | ||||||
TripAdvisor, Inc.*(a) | 35,400 | 3,846,564 | ||||||
14,469,688 | ||||||||
Internet Software & Services — 2.5% |
| |||||||
eBay, Inc.* | 73,200 | 3,664,392 | ||||||
Facebook, Inc. (Class A Stock)* | 475,400 | 31,989,666 | ||||||
Google, Inc. (Class A Stock)* | 54,500 | 31,864,515 | ||||||
Google, Inc. (Class C Stock)* | 48,700 | 28,016,136 | ||||||
95,534,709 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
IT Services — 1.7% | ||||||||
Amadeus IT Holding SA (Spain) (Class A Stock) | 18,616 | $ | 767,413 | |||||
Broadridge Financial Solutions, Inc. | 49,200 | 2,048,688 | ||||||
Cap Gemini SA (France) | 1,075 | 76,716 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock)* | 343,800 | 16,815,258 | ||||||
Computershare Ltd. (Australia) | 4,865 | 57,262 | ||||||
DST Systems, Inc. | 79,500 | 7,327,515 | ||||||
Fiserv, Inc.* | 142,400 | 8,589,568 | ||||||
Fujitsu Ltd. (Japan) | 20,000 | 149,857 | ||||||
iGATE Corp.* | 73,400 | 2,671,026 | ||||||
International Business Machines Corp. | 86,600 | 15,697,982 | ||||||
Syntel, Inc.* | 25,100 | 2,157,596 | ||||||
Total System Services, Inc. | 79,200 | 2,487,672 | ||||||
Visa, Inc. (Class A Stock)(a) | 25,200 | 5,309,892 | ||||||
64,156,445 | ||||||||
Leisure Products | ||||||||
Namco Bandai Holdings, Inc. (Japan) | 1,800 | 42,202 | ||||||
Shimano, Inc. (Japan) | 800 | 88,773 | ||||||
Yamaha Corp. (Japan) | 1,500 | 23,716 | ||||||
154,691 | ||||||||
Life Sciences Tools & Services | ||||||||
Charles River Laboratories International, Inc.* | 6,400 | 342,528 | ||||||
Machinery — 1.2% | ||||||||
Alfa Laval AB (Sweden) | 15,047 | 387,461 | ||||||
Amada Co. Ltd. (Japan) | 20,000 | 203,718 | ||||||
Atlas Copco AB (Sweden) (Class B Stock) | 4,073 | 108,690 | ||||||
Caterpillar, Inc. | 29,600 | 3,216,632 | ||||||
Cummins, Inc. | 12,000 | 1,851,480 | ||||||
FANUC Corp. (Japan) | 2,100 | 362,645 | ||||||
Harsco Corp. | 25,600 | 681,728 | ||||||
Hitachi Construction Machinery Co. Ltd. (Japan) | 1,100 | 21,956 | ||||||
IDEX Corp. | 21,100 | 1,703,614 | ||||||
IHI Corp. (Japan) | 10,000 | 46,614 | ||||||
Illinois Tool Works, Inc. | 213,600 | 18,702,816 | ||||||
Komatsu Ltd. (Japan) | 9,800 | 227,490 | ||||||
Kone Oyj (Class B Stock) (Finland)(a) | 619 | 25,810 | ||||||
Kubota Corp. (Japan) | 12,000 | 170,283 | ||||||
Makita Corp. (Japan) | 1,200 | 74,165 | ||||||
Mitsubishi Heavy Industries Ltd. (Japan) | 31,000 | 193,623 | ||||||
Mueller Industries, Inc. | 6,800 | 199,988 | ||||||
NSK Ltd. (Japan) | 12,000 | 156,160 | ||||||
Oshkosh Corp. | 159,300 | 8,845,929 | ||||||
Parker Hannifin Corp. | 84,800 | 10,661,904 | ||||||
THK Co. Ltd. (Japan) | 1,200 | 28,291 | ||||||
Wartsila OYJ Abp (Finland) | 1,807 | 89,558 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. (Singapore) | 35,000 | 30,322 | ||||||
47,990,877 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A69
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Marine | ||||||||
A.P. Moeller – Maersk A/S (Denmark) (Class A Stock) | 30 | $ | 70,607 | |||||
A.P. Moeller – Maersk A/S (Denmark) (Class B Stock) | 360 | 895,063 | ||||||
Mitsui OSK Lines Ltd. (Japan) | 11,000 | 40,980 | ||||||
Nippon Yusen K.K. (Japan) | 17,000 | 49,038 | ||||||
1,055,688 | ||||||||
Media — 2.1% | ||||||||
Comcast Corp. (Class A Stock)(a) | 379,873 | 20,391,583 | ||||||
Dentsu, Inc. (Japan) | 2,300 | 93,667 | ||||||
DIRECTV* | 187,800 | 15,964,878 | ||||||
ITV PLC (United Kingdom) | 282,650 | 861,358 | ||||||
JCDecaux SA (France) | 1,199 | 44,781 | ||||||
Morningstar, Inc. | 10,800 | 775,548 | ||||||
REA Group Ltd. (Australia) | 16,238 | 654,233 | ||||||
RTL Group SA (Germany) | 397 | 44,065 | ||||||
Time Warner, Inc. | 261,000 | 18,335,250 | ||||||
Walt Disney Co. (The) | 303,400 | 26,013,516 | ||||||
83,178,879 | ||||||||
Metals & Mining — 0.6% | ||||||||
Alcoa, Inc. | 356,200 | 5,303,818 | ||||||
Anglo American PLC (United Kingdom) | 1,747 | 42,816 | ||||||
ArcelorMittal (Luxembourg) | 50,287 | 749,687 | ||||||
BHP Billiton Ltd. (Australia) | 54,974 | 1,874,873 | ||||||
BHP Billiton PLC (United Kingdom) | 44,156 | 1,435,460 | ||||||
Compass Minerals International, Inc. | 42,700 | 4,088,098 | ||||||
Fortescue Metals Group Ltd. (Australia) | 16,028 | 66,198 | ||||||
Globe Specialty Metals, Inc. | 30,200 | 627,556 | ||||||
JFE Holdings, Inc. (Japan) | 5,000 | 103,421 | ||||||
Kobe Steel Ltd. (Japan) | 25,000 | 37,599 | ||||||
Maruichi Steel Tube Ltd. (Japan) | 600 | 16,115 | ||||||
Mitsubishi Materials Corp. (Japan) | 11,000 | 38,590 | ||||||
Nippon Steel & Sumitomo Metal Corp. (Japan) | 80,000 | 256,281 | ||||||
Rio Tinto PLC (United Kingdom) | 1,407 | 75,969 | ||||||
Southern Copper Corp. (British Virgin Islands) | 168,100 | 5,105,197 | ||||||
Sumitomo Metal Mining Co. Ltd. (Japan) | 58,000 | 946,674 | ||||||
Voestalpine AG (Austria) | 15,095 | 719,626 | ||||||
Worthington Industries, Inc. | 29,300 | 1,261,072 | ||||||
22,749,050 | ||||||||
Multi-Utilities — 0.8% | ||||||||
Centrica PLC (United Kingdom) | 51,880 | 277,226 | ||||||
Dominion Resources, Inc. | 181,600 | 12,988,032 | ||||||
GDF Suez (France) | 38,112 | 1,050,045 | ||||||
MDU Resources Group, Inc. | 30,400 | 1,067,040 | ||||||
National Grid PLC (United Kingdom) | 88,696 | 1,276,933 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Multi-Utilities (continued) | ||||||||
Public Service Enterprise Group, Inc. | 258,000 | $ | 10,523,820 | |||||
SCANA Corp. | 71,700 | 3,858,177 | ||||||
31,041,273 | ||||||||
Multiline Retail — 0.7% | ||||||||
Dillard’s, Inc. (Class A Stock) | 51,100 | 5,958,771 | ||||||
Kohl’s Corp. | 51,600 | 2,718,288 | ||||||
Macy’s, Inc. | 316,200 | 18,345,924 | ||||||
Next PLC (United Kingdom) | 8,218 | 909,753 | ||||||
Takashimaya Co. Ltd. (Japan) | 76,000 | 738,153 | ||||||
28,670,889 | ||||||||
Oil, Gas & Consumable Fuels — 6.1% |
| |||||||
Anadarko Petroleum Corp. | 23,200 | 2,539,704 | ||||||
Apache Corp. | 7,900 | 794,898 | ||||||
BG Group PLC (United Kingdom) | 983 | 20,742 | ||||||
BP PLC (United Kingdom) | 289,331 | 2,547,814 | ||||||
Chesapeake Energy Corp.(a) | 28,800 | 895,104 | ||||||
Chevron Corp. | 180,956 | 23,623,806 | ||||||
ConocoPhillips | 321,234 | 27,539,391 | ||||||
CONSOL Energy, Inc. | 52,100 | 2,400,247 | ||||||
Delek Group Ltd. (Israel) | 446 | 184,488 | ||||||
Eni SpA (Italy) | 22,763 | 622,561 | ||||||
EOG Resources, Inc. | 190,800 | 22,296,888 | ||||||
EQT Corp. | 59,600 | 6,371,240 | ||||||
Exxon Mobil Corp. | 670,716 | 67,527,687 | ||||||
Hess Corp. | 76,900 | 7,604,641 | ||||||
Idemitsu Kosan Co. Ltd. (Japan) | 800 | 17,372 | ||||||
Kinder Morgan, Inc. | 108,800 | 3,945,088 | ||||||
Marathon Petroleum Corp. | 160,600 | 12,538,042 | ||||||
Neste Oil OYJ (Finland)(a) | 21,587 | 421,217 | ||||||
Occidental Petroleum Corp. | 102,300 | 10,499,049 | ||||||
OMV AG (Austria) | 15,458 | 698,315 | ||||||
ONEOK, Inc.(a) | 17,600 | 1,198,208 | ||||||
Phillips 66 | 256,100 | 20,598,123 | ||||||
Repsol SA (Spain) | 9,167 | 241,703 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | 33,293 | 1,375,751 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | 25,327 | 1,100,708 | ||||||
Showa Shell Sekiyu KK (Japan) | 7,400 | 84,116 | ||||||
SM Energy Co. | 12,100 | 1,017,610 | ||||||
Statoil ASA (Norway) | 19,803 | 608,721 | ||||||
Total SA (France) | 33,527 | 2,425,669 | ||||||
Valero Energy Corp. | 267,100 | 13,381,710 | ||||||
Woodside Petroleum Ltd. (Australia) | 5,977 | 231,737 | ||||||
235,352,350 | ||||||||
Paper & Forest Products | ||||||||
Oji Holdings Corp. (Japan) | 8,000 | 32,920 | ||||||
UPM-Kymmene OYJ (Finland) | 9,245 | 157,919 | ||||||
190,839 | ||||||||
Personal Products — 0.1% | ||||||||
Avon Products, Inc. | 279,400 | 4,082,034 | ||||||
Pharmaceuticals — 4.6% | ||||||||
AbbVie, Inc. | 246,000 | 13,884,240 | ||||||
Actavis PLC*(a) | 26,300 | 5,866,215 |
SEE NOTES TO FINANCIAL STATEMENTS.
A70
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Pharmaceuticals (continued) | ||||||||
Allergan, Inc. | 122,700 | $ | 20,763,294 | |||||
AstraZeneca PLC (United Kingdom) | 12,907 | 960,246 | ||||||
Bayer AG (Germany) | 4,133 | 583,056 | ||||||
Bristol-Myers Squibb Co. | 399,400 | 19,374,894 | ||||||
Daiichi Sankyo Co. Ltd. (Japan) | 7,000 | 130,842 | ||||||
Eli Lilly & Co. | 141,900 | 8,821,923 | ||||||
GlaxoSmithKline PLC (United Kingdom) | 53,927 | 1,435,809 | ||||||
Johnson & Johnson | 481,098 | 50,332,473 | ||||||
Merck & Co., Inc. | 156,200 | 9,036,170 | ||||||
Merck KGaA (Germany) | 2,282 | 197,888 | ||||||
Novartis AG (Switzerland) | 32,251 | 2,920,599 | ||||||
Novo Nordisk A/S (Denmark) (Class B Stock) | 4,080 | 188,304 | ||||||
Orion OYJ (Finland) (Class B Stock) | 902 | 33,620 | ||||||
Otsuka Holdings Co. Ltd. (Japan) | 28,100 | 871,385 | ||||||
Pfizer, Inc. | 1,290,997 | 38,316,791 | ||||||
Roche Holding AG (Switzerland) | 9,623 | 2,867,239 | ||||||
Sanofi (France) | 8,009 | 851,273 | ||||||
Shionogi & Co. Ltd. (Japan) | 3,100 | 64,748 | ||||||
Shire PLC (Ireland) | 13,635 | 1,069,566 | ||||||
Teva Pharmaceutical Industries Ltd. (Israel) | 12,387 | 650,726 | ||||||
179,221,301 | ||||||||
Professional Services | ||||||||
Adecco SA (Switzerland) | 1,756 | 144,508 | ||||||
Capita PLC (United Kingdom) | 45,020 | 881,995 | ||||||
Seek Ltd. (Australia) | 3,268 | 48,870 | ||||||
1,075,373 | ||||||||
Real Estate Investment Trusts (REITs) — 1.2% |
| |||||||
American Campus Communities, Inc. | 26,600 | 1,017,184 | ||||||
American Capital Mortgage Investment Corp. | 39,000 | 780,780 | ||||||
American Tower Corp. | 98,300 | 8,845,034 | ||||||
Annaly Capital Management, Inc. | 165,200 | 1,888,236 | ||||||
Apollo Residential Mortgage, Inc. | 29,100 | 486,552 | ||||||
British Land Co. PLC (United Kingdom) | 5,637 | 67,732 | ||||||
CapitaCommercial Trust (Singapore) | 21,000 | 28,682 | ||||||
Chambers Street Properties(a) | 252,000 | 2,026,080 | ||||||
Dexus Property Group (Australia) | 567,244 | 593,691 | ||||||
Federation Centres Ltd. (Australia) | 63,331 | 148,625 | ||||||
Franklin Street Properties Corp. | 75,100 | 944,758 | ||||||
General Growth Properties, Inc. | 140,300 | 3,305,468 | ||||||
GPT Group (Australia) | 17,850 | 64,645 | ||||||
Hammerson PLC, REIT (United Kingdom) | 17,713 | 175,761 | ||||||
Hospitality Properties Trust | 213,900 | 6,502,560 | ||||||
Intu Properties PLC (United Kingdom) | 66,235 | 353,301 | ||||||
Land Securities Group PLC (United Kingdom) | 8,020 | 142,110 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Real Estate Investment Trusts (REITs) (continued) |
| |||||||
Link REIT (The) (Hong Kong) | 161,000 | $ | 866,787 | |||||
Prologis, Inc. | 183,400 | 7,535,906 | ||||||
Resource Capital Corp. | 180,400 | 1,015,652 | ||||||
RLJ Lodging Trust | 35,000 | 1,011,150 | ||||||
SEGRO PLC, REIT (United Kingdom) | 96,215 | 567,988 | ||||||
Strategic Hotels & Resorts, Inc.* | 76,000 | 889,960 | ||||||
Unibail-Rodamco SE (France) | 447 | 130,082 | ||||||
Ventas, Inc. | 82,900 | 5,313,890 | ||||||
44,702,614 | ||||||||
Real Estate Management & Development — 0.6% |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 349,100 | 11,185,164 | ||||||
Cheung Kong Holdings Ltd. (Hong Kong) | 39,000 | 691,924 | ||||||
Daiwa House Industry Co. Ltd. (Japan) | 6,000 | 124,384 | ||||||
Deutsche Wohnen AG (Germany) | 35,068 | 755,387 | ||||||
Henderson Land Development Co. Ltd. (Hong Kong) | 12,100 | 70,816 | ||||||
Hysan Development Co. Ltd. (Hong Kong) | 118,000 | 552,669 | ||||||
Jones Lang LaSalle, Inc. | 67,100 | 8,480,769 | ||||||
Sino Land Co. Ltd. (Hong Kong) | 30,000 | 49,384 | ||||||
Wheelock & Co. Ltd. (Hong Kong) | 10,000 | 41,746 | ||||||
21,952,243 | ||||||||
Road & Rail — 1.1% | ||||||||
Aurizon Holdings Ltd. (Australia) | 20,678 | 97,100 | ||||||
ComfortDelGro Corp. Ltd. (Singapore) | 21,000 | 42,112 | ||||||
CSX Corp. | 428,900 | 13,214,409 | ||||||
MTR Corp. Ltd. (Hong Kong) | 14,500 | 55,841 | ||||||
Norfolk Southern Corp. | 32,200 | 3,317,566 | ||||||
Union Pacific Corp. | 249,900 | 24,927,525 | ||||||
41,654,553 | ||||||||
Semiconductors & Semiconductor Equipment — 1.7% |
| |||||||
Analog Devices, Inc. | 12,100 | 654,247 | ||||||
Avago Technologies Ltd. (Singapore) | 55,900 | 4,028,713 | ||||||
Infineon Technologies AG (Germany) | 68,556 | 855,795 | ||||||
Integrated Device Technology, Inc.* | 181,900 | 2,812,174 | ||||||
Intel Corp. | 1,242,100 | 38,380,890 | ||||||
Rohm Co. Ltd. (Japan) | 2,900 | 166,329 | ||||||
Skyworks Solutions, Inc. | 98,600 | 4,630,256 | ||||||
Texas Instruments, Inc. | 337,200 | 16,114,788 | ||||||
67,643,192 | ||||||||
Software — 2.3% | ||||||||
ANSYS, Inc.* | 12,000 | 909,840 | ||||||
CA, Inc. | 100,800 | 2,896,992 | ||||||
Manhattan Associates, Inc.* | 38,400 | 1,322,112 | ||||||
Microsoft Corp. | 1,022,800 | 42,650,760 |
SEE NOTES TO FINANCIAL STATEMENTS.
A71
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Software (continued) | ||||||||
Oracle Corp. | 771,600 | $ | 31,272,948 | |||||
SAP AG (Germany) | 342 | 26,353 | ||||||
Symantec Corp. | 507,600 | 11,624,040 | ||||||
90,703,045 | ||||||||
Specialty Retail — 1.5% | ||||||||
Aaron’s, Inc. | 56,900 | 2,027,916 | ||||||
Bed Bath & Beyond, Inc.*(a) | 181,900 | 10,437,422 | ||||||
Best Buy Co., Inc. | 572,900 | 17,765,629 | ||||||
Express, Inc.* | 113,000 | 1,924,390 | ||||||
Gap, Inc. (The) | 288,000 | 11,972,160 | ||||||
Home Depot, Inc. (The) | 79,750 | 6,456,560 | ||||||
Ross Stores, Inc. | 122,100 | 8,074,473 | ||||||
TJX Cos., Inc. (The) | 18,400 | 977,960 | ||||||
USS Co. Ltd. (Japan) | 2,300 | 39,257 | ||||||
Yamada Denki Co. Ltd. (Japan) | 9,200 | 32,796 | ||||||
59,708,563 | ||||||||
Technology Hardware, Storage & Peripherals — 2.5% |
| |||||||
Apple, Inc. | 758,600 | 70,496,698 | ||||||
Brother Industries Ltd. (Japan) | 32,000 | 554,801 | ||||||
Canon, Inc. (Japan) | 11,700 | 382,380 | ||||||
Hewlett-Packard Co. | 741,900 | 24,987,192 | ||||||
Konica Minolta, Inc. (Japan) | 4,900 | 48,432 | ||||||
NEC Corp. (Japan) | 26,000 | 82,979 | ||||||
Ricoh Co. Ltd. (Japan) | 33,000 | 393,315 | ||||||
Seiko Epson Corp. (Japan) | 23,200 | 987,025 | ||||||
97,932,822 | ||||||||
Textiles, Apparel & Luxury Goods — 0.5% |
| |||||||
Christian Dior SA (France) | 462 | 91,983 | ||||||
Michael Kors Holdings Ltd.* | 189,100 | 16,763,715 | ||||||
Pandora A/S (Denmark) | 10,759 | 825,686 | ||||||
Steven Madden Ltd.* | 78,000 | 2,675,400 | ||||||
Swatch Group AG (The) (Switzerland) | 438 | 48,592 | ||||||
Yue Yuen Industrial Holdings Ltd. (Hong Kong) | 7,500 | 25,095 | ||||||
20,430,471 | ||||||||
Tobacco — 1.0% | ||||||||
Altria Group, Inc.(a) | 167,000 | 7,003,980 | ||||||
British American Tobacco PLC (United Kingdom) | 19,617 | 1,167,250 | ||||||
Japan Tobacco, Inc. (Japan) | 32,100 | 1,170,434 | ||||||
Lorillard, Inc. | 50,300 | 3,066,791 | ||||||
Philip Morris International, Inc. | 296,700 | 25,014,777 | ||||||
37,423,232 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Trading Companies & Distributors — 0.1% |
| |||||||
ITOCHU Corp. (Japan) | 15,800 | $ | 202,837 | |||||
Marubeni Corp. (Japan) | 17,000 | 124,423 | ||||||
Mitsubishi Corp. (Japan) | 39,900 | 830,495 | ||||||
Mitsui & Co. Ltd. (Japan) | 18,300 | 293,379 | ||||||
Sojitz Corp. (Japan) | 361,100 | 638,581 | ||||||
Sumitomo Corp. (Japan) | 59,300 | 800,144 | ||||||
Travis Perkins PLC (United Kingdom) | 7,789 | 218,132 | ||||||
3,107,991 | ||||||||
Transportation Infrastructure | ||||||||
Groupe Eurotunnel SA (France) | 3,174 | 42,941 | ||||||
Water Utilities | ||||||||
Severn Trent PLC (United Kingdom) | 2,351 | 77,718 | ||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
KDDI Corp. (Japan) | 18,600 | 1,134,853 | ||||||
Millicom International Cellular SA, (Luxembourg), SDR | 681 | 62,337 | ||||||
SoftBank Corp. (Japan) | 1,200 | 89,427 | ||||||
Vodafone Group PLC (United Kingdom) | 280,345 | 936,987 | ||||||
2,223,604 | ||||||||
TOTAL COMMON STOCKS |
| 2,560,179,785 | ||||||
EXCHANGE TRADED FUND | ||||||||
iShares MSCI EAFE Index Fund(a) (cost $1,676,882) | 28,000 | 1,914,360 | ||||||
PREFERRED STOCKS | ||||||||
Automobiles | ||||||||
Bayerische Motoren Werke AG (Germany) (PRFC) | 548 | 52,467 | ||||||
Volkswagen AG (Germany) (PRFC) | 721 | 188,842 | ||||||
241,309 | ||||||||
Banks | ||||||||
Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(b) | 22,000 | 609,400 | ||||||
TOTAL PREFERRED STOCKS |
| 850,709 | ||||||
ASSET-BACKED SECURITIES — 1.6% | 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 | 0.489%(b) | 04/25/19 | 484 | 478,523 | ||||||||
Collateralized Loan Obligations — 1.4% | ||||||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 1.408%(b) | 04/20/25 | 2,550 | 2,518,603 | ||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A | 3.360% | 04/20/25 | 500 | 481,861 | ||||||||
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A | 0.952%(b) | 05/15/20 | 3,900 | 3,927,043 |
SEE NOTES TO FINANCIAL STATEMENTS.
A72
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Collateralized Loan Obligations (continued) | ||||||||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.417%(b) | 07/13/25 | 2,700 | $ | 2,666,770 | |||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A | 1.766%(b) | 04/28/26 | 1,500 | 1,500,705 | ||||||||||
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A | 1.426%(b) | 07/15/24 | 1,200 | 1,185,508 | ||||||||||
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.376%(b) | 04/17/25 | 2,100 | 2,071,724 | ||||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 1.755%(b) | 04/20/26 | 2,200 | 2,199,705 | ||||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A2, 144A | 2.005%(b) | 04/20/26 | 700 | 683,995 | ||||||||||
Chatham Light CLO Ltd. (Cayman Islands), Series 2005-2A, Class A1, 144A | 0.473%(b) | 08/03/19 | 70 | 69,569 | ||||||||||
Flagship VII Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A | 1.698%(b) | 01/20/26 | 2,300 | 2,297,872 | ||||||||||
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A | 0.478%(b) | 07/22/20 | 511 | 507,304 | ||||||||||
Fraser Sullivan CLO I Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A | 0.701%(b) | 03/15/20 | 1,000 | 984,610 | ||||||||||
GE Capital Credit Card Master Note Trust, Series 2012-4, Class B | 1.002%(b) | 06/15/18 | 5,500 | 5,509,306 | ||||||||||
ING IM CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.366%(b) | 04/15/24 | 1,850 | 1,822,412 | ||||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 1.823%(b) | 05/15/26 | 300 | 299,769 | ||||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-2A, Class B, 144A | 2.377%(b) | 04/15/26 | 750 | 742,875 | ||||||||||
Lafayette CLO I Ltd. (Cayman Islands), Series 2012-1A, Class A, 144A | 1.630%(b) | 09/06/22 | 52 | 51,539 | ||||||||||
Magnetite CLO Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A | —%(b) | 07/25/26 | 3,750 | 3,748,088 | ||||||||||
Magnetite VIII Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A | 1.708%(b) | 04/15/26 | 2,300 | 2,299,265 | ||||||||||
Marine Park CLO Ltd. (Cayman Islands), Series 2012-1A, Class A1A, 144A | 1.696%(b) | 05/18/23 | 1,350 | 1,349,320 | ||||||||||
Mayport CLO Ltd. (Cayman Islands), Series 2006-1A, Class A1L, 144A | 0.478%(b) | 02/22/20 | 64 | 63,937 | ||||||||||
OCP CLO Ltd. (Cayman Islands), Series 2012-2A, Class A2, 144A | 1.708%(b) | 11/22/23 | 1,200 | 1,199,841 | ||||||||||
OHA Intrepid Leveraged Loan Fund Ltd. (Cayman Islands), Series 2011-1AR, Class AR, 144A | 1.148%(b) | 04/20/21 | 1,506 | 1,498,802 | ||||||||||
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A | 1.378%(b) | 07/22/25 | 1,200 | 1,182,885 | ||||||||||
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A | 1.704%(b) | 07/17/26 | 800 | 799,673 | ||||||||||
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A | 4.350% | 07/17/26 | 500 | 501,938 | ||||||||||
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.276%(b) | 04/15/25 | 3,200 | 3,140,917 | ||||||||||
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A | 2.876%(b) | 08/17/22 | 500 | 501,647 | ||||||||||
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A | 2.928%(b) | 10/20/23 | 1,100 | 1,092,679 | ||||||||||
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A | 2.000% | 09/20/29 | 1,346 | 1,350,326 | ||||||||||
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.347%(b) | 07/15/25 | 2,700 | 2,658,368 | ||||||||||
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 1.726%(b) | 04/20/26 | 1,850 | 1,850,705 | ||||||||||
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A | 4.250% | 04/20/26 | 500 | 501,969 | ||||||||||
53,261,530 | ||||||||||||||
Non-Residential Mortgage-Backed Security — 0.1% | ||||||||||||||
Ford Credit Auto Owner Trust, Series 2014-REV1, Class A, 144A | 2.260% | 11/15/25 | 2,000 | 2,017,932 | ||||||||||
Residential Mortgage-Backed Securities — 0.1% | ||||||||||||||
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1 | 1.802%(b) | 03/25/33 | 282 | 265,971 | ||||||||||
Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB6, Class A3 | 4.279%(b) | 07/25/35 | 302 | 287,952 | ||||||||||
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | 5.076%(b) | 07/25/34 | 374 | 355,918 | ||||||||||
GSAMP Trust, Series 2004-HE2, Class A3C | 1.310%(b) | 09/25/34 | 674 | 654,795 | ||||||||||
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1 | 0.945%(b) | 06/25/34 | 713 | 674,417 | ||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 | 1.352%(b) | 05/25/33 | 436 | 407,346 | ||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE5, Class M1 | 1.097%(b) | 06/25/34 | 932 | 872,325 | ||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 | 1.202%(b) | 12/25/33 | 810 | 779,841 | ||||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1 | 1.052%(b) | 07/25/32 | 414 | 394,352 | ||||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1 | 1.427%(b) | 09/25/32 | 490 | 481,891 | ||||||||||
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1 | 0.917%(b) | 02/25/34 | 842 | 789,526 | ||||||||||
5,964,334 | ||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 61,722,319 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A73
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
BANK LOANS(b) — 0.2% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Automotive | ||||||||||||||
Schaeffler AG (Germany) | 3.750% | 05/31/20 | 750 | $ | 751,875 | |||||||||
Cable | ||||||||||||||
Virgin Media Investment Holdings Ltd. (United Kingdom) | 3.500% | 06/07/20 | 1,000 | 996,000 | ||||||||||
Foods — 0.1% | ||||||||||||||
ARAMARK Corp. | 3.250% | 09/09/19 | 549 | 544,596 | ||||||||||
Big Heart Pet Brands, Inc. | 3.500% | 03/09/20 | 856 | 857,715 | ||||||||||
1,402,311 | ||||||||||||||
Healthcare & Pharmaceutical | ||||||||||||||
Grifols SA | 3.234% | 02/26/21 | 250 | 249,563 | ||||||||||
RPI Finance Trust | 3.250% | 11/09/18 | 1,043 | 1,043,547 | ||||||||||
1,293,110 | ||||||||||||||
Technology — 0.1% | ||||||||||||||
Avago Technologies Finance Pte Ltd. | 3.750% | 05/06/21 | 1,100 | 1,103,528 | ||||||||||
First Data Corp. | 4.231% | 03/26/18 | 1,134 | 1,135,436 | ||||||||||
TransUnion LLC/TransUnion Financing Corp. | 4.000% | 04/09/21 | 499 | 498,501 | ||||||||||
2,737,465 | ||||||||||||||
TOTAL BANK LOANS |
| 7,180,761 | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.1% | ||||||||||||||
Alternative Loan Trust, Series 2004-18CB, Class 3A1 | 5.250% | 09/25/19 | 331 | 337,403 | ||||||||||
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 | 6.000% | 01/25/36 | 2,058 | 1,648,476 | ||||||||||
Bank of America Mortgage Trust, Series 2005-A, Class 2A1 | 2.753% | (b) | 02/25/35 | 426 | 428,632 | |||||||||
Bank of America Mortgage Trust, Series 2005-B, Class 2A1 | 2.601% | (b) | 03/25/35 | 366 | 338,032 | |||||||||
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5 | 2.602% | (b) | 02/25/37 | 929 | 928,915 | |||||||||
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1 | 2.634% | (b) | 07/25/35 | 544 | 551,472 | |||||||||
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | 5.000% | 04/25/19 | 102 | 104,217 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 2.467% | (b) | 02/25/34 | 406 | 411,917 | |||||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | 5.000% | 03/25/20 | 151 | 153,452 | ||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
| 4,902,516 | ||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.2% | ||||||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3 | 5.369% | 10/10/45 | 3,900 | 3,990,921 | ||||||||||
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A | 5.730% | (b) | 04/10/49 | 5,337 | 5,824,580 | |||||||||
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A3 | 5.754% | (b) | 04/10/49 | 1,500 | 1,533,317 | |||||||||
Banc of America Commercial Mortgage Trust, Series 2007-5, Class A3 | 5.620% | 02/10/51 | 116 | 116,317 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 | 5.899% | (b) | 12/10/49 | 1,000 | 1,104,678 | |||||||||
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 | 2.815% | 04/10/46 | 1,100 | 1,069,503 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 | 3.575% | 05/10/47 | 2,750 | 2,806,790 | ||||||||||
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4 | 5.223% | 08/15/48 | 1,180 | 1,260,272 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2012-CR3, Class A2 | 1.765% | 10/15/45 | 3,100 | 3,117,633 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 1,000 | 959,137 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3 | 2.929% | 03/10/46 | 1,700 | 1,676,492 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2013-CR9, Class A3 | 4.022% | 07/10/45 | 1,400 | 1,490,658 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2013-CR12, Class A3 | 3.765% | 10/10/46 | 1,300 | 1,354,152 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class A2 | 2.928% | 02/10/47 | 2,700 | 2,803,537 | ||||||||||
Commercial Mortgage Trust, Series 2005-GG3, Class A3 | 4.569% | 08/10/42 | 8 | 8,253 | ||||||||||
Commercial Mortgage Trust, Series 2005-GG5, Class A5 | 5.224% | (b) | 04/10/37 | 8,050 | 8,339,840 | |||||||||
Commercial Mortgage Trust, Series 2007-GG9, Class A2 | 5.381% | 03/10/39 | 1,829 | 1,858,887 | ||||||||||
Commercial Mortgage Trust, Series 2014-CR18, Class A4 | 3.550% | 07/15/47 | 2,800 | 2,852,012 | ||||||||||
Commercial Mortgage Trust, Series 2014-UBS3, Class A2 | 2.844% | 06/10/47 | 2,300 | 2,367,914 | ||||||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class A4 | 5.609% | (b) | 02/15/39 | 2,700 | 2,850,795 |
SEE NOTES TO FINANCIAL STATEMENTS.
A74
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM | 5.643% | (b) | 02/15/39 | 640 | $ | 681,488 | ||||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C2, Class A4 | 4.832% | 04/15/37 | 1,900 | 1,940,951 | ||||||||||
Federal National Mortgage Assoc., Series 2014-M2, Class A2 | 3.513% | (b) | 12/25/23 | 2,515 | 2,649,867 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K017, Class A2 | 2.873% | 12/25/21 | 3,500 | 3,596,152 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class A2 | 2.373% | 05/25/22 | 2,000 | 1,974,586 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O | 1.606% | (b) | 05/25/22 | 25,577 | 2,347,312 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O | 1.643% | (b) | 06/25/22 | 7,235 | 690,590 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2 | 3.320% | (b) | 02/25/23 | 5,800 | 6,051,552 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2 | 3.531% | (b) | 07/25/23 | 2,400 | 2,535,031 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O | 1.863% | (b) | 08/25/16 | 7,450 | 187,106 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O | 1.911% | (b) | 05/25/19 | 19,775 | 1,459,801 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O | 1.831% | (b) | 07/25/19 | 20,870 | 1,505,633 | |||||||||
GE Capital Commercial Mortgage Corp., Series 2005-C4, Class A4 | 5.489% | (b) | 11/10/45 | 2,585 | 2,706,896 | |||||||||
GE Capital Commercial Mortgage Corp., Series 2006-C1, Class A4 | 5.456% | (b) | 03/10/44 | 2,027 | 2,137,121 | |||||||||
GS Mortgage Securities Trust, Series 2006-GG6, Class AAB | 5.587% | (b) | 04/10/38 | 1,872 | 1,904,456 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP1, Class ASB | 4.853% | (b) | 03/15/46 | 144 | 143,790 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP2, Class A3 | 4.697% | 07/15/42 | 184 | 185,246 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP2, Class AM | 4.780% | 07/15/42 | 1,000 | 1,031,907 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP2, Class ASB | 4.659% | 07/15/42 | 549 | 552,020 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM | 4.999% | (b) | 10/15/42 | 1,270 | 1,326,157 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class ASB | 5.523% | 05/12/45 | 1,566 | 1,619,288 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP7, Class A3A | 6.057% | (b) | 04/15/45 | 13 | 13,468 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3 | 3.139% | 06/15/45 | 2,100 | 2,184,271 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4 | 2.611% | 12/15/47 | 1,700 | 1,633,370 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 | 2.875% | 12/15/47 | 3,900 | 3,839,804 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2 | 3.070% | 12/15/46 | 2,700 | 2,817,418 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 1,400 | 1,343,849 | ||||||||||
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM | 5.263% | (b) | 11/15/40 | 1,510 | 1,594,080 | |||||||||
Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM | 5.862% | (b) | 05/12/39 | 930 | 998,897 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2006-1, Class AM | 5.701% | (b) | 02/12/39 | 530 | 564,521 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2006-2, Class A4 | 6.066% | (b) | 06/12/46 | 1,789 | 1,925,688 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A2 | 5.331% | 03/12/51 | 2,005 | 2,010,322 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | 2.863% | 12/15/48 | 1,500 | 1,465,971 | ||||||||||
Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4 | 5.829% | (b) | 10/15/42 | 2,195 | 2,316,130 | |||||||||
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A31 | 5.439% | 02/12/44 | 268 | 269,556 | ||||||||||
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB | 5.444% | 02/12/44 | 2,303 | 2,345,867 |
SEE NOTES TO FINANCIAL STATEMENTS.
A75
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Morgan Stanley Capital I Trust, Series 2007-T27, Class AAB | 5.831% | (b) | 06/11/42 | 316 | $ | 317,412 | ||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | 2.792% | 12/10/45 | 1,700 | 1,662,901 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | 2.920% | 03/10/46 | 3,900 | 3,835,857 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | 2.971% | 04/10/46 | 1,800 | 1,773,826 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4 | 5.904% | (b) | 05/15/43 | 656 | 695,830 | |||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4(a) | 5.509% | 04/15/47 | 4,500 | 4,871,795 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A | 5.608% | (b) | 05/15/46 | 1,326 | 1,460,369 | |||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 124,553,840 | ||||||||||||
CORPORATE BONDS — 7.3% | ||||||||||||||
Airlines — 0.1% | ||||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certs., Series 1998-1, Class A | 6.648% | 09/15/17 | 114 | 120,840 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certs., Series 2009-2, Class A | 7.250% | 11/10/19 | 633 | 740,077 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certs., Series 2010-1, Class A | 4.750% | 01/12/21 | 736 | 796,428 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certs., Series 2012-2, Class A | 4.000% | 10/29/24 | 685 | 698,705 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certs., Series 2007-1 Class A(a) | 6.821% | 08/10/22 | 338 | 399,212 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certs., Series 2010-2, Class A(a) | 4.950% | 05/23/19 | 555 | 604,626 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certs., Series 2011-1, Class A | 5.300% | 04/15/19 | 1,072 | 1,181,701 | ||||||||||
4,541,589 | ||||||||||||||
Automotive — 0.1% | ||||||||||||||
Cummins, Inc., Sr. Unsec’d. Notes | 4.875% | 10/01/43 | 90 | 98,649 | ||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | 4.207% | 04/15/16 | 2,090 | 2,205,794 | ||||||||||
General Motors Co., Sr. Unsec’d. Notes, 144A | 6.250% | 10/02/43 | 1,395 | 1,600,763 | ||||||||||
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A | 2.700% | 03/15/17 | 450 | 465,406 | ||||||||||
Johnson Controls, Inc., Sr. Unsec’d. Notes | 5.500% | 01/15/16 | 245 | 262,097 | ||||||||||
4,632,709 | ||||||||||||||
Banking — 2.3% | ||||||||||||||
American Express Co., Sr. Unsec’d. Notes | 2.650% | 12/02/22 | 2,213 | 2,158,005 | ||||||||||
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A | 3.875% | 09/20/22 | 645 | 648,918 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 3.300% | 01/11/23 | 780 | 768,812 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, Series 1 | 3.750% | 07/12/16 | 870 | 915,204 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, | 4.000% | 04/01/24 | 975 | 995,018 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.125% | 01/22/24 | 3,820 | 3,938,393 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 4.500% | 04/01/15 | 595 | 612,748 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 5.000% | 05/13/21 | 630 | 703,200 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 5.700% | 01/24/22 | 1,770 | 2,053,878 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 6.000% | 09/01/17 | 1,075 | 1,214,466 | ||||||||||
Bank of America Corp., Series K, Jr. Sub. Notes | 8.000% | (b) | 12/29/49 | 2,200 | 2,434,861 | |||||||||
Bank of America Corp., Sub. Notes | 5.750% | 08/15/16 | 1,775 | 1,936,658 | ||||||||||
Bank of America NA, Sub. Notes | 5.300% | 03/15/17 | 930 | 1,022,847 | ||||||||||
Bank of America NA, Sub. Notes | 6.000% | 10/15/36 | 410 | 497,262 | ||||||||||
Bank of Nova Scotia (Canada), Covered Notes, 144A | 1.650% | 10/29/15 | 1,535 | 1,559,698 | ||||||||||
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes | 5.300% | 10/30/15 | 515 | 545,899 | ||||||||||
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes | 6.400% | 10/02/17 | 330 | 380,467 | ||||||||||
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes | 7.250% | 02/01/18 | 1,175 | 1,398,338 | ||||||||||
Capital One Bank USA NA, Sub. Notes(a) | 3.375% | 02/15/23 | 1,560 | 1,549,462 | ||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 3.750% | 04/24/24 | 2,590 | 2,628,814 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes(a) | 3.875% | 10/25/23 | 1,900 | 1,946,094 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 3.953% | 06/15/16 | 1,010 | 1,065,627 |
SEE NOTES TO FINANCIAL STATEMENTS.
A76
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Banking (continued) | ||||||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes(a) | 4.500% | 01/14/22 | 2,450 | $ | 2,663,155 | |||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 6.875% | 03/05/38 | 24 | 31,908 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes(a) | 8.125% | 07/15/39 | 710 | 1,065,695 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.500% | 05/22/19 | 1,895 | 2,422,172 | ||||||||||
Citigroup, Inc., Sub. Notes | 5.000% | 09/15/14 | 454 | 458,020 | ||||||||||
Citigroup, Inc., Sub. Notes | 6.125% | 08/25/36 | 570 | 652,763 | ||||||||||
Discover Bank, Sr. Unsec’d. Notes | 4.250% | 03/13/26 | 970 | 1,007,511 | ||||||||||
Discover Bank, Sub. Notes | 7.000% | 04/15/20 | 570 | 684,662 | ||||||||||
Discover Financial Services, Sr. Unsec’d. Notes | 3.850% | 11/21/22 | 900 | 916,321 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 3.625% | 02/07/16 | 2,000 | 2,084,554 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.250% | 07/27/21 | 2,055 | 2,307,627 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.750% | 01/24/22 | 3,620 | 4,189,006 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 02/01/41 | 270 | 329,374 | ||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes(a) | 6.750% | 10/01/37 | 104 | 125,116 | ||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 5.625% | 01/15/17 | 1,190 | 1,309,643 | ||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 4.875% | 01/14/22 | 1,910 | 2,143,482 | ||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 5.100% | 04/05/21 | 1,025 | 1,164,686 | ||||||||||
Huntington Bancshares, Inc., Sub. Notes(a) | 7.000% | 12/15/20 | 170 | 206,179 | ||||||||||
Intesa Sanpaolo SpA (Italy), Bank Gtd. Notes | 3.125% | 01/15/16 | 1,395 | 1,433,926 | ||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes | 7.900% | (b) | 04/29/49 | 2,000 | 2,235,000 | |||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 4.250% | 10/15/20 | 2,930 | 3,178,561 | ||||||||||
JPMorgan Chase & Co., Sub. Notes | 5.625% | 08/16/43 | 490 | 553,887 | ||||||||||
Lloyds Bank PLC (United Kingdom), Bank Gtd. Notes | 6.375% | 01/21/21 | 1,400 | 1,690,524 | ||||||||||
Lloyds Bank PLC (United Kingdom), Bank Gtd. Notes, MTN, 144A | 5.800% | 01/13/20 | 1,870 | 2,170,885 | ||||||||||
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN | 6.400% | 08/28/17 | 20 | 22,846 | ||||||||||
Morgan Stanley, Jr. Sub. Notes | 5.450% | (b) | 12/31/49 | 840 | 855,322 | |||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.450% | 01/09/17 | 1,345 | 1,481,645 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.500% | 07/28/21 | 2,360 | 2,711,232 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.625% | 09/23/19 | 1,415 | 1,627,546 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes(a) | 5.750% | 01/25/21 | 1,400 | 1,626,275 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 6.375% | 07/24/42 | 780 | 989,697 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 6.625% | 04/01/18 | 105 | 122,742 | ||||||||||
MUFG Capital Finance 1 Ltd. (Japan), Bank Gtd. Notes | 6.346% | (b) | 07/29/49 | 800 | 868,000 | |||||||||
Northern Trust Corp., Sub. Notes | 3.950% | 10/30/25 | 990 | 1,028,875 | ||||||||||
People’s United Bank, Sub. Notes | 4.000% | 07/15/24 | 465 | 466,839 | ||||||||||
People’s United Financial, Inc., Sr. Unsec’d. Notes | 3.650% | 12/06/22 | 1,455 | 1,458,488 | ||||||||||
PNC Bank NA, Sub. Notes | 3.800% | 07/25/23 | 270 | 279,650 | ||||||||||
PNC Funding Corp., Bank Gtd. Notes | 6.700% | 06/10/19 | 440 | 532,242 | ||||||||||
Royal Bank of Scotland Group PLC (The) (United Kingdom), Sr. Unsec’d. Notes | 2.550% | 09/18/15 | 455 | 464,384 | ||||||||||
Santander Holdings USA, Inc., Sr. Unsec’d. Notes | 3.000% | 09/24/15 | 955 | 980,915 | ||||||||||
Sumitomo Mitsui Banking Corp. (Japan), Bank Gtd. Notes | 2.450% | 01/10/19 | 1,210 | 1,237,368 | ||||||||||
US Bancorp, Sub. Notes, MTN | 2.950% | 07/15/22 | 1,120 | 1,102,950 | ||||||||||
Westpac Banking Corp. (Australia), Covered Notes, 144A(a) | 2.000% | 05/21/19 | 6,135 | 6,132,307 | ||||||||||
89,988,649 | ||||||||||||||
Brokerage — 0.1% | ||||||||||||||
Jefferies Group LLC, Sr. Unsec’d. Notes | 6.500% | 01/20/43 | 560 | 617,724 | ||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(c) | 6.875% | 02/06/12 | 1,715 | 338,713 | ||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(c) | 6.875% | 05/02/18 | 700 | 140,000 | ||||||||||
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN | 2.000% | 09/13/16 | 820 | 833,382 | ||||||||||
1,929,819 | ||||||||||||||
Building Materials & Construction — 0.1% | ||||||||||||||
D.R. Horton, Inc., Gtd. Notes | 3.625% | 02/15/18 | 450 | 460,688 | ||||||||||
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A | 5.250% | 06/27/29 | 740 | 736,670 | ||||||||||
Owens Corning, Inc., Gtd. Notes | 4.200% | 12/15/22 | 775 | 795,800 | ||||||||||
1,993,158 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A77
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||
Cable — 0.2% | ||||||||||||
Cablevision Systems Corp., Sr. Unsec’d. Notes | 8.625% | 09/15/17 | 1,000 | $ | 1,163,750 | |||||||
Comcast Cable Communications Holdings, Inc., Gtd. Notes | 9.455% | 11/15/22 | 255 | 370,642 | ||||||||
Comcast Corp., Gtd. Notes | 6.400% | 05/15/38 | 530 | 675,485 | ||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | 3.500% | 03/01/16 | 920 | 960,016 | ||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | 3.550% | 03/15/15 | 165 | 168,540 | ||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | 5.150% | 03/15/42 | 860 | 903,114 | ||||||||
Time Warner Cable, Inc., Gtd. Notes | 5.850% | 05/01/17 | 1,710 | 1,923,184 | ||||||||
Videotron Ltd. (Canada), Gtd. Notes | 5.000% | 07/15/22 | 1,040 | 1,068,600 | ||||||||
7,233,331 | ||||||||||||
Capital Goods — 0.3% | ||||||||||||
Actuant Corp., Gtd. Notes | 5.625% | 06/15/22 | 1,205 | 1,265,250 | ||||||||
Case New Holland Industrial, Inc., Gtd. Notes, Gtd. Notes | 7.875% | 12/01/17 | 1,255 | 1,462,075 | ||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 6.375% | 10/15/17 | 1,302 | 1,497,493 | ||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 6.700% | 06/01/34 | 420 | 525,680 | ||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 7.000% | 10/15/37 | 380 | 497,933 | ||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.125% | 10/09/42 | 190 | 187,654 | ||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.500% | 03/11/44 | 280 | 291,743 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A (original cost $384,850; purchased 07/10/12)(d)(e) | 2.500% | 07/11/14 | 385 | 385,171 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A (original cost $1,887,203; purchased 09/24/12)(d)(e) | 2.500% | 03/15/16 | 1,890 | 1,942,778 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A (original cost $499,515; purchased 05/08/12)(d)(e) | 3.125% | 05/11/15 | 500 | 510,877 | ||||||||
United Technologies Corp., Sr. Unsec’d. Notes | 4.500% | 06/01/42 | 1,445 | 1,513,441 | ||||||||
Xylem, Inc., Sr. Unsec’d. Notes, Sr. Unsec’d. Notes | 4.875% | 10/01/21 | 1,260 | 1,370,288 | ||||||||
11,450,383 | ||||||||||||
Chemicals — 0.2% | ||||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 3.150% | 10/01/22 | 780 | 764,625 | ||||||||
Celanese US Holdings LLC, Gtd. Notes, Gtd. Notes | 6.625% | 10/15/18 | 1,275 | 1,332,375 | ||||||||
CF Industries, Inc., Gtd. Notes | 5.375% | 03/15/44 | 585 | 627,262 | ||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 9.400% | 05/15/39 | 432 | 707,882 | ||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 5.000% | 04/15/19 | 1,000 | 1,127,976 | ||||||||
Monsanto Co., Sr. Unsec’d. Notes | 3.375% | 07/15/24 | 140 | 140,925 | ||||||||
Monsanto Co., Sr. Unsec’d. Notes | 4.200% | 07/15/34 | 195 | 196,809 | ||||||||
Monsanto Co., Sr. Unsec’d. Notes | 4.400% | 07/15/44 | 235 | 235,516 | ||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.450% | 11/15/33 | 345 | 386,585 | ||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.625% | 11/15/43 | 1,135 | 1,293,356 | ||||||||
NOVA Chemicals Corp. (Canada), Sr. Unsec’d. Notes | 8.625% | 11/01/19 | 1,300 | 1,388,400 | ||||||||
Union Carbide Corp., Sr. Unsec’d. Notes | 7.500% | 06/01/25 | 460 | 585,436 | ||||||||
8,787,147 | ||||||||||||
Consumer — 0.1% | ||||||||||||
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes | 6.250% | 04/15/18 | 1,700 | 1,931,511 | ||||||||
Electric — 0.4% | ||||||||||||
Arizona Public Service Co., Sr. Unsec’d. Notes | 6.250% | 08/01/16 | 175 | 194,467 | ||||||||
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | 6.350% | 10/01/36 | 550 | 709,480 | ||||||||
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes | 6.500% | 09/15/37 | 290 | 373,967 | ||||||||
Calpine Corp., Sr. Sec’d. Notes, 144A | 7.500% | 02/15/21 | 871 | 945,035 | ||||||||
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge. | 6.950% | 03/15/33 | 590 | 805,266 | ||||||||
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes | 5.500% | 12/01/39 | 220 | 260,951 | ||||||||
Duke Energy Carolinas LLC, First Mtge. Bonds | 6.050% | 04/15/38 | 550 | 706,502 | ||||||||
Duke Energy Carolinas LLC, First Ref. Mortgage | 4.000% | 09/30/42 | 570 | 554,927 | ||||||||
El Paso Electric Co., Sr. Unsec’d. Notes | 6.000% | 05/15/35 | 670 | 787,974 | ||||||||
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes | 8.625% | 08/01/15 | 1,295 | 1,386,670 |
SEE NOTES TO FINANCIAL STATEMENTS.
A78
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Electric (continued) | ||||||||||||||
Exelon Corp., Sr. Unsec’d. Notes | 4.900% | 06/15/15 | 155 | $ | 161,129 | |||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes(a) | 6.250% | 10/01/39 | 1,425 | 1,671,933 | ||||||||||
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A | 5.450% | 07/15/44 | 355 | 359,684 | ||||||||||
Florida Power & Light Co., First Mtge. Bonds | 5.950% | 10/01/33 | 295 | 371,694 | ||||||||||
Iberdrola International BV (Spain), Gtd. Notes | 6.750% | 09/15/33 | 145 | 165,754 | ||||||||||
Nevada Power Co., Gen. Ref. Mtge.(a) | 6.500% | 05/15/18 | 1,260 | 1,478,313 | ||||||||||
Niagara Mohawk Power Corp. (United Kingdom), Sr. Unsec’d. Notes, 144A | 4.881% | 08/15/19 | 610 | 682,182 | ||||||||||
Northeast Utilities, Sr. Unsec’d. Notes | 4.500% | 11/15/19 | 615 | 676,115 | ||||||||||
Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes | 6.375% | 01/15/15 | 345 | 355,487 | ||||||||||
Public Service Co. of New Mexico, Sr. Unsec’d. Notes | 7.950% | 05/15/18 | 140 | 168,085 | ||||||||||
Public Service Electric & Gas Co, Sr. Sec’d. Notes, MTN | 5.800% | 05/01/37 | 535 | 664,415 | ||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 4.800% | 09/15/41 | 480 | 516,649 | ||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 5.613% | 04/01/17 | 199 | 220,346 | ||||||||||
14,217,025 | ||||||||||||||
Energy – Integrated | ||||||||||||||
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A | 5.375% | 01/26/19 | 460 | 479,550 | ||||||||||
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A | 5.400% | 02/14/22 | 800 | 863,807 | ||||||||||
1,343,357 | ||||||||||||||
Energy – Other — 0.3% | ||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.375% | 09/15/17 | 1,195 | 1,375,851 | ||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.450% | 09/15/36 | 325 | 414,455 | ||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.950% | 06/15/19 | 250 | 305,962 | ||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 7.020% | (f) | 10/10/36 | 2,000 | 773,404 | |||||||||
Cameron International Corp., Sr. Unsec’d. Notes | 4.500% | 06/01/21 | 2,200 | 2,378,512 | ||||||||||
Nabors Industries, Inc., Gtd. Notes(a) | 4.625% | 09/15/21 | 1,070 | 1,159,009 | ||||||||||
Phillips 66, Gtd. Notes | 2.950% | 05/01/17 | 490 | 513,535 | ||||||||||
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | 6.875% | 05/01/18 | 1,500 | 1,772,583 | ||||||||||
Transocean, Inc., Gtd. Notes | 2.500% | 10/15/17 | 920 | 939,497 | ||||||||||
Weatherford International Ltd., Gtd. Notes | 5.125% | 09/15/20 | 810 | 907,228 | ||||||||||
10,540,036 | ||||||||||||||
Foods — 0.2% | ||||||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes | 8.000% | 11/15/39 | 1,285 | 1,937,686 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes | 8.200% | 01/15/39 | 250 | 382,547 | ||||||||||
Bunge Ltd. Finance Corp., Gtd. Notes | 8.500% | 06/15/19 | 985 | 1,237,774 | ||||||||||
Constellation Brands, Inc., Gtd. Notes(a) | 4.250% | 05/01/23 | 1,400 | 1,405,250 | ||||||||||
Delhaize Group SA (Belgium), Gtd. Notes | 6.500% | 06/15/17 | 480 | 541,259 | ||||||||||
Tyson Foods, Inc., Gtd. Notes | 6.600% | 04/01/16 | 735 | 805,095 | ||||||||||
6,309,611 | ||||||||||||||
Gaming | ||||||||||||||
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes, 144A(a) | 4.375% | 11/01/18 | 1,000 | 1,032,500 | ||||||||||
Healthcare & Pharmaceutical — 0.2% | ||||||||||||||
Actavis Funding SCS, Gtd. Notes, 144A | 4.850% | 06/15/44 | 545 | 550,150 | ||||||||||
Actavis, Inc., Sr. Unsec’d. Notes | 6.125% | 08/15/19 | 445 | 522,760 | ||||||||||
Amgen, Inc., Sr. Unsec’d. Notes | 5.150% | 11/15/41 | 1,640 | 1,759,776 | ||||||||||
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes(a) | 5.125% | 08/15/18 | 1,100 | 1,153,625 | ||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 5.650% | 12/01/41 | 185 | 218,004 | ||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 3.750% | 08/23/22 | 180 | 182,136 | ||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 5.625% | 12/15/15 | 580 | 619,993 | ||||||||||
Merck Sharp & Dohme Corp., Gtd. Notes | 5.950% | 12/01/28 | 165 | 205,312 | ||||||||||
Mylan, Inc., Gtd. Notes(a) | 1.800% | 06/24/16 | 425 | 431,019 | ||||||||||
Novartis Capital Corp. (Switzerland), Gtd. Notes(a) | 4.400% | 05/06/44 | 1,325 | 1,379,069 | ||||||||||
Thermo Fisher Scientific, Inc., Sr. Unsec’d. Notes | 4.150% | 02/01/24 | 1,215 | 1,270,588 | ||||||||||
Wyeth LLC, Gtd. Notes | 6.450% | 02/01/24 | 60 | 74,208 | ||||||||||
Zoetis, Inc., Sr. Unsec’d. Notes(a) | 4.700% | 02/01/43 | 120 | 121,882 | ||||||||||
8,488,522 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A79
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Healthcare Insurance — 0.2% | ||||||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.625% | 06/15/36 | 515 | $ | 670,063 | |||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.500% | 09/15/18 | 1,570 | 1,856,180 | ||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.875% | 03/15/41 | 650 | 790,372 | ||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 6.150% | 11/15/36 | 670 | 827,027 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 3.950% | 10/15/42 | 260 | 243,570 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.000% | 06/15/17 | 195 | 221,551 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.500% | 06/15/37 | 420 | 549,545 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.625% | 11/15/37 | 420 | 557,048 | ||||||||||
WellPoint, Inc., Sr. Unsec’d. Notes | 4.625% | 05/15/42 | 390 | 397,073 | ||||||||||
WellPoint, Inc., Sr. Unsec’d. Notes(a) | 4.650% | 01/15/43 | 995 | 1,011,639 | ||||||||||
7,124,068 | ||||||||||||||
Insurance — 0.6% | ||||||||||||||
Allied World Assurance Co. Holdings Ltd., Gtd. Notes | 5.500% | 11/15/20 | 525 | 593,104 | ||||||||||
Allstate Corp. (The), Sr. Unsec’d. Notes | 4.500% | 06/15/43 | 150 | 155,833 | ||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 6.400% | 12/15/20 | 2,425 | 2,927,572 | ||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 8.250% | 08/15/18 | 990 | 1,229,985 | ||||||||||
Aon Corp. (United Kingdom), Gtd. Notes | 3.125% | 05/27/16 | 2,655 | 2,763,908 | ||||||||||
Axis Specialty Finance LLC, Gtd. Notes(a) | 5.875% | 06/01/20 | 1,030 | 1,182,752 | ||||||||||
Chubb Corp. (The), Jr. Sub. Notes | 6.375% | (b) | 03/29/67 | 1,300 | 1,444,625 | |||||||||
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes | 5.125% | 04/15/22 | 755 | 858,520 | ||||||||||
Liberty Mutual Group, Inc., Gtd. Notes, 144A(a) | 6.500% | 05/01/42 | 365 | 457,747 | ||||||||||
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A | 7.000% | 03/15/34 | 850 | 1,070,114 | ||||||||||
Lincoln National Corp., Jr. Sub. Notes | 6.050% | (b) | 04/20/67 | 260 | 262,925 | |||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 6.300% | 10/09/37 | 492 | 618,072 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 7.000% | 06/15/40 | 705 | 966,513 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 8.750% | 07/01/19 | 605 | 784,415 | ||||||||||
Markel Corp., Sr. Unsec’d. Notes | 5.000% | 03/30/43 | 200 | 207,790 | ||||||||||
MetLife, Inc., Sr. Unsec’d. Notes | 5.700% | 06/15/35 | 835 | 1,005,115 | ||||||||||
MetLife, Inc., Sr. Unsec’d. Notes | 6.375% | 06/15/34 | 400 | 514,844 | ||||||||||
New York Life Insurance Co., Sub. Notes, 144A | 6.750% | 11/15/39 | 660 | 885,715 | ||||||||||
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A | 6.063% | 03/30/40 | 370 | 458,934 | ||||||||||
Ohio National Financial Services, Inc., Sr. Notes, 144A | 6.375% | 04/30/20 | 680 | 791,577 | ||||||||||
Pacific Life Insurance Co., Sub. Notes, 144A | 9.250% | 06/15/39 | 910 | 1,399,879 | ||||||||||
Principal Financial Group, Inc., Gtd. Notes | 4.625% | 09/15/42 | 130 | 131,745 | ||||||||||
Progressive Corp. (The), Jr. Sub. Notes | 6.700% | (b) | 06/15/37 | 735 | 817,688 | |||||||||
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | 6.850% | 12/16/39 | 1,450 | 1,933,726 | ||||||||||
Unum Group, Sr. Unsec’d. Notes | 5.625% | 09/15/20 | 350 | 401,524 | ||||||||||
W.R. Berkley Corp., Sr. Unsec’d. Notes | 5.600% | 05/15/15 | 555 | 577,597 | ||||||||||
W.R. Berkley Corp., Sr. Unsec’d. Notes | 6.150% | 08/15/19 | 460 | 519,889 | ||||||||||
XLIT Ltd. (Ireland), Gtd. Notes | 5.250% | 09/15/14 | 85 | 85,839 | ||||||||||
25,047,947 | ||||||||||||||
Lodging — 0.2% | ||||||||||||||
Choice Hotels International, Inc., Gtd. Notes | 5.750% | 07/01/22 | 1,000 | 1,073,260 | ||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.000% | 03/01/19 | 580 | 599,672 | ||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes, Sr. Unsec’d. Notes | 3.250% | 09/15/22 | 980 | 969,109 | ||||||||||
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes(a) | 6.750% | 05/15/18 | 2,800 | 3,295,096 | ||||||||||
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | 2.500% | 03/01/18 | 490 | 497,482 | ||||||||||
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | 4.250% | 03/01/22 | 1,055 | 1,084,309 | ||||||||||
7,518,928 | ||||||||||||||
Media & Entertainment — 0.2% | ||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.150% | 03/01/37 | 620 | 745,482 | ||||||||||
21st Century Fox America, Inc., Gtd. Notes(a) | 6.150% | 02/15/41 | 1,315 | 1,593,731 | ||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.900% | 08/15/39 | 90 | 117,728 | ||||||||||
CBS Corp., Gtd. Notes | 4.850% | 07/01/42 | 400 | 396,987 | ||||||||||
Historic TW, Inc., Gtd. Notes | 9.150% | 02/01/23 | 505 | 699,553 |
SEE NOTES TO FINANCIAL STATEMENTS.
A80
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Media & Entertainment (continued) | ||||||||||||||
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS | 6.375% | 07/28/17 | 1,300 | $ | 1,430,000 | |||||||||
Time Warner, Inc., Gtd. Notes | 6.200% | 03/15/40 | 210 | 249,648 | ||||||||||
Time Warner, Inc., Gtd. Notes | 6.250% | 03/29/41 | 1,465 | 1,762,908 | ||||||||||
Time Warner, Inc., Gtd. Notes | 7.625% | 04/15/31 | 180 | 247,321 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.875% | 06/15/43 | 200 | 201,233 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.500% | 02/27/42 | 50 | 47,716 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 5.850% | 09/01/43 | 425 | 488,252 | ||||||||||
7,980,559 | ||||||||||||||
Metals — 0.1% | ||||||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes | 5.000% | 09/30/43 | 920 | 1,016,770 | ||||||||||
Newmont Mining Corp., Gtd. Notes | 6.250% | 10/01/39 | 35 | 36,785 | ||||||||||
Southern Copper Corp., Sr. Unsec’d. Notes | 7.500% | 07/27/35 | 425 | 494,753 | ||||||||||
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A | 2.050% | 10/23/15 | 1,110 | 1,122,574 | ||||||||||
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A | 2.700% | 10/25/17 | 1,220 | 1,252,285 | ||||||||||
Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A | 2.850% | 11/10/14 | 1,185 | 1,191,791 | ||||||||||
5,114,958 | ||||||||||||||
Non-Captive Finance — 0.2% | ||||||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A | 3.750% | 05/15/19 | 775 | 780,813 | ||||||||||
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | 5.875% | 01/14/38 | 1,040 | 1,261,733 | ||||||||||
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | 6.000% | 08/07/19 | 920 | 1,089,784 | ||||||||||
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | 6.875% | 01/10/39 | 2,270 | 3,049,241 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes | 5.750% | 05/15/16 | 375 | 401,719 | ||||||||||
SLM Corp., Sr. Unsec’d. Notes, MTN | 8.450% | 06/15/18 | 240 | 283,800 | ||||||||||
6,867,090 | ||||||||||||||
Packaging | ||||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes | 4.500% | 01/15/23 | 1,100 | 1,071,400 | ||||||||||
Paper — 0.1% | ||||||||||||||
Georgia-Pacific LLC, Gtd. Notes, 144A | 5.400% | 11/01/20 | 290 | 334,731 | ||||||||||
International Paper Co., Sr. Unsec’d. Notes(a) | 6.000% | 11/15/41 | 1,595 | 1,879,524 | ||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.950% | 06/15/18 | 510 | 623,688 | ||||||||||
Rock-Tenn Co., Gtd. Notes(a) | 4.900% | 03/01/22 | 800 | 873,197 | ||||||||||
3,711,140 | ||||||||||||||
Pipelines & Other — 0.1% | ||||||||||||||
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes, 144A | 4.800% | 11/01/43 | 65 | 69,148 | ||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes | 4.650% | 06/01/21 | 675 | 727,104 | ||||||||||
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes | 5.950% | 02/15/18 | 510 | 581,911 | ||||||||||
NiSource Finance Corp., Gtd. Notes | 5.250% | 09/15/17 | 245 | 273,094 | ||||||||||
NiSource Finance Corp., Gtd. Notes | 5.450% | 09/15/20 | 350 | 400,617 | ||||||||||
ONEOK Partners LP, Gtd. Notes | 6.650% | 10/01/36 | 145 | 178,458 | ||||||||||
2,230,332 | ||||||||||||||
Railroads | ||||||||||||||
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | 6.700% | 08/01/28 | 670 | 826,739 | ||||||||||
CSX Corp., Sr. Unsec’d. Notes | 6.150% | 05/01/37 | 715 | 883,391 | ||||||||||
Norfolk Southern Corp., Sr. Unsec’d. Notes | 5.590% | 05/17/25 | 100 | 113,657 | ||||||||||
1,823,787 | ||||||||||||||
Real Estate Investment Trusts (REITs) — 0.1% | ||||||||||||||
Felcor Lodging LP, Sr. Sec’d. Notes | 10.000% | 10/01/14 | 385 | 392,238 | ||||||||||
Mack-Cali Realty LP, Sr. Unsec’d. Notes | 7.750% | 08/15/19 | 765 | 911,012 | ||||||||||
ProLogis LP, Gtd. Notes | 6.875% | 03/15/20 | 72 | 86,507 | ||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 2.800% | 01/30/17 | 295 | 307,502 |
SEE NOTES TO FINANCIAL STATEMENTS.
A81
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Real Estate Investment Trusts (REITs) (continued) | ||||||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 3.375% | 03/15/22 | 230 | $ | 236,867 | |||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 6.125% | 05/30/18 | 3,080 | 3,583,426 | ||||||||||
5,517,552 | ||||||||||||||
Retailers — 0.1% | ||||||||||||||
CVS Caremark Corp., Sr. Unsec’d. Notes | 5.300% | 12/05/43 | 225 | 254,355 | ||||||||||
CVS Caremark Corp., Sr. Unsec’d. Notes | 5.750% | 05/15/41 | 100 | 119,903 | ||||||||||
CVS Caremark Corp., Sr. Unsec’d. Notes(a) | 6.125% | 09/15/39 | 515 | 641,265 | ||||||||||
Home Depot, Inc. (The), Sr. Unsec’d. Notes | 4.400% | 03/15/45 | 755 | 766,477 | ||||||||||
Limited Brands, Inc., Gtd. Notes, Gtd. Notes | 5.625% | 02/15/22 | 1,450 | 1,569,625 | ||||||||||
Lowe’s Cos., Inc., Sr. Unsec’d. Notes | 6.500% | 03/15/29 | 385 | 483,496 | ||||||||||
Macy’s Retail Holdings, Inc., Gtd. Notes | 3.875% | 01/15/22 | 360 | 375,779 | ||||||||||
Target Corp., Sr. Unsec’d. Notes(a) | 3.500% | 07/01/24 | 595 | 601,713 | ||||||||||
4,812,613 | ||||||||||||||
Technology — 0.2% | ||||||||||||||
Arrow Electronics, Inc., Sr. Unsec’d. Notes | 3.375% | 11/01/15 | 400 | 412,794 | ||||||||||
CDW LLC/CDW Finance Corp., Sr. Sec’d. Notes | 8.000% | 12/15/18 | 1,300 | 1,381,250 | ||||||||||
Fidelity National Information Services, Inc., Gtd. Notes | 7.875% | 07/15/20 | 1,100 | 1,164,966 | ||||||||||
Fiserv, Inc., Gtd. Notes | 3.125% | 06/15/16 | 2,410 | 2,503,573 | ||||||||||
Oracle Corp., Sr. Unsec’d. Notes | 4.300% | 07/08/34 | 920 | 919,632 | ||||||||||
Seagate HDD Cayman, Gtd. Notes, 144A | 3.750% | 11/15/18 | 605 | 618,613 | ||||||||||
7,000,828 | ||||||||||||||
Telecommunications — 0.5% | ||||||||||||||
America Movil SAB de CV (Mexico), Gtd. Notes | 6.125% | 03/30/40 | 480 | 565,354 | ||||||||||
AT&T Corp., Gtd. Notes | 8.000% | 11/15/31 | 7 | 10,278 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.800% | 06/15/44 | 1,305 | 1,332,221 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.350% | 09/01/40 | 815 | 886,492 | ||||||||||
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes | 9.625% | 12/15/30 | 400 | 637,101 | ||||||||||
Embarq Corp., Sr. Unsec’d. Notes | 7.082% | 06/01/16 | 325 | 361,618 | ||||||||||
Embarq Corp., Sr. Unsec’d. Notes | 7.995% | 06/01/36 | 895 | 977,788 | ||||||||||
Qwest Corp., Sr. Unsec’d. Notes | 7.500% | 10/01/14 | 1,440 | 1,464,372 | ||||||||||
Sprint Communications, Inc., Sr. Unsec’d. Notes | 6.000% | 12/01/16 | 1,075 | 1,170,406 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 6.350% | 04/01/19 | 3,165 | 3,742,954 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 6.400% | 09/15/33 | 1,705 | 2,088,519 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 6.550% | 09/15/43 | 5,580 | 7,022,101 | ||||||||||
20,259,204 | ||||||||||||||
Tobacco — 0.1% | ||||||||||||||
Altria Group, Inc., Gtd. Notes | 4.000% | 01/31/24 | 1,500 | 1,541,295 | ||||||||||
Altria Group, Inc., Gtd. Notes | 9.950% | 11/10/38 | 46 | 76,628 | ||||||||||
Altria Group, Inc., Gtd. Notes(a) | 10.200% | 02/06/39 | 254 | 431,205 | ||||||||||
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A | 2.050% | 02/11/18 | 2,050 | 2,062,111 | ||||||||||
Lorillard Tobacco Co., Gtd. Notes | 3.500% | 08/04/16 | 465 | 486,459 | ||||||||||
Lorillard Tobacco Co., Gtd. Notes(a) | 8.125% | 06/23/19 | 325 | 405,195 | ||||||||||
5,002,893 | ||||||||||||||
TOTAL CORPORATE BONDS |
| 285,502,646 | ||||||||||||
FOREIGN AGENCIES — 0.8% | ||||||||||||||
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A | 4.875% | 01/15/24 | 645 | 688,538 | ||||||||||
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes | 5.125% | 06/29/20 | 400 | 452,446 | ||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 9.250% | 04/23/19 | 930 | 1,128,787 | ||||||||||
Hashemite Kingdom of Jordan Government USAID Bond, U.S. Gov’t. Gtd. Notes | 1.945% | 06/23/19 | 465 | 467,465 | ||||||||||
Hashemite Kingdom of Jordan Government USAID Bond, U.S. Gov’t. Gtd. Notes | 2.503% | 10/30/20 | 2,705 | 2,739,559 | ||||||||||
KFW (Germany), Gov’t. Gtd. Notes | 1.875% | 04/01/19 | 4,615 | 4,662,230 |
SEE NOTES TO FINANCIAL STATEMENTS.
A82
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
FOREIGN AGENCIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Kommunalbanken AS (Norway), Sr. Unsec’d Notes, 144A | 1.125% | 05/23/18 | 3,158 | $ | 3,122,390 | |||||||||
Pemex Project Funding Master Trust (Mexico), Gtd. Notes | 6.625% | 06/15/35 | 1,624 | 1,912,260 | ||||||||||
Pemex Project Funding Master Trust (Mexico), Gtd. Notes | 8.625% | 12/01/23 | 350 | 445,900 | ||||||||||
Petrobras Global Finance BV (Brazil), Gtd. Notes(a) | 2.000% | 05/20/16 | 1,665 | 1,667,404 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 3.500% | 01/30/23 | 970 | 947,205 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 4.875% | 01/18/24 | 510 | 546,975 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes, Gtd. Notes | 5.500% | 01/21/21 | 2,730 | 3,064,425 | ||||||||||
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 6.299% | 05/15/17 | 1,030 | 1,086,650 | ||||||||||
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A | 1.750% | 04/10/17 | 1,620 | 1,620,739 | ||||||||||
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A | 2.750% | 05/07/19 | 665 | 670,408 | ||||||||||
Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes | 1.844% | 05/16/19 | 6,075 | 6,068,147 | ||||||||||
TOTAL FOREIGN AGENCIES |
| 31,291,528 | ||||||||||||
MUNICIPAL BONDS — 0.4% | ||||||||||||||
California — 0.1% | ||||||||||||||
Bay Area Toll Authority, Revenue Bonds, BABs | 6.263% | 04/01/49 | 1,325 | 1,781,065 | ||||||||||
State of California, GO, BABs | 7.300% | 10/01/39 | 1,270 | 1,788,579 | ||||||||||
State of California, GO, BABs | 7.500% | 04/01/34 | 475 | 676,695 | ||||||||||
State of California, GO, BABs(a) | 7.550% | 04/01/39 | 245 | 364,563 | ||||||||||
State of California, GO, BABs | 7.625% | 03/01/40 | 215 | 316,213 | ||||||||||
4,927,115 | ||||||||||||||
Colorado | ||||||||||||||
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs | 5.844% | 11/01/50 | 680 | 872,086 | ||||||||||
Illinois — 0.1% | ||||||||||||||
Chicago O’Hare International Airport, Revenue Bonds, BABs | 6.395% | 01/01/40 | 1,030 | 1,316,474 | ||||||||||
State of Illinois, GO, Taxable Series | 4.421% | 01/01/15 | 740 | 754,548 | ||||||||||
2,071,022 | ||||||||||||||
New Jersey — 0.1% | ||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs | 7.414% | 01/01/40 | 1,070 | 1,541,924 | ||||||||||
New York — 0.1% | ||||||||||||||
New York City Transitional Finance Authority, Revenue Bonds, BABs | 5.767% | 08/01/36 | 1,130 | 1,380,193 | ||||||||||
Ohio | ||||||||||||||
Ohio State University (The), Revenue Bonds, BABs | 4.910% | 06/01/40 | 455 | 515,056 | ||||||||||
Ohio State Water Development Authority, Revenue Bonds, BABs | 4.879% | 12/01/34 | 300 | 332,103 | ||||||||||
847,159 | ||||||||||||||
Oregon | ||||||||||||||
Oregon State Department of Transportation Highway, Revenue Bonds, | 5.834% | 11/15/34 | 445 | 556,535 | ||||||||||
Pennsylvania | ||||||||||||||
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs | 5.511% | 12/01/45 | 550 | 646,129 | ||||||||||
Tennessee | ||||||||||||||
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | 6.731% | 07/01/43 | 1,000 | 1,283,570 | ||||||||||
Texas | ||||||||||||||
Texas State Transportation Commission, Revenue Bonds, Series B, BABs | 5.028% | 04/01/26 | 335 | 390,288 | ||||||||||
TOTAL MUNICIPAL BONDS |
| 14,516,021 | ||||||||||||
SOVEREIGN BONDS — 0.3% | ||||||||||||||
Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes | 4.250% | 01/07/25 | 1,275 | 1,292,212 | ||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes(a) | 4.000% | 02/26/24 | 1,475 | 1,520,725 | ||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 4.000% | 03/25/19 | 580 | 597,456 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A | 6.875% | 01/17/18 | 1,120 | 1,281,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
A83
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
SOVEREIGN BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A | 5.875% | 03/13/20 | 1,135 | $ | 1,259,850 | |||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes | 3.625% | 03/15/22 | 700 | 726,250 | ||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN | 4.750% | 03/08/44 | 1,006 | 1,026,120 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 5.200% | 01/30/20 | 620 | 691,920 | ||||||||||
Province of British Columbia (Canada), Sr. Unsec’d. Notes | 2.000% | 10/23/22 | 1,620 | 1,536,444 | ||||||||||
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A | 4.875% | 01/22/24 | 190 | 202,112 | ||||||||||
Slovenia Government International Bond (Slovenia), Bonds, 144A(a) | 4.125% | 02/18/19 | 200 | 210,690 | ||||||||||
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes | 7.000% | 06/05/20 | 810 | 943,407 | ||||||||||
TOTAL SOVEREIGN BONDS |
| 11,288,186 | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 7.0% | ||||||||||||||
Federal Home Loan Bank(a) | 0.375% | 08/28/15 | 460 | 460,996 | ||||||||||
Federal Home Loan Bank | 5.500% | 07/15/36 | 1,080 | 1,381,842 | ||||||||||
Federal Home Loan Mortgage Corp.(g) | 0.750% | 01/12/18 | 685 | 674,751 | ||||||||||
Federal Home Loan Mortgage Corp. | 1.750% | 05/30/19 | 1,930 | 1,937,245 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.213% | (b) | 06/01/36 | 467 | 496,473 | |||||||||
Federal Home Loan Mortgage Corp. | 2.348% | (b) | 12/01/35 | 331 | 351,553 | |||||||||
Federal Home Loan Mortgage Corp. | 2.375% | 01/13/22 | 6,020 | 6,008,153 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 10/01/28-01/01/43 | 5,392 | 5,500,270 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | TBA | 1,500 | 1,585,547 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | TBA | 6,500 | 6,681,292 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | TBA | 6,500 | 6,885,938 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 06/01/26-12/01/40 | 6,052 | 6,449,618 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 02/01/19-10/01/41 | 16,363 | 17,716,271 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/18-06/01/39 | 5,457 | 5,995,225 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 12/01/33-07/01/38 | 5,826 | 6,510,068 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 03/01/32-08/01/39 | 2,628 | 2,965,155 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 12/01/14 | 1 | 1,135 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 01/01/31-10/01/32 | 404 | 459,603 | ||||||||||
Federal National Mortgage Assoc.(g) | 1.750% | 06/20/19 | 5,405 | 5,417,464 | ||||||||||
Federal National Mortgage Assoc. | 1.832% | (b) | 07/01/33 | 362 | 382,362 | |||||||||
Federal National Mortgage Assoc.(a) | 1.875% | 02/19/19 | 2,350 | 2,381,387 | ||||||||||
Federal National Mortgage Assoc. | 1.927% | (b) | 06/01/37 | 139 | 139,122 | |||||||||
Federal National Mortgage Assoc. | 2.500% | TBA | 4,500 | 4,571,015 | ||||||||||
Federal National Mortgage Assoc. | 2.500% | 01/01/28 | 2,783 | 2,830,974 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | TBA | 3,000 | 3,116,250 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | TBA | 19,500 | 19,215,125 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 12/01/42 | 2,376 | 2,349,596 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 1,000 | 1,059,844 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 3,000 | 3,171,563 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 8,500 | 8,749,688 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 15,500 | 15,906,875 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 06/01/39-03/01/43 | 21,202 | 21,861,285 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | TBA | 11,500 | 12,167,989 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 11/01/18-07/01/42 | 12,919 | 14,059,607 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | TBA | 2,000 | 2,220,938 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 10/01/18-02/01/36 | 5,251 | 5,833,486 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 03/01/16-08/01/37 | 7,420 | 8,308,617 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 09/01/17-05/01/38 | 6,410 | 7,237,220 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/17-09/01/37 | 2,359 | 2,660,528 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 02/01/32-07/01/32 | 251 | 283,205 | ||||||||||
Federal National Mortgage Assoc. | 7.500% | 05/01/32 | 60 | 68,246 | ||||||||||
Financing Corp., Strips Principal, Series A-P | 1.270% | (f) | 10/06/17 | 1,570 | 1,506,553 | |||||||||
Financing Corp., Strips Principal, Series B-P | 1.270% | (f) | 10/06/17 | 2,140 | 2,053,518 | |||||||||
Government National Mortgage Assoc. | 3.000% | TBA | 2,500 | 2,518,750 | ||||||||||
Government National Mortgage Assoc. | 3.000% | TBA | 3,000 | 3,028,125 |
SEE NOTES TO FINANCIAL STATEMENTS.
A84
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Government National Mortgage Assoc. | 3.500% | TBA | 12,000 | $ | 12,479,064 | |||||||||||
Government National Mortgage Assoc. | 4.000% | TBA | 4,000 | 4,280,625 | ||||||||||||
Government National Mortgage Assoc. | 4.000% | TBA | 9,500 | 10,138,281 | ||||||||||||
Government National Mortgage Assoc. | 4.000% | 06/15/40-05/20/41 | 2,733 | 2,926,099 | ||||||||||||
Government National Mortgage Assoc. | 4.500% | TBA | 2,000 | 2,173,437 | ||||||||||||
Government National Mortgage Assoc. | 4.500% | TBA | 2,000 | 2,183,828 | ||||||||||||
Government National Mortgage Assoc. | 4.500% | 01/20/41-02/20/41 | 5,703 | 6,247,844 | ||||||||||||
Government National Mortgage Assoc. | 5.500% | 11/15/32-02/15/36 | 3,065 | 3,444,569 | ||||||||||||
Government National Mortgage Assoc. | 6.000% | 02/15/33-10/15/34 | 1,423 | 1,637,276 | ||||||||||||
Government National Mortgage Assoc. | 6.500% | 10/15/23-07/15/35 | 1,712 | 1,960,069 | ||||||||||||
Government National Mortgage Assoc. | 8.000% | 01/15/24-04/15/25 | 57 | 65,186 | ||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 272,696,745 | ||||||||||||||
U.S. TREASURY OBLIGATIONS — 2.9% | ||||||||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 1.375% | 01/15/20 | 6,095 | 6,685,252 | ||||||||||||
U.S. Treasury Notes | 0.625% | 04/30/18 | 130 | 126,933 | ||||||||||||
U.S. Treasury Notes(h) | 0.875% | 07/31/19 | 4,145 | 3,985,675 | ||||||||||||
U.S. Treasury Notes | 1.000% | 06/30/19-09/30/19 | 21,670 | 20,928,509 | ||||||||||||
U.S. Treasury Notes | 1.250% | 11/30/18 | 3,230 | 3,200,730 | ||||||||||||
U.S. Treasury Notes | 1.500% | 12/31/18-01/31/19 | 30,875 | 30,866,819 | ||||||||||||
U.S. Treasury Notes(a) | 1.500% | 05/31/19 | 11,660 | 11,601,700 | ||||||||||||
U.S. Treasury Notes | 1.625% | 04/30/19-06/30/19 | 22,980 | 23,006,944 | ||||||||||||
U.S. Treasury Notes | 2.125% | 06/30/21 | 4,305 | 4,304,328 | ||||||||||||
U.S. Treasury Notes | 2.500% | 05/15/24 | 135 | 134,810 | ||||||||||||
U.S. Treasury Notes | 3.625% | 02/15/44 | 1,530 | 1,614,627 | ||||||||||||
U.S. Treasury Strips Principal | 6.060% | (f) | 02/15/44 | 9,930 | 3,519,142 | |||||||||||
U.S. Treasury Strips Principal(a) | 6.100% | (f) | 05/15/44 | 4,615 | 1,620,677 | |||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 111,596,146 | ||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 3,488,195,562 | ||||||||||||||
SHORT-TERM INVESTMENTS — 16.8% | ||||||||||||||||
Shares | ||||||||||||||||
AFFILIATED MUTUAL FUNDS — 16.7% | ||||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund |
| 13,477,540 | 126,149,772 | |||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund |
| 525,620,068 | 525,620,068 | |||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 651,769,840 | ||||||||||||||
Counterparty | Notional Amount (000)# | |||||||||||||||
OPTION PURCHASED* | ||||||||||||||||
Call Option | ||||||||||||||||
Interest Rate Swap Option, | ||||||||||||||||
Received a fixed rate of 2.75% and pay a floating rate based on 3 month LIBOR, expiring 08/14/14 | | Citigroup Global Markets | | 31,420 | 395,471 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A85
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
U.S. TREASURY OBLIGATION — 0.1% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
U.S. Treasury Bill | 0.020% | (f) | 09/18/14 | 2,100 | $ | 2,099,908 | ||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 654,265,219 | ||||||||||||
TOTAL INVESTMENTS — 106.4% |
| 4,142,460,781 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(k) — (6.4)% |
| (249,281,793 | ) | |||||||||||
NET ASSETS 100.0% |
| $ | 3,893,178,988 | |||||||||||
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 | |
CDO | Collateralized Debt Obligation | |
CDX | Credit Derivative Index | |
CLO | Collateralized Loan Obligation | |
CMBS | Collateralized Mortgage-Backed Security | |
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 | |
PRFC | Preference Shares | |
REIT | Real Estate Investment Trust | |
SDR | Swedish Depositary Receipt | |
TBA | To Be Announced | |
TIPS | Treasury Inflation Protected Securities | |
USAID | United States Agency for International Development |
# | 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 $131,355,852; cash collateral of $134,304,006 (included in liabilities) was received with which the Portfolio’s purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2014. |
(c) | Represents issuer in default on interest payments. Non-income producing security. Such securities may be post maturity. |
(d) | Indicates a security or securities that have been deemed illiquid. |
(e) | Indicates a restricted security; the aggregate original cost of the restricted securities is $7,573,312. The aggregate value, $8,168,257, 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A86
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
(k) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2014:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2014 | Unrealized Appreciation (Depreciation)(1) | |||||||||||||
Long Positions: | ||||||||||||||||||
280 | 2 Year U.S. Treasury Notes | Sep. 2014 | $ | 61,421,616 | $ | 61,486,250 | $ | 64,634 | ||||||||||
334 | 5 Year U.S. Treasury Notes | Sep. 2014 | 39,710,751 | 39,899,953 | 189,202 | |||||||||||||
112 | 10 Year U.S. Treasury Notes | Sep. 2014 | 14,017,222 | 14,019,250 | 2,028 | |||||||||||||
13 | MSCI EAFE Mini Futures | Sep. 2014 | 1,272,587 | 1,279,785 | 7,198 | |||||||||||||
430 | S&P 500 E-Mini Futures | Sep. 2014 | 41,459,288 | 41,976,600 | 517,312 | |||||||||||||
780,374 | ||||||||||||||||||
Short Position: | ||||||||||||||||||
15 | U.S. Ultra Bond | Sep. 2014 | 2,247,166 | 2,249,062 | (1,896 | ) | ||||||||||||
$ | 778,478 | |||||||||||||||||
(1) | A U.S. Treasury obligation with a market value of $1,994,920 has been segregated with Goldman Sachs & Co. and U.S. Government Agency obligations with a combined market value of $686,678 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2014. |
Interest rate swap agreements outstanding at June 30, 2014:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation | Counterparty | |||||||||||||||||||
| Over-the-counter swap agreements: | |||||||||||||||||||||||||
3,158 | 05/17/18 | 0.989% | 3 month LIBOR(1) | $ | 38,712 | $ | — | $ | 38,712 | Credit Suisse First Boston Corp. | ||||||||||||||||
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2014 | Unrealized Depreciation | ||||||||||||||||||
| Exchange-traded swap agreements: |
| ||||||||||||||||||||||
34,845 | 11/30/18 | 1.625% | 3 month LIBOR(1) | $ | (32,637 | ) | $ | (35,179 | ) | $ | (2,542 | ) | ||||||||||||
22,700 | 05/15/21 | 2.375% | 3 month LIBOR(1) | (151,745 | ) | (221,352 | ) | (69,607 | ) | |||||||||||||||
$ | (184,382 | ) | $ | (256,531 | ) | $ | (72,149 | ) | ||||||||||||||||
(1) | Portfolio pays the fixed rate and receives the floating rate. |
# | Notional Amount is shown in U.S. dollars unless otherwise stated. |
Credit default swap agreements outstanding at June 30, 2014:
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at June 30, 2014 | Unrealized Depreciation | ||||||||||||||||||
Exchange-traded credit default swaps on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.IG.22.V1 | 06/20/19 | 1.000% | 40,000 | $ | (611,363 | ) | $ | (792,994 | ) | $ | (181,631 | ) | ||||||||||||
Reference Entity/ | 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% | 1,425 | $ | 109,923 | $ | 59,771 | $ | 50,152 | Credit Suisse First Boston Corp. | ||||||||||||||||
CDX.NA.HY.17.V5 | 12/20/16 | 5.000% | 3,800 | 293,127 | 164,139 | 128,988 | Deutsche Bank | |||||||||||||||||||
CDX.NA.HY.17.V5 | 12/20/16 | 5.000% | 5,225 | 403,050 | 228,956 | 174,094 | Deutsche Bank | |||||||||||||||||||
$ | 806,100 | $ | 452,866 | $ | 353,234 | |||||||||||||||||||||
A U.S. Treasury obligation with a market value of $1,370,598 has been segregated with Citigroup Global Markets to cover requirements for open exchange-traded interest rate and credit default swap contracts at June 30, 2014.
SEE NOTES TO FINANCIAL STATEMENTS.
A87
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
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, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
# | 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 June 30, 2014 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 2,420,273,297 | $ | 139,906,488 | $ | — | ||||||
Exchange Traded Fund | 1,914,360 | — | — | |||||||||
Preferred Stocks | 609,400 | 241,309 | — | |||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Debt Obligations | — | 478,523 | — | |||||||||
Collateralized Loan Obligations | — | 48,770,567 | 4,490,963 | |||||||||
Non-Residential Mortgage-Backed Security | — | 2,017,932 | — | |||||||||
Residential Mortgage-Backed Securities | — | 5,964,334 | — | |||||||||
Bank Loans | — | 7,180,761 | — | |||||||||
Collateralized Mortgage Obligations | — | 4,902,516 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 124,553,840 | — | |||||||||
Corporate Bonds | — | 280,961,057 | 4,541,589 | |||||||||
Foreign Agencies | — | 31,291,528 | — | |||||||||
Municipal Bonds | — | 14,516,021 | — | |||||||||
Sovereign Bonds | — | 11,288,186 | — | |||||||||
U.S. Government Agency Obligations | — | 272,696,745 | — | |||||||||
U.S. Treasury Obligations | — | 113,696,054 | — | |||||||||
Affiliated Mutual Funds | 651,769,840 | — | — | |||||||||
Option Purchased | — | 395,471 | — | |||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 778,478 | — | — | |||||||||
Interest Rate Swap Agreements | — | (33,437 | ) | — | ||||||||
Credit Default Swap Agreements | — | 171,603 | — | |||||||||
Total | $ | 3,075,345,375 | $ | 1,058,999,498 | $ | 9,032,552 | ||||||
* | 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.
A88
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2014 was as follows:
Affiliated Mutual Funds (includes 3.4% of collateral received for securities on loan) | 16.7 | % | ||
U.S. Government Agency Obligations | 7.0 | |||
Oil, Gas & Consumable Fuels | 6.1 | |||
Pharmaceuticals | 4.6 | |||
Banks | 3.9 | |||
Commercial Mortgage-Backed Securities | 3.2 | |||
U.S. Treasury Obligations | 3.0 | |||
Internet Software & Services | 2.5 | |||
Technology Hardware, Storage & Peripherals | 2.5 | |||
Insurance | 2.3 | |||
Software | 2.3 | |||
Banking | 2.3 | |||
Media | 2.1 | |||
Biotechnology | 2.0 | |||
Aerospace & Defense | 1.9 | |||
Capital Markets | 1.8 | |||
Beverages | 1.7 | |||
IT Services | 1.7 | |||
Semiconductors & Semiconductor Equipment | 1.7 | |||
Chemicals | 1.6 | |||
Communications Equipment | 1.6 | |||
Industrial Conglomerates | 1.5 | |||
Specialty Retail | 1.5 | |||
Collateralized Loan Obligations | 1.4 | |||
Food & Staples Retailing | 1.4 | |||
Hotels, Restaurants & Leisure | 1.4 | |||
Energy Equipment & Services | 1.3 | |||
Real Estate Investment Trusts (REITs) | 1.3 | |||
Diversified Telecommunication Services | 1.2 | |||
Health Care Providers & Services | 1.2 | |||
Machinery | 1.2 | |||
Health Care Equipment & Supplies | 1.1 | |||
Road & Rail | 1.1 | |||
Tobacco | 1.1 | |||
Electric Utilities | 1.0 | |||
Household Products | 1.0 | |||
Food Products | 0.9 | |||
Multi-Utilities | 0.8 | |||
Foreign Agencies | 0.8 | |||
Diversified Financial Services | 0.7 | |||
Multiline Retail | 0.7 | |||
Electrical Equipment | 0.6 | |||
Metals & Mining | 0.6 | |||
Real Estate Management & Development | 0.6 | |||
Consumer Finance | 0.5 |
Telecommunications | 0.5 | % | ||
Textiles, Apparel & Luxury Goods | 0.5 | |||
Airlines | 0.4 | |||
Electric | 0.4 | |||
Internet & Catalog Retail | 0.4 | |||
Municipal Bonds | 0.4 | |||
Air Freight & Logistics | 0.3 | |||
Auto Components | 0.3 | |||
Automobiles | 0.3 | |||
Capital Goods | 0.3 | |||
Energy – Other | 0.3 | |||
Foods | 0.3 | |||
Gas Utilities | 0.3 | |||
Independent Power & Renewable Electricity Producers | 0.3 | |||
Sovereign Bonds | 0.3 | |||
Technology | 0.3 | |||
Cable | 0.2 | |||
Construction & Engineering | 0.2 | |||
Electronic Equipment, Instruments & Components | 0.2 | |||
Health Care Technology | 0.2 | |||
Healthcare & Pharmaceutical | 0.2 | |||
Healthcare Insurance | 0.2 | |||
Lodging | 0.2 | |||
Media & Entertainment | 0.2 | |||
Non-Captive Finance | 0.2 | |||
Automotive | 0.1 | |||
Brokerage | 0.1 | |||
Building Materials & Construction | 0.1 | |||
Building Products | 0.1 | |||
Collateralized Mortgage Obligations | 0.1 | |||
Consumer | 0.1 | |||
Household Durables | 0.1 | |||
Metals | 0.1 | |||
Non-Residential Mortgage-Backed Securities | 0.1 | |||
Paper | 0.1 | |||
Personal Products | 0.1 | |||
Pipelines & Other | 0.1 | |||
Residential Mortgage-Backed Securities | 0.1 | |||
Retailers | 0.1 | |||
Trading Companies & Distributors | 0.1 | |||
Wireless Telecommunication Services | 0.1 | |||
106.4 | ||||
Liabilities in excess of other assets | (6.4 | ) | ||
100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A89
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, equity risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2014 as presented in the Statement of Assets and Liabilities:
Derivatives not designated as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Credit contracts | Premiums paid for swap agreements | $ | 452,866 | — | $ | — | ||||||
Credit contracts | Unrealized appreciation on swap agreements | 353,234 | — | — | ||||||||
Credit contracts | — | — | Due to broker-variation margin | 181,631 | * | |||||||
Equity contracts | Due from broker — variation margin | 524,510 | * | — | — | |||||||
Interest rate contracts | Due to broker — variation margin | 255,864 | * | Due to broker-variation margin | 74,045 | * | ||||||
Interest rate contracts | Unaffiliated Investments | 395,471 | — | — | ||||||||
Interest rate contracts | Unrealized appreciation on swap agreements | 38,712 | — | — | ||||||||
Total | $ | 2,020,657 | $ | 255,676 | ||||||||
* | 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 six months ended June 30, 2014 are as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not accounted as hedging | Rights* | Options Purchased* | Options Written | Futures | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (402,726 | ) | $ | (402,726 | ) | ||||||||||
Equity contracts | 10,490 | — | — | 3,499,618 | — | 3,510,108 | ||||||||||||||||||
Interest rate contracts | — | (117,464 | ) | 146,781 | (318,203 | ) | (263,968 | ) | (552,854 | ) | ||||||||||||||
Total | $ | 10,490 | $ | (117,464 | ) | $ | 146,781 | $ | 3,181,415 | $ | (666,694 | ) | $ | 2,554,528 | ||||||||||
* | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted as hedging | Option Purchased** | Futures | Swaps | Total | ||||||||||||
Credit contracts | $ | — | $ | — | $ | 81,363 | $ | 81,363 | ||||||||
Equity Contracts | — | (781,353 | ) | — | (781,353 | ) | ||||||||||
Interest rate contracts | 104,422 | 998,401 | 177,415 | 1,280,238 | ||||||||||||
Total | $ | 104,422 | $ | 217,048 | $ | 258,778 | $ | 580,248 | ||||||||
** | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2014, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased | Options Written | Futures | Futures | |||
$399,087 | $77,996 | $180,018,320 | $32,702,658 |
Interest Rate Swaps | Credit Default | Credit Default | ||
$79,218 | $43,267 | $10,523 |
SEE NOTES TO FINANCIAL STATEMENTS.
A90
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Offsetting of over-the-counter (OTC) derivative assets and liabilities:
The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.
Counterparty | Gross amounts of recognized assets(1) | Gross amounts available for offset | Collateral Received(3) | Net Amount | ||||||||||||
Citigroup Global Markets | $ | 395,471 | $ | — | $ | (534,070 | ) | $ | — | |||||||
Credit Suisse First Boston Corp. | 148,635 | — | (488,257 | ) | — | |||||||||||
Deutsche Bank AG | 696,177 | — | (602,302 | ) | 93,875 | |||||||||||
$ | 1,240,283 | |||||||||||||||
Counterparty | Gross amounts of recognized liabilities(2) | Gross amounts available for offset | Collateral Pledged(3) | Net Amount | ||||||||||||
Citigroup Global Markets | $ | — | $ | — | $ | — | $ | — | ||||||||
Credit Suisse First Boston Corp. | — | — | — | — | ||||||||||||
Deutsche Bank AG | — | — | — | — | ||||||||||||
$ | — | |||||||||||||||
(1) | Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options. |
(2) | Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options. |
(3) | Amounts shown reflect actual collateral received or pledged by the Portfolio. Such amounts are applied up to 100% of the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A91
FLEXIBLE MANAGED PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES (Unaudited)
June 30, 2014
ASSETS | ||||
Investments at value, including securities on loan of $131,355,852: | ||||
Unaffiliated investments (cost $2,767,019,143) | $ | 3,490,690,941 | ||
Affiliated investments (cost $658,201,001) | 651,769,840 | |||
Foreign currency, at value (cost $610,372) | 614,722 | |||
Receivable for investments sold | 95,007,320 | |||
Dividends and interest receivable | 8,969,520 | |||
Premium paid for swap agreements | 452,866 | |||
Unrealized appreciation on over-the-counter swap agreements | 391,946 | |||
Tax reclaim receivable | 293,669 | |||
Receivable for Series shares sold | 68,441 | |||
Due from broker—variation margin | 15,041 | |||
Prepaid expenses | 4,722 | |||
Total Assets | 4,248,279,028 | |||
LIABILITIES | ||||
Payable for investments purchased | 217,554,665 | |||
Payable to broker for collateral for securities on loan | 134,304,006 | |||
Management fee payable | 1,913,274 | |||
Payable to custodian | 588,028 | |||
Payable for Series shares repurchased | 406,173 | |||
Accrued expenses | 332,968 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 355,100,040 | |||
NET ASSETS | $ | 3,893,178,988 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 2,543,700,449 | ||
Retained earnings | 1,349,478,539 | |||
Net assets, June 30, 2014 | $ | 3,893,178,988 | ||
Net asset value and redemption price per share $3,893,178,988 / 170,356,344 outstanding shares of beneficial interest | $ | 22.85 | ||
STATEMENT OF OPERATIONS (Unaudited)
Six Months Ended June 30, 2014
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $362,620) | $ | 29,939,551 | ||
Interest income (net of foreign withholding taxes of $5,763) | 14,871,055 | |||
Affiliated dividend income | 916,386 | |||
Affiliated income from securities loaned, net | 99,509 | |||
Total income | 45,826,501 | |||
EXPENSES | ||||
Management fee | 11,211,528 | |||
Custodian’s fees and expenses | 271,000 | |||
Shareholders’ reports | 120,000 | |||
Insurance expenses | 28,000 | |||
Trustees’ fees | 21,000 | |||
Audit fee | 19,000 | |||
Legal fees and expenses | 9,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Commitment fee on syndicated credit agreement | 3,000 | |||
Miscellaneous | 25,955 | |||
Total expenses | 11,714,483 | |||
NET INVESTMENT INCOME | 34,112,018 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 215,913,552 | |||
Futures transactions | 3,181,415 | |||
Swap agreements transactions | (666,694 | ) | ||
Foreign currency transactions | 3,256 | |||
Options written transactions | 146,781 | |||
218,578,310 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated: $671,426) | 5,806,788 | |||
Futures | 217,048 | |||
Short sales | 13,321 | |||
Swap agreements | 258,778 | |||
Foreign currencies | 2,291 | |||
6,298,226 | ||||
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 224,876,536 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 258,988,554 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 34,112,018 | $ | 65,087,964 | ||||
Net realized gain on investment and foreign currency transactions | 218,578,310 | 322,966,584 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 6,298,226 | 253,490,603 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 258,988,554 | 641,545,151 | ||||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [311,774 and 651,459 shares, respectively] | 6,813,793 | 12,747,246 | ||||||
Series shares repurchased [4,728,600 and 9,694,842 shares, respectively] | (103,249,140 | ) | (189,432,596 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (96,435,347 | ) | (176,685,350 | ) | ||||
TOTAL INCREASE | 162,553,207 | 464,859,801 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 3,730,625,781 | 3,265,765,980 | ||||||
End of period | $ | 3,893,178,988 | $ | 3,730,625,781 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A92
GLOBAL PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
LONG-TERM INVESTMENTS — 96.8% | ||||||||
COMMON STOCKS | Shares | Value (Note 2) | ||||||
Australia — 1.7% | ||||||||
Arrium Ltd. | 447,200 | $ | 336,395 | |||||
Ausdrill Ltd. | 123,200 | 99,299 | ||||||
Bendigo & Adelaide Bank Ltd. | 103,400 | 1,189,610 | ||||||
Bradken Ltd. | 98,900 | 354,125 | ||||||
Challenger Ltd. | 204,200 | 1,432,398 | ||||||
CSL Ltd. | 51,284 | 3,219,256 | ||||||
Downer EDI Ltd. | 182,200 | 777,582 | ||||||
Fortescue Metals Group Ltd. | 99,300 | 410,124 | ||||||
GrainCorp Ltd., Series A | 42,400 | 335,678 | ||||||
Leighton Holdings Ltd. | 9,550 | 177,320 | ||||||
Lend Lease Group | 114,600 | 1,416,742 | ||||||
Metcash Ltd. | 206,000 | 512,815 | ||||||
Mineral Resources Ltd. | 49,900 | 451,648 | ||||||
National Australia Bank Ltd. | 31,100 | 961,264 | ||||||
Pacific Brands Ltd. | 460,600 | 236,896 | ||||||
Primary Health Care Ltd. | 61,000 | 260,866 | ||||||
Rio Tinto Ltd. | 23,400 | 1,312,741 | ||||||
13,484,759 | ||||||||
Austria — 0.3% | ||||||||
OMV AG | 30,300 | 1,368,802 | ||||||
Voestalpine AG | 14,500 | 691,261 | ||||||
2,060,063 | ||||||||
Belgium — 0.2% | ||||||||
AGFA-Gevaert NV* | 86,100 | 252,181 | ||||||
Delhaize Group SA | 21,500 | 1,454,845 | ||||||
1,707,026 | ||||||||
Brazil — 0.4% | ||||||||
Cielo SA | 81,000 | 1,669,857 | ||||||
Kroton Educacional SA | 56,300 | 1,582,108 | ||||||
3,251,965 | ||||||||
Canada — 2.3% | ||||||||
Alimentation Couche Tard, Inc., Series B | 92,500 | 2,533,878 | ||||||
Brookfield Asset Management, Inc. (Class A Stock) | 80,406 | 3,539,472 | ||||||
Canadian Pacific Railway Ltd. | 35,825 | 6,489,509 | ||||||
CI Financial Corp. | 71,859 | 2,360,394 | ||||||
Suncor Energy, Inc. | 64,100 | 2,733,283 | ||||||
17,656,536 | ||||||||
China — 1.0% | ||||||||
Baidu, Inc., ADR* | 10,518 | 1,964,868 | ||||||
CIMC Enric Holdings Ltd. | 528,000 | 695,480 | ||||||
Poly Property Group Co. Ltd. | 846,000 | 352,722 | ||||||
Shougang Fushan Resources | 1,160,000 | 237,975 | ||||||
SouFun Holdings Ltd., ADR(a) | 76,000 | 744,040 | ||||||
Tencent Holdings Ltd. | 222,100 | 3,378,818 | ||||||
7,373,903 | ||||||||
Denmark — 0.7% | ||||||||
A.P. Moeller – Maersk A/S (Class B Stock) | 350 | 870,199 | ||||||
Coloplast A/S (Class B Stock) | 34,560 | 3,127,167 | ||||||
Novo Nordisk A/S (Class B Stock) | 22,351 | 1,031,565 | ||||||
5,028,931 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Finland — 0.6% | ||||||||
Sampo OYJ (Class A Stock) | 63,357 | $ | 3,202,849 | |||||
Tieto OYJ | 41,300 | 1,221,483 | ||||||
4,424,332 | ||||||||
France — 4.3% | ||||||||
Alstom SA | 32,100 | 1,165,788 | ||||||
Arkema SA | 7,200 | 699,598 | ||||||
AXA SA | 40,200 | 960,512 | ||||||
BNP Paribas SA | 44,608 | 3,031,505 | ||||||
Cap Gemini SA | 49,446 | 3,528,654 | ||||||
Cie Generale des Etablissements Michelin | 12,000 | 1,432,827 | ||||||
CNP Assurances | 34,000 | 705,667 | ||||||
Credit Agricole SA | 62,500 | 882,429 | ||||||
Electricite de France SA | 24,600 | 774,602 | ||||||
Renault SA | 12,300 | 1,111,855 | ||||||
Sanofi | 8,900 | 945,977 | ||||||
SCOR SE | 22,000 | 757,526 | ||||||
Societe Generale SA | 16,000 | 839,083 | ||||||
Thales SA | 27,900 | 1,686,957 | ||||||
Total SA | 87,075 | 6,299,851 | ||||||
Valeo SA | 25,807 | 3,462,646 | ||||||
Vinci SA | 55,830 | 4,173,783 | ||||||
Vivendi SA* | 24,400 | 597,106 | ||||||
33,056,366 | ||||||||
Germany — 3.1% | ||||||||
Allianz SE | 10,300 | 1,719,213 | ||||||
Aurubis AG | 6,200 | 315,723 | ||||||
BASF SE | 8,700 | 1,012,016 | ||||||
Bayerische Motoren Werke AG | 24,973 | 3,162,325 | ||||||
Brenntag AG | 12,234 | 2,185,662 | ||||||
Continental AG | 12,105 | 2,798,807 | ||||||
Daimler AG | 23,700 | 2,213,926 | ||||||
Deutsche Bank AG | 13,700 | 481,486 | ||||||
E.ON SE | 46,000 | 948,316 | ||||||
Freenet AG | 37,500 | 1,190,897 | ||||||
Hannover Rueck SE | 10,900 | 981,562 | ||||||
Muenchener Rueckversicherungs AG | 5,700 | 1,262,256 | ||||||
Rational AG | 3,650 | 1,178,009 | ||||||
Rheinmetall AG | 13,300 | 940,487 | ||||||
RWE AG | 18,800 | 806,297 | ||||||
Stada Arzneimittel AG | 14,500 | 688,763 | ||||||
Volkswagen AG | 7,400 | 1,908,524 | ||||||
23,794,269 | ||||||||
Hong Kong — 0.9% | ||||||||
AIA Group Ltd. | 519,800 | 2,611,794 | ||||||
Cheung Kong Holdings Ltd. | 46,000 | 816,116 | ||||||
First Pacific Co. Ltd. | 528,000 | 589,390 | ||||||
Huabao International Holdings Ltd. | 1,286,000 | 761,571 | ||||||
Kingboard Chemical Holdings Ltd. | 216,000 | 445,332 | ||||||
Singamas Container Holdings Ltd. | 2,676,000 | 545,465 | ||||||
Skyworth Digital Holdings Ltd. | 1,072,000 | 511,799 | ||||||
Yue Yuen Industrial Holdings Ltd. | 220,500 | 737,780 | ||||||
7,019,247 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A93
GLOBAL PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
India — 0.6% | ||||||||
HDFC Bank Ltd., ADR | 36,811 | $ | 1,723,491 | |||||
Tata Motors Ltd., ADR | 82,878 | 3,237,215 | ||||||
4,960,706 | ||||||||
Indonesia — 0.4% | ||||||||
PT Bank Rakyat Indonesia (Persero) Tbk | 3,361,800 | 2,929,174 | ||||||
Ireland — 0.4% | ||||||||
Permanent TSB Group Holdings PLC* | 51,300 | 5,409 | ||||||
Smurfit Kappa Group PLC | 43,000 | 984,183 | ||||||
XL Group PLC | 63,002 | 2,062,055 | ||||||
3,051,647 | ||||||||
Israel — 0.3% | ||||||||
Bank Hapoalim BM | 128,000 | 739,326 | ||||||
Elbit Systems Ltd. | 11,400 | 701,280 | ||||||
Teva Pharmaceutical Industries Ltd. | 16,300 | 856,287 | ||||||
2,296,893 | ||||||||
Italy — 1.0% | ||||||||
Enel SpA | 242,800 | 1,412,280 | ||||||
Eni SpA | 70,800 | 1,936,357 | ||||||
Intesa Sanpaolo SpA | 1,186,031 | 3,659,296 | ||||||
Telecom Italia SpA* | 482,400 | 610,575 | ||||||
7,618,508 | ||||||||
Japan — 8.8% | ||||||||
Alfresa Holdings Corp. | 2,600 | 167,629 | ||||||
Alpine Electronics, Inc. | 22,700 | 320,141 | ||||||
Aoyama Trading Co. Ltd. | 39,100 | 1,070,764 | ||||||
Aozora Bank Ltd. | 278,000 | 914,008 | ||||||
Asahi Kasei Corp. | 76,000 | 581,820 | ||||||
Astellas Pharma, Inc. | 232,600 | 3,058,822 | ||||||
Autobacs Seven Co. Ltd. | 42,000 | 704,798 | ||||||
Bank of Yokohama Ltd. (The) | 96,000 | 552,864 | ||||||
Calsonic Kansei Corp. | 105,000 | 700,682 | ||||||
Daihatsu Motor Co. Ltd. | 54,600 | 971,678 | ||||||
Daikin Industries Ltd. | 42,300 | 2,669,670 | ||||||
Daito Trust Construction Co. Ltd. | 13,100 | 1,540,417 | ||||||
FANUC Corp. | 12,900 | 2,227,674 | ||||||
Fuji Heavy Industries Ltd. | 61,974 | 1,718,462 | ||||||
Fukuoka Financial Group, Inc. | 129,000 | 623,078 | ||||||
Heiwa Corp. | 24,700 | 548,797 | ||||||
Hogy Medical Co. Ltd | 11,400 | 618,165 | ||||||
Hoya Corp. | 54,300 | 1,805,357 | ||||||
ITOCHU Corp. | 76,300 | 979,523 | ||||||
JX Holdings, Inc. | 101,400 | 542,614 | ||||||
Kao Corp. | 51,900 | 2,044,017 | ||||||
KDDI Corp. | 17,200 | 1,049,434 | ||||||
Keihin Corp. | 37,200 | 591,528 | ||||||
Keyence Corp. | 5,700 | 2,492,540 | ||||||
KYORIN Holdings, Inc. | 37,400 | 769,577 | ||||||
Kyowa Exeo Corp. | 81,900 | 1,167,373 | ||||||
Marubeni Corp. | 146,000 | 1,068,570 | ||||||
Mitsubishi Corp. | 50,200 | 1,044,884 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 243,500 | 1,494,778 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Japan (continued) | ||||||||
Mitsui & Co. Ltd. | 99,700 | $ | 1,598,354 | |||||
Mizuho Financial Group, Inc. | 703,200 | 1,445,431 | ||||||
Nichii Gakkan Co. | 26,400 | 237,501 | ||||||
Nichirei Corp. | 93,600 | 449,625 | ||||||
Nippon Telegraph & Telephone Corp. | 37,000 | 2,306,131 | ||||||
Nishi-Nippon City Bank Ltd. (The) | 167,000 | 410,612 | ||||||
Nissan Motor Co. Ltd. | 71,300 | 675,172 | ||||||
NTT DOCOMO, Inc. | 90,000 | 1,536,373 | ||||||
ORIX Corp. | 207,700 | 3,443,832 | ||||||
Otsuka Holdings Co. Ltd. | 20,400 | 632,607 | ||||||
Resona Holdings, Inc. | 276,500 | 1,611,258 | ||||||
Sankyu, Inc. | 210,000 | 1,063,775 | ||||||
Secom Co. Ltd. | 45,300 | 2,765,359 | ||||||
Seino Holdings Co. Ltd. | 65,000 | 738,249 | ||||||
Shimachu Co. Ltd. | 30,700 | 733,651 | ||||||
SKY Perfect JSAT Holdings, Inc. | 67,500 | 395,810 | ||||||
SMC Corp. | 8,600 | 2,304,471 | ||||||
Start Today Co. Ltd. | 23,200 | 610,125 | ||||||
Sumitomo Corp. | 88,900 | 1,199,541 | ||||||
Sumitomo Metal Mining Co. Ltd. | 38,000 | 620,235 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 112,386 | 4,715,371 | ||||||
Toagosei Co. Ltd. | 147,000 | 661,871 | ||||||
Toho Holdings Co. Ltd. | 53,300 | 1,075,183 | ||||||
Tsumura & Co. | 22,900 | 540,349 | ||||||
UNY Group Holdings Co. Ltd. | 75,200 | 471,513 | ||||||
West Japan Railway Co. | 19,300 | 850,174 | ||||||
Yokohama Rubber Co. Ltd. (The) | 100,000 | 865,663 | ||||||
67,997,900 | ||||||||
Liechtenstein | ||||||||
Verwaltungs-und Privat-Bank AG | 2,100 | 188,143 | ||||||
Macau — 0.3% | ||||||||
MGM China Holdings Ltd. | 712,800 | 2,472,080 | ||||||
Netherlands — 1.7% | ||||||||
Aegon NV | 104,300 | 909,856 | ||||||
ING Groep NV, CVA* | 83,900 | 1,177,326 | ||||||
Koninklijke Ahold NV | 78,461 | 1,471,230 | ||||||
NXP Semiconductors NV* | 33,228 | 2,199,029 | ||||||
Royal Dutch Shell PLC, ADR | 30,100 | 2,479,337 | ||||||
Royal Dutch Shell PLC (Class B Stock) | 106,900 | 4,645,862 | ||||||
12,882,640 | ||||||||
New Zealand — 0.2% | ||||||||
Air New Zealand Ltd. | 737,900 | 1,343,571 | ||||||
Norway — 0.9% | ||||||||
DNB ASA | 54,100 | 988,477 | ||||||
Fred Olsen Energy ASA | 17,100 | 484,917 | ||||||
Marine Harvest ASA | 58,200 | 794,174 | ||||||
Statoil ASA | 50,100 | 1,540,017 | ||||||
Telenor ASA | 92,372 | 2,103,167 | ||||||
Yara International ASA | 23,200 | 1,162,298 | ||||||
7,073,050 | ||||||||
Singapore — 0.2% | ||||||||
DBS Group Holdings Ltd. | 119,000 | 1,600,514 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A94
GLOBAL PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
South Africa — 0.6% | ||||||||
Bidvest Group Ltd. | 79,539 | $ | 2,113,866 | |||||
Discovery Ltd. | 278,152 | 2,541,363 | ||||||
4,655,229 | ||||||||
South Korea — 0.3% | ||||||||
Samsung Electronics Co. Ltd. | 1,841 | 2,404,253 | ||||||
Spain — 1.1% | ||||||||
ACS Actividades de Construccion y Servicios SA | 11,500 | 526,358 | ||||||
Amadeus IT Holding SA (Class A Stock) | 58,167 | 2,397,836 | ||||||
Banco Santander SA | 94,600 | 988,500 | ||||||
Gas Natural SDG SA | 51,600 | 1,630,211 | ||||||
Mapfre SA | 271,567 | 1,082,057 | ||||||
Repsol SA | 57,200 | 1,508,175 | ||||||
Telefonica SA | 25,100 | 430,913 | ||||||
8,564,050 | ||||||||
Sweden — 0.8% |
| |||||||
Boliden AB | 45,100 | 654,297 | ||||||
NCC AB (Class B Stock) | 7,900 | 271,911 | ||||||
Nordea Bank AB | 86,400 | 1,218,063 | ||||||
Oriflame Cosmetics SA, SDR | 13,600 | 316,920 | ||||||
Securitas AB (Class B Stock) | 46,500 | 551,361 | ||||||
Swedbank AB (Class A Stock) | 40,800 | 1,080,675 | ||||||
Telefonaktiebolaget LM Ericsson (Class B Stock) | 56,700 | 684,979 | ||||||
TeliaSonera AB | 154,700 | 1,129,617 | ||||||
5,907,823 | ||||||||
Switzerland — 4.2% |
| |||||||
Actelion Ltd.* | 25,487 | 3,225,883 | ||||||
Adecco SA | 20,626 | 1,697,395 | ||||||
Baloise Holding AG | 11,400 | 1,342,316 | ||||||
Cie Financiere Richemont SA | 19,334 | 2,025,996 | ||||||
Credit Suisse Group AG* | 50,297 | 1,430,420 | ||||||
Geberit AG | 9,118 | 3,198,537 | ||||||
Georg Fischer AG* | 2,000 | 1,431,473 | ||||||
Helvetia Holding AG | 1,400 | 642,767 | ||||||
Novartis AG | 18,000 | 1,630,051 | ||||||
Partners Group Holding AG | 10,015 | 2,736,048 | ||||||
Roche Holding AG | 14,534 | 4,330,505 | ||||||
Sika AG | 412 | 1,683,270 | ||||||
Swiss Life Holding AG* | 7,800 | 1,848,926 | ||||||
Swiss Re AG* | 23,900 | 2,125,121 | ||||||
TE Connectivity Ltd. | 28,400 | 1,756,256 | ||||||
Zurich Insurance Group AG* | 5,800 | 1,746,881 | ||||||
32,851,845 | ||||||||
Taiwan — 0.4% |
| |||||||
MediaTek, Inc. | 176,000 | 2,977,091 | ||||||
United Kingdom — 7.6% |
| |||||||
3i Group PLC | 51,900 | 356,681 | ||||||
Alent PLC | 46,600 | 292,048 | ||||||
AMEC PLC | 24,800 | 514,966 | ||||||
Anglo American PLC | 47,800 | 1,171,494 | ||||||
ARM Holdings PLC | 53,376 | 802,604 | ||||||
AstraZeneca PLC | 51,200 | 3,809,141 | ||||||
Aviva PLC | 144,400 | 1,259,852 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
United Kingdom (continued) | ||||||||
Babcock International Group PLC | 154,351 | $ | 3,068,006 | |||||
BAE Systems PLC | 256,400 | 1,899,077 | ||||||
Barclays PLC | 287,100 | 1,045,836 | ||||||
Beazley PLC | 175,100 | 757,762 | ||||||
Bellway PLC | 25,400 | 680,416 | ||||||
Berkeley Group Holdings PLC | 45,133 | 1,865,432 | ||||||
BG Group PLC | 106,573 | 2,248,825 | ||||||
BP PLC | 395,000 | 3,478,322 | ||||||
BT Group PLC | 228,300 | 1,500,166 | ||||||
Capita PLC | 162,228 | 3,178,237 | ||||||
Carillion PLC | 145,900 | 826,796 | ||||||
Centrica PLC | 160,065 | 855,323 | ||||||
Compass Group PLC | 287,260 | 4,994,402 | ||||||
Debenhams PLC | 301,400 | 352,962 | ||||||
GlaxoSmithKline PLC | 23,400 | 623,026 | ||||||
Home Retail Group PLC | 107,200 | 323,911 | ||||||
HSBC Holdings PLC | 167,100 | 1,695,234 | ||||||
IMI PLC | 73,009 | 1,856,418 | ||||||
InterContinental Hotels Group PLC | 61,150 | 2,529,846 | ||||||
Intermediate Capital Group PLC | 108,800 | 726,209 | ||||||
J. Sainsbury PLC | 259,000 | 1,398,063 | ||||||
Johnson Matthey PLC | 49,444 | 2,621,777 | ||||||
Jupiter Fund Management PLC | 249,566 | 1,704,531 | ||||||
Legal & General Group PLC | 142,600 | 549,363 | ||||||
Mondi PLC | 39,100 | 709,853 | ||||||
Old Mutual PLC | 277,900 | 939,149 | ||||||
Petrofac Ltd. | 16,200 | 333,229 | ||||||
Premier Foods PLC* | 357,756 | 324,498 | ||||||
RSA Insurance Group PLC | 10,140 | 82,394 | ||||||
St. James’s Place PLC | 198,867 | 2,590,763 | ||||||
Tesco PLC | 272,000 | 1,321,964 | ||||||
Tullow Oil PLC | 131,860 | 1,923,663 | ||||||
Vesuvius PLC | 81,100 | 635,889 | ||||||
Wm Morrison Supermarkets PLC | 380,500 | 1,193,342 | ||||||
59,041,470 | ||||||||
United States — 51.5% |
| |||||||
3M Co. | 29,125 | 4,171,865 | ||||||
Accenture PLC (Class A Stock) | 59,998 | 4,850,238 | ||||||
AES Corp. | 179,500 | 2,791,225 | ||||||
Allstate Corp. (The) | 47,000 | 2,759,840 | ||||||
American Express Co. | 31,400 | 2,978,918 | ||||||
Ameriprise Financial, Inc. | 16,450 | 1,974,000 | ||||||
Amgen, Inc. | 18,750 | 2,219,437 | ||||||
Amphenol Corp. (Class A Stock) | 66,689 | 6,424,818 | ||||||
Anadarko Petroleum Corp. | 10,750 | 1,176,803 | ||||||
ANSYS, Inc.* | 39,660 | 3,007,021 | ||||||
Apache Corp. | 45,050 | 4,532,931 | ||||||
Apple, Inc. | 78,813 | 7,324,092 | ||||||
AT&T, Inc. | 84,200 | 2,977,312 | ||||||
Avon Products, Inc. | 85,500 | 1,249,155 | ||||||
Baker Hughes, Inc. | 30,050 | 2,237,222 | ||||||
Bank of America Corp. | 318,000 | 4,887,660 | ||||||
Boeing Co. (The) | 15,500 | 1,972,065 | ||||||
Carnival Corp. | 60,550 | 2,279,707 | ||||||
Celanese Corp., Series A | 80,650 | 5,184,182 | ||||||
Charles Schwab Corp. (The)(a) | 390,239 | 10,509,136 | ||||||
Chevron Corp. | 33,250 | 4,340,787 |
SEE NOTES TO FINANCIAL STATEMENTS.
A95
GLOBAL PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
United States (continued) | ||||||||
Cisco Systems, Inc. | 67,750 | $ | 1,683,588 | |||||
Cognizant Technology Solutions Corp. (Class A Stock)* | 75,764 | 3,705,617 | ||||||
Comcast Corp. (Class A Stock) | 10,400 | 558,272 | ||||||
Comcast Corp. (Special Class A Stock) | 16,700 | 890,611 | ||||||
CONSOL Energy, Inc. | 23,050 | 1,061,914 | ||||||
Core Laboratories NV | 39,017 | 6,518,180 | ||||||
Costco Wholesale Corp. | 37,668 | 4,337,847 | ||||||
Covance, Inc.* | 51,489 | 4,406,429 | ||||||
Covidien PLC | 30,050 | 2,709,909 | ||||||
Danaher Corp. | 90,464 | 7,122,231 | ||||||
DaVita HealthCare Partners, Inc.* | 82,521 | 5,967,919 | ||||||
Discovery Communications, Inc. | 57,943 | 4,304,006 | ||||||
Ecolab, Inc. | 60,327 | 6,716,808 | ||||||
Emerson Electric Co. | 18,300 | 1,214,388 | ||||||
Entergy Corp. | 32,300 | 2,651,507 | ||||||
EQT Corp. | 20,850 | 2,228,865 | ||||||
Estee Lauder Cos., Inc. (The) | 89,002 | 6,609,289 | ||||||
Exelon Corp. | 65,950 | 2,405,856 | ||||||
Express Scripts Holding Co.* | 120,429 | 8,349,343 | ||||||
Exxon Mobil Corp. | 40,100 | 4,037,268 | ||||||
Fastenal Co.(a) | 86,960 | 4,303,650 | ||||||
Fifth Third Bancorp | 65,700 | 1,402,695 | ||||||
Fluor Corp. | 73,240 | 5,632,156 | ||||||
FMC Technologies, Inc.* | 118,585 | 7,241,986 | ||||||
Fossil Group, Inc.* | 31,547 | 3,297,292 | ||||||
General Electric Co. | 203,200 | 5,340,096 | ||||||
General Motors Co. | 92,350 | 3,352,305 | ||||||
Genpact Ltd.* | 240,779 | 4,220,856 | ||||||
Gilead Sciences, Inc.* | 88,264 | 7,317,968 | ||||||
Goldman Sachs Group, Inc. (The) | 1,925 | 322,322 | ||||||
Google, Inc. (Class A Stock)* | 7,759 | 4,536,455 | ||||||
Google, Inc. (Class C Stock)* | 7,759 | 4,463,598 | ||||||
Hess Corp. | 28,900 | 2,857,921 | ||||||
Honeywell International, Inc. | 24,550 | 2,281,922 | ||||||
Illinois Tool Works, Inc. | 20,550 | 1,799,358 | ||||||
Ingersoll-Rand PLC | 20,500 | 1,281,455 | ||||||
International Paper Co. | 81,250 | 4,100,687 | ||||||
Intuitive Surgical, Inc.* | 16,307 | 6,715,223 | ||||||
Invesco Ltd. | 47,600 | 1,796,900 | ||||||
Johnson & Johnson | 39,850 | 4,169,107 | ||||||
JPMorgan Chase & Co. | 122,250 | 7,044,045 | ||||||
Kellogg Co. | 20,650 | 1,356,705 | ||||||
Kohl’s Corp. | 48,850 | 2,573,418 | ||||||
Lockheed Martin Corp. | 7,250 | 1,165,293 | ||||||
Lowe’s Cos., Inc. | 75,650 | 3,630,443 | ||||||
Marsh & McLennan Cos., Inc. | 76,300 | 3,953,866 | ||||||
Mead Johnson Nutrition Co. | 78,417 | 7,306,112 | ||||||
Merck & Co., Inc. | 86,900 | 5,027,165 | ||||||
MetLife, Inc. | 47,000 | 2,611,320 | ||||||
Microsoft Corp. | 100,100 | 4,174,170 | ||||||
Morgan Stanley | 125,600 | 4,060,648 | ||||||
National Instruments Corp. | 107,337 | 3,476,645 | ||||||
Navient Corp. | 61,950 | 1,097,135 | ||||||
NRG Energy, Inc. | 115,250 | 4,287,300 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
United States (continued) | ||||||||
PepsiCo, Inc. | 34,700 | $ | 3,100,098 | |||||
Pfizer, Inc. | 167,750 | 4,978,820 | ||||||
PG&E Corp. | 81,650 | 3,920,833 | ||||||
Philip Morris International, Inc. | 26,050 | 2,196,275 | ||||||
PNC Financial Services Group, Inc. | 23,250 | 2,070,412 | ||||||
Procter & Gamble Co. (The) | 42,900 | 3,371,511 | ||||||
QUALCOMM, Inc. | 106,125 | 8,405,100 | ||||||
Raytheon Co. | 21,250 | 1,960,313 | ||||||
Republic Services, Inc. | 28,100 | 1,066,957 | ||||||
salesforce.com, inc.* | 102,437 | 5,949,541 | ||||||
Schlumberger Ltd. | 77,841 | 9,181,346 | ||||||
SLM Corp. | 61,250 | 508,988 | ||||||
Southwest Airlines Co. | 183,950 | 4,940,897 | ||||||
Spectra Energy Corp. | 43,250 | 1,837,260 | ||||||
St. Joe Co. (The)* | 9,300 | 236,499 | ||||||
Starbucks Corp. | 96,997 | 7,505,628 | ||||||
Stericycle, Inc.* | 50,185 | 5,942,908 | ||||||
Texas Instruments, Inc. | 45,250 | 2,162,497 | ||||||
Thermo Fisher Scientific, Inc. | 31,600 | 3,728,800 | ||||||
Time Warner Cable, Inc. | 23,000 | 3,387,900 | ||||||
Time Warner, Inc. | 44,350 | 3,115,587 | ||||||
Union Pacific Corp. | 22,300 | 2,224,425 | ||||||
United Technologies Corp. | 32,300 | 3,729,035 | ||||||
U.S. Bancorp | 79,250 | 3,433,110 | ||||||
Visa, Inc. (Class A Stock)(a) | 36,846 | 7,763,821 | ||||||
Vulcan Materials Co. | 20,950 | 1,335,563 | ||||||
Wal-Mart Stores, Inc. | 4,200 | 315,294 | ||||||
Wells Fargo & Co. | 70,100 | 3,684,456 | ||||||
Western Union Co. (The)(a) | 101,150 | 1,753,941 | ||||||
Weyerhaeuser Co.(a) | 89,950 | 2,976,445 | ||||||
Whole Foods Market, Inc. | 156,628 | 6,050,540 | ||||||
398,361,278 | ||||||||
TOTAL LONG-TERM INVESTMENTS |
| 748,035,262 | ||||||
SHORT-TERM INVESTMENT — 4.4% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $33,871,356; includes $17,870,541 of cash collateral for securities on loan) (Note 4)(b)(c) | 33,871,356 | 33,871,356 | ||||||
TOTAL INVESTMENTS — 101.2% |
| 781,906,618 | ||||||
LIABILITIES IN EXCESS OF |
| (8,994,286 | ) | |||||
NET ASSETS — 100.0% |
| $ | 772,912,332 | |||||
The following abbreviations are used in the Portfolio descriptions:
ADR | American Depositary Receipt | |
CVA | Certificate Van Aandelen (Bearer) | |
SDR | Swedish Depositary Receipt |
SEE NOTES TO FINANCIAL STATEMENTS.
A96
GLOBAL PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
* | 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 $17,574,739; cash collateral of $17,870,541 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
(c) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
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 June 30, 2014 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Australia | $ | 512,815 | $ | 12,971,944 | $ | — | ||||||
Austria | — | 2,060,063 | — | |||||||||
Belgium | 252,181 | 1,454,845 | — | |||||||||
Brazil | 3,251,965 | — | — | |||||||||
Canada | 17,656,536 | — | — | |||||||||
China | 2,946,883 | 4,427,020 | — | |||||||||
Denmark | — | 5,028,931 | — | |||||||||
Finland | — | 4,424,332 | — | |||||||||
France | — | 33,056,366 | — | |||||||||
Germany | — | 23,794,269 | — | |||||||||
Hong Kong | — | 7,019,247 | — | |||||||||
India | 4,960,706 | — | — | |||||||||
Indonesia | — | 2,929,174 | — | |||||||||
Ireland | 2,067,464 | 984,183 | — | |||||||||
Israel | — | 2,296,893 | — | |||||||||
Italy | — | 7,618,508 | — | |||||||||
Japan | — | 67,997,900 | — | |||||||||
Liechtenstein | 188,143 | — | — | |||||||||
Macau | — | 2,472,080 | — | |||||||||
Netherlands | 4,678,366 | 8,204,274 | — | |||||||||
New Zealand | — | 1,343,571 | — | |||||||||
Norway | 1,162,298 | 5,910,752 | — | |||||||||
Singapore | — | 1,600,514 | — | |||||||||
South Africa | — | 4,655,229 | — | |||||||||
South Korea | — | 2,404,253 | — | |||||||||
Spain | — | 8,564,050 | — | |||||||||
Sweden | 316,920 | 5,590,903 | — | |||||||||
Switzerland | 1,756,256 | 31,095,589 | — | |||||||||
Taiwan | — | 2,977,091 | — | |||||||||
United Kingdom | 698,940 | 58,342,530 | — | |||||||||
United States | 398,361,278 | — | — | |||||||||
Affiliated Money Market Mutual Fund | 33,871,356 | — | — | |||||||||
Total | $ | 472,682,107 | $ | 309,224,511 | $ | — | ||||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2014 was as follows:
Banks | 7.6 | % | ||
Oil, Gas & Consumable Fuels | 6.9 | |||
Insurance | 5.2 | |||
Affiliated Money Market Mutual Fund (including 2.3% of collateral for securities on loan) | 4.4 | |||
Pharmaceuticals | 4.3 | |||
IT Services | 4.0 | |||
Capital Markets | 3.7 | |||
Energy Equipment & Services | 3.4 | |||
Food & Staples Retailing | 2.9 | |||
Chemicals | 2.7 | |||
Hotels, Restaurants & Leisure | 2.6 | |||
Industrial Conglomerates | 2.5 | |||
Automobiles | 2.2 | |||
Aerospace & Defense | 2.1 | |||
Biotechnology | 2.0 |
Commercial Services & Supplies | 2.0 | % | ||
Electronic Equipment, Instruments & Components | 2.0 | |||
Health Care Providers & Services | 2.0 | |||
Internet Software & Services | 2.0 | |||
Machinery | 1.9 | |||
Diversified Telecommunication Services | 1.7 | |||
Health Care Equipment & Supplies | 1.7 | |||
Media | 1.7 | |||
Software | 1.7 | |||
Trading Companies & Distributors | 1.6 | |||
Construction & Engineering | 1.5 | |||
Road & Rail | 1.5 | |||
Auto Components | 1.4 | |||
Communications Equipment | 1.4 | |||
Personal Products | 1.4 | |||
Semiconductors & Semiconductor Equipment | 1.4 |
SEE NOTES TO FINANCIAL STATEMENTS.
A97
GLOBAL PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Food Products | 1.3 | % | ||
Life Sciences Tools & Services | 1.1 | |||
Real Estate Management & Development | 1.1 | |||
Independent Power & Renewable Electricity Producers | 1.0 | |||
Diversified Financial Services | 0.9 | |||
Electric Utilities | 0.9 | |||
Technology Hardware, Storage & Peripherals | 0.9 | |||
Airlines | 0.8 | |||
Metals & Mining | 0.8 | |||
Multi-Utilities | 0.8 | |||
Specialty Retail | 0.8 | |||
Textiles, Apparel & Luxury Goods | 0.8 | |||
Building Products | 0.7 | |||
Consumer Finance | 0.6 | |||
Paper & Forest Products | 0.6 | |||
Professional Services | 0.6 | |||
Wireless Telecommunication Services | 0.5 | |||
Beverages | 0.4 |
Electrical Equipment | 0.4 | % | ||
Household Durables | 0.4 | |||
Household Products | 0.4 | |||
Real Estate Investment Trusts (REITs) | 0.4 | |||
Multiline Retail | 0.3 | |||
Tobacco | 0.3 | |||
Construction Materials | 0.2 | |||
Diversified Consumer Services | 0.2 | |||
Gas Utilities | 0.2 | |||
Containers & Packaging | 0.1 | |||
Internet & Catalog Retail | 0.1 | |||
Leisure Products | 0.1 | |||
Marine | 0.1 | |||
101.2 | ||||
Liabilities in excess of other assets | (1.2 | ) | ||
100.0 | % | |||
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with derivative instruments are equity risk and foreign exchange risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Operations is presented in the summary below:
The effects of derivative instruments on the Statement of Operations for the period ended June 30, 2014 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 | $ | 22,194 | $ | — | $ | 22,194 | ||||||
Foreign exchange contracts | — | 54,467 | 54,467 | |||||||||
Total | $ | 22,194 | $ | 54,467 | $ | 76,661 | ||||||
* | 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 | $ | (1,657 | ) | |
* | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A98
GLOBAL PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES (Unaudited)
June 30, 2014
ASSETS | ||||
Investments at value, including securities on loan of $17,574,739: | ||||
Unaffiliated investments (cost $577,516,540) | $ | 748,035,262 | ||
Affiliated investments (cost $33,871,356) | 33,871,356 | |||
Cash | 150,830 | |||
Foreign currency, at value (cost $5,377,593) | 5,434,276 | |||
Receivable for investments sold | 4,098,280 | |||
Tax reclaim receivable | 1,456,487 | |||
Dividends and interest receivable | 699,680 | |||
Receivable for Series shares sold | 5,241 | |||
Prepaid expenses | 892 | |||
Total Assets | 793,752,304 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 17,870,541 | |||
Payable for investments purchased | 2,190,202 | |||
Management fee payable | 468,082 | |||
Accrued expenses | 194,004 | |||
Payable for Series shares repurchased | 116,217 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 20,839,972 | |||
NET ASSETS | $ | 772,912,332 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 582,279,620 | ||
Retained earnings | 190,632,712 | |||
Net assets, June 30, 2014 | $ | 772,912,332 | ||
Net asset value and redemption price per share, $772,912,332 / 29,670,720 outstanding shares of beneficial interest | $ | 26.05 | ||
STATEMENT OF OPERATIONS (Unaudited)
Six Months Ended June 30, 2014
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $695,142) | $ | 10,430,407 | ||
Affiliated dividend income | 11,862 | |||
Affiliated income from securities loaned, net | 7,531 | |||
Total income | 10,449,800 | |||
EXPENSES | ||||
Management fee | 2,765,796 | |||
Custodian’s fees and expenses | 159,000 | |||
Shareholders’ reports | 51,000 | |||
Audit fee | 13,000 | |||
Trustees’ fees | 8,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Legal fees and expenses | 5,000 | |||
Insurance expenses | 5,000 | |||
Miscellaneous | 23,908 | |||
Total expenses | 3,036,704 | |||
Less: Management fee waiver | (36,877 | ) | ||
Net expenses | 2,999,827 | |||
NET INVESTMENT INCOME | 7,449,973 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 19,583,090 | |||
Foreign currency transactions | (2,422 | ) | ||
19,580,668 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 6,689,081 | |||
Foreign currencies | 18,974 | |||
6,708,055 | ||||
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 26,288,723 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 33,738,696 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS: | ||||||||
Net investment income | $ | 7,449,973 | $ | 8,723,957 | ||||
Net realized gain on investment and foreign currency transactions | 19,580,668 | 65,395,026 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 6,708,055 | 88,778,751 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 33,738,696 | 162,897,734 | ||||||
SERIES SHARE TRANSACTIONS: | ||||||||
Series shares sold [760,676 and 782,060 shares, respectively] | 19,058,408 | 17,649,736 | ||||||
Series shares repurchased [976,030 and 2,132,268 shares, respectively] | (24,428,500 | ) | (47,193,527 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (5,370,092 | ) | (29,543,791 | ) | ||||
TOTAL INCREASE | 28,368,604 | 133,353,943 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 744,543,728 | 611,189,785 | ||||||
End of period | $ | 772,912,332 | $ | 744,543,728 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A99
GOVERNMENT INCOME PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
LONG-TERM INVESTMENTS — 99.2% ASSET-BACKED SECURITIES — 2.4% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Collateralized Loan Obligations — 1.0% | ||||||||||||||
Magnetite VIII Ltd., Series 2014-8A, Class A, 144A | 1.708% | (b) | 04/15/26 | 260 | $ | 259,917 | ||||||||
Magnetite VIII Ltd., Series 2014-9A, Class A1, 144A | 1.700% | (b) | 07/25/26 | 3,000 | 2,998,470 | |||||||||
3,258,387 | ||||||||||||||
Collateralized Mortgage Obligations — 0.6% | ||||||||||||||
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2496, Class PM | 5.500% | 09/15/17 | 410 | 433,457 | ||||||||||
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2501, Class MC | 5.500% | 09/15/17 | 136 | 143,215 | ||||||||||
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2513, Class HC | 5.000% | 10/15/17 | 814 | 855,161 | ||||||||||
Federal National Mortgage Assoc., REMICS, Series 2002-18, Class PC | 5.500% | 04/25/17 | — | (a) | 5 | |||||||||
Federal National Mortgage Assoc., REMICS, Series 2002-57, Class ND | 5.500% | 09/25/17 | 161 | 168,573 | ||||||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-E, Class A1 | 0.772% | (b) | 10/25/28 | 60 | 59,319 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 2.467% | (b) | 02/25/34 | 233 | 236,853 | |||||||||
1,896,583 | ||||||||||||||
Non-Residential Mortgage-Backed Securities — 0.8% | ||||||||||||||
Citibank Credit Card Issuance Trust, Series 2007-A8, Class A8 | 5.650% | 09/20/19 | 1,500 | 1,703,667 | ||||||||||
Small Business Administration Participation Certificates, Series 1996-20J, Class 1 | 7.200% | 10/01/16 | 331 | 344,018 | ||||||||||
Small Business Administration Participation Certificates, Series 1997-20A, Class 1 | 7.150% | 01/01/17 | 300 | 312,251 | ||||||||||
Small Business Administration Participation Certificates, Series 1997-20G, Class 1 | 6.850% | 07/01/17 | 136 | 141,729 | ||||||||||
Small Business Administration Participation Certificates, Series 1998-20I, Class 1 | 6.000% | 09/01/18 | 364 | 383,573 | ||||||||||
2,885,238 | ||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 8,040,208 | ||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 17.1% | ||||||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A3 | 5.293% | 12/11/49 | 1,441 | 1,467,356 | ||||||||||
Cobalt CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4 | 5.223% | 08/15/48 | 1,919 | 2,049,222 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 1,000 | 959,137 | ||||||||||
Commercial Mortgage Trust, Series 2007-GG9, Class A2 | 5.381% | 03/10/39 | 1,105 | 1,122,303 | ||||||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM | 5.643% | (b) | 02/15/39 | 200 | 212,965 | |||||||||
Federal National Mortgage Assoc., Series 2012-M13, Class A2 | 2.377% | 05/25/22 | 1,850 | 1,814,314 | ||||||||||
Federal National Mortgage Assoc., Series 2012-M2, Class A2 | 2.717% | 02/25/22 | 200 | 201,920 | ||||||||||
Federal National Mortgage Assoc., Series 2014-M2, Class A2 | 3.513% | (b) | 12/25/23 | 2,650 | 2,792,106 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K003, Class A5 | 5.085% | 03/25/19 | 250 | 284,601 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K004, Class A2 | 4.186% | 08/25/19 | 4,825 | 5,329,526 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K005, Class A2 | 4.317% | 11/25/19 | 1,100 | 1,223,522 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O | 1.606% | (b) | 05/25/22 | 9,345 | 857,672 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O | 1.643% | (b) | 06/25/22 | 9,911 | 946,014 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K024, Class A2 | 2.573% | 09/25/22 | 2,000 | 1,987,924 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, I/O | 1.027% | (b) | 10/25/22 | 27,760 | 1,661,441 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K026, Class A2 | 2.510% | 11/25/22 | 3,600 | 3,555,299 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2 | 3.320% | (b) | 02/25/23 | 3,600 | 3,756,136 |
SEE NOTES TO FINANCIAL STATEMENTS.
A100
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K033, Class A2 | 3.060% | (b) | 07/25/23 | 3,600 | $ | 3,676,133 | ||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2 | 3.531% | (b) | 07/25/23 | 3,200 | 3,380,042 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K036, Class X1, I/O | 0.942% | (b) | 10/25/23 | 28,060 | 1,665,853 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O | 1.863% | (b) | 08/25/16 | 4,055 | 101,843 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O | 1.911% | (b) | 05/25/19 | 8,404 | 620,415 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O | 1.831% | (b) | 07/25/19 | 7,950 | 573,575 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A3 | 5.991% | (b) | 06/15/49 | 1,000 | 1,021,114 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 1,700 | 1,631,816 | ||||||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class A3 | 5.172% | 12/12/49 | 2,000 | 2,152,266 | ||||||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A2 | 5.590% | 09/12/49 | 177 | 176,752 | ||||||||||
Morgan Stanley Capital I Trust, Series 2005-IQ10, Class A4B | 5.284% | (b) | 09/15/42 | 800 | 837,194 | |||||||||
NCUA Guaranteed Notes, Series 2010-C1, Class A2 | 2.900% | 10/29/20 | 2,600 | 2,698,342 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | 2.792% | 12/10/45 | 1,300 | 1,271,630 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class AMFX | 5.179% | (b) | 07/15/42 | 1,800 | 1,878,516 | |||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class A5 | 5.416% | (b) | 01/15/45 | 1,500 | 1,597,080 | |||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A5 | 5.904% | (b) | 05/15/43 | 2,000 | 2,159,340 | |||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C27, Class A3 | 5.765% | (b) | 07/15/45 | 2,482 | 2,644,528 | |||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 58,307,897 | ||||||||||||
CORPORATE BONDS — 1.2% | ||||||||||||||
KFW, Gov’t. Gtd. Notes | 1.875% | 04/01/19 | 1,730 | 1,747,705 | ||||||||||
Province of British Columbia, Sr Unsec’d | 2.000% | 10/23/22 | 2,405 | 2,280,955 | ||||||||||
TOTAL CORPORATE BONDS |
| 4,028,660 | ||||||||||||
MUNICIPAL BONDS — 1.2% | ||||||||||||||
New York — 0.4% | ||||||||||||||
New York City Transitional Finance Authority, Series A1, Sub-Future Tax Secured Revenue | 5.000% | 11/01/42 | 620 | 686,724 | ||||||||||
Utility Debt Securitization Authority, Restructuring Bonds, Series TE | 5.000% | 12/15/41 | 650 | 732,388 | ||||||||||
1,419,112 | ||||||||||||||
Ohio — 0.3% | ||||||||||||||
Ohio State Turnpike Commission, Series A-1, Revenue Bonds(c) | 5.000% | 02/15/48 | 825 | 891,181 | ||||||||||
Pennsylvania — 0.3% | ||||||||||||||
Pennsylvania Turnpike Commission, Series C, Revenue Bonds | 5.000% | 12/01/43 | 1,055 | 1,151,807 | ||||||||||
Utah — 0.2% | ||||||||||||||
State of Utah, BABs, Series D | 4.554% | 07/01/24 | 630 | 705,386 | ||||||||||
TOTAL MUNICIPAL BONDS |
| 4,167,486 | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 44.6% | ||||||||||||||
Federal Home Loan Mortgage Corp. | 0.750% | 01/12/18 | 1,380 | 1,359,352 | ||||||||||
Federal Home Loan Mortgage Corp. | 1.750% | 05/30/19 | 980 | 983,679 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.354% | (b) | 05/01/34 | 464 | 493,424 | |||||||||
Federal Home Loan Mortgage Corp.(d) | 3.000% | TBA | 2,000 | 1,972,968 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 06/01/29 | 995 | 1,032,751 | ||||||||||
Federal Home Loan Mortgage Corp.(d) | 3.500% | TBA | 1,000 | 1,057,031 |
SEE NOTES TO FINANCIAL STATEMENTS.
A101
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Federal Home Loan Mortgage Corp.(d) | 3.500% | TBA | 4,000 | $ | 4,111,564 | |||||||||
Federal Home Loan Mortgage Corp.(d) | 4.000% | TBA | 2,500 | 2,648,438 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 06/01/26-12/01/40 | 3,987 | 4,238,930 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 09/01/39 | 3,983 | 4,313,041 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 06/01/33-05/01/34 | 1,888 | 2,103,118 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 05/01/37-05/01/38 | 1,270 | 1,415,485 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 09/01/34-08/01/39 | 878 | 987,848 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 09/01/32 | 110 | 124,389 | ||||||||||
Federal National Mortgage Assoc. | 0.875% | 05/21/18 | 580 | 570,265 | ||||||||||
Federal National Mortgage Assoc. | 1.750% | 06/20/19 | 2,710 | 2,716,249 | ||||||||||
Federal National Mortgage Assoc.(c) | 1.875% | 02/19/19 | 925 | 937,354 | ||||||||||
Federal National Mortgage Assoc. | 2.011% | (b) | 04/01/34 | 194 | 205,131 | |||||||||
Federal National Mortgage Assoc. | 2.175% | (b) | 07/01/33 | 1,306 | 1,379,831 | |||||||||
Federal National Mortgage Assoc. | 2.226% | (b) | 06/01/34 | 323 | 342,531 | |||||||||
Federal National Mortgage Assoc. | 2.240% | (b) | 04/01/34 | 341 | 361,659 | |||||||||
Federal National Mortgage Assoc. | 2.393% | (b) | 08/01/33 | 853 | 898,995 | |||||||||
Federal National Mortgage Assoc.(d) | 3.000% | TBA | 11,000 | 10,839,301 | ||||||||||
Federal National Mortgage Assoc.(d) | 3.000% | TBA | 4,000 | 4,155,000 | ||||||||||
Federal National Mortgage Assoc.(d) | 3.500% | TBA | 1,000 | 1,057,188 | ||||||||||
Federal National Mortgage Assoc.(d) | 3.500% | TBA | 4,000 | 4,105,000 | ||||||||||
Federal National Mortgage Assoc.(d) | 3.500% | TBA | 500 | 529,922 | ||||||||||
Federal National Mortgage Assoc.(d) | 3.500% | TBA | 19,000 | 19,558,125 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 06/01/39 | 586 | 604,447 | ||||||||||
Federal National Mortgage Assoc.(d) | 4.000% | TBA | 1,000 | 1,058,086 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 09/01/40 | 3,944 | 4,191,385 | ||||||||||
Federal National Mortgage Assoc.(d) | 4.500% | TBA | 4,500 | 4,873,361 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 05/01/40 | 4,567 | 4,985,751 | ||||||||||
Federal National Mortgage Assoc.(d) | 5.000% | TBA | 3,500 | 3,886,641 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 07/01/18-05/01/36 | 3,342 | 3,660,934 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 01/01/17-11/01/35 | 7,879 | 8,882,089 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/14-05/01/38 | 1,654 | 1,864,916 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 01/01/15-10/01/37 | 1,766 | 2,021,251 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 12/01/31-01/01/36 | 249 | 273,436 | ||||||||||
Federal National Mortgage Assoc. | 8.000% | 03/01/22-02/01/26 | 13 | 12,555 | ||||||||||
Federal National Mortgage Assoc. | 9.000% | 02/01/25-04/01/25 | 36 | 41,959 | ||||||||||
Financing Corp. Strips Principal, Series 4-P | 1.270% | (e) | 10/06/17 | 2,700 | 2,590,888 | |||||||||
Financing Corp. Strips Principal, Series D-P | 2.000% | (e) | 09/26/19 | 1,370 | 1,235,074 | |||||||||
Government National Mortgage Assoc.(d) | 3.000% | TBA | 3,000 | 3,022,500 | ||||||||||
Government National Mortgage Assoc.(d) | 3.500% | TBA | 5,000 | 5,208,204 | ||||||||||
Government National Mortgage Assoc.(d) | 3.500% | TBA | 3,500 | 3,639,727 | ||||||||||
Government National Mortgage Assoc.(d) | 4.000% | TBA | 5,000 | 5,335,937 | ||||||||||
Government National Mortgage Assoc.(d) | 4.000% | TBA | 4,000 | 4,280,625 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 06/15/40 | 680 | 727,754 | ||||||||||
Government National Mortgage Assoc.(d) | 4.500% | TBA | 2,000 | 2,173,437 | ||||||||||
Government National Mortgage Assoc.(d) | 4.500% | TBA | 500 | 545,957 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 02/20/41-03/20/41 | 3,234 | 3,542,635 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 07/15/33-04/15/34 | 957 | 1,060,457 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 03/15/34-03/15/36 | 818 | 923,722 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 07/15/32-08/15/32 | 268 | 310,718 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 03/15/23-08/15/28 | 580 | 642,643 | ||||||||||
Government National Mortgage Assoc. | 7.500% | 12/15/25-02/15/26 | 94 | 104,462 | ||||||||||
Government National Mortgage Assoc. | 8.500% | 09/15/24-04/15/25 | 180 | 205,141 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond (Jordan), U.S. Gov’t. Gtd. Notes | 1.945% | 06/23/19 | 590 | 593,127 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond (Jordan), U.S. Gov’t. Gtd. Notes | 2.503% | 10/30/20 | 1,840 | 1,863,508 | ||||||||||
Ukraine Government AID Bonds, U.S. Gov’t. Gtd. Notes | 1.844% | 05/16/19 | 2,150 | 2,147,575 | ||||||||||
Westpac Banking Corp., 144A(c) | 2.000% | 05/21/19 | 810 | 809,644 | ||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 151,819,115 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A102
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
U.S. TREASURY OBLIGATIONS — 32.7% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
U.S. Treasury Notes | 1.000% | 06/30/19-09/30/19 | 12,170 | $ | 11,765,105 | |||||||||||
U.S. Treasury Notes | 1.250% | 11/30/18 | 14,515 | 14,383,465 | ||||||||||||
U.S. Treasury Notes(f) | 1.500% | 12/31/18 | 22,635 | 22,647,381 | ||||||||||||
U.S. Treasury Notes | 1.500% | 01/31/19 | 1,870 | 1,868,831 | ||||||||||||
U.S. Treasury Notes(c) | 1.500% | 05/31/19 | 9,205 | 9,158,975 | ||||||||||||
U.S. Treasury Notes | 1.625% | 04/30/19 | 7,725 | 7,739,485 | ||||||||||||
U.S. Treasury Notes(c) | 2.000% | 02/28/21 | 4,260 | 4,242,696 | ||||||||||||
U.S. Treasury Notes | 2.000% | 05/31/21 | 10,650 | 10,570,125 | ||||||||||||
U.S. Treasury Notes(c) | 2.250% | 03/31/21 | 10,070 | 10,178,565 | ||||||||||||
U.S. Treasury Notes | 3.375% | 05/15/44 | 1,000 | 1,006,719 | ||||||||||||
U.S. Treasury Strips Coupon(g) | 0.000% | (e) | 08/15/21 | 3,370 | 2,870,913 | |||||||||||
U.S. Treasury Strips Coupon | 2.550% | (e) | 02/15/22 | 2,280 | 1,904,395 | |||||||||||
U.S. Treasury Strips Coupon | 2.600% | (e) | 05/15/22 | 8,820 | 7,301,531 | |||||||||||
U.S. Treasury Strips Coupon | 5.830% | (e) | 02/15/42 | 5,000 | 1,898,970 | |||||||||||
U.S. Treasury Strips Principal(c) | 6.060% | (e) | 02/15/44 | 7,565 | 2,680,998 | |||||||||||
U.S. Treasury Strips Principal(c) | 6.100% | (e) | 05/15/44 | 3,515 | 1,234,384 | |||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 111,452,538 | ||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 337,815,904 | ||||||||||||||
Shares | ||||||||||||||||
SHORT-TERM INVESTMENTS — 31.8% | ||||||||||||||||
AFFILIATED MUTUAL FUNDS — 31.7% | ||||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund |
| 5,577,944 | 52,209,557 | |||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund |
| 55,715,637 | 55,715,637 | |||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 107,925,194 | ||||||||||||||
Counterparty | Notional Amount (000)# | |||||||||||||||
OPTION PURCHASED* — 0.1% | ||||||||||||||||
Call Options | ||||||||||||||||
Interest Rate Swap Options, | ||||||||||||||||
Receive a fixed rate of 2.75% and pay a floating rate based on 3 month LIBOR, |
| Citigroup Global Markets | 23,600 | 297,043 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 108,222,237 | ||||||||||||||
TOTAL INVESTMENTS — 131.0% |
| 446,038,141 | ||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(j) — (31.0)% |
| (105,543,421 | ) | |||||||||||||
NET ASSETS — 100.0% |
| $ | 340,494,720 | |||||||||||||
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 | |
CMBS | Collateralized Mortgage-Backed Security | |
FHLMC | Federal Home Loan Mortgage Corp. | |
I/O | Interest Only | |
LIBOR | London Interbank Offered Rate |
SEE NOTES TO FINANCIAL STATEMENTS.
A103
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
P/O | Principal Only | |
REMICS | Real Estate Mortgage Investment Conduit Security | |
STRIPS | Separate Trading of Registered Interest and Principal of Securities | |
TBA | To Be Announced | |
TIPS | Treasury Inflation Protected Securities | |
USAID | United States Agency for International Development |
* | Non-income producing security. |
# | Principal or notional amount shown in U.S. dollars unless otherwise stated. |
(a) | Less than $500 par. |
(b) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2014. |
(c) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $19,106,237; cash collateral of $19,396,368 (included in liabilities) was received with which the Portfolio’s purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(d) | All or a partial principal amount of $81,000,000 represents a to-be announced (“TBA”) mortgage dollar roll. |
(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. |
(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: |
Futures contracts outstanding at June 30, 2014:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2014 | Unrealized Appreciation (Depreciation)(1) | |||||||||||||
Long Positions: | ||||||||||||||||||
80 | 2 Year U.S. Treasury Notes | Sep. 2014 | $ | 17,567,504 | $ | 17,567,500 | $ | (4 | ) | |||||||||
222 | 5 Year U.S. Treasury Notes | Sep. 2014 | 26,399,497 | 26,520,328 | 120,831 | |||||||||||||
140 | 10 Year U.S. Treasury Notes | Sep. 2014 | 17,521,202 | 17,524,063 | 2,861 | |||||||||||||
10 | U.S. Long Bond | Sep. 2014 | 1,357,202 | 1,371,875 | 14,673 | |||||||||||||
3 | U.S. Ultra Bond | Sep. 2014 | 449,067 | 449,813 | 746 | |||||||||||||
$ | 139,107 | |||||||||||||||||
(1) | A U.S. Treasury Security with a market value of $506,028 has been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2014. |
Interest rate swap agreements outstanding at June 30, 2014:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
| Over-the-counter swap agreements: |
| ||||||||||||||||||||||||
1,360 | 11/30/16 | 0.945% | 3 month LIBOR(1) | $ | (7,282 | ) | $ | — | $ | (7,282 | ) | Citigroup Global Markets | ||||||||||||||
4,700 | 02/15/19 | 1.656% | 3 month LIBOR(1) | (42,702 | ) | — | (42,702 | ) | Citigroup Global Markets | |||||||||||||||||
4,700 | 02/15/19 | 1.794% | 3 month LIBOR(2) | 74,356 | — | 74,356 | JPMorgan Chase | |||||||||||||||||||
$ | 24,372 | $ | — | $ | 24,372 | |||||||||||||||||||||
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2014 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Exchange-traded swap agreements: |
| ||||||||||||||||||||||
10 | 02/18/16 | 0.450% | 3 month LIBOR(2) | $ | 150 | $ | — | $ | (150 | ) | ||||||||||||||
100 | 02/21/16 | 0.429% | 3 month LIBOR(1) | 150 | 40 | (110 | ) | |||||||||||||||||
34,570 | 11/30/18 | 1.625% | 3 month LIBOR(1) | (112,438 | ) | (34,902 | ) | 77,536 | ||||||||||||||||
34,300 | 05/15/21 | 2.375% | 3 month LIBOR(1) | (263,053 | ) | (334,466 | ) | (71,413 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
A104
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Interest rate swap agreements outstanding at June 30, 2014 (continued):
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2014 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Exchange-traded swap agreements (continued): |
| ||||||||||||||||||||||
5,100 | 01/13/22 | 2.351% | 3 month LIBOR(1) | $ | 181 | $ | (29,314 | ) | $ | (29,495 | ) | |||||||||||||
4,850 | 01/13/22 | 2.480% | 3 month LIBOR(1) | 179 | (72,378 | ) | (72,557 | ) | ||||||||||||||||
1,710 | 01/22/22 | 2.467% | 3 month LIBOR(1) | 160 | (23,402 | ) | (23,562 | ) | ||||||||||||||||
8,720 | 12/20/23 | 2.932% | 3 month LIBOR(1) | 220 | (286,996 | ) | (287,216 | ) | ||||||||||||||||
$ | (374,451 | ) | $ | (781,418 | ) | $ | (406,967 | ) | ||||||||||||||||
U.S. Treasury obligations with a combined market value of $1,500,886 have been segregated with Citigroup Global Markets to cover requirements for open exchange-traded and interest rate swap contracts at June 30, 2014.
(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. |
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 June 30, 2014 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | $ | — | $ | 259,917 | $ | 2,998,470 | ||||||
Collateralized Mortgage Obligations | — | 1,896,583 | — | |||||||||
Non-Residential Mortgage-Backed Securities | — | 2,885,238 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 58,307,897 | — | |||||||||
Corporate Bonds | — | 4,028,660 | — | |||||||||
Municipal Bonds | — | 4,167,486 | — | |||||||||
U.S. Government Agency Obligations | — | 151,819,115 | — | |||||||||
U.S. Treasury Obligations | — | 111,452,538 | — | |||||||||
Affiliated Mutual Funds | 107,925,194 | — | — | |||||||||
Option Purchased | — | 297,043 | — | |||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 139,107 | — | — | |||||||||
Interest Rate Swap Agreements | — | (382,595 | ) | — | ||||||||
Total | $ | 108,064,301 | $ | 334,731,882 | $ | 2,998,470 | ||||||
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
Collateralized Loan Obligations | ||||
Balance as of 12/31/13 | $ | — | ||
Realized gain (loss) | — | |||
Change in unrealized appreciation (depreciation) | — | |||
Purchases | 2,998,470 | |||
Sales | — | |||
Accrued discount/premium | — | |||
Transfers into Level 3 | — | |||
Transfers out of Level 3 | — | |||
Balance as of 6/30/14 | $ | 2,998,470 | ||
SEE NOTES TO FINANCIAL STATEMENTS.
A105
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
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.
* | 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 June 30, 2014 was as follows:
U.S. Government Agency Obligations | 44.6 | % | ||
U.S. Treasury Obligations | 32.7 | |||
Affiliated Mutual Funds (including 5.7% of collateral received for securities on loan) | 31.7 | |||
Commercial Mortgage-Backed Securities | 17.1 | |||
Corporate Bonds | 1.2 | |||
Municipal Bonds | 1.2 | |||
Collateralized Loan Obligations | 1.0 |
Non-Residential Mortgage-Backed Securities | 0.8 | % | ||
Collateralized Mortgage Obligations | 0.6 | |||
Option Purchased | 0.1 | |||
131.0 | ||||
Liabilities in excess of other assets | (31.0 | ) | ||
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 June 30, 2014 as presented in the Statement of Assets and Liabilities:
Derivatives not designated as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Interest rate contracts | Due from broker — variation margin | $ | 216,647 | * | Due from broker — variation margin | $ | 484,507 | * | ||||
Interest rate contracts | Unrealized appreciation on swap agreements | 74,356 | Unrealized depreciation on swap agreements | 49,984 | ||||||||
Interest rate contracts | Unaffiliated investments | 297,043 | — | — | ||||||||
Total | $ | 588,046 | $ | 534,491 | ||||||||
* | 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. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2014 are as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not designated as hedging | Options Purchased* | Options Written | Futures | Swaps | Total | |||||||||||||||
Interest rate contracts | $ | (88,948 | ) | $ | 109,221 | $ | 38,120 | $ | (728,578 | ) | $ | (670,185 | ) | |||||||
* | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||
Derivatives not designated as hedging | Options Purchased* | Futures | Swaps | Total | ||||||||||||||
Interest rate contracts | $ | 81,598 | $ | 974,143 | $ | (1,698,597 | ) | $ | (642,856 | ) | ||||||||
* | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A106
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
For the six months ended June 30, 2014, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased | Options Written | Futures | ||
$301,840 | $58,132 | $92,691,143 |
Futures | Interest Rate Swaps | |
$21,654,456 | $128,297 |
Offsetting of over-the-counter (OTC) derivative assets and liabilities:
The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.
Counterparty | Gross amounts of recognized assets(1) | Gross amounts available for offset | Collateral Received(3) | Net Amount | ||||||||||||
Citigroup Global Markets | $ | 297,043 | $ | (49,984 | ) | $ | (295,469 | ) | $ | — | ||||||
JPMorgan Chase | 74,356 | — | — | 74,356 | ||||||||||||
$ | 371,399 | |||||||||||||||
Counterparty | Gross amounts of recognized liabilities(2) | Gross amounts available for offset | Collateral Pledged(3) | Net Amount | ||||||||||||
Citigroup Global Markets | $ | (49,984 | ) | $ | 49,984 | $ | — | $ | — | |||||||
JPMorgan Chase | — | — | — | — | ||||||||||||
$ | (49,984 | ) | ||||||||||||||
(1) | Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options. |
(2) | Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options. |
(3) | Amounts shown reflect actual collateral received or pledged by the Portfolio. Such amounts are applied up to 100% of the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A107
GOVERNMENT INCOME PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
June 30, 2014
ASSETS | ||||
Investments at value, including securities on loan of $19,106,237: | ||||
Unaffiliated investments (cost $332,773,198) | $ | 338,112,947 | ||
Affiliated investments (cost $110,628,003) | 107,925,194 | |||
Receivable for investments sold | 99,076,727 | |||
Dividends and interest receivable | 975,364 | |||
Unrealized appreciation on over-the-counter swap agreements | 74,356 | |||
Prepaid expenses | 492 | |||
Receivable for Series shares sold | 379 | |||
Total Assets | 546,165,459 | |||
LIABILITIES | ||||
Payable for investments purchased | 185,816,606 | |||
Payable to broker for collateral for securities on loan | 19,396,368 | |||
Accrued expenses | 133,873 | |||
Management fee payable | 111,851 | |||
Payable for Series shares repurchased | 94,264 | |||
Due to broker—variation margin | 50,942 | |||
Unrealized depreciation on over-the-counter swap agreements | 49,984 | |||
Payable to custodian | 15,925 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 205,670,739 | |||
NET ASSETS | $ | 340,494,720 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 334,191,487 | ||
Retained earnings | 6,303,233 | |||
Net assets, June 30, 2014 | $ | 340,494,720 | ||
Net asset value and redemption price per share $340,494,720 / 29,124,331 outstanding shares of beneficial interest | $ | 11.69 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2014
NET INVESTMENT INCOME | ||||
INCOME | ||||
Interest income | $ | 3,596,169 | ||
Affiliated dividend income | 354,570 | |||
Affiliated income from securities loaned, net | 27,729 | |||
Total income | 3,978,468 | |||
EXPENSES | ||||
Management fee | 678,052 | |||
Shareholders’ reports | 51,000 | |||
Custodian’s fees and expenses | 44,000 | |||
Audit fee | 15,000 | |||
Trustees’ fees | 7,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Legal fees and expenses | 5,000 | |||
Insurance expenses | 3,000 | |||
Commitment fee on syndicated credit agreement | 1,000 | |||
Miscellaneous | 6,155 | |||
Total expenses | 816,207 | |||
NET INVESTMENT INCOME | 3,162,261 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 4,540,452 | |||
Futures transactions | 38,120 | |||
Options written transactions | 109,221 | |||
Swap agreements transactions | (728,578 | ) | ||
3,959,215 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated: $277,884) | 6,385,178 | |||
Futures | 974,143 | |||
Swap agreements | (1,698,597 | ) | ||
5,660,724 | ||||
NET GAIN ON INVESTMENT TRANSACTIONS | 9,619,939 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 12,782,200 | ||
STATEMENT OF CHANGES IN NET ASSETS (Unaudited)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 3,162,261 | $ | 6,413,372 | ||||
Net realized gain (loss) on investment transactions | 3,959,215 | (2,399,719 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 5,660,724 | (12,420,842 | ) | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 12,782,200 | (8,407,189 | ) | |||||
DISTRIBUTIONS | (1,210,720 | ) | (17,437,795 | ) | ||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [170,622 and 353,311 shares, respectively] | 1,968,572 | 4,141,803 | ||||||
Series shares issued in reinvestment of distributions [105,280 and 1,506,594 shares, respectively] | 1,210,720 | 17,437,795 | ||||||
Series shares repurchased [1,330,710 and 3,202,620 shares, respectively] | (15,335,160 | ) | (37,560,842 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (12,155,868 | ) | (15,981,244 | ) | ||||
TOTAL DECREASE | (584,388 | ) | (41,826,228 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 341,079,108 | 382,905,336 | ||||||
End of period | $ | 340,494,720 | $ | 341,079,108 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A108
HIGH YIELD BOND PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
LONG-TERM INVESTMENTS — 96.5% ASSET-BACKED SECURITIES — 0.4% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Collateralized Loan Obligations — 0.4% | ||||||||||||||
Primus CLO II Ltd. (Cayman Islands), Series 2007-2A, Class A, 144A | 0.459% | (a) | 07/15/21 | 478 | $ | 468,440 | ||||||||
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, | 4.476% | (a) | 08/17/22 | 13,000 | 12,924,570 | |||||||||
13,393,010 | ||||||||||||||
Residential Mortgage-Backed Securities | ||||||||||||||
Argent Securities, Inc./Asset-Backed Pass-Through Certificate, | 1.202% | (a) | 12/25/33 | 106 | 101,756 | |||||||||
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, | 4.214% | (a) | 01/25/37 | 536 | 291,855 | |||||||||
Morgan Stanley Mortgage Loan Trust, Series 2006-12XS, Class A6A | 5.726% | 10/25/36 | 360 | 227,165 | ||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-9XS, Class 2A1 | 0.452% | (a) | 06/25/35 | 281 | 243,452 | |||||||||
864,228 | ||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 14,257,238 | ||||||||||||
BANK LOANS(a) — 2.0% | ||||||||||||||
Capital Goods — 0.5% | ||||||||||||||
CPM Acquisition Corp. | 10.250% | 03/01/18 | 7,750 | 7,846,875 | ||||||||||
Neff Rental LLC | 7.250% | 06/09/21 | 5,300 | 5,273,500 | ||||||||||
Polymer Group, Inc. | 5.250% | 12/19/19 | 2,985 | 2,986,866 | ||||||||||
16,107,241 | ||||||||||||||
Energy – Other — 0.1% | ||||||||||||||
Fieldwood Energy LLC | 8.375% | 09/30/20 | 3,000 | 3,094,821 | ||||||||||
Gaming — 0.2% | ||||||||||||||
CCM Merger, Inc. Private Placement | 5.000% | 03/01/17 | 4,422 | 4,416,692 | ||||||||||
Golden Nugget, Inc. | 5.500% | 11/21/19 | 1,493 | 1,522,350 | ||||||||||
Yonkers Racing Corp. | 8.750% | 08/20/20 | 2,500 | 2,450,000 | ||||||||||
8,389,042 | ||||||||||||||
Healthcare & Pharmaceutical | ||||||||||||||
Radnet Mgmt., Inc. | 8.000% | 03/25/21 | 1,000 | 1,002,500 | ||||||||||
Lodging — 0.1% | ||||||||||||||
Four Seasons Holdings, Inc. (Canada) | 6.250% | 12/28/20 | 1,750 | 1,776,250 | ||||||||||
Media & Entertainment — 0.1% | ||||||||||||||
Clear Channel Communications, Inc. | 3.874% | 01/29/16 | 4,000 | 3,968,124 | ||||||||||
Technology — 1.0% | ||||||||||||||
Electronic Funds Source | 8.500% | 05/29/22 | 7,150 | 7,132,125 | ||||||||||
Evergreen Skills Lux Sarl (Luxembourg) | 7.750% | 04/28/22 | 16,200 | 16,071,745 | ||||||||||
Kronos, Inc. | 9.750% | 04/30/20 | 7,956 | 8,201,512 | ||||||||||
31,405,382 | ||||||||||||||
TOTAL BANK LOANS |
| 65,743,360 | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.1% | ||||||||||||||
Adjustable Rate Mortgage Trust, Series 2005-7, Class 1A1 | 2.471% | (a) | 10/25/35 | 95 | 83,635 | |||||||||
American Home Mortgage Assets Trust, Series 2006-4, Class 1A12 | 0.362% | (a) | 10/25/46 | 42 | 27,565 | |||||||||
American Home Mortgage Assets Trust, Series 2006-5, Class A1 | 1.043% | (a) | 11/25/46 | 361 | 201,430 | |||||||||
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1 | 1.822% | (a) | 09/25/45 | 21 | 19,764 | |||||||||
Banc of America Alternative Loan Trust, Series 2005-4, Class CB6 | 0.552% | (a) | 05/25/35 | 44 | 33,278 | |||||||||
Banc of America Funding Trust, Series 2006-B, Class 2A1 | 2.618% | (a) | 03/20/36 | 124 | 107,478 | |||||||||
Bear Stearns ARM Trust, Series 2005-10, Class A2 | 2.663% | (a) | 10/25/35 | 49 | 48,881 | |||||||||
Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA | 2.764% | (a) | 09/25/37 | 81 | 67,771 |
SEE NOTES TO FINANCIAL STATEMENTS.
A109
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Countrywide Alternative Loan Trust, Series 2005-43, Class 4A3 | 5.265% | (a) | 10/25/35 | 32 | $ | 26,211 | ||||||||
Countrywide Alternative Loan Trust, Series 2006-HY13, Class 4A1 | 2.665% | (a) | 02/25/37 | 38 | 33,458 | |||||||||
Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A | 0.363% | (a) | 07/20/46 | 34 | 23,124 | |||||||||
Countrywide Alternative Loan Trust, Series 2006-OA11, Class A1B | 0.342% | (a) | 09/25/46 | 46 | 37,528 | |||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-2, Class 2A1 | 0.472% | (a) | 03/25/35 | 107 | 96,515 | |||||||||
First Horizon Alternative Mortgage Securities Trust, Series 2006-FA2, Class 1A5 | 6.000% | 05/25/36 | 69 | 58,843 | ||||||||||
HarborView Mortgage Loan Trust, Series 2006-1, Class 2A1A | 0.395% | (a) | 03/19/36 | 321 | 236,264 | |||||||||
HarborView Mortgage Loan Trust, Series 2006-5, Class 2A1A | 0.335% | (a) | 07/19/46 | 48 | 32,456 | |||||||||
HarborView Mortgage Loan Trust, Series 2006-7, Class 2A1B | 0.405% | (a) | 09/19/46 | 74 | 7,913 | |||||||||
IndyMac INDX Mortgage Loan Trust, Series 2006-AR12, Class A1 | 0.342% | (a) | 09/25/46 | 37 | 31,996 | |||||||||
JP Morgan Mortgage Trust, Series 2007-S3, Class 1A96 | 6.000% | 08/25/37 | 33 | 29,060 | ||||||||||
MASTR Adjustable Rate Mortgages Trust, Series 2006-OA1, Class 1A1 | 0.362% | (a) | 04/25/46 | 26 | 19,619 | |||||||||
Residential Accredit Loans, Inc., Series 2006-QA2, Class 3A1 | 5.500% | 02/25/36 | 203 | 160,181 | ||||||||||
Residential Accredit Loans, Inc., Series 2007-QS4, Class 2A1 | 0.482% | (a) | 03/25/37 | 165 | 60,710 | |||||||||
Residential Asset Securitization Trust, Series 2007-A5, Class 2A3 | 6.000% | 05/25/37 | 66 | 58,381 | ||||||||||
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 2A1 | 0.342% | (a) | 07/25/46 | 50 | 42,265 | |||||||||
SunTrust Alternative Loan Trust, Series 2006-1F, Class 3A | 0.502% | (a) | 04/25/36 | 114 | 40,349 | |||||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 2A3 | 2.311% | (a) | 02/25/37 | 33 | 28,200 | |||||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 4A1 | 2.380% | (a) | 02/25/37 | 42 | 36,880 | |||||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-OA3, Class 2A1A | 0.883% | (a) | 04/25/47 | 45 | 41,064 | |||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
| 1,690,819 | ||||||||||||
CORPORATE BONDS — 93.9% | ||||||||||||||
Aerospace & Defense — 2.0% | ||||||||||||||
Alliant Techsystems, Inc., Gtd. Notes(d) | 6.875% | 09/15/20 | 2,475 | 2,673,000 | ||||||||||
Alliant Techsystems, Inc., Gtd. Notes, 144A | 5.250% | 10/01/21 | 1,300 | 1,342,250 | ||||||||||
B/E Aerospace, Inc., Sr. Unsec’d. Notes | 5.250% | 04/01/22 | 5,500 | 5,988,125 | ||||||||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(d) | 5.750% | 03/15/22 | 3,275 | 3,356,875 | ||||||||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(d) | 6.000% | 10/15/22 | 3,425 | 3,510,625 | ||||||||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(d) | 6.125% | 01/15/23 | 7,800 | 8,034,000 | ||||||||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(d) | 7.750% | 03/15/20 | 2,476 | 2,798,251 | ||||||||||
Esterline Technologies Corp., Gtd. Notes | 7.000% | 08/01/20 | 5,400 | 5,778,000 | ||||||||||
LMI Aerospace, Inc., Sec’d. Notes, 144A(d) | 7.375% | 07/15/19 | 4,225 | 4,320,063 | ||||||||||
Sequa Corp., Gtd. Notes, 144A Private Placement | 7.000% | 12/15/17 | 8,659 | 8,485,820 | ||||||||||
Spirit AeroSystems, Inc., Gtd. Notes, 144A | 5.250% | 03/15/22 | 1,215 | 1,233,225 | ||||||||||
TransDigm, Inc., Gtd. Notes(d) | 7.500% | 07/15/21 | 5,245 | 5,808,838 | ||||||||||
TransDigm, Inc., Gtd. Notes, 144A | 6.000% | 07/15/22 | 6,150 | 6,319,125 | ||||||||||
TransDigm, Inc., Gtd. Notes, 144A | 6.500% | 07/15/24 | 6,150 | 6,403,687 | ||||||||||
Triumph Group, Inc., Gtd. Notes, 144A | 5.250% | 06/01/22 | 800 | 802,000 | ||||||||||
�� | 66,853,884 | |||||||||||||
Automotive — 2.7% | ||||||||||||||
American Axle & Manufacturing, Inc., Gtd. Notes(d) | 6.250% | 03/15/21 | 5,575 | 5,993,125 | ||||||||||
American Axle & Manufacturing, Inc., Gtd. Notes(d) | 6.625% | 10/15/22 | 5,000 | 5,475,000 | ||||||||||
American Axle & Manufacturing, Inc., Gtd. Notes | 7.750% | 11/15/19 | 675 | 777,938 | ||||||||||
Chrysler Group LLC/CG Co.-Issuer, Inc., Sec’d. Notes(d) | 8.000% | 06/15/19 | 15,700 | 17,054,125 | ||||||||||
Chrysler Group LLC/CG Co.-Issuer, Inc., Sec’d. Notes(d) | 8.250% | 06/15/21 | 13,000 | 14,690,000 | ||||||||||
Dana Holding Corp., Sr. Unsec’d. Notes | 5.375% | 09/15/21 | 4,050 | 4,232,250 | ||||||||||
Dana Holding Corp., Sr. Unsec’d. Notes(d) | 6.750% | 02/15/21 | 7,059 | 7,614,896 | ||||||||||
General Motors Co., Sr. Unsec’d. Notes, 144A | 3.500% | 10/02/18 | 2,000 | 2,045,000 | ||||||||||
General Motors Co., Sr. Unsec’d. Notes, 144A | 4.875% | 10/02/23 | 6,250 | 6,578,125 |
SEE NOTES TO FINANCIAL STATEMENTS.
A110
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Automotive (continued) | ||||||||||||||
General Motors Financial Co., Inc., Gtd. Notes | 3.250% | 05/15/18 | 1,150 | $ | 1,167,250 | |||||||||
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A | 5.625% | 02/01/23 | 650 | 690,625 | ||||||||||
Lear Corp., Gtd. Notes(d) | 4.750% | 01/15/23 | 775 | 771,125 | ||||||||||
Lear Corp., Gtd. Notes(d) | 8.125% | 03/15/20 | 6,057 | 6,518,846 | ||||||||||
Meritor, Inc., Gtd. Notes | 6.250% | 02/15/24 | 3,450 | 3,613,875 | ||||||||||
Meritor, Inc., Gtd. Notes(d) | 6.750% | 06/15/21 | 4,225 | 4,544,410 | ||||||||||
Tenneco, Inc., Gtd. Notes | 6.875% | 12/15/20 | 1,525 | 1,660,344 | ||||||||||
Titan International, Inc., Sr. Sec’d. Notes, 144A | 6.875% | 10/01/20 | 5,350 | 5,430,250 | ||||||||||
88,857,184 | ||||||||||||||
Banking — 1.2% | ||||||||||||||
Ally Financial, Inc., Gtd. Notes | 8.000% | 03/15/20 | 8,480 | 10,303,200 | ||||||||||
Bank of America Corp., Series K, Jr. Sub. Notes | 8.000% | (a) | 12/29/49 | 730 | 807,931 | |||||||||
Bank of America Corp., Series U, Jr. Sub. Notes(d) | 5.200% | (a) | 12/31/49 | 2,925 | 2,800,688 | |||||||||
Citigroup, Inc., Series D, Jr. Sub. Notes | 5.350% | (a) | 12/31/49 | 2,875 | 2,758,203 | |||||||||
Goldman Sachs Group, Inc. (The), Series L, Jr. Sub. Notes | 5.700% | (a) | 12/31/49 | 6,100 | 6,302,062 | |||||||||
HBOS PLC (United Kingdom), Sub. Notes, GMTN, 144A | 6.750% | 05/21/18 | 400 | 460,812 | ||||||||||
JPMorgan Chase & Co., Series Q, Jr. Sub. Notes | 5.150% | (a) | 12/31/49 | 4,150 | 3,978,813 | |||||||||
Morgan Stanley, Series H, Jr. Sub. Notes | 5.450% | (a) | 12/31/49 | 4,975 | 5,065,744 | |||||||||
Wells Fargo & Co., Series S, Jr. Sub. Notes(d) | 5.900% | 12/31/49 | 4,975 | 5,277,231 | ||||||||||
37,754,684 | ||||||||||||||
Building Materials & Construction — 3.1% | ||||||||||||||
Beazer Homes USA, Inc., Gtd. Notes(d) | 7.250% | 02/01/23 | 1,425 | 1,476,656 | ||||||||||
Beazer Homes USA, Inc., Gtd. Notes | 7.500% | 09/15/21 | 7,625 | 8,082,500 | ||||||||||
Beazer Homes USA, Inc., Gtd. Notes(d) | 9.125% | 05/15/19 | 5,000 | 5,331,250 | ||||||||||
Beazer Homes USA, Inc., Gtd. Notes, 144A(d) | 5.750% | 06/15/19 | 4,375 | 4,375,000 | ||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A(d) | 6.125% | 07/01/22 | 5,175 | 5,382,000 | ||||||||||
Building Materials Corp. of America, Sr. Sec’d. Notes, 144A | 7.000% | 02/15/20 | 5,825 | 6,174,500 | ||||||||||
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A Private Placement | 6.750% | 05/01/21 | 2,000 | 2,155,000 | ||||||||||
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A Private Placement | 6.875% | 08/15/18 | 1,500 | 1,555,500 | ||||||||||
CEMEX Espana SA Luxembourg (Mexico), Sr. Sec’d. Notes, 144A | 9.250% | 05/12/20 | 2,000 | 2,187,500 | ||||||||||
Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A | 9.375% | 10/12/22 | 5,975 | 7,028,094 | ||||||||||
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A | 9.000% | 01/11/18 | 1,625 | 1,746,875 | ||||||||||
D.R. Horton, Inc., Gtd. Notes(d) | 4.750% | 02/15/23 | 8,825 | 8,802,938 | ||||||||||
D.R. Horton, Inc., Gtd. Notes | 6.500% | 04/15/16 | 900 | 974,250 | ||||||||||
K. Hovnanian Enterprises, Inc., Sr. Sec’d. Notes, 144A(d) | 7.250% | 10/15/20 | 8,300 | 9,005,500 | ||||||||||
KB Home, Gtd. Notes(d) | 7.000% | 12/15/21 | 2,725 | 2,970,250 | ||||||||||
KB Home, Gtd. Notes(d) | 7.500% | 09/15/22 | 5,425 | 6,021,750 | ||||||||||
Masco Corp., Sr. Unsec’d. Notes | 5.950% | 03/15/22 | 1,675 | 1,850,875 | ||||||||||
Standard Pacific Corp., Gtd. Notes(d) | 6.250% | 12/15/21 | 800 | 854,000 | ||||||||||
Standard Pacific Corp., Gtd. Notes | 8.375% | 05/15/18 | 925 | 1,091,500 | ||||||||||
Standard Pacific Corp., Gtd. Notes(d) | 8.375% | 01/15/21 | 525 | 622,125 | ||||||||||
Standard Pacific Corp., Gtd. Notes(d) | 10.750% | 09/15/16 | 3,875 | 4,587,031 | ||||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A | 5.625% | 03/01/24 | 2,150 | 2,128,500 | ||||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A(d) | 7.750% | 04/15/20 | 5,892 | 6,437,010 | ||||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A | 7.750% | 04/15/20 | 1,762 | 1,924,985 | ||||||||||
Toll Brothers Finance Corp., Gtd. Notes | 4.000% | 12/31/18 | 825 | 849,750 | ||||||||||
WCI Communities, Inc., Gtd. Notes | 6.875% | 08/15/21 | 8,570 | 8,827,100 | ||||||||||
102,442,439 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A111
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Cable — 3.9% | ||||||||||||||
Cablevision Systems Corp., Sr. Unsec’d. Notes(d) | 7.750% | 04/15/18 | 1,375 | $ | 1,553,750 | |||||||||
Cablevision Systems Corp., Sr. Unsec’d. Notes | 8.625% | 09/15/17 | 11,725 | 13,644,969 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(d) | 5.125% | 02/15/23 | 568 | 572,970 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(d) | 5.250% | 03/15/21 | 635 | 650,875 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(d) | 5.250% | 09/30/22 | 2,200 | 2,233,000 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(d) | 5.750% | 09/01/23 | 7,625 | 7,901,406 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(d) | 5.750% | 01/15/24 | 12,950 | 13,241,375 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes | 8.125% | 04/30/20 | 1,600 | 1,732,000 | ||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A(d) | 5.125% | 12/15/21 | 8,505 | 8,473,106 | ||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A | 6.375% | 09/15/20 | 5,375 | 5,710,937 | ||||||||||
CSC Holdings LLC, Sr. Unsec’d. Notes | 6.750% | 11/15/21 | 4,530 | 4,983,000 | ||||||||||
CSC Holdings LLC, Sr. Unsec’d. Notes | 7.875% | 02/15/18 | 850 | 980,688 | ||||||||||
DISH DBS Corp., Gtd. Notes | 5.000% | 03/15/23 | 2,100 | 2,139,375 | ||||||||||
DISH DBS Corp., Gtd. Notes(d) | 5.875% | 07/15/22 | 3,275 | 3,553,375 | ||||||||||
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes(d) | 5.500% | 08/01/23 | 13,000 | 12,935,000 | ||||||||||
Mediacom Broadband LLC/Mediacom Broadband Corp., Gtd. Notes, 144A | 5.500% | 04/15/21 | 7,500 | 7,593,750 | ||||||||||
Nara Cable Funding Ltd. (Spain), Sr. Sec’d. Notes, 144A | 8.875% | 12/01/18 | 5,995 | 6,399,662 | ||||||||||
Numericable Group SA (France), Sr. Sec’d. Notes, 144A | 6.000% | 05/15/22 | 5,700 | 5,928,000 | ||||||||||
ONO Finance II PLC (Spain), Gtd. Notes, 144A | 10.875% | 07/15/19 | 1,625 | 1,775,313 | ||||||||||
Quebecor Media, Inc. (Canada), Sr. Unsec’d. Notes(d) | 5.750% | 01/15/23 | 11,408 | 11,721,720 | ||||||||||
UPCB Finance VI Ltd. (Netherlands), Sr. Sec’d. Notes, 144A | 6.875% | 01/15/22 | 3,630 | 3,965,775 | ||||||||||
Videotron Ltd. (Canada), Gtd. Notes | 5.000% | 07/15/22 | 3,825 | 3,930,188 | ||||||||||
Virgin Media Secured Finance PLC (United Kingdom), Sr. Sec’d. Notes, 144A(d) | 5.375% | 04/15/21 | 4,000 | 4,200,000 | ||||||||||
VTR Finance BV (Chile), Sr. Sec’d. Notes, 144A | 6.875% | 01/15/24 | 2,525 | 2,711,188 | ||||||||||
128,531,422 | ||||||||||||||
Capital Goods — 6.2% | ||||||||||||||
ADS Waste Holdings, Inc., Gtd. Notes | 8.250% | 10/01/20 | 3,675 | 3,959,813 | ||||||||||
Aguila 3 SA (Luxembourg), Sr. Sec’d. Notes, 144A | 7.875% | 01/31/18 | 1,425 | 1,503,375 | ||||||||||
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A | 6.500% | 07/15/22 | 8,925 | 9,750,562 | ||||||||||
Belden, Inc., Gtd. Notes, 144A | 5.500% | 09/01/22 | 4,025 | 4,165,875 | ||||||||||
BlueLine Rental Finance Corp., Sec’d. Notes, 144A Private Placement | 7.000% | 02/01/19 | 3,300 | 3,522,750 | ||||||||||
Case New Holland Industrial, Inc., Gtd. Notes | 7.875% | 12/01/17 | 4,150 | 4,834,750 | ||||||||||
Clean Harbors, Inc., Gtd. Notes | 5.250% | 08/01/20 | 6,850 | 7,064,062 | ||||||||||
Cleaver-Brooks, Inc., Sr. Sec’d. Notes, 144A Private Placement | 8.750% | 12/15/19 | 4,975 | 5,565,781 | ||||||||||
CNH Industrial Capital LLC, Gtd. Notes | 3.625% | 04/15/18 | 2,950 | 3,012,688 | ||||||||||
CPG Merger Sub LLC, Gtd. Notes, 144A(d) | 8.000% | 10/01/21 | 475 | 499,938 | ||||||||||
Dycom Investments, Inc., Gtd. Notes | 7.125% | 01/15/21 | 5,225 | 5,616,875 | ||||||||||
Gardner Denver, Inc., Sr. Unsec’d. Notes, 144A Private Placement | 6.875% | 08/15/21 | 2,945 | 3,092,250 | ||||||||||
Gates Global LLC/Gates Global Co., Sr. Unsec’d. Notes, 144A | 6.000% | 07/15/22 | 9,350 | 9,350,000 | ||||||||||
General Cable Corp., Gtd. Notes, 144A | 6.500% | (a) | 10/01/22 | 3,225 | 3,281,438 | |||||||||
Griffon Corp., Gtd. Notes | 5.250% | 03/01/22 | 11,700 | 11,626,875 | ||||||||||
H&E Equipment Services, Inc., Gtd. Notes | 7.000% | 09/01/22 | 10,595 | 11,707,475 | ||||||||||
International Wire Group Holdings, Inc., Sec’d. Notes, 144A | 8.500% | 10/15/17 | 6,250 | 6,781,250 | ||||||||||
Jurassic Holdings III, Inc., Sec’d. Notes, 144A | 6.875% | 02/15/21 | 6,125 | 6,247,500 | ||||||||||
Laureate Education, Inc., Gtd. Notes, 144A | 9.250% | 09/01/19 | 12,425 | 12,797,750 | ||||||||||
Manitowoc Co., Inc. (The), Gtd. Notes(d) | 5.875% | 10/15/22 | 2,550 | 2,779,500 | ||||||||||
Modular Space Corp., Sec’d. Notes, 144A Private Placement | 10.250% | 01/31/19 | 3,050 | 3,210,125 | ||||||||||
NES Rentals Holdings, Inc., Sec’d. Notes, 144A Private Placement | 7.875% | 05/01/18 | 4,025 | 4,266,500 | ||||||||||
Rexel SA (France), Sr. Unsec’d. Notes, 144A | 6.125% | 12/15/19 | 3,600 | 3,807,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
A112
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
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 | 1,450 | $ | 1,537,000 | |||||||||
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., Sr. Unsec’d. Notes, 144A Private Placement | 6.375% | 05/01/22 | 5,750 | 5,821,875 | ||||||||||
Terex Corp., Gtd. Notes(d) | 6.000% | 05/15/21 | 8,889 | 9,577,897 | ||||||||||
Terex Corp., Gtd. Notes(d) | 6.500% | 04/01/20 | 2,175 | 2,360,963 | ||||||||||
Unifrax I LLC/Unifrax Holding Co., Gtd. Notes, 144A Private Placement | 7.500% | 02/15/19 | 3,000 | 3,135,000 | ||||||||||
United Rentals North America, Inc., Gtd. Notes | 5.750% | 11/15/24 | 5,150 | 5,349,562 | ||||||||||
United Rentals North America, Inc., Gtd. Notes | 6.125% | 06/15/23 | 2,600 | 2,788,500 | ||||||||||
United Rentals North America, Inc., Gtd. Notes | 7.375% | 05/15/20 | 2,625 | 2,900,625 | ||||||||||
United Rentals North America, Inc., Gtd. Notes | 7.625% | 04/15/22 | 12,640 | 14,188,400 | ||||||||||
United Rentals North America, Inc., Gtd. Notes(d) | 8.375% | 09/15/20 | 2,750 | 3,018,125 | ||||||||||
United Rentals North America, Inc., Sr. Unsec’d. Notes | 8.250% | 02/01/21 | 8,350 | 9,289,375 | ||||||||||
Vander Intermediate Holding II Corp., Sr. Unsec’d. Notes, PIK, 144A(d) | 9.750% | 02/01/19 | 2,900 | 3,088,500 | ||||||||||
WireCo WorldGroup, Inc., Gtd. Notes | 9.500% | 05/15/17 | 10,800 | 11,097,000 | ||||||||||
202,596,954 | ||||||||||||||
Chemicals — 3.6% | ||||||||||||||
Axalta Coating Systems US Holdings Inc./Axalta Coating Systems Dutch Holding B BV, Gtd. Notes, 144A(d) | 7.375% | 05/01/21 | 7,695 | 8,387,550 | ||||||||||
Axiall Corp., Gtd. Notes | 4.875% | 05/15/23 | 2,175 | 2,164,125 | ||||||||||
Celanese US Holdings LLC, Gtd. Notes | 4.625% | 11/15/22 | 3,225 | 3,241,125 | ||||||||||
Chemtura Corp., Gtd. Notes(d) | 5.750% | 07/15/21 | 7,375 | 7,651,562 | ||||||||||
Eagle Spinco, Inc., Gtd. Notes | 4.625% | 02/15/21 | 2,625 | 2,605,313 | ||||||||||
Hexion US Finance Corp., Sr. Sec’d. Notes(d) | 6.625% | 04/15/20 | 9,385 | 9,948,100 | ||||||||||
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, Sec’d. Notes(d) | 9.000% | 11/15/20 | 21,120 | 21,542,400 | ||||||||||
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, Sr. Sec’d. Notes(d) | 8.875% | 02/01/18 | 2,875 | 2,990,000 | ||||||||||
Huntsman International LLC, Gtd. Notes(d) | 8.625% | 03/15/20 | 1,650 | 1,786,125 | ||||||||||
Koppers, Inc., Gtd. Notes | 7.875% | 12/01/19 | 5,102 | 5,414,498 | ||||||||||
Orion Engineered Carbons Bondco GmbH (Germany), Sr. Sec’d. Notes, 144A | 9.625% | 06/15/18 | 4,650 | 5,010,375 | ||||||||||
Orion Engineered Carbons Finance & Co. SCA (Luxembourg), Gtd. Notes, PIK, 144A(d) | 9.250% | 08/01/19 | 5,125 | 5,345,375 | ||||||||||
PetroLogistics LP/PetroLogistics Finance Corp., Gtd. Notes | 6.250% | 04/01/20 | 5,850 | 6,376,500 | ||||||||||
Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp., Sec’d. Notes, 144A | 6.500% | 04/15/21 | 6,325 | 6,388,250 | ||||||||||
Rockwood Specialties Group, Inc., Gtd. Notes | 4.625% | 10/15/20 | 2,000 | 2,075,000 | ||||||||||
Taminco Global Chemical Corp. (Belgium), Sec’d. Notes, 144A | 9.750% | 03/31/20 | 10,305 | 11,515,837 | ||||||||||
TPC Group, Inc., Sr. Sec’d. Notes, 144A(d) | 8.750% | 12/15/20 | 9,270 | 10,266,525 | ||||||||||
Tronox Finance LLC, Gtd. Notes(d) | 6.375% | 08/15/20 | 6,481 | 6,691,632 | ||||||||||
119,400,292 | ||||||||||||||
�� | ||||||||||||||
Consumer — 2.0% | ||||||||||||||
24 Hour Holdings III LLC, Gtd. Notes, 144A(d) | 8.000% | 06/01/22 | 2,375 | 2,363,125 | ||||||||||
Big Heart Pet Brands, Gtd. Notes | 7.625% | 02/15/19 | 3,084 | 3,213,836 | ||||||||||
Brand Energy & Infrastructure Services, Inc., Gtd. Notes, 144A(c) | 8.500% | 12/01/21 | 5,325 | 5,684,437 | ||||||||||
Carlson Wagonlit BV (Netherlands), Sr. Sec’d. Notes, 144A | 6.875% | 06/15/19 | 3,100 | 3,332,500 | ||||||||||
First Quality Finance Co., Inc., Sr. Unsec’d. Notes, 144A(d) | 4.625% | 05/15/21 | 5,205 | 4,918,725 | ||||||||||
Gibson Brands Escrow Corp., Sr. Sec’d. Notes, 144A | 8.875% | 08/01/18 | 2,525 | 2,597,594 | ||||||||||
Hearthside Group Holdings LLC/Hearthside Finance Co., Gtd. Notes, 144A | 6.500% | 05/01/22 | 5,475 | 5,461,312 | ||||||||||
PVH Corp., Sr. Unsec’d. Notes(d) | 4.500% | 12/15/22 | 2,950 | 2,905,750 | ||||||||||
Service Corp. International, Sr. Unsec’d. Notes | 4.500% | 11/15/20 | 2,325 | 2,290,125 | ||||||||||
Service Corp. International, Sr. Unsec’d. Notes | 5.375% | 01/15/22 | 925 | 957,375 | ||||||||||
Service Corp. International, Sr. Unsec’d. Notes | 7.000% | (a) | 06/15/17 | 4,143 | 4,629,803 | |||||||||
Service Corp. International, Sr. Unsec’d. Notes, 144A | 5.375% | 05/15/24 | 8,650 | 8,844,625 |
SEE NOTES TO FINANCIAL STATEMENTS.
A113
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Consumer (continued) | ||||||||||||||
Spectrum Brands, Inc., Gtd. Notes | 6.375% | 11/15/20 | 3,000 | $ | 3,225,000 | |||||||||
Sun Products Corp. (The), Sr. Unsec’d. Notes, 144A(d) | 7.750% | 03/15/21 | 7,270 | 6,324,900 | ||||||||||
Visant Corp., Gtd. Notes | 10.000% | 10/01/17 | 1,939 | 1,808,118 | ||||||||||
West Corp., Gtd. Notes, 144A | 5.375% | 07/15/22 | 5,450 | 5,395,500 | ||||||||||
63,952,725 | ||||||||||||||
Electric — 5.7% | ||||||||||||||
AES Corp., Sr. Unsec’d. Notes(d) | 4.875% | 05/15/23 | 2,175 | 2,153,250 | ||||||||||
AES Corp., Sr. Unsec’d. Notes | 5.500% | 03/15/24 | 2,400 | 2,454,000 | ||||||||||
AES Corp., Sr. Unsec’d. Notes(d) | 7.375% | 07/01/21 | 8,275 | 9,681,750 | ||||||||||
AES Corp., Sr. Unsec’d. Notes | 8.000% | 10/15/17 | 1,100 | 1,281,500 | ||||||||||
AES Corp., Sr. Unsec’d. Notes | 8.000% | 06/01/20 | 3,625 | 4,359,063 | ||||||||||
Calpine Corp., Sr. Sec’d. Notes, 144A(d) | 6.000% | 01/15/22 | 2,100 | 2,262,750 | ||||||||||
Calpine Corp., Sr. Sec’d. Notes, 144A | 7.500% | 02/15/21 | 13,631 | 14,789,635 | ||||||||||
Calpine Corp., Sr. Sec’d. Notes, 144A | 7.875% | 01/15/23 | 3,890 | 4,337,350 | ||||||||||
Covanta Holding Corp., Sr. Unsec’d. Notes(d) | 5.875% | 03/01/24 | 3,150 | 3,256,313 | ||||||||||
Covanta Holding Corp., Sr. Unsec’d. Notes(d) | 6.375% | 10/01/22 | 2,450 | 2,658,250 | ||||||||||
Covanta Holding Corp., Sr. Unsec’d. Notes | 7.250% | 12/01/20 | 3,055 | 3,329,950 | ||||||||||
DPL, Inc., Sr. Unsec’d. Notes | 6.500% | 10/15/16 | 4,175 | 4,498,563 | ||||||||||
DPL, Inc., Sr. Unsec’d. Notes | 7.250% | 10/15/21 | 15,225 | 16,747,500 | ||||||||||
Dynegy, Inc., Gtd. Notes(d) | 5.875% | 06/01/23 | 13,985 | 14,089,887 | ||||||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., Sec’d. Notes(c) | 11.000% | (a)(e) | 10/01/21 | 4,500 | 5,220,000 | |||||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., Sec’d. Notes, 144A | 11.750% | (a)(e) | 03/01/22 | 10,425 | 12,822,750 | |||||||||
GenOn Americas Generation LLC, Sr. Unsec’d. Notes | 8.500% | 10/01/21 | 1,000 | 1,037,500 | ||||||||||
GenOn Energy, Inc., Sr. Unsec’d. Notes(d) | 9.500% | 10/15/18 | 2,500 | 2,743,750 | ||||||||||
GenOn Energy, Inc., Sr. Unsec’d. Notes | 9.875% | 10/15/20 | 9,750 | 10,603,125 | ||||||||||
InterGen NV (Netherlands), Sr. Sec’d. Notes, 144A Private Placement | 7.000% | 06/30/23 | 3,900 | 4,026,750 | ||||||||||
Mirant Corp., Bonds, 144A(c) | 7.400% | (a)(e) | 07/15/49 | 1,825 | 1,825 | |||||||||
Mirant Mid Atlantic LLC, Series B, Pass-Through Certificates | 9.125% | 06/30/17 | 5,308 | 5,686,213 | ||||||||||
NRG Energy, Inc., Gtd. Notes(d) | 7.625% | 01/15/18 | 8,545 | 9,805,387 | ||||||||||
NRG Energy, Inc., Gtd. Notes | 7.875% | 05/15/21 | 4,240 | 4,701,100 | ||||||||||
NRG Energy, Inc., Gtd. Notes | 8.250% | 09/01/20 | 7,175 | 7,838,687 | ||||||||||
NRG Energy, Inc., Gtd. Notes, 144A(d) | 6.250% | 07/15/22 | 9,018 | 9,604,170 | ||||||||||
NRG Energy, Inc., Gtd. Notes, 144A(d) | 6.250% | 05/01/24 | 15,275 | 15,962,375 | ||||||||||
NRG REMA LLC, Series B, Pass-Through Certificates(c) | 9.237% | 07/02/17 | 2,284 | 2,410,103 | ||||||||||
NRG REMA LLC, Series C, Pass-Through Certificates | 9.681% | 07/02/26 | 6,910 | 7,514,625 | ||||||||||
185,878,121 | ||||||||||||||
Energy – Integrated — 0.2% | ||||||||||||||
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A | 5.375% | 01/26/19 | 5,000 | 5,212,500 | ||||||||||
Energy – Other — 9.3% | ||||||||||||||
Antero Resources Corp., Gtd. Notes, 144A | 5.125% | 12/01/22 | 4,125 | 4,238,438 | ||||||||||
Athlon Holdings LP/Athlon Finance Corp., Gtd. Notes, 144A(d) | 6.000% | 05/01/22 | 7,150 | 7,400,250 | ||||||||||
Athlon Holdings LP/Athlon Finance Corp., Gtd. Notes, 144A | 7.375% | 04/15/21 | 6,775 | 7,384,750 | ||||||||||
Bonanza Creek Energy, Inc., Gtd. Notes | 6.750% | 04/15/21 | 6,975 | 7,463,250 | ||||||||||
Bristow Group, Inc., Gtd. Notes(d) | 6.250% | 10/15/22 | 4,375 | 4,703,125 | ||||||||||
CGG SA (France), Gtd. Notes(d) | 6.500% | 06/01/21 | 2,125 | 2,109,063 | ||||||||||
CGG SA (France), Gtd. Notes(d) | 7.750% | 05/15/17 | 928 | 941,920 | ||||||||||
CGG SA (France), Gtd. Notes, 144A(d) | 6.875% | 01/15/22 | 9,630 | 9,605,925 | ||||||||||
Concho Resources, Inc., Gtd. Notes | 5.500% | 04/01/23 | 5,625 | 6,046,875 | ||||||||||
Denbury Resources, Inc., Gtd. Notes(d) | 4.625% | 07/15/23 | 6,450 | 6,257,854 | ||||||||||
Denbury Resources, Inc., Gtd. Notes(d) | 5.500% | 05/01/22 | 9,400 | 9,611,500 | ||||||||||
Denbury Resources, Inc., Gtd. Notes | 6.375% | 08/15/21 | 2,565 | 2,750,963 | ||||||||||
Energy XXI Gulf Coast, Inc., Gtd. Notes, 144A | 6.875% | 03/15/24 | 4,500 | 4,590,000 | ||||||||||
EP Energy LLC/EP Energy Finance, Inc., Sr. Unsec’d. Notes | 9.375% | 05/01/20 | 5,926 | 6,785,270 |
SEE NOTES TO FINANCIAL STATEMENTS.
A114
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Energy – Other (continued) | ||||||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., Sr. Sec’d. Notes(d) | 6.875% | 05/01/19 | 1,800 | $ | 1,914,750 | |||||||||
Halcon Resources Corp., Gtd. Notes | 9.250% | 02/15/22 | 2,700 | 2,949,750 | ||||||||||
Halcon Resources Corp., Gtd. Notes | 9.750% | 07/15/20 | 10,650 | 11,621,812 | ||||||||||
Harvest Operations Corp. (South Korea), Gtd. Notes | 6.875% | 10/01/17 | 3,325 | 3,607,625 | ||||||||||
Hercules Offshore, Inc., Gtd. Notes, 144A(d) | 7.500% | 10/01/21 | 3,375 | 3,349,688 | ||||||||||
Hercules Offshore, Inc., Gtd. Notes, 144A | 8.750% | 07/15/21 | 2,300 | 2,432,250 | ||||||||||
Hercules Offshore, Inc., Gtd. Notes, 144A(d) | 10.250% | 04/01/19 | 3,500 | 3,841,250 | ||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Unsec’d. Notes, 144A Private Placement | 7.625% | 04/15/21 | 2,450 | 2,676,625 | ||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Unsec’d. Notes, 144A | 8.000% | 02/15/20 | 1,500 | 1,597,500 | ||||||||||
Hornbeck Offshore Services, Inc., Gtd. Notes | 5.875% | 04/01/20 | 5,725 | 5,925,375 | ||||||||||
Jones Energy Holdings LLC/Jones Energy Finance Corp., Gtd. Notes, 144A(d) | 6.750% | 04/01/22 | 3,600 | 3,798,000 | ||||||||||
Kodiak Oil & Gas Corp., Gtd. Notes | 8.125% | 12/01/19 | 1,550 | 1,716,625 | ||||||||||
Laredo Petroleum, Inc., Gtd. Notes | 5.625% | 01/15/22 | 2,251 | 2,326,971 | ||||||||||
MEG Energy Corp. (Canada), Gtd. Notes, 144A | 6.500% | 03/15/21 | 8,195 | 8,686,700 | ||||||||||
MEG Energy Corp. (Canada), Gtd. Notes, 144A(d) | 7.000% | 03/31/24 | 7,300 | 8,048,250 | ||||||||||
Memorial Resource Development Corp., Gtd. Notes, 144A | 5.875% | 07/01/22 | 4,925 | 4,961,937 | ||||||||||
Midstates Petroleum Co., Inc./Midstates Petroleum Co. LLC, Gtd. Notes(d) | 9.250% | 06/01/21 | 8,425 | 9,246,437 | ||||||||||
Newfield Exploration Co., Sr. Unsec’d. Notes(d) | 5.625% | 07/01/24 | 1,425 | 1,563,938 | ||||||||||
Newfield Exploration Co., Sr. Unsec’d. Notes | 5.750% | 01/30/22 | 1,875 | 2,071,875 | ||||||||||
Oasis Petroleum, Inc., Gtd. Notes, 144A(d) | 6.875% | 03/15/22 | 9,825 | 10,709,250 | ||||||||||
Ocean Rig UDW, Inc. (Cyprus), Sr. Unsec’d. Notes, 144A(d) | 7.250% | 04/01/19 | 4,600 | 4,554,000 | ||||||||||
Offshore Group Investment Ltd., Sr. Sec’d. Notes(d) | 7.500% | 11/01/19 | 1,000 | 1,057,500 | ||||||||||
Parker Drilling Co., Gtd. Notes | 7.500% | 08/01/20 | 1,975 | 2,133,000 | ||||||||||
Parker Drilling Co., Gtd. Notes, 144A | 6.750% | 07/15/22 | 2,070 | 2,152,800 | ||||||||||
Petrohawk Energy Corp., Gtd. Notes | 7.250% | 08/15/18 | 800 | 836,000 | ||||||||||
PHI, Inc., Gtd. Notes, 144A(d) | 5.250% | 03/15/19 | 3,525 | 3,595,500 | ||||||||||
Pioneer Energy Services Corp., Gtd. Notes, 144A | 6.125% | 03/15/22 | 2,400 | 2,487,000 | ||||||||||
Plains Exploration & Production Co., Gtd. Notes | 6.625% | 05/01/21 | 654 | 731,663 | ||||||||||
Precision Drilling Corp. (Canada), Gtd. Notes(d) | 6.500% | 12/15/21 | 2,075 | 2,256,563 | ||||||||||
Precision Drilling Corp. (Canada), Gtd. Notes | 6.625% | 11/15/20 | 2,500 | 2,675,000 | ||||||||||
QEP Resources, Inc., Sr. Unsec’d. Notes(d) | 5.250% | 05/01/23 | 6,075 | 6,211,687 | ||||||||||
QEP Resources, Inc., Sr. Unsec’d. Notes(d) | 5.375% | 10/01/22 | 1,300 | 1,339,000 | ||||||||||
Range Resources Corp., Gtd. Notes(d) | 5.000% | 08/15/22 | 2,000 | 2,120,000 | ||||||||||
Range Resources Corp., Gtd. Notes(d) | 5.000% | 03/15/23 | 2,567 | 2,733,855 | ||||||||||
Range Resources Corp., Gtd. Notes | 5.750% | 06/01/21 | 2,925 | 3,159,000 | ||||||||||
Range Resources Corp., Gtd. Notes | 6.750% | 08/01/20 | 700 | 752,500 | ||||||||||
Samson Investment Co., Gtd. Notes, 144A | 10.750% | (a) | 02/15/20 | 14,225 | 14,989,594 | |||||||||
Sanchez Energy Corp., Gtd. Notes, 144A(d) | 6.125% | 01/15/23 | 4,300 | 4,439,750 | ||||||||||
Sanchez Energy Corp., Gtd. Notes, 144A | 7.750% | 06/15/21 | 5,525 | 5,994,625 | ||||||||||
Seadrill Ltd. (Norway), Sr. Unsec’d. Notes, 144A(d) | 6.625% | (a) | 09/15/20 | 10,425 | 10,607,437 | |||||||||
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 | 2,142,250 | ||||||||||
Seventy Seven Energy, Inc., Sr. Unsec’d. Notes, 144A | 6.500% | 07/15/22 | 2,275 | 2,331,875 | ||||||||||
Tullow Oil PLC (United Kingdom), Gtd. Notes, 144A | 6.000% | 11/01/20 | 6,900 | 7,158,750 | ||||||||||
Ultra Petroleum Corp., Sr. Unsec’d. Notes, 144A | 5.750% | 12/15/18 | 2,125 | 2,231,250 | ||||||||||
Western Refining, Inc., Gtd. Notes | 6.250% | 04/01/21 | 4,825 | 5,042,125 | ||||||||||
Whiting Petroleum Corp., Gtd. Notes | 5.000% | 03/15/19 | 5,075 | 5,341,437 | ||||||||||
Whiting Petroleum Corp., Gtd. Notes(d) | 5.750% | 03/15/21 | 11,750 | 12,866,250 | ||||||||||
WPX Energy, Inc., Sr. Unsec’d. Notes(d) | 6.000% | 01/15/22 | 16,628 | 17,750,390 | ||||||||||
305,882,467 | ||||||||||||||
Foods — 3.5% | ||||||||||||||
Aramark Services Inc., Gtd. Notes | 5.750% | 03/15/20 | 2,785 | 2,945,138 |
SEE NOTES TO FINANCIAL STATEMENTS.
A115
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Foods (continued) | ||||||||||||||
B&G Foods, Inc., Gtd. Notes | 4.625% | 06/01/21 | 4,025 | $ | 4,035,062 | |||||||||
CEC Entertainment, Inc., Sr. Unsec’d. Notes, 144A(d) | 8.000% | 02/15/22 | 8,750 | 9,056,250 | ||||||||||
Constellation Brands, Inc., Gtd. Notes(d) | 4.250% | 05/01/23 | 2,600 | 2,609,750 | ||||||||||
Crestview DS Merger Sub II, Inc., Sec’d. Notes, 144A(d) | 10.000% | 09/01/21 | 5,655 | 6,319,462 | ||||||||||
Darling Ingredients, Inc., Gtd. Notes, 144A | 5.375% | 01/15/22 | 4,800 | 4,980,000 | ||||||||||
HJ Heinz Co., Sec’d. Notes | 4.250% | 10/15/20 | 3,450 | 3,471,563 | ||||||||||
Ingles Market, Inc., Sr. Unsec’d. Notes | 5.750% | 06/15/23 | 4,550 | 4,618,250 | ||||||||||
JBS USA LLC/ JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A Private Placement | 7.250% | 06/01/21 | 9,125 | 9,786,562 | ||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A Private Placement | 7.250% | 06/01/21 | 3,085 | 3,308,663 | ||||||||||
JBS USA LLC/ JBS USA Finance, Inc. (Brazil), Sr. Unsec’d. Notes, 144A Private Placement | 5.875% | 07/15/24 | 5,800 | 5,785,500 | ||||||||||
Landry’s, Inc., Sr. Unsec’d. Notes, 144A Private Placement | 9.375% | 05/01/20 | 8,650 | 9,515,000 | ||||||||||
PF Chang’s China Bistro, Inc., Gtd. Notes, 144A(d) | 10.250% | 06/30/20 | 14,800 | 15,096,000 | ||||||||||
Post Holdings, Inc., Gtd. Notes(d) | 7.375% | 02/15/22 | 7,350 | 7,947,187 | ||||||||||
Post Holdings, Inc., Gtd. Notes, 144A(d) | 6.000% | 12/15/22 | 175 | 178,500 | ||||||||||
Post Holdings, Inc., Gtd. Notes, 144A | 6.750% | 12/01/21 | 3,375 | 3,585,938 | ||||||||||
Roundy’s Supermarkets, Inc., Sec’d. Notes, 144A | 10.250% | 12/15/20 | 2,000 | 2,112,500 | ||||||||||
Smithfield Foods, Inc., Sr. Unsec’d. Notes(d) | 6.625% | 08/15/22 | 5,750 | 6,296,250 | ||||||||||
Smithfield Foods, Inc., Sr. Unsec’d. Notes, 144A | 5.250% | 08/01/18 | 1,350 | 1,410,750 | ||||||||||
Smithfield Foods, Inc., Sr. Unsec’d. Notes, 144A(d) | 5.875% | 08/01/21 | 4,125 | 4,362,187 | ||||||||||
Tops Holding Corp./Tops Markets LLC, Sr. Sec’d Notes | 8.875% | 12/15/17 | 4,531 | 4,927,462 | ||||||||||
TreeHouse Foods, Inc., Gtd. Notes(d) | 4.875% | 03/15/22 | 2,875 | 2,954,063 | ||||||||||
115,302,037 | ||||||||||||||
Gaming — 5.1% | ||||||||||||||
Affinity Gaming LLC/Affinity Gaming Finance Corp., Gtd. Notes | 9.000% | 05/15/18 | 9,625 | 10,154,375 | ||||||||||
Boyd Gaming Corp., Gtd. Notes(d) | 9.000% | 07/01/20 | 4,709 | 5,191,673 | ||||||||||
Boyd Gaming Corp., Gtd. Notes(d) | 9.125% | 12/01/18 | 7,760 | 8,254,700 | ||||||||||
Caesars Entertainment Operating Co., Inc., Sr. Sec’d. Notes(d) | 9.000% | 02/15/20 | 2,700 | 2,257,875 | ||||||||||
Caesars Entertainment Operating Co., Inc., Sr. Sec’d. Notes | 11.250% | 06/01/17 | 7,245 | 6,629,175 | ||||||||||
Caesars Entertainment Resort Properties LLC, Sr. Sec’d. Notes, 144A | 8.000% | 10/01/20 | 8,100 | 8,464,500 | ||||||||||
CCM Merger, Inc., Gtd. Notes, 144A Private Placement | 9.125% | 05/01/19 | 12,112 | 12,990,120 | ||||||||||
Churchill Downs, Inc., Gtd. Notes, 144A | 5.375% | 12/15/21 | 1,325 | 1,358,125 | ||||||||||
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes, 144A | 4.875% | 11/01/20 | 2,875 | 2,961,250 | ||||||||||
Golden Nugget Escrow, Inc., Sr. Unsec’d. Notes, 144A(d) | 8.500% | 12/01/21 | 7,125 | 7,481,250 | ||||||||||
Isle of Capri Casinos, Inc., Gtd. Notes | 7.750% | 03/15/19 | 8,857 | 9,454,847 | ||||||||||
Isle of Capri Casinos, Inc., Gtd. Notes(d) | 8.875% | 06/15/20 | 2,598 | 2,786,355 | ||||||||||
MCE Finance Ltd. (Macau), Gtd. Notes, 144A(d) | 5.000% | 02/15/21 | 2,475 | 2,499,750 | ||||||||||
MGM Resorts International, Gtd. Notes(d) | 6.625% | 12/15/21 | 18,915 | 21,042,937 | ||||||||||
MGM Resorts International, Gtd. Notes(d) | 6.750% | 10/01/20 | 1,700 | 1,897,625 | ||||||||||
MGM Resorts International, Gtd. Notes(d) | 7.625% | 01/15/17 | 650 | 734,500 | ||||||||||
MGM Resorts International, Gtd. Notes(d) | 8.625% | 02/01/19 | 3,100 | 3,692,875 | ||||||||||
MGM Resorts International, Gtd. Notes(d) | 10.000% | 11/01/16 | 600 | 709,500 | ||||||||||
MTR Gaming Group, Inc., Sec’d. Notes | 11.500% | 08/01/19 | 9,043 | 10,161,932 | ||||||||||
Penn National Gaming, Inc., Sr. Unsec’d. Notes, 144A(d) | 5.875% | 11/01/21 | 11,725 | 11,080,125 | ||||||||||
Pinnacle Entertainment, Inc., Gtd. Notes | 6.375% | 08/01/21 | 8,524 | 8,992,820 | ||||||||||
Pinnacle Entertainment, Inc., Gtd. Notes(d) | 7.750% | 04/01/22 | 7,200 | 7,830,000 | ||||||||||
Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC, Gtd. Notes, 144A Private Placement | 5.875% | 05/15/21 | 1,025 | 1,027,563 | ||||||||||
Station Casinos LLC, Gtd. Notes(d) | 7.500% | 03/01/21 | 5,155 | 5,631,837 |
SEE NOTES TO FINANCIAL STATEMENTS.
A116
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Gaming (continued) | ||||||||||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Sr. Sec’d. Notes, 144A | 6.375% | 06/01/21 | 11,450 | $ | 11,221,000 | |||||||||
Wynn Macau Ltd. (Macau), Sr. Unsec’d. Notes, 144A(d) | 5.250% | 10/15/21 | 3,850 | 3,955,875 | ||||||||||
168,462,584 | ||||||||||||||
Healthcare & Pharmaceutical — 7.7% | ||||||||||||||
Acadia Healthcare Co., Inc., Gtd. Notes | 6.125% | 03/15/21 | 2,500 | 2,625,000 | ||||||||||
Acadia Healthcare Co., Inc., Gtd. Notes | 12.875% | 11/01/18 | 4,220 | 5,042,900 | ||||||||||
Biomet, Inc., Gtd. Notes | 6.500% | 08/01/20 | 7,075 | 7,623,312 | ||||||||||
Capella Healthcare, Inc., Gtd. Notes | 9.250% | 07/01/17 | 8,280 | 8,694,000 | ||||||||||
Capsugel SA, Sr. Unsec’d. Notes, PIK, 144A | 7.000% | 05/15/19 | 2,250 | 2,317,500 | ||||||||||
Catamaran Corp., Gtd. Notes | 4.750% | 03/15/21 | 2,200 | 2,222,000 | ||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes(d) | 7.125% | 07/15/20 | 2,750 | 2,976,875 | ||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes | 8.000% | 11/15/19 | 17,405 | 19,058,475 | ||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes, 144A(d) | 6.875% | 02/01/22 | 7,150 | 7,579,000 | ||||||||||
ConvaTec Finance International SA (Luxembourg), Sr. Unsec’d. Notes, PIK, 144A(d) | 8.250% | 01/15/19 | 3,575 | 3,655,438 | ||||||||||
ConvaTec Healthcare E SA (Luxembourg), Gtd. Notes, 144A | 10.500% | 12/15/18 | 11,383 | 12,322,097 | ||||||||||
Emdeon, Inc., Gtd. Notes | 11.000% | 12/31/19 | 6,650 | 7,647,500 | ||||||||||
Endo Finance Co., Gtd. Notes, 144A | 5.750% | 01/15/22 | 2,450 | 2,499,000 | ||||||||||
Envision Healthcare Corp., Gtd. Notes, 144A | 5.125% | 07/01/22 | 775 | 781,781 | ||||||||||
Forest Laboratories, Inc., Sr. Unsec’d. Notes, 144A | 4.875% | 02/15/21 | 2,825 | 3,084,957 | ||||||||||
Forest Laboratories, Inc., Sr. Unsec’d. Notes, 144A | 5.000% | 12/15/21 | 2,975 | 3,260,184 | ||||||||||
Fresenius Medical Care US Finance II, Inc. (Germany), Gtd. Notes, 144A | 5.625% | 07/31/19 | 3,350 | 3,651,500 | ||||||||||
Grifols Worldwide Operations Ltd. (Spain), Sr. Unsec’d Notes, 144A(d) | 5.250% | 04/01/22 | 3,725 | 3,864,687 | ||||||||||
HCA, Inc., Gtd. Notes(d) | 5.875% | 05/01/23 | 10,215 | 10,687,444 | ||||||||||
HCA, Inc., Gtd. Notes | 8.000% | 10/01/18 | 16,250 | 19,215,625 | ||||||||||
HCA, Inc., Sr. Sec’d. Notes(d) | 4.750% | 05/01/23 | 3,600 | 3,595,500 | ||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.000% | 03/15/24 | 3,625 | 3,675,097 | ||||||||||
HCA, Inc., Sr. Unsec’d. Notes | 7.190% | 11/15/15 | 2,116 | 2,269,410 | ||||||||||
HCA, Inc., Sr. Unsec’d. Notes, MTN(d) | 9.000% | 12/15/14 | 7,765 | 7,997,950 | ||||||||||
HealthSouth Corp., Gtd. Notes | 7.250% | 10/01/18 | 5,888 | 6,152,960 | ||||||||||
HealthSouth Corp., Gtd. Notes | 7.750% | 09/15/22 | 1,788 | 1,951,155 | ||||||||||
Kindred Healthcare, Inc., Gtd. Notes, 144A | 6.375% | 04/15/22 | 3,506 | 3,523,530 | ||||||||||
LifePoint Hospitals, Inc., Gtd. Notes, 144A | 5.500% | 12/01/21 | 4,100 | 4,294,750 | ||||||||||
Mallinckrodt International Finance SA, Gtd. Notes(c)(d) | 4.750% | 04/15/23 | 5,175 | 5,032,687 | ||||||||||
MedAssets, Inc., Gtd. Notes | 8.000% | 11/15/18 | 5,800 | 6,133,500 | ||||||||||
Ortho Clinical Diagnostics, Sr. Unsec’d. Notes, 144A(d) | 6.625% | 05/15/22 | 10,500 | 10,421,250 | ||||||||||
ResCare, Inc., Gtd. Notes | 10.750% | 01/15/19 | 4,950 | 5,407,875 | ||||||||||
Select Medical Corp., Gtd. Notes, 144A | 6.375% | 06/01/21 | 6,175 | 6,452,875 | ||||||||||
STHI Holding Corp., Sec’d. Notes, 144A Private Placement | 8.000% | 03/15/18 | 1,225 | 1,298,500 | ||||||||||
Tenet Healthcare Corp., Sr. Sec’d. Notes(d) | 4.375% | 10/01/21 | 4,545 | 4,516,594 | ||||||||||
Tenet Healthcare Corp., Sr. Sec’d. Notes(d) | 4.500% | 04/01/21 | 3,725 | 3,748,281 | ||||||||||
Tenet Healthcare Corp., Sr. Sec’d. Notes | 4.750% | 06/01/20 | 2,975 | 3,041,938 | ||||||||||
Tenet Healthcare Corp., Sr. Sec’d. Notes(d) | 6.250% | 11/01/18 | 1,875 | 2,081,250 | ||||||||||
Tenet Healthcare Corp., Sr. Unsec’d Notes | 6.750% | 02/01/20 | 3,350 | 3,638,938 | ||||||||||
Tenet Healthcare Corp., Sr. Unsec’d Notes, 144A | 5.000% | 03/01/19 | 4,850 | 4,916,687 | ||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes(d) | 8.125% | 04/01/22 | 9,675 | 11,198,812 | ||||||||||
Valeant Pharmaceuticals International, Gtd. Notes, 144A | 6.375% | 10/15/20 | 5,500 | 5,843,750 | ||||||||||
Valeant Pharmaceuticals International, Gtd. Notes, 144A | 6.875% | 12/01/18 | 9,450 | 9,887,062 | ||||||||||
Valeant Pharmaceuticals International, Gtd. Notes, 144A | 7.000% | 10/01/20 | 1,975 | 2,098,438 | ||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A(d) | 5.625% | 12/01/21 | 1,825 | 1,877,469 | ||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A(d) | 7.500% | 07/15/21 | 2,375 | 2,630,313 | ||||||||||
252,495,846 | ||||||||||||||
Healthcare Insurance — 0.1% | ||||||||||||||
Centene Corp., Sr. Unsec’d. Notes | 4.750% | 05/15/22 | 4,475 | 4,542,125 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A117
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Lodging — 0.3% | ||||||||||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Gtd. Notes, 144A | 5.625% | 10/15/21 | 5,775 | $ | 6,135,938 | |||||||||
Royal Caribbean Cruises Ltd., Sr. Unsec’d. Notes(d) | 7.250% | 03/15/18 | 3,700 | 4,264,250 | ||||||||||
10,400,188 | ||||||||||||||
Media & Entertainment — 3.5% | ||||||||||||||
AMC Entertainment, Inc., Gtd. Notes | 9.750% | 12/01/20 | 11,734 | 13,376,760 | ||||||||||
AMC Networks, Inc., Gtd. Notes | 7.750% | 07/15/21 | 1,775 | 1,985,781 | ||||||||||
Belo Corp., Sr. Unsec’d. Notes | 7.750% | 06/01/27 | 4,000 | 4,400,000 | ||||||||||
Carmike Cinemas, Inc., Sec’d. Notes | 7.375% | 05/15/19 | 4,550 | 4,948,125 | ||||||||||
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp., Gtd. Notes, | 5.625% | 02/15/24 | 2,275 | 2,348,938 | ||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes | 5.250% | 03/15/21 | 2,300 | 2,369,000 | ||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes, 144A | 5.375% | 06/01/24 | 2,100 | 2,126,250 | ||||||||||
Cinemark USA, Inc., Gtd. Notes(d) | 5.125% | 12/15/22 | 5,850 | 5,988,937 | ||||||||||
Clear Channel Worldwide Holdings, Inc., Gtd. Notes(d) | 6.500% | 11/15/22 | 2,970 | 3,170,475 | ||||||||||
Clear Channel Worldwide Holdings, Inc., Series A, Gtd. Notes(d) | 7.625% | 03/15/20 | 2,700 | 2,889,000 | ||||||||||
Entercom Radio LLC, Gtd. Notes | 10.500% | 12/01/19 | 4,075 | 4,665,875 | ||||||||||
Getty Images Inc., Sr. Unsec’d. Notes, 144A(d) | 7.000% | 10/15/20 | 2,714 | 2,486,703 | ||||||||||
Gray Television, Inc., Gtd. Notes(d) | 7.500% | 10/01/20 | 7,130 | 7,682,575 | ||||||||||
Inmarsat Finance PLC (United Kingdom), Gtd. Notes, 144A | 4.875% | 05/15/22 | 3,600 | 3,636,000 | ||||||||||
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes | 7.250% | 10/15/20 | 5,700 | 6,141,750 | ||||||||||
LIN Television Corp., Gtd. Notes | 6.375% | 01/15/21 | 2,000 | 2,105,000 | ||||||||||
Live Nation Entertainment, Inc., Sr. Unsec’d. Notes, 144A | 5.375% | 06/15/22 | 2,400 | 2,430,000 | ||||||||||
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance, Sr. Sec’d. Notes(d) | 10.000% | (a) | 04/01/21 | 5,200 | 5,967,000 | |||||||||
Mood Media Corp. (Canada), Gtd. Notes, 144A | 9.250% | 10/15/20 | 3,700 | 3,330,000 | ||||||||||
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., Sr. Sec’d. Notes, 144A Private Placement | 5.000% | 08/01/18 | 2,300 | 2,380,500 | ||||||||||
National CineMedia LLC, Sr. Sec’d. Notes | 6.000% | 04/15/22 | 4,350 | 4,534,875 | ||||||||||
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes, 144A | 5.000% | 04/15/22 | 2,800 | 2,821,000 | ||||||||||
R.R. Donnelley & Sons Co., Sr. Unsec’d. Notes(d) | 6.000% | 04/01/24 | 3,425 | 3,459,250 | ||||||||||
R.R. Donnelley & Sons Co., Sr. Unsec’d. Notes | 6.500% | 11/15/23 | 2,560 | 2,681,600 | ||||||||||
Sinclair Television Group, Inc., Gtd. Notes(d) | 5.375% | 04/01/21 | 4,850 | 4,880,312 | ||||||||||
Sinclair Television Group, Inc., Sr. Unsec’d. Notes(d) | 6.125% | 10/01/22 | 2,825 | 2,952,125 | ||||||||||
SiTV LLC/SiTV Finance, Inc., Sr. Sec’d. Notes, 144A | 10.375% | 07/01/19 | 4,360 | 4,469,000 | ||||||||||
Telesat Canada/Telesat LLC (Canada), Gtd. Notes, 144A | 6.000% | 05/15/17 | 1,050 | 1,082,813 | ||||||||||
Vail Resorts, Inc., Gtd. Notes | 6.500% | 05/01/19 | 675 | 709,594 | ||||||||||
WMG Acquisition Corp., Sr. Sec’d. Notes, 144A | 6.000% | 01/15/21 | 1,750 | 1,806,875 | ||||||||||
113,826,113 | ||||||||||||||
Metals — 2.6% | ||||||||||||||
AK Steel Corp., Gtd. Notes(d) | 7.625% | 05/15/20 | 2,000 | 2,060,000 | ||||||||||
AK Steel Corp., Sr. Sec’d. Notes | 8.750% | 12/01/18 | 4,200 | 4,704,000 | ||||||||||
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(d) | 6.000% | (a) | 03/01/21 | 6,700 | 7,252,750 | |||||||||
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes | 6.125% | 06/01/18 | 10,175 | 11,167,062 | ||||||||||
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(d) | 6.750% | (a) | 02/25/22 | 8,250 | 9,240,000 | |||||||||
Arch Coal, Inc., Gtd. Notes(d) | 7.250% | 10/01/20 | 1,225 | 912,625 | ||||||||||
Arch Coal, Inc., Gtd. Notes(d) | 9.875% | 06/15/19 | 2,525 | 2,152,563 | ||||||||||
AuRico Gold, Inc. (Canada), Sec’d. Notes, 144A | 7.750% | 04/01/20 | 1,400 | 1,386,000 | ||||||||||
Eldorado Gold Corp. (Canada), Sr. Unsec’d. Notes, 144A(d) | 6.125% | 12/15/20 | 4,841 | 4,889,410 | ||||||||||
First Quantum Minerals Ltd. (Canada), Gtd. Notes, 144A(d) | 6.750% | 02/15/20 | 7,050 | 7,261,500 | ||||||||||
First Quantum Minerals Ltd. (Canada), Gtd. Notes, 144A | 7.000% | 02/15/21 | 5,841 | 6,008,929 | ||||||||||
First Quantum Minerals Ltd. (Canada), Gtd. Notes, 144A(d) | 7.250% | 05/15/22 | 4,300 | 4,482,750 | ||||||||||
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(d) | 6.000% | 04/01/17 | 4,000 | 4,130,000 | ||||||||||
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(d) | 6.875% | 02/01/18 | 3,200 | 3,360,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
A118
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Metals (continued) | ||||||||||||||
GrafTech International Ltd., Gtd. Notes(d) | 6.375% | 11/15/20 | 2,650 | $ | 2,729,500 | |||||||||
New Gold, Inc. (Canada), Sr. Unsec’d. Notes, 144A(d) | 6.250% | 11/15/22 | 6,775 | 7,046,000 | ||||||||||
Peabody Energy Corp., Gtd. Notes(d) | 6.000% | 11/15/18 | 3,250 | 3,388,125 | ||||||||||
Peabody Energy Corp., Gtd. Notes(d) | 6.250% | 11/15/21 | 1,125 | 1,120,781 | ||||||||||
Westmoreland Coal Co./Westmoreland Partners, Sr. Sec’d. Notes | 10.750% | 02/01/18 | 3,000 | 3,221,250 | ||||||||||
86,513,245 | ||||||||||||||
Non-Captive Finance — 2.2% | ||||||||||||||
ACE Cash Express, Inc., Sr. Sec’d. Notes, 144A Private Placement | 11.000% | 02/01/19 | 3,325 | 2,718,187 | ||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A | 3.750% | 05/15/19 | 1,600 | 1,612,000 | ||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A | 4.500% | 05/15/21 | 1,550 | 1,577,125 | ||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes | 5.000% | 05/15/17 | 950 | 1,012,344 | ||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes | 5.000% | 08/15/22 | 24,075 | 24,917,625 | ||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes(d) | 5.250% | 03/15/18 | 2,575 | 2,764,906 | ||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes | 5.375% | 05/15/20 | 750 | 805,078 | ||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes, 144A | 5.500% | 02/15/19 | 1,775 | 1,923,656 | ||||||||||
Community Choice Financial, Inc., Sr. Sec’d. Notes | 10.750% | 05/01/19 | 610 | 521,550 | ||||||||||
HSBC Finance Capital Trust IX (United Kingdom), Gtd. Notes | 5.911% | (a) | 11/30/35 | 100 | 104,250 | |||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., Gtd. Notes | 4.875% | 03/15/19 | 4,875 | 5,021,250 | ||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., Gtd. Notes | 5.875% | 02/01/22 | 1,150 | 1,204,625 | ||||||||||
International Lease Finance Corp., Sr. Sec’d. Notes, 144A(d) | 7.125% | 09/01/18 | 525 | 609,000 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes | 3.875% | 04/15/18 | 3,525 | 3,613,125 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes | 6.250% | 05/15/19 | 2,120 | 2,374,400 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes(d) | 8.250% | 12/15/20 | 1,125 | 1,389,375 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes(c) | 8.875% | 09/01/17 | 1,200 | 1,420,500 | ||||||||||
International Lease Finance Corp. E-Capital Trust II Ltd., Gtd. Notes, 144A | 6.250% | (a) | 12/21/65 | 4,250 | 4,250,000 | |||||||||
Jet Equipment Trust 1994-A, Equipment Trust, 144A(c) | 10.000% | (a)(e) | 12/15/13 | 54 | 43,504 | |||||||||
Jet Equipment Trust 1994-A, Sr. Unsec’d. Notes, 144A | 7.630% | (a)(e) | 08/15/12 | 11 | 8 | |||||||||
National Financial Partners Corp., Sr. Unsec’d. Notes, 144A | 9.000% | 07/15/21 | 2,375 | 2,588,750 | ||||||||||
Navient Corp., Sr. Unsec’d. Notes, MTN(d) | 8.000% | 03/25/20 | 1,800 | 2,081,250 | ||||||||||
Springleaf Finance Corp., Gtd. Notes | 6.000% | 06/01/20 | 9,525 | 9,858,375 | ||||||||||
Springleaf Finance Corp., Gtd. Notes | 8.250% | 10/01/23 | 1,125 | 1,282,500 | ||||||||||
73,693,383 | ||||||||||||||
Packaging — 3.5% | ||||||||||||||
Ardagh Finance Holdings SA (Luxembourg), | 8.625% | 06/15/19 | 6,225 | 6,411,750 | ||||||||||
Ardagh Packaging Finance PLC (Ireland), Gtd. Notes, 144A | 9.125% | 10/15/20 | 5,950 | 6,589,625 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A | 6.000% | 06/30/21 | 1,725 | 1,722,844 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, | 6.250% | 01/31/19 | 5,875 | 6,021,875 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, | 6.750% | 01/31/21 | 5,000 | 5,162,500 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A | 9.125% | 10/15/20 | 1,350 | 1,488,375 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Sr. Unsec’d. Notes, 144A | 7.000% | 11/15/20 | 988 | 1,022,823 | ||||||||||
Berry Plastics Corp., Sec’d. Notes(d) | 9.750% | 01/15/21 | 4,875 | 5,557,500 | ||||||||||
Beverage Packaging Holdings Luxembourg II SA/Beverage Packaging Holdings II, Gtd. Notes, 144A(d) | 6.000% | 06/15/17 | 5,150 | 5,278,750 | ||||||||||
BOE Intermediate Holding Corp., Sr. Unsec’d. Notes, PIK, 144A | 9.000% | 11/01/17 | 3,193 | 3,348,478 | ||||||||||
BOE Merger Corp., Sr. Unsec’d. Notes, PIK, 144A Private Placement | 9.500% | 11/01/17 | 6,625 | 6,981,094 | ||||||||||
BWAY Holding Co., Gtd. Notes Private Placement | 10.000% | 06/15/18 | 1,000 | 1,053,750 |
SEE NOTES TO FINANCIAL STATEMENTS.
A119
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Packaging (continued) | ||||||||||||||
Exopack Holdings SA, Gtd. Notes, 144A | 7.875% | 11/01/19 | 5,875 | $ | 6,286,250 | |||||||||
Greif, Inc., Sr. Unsec’d. Notes | 6.750% | 02/01/17 | 4,970 | 5,516,700 | ||||||||||
Plastipak Holdings, Inc., Sr. Unsec’d. Notes, 144A Private Placement | 6.500% | 10/01/21 | 3,075 | 3,244,125 | ||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, Gtd. Notes | 9.000% | 04/15/19 | 9,975 | 10,561,031 | ||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, Gtd. Notes | 9.875% | 08/15/19 | 11,900 | 13,179,250 | ||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, | 5.750% | 10/15/20 | 10,450 | 11,024,750 | ||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, | 6.875% | 02/15/21 | 1,575 | 1,699,622 | ||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, Sr. Sec’d. Notes | 7.875% | 08/15/19 | 4,925 | 5,362,094 | ||||||||||
Sealed Air Corp., Gtd. Notes, 144A | 5.250% | 04/01/23 | 1,725 | 1,750,875 | ||||||||||
Sealed Air Corp., Gtd. Notes, 144A(d) | 6.500% | 12/01/20 | 1,400 | 1,575,000 | ||||||||||
Sealed Air Corp., Gtd. Notes, 144A | 8.375% | 09/15/21 | 4,000 | 4,580,000 | ||||||||||
115,419,061 | ||||||||||||||
Paper — 0.3% | ||||||||||||||
Domtar Corp., Gtd. Notes(d) | 10.750% | 06/01/17 | 1,125 | 1,400,484 | ||||||||||
Graphic Packaging International, Inc., Gtd. Notes | 7.875% | 10/01/18 | 1,375 | 1,448,838 | ||||||||||
Smurfit Kappa Acquisitions (Ireland), Sr. Sec’d. Notes, 144A | 4.875% | 09/15/18 | 5,750 | 6,051,875 | ||||||||||
8,901,197 | ||||||||||||||
Pipelines & Other — 3.3% | ||||||||||||||
Access Midstream Partners LP/ACMP Finance Corp., Gtd. Notes | 4.875% | 03/15/24 | 11,275 | 11,909,219 | ||||||||||
AmeriGas Finance LLC/AmeriGas Finance Corp., Gtd. Notes(d) | 7.000% | 05/20/22 | 5,635 | 6,240,762 | ||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp., Sr. Unsec’d. Notes | 6.500% | 05/20/21 | 1,240 | 1,329,900 | ||||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Gtd. Notes | 6.000% | 12/15/20 | 2,900 | 3,045,000 | ||||||||||
Energy Transfer Equity LP, Sr. Sec’d. Notes | 7.500% | 10/15/20 | 4,300 | 4,966,500 | ||||||||||
Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsec’d. Notes | 6.500% | 05/01/21 | 4,175 | 4,357,656 | ||||||||||
Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsec’d. Notes, 144A | 6.750% | 01/15/22 | 5,345 | 5,585,525 | ||||||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., | 8.625% | 06/15/20 | 3,659 | 3,905,983 | ||||||||||
Global Partners LP/GLP Finance Corp., Gtd. Notes, 144A | 6.250% | 07/15/22 | 2,275 | 2,275,000 | ||||||||||
Kinder Morgan, Inc., Sr. Sec’d. Notes, 144A | 5.000% | 02/15/21 | 2,775 | 2,879,063 | ||||||||||
Kinder Morgan, Inc., Sr. Sec’d. Notes, 144A | 5.625% | 11/15/23 | 5,725 | 5,882,437 | ||||||||||
Regency Energy Partners LP/Regency Energy Finance Corp., Gtd. Notes | 5.500% | 04/15/23 | 3,275 | 3,422,375 | ||||||||||
Regency Energy Partners LP/Regency Energy Finance Corp., Gtd. Notes(d) | 5.750% | 09/01/20 | 5,225 | 5,629,937 | ||||||||||
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A Private Placement | 3.900% | 04/15/15 | 1,700 | 1,717,000 | ||||||||||
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A Private Placement | 5.625% | 04/15/20 | 3,475 | 3,579,250 | ||||||||||
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A Private Placement | 6.000% | 01/15/19 | 8,722 | 9,136,295 | ||||||||||
Selectica, Inc. (Escrow Shares) | —% | (a)(e) | 01/01/20 | 1,350 | — | |||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., | 5.500% | 06/01/24 | 5,700 | 5,771,250 | ||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., | 7.375% | 08/01/21 | 2,400 | 2,610,000 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., | 4.250% | 11/15/23 | 4,475 | 4,447,031 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., | 6.375% | 08/01/22 | 798 | 867,825 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes | 6.875% | 02/01/21 | 8,050 | 8,714,125 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes | 7.875% | 10/15/18 | 4,350 | 4,578,375 |
SEE NOTES TO FINANCIAL STATEMENTS.
A120
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Pipelines & Other (continued) | ||||||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes | 5.875% | 10/01/20 | 1,575 | $ | 1,661,625 | |||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes | 6.125% | 10/15/21 | 3,025 | 3,229,188 | ||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes, 144A(d) | 5.875% | 10/01/20 | 1,750 | 1,846,250 | ||||||||||
109,587,571 | ||||||||||||||
Real Estate Investment Trusts — 1.6% | ||||||||||||||
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., Gtd. Notes | 7.750% | 02/15/19 | 15,525 | 16,534,125 | ||||||||||
CTR Partnership LP/CareTrust Capital Corp., Gtd. Notes, 144A | 5.875% | 06/01/21 | 2,125 | 2,140,937 | ||||||||||
CyrusOne LP/CyrusOne Finance Corp., Gtd. Notes | 6.375% | 11/15/22 | 375 | 404,063 | ||||||||||
DuPont Fabros Technology LP, Gtd. Notes | 5.875% | 09/15/21 | 4,125 | 4,310,625 | ||||||||||
Felcor Lodging LP, Sr. Sec’d. Notes | 5.625% | 03/01/23 | 2,425 | 2,497,750 | ||||||||||
Felcor Lodging LP, Sr. Sec’d. Notes | 10.000% | 10/01/14 | 1,076 | 1,096,229 | ||||||||||
Kennedy-Wilson, Inc., Gtd. Notes | 5.875% | 04/01/24 | 3,750 | 3,806,250 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp., Gtd. Notes | 5.500% | 05/01/24 | 2,425 | 2,491,687 | ||||||||||
Omega Healthcare Investors, Inc., Gtd. Notes | 6.750% | 10/15/22 | 475 | 513,332 | ||||||||||
Omega Healthcare Investors, Inc., Gtd. Notes | 7.500% | 02/15/20 | 825 | 886,875 | ||||||||||
Sabra Health Care LP/Sabra Capital Corp., Gtd. Notes | 5.375% | 06/01/23 | 2,800 | 2,870,000 | ||||||||||
Sabra Health Care LP/Sabra Capital Corp., Gtd. Notes(d) | 5.500% | 02/01/21 | 2,950 | 3,097,500 | ||||||||||
Senior Housing Properties Trust, Sr. Unsec’d. Notes | 6.750% | 04/15/20 | 1,875 | 2,166,186 | ||||||||||
Senior Housing Properties Trust, Sr. Unsec’d. Notes | 6.750% | 12/15/21 | 7,250 | 8,470,204 | ||||||||||
51,285,763 | ||||||||||||||
Retailers — 2.7% | ||||||||||||||
Academy Ltd./Academy Finance Corp., Gtd. Notes, 144A | 9.250% | 08/01/19 | 4,525 | 4,853,063 | ||||||||||
Claire’s Stores, Inc., Gtd. Notes, 144A(d) | 7.750% | 06/01/20 | 2,350 | 1,709,625 | ||||||||||
Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A(d) | 6.125% | 03/15/20 | 3,000 | 2,827,500 | ||||||||||
Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A(d) | 9.000% | 03/15/19 | 4,325 | 4,503,406 | ||||||||||
CST Brands, Inc., Gtd. Notes(d) | 5.000% | 05/01/23 | 1,900 | 1,900,000 | ||||||||||
Dufry Finance SCA (Switzerland), Gtd. Notes, 144A | 5.500% | 10/15/20 | 9,550 | 9,915,851 | ||||||||||
Hot Topic, Inc., Sr. Sec’d. Notes, 144A Private Placement | 9.250% | 06/15/21 | 9,200 | 10,212,000 | ||||||||||
HT Intermediate Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A | 12.000% | 05/15/19 | 1,550 | 1,650,750 | ||||||||||
L Brands, Inc., Gtd. Notes | 5.625% | 02/15/22 | 7,385 | 7,994,262 | ||||||||||
L Brands, Inc., Gtd. Notes | 5.625% | 10/15/23 | 3,450 | 3,747,563 | ||||||||||
Michaels FinCo Holdings LLC/Michaels FinCo, Inc., Sr. Unsec’d. Notes, PIK, 144A | 7.500% | 08/01/18 | 3,900 | 3,982,875 | ||||||||||
Murphy Oil USA, Inc., Gtd. Notes | 6.000% | 08/15/23 | 2,000 | 2,105,000 | ||||||||||
Neiman Marcus Group Ltd., Inc., Gtd. Notes, 144A(d) | 8.000% | 10/15/21 | 7,795 | 8,399,112 | ||||||||||
Pantry Inc. (The), Gtd. Notes | 8.375% | 08/01/20 | 17,125 | 18,495,000 | ||||||||||
Penske Automotive Group, Inc., Gtd. Notes(d) | 5.750% | 10/01/22 | 3,975 | 4,183,688 | ||||||||||
Toys “R” Us Property Co. II LLC, Sr. Sec’d. Notes(d) | 8.500% | 12/01/17 | 2,661 | 2,717,546 | ||||||||||
89,197,241 | ||||||||||||||
Technology — 11.2% | ||||||||||||||
Activision Blizzard, Inc., Gtd. Notes, 144A | 5.625% | 09/15/21 | 3,000 | 3,232,500 | ||||||||||
Activision Blizzard, Inc., Gtd. Notes, 144A(d) | 6.125% | 09/15/23 | 2,650 | 2,915,000 | ||||||||||
Advanced Micro Devices, Inc., Sr. Unsec’d. Notes, 144A(d) | 6.750% | 03/01/19 | 8,100 | 8,636,625 | ||||||||||
Alcatel-Lucent USA, Inc. (France), Gtd. Notes, 144A(d) | 6.750% | 11/15/20 | 7,175 | 7,641,375 | ||||||||||
Ancestry.com, Inc., Gtd. Notes | 11.000% | 12/15/20 | 1,750 | 2,051,875 | ||||||||||
Ancestry.com, Inc., Sr. Unsec’d. Notes, PIK, 144A | 9.625% | 10/15/18 | 5,355 | 5,535,731 | ||||||||||
Audatex North America, Inc., Gtd. Notes, 144A | 6.000% | 06/15/21 | 7,450 | 7,952,875 | ||||||||||
Avaya, Inc., Sec’d. Notes, 144A(d) | 10.500% | 03/01/21 | 20,675 | 19,072,687 | ||||||||||
Avaya, Inc., Sr. Sec’d. Notes, 144A(d) | 7.000% | 04/01/19 | 3,905 | 3,905,000 | ||||||||||
Blackboard, Inc., Sr. Unsec’d. Notes, 144A | 7.750% | 11/15/19 | 7,950 | 8,307,750 | ||||||||||
BMC Software Finance, Inc., Sr. Unsec’d. Notes, 144A | 8.125% | 07/15/21 | 12,535 | 12,895,381 | ||||||||||
Boxer Parent Co, Inc., Sr. Unsec’d. Notes, PIK, 144A(d) | 9.000% | 10/15/19 | 13,560 | 13,221,000 | ||||||||||
Brightstar Corp., Gtd. Notes, 144A Private Placement | 9.500% | 12/01/16 | 6,345 | 6,805,013 |
SEE NOTES TO FINANCIAL STATEMENTS.
A121
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Technology (continued) | ||||||||||||||
Brightstar Corp., Sr. Unsec’d. Notes, 144A Private Placement | 7.250% | 08/01/18 | 9,500 | $ | 10,390,625 | |||||||||
CDW LLC/CDW Finance Corp., Gtd. Notes | 8.500% | 04/01/19 | 16,452 | 17,809,290 | ||||||||||
Ceridian HCM Holding, Inc., Sr. Unsec’d. Notes, 144A Private Placement | 11.000% | 03/15/21 | 1,950 | 2,252,250 | ||||||||||
Ceridian LLC/Comdata, Inc., Gtd. Notes, 144A | 8.125% | 11/15/17 | 6,925 | 6,994,250 | ||||||||||
CommScope Holding Co., Inc., Sr. Unsec’d. Notes, PIK, 144A | 6.625% | 06/01/20 | 21,980 | 23,463,650 | ||||||||||
CommScope, Inc., Gtd. Notes, 144A(d) | 5.500% | 06/15/24 | 3,350 | 3,404,438 | ||||||||||
CoreLogic, Inc., Gtd. Notes | 7.250% | 06/01/21 | 2,825 | 3,054,531 | ||||||||||
First Data Corp., Gtd. Notes | 10.625% | 06/15/21 | 14,660 | 17,078,900 | ||||||||||
First Data Corp., Gtd. Notes(d) | 11.250% | 01/15/21 | 4,590 | 5,358,825 | ||||||||||
First Data Corp., Gtd. Notes(d) | 11.750% | 08/15/21 | 32,695 | 38,784,444 | ||||||||||
First Data Corp., Gtd. Notes | 12.625% | 01/15/21 | 8,352 | 10,283,400 | ||||||||||
First Data Corp., Sr. Sec’d. Notes, 144A | 6.750% | 11/01/20 | 1,000 | 1,082,500 | ||||||||||
First Data Holdings, Inc., Sr. Unsec’d. Notes, PIK, 144A(d) | 14.500% | 09/24/19 | 9,915 | 11,018,044 | ||||||||||
Freescale Semiconductor, Inc., Gtd. Notes(d) | 8.050% | 02/01/20 | 3,925 | 4,239,000 | ||||||||||
Freescale Semiconductor, Inc., Sr. Sec’d. Notes, 144A(d) | 6.000% | 01/15/22 | 6,180 | 6,581,700 | ||||||||||
Infor Software Parent LLC/Infor Software Parent, Inc., | 7.125% | 05/01/21 | 4,100 | 4,192,250 | ||||||||||
Interactive Data Corp., Sr. Unsec’d. Notes, PIK, 144A | 8.250% | 12/15/17 | 8,154 | 8,322,176 | ||||||||||
Iron Mountain, Inc., Gtd. Notes(d) | 6.000% | 08/15/23 | 7,050 | 7,622,812 | ||||||||||
NCR Corp., Gtd. Notes, 144A | 5.875% | 12/15/21 | 3,200 | 3,376,000 | ||||||||||
Nortel Networks Ltd. (Canada), Gtd. Notes(c) | 10.125% | (a)(e) | 07/15/13 | 3,050 | 3,492,250 | |||||||||
Nuance Communications, Inc., Gtd. Notes, 144A | 5.375% | 08/15/20 | 9,275 | 9,599,625 | ||||||||||
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A | 5.750% | 02/15/21 | 4,660 | 4,898,825 | ||||||||||
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A | 5.750% | 03/15/23 | 6,850 | 7,201,062 | ||||||||||
Sensata Technologies BV (Netherlands), Gtd. Notes, 144A | 4.875% | 10/15/23 | 6,075 | 6,029,438 | ||||||||||
Sensata Technologies BV (Netherlands), Gtd. Notes, 144A(d) | 6.500% | 05/15/19 | 3,531 | 3,756,101 | ||||||||||
Sophia LP/Sophia Finance, Inc., Gtd. Notes, 144A | 9.750% | 01/15/19 | 7,265 | 7,991,500 | ||||||||||
Sungard Availability Services Capital, Inc., Gtd. Notes, 144A(d) | 8.750% | 04/01/22 | 4,925 | 4,580,250 | ||||||||||
SunGard Data Systems, Inc., Gtd. Notes(d) | 6.625% | 11/01/19 | 7,100 | 7,472,750 | ||||||||||
SunGard Data Systems, Inc., Gtd. Notes | 7.375% | 11/15/18 | 246 | 259,838 | ||||||||||
Syniverse Holdings, Inc., Gtd. Notes | 9.125% | 01/15/19 | 4,830 | 5,174,138 | ||||||||||
TransUnion Holding Co., Inc., Sr. Unsec’d. Notes | 8.125% | 06/15/18 | 750 | 783,000 | ||||||||||
TransUnion Holding Co., Inc., Sr. Unsec’d. Notes | 9.625% | 06/15/18 | 17,050 | 17,953,650 | ||||||||||
366,674,324 | ||||||||||||||
Telecommunications — 5.1% | ||||||||||||||
CenturyLink, Inc., Series G, Sr. Unsec’d. Notes | 6.875% | 01/15/28 | 4,000 | 4,080,000 | ||||||||||
CenturyLink, Inc., Series Q, Sr. Unsec’d. Notes(d) | 6.150% | 09/15/19 | 3,031 | 3,303,790 | ||||||||||
CenturyLink, Inc., Series W, Sr. Unsec’d. Notes(d) | 6.750% | 12/01/23 | 1,280 | 1,398,400 | ||||||||||
Crown Castle International Corp., Sr. Unsec’d. Notes | 5.250% | 01/15/23 | 5,150 | 5,368,875 | ||||||||||
Digicel Group Ltd. (Jamaica), Sr. Unsec’d. Notes, 144A | 7.125% | 04/01/22 | 3,600 | 3,753,000 | ||||||||||
Digicel Group Ltd. (Jamaica), Sr. Unsec’d. Notes, 144A | 8.250% | 09/30/20 | 6,100 | 6,649,000 | ||||||||||
Eileme 2 AB (Poland), Sr. Sec’d. Notes, 144A | 11.625% | 01/31/20 | 6,315 | 7,546,425 | ||||||||||
Frontier Communications Corp., Sr. Unsec’d. Notes(d) | 7.125% | 01/15/23 | 1,950 | 2,067,000 | ||||||||||
Frontier Communications Corp., Sr. Unsec’d. Notes(d) | 8.500% | 04/15/20 | 250 | 295,000 | ||||||||||
Frontier Communications Corp., Sr. Unsec’d. Notes(d) | 8.750% | 04/15/22 | 4,400 | 5,104,000 | ||||||||||
Level 3 Financing, Inc., Gtd. Notes(d) | 7.000% | 06/01/20 | 3,625 | 3,960,312 | ||||||||||
Level 3 Financing, Inc., Gtd. Notes | 8.125% | 07/01/19 | 1,275 | 1,391,344 | ||||||||||
Level 3 Financing, Inc., Gtd. Notes | 8.625% | 07/15/20 | 2,250 | 2,520,000 | ||||||||||
Northwestern Bell Telephone, Sr. Unsec’d. Notes | 7.750% | 05/01/30 | 750 | 842,609 | ||||||||||
SBA Communications Corp., Sr. Unsec’d. Notes, 144A | 4.875% | 07/15/22 | 2,500 | 2,468,750 | ||||||||||
SoftBank Corp. (Japan), Gtd. Notes, 144A(d) | 4.500% | 04/15/20 | 4,790 | 4,867,837 | ||||||||||
Sprint Capital Corp., Gtd. Notes | 6.875% | 11/15/28 | 14,220 | 14,362,200 | ||||||||||
Sprint Capital Corp., Gtd. Notes(d) | 6.900% | 05/01/19 | 14,940 | 16,471,350 | ||||||||||
Sprint Communications, Inc., Gtd. Notes, 144A | 9.000% | 11/15/18 | 2,656 | 3,220,400 | ||||||||||
Sprint Communications, Inc., Sr. Unsec’d. Notes | 9.125% | 03/01/17 | 2,250 | 2,635,313 |
SEE NOTES TO FINANCIAL STATEMENTS.
A122
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Telecommunications (continued) | ||||||||||||||
Sprint Corp., Gtd. Notes, 144A | 7.125% | 06/15/24 | 9,650 | $ | 10,229,000 | |||||||||
Sprint Nextel Corp., Gtd. Notes, 144A(d) | 7.000% | 03/01/20 | 4,225 | 4,858,750 | ||||||||||
Sprint Nextel Corp., Gtd. Notes, 144A | 7.875% | 09/15/23 | 6,305 | 7,014,312 | ||||||||||
Sprint Nextel Corp., Sr. Unsec’d. Notes(d) | 6.000% | 11/15/22 | 1,325 | 1,351,500 | ||||||||||
Sprint Nextel Corp., Sr. Unsec’d. Notes(d) | 7.000% | 08/15/20 | 2,075 | 2,295,469 | ||||||||||
T-Mobile USA, Inc., Gtd. Notes | 6.464% | 04/28/19 | 695 | 731,488 | ||||||||||
T-Mobile USA, Inc., Gtd. Notes | 6.633% | 04/28/21 | 5,650 | 6,116,125 | ||||||||||
Telecom Italia SpA (Italy), Sr. Unsec’d. Notes, 144A | 5.303% | 05/30/24 | 8,525 | 8,556,969 | ||||||||||
Wind Acquisition Finance SA (Italy), Gtd. Notes, 144A | 7.375% | 04/23/21 | 13,425 | 14,331,187 | ||||||||||
Wind Acquisition Finance SA (Italy), Sr. Sec’d. Notes, 144A | 7.250% | 02/15/18 | 3,070 | 3,243,455 | ||||||||||
Windstream Corp., Gtd. Notes(d) | 6.375% | 08/01/23 | 6,675 | 6,766,781 | ||||||||||
Windstream Corp., Gtd. Notes(d) | 7.500% | 06/01/22 | 925 | 1,007,094 | ||||||||||
Windstream Corp., Gtd. Notes(d) | 7.500% | 04/01/23 | 5,085 | 5,504,512 | ||||||||||
Windstream Corp., Gtd. Notes(d) | 7.750% | 10/15/20 | 1,510 | 1,636,463 | ||||||||||
165,948,710 | ||||||||||||||
Tobacco — 0.3% | ||||||||||||||
Vector Group Ltd., Sr. Sec’d. Notes | 7.750% | 02/15/21 | 8,205 | 8,738,326 | ||||||||||
Transportation — 0.8% | ||||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes | 9.750% | 03/15/20 | 3,850 | 4,360,125 | ||||||||||
Hertz Corp. (The), Gtd. Notes(d) | 5.875% | 10/15/20 | 1,375 | 1,436,875 | ||||||||||
Hertz Corp. (The), Gtd. Notes(d) | 6.750% | 04/15/19 | 4,200 | 4,452,000 | ||||||||||
Kenan Advantage Group, Inc. (The), Sr. Unsec’d. Notes, 144A Private Placement | 8.375% | 12/15/18 | 9,270 | 9,918,900 | ||||||||||
Navios Maritime Holdings, Inc./Navios Maritime Finance II US, Inc., Sr. Sec’d. Notes, | 7.375% | 01/15/22 | 5,850 | 6,025,500 | ||||||||||
26,193,400 | ||||||||||||||
Transportation Services — 0.2% | ||||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes, | 5.125% | 06/01/22 | 6,650 | 6,658,312 | ||||||||||
TOTAL CORPORATE BONDS |
| 3,081,202,098 | ||||||||||||
Shares | ||||||||||||||
COMMON STOCKS | ||||||||||||||
Cable | ||||||||||||||
Adelphia Recovery Trust*(c) | 500,000 | 500 | ||||||||||||
Media | ||||||||||||||
DEX Media, Inc.*(d) | 36,485 | 406,443 | ||||||||||||
Telecommunications | ||||||||||||||
Netia SA (Poland)* | 227,114 | 388,133 | ||||||||||||
TOTAL COMMON STOCKS |
| 795,076 | ||||||||||||
PREFERRED STOCKS — 0.1% | ||||||||||||||
Banking — 0.1% | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 87,000 | 2,289,840 | ||||||||||||
Building Materials & Construction | ||||||||||||||
New Millennium Homes LLC Private Placement | 3,000 | 162,000 | ||||||||||||
Cable | ||||||||||||||
Adelphia Communications Corp. (Class A Stock)* | 5,000 | 5 | ||||||||||||
TOTAL PREFERRED STOCKS |
| 2,451,845 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A123
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
WARRANTS* | Units | Value (Note 2) | ||||||||||
Media & Entertainment | ||||||||||||
MediaNews Group, Inc., expiring 03/19/17 Private Placement | 5,557 | $ | 56 | |||||||||
Telecommunications | ||||||||||||
Hawaiian Telcom Holdco, Inc., expiring 10/28/15 | 19,187 | 268,618 | ||||||||||
TOTAL WARRANTS |
| 268,674 | ||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 3,166,409,110 | ||||||||||
SHORT-TERM INVESTMENTS — 23.4% | Shares | |||||||||||
AFFILIATED MUTUAL FUNDS | ||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund | 531,496 | 4,974,803 | ||||||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund | 763,046,993 | 763,046,993 | ||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 768,021,796 | ||||||||||
TOTAL INVESTMENTS — 119.9% |
| 3,934,430,906 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (19.9)% |
| (651,772,129 | ) | |||||||||
NET ASSETS — 100.0% |
| $ | 3,282,658,777 | |||||||||
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 | |
CDX | Credit Derivative Index | |
CLO | Collateralized Loan Obligation | |
GMTN | Global Medium Term Note | |
MTN | Medium Term Note | |
PIK | Payment-in-Kind |
# | Principal 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 June 30, 2014. |
(b) | Indicates a restricted security; the aggregate cost of the securities is $166,817,659. The aggregate value, $173,965,621, is approximately 5.3% of net assets. |
(c) | Indicates a security or securities that have been deemed illiquid. |
(d) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $676,840,662; cash collateral of $693,223,956 (included in liabilities) was received with which the Portfolio’s purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(e) | Represents issuer in default on interest payments. Non-income producing security. Such security may be post maturity. |
(f) | 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. |
(g) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
Credit default swap agreements outstanding at June 30, 2014:
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2014(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 | % | $ | 193,419 | $ | — | $ | 193,419 | Goldman Sachs & Co. | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A124
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Credit default swap agreements outstanding at June 30, 2014 (continued):
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.19.V2 | 12/20/17 | 5.000% | 5,940 | $ | 558,151 | $ | 10,725 | $ | 547,426 | Barclays Capital Group | ||||||||||||||||
CDX.NA.HY.19.V2 | 12/20/17 | 5.000% | 6,435 | 604,663 | 294,937 | 309,726 | �� | Deutsche Bank AG | ||||||||||||||||||
CDX.NA.HY.20.V2 | 06/20/18 | 5.000% | 19,800 | 1,929,831 | 1,383,250 | 546,581 | Barclays Capital Group | |||||||||||||||||||
$ | 3,092,645 | $ | 1,688,912 | $ | 1,403,733 | |||||||||||||||||||||
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at June 30, 2014 | Unrealized Appreciation | ||||||||||||||||||
Exchange-traded credit default swaps on credit indices—Sell Protection(1): |
| |||||||||||||||||||||||
CDX.NA.HY.21.V2 | 12/20/18 | 5.000% | 84,645 | $ | 6,572,826 | $ | 7,716,788 | $ | 1,143,962 | |||||||||||||||
(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. |
(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. |
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 June 30, 2014 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | $ | — | $ | 13,393,010 | $ | — | ||||||
Residential Mortgage-Backed Securities | — | 864,228 | — | |||||||||
Bank Loans | — | 52,667,735 | 13,075,625 | |||||||||
Collateralized Mortgage Obligations | — | 1,690,819 | — | |||||||||
Corporate Bonds | — | 3,071,232,034 | 9,970,064 | |||||||||
Common Stocks | 794,576 | — | 500 | |||||||||
Preferred Stocks | 2,289,840 | — | 162,005 | |||||||||
Warrants | 268,618 | — | 56 | |||||||||
Affiliated Mutual Funds | 768,021,796 | — | — | |||||||||
Other Financial Instruments* | ||||||||||||
Credit Default Swap Agreements | — | 2,741,114 | — | |||||||||
Total | $ | 771,374,830 | $ | 3,142,588,940 | $ | 23,208,250 | ||||||
* | 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.
A125
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
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 Stock | Warrants | ||||||||||||||||
Balance as of 12/31/13 | $ | 17,060,000 | $ | 8,930,787 | $ | 500 | $ | 282,005 | $ | 56 | ||||||||||
Realized gain (loss) | — | (97,204 | ) | — | 131,700 | — | ||||||||||||||
Change in unrealized appreciation (depreciation)** | (118,265 | ) | 445,116 | — | (120,000 | ) | — | |||||||||||||
Purchases | 990,000 | 1,746,656 | — | — | — | |||||||||||||||
Sales | (4,874,113 | ) | (1,035,584 | ) | — | (131,700 | ) | — | ||||||||||||
Accrued discount/premium | 18,003 | (19,707 | ) | — | — | — | ||||||||||||||
Transfer into Level 3 | — | — | — | — | — | |||||||||||||||
Transfer out of Level 3 | — | — | — | — | — | |||||||||||||||
Balance as of 06/30/14 | $ | 13,075,625 | $ | 9,970,064 | $ | 500 | $ | 162,005 | $ | 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, $286,643 was included in Net Assets relating to securities held at the reporting period end. |
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by 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.
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2014 was as follows:
Affiliated Mutual Funds (including 21.1% of collateral for securities on loan) | 23.4 | % | ||
Technology | 12.2 | |||
Energy – Other | 9.4 | |||
Healthcare & Pharmaceutical | 7.7 | |||
Capital Goods | 6.7 | |||
Electric | 5.7 | |||
Gaming | 5.3 | |||
Telecommunications | 5.1 | |||
Cable | 3.9 | |||
Chemicals | 3.6 | |||
Media & Entertainment | 3.6 | |||
Foods | 3.5 | |||
Packaging | 3.5 | |||
Pipelines & Other | 3.3 | |||
Building Materials & Construction | 3.1 | |||
Automotive | 2.7 | |||
Retailers | 2.7 | |||
Metals | 2.6 |
Non-Captive Finance | 2.2 | % | ||
Aerospace & Defense | 2.0 | |||
Consumer | 2.0 | |||
Real Estate Investment Trusts | 1.6 | |||
Banking | 1.3 | |||
Transportation | 0.8 | |||
Collateralized Loan Obligations | 0.4 | |||
Lodging | 0.4 | |||
Paper | 0.3 | |||
Tobacco | 0.3 | |||
Energy – Integrated | 0.2 | |||
Transportation Services | 0.2 | |||
Collateralized Mortgage Obligations | 0.1 | |||
Healthcare Insurance | 0.1 | |||
119.9 | ||||
Liabilities in excess of other assets | (19.9 | ) | ||
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 June 30, 2014 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Credit contracts | Due to broker — variation margin | $ | 1,143,962 | * | — | $ | — | |||||
Credit contracts | Premiums paid for swap agreements | 1,688,912 | — | — | ||||||||
Credit contracts | Unrealized appreciation on over-the-counter swap agreements | 1,597,152 | — | — | ||||||||
Equity contracts | Unaffiliated investments | 268,674 | — | — | ||||||||
Total | $ | 4,698,700 | $ | — | ||||||||
* | 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.
A126
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2014 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 | Swaps | Warrants* | Total | |||||||||
Credit contracts | $ | 5,686,994 | $ | — | $ | 5,686,994 | ||||||
Equity contracts | — | (55,812 | ) | (55,812 | ) | |||||||
$ | 5,686,994 | $ | (55,812 | ) | $ | 5,631,182 | ||||||
* | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Swaps | Warrants* | Total | |||||||||
Credit contracts | $ | (3,573,778 | ) | $ | — | $ | (3,573,778 | ) | ||||
Equity contracts | — | 30,421 | 30,421 | |||||||||
$ | (3,573,778 | ) | $ | 30,421 | $ | (3,543,357 | ) | |||||
* | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2014, the Portfolio’s average notional amount for credit default swaps as writer was $98,997,000.
Offsetting of over-the-counter (OTC) derivative assets and liabilities:
The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.
Counterparty | Gross amounts of recognized assets(1) | Gross amounts available for offset | Collateral Received(3) | Net Amount | ||||||||||||
Bank of America | $ | — | $ | — | $ | (573,271 | ) | $ | — | |||||||
Barclays Capital Group | 2,487,982 | — | (2,349,970 | ) | 138,012 | |||||||||||
Deutsche Bank AG | 604,663 | — | — | 604,663 | ||||||||||||
Goldman Sachs & Co. | 193,419 | — | (242,918 | ) | — | |||||||||||
$ | 3,286,064 | |||||||||||||||
Counterparty | Gross amounts of recognized liabilities(2) | Gross amounts available for offset | Collateral Pledged(3) | Net Amount | ||||||||||||
Bank of America | $ | — | $ | — | $ | — | $ | — | ||||||||
Barclays Capital Group | — | — | — | — | ||||||||||||
Deutsche Bank AG | — | — | — | — | ||||||||||||
Goldman Sachs & Co. | — | — | — | — | ||||||||||||
$ | — | |||||||||||||||
(1) | Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options. |
(2) | Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options. |
(3) | Amounts shown reflect actual collateral received or pledged by the Portfolio. Such amounts are applied up to 100% of the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A127
HIGH YIELD BOND PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
June 30, 2014
ASSETS | ||||
Investments at value, including securities on loan of $676,840,662: | ||||
Unaffiliated investments (cost $3,047,922,410) | $ | 3,166,409,110 | ||
Affiliated investments (cost $768,092,653) | 768,021,796 | |||
Cash | 5,314,502 | |||
Foreign currency, at value (cost $58,468) | 60,529 | |||
Dividends and interest receivable | 51,781,396 | |||
Receivable for investments sold | 11,990,081 | |||
Premium paid for swap agreements | 1,688,912 | |||
Unrealized appreciation on over-the-counter swap agreements | 1,597,152 | |||
Receivable for Series shares sold | 603 | |||
Prepaid expenses | 5,659 | |||
Total Assets | 4,006,869,740 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 693,223,956 | |||
Payable for investments purchased | 27,352,880 | |||
Payable for Series shares reacquired | 1,803,280 | |||
Management fee payable | 1,478,868 | |||
Accrued expenses | 204,839 | |||
Due to broker—variation margin | 143,811 | |||
Deferred trustees’ fees | 2,403 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 724,210,963 | |||
NET ASSETS | $ | 3,282,658,777 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 3,352,449,785 | ||
Retained earnings | (69,791,008 | ) | ||
Net assets, June 30, 2014 | $ | 3,282,658,777 | ||
Net asset value and redemption price per share $3,282,658,777 / 607,409,816 outstanding shares of beneficial interest | $ | 5.40 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2014
NET INVESTMENT INCOME | ||||
INCOME | ||||
Interest income | $ | 102,208,869 | ||
Affiliated income from securities loaned, net | 650,421 | |||
Affiliated dividend income | 108,699 | |||
Unaffiliated dividend income | 82,847 | |||
Total income | 103,050,836 | |||
EXPENSES | ||||
Management fee | 8,691,919 | |||
Custodian’s fees and expenses | 171,000 | |||
Shareholders’ reports | 74,000 | |||
Insurance expenses | 23,000 | |||
Audit fee | 20,000 | |||
Trustees’ fees | 17,000 | |||
Legal fees and expenses | 8,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Commitment fee on syndicated credit agreement | 2,000 | |||
Miscellaneous | 10,041 | |||
Total expenses | 9,022,960 | |||
NET INVESTMENT INCOME | 94,027,876 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 18,594,834 | |||
Swap agreements transactions | 5,686,994 | |||
Foreign currency transactions | (68 | ) | ||
24,281,760 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated: $26,477) | 50,270,617 | |||
Swap agreements | (3,573,778 | ) | ||
Foreign currencies | 85 | |||
46,696,924 | ||||
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 70,978,684 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 165,006,560 | ||
STATEMENT OF CHANGES IN NET ASSETS (Unaudited)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 94,027,876 | $ | 183,087,862 | ||||
Net realized gain on investment transactions | 24,281,760 | 53,328,223 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 46,696,924 | (36,487,575 | ) | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 165,006,560 | 199,928,510 | ||||||
DISTRIBUTIONS | (96,917,336 | ) | (184,894,260 | ) | ||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [26,756,886 and 19,157,710 shares, respectively] | 143,523,135 | 102,403,661 | ||||||
Series shares issued in reinvestment of distributions [18,114,717 and 35,311,797 shares, respectively] | 96,917,336 | 184,894,260 | ||||||
Series shares repurchased [8,623,579 and 23,256,125 shares, respectively] | (46,370,819 | ) | (123,671,701 | ) | ||||
NET INCREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | 194,069,652 | 163,626,220 | ||||||
TOTAL INCREASE | 262,158,876 | 178,660,470 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 3,020,499,901 | 2,841,839,431 | ||||||
End of period | $ | 3,282,658,777 | $ | 3,020,499,901 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A128
JENNISON PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
LONG-TERM INVESTMENTS — 99.6% | ||||||||
COMMON STOCKS | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 4.9% |
| |||||||
Boeing Co. (The) | 231,886 | $ | 29,502,856 | |||||
Precision Castparts Corp. | 112,751 | 28,458,352 | ||||||
United Technologies Corp. | 175,835 | 20,300,151 | ||||||
78,261,359 | ||||||||
Automobiles — 1.2% |
| |||||||
Tesla Motors, Inc.*(a) | 81,662 | 19,603,780 | ||||||
Biotechnology — 9.4% |
| |||||||
Alexion Pharmaceuticals, Inc.* | 161,069 | 25,167,031 | ||||||
Biogen Idec, Inc.* | 132,236 | 41,695,333 | ||||||
Celgene Corp.* | 312,358 | 26,825,305 | ||||||
Gilead Sciences, Inc.* | 299,692 | 24,847,464 | ||||||
Incyte Corp. Ltd.*(a) | 118,138 | 6,667,709 | ||||||
Intercept Pharmaceuticals, Inc.*(a) | 21,347 | 5,051,341 | ||||||
Vertex Pharmaceuticals, Inc.* | 212,834 | 20,151,123 | ||||||
150,405,306 | ||||||||
Capital Markets — 1.0% |
| |||||||
Morgan Stanley | 480,279 | 15,527,420 | ||||||
Chemicals — 2.1% |
| |||||||
Monsanto Co. | 266,051 | 33,187,202 | ||||||
Communications Equipment — 1.0% |
| |||||||
QUALCOMM, Inc. | 199,794 | 15,823,685 | ||||||
Energy Equipment & Services — 2.6% |
| |||||||
Schlumberger Ltd. | 347,742 | 41,016,169 | ||||||
Food & Staples Retailing — 1.8% |
| |||||||
Costco Wholesale Corp. | 219,984 | 25,333,357 | ||||||
Whole Foods Market, Inc. | 72,155 | 2,787,348 | ||||||
28,120,705 | ||||||||
Food Products — 1.7% | ||||||||
Mead Johnson Nutrition Co. | 135,545 | 12,628,728 | ||||||
Mondelez International, Inc. (Class A Stock) | 409,274 | 15,392,795 | ||||||
28,021,523 | ||||||||
Health Care Equipment & Supplies — 1.6% |
| |||||||
Abbott Laboratories | 627,253 | 25,654,648 | ||||||
Hotels, Restaurants & Leisure — 5.7% |
| |||||||
Chipotle Mexican Grill, Inc.* | 33,221 | 19,683,775 | ||||||
Dunkin’ Brands Group, Inc.(a) | 285,817 | 13,093,277 | ||||||
Las Vegas Sands Corp. | 202,467 | 15,432,035 | ||||||
Marriott International, Inc. (Class A Stock)(a) | 297,982 | 19,100,646 | ||||||
Starbucks Corp. | 312,370 | 24,171,190 | ||||||
91,480,923 | ||||||||
Internet & Catalog Retail — 7.6% |
| |||||||
Amazon.com, Inc.* | 140,776 | 45,721,229 | ||||||
Netflix, Inc.* | 53,960 | 23,774,776 | ||||||
Priceline Group, Inc. (The)* | 32,084 | 38,597,052 | ||||||
TripAdvisor, Inc.*(a) | 121,993 | 13,255,760 | ||||||
121,348,817 | ||||||||
Internet Software & Services — 9.1% |
| |||||||
Facebook, Inc. (Class A Stock)* | 678,593 | 45,662,523 | ||||||
Google, Inc. (Class A Stock)* | 53,880 | 31,502,019 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Internet Software & Services (continued) |
| |||||||
Google, Inc. (Class C Stock)* | 55,163 | $ | 31,734,171 | |||||
LinkedIn Corp. (Class A Stock)* | 130,170 | 22,320,250 | ||||||
Pandora Media, Inc.*(a) | 176,798 | 5,215,541 | ||||||
Twitter Inc*(a) | 228,266 | 9,352,058 | ||||||
145,786,562 | ||||||||
IT Services — 6.4% |
| |||||||
FleetCor Technologies, Inc.* | 93,887 | 12,374,307 | ||||||
MasterCard, Inc. (Class A Stock) | 732,068 | 53,785,036 | ||||||
Visa, Inc. (Class A Stock)(a) | 170,667 | 35,961,243 | ||||||
102,120,586 | ||||||||
Life Sciences Tools & Services — 1.8% |
| |||||||
Illumina, Inc.* | 164,354 | 29,343,763 | ||||||
Media — 3.9% | ||||||||
Discovery Communications, Inc. (Class A Stock)* | 165,058 | 12,260,508 | ||||||
Twenty-First Century Fox, Inc. (Class A Stock) | 522,643 | 18,370,901 | ||||||
Walt Disney Co. (The) | 376,575 | 32,287,541 | ||||||
62,918,950 | ||||||||
Oil, Gas & Consumable Fuels — 3.0% |
| |||||||
Concho Resources, Inc.* | 167,829 | 24,251,291 | ||||||
EOG Resources, Inc. | 204,676 | 23,918,437 | ||||||
48,169,728 | ||||||||
Pharmaceuticals — 6.5% | ||||||||
Allergan, Inc. | 94,825 | 16,046,287 | ||||||
Bristol-Myers Squibb Co. | 474,414 | 23,013,823 | ||||||
Merck & Co., Inc. | 378,757 | 21,911,092 | ||||||
Novo Nordisk A/S (Denmark), ADR | 666,047 | 30,764,711 | ||||||
Perrigo Co. PLC(a) | 79,711 | 11,618,675 | ||||||
103,354,588 | ||||||||
Real Estate Investment Trusts (REITs) — 1.3% |
| |||||||
American Tower Corp. | 222,635 | 20,032,697 | ||||||
Road & Rail — 2.9% | ||||||||
Canadian Pacific Railway Ltd. (Canada) | 130,208 | 23,585,877 | ||||||
Union Pacific Corp. | 234,406 | 23,381,999 | ||||||
46,967,876 | ||||||||
Semiconductors & Semiconductor Equipment — 0.6% |
| |||||||
ARM Holdings PLC (United Kingdom), ADR(a) | 200,474 | 9,069,444 | ||||||
Software — 8.0% | ||||||||
Adobe Systems, Inc.* | 279,163 | 20,200,235 | ||||||
FireEye, Inc.*(a) | 156,093 | 6,329,571 | ||||||
Red Hat, Inc.* | 403,758 | 22,315,704 | ||||||
salesforce.com, Inc.*(a) | 496,949 | 28,862,798 | ||||||
Splunk, Inc.* | 238,097 | 13,173,907 | ||||||
VMware, Inc. (Class A Stock)*(a) | 209,027 | 20,235,904 | ||||||
Workday, Inc. (Class A Stock)*(a) | 179,059 | 16,090,242 | ||||||
127,208,361 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A129
JENNISON PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Specialty Retail — 5.0% | ||||||||
Inditex SA (Spain) | 177,662 | $ | 27,343,053 | |||||
O’Reilly Automotive, Inc.*(a) | 82,503 | 12,424,952 | ||||||
Tiffany & Co. | 158,624 | 15,902,056 | ||||||
TJX Cos., Inc. (The) | 471,550 | 25,062,882 | ||||||
80,732,943 | ||||||||
Technology Hardware, Storage & Peripherals — 4.1% |
| |||||||
Apple, Inc. | 703,787 | 65,402,926 | ||||||
Textiles, Apparel & Luxury Goods — 6.4% |
| |||||||
Luxottica Group SpA (Italy) | 278,827 | 16,145,682 | ||||||
Michael Kors Holdings Ltd.* | 212,923 | 18,875,624 | ||||||
NIKE, Inc. (Class B Stock) | 413,113 | 32,036,913 | ||||||
Swatch Group AG (The) (Switzerland) (Bearer Shares) | 24,500 | 14,772,696 | ||||||
Under Armour, Inc. | 344,590 | 20,499,659 | ||||||
102,330,574 | ||||||||
TOTAL LONG-TERM INVESTMENTS |
| 1,591,890,535 | ||||||
SHORT-TERM INVESTMENT — 13.4% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $214,618,158; includes $210,497,380 of cash collateral for securities on loan) | 214,618,158 | 214,618,158 | ||||||
TOTAL INVESTMENTS — 113.0% |
| 1,806,508,693 | ||||||
LIABILITIES IN EXCESS OF |
| (208,015,832 | ) | |||||
NET ASSETS — 100.0% |
| $ | 1,598,492,861 | |||||
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 $206,693,576; cash collateral of $210,497,380 (included with liabilities) was received with which the Portfolio’s purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
(c) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1—quoted | prices generally in active markets for identical securities. |
Level 2—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 June 30, 2014 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
| |||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 78,261,359 | $ | — | $ | — | ||||||
Automobiles | 19,603,780 | — | — | |||||||||
Biotechnology | 150,405,306 | — | — | |||||||||
Capital Markets | 15,527,420 | — | — | |||||||||
Chemicals | 33,187,202 | — | — | |||||||||
Communications Equipment | 15,823,685 | — | — | |||||||||
Energy Equipment & Services | 41,016,169 | — | — | |||||||||
Food & Staples Retailing | 28,120,705 | — | — | |||||||||
Food Products | 28,021,523 | — | — | |||||||||
Health Care Equipment & Supplies | 25,654,648 | — | — | |||||||||
Hotels, Restaurants & Leisure | 91,480,923 | — | — | |||||||||
Internet & Catalog Retail | 121,348,817 | — | — | |||||||||
Internet Software & Services | 145,786,562 | — | — | |||||||||
IT Services | 102,120,586 | — | — | |||||||||
Life Sciences Tools & Services | 29,343,763 | — | — | |||||||||
Media | 62,918,950 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 48,169,728 | — | — | |||||||||
Pharmaceuticals | 103,354,588 | — | — | |||||||||
Real Estate Investment Trusts (REITs) | 20,032,697 | — | — | |||||||||
Road & Rail | 46,967,876 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 9,069,444 | — | — | |||||||||
Software | 127,208,361 | — | — | |||||||||
Specialty Retail | 53,389,890 | 27,343,053 | — | |||||||||
Technology Hardware, Storage & Peripherals | 65,402,926 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 71,412,196 | 30,918,378 | — | |||||||||
Affiliated Money Market Mutual Fund | 214,618,158 | — | — | |||||||||
Total | $ | 1,748,247,262 | $ | 58,261,431 | $ | — | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A130
JENNISON PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2014 was as follows:
Affiliated Money Market Mutual Fund (including 13.2% of collateral for securities on loan) | 13.4 | % | ||
Biotechnology | 9.4 | |||
Internet Software & Services | 9.1 | |||
Software | 8.0 | |||
Internet & Catalog Retail | 7.6 | |||
Pharmaceuticals | 6.5 | |||
IT Services | 6.4 | |||
Textiles, Apparel & Luxury Goods | 6.4 | |||
Hotels, Restaurants & Leisure | 5.7 | |||
Specialty Retail | 5.0 | |||
Aerospace & Defense | 4.9 | |||
Technology Hardware, Storage & Peripherals | 4.1 | |||
Media | 3.9 | |||
Oil, Gas & Consumable Fuels | 3.0 | |||
Road & Rail | 2.9 | |||
Energy Equipment & Services | 2.6 | |||
Chemicals | 2.1 | |||
Food & Staples Retailing | 1.8 | |||
Life Sciences Tools & Services | 1.8 | |||
Food Products | 1.7 | |||
Health Care Equipment & Supplies | 1.6 | |||
Real Estate Investment Trusts (REITs) | 1.3 | |||
Automobiles | 1.2 | |||
Capital Markets | 1.0 | |||
Communications Equipment | 1.0 | |||
Semiconductors & Semiconductor Equipment | 0.6 | |||
113.0 | ||||
Liabilities in excess of other assets | (13.0 | ) | ||
100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A131
JENNISON PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
June 30, 2014
ASSETS | ||||
Investments at value, including securities on loan of $206,693,576: | ||||
Unaffiliated investments (cost $890,435,564) | $ | 1,591,890,535 | ||
Affiliated investments (cost $214,618,158) | 214,618,158 | |||
Cash | 497,226 | |||
Receivable for investments sold | 5,015,771 | |||
Dividends receivable | 787,756 | |||
Tax reclaim receivable | 315,587 | |||
Receivable for Series shares sold | 7,756 | |||
Prepaid expenses | 1,807 | |||
Total Assets | 1,813,134,596 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 210,497,380 | |||
Payable for investments purchased | 2,143,060 | |||
Payable for Series shares repurchased | 1,047,275 | |||
Management fee payable | 777,611 | |||
Accrued expenses | 161,417 | |||
Distribution fee payable | 8,297 | |||
Administration fee payable | 5,067 | |||
Affiliated transfer agent fee payable | 926 | |||
Deferred trustees’ fees | 702 | |||
Total Liabilities | 214,641,735 | |||
NET ASSETS | $ | 1,598,492,861 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 1,256,392,360 | ||
Retained earnings | 342,100,501 | |||
Net assets, June 30, 2014 | $ | 1,598,492,861 | ||
Class I: | ||||
Net asset value and redemption price per share, $1,557,621,339 / 40,138,937 outstanding shares of beneficial interest | $ | 38.81 | ||
Class II: | ||||
Net asset value and redemption price per share, $40,871,522 / 1,079,018 outstanding shares of beneficial interest | $ | 37.88 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2014
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $188,516) | $ | 6,266,575 | ||
Affiliated income from securities loaned, net | 240,590 | |||
Affiliated dividend income | 4,427 | |||
Total income | 6,511,592 | |||
EXPENSES | ||||
Management fee | 4,676,234 | |||
Distribution fee—Class II | 49,604 | |||
Administration fee—Class II | 29,762 | |||
Custodian’s fees and expenses | 98,000 | |||
Shareholders’ reports | 81,000 | |||
Trustees’ fees | 11,000 | |||
Audit fee | 11,000 | |||
Insurance expenses | 11,000 | |||
Legal fees and expenses | 7,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Commitment fee on syndicated credit agreement | 2,000 | |||
Interest expense | 631 | |||
Miscellaneous | 9,580 | |||
Total expenses | 4,992,811 | |||
NET INVESTMENT INCOME | 1,518,781 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 84,357,273 | |||
Foreign currency transactions | (12,450 | ) | ||
84,344,823 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (17,115,054 | ) | ||
Foreign currencies | (8 | ) | ||
(17,115,062 | ) | |||
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 67,229,761 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 68,748,542 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 1,518,781 | $ | 2,402,557 | ||||
Net realized gain on investment and foreign currency transactions | 84,344,823 | 132,807,455 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (17,115,062 | ) | 313,910,851 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 68,748,542 | 449,120,863 | ||||||
SERIES SHARE TRANSACTIONS (Note 7) | ||||||||
Series shares sold | 11,438,812 | 24,077,738 | ||||||
Series shares repurchased | (73,884,354 | ) | (127,868,729 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (62,445,542 | ) | (103,790,991 | ) | ||||
TOTAL INCREASE | 6,303,000 | 345,329,872 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 1,592,189,861 | 1,246,859,989 | ||||||
End of period | $ | 1,598,492,861 | $ | 1,592,189,861 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A132
MONEY MARKET PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
CERTIFICATES OF DEPOSIT — 22.5% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Bank of America NA | 0.180% | 08/27/14 | 9,000 | $ | 9,000,000 | |||||||||
Bank of America NA | 0.180% | 09/16/14 | 3,000 | 3,000,000 | ||||||||||
Bank of America NA | 0.250% | 11/03/14 | 5,000 | 5,000,000 | ||||||||||
Bank of Nova Scotia | 0.244% | (a) | 06/29/15 | 2,000 | 2,000,000 | |||||||||
Bank of Nova Scotia | 0.584% | (a) | 09/30/14 | 3,000 | 3,002,620 | |||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd. | 0.240% | 10/14/14 | 6,000 | 6,000,000 | ||||||||||
BNP Paribas SA | 0.210% | 08/18/14 | 2,000 | 2,000,000 | ||||||||||
BNP Paribas SA | 0.474% | (a) | 04/10/15 | 8,000 | 8,000,000 | |||||||||
Branch Banking & Trust Co. | 0.145% | 09/29/14 | 6,000 | 6,000,000 | ||||||||||
Branch Banking & Trust Co. | 0.150% | 07/23/14 | 7,000 | 7,000,000 | ||||||||||
Branch Banking & Trust Co. | 0.150% | 09/22/14 | 8,000 | 8,000,000 | ||||||||||
Canadian Imperial Bank Of Commerce | 0.223% | (a) | 05/06/15 | 2,000 | 2,000,000 | |||||||||
Canadian Imperial Bank Of Commerce | 0.224% | (a) | 06/17/15 | 3,000 | 3,000,000 | |||||||||
Citibank NA | 0.170% | 09/03/14 | 7,000 | 7,000,000 | ||||||||||
Citibank NA | 0.230% | 08/06/14 | 4,000 | 4,000,219 | ||||||||||
Citibank NA | 0.240% | 11/04/14 | 7,000 | 7,000,000 | ||||||||||
Credit Agricole SA | 0.240% | 09/02/14 | 5,000 | 5,000,000 | ||||||||||
Credit Agricole SA | 0.330% | 10/09/14 | 7,000 | 7,000,000 | ||||||||||
JPMorgan Chase Bank NA | 0.270% | (a) | 07/31/14 | 4,500 | 4,500,000 | |||||||||
JPMorgan Chase Bank NA | 0.277% | (a) | 07/29/14 | 4,000 | 4,000,467 | |||||||||
Natixis | 0.220% | 08/04/14 | 3,000 | 3,000,000 | ||||||||||
Norinchukin Bank | 0.210% | 07/31/14 | 3,000 | 3,000,000 | ||||||||||
Norinchukin Bank | 0.210% | 09/16/14 | 2,000 | 2,000,000 | ||||||||||
Rabobank Nederland | 0.277% | (a) | 04/14/15 | 3,000 | 3,000,000 | |||||||||
Rabobank Nederland | 0.278% | (a) | 05/29/15 | 6,000 | 6,000,225 | |||||||||
Royal Bank of Canada | 0.231% | (a) | 02/12/15 | 1,000 | 1,000,000 | |||||||||
Royal Bank of Canada | 0.254% | (a) | 10/17/14 | 5,000 | 5,000,000 | |||||||||
Standard Chartered Bank | 0.280% | 10/27/14 | 2,000 | 2,000,000 | ||||||||||
Standard Chartered Bank | 0.282% | (a) | 10/16/14 | 6,000 | 6,000,000 | |||||||||
State Street Bank & Trust Co. | 0.201% | (a) | 10/08/14 | 7,000 | 7,000,000 | |||||||||
State Street Bank & Trust Co | 0.230% | (a) | 03/12/15 | 2,000 | 2,000,000 | |||||||||
Sumitomo Mitsui Banking Corp. | 0.210% | 07/29/14 | 5,000 | 5,000,000 | ||||||||||
Sumitomo Mitsui Banking Corp. | 0.260% | 10/10/14 | 6,000 | 6,000,000 | ||||||||||
Svenska Handelsbanken AB | 0.396% | (a) | 11/17/14 | 1,000 | 1,000,679 | |||||||||
Svenska Handelsbanken AB | 0.401% | (a) | 12/19/14 | 6,000 | 6,005,205 | |||||||||
Svenska Handelsbanken AB | 0.410% | (a) | 10/06/14 | 7,275 | 7,278,968 | |||||||||
Toronto-Dominion Bank (The) | 0.222% | (a) | 07/28/14 | 4,000 | 4,000,000 | |||||||||
U.S. Bank NA | 0.171% | (a) | 12/09/14 | 5,000 | 5,000,000 | |||||||||
Wells Fargo Bank NA | 0.140% | 07/14/14 | 4,000 | 4,000,000 | ||||||||||
Wells Fargo Bank NA | 0.202% | (a) | 07/11/14 | 2,000 | 2,000,000 | |||||||||
Wells Fargo Bank NA | 0.203% | (a) | 08/20/14 | 3,000 | 3,000,000 | |||||||||
Wells Fargo Bank NA | 0.224% | (a) | 03/17/15 | 1,000 | 1,000,000 | |||||||||
Wells Fargo Bank NA | 0.232% | (a) | 05/12/15 | 3,000 | 3,000,000 | |||||||||
189,788,383 | ||||||||||||||
COMMERCIAL PAPER — 18.8% | ||||||||||||||
ABN AMRO Funding USA LLC, 144A | 0.250% | (b) | 08/05/14 | 1,000 | 999,757 | |||||||||
ABN AMRO Funding USA LLC, 144A | 0.310% | (b) | 10/08/14 | 4,000 | 3,996,590 | |||||||||
ABN AMRO Funding USA LLC, 144A | 0.310% | (b) | 11/05/14 | 3,000 | 2,996,719 | |||||||||
Caisse Centrale Desjardins du Quebec, 144A | 0.246% | (a) | 10/23/14 | 9,000 | 9,000,000 | |||||||||
CDP Financial, Inc., 144A | 0.160% | (b) | 09/02/14 | 1,000 | 999,720 | |||||||||
CDP Financial, Inc., 144A | 0.190% | (b) | 09/29/14 | 3,000 | 2,998,575 | |||||||||
CDP Financial, Inc., 144A | 0.190% | (b) | 10/06/14 | 4,000 | 3,997,952 | |||||||||
Commonwealth Bank of Australia, 144A | 0.233% | (a) | 04/23/15 | 8,000 | 8,000,000 | |||||||||
CPPIB Capital, Inc., 144A | 0.140% | (b) | 07/24/14 | 2,000 | 1,999,821 | |||||||||
CPPIB Capital, Inc., 144A | 0.140% | (b) | 07/21/14 | 2,000 | 1,999,844 | |||||||||
Credit Suisse | 0.250% | (b) | 09/15/14 | 6,000 | 5,996,833 | |||||||||
DNB Bank ASA, 144A | 0.233% | (a) | 11/07/14 | 3,000 | 3,000,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
A133
MONEY MARKET PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMERCIAL PAPER (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
DNB Bank ASA, 144A | 0.240% | (a) | 09/10/14 | 5,000 | $ | 5,000,000 | ||||||||
DNB Bank ASA, 144A | 0.244% | (a) | 01/16/15 | 7,000 | 7,000,000 | |||||||||
General Electric Capital Corp. | 0.200% | (b) | 10/14/14 | 3,000 | 2,998,250 | |||||||||
HSBC Bank PLC, 144A | 0.215% | (a) | 01/30/15 | 5,000 | 5,000,000 | |||||||||
HSBC Bank PLC, 144A | 0.221% | (a) | 05/07/15 | 3,000 | 3,000,000 | |||||||||
HSBC Bank PLC, 144A | 0.223% | (a) | 02/12/15 | 2,000 | 2,000,000 | |||||||||
ING (U.S.) Funding LLC | 0.301% | (b) | 10/22/14 | 2,000 | 1,998,117 | |||||||||
ING (U.S.) Funding LLC | 0.301% | (b) | 11/20/14 | 4,000 | 3,995,267 | |||||||||
International Finance Corp. | 0.070% | (b) | 07/25/14 | 4,000 | 3,999,813 | |||||||||
JPMorgan Securities LLC, 144A | 0.352% | (a) | 12/16/14 | 4,000 | 4,000,000 | |||||||||
JPMorgan Securities LLC, 144A | 0.354% | (a) | 11/18/14 | 4,000 | 4,000,000 | |||||||||
PNC Bank NA | 0.240% | (b) | 07/07/14 | 4,000 | 3,999,840 | |||||||||
PNC Bank NA | 0.301% | (b) | 08/25/14 | 7,000 | 6,996,792 | |||||||||
PNC Bank NA | 0.310% | 01/16/15 | 1,000 | 1,000,000 | ||||||||||
PSP Capital, Inc., 144A | 0.130% | (b) | 07/07/14 | 3,000 | 2,999,935 | |||||||||
PSP Capital, Inc., 144A | 0.150% | (b) | 07/16/14 | 5,000 | 4,999,687 | |||||||||
Schlumberger Investment SA, 144A | 0.120% | (b) | 08/14/14 | 14,000 | 13,997,947 | |||||||||
Schlumberger Investment SA, 144A | 0.130% | (b) | 07/11/14 | 3,000 | 2,999,892 | |||||||||
Skandinaviska Enskilda Banken AB, 144A | 0.260% | (b) | 10/14/14 | 6,000 | 5,995,450 | |||||||||
State Street Corp. | 0.140% | (b) | 08/29/14 | 3,000 | 2,999,312 | |||||||||
State Street Corp. | 0.140% | (b) | 09/03/14 | 6,000 | 5,998,507 | |||||||||
Swedbank AB | 0.230% | (b) | 01/05/15 | 4,000 | 3,995,195 | |||||||||
Swedbank AB | 0.255% | (b) | 10/17/14 | 5,000 | 4,996,175 | |||||||||
Toyota Motor Credit Corp. | 0.140% | (b) | 07/15/14 | 5,000 | 4,999,728 | |||||||||
Westpac Banking Corp., 144A | 0.233% | (a) | 04/29/15 | 3,000 | 3,000,000 | |||||||||
157,955,718 | ||||||||||||||
OTHER CORPORATE OBLIGATIONS — 9.7% | ||||||||||||||
Bank of New York Mellon Corp. (The), Sr. Unsec’d Notes | 0.498% | (a) | 07/28/14 | 5,000 | 5,001,205 | |||||||||
Caterpillar Financial Services Corp., Sr. Unsec’d Notes, MTN | 0.377% | (a) | 08/27/14 | 4,000 | 4,001,290 | |||||||||
Commonwealth Bank of Australia, Sr. Unsec’d. Notes | 1.950% | 03/16/15 | 1,000 | 1,011,201 | ||||||||||
Commonwealth Bank of Australia, Sr. Unsec’d. Notes, MTN, 144A | 3.750% | 10/15/14 | 3,000 | 3,029,803 | ||||||||||
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | 0.491% | (a) | 09/15/14 | 7,635 | 7,639,296 | |||||||||
International Bank for Reconstruction & Development, Sr. Unsec’d. Notes | 0.152% | (a) | 01/14/15 | 7,000 | 7,000,226 | |||||||||
International Finance Corp., Sr. Unsec’d., Notes, MTN | 0.150% | (a) | 01/28/15 | 6,000 | 6,000,357 | |||||||||
MetLife Institutional Funding II, Sec’d. Notes, 144A | 0.600% | (a) | 01/06/15 | 2,700 | 2,705,276 | |||||||||
National Australia Bank Ltd., Sr. Unsec’d. Notes, MTN, 144A | 1.178% | (a) | 07/25/14 | 3,500 | 3,502,195 | |||||||||
Principal Life Global Funding II, Sr. Sec’d. Notes, 144A | 0.391% | (a) | 09/19/14 | 11,175 | 11,179,207 | |||||||||
Principal Life Global Funding II, Sr. Sec’d. Notes, 144A | 0.854% | (a) | 07/09/14 | 3,200 | 3,200,450 | |||||||||
Royal Bank of Canada, Sr. Unsec’d. Notes, MTN | 0.460% | (a) | 01/06/15 | 3,000 | 3,003,535 | |||||||||
Sanofi, Sr. Unsec’d. Notes | 1.200% | 09/30/14 | 6,000 | 6,014,775 | ||||||||||
Toronto-Dominion Bank (The), Sr. Unsec’d. Notes | 0.527% | (a) | 07/14/14 | 5,960 | 5,960,682 | |||||||||
Toyota Motor Credit Corp., Sr. Unsec’d. Notes, MTN | 0.230% | (a) | 10/08/14 | 4,000 | 4,000,000 | |||||||||
Toyota Motor Credit Corp., Unsec’d. Notes, MTN | 0.227% | (a) | 01/14/15 | 5,000 | 5,000,000 | |||||||||
Wells Fargo Bank NA, Sr. Unsec’d. Notes | 0.508% | (a) | 07/20/15 | 3,000 | 3,008,035 | |||||||||
81,257,533 | ||||||||||||||
TIME DEPOSITS — 3.1% | ||||||||||||||
Australia & New Zealand Banking Group Ltd.(c) | 0.250% | 07/21/14 | 10,000 | 10,000,000 | ||||||||||
U.S. Bank NA | 0.150% | 07/01/14 | 9,886 | 9,886,000 | ||||||||||
U.S. Bank NA | 0.150% | 07/03/14 | 6,000 | 6,000,000 | ||||||||||
25,886,000 | ||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 32.6% | ||||||||||||||
Federal Farm Credit Bank | 0.181% | (a) | 07/27/15 | 2,000 | 2,001,580 | |||||||||
Federal Farm Credit Bank | 0.182% | (a) | 06/26/15 | 7,000 | 7,004,894 | |||||||||
Federal Home Loan Bank | 0.020% | (b) | 07/02/14 | 2,200 | 2,199,999 | |||||||||
Federal Home Loan Bank | 0.040% | (b) | 07/14/14-07/17/14 | 9,000 | 8,999,857 | |||||||||
Federal Home Loan Bank | 0.050% | (b) | 07/11/14-07/16/14 | 5,000 | 4,999,916 |
SEE NOTES TO FINANCIAL STATEMENTS.
A134
MONEY MARKET PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Federal Home Loan Bank | 0.057% | (b) | 07/30/14 | 13,000 | $ | 12,999,403 | ||||||||
Federal Home Loan Bank | 0.058% | (b) | 07/09/14 | 12,500 | 12,499,839 | |||||||||
Federal Home Loan Bank | 0.059% | (b) | 07/07/14 | 6,000 | 5,999,941 | |||||||||
Federal Home Loan Bank | 0.060% | (b) | 08/01/14-08/20/14 | 27,000 | 26,998,270 | |||||||||
Federal Home Loan Bank | 0.062% | (b) | 08/22/14 | 7,000 | 6,999,373 | |||||||||
Federal Home Loan Bank | 0.067% | (b) | 08/08/14 | 9,000 | 8,999,363 | |||||||||
Federal Home Loan Bank | 0.067% | (a) | 08/15/14 | 10,000 | 9,999,372 | |||||||||
Federal Home Loan Bank | 0.070% | (b) | 08/13/14-09/24/14 | 8,000 | 7,998,923 | |||||||||
Federal Home Loan Bank | 0.071% | (b) | 09/03/14 | 19,000 | 18,997,602 | |||||||||
Federal Home Loan Bank | 0.080% | (b) | 07/18/14-08/27/14 | 7,000 | 6,999,469 | |||||||||
Federal Home Loan Bank | 0.085% | (b) | 09/12/14 | 2,000 | 1,999,655 | |||||||||
Federal Home Loan Bank | 0.089% | (b) | 09/17/14 | 16,000 | 15,996,932 | |||||||||
Federal Home Loan Bank | 0.092% | (a) | 08/12/14 | 6,000 | 5,999,965 | |||||||||
Federal Home Loan Bank | 0.094% | (a) | 11/18/14 | 2,000 | 1,999,872 | |||||||||
Federal Home Loan Bank | 0.096% | (a) | 12/08/14 | 8,000 | 7,999,910 | |||||||||
Federal Home Loan Bank | 0.097% | (a) | 05/12/15 | 2,000 | 1,999,882 | |||||||||
Federal Home Loan Bank | 0.098% | (a) | 08/20/14 | 7,000 | 7,000,000 | |||||||||
Federal Home Loan Bank | 0.100% | (a) | 08/19/14-05/28/15 | 8,000 | 7,999,792 | |||||||||
Federal Home Loan Bank | 0.101% | (a) | 04/02/15 | 4,000 | 3,999,924 | |||||||||
Federal Home Loan Bank | 0.102% | (a) | 12/12/14-03/26/15 | 7,000 | 6,999,917 | |||||||||
Federal Home Loan Bank | 0.103% | (a) | 02/23/15 | 3,000 | 3,000,000 | |||||||||
Federal Home Loan Bank | 0.104% | (a) | 07/10/14-12/18/14 | 9,000 | 8,999,756 | |||||||||
Federal Home Loan Bank | 0.105% | (a) | 12/19/14 | 5,000 | 4,999,762 | |||||||||
Federal Home Loan Bank | 0.111% | (a) | 12/09/14 | 6,000 | 6,000,000 | |||||||||
Federal Home Loan Bank | 0.113% | (b) | 08/06/14 | 6,000 | 5,999,322 | |||||||||
Federal Home Loan Bank | 0.113% | (a) | 12/24/15 | 5,000 | 4,998,283 | |||||||||
Federal Home Loan Bank | 0.119% | (a) | 08/10/15 | 5,000 | 4,999,869 | |||||||||
Federal Home Loan Bank | 0.120% | 08/13/14 | 4,600 | 4,599,948 | ||||||||||
Federal Home Loan Bank | 0.131% | (a) | 11/18/14 | 6,000 | 5,999,884 | |||||||||
Federal Home Loan Mortgage Corp. | 0.132% | (a) | 10/16/15 | 2,000 | 2,000,274 | |||||||||
Federal Home Loan Mortgage Corp. | 0.144% | (a) | 07/17/15 | 9,000 | 9,002,901 | |||||||||
Federal Home Loan Mortgage Corp. | 1.000% | 07/30/14 | 4,505 | 4,508,388 | ||||||||||
Federal National Mortgage Assoc. | 0.121% | (a) | 08/05/15 | 4,000 | 4,000,465 | |||||||||
274,802,502 | ||||||||||||||
U.S. TREASURY OBLIGATION — 0.7% | ||||||||||||||
U.S. Treasury Notes | 2.625% | 07/31/14 | 6,000 | 6,012,799 | ||||||||||
REPURCHASE AGREEMENTS(d) — 12.8% | ||||||||||||||
Barclays Capital, Inc. | 20,000 | 20,000,000 | ||||||||||||
BNP Paribas Securities Corp. | 50,000 | 50,000,000 | ||||||||||||
Goldman Sachs & Co. | 13,000 | 13,000,000 | ||||||||||||
Goldman Sachs & Co. | 20,000 | 20,000,000 | ||||||||||||
HSBC Securities (USA), Inc. | 5,000 | 5,000,000 | ||||||||||||
108,000,000 | ||||||||||||||
TOTAL INVESTMENTS — 100.2% | ||||||||||||||
(amortized cost $843,702,935) |
| 843,702,935 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)% |
| (1,301,335 | ) | |||||||||||
NET ASSETS — 100.0% |
| $ | 842,401,600 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A135
MONEY MARKET PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
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. | |
FNMA | Federal National Mortgage Association | |
GNMA | Government National Mortgage Association | |
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 June 30, 2014. |
(b) | Rate quoted represents yield-to-maturity as of purchase date. |
(c) | Indicates a security that has been deemed illiquid. |
(d) | The aggregate value of Repurchase Agreements is $108,000,000. Repurchase agreements are collateralized by FHLMC (coupon rates 2.000%-8.000%, maturity dates 11/01/17-05/01/44), FNMA (coupon rates 2.500%-7.500%, maturity dates 02/01/18-06/01/44), GNMA (coupon rates 3.000%-4.500%, maturity dates 06/15/28-05/15/44), and U.S. Treasury Securities (coupon rates 0.000%-0.625%, maturity dates 07/31/14-11/30/17), with the aggregate value, including accrued interest of $110,164,805. Repurchase Agreements are subject to contractual netting arrangements. For further detail on individual repurchase agreements and the corresponding counterparty, see the Schedule of Investments. |
Various inputs are used in determining the value of the 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 June 30, 2014 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Certificates of Deposit | $ | — | $ | 189,788,383 | $ | — | ||||||
Commercial Paper | — | 157,955,718 | — | |||||||||
Other Corporate Obligations | — | 81,257,533 | — | |||||||||
Time Deposits | — | 25,886,000 | — | |||||||||
U.S. Government Agency Obligations | — | 274,802,502 | — | |||||||||
U.S. Treasury Obligation | — | 6,012,799 | — | |||||||||
Repurchase Agreements | — | 108,000,000 | — | |||||||||
Total | $ | — | $ | 843,702,935 | $ | — | ||||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2014 was as follows:
U.S. Government Agency Obligations | 32.6 | % | ||
Certificates of Deposit | 22.5 | |||
Commercial Paper | 18.8 | |||
Repurchase Agreements | 12.8 | |||
Other Corporate Obligations | 9.7 |
Time Deposits | 3.1 | % | ||
U.S. Treasury Obligation | 0.7 | |||
100.2 | ||||
Liabilities in excess of other assets | (0.2 | ) | ||
100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A136
MONEY MARKET PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
June 30, 2014
ASSETS | ||||
Investments, at amortized cost which approximates fair value: | ||||
Unaffiliated Investments | $ | 735,702,935 | ||
Repurchase Agreements | 108,000,000 | |||
Cash | 2,594 | |||
Receivable for Series shares sold | 299,324 | |||
Interest receivable | 258,956 | |||
Prepaid expenses | 1,220 | |||
Total Assets | 844,265,029 | |||
LIABILITIES | ||||
Payable for Series shares repurchased | 1,629,895 | |||
Accrued expenses | 146,846 | |||
Management fee payable | 85,762 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 1,863,429 | |||
NET ASSETS | $ | 842,401,600 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 842,401,600 | ||
Net assets, June 30, 2014 | $ | 842,401,600 | ||
Net asset value and redemption price per share $842,401,600 / 84,237,177 outstanding shares of beneficial interest | $ | 10.00 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2014
NET INVESTMENT INCOME | ||||
INCOME | ||||
Interest income | $ | 627,734 | ||
EXPENSES | ||||
Management fee | 1,679,144 | |||
Custodian’s fees and expenses | 64,000 | |||
Shareholders’ reports | 60,000 | |||
Audit fee | 11,000 | |||
Trustees’ fees | 9,000 | |||
Insurance expenses | 7,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Legal fees and expenses | 5,000 | |||
Miscellaneous | 5,322 | |||
Total expenses | 1,846,466 | |||
Less: Management fee waiver | (1,218,796 | ) | ||
Net expenses | 627,670 | |||
NET INVESTMENT INCOME | 64 | |||
NET REALIZED GAIN ON INVESTMENT TRANSACTIONS | 2,490 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 2,554 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | |||||||
INCREASE (DECREASE) IN NET ASSETS OPERATIONS: | ||||||||
Net investment income | $ | 64 | $ | — | ||||
Net realized gain on investment transactions | 2,490 | 14,454 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 2,554 | 14,454 | ||||||
DISTRIBUTIONS: | (2,554 | ) | (14,454 | ) | ||||
SERIES SHARE TRANSACTIONS: | ||||||||
Series shares sold [9,907,798 and 15,412,796 shares, respectively] | 99,077,985 | 154,127,954 | ||||||
Series shares issued in reinvestment of distributions [255 and 1,445 shares, respectively] | 2,554 | 14,454 | ||||||
Series shares repurchased [12,272,187 and 19,157,649 shares, respectively] | (122,721,872 | ) | (191,576,491 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (23,641,333 | ) | (37,434,083 | ) | ||||
TOTAL DECREASE | (23,641,333 | ) | (37,434,083 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 866,042,933 | 903,477,016 | ||||||
End of period | $ | 842,401,600 | $ | 866,042,933 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A137
NATURAL RESOURCES PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
LONG-TERM INVESTMENTS — 97.8% | ||||||||
COMMON STOCKS — 97.3% | Shares | Value (Note 2) | ||||||
Aluminum — 1.2% | ||||||||
Alcoa, Inc. | 10,963 | $ | 163,239 | |||||
Constellium NV (Netherlands) (Class A Stock)* | 358,385 | 11,489,823 | ||||||
11,653,062 | ||||||||
Coal & Consumable Fuels — 1.8% | ||||||||
CONSOL Energy, Inc. | 385,630 | 17,765,974 | ||||||
Diversified Metals & Mining — 6.3% | ||||||||
African Rainbow Minerals Ltd. (South Africa) | 288,544 | 5,082,030 | ||||||
BHP Billiton Ltd. (Australia), ADR(a) | 136,551 | 9,346,916 | ||||||
First Quantum Minerals Ltd. (Canada) | 595,949 | 12,745,004 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | 175,709 | 6,413,378 | ||||||
Glencore PLC (Switzerland) | 1,806,944 | 10,069,541 | ||||||
Ivanhoe Mines Ltd. (Canada)*(a) | 384,942 | 490,625 | ||||||
Ivanhoe Mines Ltd. (Canada) (Class A Stock), 144A* | 433,900 | 553,024 | ||||||
Northern Dynasty Minerals Ltd. (Canada)*(a) | 399,636 | 334,495 | ||||||
Rio Tinto PLC (United Kingdom), ADR(a) | 229,595 | 12,462,417 | ||||||
Southern Copper Corp. | 107,587 | 3,267,417 | ||||||
60,764,847 | ||||||||
Fertilizers & Agricultural Chemicals — 0.7% |
| |||||||
Potash Corp. of Saskatchewan, Inc. (Canada) | 181,555 | 6,891,828 | ||||||
Gold — 3.9% | ||||||||
Agnico Eagle Mines Ltd. (Canada) | 1,235 | 47,300 | ||||||
Algold Resources Ltd. (Canada), 144A* | 29,193 | 7,524 | ||||||
Axmin, Inc. (Canada)* | 155,620 | 2,917 | ||||||
B2Gold Corp. (Canada)*(a) | 2,323,458 | 6,771,899 | ||||||
Eldorado Gold Corp. (Canada) | 1,462,063 | 11,180,764 | ||||||
Goldcorp, Inc. (Canada) | 4,610 | 128,665 | ||||||
Guyana Goldfields Inc. (Canada), Private Placement | 365,319 | 841,305 | ||||||
Guyana Goldfields, Inc. (Canada), 144A*(b) | 726,972 | 1,757,732 | ||||||
Kinross Gold Corp. (Canada)* | 890,772 | 3,687,796 | ||||||
Newmont Mining Corp. | 2,391 | 60,827 | ||||||
Randgold Resources Ltd. (United Kingdom), ADR | 152,239 | 12,879,419 | ||||||
37,366,148 | ||||||||
Integrated Oil & Gas — 5.4% | ||||||||
Chevron Corp. | 396 | 51,698 | ||||||
Hess Corp. | 133,802 | 13,231,680 | ||||||
Occidental Petroleum Corp. | 139,721 | 14,339,566 | ||||||
Royal Dutch Shell PLC (Netherlands), ADR | 1,039 | 85,582 | ||||||
Suncor Energy, Inc. (Canada) | 577,067 | 24,600,366 | ||||||
52,308,892 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Oil & Gas Drilling — 3.9% | ||||||||
Ensco PLC (Class A Stock)(a) | 2,169 | $ | 120,531 | |||||
Helmerich & Payne, Inc. | 141,774 | 16,461,379 | ||||||
Patterson-UTI Energy, Inc. | 375,790 | 13,130,103 | ||||||
Rowan Cos. PLC | 234,385 | 7,483,913 | ||||||
37,195,926 | ||||||||
Oil & Gas Equipment & Services — 20.2% |
| |||||||
Baker Hughes, Inc. | 1,666 | 124,034 | ||||||
Cameron International Corp.* | 400,267 | 27,102,079 | ||||||
CHC Group Ltd. (Canada)* | 329,546 | 2,781,368 | ||||||
Core Laboratories NV | 73,776 | 12,325,019 | ||||||
Dresser-Rand Group, Inc.* | 90,990 | 5,798,793 | ||||||
Dril-Quip, Inc.* | 242,110 | 26,448,096 | ||||||
FMC Technologies, Inc.* | 111,622 | 6,816,755 | ||||||
Halliburton Co. | 552,524 | 39,234,729 | ||||||
National Oilwell Varco, Inc. | 265,203 | 21,839,467 | ||||||
Schlumberger Ltd. | 335,467 | 39,568,333 | ||||||
Superior Energy Services, Inc. | 343,903 | 12,428,654 | ||||||
Tenaris SA (Luxembourg), ADR | 1,079 | 50,875 | ||||||
Weatherford International PLC* | 5,351 | 123,073 | ||||||
194,641,275 | ||||||||
Oil & Gas Exploration & Production — 44.8% |
| |||||||
Africa Oil Corp. (Canada)*(a) | 381,409 | 2,609,330 | ||||||
Africa Oil Corp., Reg. D (Canada)* | 42,762 | 292,547 | ||||||
Anadarko Petroleum Corp. | 282,396 | 30,913,890 | ||||||
Antero Resources Corp*(a) | 104,043 | 6,828,342 | ||||||
Apache Corp. | 1,149 | 115,612 | ||||||
Bankers Petroleum Ltd. (Canada)* | 1,026,469 | 6,560,628 | ||||||
Bonanza Creek Energy, Inc.* | 116,896 | 6,685,282 | ||||||
Cabot Oil & Gas Corp. | 2,623 | 89,549 | ||||||
Canadian Natural Resources Ltd. (Canada) | 156,321 | 7,176,697 | ||||||
Chesapeake Energy Corp.(a) | 3,824 | 118,850 | ||||||
Cimarex Energy Co. | 129,556 | 18,586,104 | ||||||
Cobalt International Energy, Inc.* | 235,743 | 4,325,884 | ||||||
Concho Resources, Inc.* | 230,081 | 33,246,704 | ||||||
ConocoPhillips | 1,546 | 132,539 | ||||||
Continental Resources, Inc.* | 871 | 137,653 | ||||||
Denbury Resources, Inc.(a) | 839,817 | 15,503,022 | ||||||
Devon Energy Corp. | 186,066 | 14,773,640 | ||||||
EOG Resources, Inc. | 269,166 | 31,454,739 | ||||||
EQT Corp. | 1,005 | 107,435 | ||||||
Genel Energy PLC (United Kingdom)* | 337,758 | 5,860,493 | ||||||
Gulfport Energy Corp.* | 128,212 | 8,051,714 | ||||||
Kodiak Oil & Gas Corp.* | 722,972 | 10,519,243 | ||||||
Kosmos Energy Ltd.* | 360,653 | 4,050,133 | ||||||
Laredo Petroleum, Inc.* | 469,340 | 14,540,153 | ||||||
Lekoil Ltd. (Nigeria) | 820,280 | 1,066,903 | ||||||
Lekoil Ltd., Reg. D (Nigeria)* | 2,947,579 | 3,833,790 | ||||||
Marathon Oil Corp. | 475,654 | 18,988,108 | ||||||
MEG Energy Corp. (Canada)* | 211,569 | 7,710,902 | ||||||
MEG Energy Corp. (Canada), 144A* | 131,600 | 4,796,330 | ||||||
Mobius Resources Inc. (Canada), Reg. D* | 773,332 | 297,143 |
SEE NOTES TO FINANCIAL STATEMENTS.
A138
NATURAL RESOURCES PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Oil & Gas Exploration & Production (continued) |
| |||||||
Mobius Resources, Inc. (Canada)* | 321,393 | $ | 123,491 | |||||
Newfield Exploration Co.* | 190,426 | 8,416,829 | ||||||
Noble Energy, Inc. | 476,639 | 36,920,457 | ||||||
Oasis Petroleum, Inc.* | 126,126 | 7,049,182 | ||||||
Oil Search Ltd. (Australia) | 711,801 | 6,494,821 | ||||||
Parsley Energy, Inc. (Class A Stock)* | 61,751 | 1,486,347 | ||||||
PDC Energy, Inc.* | 181,215 | 11,443,727 | ||||||
Pioneer Natural Resources Co. | 48,400 | 11,122,804 | ||||||
Range Resources Corp. | 189,987 | 16,519,370 | ||||||
Rice Energy, Inc.* | 221,548 | 6,746,137 | ||||||
Rosetta Resources, Inc.* | 224,768 | 12,328,525 | ||||||
Sanchez Energy Corp.*(a) | 127,917 | 4,808,400 | ||||||
SM Energy Co. | 60,155 | 5,059,035 | ||||||
Southwestern Energy Co.* | 385,043 | 17,515,606 | ||||||
Tullow Oil PLC (United Kingdom) | 494,192 | 7,209,608 | ||||||
Whiting Petroleum Corp.* | 231,150 | 18,549,787 | ||||||
Woodside Petroleum Ltd. (Australia) | 2,263 | 87,740 | ||||||
431,255,225 | ||||||||
Oil & Gas Refining & Marketing — 3.6% |
| |||||||
Marathon Petroleum Corp. | 187,691 | 14,653,036 | ||||||
Phillips 66 | 199,296 | 16,029,377 | ||||||
Western Refining, Inc. | 101,890 | 3,825,970 | ||||||
34,508,383 | ||||||||
Oil & Gas Storage & Transportation — 1.8% |
| |||||||
Cheniere Energy, Inc.*(a) | 171,875 | 12,323,438 | ||||||
Williams Cos., Inc. (The) | 83,067 | 4,835,330 | ||||||
17,158,768 | ||||||||
Packaged Foods & Meats — 0.2% |
| |||||||
Adecoagro SA (Argentina)* | 245,365 | 2,316,246 | ||||||
Precious Metals & Minerals — 0.7% |
| |||||||
Platinum Group Metals Ltd. (Canada)*(a) | 1,234,422 | 1,468,962 | ||||||
Sedibelo Platinum Mines (South Africa), Private Placement (original cost $1,102,975; purchased 11/27/07)*(b)(c) | 129,100 | 14,680 | ||||||
Tahoe Resources, Inc.* | 89,267 | 2,337,398 | ||||||
Tahoe Resources, Inc., 144A* | 116,000 | 3,037,383 | ||||||
�� | ||||||||
6,858,423 | ||||||||
Silver — 0.6% |
| |||||||
Silver Wheaton Corp. (Canada) | 227,061 | 5,964,892 | ||||||
Specialty Chemicals — 0.9% |
| |||||||
Flotek Industries, Inc.*(a) | 265,986 | 8,554,110 | ||||||
PPG Industries, Inc. | 580 | 121,887 | ||||||
8,675,997 | ||||||||
Steel — 1.0% |
| |||||||
ArcelorMittal (Luxembourg), ADR(a) | 6,729 | 100,464 | ||||||
Nucor Corp. | 1,945 | 95,791 | ||||||
Reliance Steel & Aluminum Co. | 129,656 | 9,556,944 | ||||||
9,753,199 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Trading Companies & Distributors — 0.3% |
| |||||||
Now Inc.* | 66,300 | $ | 2,400,723 | |||||
TOTAL COMMON STOCKS |
| 937,479,808 | ||||||
CONVERTIBLE PREFERRED STOCKS* — 0.5% | ||||||||
Steel | ||||||||
Manabi SA (Brazil) (Class A Preferred), Private Placement (original cost $4,587,721; purchased 05/25/11), 144A(b)(c) | 3,660 | 3,160,669 | ||||||
Manabi SA (Brazil) (Class B Preferred), Private Placement (original cost $1,848,551; purchased 08/21/12), 144A(b)(c) | 1,464 | 1,527,066 | ||||||
TOTAL CONVERTIBLE PREFERRED STOCKS |
| 4,687,735 | ||||||
Units | ||||||||
RIGHTS* | ||||||||
Oil, Gas & Consumable Fuels | ||||||||
Trident Resources Corp. CVR (Canada), Private Placement expiring 06/30/15 (original cost $0; purchased 06/30/10)(b)(c) | 9,007 | — | (d) | |||||
WARRANTS* | ||||||||
Gold | ||||||||
Algold Resources Ltd. (Canada), Private Placement expiring 06/23/15 (original cost $0; purchased 12/23/13), 144A(b)(c) | 14,596 | 1,395 | ||||||
Crystallex International Corp. (Canada), Private Placement expiring 11/04/14 (original cost $0; purchased | 221,350 | — | (d) | |||||
TOTAL WARRANTS |
| 1,395 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 942,168,938 | ||||||
Shares | ||||||||
SHORT-TERM INVESTMENT — 7.8% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $75,184,522; | 75,184,522 | 75,184,522 | ||||||
TOTAL INVESTMENTS — 105.6% |
| 1,017,353,460 | ||||||
LIABILITIES IN EXCESS OF |
| (53,999,107 | ) | |||||
NET ASSETS — 100.0% |
| $ | 963,354,353 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A139
NATURAL RESOURCES PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
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 $48,192,803; cash collateral of $49,139,866 (included with liabilities) was received with which the Portfolio’s purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Indicates a security that has been deemed illiquid. |
(c) | Indicates a restricted security; the aggregate original cost of such securities is $8,168,287. The aggregate value of, $5,545,115, is approximately 0.6% of net assets. |
(d) | Less than $0.50. |
(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 June 30, 2014 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aluminum | $ | 11,653,062 | $ | — | $ | — | ||||||
Coal & Consumable Fuels | 17,765,974 | — | — | |||||||||
Diversified Metals & Mining | 45,060,252 | 15,704,595 | — | |||||||||
Fertilizers & Agricultural Chemicals | 6,891,828 | — | — | |||||||||
Gold | 34,767,111 | 1,757,732 | 841,305 | |||||||||
Integrated Oil & Gas | 52,308,892 | — | — | |||||||||
Oil & Gas Drilling | 37,195,926 | — | — | |||||||||
Oil & Gas Equipment & Services | 194,641,275 | — | — | |||||||||
Oil & Gas Exploration & Production | 402,675,300 | 28,579,925 | — | |||||||||
Oil & Gas Refining & Marketing | 34,508,383 | — | — | |||||||||
Oil & Gas Storage & Transportation | 17,158,768 | — | — | |||||||||
Packaged Foods & Meats | 2,316,246 | — | — | |||||||||
Precious Metals & Minerals | 1,468,962 | 5,374,781 | 14,680 | |||||||||
Silver | 5,964,892 | — | — | |||||||||
Specialty Chemicals | 8,675,997 | — | — | |||||||||
Steel | 9,753,199 | — | — | |||||||||
Trading Companies & Distributors | 2,400,723 | — | — | |||||||||
Convertible Preferred Stocks | ||||||||||||
Steel | — | — | 4,687,735 | |||||||||
Rights | ||||||||||||
Oil, Gas & Consumable Fuels | — | — | — | ** | ||||||||
Warrants | ||||||||||||
Gold | — | 1,395 | — | ** | ||||||||
Affiliated Money Market Mutual Fund | 75,184,522 | — | — | |||||||||
Total | $ | 960,391,312 | $ | 51,418,428 | $ | 5,543,720 | ||||||
** | Less than $0.50 |
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 12/31/13 | $ | 13,044 | $ | 5,002,366 | $ | — | ** | $ | — | ** | ||||||
Realized gain (loss) | — | — | — | — | ||||||||||||
Change in unrealized appreciation (depreciation)* | 213,901 | (314,631 | ) | — | — | |||||||||||
Purchases | 629,040 | — | — | — | ||||||||||||
Sales | — | — | — | — | ||||||||||||
Transfer into Level 3 | — | — | — | — | ||||||||||||
Transfer out of Level 3 | — | — | — | — | ||||||||||||
Balance as of 06/30/14 | $ | 855,985 | $ | 4,687,735 | $ | — | ** | $ | — | ** | ||||||
* | Of which, $(100,730) was included in Net Assets relating to securities held at the reporting period end. |
** | Less than $0.50. |
SEE NOTES TO FINANCIAL STATEMENTS.
A140
NATURAL RESOURCES PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by the Board of Trustees. One common stock was fair valued using the last traded price adjusted for daily changes in indices deemed directly or indirectly correlated to the security. One common stock was priced at the exchange official closing price of the parent security with a liquidity discount amortized over the lock up period of such shares. 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 June 30, 2014 was as follows:
Oil & Gas Exploration & Production | 44.8 | % | ||
Oil & Gas Equipment & Services | 20.2 | |||
Affiliated Money Market Mutual Fund (including 5.1% of collateral for securities on loan) | 7.8 | |||
Diversified Metals & Mining | 6.3 | |||
Integrated Oil & Gas | 5.4 | |||
Gold | 3.9 | |||
Oil & Gas Drilling | 3.9 | |||
Oil & Gas Refining & Marketing | 3.6 | |||
Coal & Consumable Fuels | 1.8 | |||
Oil & Gas Storage & Transportation | 1.8 | |||
Steel | 1.5 |
Aluminum | 1.2 | % | ||
Specialty Chemicals | 0.9 | |||
Fertilizers & Agricultural Chemicals | 0.7 | |||
Precious Metals & Minerals | 0.7 | |||
Silver | 0.6 | |||
Trading Companies & Distributors | 0.3 | |||
Packaged Foods & Meats | 0.2 | |||
105.6 | ||||
Liabilities in excess of other assets | (5.6 | ) | ||
100.0 | % | |||
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2014 as presented in the Statement of Assets and Liabilities:
Derivatives not designated as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Equity contract | Unaffiliated Investments | $ | 1,395 | — | $ | — | ||||||
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2014 are as follows:
For the six months ended June 30, 2014, 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.
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||
Derivatives not designated as hedging instruments, carried at fair value | Warrants* | |
Equity contracts | $1,395 | |
* | Included in net change in unrealized (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A141
NATURAL RESOURCES PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES (Unaudited)
June 30, 2014
ASSETS | ||||
Investments at value, including securities on loan of $48,192,803: | ||||
Unaffiliated investments (cost $542,829,901) | $ | 942,168,938 | ||
Affiliated investments (cost $75,184,522) | 75,184,522 | |||
Cash | 149,466 | |||
Foreign currency, at value (cost $843) | 843 | |||
Dividends receivable | 285,427 | |||
Tax reclaim receivable | 231,293 | |||
Receivable for Series shares sold | 19,377 | |||
Prepaid expenses | 1,074 | |||
Total Assets | 1,018,040,940 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 49,139,866 | |||
Payable for investments purchased | 4,702,591 | |||
Payable for Series shares repurchased | 343,928 | |||
Management fee payable | 307,983 | |||
Accrued expenses | 172,712 | |||
Distribution fee payable | 11,609 | |||
Administration fee payable | 6,972 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 54,686,587 | |||
NET ASSETS | $ | 963,354,353 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 535,173,087 | ||
Retained earnings | 428,181,266 | |||
Net assets, June 30, 2014 | $ | 963,354,353 | ||
Class I: | ||||
Net asset value and redemption price per share, $905,162,424 / 20,528,093 outstanding shares of beneficial interest | $ | 44.09 | ||
Class II: | ||||
Net asset value and redemption price per share, $58,191,929 / 1,340,538 outstanding shares of beneficial interest | $ | 43.41 | ||
STATEMENT OF OPERATIONS (Unaudited)
Six Months Ended June 30, 2014
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $108,530) | $ | 4,048,478 | ||
Affiliated income from securities loaned, net | 86,402 | |||
Affiliated dividend income | 15,561 | |||
Total income | 4,150,441 | |||
EXPENSES | ||||
Management fee | 1,953,670 | |||
Distribution fee—Class II | 67,117 | |||
Administration fee—Class II | 40,270 | |||
Shareholders’ reports | 77,000 | |||
Custodian’s fees and expenses | 65,000 | |||
Audit fee | 11,000 | |||
Trustees’ fees | 9,000 | |||
Insurance expenses | 6,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Legal fees and expenses | 5,000 | |||
Commitment fee on syndicated credit agreement | 1,000 | |||
Miscellaneous | 22,558 | |||
Total expenses | 2,263,615 | |||
Less: Management fee waiver | (217,075 | ) | ||
Net expenses | 2,046,540 | |||
NET INVESTMENT INCOME | 2,103,901 | |||
REALIZED AND UNREALIZED GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain on: | ||||
Investment transactions | 14,617,135 | |||
Foreign currency transactions | 12,614 | |||
14,629,749 | ||||
Net change in unrealized appreciation (depreciation) on: |
| |||
Investments | 133,349,680 | |||
Foreign currencies | 732 | |||
133,350,412 | ||||
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 147,980,161 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 150,084,062 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 2,103,901 | $ | 4,450,112 | ||||
Net realized gain on investment and foreign currency transactions | 14,629,749 | 11,477,058 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 133,350,412 | 66,874,621 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 150,084,062 | 82,801,791 | ||||||
SERIES SHARE TRANSACTIONS (Note 7) | ||||||||
Series shares sold | 16,382,572 | 22,409,085 | ||||||
Series shares repurchased | (49,293,334 | ) | (122,377,266 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (32,910,762 | ) | (99,968,181 | ) | ||||
TOTAL INCREASE (DECREASE) | 117,173,300 | (17,166,390 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 846,181,053 | 863,347,443 | ||||||
End of period | $ | 963,354,353 | $ | 846,181,053 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A142
SMALL CAPITALIZATION STOCK PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
LONG-TERM INVESTMENTS — 98.4% | ||||||||
COMMON STOCKS — 98.0% | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 2.5% | ||||||||
AAR Corp. | 43,071 | $ | 1,187,037 | |||||
Aerovironment, Inc.* | 21,514 | 684,145 | ||||||
American Science & Engineering, Inc. | 8,616 | 599,587 | ||||||
Cubic Corp. | 22,773 | 1,013,626 | ||||||
Curtiss-Wright Corp. | 52,502 | 3,442,031 | ||||||
Engility Holdings, Inc.* | 19,200 | 734,592 | ||||||
GenCorp, Inc.*(a) | 63,275 | 1,208,553 | ||||||
Moog, Inc. (Class A Stock)* | 48,494 | 3,534,728 | ||||||
National Presto Industries, Inc.(a) | 5,399 | 393,263 | ||||||
Orbital Sciences Corp.* | 65,940 | 1,948,527 | ||||||
Taser International, Inc.* | 58,400 | 776,720 | ||||||
Teledyne Technologies, Inc.* | 40,896 | 3,973,864 | ||||||
19,496,673 | ||||||||
Air Freight & Logistics — 0.7% | ||||||||
Atlas Air Worldwide Holdings, Inc.* | 27,400 | 1,009,690 | ||||||
Forward Air Corp. | 34,056 | 1,629,580 | ||||||
Hub Group, Inc. (Class A Stock)* | 37,970 | 1,913,688 | ||||||
UTi Worldwide, Inc.* | 98,000 | 1,013,320 | ||||||
5,566,278 | ||||||||
Airlines — 0.3% | ||||||||
Allegiant Travel Co. | 15,394 | 1,812,952 | ||||||
SkyWest, Inc. | 55,160 | 674,055 | ||||||
2,487,007 | ||||||||
Auto Components — 0.6% | ||||||||
Dorman Products, Inc.*(a) | 33,000 | 1,627,560 | ||||||
Drew Industries, Inc. | 24,189 | 1,209,692 | ||||||
Standard Motor Products, Inc. | 22,499 | 1,005,030 | ||||||
Superior Industries International, Inc. | 24,918 | 513,809 | ||||||
4,356,091 | ||||||||
Automobiles — 0.1% | ||||||||
Winnebago Industries, Inc.* | 29,731 | 748,627 | ||||||
Banks — 6.9% | ||||||||
Bank of the Ozarks, Inc. | 70,672 | 2,363,978 | ||||||
Banner Corp. | 21,300 | 844,119 | ||||||
BBCN Bancorp, Inc. | 86,382 | 1,377,793 | ||||||
Boston Private Financial Holdings, Inc. | 86,802 | 1,166,619 | ||||||
Cardinal Financial Corp. | 34,700 | 640,562 | ||||||
City Holding Co. | 17,044 | 769,025 | ||||||
Columbia Banking System, Inc. | 57,208 | 1,505,143 | ||||||
Community Bank System, Inc. | 44,196 | 1,599,895 | ||||||
CVB Financial Corp. | 102,500 | 1,643,075 | ||||||
First BanCorp* | 107,972 | 587,368 | ||||||
First Commonwealth Financial Corp. | 102,010 | 940,532 | ||||||
First Financial Bancorp | 62,603 | 1,077,398 | ||||||
First Financial Bankshares, Inc. | 66,278 | 2,079,141 | ||||||
First Midwest Bancorp, Inc. | 81,840 | 1,393,735 | ||||||
FNB Corp. | 180,300 | 2,311,446 | ||||||
Glacier Bancorp, Inc. | 81,073 | 2,300,852 | ||||||
Hanmi Financial Corp. | 34,536 | 728,019 | ||||||
Home BancShares, Inc. | 51,804 | 1,700,207 | ||||||
Independent Bank Corp. | 26,006 | 998,110 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks (continued) | ||||||||
MB Financial, Inc. | 59,900 | $ | 1,620,295 | |||||
National Penn Bancshares, Inc. | 120,876 | 1,278,868 | ||||||
NBT Bancorp, Inc. | 47,610 | 1,143,592 | ||||||
Old National Bancorp | 114,647 | 1,637,159 | ||||||
Pinnacle Financial Partners, Inc. | 36,371 | 1,435,927 | ||||||
PrivateBancorp, Inc. | 72,849 | 2,116,992 | ||||||
S&T Bancorp, Inc. | 32,373 | 804,469 | ||||||
Simmons First National Corp. | 17,678 | 696,336 | ||||||
Sterling Bancorp | 85,458 | 1,025,496 | ||||||
Susquehanna Bancshares, Inc. | 203,909 | 2,153,279 | ||||||
Taylor Capital Group, Inc.* | 16,600 | 354,908 | ||||||
Texas Capital Bancshares, Inc.* | 46,900 | 2,530,255 | ||||||
Tompkins Financial Corp. | 12,964 | 624,606 | ||||||
UMB Financial Corp. | 41,072 | 2,603,554 | ||||||
United Bankshares, Inc. | 68,397 | 2,211,275 | ||||||
United Community Banks, Inc. | 41,987 | 687,327 | ||||||
ViewPoint Financial Group, Inc. | 39,000 | 1,049,490 | ||||||
Wilshire Bancorp, Inc. | 73,913 | 759,087 | ||||||
Wintrust Financial Corp. | 50,613 | 2,328,198 | ||||||
53,088,130 | ||||||||
Beverages — 0.3% | ||||||||
Boston Beer Co., Inc. (The) | 9,725 | 2,173,732 | ||||||
Biotechnology — 0.7% | ||||||||
Acorda Therapeutics, Inc.* | 45,300 | 1,527,063 | ||||||
Emergent Biosolutions, Inc.* | 32,257 | 724,492 | ||||||
Ligand Pharmaceuticals, Inc.*(a) | 22,600 | 1,407,754 | ||||||
Momenta Pharmaceuticals, Inc.* | 50,000 | 604,000 | ||||||
Repligen Corp.* | 32,700 | 745,233 | ||||||
Spectrum Pharmaceuticals, Inc.* | 59,700 | 485,361 | ||||||
5,493,903 | ||||||||
Building Products — 1.0% | ||||||||
AAON, Inc. | 30,326 | 1,016,527 | ||||||
American Woodmark Corp.* | 13,200 | 420,684 | ||||||
Apogee Enterprises, Inc. | 31,638 | 1,102,901 | ||||||
Gibraltar Industries, Inc.* | 31,468 | 488,069 | ||||||
Griffon Corp. | 47,329 | 586,880 | ||||||
PGT, Inc.* | 32,700 | 276,969 | ||||||
Quanex Building Products Corp. | 40,688 | 727,094 | ||||||
Simpson Manufacturing Co., Inc. | 44,683 | 1,624,674 | ||||||
Universal Forest Products, Inc. | 21,864 | 1,055,375 | ||||||
7,299,173 | ||||||||
Capital Markets — 1.9% | ||||||||
Calamos Asset Management, Inc. (Class A Stock) | 20,400 | 273,156 | ||||||
Evercore Partners, Inc. | 38,000 | 2,190,320 | ||||||
Financial Engines, Inc. | 56,000 | 2,535,680 | ||||||
FXCM, Inc. (Class A Stock)(a) | 41,000 | 613,360 | ||||||
Greenhill & Co., Inc. | 27,700 | 1,364,225 | ||||||
HFF, Inc. (Class A Stock) | 36,600 | 1,361,154 | ||||||
Investment Technology Group, Inc.* | 39,066 | 659,434 | ||||||
Piper Jaffray Cos.* | 17,765 | 919,694 | ||||||
Stifel Financial Corp.*(a) | 66,230 | 3,135,990 |
SEE NOTES TO FINANCIAL STATEMENTS.
A143
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Capital Markets (continued) | ||||||||
SWS Group, Inc.* | 31,326 | $ | 228,053 | |||||
Virtus Investment Partners, Inc.* | 7,710 | 1,632,593 | ||||||
14,913,659 | ||||||||
Chemicals — 2.5% | ||||||||
A. Schulman, Inc. | 31,666 | 1,225,474 | ||||||
American Vanguard Corp. | 27,048 | 357,575 | ||||||
Balchem Corp. | 33,183 | 1,777,282 | ||||||
Calgon Carbon Corp.* | 57,854 | 1,291,880 | ||||||
Flotek Industries, Inc.*(a) | 51,500 | 1,656,240 | ||||||
FutureFuel Corp. | 24,500 | 406,455 | ||||||
H.B. Fuller Co. | 54,518 | 2,622,316 | ||||||
Hawkins, Inc. | 10,400 | 386,256 | ||||||
Innophos Holdings, Inc. | 23,900 | 1,375,923 | ||||||
Intrepid Potash, Inc.* | 57,000 | 955,320 | ||||||
Koppers Holdings, Inc. | 22,300 | 852,975 | ||||||
Kraton Performance Polymers, Inc.* | 35,400 | 792,606 | ||||||
LSB Industries, Inc.* | 20,800 | 866,736 | ||||||
OM Group, Inc. | 34,956 | 1,133,623 | ||||||
Quaker Chemical Corp. | 14,398 | 1,105,622 | ||||||
Stepan Co. | 20,670 | 1,092,616 | ||||||
Tredegar Corp. | 27,535 | 644,594 | ||||||
Zep, Inc. | 25,007 | 441,624 | ||||||
18,985,117 | ||||||||
Commercial Services & Supplies — 2.2% |
| |||||||
ABM Industries, Inc. | 56,703 | 1,529,847 | ||||||
Brady Corp. (Class A Stock) | 50,222 | 1,500,131 | ||||||
Brink’s Co. (The) | 52,700 | 1,487,194 | ||||||
G&K Services, Inc. (Class A Stock) | 21,719 | 1,130,908 | ||||||
Healthcare Services Group, Inc. | 76,376 | 2,248,509 | ||||||
Interface, Inc. | 63,702 | 1,200,146 | ||||||
Mobile Mini, Inc. | 44,797 | 2,145,328 | ||||||
Tetra Tech, Inc. | 70,788 | 1,946,670 | ||||||
UniFirst Corp. | 16,630 | 1,762,780 | ||||||
United Stationers, Inc. | 42,842 | 1,776,658 | ||||||
Viad Corp. | 22,247 | 530,369 | ||||||
17,258,540 | ||||||||
Communications Equipment — 1.1% | ||||||||
Bel Fuse, Inc. (Class B Stock) | 10,822 | 277,801 | ||||||
Black Box Corp. | 16,993 | 398,316 | ||||||
CalAmp Corp.*(a) | 36,500 | 790,590 | ||||||
Comtech Telecommunications Corp. | 17,559 | 655,478 | ||||||
Digi International, Inc.* | 25,064 | 236,103 | ||||||
Harmonic, Inc.* | 102,724 | 766,321 | ||||||
Ixia* | 61,300 | 700,659 | ||||||
NETGEAR, Inc.* | 39,746 | 1,381,968 | ||||||
Oplink Communications, Inc.* | 18,100 | 307,157 | ||||||
Procera Networks, Inc.*(a) | 22,100 | 222,989 | ||||||
ViaSat, Inc.* | 46,515 | 2,696,009 | ||||||
8,433,391 | ||||||||
Construction & Engineering — 0.8% | ||||||||
Aegion Corp.* | 41,337 | 961,912 | ||||||
Comfort Systems USA, Inc. | 40,684 | 642,807 | ||||||
Dycom Industries, Inc.* | 36,731 | 1,150,048 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Construction & Engineering (continued) |
| |||||||
EMCOR Group, Inc. | 73,225 | $ | 3,260,709 | |||||
Orion Marine Group, Inc.* | 29,800 | 322,734 | ||||||
6,338,210 | ||||||||
Construction Materials — 0.4% | ||||||||
Headwaters, Inc.* | 79,568 | 1,105,200 | ||||||
Texas Industries, Inc.*(a) | 23,423 | 2,163,348 | ||||||
3,268,548 | ||||||||
Consumer Finance — 1.3% | ||||||||
Cash America International, Inc. | 30,744 | 1,365,956 | ||||||
Encore Capital Group, Inc.* | 25,800 | 1,171,836 | ||||||
EZCORP, Inc. (Class A Stock)* | 58,911 | 680,422 | ||||||
First Cash Financial Services, Inc.* | 31,525 | 1,815,525 | ||||||
Green Dot Corp. (Class A Stock)* | 33,000 | 626,340 | ||||||
Portfolio Recovery Associates, Inc.* | 54,567 | 3,248,373 | ||||||
World Acceptance Corp.*(a) | 10,552 | 801,530 | ||||||
9,709,982 | ||||||||
Containers & Packaging — 0.1% | ||||||||
Myers Industries, Inc. | 28,320 | 568,949 | ||||||
Distributors — 0.4% | ||||||||
Pool Corp. | 48,955 | 2,768,895 | ||||||
VOXX International Corp.* | 21,257 | 200,028 | ||||||
2,968,923 | ||||||||
Diversified Consumer Services — 0.6% |
| |||||||
American Public Education, Inc.* | 19,133 | 657,792 | ||||||
Capella Education Co. | 11,886 | 646,480 | ||||||
Career Education Corp.* | 62,200 | 291,096 | ||||||
ITT Educational Services, Inc.*(a) | 19,800 | 330,462 | ||||||
Matthews International Corp. (Class A Stock) | 29,700 | 1,234,629 | ||||||
Regis Corp. | 47,300 | 665,984 | ||||||
Strayer Education, Inc.* | 11,800 | 619,618 | ||||||
Universal Technical Institute, Inc. | 22,806 | 276,865 | ||||||
4,722,926 | ||||||||
Diversified Financial Services — 0.4% | ||||||||
Interactive Brokers Group, Inc. | 52,300 | 1,218,067 | ||||||
MarketAxess Holdings, Inc. | 41,100 | 2,221,866 | ||||||
3,439,933 | ||||||||
Diversified Telecommunication Services — 0.4% |
| |||||||
8x8, Inc.* | 88,300 | 713,464 | ||||||
Atlantic Tele-Network, Inc. | 10,900 | 632,200 | ||||||
Cbeyond, Inc.* | 30,437 | 302,848 | ||||||
Cincinnati Bell, Inc.* | 227,400 | 893,682 | ||||||
General Communication, Inc. (Class A Stock)* | 33,224 | 368,122 | ||||||
Lumos Networks Corp. | 19,421 | 281,022 | ||||||
3,191,338 | ||||||||
Electric Utilities — 1.2% | ||||||||
ALLETE, Inc. | 41,997 | 2,156,546 | ||||||
El Paso Electric Co. | 44,008 | 1,769,561 | ||||||
UIL Holdings Corp. | 61,511 | 2,381,091 |
SEE NOTES TO FINANCIAL STATEMENTS.
A144
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Electric Utilities (continued) |
| |||||||
UNS Energy Corp. | 45,451 | $ | 2,745,695 | |||||
9,052,893 | ||||||||
Electrical Equipment — 1.3% | ||||||||
AZZ, Inc. | 27,942 | 1,287,568 | ||||||
Encore Wire Corp. | 20,331 | 997,032 | ||||||
EnerSys Inc. | 51,100 | 3,515,169 | ||||||
Franklin Electric Co., Inc. | 42,700 | 1,722,091 | ||||||
General Cable Corp.(a) | 52,900 | 1,357,414 | ||||||
Powell Industries, Inc. | 10,072 | 658,507 | ||||||
Vicor Corp.* | 19,531 | 163,670 | ||||||
9,701,451 | ||||||||
Electronic Equipment, Instruments & Components — 4.7% |
| |||||||
Agilysys, Inc.* | 15,332 | 215,874 | ||||||
Anixter International, Inc. | 29,164 | 2,918,441 | ||||||
Badger Meter, Inc. | 15,707 | 826,973 | ||||||
Benchmark Electronics, Inc.* | 58,410 | 1,488,287 | ||||||
Checkpoint Systems, Inc.* | 45,139 | 631,495 | ||||||
Cognex Corp.* | 89,880 | 3,451,392 | ||||||
Coherent, Inc.* | 27,200 | 1,799,824 | ||||||
CTS Corp. | 36,664 | 685,617 | ||||||
Daktronics, Inc. | 41,408 | 493,583 | ||||||
DTS, Inc.* | 18,385 | 338,468 | ||||||
Electro Scientific Industries, Inc. | 27,441 | 186,873 | ||||||
Fabrinet* | 31,900 | 657,140 | ||||||
FARO Technologies, Inc.* | 18,684 | 917,758 | ||||||
II-VI, Inc.* | 57,462 | 830,900 | ||||||
Insight Enterprises, Inc.* | 44,535 | 1,369,006 | ||||||
Littelfuse, Inc. | 24,525 | 2,279,599 | ||||||
Measurement Specialties, Inc.* | 16,500 | 1,420,155 | ||||||
Mercury Systems, Inc.* | 36,008 | 408,331 | ||||||
Methode Electronics, Inc. | 39,266 | 1,500,354 | ||||||
MTS Systems Corp. | 16,535 | 1,120,412 | ||||||
Newport Corp.* | 42,608 | 788,248 | ||||||
OSI Systems, Inc.* | 20,400 | 1,361,700 | ||||||
Park Electrochemical Corp. | 22,644 | 638,787 | ||||||
Plexus Corp.* | 36,920 | 1,598,267 | ||||||
Rofin-Sinar Technologies, Inc.* | 30,600 | 735,624 | ||||||
Rogers Corp.* | 19,731 | 1,309,152 | ||||||
Sanmina Corp.* | 89,500 | 2,038,810 | ||||||
ScanSource, Inc.* | 31,133 | 1,185,545 | ||||||
SYNNEX Corp.*(a) | 29,850 | 2,174,572 | ||||||
TTM Technologies, Inc.* | 59,089 | 484,530 | ||||||
35,855,717 | ||||||||
Energy Equipment & Services — 2.5% |
| |||||||
Basic Energy Services, Inc.* | 38,017 | 1,110,857 | ||||||
Bristow Group, Inc. | 38,755 | 3,124,428 | ||||||
C&J Energy Services, Inc.* | 50,000 | 1,689,000 | ||||||
Era Group, Inc.* | 20,371 | 584,240 | ||||||
Exterran Holdings, Inc.(a) | 64,600 | 2,906,354 | ||||||
Geospace Technologies Corp.*(a) | 14,310 | 788,195 | ||||||
Gulf Island Fabrication, Inc. | 13,377 | 287,873 | ||||||
Hornbeck Offshore Services, Inc.*(a) | 35,615 | 1,671,056 | ||||||
ION Geophysical Corp.* | 139,145 | 587,192 | ||||||
Matrix Service Co.* | 28,773 | 943,466 | ||||||
Newpark Resources, Inc.* | 91,600 | 1,141,336 | ||||||
Pioneer Energy Services Corp.* | 68,117 | 1,194,772 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Energy Equipment & Services (continued) |
| |||||||
SEACOR Holdings, Inc.* | 20,871 | $ | 1,716,640 | |||||
Tesco Corp. | 34,400 | 734,096 | ||||||
TETRA Technologies, Inc.* | 85,541 | 1,007,673 | ||||||
19,487,178 | ||||||||
Food & Staples Retailing — 0.7% | ||||||||
Andersons, Inc. (The) | 28,924 | 1,491,900 | ||||||
Casey’s General Stores, Inc. | 41,965 | 2,949,720 | ||||||
SpartanNash Co. | 40,906 | 859,435 | ||||||
5,301,055 | ||||||||
Food Products — 2.2% | ||||||||
Annie’s, Inc.*(a) | 18,500 | 625,670 | ||||||
B&G Foods, Inc. | 58,400 | 1,909,096 | ||||||
Cal-Maine Foods, Inc. | 16,395 | 1,218,477 | ||||||
Calavo Growers, Inc. | 15,190 | 513,878 | ||||||
Darling Ingredients, Inc.* | 179,020 | 3,741,518 | ||||||
Diamond Foods, Inc.*(a) | 23,957 | 675,587 | ||||||
J&J Snack Foods Corp. | 15,918 | 1,498,202 | ||||||
Sanderson Farms, Inc.(a) | 22,135 | 2,151,522 | ||||||
Seneca Foods Corp. | 7,700 | 235,620 | ||||||
Snyder’s-Lance, Inc. | 53,416 | 1,413,387 | ||||||
TreeHouse Foods, Inc.* | 40,065 | 3,208,005 | ||||||
17,190,962 | ||||||||
Gas Utilities — 1.9% | ||||||||
Laclede Group, Inc. (The) | 45,614 | 2,214,560 | ||||||
New Jersey Resources Corp.(a) | 45,904 | 2,623,872 | ||||||
Northwest Natural Gas Co. | 29,565 | 1,393,990 | ||||||
Piedmont Natural Gas Co., Inc.(a) | 85,103 | 3,183,703 | ||||||
South Jersey Industries, Inc. | 35,922 | 2,170,048 | ||||||
Southwest Gas Corp. | 50,611 | 2,671,755 | ||||||
14,257,928 | ||||||||
Health Care Equipment & Supplies — 3.4% |
| |||||||
Abaxis, Inc. | 23,112 | 1,024,093 | ||||||
ABIOMED, Inc.*(a) | 38,500 | 967,890 | ||||||
Analogic Corp. | 13,533 | 1,058,822 | ||||||
Anika Therapeutics, Inc.* | 13,000 | 602,290 | ||||||
Cantel Medical Corp. | 36,562 | 1,338,900 | ||||||
CONMED Corp. | 29,749 | 1,313,418 | ||||||
CryoLife, Inc. | 27,053 | 242,124 | ||||||
Cyberonics, Inc.*(a) | 26,297 | 1,642,511 | ||||||
Cynosure, Inc. (Class A Stock)* | 21,190 | 450,288 | ||||||
Greatbatch, Inc.* | 27,144 | 1,331,685 | ||||||
Haemonetics Corp.* | 56,694 | 2,000,164 | ||||||
ICU Medical, Inc.* | 14,692 | 893,421 | ||||||
Integra LifeSciences Holdings Corp.*(a) | 26,002 | 1,223,654 | ||||||
Invacare Corp. | 31,102 | 571,344 | ||||||
Masimo Corp.* | 56,100 | 1,323,960 | ||||||
Meridian Bioscience, Inc. | 45,175 | 932,412 | ||||||
Merit Medical Systems, Inc.* | 44,248 | 668,145 | ||||||
Natus Medical, Inc.* | 31,325 | 787,510 | ||||||
Neogen Corp.* | 40,020 | 1,619,609 | ||||||
NuVasive, Inc.* | 50,700 | 1,803,399 | ||||||
SurModics, Inc.* | 14,752 | 315,988 | ||||||
Symmetry Medical, Inc.* | 40,577 | 359,512 |
SEE NOTES TO FINANCIAL STATEMENTS.
A145
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Health Care Equipment & Supplies (continued) |
| |||||||
West Pharmaceutical Services, Inc. | 76,934 | $ | 3,245,076 | |||||
25,716,215 | ||||||||
Health Care Providers & Services — 3.4% |
| |||||||
Air Methods Corp.*(a) | 38,416 | 1,984,186 | ||||||
Almost Family, Inc.* | 9,152 | 202,076 | ||||||
Amedisys, Inc.* | 35,359 | 591,910 | ||||||
AMN Healthcare Services, Inc.* | 50,199 | 617,448 | ||||||
Amsurg Corp.* | 44,274 | 2,017,566 | ||||||
Bio-Reference Labs, Inc.*(a) | 26,770 | 808,989 | ||||||
Centene Corp.* | 62,808 | 4,748,913 | ||||||
Chemed Corp.(a) | 19,111 | 1,791,083 | ||||||
CorVel Corp.* | 12,290 | 555,262 | ||||||
Cross Country Healthcare, Inc.* | 29,463 | 192,099 | ||||||
Ensign Group, Inc. (The) | 21,500 | 668,220 | ||||||
Gentiva Health Services, Inc.* | 31,192 | 469,752 | ||||||
Hanger, Inc.*(a) | 38,409 | 1,207,963 | ||||||
Healthways, Inc.*(a) | 38,286 | 671,536 | ||||||
IPC The Hospitalist Co., Inc.* | 18,605 | 822,713 | ||||||
Kindred Healthcare, Inc. | 69,700 | 1,610,070 | ||||||
Landauer, Inc. | 10,368 | 435,456 | ||||||
LHC Group, Inc.* | 13,198 | 282,041 | ||||||
Magellan Health, Inc.* | 30,041 | 1,869,752 | ||||||
Molina Healthcare, Inc.*(a) | 31,322 | 1,397,901 | ||||||
MWI Veterinary Supply, Inc.* | 13,996 | 1,987,292 | ||||||
PharMerica Corp.* | 32,395 | 926,173 | ||||||
25,858,401 | ||||||||
Health Care Technology — 0.7% | ||||||||
Computer Programs & Systems, Inc. | 11,436 | 727,329 | ||||||
HealthStream, Inc.* | 22,400 | 544,320 | ||||||
Medidata Solutions, Inc.* | 55,400 | 2,371,674 | ||||||
Omnicell, Inc.* | 39,822 | 1,143,290 | ||||||
Quality Systems, Inc. | 47,634 | 764,526 | ||||||
5,551,139 | ||||||||
Hotels, Restaurants & Leisure — 3.5% |
| |||||||
Biglari Holdings, Inc.* | 1,636 | 691,979 | ||||||
BJ’s Restaurants, Inc.* | 27,272 | 952,066 | ||||||
Bob Evans Farms, Inc.(a) | 26,900 | 1,346,345 | ||||||
Boyd Gaming Corp.* | 82,200 | 997,086 | ||||||
Buffalo Wild Wings, Inc.*(a) | 20,665 | 3,424,397 | ||||||
Cracker Barrel Old Country Store, Inc. | 25,978 | 2,586,629 | ||||||
DineEquity, Inc. | 17,705 | 1,407,370 | ||||||
Interval Leisure Group, Inc. | 43,036 | 944,210 | ||||||
Jack in the Box, Inc. | 43,617 | 2,610,041 | ||||||
Marcus Corp. (The) | 19,658 | 358,759 | ||||||
Marriott Vacations Worldwide Corp.* | 32,300 | 1,893,749 | ||||||
Monarch Casino & Resort, Inc.* | 10,531 | 159,439 | ||||||
Multimedia Games Holding Co., Inc.* | 32,199 | 954,378 | ||||||
Papa John’s International, Inc. | 33,230 | 1,408,620 | ||||||
Pinnacle Entertainment, Inc.*(a) | 64,913 | 1,634,509 | ||||||
Red Robin Gourmet Burgers, Inc.* | 14,163 | 1,008,406 | ||||||
Ruby Tuesday, Inc.* | 62,184 | 471,977 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Hotels, Restaurants & Leisure (continued) |
| |||||||
Ruth’s Hospitality Group, Inc. | 39,048 | $ | 482,243 | |||||
Scientific Games Corp. | 50,600 | 562,672 | ||||||
Sonic Corp.*(a) | 54,914 | 1,212,501 | ||||||
Texas Roadhouse, Inc. | 64,430 | 1,675,180 | ||||||
26,782,556 | ||||||||
Household Durables — 1.5% | ||||||||
Ethan Allen Interiors, Inc. | 28,299 | 700,117 | ||||||
Helen of Troy Ltd.* | 29,310 | 1,777,065 | ||||||
iRobot Corp.*(a) | 32,200 | 1,318,590 | ||||||
La-Z-Boy, Inc. | 56,801 | 1,316,079 | ||||||
M/I Homes, Inc.* | 26,470 | 642,427 | ||||||
Meritage Homes Corp.* | 39,997 | 1,688,274 | ||||||
Ryland Group, Inc. (The) | 51,000 | 2,011,440 | ||||||
Standard Pacific Corp.* | 163,222 | 1,403,709 | ||||||
Universal Electronics, Inc.* | 17,354 | 848,264 | ||||||
11,705,965 | ||||||||
Household Products — 0.2% | ||||||||
Central Garden & Pet Co. | 45,588 | 419,410 | ||||||
WD-40 Co. | 15,309 | 1,151,543 | ||||||
1,570,953 | ||||||||
Insurance — 1.9% | ||||||||
AMERISAFE, Inc. | 20,314 | 826,170 | ||||||
eHealth, Inc.* | 20,791 | 789,434 | ||||||
Employers Holdings, Inc. | 33,915 | 718,320 | ||||||
HCI Group, Inc. | 10,900 | 442,540 | ||||||
Horace Mann Educators Corp. | 44,200 | 1,382,134 | ||||||
Infinity Property & Casualty Corp. | 12,589 | 846,358 | ||||||
Meadowbrook Insurance Group, Inc. | 50,300 | 361,657 | ||||||
Navigators Group, Inc. (The)* | 11,618 | 778,987 | ||||||
ProAssurance Corp. | 64,666 | 2,871,170 | ||||||
RLI Corp. | 37,410 | 1,712,630 | ||||||
Safety Insurance Group, Inc. | 13,960 | 717,265 | ||||||
Selective Insurance Group, Inc. | 61,307 | 1,515,509 | ||||||
Stewart Information Services Corp.(a) | 22,802 | 707,090 | ||||||
United Fire Group, Inc. | 23,561 | 690,809 | ||||||
Universal Insurance Holdings, Inc. | 30,800 | 399,476 | ||||||
14,759,549 | ||||||||
Internet & Catalog Retail — 0.2% | ||||||||
Blue Nile, Inc.* | 13,280 | 371,840 | ||||||
FTD Cos., Inc.*(a) | 20,606 | 655,065 | ||||||
Nutrisystem, Inc. | 30,928 | 529,178 | ||||||
PetMed Express, Inc.(a) | 21,581 | 290,912 | ||||||
1,846,995 | ||||||||
Internet Software & Services — 2.1% | ||||||||
Blucora, Inc.*(a) | 45,812 | 864,472 | ||||||
comScore, Inc.* | 34,977 | 1,240,984 | ||||||
Dealertrack Technologies, Inc.*(a) | 47,783 | 2,166,481 | ||||||
Dice Holdings, Inc.* | 39,700 | 302,117 | ||||||
Digital River, Inc.* | 30,200 | 465,986 | ||||||
j2 Global, Inc.(a) | 48,678 | 2,475,763 | ||||||
Liquidity Services, Inc.* | 28,300 | 446,008 |
SEE NOTES TO FINANCIAL STATEMENTS.
A146
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Internet Software & Services (continued) |
| |||||||
LivePerson, Inc.* | 53,400 | $ | 542,010 | |||||
LogMeIn, Inc.* | 24,900 | 1,160,838 | ||||||
Monster Worldwide, Inc.* | 98,900 | 646,806 | ||||||
NIC, Inc. | 65,000 | 1,030,250 | ||||||
OpenTable, Inc.* | 25,600 | 2,652,160 | ||||||
Perficient, Inc.* | 37,014 | 720,663 | ||||||
QuinStreet, Inc.* | 31,200 | 171,912 | ||||||
Stamps.com, Inc.* | 16,020 | 539,714 | ||||||
XO Group, Inc.* | 26,895 | 328,657 | ||||||
15,754,821 | ||||||||
IT Services — 2.0% | ||||||||
CACI International, Inc. (Class A Stock)*(a) | 25,644 | 1,800,465 | ||||||
Cardtronics, Inc.* | 48,500 | 1,652,880 | ||||||
CIBER, Inc.* | 73,923 | 365,180 | ||||||
CSG Systems International, Inc.(a) | 37,124 | 969,308 | ||||||
ExlService Holdings, Inc.* | 33,400 | 983,630 | ||||||
Forrester Research, Inc. | 13,062 | 494,789 | ||||||
Heartland Payment Systems, Inc. | 39,111 | 1,611,764 | ||||||
Higher One Holdings, Inc.* | 35,000 | 133,350 | ||||||
iGATE Corp.* | 32,100 | 1,168,119 | ||||||
ManTech International Corp. | 25,800 | 761,616 | ||||||
MAXIMUS, Inc. | 73,672 | 3,169,369 | ||||||
Sykes Enterprises, Inc.* | 42,470 | 922,873 | ||||||
TeleTech Holdings, Inc.* | 20,467 | 593,338 | ||||||
Virtusa Corp.* | 28,400 | 1,016,720 | ||||||
15,643,401 | ||||||||
Leisure Products — 0.3% | ||||||||
Arctic Cat, Inc. | 14,057 | 554,127 | ||||||
Callaway Golf Co.(a) | 84,280 | 701,210 | ||||||
Sturm Ruger & Co., Inc.(a) | 21,127 | 1,246,704 | ||||||
2,502,041 | ||||||||
Life Sciences Tools & Services — 0.8% |
| |||||||
Affymetrix, Inc.*(a) | 78,500 | 699,435 | ||||||
Albany Molecular Research, Inc.* | 20,100 | 404,412 | ||||||
Cambrex Corp.* | 33,032 | 683,762 | ||||||
Luminex Corp.* | 40,600 | 696,290 | ||||||
PAREXEL International Corp.* | 61,957 | 3,273,808 | ||||||
5,757,707 | ||||||||
Machinery — 3.8% | ||||||||
Actuant Corp. (Class A Stock) | 77,364 | 2,674,473 | ||||||
Albany International Corp. (Class A Stock) | 30,704 | 1,165,524 | ||||||
Astec Industries, Inc. | 20,410 | 895,591 | ||||||
Barnes Group, Inc. | 51,416 | 1,981,573 | ||||||
Briggs & Stratton Corp. | 50,746 | 1,038,263 | ||||||
CIRCOR International, Inc. | 19,288 | 1,487,683 | ||||||
EnPro Industries, Inc.*(a) | 24,778 | 1,812,758 | ||||||
ESCO Technologies, Inc. | 28,821 | �� | 998,359 | |||||
Federal Signal Corp. | 68,400 | 1,002,060 | ||||||
Hillenbrand, Inc. | 68,348 | 2,229,512 | ||||||
John Bean Technologies Corp. | 29,747 | 921,860 | ||||||
Lindsay Corp.(a) | 13,979 | 1,180,806 | ||||||
Lydall, Inc.* | 18,356 | 502,404 | ||||||
Mueller Industries, Inc. | 61,698 | 1,814,538 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Machinery (continued) | ||||||||
Standex International Corp. | 13,970 | $ | 1,040,486 | |||||
Tennant Co. | 20,100 | 1,534,032 | ||||||
Titan International, Inc. | 58,200 | 978,924 | ||||||
Toro Co. (The) | 60,666 | 3,858,358 | ||||||
Watts Water Technologies, Inc. (Class A Stock) | 31,021 | 1,914,926 | ||||||
29,032,130 | ||||||||
Marine — 0.2% | ||||||||
Matson, Inc. | 46,700 | 1,253,428 | ||||||
Media — 0.3% | ||||||||
EW Scripps Co. (The) | 32,801 | 694,069 | ||||||
Harte-Hanks, Inc. | 47,500 | 341,525 | ||||||
Scholastic Corp. | 28,500 | 971,565 | ||||||
Sizmek, Inc.* | 25,100 | 239,203 | ||||||
2,246,362 | ||||||||
Metals & Mining — 2.0% | ||||||||
A.M. Castle & Co.* | 18,583 | 205,156 | ||||||
AK Steel Holding Corp.*(a) | 148,300 | 1,180,468 | ||||||
Century Aluminum Co.* | 55,963 | 877,500 | ||||||
Globe Specialty Metals, Inc. | 69,000 | 1,433,820 | ||||||
Haynes International, Inc. | 13,500 | 763,965 | ||||||
Kaiser Aluminum Corp.(a) | 19,700 | 1,435,539 | ||||||
Materion Corp. | 22,478 | 831,461 | ||||||
Olympic Steel, Inc. | 9,938 | 245,966 | ||||||
RTI International Metals, Inc.* | 33,211 | 883,080 | ||||||
Stillwater Mining Co.*(a) | 130,300 | 2,286,765 | ||||||
SunCoke Energy, Inc.* | 76,000 | 1,634,000 | ||||||
U.S. Silica Holdings, Inc. | 58,500 | 3,243,240 | ||||||
15,020,960 | ||||||||
Multiline Retail — 0.2% | ||||||||
Fred’s, Inc. (Class A Stock) | 37,066 | 566,739 | ||||||
Tuesday Morning Corp.* | 40,432 | 720,498 | ||||||
1,287,237 | ||||||||
Multi-Utilities — 0.6% | ||||||||
Avista Corp.(a) | 65,503 | 2,195,661 | ||||||
NorthWestern Corp. | 42,600 | 2,223,294 | ||||||
4,418,955 | ||||||||
Oil, Gas & Consumable Fuels — 2.5% | ||||||||
Approach Resources, Inc.*(a) | 38,400 | 872,832 | ||||||
Arch Coal, Inc.(a) | 230,000 | 839,500 | ||||||
Carrizo Oil & Gas, Inc.*(a) | 45,100 | 3,123,626 | ||||||
Cloud Peak Energy, Inc.* | 66,100 | 1,217,562 | ||||||
Comstock Resources, Inc. | 48,400 | 1,395,856 | ||||||
Contango Oil & Gas Co.* | 16,800 | 710,808 | ||||||
Forest Oil Corp.* | 129,000 | 294,120 | ||||||
Green Plains, Inc. | 34,200 | 1,124,154 | ||||||
Northern Oil & Gas, Inc.*(a) | 60,400 | 983,916 | ||||||
PDC Energy, Inc.* | 39,026 | 2,464,492 | ||||||
Penn Virginia Corp.* | 57,598 | 976,286 | ||||||
PetroQuest Energy, Inc.* | 62,845 | 472,595 | ||||||
Stone Energy Corp.* | 60,294 | 2,821,156 | ||||||
Swift Energy Co.*(a) | 47,344 | 614,525 | ||||||
Synergy Resources Corp.* | 66,700 | 883,775 | ||||||
18,795,203 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A147
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Paper & Forest Products — 1.3% | ||||||||
Boise Cascade Co.* | 34,400 | $ | 985,216 | |||||
Clearwater Paper Corp.* | 22,280 | 1,375,122 | ||||||
Deltic Timber Corp. | 12,191 | 736,580 | ||||||
KapStone Paper & Packaging Corp.* | 87,700 | 2,905,501 | ||||||
Neenah Paper, Inc. | 18,078 | 960,846 | ||||||
P.H. Glatfelter Co. | 46,900 | 1,244,257 | ||||||
Schweitzer-Mauduit International, Inc. | 33,276 | 1,452,830 | ||||||
Wausau Paper Corp. | 53,867 | 582,841 | ||||||
10,243,193 | ||||||||
Personal Products — 0.1% | ||||||||
Inter Parfums, Inc. | 18,600 | 549,630 | ||||||
Medifast, Inc.* | 13,200 | 401,412 | ||||||
951,042 | ||||||||
Pharmaceuticals — 2.1% | ||||||||
Akorn, Inc.*(a) | 78,000 | 2,593,500 | ||||||
Impax Laboratories, Inc.* | 70,900 | 2,126,291 | ||||||
Lannett Co., Inc.*(a) | 30,700 | 1,523,334 | ||||||
Medicines Co. (The)* | 70,800 | 2,057,448 | ||||||
Prestige Brands Holdings, Inc.* | 56,400 | 1,911,396 | ||||||
Questcor Pharmaceuticals, Inc.(a) | 61,100 | 5,651,139 | ||||||
Sagent Pharmaceuticals, Inc.* | 22,200 | 574,092 | ||||||
16,437,200 | ||||||||
Professional Services — 1.4% | ||||||||
CDI Corp. | 15,688 | 226,064 | ||||||
Exponent, Inc. | 14,340 | 1,062,737 | ||||||
Heidrick & Struggles International, Inc. | 17,614 | 325,859 | ||||||
Insperity, Inc. | 24,779 | 817,707 | ||||||
Kelly Services, Inc. (Class A Stock) | 29,639 | 508,902 | ||||||
Korn/Ferry International* | 54,200 | 1,591,854 | ||||||
Navigant Consulting, Inc.* | 53,500 | 933,575 | ||||||
On Assignment, Inc.* | 50,786 | 1,806,458 | ||||||
Resources Connection, Inc. | 42,100 | 551,931 | ||||||
TrueBlue, Inc.* | 44,718 | 1,232,875 | ||||||
WageWorks, Inc.* | 33,000 | 1,590,930 | ||||||
10,648,892 | ||||||||
Real Estate Investment Trusts (REITs) — 7.3% |
| |||||||
Acadia Realty Trust | 62,505 | 1,755,765 | ||||||
Agree Realty Corp. | 16,200 | 489,726 | ||||||
American Assets Trust, Inc. | 38,900 | 1,343,995 | ||||||
Associated Estates Realty Corp. | 62,600 | 1,128,052 | ||||||
Capstead Mortgage Corp.(a) | 104,000 | 1,367,600 | ||||||
CareTrust REIT, Inc.* | 21,400 | 423,720 | ||||||
Cedar Realty Trust, Inc. | 74,166 | 463,538 | ||||||
Chesapeake Lodging Trust | 54,500 | 1,647,535 | ||||||
CoreSite Realty Corp. | 23,600 | 780,452 | ||||||
Cousins Properties, Inc. | 200,500 | 2,496,225 | ||||||
DiamondRock Hospitality Co. | 212,970 | 2,730,275 | ||||||
EastGroup Properties, Inc. | 34,063 | 2,187,867 | ||||||
EPR Properties | 58,170 | 3,249,958 | ||||||
Franklin Street Properties Corp. | 94,802 | 1,192,609 | ||||||
Geo Group, Inc. (The) | 78,973 | 2,821,705 | ||||||
Getty Realty Corp. | 29,000 | 553,320 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Real Estate Investment Trusts (REITs) (continued) |
| |||||||
Government Properties Income Trust(a) | 59,600 | $ | 1,513,244 | |||||
Healthcare Realty Trust, Inc. | 104,600 | 2,658,932 | ||||||
Inland Real Estate Corp. | 90,835 | 965,576 | ||||||
Kite Realty Group Trust | 142,591 | 875,509 | ||||||
Lexington Realty Trust(a) | 222,316 | 2,447,699 | ||||||
LTC Properties, Inc. | 38,026 | 1,484,535 | ||||||
Medical Properties Trust, Inc. | 187,666 | 2,484,698 | ||||||
Parkway Properties, Inc. | 78,548 | 1,622,016 | ||||||
Pennsylvania Real Estate Investment Trust | 74,522 | 1,402,504 | ||||||
Post Properties, Inc. | 59,161 | 3,162,747 | ||||||
PS Business Parks, Inc. | 22,002 | 1,836,947 | ||||||
Retail Opportunity Investments Corp. | 95,000 | 1,494,350 | ||||||
Sabra Health Care REIT, Inc. | 51,400 | 1,475,694 | ||||||
Saul Centers, Inc. | 14,000 | 680,400 | ||||||
Sovran Self Storage, Inc. | 35,897 | 2,773,043 | ||||||
Tanger Factory Outlet Centers, Inc. | 104,384 | 3,650,309 | ||||||
Universal Health Realty Income Trust | 14,100 | 613,068 | ||||||
Urstadt Biddle Properties, Inc. | 27,850 | 581,508 | ||||||
56,355,121 | ||||||||
Real Estate Management & Development — 0.1% |
| |||||||
Forestar Group, Inc.*(a) | 37,956 | 724,580 | ||||||
Road & Rail — 0.8% | ||||||||
ArcBest Corp. | 26,695 | 1,161,500 | ||||||
Heartland Express, Inc. | 54,348 | 1,159,786 | ||||||
Knight Transportation, Inc. | 65,788 | 1,563,781 | ||||||
Roadrunner Transportation Systems, Inc.* | 27,400 | 769,940 | ||||||
Saia, Inc.* | 26,900 | 1,181,717 | ||||||
5,836,724 | ||||||||
Semiconductors & Semiconductor Equipment — 4.4% |
| |||||||
Advanced Energy Industries, Inc.* | 41,197 | 793,042 | ||||||
Brooks Automation, Inc. | 72,405 | 779,802 | ||||||
Cabot Microelectronics Corp.* | 26,311 | 1,174,786 | ||||||
CEVA, Inc.* | 21,900 | 323,463 | ||||||
Cirrus Logic, Inc.*(a) | 67,600 | 1,537,224 | ||||||
Cohu, Inc. | 25,197 | 269,608 | ||||||
Diodes, Inc.* | 39,770 | 1,151,739 | ||||||
DSP Group, Inc.* | 23,528 | 199,753 | ||||||
Entropic Communications, Inc.* | 92,800 | 309,024 | ||||||
Exar Corp.* | 51,523 | 582,210 | ||||||
GT Advanced Technologies, Inc.*(a) | 148,500 | 2,762,100 | ||||||
Hittite Microwave Corp. | 34,206 | 2,666,358 | ||||||
Kopin Corp.* | 64,596 | 210,583 | ||||||
Kulicke & Soffa Industries, Inc. (Singapore)* | 82,932 | 1,182,610 | ||||||
Micrel, Inc. | 48,802 | 550,487 | ||||||
Microsemi Corp.* | 103,419 | 2,767,492 | ||||||
MKS Instruments, Inc. | 58,285 | 1,820,823 | ||||||
Monolithic Power Systems, Inc. | 38,200 | 1,617,770 | ||||||
Nanometrics, Inc.* | 24,600 | 448,950 |
SEE NOTES TO FINANCIAL STATEMENTS.
A148
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Semiconductors & Semiconductor Equipment (continued) |
| |||||||
Pericom Semiconductor Corp.* | 19,760 | $ | 178,630 | |||||
Power Integrations, Inc. | 33,100 | 1,904,574 | ||||||
Rubicon Technology, Inc.*(a) | 24,100 | 210,875 | ||||||
Rudolph Technologies, Inc.*(a) | 35,894 | 354,633 | ||||||
Synaptics, Inc.* | 39,279 | 3,560,249 | ||||||
Tessera Technologies, Inc. | 52,177 | 1,152,068 | ||||||
TriQuint Semiconductor, Inc.* | 186,476 | 2,948,186 | ||||||
Ultratech, Inc.* | 30,611 | 678,952 | ||||||
Veeco Instruments, Inc.*(a) | 43,542 | 1,622,375 | ||||||
33,758,366 | ||||||||
Software — 2.7% | ||||||||
Blackbaud, Inc. | 50,283 | 1,797,114 | ||||||
Bottomline Technologies (de), Inc.* | 40,900 | 1,223,728 | ||||||
Ebix, Inc.(a) | 34,757 | 497,373 | ||||||
Epiq Systems, Inc. | 33,617 | 472,319 | ||||||
Interactive Intelligence Group, Inc.* | 17,679 | 992,322 | ||||||
Manhattan Associates, Inc.* | 82,472 | 2,839,511 | ||||||
MicroStrategy, Inc. | 9,860 | 1,386,513 | ||||||
Monotype Imaging Holdings, Inc. | 43,000 | 1,211,310 | ||||||
NetScout Systems, Inc.* | 40,195 | 1,782,246 | ||||||
Progress Software Corp.* | 55,747 | 1,340,158 | ||||||
Synchronoss Technologies, Inc.* | 33,700 | 1,178,152 | ||||||
Take-Two Interactive Software, Inc.* | 102,312 | 2,275,419 | ||||||
Tangoe, Inc.* | 36,800 | 554,208 | ||||||
Tyler Technologies, Inc.* | 31,627 | 2,884,699 | ||||||
VASCO Data Security International, Inc.* | 31,600 | 366,560 | ||||||
20,801,632 | ||||||||
Specialty Retail — 4.2% | ||||||||
Aeropostale, Inc.*(a) | 85,400 | 298,046 | ||||||
Barnes & Noble, Inc.*(a) | 40,300 | 918,437 | ||||||
Big 5 Sporting Goods Corp. | 19,137 | 234,811 | ||||||
Brown Shoe Co., Inc. | 45,134 | 1,291,284 | ||||||
Buckle, Inc. (The)(a) | 30,659 | 1,360,033 | ||||||
Cato Corp. (The) (Class A Stock) | 28,003 | 865,293 | ||||||
Children’s Place, Inc. (The) | 23,865 | 1,184,420 | ||||||
Christopher & Banks Corp.* | 39,078 | 342,323 | ||||||
Finish Line, Inc. (The) | 52,546 | 1,562,718 | ||||||
Francesca’s Holdings Corp.* | 45,700 | 673,618 | ||||||
Genesco, Inc.* | 26,122 | 2,145,400 | ||||||
Group 1 Automotive, Inc. | 22,964 | 1,936,095 | ||||||
Haverty Furniture Cos., Inc. | 21,841 | 548,864 | ||||||
Hibbett Sports, Inc.* | 27,896 | 1,511,126 | ||||||
Kirkland’s, Inc.* | 16,300 | 302,365 | ||||||
Lithia Motors, Inc. (Class A Stock) | 24,730 | 2,326,351 | ||||||
Lumber Liquidators Holdings, Inc.*(a) | 29,922 | 2,272,576 | ||||||
MarineMax, Inc.* | 26,742 | 447,661 | ||||||
Men’s Wearhouse, Inc. (The) | 49,667 | 2,771,419 | ||||||
Monro Muffler Brake, Inc. | 32,572 | 1,732,505 | ||||||
Outerwall, Inc.*(a) | 22,231 | 1,319,410 | ||||||
Pep Boys-Manny Moe & Jack (The)* | 57,626 | 660,394 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Specialty Retail (continued) | ||||||||
Select Comfort Corp.* | 58,900 | $ | 1,216,874 | |||||
Sonic Automotive, Inc. | 37,247 | 993,750 | ||||||
Stage Stores, Inc. | 33,979 | 635,067 | ||||||
Stein Mart, Inc. | 30,483 | 423,409 | ||||||
Vitamin Shoppe, Inc.*(a) | 33,600 | 1,445,472 | ||||||
Zumiez, Inc.* | 23,150 | 638,708 | ||||||
32,058,429 | ||||||||
Technology Hardware, Storage & Peripherals — 0.6% |
| |||||||
Electronics For Imaging, Inc.* | 50,700 | 2,291,640 | ||||||
Intevac, Inc.* | 25,444 | 203,806 | ||||||
QLogic Corp.* | 94,300 | 951,487 | ||||||
Super Micro Computer, Inc.* | 37,100 | 937,517 | ||||||
4,384,450 | ||||||||
Textiles, Apparel & Luxury Goods — 1.9% |
| |||||||
Crocs, Inc.* | 94,743 | 1,423,987 | ||||||
G-III Apparel Group Ltd.* | 19,500 | 1,592,370 | ||||||
Iconix Brand Group, Inc.* | 53,031 | 2,277,151 | ||||||
Movado Group, Inc. | 19,617 | 817,441 | ||||||
Oxford Industries, Inc. | 15,816 | 1,054,453 | ||||||
Perry Ellis International, Inc.* | 13,479 | 235,074 | ||||||
Quiksilver, Inc.* | 140,993 | 504,755 | ||||||
Skechers U.S.A., Inc. | 42,976 | 1,964,003 | ||||||
Steven Madden Ltd.* | 62,700 | 2,150,610 | ||||||
Wolverine World Wide, Inc. | 110,454 | 2,878,431 | ||||||
14,898,275 | ||||||||
Thrifts & Mortgage Finance — 0.8% |
| |||||||
Bank Mutual Corp. | 46,835 | 271,644 | ||||||
BofI Holding, Inc.* | 13,500 | 991,845 | ||||||
Brookline Bancorp, Inc. | 76,432 | 716,168 | ||||||
Dime Community Bancshares, Inc. | 31,981 | 504,980 | ||||||
Northwest Bancshares, Inc. | 102,800 | 1,394,996 | ||||||
Oritani Financial Corp. | 42,800 | 658,692 | ||||||
Provident Financial Services, Inc. | 58,300 | 1,009,756 | ||||||
TrustCo Bank Corp. NY | 102,695 | 686,002 | ||||||
6,234,083 | ||||||||
Tobacco |
| |||||||
Alliance One International, Inc.* | 88,338 | 220,845 | ||||||
Trading Companies & Distributors — 0.7% |
| |||||||
Aceto Corp. | 29,100 | 527,874 | ||||||
Applied Industrial Technologies, Inc. | 45,528 | 2,309,636 | ||||||
DXP Enterprises, Inc.* | 11,600 | 876,264 | ||||||
Kaman Corp. | 29,922 | 1,278,566 | ||||||
4,992,340 | ||||||||
Water Utilities — 0.2% |
| |||||||
American States Water Co. | 42,152 | 1,400,711 | ||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
NTELOS Holdings Corp. | 16,621 | 207,098 | ||||||
USA Mobility, Inc. | 23,480 | 361,592 | ||||||
568,690 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(cost $446,441,809) | 751,374,905 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A149
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
EXCHANGE TRADED FUND — 0.4% | Shares | Value (Note 2) | ||||||
iShares Core S&P Small-Cap ETF | 28,000 | 3,138,520 | ||||||
TOTAL LONG-TERM INVESTMENTS | ||||||||
(cost $448,018,919) | 754,513,425 | |||||||
SHORT-TERM INVESTMENTS — 11.9% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND — 11.8% | ||||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $90,161,146; includes $83,987,625 of cash collateral for securities on loan) (Note 4)(b)(c) | 90,161,146 | 90,161,146 | ||||||
Principal Amount (000)# | ||||||||
U.S. TREASURY OBLIGATION — 0.1% | ||||||||
U.S. Treasury Bill, 0.020%, 09/18/14 | $ | 750 | 749,967 | |||||
TOTAL SHORT-TERM INVESTMENTS |
| |||||||
(cost $90,911,113) | 90,911,113 | |||||||
TOTAL INVESTMENTS — 110.3% | ||||||||
(cost $538,930,032) | 845,424,538 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (10.3)% | (78,677,475 | ) | ||||||
NET ASSETS — 100.0% | $ | 766,747,063 | ||||||
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 $82,249,784; cash collateral of $83,987,625 (included with liabilities) was received with which the Portfolio’s purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
(c) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
(d) | Rate quoted represents yield-to-maturity as of purchase date. |
(e) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(f) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2014:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2014 | Unrealized Appreciation(1) | |||||||||||||
Long Position: | ||||||||||||||||||
103 | Russell 2000 Mini Index | Sep. 2014 | $ | 12,102,721 | $ | 12,260,090 | $ | 157,369 | ||||||||||
(1) | A U.S. Treasury obligation with a market value of $742,467 has been segregated with UBS AG to cover requirements for open contracts at June 30, 2014. |
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 June 30, 2014 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 19,496,673 | $ | — | $ | — | ||||||
Air Freight & Logistics | 5,566,278 | — | — | |||||||||
Airlines | 2,487,007 | — | — | |||||||||
Auto Components | 4,356,091 | — | — | |||||||||
Automobiles | 748,627 | — | — | |||||||||
Banks | 53,088,130 | — | — | |||||||||
Beverages | 2,173,732 | — | — | |||||||||
Biotechnology | 5,493,903 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A150
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Building Products | $ | 7,299,173 | $ | — | $ | — | ||||||
Capital Markets | 14,913,659 | — | — | |||||||||
Chemicals | 18,985,117 | — | — | |||||||||
Commercial Services & Supplies | 17,258,540 | — | — | |||||||||
Communications Equipment | 8,433,391 | — | — | |||||||||
Construction & Engineering | 6,338,210 | — | — | |||||||||
Construction Materials | 3,268,548 | — | — | |||||||||
Consumer Finance | 9,709,982 | — | — | |||||||||
Containers & Packaging | 568,949 | — | — | |||||||||
Distributors | 2,968,923 | — | — | |||||||||
Diversified Consumer Services | 4,722,926 | — | — | |||||||||
Diversified Financial Services | 3,439,933 | — | — | |||||||||
Diversified Telecommunication Services | 3,191,338 | — | — | |||||||||
Electric Utilities | 9,052,893 | — | — | |||||||||
Electrical Equipment | 9,701,451 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 35,855,717 | — | — | |||||||||
Energy Equipment & Services | 19,487,178 | — | — | |||||||||
Food & Staples Retailing | 5,301,055 | — | — | |||||||||
Food Products | 17,190,962 | — | — | |||||||||
Gas Utilities | 14,257,928 | — | — | |||||||||
Health Care Equipment & Supplies | 25,716,215 | — | — | |||||||||
Health Care Providers & Services | 25,858,401 | — | — | |||||||||
Health Care Technology | 5,551,139 | — | — | |||||||||
Hotels, Restaurants & Leisure | 26,782,556 | — | — | |||||||||
Household Durables | 11,705,965 | — | — | |||||||||
Household Products | 1,570,953 | — | — | |||||||||
Insurance | 14,759,549 | — | — | |||||||||
Internet & Catalog Retail | 1,846,995 | — | — | |||||||||
Internet Software & Services | 15,754,821 | — | — | |||||||||
IT Services | 15,643,401 | — | — | |||||||||
Leisure Products | 2,502,041 | — | — | |||||||||
Life Sciences Tools & Services | 5,757,707 | — | — | |||||||||
Machinery | 29,032,130 | — | — | |||||||||
Marine | 1,253,428 | — | — | |||||||||
Media | 2,246,362 | — | — | |||||||||
Metals & Mining | 15,020,960 | — | — | |||||||||
Multiline Retail | 1,287,237 | — | — | |||||||||
Multi-Utilities | 4,418,955 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 18,795,203 | — | — | |||||||||
Paper & Forest Products | 10,243,193 | — | — | |||||||||
Personal Products | 951,042 | — | — | |||||||||
Pharmaceuticals | 16,437,200 | — | — | |||||||||
Professional Services | 10,648,892 | — | — | |||||||||
Real Estate Investment Trusts (REITs) | 56,355,121 | — | — | |||||||||
Real Estate Management & Development | 724,580 | — | — | |||||||||
Road & Rail | 5,836,724 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 33,758,366 | — | — | |||||||||
Software | 20,801,632 | — | — | |||||||||
Specialty Retail | 32,058,429 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 4,384,450 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 14,898,275 | — | — | |||||||||
Thrifts & Mortgage Finance | 6,234,083 | — | — | |||||||||
Tobacco | 220,845 | — | — | |||||||||
Trading Companies & Distributors | 4,992,340 | — | — | |||||||||
Water Utilities | 1,400,711 | — | — | |||||||||
Wireless Telecommunication Services | 568,690 | — | — | |||||||||
Exchange Traded Fund | 3,138,520 | — | — | |||||||||
Affiliated Money Market Mutual Fund | 90,161,146 | — | — | |||||||||
U.S. Treasury Obligation | — | 749,967 | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A151
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | $ | 157,369 | $ | — | $ | — | ||||||
Total | $ | 844,831,940 | $ | 749,967 | $ | — | ||||||
* | 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 June 30, 2014 was as follows:
Affiliated Money Market Mutual Fund (including 11.0% of collateral for securities on loan) | 11.8 | % | ||
Real Estate Investment Trusts (REITs) | 7.3 | |||
Banks | 6.9 | |||
Electronic Equipment, Instruments & Components | 4.7 | |||
Semiconductors & Semiconductor Equipment | 4.4 | |||
Specialty Retail | 4.2 | |||
Machinery | 3.8 | |||
Hotels, Restaurants & Leisure | 3.5 | |||
Health Care Equipment & Supplies | 3.4 | |||
Health Care Providers & Services | 3.4 | |||
Software | 2.7 | |||
Aerospace & Defense | 2.5 | |||
Chemicals | 2.5 | |||
Energy Equipment & Services | 2.5 | |||
Oil, Gas & Consumable Fuels | 2.5 | |||
Commercial Services & Supplies | 2.2 | |||
Food Products | 2.2 | |||
Internet Software & Services | 2.1 | |||
Pharmaceuticals | 2.1 | |||
IT Services | 2.0 | |||
Metals & Mining | 2.0 | |||
Capital Markets | 1.9 | |||
Gas Utilities | 1.9 | |||
Insurance | 1.9 | |||
Textiles, Apparel & Luxury Goods | 1.9 | |||
Household Durables | 1.5 | |||
Professional Services | 1.4 | |||
Consumer Finance | 1.3 | |||
Electrical Equipment | 1.3 | |||
Paper & Forest Products | 1.3 | |||
Electric Utilities | 1.2 | |||
Communications Equipment | 1.1 | |||
Building Products | 1.0 | |||
Construction & Engineering | 0.8 | |||
Life Sciences Tools & Services | 0.8 |
Road & Rail | 0.8 | % | ||
Thrifts & Mortgage Finance | 0.8 | |||
Air Freight & Logistics | 0.7 | |||
Biotechnology | 0.7 | |||
Food & Staples Retailing | 0.7 | |||
Health Care Technology | 0.7 | |||
Trading Companies & Distributors | 0.7 | |||
Auto Components | 0.6 | |||
Diversified Consumer Services | 0.6 | |||
Multi-Utilities | 0.6 | |||
Technology Hardware, Storage & Peripherals | 0.6 | |||
Construction Materials | 0.4 | |||
Distributors | 0.4 | |||
Diversified Financial Services | 0.4 | |||
Diversified Telecommunication Services | 0.4 | |||
Exchange Traded Fund | 0.4 | |||
Airlines | 0.3 | |||
Beverages | 0.3 | |||
Leisure Products | 0.3 | |||
Media | 0.3 | |||
Household Products | 0.2 | |||
Internet & Catalog Retail | 0.2 | |||
Marine | 0.2 | |||
Multiline Retail | 0.2 | |||
Water Utilities | 0.2 | |||
Automobiles | 0.1 | |||
Containers & Packaging | 0.1 | |||
Personal Products | 0.1 | |||
Real Estate Management & Development | 0.1 | |||
U.S. Treasury Obligation | 0.1 | |||
Wireless Telecommunication Services | 0.1 | |||
110.3 | ||||
Liabilities in excess of other assets | (10.3 | ) | ||
100.0 | % | |||
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2014 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Equity contracts | Due from broker — variation margin | $ | 157,369 | * | — | $ | — | |||||
* | 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A152
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2014 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 | $ | 245,005 | ||
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 | $ | (199,893 | ) | |
As of June 30, 2014, the Fund’s average value at trade date for futures long positions was $11,196,178
SEE NOTES TO FINANCIAL STATEMENTS.
A153
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
June 30, 2014
ASSETS | ||||
Investments at value, including securities on loan of $82,249,784: | ||||
Unaffiliated investments (cost $448,768,886) | $ | 755,263,392 | ||
Affiliated investments (cost $90,161,146) | 90,161,146 | |||
Receivable for investments sold | 9,347,341 | |||
Dividends and interest receivable | 761,414 | |||
Due from broker—variation margin | 63,359 | |||
Receivable for Series shares sold | 1,825 | |||
Prepaid expenses | 904 | |||
Total Assets | 855,599,381 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 83,987,625 | |||
Payable for investments purchased | 4,396,590 | |||
Management fee payable | 217,109 | |||
Payable for Series shares repurchased | 132,008 | |||
Accrued expenses | 110,927 | |||
Payable to custodian | 7,133 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 88,852,318 | |||
NET ASSETS | $ | 766,747,063 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 353,754,052 | ||
Retained earnings | 412,993,011 | |||
Net assets, June 30, 2014 | $ | 766,747,063 | ||
Net asset value and redemption price per share $766,747,063 / 28,441,703 outstanding shares of beneficial interest | $ | 26.96 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2014
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $263) | $ | 4,867,115 | ||
Affiliated income from securities loaned, net | 286,848 | |||
Affiliated dividend income | 5,167 | |||
Interest income | 186 | |||
Total income | 5,159,316 | |||
EXPENSES | ||||
Management fee | 1,490,736 | |||
Shareholders’ reports | 60,000 | |||
Custodian’s fees and expenses | 55,000 | |||
Audit fee | 10,000 | |||
Trustees’ fees | 8,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Legal fees and expenses | 5,000 | |||
Insurance expenses | 5,000 | |||
Commitment fee on syndicated credit agreement | 1,000 | |||
Miscellaneous | 27,591 | |||
Total expenses | 1,668,327 | |||
Less: Management fee waiver | (186,342 | ) | ||
Net expenses | 1,481,985 | |||
NET INVESTMENT INCOME | 3,677,331 | |||
REALIZED AND UNREALIZED GAIN ON INVESTMENTS | ||||
Net realized gain on: | ||||
Investment transactions | 29,471,495 | |||
Futures transactions | 245,005 | |||
29,716,500 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (10,726,027 | ) | ||
Futures | (199,893 | ) | ||
(10,925,920 | ) | |||
NET GAIN ON INVESTMENT TRANSACTIONS | 18,790,580 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 22,467,911 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 3,677,331 | $ | 6,238,439 | ||||
Net realized gain on investment transactions | 29,716,500 | 53,723,040 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (10,925,920 | ) | 171,173,752 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 22,467,911 | 231,135,231 | ||||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [251,788 and 251,788 shares, respectively] | 6,533,186 | 25,996,841 | ||||||
Series shares repurchased [1,252,881 and 2,883,124 shares, respectively] | (32,350,159 | ) | (65,438,115 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (25,816,973 | ) | (39,441,274 | ) | ||||
TOTAL INCREASE/(DECREASE) | (3,349,062 | ) | 191,693,957 | |||||
NET ASSETS: | ||||||||
Beginning of period | 770,096,125 | 578,402,168 | ||||||
End of period | $ | 766,747,063 | $ | 770,096,125 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A154
STOCK INDEX PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
LONG-TERM INVESTMENTS — 94.0% | ||||||||
COMMON STOCKS | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 2.5% |
| |||||||
Boeing Co. (The) | 115,436 | $ | 14,686,922 | |||||
General Dynamics Corp. | 55,600 | 6,480,180 | ||||||
Honeywell International, Inc. | 133,750 | 12,432,062 | ||||||
L-3 Communications Holdings, Inc. | 14,700 | 1,775,025 | ||||||
Lockheed Martin Corp. | 45,998 | 7,393,259 | ||||||
Northrop Grumman Corp. | 37,926 | 4,537,087 | ||||||
Precision Castparts Corp. | 25,000 | 6,310,000 | ||||||
Raytheon Co. | 53,818 | 4,964,711 | ||||||
Rockwell Collins, Inc. | 23,300 | 1,820,662 | ||||||
Textron, Inc. | 44,900 | 1,719,221 | ||||||
United Technologies Corp. | 144,000 | 16,624,800 | ||||||
78,743,929 | ||||||||
Air Freight & Logistics — 0.7% |
| |||||||
C.H. Robinson Worldwide, Inc.(a) | 26,100 | 1,664,919 | ||||||
Expeditors International of Washington, Inc. | 35,600 | 1,572,096 | ||||||
FedEx Corp. | 47,540 | 7,196,605 | ||||||
United Parcel Service, Inc. (Class B Stock) | 121,600 | 12,483,456 | ||||||
22,917,076 | ||||||||
Airlines — 0.3% |
| |||||||
Delta Air Lines, Inc. | 145,300 | 5,626,016 | ||||||
Southwest Airlines Co. | 120,037 | 3,224,194 | ||||||
8,850,210 | ||||||||
Auto Components — 0.4% |
| |||||||
BorgWarner, Inc. | 37,400 | 2,438,106 | ||||||
Delphi Automotive PLC (United Kingdom) | 48,100 | 3,306,394 | ||||||
Goodyear Tire & Rubber Co. (The) | 41,000 | 1,138,980 | ||||||
Johnson Controls, Inc. | 113,400 | 5,662,062 | ||||||
12,545,542 | ||||||||
Automobiles — 0.7% | ||||||||
Ford Motor Co. | 674,359 | 11,625,949 | ||||||
General Motors Co. | 217,600 | 7,898,880 | ||||||
Harley-Davidson, Inc.(a) | 36,000 | 2,514,600 | ||||||
22,039,429 | ||||||||
Banks — 5.6% | ||||||||
Bank of America Corp. | 1,799,082 | 27,651,890 | ||||||
BB&T Corp. | 121,500 | 4,790,745 | ||||||
Citigroup, Inc. | 517,622 | 24,379,996 | ||||||
Comerica, Inc. | 28,550 | 1,432,068 | ||||||
Fifth Third Bancorp | 145,649 | 3,109,606 | ||||||
Huntington Bancshares, Inc. | 144,675 | 1,380,200 | ||||||
JPMorgan Chase & Co. | 644,845 | 37,155,969 | ||||||
KeyCorp | 152,900 | 2,191,057 | ||||||
M&T Bank Corp.(a) | 21,600 | 2,679,480 | ||||||
PNC Financial Services Group, Inc. (The) | 90,293 | 8,040,592 | ||||||
Regions Financial Corp. | 241,312 | 2,562,733 | ||||||
SunTrust Banks, Inc. | 91,600 | 3,669,496 | ||||||
U.S. Bancorp | 310,481 | 13,450,037 | ||||||
Wells Fargo & Co. | 816,136 | 42,896,108 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks (continued) | ||||||||
Zions Bancorporation(a) | 30,000 | $ | 884,100 | |||||
176,274,077 | ||||||||
Beverages — 2.0% | ||||||||
Brown-Forman Corp. (Class B Stock) | 26,350 | 2,481,379 | ||||||
Coca-Cola Co. (The) | 644,350 | 27,294,666 | ||||||
Coca-Cola Enterprises, Inc. | 40,700 | 1,944,646 | ||||||
Constellation Brands Inc. (Class A Stock)* | 28,600 | 2,520,518 | ||||||
Dr. Pepper Snapple Group, Inc. | 33,800 | 1,980,004 | ||||||
Molson Coors Brewing Co. (Class B Stock) | 27,500 | 2,039,400 | ||||||
Monster Beverage Corp.* | 23,600 | 1,676,308 | ||||||
PepsiCo, Inc. | 260,614 | 23,283,255 | ||||||
63,220,176 | ||||||||
Biotechnology — 2.4% | ||||||||
Alexion Pharmaceuticals, Inc.* | 33,900 | 5,296,875 | ||||||
Amgen, Inc. | 129,094 | 15,280,857 | ||||||
Biogen Idec, Inc.* | 40,775 | 12,856,765 | ||||||
Celgene Corp.* | 139,000 | 11,937,320 | ||||||
Gilead Sciences, Inc.* | 263,600 | 21,855,076 | ||||||
Regeneron Pharmaceuticals, Inc.*(a) | 12,900 | 3,643,863 | ||||||
Vertex Pharmaceuticals, Inc.* | 40,200 | 3,806,136 | ||||||
74,676,892 | ||||||||
Building Products — 0.1% | ||||||||
Allegion PLC | 15,433 | 874,742 | ||||||
Masco Corp. | 57,800 | 1,283,160 | ||||||
2,157,902 | ||||||||
Capital Markets — 2.0% |
| |||||||
Ameriprise Financial, Inc. | 32,700 | 3,924,000 | ||||||
Bank of New York Mellon Corp. (The) | 194,089 | 7,274,456 | ||||||
BlackRock, Inc. | 21,700 | 6,935,320 | ||||||
Charles Schwab Corp. (The) | 195,000 | 5,251,350 | ||||||
E*TRADE Financial Corp.* | 51,810 | 1,101,481 | ||||||
Franklin Resources, Inc. | 69,500 | 4,019,880 | ||||||
Goldman Sachs Group, Inc. (The) | 72,200 | 12,089,168 | ||||||
Invesco Ltd. | 74,100 | 2,797,275 | ||||||
Legg Mason, Inc. | 18,000 | 923,580 | ||||||
Morgan Stanley | 240,210 | 7,765,989 | ||||||
Northern Trust Corp. | 38,600 | 2,478,506 | ||||||
State Street Corp. | 73,825 | 4,965,469 | ||||||
T. Rowe Price Group, Inc. | 44,200 | 3,730,922 | ||||||
63,257,396 | ||||||||
Chemicals — 2.5% |
| |||||||
Air Products & Chemicals, Inc. | 36,300 | 4,668,906 | ||||||
Airgas, Inc.(a) | 10,300 | 1,121,773 | ||||||
CF Industries Holdings, Inc. | 9,000 | 2,164,770 | ||||||
Dow Chemical Co. (The) | 207,011 | 10,652,786 | ||||||
E.I. du Pont de Nemours & Co.(a) | 157,991 | 10,338,931 | ||||||
Eastman Chemical Co. | 26,100 | 2,279,835 | ||||||
Ecolab, Inc. | 46,300 | 5,155,042 | ||||||
FMC Corp. | 23,000 | 1,637,370 |
SEE NOTES TO FINANCIAL STATEMENTS.
A155
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Chemicals (continued) |
| |||||||
International Flavors & Fragrances, Inc. | 14,200 | $ | 1,480,776 | |||||
LyondellBasell Industries NV (Class A Stock) | 73,900 | 7,216,335 | ||||||
Monsanto Co. | 89,296 | 11,138,783 | ||||||
Mosaic Co. (The) | 55,200 | 2,729,640 | ||||||
PPG Industries, Inc. | 23,700 | 4,980,555 | ||||||
Praxair, Inc. | 50,300 | 6,681,852 | ||||||
Sherwin-Williams Co. (The) | 14,800 | 3,062,268 | ||||||
Sigma-Aldrich Corp.(a) | 20,700 | 2,100,636 | ||||||
77,410,258 | ||||||||
Commercial Services & Supplies — 0.5% |
| |||||||
ADT Corp. (The)(a) | 31,400 | 1,097,116 | ||||||
Cintas Corp. | 17,200 | 1,092,888 | ||||||
Iron Mountain, Inc. | 29,217 | 1,035,743 | ||||||
Pitney Bowes, Inc.(a) | 34,700 | 958,414 | ||||||
Republic Services, Inc. | 42,635 | 1,618,851 | ||||||
Stericycle, Inc.* | 13,100 | 1,551,302 | ||||||
Tyco International Ltd. | 78,800 | 3,593,280 | ||||||
Waste Management, Inc. | 73,930 | 3,306,889 | ||||||
14,254,483 | ||||||||
Communications Equipment — 1.6% | ||||||||
Cisco Systems, Inc. | 880,775 | 21,887,259 | ||||||
F5 Networks, Inc.* | 12,600 | 1,404,144 | ||||||
Harris Corp. | 18,300 | 1,386,225 | ||||||
Juniper Networks, Inc.* | 81,000 | 1,987,740 | ||||||
Motorola Solutions, Inc. | 36,327 | 2,418,288 | ||||||
QUALCOMM, Inc. | 289,150 | 22,900,680 | ||||||
51,984,336 | ||||||||
Construction & Engineering — 0.1% | ||||||||
Fluor Corp. | 27,500 | 2,114,750 | ||||||
Jacobs Engineering Group, Inc.*(a) | 22,200 | 1,182,816 | ||||||
Quanta Services, Inc.* | 33,000 | 1,141,140 | ||||||
4,438,706 | ||||||||
Construction Materials | ||||||||
Vulcan Materials Co. | 22,300 | 1,421,625 | ||||||
Consumer Finance — 0.9% | ||||||||
American Express Co. | 155,700 | 14,771,259 | ||||||
Capital One Financial Corp. | 97,969 | 8,092,239 | ||||||
Discover Financial Services | 80,605 | 4,995,898 | ||||||
Navient Corp. | 77,000 | 1,363,670 | ||||||
29,223,066 | ||||||||
Containers & Packaging — 0.2% | ||||||||
Avery Dennison Corp. | 16,900 | 866,125 | ||||||
Ball Corp. | 24,300 | 1,523,124 | ||||||
Bemis Co., Inc. | 17,900 | 727,814 | ||||||
MeadWestvaco Corp. | 29,889 | 1,322,887 | ||||||
Owens-Illinois, Inc.* | 28,200 | 976,848 | ||||||
Sealed Air Corp. | 31,620 | 1,080,456 | ||||||
6,497,254 | ||||||||
Distributors — 0.1% | ||||||||
Genuine Parts Co.(a) | 26,225 | 2,302,555 | ||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Diversified Consumer Services — 0.1% |
| |||||||
Graham Holdings Co. | 700 | $ | 502,677 | |||||
H&R Block, Inc. | 47,600 | 1,595,552 | ||||||
2,098,229 | ||||||||
Diversified Financial Services — 1.7% |
| |||||||
Berkshire Hathaway, Inc. (Class B Stock)* | 306,200 | 38,752,672 | ||||||
CME Group, Inc. | 54,000 | 3,831,300 | ||||||
IntercontinentalExchange, Inc. | 19,398 | 3,664,282 | ||||||
Leucadia National Corp. | 53,600 | 1,405,392 | ||||||
McGraw-Hill Financial, Inc. | 46,200 | 3,835,986 | ||||||
Moody’s Corp. | 30,020 | 2,631,553 | ||||||
NASDAQ OMX Group, Inc. (The) | 20,000 | 772,400 | ||||||
54,893,585 | ||||||||
Diversified Telecommunication Services — 2.3% |
| |||||||
AT&T, Inc. | 886,211 | 31,336,421 | ||||||
CenturyLink, Inc.(a) | 98,885 | 3,579,637 | ||||||
Frontier Communications Corp. | 164,916 | 963,110 | ||||||
Verizon Communications, Inc. | 704,938 | 34,492,616 | ||||||
Windstream Holdings, Inc. | 93,065 | 926,927 | ||||||
71,298,711 | ||||||||
Electric Utilities — 1.7% | ||||||||
American Electric Power Co., Inc. | 83,040 | 4,631,141 | ||||||
Duke Energy Corp. | 120,848 | 8,965,713 | ||||||
Edison International | 54,900 | 3,190,239 | ||||||
Entergy Corp. | 31,400 | 2,577,626 | ||||||
Exelon Corp. | 146,673 | 5,350,631 | ||||||
FirstEnergy Corp. | 71,680 | 2,488,729 | ||||||
NextEra Energy, Inc. | 74,075 | 7,591,206 | ||||||
Northeast Utilities | 54,000 | 2,552,580 | ||||||
Pepco Holdings, Inc. | 36,700 | 1,008,516 | ||||||
Pinnacle West Capital Corp. | 18,500 | 1,070,040 | ||||||
PPL Corp. | 105,100 | 3,734,203 | ||||||
Southern Co. (The)(a) | 152,100 | 6,902,298 | ||||||
Xcel Energy, Inc. | 86,495 | 2,787,734 | ||||||
52,850,656 | ||||||||
Electrical Equipment — 0.6% | ||||||||
AMETEK, Inc. | 42,100 | 2,200,988 | ||||||
Eaton Corp. PLC | 79,761 | 6,155,954 | ||||||
Emerson Electric Co. | 120,600 | 8,003,016 | ||||||
Rockwell Automation, Inc. | 23,800 | 2,978,808 | ||||||
19,338,766 | ||||||||
Electronic Equipment, Instruments & Components — 0.4% |
| |||||||
Amphenol Corp. (Class A Stock) | 27,100 | 2,610,814 | ||||||
Corning, Inc. | 224,800 | 4,934,360 | ||||||
FLIR Systems, Inc. | 23,500 | 816,155 | ||||||
Jabil Circuit, Inc. | 34,100 | 712,690 | ||||||
TE Connectivity Ltd. (Switzerland) | 70,500 | 4,359,720 | ||||||
13,433,739 | ||||||||
Energy Equipment & Services — 2.0% |
| |||||||
Baker Hughes, Inc. | 74,748 | 5,564,989 | ||||||
Cameron International Corp.* | 35,400 | 2,396,934 | ||||||
Diamond Offshore Drilling, Inc.(a) | 11,900 | 590,597 | ||||||
Ensco PLC (Class A Stock)(a) | 39,700 | 2,206,129 |
SEE NOTES TO FINANCIAL STATEMENTS.
A156
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Energy Equipment & Services (continued) |
| |||||||
FMC Technologies, Inc.* | 38,300 | $ | 2,338,981 | |||||
Halliburton Co. | 143,700 | 10,204,137 | ||||||
Helmerich & Payne, Inc. | 18,400 | 2,136,424 | ||||||
Nabors Industries Ltd. | 45,700 | 1,342,209 | ||||||
National Oilwell Varco, Inc.(a) | 73,300 | 6,036,255 | ||||||
Noble Corp. PLC(a) | 43,500 | 1,459,860 | ||||||
Rowan Cos. PLC (Class A Stock) | 20,500 | 654,565 | ||||||
Schlumberger Ltd. | 222,772 | 26,275,957 | ||||||
Transocean Ltd.(a) | 57,900 | 2,607,237 | ||||||
63,814,274 | ||||||||
Food & Staples Retailing — 2.1% | ||||||||
Costco Wholesale Corp. | 74,422 | 8,570,438 | ||||||
CVS Caremark Corp. | 201,738 | 15,204,993 | ||||||
Kroger Co. (The) | 89,400 | 4,419,042 | ||||||
Safeway, Inc. | 40,200 | 1,380,468 | ||||||
Sysco Corp. | 100,100 | 3,748,745 | ||||||
Wal-Mart Stores, Inc. | 276,300 | 20,741,841 | ||||||
Walgreen Co. | 149,000 | 11,045,370 | ||||||
Whole Foods Market, Inc. | 63,600 | 2,456,868 | ||||||
67,567,765 | ||||||||
Food Products — 1.5% | ||||||||
Archer-Daniels-Midland Co. | 112,138 | 4,946,407 | ||||||
Campbell Soup Co.(a) | 30,100 | 1,378,881 | ||||||
ConAgra Foods, Inc. | 70,300 | 2,086,504 | ||||||
General Mills, Inc. | 106,800 | 5,611,272 | ||||||
Hershey Co. (The) | 25,700 | 2,502,409 | ||||||
Hormel Foods Corp. | 23,600 | 1,164,660 | ||||||
J.M. Smucker Co. (The) | 18,200 | 1,939,574 | ||||||
Kellogg Co. | 42,900 | 2,818,530 | ||||||
Keurig Green Mountain, Inc. | 20,400 | 2,542,044 | ||||||
Kraft Foods Group, Inc. | 102,037 | 6,117,118 | ||||||
McCormick & Co., Inc. | 22,300 | 1,596,457 | ||||||
Mead Johnson Nutrition Co. | 34,993 | 3,260,298 | ||||||
Mondelez International, Inc. (Class A Stock) | 290,911 | 10,941,163 | ||||||
Tyson Foods, Inc. (Class A Stock) | 45,600 | 1,711,824 | ||||||
48,617,141 | ||||||||
Gas Utilities | ||||||||
AGL Resources, Inc. | 19,837 | 1,091,630 | ||||||
Health Care Equipment & Supplies — 2.0% |
| |||||||
Abbott Laboratories | 263,350 | 10,771,015 | ||||||
Baxter International, Inc. | 93,200 | 6,738,360 | ||||||
Becton, Dickinson and Co. | 33,800 | 3,998,540 | ||||||
Boston Scientific Corp.* | 225,299 | 2,877,068 | ||||||
C.R. Bard, Inc. | 13,000 | 1,859,130 | ||||||
CareFusion Corp.* | 35,837 | 1,589,371 | ||||||
Covidien PLC | 77,100 | 6,952,878 | ||||||
DENTSPLY International, Inc. | 22,500 | 1,065,375 | ||||||
Edwards Lifesciences Corp.* | 18,200 | 1,562,288 | ||||||
Intuitive Surgical, Inc.* | 6,550 | 2,697,290 | ||||||
Medtronic, Inc. | 170,600 | 10,877,456 | ||||||
St. Jude Medical, Inc. | 49,600 | 3,434,800 | ||||||
Stryker Corp. | 49,600 | 4,182,272 | ||||||
Varian Medical Systems, Inc.* | 17,300 | 1,438,322 | ||||||
Zimmer Holdings, Inc. | 29,086 | 3,020,872 | ||||||
63,065,037 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Health Care Providers & Services — 2.0% |
| |||||||
Aetna, Inc. | 62,257 | $ | 5,047,798 | |||||
AmerisourceBergen Corp. | 39,900 | 2,899,134 | ||||||
Cardinal Health, Inc. | 58,975 | 4,043,326 | ||||||
Cigna Corp. | 47,900 | 4,405,363 | ||||||
DaVita HealthCare Partners, Inc.* | 30,600 | 2,212,992 | ||||||
Express Scripts Holding Co.* | 132,526 | 9,188,028 | ||||||
Humana, Inc. | 26,300 | 3,359,036 | ||||||
Laboratory Corp. of America Holdings* | 14,600 | 1,495,040 | ||||||
McKesson Corp. | 39,407 | 7,337,977 | ||||||
Patterson Cos., Inc.(a) | 11,000 | 434,610 | ||||||
Quest Diagnostics, Inc.(a) | 24,700 | 1,449,643 | ||||||
Tenet Healthcare Corp.* | 16,800 | 788,592 | ||||||
UnitedHealth Group, Inc. | 169,200 | 13,832,100 | ||||||
WellPoint, Inc. | 48,300 | 5,197,563 | ||||||
61,691,202 | ||||||||
Health Care Technology — 0.1% | ||||||||
Cerner Corp.* | 49,800 | 2,568,684 | ||||||
Hotels, Restaurants & Leisure — 1.6% |
| |||||||
Carnival Corp. | 74,400 | 2,801,160 | ||||||
Chipotle Mexican Grill, Inc.* | 5,300 | 3,140,303 | ||||||
Darden Restaurants, Inc.(a) | 21,950 | 1,015,627 | ||||||
Marriott International, Inc. (Class A Stock)(a) | 37,903 | 2,429,582 | ||||||
McDonald’s Corp. | 168,800 | 17,004,912 | ||||||
Starbucks Corp. | 128,800 | 9,966,544 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 32,800 | 2,650,896 | ||||||
Wyndham Worldwide Corp. | 22,863 | 1,731,186 | ||||||
Wynn Resorts Ltd. | 13,900 | 2,885,084 | ||||||
Yum! Brands, Inc. | 74,600 | 6,057,520 | ||||||
49,682,814 | ||||||||
Household Durables — 0.4% | ||||||||
D.R. Horton, Inc.(a) | 45,200 | 1,111,016 | ||||||
Garmin Ltd.(a) | 19,000 | 1,157,100 | ||||||
Harman International Industries, Inc. | 11,600 | 1,246,188 | ||||||
Leggett & Platt, Inc. | 23,800 | 815,864 | ||||||
Lennar Corp. (Class A Stock)(a) | 27,000 | 1,133,460 | ||||||
Mohawk Industries, Inc.* | 10,500 | 1,452,570 | ||||||
Newell Rubbermaid, Inc. | 47,749 | 1,479,741 | ||||||
PulteGroup, Inc. | 50,385 | 1,015,762 | ||||||
Whirlpool Corp. | 13,307 | 1,852,601 | ||||||
11,264,302 | ||||||||
Household Products — 1.8% | ||||||||
Clorox Co. (The)(a) | 22,500 | 2,056,500 | ||||||
Colgate-Palmolive Co. | 149,300 | 10,179,274 | ||||||
Kimberly-Clark Corp. | 64,888 | 7,216,843 | ||||||
Procter & Gamble Co. (The) | 462,006 | 36,309,052 | ||||||
55,761,669 | ||||||||
Independent Power & Renewable Electricity Producers — 0.1% |
| |||||||
AES Corp. | 111,800 | 1,738,490 | ||||||
NRG Energy, Inc. | 56,200 | 2,090,640 | ||||||
3,829,130 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A157
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Industrial Conglomerates — 2.2% | ||||||||
3M Co. | 107,100 | $ | 15,341,004 | |||||
Danaher Corp. | 102,200 | 8,046,206 | ||||||
General Electric Co. | 1,712,575 | 45,006,471 | ||||||
Roper Industries, Inc. | 17,100 | 2,496,771 | ||||||
70,890,452 | ||||||||
Insurance — 2.5% | ||||||||
ACE Ltd. | 57,600 | 5,973,120 | ||||||
Aflac, Inc. | 79,700 | 4,961,325 | ||||||
Allstate Corp. (The) | 74,088 | 4,350,447 | ||||||
American International Group, Inc. | 250,329 | 13,662,957 | ||||||
Aon PLC | 51,525 | 4,641,887 | ||||||
Assurant, Inc. | 12,300 | 806,265 | ||||||
Chubb Corp. (The) | 42,000 | 3,871,140 | ||||||
Cincinnati Financial Corp. | 25,228 | 1,211,953 | ||||||
Genworth Financial, Inc. (Class A Stock)* | 84,700 | 1,473,780 | ||||||
Hartford Financial Services Group, Inc. (The) | 76,400 | 2,735,884 | ||||||
Lincoln National Corp. | 45,163 | 2,323,185 | ||||||
Loews Corp. | 52,026 | 2,289,664 | ||||||
Marsh & McLennan Cos., Inc. | 93,800 | 4,860,716 | ||||||
MetLife, Inc. | 191,100 | 10,617,516 | ||||||
Principal Financial Group, Inc. | 47,500 | 2,397,800 | ||||||
Progressive Corp. (The) | 93,700 | 2,376,232 | ||||||
Torchmark Corp. | 15,150 | 1,241,088 | ||||||
Travelers Cos., Inc. (The) | 60,298 | 5,672,233 | ||||||
Unum Group | 47,456 | 1,649,571 | ||||||
XL Group PLC (Ireland) | 47,200 | 1,544,856 | ||||||
78,661,619 | ||||||||
Internet & Catalog Retail — 1.2% | ||||||||
Amazon.com, Inc.* | 63,400 | 20,591,052 | ||||||
Expedia, Inc. | 16,700 | 1,315,292 | ||||||
Netflix, Inc.* | 10,100 | 4,450,060 | ||||||
Priceline Group, Inc. (The)* | 8,950 | 10,766,850 | ||||||
TripAdvisor, Inc.*(a) | 19,100 | 2,075,406 | ||||||
39,198,660 | ||||||||
Internet Software & Services — 3.0% | ||||||||
Akamai Technologies, Inc.* | 30,400 | 1,856,224 | ||||||
eBay, Inc.* | 197,800 | 9,901,868 | ||||||
Facebook, Inc. (Class A Stock)* | 293,400 | 19,742,886 | ||||||
Google, Inc. (Class C Stock)* | 48,285 | 27,777,395 | ||||||
Google, Inc. (Class A Stock)* | 48,385 | 28,289,258 | ||||||
VeriSign, Inc.*(a) | 21,500 | 1,049,415 | ||||||
Yahoo!, Inc.* | 160,600 | 5,641,878 | ||||||
94,258,924 | ||||||||
IT Services — 3.1% | ||||||||
Accenture PLC (Class A Stock) | 108,500 | 8,771,140 | ||||||
Alliance Data Systems Corp.*(a) | 8,400 | 2,362,500 | ||||||
Automatic Data Processing, Inc. | 82,400 | 6,532,672 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock)* | 103,600 | 5,067,076 | ||||||
Computer Sciences Corp. | 25,000 | 1,580,000 | ||||||
Fidelity National Information Services, Inc. | 47,100 | 2,578,254 | ||||||
Fiserv, Inc.* | 43,600 | 2,629,952 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
IT Services (continued) | ||||||||
International Business Machines Corp. | 163,725 | $ | 29,678,431 | |||||
MasterCard, Inc. (Class A Stock) | 173,400 | 12,739,698 | ||||||
Paychex, Inc. | 54,850 | 2,279,566 | ||||||
Teradata Corp.*(a) | 27,500 | 1,105,500 | ||||||
Total System Services, Inc. | 28,293 | 888,683 | ||||||
Visa, Inc. (Class A Stock)(a) | 86,500 | 18,226,415 | ||||||
Western Union Co. (The)(a) | 93,704 | 1,624,827 | ||||||
Xerox Corp. | 190,511 | 2,369,957 | ||||||
98,434,671 | ||||||||
Leisure Products — 0.1% | ||||||||
Hasbro, Inc. | 19,050 | 1,010,602 | ||||||
Mattel, Inc. | 57,681 | 2,247,829 | ||||||
3,258,431 | ||||||||
Life Sciences Tools & Services — 0.4% |
| |||||||
Agilent Technologies, Inc. | 56,482 | 3,244,326 | ||||||
PerkinElmer, Inc. | 20,000 | 936,800 | ||||||
Thermo Fisher Scientific, Inc. | 67,000 | 7,906,000 | ||||||
Waters Corp.* | 14,500 | 1,514,380 | ||||||
13,601,506 | ||||||||
Machinery — 1.6% | ||||||||
Caterpillar, Inc. | 107,900 | 11,725,493 | ||||||
Cummins, Inc. | 29,700 | 4,582,413 | ||||||
Deere & Co. | 63,250 | 5,727,287 | ||||||
Dover Corp. | 28,500 | 2,592,075 | ||||||
Flowserve Corp. | 23,600 | 1,754,660 | ||||||
Illinois Tool Works, Inc. | 65,675 | 5,750,503 | ||||||
Ingersoll-Rand PLC | 45,300 | 2,831,703 | ||||||
Joy Global, Inc.(a) | 16,600 | 1,022,228 | ||||||
PACCAR, Inc. | 61,128 | 3,840,672 | ||||||
Pall Corp. | 18,800 | 1,605,332 | ||||||
Parker Hannifin Corp. | 25,587 | 3,217,054 | ||||||
Pentair PLC (United Kingdom) | 34,107 | 2,459,797 | ||||||
Snap-on, Inc. | 9,500 | 1,125,940 | ||||||
Stanley Black & Decker, Inc. | 26,835 | 2,356,650 | ||||||
Xylem, Inc. | 31,600 | 1,234,928 | ||||||
51,826,735 | ||||||||
Media — 3.4% | ||||||||
Cablevision Systems Corp. (Class A Stock)(a) | 33,800 | 596,570 | ||||||
CBS Corp. (Class B Stock) | 93,268 | 5,795,674 | ||||||
Comcast Corp. (Class A Stock) | 445,346 | 23,906,173 | ||||||
DIRECTV* | 81,025 | 6,887,935 | ||||||
Discovery Communications, Inc. (Class A Stock)* | 37,100 | 2,755,788 | ||||||
Gannett Co., Inc. | 39,200 | 1,227,352 | ||||||
Interpublic Group of Cos., Inc. (The) | 72,562 | 1,415,685 | ||||||
News Corp. (Class A Stock)* | 85,125 | 1,527,142 | ||||||
Omnicom Group, Inc. | 44,200 | 3,147,924 | ||||||
Scripps Networks Interactive, Inc. (Class A Stock) | 18,800 | 1,525,432 | ||||||
Time Warner Cable, Inc. | 47,526 | 7,000,580 | ||||||
Time Warner, Inc. | 152,715 | 10,728,229 | ||||||
Twenty-First Century Fox, Inc. | 328,800 | 11,557,320 |
SEE NOTES TO FINANCIAL STATEMENTS.
A158
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Media (continued) | ||||||||
Viacom, Inc. (Class B Stock) | 68,143 | $ | 5,910,042 | |||||
Walt Disney Co. (The) | 278,576 | 23,885,106 | ||||||
107,866,952 | ||||||||
Metals & Mining — 0.5% | ||||||||
Alcoa, Inc. | 191,876 | 2,857,034 | ||||||
Allegheny Technologies, Inc.(a) | 14,240 | 642,224 | ||||||
Freeport-McMoRan Copper & Gold, Inc.(a) | 175,412 | 6,402,538 | ||||||
Newmont Mining Corp. | 84,903 | 2,159,932 | ||||||
Nucor Corp. | 54,500 | 2,684,125 | ||||||
United States Steel Corp.(a) | 19,740 | 514,030 | ||||||
15,259,883 | ||||||||
Multiline Retail — 0.6% | ||||||||
Dollar General Corp.* | 48,700 | 2,793,432 | ||||||
Dollar Tree, Inc.* | 35,600 | 1,938,776 | ||||||
Family Dollar Stores, Inc. | 15,900 | 1,051,626 | ||||||
Kohl’s Corp. | 34,500 | 1,817,460 | ||||||
Macy’s, Inc. | 64,520 | 3,743,450 | ||||||
Nordstrom, Inc. | 24,300 | 1,650,699 | ||||||
Target Corp.(a) | 108,468 | 6,285,721 | ||||||
19,281,164 | ||||||||
Multi-Utilities — 1.1% | ||||||||
Ameren Corp. | 42,000 | 1,716,960 | ||||||
CenterPoint Energy, Inc. | 73,110 | 1,867,229 | ||||||
CMS Energy Corp. | 45,800 | 1,426,670 | ||||||
Consolidated Edison, Inc.(a) | 49,400 | 2,852,356 | ||||||
Dominion Resources, Inc. | 99,184 | 7,093,640 | ||||||
DTE Energy Co. | 29,600 | 2,304,952 | ||||||
Integrys Energy Group, Inc. | 12,050 | 857,117 | ||||||
NiSource, Inc. | 49,600 | 1,951,264 | ||||||
PG&E Corp. | 76,900 | 3,692,738 | ||||||
Public Service Enterprise Group, Inc. | 86,600 | 3,532,414 | ||||||
SCANA Corp. | 22,200 | 1,194,582 | ||||||
Sempra Energy | 38,954 | 4,078,873 | ||||||
TECO Energy, Inc.(a) | 34,200 | 632,016 | ||||||
Wisconsin Energy Corp.(a) | 39,600 | 1,858,032 | ||||||
35,058,843 | ||||||||
Oil, Gas & Consumable Fuels — 8.2% |
| |||||||
Anadarko Petroleum Corp. | 86,426 | 9,461,054 | ||||||
Apache Corp. | 66,250 | 6,666,075 | ||||||
Cabot Oil & Gas Corp. | 72,200 | 2,464,908 | ||||||
Chesapeake Energy Corp.(a) | 86,600 | 2,691,528 | ||||||
Chevron Corp. | 325,242 | 42,460,343 | ||||||
Cimarex Energy Co. | 12,900 | 1,850,634 | ||||||
ConocoPhillips | 209,229 | 17,937,202 | ||||||
CONSOL Energy, Inc. | 38,100 | 1,755,267 | ||||||
Denbury Resources, Inc.(a) | 60,900 | 1,124,214 | ||||||
Devon Energy Corp. | 65,500 | 5,200,700 | ||||||
EOG Resources, Inc. | 93,800 | 10,961,468 | ||||||
EQT Corp. | 26,400 | 2,822,160 | ||||||
Exxon Mobil Corp. | 735,704 | 74,070,679 | ||||||
Hess Corp. | 47,875 | 4,734,359 | ||||||
Kinder Morgan, Inc. | 114,543 | 4,153,329 | ||||||
Marathon Oil Corp. | 119,194 | 4,758,225 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
Marathon Petroleum Corp. | 50,447 | $ | 3,938,397 | |||||
Murphy Oil Corp. | 29,500 | 1,961,160 | ||||||
Newfield Exploration Co.* | 23,700 | 1,047,540 | ||||||
Noble Energy, Inc. | 61,600 | 4,771,536 | ||||||
Occidental Petroleum Corp. | 135,900 | 13,947,417 | ||||||
ONEOK, Inc. | 36,240 | 2,467,219 | ||||||
Peabody Energy Corp.(a) | 47,100 | 770,085 | ||||||
Phillips 66 | 100,164 | 8,056,191 | ||||||
Pioneer Natural Resources Co. | 24,500 | 5,630,345 | ||||||
QEP Resources, Inc. | 28,200 | 972,900 | ||||||
Range Resources Corp. | 27,900 | 2,425,905 | ||||||
Southwestern Energy Co.* | 59,700 | 2,715,753 | ||||||
Spectra Energy Corp. | 114,642 | 4,869,992 | ||||||
Tesoro Corp. | 22,600 | 1,325,942 | ||||||
Valero Energy Corp. | 91,600 | 4,589,160 | ||||||
Williams Cos., Inc. (The) | 116,500 | 6,781,465 | ||||||
259,383,152 | ||||||||
Paper & Forest Products — 0.1% |
| |||||||
International Paper Co. | 75,567 | 3,813,867 | ||||||
Personal Products — 0.1% |
| |||||||
Avon Products, Inc. | 76,700 | 1,120,587 | ||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 41,800 | 3,104,068 | ||||||
4,224,655 | ||||||||
Pharmaceuticals — 5.8% |
| |||||||
AbbVie, Inc. | 271,900 | 15,346,036 | ||||||
Actavis PLC*(a) | 29,900 | 6,669,195 | ||||||
Allergan, Inc. | 50,650 | 8,570,993 | ||||||
Bristol-Myers Squibb Co. | 281,640 | 13,662,356 | ||||||
Eli Lilly & Co. | 168,500 | 10,475,645 | ||||||
Forest Laboratories, Inc.* | 40,900 | 4,049,100 | ||||||
Hospira, Inc.* | 28,920 | 1,485,620 | ||||||
Johnson & Johnson | 482,996 | 50,531,042 | ||||||
Merck & Co., Inc. | 501,803 | 29,029,304 | ||||||
Mylan, Inc.*(a) | 63,600 | 3,279,216 | ||||||
Perrigo Co. PLC | 22,900 | 3,337,904 | ||||||
Pfizer, Inc. | 1,091,123 | 32,384,531 | ||||||
Zoetis, Inc. | 85,500 | 2,759,085 | ||||||
181,580,027 | ||||||||
Professional Services — 0.2% |
| |||||||
Dun & Bradstreet Corp. (The) | 6,500 | 716,300 | ||||||
Equifax, Inc. | 21,500 | 1,559,610 | ||||||
Nielsen Holdings NV | 47,300 | 2,289,793 | ||||||
Robert Half International, Inc. | 23,100 | 1,102,794 | ||||||
5,668,497 | ||||||||
Real Estate Investment Trusts (REITs) — 2.0% |
| |||||||
American Tower Corp. | 67,600 | 6,082,648 | ||||||
Apartment Investment & Management Co. (Class A Stock) | 24,074 | 776,868 | ||||||
AvalonBay Communities, Inc. | 19,418 | 2,761,045 | ||||||
Boston Properties, Inc. | 26,200 | 3,096,316 | ||||||
Crown Castle International Corp. | 57,500 | 4,269,950 | ||||||
Equity Residential(a) | 55,600 | 3,502,800 | ||||||
Essex Property Trust, Inc. | 9,600 | 1,775,136 |
SEE NOTES TO FINANCIAL STATEMENTS.
A159
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Real Estate Investment Trusts (REITs) (continued) |
| |||||||
General Growth Properties, Inc. | 89,200 | $ | 2,101,552 | |||||
HCP, Inc. | 78,700 | 3,256,606 | ||||||
Health Care REIT, Inc. | 49,500 | 3,102,165 | ||||||
Host Hotels & Resorts, Inc.(a) | 123,726 | 2,723,209 | ||||||
Kimco Realty Corp. | 70,100 | 1,610,898 | ||||||
Macerich Co. (The) | 21,300 | 1,421,775 | ||||||
Plum Creek Timber Co., Inc. | 26,400 | 1,190,640 | ||||||
Prologis, Inc. | 82,828 | 3,403,403 | ||||||
Public Storage | 24,800 | 4,249,480 | ||||||
Simon Property Group, Inc. | 53,801 | 8,946,030 | ||||||
Ventas, Inc. | 50,404 | 3,230,896 | ||||||
Vornado Realty Trust | 29,857 | 3,186,638 | ||||||
Weyerhaeuser Co.(a) | 99,310 | 3,286,168 | ||||||
63,974,223 | ||||||||
Real Estate Management & Development — 0.1% |
| |||||||
CBRE Group, Inc. | 47,700 | 1,528,308 | ||||||
Road & Rail — 0.9% |
| |||||||
CSX Corp. | 172,372 | 5,310,781 | ||||||
Kansas City Southern | 19,200 | 2,064,192 | ||||||
Norfolk Southern Corp. | 53,000 | 5,460,590 | ||||||
Ryder System, Inc. | 9,100 | 801,619 | ||||||
Union Pacific Corp. | 155,500 | 15,511,125 | ||||||
29,148,307 | ||||||||
Semiconductors & Semiconductor Equipment — 2.2% |
| |||||||
Altera Corp. | 52,500 | 1,824,900 | ||||||
Analog Devices, Inc. | �� | 52,900 | 2,860,303 | |||||
Applied Materials, Inc. | 204,900 | 4,620,495 | ||||||
Avago Technologies Ltd. (Singapore) | 40,500 | 2,918,835 | ||||||
Broadcom Corp. (Class A Stock) | 96,150 | 3,569,088 | ||||||
First Solar, Inc.*(a) | 12,200 | 866,932 | ||||||
Intel Corp. | 850,200 | 26,271,180 | ||||||
KLA-Tencor Corp. | 28,700 | 2,084,768 | ||||||
Lam Research Corp. | 28,050 | 1,895,619 | ||||||
Linear Technology Corp. | 40,400 | 1,901,628 | ||||||
Microchip Technology, Inc.(a) | 31,900 | 1,557,039 | ||||||
Micron Technology, Inc.* | 179,000 | 5,898,050 | ||||||
NVIDIA Corp. | 96,450 | 1,788,183 | ||||||
Texas Instruments, Inc. | 187,400 | 8,955,846 | ||||||
Xilinx, Inc. | 44,000 | 2,081,640 | ||||||
69,094,506 | ||||||||
Software — 3.3% |
| |||||||
Adobe Systems, Inc.* | 79,475 | 5,750,811 | ||||||
Autodesk, Inc.* | 36,900 | 2,080,422 | ||||||
CA, Inc. | 55,173 | 1,585,672 | ||||||
Citrix Systems, Inc.* | 28,900 | 1,807,695 | ||||||
Electronic Arts, Inc.*(a) | 52,800 | 1,893,936 | ||||||
Intuit, Inc. | 49,000 | 3,945,970 | ||||||
Microsoft Corp. | 1,287,000 | 53,667,900 | ||||||
Oracle Corp. | 592,995 | 24,034,087 | ||||||
Red Hat, Inc.* | 33,300 | 1,840,491 | ||||||
salesforce.com, inc.*(a) | 94,800 | 5,505,984 | ||||||
Symantec Corp. | 118,311 | 2,709,322 | ||||||
104,822,290 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Specialty Retail — 1.9% |
| |||||||
AutoNation, Inc.* | 11,089 | $ | 661,792 | |||||
AutoZone, Inc.*(a) | 5,600 | 3,002,944 | ||||||
Bed Bath & Beyond, Inc.*(a) | 36,400 | 2,088,632 | ||||||
Best Buy Co., Inc. | 48,025 | 1,489,255 | ||||||
CarMax, Inc.*(a) | 38,200 | 1,986,782 | ||||||
GameStop Corp. | 19,800 | 801,306 | ||||||
Gap, Inc. (The) | 46,387 | 1,928,308 | ||||||
Home Depot, Inc. (The) | 234,969 | 19,023,090 | ||||||
L. Brands, Inc. | 42,496 | 2,492,815 | ||||||
Lowe’s Cos., Inc. | 171,025 | 8,207,490 | ||||||
O’Reilly Automotive, Inc.*(a) | 18,500 | 2,786,100 | ||||||
PetSmart, Inc.(a) | 17,800 | 1,064,440 | ||||||
Ross Stores, Inc. | 36,800 | 2,433,584 | ||||||
Staples, Inc. | 110,800 | 1,201,072 | ||||||
Tiffany & Co. | 18,300 | 1,834,575 | ||||||
TJX Cos., Inc. (The) | 121,600 | 6,463,040 | ||||||
Tractor Supply Co. | 23,900 | 1,443,560 | ||||||
Urban Outfitters, Inc.* | 19,000 | 643,340 | ||||||
59,552,125 | ||||||||
Technology Hardware, Storage & Peripherals — 4.1% |
| |||||||
Apple, Inc. | 1,031,905 | 95,894,932 | ||||||
EMC Corp. | 346,374 | 9,123,491 | ||||||
Hewlett-Packard Co. | 324,066 | 10,914,543 | ||||||
NetApp, Inc. | 56,400 | 2,059,728 | ||||||
SanDisk Corp.(a) | 38,600 | 4,030,998 | ||||||
Seagate Technology PLC(a) | 54,800 | 3,113,736 | ||||||
Western Digital Corp. | 35,300 | 3,258,190 | ||||||
128,395,618 | ||||||||
Textiles, Apparel & Luxury Goods — 0.7% |
| |||||||
Coach, Inc. | 47,500 | 1,624,025 | ||||||
Fossil Group, Inc.* | 8,300 | 867,516 | ||||||
Michael Kors Holdings Ltd.* | 31,300 | 2,774,745 | ||||||
NIKE, Inc. (Class B Stock) | 127,200 | 9,864,360 | ||||||
PVH Corp. | 13,700 | 1,597,420 | ||||||
Ralph Lauren Corp. | 10,200 | 1,639,038 | ||||||
Under Armour, Inc. | 24,000 | 1,427,760 | ||||||
VF Corp. | 60,244 | 3,795,372 | ||||||
23,590,236 | ||||||||
Thrifts & Mortgage Finance — 0.1% |
| |||||||
Hudson City Bancorp, Inc. | 81,400 | 800,162 | ||||||
People’s United Financial, | 56,100 | 851,037 | ||||||
1,651,199 | ||||||||
Tobacco — 1.4% |
| |||||||
Altria Group, Inc.(a) | 339,300 | 14,230,242 | ||||||
Lorillard, Inc. | 62,493 | 3,810,198 | ||||||
Philip Morris International, Inc. | 271,700 | 22,907,027 | ||||||
Reynolds American, Inc. | 53,800 | 3,246,830 | ||||||
44,194,297 | ||||||||
Trading Companies & Distributors — 0.2% |
| |||||||
Fastenal Co.(a) | 47,600 | 2,355,724 | ||||||
W.W. Grainger, Inc.(a) | 10,700 | 2,720,702 | ||||||
5,076,426 | ||||||||
TOTAL LONG-TERM INVESTMENTS |
| 2,968,377,819 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A160
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
SHORT-TERM INVESTMENTS — 8.2% | Shares | Value (Note 2) | ||||||
AFFILIATED MONEY MARKET MUTUAL FUND — 8.0% |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $254,158,975; includes $164,688,265 of cash collateral for securities on loan)(Note 4)(b)(c) | 254,158,975 | $ | 254,158,975 | |||||
Principal Amount (000)# | ||||||||
U.S. TREASURY OBLIGATION — 0.2% | ||||||||
U.S. Treasury Bills, 0.020%, 09/18/14 | 5,200 | 5,199,771 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
| 259,358,746 | ||||||
TOTAL INVESTMENTS — 102.2% |
| 3,227,736,565 | ||||||
LIABILITIES IN EXCESS OF |
| (68,200,407 | ) | |||||
NET ASSETS 100.0% |
| $ | 3,159,536,158 | |||||
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 $161,384,780; cash collateral of $164,688,265 (included with liabilities) was received with which the Portfolio’s purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
(c) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
(d) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(e) | Rate quoted represents yield-to-maturity as of purchase date. |
(f) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2014:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2014 | Unrealized Appreciation(1) | |||||||||||||
Long Positions: | ||||||||||||||||||
21 | S&P 500 E-mini | Sep. 2014 | $ | 2,046,608 | $ | 2,050,020 | $ | 3,412 | ||||||||||
195 | S&P 500 Index | Sep. 2014 | 94,132,530 | 95,179,500 | 1,046,970 | |||||||||||||
$ | 1,050,382 | |||||||||||||||||
(1) | A U.S. Government Treasury security with a market value of $5,199,771 has been segregated with UBS AG to cover requirements for open contracts at June 30, 2014. |
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 June 30, 2014 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
| |||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 78,743,929 | $ | — | $ | — | ||||||
Air Freight & Logistics | 22,917,076 | — | — | |||||||||
Airlines | 8,850,210 | — | — | |||||||||
Auto Components | 12,545,542 | — | — | |||||||||
Automobiles | 22,039,429 | — | — | |||||||||
Banks | 176,274,077 | — | — | |||||||||
Beverages | 63,220,176 | — | — | |||||||||
Biotechnology | 74,676,892 | — | — | |||||||||
Building Products | 2,157,902 | — | — | |||||||||
Capital Markets | 63,257,396 | — | — | |||||||||
Chemicals | 77,410,258 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A161
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) |
| |||||||||||
Common Stocks (continued) | ||||||||||||
Commercial Services & Supplies | $ | 14,254,483 | $ | — | $ | — | ||||||
Communications Equipment | 51,984,336 | — | — | |||||||||
Construction & Engineering | 4,438,706 | — | — | |||||||||
Construction Materials | 1,421,625 | — | — | |||||||||
Consumer Finance | 29,223,066 | — | — | |||||||||
Containers & Packaging | 6,497,254 | — | — | |||||||||
Distributors | 2,302,555 | — | — | |||||||||
Diversified Consumer Services | 2,098,229 | — | — | |||||||||
Diversified Financial Services | 54,893,585 | — | — | |||||||||
Diversified Telecommunication Services | 71,298,711 | — | — | |||||||||
Electric Utilities | 52,850,656 | — | — | |||||||||
Electrical Equipment | 19,338,766 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 13,433,739 | — | — | |||||||||
Energy Equipment & Services | 63,814,274 | — | — | |||||||||
Food & Staples Retailing | 67,567,765 | — | — | |||||||||
Food Products | 48,617,141 | — | — | |||||||||
Gas Utilities | 1,091,630 | — | — | |||||||||
Health Care Equipment & Supplies | 63,065,037 | — | — | |||||||||
Health Care Providers & Services | 61,691,202 | — | — | |||||||||
Health Care Technology | 2,568,684 | — | — | |||||||||
Hotels, Restaurants & Leisure | 49,682,814 | — | — | |||||||||
Household Durables | 11,264,302 | — | — | |||||||||
Household Products | 55,761,669 | — | — | |||||||||
Independent Power & Renewable Electricity Producers | 3,829,130 | — | — | |||||||||
Industrial Conglomerates | 70,890,452 | — | — | |||||||||
Insurance | 78,661,619 | — | — | |||||||||
Internet & Catalog Retail | 39,198,660 | — | — | |||||||||
Internet Software & Services | 94,258,924 | — | — | |||||||||
IT Services | 98,434,671 | — | — | |||||||||
Leisure Products | 3,258,431 | — | — | |||||||||
Life Sciences Tools & Services | 13,601,506 | — | — | |||||||||
Machinery | 51,826,735 | — | — | |||||||||
Media | 107,866,952 | — | — | |||||||||
Metals & Mining | 15,259,883 | — | — | |||||||||
Multiline Retail | 19,281,164 | — | — | |||||||||
Multi-Utilities | 35,058,843 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 259,383,152 | — | — | |||||||||
Paper & Forest Products | 3,813,867 | — | — | |||||||||
Personal Products | 4,224,655 | — | — | |||||||||
Pharmaceuticals | 181,580,027 | — | — | |||||||||
Professional Services | 5,668,497 | — | — | |||||||||
Real Estate Investment Trusts (REITs) | 63,974,223 | — | — | |||||||||
Real Estate Management & Development | 1,528,308 | — | — | |||||||||
Road & Rail | 29,148,307 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 69,094,506 | — | — | |||||||||
Software | 104,822,290 | — | — | |||||||||
Specialty Retail | 59,552,125 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 128,395,618 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 23,590,236 | — | — | |||||||||
Thrifts & Mortgage Finance | 1,651,199 | — | — | |||||||||
Tobacco | 44,194,297 | — | — | |||||||||
Trading Companies & Distributors | 5,076,426 | — | — | |||||||||
Affiliated Money Market Mutual Fund | 254,158,975 | — | — | |||||||||
U.S. Treasury Obligation | — | 5,199,771 | — | |||||||||
Other Financial Instruments* |
| |||||||||||
Futures Contracts | 1,050,382 | — | — | |||||||||
Total | $ | 3,223,587,176 | $ | 5,199,771 | $ | — | ||||||
* | 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.
A162
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2014 was as follows:
Oil, Gas & Consumable Fuels | 8.2 | % | ||
Affiliated Money Market Mutual Fund (including 5.2% of collateral for securities on loan) | 8.0 | |||
Pharmaceuticals | 5.8 | |||
Banks | 5.6 | |||
Technology Hardware, Storage & Peripherals | 4.1 | |||
Media | 3.4 | |||
Software | 3.3 | |||
IT Services | 3.1 | |||
Internet Software & Services | 3.0 | |||
Aerospace & Defense | 2.5 | |||
Chemicals | 2.5 | |||
Insurance | 2.5 | |||
Biotechnology | 2.4 | |||
Diversified Telecommunication Services | 2.3 | |||
Industrial Conglomerates | 2.2 | |||
Semiconductors & Semiconductor Equipment | 2.2 | |||
Food & Staples Retailing | 2.1 | |||
Beverages | 2.0 | |||
Capital Markets | 2.0 | |||
Energy Equipment & Services | 2.0 | |||
Health Care Equipment & Supplies | 2.0 | |||
Health Care Providers & Services | 2.0 | |||
Real Estate Investment Trusts (REITs) | 2.0 | |||
Specialty Retail | 1.9 | |||
Household Products | 1.8 | |||
Diversified Financial Services | 1.7 | |||
Electric Utilities | 1.7 | |||
Communications Equipment | 1.6 | |||
Hotels, Restaurants & Leisure | 1.6 | |||
Machinery | 1.6 | |||
Food Products | 1.5 | |||
Tobacco | 1.4 | |||
Internet & Catalog Retail | 1.2 |
Multi-Utilities | 1.1 | % | ||
Consumer Finance | 0.9 | |||
Road & Rail | 0.9 | |||
Air Freight & Logistics | 0.7 | |||
Automobiles | 0.7 | |||
Textiles, Apparel & Luxury Goods | 0.7 | |||
Electrical Equipment | 0.6 | |||
Multiline Retail | 0.6 | |||
Commercial Services & Supplies | 0.5 | |||
Metals & Mining | 0.5 | |||
Auto Components | 0.4 | |||
Electronic Equipment, Instruments & Components | 0.4 | |||
Household Durables | 0.4 | |||
Life Sciences Tools & Services | 0.4 | |||
Airlines | 0.3 | |||
Containers & Packaging | 0.2 | |||
Professional Services | 0.2 | |||
Trading Companies & Distributors | 0.2 | |||
U.S. Treasury Obligation | 0.2 | |||
Building Products | 0.1 | |||
Construction & Engineering | 0.1 | |||
Distributors | 0.1 | |||
Diversified Consumer Services | 0.1 | |||
Health Care Technology | 0.1 | |||
Independent Power & Renewable Electricity Producers | 0.1 | |||
Leisure Products | 0.1 | |||
Paper & Forest Products | 0.1 | |||
Personal Products | 0.1 | |||
Real Estate Management & Development | 0.1 | |||
Thrifts & Mortgage Finance | 0.1 | |||
102.2 | ||||
Liabilities in excess of other assets | (2.2 | ) | ||
100.0 | % | |||
Fair values of derivative instruments as of June 30, 2014 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Equity contracts | Due from broker — variation margin | $ | 1,050,382 | * | — | $ | — | |||||
* | 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 six months ended June 30, 2014 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 | $ | 9,412,740 | ||
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 | $ | (1,627,936 | ) | |
For the six months ended June 30, 2014, the Fund’s average value at trade date for futures long positions was $87,310,188.
SEE NOTES TO FINANCIAL STATEMENTS.
A163
STOCK INDEX PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
June 30, 2014
ASSETS | ||||
Investments at value, including securities on loan of $161,384,780: | ||||
Unaffiliated investments (cost $1,069,405,546) | $ | 2,973,577,590 | ||
Affiliated investments (cost $254,158,975) | 254,158,975 | |||
Receivable for Series shares sold | 94,129,199 | |||
Dividends receivable | 3,181,084 | |||
Receivable for investments sold | 627,033 | |||
Due from broker—variation margin | 19,920 | |||
Tax reclaim receivable | 1,118 | |||
Prepaid expenses | 3,542 | |||
Total Assets | 3,325,698,461 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 164,688,265 | |||
Management fee payable | 747,080 | |||
Payable for Series shares repurchased | 544,499 | |||
Accrued expenses | 163,650 | |||
Payable to custodian | 17,883 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 166,162,303 | |||
NET ASSETS | $ | 3,159,536,158 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 1,245,766,664 | ||
Retained earnings | 1,913,769,494 | |||
Net assets, June 30, 2014 | $ | 3,159,536,158 | ||
Net asset value and redemption price per share $3,159,536,158 / 67,858,469 outstanding shares of beneficial interest | $ | 46.56 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2014
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $2,981) | $ | 29,217,811 | ||
Affiliated income from securities loaned, net | 89,593 | |||
Affiliated dividend income | 57,309 | |||
Interest income | 1,299 | |||
Total income | 29,366,012 | |||
EXPENSES | ||||
Management fee | 5,111,156 | |||
Custodian’s fees and expenses | 141,000 | |||
Shareholders’ reports | 53,000 | |||
Insurance expenses | 21,000 | |||
Trustees’ fees | 17,000 | |||
Audit fee | 10,000 | |||
Legal fees and expenses | 7,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Commitment fee on syndicated credit agreement | 2,000 | |||
Miscellaneous | 9,998 | |||
Total expenses | 5,378,154 | |||
Less: Management fee waiver | (730,165 | ) | ||
Net expenses | 4,647,989 | |||
NET INVESTMENT INCOME | 24,718,023 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain on: | ||||
Investment transactions | 24,244,101 | |||
Futures transactions | 9,412,740 | |||
33,656,841 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 146,215,250 | |||
Futures | (1,627,936 | ) | ||
144,587,314 | ||||
NET GAIN ON INVESTMENT TRANSACTIONS | 178,244,155 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 202,962,178 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 24,718,023 | $ | 46,538,020 | ||||
Net realized gain on investment transactions | 33,656,841 | 77,667,845 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 144,587,314 | 599,872,780 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 202,962,178 | 724,078,645 | ||||||
Dividends from net investment income | (91,930,777 | ) | — | |||||
Distributions from net realized gains | (133,103,580 | ) | — | |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [4,207,760 and 952,181 shares, respectively] | 194,797,422 | 39,860,195 | ||||||
Series shares issued in reinvestment of distributions [4,895,244 and 0 shares, respectively] | 225,034,357 | — | ||||||
Series shares repurchased [2,715,507 and 5,120,314 shares, respectively] | (128,773,227 | ) | (213,653,470 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | 291,058,552 | (173,793,275 | ) | |||||
TOTAL INCREASE | 268,986,373 | 550,285,370 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 2,890,549,785 | 2,340,264,415 | ||||||
End of period | $ | 3,159,536,158 | $ | 2,890,549,785 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A164
VALUE PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
LONG-TERM INVESTMENTS — 97.0% | ||||||||
COMMON STOCKS | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 1.7% |
| |||||||
Boeing Co. (The) | 223,684 | $ | 28,459,315 | |||||
Airlines — 2.7% |
| |||||||
American Airlines Group, Inc.* | 463,000 | 19,890,480 | ||||||
United Continental Holdings, Inc.* | 574,647 | 23,600,752 | ||||||
43,491,232 | ||||||||
Auto Components — 1.6% |
| |||||||
Lear Corp. | 302,031 | 26,977,409 | ||||||
Automobiles — 1.4% |
| |||||||
General Motors Co. | 646,880 | 23,481,744 | ||||||
Banks — 10.1% |
| |||||||
Citigroup, Inc. | 709,419 | 33,413,635 | ||||||
JPMorgan Chase & Co. | 805,132 | 46,391,706 | ||||||
PNC Financial Services Group, Inc. (The) | 393,838 | 35,071,274 | ||||||
Wells Fargo & Co. | 979,934 | 51,505,331 | ||||||
166,381,946 | ||||||||
Biotechnology — 1.4% |
| |||||||
Celgene Corp.* | 262,798 | 22,569,092 | ||||||
Capital Markets — 4.1% |
| |||||||
Goldman Sachs Group, Inc. (The) | 208,493 | 34,910,068 | ||||||
Morgan Stanley | 982,349 | 31,759,343 | ||||||
66,669,411 | ||||||||
Communications Equipment — 1.1% |
| |||||||
JDS Uniphase Corp.*(a) | 1,423,980 | 17,757,031 | ||||||
Consumer Finance — 3.4% |
| |||||||
Capital One Financial Corp. | 252,021 | 20,816,935 | ||||||
Navient Corp. | 1,092,354 | 19,345,589 | ||||||
SLM Corp. | 1,931,002 | 16,046,627 | ||||||
56,209,151 | ||||||||
Diversified Financial Services — 1.4% |
| |||||||
Voya Financial, Inc. | 643,552 | 23,386,680 | ||||||
Diversified Telecommunication Services — 3.8% |
| |||||||
CenturyLink, Inc.(a) | 667,607 | 24,167,373 | ||||||
Verizon Communications, Inc. | 393,751 | 19,266,237 | ||||||
Vivendi SA (France)* | 769,143 | 18,822,134 | ||||||
62,255,744 | ||||||||
Electronic Equipment, Instruments & Components — 2.8% |
| |||||||
Flextronics International Ltd.* | 4,135,826 | 45,783,594 | ||||||
Energy Equipment & Services — 2.2% |
| |||||||
Halliburton Co. | 513,346 | 36,452,699 | ||||||
Food Products — 3.0% |
| |||||||
Bunge Ltd. | 315,891 | 23,893,995 | ||||||
Mondelez International, Inc. (Class A Stock) | 669,869 | 25,193,773 | ||||||
49,087,768 | ||||||||
Health Care Providers & Services — 4.1% |
| |||||||
Cigna Corp. | 178,608 | 16,426,578 | ||||||
Express Scripts Holding Co.* | 379,610 | 26,318,361 | ||||||
HCA Holdings, Inc.* | 443,771 | 25,019,809 | ||||||
67,764,748 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Hotels, Restaurants & Leisure — 4.1% |
| |||||||
Carnival Corp. | 822,146 | $ | 30,953,797 | |||||
Hyatt Hotels Corp. (Class A Stock)* | 357,843 | 21,821,266 | ||||||
International Game Technology | 942,126 | 14,989,225 | ||||||
67,764,288 | ||||||||
Independent Power Producers & Energy Traders — 1.8% |
| |||||||
NRG Energy, Inc. | 789,908 | 29,384,578 | ||||||
Industrial Conglomerates — 0.9% |
| |||||||
Siemens AG (Germany), ADR(a) | 111,001 | 14,673,222 | ||||||
Insurance — 4.1% |
| |||||||
MetLife, Inc. | 619,016 | 34,392,529 | ||||||
Travelers Cos., Inc. (The) | 172,459 | 16,223,218 | ||||||
XL Group PLC (Ireland) | 521,869 | 17,080,772 | ||||||
67,696,519 | ||||||||
Internet Software & Services — 1.8% |
| |||||||
Google, Inc.* | 26,028 | 14,973,388 | ||||||
Google, Inc. (Class A Stock)* | 26,028 | 15,217,791 | ||||||
30,191,179 | ||||||||
Machinery — 2.5% |
| |||||||
Caterpillar, Inc. | 153,031 | 16,629,879 | ||||||
SPX Corp. | 222,738 | 24,102,479 | ||||||
40,732,358 | ||||||||
Media — 4.1% |
| |||||||
Comcast Corp. (Class A Stock) | 499,574 | 26,817,132 | ||||||
Liberty Global PLC (United Kingdom) (Series C)* | 961,429 | 40,678,061 | ||||||
67,495,193 | ||||||||
Metals & Mining — 1.9% |
| |||||||
Goldcorp, Inc. (Canada) | 1,141,208 | 31,851,115 | ||||||
Oil, Gas & Consumable Fuels — 12.8% |
| |||||||
Anadarko Petroleum Corp. | 263,926 | 28,891,979 | ||||||
Denbury Resources, Inc.(a) | 1,336,237 | 24,666,935 | ||||||
EOG Resources, Inc. | 154,493 | 18,054,052 | ||||||
Marathon Oil Corp. | 828,482 | 33,073,001 | ||||||
Marathon Petroleum Corp. | 207,300 | 16,183,911 | ||||||
Noble Energy, Inc. | 439,314 | 34,029,262 | ||||||
Occidental Petroleum Corp. | 231,947 | 23,804,721 | ||||||
Suncor Energy, Inc. (Canada) | 730,914 | 31,158,864 | ||||||
209,862,725 | ||||||||
Personal Products — 1.1% |
| |||||||
Avon Products, Inc. | 1,250,184 | 18,265,188 | ||||||
Pharmaceuticals — 7.6% |
| |||||||
Actavis, Inc.* | 105,090 | 23,440,324 | ||||||
Bayer AG (Germany), ADR | 164,132 | 23,186,928 | ||||||
Merck & Co., Inc. | 279,503 | 16,169,249 | ||||||
Mylan, Inc.*(a) | 723,138 | 37,284,995 | ||||||
Teva Pharmaceutical Industries Ltd. (Israel), ADR | 475,545 | 24,928,069 | ||||||
125,009,565 | ||||||||
Road & Rail — 3.5% |
| |||||||
Hertz Global Holdings, Inc.* | 1,465,674 | 41,082,842 | ||||||
Union Pacific Corp. | 165,834 | 16,541,942 | ||||||
57,624,784 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A165
VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Semiconductors & Semiconductor Equipment — 2.7% |
| |||||||
Applied Materials, Inc. | 1,230,850 | $ | 27,755,667 | |||||
Maxim Integrated Products, Inc. | 479,097 | 16,198,270 | ||||||
43,953,937 | ||||||||
Software — 1.1% | ||||||||
Microsoft Corp. | 414,868 | 17,299,996 | ||||||
Technology Hardware, Storage & Peripherals — 2.2% |
| |||||||
Apple, Inc. | 183,526 | 17,055,071 | ||||||
EMC Corp. | 714,480 | 18,819,403 | ||||||
35,874,474 | ||||||||
TOTAL LONG-TERM INVESTMENTS |
| 1,594,406,685 | ||||||
SHORT-TERM INVESTMENT — 4.8% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $77,853,422; includes $50,378,076 of cash collateral for securities on loan)(Note 4)(b)(c) | 77,853,422 | 77,853,422 | ||||||
TOTAL INVESTMENTS — 101.8% |
| 1,672,260,107 | ||||||
LIABILITIES IN EXCESS OF |
| (29,050,333 | ) | |||||
NET ASSETS — 100.0% |
| $ | 1,643,209,774 | |||||
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 $49,100,567; cash collateral of $50,378,076 (included with liabilities) was received with which the Portfolio’s purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
(c) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | 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 June 30, 2014 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 28,459,315 | $ | — | $ | — | ||||||
Airlines | 43,491,232 | — | — | |||||||||
Auto Components | 26,977,409 | — | — | |||||||||
Automobiles | 23,481,744 | — | — | |||||||||
Banks | 166,381,946 | — | — | |||||||||
Biotechnology | 22,569,092 | — | — | |||||||||
Capital Markets | 66,669,411 | — | — | |||||||||
Communications Equipment | 17,757,031 | — | — | |||||||||
Consumer Finance | 56,209,151 | — | — | |||||||||
Diversified Financial Services | 23,386,680 | — | — | |||||||||
Diversified Telecommunication Services | 43,433,610 | 18,822,134 | — | |||||||||
Electronic Equipment, Instruments & Components | 45,783,594 | — | — | |||||||||
Energy Equipment & Services | 36,452,699 | — | — | |||||||||
Food Products | 49,087,768 | — | — | |||||||||
Health Care Providers & Services | 67,764,748 | — | — | |||||||||
Hotels, Restaurants & Leisure | 67,764,288 | — | — | |||||||||
Independent Power Producers & Energy Traders | 29,384,578 | — | — | |||||||||
Industrial Conglomerates | 14,673,222 | — | — | |||||||||
Insurance | 67,696,519 | — | — | |||||||||
Internet Software & Services | 30,191,179 | — | — | |||||||||
Machinery | 40,732,358 | — | — | |||||||||
Media | 67,495,193 | — | — | |||||||||
Metals & Mining | 31,851,115 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 209,862,725 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A166
VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Personal Products | $ | 18,265,188 | $ | — | $ | — | ||||||
Pharmaceuticals | 125,009,565 | — | — | |||||||||
Road & Rail | 57,624,784 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 43,953,937 | — | — | |||||||||
Software | 17,299,996 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 35,874,474 | — | — | |||||||||
Affiliated Money Market Mutual Fund | 77,853,422 | — | — | |||||||||
Total | $ | 1,653,437,973 | $ | 18,822,134 | $ | — | ||||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2014 was as follows:
Oil, Gas & Consumable Fuels | 12.8 | % | ||
Banks | 10.1 | |||
Pharmaceuticals | 7.6 | |||
Affiliated Money Market Mutual Fund (including 3.1% of collateral for securities on loan) | 4.8 | |||
Capital Markets | 4.1 | |||
Health Care Providers & Services | 4.1 | |||
Hotels, Restaurants & Leisure | 4.1 | |||
Insurance | 4.1 | |||
Media | 4.1 | |||
Diversified Telecommunication Services | 3.8 | |||
Road & Rail | 3.5 | |||
Consumer Finance | 3.4 | |||
Food Products | 3.0 | |||
Electronic Equipment, Instruments & Components | 2.8 | |||
Airlines | 2.7 | |||
Semiconductors & Semiconductor Equipment | 2.7 | |||
Machinery | 2.5 | |||
Energy Equipment & Services | 2.2 |
Technology Hardware, Storage & Peripherals | 2.2 | % | ||
Metals & Mining | 1.9 | |||
Independent Power Producers & Energy Traders | 1.8 | |||
Internet Software & Services | 1.8 | |||
Aerospace & Defense | 1.7 | |||
Auto Components | 1.6 | |||
Automobiles | 1.4 | |||
Biotechnology | 1.4 | |||
Diversified Financial Services | 1.4 | |||
Communications Equipment | 1.1 | |||
Personal Products | 1.1 | |||
Software | 1.1 | |||
Industrial Conglomerates | 0.9 | |||
101.8 | ||||
Liabilities in excess of other assets | (1.8 | ) | ||
100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A167
VALUE PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
June 30, 2014
ASSETS | ||||
Investments at value, including securities on loan of $49,100,567: | ||||
Unaffiliated investments (cost $1,082,914,099) | $ | 1,594,406,685 | ||
Affiliated investments (cost $77,853,422) | 77,853,422 | |||
Cash | 12,697 | |||
Foreign currency, at value (cost $1,053,188) | 1,053,188 | |||
Receivable for investments sold | 20,874,567 | |||
Dividends receivable | 903,572 | |||
Tax reclaim receivable | 718,419 | |||
Receivable for Series shares sold | 639 | |||
Prepaid expenses | 1,939 | |||
Total Assets | 1,695,825,128 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 50,378,076 | |||
Payable for investments purchased | 1,053,188 | |||
Payable for Series shares repurchased | 526,586 | |||
Management fee payable | 470,631 | |||
Accrued expenses | 182,899 | |||
Distribution fee payable | 1,588 | |||
Deferred trustees’ fees | 879 | |||
Affiliated transfer agent fee payable | 926 | |||
Administration fee payable | 581 | |||
Total Liabilities | 52,615,354 | |||
NET ASSETS | $ | 1,643,209,774 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 1,090,954,670 | ||
Retained earnings | 552,255,104 | |||
Net assets, June 30, 2014 | $ | 1,643,209,774 | ||
Class I: | ||||
Net asset value and redemption price per share, $1,635,443,975 / 62,551,702 outstanding shares of beneficial interest | $ | 26.15 | ||
Class II: | ||||
Net asset value and redemption price per share, $7,765,799 / 296,704 outstanding shares of beneficial interest | $ | 26.17 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2014
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $368,305) | $ | 12,574,413 | ||
Affiliated income from securities loaned, net | 67,102 | |||
Affiliated dividend income | 12,050 | |||
Total income | 12,653,565 | |||
EXPENSES | ||||
Management fee | 3,131,905 | |||
Distribution fee—Class II | 9,300 | |||
Administration fee—Class II | 5,580 | |||
Custodian’s fees and expenses | 72,000 | |||
Shareholders’ reports | 57,000 | |||
Trustees’ fees | 12,000 | |||
Insurance expenses | 11,000 | |||
Audit fee | 10,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 5,000 | |||
Legal fees and expenses | 5,000 | |||
Commitment fee on syndicated credit agreement | 1,000 | |||
Interest expense | 198 | |||
Miscellaneous | 5,787 | |||
Total expenses | 3,325,770 | |||
Less: Management fee waiver | (391,488 | ) | ||
Net expenses | 2,934,282 | |||
NET INVESTMENT INCOME | 9,719,283 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain on: | ||||
Investment transactions | 49,270,889 | |||
Foreign currency transactions | 5,634 | |||
49,276,523 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 74,449,814 | |||
Foreign currencies | (1,841 | ) | ||
74,447,973 | ||||
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 123,724,496 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 133,443,779 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 9,719,283 | $ | 15,219,628 | ||||
Net realized gain on investment and foreign currency transactions | 49,276,523 | 184,051,019 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 74,447,973 | 206,906,734 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 133,443,779 | 406,177,381 | ||||||
SERIES SHARE TRANSACTIONS (Note 7) | ||||||||
Series shares sold | 4,139,199 | 25,700,974 | ||||||
Series shares repurchased | (70,520,454 | ) | (125,239,881 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (66,381,255 | ) | (99,538,907 | ) | ||||
TOTAL INCREASE | 67,062,524 | 306,638,474 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 1,576,147,250 | 1,269,508,776 | ||||||
End of period | $ | 1,643,209,774 | $ | 1,576,147,250 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A168
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
(Unaudited)
Note 1: | General |
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is composed of 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.
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 each Portfolio’s Schedule of Investments.
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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 except for exchange-traded and cleared swaps which are classified as Level 2 in the fair value hierarchy, as the prices marked at the official settle are not public.
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. Securities not valued using such model prices are valued in accordance with exchange-traded common stocks discussed above.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the over-the-counter 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.
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 invest up to 15% of their net assets (the Money Market Portfolio may invest 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. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, the Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional
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buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s Subadviser under the guidelines adopted by the Directors of the Portfolio. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.
Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is the Series Fund��s policy that its custodian or designated subcustodians, as the case may be, under triparty repurchase agreements, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked to market on a daily basis to ensure the adequacy of the collateral. If the seller defaults or the value of the collateral declines, or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Series Fund may 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 sales and maturities of short-term securities and forward currency contracts, disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the 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.
Concentration of Risk: The ability of debt securities issuers (other than those issued or guaranteed by the U.S. Government) held by the Portfolios to meet their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political or economic instability or the level of governmental supervision and regulation of foreign securities markets.
Forward Currency Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate 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. 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
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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 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 invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolio intends to purchase, against fluctuations in value caused by changes in prevailing interest rates or foreign currency exchange rates. Should interest rates move unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. With exchange-traded futures contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.
Options: Certain Portfolios of the Series Fund purchased and wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates and foreign currency exchange rates, with respect to securities which the Portfolio currently owns or intends to purchase. 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
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be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security underlying the written option. The Portfolio, as a purchaser of an over-the-counter option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options, and guarantees the options contracts against default.
Swap Agreements: Certain Portfolios of the Series Fund entered into credit default, interest rate, total return and other forms of swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the 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.
Interest Rate Swaps: Interest rate swaps represent agreements between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios used interest rate swaps to either maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objectives.
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 entered into credit default swaps to provide a measure of protection against issuer defaults. Certain Portfolios in the Series Fund sold protection using credit default swaps to take an active short position with respect to the likelihood of a particular issuer’s default. A Portfolios’ maximum risk of loss from counterparty credit risk for purchased credit default swaps is the inability of the counterparty to honor the contract up to the notional value due to a credit event.
As a seller of protection on credit default swap agreements, the Portfolio generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the Portfolio may be subject to investment exposure on the notional amount of the swap.
The maximum amount of the payment that 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
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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 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 June 30, 2014, none of the Portfolios have met conditions under such agreements which give the counterparty the right to call for an early termination.
Forward currency contracts, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by engaging in master netting arrangements.
Warrants and Rights: Certain Portfolios 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
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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 cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto, on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.
Dollar Rolls: Certain Portfolios of the Series Fund enter into mortgage dollar rolls in which the Portfolio sells mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolio forgoes principal and interest paid on the securities. The Portfolio is compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sales proceeds and the lower repurchase price is recorded as a realized gain. The Portfolio maintains a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls.
When-Issued/Delayed Delivery Securities: Securities purchased or sold on a when-issued or delayed delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Portfolio enters into such transactions, it instructs the custodian to segregate assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains 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. 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.
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Note 3: | Agreements |
The Series Fund has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisors’ performance of such services. PI has entered into subadvisory agreements with Prudential Investment Management, Inc. (“PIM”), Jennison Associates LLC (“Jennison”), 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.
The management fee paid to PI is accrued daily and payable monthly, using the value of each of the Portfolio’s average daily net assets, at the respective annual rates specified below.
Portfolio | Management Fee | Effective Management Fee | ||||
Conservative Balanced Portfolio | 0.55% | 0.55 | % | |||
Diversified Bond Portfolio | 0.40 | 0.40 | ||||
Equity Portfolio | 0.45 | 0.45 | ||||
Flexible Managed Portfolio | 0.60 | 0.60 | ||||
Global Portfolio | 0.75 | 0.74 | *** | |||
Government Income Portfolio | 0.40 | 0.40 | ||||
High Yield Bond Portfolio | 0.55 | 0.55 | ||||
Jennison Portfolio | 0.60 | 0.60 | ||||
Money Market Portfolio | 0.40 | 0.11 | * | |||
Natural Resources Portfolio | 0.45 | 0.40 | ***** | |||
Small Capitalization Stock Portfolio | 0.40 | 0.35 | ***** | |||
Stock Index Portfolio | 0.35% up to $4 billion 0.30% over $4 billion | 0.30 | ** | |||
Value Portfolio | 0.40 | 0.35 | **** |
* | 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 six months ended June 30, 2014, the total waiver as a result of this voluntary agreement was $1,218,796 or an annualized 0.29% of the Money Market Portfolio’s average daily net assets. |
** | PI has voluntarily agreed, through June 30, 2014, 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. In addition, PI has contractually agreed, through June 30, 2015, to waive a portion of its management fee equal to an annual rate of 0.05% of the average daily net assets of the Portfolio. |
*** | PI has contractually agreed, through June 30, 2015, to waive a portion of its management fee equal to an annual rate of 0.01% of the average daily net assets of the Portfolio. |
**** | 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 daily net assets of the Portfolio. |
***** | PI has contractually agreed, through June 30, 2015, 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. |
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At June 30, 2014, 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 |
The Series Fund has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.
The Series Fund has an administration agreement with PI, which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.
PIMS, PI, 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 six months ended June 30, 2014, brokerage commission recaptured under these agreements was as follows:
Portfolio | Amount | |||
Equity Portfolio | $ | 293,730 | ||
Global Portfolio | 10,892 | |||
Jennison Portfolio | 49,203 | |||
Natural Resources Portfolio | 18,359 | |||
Value Portfolio | 85,889 |
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.
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PIM also serves as the Series Fund’s security lending agent. For the six months ended June 30, 2014, PIM was compensated as follows for these services by the Series Fund Portfolios:
Portfolio | Amount | |||
Conservative Balanced Portfolio | $ | 28,381 | ||
Diversified Bond Portfolio | 13,133 | |||
Equity Portfolio | 129,699 | |||
Flexible Managed Portfolio | 29,723 | |||
Global Portfolio | 2,250 | |||
Government Income Portfolio | 8,283 | |||
High Yield Bond Portfolio | 194,282 | |||
Jennison Portfolio | 71,865 | |||
Natural Resources Portfolio | 25,808 | |||
Small Capitalization Stock Portfolio | 85,682 | |||
Stock Index Portfolio | 26,762 | |||
Value Portfolio | 20,043 |
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.
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 six months ended June 30, 2014 were as follows:
Portfolio | Cost of Purchases | Proceeds from Sales | ||||||
Conservative Balanced Portfolio | $ | 1,070,678,698 | $ | 1,236,092,600 | ||||
Diversified Bond Portfolio | 135,404,947 | 297,432,058 | ||||||
Equity Portfolio | 966,694,212 | 1,061,416,382 | ||||||
Flexible Managed Portfolio | 2,564,812,720 | 2,813,303,574 | ||||||
Global Portfolio | 153,805,414 | 152,438,272 | ||||||
Government Income Portfolio | 1,699,690,911 | 1,710,841,299 | ||||||
High Yield Bond Portfolio | 977,196,210 | 761,359,016 | ||||||
Jennison Portfolio | 275,726,078 | 331,385,063 | ||||||
Natural Resources Portfolio | 95,838,853 | 119,382,061 | ||||||
Small Capitalization Stock Portfolio | 54,151,428 | 75,466,651 | ||||||
Stock Index Portfolio | 63,901,302 | 86,664,283 | ||||||
Value Portfolio | 253,402,056 | 350,185,194 |
Options written transactions, during the six months ended June 30, 2014, were as follows:
Conservative Balanced Portfolio | Contracts | Premiums | ||||||
Balance as of December 31, 2013 | — | $ | — | |||||
Options written | 23,920,426 | 177,186 | ||||||
Options terminated in closing purchase transactions | (23,920,271 | ) | (144,359 | ) | ||||
Options expired | (155 | ) | (32,827 | ) | ||||
Balance as of June 30, 2014 | — | $ | — | |||||
Diversified Bond Portfolio | Contracts | Premiums | ||||||
Balance as of December 31, 2013 | — | $ | — | |||||
Options written | 73,420,168 | 138,405 | ||||||
Options terminated in closing purchase transactions | (73,420,000 | ) | (128,203 | ) | ||||
Options expired | (168 | ) | (10,202 | ) | ||||
Balance as of June 30, 2014 | — | $ | — | |||||
B10
Flexible Managed Portfolio | Contracts | Premiums | ||||||
Balance as of December 31, 2013 | — | $ | — | |||||
Options written | 31,420,561 | 233,988 | ||||||
Options terminated in closing purchase transactions | (31,420,357 | ) | (190,693 | ) | ||||
Options expired | (204 | ) | (43,295 | ) | ||||
Balance as of June 30, 2014 | — | $ | — | |||||
Government Income Portfolio | Contracts | Premiums | ||||||
Balance as of December 31, 2013 | — | $ | — | |||||
Options written | 23,600,419 | 174,397 | ||||||
Options terminated in closing purchase transactions | (23,600,267 | ) | (141,987 | ) | ||||
Options expired | (152 | ) | (32,410 | ) | ||||
Balance as of June 30, 2014 | — | $ | — | |||||
Note 6: | Tax Information |
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.
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.
Note 7: | Capital |
The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of June 30, 2014, 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 | ||||||
Six months ended June 30, 2014: | ||||||||
Series shares sold | 163,839 | $ | 5,895,719 | |||||
Series shares issued in reinvestment of distributions | — | — | ||||||
Series shares repurchased | (3,574,066 | ) | (129,111,140 | ) | ||||
Net increase (decrease) in shares outstanding | (3,410,227 | ) | $ | (123,215,421 | ) | |||
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 | ) | |||
B11
Equity Portfolio (cont’d):
Class II | Shares | Amount | ||||||
Six months ended June 30, 2014: | ||||||||
Series shares sold | 11,289 | $ | 407,495 | |||||
Series shares issued in reinvestment of distributions | — | — | ||||||
Series shares repurchased | (14,394 | ) | (527,762 | ) | ||||
Net increase (decrease) in shares outstanding | (3,105 | ) | $ | (120,267 | ) | |||
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 | ) | |||
Jennison Portfolio:
Class I | Shares | Amount | ||||||
Six months ended June 30, 2014: | ||||||||
Series shares sold | 193,760 | $ | 7,250,785 | |||||
Series shares issued in reinvestment of distributions | — | — | ||||||
Series shares reacquired | (1,833,076 | ) | (68,558,758 | ) | ||||
Net increase (decrease) in shares outstanding | (1,639,316 | ) | $ | (61,307,973 | ) | |||
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 | ) | |||
Class II | ||||||||
Six months ended June 30, 2014: | ||||||||
Series shares sold | 115,395 | $ | 4,188,027 | |||||
Series shares issued in reinvestment of distributions | — | — | ||||||
Series shares reacquired | (146,043 | ) | (5,325,596 | ) | ||||
Net increase (decrease) in shares outstanding | (30,648 | ) | $ | (1,137,569 | ) | |||
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 | ) | |||
Natural Resources Portfolio:
Class I | Shares | Amount | ||||||
Six months ended June 30, 2014: | ||||||||
Series shares sold | 226,217 | $ | 9,122,778 | |||||
Series shares issued in reinvestment of distributions | — | — | ||||||
Series shares repurchased | (941,765 | ) | (36,993,927 | ) | ||||
Net increase (decrease) in shares outstanding | (715,548 | ) | $ | (27,871,149 | ) | |||
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 | ) | |||
B12
Natural Resources Portfolio (cont’d):
Class II | Shares | Amount | ||||||
Six months ended June 30, 2014: | ||||||||
Series shares sold | 189,702 | $ | 7,259,794 | |||||
Series shares issued in reinvestment of distributions | — | — | ||||||
Series shares repurchased | (319,217 | ) | (12,299,407 | ) | ||||
Net increase (decrease) in shares outstanding | (129,515 | ) | $ | (5,039,613 | ) | |||
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 | ) | |||
Value Portfolio:
Class I | Shares | Amount | ||||||
Six months ended June 30, 2014: | ||||||||
Series shares sold | 163,433 | $ | 4,013,083 | |||||
Series shares issued in reinvestment of distributions | — | — | ||||||
Series shares reacquired | (2,847,425 | ) | (70,107,444 | ) | ||||
Net increase (decrease) in shares outstanding | (2,683,992 | ) | $ | (66,094,361 | ) | |||
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 | ) | |||
Class II | ||||||||
Six months ended June 30, 2014: | ||||||||
Series shares sold | 5,102 | $ | 126,116 | |||||
Series shares issued in reinvestment of distributions | — | — | ||||||
Series shares reacquired | (16,482 | ) | (413,010 | ) | ||||
Net increase (decrease) in shares outstanding | (11,380 | ) | $ | (286,894 | ) | |||
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 | ) | |||
Note 8: | Borrowings |
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.
B13
The following Portfolios utilized the SCA during the six months ended June 30, 2014. The average balance outstanding 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 Rates | Amount Outstanding at June 30, 2014 | ||||||||||||
Diversified Bond Portfolio | $ | 12,017,889 | 9 | 1.40 | % | — | ||||||||||
Jennison Portfolio | 550,345 | 29 | 1.40 | % | — | |||||||||||
Value Portfolio | 421,500 | 12 | 1.40 | % | — |
Note 9: | Ownership and Affiliates |
As of June 30, 2014, 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.
B14
(Unaudited)
Conservative Balanced Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2014(a) | Year Ended December 31, | |||||||||||||||||||||||
2013(a) | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 20.63 | $ | 17.77 | $ | 16.32 | $ | 15.96 | $ | 14.65 | $ | 12.69 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .19 | .35 | .38 | .36 | .37 | .39 | ||||||||||||||||||
Net realized and unrealized gain on investments | .91 | 2.51 | 1.43 | .37 | 1.31 | 2.08 | ||||||||||||||||||
Total from investment operations | 1.10 | 2.86 | 1.81 | .73 | 1.68 | 2.47 | ||||||||||||||||||
Less Distributions | — | — | (.36 | ) | (.37 | ) | (.37 | ) | (.51 | ) | ||||||||||||||
Net Asset Value, end of period | $ | 21.73 | $ | 20.63 | $ | 17.77 | $ | 16.32 | $ | 15.96 | $ | 14.65 | ||||||||||||
Total Return(b) | 5.33 | % | 16.09 | % | 11.23 | % | 4.60 | % | 11.74 | % | 20.01 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 2,564.2 | $ | 2,504.4 | $ | 2,287.0 | $ | 2,191.6 | $ | 2,234.7 | $ | 2,138.7 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .59 | %(d) | .58 | % | .58 | % | .59 | % | .59 | % | .59 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .59 | %(d) | .58 | % | .58 | % | .59 | % | .59 | % | .59 | % | ||||||||||||
Net investment income | 1.84 | %(d) | 1.84 | % | 2.11 | % | 2.12 | % | 2.32 | % | 2.68 | % | ||||||||||||
Portfolio turnover rate | 64 | %(e) | 196 | % | 188 | % | 215 | % | 185 | % | 250 | % | ||||||||||||
Diversified Bond Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2014(a) | Year Ended December 31, | |||||||||||||||||||||||
2013 | 2012(a) | 2011 | 2010 | 2009 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 11.01 | $ | 11.88 | $ | 11.74 | $ | 11.67 | $ | 11.16 | $ | 9.89 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .22 | .48 | .54 | .56 | .52 | .50 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | .37 | (.56 | ) | .66 | .30 | .63 | 1.46 | |||||||||||||||||
Total from investment operations | .59 | (.08 | ) | 1.20 | .86 | 1.15 | 1.96 | |||||||||||||||||
Less Distributions | (.12 | ) | (.79 | ) | (1.06 | ) | (.79 | ) | (.64 | ) | (.69 | ) | ||||||||||||
Net Asset Value, end of period | $ | 11.48 | $ | 11.01 | $ | 11.88 | $ | 11.74 | $11.67 | $ | 11.16 | |||||||||||||
Total Return(b) | 5.44 | % | (.71 | )% | 10.68 | % | 7.51 | % | 10.57 | % | 20.51 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1,082.6 | $ | 1,197.5 | $ | 1,305.9 | $ | 1,556.9 | $ | 1,522.9 | $ | 1,363.5 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .45 | %(d) | .44 | % | .44 | % | .42 | % | .46 | % | .44 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .45 | %(d) | .44 | % | .44 | % | .42 | % | .46 | % | .44 | % | ||||||||||||
Net investment income | 3.88 | %(d) | 4.10 | % | 4.57 | % | 4.76 | % | 4.46 | % | 4.79 | % | ||||||||||||
Portfolio turnover rate | 35 | %(e) | 111 | % | 144 | % | 167 | % | 191 | % | 401 | % |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(d) | Annualized. |
(e) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Financial Highlights
(Unaudited)
Equity Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2014(c) | Year Ended December 31, | |||||||||||||||||||||||
2013 | 2012(c) | 2011 | 2010 | 2009 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 35.81 | $ | 26.81 | $ | 23.73 | $ | 24.75 | $ | 22.30 | $ | 16.40 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .07 | .27 | .27 | .13 | .15 | .16 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.73 | 8.73 | 2.96 | (.98 | ) | 2.48 | 6.04 | |||||||||||||||||
Total from investment operations | 1.80 | 9.00 | 3.23 | (.85 | ) | 2.63 | 6.20 | |||||||||||||||||
Less Distributions: | — | — | (.15 | ) | (.17 | ) | (.18 | ) | (.30 | ) | ||||||||||||||
Net Asset Value, end of period | $ | 37.61 | $ | 35.81 | $ | 26.81 | $ | 23.73 | $ | 24.75 | $ | 22.30 | ||||||||||||
Total Return(a) | 5.03 | % | 33.57 | % | 13.69 | % | (3.47 | )% | 11.90 | % | 38.17 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 4,042.9 | $ | 3,970.9 | $ | 3,167.0 | $ | 2,997.5 | $ | 3,324.3 | $ | 3,195.1 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .47 | %(d) | .47 | % | .47 | % | .48 | % | .48 | % | .48 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .47 | %(d) | .47 | % | .47 | % | .48 | % | .48 | % | .48 | % | ||||||||||||
Net investment income | .37 | %(d) | .86 | % | 1.04 | % | .58 | % | .71 | % | .90 | % | ||||||||||||
Portfolio turnover rate | 25 | %(e) | 45 | % | 48 | % | 49 | % | 68 | % | 98 | % | ||||||||||||
Equity Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2014(c) | Year Ended December 31, | |||||||||||||||||||||||
2013 | 2012(c) | 2011 | 2010 | 2009 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 36.05 | $ | 27.10 | $ | 23.99 | $ | 25.00 | $ | 22.46 | $ | 16.47 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | (.01 | ) | �� | .13 | .17 | .06 | .04 | .09 | ||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.75 | 8.82 | 3.00 | (1.03 | ) | 2.54 | 6.07 | |||||||||||||||||
Total from investment operations | 1.74 | 8.95 | 3.17 | (.97 | ) | 2.58 | 6.16 | |||||||||||||||||
Less Distributions: | — | — | (.06 | ) | (.04 | ) | (.04 | ) | (.17 | ) | ||||||||||||||
Net Asset Value, end of period | $ | 37.79 | $ | 36.05 | $ | 27.10 | $ | 23.99 | $ | 25.00 | $ | 22.46 | ||||||||||||
Total Return(a) | 4.83 | % | 33.03 | % | 13.23 | % | (3.87 | )% | 11.50 | % | 37.58 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 2.3 | $ | 2.3 | $ | 1.8 | $ | 2.0 | $ | 1.9 | $ | .4 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .87 | %(d) | .87 | % | .87 | % | .88 | % | .88 | % | .88 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .87 | %(d) | .87 | % | .87 | % | .88 | % | .88 | % | .88 | % | ||||||||||||
Net investment income (loss) | (.04 | )%(d) | .47 | % | .63 | % | .19 | % | .34 | % | .52 | % | ||||||||||||
Portfolio turnover rate | 25 | %(e) | 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 period 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. Total returns for periods of less than one year are not annualized. |
(b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
(c) | Calculation based on average shares outstanding during the period. |
(d) | Not annualized. |
(e) | Annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
(Unaudited)
Flexible Managed Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2014(a) | Year Ended December 31, | |||||||||||||||||||||||
2013(a) | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 21.35 | $ | 17.77 | $ | 15.99 | $ | 15.63 | $ | 14.28 | $ | 12.34 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .20 | .36 | .37 | .33 | .31 | .34 | ||||||||||||||||||
Net realized and unrealized gain on investments | 1.30 | 3.22 | 1.74 | .34 | 1.37 | 2.05 | ||||||||||||||||||
Total from investment operations | 1.50 | 3.58 | 2.11 | .67 | 1.68 | 2.39 | ||||||||||||||||||
Less Distributions | — | — | (.33 | ) | (.31 | ) | (.33 | ) | (.45 | ) | ||||||||||||||
Net Asset Value, end of period | $ | 22.85 | $ | 21.35 | $ | 17.77 | $ | 15.99 | $ | 15.63 | $ | 14.28 | ||||||||||||
Total Return(b) | 7.03 | % | 20.15 | % | 13.37 | % | 4.34 | % | 12.03 | % | 19.95 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 3,893.2 | $ | 3,730.6 | $ | 3,265.8 | $ | 3,036.8 | $ | 3,077.3 | $ | 2,906.0 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .63 | %(e) | .63 | % | .63 | % | .63 | % | .64 | % | .63 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .63 | %(e) | .63 | % | .63 | % | .63 | % | .64 | % | .63 | % | ||||||||||||
Net investment income | 1.83 | %(e) | 1.86 | % | 2.05 | % | 2.01 | % | 2.06 | % | 2.50 | % | ||||||||||||
Portfolio turnover rate(d) | 82 | %(f) | 210 | % | 214 | % | 246 | % | 205 | % | 248 | % | ||||||||||||
Global Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2014 | Year Ended December 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 24.91 | $ | 19.57 | $ | 16.94 | $ | 18.49 | $ | 16.68 | $ | 13.07 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .26 | .31 | .36 | .29 | .28 | .28 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | .88 | 5.03 | 2.57 | (1.56 | ) | 1.79 | 3.75 | |||||||||||||||||
Total from investment operations | 1.14 | 5.34 | 2.93 | (1.27 | ) | 2.07 | 4.03 | |||||||||||||||||
Less Distributions | — | — | (.30 | ) | (.28 | ) | (.26 | ) | (.42 | ) | ||||||||||||||
Net Asset Value, end of period | $ | 26.05 | $ | 24.91 | $ | 19.57 | $ | 16.94 | $ | 18.49 | $ | 16.68 | ||||||||||||
Total Return(b) | 4.58 | % | 27.29 | % | 17.52 | % | (6.97 | )% | 12.74 | % | 31.39 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 772.9 | $ | 744.5 | $ | 611.2 | $ | 564.2 | $ | 648.5 | $ | 619.5 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .81 | %(e) | .84 | % | .84 | % | .84 | % | .87 | % | .85 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .82 | %(e) | .84 | % | .84 | % | .84 | % | .87 | % | .85 | % | ||||||||||||
Net investment income | 2.02 | %(e) | 1.29 | % | 1.82 | % | 1.54 | % | 1.60 | % | 1.77 | % | ||||||||||||
Portfolio turnover rate | 21 | %(f) | 70 | % | 57 | % | 69 | % | 69 | % | 50 | % |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(d) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(e) | Annualized. |
(f) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C3
Financial Highlights
(Unaudited)
Government Income Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2014 | Year Ended December 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 11.30 | $ | 12.15 | $ | 12.37 | $ | 12.03 | $ | 11.86 | $ | 11.40 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .11 | .21 | .25 | .30 | .35 | .37 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | .32 | (.49 | ) | .19 | .60 | .47 | .49 | |||||||||||||||||
Total from investment operations | .43 | (.28 | ) | .44 | .90 | .82 | .86 | |||||||||||||||||
Less Distributions | (.04 | ) | (.57 | ) | (.66 | ) | (.56 | ) | (.65 | ) | (.40 | ) | ||||||||||||
Net Asset Value, end of period | $ | 11.69 | $ | 11.30 | $ | 12.15 | $ | 12.37 | $ | 12.03 | $ | 11.86 | ||||||||||||
Total Return(a) | 3.82 | % | (2.34 | )% | 3.63 | % | 7.63 | % | 6.99 | % | 7.71 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 340.5 | $ | 341.1 | $ | 382.9 | $ | 416.7 | $ | 399.2 | $ | 375.4 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .48 | %(d) | .49 | % | .48 | % | .46 | % | .50 | % | .47 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .48 | %(d) | .49 | % | .48 | % | .46 | % | .50 | % | .47 | % | ||||||||||||
Net investment income | 1.87 | %(d) | 1.78 | % | 1.96 | % | 2.48 | % | 2.87 | % | 3.11 | % | ||||||||||||
Portfolio turnover rate(c) | 433 | %(e) | 1135 | % | 1154 | % | 1554 | % | 1122 | % | 1179 | % | ||||||||||||
High Yield Bond Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2014 | Year Ended December 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 5.29 | $ | 5.26 | $ | 4.93 | $ | 5.06 | $ | 4.83 | $ | 3.61 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .16 | .34 | .35 | .38 | .42 | .41 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | .11 | .03 | .34 | (.13 | ) | .23 | 1.22 | |||||||||||||||||
Total from investment operations | .27 | .37 | .69 | .25 | .65 | 1.63 | ||||||||||||||||||
Less Distributions | (.16 | ) | (.34 | ) | (.36 | ) | (.38 | ) | (.42 | ) | (.41 | ) | ||||||||||||
Net Asset Value, end of period | $ | 5.40 | $ | 5.29 | $ | 5.26 | $ | 4.93 | $ | 5.06 | $ | 4.83 | ||||||||||||
Total Return(a) | 5.20 | % | 7.26 | % | 14.43 | % | 5.10 | % | 14.05 | % | 47.16 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 3,282.7 | $ | 3,020.5 | $ | 2,841.8 | $ | 2,158.4 | $ | 2,141.2 | $ | 1,938.3 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .57 | %(d) | .57 | % | .57 | % | .58 | % | .58 | % | .58 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .57 | %(d) | .57 | % | .57 | % | .58 | % | .58 | % | .58 | % | ||||||||||||
Net investment income | 5.95 | %(d) | 6.34 | % | 6.95 | % | 7.53 | % | 8.51 | % | 9.75 | % | ||||||||||||
Portfolio turnover rate | 25 | %(e) | 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 period 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 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. Total returns for periods less than one full year are not annualized. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(d) | Annualized. |
(e) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
Financial Highlights
(Unaudited)
Jennison Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2014(a) | Year Ended December 31, | |||||||||||||||||||||||
2013(a) | 2012(a) | 2011 | 2010(a) | 2009(a) | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 37.15 | $ | 26.98 | $ | 23.26 | $ | 23.26 | $ | 20.87 | $ | 14.69 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .04 | .06 | .11 | .03 | .06 | .08 | ||||||||||||||||||
Net realized and unrealized gain on investments | 1.62 | 10.11 | 3.65 | .04 | 2.42 | 6.22 | ||||||||||||||||||
Total from investment operations | 1.66 | 10.17 | 3.76 | .07 | 2.48 | 6.30 | ||||||||||||||||||
Less Distributions | — | — | (.04 | ) | (.07 | ) | (.09 | ) | (.12 | ) | ||||||||||||||
Net Asset Value, end of period | $ | 38.81 | $ | 37.15 | $ | 26.98 | $ | 23.26 | $ | 23.26 | $ | 20.87 | ||||||||||||
Total Return(b) | 4.47 | % | 37.69 | % | 16.18 | % | .30 | % | 11.95 | % | 43.03 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1,557.6 | $ | 1,551.9 | $ | 1,213.3 | $ | 1,126.3 | $ | 1,362.1 | $ | 1,298.7 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .63 | %(e) | .63 | % | .63 | % | .64 | % | .64 | % | .64 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .63 | %(e) | .63 | % | .63 | % | .64 | % | .64 | % | .64 | % | ||||||||||||
Net investment income | .21 | %(e) | .18 | % | .42 | % | .16 | % | .29 | % | .44 | % | ||||||||||||
Portfolio turnover rate | 18 | %(f) | 40 | % | 45 | % | 51 | % | 67 | % | 76 | % | ||||||||||||
Jennison Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2014(a) | Year Ended December 31, | |||||||||||||||||||||||
2013(a) | 2012(a) | 2011 | 2010(a) | 2009(a) | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 36.33 | $ | 26.49 | $ | 22.89 | $ | 22.91 | $ | 20.55 | $ | 14.46 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | (.04 | ) | (.07 | ) | — | (d) | (.07 | ) | (.02 | ) | .01 | |||||||||||||
Net realized and unrealized gain on investments | 1.59 | 9.91 | 3.60 | .05 | 2.38 | 6.13 | ||||||||||||||||||
Total from investment operations | 1.55 | 9.84 | 3.60 | (.02 | ) | 2.36 | 6.14 | |||||||||||||||||
Less Distributions | — | — | — | — | — | (d) | (.05 | ) | ||||||||||||||||
Net Asset Value, end of period | $ | 37.88 | $ | 36.33 | $ | 26.49 | $ | 22.89 | $ | 22.91 | $ | 20.55 | ||||||||||||
Total Return(b) | 4.27 | % | 37.15 | % | 15.73 | % | (.09 | )% | 11.50 | % | 42.52 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 40.9 | $ | 40.3 | $ | 33.6 | $ | 31.9 | $ | 33.2 | $ | 20.2 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.03 | %(e) | 1.03 | % | 1.03 | % | 1.04 | % | 1.04 | % | 1.04 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.03 | %(e) | 1.03 | % | 1.03 | % | 1.04 | % | 1.04 | % | 1.04 | % | ||||||||||||
Net investment income (loss) | (.20 | )%(e) | (.22 | )% | .02 | % | (.24 | )% | (.10 | )% | .03 | % | ||||||||||||
Portfolio turnover rate | 18 | %(f) | 40 | % | 45 | % | 51 | % | 67 | % | 76 | % |
(a) | Calculated based upon average shares outstanding during the period. |
(b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(d) | Less than $0.005 per share. |
(e) | Annualized. |
(f) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C5
Financial Highlights
(Unaudited)
Money Market Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2014 | Year Ended December 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||||||||
Income From Investment Operations: | ||||||||||||||||||||||||
Net investment income and realized gains | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | .04 | |||||||||||||
Distributions | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | (.04 | ) | ||||||||||||
Capital contributions(c) | — | — | — | — | — | (a) | — | |||||||||||||||||
Net Asset Value, end of period | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||||||||
Total Return(b) | — | %(d) | — | %(d) | .01 | % | .02 | % | .03 | % | .40 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 842.4 | $ | 866.0 | $ | 903.5 | $ | 1,016.0 | $ | 1,127.1 | $ | 1,223.4 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .15 | %(e) | .17 | % | .21 | % | .18 | % | .25 | % | .39 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .44 | %(e) | .44 | % | .44 | % | .42 | % | .44 | % | .43 | % | ||||||||||||
Net investment income | .00 | %(e) | .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 period 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 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. Total returns for periods less than one full year are not annualized. |
(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. |
(d) | Less than .005%. |
(e) | Annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C6
Financial Highlights
(Unaudited)
Natural Resources Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2014(a) | Year Ended December 31, | |||||||||||||||||||||||
2013(a) | 2012 | 2011(a) | 2010(a) | 2009(a) | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 37.29 | $ | 33.83 | $ | 38.25 | $ | 47.33 | $ | 37.15 | $ | 23.70 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .10 | .20 | .25 | .16 | .08 | .15 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 6.70 | 3.26 | (1.49 | ) | (9.16 | ) | 10.26 | 17.34 | ||||||||||||||||
Total from investment operations | 6.80 | 3.46 | (1.24 | ) | (9.00 | ) | 10.34 | 17.49 | ||||||||||||||||
Less Distributions | — | — | (3.18 | ) | (.08 | ) | (.16 | ) | (4.04 | ) | ||||||||||||||
Net Asset Value, end of period | $ | 44.09 | $ | 37.29 | $ | 33.83 | $ | 38.25 | $ | 47.33 | $ | 37.15 | ||||||||||||
Total Return(b) | 18.24 | % | 10.23 | % | (2.47 | )% | (19.03 | )% | 27.98 | % | 77.10 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 905.1 | $ | 792.1 | $ | 802.2 | $ | 926.6 | $ | 1,259.5 | $ | 1,079.6 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .45 | %(d) | .48 | % | .50 | % | .50 | % | .50 | % | .53 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .50 | %(d) | .51 | % | .50 | % | .50 | % | .50 | % | .53 | % | ||||||||||||
Net investment income | .51 | %(d) | .55 | % | .71 | % | .36 | % | .22 | % | .51 | % | ||||||||||||
Portfolio turnover rate | 11 | %(e) | 22 | % | 26 | % | 34 | % | 28 | % | 27 | % | ||||||||||||
Natural Resources Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2014(a) | Year Ended December 31, | |||||||||||||||||||||||
2013(a) | 2012 | 2011(a) | 2010(a) | 2009(a) | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 36.78 | $ | 33.50 | $ | 37.89 | $ | 46.98 | $ | 36.88 | $ | 23.54 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .02 | .05 | .12 | (.02 | ) | (.07 | ) | .03 | ||||||||||||||||
Net realized and unrealized gain (loss) on investments | 6.61 | 3.23 | (1.51 | ) | (9.07 | ) | 10.20 | 17.21 | ||||||||||||||||
Total from investment operations | 6.63 | 3.28 | (1.39 | ) | (9.09 | ) | 10.13 | 17.24 | ||||||||||||||||
Less Distributions | — | — | (3.00 | ) | — | (.03 | ) | (3.90 | ) | |||||||||||||||
Net Asset Value, end of period | $ | 43.41 | $ | 36.78 | $ | 33.50 | $ | 37.89 | $ | 46.98 | $ | 36.88 | ||||||||||||
Total Return(b) | 18.03 | % | 9.79 | % | (2.94 | )% | (19.35 | )% | 27.48 | % | 76.41 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 58.2 | $ | 54.1 | $ | 61.2 | $ | 67.9 | $ | 101.9 | $ | 92.6 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .85 | %(d) | .88 | % | .90 | % | .90 | % | .90 | % | .93 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .90 | %(d) | .91 | % | .90 | % | .90 | % | .90 | % | .93 | % | ||||||||||||
Net investment income (loss) | .11 | %(d) | .15 | % | .31 | % | (.04 | )% | (.18 | )% | .10 | % | ||||||||||||
Portfolio turnover rate | 11 | %(e) | 22 | % | 26 | % | 34 | % | 28 | % | 27 | % |
(a) | Calculated based upon average shares outstanding during the period. |
(b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(d) | Annualized. |
(e) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C7
Financial Highlights
(Unaudited)
Small Capitalization Stock Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2014 | Year Ended December 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 26.16 | $ | 18.56 | $ | 17.00 | $ | 17.27 | $ | 13.83 | $ | 12.52 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .14 | .22 | .26 | .10 | .13 | .14 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | .66 | 7.38 | 2.35 | — | (c) | 3.43 | 2.70 | |||||||||||||||||
Total from investment operations | .80 | 7.60 | 2.61 | .10 | 3.56 | 2.84 | ||||||||||||||||||
Less Distributions | — | — | (1.05 | ) | (.37 | ) | (.12 | ) | (1.53 | ) | ||||||||||||||
Net Asset Value, end of period | $ | 26.96 | $ | 26.16 | $ | 18.56 | $ | 17.00 | $ | 17.27 | $ | 13.83 | ||||||||||||
Total Return(a) | 3.06 | % | 40.95 | % | 16.03 | % | .56 | % | 25.93 | % | 25.18 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 766.7 | $ | 770.1 | $ | 578.4 | $ | 542.6 | $ | 589.9 | $ | 492.2 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .40 | %(e) | .42 | % | .46 | % | .48 | % | .49 | % | .49 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .45 | %(e) | .45 | % | .46 | % | .48 | % | .49 | % | .49 | % | ||||||||||||
Net investment income | .99 | %(e) | .92 | % | 1.43 | % | .60 | % | .88 | % | 1.03 | % | ||||||||||||
Portfolio turnover rate | 7 | %(f) | 14 | % | 10 | % | 17 | % | 15 | % | 14 | % | ||||||||||||
Stock Index Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2014 | Year Ended December 31, | |||||||||||||||||||||||
2013(d) | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 47.02 | $ | 35.65 | $ | 31.47 | $ | 31.37 | $ | 27.89 | $ | 22.76 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .40 | .73 | .68 | .54 | .48 | .49 | ||||||||||||||||||
Net realized and unrealized gain on investments | 2.82 | 10.64 | 4.19 | .07 | 3.51 | 5.32 | ||||||||||||||||||
Total from investment operations | 3.22 | 11.37 | 4.87 | .61 | 3.99 | 5.81 | ||||||||||||||||||
Less Distributions | (3.68 | ) | — | (.69 | ) | (.51 | ) | (.51 | ) | (.68 | ) | |||||||||||||
Net Asset Value, end of period | $ | 46.56 | $ | 47.02 | $ | 35.65 | $ | 31.47 | $ | 31.37 | $ | 27.89 | ||||||||||||
Total Return(a) | 6.95 | % | 31.89 | % | 15.68 | % | 1.95 | % | 14.59 | % | 26.07 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 3,159.5 | $ | 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 reimbursement | .32 | %(e) | .32 | % | .32 | % | .33 | % | .36 | % | .37 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .37 | %(e) | .37 | % | .37 | % | .38 | % | .38 | % | .37 | % | ||||||||||||
Net investment income | 1.69 | %(e) | 1.77 | % | 1.97 | % | 1.74 | % | 1.70 | % | 2.06 | % | ||||||||||||
Portfolio turnover rate | 2 | %(f) | 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 period 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 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. Total returns for periods less than one full year are not annualized. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | Less than $0.005 per share. |
(d) | Calculated based on average shares outstanding during the year. |
(e) | Annualized. |
(f) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C8
Financial Highlights
(Unaudited)
Value Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2014 | Year Ended December 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 24.05 | $ | 18.07 | $ | 15.93 | $ | 17.04 | $ | 15.10 | $ | 10.86 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .15 | .22 | .22 | .14 | .17 | .14 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.95 | 5.76 | 2.09 | (1.08 | ) | 1.90 | 4.36 | |||||||||||||||||
Total from investment operations | 2.10 | 5.98 | 2.31 | (.94 | ) | 2.07 | 4.50 | |||||||||||||||||
Less Distributions | — | — | (.17 | ) | (.17 | ) | (.13 | ) | (.26 | ) | ||||||||||||||
Net Asset Value, end of period | $ | 26.15 | $ | 24.05 | $ | 18.07 | $ | 15.93 | $ | 17.04 | $ | 15.10 | ||||||||||||
Total Return(a) | 8.73 | % | 33.09 | % | 14.62 | % | (5.58 | )% | 13.86 | % | 41.93 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1,635.4 | $ | 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 reimbursement | .37 | %(c) | .40 | % | .43 | % | .43 | % | .44 | % | .43 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .42 | %(c) | .43 | % | .43 | % | .43 | % | .44 | % | .43 | % | ||||||||||||
Net investment income | 1.24 | %(c) | 1.06 | % | 1.36 | % | .90 | % | 1.08 | % | 1.15 | % | ||||||||||||
Portfolio turnover rate | 16 | %(d) | 41 | % | 28 | % | 43 | % | 63 | % | 51 | % | ||||||||||||
Value Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2014 | Year Ended December 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 24.12 | $ | 18.20 | $ | 16.04 | $ | 17.13 | $ | 15.16 | $ | 10.91 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .10 | .16 | .17 | .08 | .12 | .13 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.95 | 5.76 | 2.08 | (1.08 | ) | 1.90 | 4.33 | |||||||||||||||||
Total from investment operations | 2.05 | 5.92 | 2.25 | (1.00 | ) | 2.02 | 4.46 | |||||||||||||||||
Less Distributions | — | — | (.09 | ) | (.09 | ) | (.05 | ) | (.21 | ) | ||||||||||||||
Net Asset Value, end of period | $ | 26.17 | $ | 24.12 | $ | 18.20 | $ | 16.04 | $ | 17.13 | $ | 15.16 | ||||||||||||
Total Return(a) | 8.50 | % | 32.53 | % | 14.14 | % | (5.89 | )% | 13.39 | % | 41.26 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 7.8 | $ | 7.4 | $ | 6.2 | $ | 6.0 | $ | 7.1 | $ | 3.7 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .77 | %(c) | .80 | % | .83 | % | .83 | % | .84 | % | .83 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .82 | %(c) | .83 | % | .83 | % | .83 | % | .84 | % | .83 | % | ||||||||||||
Net investment income | .84 | %(c) | .66 | % | .95 | % | .50 | % | .69 | % | .74 | % | ||||||||||||
Portfolio turnover rate | 16 | %(d) | 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 period 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 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. Total returns for periods less than one full year are not annualized. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | Annualized. |
(d) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C9
Approval of Advisory Agreements
The Trust’s Board of Trustees
The Board of Trustees (the Board) of The Prudential Series Fund (the Trust) consists of eleven individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios, their operations, and performs the various duties imposed on the trustees of the Board (the Trustees) by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with Prudential Investments LLC (PI) and each Portfolio’s subadvisory agreement(s). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 18-19, 2014 (the Meeting) and approved the renewal of the agreements through July 31, 2015, after concluding that the renewal of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.
In advance of the Meeting, the Trustees received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant Peer Universe and Peer Group, as is further discussed below.
In approving the agreements, the Trustees, including the Independent Trustees advised by independent legal counsel, considered the factors they deemed relevant, including the nature, quality and extent of services provided, the performance of each Portfolio, the profitability of PI and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with each Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its deliberations, the Board considered information provided at or in advance of the Meeting as well as information provided throughout the year at regular and special Board meetings, including presentations from PI and subadviser personnel such as portfolio managers.
The Trustees determined that the overall arrangements between the Trust and PI, which serves as the Trust’s investment manager pursuant to a management agreement, and between PI and each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with PI, are in the best interest of the Trust, each Portfolio and its shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment.
The material factors and conclusions that formed the basis for the Trustees’ determinations to approve the renewal of the agreements are discussed separately below.
Nature, quality and extent of services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PI and each subadviser. The Board considered the services provided by PI, including but not limited to the oversight of the subadvisers, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PI’s oversight of the subadvisers, the Board noted that PI’s Strategic Investment Research Group (SIRG), a business unit of PI, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the Portfolios and the subadvisers. The Board also considered that PI pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PI’s evaluation of the subadvisers, as well as PI’s recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.
The Board reviewed the qualifications, backgrounds and responsibilities of PI’s senior management individuals responsible for the oversight of the Trust, the Portfolios and each subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadvisers’ portfolio managers who are responsible for the day-to-day management of each Portfolio. The Board was provided with information pertaining to PI’s and each subadviser’s organizational structure, senior management, investment operations and other
relevant information pertaining to PI and each subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PI and each subadviser. The Board noted that Prudential Investment Management, Inc. (PIM), Jennison Associates LLC (Jennison) and Quantitative Management Associates LLC (QMA), each of which serve as subadvisers to various Portfolios of the Trust, are affiliated with PI.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PI and the subadvisory services provided to the Portfolios by each subadviser, and that there was a reasonable basis on which to conclude that each Portfolio benefits from the services provided by PI and each subadviser under the management and subadvisory agreements.
Costs of Services and Profits Realized by PI
The Board was provided with information on the profitability of PI and its affiliates in serving as the Trust’s investment manager. The Board discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. The Board considered that information regarding the profitability of the Manager included profitability information regarding PIM, Jennison and QMA, each of which are affiliates of PI. Taking these factors into account, the Board concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board noted that, with the exception of the Stock Index Portfolio, the management fee schedules for the Portfolios generally do not contain breakpoints that would reduce the fee rate on assets above specified levels. The Board received and discussed information concerning whether PI realizes economies of scale as the Portfolios’ assets grow beyond current levels. However, because of the nature of PI’s business, the Board could not reach definitive conclusions as to whether PI might realize economies of scale on a particular Portfolio or how great they may be. In light of each Portfolio’s current size and fee rate, the Board concluded that the fact that the Portfolios other than the Stock Index Portfolio do not have breakpoints is acceptable at this time.
With respect to the Stock Index Portfolio, the Board noted that the management fee schedule includes a breakpoint, which has the effect of decreasing the fee rate as assets increase, but that at its current level of assets, the Stock Index Portfolio does not realize the effect of any rate reduction. The Board took note, however, that the Stock Index Portfolio’s fee structure would result in a benefit to shareholders when (and if) assets reach the level at which the fee rate is reduced. The Board also noted that the management fee of the Stock Index Portfolio was subject to a voluntary waiver by PI of 0.05% of the management fee at each breakpoint level, and that PI had agreed to retain this waiver.
Other Benefits to PI and the Subadvisers
The Board considered potential ancillary benefits that might be received by PI, the subadvisers, and their affiliates as a result of their relationships with the Trust. The Board concluded that potential benefits to be derived by PI included fees received by affiliates of PI for serving as the Portfolios’ securities lending agent, compensation received by insurance company affiliates of PI from the subadvisers, as well as benefits to its reputation or other intangible benefits resulting from PI’s association with the Trust. The Board also considered information provided by PI regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of PI at least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the potential benefits to be derived by the subadvisers unaffiliated with PI included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by PI and the subadvisers were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of the Portfolios / Fees and Expenses / Other Factors
With respect to each Portfolio, the Board also considered certain additional specific factors and made related conclusions relating to the historical performance of the Portfolios for the one-, three-, five- and ten-year periods ended December 31, 2013, except as otherwise noted below.
The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2013. The Board considered the management fee for each Portfolio as compared to the management fee charged by PI to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid by a Portfolio and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in each Peer Universe and each Peer Group were objectively selected by Lipper Inc. (Lipper), an independent provider of mutual fund data. The comparisons placed the Portfolios in various quartiles, with the first quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PI deems appropriate, and for reasons addressed in detail with the Board, PI may have provided supplemental data compiled by Lipper for the Board’s consideration.
The sections below summarize key factors considered by the Board and the Board’s conclusions regarding each Portfolio’s performance, fees and overall expenses. Each section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
Conservative Balanced Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
2nd Quartile | 1st Quartile | 2nd Quartile | 2nd Quartile | |||||
Actual Management Fees: 3rd Quartile | ||||||||
Net Total Expenses: 3rd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Diversified Bond Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
2nd Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Equity Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
2nd Quartile | 4th Quartile | 2nd Quartile | 1st Quartile | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the one- and ten-year periods, although it underperformed its benchmark index over the three- and five-year periods. |
• | The Board noted that the Portfolio’s relative performance had improved from calendar year 2012 to calendar year 2013. |
• | The Board noted PI’s assertion that the Portfolio’s results over longer periods are more indicative of the subadviser’s abilities. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Flexible Managed Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
2nd Quartile | 1st Quartile | 2nd Quartile | 2nd Quartile | |||||
Actual Management Fees: 3rd Quartile | ||||||||
Net Total Expenses: 2nd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Global Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
2nd Quartile | 2nd Quartile | 3rd Quartile | 4th Quartile | |||||
Actual Management Fees: 3rd Quartile | ||||||||
Net Total Expenses: 2nd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board noted that PI had contractually agreed to waive of 0.01% of its management fee through June 30, 2015. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Government Income Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
2nd Quartile | 2nd Quartile | 1st Quartile | 2nd Quartile | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
High Yield Bond Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
2nd Quartile | 2nd Quartile | 2nd Quartile | 1st Quartile | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the one-, three-year and ten-year periods, although it underperformed its benchmark index over the five-year period. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Jennison Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 2nd Quartile | 2nd Quartile | 2nd Quartile | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board considered that the Portfolio outperformed its benchmark index over all periods. |
• | The Board concluded that, in light of the above, it would be in the best interest of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Money Market Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
3rd Quartile | 3rd Quartile | 2nd Quartile | 2nd Quartile | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio’s net performance (which reflects the impact of Portfolio fees, expenses and subsidies) in relation to the Peer Universe was in the second quartile for the one year period, and in the first quartile for the three-, five- and ten-year periods. |
• | The Board noted that PI presently voluntarily waived a portion of its management fee to ensure that the 1-day yield for the Portfolio does not fall below 0.00%. The Board and PI agreed to continue PI’s voluntary yield waiver support. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Natural Resources Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
3rd Quartile | 4th Quartile | 2nd Quartile | 2nd Quartile | |||||
Actual Management Fee: 1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed against its benchmark index over the five- and ten-year periods, although it underperformed its benchmark index over the one- and three-year periods. |
• | The Board noted that the Portfolio outperformed its Peer Universe for the one-year period ending March 31, 2014. |
• | The Board noted PI’s assertion that the Portfolio’s performance record is expected to be volatile and have periods of underperformance and overperformance. |
• | The Board and PI agreed to renew the existing 0.05% contractual management fee waiver through June 30, 2015. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Small Capitalization Stock Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
2nd Quartile | 1st Quartile | 2nd Quartile | 1st Quartile | |||||
Actual Management Fees: 3rd Quartile | ||||||||
Net Total Expenses: 2nd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board noted that PI had contractually agreed to waive 0.05% of its management fee through June 30, 2015. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Stock Index Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
4th Quartile | 1st Quartile | 2nd Quartile | 1st Quartile | |||||
Actual Management Fees: 3rd Quartile | ||||||||
Net Total Expenses: 3rd Quartile |
• | The Board noted that the Portfolio’s outperformed its benchmark index over the three-, five- and ten-year periods, although it slightly underperformed its benchmark index over the one-year period. |
• | The Board and PI agreed to retain the existing voluntary waiver of 0.05% of the management fee at the fee breakpoint level and to make the waiver contractually guaranteed through June 30, 2015. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Value Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
3rd Quartile | 4th Quartile | 2nd Quartile | 1st Quartile | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the one-, five- and ten-year periods, although it underperformed its benchmark index over the three-year period. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
**********
After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.
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 | |||
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.
©2014 Prudential Financial, Inc. and its related entities. 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.
0229045-00003-00 PSF-SAR-A
THE PRUDENTIAL SERIES FUND
SEMIANNUAL REPORT Ÿ JUNE 30, 2014
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.
The accompanying financial statements as of June 30, 2014, were not audited and, accordingly, no auditor’s opinion is expressed on them.
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
By enrolling in e-Delivery, you’ll gain secure, online access to important contract records while reducing what is delivered to you by mail. It’s also an easy way to keep everything organized. Enroll today!
Individual Annuity Contract Owners - Get started by visiting www.prudentialannuities.com/investor/edelivery and follow the instructions on the screen.
Individual Life Insurance Contract Owners - To receive your reports online, go to www.prudential.com/edelivery, or scan the code.
Group Variable Universal Life Contract Owners - To receive your reports online, go to www.prudential.com/gulgvul, or scan the code.
The Prudential Series Fund
| Semiannual Report | June 30, 2014 |
n | LETTER TO CONTRACT OWNERS |
n | PRESENTATION OF PORTFOLIO HOLDINGS |
n | FEES AND EXPENSES TABLE |
n | FINANCIAL REPORTS |
Section A | Schedule of Investments and Financial Statements | |||
SP International Growth Portfolio | A1 | |||
SP International Value Portfolio | A6 | |||
SP Prudential U.S. Emerging Growth Portfolio | A13 | |||
SP Small Cap Value Portfolio | A18 | |||
Section B | Notes to Financial Statements | |||
Section C | Financial Highlights |
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.
The Prudential Series Fund
Letter to Contract Owners | Semiannual Report | June 30, 2014 |
n | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund semiannual report outlines our efforts to achieve this goal. We hope you find it informative and useful.
Prudential has been building on a heritage of success for more than 135 years. 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.
Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2014 |
SP International Growth | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Roche Holding AG | 3.0% | |||
Tencent Holdings Ltd. | 2.5% | |||
St. James's Place PLC | 2.0% | |||
Continental AG | 2.0% | |||
Bayer AG | 1.8% |
SP International Value | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Total SA | 3.2% | |||
Novartis AG | 2.9% | |||
Royal Dutch Shell PLC (Class B Stock) | 2.5% | |||
ING Groep NV, CVA | 2.2% | |||
Toyota Motor Corp. | 2.0% |
SP Prudential U.S. Emerging Growth | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
SBA Communications Corp. (Class A Stock) | 2.8% | |||
Electronic Arts, Inc. | 2.1% | |||
Henry Schein, Inc. | 2.0% | |||
Vantiv, Inc. (Class A Stock) | 1.9% | |||
Universal Health Services, Inc. (Class B Stock) | 1.8% |
SP Small Cap Value | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Signature Bank | 1.3% | |||
iShares Russell 2000 Value Index Fund | 1.3% | |||
SVB Financial Group | 1.3% | |||
Iberiabank Corp. | 1.3% | |||
Wintrust Financial Corp. | 1.2% |
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 | June 30, 2014 |
As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2014 through June 30, 2014.
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 January 1, 2014 | Ending Account Value June 30, 2014 | 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 | $ | 998.40 | 1.24 | % | $ | 6.14 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,018.65 | 1.24 | % | $ | 6.21 | ||||||||||
SP International Growth (Class II) | Actual | $ | 1,000.00 | $ | 995.20 | 1.64 | % | $ | 8.11 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,016.66 | 1.64 | % | $ | 8.20 | ||||||||||
SP International Value (Class I) | Actual | $ | 1,000.00 | $ | 1,021.40 | 1.14 | % | $ | 5.71 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.14 | 1.14 | % | $ | 5.71 | ||||||||||
SP Prudential U.S. Emerging Growth (Class I) | Actual | $ | 1,000.00 | $ | 1,038.80 | 0.67 | % | $ | 3.39 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.47 | 0.67 | % | $ | 3.36 | ||||||||||
SP Prudential U.S. Emerging Growth (Class II) | Actual | $ | 1,000.00 | $ | 1,037.60 | 1.07 | % | $ | 5.41 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.49 | 1.07 | % | $ | 5.36 | ||||||||||
SP Small Cap Value (Class I) | Actual | $ | 1,000.00 | $ | 1,049.90 | 1.04 | % | $ | 5.29 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.64 | 1.04 | % | $ | 5.21 |
* 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 181 days in the six-month period ended June 30, 2014, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2014 (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 | June 30, 2014 (Unaudited) |
LONG-TERM INVESTMENTS — 98.5% | ||||||||
COMMON STOCKS — 97.6% | Shares | Value (Note 2) | ||||||
Australia — 0.7% | ||||||||
Brambles Ltd. | 33,735 | $ | 292,277 | |||||
CSL Ltd. | 5,543 | 347,951 | ||||||
640,228 | ||||||||
Austria — 0.4% | ||||||||
Andritz AG | 5,550 | 320,686 | ||||||
Belgium — 0.3% | ||||||||
Colruyt SA | 4,565 | 231,862 | ||||||
Brazil — 1.8% | ||||||||
Cielo SA | 43,300 | 892,652 | ||||||
Estacio Participacoes SA | 44,109 | 581,532 | ||||||
Kroton Educacional SA | 6,100 | 171,419 | ||||||
1,645,603 | ||||||||
Canada — 5.4% | ||||||||
Agrium, Inc. | 2,875 | 263,436 | ||||||
Alimentation Couche Tard, Inc. (Class B Stock) | 22,183 | 607,665 | ||||||
Bank of Nova Scotia | 5,703 | 380,218 | ||||||
Brookfield Asset Management, Inc. (Class A Stock) | 8,691 | 382,578 | ||||||
Canadian Pacific Railway Ltd. (NYSE) | 8,989 | 1,628,267 | ||||||
Canadian Pacific Railway Ltd. (XTSE) | 789 | 142,938 | ||||||
Cenovus Energy, Inc. | 9,434 | 305,817 | ||||||
CI Financial Corp. | 7,767 | 255,127 | ||||||
Shawcor Ltd. | 6,265 | 348,405 | ||||||
Suncor Energy, Inc. | 14,010 | 597,399 | ||||||
4,911,850 | ||||||||
China — 4.7% | ||||||||
Baidu, Inc., ADR* | 1,137 | 212,403 | ||||||
CIMC Enric Holdings Ltd. | 58,000 | 76,397 | ||||||
PICC Property & Casualty Co. Ltd. (Class H Stock) | 211,300 | 320,151 | ||||||
SouFun Holdings Ltd. , ADR | 8,215 | 80,425 | ||||||
Tencent Holdings Ltd. | 149,237 | 2,270,350 | ||||||
Tong Ren Tang Technologies Co. Ltd. (Class H Stock) | 173,078 | 252,827 | ||||||
Vipshop Holdings Ltd., ADS* | 5,503 | 1,033,133 | ||||||
4,245,686 | ||||||||
Denmark — 1.9% | ||||||||
Coloplast A/S (Class B Stock) | 3,736 | 338,052 | ||||||
Jyske Bank A/S* | 6,172 | 350,618 | ||||||
Novo Nordisk A/S (Class B Stock) | 23,264 | 1,073,703 | ||||||
1,762,373 | ||||||||
Finland — 0.4% | ||||||||
Sampo OYJ (Class A Stock) | 6,848 | 346,183 | ||||||
France — 5.2% | ||||||||
Arkema SA | 2,950 | 286,641 | ||||||
BNP Paribas SA | 7,662 | 520,700 | ||||||
Cap Gemini SA | 5,345 | 381,440 | ||||||
Pernod-Ricard SA | 1,500 | 180,181 | ||||||
Publicis Groupe SA | 4,920 | 417,002 | ||||||
Rexel SA | 19,670 | 460,035 | ||||||
Sanofi | 4,670 | 496,372 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
France (continued) | ||||||||
Schneider Electric SA | 4,845 | $ | 456,852 | |||||
Sodexo | 4,745 | 510,558 | ||||||
Total SA | 5,251 | 379,908 | ||||||
Valeo SA | 1,557 | 208,910 | ||||||
Vinci SA | 6,035 | 451,169 | ||||||
4,749,768 | ||||||||
Germany — 7.4% | ||||||||
Bayer AG | 11,733 | 1,655,212 | ||||||
Bayerische Motoren Werke AG | 2,699 | 341,774 | ||||||
Brenntag AG | 3,592 | 641,728 | ||||||
Continental AG | 7,732 | 1,787,722 | ||||||
Deutsche Boerse AG | 6,000 | 465,208 | ||||||
Linde AG | 1,940 | 412,242 | ||||||
Rational AG | 395 | 127,483 | ||||||
SAP AG, ADR(a) | 3,810 | 293,370 | ||||||
Wirecard AG | 23,353 | 1,007,165 | ||||||
6,731,904 | ||||||||
Hong Kong — 2.3% |
| |||||||
AIA Group Ltd. | 56,200 | 282,383 | ||||||
Galaxy Entertainment Group Ltd. | 69,921 | 558,842 | ||||||
Jardine Matheson Holdings Ltd. | 4,532 | 269,133 | ||||||
Sands China Ltd. | 133,500 | 1,007,616 | ||||||
2,117,974 | ||||||||
India — 0.6% | ||||||||
HDFC Bank Ltd., ADR | 3,979 | 186,297 | ||||||
Tata Motors Ltd., ADR | 8,958 | 349,899 | ||||||
536,196 | ||||||||
Indonesia — 0.7% | ||||||||
PT Bank Rakyat Indonesia Persero Tbk | 363,400 | 316,634 | ||||||
PT Tower Bersama Infrastructure Tbk | 215,335 | 146,221 | ||||||
PT Tower Bersama Infrastructure Tbk, 144A | 256,930 | 174,465 | ||||||
637,320 | ||||||||
Ireland — 0.9% | ||||||||
Shire PLC | 10,204 | 800,429 | ||||||
Israel — 1.1% | ||||||||
Bezeq Israeli Telecommunication Corp. Ltd. | 237,754 | 444,978 | ||||||
Check Point Software Technologies Ltd.*(a) | 8,800 | 589,864 | ||||||
1,034,842 | ||||||||
Italy — 6.5% | ||||||||
Anima Holding SpA* | 47,019 | 283,801 | ||||||
Anima Holding SpA, 144A* | 43,922 | 265,107 | ||||||
Azimut Holding SpA | 60,130 | 1,547,814 | ||||||
Brunello Cucinelli SpA | 15,979 | 362,748 | ||||||
Intesa Sanpaolo SpA | 128,199 | 395,536 | ||||||
Luxottica Group SpA | 18,460 | 1,068,940 | ||||||
Moncler SpA | 20,503 | 339,687 | ||||||
Moncler SpA 144A | 8,467 | 140,279 | ||||||
World Duty Free SpA* | 57,396 | 698,891 | ||||||
World Duty Free SpA, 144A* | 3,190 | 38,844 | ||||||
Yoox SpA* | 27,997 | 754,903 | ||||||
5,896,550 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A1
SP INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Japan — 12.4% | ||||||||
Astellas Pharma, Inc. | 25,100 | $ | 330,079 | |||||
Daikin Industries Ltd. | 4,600 | 290,319 | ||||||
Daito Trust Construction Co. Ltd. | 1,500 | 176,384 | ||||||
FANUC Corp. | 4,100 | 708,020 | ||||||
Fuji Heavy Industries Ltd. | 34,277 | 950,459 | ||||||
Hoya Corp. | 5,900 | 196,162 | ||||||
Kansai Paint Co. Ltd. | 34,600 | 578,314 | ||||||
Kao Corp. | 5,600 | 220,549 | ||||||
Keyence Corp. | 2,000 | 874,575 | ||||||
Lawson, Inc. | 4,000 | 300,230 | ||||||
Miraca Holdings, Inc. | 6,300 | 305,324 | ||||||
Murata Manufacturing Co. Ltd. | 10,143 | 951,217 | ||||||
ORIX Corp. | 22,500 | 373,068 | ||||||
Pigeon Corp. | 13,916 | 734,065 | ||||||
Santen Pharmaceutical Co. Ltd. | 6,100 | 343,644 | ||||||
Secom Co. Ltd. | 4,900 | 299,123 | ||||||
SMC Corp. | 3,100 | 830,681 | ||||||
SoftBank Corp. | 22,067 | 1,644,499 | ||||||
Start Today Co. Ltd. | 2,500 | 65,746 | ||||||
Sugi Holdings Co. Ltd. | 4,900 | 223,586 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 8,900 | 373,417 | ||||||
Toyota Motor Corp. | 8,800 | 526,879 | ||||||
11,296,340 | ||||||||
Macau — 0.3% | ||||||||
MGM China Holdings Ltd. | 77,200 | 267,739 | ||||||
Mexico — 1.3% | �� | |||||||
Alfa SAB de CV (Class A Stock) | 249,103 | 689,313 | ||||||
Alsea SAB de CV* | 123,594 | 444,419 | ||||||
Alsea SAB de CV, 144A* | 20,763 | 74,659 | ||||||
1,208,391 | ||||||||
Netherlands — 1.6% | ||||||||
Akzo Nobel NV | 5,570 | 417,634 | ||||||
ASML Holding NV | 5,030 | 469,105 | ||||||
Koninklijke Ahold NV | 17,870 | 335,082 | ||||||
NXP Semiconductors NV* | 3,592 | 237,719 | ||||||
1,459,540 | ||||||||
Norway — 0.6% | ||||||||
DnB ASA | 19,420 | 354,829 | ||||||
Telenor ASA | 9,984 | 227,320 | ||||||
582,149 | ||||||||
Philippines — 0.7% | ||||||||
Universal Robina Corp. | 170,347 | 602,077 | ||||||
Singapore — 0.2% | ||||||||
United Overseas Bank Ltd. | 11,400 | 206,143 | ||||||
South Africa — 1.6% | ||||||||
Aspen Pharmacare Holdings Ltd. | 31,430 | 883,751 | ||||||
Aspen Pharmacare Holdings Ltd., 144A | 2,865 | 80,558 | ||||||
Bidvest Group Ltd. | 8,597 | 228,478 | ||||||
Discovery Ltd. | 30,066 | 274,701 | ||||||
1,467,488 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
South Korea — 2.3% | ||||||||
NAVER Corp. | 1,557 | $ | 1,282,913 | |||||
Samsung Electronics Co. Ltd. | 609 | 795,323 | ||||||
2,078,236 | ||||||||
Spain — 2.1% | ||||||||
Amadeus IT Holding SA (Class A Stock) | 6,287 | 259,171 | ||||||
Inditex SA | 10,111 | 1,556,132 | ||||||
Mapfre SA | 29,354 | 116,961 | ||||||
1,932,264 | ||||||||
Sweden — 2.5% | ||||||||
Assa Abloy AB (Class B Stock) | 16,437 | 836,083 | ||||||
Elekta AB (Class B Stock)(a) | 11,185 | 142,060 | ||||||
Hexagon AB (Class B Stock) | 18,246 | 587,866 | ||||||
Nordea Bank AB | 23,865 | 336,447 | ||||||
Telefonaktiebolaget LM Ericsson (Class B Stock) | 34,330 | 414,732 | ||||||
2,317,188 | ||||||||
Switzerland — 9.6% | ||||||||
Actelion Ltd.* | 2,755 | 348,700 | ||||||
Adecco SA* | 2,233 | 183,762 | ||||||
Cie Financiere Richemont SA | 8,266 | 866,188 | ||||||
Geberit AG | 986 | 345,883 | ||||||
Givaudan SA* | 408 | 679,698 | ||||||
Julius Baer Group Ltd.* | 5,890 | 242,664 | ||||||
Novartis AG | 5,805 | 525,691 | ||||||
Partners Group Holding AG | 2,122 | 579,720 | ||||||
Roche Holding AG | 9,290 | 2,768,019 | ||||||
SGS SA | 245 | 586,267 | ||||||
Sika AG | 190 | 776,265 | ||||||
Sonova Holding AG | 1,905 | 290,441 | ||||||
Sulzer AG | 2,131 | 298,620 | ||||||
UBS AG* | 13,350 | 244,766 | ||||||
8,736,684 | ||||||||
Taiwan — 0.4% | ||||||||
MediaTek, Inc. | 19,000 | 321,391 | ||||||
Thailand — 0.8% | ||||||||
CP ALL PCL | 464,778 | 687,393 | ||||||
United Kingdom — 14.9% | ||||||||
Amlin PLC | 59,214 | 473,951 | ||||||
ARM Holdings PLC | 67,600 | 1,016,488 | ||||||
Ashtead Group PLC | 77,257 | 1,155,753 | ||||||
Babcock International Group PLC | 16,684 | 331,625 | ||||||
Berkeley Group Holdings PLC | 4,889 | 202,071 | ||||||
BG Group PLC | 11,519 | 243,065 | ||||||
Bunzl PLC | 19,307 | 535,989 | ||||||
Burberry Group PLC | 42,378 | 1,075,592 | ||||||
Capita PLC | 17,535 | 343,531 | ||||||
Compass Group PLC* | 31,050 | 539,846 | ||||||
Hargreaves Lansdown PLC | 41,330 | 875,011 | ||||||
Howden Joinery Group PLC | 49,735 | 263,549 | ||||||
IMI PLC | 7,892 | 200,672 | ||||||
InterContinental Hotels Group PLC | 6,610 | 273,463 | ||||||
Johnson Matthey PLC | 5,344 | 283,367 | ||||||
Jupiter Fund Management PLC | 26,976 | 184,246 |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
SP INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
United Kingdom (continued) | ||||||||
Just Eat PLC* | 19,545 | $ | 85,295 | |||||
Just Eat PLC, 144A* | 74,390 | 324,642 | ||||||
Prudential PLC | 15,470 | 354,438 | ||||||
Reed Elsevier PLC | 32,400 | 520,662 | ||||||
SABMiller PLC | 17,802 | 1,031,710 | ||||||
Sports Direct International PLC* | 7,891 | 95,354 | ||||||
Sports Direct International PLC, 144A* | 35,093 | 424,061 | ||||||
St. James’s Place PLC | 141,718 | 1,846,248 | ||||||
TalkTalk Telecom Group PLC | 70,710 | 393,895 | ||||||
Travis Perkins PLC | 9,346 | 261,737 | ||||||
Tullow Oil PLC | 14,253 | 207,932 | ||||||
13,544,193 | ||||||||
United States — 6.0% | ||||||||
AON PLC | 4,825 | 434,684 | ||||||
Jazz Pharmaceuticals PLC* | 7,596 | 1,116,688 | ||||||
Michael Kors Holdings Ltd.* | 16,503 | 1,462,991 | ||||||
Nielsen NV | 7,785 | 376,872 | ||||||
Schlumberger Ltd. | 9,416 | 1,110,617 | ||||||
Stratasys Ltd.* | 7,976 | 906,313 | ||||||
5,408,165 | ||||||||
TOTAL COMMON STOCKS |
| 88,724,835 | ||||||
PREFERRED STOCKS — 0.9% | ||||||||
Germany | ||||||||
Henkel AG & Co. KGaA (PRFC) | 3,615 | 417,649 | ||||||
Volkswagen AG (PRFC) | 1,470 | 385,018 | ||||||
TOTAL PREFERRED STOCKS |
| 802,667 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 89,527,502 | ||||||
SHORT-TERM INVESTMENT — 2.1% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $1,895,044; includes $1,012,384 of cash collateral for securities on loan)(b)(c)(Note 4) | 1,895,044 | 1,895,044 | ||||||
TOTAL INVESTMENTS —100.6% |
| 91,422,546 | ||||||
LIABILITIES IN EXCESS OF |
| (534,472 | ) | |||||
NET ASSETS — 100.0% |
| $ | 90,888,074 | |||||
The following abbreviations are used in the Portfolio descriptions:
144A | Security was purchased 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 | |
ADS | American Depositary Security | |
NYSE | New York Stock Exchange | |
PRFC | Preference Shares | |
XTSE | Toronto Stock Exchange |
* | Non-income producing security. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is |
$991,165; cash collateral of $1,012,384 (included in liabilities) was received with which the Fund purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
(c) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | 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 June 30, 2014 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
| |||||||||||
Common Stocks | ||||||||||||
Australia | $ | — | $ | 640,228 | $ | — | ||||||
Austria | — | 320,686 | — | |||||||||
Belgium | — | 231,862 | — | |||||||||
Brazil | 1,645,603 | — | — | |||||||||
Canada | 4,911,850 | — | — | |||||||||
China | 1,325,961 | 2,919,725 | — | |||||||||
Denmark | — | 1,762,373 | — | |||||||||
Finland | — | 346,183 | — | |||||||||
France | 460,035 | 4,289,733 | — | |||||||||
Germany | 293,370 | 6,438,534 | — | |||||||||
Hong Kong | 269,133 | 1,848,841 | — | |||||||||
India | 536,196 | — | — | |||||||||
Indonesia | 146,221 | 491,099 | — | |||||||||
Ireland | — | 800,429 | — | |||||||||
Israel | 589,864 | 444,978 | — | |||||||||
Italy | 283,801 | 5,612,749 | — | |||||||||
Japan | — | 11,296,340 | — | |||||||||
Macau | — | 267,739 | — | |||||||||
Mexico | 1,133,732 | 74,659 | — | |||||||||
Netherlands | 237,719 | 1,221,821 | — | |||||||||
Norway | — | 582,149 | — | |||||||||
Philippines | — | 602,077 | — | |||||||||
Singapore | — | 206,143 | — | |||||||||
South Africa | — | 1,467,488 | — | |||||||||
South Korea | — | 2,078,236 | — | |||||||||
Spain | — | 1,932,264 | — | |||||||||
Sweden | — | 2,317,188 | — | |||||||||
Switzerland | — | 8,736,684 | — | |||||||||
Taiwan | — | 321,391 | — | |||||||||
Thailand | 687,393 | — | — | |||||||||
United Kingdom | 479,190 | 13,065,003 | — | |||||||||
United States | 5,408,165 | — | — | |||||||||
Preferred Stocks |
| |||||||||||
Germany | — | 802,667 | — | |||||||||
Affiliated Money Market Mutual Fund | 1,895,044 | — | — | |||||||||
Total | $ | 20,303,277 | $ | 71,119,269 | $ | — | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A3
SP INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Fair Value of Level 2 investments at 12/31/13 was $78,768,427. An amount of $2,041,976 was transferred from Level 1 into Level 2 at 06/30/14 as a result of fair valuing such foreign securities using third party vendor modeling tools. Such fair values are used to reflect the impact of significant market movements between the time at which the Portfolio normally 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 the period.
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2014 was as follows:
Pharmaceuticals | 11.5 | % | ||
Textiles, Apparel & Luxury Goods | 6.0 | |||
Capital Markets | 5.0 | |||
Insurance | 4.9 | |||
Internet Software & Services | 4.6 | |||
Hotels, Restaurants & Leisure | 4.1 | |||
Chemicals | 4.0 | |||
Banks | 3.7 | |||
Specialty Retail | 3.4 | |||
Trading Companies & Distributors | 3.4 | |||
Semiconductors & Semiconductor Equipment | 3.2 | |||
Automobiles | 2.8 | |||
Food & Staples Retailing | 2.8 | |||
IT Services | 2.8 | |||
Machinery | 2.8 | |||
Auto Components | 2.2 | |||
Wireless Telecommunication Services | 2.2 | |||
Affiliated Money Market Mutual Fund (including 1.1% of collateral for securities on loan) | 2.1 | |||
Internet & Catalog Retail | 2.0 | |||
Road & Rail | 2.0 | |||
Electronic Equipment, Instruments & Components | 1.8 | |||
Oil, Gas & Consumable Fuels | 1.8 | |||
Building Products | 1.6 | |||
Energy Equipment & Services | 1.6 | |||
Professional Services | 1.6 |
Beverages | 1.3 | % | ||
Household Products | 1.3 | |||
Industrial Conglomerates | 1.2 | |||
Diversified Telecommunication Services | 1.1 | |||
Electronic Equipment, Instruments & Components | 1.1 | |||
Media | 1.1 | |||
Commercial Services & Supplies | 1.0 | |||
Technology Hardware, Storage & Peripherals | 1.0 | |||
Diversified Financial Services | 0.9 | |||
Software | 0.9 | |||
Biotechnology | 0.8 | |||
Diversified Consumer Services | 0.8 | |||
Health Care Equipment & Supplies | 0.8 | |||
Food Products | 0.7 | |||
Real Estate Management & Development | 0.6 | |||
Construction & Engineering | 0.5 | |||
Electrical Equipment | 0.5 | |||
Communications Equipment | 0.4 | |||
Healthcare Providers & Services | 0.3 | |||
Household Durables | 0.2 | |||
Personal Products | 0.2 | |||
100.6 | ||||
Liabilities in excess of other assets | (0.6 | ) | ||
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.
The Portfolio did not hold any derivative instruments as of June 30, 2014, accordingly, no derivative positions were presented in the Statement of Assets and Liabilities.
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2014 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 | $ | — | $ | 1,201 | $ | 1,201 | ||||||
Equity contracts | 113 | — | 113 | |||||||||
Total | $ | 113 | $ | 1,201 | $ | 1,314 | ||||||
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 six months ended June 30, 2014, the Portfolio’s average value at settlement date receivable for forward foreign currency exchange sale contracts was $62,695.
SEE NOTES TO FINANCIAL STATEMENTS.
A4
SP INTERNATIONAL GROWTH PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
as of June 30, 2014
ASSETS | ||||
Investments at value, including securities on loan of $991,165: | ||||
Unaffiliated investments (cost $74,401,846) | $ | 89,527,502 | ||
Affiliated investments (cost $1,895,044) | 1,895,044 | |||
Foreign currency, at value (cost $214,206) | 216,260 | |||
Receivable for investments sold | 1,144,761 | |||
Tax reclaim receivable | 425,297 | |||
Dividends and interest receivable | 121,088 | |||
Receivable for Series shares sold | 5,902 | |||
Prepaid expenses | 126 | |||
Total Assets | 93,335,980 | |||
LIABILITIES | ||||
Payable for investments purchased | 1,226,241 | |||
Payable to broker for collateral for securities on loan | 1,012,384 | |||
Accrued expenses | 132,517 | |||
Management fee payable | 62,362 | |||
Payable for Series shares reacquired | 10,430 | |||
Distribution fee payable | 1,673 | |||
Administration fee payable | 1,373 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 2,447,906 | |||
NET ASSETS | $ | 90,888,074 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 108,926,289 | ||
Retained earnings | (18,038,215 | ) | ||
Net assets, June 30, 2014 | $ | 90,888,074 | ||
Class I: | ||||
Net asset value and redemption price per share $82,769,011 / 13,162,503 outstanding shares of beneficial interest | $ | 6.29 | ||
Class II: | ||||
Net asset value and redemption price per share $8,119,063 / 1,313,078 outstanding shares of beneficial interest | $ | 6.18 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2014
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of $139,422 foreign withholding tax) | $ | 1,118,278 | ||
Affiliated income from securities lending, net | 5,735 | |||
Affiliated dividend income | 1,011 | |||
Interest income | 18 | |||
Total income | 1,125,042 | |||
EXPENSES | ||||
Management fee | 384,501 | |||
Distribution fee-Class II | 10,491 | |||
Administration fee—Class II | 6,294 | |||
Custodian’s fees and expenses | 100,000 | |||
Reports to shareholders | 28,000 | |||
Audit fee | 13,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Trustees’ fees | 6,000 | |||
Legal fees and expenses | 5,000 | |||
Insurance fees | 1,000 | |||
Interest expense | 97 | |||
Miscellaneous | 20,539 | |||
Total expenses | 580,922 | |||
Less: Management fee waiver | (5,196 | ) | ||
Net expenses | 575,726 | |||
NET INVESTMENT INCOME | 549,316 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 3,507,604 | |||
Foreign currency transactions | (23,452 | ) | ||
3,484,152 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (4,417,684 | ) | ||
Foreign currencies | 4,314 | |||
(4,413,370 | ) | |||
NET LOSS ON INVESTMENTS AND FOREIGN CURRENCIES | (929,218 | ) | ||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (379,902 | ) | |
STATEMENT OF CHANGES IN NET ASSETS (Unaudited)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 549,316 | $ | 300,660 | ||||
Net realized gain on investment and foreign currency transactions | 3,484,152 | 10,287,070 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (4,413,370 | ) | 5,250,619 | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (379,902 | ) | 15,838,349 | |||||
SERIES SHARE TRANSACTIONS (NOTE 7) | ||||||||
Series shares sold | 2,464,148 | 6,792,290 | ||||||
Series shares repurchased | (7,189,637 | ) | (16,145,802 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (4,725,489 | ) | (9,353,512 | ) | ||||
TOTAL INCREASE (DECREASE) | (5,105,391 | ) | 6,484,837 | |||||
NET ASSETS: | ||||||||
Beginning of period | 95,993,465 | 89,508,628 | ||||||
End of period | $ | 90,888,074 | $ | 95,993,465 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A5
SP INTERNATIONAL VALUE PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
LONG-TERM INVESTMENTS — 146.6% | ||||||||
COMMON STOCKS — 146.6% | Shares | Value (Note 2) | ||||||
Australia — 5.1% | ||||||||
Arrium Ltd. | 269,600 | $ | 202,800 | |||||
Ausdrill Ltd. | 62,500 | 50,375 | ||||||
Bendigo & Adelaide Bank Ltd. | 32,600 | 375,061 | ||||||
Challenger Ltd. | 123,500 | 866,313 | ||||||
Downer EDI Ltd. | 101,900 | 434,882 | ||||||
Emeco Holdings Ltd.* | 42,830 | 8,076 | ||||||
Fortescue Metals Group Ltd. | 50,000 | 206,508 | ||||||
GrainCorp Ltd. (Class A Stock) | 19,700 | 155,963 | ||||||
Leighton Holdings Ltd. | 4,313 | 80,082 | ||||||
Lend Lease Group | 51,500 | 636,669 | ||||||
Mineral Resources Ltd. | 25,100 | 227,182 | ||||||
National Australia Bank Ltd. | 17,500 | 540,904 | ||||||
Pacific Brands Ltd. | 502,100 | 258,240 | ||||||
Primary Health Care Ltd. | 24,100 | 103,063 | ||||||
Rio Tinto Ltd. | 6,000 | 336,600 | ||||||
Toll Holdings Ltd. | 82,500 | 397,039 | ||||||
4,879,757 | ||||||||
Austria — 1.0% | ||||||||
OMV AG | 15,300 | 691,178 | ||||||
Voestalpine AG | 6,500 | 309,875 | ||||||
1,001,053 | ||||||||
Belgium — 1.8% | ||||||||
AGFA-Gevaert NV* | 84,400 | 247,202 | ||||||
Anheuser-Busch InBev NV | 8,719 | 1,001,816 | ||||||
Delhaize Group SA | 7,300 | 493,971 | ||||||
1,742,989 | ||||||||
Brazil — 0.3% | ||||||||
Embraer SA, ADR | 8,258 | 300,839 | ||||||
Canada — 1.0% | ||||||||
Canadian National Railway Co. | 14,439 | 939,100 | ||||||
China — 3.7% | ||||||||
Baidu, Inc., ADR* | 4,846 | 905,281 | ||||||
China Mobile Ltd. | 121,980 | 1,184,760 | ||||||
Industrial & Commercial Bank of China Ltd. (Class H Stock) | 1,200,715 | 759,254 | ||||||
Tencent Holdings Ltd. | 45,354 | 689,973 | ||||||
3,539,268 | ||||||||
Denmark — 2.0% | ||||||||
A.P. Moeller – Maersk A/S (Class B Stock) | 100 | 248,628 | ||||||
Novo Nordisk A/S (Class B Stock) | 35,868 | 1,655,415 | ||||||
1,904,043 | ||||||||
Finland — 1.4% | ||||||||
Kone OYJ (Class B Stock) | 16,151 | 673,433 | ||||||
Tieto OYJ | 21,500 | 635,881 | ||||||
1,309,314 | ||||||||
France — 16.5% | ||||||||
Accor SA | 14,990 | 779,113 | ||||||
Air Liquide SA | 5,206 | 703,481 | ||||||
Alstom SA | 16,300 | 591,973 | ||||||
AXA SA | 19,800 | 473,088 | ||||||
BNP Paribas SA | 8,300 | 564,058 | ||||||
Cie Generale des Etablissements Michelin (Class B Stock) | 12,049 | 1,438,678 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
France (continued) | ||||||||
CNP Assurances SA | 10,800 | $ | 224,153 | |||||
Credit Agricole SA | 53,627 | 757,152 | ||||||
Electricite de France SA | 5,800 | 182,630 | ||||||
LVMH Moet Hennessy Louis Vuitton SA | 8,200 | 1,582,345 | ||||||
Publicis Groupe SA | 15,482 | 1,312,199 | ||||||
Renault SA | 5,700 | 515,250 | ||||||
Sanofi | 9,600 | 1,020,380 | ||||||
SCOR SE | 13,800 | 475,175 | ||||||
Societe Generale SA | 9,318 | 488,661 | ||||||
Thales SA | 9,700 | 586,505 | ||||||
Total SA | 42,380 | 3,066,181 | ||||||
Valeo SA | 6,500 | 872,135 | ||||||
Vivendi SA* | 10,400 | 254,504 | ||||||
15,887,661 | ||||||||
Germany — 11.4% | ||||||||
Adidas AG | 9,992 | 1,010,353 | ||||||
Allianz SE | 6,900 | 1,151,706 | ||||||
BASF SE | 7,800 | 907,324 | ||||||
Continental AG | 2,600 | 601,148 | ||||||
Daimler AG | 9,900 | 924,805 | ||||||
Deutsche Bank AG | 27,497 | 966,382 | ||||||
E.ON SE | 12,200 | 251,510 | ||||||
Freenet AG | 13,900 | 441,426 | ||||||
Fresenius Medical Care AG & Co. KGaA | 15,324 | 1,031,019 | ||||||
Hannover Rueck SE | 6,900 | 621,356 | ||||||
Muenchener Rueckversicherungs AG | 2,400 | 531,476 | ||||||
Rheinmetall AG | 7,400 | 523,278 | ||||||
RWE AG | 6,300 | 270,195 | ||||||
SAP SE | 6,248 | 481,438 | ||||||
Stada Arzneimittel AG | 4,800 | 228,004 | ||||||
Volkswagen AG | 3,900 | 1,005,844 | ||||||
10,947,264 | ||||||||
Hong Kong — 4.9% | ||||||||
AIA Group Ltd. | 266,476 | 1,338,939 | ||||||
Cheung Kong Holdings Ltd. | 15,000 | 266,125 | ||||||
First Pacific Co. Ltd. | 246,000 | 274,602 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 46,501 | 866,875 | ||||||
Huabao International Holdings Ltd. | 774,000 | 458,364 | ||||||
Kingboard Chemical Holdings Ltd. | 144,000 | 296,888 | ||||||
Sands China Ltd. | 135,319 | 1,021,346 | ||||||
Skyworth Digital Holdings Ltd. | 472,000 | 225,344 | ||||||
4,748,483 | ||||||||
Ireland — 0.6% | ||||||||
Permanent TSB Group Holdings PLC* | 45,500 | 4,797 | ||||||
Smurfit Kappa Group PLC | 23,000 | 526,424 | ||||||
531,221 | ||||||||
Israel — 1.5% | ||||||||
Bank Hapoalim BM | 73,200 | 422,802 | ||||||
Elbit Systems Ltd. | 6,900 | 424,459 | ||||||
Teva Pharmaceutical Industries Ltd. | 11,300 | 593,622 | ||||||
1,440,883 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A6
SP INTERNATIONAL VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Italy — 3.1% | ||||||||
Enel SpA | 132,800 | $ | 772,450 | |||||
Eni SpA | 38,600 | 1,055,698 | ||||||
Intesa Sanpaolo SpA | 268,097 | 827,167 | ||||||
Telecom Italia SpA* | 219,700 | 278,075 | ||||||
2,933,390 | ||||||||
Japan — 25.4% | ||||||||
Aoyama Trading Co. Ltd. | 18,500 | 506,628 | ||||||
Aozora Bank Ltd. | 104,000 | 341,931 | ||||||
FANUC Corp. | 5,453 | 941,667 | ||||||
Fukuoka Financial Group, Inc. | 77,000 | 371,915 | ||||||
Fuyo General Lease Co. Ltd. | 9,200 | 411,408 | ||||||
Hogy Medical Co. Ltd | 7,600 | 412,110 | ||||||
Japan Tobacco, Inc. | 24,324 | 886,904 | ||||||
JX Holdings, Inc. | 60,600 | 324,284 | ||||||
KDDI Corp. | 10,500 | 640,643 | ||||||
Keihin Corp. | 11,700 | 186,045 | ||||||
Keiyo Bank Ltd. (The) | 55,000 | 279,250 | ||||||
Kubota Corp. | 90,477 | 1,283,895 | ||||||
KYORIN Holdings, Inc. | 19,900 | 409,481 | ||||||
Kyowa Exeo Corp. | 41,600 | 592,951 | ||||||
Marubeni Corp. | 79,000 | 578,199 | ||||||
Miraca Holdings, Inc. | 4,900 | 237,474 | ||||||
Mitsubishi Corp. | 8,900 | 185,248 | ||||||
Mitsubishi Estate Co. Ltd. | 33,282 | 822,249 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 245,445 | 1,506,717 | ||||||
Mitsui & Co. Ltd. | 30,900 | 495,378 | ||||||
Mizuho Financial Group, Inc. | 287,900 | 591,780 | ||||||
Nichii Gakkan Co. | 18,300 | 164,632 | ||||||
Nippon Telegraph & Telephone Corp. | 15,500 | 966,082 | ||||||
NTT DoCoMo, Inc. | 40,000 | 682,832 | ||||||
Otsuka Holdings Co. Ltd. | 18,000 | 558,182 | ||||||
Paramount Bed Holdings Co. Ltd. | 11,300 | 356,889 | ||||||
Resona Holdings, Inc. | 104,100 | 606,626 | ||||||
Sankyu, Inc. | 91,000 | 460,969 | ||||||
Seino Holdings Co. Ltd. | 36,000 | 408,876 | ||||||
Shimachu Co. Ltd. | 17,400 | 415,815 | ||||||
Shizuoka Gas Co. Ltd. | 38,100 | 261,151 | ||||||
Sky Perfect JSAT Holdings, Inc. | 23,300 | 136,628 | ||||||
SoftBank Corp. | 10,327 | 769,599 | ||||||
Sumitomo Corp. | 38,400 | 518,137 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 18,800 | 788,790 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 226,825 | 1,036,703 | ||||||
Toagosei Co. Ltd. | 82,000 | 369,207 | ||||||
Toho Holdings Co. Ltd. | 11,900 | 240,050 | ||||||
Toppan Forms Co. Ltd. | 50,100 | 503,561 | ||||||
Toyota Motor Corp. | 32,629 | 1,953,584 | ||||||
Tsumura & Co. | 4,900 | 115,621 | ||||||
Tsuruha Holdings, Inc. | 2,600 | 143,477 | ||||||
West Japan Railway Co. | 12,300 | 541,821 | ||||||
Yokohama Rubber Co. Ltd. (The) | 46,700 | 404,265 | ||||||
24,409,654 | ||||||||
Liechtenstein — 0.2% | ||||||||
VP Bank AG | 2,300 | 206,061 | ||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Netherlands — 7.3% | ||||||||
Aegon NV | 25,600 | $ | 223,320 | |||||
ASML Holding NV | 10,634 | 991,742 | ||||||
ING Groep NV, CVA* | 147,664 | 2,072,093 | ||||||
Koninklijke Ahold NV | 44,215 | 829,080 | ||||||
Koninklijke Philips NV | 13,299 | 422,088 | ||||||
Royal Dutch Shell PLC (Class B Stock) | 56,300 | 2,446,792 | ||||||
6,985,115 | ||||||||
New Zealand — 0.6% | ||||||||
Air New Zealand Ltd. | 335,700 | 611,243 | ||||||
Norway — 2.1% | ||||||||
DNB ASA | 29,200 | 533,522 | ||||||
Marine Harvest ASA | 26,400 | 360,244 | ||||||
Statoil ASA | 17,200 | 528,708 | ||||||
Yara International ASA | 12,500 | 626,238 | ||||||
2,048,712 | ||||||||
Singapore — 0.6% | ||||||||
DBS Group Holdings Ltd. | 41,000 | 551,437 | ||||||
Spain — 4.0% | ||||||||
Amadeus IT Holding SA (Class A Stock) | 19,389 | 799,278 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 85,110 | 1,084,763 | ||||||
Banco Santander SA | 78,705 | 822,409 | ||||||
Gas Natural SDG SA | 14,400 | 454,943 | ||||||
Repsol SA | 27,200 | 717,174 | ||||||
3,878,567 | ||||||||
Sweden — 4.0% | ||||||||
Boliden AB | 29,900 | 433,780 | ||||||
Hennes & Mauritz AB (Class B Stock) | 21,655 | 945,454 | ||||||
NCC AB (Class B Stock) | 3,300 | 113,583 | ||||||
Nordea Bank AB | 28,700 | 404,611 | ||||||
Oriflame Cosmetics SA, SDR | 6,300 | 146,809 | ||||||
Securitas AB (Class B Stock) | 34,700 | 411,446 | ||||||
Svenska Cellulosa AB SCA (Class B Stock) | 18,779 | 489,078 | ||||||
Telefonaktiebolaget LM Ericsson (Class B Stock) | 32,700 | 395,041 | ||||||
TeliaSonera AB | 71,700 | 523,552 | ||||||
3,863,354 | ||||||||
Switzerland — 13.4% | ||||||||
Baloise Holding AG | 6,800 | 800,679 | ||||||
Credit Suisse Group AG* | 17,517 | 498,174 | ||||||
Georg Fischer AG* | 500 | 357,868 | ||||||
Helvetia Holding AG | 400 | 183,648 | ||||||
Holcim Ltd.* | 5,956 | 523,160 | ||||||
Julius Baer Group Ltd.* | 17,250 | 710,689 | ||||||
Lonza Group AG* | 3,300 | 358,870 | ||||||
Nestle SA | 23,370 | 1,810,870 | ||||||
Novartis AG | 30,284 | 2,742,470 | ||||||
Roche Holding AG | 5,277 | 1,572,319 | ||||||
Swiss Life Holding AG* | 2,100 | 497,788 | ||||||
Swiss Re AG* | 9,900 | 880,280 | ||||||
UBS AG* | 65,033 | 1,192,349 | ||||||
Zurich Insurance Group AG* | 2,400 | 722,847 | ||||||
12,852,011 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A7
SP INTERNATIONAL VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Taiwan — 1.1% | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 51,521 | $ | 1,102,034 | |||||
United Kingdom — 26.1% | ||||||||
Alent PLC | 21,700 | 135,996 | ||||||
AMEC PLC | 12,500 | 259,559 | ||||||
Anglo American PLC | 24,200 | 593,100 | ||||||
AstraZeneca PLC | 24,200 | 1,800,414 | ||||||
Aviva PLC | 177,112 | 1,545,256 | ||||||
BAE Systems PLC | 157,100 | 1,163,592 | ||||||
Barclays PLC | 87,400 | 318,377 | ||||||
Beazley PLC | 111,100 | 480,796 | ||||||
BP PLC | 168,600 | 1,484,671 | ||||||
BT Group PLC | 225,729 | 1,483,272 | ||||||
Burberry Group PLC | 28,204 | 715,843 | ||||||
Carillion PLC | 65,500 | 371,180 | ||||||
Centrica PLC | 63,800 | 340,922 | ||||||
Compass Group PLC | 42,985 | 747,352 | ||||||
Dairy Crest Group PLC | 40,400 | 325,016 | ||||||
Experian PLC | 68,209 | 1,152,396 | ||||||
GlaxoSmithKline PLC | 7,700 | 205,013 | ||||||
Home Retail Group PLC | 49,500 | 149,567 | ||||||
HSBC Holdings PLC, (XHKG) | 45,416 | 461,868 | ||||||
HSBC Holdings PLC, (XLON) | 36,900 | 374,351 | ||||||
J. Sainsbury PLC | 135,800 | 733,039 | ||||||
Kingfisher PLC | 217,513 | 1,335,283 | ||||||
Legal & General Group PLC | 99,100 | 381,781 | ||||||
Liberty Global PLC (Class C Stock)* | 22,020 | 931,666 | ||||||
Marston’s PLC | 86,500 | 214,503 | ||||||
Mondi PLC | 11,800 | 214,227 | ||||||
Old Mutual PLC | 178,500 | 603,231 | ||||||
Pearson PLC | 33,860 | 668,716 | ||||||
Petrofac Ltd. | 5,500 | 113,133 | ||||||
Reckitt Benckiser Group PLC | 18,503 | 1,613,364 | ||||||
Rolls-Royce Holdings PLC* | 6,344 | 115,909 | ||||||
RSA Insurance Group PLC | 4,660 | 37,866 | ||||||
SABMiller PLC | 17,500 | 1,014,207 | ||||||
Standard Chartered PLC | 36,957 | 755,400 | ||||||
Tesco PLC | 136,000 | 660,982 | ||||||
Tullett Prebon PLC | 57,600 | 260,841 | ||||||
Vesuvius PLC | 51,200 | 401,449 | ||||||
WM Morrison Supermarkets PLC | 146,400 | 459,147 | ||||||
WPP PLC | 23,980 | 522,567 | ||||||
25,145,852 | ||||||||
United States — 7.5% | ||||||||
Accenture PLC (Class A Stock) | 13,410 | 1,084,065 | ||||||
Actavis PLC* | 5,875 | 1,310,419 | ||||||
Carnival PLC | 22,996 | 868,962 | ||||||
Ensco PLC (Class A Stock) | 11,274 | 626,496 | ||||||
Lululemon Athletica, Inc.* | 17,223 | 697,187 | ||||||
MasterCard, Inc. (Class A Stock) | 13,488 | 990,963 | ||||||
Schlumberger Ltd. | 8,195 | 966,600 | ||||||
Yum! Brands, Inc. | 8,132 | 660,318 | ||||||
7,205,010 | ||||||||
TOTAL COMMON STOCKS |
| 140,964,315 | ||||||
PREFERRED STOCK | Shares | Value (Note 2) | ||||||
United Kingdom | ||||||||
Rolls-Royce Holdings PLC (PRFC C)*(a) | 4,860,046 | $ | 8,317 | |||||
TOTAL LONG-TERM INVESTMENTS |
| 140,972,632 | ||||||
SHORT-TERM INVESTMENT — 2.4% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $2,299,727)(Note 4)(b) | 2,299,727 | 2,299,727 | ||||||
TOTAL INVESTMENTS — 149.0% |
| 143,272,359 | ||||||
LIABILITIES IN EXCESS OF |
| (47,085,072 | ) | |||||
NET ASSETS — 100.0% |
| $ | 96,187,287 | |||||
The following abbreviations are used in the Portfolio descriptions:
ADR | American Depositary Receipt | |
CVA | Certificate Van Aandelen (Bearer) | |
PRFC | Preference Shares | |
SDR | Swedish Depositary Receipt | |
XHKG | Hong Kong Stock Exchange | |
XLON | London Stock Exchange | |
EUR | Euro | |
JPY | Japanese Yen |
* | Non-income producing security. |
(a) | Indicates a security or securities that have been deemed illiquid. |
(b) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
(c) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
SEE NOTES TO FINANCIAL STATEMENTS.
A8
SP INTERNATIONAL VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Forward foreign currency exchange contracts outstanding at June 30, 2014:
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date Payable | Current Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Japanese Yen, | ||||||||||||||||||||
Expiring 07/07/14 | State Street Bank | JPY | 410,129 | $ | 4,050,661 | $ | 4,048,694 | $ | (1,967 | ) | ||||||||||
Expiring 07/07/14 | State Street Bank | JPY | 135,098 | 1,335,735 | 1,333,649 | (2,086 | ) | |||||||||||||
Expiring 07/07/14 | State Street Bank | JPY | 90,008 | 887,439 | 888,532 | 1,093 | ||||||||||||||
$ | 6,273,835 | $ | 6,270,875 | $ | (2,960 | ) | ||||||||||||||
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date Receivable | Current Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Euro, | ||||||||||||||||||||
Expiring 10/28/14 | State Street Bank | EUR | 3,042 | $ | 4,200,130 | $ | 4,166,820 | $ | 33,310 | |||||||||||
Japanese Yen, | ||||||||||||||||||||
Expiring 07/07/14 | State Street Bank | JPY | 635,235 | 6,064,987 | 6,270,875 | (205,888 | ) | |||||||||||||
Expiring 10/02/14 | State Street Bank | JPY | 435,326 | 4,301,855 | 4,300,182 | 1,673 | ||||||||||||||
$ | 14,566,972 | $ | 14,737,877 | $ | (170,905 | ) | ||||||||||||||
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 June 30, 2014 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Australia | $ | — | $ | 4,879,757 | $ | — | ||||||
Austria | — | 1,001,053 | — | |||||||||
Belgium | 247,202 | 1,495,787 | — | |||||||||
Brazil | 300,839 | — | — | |||||||||
Canada | 939,100 | — | — | |||||||||
China | 905,281 | 2,633,987 | — | |||||||||
Denmark | — | 1,904,043 | — | |||||||||
Finland | — | 1,309,314 | — | |||||||||
France | — | 15,887,661 | — | |||||||||
Germany | — | 10,947,264 | — | |||||||||
Hong Kong | — | 4,748,483 | — | |||||||||
Ireland | 4,797 | 526,424 | — | |||||||||
Israel | — | 1,440,883 | — | |||||||||
Italy | — | 2,933,390 | — | |||||||||
Japan | — | 24,409,654 | — | |||||||||
Liechtenstein | 206,061 | — | — | |||||||||
Netherlands | — | 6,985,115 | — | |||||||||
New Zealand | — | 611,243 | — | |||||||||
Norway | 626,238 | 1,422,474 | — | |||||||||
Singapore | — | 551,437 | — | |||||||||
Spain | — | 3,878,567 | — | |||||||||
Sweden | 146,809 | 3,716,545 | — | |||||||||
Switzerland | — | 12,852,011 | — | |||||||||
Taiwan | 1,102,034 | — | — | |||||||||
United Kingdom | 1,988,747 | 23,157,105 | — | |||||||||
United States | 7,205,010 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A9
SP INTERNATIONAL VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Preferred Stock | ||||||||||||
United Kingdom | $ | — | $ | 8,317 | $ | — | ||||||
Affiliated Money Market Mutual Fund | 2,299,727 | — | — | |||||||||
Other Financial Instruments* |
| |||||||||||
Forward Foreign Currency Exchange Contracts | — | (173,865 | ) | — | ||||||||
Total | $ | 15,971,845 | $ | 127,126,649 | $ | — | ||||||
* | 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. |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2014 was as follows:
Banks | 16.4 | % | ||
Pharmaceuticals | 12.7 | |||
Insurance | 11.5 | |||
Oil, Gas & Consumable Fuels | 10.6 | |||
Diversified Financial Services | 4.7 | |||
Automobiles | 4.5 | |||
Hotels, Restaurants & Leisure | 4.4 | |||
Textiles, Apparel & Luxury Goods | 4.1 | |||
Capital Markets | 3.9 | |||
Wireless Telecommunication Services | 3.9 | |||
Machinery | 3.8 | |||
Media | 3.7 | |||
Auto Components | 3.6 | |||
Diversified Telecommunication Services | 3.6 | |||
Food & Staples Retailing | 3.6 | |||
IT Services | 3.6 | |||
Specialty Retail | 3.3 | |||
Chemicals | 3.2 | |||
Food Products | 2.8 | |||
Aerospace & Defense | 2.7 | |||
Road & Rail | 2.5 | |||
Affiliated Money Market Mutual Fund | 2.4 | |||
Household Products | 2.2 | |||
Beverages | 2.1 | |||
Energy Equipment & Services | 2.1 | |||
Metals & Mining | 2.1 | |||
Semiconductors & Semiconductor Equipment | 2.1 | |||
Health Care Providers & Services | 2.0 | |||
Real Estate Management & Development | 1.9 | |||
Trading Companies & Distributors | 1.8 |
Internet Software & Services | 1.7 | % | ||
Commercial Services & Supplies | 1.5 | |||
Construction & Engineering | 1.3 | |||
Professional Services | 1.2 | |||
Electric Utilities | 1.0 | |||
Multi-Utilities | 1.0 | |||
Industrial Conglomerates | 0.9 | |||
Tobacco | 0.9 | |||
Gas Utilities | 0.8 | |||
Health Care Equipment & Supplies | 0.8 | |||
Airlines | 0.6 | |||
Construction Materials | 0.6 | |||
Containers & Packaging | 0.6 | |||
Electrical Equipment | 0.6 | |||
Software | 0.5 | |||
Air Freight & Logistics | 0.4 | |||
Communications Equipment | 0.4 | |||
Life Sciences Tools & Services | 0.4 | |||
Distributors | 0.3 | |||
Electronic Equipment, Instruments & Components | 0.3 | |||
Health Care Technology | 0.3 | |||
Marine | 0.3 | |||
Household Durables | 0.2 | |||
Internet & Catalog Retail | 0.2 | |||
Paper & Forest Products | 0.2 | |||
Personal Products | 0.2 | |||
149.0 | ||||
Liabilities in excess of other assets | (49.0 | ) | ||
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 June 30, 2014 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 | $ | 36,076 | Unrealized depreciation on foreign currency forward contracts | $ | 209,941 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A10
SP INTERNATIONAL VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2014 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 | $ | — | $ | 153,651 | $ | 153,651 | ||||||
Equity contracts | 10,844 | — | 10,844 | |||||||||
Total | $ | 10,844 | $ | 153,651 | $ | 164,495 | ||||||
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 | $ | — | $ | (375,754 | ) | $ | (375,754 | ) | ||||
Equity contracts | (329 | ) | — | (329 | ) | |||||||
Total | $ | (329 | ) | $ | (375,754 | ) | $ | (376,083 | ) | |||
(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 six months ended June 30, 2014, the Portfolio’s average value at settlement date payable for forward foreign currency exchange purchase contracts was $3,903,572 and the average value at settlement date receivable for foreign currency exchange sale contracts was $13,453,555.
Offsetting of over-the-counter (OTC) derivative assets and liabilities:
The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.
Counterparty | Gross Amounts of Recognized Assets(1) | Gross Amounts Available for Offset | Collateral Received(3) | Net Amount | ||||||||||||
State Street Bank | $ | 36,076 | $ | (36,076 | ) | $ | — | $ | — | |||||||
Counterparty | Gross Amounts of Recognized liabilities(2) | Gross Amounts Available for Offset | Collateral Pledged(3) | Net Amount | ||||||||||||
State Street Bank | $ | (209,941 | ) | $ | 36,076 | $ | — | $ | (173,865 | ) | ||||||
(1) | Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options. |
(2) | Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options. |
(3) | Amounts shown reflect actual collateral received or pledged by the Portfolio. Such amounts are applied up to 100% of the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A11
SP INTERNATIONAL VALUE PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES (Unaudited)
as of June 30, 2014
ASSETS | ||||
Investments at value: | ||||
Unaffiliated investments (cost $112,373,240) | $ | 140,972,632 | ||
Affiliated investments (cost $2,299,727) | 2,299,727 | |||
Foreign currency, at value (cost $1,890,842) | 1,918,305 | |||
Tax reclaim receivable | 797,793 | |||
Dividends receivable | 381,745 | |||
Receivable for investments sold | 351,465 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 36,076 | |||
Receivable for Series shares sold | 2,891 | |||
Prepaid expenses | 166 | |||
Total Assets | 146,760,800 | |||
LIABILITIES | ||||
Payable for Series shares reacquired | 49,406,382 | |||
Payable for investments purchased | 750,309 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 209,941 | |||
Management fee payable | 108,120 | |||
Accrued expenses | 97,835 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 50,573,513 | |||
NET ASSETS | $ | 96,187,287 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 87,078,245 | ||
Retained earnings | 9,109,042 | |||
Net assets, June 30, 2014 | $ | 96,187,287 | ||
Class I: | ||||
Net asset value and redemption price per share $96,187,287 / 11,850,361 outstanding shares of beneficial interest | $ | 8.12 | ||
STATEMENT OF OPERATIONS (Unaudited)
Six Months Ended June 30, 2014
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of $289,118 foreign withholding tax) | $ | 3,081,035 | ||
Affiliated dividend income | 2,044 | |||
Interest income | 21 | |||
Total Income | 3,083,100 | |||
EXPENSES | ||||
Management fee | 638,728 | |||
Custodian’s fees and expenses | 97,000 | |||
Reports to shareholders | 23,000 | |||
Audit fee | 13,000 | |||
Trustees’ fees | 6,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Legal fees and expenses | 5,000 | |||
Insurance fees | 1,000 | |||
Miscellaneous | 17,793 | |||
Total expenses | 807,521 | |||
NET INVESTMENT INCOME | 2,275,579 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES | ||||
Net realized gain on: | ||||
Investment transactions | 4,119,321 | |||
Foreign currency transactions | 152,244 | |||
4,271,565 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (3,126,530 | ) | ||
Foreign currencies | (354,833 | ) | ||
(3,481,363 | ) | |||
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | 790,202 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 3,065,781 | ||
STATEMENT OF CHANGES IN NET ASSETS (Unaudited)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 2,275,579 | $ | 2,169,272 | ||||
Net realized gain on investment and foreign currency transactions | 4,271,565 | 6,402,464 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (3,481,363 | ) | 16,001,291 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 3,065,781 | 24,573,027 | ||||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [478,719 and 872,737 shares, respectively] | 3,761,774 | 6,158,434 | ||||||
Series shares repurchased [6,776,907 and 1,567,209 shares, respectively] | (54,897,289 | ) | (11,229,049 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (51,135,515 | ) | (5,070,615 | ) | ||||
TOTAL INCREASE (DECREASE) | (48,069,734 | ) | 19,502,412 | |||||
NET ASSETS: | ||||||||
Beginning of period | 144,257,021 | 124,754,609 | ||||||
End of period | $ | 96,187,287 | $ | 144,257,021 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A12
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
LONG-TERM INVESTMENTS — 97.0% | ||||||||
COMMON STOCKS | Shares | Value (Note 2) | ||||||
Airlines — 1.2% | ||||||||
Spirit Airlines, Inc.* | 11,951 | $ | 755,781 | |||||
United Continental Holdings, Inc.* | 55,946 | 2,297,702 | ||||||
3,053,483 | ||||||||
Auto Components — 0.7% | ||||||||
Delphi Automotive PLC (United Kingdom) | 25,111 | 1,726,130 | ||||||
Banks — 1.6% | ||||||||
First Republic Bank | 71,444 | 3,928,706 | ||||||
Biotechnology — 3.1% | ||||||||
Alexion Pharmaceuticals, Inc.* | 7,206 | 1,125,937 | ||||||
BioMarin Pharmaceutical, Inc.* | 20,156 | 1,253,905 | ||||||
Incyte Corp. Ltd.* | 31,686 | 1,788,358 | ||||||
Intercept Pharmaceuticals, Inc.* | 3,029 | 716,752 | ||||||
Vertex Pharmaceuticals, Inc.* | 30,114 | 2,851,194 | ||||||
7,736,146 | ||||||||
Capital Markets — 1.6% | ||||||||
Artisan Partners Asset Management, Inc. (Class A Stock) | 29,203 | 1,655,226 | ||||||
Waddell & Reed Financial, Inc. (Class A Stock) | 35,742 | 2,237,092 | ||||||
3,892,318 | ||||||||
Chemicals — 5.2% | ||||||||
Airgas, Inc. | 22,772 | 2,480,098 | ||||||
Albemarle Corp. | 37,928 | 2,711,852 | ||||||
Eastman Chemical Co. | 25,262 | 2,206,636 | ||||||
Ecolab, Inc. | 20,863 | 2,322,886 | ||||||
FMC Corp. | 45,835 | 3,262,994 | ||||||
12,984,466 | ||||||||
Commercial Services & Supplies — 2.5% |
| |||||||
Copart, Inc.* | 28,466 | 1,023,637 | ||||||
Iron Mountain, Inc. | 48,722 | 1,727,195 | ||||||
Stericycle, Inc.* | 28,556 | 3,381,602 | ||||||
6,132,434 | ||||||||
Communications Equipment — 1.0% | ||||||||
F5 Networks, Inc.* | 22,493 | 2,506,620 | ||||||
Construction & Engineering — 0.8% | ||||||||
Fluor Corp. | 24,835 | 1,909,811 | ||||||
Electrical Equipment — 1.7% | ||||||||
AMETEK, Inc. | 81,722 | 4,272,426 | ||||||
Electronic Equipment, Instruments & Components — 1.6% |
| |||||||
Amphenol Corp. (Class A Stock) | 42,419 | 4,086,646 | ||||||
Energy Equipment & Services — 1.9% |
| |||||||
Cameron International Corp.* | 45,806 | 3,101,524 | ||||||
Core Laboratories NV | 10,435 | 1,743,271 | ||||||
4,844,795 | ||||||||
Food & Staples Retailing — 0.8% |
| |||||||
Whole Foods Market, Inc. | 50,016 | 1,932,118 | ||||||
Food Products — 2.6% | ||||||||
Hain Celestial Group, Inc. (The)*(a) | 41,754 | 3,705,250 | ||||||
Mead Johnson Nutrition Co. | 29,646 | 2,762,118 | ||||||
6,467,368 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Health Care Providers & Services — 6.1% |
| |||||||
Catamaran Corp.* | 87,337 | $ | 3,856,802 | |||||
Envision Healthcare Holdings, Inc.* | 47,401 | 1,702,170 | ||||||
Henry Schein, Inc.* | 42,718 | 5,069,345 | ||||||
Universal Health Services, Inc. (Class B Stock) | 47,165 | 4,516,520 | ||||||
15,144,837 | ||||||||
Health Care Technology — 0.8% | ||||||||
Allscripts Healthcare Solutions, Inc.* | 127,329 | 2,043,630 | ||||||
Hotels, Restaurants & Leisure — 2.1% |
| |||||||
Norwegian Cruise Line Holdings Ltd.* | 45,193 | 1,432,618 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 46,095 | 3,725,398 | ||||||
5,158,016 | ||||||||
Household Products — 1.4% | ||||||||
Church & Dwight Co., Inc. | 49,920 | 3,491,904 | ||||||
Industrial Conglomerates — 1.7% | ||||||||
Roper Industries, Inc. | 29,287 | 4,276,195 | ||||||
Insurance — 1.0% | ||||||||
W.R. Berkley Corp. | 55,172 | 2,555,015 | ||||||
Internet & Catalog Retail — 0.6% | ||||||||
TripAdvisor, Inc.*(a) | 13,307 | 1,445,939 | ||||||
Internet Software & Services | ||||||||
GrubHub, Inc.* | 1,386 | 49,078 | ||||||
IT Services — 2.3% | ||||||||
Gartner, Inc.* | 16,580 | 1,169,222 | ||||||
Vantiv, Inc. (Class A Stock)* | 138,176 | 4,645,477 | ||||||
5,814,699 | ||||||||
Life Sciences Tools & Services — 2.0% |
| |||||||
Agilent Technologies, Inc. | 44,595 | 2,561,537 | ||||||
Illumina, Inc.* | 13,550 | 2,419,217 | ||||||
4,980,754 | ||||||||
Machinery — 4.1% | ||||||||
Flowserve Corp. | 43,329 | 3,221,511 | ||||||
IDEX Corp. | 45,895 | 3,705,563 | ||||||
Pall Corp. | 29,551 | 2,523,360 | ||||||
WABCO Holdings, Inc.* | 8,299 | 886,499 | ||||||
10,336,933 | ||||||||
Metals & Mining — 1.2% | ||||||||
Reliance Steel & Aluminum Co. | 40,029 | 2,950,538 | ||||||
Multiline Retail — 1.8% | ||||||||
Dollar Tree, Inc.* | 82,920 | 4,515,823 | ||||||
Oil, Gas & Consumable Fuels — 6.1% | ||||||||
Concho Resources, Inc.* | 30,445 | 4,399,303 | ||||||
Denbury Resources, Inc. | 179,986 | 3,322,542 | ||||||
Marathon Petroleum Corp. | 25,173 | 1,965,256 | ||||||
Noble Energy, Inc. | 48,764 | 3,777,259 | ||||||
Southwestern Energy Co.* | 37,286 | 1,696,140 | ||||||
15,160,500 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A13
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Personal Products — 0.6% | ||||||||
Herbalife Ltd.(a) | 22,645 | $ | 1,461,508 | |||||
Pharmaceuticals — 3.3% | ||||||||
Actavis PLC*(a) | 14,284 | 3,186,046 | ||||||
Forest Laboratories, Inc.* | 18,124 | 1,794,276 | ||||||
Jazz Pharmaceuticals PLC* | 10,216 | 1,501,854 | ||||||
Perrigo Co. PLC | 12,143 | 1,769,964 | ||||||
8,252,140 | ||||||||
Professional Services — 2.8% | ||||||||
IHS, Inc. (Class A Stock)* | 32,534 | 4,413,888 | ||||||
Robert Half International, Inc. | 6,043 | 288,493 | ||||||
Towers Watson & Co. | 22,426 | 2,337,462 | ||||||
7,039,843 | ||||||||
Real Estate Investment Trusts (REITs) — 3.3% |
| |||||||
Crown Castle International Corp. | 59,883 | 4,446,912 | ||||||
MFA Financial, Inc. | 145,673 | 1,195,975 | ||||||
Starwood Property Trust, Inc. | 104,821 | 2,491,595 | ||||||
8,134,482 | ||||||||
Road & Rail — 1.2% |
| |||||||
Genesee & Wyoming, Inc. (Class A Stock)* | 11,942 | 1,253,910 | ||||||
Old Dominion Freight Line, Inc.* | 25,803 | 1,643,135 | ||||||
2,897,045 | ||||||||
Semiconductors & Semiconductor Equipment — 2.0% |
| |||||||
Analog Devices, Inc. | 24,163 | 1,306,493 | ||||||
Xilinx, Inc. | 80,590 | 3,812,713 | ||||||
5,119,206 | ||||||||
Software — 12.2% |
| |||||||
Activision Blizzard, Inc. | 177,122 | 3,949,821 | ||||||
Adobe Systems, Inc.* | 55,317 | 4,002,738 | ||||||
Check Point Software Technologies Ltd. (Israel)*(a) | 52,067 | 3,490,051 | ||||||
Concur Technologies, Inc.*(a) | 11,695 | 1,091,611 | ||||||
Electronic Arts, Inc.*(a) | 149,085 | 5,347,679 | ||||||
Intuit, Inc. | 40,427 | 3,255,586 | ||||||
Red Hat, Inc.* | 67,175 | 3,712,762 | ||||||
ServiceNow, Inc.* | 33,079 | 2,049,575 | ||||||
Splunk, Inc.* | 41,884 | 2,317,442 | ||||||
Ultimate Software Group, Inc. (The)* | 8,168 | 1,128,573 | ||||||
30,345,838 | ||||||||
Specialty Retail — 6.9% |
| |||||||
DSW, Inc. (Class A Stock) | 13,984 | 390,713 | ||||||
GNC Holdings, Inc. | 58,414 | 1,991,917 | ||||||
L Brands, Inc. | 46,200 | 2,710,092 | ||||||
O’Reilly Automotive, Inc.*(a) | 24,116 | 3,631,870 | ||||||
Ross Stores, Inc. | 58,722 | 3,883,286 | ||||||
Signet Jewelers Ltd. | 13,106 | 1,449,392 | ||||||
Tiffany & Co. | 16,721 | 1,676,280 | ||||||
Tractor Supply Co. | 3,654 | 220,702 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.* | 12,773 | 1,167,580 | ||||||
17,121,832 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Technology Hardware, Storage & Peripherals — 1.0% |
| |||||||
SanDisk Corp. | 23,683 | $ | 2,473,216 | |||||
Textiles, Apparel & Luxury Goods — 2.4% |
| |||||||
Burberry Group PLC | 60,084 | 1,524,986 | ||||||
Kate Spade & Co.* | 42,186 | 1,608,974 | ||||||
PVH Corp. | 25,415 | 2,963,389 | ||||||
6,097,349 | ||||||||
Trading Companies & Distributors — 1.0% |
| |||||||
WESCO International, Inc.*(a) | 29,281 | 2,529,293 | ||||||
Wireless Telecommunication Services — 2.8% |
| |||||||
SBA Communications Corp. | 68,619 | 7,019,724 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 241,888,804 | ||||||
SHORT-TERM INVESTMENT — 9.3% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $23,339,178; includes $18,285,961 of cash collateral for securities on loan)(b)(w) (Note 4) | 23,339,178 | 23,339,178 | ||||||
TOTAL INVESTMENTS — 106.3% |
| 265,227,982 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (6.3)% |
| (15,759,430 | ) | |||||
NET ASSETS — 100.0% |
| $ | 249,468,552 | |||||
* | 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 $17,850,363; cash collateral of $18,285,961 (included in liabilities) was received with which the Portfolio’s purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
(w) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
A14
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | 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 June 30, 2014 in valuing such portfolio securities: |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Airlines | $ | 3,053,483 | $ | — | $ | — | ||||||
Auto Components | 1,726,130 | — | — | |||||||||
Banks | 3,928,706 | — | — | |||||||||
Biotechnology | 7,736,146 | — | — | |||||||||
Capital Markets | 3,892,318 | — | — | |||||||||
Chemicals | 12,984,466 | — | — | |||||||||
Commercial Services & Supplies | 6,132,434 | — | — | |||||||||
Communications Equipment | 2,506,620 | — | — | |||||||||
Construction & Engineering | 1,909,811 | — | — | |||||||||
Electrical Equipment | 4,272,426 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 4,086,646 | — | — | |||||||||
Energy Equipment & Services | 4,844,795 | — | — | |||||||||
Food & Staples Retailing | 1,932,118 | — | — | |||||||||
Food Products | 6,467,368 | — | — | |||||||||
Health Care Providers & Services | 15,144,837 | — | — | |||||||||
Health Care Technology | 2,043,630 | — | — | |||||||||
Hotels, Restaurants & Leisure | 5,158,016 | — | — | |||||||||
Household Products | 3,491,904 | — | — | |||||||||
Industrial Conglomerates | 4,276,195 | — | — | |||||||||
Insurance | 2,555,015 | — | — | |||||||||
Internet & Catalog Retail | 1,445,939 | — | — | |||||||||
Internet Software & Services | 49,078 | — | — | |||||||||
IT Services | 5,814,699 | — | — | |||||||||
Life Sciences Tools & Services | 4,980,754 | — | — | |||||||||
Machinery | 10,336,933 | — | — | |||||||||
Metals & Mining | 2,950,538 | — | — | |||||||||
Multiline Retail | 4,515,823 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 15,160,500 | — | — | |||||||||
Personal Products | 1,461,508 | — | — | |||||||||
Pharmaceuticals | 8,252,140 | — | — | |||||||||
Professional Services | 7,039,843 | — | — | |||||||||
Real Estate Investment Trusts (REITs) | 8,134,482 | — | — | |||||||||
Road & Rail | 2,897,045 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 5,119,206 | — | — | |||||||||
Software | 30,345,838 | — | — | |||||||||
Specialty Retail | 17,121,832 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 2,473,216 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 4,572,363 | 1,524,986 | — | |||||||||
Trading Companies & Distributors | 2,529,293 | — | — | |||||||||
Wireless Telecommunication Services | 7,019,724 | — | — | |||||||||
Affiliated Money Market Mutual Fund | 23,339,178 | — | — | |||||||||
Total | $ | 263,702,996 | $ | 1,524,986 | $ | — | ||||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2014 was as follows:
Software | 12.2 | % | ||
Affiliated Money Market Mutual Fund (including 7.3% of collateral for securities on loan) | 9.3 | |||
Specialty Retail | 6.9 | |||
Health Care Providers & Services | 6.1 | |||
Oil, Gas & Consumable Fuels | 6.1 |
Chemicals | 5.2 | % | ||
Machinery | 4.1 | |||
Pharmaceuticals | 3.3 | |||
Real Estate Investment Trusts (REITs) | 3.3 | |||
Biotechnology | 3.1 | |||
Professional Services | 2.8 |
SEE NOTES TO FINANCIAL STATEMENTS.
A15
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Industry table (con’t.) | ||||
Wireless Telecommunication Services | 2.8 | % | ||
Food Products | 2.6 | |||
Commercial Services & Supplies | 2.5 | |||
Textiles, Apparel & Luxury Goods | 2.4 | |||
IT Services | 2.3 | |||
Hotels, Restaurants & Leisure | 2.1 | |||
Life Sciences Tools & Services | 2.0 | |||
Semiconductors & Semiconductor Equipment | 2.0 | |||
Energy Equipment & Services | 1.9 | |||
Multiline Retail | 1.8 | |||
Electrical Equipment | 1.7 | |||
Industrial Conglomerates | 1.7 | |||
Banks | 1.6 | |||
Capital Markets | 1.6 | |||
Electronic Equipment, Instruments & Components | 1.6 | |||
Household Products | 1.4 |
Airlines | 1.2 | % | ||
Metals & Mining | 1.2 | |||
Road & Rail | 1.2 | |||
Communications Equipment | 1.0 | |||
Insurance | 1.0 | |||
Technology Hardware, Storage & Peripherals | 1.0 | |||
Trading Companies & Distributors | 1.0 | |||
Construction & Engineering | 0.8 | |||
Food & Staples Retailing | 0.8 | |||
Health Care Technology | 0.8 | |||
Auto Components | 0.7 | |||
Internet & Catalog Retail | 0.6 | |||
Personal Products | 0.6 | |||
106.3 | ||||
Liabilities in excess of other assets | (6.3 | ) | ||
100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A16
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES (Unaudited)
as of June 30, 2014
ASSETS | ||||
Investments at value, including securities on loan of $17,850,363: | ||||
Unaffiliated investments (cost $157,070,384) | $ | 241,888,804 | ||
Affiliated investments (cost $23,339,178) | 23,339,178 | |||
Receivable for investments sold | 3,176,726 | |||
Dividends receivable | 187,823 | |||
Receivable for Series shares sold | 11,140 | |||
Tax reclaim receivable | 2,979 | |||
Prepaid expenses | 619 | |||
Total Assets | 268,607,269 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 18,285,961 | |||
Payable for investments purchased | 580,501 | |||
Management fee payable | 122,132 | |||
Payable for Series shares repurchased | 87,855 | |||
Accrued expenses | 58,900 | |||
Deferred trustees’ fees | 2,095 | |||
Affiliated transfer agent fee payable | 926 | |||
Distribution fee payable | 192 | |||
Administration fee payable | 116 | |||
Payable to custodian | 39 | |||
Total Liabilities | 19,138,717 | |||
NET ASSETS | $ | 249,468,552 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 116,540,747 | ||
Retained earnings | 132,927,805 | |||
Net assets, June 30, 2014 | $ | 249,468,552 | ||
Class I: | ||||
Net asset value and redemption price per share, $248,517,817 / 22,096,172 outstanding shares of beneficial interest | $ | 11.25 | ||
Class II: | ||||
Net asset value and redemption price per share, $950,735 / 88,312 outstanding shares of beneficial interest | $ | 10.77 | ||
STATEMENT OF OPERATIONS (Unaudited)
Six Months Ended June 30, 2014
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $2,056) | $ | 1,447,583 | ||
Affiliated income from securities loaned, net | 22,396 | |||
Affiliated dividend income | 2,875 | |||
Total income | 1,472,854 | |||
EXPENSES | ||||
Management fee | 735,120 | |||
Distribution fee—Class II | 958 | |||
Administration fee—Class II | 575 | |||
Custodian’s fees and expenses | 29,000 | |||
Shareholders’ reports | 22,000 | |||
Audit fee | 10,000 | |||
Trustees’ fees | 6,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Legal fees and expenses | 4,000 | |||
Insurance expenses | 2,000 | |||
Commitment fee on syndicated credit agreement | 1,000 | |||
Miscellaneous | 7,033 | |||
Total expenses | 823,686 | |||
NET INVESTMENT INCOME | 649,168 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 15,017,128 | |||
Foreign currency transactions | (309 | ) | ||
15,016,819 | ||||
Net change in unrealized appreciation (depreciation) on investments | (6,260,866 | ) | ||
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 8,755,953 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 9,405,121 | ||
STATEMENT OF CHANGES IN NET ASSETS (Unaudited)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 649,168 | $ | 198,770 | ||||
Net realized gain on investment and foreign currency transactions | 15,016,819 | 23,218,743 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (6,260,866 | ) | 35,765,499 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 9,405,121 | 59,183,012 | ||||||
SERIES SHARE TRANSACTIONS (Note 7) | ||||||||
Series shares sold | 2,593,445 | 6,115,312 | ||||||
Series shares repurchased | (15,050,117 | ) | (34,115,247 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (12,456,672 | ) | (27,999,935 | ) | ||||
TOTAL INCREASE (DECREASE) | (3,051,551 | ) | 31,183,077 | |||||
NET ASSETS: | ||||||||
Beginning of period | 252,520,103 | 221,337,026 | ||||||
End of period | $ | 249,468,552 | $ | 252,520,103 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A17
SP SMALL CAP VALUE PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
LONG-TERM INVESTMENTS — 98.8% | ||||||||
COMMON STOCKS — 97.5% | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 2.2% | ||||||||
Cubic Corp. | 9,918 | $ | 441,450 | |||||
Esterline Technologies Corp.*(a) | 12,415 | 1,429,215 | ||||||
Huntington Ingalls Industries, Inc. | 9,350 | 884,416 | ||||||
Moog, Inc. (Class A Stock)*(a) | 13,739 | 1,001,436 | ||||||
Teledyne Technologies, Inc.*(a) | 7,408 | 719,835 | ||||||
Triumph Group, Inc. | 6,790 | 474,078 | ||||||
4,950,430 | ||||||||
Air Freight & Logistics — 0.3% | ||||||||
Forward Air Corp. | 13,198 | 631,524 | ||||||
Auto Components — 1.3% | ||||||||
American Axle & Manufacturing Holdings, Inc.* | 28,610 | 540,443 | ||||||
Dana Holding Corp.(a) | 49,112 | 1,199,315 | ||||||
Superior Industries International, Inc. | 25,420 | 524,160 | ||||||
Tenneco, Inc.* | 12,207 | 802,000 | ||||||
3,065,918 | ||||||||
Banks — 15.2% | ||||||||
BancorpSouth, Inc. | 45,046 | 1,106,780 | ||||||
Bank of the Ozarks, Inc. | 39,367 | 1,316,826 | ||||||
BankUnited, Inc. | 39,440 | 1,320,451 | ||||||
Banner Corp. | 14,075 | 557,792 | ||||||
Boston Private Financial Holdings, Inc. | 43,169 | 580,191 | ||||||
Bridge Capital Holdings* | 8,101 | 196,125 | ||||||
CoBiz Financial, Inc. | 16,905 | 182,067 | ||||||
Community Bank System, Inc. | 15,058 | 545,100 | ||||||
First Financial Bankshares, Inc. | 20,758 | 651,178 | ||||||
First Financial Holdings, Inc. | 9,672 | 589,992 | ||||||
First Midwest Bancorp, Inc. | 22,405 | 381,557 | ||||||
First of Long Island Corp. (The) | 4,193 | 163,862 | ||||||
First Republic Bank | 20,330 | 1,117,947 | ||||||
FirstMerit Corp. | 93,700 | 1,850,575 | ||||||
Flushing Financial Corp. | 17,899 | 367,824 | ||||||
Glacier Bancorp, Inc. | 33,963 | 963,870 | ||||||
Heritage Financial Corp. | 8,847 | 142,348 | ||||||
Home BancShares, Inc. | 18,867 | 619,215 | ||||||
Iberiabank Corp. | 41,810 | 2,892,834 | ||||||
Independent Bank Corp. | 10,025 | 384,759 | ||||||
Independent Bank Group, Inc. | 5,281 | 293,993 | ||||||
Lakeland Financial Corp. | 6,291 | 240,065 | ||||||
MB Financial, Inc. | 29,639 | 801,735 | ||||||
PacWest Bancorp | 19,551 | 844,017 | ||||||
Pinnacle Financial Partners, Inc. | 17,083 | 674,437 | ||||||
PrivateBancorp, Inc. | 35,867 | 1,042,295 | ||||||
Prosperity Bancshares, Inc. | 11,445 | 716,457 | ||||||
Sandy Spring Bancorp, Inc. | 8,323 | 207,326 | ||||||
Sierra Bancorp | 3,816 | 60,293 | ||||||
Signature Bank* | 24,121 | 3,043,588 | ||||||
Southcoast Financial Corp.* | 5,395 | 39,222 | ||||||
Southwest Bancorp, Inc. | 13,745 | 234,490 | ||||||
Summit State Bank | 4,343 | 57,241 | ||||||
SVB Financial Group* | 25,200 | 2,938,824 | ||||||
Texas Capital Bancshares, Inc.* | 15,577 | 840,379 | ||||||
Tompkins Financial Corp. | 15,459 | 744,815 | ||||||
Trico Bancshares | 8,408 | 194,561 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks (continued) | ||||||||
UMB Financial Corp. | 15,795 | $ | 1,001,245 | |||||
Umpqua Holdings Corp. | ||||||||
ViewPoint Financial Group, Inc. | 27,116 | 729,692 | ||||||
Webster Financial Corp. | 30,798 | 971,369 | ||||||
Wintrust Financial Corp. | 59,490 | 2,736,540 | ||||||
34,343,877 | ||||||||
Biotechnology — 0.6% | ||||||||
Exact Sciences Corp.*(a) | 36,246 | 617,269 | ||||||
Infinity Pharmaceuticals, Inc.* | 44,152 | 562,497 | ||||||
TESARO, Inc.* | 8,182 | 254,542 | ||||||
1,434,308 | ||||||||
Building Products — 0.4% | ||||||||
Gibraltar Industries, Inc.* | 17,140 | 265,841 | ||||||
Nci Building Systems, Inc.* | 19,246 | 373,950 | ||||||
Trex Co., Inc.*(a) | 12,142 | 349,933 | ||||||
989,724 | ||||||||
Capital Markets — 4.1% | ||||||||
Affiliated Managers Group, Inc.* | 11,770 | 2,417,558 | ||||||
Apollo Investment Corp.(a) | 36,154 | 311,286 | ||||||
Cohen & Steers, Inc.(a) | 4,950 | 214,731 | ||||||
E*TRADE Financial Corp.* | 11,199 | 238,091 | ||||||
Golub Capital BDC, Inc.(a) | 10,067 | 178,186 | ||||||
Greenhill & Co., Inc. | 9,666 | 476,051 | ||||||
HFF, Inc. (Class A Stock) | 14,523 | 540,110 | ||||||
Moelis & Co.* | 6,380 | 214,432 | ||||||
New Mountain Finance Corp.(a) | 15,607 | 231,920 | ||||||
Raymond James Financial, Inc. | 27,570 | 1,398,626 | ||||||
Solar Capital Ltd. | 5,366 | 114,188 | ||||||
Solar Senior Capital Ltd.(a) | 3,487 | 58,861 | ||||||
Stifel Financial Corp.* | 16,125 | 763,519 | ||||||
THL Credit, Inc.(a) | 4,811 | 67,354 | ||||||
Virtus Investment Partners, Inc.*(a) | 3,306 | 700,045 | ||||||
Waddell & Reed Financial, Inc. (Class A Stock) | 23,070 | 1,443,951 | ||||||
9,368,909 | ||||||||
Chemicals — 3.0% | ||||||||
Axiall Corp. | 5,134 | 242,684 | ||||||
Koppers Holdings, Inc. | 29,760 | 1,138,320 | ||||||
Kraton Performance Polymers, Inc.* | 25,770 | 576,990 | ||||||
Methanex Corp. (Canada) | 10,724 | 662,529 | ||||||
Minerals Technologies, Inc. | 3,301 | 216,480 | ||||||
PolyOne Corp. | 42,924 | 1,808,817 | ||||||
Quaker Chemical Corp. | 5,878 | 451,372 | ||||||
Taminco Corp. | 22,761 | 529,421 | ||||||
Westlake Chemical Corp. | 6,356 | 532,378 | ||||||
WR Grace & Co.* | 7,008 | 662,466 | ||||||
6,821,457 | ||||||||
Commercial Services & Supplies — 1.8% |
| |||||||
ACCO Brands Corp.*(a) | 203,462 | 1,304,192 | ||||||
Ceco Environmental Corp. | 17,991 | 280,480 | ||||||
G&K Services, Inc. (Class A Stock) | 10,677 | 555,951 | ||||||
Herman Miller, Inc. | 15,040 | 454,810 | ||||||
Mobile Mini, Inc. | 14,490 | 693,926 |
SEE NOTES TO FINANCIAL STATEMENTS.
A18
SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Commercial Services & Supplies (continued) |
| |||||||
Progressive Waste Solutions Ltd. (Canada) | 22,678 | $ | 582,144 | |||||
West Corp. | 7,619 | 204,189 | ||||||
4,075,692 | ||||||||
Communications Equipment — 2.1% | ||||||||
ADTRAN, Inc. | 16,943 | 382,234 | ||||||
Bel Fuse, Inc. (Class B Stock) | 12,120 | 311,120 | ||||||
Black Box Corp. | 9,690 | 227,134 | ||||||
Digi International, Inc.* | 102,528 | 965,814 | ||||||
Extreme Networks, Inc.* | 56,552 | 251,091 | ||||||
InterDigital, Inc. | 19,630 | 938,314 | ||||||
Plantronics, Inc. | 27,940 | 1,342,517 | ||||||
RADWARE Ltd. (Israel)* | 27,386 | 462,002 | ||||||
4,880,226 | ||||||||
Construction & Engineering — 1.4% | ||||||||
Comfort Systems USA, Inc. | 19,147 | 302,523 | ||||||
EMCOR Group, Inc. | 47,443 | 2,112,637 | ||||||
MYR Group, Inc.* | 14,903 | 377,493 | ||||||
Tutor Perini Corp.* | 11,880 | 377,071 | ||||||
3,169,724 | ||||||||
Consumer Finance — 0.2% | ||||||||
First Cash Financial Services, Inc.* | 7,250 | 417,527 | ||||||
Containers & Packaging — 0.4% | ||||||||
Berry Plastics Group, Inc.* | 14,679 | 378,718 | ||||||
Graphic Packaging Holding Co.* | 46,794 | 547,490 | ||||||
926,208 | ||||||||
Diversified Consumer Services — 0.2% |
| |||||||
Sotheby’s(a) | 6,010 | 252,360 | ||||||
Steiner Leisure Ltd.* | 3,628 | 157,056 | ||||||
409,416 | ||||||||
Diversified Financial Services — 0.1% | ||||||||
MarketAxess Holdings, Inc. | 4,802 | 259,596 | ||||||
Diversified Telecommunication Services — 0.3% |
| |||||||
Premiere Global Services, Inc.* | 50,855 | 678,914 | ||||||
Electric Utilities — 3.6% | ||||||||
ALLETE, Inc. | 14,846 | 762,342 | ||||||
Cleco Corp.(a) | 39,142 | 2,307,421 | ||||||
El Paso Electric Co. | 22,345 | 898,493 | ||||||
IDACORP, Inc. | 18,745 | 1,084,023 | ||||||
MGE Energy, Inc. | 7,975 | 315,092 | ||||||
PNM Resources, Inc. | 15,471 | 453,765 | ||||||
Portland General Electric Co. | 51,994 | 1,802,632 | ||||||
UNS Energy Corp. | 8,110 | 489,925 | ||||||
8,113,693 | ||||||||
Electrical Equipment — 0.2% | ||||||||
Thermon Group Holdings, Inc.* | 17,447 | 459,205 | ||||||
Electronic Equipment, Instruments & Components — 2.8% |
| |||||||
Anixter International, Inc. | 8,848 | 885,419 | ||||||
AVX Corp. | 101,650 | 1,349,912 | ||||||
Belden, Inc. | 8,206 | 641,381 | ||||||
CTS Corp. | 22,658 | 423,705 | ||||||
Littelfuse, Inc. | 5,680 | 527,956 | ||||||
Newport Corp.* | 28,614 | 529,359 | ||||||
Park Electrochemical Corp. | 69,606 | 1,963,585 | ||||||
6,321,317 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Energy Equipment & Services — 3.7% |
| |||||||
Dril-Quip, Inc.* | 4,760 | $ | 519,982 | |||||
Forum Energy Technologies, Inc.* | 36,484 | 1,329,112 | ||||||
Gulf Island Fabrication, Inc. | 27,850 | 599,332 | ||||||
GulfMark Offshore, Inc. (Class A Stock) | 7,515 | 339,528 | ||||||
Key Energy Services, Inc.* | 75,580 | 690,801 | ||||||
Matrix Service Co.* | 7,160 | 234,776 | ||||||
McDermott International, Inc.*(a) | 71,830 | 581,105 | ||||||
Natural Gas Services Group, Inc.* | 20,410 | 674,755 | ||||||
Newpark Resources, Inc.* | 76,429 | 952,305 | ||||||
Tesco Corp.* | 8,647 | 184,527 | ||||||
TETRA Technologies, Inc.*(a) | 116,341 | 1,370,497 | ||||||
Tidewater, Inc. | 14,400 | 808,560 | ||||||
8,285,280 | ||||||||
Food & Staples Retailing — 1.1% | ||||||||
Pantry, Inc. (The)* | 66,999 | 1,085,384 | ||||||
Susser Holdings Corp.* | 3,151 | 254,349 | ||||||
Weis Markets, Inc. | 25,980 | 1,188,065 | ||||||
2,527,798 | ||||||||
Food Products — 0.4% | ||||||||
B&G Foods, Inc. | 8,535 | 279,009 | ||||||
Hain Celestial Group, Inc. (The)* | 6,531 | 579,561 | ||||||
858,570 | ||||||||
Gas Utilities — 0.9% | ||||||||
Laclede Group, Inc. (The) | 5,270 | 255,858 | ||||||
New Jersey Resources Corp. | 4,780 | 273,225 | ||||||
Northwest Natural Gas Co. | 3,270 | 154,181 | ||||||
Southwest Gas Corp. | 21,539 | 1,137,044 | ||||||
WGL Holdings, Inc. | 5,520 | 237,912 | ||||||
2,058,220 | ||||||||
Health Care Equipment & Supplies — 0.7% |
| |||||||
Endologix, Inc.* | 33,187 | 504,774 | ||||||
Hill-Rom Holdings, Inc. | 13,840 | 574,499 | ||||||
Integra LifeSciences Holdings Corp.* | 5,440 | 256,006 | ||||||
Tornier NV* | 13,715 | 320,657 | ||||||
1,655,936 | ||||||||
Health Care Providers & Services — 2.1% |
| |||||||
Adeptus Health, Inc.* | 7,742 | 196,415 | ||||||
Air Methods Corp.*(a) | 11,384 | 587,984 | ||||||
Brookdale Senior Living, Inc.* | 6,960 | 232,046 | ||||||
Community Health Systems, Inc.* | 4,150 | 188,285 | ||||||
Cross Country Healthcare, Inc.* | 53,665 | 349,896 | ||||||
HealthSouth Corp. | 17,501 | 627,761 | ||||||
LifePoint Hospitals, Inc.* | 27,760 | 1,723,896 | ||||||
Surgical Care Affiliates, Inc.* | 7,697 | 223,829 | ||||||
WellCare Health Plans, Inc.* | 8,438 | 629,981 | ||||||
4,760,093 | ||||||||
Health Care Technology — 0.7% | ||||||||
Allscripts Healthcare Solutions, Inc.* | 63,773 | 1,023,557 | ||||||
Quality Systems, Inc. | 29,580 | 474,759 | ||||||
1,498,316 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A19
SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Hotels, Restaurants & Leisure — 1.3% |
| |||||||
Bloomin’ Brands, Inc.* | 17,181 | $ | 385,370 | |||||
Diamond Resorts International, Inc.* | 19,826 | 461,351 | ||||||
Jack in the Box, Inc. | 11,823 | 707,488 | ||||||
Marriott Vacations Worldwide Corp.* | 9,181 | 538,282 | ||||||
Vail Resorts, Inc. | 10,483 | 809,078 | ||||||
2,901,569 | ||||||||
Household Durables — 1.1% | ||||||||
Meritage Homes Corp.* | 11,238 | 474,356 | ||||||
Ryland Group, Inc. (The) | 24,370 | 961,153 | ||||||
Standard Pacific Corp.*(a) | 57,755 | 496,693 | ||||||
WCI Communities, Inc. | 16,800 | 324,408 | ||||||
William Lyon Homes | 10,722 | 326,377 | ||||||
2,582,987 | ||||||||
Household Products — 0.6% | ||||||||
Spectrum Brands Holdings, Inc. | 15,467 | 1,330,626 | ||||||
Independent Power & Renewable Electricity Producers — 0.2% |
| |||||||
Dynegy, Inc.* | 14,301 | 497,675 | ||||||
Industrial Conglomerates — 0.4% | ||||||||
Carlisle Cos., Inc. | 10,629 | 920,684 | ||||||
Insurance — 4.8% | ||||||||
Allied World Assurance Co. Holdings AG | 57,690 | 2,193,374 | ||||||
American Equity Investment Life Holding Co. | 50,174 | 1,234,280 | ||||||
AMERISAFE, Inc. | 3,246 | 132,015 | ||||||
Axis Capital Holdings Ltd. | 40,480 | 1,792,454 | ||||||
CNO Financial Group, Inc. | 73,351 | 1,305,648 | ||||||
Endurance Specialty Holdings Ltd. | 10,718 | 552,942 | ||||||
Enstar Group Ltd.* | 3,310 | 498,916 | ||||||
Fidelity & Guaranty Life | 10,496 | 251,274 | ||||||
Maiden Holdings Ltd. | 55,351 | 669,194 | ||||||
Meadowbrook Insurance Group, Inc.(a) | 27,780 | 199,738 | ||||||
ProAssurance Corp. | 35,614 | 1,581,262 | ||||||
RLI Corp. | 8,971 | 410,692 | ||||||
10,821,789 | ||||||||
Internet & Catalog Retail — 0.4% | ||||||||
HSN, Inc. | 13,567 | 803,709 | ||||||
Internet Software & Services — 0.1% | ||||||||
Everyday Health, Inc.* | 16,213 | 299,616 | ||||||
IT Services — 0.6% | ||||||||
CACI International, Inc. (Class A Stock)*(a) | 9,421 | 661,448 | ||||||
Convergys Corp. | 32,388 | 694,399 | ||||||
1,355,847 | ||||||||
Leisure Products — 0.2% | ||||||||
Arctic Cat, Inc. | 2,654 | 104,621 | ||||||
Brunswick Corp. | 10,670 | 449,527 | ||||||
554,148 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Machinery — 3.8% | ||||||||
Actuant Corp. (Class A Stock) | 29,924 | $ | 1,034,473 | |||||
Altra Industrial Motion Corp. | 6,920 | 251,819 | ||||||
Barnes Group, Inc. | 17,804 | 686,166 | ||||||
CIRCOR International, Inc. | 8,140 | 627,838 | ||||||
Crane Co. | 6,199 | 460,958 | ||||||
Graco, Inc. | 5,985 | 467,309 | ||||||
Harsco Corp. | 57,860 | 1,540,812 | ||||||
RBC Bearings, Inc. | 28,442 | 1,821,710 | ||||||
Snap-on, Inc. | 7,680 | 910,233 | ||||||
Watts Water Technologies, Inc. (Class A Stock) | 5,537 | 341,799 | ||||||
Woodward, Inc. | 10,196 | 511,635 | ||||||
8,654,752 | ||||||||
Marine — 0.3% | ||||||||
Diana Shipping, Inc. (Greece)*(a) | 53,710 | 584,902 | ||||||
Media — 0.5% | ||||||||
Carmike Cinemas, Inc.* | 7,368 | 258,838 | ||||||
Live Nation Entertainment, Inc.* | 26,798 | 661,642 | ||||||
Time, Inc.* | 7,973 | 193,106 | ||||||
1,113,586 | ||||||||
Metals & Mining — 2.7% | ||||||||
AK Steel Holding Corp.*(a) | 63,190 | 502,992 | ||||||
Carpenter Technology Corp. | 8,980 | 567,985 | ||||||
Coeur Mining, Inc.* | 17,500 | 160,650 | ||||||
Commercial Metals Co. | 42,567 | 736,835 | ||||||
Globe Specialty Metals, Inc. | 19,953 | 414,623 | ||||||
Haynes International, Inc. | 11,604 | 656,670 | ||||||
Horsehead Holding Corp.*(a) | 57,330 | 1,046,846 | ||||||
Kaiser Aluminum Corp.(a) | 11,722 | 854,182 | ||||||
Olympic Steel, Inc. | 5,006 | 123,899 | ||||||
RTI International Metals, Inc.* | 16,130 | 428,897 | ||||||
Steel Dynamics, Inc. | 30,270 | 543,346 | ||||||
6,036,925 | ||||||||
Multiline Retail — 0.4% | ||||||||
Burlington Stores, Inc.* | 29,100 | 927,126 | ||||||
Multi-Utilities — 0.5% | ||||||||
Black Hills Corp. | 9,242 | 567,367 | ||||||
NorthWestern Corp. | 11,901 | 621,113 | ||||||
1,188,480 | ||||||||
Oil, Gas & Consumable Fuels — 3.6% | ||||||||
Bill Barrett Corp.* | 25,320 | 678,070 | ||||||
Carrizo Oil & Gas, Inc.* | 11,360 | 786,794 | ||||||
Cloud Peak Energy, Inc.* | 31,390 | 578,204 | ||||||
Delek US Holdings, Inc. | 11,565 | 326,480 | ||||||
Jones Energy, Inc.* | 17,490 | 358,545 | ||||||
Laredo Petroleum, Inc.*(a) | 39,979 | 1,238,549 | ||||||
Parsley Energy, Inc.* | 26,385 | 635,087 | ||||||
Rex Energy Corp. | 65,337 | 1,157,118 | ||||||
Rice Energy, Inc.* | 32,290 | 983,230 | ||||||
RSP Permian, Inc.* | 40,755 | 1,322,092 | ||||||
8,064,169 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A20
SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Paper & Forest Products — 0.7% | ||||||||
Boise Cascade Co.* | 23,120 | $ | 662,157 | |||||
KapStone Paper and Packaging Corp.* | 27,848 | 922,604 | ||||||
1,584,761 | ||||||||
Pharmaceuticals — 0.2% | ||||||||
Prestige Brands Holdings, Inc.* | 13,929 | 472,054 | ||||||
Professional Services — 0.8% | ||||||||
Korn/Ferry International* | 16,190 | 475,500 | ||||||
TrueBlue, Inc.* | 44,836 | 1,236,129 | ||||||
1,711,629 | ||||||||
Real Estate Investment Trusts (REITs) — 9.7% |
| |||||||
Acadia Realty Trust | 28,800 | 808,992 | ||||||
American Campus Communities, Inc. | 21,122 | 807,705 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 43,931 | 724,422 | ||||||
Biomed Realty Trust, Inc. | 42,990 | 938,472 | ||||||
Blackstone Mortgage Trust, Inc. (Class A Stock) | 29,708 | 861,532 | ||||||
CBL & Associates Properties, Inc. | 45,439 | 863,341 | ||||||
Chesapeake Lodging Trust | 31,147 | 941,574 | ||||||
Corporate Office Properties Trust | 15,590 | 433,558 | ||||||
Cousins Properties, Inc. | 65,273 | 812,649 | ||||||
CubeSmart | 61,692 | 1,130,198 | ||||||
DuPont Fabros Technology, Inc.(a) | 25,147 | 677,963 | ||||||
EastGroup Properties, Inc. | 15,900 | 1,021,257 | ||||||
Empire State Realty Trust, Inc. (Class A Stock) | 21,700 | 358,050 | ||||||
First Potomac Realty Trust | 39,320 | 515,878 | ||||||
Hersha Hospitality Trust | 39,010 | 261,757 | ||||||
Highwoods Properties, Inc.(a) | 24,712 | 1,036,668 | ||||||
Hudson Pacific Properties, Inc. | 33,339 | 844,810 | ||||||
MFA Financial, Inc. | 91,746 | 753,235 | ||||||
Mid-America Apartment Communities, Inc. | 16,058 | 1,173,037 | ||||||
National Health Investors, Inc. | 15,479 | 968,366 | ||||||
Pebblebrook Hotel Trust | 73,879 | 2,730,568 | ||||||
PS Business Parks, Inc. | 12,329 | 1,029,348 | ||||||
Strategic Hotels & Resorts, Inc.* | 82,387 | 964,752 | ||||||
Terreno Realty Corp. | 26,327 | 508,901 | ||||||
Two Harbors Investment Corp. | 57,917 | 606,970 | ||||||
Washington Real Estate Investment Trust | 8,200 | 213,036 | ||||||
21,987,039 | ||||||||
Real Estate Management & Development — 0.9% |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 9,200 | 294,768 | ||||||
Jones Lang LaSalle, Inc. | 5,330 | 673,659 | ||||||
Kennedy-Wilson Holdings, Inc. | 40,024 | 1,073,443 | ||||||
2,041,870 | ||||||||
Road & Rail — 0.6% | ||||||||
Celadon Group, Inc. | 1,241 | 26,458 | ||||||
Old Dominion Freight Line, Inc.* | 21,987 | 1,400,132 | ||||||
1,426,590 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Semiconductors & Semiconductor Equipment — 5.7% |
| |||||||
Cabot Microelectronics Corp.* | 15,135 | $ | 675,778 | |||||
Entegris, Inc.* | 63,467 | 872,354 | ||||||
Exar Corp.* | 117,640 | 1,329,332 | ||||||
Fairchild Semiconductor International, Inc.* | 37,350 | 582,660 | ||||||
Intersil Corp. (Class A Stock) | 60,132 | 898,973 | ||||||
Micrel, Inc. | 21,076 | 237,737 | ||||||
MKS Instruments, Inc. | 25,568 | 798,744 | ||||||
ON Semiconductor Corp.* | 154,080 | 1,408,291 | ||||||
PMC – Sierra, Inc.* | 58,735 | 446,973 | ||||||
Power Integrations, Inc. | 2,742 | 157,775 | ||||||
Rudolph Technologies, Inc.*(a) | 159,180 | 1,572,698 | ||||||
Semtech Corp.* | 20,744 | 542,456 | ||||||
Teradyne, Inc. | 87,056 | 1,706,298 | ||||||
Veeco Instruments, Inc.*(a) | 42,718 | 1,591,673 | ||||||
12,821,742 | ||||||||
Software 1.2% | ||||||||
Monotype Imaging Holdings, Inc. | 15,156 | 426,944 | ||||||
PTC, Inc.* | 14,327 | 555,888 | ||||||
SS&C Technologies Holdings, Inc.* | 17,508 | 774,204 | ||||||
Verint Systems, Inc.* | 18,462 | 905,561 | ||||||
2,662,597 | ||||||||
Specialty Retail — 2.2% | ||||||||
Asbury Automotive Group, Inc.* | 9,774 | 671,865 | ||||||
Cato Corp. (The) (Class A Stock) | 7,670 | 237,003 | ||||||
GNC Holdings, Inc. (Class A Stock) | 16,487 | 562,207 | ||||||
Lithia Motors, Inc. (Class A Stock) | 1,583 | 148,913 | ||||||
MarineMax, Inc.* | 60,140 | 1,006,744 | ||||||
Men’s Wearhouse, Inc. (The) | 5,273 | 294,233 | ||||||
Monro Muffler Brake, Inc.(a) | 5,640 | 299,992 | ||||||
Office Depot, Inc. | 69,328 | 394,476 | ||||||
Pier 1 Imports, Inc. | 68,150 | 1,050,191 | ||||||
Shoe Carnival, Inc. | 11,083 | 228,864 | ||||||
4,894,488 | ||||||||
Technology Hardware, Storage & Peripherals — 0.2% |
| |||||||
Electronics For Imaging, Inc.* | 10,428 | 471,346 | ||||||
Textiles, Apparel & Luxury Goods — 1.2% |
| |||||||
Carter’s, Inc. | 7,504 | 517,251 | ||||||
Movado Group, Inc. | 40,921 | 1,705,178 | ||||||
Steven Madden Ltd.* | 12,620 | 432,866 | ||||||
2,655,295 | ||||||||
Thrifts & Mortgage Finance — 1.4% | ||||||||
Brookline Bancorp, Inc. | 18,243 | 170,937 | ||||||
Dime Community Bancshares, Inc. | 11,709 | 184,885 | ||||||
Home Loan Servicing Solutions Ltd. | 20,527 | 466,579 | ||||||
Oritani Financial Corp. | 16,054 | 247,071 | ||||||
Provident Financial Services, Inc. | 23,226 | 402,274 | ||||||
Radian Group, Inc.(a) | 60,933 | 902,418 | ||||||
Westfield Financial, Inc. | 77,550 | 578,523 | ||||||
WSFS Financial Corp. | 3,618 | 266,538 | ||||||
3,219,225 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A21
SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Trading Companies & Distributors — 1.4% |
| |||||||
Applied Industrial Technologies, Inc. | 12,703 | $ | 644,423 | |||||
Kaman Corp. | 18,562 | 793,154 | ||||||
Rush Enterprises, Inc. (Class A Stock)*(a) | 31,620 | 1,096,266 | ||||||
WESCO International, Inc.*(a) | 6,831 | 590,062 | ||||||
3,123,905 | ||||||||
TOTAL COMMON STOCKS |
| 220,673,009 | ||||||
EXCHANGE TRADED FUND — 1.3% | ||||||||
iShares Russell 2000 Value Index Fund(a) | 29,307 | 3,026,241 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 223,699,250 | ||||||
SHORT-TERM INVESTMENT — 10.2% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $23,158,800; includes $21,325,608 of cash collateral for securities on loan)(b)(w) (Note 4) | 23,158,800 | 23,158,800 | ||||||
TOTAL INVESTMENTS — 109.0% |
| 246,858,050 | ||||||
LIABILITIES IN EXCESS OF |
| (20,387,761 | ) | |||||
NET ASSETS — 100.0% |
| $ | 226,470,289 | |||||
* | 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 $20,827,317; cash collateral of $21,325,608 (included with liabilities) was received with which the Portfolio’s purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
(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 June 30, 2014 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 4,950,430 | $ | — | $ | — | ||||||
Air Freight & Logistics | 631,524 | — | — | |||||||||
Auto Components | 3,065,918 | — | — | |||||||||
Banks | 34,343,877 | — | — | |||||||||
Biotechnology | 1,434,308 | — | — | |||||||||
Building Products | 989,724 | — | — | |||||||||
Capital Markets | 9,368,909 | — | — | |||||||||
Chemicals | 6,821,457 | — | — | |||||||||
Commercial Services & Supplies | 4,075,692 | — | — | |||||||||
Communications Equipment | 4,880,226 | — | — | |||||||||
Construction & Engineering | 3,169,724 | — | — | |||||||||
Consumer Finance | 417,527 | — | — | |||||||||
Containers & Packaging | 926,208 | — | — | |||||||||
Diversified Consumer Services | 409,416 | — | — | |||||||||
Diversified Financial Services | 259,596 | — | — | |||||||||
Diversified Telecommunication Services | 678,914 | — | — | |||||||||
Electric Utilities | 8,113,693 | — | — | |||||||||
Electrical Equipment | 459,205 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 6,321,317 | — | — | |||||||||
Energy Equipment & Services | 8,285,280 | — | — | |||||||||
Food & Staples Retailing | 2,527,798 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A22
SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Food Products | $ | 858,570 | $ | — | $ | — | ||||||
Gas Utilities | 2,058,220 | — | — | |||||||||
Health Care Equipment & Supplies | 1,655,936 | — | — | |||||||||
Health Care Providers & Services | 4,760,093 | — | — | |||||||||
Health Care Technology | 1,498,316 | — | — | |||||||||
Hotels, Restaurants & Leisure | 2,901,569 | — | — | |||||||||
Household Durables | 2,582,987 | — | — | |||||||||
Household Products | 1,330,626 | — | — | |||||||||
Independent Power & Renewable Electricity Producers | 497,675 | — | — | |||||||||
Industrial Conglomerates | 920,684 | — | — | |||||||||
Insurance | 10,821,789 | — | — | |||||||||
Internet & Catalog Retail | 803,709 | — | — | |||||||||
Internet Software & Services | 299,616 | — | — | |||||||||
IT Services | 1,355,847 | — | — | |||||||||
Leisure Products | 554,148 | — | — | |||||||||
Machinery | 8,654,752 | — | — | |||||||||
Marine | 584,902 | — | — | |||||||||
Media | 1,113,586 | — | — | |||||||||
Metals & Mining | 6,036,925 | — | — | |||||||||
Multiline Retail | 927,126 | — | — | |||||||||
Multi-Utilities | 1,188,480 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 8,064,169 | — | — | |||||||||
Paper & Forest Products | 1,584,761 | — | — | |||||||||
Pharmaceuticals | 472,054 | — | — | |||||||||
Professional Services | 1,711,629 | — | — | |||||||||
Real Estate Investment Trusts (REITs) | 21,987,039 | — | — | |||||||||
Real Estate Management & Development | 2,041,870 | — | — | |||||||||
Road & Rail | 1,426,590 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 12,821,742 | — | — | |||||||||
Software | 2,662,597 | — | — | |||||||||
Specialty Retail | 4,894,488 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 471,346 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 2,655,295 | — | — | |||||||||
Thrifts & Mortgage Finance | 3,219,225 | — | — | |||||||||
Trading Companies & Distributors | 3,123,905 | — | — | |||||||||
Exchange Traded Fund | 3,026,241 | — | — | |||||||||
Affiliated Money Market Mutual Fund | 23,158,800 | — | — | |||||||||
Total | $ | 246,858,050 | $ | — | $ | — | ||||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2014 was as follows:
Banks | 15.2 | % | ||
Affiliated Money Market Mutual Fund (including 9.4% of collateral for securities on loan) | 10.2 | |||
Real Estate Investment Trusts (REITs) | 9.7 | |||
Semiconductors & Semiconductor Equipment | 5.7 | |||
Insurance | 4.8 | |||
Capital Markets | 4.1 | |||
Machinery | 3.8 | |||
Energy Equipment & Services | 3.7 | |||
Electric Utilities | 3.6 | |||
Oil, Gas & Consumable Fuels | 3.6 | |||
Chemicals | 3.0 | |||
Electronic Equipment, Instruments & Components | 2.8 | |||
Metals & Mining | 2.7 | |||
Aerospace & Defense | 2.2 | |||
Specialty Retail | 2.2 |
Communications Equipment | 2.1 | % | ||
Health Care Providers & Services | 2.1 | |||
Commercial Services & Supplies | 1.8 | |||
Construction & Engineering | 1.4 | |||
Thrifts & Mortgage Finance | 1.4 | |||
Trading Companies & Distributors | 1.4 | |||
Auto Components | 1.3 | |||
Exchange Traded Fund | 1.3 | |||
Hotels, Restaurants & Leisure | 1.3 | |||
Software | 1.2 | |||
Textiles, Apparel & Luxury Goods | 1.2 | |||
Food & Staples Retailing | 1.1 | |||
Household Durables | 1.1 | |||
Gas Utilities | 0.9 | |||
Real Estate Management & Development | 0.9 | |||
Professional Services | 0.8 |
SEE NOTES TO FINANCIAL STATEMENTS.
A23
SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2014 (Unaudited) |
Industry table (con’t.) | ||||
Health Care Equipment & Supplies | 0.7 | % | ||
Health Care Technology | 0.7 | |||
Paper & Forest Products | 0.7 | |||
Biotechnology | 0.6 | |||
Household Products | 0.6 | |||
IT Services | 0.6 | |||
Road & Rail | 0.6 | |||
Media | 0.5 | |||
Multi-Utilities | 0.5 | |||
Building Products | 0.4 | |||
Containers & Packaging | 0.4 | |||
Food Products | 0.4 | |||
Industrial Conglomerates | 0.4 | |||
Internet & Catalog Retail | 0.4 | |||
Multiline Retail | 0.4 |
Air Freight & Logistics | 0.3 | % | ||
Diversified Telecommunication Services | 0.3 | |||
Marine | 0.3 | |||
Consumer Finance | 0.2 | |||
Diversified Consumer Services | 0.2 | |||
Electrical Equipment | 0.2 | |||
Independent Power & Renewable Electricity Producers | 0.2 | |||
Leisure Products | 0.2 | |||
Pharmaceuticals | 0.2 | |||
Technology Hardware, Storage & Peripherals | 0.2 | |||
Diversified Financial Services | 0.1 | |||
Internet Software & Services | 0.1 | |||
109.0 | ||||
Liabilities in excess of other assets | (9.0 | ) | ||
100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A24
SP SMALL CAP VALUE PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES (Unaudited)
as of June 30, 2014
ASSETS | ||||
Investments at value, including securities on loan of $20,827,317: | ||||
Unaffiliated investments (cost $152,164,188) | $ | 223,699,250 | ||
Affiliated investments (cost $23,158,800) | 23,158,800 | |||
Receivable for investments sold | 2,995,182 | |||
Dividends and interest receivable | 325,970 | |||
Receivable for Series shares sold | 8,453 | |||
Tax reclaim receivable | 2,635 | |||
Prepaid expenses | 249 | |||
Total Assets | 250,190,539 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 21,325,608 | |||
Payable for investments purchased | 2,084,405 | |||
Management fee payable | 164,008 | |||
Accrued expenses | 81,172 | |||
Payable for Series shares reacquired | 63,363 | |||
Affiliated transfer agent fee payable | 926 | |||
Deferred trustees’ fees | 768 | |||
Total Liabilities | 23,720,250 | |||
NET ASSETS | $ | 226,470,289 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 113,428,401 | ||
Retained earnings | 113,041,888 | |||
Net assets, June 30, 2014 | $ | 226,470,289 | ||
Class I: | ||||
Net asset value and redemption price per share $226,470,289 / 11,453,459 outstanding shares of beneficial interest | $ | 19.77 | ||
STATEMENT OF OPERATIONS (Unaudited)
Six Months Ended June 30, 2014
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of $1,904 foreign withholding tax) | $ | 1,780,533 | ||
Affiliated income from securities lending, net | 25,201 | |||
Affiliated dividend income | 1,618 | |||
Interest income | 5 | |||
Total income | 1,807,357 | |||
EXPENSES | ||||
Management fee | 993,154 | |||
Custodian’s fees and expenses | 51,000 | |||
Reports to shareholders | 21,000 | |||
Audit fee | 12,000 | |||
Trustees’ fees | 6,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Legal fees and expenses | 5,000 | |||
Insurance fees | 1,000 | |||
Miscellaneous | 8,663 | |||
Total expenses | 1,103,817 | |||
Less: Management fee waiver | (2,944 | ) | ||
Net expenses | 1,100,873 | |||
NET INVESTMENT INCOME | 706,484 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain on investment transactions | 12,483,601 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (2,346,936 | ) | ||
Foreign currencies | 24 | |||
(2,346,912 | ) | |||
NET GAIN ON INVESTMENTS AND FOREIGN CURRENCIES | 10,136,689 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 10,843,173 | ||
STATEMENT OF CHANGES IN NET ASSETS (Unaudited)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 706,484 | $ | 1,065,586 | ||||
Net realized gain on investment transactions | 12,483,601 | 28,973,275 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (2,346,912 | ) | 34,404,209 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 10,843,173 | 64,443,070 | ||||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [77,961 and 622,114 shares, respectively] | 1,461,150 | 10,373,241 | ||||||
Series shares repurchased [748,979 and 1,613,558 shares, respectively] | (14,151,863 | ) | (26,139,642 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (12,690,713 | ) | (15,766,401 | ) | ||||
TOTAL INCREASE (DECREASE) | (1,847,540 | ) | 48,676,669 | |||||
NET ASSETS: | ||||||||
Beginning of period | 228,317,829 | 179,641,160 | ||||||
End of period | $ | 226,470,289 | $ | 228,317,829 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A25
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
(Unaudited)
Note 1: | General |
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended, (“1940 Act”). The Series Fund is composed of 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.
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 except for exchange-traded and cleared swaps which are classified as Level 2 in the fair value hierarchy, as the prices marked at the official settle are not public.
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. Securities not valued using such model prices are valued in accordance with exchange-traded common stocks discussed above.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
B1
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. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, the Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadvisor and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s Subadvisor under the guidelines adopted by the Directors of the Portfolio. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.
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 or losses on foreign currency transactions represent net foreign exchange gains or losses from sales and maturities of short-term securities and forward currency contracts, disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends 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.
B2
Concentration of Risk: The ability of debt securities issuers (other than those issued or guaranteed by the U.S. Government) held by the Portfolios to meet their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.
Forward Currency Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios 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. 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.
B3
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 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.
Note 3: | Agreements |
The Series Fund has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisors’ performance of such services. PI has entered into subadvisory agreements with 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 | ** |
* | PI has contractually agreed, through June 30, 2015, to waive a portion of its management fee equal to an annual rate of 0.01% of the average net assets of the Portfolio. In addition, PI has contractually agreed, through May 1, 2015, to waive a portion of its management fee equal to an annual rate of 0.003% of the average net assets of the Portfolio. |
B4
** | PI has contractually agreed, through May 1, 2015, to waive a portion of its management fee equal to an annual rate of 0.008% of the average net assets of the Portfolio. |
At June 30, 2014 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 |
The Series Fund has a distribution agreement with Prudential Investment Management Services LLC (“PIMS”) which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.
The Series Fund has an administration agreement with PI which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.
PIMS, PI, 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 six months ended June 30, 2014, broker commission recaptured under these agreements was as follows:
Portfolio | Amount | |||
SP International Growth Portfolio | $ | 1,340 | ||
SP International Value Portfolio | 2,150 | |||
SP Prudential U.S. Emerging Growth Portfolio | 6,478 | |||
SP Small Cap Value Portfolio | 3,928 |
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 six months ended June 30, 2014, PIM was compensated as follows for these services by the Series Fund Portfolios:
Amount | ||||
SP International Growth Portfolio | $ | 1,705 | ||
SP Prudential U.S. Emerging Growth Portfolio | 6,690 | |||
SP Small Cap Value Portfolio | 7,558 |
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.
B5
Note 5: | Portfolio Securities |
Purchases and sales of portfolio securities, other than short-term investments and U.S. Government securities, for the six months ended June 30, 2014, were as follows:
Portfolio | Cost of Purchases | Proceeds from Sales | ||||||
SP International Growth Portfolio | $ | 28,091,719 | $ | 31,702,303 | ||||
SP International Value Portfolio | 25,326,395 | 26,292,549 | ||||||
SP Prudential U.S. Emerging Growth Portfolio | 48,328,920 | 64,608,385 | ||||||
SP Small Cap Value Portfolio | 44,473,796 | 56,081,093 |
Note 6: | Tax Information |
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.
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.
Note 7: | Capital |
The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the 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 June 30, 2014, 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 | ||||||
Six months ended June 30, 2014: | ||||||||
Series shares sold | 369,852 | $ | 2,282,232 | |||||
Series shares repurchased | (983,622 | ) | (6,053,335 | ) | ||||
Net increase (decrease) in shares outstanding | (613,770 | ) | $ | (3,771,103 | ) | |||
Year ended December 31, 2013: | ||||||||
Series shares sold | 1,005,050 | $ | 5,635,828 | |||||
Series shares repurchased | (2,492,981 | ) | (14,075,216 | ) | ||||
Net increase (decrease) in shares outstanding | (1,487,931 | ) | $ | (8,439,388 | ) | |||
B6
SP International Growth Portfolio (cont’d):
Class II | Shares | Amount | ||||||
Six months ended June 30, 2014: | ||||||||
Series shares sold | 29,906 | $ | 181,916 | |||||
Series shares repurchased | (188,214 | ) | (1,136,302 | ) | ||||
Net increase (decrease) in shares outstanding | (158,308 | ) | $ | (954,386 | ) | |||
Year ended December 31, 2013: | ||||||||
Series shares sold | 206,283 | $ | 1,156,462 | |||||
Series shares repurchased | (373,137 | ) | (2,070,586 | ) | ||||
Net increase (decrease) in shares outstanding | (166,854 | ) | $ | (914,124 | ) | |||
SP Prudential U.S. Emerging Growth Portfolio:
Class I | Shares | Amount | ||||||
Six months ended June 30, 2014: | ||||||||
Series shares sold | 215,329 | $ | 2,341,587 | |||||
Series shares repurchased | (1,381,861 | ) | (15,029,071 | ) | ||||
Net increase (decrease) in shares outstanding | (1,166,532 | ) | $ | (12,687,484 | ) | |||
Year ended December 31, 2013: | ||||||||
Series shares sold | 607,127 | $ | 5,854,481 | |||||
Series shares repurchased | (3,549,073 | ) | (34,069,600 | ) | ||||
Net increase (decrease) in shares outstanding | (2,941,946 | ) | $ | (28,215,119 | ) | |||
Class II | ||||||||
Six months ended June 30, 2014: | ||||||||
Series shares sold | 24,355 | $ | 251,858 | |||||
Series shares repurchased | (2,048 | ) | (21,046 | ) | ||||
Net increase (decrease) in shares outstanding | 22,307 | $ | 230,812 | |||||
Year ended December 31, 2013: | ||||||||
Series shares sold | 27,432 | $ | 260,831 | |||||
Series shares repurchased | (4,849 | ) | (45,647 | ) | ||||
Net increase (decrease) in shares outstanding | 22,583 | $ | 215,184 | |||||
Note 8: | Borrowings |
The Portfolios, along with other affiliated registered investment companies (the “Funds”), are a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period November 5, 2013 through November 4, 2014. The Funds pay an annualized commitment fee of 0.08% on the unused portion of the SCA. 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 line of credit during the six months ended June 30, 2014. The average balance 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 Rate | Outstanding Borrowings at June 30, 2014 | ||||||||||||
SP International Growth | $ | 124,900 | 20 | 1.40 | % | — |
Note 9: | Ownership and Affiliates |
As of June 30, 2014, 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
(Unaudited)
SP International Growth Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2014(c) | Year Ended December 31, | |||||||||||||||||||||||
2013(c) | 2012(c) | 2011(c) | 2010(c) | 2009(c) | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 6.30 | $ | 5.30 | $ | 4.36 | $ | 5.19 | $ | 4.63 | $ | 3.45 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .04 | .02 | .08 | .02 | .04 | .05 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (.05 | ) | .98 | .89 | (.79 | ) | .59 | 1.22 | ||||||||||||||||
Total from investment operations | (.01 | ) | 1.00 | .97 | (.77 | ) | .63 | 1.27 | ||||||||||||||||
Less Distributions: | — | — | (.03 | ) | (.06 | ) | (.07 | ) | (.09 | ) | ||||||||||||||
Net Asset Value, end of period | $ | 6.29 | $ | 6.30 | $ | 5.30 | $ | 4.36 | $ | 5.19 | $ | 4.63 | ||||||||||||
Total Return(a) | (.16 | )% | 18.87 | % | 22.40 | % | (14.91 | )% | 14.01 | % | 37.15 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 82.8 | $ | 86.9 | $ | 80.9 | $ | 75.5 | $ | 162.1 | $ | 162.5 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.24 | %(e) | 1.30 | % | 1.19 | % | 1.21 | % | 1.10 | % | .99 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.25 | %(e) | 1.31 | % | 1.19 | % | 1.21 | % | 1.10 | % | .99 | % | ||||||||||||
Net investment income | 1.25 | %(e) | .37 | % | 1.59 | % | .47 | % | .77 | % | 1.18 | % | ||||||||||||
Portfolio turnover rate | 31 | %(f) | 103 | % | 111 | % | 118 | % | 141 | % | 89 | % | ||||||||||||
SP International Growth Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2014(c) | Year Ended December 31, | |||||||||||||||||||||||
2013(c) | 2012(c) | 2011(c) | 2010(c) | 2009(c) | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 6.21 | $ | 5.24 | $ | 4.30 | $ | 5.10 | $ | 4.54 | $ | 3.37 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .03 | — | (d) | .06 | — | (d) | .02 | .03 | ||||||||||||||||
Net realized and unrealized gain (loss) on investments | (.06 | ) | .97 | .88 | (.78 | ) | .59 | 1.19 | ||||||||||||||||
Total from investment operations | (.03 | ) | .97 | .94 | (.78 | ) | .61 | 1.22 | ||||||||||||||||
Less Distributions: | — | — | — | (.02 | ) | (.05 | ) | (.05 | ) | |||||||||||||||
Net Asset Value, end of period | $ | 6.18 | $ | 6.21 | $ | 5.24 | $ | 4.30 | $ | 5.10 | $ | 4.54 | ||||||||||||
Total Return(a) | (.48 | )% | 18.51 | % | 21.86 | % | (15.32 | )% | 13.81 | % | 36.44 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 8.1 | $ | 9.1 | $ | 8.6 | $ | 7.2 | $ | 10.1 | $ | 11.1 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.64 | %(e) | 1.70 | % | 1.59 | % | 1.61 | % | 1.50 | % | 1.39 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.65 | %(e) | 1.71 | % | 1.59 | % | 1.61 | % | 1.50 | % | 1.39 | % | ||||||||||||
Net investment income (loss) | .84 | %(e) | (.03 | %) | 1.16 | % | (.09 | %) | .39 | % | .70 | % | ||||||||||||
Portfolio turnover rate | 31 | %(f) | 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 period 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. Total returns for periods of less than one year are not annualized. |
(b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
(c) | Calculated based on average shares outstanding during the period. |
(d) | Less than $.005. |
(e) | Annualized. |
(f) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Financial Highlights
(Unaudited)
SP International Value Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2014(e) | Year Ended December 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 7.95 | $ | 6.62 | $ | 5.83 | $ | 6.87 | $ | 6.35 | $ | 4.95 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .13 | .12 | .16 | .20 | .12 | .14 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | .04 | 1.21 | .80 | (1.07 | ) | .54 | 1.43 | |||||||||||||||||
Total from investment operations | .17 | 1.33 | .96 | (.87 | ) | .66 | 1.57 | |||||||||||||||||
Less Distributions: | — | — | (.17 | ) | (.17 | ) | (.14 | ) | (.17 | ) | ||||||||||||||
Net Asset Value, end of period | $ | 8.12 | $ | 7.95 | $ | 6.62 | $ | 5.83 | $ | 6.87 | $ | 6.35 | ||||||||||||
Total Return(a) | 2.14 | % | 20.09 | % | 16.92 | % | (13.10 | )% | 10.81 | % | 32.35 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 96.2 | $ | 144.3 | $ | 124.8 | $ | 122.8 | $ | 211.5 | $ | 203.3 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursements | 1.14 | %(c) | 1.15 | % | 1.13 | % | 1.10 | % | 1.05 | % | 1.03 | % | ||||||||||||
Expenses before waivers and/or expense reimbursements | 1.14 | %(c) | 1.15 | % | 1.13 | % | 1.10 | % | 1.05 | % | 1.03 | % | ||||||||||||
Net investment income | 3.21 | %(c) | 1.62 | % | 2.40 | % | 2.02 | % | 1.76 | % | 1.82 | % | ||||||||||||
Portfolio turnover rate | 18 | %(d) | 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 period 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. Total returns for periods of less than one year are not annualized. |
(b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
(c) | Annualized. |
(d) | Not annualized. |
(e) | Calculated based on average shares outstanding during the period. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
(Unaudited)
SP Prudential U.S. Emerging Growth Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2014 | Year Ended December 31, | |||||||||||||||||||||||
2013(d) | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 10.83 | $ | 8.43 | $ | 7.80 | $ | 7.74 | $ | 6.45 | $ | 4.58 | ||||||||||||
Income From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .03 | .01 | .06 | .04 | .03 | .04 | ||||||||||||||||||
Net realized and unrealized gain on investments | .39 | 2.39 | 1.21 | .13 | 1.28 | 1.87 | ||||||||||||||||||
Total from investment operations | .42 | 2.40 | 1.27 | .17 | 1.31 | 1.91 | ||||||||||||||||||
Less Distributions | — | — | (.64 | ) | (.11 | ) | (.02 | ) | (.04 | ) | ||||||||||||||
Net Asset Value, end of period | $ | 11.25 | $ | 10.83 | $ | 8.43 | $ | 7.80 | $ | 7.74 | $ | 6.45 | ||||||||||||
Total Return(a) | 3.88 | % | 28.47 | % | 16.88 | % | 2.22 | % | 20.43 | % | 41.89 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 248.5 | $ | 251.8 | $ | 221.0 | $ | 210.8 | $ | 242.4 | $ | 142.3 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .67 | %(e) | .68 | % | .67 | % | .64 | % | .70 | % | .71 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .67 | %(e) | .68 | % | .67 | % | .64 | % | .70 | % | .71 | % | ||||||||||||
Net investment income | .53 | %(e) | .08 | % | .73 | % | .39 | % | .69 | % | .66 | % | ||||||||||||
Portfolio turnover rate | 20 | %(f) | 38 | % | 44 | % | 40 | % | 73 | % | 50 | % | ||||||||||||
SP Prudential U.S. Emerging Growth Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2014 | Year Ended December 31, | |||||||||||||||||||||||
2013(d) | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 10.38 | $ | 8.12 | $ | 7.53 | $ | 7.48 | $ | 6.25 | $ | 4.44 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .02 | (.03 | ) | .04 | — | (c) | .01 | .01 | ||||||||||||||||
Net realized and unrealized gain on investments | .37 | 2.29 | 1.16 | .13 | 1.24 | 1.81 | ||||||||||||||||||
Total from investment operations | .39 | 2.26 | 1.20 | .13 | 1.25 | 1.82 | ||||||||||||||||||
Less Distributions | — | — | (.61 | ) | (.08 | ) | (.02 | ) | (.01 | ) | ||||||||||||||
Net Asset Value, end of period | $ | 10.77 | $ | 10.38 | $ | 8.12 | $ | 7.53 | $ | 7.48 | $ | 6.25 | ||||||||||||
Total Return(a) | 3.76 | % | 27.83 | % | 16.44 | % | 1.77 | % | 19.96 | % | 41.14 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1.0 | $ | .7 | $ | .4 | $ | .3 | $ | .3 | $ | .3 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.07 | %(e) | 1.08 | % | 1.07 | % | 1.04 | % | 1.10 | % | 1.11 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.07 | %(e) | 1.08 | % | 1.07 | % | 1.04 | % | 1.10 | % | 1.11 | % | ||||||||||||
Net investment income (loss) | .13 | %(e) | (.32 | )% | .38 | % | (.01 | )% | .24 | % | .25 | % | ||||||||||||
Portfolio turnover rate | 20 | %(f) | 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 period 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 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. Total returns for periods less than one full year are not annualized. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | Less than $.005 per share. |
(d) | Calculated based on average shares outstanding during the year. |
(e) | Annualized. |
(f) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C3
Financial Highlights
(Unaudited)
SP Small Cap Value Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2014 | Year Ended December 31, | |||||||||||||||||||||||
2013 | 2012 | 2011 | 2010 | 2009 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 18.83 | $ | 13.70 | $ | 11.86 | $ | 12.28 | $ | 9.79 | $ | 7.60 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .08 | .10 | .16 | .07 | .07 | .07 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | .86 | 5.03 | 1.74 | (.41 | ) | 2.49 | 2.24 | |||||||||||||||||
Total from investment operations | .94 | 5.13 | 1.90 | (.34 | ) | 2.56 | 2.31 | |||||||||||||||||
Less Distributions: | — | — | (.06 | ) | (.08 | ) | (.07 | ) | (.12 | ) | ||||||||||||||
Net Asset Value, end of period | $ | 19.77 | $ | 18.83 | $ | 13.70 | $ | 11.86 | $ | 12.28 | $ | 9.79 | ||||||||||||
Total Return(a) | 4.99 | % | 37.45 | % | 16.06 | % | (2.77 | )% | 26.27 | % | 30.80 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 226.5 | $ | 228.3 | $ | 179.6 | $ | 177.5 | $ | 232.7 | $ | 208.0 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursements | 1.00 | %(c) | 1.01 | % | 1.01 | % | .99 | % | 1.00 | % | 1.00 | % | ||||||||||||
Expenses before waivers and/or expense reimbursements | 1.00 | %(c) | 1.01 | % | 1.01 | % | .99 | % | 1.00 | % | 1.00 | % | ||||||||||||
Net investment income | .64 | %(c) | .52 | % | 1.14 | % | .41 | % | .62 | % | .70 | % | ||||||||||||
Portfolio turnover rate | 20 | %(d) | 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 period 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. Total returns for periods of less than one year are not annualized. |
(b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
(c) | Annualized. |
(d) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
Approval of Advisory Agreements
The Trust’s Board of Trustees
The Board of Trustees (the Board) of The Prudential Series Fund (the Trust) consists of eleven individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios, their operations, and performs the various duties imposed on the trustees of the Board (the Trustees) by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with Prudential Investments LLC (PI) and each Portfolio’s subadvisory agreement(s). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 18-19, 2014 (the Meeting) and approved the renewal of the agreements through July 31, 2015, after concluding that the renewal of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.
In advance of the Meeting, the Trustees received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant Peer Universe and Peer Group, as is further discussed below.
In approving the agreements, the Trustees, including the Independent Trustees advised by independent legal counsel, considered the factors they deemed relevant, including the nature, quality and extent of services provided, the performance of each Portfolio, the profitability of PI and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with each Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its deliberations, the Board considered information provided at or in advance of the Meeting as well as information provided throughout the year at regular and special Board meetings, including presentations from PI and subadviser personnel such as portfolio managers.
The Trustees determined that the overall arrangements between the Trust and PI, which serves as the Trust’s investment manager pursuant to a management agreement, and between PI and each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with PI, are in the best interest of the Trust, each Portfolio and its shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment.
The material factors and conclusions that formed the basis for the Trustees’ determinations to approve the renewal of the agreements are discussed separately below.
Nature, quality and extent of services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PI and each subadviser. The Board considered the services provided by PI, including but not limited to the oversight of the subadvisers, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PI’s oversight of the subadvisers, the Board noted that PI’s Strategic Investment Research Group (SIRG), a business unit of PI, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the Portfolios and the subadvisers. The Board also considered that PI pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PI’s evaluation of the subadvisers, as well as PI’s recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.
The Board reviewed the qualifications, backgrounds and responsibilities of PI’s senior management individuals responsible for the oversight of the Trust, the Portfolios and each subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadvisers’ portfolio managers who are responsible for the day-to-day management of each Portfolio. The Board was provided with information pertaining to PI’s and each subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PI and each subadviser. The Board also noted that it received favorable compliance reports from the
Trust’s Chief Compliance Officer (CCO) as to PI and each subadviser. The Board noted that Prudential Investment Management, Inc. (PIM), Jennison Associates LLC (Jennison) and Quantitative Management Associates LLC (QMA), each of which serve as subadvisers to various Portfolios of the Trust, are affiliated with PI.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PI and the subadvisory services provided to the Portfolios by each subadviser, and that there was a reasonable basis on which to conclude that each Portfolio benefits from the services provided by PI and each subadviser under the management and subadvisory agreements.
Costs of Services and Profits Realized by PI
The Board was provided with information on the profitability of PI and its affiliates in serving as the Trust’s investment manager. The Board discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. The Board considered that information regarding the profitability of the Manager included profitability information regarding PIM, Jennison and QMA, each of which are affiliates of PI. Taking these factors into account, the Board concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board noted that the management fee schedules for the Portfolios generally do not contain breakpoints that would reduce the fee rate on assets above specified levels. The Board received and discussed information concerning whether PI realizes economies of scale as the Portfolios’ assets grow beyond current levels. However, because of the nature of PI’s business, the Board could not reach definitive conclusions as to whether PI might realize economies of scale on a particular Portfolio or how great they may be. In light of each Portfolio’s current size and fee rate, the Board concluded that the fact that the Portfolios do not have breakpoints is acceptable at this time.
Other Benefits to PI and the Subadvisers
The Board considered potential ancillary benefits that might be received by PI, the subadvisers, and their affiliates as a result of their relationships with the Trust. The Board concluded that potential benefits to be derived by PI included fees received by affiliates of PI for serving as the Portfolios’ securities lending agent, compensation received by insurance company affiliates of PI from the subadvisers, as well as benefits to its reputation or other intangible benefits resulting from PI’s association with the Trust. The Board also considered information provided by PI regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of PI at least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the potential benefits to be derived by the subadvisers unaffiliated with PI included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by PI and the subadvisers were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of the Portfolios / Fees and Expenses / Other Factors
With respect to each Portfolio, the Board also considered certain additional specific factors and made related conclusions relating to the historical performance of the Portfolios for the one-, three-, five- and ten-year periods ended December 31, 2013, except as otherwise noted below.
The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2013. The Board considered the management fee for each Portfolio as compared to the management fee charged by PI to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid by a Portfolio and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in each Peer Universe and each Peer Group were objectively selected by Lipper Inc. (Lipper), an independent provider of mutual fund data. The comparisons placed the Portfolios in various quartiles, with the first quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PI deems appropriate, and for reasons addressed in detail with the Board, PI may have provided supplemental data compiled by Lipper for the Board’s consideration.
The sections below summarize key factors considered by the Board and the Board’s conclusions regarding each Portfolio’s performance, fees and overall expenses. Each section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
SP International Growth Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
3rd Quartile | 3rd Quartile | 2nd Quartile | 3rd Quartile | |||||
Actual Management Fees: 3rd Quartile | ||||||||
Net Total Expenses: 4th Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index for all periods except the one-year period. |
• | The Board noted that one of the Portfolio’s existing subadvisers had been replaced by Neuberger Berman in June 2013, and that it was reasonable to allow the new team of subadvisers more time to develop their collective performance record. |
• | The Board noted that PI had contractually agreed to waive 0.01% of its management fee through June 30, 2015, and that PI had also contractually agreed to waive 0.003% of its management fee through May 1, 2015. As such, PI’s combined management fee waiver through May 1, 2015 totals 0.013%. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
SP International Value Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
4th Quartile | 3rd Quartile | 2nd Quartile | 2nd Quartile | |||||
Actual Management Fees: 4th Quartile | ||||||||
Net Total Expenses: 4th Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the five- and ten-year periods, though it underperformed its benchmark index over the one- and three-year periods. |
• | PI advised the Board that it would continue to monitor the Portfolio’s performance and expenses. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
SP Prudential U.S. Emerging Growth Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
4th Quartile | 2nd Quartile | 3rd Quartile | 1st Quartile | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the three and ten-year periods, though it underperformed its benchmark index over the one- and five-year periods. |
• | The Board noted PI’s assertion that the Portfolio’s underperformance over the one-year period was attributable in large part to the fact that the Portfolio invested in conservative stocks at a time when more speculative securities outperformed. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
SP Small Cap Value Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
2nd Quartile | 2nd Quartile | 2nd Quartile | 2nd Quartile | |||||
Actual Management Fees: 4th Quartile | ||||||||
Net Total Expenses: 4th Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board noted that PI had contractually agreed to waive 0.008% of its management fee through May 1, 2015. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
**********
After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.
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 | |||
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.
©2014 Prudential Financial, Inc. and its related entities. 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.
0229046-00003-00 PSF-SAR-B
THE PRUDENTIAL SERIES FUND
SEMIANNUAL REPORT Ÿ JUNE 30, 2014
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.
The accompanying financial statements as of June 30, 2014, were not audited and, accordingly, no auditor’s opinion is expressed on them.
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 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
By enrolling in e-Delivery, you’ll gain secure, online access to important contract records while reducing what is delivered to you by mail. It’s also an easy way to keep everything organized. Enroll today!
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The Prudential Series Fund
Table of Contents | Semiannual Report | June 30, 2014 |
n | LETTER TO CONTRACT OWNERS |
n | PRESENTATION OF PORTFOLIO HOLDINGS |
n | FEES AND EXPENSES TABLE |
n | FINANCIAL REPORTS |
Section A | Schedule of Investments and Financial Statements | |
Section B | Notes to Financial Statements | |
Section C | Financial Highlights |
n | APPROVAL OF ADVISORY AGREEMENTS |
The Prudential Series Fund
Letter to Contract Owners | Semiannual Report | June 30, 2014 |
n | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund semiannual report outlines our efforts to achieve this goal. We hope you find it informative and useful.
Prudential has been building on a heritage of success for more than 135 years. 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.
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2014 |
Jennison 20/20 Focus | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Schlumberger Ltd. | 3.5% | |||
Facebook, Inc. (Class A Stock) | 3.4% | |||
Biogen Idec, Inc. | 3.3% | |||
Apple, Inc. | 3.1% | |||
Applied Materials, Inc. | 3.0% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Sectors/Industries are subject to change.
The Prudential Series Fund
Fees and Expenses — unaudited | June 30, 2014 |
As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2014 through June 30, 2014.
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 January 1, 2014 | Ending Account Value June 30, 2014 | Annualized Expense Ratio based on the | Expenses Paid During the Six-Month Period* | ||||||||||||||
Jennison 20/20 Focus (Class I) | Actual | $ | 1,000.00 | $ | 1,068.60 | 0.83 | % | $ | 4.26 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.68 | 0.83 | % | $ | 4.16 | ||||||||||
Jennison 20/20 Focus (Class II) | Actual | $ | 1,000.00 | $ | 1,066.50 | 1.23 | % | $ | 6.30 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,018.70 | 1.23 | % | $ | 6.16 |
* 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 181 days in the six-month period ended June 30, 2014, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2014 (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 | as of June 30, 2014 (Unaudited) |
LONG-TERM INVESTMENTS — 98.4% | ||||||||
COMMON STOCKS | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 3.6% |
| |||||||
Boeing Co. (The) | 41,230 | $ | 5,245,693 | |||||
Precision Castparts Corp. | 15,077 | 3,805,435 | ||||||
9,051,128 | ||||||||
Automobiles — 4.6% |
| |||||||
General Motors Co. | 145,807 | 5,292,794 | ||||||
Tesla Motors, Inc.*(a) | 26,624 | 6,391,357 | ||||||
11,684,151 | ||||||||
Biotechnology — 7.2% |
| |||||||
Alexion Pharmaceuticals, Inc.* | 25,894 | 4,045,937 | ||||||
Biogen Idec, Inc.* | 26,810 | 8,453,461 | ||||||
Celgene Corp.* | 68,834 | 5,911,464 | ||||||
18,410,862 | ||||||||
Chemicals — 2.3% | ||||||||
Monsanto Co. | 47,473 | 5,921,782 | ||||||
Consumer Finance — 1.1% |
| |||||||
SLM Corp. | 325,389 | 2,703,983 | ||||||
Electronic Equipment, Instruments & Components — 2.6% |
| |||||||
Flextronics International Ltd.* | 599,102 | 6,632,059 | ||||||
Energy Equipment & Services — 6.3% |
| |||||||
Halliburton Co. | 101,581 | 7,213,267 | ||||||
Schlumberger Ltd. | 74,641 | 8,803,906 | ||||||
16,017,173 | ||||||||
Food Products — 4.9% |
| |||||||
Bunge Ltd. | 81,912 | 6,195,823 | ||||||
Mondelez International, Inc. | 165,775 | 6,234,798 | ||||||
12,430,621 | ||||||||
Hotels, Restaurants & Leisure — 4.1% |
| |||||||
Carnival Corp. | 160,776 | 6,053,217 | ||||||
International Game Technology | 271,320 | 4,316,701 | ||||||
10,369,918 | ||||||||
Independent Power Producers & Energy Traders — 2.1% |
| |||||||
NRG Energy, Inc. | 143,931 | 5,354,233 | ||||||
Insurance — 2.2% |
| |||||||
MetLife, Inc. | 100,080 | 5,560,445 | ||||||
Internet & Catalog Retail — 4.9% |
| |||||||
Amazon.com, Inc.* | 16,956 | 5,506,970 | ||||||
Priceline Group, Inc. (The)* | 5,710 | 6,869,130 | ||||||
12,376,100 | ||||||||
Internet Software & Services — 8.9% |
| |||||||
Facebook, Inc. (Class A Stock)* | 129,278 | 8,699,117 | ||||||
Google, Inc. (Class A Stock)* | 7,209 | 4,214,886 | ||||||
Google, Inc. (Class C Stock)* | 7,209 | 4,147,194 | ||||||
LinkedIn Corp. (Class A Stock)* | 33,016 | 5,661,253 | ||||||
22,722,450 | ||||||||
IT Services — 3.0% |
| |||||||
MasterCard, Inc. | 102,070 | 7,499,083 | ||||||
Life Sciences Tools & Services — 1.4% |
| |||||||
Illumina, Inc.* | 20,238 | 3,613,292 | ||||||
Media — 2.2% |
| |||||||
Walt Disney Co. (The) | 65,814 | 5,642,892 | ||||||
COMMON STOCKS (continued) | | Shares | | | Value (Note 2) | | ||
Metals & Mining — 2.6% | ||||||||
Goldcorp, Inc. (Canada) | 233,968 | $ | 6,530,047 | |||||
Oil, Gas & Consumable Fuels — 6.8% |
| |||||||
Anadarko Petroleum Corp. | 62,775 | 6,871,979 | ||||||
Noble Energy, Inc. | 89,325 | 6,919,114 | ||||||
Southwestern Energy Co.* | 79,346 | 3,609,450 | ||||||
17,400,543 | ||||||||
Personal Products — 1.9% |
| |||||||
Avon Products, Inc. | 332,706 | 4,860,835 | ||||||
Pharmaceuticals — 6.3% |
| |||||||
Allergan, Inc. | 33,843 | 5,726,912 | ||||||
Bayer AG (Germany), ADR | 36,888 | 5,211,168 | ||||||
Teva Pharmaceutical Industries Ltd. (Israel), ADR | 98,211 | 5,148,221 | ||||||
16,086,301 | ||||||||
Road & Rail — 5.0% |
| |||||||
Canadian Pacific Railway Ltd. (Canada) | 41,839 | 7,578,716 | ||||||
Hertz Global Holdings, Inc.* | 183,398 | 5,140,646 | ||||||
12,719,362 | ||||||||
Semiconductors & Semiconductor Equipment — 3.0% |
| |||||||
Applied Materials, Inc. | 339,801 | 7,662,513 | ||||||
Software — 2.9% |
| |||||||
salesforce.com, inc.*(a) | 128,349 | 7,454,510 | ||||||
Technology Hardware, Storage & Peripherals — 3.1% |
| |||||||
Apple, Inc. | 84,728 | 7,873,773 | ||||||
Textiles, Apparel & Luxury Goods — 5.4% |
| |||||||
Kate Spade & Co.*(a) | 142,694 | 5,442,349 | ||||||
Michael Kors Holdings Ltd. | 21,512 | 1,907,039 | ||||||
Under Armour, Inc. | 105,380 | 6,269,056 | ||||||
13,618,444 | ||||||||
TOTAL LONG-TERM INVESTMENTS |
| 250,196,500 | ||||||
SHORT-TERM INVESTMENT — 9.1% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $23,189,522; includes $18,030,254 of cash collateral for securities on loan)(Note 4)(b)(c) | 23,189,522 | 23,189,522 | ||||||
TOTAL INVESTMENTS — 107.5% (cost $206,243,566) | 273,386,022 | |||||||
LIABILITIES IN EXCESS OF | (19,111,498 | ) | ||||||
NET ASSETS — 100.0% | $ | 254,274,524 | ||||||
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 | as of June 30, 2014 (Unaudited) |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $17,735,467; cash collateral of $18,030,254 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Represents security, or a portion thereof, purchased with cash collateral 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 June 30, 2014 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 9,051,128 | $ | — | $ | — | ||||||
Automobiles | 11,684,151 | — | — | |||||||||
Biotechnology | 18,410,862 | — | — | |||||||||
Chemicals | 5,921,782 | — | — | |||||||||
Consumer Finance | 2,703,983 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 6,632,059 | — | — | |||||||||
Energy Equipment & Services | 16,017,173 | — | — | |||||||||
Food Products | 12,430,621 | — | — | |||||||||
Hotels, Restaurants & Leisure | 10,369,918 | — | — | |||||||||
Independent Power Producers & Energy Traders | 5,354,233 | — | �� | — | ||||||||
Insurance | 5,560,445 | — | — | |||||||||
Internet & Catalog Retail | 12,376,100 | — | — | |||||||||
Internet Software & Services | 22,722,450 | — | — | |||||||||
IT Services | 7,499,083 | — | — | |||||||||
Life Sciences Tools & Services | 3,613,292 | — | — | |||||||||
Media | 5,642,892 | — | — | |||||||||
Metals & Mining | 6,530,047 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 17,400,543 | — | — | |||||||||
Personal Products | 4,860,835 | — | — | |||||||||
Pharmaceuticals | 16,086,301 | — | — | |||||||||
Road & Rail | 12,719,362 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 7,662,513 | — | — | |||||||||
Software | 7,454,510 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 7,873,773 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 13,618,444 | — | — | |||||||||
Affiliated Money Market Mutual Fund | 23,189,522 | — | — | |||||||||
Total | $ | 273,386,022 | $ | — | $ | — | ||||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2014 was as follows:
Affiliated Money Market Mutual Fund (including 7.1% of collateral for securities on loan) | 9.1 | % | ||
Internet Software & Services | 8.9 | |||
Biotechnology | 7.2 | |||
Oil, Gas & Consumable Fuels | 6.8 | |||
Energy Equipment & Services | 6.3 | |||
Pharmaceuticals | 6.3 | |||
Textiles, Apparel & Luxury Goods | 5.4 | |||
Road & Rail | 5.0 | |||
Food Products | 4.9 | |||
Internet & Catalog Retail | 4.9 | |||
Automobiles | 4.6 | |||
Hotels, Restaurants & Leisure | 4.1 |
Aerospace & Defense | 3.6 | % | ||
Technology Hardware, Storage & Peripherals | 3.1 | |||
IT Services | 3.0 | |||
Semiconductors & Semiconductor Equipment | 3.0 | |||
Software | 2.9 | |||
Electronic Equipment, Instruments & Components | 2.6 | |||
Metals & Mining | 2.6 | |||
Chemicals | 2.3 | |||
Insurance | 2.2 | |||
Media | 2.2 | |||
Independent Power Producers & Energy Traders | 2.1 | |||
Personal Products | 1.9 | |||
Life Sciences Tools & Services | 1.4 | |||
Consumer Finance | 1.1 | |||
107.5 | ||||
Liabilities in excess of other assets | (7.5 | ) | ||
100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A2
JENNISON 20/20 FOCUS PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES (Unaudited)
as of June 30, 2014
ASSETS | ||||
Investments at value, including securities on loan of $17,735,467: | ||||
Unaffiliated investments (cost $183,054,044) | $ | 250,196,500 | ||
Affiliated investments (cost $23,189,522) | 23,189,522 | |||
Receivable for investments sold | 1,894,387 | |||
Receivable for Series shares sold | 149,921 | |||
Dividends receivable | 118,201 | |||
Tax reclaim receivable | 23,087 | |||
Prepaid expenses | 304 | |||
Total Assets | 275,571,922 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 18,030,254 | |||
Payable for investments purchased | 2,725,098 | |||
Payable for Series shares repurchased | 219,286 | |||
Management fee payable | 154,604 | |||
Payable to custodian | 47,065 | |||
Administration fee payable | 22,322 | |||
Accrued expenses | 60,640 | |||
Distribution fee payable | 37,203 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 21,297,398 | |||
NET ASSETS | $ | 254,274,524 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 96,353,485 | ||
Retained earnings | 157,921,039 | |||
Net assets, June 30, 2014 | $ | 254,274,524 | ||
Class I: | ||||
Net asset value and redemption price per share, $70,631,223 / 3,194,389 outstanding shares of beneficial interest | $ | 22.11 |
| |
Class II: | ||||
Net asset value and redemption price per share, $183,643,301 / 8,549,203 outstanding shares of beneficial interest | $ | 21.48 |
| |
STATEMENT OF OPERATIONS (Unaudited)
Six Months Ended June 30, 2014
NET INVESTMENT LOSS | ||||
Income | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $86,704) | $ | 1,081,661 | ||
Affiliated income from securities loaned, net | 18,455 | |||
Affiliated dividend income | 3,625 | |||
Total income | 1,103,741 | |||
EXPENSES | ||||
Management fee | 910,133 | |||
Distribution fee—Class II | 218,459 | |||
Administration fee—Class II | 131,076 | |||
Shareholders’ reports | 35,000 | |||
Custodian’s fees and expenses | 26,000 | |||
Audit fee | 10,000 | |||
Trustees’ fees | 6,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Legal fees and expenses | 4,000 | |||
Insurance expenses | 2,000 | |||
Commitment fee on syndicated credit agreement | 1,000 | |||
Miscellaneous | 6,599 | |||
Total expenses | 1,356,267 | |||
NET INVESTMENT LOSS | (252,526 | ) | ||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 7,775,342 | |||
Foreign currency transactions | (216 | ) | ||
7,775,126 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 8,456,021 | |||
Foreign currencies | 130 | |||
8,456,151 | ||||
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 16,231,277 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 15,978,751 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS: | ||||||||
Net investment income (loss) | $ | (252,526 | ) | $ | 406,955 | |||
Net realized gain on investment and foreign currency transactions | 7,775,126 | 41,444,921 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 8,456,151 | 17,543,929 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 15,978,751 | 59,395,805 | ||||||
SERIES SHARE TRANSACTIONS (Note 7) | ||||||||
Series shares sold | 14,943,617 | 19,773,001 | ||||||
Series shares repurchased | (23,911,961 | ) | (45,776,645 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (8,968,344 | ) | (26,003,644 | ) | ||||
TOTAL INCREASE | 7,010,407 | 33,392,161 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 247,264,117 | 213,871,956 | ||||||
End of period | $ | 254,274,524 | $ | 247,264,117 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A3
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
(Unaudited)
Note 1: | General |
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is composed of 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.
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 except for exchange-traded and cleared swaps which are classified as Level 2 in the fair value hierarchy, as the prices marked at the official settle are not public.
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. Securities not valued using such model prices are valued in accordance with exchange-traded common stocks discussed above.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the over-the-counter 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
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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 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 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 sales and maturities of short-term securities and forward currency contracts, disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains or losses from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.
Concentration of Risk: The ability of debt securities issuers (other than those issued or guaranteed by the U.S. Government) held by the Fund to meet its obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political or economic instability or the level of governmental supervision and regulation of foreign securities markets.
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
B2
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 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.
Note 3: | Agreements |
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
B3
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”).
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 six months ended June 30, 2014, brokerage commission recaptured under these agreements was $22,167.
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 six months ended June 30, 2014, PIM was compensated $5,532 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 six months ended June 30, 2014 were $121,782,311 and $127,329,243, respectively.
Note 6: | Tax Information |
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.
Note 7: | Capital |
The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life
B4
insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.
Transactions in shares of beneficial interest of the Jennison 20/20 Focus Portfolio were as follows:
Class I | Shares | Amount | ||||||
Six months ended June 30, 2014: | ||||||||
Series shares sold | 66,680 | $ | 1,407,611 | |||||
Series shares repurchased | (193,906 | ) | (4,069,168 | ) | ||||
Net increase (decrease) in shares outstanding | (127,226 | ) | $ | (2,661,557 | ) | |||
Year ended December 31, 2013: | ||||||||
Series shares sold | 145,480 | $ | 2,652,652 | |||||
Series shares repurchased | (533,701 | ) | (9,716,573 | ) | ||||
Net increase (decrease) in shares outstanding | (388,221 | ) | $ | (7,063,921 | ) | |||
Class II | ||||||||
Six months ended June 30, 2014: | ||||||||
Series shares sold | 659,273 | $ | 13,536,006 | |||||
Series shares repurchased | (972,834 | ) | (19,842,793 | ) | ||||
Net increase (decrease) in shares outstanding | (313,561 | ) | $ | (6,306,787 | ) | |||
Year ended December 31, 2013: | ||||||||
Series shares sold | 954,246 | $ | 17,120,349 | |||||
Series shares repurchased | (2,029,408 | ) | (36,060,072 | ) | ||||
Net increase (decrease) in shares outstanding | (1,075,162 | ) | $ | (18,939,723 | ) | |||
Note 8: | Borrowings |
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 did not utilize the SCA during the period ended June 30, 2014.
Note 9: | Ownership and Affiliates |
As of June 30, 2014, 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
(Unaudited)
Jennison 20/20 Focus Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2014(c) | Year Ended December 31, | |||||||||||||||||||||||
2013(c) | 2012(c) | 2011(c) | 2010(c) | 2009(c) | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 20.69 | $ | 15.93 | $ | 14.89 | $ | 15.55 | $ | 14.42 | $ | 9.18 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .01 | .09 | .05 | .04 | .05 | .03 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.41 | 4.67 | 1.55 | (.69 | ) | 1.08 | 5.26 | |||||||||||||||||
Total from investment operations | 1.42 | 4.76 | 1.60 | (.65 | ) | 1.13 | 5.29 | |||||||||||||||||
Less Distributions | — | — | (.56 | ) | (.01 | ) | — | (.05 | ) | |||||||||||||||
Net Asset Value, end of period | $ | 22.11 | $ | 20.69 | $ | 15.93 | $ | 14.89 | $ | 15.55 | $ | 14.42 | ||||||||||||
Total Return(a) | 6.86 | % | 29.88 | % | 11.04 | % | (4.17 | )% | 7.84 | % | 57.83 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 70.6 | $ | 68.7 | $ | 59.1 | $ | 58.7 | $ | 66.8 | $ | 70.5 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .83 | %(e) | .84 | % | .80 | % | .80 | % | .80 | % | .81 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .83 | %(e) | .84 | % | .80 | % | .80 | % | .80 | % | .81 | % | ||||||||||||
Net investment income | .08 | %(e) | .46 | % | .32 | % | .24 | % | .36 | % | .27 | % | ||||||||||||
Portfolio turnover rate | 51 | %(f) | 78 | % | 75 | % | 83 | % | 112 | % | 106 | % | ||||||||||||
Jennison 20/20 Focus Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2014(c) | Year Ended December 31, | |||||||||||||||||||||||
2013(c) | 2012(c) | 2011(c) | 2010(c) | 2009(c) | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 20.14 | $ | 15.57 | $ | 14.62 | $ | 15.31 | $ | 14.25 | $ | 9.06 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | (.03 | ) | .01 | (.03 | ) | (.03 | ) | (.01 | ) | (.01 | ) | |||||||||||||
Net realized and unrealized gain (loss) on investments | 1.37 | 4.56 | 1.54 | (.66 | ) | 1.07 | 5.20 | |||||||||||||||||
Total from investment operations | 1.34 | 4.57 | 1.51 | (.69 | ) | 1.06 | 5.19 | |||||||||||||||||
Less Distributions | — | — | (.56 | ) | — | — | — | (d) | ||||||||||||||||
Net Asset Value, end of period | $ | 21.48 | $ | 20.14 | $ | 15.57 | $ | 14.62 | $ | 15.31 | $ | 14.25 | ||||||||||||
Total Return(a) | 6.65 | % | 29.35 | % | 10.62 | % | (4.51 | )% | 7.44 | % | 57.29 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 183.6 | $ | 178.5 | $ | 154.8 | $ | 383.0 | $ | 476.2 | $ | 284.9 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.23 | %(e) | 1.24 | % | 1.20 | % | 1.20 | % | 1.20 | % | 1.21 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.23 | %(e) | 1.24 | % | 1.20 | % | 1.20 | % | 1.20 | % | 1.21 | % | ||||||||||||
Net investment income (loss) | (.32 | )%(e) | .07 | % | (.18 | )% | (.16 | )% | (.05 | )% | (.13 | )% | ||||||||||||
Portfolio turnover rate | 51 | %(f) | 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 period 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 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. Total returns for less than one full year are not annualized. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | Calculated based upon average shares outstanding during the period. |
(d) | Less than $0.005 per share. |
(e) | Annualized. |
(f) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Approval of Advisory Agreements
The Trust’s Board of Trustees
The Board of Trustees (the Board) of The Prudential Series Fund (the Trust) consists of eleven individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios, their operations, and performs the various duties imposed on the trustees of the Board (the Trustees) by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with Prudential Investments LLC (PI) and the Portfolio’s subadvisory agreement. As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 18-19, 2014 (the Meeting) and approved the renewal of the agreements through July 31, 2015, after concluding that the renewal of the agreements was in the best interests of the Trust, the Portfolio and its beneficial shareholders.
In advance of the Meeting, the Trustees received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant Peer Universe and Peer Group, as is further discussed below.
In approving the agreements, the Trustees, including the Independent Trustees advised by independent legal counsel, considered the factors they deemed relevant, including the nature, quality and extent of services provided, the performance of the Portfolio, the profitability of PI and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with the Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its deliberations, the Board considered information provided at or in advance of the Meeting as well as information provided throughout the year at regular and special Board meetings, including presentations from PI and subadviser personnel such as portfolio managers.
The Trustees determined that the overall arrangements between the Trust and PI, which serves as the Trust’s investment manager pursuant to a management agreement, and between PI and the subadviser, which serves pursuant to the terms of a subadvisory agreement with PI, are in the best interest of the Trust, the Portfolio and its shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment.
The material factors and conclusions that formed the basis for the Trustees’ determinations to approve the renewal of the agreements are discussed separately below.
Nature, quality and extent of services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PI and the subadviser. The Board considered the services provided by PI, including but not limited to the oversight of the subadviser, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PI’s oversight of the subadviser, the Board noted that PI’s Strategic Investment Research Group (SIRG), a business unit of PI, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the Portfolio and the subadviser. The Board also considered that PI pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by the subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PI’s evaluation of the subadviser, as well as PI’s recommendation, based on its review of the subadviser, to renew the subadvisory agreements.
The Board reviewed the qualifications, backgrounds and responsibilities of PI’s senior management individuals responsible for the oversight of the Trust, the Portfolio and the subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadviser’s portfolio managers who are responsible for the day-to-day management of the Portfolio. The Board was provided with information pertaining to PI’s and the subadviser’s organizational structure, senior management, investment operations and other
relevant information pertaining to PI and the subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PI and the subadviser. The Board noted that Jennison Associates LLC (Jennison) which serves as subadviser to the Portfolio, is affiliated with PI.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PI and the subadvisory services provided to the Portfolio by the subadviser, and that there was a reasonable basis on which to conclude that the Portfolio benefits from the services provided by PI and the subadviser under the management and subadvisory agreements.
Costs of Services and Profits Realized by PI
The Board was provided with information on the profitability of PI and its affiliates in serving as the Trust’s investment manager. The Board discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. The Board considered that information regarding the profitability of the Manager included profitability information regarding Jennison, which is an affiliate of PI. Taking these factors into account, the Board concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board noted that the management fee schedules for the Portfolio does not contain breakpoints that would reduce the fee rate on assets above specified levels. The Board received and discussed information concerning whether PI realizes economies of scale as the Portfolio’s assets grow beyond current levels. However, because of the nature of PI’s business, the Board could not reach definitive conclusions as to whether PI might realize economies of scale on the Portfolio or how great they may be. In light of the Portfolio’s current size and fee rate, the Board concluded that the fact that the Portfolio did not have breakpoints is acceptable at this time.
Other Benefits to PI and the Subadviser
The Board considered potential ancillary benefits that might be received by PI, the subadviser, and its affiliates as a result of their relationships with the Trust. The Board concluded that potential benefits to be derived by PI included fees received by affiliates of PI for serving as the Portfolio’s securities lending agent, compensation received by insurance company affiliates of PI from the subadviser, as well as benefits to its reputation or other intangible benefits resulting from PI’s association with the Trust. The Board also considered information provided by PI regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of PI at least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the benefits derived by PI and the subadviser were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of the Portfolio / Fees and Expenses / Other Factors
With respect to the Portfolio, the Board also considered certain additional specific factors and made related conclusions relating to the historical performance of the Portfolio for the one-, three-, five- and ten-year periods ended December 31, 2013.
The Board also considered the Portfolio’s actual management fee, as well as the Portfolio’s net total expense ratio, for the calendar year 2013. The Board considered the management fee for the Portfolio as compared to the management fee charged by PI to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid by the Portfolio and includes any fee waivers or reimbursements. The net total expense ratio for the Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in each Peer Universe and each Peer Group were objectively selected by Lipper Inc. (Lipper), an independent provider of mutual fund data. The comparisons placed the Portfolios in various quartiles, with the first quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PI deems appropriate, and for reasons addressed in detail with the Board, PI may have provided supplemental data compiled by Lipper for the Board’s consideration.
The section below summarizes key factors considered by the Board and the Board’s conclusions regarding the Portfolio’s performance, fees and overall expenses. The section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
Jennison 20/20 Focus Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
4th Quartile | 4th Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees: 3rd Quartile | ||||||||
Net Total Expenses: 2nd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the five- and ten-year periods, though it underperformed its benchmark index over the one- and three-year periods. |
• | PI advised the Board that it would continue to monitor the Portfolio’s performance. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
**********
After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.
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 Standard U.S. Postage PAID Prudential | |||
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.
©2014 Prudential Financial, Inc. and its related entities. 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.
0229048-00003-00 PSF-SAR-20/20 Focus
Item 2 – Code of Ethics – Not required, as this is not an annual filing.
Item 3 – Audit Committee Financial Expert – Not required, as this is not an annual filing.
Item 4 – Principal Accountant Fees and Services – Not required, as this is not an annual filing.
Item 5 – Audit Committee of Listed Registrants – Not applicable.
Item 6 – Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.
Item 8 – Portfolio Managers of Closed-End Management Investment Companies – Not applicable.
Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not
applicable. |
Item 10 – Submission of Matters to a Vote of Security Holders – Not applicable.
Item 11 – Controls and Procedures
(a) | It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure. |
(b) | There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12 – Exhibits
(a) (1) | Code of Ethics – Not required, as this is not an annual filing. |
(2) | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT. |
(3) | Any written solicitation to purchase securities under Rule 23c-1. – Not applicable. |
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | The Prudential Series Fund |
By: | /s/ Deborah A. Docs | |
Deborah A. Docs | ||
Secretary | ||
Date: | August 13, 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.
By: | /s/ Timothy S. Cronin | |
Timothy S. Cronin | ||
Acting Principal Executive Officer | ||
Date: | August 13, 2014 | |
By: | /s/ M. Sadiq Peshimam | |
M. Sadiq Peshimam | ||
Treasurer and Principal Financial and Accounting Officer | ||
Date: | August 13, 2014 |