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: | 655 Broad Street 17th FL Newark, New Jersey 07102 | |
Name and address of agent for service: | Deborah A. Docs | |
655 Broad Street 17th FL | ||
Newark, New Jersey 07102 | ||
Registrant’s telephone number, including area code: | 973-367-7521 | |
Date of fiscal year end: | 12/31/2015 | |
Date of reporting period: | 6/30/2015 |
Item 1 – Reports to Stockholders
THE PRUDENTIAL SERIES FUND
SEMIANNUAL REPORT Ÿ JUNE 30, 2015
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, 2015, 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, 2015 |
n | LETTER TO CONTRACT OWNERS |
n | PRESENTATION OF PORTFOLIO HOLDINGS |
n | FEES AND EXPENSES |
n |
Section A | Schedule of Investments and Financial Statements | |||
Conservative Balanced Portfolio | A1 | |||
Diversified Bond Portfolio | A32 | |||
Equity Portfolio | A58 | |||
Flexible Managed Portfolio | A63 | |||
Global Portfolio | A92 | |||
Government Income Portfolio | A99 | |||
High Yield Bond Portfolio | A108 | |||
Jennison Portfolio | A128 | |||
Money Market Portfolio | A132 | |||
Natural Resources Portfolio | A137 | |||
Small Capitalization Stock Portfolio | A142 | |||
Stock Index Portfolio | A153 | |||
Value Portfolio | A163 | |||
Glossary | A167 | |||
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, 2015 |
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.
Sincerely,
Timothy S. Cronin
President,
The Prudential Series Fund | July 31, 2015 |
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2015 |
Conservative Balanced | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Apple, Inc. | 1.8% | |||
U.S. Treasury Notes, 2.125%, 09/30/21 | 1.1% | |||
Federal National Mortgage Assoc., 3.000%, TBA | 1.0% | |||
Microsoft Corp. | 0.9% | |||
Exxon Mobil Corp. | 0.9% |
Diversified Bond | ||||
Allocation | (% of Net Assets | ) | ||
Banking | 12.8% | |||
Commercial Mortgage-Backed Securities | 10.7% | |||
Residential Mortgage-Backed Securities | 7.8% | |||
Healthcare & Pharmaceutical | 5.1% | |||
Sovereigns | 4.9% |
Equity | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Allergan PLC | 3.5% | |||
Apple, Inc. | 3.5% | |||
Facebook, Inc. (Class A Stock) | 3.1% | |||
Amazon.com, Inc. | 2.1% | |||
NIKE, Inc., (Class B Stock) | 2.0% |
Flexible Managed | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Apple, Inc. | 2.6% | |||
Exxon Mobil Corp. | 1.4% | |||
Microsoft Corp. | 1.4% | |||
JPMorgan Chase & Co. | 1.2% | |||
Johnson & Johnson | 1.1% |
Global | ||||
Top Five Countries | (% of Net Assets | ) | ||
United States | 50.1% | |||
Japan | 9.7% | |||
United Kingdom | 7.8% | |||
France | 3.9% | |||
Switzerland | 3.1% |
Government Income | ||||
Allocation | (% of Net Assets | ) | ||
U.S. Government Agency Obligations | 50.9% | |||
Commercial Mortgaged-Backed Securities | 22.7% | |||
U.S. Treasury Obligations | 19.5% | |||
Collateralized Loan Obligations | 5.6% | |||
Foreign Agencies | 0.7% |
High Yield Bond | ||||
Allocation | (% of Net Assets | ) | ||
Technology | 10.9% | |||
Healthcare & Pharmaceutical | 9.8% | |||
Capital Goods | 7.6% | |||
Electric | 6.3% | |||
Energy—Other | 5.7% |
Jennison | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Apple, Inc. | 5.7% | |||
Facebook, Inc. (Class A Stock) | 3.7% | |||
Amazon.com. Inc. | 3.5% | |||
MasterCard, Inc. (Class A Stock) | 3.5% | |||
NIKE, Inc. (Class B Stock) | 2.6% |
Natural Resources | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Anadarko Petroleum Corp. | 4.1% | |||
Concho Resources, Inc. | 4.0% | |||
Schlumberger Ltd. | 3.6% | |||
Noble Energy, Inc. | 3.2% | |||
EOG Resources, Inc. | 3.2% |
Small Capitalization Stock | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
iShares Core S&P Small-Cap ETF | 0.7% | |||
West Pharmaceutical Services, Inc. | 0.6% | |||
Toro Co. (The) | 0.5% | |||
Cracker Barrel Old Country Store, Inc. | 0.5% | |||
PAREXEL International Corp. | 0.5% |
Stock Index | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Apple, Inc. | 3.9% | |||
Microsoft Corp. | 1.9% | |||
Exxon Mobil Corp. | 1.9% | |||
Johnson & Johnson | 1.4% | |||
General Electric Co. | 1.4% |
Value | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
JPMorgan Chase & Co. | 3.3% | |||
Wells Fargo & Co. | 3.1% | |||
Citigroup, Inc. | 2.5% | |||
Allergan PLC | 2.5% | |||
Goldman Sachs Group, Inc. | 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, 2015 |
As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2015 through June 30, 2015.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During 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, 2015 | Ending Account Value June 30, 2015 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
Conservative Balanced (Class I) | Actual | $ | 1,000.00 | $ | 1,005.30 | 0.58 | % | $ | 2.88 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.92 | 0.58 | % | $ | 2.91 | ||||||||||
Diversified Bond (Class I) | Actual | $ | 1,000.00 | $ | 997.40 | 0.44 | % | $ | 2.18 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.61 | 0.44 | % | $ | 2.21 | ||||||||||
Equity (Class I) | Actual | $ | 1,000.00 | $ | 1,031.90 | 0.47 | % | $ | 2.37 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.46 | 0.47 | % | $ | 2.36 | ||||||||||
Equity (Class II) | Actual | $ | 1,000.00 | $ | 1,030.00 | 0.87 | % | $ | 4.38 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.48 | 0.87 | % | $ | 4.36 | ||||||||||
Flexible Managed (Class I) | Actual | $ | 1,000.00 | $ | 1,008.40 | 0.63 | % | $ | 3.14 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.67 | 0.63 | % | $ | 3.16 | ||||||||||
Global (Class I) | Actual | $ | 1,000.00 | $ | 1,044.70 | 0.81 | % | $ | 4.11 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.78 | 0.81 | % | $ | 4.06 | ||||||||||
Government Income (Class I) | Actual | $ | 1,000.00 | $ | 1,001.70 | 0.49 | % | $ | 2.43 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.36 | 0.49 | % | $ | 2.46 | ||||||||||
High Yield Bond (Class I) | Actual | $ | 1,000.00 | $ | 1,027.40 | 0.57 | % | $ | 2.87 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.97 | 0.57 | % | $ | 2.86 | ||||||||||
Jennison (Class I) | Actual | $ | 1,000.00 | $ | 1,086.90 | 0.63 | % | $ | 3.26 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.67 | 0.63 | % | $ | 3.16 | ||||||||||
Jennison (Class II) | Actual | $ | 1,000.00 | $ | 1,084.70 | 1.03 | % | $ | 5.32 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.69 | 1.03 | % | $ | 5.16 | ||||||||||
Money Market (Class I) | Actual | $ | 1,000.00 | $ | 1,000.00 | 0.17 | % | $ | 0.84 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.95 | 0.17 | % | $ | 0.85 |
The Prudential Series Fund
Fees and Expenses — unaudited (continued) | June 30, 2015 |
The Prudential Series Fund Portfolios | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
Natural Resources (Class I) | Actual | $ | 1,000.00 | $ | 961.00 | 0.46 | % | $ | 2.24 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.51 | 0.46 | % | $ | 2.31 | ||||||||||
Natural Resources (Class II) | Actual | $ | 1,000.00 | $ | 959.30 | 0.86 | % | $ | 4.18 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.53 | 0.86 | % | $ | 4.31 | ||||||||||
Small Capitalization Stock (Class I) | Actual | $ | 1,000.00 | $ | 1,040.30 | 0.40 | % | $ | 2.02 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.81 | 0.40 | % | $ | 2.01 | ||||||||||
Stock Index (Class I) | Actual | $ | 1,000.00 | $ | 1,010.80 | 0.32 | % | $ | 1.60 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.21 | 0.32 | % | $ | 1.61 | ||||||||||
Value (Class I) | Actual | $ | 1,000.00 | $ | 1,003.40 | 0.42 | % | $ | 2.09 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.71 | 0.42 | % | $ | 2.11 | ||||||||||
Value (Class II) | Actual | $ | 1,000.00 | $ | 1,001.90 | 0.82 | % | $ | 4.07 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.73 | 0.82 | % | $ | 4.11 |
* 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, 2015, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2015 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
CONSERVATIVE BALANCED PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
LONG-TERM INVESTMENTS — 84.8% | ||||||||
COMMON STOCKS — 51.1% | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 1.3% | ||||||||
Airbus Group NV (France) | 17,481 | $ | 1,138,668 | |||||
BAE Systems PLC (United Kingdom) | 50,286 | 356,296 | ||||||
Boeing Co. (The) | 40,650 | 5,638,968 | ||||||
General Dynamics Corp. | 19,500 | 2,762,955 | ||||||
Honeywell International, Inc. | 48,412 | 4,936,572 | ||||||
L-3 Communications Holdings, Inc. | 5,100 | 578,238 | ||||||
Lockheed Martin Corp. | 16,600 | 3,085,940 | ||||||
Northrop Grumman Corp. | 12,462 | 1,976,847 | ||||||
Precision Castparts Corp. | 8,800 | 1,758,856 | ||||||
Raytheon Co. | 19,000 | 1,817,920 | ||||||
Rockwell Collins, Inc. | 8,200 | 757,270 | ||||||
Safran SA (France) | 3,060 | 207,956 | ||||||
Textron, Inc. | 17,100 | 763,173 | ||||||
United Technologies Corp. | 51,600 | 5,723,988 | ||||||
31,503,647 | ||||||||
Air Freight & Logistics — 0.3% | ||||||||
C.H. Robinson Worldwide, Inc. | 9,100 | 567,749 | ||||||
Expeditors International of Washington, Inc. | 11,900 | 548,650 | ||||||
FedEx Corp. | 16,600 | 2,828,640 | ||||||
Royal Mail PLC (United Kingdom) | 7,426 | 60,035 | ||||||
United Parcel Service, Inc. (Class B Stock) | 43,400 | 4,205,894 | ||||||
8,210,968 | ||||||||
Airlines — 0.3% | ||||||||
American Airlines Group, Inc. | 43,000 | 1,717,205 | ||||||
ANA Holdings, Inc. (Japan) | 13,000 | 35,247 | ||||||
Cathay Pacific Airways Ltd. (Hong Kong) | 327,000 | 803,410 | ||||||
Delta Air Lines, Inc. | 50,900 | 2,090,972 | ||||||
easyJet PLC (United Kingdom) | 1,793 | 43,585 | ||||||
International Consolidated Airlines Group SA (United Kingdom)* | 9,089 | 70,908 | ||||||
Japan Airlines Co. Ltd. (Japan) | 1,400 | 48,789 | ||||||
Ryanair Holdings PLC (Ireland) ADR | 11,100 | 791,985 | ||||||
Singapore Airlines Ltd. (Singapore) | 5,900 | 46,976 | ||||||
Southwest Airlines Co. | 41,800 | 1,383,162 | ||||||
7,032,239 | ||||||||
Auto Components — 0.3% | ||||||||
BorgWarner, Inc. | 14,000 | 795,760 | ||||||
Cie Generale des Etablissements Michelin (France) | 7,366 | 775,080 | ||||||
Continental AG (Germany) | 279 | 66,061 | ||||||
Delphi Automotive PLC (United Kingdom) | 18,000 | 1,531,620 | ||||||
Goodyear Tire & Rubber Co. (The) | 16,300 | 491,445 | ||||||
Johnson Controls, Inc. | 40,600 | 2,010,918 | ||||||
NHK Spring Co. Ltd. (Japan) | 72,200 | 794,949 | ||||||
NOK Corp. (Japan) | 26,700 | 827,268 | ||||||
Nokian Renkaat OYJ (Finland) | 1,287 | 40,322 | ||||||
Toyota Industries Corp. (Japan) | 1,900 | 108,198 | ||||||
Valeo SA (France) | 790 | 124,965 | ||||||
7,566,586 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Automobiles — 0.5% | ||||||||
Daimler AG (Germany) | 18,812 | $ | 1,713,694 | |||||
Fiat Chrysler Automobiles NV (United Kingdom)* | 10,057 | 147,538 | ||||||
Ford Motor Co. | 244,285 | 3,666,718 | ||||||
Fuji Heavy Industries Ltd. (Japan) | 6,800 | 250,041 | ||||||
General Motors Co. | 83,500 | 2,783,055 | ||||||
Harley-Davidson, Inc. | 13,100 | 738,185 | ||||||
Nissan Motor Co. Ltd. (Japan) | 23,900 | 249,682 | ||||||
Peugeot SA (France)* | 51,647 | 1,065,059 | ||||||
Renault SA (France) | 2,141 | 224,479 | ||||||
Toyota Motor Corp. (Japan) | 24,800 | 1,659,549 | ||||||
Volkswagen AG (Germany) | 333 | 77,105 | ||||||
12,575,105 | ||||||||
Banks — 3.6% | ||||||||
Aozora Bank Ltd. (Japan) | 106,000 | 399,940 | ||||||
Australia & New Zealand Banking Group Ltd. (Australia) | 37,789 | 937,817 | ||||||
Banco Santander SA (Spain) | 268,715 | 1,890,150 | ||||||
Bank Hapoalim BM (Israel) | 156,282 | 841,103 | ||||||
Bank Leumi Le-Israel BM (Israel)* | 46,319 | 195,721 | ||||||
Bank of America Corp. | 649,521 | 11,054,847 | ||||||
Bank of Kyoto Ltd. (The) (Japan) | 4,000 | 46,013 | ||||||
Bank of Yokohama Ltd. (The) (Japan) | 13,000 | 79,612 | ||||||
Barclays PLC (United Kingdom) | 4,989 | 20,448 | ||||||
BB&T Corp. | 44,500 | 1,793,795 | ||||||
BOC Hong Kong Holdings Ltd. (Hong Kong) | 38,000 | 158,158 | ||||||
Chiba Bank Ltd. (The) (Japan) | 8,000 | 60,918 | ||||||
Citigroup, Inc. | 188,185 | 10,395,339 | ||||||
Comerica, Inc. | 11,000 | 564,520 | ||||||
Commonwealth Bank of Australia (Australia) | 6,573 | 431,038 | ||||||
Credit Agricole SA (France) | 11,877 | 177,324 | ||||||
Danske Bank A/S (Denmark) | 3,407 | 100,156 | ||||||
DNB ASA (Norway) | 57,655 | 960,164 | ||||||
Fifth Third Bancorp | 50,321 | 1,047,683 | ||||||
HSBC Holdings PLC (United Kingdom) | 218,852 | 1,959,679 | ||||||
Huntington Bancshares, Inc. | 47,736 | 539,894 | ||||||
ING Groep NV (Netherlands), CVA | 43,381 | 720,359 | ||||||
Intesa Sanpaolo SpA (Italy) | 10,665 | 34,050 | ||||||
JPMorgan Chase & Co. | 231,145 | 15,662,385 | ||||||
KBC Groep NV (Belgium) | 14,972 | 1,003,698 | ||||||
KeyCorp | 51,900 | 779,538 | ||||||
Lloyds Banking Group PLC (United Kingdom) | 25,147 | 33,752 | ||||||
M&T Bank Corp.(a) | 8,200 | 1,024,426 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 282,400 | 2,031,717 | ||||||
Mizuho Financial Group, Inc. (Japan) | 688,900 | 1,490,595 | ||||||
Nordea Bank AB (Sweden) | 34,621 | 431,785 | ||||||
Oversea-Chinese Banking Corp. Ltd. (Singapore) | 51,960 | 392,400 | ||||||
People’s United Financial, Inc.(a) | 18,700 | 303,127 | ||||||
PNC Financial Services Group, Inc. (The) | 32,233 | 3,083,087 | ||||||
Regions Financial Corp. | 82,203 | 851,623 | ||||||
Resona Holdings, Inc. (Japan) | 121,100 | 660,495 |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks (continued) | ||||||||
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock) | 79,536 | $ | 1,017,372 | |||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 32,300 | 1,437,970 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 143,000 | 654,168 | ||||||
SunTrust Banks, Inc. | 32,400 | 1,393,848 | ||||||
Svenska Handelsbanken AB (Sweden) (Class A Stock) | 68,060 | 993,557 | ||||||
U.S. Bancorp | 109,985 | 4,773,349 | ||||||
Wells Fargo & Co. | 290,364 | 16,330,071 | ||||||
Westpac Banking Corp. (Australia) | 4,855 | 120,123 | ||||||
Zions Bancorporation | 12,750 | 404,621 | ||||||
89,282,435 | ||||||||
Beverages — 1.0% | ||||||||
Anheuser-Busch InBev NV (Belgium) | 4,077 | 490,629 | ||||||
Brown-Forman Corp. (Class B Stock) | 9,650 | 966,737 | ||||||
Carlsberg A/S (Denmark) (Class B Stock) | 1,231 | 111,535 | ||||||
Coca-Cola Co. (The) | 242,701 | 9,521,160 | ||||||
Coca-Cola Enterprises, Inc. | 13,400 | 582,096 | ||||||
Constellation Brands, Inc. (Class A Stock) | 10,400 | 1,206,608 | ||||||
Diageo PLC (United Kingdom) | 19,665 | 569,491 | ||||||
Dr. Pepper Snapple Group, Inc. | 12,000 | 874,800 | ||||||
Heineken NV (Netherlands) | 2,648 | 201,321 | ||||||
Molson Coors Brewing Co. (Class B Stock) | 9,900 | 691,119 | ||||||
Monster Beverage Corp.* | 9,100 | 1,219,582 | ||||||
PepsiCo, Inc. | 92,107 | 8,597,267 | ||||||
Pernod Ricard SA (France) | 1,556 | 179,878 | ||||||
SABMiller PLC (United Kingdom) | 11,247 | 583,158 | ||||||
25,795,381 | ||||||||
Biotechnology — 1.5% | ||||||||
Alexion Pharmaceuticals, Inc.* | 13,600 | 2,458,472 | ||||||
Amgen, Inc. | 47,387 | 7,274,852 | ||||||
Biogen, Inc.* | 14,690 | 5,933,879 | ||||||
Celgene Corp.* | 49,900 | 5,775,176 | ||||||
Gilead Sciences, Inc. | 92,300 | 10,806,484 | ||||||
Regeneron Pharmaceuticals, Inc.* | 4,700 | 2,397,611 | ||||||
Vertex Pharmaceuticals, Inc.* | 15,000 | 1,852,200 | ||||||
36,498,674 | ||||||||
Building Products — 0.1% | ||||||||
Allegion PLC | 6,533 | 392,894 | ||||||
Asahi Glass Co. Ltd. (Japan) | 64,000 | 384,226 | ||||||
Daikin Industries Ltd. (Japan) | 2,700 | 194,099 | ||||||
Masco Corp. | 21,900 | 584,073 | ||||||
TOTO Ltd. (Japan) | 2,000 | 36,048 | ||||||
1,591,340 | ||||||||
Capital Markets — 1.2% | ||||||||
3i Group PLC (United Kingdom) | 113,517 | 921,093 | ||||||
Affiliated Managers Group, Inc.* | 3,400 | 743,240 | ||||||
Ameriprise Financial, Inc. | 11,320 | 1,414,208 | ||||||
Bank of New York Mellon Corp. (The) | 68,758 | 2,885,773 | ||||||
BlackRock, Inc. | 8,000 | 2,767,840 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Capital Markets (continued) | ||||||||
Charles Schwab Corp. (The) | 71,250 | $ | 2,326,312 | |||||
E*TRADE Financial Corp.* | 17,620 | 527,719 | ||||||
Franklin Resources, Inc. | 24,200 | 1,186,526 | ||||||
Goldman Sachs Group, Inc. (The) | 25,100 | 5,240,629 | ||||||
Invesco Ltd. | 27,600 | 1,034,724 | ||||||
Legg Mason, Inc. | 6,900 | 355,557 | ||||||
Macquarie Group Ltd. (Australia) | 18,044 | 1,130,556 | ||||||
Mediobanca SpA (Italy) | 6,985 | 68,486 | ||||||
Morgan Stanley | 95,180 | 3,692,032 | ||||||
Nomura Holdings, Inc. (Japan) | 41,700 | 281,552 | ||||||
Northern Trust Corp. | 13,600 | 1,039,856 | ||||||
Schroders PLC (United Kingdom) | 1,395 | 69,606 | ||||||
State Street Corp. | 25,500 | 1,963,500 | ||||||
T. Rowe Price Group, Inc. | 16,100 | 1,251,453 | ||||||
UBS Group AG (Switzerland) | 41,566 | 881,884 | ||||||
29,782,546 | ||||||||
Chemicals — 1.2% | ||||||||
Air Products & Chemicals, Inc. | 12,000 | 1,641,960 | ||||||
Airgas, Inc. | 4,600 | 486,588 | ||||||
Asahi Kasei Corp. (Japan) | 14,000 | 114,836 | ||||||
BASF SE (Germany) | 10,486 | 922,696 | ||||||
CF Industries Holdings, Inc. | 15,000 | 964,200 | ||||||
Daicel Corp. (Japan) | 3,000 | 38,497 | ||||||
Dow Chemical Co. (The) | 67,231 | 3,440,210 | ||||||
E.I. du Pont de Nemours & Co. | 56,520 | 3,614,454 | ||||||
Eastman Chemical Co. | 9,200 | 752,744 | ||||||
Ecolab, Inc. | 16,700 | 1,888,269 | ||||||
FMC Corp. | 8,200 | 430,910 | ||||||
Givaudan SA (Switzerland)* | 73 | 126,385 | ||||||
Hitachi Chemical Co. Ltd. (Japan) | 1,200 | 21,613 | ||||||
International Flavors & Fragrances, Inc. | 5,000 | 546,450 | ||||||
K+S AG (Germany) | 26,197 | 1,104,673 | ||||||
Kaneka Corp. (Japan) | 3,000 | 21,909 | ||||||
Kuraray Co. Ltd. (Japan) | 27,100 | 331,036 | ||||||
LyondellBasell Industries NV (Class A Stock) | 24,500 | 2,536,240 | ||||||
Mitsubishi Gas Chemical Co., Inc. (Japan) | 40,000 | 223,970 | ||||||
Monsanto Co. | 29,894 | 3,186,402 | ||||||
Mosaic Co. (The) | 19,200 | 899,520 | ||||||
Nippon Paint Holdings Co. Ltd. (Japan) | 1,700 | 47,907 | ||||||
Nitto Denko Corp. (Japan) | 1,800 | 147,820 | ||||||
PPG Industries, Inc. | 16,800 | 1,927,296 | ||||||
Praxair, Inc. | 17,900 | 2,139,945 | ||||||
Sherwin-Williams Co. (The) | 5,000 | 1,375,100 | ||||||
Sigma-Aldrich Corp. | 7,400 | 1,031,190 | ||||||
Sumitomo Chemical Co. Ltd. (Japan) | 17,000 | 102,143 | ||||||
Yara International ASA (Norway) | 17,769 | 925,909 | ||||||
30,990,872 | ||||||||
Commercial Services & Supplies — 0.2% |
| |||||||
ADT Corp. (The)(a) | 10,500 | 352,485 | ||||||
Cintas Corp. | 6,000 | 507,540 | ||||||
Pitney Bowes, Inc. | 13,100 | 272,611 | ||||||
Republic Services, Inc. | 15,465 | 605,764 | ||||||
Secom Co. Ltd. (Japan) | 2,000 | 129,931 | ||||||
Societe BIC SA (France) | 2,078 | 331,283 |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Commercial Services & Supplies (continued) |
| |||||||
Stericycle, Inc.* | 5,300 | $ | 709,723 | |||||
Tyco International PLC | 26,000 | 1,000,480 | ||||||
Waste Management, Inc. | 26,442 | 1,225,587 | ||||||
5,135,404 | ||||||||
Communications Equipment — 0.7% |
| |||||||
Cisco Systems, Inc. | 316,700 | 8,696,582 | ||||||
F5 Networks, Inc.* | 4,500 | 541,575 | ||||||
Harris Corp. | 8,200 | 630,662 | ||||||
Juniper Networks, Inc. | 23,200 | 602,504 | ||||||
Motorola Solutions, Inc. | 11,789 | 675,981 | ||||||
QUALCOMM, Inc. | 102,600 | 6,425,838 | ||||||
17,573,142 | ||||||||
Construction & Engineering — 0.1% |
| |||||||
Ferrovial SA (Spain) | 13,876 | 301,476 | ||||||
Fluor Corp. | 9,800 | 519,498 | ||||||
Jacobs Engineering Group, Inc.*(a) | 7,700 | 312,774 | ||||||
Kajima Corp. (Japan) | 10,000 | 46,968 | ||||||
Obayashi Corp. (Japan) | 7,000 | 51,045 | ||||||
Quanta Services, Inc.* | 13,100 | 377,542 | ||||||
Shimizu Corp. (Japan) | 7,000 | 58,909 | ||||||
Skanska AB (Sweden) (Class B Stock) | 33,919 | 687,336 | ||||||
Taisei Corp. (Japan) | 19,000 | 109,079 | ||||||
2,464,627 | ||||||||
Construction Materials — 0.1% |
| |||||||
HeidelbergCement AG (Germany) | 936 | 74,185 | ||||||
Martin Marietta Materials, Inc.(a) | 3,900 | 551,889 | ||||||
Taiheiyo Cement Corp. (Japan) | 9,000 | 26,319 | ||||||
Vulcan Materials Co. | 8,200 | 688,226 | ||||||
1,340,619 | ||||||||
Consumer Finance — 0.4% | ||||||||
American Express Co. | 54,200 | 4,212,424 | ||||||
Capital One Financial Corp. | 34,361 | 3,022,737 | ||||||
Discover Financial Services | 27,640 | 1,592,617 | ||||||
Navient Corp. | 25,400 | 462,534 | ||||||
9,290,312 | ||||||||
Containers & Packaging — 0.1% | ||||||||
Avery Dennison Corp. | 6,200 | 377,828 | ||||||
Ball Corp. | 8,500 | 596,275 | ||||||
MeadWestvaco Corp. | 10,314 | 486,718 | ||||||
Owens-Illinois, Inc.* | 9,400 | 215,636 | ||||||
Rexam PLC (United Kingdom) | 74,290 | 644,316 | ||||||
Sealed Air Corp. | 13,000 | 667,940 | ||||||
2,988,713 | ||||||||
Distributors | ||||||||
Genuine Parts Co. | 9,500 | 850,535 | ||||||
Diversified Consumer Services | ||||||||
H&R Block, Inc. | 17,200 | 509,980 | ||||||
Diversified Financial Services — 0.9% | ||||||||
Berkshire Hathaway, Inc. (Class B Stock)* | 113,400 | 15,434,874 | ||||||
CME Group, Inc. | 19,600 | 1,823,976 | ||||||
Intercontinental Exchange, Inc. | 6,971 | 1,558,785 | ||||||
Investment AB Kinnevik (Sweden) (Class B Stock) | 8,220 | 259,998 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Diversified Financial Services (continued) |
| |||||||
Investor AB (Sweden) (Class B Stock) | 5,099 | $ | 190,120 | |||||
Leucadia National Corp. | 20,700 | 502,596 | ||||||
McGraw Hill Financial, Inc. | 16,900 | 1,697,605 | ||||||
Moody’s Corp.(a) | 11,000 | 1,187,560 | ||||||
NASDAQ OMX Group, Inc. (The) | 8,000 | 390,480 | ||||||
ORIX Corp. (Japan) | 32,700 | 485,578 | ||||||
23,531,572 | ||||||||
Diversified Telecommunication Services — 1.2% |
| |||||||
AT&T, Inc. | 320,468 | 11,383,023 | ||||||
BT Group PLC (United Kingdom) | 119,954 | 849,430 | ||||||
CenturyLink, Inc. | 35,036 | 1,029,358 | ||||||
Deutsche Telekom AG (Germany) | 44,605 | 769,005 | ||||||
Frontier Communications Corp.(a) | 64,390 | 318,730 | ||||||
Level 3 Communications, Inc.* | 17,700 | 932,259 | ||||||
Nippon Telegraph & Telephone Corp. (Japan) | 32,600 | 1,180,634 | ||||||
PCCW Ltd. (Hong Kong) | 47,000 | 28,034 | ||||||
Telecom Italia SpA (Italy) | 902,926 | 920,772 | ||||||
Telecom Italia SpA (Italy) RSP*(a) | 796,591 | 1,012,319 | ||||||
Telstra Corp. Ltd. (Australia) | 49,801 | 235,686 | ||||||
Verizon Communications, Inc. | 256,076 | 11,935,702 | ||||||
30,594,952 | ||||||||
Electric Utilities — 0.9% | ||||||||
American Electric Power Co., Inc. | 30,260 | 1,602,872 | ||||||
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong) | 93,000 | 721,904 | ||||||
Chubu Electric Power Co., Inc. (Japan) | 7,400 | 110,291 | ||||||
Chugoku Electric Power Co., Inc. (The) (Japan) | 2,200 | 32,092 | ||||||
Duke Energy Corp.(a) | 43,761 | 3,090,402 | ||||||
Edison International | 20,200 | 1,122,716 | ||||||
EDP-Energias de Portugal SA (Portugal) | 16,785 | 63,951 | ||||||
Electricite de France SA (France) | 29,583 | 661,733 | ||||||
Endesa SA (Spain) | 3,624 | 69,406 | ||||||
Entergy Corp. | 11,200 | 789,600 | ||||||
Eversource Energy | 19,600 | 890,036 | ||||||
Exelon Corp. | 53,113 | 1,668,810 | ||||||
FirstEnergy Corp. | 26,006 | 846,495 | ||||||
Fortum OYJ (Finland) | 45,298 | 804,719 | ||||||
Hokuriku Electric Power Co. (Japan) | 2,200 | 32,771 | ||||||
Kansai Electric Power Co., Inc. (The) (Japan)* | 8,200 | 90,778 | ||||||
Kyushu Electric Power Co., Inc. (Japan)* | 3,200 | 37,101 | ||||||
NextEra Energy, Inc. | 27,400 | 2,686,022 | ||||||
Pepco Holdings, Inc. | 16,400 | 441,816 | ||||||
Pinnacle West Capital Corp. | 7,500 | 426,675 | ||||||
Power Assets Holdings Ltd. (Hong Kong) | 16,000 | 145,878 | ||||||
PPL Corp. | 41,200 | 1,214,164 | ||||||
Shikoku Electric Power Co., Inc. (Japan) | 2,300 | 34,431 | ||||||
Southern Co. (The) | 56,200 | 2,354,780 | ||||||
Tohoku Electric Power Co., Inc. (Japan) | 5,300 | 71,759 |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Electric Utilities (continued) | ||||||||
Tokyo Electric Power Co., Inc. (Japan)* | 16,500 | $ | 89,890 | |||||
Xcel Energy, Inc. | 31,310 | 1,007,556 | ||||||
21,108,648 | ||||||||
Electrical Equipment — 0.4% | ||||||||
AMETEK, Inc. | 14,900 | 816,222 | ||||||
Eaton Corp. PLC | 29,337 | 1,979,954 | ||||||
Emerson Electric Co. | 42,300 | 2,344,689 | ||||||
Fuji Electric Co. Ltd. (Japan) | 6,000 | 25,806 | ||||||
Mitsubishi Electric Corp. (Japan) | 88,000 | 1,136,318 | ||||||
OSRAM Licht AG (Germany) | 15,848 | 758,182 | ||||||
Rockwell Automation, Inc. | 8,400 | 1,046,976 | ||||||
Vestas Wind Systems A/S (Denmark) | 17,757 | 885,071 | ||||||
8,993,218 | ||||||||
Electronic Equipment, Instruments & Components — 0.3% |
| |||||||
Amphenol Corp. (Class A Stock) | 19,200 | 1,113,024 | ||||||
Citizen Holdings Co. Ltd. (Japan) | 3,100 | 21,628 | ||||||
Corning, Inc. | 78,500 | 1,548,805 | ||||||
FLIR Systems, Inc. | 8,000 | 246,560 | ||||||
Ibiden Co. Ltd. (Japan) | 44,400 | 750,867 | ||||||
Keyence Corp. (Japan) | 1,200 | 646,772 | ||||||
Kyocera Corp. (Japan) | 3,700 | 192,372 | ||||||
Murata Manufacturing Co. Ltd. (Japan) | 8,900 | 1,553,187 | ||||||
TDK Corp. (Japan) | 1,800 | 137,831 | ||||||
TE Connectivity Ltd. (Switzerland) | 25,100 | 1,613,930 | ||||||
7,824,976 | ||||||||
Energy Equipment & Services — 0.6% | ||||||||
Baker Hughes, Inc. | 26,898 | 1,659,607 | ||||||
Cameron International Corp.* | 12,000 | 628,440 | ||||||
Diamond Offshore Drilling, Inc.(a) | 4,700 | 121,307 | ||||||
Ensco PLC (Class A Stock) | 14,700 | 327,369 | ||||||
FMC Technologies, Inc.* | 14,300 | 593,307 | ||||||
Halliburton Co. | 52,500 | 2,261,175 | ||||||
Helmerich & Payne, Inc.(a) | 6,700 | 471,814 | ||||||
National Oilwell Varco, Inc. | 24,000 | 1,158,720 | ||||||
Noble Corp. PLC(a) | 14,100 | 216,999 | ||||||
Schlumberger Ltd. | 79,318 | 6,836,418 | ||||||
Transocean Ltd.(a) | 21,800 | 351,416 | ||||||
Transocean Ltd. (SWX)(a) | 4,113 | 66,679 | ||||||
14,693,251 | ||||||||
Food & Staples Retailing — 1.2% | ||||||||
Casino Guichard Perrachon SA (France) | 652 | 49,489 | ||||||
Costco Wholesale Corp. | 27,200 | 3,673,632 | ||||||
CVS Health Corp. | 70,048 | 7,346,634 | ||||||
Distribuidora Internacional de Alimentacion SA (Spain) | 107,053 | 820,411 | ||||||
ICA Gruppen AB (Sweden) | 6,366 | 225,847 | ||||||
J. Sainsbury PLC (United Kingdom) | 161,327 | 671,556 | ||||||
Koninklijke Ahold NV (Netherlands) | 9,887 | 185,606 | ||||||
Kroger Co. (The) | 30,346 | 2,200,388 | ||||||
METRO AG (Germany) | 3,292 | 103,975 | ||||||
Sysco Corp. | 36,600 | 1,321,260 | ||||||
Wal-Mart Stores, Inc. | 98,200 | 6,965,326 | ||||||
Walgreens Boots Alliance, Inc. | 53,900 | 4,551,316 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Food & Staples Retailing (continued) | ||||||||
Wesfarmers Ltd. (Australia) | 29,564 | $ | 889,084 | |||||
Whole Foods Market, Inc. | 22,300 | 879,512 | ||||||
WM Morrison Supermarkets PLC (United Kingdom) | 172,713 | 490,290 | ||||||
30,374,326 | ||||||||
Food Products — 1.0% | ||||||||
Archer-Daniels-Midland Co. | 39,226 | 1,891,478 | ||||||
Campbell Soup Co.(a) | 11,000 | 524,150 | ||||||
Chocoladefabriken Lindt & Sprungli AG (Switzerland) | 1 | 62,591 | ||||||
ConAgra Foods, Inc. | 26,300 | 1,149,836 | ||||||
General Mills, Inc. | 37,300 | 2,078,356 | ||||||
Hershey Co. (The) | 9,200 | 817,236 | ||||||
Hormel Foods Corp. | 8,300 | 467,871 | ||||||
J.M. Smucker Co. (The) | 6,100 | 661,301 | ||||||
Kellogg Co. | 15,700 | 984,390 | ||||||
Keurig Green Mountain, Inc. | 7,500 | 574,725 | ||||||
Kraft Foods Group, Inc. | 36,317 | 3,092,029 | ||||||
McCormick & Co., Inc. | 8,000 | 647,600 | ||||||
Mead Johnson Nutrition Co. | 12,567 | 1,133,795 | ||||||
Mondelez International, Inc. (Class A Stock) | 101,853 | 4,190,232 | ||||||
Nestle SA (Switzerland) | 45,679 | 3,295,769 | ||||||
NH Foods Ltd. (Japan) | 2,000 | 45,609 | ||||||
Tyson Foods, Inc. (Class A Stock)(a) | 18,100 | 771,603 | ||||||
Unilever NV (United Kingdom) | 36,447 | 1,523,821 | ||||||
Wilmar International Ltd. (Singapore) | 343,100 | 835,066 | ||||||
24,747,458 | ||||||||
Gas Utilities | ||||||||
AGL Resources, Inc. | 8,039 | 374,296 | ||||||
Snam SpA (Italy) | 26,639 | 126,776 | ||||||
501,072 | ||||||||
Health Care Equipment & Supplies — 1.0% |
| |||||||
Abbott Laboratories | 94,100 | 4,618,428 | ||||||
Baxter International, Inc.(a) | 34,000 | 2,377,620 | ||||||
Becton, Dickinson & Co. | 12,978 | 1,838,333 | ||||||
Boston Scientific Corp.* | 82,167 | 1,454,356 | ||||||
C.R. Bard, Inc. | 4,600 | 785,220 | ||||||
DENTSPLY International, Inc. | 8,700 | 448,485 | ||||||
Edwards Lifesciences Corp.* | 6,700 | 954,281 | ||||||
Hoya Corp. (Japan) | 4,900 | 196,244 | ||||||
Intuitive Surgical, Inc.* | 2,300 | 1,114,350 | ||||||
Medtronic PLC | 88,590 | 6,564,519 | ||||||
St. Jude Medical, Inc. | 17,400 | 1,271,418 | ||||||
Stryker Corp. | 18,500 | 1,768,045 | ||||||
Varian Medical Systems, Inc.*(a) | 6,200 | 522,846 | ||||||
Zimmer Biomet Holdings, Inc. | 10,800 | 1,179,684 | ||||||
25,093,829 | ||||||||
Health Care Providers & Services — 1.4% |
| |||||||
Aetna, Inc. | 21,769 | 2,774,677 | ||||||
Alfresa Holdings Corp. (Japan) | 1,200 | 18,673 | ||||||
AmerisourceBergen Corp. | 12,900 | 1,371,786 | ||||||
Anthem, Inc. | 16,500 | 2,708,310 | ||||||
Cardinal Health, Inc. | 20,450 | 1,710,642 | ||||||
Cigna Corp. | 16,000 | 2,592,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Health Care Providers & Services (continued) |
| |||||||
DaVita HealthCare Partners, Inc.* | 10,700 | $ | 850,329 | |||||
Express Scripts Holding Co.* | 44,949 | 3,997,764 | ||||||
Fresenius SE & Co. KGaA (Germany) | 4,411 | 283,215 | ||||||
HCA Holdings, Inc.* | 18,200 | 1,651,104 | ||||||
Henry Schein, Inc.*(a) | 5,200 | 739,024 | ||||||
Humana, Inc. | 9,300 | 1,778,904 | ||||||
Laboratory Corp. of America Holdings* | 6,200 | 751,564 | ||||||
McKesson Corp. | 14,430 | 3,244,008 | ||||||
Medipal Holdings Corp. (Japan) | 3,100 | 50,492 | ||||||
Miraca Holdings, Inc. (Japan) | 600 | 29,979 | ||||||
Patterson Cos., Inc. | 5,400 | 262,710 | ||||||
Quest Diagnostics, Inc. | 8,900 | 645,428 | ||||||
Sonic Healthcare Ltd. (Australia) | 52,813 | 869,656 | ||||||
Suzuken Co. Ltd. (Japan) | 5,610 | 179,481 | ||||||
Tenet Healthcare Corp.* | 6,550 | 379,114 | ||||||
UnitedHealth Group, Inc. | 59,400 | 7,246,800 | ||||||
Universal Health Services, Inc. (Class B Stock) | 5,700 | 809,970 | ||||||
34,945,630 | ||||||||
Health Care Technology — 0.1% | ||||||||
Cerner Corp.* | 18,900 | 1,305,234 | ||||||
Hotels, Restaurants & Leisure — 0.8% |
| |||||||
Carnival Corp. | 27,800 | 1,373,042 | ||||||
Chipotle Mexican Grill, Inc.* | 1,950 | 1,179,730 | ||||||
Darden Restaurants, Inc. | 7,650 | 543,762 | ||||||
Flight Centre Travel Group Ltd. (Australia)(a) | 858 | 22,551 | ||||||
Marriott International, Inc. (Class A Stock)(a) | 12,828 | 954,275 | ||||||
McDonald’s Corp. | 59,900 | 5,694,693 | ||||||
Merlin Entertainments PLC (United Kingdom) | 7,994 | 53,614 | ||||||
Royal Caribbean Cruises Ltd.(a) | 10,200 | 802,638 | ||||||
Sodexo SA (France) | 6,099 | 580,612 | ||||||
Starbucks Corp. | 93,000 | 4,986,195 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 10,600 | 859,554 | ||||||
Tatts Group Ltd. (Australia) | 68,249 | 195,688 | ||||||
TUI AG (Germany) | 5,011 | 81,079 | ||||||
Wyndham Worldwide Corp. | 7,520 | 615,963 | ||||||
Wynn Resorts Ltd. | 5,000 | 493,350 | ||||||
Yum! Brands, Inc. | 26,800 | 2,414,144 | ||||||
20,850,890 | ||||||||
Household Durables — 0.3% | ||||||||
Barratt Developments PLC (United Kingdom) | 89,711 | 865,287 | ||||||
D.R. Horton, Inc. | 20,100 | 549,936 | ||||||
Garmin Ltd. | 8,200 | 360,226 | ||||||
Harman International Industries, Inc. | 4,200 | 499,548 | ||||||
Leggett & Platt, Inc. | 9,300 | 452,724 | ||||||
Lennar Corp. (Class A Stock)(a) | 11,100 | 566,544 | ||||||
Mohawk Industries, Inc.* | 3,900 | 744,510 | ||||||
Newell Rubbermaid, Inc. | 16,814 | 691,223 | ||||||
Panasonic Corp. (Japan) | 25,400 | 347,884 | ||||||
Persimmon PLC (United Kingdom)* | 20,838 | 646,515 | ||||||
PulteGroup, Inc. | 20,122 | 405,458 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Household Durables (continued) | ||||||||
Sony Corp. (Japan)* | 13,500 | $ | 383,358 | |||||
Taylor Wimpey PLC (United Kingdom) | 229,165 | 668,305 | ||||||
Whirlpool Corp. | 4,826 | 835,139 | ||||||
8,016,657 | ||||||||
Household Products — 0.9% |
| |||||||
Clorox Co. (The) | 8,100 | 842,562 | ||||||
Colgate-Palmolive Co. | 52,700 | 3,447,107 | ||||||
Henkel AG & Co. KGaA (Germany) | 8,459 | 806,617 | ||||||
Kimberly-Clark Corp. | 22,600 | 2,394,922 | ||||||
Procter & Gamble Co. (The) | 168,625 | 13,193,220 | ||||||
Svenska Cellulosa AB SCA (Sweden) (Class B Stock) | 38,630 | 982,291 | ||||||
21,666,719 | ||||||||
Independent Power & Renewable Electricity Producers — 0.1% |
| |||||||
AES Corp. | 43,300 | 574,158 | ||||||
Electric Power Development Co. Ltd. (Japan) | 1,600 | 56,521 | ||||||
NRG Energy, Inc. | 20,500 | 469,040 | ||||||
1,099,719 | ||||||||
Industrial Conglomerates — 1.1% |
| |||||||
3M Co. | 39,600 | 6,110,280 | ||||||
CK Hutchison Holdings Ltd. (Hong Kong) | 22,916 | 336,910 | ||||||
Danaher Corp. | 38,000 | 3,252,420 | ||||||
General Electric Co. | 622,900 | 16,550,453 | ||||||
Hopewell Holdings Ltd. (Hong Kong) | 120,000 | 439,349 | ||||||
Keppel Corp. Ltd. (Singapore) | 16,700 | 101,789 | ||||||
Roper Technologies, Inc. | 6,500 | 1,120,990 | ||||||
Siemens AG (Germany) | 1,865 | 188,685 | ||||||
28,100,876 | ||||||||
Insurance — 1.5% | ||||||||
ACE Ltd. | 20,300 | 2,064,104 | ||||||
Aflac, Inc. | 27,100 | 1,685,620 | ||||||
Ageas (Belgium) | 14,664 | 565,787 | ||||||
AIA Group Ltd. (Hong Kong) | 5,200 | 34,001 | ||||||
Allianz SE (Germany) | 9,947 | 1,551,249 | ||||||
Allstate Corp. (The) | 25,700 | 1,667,159 | ||||||
American International Group, Inc. | 83,839 | 5,182,927 | ||||||
AMP Ltd. (Australia) | 33,561 | 155,734 | ||||||
Aon PLC | 17,300 | 1,724,464 | ||||||
Assurant, Inc. | 4,300 | 288,100 | ||||||
AXA SA (France) | 43,775 | 1,109,779 | ||||||
Chubb Corp. (The) | 14,300 | 1,360,502 | ||||||
Cincinnati Financial Corp. | 9,037 | 453,477 | ||||||
Genworth Financial, Inc. (Class A Stock)* | 29,900 | 226,343 | ||||||
Hannover Rueck SE (Germany) | 8,407 | 813,687 | ||||||
Hartford Financial Services Group, Inc. (The) | 26,000 | 1,080,820 | ||||||
Legal & General Group PLC (United Kingdom) | 247,410 | 967,383 | ||||||
Lincoln National Corp. | 16,518 | 978,196 | ||||||
Loews Corp. | 18,475 | 711,472 | ||||||
Marsh & McLennan Cos., Inc. | 34,000 | 1,927,800 | ||||||
MetLife, Inc. | 69,000 | 3,863,310 |
SEE NOTES TO FINANCIAL STATEMENTS.
A5
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Insurance (continued) | ||||||||
Muenchener Rueckversicherungs-Gesellschaft AG (Germany) | 1,973 | $ | 349,802 | |||||
NN Group NV (Netherlands) | 25,896 | 729,292 | ||||||
Principal Financial Group, Inc.(a) | 16,900 | 866,801 | ||||||
Progressive Corp. (The)(a) | 34,100 | 949,003 | ||||||
Prudential PLC (United Kingdom) | 41,886 | 1,009,428 | ||||||
Sampo OYJ (Finland) (Class A Stock) | 5,145 | 242,469 | ||||||
SCOR SE (France) | 1,713 | 60,574 | ||||||
Swiss Life Holding AG (Switzerland)* | 1,934 | 442,849 | ||||||
Swiss Re AG (Switzerland) | 11,345 | 1,004,291 | ||||||
Tokio Marine Holdings, Inc. (Japan) | 7,900 | 328,554 | ||||||
Torchmark Corp. | 7,825 | 455,571 | ||||||
Travelers Cos., Inc. (The) | 20,135 | 1,946,249 | ||||||
Unum Group | 15,510 | 554,482 | ||||||
XL Group PLC (Ireland) | 19,400 | 721,680 | ||||||
38,072,959 | ||||||||
Internet & Catalog Retail — 0.7% |
| |||||||
Amazon.com, Inc.* | 23,700 | 10,287,933 | ||||||
Expedia, Inc. | 6,150 | 672,503 | ||||||
Netflix, Inc.* | 3,750 | 2,463,525 | ||||||
Priceline Group, Inc. (The)* | 3,230 | 3,718,925 | ||||||
TripAdvisor, Inc.* | 6,950 | 605,623 | ||||||
17,748,509 | ||||||||
Internet Software & Services — 1.5% |
| |||||||
Akamai Technologies, Inc.* | 11,100 | 775,002 | ||||||
eBay, Inc.* | 68,700 | 4,138,488 | ||||||
Equinix, Inc. | 3,500 | 889,000 | ||||||
Facebook, Inc. (Class A Stock)* | 130,200 | 11,166,603 | ||||||
Google, Inc. (Class A Stock)* | 17,700 | 9,558,708 | ||||||
Google, Inc. (Class C Stock)* | 17,923 | 9,329,101 | ||||||
Mixi, Inc. (Japan) | 500 | 24,806 | ||||||
VeriSign, Inc.*(a) | 6,500 | 401,180 | ||||||
Yahoo!, Inc.* | 53,800 | 2,113,802 | ||||||
38,396,690 | ||||||||
IT Services — 1.6% | ||||||||
Accenture PLC (Class A Stock) | 39,200 | 3,793,776 | ||||||
Alliance Data Systems Corp.* | 3,940 | 1,150,244 | ||||||
Amadeus IT Holding SA (Spain) (Class A Stock) | 11,234 | 448,465 | ||||||
Atos SE (France) | 332 | 24,808 | ||||||
Automatic Data Processing, Inc. | 29,400 | 2,358,762 | ||||||
Cap Gemini SA (France) | 10,633 | 943,325 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock)* | 37,700 | 2,303,093 | ||||||
Computer Sciences Corp. | 8,700 | 571,068 | ||||||
Fidelity National Information Services, Inc. | 17,600 | 1,087,680 | ||||||
Fiserv, Inc.* | 14,800 | 1,225,884 | ||||||
International Business Machines Corp. | 57,000 | 9,271,620 | ||||||
MasterCard, Inc. (Class A Stock) | 60,300 | 5,636,844 | ||||||
NTT Data Corp. (Japan) | 1,500 | 65,506 | ||||||
Paychex, Inc. | 20,200 | 946,976 | ||||||
Teradata Corp.*(a) | 9,900 | 366,300 | ||||||
Total System Services, Inc. | 10,196 | 425,887 | ||||||
Visa, Inc. (Class A Stock) | 119,800 | 8,044,570 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
IT Services (continued) | ||||||||
Western Union Co. (The)(a) | 33,110 | $ | 673,126 | |||||
Xerox Corp. | 62,963 | 669,926 | ||||||
40,007,860 | ||||||||
Leisure Products — 0.1% | ||||||||
Bandai Namco Holdings, Inc. (Japan) | 2,000 | 38,649 | ||||||
Hasbro, Inc. | 6,900 | 516,051 | ||||||
Mattel, Inc. | 21,251 | 545,938 | ||||||
Sega Sammy Holdings, Inc. (Japan) | 4,200 | 54,916 | ||||||
Shimano, Inc. (Japan) | 900 | 122,815 | ||||||
1,278,369 | ||||||||
Life Sciences Tools & Services — 0.2% |
| |||||||
Agilent Technologies, Inc. | 20,714 | 799,146 | ||||||
Lonza Group AG (Switzerland)* | 6,833 | 913,335 | ||||||
PerkinElmer, Inc. | 7,600 | 400,064 | ||||||
QIAGEN NV* | 2,705 | 66,480 | ||||||
Thermo Fisher Scientific, Inc. | 24,900 | 3,231,024 | ||||||
Waters Corp.* | 5,200 | 667,576 | ||||||
6,077,625 | ||||||||
Machinery — 0.9% | ||||||||
Amada Holdings Co. Ltd. (Japan) | 2,600 | 27,443 | ||||||
Andritz AG (Austria) | 13,629 | 754,722 | ||||||
Caterpillar, Inc. | 37,500 | 3,180,750 | ||||||
Cummins, Inc. | 10,400 | 1,364,376 | ||||||
Deere & Co. | 21,000 | 2,038,050 | ||||||
Dover Corp. | 10,100 | 708,818 | ||||||
FANUC Corp. (Japan) | 5,500 | 1,125,386 | ||||||
Flowserve Corp. | 8,300 | 437,078 | ||||||
GEA Group AG (Germany) | 2,073 | 92,483 | ||||||
Illinois Tool Works, Inc. | 21,600 | 1,982,664 | ||||||
Ingersoll-Rand PLC | 16,300 | 1,098,946 | ||||||
Joy Global, Inc. | 6,200 | 224,440 | ||||||
Kawasaki Heavy Industries Ltd. (Japan) | 16,000 | 74,579 | ||||||
Minebea Co. Ltd. (Japan) | 40,000 | 660,335 | ||||||
NGK Insulators Ltd. (Japan) | 3,000 | 77,193 | ||||||
NSK Ltd. (Japan) | 5,400 | 83,264 | ||||||
PACCAR, Inc. | 21,943 | 1,400,183 | ||||||
Pall Corp. | 6,600 | 821,370 | ||||||
Parker Hannifin Corp. | 8,865 | 1,031,265 | ||||||
Pentair PLC (United Kingdom) | 11,877 | 816,544 | ||||||
Schindler Holding AG (Switzerland) | 1,680 | 274,368 | ||||||
Schindler Holding AG (Switzerland) (Part. Cert.) | 511 | 83,575 | ||||||
SMC Corp. (Japan) | 600 | 180,551 | ||||||
Snap-on, Inc. | 3,600 | 573,300 | ||||||
Stanley Black & Decker, Inc. | 9,797 | 1,031,036 | ||||||
Sumitomo Heavy Industries Ltd. (Japan) | 142,000 | 827,057 | ||||||
THK Co. Ltd. (Japan) | 1,500 | 32,370 | ||||||
Volvo AB (Sweden) (Class B Stock) | 17,460 | 216,810 | ||||||
Xylem, Inc. | 11,600 | 430,012 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. (China) | 25,000 | 26,258 | ||||||
21,675,226 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A6
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Marine | ||||||||
A.P. Moeller – Maersk A/S (Denmark) (Class A Stock) | 45 | $ | 78,921 | |||||
A.P. Moeller – Maersk A/S (Denmark) (Class B Stock) | 358 | 647,279 | ||||||
Mitsui OSK Lines Ltd. (Japan) | 8,000 | 25,608 | ||||||
Nippon Yusen K.K. (Japan) | 19,000 | 52,897 | ||||||
804,705 | ||||||||
Media — 1.8% | ||||||||
Cablevision Systems Corp. (Class A Stock)(a) | 12,900 | 308,826 | ||||||
CBS Corp. (Class B Stock) | 28,234 | 1,566,987 | ||||||
Comcast Corp. (Class A Stock) | 157,790 | 9,489,491 | ||||||
Dentsu, Inc. (Japan) | 2,500 | 129,331 | ||||||
DIRECTV* | 31,700 | 2,941,443 | ||||||
Discovery Communications, Inc. (Class A Stock)*(a) | 10,100 | 335,926 | ||||||
Discovery Communications, Inc. (Class C Stock)*(a) | 16,900 | 525,252 | ||||||
Gannett Co., Inc.* | 6,900 | 96,531 | ||||||
Interpublic Group of Cos., Inc. (The) | 25,731 | 495,836 | ||||||
ITV PLC (United Kingdom) | 43,266 | 179,009 | ||||||
News Corp. (Class A Stock)* | 29,375 | 428,581 | ||||||
Omnicom Group, Inc.(a) | 15,300 | 1,063,197 | ||||||
Publicis Groupe SA (France) | 11,712 | 868,130 | ||||||
RTL Group SA (Germany) | 287 | 25,945 | ||||||
Scripps Networks Interactive, Inc. (Class A Stock)(a) | 6,100 | 398,757 | ||||||
Sky PLC (United Kingdom) | 11,601 | 188,952 | ||||||
TEGNA, Inc. | 13,800 | 442,566 | ||||||
Time Warner Cable, Inc. | 17,414 | 3,102,652 | ||||||
Time Warner, Inc. | 51,366 | 4,489,902 | ||||||
Twenty-First Century Fox, Inc. (Class A Stock) | 111,500 | 3,628,768 | ||||||
Viacom, Inc. (Class B Stock) | 22,634 | 1,463,062 | ||||||
Vivendi SA (France) | 13,920 | 352,965 | ||||||
Walt Disney Co. (The) | 96,900 | 11,060,166 | ||||||
WPP PLC (United Kingdom) | 46,811 | 1,050,722 | ||||||
44,632,997 | ||||||||
Metals & Mining — 0.3% | ||||||||
Alcoa, Inc. | 75,440 | 841,156 | ||||||
Allegheny Technologies, Inc. | 6,200 | 187,240 | ||||||
BHP Billiton Ltd. (Australia) | 35,695 | 728,137 | ||||||
BHP Billiton PLC (Australia) | 23,873 | 469,380 | ||||||
Boliden AB (Sweden) | 3,047 | 55,549 | ||||||
Freeport-McMoRan, Inc. | 64,188 | 1,195,181 | ||||||
Hitachi Metals Ltd. (Japan) | 3,000 | 46,120 | ||||||
JFE Holdings, Inc. (Japan) | 40,200 | 890,667 | ||||||
Kobe Steel Ltd. (Japan) | 454,000 | 763,815 | ||||||
Mitsubishi Materials Corp. (Japan) | 15,000 | 57,596 | ||||||
Newmont Mining Corp. | 32,700 | 763,872 | ||||||
Nippon Steel & Sumitomo Metal Corp. (Japan) | 110,000 | 285,214 | ||||||
Norsk Hydro ASA (Norway) | 13,197 | 55,387 | ||||||
Nucor Corp. | 19,700 | 868,179 | ||||||
Rio Tinto Ltd. (United Kingdom) | 4,953 | 204,890 | ||||||
Rio Tinto PLC (United Kingdom) | 14,674 | 603,582 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Metals & Mining (continued) | ||||||||
South32 Ltd. (Australia)* | 60,581 | $ | 83,667 | |||||
Sumitomo Metal Mining Co. Ltd. (Japan) | 6,000 | 91,254 | ||||||
voestalpine AG (Austria) | 1,252 | 52,180 | ||||||
8,243,066 | ||||||||
Multi-Utilities — 0.6% | ||||||||
AGL Energy Ltd. (Australia) | 62,181 | 744,861 | ||||||
Ameren Corp. | 15,000 | 565,200 | ||||||
CenterPoint Energy, Inc. | 26,500 | 504,295 | ||||||
CMS Energy Corp. | 17,000 | 541,280 | ||||||
Consolidated Edison, Inc. | 18,100 | 1,047,628 | ||||||
Dominion Resources, Inc. | 36,332 | 2,429,521 | ||||||
DTE Energy Co. | 11,000 | 821,040 | ||||||
National Grid PLC (United Kingdom) | 72,609 | 934,532 | ||||||
NiSource, Inc. | 19,600 | 893,564 | ||||||
PG&E Corp. | 29,400 | 1,443,540 | ||||||
Public Service Enterprise Group, Inc. | 31,300 | 1,229,464 | ||||||
SCANA Corp. | 8,700 | 440,655 | ||||||
Sempra Energy | 14,319 | 1,416,722 | ||||||
TECO Energy, Inc. | 14,700 | 259,602 | ||||||
WEC Energy Group, Inc. | 20,114 | 904,516 | ||||||
14,176,420 | ||||||||
Multiline Retail — 0.4% | ||||||||
Dollar General Corp. | 18,800 | 1,461,512 | ||||||
Dollar Tree, Inc.* | 12,700 | 1,003,173 | ||||||
Family Dollar Stores, Inc. | 5,900 | 464,979 | ||||||
Harvey Norman Holdings Ltd. (Australia) | 6,410 | 22,258 | ||||||
J. Front Retailing Co. Ltd. (Japan) | 2,700 | 50,817 | ||||||
Kohl’s Corp.(a) | 12,500 | 782,625 | ||||||
Macy’s, Inc. | 21,074 | 1,421,863 | ||||||
Nordstrom, Inc. | 8,700 | 648,150 | ||||||
Takashimaya Co. Ltd. (Japan) | 85,000 | 770,474 | ||||||
Target Corp. | 39,400 | 3,216,222 | ||||||
9,842,073 | ||||||||
Oil, Gas & Consumable Fuels — 3.3% |
| |||||||
Anadarko Petroleum Corp. | 31,354 | 2,447,493 | ||||||
Apache Corp. | 23,314 | 1,343,586 | ||||||
BG Group PLC (United Kingdom) | 39,000 | 649,534 | ||||||
BP PLC (United Kingdom) | 320,541 | 2,127,315 | ||||||
Cabot Oil & Gas Corp. | 25,500 | 804,270 | ||||||
Caltex Australia Ltd. (Australia) | 1,513 | 37,141 | ||||||
Chesapeake Energy Corp.(a) | 32,700 | 365,259 | ||||||
Chevron Corp. | 116,922 | 11,279,465 | ||||||
Cimarex Energy Co. | 6,000 | 661,860 | ||||||
ConocoPhillips | 76,077 | 4,671,889 | ||||||
CONSOL Energy, Inc.(a) | 13,800 | 300,012 | ||||||
Devon Energy Corp. | 23,900 | 1,421,811 | ||||||
Eni SpA (Italy) | 17,614 | 312,854 | ||||||
EOG Resources, Inc. | 33,900 | 2,967,945 | ||||||
EQT Corp. | 9,400 | 764,596 | ||||||
Exxon Mobil Corp. | 259,599 | 21,598,637 | ||||||
Hess Corp. | 15,000 | 1,003,200 | ||||||
Kinder Morgan, Inc. | 106,798 | 4,099,975 | ||||||
Marathon Oil Corp. | 41,682 | 1,106,240 | ||||||
Marathon Petroleum Corp. | 33,882 | 1,772,367 |
SEE NOTES TO FINANCIAL STATEMENTS.
A7
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
Murphy Oil Corp.(a) | 10,200 | $ | 424,014 | |||||
Neste OYJ (Finland) | 1,017 | 25,944 | ||||||
Newfield Exploration Co.* | 10,200 | 368,424 | ||||||
Noble Energy, Inc. | 23,900 | 1,020,052 | ||||||
Occidental Petroleum Corp. | 47,900 | 3,725,183 | ||||||
OMV AG (Austria) | 1,661 | 45,727 | ||||||
ONEOK, Inc. | 12,900 | 509,292 | ||||||
Phillips 66 | 33,638 | 2,709,877 | ||||||
Pioneer Natural Resources Co. | 9,250 | 1,282,883 | ||||||
QEP Resources, Inc. | 10,400 | 192,504 | ||||||
Range Resources Corp. | 10,300 | 508,614 | ||||||
Repsol SA (Spain) | 38,877 | 685,233 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | 44,571 | 1,260,200 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | 27,970 | 796,315 | ||||||
Southwestern Energy Co.* | 25,000 | 568,250 | ||||||
Spectra Energy Corp. | 41,462 | 1,351,661 | ||||||
Tesoro Corp. | 7,800 | 658,398 | ||||||
Total SA (France) | 38,531 | 1,889,987 | ||||||
Valero Energy Corp. | 31,800 | 1,990,680 | ||||||
Williams Cos., Inc. (The) | 41,600 | 2,387,424 | ||||||
Woodside Petroleum Ltd. (Australia) | 9,134 | 241,016 | ||||||
82,377,127 | ||||||||
Paper & Forest Products — 0.1% | ||||||||
International Paper Co. | 26,173 | 1,245,573 | ||||||
Mondi PLC (South Africa) | 38,878 | 837,010 | ||||||
Oji Holdings Corp. (Japan) | 9,000 | 39,113 | ||||||
UPM-Kymmene OYJ (Finland) | 47,283 | 836,717 | ||||||
2,958,413 | ||||||||
Personal Products — 0.1% | ||||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 13,800 | 1,195,908 | ||||||
Pharmaceuticals — 3.5% | ||||||||
AbbVie, Inc. | 106,800 | 7,175,892 | ||||||
Allergan PLC* | 24,175 | 7,336,145 | ||||||
AstraZeneca PLC (United Kingdom) | 2,715 | 171,832 | ||||||
Bayer AG (Germany) | 7,799 | 1,092,175 | ||||||
Bristol-Myers Squibb Co. | 103,370 | 6,878,240 | ||||||
Daiichi Sankyo Co. Ltd. (Japan) | 7,300 | 134,908 | ||||||
Eli Lilly & Co. | 60,400 | 5,042,796 | ||||||
Endo International PLC* | 12,100 | 963,765 | ||||||
GlaxoSmithKline PLC (United Kingdom) | 54,276 | 1,128,497 | ||||||
Hospira, Inc.* | 10,660 | 945,649 | ||||||
Johnson & Johnson | 172,348 | 16,797,036 | ||||||
Mallinckrodt PLC* | 7,600 | 894,672 | ||||||
Merck & Co., Inc. | 175,933 | 10,015,866 | ||||||
Mylan NV*(a) | 25,200 | 1,710,072 | ||||||
Novartis AG (Switzerland) | 26,302 | 2,587,077 | ||||||
Novo Nordisk A/S (Denmark) (Class B Stock) | 39,365 | 2,160,150 | ||||||
Orion OYJ (Finland) (Class B Stock) | 3,669 | 128,519 | ||||||
Otsuka Holdings Co. Ltd. (Japan) | 28,900 | 920,846 | ||||||
Perrigo Co. PLC | 9,200 | 1,700,436 | ||||||
Pfizer, Inc. | 381,070 | 12,777,277 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Pharmaceuticals (continued) | ||||||||
Roche Holding AG (Switzerland) | 7,965 | $ | 2,233,318 | |||||
Sanofi (France) | 13,583 | 1,343,768 | ||||||
Shire PLC (Ireland) | 13,183 | 1,059,242 | ||||||
Teva Pharmaceutical Industries Ltd. (Israel) | 22,711 | 1,343,991 | ||||||
Zoetis, Inc. | 31,000 | 1,494,820 | ||||||
88,036,989 | ||||||||
Professional Services — 0.1% | ||||||||
Dun & Bradstreet Corp. (The) | 2,300 | 280,600 | ||||||
Equifax, Inc. | 7,400 | 718,466 | ||||||
Nielsen NV | 22,900 | 1,025,233 | ||||||
Randstad Holding NV (Netherlands) | 1,419 | 92,331 | ||||||
Robert Half International, Inc. | 8,400 | 466,200 | ||||||
SGS SA (Switzerland) | 62 | 113,063 | ||||||
2,695,893 | ||||||||
Real Estate Investment Trusts (REITs) — 1.2% |
| |||||||
American Tower Corp. | 26,100 | 2,434,869 | ||||||
Apartment Investment & Management Co. (Class A Stock) | 9,433 | 348,361 | ||||||
AvalonBay Communities, Inc. | 8,175 | 1,306,937 | ||||||
Boston Properties, Inc. | 9,500 | 1,149,880 | ||||||
British Land Co. PLC (The) (United Kingdom) | 11,027 | 137,353 | ||||||
CapitaLand Commercial Trust (Singapore) | 27,000 | 31,249 | ||||||
Crown Castle International Corp.(a) | 20,700 | 1,662,210 | ||||||
Equity Residential | 22,500 | 1,578,825 | ||||||
Essex Property Trust, Inc. | 4,100 | 871,250 | ||||||
Federation Centres (Australia) | 369,122 | 830,566 | ||||||
General Growth Properties, Inc. | 38,800 | 995,608 | ||||||
Goodman Group (Australia) | 19,977 | 96,483 | ||||||
GPT Group (The) (Australia) | 19,120 | 63,032 | ||||||
HCP, Inc. | 28,500 | 1,039,395 | ||||||
Health Care REIT, Inc. | 21,600 | 1,417,608 | ||||||
Host Hotels & Resorts, Inc. | 46,482 | 921,738 | ||||||
Intu Properties PLC (United Kingdom) | 10,411 | 50,292 | ||||||
Iron Mountain, Inc.(a) | 12,202 | 378,262 | ||||||
Kimco Realty Corp. | 25,500 | 574,770 | ||||||
Land Securities Group PLC (United Kingdom) | 28,266 | 534,481 | ||||||
Link REIT (The) (Hong Kong) | 155,500 | 909,976 | ||||||
Macerich Co. (The) | 8,700 | 649,020 | ||||||
Plum Creek Timber Co., Inc. | 10,700 | 434,099 | ||||||
Prologis, Inc. | 31,677 | 1,175,217 | ||||||
Public Storage | 9,000 | 1,659,330 | ||||||
Realty Income Corp.(a) | 13,700 | 608,143 | ||||||
Scentre Group (Australia) | 61,683 | 178,184 | ||||||
Segro PLC (United Kingdom) | 82,475 | 525,478 | ||||||
Simon Property Group, Inc. | 19,293 | 3,338,075 | ||||||
SL Green Realty Corp. | 6,400 | 703,296 | ||||||
Stockland (Australia) | 26,695 | 84,295 | ||||||
Ventas, Inc. | 20,418 | 1,267,754 | ||||||
Vornado Realty Trust | 10,825 | 1,027,617 | ||||||
Weyerhaeuser Co. | 32,398 | 1,020,537 | ||||||
30,004,190 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A8
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Real Estate Management & Development — 0.1% |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 17,300 | $ | 640,100 | |||||
Cheung Kong Property Holdings Ltd. (Hong Kong)* | 30,916 | 256,452 | ||||||
Daiwa House Industry Co. Ltd. (Japan) | 6,800 | 158,426 | ||||||
Hang Lung Properties Ltd. (Hong Kong) | 26,000 | 77,270 | ||||||
Henderson Land Development Co. Ltd. (Hong Kong) | 89,540 | 612,090 | ||||||
Hysan Development Co. Ltd. (Hong Kong) | 84,000 | 363,760 | ||||||
Kerry Properties Ltd. (Hong Kong) | 199,000 | 780,042 | ||||||
Lend Lease Group (Australia) | 38,352 | 443,436 | ||||||
New World Development Co. Ltd. (Hong Kong) | 60,000 | 78,399 | ||||||
Sino Land Co. Ltd. (Hong Kong) | 34,000 | 56,750 | ||||||
Swire Properties Ltd. (Hong Kong) | 8,800 | 28,068 | ||||||
Tokyo Tatemono Co. Ltd. (Japan) | 2,500 | 34,699 | ||||||
Wheelock & Co. Ltd. (Hong Kong) | 11,000 | 56,130 | ||||||
3,585,622 | ||||||||
Road & Rail — 0.4% |
| |||||||
Central Japan Railway Co. (Japan) | 1,600 | 288,727 | ||||||
CSX Corp. | 61,200 | 1,998,180 | ||||||
Hankyu Hanshin Holdings, Inc. (Japan) | 13,000 | 76,739 | ||||||
Kansas City Southern | 6,900 | 629,280 | ||||||
MTR Corp. Ltd. (Hong Kong) | 16,000 | 74,441 | ||||||
Nippon Express Co. Ltd. (Japan) | 10,000 | 49,134 | ||||||
Norfolk Southern Corp. | 19,000 | 1,659,840 | ||||||
Ryder System, Inc. | 3,600 | 314,532 | ||||||
Union Pacific Corp. | 54,500 | 5,197,665 | ||||||
West Japan Railway Co. (Japan) | 3,900 | 249,519 | ||||||
10,538,057 | ||||||||
Semiconductors & Semiconductor Equipment — 1.1% |
| |||||||
Advantest Corp. (Japan) | 1,900 | 19,755 | ||||||
Altera Corp. | 18,500 | 947,200 | ||||||
Analog Devices, Inc. | 19,300 | 1,238,770 | ||||||
Applied Materials, Inc. | 75,900 | 1,458,798 | ||||||
ARM Holdings PLC (United Kingdom) | 35,328 | 578,100 | ||||||
Avago Technologies Ltd. (Singapore) | 15,900 | 2,113,587 | ||||||
Broadcom Corp. (Class A Stock) | 33,650 | 1,732,638 | ||||||
First Solar, Inc.*(a) | 5,100 | 239,598 | ||||||
Intel Corp. | 293,700 | 8,932,885 | ||||||
KLA-Tencor Corp. | 10,100 | 567,721 | ||||||
Lam Research Corp. | 9,850 | 801,298 | ||||||
Linear Technology Corp. | 14,800 | 654,604 | ||||||
Microchip Technology, Inc.(a) | 12,500 | 592,813 | ||||||
Micron Technology, Inc.*(a) | 66,500 | 1,252,860 | ||||||
NVIDIA Corp. | 31,850 | 640,504 | ||||||
Qorvo, Inc.* | 8,407 | 674,830 | ||||||
Skyworks Solutions, Inc. | 11,800 | 1,228,380 | ||||||
Texas Instruments, Inc. | 64,700 | 3,332,697 | ||||||
Tokyo Electron Ltd. (Japan) | 3,500 | 222,450 | ||||||
Xilinx, Inc. | 16,200 | 715,392 | ||||||
27,944,880 | ||||||||
Software — 1.7% | ||||||||
Adobe Systems, Inc.* | 29,400 | 2,381,694 | ||||||
Autodesk, Inc.* | 14,000 | 701,050 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Software (continued) | ||||||||
CA, Inc.(a) | 19,664 | $ | 575,959 | |||||
Citrix Systems, Inc.* | 9,900 | 694,584 | ||||||
Dassault Systemes SA (France) | 1,470 | 106,714 | ||||||
Electronic Arts, Inc.* | 19,200 | 1,276,800 | ||||||
Intuit, Inc. | 17,100 | 1,723,167 | ||||||
Microsoft Corp. | 505,100 | 22,300,165 | ||||||
Oracle Corp. | 199,000 | 8,019,700 | ||||||
Red Hat, Inc.* | 11,400 | 865,602 | ||||||
salesforce.com, inc.* | 37,400 | 2,604,162 | ||||||
SAP SE (Germany) | 766 | 53,678 | ||||||
Symantec Corp. | 42,178 | 980,638 | ||||||
42,283,913 | ||||||||
Specialty Retail — 1.1% | ||||||||
ABC-Mart, Inc. (Japan) | 400 | 24,481 | ||||||
AutoNation, Inc.* | 5,074 | 319,561 | ||||||
AutoZone, Inc.*(a) | 2,050 | 1,367,145 | ||||||
Bed Bath & Beyond, Inc.* | 10,700 | 738,086 | ||||||
Best Buy Co., Inc. | 18,025 | 587,795 | ||||||
CarMax, Inc.* | 13,000 | 860,730 | ||||||
Dixons Carphone PLC (United Kingdom) | 8,516 | 60,556 | ||||||
Fast Retailing Co. Ltd. (Japan) | 600 | 272,083 | ||||||
GameStop Corp. (Class A Stock)(a) | 7,100 | 305,016 | ||||||
Gap, Inc. (The) | 16,400 | 625,988 | ||||||
Home Depot, Inc. (The) | 81,650 | 9,073,765 | ||||||
L Brands, Inc. | 15,206 | 1,303,610 | ||||||
Lowe’s Cos., Inc. | 59,100 | 3,957,927 | ||||||
O’Reilly Automotive, Inc.* | 6,300 | 1,423,674 | ||||||
Ross Stores, Inc. | 25,600 | 1,244,416 | ||||||
Staples, Inc. | 40,349 | 617,743 | ||||||
Tiffany & Co. | 7,000 | 642,600 | ||||||
TJX Cos., Inc. (The) | 42,200 | 2,792,374 | ||||||
Tractor Supply Co. | 8,400 | 755,496 | ||||||
Urban Outfitters, Inc.* | 6,100 | 213,500 | ||||||
USS Co. Ltd. (Japan) | 4,400 | 79,354 | ||||||
27,265,900 | ||||||||
Technology Hardware, Storage & Peripherals — 2.2% |
| |||||||
Apple, Inc. | 359,090 | 45,038,863 | ||||||
EMC Corp. | 122,750 | 3,239,373 | ||||||
FUJIFILM Holdings Corp. (Japan) | 27,600 | 984,989 | ||||||
Hewlett-Packard Co. | 112,248 | 3,368,563 | ||||||
NetApp, Inc. | 19,300 | 609,108 | ||||||
SanDisk Corp. | 13,200 | 768,504 | ||||||
Seagate Technology PLC(a) | 20,300 | 964,250 | ||||||
Western Digital Corp. | 13,400 | 1,050,828 | ||||||
56,024,478 | ||||||||
Textiles, Apparel & Luxury Goods — 0.5% |
| |||||||
Christian Dior SE (France) | 458 | 89,662 | ||||||
Coach, Inc. | 17,100 | 591,831 | ||||||
Fossil Group, Inc.* | 2,900 | 201,144 | ||||||
Hanesbrands, Inc. | 25,500 | 849,660 | ||||||
Luxottica Group SpA (Italy) | 11,533 | 767,153 | ||||||
LVMH Moet Hennessy Louis Vuitton SE (France) | 7,394 | 1,299,945 | ||||||
Michael Kors Holdings Ltd.* | 13,100 | 551,379 | ||||||
NIKE, Inc. (Class B Stock) | 43,200 | 4,666,464 |
SEE NOTES TO FINANCIAL STATEMENTS.
A9
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Textiles, Apparel & Luxury Goods (continued) |
| |||||||
PVH Corp. | 5,100 | $ | 587,520 | |||||
Ralph Lauren Corp. | 3,800 | 502,968 | ||||||
Swatch Group AG (The) (Switzerland) | 363 | 27,267 | ||||||
Under Armour, Inc. (Class A Stock)*(a) | 10,300 | 859,432 | ||||||
VF Corp. | 21,200 | 1,478,488 | ||||||
12,472,913 | ||||||||
Thrifts & Mortgage Finance |
| |||||||
Hudson City Bancorp, Inc. | 26,400 | 260,832 | ||||||
Tobacco — 0.7% |
| |||||||
Altria Group, Inc. | 122,800 | 6,006,148 | ||||||
British American Tobacco PLC (United Kingdom) | 7,483 | 402,901 | ||||||
Imperial Tobacco Group PLC (United Kingdom) | 26,442 | 1,273,497 | ||||||
Japan Tobacco, Inc. (Japan) | 20,800 | 739,425 | ||||||
Philip Morris International, Inc. | 96,300 | 7,720,371 | ||||||
Reynolds American, Inc. | 25,569 | 1,908,982 | ||||||
18,051,324 | ||||||||
Trading Companies & Distributors — 0.2% |
| |||||||
Ashtead Group PLC (United Kingdom) | 35,184 | 606,385 | ||||||
Brenntag AG (Germany) | 1,736 | 99,614 | ||||||
Bunzl PLC (United Kingdom) | 3,822 | 104,262 | ||||||
Fastenal Co.(a) | 16,800 | 708,624 | ||||||
ITOCHU Corp. (Japan) | 72,600 | 958,844 | ||||||
Mitsui & Co. Ltd. (Japan) | 19,300 | 262,212 | ||||||
Sumitomo Corp. (Japan) | 12,800 | 148,985 | ||||||
United Rentals, Inc.*(a) | 6,000 | 525,720 | ||||||
W.W. Grainger, Inc.(a) | 3,800 | 899,270 | ||||||
4,313,916 | ||||||||
Transportation Infrastructure |
| |||||||
Auckland International Airport Ltd. (New Zealand) | 10,870 | 36,381 | ||||||
Groupe Eurotunnel SE (France) | 5,311 | 77,005 | ||||||
113,386 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Water Utilities |
| |||||||
Severn Trent PLC (United Kingdom) | 4,287 | $ | 140,083 | |||||
Wireless Telecommunication Services — 0.1% |
| |||||||
KDDI Corp. (Japan) | 52,500 | 1,266,928 | ||||||
NTT DOCOMO, Inc. (Japan) | 8,100 | 155,508 | ||||||
Vodafone Group PLC (United Kingdom) | 300,530 | 1,096,295 | ||||||
2,518,731 | ||||||||
TOTAL COMMON STOCKS | 1,278,171,206 | |||||||
EXCHANGE TRADED FUND — 0.1% | ||||||||
iShares MSCI EAFE Index Fund | 18,026 | 1,144,471 | ||||||
PREFERRED STOCKS — 0.1% | ||||||||
Automobiles — 0.1% | ||||||||
Bayerische Motoren Werke AG (Germany) (PRFC) | 598 | 50,634 | ||||||
Volkswagen AG (Germany) (PRFC) | 4,945 | 1,147,632 | ||||||
1,198,266 | ||||||||
Banking | ||||||||
Citigroup Capital XIII 7.875%, | 20,000 | 519,200 | ||||||
Household Products | ||||||||
Henkel AG & Co. KGaA (Germany) (PRFC) | 2,030 | 227,799 | ||||||
Media | ||||||||
ProSiebenSat.1 Media AG (Germany) | 2,497 | 123,338 | ||||||
TOTAL PREFERRED STOCKS |
| 2,068,603 | ||||||
ASSET-BACKED SECURITIES — 3.5% | 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 | 0.537% | (b) | 04/25/19 | 368 | $ | 363,259 | ||||||||
Collateralized Loan Obligations — 1.6% | ||||||||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 1.455% | (b) | 04/20/25 | 2,100 | 2,080,640 | |||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A | 3.360% | 04/20/25 | 250 | 246,054 | ||||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.466% | (b) | 07/13/25 | 2,400 | 2,377,537 | |||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A | 1.779% | (b) | 04/28/26 | 400 | 399,204 | |||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 1.875% | (b) | 10/15/26 | 2,000 | 2,002,250 | |||||||||
Arrowpoint CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A | 1.822% | (b) | 04/18/27 | 250 | 248,661 | |||||||||
Atlas Senior Loan Fund VI Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A | 1.815% | (b) | 10/15/26 | 600 | 599,478 | |||||||||
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A | 1.874% | (b) | 10/17/26 | 250 | 250,283 | |||||||||
Battalion CLO VIII Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A | 1.791% | (b) | 04/18/27 | 1,000 | 1,000,148 |
SEE NOTES TO FINANCIAL STATEMENTS.
A10
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Collateralized Loan Obligation (continued) | ||||||||||||||
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A | 1.475% | (b) | 07/15/24 | 1,000 | $ | 990,823 | ||||||||
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.424% | (b) | 04/17/25 | 2,200 | 2,177,965 | |||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 1.825% | (b) | 04/20/26 | 1,650 | 1,648,137 | |||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A | 1.785% | (b) | 10/18/26 | 250 | 249,224 | |||||||||
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.674% | (b) | 01/17/26 | 250 | 249,268 | |||||||||
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A | 0.526% | (b) | 07/22/20 | 235 | 233,655 | |||||||||
Fraser Sullivan CLO I Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A | 0.756% | (b) | 03/15/20 | 521 | 520,055 | |||||||||
Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A | 1.745% | (b) | 10/15/26 | 750 | 747,348 | |||||||||
Highbridge Loan Management (Cayman Islands), Series 2015-6A, Class A, 144A | 1.271% | (b) | 05/05/27 | 250 | 249,219 | |||||||||
ICG US CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A | 3.320% | 01/25/27 | 750 | 750,943 | ||||||||||
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A | 1.814% | (b) | 04/15/27 | 250 | 250,094 | |||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 1.864% | (b) | 05/15/26 | 250 | 250,182 | |||||||||
Magnetite Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A | 1.697% | (b) | 07/25/26 | 2,000 | 1,988,908 | |||||||||
Magnetite Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A | 1.725% | (b) | 01/18/27 | 500 | 497,675 | |||||||||
Neuberger Berman CLO XII Ltd. (Cayman Islands), Series 2012-12AR, | 2.377% | (b) | 07/25/23 | 250 | 250,467 | |||||||||
Neuberger Berman CLO XVI Ltd. (Cayman Islands), | 1.745% | (b) | 04/15/26 | 500 | 498,429 | |||||||||
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A | 1.425% | (b) | 07/22/25 | 1,000 | 989,148 | |||||||||
Race Point V CLO Ltd. (Cayman Islands), Series 2011-5AR, Class AR, 144A | 1.586% | (b) | 12/15/22 | 449 | 445,817 | |||||||||
Race Point VIII CLO Ltd. (Cayman Islands), Series 2013-8A, Class A, 144A | 1.525% | (b) | 02/20/25 | 250 | 248,353 | |||||||||
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A | 1.754% | (b) | 07/17/26 | 500 | 499,979 | |||||||||
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A | 4.350% | 07/17/26 | 500 | 499,568 | ||||||||||
Shackleton CLO Ltd. (Cayman Islands), Series 2012-2A, Class A1, 144A | 1.685% | (b) | 10/20/23 | 500 | 499,026 | |||||||||
Shackleton CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1, 144A | 1.754% | (b) | 07/17/26 | 1,500 | 1,499,938 | |||||||||
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.325% | (b) | 04/15/25 | 2,600 | 2,558,392 | |||||||||
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A | 2.926% | (b) | 08/17/22 | 500 | 498,682 | |||||||||
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A | 2.975% | (b) | 10/20/23 | 900 | 897,825 | |||||||||
THL Credit Wind River Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A | 1.896% | (b) | 01/22/27 | 1,750 | 1,751,833 | |||||||||
Treman Park CLO LLC (Cayman Islands), Series 2015-1A, Class A, 144A | 1.761% | (b) | 04/20/27 | 1,500 | 1,497,470 | |||||||||
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.395% | (b) | 07/15/25 | 2,200 | 2,173,983 | |||||||||
Vibrant CLO Ltd. (Cayman Islands), Series 2015-3A, Class A1, 144A | 1.885% | (b) | 04/20/26 | 2,500 | 2,501,836 | |||||||||
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.415% | (b) | 04/15/24 | 1,500 | 1,479,788 | |||||||||
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 1.775% | (b) | 04/20/26 | 1,300 | 1,297,377 | |||||||||
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A | 4.250% | 04/20/26 | 500 | 494,675 | ||||||||||
40,590,337 | ||||||||||||||
Non-Residential Mortgage-Backed Securities — 1.3% | ||||||||||||||
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A | 0.986% | (b) | 05/15/20 | 2,700 | 2,712,466 | |||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A | 1.920% | 09/20/19 | 1,475 | 1,470,252 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A | 2.500% | 07/20/21 | 4,800 | 4,770,749 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A | 2.630% | 12/20/21 | 3,800 | 3,790,249 |
SEE NOTES TO FINANCIAL STATEMENTS.
A11
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Non-Residential Mortgage-Backed Securities (continued) | ||||||||||||||
Ford Credit Auto Owner Trust, Series 2014-1, Class A, 144A | 2.260% | 11/15/25 | 1,500 | $ | 1,518,553 | |||||||||
Ford Credit Auto Owner Trust, Series 2014-2, Class A, 144A | 2.310% | 04/15/26 | 2,400 | 2,426,556 | ||||||||||
GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A | 0.686% | (b) | 05/15/20 | 1,600 | 1,600,666 | |||||||||
Hertz Corp., Series 2015-1A, Class A | 2.730% | 03/25/21 | 4,200 | 4,179,000 | ||||||||||
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A | 2.570% | 07/18/25 | 3,600 | 3,602,736 | ||||||||||
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A | 2.200% | 10/20/30 | 2,337 | 2,344,318 | ||||||||||
Springleaf Funding Trust, Series 2015-AA, Class A, 144A | 3.160% | 11/15/24 | 2,865 | 2,898,987 | ||||||||||
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A | 2.000% | 09/20/29 | 836 | 827,340 | ||||||||||
32,141,872 | ||||||||||||||
Residential Mortgage-Backed Securities — 0.6% | ||||||||||||||
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1 | 1.837% | (b) | 03/25/33 | 287 | 271,250 | |||||||||
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3 | 3.996% | (b) | 07/25/35 | 375 | 360,708 | |||||||||
CWABS, Inc., Asset-Backed Certificates, Series 2004-1, Class M1 | 0.937% | (b) | 03/25/34 | 2,336 | 2,228,010 | |||||||||
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | 4.942% | (b) | 07/25/34 | 425 | 403,695 | |||||||||
Fremont Home Loan Trust, Series 2004-2, Class M1 | 1.042% | (b) | 07/25/34 | 506 | 454,876 | |||||||||
HSBC Home Equity Loan Trust USA, Series 2006-4, Class A4 | 0.417% | (b) | 03/20/36 | 2,966 | 2,943,298 | |||||||||
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1 | 0.982% | (b) | 06/25/34 | 582 | 561,323 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 | 1.387% | (b) | 05/25/33 | 153 | 143,702 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 | 1.237% | (b) | 12/25/33 | 853 | 823,186 | |||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1 | 1.087% | (b) | 07/25/32 | 373 | 357,060 | |||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1 | 1.462% | (b) | 09/25/32 | 576 | 567,907 | |||||||||
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1 | 0.952% | (b) | 02/25/34 | 945 | 887,646 | |||||||||
VOLT XXXI LLC, Series 2015-NPL2, Class A1, 144A | 3.375% | 02/25/55 | 1,419 | 1,414,982 | ||||||||||
VOLT XXXIV LLC, Series 2015-NPL7, Class A1, 144A | 3.250% | 02/25/55 | 3,568 | 3,552,981 | ||||||||||
14,970,624 | ||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 88,066,092 | ||||||||||||
BANK LOANS(b) — 0.2% | ||||||||||||||
Automotive | ||||||||||||||
Schaeffler AG (Germany) | 4.250% | 05/15/20 | 531 | 532,981 | ||||||||||
Cable | ||||||||||||||
Virgin Media Investment Holdings Ltd. (United Kingdom) | 3.500% | 06/30/23 | 673 | 666,062 | ||||||||||
Foods | ||||||||||||||
ARAMARK Corp. | 3.250% | 09/07/19 | 437 | 435,643 | ||||||||||
Healthcare & Pharmaceutical — 0.1% | ||||||||||||||
Grifols Worldwide Operations USA, Inc. | 3.281% | 02/26/21 | 247 | 246,721 | ||||||||||
RPI Finance Trust (Luxembourg) | 3.250% | 11/09/18 | 871 | 871,984 | ||||||||||
1,118,705 | ||||||||||||||
Retailers | ||||||||||||||
Staples, Inc. | 3.500% | 02/28/22 | 595 | 593,843 | ||||||||||
Technology — 0.1% | ||||||||||||||
First Data Corp. | 3.687% | 03/26/18 | 1,055 | 1,051,227 | ||||||||||
Trans Union LLC | 3.750% | 04/09/21 | 395 | 391,050 | ||||||||||
1,442,277 | ||||||||||||||
TOTAL BANK LOANS |
| 4,789,511 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A12
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.1% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3 | 5.369% | 10/10/45 | 3,400 | $ | 3,423,919 | |||||||||
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A | 5.732% | (b) | 04/10/49 | 2,997 | 3,166,119 | |||||||||
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 | 5.899% | (b) | 12/10/49 | 800 | 855,724 | |||||||||
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 | 2.815% | 04/10/46 | 900 | 891,744 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 | 3.575% | 05/10/47 | 2,090 | 2,154,245 | ||||||||||
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4 | 5.223% | 08/15/48 | 835 | 868,098 | ||||||||||
Commercial Mortgage Trust, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 1,000 | 978,845 | ||||||||||
Commercial Mortgage Trust, Series 2013-CR7, Class A3 | 2.929% | 03/10/46 | 1,400 | 1,399,320 | ||||||||||
Commercial Mortgage Trust, Series 2014-CR15, Class A2 | 2.928% | 02/10/47 | 2,000 | 2,063,788 | ||||||||||
Commercial Mortgage Trust, Series 2014-CR18, Class A4 | 3.550% | 07/15/47 | 2,100 | 2,156,469 | ||||||||||
Commercial Mortgage Trust, Series 2014-LC17, Class A4 | 3.648% | 10/10/47 | 5,000 | 5,182,985 | ||||||||||
Commercial Mortgage Trust, Series 2014-UBS3, Class A2 | 2.844% | 06/10/47 | 1,700 | 1,748,860 | ||||||||||
Commercial Mortgage Trust, Series 2015-3BP, Class A, 144A | 3.178% | 02/10/35 | 4,500 | 4,416,759 | ||||||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class A4 | 5.609% | (b) | 02/15/39 | 2,544 | 2,563,175 | |||||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM | 5.639% | (b) | 02/15/39 | 530 | 538,138 | |||||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class A1A | 5.297% | 12/15/39 | 2,385 | 2,489,032 | ||||||||||
Federal National Mortgage Assoc., Series 2014-M2, Class A2 | 3.513% | (b) | 12/25/23 | 1,925 | 2,026,340 | |||||||||
Federal National Mortgage Assoc., Series 2015-M10, Class A2 | 3.092% | (b) | 04/25/27 | 4,700 | 4,652,765 | |||||||||
Federal National Mortgage Assoc., Series 2015-M8, Class AB2 | 2.829% | 01/25/25 | 4,100 | 4,057,708 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O | 1.596% | (b) | 05/25/22 | 20,824 | 1,680,010 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O | 1.632% | (b) | 06/25/22 | 5,757 | 479,827 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O | 1.734% | (b) | 08/25/16 | 4,736 | 57,872 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O | 1.906% | (b) | 05/25/19 | 16,555 | 966,589 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O | 1.826% | (b) | 07/25/19 | 17,144 | 975,365 | |||||||||
Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A5 | 5.224% | (b) | 04/10/37 | 629 | 629,795 | |||||||||
Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class AM | 5.277% | (b) | 04/10/37 | 3,500 | 3,525,074 | |||||||||
GS Mortgage Securities Trust, Series 2015-GC28, Class A4 | 3.136% | 02/10/48 | 3,000 | 2,964,726 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1 | 3.408% | 11/15/47 | 1,100 | 1,117,367 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1 | 2.920% | 02/15/48 | 5,000 | 4,852,790 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM | 4.999% | (b) | 10/15/42 | 1,170 | 1,170,745 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class ASB | 5.523% | 05/12/45 | 352 | 355,830 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3 | 3.139% | 06/15/45 | 1,629 | 1,677,658 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4 | 2.611% | 12/15/47 | 1,500 | 1,473,722 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 | 2.875% | 12/15/47 | 3,200 | 3,189,142 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2 | 3.070% | 12/15/46 | 1,700 | 1,763,877 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 1,100 | 1,078,705 | ||||||||||
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM | 5.263% | (b) | 11/15/40 | 1,390 | 1,393,055 | |||||||||
Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM | 5.865% | (b) | 05/12/39 | 780 | 801,531 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2006-1, Class AM | 5.700% | (b) | 02/12/39 | 440 | 448,324 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2006-2, Class A4 | 6.059% | (b) | 06/12/46 | 2,042 | 2,091,133 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A2 | 5.331% | 03/12/51 | 1,597 | 1,613,908 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | 2.863% | 12/15/48 | 1,200 | 1,193,960 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3 | 3.451% | 07/15/50 | 4,000 | 4,036,116 |
SEE NOTES TO FINANCIAL STATEMENTS.
A13
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4 | 5.845% | (b) | 10/15/42 | 1,622 | $ | 1,633,170 | ||||||||
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB | 5.444% | 02/12/44 | 1,219 | 1,218,455 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | 2.792% | 12/10/45 | 1,400 | 1,385,523 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | 2.920% | 03/10/46 | 3,200 | 3,177,638 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | 2.971% | 04/10/46 | 1,500 | 1,492,320 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4 | 5.897% | (b) | 05/15/43 | 2,739 | 2,781,976 | |||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A | 5.608% | (b) | 05/15/46 | 4,195 | 4,425,559 | |||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 101,285,795 | ||||||||||||
CORPORATE BONDS — 9.7% | ||||||||||||||
Airlines — 0.2% | ||||||||||||||
American Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A(a) | 3.375% | 05/01/27 | 2,635 | 2,602,062 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A | 6.648% | 09/15/17 | 63 | 64,518 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1 | 6.703% | 06/15/21 | 124 | 132,144 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A | 7.250% | 11/10/19 | 542 | 627,587 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A | 4.750% | 01/12/21 | 587 | 624,192 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A(a) | 4.000% | 10/29/24 | 373 | 380,297 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, | 6.821% | 08/10/22 | 303 | 347,190 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, | 4.950% | 05/23/19 | 438 | 464,595 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, | 5.300% | 04/15/19 | 729 | 784,069 | ||||||||||
6,026,654 | ||||||||||||||
Automotive — 0.2% | ||||||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | 4.207% | 04/15/16 | 1,890 | 1,932,971 | ||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.250% | 10/02/43 | 1,065 | 1,188,066 | ||||||||||
Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A | 2.700% | 03/15/17 | 380 | 388,517 | ||||||||||
Johnson Controls, Inc., Sr. Unsec’d. Notes | 5.500% | 01/15/16 | 235 | 240,903 | ||||||||||
�� | 3,750,457 | |||||||||||||
Banking — 3.0% | ||||||||||||||
American Express Co., Jr. Sub. Notes | 5.200% | (b) | 12/31/49 | 475 | 471,485 | |||||||||
Bank of America Corp., Series K, Jr. Sub. Notes | 8.000% | (b) | 12/29/49 | 2,100 | 2,215,500 | |||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 5.700% | 01/24/22 | 1,290 | 1,464,358 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 6.000% | 09/01/17 | 1,330 | 1,447,258 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 3.300% | 01/11/23 | 360 | 354,541 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.000% | 04/01/24 | 745 | 758,093 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 5.650% | 05/01/18 | 105 | 115,343 | ||||||||||
Bank of America Corp., Sub. Notes, MTN(a) | 4.000% | 01/22/25 | 1,700 | 1,656,300 | ||||||||||
Bank of America NA, Sub. Notes | 5.300% | 03/15/17 | 850 | 900,289 | ||||||||||
Bank of America NA, Sub. Notes(a) | 6.000% | 10/15/36 | 805 | 956,415 | ||||||||||
Bank of Nova Scotia (Canada), Covered Bonds, 144A | 1.650% | 10/29/15 | 1,265 | 1,269,863 | ||||||||||
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes | 5.300% | 10/30/15 | 550 | 557,865 | ||||||||||
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes | 6.400% | 10/02/17 | 270 | 297,158 | ||||||||||
Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes | 7.250% | 02/01/18 | 1,135 | 1,285,757 | ||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 3.200% | 02/05/25 | 1,070 | 1,012,100 | ||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 3.750% | 04/24/24 | 2,170 | 2,160,016 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes(a) | 3.875% | 10/25/23 | 1,730 | 1,765,500 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 4.500% | 01/14/22 | 1,125 | 1,211,803 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.125% | 07/15/39 | 850 | 1,220,058 |
SEE NOTES TO FINANCIAL STATEMENTS.
A14
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Banking (continued) | ||||||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.500% | 05/22/19 | 1,195 | $ | 1,457,538 | |||||||||
Compass Bank, Sr. Unsec’d. Notes | 1.850% | 09/29/17 | 1,050 | 1,048,740 | ||||||||||
Discover Bank, Sr. Unsec’d. Notes | 4.250% | 03/13/26 | 595 | 587,850 | ||||||||||
Discover Bank, Sub. Notes | 7.000% | 04/15/20 | 485 | 564,462 | ||||||||||
Discover Financial Services, Sr. Unsec’d. Notes | 3.850% | 11/21/22 | 900 | 893,606 | ||||||||||
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes | 5.375% | (b) | 12/31/49 | 1,800 | 1,778,220 | |||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.250% | 07/27/21 | 2,305 | 2,559,744 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.750% | 01/24/22 | 1,250 | 1,421,836 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 02/01/41 | 220 | 260,380 | ||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 5.625% | 01/15/17 | 765 | 810,071 | ||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 6.750% | 10/01/37 | 1,100 | 1,290,243 | ||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes(a) | 4.875% | 01/14/22 | 1,230 | 1,356,374 | ||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 5.100% | 04/05/21 | 920 | 1,025,540 | ||||||||||
Huntington Bancshares, Inc., Sub. Notes(a) | 7.000% | 12/15/20 | 150 | 178,669 | ||||||||||
Intesa Sanpaolo SpA (Italy), Gtd. Notes | 3.125% | 01/15/16 | 1,145 | 1,153,728 | ||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes(a) | 6.100% | (b) | 12/31/49 | 1,175 | 1,179,112 | |||||||||
JPMorgan Chase & Co., Jr. Sub. Notes | 7.900% | (b) | 04/29/49 | 2,000 | 2,115,500 | |||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 4.250% | 10/15/20 | 1,660 | 1,774,977 | ||||||||||
JPMorgan Chase & Co., Sub. Notes | 3.875% | 09/10/24 | 3,525 | 3,468,269 | ||||||||||
JPMorgan Chase & Co., Sub. Notes | 5.625% | 08/16/43 | 185 | 197,295 | ||||||||||
Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A | 5.800% | 01/13/20 | 1,770 | 2,022,213 | ||||||||||
Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes | 2.900% | 02/06/25 | 2,385 | 2,254,097 | ||||||||||
Morgan Stanley, Jr. Sub. Notes | 5.450% | (b) | 12/31/49 | 640 | 635,200 | |||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 3.750% | 02/25/23 | 605 | 611,740 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes(a) | 6.375% | 07/24/42 | 640 | 785,787 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.450% | 01/09/17 | 1,530 | 1,621,341 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.500% | 07/28/21 | 840 | 947,595 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 6.625% | 04/01/18 | 100 | 112,206 | ||||||||||
Morgan Stanley, Sub. Notes, MTN | 4.350% | 09/08/26 | 3,050 | 2,988,634 | ||||||||||
MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes | 6.346% | (b) | 07/29/49 | 800 | 837,600 | |||||||||
National City Corp., Sub. Notes | 6.875% | 05/15/19 | 2,687 | 3,116,184 | ||||||||||
People’s United Financial, Inc., Sr. Unsec’d. Notes | 3.650% | 12/06/22 | 1,195 | 1,187,567 | ||||||||||
PNC Bank NA, Sub. Notes | 3.800% | 07/25/23 | 480 | 491,739 | ||||||||||
PNC Funding Corp., Gtd. Notes | 6.700% | 06/10/19 | 390 | 454,740 | ||||||||||
Royal Bank of Canada (Canada), Covered Bonds | 2.200% | 09/23/19 | 2,240 | 2,256,484 | ||||||||||
Santander Holdings USA, Inc., Sr. Unsec’d. Notes | 3.000% | 09/24/15 | 780 | 782,153 | ||||||||||
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes | 2.450% | 01/10/19 | 925 | 935,067 | ||||||||||
Synchrony Financial, Sr. Unsec’d. Notes | 2.700% | 02/03/20 | 2,175 | 2,148,498 | ||||||||||
Toronto-Dominion Bank (The) (Canada), Covered Bonds, 144A | 1.950% | 04/02/20 | 3,360 | 3,334,061 | ||||||||||
US Bancorp, Sub. Notes, MTN | 2.950% | 07/15/22 | 915 | 900,623 | ||||||||||
Westpac Banking Corp. (Australia), Covered Bonds, 144A | 2.000% | 05/21/19 | 870 | 878,057 | ||||||||||
75,543,442 | ||||||||||||||
Brokerage — 0.1% | ||||||||||||||
Jefferies Group LLC, Sr. Unsec’d. Notes | 6.500% | 01/20/43 | 465 | 454,309 | ||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(e) | 5.250% | 02/06/12 | 1,850 | 201,188 | ||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(e) | 6.875% | 05/02/18 | 700 | 80,500 | ||||||||||
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN | 2.000% | 09/13/16 | 680 | 684,954 | ||||||||||
1,420,951 | ||||||||||||||
Building Materials & Construction — 0.1% | ||||||||||||||
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A | 5.375% | 11/15/24 | 1,135 | 1,114,400 | ||||||||||
D.R. Horton, Inc., Gtd. Notes | 3.625% | 02/15/18 | 375 | 382,031 | ||||||||||
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A | 5.250% | 06/27/29 | 530 | 397,606 | ||||||||||
1,894,037 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A15
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (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 | $ | 981,000 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A | 5.375% | 05/01/25 | 720 | 701,100 | ||||||||||
Comcast Cable Holdings LLC, Gtd. Notes | 9.875% | 06/15/22 | 1,440 | 1,919,520 | ||||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | 3.500% | 03/01/16 | 605 | 614,425 | ||||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | 5.150% | 03/15/42 | 520 | 489,217 | ||||||||||
Time Warner Cable, Inc., Gtd. Notes | 5.850% | 05/01/17 | 1,240 | 1,324,157 | ||||||||||
Videotron Ltd. (Canada), Gtd. Notes | 5.000% | 07/15/22 | 850 | 847,875 | ||||||||||
6,877,294 | ||||||||||||||
Capital Goods — 0.3% | ||||||||||||||
Actuant Corp., Gtd. Notes | 5.625% | 06/15/22 | 1,040 | 1,058,200 | ||||||||||
Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes | 7.875% | 12/01/17 | 1,100 | 1,204,500 | ||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 6.375% | 10/15/17 | 1,198 | 1,316,918 | ||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 7.000% | 10/15/37 | 390 | 476,716 | ||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.125% | 10/09/42 | 180 | 173,188 | ||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.500% | 03/11/44 | 260 | 264,053 | ||||||||||
SPX Corp., Gtd. Notes | 6.875% | 09/01/17 | 810 | 872,775 | ||||||||||
United Rentals North America, Inc., Gtd. Notes | 7.375% | 05/15/20 | 725 | 773,568 | ||||||||||
Xylem, Inc., Sr. Unsec’d. Notes | 4.875% | 10/01/21 | 1,060 | 1,148,311 | ||||||||||
7,288,229 | ||||||||||||||
Chemicals — 0.3% |
| |||||||||||||
Celanese US Holdings LLC, Gtd. Notes(a) | 5.875% | 06/15/21 | 1,160 | 1,241,200 | ||||||||||
CF Industries, Inc., Gtd. Notes | 5.375% | 03/15/44 | 445 | 442,487 | ||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes(a) | 4.625% | 10/01/44 | 5 | 4,667 | ||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 9.400% | 05/15/39 | 30 | 45,152 | ||||||||||
Koppers, Inc., Gtd. Notes | 7.875% | 12/01/19 | 1,050 | 1,060,500 | ||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 4.625% | 02/26/55 | 955 | 841,014 | ||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 5.000% | 04/15/19 | 800 | 866,612 | ||||||||||
Monsanto Co., Sr. Unsec’d. Notes | 4.400% | 07/15/44 | 180 | 161,185 | ||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.450% | 11/15/33 | 265 | 282,086 | ||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.625% | 11/15/43 | 860 | 916,254 | ||||||||||
Union Carbide Corp., Sr. Unsec’d. Notes | 7.500% | 06/01/25 | 500 | 623,055 | ||||||||||
6,484,212 | ||||||||||||||
Consumer — 0.1% |
| |||||||||||||
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes | 6.250% | 04/15/18 | 1,600 | 1,773,398 | ||||||||||
Electric — 0.4% |
| |||||||||||||
Arizona Public Service Co., Sr. Unsec’d. Notes | 6.250% | 08/01/16 | 170 | 179,582 | ||||||||||
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | 6.350% | 10/01/36 | 530 | 662,870 | ||||||||||
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes | 6.125% | 04/01/36 | 340 | 400,541 | ||||||||||
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge., Series K2 | 6.950% | 03/15/33 | 300 | 393,186 | ||||||||||
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series 09-C | 5.500% | 12/01/39 | 145 | 165,789 | ||||||||||
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes | 4.800% | 11/01/43 | 45 | 44,424 | ||||||||||
Duke Energy Carolinas LLC, First Mortgage | 6.050% | 04/15/38 | 530 | 652,899 | ||||||||||
Dynegy, Inc., Gtd. Notes, 144A | 6.750% | 11/01/19 | 345 | 358,972 | ||||||||||
Dynegy, Inc., Gtd. Notes, 144A | 7.375% | 11/01/22 | 255 | 267,113 | ||||||||||
El Paso Electric Co., Sr. Unsec’d. Notes | 6.000% | 05/15/35 | 845 | 993,511 | ||||||||||
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes | 8.625% | 08/01/15 | 1,020 | 1,025,712 | ||||||||||
Eversource Energy, Sr. Unsec’d. Notes | 4.500% | 11/15/19 | 605 | 661,015 | ||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | 6.250% | 10/01/39 | 1,375 | 1,517,240 | ||||||||||
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A | 5.450% | 07/15/44 | 265 | 275,863 | ||||||||||
Florida Power & Light Co., First Mortgage | 5.950% | 10/01/33 | 380 | 462,826 | ||||||||||
Iberdrola International BV (Spain), Gtd. Notes | 6.750% | 09/15/33 | 140 | 160,236 | ||||||||||
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A | 4.881% | 08/15/19 | 545 | 598,093 | ||||||||||
Public Service Co. of New Mexico, Sr. Unsec’d. Notes | 7.950% | 05/15/18 | 135 | 157,096 | ||||||||||
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN | 5.800% | 05/01/37 | 515 | 620,862 |
SEE NOTES TO FINANCIAL STATEMENTS.
A16
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Electric (continued) |
| |||||||||||||
Southern California Edison Co., First Mortgage | 3.600% | 02/01/45 | 690 | $ | 615,053 | |||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 4.800% | 09/15/41 | 480 | 497,789 | ||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 5.613% | 04/01/17 | 263 | 281,869 | ||||||||||
10,992,541 | ||||||||||||||
Energy – Integrated | ||||||||||||||
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A | 5.400% | 02/14/22 | 400 | 431,331 | ||||||||||
Energy – Other — 0.3% | ||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 4.677% | (f) | 10/10/36 | 1,000 | 400,000 | |||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.450% | 09/15/36 | 305 | 351,933 | ||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.950% | 06/15/19 | 225 | 261,356 | ||||||||||
Devon Financing Corp. LLC, Gtd. Notes | 7.875% | 09/30/31 | 1,350 | 1,740,151 | ||||||||||
EOG Resources, Inc., Sr. Unsec’d. Notes(a) | 3.900% | 04/01/35 | 830 | 785,718 | ||||||||||
Helmerich & Payne International Drilling Co., Gtd. Notes, 144A(a) | 4.650% | 03/15/25 | 1,555 | 1,605,208 | ||||||||||
Nabors Industries, Inc., Gtd. Notes | 4.625% | 09/15/21 | 890 | 884,189 | ||||||||||
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A | 5.375% | 01/26/19 | 350 | 287,525 | ||||||||||
Phillips 66, Gtd. Notes | 2.950% | 05/01/17 | 415 | 426,568 | ||||||||||
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | 6.875% | 05/01/18 | 1,450 | 1,628,092 | ||||||||||
Valero Energy Corp., Sr. Unsec’d. Notes | 4.900% | 03/15/45 | 225 | 210,847 | ||||||||||
8,581,587 | ||||||||||||||
Foods — 0.1% | ||||||||||||||
Bunge Ltd. Finance Corp., Gtd. Notes | 8.500% | 06/15/19 | 860 | 1,039,626 | ||||||||||
Tyson Foods, Inc., Gtd. Notes | 6.600% | 04/01/16 | 785 | 815,003 | ||||||||||
1,854,629 | ||||||||||||||
Gaming — 0.1% | ||||||||||||||
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes | 4.875% | 11/01/20 | 800 | 814,000 | ||||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., Gtd. Notes, 144A | 5.500% | 03/01/25 | 900 | 857,250 | ||||||||||
1,671,250 | ||||||||||||||
Healthcare & Pharmaceutical — 0.9% | ||||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 3.600% | 05/14/25 | 950 | 938,975 | ||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 4.500% | 05/14/35 | 1,595 | 1,560,393 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 3.800% | 03/15/25 | 805 | 790,769 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 4.550% | 03/15/35 | 1,305 | 1,240,758 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 4.750% | 03/15/45 | 480 | 456,986 | ||||||||||
Actavis, Inc., Gtd. Notes | 6.125% | 08/15/19 | 440 | 496,758 | ||||||||||
Amgen, Inc., Sr. Unsec’d. Notes | 5.150% | 11/15/41 | 1,365 | 1,401,786 | ||||||||||
Becton Dickinson & Co., Sr. Unsec’d. Notes(a) | 3.734% | 12/15/24 | 805 | 802,292 | ||||||||||
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes | 5.125% | 08/15/18 | 900 | 922,500 | ||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A | 4.125% | 10/15/20 | 1,235 | 1,250,438 | ||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 5.650% | 12/01/41 | 140 | 160,407 | ||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.000% | 03/15/24 | 900 | 915,750 | ||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.250% | 04/15/25 | 350 | 364,000 | ||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 3.200% | 02/01/22 | 160 | 157,743 | ||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 5.625% | 12/15/15 | 560 | 571,277 | ||||||||||
Medtronic, Inc., Sr. Unsec’d. Notes, 144A | 3.500% | 03/15/25 | 2,515 | 2,506,416 | ||||||||||
Medtronic, Inc., Sr. Unsec’d. Notes, 144A | 4.375% | 03/15/35 | 1,065 | 1,056,826 | ||||||||||
Merck & Co., Inc., Sr. Unsec’d. Notes | 2.750% | 02/10/25 | 340 | 326,038 | ||||||||||
Merck & Co., Inc., Sr. Unsec’d. Notes | 3.700% | 02/10/45 | 1,105 | 987,172 | ||||||||||
Mylan, Inc., Gtd. Notes | 1.800% | 06/24/16 | 355 | 355,178 | ||||||||||
New York & Presbyterian Hospital (The), Unsec’d. Notes | 4.024% | 08/01/45 | 340 | 310,151 | ||||||||||
Novartis Capital Corp. (Switzerland), Gtd. Notes | 4.400% | 05/06/44 | 1,010 | 1,041,236 | ||||||||||
Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A | 2.875% | 09/29/21 | 4,385 | 4,421,141 | ||||||||||
Zoetis, Inc., Sr. Unsec’d. Notes | 4.700% | 02/01/43 | 90 | 85,807 | ||||||||||
23,120,797 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A17
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (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 | 480 | $ | 589,561 | |||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.750% | 12/15/37 | 1,050 | 1,321,236 | ||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.625% | 05/15/42 | 330 | 301,639 | ||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.650% | 01/15/43 | 260 | 238,358 | ||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.875% | 03/15/41 | 540 | 614,428 | ||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 6.150% | 11/15/36 | 640 | 738,337 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 3.950% | 10/15/42 | 440 | 398,107 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.000% | 06/15/17 | 115 | 125,214 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.625% | 11/15/37 | 410 | 525,615 | ||||||||||
4,852,495 | ||||||||||||||
Insurance — 0.9% | ||||||||||||||
Allied World Assurance Co. Holdings Ltd., Gtd. Notes | 5.500% | 11/15/20 | 480 | 534,931 | ||||||||||
Allstate Corp. (The), Sr. Unsec’d. Notes | 4.500% | 06/15/43 | 125 | 126,123 | ||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 4.500% | 07/16/44 | 1,910 | 1,816,878 | ||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 6.400% | 12/15/20 | 910 | 1,081,849 | ||||||||||
Axis Specialty Finance LLC, Gtd. Notes | 5.875% | 06/01/20 | 990 | 1,120,448 | ||||||||||
Chubb Corp. (The), Jr. Sub. Notes(a) | 6.375% | (b) | 03/29/67 | 1,260 | 1,321,740 | |||||||||
Dai-ichi Life Insurance Co. Ltd. (The) (Japan), Jr. Sub. Notes, 144A | 5.100% | (b) | 12/29/49 | 375 | 395,625 | |||||||||
Hartford Financial Services Group, Inc. (The), Sr. Unsec’d. Notes | 5.125% | 04/15/22 | 635 | 704,232 | ||||||||||
Liberty Mutual Group, Inc., Gtd. Notes, 144A | 6.500% | 05/01/42 | 215 | 250,886 | ||||||||||
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A | 7.000% | 03/15/34 | 910 | 1,103,188 | ||||||||||
Lincoln National Corp., Jr. Sub. Notes(a) | 6.050% | (b) | 04/20/67 | 250 | 226,250 | |||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 6.300% | 10/09/37 | 876 | 1,032,275 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 7.000% | 06/15/40 | 660 | 827,814 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 8.750% | 07/01/19 | 505 | 619,154 | ||||||||||
Markel Corp., Sr. Unsec’d. Notes | 5.000% | 03/30/43 | 165 | 162,230 | ||||||||||
MetLife, Inc., Sr. Unsec’d. Notes | 5.700% | 06/15/35 | 960 | 1,117,045 | ||||||||||
MetLife, Inc., Sr. Unsec’d. Notes | 6.375% | 06/15/34 | 85 | 104,878 | ||||||||||
MetLife, Inc., Sr. Unsec’d. Notes | 6.750% | 06/01/16 | 270 | 284,042 | ||||||||||
New York Life Insurance Co., Sub. Notes, 144A | 6.750% | 11/15/39 | 650 | 853,020 | ||||||||||
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A | 5.100% | (b) | 10/16/44 | 1,505 | 1,574,606 | |||||||||
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A | 6.063% | 03/30/40 | 350 | 418,525 | ||||||||||
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A | 6.375% | 04/30/20 | 640 | 728,467 | ||||||||||
Pacific Life Insurance Co., Sub. Notes, 144A | 9.250% | 06/15/39 | 695 | 1,037,882 | ||||||||||
Principal Financial Group, Inc., Gtd. Notes | 4.625% | 09/15/42 | 105 | 101,086 | ||||||||||
Progressive Corp. (The), Jr. Sub. Notes | 6.700% | (b) | 06/15/37 | 715 | 745,387 | |||||||||
Progressive Corp. (The), Sr. Unsec’d. Notes | 3.700% | 01/26/45 | 570 | 503,208 | ||||||||||
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | 6.850% | 12/16/39 | 1,430 | 1,790,579 | ||||||||||
Unum Group, Sr. Unsec’d. Notes | 5.625% | 09/15/20 | 315 | 354,456 | ||||||||||
W.R. Berkley Corp., Sr. Unsec’d. Notes | 6.150% | 08/15/19 | 575 | 648,358 | ||||||||||
21,585,162 | ||||||||||||||
Lodging — 0.2% | ||||||||||||||
Choice Hotels International, Inc., Gtd. Notes | 5.750% | 07/01/22 | 955 | 1,034,981 | ||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.000% | 03/01/19 | 490 | 502,434 | ||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.250% | 09/15/22 | 805 | 793,713 | ||||||||||
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes | 6.750% | 05/15/18 | 2,700 | 3,020,817 | ||||||||||
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | 2.500% | 03/01/18 | 405 | 406,042 | ||||||||||
5,757,987 | ||||||||||||||
Media & Entertainment — 0.2% | ||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.150% | 03/01/37 | 250 | 289,073 | ||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.900% | 08/15/39 | 35 | 43,776 | ||||||||||
21st Century Fox America, Inc., Gtd. Notes | 7.625% | 11/30/28 | 1,265 | 1,636,890 | ||||||||||
CBS Corp., Gtd. Notes | 4.850% | 07/01/42 | 115 | 105,938 | ||||||||||
Historic TW, Inc., Gtd. Notes | 9.150% | 02/01/23 | 625 | 825,641 | ||||||||||
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS | 6.375% | 07/28/17 | 750 | 793,125 | ||||||||||
Time Warner, Inc., Gtd. Notes | 6.200% | 03/15/40 | 175 | 198,808 |
SEE NOTES TO FINANCIAL STATEMENTS.
A18
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Media & Entertainment (continued) | ||||||||||||||
Time Warner, Inc., Gtd. Notes | 6.250% | 03/29/41 | 495 | $ | 566,423 | |||||||||
Time Warner, Inc., Gtd. Notes | 7.625% | 04/15/31 | 75 | 97,525 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.500% | 02/27/42 | 50 | 41,805 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.875% | 06/15/43 | 150 | 134,271 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 5.850% | 09/01/43 | 325 | 323,486 | ||||||||||
5,056,761 | ||||||||||||||
Metals — 0.1% | ||||||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes | 5.000% | 09/30/43 | 700 | 726,624 | ||||||||||
Glencore Finance Canada Ltd. (Switzerland), Gtd. Notes, 144A | 2.050% | 10/23/15 | 905 | 907,317 | ||||||||||
Newmont Mining Corp., Gtd. Notes | 6.250% | 10/01/39 | 15 | 14,699 | ||||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 5.875% | 04/23/45 | 400 | 380,480 | ||||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 7.500% | 07/27/35 | 370 | 414,378 | ||||||||||
�� | ||||||||||||||
2,443,498 | ||||||||||||||
Non-Captive Finance — 0.1% | ||||||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A | 3.750% | 05/15/19 | 600 | 593,250 | ||||||||||
General Electric Capital Corp., Gtd. Notes, MTN | 5.875% | 01/14/38 | 580 | 693,697 | ||||||||||
General Electric Capital Corp., Gtd. Notes, MTN | 6.875% | 01/10/39 | 1,085 | 1,456,801 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes | 5.750% | 05/15/16 | 230 | 235,750 | ||||||||||
Navient Corp., Sr. Unsec’d. Notes, MTN | 8.450% | 06/15/18 | 295 | 327,834 | ||||||||||
3,307,332 | ||||||||||||||
Packaging | ||||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes | 4.500% | 01/15/23 | 1,000 | 944,380 | ||||||||||
Paper — 0.1% | ||||||||||||||
Georgia-Pacific LLC, Gtd. Notes, 144A | 5.400% | 11/01/20 | 275 | 306,977 | ||||||||||
International Paper Co., Sr. Unsec’d. Notes | 6.000% | 11/15/41 | 1,270 | 1,369,221 | ||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.950% | 06/15/18 | 460 | 537,098 | ||||||||||
Rock-Tenn Co., Gtd. Notes | 4.900% | 03/01/22 | 675 | 726,827 | ||||||||||
2,940,123 | ||||||||||||||
Pipelines & Other — 0.3% | ||||||||||||||
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A | 4.750% | 09/30/21 | 600 | 592,862 | ||||||||||
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A | 5.350% | 03/15/20 | 1,125 | 1,156,483 | ||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes | 4.650% | 06/01/21 | 610 | 626,070 | ||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a) | 4.900% | 03/15/35 | 200 | 180,462 | ||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a) | 5.150% | 03/15/45 | 500 | 441,777 | ||||||||||
EnLink Midstream Partners LP, Sr. Unsec’d. Notes | 4.150% | 06/01/25 | 665 | 647,477 | ||||||||||
Enterprise Products Operating LLC, Gtd. Notes | 3.750% | 02/15/25 | 1,055 | 1,033,976 | ||||||||||
Kinder Morgan Energy Partners LP, Gtd. Notes | 5.950% | 02/15/18 | 530 | 579,169 | ||||||||||
MPLX LP, Sr. Unsec’d. Notes | 4.000% | 02/15/25 | 1,140 | 1,112,265 | ||||||||||
NiSource Finance Corp., Gtd. Notes | 5.450% | 09/15/20 | 500 | 563,061 | ||||||||||
ONEOK Partners LP, Gtd. Notes | 6.650% | 10/01/36 | 130 | 135,998 | ||||||||||
7,069,600 | ||||||||||||||
Railroads — 0.1% | ||||||||||||||
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | 3.450% | 09/15/21 | 1,180 | 1,219,002 | ||||||||||
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | 6.700% | 08/01/28 | 735 | 930,140 | ||||||||||
CSX Corp., Sr. Unsec’d. Notes | 6.150% | 05/01/37 | 690 | 820,985 | ||||||||||
Norfolk Southern Corp., Sr. Unsec’d. Notes | 5.590% | 05/17/25 | 120 | 138,151 | ||||||||||
3,108,278 | ||||||||||||||
Real Estate Investment Trusts — 0.2% | ||||||||||||||
Mack-Cali Realty LP, Sr. Unsec’d. Notes | 7.750% | 08/15/19 | 685 | 788,484 | ||||||||||
Prologis LP, Gtd. Notes | 6.875% | 03/15/20 | 68 | 78,552 | ||||||||||
Select Income REIT, Sr. Unsec’d. Notes | 2.850% | 02/01/18 | 550 | 557,425 | ||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 2.800% | 01/30/17 | 235 | 240,532 |
SEE NOTES TO FINANCIAL STATEMENTS.
A19
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Real Estate Investment Trusts (continued) | ||||||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 3.375% | 03/15/22 | 190 | $ | 192,850 | |||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 6.125% | 05/30/18 | 2,925 | 3,286,498 | ||||||||||
5,144,341 | ||||||||||||||
Retailers — 0.1% | ||||||||||||||
CVS Health Corp., Sr. Unsec’d. Notes(a) | 5.300% | 12/05/43 | 170 | 185,247 | ||||||||||
Home Depot, Inc. (The), Sr. Unsec’d. Notes(a) | 4.400% | 03/15/45 | 565 | 564,186 | ||||||||||
L Brands, Inc., Gtd. Notes | 5.625% | 02/15/22 | 1,300 | 1,368,250 | ||||||||||
Lowe’s Cos., Inc., Sr. Unsec’d. Notes | 6.500% | 03/15/29 | 345 | 433,913 | ||||||||||
Macy’s Retail Holdings, Inc., Gtd. Notes | 3.875% | 01/15/22 | 300 | 311,066 | ||||||||||
Target Corp., Sr. Unsec’d. Notes | 3.500% | 07/01/24 | 265 | 270,511 | ||||||||||
3,133,173 | ||||||||||||||
Technology | ||||||||||||||
Oracle Corp., Sr. Unsec’d. Notes | 4.300% | 07/08/34 | 700 | 690,300 | ||||||||||
Seagate HDD Cayman, Gtd. Notes | 3.750% | 11/15/18 | 455 | 474,353 | ||||||||||
1,164,653 | ||||||||||||||
Telecommunications — 0.6% | ||||||||||||||
America Movil SAB de CV (Mexico), Gtd. Notes | 6.125% | 03/30/40 | 300 | 347,379 | ||||||||||
AT&T Corp., Gtd. Notes | 8.000% | 11/15/31 | 18 | 24,425 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 3.400% | 05/15/25 | 3,130 | 2,985,106 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 05/15/35 | 350 | 321,750 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.750% | 05/15/46 | 560 | 509,585 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.800% | 06/15/44 | 305 | 284,107 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.350% | 09/01/40 | 1,133 | 1,115,458 | ||||||||||
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes | 9.625% | 12/15/30 | 350 | 519,461 | ||||||||||
Embarq Corp., Sr. Unsec’d. Notes | 7.082% | 06/01/16 | 325 | 337,977 | ||||||||||
Embarq Corp., Sr. Unsec’d. Notes | 7.995% | 06/01/36 | 365 | 404,675 | ||||||||||
Sprint Communications, Inc., Sr. Unsec’d. Notes | 6.000% | 12/01/16 | 950 | 976,125 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes(a) | 3.500% | 11/01/24 | 1,220 | 1,186,644 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.862% | 08/21/46 | 1,053 | 985,520 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 5.012% | 08/21/54 | 2,349 | 2,155,412 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A | 4.522% | 09/15/48 | 1,182 | 1,038,407 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A | 4.672% | 03/15/55 | 2,288 | 1,990,455 | ||||||||||
15,182,486 | ||||||||||||||
Tobacco — 0.2% | ||||||||||||||
Altria Group, Inc., Gtd. Notes | 4.000% | 01/31/24 | 1,585 | 1,609,531 | ||||||||||
Altria Group, Inc., Gtd. Notes | 9.950% | 11/10/38 | 42 | 67,630 | ||||||||||
Altria Group, Inc., Gtd. Notes | 10.200% | 02/06/39 | 274 | 451,204 | ||||||||||
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A | 2.050% | 02/11/18 | 1,680 | 1,672,284 | ||||||||||
RJ Reynolds Tobacco Co., Gtd. Notes | 8.125% | 06/23/19 | 290 | 343,556 | ||||||||||
4,144,205 | ||||||||||||||
TOTAL CORPORATE BONDS |
| 243,545,283 | ||||||||||||
MUNICIPAL BONDS — 0.5% | ||||||||||||||
California — 0.2% | ||||||||||||||
Bay Area Toll Authority, Revenue Bonds, BABs | 6.263% | 04/01/49 | 1,305 | 1,688,435 | ||||||||||
State of California, GO, BABs | 7.300% | 10/01/39 | 1,250 | 1,736,312 | ||||||||||
State of California, GO, BABs | 7.500% | 04/01/34 | 350 | 484,761 | ||||||||||
State of California, GO, BABs | 7.550% | 04/01/39 | 245 | 354,253 | ||||||||||
State of California, GO, BABs | 7.625% | 03/01/40 | 205 | 295,893 | ||||||||||
4,559,654 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A20
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
MUNICIPAL BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Colorado | ||||||||||||||
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs | 5.844% | 11/01/50 | 565 | $ | 704,035 | |||||||||
Illinois — 0.1% | ||||||||||||||
Chicago O’Hare International Airport, Revenue Bonds, BABs | 6.395% | 01/01/40 | 970 | 1,186,950 | ||||||||||
New Jersey — 0.1% | ||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs | 7.414% | 01/01/40 | 1,000 | 1,388,710 | ||||||||||
New York — 0.1% | ||||||||||||||
New York City Transitional Finance Authority, Revenue Bonds, BABs | 5.767% | 08/01/36 | 1,100 | 1,319,835 | ||||||||||
Ohio | ||||||||||||||
Ohio State University (The), Revenue Bonds, BABs | 4.910% | 06/01/40 | 415 | 458,438 | ||||||||||
Ohio State Water Development Authority, Revenue Bonds, BABs | 4.879% | 12/01/34 | 275 | 306,449 | ||||||||||
764,887 | ||||||||||||||
Oregon | ||||||||||||||
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs | 5.834% | 11/15/34 | 425 | 518,934 | ||||||||||
Pennsylvania | ||||||||||||||
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs | 5.511% | 12/01/45 | 505 | 570,993 | ||||||||||
Tennessee | ||||||||||||||
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | 6.731% | 07/01/43 | 945 | 1,169,457 | ||||||||||
Texas | ||||||||||||||
Texas State Transportation Commission, Revenue Bonds, Series B, BABs | 5.028% | 04/01/26 | 305 | 347,651 | ||||||||||
TOTAL MUNICIPAL BONDS |
| 12,531,106 | ||||||||||||
NON-CORPORATE FOREIGN AGENCIES — 0.8% | ||||||||||||||
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 3.150% | 07/24/24 | 1,300 | 1,309,023 | ||||||||||
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A | 4.875% | 01/15/24 | 490 | 501,025 | ||||||||||
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes | 5.125% | 06/29/20 | 265 | 297,022 | ||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 9.250% | 04/23/19 | 695 | 771,450 | ||||||||||
International Bank for Reconstruction & Development (Supranational Bank), Sr. Unsec’d. Notes | 2.250% | 06/24/21 | 3,295 | 3,362,050 | ||||||||||
KFW (Germany), Gov’t. Gtd. Notes, MTN | 2.750% | 10/01/20 | 2,645 | 2,760,370 | ||||||||||
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A | 1.125% | 05/23/18 | 2,634 | 2,626,003 | ||||||||||
Petrobras Global Finance BV (Brazil), Gtd. Notes | 2.000% | 05/20/16 | 1,400 | 1,383,438 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes(a) | 3.500% | 01/30/23 | 705 | 668,833 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 4.875% | 01/18/24 | 375 | 384,375 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 5.500% | 01/21/21 | 1,970 | 2,136,465 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 6.625% | 06/15/35 | 453 | 483,578 | ||||||||||
Petroleos Mexicanos (Mexico), Sr. Unsec’d. Notes | 8.625% | 12/01/23 | 350 | 430,150 | ||||||||||
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 6.299% | 05/15/17 | 560 | 565,600 | ||||||||||
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A | 1.750% | 04/10/17 | 1,035 | 1,035,590 | ||||||||||
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A | 2.500% | 04/28/20 | 1,000 | 984,940 | ||||||||||
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A | 2.750% | 05/07/19 | 500 | 505,050 | ||||||||||
TOTAL NON-CORPORATE FOREIGN AGENCIES |
| 20,204,962 | ||||||||||||
NON-CORPORATE SOVEREIGNS — 0.5% | ||||||||||||||
Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes(a) | 4.250% | 01/07/25 | 2,270 | 2,191,685 | ||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | 4.000% | 02/26/24 | 920 | 915,400 | ||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 4.000% | 03/25/19 | 392 | 404,662 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a) | 5.875% | 03/13/20 | 770 | 856,625 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a) | 5.875% | 01/15/24 | 750 | 828,750 |
SEE NOTES TO FINANCIAL STATEMENTS.
A21
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
NON-CORPORATE SOVEREIGNS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A | 6.875% | 01/17/18 | 745 | $ | 833,826 | |||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes | 3.625% | 03/15/22 | 550 | 556,600 | ||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN | 4.750% | 03/08/44 | 766 | 727,700 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 3.750% | 03/16/25 | 490 | 482,650 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 4.000% | 09/22/24 | 395 | 396,975 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 5.200% | 01/30/20 | 375 | 413,250 | ||||||||||
Province of British Columbia (Canada), Sr. Unsec’d. Notes | 2.000% | 10/23/22 | 1,975 | 1,934,506 | ||||||||||
Romanian Government International Bond (Romania), | 4.875% | 01/22/24 | 140 | 148,050 | ||||||||||
Romanian Government International Bond (Romania), | 6.125% | 01/22/44 | 350 | 392,700 | ||||||||||
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes | 7.000% | 06/05/20 | 1,260 | 1,438,245 | ||||||||||
TOTAL NON-CORPORATE SOVEREIGNS |
| 12,521,624 | ||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.3% | ||||||||||||||
Alternative Loan Trust, Series 2004-18CB, Class 3A1 | 5.250% | 09/25/19 | 298 | 303,839 | ||||||||||
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 | 6.000% | 01/25/36 | 1,404 | 1,183,211 | ||||||||||
Banc of America Funding Trust., Series 2015-R4, Class 4A1, 144A | 3.500% | (b) | 01/01/30 | 2,114 | 2,121,025 | |||||||||
Banc of America Mortgage Trust, Series 2005-A, Class 2A1 | 2.673% | (b) | 02/25/35 | 311 | 303,459 | |||||||||
Banc of America Mortgage Trust, Series 2005-B, Class 2A1 | 2.732% | (b) | 03/25/35 | 362 | 334,024 | |||||||||
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5 | 2.553% | (b) | 02/25/37 | 707 | 687,381 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2014-C04, Class 1M1 | 2.137% | (b) | 11/25/24 | 3,114 | 3,137,733 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1 | 1.687% | (b) | 02/25/25 | 1,031 | 1,032,634 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M1 | 1.335% | (b) | 05/25/25 | 4,974 | 4,946,635 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1 | 1.087% | (b) | 10/25/27 | 6,402 | 6,388,608 | |||||||||
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1 | 2.595% | (b) | 07/25/35 | 375 | 375,787 | |||||||||
LSTAR Securities Investment Trust, Series 2014-1, Class NOTE, 144A | 3.284% | (b) | 09/01/21 | 4,695 | 4,719,316 | |||||||||
LSTAR Securities Investment Trust, Series 2015-5, Class A1, 144A | 2.184% | (b) | 04/01/20 | 2,337 | 2,327,876 | |||||||||
LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A | 2.184% | (b) | 05/01/20 | 4,139 | 4,108,998 | |||||||||
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | 5.000% | 04/25/19 | 72 | 72,882 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 2.637% | (b) | 02/25/34 | 427 | 425,048 | |||||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | 5.000% | 03/25/20 | 197 | 197,280 | ||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 32,665,736 | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 10.4% | ||||||||||||||
Federal Home Loan Banks | 0.375% | 08/28/15 | 335 | 335,144 | ||||||||||
Federal Home Loan Banks(g) | 5.500% | 07/15/36 | 850 | 1,099,677 | ||||||||||
Federal Home Loan Mortgage Corp. | 0.750% | 01/12/18 | 407 | 404,973 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.236% | (b) | 12/01/35 | 315 | 334,349 | |||||||||
Federal Home Loan Mortgage Corp. | 2.292% | (b) | 06/01/36 | 294 | 312,755 | |||||||||
Federal Home Loan Mortgage Corp.(a) | 2.375% | 01/13/22 | 3,700 | 3,746,139 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.500% | 03/01/30 | 978 | 990,718 | ||||||||||
Federal Home Loan Mortgage Corp.(l) | 3.000% | TBA | 7,000 | 6,958,164 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 10/01/28-01/01/43 | 3,975 | 4,073,473 | ||||||||||
Federal Home Loan Mortgage Corp.(l) | 3.500% | TBA | 7,500 | 7,695,557 | ||||||||||
Federal Home Loan Mortgage Corp.(l) | 3.500% | TBA | 500 | 526,848 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 08/01/26 | 1,355 | 1,432,207 | ||||||||||
Federal Home Loan Mortgage Corp.(l) | 4.000% | TBA | 2,500 | 2,643,799 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 06/01/26-12/01/40 | 3,971 | 4,221,490 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 02/01/19-10/01/41 | 11,174 | 12,080,210 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/18-05/01/39 | 3,254 | 3,538,905 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 12/01/33-07/01/38 | 3,042 | 3,410,630 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 03/01/32-08/01/39 | 1,198 | 1,365,212 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 09/01/16 | 1 | 1,041 |
SEE NOTES TO FINANCIAL STATEMENTS.
A22
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 05/01/31-10/01/31 | 314 | $ | 358,011 | |||||||||
Federal National Mortgage Assoc.(a)(g)(h) | 1.500% | 06/22/20 | 4,835 | 4,777,662 | ||||||||||
Federal National Mortgage Assoc. | 1.625% | 01/21/20 | 1,365 | 1,363,108 | ||||||||||
Federal National Mortgage Assoc. | 1.875% | 02/19/19 | 156 | 158,940 | ||||||||||
Federal National Mortgage Assoc. | 1.959% | (b) | 07/01/33 | 421 | 443,914 | |||||||||
Federal National Mortgage Assoc. | 2.059% | (b) | 06/01/37 | 74 | 74,794 | |||||||||
Federal National Mortgage Assoc. | 2.151% | (b) | 07/01/37 | 465 | 491,582 | |||||||||
Federal National Mortgage Assoc.(l) | 2.500% | TBA | 1,000 | 1,012,114 | ||||||||||
Federal National Mortgage Assoc. | 2.500% | 01/01/28-10/01/43 | 2,615 | 2,605,186 | ||||||||||
Federal National Mortgage Assoc.(a) | 2.625% | 09/06/24 | 130 | 130,050 | ||||||||||
Federal National Mortgage Assoc.(l) | 3.000% | TBA | 26,000 | 25,903,007 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 02/01/27 | 3,899 | 4,049,237 | ||||||||||
Federal National Mortgage Assoc.(l) | 3.500% | TBA | 500 | 527,320 | ||||||||||
Federal National Mortgage Assoc.(l) | 3.500% | TBA | 3,000 | 3,083,672 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 07/01/27-03/01/43 | 30,896 | 32,006,763 | ||||||||||
Federal National Mortgage Assoc.(l) | 4.000% | TBA | 16,000 | 16,914,186 | ||||||||||
Federal National Mortgage Assoc.(l) | 4.000% | TBA | 7,500 | 7,946,103 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 09/01/44 | 6,570 | 6,963,812 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 11/01/18-03/01/41 | 7,817 | 8,488,473 | ||||||||||
Federal National Mortgage Assoc.(l) | 5.000% | TBA | 3,500 | 3,866,406 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 10/01/18-05/01/36 | 2,364 | 2,603,483 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 03/01/16-04/01/37 | 4,590 | 5,157,888 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 09/01/17-06/01/38 | 5,110 | 5,828,235 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/17-01/01/37 | 1,956 | 2,258,372 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 02/01/32-07/01/32 | 212 | 247,383 | ||||||||||
Federal National Mortgage Assoc. | 7.500% | 05/01/32 | 41 | 43,476 | ||||||||||
Government National Mortgage Assoc.(l) | 3.000% | TBA | 2,000 | 2,018,750 | ||||||||||
Government National Mortgage Assoc.(l) | 3.000% | TBA | 4,000 | 4,037,812 | ||||||||||
Government National Mortgage Assoc.(l) | 3.500% | TBA | 18,000 | 18,681,331 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 05/20/43-04/20/45 | 3,886 | 4,051,792 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 06/15/40-04/20/45 | 9,216 | 9,784,493 | ||||||||||
Government National Mortgage Assoc.(l) | 4.500% | TBA | 1,000 | 1,085,781 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 04/15/40-12/20/44 | 9,455 | 10,277,573 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 08/15/33-04/15/36 | 2,187 | 2,492,387 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 11/15/23-07/15/34 | 853 | 980,739 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 10/15/23-09/15/36 | 1,613 | 1,865,817 | ||||||||||
Government National Mortgage Assoc. | 8.000% | 01/15/24-07/15/24 | 25 | 27,561 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 2.503% | 10/30/20 | 566 | 584,397 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 2.578% | 06/30/22 | 3,910 | 3,929,550 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 3.000% | 06/30/25 | 1,115 | 1,117,787 | ||||||||||
Residual Funding Corp. Strips Principal, Sr. Unsec’d. Notes, PO | 1.825% | (f) | 10/15/19 | 1,105 | 1,019,930 | |||||||||
Residual Funding Corp. Strips Principal, Sr. Unsec’d. Notes, PO | 2.066% | (f) | 07/15/20 | 3,351 | 3,032,843 | |||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 5.880% | 04/01/36 | 76 | 98,636 | ||||||||||
Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes | 1.847% | 05/29/20 | 3,665 | 3,667,888 | ||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 261,229,535 | ||||||||||||
U.S. TREASURY OBLIGATIONS — 2.5% | ||||||||||||||
U.S. Treasury Bonds(a) | 2.500% | 02/15/45 | 1,260 | 1,108,901 | ||||||||||
U.S. Treasury Bonds | 2.750% | 08/15/42-11/15/42 | 2,850 | 2,651,489 | ||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 0.125% | 04/15/20 | 5,824 | 5,871,016 | ||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 1.375% | 01/15/20 | 9,436 | 10,087,863 | ||||||||||
U.S. Treasury Notes | 1.500% | 10/31/19 | 1,745 | 1,745,954 | ||||||||||
U.S. Treasury Notes(h) | 2.125% | 09/30/21 | 27,615 | 27,891,150 | ||||||||||
U.S. Treasury Notes | 3.125% | 05/15/19 | 3,065 | 3,270,689 | ||||||||||
U.S. Treasury Strips Coupon | 2.184% | (f) | 02/15/28 | 2,115 | 1,496,130 | |||||||||
U.S. Treasury Strips Coupon | 2.241% | (f) | 05/15/28 | 1,055 | 740,111 | |||||||||
U.S. Treasury Strips Coupon | 2.280% | (f) | 02/15/29 | 1,055 | 718,154 | |||||||||
U.S. Treasury Strips Coupon | 2.363% | (f) | 08/15/30 | 3,150 | 2,027,349 | |||||||||
U.S. Treasury Strips Coupon | 2.384% | (f) | 05/15/29 | 2,175 | 1,466,011 | |||||||||
U.S. Treasury Strips Coupon | 2.519% | (f) | 08/15/25 | 1,930 | 1,496,877 |
SEE NOTES TO FINANCIAL STATEMENTS.
A23
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
U.S. TREASURY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
U.S. Treasury Strips Coupon | 3.103% | (f) | 11/15/34 | 1,430 | $ | 783,950 | ||||||||
U.S. Treasury Strips Principal | 2.351% | (f) | 05/15/43 | 1,180 | 474,287 | |||||||||
U.S. Treasury Strips Principal | 3.577% | (f) | 05/15/44 | 1,780 | 696,774 | |||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 62,526,705 | ||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 2,120,750,629 | ||||||||||||
SHORT-TERM INVESTMENTS — 21.3% | ||||||||||||||
Shares | ||||||||||||||
AFFILIATED MUTUAL FUNDS — 20.9% | ||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund | 10,486,362 | 97,942,621 | ||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund | 425,643,804 | 425,643,804 | ||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 523,586,425 | ||||||||||||
Principal Amount (000)# | ||||||||||||||
U.S. TREASURY OBLIGATION — 0.4% | ||||||||||||||
U.S. Treasury Bills(g) | 0.152%(i) | 09/17/15 | 10,650 | 10,650,000 | ||||||||||
Notional Amount (000)# | ||||||||||||||
OPTIONS PURCHASED* | ||||||||||||||
Call Options | ||||||||||||||
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $152.00 | 27,200 | 467,500 | ||||||||||||
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $160.00 | 13,600 | 29,750 | ||||||||||||
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $164.00 | 13,600 | 10,625 | ||||||||||||
TOTAL OPTIONS PURCHASED |
| 507,875 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 534,744,300 | ||||||||||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 106.1% |
| 2,655,494,929 | ||||||||||||
OPTIONS WRITTEN* | ||||||||||||||
Call Options | ||||||||||||||
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $156.00 | 27,200 | (174,250 | ) | |||||||||||
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $158.00 | 27,200 | (102,000 | ) | |||||||||||
TOTAL OPTIONS WRITTEN |
| (276,250 | ) | |||||||||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 106.1% |
| 2,655,218,679 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(m) — (6.1)% |
| (152,651,453 | ) | |||||||||||
NET ASSETS — 100.0% |
| $ | 2,502,567,226 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A24
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
See the Glossary for abbreviations used in the Portfolio descriptions.
* | 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 $57,070,426; cash collateral of $58,627,635 (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) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2015. |
(c) | Indicates a restricted security; the aggregate original cost of the restricted securities is $4,272,642. The aggregate value of $4,355,269 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 security. Rate represents yield to maturity at purchase date. |
(g) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(h) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
(i) | Rate quoted represents yield-to-maturity as of purchase date. |
(j) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
(k) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
(l) | All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of $100,000,000 is approximately 4.0% of net assets. |
(m) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2015:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2015 | Unrealized Appreciation (Depreciation)(1) | |||||||||||||
Long Positions: | ||||||||||||||||||
91 | 2 Year U.S. Treasury Notes | Sep. 2015 | $ | 19,930,551 | $ | 19,923,313 | $ | (7,238 | ) | |||||||||
666 | 5 Year U.S. Treasury Notes | Sep. 2015 | 78,964,065 | 79,425,703 | 461,638 | |||||||||||||
218 | 10 Year U.S. Treasury Notes | Sep. 2015 | 27,425,071 | 27,505,469 | 80,398 | |||||||||||||
87 | DAX Index | Sep. 2015 | 26,619,996 | 26,676,473 | 56,477 | |||||||||||||
691 | DJ Euro STOXX 50 | Sep. 2015 | 26,453,417 | 26,469,665 | 16,248 | |||||||||||||
221 | IBEX 35 Index | Jul. 2015 | 26,419,156 | 26,547,447 | 128,291 | |||||||||||||
16 | MSCI EAFE Mini Futures | Sep. 2015 | 1,506,518 | 1,467,200 | (39,318 | ) | ||||||||||||
59 | S&P 500 E-Mini Futures | Sep. 2015 | 6,155,981 | 6,060,480 | (95,501 | ) | ||||||||||||
62 | S&P 500 Index Futures | Sep. 2015 | 32,439,964 | 31,843,200 | (596,764 | ) | ||||||||||||
227 | U.S. Ultra Bonds | Sep. 2015 | 35,813,459 | 34,972,188 | (841,271 | ) | ||||||||||||
(837,040 | ) | |||||||||||||||||
Short Position: | ||||||||||||||||||
194 | U.S. Long Bonds | Sep. 2015 | 29,872,710 | 29,263,688 | 609,022 | |||||||||||||
$ | (228,018 | ) | ||||||||||||||||
(1) | A U.S. Treasury Obligation with a market value of $10,650,000 has been segregated with Goldman Sachs & Co. and U.S. Government Agency Obligations with a combined market value of $1,926,660 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2015. |
Interest rate swap agreements outstanding at June 30, 2015:
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(1) | $ | 13,942 | $ | — | $ | 13,942 | Credit Suisse First Boston Corp. | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A25
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Interest rate swap agreements outstanding at June 30, 2015 (continued):
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2015 | Unrealized Appreciation | ||||||||||||||||||
| Exchange-traded swap agreements: | |||||||||||||||||||||||
12,735 | 12/31/21 | 1.831% | 3 Month LIBOR(1) | $ | 8,825 | $ | 171,024 | $ | 162,199 | |||||||||||||||
26,880 | 12/31/21 | 1.950% | 3 Month LIBOR(1) | 73,934 | 163,044 | 89,110 | ||||||||||||||||||
40,475 | 05/31/22 | 2.200% | 3 Month LIBOR(1) | (56,569 | ) | (44,834 | ) | 11,735 | ||||||||||||||||
$ | 26,190 | $ | 289,234 | $ | 263,044 | |||||||||||||||||||
(1) | Portfolio pays the fixed rate and receives the floating rate. |
Credit default swap agreements outstanding at June 30, 2015:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at June 30, 2015(4) | Unrealized Appreciation | ||||||||||||||||||
Exchange-traded credit default swaps on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.IG.24.V1 | 06/20/20 | 1.000% | 53,000 | $ | (997,536 | ) | $ | (756,174 | ) | $ | 241,362 | |||||||||||||
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.V9 | 12/20/16 | 5.000% | 1,150 | $ | 63,809 | $ | 47,923 | $ | 15,886 | Credit Suisse First Boston Corp. | ||||||||||||||||
CDX.NA.HY.17.V9 | 12/20/16 | 5.000% | 2,990 | 165,903 | 128,338 | 37,565 | Deutsche Bank AG | |||||||||||||||||||
CDX.NA.HY.17.V9 | 12/20/16 | 5.000% | 4,140 | 229,713 | 181,413 | 48,300 | Deutsche Bank AG | |||||||||||||||||||
$ | 459,425 | $ | 357,674 | $ | 101,751 | |||||||||||||||||||||
A U.S. Government Agency Obligation and a U.S. Treasury Obligation with a combined market value of $3,538,677 have been segregated with Citigroup Global Markets to cover requirements for open exchange-traded interest rate and credit default swap contracts at June 30, 2015.
The Portfolio entered into credit default swap (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The fair value of credit default swap agreements on credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
SEE NOTES TO FINANCIAL STATEMENTS.
A26
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 1,132,886,509 | $ | 145,284,697 | $ | — | ||||||
Exchange Traded Fund | 1,144,471 | — | — | |||||||||
Preferred Stocks | 519,200 | 1,549,403 | — | |||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Debt Obligation | — | 363,259 | — | |||||||||
Collateralized Loan Obligations | — | 40,590,337 | — | |||||||||
Non-Residential Mortgage-Backed Securities | — | 24,360,136 | 7,781,736 | |||||||||
Residential Mortgage-Backed Securities | — | 14,970,624 | — | |||||||||
Bank Loans | — | 4,789,511 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 101,285,795 | — | |||||||||
Corporate Bonds | — | 243,480,765 | 64,518 | |||||||||
Municipal Bonds | — | 12,531,106 | — | |||||||||
Non-Corporate Foreign Agencies | — | 20,204,962 | — | |||||||||
Non-Corporate Sovereigns | — | 12,521,624 | — | |||||||||
Residential Mortgage-Backed Securities | — | 32,665,736 | — | |||||||||
U.S. Government Agency Obligations | — | 261,229,535 | — | |||||||||
U.S. Treasury Obligations | — | 73,176,705 | — | |||||||||
Affiliated Mutual Funds | 523,586,425 | — | — | |||||||||
Options Purchased | 507,875 | — | — | |||||||||
Options Written | (276,250 | ) | — | — | ||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | (228,018 | ) | — | — | ||||||||
Over-the-counter interest rate swap | — | 13,942 | — | |||||||||
Exchange-traded interest rate swaps | — | 263,044 | — | |||||||||
Exchange-traded credit default swap | — | 241,362 | — | |||||||||
Over-the-counter credit default swaps | — | 459,425 | — | |||||||||
Total | $ | 1,658,140,212 | $ | 989,981,968 | $ | 7,846,254 | ||||||
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and exchange-traded swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and over-the-counter swap contracts which are recorded at fair value. |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:
Affiliated Mutual Funds (including 2.3% of collateral for securities on loan) | 20.9 | % | ||
U.S. Government Agency Obligations | 10.4 | |||
Commercial Mortgage-Backed Securities | 4.1 | |||
Banks | 3.6 | |||
Pharmaceuticals | 3.5 | |||
Oil, Gas & Consumable Fuels | 3.3 | |||
Banking | 3.0 | |||
U.S. Treasury Obligations | 2.9 | |||
Insurance | 2.4 | |||
Technology Hardware, Storage & Peripherals | 2.2 | |||
Residential Mortgage-Backed Securities | 1.9 | |||
Media | 1.8 | |||
Software | 1.7 |
Collateralized Loan Obligations | 1.6 | % | ||
IT Services | 1.6 | |||
Internet Software & Services | 1.5 | |||
Chemicals | 1.5 | |||
Biotechnology | 1.5 | |||
Real Estate Investment Trusts (REITs) | 1.4 | |||
Health Care Providers & Services | 1.4 | |||
Non-Residential Mortgage-Backed Securities | 1.3 | |||
Aerospace & Defense | 1.3 | |||
Diversified Telecommunication Services | 1.2 | |||
Food & Staples Retailing | 1.2 | |||
Capital Markets | 1.2 | |||
Industrial Conglomerates | 1.1 | |||
Semiconductors & Semiconductor Equipment | 1.1 |
SEE NOTES TO FINANCIAL STATEMENTS.
A27
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Industry table (con’t) | ||||
Specialty Retail | 1.1 | % | ||
Beverages | 1.0 | |||
Health Care Equipment & Supplies | 1.0 | |||
Food Products | 1.0 | |||
Healthcare & Pharmaceutical | 1.0 | |||
Diversified Financial Services | 0.9 | |||
Tobacco | 0.9 | |||
Household Products | 0.9 | |||
Machinery | 0.9 | |||
Electric Utilities | 0.9 | |||
Hotels, Restaurants & Leisure | 0.8 | |||
Non-Corporate Foreign Agencies | 0.8 | |||
Internet & Catalog Retail | 0.7 | |||
Communications Equipment | 0.7 | |||
Telecommunications | 0.6 | |||
Energy Equipment & Services | 0.6 | |||
Multi-Utilities | 0.6 | |||
Automobiles | 0.6 | |||
Airlines | 0.5 | |||
Municipal Bonds | 0.5 | |||
Non-Corporate Sovereigns | 0.5 | |||
Textiles, Apparel & Luxury Goods | 0.5 | |||
Electric | 0.4 | |||
Road & Rail | 0.4 | |||
Multiline Retail | 0.4 | |||
Consumer Finance | 0.4 | |||
Electrical Equipment | 0.4 | |||
Energy – Other | 0.3 | |||
Metals & Mining | 0.3 | |||
Air Freight & Logistics | 0.3 | |||
Household Durables | 0.3 | |||
Electronic Equipment, Instruments & Components | 0.3 | |||
Auto Components | 0.3 | |||
Cable | 0.3 | |||
Capital Goods | 0.3 |
Pipelines & Other | 0.3 | % | ||
Life Sciences Tools & Services | 0.2 | |||
Lodging | 0.2 | |||
Commercial Services & Supplies | 0.2 | |||
Media & Entertainment | 0.2 | |||
Healthcare Insurance | 0.2 | |||
Trading Companies & Distributors | 0.2 | |||
Automotive | 0.2 | |||
Retailers | 0.1 | |||
Real Estate Management & Development | 0.1 | |||
Non-Captive Finance | 0.1 | |||
Railroads | 0.1 | |||
Containers & Packaging | 0.1 | |||
Paper & Forest Products | 0.1 | |||
Paper | 0.1 | |||
Professional Services | 0.1 | |||
Technology | 0.1 | |||
Wireless Telecommunication Services | 0.1 | |||
Construction & Engineering | 0.1 | |||
Metals | 0.1 | |||
Foods | 0.1 | |||
Building Materials & Construction | 0.1 | |||
Consumer | 0.1 | |||
Gaming | 0.1 | |||
Building Products | 0.1 | |||
Brokerage | 0.1 | |||
Construction Materials | 0.1 | |||
Health Care Technology | 0.1 | |||
Leisure Products | 0.1 | |||
Personal Products | 0.1 | |||
Exchange Traded Fund | 0.1 | |||
Independent Power & Renewable Electricity Producers | 0.1 | |||
106.1 | ||||
Liabilities in excess of other assets | (6.1 | ) | ||
100.0 | % | |||
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, equity risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2015 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Credit contracts | Premiums paid for swap agreements | $ | 357,674 | — | $ | — | ||||||
Credit contracts | Due from/to broker — variation margin swaps | 241,362 | * | — | — | |||||||
Credit contracts | Unrealized appreciation on over-the-counter swap agreements | 101,751 | — | — | ||||||||
Equity Contracts | Due from/to broker — variation margin futures | 201,016 | * | Due from/to broker — variation margin futures | 731,583 | * | ||||||
Interest rate contracts | Due from/to broker — variation margin futures | 1,151,058 | * | Due from/to broker — variation margin futures | 848,509 | * | ||||||
Interest rate contracts | Due from/to broker — variation margin swaps | 263,044 | * | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A28
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Interest rate contracts | Unrealized appreciation on over-the-counter swap agreements | $ | 13,942 | — | $ | — | ||||||
Interest rate contracts | Unaffiliated investments | 507,875 | Options written outstanding, at value | 276,250 | ||||||||
Total | $ | 2,837,722 | $ | 1,856,342 | ||||||||
* | 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, 2015 are as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not accounted for as hedging | Rights* | Options Purchased* | Options Written | Futures | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (512,220 | ) | $ | (512,220 | ) | ||||||||||
Equity contracts | 6,783 | — | — | 5,744,856 | — | 5,751,639 | ||||||||||||||||||
Interest rate contracts | — | (1,084,032 | ) | 299,296 | 880,255 | 8,398 | 103,917 | |||||||||||||||||
$ | 6,783 | $ | (1,084,032 | ) | $ | 299,296 | $ | 6,625,111 | $ | (503,822 | ) | $ | 5,343,336 | |||||||||||
* | 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* | Options Written | Futures | Swaps | Total | |||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | 364,634 | $ | 364,634 | ||||||||||
Equity contracts | — | — | (5,108,672 | ) | — | (5,108,672 | ) | |||||||||||||
Interest rate contracts | 61,024 | (60,445 | ) | (315,501 | ) | 307,262 | (7,660 | ) | ||||||||||||
Total | $ | 61,024 | $ | (60,445 | ) | $ | (5,424,173 | ) | $ | 671,896 | $ | (4,751,698 | ) | |||||||
* | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2015, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures Contracts— | Futures Contracts— | |||
$256,036 | $91,067 | $254,361,154 | $22,231,478 |
Interest Rate Swap | Credit Default | Credit Default | ||
$76,936 | $57,643 | $8,401 |
(1) | Cost. |
(2) | Notional Amount in USD (000). |
(3) | Value at Trade Date. |
SEE NOTES TO FINANCIAL STATEMENTS.
A29
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (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 | ||||||||||||
Credit Suisse First Boston Corp. | $ | 77,751 | $ | — | $ | — | $ | 77,751 | ||||||||
Deutsche Bank AG | 395,616 | — | (521,616 | ) | — | |||||||||||
$ | 473,367 | |||||||||||||||
Counterparty | Gross amounts of recognized liabilities(2) | Gross amounts available for offset | Collateral Pledged(3) | Net Amount | ||||||||||||
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.
A30
CONSERVATIVE BALANCED PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
as of June 30, 2015
ASSETS | ||||
Investments at value, including securities on loan of $57,070,426: | ||||
Unaffiliated investments (cost $1,416,157,391) | $ | 2,131,908,504 | ||
Affiliated investments (cost $526,076,804) | 523,586,425 | |||
Cash | 100,252 | |||
Foreign currency, at value (cost $6,346,061) | 6,343,507 | |||
Receivable for investments sold | 64,285,156 | |||
Dividends and interest receivable | 6,934,612 | |||
Tax reclaim receivable | 475,965 | |||
Premium paid for swap agreements | 357,674 | |||
Unrealized appreciation on over-the-counter swap agreements | 115,693 | |||
Due from broker—variation margin swaps | 2,674 | |||
Receivable for Series shares sold | 1,100 | |||
Prepaid expenses | 2,685 | |||
Total Assets | 2,734,114,247 | |||
LIABILITIES | ||||
Payable for investments purchased | 166,785,887 | |||
Payable to broker for collateral for securities on loan | 58,627,635 | |||
Due to broker—variation margin futures | 4,007,486 | |||
Management fee payable | 1,146,231 | |||
Payable for Series shares repurchased | 414,210 | |||
Accrued expenses and other liabilities | 288,396 | |||
Options written outstanding, at value | 276,250 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 231,547,021 | |||
NET ASSETS | $ | 2,502,567,226 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 1,349,921,100 | ||
Retained earnings | 1,152,646,126 | |||
Net assets, June 30, 2015 | $ | 2,502,567,226 | ||
Net asset value and redemption price per share $2,502,567,226 / 110,859,648 outstanding shares of beneficial interest | $ | 22.57 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2015
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $258,544) | $ | 16,104,768 | ||
Interest income | 12,912,052 | |||
Affiliated dividend income | 816,991 | |||
Affiliated income from securities lending, net | 114,687 | |||
Total income | 29,948,498 | |||
EXPENSES | ||||
Management fee | 6,992,729 | |||
Custodian and accounting fees | 212,000 | |||
Shareholders’ reports | 114,000 | |||
Audit fee | 21,000 | |||
Insurance expenses | 16,000 | |||
Trustees’ fees | 15,000 | |||
Legal fees and expenses | 8,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Miscellaneous | 25,799 | |||
Total expenses | 7,410,528 | |||
NET INVESTMENT INCOME | 22,537,970 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 85,041,456 | |||
Futures transactions | 6,625,111 | |||
Options written transactions | 299,296 | |||
Swap agreement transactions | (503,822 | ) | ||
Foreign currency transactions | (133,373 | ) | ||
91,328,668 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated: $442) | (93,764,386 | ) | ||
Futures | (5,424,173 | ) | ||
Securities sold short | 9,708 | |||
Options written | (60,445 | ) | ||
Swap agreements | 671,896 | |||
Foreign currencies | (18,735 | ) | ||
(98,586,135 | ) | |||
NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (7,257,467 | ) | ||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 15,280,503 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2015 | Year Ended December 31, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS OPERATIONS | ||||||||
Net investment income | $ | 22,537,970 | $ | 42,111,812 | ||||
Net realized gain on investment and foreign currency transactions | 91,328,668 | 120,488,994 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (98,586,135 | ) | 50,456,589 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 15,280,503 | 213,057,395 | ||||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [155,045 and 657,128 shares, respectively] | 3,531,071 | 14,068,708 | ||||||
Series shares repurchased [3,986,192 and 7,335,062 shares, respectively] | (90,599,574 | ) | (157,169,187 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (87,068,503 | ) | (143,100,479 | ) | ||||
TOTAL INCREASE (DECREASE) | (71,788,000 | ) | 69,956,916 | |||||
NET ASSETS: | ||||||||
Beginning of period | 2,574,355,226 | 2,504,398,310 | ||||||
End of period | $ | 2,502,567,226 | $ | 2,574,355,226 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A31
DIVERSIFIED BOND PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
LONG-TERM INVESTMENTS — 90.1% ASSET-BACKED SECURITIES — 13.8% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Collateralized Loan Obligations — 4.4% | ||||||||||||||
A Voce CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A | 1.725% | (a) | 07/15/26 | 500 | $ | 497,885 | ||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 1.455% | (a) | 04/20/25 | 3,300 | 3,269,578 | |||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A | 3.360% | 04/20/25 | 500 | 492,107 | ||||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 1.888% | (a) | 10/15/26 | 1,750 | 1,751,969 | |||||||||
Battalion VII CLO Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A | 1.675% | (a) | 10/22/25 | 1,300 | 1,296,433 | |||||||||
Battalion VII CLO Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A | 1.874% | (a) | 10/17/26 | 2,750 | 2,753,115 | |||||||||
Benefit Street Partners II CLO Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A | 1.475% | (a) | 07/15/24 | 900 | 891,741 | |||||||||
Benefit Street Partners V CLO Ltd. (Cayman Islands), Series 2014-VA, Class A, 144A | 1.875% | (a) | 10/20/26 | 1,250 | 1,251,118 | |||||||||
Black Diamond CLO Delaware Corp. (Cayman Islands), Series 2005-1A, Class A1, 144A | 0.551% | (a) | 06/20/17 | 255 | 255,089 | |||||||||
Blue Hill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 1.755% | (a) | 01/15/26 | 700 | 700,033 | |||||||||
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.424% | (a) | 04/17/25 | 2,600 | 2,573,959 | |||||||||
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1A, 144A | 1.737% | (a) | 07/27/26 | 250 | 249,773 | |||||||||
ECP CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1A, 144A | 1.725% | (a) | 07/15/26 | 1,500 | 1,493,603 | |||||||||
Flagship VII CLO Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A | 1.745% | (a) | 01/20/26 | 2,500 | 2,492,493 | |||||||||
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.670% | (a) | 01/17/26 | 1,250 | 1,246,341 | |||||||||
ING Investment Management CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.415% | (a) | 04/15/24 | 4,200 | 4,143,406 | |||||||||
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A | 1.763% | (a) | 04/15/27 | 2,250 | 2,250,849 | |||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A | 1.825% | (a) | 07/15/26 | 250 | 249,872 | |||||||||
Magnetite VIII CLO Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A | 1.755% | (a) | 04/15/26 | 250 | 249,306 | |||||||||
Palmer Square CLO Ltd. (Cayman Islands), Series 2015-2A, Class A1A, 144A | —% | (a)(k) | 07/20/27 | 1,000 | 998,100 | |||||||||
Regatta V Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A | 1.837% | (a) | 10/25/26 | 4,375 | 4,374,087 | |||||||||
Shackleton III CLO Ltd. (Cayman Islands), Series 2013-3A, Class B2, 144A | 3.440% | 04/15/25 | 700 | 680,883 | ||||||||||
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.325% | (a) | 04/15/25 | 7,300 | 7,183,177 | |||||||||
Sound Point VI CLO Ltd. (Cayman Islands), Series 2014-2A, Class B, 144A | 1.635% | (a) | 10/20/26 | 750 | 743,555 | |||||||||
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2013-2A, Class A1, 144A | 1.725% | (a) | 01/18/26 | 3,300 | 3,296,421 | |||||||||
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.395% | (a) | 07/15/25 | 300 | 296,452 | |||||||||
45,681,345 | ||||||||||||||
Non-Residential Mortgage-Backed Securities — 1.6% | ||||||||||||||
GE Business Loan Trust, Series 2006-1A, Class D, 144A | 1.186% | (a) | 05/15/34 | 129 | 106,464 | |||||||||
Hertz, Series 2015-1A, Class A | 2.730% | 03/25/21 | 5,600 | 5,572,000 | ||||||||||
Marriott Vacation Club Owner Trust, Series 2010-1A, Class A, 144A | 3.540% | 10/20/32 | 1,961 | 2,020,853 | ||||||||||
Onemain Financial Issuance Trust, Series 2015-2A, Class A, 144A | 2.570% | 07/18/25 | 3,900 | 3,902,964 | ||||||||||
Springleaf Funding Trust, Series 2015-AA, Class A, 144A | 3.160% | 11/15/24 | 4,600 | 4,654,570 | ||||||||||
16,256,851 | ||||||||||||||
Residential Mortgage-Backed Securities — 7.8% | ||||||||||||||
ABFC Trust, Series 2004-OPT1, Class M1 | 1.237% | (a) | 08/25/33 | 1,258 | 1,190,269 | |||||||||
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1, Class M1 | 1.087% | (a) | 09/25/33 | 1,343 | 1,258,197 | |||||||||
Alternative Loan Trust, Series 2004-18CB, Class 3A1 | 5.250% | 09/25/19 | 368 | 375,801 | ||||||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M1 | 1.147% | (a) | 09/25/34 | 950 | 947,173 | |||||||||
Ameriquest Mortgage Securities, Inc. Floating Rate Mortgage Pass-Through Certificates, Series 2001-2, Class M3 | 3.112% | (a) | 10/25/31 | 407 | 387,229 | |||||||||
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-W6, Class M1 | 1.012% | (a) | 05/25/34 | 1,432 | 1,368,202 | |||||||||
Argent Securities, Inc., Series 2003-W2, Class M4 | 5.812% | (a) | 09/25/33 | 2,400 | 2,243,040 | |||||||||
Argent Securities, Inc., Series 2004-W10, Class A2 | 0.967% | (a) | 10/25/34 | 1,802 | 1,750,084 |
SEE NOTES TO FINANCIAL STATEMENTS.
A32
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Residential Mortgage-Backed Securities (continued) | ||||||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE3, Class M1 | 1.431% | (a) | 06/15/33 | 1,142 | $ | 1,089,673 | ||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE1, Class M1 | 1.236% | (a) | 01/15/34 | 204 | 193,823 | |||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE5, Class M1 | 1.087% | (a) | 08/25/34 | 1,728 | 1,669,589 | |||||||||
Bayview Opportunity Master Fund IIIb NPL Trust, Series 2015-NPLA, Class A, 144A | 3.721% | (a) | 07/28/35 | 5,000 | 5,000,000 | |||||||||
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE2, Class M1 | 1.087% | (a) | 03/25/34 | 3,612 | 3,441,928 | |||||||||
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE3, Class M2 | 1.912% | (a) | 04/25/34 | 1,935 | 1,767,522 | |||||||||
CDC Mortgage Capital Trust, Series 2002-HE3, Class M2 | 3.562% | (a) | 03/25/33 | 189 | 127,653 | |||||||||
Centex Home Equity Loan Trust, Series 2004-B, Class AF6 | 4.686% | (a) | 03/25/34 | 1,094 | 1,123,543 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-HE4, Class M2 | 2.437% | (a) | 08/25/32 | 66 | 56,485 | |||||||||
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | 4.942% | 07/25/34 | 538 | 510,699 | ||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1 | 1.687% | (a) | 02/25/25 | 1,375 | 1,376,845 | |||||||||
FBR Securitization Trust, Series 2005-2, Class M1 | 0.907% | (a) | 09/25/35 | 3,205 | 3,178,190 | |||||||||
Fremont Home Loan Trust, Series 2003-B, Class M1 | 1.237% | (a) | 12/25/33 | 193 | 184,446 | |||||||||
GSAMP Trust, Series 2004-FM1, Class M1 | 1.162% | (a) | 11/25/33 | 1,852 | 1,794,373 | |||||||||
GSMSC Resecuritization Trust, Series 2015-3R, Class 1A1, 144A | 0.327% | (a) | 01/26/37 | 4,809 | 4,617,911 | |||||||||
GSMSC Resecuritization Trust, Series 2015-3R, Class 1A2, 144A | 0.327% | (a) | 01/26/37 | 1,400 | 1,109,360 | |||||||||
GSMSC Resecuritization Trust, Series 2015-4R, Class A1, 144A | 0.325% | (a) | 03/26/37 | 3,750 | 3,567,000 | |||||||||
GSMSC Resecuritization Trust, Series 2015-4R, Class A2, 144A | 0.325% | (a) | 03/26/37 | 700 | 533,330 | |||||||||
Long Beach Mortgage Loan Trust, Series 2004-1, Class M1 | 0.937% | (a) | 02/25/34 | 3,926 | 3,732,501 | |||||||||
LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A | 2.184% | (a) | 05/01/20 | 6,677 | 6,628,206 | |||||||||
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | 5.000% | 04/25/19 | 72 | 72,882 | ||||||||||
MASTR Asset-Backed Securities Trust, Series 2004-WMC1, Class M1 | 0.967% | (a) | 02/25/34 | 1,995 | 1,896,081 | |||||||||
Merrill Lynch Mortgage Investors Trust, Series 2004-HE2, Class M1 | 1.387% | (a) | 08/25/35 | 614 | 580,298 | |||||||||
Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1A | 0.707% | (a) | 06/25/35 | 1,628 | 1,560,647 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 | 1.387% | (a) | 05/25/33 | 1,141 | 1,070,576 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE3, Class M1 | 1.207% | (a) | 10/25/33 | 866 | 807,803 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 | 1.237% | (a) | 12/27/33 | 693 | 668,839 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-OP1, Class M1 | 1.057% | (a) | 11/25/34 | 3,688 | 3,362,692 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC1, Class M1 | 1.117% | (a) | 06/25/34 | 2,009 | 1,943,430 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC2, Class M1 | 1.102% | (a) | 07/25/34 | 1,549 | 1,477,153 | |||||||||
New Century Home Equity Loan Trust, Series 2003-4, Class M1 | 1.312% | (a) | 10/25/33 | 2,728 | 2,619,098 | |||||||||
New Century Home Equity Loan Trust, Series 2004-4, Class M1 | 0.952% | (a) | 02/25/35 | 3,048 | 2,831,336 | |||||||||
Residential Asset Mortgage Products, Inc., Series 2004-RS12, Class MII2 | 1.387% | (a) | 12/25/34 | 175 | 173,370 | |||||||||
Residential Asset Securities Corp., Series 2004-KS1, Class AI5 | 5.221% | 02/25/34 | 1,000 | 1,037,136 | ||||||||||
Saxon Asset Securities Trust, Series 2002-3, Class M1 | 1.312% | (a) | 12/25/32 | 199 | 185,575 | |||||||||
Securitized Asset-Backed Receivables LLC Trust, Series 2004-NC1, Class M1 | 0.967% | (a) | 02/25/34 | 3,034 | 2,821,591 | |||||||||
Specialty Underwriting & Residential Finance Trust, Series 2004-BC1, Class M1 | 0.952% | (a) | 02/25/35 | 1,038 | 952,924 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 2.637% | (a) | 02/25/34 | 1,197 | 1,190,134 | |||||||||
Structured Asset Investment Loan Trust, Series 2004-2, Class A4 | 0.892% | (a) | 03/25/34 | 2,297 | 2,127,577 | |||||||||
Structured Asset Investment Loan Trust, Series 2004-7, Class A8 | 1.387% | (a) | 08/25/34 | 1,400 | 1,277,209 | |||||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-HF2, Class M3 | 3.187% | (a) | 07/25/32 | 725 | 679,767 | |||||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | 5.000% | 03/25/20 | 302 | 302,646 | ||||||||||
80,861,836 | ||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 142,800,032 | ||||||||||||
BANK LOANS(a) — 3.0% | ||||||||||||||
Aerospace & Defense — 0.2% | ||||||||||||||
Transdigm, Inc. | 3.500% | 05/13/22 | 1,995 | 1,969,588 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A33
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
BANK LOANS(a) (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Automotive — 0.2% | ||||||||||||||
Chrysler Group LLC | 3.250% | 12/31/18 | 997 | $ | 994,482 | |||||||||
Chrysler Group LLC | 3.500% | 05/24/17 | 1,335 | 1,332,117 | ||||||||||
2,326,599 | ||||||||||||||
Chemicals — 0.1% | ||||||||||||||
Axalta Coating Systems US Holdings | 3.750% | 02/01/20 | 709 | 708,156 | ||||||||||
CeramTec GmbH (Germany) | 4.250% | 08/30/20 | EUR | 900 | 1,002,740 | |||||||||
1,710,896 | ||||||||||||||
Financials — 0.2% | ||||||||||||||
Scandlines GmbH (Germany) | 4.500% | 11/04/20 | EUR | 1,675 | 1,876,283 | |||||||||
Foods — 0.1% | ||||||||||||||
Pinnacle Foods Finance LLC | 3.000% | 04/29/20 | 697 | 693,256 | ||||||||||
Gaming — 0.2% | ||||||||||||||
CCM Merger, Inc. | 4.500% | 08/06/21 | 2,244 | 2,245,980 | ||||||||||
Healthcare & Pharmaceutical — 0.9% | ||||||||||||||
Capsugel Holdings US, Inc. | 3.500% | 08/01/18 | 928 | 926,954 | ||||||||||
Davita Healthcare Partners, Inc. | 3.500% | 06/24/21 | 1,485 | 1,483,453 | ||||||||||
Grifols SA | 3.281% | 02/26/21 | 1,485 | 1,483,663 | ||||||||||
Mallinckrodt International Finance SA | 3.500% | 03/19/21 | 1,514 | 1,508,097 | ||||||||||
Nima ACQ LLC | 3.250% | 02/26/21 | 684 | 683,361 | ||||||||||
Ortho Clinical Diagnostics | 4.750% | 06/30/21 | 495 | 484,344 | ||||||||||
RPI Finance Trust (Luxembourg) | 3.500% | 11/09/20 | 1,696 | 1,695,739 | ||||||||||
Valeant Pharmaceutiicals International, Inc. | 4.000% | 04/01/22 | 1,147 | 1,146,082 | ||||||||||
9,411,693 | ||||||||||||||
Media & Entertainment — 0.1% | ||||||||||||||
CBS Outdoor Americas CAP Co. | 3.000% | 02/01/21 | 1,000 | 995,833 | ||||||||||
Technology — 0.9% | ||||||||||||||
BMC Software Finance, Inc. | 5.000% | 09/10/20 | 495 | 464,830 | ||||||||||
First Data Corp. | 3.687% | 03/26/18 | 2,411 | 2,401,848 | ||||||||||
First Data Corp. | 4.187% | 03/24/21 | 183 | 183,180 | ||||||||||
Freescale Semiconductor, Inc. | 4.250% | 02/28/20 | 1,711 | 1,711,891 | ||||||||||
Interactive Data Corp. | 4.750% | 05/03/21 | 1,188 | 1,190,475 | ||||||||||
RBS WorldPay, Inc. (United Kingdom) | 5.750% | 11/29/19 | GBP | 900 | 1,415,294 | |||||||||
TransUnion LLC/TransUnion Financing Corp. | 3.750% | 04/09/21 | 198 | 195,525 | ||||||||||
Vantiv LLC | 2.282% | 06/13/19 | 1,425 | 1,407,188 | ||||||||||
8,970,231 | ||||||||||||||
Telecommunications — 0.1% | ||||||||||||||
SBA Senior Finance II LLC | 3.250% | 03/24/21 | 1,139 | 1,127,273 | ||||||||||
TOTAL BANK LOANS |
| 31,327,632 | ||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 10.7% | ||||||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-5, Class A2 | 5.317% | 09/10/47 | 195 | 195,177 | ||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A2 | 5.309% | 10/10/45 | 334 | 334,384 | ||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A4 | 5.356% | 10/10/45 | 800 | 819,120 | ||||||||||
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A | 5.732% | (a) | 04/10/49 | 1,359 | 1,435,307 | |||||||||
CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class B, 144A | 2.036% | (a) | 12/15/27 | 5,000 | 4,988,385 | |||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 | 3.575% | 05/10/47 | 3,200 | 3,298,365 | ||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A3 | 5.293% | 12/11/49 | 235 | 236,575 | ||||||||||
COMM Mortgage Trust, Series 2014-UBS4, Class A4 | 3.420% | 08/10/47 | 3,200 | 3,242,291 | ||||||||||
COMM Mortgage Trust, Series 2015-DC1, Class A4 | 3.078% | 02/10/48 | 5,000 | 4,918,060 | ||||||||||
COMM Mortgage Trust, Series 2015-LC21, Class A4 | 3.708% | 07/10/48 | 5,000 | 5,126,155 |
SEE NOTES TO FINANCIAL STATEMENTS.
A34
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 2,000 | $ | 1,957,690 | |||||||||
Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3 | 2.929% | 03/10/46 | 3,900 | 3,898,105 | ||||||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM | 5.639% | (a) | 02/15/39 | 970 | 984,894 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, I/O | 1.798% | (a) | 06/25/20 | 9,304 | 583,245 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O | 1.596% | (a) | 05/25/22 | 28,573 | 2,305,130 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O | 1.632% | (a) | 06/25/22 | 16,295 | 1,358,155 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, I/O | 1.022% | (a) | 10/25/22 | 11,151 | 586,257 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class X1, I/O | 0.757% | (a) | 01/25/25 | 83,962 | 4,914,970 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O | 1.734% | (a) | 08/25/16 | 9,250 | 113,031 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O | 1.906% | (a) | 05/25/19 | 22,885 | 1,336,167 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O | 1.826% | (a) | 07/25/19 | 27,431 | 1,560,584 | |||||||||
GS Mortgage Securities Trust, Series 2013-GC12, Class A3 | 2.860% | 06/10/46 | 4,600 | 4,574,447 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | 4.999% | (a) | 10/15/42 | 1,820 | 1,821,159 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | 6.136% | (a) | 02/15/51 | 489 | 489,428 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | 2.611% | 12/15/47 | 2,000 | 1,964,962 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | 2.875% | 12/15/47 | 4,600 | 4,584,392 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | 2.694% | 04/15/46 | 4,600 | 4,510,949 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, | 3.493% | 08/15/47 | 3,200 | 3,274,550 | ||||||||||
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM | 5.263% | (a) | 11/15/40 | 2,100 | 2,104,616 | |||||||||
LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A2 | 5.300% | 11/15/38 | 539 | 542,726 | ||||||||||
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A3 | 6.029% | (a) | 06/12/50 | 136 | 136,313 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, I/O, 144A | 1.979% | (a) | 08/15/45 | 52,935 | 4,051,976 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | 2.863% | 12/15/48 | 1,700 | 1,691,444 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A3 | 2.834% | 05/15/46 | 2,300 | 2,277,299 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A3 | 4.103% | (a) | 07/15/46 | 4,800 | 5,144,582 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3 | 3.766% | 11/15/46 | 4,000 | 4,214,908 | ||||||||||
Morgan Stanley Capital I Trust, Series 2007-IQ14, Class AAB | 5.654% | (a) | 04/15/49 | 2,143 | 2,178,972 | |||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | 2.792% | 12/10/45 | 2,300 | 2,276,216 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | 2.920% | 03/10/46 | 4,600 | 4,567,855 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | 2.971% | 04/10/46 | 3,800 | 3,780,544 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class AMFX | 5.179% | (a) | 07/15/42 | 108 | 108,332 | |||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4(b) | 5.509% | 04/15/47 | 5,150 | 5,388,167 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A1A | 5.903% | (a) | 06/15/49 | 2,497 | 2,638,192 |
SEE NOTES TO FINANCIAL STATEMENTS.
A35
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class A4 | 3.548% | 08/15/50 | 4,300 | $ | 4,420,968 | |||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 110,935,044 | ||||||||||||
CORPORATE BONDS — 50.2% | ||||||||||||||
Aerospace & Defense — 0.3% | ||||||||||||||
Textron, Inc., Sr. Unsec’d. Notes | 7.250% | 10/01/19 | 2,350 | 2,750,569 | ||||||||||
Airlines — 0.6% | ||||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1 | 6.703% | 06/15/21 | 2 | 2,493 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class B | 7.373% | 12/15/15 | 394 | 401,267 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A | 5.983% | 04/19/22 | 1,496 | 1,667,754 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A | 4.750% | 01/12/21 | 448 | 475,575 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A | 6.821% | 08/10/22 | 1,123 | 1,288,074 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A | 4.950% | 05/23/19 | 508 | 538,128 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A | 5.300% | 04/15/19 | 544 | 584,613 | ||||||||||
United Airlines Pass-Through Trust, Pass-Through Certificates, | 6.636% | 07/02/22 | 824 | 884,273 | ||||||||||
5,842,177 | ||||||||||||||
Automotive — 1.1% | ||||||||||||||
Ford Motor Co., Sr. Unsec’d. Notes(b) | 4.750% | 01/15/43 | 750 | 727,201 | ||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | 1.700% | 05/09/16 | 4,620 | 4,626,020 | ||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | 2.375% | 01/16/18 | 2,225 | 2,245,684 | ||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | 3.984% | 06/15/16 | 375 | 383,765 | ||||||||||
General Motors Co., Sr. Unsec’d. Notes | 4.875% | 10/02/23 | 1,350 | 1,423,269 | ||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.250% | 10/02/43 | 1,885 | 2,102,821 | ||||||||||
11,508,760 | ||||||||||||||
Banking — 12.7% | ||||||||||||||
Ally Financial, Inc., Sr. Unsec’d. Notes | 4.125% | 02/13/22 | 3,000 | 2,880,000 | ||||||||||
American Express Co., Jr. Sub. Notes | 5.200% | (a) | 12/31/49 | 655 | 650,153 | |||||||||
Bank of America Corp., Jr. Sub Notes, Series K | 8.000% | (a) | 12/29/49 | 3,500 | 3,692,500 | |||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 5.700% | 01/24/22 | 1,775 | 2,014,911 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 6.000% | 09/01/17 | 4,590 | 4,994,673 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 3.300% | 01/11/23 | 4,275 | 4,210,178 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.000% | 04/01/24 | 1,150 | 1,170,211 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.125% | 01/22/24 | 3,750 | 3,843,259 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, Series 1 | 3.750% | 07/12/16 | 1,340 | 1,373,686 | ||||||||||
Bank of America NA, Sub. Notes | 5.300% | 03/15/17 | 790 | 836,740 | ||||||||||
Barclays Bank PLC (United Kingdom), Sr. Unsec’d. Notes(b) | 3.750% | 05/15/24 | 3,375 | 3,389,695 | ||||||||||
Branch Banking & Trust Co., Sr. Unsec’d. Notes | 2.850% | 04/01/21 | 3,700 | 3,721,786 | ||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 3.750% | 04/24/24 | 2,400 | 2,388,958 | ||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 5.250% | 02/21/17 | 2,460 | 2,610,749 | ||||||||||
Capital One Financial Corp., Sub. Notes | 6.150% | 09/01/16 | 700 | 738,840 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 6.125% | 11/21/17 | 2,050 | 2,254,943 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.125% | 07/15/39 | 4,120 | 5,913,691 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.500% | 05/22/19 | 1,375 | 1,677,083 | ||||||||||
Credit Suisse/New York NY (Switzerland), Sr. Unsec’d. Notes, MTN(b) | 3.625% | 09/09/24 | 1,050 | 1,043,762 | ||||||||||
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes(b) | 3.700% | 05/30/24 | 1,650 | 1,629,436 | ||||||||||
Discover Bank, Sr. Unsec’d. Notes | 4.250% | 03/13/26 | 1,150 | 1,136,180 | ||||||||||
Discover Bank, Sub. Notes | 7.000% | 04/15/20 | 2,005 | 2,333,499 | ||||||||||
Fifth Third Bank, Sr. Unsec’d. Notes | 1.450% | 02/28/18 | 3,275 | 3,250,880 |
SEE NOTES TO FINANCIAL STATEMENTS.
A36
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Banking (continued) | ||||||||||||||
Fifth Third Bank, Sr. Unsec’d. Notes | 2.375% | 04/25/19 | 425 | $ | 425,575 | |||||||||
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes | 5.375% | (a) | 12/29/49 | 1,950 | 1,926,405 | |||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(c) | 5.750% | 01/24/22 | 4,200 | 4,777,370 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.150% | 04/01/18 | 1,355 | 1,506,597 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 09/01/17 | 3,195 | 3,497,745 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 02/01/41 | 2,195 | 2,597,883 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes, Series D | 6.000% | 06/15/20 | 2,420 | 2,765,397 | ||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 6.750% | 10/01/37 | 440 | 516,097 | ||||||||||
Huntington Bancshares, Inc., Sub. Notes(b) | 7.000% | 12/15/20 | 260 | 309,693 | ||||||||||
ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A | 7.250% | (a) | 08/29/49 | 2,380 | 2,436,644 | |||||||||
ING Bank NV (Netherlands), Sr. Unsec’d. Notes, 144A | 2.000% | 09/25/15 | 770 | 772,037 | ||||||||||
Intesa Sanpaolo SpA (Italy), Bank Gtd. Notes | 3.125% | 01/15/16 | 1,625 | 1,637,387 | ||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes, Series 1 | 7.900% | (a) | 04/29/49 | 6,130 | 6,484,007 | |||||||||
JPMorgan Chase & Co., Jr. Sub. Notes, Series X(b) | 6.100% | (a) | 12/31/49 | 1,450 | 1,455,075 | |||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes(b) | 2.750% | 06/23/20 | 5,400 | 5,405,756 | ||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 3.150% | 07/05/16 | 2,245 | 2,290,461 | ||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 3.250% | 09/23/22 | 500 | 496,757 | ||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 4.250% | 10/15/20 | 600 | 641,558 | ||||||||||
JPMorgan Chase & Co., Sub. Notes | 5.625% | 08/16/43 | 675 | 719,861 | ||||||||||
KeyCorp, Sr. Unsec’d. Notes, MTN(b) | 5.100% | 03/24/21 | 1,155 | 1,281,446 | ||||||||||
Lloyds Bank PLC (United Kingdom), Bank Gtd. Notes, MTN, 144A | 5.800% | 01/13/20 | 2,650 | 3,027,606 | ||||||||||
Mizuho Bank Ltd. (Japan), Gtd. Notes, 144A | 1.850% | 03/21/18 | 1,125 | 1,126,627 | ||||||||||
Morgan Stanley, Jr. Sub. Notes, Series H | 5.450% | (a) | 12/31/49 | 975 | 967,688 | |||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 3.750% | 02/25/23 | 1,535 | 1,552,100 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 5.750% | 01/25/21 | 1,920 | 2,187,487 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.450% | 01/09/17 | 4,035 | 4,275,889 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.500% | 07/28/21 | 2,080 | 2,346,425 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.625% | 09/23/19 | 2,635 | 2,952,765 | ||||||||||
Morgan Stanley, Sub. Notes, GMTN | 4.350% | 09/08/26 | 750 | 734,910 | ||||||||||
Northern Trust Corp., Sub. Notes(b) | 3.950% | 10/30/25 | 3,025 | 3,125,611 | ||||||||||
People’s United Bank, Sub. Notes | 4.000% | 07/15/24 | 550 | 544,594 | ||||||||||
People’s United Financial, Inc., Sr. Unsec’d. Notes | 3.650% | 12/06/22 | 1,675 | 1,664,581 | ||||||||||
PNC Financial Services Group, Inc. (The), Sub. Notes | 3.900% | 04/29/24 | 975 | 984,950 | ||||||||||
Royal Bank of Scotland Group PLC (The) (United Kingdom), | 2.550% | 09/18/15 | 625 | 626,748 | ||||||||||
Santander Holdings USA, Inc., Sr. Unsec’d. Notes | 3.000% | 09/24/15 | 950 | 952,622 | ||||||||||
Santander Holdings USA, Inc., Sr. Unsec’d. Notes | 4.625% | 04/19/16 | 525 | 538,089 | ||||||||||
State Street Corp., Jr. Sub. Debs. | 4.956% | 03/15/18 | 3,025 | 3,251,811 | ||||||||||
Sumitomo Mitsui Banking Corp. (Japan), Bank Gtd. Notes | 2.450% | 01/10/19 | 625 | 631,802 | ||||||||||
131,191,869 | ||||||||||||||
Beverages — 0.1% | ||||||||||||||
Cott Beverages, Inc. (Canada), Gtd. Notes, 144A | 6.750% | 01/01/20 | 1,250 | 1,296,875 | ||||||||||
Brokerage — 0.2% | ||||||||||||||
Jefferies Group LLC, Sr. Unsec’d. Notes | 6.500% | 01/20/43 | 650 | 635,056 | ||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(d) | 6.875% | 05/02/18 | 2,740 | 315,100 | ||||||||||
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN | 2.000% | 09/13/16 | 950 | 956,922 | ||||||||||
1,907,078 | ||||||||||||||
Building Materials & Construction — 1.3% | ||||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A | 6.125% | 07/01/22 | 2,000 | 1,970,000 | ||||||||||
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A | 5.375% | 11/15/24 | 3,000 | 2,945,550 | ||||||||||
Cemex Espana Luxembourg (Mexico), Sr. Sec’d. Notes, RegS | 9.875% | 04/30/19 | 1,233 | 1,349,148 | ||||||||||
Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A | 9.875% | 04/30/19 | 1,360 | 1,488,112 | ||||||||||
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A | 4.750% | 01/11/22 | EUR | 900 | 1,006,327 | |||||||||
Mohawk Industries, Inc., Sr. Unsec’d. Notes | 3.850% | 02/01/23 | 294 | 293,583 |
SEE NOTES TO FINANCIAL STATEMENTS.
A37
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Building Materials & Construction (continued) | ||||||||||||||
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A | 5.250% | 06/27/29 | 1,275 | $ | 956,505 | |||||||||
Standard Pacific Corp., Gtd. Notes | 6.250% | 12/15/21 | 3,500 | 3,710,000 | ||||||||||
13,719,225 | ||||||||||||||
Cable — 2.1% | ||||||||||||||
British Sky Broadcasting Group PLC (United Kingdom), Gtd. Notes, 144A | 6.100% | 02/15/18 | 210 | 230,668 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes | 7.000% | 01/15/19 | 878 | 912,022 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes | 7.375% | 06/01/20 | 1,100 | 1,161,875 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A | 5.875% | 05/01/27 | 1,000 | 976,250 | ||||||||||
CSC Holdings LLC, Sr. Unsec’d. Notes | 6.750% | 11/15/21 | 2,225 | 2,347,375 | ||||||||||
CSC Holdings LLC, Sr. Unsec’d. Notes(b) | 8.625% | 02/15/19 | 1,610 | 1,825,337 | ||||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | 3.500% | 03/01/16 | 2,825 | 2,869,011 | ||||||||||
DISH DBS Corp., Gtd. Notes | 4.250% | 04/01/18 | 2,850 | 2,899,875 | ||||||||||
NBCUniversal Media LLC, Gtd. Notes | 4.450% | 01/15/43 | 290 | 278,718 | ||||||||||
TCI Communications, Inc., Sr. Unsec’d. Notes | 7.875% | 02/15/26 | 750 | 1,011,499 | ||||||||||
Time Warner Cable, Inc., Gtd. Notes | 6.750% | 07/01/18 | 2,620 | 2,921,177 | ||||||||||
UPCB Finance IV Ltd. (Netherlands), Sr. Sec’d. Notes, 144A | 5.375% | 01/15/25 | 1,140 | 1,088,130 | ||||||||||
UPCB Finance V Ltd. (Netherlands), Sr. Sec’d. Notes, 144A | 7.250% | 11/15/21 | 1,035 | 1,117,800 | ||||||||||
Virgin Media Secured Finance PLC (United Kingdom), Sr. Sec’d. Notes, 144A | 6.000% | 04/15/21 | GBP | 945 | 1,544,215 | |||||||||
21,183,952 | ||||||||||||||
Capital Goods — 1.7% | ||||||||||||||
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A | 6.500% | 07/15/22 | 1,375 | 1,457,500 | ||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 6.700% | 06/01/34 | 920 | 1,119,540 | ||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 7.000% | 10/15/37 | 770 | 941,209 | ||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.125% | 10/09/42 | 500 | 481,076 | ||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.500% | 03/11/44 | 740 | 751,537 | ||||||||||
Hertz Corp. (The), Gtd. Notes | 6.750% | 04/15/19 | 1,500 | 1,547,850 | ||||||||||
Ingersoll-Rand Global Holding Co. Ltd., Gtd. Notes | 5.750% | 06/15/43 | 425 | 467,685 | ||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A | 2.500% | 03/15/16 | 2,025 | 2,039,157 | ||||||||||
Pentair Finance SA, Gtd. Notes | 1.875% | 09/15/17 | 625 | 627,344 | ||||||||||
Rockwell Automation, Inc., Sr. Unsec’d. Notes | 5.200% | 01/15/98 | 1,100 | 1,089,476 | ||||||||||
United Rentals North America, Inc., Gtd. Notes | 5.500% | 07/15/25 | 650 | 628,062 | ||||||||||
United Rentals North America, Inc., Gtd. Notes | 7.625% | 04/15/22 | 2,700 | 2,922,750 | ||||||||||
United Technologies Corp., Sr. Unsec’d. Notes | 4.500% | 06/01/42 | 1,675 | 1,701,624 | ||||||||||
Xylem, Inc., Sr. Unsec’d. Notes | 4.875% | 10/01/21 | 1,960 | 2,123,292 | ||||||||||
17,898,102 | ||||||||||||||
Chemicals — 1.8% | ||||||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 4.900% | 06/01/43 | 870 | 837,521 | ||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 5.250% | 01/15/45 | 420 | 424,163 | ||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 6.125% | 01/15/41 | 450 | 506,292 | ||||||||||
Ashland, Inc., Sr. Unsec’d. Notes | 6.875% | 05/15/43 | 3,000 | 3,045,000 | ||||||||||
CF Industries, Inc., Gtd. Notes | 4.950% | 06/01/43 | 675 | 631,581 | ||||||||||
CF Industries, Inc., Gtd. Notes | 5.375% | 03/15/44 | 700 | 696,047 | ||||||||||
CF Industries, Inc., Gtd. Notes | 6.875% | 05/01/18 | 380 | 427,782 | ||||||||||
CF Industries, Inc., Gtd. Notes | 7.125% | 05/01/20 | 300 | 356,368 | ||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes(b) | 4.625% | 10/01/44 | 125 | 116,677 | ||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 9.400% | 05/15/39 | 1,002 | 1,508,060 | ||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 6.000% | 11/15/21 | 3,550 | 4,063,529 | ||||||||||
Mexichem SAB de CV (Mexico), Gtd. Notes, 144A | 6.750% | 09/19/42 | 1,065 | 1,095,352 | ||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.450% | 11/15/33 | 465 | 494,981 |
SEE NOTES TO FINANCIAL STATEMENTS.
A38
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Chemicals (continued) | ||||||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.625% | 11/15/43 | 155 | $ | 165,139 | |||||||||
Union Carbide Corp., Sr. Unsec’d. Notes | 7.875% | 04/01/23 | 3,058 | 3,753,667 | ||||||||||
18,122,159 | ||||||||||||||
Consumer — 0.2% | ||||||||||||||
Service Corp. International, Sr. Unsec’d. Notes | 7.625% | 10/01/18 | 2,000 | 2,280,000 | ||||||||||
Diversified Telecommunication Services — 0.3% | ||||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 3.400% | 05/15/25 | 2,320 | 2,212,603 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 05/15/35 | 300 | 275,786 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.750% | 05/15/46 | 850 | 773,478 | ||||||||||
3,261,867 | ||||||||||||||
Electric — 3.5% | ||||||||||||||
AES Corp. (The), Sr. Unsec’d. Notes | 5.500% | 04/15/25 | 5,000 | 4,750,000 | ||||||||||
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | 3.350% | 07/01/23 | 550 | 553,318 | ||||||||||
Calpine Corp., Sr. Unsec’d. Notes(b) | 5.375% | 01/15/23 | 800 | 786,000 | ||||||||||
Calpine Corp., Sr. Unsec’d. Notes | 5.750% | 01/15/25 | 850 | 826,625 | ||||||||||
Covanta Holding Corp., Sr. Unsec’d. Notes | 7.250% | 12/01/20 | 2,500 | 2,625,000 | ||||||||||
Duke Energy Corp., Sr. Unsec’d. Notes | 2.100% | 06/15/18 | 3,775 | 3,812,116 | ||||||||||
El Paso Electric Co., Sr. Unsec’d. Notes | 6.000% | 05/15/35 | 2,325 | 2,733,626 | ||||||||||
Enel Finance International NV (Netherlands), Gtd. Notes, 144A | 6.000% | 10/07/39 | 1,450 | 1,610,118 | ||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | 6.200% | 10/01/17 | 1,930 | 2,110,117 | ||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | 6.250% | 10/01/39 | 1,900 | 2,096,549 | ||||||||||
FirstEnergy Corp., Series A, Sr. Unsec’d. Notes | 2.750% | 03/15/18 | 1,800 | 1,826,509 | ||||||||||
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A | 5.450% | 07/15/44 | 400 | 416,398 | ||||||||||
Iberdrola International BV (Spain), Gtd. Notes | 6.750% | 09/15/33 | 1,150 | 1,316,222 | ||||||||||
NRG Energy, Inc., Gtd. Notes(b) | 6.625% | 03/15/23 | 2,750 | 2,832,500 | ||||||||||
Pacific Gas & Electric Co., Sr. Unsec’d. Notes | 4.600% | 06/15/43 | 1,950 | 1,964,102 | ||||||||||
South Carolina Electric & Gas Co., First Mortgage | 4.600% | 06/15/43 | 2,025 | 2,001,887 | ||||||||||
TransAlta Corp. (Canada), Sr. Unsec’d. Notes | 6.650% | 05/15/18 | 1,953 | 2,158,307 | ||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 5.613% | 04/01/17 | 1,947 | 2,086,689 | ||||||||||
36,506,083 | ||||||||||||||
Energy – Integrated — 0.7% | ||||||||||||||
Lukoil International Finance BV (Netherlands), Gtd. Notes, 144A | 7.250% | 11/05/19 | 1,300 | 1,370,200 | ||||||||||
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A | 5.375% | 01/26/19 | 870 | 714,705 | ||||||||||
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A | 7.250% | 12/12/21 | 1,040 | 852,800 | ||||||||||
Pacific Rubiales Energy Corp. (Colombia), Sr. Unsec’d. Notes, RegS | 7.250% | 12/12/21 | 1,540 | 1,262,800 | ||||||||||
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A | 5.400% | 02/14/22 | 510 | 549,947 | ||||||||||
Sasol Financing International PLC (South Africa), Gtd. Notes | 4.500% | 11/14/22 | 2,725 | 2,748,844 | ||||||||||
7,499,296 | ||||||||||||||
Energy – Other — 1.1% | ||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 4.677% | (g) | 10/10/36 | 2,000 | 800,000 | |||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.375% | 09/15/17 | 3,265 | 3,583,024 | ||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.450% | 09/15/36 | 340 | 392,319 | ||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.950% | 06/15/19 | 250 | 290,395 | ||||||||||
Cameron International Corp., Sr. Unsec’d. Notes | 7.000% | 07/15/38 | 450 | 516,663 | ||||||||||
Nabors Industries, Inc., Gtd. Notes | 4.625% | 09/15/21 | 1,650 | 1,639,227 | ||||||||||
Noble Energy, Inc., Sr. Unsec’d. Notes | 6.000% | 03/01/41 | 1,530 | 1,619,736 | ||||||||||
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | 6.875% | 05/01/18 | 1,750 | 1,964,939 | ||||||||||
Precision Drilling Corp. (Canada), Gtd. Notes | 6.625% | 11/15/20 | 1,000 | 980,000 | ||||||||||
11,786,303 | ||||||||||||||
Foods — 1.2% | ||||||||||||||
Aramark Corp., Gtd. Notes(b) | 5.750% | 03/15/20 | 1,350 | 1,409,400 | ||||||||||
B&G Foods, Inc., Gtd. Notes | 4.625% | 06/01/21 | 2,000 | 1,970,000 | ||||||||||
BRF SA (Brazil), Sr. Unsec’d. Notes, 144A | 3.950% | 05/22/23 | 705 | 667,106 | ||||||||||
BRF SA (Brazil), Sr. Unsec’d. Notes, 144A | 4.750% | 05/22/24 | 775 | 760,469 |
SEE NOTES TO FINANCIAL STATEMENTS.
A39
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Foods (continued) | ||||||||||||||
Coca-Cola Icecek A/S (Turkey), Sr. Unsec’d. Notes, 144A | 4.750% | 10/01/18 | 375 | $ | 395,396 | |||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A | 7.250% | 06/01/21 | 1,330 | 1,401,487 | ||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Sr. Unsec’d. Notes, 144A | 5.750% | 06/15/25 | 2,025 | 2,001,611 | ||||||||||
Kraft Heinz Foods Co., Gtd. Notes, 144A | 5.000% | 07/15/35 | 725 | 733,715 | ||||||||||
Minerva Luxembourg SA (Brazil), Gtd. Notes, 144A | 12.250% | 02/10/22 | 725 | 797,863 | ||||||||||
Tops Holding LLC/Tops Markets II Corp., Sr. Sec’d. Notes, 144A | 8.000% | 06/15/22 | 1,350 | 1,351,687 | ||||||||||
Tyson Foods, Inc., Gtd. Notes | 6.600% | 04/01/16 | 1,000 | 1,038,220 | ||||||||||
12,526,954 | ||||||||||||||
Gaming — 0.8% | ||||||||||||||
MGM Resorts International, Gtd. Notes | 6.625% | 12/15/21 | 3,325 | 3,474,625 | ||||||||||
MTR Gaming Group, Inc., Sec’d. Notes | 11.500% | 08/01/19 | 1,650 | 1,755,187 | ||||||||||
Pinnacle Entertainment, Inc., Gtd. Notes | 7.500% | 04/15/21 | 1,550 | 1,641,063 | ||||||||||
Wynn Las Vegas LLC/ Wynn Las Vegas Capital Corp., Gtd. Notes, 144A(b) | 5.500% | 03/01/25 | 1,900 | 1,809,750 | ||||||||||
8,680,625 | ||||||||||||||
Healthcare & Pharmaceutical — 4.2% | ||||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 3.600% | 05/14/25 | 1,020 | 1,008,163 | ||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 4.500% | 05/14/35 | 1,715 | 1,677,790 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 3.800% | 03/15/25 | 875 | 859,532 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 4.550% | 03/15/35 | 1,500 | 1,426,158 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 4.750% | 03/15/45 | 525 | 499,828 | ||||||||||
Amgen, Inc., Sr. Unsec’d. Notes | 5.150% | 11/15/41 | 2,635 | 2,706,011 | ||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes | 7.125% | 07/15/20 | 750 | 794,625 | ||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes(b) | 8.000% | 11/15/19 | 3,400 | 3,582,750 | ||||||||||
ConvaTec Finance International SA (Luxembourg), Sr. Unsec’d. Notes, PIK, 144A | 8.250% | 01/15/19 | 2,300 | 2,259,750 | ||||||||||
Davita Healthcare Partners, Inc., Gtd. Notes | 5.000% | 05/01/25 | 500 | 481,250 | ||||||||||
Endo Finance LLC/Endo Ltd./Endo Finco, Inc., Gtd. Notes, 144A | 6.000% | 07/15/23 | 625 | 639,063 | ||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A | 4.125% | 10/15/20 | 2,705 | 2,738,812 | ||||||||||
HCA, Inc., Gtd. Notes | 5.375% | 02/01/25 | 5,025 | 5,106,907 | ||||||||||
HealthSouth Corp., Gtd. Notes | 5.125% | 03/15/23 | 300 | 298,125 | ||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 3.200% | 02/01/22 | 240 | 236,615 | ||||||||||
LifePoint Hospitals, Inc., Gtd. Notes | 6.625% | 10/01/20 | 2,000 | 2,080,000 | ||||||||||
Medtronic, Inc., Sr. Unsec’d. Notes, 144A | 3.500% | 03/15/25 | 3,435 | 3,423,276 | ||||||||||
Medtronic, Inc., Sr. Unsec’d. Notes, 144A | 4.375% | 03/15/35 | 1,450 | 1,438,871 | ||||||||||
Merck & Co, Inc., Sr. Unsec’d. Notes | 4.150% | 05/18/43 | 2,075 | 2,016,954 | ||||||||||
Pfizer, Inc., Sr. Unsec’d. Notes | 4.300% | 06/15/43 | 1,550 | 1,514,590 | ||||||||||
Quintiles Transnational Corp., Gtd. Notes, 144A | 4.875% | 05/15/23 | 1,000 | 1,005,000 | ||||||||||
Select Medical Corp., Gtd. Notes | 6.375% | 06/01/21 | 2,600 | 2,626,000 | ||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes | 8.000% | 08/01/20 | 1,570 | 1,634,763 | ||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A | 6.750% | 08/15/18 | 2,000 | 2,097,500 | ||||||||||
Valeant Pharmaceuticals International, Inc., Sr. Unsec’d. Notes, 144A | 6.125% | 04/15/25 | 800 | 823,000 | ||||||||||
42,975,333 | ||||||||||||||
Healthcare Insurance — 0.9% | ||||||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.750% | 12/15/37 | 1,900 | 2,390,808 | ||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.650% | 01/15/43 | 385 | 352,954 | ||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 4.375% | 12/15/20 | 745 | 807,319 | ||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.375% | 03/15/17 | 2,125 | 2,270,342 | ||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.875% | 03/15/41 | 750 | 853,372 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes(b) | 4.250% | 03/15/43 | 1,200 | 1,133,930 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.500% | 06/15/37 | 760 | 958,967 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.625% | 11/15/37 | 195 | 249,987 | ||||||||||
9,017,679 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A40
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Insurance — 3.4% | ||||||||||||||
Allied World Assurance Co. Ltd., Gtd. Notes | 5.500% | 11/15/20 | 430 | $ | 479,209 | |||||||||
Allied World Assurance Co. Ltd., Gtd. Notes | 7.500% | 08/01/16 | 2,475 | 2,627,658 | ||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 4.500% | 07/16/44 | 1,075 | 1,022,588 | ||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 5.050% | 10/01/15 | 315 | 318,182 | ||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 6.400% | 12/15/20 | 950 | 1,129,403 | ||||||||||
American International Group, Inc., Sr. Unsec’d. Notes, MTN | 5.850% | 01/16/18 | 3,700 | 4,079,202 | ||||||||||
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes | 3.000% | 02/11/23 | 1,850 | 1,863,577 | ||||||||||
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes(b) | 4.500% | 02/11/43 | 1,350 | 1,353,475 | ||||||||||
Chubb Corp. (The), Jr. Sub. Notes(b) | 6.375% | (a) | 03/29/67 | 1,775 | 1,861,975 | |||||||||
Dai-ichi Life Insurance Co. Ltd. (The) (Japan), Jr. Sub. Notes, 144A | 5.100% | (a) | 10/29/49 | 515 | 543,325 | |||||||||
Endurance Specialty Holdings Ltd., Sr. Unsec’d. Notes | 7.000% | 07/15/34 | 1,350 | 1,584,198 | ||||||||||
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes | 5.125% | 04/15/22 | 500 | 554,514 | ||||||||||
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A | 6.500% | 03/15/35 | 1,030 | 1,204,448 | ||||||||||
Lincoln National Corp., Jr. Sub. Notes(b) | 6.050% | (a) | 04/20/67 | 350 | 316,750 | |||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 7.000% | 06/15/40 | 1,265 | 1,586,643 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 8.750% | 07/01/19 | 1,265 | 1,550,949 | ||||||||||
Markel Corp., Sr. Unsec’d. Notes | 5.000% | 03/30/43 | 350 | 344,124 | ||||||||||
Massachusetts Mutual Life Insurance Co., Sub. Notes, 144A | 8.875% | 06/01/39 | 1,200 | 1,798,603 | ||||||||||
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A | 5.100% | (a) | 10/16/44 | 2,075 | 2,170,969 | |||||||||
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A | 6.063% | 03/30/40 | 500 | 597,892 | ||||||||||
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A | 6.375% | 04/30/20 | 850 | 967,495 | ||||||||||
Principal Financial Group, Inc., Gtd. Notes | 4.625% | 09/15/42 | 150 | 144,409 | ||||||||||
Progressive Corp. (The), Jr. Sub. Notes | 6.700% | (a) | 06/15/37 | 1,015 | 1,058,137 | |||||||||
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | 6.850% | 12/16/39 | 2,310 | 2,892,473 | ||||||||||
Unum Group, Sr. Unsec’d. Notes | 5.625% | 09/15/20 | 500 | 562,629 | ||||||||||
Willis Group Holdings PLC, Gtd. Notes | 4.125% | 03/15/16 | 1,280 | 1,306,076 | ||||||||||
XLIT Ltd. (Ireland), Jr. Sub. Notes, Series E | 6.500% | (a) | 10/29/49 | 1,880 | 1,608,584 | |||||||||
35,527,487 | ||||||||||||||
Lodging — 0.4% | ||||||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.250% | 09/15/22 | 1,325 | 1,306,422 | ||||||||||
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | 2.950% | 03/01/17 | 2,420 | 2,456,532 | ||||||||||
3,762,954 | ||||||||||||||
Media & Entertainment — 2.6% | ||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.150% | 03/01/37 | 460 | 531,895 | ||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.900% | 08/15/39 | 65 | 81,298 | ||||||||||
21st Century Fox America, Inc., Gtd. Notes | 7.625% | 11/30/28 | 1,415 | 1,830,987 | ||||||||||
AMC Networks, Inc., Gtd. Notes | 7.750% | 07/15/21 | 3,750 | 4,050,000 | ||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., | 5.375% | 06/01/24 | 425 | 429,760 | ||||||||||
Cinemark USA, Inc., Gtd. Notes | 4.875% | 06/01/23 | 1,508 | 1,449,565 | ||||||||||
Gannett Co., Inc., Gtd. Notes, 144A | 4.875% | 09/15/21 | 475 | 471,438 | ||||||||||
Historic TW, Inc., Gtd. Notes | 6.625% | 05/15/29 | 1,837 | 2,191,640 | ||||||||||
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes | 7.250% | 10/15/20 | 2,016 | 1,993,320 | ||||||||||
Liberty Interactive LLC, Sr. Unsec’d. Notes(b) | 8.250% | 02/01/30 | 2,250 | 2,362,500 | ||||||||||
Myriad International Holdings BV (South Africa), Gtd. Notes, 144A | 6.000% | 07/18/20 | 1,035 | 1,122,199 | ||||||||||
Nielsen Finance LLC/Nielsen Finance Co. (Netherlands), Gtd. Notes, 144A | 5.000% | 04/15/22 | 1,500 | 1,470,000 | ||||||||||
RR Donnelley & Sons Co., Sr. Unsec’d. Notes | 8.600% | 08/15/16 | 4,750 | 5,106,250 | ||||||||||
Time Warner Cos., Inc., Gtd. Notes | 7.250% | 10/15/17 | 1,440 | 1,623,308 | ||||||||||
Univision Communications, Inc., Sr. Unsec’d. Notes, 144A | 5.125% | 02/15/25 | 1,175 | 1,134,110 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.500% | 02/27/42 | 95 | 79,430 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.875% | 06/15/43 | 475 | 425,190 | ||||||||||
26,352,890 | ||||||||||||||
Metals — 0.5% | ||||||||||||||
Alcoa, Inc., Sr. Unsec’d. Notes(b) | 5.125% | 10/01/24 | 425 | 430,312 | ||||||||||
CITIC Pacific Ltd. (China), Sr. Unsec’d. Notes, EMTN, RegS | 6.875% | 01/21/18 | 1,100 | 1,215,170 |
SEE NOTES TO FINANCIAL STATEMENTS.
A41
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Metals (continued) | ||||||||||||||
Goldcorp, Inc. (Canada), Sr. Unsec’d. Notes | 3.625% | 06/09/21 | 825 | $ | 820,561 | |||||||||
Newmont Mining Corp., Gtd. Notes | 6.250% | 10/01/39 | 75 | 73,494 | ||||||||||
Peabody Energy Corp., Gtd. Notes(b) | 6.000% | 11/15/18 | 1,600 | 768,000 | ||||||||||
Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes | 5.875% | 04/23/45 | 270 | 256,824 | ||||||||||
Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes | 6.750% | 04/16/40 | 990 | 1,022,413 | ||||||||||
Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes | 7.500% | 07/27/35 | 550 | 615,967 | ||||||||||
5,202,741 | ||||||||||||||
Non-Captive Finance — 1.6% | ||||||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes | 5.000% | 08/15/22 | 1,350 | 1,336,500 | ||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes, 144A | 5.500% | 02/15/19 | 4,000 | 4,170,000 | ||||||||||
General Electric Capital Corp., Sr. Unsec’d. Notes, MTN | 5.875% | 01/14/38 | 675 | 807,320 | ||||||||||
General Electric Capital Corp., Sub. Notes | 5.300% | 02/11/21 | 1,185 | 1,332,452 | ||||||||||
HSBC Finance Corp., Sub. Notes | 6.676% | 01/15/21 | 295 | 341,287 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes | 5.750% | 05/15/16 | 1,125 | 1,153,125 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes(b) | 6.250% | 05/15/19 | 1,400 | 1,513,750 | ||||||||||
OneMain Financial Holdings, Inc., Gtd. Notes, 144A | 7.250% | 12/15/21 | 2,375 | 2,461,094 | ||||||||||
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A | 1.001% | (a) | 07/03/33 | 472 | 414,706 | |||||||||
Schahin II Finance Co. SPV Ltd. (Brazil), Sr. Sec’d. Notes, 144A | 5.875% | 09/25/22 | 1,650 | 660,186 | ||||||||||
SLM Corp., Sr. Unsec’d. Notes, MTN | 6.000% | 01/25/17 | 1,075 | 1,118,000 | ||||||||||
Trust F/1401 (Mexico), Sr. Unsec’d. Notes, 144A | 5.250% | 12/15/24 | 1,235 | 1,284,400 | ||||||||||
16,592,820 | ||||||||||||||
Packaging — 0.4% | ||||||||||||||
Greif Luxembourg Finance, Sr. Unsec’d. Notes, MTN | 7.375% | 07/15/21 | EUR | 1,470 | 1,927,267 | |||||||||
Greif, Inc., Sr. Unsec’d. Notes | 7.750% | 08/01/19 | 1,815 | 2,019,188 | ||||||||||
3,946,455 | ||||||||||||||
Paper — 0.5% | ||||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 6.000% | 11/15/41 | 675 | 727,736 | ||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.300% | 11/15/39 | 1,000 | 1,223,880 | ||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.950% | 06/15/18 | 1,640 | 1,914,872 | ||||||||||
Rock-Tenn Co., Gtd. Notes | 4.450% | 03/01/19 | 1,165 | 1,236,659 | ||||||||||
5,103,147 | ||||||||||||||
Pipelines & Other — 0.7% | ||||||||||||||
AGL Capital Corp., Gtd. Notes | 4.400% | 06/01/43 | 1,050 | 1,043,945 | ||||||||||
Fermaca Enterprises S de RL de CV (Mexico), Sr. Sec’d. Notes, 144A | 6.375% | 03/30/38 | 432 | 438,317 | ||||||||||
NiSource Finance Corp., Gtd. Notes | 4.800% | 02/15/44 | 300 | 305,894 | ||||||||||
NiSource Finance Corp., Gtd. Notes | 5.450% | 09/15/20 | 1,345 | 1,514,634 | ||||||||||
ONEOK Partners LP, Gtd. Notes | 2.000% | 10/01/17 | 750 | 751,577 | ||||||||||
Sempra Energy, Sr. Unsec’d. Notes | 6.500% | 06/01/16 | 2,275 | 2,383,443 | ||||||||||
Western Gas Partners LP, Sr. Unsec’d. Notes | 5.450% | 04/01/44 | 575 | 573,009 | ||||||||||
7,010,819 | ||||||||||||||
Real Estate Investment Trusts — 0.4% | ||||||||||||||
DuPont Fabros Technology LP, Gtd. Notes | 5.875% | 09/15/21 | 2,000 | 2,025,000 | ||||||||||
ProLogis LP, Gtd. Notes | 6.875% | 03/15/20 | 8 | 9,241 | ||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 3.375% | 03/15/22 | 325 | 329,876 | ||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 6.125% | 05/30/18 | 40 | 44,943 | ||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 10.350% | 04/01/19 | 1,685 | 2,140,390 | ||||||||||
4,549,450 | ||||||||||||||
Retailers — 0.2% | ||||||||||||||
Limited Brands, Inc., Gtd. Notes | 5.625% | 02/15/22 | 2,200 | 2,315,500 | ||||||||||
Software — 0.1% | ||||||||||||||
First Data Corp., Gtd. Notes | 12.625% | 01/15/21 | 1,200 | 1,386,000 | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A42
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Technology — 2.3% | ||||||||||||||
Alcatel-Lucent USA, Inc. (France), Gtd. Notes, 144A | 6.750% | 11/15/20 | 800 | $ | 846,000 | |||||||||
Alcatel-Lucent USA, Inc. (France), Gtd. Notes, 144A | 8.875% | 01/01/20 | 2,000 | 2,175,000 | ||||||||||
Brightstar Corp., Gtd. Notes, 144A | 9.500% | 12/01/16 | 2,000 | 2,055,000 | ||||||||||
CDW LLC/CDW Finance Corp., Gtd. Notes(b) | 5.000% | 09/01/23 | 3,050 | 2,996,625 | ||||||||||
CommScope Holding Co., Inc., Sr. Unsec’d. Notes, PIK, 144A | 6.625% | 06/01/20 | 2,500 | 2,593,750 | ||||||||||
First Data Corp., Gtd. Notes | 11.250% | 01/15/21 | 1,750 | 1,942,500 | ||||||||||
First Data Corp., Sr. Sec’d. Notes, 144A | 7.375% | 06/15/19 | 1,000 | 1,039,500 | ||||||||||
Freescale Semiconductor, Inc., Sr. Sec’d. Notes, 144A | 6.000% | 01/15/22 | 2,050 | 2,173,000 | ||||||||||
Infor US, Inc., Sr. Unsec’d. Notes, 144A | 6.500% | 05/15/22 | 950 | 966,625 | ||||||||||
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A | 3.750% | 06/01/18 | 1,925 | 1,939,437 | ||||||||||
Oracle Corp., Sr. Unsec’d. Notes | 4.300% | 07/08/34 | 1,070 | 1,055,173 | ||||||||||
Sensata Technologies BV (Netherlands), Gtd. Notes, 144A | 5.000% | 10/01/25 | 1,750 | 1,704,063 | ||||||||||
SunGard Data Systems, Inc., Gtd. Notes | 7.625% | 11/15/20 | 1,700 | 1,776,500 | ||||||||||
23,263,173 | ||||||||||||||
Telecommunications — 1.8% | ||||||||||||||
America Movil SAB de CV (Mexico), Gtd. Notes | 6.125% | 03/30/40 | 655 | 758,444 | ||||||||||
AT&T Corp., Gtd. Notes | 8.000% | 11/15/31 | 103 | 139,763 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.800% | 06/15/44 | 1,515 | 1,411,221 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.350% | 09/01/40 | 483 | 475,522 | ||||||||||
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A | 5.125% | 03/11/23 | 1,305 | 1,362,417 | ||||||||||
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A | 5.350% | 05/20/24 | 690 | 730,627 | ||||||||||
Digicel Ltd. (Jamaica), Gtd. Notes, 144A | 6.750% | 03/01/23 | 525 | 514,658 | ||||||||||
Eileme 2 AB (Sweden), Sr. Sec’d. Notes, RegS | 11.750% | 01/31/20 | EUR | 1,400 | 1,726,502 | |||||||||
Embarq Corp., Sr. Unsec’d. Notes | 7.995% | 06/01/36 | 560 | 620,872 | ||||||||||
Sprint Capital Corp., Gtd. Notes | 6.900% | 05/01/19 | 1,300 | 1,326,000 | ||||||||||
Sprint Communications, Inc., Gtd. Notes, 144A | 9.000% | 11/15/18 | 1,575 | 1,778,585 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.750% | 11/01/41 | 745 | 697,840 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 5.012% | 08/21/54 | 3,362 | 3,084,928 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A | 4.522% | 09/15/48 | 1,799 | 1,580,452 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A | 4.672% | 03/15/55 | 2,796 | 2,432,391 | ||||||||||
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC (Russia), | 9.125% | 04/30/18 | 200 | 214,064 | ||||||||||
18,854,286 | ||||||||||||||
Tobacco — 0.5% | ||||||||||||||
Altria Group, Inc., Gtd. Notes | 9.950% | 11/10/38 | 873 | 1,405,736 | ||||||||||
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A | 2.050% | 02/11/18 | 2,375 | 2,364,092 | ||||||||||
RJ Reynolds Tobacco Co., Gtd. Notes | 3.500% | 08/04/16 | 515 | 526,554 | ||||||||||
RJ Reynolds Tobacco Co., Gtd. Notes | 8.125% | 06/23/19 | 895 | 1,060,287 | ||||||||||
5,356,669 | ||||||||||||||
TOTAL CORPORATE BONDS |
| 519,179,297 | ||||||||||||
FOREIGN AGENCIES — 2.5% | ||||||||||||||
CNOOC Finance 2013 Ltd. (China), Gtd. Notes | 3.000% | 05/09/23 | 750 | 710,525 | ||||||||||
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A | 4.875% | 01/15/24 | 875 | 894,688 | ||||||||||
Ecopetrol SA (Colombia), Sr. Unsec’d. Notes | 4.125% | 01/16/25 | 100 | 92,280 | ||||||||||
Ecopetrol SA (Colombia), Sr. Unsec’d. Notes(b) | 5.875% | 05/28/45 | 221 | 195,033 | ||||||||||
Export Credit Bank of Turkey (Turkey), Sr. Unsec’d. Notes, 144A | 5.375% | 11/04/16 | 790 | 820,944 | ||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), | 9.250% | 04/23/19 | 1,080 | 1,198,800 | ||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 6.510% | 03/07/22 | 975 | 976,463 | ||||||||||
KazMunayGas National Co. JSC (Kazakhstan), | 7.000% | 05/05/20 | 475 | 510,150 |
SEE NOTES TO FINANCIAL STATEMENTS.
A43
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
FOREIGN AGENCIES (Continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, MTN, 144A | 9.125% | 07/02/18 | 2,910 | $ | 3,288,300 | |||||||||
Korea Finance Corp. (South Korea), Sr. Unsec’d. Notes | 4.625% | 11/16/21 | 600 | 664,253 | ||||||||||
Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes, RegS(b) | 4.250% | 11/02/20 | 1,750 | 1,900,771 | ||||||||||
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A | 4.750% | 07/13/21 | 1,650 | 1,827,576 | ||||||||||
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS | 7.750% | 10/17/16 | 2,500 | 2,678,125 | ||||||||||
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS | 7.750% | 01/20/20 | 1,500 | 1,734,375 | ||||||||||
Petrobras Global Finance BV (Brazil), Gtd. Notes | 2.000% | 05/20/16 | 1,000 | 988,170 | ||||||||||
Petrobras International Finance Co. (Brazil), Gtd. Notes(b) | 5.375% | 01/27/21 | 345 | 331,821 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes(b) | 3.500% | 01/30/23 | 1,125 | 1,067,287 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 4.875% | 01/24/22 | 2,100 | 2,183,727 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 6.500% | 06/02/41 | 745 | 774,800 | ||||||||||
Power Sector Assets & Liabilities Management Corp. (Philippines), Gov’t. Gtd. Notes, RegS | 7.390% | 12/02/24 | 1,000 | 1,308,800 | ||||||||||
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A | 2.500% | 04/28/20 | 1,250 | 1,231,175 | ||||||||||
TOTAL FOREIGN AGENCIES |
| 25,378,063 | ||||||||||||
MUNICIPAL BONDS — 1.9% | ||||||||||||||
California — 0.7% | ||||||||||||||
Bay Area Toll Authority, Revenue Bonds, BABs | 6.907% | 10/01/50 | 1,125 | 1,502,606 | ||||||||||
State of California, General Obligation Unlimited, BABs | 7.300% | 10/01/39 | 2,280 | 3,167,034 | ||||||||||
State of California, General Obligation Unlimited, BABs | 7.625% | 03/01/40 | 725 | 1,046,451 | ||||||||||
University of California, Revenue Bonds, BABs | 5.770% | 05/15/43 | 1,400 | 1,678,474 | ||||||||||
7,394,565 | ||||||||||||||
Colorado — 0.1% | ||||||||||||||
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs | 5.844% | 11/01/50 | 770 | 959,481 | ||||||||||
Illinois — 0.2% | ||||||||||||||
Chicago O’Hare International Airport, Revenue Bonds, BABs | 6.395% | 01/01/40 | 1,380 | 1,688,651 | ||||||||||
New Jersey — 0.4% | ||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, Series A, BABs | 7.102% | 01/01/41 | 1,175 | 1,578,319 | ||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs | 7.414% | 01/01/40 | 2,050 | 2,846,855 | ||||||||||
4,425,174 | ||||||||||||||
Ohio — 0.1% | ||||||||||||||
Ohio State University (The), Revenue Bonds, BABs | 4.910% | 06/01/40 | 695 | 767,746 | ||||||||||
Ohio State Water Development Authority, Revenue Bonds, BABs | 4.879% | 12/01/34 | 450 | 501,462 | ||||||||||
1,269,208 | ||||||||||||||
Oregon — 0.1% | ||||||||||||||
Oregon State Department of Transportation, Revenue Bonds, Series A, BABs | 5.834% | 11/15/34 | 615 | 750,927 | ||||||||||
Pennsylvania — 0.1% | ||||||||||||||
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs | 5.511% | 12/01/45 | 800 | 904,544 | ||||||||||
Tennessee — 0.2% | ||||||||||||||
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | 6.731% | 07/01/43 | 1,375 | 1,701,590 | ||||||||||
Texas | ||||||||||||||
Texas State Transportation Commission, Revenue Bonds, Series B, BABs | 5.028% | 04/01/26 | 425 | 484,432 | ||||||||||
TOTAL MUNICIPAL BONDS |
| 19,578,572 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A44
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
SOVEREIGNS — 4.9% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Brazilian Government International Bond (Brazil), | 11.000% | 06/26/17 | EUR | 2,200 | $ | 2,927,880 | ||||||||
Colombia Government International Bond (Colombia), | 4.000% | 02/26/24 | 2,000 | 1,990,000 | ||||||||||
Hellenic Republic Government Bond (Greece), | 5.800% | 07/14/15 | JPY | 76,200 | 339,331 | |||||||||
Hellenic Republic Government Bond (Greece), | 5.800% | 07/14/15 | JPY | 107,100 | 476,933 | |||||||||
Hellenic Republic Government International Bond (Greece), | 3.800% | 08/08/17 | JPY | 680,000 | 3,055,958 | |||||||||
Hungary Government International Bond (Hungary), | 4.125% | 02/19/18 | 2,020 | 2,102,315 | ||||||||||
Hungary Government International Bond (Hungary), | 5.375% | 02/21/23 | 436 | 471,621 | ||||||||||
Hungary Government International Bond (Hungary), | 6.000% | 01/11/19 | EUR | 715 | 920,194 | |||||||||
Hungary Government International Bond (Hungary), | 6.375% | 03/29/21 | 776 | 880,372 | ||||||||||
Hungary Government International Bond (Hungary), | 7.625% | 03/29/41 | 1,000 | 1,325,140 | ||||||||||
Indonesia Government International Bond (Indonesia), | 2.875% | 07/08/21 | EUR | 825 | 926,651 | |||||||||
Indonesia Government International Bond (Indonesia), | 5.875% | 03/13/20 | 2,245 | 2,497,562 | ||||||||||
Italy Buoni Poliennali del Tesoro (Italy), Sr. Unsec’d Notes(c) | 6.500% | 11/01/27 | EUR | 3,545 | 5,502,469 | |||||||||
Italy Government International Bond (Italy), Sr. Unsec’d. Notes, RegS | 3.450% | 03/24/17 | JPY | 170,000 | 1,446,080 | |||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes | 2.750% | 04/22/23 | EUR | 2,350 | 2,712,385 | |||||||||
Mexico Government International Bond (Mexico), | 4.750% | 03/08/44 | 1,062 | 1,008,900 | ||||||||||
Panama Government International Bond (Panama), | 3.750% | 03/16/25 | 450 | 443,250 | ||||||||||
Panama Government International Bond (Panama), | 5.200% | 01/30/20 | 1,115 | 1,228,730 | ||||||||||
Peru Enhanced Pass-Through Finance Ltd. (Peru), Pass-Through Certificates, 144A | 3.974% | (g) | 05/31/18 | 593 | 566,197 | |||||||||
Philippine Government International Bond (Philippines), | 6.250% | 03/15/16 | EUR | 850 | 985,662 | |||||||||
Philippine Government International Bond (Philippines), | 9.500% | 02/02/30 | 450 | 728,438 | ||||||||||
Portugal Government International Bond (Portugal), | 5.125% | 10/15/24 | 800 | 816,064 | ||||||||||
Portugal Government International Bond (Portugal), | 5.125% | 10/15/24 | 1,100 | 1,122,088 | ||||||||||
Portugal Obrigacoes do Tesouro OT (Portugal), | 4.950% | 10/25/23 | EUR | 200 | 261,121 | |||||||||
Portugal Obrigacoes do Tesouro OT (Portugal), | 4.750% | 06/14/19 | EUR | 4,410 | 5,561,463 | |||||||||
Republic of Brazil (Brazil), Sr. Unsec’d. Notes | 8.250% | 01/20/34 | 510 | 633,675 | ||||||||||
Republic of Indonesia (Indonesia), Sr. Unsec’d. Notes, RegS | 4.875% | 05/05/21 | 1,600 | 1,698,080 | ||||||||||
Romanian Government International Bond (Romania), | 4.875% | 01/22/24 | 1,370 | 1,448,775 | ||||||||||
Romanian Government International Bond (Romania), | 6.125% | 01/22/44 | 300 | 336,600 | ||||||||||
Romanian Government International Bond (Romania), | 6.125% | 01/22/44 | 300 | 336,600 | ||||||||||
Slovenia Government International Bond (Slovenia), | 5.250% | 02/18/24 | 2,100 | 2,289,000 | ||||||||||
Slovenia Government International Bond (Slovenia), | 5.500% | 10/26/22 | 1,300 | 1,441,635 |
SEE NOTES TO FINANCIAL STATEMENTS.
A45
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
SOVEREIGNS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS | 5.850% | 05/10/23 | 200 | $ | 226,290 | |||||||||
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, 144A | 4.125% | 02/18/19 | 300 | 312,000 | ||||||||||
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes | 7.000% | 06/05/20 | 1,510 | 1,723,611 | ||||||||||
TOTAL SOVEREIGNS |
| 50,743,070 | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.6% | ||||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/19 | 98 | 103,408 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 10/01/33-06/01/34 | 1,447 | 1,633,772 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 11/01/33-06/01/34 | 1,009 | 1,142,835 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 07/01/32-09/01/32 | 787 | 907,060 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 10/01/32 | 72 | 75,244 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 05/01/19 | 68 | 71,499 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 12/01/18-02/01/35 | 478 | 500,109 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 03/01/17-06/01/34 | 2,044 | 2,225,686 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 09/01/17-11/01/36 | 1,868 | 2,130,049 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/17-11/01/33 | 1,486 | 1,725,690 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 05/01/32-06/01/32 | 174 | 198,802 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 01/15/33-07/15/35 | 1,848 | 2,110,664 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 12/15/32-11/15/34 | 2,113 | 2,461,755 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 09/15/32-11/15/33 | 1,312 | 1,498,684 | ||||||||||
Government National Mortgage Assoc. | 7.500% | 10/15/25-02/15/26 | 53 | 61,557 | ||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 16,846,814 | ||||||||||||
U.S. TREASURY OBLIGATIONS — 1.4% | ||||||||||||||
U.S. Treasury Bonds(b) | 2.500% | 02/15/45 | 235 | 206,819 | ||||||||||
U.S. Treasury Bonds(h) | 2.875% | 05/15/43 | 1,440 | 1,372,275 | ||||||||||
U.S. Treasury Notes(c)(h) | 1.500% | 05/31/19 | 12,730 | 12,800,613 | ||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 14,379,707 | ||||||||||||
PREFERRED STOCK — 0.1% | Shares | |||||||||||||
Banking | ||||||||||||||
Citigroup Capital XIII, 7.875%, (Capital Security, fixed to floating preferred) | 45,000 | 1,168,200 | ||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 932,336,431 | ||||||||||||
SHORT-TERM INVESTMENTS — 12.9% | ||||||||||||||
AFFILIATED MUTUAL FUNDS — 12.8% | ||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund | 9,197,972 | 85,909,060 | ||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund | 47,069,648 | 47,069,648 | ||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 132,978,708 | ||||||||||||
Counterparty | Notional Amount (000)# | |||||||||||||
OPTIONS PURCHASED* — 0.1% | ||||||||||||||
Call Options — 0.1% | ||||||||||||||
Interest Rate Swap Options, | ||||||||||||||
Receive a fixed rate of 1.00% and pay a floating rate based on 3 Month LIBOR, expiring 10/28/15 |
| Citigroup Global Markets | 32,710 | 55,197 |
SEE NOTES TO FINANCIAL STATEMENTS.
A46
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
OPTIONS PURCHASED* (continued) | Counterparty | Notional Amount (000)# | Value (Note 2) | |||||||||
Receive a fixed rate of 1.05% and pay a floating rate based on 3 Month LIBOR, expiring 08/24/15 | JPMorgan Chase | 95,800 | $ | 18,060 | ||||||||
Receive a fixed rate of 1.25% and pay a floating rate based on 3 Month LIBOR, expiring 08/19/15 | Barclays Capital Group | 54,000 | 290,686 | |||||||||
Receive a fixed rate of 1.35% and pay a floating rate based on 3 Month LIBOR, expiring 08/24/15 | JPMorgan Chase | 95,800 | 99,119 | |||||||||
Receive a fixed rate of 1.50% and pay a floating rate based on 3 Month LIBOR, expiring 04/28/16 | Citigroup Global Markets | 22,260 | 114,298 | |||||||||
Receive a fixed rate of 1.55% and pay a floating rate based on 3 Month LIBOR, expiring 11/09/15 | Citigroup Global Markets | 37,000 | 237,461 | |||||||||
Receive a fixed rate of 1.76% and pay a floating rate based on 3 Month LIBOR, expiring 02/23/16 | Citigroup Global Markets | 37,340 | 339,488 | |||||||||
1,154,309 | ||||||||||||
Put Options | ||||||||||||
90 Day Euro Dollar, expiring 12/14/15, Strike Price $98.75 | 17,250 | 431 | ||||||||||
90 Day Euro Dollar, expiring 12/14/15, Strike Price $98.88 | 17,250 | 863 | ||||||||||
90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.13 | 162,250 | 16,225 | ||||||||||
90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.38 | 145,000 | 79,750 | ||||||||||
97,269 | ||||||||||||
TOTAL OPTIONS PURCHASED |
| 1,251,578 | ||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 134,230,286 | ||||||||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 103.0% |
| 1,066,566,717 | ||||||||||
OPTIONS WRITTEN* | ||||||||||||
Call Option | ||||||||||||
Interest Rate Swap Option, | ||||||||||||
Pay a fixed rate of 1.20% and receive a floating rate based on 3 Month LIBOR, | JPMorgan Chase | 191,600 | (93,659 | ) | ||||||||
Put Options | ||||||||||||
90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.00 | 69,000 | (5,175 | ) | |||||||||
90 Day Euro Dollar, expiring 12/14/15, Strike Price $99.25 | 272,750 | (68,187 | ) | |||||||||
(73,362 | ) | |||||||||||
TOTAL OPTIONS WRITTEN |
| (167,021 | ) | |||||||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 103.0% |
| 1,066,399,696 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(l) — (3.0)% |
| (31,437,973 | ) | |||||||||
NET ASSETS — 100.0% |
| $ | 1,034,961,723 | |||||||||
See the Glossary for abbreviations used in the Portfolio descriptions.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
(a) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2015. |
(b) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $36,993,201; cash collateral of $38,015,140 (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) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
(d) | Represents issuer in default on interest payments. Non-income producing security. |
(e) | Indicates a security or securities that has been deemed illiquid. |
SEE NOTES TO FINANCIAL STATEMENTS.
A47
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
(f) | Indicates a restricted security; the aggregate original cost of the restricted securities is $20,117,055. The aggregate value of $18,631,856 is approximately 1.8% of net assets. |
(g) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
(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) | Interest rate not available as of June 30, 2015. |
(l) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2015:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2015 | Unrealized Depreciation(1) | |||||||||||||
Long Positions: | ||||||||||||||||||
2,961 | 5 Year U.S. Treasury Notes | Sep. 2015 | $ | 353,273,889 | $ | 353,122,382 | $ | (151,507 | ) | |||||||||
1,767 | 10 Year U.S. Treasury Notes | Sep. 2015 | 223,697,346 | 222,945,703 | (751,643 | ) | ||||||||||||
350 | U.S. Ultra Treasury Bond | Sep. 2015 | 55,234,702 | 53,921,875 | (1,312,827 | ) | ||||||||||||
(2,215,977 | ) | |||||||||||||||||
Short Position: | ||||||||||||||||||
1,564 | 2 Year U.S. Treasury Notes | Sep. 2015 | 341,950,700 | 342,418,249 | (467,549 | ) | ||||||||||||
$ | (2,683,526 | ) | ||||||||||||||||
(1) | Cash of $48,350 and U.S. Treasury obligations with a combined market value of $6,403,033 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2015. |
Forward foreign currency exchange contracts outstanding at June 30, 2015:
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation (Depreciation) | |||||||||||||
Brazilian Real, | ||||||||||||||||||
Expiring 07/14/15 | Barclays Capital Group | BRL | 2,673 | $ | 830,500 | $ | 855,118 | $ | 24,618 | |||||||||
British Pound, | ||||||||||||||||||
Expiring 07/28/15 | JPMorgan Chase | GBP | 160 | 245,022 | 251,426 | 6,404 | ||||||||||||
Canadian Dollar, | ||||||||||||||||||
Expiring 07/16/15 | JPMorgan Chase | CAD | 406 | 323,894 | 324,955 | 1,061 | ||||||||||||
Euro, | ||||||||||||||||||
Expiring 07/28/15 | JPMorgan Chase | EUR | 209 | 233,884 | 233,097 | (787 | ) | |||||||||||
Japanese Yen, | ||||||||||||||||||
Expiring 07/28/15 | Citigroup Global Markets | JPY | 177,898 | 1,475,000 | 1,454,105 | (20,895 | ) | |||||||||||
Mexican Peso, | ||||||||||||||||||
Expiring 07/22/15 | Citigroup Global Markets | MXN | 844 | 54,641 | 53,621 | (1,020 | ) | |||||||||||
Expiring 07/22/15 | UBS AG | MXN | 4,781 | 315,500 | 303,673 | (11,827 | ) | |||||||||||
$ | 3,478,441 | $ | 3,475,995 | $ | (2,446 | ) | ||||||||||||
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation (Depreciation) | |||||||||||||
Australian Dollar, | ||||||||||||||||||
Expiring 07/16/15 | JPMorgan Chase | AUD | 1,051 | $ | 795,163 | $ | 810,193 | $ | (15,030 | ) | ||||||||
Brazilian Real, | ||||||||||||||||||
Expiring 07/14/15 | Citigroup Global Markets | BRL | 1,885 | 636,900 | 603,223 | 33,677 | ||||||||||||
Expiring 07/14/15 | Citigroup Global Markets | BRL | 980 | 317,000 | 313,718 | 3,282 | ||||||||||||
British Pound, | ||||||||||||||||||
Expiring 07/28/15 | Goldman Sachs & Co. | GBP | 1,895 | 2,864,660 | 2,976,664 | (112,004 | ) | |||||||||||
Euro, | ||||||||||||||||||
Expiring 07/28/15 | Bank of America | EUR | 6,274 | 6,793,800 | 6,997,423 | (203,623 | ) | |||||||||||
Expiring 07/28/15 | JPMorgan Chase | EUR | 6,274 | 6,795,003 | 6,997,422 | (202,419 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
A48
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Forward foreign currency exchange contracts outstanding at June 30, 2015 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation (Depreciation) | |||||||||||||
Hungarian Forint, | ||||||||||||||||||
Expiring 07/22/15 | BNP Paribas | HUF | 219,665 | $ | 787,359 | $ | 775,972 | $ | 11,387 | |||||||||
Japanese Yen, | ||||||||||||||||||
Expiring 07/28/15 | Bank of America | JPY | 26,935 | 226,719 | 220,163 | 6,556 | ||||||||||||
Expiring 07/28/15 | Barclays Capital Group | JPY | 679 | 5,527 | 5,548 | (21 | ) | |||||||||||
Expiring 07/28/15 | Goldman Sachs & Co. | JPY | 91,219 | 760,091 | 745,611 | 14,480 | ||||||||||||
Expiring 07/28/15 | JPMorgan Chase | JPY | 88,990 | 737,700 | 727,391 | 10,309 | ||||||||||||
Mexican Peso, | ||||||||||||||||||
Expiring 07/22/15 | Citigroup Global Markets | MXN | 11,442 | 739,123 | 726,782 | 12,341 | ||||||||||||
Expiring 07/22/15 | Goldman Sachs & Co. | MXN | 5,010 | 323,399 | 318,241 | 5,158 | ||||||||||||
Polish Zloty, | ||||||||||||||||||
Expiring 07/23/15 | Citigroup Global Markets | PLN | 2,314 | 620,357 | 615,010 | 5,347 | ||||||||||||
South African Rand, | ||||||||||||||||||
Expiring 07/20/15 | BNP Paribas | ZAR | 6,587 | 540,797 | 539,443 | 1,354 | ||||||||||||
Turkish Lira, | ||||||||||||||||||
Expiring 07/24/15 | Deutsche Bank AG | TRY | 568 | 210,500 | 210,299 | 201 | ||||||||||||
Expiring 07/24/15 | Hong Kong & Shanghai Bank | TRY | 46,254 | 16,718,090 | 17,127,758 | (409,668 | ) | |||||||||||
$ | 39,872,188 | $ | 40,710,861 | (838,673 | ) | |||||||||||||
$ | (841,119 | ) | ||||||||||||||||
Interest rate swap agreements outstanding at June 30, 2015:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | 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) | $ | 95,617 | $ | — | $ | 95,617 | Barclays Capital Group | |||||||||||||||
AUD | 1,620 | 12/20/32 | 4.420% | 6 Month BBSW(2) | 121,376 | — | 121,376 | Citigroup Global Markets | ||||||||||||||||||
CLP | 610,000 | 02/25/20 | 3.910% | 1 Day CLP OIS(2) | (2,956 | ) | — | (2,956 | ) | JPMorgan Chase | ||||||||||||||||
COP | 185,000 | 02/13/20 | 5.050% | 1 Day COLIBOR OIS(2) | (445 | ) | — | (445 | ) | Deutsche Bank AG | ||||||||||||||||
COP | 685,000 | 04/17/20 | 5.050% | 1 Day COLIBOR OIS(2) | (2,027 | ) | — | (2,027 | ) | Deutsche Bank AG | ||||||||||||||||
COP | 1,365,000 | 04/10/25 | 6.020% | 1 Day COLIBOR OIS(2) | (8,819 | ) | — | (8,819 | ) | JPMorgan Chase | ||||||||||||||||
MXN | 76,000 | 06/20/18 | 6.020% | 28 Day Mexican Interbank Rate(2) | 198,130 | — | 198,130 | Credit Suisse First Boston Corp. | ||||||||||||||||||
MXN | 73,100 | 11/09/18 | 5.410% | 28 Day Mexican Interbank Rate(2) | 99,973 | — | 99,973 | Deutsche Bank AG | ||||||||||||||||||
25,690 | 11/15/19 | 1.334% | 3 Month LIBOR(1) | 282,091 | — | 282,091 | Citigroup Global Markets | |||||||||||||||||||
ZAR | 10,000 | 09/03/33 | 8.970% | 3 Month JIBAR(2) | 22,171 | — | 22,171 | Hong Kong & Shanghai Bank | ||||||||||||||||||
$ | 805,111 | $ | — | $ | 805,111 | |||||||||||||||||||||
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2015 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Exchange-traded swap agreements: |
| ||||||||||||||||||||||
AUD | 2,300 | 03/07/29 | 4.743% | 6 Month BBSW(2) | $ | (39,329 | ) | $ | 228,532 | $ | 267,861 | |||||||||||||
CAD | 13,250 | 01/09/20 | 1.710% | 3 Month Canadian Banker’s Acceptance(1) | (161 | ) | (212,657 | ) | (212,496 | ) | ||||||||||||||
EUR | 8,050 | 08/04/16 | 0.078% | 1 Day EUROIS(1) | 4,645 | (29,715 | ) | (34,360 | ) | |||||||||||||||
EUR | 6,100 | 08/01/19 | 0.346% | 1 Day EUROIS(1) | 17,304 | (94,000 | ) | (111,304 | ) | |||||||||||||||
GBP | 1,490 | 11/03/24 | 1.960% | 6 Month GBP LIBOR(1) | (789 | ) | (63,321 | ) | (62,532 | ) | ||||||||||||||
GBP | 1,600 | 01/08/25 | 1.325% | 1 Day GBP OIS(1) | 485 | 88,827 | 88,342 | |||||||||||||||||
JPY | 115,000 | 02/26/35 | 1.194% | 6 Month JPY LIBOR(2) | (34 | ) | (8,906 | ) | (8,872 | ) | ||||||||||||||
JPY | 250,000 | 03/03/35 | 1.149% | 6 Month JPY LIBOR(2) | 430 | (36,480 | ) | (36,910 | ) | |||||||||||||||
MXN | 65,000 | 12/02/15 | 5.080% | 28 Day Mexican Interbank Rate(2) | (11,450 | ) | 29,777 | 41,227 | ||||||||||||||||
MXN | 112,800 | 02/09/18 | 4.630% | 28 Day Mexican Interbank Rate(2) | (2,367 | ) | 30,819 | 33,186 | ||||||||||||||||
MXN | 70,000 | 04/18/19 | 5.480% | 28 Day Mexican Interbank Rate(2) | (22,549 | ) | 83,907 | 106,456 |
SEE NOTES TO FINANCIAL STATEMENTS.
A49
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Interest rate swap agreements outstanding at June 30, 2015 (continued):
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2015 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Exchange-traded swap agreements (continued): |
| ||||||||||||||||||||||
MXN | 48,200 | 05/25/22 | 6.370% | 28 Day Mexican Interbank Rate(2) | $ | (30,834 | ) | $ | 88,833 | $ | 119,667 | |||||||||||||
MXN | 38,000 | 08/13/24 | 6.120% | 28 Day Mexican Interbank Rate(2) | (7,005 | ) | (26,027 | ) | (19,022 | ) | ||||||||||||||
MXN | 38,100 | 12/27/24 | 5.795% | 28 Day Mexican Interbank Rate(2) | 434 | (97,279 | ) | (97,713 | ) | |||||||||||||||
MXN | 13,900 | 07/27/34 | 6.720% | 28 Day Mexican Interbank Rate(2) | (436 | ) | (27,288 | ) | (26,852 | ) | ||||||||||||||
100,400 | 09/17/15 | 0.181% | 1 Day Overnight Fed Funds Effective Rate(2) | 175 | 5,072 | 4,897 | ||||||||||||||||||
85,500 | 09/17/15 | 0.185% | 1 Day Overnight Fed Funds Effective Rate(2) | 172 | 4,765 | 4,593 | ||||||||||||||||||
122,500 | 10/28/15 | 0.278% | 1 Day Overnight Fed Funds Effective Rate(1) | 181 | (12,619 | ) | (12,800 | ) | ||||||||||||||||
104,500 | 10/28/15 | 0.282% | 1 Day Overnight Fed Funds Effective Rate(1) | 176 | (11,300 | ) | (11,476 | ) | ||||||||||||||||
5,150 | 02/28/19 | 1.625% | 6 Month LIBOR(1) | 173 | (34,563 | ) | (34,736 | ) | ||||||||||||||||
19,300 | 02/28/19 | 1.806% | 3 Month LIBOR(1) | 42,047 | (255,039 | ) | (297,086 | ) | ||||||||||||||||
7,450 | 11/06/19 | 1.753% | 6 Month LIBOR(1) | 183 | (40,820 | ) | (41,003 | ) | ||||||||||||||||
9,010 | 12/02/19 | 1.639% | 6 Month LIBOR(1) | 191 | 615 | 424 | ||||||||||||||||||
11,160 | 03/11/20 | 1.824% | 3 Month LIBOR(1) | 195 | (64,106 | ) | (64,301 | ) | ||||||||||||||||
16,250 | 07/31/21 | 2.290% | 3 Month LIBOR(1) | 248 | (289,278 | ) | (289,526 | ) | ||||||||||||||||
220,700 | 12/31/21 | 1.787% | 3 Month LIBOR(1) | (73,175 | ) | 3,565,408 | 3,638,583 | |||||||||||||||||
17,000 | 12/31/21 | 1.850% | 3 Month LIBOR(1) | 241 | 207,720 | 207,479 | ||||||||||||||||||
17,000 | 05/31/22 | 2.237% | 3 Month LIBOR(2) | 66,956 | 58,120 | (8,836 | ) | |||||||||||||||||
ZAR | 20,000 | 10/22/23 | 7.625% | 3 Month JIBAR(2) | (1,114 | ) | (56,471 | ) | (55,357 | ) | ||||||||||||||
ZAR | 38,300 | 11/14/23 | 8.190% | 3 Month JIBAR(2) | (26,088 | ) | (1,289 | ) | 24,799 | |||||||||||||||
ZAR | 1,800 | 01/12/25 | 7.430% | 3 Month JIBAR(2) | 23 | (8,140 | ) | (8,163 | ) | |||||||||||||||
ZAR | 14,500 | 01/13/25 | 7.440% | 3 Month JIBAR(2) | 20,576 | (64,769 | ) | (85,345 | ) | |||||||||||||||
$ | (60,496 | ) | $ | 2,958,328 | $ | 3,018,824 | ||||||||||||||||||
(1) | Portfolio pays the fixed rate and receives the floating rate. |
(2) | Portfolio pays the floating rate and receives the fixed rate. |
Credit default swap agreements outstanding at June 30, 2015:
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(4) | Implied Credit Spread at June 30, 2015(5) | 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 | 0.320 | % | $ | (342,728 | ) | $ | — | $ | (342,728 | ) | Deutsche Bank AG | ||||||||||||||||
R.R. Donnelley & Sons Co. | 09/20/16 | 1.000% | 4,750 | 0.274 | % | (44,040 | ) | 229,662 | (273,702 | ) | JPMorgan Chase | |||||||||||||||||||
$ | (386,768 | ) | $ | 229,662 | $ | (616,430 | ) | |||||||||||||||||||||||
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(4) | Fair Value(3) | Upfront Premiums Paid (Received) | Unrealized Appreciation | Counterparty | |||||||||||||||||||
Over-the-counter credit default swaps on credit indices—Sell Protection(2): | ||||||||||||||||||||||||||
CDX.NA.HY.17.V9 | 12/20/16 | 5.000% | 6,440 | $ | 357,331 | $ | 270,122 | $ | 87,209 | Credit Suisse First Boston Corp. | ||||||||||||||||
CDX.NA.HY.17.V9 | 12/20/16 | 5.000% | 12,420 | 689,138 | 567,525 | 121,613 | Deutsche Bank AG | |||||||||||||||||||
CDX.NA.HY.17.V9 | 12/20/16 | 5.000% | 17,940 | 995,421 | 774,908 | 220,513 | Deutsche Bank AG | |||||||||||||||||||
CDX.NA.HY.17.V9 | 12/20/16 | 5.000% | 11,500 | 638,091 | 503,924 | 134,167 | Deutsche Bank AG | |||||||||||||||||||
$ | 2,679,981 | $ | 2,116,479 | $ | 563,502 | |||||||||||||||||||||
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(4) | Value at Trade Date | Value at June 30, 2015(3) | Unrealized Appreciation | ||||||||||||||||||
Exchange-traded credit default swaps on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.IG.24.V1 | 06/20/20 | 1.000% | 207,000 | $ | (3,524,860 | ) | $ | (2,953,360 | ) | $ | 571,500 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A50
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
A U.S. Treasury obligation and a Sovereign with a combined market value of $11,964,494 have been segregated with Citigroup Global Markets to cover requirements for open exchanged-traded interest rate and credit default swap contracts at June 30, 2015.
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay the buyer of protection an amount equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) | The fair value of credit default swap agreements on credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
(4) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(5) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues of the emerging country as of reporting date serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Currency swap agreements outstanding at June 30, 2015:
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: | |||||||||||||||||||||||||||||
502 | 3 Month LIBOR | JPY | 50,000 | 3 Month JPY LIBOR minus 54.00 bps | Barclays Capital Group | 10/12/16 | $ | 94,093 | $ | — | $ | 94,093 | ||||||||||||||||||
278 | 3 Month LIBOR | EUR | 240 | 3 Month EURIBOR minus 24.50 bps | Citigroup Global Markets | 01/16/17 | 11,256 | — | 11,256 | |||||||||||||||||||||
1,541 | | 3 Month LIBOR plus 432 bps | | JPY | 120,000 | 3.450% | Citigroup Global Markets | 03/24/17 | 604,384 | 7,475 | 596,909 | |||||||||||||||||||
5,882 | 3 Month LIBOR | JPY | 600,000 | 3 Month JPY LIBOR minus 31.25 bps | Deutsche Bank AG | 05/14/17 | 967,428 | — | 967,428 | |||||||||||||||||||||
TRY | 20,000 | 8.68% | 9,749 | 3 Month LIBOR | Hong Kong & Shanghai Bank | 09/05/15 | (1,796,160 | ) | — | (1,796,160 | ) | |||||||||||||||||||
TRY | 23,640 | 8.69% | 11,376 | 3 Month LIBOR | Hong Kong & Shanghai Bank | 09/09/15 | (1,983,685 | ) | — | (1,983,685 | ) | |||||||||||||||||||
1,157 | 3 Month LIBOR | EUR | 900 | 3 Month EURIBOR minus 31.75 bps | Hong Kong & Shanghai Bank | 09/28/17 | 155,847 | — | 155,847 | |||||||||||||||||||||
JPY | 265,000 |
| 3 Month JPY LIBOR minus 43.35 bps |
| 2,250 | 3 Month LIBOR | JPMorgan Chase | 11/26/16 | (83,015 | ) | — | (83,015 | ) | |||||||||||||||||
JPY | 1,060,000 |
| 3 Month JPY LIBOR minus 42.10 bps |
| 8,979 | 3 Month LIBOR | JPMorgan Chase | 11/28/16 | (311,787 | ) | — | (311,787 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
A51
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Currency swap agreements outstanding at June 30, 2015 (continued):
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 (continued): | |||||||||||||||||||||||||||||
13,099 | 3 Month LIBOR | EUR | 11,400 | 3 Month EURIBOR minus 26.95 | JPMorgan Chase | 02/17/17 | $ | 332,197 | $ | — | $ | 332,197 | ||||||||||||||||||
2,250 | 3 Month LIBOR | JPY | 265,000 | 3 Month JPY LIBOR minus 69.88 bps | JPMorgan Chase | 11/26/24 | 82,372 | — | 82,372 | |||||||||||||||||||||
8,979 | 3 Month LIBOR | JPY | 1,060,000 | 3 Month JPY LIBOR minus 67.32 bps | JPMorgan Chase | 11/28/24 | 288,904 | — | 288,904 | |||||||||||||||||||||
$ | (1,638,166 | ) | $ | 7,475 | $ | (1,645,641 | ) | |||||||||||||||||||||||
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | $ | — | $ | 44,683,245 | $ | 998,100 | ||||||
Non-Residential Mortgage-Backed Securities | — | 6,781,887 | 9,474,964 | |||||||||
Residential Mortgage-Backed Securities | — | 71,034,235 | 9,827,601 | |||||||||
Bank Loans | — | 31,327,632 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 110,935,044 | — | |||||||||
Corporate Bonds | — | 519,179,297 | — | |||||||||
Foreign Agencies | — | 25,378,063 | — | |||||||||
Municipal Bonds | — | 19,578,572 | — | |||||||||
Sovereigns | — | 50,743,070 | — | |||||||||
U.S. Government Agency Obligations | — | 16,846,814 | — | |||||||||
U.S. Treasury Obligations | — | 14,379,707 | — | |||||||||
Preferred Stock | 1,168,200 | — | — | |||||||||
Affiliated Mutual Funds | 132,978,708 | — | — | |||||||||
Options Purchased | 97,269 | 1,154,309 | — | |||||||||
Options Written | (73,362 | ) | (93,659 | ) | — | |||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | (2,683,526 | ) | — | — | ||||||||
Forward Foreign Currency Exchange Contracts | — | (841,119 | ) | — | ||||||||
Over-the-counter interest rate swaps | — | 805,111 | — | |||||||||
Exchange-traded interest rate swaps | — | 3,018,824 | — | |||||||||
Over-the-counter credit default swaps | — | 2,293,213 | — | |||||||||
Exchange-traded credit default swaps | — | 571,500 | — | |||||||||
Currency Swap Agreements | — | (1,638,166 | ) | — | ||||||||
Total | $ | 131,487,289 | $ | 916,137,579 | $ | 20,300,665 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A52
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:
Bank Loans | Collateralized Loan Obligations | Corporate Bonds | Non-Residential Mortgage-Backed Securities | Residential Mortgage-Backed Securities | ||||||||||||||||
Balance as of December 31, 2014 | $ | 4,745,724 | $ | — | $ | 6,610,851 | $ | — | $ | — | ||||||||||
Realized gain (loss) | (1,139 | ) | — | — | — | — | ||||||||||||||
Change in unrealized appreciation (depreciation)** | (62,693 | ) | (410 | ) | — | (25,011 | ) | (2,705 | ) | |||||||||||
Purchases | — | 998,510 | — | 9,499,977 | 9,915,369 | |||||||||||||||
Sales | (3,049,874 | ) | — | — | — | (87,569 | ) | |||||||||||||
Accrued discount/premium | 396 | — | — | (2 | ) | 2,506 | ||||||||||||||
Transfers into Level 3 | — | — | — | — | — | |||||||||||||||
Transfers out of Level 3 | (1,632,414 | ) | — | (6,610,851 | ) | — | — | |||||||||||||
Balance as of June 30, 2015 | $ | — | $ | 998,100 | $ | — | $ | 9,474,964 | $ | 9,827,601 | ||||||||||
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and exchange-traded swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and over-the-counter swap contracts which are recorded at fair value. |
** | Of which, $(28,126) was relating to securities held at the reporting period end. |
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by Board, which contain unobservable inputs as follows:
Level 3 Securities | Fair Value as of June 30, 2015 | Valuation Methodology | Unobservable Inputs | |||||
Collateralized Loan Obligations | $ | 998,100 | Market Approach | Single Broker Indicative Quote | ||||
Non-Residential Mortgage-Backed Securities | 9,474,964 | Market Approach | Single Broker Indicative Quote | |||||
Residential Mortgage-Backed Securities | 9,827,601 | Market Approach | Single Broker Indicative Quote | |||||
$ | 20,300,665 | |||||||
It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. At the reporting period end, securities transferred levels as follows:
Investments in Securities | Amount Transferred | Level Transfer | Logic | |||||||
Bank Loans | $ | 1,632,414 | L3 to L2 | Single Broker Quote to Evaluated Bid | ||||||
Corporate Bonds | 6,610,851 | L3 to L2 | Single Broker Quote to Evaluated Bid |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:
Affiliated Mutual Funds (including 3.7% of collateral for securities on loan) | 12.8 | % | ||
Banking | 12.8 | |||
Commercial Mortgage-Backed Securities | 10.7 | |||
Residential Mortgage-Backed Securities | 7.8 | |||
Healthcare & Pharmaceutical | 5.1 | |||
Sovereigns | 4.9 | |||
Collateralized Loan Obligations | 4.4 | |||
Electric | 3.5 | |||
Insurance | 3.4 | |||
Technology | 3.2 | |||
Media & Entertainment | 2.7 | |||
Foreign Agencies | 2.5 | |||
Cable | 2.1 | |||
Telecommunications | 1.9 | |||
Chemicals | 1.9 | |||
Municipal Bonds | 1.9 | |||
Capital Goods | 1.7 | |||
Non-Residential Mortgage-Backed Securities | 1.6 | |||
U.S. Government Agency Obligations | 1.6 |
Non-Captive Finance | 1.6 | % | ||
U.S. Treasury Obligations | 1.4 | |||
Automotive | 1.3 | |||
Building Materials & Construction | 1.3 | |||
Foods | 1.3 | |||
Energy – Other | 1.1 | |||
Gaming | 1.0 | |||
Healthcare Insurance | 0.9 | |||
Energy – Integrated | 0.7 | |||
Pipelines & Other | 0.7 | |||
Airlines | 0.6 | |||
Tobacco | 0.5 | |||
Metals | 0.5 | |||
Paper | 0.5 | |||
Aerospace & Defense | 0.5 | |||
Real Estate Investment Trusts | 0.4 | |||
Packaging | 0.4 | |||
Lodging | 0.4 | |||
Diversified Telecommunication Services | 0.3 | |||
Retailers | 0.2 |
SEE NOTES TO FINANCIAL STATEMENTS.
A53
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Industry table (cont’d.) | ||||
Consumer | 0.2 | % | ||
Brokerage | 0.2 | |||
Financials | 0.2 | |||
Software | 0.1 | |||
Beverages | 0.1 |
Options Purchased | 0.1 | % | ||
Options Written | — | * | ||
103.0 | ||||
Liabilities in excess of other assets | (3.0 | ) | ||
100.0 | % | |||
* | Less than 0.05% |
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, 2015 as presented in the Statement of Assets and Liabilities:
Derivatives not designated as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Credit contracts | Due from/to broker-variation margin swaps | $ | 571,500 | * | — | $ | — | |||||
Credit contracts | Premiums paid for swap agreements | 2,346,141 | — | — | ||||||||
Credit contracts | Unrealized appreciation on over-the-counter swap agreements | 563,502 | Unrealized depreciation on over-the-counter swap agreements | 616,430 | ||||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency exchange contracts | 136,175 | Unrealized depreciation on forward foreign currency exchange contracts | 977,294 | ||||||||
Interest rate contracts | — | — | Due from/to broker-variation margin futures | 2,683,526 | * | |||||||
Interest rate contracts | Due from/to broker-variation margin swaps | 4,537,514 | * | Due from/to broker-variation margin swaps | 1,518,690 | * | ||||||
Interest rate contracts | Premiums paid for swap agreements | 7,475 | — | — | ||||||||
Interest rate contracts | Unaffiliated investments | 1,251,578 | Options written outstanding, at value | 167,021 | ||||||||
Interest rate contracts | Unrealized appreciation on over-the-counter swap agreements | 3,348,364 | Unrealized depreciation on over-the-counter swap agreements | 4,188,894 | ||||||||
Total | $ | 12,762,249 | $ | 10,151,855 | ||||||||
* | 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, 2015 are as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased* | Options Written | Futures | Forward Rate Agreements | Forward and Cross Currency Contracts** | Swaps | Total | |||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (1,464,571 | ) | $ | (1,464,571 | ) | ||||||||||||
Equity contracts | — | — | — | — | — | 99,939 | 99,939 | |||||||||||||||||||||
Foreign exchange contracts | — | — | — | — | 1,699,754 | — | 1,699,754 | |||||||||||||||||||||
Interest rate contracts | (1,141,965 | ) | 385,971 | 2,289,912 | 30,908 | — | (3,743,510 | ) | (2,178,684 | ) | ||||||||||||||||||
$ | (1,141,965 | ) | $ | 385,971 | $ | 2,289,912 | $ | 30,908 | $ | 1,699,754 | $ | (5,108,142 | ) | $ | (1,843,562 | ) | ||||||||||||
* | 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A54
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased* | Options Written | Futures | Forward and Cross Currency Contracts** | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | 1,206,589 | $ | 1,206,589 | ||||||||||||
Foreign exchange contracts | — | — | — | (617,442 | ) | — | (617,442 | ) | ||||||||||||||||
Interest rate contracts | (72,807 | ) | 25,010 | (4,043,613 | ) | — | (1,530,441 | ) | (5,621,851 | ) | ||||||||||||||
$ | (72,807 | ) | $ | 25,010 | $ | (4,043,613 | ) | $ | (617,442 | ) | $ | (323,852 | ) | $ | (5,032,704 | ) | ||||||||
* | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
** | Included in net change in unrealized appreciation (depreciation) on foreign currencies in the Statement of Operations. |
For the six months ended June 30, 2015, the Portfolio’s average volume of derivative activities is as follows:
Options | Options | Futures Long Positions(2) | Futures Short Positions(2) | Forward Foreign | ||||
$1,057,971 | $439,783 | $441,755,729 | $174,597,241 | $37,207,782 | ||||
Forward Foreign | Cross | Interest Rate | Credit Default | Credit Default | ||||
$67,008,206 | $72,963 | $548,777 | $169,798 | $49,000 | ||||
Currency | Total | Forward | ||||||
$80,258 | $4,053 | $120,660 |
(1) | Cost. |
(2) | Value at Trade Date. |
(3) | Value at Settlement Date. |
(4) | Notional Amount in USD (000). |
Offsetting of over-the-counter (OTC) derivative assets and liabilities:
The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives, where the legal right to set-off exists, is presented in the summary below.
Counterparty | Gross amounts of recognized assets(1) | Gross amounts available for offset | Collateral Received(3) | Net Amount | ||||||||||||
Bank of America | $ | 6,556 | $ | (6,556 | ) | $ | — | $ | — | |||||||
Barclays Capital Group | 505,014 | (21 | ) | (530,474 | ) | — | ||||||||||
BNP Paribas | 12,741 | — | — | 12,741 | ||||||||||||
Citigroup Global Markets | 1,820,198 | (21,915 | ) | (1,734,000 | ) | 64,283 | ||||||||||
Credit Suisse First Boston Corp. | 555,461 | — | (602,000 | ) | — | |||||||||||
Deutsche Bank AG | 3,390,252 | (345,200 | ) | (3,050,201 | ) | — | ||||||||||
Goldman Sachs & Co. | 19,638 | (19,638 | ) | — | — | |||||||||||
Hong Kong & Shanghai Bank | 178,018 | (178,018 | ) | — | — | |||||||||||
JPMorgan Chase | 1,068,088 | (992,174 | ) | — | 75,914 | |||||||||||
UBS AG | — | — | — | — | ||||||||||||
$ | 7,555,966 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A55
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Counterparty | Gross amounts of recognized liabilities(2) | Gross amounts available for offset | Collateral Pledged(3) | Net Amount | ||||||||||||
Bank of America | $ | (203,623 | ) | $ | 6,556 | $ | — | $ | (197,067 | ) | ||||||
Barclays Capital Group | (21 | ) | 21 | — | — | |||||||||||
BNP Paribas | — | — | — | — | ||||||||||||
Citigroup Global Markets | (21,915 | ) | 21,915 | — | — | |||||||||||
Credit Suisse First Boston Corp. | — | — | — | — | ||||||||||||
Deutsche Bank AG | (345,200 | ) | 345,200 | — | — | |||||||||||
Goldman Sachs & Co. | (112,004 | ) | 19,638 | — | (92,366 | ) | ||||||||||
Hong Kong & Shanghai Bank | (4,189,513 | ) | 178,018 | 3,982,881 | (28,614 | ) | ||||||||||
JPMorgan Chase | (992,174 | ) | 992,174 | — | — | |||||||||||
UBS AG | (11,827 | ) | — | — | (11,827 | ) | ||||||||||
$ | (5,876,277 | ) | ||||||||||||||
(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.
A56
DIVERSIFIED BOND PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES
(Unaudited)
as of June 30, 2015
ASSETS | ||||
Investments at value, including securities on loan of $36,993,201: | ||||
Unaffiliated investments (cost $914,914,359) | $ | 933,588,009 | ||
Affiliated investments (cost $136,575,762) | 132,978,708 | |||
Foreign currency, at value (cost $577,622) | 575,092 | |||
Dividends and interest receivable | 9,614,786 | |||
Unrealized appreciation on over-the-counter swap agreements | 3,911,866 | |||
Premium paid for swap agreements | 2,353,616 | |||
Receivable for investments sold | 177,254 | |||
Receivable for Series shares sold | 168,657 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 136,175 | |||
Deposit with Broker | 48,350 | |||
Tax reclaim receivable | 2,265 | |||
Prepaid expenses | 1,235 | |||
Total Assets | 1,083,556,013 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 38,015,140 | |||
Unrealized depreciation on over-the-counter swap agreements | 4,805,324 | |||
Payable for investments purchased | 3,346,405 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 977,294 | |||
Payable for Series shares repurchased | 451,830 | |||
Management fee payable | 340,161 | |||
Accrued expenses and other liabilities | 220,642 | |||
Options written outstanding, at value (premiums received $271,161) | 167,021 | |||
Due to broker—variation margin futures | 111,774 | |||
Payable to custodian | 101,573 | |||
Due to broker—variation margin swaps | 54,113 | |||
Deferred trustees’ fees | 2,087 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 48,594,290 | |||
NET ASSETS | $ | 1,034,961,723 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 937,307,076 | ||
Retained earnings | 97,654,647 | |||
Net assets, June 30, 2015 | $ | 1,034,961,723 | ||
Net asset value and redemption price per share $1,034,961,723 / 89,019,538 outstanding shares of beneficial interest | $ | 11.63 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2015
NET INVESTMENT INCOME | ||||
INCOME | ||||
Interest income (net of foreign withholding taxes of $10,391) | $ | 20,368,323 | ||
Affiliated dividend income | 631,695 | |||
Unaffiliated dividend income | 44,297 | |||
Affiliated income from securities lending, net | 34,288 | |||
Total income | 21,078,603 | |||
EXPENSES | ||||
Management fee | 2,111,010 | |||
Custodian and accounting fees | 107,000 | |||
Shareholders’ reports | 53,000 | |||
Audit fee | 23,000 | |||
Trustees’ fees | 10,000 | |||
Insurance expenses | 7,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Legal fees and expenses | 5,000 | |||
Loan Interest expense | 44 | |||
Miscellaneous | 11,438 | |||
Total expenses | 2,333,492 | |||
NET INVESTMENT INCOME | 18,745,111 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | (152,684 | ) | ||
Futures transactions | 2,289,912 | |||
Options written transactions | 385,971 | |||
Forward rate agreement transactions | 30,908 | |||
Swap agreement transactions | (5,108,142 | ) | ||
Foreign currency transactions | 8,704,074 | |||
6,150,039 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated: $1,076,473) | (22,706,673 | ) | ||
Futures | (4,043,613 | ) | ||
Options written | 25,010 | |||
Swap agreements | (323,852 | ) | ||
Foreign currencies | (633,283 | ) | ||
(27,682,411 | ) | |||
NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (21,532,372 | ) | ||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (2,787,261 | ) | |
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2015 | Year Ended December 31, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 18,745,111 | $ | 40,596,712 | ||||
Net realized gain on investment and foreign currency transactions | 6,150,039 | 19,370,419 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (27,682,411 | ) | 16,033,794 | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (2,787,261 | ) | 76,000,925 | |||||
DISTRIBUTIONS | — | (11,827,554 | ) | |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [867,418 and 2,077,773 shares, respectively] | 10,256,322 | 23,745,718 | ||||||
Series shares issued in reinvestment of distributions [0 and 1,060,767 shares, respectively] | — | 11,827,554 | ||||||
Series shares repurchased [3,424,936 and 20,335,487 shares, respectively] | (40,379,351 | ) | (229,380,709 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (30,123,029 | ) | (193,807,437 | ) | ||||
TOTAL DECREASE | (32,910,290 | ) | (129,634,066 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 1,067,872,013 | 1,197,506,079 | ||||||
End of period | $ | 1,034,961,723 | $ | 1,067,872,013 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A57
EQUITY PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
LONG-TERM INVESTMENTS — 97.3% | Value (Note 2) | |||||||
COMMON STOCKS | Shares | |||||||
Aerospace & Defense — 1.1% |
| |||||||
Boeing Co. (The) | 306,179 | $ | 42,473,151 | |||||
Airlines — 0.4% |
| |||||||
United Continental Holdings, Inc.* | 290,395 | 15,393,839 | ||||||
Auto Components — 1.0% |
| |||||||
Lear Corp. | 359,100 | 40,312,566 | ||||||
Automobiles — 1.5% |
| |||||||
General Motors Co. | 563,186 | 18,770,989 | ||||||
Tesla Motors, Inc.*(a) | 151,223 | 40,567,082 | ||||||
59,338,071 | ||||||||
Banks — 6.8% |
| |||||||
Bank of America Corp. | 2,500,404 | 42,556,876 | ||||||
Citigroup, Inc. | 996,883 | 55,067,817 | ||||||
JPMorgan Chase & Co. | 949,886 | 64,364,276 | ||||||
PNC Financial Services Group, Inc. (The) | 464,799 | 44,458,024 | ||||||
Wells Fargo & Co. | 1,156,205 | 65,024,969 | ||||||
271,471,962 | ||||||||
Biotechnology — 5.2% |
| |||||||
Alexion Pharmaceuticals, Inc.* | 227,284 | 41,086,129 | ||||||
Biogen, Inc.* | 155,653 | 62,874,473 | ||||||
Celgene Corp.* | 302,755 | 35,039,350 | ||||||
Gilead Sciences, Inc. | 313,395 | 36,692,286 | ||||||
Regeneron Pharmaceuticals, Inc.* | 67,428 | 34,397,046 | ||||||
210,089,284 | ||||||||
Capital Markets — 3.0% |
| |||||||
Goldman Sachs Group, Inc. (The) | 224,319 | 46,835,564 | ||||||
Morgan Stanley | 1,893,713 | 73,457,127 | ||||||
120,292,691 | ||||||||
Chemicals — 1.2% |
| |||||||
FMC Corp. | 623,781 | 32,779,692 | ||||||
Monsanto Co. | 135,999 | 14,496,133 | ||||||
47,275,825 | ||||||||
Communications Equipment — 0.8% |
| |||||||
Brocade Communications Systems, Inc. | 2,772,634 | 32,938,892 | ||||||
Consumer Finance — 2.1% |
| |||||||
Capital One Financial Corp. | 478,764 | 42,116,869 | ||||||
SLM Corp.* | 4,118,457 | 40,649,171 | ||||||
82,766,040 | ||||||||
Diversified Financial Services — 0.8% |
| |||||||
Voya Financial, Inc. | 660,352 | 30,686,557 | ||||||
Electric Utilities — 1.0% |
| |||||||
FirstEnergy Corp. | 1,224,023 | 39,841,949 | ||||||
Electrical Equipment — 1.1% |
| |||||||
Eaton Corp. PLC | 670,542 | 45,254,880 | ||||||
Electronic Equipment, Instruments & Components — 0.5% |
| |||||||
Fitbit, Inc. (Class A Stock)*(a) | 14,076 | 538,125 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Electronic Equipment, Instruments & Components (continued) |
| |||||||
Flextronics International Ltd.* | 1,844,886 | $ | 20,865,661 | |||||
21,403,786 | ||||||||
Energy Equipment & Services — 1.5% |
| |||||||
Halliburton Co. | 754,934 | 32,515,007 | ||||||
Schlumberger Ltd. | 303,800 | 26,184,522 | ||||||
58,699,529 | ||||||||
Food & Staples Retailing — 1.7% |
| |||||||
Costco Wholesale Corp. | 282,311 | 38,128,924 | ||||||
Kroger Co. (The)(a) | 417,992 | 30,308,600 | ||||||
68,437,524 | ||||||||
Food Products — 2.5% |
| |||||||
Bunge Ltd. | 443,108 | 38,904,883 | ||||||
Mondelez International, Inc. (Class A Stock) | 1,514,117 | 62,290,773 | ||||||
101,195,656 | ||||||||
Health Care Equipment & Supplies — 0.5% |
| |||||||
Zimmer Biomet Holdings, Inc. | 182,030 | 19,883,137 | ||||||
Hotels, Restaurants & Leisure — 3.9% |
| |||||||
Carnival Corp. | 1,106,810 | 54,665,346 | ||||||
Marriott International, Inc. (Class A Stock)(a) | 540,209 | 40,186,148 | ||||||
Starbucks Corp. | 1,170,786 | 62,771,691 | ||||||
157,623,185 | ||||||||
Insurance — 1.7% |
| |||||||
MetLife, Inc. | 855,760 | 47,914,002 | ||||||
Travelers Cos., Inc. (The) | 223,666 | 21,619,556 | ||||||
69,533,558 | ||||||||
Internet & Catalog Retail — 5.6% |
| |||||||
Amazon.com, Inc.* | 197,586 | 85,770,107 | ||||||
JD.com, Inc. (China), ADR* | 924,704 | 31,532,406 | ||||||
Netflix, Inc.* | 91,590 | 60,169,135 | ||||||
Priceline Group, Inc. (The)* | 39,522 | 45,504,445 | ||||||
222,976,093 | ||||||||
Internet Software & Services — 8.1% |
| |||||||
Alibaba Group Holding Ltd. (China), ADR* | 340,684 | 28,028,073 | ||||||
Facebook, Inc. (Class A Stock)* | 1,424,115 | 122,139,223 | ||||||
Google, Inc. (Class A Stock)* | 58,391 | 31,533,476 | ||||||
Google, Inc. (Class C Stock)* | 64,305 | 33,471,395 | ||||||
LinkedIn Corp. (Class A Stock)* | 259,465 | 53,613,253 | ||||||
Tencent Holdings Ltd. (China) | 2,770,548 | 55,401,354 | ||||||
324,186,774 | ||||||||
IT Services — 2.9% |
| |||||||
FleetCor Technologies, Inc.* | 267,564 | 41,756,038 | ||||||
MasterCard, Inc. (Class A Stock) | 821,626 | 76,805,598 | ||||||
118,561,636 | ||||||||
Life Sciences Tools & Services — 1.1% |
| |||||||
Illumina, Inc.* | 206,378 | 45,064,700 | ||||||
Machinery — 0.9% |
| |||||||
SPX Corp. | 478,749 | 34,656,640 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A58
EQUITY PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Media — 3.8% |
| |||||||
Comcast Corp. (Class A Stock) | 887,649 | $ | 53,383,211 | |||||
Time Warner, Inc. | 240,467 | 21,019,220 | ||||||
Walt Disney Co. (The) | 672,076 | 76,710,755 | ||||||
151,113,186 | ||||||||
Multi-Utilities — 0.6% | ||||||||
PG&E Corp. | 470,666 | 23,109,701 | ||||||
Multiline Retail — 1.3% | ||||||||
Target Corp. | 628,113 | 51,272,864 | ||||||
Oil, Gas & Consumable Fuels — 4.7% |
| |||||||
Chevron Corp. | 307,390 | 29,653,913 | ||||||
Concho Resources, Inc.* | 288,085 | 32,801,358 | ||||||
Marathon Oil Corp. | 1,177,401 | 31,248,223 | ||||||
Noble Energy, Inc. | 701,485 | 29,939,380 | ||||||
Occidental Petroleum Corp. | 410,422 | 31,918,519 | ||||||
Suncor Energy, Inc. (Canada) | 1,262,075 | 34,760,112 | ||||||
190,321,505 | ||||||||
Pharmaceuticals — 10.8% | ||||||||
AbbVie, Inc. | 337,593 | 22,682,874 | ||||||
Allergan PLC* | 465,125 | 141,146,832 | ||||||
Bayer AG (Germany), ADR | 310,713 | 43,805,872 | ||||||
Bristol-Myers Squibb Co. | 815,373 | 54,254,919 | ||||||
Merck & Co., Inc. | 771,420 | 43,916,941 | ||||||
Pfizer, Inc. | 921,320 | 30,891,860 | ||||||
Shire PLC (Ireland), ADR | 173,933 | 42,003,080 | ||||||
Teva Pharmaceutical Industries Ltd. (Israel), ADR | 892,245 | 52,731,680 | ||||||
431,434,058 | ||||||||
Road & Rail — 0.5% | ||||||||
Hertz Global Holdings, Inc.* | 1,134,552 | 20,558,082 | ||||||
Semiconductors & Semiconductor Equipment — 1.0% |
| |||||||
Applied Materials, Inc. | 2,055,728 | 39,511,092 | ||||||
Software — 5.9% | ||||||||
Adobe Systems, Inc.* | 525,404 | 42,562,978 | ||||||
Microsoft Corp. | 1,148,208 | 50,693,383 | ||||||
Red Hat, Inc.* | 507,601 | 38,542,144 | ||||||
salesforce.com, Inc.* | 724,283 | 50,431,825 | ||||||
Splunk, Inc.*(a) | 471,387 | 32,817,963 | ||||||
Workday, Inc. | 286,207 | 21,863,353 | ||||||
236,911,646 | ||||||||
Specialty Retail — 1.2% | ||||||||
Inditex SA (Spain), ADR | 2,909,759 | 47,225,388 | ||||||
Technology Hardware, Storage & Peripherals — 5.9% |
| |||||||
Apple, Inc. | 1,106,379 | 138,767,586 | ||||||
EMC Corp. | 1,485,306 | 39,197,225 | ||||||
Hewlett-Packard Co. | 1,418,623 | 42,572,876 | ||||||
NCR Corp.* | 554,837 | 16,700,594 | ||||||
237,238,281 | ||||||||
Textiles, Apparel & Luxury Goods — 3.2% |
| |||||||
Coach, Inc. | 424,137 | 14,679,381 | ||||||
NIKE, Inc. (Class B Stock) | 724,749 | 78,287,387 | ||||||
Under Armour, Inc. | 440,665 | 36,769,088 | ||||||
129,735,856 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Wireless Telecommunication Services — 1.5% |
| |||||||
SBA Communications Corp. (Class A Stock)* | 272,157 | $ | 31,289,890 | |||||
Vodafone Group PLC (United Kingdom), ADR | 807,774 | 29,443,363 | ||||||
60,733,253 | ||||||||
TOTAL LONG-TERM INVESTMENTS |
| 3,899,522,837 | ||||||
SHORT-TERM INVESTMENT — 4.9% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $194,865,661; includes $94,663,514 of cash collateral for securities on loan)(Note 4)(b)(c) | 194,865,661 | 194,865,661 | ||||||
TOTAL INVESTMENTS — 102.2% |
| 4,094,388,498 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.2)% |
| (88,086,181 | ) | |||||
NET ASSETS — 100.0% |
| $ | 4,006,302,317 | |||||
See the Glossary for abbreviations used in the Portfolio descriptions.
* | 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 $93,785,223; cash collateral of $94,663,514 (included in liabilities) was received with which the Portfolio 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 the last business day of the reporting period. Collateral was subsequently received on the following business day and the Fund 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. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1—quoted | prices generally in active markets for identical securities. |
Level 2—quoted | prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3—unobservable | inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A59
EQUITY PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 42,473,151 | $ | — | $ | — | ||||||
Airlines | 15,393,839 | — | — | |||||||||
Auto Components | 40,312,566 | — | — | |||||||||
Automobiles | 59,338,071 | — | — | |||||||||
Banks | 271,471,962 | — | — | |||||||||
Biotechnology | 210,089,284 | — | — | |||||||||
Capital Markets | 120,292,691 | — | — | |||||||||
Chemicals | 47,275,825 | — | — | |||||||||
Communications Equipment | 32,938,892 | — | — | |||||||||
Consumer Finance | 82,766,040 | — | — | |||||||||
Diversified Financial Services | 30,686,557 | — | — | |||||||||
Electric Utilities | 39,841,949 | — | — | |||||||||
Electrical Equipment | 45,254,880 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 21,403,786 | — | — | |||||||||
Energy Equipment & Services | 58,699,529 | — | — | |||||||||
Food & Staples Retailing | 68,437,524 | — | — | |||||||||
Food Products | 101,195,656 | — | — | |||||||||
Health Care Equipment & Supplies | 19,883,137 | — | — | |||||||||
Hotels, Restaurants & Leisure | 157,623,185 | — | — | |||||||||
Insurance | 69,533,558 | — | — | |||||||||
Internet & Catalog Retail | 222,976,093 | — | — | |||||||||
Internet Software & Services | 268,785,420 | 55,401,354 | — | |||||||||
IT Services | 118,561,636 | — | — | |||||||||
Life Sciences Tools & Services | 45,064,700 | — | — | |||||||||
Machinery | 34,656,640 | — | — | |||||||||
Media | 151,113,186 | — | — | |||||||||
Multi-Utilities | 23,109,701 | — | — | |||||||||
Multiline Retail | 51,272,864 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 190,321,505 | — | — | |||||||||
Pharmaceuticals | 431,434,058 | — | — | |||||||||
Road & Rail | 20,558,082 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 39,511,092 | — | — | |||||||||
Software | 236,911,646 | — | — | |||||||||
Specialty Retail | 47,225,388 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 237,238,281 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 129,735,856 | — | — | |||||||||
Wireless Telecommunication Services | 60,733,253 | — | — | |||||||||
Affiliated Money Market Mutual Fund | 194,865,661 | — | — | |||||||||
Total | $ | 4,038,987,144 | $ | 55,401,354 | $ | — | ||||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:
Pharmaceuticals | 10.8 | % | ||
Internet Software & Services | 8.1 | |||
Banks | 6.8 | |||
Technology Hardware, Storage & Peripherals | 5.9 | |||
Software | 5.9 | |||
Internet & Catalog Retail | 5.6 | |||
Biotechnology | 5.2 | |||
Affiliated Money Market Mutual Fund (including 2.4% of collateral for securities on loan) | 4.9 | |||
Oil, Gas & Consumable Fuels | 4.7 | |||
Hotels, Restaurants & Leisure | 3.9 | |||
Media | 3.8 | |||
Textiles, Apparel & Luxury Goods | 3.2 | |||
Capital Markets | 3.0 |
IT Services | 2.9 | % | ||
Food Products | 2.5 | |||
Consumer Finance | 2.1 | |||
Insurance | 1.7 | |||
Food & Staples Retailing | 1.7 | |||
Wireless Telecommunication Services | 1.5 | |||
Automobiles | 1.5 | |||
Energy Equipment & Services | 1.5 | |||
Multiline Retail | 1.3 | |||
Chemicals | 1.2 | |||
Specialty Retail | 1.2 | |||
Electrical Equipment | 1.1 | |||
Life Sciences Tools & Services | 1.1 | |||
Aerospace & Defense | 1.1 |
SEE NOTES TO FINANCIAL STATEMENTS.
A60
EQUITY PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Industry table (cont.) | ||||
Auto Components | 1.0 | % | ||
Electric Utilities | 1.0 | |||
Semiconductors & Semiconductor Equipment | 1.0 | |||
Machinery | 0.9 | |||
Communications Equipment | 0.8 | |||
Diversified Financial Services | 0.8 | |||
Multi-Utilities | 0.6 |
Electronic Equipment, Instruments & Components | 0.5 | % | ||
Road & Rail | 0.5 | |||
Health Care Equipment & Supplies | 0.5 | |||
Airlines | 0.4 | |||
102.2 | ||||
Liabilities in excess of other assets | (2.2 | ) | ||
100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A61
EQUITY PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES (Unaudited)
as of June 30, 2015
ASSETS | ||||
Investments at value, including securities on loan of $93,785,223: | ||||
Unaffiliated investments (cost $2,640,296,681) | $ | 3,899,522,837 | ||
Affiliated investments (cost $194,865,661) | 194,865,661 | |||
Receivable for investments sold | 3,974,313 | |||
Dividends and interest receivable | 3,397,744 | |||
Tax reclaim receivable | 1,998,511 | |||
Prepaid expenses | 4,683 | |||
Total assets | 4,103,763,749 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 94,663,514 | |||
Management fee payable | 1,504,143 | |||
Payable for Series shares repurchased | 1,023,129 | |||
Accrued expenses and other liabilities | 268,787 | |||
Affiliated transfer agent fee payable | 926 | |||
Deferred trustees’ fees | 511 | |||
Distribution fee payable | 422 | |||
Total liabilities | 97,461,432 | |||
NET ASSETS | $ | 4,006,302,317 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 2,012,688,949 | ||
Retained earnings | 1,993,613,368 | |||
Net assets, June 30, 2015 | $ | 4,006,302,317 | ||
Class I: | ||||
Net asset value and redemption price per share $4,004,300,423 / 100,635,098 outstanding shares of beneficial interest | $ | 39.79 | ||
Class II: | ||||
Net asset value and redemption price per share $2,001,894 / 50,275 outstanding shares of beneficial interest | $ | 39.82 | ||
STATEMENT OF OPERATIONS (Unaudited)
Six Months Ended June 30, 2015
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $565,231) | $ | 26,662,728 | ||
Affiliated income from securities lending, net | 141,448 | |||
Affiliated dividend income | 80,086 | |||
Total income | 26,884,262 | |||
EXPENSES | ||||
Management fee | 8,998,262 | |||
Distribution fee—Class II | 2,601 | |||
Administration fee—Class II | 1,561 | |||
Custodian and accounting fees | 220,000 | |||
Shareholders’ reports | 113,000 | |||
Insurance expenses | 27,000 | |||
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 | 15,072 | |||
Total expenses | 9,425,496 | |||
NET INVESTMENT INCOME | 17,458,766 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 43,569,064 | |||
Foreign currency transactions | (58,627 | ) | ||
43,510,437 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 65,993,262 | |||
Foreign currencies | (95,524 | ) | ||
65,897,738 | ||||
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 109,408,175 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 126,866,941 | ||
STATEMENT OF CHANGES IN NET ASSETS (Unaudited)
Six Months Ended June 30, 2015 | Year Ended December 31, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 17,458,766 | $ | 20,780,578 | ||||
Net realized gain on investment and foreign currency transactions | 43,510,437 | 365,889,333 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 65,897,738 | (92,188,862 | ) | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 126,866,941 | 294,481,049 | ||||||
SERIES SHARE TRANSACTIONS (Note 7) | ||||||||
Series shares sold | 5,475,644 | 12,816,469 | ||||||
Series shares repurchased | (145,838,191 | ) | (260,744,091 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (140,362,547 | ) | (247,927,622 | ) | ||||
TOTAL INCREASE (DECREASE) | (13,495,606 | ) | 46,553,427 | |||||
NET ASSETS: | ||||||||
Beginning of period | 4,019,797,923 | 3,973,244,496 | ||||||
End of period | $ | 4,006,302,317 | $ | 4,019,797,923 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A62
FLEXIBLE MANAGED PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
LONG-TERM INVESTMENTS — 92.0% | ||||||||
COMMON STOCKS — 61.9% | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 1.9% | ||||||||
Airbus Group NV (France) | 13,567 | $ | 883,720 | |||||
BAE Systems PLC (United Kingdom) | 48,072 | 340,609 | ||||||
General Dynamics Corp. | 130,900 | 18,547,221 | ||||||
Huntington Ingalls Industries, Inc. | 65,900 | 7,419,681 | ||||||
L-3 Communications Holdings, Inc. | 8,000 | 907,040 | ||||||
Lockheed Martin Corp. | 92,100 | 17,121,390 | ||||||
Northrop Grumman Corp. | 96,400 | 15,291,932 | ||||||
Raytheon Co. | 127,000 | 12,151,360 | ||||||
Safran SA (France) | 3,677 | 249,887 | ||||||
72,912,840 | ||||||||
Air Freight & Logistics — 0.8% | ||||||||
FedEx Corp. | 86,400 | 14,722,560 | ||||||
Royal Mail PLC (United Kingdom) | 9,010 | 72,841 | ||||||
United Parcel Service, Inc. | 175,000 | 16,959,250 | ||||||
31,754,651 | ||||||||
Airlines — 0.4% | ||||||||
Cathay Pacific Airways Ltd. (Hong Kong) | 397,000 | 975,393 | ||||||
easyJet PLC (United Kingdom) | 2,175 | 52,871 | ||||||
International Consolidated Airlines Group SA (United Kingdom)* | 11,080 | 86,441 | ||||||
Japan Airlines Co. Ltd. (Japan) | 1,600 | 55,759 | ||||||
Ryanair Holdings PLC (Ireland) ADR | 13,500 | 963,225 | ||||||
Singapore Airlines Ltd. (Singapore) | 7,200 | 57,327 | ||||||
Southwest Airlines Co. | 410,600 | 13,586,754 | ||||||
15,777,770 | ||||||||
Auto Components — 0.3% | ||||||||
Bridgestone Corp. (Japan) | 1,500 | 55,444 | ||||||
Cie Generale des Etablissements Michelin (France) | 10,823 | 1,138,840 | ||||||
Continental AG (Germany) | 842 | 199,367 | ||||||
Johnson Controls, Inc. | 177,100 | 8,771,763 | ||||||
NHK Spring Co. Ltd. (Japan) | 86,800 | 955,700 | ||||||
NOK Corp. (Japan) | 31,400 | 972,891 | ||||||
Valeo SA (France) | 1,030 | 162,929 | ||||||
12,256,934 | ||||||||
Automobiles — 0.3% | ||||||||
Daimler AG (Germany) | 22,808 | 2,077,713 | ||||||
Fiat Chrysler Automobiles NV (United Kingdom)* | 12,193 | 178,874 | ||||||
Fuji Heavy Industries Ltd. (Japan) | 8,300 | 305,198 | ||||||
Peugeot SA (France)* | 57,600 | 1,187,821 | ||||||
Renault SA (France) | 2,590 | 271,555 | ||||||
Thor Industries, Inc. | 88,000 | 4,952,640 | ||||||
Toyota Motor Corp. (Japan) | 34,900 | 2,335,413 | ||||||
Volkswagen AG (Germany) | 487 | 112,763 | ||||||
11,421,977 | ||||||||
Banks — 4.0% | ||||||||
Aozora Bank Ltd. (Japan) | 16,000 | 60,368 | ||||||
Australia & New Zealand Banking Group Ltd. (Australia) | 38,862 | 964,446 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks (continued) | ||||||||
Banco Santander SA (Spain) | 325,341 | $ | 2,288,459 | |||||
Bank Hapoalim BM (Israel) | 193,670 | 1,042,323 | ||||||
Bank Leumi Le-Israel BM (Israel)* | 58,203 | 245,937 | ||||||
Bank of America Corp. | 2,001,100 | 34,058,722 | ||||||
Bank of Kyoto Ltd. (The) (Japan) | 4,000 | 46,013 | ||||||
Bank of Yokohama Ltd. (The) (Japan) | 16,000 | 97,984 | ||||||
Barclays PLC (United Kingdom) | 6,055 | 24,817 | ||||||
BOC Hong Kong Holdings Ltd. (Hong Kong) | 51,000 | 212,265 | ||||||
Chiba Bank Ltd. (The) (Japan) | 10,000 | 76,148 | ||||||
Citigroup, Inc. | 245,550 | 13,564,182 | ||||||
Commonwealth Bank of Australia (Australia) | 7,976 | 523,043 | ||||||
Credit Agricole SA (France) | 14,380 | 214,693 | ||||||
Danske Bank A/S (Denmark) | 9,084 | 267,042 | ||||||
DNB ASA (Norway) | 69,982 | 1,165,453 | ||||||
Fukuoka Financial Group, Inc. (Japan) | 11,000 | 57,014 | ||||||
HSBC Holdings PLC (United Kingdom) | 265,527 | 2,377,624 | ||||||
ING Groep NV (Netherlands), CVA | 53,179 | 883,059 | ||||||
Intesa Sanpaolo SpA (Italy) | 9,749 | 31,125 | ||||||
JPMorgan Chase & Co. | 698,694 | 47,343,505 | ||||||
KBC Groep NV (Belgium) | 18,127 | 1,215,204 | ||||||
KeyCorp | 431,100 | 6,475,122 | ||||||
Lloyds Banking Group PLC (United Kingdom) | 30,523 | 40,968 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 342,400 | 2,463,385 | ||||||
Mizuho Financial Group, Inc. (Japan) | 842,000 | 1,821,863 | ||||||
Nordea Bank AB (Sweden) | 41,917 | 522,779 | ||||||
Oversea-Chinese Banking Corp. Ltd. (Singapore) | 58,278 | 440,113 | ||||||
Regions Financial Corp. | 1,321,200 | 13,687,632 | ||||||
Resona Holdings, Inc. (Japan) | 196,300 | 1,070,645 | ||||||
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock) | 96,297 | 1,231,768 | ||||||
Societe Generale SA (France) | 6,754 | 316,924 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 42,900 | 1,909,874 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. (Japan) | 88,000 | 402,565 | ||||||
Svenska Handelsbanken AB (Sweden) (Class A Stock) | 82,575 | 1,205,451 | ||||||
U.S. Bancorp | 49,800 | 2,161,320 | ||||||
Wells Fargo & Co. | 280,112 | 15,753,499 | ||||||
Westpac Banking Corp. (Australia) | 5,892 | 145,780 | ||||||
156,409,114 | ||||||||
Beverages — 1.7% | ||||||||
Anheuser-Busch InBev NV (Belgium) | 4,652 | 559,825 | ||||||
Carlsberg A/S (Denmark) (Class B Stock) | 5,493 | 497,697 | ||||||
Coca-Cola Co. (The) | 437,700 | 17,170,971 |
SEE NOTES TO FINANCIAL STATEMENTS.
A63
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Beverages (continued) | ||||||||
Coca-Cola Enterprises, Inc. | 71,700 | $ | 3,114,648 | |||||
Diageo PLC (United Kingdom) | 19,458 | 563,496 | ||||||
Dr. Pepper Snapple Group, Inc. | 19,600 | 1,428,840 | ||||||
Heineken Holding NV (Netherlands) | 630 | 44,157 | ||||||
Heineken NV (Netherlands) | 3,099 | 235,609 | ||||||
Monster Beverage Corp.* | 59,300 | 7,947,386 | ||||||
PepsiCo, Inc. | 353,620 | 33,006,891 | ||||||
Pernod Ricard SA (France) | 2,247 | 259,759 | ||||||
SABMiller PLC (United Kingdom) | 13,646 | 707,546 | ||||||
65,536,825 | ||||||||
Biotechnology — 2.3% | ||||||||
Amgen, Inc. | 138,008 | 21,186,988 | ||||||
Biogen Idec, Inc.* | 65,300 | 26,377,282 | ||||||
Celgene Corp.* | 38,200 | 4,421,077 | ||||||
Gilead Sciences, Inc. | 240,100 | 28,110,908 | ||||||
Regeneron Pharmaceuticals, Inc.*(a) | 14,300 | 7,294,859 | ||||||
87,391,114 | ||||||||
Building Products — 0.2% | ||||||||
A.O. Smith Corp. | 90,000 | 6,478,200 | ||||||
Asahi Glass Co. Ltd. (Japan) | 40,000 | 240,141 | ||||||
Daikin Industries Ltd. (Japan) | 3,200 | 230,043 | ||||||
Fortune Brands Home & Security, Inc. | 32,600 | 1,493,732 | ||||||
8,442,116 | ||||||||
Capital Markets — 1.6% | ||||||||
3i Group PLC (United Kingdom) | 150,630 | 1,222,233 | ||||||
Bank of New York Mellon Corp. (The) | 352,700 | 14,802,819 | ||||||
Franklin Resources, Inc. | 266,000 | 13,041,980 | ||||||
Goldman Sachs Group, Inc. (The) | 122,000 | 25,472,380 | ||||||
Macquarie Group Ltd. (Australia) | 21,877 | 1,370,714 | ||||||
Mediobanca SpA (Italy) | 8,467 | 83,016 | ||||||
Nomura Holdings, Inc. (Japan) | 50,700 | 342,319 | ||||||
Schroders PLC (United Kingdom) | 1,690 | 84,325 | ||||||
State Street Corp. | 73,800 | 5,682,600 | ||||||
UBS Group AG (Switzerland) | 37,770 | 801,346 | ||||||
62,903,732 | ||||||||
Chemicals — 1.5% | ||||||||
Asahi Kasei Corp. (Japan) | 26,000 | 213,267 | ||||||
BASF SE (Germany) | 12,793 | 1,125,696 | ||||||
Cabot Corp. | 82,100 | 3,061,509 | ||||||
Celanese Corp. Series A | 28,500 | 2,048,580 | ||||||
Daicel Corp. (Japan) | 3,800 | 48,762 | ||||||
Evonik Industries AG (Germany) | 1,286 | 49,104 | ||||||
Givaudan SA (Switzerland) | 110 | 190,444 | ||||||
Hitachi Chemical Co. Ltd. (Japan) | 1,500 | 27,017 | ||||||
JSR Corp. (Japan) | 2,500 | 44,133 | ||||||
K+S AG (Germany) | 31,791 | 1,340,560 | ||||||
Kaneka Corp. (Japan) | 4,000 | 29,212 | ||||||
Kuraray Co. Ltd. (Japan) | 24,500 | 299,276 | ||||||
LyondellBasell Industries NV (Netherlands) (Class A Stock) | 208,200 | 21,552,864 | ||||||
Mitsubishi Chemical Holdings Corp. (Japan) | 7,400 | 46,521 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Chemicals (continued) | ||||||||
Mitsubishi Gas Chemical Co., Inc. (Japan) | 5,000 | $ | 27,996 | |||||
Mosaic Co. (The) | 287,300 | 13,460,005 | ||||||
Nippon Paint Holdings Co. Ltd. (Japan) | 2,100 | 59,179 | ||||||
Nitto Denko Corp. (Japan) | 2,200 | 180,669 | ||||||
Sherwin-Williams Co. (The) | 50,300 | 13,833,506 | ||||||
Sumitomo Chemical Co. Ltd. (Japan) | 21,000 | 126,177 | ||||||
Symrise AG (Germany) | 1,691 | 105,020 | ||||||
Yara International ASA (Norway) | 21,563 | 1,123,608 | ||||||
58,993,105 | ||||||||
Commercial Services & Supplies | ||||||||
Secom Co. Ltd. (Japan) | 2,200 | 142,924 | ||||||
Societe BIC SA (France) | 2,934 | 467,749 | ||||||
Toppan Printing Co. Ltd. (Japan) | 6,000 | 50,160 | ||||||
660,833 | ||||||||
Communications Equipment — 1.0% |
| |||||||
Brocade Communications Systems, Inc. | 247,800 | 2,943,864 | ||||||
Cisco Systems, Inc. | 1,027,900 | 28,226,134 | ||||||
F5 Networks, Inc.* | 24,400 | 2,936,540 | ||||||
Juniper Networks, Inc. | 58,900 | 1,529,633 | ||||||
QUALCOMM, Inc. | 25,800 | 1,615,854 | ||||||
37,252,025 | ||||||||
Construction & Engineering — 0.1% |
| |||||||
Ferrovial SA (Spain) | 47,939 | 1,041,546 | ||||||
Kajima Corp. (Japan) | 12,000 | 56,361 | ||||||
Obayashi Corp. (Japan) | 9,000 | 65,629 | ||||||
Skanska AB (Sweden) (Class B Stock) | 33,649 | 681,865 | ||||||
Taisei Corp. (Japan) | 21,000 | 120,561 | ||||||
1,965,962 | ||||||||
Construction Materials — 0.1% | ||||||||
HeidelbergCement AG (Germany) | 429 | 34,001 | ||||||
Imerys SA (France) | 469 | 35,979 | ||||||
Vulcan Materials Co. | 47,900 | 4,020,247 | ||||||
4,090,227 | ||||||||
Consumer Finance — 0.2% | ||||||||
Discover Financial Services | 101,800 | 5,865,716 | ||||||
Synchrony Financial*(a) | 83,000 | 2,733,190 | ||||||
8,598,906 | ||||||||
Containers & Packaging — 0.1% | ||||||||
Packaging Corp of America | 44,000 | 2,749,560 | ||||||
Rexam PLC (United Kingdom) | 83,940 | 728,011 | ||||||
3,477,571 | ||||||||
Diversified Financial Services — 1.0% |
| |||||||
Berkshire Hathaway, Inc. | 271,000 | 36,885,810 | ||||||
Industrivarden AB (Sweden) | 2,268 | 42,742 | ||||||
Investment AB Kinnevik (Sweden) | 3,221 | 101,880 | ||||||
Investor AB (Sweden) | 6,188 | 230,724 |
SEE NOTES TO FINANCIAL STATEMENTS.
A64
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Diversified Financial Services (continued) |
| |||||||
MSCI, Inc. | 12,100 | $ | 744,755 | |||||
ORIX Corp. (Japan) | 55,200 | 819,691 | ||||||
38,825,602 | ||||||||
Diversified Telecommunication Services — 1.4% |
| |||||||
AT&T, Inc. | 376,247 | 13,364,294 | ||||||
BT Group PLC (United Kingdom) | 156,956 | 1,111,452 | ||||||
Deutsche Telekom AG (Germany) | 67,900 | 1,170,618 | ||||||
Nippon Telegraph & Telephone Corp. (Japan) | 39,600 | 1,434,144 | ||||||
Telecom Italia SpA (Italy) | 1,093,202 | 1,114,808 | ||||||
Telecom Italia SpA (Italy)*(a) | 964,458 | 1,225,647 | ||||||
Telstra Corp. Ltd. (Australia) | 60,379 | 285,747 | ||||||
Verizon Communications, Inc. | 741,588 | 34,565,417 | ||||||
54,272,127 | ||||||||
Electric Utilities — 0.7% | ||||||||
American Electric Power Co., Inc. | 42,800 | 2,267,116 | ||||||
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong) | 124,000 | 962,538 | ||||||
Chubu Electric Power Co., Inc. (Japan) | 9,000 | 134,137 | ||||||
Chugoku Electric Power Co., Inc. (The) (Japan) | 4,200 | 61,267 | ||||||
EDP-Energias de Portugal SA (Portugal) | 31,305 | 119,272 | ||||||
Electricite de France (France) | 35,867 | 802,297 | ||||||
Endesa SA (Spain) | 4,398 | 84,229 | ||||||
Enel SpA (Italy) | 13,060 | 59,192 | ||||||
Entergy Corp. | 154,500 | 10,892,250 | ||||||
FirstEnergy Corp. | 29,600 | 963,480 | ||||||
Fortum OYJ (Finland) | 55,223 | 981,037 | ||||||
Hokuriku Electric Power Co. (Japan) | 1,700 | 25,323 | ||||||
Kansai Electric Power Co., Inc. (The) (Japan)* | 9,900 | 109,598 | ||||||
Kyushu Electric Power Co., Inc. | 6,000 | 69,564 | ||||||
Power Assets Holdings Ltd. (Hong Kong) | 19,500 | 177,789 | ||||||
PPL Corp. | 315,700 | 9,303,679 | ||||||
Shikoku Electric Power Co., Inc. (Japan) | 2,500 | 37,425 | ||||||
Tohoku Electric Power Co., Inc. (Japan) | 6,400 | 86,653 | ||||||
Tokyo Electric Power Co., Inc. (Japan)* | 20,000 | 108,958 | ||||||
27,245,804 | ||||||||
Electrical Equipment — 0.3% | ||||||||
Acuity Brands, Inc. | 33,800 | 6,083,324 | ||||||
Babcock & Wilcox Co. (The) | 53,800 | 1,764,640 | ||||||
Fuji Electric Co. Ltd. (Japan) | 6,000 | 25,806 | ||||||
Mitsubishi Electric Corp. (Japan) | 106,000 | 1,368,746 | ||||||
OSRAM Licht AG (Germany) | 19,423 | 929,213 | ||||||
Vestas Wind Systems A/S (Denmark) | 21,544 | 1,073,829 | ||||||
11,245,558 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Electronic Equipment, Instruments & Components — 0.3% |
| |||||||
CDW Corp. | 28,400 | $ | 973,552 | |||||
Citizen Holdings Co. Ltd. (Japan) | 2,700 | 18,837 | ||||||
Ibiden Co. Ltd. (Japan) | 53,900 | 911,525 | ||||||
Jabil Circuit, Inc. | 270,500 | 5,758,945 | ||||||
Keyence Corp. (Japan) | 1,500 | 808,466 | ||||||
Kyocera Corp. (Japan) | 2,200 | 114,384 | ||||||
Murata Manufacturing Co. Ltd. (Japan) | 10,700 | 1,867,315 | ||||||
TDK Corp. (Japan) | 1,700 | 130,173 | ||||||
10,583,197 | ||||||||
Energy Equipment & Services — 0.8% | ||||||||
Atwood Oceanics, Inc. | 31,500 | 832,860 | ||||||
Cameron International Corp.* | 172,400 | 9,028,588 | ||||||
Schlumberger Ltd. | 232,100 | 20,004,699 | ||||||
Transocean Ltd.(a) | 4,986 | 80,832 | ||||||
29,946,979 | ||||||||
Food & Staples Retailing — 1.3% | ||||||||
Casino Guichard Perrachon SA (France) | 789 | 59,887 | ||||||
CVS Health Corp. | 30,200 | 3,167,376 | ||||||
Distribuidora Internacional de Alimentacion SA (Spain) | 122,384 | 937,901 | ||||||
ICA Gruppen AB (Sweden) | 6,834 | 242,451 | ||||||
J. Sainsbury PLC (United Kingdom) | 145,840 | 607,088 | ||||||
Koninklijke Ahold NV (Netherlands) | 18,921 | 355,198 | ||||||
Kroger Co. (The) | 238,700 | 17,308,137 | ||||||
METRO AG (Germany) | 7,699 | 243,167 | ||||||
Olam International Ltd. (Singapore) | 107,100 | 149,455 | ||||||
Wal-Mart Stores, Inc. | 346,900 | 24,605,617 | ||||||
Wesfarmers Ltd. (Australia) | 21,992 | 661,370 | ||||||
Whole Foods Market, Inc. | 17,300 | 682,312 | ||||||
WM Morrison Supermarkets PLC (United Kingdom) | 269,123 | 763,975 | ||||||
49,783,934 | ||||||||
Food Products — 0.8% | ||||||||
Archer-Daniels-Midland Co. | 327,300 | 15,782,406 | ||||||
Bunge Ltd. | 43,200 | 3,792,960 | ||||||
ConAgra Foods, Inc. | 113,300 | 4,953,476 | ||||||
Lindt & Spruengli AG (Switzerland) | 1 | 62,591 | ||||||
Nestle SA (Switzerland) | 54,141 | 3,906,307 | ||||||
Nippon Meat Packers, Inc. (Japan) | 2,000 | 45,609 | ||||||
Nisshin Seifun Group, Inc. (Japan) | 3,000 | 39,874 | ||||||
Unilever NV (United Kingdom) | 44,221 | 1,848,846 | ||||||
Wilmar International Ltd. (Singapore) | 415,400 | 1,011,036 | ||||||
31,443,105 | ||||||||
Gas Utilities — 0.3% | ||||||||
AGL Resources, Inc. | 165,800 | 7,719,648 | ||||||
Snam SpA (Italy) | 28,766 | 136,898 | ||||||
UGI Corp. | 64,700 | 2,228,915 | ||||||
10,085,461 | ||||||||
Health Care Equipment & Supplies — 1.2% |
| |||||||
Abbott Laboratories | 415,900 | 20,412,372 | ||||||
C.R. Bard, Inc. | 71,100 | 12,136,770 | ||||||
DENTSPLY International, Inc. | 13,100 | 675,305 |
SEE NOTES TO FINANCIAL STATEMENTS.
A65
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Health Care Equipment & Supplies (continued) |
| |||||||
Edwards Lifesciences Corp.* | 17,500 | $ | 2,492,525 | |||||
Hoya Corp. (Japan) | 5,900 | 236,293 | ||||||
Medtronic PLC | 69,300 | 5,135,130 | ||||||
Stryker Corp. | 55,200 | 5,275,464 | ||||||
46,363,859 | ||||||||
Health Care Providers & Services — 2.1% |
| |||||||
Aetna, Inc. | 174,800 | 22,280,008 | ||||||
Alfresa Holdings Corp. (Japan) | 1,900 | 29,566 | ||||||
Anthem, Inc. | 66,300 | 10,882,482 | ||||||
Cigna Corp. | 32,300 | 5,232,600 | ||||||
Express Scripts Holding Co.*(a) | 127,700 | 11,357,638 | ||||||
Fresenius SE & Co. KGaA (Germany) | 5,348 | 343,377 | ||||||
Medipal Holdings Corp. (Japan) | 34,500 | 561,922 | ||||||
Miraca Holdings, Inc. (Japan) | 800 | 39,971 | ||||||
Ryman Healthcare Ltd. | 5,231 | 28,075 | ||||||
Sonic Healthcare Ltd. (Australia) | 65,231 | 1,074,140 | ||||||
Suzuken Co. Ltd. (Japan) | 15,480 | 495,252 | ||||||
UnitedHealth Group, Inc. | 254,100 | 31,000,200 | ||||||
83,325,231 | ||||||||
Hotels, Restaurants & Leisure — 1.1% |
| |||||||
Chipotle Mexican Grill, Inc.* | 5,700 | 3,448,443 | ||||||
Cracker Barrel Old Country Store, Inc.(a) | 5,500 | 820,380 | ||||||
Darden Restaurants, Inc. | 89,800 | 6,382,984 | ||||||
DineEquity, Inc. | 19,700 | 1,952,073 | ||||||
Flight Centre Travel Group Ltd. | 776 | 20,395 | ||||||
Marriott Vacations Worldwide Corp. | 38,700 | 3,550,725 | ||||||
McDonald’s Corp. | 253,300 | 24,081,231 | ||||||
Merlin Entertainments PLC | 9,701 | 65,063 | ||||||
Sodexo SA (France) | 4,040 | 384,600 | ||||||
Tatts Group Ltd. (Australia) | 209,086 | 599,504 | ||||||
Tui AG (Germany) | 6,076 | 98,311 | ||||||
41,403,709 | ||||||||
Household Durables — 0.1% | ||||||||
Barratt Developments PLC | 98,279 | 947,927 | ||||||
Helen of Troy Ltd.* | 30,600 | 2,983,194 | ||||||
Panasonic Corp. (Japan) | 37,800 | 517,717 | ||||||
Persimmon PLC (United Kingdom) | 22,051 | 684,149 | ||||||
Sony Corp. (Japan)* | 16,300 | 462,869 | ||||||
Taylor Wimpey PLC | 43,702 | 127,447 | ||||||
5,723,303 | ||||||||
Household Products — 1.5% | ||||||||
Colgate-Palmolive Co. | 75,900 | 4,964,619 | ||||||
Henkel AG & Co. KGaA (Germany) | 4,488 | 427,958 | ||||||
Kimberly-Clark Corp. | 128,800 | 13,648,936 | ||||||
Procter & Gamble Co. (The) | 470,705 | 36,827,959 | ||||||
Svenska Cellulosa AB SCA (Sweden) (Class B Stock) | 46,818 | 1,190,497 | ||||||
57,059,969 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Independent Power & Renewable Electricity Producers — 0.4% |
| |||||||
AES Corp.(a) | 838,300 | $ | 11,115,858 | |||||
Calpine Corp.*(a) | 196,600 | 3,536,834 | ||||||
Electric Power Development Co. Ltd. (Japan) | 2,000 | 70,652 | ||||||
14,723,344 | ||||||||
Industrial Conglomerates — 1.0% | ||||||||
3M Co. | 148,200 | 22,867,260 | ||||||
Carlisle Cos., Inc. | 19,300 | 1,932,316 | ||||||
CK Hutchison Holdings Ltd. (Hong Kong) | 26,020 | 382,545 | ||||||
Danaher Corp. | 15,300 | 1,309,527 | ||||||
General Electric Co. | 380,000 | 10,096,600 | ||||||
Hopewell Holdings Ltd. (Hong Kong) | 97,000 | 355,140 | ||||||
Keppel Corp. Ltd. (Singapore) | 20,200 | 123,122 | ||||||
Siemens AG (Germany) | 2,200 | 222,578 | ||||||
37,289,088 | ||||||||
Insurance — 1.4% | ||||||||
ACE Ltd. | 12,100 | 1,230,328 | ||||||
Aegon NV (Netherlands) | 23,100 | 170,437 | ||||||
Aflac, Inc. | 138,300 | 8,602,260 | ||||||
Ageas (Belgium) | 9,435 | 364,035 | ||||||
AIA Group Ltd. (Hong Kong) | 7,400 | 48,386 | ||||||
Allianz SE (Germany) | 12,096 | 1,886,388 | ||||||
Allstate Corp. (The) | 126,500 | 8,206,055 | ||||||
American Financial Group, Inc. | 54,400 | 3,538,176 | ||||||
AMP Ltd. (Australia) | 40,633 | 188,550 | ||||||
AXA SA (France) | 62,231 | 1,577,674 | ||||||
Direct Line Insurance Group PLC (United Kingdom) | 18,877 | 99,599 | ||||||
Hannover Rueck SE (Germany) | 10,202 | 987,420 | ||||||
Legal & General Group PLC (United Kingdom) | 299,900 | 1,172,621 | ||||||
MetLife, Inc. | 136,800 | 7,659,432 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) | 2,383 | 422,493 | ||||||
NN Group NV (Netherlands) | 32,650 | 919,500 | ||||||
Old Republic International Corp. | 150,000 | 2,344,500 | ||||||
Prudential PLC (United Kingdom) | 47,549 | 1,145,902 | ||||||
Sampo OYJ (Finland) (Class A Stock) | 1,437 | 67,722 | ||||||
SCOR SE (France) | 2,097 | 74,153 | ||||||
Swiss Life Holding AG (Switzerland) | 2,664 | 610,005 | ||||||
Swiss Re AG (Switzerland) | 13,787 | 1,220,463 | ||||||
Tokio Marine Holdings, Inc. (Japan) | 9,600 | 399,255 | ||||||
Travelers Cos., Inc. (The) | 89,100 | 8,612,406 | ||||||
Unum Group | 108,300 | 3,871,725 | ||||||
55,419,485 | ||||||||
Internet & Catalog Retail — 0.5% | ||||||||
Amazon.com, Inc.* | 3,600 | 1,562,724 | ||||||
Liberty Interactive Corp. QVC Group (Class A Stock)* | 246,600 | 6,843,150 | ||||||
TripAdvisor, Inc.*(a) | 116,300 | 10,134,382 | ||||||
18,540,256 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A66
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Internet Software & Services — 1.5% | ||||||||
eBay, Inc.* | 68,400 | $ | 4,120,416 | |||||
Equinix, Inc. | 11,700 | 2,971,800 | ||||||
Google, Inc. (Class A Stock)* | 31,800 | 17,173,272 | ||||||
Google, Inc. (Class C Stock)* | 62,382 | 32,470,455 | ||||||
Mixi, Inc. (Japan) | 600 | 29,768 | ||||||
56,765,711 | ||||||||
IT Services — 1.6% | ||||||||
Amadeus IT Holding SA (Spain) (Class A Stock) | 13,659 | 545,271 | ||||||
Atos SE (France) | 410 | 30,637 | ||||||
Automatic Data Processing, Inc. | 127,000 | 10,189,210 | ||||||
Booz Allen Hamilton Holding Corp. | 87,700 | 2,213,548 | ||||||
Broadridge Financial Solutions, Inc. | 43,000 | 2,150,430 | ||||||
Cap Gemini SA (France) | 12,887 | 1,143,292 | ||||||
DST Systems, Inc. | 53,100 | 6,689,538 | ||||||
Fiserv, Inc.*(a) | 116,600 | 9,657,978 | ||||||
International Business Machines Corp. | 33,500 | 5,449,110 | ||||||
MAXIMUS, Inc. | 39,100 | 2,570,043 | ||||||
NTT Data Corp. (Japan) | 1,800 | 78,607 | ||||||
Syntel, Inc.* | 16,300 | 773,924 | ||||||
Total System Services, Inc. | 32,900 | 1,374,233 | ||||||
Visa, Inc. (Class A Stock)(a) | 272,800 | 18,318,520 | ||||||
61,184,341 | ||||||||
Leisure Products — 0.1% | ||||||||
Bandai Namco Holdings, Inc. (Japan) | 2,400 | 46,379 | ||||||
Brunswick Corp. | 97,400 | 4,953,764 | ||||||
Sega Sammy Holdings, Inc. (Japan) | 2,600 | 33,996 | ||||||
Shimano, Inc. (Japan) | 1,100 | 150,106 | ||||||
5,184,245 | ||||||||
Life Sciences Tools & Services — 0.5% |
| |||||||
Agilent Technologies, Inc. | 25,100 | 968,358 | ||||||
Lonza Group AG (Switzerland) | 8,284 | 1,107,283 | ||||||
QIAGEN NV* | 3,279 | 80,587 | ||||||
Thermo Fisher Scientific, Inc. | 124,600 | 16,168,096 | ||||||
18,324,324 | ||||||||
Machinery — 0.5% | ||||||||
Amada Co. Ltd. (Japan) | 3,800 | 40,109 | ||||||
ANDRITZ AG (Austria) | 16,502 | 913,818 | ||||||
Caterpillar, Inc. | 28,700 | 2,434,334 | ||||||
Crane Co. | 18,000 | 1,057,140 | ||||||
Cummins, Inc. | 13,200 | 1,731,708 | ||||||
FANUC Corp. (Japan) | 7,200 | 1,473,232 | ||||||
Kawasaki Heavy Industries Ltd. (Japan) | 20,000 | 93,224 | ||||||
Lincoln Electric Holdings, Inc. | 17,900 | 1,089,931 | ||||||
Minebea Co. Ltd. (Japan) | 63,000 | 1,040,027 | ||||||
NGK Insulators Ltd. (Japan) | 4,000 | 102,924 | ||||||
NSK Ltd. (Japan) | 6,000 | 92,515 | ||||||
Oshkosh Corp.(a) | 15,500 | 656,890 | ||||||
Parker Hannifin Corp. | 6,300 | 732,879 | ||||||
Schindler Holding AG (Switzerland) | 2,505 | 409,102 | ||||||
SMC Corp. (Japan) | 200 | 60,184 | ||||||
SPX Corp. | 12,500 | 904,875 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Machinery (continued) | ||||||||
Sumitomo Heavy Industries Ltd. (Japan) | 172,000 | $ | 1,001,788 | |||||
THK Co. Ltd. (Japan) | 1,200 | 25,896 | ||||||
Trinity Industries, Inc.(a) | 196,000 | 5,180,280 | ||||||
Volvo AB (Sweden) | 21,184 | 263,053 | ||||||
Wabtec Corp. | 15,100 | 1,423,024 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. (China) | 26,000 | 27,308 | ||||||
20,754,241 | ||||||||
Marine | ||||||||
A.P. Moeller – Maersk A/S (Denmark) (Class A Stock) | 59 | 103,475 | ||||||
A.P. Moeller – Maersk A/S (Denmark) (Class B Stock) | 598 | 1,081,209 | ||||||
Mitsui OSK Lines Ltd. (Japan) | 15,000 | 48,015 | ||||||
Nippon Yusen K.K. (Japan) | 23,000 | 64,033 | ||||||
1,296,732 | ||||||||
Media — 2.1% | ||||||||
Cinemark Holdings, Inc. | 77,700 | 3,121,209 | ||||||
Comcast Corp. (Class A Stock) | 505,273 | 30,387,118 | ||||||
Dentsu, Inc. (Japan) | 3,000 | 155,198 | ||||||
DIRECTV* | 92,400 | 8,573,796 | ||||||
Discovery Communications, Inc. (Class C Stock)*(a) | 81,500 | 2,533,020 | ||||||
ITV PLC (United Kingdom) | 52,494 | 217,189 | ||||||
ProSiebenSat.1 Media AG (Germany) | 3,029 | 149,615 | ||||||
Publicis Groupe SA (France) | 14,394 | 1,066,929 | ||||||
RTL Group SA (Germany) | 540 | 48,816 | ||||||
Sky PLC (United Kingdom) | 14,063 | 229,052 | ||||||
Vivendi SA (France) | 15,844 | 401,751 | ||||||
Walt Disney Co. (The) | 287,700 | 32,838,078 | ||||||
WPP PLC (United Kingdom) | 57,804 | 1,297,471 | ||||||
81,019,242 | ||||||||
Metals & Mining — 0.2% |
| |||||||
BHP Billiton Ltd. (Australia) | 42,306 | 862,994 | ||||||
BHP Billiton PLC (Australia) | 28,976 | 569,713 | ||||||
Boliden AB (Sweden) | 3,633 | 66,232 | ||||||
Century Aluminum Co.*(a) | 118,700 | 1,238,041 | ||||||
Fortescue Metals Group Ltd. (Australia)(a) | 18,607 | 27,404 | ||||||
Hitachi Metals Ltd. (Japan) | 3,000 | 46,120 | ||||||
JFE Holdings, Inc. (Japan) | 38,700 | 857,433 | ||||||
Kobe Steel Ltd. (Japan) | 551,000 | 927,009 | ||||||
Mitsubishi Materials Corp. (Japan) | 16,000 | 61,436 | ||||||
Nippon Steel & Sumitomo Metal Corp. (Japan) | 105,000 | 272,250 | ||||||
Norsk Hydro ASA (Norway) | 18,575 | 77,958 | ||||||
Rio Tinto Ltd. (United Kingdom) | 6,012 | 248,697 | ||||||
Rio Tinto PLC (United Kingdom) | 18,987 | 780,987 | ||||||
South32 Ltd. (Australia)* | 42,306 | 58,428 | ||||||
Sumitomo Metal Mining Co. Ltd. (Japan) | 7,000 | 106,463 | ||||||
Voestalpine AG (Austria) | 9,095 | 379,057 | ||||||
6,580,222 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A67
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Multi-Utilities — 0.5% |
| |||||||
AGL Energy Ltd. (Australia) | 80,183 | $ | 960,506 | |||||
National Grid PLC (United Kingdom) | 118,513 | 1,525,351 | ||||||
Public Service Enterprise Group, Inc. | 361,600 | 14,203,648 | ||||||
Vectren Corp. | 36,000 | 1,385,280 | ||||||
18,074,785 | ||||||||
Multiline Retail — 0.6% |
| |||||||
Dillard’s, Inc. (Class A Stock) | 38,100 | 4,007,739 | ||||||
Harvey Norman Holdings Ltd. (Australia) | 7,371 | 25,595 | ||||||
Isetan Mitsukoshi Holdings Ltd. (Japan) | 4,800 | 85,755 | ||||||
J. Front Retailing Co. Ltd. (Japan) | 3,300 | 62,110 | ||||||
Takashimaya Co. Ltd. (Japan) | 94,000 | 852,054 | ||||||
Target Corp. | 224,300 | 18,309,609 | ||||||
23,342,862 | ||||||||
Oil, Gas & Consumable Fuels — 4.5% |
| |||||||
BG Group PLC (United Kingdom) | 47,400 | 789,433 | ||||||
BP PLC (United Kingdom) | 388,904 | 2,581,015 | ||||||
Cabot Oil & Gas Corp.(a) | 225,700 | 7,118,578 | ||||||
Caltex Australia Ltd. (Australia) | 1,803 | 44,260 | ||||||
Chevron Corp. | 69,156 | 6,671,479 | ||||||
Eni SpA (Italy) | 32,382 | 575,158 | ||||||
EQT Corp. | 151,700 | 12,339,278 | ||||||
Exxon Mobil Corp. | 640,216 | 53,265,971 | ||||||
Hess Corp. | 106,300 | 7,109,344 | ||||||
HollyFrontier Corp. | 167,300 | 7,142,037 | ||||||
Marathon Oil Corp. | 110,700 | 2,937,978 | ||||||
Marathon Petroleum Corp. | 300,200 | 15,703,462 | ||||||
Neste OYJ (Finland) | 1,749 | 44,617 | ||||||
OMV AG (Austria) | 1,730 | 47,627 | ||||||
ONEOK, Inc. | 100,000 | 3,948,000 | ||||||
Phillips 66 | 254,000 | 20,462,240 | ||||||
Repsol SA (Spain) | 22,072 | 389,034 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | 53,426 | 1,510,566 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | 33,454 | 952,447 | ||||||
Statoil ASA (Norway) | 15,692 | 280,620 | ||||||
Total SA (France) | 46,247 | 2,268,465 | ||||||
Valero Energy Corp. | 299,600 | 18,754,960 | ||||||
Western Refining, Inc. | 81,300 | 3,546,306 | ||||||
Woodside Petroleum Ltd. (Australia) | 10,154 | 267,931 | ||||||
World Fuel Services Corp. | 88,400 | 4,238,780 | ||||||
172,989,586 | ||||||||
Paper & Forest Products — 0.4% |
| |||||||
International Paper Co. | 268,100 | 12,758,879 | ||||||
Mondi PLC (South Africa) | 47,181 | 1,015,766 | ||||||
Oji Holdings Corp. (Japan) | 11,000 | 47,804 | ||||||
UPM-Kymmene OYJ (Finland) | 57,326 | 1,014,438 | ||||||
14,836,887 | ||||||||
Personal Products |
| |||||||
L’Oreal SA (France) | 427 | 76,399 | ||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Pharmaceuticals — 3.7% |
| |||||||
AbbVie, Inc. | 205,000 | $ | 13,773,950 | |||||
AstraZeneca PLC (United Kingdom) | 4,455 | 281,956 | ||||||
Bayer AG (Germany) | 7,248 | 1,015,013 | ||||||
Bristol-Myers Squibb Co. | 297,100 | 19,769,034 | ||||||
GlaxoSmithKline PLC (United Kingdom) | 72,717 | 1,511,918 | ||||||
Johnson & Johnson | 427,498 | 41,663,955 | ||||||
Merck & Co., Inc. | 475,000 | 27,041,750 | ||||||
Novartis AG (Switzerland) | 34,743 | 3,417,338 | ||||||
Novo Nordisk A/S (Denmark) (Class B Stock) | 32,905 | 1,805,658 | ||||||
Orion OYJ (Finland) (Class B Stock) | 9,812 | 343,699 | ||||||
Otsuka Holdings Co. Ltd. (Japan) | 33,300 | 1,061,045 | ||||||
Pfizer, Inc. | 752,497 | 25,231,224 | ||||||
Roche Holding AG (Switzerland) | 9,663 | 2,709,423 | ||||||
Sanofi (France) | 16,462 | 1,628,588 | ||||||
Shire PLC (Ireland) | 15,083 | 1,211,905 | ||||||
Teva Pharmaceutical Industries Ltd. (Israel) | 27,061 | 1,601,415 | ||||||
144,067,871 | ||||||||
Professional Services |
| |||||||
SGS SA (Switzerland) | 75 | 136,770 | ||||||
Real Estate Investment Trusts (REITs) — 1.3% |
| |||||||
Annaly Capital Management, Inc. | 942,300 | 8,659,737 | ||||||
British Land Co. PLC (The) (United Kingdom) | 13,341 | 166,176 | ||||||
CapitaCommercial Trust (Singapore) | 28,300 | 32,754 | ||||||
CBL & Associates Properties, Inc. | 62,800 | 1,017,360 | ||||||
Chambers Street Properties | 182,500 | 1,450,875 | ||||||
Chimera Investment Corp. | 46,700 | 640,257 | ||||||
Equity Residential | 23,400 | 1,641,978 | ||||||
Federation Centres Ltd. (Australia) | 447,952 | 1,007,942 | ||||||
Franklin Street Properties Corp. | 84,000 | 950,040 | ||||||
GEO Group, Inc. (The) | 27,200 | 929,152 | ||||||
Goodman Group (Australia) | 23,208 | 112,087 | ||||||
GPT Group (Australia) | 23,181 | 76,420 | ||||||
Healthcare Realty Trust, Inc. | 32,900 | 765,254 | ||||||
Hospitality Properties Trust | 199,900 | 5,761,118 | ||||||
Intu Properties PLC (United Kingdom) | 111,892 | 540,509 | ||||||
Invesco Mortgage Capital, Inc. | 227,300 | 3,254,936 | ||||||
Land Securities Group PLC (United Kingdom) | 24,862 | 470,115 | ||||||
Lexington Realty Trust(a) | 176,500 | 1,496,720 | ||||||
Link REIT (The) (Hong Kong) | 188,500 | 1,103,090 | ||||||
Prologis, Inc. | 349,000 | 12,947,900 | ||||||
Scentre Group (Australia) | 74,785 | 216,032 | ||||||
Segro PLC (United Kingdom) | 10,225 | 65,147 | ||||||
Simon Property Group, Inc. | 17,400 | 3,010,548 | ||||||
Sunstone Hotel Investors, Inc. | 209,000 | 3,137,090 | ||||||
WP Carey, Inc. | 15,200 | 895,888 | ||||||
50,349,125 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A68
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Real Estate Management & Development — 0.6% |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 338,800 | $ | 12,535,600 | |||||
Cheung Kong Property Holdings Ltd. (Hong Kong)* | 38,020 | 315,380 | ||||||
Daiwa House Industry Co. Ltd. (Japan) | 8,200 | 191,043 | ||||||
Henderson Land Development Co. Ltd. (Hong Kong) | 114,510 | 782,784 | ||||||
Hysan Development Co. Ltd. | 104,000 | 450,370 | ||||||
Jones Lang LaSalle, Inc. | 33,200 | 5,677,200 | ||||||
Kerry Properties Ltd. (Hong Kong) | 241,000 | 944,674 | ||||||
Lend Lease Group (Australia) | 79,067 | 914,194 | ||||||
New World Development Co. Ltd. | 139,000 | 181,624 | ||||||
Sino Land Co. Ltd. (Hong Kong) | 42,000 | 70,103 | ||||||
Swire Properties Ltd. (Hong Kong) | 16,200 | 51,670 | ||||||
Wheelock & Co. Ltd. (Hong Kong) | 13,000 | 66,335 | ||||||
22,180,977 | ||||||||
Road & Rail — 0.6% | ||||||||
Central Japan Railway Co. (Japan) | 2,000 | 360,909 | ||||||
ComfortDelGro Corp. Ltd. (Singapore) | 21,000 | 48,769 | ||||||
Hankyu Hanshin Holdings, Inc. (Japan) | 16,000 | 94,447 | ||||||
MTR Corp. Ltd. (Hong Kong) | 20,500 | 95,378 | ||||||
Nippon Express Co. Ltd. (Japan) | 11,000 | 54,048 | ||||||
Union Pacific Corp. | 216,800 | 20,676,216 | ||||||
West Japan Railway Co. (Japan) | 4,500 | 287,906 | ||||||
21,617,673 | ||||||||
Semiconductors & Semiconductor Equipment — 1.8% |
| |||||||
Advantest Corp. (Japan) | 2,300 | 23,914 | ||||||
ARM Holdings PLC | 58,558 | 958,230 | ||||||
Avago Technologies Ltd. (Singapore)(a) | 65,100 | 8,653,743 | ||||||
Integrated Device Technology, Inc.*(a) | 65,100 | 1,412,670 | ||||||
Intel Corp. | 1,059,500 | 32,224,693 | ||||||
Skyworks Solutions, Inc. | 82,800 | 8,619,480 | ||||||
Texas Instruments, Inc. | 369,000 | 19,007,190 | ||||||
Tokyo Electron Ltd. (Japan) | 2,400 | 152,537 | ||||||
71,052,457 | ||||||||
Software — 2.2% | ||||||||
Dassault Systemes (France) | 1,783 | 129,436 | ||||||
GungHo Online Entertainment, Inc. (Japan) | 5,600 | 21,793 | ||||||
Manhattan Associates, Inc.* | 56,100 | 3,346,365 | ||||||
Microsoft Corp. | 1,188,100 | 52,454,615 | ||||||
Oracle Corp. | 393,200 | 15,845,960 | ||||||
SAP SE (Germany) | 930 | 65,171 | ||||||
SolarWinds, Inc.* | 35,800 | 1,651,454 | ||||||
Symantec Corp. | 366,000 | 8,509,500 | ||||||
Synopsys, Inc.* | 49,700 | 2,517,305 | ||||||
84,541,599 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Specialty Retail — 1.8% | ||||||||
ABC-Mart, Inc. (Japan) | 400 | $ | 24,481 | |||||
AutoNation, Inc.* | 175,000 | 11,021,500 | ||||||
Dixons Carphone PLC | 13,627 | 96,900 | ||||||
Express, Inc.* | 61,200 | 1,108,332 | ||||||
Fast Retailing Co. Ltd. (Japan) | 700 | 317,430 | ||||||
Gap, Inc. (The)(a) | 244,400 | 9,328,748 | ||||||
GNC Holdings, Inc. (Class A Stock) | 24,300 | 1,080,864 | ||||||
Home Depot, Inc. (The) | 138,900 | 15,435,957 | ||||||
Lowe’s Cos., Inc. | 147,700 | 9,891,469 | ||||||
Ross Stores, Inc. | 351,000 | 17,062,110 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.* | 23,500 | 3,629,575 | ||||||
Urban Outfitters, Inc.* | 21,800 | 763,000 | ||||||
USS Co. Ltd. (Japan) | 4,600 | 82,961 | ||||||
69,843,327 | ||||||||
Technology Hardware, Storage & Peripherals — 3.2% |
| |||||||
Apple, Inc. | 794,000 | 99,587,450 | ||||||
EMC Corp. | 91,500 | 2,414,685 | ||||||
FUJIFILM Holdings Corp. (Japan) | 33,500 | 1,195,549 | ||||||
Hewlett-Packard Co. | 665,800 | 19,980,658 | ||||||
Western Digital Corp. | 30,100 | 2,360,442 | ||||||
125,538,784 | ||||||||
Textiles, Apparel & Luxury Goods — 0.5% |
| |||||||
Carter’s, Inc. | 58,800 | 6,250,440 | ||||||
Christian Dior SE (France) | 747 | 146,240 | ||||||
Luxottica Group SpA (Italy) | 17,404 | 1,157,681 | ||||||
LVMH Moet Hennessy Louis Vuitton SE (France) | 8,971 | 1,577,198 | ||||||
Michael Kors Holdings Ltd.* | 261,600 | 11,010,744 | ||||||
Swatch Group AG (The) (Switzerland) | 680 | 51,078 | ||||||
20,193,381 | ||||||||
Tobacco — 0.8% | ||||||||
Altria Group, Inc. | 473,100 | 23,139,321 | ||||||
British American Tobacco PLC | 9,083 | 489,048 | ||||||
Imperial Tobacco Group PLC | 35,070 | 1,689,039 | ||||||
Japan Tobacco, Inc. (Japan) | 29,300 | 1,041,594 | ||||||
Philip Morris International, Inc. | 50,800 | 4,072,636 | ||||||
Reynolds American, Inc. | 16,100 | 1,202,026 | ||||||
31,633,664 | ||||||||
Trading Companies & Distributors — 0.1% |
| |||||||
Ashtead Group PLC | 59,328 | 1,022,499 | ||||||
Brenntag AG (Germany) | 2,103 | 120,674 | ||||||
Bunzl PLC (United Kingdom) | 4,566 | 124,557 | ||||||
ITOCHU Corp. (Japan) | 88,100 | 1,163,556 | ||||||
Mitsubishi Corp. (Japan) | 800 | 17,587 | ||||||
Mitsui & Co. Ltd. (Japan) | 23,400 | 317,915 | ||||||
Sumitomo Corp. (Japan) | 15,500 | 180,411 | ||||||
2,947,199 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A69
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Transportation Infrastructure | ||||||||
Auckland International Airport Ltd. (New Zealand) | 13,161 | $ | 44,048 | |||||
Groupe Eurotunnel SE (France) | 6,431 | 93,245 | ||||||
137,293 | ||||||||
Water Utilities | ||||||||
Severn Trent PLC (United Kingdom) | 3,275 | 107,014 | ||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
KDDI Corp. (Japan) | 63,700 | 1,537,205 | ||||||
NTT DOCOMO, Inc. (Japan) | 9,200 | 176,627 | ||||||
Vodafone Group PLC | 359,254 | 1,310,513 | ||||||
3,024,345 | ||||||||
TOTAL COMMON STOCKS |
| 2,390,926,769 | ||||||
EXCHANGE TRADED FUND | ||||||||
iShares MSCI EAFE Index Fund | 20,650 | 1,311,069 | ||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
PREFERRED STOCKS — 0.1% | ||||||||
Automobiles — 0.1% | ||||||||
Bayerische Motoren Werke AG (Germany) (PRFC) | 735 | $ | 62,235 | |||||
Volkswagen AG (Germany) (PRFC) | 5,588 | 1,296,859 | ||||||
1,359,094 | ||||||||
Banks | ||||||||
Citigroup Capital XIII, 7.875%, (Capital Security, fixed to floating preferred)(b) | 22,000 | 571,120 | ||||||
Household Products | ||||||||
Henkel AG & Co. KGaA (Germany) (PRFC) | 2,460 | 276,052 | ||||||
TOTAL PREFERRED STOCKS |
| 2,206,266 | ||||||
ASSET-BACKED SECURITIES — 3.6% | 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 | 0.537% | (b) | 04/25/19 | 442 | 435,911 | |||||||||
Collateralized Loan Obligations — 1.6% | ||||||||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 1.455% | (b) | 04/20/25 | 2,550 | 2,526,492 | |||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A | 3.360% | 04/20/25 | 500 | 492,107 | ||||||||||
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A | 0.986% | (b) | 05/15/20 | 3,900 | 3,918,006 | |||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.466% | (b) | 07/13/25 | 2,700 | 2,674,729 | |||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1, 144A | 1.779% | (b) | 04/28/26 | 1,500 | 1,497,014 | |||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 1.875% | (b) | 10/15/26 | 2,500 | 2,502,813 | |||||||||
Arrowpoint CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A | 1.822% | (b) | 04/18/27 | 250 | 248,661 | |||||||||
Atlas Senior Loan Fund Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A | 1.815% | (b) | 10/15/26 | 750 | 749,348 | |||||||||
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A | 1.874% | (b) | 10/17/26 | 250 | 250,283 | |||||||||
Battalion CLO VIII Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A | 1.791% | (b) | 04/18/27 | 1,250 | 1,250,185 | |||||||||
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A | 1.475% | (b) | 07/15/24 | 1,200 | 1,188,987 | |||||||||
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.424% | (b) | 04/17/25 | 2,100 | 2,078,967 | |||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 1.825% | (b) | 04/20/26 | 2,200 | 2,197,517 | |||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A2, 144A | 2.075% | (b) | 04/20/26 | 450 | 446,680 | |||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A | 1.785% | (b) | 10/18/26 | 500 | 498,448 | |||||||||
Flagship VII Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A | 1.745% | (b) | 01/20/26 | 2,300 | 2,293,093 | |||||||||
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.674% | (b) | 01/17/26 | 500 | 498,536 | |||||||||
Four Corners CLO III Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A | 0.526% | (b) | 07/22/20 | 353 | 350,483 | |||||||||
Fraser Sullivan CLO I Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A | 0.756% | (b) | 03/15/20 | 521 | 520,055 | |||||||||
Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A | 1.745% | (b) | 10/15/26 | 1,250 | 1,245,580 | |||||||||
HLM (Cayman Islands), Series 2015-15, Class 6A, 144A | 1.271% | (b) | 05/05/27 | 250 | 249,219 | |||||||||
ICG U.S. CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A | 3.320% | 01/25/27 | 1,000 | 1,001,257 | ||||||||||
ING IM CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.415% | (b) | 04/15/24 | 1,850 | 1,825,072 | |||||||||
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A | 1.814% | (b) | 04/15/27 | 500 | 500,189 |
SEE NOTES TO FINANCIAL STATEMENTS.
A70
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Collateralized Loan Obligations (continued) | ||||||||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 1.864% | (b) | 05/15/26 | 300 | $ | 300,218 | ||||||||
Limerock CLO II Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A | 1.775% | (b) | 04/18/26 | 750 | 748,502 | |||||||||
Magnetite CLO Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A | 1.697% | (b) | 07/25/26 | 3,000 | 2,983,363 | |||||||||
Magnetite VIII Ltd. (Cayman Islands), Series 2014-8A, Class A, 144A | 1.755% | (b) | 04/15/26 | 5,300 | 5,285,278 | |||||||||
Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A | 1.725% | (b) | 01/18/27 | 500 | 497,675 | |||||||||
Neuberger Berman CLO XII Ltd. (Cayman Islands), Series 2012-12AR, Class BR, 144A | 2.377% | (b) | 07/25/23 | 250 | 250,467 | |||||||||
Neuberger Berman CLO XVI Ltd. (Cayman Islands), Series 2014-16A, Class A1, 144A | 1.745% | (b) | 04/15/26 | 500 | 498,429 | |||||||||
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A | 1.425% | (b) | 07/22/25 | 1,200 | 1,186,978 | |||||||||
Race Point V CLO Ltd. (Cayman Islands), Series 2011-5AR, Class AR, 144A | 1.586% | (b) | 12/15/22 | 449 | 445,817 | |||||||||
Race Point VIII CLO Ltd. (Cayman Islands), Series 2013-8A, Class A, 144A | 1.525% | (b) | 02/20/25 | 250 | 248,353 | |||||||||
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A | 1.754% | (b) | 07/17/26 | 800 | 799,967 | |||||||||
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A | 4.350% | 07/17/26 | 500 | 499,568 | ||||||||||
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.325% | (b) | 04/15/25 | 3,200 | 3,148,790 | |||||||||
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A | 2.926% | (b) | 08/17/22 | 500 | 498,682 | |||||||||
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A | 2.975% | (b) | 10/20/23 | 1,100 | 1,097,342 | |||||||||
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A | 2.000% | 09/20/29 | 1,012 | 1,001,516 | ||||||||||
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A | 1.896% | (b) | 01/22/27 | 2,250 | 2,252,357 | |||||||||
Treman Park CLO LLC (Cayman Islands), Series 2015-1A, Class A, 144A | 1.761% | (b) | 04/20/27 | 250 | 249,578 | |||||||||
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.395% | (b) | 07/15/25 | 2,700 | 2,668,070 | |||||||||
Vibrant CLO Ltd. (Cayman Islands), Series 2015-3A, Class A1, 144A | 1.885% | (b) | 04/20/26 | 3,000 | 3,002,203 | |||||||||
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 1.775% | (b) | 04/20/26 | 1,850 | 1,846,267 | |||||||||
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A | 4.250% | 04/20/26 | 500 | 494,675 | ||||||||||
61,007,816 | ||||||||||||||
Non-Residential Mortgage-Backed Securities — 0.8% | ||||||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A | 1.920% | 09/20/19 | 1,700 | 1,694,527 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A | 2.500% | 07/20/21 | 6,000 | 5,963,436 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A | 2.630% | 12/20/21 | 4,700 | 4,687,940 | ||||||||||
Ford Credit Auto Owner Trust, Series 2014-REV1, Class A, 144A | 2.260% | 11/15/25 | 2,000 | 2,024,738 | ||||||||||
Ford Credit Auto Owner Trust, Series 2014-REV2, Class A, 144A | 2.310% | 04/15/26 | 3,200 | 3,235,408 | ||||||||||
GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A | 0.686% | (b) | 05/15/20 | 1,800 | 1,800,749 | |||||||||
Hertz Corp., Series 2015-1A, Class A(c) | 2.730% | 03/25/21 | 5,300 | 5,273,500 | ||||||||||
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A | 2.570% | 07/18/25 | 4,500 | 4,503,420 | ||||||||||
Springleaf Funding Trust, Series 2015-AA, Class A, 144A | 3.160% | 11/15/24 | 3,495 | 3,536,461 | ||||||||||
32,720,179 | ||||||||||||||
Residential Mortgage-Backed Securities — 1.2% | ||||||||||||||
Banc of America Funding Trust., Series 2015-R4, Class 4A1, 144A | 3.500% | (b) | 01/01/30 | 2,594 | 2,603,076 | |||||||||
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1 | 1.837% | (b) | 03/25/33 | 227 | 215,304 | |||||||||
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3 | 3.996% | 07/25/35 | 302 | 290,225 | ||||||||||
CSMC, Series 2015-3R, Class 10A1, 144A | 2.185% | (b) | 10/29/47 | 4,575 | 4,570,223 | |||||||||
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | 4.942% | 07/25/34 | 328 | 311,283 | ||||||||||
GSAMP Trust, Series 2004-HE2, Class A3C | 1.347% | (b) | 09/25/34 | 674 | 657,496 | |||||||||
HSBC Home Equity Loan Trust U.S.A., Series 2006-4, Class A4 | 0.417% | (b) | 03/20/36 | 3,559 | 3,531,958 | |||||||||
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1 | 0.982% | (b) | 06/25/34 | 582 | 561,323 | |||||||||
LSTAR Securities Investment Trust, Series 2014-1, Class NOTE, 144A | 3.284% | (b) | 09/01/21 | 4,695 | 4,719,316 | |||||||||
LSTAR Securities Investment Trust, Series 2015-3, Class A, 144A | 2.184% | (b) | 03/01/20 | 3,918 | 3,900,254 | |||||||||
LSTAR Securities Investment Trust, Series 2015-4, Class A1, 144A | 2.184% | (b) | 04/01/20 | 3,417 | 3,367,407 |
SEE NOTES TO FINANCIAL STATEMENTS.
A71
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Residential Mortgage-Backed Securities (continued) | ||||||||||||||
LSTAR Securities Investment Trust, Series 2015-5, Class A1, 144A | 2.184% | (b) | 04/01/20 | 2,921 | $ | 2,909,845 | ||||||||
LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A | 2.184% | (b) | 05/01/20 | 5,150 | 5,111,790 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 | 1.387% | (b) | 05/25/33 | 383 | 359,254 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE5, Class M1 | 1.132% | (b) | 06/25/34 | 819 | 769,466 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 | 1.237% | (b) | 12/25/33 | 693 | 668,839 | |||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1 | 1.087% | (b) | 07/25/32 | 344 | 328,871 | |||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1 | 1.462% | (b) | 09/25/32 | 439 | 432,691 | |||||||||
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1 | 0.952% | (b) | 02/25/34 | 754 | 708,094 | |||||||||
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A | 2.200% | 10/20/30 | 2,974 | 2,983,678 | ||||||||||
VOLT XXXI LLC, Series 2015-NPL2, Class A1, 144A | 3.375% | 02/25/55 | 2,128 | 2,122,473 | ||||||||||
VOLT XXXIV LLC, Series 2015-NPL7, Class A1, 144A | 3.250% | 02/25/55 | 4,361 | 4,342,532 | ||||||||||
45,465,398 | ||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 139,629,304 | ||||||||||||
BANK LOANS(b) — 0.1% | ||||||||||||||
Automotive | ||||||||||||||
Schaeffler AG (Germany) | 4.250% | 05/15/20 | 663 | 666,226 | ||||||||||
Cable | ||||||||||||||
Virgin Media Investment Holdings Ltd. (United Kingdom) | 3.500% | 06/30/23 | 673 | 666,062 | ||||||||||
Foods | ||||||||||||||
ARAMARK Corp. | 3.250% | 09/07/19 | 534 | 532,452 | ||||||||||
Healthcare & Pharmaceutical | ||||||||||||||
Grifols Worldwide Operations USA, Inc. | 3.281% | 02/26/21 | 247 | 246,721 | ||||||||||
RPI Finance Trust (Luxembourg) | 3.250% | 11/09/18 | 1,032 | 1,033,463 | ||||||||||
1,280,184 | ||||||||||||||
Retailers | ||||||||||||||
Staples, Inc. | 3.500% | 02/28/22 | 730 | 728,581 | ||||||||||
Technology — 0.1% | ||||||||||||||
First Data Corp. | 3.687% | 03/26/18 | 1,134 | 1,129,976 | ||||||||||
TransUnion LLC | 3.750% | 04/09/21 | 494 | 490,050 | ||||||||||
1,620,026 | ||||||||||||||
TOTAL BANK LOANS |
| 5,493,531 | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.6% | ||||||||||||||
Alternative Loan Trust, Series 2004-18CB, Class 3A1 | 5.250% | 09/25/19 | 235 | 239,873 | ||||||||||
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 | 6.000% | 01/25/36 | 1,685 | 1,419,853 | ||||||||||
Bank of America Mortgage Trust, Series 2005-A, Class 2A1 | 2.673% | (b) | 02/25/35 | 340 | 331,782 | |||||||||
Bank of America Mortgage Trust, Series 2005-B, Class 2A1 | 2.732% | (b) | 03/25/35 | 300 | 276,127 | |||||||||
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5 | 2.553% | (b) | 02/25/37 | 732 | 711,931 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2014-CO4, Class 1M1 | 2.137% | (b) | 11/25/24 | 3,893 | 3,922,166 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2015-C01, Class 1M1 | 1.687% | (b) | 02/25/25 | 1,238 | 1,239,160 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M1 | 1.335% | (b) | 05/25/25 | 5,968 | 5,935,961 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1 | 1.087% | (b) | 10/25/27 | 8,864 | 8,845,764 | |||||||||
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1 | 2.595% | (b) | 07/25/35 | 405 | 405,591 | |||||||||
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | 5.000% | 04/25/19 | 72 | 72,882 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 2.637% | (b) | 02/25/34 | 342 | 340,038 | |||||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | 5.000% | 03/25/20 | 101 | 100,882 | ||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
| 23,842,010 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A72
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.6% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3 | 5.369% | 10/10/45 | 3,900 | $ | 3,927,436 | |||||||||
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A | 5.732% | (b) | 04/10/49 | 5,274 | 5,572,369 | |||||||||
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A3 | 5.756% | (b) | 04/10/49 | 1,500 | 1,515,281 | |||||||||
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 | 5.899% | (b) | 12/10/49 | 1,000 | 1,069,655 | |||||||||
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 | 2.815% | 04/10/46 | 1,100 | 1,089,910 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 | 3.575% | 05/10/47 | 2,750 | 2,834,532 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3 | 3.356% | 07/10/47 | 2,800 | 2,834,171 | ||||||||||
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4 | 5.223% | 08/15/48 | 1,007 | 1,046,824 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 1,000 | 978,845 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3 | 2.929% | 03/10/46 | 1,700 | 1,699,174 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2014-CR15, Class A2 | 2.928% | 02/10/47 | 2,700 | 2,786,114 | ||||||||||
Commercial Mortgage Trust, Series 2005-GG5, Class A5 | 5.224% | (b) | 04/10/37 | 3,617 | 3,621,321 | |||||||||
Commercial Mortgage Trust, Series 2005-GG5, Class AM | 5.277% | (b) | 04/10/37 | 4,500 | 4,532,238 | |||||||||
Commercial Mortgage Trust, Series 2014-CCRE20, Class A3 | 3.326% | 11/10/47 | 5,000 | 5,031,885 | ||||||||||
Commercial Mortgage Trust, Series 2014-CR18, Class A4 | 3.550% | 07/15/47 | 2,800 | 2,875,292 | ||||||||||
Commercial Mortgage Trust, Series 2014-UBS3, Class A2 | 2.844% | 06/10/47 | 2,300 | 2,366,104 | ||||||||||
Commercial Mortgage Trust, Series 2015-3BP, Class A, 144A | 3.178% | 02/10/35 | 5,300 | 5,201,961 | ||||||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class A4 | 5.609% | (b) | 02/15/39 | 2,444 | 2,462,838 | |||||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM | 5.639% | (b) | 02/15/39 | 640 | 649,827 | |||||||||
Fannie Mae-Aces, Series 2015-M10, Class A2 | 3.092% | (b) | 04/25/27 | 6,500 | 6,434,675 | |||||||||
Federal National Mortgage Assoc., Series 2014-M2, Class A2 | 3.513% | (b) | 12/25/23 | 2,515 | 2,647,400 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K017, Class A2 | 2.873% | 12/25/21 | 3,500 | 3,598,952 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class A2 | 2.373% | 05/25/22 | 2,000 | 1,994,122 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O | 1.596% | (b) | 05/25/22 | 25,183 | 2,031,640 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O | 1.632% | (b) | 06/25/22 | 7,123 | 593,684 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2 | 3.320% | 02/25/23 | 5,800 | 6,076,503 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2 | 3.531% | (b) | 07/25/23 | 2,400 | 2,538,233 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O | 1.734% | (b) | 08/25/16 | 5,846 | 71,435 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O | 1.906% | (b) | 05/25/19 | 19,477 | 1,137,163 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O | 1.826% | (b) | 07/25/19 | 20,573 | 1,170,438 | |||||||||
GE Capital Commercial Mortgage Corp., Series 2005-C4, Class A4 | 5.495% | (b) | 11/10/45 | 2,580 | 2,585,913 | |||||||||
GE Capital Commercial Mortgage Corp., Series 2006-C1, Class A4 | 5.449% | (b) | 03/10/44 | 1,886 | 1,906,708 | |||||||||
GS Mortgage Securities Trust, Series 2006-GG6, Class AAB | 5.587% | (b) | 04/10/38 | 255 | 255,480 | |||||||||
GS Mortgage Securities Trust, Series 2015-GC28, Class A4 | 3.136% | 02/10/48 | 4,000 | 3,952,968 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1 | 3.408% | 11/15/47 | 1,400 | 1,422,103 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1 | 2.920% | 02/15/48 | 6,000 | 5,823,348 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM | 4.999% | (b) | 10/15/42 | 1,270 | 1,270,809 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class ASB | 5.523% | 05/12/45 | 686 | 693,869 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3 | 3.139% | 06/15/45 | 1,901 | 1,957,268 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4 | 2.611% | 12/15/47 | 1,700 | 1,670,218 |
SEE NOTES TO FINANCIAL STATEMENTS.
A73
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | �� | Maturity Date | Principal Amount (000)# | Value (Note 2) | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 | 2.875% | 12/15/47 | 3,900 | $ | 3,886,767 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2 | 3.070% | 12/15/46 | 2,700 | 2,801,452 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 1,400 | 1,372,897 | ||||||||||
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM | 5.263% | (b) | 11/15/40 | 1,510 | 1,513,319 | |||||||||
Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM | 5.865% | (b) | 05/12/39 | 930 | 955,672 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2006-1, Class AM | 5.700% | (b) | 02/12/39 | 530 | 540,027 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2006-2, Class A4 | 6.059% | (b) | 06/12/46 | 1,658 | 1,698,454 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A2 | 5.331% | 03/12/51 | 1,775 | 1,793,231 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | 2.863% | 12/15/48 | 1,500 | 1,492,451 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3 | 3.451% | 07/15/50 | 5,000 | 5,045,145 | ||||||||||
Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4 | 5.845% | (b) | 10/15/42 | 1,622 | 1,633,170 | |||||||||
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A31 | 5.439% | 02/12/44 | 210 | 210,242 | ||||||||||
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB | 5.444% | 02/12/44 | 1,275 | 1,273,839 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | 2.792% | 12/10/45 | 1,700 | 1,682,420 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | 2.920% | 03/10/46 | 3,900 | 3,872,747 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | 2.971% | 04/10/46 | 1,800 | 1,790,784 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4 | 5.897% | (b) | 05/15/43 | 520 | 528,104 | |||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4(a) | 5.509% | 04/15/47 | 4,500 | 4,708,107 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A | 5.608% | (b) | 05/15/46 | 1,316 | 1,388,411 | |||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 140,115,945 | ||||||||||||
CORPORATE BONDS — 9.2% | ||||||||||||||
Airlines — 0.2% | ||||||||||||||
American Airlines, Inc. Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A(a) | 3.375% | 05/01/27 | 3,260 | 3,219,250 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A | 6.648% | 09/15/17 | 69 | 70,695 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A | 7.250% | 11/10/19 | 591 | 683,853 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A | 4.750% | 01/12/21 | 683 | 726,100 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A(a) | 4.000% | 10/29/24 | 650 | 661,999 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A | 6.821% | 08/10/22 | 315 | 361,077 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A | 4.950% | 05/23/19 | 482 | 511,389 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A | �� | 5.300% | 04/15/19 | 950 | 1,021,353 | |||||||||
7,255,716 | ||||||||||||||
Automotive — 0.1% | ||||||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | 4.207% | 04/15/16 | 2,090 | 2,137,518 | ||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.250% | 10/02/43 | 1,395 | 1,556,199 | ||||||||||
Harley-Davidson Financial Services, Inc., Gtd. Notes, MTN, 144A | 2.700% | 03/15/17 | 450 | 460,086 | ||||||||||
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A | 4.250% | 11/15/19 | 715 | 725,725 | ||||||||||
Johnson Controls, Inc., Sr. Unsec’d. Notes | 5.500% | 01/15/16 | 245 | 251,154 | ||||||||||
5,130,682 | ||||||||||||||
Banking — 3.0% | ||||||||||||||
American Express Co., Jr. Sub. Notes | 5.200% | (b) | 12/31/49 | 605 | 600,523 | |||||||||
American Express Co., Sr. Unsec’d. Notes | 2.650% | 12/02/22 | 2,213 | 2,128,815 | ||||||||||
Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A | 3.875% | 09/20/22 | 645 | 651,995 |
SEE NOTES TO FINANCIAL STATEMENTS.
A74
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Banking (continued) | ||||||||||||||
Bank of America Corp., Series K, Jr. Sub. Notes | 8.000% | (b) | 12/29/49 | 2,200 | $ | 2,321,000 | ||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 5.700% | 01/24/22 | 2,155 | 2,446,272 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 6.000% | 09/01/17 | 1,075 | 1,169,776 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 3.300% | 01/11/23 | 780 | 768,173 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.000% | 04/01/24 | 975 | 992,136 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.125% | 01/22/24 | 3,820 | 3,915,000 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 5.000% | 05/13/21 | 200 | 219,553 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, Series 1 | 3.750% | 07/12/16 | 870 | 891,871 | ||||||||||
Bank of America Corp., Sub. Notes | 5.750% | 08/15/16 | 1,775 | 1,858,693 | ||||||||||
Bank of America Corp., Sub. Notes, MTN(a) | 4.000% | 01/22/25 | 2,000 | 1,948,588 | ||||||||||
Bank of America NA, Sub. Notes | 5.300% | 03/15/17 | 930 | 985,023 | ||||||||||
Bank of America NA, Sub. Notes(a) | 6.000% | 10/15/36 | 410 | 487,118 | ||||||||||
Bank of Nova Scotia (Canada), Covered Notes, 144A | 1.650% | 10/29/15 | 1,535 | 1,540,901 | ||||||||||
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes | 5.300% | 10/30/15 | 515 | 522,365 | ||||||||||
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes | 6.400% | 10/02/17 | 330 | 363,193 | ||||||||||
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes | 7.250% | 02/01/18 | 1,175 | 1,331,071 | ||||||||||
Capital One Bank USA NA, Sub. Notes | 3.375% | 02/15/23 | 1,560 | 1,515,354 | ||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 3.200% | 02/05/25 | 1,830 | 1,730,975 | ||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 3.750% | 04/24/24 | 2,590 | 2,578,083 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 3.875% | 10/25/23 | 1,900 | 1,938,988 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 3.953% | 06/15/16 | 1,010 | 1,036,939 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 4.500% | 01/14/22 | 2,450 | 2,639,037 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.125% | 07/15/39 | 710 | 1,019,107 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.500% | 05/22/19 | 1,895 | 2,311,326 | ||||||||||
Compass Bank, Sr. Unsec’d. Notes | 1.850% | 09/29/17 | 1,270 | 1,268,476 | ||||||||||
Discover Bank, Sr. Unsec’d. Notes | 4.250% | 03/13/26 | 970 | 958,344 | ||||||||||
Discover Bank, Sub. Notes | 7.000% | 04/15/20 | 570 | 663,389 | ||||||||||
Discover Financial Services, Sr. Unsec’d. Notes | 3.850% | 11/21/22 | 900 | 893,606 | ||||||||||
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes | 5.375% | (b) | 12/31/49 | 2,215 | 2,188,198 | |||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 3.500% | 01/23/25 | 4,100 | 3,976,155 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 3.625% | 02/07/16 | 2,000 | 2,032,398 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.250% | 07/27/21 | 2,055 | 2,282,114 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.750% | 01/24/22 | 3,620 | 4,117,638 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 02/01/41 | 270 | 319,557 | ||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 5.625% | 01/15/17 | 1,190 | 1,260,111 | ||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 6.750% | 10/01/37 | 104 | 121,987 | ||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 4.875% | 01/14/22 | 1,910 | 2,106,239 | ||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 5.100% | 04/05/21 | 1,025 | 1,142,585 | ||||||||||
Huntington Bancshares, Inc., Sub. Notes(a) | 7.000% | 12/15/20 | 170 | 202,491 | ||||||||||
Intesa Sanpaolo SpA (Italy), Gtd. Notes | 3.125% | 01/15/16 | 1,395 | 1,405,634 | ||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes(a) | 6.100% | (b) | 12/31/49 | 1,275 | 1,279,463 | |||||||||
JPMorgan Chase & Co., Jr. Sub. Notes | 7.900% | (b) | 04/29/49 | 2,000 | 2,115,500 | |||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 4.250% | 10/15/20 | 2,930 | 3,132,941 | ||||||||||
JPMorgan Chase & Co., Sub. Notes | 3.875% | 09/10/24 | 3,775 | 3,714,245 | ||||||||||
JPMorgan Chase & Co., Sub. Notes(a) | 5.625% | 08/16/43 | 490 | 522,566 | ||||||||||
Lloyds Bank PLC (United Kingdom), Gtd. Notes | 6.375% | 01/21/21 | 1,400 | 1,651,177 | ||||||||||
Lloyds Bank PLC (United Kingdom), Gtd. Notes, MTN, 144A | 5.800% | 01/13/20 | 1,870 | 2,136,462 | ||||||||||
Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes | 2.900% | 02/06/25 | 3,080 | 2,910,951 | ||||||||||
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN | 6.400% | 08/28/17 | 20 | 21,929 | ||||||||||
Morgan Stanley, Jr. Sub. Notes(a) | 5.450% | (b) | 12/31/49 | 840 | 833,700 | |||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 3.750% | 02/25/23 | 940 | 950,472 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 5.750% | 01/25/21 | 1,400 | 1,595,042 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes(a) | 6.375% | 07/24/42 | 780 | 957,679 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.450% | 01/09/17 | 1,345 | 1,425,297 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.500% | 07/28/21 | 1,290 | 1,455,235 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.625% | 09/23/19 | 1,415 | 1,585,641 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 6.625% | 04/01/18 | 105 | 117,816 | ||||||||||
Morgan Stanley, Sub. Notes, GMTN | 4.350% | 09/08/26 | 3,825 | 3,748,041 |
SEE NOTES TO FINANCIAL STATEMENTS.
A75
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Banking (continued) | ||||||||||||||
MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes | 6.346% | (b) | 07/29/49 | 800 | $ | 837,600 | ||||||||
National City Corp., Sub. Notes | 6.875% | 05/15/19 | 3,370 | 3,908,277 | ||||||||||
People’s United Bank, Sub. Notes | 4.000% | 07/15/24 | 465 | 460,429 | ||||||||||
People’s United Financial, Inc., Sr. Unsec’d. Notes | 3.650% | 12/06/22 | 1,455 | 1,445,950 | ||||||||||
PNC Bank NA, Sub. Notes | 3.800% | 07/25/23 | 270 | 276,603 | ||||||||||
PNC Funding Corp., Gtd. Notes | 6.700% | 06/10/19 | 440 | 513,040 | ||||||||||
Royal Bank of Canada (Canada), Covered Notes | 2.200% | 09/23/19 | 2,940 | 2,961,635 | ||||||||||
Royal Bank of Scotland Group PLC (The) (United Kingdom), Sr. Unsec’d. Notes | 2.550% | 09/18/15 | 455 | 456,272 | ||||||||||
Santander Holdings USA, Inc., Sr. Unsec’d. Notes | 3.000% | 09/24/15 | 955 | 957,636 | ||||||||||
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes | 2.450% | 01/10/19 | 1,210 | 1,223,168 | ||||||||||
Synchrony Financial, Sr. Unsec’d. Notes | 2.700% | 02/03/20 | 2,700 | 2,667,100 | ||||||||||
Toronto-Dominion Bank (The) (Canada), Covered Notes, 144A | 1.950% | 04/02/20 | 4,140 | 4,108,039 | ||||||||||
US Bancorp, Sub. Notes, MTN | 2.950% | 07/15/22 | 1,120 | 1,102,401 | ||||||||||
Westpac Banking Corp. (Australia), Covered Notes, 144A | 2.000% | 05/21/19 | 1,130 | 1,140,465 | ||||||||||
117,063,569 | ||||||||||||||
Brokerage | ||||||||||||||
Jefferies Group LLC, Sr. Unsec’d. Notes | 6.500% | 01/20/43 | 560 | 547,125 | ||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(d) | 6.875% | 02/06/12 | 1,715 | 186,506 | ||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(d) | 6.875% | 05/02/18 | 700 | 80,500 | ||||||||||
Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN | 2.000% | 09/13/16 | 820 | 825,975 | ||||||||||
1,640,106 | ||||||||||||||
Building Materials & Construction — 0.1% | ||||||||||||||
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A | 5.375% | 11/15/24 | 1,400 | 1,374,590 | ||||||||||
D.R. Horton, Inc., Gtd. Notes | 3.625% | 02/15/18 | 450 | 458,438 | ||||||||||
Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A | 5.250% | 06/27/29 | 740 | 555,148 | ||||||||||
Owens Corning, Inc., Gtd. Notes | 4.200% | 12/15/22 | 775 | 785,515 | ||||||||||
3,173,691 | ||||||||||||||
Cable — 0.2% | ||||||||||||||
Cablevision Systems Corp., Sr. Unsec’d. Notes | 8.625% | 09/15/17 | 1,000 | 1,090,000 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A | 5.375% | 05/01/25 | 880 | 856,900 | ||||||||||
Comcast Cable Communications Holdings, Inc., Gtd. Notes | 9.455% | 11/15/22 | 255 | 350,415 | ||||||||||
Comcast Corp., Gtd. Notes | 6.400% | 05/15/38 | 530 | 644,920 | ||||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | 3.500% | 03/01/16 | 920 | 934,333 | ||||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes | 5.150% | 03/15/42 | 860 | 809,090 | ||||||||||
DISH DBS Corp., Gtd. Notes | 7.125% | 02/01/16 | 1,000 | 1,026,250 | ||||||||||
Time Warner Cable, Inc., Gtd. Notes | 5.850% | 05/01/17 | 1,710 | 1,826,054 | ||||||||||
Videotron Ltd. (Canada), Gtd. Notes | 5.000% | 07/15/22 | 1,040 | 1,037,400 | ||||||||||
8,575,362 | ||||||||||||||
Capital Goods — 0.3% | ||||||||||||||
Actuant Corp., Gtd. Notes | 5.625% | 06/15/22 | 1,205 | 1,226,088 | ||||||||||
Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes | 7.875% | 12/01/17 | 1,255 | 1,374,225 | ||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 6.375% | 10/15/17 | 1,302 | 1,431,242 | ||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 6.700% | 06/01/34 | 420 | 511,094 | ||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 7.000% | 10/15/37 | 380 | 464,493 | ||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.125% | 10/09/42 | 190 | 182,809 | ||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.500% | 03/11/44 | 280 | 284,365 | ||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A | 2.500% | 03/15/16 | 1,890 | 1,903,213 | ||||||||||
SPX Corp., Gtd. Notes | 6.875% | 09/01/17 | 950 | 1,023,625 |
SEE NOTES TO FINANCIAL STATEMENTS.
A76
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Capital Goods (continued) | ||||||||||||||
United Rentals North America, Inc., Gtd. Notes | 7.375% | 05/15/20 | 1,000 | $ | 1,066,990 | |||||||||
United Technologies Corp., Sr. Unsec’d. Notes | 4.500% | 06/01/42 | 1,445 | 1,467,968 | ||||||||||
Xylem, Inc., Sr. Unsec’d. Notes | 4.875% | 10/01/21 | 1,260 | 1,364,973 | ||||||||||
12,301,085 | ||||||||||||||
Chemicals — 0.2% | ||||||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 3.150% | 10/01/22 | 780 | 756,263 | ||||||||||
Celanese US Holdings LLC, Gtd. Notes(a) | 5.875% | 06/15/21 | 1,500 | 1,605,000 | ||||||||||
CF Industries, Inc., Gtd. Notes | 5.375% | 03/15/44 | 585 | 581,696 | ||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes(a) | 4.625% | 10/01/44 | 45 | 42,004 | ||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 9.400% | 05/15/39 | 347 | 522,252 | ||||||||||
Koppers, Inc., Gtd. Notes | 7.875% | 12/01/19 | 1,300 | 1,313,000 | ||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 4.625% | 02/26/55 | 1,185 | 1,043,562 | ||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 5.000% | 04/15/19 | 1,000 | 1,083,265 | ||||||||||
Monsanto Co., Sr. Unsec’d. Notes | 4.400% | 07/15/44 | 235 | 210,435 | ||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.450% | 11/15/33 | 345 | 367,244 | ||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.625% | 11/15/43 | 1,135 | 1,209,243 | ||||||||||
Union Carbide Corp., Sr. Unsec’d. Notes | 7.500% | 06/01/25 | 460 | 573,211 | ||||||||||
9,307,175 | ||||||||||||||
Consumer | ||||||||||||||
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes | 6.250% | 04/15/18 | 1,700 | 1,884,236 | ||||||||||
Electric — 0.4% | ||||||||||||||
Arizona Public Service Co., Sr. Unsec’d. Notes | 6.250% | 08/01/16 | 175 | 184,864 | ||||||||||
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | 6.350% | 10/01/36 | 550 | 687,884 | ||||||||||
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes | 6.125% | 04/01/36 | 310 | 365,199 | ||||||||||
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge. | 6.950% | 03/15/33 | 590 | 773,265 | ||||||||||
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series 09-C | 5.500% | 12/01/39 | 220 | 251,542 | ||||||||||
Duke Energy Carolinas LLC, First Mortgage | 6.050% | 04/15/38 | 550 | 677,536 | ||||||||||
Duke Energy Carolinas LLC, First Ref. Mortgage | 4.000% | 09/30/42 | 570 | 538,888 | ||||||||||
Dynegy, Inc., Gtd. Notes, 144A | 6.750% | 11/01/19 | 455 | 473,427 | ||||||||||
Dynegy, Inc., Gtd. Notes, 144A | 7.375% | 11/01/22 | 345 | 361,387 | ||||||||||
El Paso Electric Co., Sr. Unsec’d. Notes | 6.000% | 05/15/35 | 670 | 787,755 | ||||||||||
Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes | 8.625% | 08/01/15 | 1,295 | 1,302,252 | ||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | 6.250% | 10/01/39 | 1,425 | 1,572,412 | ||||||||||
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A | 5.450% | 07/15/44 | 355 | 369,553 | ||||||||||
Florida Power & Light Co., First Mortgage | 5.950% | 10/01/33 | 295 | 359,299 | ||||||||||
Iberdrola International BV (Spain), Gtd. Notes | 6.750% | 09/15/33 | 145 | 165,958 | ||||||||||
Nevada Power Co., Gen. Ref. Mtge. | 6.500% | 05/15/18 | 1,260 | 1,432,566 | ||||||||||
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A | 4.881% | 08/15/19 | 610 | 669,426 | ||||||||||
Northeast Utilities, Sr. Unsec’d. Notes | 4.500% | 11/15/19 | 615 | 671,940 | ||||||||||
Public Service Co. of New Mexico, Sr. Unsec’d. Notes | 7.950% | 05/15/18 | 140 | 162,915 | ||||||||||
Public Service Electric & Gas Co, Sr. Sec’d. Notes, MTN | 5.800% | 05/01/37 | 535 | 644,974 | ||||||||||
Southern California Edison Co., First Mortgage | 3.600% | 02/01/45 | 860 | 766,588 | ||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 4.800% | 09/15/41 | 480 | 497,789 | ||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 5.613% | 04/01/17 | 199 | 213,277 | ||||||||||
13,930,696 | ||||||||||||||
Energy – Integrated — 0.1% | ||||||||||||||
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A | 5.375% | 01/26/19 | 460 | 377,890 | ||||||||||
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A | 5.400% | 02/14/22 | 550 | 593,081 | ||||||||||
Shell International Finance BV (Netherlands), Gtd. Notes | 3.250% | 05/11/25 | 3,155 | 3,124,330 | ||||||||||
4,095,301 | ||||||||||||||
Energy – Other — 0.4% | ||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 4.677% | (f) | 10/10/36 | 2,000 | 800,000 | |||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.375% | 09/15/17 | 1,195 | 1,311,398 | ||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.450% | 09/15/36 | 325 | 375,011 | ||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.950% | 06/15/19 | 250 | 290,395 |
SEE NOTES TO FINANCIAL STATEMENTS.
A77
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Energy – Other (continued) | ||||||||||||||
Cameron International Corp., Sr. Unsec’d. Notes | 4.500% | 06/01/21 | 2,200 | $ | 2,305,419 | |||||||||
Devon Financing Corp. LLC, Gtd. Notes | 7.875% | 09/30/31 | 1,700 | 2,191,302 | ||||||||||
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes | 4.800% | 11/01/43 | 65 | 64,169 | ||||||||||
EOG Resources, Inc., Sr. Unsec’d. Notes(a) | 3.900% | 04/01/35 | 1,020 | 965,581 | ||||||||||
Helmerich & Payne International Drilling Co., Gtd. Notes, 144A(a) | 4.650% | 03/15/25 | 1,995 | 2,059,414 | ||||||||||
Nabors Industries, Inc., Gtd. Notes | 4.625% | 09/15/21 | 1,070 | 1,063,014 | ||||||||||
Phillips 66, Gtd. Notes | 2.950% | 05/01/17 | 490 | 503,659 | ||||||||||
Pioneer Natural Resources Co., Sr. Unsec’d. Notes(a) | 6.875% | 05/01/18 | 1,500 | 1,684,233 | ||||||||||
13,613,595 | ||||||||||||||
Foods — 0.2% | ||||||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes | 8.000% | 11/15/39 | 1,285 | 1,885,489 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes | 8.200% | 01/15/39 | 250 | 372,175 | ||||||||||
Bunge Ltd. Finance Corp., Gtd. Notes | 8.500% | 06/15/19 | 985 | 1,190,735 | ||||||||||
Constellation Brands, Inc., Gtd. Notes | 4.250% | 05/01/23 | 1,400 | 1,379,000 | ||||||||||
Kraft Heinz Foods Co., Gtd. Notes, 144A | 5.000% | 07/15/35 | 815 | 824,796 | ||||||||||
Tyson Foods, Inc., Gtd. Notes | 6.600% | 04/01/16 | 735 | 763,092 | ||||||||||
6,415,287 | ||||||||||||||
Gaming — 0.1% | ||||||||||||||
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes(a) | 4.375% | 11/01/18 | 1,000 | 1,026,250 | ||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., Gtd. Notes, 144A | 5.500% | 03/01/25 | 1,125 | 1,071,562 | ||||||||||
2,097,812 | ||||||||||||||
Healthcare & Pharmaceutical — 0.8% | ||||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 3.600% | 05/14/25 | 1,175 | 1,161,364 | ||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 4.500% | 05/14/35 | 1,910 | 1,868,559 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 3.800% | 03/15/25 | 1,000 | 982,322 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 4.550% | 03/15/35 | 1,615 | 1,535,497 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 4.750% | 03/15/45 | 595 | 566,472 | ||||||||||
Actavis, Inc., Gtd. Notes | 6.125% | 08/15/19 | 445 | 502,403 | ||||||||||
Amgen, Inc., Sr. Unsec’d. Notes | 5.150% | 11/15/41 | 1,640 | 1,684,196 | ||||||||||
Becton Dickinson and Co., Sr. Unsec’d. Notes(a) | 3.734% | 12/15/24 | 1,025 | 1,021,552 | ||||||||||
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes | 5.125% | 08/15/18 | 1,100 | 1,127,500 | ||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A | 4.125% | 10/15/20 | 1,665 | 1,685,813 | ||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 3.500% | 02/01/25 | 1,460 | 1,462,127 | ||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 5.650% | 12/01/41 | 185 | 211,966 | ||||||||||
HCA, Inc., Sr. Sec’d. Notes | 4.250% | 10/15/19 | 555 | 568,181 | ||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.000% | 03/15/24 | 1,100 | 1,119,250 | ||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.250% | 04/15/25 | 400 | 416,000 | ||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 3.200% | 02/01/22 | 190 | 187,320 | ||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 5.625% | 12/15/15 | 580 | 591,680 | ||||||||||
Medtronic, Inc., Gtd. Notes, 144A | 3.500% | 03/15/25 | 3,205 | 3,194,061 | ||||||||||
Medtronic, Inc., Gtd. Notes, 144A | 4.375% | 03/15/35 | 1,355 | 1,344,600 | ||||||||||
Merck & Co, Inc., Sr. Unsec’d. Notes | 2.750% | 02/10/25 | 420 | 402,753 | ||||||||||
Merck & Co, Inc., Sr. Unsec’d. Notes | 3.700% | 02/10/45 | 1,380 | 1,232,848 | ||||||||||
Mylan, Inc., Gtd. Notes | 1.800% | 06/24/16 | 425 | 425,213 | ||||||||||
New York & Presbyterian Hospital (The), Unsec’d. Notes | 4.024% | 08/01/45 | 445 | 405,933 | ||||||||||
Novartis Capital Corp. (Switzerland), Gtd. Notes | 4.400% | 05/06/44 | 1,325 | 1,365,978 | ||||||||||
Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A(a) | 2.875% | 09/29/21 | 5,305 | 5,348,724 | ||||||||||
Wyeth LLC, Gtd. Notes | 6.450% | 02/01/24 | 60 | 74,049 | ||||||||||
Zoetis, Inc., Sr. Unsec’d. Notes | 4.700% | 02/01/43 | 120 | 114,410 | ||||||||||
30,600,771 | ||||||||||||||
Healthcare Insurance — 0.2% | ||||||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.625% | 06/15/36 | 515 | 632,550 | ||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.750% | 12/15/37 | 1,380 | 1,736,482 | ||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.625% | 05/15/42 | 390 | 356,483 | ||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.650% | 01/15/43 | 360 | 330,035 | ||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.875% | 03/15/41 | 650 | 739,589 |
SEE NOTES TO FINANCIAL STATEMENTS.
A78
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Healthcare Insurance (continued) | ||||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 6.150% | 11/15/36 | 670 | $ | 772,946 | |||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 3.950% | 10/15/42 | 720 | 651,448 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.000% | 06/15/17 | 195 | 212,319 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.625% | 11/15/37 | 420 | 538,434 | ||||||||||
5,970,286 | ||||||||||||||
Insurance — 0.8% | ||||||||||||||
Allied World Assurance Co. Holdings Ltd., Gtd. Notes | 5.500% | 11/15/20 | 525 | 585,081 | ||||||||||
Allstate Corp. (The), Sr. Unsec’d. Notes | 4.500% | 06/15/43 | 150 | 151,347 | ||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 4.500% | 07/16/44 | 1,980 | 1,883,465 | ||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 6.400% | 12/15/20 | 2,425 | 2,882,949 | ||||||||||
Aon Corp., Gtd. Notes | 3.125% | 05/27/16 | 2,655 | 2,707,991 | ||||||||||
Axis Specialty Finance LLC, Gtd. Notes | 5.875% | 06/01/20 | 1,030 | 1,165,719 | ||||||||||
Chubb Corp. (The), Jr. Sub. Notes(a) | 6.375% | (b) | 03/29/67 | 1,300 | 1,363,700 | |||||||||
Dai-ichi Life Insurance Co. Ltd. (The) (Japan), Jr. Sub. Notes, 144A | 5.100% | (b) | 12/29/49 | 480 | 506,400 | |||||||||
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes | 5.125% | 04/15/22 | 755 | 837,315 | ||||||||||
Liberty Mutual Group, Inc., Gtd. Notes, 144A | 6.500% | 05/01/42 | 365 | 425,923 | ||||||||||
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A | 7.000% | 03/15/34 | 850 | 1,030,450 | ||||||||||
Lincoln National Corp., Jr. Sub. Notes(a) | 6.050% | (b) | 04/20/67 | 260 | 235,300 | |||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 6.300% | 10/09/37 | 1,272 | 1,498,920 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 7.000% | 06/15/40 | 705 | 884,255 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 8.750% | 07/01/19 | 605 | 741,758 | ||||||||||
Markel Corp., Sr. Unsec’d. Notes | 5.000% | 03/30/43 | 200 | 196,642 | ||||||||||
MetLife, Inc., Sr. Unsec’d. Notes | 5.700% | 06/15/35 | 835 | 971,597 | ||||||||||
MetLife, Inc., Sr. Unsec’d. Notes | 6.375% | 06/15/34 | 400 | 493,546 | ||||||||||
New York Life Global Funding, Sec’d. Notes, 144A | 1.950% | 02/11/20 | 3,030 | 2,985,050 | ||||||||||
New York Life Insurance Co., Sub. Notes, 144A | 6.750% | 11/15/39 | 660 | 866,143 | ||||||||||
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A(a) | 5.100% | (b) | 10/16/44 | 1,925 | 2,014,031 | |||||||||
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A | 6.063% | 03/30/40 | 370 | 442,440 | ||||||||||
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A | 6.375% | 04/30/20 | 680 | 773,996 | ||||||||||
Pacific Life Insurance Co., Sub. Notes, 144A | 9.250% | 06/15/39 | 910 | 1,358,954 | ||||||||||
Principal Financial Group, Inc., Gtd. Notes | 4.625% | 09/15/42 | 130 | 125,154 | ||||||||||
Progressive Corp. (The), Jr. Sub. Notes | 6.700% | (b) | 06/15/37 | 735 | 766,238 | |||||||||
Progressive Corp. (The), Sr. Unsec’d. Notes | 3.700% | 01/26/45 | 710 | 626,803 | ||||||||||
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | 6.850% | 12/16/39 | 1,450 | 1,815,622 | ||||||||||
Unum Group, Sr. Unsec’d. Notes | 5.625% | 09/15/20 | 350 | 393,840 | ||||||||||
W.R. Berkley Corp., Sr. Unsec’d. Notes | 6.150% | 08/15/19 | 460 | 518,687 | ||||||||||
31,249,316 | ||||||||||||||
Lodging — 0.2% | ||||||||||||||
Choice Hotels International, Inc., Gtd. Notes | 5.750% | 07/01/22 | 1,000 | 1,083,750 | ||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.000% | 03/01/19 | 580 | 594,718 | ||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.250% | 09/15/22 | 980 | 966,259 | ||||||||||
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes | 6.750% | 05/15/18 | 2,800 | 3,132,699 | ||||||||||
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | 2.500% | 03/01/18 | 490 | 491,261 | ||||||||||
6,268,687 | ||||||||||||||
Media & Entertainment — 0.2% | ||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.150% | 03/01/37 | 515 | 595,492 | ||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.150% | 02/15/41 | 1,175 | 1,364,475 | ||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.900% | 08/15/39 | 90 | 112,567 | ||||||||||
CBS Corp., Gtd. Notes | 4.850% | 07/01/42 | 155 | 142,787 | ||||||||||
Historic TW, Inc., Gtd. Notes | 9.150% | 02/01/23 | 505 | 667,118 | ||||||||||
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS | 6.375% | 07/28/17 | 1,300 | 1,374,750 | ||||||||||
Time Warner, Inc., Gtd. Notes | 6.200% | 03/15/40 | 210 | 238,569 | ||||||||||
Time Warner, Inc., Gtd. Notes | 6.250% | 03/29/41 | 1,465 | 1,676,383 | ||||||||||
Time Warner, Inc., Gtd. Notes | 7.625% | 04/15/31 | 90 | 117,030 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.500% | 02/27/42 | 50 | 41,805 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.875% | 06/15/43 | 200 | 179,027 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 5.850% | 09/01/43 | 425 | 423,020 | ||||||||||
6,933,023 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A79
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Metals — 0.1% | ||||||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes | 5.000% | 09/30/43 | 920 | $ | 954,991 | |||||||||
Glencore Finance Canada Ltd. (Switzerland), Gtd. Notes, 144A | 2.050% | 10/23/15 | 1,110 | 1,112,843 | ||||||||||
Glencore Finance Canada Ltd. (Switzerland), Gtd. Notes, 144A | 2.700% | 10/25/17 | 1,220 | 1,232,650 | ||||||||||
Newmont Mining Corp., Gtd. Notes | 6.250% | 10/01/39 | 35 | 34,297 | ||||||||||
Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes | 5.875% | 04/23/45 | 530 | 504,136 | ||||||||||
Southern Copper Corp. (Mexico), Sr. Unsec’d. Notes | 7.500% | 07/27/35 | 425 | 475,975 | ||||||||||
4,314,892 | ||||||||||||||
Non-Captive Finance — 0.2% | ||||||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A | 3.750% | 05/15/19 | 775 | 766,281 | ||||||||||
General Electric Capital Corp., Gtd. Notes, MTN | 5.875% | 01/14/38 | 1,040 | 1,243,871 | ||||||||||
General Electric Capital Corp., Gtd. Notes, MTN | 6.000% | 08/07/19 | 920 | 1,051,642 | ||||||||||
General Electric Capital Corp., Gtd. Notes, MTN | 6.875% | 01/10/39 | 2,270 | 3,047,870 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes | 5.750% | 05/15/16 | 375 | 384,375 | ||||||||||
Navient LLC, Sr. Unsec’d. Notes, MTN | 8.450% | 06/15/18 | 240 | 266,712 | ||||||||||
6,760,751 | ||||||||||||||
Packaging | ||||||||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV, Gtd. Notes | 4.500% | 01/15/23 | 1,100 | 1,038,818 | ||||||||||
Paper — 0.1% | ||||||||||||||
Georgia-Pacific LLC, Gtd. Notes, 144A (original cost $288,298; purchased 10/27/10)(c)(e) | 5.400% | 11/01/20 | 290 | 323,721 | ||||||||||
International Paper Co., Sr. Unsec’d. Notes | 6.000% | 11/15/41 | 1,595 | 1,719,613 | ||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.950% | 06/15/18 | 510 | 595,478 | ||||||||||
Rock-Tenn Co., Gtd. Notes | 4.900% | 03/01/22 | 800 | 861,424 | ||||||||||
3,500,236 | ||||||||||||||
Pipelines & Other — 0.2% | ||||||||||||||
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A(a) | 4.750% | 09/30/21 | 500 | 494,052 | ||||||||||
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A | 5.350% | 03/15/20 | 1,575 | 1,619,076 | ||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes | 4.650% | 06/01/21 | 675 | 692,782 | ||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a) | 4.900% | 03/15/35 | 250 | 225,577 | ||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a) | 5.150% | 03/15/45 | 620 | 547,804 | ||||||||||
EnLink Midstream Partners LP, Sr. Unsec’d. Notes | 4.150% | 06/01/25 | 820 | 798,393 | ||||||||||
Enterprise Products Operating LLC, Gtd. Notes | 3.750% | 02/15/25 | 1,345 | 1,318,197 | ||||||||||
Kinder Morgan Energy Partners LP, Gtd. Notes | 5.950% | 02/15/18 | 510 | 557,313 | ||||||||||
MPLX LP, Sr. Unsec’d. Notes | 4.000% | 02/15/25 | 1,430 | 1,395,210 | ||||||||||
NiSource Finance Corp., Gtd. Notes | 5.450% | 09/15/20 | 350 | 394,143 | ||||||||||
ONEOK Partners LP, Gtd. Notes | 6.650% | 10/01/36 | 145 | 151,690 | ||||||||||
8,194,237 | ||||||||||||||
Railroads | ||||||||||||||
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | 6.700% | 08/01/28 | 670 | 847,882 | ||||||||||
CSX Corp., Sr. Unsec’d. Notes | 6.150% | 05/01/37 | 715 | 850,731 | ||||||||||
Norfolk Southern Corp., Sr. Unsec’d. Notes | 5.590% | 05/17/25 | 100 | 115,126 | ||||||||||
1,813,739 | ||||||||||||||
Real Estate Investment Trusts (REITs) — 0.1% | ||||||||||||||
Mack-Cali Realty LP, Sr. Unsec’d. Notes | 7.750% | 08/15/19 | 765 | 880,570 | ||||||||||
ProLogis LP, Gtd. Notes | 6.875% | 03/15/20 | 72 | 83,172 | ||||||||||
Select Income REIT, Sr. Unsec’d. Notes | 2.850% | 02/01/18 | 715 | 724,652 | ||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 2.800% | 01/30/17 | 295 | 301,945 | ||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 3.375% | 03/15/22 | 230 | 233,451 | ||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 6.125% | 05/30/18 | 3,080 | 3,460,654 | ||||||||||
5,684,444 | ||||||||||||||
Retailers — 0.1% | ||||||||||||||
CVS Health Corp., Sr. Unsec’d. Notes(a) | 5.300% | 12/05/43 | 225 | 245,179 | ||||||||||
Home Depot, Inc. (The), Sr. Unsec’d. Notes(a) | 4.400% | 03/15/45 | 755 | 753,912 |
SEE NOTES TO FINANCIAL STATEMENTS.
A80
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Retailers (continued) | ||||||||||||||
L Brands, Inc., Gtd. Notes | 5.625% | 02/15/22 | 1,450 | $ | 1,526,125 | |||||||||
Lowe’s Cos., Inc., Sr. Unsec’d. Notes | 6.500% | 03/15/29 | 385 | 484,222 | ||||||||||
Macy’s Retail Holdings, Inc., Gtd. Notes | 3.875% | 01/15/22 | 360 | 373,280 | ||||||||||
Target Corp., Sr. Unsec’d. Notes | 3.500% | 07/01/24 | 345 | 352,174 | ||||||||||
3,734,892 | ||||||||||||||
Technology — 0.2% | ||||||||||||||
Apple, Inc., Sr. Unsec’d. Notes(a) | 3.450% | 02/09/45 | 890 | 754,296 | ||||||||||
Microsoft Corp., Sr. Unsec’d. Notes | 2.375% | 02/12/22 | 3,085 | 3,029,772 | ||||||||||
Microsoft Corp., Sr. Unsec’d. Notes(a) | 2.700% | 02/12/25 | 1,380 | 1,329,823 | ||||||||||
Oracle Corp., Sr. Unsec’d. Notes | 4.300% | 07/08/34 | 920 | 907,252 | ||||||||||
Seagate HDD Cayman, Gtd. Notes | 3.750% | 11/15/18 | 605 | 630,733 | ||||||||||
6,651,876 | ||||||||||||||
Telecommunications — 0.6% | ||||||||||||||
America Movil SAB de CV (Mexico), Gtd. Notes | 6.125% | 03/30/40 | 480 | 555,806 | ||||||||||
AT&T Corp., Gtd. Notes | 8.000% | 11/15/31 | 7 | 9,498 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 3.400% | 05/15/25 | 3,460 | 3,299,830 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 05/15/35 | 430 | 395,293 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.750% | 05/15/46 | 875 | 796,227 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.800% | 06/15/44 | 1,000 | 931,499 | ||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.350% | 09/01/40 | 815 | 802,381 | ||||||||||
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes | 9.625% | 12/15/30 | 400 | 593,669 | ||||||||||
Embarq Corp., Sr. Unsec’d. Notes | 7.082% | 06/01/16 | 325 | 337,977 | ||||||||||
Embarq Corp., Sr. Unsec’d. Notes | 7.995% | 06/01/36 | 480 | 532,176 | ||||||||||
Sprint Communications, Inc., Sr. Unsec’d. Notes | 6.000% | 12/01/16 | 1,075 | 1,104,563 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes(a) | 3.500% | 11/01/24 | 1,270 | 1,235,277 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.862% | 08/21/46 | 1,256 | 1,175,510 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 5.012% | 08/21/54 | 3,127 | 2,869,295 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 6.350% | 04/01/19 | 3,165 | 3,616,782 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A | 4.522% | 09/15/48 | 1,355 | 1,190,391 | ||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes, 144A | 4.672% | 03/15/55 | 2,056 | 1,788,625 | ||||||||||
21,234,799 | ||||||||||||||
Tobacco — 0.1% | ||||||||||||||
Altria Group, Inc., Gtd. Notes(a) | 4.000% | 01/31/24 | 1,500 | 1,523,216 | ||||||||||
Altria Group, Inc., Gtd. Notes | 9.950% | 11/10/38 | 46 | 74,071 | ||||||||||
Altria Group, Inc., Gtd. Notes | 10.200% | 02/06/39 | 254 | 418,269 | ||||||||||
Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A | 2.050% | 02/11/18 | 2,050 | 2,040,584 | ||||||||||
Lorillard Tobacco Co., Gtd. Notes | 3.500% | 08/04/16 | 465 | 475,433 | ||||||||||
RJ Reynolds Tobacco Co., Gtd. Notes | 8.125% | 06/23/19 | 325 | 385,020 | ||||||||||
4,916,593 | ||||||||||||||
TOTAL CORPORATE BONDS |
| 355,351,673 | ||||||||||||
FOREIGN AGENCIES — 0.6% | ||||||||||||||
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 3.150% | 07/24/24 | 800 | 805,553 | ||||||||||
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A | 4.875% | 01/15/24 | 645 | 659,513 | ||||||||||
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes | 5.125% | 06/29/20 | 400 | 448,335 | ||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 9.250% | 04/23/19 | 930 | 1,032,300 | ||||||||||
KFW (Germany), Gov’t. Gtd. Notes, GMTN | 2.750% | 10/01/20 | 3,525 | 3,678,754 | ||||||||||
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A | 1.125% | 05/23/18 | 3,158 | 3,148,412 | ||||||||||
Pemex Project Funding Master Trust (Mexico), Gtd. Notes | 6.625% | 06/15/35 | 1,624 | 1,733,620 | ||||||||||
Pemex Project Funding Master Trust (Mexico), Sr. Unsec’d. Notes | 8.625% | 12/01/23 | 350 | 430,150 | ||||||||||
Petrobras Global Finance BV (Brazil), Gtd. Notes | 2.000% | 05/20/16 | 1,665 | 1,645,303 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes(a) | 3.500% | 01/30/23 | 970 | 920,239 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 4.875% | 01/18/24 | 510 | 522,750 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 5.500% | 01/21/21 | 2,730 | 2,960,685 |
SEE NOTES TO FINANCIAL STATEMENTS.
A81
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
FOREIGN AGENCIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 6.299% | 05/15/17 | 1,030 | $ | 1,040,300 | |||||||||
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A | 1.750% | 04/10/17 | 1,620 | 1,620,923 | ||||||||||
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A | 2.500% | 04/28/20 | 1,250 | 1,231,175 | ||||||||||
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A | 2.750% | 05/07/19 | 665 | 671,716 | ||||||||||
TOTAL FOREIGN AGENCIES |
| 22,549,728 | ||||||||||||
MUNICIPAL BONDS — 0.4% | ||||||||||||||
California — 0.1% | ||||||||||||||
Bay Area Toll Authority, Revenue Bonds, BABs | 6.263% | 04/01/49 | 1,325 | 1,714,312 | ||||||||||
State of California, GO, BABs | 7.300% | 10/01/39 | 1,270 | 1,764,093 | ||||||||||
State of California, GO, BABs | 7.500% | 04/01/34 | 475 | 657,889 | ||||||||||
State of California, GO, BABs | 7.550% | 04/01/39 | 245 | 354,253 | ||||||||||
State of California, GO, BABs | 7.625% | 03/01/40 | 215 | 310,327 | ||||||||||
4,800,874 | ||||||||||||||
Colorado | ||||||||||||||
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs | 5.844% | 11/01/50 | 680 | 847,334 | ||||||||||
Illinois — 0.1% | ||||||||||||||
Chicago O’Hare International Airport, Revenue Bonds, BABs | 6.395% | 01/01/40 | 1,030 | 1,260,370 | ||||||||||
New Jersey — 0.1% | ||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs | 7.414% | 01/01/40 | 1,070 | 1,485,920 | ||||||||||
New York — 0.1% | ||||||||||||||
New York City Transitional Finance Authority, Revenue Bonds, BABs | 5.767% | 08/01/36 | 1,130 | 1,355,830 | ||||||||||
Ohio | ||||||||||||||
Ohio State University (The), Revenue Bonds, BABs | 4.910% | 06/01/40 | 455 | 502,625 | ||||||||||
Ohio State Water Development Authority, Revenue Bonds, BABs | 4.879% | 12/01/34 | 300 | 334,308 | ||||||||||
836,933 | ||||||||||||||
Oregon | ||||||||||||||
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs | 5.834% | 11/15/34 | 445 | 543,354 | ||||||||||
Pennsylvania | ||||||||||||||
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs | 5.511% | 12/01/45 | 550 | 621,874 | ||||||||||
Tennessee | ||||||||||||||
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | 6.731% | 07/01/43 | 1,000 | 1,237,520 | ||||||||||
Texas | ||||||||||||||
Texas State Transportation Commission, Revenue Bonds, Series B, BABs | 5.028% | 04/01/26 | 335 | 381,846 | ||||||||||
TOTAL MUNICIPAL BONDS |
| 13,371,855 | ||||||||||||
SOVEREIGN BONDS 0.4% | ||||||||||||||
Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes(a) | 4.250% | 01/07/25 | 3,275 | 3,162,012 | ||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | 4.000% | 02/26/24 | 1,475 | 1,467,625 | ||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 4.000% | 03/25/19 | 580 | 598,734 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A | 5.875% | 03/13/20 | 1,135 | 1,262,688 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a) | 5.875% | 01/15/24 | 950 | 1,049,750 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A | 6.875% | 01/17/18 | 1,120 | 1,253,538 | ||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes | 3.625% | 03/15/22 | 700 | 708,400 | ||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN | 4.750% | 03/08/44 | 1,006 | 955,700 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 3.750% | 03/16/25 | 600 | 591,000 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 4.000% | 09/22/24 | 515 | 517,575 |
SEE NOTES TO FINANCIAL STATEMENTS.
A82
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
SOVEREIGN BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 5.200% | 01/30/20 | 620 | $ | 683,240 | |||||||||
Province of British Columbia (Canada), Sr. Unsec’d. Notes | 2.000% | 10/23/22 | 1,620 | 1,586,785 | ||||||||||
Romanian Government International Bond (Romania), Sr. Unsec’d. | 6.125% | 01/22/44 | 400 | 448,800 | ||||||||||
Romanian Government International Bond (Romania), Sr. Unsec’d. | 4.875% | 01/22/24 | 190 | 200,925 | ||||||||||
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, 144A | 4.125% | 02/18/19 | 200 | 208,000 | ||||||||||
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes | 7.000% | 06/05/20 | 1,710 | 1,951,903 | ||||||||||
TOTAL SOVEREIGN BONDS |
| 16,646,675 | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS 9.1% | ||||||||||||||
Federal Home Loan Bank | 0.375% | 08/28/15 | 460 | 460,197 | ||||||||||
Federal Home Loan Bank(g)(h) | 5.500% | 07/15/36 | 1,080 | 1,397,237 | ||||||||||
Federal Home Loan Mortgage Corp.(h) | 0.750% | 01/12/18 | 685 | 681,589 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.236% | (b) | 12/01/35 | 292 | 310,573 | |||||||||
Federal Home Loan Mortgage Corp. | 2.292% | (b) | 06/01/36 | 441 | 469,133 | |||||||||
Federal Home Loan Mortgage Corp.(a)(g) | 2.375% | 01/13/22 | 6,020 | 6,095,069 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.500% | 03/01/30 | 978 | 990,718 | ||||||||||
Federal Home Loan Mortgage Corp.(i) | 3.000% | TBA | 9,000 | 8,946,211 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 10/01/28-01/01/43 | 4,855 | 4,969,527 | ||||||||||
Federal Home Loan Mortgage Corp.(i) | 3.500% | TBA | 9,500 | 9,747,705 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 12/01/25-06/01/42 | 3,439 | 3,618,500 | ||||||||||
Federal Home Loan Mortgage Corp.(i) | 4.000% | TBA | 4,000 | 4,230,078 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 06/01/26-12/01/40 | 4,970 | 5,284,171 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 02/01/19-10/01/41 | 13,359 | 14,448,165 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/18-06/01/39 | 3,860 | 4,214,655 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 12/01/33-07/01/38 | 3,970 | 4,445,023 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 03/01/32-08/01/39 | 1,952 | 2,217,159 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 01/01/31-10/01/32 | 275 | 318,917 | ||||||||||
Federal National Mortgage Assoc.(a)(g) | 1.500% | 06/22/20 | 6,650 | 6,571,138 | ||||||||||
Federal National Mortgage Assoc. | 1.625% | 01/21/20 | 225 | 224,688 | ||||||||||
Federal National Mortgage Assoc. | 1.875% | 02/19/19 | 230 | 234,335 | ||||||||||
Federal National Mortgage Assoc. | 1.959% | (b) | 07/01/33 | 345 | 363,739 | |||||||||
Federal National Mortgage Assoc. | 2.059% | (b) | 06/01/37 | 138 | 139,095 | |||||||||
Federal National Mortgage Assoc.(i) | 2.500% | TBA | 10,750 | 10,880,224 | ||||||||||
Federal National Mortgage Assoc. | 2.500% | 01/01/28-10/01/43 | 3,922 | 3,907,778 | ||||||||||
Federal National Mortgage Assoc.(i) | 3.000% | TBA | 35,000 | 34,869,433 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 02/01/27-12/01/42 | 6,465 | 6,634,917 | ||||||||||
Federal National Mortgage Assoc.(i) | 3.500% | TBA | 500 | 527,320 | ||||||||||
Federal National Mortgage Assoc.(i) | 3.500% | TBA | 2,000 | 2,061,094 | ||||||||||
Federal National Mortgage Assoc.(i) | 3.500% | TBA | 9,500 | 9,764,961 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 07/01/27-03/01/43 | 38,393 | 39,771,045 | ||||||||||
Federal National Mortgage Assoc.(i) | 4.000% | TBA | 20,500 | 21,671,301 | ||||||||||
Federal National Mortgage Assoc.(i) | 4.000% | TBA | 11,500 | 12,184,025 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 09/01/44 | 7,508 | 7,958,642 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 11/01/18-05/01/44 | 10,832 | 11,752,679 | ||||||||||
Federal National Mortgage Assoc.(i) | 5.000% | TBA | 4,000 | 4,418,750 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 10/01/18-02/01/36 | 3,965 | 4,383,466 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 03/01/16-08/01/37 | 5,741 | 6,451,260 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 09/01/17-05/01/38 | 5,089 | 5,795,999 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/17-09/01/37 | 1,883 | 2,183,743 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 02/01/32-07/01/32 | 201 | 234,340 | ||||||||||
Federal National Mortgage Assoc. | 7.500% | 05/01/32 | 41 | 43,476 | ||||||||||
Financing Corp., Strips Principal, Series A-P | 1.282% | (f) | 10/06/17 | 1,570 | 1,532,201 | |||||||||
Financing Corp., Strips Principal, Series B-P | 1.282% | (f) | 10/06/17 | 2,140 | 2,095,991 | |||||||||
Government National Mortgage Assoc.(i) | 3.000% | TBA | 2,500 | 2,523,438 | ||||||||||
Government National Mortgage Assoc.(i) | 3.000% | TBA | 4,500 | 4,542,539 |
SEE NOTES TO FINANCIAL STATEMENTS.
A83
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Government National Mortgage Assoc.(i) | 3.500% | TBA | 26,000 | $ | 26,984,144 | |||||||||
Government National Mortgage Assoc. | 3.500% | 05/20/43-04/20/45 | 3,886 | 4,051,792 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 06/15/40-04/20/45 | 11,057 | 11,738,203 | ||||||||||
Government National Mortgage Assoc.(i) | 4.500% | TBA | 2,000 | 2,171,562 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 04/15/40-12/20/44 | 12,483 | 13,548,014 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 11/15/32-02/15/36 | 2,457 | 2,810,923 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 02/15/33-10/15/34 | 1,186 | 1,367,608 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 10/15/23-07/15/35 | 1,396 | 1,614,740 | ||||||||||
Government National Mortgage Assoc. | 8.000% | 01/15/24-04/15/25 | 39 | 44,176 | ||||||||||
Hashemite Kingdom of Jordan Government USAID Bond, U.S. Gov’t. Gtd. Notes | 2.503% | 10/30/20 | 1,378 | 1,422,789 | ||||||||||
Hashemite Kingdom of Jordan Government USAID Bond, U.S. Gov’t. Gtd. Notes | 2.578% | 06/30/22 | 5,450 | 5,477,250 | ||||||||||
Residual Funding Corp. Principal Strip, Bonds | 1.825% | (f) | 10/15/19 | 1,535 | 1,416,827 | |||||||||
Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes | 1.847% | 05/29/20 | 5,045 | 5,048,975 | ||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 354,263,247 | ||||||||||||
U.S. TREASURY OBLIGATIONS — 2.4% | ||||||||||||||
U.S. Treasury Bonds(a) | 2.500% | 02/15/45 | 1,285 | 1,130,903 | ||||||||||
U.S. Treasury Bonds | 2.750% | 08/15/42-11/15/42 | 1,690 | 1,572,247 | ||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 0.125% | 04/15/20 | 8,077 | 8,142,025 | ||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 1.375% | 01/15/20 | 6,083 | 6,503,016 | ||||||||||
U.S. Treasury Notes | 1.000% | 09/30/19 | 5,245 | 5,147,065 | ||||||||||
U.S. Treasury Notes | 1.375% | 12/31/18 | 1,830 | 1,840,436 | ||||||||||
U.S. Treasury Notes(h) | 1.500% | 01/31/19 | 10,845 | 10,944,134 | ||||||||||
U.S. Treasury Notes | 1.500% | 05/31/19 | 6,950 | 6,988,552 | ||||||||||
U.S. Treasury Notes | 1.625% | 04/30/19-06/30/20 | 32,513 | 32,668,053 | ||||||||||
U.S. Treasury Notes | 2.125% | 09/30/21 | 2,755 | 2,782,550 | ||||||||||
U.S. Treasury Notes | 2.250% | 03/31/21 | 110 | 112,372 | ||||||||||
U.S. Treasury Notes | 3.125% | 05/15/19-05/15/21 | 1,660 | 1,771,726 | ||||||||||
U.S. Treasury Strips Coupon | 2.184% | (f) | 02/15/28 | 5,465 | 3,865,886 | |||||||||
U.S. Treasury Strips Coupon | 2.241% | (f) | 05/15/28 | 2,735 | 1,918,676 | |||||||||
U.S. Treasury Strips Coupon | 2.280% | (f) | 02/15/29 | 2,735 | 1,861,756 | |||||||||
U.S. Treasury Strips Coupon | 2.384% | (f) | 05/15/29 | 5,640 | 3,801,518 | |||||||||
U.S. Treasury Strips Principal | 2.351% | (f) | 05/15/43 | 3,320 | 1,334,434 | |||||||||
U.S. Treasury Strips Principal | 3.563% | (f) | 05/15/44 | 5,485 | 2,147,081 | |||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 94,532,430 | ||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 3,560,240,502 | ||||||||||||
SHORT-TERM INVESTMENTS — 14.6% | Shares | |||||||||||||
AFFILIATED MUTUAL FUNDS — 14.3% | ||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund | 13,648,612 | 127,478,033 | ||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund | 424,089,504 | 424,089,504 | ||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 551,567,537 | ||||||||||||
OPTIONS PURCHASED* | Notional Amount (000)# | |||||||||||||
Call Options | ||||||||||||||
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $152.00 | 37,700 | 647,969 | ||||||||||||
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $160.00 | 18,900 | 41,344 | ||||||||||||
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $164.00 | 18,800 | 14,687 | ||||||||||||
TOTAL OPTIONS PURCHASED |
| 704,000 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A84
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
U.S. TREASURY OBLIGATION — 0.3% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
U.S. Treasury Bill | 0.110% | (l) | 09/17/15 | 10,250 | $ | 10,250,000 | ||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 562,521,537 | ||||||||||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 106.6% |
| 4,122,762,039 | ||||||||||||
OPTIONS WRITTEN* | Notional Amount (000)# | |||||||||||||
Call Options | ||||||||||||||
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $156.00 | 37,800 | (242,157 | ) | |||||||||||
U.S. Treasury Long Bond Futures, expiring 07/24/15, Strike Price $158.00 | 37,600 | (141,000 | ) | |||||||||||
TOTAL OPTIONS WRITTEN |
| (383,157 | ) | |||||||||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 106.6% |
| 4,122,378,882 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(m) — (6.6)% |
| (256,502,976 | ) | |||||||||||
NET ASSETS — 100.0% |
| $ | 3,865,875,906 | |||||||||||
See the Glossary for abbreviations used in the Portfolio descriptions.
# | 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 $103,974,613; cash collateral of $106,610,240 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2015. |
(c) | Indicates a security or securities that have been deemed illiquid. |
(d) | Represents issuer in default on interest payments. Non-income producing security. Such securities may be post maturity. |
(e) | Indicates a restricted security; the aggregate original cost of the restricted securities is $7,364,067. The aggregate value of $7,433,654 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 swap agreements. |
(h) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(i) | All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of $151,250,000 is approximately 3.91% of net assets. |
(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) | Rate quoted represents yield-to-maturity as of purchase date. |
(m) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2015:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2015 | Unrealized Appreciation (Depreciation)(1) | |||||||||||||||
Long Positions: | ||||||||||||||||||||
97 | 2 Year U.S. Treasury Notes | Sep. 2015 | $ | 21,244,653 | $ | 21,236,938 | $ | (7,715 | ) | |||||||||||
666 | 5 Year U.S. Treasury Notes | Sep. 2015 | 79,286,592 | 79,425,703 | 139,111 | |||||||||||||||
330 | 10 Year U.S. Treasury Notes | Sep. 2015 | 41,451,438 | 41,636,719 | 185,281 | |||||||||||||||
109 | DAX Index | Sep. 2015 | 33,351,489 | 33,422,247 | 70,758 |
SEE NOTES TO FINANCIAL STATEMENTS.
A85
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Futures contracts outstanding at June 30, 2015 (continued):
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2015 | Unrealized Appreciation (Depreciation)(1) | |||||||||||||
869 | DJ Euro Stoxx 50 Index | Sep. 2015 | $ | 33,267,755 | $ | 33,288,188 | $ | 20,433 | ||||||||||
278 | IBEX 35 Index | Jul. 2015 | 33,233,147 | 33,394,526 | 161,379 | |||||||||||||
20 | MSCI EAFE Index Mini | Sep. 2015 | 1,883,147 | 1,834,000 | (49,147 | ) | ||||||||||||
257 | U.S. Ultra Bonds | Sep. 2015 | 40,668,214 | 39,594,063 | (1,074,151 | ) | ||||||||||||
(554,051 | ) | |||||||||||||||||
Short Position: | ||||||||||||||||||
150 | U.S. Long Bonds | Sep. 2015 | 23,001,715 | 22,626,563 | 375,152 | |||||||||||||
$ | (178,899 | ) | ||||||||||||||||
(1) | U.S. Treasury Obligation with a market value of $10,250,000 has been segregated with Goldman Sachs & Co. and U.S. Government Agency securities and a U.S Treasury Obligation with a combined market value of $2,537,005 have been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2015. |
Interest rate swap agreements outstanding at June 30, 2015:
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) | $ | 16,715 | $ | — | $ | 16,715 | Credit Suisse First Boston Corp. | ||||||||||||||||
�� |
Notional Amount (000) | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2015 | Unrealized Appreciation | ||||||||||||||||||
| Exchange-traded swap agreements: |
| ||||||||||||||||||||||
26,370 | 12/31/21 | 1.831% | 3 Month LIBOR(1) | $ | 76,518 | $ | 354,133 | $ | 277,615 | |||||||||||||||
22,285 | 12/31/21 | 1.950% | 3 Month LIBOR(1) | 89,948 | 135,173 | 45,225 | ||||||||||||||||||
50,090 | 05/31/22 | 2.200% | 3 Month LIBOR(1) | (70,213 | ) | (55,484 | ) | 14,729 | ||||||||||||||||
$ | 96,253 | $ | 433,822 | $ | 337,569 | |||||||||||||||||||
(1) | Portfolio pays the fixed rate and receives the floating rate. |
Credit default swap agreements outstanding at June 30, 2015:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)(3) | Fair Value(4) | Upfront Premiums Paid (Received) | Unrealized Appreciation | Counterparty | |||||||||||||||||||
Over-the-counter credit default swaps on credit indices—Sell Protection(2): | ||||||||||||||||||||||||||
CDX.NA.HY.17.V5 | 12/20/16 | 5.000% | 1,380 | $ | 76,571 | $ | 57,883 | $ | 18,688 | Credit Suisse First Boston Corp. | ||||||||||||||||
CDX.NA.HY.17.V5 | 12/20/16 | 5.000% | 3,680 | 204,189 | 158,956 | 45,233 | Deutsche Bank AG | |||||||||||||||||||
CDX.NA.HY.17.V5 | 12/20/16 | 5.000% | 5,060 | 280,760 | 221,727 | 59,033 | Deutsche Bank AG | |||||||||||||||||||
$ | 561,520 | $ | 438,566 | $ | 122,954 | |||||||||||||||||||||
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)(3) | Value at Trade Date | Value at June 30, 2015 | Unrealized Appreciation | ||||||||||||||||||
Exchange-traded credit default swaps on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.IG.24.V1 | 06/20/20 | 1.000% | 51,500 | $ | (969,274 | ) | $ | (734,773 | ) | $ | 234,501 | |||||||||||||
U.S. Government Agency Obligations with a combined market value of $3,994,958 have been segregated with Citigroup Global Markets to cover requirements for open interest rate and credit default exchange-traded swap contracts at June 30, 2015.
SEE NOTES TO FINANCIAL STATEMENTS.
A86
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Series will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The fair value of credit default swap agreements on asset-backed securities and credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1—quoted | prices generally in active markets for identical securities. |
Level 2—quoted | prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3—unobservable | inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 2,214,439,295 | $ | 176,487,474 | $ | — | ||||||
Exchange Traded Fund | 1,311,069 | — | — | |||||||||
Preferred Stocks | 571,120 | 1,635,146 | — | |||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Debt Obligation | — | 435,911 | — | |||||||||
Collateralized Loan Obligations | — | 61,007,816 | — | |||||||||
Non-Residential Mortgage-Backed Securities | — | 22,943,259 | 9,776,920 | |||||||||
Residential Mortgage-Backed Securities | — | 45,465,398 | — | |||||||||
Bank Loans | — | 5,493,531 | — | |||||||||
Collateralized Mortgage Obligations | — | 23,842,010 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 140,115,945 | — | |||||||||
Corporate Bonds | — | 355,280,978 | 70,695 | |||||||||
Foreign Agencies | — | 22,549,728 | — | |||||||||
Municipal Bonds | — | 13,371,855 | — | |||||||||
Sovereign Bonds | — | 16,646,675 | — | |||||||||
U.S. Government Agency Obligations | — | 354,263,247 | — | |||||||||
U.S. Treasury Obligations | — | 104,782,430 | — | |||||||||
Affiliated Mutual Funds | 551,567,537 | — | — | |||||||||
Options Purchased | 704,000 | — | — | |||||||||
Options Written | (383,157 | ) | — | — | ||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | (178,899 | ) | — | — | ||||||||
Over-the-counter interest rate swap | — | 16,715 | — | |||||||||
Exchange-traded interest rate swaps | — | 337,569 | — | |||||||||
Over-the-counter credit default swaps | — | 561,520 | — | |||||||||
Exchange-traded credit default swap | — | 234,501 | — | |||||||||
Total | $ | 2,768,030,965 | $ | 1,345,471,708 | $ | 9,847,615 | ||||||
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and exchange-traded swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and over-the-counter swap contracts which are recorded at fair value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A87
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:
Affiliated Mutual Funds (including 2.8% of collateral for securities on loan) | 14.3 | % | ||
U.S. Government Agency Obligations | 9.1 | |||
Oil, Gas & Consumable Fuels | 4.5 | |||
Banks | 4.0 | |||
Pharmaceuticals | 3.7 | |||
Commercial Mortgage-Backed Securities | 3.6 | |||
Technology Hardware, Storage & Peripherals | 3.2 | |||
Banking | 3.0 | |||
U.S. Treasury Obligations | 2.7 | |||
Biotechnology | 2.3 | |||
Insurance | 2.2 | |||
Software | 2.2 | |||
Health Care Providers & Services | 2.1 | |||
Media | 2.1 | |||
Aerospace & Defense | 1.9 | |||
Semiconductors & Semiconductor Equipment | 1.8 | |||
Specialty Retail | 1.8 | |||
Chemicals | 1.7 | |||
Beverages | 1.7 | |||
Capital Markets | 1.6 | |||
IT Services | 1.6 | |||
Collateralized Loan Obligations | 1.6 | |||
Household Products | 1.5 | |||
Internet Software & Services | 1.5 | |||
Real Estate Investment Trusts (REITs) | 1.4 | |||
Diversified Telecommunication Services | 1.4 | |||
Food & Staples Retailing | 1.3 | |||
Health Care Equipment & Supplies | 1.2 | |||
Residential Mortgage-Backed Securities | 1.2 | |||
Hotels, Restaurants & Leisure | 1.1 | |||
Diversified Financial Services | 1.0 | |||
Industrial Conglomerates | 1.0 | |||
Communications Equipment | 1.0 | |||
Tobacco | 0.9 | |||
Non-Residential Mortgage-Backed Securities | 0.8 | |||
Healthcare & Pharmaceutical | 0.8 | |||
Air Freight & Logistics | 0.8 | |||
Food Products | 0.8 | |||
Energy Equipment & Services | 0.8 | |||
Electric Utilities | 0.7 | |||
Foreign Agencies | 0.6 | |||
Collateralized Mortgage Obligations | 0.6 | |||
Multiline Retail | 0.6 | |||
Airlines | 0.6 | |||
Real Estate Management & Development | 0.6 | |||
Road & Rail | 0.6 | |||
Telecommunications | 0.6 | |||
Machinery | 0.5 |
Textiles, Apparel & Luxury Goods | 0.5 | % | ||
Internet & Catalog Retail | 0.5 | |||
Life Sciences Tools & Services | 0.5 | |||
Multi-Utilities | 0.5 | |||
Sovereign Bonds | 0.4 | |||
Paper & Forest Products | 0.4 | |||
Independent Power & Renewable Electricity Producers | 0.4 | |||
Electric | 0.4 | |||
Energy – Other | 0.4 | |||
Municipal Bonds | 0.4 | |||
Automobiles | 0.4 | |||
Capital Goods | 0.3 | |||
Auto Components | 0.3 | |||
Electrical Equipment | 0.3 | |||
Electronic Equipment, Instruments & Components | 0.3 | |||
Gas Utilities | 0.3 | |||
Technology | 0.3 | |||
Cable | 0.2 | |||
Consumer Finance | 0.2 | |||
Building Products | 0.2 | |||
Pipelines & Other | 0.2 | |||
Foods | 0.2 | |||
Media & Entertainment | 0.2 | |||
Non-Captive Finance | 0.2 | |||
Metals & Mining | 0.2 | |||
Lodging | 0.2 | |||
Healthcare Insurance | 0.2 | |||
Automotive | 0.1 | |||
Household Durables | 0.1 | |||
Leisure Products | 0.1 | |||
Retailers | 0.1 | |||
Metals | 0.1 | |||
Energy – Integrated | 0.1 | |||
Construction Materials | 0.1 | |||
Paper | 0.1 | |||
Containers & Packaging | 0.1 | |||
Building Materials & Construction | 0.1 | |||
Wireless Telecommunication Services | 0.1 | |||
Trading Companies & Distributors | 0.1 | |||
Gaming | 0.1 | |||
Construction & Engineering | 0.1 | |||
Options Purchased | — | * | ||
106.6 | ||||
Liabilities in excess of other assets | (6.6 | ) | ||
100.0 | % | |||
* | Less than 0.05% |
SEE NOTES TO FINANCIAL STATEMENTS.
A88
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (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, 2015 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Credit contracts | Premiums paid for swap agreements | $ | 438,566 | — | $ | — | ||||||
Credit contracts | Unrealized appreciation on over-the-counter swap agreements | 122,954 | — | — | ||||||||
Credit contracts | Due from/to broker — variation margin swaps | 234,501 | * | — | — | |||||||
Equity contacts | Due from/to broker —variation margin futures | 252,570 | * | Due from/to broker —variation margin futures | 49,147 | * | ||||||
Interest rate contracts | Due from/to broker —variation margin futures | 699,544 | * | Due from/to broker —variation margin futures | 1,081,866 | * | ||||||
Interest rate contracts | Unaffiliated investments | 704,000 | Options written outstanding, at value | 383,157 | ||||||||
Interest rate contracts | Unrealized appreciation on over-the-counter swap agreements | 16,715 | — | — | ||||||||
Interest rate contracts | Due from/to broker —variation margin swaps | 337,569 | * | — | — | |||||||
Total | $ | 2,806,419 | $ | 1,514,170 | ||||||||
* | 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, 2015 are as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not accounted for as hedging | Rights* | Options Purchased* | Options Written | Futures | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (514,091 | ) | $ | (514,091 | ) | ||||||||||
Equity | (745 | ) | — | — | 5,042,948 | — | 5,042,203 | |||||||||||||||||
Interest rate contracts | — | (1,323,064 | ) | 364,167 | (1,543,705 | ) | (19,947 | ) | (2,522,549 | ) | ||||||||||||||
$ | (745 | ) | $ | (1,323,064 | ) | $ | 364,167 | $ | 3,499,243 | $ | (534,038 | ) | $ | 2,005,563 | ||||||||||
* | 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** | Options Written | Futures | Swaps | Total | |||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | 356,157 | $ | 356,157 | ||||||||||
Equity contracts | — | — | (3,149,471 | ) | — | (3,149,471 | ) | |||||||||||||
Interest rate contracts | 82,631 | (81,620 | ) | (971,862 | ) | 395,926 | (574,925 | ) | ||||||||||||
$ | 82,631 | $ | (81,620 | ) | $ | (4,121,333 | ) | $ | 752,083 | $ | (3,368,239 | ) | ||||||||
** | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A89
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
For the six months ended June 30, 2015, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures | Futures | |||
$341,388 | $116,867 | $255,975,686 | $13,093,134 |
Interest Rate Swaps(2) | Credit Default | Credit Default | ||
$100,123 | $56,803 | $10,267 |
(1) | Cost. |
(2) | Notional Amount in USD (000). |
(3) | Value at Trade Date. |
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 | ||||||||||||
Credit Suisse First Boston Corp. | $ | 93,286 | $ | — | $ | (469,000 | ) | $ | — | |||||||
Deutsche Bank AG | 484,949 | — | (610,836 | ) | — | |||||||||||
$ | 578,235 | |||||||||||||||
Counterparty | Gross amounts of recognized liabilities(2) | Gross amounts available for offset | Collateral Pledged(3) | Net Amount | ||||||||||||
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.
A90
FLEXIBLE MANAGED PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES (Unaudited)
as of June 30, 2015
ASSETS | ||||
Investments at value, including securities on loan of $103,974,613: | ||||
Unaffiliated investments (cost $3,055,653,331) | $ | 3,571,194,502 | ||
Affiliated investments (cost $558,268,968) | 551,567,537 | |||
Foreign currency, at value (cost $6,926,960) | 6,924,015 | |||
Receivable for investments sold | 68,482,883 | |||
Dividends and interest receivable | 10,829,462 | |||
Tax reclaim receivable | 458,515 | |||
Premium paid for swap agreements | 438,566 | |||
Unrealized appreciation on over-the-counter swap agreements | 139,669 | |||
Due from broker—variation margin swaps | 16,838 | |||
Receivable for Series shares sold | 976 | |||
Prepaid expenses | 4,442 | |||
Total Assets | 4,210,057,405 | |||
LIABILITIES | ||||
Payable for investments purchased | 228,700,128 | |||
Payable to broker for collateral for securities on loan | 106,610,240 | |||
Due to broker—variation margin futures | 5,120,982 | |||
Management fee payable | 1,932,786 | |||
Payable for Series shares repurchased | 694,792 | |||
Payable to custodian | 430,404 | |||
Options written outstanding, at value | 383,157 | |||
Accrued expenses and other liabilities | 308,084 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 344,181,499 | |||
NET ASSETS | $ | 3,865,875,906 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 2,338,863,532 | ||
Retained earnings | 1,527,012,374 | |||
Net assets, June 30, 2015 | $ | 3,865,875,906 | ||
Net asset value and redemption price per share $3,865,875,906 / 161,695,081 outstanding shares of beneficial interest | $ | 23.91 | ||
STATEMENT OF OPERATIONS (Unaudited)
Six Months Ended June 30, 2015
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $317,006) | $ | 30,214,877 | ||
Interest income | 15,899,581 | |||
Affiliated dividend income | 976,349 | |||
Affiliated income from securities lending, net | 106,369 | |||
Total income | 47,197,176 | |||
EXPENSES | ||||
Management fee | 11,739,630 | |||
Custodian and accounting fees | 285,000 | |||
Shareholders’ reports | 111,000 | |||
Insurance expenses | 26,000 | |||
Trustees’ fees | 19,000 | |||
Audit fee | 19,000 | |||
Legal fees and expenses | 9,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Miscellaneous | 29,437 | |||
Total expenses | 12,244,067 | |||
NET INVESTMENT INCOME | 34,953,109 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 140,787,405 | |||
Futures transactions | 3,499,243 | |||
Options written transactions | 364,167 | |||
Swap agreement transactions | (534,038 | ) | ||
Foreign currency transactions | (146,917 | ) | ||
143,969,860 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated: $577) | (141,701,520 | ) | ||
Futures | (4,121,333 | ) | ||
Securities Sold Short | 4,160 | |||
Options written | (81,620 | ) | ||
Swap agreements | 752,083 | |||
Foreign currencies | 24,723 | |||
(145,123,507 | ) | |||
NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (1,153,647 | ) | ||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 33,799,462 | ||
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended June 30, 2015 | Year Ended December 31, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 34,953,109 | $ | 63,798,028 | ||||
Net realized gain on investment and foreign currency transactions | 143,969,860 | 396,359,030 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (145,123,507 | ) | (57,434,131 | ) | ||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 33,799,462 | 402,722,927 | ||||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [203,374 and 562,392 shares, respectively] | 4,887,181 | 12,588,751 | ||||||
Series shares repurchased [4,845,437 and 8,998,418 shares, respectively] | (116,622,347 | ) | (202,125,849 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (111,735,166 | ) | (189,537,098 | ) | ||||
TOTAL INCREASE (DECREASE) | (77,935,704 | ) | 213,185,829 | |||||
NET ASSETS: | ||||||||
Beginning of period | 3,943,811,610 | 3,730,625,781 | ||||||
End of period | $ | 3,865,875,906 | $ | 3,943,811,610 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A91
GLOBAL PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
LONG-TERM INVESTMENTS — 96.6% | Value (Note 2) | |||||||
COMMON STOCKS — 96.6% | Shares | |||||||
Australia — 1.4% | ||||||||
AGL Energy Ltd. | 47,200 | $ | 565,405 | |||||
Arrium Ltd. | 894,400 | 93,336 | ||||||
Ausdrill Ltd. | 123,200 | 37,038 | ||||||
Bendigo & Adelaide Bank Ltd. | 67,200 | 635,422 | ||||||
Bradken Ltd. | 98,900 | 109,378 | ||||||
Challenger Ltd. | 150,800 | 781,687 | ||||||
Downer EDI Ltd. | 182,200 | 670,632 | ||||||
Fortescue Metals Group Ltd.(a) | 188,800 | 278,056 | ||||||
Independence Group NL | 114,300 | 367,727 | ||||||
Lend Lease Group | 114,600 | 1,325,037 | ||||||
Macquarie Group Ltd. | 50,913 | 3,189,980 | ||||||
Metcash Ltd.(a) | 276,300 | 235,095 | ||||||
Mineral Resources Ltd. | 49,900 | 253,682 | ||||||
National Australia Bank Ltd. | 33,588 | 862,678 | ||||||
Pacific Brands Ltd.* | 460,600 | 113,476 | ||||||
Primary Health Care Ltd. | 139,400 | 541,061 | ||||||
10,059,690 | ||||||||
Austria — 0.2% | ||||||||
OMV AG | 36,200 | 996,578 | ||||||
Voestalpine AG | 14,500 | 604,324 | ||||||
1,600,902 | ||||||||
Belgium — 0.3% | ||||||||
AGFA-Gevaert NV* | 86,100 | 239,972 | ||||||
Delhaize Group | 21,500 | 1,748,755 | ||||||
1,988,727 | ||||||||
Canada — 1.9% | ||||||||
Alimentation Couche-Tard, Inc. (Class B Stock) | 85,830 | 3,671,655 | ||||||
Brookfield Asset Management, Inc. (Class A Stock) | 111,910 | 3,909,016 | ||||||
Canadian Natural Resources Ltd. | 77,400 | 2,102,184 | ||||||
Canadian Pacific Railway Ltd. | 15,150 | 2,427,484 | ||||||
Suncor Energy, Inc. | 71,200 | 1,960,993 | ||||||
14,071,332 | ||||||||
China — 1.6% | ||||||||
Baidu, Inc., ADR* | 9,803 | 1,951,581 | ||||||
China Overseas Land & Investment Ltd. | 542,000 | 1,907,904 | ||||||
Lenovo Group Ltd. | 1,732,000 | 2,394,602 | ||||||
NetEase, Inc., ADR | 15,734 | 2,279,306 | ||||||
Poly Property Group Co. Ltd. | 412,000 | 198,898 | ||||||
Shougang Fushan Resources Group Ltd. | 1,160,000 | 270,540 | ||||||
Tencent Holdings Ltd. | 147,900 | 2,957,487 | ||||||
11,960,318 | ||||||||
Denmark — 0.7% | ||||||||
A.P. Moeller – Maersk A/S (Class B Stock) | 400 | 723,217 | ||||||
Novo Nordisk A/S (Class B Stock) | 59,227 | 3,250,075 | ||||||
TDC A/S | 161,500 | 1,183,851 | ||||||
5,157,143 | ||||||||
Finland — 0.6% | ||||||||
Sampo OYJ (Class A Stock) | 58,787 | 2,770,460 | ||||||
Tieto OYJ | 25,300 | 590,705 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Finland (continued) | ||||||||
UPM-Kymmene OYJ | 57,300 | $ | 1,013,977 | |||||
4,375,142 | ||||||||
France — 3.9% | ||||||||
Alstom SA* | 26,800 | 761,236 | ||||||
Arkema SA | 7,200 | 520,472 | ||||||
AXA SA | 37,000 | 938,020 | ||||||
BNP Paribas SA | 16,000 | 970,926 | ||||||
Cap Gemini SA | 43,815 | 3,887,123 | ||||||
Cie Generale des Etablissements Michelin | 12,000 | 1,262,689 | ||||||
CNP Assurances | 34,000 | 569,051 | ||||||
Credit Agricole SA | 78,500 | 1,172,004 | ||||||
Electricite de France SA | 61,800 | 1,382,384 | ||||||
Hermes International | 3,499 | 1,306,458 | ||||||
JCDecaux SA | 42,632 | 1,782,802 | ||||||
Renault SA | 12,300 | 1,289,626 | ||||||
Sanofi | 22,800 | 2,255,607 | ||||||
SCOR SE | 22,000 | 777,954 | ||||||
Societe Generale SA | 21,400 | 1,004,171 | ||||||
Thales SA | 27,900 | 1,685,750 | ||||||
Total SA | 84,783 | 4,158,696 | ||||||
Valeo SA | 18,468 | 2,921,330 | ||||||
28,646,299 | ||||||||
Germany — 2.9% | ||||||||
Allianz SE | 9,800 | 1,528,324 | ||||||
Aurubis AG | 6,200 | 364,236 | ||||||
BASF SE | 13,500 | 1,187,907 | ||||||
Bayerische Motoren Werke AG | 35,373 | 3,873,864 | ||||||
Continental AG | 13,314 | 3,152,460 | ||||||
Daimler AG | 23,700 | 2,158,971 | ||||||
Deutsche Bank AG | 27,100 | 814,809 | ||||||
E.ON SE | 46,000 | 613,387 | ||||||
Freenet AG | 29,700 | 1,000,409 | ||||||
Hannover Rueck SE | 9,800 | 948,511 | ||||||
Merck KGaA | 4,700 | 468,545 | ||||||
Muenchener Rueckversicherungs AG | 5,700 | 1,010,580 | ||||||
Rational AG | 2,681 | 984,699 | ||||||
Rheinmetall AG | 13,300 | 674,616 | ||||||
Stada Arzneimittel AG | 14,500 | 489,116 | ||||||
Volkswagen AG | 7,400 | 1,713,448 | ||||||
Wincor Nixdorf AG | 13,000 | 510,962 | ||||||
21,494,844 | ||||||||
Hong Kong — 1.2% | ||||||||
AIA Group Ltd. | 514,000 | 3,360,870 | ||||||
Cheung Kong Property Holdings Ltd.* | 46,000 | 381,575 | ||||||
China Resources Cement Holdings Ltd. | 1,173,000 | 653,796 | ||||||
CK Hutchison Holdings Ltd. | 46,000 | 676,291 | ||||||
First Pacific Co. Ltd. | 133,000 | 112,213 | ||||||
Huabao International Holdings Ltd. | 1,045,000 | 628,243 | ||||||
Kingboard Chemical Holdings Ltd. | 216,000 | 373,088 | ||||||
Singamas Container Holdings Ltd. | 2,676,000 | 485,169 | ||||||
Skyworth Digital Holdings Ltd. | 1,072,000 | 954,350 | ||||||
Yue Yuen Industrial Holdings Ltd. | 220,500 | 737,552 | ||||||
8,363,147 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A92
GLOBAL PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
India — 0.9% | ||||||||
HDFC Bank Ltd., ADR | 71,267 | $ | 4,313,791 | |||||
Tata Motors Ltd., ADR | 69,853 | 2,407,833 | ||||||
6,721,624 | ||||||||
Indonesia — 0.3% | ||||||||
PT Bank Rakyat Indonesia (Persero) Tbk | 2,284,400 | 1,768,052 | ||||||
Ireland — 0.8% | ||||||||
Permanent TSB Group Holdings PLC* | 513 | 2,684 | ||||||
Ryanair Holdings PLC, ADR | 38,861 | 2,772,732 | ||||||
Smurfit Kappa Group PLC | 35,200 | 970,181 | ||||||
XL Group PLC | 55,052 | 2,047,934 | ||||||
5,793,531 | ||||||||
Israel — 1.2% | ||||||||
Bank Hapoalim BM | 128,000 | 688,890 | ||||||
Check Point Software Technologies Ltd.*(a) | 32,288 | 2,568,510 | ||||||
Elbit Systems Ltd. | 11,400 | 894,747 | ||||||
Teva Pharmaceutical Industries Ltd. | 16,300 | 964,601 | ||||||
Teva Pharmaceutical Industries Ltd., ADR | 65,592 | 3,876,487 | ||||||
8,993,235 | ||||||||
Italy — 0.9% | ||||||||
Enel SpA | 242,800 | 1,100,443 | ||||||
Eni SpA | 70,800 | 1,257,525 | ||||||
Intesa Sanpaolo SpA | 1,100,499 | 3,996,454 | ||||||
6,354,422 | ||||||||
Japan — 9.7% | ||||||||
Alfresa Holdings Corp. | 22,900 | 356,350 | ||||||
Alpine Electronics, Inc. | 22,700 | 437,225 | ||||||
Aoyama Trading Co. Ltd. | 22,600 | 913,024 | ||||||
Aozora Bank Ltd. | 231,000 | 871,566 | ||||||
Asahi Kasei Corp. | 76,000 | 623,396 | ||||||
Astellas Pharma, Inc. | 180,000 | 2,564,252 | ||||||
Bank of Yokohama Ltd. (The) | 96,000 | 587,902 | ||||||
Calsonic Kansei Corp. | 105,000 | 746,640 | ||||||
Daihatsu Motor Co. Ltd. | 60,500 | 861,108 | ||||||
Daikin Industries Ltd. | 47,600 | 3,421,887 | ||||||
Enplas Corp. | 12,600 | 512,195 | ||||||
FANUC Corp. | 13,100 | 2,680,464 | ||||||
Fuji Heavy Industries Ltd. | 85,174 | 3,131,915 | ||||||
Fujikura Ltd. | 113,000 | 631,765 | ||||||
Heiwa Corp. | 34,800 | 692,734 | ||||||
Hogy Medical Co. Ltd. | 11,400 | 584,800 | ||||||
Hoya Corp. | 63,600 | 2,547,163 | ||||||
Isuzu Motors Ltd. | 51,100 | 670,410 | ||||||
ITOCHU Corp. | 76,300 | 1,007,711 | ||||||
Japan Airlines Co. Ltd. | 28,000 | 975,784 | ||||||
JX Holdings, Inc. | 101,400 | 437,171 | ||||||
Kao Corp. | 57,200 | 2,660,200 | ||||||
KDDI Corp. | 32,600 | 786,702 | ||||||
Keihin Corp. | 37,200 | 533,018 | ||||||
Keyence Corp. | 4,400 | 2,371,498 | ||||||
KYORIN Holdings, Inc. | 37,400 | 762,522 | ||||||
Kyowa Exeo Corp. | 66,900 | 778,490 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Japan (continued) | ||||||||
Marubeni Corp. | 109,700 | $ | 629,530 | |||||
Medipal Holdings Corp. | 36,500 | 594,498 | ||||||
Mitsubishi Corp. | 50,200 | 1,103,597 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 243,500 | 1,751,853 | ||||||
Mitsui & Co. Ltd. | 59,300 | 805,657 | ||||||
Mizuho Financial Group, Inc. | 597,700 | 1,293,263 | ||||||
Murata Manufacturing Co. Ltd. | 21,400 | 3,734,631 | ||||||
Nippon Telegraph & Telephone Corp. | 74,000 | 2,679,966 | ||||||
Nishi-Nippon City Bank Ltd. (The) | 167,000 | 481,160 | ||||||
Nissan Motor Co. Ltd. | 140,100 | 1,463,618 | ||||||
Nitori Holdings Co. Ltd. | 23,400 | 1,907,768 | ||||||
NTT DOCOMO, Inc. | 62,400 | 1,197,990 | ||||||
ORIX Corp. | 201,000 | 2,984,746 | ||||||
Otsuka Holdings Co. Ltd. | 15,100 | 481,134 | ||||||
Resona Holdings, Inc. | 266,300 | 1,452,434 | ||||||
Ricoh Co. Ltd. | 66,500 | 688,871 | ||||||
Sankyu, Inc. | 151,000 | 824,595 | ||||||
Seino Holdings Co. Ltd. | 52,600 | 588,864 | ||||||
Shimachu Co. Ltd. | 30,700 | 885,101 | ||||||
SKY Perfect JSAT Holdings, Inc. | 107,500 | 576,905 | ||||||
SMC Corp. | 6,700 | 2,016,158 | ||||||
Sumitomo Corp. | 84,300 | 981,203 | ||||||
Sumitomo Metal Mining Co. Ltd. | 53,000 | 806,076 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 81,786 | 3,641,048 | ||||||
Toagosei Co. Ltd. | 73,500 | 612,481 | ||||||
Toho Holdings Co. Ltd. | 41,200 | 948,401 | ||||||
Toyo Tire & Rubber Co. Ltd. | 35,200 | 743,848 | ||||||
Toyoda Gosei Co. Ltd. | 23,800 | 573,682 | ||||||
Tsumura & Co. | 22,900 | 492,640 | ||||||
Yokohama Rubber Co. Ltd. (The) | 45,000 | 902,954 | ||||||
70,992,564 | ||||||||
Liechtenstein | ||||||||
Verwaltungs-und Privat-Bank AG | 2,100 | 183,619 | ||||||
Netherlands — 2.5% | ||||||||
Aegon NV | 95,000 | 700,930 | ||||||
ING Groep NV, CVA | 58,400 | 969,756 | ||||||
Koninklijke Ahold NV | 78,461 | 1,472,924 | ||||||
Koninklijke Philips NV | 28,400 | 724,840 | ||||||
NXP Semiconductors NV* | 80,045 | 7,860,419 | ||||||
Royal Dutch Shell PLC (Class A Stock), ADR | 34,450 | 1,963,995 | ||||||
Royal Dutch Shell PLC (Class A Stock) | 66,302 | 1,885,625 | ||||||
Royal Dutch Shell PLC (Class B Stock) | 94,700 | 2,696,141 | ||||||
18,274,630 | ||||||||
New Zealand — 0.2% | ||||||||
Air New Zealand Ltd. | 737,900 | 1,274,910 | ||||||
Norway — 0.5% | ||||||||
DNB ASA | 50,500 | 841,008 | ||||||
Fred Olsen Energy ASA*(a) | 17,100 | 119,075 | ||||||
Marine Harvest ASA | 85,500 | 979,195 | ||||||
Statoil ASA | 36,600 | 654,518 | ||||||
Yara International ASA | 23,200 | 1,208,909 | ||||||
3,802,705 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A93
GLOBAL PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Singapore — 0.3% | ||||||||
DBS Group Holdings Ltd. | 119,000 | $ | 1,825,895 | |||||
Wilmar International Ltd. | 222,100 | 540,566 | ||||||
2,366,461 | ||||||||
South Africa — 1.0% | ||||||||
Aspen Pharmacare Holdings Ltd. | 41,314 | 1,221,756 | ||||||
Bidvest Group Ltd. | 74,947 | 1,896,402 | ||||||
Discovery Ltd. | 282,432 | 2,933,214 | ||||||
Mondi PLC | 49,500 | 1,065,692 | ||||||
7,117,064 | ||||||||
South Korea — 0.4% | ||||||||
Samsung Electronics Co. Ltd. | 2,596 | 2,945,386 | ||||||
Spain — 0.8% | ||||||||
ACS Actividades de Construccion y Servicios SA | 14,600 | 470,938 | ||||||
Amadeus IT Holding SA (Class A Stock) | 53,972 | 2,154,578 | ||||||
Banco Santander SA | 94,600 | 665,419 | ||||||
Ebro Foods SA | 26,300 | 509,545 | ||||||
Gas Natural SDG SA | 13,900 | 315,632 | ||||||
Iberdrola SA | 150,200 | 1,014,085 | ||||||
Repsol SA | 57,200 | 1,008,189 | ||||||
6,138,386 | ||||||||
Sweden — 1.4% | ||||||||
Atlas Copco AB (Class A Stock) | 77,228 | 2,160,709 | ||||||
Boliden AB | 45,100 | 822,205 | ||||||
Hexagon AB (Class B Stock) | 77,898 | 2,821,507 | ||||||
Nordea Bank AB | 86,400 | 1,077,560 | ||||||
Securitas AB (Class B Stock) | 46,500 | 614,122 | ||||||
Swedbank AB (Class A Stock) | 40,800 | 951,228 | ||||||
Telefonaktiebolaget LM Ericsson (Class B Stock) | 77,900 | 811,339 | ||||||
TeliaSonera AB | 154,700 | 911,761 | ||||||
10,170,431 | ||||||||
Switzerland — 3.1% | ||||||||
Actelion Ltd.* | 24,541 | 3,594,066 | ||||||
Baloise Holding AG | 11,400 | 1,390,012 | ||||||
Credit Suisse Group AG* | 94,400 | 2,604,259 | ||||||
Geberit AG | 7,210 | 2,403,776 | ||||||
Georg Fischer AG | 2,000 | 1,374,921 | ||||||
Helvetia Holding AG | 1,400 | 800,233 | ||||||
Oriflame Holding AG* | 13,600 | 219,835 | ||||||
Partners Group Holding AG | 9,293 | 2,777,563 | ||||||
Swiss Life Holding AG* | 7,800 | 1,786,050 | ||||||
Swiss Re AG* | 23,900 | 2,115,694 | ||||||
TE Connectivity Ltd. | 26,600 | 1,710,380 | ||||||
UBS AG | 1,500 | 31,859 | ||||||
Zurich Insurance Group AG* | 5,800 | 1,765,692 | ||||||
22,574,340 | ||||||||
United Kingdom — 7.8% | ||||||||
3i Group PLC | 120,600 | 978,565 | ||||||
Alent PLC | 54 | 312 | ||||||
Anglo American PLC | 47,800 | 690,535 | ||||||
ARM Holdings PLC | 71,067 | 1,162,925 | ||||||
AstraZeneca PLC | 56,472 | 3,574,105 | ||||||
Aviva PLC | 129,800 | 1,005,345 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
United Kingdom (continued) | ||||||||
BAE Systems PLC | 227,200 | $ | 1,609,799 | |||||
Barclays PLC | 287,100 | 1,176,715 | ||||||
Barratt Developments PLC | 98,600 | 951,023 | ||||||
Beazley PLC | 129,500 | 601,871 | ||||||
Bellway PLC | 25,400 | 946,117 | ||||||
Berkeley Group Holdings PLC | 20,500 | 1,077,246 | ||||||
Bovis Homes Group PLC | 40,500 | 708,348 | ||||||
BP PLC | 317,500 | 2,107,133 | ||||||
BT Group PLC | 141,300 | 1,000,588 | ||||||
Carillion PLC | 145,900 | 783,242 | ||||||
Centrica PLC | 220,400 | 914,540 | ||||||
Compass Group PLC | 250,864 | 4,149,051 | ||||||
Debenhams PLC | 301,400 | 422,499 | ||||||
DS Smith PLC | 63,600 | 385,680 | ||||||
GlaxoSmithKline PLC | 52,400 | 1,089,491 | ||||||
Home Retail Group PLC | 107,200 | 284,658 | ||||||
HSBC Holdings PLC | 167,100 | 1,496,273 | ||||||
IG Group Holdings PLC | 164,794 | 1,931,606 | ||||||
InterContinental Hotels Group PLC | 56,935 | 2,295,420 | ||||||
Intermediate Capital Group PLC | 108,800 | 939,889 | ||||||
J. Sainsbury PLC | 306,300 | 1,275,036 | ||||||
Man Group PLC | 325,800 | 802,984 | ||||||
National Express Group PLC | 163,900 | 791,969 | ||||||
Old Mutual PLC | 282,100 | 892,941 | ||||||
Petrofac Ltd. | 34,000 | 494,721 | ||||||
Premier Foods PLC* | 357,756 | 211,964 | ||||||
Prudential PLC | 123,054 | 2,965,528 | ||||||
QinetiQ Group PLC | 269,900 | 950,278 | ||||||
Reckitt Benckiser Group PLC | 36,107 | 3,113,643 | ||||||
Relx PLC | 187,865 | 3,052,915 | ||||||
Rio Tinto Ltd. | 18,500 | 765,286 | ||||||
St. James’s Place PLC | 143,811 | 2,044,917 | ||||||
Tate & Lyle PLC | 81,200 | 662,802 | ||||||
Vesuvius PLC | 81,100 | 540,526 | ||||||
WM Morrison Supermarkets PLC | 452,000 | 1,283,119 | ||||||
Wolseley PLC | 36,190 | 2,307,980 | ||||||
WPP PLC | 116,413 | 2,613,011 | ||||||
57,052,596 | ||||||||
United States — 50.1% | ||||||||
3M Co. | 11,425 | 1,762,878 | ||||||
AbbVie, Inc. | 27,150 | 1,824,209 | ||||||
AES Corp. | 249,400 | 3,307,044 | ||||||
Alexion Pharmaceuticals, Inc.* | 16,110 | 2,912,205 | ||||||
Allstate Corp. (The) | 34,100 | 2,212,067 | ||||||
Amazon.com, Inc.* | 19,634 | 8,522,923 | ||||||
American Express Co. | 24,550 | 1,908,026 | ||||||
Ameriprise Financial, Inc. | 14,450 | 1,805,239 | ||||||
Amgen, Inc. | 16,450 | 2,525,404 | ||||||
Amphenol Corp. (Class A Stock) | 110,932 | 6,430,728 | ||||||
ANSYS, Inc.* | 41,201 | 3,759,179 | ||||||
Apache Corp. | 55,000 | 3,169,650 | ||||||
Apple, Inc. | 55,267 | 6,931,863 | ||||||
AT&T, Inc. | 52,450 | 1,863,024 | ||||||
Avon Products, Inc.(a) | 65,450 | 409,717 | ||||||
Baker Hughes, Inc. | 23,300 | 1,437,610 | ||||||
Bank of America Corp. | 299,650 | 5,100,043 | ||||||
Bank of New York Mellon Corp. (The) | 53,750 | 2,255,888 | ||||||
Baxalta, Inc.* | 12,500 | 399,250 |
SEE NOTES TO FINANCIAL STATEMENTS.
A94
GLOBAL PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
United States (continued) | ||||||||
Boeing Co. (The) | 18,150 | $ | 2,517,768 | |||||
Bristol-Myers Squibb Co. | 83,933 | 5,584,902 | ||||||
Carnival Corp. | 73,450 | 3,627,695 | ||||||
Celanese Corp., Series A | 65,000 | 4,672,200 | ||||||
Charles Schwab Corp. (The) | 321,861 | 10,508,762 | ||||||
Cisco Systems, Inc. | 78,600 | 2,158,356 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock)* | 91,696 | 5,601,709 | ||||||
Colfax Corp.*(a) | 79,455 | 3,666,848 | ||||||
Comcast Corp. (Class A Stock) | 29,400 | 1,768,116 | ||||||
CONSOL Energy, Inc.(a) | 21,800 | 473,932 | ||||||
Costco Wholesale Corp. | 42,957 | 5,801,772 | ||||||
Danaher Corp. | 80,698 | 6,906,942 | ||||||
DaVita HealthCare Partners, Inc.* | 63,522 | 5,048,093 | ||||||
E.I. du Pont de Nemours & Co. | 4,400 | 281,380 | ||||||
Ecolab, Inc. | 53,820 | 6,085,427 | ||||||
Emerson Electric Co. | 7,500 | 415,725 | ||||||
Entergy Corp. | 18,450 | 1,300,725 | ||||||
EQT Corp. | 16,100 | 1,309,574 | ||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 79,173 | 6,861,132 | ||||||
Exelon Corp. | 67,150 | 2,109,853 | ||||||
Express Scripts Holding Co.*(a) | 94,628 | 8,416,214 | ||||||
Exxon Mobil Corp. | 30,400 | 2,529,280 | ||||||
Facebook, Inc. (Class A Stock)* | 84,415 | 7,239,852 | ||||||
Fastenal Co.(a) | 118,273 | 4,988,755 | ||||||
FirstEnergy Corp. | 68,100 | 2,216,655 | ||||||
FMC Technologies, Inc.* | 98,159 | 4,072,617 | ||||||
General Electric Co. | 196,950 | 5,232,961 | ||||||
General Motors Co. | 52,200 | 1,739,826 | ||||||
Genpact Ltd.* | 197,290 | 4,208,196 | ||||||
Gilead Sciences, Inc. | 41,472 | 4,855,542 | ||||||
Google, Inc. (Class A Stock)* | 5,656 | 3,054,466 | ||||||
Google, Inc. (Class C Stock)* | 5,742 | 2,988,768 | ||||||
Hess Corp. | 32,750 | 2,190,320 | ||||||
Honeywell International, Inc. | 21,550 | 2,197,454 | ||||||
Illinois Tool Works, Inc. | 18,050 | 1,656,810 | ||||||
International Paper Co. | 32,600 | 1,551,434 | ||||||
Intuitive Surgical, Inc.* | 13,779 | 6,675,925 | ||||||
Invesco Ltd. | 31,650 | 1,186,559 | ||||||
Johnson & Johnson | 36,950 | 3,601,147 | ||||||
Johnson Controls, Inc. | 35,450 | 1,755,839 | ||||||
JPMorgan Chase & Co. | 110,500 | 7,487,480 | ||||||
Kohl’s Corp. | 36,700 | 2,297,787 | ||||||
Las Vegas Sands Corp. | 21,250 | 1,117,113 | ||||||
Loews Corp. | 15,900 | 612,309 | ||||||
Lowe’s Cos., Inc. | 57,650 | 3,860,820 | ||||||
Marsh & McLennan Cos., Inc. | 67,000 | 3,798,900 | ||||||
Mattel, Inc. | 42,450 | 1,090,541 | ||||||
Mead Johnson Nutrition Co. | 61,056 | 5,508,472 | ||||||
Medtronic PLC | 38,871 | 2,880,341 | ||||||
Merck & Co., Inc. | 69,200 | 3,939,556 | ||||||
MetLife, Inc. | 67,600 | 3,784,924 | ||||||
Microsoft Corp. | 99,750 | 4,403,962 | ||||||
Morgan Stanley | 124,800 | 4,840,992 | ||||||
National Instruments Corp. | 95,757 | 2,821,001 | ||||||
NetSuite, Inc.*(a) | 28,390 | 2,604,783 | ||||||
News Corp. (Class A Stock)* | 45,500 | 663,845 | ||||||
NRG Energy, Inc. | 59,100 | 1,352,208 | ||||||
Occidental Petroleum Corp. | 34,300 | 2,667,511 | ||||||
PepsiCo, Inc. | 28,350 | 2,646,189 | ||||||
Pfizer, Inc. | 165,550 | 5,550,891 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
United States (continued) | ||||||||
PG&E Corp. | 83,100 | $ | 4,080,210 | |||||
Philip Morris International, Inc. | 31,250 | 2,505,313 | ||||||
PNC Financial Services Group, Inc. | 19,400 | 1,855,610 | ||||||
Procter & Gamble Co. (The) | 34,050 | 2,664,072 | ||||||
QUALCOMM, Inc. | 31,800 | 1,991,634 | ||||||
Raytheon Co. | 15,950 | 1,526,096 | ||||||
salesforce.com, inc.* | 91,171 | 6,348,237 | ||||||
Schlumberger Ltd. | 54,864 | 4,728,728 | ||||||
Southwest Airlines Co. | 87,750 | 2,903,647 | ||||||
Starbucks Corp. | 158,704 | 8,508,915 | ||||||
Stericycle, Inc.* | 52,244 | 6,995,994 | ||||||
T-Mobile U.S., Inc.* | 25,650 | 994,451 | ||||||
Texas Instruments, Inc. | 41,150 | 2,119,637 | ||||||
Thermo Fisher Scientific, Inc. | 25,450 | 3,302,392 | ||||||
Time Warner Cable, Inc. | 12,500 | 2,227,125 | ||||||
Time Warner, Inc. | 38,850 | 3,395,878 | ||||||
TripAdvisor, Inc.* | 70,282 | 6,124,373 | ||||||
Tyco International PLC | 37,050 | 1,425,684 | ||||||
U.S. Bancorp | 69,550 | 3,018,470 | ||||||
Union Pacific Corp. | 17,650 | 1,683,281 | ||||||
United Technologies Corp. | 41,800 | 4,636,874 | ||||||
Viacom, Inc. (Class B Stock) | 16,150 | 1,043,936 | ||||||
Visa, Inc. (Class A Stock) | 121,922 | 8,187,062 | ||||||
Vulcan Materials Co. | 20,500 | 1,720,565 | ||||||
Wal-Mart Stores, Inc. | 9,300 | 659,649 | ||||||
Wells Fargo & Co. | 56,700 | 3,188,808 | ||||||
Western Union Co. (The) | 99,550 | 2,023,852 | ||||||
Weyerhaeuser Co. | 49,950 | 1,573,425 | ||||||
Whole Foods Market, Inc. | 99,669 | 3,930,945 | ||||||
366,890,966 | ||||||||
TOTAL COMMON STOCKS |
| 707,132,466 | ||||||
Units | ||||||||
RIGHTS* | ||||||||
Spain | ||||||||
Repsol SA, expiring 07/09/15 | 57,200 | 29,653 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 707,162,119 | ||||||
SHORT-TERM INVESTMENT — 5.8% | ||||||||
Shares | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $42,709,639; includes $22,106,732 of cash collateral for securities on | 42,709,639 | 42,709,639 | ||||||
TOTAL INVESTMENTS — 102.4% |
| 749,871,758 | ||||||
LIABILITIES IN EXCESS OF |
| (17,509,637 | ) | |||||
NET ASSETS — 100.0% |
| $ | 732,362,121 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A95
GLOBAL PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
See the Glossary for abbreviations used in the Portfolio descriptions.
* | Non-income producing security. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $21,605,587; cash collateral of $22,106,732 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
(c) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1—quoted | prices generally in active markets for identical securities. |
Level 2—quoted | prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3—unobservable | inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Australia | $ | — | $ | 10,059,690 | $ | — | ||||||
Austria | — | 1,600,902 | — | |||||||||
Belgium | 239,972 | 1,748,755 | — | |||||||||
Canada | 14,071,332 | — | — | |||||||||
China | 4,230,887 | 7,729,431 | — | |||||||||
Denmark | — | 5,157,143 | — | |||||||||
Finland | — | 4,375,142 | — | |||||||||
France | — | 28,646,299 | — | |||||||||
Germany | 984,699 | 20,510,145 | — | |||||||||
Hong Kong | 493,788 | 7,869,359 | — | |||||||||
India | 6,721,624 | — | — | |||||||||
Indonesia | — | 1,768,052 | — | |||||||||
Ireland | 4,823,350 | 970,181 | — | |||||||||
Israel | 6,444,997 | 2,548,238 | — | |||||||||
Italy | — | 6,354,422 | — | |||||||||
Japan | 512,195 | 70,480,369 | — | |||||||||
Liechtenstein | 183,619 | — | — | |||||||||
Netherlands | 9,824,414 | 8,450,216 | — | |||||||||
New Zealand | — | 1,274,910 | — | |||||||||
Norway | — | 3,802,705 | — | |||||||||
Singapore | — | 2,366,461 | — | |||||||||
South Africa | — | 7,117,064 | — | |||||||||
South Korea | — | 2,945,386 | — | |||||||||
Spain | — | 6,138,386 | — | |||||||||
Sweden | — | 10,170,431 | — | |||||||||
Switzerland | 1,930,215 | 20,644,125 | — | |||||||||
United Kingdom | 947,460 | 56,105,136 | — | |||||||||
United States | 366,890,966 | — | — | |||||||||
Rights | 29,653 | — | — | |||||||||
Affiliated Money Market Mutual Fund | 42,709,639 | — | — | |||||||||
Total | $ | 461,038,810 | $ | 288,832,948 | $ | — | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A96
GLOBAL PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:
Banks | 7.5 | % | ||
Insurance | 5.9 | |||
Affiliated Money Market Mutual Fund (including 3.0% of collateral for securities on loan) | 5.8 | |||
Pharmaceuticals | 5.8 | |||
Oil, Gas & Consumable Fuels | 4.6 | |||
Capital Markets | 4.5 | |||
IT Services | 3.6 | |||
Electronic Equipment, Instruments & Components | 2.8 | |||
Internet Software & Services | 2.8 | |||
Software | 2.7 | |||
Hotels, Restaurants & Leisure | 2.7 | |||
Food & Staples Retailing | 2.7 | |||
Automobiles | 2.6 | |||
Industrial Conglomerates | 2.4 | |||
Media | 2.3 | |||
Aerospace & Defense | 2.2 | |||
Chemicals | 2.2 | |||
Health Care Providers & Services | 2.2 | |||
Machinery | 2.1 | |||
Internet & Catalog Retail | 2.0 | |||
Biotechnology | 1.9 | |||
Technology Hardware, Storage & Peripherals | 1.8 | |||
Auto Components | 1.7 | |||
Electric Utilities | 1.7 | |||
Health Care Equipment & Supplies | 1.7 | |||
Trading Companies & Distributors | 1.6 | |||
Energy Equipment & Services | 1.5 | |||
Semiconductors & Semiconductor Equipment | 1.5 | |||
Commercial Services & Supplies | 1.4 | |||
Personal Products | 1.4 | |||
Real Estate Management & Development | 1.3 |
Food Products | 1.1 | % | ||
Airlines | 1.1 | |||
Diversified Telecommunication Services | 1.0 | |||
Specialty Retail | 1.0 | |||
Road & Rail | 0.9 | |||
Multi-Utilities | 0.8 | |||
Household Products | 0.8 | |||
Building Products | 0.8 | |||
Diversified Financial Services | 0.8 | |||
Metals & Mining | 0.8 | |||
Household Durables | 0.7 | |||
Communications Equipment | 0.6 | |||
Independent Power & Renewable Electricity Producers | 0.6 | |||
Paper & Forest Products | 0.5 | |||
Wireless Telecommunication Services | 0.5 | |||
Life Sciences Tools & Services | 0.4 | |||
Multiline Retail | 0.4 | |||
Beverages | 0.3 | |||
Tobacco | 0.3 | |||
Construction Materials | 0.3 | |||
Construction & Engineering | 0.3 | |||
Textiles, Apparel & Luxury Goods | 0.3 | |||
Consumer Finance | 0.3 | |||
Electrical Equipment | 0.2 | |||
Leisure Products | 0.2 | |||
Real Estate Investment Trusts (REITs) | 0.2 | |||
Containers & Packaging | 0.2 | |||
Marine | 0.1 | |||
102.4 | ||||
Liabilities in excess of other assets | (2.4 | ) | ||
100.0 | % | |||
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with derivative instruments is equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2015 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Equity contracts | Unaffiliated investments | $ | 29,653 | $ | — | |||||||
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2015 are as follows:
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Rights* | |||
Equity contracts | $ | (1,834 | ) | |
* | Included in net change in unrealized appreciation (depreciation) on investment transactions in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A97
GLOBAL PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
as of June 30, 2015
ASSETS | ||||
Investments at value, including securities on loan of $21,605,587: | ||||
Unaffiliated investments (cost $562,628,692) | $ | 707,162,119 | ||
Affiliated investments (cost $42,709,639) | 42,709,639 | |||
Cash | 12,469 | |||
Foreign currency, at value (cost $3,264,510) | 3,213,337 | |||
Tax reclaim receivable | 1,728,802 | |||
Dividends and interest receivable | 900,490 | |||
Receivable for investments sold | 690,124 | |||
Receivable for Series shares sold | 83,486 | |||
Prepaid expenses | 881 | |||
Total Assets | 756,501,347 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 22,106,732 | |||
Payable for investments purchased | 1,369,593 | |||
Management fee payable | 453,925 | |||
Accrued expenses and other liabilities | 163,857 | |||
Payable for Series shares repurchased | 44,193 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 24,139,226 | |||
NET ASSETS | $ | 732,362,121 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 519,763,758 | ||
Retained earnings | 212,598,363 | |||
Net assets, June 30, 2015 | $ | 732,362,121 | ||
Net asset value and redemption price per share $732,362,121 / 27,261,121 outstanding shares of beneficial interest | $ | 26.86 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2015
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $106,285) | $ | 9,456,683 | ||
Affiliated dividend income | 16,047 | |||
Affiliated income from securities lending, net | 12,358 | |||
Total income | 9,485,088 | |||
EXPENSES | ||||
Management fee | 2,745,543 | |||
Custodian and accounting fees | 159,000 | |||
Shareholders’ reports | 42,000 | |||
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 | 6,000 | |||
Insurance expenses | 5,000 | |||
Loan interest expense | 42 | |||
Miscellaneous | 20,825 | |||
Total expenses | 3,005,410 | |||
Less: Management fee waiver | (38,481 | ) | ||
Net expenses | 2,966,929 | |||
NET INVESTMENT INCOME | 6,518,159 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 19,512,995 | |||
Foreign currency transactions | (114,999 | ) | ||
19,397,996 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 6,057,602 | |||
Foreign currencies | (38,406 | ) | ||
6,019,196 | ||||
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 25,417,192 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 31,935,351 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2015 | Year Ended December 31, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 6,518,159 | $ | 10,803,379 | ||||
Net realized gain on investment and foreign currency transactions | 19,397,996 | 38,470,561 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 6,019,196 | (25,504,944 | ) | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 31,935,351 | 23,768,996 | ||||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [165,191 and 941,874 shares, respectively] | 4,406,096 | 23,729,047 | ||||||
Series shares repurchased [868,536 and 2,863,482 shares, respectively] | (23,152,397 | ) | (72,868,700 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (18,746,301 | ) | (49,139,653 | ) | ||||
TOTAL INCREASE (DECREASE) | 13,189,050 | (25,370,657 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 719,173,071 | 744,543,728 | ||||||
End of period | $ | 732,362,121 | $ | 719,173,071 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A98
GOVERNMENT INCOME PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
LONG-TERM INVESTMENTS — 100.0% ASSET-BACKED SECURITIES — 6.1% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Collateralized Loan Obligations — 5.6% | ||||||||||||||
Anchorage Capital CLO Ltd., Series 2014-5A, Class A, 144A | 1.853% | (a) | 10/15/26 | 750 | $ | 750,844 | ||||||||
Ares CLO Ltd., Series 2014-31A, Class A1, 144A | 1.726% | (a) | 08/28/25 | 1,000 | 998,261 | |||||||||
Babson CLO Ltd., Series 2013-IA, Class A, 144A | 1.375% | (a) | 04/20/25 | 1,750 | 1,735,948 | |||||||||
Battalion CLO VII Ltd., Series 2014-7A, Class A1, 144A | 1.874% | (a) | 10/17/26 | 750 | 750,850 | |||||||||
Battalion CLO VIII Ltd., Series 2015-8A, Class A1, 144A | 1.791% | (a) | 04/18/27 | 500 | 500,074 | |||||||||
Blue Hill CLO Ltd., Series 2013-1A, Class A, 144A | 1.755% | (a) | 01/15/26 | 600 | 600,028 | |||||||||
Flatiron CLO Ltd., Series 2013-1A, Class A1, 144A | 1.674% | (a) | 01/17/26 | 250 | 249,268 | |||||||||
Galaxy CLO Ltd., Series 2014-18A, Class A, 144A | 1.745% | (a) | 10/15/26 | 3,250 | 3,238,509 | |||||||||
Magnetite VIII Ltd., Series 2014-8A, Class A, 144A | 1.755% | (a) | 04/15/26 | 2,260 | 2,253,722 | |||||||||
Neuberger Berman CLO XVI Ltd., Series 2014-16A, Class A1, 144A | 1.745% | (a) | 04/15/26 | 250 | 249,215 | |||||||||
Shackleton II CLO Ltd., Series 2012-2A, Class A1, 144A | 1.685% | (a) | 10/20/23 | 500 | 499,026 | |||||||||
Silver Spring Ltd., Series 2014-1A, Class A, 144A | 1.725% | (a) | 10/15/26 | 1,500 | 1,493,281 | |||||||||
Sound Point CLO IX Ltd., Series 2015-2A, Class A, 144A (Cayman Islands) | 1.786% | (a) | 07/20/27 | 750 | 749,250 | |||||||||
Vibrant CLO Ltd., Series 2015-3A, Class A1, 144A | 1.885% | (a) | 04/20/26 | 1,500 | 1,501,101 | |||||||||
Voya CLO Ltd., Series 2014-3A, Class A1, 144A | 1.697% | (a) | 07/25/26 | 3,000 | 2,979,567 | |||||||||
18,548,944 | ||||||||||||||
Collateralized Mortgage Obligations — 0.3% | ||||||||||||||
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2496, Class PM | 5.500% | 09/15/17 | 220 | 228,317 | ||||||||||
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2501, Class MC | 5.500% | 09/15/17 | 65 | 67,238 | ||||||||||
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2513, Class HC | 5.000% | 10/15/17 | 411 | 424,594 | ||||||||||
Federal National Mortgage Assoc., REMICS, Series 2002-57, Class ND | 5.500% | 09/25/17 | 76 | 78,657 | ||||||||||
Merrill Lynch Mortgage Investors, Inc., Series 2003-E, Class A1 | 0.807% | (a) | 10/25/28 | 45 | 42,501 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 2.637% | (a) | 02/25/34 | 197 | 195,522 | |||||||||
1,036,829 | ||||||||||||||
Non-Residential Mortgage-Backed Securities — 0.2% | ||||||||||||||
Small Business Administration Participation Certificates, Series 1996-20J, Class 1 | 7.200% | 10/01/16 | 164 | 169,219 | ||||||||||
Small Business Administration Participation Certificates, Series 1997-20A, Class 1 | 7.150% | 01/01/17 | 127 | 130,464 | ||||||||||
Small Business Administration Participation Certificates, Series 1997-20G, Class 1 | 6.850% | 07/01/17 | 90 | 92,642 | ||||||||||
Small Business Administration Participation Certificates, Series 1998-20I, Class 1 | 6.000% | 09/01/18 | 259 | 274,208 | ||||||||||
666,533 | ||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 20,252,306 | ||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 22.7% | ||||||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A3 | 5.293% | 12/11/49 | 168 | 169,318 | ||||||||||
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4 | 5.223% | 08/15/48 | 1,637 | 1,702,153 | ||||||||||
Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 1,000 | 978,845 | ||||||||||
Commercial Mortgage Trust, Series 2005-GG5, Class AM | 5.277% | (a) | 04/10/37 | 1,500 | 1,510,746 | |||||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM | 5.639% | (a) | 02/15/39 | 200 | 203,071 | |||||||||
Fannie Mae-Aces, Series 2015-M1, Class AB2 | 2.465% | 09/25/24 | 550 | 528,651 | ||||||||||
Fannie Mae-Aces, Series 2015-M3, Class AB2 | 2.625% | 10/25/24 | 2,730 | 2,665,004 | ||||||||||
Fannie Mae-Aces, Series 2015-M10, Class A2 | 3.092% | (a) | 04/25/27 | 1,600 | 1,583,920 | |||||||||
Federal National Mortgage Assoc., Series 2012-M2, Class A2 | 2.717% | 02/25/22 | 200 | 203,455 | ||||||||||
Federal National Mortgage Assoc., Series 2012-M13, Class A2 | 2.377% | 05/25/22 | 1,850 | 1,831,914 | ||||||||||
Federal National Mortgage Assoc., Series 2014-M2, Class A2 | 3.513% | (a) | 12/25/23 | 2,650 | 2,789,507 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K003, Class A5 | 5.085% | 03/25/19 | 250 | 279,247 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K004, Class A2 | 4.186% | 08/25/19 | 4,825 | 5,246,165 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K005, Class A2 | 4.317% | 11/25/19 | 1,100 | 1,204,297 |
SEE NOTES TO FINANCIAL STATEMENTS.
A99
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, I/O | 1.798% | (a) | 06/25/20 | 18,609 | $ | 1,166,489 | ||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K019, Class X1, I/O | 1.866% | (a) | 03/25/22 | 18,331 | 1,705,015 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O | 1.596% | (a) | 05/25/22 | 9,201 | 742,330 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O | 1.632% | (a) | 06/25/22 | 9,757 | 813,266 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K024, Class A2 | 2.573% | 09/25/22 | 2,000 | 2,004,902 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, I/O | 1.022% | (a) | 10/25/22 | 27,532 | 1,447,485 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K026, Class A2 | 2.510% | 11/25/22 | 3,600 | 3,587,051 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2 | 3.320% | 02/25/23 | 3,600 | 3,771,623 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K032, Class A2 | 3.310% | (a) | 05/25/23 | 2,730 | 2,849,667 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K033, Class A2 | 3.060% | 07/25/23 | 3,600 | 3,690,306 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2 | 3.531% | 07/25/23 | 5,200 | 5,499,504 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O | 1.734% | (a) | 08/25/16 | 3,182 | 38,883 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O | 1.906% | (a) | 05/25/19 | 8,278 | 483,294 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O | 1.826% | (a) | 07/25/19 | 7,837 | 445,881 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series KSMC, Class A2 | 2.615% | 01/25/23 | 1,800 | 1,793,133 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series-K044, Class A2 | 2.811% | 01/25/25 | 3,200 | 3,172,755 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class A2 | 3.003% | 01/15/47 | 1,700 | 1,760,056 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A3 | 5.961% | (a) | 06/15/49 | 792 | 799,928 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 1,700 | 1,667,090 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C23, Class A3 | 3.368% | 09/15/47 | 1,700 | 1,747,336 | ||||||||||
Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM | 5.865% | (a) | 05/12/39 | 1,375 | 1,412,956 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2006-2, Class AM | 6.066% | (a) | 06/12/46 | 250 | 259,032 | |||||||||
ML-CFC Commercial Mortgage Trust, Series 2006-4, Class AM | 5.204% | 12/12/49 | 1,500 | 1,573,281 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3 | 3.451% | 07/15/50 | 1,600 | 1,614,446 | ||||||||||
Morgan Stanley Capital I Trust, Series 2005-IQ10, Class A4B | 5.284% | (a) | 09/15/42 | 800 | 799,558 | |||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | 2.792% | 12/10/45 | 1,300 | 1,286,557 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class AMFX | 5.179% | (a) | 07/15/42 | 62 | 62,003 | |||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class A5 | 5.416% | (a) | 01/15/45 | 1,500 | 1,519,684 | |||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class AM | 5.466% | (a) | 01/15/45 | 1,700 | 1,734,809 | |||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A5 | 5.896% | (a) | 05/15/43 | 2,000 | 2,051,434 | |||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C27, Class A3 | 5.765% | (a) | 07/15/45 | 2,294 | 2,357,227 | |||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 74,753,274 | ||||||||||||
FOREIGN AGENCIES — 0.7% | ||||||||||||||
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 3.150% | 07/24/24 | 820 | 825,691 | ||||||||||
KFW, Gov’t. Gtd., GMTN | 2.750% | 10/01/20 | 1,320 | 1,377,576 | ||||||||||
TOTAL FOREIGN AGENCIES |
| 2,203,267 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A100
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
MUNICIPAL BOND — 0.2% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Utah | ||||||||||||||
State of Utah, BABs, Series D | 4.554% | 07/01/24 | 630 | $ | 695,570 | |||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 50.8% | ||||||||||||||
Federal Home Loan Mortgage Corp. | 0.750% | 07/14/17-01/12/18 | 3,180 | 3,173,088 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.479% | (a) | 05/01/34 | 390 | 414,107 | |||||||||
Federal Home Loan Mortgage Corp. | 2.500% | 03/01/30 | 978 | 990,718 | ||||||||||
Federal Home Loan Mortgage Corp.(c) | 3.000% | TBA | 1,000 | 994,023 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 06/01/29-06/01/45 | 1,885 | 1,913,823 | ||||||||||
Federal Home Loan Mortgage Corp.(c) | 3.500% | TBA | 4,000 | 4,104,297 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 08/01/26-01/01/27 | 886 | 936,992 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 06/01/26-12/01/40 | 3,248 | 3,447,528 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 09/01/39 | 3,167 | 3,428,732 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 06/01/33-05/01/34 | 1,444 | 1,605,480 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 05/01/37-05/01/38 | 911 | 1,019,388 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 09/01/34-08/01/39 | 640 | 725,807 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 09/01/32 | 94 | 107,914 | ||||||||||
Federal National Mortgage Assoc. | 0.875% | 05/21/18 | 580 | 576,529 | ||||||||||
Federal National Mortgage Assoc.(e) | 1.500% | 06/22/20 | 1,355 | 1,338,931 | ||||||||||
Federal National Mortgage Assoc. | 1.625% | 01/21/20 | 2,415 | 2,411,653 | ||||||||||
Federal National Mortgage Assoc. | 1.875% | 02/19/19 | 90 | 91,696 | ||||||||||
Federal National Mortgage Assoc. | 2.104% | (a) | 04/01/34 | 160 | 170,524 | |||||||||
Federal National Mortgage Assoc. | 2.207% | (a) | 04/01/34 | 299 | 317,581 | |||||||||
Federal National Mortgage Assoc. | 2.261% | (a) | 07/01/33 | 1,011 | 1,069,623 | |||||||||
Federal National Mortgage Assoc. | 2.350% | (a) | 06/01/34 | 281 | 299,314 | |||||||||
Federal National Mortgage Assoc. | 2.392% | (a) | 08/01/33 | 688 | 729,712 | |||||||||
Federal National Mortgage Assoc.(c) | 2.500% | TBA | 250 | 253,028 | ||||||||||
Federal National Mortgage Assoc.(b)(e) | 2.625% | 09/06/24 | 850 | 850,328 | ||||||||||
Federal National Mortgage Assoc.(c) | 3.000% | TBA | 14,500 | 14,445,908 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 08/01/28 | 1,951 | 2,025,813 | ||||||||||
Federal National Mortgage Assoc.(c) | 3.500% | TBA | 500 | 527,320 | ||||||||||
Federal National Mortgage Assoc.(c) | 3.500% | TBA | 500 | 515,273 | ||||||||||
Federal National Mortgage Assoc.(c) | 3.500% | TBA | 35,000 | 35,976,173 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 03/01/27-06/01/39 | 1,477 | 1,548,653 | ||||||||||
Federal National Mortgage Assoc.(c) | 4.000% | TBA | 11,000 | 11,654,284 | ||||||||||
Federal National Mortgage Assoc.(c) | 4.000% | TBA | 6,500 | 6,871,388 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 09/01/40-09/01/44 | 5,135 | 5,459,742 | ||||||||||
Federal National Mortgage Assoc.(c) | 4.500% | TBA | 500 | 540,547 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 05/01/40 | 3,708 | 4,048,915 | ||||||||||
Federal National Mortgage Assoc.(c) | 5.000% | TBA | 3,500 | 3,866,406 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 07/01/18-05/01/36 | 2,425 | 2,647,089 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 01/01/17-11/01/35 | 6,189 | 7,000,646 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 05/01/21-05/01/38 | 1,193 | 1,352,010 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/32-10/01/37 | 1,429 | 1,675,724 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 12/01/31-01/01/36 | 203 | 232,058 | ||||||||||
Federal National Mortgage Assoc. | 8.000% | 03/01/22-02/01/26 | 9 | 9,498 | ||||||||||
Federal National Mortgage Assoc. | 9.000% | 02/01/25-04/01/25 | 30 | 34,500 | ||||||||||
Financing Corp. Strips Principal, Series 4-P | 1.390% | (d) | 10/06/17 | 2,700 | 2,644,472 | |||||||||
Financing Corp. Strips Principal, Series D-P | 2.224% | (d) | 09/26/19 | 1,370 | 1,269,961 | |||||||||
Government National Mortgage Assoc.(c) | 3.000% | TBA | 3,000 | 3,028,125 | ||||||||||
Government National Mortgage Assoc.(c) | 3.500% | TBA | 3,000 | 3,113,555 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 02/20/45-04/20/45 | 3,916 | 4,084,717 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 06/15/40-01/20/45 | 3,426 | 3,633,951 | ||||||||||
Government National Mortgage Assoc.(c) | 4.500% | TBA | 2,000 | 2,171,562 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 02/20/41-03/20/41 | 2,512 | 2,740,633 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 07/15/33-04/15/34 | 794 | 885,392 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 03/15/34-03/15/36 | 668 | 768,563 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 07/15/32-08/15/32 | 221 | 258,397 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 03/15/23-08/15/28 | 490 | 544,335 |
SEE NOTES TO FINANCIAL STATEMENTS.
A101
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Government National Mortgage Assoc. | 7.500% | 12/15/25-02/15/26 | 78 | $ | 88,754 | |||||||||
Government National Mortgage Assoc. | 8.500% | 09/15/24-04/15/25 | 165 | 188,464 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 2.503% | 10/30/20 | 937 | 967,455 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 2.578% | 06/30/22 | 1,520 | 1,527,600 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 3.000% | 06/30/25 | 1,040 | 1,042,600 | ||||||||||
Residual Funding Corp.Strips Principal, Sr. Unsec’d. Notes, PO | 1.825% | (d) | 10/15/19 | 2,745 | 2,533,673 | |||||||||
Residual Funding Corp.Strips Principal, Sr. Unsec’d. Notes, PO | 2.066% | (d) | 07/15/20 | 1,545 | 1,398,312 | |||||||||
Ukraine Government USAID Bonds, U.S. Gov’t. Gtd. Notes | 1.847% | 05/29/20 | 3,480 | 3,482,742 | ||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 167,776,026 | ||||||||||||
U.S. TREASURY OBLIGATIONS — 19.5% | ||||||||||||||
U.S. Treasury Bonds | 2.750% | 08/15/42-11/15/42 | 5,265 | 4,898,114 | ||||||||||
U.S. Treasury Bonds | 2.875% | 05/15/43 | 1,185 | 1,129,268 | ||||||||||
U.S. Treasury Bonds | 4.625% | 02/15/40 | 830 | 1,058,444 | ||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 0.125% | 04/15/20 | 4,536 | 4,572,569 | ||||||||||
U.S. Treasury Notes | 0.750% | 06/30/17 | 340 | 340,664 | ||||||||||
U.S. Treasury Notes(f) | 1.250% | 11/30/18 | 3,365 | 3,373,412 | ||||||||||
U.S. Treasury Notes(e) | 1.375% | 12/31/18-03/31/20 | 7,295 | 7,296,337 | ||||||||||
U.S. Treasury Notes(e) | 1.500% | 12/31/18 | 11,905 | 12,022,193 | ||||||||||
U.S. Treasury Notes | 1.500% | 05/31/19-10/31/19 | 5,560 | 5,565,841 | ||||||||||
U.S. Treasury Notes(e) | 1.625% | 04/30/19 | 8,680 | 8,776,973 | ||||||||||
U.S. Treasury Notes | 2.125% | 09/30/21 | 3,940 | 3,979,400 | ||||||||||
U.S. Treasury Notes | 3.125% | 05/15/19 | 425 | 453,521 | ||||||||||
U.S. Treasury Strips Coupon | 2.037% | (d) | 02/15/22 | 2,280 | 1,982,348 | |||||||||
U.S. Treasury Strips Coupon | 2.184% | (d) | 02/15/28 | 550 | 389,065 | |||||||||
U.S. Treasury Strips Coupon | 2.241% | (d) | 05/15/28 | 275 | 192,920 | |||||||||
U.S. Treasury Strips Coupon | 2.280% | (d) | 02/15/29 | 275 | 187,197 | |||||||||
U.S. Treasury Strips Coupon | 2.384% | (d) | 05/15/29 | 565 | 380,826 | |||||||||
U.S. Treasury Strips Coupon(f) | 2.404% | (d) | 08/15/21 | 3,370 | 2,974,103 | |||||||||
U.S. Treasury Strips Coupon | 4.138% | (d) | 02/15/42 | 5,000 | 2,079,740 | |||||||||
U.S. Treasury Strips Principal | 2.351% | (d) | 05/15/43 | 1,500 | 602,907 | |||||||||
U.S. Treasury Strips Principal | 3.371% | (d) | 05/15/44 | 4,510 | 1,765,421 | |||||||||
U.S. Treasury Strips Principal | 3.879% | (d) | 02/15/44 | 715 | 282,147 | |||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 64,303,410 | ||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 329,983,853 | ||||||||||||
SHORT-TERM INVESTMENTS — 26.9% | ||||||||||||||
Shares | ||||||||||||||
AFFILIATED MUTUAL FUNDS — 26.8% |
| |||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund | 5,648,746 | 52,759,283 | ||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund | 35,782,813 | 35,782,813 | ||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 88,542,096 | ||||||||||||
Notional Amount (000)# | ||||||||||||||
OPTIONS PURCHASED* — 0.1% | ||||||||||||||
Call Options | ||||||||||||||
U.S. Treasury Long Bond Futures | 21,200 | 364,375 | ||||||||||||
U.S. Treasury Long Bond Futures | 10,600 | 23,188 |
SEE NOTES TO FINANCIAL STATEMENTS.
A102
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
OPTIONS PURCHASED* (continued) | Notional Amount (000)# | Value (Note 2) | ||||||||||
Call Options (continued) | ||||||||||||
U.S. Treasury Long Bond Futures | 10,600 | $ | 8,281 | |||||||||
TOTAL OPTIONS PURCHASED |
| 395,844 | ||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 88,937,940 | ||||||||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 126.9% |
| 418,921,793 | ||||||||||
OPTIONS WRITTEN* | ||||||||||||
Call Options | ||||||||||||
U.S. Treasury Long Bond Futures | 21,200 | (135,812 | ) | |||||||||
U.S. Treasury Long Bond Futures | 21,200 | (79,500 | ) | |||||||||
TOTAL OPTIONS WRITTEN |
| (215,312 | ) | |||||||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 126.9% |
| 418,706,481 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(j) — (26.9)% |
| (88,703,774 | ) | |||||||||
NET ASSETS 100.0% |
| $ | 330,002,707 | |||||||||
See the Glossary for abbreviations used in the Portfolio descriptions.
* | Non-income producing security. |
# | Principal or notional amount shown in U.S. dollars unless otherwise stated. |
(a) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2015. |
(b) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $327,898; cash collateral of $335,198 (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) | All or partial amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of $85,250,000 is approximately 26% of net assets. |
(d) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
(e) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
(f) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(g) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
(h) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
(j) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2015:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2015 | Unrealized Appreciation (Depreciation)(1) | |||||||||||||
Long Positions: | ||||||||||||||||||
39 | 2 Year U.S. Treasury Notes | Sep. 2015 | $ | 8,541,665 | $ | 8,538,563 | $ | (3,102 | ) | |||||||||
90 | 5 Year U.S. Treasury Notes | Sep. 2015 | 10,669,507 | 10,733,203 | 63,696 | |||||||||||||
346 | 10 Year U.S. Treasury Notes | Sep. 2015 | 43,482,602 | 43,655,468 | 172,866 | |||||||||||||
233,460 | ||||||||||||||||||
Short Positions: | ||||||||||||||||||
7 | U.S. Long Bonds | Sep. 2015 | 1,053,258 | 1,055,906 | (2,648 | ) | ||||||||||||
5 | U.S. Ultra Bonds | Sep. 2015 | 769,836 | 770,312 | (476 | ) | ||||||||||||
(3,124 | ) | |||||||||||||||||
$ | 230,336 | |||||||||||||||||
(1) | U.S. Treasury securities with a combined market value of $1,167,445 has been segregated with Citigroup Global Markets to cover requirements for open contracts at June 30, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
A103
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Interest rate swap agreements outstanding at June 30, 2015:
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) | $ | (6,149 | ) | $ | — | $ | (6,149 | ) | Citigroup Global Markets | ||||||||||||||
4,700 | 02/15/19 | 1.656% | 3 Month LIBOR(1) | (65,102 | ) | — | (65,102 | ) | Citigroup Global Markets | |||||||||||||||||
4,700 | 02/15/19 | 1.794% | 3 Month LIBOR(2) | 90,555 | — | 90,555 | JPMorgan Chase | |||||||||||||||||||
$ | 19,304 | $ | — | $ | 19,304 | |||||||||||||||||||||
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2015 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Exchange-traded swap agreements: |
| ||||||||||||||||||||||
100 | 02/21/16 | 0.429% | 3 Month LIBOR(1) | $ | 150 | $ | (24 | ) | $ | (174 | ) | |||||||||||||
7,855 | 09/17/21 | 2.358% | 3 Month LIBOR(2) | 197 | 162,242 | 162,045 | ||||||||||||||||||
10,555 | 12/31/21 | 1.831% | 3 Month LIBOR(1) | 17,669 | 141,747 | 124,078 | ||||||||||||||||||
16,300 | 12/31/21 | 1.950% | 3 Month LIBOR(1) | 47,095 | 98,870 | 51,775 | ||||||||||||||||||
5,100 | 01/13/22 | 2.351% | 3 Month LIBOR(1) | 181 | (91,301 | ) | (91,482 | ) | ||||||||||||||||
4,850 | 01/13/22 | 2.480% | 3 Month LIBOR(1) | 179 | (125,854 | ) | (126,033 | ) | ||||||||||||||||
1,710 | 01/22/22 | 2.467% | 3 Month LIBOR(1) | 160 | (42,677 | ) | (42,837 | ) | ||||||||||||||||
27,675 | 05/31/22 | 2.200% | 3 Month LIBOR(1) | (38,559 | ) | (30,655 | ) | 7,904 | ||||||||||||||||
8,720 | 12/20/23 | 2.932% | 3 Month LIBOR(1) | 220 | (424,777 | ) | (424,997 | ) | ||||||||||||||||
11,725 | 08/18/24 | 2.750% | 3 Month LIBOR(2) | 168 | 364,343 | 364,175 | ||||||||||||||||||
5,290 | 09/17/24 | 2.732% | 3 Month LIBOR(1) | 110 | (153,980 | ) | (154,090 | ) | ||||||||||||||||
230 | 09/17/29 | 3.070% | 3 Month LIBOR(2) | 11 | 10,535 | 10,524 | ||||||||||||||||||
$ 27,581 | $ | (91,531 | ) | $ | (119,112 | ) | ||||||||||||||||||
U.S. Treasury obligations with a combined market value of $1,090,217 and U.S. Government Agency obligations with a combined market value of $1,023,418 has been segregated with Citigroup Global Markets to cover requirements for open exchange-traded interest rate swap contracts at June 30, 2015.
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | $ | — | $ | 17,799,694 | $ | 749,250 | ||||||
Collateralized Mortgage Obligations | — | 1,036,829 | — | |||||||||
Non-Residential Mortgage-Backed Securities | — | 666,533 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 74,753,274 | — | |||||||||
Foreign Agencies | — | 2,203,267 | — | |||||||||
Municipal Bond | — | 695,570 | — | |||||||||
U.S. Government Agency Obligations | — | 167,776,026 | — | |||||||||
U.S. Treasury Obligations | — | 64,303,410 | — | |||||||||
Affiliated Mutual Funds | 88,542,096 | — | — | |||||||||
Options Purchased | 395,844 | — | — | |||||||||
Options Written | (215,312 | ) | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A104
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | $ | 230,336 | $ | — | $ | — | ||||||
Over-the-counter interest rate swaps | — | 19,304 | — | |||||||||
Exchange-traded interest rate swaps | — | (119,112 | ) | — | ||||||||
Total | $ | 88,952,964 | $ | 329,134,795 | $ | 749,250 | ||||||
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and exchange-traded swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and over-the-counter swap contracts which are recorded at fair value. |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:
U.S. Government Agency Obligations | 50.8 | % | ||
Affiliated Mutual Funds | 26.8 | |||
Commercial Mortgage-Backed Securities | 22.7 | |||
U.S. Treasury Obligations | 19.5 | |||
Collateralized Loan Obligations | 5.6 | |||
Foreign Agencies | 0.7 | |||
Collateralized Mortgage Obligations | 0.3 |
Non-Residential Mortgage-Backed Securities | 0.2 | % | ||
Municipal Bond | 0.2 | |||
Options Purchased | 0.1 | |||
126.9 | ||||
Liabilities in excess of other assets | (26.9 | ) | ||
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, 2015 as presented in the Statement of Assets and Liabilities:
Derivatives not designated as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Interest rate contracts | Due from broker — variation margin futures | $ | 236,562 | * | Due from broker — variation margin futures | $ | 6,226 | * | ||||
Interest rate contracts | Due from broker — variation margin swaps | 720,501 | * | Due from broker — variation margin swaps | 839,613 | * | ||||||
Interest rate contracts | Unrealized appreciation on swap agreements | 90,555 | Unrealized depreciation on swap agreements | 71,251 | ||||||||
Interest rate contracts | Unaffiliated investments | 395,844 | Options written outstanding, at value | 215,312 | ||||||||
Total | $ | 1,443,462 | $ | 1,132,402 | ||||||||
* | 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, 2015 are as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not designated as hedging | Options Purchased* | Options Written | Futures | Swaps | Total | |||||||||||||||
Interest rate contracts | $ | (772,677 | ) | $ | 221,537 | $ | (526,005 | ) | $ | (153,461 | ) | $ | (1,230,606 | ) | ||||||
* | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not designated as hedging | Options Purchased* | Options Written | Futures | Swaps | Total | |||||||||||||||
Interest rate contracts | $ | 50,648 | $ | (50,430 | ) | $ | (1,824 | ) | $ | 208,850 | $ | 207,244 | ||||||||
* | Included in net unrealized appreciation (depreciation) on investment transactions in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A105
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
For the six months ended June 30, 2015, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures Contracts— | Futures Contracts— | Interest Rate Swap | ||||
$194,585 | $70,400 | $69,944,539 | $8,957,393 | $119,583 |
(1) | Cost. |
(2) | Notional Amount in USD (000). |
(3) | Value at Trade Date. |
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 | $ | — | $ | — | $ | — | $ | — | ||||||||
JPMorgan Chase | 90,555 | — | — | 90,555 | ||||||||||||
$ | 90,555 | |||||||||||||||
Counterparty | Gross amounts of recognized liabilities(2) | Gross amounts available for offset | Collateral Pledged(3) | Net Amount | ||||||||||||
Citigroup Global Markets | $ | (71,251 | ) | $ | — | $ | — | $ | (71,251 | ) | ||||||
JPMorgan Chase | — | — | — | — | ||||||||||||
$ | (71,251 | ) | ||||||||||||||
(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.
A106
GOVERNMENT INCOME PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
as of June 30, 2015
ASSETS | ||||
Investments at value, including securities on loan of $327,898: | ||||
Unaffiliated investments (cost $327,584,225) | $ | 330,379,697 | ||
Affiliated investments (cost $91,356,762) | 88,542,096 | |||
Receivable for investments sold | 87,639,774 | |||
Dividends and interest receivable | 970,195 | |||
Unrealized appreciation on over-the-counter swap agreements | 90,555 | |||
Due from broker—variation margin swaps | 39,419 | |||
Receivable for Series shares sold | 1,866 | |||
Prepaid expenses | 389 | |||
Total Assets | 507,663,991 | |||
LIABILITIES | ||||
Payable for investments purchased | 176,750,058 | |||
Payable to broker for collateral for securities on loan | 335,198 | |||
Options written outstanding, at value (premiums received $188,081) | 215,312 | |||
Management fee payable | 108,705 | |||
Accrued expenses and other liabilities | 102,685 | |||
Unrealized depreciation on over-the-counter swap agreements | 71,251 | |||
Payable to custodian | 39,356 | |||
Payable for Series shares repurchased | 24,606 | |||
Due to broker—variation margin futures | 12,367 | |||
Affiliated transfer agent fee payable | 926 | |||
Deferred trustees’ fees | 820 | |||
Total Liabilities | 177,661,284 | |||
NET ASSETS | $ | 330,002,707 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 316,463,681 | ||
Retained earnings | 13,539,026 | |||
Net assets, June 30, 2015 | $ | 330,002,707 | ||
Net asset value and redemption price per share $330,002,707 / 27,637,596 outstanding shares of beneficial interest | $ | 11.94 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2015
NET INVESTMENT INCOME | ||||
INCOME | ||||
Interest income | $ | 2,823,732 | ||
Affiliated dividend income | 365,820 | |||
Affiliated income from securities lending, net | 13,876 | |||
Total income | 3,203,428 | |||
EXPENSES | ||||
Management fee | 670,154 | |||
Shareholders’ reports | 50,000 | |||
Custodian and accounting fees | 39,000 | |||
Audit fee | 16,000 | |||
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 | |||
Miscellaneous | 7,461 | |||
Total expenses | 800,615 | |||
NET INVESTMENT INCOME | 2,402,813 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 1,348,138 | |||
Futures transactions | (526,005 | ) | ||
Options written transactions | 221,537 | |||
Swap agreement transactions | (153,461 | ) | ||
890,209 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (2,799,962 | ) | ||
Futures | (1,824 | ) | ||
Options written | (50,430 | ) | ||
Swap agreements | 208,850 | |||
(2,643,366 | ) | |||
NET LOSS ON INVESTMENT TRANSACTIONS | (1,753,157 | ) | ||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 649,656 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2015 | Year Ended December 31, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS OPERATIONS | ||||||||
Net investment income | $ | 2,402,813 | $ | 5,901,363 | ||||
Net realized gain on investment transactions | 890,209 | 7,472,234 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (2,643,366 | ) | 5,994,740 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 649,656 | 19,368,337 | ||||||
DISTRIBUTIONS | — | (1,210,720 | ) | |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [165,541 and 449,768 shares, respectively] | 1,991,940 | 5,246,081 | ||||||
Series shares issued in reinvestment of distributions [0 and 105,280 shares, respectively] | — | 1,210,720 | ||||||
Series shares repurchased [982,647 and 2,279,485 shares, respectively] | (11,819,420 | ) | (26,512,995 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (9,827,480 | ) | (20,056,194 | ) | ||||
TOTAL DECREASE | (9,177,824 | ) | (1,898,577 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 339,180,531 | 341,079,108 | ||||||
End of period | $ | 330,002,707 | $ | 339,180,531 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A107
HIGH YIELD BOND PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
LONG-TERM INVESTMENTS — 96.8% 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 | 0.508% | (a) | 07/15/21 | 377 | $ | 372,061 | ||||||||
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class D, 144A | 4.526% | (a) | 08/17/22 | 13,000 | 13,038,062 | |||||||||
13,410,123 | ||||||||||||||
Residential Mortgage-Backed Securities | ||||||||||||||
Argent Securities, Inc./Asset-Backed Pass-Through Certificates, Series 2003-W8, Class M1 | 1.235% | (a) | 12/25/33 | 99 | 93,230 | |||||||||
TOTAL ASSET-BACKED SECURITIES |
| 13,503,353 | ||||||||||||
BANK LOANS(a) — 1.5% | ||||||||||||||
Capital Goods — 0.1% | ||||||||||||||
Neff Rental LLC | 7.250% | 06/09/21 | 4,415 | 4,368,219 | ||||||||||
Chemicals — 0.2% | ||||||||||||||
Solenis International LP | 7.750% | 07/31/22 | 7,500 | 7,246,875 | ||||||||||
Energy – Other — 0.1% | ||||||||||||||
American Energy Marcellus LLC | 8.500% | 08/04/21 | 3,675 | 1,947,750 | ||||||||||
Gaming — 0.2% | ||||||||||||||
CCM Merger, Inc. | 4.500% | 08/06/21 | 4,053 | 4,056,515 | ||||||||||
Golden Nugget, Inc. | 5.500% | 11/21/19 | 1,448 | 1,458,356 | ||||||||||
5,514,871 | ||||||||||||||
Healthcare & Pharmaceutical | ||||||||||||||
Radnet Mgmt., Inc. | 8.000% | 03/25/21 | 1,000 | 982,500 | ||||||||||
Lodging — 0.1% | ||||||||||||||
Four Seasons Holdings, Inc. (Canada) | 6.250% | 12/28/20 | 1,750 | 1,750,000 | ||||||||||
Technology — 0.8% | ||||||||||||||
Evergreen Skills Lux Sarl (Luxembourg) | 9.250% | 04/28/22 | 16,200 | 15,171,300 | ||||||||||
Kronos, Inc. | 9.750% | 04/30/20 | 11,450 | 11,750,526 | ||||||||||
26,921,826 | ||||||||||||||
TOTAL BANK LOANS |
| 48,732,041 | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||||||||
Adjustable Rate Mortgage Trust, Series 2005-7, Class 1A1 | 2.568% | (a) | 10/25/35 | 86 | 76,390 | |||||||||
American Home Mortgage Assets Trust, Series 2006-4, Class 1A12 | 0.397% | (a) | 10/25/46 | 37 | 25,772 | |||||||||
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1 | 1.923% | (a) | 09/25/45 | 17 | 16,022 | |||||||||
Banc of America Alternative Loan Trust, Series 2005-4, Class CB6 | 0.587% | (a) | 05/25/35 | 35 | 26,821 | |||||||||
Banc of America Funding Trust, Series 2006-B, Class 2A1 | 2.607% | (a) | 03/20/36 | 108 | 92,777 | |||||||||
Bear Stearns ARM Trust, Series 2005-10, Class A2 | 2.708% | (a) | 10/25/35 | 41 | 40,675 | |||||||||
Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA | 2.757% | (a) | 09/25/37 | 73 | 65,508 | |||||||||
Countrywide Alternative Loan Trust, Series 2005-43, Class 4A3 | 5.070% | (a) | 10/25/35 | 26 | 23,505 | |||||||||
Countrywide Alternative Loan Trust, Series 2006-HY13, Class 4A1 | 2.612% | (a) | 02/25/37 | 35 | 30,589 | |||||||||
Countrywide Alternative Loan Trust, Series 2006-OA11, Class A1B | 0.377% | (a) | 09/25/46 | 39 | 33,441 | |||||||||
Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A | 0.397% | (a) | 07/20/46 | 30 | 22,184 | |||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-2, Class 2A1 | 0.507% | (a) | 03/25/35 | 89 | 85,369 | |||||||||
First Horizon Alternative Mortgage Securities Trust, Series 2006-FA2, Class 1A5 | 6.000% | 05/25/36 | 58 | 48,808 | ||||||||||
HarborView Mortgage Loan Trust, Series 2006-5, Class 2A1A | 0.368% | (a) | 07/19/46 | 46 | 27,674 | |||||||||
HarborView Mortgage Loan Trust, Series 2006-7, Class 2A1B | 0.438% | (a) | 09/19/46 | 33 | 2,396 | |||||||||
IndyMac INDX Mortgage Loan Trust, Series 2006-AR12, Class A1 | 0.377% | (a) | 09/25/46 | 35 | 29,699 | |||||||||
JP Morgan Mortgage Trust, Series 2007-S3, Class 1A96 | 6.000% | 08/25/37 | 27 | 24,263 | ||||||||||
MASTR Adjustable Rate Mortgages Trust, Series 2006-OA1, Class 1A1 | 0.397% | (a) | 04/25/46 | 24 | 17,692 | |||||||||
Residential Accredit Loans, Inc., Series 2006-QA2, Class 3A1 | 5.500% | (a) | 02/25/36 | 183 | 146,115 | |||||||||
Residential Accredit Loans, Inc., Series 2007-QS4, Class 2A1 | 0.517% | (a) | 03/25/37 | 154 | 54,355 |
SEE NOTES TO FINANCIAL STATEMENTS.
A108
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Residential Asset Securitization Trust, Series 2007-A5, Class 2A3 | 6.000% | 05/25/37 | 55 | $ | 48,024 | |||||||||
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 2A1 | 0.377% | (a) | 07/25/46 | 47 | 37,322 | |||||||||
SunTrust Alternative Loan Trust, Series 2006-1F, Class 3A | 0.537% | (a) | 04/25/36 | 105 | 43,296 | |||||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 2A3 | 2.290% | (a) | 02/25/37 | 29 | 25,243 | |||||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 4A1 | 2.379% | (a) | 02/25/37 | 36 | 31,856 | |||||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-OA3, Class 2A1A | 0.918% | (a) | 04/25/47 | 41 | 35,476 | |||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
| 1,111,272 | ||||||||||||
CORPORATE BONDS — 94.8% | ||||||||||||||
Aerospace & Defense — 1.5% | ||||||||||||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 5.750% | 03/15/22 | 2,450 | 2,180,500 | ||||||||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(b) | 6.000% | 10/15/22 | 3,425 | 3,039,688 | ||||||||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(b) | 6.125% | 01/15/23 | 3,250 | 2,884,375 | ||||||||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(b) | 7.500% | 03/15/25 | 3,150 | 2,858,625 | ||||||||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 7.750% | 03/15/20 | 2,026 | 2,037,143 | ||||||||||
DAE Aviation Holdings, Inc., Gtd. Notes, 144A | 10.000% | 07/15/23 | 6,225 | 6,140,962 | ||||||||||
LMI Aerospace, Inc., Sec’d. Notes | 7.375% | 07/15/19 | 3,798 | 3,788,505 | ||||||||||
Orbital ATK, Inc., Gtd. Notes, 144A | 5.250% | 10/01/21 | 2,965 | 3,024,300 | ||||||||||
Sequa Corp., Gtd. Notes, 144A | 7.000% | 12/15/17 | 5,359 | 3,644,120 | ||||||||||
TransDigm, Inc., Gtd. Notes | 6.000% | 07/15/22 | 6,550 | 6,468,125 | ||||||||||
TransDigm, Inc., Gtd. Notes | 6.500% | 07/15/24 | 6,150 | 6,073,125 | ||||||||||
TransDigm, Inc., Gtd. Notes(b) | 7.500% | 07/15/21 | 5,245 | 5,638,375 | ||||||||||
47,777,843 | ||||||||||||||
Automotive — 3.3% | ||||||||||||||
American Axle & Manufacturing, Inc., Gtd. Notes(b) | 6.250% | 03/15/21 | 4,875 | 5,118,750 | ||||||||||
American Axle & Manufacturing, Inc., Gtd. Notes | 6.625% | 10/15/22 | 5,000 | 5,250,000 | ||||||||||
American Axle & Manufacturing, Inc., Gtd. Notes | 7.750% | 11/15/19 | 675 | 762,750 | ||||||||||
American Tire Distributors, Inc., Sr. Sub. Notes, 144A | 10.250% | 03/01/22 | 12,125 | 12,943,437 | ||||||||||
Dana Holding Corp., Sr. Unsec’d. Notes | 5.375% | 09/15/21 | 4,050 | 4,151,250 | ||||||||||
Dana Holding Corp., Sr. Unsec’d. Notes | 6.750% | 02/15/21 | 6,909 | 7,237,178 | ||||||||||
FCA US LLC/CG Co.-Issuer, Inc., Sec’d. Notes | 8.250% | 06/15/21 | 2,100 | 2,289,000 | ||||||||||
Fiat Chrysler Automobiles NV (United Kingdom), Sr. Unsec’d. Notes, 144A(b) | 5.250% | 04/15/23 | 5,925 | 5,807,685 | ||||||||||
General Motors Co., Sr. Unsec’d. Notes | 4.875% | 10/02/23 | 2,025 | 2,134,903 | ||||||||||
General Motors Financial Co., Inc., Gtd. Notes(b) | 3.250% | 05/15/18 | 1,150 | 1,176,156 | ||||||||||
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A | 5.625% | 02/01/23 | 650 | 672,750 | ||||||||||
Lear Corp., Gtd. Notes | 4.750% | 01/15/23 | 775 | 763,375 | ||||||||||
Lear Corp., Gtd. Notes | 5.250% | 01/15/25 | 8,125 | 7,982,813 | ||||||||||
Meritor, Inc., Gtd. Notes | 6.250% | 02/15/24 | 5,475 | 5,406,563 | ||||||||||
Meritor, Inc., Gtd. Notes | 6.750% | 06/15/21 | 8,075 | 8,256,687 | ||||||||||
Omega US Sub. LLC, Sr. Unsec’d. Notes, 144A | 8.750% | 07/15/23 | 7,200 | 7,182,000 | ||||||||||
Schaeffler Finance BV (Germany), Sr. Sec’d. Notes, 144A | 4.750% | 05/15/23 | 8,300 | 8,092,500 | ||||||||||
Schaeffler Holding Finance BV (Germany), Sr. Sec’d. Notes, PIK, 144A | 6.750% | 11/15/22 | 1,800 | 1,941,750 | ||||||||||
Titan International, Inc., Sr. Sec’d. Notes(b) | 6.875% | 10/01/20 | 4,425 | 4,065,469 | ||||||||||
ZF North America Capital, Inc. (Germany), Gtd. Notes, 144A(b) | 4.500% | 04/29/22 | 8,550 | 8,375,152 | ||||||||||
ZF North America Capital, Inc. (Germany), Gtd. Notes, 144A(b) | 4.750% | 04/29/25 | 10,450 | 10,116,958 | ||||||||||
�� | 109,727,126 | |||||||||||||
Banking — 1.4% | ||||||||||||||
Ally Financial, Inc., Gtd. Notes | 8.000% | 03/15/20 | 3,993 | 4,701,758 | ||||||||||
Ally Financial, Inc., Sr. Unsec’d. Notes | 3.750% | 11/18/19 | 6,625 | 6,575,312 | ||||||||||
Bank of America Corp., Series K, Jr. Sub. Notes | 8.000% | (a) | 12/29/49 | 730 | 770,150 | |||||||||
Bank of America Corp., Series U, Jr. Sub. Notes | 5.200% | (a) | 12/31/49 | 2,925 | 2,797,031 |
SEE NOTES TO FINANCIAL STATEMENTS.
A109
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Banking (continued) | ||||||||||||||
Citigroup, Inc., Series N, Jr. Sub. Notes(b) | 5.800% | (a) | 12/31/49 | 9,515 | $ | 9,538,787 | ||||||||
Goldman Sachs Group, Inc. (The), Series M, Jr. Sub. Notes | 5.375% | (a) | 12/31/49 | 3,925 | 3,877,508 | |||||||||
HBOS PLC (United Kingdom), Sub. Notes, GMTN, 144A | 6.750% | 05/21/18 | 400 | 443,501 | ||||||||||
Morgan Stanley, Series H, Jr. Sub. Notes | 5.450% | (a) | 12/31/49 | 4,975 | 4,937,688 | |||||||||
Morgan Stanley, Series J, Jr. Sub. Notes(b) | 5.550% | (a) | 12/31/49 | 6,450 | 6,403,237 | |||||||||
Wells Fargo & Co., Series S, Jr. Sub. Notes | 5.900% | (a) | 12/31/49 | 4,975 | 4,987,438 | |||||||||
45,032,410 | ||||||||||||||
Building Materials & Construction — 4.6% | ||||||||||||||
Beazer Homes USA, Inc., Gtd. Notes(b) | 5.750% | 06/15/19 | 7,250 | 7,141,250 | ||||||||||
Beazer Homes USA, Inc., Gtd. Notes | 7.250% | 02/01/23 | 4,475 | 4,340,750 | ||||||||||
Beazer Homes USA, Inc., Gtd. Notes | 7.500% | 09/15/21 | 6,619 | 6,668,642 | ||||||||||
Beazer Homes USA, Inc., Gtd. Notes(b) | 9.125% | 05/15/19 | 3,750 | 3,904,687 | ||||||||||
Brookfield Residential Properties, Inc. (Canada), Gtd. Notes, 144A | 6.500% | 12/15/20 | 700 | 696,794 | ||||||||||
Brookfield Residential Properties, Inc. (Canada), Sr. Notes, 144A | 6.375% | 05/15/25 | 4,075 | 3,993,500 | ||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A | 6.125% | 07/01/22 | 6,600 | 6,501,000 | ||||||||||
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A | 5.375% | 11/15/24 | 6,250 | 6,136,562 | ||||||||||
Building Materials Corp. of America, Sr. Unsec’d. Notes, 144A | 6.750% | 05/01/21 | 1,375 | 1,433,438 | ||||||||||
Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A | 9.375% | 10/12/22 | 5,975 | 6,654,656 | ||||||||||
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A | 5.700% | 01/11/25 | 2,175 | 2,074,298 | ||||||||||
D.R. Horton, Inc., Gtd. Notes | 4.750% | 02/15/23 | 8,825 | 8,802,937 | ||||||||||
HD Supply, Inc., Sr. Sec’d. Notes, 144A(b) | 5.250% | 12/15/21 | 5,475 | 5,550,281 | ||||||||||
James Hardie International Finance Ltd. (Ireland), Gtd. Notes, 144A | 5.875% | 02/15/23 | 4,275 | 4,403,250 | ||||||||||
KB Home, Gtd. Notes(b) | 7.625% | 05/15/23 | 4,550 | 4,754,750 | ||||||||||
KB Home, Gtd. Notes | 7.000% | 12/15/21 | 2,725 | 2,813,563 | ||||||||||
KB Home, Gtd. Notes(b) | 7.500% | 09/15/22 | 6,350 | 6,604,000 | ||||||||||
Lennar Corp., Gtd. Notes | 4.750% | 05/30/25 | 6,575 | 6,377,750 | ||||||||||
Meritage Homes Corp., Gtd. Notes, 144A(b) | 6.000% | 06/01/25 | 3,600 | 3,618,000 | ||||||||||
Ryland Group, Inc. (The), Gtd. Notes | 5.375% | 10/01/22 | 2,900 | 2,929,000 | ||||||||||
Shea Homes LP/Shea Homes Funding Corp., Sr. Unsec’d. Notes, 144A | 5.875% | 04/01/23 | 2,875 | 2,910,938 | ||||||||||
Shea Homes LP/Shea Homes Funding Corp., Sr. Unsec’d. Notes, 144A | 6.125% | 04/01/25 | 4,200 | 4,231,500 | ||||||||||
Standard Pacific Corp., Gtd. Notes | 5.875% | 11/15/24 | 1,500 | 1,545,000 | ||||||||||
Standard Pacific Corp., Gtd. Notes | 6.250% | 12/15/21 | 6,300 | 6,678,000 | ||||||||||
Standard Pacific Corp., Gtd. Notes(b) | 8.375% | 01/15/21 | 3,125 | 3,625,000 | ||||||||||
Summit Materials LLC/Summit Materials Finance Corp., Sr. Unsec’d. Notes, 144A | 6.125% | 07/15/23 | 6,550 | 6,550,000 | ||||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A | 5.625% | 03/01/24 | 3,163 | 3,044,388 | ||||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A | 5.875% | 04/15/23 | 9,212 | 9,096,850 | ||||||||||
Toll Brothers Finance Corp., Gtd. Notes | 4.000% | 12/31/18 | 400 | 408,000 | ||||||||||
USG Corp., Gtd. Notes, 144A | 5.500% | 03/01/25 | 700 | 697,375 | ||||||||||
WCI Communities, Inc., Gtd. Notes | 6.875% | 08/15/21 | 8,570 | 8,848,525 | ||||||||||
William Lyon Homes, Inc., Gtd. Notes | 7.000% | 08/15/22 | 6,525 | 6,753,375 | ||||||||||
149,788,059 | ||||||||||||||
Cable — 3.8% | ||||||||||||||
Cablevision Systems Corp., Sr. Unsec’d. Notes(b) | 7.750% | 04/15/18 | 1,375 | 1,485,000 | ||||||||||
Cablevision Systems Corp., Sr. Unsec’d. Notes | 8.625% | 09/15/17 | 9,975 | 10,872,750 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes | 5.250% | 03/15/21 | 635 | 633,413 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(b) | 5.750% | 09/01/23 | 2,875 | 2,880,391 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(b) | 5.750% | 01/15/24 | 900 | 904,500 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A | 5.125% | 05/01/23 | 5,675 | 5,518,937 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A | 5.375% | 05/01/25 | 1,125 | 1,095,469 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A(b) | 5.875% | 05/01/27 | 24,000 | 23,430,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
A110
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Cable (continued) | ||||||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A | 5.125% | 12/15/21 | 11,210 | $ | 10,180,081 | |||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A | 5.125% | 12/15/21 | 8,635 | 7,841,659 | ||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A | 6.375% | 09/15/20 | 3,800 | 3,774,350 | ||||||||||
CSC Holdings LLC, Sr. Unsec’d. Notes | 6.750% | 11/15/21 | 4,530 | 4,779,150 | ||||||||||
CSC Holdings LLC, Sr. Unsec’d. Notes | 7.875% | 02/15/18 | 850 | 937,125 | ||||||||||
DISH DBS Corp., Gtd. Notes(b) | 5.875% | 07/15/22 | 3,275 | 3,209,500 | ||||||||||
DISH DBS Corp., Gtd. Notes(b) | 5.875% | 11/15/24 | 4,000 | 3,842,500 | ||||||||||
Inmarsat Finance PLC (United Kingdom), Gtd. Notes, 144A | 4.875% | 05/15/22 | 600 | 579,000 | ||||||||||
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes(b) | 5.500% | 08/01/23 | 12,000 | 10,626,000 | ||||||||||
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes | 7.250% | 10/15/20 | 5,700 | 5,635,875 | ||||||||||
Mediacom Broadband LLC/Mediacom Broadband Corp., Gtd. Notes | 5.500% | 04/15/21 | 7,500 | 7,312,500 | ||||||||||
Quebecor Media, Inc. (Canada), Sr. Unsec’d. Notes | 5.750% | 01/15/23 | 11,408 | 11,379,480 | ||||||||||
Unitymedia KabelBW GmbH (Germany), Gtd. Notes, 144A(b) | 6.125% | 01/15/25 | 3,575 | 3,735,875 | ||||||||||
Videotron Ltd. (Canada), Gtd. Notes | 5.000% | 07/15/22 | 3,825 | 3,815,438 | ||||||||||
124,468,993 | ||||||||||||||
Capital Goods — 7.5% | ||||||||||||||
ADS Waste Holdings, Inc., Gtd. Notes | 8.250% | 10/01/20 | 4,235 | 4,383,225 | ||||||||||
AECOM, Gtd. Notes, 144A(b) | 5.875% | 10/15/24 | 10,900 | 11,049,875 | ||||||||||
Ahern Rentals, Inc., Sec’d. Notes, 144A(b) | 7.375% | 05/15/23 | 5,325 | 5,258,437 | ||||||||||
Apex Tool Group LLC, Gtd. Notes, 144A | 7.000% | 02/01/21 | 2,000 | 1,780,000 | ||||||||||
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A | 6.500% | 07/15/22 | 8,925 | 9,460,500 | ||||||||||
ATS Automation Tooling Systems, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 6.500% | 06/15/23 | 4,400 | 4,493,500 | ||||||||||
Belden, Inc., Gtd. Notes, 144A | 5.500% | 09/01/22 | 4,025 | 3,994,812 | ||||||||||
BlueLine Rental Finance Corp., Sec’d. Notes, 144A | 7.000% | 02/01/19 | 2,025 | 2,080,688 | ||||||||||
Brand Energy & Infrastructure Services, Inc., Gtd. Notes, 144A | 8.500% | 12/01/21 | 5,325 | 4,952,250 | ||||||||||
Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes | 7.875% | 12/01/17 | 4,150 | 4,544,250 | ||||||||||
CBRE Services, Inc., Gtd. Notes | 5.000% | 03/15/23 | 1,200 | 1,212,000 | ||||||||||
Clean Harbors, Inc., Gtd. Notes | 5.125% | 06/01/21 | 1,060 | 1,049,400 | ||||||||||
Clean Harbors, Inc., Gtd. Notes | 5.250% | 08/01/20 | 6,850 | 6,952,750 | ||||||||||
Cleaver-Brooks, Inc., Sr. Sec’d. Notes, 144A | 8.750% | 12/15/19 | 5,475 | 5,392,875 | ||||||||||
CNH Industrial Capital LLC, Gtd. Notes(b) | 3.625% | 04/15/18 | 2,950 | 2,950,000 | ||||||||||
Dycom Investments, Inc., Gtd. Notes | 7.125% | 01/15/21 | 5,225 | 5,460,125 | ||||||||||
EnPro Industries, Inc., Gtd. Notes | 5.875% | 09/15/22 | 4,475 | 4,553,312 | ||||||||||
Gates Global LLC/Gates Global Co., Gtd. Notes, 144A(b) | 6.000% | 07/15/22 | 9,350 | 8,461,750 | ||||||||||
General Cable Corp., Gtd. Notes | 5.750% | 10/01/22 | 3,225 | 3,023,437 | ||||||||||
Greystar Real Estate Partners LLC, Sr. Sec’d. Notes, 144A | 8.250% | 12/01/22 | 5,875 | 6,198,125 | ||||||||||
Griffon Corp., Gtd. Notes | 5.250% | 03/01/22 | 13,235 | 13,168,825 | ||||||||||
H&E Equipment Services, Inc., Gtd. Notes(b) | 7.000% | 09/01/22 | 12,295 | 12,679,219 | ||||||||||
International Wire Group Holdings, Inc., Sec’d. Notes, 144A(b) | 8.500% | 10/15/17 | 6,250 | 6,468,750 | ||||||||||
Jurassic Holdings III, Inc., Sec’d. Notes, 144A | 6.875% | 02/15/21 | 11,400 | 8,892,000 | ||||||||||
Laureate Education, Inc., Gtd. Notes, 144A(b) | 10.000% | 09/01/19 | 17,325 | 16,155,562 | ||||||||||
Manitowoc Co., Inc. (The), Gtd. Notes | 5.875% | 10/15/22 | 2,550 | 2,747,625 | ||||||||||
Modular Space Corp., Sec’d. Notes, 144A | 10.250% | 01/31/19 | 1,800 | 1,557,000 | ||||||||||
NES Rentals Holdings, Inc., Sec’d. Notes, 144A | 7.875% | 05/01/18 | 7,275 | 7,347,750 | ||||||||||
Safway Group Holding LLC/Safway Finance Corp., Sec’d. Notes, 144A | 7.000% | 05/15/18 | 1,450 | 1,482,321 |
SEE NOTES TO FINANCIAL STATEMENTS.
A111
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Capital Goods (continued) | ||||||||||||||
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., Gtd. Notes, 144A | 6.375% | 05/01/22 | 12,750 | $ | 12,367,500 | |||||||||
Terex Corp., Gtd. Notes | 6.000% | 05/15/21 | 7,239 | 7,275,195 | ||||||||||
Terex Corp., Gtd. Notes(b) | 6.500% | 04/01/20 | 2,175 | 2,278,313 | ||||||||||
Unifrax I LLC/Unifrax Holding Co., Gtd. Notes, 144A | 7.500% | 02/15/19 | 4,400 | 4,422,000 | ||||||||||
United Rentals North America, Inc., Gtd. Notes(b) | 5.500% | 07/15/25 | 6,075 | 5,869,969 | ||||||||||
United Rentals North America, Inc., Gtd. Notes | 5.750% | 11/15/24 | 5,150 | 5,072,750 | ||||||||||
United Rentals North America, Inc., Gtd. Notes | 6.125% | 06/15/23 | 2,600 | 2,655,250 | ||||||||||
United Rentals North America, Inc., Gtd. Notes | 7.375% | 05/15/20 | 2,625 | 2,800,849 | ||||||||||
United Rentals North America, Inc., Gtd. Notes | 7.625% | 04/15/22 | 15,640 | 16,930,300 | ||||||||||
United Rentals North America, Inc., Gtd. Notes | 8.250% | 02/01/21 | 1,315 | 1,405,406 | ||||||||||
Vander Intermediate Holding II Corp., Sr. Unsec’d. Notes, PIK, 144A | 9.750% | 02/01/19 | 7,915 | 7,796,275 | ||||||||||
WireCo WorldGroup, Inc., Gtd. Notes | 9.500% | 05/15/17 | 9,900 | 9,299,862 | ||||||||||
245,924,032 | ||||||||||||||
Chemicals — 4.1% | ||||||||||||||
A Schulman, Inc., Gtd. Notes, 144A | 6.875% | 06/01/23 | 6,350 | 6,477,000 | ||||||||||
Axalta Coating Systems US Holdings Inc./Axalta Coating Systems Dutch Holding B BV, Gtd. Notes, 144A(b) | 7.375% | 05/01/21 | 8,145 | 8,725,331 | ||||||||||
Axiall Corp., Gtd. Notes(b) | 4.875% | 05/15/23 | 2,175 | 2,098,875 | ||||||||||
Chemours Co./The, Sr. Unsec’d. Notes, 144A(b) | 6.625% | 05/15/23 | 5,850 | 5,667,188 | ||||||||||
Chemours Co./The, Sr. Unsec’d. Notes, 144A | 7.000% | 05/15/25 | 4,675 | 4,534,750 | ||||||||||
Chemtura Corp., Gtd. Notes(b) | 5.750% | 07/15/21 | 15,933 | 16,171,995 | ||||||||||
Eagle Spinco, Inc., Gtd. Notes | 4.625% | 02/15/21 | 2,625 | 2,546,250 | ||||||||||
Hexion, Inc., Sr. Sec’d. Notes(b) | 6.625% | 04/15/20 | 7,585 | 6,959,237 | ||||||||||
Hexion, Inc., Sr. Sec’d. Notes | 8.875% | 02/01/18 | 9,275 | 8,370,687 | ||||||||||
Hexion, Inc., Sec’d. Notes | 9.000% | 11/15/20 | 21,885 | 15,757,200 | ||||||||||
Hexion, Inc., Sr. Sec’d. Notes | 10.000% | 04/15/20 | 6,025 | 6,190,688 | ||||||||||
Koppers, Inc., Gtd. Notes | 7.875% | 12/01/19 | 12,902 | 13,031,020 | ||||||||||
Platform Specialty Products Corp., Sr. Unsec’d. Notes, 144A | 6.500% | 02/01/22 | 7,125 | 7,356,562 | ||||||||||
Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp., Sec’d. Notes, 144A | 6.500% | 04/15/21 | 8,200 | 8,200,000 | ||||||||||
TPC Group, Inc., Sr. Sec’d. Notes, 144A(b) | 8.750% | 12/15/20 | 15,445 | 14,286,625 | ||||||||||
Tronox Finance LLC, Gtd. Notes(b) | 6.375% | 08/15/20 | 6,481 | 6,011,128 | ||||||||||
Univar USA, Inc., Gtd. Notes, 144A | 6.750% | 07/15/23 | 1,775 | 1,792,750 | ||||||||||
134,177,286 | ||||||||||||||
Consumer — 2.4% | ||||||||||||||
Acosta, Inc., Sr. Unsec’d. Notes, 144A(b) | 7.750% | 10/01/22 | 11,000 | 11,082,500 | ||||||||||
Carlson Wagonlit BV (Netherlands), Sr. Sec’d. Notes, 144A | 6.875% | 06/15/19 | 3,100 | 3,267,400 | ||||||||||
Energizer Holdings, Inc., Gtd. Notes, 144A | 5.500% | 06/15/25 | 3,750 | 3,703,125 | ||||||||||
First Quality Finance Co., Inc., Sr. Unsec’d. Notes, 144A(b) | 4.625% | 05/15/21 | 5,805 | 5,427,675 | ||||||||||
Hearthside Group Holdings LLC/Hearthside Finance Co., Gtd. Notes, 144A | 6.500% | 05/01/22 | 5,475 | 5,228,625 | ||||||||||
Interval Acquisition Corp., Gtd. Notes, 144A | 5.625% | 04/15/23 | 4,875 | 4,935,937 | ||||||||||
Service Corp. International, Sr. Unsec’d. Notes(b) | 5.375% | 01/15/22 | 925 | 971,250 | ||||||||||
Service Corp. International, Sr. Unsec’d. Notes | 5.375% | 05/15/24 | 8,650 | 9,039,250 | ||||||||||
Spectrum Brands, Inc., Gtd. Notes | 6.375% | 11/15/20 | 4,200 | 4,441,500 | ||||||||||
Spectrum Brands, Inc., Gtd. Notes, 144A | 5.750% | 07/15/25 | 4,850 | 4,922,750 | ||||||||||
Springs Industries, Inc., Sr. Sec’d. Notes | 6.250% | 06/01/21 | 19,932 | 19,483,530 | ||||||||||
West Corp., Gtd. Notes, 144A | 5.375% | 07/15/22 | 5,450 | 5,095,750 | ||||||||||
77,599,292 | ||||||||||||||
Electric — 6.3% | ||||||||||||||
AES Corp., Sr. Unsec’d. Notes(b) | 4.875% | 05/15/23 | 2,175 | 2,044,500 | ||||||||||
AES Corp., Sr. Unsec’d. Notes(b) | 5.500% | 03/15/24 | 2,400 | 2,310,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
A112
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Electric (continued) | ||||||||||||||
AES Corp., Sr. Unsec’d. Notes | 7.375% | 07/01/21 | 11,999 | $ | 13,168,902 | |||||||||
Calpine Corp., Sr. Sec’d. Notes, 144A | 6.000% | 01/15/22 | 2,100 | 2,220,750 | ||||||||||
Calpine Corp., Sr. Sec’d. Notes, 144A | 7.875% | 01/15/23 | 7,479 | 8,077,320 | ||||||||||
Calpine Corp., Sr. Unsec’d. Notes(b) | 5.375% | 01/15/23 | 10,710 | 10,522,575 | ||||||||||
Calpine Corp., Sr. Unsec’d. Notes | 5.500% | 02/01/24 | 11,800 | 11,416,500 | ||||||||||
Calpine Corp., Sr. Unsec’d. Notes(b) | 5.750% | 01/15/25 | 7,075 | 6,880,437 | ||||||||||
Covanta Holding Corp., Sr. Unsec’d. Notes | 5.875% | 03/01/24 | 3,150 | 3,142,125 | ||||||||||
Covanta Holding Corp., Sr. Unsec’d. Notes(b) | 6.375% | 10/01/22 | 2,450 | 2,563,313 | ||||||||||
Covanta Holding Corp., Sr. Unsec’d. Notes | 7.250% | 12/01/20 | 330 | 346,500 | ||||||||||
DPL, Inc., Sr. Unsec’d. Notes | 6.500% | 10/15/16 | 730 | 759,200 | ||||||||||
DPL, Inc., Sr. Unsec’d. Notes | 7.250% | 10/15/21 | 15,875 | 16,748,125 | ||||||||||
DPL, Inc., Sr. Unsec’d. Notes, 144A | 6.750% | 10/01/19 | 4,250 | 4,515,625 | ||||||||||
Dynegy, Inc., Gtd. Notes | 5.875% | 06/01/23 | 7,310 | 7,145,525 | ||||||||||
Dynegy, Inc., Gtd. Notes, 144A | 7.375% | 11/01/22 | 29,330 | 30,723,175 | ||||||||||
Dynegy, Inc., Gtd. Notes, 144A(b) | 7.625% | 11/01/24 | 13,380 | 14,149,350 | ||||||||||
GenOn Americas Generation LLC, Sr. Unsec’d. Notes | 8.500% | 10/01/21 | 1,000 | 950,000 | ||||||||||
GenOn Energy, Inc., Sr. Unsec’d. Notes(b) | 9.500% | 10/15/18 | 3,350 | 3,417,000 | ||||||||||
GenOn Energy, Inc., Sr. Unsec’d. Notes(b) | 9.875% | 10/15/20 | 13,600 | 13,838,000 | ||||||||||
InterGen NV (Netherlands), Sr. Sec’d. Notes, 144A | 7.000% | 06/30/23 | 4,500 | 4,005,000 | ||||||||||
Mirant Corp., Bonds, 144A(c) | 7.400% | (a) | 07/15/49 | 1,825 | 1,825 | |||||||||
Mirant Mid Atlantic Trust, Series B, Pass-Through Certificates | 9.125% | 06/30/17 | 1,636 | 1,726,156 | ||||||||||
NRG Energy, Inc., Gtd. Notes(b) | 6.250% | 07/15/22 | 9,018 | 9,153,270 | ||||||||||
NRG Energy, Inc., Gtd. Notes(b) | 6.250% | 05/01/24 | 10,500 | 10,421,250 | ||||||||||
NRG Energy, Inc., Gtd. Notes | 7.625% | 01/15/18 | 5,370 | 5,886,863 | ||||||||||
NRG Energy, Inc., Gtd. Notes(b) | 7.875% | 05/15/21 | 3,155 | 3,360,075 | ||||||||||
NRG Energy, Inc., Gtd. Notes | 8.250% | 09/01/20 | 4,950 | 5,185,125 | ||||||||||
NRG REMA LLC, Series B, Pass-Through Certificates | 9.237% | 07/02/17 | 294 | 306,545 | ||||||||||
NRG REMA LLC, Series C, Pass-Through Certificates | 9.681% | 07/02/26 | 6,910 | 7,445,525 | ||||||||||
Red Oak Power LLC, Series B, Sr. Sec’d. Notes | 9.200% | 11/30/29 | 200 | 224,000 | ||||||||||
Talen Energy Supply LLC, Gtd. Notes, 144A | 5.125% | 07/15/19 | 5,625 | 5,512,500 | ||||||||||
208,167,056 | ||||||||||||||
Energy – Integrated — 0.1% | ||||||||||||||
Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A | 5.375% | 01/26/19 | 5,000 | 4,107,500 | ||||||||||
Energy – Other — 5.6% | ||||||||||||||
Antero Resources Corp., Gtd. Notes(b) | 5.125% | 12/01/22 | 1,975 | 1,866,375 | ||||||||||
Bonanza Creek Energy, Inc., Gtd. Notes | 5.750% | 02/01/23 | 2,300 | 2,064,250 | ||||||||||
Bonanza Creek Energy, Inc., Gtd. Notes(b) | 6.750% | 04/15/21 | 3,775 | 3,576,813 | ||||||||||
Bristow Group, Inc., Gtd. Notes | 6.250% | 10/15/22 | 3,525 | 3,489,750 | ||||||||||
California Resources Corp., Gtd. Notes(b) | 5.500% | 09/15/21 | 4,675 | 4,068,185 | ||||||||||
California Resources Corp., Gtd. Notes(b) | 6.000% | 11/15/24 | 19,950 | 17,157,000 | ||||||||||
CGG SA (France), Gtd. Notes | 6.500% | 06/01/21 | 2,125 | 1,763,750 | ||||||||||
CGG SA (France), Gtd. Notes | 6.875% | 01/15/22 | 1,355 | 1,124,650 | ||||||||||
CGG SA (France), Gtd. Notes(b) | 7.750% | 05/15/17 | 928 | 900,160 | ||||||||||
Citgo Holding, Inc., Sr. Sec’d. Notes, 144A | 10.750% | 02/15/20 | 9,750 | 9,969,375 | ||||||||||
Concho Resources, Inc., Gtd. Notes(b) | 5.500% | 04/01/23 | 4,325 | 4,325,000 | ||||||||||
CSI Compressco Partners LP/Compressco Finance, Inc., Gtd. Notes, 144A | 7.250% | 08/15/22 | 5,725 | 5,467,375 | ||||||||||
Denbury Resources, Inc., Gtd. Notes(b) | 6.375% | 08/15/21 | 2,565 | 2,462,400 | ||||||||||
Endeavor Energy Resources LP/EER Finance, Inc., Sr. Unsec’d. Notes, 144A(b) | 7.000% | 08/15/21 | 4,100 | 4,079,500 | ||||||||||
Endeavor Energy Resources LP/EER Finance, Inc., Sr. Unsec’d. Notes, 144A | 8.125% | 09/15/23 | 2,500 | 2,578,125 | ||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., Gtd. Notes(b) | 9.375% | 05/01/20 | 501 | 535,419 | ||||||||||
Halcon Resources Corp., Sec’d. Notes, 144A(b) | 8.625% | 02/01/20 | 3,900 | 3,851,250 | ||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Unsec’d. Notes, 144A | 5.750% | 10/01/25 | 9,525 | 9,144,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
A113
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Energy – Other (continued) | ||||||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Unsec’d. Notes, 144A | 7.625% | 04/15/21 | 4,600 | $ | 4,784,000 | |||||||||
Hornbeck Offshore Services, Inc., Gtd. Notes(b) | 5.875% | 04/01/20 | 3,622 | 3,332,240 | ||||||||||
Jupiter Resources, Inc. (Canada), Sr. Unsec’d. Notes, 144A(b) | 8.500% | 10/01/22 | 6,325 | 5,297,187 | ||||||||||
MEG Energy Corp. (Canada), Gtd. Notes, 144A | 6.500% | 03/15/21 | 10,920 | 10,510,500 | ||||||||||
Memorial Resource Development Corp., Gtd. Notes | 5.875% | 07/01/22 | 6,850 | 6,615,045 | ||||||||||
Newfield Exploration Co., Sr. Unsec’d. Notes | 5.375% | 01/01/26 | 5,975 | 5,915,250 | ||||||||||
Newfield Exploration Co., Sr. Unsec’d. Notes | 5.750% | 01/30/22 | 1,875 | 1,903,125 | ||||||||||
Parker Drilling Co., Gtd. Notes | 7.500% | 08/01/20 | 1,975 | 1,797,250 | ||||||||||
PHI, Inc., Gtd. Notes | 5.250% | 03/15/19 | 3,525 | 3,260,625 | ||||||||||
Pioneer Energy Services Corp., Gtd. Notes | 6.125% | 03/15/22 | 2,400 | 1,920,000 | ||||||||||
Precision Drilling Corp. (Canada), Gtd. Notes | 6.500% | 12/15/21 | 2,075 | 2,012,750 | ||||||||||
Precision Drilling Corp. (Canada), Gtd. Notes | 6.625% | 11/15/20 | 2,500 | 2,450,000 | ||||||||||
QEP Resources, Inc., Sr. Unsec’d. Notes(b) | 5.250% | 05/01/23 | 5,525 | 5,290,187 | ||||||||||
QEP Resources, Inc., Sr. Unsec’d. Notes(b) | 5.375% | 10/01/22 | 2,300 | 2,221,110 | ||||||||||
Range Resources Corp., Gtd. Notes | 5.000% | 08/15/22 | 2,000 | 1,960,000 | ||||||||||
Rice Energy, Inc., Gtd. Notes, 144A(b) | 7.250% | 05/01/23 | 5,775 | 5,919,375 | ||||||||||
Samson Investment Co., Gtd. Notes | 9.750% | 02/15/20 | 11,525 | 662,688 | ||||||||||
Sanchez Energy Corp., Gtd. Notes(b) | 6.125% | 01/15/23 | 1,375 | 1,230,625 | ||||||||||
SESI LLC, Gtd. Notes | 6.375% | 05/01/19 | 1,150 | 1,169,550 | ||||||||||
Seventy Seven Energy, Inc., Sr. Unsec’d. Notes(b) | 6.500% | 07/15/22 | 1,975 | 1,264,000 | ||||||||||
Triangle USA Petroleum Corp., Gtd. Notes, 144A | 6.750% | 07/15/22 | 4,850 | 3,758,750 | ||||||||||
Tullow Oil PLC (United Kingdom), Gtd. Notes, 144A | 6.000% | 11/01/20 | 6,900 | 6,253,125 | ||||||||||
Western Refining Logistics LP/WNRL Finance Corp., Gtd. Notes, 144A | 7.500% | 02/15/23 | 5,975 | 6,154,250 | ||||||||||
Western Refining, Inc., Gtd. Notes | 6.250% | 04/01/21 | 6,608 | 6,657,560 | ||||||||||
WPX Energy, Inc., Sr. Unsec’d. Notes(b) | 6.000% | 01/15/22 | 13,128 | 12,963,900 | ||||||||||
183,726,469 | ||||||||||||||
Foods — 4.3% | ||||||||||||||
B&G Foods, Inc., Gtd. Notes(b) | 4.625% | 06/01/21 | 4,025 | 3,964,625 | ||||||||||
BC ULC/New Red Finance, Inc. (Canada), Sec’d. Notes, 144A(b) | 6.000% | 04/01/22 | 6,875 | 7,064,062 | ||||||||||
CEC Entertainment, Inc., Gtd. Notes(b) | 8.000% | 02/15/22 | 10,420 | 10,341,850 | ||||||||||
Cott Beverages, Inc. (Canada), Gtd. Notes, 144A | 6.750% | 01/01/20 | 5,350 | 5,550,625 | ||||||||||
Darling Ingredients, Inc., Gtd. Notes(b) | 5.375% | 01/15/22 | 4,800 | 4,800,000 | ||||||||||
Ingles Markets, Inc., Sr. Unsec’d. Notes | 5.750% | 06/15/23 | 5,750 | 5,843,725 | ||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A | 7.250% | 06/01/21 | 3,085 | 3,250,819 | ||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A | 7.250% | 06/01/21 | 7,725 | 8,140,219 | ||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Sr. Unsec’d. Notes, 144A | 5.750% | 06/15/25 | 6,550 | 6,474,348 | ||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Sr. Unsec’d. Notes, 144A | 5.875% | 07/15/24 | 6,275 | 6,314,219 | ||||||||||
Kraft Heinz Foods Co., Sec’d Notes, 144A | 4.875% | 02/15/25 | 7,800 | 8,492,250 | ||||||||||
Landry’s, Inc., Gtd. Notes, 144A | 9.375% | 05/01/20 | 10,386 | 11,138,985 | ||||||||||
PF Chang’s China Bistro, Inc., Gtd. Notes, 144A(b) | 10.250% | 06/30/20 | 6,450 | 6,667,687 | ||||||||||
Pilgrim’s Pride Corp., Gtd. Notes, 144A(b) | 5.750% | 03/15/25 | 3,200 | 3,232,000 | ||||||||||
Post Holdings, Inc., Gtd. Notes(b) | 7.375% | 02/15/22 | 10,525 | 10,709,187 | ||||||||||
Post Holdings, Inc., Gtd. Notes, 144A(b) | 6.000% | 12/15/22 | 9,075 | 8,734,687 | ||||||||||
Post Holdings, Inc., Gtd. Notes, 144A | 6.750% | 12/01/21 | 3,375 | 3,375,000 | ||||||||||
Roundy’s Supermarkets, Inc., Sec’d. Notes, 144A(b) | 10.250% | 12/15/20 | 5,250 | 4,462,500 | ||||||||||
Smithfield Foods, Inc., Sr. Unsec’d. Notes | 6.625% | 08/15/22 | 2,525 | 2,695,438 | ||||||||||
Smithfield Foods, Inc., Sr. Unsec’d. Notes, 144A | 5.875% | 08/01/21 | 6,975 | 7,201,687 | ||||||||||
SUPERVALU, Inc., Sr. Unsec’d. Notes(b) | 7.750% | 11/15/22 | 2,850 | 2,990,719 | ||||||||||
Tops Holding LLC/Tops Markets II Corp., Sr. Sec’d. Notes, 144A | 8.000% | 06/15/22 | 6,700 | 6,708,375 |
SEE NOTES TO FINANCIAL STATEMENTS.
A114
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Foods (continued) | ||||||||||||||
TreeHouse Foods, Inc., Gtd. Notes(b) | 4.875% | 03/15/22 | 2,875 | $ | 2,896,563 | |||||||||
141,049,570 | ||||||||||||||
Gaming — 4.6% | ||||||||||||||
Boyd Gaming Corp., Gtd. Notes | 6.875% | 05/15/23 | 9,750 | 9,993,750 | ||||||||||
Boyd Gaming Corp., Gtd. Notes | 9.000% | 07/01/20 | 6,959 | 7,550,515 | ||||||||||
CCM Merger, Inc., Gtd. Notes, 144A | 9.125% | 05/01/19 | 12,112 | 12,959,840 | ||||||||||
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes(b) | 4.875% | 11/01/20 | 350 | 356,125 | ||||||||||
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes(b) | 5.375% | 11/01/23 | 5,425 | 5,574,188 | ||||||||||
Golden Nugget Escrow, Inc., Sr. Unsec’d. Notes, 144A(b) | 8.500% | 12/01/21 | 12,750 | 13,196,250 | ||||||||||
Isle of Capri Casinos, Inc., Gtd. Notes | 5.875% | 03/15/21 | 1,725 | 1,772,438 | ||||||||||
Isle of Capri Casinos, Inc., Gtd. Notes | 8.875% | 06/15/20 | 4,598 | 4,965,840 | ||||||||||
MGM Resorts International, Gtd. Notes(b) | 6.625% | 12/15/21 | 18,915 | 19,766,175 | ||||||||||
MGM Resorts International, Gtd. Notes | 8.625% | 02/01/19 | 1,755 | 1,983,150 | ||||||||||
MTR Gaming Group, Inc., Sec’d. Notes | 11.500% | 08/01/19 | 9,043 | 9,619,359 | ||||||||||
Penn National Gaming, Inc., Sr. Unsec’d. Notes(b) | 5.875% | 11/01/21 | 11,725 | 11,812,937 | ||||||||||
Pinnacle Entertainment, Inc., Gtd. Notes | 6.375% | 08/01/21 | 810 | 859,613 | ||||||||||
Pinnacle Entertainment, Inc., Gtd. Notes | 7.750% | 04/01/22 | 6,775 | 7,435,562 | ||||||||||
Scientific Games International, Inc., Gtd. Notes(b) | 6.625% | 05/15/21 | 26,275 | 20,363,125 | ||||||||||
Scientific Games International, Inc., Gtd. Notes | 10.000% | 12/01/22 | 2,250 | 2,154,375 | ||||||||||
Scientific Games International, Inc., Sr. Sec’d. Notes, 144A(b) | 7.000% | 01/01/22 | 3,200 | 3,304,000 | ||||||||||
Station Casinos LLC, Gtd. Notes | 7.500% | 03/01/21 | 4,860 | 5,200,200 | ||||||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Sr. Sec’d. Notes, 144A | 6.375% | 06/01/21 | 13,375 | 12,706,250 | ||||||||||
151,573,692 | ||||||||||||||
Healthcare & Pharmaceutical — 9.8% | ||||||||||||||
Acadia Healthcare Co., Inc., Gtd. Notes | 6.125% | 03/15/21 | 3,206 | 3,302,180 | ||||||||||
Acadia Healthcare Co., Inc., Gtd. Notes | 12.875% | 11/01/18 | 4,220 | 4,610,350 | ||||||||||
Acadia Healthcare Co., Inc., Gtd. Notes, 144A | 5.625% | 02/15/23 | 3,250 | 3,290,625 | ||||||||||
Amsurg Corp., Gtd. Notes | 5.625% | 07/15/22 | 3,450 | 3,480,188 | ||||||||||
Capella Healthcare, Inc., Gtd. Notes | 9.250% | 07/01/17 | 6,280 | 6,429,150 | ||||||||||
Capsugel SA, Sr. Unsec’d. Notes, PIK, 144A | 7.000% | 05/15/19 | 6,250 | 6,360,094 | ||||||||||
Catamaran Corp., Gtd. Notes | 4.750% | 03/15/21 | 2,200 | 2,436,500 | ||||||||||
Centene Corp., Sr. Unsec’d. Notes | 4.750% | 05/15/22 | 6,225 | 6,411,750 | ||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes(b) | 6.875% | 02/01/22 | 7,900 | 8,334,500 | ||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes(b) | 7.125% | 07/15/20 | 1,750 | 1,854,125 | ||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes(b) | 8.000% | 11/15/19 | 12,855 | 13,545,956 | ||||||||||
ConvaTec Finance International SA (Luxembourg), Sr. Unsec’d. | 8.250% | 01/15/19 | 3,575 | 3,512,438 | ||||||||||
ConvaTec Healthcare E SA (Luxembourg), Gtd. Notes, 144A | 10.500% | 12/15/18 | 6,433 | 6,786,815 | ||||||||||
Crimson Merger Sub, Inc., Sr. Unsec’d. Notes, 144A | 6.625% | 05/15/22 | 23,900 | 20,972,250 | ||||||||||
DaVita Healthcare Partners, Inc., Gtd. Notes(b) | 5.000% | 05/01/25 | 5,675 | 5,462,187 | ||||||||||
Emdeon, Inc., Gtd. Notes | 11.000% | 12/31/19 | 11,800 | 12,803,000 | ||||||||||
Endo Finance LLC, Gtd. Notes, 144A(b) | 5.750% | 01/15/22 | 2,450 | 2,480,625 | ||||||||||
Endo Finance LLC/Endo Ltd./Endo Finco, Inc, Gtd. Notes, 144A | 6.000% | 07/15/23 | 5,650 | 5,777,125 | ||||||||||
Endo Finance LLC/Endo Ltd./Endo Finco, Inc., Gtd. Notes, 144A(b) | 6.000% | 02/01/25 | 2,125 | 2,159,531 | ||||||||||
Grifols Worldwide Operations Ltd. (Spain), Gtd. Notes | 5.250% | 04/01/22 | 4,375 | 4,385,938 | ||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.000% | 03/15/24 | 2,625 | 2,670,938 | ||||||||||
HCA, Inc., Gtd. Notes | 5.375% | 02/01/25 | 37,290 | 37,897,827 | ||||||||||
HCA, Inc., Gtd. Notes(b) | 5.875% | 05/01/23 | 4,215 | 4,478,437 | ||||||||||
HCA, Inc., Gtd. Notes | 8.000% | 10/01/18 | 4,543 | 5,269,880 | ||||||||||
HealthSouth Corp., Gtd. Notes | 5.125% | 03/15/23 | 1,475 | 1,465,781 | ||||||||||
HealthSouth Corp., Gtd. Notes | 5.750% | 11/01/24 | 2,050 | 2,093,563 | ||||||||||
HealthSouth Corp., Gtd. Notes | 7.750% | 09/15/22 | 1,300 | 1,358,500 | ||||||||||
Horizon Pharma Financing, Inc., Sr. Unsec’d. Notes, 144A(b) | 6.625% | 05/01/23 | 9,100 | 9,486,750 | ||||||||||
Kindred Healthcare, Inc., Gtd. Notes | 6.375% | 04/15/22 | 3,506 | 3,501,618 |
SEE NOTES TO FINANCIAL STATEMENTS.
A115
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Healthcare & Pharmaceutical (continued) | ||||||||||||||
Kindred Healthcare, Inc., Gtd. Notes, 144A | 8.000% | 01/15/20 | 4,725 | $ | 5,055,750 | |||||||||
Kindred Healthcare, Inc., Gtd. Notes, 144A | 8.750% | 01/15/23 | 2,625 | 2,851,406 | ||||||||||
LifePoint Health, Inc., Gtd. Notes | 5.500% | 12/01/21 | 4,100 | 4,233,250 | ||||||||||
Mallinckrodt International Finance SA, Gtd. Notes | 4.750% | 04/15/23 | 6,675 | 6,228,609 | ||||||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Gtd. Notes, 144A(b) | 5.500% | 04/15/25 | 5,600 | 5,432,000 | ||||||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Gtd. Notes, 144A | 5.750% | 08/01/22 | 2,000 | 2,045,000 | ||||||||||
MedAssets, Inc., Gtd. Notes | 8.000% | 11/15/18 | 5,800 | 6,006,132 | ||||||||||
Quintiles Transnational Corp., Gtd. Notes, 144A | 4.875% | 05/15/23 | 3,625 | 3,643,125 | ||||||||||
Select Medical Corp., Gtd. Notes | 6.375% | 06/01/21 | 13,155 | 13,286,550 | ||||||||||
Sterigenics-Nordion Holdings LLC, Sr. Unsec’d. Notes, 144A | 6.500% | 05/15/23 | 5,575 | 5,658,625 | ||||||||||
Tenet Healthcare Corp., Sr. Sec’d. Notes(b) | 4.375% | 10/01/21 | 8,595 | 8,401,612 | ||||||||||
Tenet Healthcare Corp., Sr. Sec’d. Notes | 4.500% | 04/01/21 | 1,075 | 1,064,250 | ||||||||||
Tenet Healthcare Corp., Sr. Sec’d. Notes(b) | 4.750% | 06/01/20 | 2,975 | 3,021,484 | ||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes(b) | 6.750% | 02/01/20 | 4,100 | 4,284,500 | ||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes | 8.125% | 04/01/22 | 14,650 | 16,019,775 | ||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes, 144A(b) | 5.000% | 03/01/19 | 2,075 | 2,075,000 | ||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes, 144A | 6.750% | 06/15/23 | 6,950 | 7,089,000 | ||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A | 5.500% | 03/01/23 | 1,925 | 1,944,250 | ||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A(b) | 5.625% | 12/01/21 | 2,920 | 2,985,700 | ||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A | 5.875% | 05/15/23 | 3,075 | 3,151,875 | ||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A | 7.500% | 07/15/21 | 2,375 | 2,556,094 | ||||||||||
Valeant Pharmaceuticals International, Inc., Sr. Unsec’d. Notes, 144A | 6.125% | 04/15/25 | 21,385 | 21,999,819 | ||||||||||
321,652,427 | ||||||||||||||
Insurance — 0.1% | ||||||||||||||
CNO Financial Group, Inc., Sr. Unsec’d. Notes | 5.250% | 05/30/25 | 3,475 | 3,531,295 | ||||||||||
Lodging — 0.8% | ||||||||||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Gtd. Notes | 5.625% | 10/15/21 | 12,300 | 12,776,010 | ||||||||||
Royal Caribbean Cruises Ltd., Sr. Unsec’d. Notes | 7.250% | 03/15/18 | 2,425 | 2,667,500 | ||||||||||
Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A | 6.250% | 05/15/25 | 2,975 | 2,952,687 | ||||||||||
Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A | 8.500% | 10/15/22 | 5,850 | 6,493,500 | ||||||||||
24,889,697 | ||||||||||||||
Media & Entertainment — 3.1% | ||||||||||||||
AMC Entertainment, Inc., Gtd. Notes, 144A | 5.750% | 06/15/25 | 9,200 | 9,016,000 | ||||||||||
AMC Networks, Inc., Gtd. Notes | 7.750% | 07/15/21 | 2,475 | 2,673,000 | ||||||||||
Belo Corp., Sr. Unsec’d. Notes | 7.750% | 06/01/27 | 6,000 | 6,615,000 | ||||||||||
Cable One, Inc., Gtd. Notes, 144A | 5.750% | 06/15/22 | 3,925 | 3,974,063 | ||||||||||
Carmike Cinemas, Inc., Sec’d. Notes, 144A | 6.000% | 06/15/23 | 4,425 | 4,469,250 | ||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes | 5.250% | 03/15/21 | 1,300 | 1,335,750 | ||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes | 5.375% | 06/01/24 | 2,100 | 2,123,520 | ||||||||||
Cinemark USA, Inc., Gtd. Notes | 4.875% | 06/01/23 | 3,144 | 3,022,170 | ||||||||||
Cinemark USA, Inc., Gtd. Notes(b) | 5.125% | 12/15/22 | 5,850 | 5,798,812 | ||||||||||
Clear Channel Worldwide Holdings, Inc., Gtd. Notes | 6.500% | 11/15/22 | 2,970 | 3,044,250 | ||||||||||
Clear Channel Worldwide Holdings, Inc., Series A, Gtd. Notes(b) | 7.625% | 03/15/20 | 2,700 | 2,787,750 | ||||||||||
Entercom Radio LLC, Gtd. Notes | 10.500% | 12/01/19 | 7,075 | 7,587,937 | ||||||||||
Gray Television, Inc., Gtd. Notes(b) | 7.500% | 10/01/20 | 7,130 | 7,557,800 | ||||||||||
LIN Television Corp., Gtd. Notes | 6.375% | 01/15/21 | 2,000 | 2,045,000 | ||||||||||
Live Nation Entertainment, Inc., Gtd. Notes, 144A | 5.375% | 06/15/22 | 2,400 | 2,400,000 | ||||||||||
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance, Sr. Sec’d. Notes | 9.750% | 04/01/21 | 3,230 | 3,553,000 | ||||||||||
Mood Media Corp., Gtd. Notes, 144A | 9.250% | 10/15/20 | 3,700 | 3,154,250 |
SEE NOTES TO FINANCIAL STATEMENTS.
A116
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Media & Entertainment (continued) | ||||||||||||||
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., Sr. Sec’d. Notes, 144A | 5.000% | 08/01/18 | 2,300 | $ | 2,346,000 | |||||||||
National CineMedia LLC, Sr. Sec’d. Notes | 6.000% | 04/15/22 | 4,350 | 4,507,470 | ||||||||||
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes, 144A | 5.000% | 04/15/22 | 250 | 245,000 | ||||||||||
R.R. Donnelley & Sons Co., Sr. Unsec’d. Notes(b) | 6.000% | 04/01/24 | 3,425 | 3,442,125 | ||||||||||
R.R. Donnelley & Sons Co., Sr. Unsec’d. Notes | 6.500% | 11/15/23 | 2,560 | 2,643,200 | ||||||||||
Sinclair Television Group, Inc., Gtd. Notes(b) | 5.375% | 04/01/21 | 4,850 | 4,886,375 | ||||||||||
Sinclair Television Group, Inc., Gtd. Notes(b) | 6.125% | 10/01/22 | 2,825 | 2,902,688 | ||||||||||
Sinclair Television Group, Inc., Gtd. Notes, 144A | 5.625% | 08/01/24 | 2,000 | 1,955,000 | ||||||||||
TEGNA, Inc., Gtd. Notes, 144A | 5.500% | 09/15/24 | 2,250 | 2,227,500 | ||||||||||
Tribune Media Co., Gtd. Notes, 144A(b) | 5.875% | 07/15/22 | 7,125 | 7,178,437 | ||||||||||
103,491,347 | ||||||||||||||
Metals — 1.3% | ||||||||||||||
AK Steel Corp., Gtd. Notes | 7.625% | 10/01/21 | 3,825 | 3,117,375 | ||||||||||
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(b) | 6.250% | 03/01/21 | 3,200 | 3,352,000 | ||||||||||
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(b) | 7.000% | 02/25/22 | 5,070 | 5,462,925 | ||||||||||
AuRico Gold, Inc. (Canada), Sec’d. Notes, 144A | 7.750% | 04/01/20 | 1,400 | 1,407,000 | ||||||||||
CONSOL Energy, Inc., Gtd. Notes | 5.875% | 04/15/22 | 3,425 | 2,911,250 | ||||||||||
Eldorado Gold Corp. (Canada), Sr. Unsec’d. Notes, 144A | 6.125% | 12/15/20 | 1,791 | 1,773,090 | ||||||||||
First Quantum Minerals Ltd. (Canada), Gtd. Notes, 144A(b) | 7.000% | 02/15/21 | 2,491 | 2,382,019 | ||||||||||
First Quantum Minerals Ltd. (Canada), Gtd. Notes, 144A(b) | 7.250% | 05/15/22 | 850 | 812,813 | ||||||||||
FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(b) | 8.250% | 11/01/19 | 7,200 | 6,075,000 | ||||||||||
GrafTech International Ltd., Gtd. Notes | 6.375% | 11/15/20 | 1,950 | 1,774,500 | ||||||||||
JMC Steel Group, Inc., Sr. Unsec’d. Notes, 144A | 8.250% | 03/15/18 | 4,275 | 3,911,625 | ||||||||||
New Gold, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 6.250% | 11/15/22 | 8,367 | 8,262,412 | ||||||||||
Peabody Energy Corp., Gtd. Notes(b) | 6.250% | 11/15/21 | 1,125 | 382,500 | ||||||||||
Peabody Energy Corp., Sec’d. Notes, 144A(b) | 10.000% | 03/15/22 | 2,775 | 1,720,500 | ||||||||||
43,345,009 | ||||||||||||||
Non-Captive Finance — 2.9% | ||||||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes(b) | 4.250% | 07/01/20 | 550 | 550,344 | ||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes | 4.625% | 07/01/22 | 2,950 | 2,957,375 | ||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A | 3.750% | 05/15/19 | 1,600 | 1,582,000 | ||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes, 144A(b) | 4.500% | 05/15/21 | 3,875 | 3,894,375 | ||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes | 5.000% | 05/15/17 | 950 | 979,640 | ||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes(b) | 5.000% | 08/15/22 | 20,950 | 20,740,500 | ||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes(b) | 5.375% | 05/15/20 | 750 | 781,875 | ||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes, 144A(b) | 5.500% | 02/15/19 | 1,775 | 1,850,438 | ||||||||||
HSBC Finance Capital Trust IX (United Kingdom), Gtd. Notes | 5.911% | (a) | 11/30/35 | 100 | 100,555 | |||||||||
International Lease Finance Corp., Sr. Sec’d. Notes, 144A | 7.125% | 09/01/18 | 525 | 585,375 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes | 3.875% | 04/15/18 | 4,425 | 4,447,125 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes(b) | 6.250% | 05/15/19 | 2,120 | 2,292,250 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes | 8.250% | 12/15/20 | 1,125 | 1,335,938 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes | 8.625% | 01/15/22 | 1,525 | 1,860,500 | ||||||||||
International Lease Finance Corp. E-Capital Trust II Ltd., Ltd. Gtd. Notes, 144A | 6.250% | (a) | 12/21/65 | 4,250 | 4,165,000 | |||||||||
Jet Equipment Trust 1994-A, Equipment Trust, 144A(c) | 10.000% | (a)(e) | 12/15/13 | 34 | 27,510 | |||||||||
Jet Equipment Trust 1994-A, Sr. Unsec’d. Notes, 144A(c) | 7.630% | (a)(e) | 02/15/15 | 11 | — | |||||||||
KCG Holdings, Inc., Sr. Sec’d. Notes, 144A | 6.875% | 03/15/20 | 5,875 | 5,669,375 | ||||||||||
National Financial Partners Corp., Sr. Unsec’d. Notes, 144A | 9.000% | 07/15/21 | 2,375 | 2,345,312 | ||||||||||
Navient Corp., Sr. Unsec’d. Notes | 5.000% | 10/26/20 | 1,500 | 1,470,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
A117
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Non-Captive Finance (continued) | ||||||||||||||
Navient Corp., Sr. Unsec’d. Notes, MTN(b) | 8.000% | 03/25/20 | 6,100 | $ | 6,801,500 | |||||||||
OneMain Financial Holdings, Inc., Gtd. Notes, 144A | 6.750% | 12/15/19 | 5,125 | 5,342,812 | ||||||||||
OneMain Financial Holdings, Inc., Gtd. Notes, 144A | 7.250% | 12/15/21 | 6,730 | 6,973,962 | ||||||||||
Springleaf Finance Corp., Gtd. Notes | 6.000% | 06/01/20 | 9,525 | 9,631,680 | ||||||||||
Springleaf Finance Corp., Gtd. Notes | 8.250% | 10/01/23 | 1,125 | 1,268,438 | ||||||||||
Transworld Systems, Inc., Sr. Sec’d. Notes, 144A | 9.500% | 08/15/21 | 15,675 | 9,405,000 | ||||||||||
97,058,879 | ||||||||||||||
Packaging — 2.4% | ||||||||||||||
AEP Industries, Inc., Sr. Unsec’d. Notes | 8.250% | 04/15/19 | 4,782 | 4,865,685 | ||||||||||
Ardagh Finance Holdings SA (Luxembourg), Sr. Unsec’d. Notes, PIK, 144A(b) | 8.625% | 06/15/19 | 5,787 | 5,989,965 | ||||||||||
Ardagh Packaging Finance PLC (Ireland), Gtd. Notes, 144A(b) | 9.125% | 10/15/20 | 5,350 | 5,644,250 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A(b) | 6.000% | 06/30/21 | 1,725 | 1,720,688 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A(b) | 6.250% | 01/31/19 | 2,875 | 2,925,312 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A(b) | 6.750% | 01/31/21 | 1,360 | 1,390,600 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A | 9.125% | 10/15/20 | 1,350 | 1,417,500 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Sr. Unsec’d. Notes, 144A | 7.000% | 11/15/20 | 988 | 1,008,000 | ||||||||||
Beverage Packaging Holdings Luxembourg II SA/Beverage Packaging Holdings II (New Zealand), Gtd. Notes, 144A | 6.000% | 06/15/17 | 5,150 | 5,150,000 | ||||||||||
Coveris Holdings SA (Luxembourg), Gtd. Notes, 144A | 7.875% | 11/01/19 | 6,900 | 6,865,500 | ||||||||||
Greif, Inc., Sr. Unsec’d. Notes | 6.750% | 02/01/17 | 4,970 | 5,206,075 | ||||||||||
PaperWorks Finance LLC, Sr. Sec’d. Notes, 144A(b) | 9.500% | 08/15/19 | 525 | 522,375 | ||||||||||
PaperWorks Industries, Inc., Sr. Sec’d. Notes, 144A | 9.500% | 08/15/19 | 6,010 | 5,979,950 | ||||||||||
Plastipak Holdings, Inc., Sr. Unsec’d. Notes, 144A | 6.500% | 10/01/21 | 8,500 | 8,648,750 | ||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (New Zealand), Gtd. Notes | 9.875% | 08/15/19 | 10,200 | 10,710,000 | ||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (New Zealand), Sr. Sec’d. Notes(b) | 5.750% | 10/15/20 | 965 | 989,125 | ||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (New Zealand), Sr. Sec’d. Notes | 6.875% | 02/15/21 | 1,575 | 1,641,938 | ||||||||||
Sealed Air Corp., Gtd. Notes, 144A | 4.875% | 12/01/22 | 3,200 | 3,152,000 | ||||||||||
Sealed Air Corp., Gtd. Notes, 144A | 5.250% | 04/01/23 | 3,500 | 3,521,875 | ||||||||||
Sealed Air Corp., Gtd. Notes, 144A(b) | 6.500% | 12/01/20 | 1,400 | 1,543,500 | ||||||||||
78,893,088 | ||||||||||||||
Paper — 0.3% | ||||||||||||||
Smurfit Kappa Acquisitions (Ireland), Sr. Sec’d. Notes, 144A | 4.875% | 09/15/18 | 5,750 | 6,023,125 | ||||||||||
Tembec Industries, Inc. (Canada), Sr. Sec’d. Notes, 144A(b) | 9.000% | 12/15/19 | 4,025 | 3,823,750 | ||||||||||
9,846,875 | ||||||||||||||
Pipelines & Other — 3.1% | ||||||||||||||
AmeriGas Finance LLC/AmeriGas Finance Corp., Gtd. Notes | 7.000% | 05/20/22 | 5,635 | 5,973,100 | ||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp., Sr. Unsec’d. Notes | 6.500% | 05/20/21 | 1,240 | 1,289,600 | ||||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Gtd. Notes | 6.000% | 12/15/20 | 2,900 | 3,001,500 | ||||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Gtd. Notes, 144A(b) | 6.250% | 04/01/23 | 4,725 | 4,914,000 | ||||||||||
Energy Transfer Equity LP, Sr. Sec’d. Notes | 7.500% | 10/15/20 | 4,300 | 4,848,250 | ||||||||||
Ferrellgas LP/Ferrellgas Finance Corp., Gtd. Notes, 144A | 6.750% | 06/15/23 | 3,075 | 3,090,375 | ||||||||||
Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsec’d. Notes | 6.500% | 05/01/21 | 4,175 | 4,164,562 | ||||||||||
Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsec’d. Notes | 6.750% | 01/15/22 | 6,345 | 6,360,862 | ||||||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., Sr. Unsec’d. Notes | 8.625% | 06/15/20 | 4,284 | 4,433,940 |
SEE NOTES TO FINANCIAL STATEMENTS.
A118
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Pipelines & Other (continued) | ||||||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., Gtd. Notes | 6.000% | 05/15/23 | 5,525 | $ | 5,527,762 | |||||||||
Global Partners LP/GLP Finance Corp., Gtd. Notes | 6.250% | 07/15/22 | 2,275 | 2,184,000 | ||||||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., Gtd. Notes(b) | 4.875% | 12/01/24 | 3,550 | 3,470,125 | ||||||||||
MarkWest Energy Partners LP/Markwest Energy Finance Corp., Gtd. Notes | 4.875% | 06/01/25 | 2,400 | 2,346,000 | ||||||||||
PBF Logistics LP/PBF Logistics Finance Corp., Gtd. Notes, 144A | 6.875% | 05/15/23 | 2,625 | 2,638,125 | ||||||||||
Regency Energy Partners LP/Regency Energy Finance Corp., Gtd. Notes(b) | 5.500% | 04/15/23 | 3,275 | 3,333,295 | ||||||||||
Regency Energy Partners LP/Regency Energy Finance Corp., Gtd. Notes | 5.750% | 09/01/20 | 4,050 | 4,406,116 | ||||||||||
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A | 5.625% | 04/15/20 | 3,475 | 3,553,188 | ||||||||||
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A | 6.000% | 01/15/19 | 5,522 | 5,756,685 | ||||||||||
Rose Rock Midstream LP/Rose Rock Finance Corp., Gtd. Notes, 144A | 5.625% | 11/15/23 | 1,350 | 1,306,125 | ||||||||||
Selectica, Inc. (Escrow Shares) | —% | (a)(e) | 12/31/49 | 1,350 | 14 | |||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., Sr. Unsec’d. Notes | 5.500% | 06/01/24 | 5,700 | 5,697,150 | ||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., Sr. Unsec’d. Notes | 7.375% | 08/01/21 | 2,200 | 2,348,500 | ||||||||||
Sunoco LP/Sunoco Finance Corp., Gtd. Notes, 144A(b) | 6.375% | 04/01/23 | 8,950 | 9,308,000 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes(b) | 4.250% | 11/15/23 | 2,425 | 2,243,125 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes | 6.875% | 02/01/21 | 1,000 | 1,037,500 | ||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes | 5.875% | 10/01/20 | 2,847 | 2,925,293 | ||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes | 6.125% | 10/15/21 | 3,025 | 3,153,563 | ||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes, 144A | 6.250% | 10/15/22 | 2,500 | 2,587,500 | ||||||||||
101,898,255 | ||||||||||||||
Real Estate Investment Trusts — 1.6% | ||||||||||||||
CTR Partnership LP/CareTrust Capital Corp., Gtd. Notes | 5.875% | 06/01/21 | 400 | 407,000 | ||||||||||
CyrusOne LP/CyrusOne Finance Corp., Gtd. Notes | 6.375% | 11/15/22 | 3,322 | 3,438,270 | ||||||||||
CyrusOne LP/CyrusOne Finance Corp., Gtd. Notes, 144A | 6.375% | 11/15/22 | 3,375 | 3,493,125 | ||||||||||
DuPont Fabros Technology LP, Gtd. Notes | 5.875% | 09/15/21 | 4,125 | 4,176,562 | ||||||||||
ESH Hospitality, Inc., Gtd. Notes, 144A(b) | 5.250% | 05/01/25 | 3,500 | 3,403,750 | ||||||||||
Felcor Lodging LP, Gtd. Notes, 144A | 6.000% | 06/01/25 | 6,800 | 6,902,000 | ||||||||||
Felcor Lodging LP, Sr. Sec’d. Notes | 5.625% | 03/01/23 | 2,425 | 2,491,688 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp., Gtd. Notes | 5.500% | 05/01/24 | 3,275 | 3,373,250 | ||||||||||
RHP Hotel Properties LP/RHP Finance Corp., Gtd. Notes | 5.000% | 04/15/21 | 2,800 | 2,800,000 | ||||||||||
RHP Hotel Properties LP/RHP Finance Corp., Gtd. Notes, 144A | 5.000% | 04/15/23 | 4,125 | 4,042,500 | ||||||||||
Sabra Health Care LP/Sabra Capital Corp., Gtd. Notes | 5.375% | 06/01/23 | 4,300 | 4,418,250 | ||||||||||
Sabra Health Care LP/Sabra Capital Corp., Gtd. Notes | 5.500% | 02/01/21 | 2,950 | 3,053,250 | ||||||||||
Sabre GIBL, Inc., Sr. Sec’d. Notes, 144A(b) | 5.375% | 04/15/23 | 5,225 | 5,146,625 | ||||||||||
Senior Housing Properties Trust, Sr. Unsec’d. Notes | 6.750% | 12/15/21 | 5,875 | 6,687,536 | ||||||||||
53,833,806 | ||||||||||||||
Retailers — 3.4% | ||||||||||||||
Academy Ltd./Academy Finance Corp., Gtd. Notes, 144A | 9.250% | 08/01/19 | 6,375 | 6,698,213 | ||||||||||
Argos Merger Sub, Inc., Sr. Unsec’d. Notes, 144A | 7.125% | 03/15/23 | 9,195 | 9,631,762 | ||||||||||
Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A | 6.125% | 03/15/20 | 2,400 | 1,908,000 | ||||||||||
Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A(b) | 9.000% | 03/15/19 | 8,800 | 7,436,000 | ||||||||||
CST Brands, Inc., Gtd. Notes | 5.000% | 05/01/23 | 3,400 | 3,383,000 | ||||||||||
Dollar Tree, Inc., Sr. Sec’d. Notes, 144A(b) | 5.750% | 03/01/23 | 4,175 | 4,362,875 | ||||||||||
Dufry Finance SCA (Switzerland), Gtd. Notes, 144A | 5.500% | 10/15/20 | 9,550 | 9,831,773 | ||||||||||
Hot Topic, Inc., Sr. Sec’d. Notes, 144A | 9.250% | 06/15/21 | 9,150 | 9,607,500 | ||||||||||
HT Intermediate Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A | 12.000% | 05/15/19 | 1,000 | 1,015,000 | ||||||||||
L Brands, Inc., Gtd. Notes | 5.625% | 02/15/22 | 5,685 | 5,983,463 |
SEE NOTES TO FINANCIAL STATEMENTS.
A119
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Retailers (continued) | ||||||||||||||
Levi Strauss & Co., Sr. Unsec’d. Notes, 144A | 5.000% | 05/01/25 | 3,400 | $ | 3,289,500 | |||||||||
Men’s Wearhouse, Inc. (The), Gtd. Notes(b) | 7.000% | 07/01/22 | 2,900 | 3,103,000 | ||||||||||
Murphy Oil USA, Inc., Gtd. Notes | 6.000% | 08/15/23 | 2,000 | 2,075,000 | ||||||||||
Neiman Marcus Group Ltd., LLC, Gtd. Notes, 144A(b) | 8.000% | 10/15/21 | 22,966 | 24,171,715 | ||||||||||
PVH Corp., Sr. Unsec’d. Notes(b) | 4.500% | 12/15/22 | 2,950 | 2,920,500 | ||||||||||
Rite Aid Corp., Gtd. Notes, 144A(b) | 6.125% | 04/01/23 | 13,450 | 13,853,500 | ||||||||||
Toys “R” Us Property Co. II LLC, Sr. Sec’d. Notes(b) | 8.500% | 12/01/17 | 2,661 | 2,672,708 | ||||||||||
111,943,509 | ||||||||||||||
Technology — 10.1% | ||||||||||||||
Activision Blizzard, Inc., Gtd. Notes, 144A | 5.625% | 09/15/21 | 750 | 785,625 | ||||||||||
Aegis Merger Sub, Inc., Sr. Unsec’d. Notes, 144A | 10.250% | 02/15/23 | 5,300 | 5,459,000 | ||||||||||
Alcatel-Lucent USA, Inc. (France), Gtd. Notes, 144A | 6.750% | 11/15/20 | 5,375 | 5,684,063 | ||||||||||
Ancestry.com Holdings LLC, Sr. Unsec’d. Notes, PIK, 144A | 9.625% | 10/15/18 | 5,355 | 5,462,100 | ||||||||||
Ancestry.com, Inc., Gtd. Notes | 11.000% | 12/15/20 | 2,550 | 2,894,250 | ||||||||||
Audatex North America, Inc., Gtd. Notes, 144A | 6.000% | 06/15/21 | 11,675 | 11,996,062 | ||||||||||
Avaya, Inc., Sec’d. Notes, 144A(b) | 10.500% | 03/01/21 | 8,170 | 6,740,250 | ||||||||||
Blue Coat Holdings, Inc., Sr. Unsec’d. Notes, 144A | 8.375% | 06/01/23 | 8,025 | 8,165,437 | ||||||||||
BMC Software Finance, Inc., Sr. Unsec’d. Notes, 144A(b) | 8.125% | 07/15/21 | 15,820 | 12,814,200 | ||||||||||
Boxer Parent Co., Sr. Unsec’d. Notes, PIK, 144A(b) | 9.000% | 10/15/19 | 17,560 | 12,467,600 | ||||||||||
Brightstar Corp., Gtd. Notes, 144A | 9.500% | 12/01/16 | 3,345 | 3,436,988 | ||||||||||
Brightstar Corp., Sr. Unsec’d. Notes, 144A | 7.250% | 08/01/18 | 7,275 | 7,693,313 | ||||||||||
CDW LLC/CDW Finance Corp., Gtd. Notes | 5.500% | 12/01/24 | 11,384 | 11,270,160 | ||||||||||
Ceridian HCM Holding, Inc., Sr. Unsec’d. Notes, 144A | 11.000% | 03/15/21 | 650 | 687,375 | ||||||||||
CommScope Holding Co., Inc., Sr. Unsec’d. Notes, PIK, 144A(b) | 6.625% | 06/01/20 | 22,980 | 23,841,750 | ||||||||||
CommScope, Inc., Gtd. Notes, 144A | 5.500% | 06/15/24 | 3,350 | 3,257,875 | ||||||||||
CommScope Technologies Finance LLC, Sr. Unsec’d. Notes, 144A(b) | 6.000% | 06/15/25 | 8,550 | 8,517,937 | ||||||||||
CoreLogic, Inc., Gtd. Notes | 7.250% | 06/01/21 | 4,400 | 4,653,000 | ||||||||||
First Data Corp., Gtd. Notes | 10.625% | 06/15/21 | 9,444 | 10,459,230 | ||||||||||
First Data Corp., Gtd. Notes | 11.250% | 01/15/21 | 4,650 | 5,161,500 | ||||||||||
First Data Corp., Gtd. Notes(b) | 11.750% | 08/15/21 | 27,331 | 30,747,375 | ||||||||||
First Data Corp., Gtd. Notes | 12.625% | 01/15/21 | 22,062 | 25,481,610 | ||||||||||
First Data Corp., Sr. Sec’d. Notes, 144A(b) | 6.750% | 11/01/20 | 132 | 139,508 | ||||||||||
Freescale Semiconductor, Inc., Sr. Sec’d. Notes, 144A | 6.000% | 01/15/22 | 3,345 | 3,545,700 | ||||||||||
Igloo Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A | 8.250% | 12/15/17 | 9,154 | 9,222,655 | ||||||||||
Infor Software Parent LLC/Infor Software Parent, Inc., Gtd. Notes, PIK, 144A | 7.125% | 05/01/21 | 10,466 | 10,492,165 | ||||||||||
Infor US, Inc., Gtd. Notes, 144A | 6.500% | 05/15/22 | 12,265 | 12,479,637 | ||||||||||
Interactive Data Corp., Gtd. Notes, 144A | 5.875% | 04/15/19 | 500 | 503,750 | ||||||||||
Italics Merger Sub., Inc., Sr. Unsec’d. Notes, 144A(b) | 7.125% | 07/15/23 | 9,225 | 9,109,687 | ||||||||||
Micron Technology, Inc., Sr. Unsec’d. Notes, 144A(b) | 5.250% | 08/01/23 | 12,100 | 11,600,875 | ||||||||||
Micron Technology, Inc., Sr. Unsec’d. Notes, 144A | 5.625% | 01/15/26 | 11,200 | 10,346,000 | ||||||||||
Nortel Networks Ltd. (Canada), Gtd. Notes | 10.125% | (a)(e) | 07/15/13 | 1,550 | 1,402,750 | |||||||||
Nuance Communications, Inc., Gtd. Notes, 144A(b) | 5.375% | 08/15/20 | 11,075 | 11,130,375 | ||||||||||
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A | 4.625% | 06/15/22 | 6,800 | 6,706,500 | ||||||||||
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A | 5.750% | 02/15/21 | 2,860 | 2,974,400 | ||||||||||
Project Homestake Merger Corp., Gtd. Notes, 144A | 8.875% | 03/01/23 | 6,670 | 6,469,900 | ||||||||||
Sensata Technologies BV (Netherlands), Gtd. Notes, 144A | 4.875% | 10/15/23 | 6,075 | 5,999,063 | ||||||||||
Sensata Technologies BV (Netherlands), Gtd. Notes, 144A | 5.000% | 10/01/25 | 3,625 | 3,529,844 | ||||||||||
Sophia LP/Sophia Finance, Inc., Gtd. Notes, 144A | 9.750% | 01/15/19 | 12,360 | 13,132,500 | ||||||||||
Syniverse Holdings, Inc., Gtd. Notes | 9.125% | 01/15/19 | 4,830 | 4,250,400 | ||||||||||
TransUnion, Sr. Unsec’d. Notes | 8.125% | 06/15/18 | 750 | 766,500 | ||||||||||
TransUnion, Sr. Unsec’d. Notes, PIK | 9.625% | 06/15/18 | 2,000 | 2,005,600 | ||||||||||
333,484,509 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A120
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Telecommunications — 5.0% | ||||||||||||||
Altice Finco SA (Luxembourg), Gtd. Notes, 144A | 7.625% | 02/15/25 | 1,025 | $ | 984,000 | |||||||||
Altice SA (Luxembourg), Gtd. Notes, 144A | 7.625% | 02/15/25 | 4,050 | 3,807,000 | ||||||||||
Altice US Finance I Corp., Sr. Sec’d. Notes, 144A | 5.375% | 07/15/23 | 10,925 | 10,651,875 | ||||||||||
Altice US Finance II Corp., Sr. Sec’d. Notes, 144A(b) | 7.750% | 07/15/25 | 2,850 | 2,764,500 | ||||||||||
Altice US Finance SA (Luxembourg), Sr. Sec’d. Notes, 144A | 7.750% | 07/15/25 | 3,925 | 3,768,000 | ||||||||||
CenturyLink, Inc., Series G, Sr. Unsec’d. Notes | 6.875% | 01/15/28 | 4,000 | 3,840,000 | ||||||||||
CenturyLink, Inc., Series Q, Sr. Unsec’d. Notes | 6.150% | 09/15/19 | 1,570 | 1,652,425 | ||||||||||
Crown Castle International Corp., Sr. Unsec’d. Notes | 5.250% | 01/15/23 | 5,150 | 5,187,337 | ||||||||||
Digicel Group Ltd. (Jamaica), Sr. Unsec’d. Notes, 144A | 7.125% | 04/01/22 | 600 | 569,820 | ||||||||||
Digicel Group Ltd. (Jamaica), Sr. Unsec’d. Notes, 144A | 8.250% | 09/30/20 | 6,100 | 6,115,250 | ||||||||||
Digicel Ltd. (Jamaica), Gtd. Notes, 144A | 6.750% | 03/01/23 | 7,750 | 7,597,325 | ||||||||||
Eileme 2 AB (Poland), Sr. Sec’d. Notes, 144A | 11.625% | 01/31/20 | 3,465 | 3,845,804 | ||||||||||
Frontier Communications Corp., Sr. Unsec’d. Notes(b) | 6.250% | 09/15/21 | 1,525 | 1,387,750 | ||||||||||
Frontier Communications Corp., Sr. Unsec’d. Notes | 7.125% | 01/15/23 | 1,950 | 1,730,625 | ||||||||||
Frontier Communications Corp., Sr. Unsec’d. Notes(b) | 8.500% | 04/15/20 | 250 | 261,375 | ||||||||||
Frontier Communications Corp., Sr. Unsec’d. Notes | 8.750% | 04/15/22 | 4,400 | 4,356,000 | ||||||||||
Northwestern Bell Telephone, Sr. Unsec’d. Notes | 7.750% | 05/01/30 | 750 | 835,076 | ||||||||||
Sprint Capital Corp., Gtd. Notes | 6.875% | 11/15/28 | 16,670 | 14,336,200 | ||||||||||
Sprint Capital Corp., Gtd. Notes | 6.900% | 05/01/19 | 14,940 | 15,238,800 | ||||||||||
Sprint Communications, Inc., Gtd. Notes, 144A | 9.000% | 11/15/18 | 2,656 | 2,999,315 | ||||||||||
Sprint Communications, Inc., Sr. Unsec’d. Notes(b) | 7.000% | 08/15/20 | 2,075 | 2,059,438 | ||||||||||
Sprint Corp., Gtd. Notes | 7.625% | 02/15/25 | 8,000 | 7,540,000 | ||||||||||
Sprint Corp., Gtd. Notes(b) | 7.125% | 06/15/24 | 9,650 | 8,951,340 | ||||||||||
Sprint Corp., Gtd. Notes | 7.875% | 09/15/23 | 6,305 | 6,149,266 | ||||||||||
T-Mobile USA, Inc., Gtd. Notes(b) | 6.375% | 03/01/25 | 7,350 | 7,515,375 | ||||||||||
T-Mobile USA, Inc., Gtd. Notes | 6.633% | 04/28/21 | 5,650 | 5,861,875 | ||||||||||
Telecom Italia SpA (Italy), Sr. Unsec’d. Notes, 144A | 5.303% | 05/30/24 | 8,525 | 8,493,031 | ||||||||||
Wind Acquisition Finance SA (Italy), Sec’d. Notes, 144A | 7.375% | 04/23/21 | 13,425 | 13,576,031 | ||||||||||
Windstream Services LLC, Gtd. Notes(b) | 6.375% | 08/01/23 | 6,675 | 5,431,781 | ||||||||||
Windstream Services LLC, Gtd. Notes(b) | 7.500% | 04/01/23 | 3,860 | 3,367,850 | ||||||||||
Zayo Group LLC/Zayo Capital, Inc., Gtd. Notes, 144A(b) | 6.375% | 05/15/25 | 2,000 | 1,940,000 | ||||||||||
162,814,464 | ||||||||||||||
Tobacco — 0.2% | ||||||||||||||
Vector Group Ltd., Gtd. Notes(b) | 7.750% | 02/15/21 | 5,290 | 5,660,300 | ||||||||||
Transportation — 1.2% | ||||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes, 144A | 5.125% | 06/01/22 | 6,650 | 6,483,750 | ||||||||||
Hertz Corp. (The), Gtd. Notes(b) | 5.875% | 10/15/20 | 1,375 | 1,392,188 | ||||||||||
Hertz Corp. (The), Gtd. Notes | 6.750% | 04/15/19 | 650 | 670,735 | ||||||||||
Kenan Advantage Group, Inc. (The), Sr. Unsec’d. Notes, 144A | 8.375% | 12/15/18 | 9,270 | 9,652,387 | ||||||||||
Navios Maritime Holdings, Inc./Navios Maritime Finance II US, Inc., | 7.375% | 01/15/22 | 5,850 | 5,067,563 | ||||||||||
XPO Logistics, Inc., Gtd. Notes, 144A | 6.500% | 06/15/22 | 12,250 | 11,989,687 | ||||||||||
XPO Logistics, Inc., Sr. Unsec’d. Notes, 144A | 7.875% | 09/01/19 | 3,925 | 4,194,255 | ||||||||||
39,450,565 | ||||||||||||||
TOTAL CORPORATE BONDS |
| 3,114,913,353 | ||||||||||||
Shares | ||||||||||||||
COMMON STOCKS | ||||||||||||||
Cable | ||||||||||||||
Adelphia Recovery Trust*(c) | 500,000 | 500 | ||||||||||||
Media | ||||||||||||||
DEX Media, Inc.*(b) | 36,485 | 26,634 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A121
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||||||
Telecommunications | ||||||||||||
Netia SA (Poland)* | 227,114 | $ | 332,819 | |||||||||
TOTAL COMMON STOCKS |
| 359,953 | ||||||||||
PREFERRED STOCKS — 0.1% | ||||||||||||
Banking — 0.1% | ||||||||||||
Goldman Sachs Group, Inc. (The) Series K | 87,000 | 2,259,390 | ||||||||||
Building Materials & Construction | ||||||||||||
New Millennium Homes LLC | 3,000 | 153,000 | ||||||||||
Cable | ||||||||||||
Adelphia Communications Corp. (Class A Stock)* | 5,000 | 5 | ||||||||||
TOTAL PREFERRED STOCKS |
| 2,412,395 | ||||||||||
Units | ||||||||||||
WARRANTS* | ||||||||||||
Media & Entertainment | ||||||||||||
MediaNews Group, Inc., expiring 03/19/17 | 5,557 | 56 | ||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 3,181,032,423 | ||||||||||
SHORT-TERM INVESTMENTS — 17.5% | ||||||||||||
Shares | ||||||||||||
AFFILIATED MUTUAL FUNDS | ||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund | 538,242 | 5,027,184 | ||||||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund | 570,807,877 | 570,807,877 | ||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 575,835,061 | ||||||||||
TOTAL INVESTMENTS — 114.3% |
| 3,756,867,484 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(h) — (14.3)% |
| (470,097,007 | ) | |||||||||
NET ASSETS 100.0% |
| $ | 3,286,770,477 | |||||||||
See the Glossary for abbreviations used in the Portfolio descriptions.
# | 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, 2015. |
(b) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $494,488,012; cash collateral of $505,290,408 (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 has been deemed illiquid. |
(d) | Indicates a restricted security; the aggregate cost of the securities is $264,290,873. The aggregate value of $250,399,251 is approximately 7.6% of net assets. |
(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. |
(h) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
SEE NOTES TO FINANCIAL STATEMENTS.
A122
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Credit default swap agreements outstanding at June 30, 2015:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2015(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized | Counterparty | ||||||||||||||||||||
Over-the-counter credit default swaps on corporate issues—Sell Protection(1): | ||||||||||||||||||||||||||||
NRG Energy, Inc. | 03/20/16 | 4.100% | 3,150 | 0.276 | % | $ | 91,922 | $ | — | $ 91,922 | Goldman Sachs & Co. | |||||||||||||||||
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at June 30, 2015(2) | Unrealized Appreciation | ||||||||||||||||||
Exchange-traded credit default swaps on credit indices—Sell Protection(1): |
| |||||||||||||||||||||||
CDX.NA.HY.23.V4 | 12/20/19 | 5.000% | 29,100 | $ | 1,469,550 | $ | 2,246,433 | $ | 776,883 | |||||||||||||||
Cash of $1,500,000 has been segregated with Citigroup Global Markets to cover requirements for open credit default swap contracts at June 30, 2015.
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) | If the Portfolio is a 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 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 credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and 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— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | $ | — | $ | 13,410,123 | $ | — | ||||||
Residential Mortgage Backed Securities | — | 93,230 | — | |||||||||
Bank Loans | — | 46,982,041 | 1,750,000 | |||||||||
Collateralized Mortgage Obligations | — | 1,111,272 | — | |||||||||
Corporate Bonds | — | 3,107,438,479 | 7,474,874 | |||||||||
Common Stocks | 359,453 | — | 500 | |||||||||
Preferred Stocks | 2,259,390 | — | 153,005 | |||||||||
Warrants | — | — | 56 | |||||||||
Affiliated Mutual Funds | 575,835,061 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A123
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Other Financial Instruments* | ||||||||||||
Credit Default Swap Agreements | ||||||||||||
Over-the-counter credit default swaps | $ | — | $ | 91,922 | $ | — | ||||||
Exchange-traded credit default swaps | — | 776,883 | — | |||||||||
Total | $ | 578,453,904 | $ | 3,169,903,950 | $ | 9,378,435 | ||||||
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 Stock | Preferred Stocks | Warrants | ||||||||||||||||
Balance as of 12/31/14 | $ | 15,600,203 | $ | 12,007,067 | $ | 500 | $ | 174,005 | $ | 56 | ||||||||||
Realized gain (loss) | (250,272 | ) | 6,183 | — | — | — | ||||||||||||||
Change in unrealized appreciation (depreciation)** | 284,820 | 108,014 | — | (21,000 | ) | — | ||||||||||||||
Purchases | — | 1,087,500 | — | — | — | |||||||||||||||
Sales | (8,575,318 | ) | (16,442 | ) | — | — | — | |||||||||||||
Accrued discount/premium | 7,395 | (12,524 | ) | — | — | — | ||||||||||||||
Transfer into Level 3 | — | — | — | — | — | |||||||||||||||
Transfer out of Level 3 | (5,316,828 | ) | (5,704,924 | ) | — | — | — | |||||||||||||
Balance as of 06/30/15 | $ | 1,750,000 | $ | 7,474,874 | $ | 500 | $ | 153,005 | $ | 56 | ||||||||||
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and exchange-traded swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and over-the-counter swap contracts which are recorded at fair value |
** | Of which, $100,139 was relating to securities held at the reporting period end. |
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by Board, which contain unobservable inputs as follows:
Level 3 Securities | Fair Value as of | Valuation Methodology | Unobservable Inputs | |||
Bank Loans | $1,750,000 | Market approach | Single broker indicative quote | |||
Common Stocks | 500 | Stale pricing | Unadjusted last trade price | |||
Corporate Bonds | 7,445,525 | Market approach | Single broker indicative quote | |||
Corporate Bonds | 29,349 | Stale pricing | Unadjusted last trade price | |||
Preferred Stocks | 153,005 | Stale pricing | Unadjusted last trade price | |||
Warrants | 56 | Stale pricing | Unadjusted last trade price | |||
$9,378,435 | ||||||
It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. At the reporting period end, securities transferred levels as follows:
Investments in Securities | Amount | Level Transfer | Logic | |||||
Bank Loans | $5,316,828 | L3 to L2 | Single Broker Quote to Multiple Broker Quotes | |||||
Corporate Bonds | 5,704,924 | L3 to L2 | Single Broker Quote to Evaluated Bid |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:
Affiliated Money Market Mutual Funds (including 15.4% of collateral for securities on loan) | 17.5 | % | ||
Technology | 10.9 | |||
Healthcare & Pharmaceutical | 9.8 | |||
Capital Goods | 7.6 | |||
Electric | 6.3 | |||
Energy – Other | 5.7 | |||
Telecommunications | 5.0 | |||
Gaming | 4.8 | |||
Building Materials & Construction | 4.6 | |||
Chemicals | 4.3 |
Foods | 4.3 | % | ||
Cable | 3.8 | |||
Retailers | 3.4 | |||
Automotive | 3.3 | |||
Media & Entertainment | 3.1 | |||
Pipelines & Other | 3.1 | |||
Non-Captive Finance | 2.9 | |||
Packaging | 2.4 | |||
Consumer | 2.4 | |||
Real Estate Investment Trusts | 1.6 | |||
Aerospace & Defense | 1.5 |
SEE NOTES TO FINANCIAL STATEMENTS.
A124
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Industry table (cont.) | ||||
Banking | 1.5 | % | ||
Metals | 1.3 | |||
Transportation | 1.2 | |||
Lodging | 0.9 | |||
Collateralized Loan Obligations | 0.4 | |||
Paper | 0.3 |
Tobacco | 0.2 | % | ||
Energy – Integrated | 0.1 | |||
Insurance | 0.1 | |||
114.3 | ||||
Liabilities in excess of other assets | (14.3 | ) | ||
100.0 | % | |||
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk and equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2015 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Credit contracts | Due from/to broker—variation margin swaps | $ | 776,883 | * | — | $ | — | |||||
Credit contracts | Unrealized appreciation on over-the-counter swap agreements | 91,922 | — | |||||||||
Equity contracts | Unaffiliated investments | 56 | — | — | ||||||||
Total | $ | 868,861 | $ | — | ||||||||
* | Includes cumulative appreciation/depreciation as reported in the the schedule of exchange-traded swap contracts. Only unsettled 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, 2015 are as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Swaps | Total | ||||||
Credit contracts | $ | 738,759 | $ | 738,759 | ||||
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 | $ | 729,963 | $ | — | $ | 729,963 | ||||||
Equity contracts | — | (150,616 | ) | (150,616 | ) | |||||||
$ | 729,963 | $ | (150,616 | ) | $ | 579,347 | ||||||
* | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30 2015, the Portfolio’s average notional amount for credit default swaps as writer was $22,650,000.
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 | ||||||||||||
Goldman Sachs & Co. | $ | 91,922 | $ | — | $ | (240,761 | ) | $ | — | |||||||
$ | 91,922 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A125
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Counterparty | Gross Amounts of Recognized Liabilities(2) | Gross Amounts Available for Offset | Collateral Pledged(3) | Net Amount | ||||||||||||
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.
A126
HIGH YIELD BOND PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
as of June 30, 2015
ASSETS | ||||
Investments at value, including securities on loan of $494,488,012: | ||||
Unaffiliated investments (cost $3,245,428,856) | $ | 3,181,032,423 | ||
Affiliated investments (cost $575,916,576) | 575,835,061 | |||
Cash | 450,755 | |||
Foreign currency, at value (cost $80,530) | 73,424 | |||
Deposit with broker | 1,500,000 | |||
Dividends and interest receivable | 53,746,537 | |||
Receivable for investments sold | 11,653,090 | |||
Due from broker—variation margin swaps | 140,425 | |||
Unrealized appreciation on over-the-counter swap agreements | 91,922 | |||
Receivable for Series shares sold | 35,076 | |||
Tax reclaim receivable | 1,450 | |||
Prepaid expenses | 5,537 | |||
Total Assets | 3,824,565,700 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 505,290,408 | |||
Payable for investments purchased | 30,690,813 | |||
Management fee payable | 1,493,355 | |||
Accrued expenses and other liabilities | 209,124 | |||
Payable for Series shares repurchased | 108,833 | |||
Deferred trustees’ fees | 1,764 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 537,795,223 | |||
NET ASSETS | $ | 3,286,770,477 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 3,543,273,231 | ||
Retained earnings | (256,502,754 | ) | ||
Net assets, June 30, 2015 | $ | 3,286,770,477 | ||
Net asset value and redemption price per share $3,286,770,477 / 645,398,479 outstanding shares of beneficial interest | $ | 5.09 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2015
NET INVESTMENT INCOME | ||||
INCOME | ||||
Interest income | $ | 109,250,308 | ||
Affiliated income from securities lending, net | 645,328 | |||
Unaffiliated dividend income (net of foreign withholding taxes of $5,478) | 100,991 | |||
Affiliated dividend income | 95,772 | |||
Total income | 110,092,399 | |||
EXPENSES | ||||
Management fee | 8,980,690 | |||
Custodian and accounting fees | 181,000 | |||
Shareholders’ reports | 57,000 | |||
Insurance expenses | 22,000 | |||
Audit fee | 22,000 | |||
Trustees’ fees | 17,000 | |||
Legal fees and expenses | 8,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Miscellaneous | 13,336 | |||
Total expenses | 9,307,026 | |||
NET INVESTMENT INCOME | 100,785,373 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | (681,972 | ) | ||
Swap agreement transactions | 738,759 | |||
Foreign currency transactions | (2,220 | ) | ||
54,567 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (12,556,592 | ) | ||
Swap agreements | 729,963 | |||
Foreign currencies | (1,368 | ) | ||
(11,827,997 | ) | |||
NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (11,773,430 | ) | ||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 89,011,943 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2015 | Year Ended December 31, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS OPERATIONS | ||||||||
Net investment income | $ | 100,785,373 | $ | 190,915,035 | ||||
Net realized gain on investment and foreign currency transactions | 54,567 | 24,147,212 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (11,827,997 | ) | (126,250,354 | ) | ||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 89,011,943 | 88,811,893 | ||||||
DISTRIBUTIONS | (101,431,061 | ) | (195,015,297 | ) | ||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [474,830 and 46,491,364 shares, respectively] | 2,461,638 | 242,512,118 | ||||||
Series shares issued in reinvestment of distributions [19,791,565 and 37,178,309 shares, respectively] | 101,431,061 | 195,015,297 | ||||||
Series shares repurchased [9,784,877 and 19,914,504 shares, respectively] | (50,564,540 | ) | (105,962,476 | ) | ||||
NET INCREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | 53,328,159 | 331,564,939 | ||||||
TOTAL INCREASE | 40,909,041 | 225,361,535 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 3,245,861,436 | 3,020,499,901 | ||||||
End of period | $ | 3,286,770,477 | $ | 3,245,861,436 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A127
JENNISON PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
LONG-TERM INVESTMENTS — 99.5% | ||||||||
COMMON STOCKS | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 1.7% | ||||||||
Boeing Co. (The) | 213,027 | $ | 29,551,106 | |||||
Automobiles — 1.6% | ||||||||
Tesla Motors, Inc.*(a) | 102,900 | 27,603,954 | ||||||
Beverages — 0.5% | ||||||||
Monster Beverage Corp.* | 62,940 | 8,435,219 | ||||||
Biotechnology — 9.1% | ||||||||
Alexion Pharmaceuticals, Inc.* | 134,702 | 24,350,081 | ||||||
Biogen Idec, Inc.* | 107,363 | 43,368,210 | ||||||
Celgene Corp.* | 202,353 | 23,419,324 | ||||||
Gilead Sciences, Inc. | 212,856 | 24,921,181 | ||||||
Incyte Corp. Ltd.* | 55,371 | 5,770,212 | ||||||
Regeneron Pharmaceuticals, Inc.* | 39,595 | 20,198,597 | ||||||
Vertex Pharmaceuticals, Inc.* | 108,442 | 13,390,418 | ||||||
155,418,023 | ||||||||
Capital Markets — 1.1% | ||||||||
Morgan Stanley | 481,611 | 18,681,691 | ||||||
Chemicals — 2.1% | ||||||||
Monsanto Co. | 209,102 | 22,288,182 | ||||||
Sherwin-Williams Co. (The) | 48,657 | 13,381,648 | ||||||
35,669,830 | ||||||||
Diversified Financial Services — 1.0% |
| |||||||
McGraw Hill Financial, Inc. | 174,736 | 17,552,231 | ||||||
Electronic Equipment, Instruments & Components |
| |||||||
Fitbit, Inc. (Class A | 11,918 | 455,625 | ||||||
Energy Equipment & Services — 1.0% |
| |||||||
Schlumberger Ltd. | 198,404 | 17,100,441 | ||||||
Food & Staples Retailing — 2.5% |
| |||||||
Costco Wholesale Corp. | 186,330 | 25,165,730 | ||||||
Kroger Co. (The) | 244,579 | 17,734,423 | ||||||
42,900,153 | ||||||||
Health Care Equipment & Supplies — 1.8% |
| |||||||
Abbott Laboratories | 605,642 | 29,724,909 | ||||||
Hotels, Restaurants & Leisure — 4.5% |
| |||||||
Chipotle Mexican Grill, Inc.* | 28,747 | 17,391,648 | ||||||
Marriott International, Inc. (Class A Stock) | 329,259 | 24,493,577 | ||||||
Starbucks Corp. | 662,287 | 35,508,517 | ||||||
77,393,742 | ||||||||
Internet & Catalog Retail — 9.3% |
| |||||||
Amazon.com, Inc.* | 138,273 | 60,022,927 | ||||||
JD.com, Inc. (China), ADR* | 565,091 | 19,269,603 | ||||||
Netflix, Inc.* | 61,457 | 40,373,562 | ||||||
Priceline Group, Inc. (The)* | 24,288 | 27,964,474 | ||||||
TripAdvisor, Inc.* | 99,723 | 8,689,862 | ||||||
Vipshop Holdings Ltd. (China)*(a) | 141,061 | 3,138,607 | ||||||
159,459,035 | ||||||||
Internet Software & Services — 11.8% |
| |||||||
Alibaba Group Holding Ltd. (China), ADR*(a) | 225,534 | 18,554,682 | ||||||
Facebook, Inc. (Class A | 732,372 | 62,811,885 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Internet Software & Services (continued) |
| |||||||
Google, Inc. (Class A Stock)* | 44,758 | $ | 24,171,110 | |||||
Google, Inc. (Class C Stock)* | 51,258 | 26,680,302 | ||||||
LendingClub Corp.*(a) | 69,817 | 1,029,801 | ||||||
LinkedIn Corp. (Class A Stock)* | 138,483 | 28,614,742 | ||||||
Tencent Holdings Ltd. (China) | 1,482,647 | 29,647,800 | ||||||
Twitter, Inc.* | 268,548 | 9,726,808 | ||||||
201,237,130 | ||||||||
IT Services — 7.2% | ||||||||
FleetCor Technologies, Inc.* | 137,167 | 21,406,282 | ||||||
MasterCard, Inc. (Class A Stock) | 634,507 | 59,313,714 | ||||||
Visa, Inc. (Class A Stock) | 640,733 | 43,025,221 | ||||||
123,745,217 | ||||||||
Life Sciences Tools & Services — 1.8% |
| |||||||
Illumina, Inc.* | 142,785 | 31,178,533 | ||||||
Media — 3.3% | ||||||||
Time Warner, Inc. | 201,211 | 17,587,853 | ||||||
Walt Disney Co. (The) | 345,220 | 39,403,411 | ||||||
56,991,264 | ||||||||
Multiline Retail — 1.1% | ||||||||
Dollar General Corp. | 228,229 | 17,742,523 | ||||||
Oil, Gas & Consumable Fuels — 2.1% |
| |||||||
Concho Resources, Inc.* | 172,930 | 19,689,810 | ||||||
EOG Resources, Inc. | 178,983 | 15,669,962 | ||||||
35,359,772 | ||||||||
Pharmaceuticals — 7.9% | ||||||||
Allergan PLC* | 127,036 | 38,550,344 | ||||||
Bristol-Myers Squibb Co. | 575,668 | 38,304,949 | ||||||
Novo Nordisk A/S (Denmark), ADR | 507,679 | 27,800,502 | ||||||
Shire PLC (Ireland), ADR | 124,885 | 30,158,479 | ||||||
134,814,274 | ||||||||
Real Estate Investment Trusts (REITs) — 1.1% |
| |||||||
American Tower Corp. | 205,172 | 19,140,496 | ||||||
Road & Rail — 1.0% | ||||||||
Canadian Pacific Railway Ltd. (Canada) | 102,941 | 16,494,236 | ||||||
Semiconductors & Semiconductor Equipment — 1.9% |
| |||||||
ARM Holdings PLC (United Kingdom), ADR | 363,745 | 17,921,716 | ||||||
NXP Semiconductors NV (Netherlands)* | 153,491 | 15,072,816 | ||||||
32,994,532 | ||||||||
Software — 8.6% | ||||||||
Adobe Systems, Inc.* | 371,652 | 30,107,529 | ||||||
FireEye, Inc.*(a) | 225,050 | 11,007,195 | ||||||
Red Hat, Inc.* | 331,774 | 25,191,600 | ||||||
salesforce.com, inc.* | 462,441 | 32,199,767 | ||||||
Splunk, Inc.* | 265,515 | 18,485,154 | ||||||
VMware, Inc. (Class A Stock)* | 128,451 | 11,013,389 | ||||||
Workday, Inc. (Class A Stock)*(a) | 237,744 | 18,161,264 | ||||||
146,165,898 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A128
JENNISON PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Specialty Retail — 4.8% | ||||||||
Inditex SA (Spain) | 890,300 | $ | 29,039,255 | |||||
O’Reilly Automotive, Inc.*(a) | 100,006 | 22,599,356 | ||||||
Tiffany & Co. | 144,568 | 13,271,342 | ||||||
TJX Cos., Inc. (The) | 266,788 | 17,653,362 | ||||||
82,563,315 | ||||||||
Technology Hardware, Storage & Peripherals — 5.7% |
| |||||||
Apple, Inc. | 782,352 | 98,126,500 | ||||||
Textiles, Apparel & Luxury Goods — 5.0% |
| |||||||
Luxottica Group SpA (Italy) | 264,879 | 17,619,240 | ||||||
NIKE, Inc. (Class B Stock) | 415,293 | 44,859,950 | ||||||
Under Armour, Inc. (Class A | 270,642 | 22,582,368 | ||||||
85,061,558 | ||||||||
TOTAL LONG-TERM INVESTMENTS (cost $901,915,672) |
| 1,701,561,207 | ||||||
SHORT-TERM INVESTMENT — 5.3% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $91,355,170; includes $87,256,096 of cash collateral for securities on loan) (Note 4)(b)(c) | 91,355,170 | 91,355,170 | ||||||
TOTAL INVESTMENTS — 104.8% (cost $993,270,842) |
| 1,792,916,377 | ||||||
LIABILITIES IN EXCESS OF |
| (82,453,331 | ) | |||||
NET ASSETS — 100.0% |
| $ | 1,710,463,046 | |||||
See the Glossary for abbreviations used in the Portfolio descriptions.
* | 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 $86,416,474; cash collateral of $87,256,096 (included in liabilities) was received with which the Portfolio 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 the last business day of the reporting period. Collateral was subsequently received on the following business day and the Fund 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. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 29,551,106 | $ | — | $ | — | ||||||
Automobiles | 27,603,954 | — | — | |||||||||
Beverages | 8,435,219 | — | — | |||||||||
Biotechnology | 155,418,023 | — | — | |||||||||
Capital Markets | 18,681,691 | — | — | |||||||||
Chemicals | 35,669,830 | — | — | |||||||||
Diversified Financial Services | 17,552,231 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 455,625 | — | — | |||||||||
Energy Equipment & Services | 17,100,441 | — | — | |||||||||
Food & Staples Retailing | 42,900,153 | — | — | |||||||||
Health Care Equipment & Supplies | 29,724,909 | — | — | |||||||||
Hotels, Restaurants & Leisure | 77,393,742 | — | — | |||||||||
Internet & Catalog Retail | 159,459,035 | — | — | |||||||||
Internet Software & Services | 171,589,330 | 29,647,800 | — | |||||||||
IT Services | 123,745,217 | — | — | |||||||||
Life Sciences Tools & Services | 31,178,533 | — | — | |||||||||
Media | 56,991,264 | — | — | |||||||||
Multiline Retail | 17,742,523 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 35,359,772 | — | — | |||||||||
Pharmaceuticals | 134,814,274 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A129
JENNISON PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Real Estate Investment Trusts (REITs) | $ | 19,140,496 | $ | — | $ | — | ||||||
Road & Rail | 16,494,236 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 32,994,532 | — | — | |||||||||
Software | 146,165,898 | — | — | |||||||||
Specialty Retail | 53,524,060 | 29,039,255 | — | |||||||||
Technology Hardware, Storage & Peripherals | 98,126,500 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 67,442,318 | 17,619,240 | — | |||||||||
Affiliated Money Market Mutual Fund | 91,355,170 | — | — | |||||||||
Total | $ | 1,716,610,082 | $ | 76,306,295 | $ | — | ||||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:
Internet Software & Services | 11.8 | % | ||
Internet & Catalog Retail | 9.3 | |||
Biotechnology | 9.1 | |||
Software | 8.6 | |||
Pharmaceuticals | 7.9 | |||
IT Services | 7.2 | |||
Technology Hardware, Storage & Peripherals | 5.7 | |||
Affiliated Money Market Mutual Fund (including 5.1% of collateral for securities on loan) | 5.3 | |||
Textiles, Apparel & Luxury Goods | 5.0 | |||
Specialty Retail | 4.8 | |||
Hotels, Restaurants & Leisure | 4.5 | |||
Media | 3.3 | |||
Food & Staples Retailing | 2.5 | |||
Chemicals | 2.1 | |||
Oil, Gas & Consumable Fuels | 2.1 |
Semiconductors & Semiconductor Equipment | 1.9 | % | ||
Life Sciences Tools & Services | 1.8 | |||
Health Care Equipment & Supplies | 1.8 | |||
Aerospace & Defense | 1.7 | |||
Automobiles | 1.6 | |||
Real Estate Investment Trusts (REITs) | 1.1 | |||
Capital Markets | 1.1 | |||
Multiline Retail | 1.1 | |||
Diversified Financial Services | 1.0 | |||
Energy Equipment & Services | 1.0 | |||
Road & Rail | 1.0 | |||
Beverages | 0.5 | |||
104.8 | ||||
Liabilities in excess of other assets | (4.8 | ) | ||
100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A130
JENNISON PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
as of June 30, 2015
ASSETS | ||||
Investments at value, including securities on loan of $86,416,474: | ||||
Unaffiliated investments (cost $901,915,672) | $ | 1,701,561,207 | ||
Affiliated investments (cost $91,355,170) | 91,355,170 | |||
Receivable for investments sold | 6,500,376 | |||
Dividends and interest receivable | 566,469 | |||
Tax reclaim receivable | 380,006 | |||
Receivable for Series shares sold | 31,263 | |||
Prepaid expenses | 1,825 | |||
Total Assets | 1,800,396,316 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 87,256,096 | |||
Payable for investments purchased | 1,420,347 | |||
Management fee payable | 853,349 | |||
Payable for Series shares repurchased | 225,046 | |||
Accrued expenses and other liabilities | 154,758 | |||
Distribution fee payable | 9,999 | |||
Payable to custodian | 6,139 | |||
Administration fee payable | 6,096 | |||
Deferred trustees’ fees | 514 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 89,933,270 | |||
NET ASSETS | $ | 1,710,463,046 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 1,146,203,750 | ||
Retained earnings | 564,259,296 | |||
Net assets, June 30, 2015 | $ | 1,710,463,046 | ||
Class I: | ||||
Net asset value and redemption price per share $1,662,333,012 / 37,437,746 outstanding shares of beneficial interest | $ | 44.40 | ||
Class II: | ||||
Net asset value and redemption price per share $48,130,034 / 1,114,900 outstanding shares of beneficial interest | $ | 43.17 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2015
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $139,267) | $ | 7,075,856 | ||
Affiliated income from securities lending, net | 118,143 | |||
Affiliated dividend income | 6,997 | |||
Total income | 7,200,996 | |||
EXPENSES | ||||
Management fee | 5,038,027 | |||
Distribution fee—Class II | 57,568 | |||
Administration fee—Class II | 34,541 | |||
Custodian and accounting fees | 97,000 | |||
Shareholders’ reports | 69,000 | |||
Audit fee | 11,000 | |||
Trustees’ fees | 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 | |||
Interest expense | 880 | |||
Miscellaneous | 10,846 | |||
Total expenses | 5,353,862 | |||
NET INVESTMENT INCOME | 1,847,134 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 64,223,265 | |||
Foreign currency transactions | (9,418 | ) | ||
64,213,847 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 73,383,488 | |||
Foreign currencies | (7,209 | ) | ||
73,376,279 | ||||
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 137,590,126 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 139,437,260 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2015 | Year Ended December 31, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 1,847,134 | $ | 2,163,148 | ||||
Net realized gain on investment and foreign currency transactions | 64,213,847 | 141,635,759 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 73,376,279 | 7,671,170 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 139,437,260 | 151,470,077 | ||||||
SERIES SHARE TRANSACTIONS (Note 7) | ||||||||
Series shares sold | 15,912,517 | 26,462,176 | ||||||
Series shares repurchased | (68,607,205 | ) | (146,401,640 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (52,694,688 | ) | (119,939,464 | ) | ||||
TOTAL INCREASE | 86,742,572 | 31,530,613 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 1,623,720,474 | 1,592,189,861 | ||||||
End of period | $ | 1,710,463,046 | $ | 1,623,720,474 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A131
MONEY MARKET PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
CERTIFICATES OF DEPOSIT — 21.9% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Bank of America NA | 0.230% | 08/12/15 | 7,000 | $ | 7,000,000 | |||||||||
Bank of America NA | 0.270% | 09/11/15 | 3,000 | 3,000,000 | ||||||||||
Bank of America NA | 0.274% | (a) | 08/03/15 | 4,000 | 4,000,000 | |||||||||
Bank of Montreal | 0.281% | (a) | 07/06/15 | 1,000 | 1,000,000 | |||||||||
Bank of Nova Scotia | 0.220% | 09/18/15 | 2,000 | 2,000,000 | ||||||||||
Bank of Nova Scotia | 0.250% | 09/23/15 | 2,000 | 2,000,000 | ||||||||||
Bank of Nova Scotia | 0.289% | (a) | 08/03/15 | 1,000 | 1,000,000 | |||||||||
Bank of Nova Scotia | 0.335% | (a) | 03/10/16 | 2,000 | 2,000,000 | |||||||||
Bank of Nova Scotia | 0.396% | (a) | 01/11/16 | 8,000 | 8,003,071 | |||||||||
Bank of Nova Scotia | 0.466% | (a) | 05/16/16 | 1,000 | 1,001,116 | |||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd. | 0.327% | (a) | 08/25/15 | 6,000 | 6,000,000 | |||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd. | 0.329% | (a) | 09/11/15 | 2,000 | 2,000,172 | |||||||||
Canadian Imperial Bank of Commerce | 0.274% | (a) | 08/28/15 | 2,000 | 2,000,000 | |||||||||
Canadian Imperial Bank of Commerce | 0.316% | (a) | 03/14/16 | 4,000 | 4,000,000 | |||||||||
Canadian Imperial Bank of Commerce | 0.376% | (a) | 11/16/15 | 3,800 | 3,800,436 | |||||||||
Canadian Imperial Bank of Commerce | 0.391% | (a) | 03/24/16 | 2,800 | 2,801,566 | |||||||||
Chase Bank USA NA | 0.270% | 07/27/15 | 3,000 | 3,000,195 | ||||||||||
Citibank NA | 0.200% | 09/21/15 | 8,000 | 8,000,000 | ||||||||||
DNB Bank ASA | 0.200% | 09/09/15 | 5,000 | 5,000,000 | ||||||||||
HSBC Bank USA NA | 0.260% | 08/03/15 | 3,000 | 3,000,000 | ||||||||||
HSBC Bank USA NA | 0.299% | (a) | 10/28/15 | 3,000 | 3,000,000 | |||||||||
Nordea Bank Finland PLC | 0.245% | 07/27/15 | 2,000 | 2,000,065 | ||||||||||
Nordea Bank Finland PLC | 0.250% | 09/08/15 | 2,650 | 2,650,152 | ||||||||||
Norinchukin Bank | 0.210% | 07/16/15 | 3,000 | 3,000,000 | ||||||||||
Royal Bank of Canada | 0.309% | (a) | 02/12/16 | 4,000 | 4,000,000 | |||||||||
Royal Bank of Canada | 0.316% | (a) | 12/11/15 | 5,000 | 5,000,000 | |||||||||
Skandinaviska Enskilda Banken AB | 0.276% | (a) | 10/15/15 | 3,000 | 3,000,000 | |||||||||
Skandinaviska Enskilda Banken AB | 0.311% | (a) | 07/10/15 | 4,000 | 4,000,000 | |||||||||
State Street Bank & Trust Co. | 0.281% | (a) | 10/01/15 | 6,000 | 6,000,000 | |||||||||
State Street Bank & Trust Co. | 0.332% | (a) | 03/21/16 | 4,000 | 4,000,000 | |||||||||
Svenska Handelsbanken AB | 0.200% | 07/24/15 | 5,000 | 5,000,000 | ||||||||||
Svenska Handelsbanken AB | 0.200% | 08/18/15 | 1,000 | 1,000,000 | ||||||||||
Svenska Handelsbanken AB | 0.205% | 07/15/15 | 3,000 | 3,000,006 | ||||||||||
Svenska Handelsbanken AB | 0.205% | 08/12/15 | 3,000 | 3,000,018 | ||||||||||
Svenska Handelsbanken AB | 0.225% | 07/13/15 | 3,000 | 3,000,025 | ||||||||||
Toronto-Dominion Bank (The) | 0.274% | (a) | 10/06/15 | 10,000 | 10,000,000 | |||||||||
U.S. Bank NA | 0.246% | (a) | 07/27/15 | 5,000 | 5,000,000 | |||||||||
U.S. Bank NA | 0.284% | (a) | 10/30/15 | 5,000 | 5,000,000 | |||||||||
Wells Fargo Bank NA | 0.294% | (a) | 07/08/15 | 3,000 | 3,000,066 | |||||||||
Wells Fargo Bank NA | 0.296% | (a) | 08/20/15 | 3,000 | 3,000,000 | |||||||||
Wells Fargo Bank NA | 0.325% | (a) | 05/03/16 | 2,000 | 2,000,000 | |||||||||
150,256,888 | ||||||||||||||
COMMERCIAL PAPER — 26.8% | ||||||||||||||
BASF SE, 144A | 0.203% | (b) | 08/28/15 | 9,000 | 8,997,100 | |||||||||
BMW US Capital LLC, 144A | 0.112% | (b) | 07/13/15 | 10,000 | 9,999,633 | |||||||||
Caisse Centrale Desjardins du Quebec, 144A | 0.277% | (a) | 10/22/15 | 10,000 | 10,000,000 | |||||||||
Cargill, Inc., 144A | 0.081% | (b) | 07/01/15 | 17,000 | 17,000,000 | |||||||||
CDP Financial, Inc., 144A | 0.162% | (b) | 07/23/15 | 5,000 | 4,999,511 | |||||||||
CDP Financial, Inc., 144A | 0.193% | (b) | 07/07/15 | 8,000 | 7,999,747 | |||||||||
Commonwealth Bank of Australia, 144A | 0.307% | (a) | 04/13/16 | 7,000 | 7,000,000 | |||||||||
CPPIB Capital, Inc., 144A | 0.112% | (b) | 07/09/15 | 3,000 | 2,999,927 | |||||||||
CPPIB Capital, Inc., 144A | 0.142% | (b) | 07/21/15 | 3,000 | 2,999,767 | |||||||||
CPPIB Capital, Inc., 144A | 0.152% | (b) | 08/27/15 | 6,000 | 5,998,575 | |||||||||
CPPIB Capital, Inc., 144A | 0.162% | (b) | 09/18/15 | 5,000 | 4,998,244 | |||||||||
DNB Bank ASA, 144A | 0.337% | (a) | 04/21/16 | 4,000 | 4,000,000 | |||||||||
Electricite de France, 144A | 0.142% | (b) | 07/21/15 | 5,000 | 4,999,611 | |||||||||
Electricite de France, 144A | 0.152% | (b) | 07/06/15 | 1,000 | 999,979 | |||||||||
European Investment Bank | 0.122% | (b) | 07/01/15 | 6,000 | 6,000,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
A132
MONEY MARKET PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMERCIAL PAPER (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
European Investment Bank | 0.195% | (b) | 09/04/15 | 9,700 | $ | 9,696,717 | ||||||||
HSBC Bank PLC, 144A | 0.336% | (a) | 04/29/16 | 6,000 | 6,000,000 | |||||||||
ING (U.S.) Funding LLC | 0.274% | (b) | 09/18/15 | 6,000 | 5,996,445 | |||||||||
International Finance Corp. | 0.098% | (b) | 08/04/15 | 3,000 | 2,999,726 | |||||||||
JPMorgan Securities LLC, 144A | 0.364% | (a) | 10/20/15 | 3,000 | 3,000,000 | |||||||||
JPMorgan Securities LLC, 144A | 0.384% | (a) | 08/07/15 | 4,000 | 4,000,000 | |||||||||
JPMorgan Securities LLC, 144A | 0.384% | (a) | 09/02/15 | 2,000 | 2,000,000 | |||||||||
JPMorgan Securities LLC, 144A | 0.403% | (a) | 05/09/16 | 2,000 | 2,000,000 | |||||||||
KFW, 144A | 0.162% | (b) | 09/01/15 | 2,000 | 1,999,449 | |||||||||
KFW, 144A | 0.203% | (b) | 09/30/15 | 1,000 | 999,495 | |||||||||
National Oilwell Varco, Inc., 144A | 0.198% | (b) | 07/08/15 | 7,000 | 6,999,735 | |||||||||
New York Life Capital Corp., 144A | 0.122% | (b) | 07/23/15 | 2,000 | 1,999,853 | |||||||||
Nordea Bank AB, 144A | 0.213% | (b) | 09/01/15 | 1,000 | 999,638 | |||||||||
PNC Bank NA | 0.285% | (b) | 07/01/15 | 1,000 | 1,000,000 | |||||||||
Province of Ontario | 0.081% | (b) | 07/09/15 | 1,535 | 1,534,973 | |||||||||
Province of Ontario | 0.142% | (b) | 09/01/15 | 2,000 | 1,999,518 | |||||||||
Province of Quebec, 144A | 0.127% | (b) | 07/07/15 | 1,000 | 999,979 | |||||||||
Province of Quebec, 144A | 0.147% | (b) | 09/01/15 | 4,000 | 3,999,001 | |||||||||
PSP Capital, Inc., 144A | 0.162% | (b) | 07/22/15 | 5,000 | 4,999,533 | |||||||||
Schlumberger Investment SA, 144A | 0.183% | (b) | 09/15/15 | 1,000 | 999,620 | |||||||||
State Street Corp. | 0.203% | (b) | 07/09/15 | 6,000 | 5,999,733 | |||||||||
Sumitomo Mitsui Banking Corp., 144A | 0.203% | (b) | 07/27/15 | 2,000 | 1,999,711 | |||||||||
Swedbank AB | 0.239% | (b) | 09/04/15 | 7,000 | 6,997,029 | |||||||||
Toyota Motor Credit Corp. | 0.173% | (b) | 08/25/15 | 4,000 | 3,998,961 | |||||||||
Toyota Motor Credit Corp. | 0.273% | (a) | 10/30/15 | 2,000 | 2,000,000 | |||||||||
184,211,210 | ||||||||||||||
OTHER CORPORATE OBLIGATIONS — 13.3% | ||||||||||||||
Bank of Montreal, Sr. Unsec’d. Notes, MTN | 0.755% | (a) | 09/11/15 | 5,900 | 5,905,166 | |||||||||
Bank of Montreal, Sr. Unsec’d. Notes, MTN | 0.795% | (a) | 07/15/16 | 2,500 | 2,509,327 | |||||||||
Caisse Centrale Desjardins du Quebec, Sr. Unsec’d. Notes, 144A | 2.650% | 09/16/15 | 6,500 | 6,530,105 | ||||||||||
Cisco Systems, Inc., Sr. Unsec’d. Notes | 0.332% | (a) | 09/03/15 | 4,000 | 4,000,338 | |||||||||
Commonwealth Bank of Australia, Sr. Unsec’d. Notes, 144A | 0.483% | (a) | 06/03/16 | 7,000 | 7,008,015 | |||||||||
Export Development Canada, Unsec’d. Notes, MTN, 144A | 0.179% | (a) | 11/12/15 | 3,000 | 2,999,846 | |||||||||
General Electric Capital Corp., Gtd. Notes, MTN | 0.874% | (a) | 01/08/16 | 4,140 | 4,152,628 | |||||||||
General Electric Capital Corp., Gtd. Notes, MTN | 0.932% | (a) | 09/30/15 | 5,000 | 5,007,122 | |||||||||
Inter-American Development Bank, Sr. Unsec’d. Notes, MTN | 0.186% | (a) | 07/29/15 | 4,000 | 4,000,000 | |||||||||
International Bank for Reconstruction & Development, Sr. Unsec’d. Notes, MTN | 0.184% | (a) | 08/07/15 | 7,000 | 7,000,006 | |||||||||
International Bank for Reconstruction & Development, Sr. Unsec’d. Notes, MTN | 0.186% | (a) | 09/14/15 | 1,000 | 999,998 | |||||||||
International Finance Corp., Sr. Unsec’d. Notes, MTN | 0.186% | (a) | 08/27/15 | 9,000 | 8,999,896 | |||||||||
KFW, Gov.‘t. Gtd. Notes | 0.243% | (a) | 07/09/15 | 6,000 | 6,000,095 | |||||||||
Royal Bank of Canada, Sr. Unsec’d. Notes, MTN | 1.920% | 07/30/15 | 2,700 | 2,703,454 | ||||||||||
Total Capital Canada Ltd., Gtd. Notes | 0.655% | (a) | 01/15/16 | 2,600 | 2,605,333 | |||||||||
Toyota Motor Credit Corp., Sr. Unsec’d. Notes, MTN | 0.282% | (a) | 08/26/15 | 6,000 | 6,000,000 | |||||||||
U.S. Bancorp., Sr. Unsec’d. Notes, MTN | 2.450% | 07/27/15 | 1,000 | 1,001,549 | ||||||||||
Volkswagen International Finance NV, Gtd. Notes, 144A | 0.606% | (a) | 11/18/15 | 1,000 | 1,000,894 | |||||||||
Wells Fargo Bank NA, Sr. Unsec’d. Notes | 0.434% | (a) | 06/02/16 | 3,000 | 3,002,268 | |||||||||
Wells Fargo Bank NA, Sr. Unsec’d. Notes | 0.555% | (a) | 07/20/15 | 7,000 | 7,001,032 | |||||||||
Westpac Banking Corp., Sr. Unsec’d. Notes | 3.000% | 08/04/15 | 3,180 | 3,187,969 | ||||||||||
91,615,041 | ||||||||||||||
TIME DEPOSIT — 1.3% | ||||||||||||||
U.S. Bank NA | 0.130% | 07/01/15 | 9,243 | 9,243,000 | ||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 28.6% | ||||||||||||||
Federal Farm Credit Bank | 0.163% | (a) | 02/03/16 | 3,000 | 3,000,093 | |||||||||
Federal Farm Credit Bank | 0.184% | (a) | 10/01/15 | 3,000 | 3,000,268 |
SEE NOTES TO FINANCIAL STATEMENTS.
A133
MONEY MARKET PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Federal Farm Credit Bank | 0.216% | (a) | 07/27/15 | 2,000 | $ | 2,000,105 | ||||||||
Federal Home Loan Bank | 0.030% | (b) | 07/06/15 | 15,000 | 14,999,937 | |||||||||
Federal Home Loan Bank | 0.051% | (b) | 08/03/15 | 12,000 | 11,999,450 | |||||||||
Federal Home Loan Bank | 0.065% | (b) | 08/12/15 | 10,000 | 9,999,214 | |||||||||
Federal Home Loan Bank | 0.071% | (b) | 08/07/15 | 4,000 | 3,999,712 | |||||||||
Federal Home Loan Bank | 0.072% | (b) | 07/01/15 | 2,000 | 2,000,000 | |||||||||
Federal Home Loan Bank | 0.076% | (b) | 07/22/15 | 10,000 | 9,999,563 | |||||||||
Federal Home Loan Bank | 0.077% | (b) | 07/24/15 | 4,000 | 3,999,806 | |||||||||
Federal Home Loan Bank | 0.079% | (b) | 07/31/15 | 11,000 | 10,999,331 | |||||||||
Federal Home Loan Bank | 0.085% | (b) | 08/05/15 | 11,000 | 10,999,108 | |||||||||
Federal Home Loan Bank | 0.086% | (b) | 07/23/15-08/28/15 | 4,000 | 3,999,617 | |||||||||
Federal Home Loan Bank | 0.090% | (b) | 08/19/15 | 13,000 | 12,998,516 | |||||||||
Federal Home Loan Bank | 0.093% | (b) | 07/17/15-09/16/15 | 9,200 | 9,199,025 | |||||||||
Federal Home Loan Bank | 0.096% | (b) | 09/30/15 | 9,500 | 9,497,719 | |||||||||
Federal Home Loan Bank | 0.117% | (b) | 08/26/15 | 1,000 | 999,821 | |||||||||
Federal Home Loan Bank | 0.145% | (a) | 07/10/15 | 5,000 | 5,000,000 | |||||||||
Federal Home Loan Bank | 0.150% | (a) | 08/10/15 | 5,000 | 4,999,987 | |||||||||
Federal Home Loan Bank | 0.162% | (a) | 01/21/16 | 6,000 | 5,999,832 | |||||||||
Federal Home Loan Bank | 0.165% | (a) | 12/24/15 | 5,000 | 4,999,442 | |||||||||
Federal Home Loan Bank | 0.167% | (a) | 11/25/15-01/25/16 | 19,000 | 19,000,704 | |||||||||
Federal Home Loan Bank | 0.181% | (a) | 09/14/15 | 5,000 | 5,000,142 | |||||||||
Federal Home Loan Mortgage Corp. | 0.145% | (a) | 02/18/16 | 9,000 | 8,999,129 | |||||||||
Federal Home Loan Mortgage Corp. | 0.165% | (a) | 10/16/15 | 3,000 | 3,000,124 | |||||||||
Federal Home Loan Mortgage Corp. | 0.175% | (a) | 07/17/15 | 9,000 | 9,000,122 | |||||||||
Federal Home Loan Mortgage Corp. | 0.182% | (a) | 07/21/16 | 2,000 | 1,999,901 | |||||||||
Federal Home Loan Mortgage Corp. | 1.750% | 09/10/15 | 1,000 | 1,003,081 | ||||||||||
Federal National Mortgage Assoc. | 0.155% | (a) | 08/05/15 | 4,000 | 4,000,041 | |||||||||
196,693,790 | ||||||||||||||
U.S. TREASURY OBLIGATION — 1.9% | ||||||||||||||
U.S. Treasury Notes | 1.750% | 07/31/15 | 13,000 | 13,017,870 | ||||||||||
REPURCHASE AGREEMENT(c) — 7.6% | ||||||||||||||
TD Securities (USA) Ltd. 0.12%, dated 06/30/15, due 07/01/15 in the amount of $52,000,173 | 52,000 | 52,000,000 | ||||||||||||
TOTAL INVESTMENTS — 101.4% |
| 697,037,799 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.4)% |
| (9,910,871 | ) | |||||||||||
NET ASSETS — 100.0% |
| $ | 687,126,928 | |||||||||||
See the Glossary for abbreviations used in the Portfolio descriptions.
# | 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, 2015. |
(b) | Rate quoted represents yield-to-maturity as of purchase date. |
(c) | The value of the Repurchase Agreement is $52,000,000. The Repurchase Agreement is collateralized by a U.S. Treasury Obligation (coupon rate 6.000%, maturity date 02/15/26), with the value, including accrued interest of $53,040,007. The Repurchase Agreement is subject to a contractual netting arrangement. For further detail on the repurchase agreement 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— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A134
MONEY MARKET PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Certificates of Deposit | $ | — | $ | 150,256,888 | $ | — | ||||||
Commercial Paper | — | 184,211,210 | — | |||||||||
Other Corporate Obligations | — | 91,615,041 | — | |||||||||
Time Deposit | — | 9,243,000 | — | |||||||||
U.S. Government Agency Obligations | — | 196,693,790 | — | |||||||||
U.S. Treasury Obligation | — | 13,017,870 | — | |||||||||
Repurchase Agreement | — | 52,000,000 | — | |||||||||
Total | $ | — | $ | 697,037,799 | $ | — | ||||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:
U.S. Government Agency Obligations | 28.6 | % | ||
Commercial Paper | 26.8 | |||
Certificates of Deposit | 21.9 | |||
Other Corporate Obligations | 13.3 | |||
Repurchase Agreement | 7.6 |
U.S. Treasury Obligation | 1.9 | % | ||
Time Deposit | 1.3 | |||
101.4 | ||||
Liabilities in excess of other assets | (1.4 | ) | ||
100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A135
MONEY MARKET PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
as of June 30, 2015
ASSETS | ||||
Investments, at amortized cost which approximates fair value: | $ | 697,037,799 | ||
Receivable for Series shares sold | 791,246 | |||
Interest receivable | 325,133 | |||
Prepaid expenses | 963 | |||
Total Assets | 698,155,141 | |||
LIABILITIES | ||||
Payable for investments purchased | 9,497,719 | |||
Payable for Series shares repurchased | 1,323,659 | |||
Accrued expenses | 125,423 | |||
Management fee payable | 78,941 | |||
Payable to custodian | 1,545 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 11,028,213 | |||
NET ASSETS | $ | 687,126,928 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 687,126,928 | ||
Net assets, June 30, 2015 | $ | 687,126,928 | ||
Net asset value and redemption price per share $687,126,928 / 68,709,710 outstanding shares of beneficial interest | $ | 10.00 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2015
NET INVESTMENT INCOME | ||||
INCOME | ||||
Interest income | $ | 660,498 | ||
EXPENSES | ||||
Management fee | 1,506,024 | |||
Custodian and accounting fees | 60,000 | |||
Shareholders’ reports | 50,000 | |||
Audit fee | 11,000 | |||
Trustees’ fees | 8,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Insurance expenses | 6,000 | |||
Legal fees and expenses | 5,000 | |||
Miscellaneous | 7,959 | |||
Total expenses | 1,659,983 | |||
Less: Management fee waiver | (999,485 | ) | ||
Net expenses | 660,498 | |||
NET INVESTMENT INCOME | — | |||
REALIZED GAIN ON INVESTMENTS | ||||
Net realized gain on investment transactions | 4,527 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 4,527 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2015 | Year Ended December 31, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | — | $ | 72 | ||||
Net realized gain on investment transactions | 4,527 | 7,039 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 4,527 | 7,111 | ||||||
DISTRIBUTIONS | (4,527 | ) | (7,111 | ) | ||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [14,109,433 and 22,388,218 shares, respectively] | 141,094,336 | 223,882,182 | ||||||
Series shares issued in reinvestment of distributions [453 and 711 shares, respectively] | 4,527 | 7,111 | ||||||
Series shares repurchased [27,755,929 and 26,634,487 shares, respectively] | (277,559,290 | ) | (266,344,871 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (136,460,427 | ) | (42,455,578 | ) | ||||
TOTAL DECREASE | (136,460,427 | ) | (42,455,578 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 823,587,355 | 866,042,933 | ||||||
End of period | $ | 687,126,928 | $ | 823,587,355 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A136
NATURAL RESOURCES PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
LONG-TERM INVESTMENTS — 96.5% | Value (Note 2) | |||||||
COMMON STOCKS — 96.4% | Shares | |||||||
Aluminum — 1.4% | ||||||||
Alcoa, Inc. | 14,698 | $ | 163,883 | |||||
Century Aluminum Co.*(a) | 119,396 | 1,245,300 | ||||||
Constellium NV (Netherlands) (Class A Stock)* | 556,144 | 6,579,184 | ||||||
Norsk Hydro ASA (Norway) | 40,321 | 169,224 | ||||||
8,157,591 | ||||||||
Coal & Consumable Fuels — 1.2% | ||||||||
CONSOL Energy, Inc. | 325,416 | 7,074,544 | ||||||
Diversified Chemicals — 2.2% | ||||||||
Dow Chemical Co. (The) | 111,266 | 5,693,481 | ||||||
E.I. du Pont de Nemours & Co. | 2,765 | 176,822 | ||||||
FMC Corp. | 133,729 | 7,027,459 | ||||||
12,897,762 | ||||||||
Diversified Metals & Mining — 9.4% | ||||||||
African Rainbow Minerals Ltd. (South Africa) | 286,406 | 1,947,589 | ||||||
Anglo American PLC (United Kingdom) | 11,172 | 161,395 | ||||||
BHP Billiton Ltd. (Australia), ADR(a) | 167,986 | 6,838,710 | ||||||
First Quantum Minerals Ltd. (Canada) | 705,631 | 9,225,744 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | 235,818 | 4,390,931 | ||||||
Glencore PLC (Switzerland) | 2,375,440 | 9,525,938 | ||||||
Ivanhoe Mines Ltd. (Canada)*(a) | 357,087 | 257,309 | ||||||
Ivanhoe Mines Ltd. (Canada) (Class A Stock), 144A*(b) | 433,900 | 309,184 | ||||||
Lundin Mining Corp. (Canada)* | 1,477,222 | 6,067,373 | ||||||
Northern Dynasty Minerals Ltd. (Canada)*(a) | 399,636 | 135,876 | ||||||
Rio Tinto PLC (United Kingdom), ADR(a) | 212,906 | 8,773,856 | ||||||
South32 Ltd. (Australia), ADR*(a) | 67,193 | 450,865 | ||||||
Southern Copper Corp. (Mexico)(a) | 230,876 | 6,790,063 | ||||||
54,874,833 | ||||||||
Fertilizers & Agricultural Chemicals — 1.3% |
| |||||||
Potash Corp. of Saskatchewan, Inc. (Canada) | 243,368 | 7,537,107 | ||||||
Gold — 6.9% | ||||||||
Agnico Eagle Mines Ltd. (Canada) | 232,557 | 6,597,642 | ||||||
Alacer Gold Corp. | 1,330,410 | 3,120,978 | ||||||
Algold Resources Ltd. (Canada), 144A*(b) | 29,193 | 3,974 | ||||||
Axmin, Inc. (Canada)* | 155,620 | 1,246 | ||||||
B2Gold Corp. (Canada)*(a) | 2,155,332 | 3,295,984 | ||||||
Barrick Gold Corp. (Canada) | 608,805 | 6,489,861 | ||||||
Eldorado Gold Corp. (Canada) | 1,202,097 | 4,985,478 | ||||||
Goldcorp, Inc. (Canada) | 8,025 | 130,005 | ||||||
Guyana Goldfields Inc., Reg. D (Canada)* | 365,319 | 1,158,257 | ||||||
Guyana Goldfields, Inc. (Canada), 144A*(b) | 726,972 | 2,304,891 | ||||||
Kinross Gold Corp. (Canada)* | 841,375 | 1,951,990 | ||||||
Newmont Mining Corp. | 8,257 | 192,884 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Gold (continued) | ||||||||
Randgold Resources Ltd. (United Kingdom), ADR(a) | 150,192 | $ | 10,055,354 | |||||
40,288,544 | ||||||||
Integrated Oil & Gas — 4.0% | ||||||||
Chevron Corp. | 912 | 87,981 | ||||||
Occidental Petroleum Corp. | 126,700 | 9,853,459 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR | 2,284 | 130,211 | ||||||
Suncor Energy, Inc. (Canada) | 479,887 | 13,206,490 | ||||||
23,278,141 | ||||||||
Oil & Gas Drilling — 2.5% | ||||||||
Independence Contract Drilling Inc.*(a) | 336,881 | 2,988,135 | ||||||
Patterson-UTI Energy, Inc. | 449,215 | 8,451,980 | ||||||
Rowan Cos. PLC (Class A Stock) | 148,456 | 3,133,906 | ||||||
14,574,021 | ||||||||
Oil & Gas Equipment & Services — 14.1% |
| |||||||
Baker Hughes, Inc. | 3,239 | 199,846 | ||||||
Cameron International Corp.* | 273,308 | 14,313,140 | ||||||
Core Laboratories NV(a) | 29,832 | 3,402,041 | ||||||
Dril-Quip, Inc.* | 170,002 | 12,792,650 | ||||||
FMC Technologies, Inc.* | 146,692 | 6,086,251 | ||||||
Halliburton Co. | 390,361 | 16,812,848 | ||||||
National Oilwell Varco, Inc. | 3,970 | 191,672 | ||||||
Schlumberger Ltd. | 243,257 | 20,966,321 | ||||||
Superior Energy Services, Inc. | 368,965 | 7,763,024 | ||||||
82,527,793 | ||||||||
Oil & Gas Exploration & Production — 38.8% |
| |||||||
Africa Oil Corp. (Canada)*(a) | 353,810 | 640,201 | ||||||
Africa Oil Corp., Reg. D (Canada)* | 42,762 | 77,376 | ||||||
Anadarko Petroleum Corp. | 305,789 | 23,869,889 | ||||||
Antero Resources Corp*(a) | 168,632 | 5,790,823 | ||||||
Bankers Petroleum Ltd. (Canada)* | 718,499 | 1,783,304 | ||||||
Cabot Oil & Gas Corp. | 6,075 | 191,605 | ||||||
Canadian Natural Resources Ltd. (Canada) | 5,497 | 149,299 | ||||||
Cimarex Energy Co. | 105,859 | 11,677,306 | ||||||
Cobalt International Energy, Inc.* | 467,415 | 4,538,600 | ||||||
Concho Resources, Inc.* | 207,930 | 23,674,910 | ||||||
ConocoPhillips | 2,821 | 173,238 | ||||||
Continental Resources, Inc.*(a) | 3,555 | 150,696 | ||||||
Crew Energy Inc (Canada)* | 438,928 | 2,006,628 | ||||||
Devon Energy Corp. | 285,313 | 16,973,270 | ||||||
EOG Resources, Inc. | 211,605 | 18,526,018 | ||||||
EQT Corp. | 1,601 | 130,225 | ||||||
Genel Energy PLC (United Kingdom)* | 378,961 | 3,020,466 | ||||||
Gulfport Energy Corp.* | 163,956 | 6,599,229 | ||||||
Hess Corp. | 102,328 | 6,843,697 | ||||||
Kosmos Energy Ltd.* | 331,163 | 2,791,704 | ||||||
Laredo Petroleum, Inc.* | 374,004 | 4,704,970 | ||||||
Lekoil Ltd. (Nigeria)* | 820,280 | 380,213 | ||||||
Lekoil Ltd., Reg. D (Nigeria)* | 2,947,579 | 1,366,249 | ||||||
Marathon Oil Corp. | 432,941 | 11,490,254 | ||||||
MEG Energy Corp. (Canada)* | 199,892 | 3,264,849 |
SEE NOTES TO FINANCIAL STATEMENTS.
A137
NATURAL RESOURCES PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Oil & Gas Exploration & Production (continued) |
| |||||||
MEG Energy Corp. (Canada), | 131,600 | $ | 2,149,432 | |||||
Mobius Resources Inc., Reg. D (Canada)* | 773,332 | 92,874 | ||||||
Mobius Resources, Inc. (Canada)* | 321,393 | 38,598 | ||||||
Newfield Exploration Co.* | 170,207 | 6,147,877 | ||||||
Noble Energy, Inc. | 439,901 | 18,774,975 | ||||||
NuVista Energy Ltd. (Canada)* | 383,330 | 2,053,225 | ||||||
Oasis Petroleum, Inc.*(a) | 162,836 | 2,580,951 | ||||||
Oil Search Ltd. (Australia) | 661,043 | 3,633,553 | ||||||
PDC Energy, Inc.* | 201,886 | 10,829,165 | ||||||
Pioneer Natural Resources Co. | 45,551 | 6,317,468 | ||||||
Range Resources Corp. | 216,354 | 10,683,560 | ||||||
Rice Energy, Inc.*(a) | 270,745 | 5,639,618 | ||||||
Seven Generations Energy Ltd. (Canada), 144A(b)* | 129,839 | 1,696,535 | ||||||
Seven Generations Energy Ltd. (Canada) (Class A Stock)* | 53,477 | 698,755 | ||||||
Whiting Petroleum Corp.* | 156,420 | 5,255,712 | ||||||
227,407,317 | ||||||||
Oil & Gas Refining & Marketing — 6.1% |
| |||||||
Marathon Petroleum Corp. | 320,451 | 16,762,792 | ||||||
Phillips 66 | 168,330 | 13,560,665 | ||||||
Valero Energy Corp. | 2,964 | 185,546 | ||||||
Western Refining, Inc. | 116,368 | 5,075,972 | ||||||
35,584,975 | ||||||||
Oil & Gas Storage & Transportation — 2.7% |
| |||||||
Cheniere Energy, Inc.* | 2,668 | 184,786 | ||||||
Euronav NV (Belgium) | 180,016 | 2,666,037 | ||||||
Kinder Morgan, Inc. | 170,592 | 6,549,027 | ||||||
Williams Cos., Inc. (The) | 113,052 | 6,488,054 | ||||||
15,887,904 | ||||||||
Packaged Foods & Meats — 0.4% | ||||||||
Adecoagro SA (Luxembourg)* | 289,976 | 2,673,579 | ||||||
Paper Packaging — 0.4% | ||||||||
Packaging Corp. of America | 39,918 | 2,494,476 | ||||||
Precious Metals & Minerals — 0.1% | ||||||||
Lonmin PLC (United Kingdom), | 25,898 | 45,592 | ||||||
Platinum Group Metals Ltd. | 1,234,422 | 493,769 | ||||||
Sedibelo Platinum Mines (South Africa), Private Placement (original cost $1,102,975; purchased 11/27/07)*(b)(c) | 129,100 | 11,297 | ||||||
550,658 | ||||||||
Renewable Electricity — 1.3% | ||||||||
NextEra Energy Partners LP | 24,739 | 980,159 | ||||||
NextEra Energy Partners LP, Reg D, PIPE, Private Placement (original cost $1,300,943; purchased 05/07/15)(b)(c) | 31,071 | 1,169,481 | ||||||
TerraForm Power, Inc. (Class A Stock) | 149,180 | 5,665,857 | ||||||
7,815,497 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Silver — 1.2% | ||||||||
Silver Wheaton Corp. (Canada) | 211,452 | $ | 3,666,578 | |||||
Tahoe Resources, Inc. | 177,274 | 2,148,862 | ||||||
Tahoe Resources, Inc., 144A(b) | 116,000 | 1,406,116 | ||||||
7,221,556 | ||||||||
Specialty Chemicals — 1.1% | ||||||||
Ashland, Inc. | 656 | 79,966 | ||||||
Cytec Industries, Inc. | 48,310 | 2,924,204 | ||||||
Flotek Industries, Inc.*(a) | 260,973 | 3,269,992 | ||||||
PPG Industries, Inc. | 1,624 | 186,305 | ||||||
6,460,467 | ||||||||
Steel — 1.3% | ||||||||
ArcelorMittal (Luxembourg), ADR(a) | 19,789 | 192,349 | ||||||
Nucor Corp. | 3,940 | 173,636 | ||||||
Reliance Steel & Aluminum Co. | 119,054 | 7,200,386 | ||||||
7,566,371 | ||||||||
TOTAL COMMON STOCKS |
| 564,873,136 | ||||||
CONVERTIBLE PREFERRED STOCKS — 0.1% | ||||||||
Steel | ||||||||
Manabi SA (Brazil) (Class A Preferred), Private Placement (original cost $4,587,721; purchased 05/25/11), | 3,660 | 395,112 | ||||||
Manabi SA (Brazil) (Class B Preferred), Private Placement (original cost $1,848,551; purchased 08/21/12), | 1,464 | 158,045 | ||||||
TOTAL CONVERTIBLE PREFERRED STOCKS |
| 553,157 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 565,426,293 | ||||||
SHORT-TERM INVESTMENT — 10.2% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $59,620,543; includes $39,480,426 of cash collateral for securities on loan) (Note 4)(d)(e) | 59,620,543 | 59,620,543 | ||||||
TOTAL INVESTMENTS — 106.7% |
| 625,046,836 | ||||||
LIABILITIES IN EXCESS OF |
| (39,186,877 | ) | |||||
NET ASSETS — 100.0% |
| $ | 585,859,959 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A138
NATURAL RESOURCES PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
See the Glossary for abbreviations used in the Portfolio descriptions.
* | 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 $37,905,746; cash collateral of $39,480,426 (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) | Indicates a security that has been deemed illiquid. |
(c) | Indicates a restricted security; the aggregate original cost of such securities is $8,840,190. The aggregate value of, $1,733,935, is approximately 0.3% of net assets. |
(d) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
(e) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
| |||||||||||
Common Stocks |
| |||||||||||
Aluminum | $ | 7,988,367 | $ | 169,224 | $ | — | ||||||
Coal & Consumable Fuels | 7,074,544 | — | — | |||||||||
Diversified Chemicals | 12,897,762 | — | — | |||||||||
Diversified Metals & Mining | 44,878,316 | 9,996,517 | — | |||||||||
Fertilizers & Agricultural Chemicals | 7,537,107 | — | — | |||||||||
Gold | 36,825,396 | 3,463,148 | — | |||||||||
Integrated Oil & Gas | 23,278,141 | — | — | |||||||||
Oil & Gas Drilling | 14,574,021 | — | — | |||||||||
Oil & Gas Equipment & Services | 82,527,793 | — | — | |||||||||
Oil & Gas Exploration & Production | 215,448,208 | 11,959,109 | — | |||||||||
Oil & Gas Refining & Marketing | 35,584,975 | — | — | |||||||||
Oil & Gas Storage & Transportation | 15,887,904 | — | — | |||||||||
Packaged Foods & Meats | 2,673,579 | — | — | |||||||||
Paper Packaging | 2,494,476 | — | — | |||||||||
Precious Metals & Minerals | 493,769 | 45,592 | 11,297 | |||||||||
Renewable Electricity | 6,646,016 | — | 1,169,481 | |||||||||
Silver | 5,815,440 | 1,406,116 | — | |||||||||
Specialty Chemicals | 6,460,467 | — | — | |||||||||
Steel | 7,566,371 | — | — | |||||||||
Convertible Preferred Stocks | ||||||||||||
Steel | — | — | 553,157 | |||||||||
Affiliated Money Market Mutual Fund | 59,620,543 | — | — | |||||||||
Total | $ | 596,273,195 | $ | 27,039,706 | $ | 1,733,935 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A139
NATURAL RESOURCES PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:
Oil & Gas Exploration & Production | 38.8 | % | ||
Oil & Gas Equipment & Services | 14.1 | |||
Affiliated Money Market Mutual Fund (including 6.7% of collateral for securities on loan) | 10.2 | |||
Diversified Metals & Mining | 9.4 | |||
Gold | 6.9 | |||
Oil & Gas Refining & Marketing | 6.1 | |||
Integrated Oil & Gas | 4.0 | |||
Oil & Gas Storage & Transportation | 2.7 | |||
Oil & Gas Drilling | 2.5 | |||
Diversified Chemicals | 2.2 | |||
Aluminum | 1.4 | |||
Steel | 1.4 |
Renewable Electricity | 1.3 | % | ||
Fertilizers & Agricultural Chemicals | 1.3 | |||
Silver | 1.2 | |||
Coal & Consumable Fuels | 1.2 | |||
Specialty Chemicals | 1.1 | |||
Packaged Foods & Meats | 0.4 | |||
Paper Packaging | 0.4 | |||
Precious Metals & Minerals | 0.1 | |||
106.7 | ||||
Liabilities in excess of other assets | (6.7 | ) | ||
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 Operations is presented in the summary below.
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2015 are as follows:
For the six months ended June 30, 2015, the Portfolio did not have any realized gain or (loss) 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 | $ | (502 | ) | |
* | Included in net change in unrealized (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A140
NATURAL RESOURCES PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
as of June 30, 2015
ASSETS | ||||
Investments at value, including securities on loan of $37,905,746: | ||||
Unaffiliated investments (cost $536,405,320) | $ | 565,426,293 | ||
Affiliated investments (cost $59,620,543) | 59,620,543 | |||
Cash | 75,869 | |||
Dividends receivable | 331,671 | |||
Tax reclaim receivable | 249,603 | |||
Receivable for Series shares sold | 77,266 | |||
Prepaid expenses | 1,100 | |||
Total Assets | 625,782,345 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 39,480,426 | |||
Management fee payable | 200,182 | |||
Accrued expenses | 159,974 | |||
Payable for Series shares repurchased | 66,755 | |||
Distribution fee payable | 8,825 | |||
Administration fee payable | 5,298 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 39,922,386 | |||
NET ASSETS | $ | 585,859,959 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 483,506,716 | ||
Retained earnings | 102,353,243 | |||
Net assets, June 30, 2015 | $ | 585,859,959 | ||
Class I: | ||||
Net asset value and redemption price per share $543,852,147 / 18,843,070 outstanding shares of beneficial interest | $ | 28.86 | ||
Class II: | ||||
Net asset value and redemption price per share $42,007,812 / 1,484,316 outstanding shares of beneficial interest | $ | 28.30 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2015
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $105,207) | $ | 4,883,261 | ||
Affiliated income from securities lending, net | 114,350 | |||
Affiliated dividend income | 20,076 | |||
Total income | 5,017,687 | |||
EXPENSES | ||||
Management fee | 1,394,346 | |||
Distribution fee—Class II | 56,088 | |||
Administration fee—Class II | 33,653 | |||
Shareholders’ reports | 66,000 | |||
Custodian and accounting fees | 55,000 | |||
Audit fee | 12,000 | |||
Trustees’ fees | 8,000 | |||
Insurance expenses | 6,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Legal fees and expenses | 5,000 | |||
Miscellaneous | 20,847 | |||
Total expenses | 1,662,934 | |||
Less: Management fee waiver | (154,931 | ) | ||
Net expenses | 1,508,003 | |||
NET INVESTMENT INCOME | 3,509,684 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 13,969,298 | |||
Foreign currency transactions | (2,091 | ) | ||
13,967,207 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (37,321,045 | ) | ||
Foreign currencies | (14,106 | ) | ||
(37,335,151 | ) | |||
NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (23,367,944 | ) | ||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (19,858,260 | ) | |
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2015 | Year Ended December 31, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 3,509,684 | $ | 4,754,100 | ||||
Net realized gain on investment and foreign currency transactions | 13,967,207 | 39,025,005 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (37,335,151 | ) | (199,664,806 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | (19,858,260 | ) | (155,885,701 | ) | ||||
SERIES SHARE TRANSACTIONS (Note 7) | ||||||||
Series shares sold | 23,367,947 | 36,365,649 | ||||||
Series shares repurchased | (50,126,200 | ) | (94,184,529 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (26,758,253 | ) | (57,818,880 | ) | ||||
TOTAL DECREASE | (46,616,513 | ) | (213,704,581 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 632,476,472 | 846,181,053 | ||||||
End of period | $ | 585,859,959 | $ | 632,476,472 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A141
SMALL CAPITALIZATION STOCK PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
LONG-TERM INVESTMENTS — 98.7% | Value (Note 2) | |||||||
COMMON STOCKS — 98.0% | Shares | |||||||
Aerospace & Defense — 1.8% | ||||||||
AAR Corp. | 35,471 | $ | 1,130,461 | |||||
Aerojet Rocketdyne Holdings, Inc.*(a) | 65,775 | 1,355,623 | ||||||
Aerovironment, Inc.* | 21,114 | 550,653 | ||||||
American Science & Engineering, Inc. | 7,516 | 329,276 | ||||||
Cubic Corp. | 22,873 | 1,088,297 | ||||||
Curtiss-Wright Corp. | 50,002 | 3,622,145 | ||||||
Engility Holdings, Inc. | 18,300 | 460,428 | ||||||
Moog, Inc. (Class A Stock)* | 40,694 | 2,876,252 | ||||||
National Presto Industries, Inc. | 5,199 | 417,583 | ||||||
TASER International, Inc.*(a) | 56,200 | 1,872,022 | ||||||
13,702,740 | ||||||||
Air Freight & Logistics — 0.8% | ||||||||
Atlas Air Worldwide Holdings, Inc.* | 26,200 | 1,439,952 | ||||||
Echo Global Logistics, Inc.*(a) | 25,100 | 819,766 | ||||||
Forward Air Corp. | 32,556 | 1,701,376 | ||||||
Hub Group, Inc. (Class A Stock)* | 35,870 | 1,446,996 | ||||||
UTi Worldwide, Inc.*(a) | 96,700 | 966,033 | ||||||
6,374,123 | ||||||||
Airlines — 0.7% | ||||||||
Allegiant Travel Co. | 14,194 | 2,524,829 | ||||||
Hawaiian Holdings, Inc.*(a) | 57,400 | 1,363,250 | ||||||
Republic Airways Holdings, Inc.* | 52,400 | 481,032 | ||||||
SkyWest, Inc. | 54,060 | 813,062 | ||||||
5,182,173 | ||||||||
Auto Components — 0.8% | ||||||||
Dorman Products, Inc.*(a) | 32,300 | 1,539,418 | ||||||
Drew Industries, Inc. | 25,289 | 1,467,268 | ||||||
Gentherm, Inc.* | 37,700 | 2,070,107 | ||||||
Standard Motor Products, Inc. | 21,999 | 772,605 | ||||||
Superior Industries International, Inc. | 24,318 | 445,262 | ||||||
6,294,660 | ||||||||
Automobiles — 0.1% | ||||||||
Winnebago Industries, Inc.(a) | 28,131 | 663,610 | ||||||
Banks — 8.3% | ||||||||
Banner Corp. | 20,400 | 977,772 | ||||||
BBCN Bancorp, Inc. | 83,382 | 1,233,220 | ||||||
Boston Private Financial Holdings, Inc. | 84,902 | 1,138,536 | ||||||
Cardinal Financial Corp. | 33,800 | 736,502 | ||||||
Central Pacific Financial Corp. | 27,900 | 662,625 | ||||||
City Holding Co.(a) | 15,944 | 785,242 | ||||||
Columbia Banking System, Inc. | 56,108 | 1,825,754 | ||||||
Community Bank System, Inc. | 42,796 | 1,616,405 | ||||||
CVB Financial Corp. | 101,400 | 1,785,654 | ||||||
First BanCorp (Puerto Rico)* | 109,372 | 527,173 | ||||||
First Commonwealth Financial Corp. | 91,210 | 874,704 | ||||||
First Financial Bancorp | 64,803 | 1,162,566 | ||||||
First Financial Bankshares, Inc.(a) | 67,378 | 2,333,974 | ||||||
First Midwest Bancorp, Inc. | 81,840 | 1,552,505 | ||||||
FNB Corp. | 181,900 | 2,604,808 | ||||||
Glacier Bancorp, Inc. | 79,173 | 2,329,270 | ||||||
Hanmi Financial Corp. | 33,636 | 835,518 | ||||||
Home BancShares, Inc. | 61,804 | 2,259,554 | ||||||
Independent Bank Corp. | 27,606 | 1,294,445 | ||||||
LegacyTexas Financial Group, Inc. | 38,000 | 1,147,600 | ||||||
MB Financial, Inc. | 67,783 | 2,334,447 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks (continued) | ||||||||
National Penn Bancshares, Inc. | 144,376 | $ | 1,628,561 | |||||
NBT Bancorp, Inc. | 46,310 | 1,211,933 | ||||||
OFG Bancorp (Puerto Rico) | 46,700 | 498,289 | ||||||
Old National Bancorp | 111,447 | 1,611,524 | ||||||
Pinnacle Financial Partners, Inc. | 35,071 | 1,906,810 | ||||||
PrivateBancorp, Inc. | 74,449 | 2,964,559 | ||||||
S&T Bancorp, Inc. | 29,873 | 883,942 | ||||||
Simmons First National Corp. (Class A Stock) | 16,378 | 764,525 | ||||||
Southside Bancshares, Inc. | 24,570 | 718,181 | ||||||
Sterling Bancorp | 94,758 | 1,392,943 | ||||||
Susquehanna Bancshares, Inc. | 191,509 | 2,704,107 | ||||||
Talmer Bancorp, Inc. (Class A Stock) | 60,700 | 1,016,725 | ||||||
Texas Capital Bancshares, Inc.* | 48,100 | 2,993,744 | ||||||
Tompkins Financial Corp. | 12,564 | 674,938 | ||||||
UMB Financial Corp. | 42,872 | 2,444,561 | ||||||
United Bankshares, Inc.(a) | 67,197 | 2,703,335 | ||||||
United Community Banks, Inc. | 47,387 | 988,967 | ||||||
Westamerica Bancorporation(a) | 26,900 | 1,362,485 | ||||||
Wilshire Bancorp, Inc. | 73,813 | 932,258 | ||||||
Wintrust Financial Corp. | 49,713 | 2,653,680 | ||||||
62,074,341 | ||||||||
Biotechnology — 1.2% | ||||||||
Acorda Therapeutics, Inc.*(a) | 44,900 | 1,496,517 | ||||||
Emergent BioSolutions, Inc.* | 31,257 | 1,029,918 | ||||||
Ligand Pharmaceuticals, Inc.* | 18,800 | 1,896,920 | ||||||
MiMedx Group, Inc.* | 92,900 | 1,076,711 | ||||||
Momenta Pharmaceuticals, Inc.* | 61,800 | 1,409,658 | ||||||
Repligen Corp.* | 32,500 | 1,341,275 | ||||||
Spectrum Pharmaceuticals, Inc.*(a) | 60,700 | 415,188 | ||||||
8,666,187 | ||||||||
Building Products — 1.2% | ||||||||
AAON, Inc. | 43,589 | 981,624 | ||||||
American Woodmark Corp.* | 13,200 | 724,020 | ||||||
Apogee Enterprises, Inc. | 30,638 | 1,612,784 | ||||||
Gibraltar Industries, Inc.* | 30,468 | 620,633 | ||||||
Griffon Corp. | 41,929 | 667,510 | ||||||
PGT, Inc.* | 49,900 | 724,049 | ||||||
Quanex Building Products Corp. | 35,388 | 758,365 | ||||||
Simpson Manufacturing Co., Inc. | 44,183 | 1,502,222 | ||||||
Universal Forest Products, Inc. | 21,064 | 1,095,960 | ||||||
8,687,167 | ||||||||
Capital Markets — 1.6% | ||||||||
Calamos Asset Management, Inc. (Class A Stock) | 17,500 | 214,375 | ||||||
Evercore Partners, Inc. (Class A Stock) | 38,200 | 2,061,272 | ||||||
Financial Engines, Inc.(a) | 54,600 | 2,319,408 | ||||||
Greenhill & Co., Inc. | 28,900 | 1,194,437 | ||||||
HFF, Inc. (Class A Stock) | 34,600 | 1,443,858 | ||||||
Interactive Brokers Group, Inc. (Class A Stock) | 61,400 | 2,551,784 | ||||||
Investment Technology Group, Inc. | 35,966 | 891,957 | ||||||
Piper Jaffray Cos.* | 16,865 | 735,989 | ||||||
Virtus Investment Partners, Inc. | 7,310 | 966,747 | ||||||
12,379,827 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A142
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Chemicals 2.2% | ||||||||
A. Schulman, Inc. | 30,766 | $ | 1,345,089 | |||||
American Vanguard Corp. | 26,248 | 362,222 | ||||||
Balchem Corp. | 32,683 | 1,821,097 | ||||||
Calgon Carbon Corp. | 55,354 | 1,072,761 | ||||||
Flotek Industries, Inc.*(a) | 52,000 | 651,560 | ||||||
FutureFuel Corp. | 23,200 | 298,584 | ||||||
H.B. Fuller Co. | 53,018 | 2,153,591 | ||||||
Hawkins, Inc. | 10,000 | 403,900 | ||||||
Innophos Holdings, Inc. | 22,000 | 1,158,080 | ||||||
Intrepid Potash, Inc.*(a) | 58,900 | 703,266 | ||||||
Koppers Holdings, Inc. | 21,500 | 531,480 | ||||||
Kraton Performance Polymers, Inc.* | 32,900 | 785,652 | ||||||
LSB Industries, Inc.* | 20,600 | 841,304 | ||||||
OM Group, Inc. | 31,956 | 1,073,722 | ||||||
Quaker Chemical Corp. | 13,998 | 1,243,582 | ||||||
Rayonier Advanced Materials, Inc. | 44,700 | 726,822 | ||||||
Stepan Co. | 20,170 | 1,091,399 | ||||||
Tredegar Corp. | 26,635 | 588,900 | ||||||
16,853,011 | ||||||||
Commercial Services & Supplies — 2.7% | ||||||||
ABM Industries, Inc. | 54,903 | 1,804,662 | ||||||
Brady Corp. (Class A Stock) | 50,122 | 1,240,018 | ||||||
Brink’s Co. (The) | 51,000 | 1,500,930 | ||||||
Essendant, Inc. | 40,342 | 1,583,424 | ||||||
G&K Services, Inc. (Class A Stock) | 21,019 | 1,453,254 | ||||||
Healthcare Services Group, Inc. | 75,076 | 2,481,262 | ||||||
Interface, Inc. | 69,402 | 1,738,520 | ||||||
Matthews International Corp. (Class A Stock) | 31,200 | 1,657,968 | ||||||
Mobile Mini, Inc.(a) | 48,697 | 2,047,222 | ||||||
Tetra Tech, Inc. | 63,188 | 1,620,140 | ||||||
UniFirst Corp. | 16,530 | 1,848,880 | ||||||
US Ecology, Inc. | 22,700 | 1,105,944 | ||||||
Viad Corp. | 21,147 | 573,295 | ||||||
20,655,519 | ||||||||
Communications Equipment — 1.1% | ||||||||
ADTRAN, Inc. | 55,900 | 908,375 | ||||||
Bel Fuse, Inc. (Class B Stock) | 11,022 | 226,171 | ||||||
Black Box Corp. | 16,093 | 321,860 | ||||||
CalAmp Corp.*(a) | 37,900 | 692,054 | ||||||
Comtech Telecommunications Corp. | 16,959 | 492,659 | ||||||
Digi International, Inc.* | 25,464 | 243,181 | ||||||
Harmonic, Inc.* | 92,924 | 634,671 | ||||||
Ixia* | 62,100 | 772,524 | ||||||
NETGEAR, Inc.* | 36,446 | 1,094,109 | ||||||
ViaSat, Inc.* | 46,115 | 2,778,890 | ||||||
8,164,494 | ||||||||
Construction & Engineering — 1.0% | ||||||||
Aegion Corp.* | 39,237 | 743,149 | ||||||
Comfort Systems USA, Inc. | 39,084 | 896,978 | ||||||
Dycom Industries, Inc.* | 35,831 | 2,108,654 | ||||||
EMCOR Group, Inc. | 65,925 | 3,149,237 | ||||||
MYR Group, Inc.* | 23,000 | 712,080 | ||||||
Orion Marine Group, Inc.* | 28,800 | 207,936 | ||||||
7,818,034 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Construction Materials — 0.2% | ||||||||
Headwaters, Inc.* | 77,368 | $ | 1,409,645 | |||||
Consumer Finance — 1.1% |
| |||||||
Cash America International, Inc. | 28,944 | 758,043 | ||||||
Encore Capital Group, Inc.*(a) | 25,400 | 1,085,596 | ||||||
Enova International, Inc.* | 27,639 | 516,297 | ||||||
EZCORP, Inc. (Class A Stock)* | 46,611 | 346,320 | ||||||
First Cash Financial Services, Inc.* | 29,625 | 1,350,604 | ||||||
Green Dot Corp. (Class A Stock)* | 42,100 | 804,952 | ||||||
PRA Group, Inc.*(a) | 50,767 | 3,163,292 | ||||||
World Acceptance Corp.*(a) | 8,952 | 550,637 | ||||||
8,575,741 | ||||||||
Containers & Packaging — 0.1% |
| |||||||
Myers Industries, Inc. | 25,620 | 486,780 | ||||||
Distributors — 0.5% |
| |||||||
Pool Corp. | 45,855 | 3,218,104 | ||||||
VOXX International Corp.* | 20,657 | 171,040 | ||||||
3,389,144 | ||||||||
Diversified Consumer Services — 0.4% |
| |||||||
American Public Education, Inc.* | 18,033 | 463,809 | ||||||
Capella Education Co. | 11,486 | 616,454 | ||||||
Career Education Corp.* | 63,300 | 208,890 | ||||||
Regis Corp.* | 46,400 | 731,264 | ||||||
Strayer Education, Inc.* | 11,600 | 499,960 | ||||||
Universal Technical Institute, Inc. | 18,106 | 155,711 | ||||||
2,676,088 | ||||||||
Diversified Financial Services — 0.5% | ||||||||
MarketAxess Holdings, Inc. | 39,200 | 3,636,584 | ||||||
Diversified Telecommunication Services — 0.7% |
| |||||||
8x8, Inc.* | 90,800 | 813,568 | ||||||
Atlantic Tele-Network, Inc. | 10,600 | 732,248 | ||||||
Cincinnati Bell, Inc.* | 219,900 | 840,018 | ||||||
Consolidated Communications Holdings, Inc.(a) | 49,400 | 1,037,894 | ||||||
General Communication, Inc. (Class A Stock)* | 30,124 | 512,409 | ||||||
Iridium Communications, Inc.*(a) | 82,800 | 752,652 | ||||||
Lumos Networks Corp. | 21,021 | 310,901 | ||||||
4,999,690 | ||||||||
Electric Utilities — 0.9% | ||||||||
ALLETE, Inc. | 47,097 | 2,184,830 | ||||||
El Paso Electric Co. | 42,608 | 1,476,793 | ||||||
UIL Holdings Corp. | 59,811 | 2,740,540 | ||||||
6,402,163 | ||||||||
Electrical Equipment — 1.1% | ||||||||
AZZ, Inc. | 27,042 | 1,400,776 | ||||||
Encore Wire Corp. | 19,731 | 873,886 | ||||||
EnerSys | 46,700 | 3,282,543 | ||||||
Franklin Electric Co., Inc. | 41,600 | 1,344,928 | ||||||
General Cable Corp. | 51,200 | 1,010,176 | ||||||
Powell Industries, Inc. | 9,572 | 336,647 | ||||||
Vicor Corp.* | 17,231 | 210,046 | ||||||
8,459,002 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A143
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Electronic Equipment, Instruments & Components — 4.0% |
| |||||||
Agilysys, Inc.* | 11,832 | $ | 108,618 | |||||
Anixter International, Inc.* | 28,764 | 1,873,974 | ||||||
Badger Meter, Inc. | 15,207 | 965,492 | ||||||
Benchmark Electronics, Inc.* | 55,010 | 1,198,118 | ||||||
Checkpoint Systems, Inc. | 44,039 | 448,317 | ||||||
Coherent, Inc.* | 25,100 | 1,593,348 | ||||||
CTS Corp. | 34,864 | 671,829 | ||||||
Daktronics, Inc. | 41,208 | 488,727 | ||||||
DTS, Inc.* | 18,585 | 566,657 | ||||||
Electro Scientific Industries, Inc. | 28,041 | 147,776 | ||||||
Fabrinet (Thailand)* | 31,300 | 586,249 | ||||||
FARO Technologies, Inc.* | 18,384 | 858,533 | ||||||
II-VI, Inc.* | 54,362 | 1,031,791 | ||||||
Insight Enterprises, Inc.* | 40,735 | 1,218,384 | ||||||
Itron, Inc.* | 37,400 | 1,288,056 | ||||||
Littelfuse, Inc. | 23,725 | 2,251,265 | ||||||
Mercury Systems, Inc.* | 34,008 | 497,877 | ||||||
Methode Electronics, Inc. | 40,266 | 1,105,302 | ||||||
MTS Systems Corp. | 15,735 | 1,084,928 | ||||||
Newport Corp.* | 41,408 | 785,096 | ||||||
OSI Systems, Inc.* | 19,600 | 1,387,484 | ||||||
Park Electrochemical Corp. | 20,444 | 391,707 | ||||||
Plexus Corp.* | 35,320 | 1,549,842 | ||||||
Rofin-Sinar Technologies, Inc.* | 29,500 | 814,200 | ||||||
Rogers Corp.* | 19,631 | 1,298,394 | ||||||
Sanmina Corp.* | 85,900 | 1,731,744 | ||||||
ScanSource, Inc.* | 30,033 | 1,143,056 | ||||||
SYNNEX Corp. | 29,550 | 2,162,764 | ||||||
TTM Technologies, Inc.* | 62,889 | 628,261 | ||||||
29,877,789 | ||||||||
Energy Equipment & Services — 1.7% | ||||||||
Basic Energy Services, Inc.* | 35,517 | 268,153 | ||||||
Bristow Group, Inc. | 36,655 | 1,953,711 | ||||||
CARBO Ceramics, Inc.(a) | 20,900 | 870,067 | ||||||
Era Group, Inc.*(a) | 20,371 | 417,198 | ||||||
Exterran Holdings, Inc. | 72,600 | 2,370,390 | ||||||
Geospace Technologies Corp.*(a) | 13,910 | 320,626 | ||||||
Gulf Island Fabrication, Inc. | 13,677 | 152,772 | ||||||
GulfMark Offshore, Inc. (Class A Stock)(a) | 26,300 | 305,080 | ||||||
Hornbeck Offshore Services, Inc.*(a) | 33,315 | 683,957 | ||||||
ION Geophysical Corp.* | 134,445 | 143,856 | ||||||
Matrix Service Co.* | 27,973 | 511,346 | ||||||
Newpark Resources, Inc.* | 84,000 | 682,920 | ||||||
Pioneer Energy Services Corp.* | 67,217 | 426,156 | ||||||
SEACOR Holdings, Inc.*(a) | 18,171 | 1,289,051 | ||||||
Tesco Corp. | 34,500 | 376,050 | ||||||
TETRA Technologies, Inc.* | 78,341 | 499,816 | ||||||
U.S. Silica Holdings, Inc. | 56,200 | 1,650,032 | ||||||
12,921,181 | ||||||||
Food & Staples Retailing — 0.3% | ||||||||
Andersons, Inc. (The) | 28,024 | 1,092,936 | ||||||
SpartanNash Co. | 39,506 | 1,285,525 | ||||||
2,378,461 | ||||||||
Food Products — 1.7% | ||||||||
B&G Foods, Inc. | 60,800 | 1,734,624 | ||||||
Cal-Maine Foods, Inc.(a) | 31,590 | 1,648,998 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Food Products (continued) | ||||||||
Calavo Growers, Inc. | 16,290 | $ | 845,940 | |||||
Darling Ingredients, Inc.* | 173,520 | 2,543,803 | ||||||
Diamond Foods, Inc.* | 27,749 | 870,764 | ||||||
J&J Snack Foods Corp. | 15,718 | 1,739,511 | ||||||
Sanderson Farms, Inc.(a) | 21,035 | 1,580,991 | ||||||
Seneca Foods Corp. (Class A Stock)* | 6,900 | 191,613 | ||||||
Snyder’s-Lance, Inc. | 54,916 | 1,772,139 | ||||||
12,928,383 | ||||||||
Gas Utilities — 1.8% | ||||||||
Laclede Group, Inc. (The) | 45,514 | 2,369,459 | ||||||
New Jersey Resources Corp. | 89,808 | 2,474,210 | ||||||
Northwest Natural Gas Co. | 28,665 | 1,209,090 | ||||||
Piedmont Natural Gas Co., Inc. | 83,003 | 2,930,836 | ||||||
South Jersey Industries, Inc. | 71,544 | 1,769,283 | ||||||
Southwest Gas Corp.(a) | 49,211 | 2,618,517 | ||||||
13,371,395 | ||||||||
Health Care Equipment & Supplies — 4.6% |
| |||||||
Abaxis, Inc. | 22,312 | 1,148,622 | ||||||
ABIOMED, Inc.* | 39,500 | 2,596,335 | ||||||
Analogic Corp. | 13,133 | 1,036,194 | ||||||
AngioDynamics, Inc.* | 27,000 | 442,800 | ||||||
Anika Therapeutics, Inc.* | 15,400 | 508,662 | ||||||
Cantel Medical Corp. | 37,162 | 1,994,484 | ||||||
CONMED Corp. | 29,049 | 1,692,685 | ||||||
CryoLife, Inc. | 26,353 | 297,262 | ||||||
Cyberonics, Inc.* | 27,297 | 1,623,079 | ||||||
Cynosure, Inc. (Class A Stock)* | 23,290 | 898,528 | ||||||
Greatbatch, Inc.* | 26,744 | 1,442,036 | ||||||
Haemonetics Corp.* | 54,294 | 2,245,600 | ||||||
ICU Medical, Inc.* | 14,592 | 1,395,871 | ||||||
Integra LifeSciences Holdings Corp.* | 26,602 | 1,792,177 | ||||||
Invacare Corp. | 30,802 | 666,247 | ||||||
Masimo Corp.* | 50,000 | 1,937,000 | ||||||
Meridian Bioscience, Inc. | 43,675 | 814,102 | ||||||
Merit Medical Systems, Inc.*(a) | 46,048 | 991,874 | ||||||
Natus Medical, Inc.* | 34,725 | 1,477,896 | ||||||
Neogen Corp.* | 39,020 | 1,851,109 | ||||||
NuVasive, Inc.* | 50,800 | 2,406,904 | ||||||
SurModics, Inc.* | 13,552 | 317,388 | ||||||
Vascular Solutions, Inc.* | 16,600 | 576,352 | ||||||
West Pharmaceutical Services, Inc. | 75,634 | 4,392,823 | ||||||
34,546,030 | ||||||||
Health Care Providers & Services — 3.6% |
| |||||||
Aceto Corp. | 28,800 | 709,344 | ||||||
Air Methods Corp.*(a) | 37,716 | 1,559,179 | ||||||
Almost Family, Inc.* | 8,252 | 329,337 | ||||||
Amedisys, Inc.*(a) | 35,359 | 1,404,813 | ||||||
AMN Healthcare Services, Inc.* | 49,599 | 1,566,832 | ||||||
Amsurg Corp.* | 50,874 | 3,558,636 | ||||||
Bio-Reference Laboratories, Inc.* | 25,970 | 1,071,262 | ||||||
Chemed Corp. | 18,011 | 2,361,242 | ||||||
CorVel Corp.* | 9,290 | 297,466 | ||||||
Cross Country Healthcare, Inc.* | 31,263 | 396,415 | ||||||
Ensign Group, Inc. (The) | 24,100 | 1,230,546 | ||||||
ExamWorks Group, Inc.* | 36,900 | 1,442,790 | ||||||
Hanger, Inc.* | 37,009 | 867,491 |
SEE NOTES TO FINANCIAL STATEMENTS.
A144
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Health Care Providers & Services (continued) |
| |||||||
HealthEquity, Inc.* | 35,800 | $ | 1,147,390 | |||||
Healthways, Inc.* | 36,986 | 443,092 | ||||||
IPC Healthcare, Inc.* | 18,305 | 1,013,914 | ||||||
Kindred Healthcare, Inc. | 87,678 | 1,778,987 | ||||||
Landauer, Inc. | 10,168 | 362,388 | ||||||
LHC Group, Inc.* | 12,898 | 493,349 | ||||||
Magellan Health, Inc.* | 28,741 | 2,013,882 | ||||||
PharMerica Corp.* | 31,695 | 1,055,444 | ||||||
Providence Service Corp. (The)* | 12,600 | 557,928 | ||||||
Select Medical Holdings Corp. | 101,900 | 1,650,780 | ||||||
27,312,507 | ||||||||
Health Care Technology — 1.1% | ||||||||
Computer Programs & Systems, Inc.(a) | 11,036 | 589,543 | ||||||
HealthStream, Inc.* | 25,300 | 769,626 | ||||||
MedAssets, Inc.* | 63,500 | 1,400,810 | ||||||
Medidata Solutions, Inc.*(a) | 58,100 | 3,155,992 | ||||||
Omnicell, Inc.* | 38,122 | 1,437,581 | ||||||
Quality Systems, Inc. | 46,034 | 762,783 | ||||||
8,116,335 | ||||||||
Hotels, Restaurants & Leisure — 4.1% | ||||||||
Biglari Holdings, Inc.* | 1,836 | 759,645 | ||||||
BJ’s Restaurants, Inc.* | 22,872 | 1,108,148 | ||||||
Bob Evans Farms, Inc. | 24,900 | 1,271,145 | ||||||
Boyd Gaming Corp.* | 82,900 | 1,239,355 | ||||||
Cracker Barrel Old Country Store, Inc.(a) | 25,178 | 3,755,551 | ||||||
DineEquity, Inc. | 17,405 | 1,724,661 | ||||||
Interval Leisure Group, Inc. | 41,636 | 951,383 | ||||||
Jack in the Box, Inc. | 39,317 | 3,466,187 | ||||||
Marcus Corp. (The) | 19,358 | 371,286 | ||||||
Marriott Vacations Worldwide Corp. | 29,000 | 2,660,750 | ||||||
Monarch Casino & Resort, Inc.* | 10,531 | 216,517 | ||||||
Papa John’s International, Inc. | 30,930 | 2,338,617 | ||||||
Pinnacle Entertainment, Inc.* | 63,613 | 2,371,493 | ||||||
Popeyes Louisiana Kitchen, Inc.* | 24,300 | 1,457,757 | ||||||
Red Robin Gourmet Burgers, Inc.* | 14,863 | 1,275,543 | ||||||
Ruby Tuesday, Inc.* | 65,184 | 408,704 | ||||||
Ruth’s Hospitality Group, Inc. | 36,448 | 587,542 | ||||||
Scientific Games Corp. | 51,800 | 804,972 | ||||||
Sonic Corp. | 51,914 | 1,495,123 | ||||||
Texas Roadhouse, Inc. | 66,230 | 2,478,989 | ||||||
30,743,368 | ||||||||
Household Durables — 1.9% | ||||||||
Ethan Allen Interiors, Inc.(a) | 27,299 | 719,056 | ||||||
Helen of Troy Ltd.* | 28,210 | 2,750,193 | ||||||
iRobot Corp.*(a) | 31,300 | 997,844 | ||||||
La-Z-Boy, Inc. | 53,801 | 1,417,118 | ||||||
M/I Homes, Inc.* | 25,670 | 633,279 | ||||||
Meritage Homes Corp.* | 39,497 | 1,859,914 | ||||||
Ryland Group, Inc. (The)(a) | 49,200 | 2,281,404 | ||||||
Standard Pacific Corp.*(a) | 154,422 | 1,375,900 | ||||||
TopBuild Corp.* | 37,500 | 1,087,500 | ||||||
Universal Electronics, Inc.* | 16,654 | 830,035 | ||||||
13,952,243 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Household Products — 0.2% | ||||||||
Central Garden & Pet Co. (Class A Stock)* | 41,188 | $ | 469,955 | |||||
WD-40 Co. | 14,409 | 1,255,889 | ||||||
1,725,844 | ||||||||
Insurance — 2.6% | ||||||||
American Equity Investment Life Holding Co. | 81,000 | 2,185,380 | ||||||
AMERISAFE, Inc. | 19,914 | 937,153 | ||||||
eHealth, Inc.* | 18,291 | 232,113 | ||||||
Employers Holdings, Inc. | 33,015 | 752,082 | ||||||
HCI Group, Inc. | 9,500 | 419,995 | ||||||
Horace Mann Educators Corp. | 43,300 | 1,575,254 | ||||||
Infinity Property & Casualty Corp. | 12,089 | 916,830 | ||||||
Meadowbrook Insurance Group, Inc. | 48,600 | 417,960 | ||||||
Montpelier Re Holdings Ltd. (Bermuda) | 39,100 | 1,544,450 | ||||||
Navigators Group, Inc. (The)* | 11,518 | 893,336 | ||||||
ProAssurance Corp. | 57,866 | 2,673,988 | ||||||
RLI Corp. | 39,010 | 2,004,724 | ||||||
Safety Insurance Group, Inc. | 13,360 | 771,006 | ||||||
Selective Insurance Group, Inc. | 59,907 | 1,680,391 | ||||||
Stewart Information Services Corp. | 23,302 | 927,419 | ||||||
United Fire Group, Inc. | 22,061 | 722,718 | ||||||
United Insurance Holdings Corp. | 17,400 | 270,396 | ||||||
Universal Insurance Holdings, Inc. | 31,500 | 762,300 | ||||||
19,687,495 | ||||||||
Internet & Catalog Retail — 0.3% | ||||||||
Blue Nile, Inc.* | 12,480 | 379,267 | ||||||
FTD Cos., Inc.* | 19,206 | 541,417 | ||||||
Nutrisystem, Inc. | 30,628 | 762,025 | ||||||
PetMed Express, Inc.(a) | 21,181 | 365,796 | ||||||
2,048,505 | ||||||||
Internet Software & Services — 2.0% | ||||||||
Blucora, Inc.*(a) | 42,812 | 691,414 | ||||||
comScore, Inc.* | 35,477 | 1,889,505 | ||||||
Dealertrack Technologies, Inc.*(a) | 47,283 | 2,968,900 | ||||||
DHI Group, Inc.* | 39,800 | 353,822 | ||||||
j2 Global, Inc. | 48,178 | 3,273,213 | ||||||
Liquidity Services, Inc.* | 22,400 | 215,712 | ||||||
LivePerson, Inc.* | 51,900 | 509,139 | ||||||
LogMeIn, Inc.* | 25,800 | 1,663,842 | ||||||
Monster Worldwide, Inc.* | 90,100 | 589,254 | ||||||
NIC, Inc. | 64,000 | 1,169,920 | ||||||
QuinStreet, Inc.* | 36,100 | 232,845 | ||||||
Stamps.com, Inc.* | 15,920 | 1,171,234 | ||||||
XO Group, Inc.* | 24,795 | 405,398 | ||||||
15,134,198 | ||||||||
IT Services — 2.0% | ||||||||
CACI International, Inc. (Class A Stock)* | 25,444 | 2,058,165 | ||||||
Cardtronics, Inc.* | 47,100 | 1,745,055 | ||||||
Ciber, Inc.* | 73,923 | 255,034 | ||||||
CSG Systems International, Inc. | 34,424 | 1,089,864 | ||||||
ExlService Holdings, Inc.* | 33,300 | 1,151,514 | ||||||
Forrester Research, Inc. | 11,362 | 409,259 |
SEE NOTES TO FINANCIAL STATEMENTS.
A145
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
IT Services (continued) | ||||||||
Heartland Payment Systems, Inc. | 38,411 | $ | 2,076,115 | |||||
IGATE Corp.* | 37,400 | 1,783,606 | ||||||
ManTech International Corp. (Class A Stock) | 24,900 | 722,100 | ||||||
Perficient, Inc.* | 36,914 | 710,225 | ||||||
Sykes Enterprises, Inc.* | 40,970 | 993,523 | ||||||
TeleTech Holdings, Inc. | 18,267 | 494,670 | ||||||
Virtusa Corp.* | 28,400 | 1,459,760 | ||||||
14,948,890 | ||||||||
Leisure Products — 0.3% | ||||||||
Arctic Cat, Inc. | 13,657 | 453,549 | ||||||
Callaway Golf Co. | 81,280 | 726,643 | ||||||
Sturm Ruger & Co., Inc. | 19,727 | 1,133,316 | ||||||
2,313,508 | ||||||||
Life Sciences Tools & Services — 1.0% | ||||||||
Affymetrix, Inc.*(a) | 80,800 | 882,336 | ||||||
Albany Molecular Research, Inc.*(a) | 25,100 | 507,522 | ||||||
Cambrex Corp.* | 32,832 | 1,442,638 | ||||||
Luminex Corp.* | 40,200 | 693,852 | ||||||
PAREXEL International Corp.* | 57,957 | 3,727,215 | ||||||
7,253,563 | ||||||||
Machinery — 3.6% | ||||||||
Actuant Corp. (Class A Stock) | 62,664 | 1,446,912 | ||||||
Albany International Corp. (Class A Stock) | 30,204 | 1,202,119 | ||||||
Astec Industries, Inc. | 19,910 | 832,636 | ||||||
Barnes Group, Inc. | 51,816 | 2,020,306 | ||||||
Briggs & Stratton Corp. | 46,846 | 902,254 | ||||||
CIRCOR International, Inc. | 17,988 | 980,886 | ||||||
EnPro Industries, Inc. | 23,978 | 1,372,021 | ||||||
ESCO Technologies, Inc. | 27,421 | 1,025,820 | ||||||
Federal Signal Corp. | 65,400 | 975,114 | ||||||
Harsco Corp. | 77,900 | 1,285,350 | ||||||
Hillenbrand, Inc. | 66,348 | 2,036,884 | ||||||
John Bean Technologies Corp. | 30,747 | 1,155,780 | ||||||
Lindsay Corp.(a) | 12,479 | 1,097,029 | ||||||
Lydall, Inc.* | 17,856 | 527,823 | ||||||
Mueller Industries, Inc. | 59,798 | 2,076,186 | ||||||
Standex International Corp. | 13,470 | 1,076,657 | ||||||
Tennant Co. | 19,400 | 1,267,596 | ||||||
Titan International, Inc. | 53,200 | 571,368 | ||||||
Toro Co. (The) | 57,866 | 3,922,157 | ||||||
Watts Water Technologies, Inc. (Class A Stock) | 29,721 | 1,541,034 | ||||||
27,315,932 | ||||||||
Marine — 0.3% | ||||||||
Matson, Inc. | 45,600 | 1,917,024 | ||||||
Media — 0.6% | ||||||||
EW Scripps Co. (The) (Class A Stock) | 55,201 | 1,261,343 | ||||||
Gannett Co., Inc.* | 111,700 | 1,562,683 | ||||||
Harte-Hanks, Inc. | 44,100 | 262,836 | ||||||
Scholastic Corp. | 28,200 | 1,244,466 | ||||||
Sizmek, Inc.* | 18,200 | 129,220 | ||||||
4,460,548 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Metals & Mining — 1.2% | ||||||||
A.M. Castle & Co.*(a) | 17,983 | $ | 110,955 | |||||
AK Steel Holding Corp.*(a) | 186,600 | 722,142 | ||||||
Century Aluminum Co.*(a) | 51,063 | 532,587 | ||||||
Globe Specialty Metals, Inc. | 67,300 | 1,191,210 | ||||||
Haynes International, Inc. | 13,200 | 651,024 | ||||||
Kaiser Aluminum Corp.(a) | 18,300 | 1,520,364 | ||||||
Materion Corp. | 21,178 | 746,524 | ||||||
Olympic Steel, Inc. | 9,638 | 168,087 | ||||||
RTI International Metals, Inc.* | 32,311 | 1,018,443 | ||||||
Stillwater Mining Co.*(a) | 124,300 | 1,440,637 | ||||||
SunCoke Energy, Inc. | 67,500 | 877,500 | ||||||
8,979,473 | ||||||||
Multi-Utilities — 0.6% | ||||||||
Avista Corp. | 60,203 | 1,845,222 | ||||||
NorthWestern Corp. | 49,400 | 2,408,250 | ||||||
4,253,472 | ||||||||
Multiline Retail — 0.2% | ||||||||
Fred’s, Inc. (Class A Stock) | 36,366 | 701,500 | ||||||
Tuesday Morning Corp.*(a) | 45,932 | 517,424 | ||||||
1,218,924 | ||||||||
Oil, Gas & Consumable Fuels — 1.4% | ||||||||
Approach Resources, Inc.*(a) | 39,100 | 267,835 | ||||||
Bill Barrett Corp.* | 51,800 | 444,962 | ||||||
Bonanza Creek Energy, Inc.* | 40,400 | 737,300 | ||||||
Carrizo Oil & Gas, Inc.* | 49,800 | 2,452,152 | ||||||
Cloud Peak Energy, Inc.*(a) | 64,000 | 298,240 | ||||||
Comstock Resources, Inc.(a) | 46,400 | 154,512 | ||||||
Contango Oil & Gas Co.* | 16,500 | 202,455 | ||||||
Green Plains, Inc. | 36,100 | 994,555 | ||||||
Northern Oil & Gas, Inc.*(a) | 59,900 | 405,523 | ||||||
PDC Energy, Inc.*(a) | 42,126 | 2,259,639 | ||||||
Penn Virginia Corp.*(a) | 74,498 | 326,301 | ||||||
PetroQuest Energy, Inc.* | 44,245 | 87,605 | ||||||
Rex Energy Corp.*(a) | 52,100 | 291,239 | ||||||
Stone Energy Corp.*(a) | 58,594 | 737,699 | ||||||
Swift Energy Co.*(a) | 46,344 | 94,078 | ||||||
Synergy Resources Corp.* | 92,400 | 1,056,132 | ||||||
10,810,227 | ||||||||
Paper & Forest Products — 1.2% | ||||||||
Boise Cascade Co.* | 41,500 | 1,522,220 | ||||||
Clearwater Paper Corp.* | 20,080 | 1,150,584 | ||||||
Deltic Timber Corp. | 11,691 | 790,779 | ||||||
KapStone Paper & Packaging Corp. | 88,800 | 2,053,056 | ||||||
Neenah Paper, Inc. | 17,578 | 1,036,399 | ||||||
P.H. Glatfelter Co. | 45,400 | 998,346 | ||||||
Schweitzer-Mauduit International, Inc. | 32,076 | 1,279,191 | ||||||
Wausau Paper Corp. | 48,867 | 448,599 | ||||||
9,279,174 | ||||||||
Personal Products — 0.1% | ||||||||
Inter Parfums, Inc. | 18,000 | 610,740 | ||||||
Medifast, Inc.* | 11,900 | 384,608 | ||||||
995,348 | ||||||||
Pharmaceuticals — 1.9% | ||||||||
ANI Pharmaceuticals, Inc.*(a) | 8,700 | 539,835 | ||||||
Depomed, Inc.*(a) | 62,800 | 1,347,688 |
SEE NOTES TO FINANCIAL STATEMENTS.
A146
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Pharmaceuticals (continued) | ||||||||
Impax Laboratories, Inc.* | 70,100 | $ | 3,218,992 | |||||
Lannett Co., Inc.*(a) | 28,200 | 1,676,208 | ||||||
Medicines Co. (The)*(a) | 69,600 | 1,991,256 | ||||||
Nektar Therapeutics* | 138,100 | 1,727,631 | ||||||
Prestige Brands Holdings, Inc.* | 54,900 | 2,538,576 | ||||||
Sagent Pharmaceuticals, Inc.* | 23,800 | 578,578 | ||||||
Supernus Pharmaceuticals, Inc.* | 29,500 | 500,910 | ||||||
14,119,674 | ||||||||
Professional Services — 1.5% | ||||||||
CDI Corp. | 14,888 | 193,544 | ||||||
Exponent, Inc. | 27,080 | 1,212,643 | ||||||
Heidrick & Struggles International, Inc. | 17,314 | 451,549 | ||||||
Insperity, Inc. | 23,779 | 1,210,351 | ||||||
Kelly Services, Inc. (Class A Stock) | 31,139 | 477,984 | ||||||
Korn/Ferry International | 52,900 | 1,839,333 | ||||||
Navigant Consulting, Inc.* | 50,400 | 749,448 | ||||||
On Assignment, Inc.* | 48,886 | 1,920,242 | ||||||
Resources Connection, Inc. | 39,200 | 630,728 | ||||||
TrueBlue, Inc.* | 43,818 | 1,310,158 | ||||||
WageWorks, Inc.* | 34,900 | 1,411,705 | ||||||
11,407,685 | ||||||||
Real Estate Investment Trusts (REITs) — 7.6% |
| |||||||
Acadia Realty Trust | 72,305 | 2,104,798 | ||||||
Agree Realty Corp. | 18,500 | 539,645 | ||||||
American Assets Trust, Inc. | 39,100 | 1,533,111 | ||||||
Associated Estates Realty Corp. | 60,800 | 1,740,704 | ||||||
Capstead Mortgage Corp. | 98,000 | 1,087,800 | ||||||
CareTrust REIT, Inc. | 29,455 | 373,195 | ||||||
Cedar Realty Trust, Inc. | 77,366 | 495,142 | ||||||
Chesapeake Lodging Trust | 62,700 | 1,911,096 | ||||||
CoreSite Realty Corp. | 27,800 | 1,263,232 | ||||||
Cousins Properties, Inc. | 213,400 | 2,215,092 | ||||||
DiamondRock Hospitality Co. | 208,570 | 2,671,782 | ||||||
EastGroup Properties, Inc. | 33,963 | 1,909,739 | ||||||
Education Realty Trust, Inc. | 50,633 | 1,587,851 | ||||||
EPR Properties | 60,070 | 3,290,635 | ||||||
Franklin Street Properties Corp. | 91,002 | 1,029,233 | ||||||
GEO Group, Inc. (The) | 78,173 | 2,670,390 | ||||||
Getty Realty Corp. | 27,300 | 446,628 | ||||||
Government Properties Income Trust(a) | 73,800 | 1,368,990 | ||||||
Healthcare Realty Trust, Inc. | 104,800 | 2,437,648 | ||||||
Inland Real Estate Corp. | 92,735 | 873,564 | ||||||
Kite Realty Group Trust | 87,772 | 2,147,781 | ||||||
Lexington Realty Trust(a) | 222,716 | 1,888,632 | ||||||
LTC Properties, Inc. | 37,326 | 1,552,762 | ||||||
Medical Properties Trust, Inc. | 217,266 | 2,848,357 | ||||||
Parkway Properties, Inc. | 88,748 | 1,547,765 | ||||||
Pennsylvania Real Estate Investment Trust | 72,422 | 1,545,485 | ||||||
Post Properties, Inc. | 57,361 | 3,118,718 | ||||||
PS Business Parks, Inc. | 20,402 | 1,472,004 | ||||||
Retail Opportunity Investments Corp. | 98,300 | 1,535,446 | ||||||
Sabra Health Care REIT, Inc. | 68,400 | 1,760,616 | ||||||
Saul Centers, Inc. | 11,900 | 585,361 | ||||||
Sovran Self Storage, Inc. | 37,697 | 3,276,246 | ||||||
Summit Hotel Properties, Inc. | 90,700 | 1,180,007 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Real Estate Investment Trusts (REITs) (continued) |
| |||||||
Universal Health Realty Income Trust | 14,100 | $ | 655,086 | |||||
Urstadt Biddle Properties, Inc. | 29,350 | 548,258 | ||||||
57,212,799 | ||||||||
Real Estate Management & Development — 0.1% |
| |||||||
Forestar Group, Inc.*(a) | 35,256 | 463,969 | ||||||
Road & Rail — 0.8% | ||||||||
ArcBest Corp. | 25,395 | 807,561 | ||||||
Celadon Group, Inc. | 28,600 | 591,448 | ||||||
Heartland Express, Inc. | 58,048 | 1,174,311 | ||||||
Knight Transportation, Inc. | 64,788 | 1,732,431 | ||||||
Roadrunner Transportation Systems, Inc.* | 29,300 | 755,940 | ||||||
Saia, Inc.* | 26,400 | 1,037,256 | ||||||
6,098,947 | ||||||||
Semiconductors & Semiconductor Equipment — 3.7% |
| |||||||
Advanced Energy Industries, Inc.* | 40,297 | 1,107,765 | ||||||
Brooks Automation, Inc. | 70,405 | 806,137 | ||||||
Cabot Microelectronics Corp.* | 26,011 | 1,225,378 | ||||||
CEVA, Inc.* | 21,300 | 413,859 | ||||||
Cirrus Logic, Inc.* | 66,600 | 2,266,398 | ||||||
Cohu, Inc. | 26,897 | 355,847 | ||||||
Diodes, Inc.* | 38,670 | 932,334 | ||||||
DSP Group, Inc.* | 22,728 | 234,780 | ||||||
Exar Corp.* | 49,723 | 486,291 | ||||||
Kopin Corp.* | 62,996 | 217,336 | ||||||
Kulicke & Soffa Industries, Inc. (Singapore)* | 78,032 | 913,755 | ||||||
Micrel, Inc. | 46,902 | 651,938 | ||||||
Microsemi Corp.* | 100,019 | 3,495,664 | ||||||
MKS Instruments, Inc. | 56,085 | 2,127,865 | ||||||
Monolithic Power Systems, Inc. | 38,600 | 1,957,406 | ||||||
Nanometrics, Inc.* | 25,100 | 404,612 | ||||||
Pericom Semiconductor Corp. | 21,160 | 278,254 | ||||||
Power Integrations, Inc. | 31,000 | 1,400,580 | ||||||
Rudolph Technologies, Inc.*(a) | 30,994 | 372,238 | ||||||
Semtech Corp.* | 64,600 | 1,282,310 | ||||||
Synaptics, Inc.* | 38,679 | 3,354,823 | ||||||
Tessera Technologies, Inc. | 49,177 | 1,867,743 | ||||||
Ultratech, Inc.*(a) | 28,711 | 532,876 | ||||||
Veeco Instruments, Inc.*(a) | 42,342 | 1,216,909 | ||||||
27,903,098 | ||||||||
Software — 2.3% | ||||||||
Blackbaud, Inc. | 49,283 | 2,806,667 | ||||||
Bottomline Technologies (de), Inc.* | 39,600 | 1,101,276 | ||||||
Ebix, Inc.(a) | 29,457 | 960,593 | ||||||
Epiq Systems, Inc. | 33,317 | 562,391 | ||||||
Interactive Intelligence Group, Inc.*(a) | 18,079 | 803,973 | ||||||
MicroStrategy, Inc. (Class A Stock)* | 9,560 | 1,625,965 | ||||||
Monotype Imaging Holdings, Inc. | 42,000 | 1,012,620 | ||||||
NetScout Systems, Inc.*(a) | 38,995 | 1,429,947 | ||||||
Progress Software Corp.* | 53,147 | 1,461,542 | ||||||
Synchronoss Technologies, Inc.*(a) | 38,600 | 1,765,178 | ||||||
Take-Two Interactive Software, Inc.* | 88,912 | 2,451,304 | ||||||
Tangoe, Inc.* | 38,400 | 483,072 |
SEE NOTES TO FINANCIAL STATEMENTS.
A147
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Software (continued) | ||||||||
VASCO Data Security International, Inc.*(a) | 30,700 | $ | 926,833 | |||||
17,391,361 | ||||||||
Specialty Retail — 4.1% | ||||||||
Barnes & Noble, Inc.*(a) | 47,800 | 1,240,888 | ||||||
Big 5 Sporting Goods Corp. | 19,137 | 271,937 | ||||||
Buckle, Inc. (The)(a) | 29,659 | 1,357,492 | ||||||
Caleres, Inc. | 45,934 | 1,459,783 | ||||||
Cato Corp. (The) (Class A Stock) | 27,003 | 1,046,636 | ||||||
Children’s Place, Inc. (The) | 21,665 | 1,417,108 | ||||||
Christopher & Banks Corp.* | 38,378 | 153,896 | ||||||
Finish Line, Inc. (The) (Class A Stock) | 47,846 | 1,331,076 | ||||||
Francesca’s Holdings Corp.*(a) | 44,300 | 596,721 | ||||||
Genesco, Inc.* | 25,322 | 1,672,012 | ||||||
Group 1 Automotive, Inc. | 22,464 | 2,040,405 | ||||||
Haverty Furniture Cos., Inc. | 21,541 | 465,716 | ||||||
Hibbett Sports, Inc.*(a) | 25,896 | 1,206,236 | ||||||
Kirkland’s, Inc. | 15,600 | 434,772 | ||||||
Lithia Motors, Inc. (Class A Stock) | 24,130 | 2,730,551 | ||||||
Lumber Liquidators Holdings, Inc.*(a) | 28,322 | 586,549 | ||||||
MarineMax, Inc.* | 26,542 | 624,002 | ||||||
Men’s Wearhouse, Inc. (The) | 48,167 | 3,086,060 | ||||||
Monro Muffler Brake, Inc. | 33,372 | 2,074,403 | ||||||
Outerwall, Inc. | 19,431 | 1,478,893 | ||||||
Pep Boys-Manny Moe & Jack (The)* | 56,326 | 691,120 | ||||||
Select Comfort Corp.* | 54,900 | 1,650,843 | ||||||
Sonic Automotive, Inc. (Class A Stock) | 34,547 | 823,255 | ||||||
Stage Stores, Inc. | 33,079 | 579,875 | ||||||
Stein Mart, Inc. | 29,583 | 309,734 | ||||||
Vitamin Shoppe, Inc.* | 31,300 | 1,166,551 | ||||||
Zumiez, Inc.* | 22,750 | 605,832 | ||||||
31,102,346 | ||||||||
Technology Hardware, Storage & Peripherals — 0.6% |
| |||||||
Electronics For Imaging, Inc.* | 49,300 | 2,145,043 | ||||||
QLogic Corp.* | 91,600 | 1,299,804 | ||||||
Super Micro Computer, Inc.* | 37,700 | 1,115,166 | ||||||
4,560,013 | ||||||||
Textiles, Apparel & Luxury Goods — 1.8% |
| |||||||
Crocs, Inc.* | 79,643 | 1,171,548 | ||||||
G-III Apparel Group Ltd.* | 40,200 | 2,828,070 | ||||||
Iconix Brand Group, Inc.*(a) | 50,131 | 1,251,771 | ||||||
Movado Group, Inc. | 18,017 | 489,342 | ||||||
Oxford Industries, Inc. | 15,316 | 1,339,384 | ||||||
Perry Ellis International, Inc.* | 12,579 | 299,003 | ||||||
Steven Madden Ltd.* | 58,700 | 2,511,186 | ||||||
Unifi, Inc.* | 15,200 | 509,200 | ||||||
Wolverine World Wide, Inc. | 108,454 | 3,088,770 | ||||||
13,488,274 | ||||||||
Thrifts & Mortgage Finance — 1.2% | ||||||||
Astoria Financial Corp. | 92,700 | 1,278,333 | ||||||
Bank Mutual Corp. | 45,335 | 347,720 | ||||||
BofI Holding, Inc.*(a) | 14,200 | 1,501,082 | ||||||
Brookline Bancorp, Inc. | 73,732 | 832,434 | ||||||
Dime Community Bancshares, Inc. | 31,781 | 538,370 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Thrifts & Mortgage Finance (continued) |
| |||||||
Northwest Bancshares, Inc. | 97,000 | $ | 1,243,540 | |||||
Oritani Financial Corp. | 39,000 | 625,950 | ||||||
Provident Financial Services, Inc.(a) | 56,700 | 1,076,733 | ||||||
TrustCo Bank Corp. NY | 99,395 | 698,747 | ||||||
Walker & Dunlop, Inc.* | 27,900 | 746,046 | ||||||
8,888,955 | ||||||||
Tobacco — 0.2% | ||||||||
Universal Corp. | 23,800 | 1,364,216 | ||||||
Trading Companies & Distributors — 0.5% |
| |||||||
Applied Industrial Technologies, Inc. | 42,228 | 1,674,340 | ||||||
DXP Enterprises, Inc.* | 13,300 | 618,450 | ||||||
Kaman Corp. | 28,722 | 1,204,601 | ||||||
Veritiv Corp.* | 8,500 | 309,910 | ||||||
3,807,301 | ||||||||
Water Utilities — 0.2% | ||||||||
American States Water Co. | 39,652 | 1,482,588 | ||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
Spok Holdings, Inc. | 22,780 | 383,615 | ||||||
TOTAL COMMON STOCKS |
| 735,715,381 | ||||||
EXCHANGE TRADED FUND — 0.7% | ||||||||
iShares Core S&P Small-Cap ETF(a) (cost $3,479,366) | 43,800 | 5,163,144 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 740,878,525 | ||||||
SHORT-TERM INVESTMENTS — 12.6% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND — 12.5% |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $93,644,242; includes $86,589,727 of cash collateral for securities on loan) (Note 4)(b)(c) | 93,644,242 | 93,644,242 | ||||||
Principal Amount (000)# | ||||||||
U.S. TREASURY OBLIGATION — 0.1% | ||||||||
U.S. Treasury Bill, 0.152%, 09/17/15 (cost $749,756)(d)(e) | 750 | 750,000 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
| 94,394,242 | ||||||
TOTAL INVESTMENTS — 111.3% |
| 835,272,767 | ||||||
LIABILITIES IN EXCESS OF |
| (84,470,231 | ) | |||||
NET ASSETS — 100.0% |
| $ | 750,802,536 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A148
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
See the Glossary for abbreviations used in the Portfolio descriptions.
* | Non-income producing security. |
# | Principal amount shown in U.S. dollars unless otherwise stated. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $84,464,857; cash collateral of $86,589,727 (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) | 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, 2015:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2015 | Unrealized Depreciation(1) | |||||||||||||
Long Position: | ||||||||||||||||||
78 | Russell 2000 Mini Index | Sep. 2015 | $ | 9,863,379 | $ | 9,753,120 | $ | (110,259 | ) | |||||||||
(1) | A U.S. Treasury Obligation with a market value of $750,000 has been segregated with UBS AG to cover requirements for open contracts at June 30, 2015. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1—quoted | prices generally in active markets for identical securities. |
Level 2—quoted | prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3—unobservable | inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
| |||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 13,702,740 | $ | — | $ | — | ||||||
Air Freight & Logistics | 6,374,123 | — | — | |||||||||
Airlines | 5,182,173 | — | — | |||||||||
Auto Components | 6,294,660 | — | — | |||||||||
Automobiles | 663,610 | — | — | |||||||||
Banks | 62,074,341 | — | — | |||||||||
Biotechnology | 8,666,187 | — | — | |||||||||
Building Products | 8,687,167 | — | — | |||||||||
Capital Markets | 12,379,827 | — | — | |||||||||
Chemicals | 16,853,011 | — | — | |||||||||
Commercial Services & Supplies | 20,655,519 | — | — | |||||||||
Communications Equipment | 8,164,494 | — | — | |||||||||
Construction & Engineering | 7,818,034 | — | — | |||||||||
Construction Materials | 1,409,645 | — | — | |||||||||
Consumer Finance | 8,575,741 | — | — | |||||||||
Containers & Packaging | 486,780 | — | — | |||||||||
Distributors | 3,389,144 | — | — | |||||||||
Diversified Consumer Services | 2,676,088 | — | — | |||||||||
Diversified Financial Services | 3,636,584 | — | — | |||||||||
Diversified Telecommunication Services | 4,999,690 | — | — | |||||||||
Electric Utilities | 6,402,163 | — | — | |||||||||
Electrical Equipment | 8,459,002 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 29,877,789 | — | — | |||||||||
Energy Equipment & Services | 12,921,181 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A149
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Food & Staples Retailing | $ | 2,378,461 | $ | — | $ | — | ||||||
Food Products | 12,928,383 | — | — | |||||||||
Gas Utilities | 13,371,395 | — | — | |||||||||
Health Care Equipment & Supplies | 34,546,030 | — | — | |||||||||
Health Care Providers & Services | 27,312,507 | — | — | |||||||||
Health Care Technology | 8,116,335 | — | — | |||||||||
Hotels, Restaurants & Leisure | 30,743,368 | — | — | |||||||||
Household Durables | 13,952,243 | — | — | |||||||||
Household Products | 1,725,844 | — | — | |||||||||
Insurance | 19,687,495 | — | — | |||||||||
Internet & Catalog Retail | 2,048,505 | — | — | |||||||||
Internet Software & Services | 15,134,198 | — | — | |||||||||
IT Services | 14,948,890 | — | — | |||||||||
Leisure Products | 2,313,508 | — | — | |||||||||
Life Sciences Tools & Services | 7,253,563 | — | — | |||||||||
Machinery | 27,315,932 | — | — | |||||||||
Marine | 1,917,024 | — | — | |||||||||
Media | 4,460,548 | — | — | |||||||||
Metals & Mining | 8,979,473 | — | — | |||||||||
Multi-Utilities | 4,253,472 | — | — | |||||||||
Multiline Retail | 1,218,924 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 10,810,227 | — | — | |||||||||
Paper & Forest Products | 9,279,174 | — | — | |||||||||
Personal Products | 995,348 | — | — | |||||||||
Pharmaceuticals | 14,119,674 | — | — | |||||||||
Professional Services | 11,407,685 | — | — | |||||||||
Real Estate Investment Trusts (REITs) | 57,212,799 | — | — | |||||||||
Real Estate Management & Development | 463,969 | — | — | |||||||||
Road & Rail | 6,098,947 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 27,903,098 | — | — | |||||||||
Software | 17,391,361 | — | — | |||||||||
Specialty Retail | 31,102,346 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 4,560,013 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 13,488,274 | — | — | |||||||||
Thrifts & Mortgage Finance | 8,888,955 | — | — | |||||||||
Tobacco | 1,364,216 | — | — | |||||||||
Trading Companies & Distributors | 3,807,301 | — | — | |||||||||
Water Utilities | 1,482,588 | — | — | |||||||||
Wireless Telecommunication Services | 383,615 | — | — | |||||||||
Exchange Traded Fund | 5,163,144 | — | — | |||||||||
Affiliated Money Market Mutual Fund | 93,644,242 | — | — | |||||||||
U.S. Treasury Obligation | — | 750,000 | — | |||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | (110,259 | ) | — | — | ||||||||
Total | $ | 834,412,508 | $ | 750,000 | $ | — | ||||||
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and exchange-traded swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and over-the-counter swap contracts which are recorded at fair value. |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:
Affiliated Money Market Mutual Fund (including 11.5% of collateral for securities on loan) | 12.5 | % | ||
Banks | 8.3 | |||
Real Estate Investment Trusts (REITs) | 7.6 | |||
Health Care Equipment & Supplies | 4.6 | |||
Specialty Retail | 4.1 | |||
Hotels, Restaurants & Leisure | 4.1 | |||
Electronic Equipment, Instruments & Components | 4.0 | |||
Semiconductors & Semiconductor Equipment | 3.7 |
Machinery | 3.6 | % | ||
Health Care Providers & Services | 3.6 | |||
Commercial Services & Supplies | 2.7 | |||
Insurance | 2.6 | |||
Software | 2.3 | |||
Chemicals | 2.2 | |||
Internet Software & Services | 2.0 | |||
IT Services | 2.0 | |||
Pharmaceuticals | 1.9 |
SEE NOTES TO FINANCIAL STATEMENTS.
A150
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Household Durables | 1.9 | % | ||
Aerospace & Defense | 1.8 | |||
Textiles, Apparel & Luxury Goods | 1.8 | |||
Gas Utilities | 1.8 | |||
Food Products | 1.7 | |||
Energy Equipment & Services | 1.7 | |||
Capital Markets | 1.6 | |||
Professional Services | 1.5 | |||
Oil, Gas & Consumable Fuels | 1.4 | |||
Paper & Forest Products | 1.2 | |||
Metals & Mining | 1.2 | |||
Thrifts & Mortgage Finance | 1.2 | |||
Building Products | 1.2 | |||
Biotechnology | 1.2 | |||
Consumer Finance | 1.1 | |||
Electrical Equipment | 1.1 | |||
Communications Equipment | 1.1 | |||
Health Care Technology | 1.1 | |||
Construction & Engineering | 1.0 | |||
Life Sciences Tools & Services | 1.0 | |||
Electric Utilities | 0.9 | |||
Air Freight & Logistics | 0.8 | |||
Auto Components | 0.8 | |||
Road & Rail | 0.8 | |||
Airlines | 0.7 | |||
Exchange Traded Fund | 0.7 | |||
Diversified Telecommunication Services | 0.7 |
Technology Hardware, Storage & Peripherals | 0.6 | % | ||
Media | 0.6 | |||
Multi-Utilities | 0.6 | |||
Trading Companies & Distributors | 0.5 | |||
Diversified Financial Services | 0.5 | |||
Distributors | 0.5 | |||
Diversified Consumer Services | 0.4 | |||
Food & Staples Retailing | 0.3 | |||
Leisure Products | 0.3 | |||
Internet & Catalog Retail | 0.3 | |||
Marine | 0.3 | |||
Household Products | 0.2 | |||
Water Utilities | 0.2 | |||
Construction Materials | 0.2 | |||
Tobacco | 0.2 | |||
Multiline Retail | 0.2 | |||
Personal Products | 0.1 | |||
U.S. Treasury Obligation | 0.1 | |||
Automobiles | 0.1 | |||
Containers & Packaging | 0.1 | |||
Real Estate Management & Development | 0.1 | |||
Wireless Telecommunication Services | 0.1 | |||
111.3 | ||||
Liabilities in excess of other assets | (11.3 | ) | ||
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, 2015 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as headging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Equity contracts | — | $ | — | Due from/to broker —variation margin futures | $ | 110,259 | * | |||||
* | Includes cumulative appreciation/depreciation as reported in the 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, 2015 are as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | |||
Equity contracts | $ | 1,104,890 | ||
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 | $ | (585,629 | ) | |
As of June 30, 2015, the Portfolio’s average volume at trade date for futures long positions was $10,640,533.
SEE NOTES TO FINANCIAL STATEMENTS.
A151
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
as of June 30, 2015
ASSETS | ||||
Investments at value, including securities on loan of $84,464,857: | ||||
Unaffiliated investments (cost $455,686,626) | $ | 741,628,525 | ||
Affiliated investments (cost $93,644,242) | 93,644,242 | |||
Receivable for investments sold | 10,551,370 | |||
Dividends and interest receivable | 805,984 | |||
Receivable for Series shares sold | 123,623 | |||
Due from broker—variation margin futures | 34,595 | |||
Prepaid expenses | 874 | |||
Total Assets | 846,789,213 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 86,589,727 | |||
Payable for investments purchased | 8,558,223 | |||
Payable to custodian | 477,792 | |||
Management fee payable | 218,881 | |||
Accrued expenses | 126,243 | |||
Payable for Series shares repurchased | 14,885 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 95,986,677 | |||
NET ASSETS | $ | 750,802,536 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 292,541,393 | ||
Retained earnings | 458,261,143 | |||
Net assets, June 30, 2015 | $ | 750,802,536 | ||
Net asset value and redemption price per share $750,802,536 / 26,179,532 outstanding shares of beneficial interest | $ | 28.68 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2015
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $1,516) | $ | 5,475,355 | ||
Affiliated income from securities lending, net | 324,943 | |||
Affiliated dividend income | 6,612 | |||
Interest income | 399 | |||
Total income | 5,807,309 | |||
EXPENSES | ||||
Management fee | 1,494,910 | |||
Shareholders’ reports | 56,000 | |||
Custodian and accounting fees | 54,000 | |||
Audit fee | 11,000 | |||
Trustees’ fees | 8,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Insurance expenses | 5,000 | |||
Legal fees and expenses | 5,000 | |||
Miscellaneous | 32,325 | |||
Total expenses | 1,672,235 | |||
Less: Management fee waiver | (186,869 | ) | ||
Net expenses | 1,485,366 | |||
NET INVESTMENT INCOME | 4,321,943 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain on: | ||||
Investment transactions | 29,986,297 | |||
Futures transactions | 1,104,890 | |||
31,091,187 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (5,228,007 | ) | ||
Futures | (585,629 | ) | ||
(5,813,636 | ) | |||
NET GAIN ON INVESTMENT TRANSACTIONS | 25,277,551 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 29,599,494 | ||
STATEMENT OF CHANGES IN NET ASSETS (Unaudited)
Six Months Ended June 30, 2015 | Year Ended December 31, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 4,321,943 | $ | 7,114,995 | ||||
Net realized gain on investment transactions | 31,091,187 | 56,954,073 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (5,813,636 | ) | (25,932,519 | ) | ||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 29,599,494 | 38,136,549 | ||||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [113,375 and 439,963 shares, respectively] | 3,192,677 | 11,510,506 | ||||||
Series shares repurchased [1,168,792 and 2,647,810 shares, respectively] | (32,926,545 | ) | (68,806,270 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (29,733,868 | ) | (57,295,764 | ) | ||||
TOTAL DECREASE | (134,374 | ) | (19,159,215 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 750,936,910 | 770,096,125 | ||||||
End of period | $ | 750,802,536 | $ | 750,936,910 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A152
STOCK INDEX PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
LONG-TERM INVESTMENTS — 96.9% | ||||||||
COMMON STOCKS | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 2.6% | ||||||||
Boeing Co. (The) | 119,436 | $ | 16,568,162 | |||||
General Dynamics Corp. | 58,200 | 8,246,358 | ||||||
Honeywell International, Inc. | 144,050 | 14,688,779 | ||||||
L-3 Communications Holdings, Inc. | 15,500 | 1,757,390 | ||||||
Lockheed Martin Corp. | 49,598 | 9,220,268 | ||||||
Northrop Grumman Corp. | 36,626 | 5,809,982 | ||||||
Precision Castparts Corp. | 26,000 | 5,196,620 | ||||||
Raytheon Co. | 56,818 | 5,436,346 | ||||||
Rockwell Collins, Inc. | 24,600 | 2,271,810 | ||||||
Textron, Inc. | 51,100 | 2,280,593 | ||||||
United Technologies Corp. | 152,100 | 16,872,453 | ||||||
88,348,761 | ||||||||
Air Freight & Logistics — 0.7% | ||||||||
C.H. Robinson Worldwide, Inc. | 27,300 | 1,703,247 | ||||||
Expeditors International of Washington, Inc. | 35,600 | 1,641,338 | ||||||
FedEx Corp. | 48,640 | 8,288,256 | ||||||
United Parcel Service, Inc. (Class B Stock) | 127,900 | 12,394,789 | ||||||
24,027,630 | ||||||||
Airlines — 0.5% | ||||||||
American Airlines Group, Inc. | 127,500 | 5,091,713 | ||||||
Delta Air Lines, Inc. | 151,700 | 6,231,836 | ||||||
Southwest Airlines Co. | 124,837 | 4,130,856 | ||||||
15,454,405 | ||||||||
Auto Components — 0.4% | ||||||||
BorgWarner, Inc. | 41,800 | 2,375,912 | ||||||
Delphi Automotive PLC (United Kingdom) | 53,600 | 4,560,824 | ||||||
Goodyear Tire & Rubber Co. (The) | 50,000 | 1,507,500 | ||||||
Johnson Controls, Inc. | 120,400 | 5,963,412 | ||||||
14,407,648 | ||||||||
Automobiles — 0.6% | ||||||||
Ford Motor Co. | 726,959 | 10,911,655 | ||||||
General Motors Co. | 248,200 | 8,272,506 | ||||||
Harley-Davidson, Inc. | 38,900 | 2,192,015 | ||||||
21,376,176 | ||||||||
Banks — 6.0% | ||||||||
Bank of America Corp. | 1,931,582 | 32,875,526 | ||||||
BB&T Corp. | 133,100 | 5,365,261 | ||||||
Citigroup, Inc. | 558,022 | 30,825,135 | ||||||
Comerica, Inc. | 32,150 | 1,649,938 | ||||||
Fifth Third Bancorp | 149,849 | 3,119,856 | ||||||
Huntington Bancshares, Inc. | 148,275 | 1,676,990 | ||||||
JPMorgan Chase & Co. | 685,045 | 46,418,649 | ||||||
KeyCorp | 155,600 | 2,337,112 | ||||||
M&T Bank Corp.(a) | 24,600 | 3,073,278 | ||||||
People’s United Financial, Inc.(a) | 55,900 | 906,139 | ||||||
PNC Financial Services Group, Inc. (The) | 95,593 | 9,143,471 | ||||||
Regions Financial Corp. | 247,212 | 2,561,116 | ||||||
SunTrust Banks, Inc. | 96,900 | 4,168,638 | ||||||
U.S. Bancorp | 327,581 | 14,217,015 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks (continued) | ||||||||
Wells Fargo & Co. | 861,436 | $ | 48,447,161 | |||||
Zions Bancorporation | 36,700 | 1,164,675 | ||||||
207,949,960 | ||||||||
Beverages — 2.0% | ||||||||
Brown-Forman Corp. (Class B Stock) | 28,850 | 2,890,193 | ||||||
Coca-Cola Co. (The) | 722,350 | 28,337,790 | ||||||
Coca-Cola Enterprises, Inc. | 40,300 | 1,750,632 | ||||||
Constellation Brands, Inc. (Class A Stock) | 31,100 | 3,608,222 | ||||||
Dr. Pepper Snapple Group, Inc. | 36,000 | 2,624,400 | ||||||
Molson Coors Brewing Co. (Class B Stock) | 29,600 | 2,066,376 | ||||||
Monster Beverage Corp.* | 27,000 | 3,618,540 | ||||||
PepsiCo, Inc. | 272,414 | 25,427,123 | ||||||
70,323,276 | ||||||||
Biotechnology — 3.1% | ||||||||
Alexion Pharmaceuticals, Inc.* | 40,300 | 7,285,031 | ||||||
Amgen, Inc. | 139,894 | 21,476,527 | ||||||
Biogen, Inc.* | 43,275 | 17,480,503 | ||||||
Celgene Corp.* | 147,100 | 17,024,619 | ||||||
Gilead Sciences, Inc. | 272,600 | 31,916,008 | ||||||
Regeneron Pharmaceuticals, Inc.* | 13,700 | 6,988,781 | ||||||
Vertex Pharmaceuticals, Inc.* | 44,600 | 5,507,208 | ||||||
107,678,677 | ||||||||
Building Products — 0.1% | ||||||||
Allegion PLC | 17,733 | 1,066,463 | ||||||
Masco Corp. | 63,500 | 1,693,545 | ||||||
2,760,008 | ||||||||
Capital Markets — 2.3% | ||||||||
Affiliated Managers Group, Inc.* | 10,100 | 2,207,860 | ||||||
Ameriprise Financial, Inc. | 33,700 | 4,210,141 | ||||||
Bank of New York Mellon Corp. (The) | 204,389 | 8,578,206 | ||||||
BlackRock, Inc. | 23,500 | 8,130,530 | ||||||
Charles Schwab Corp. (The) | 211,400 | 6,902,210 | ||||||
E*TRADE Financial Corp.* | 53,610 | 1,605,620 | ||||||
Franklin Resources, Inc. | 72,400 | 3,549,772 | ||||||
Goldman Sachs Group, Inc. (The) | 74,500 | 15,554,855 | ||||||
Invesco Ltd. | 79,300 | 2,972,957 | ||||||
Legg Mason, Inc. | 18,500 | 953,305 | ||||||
Morgan Stanley | 283,410 | 10,993,474 | ||||||
Northern Trust Corp. | 40,300 | 3,081,338 | ||||||
State Street Corp. | 76,125 | 5,861,625 | ||||||
T. Rowe Price Group, Inc. | 48,200 | 3,746,586 | ||||||
78,348,479 | ||||||||
Chemicals — 2.3% | ||||||||
Air Products & Chemicals, Inc. | 35,600 | 4,871,148 | ||||||
Airgas, Inc. | 12,800 | 1,353,984 | ||||||
CF Industries Holdings, Inc. | 44,000 | 2,828,320 | ||||||
Dow Chemical Co. (The) | 200,911 | 10,280,616 | ||||||
E.I. du Pont de Nemours & Co. | 166,491 | 10,647,099 | ||||||
Eastman Chemical Co. | 27,600 | 2,258,232 | ||||||
Ecolab, Inc. | 49,300 | 5,574,351 | ||||||
FMC Corp. | 24,900 | 1,308,495 |
SEE NOTES TO FINANCIAL STATEMENTS.
A153
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Chemicals (continued) | ||||||||
International Flavors & Fragrances, Inc. | 15,200 | $ | 1,661,208 | |||||
LyondellBasell Industries NV (Class A Stock) | 73,100 | 7,567,312 | ||||||
Monsanto Co. | 88,796 | 9,464,766 | ||||||
Mosaic Co. (The) | 57,400 | 2,689,190 | ||||||
PPG Industries, Inc. | 50,400 | 5,781,888 | ||||||
Praxair, Inc.(a) | 53,400 | 6,383,970 | ||||||
Sherwin-Williams Co. (The) | 14,900 | 4,097,798 | ||||||
Sigma-Aldrich Corp. | 22,100 | 3,079,635 | ||||||
79,848,012 | ||||||||
Commercial Services & Supplies — 0.4% |
| |||||||
ADT Corp. (The)(a) | 31,400 | 1,054,098 | ||||||
Cintas Corp. | 17,500 | 1,480,325 | ||||||
Pitney Bowes, Inc. | 37,400 | 778,294 | ||||||
Republic Services, Inc. | 45,635 | 1,787,523 | ||||||
Stericycle, Inc.* | 15,700 | 2,102,387 | ||||||
Tyco International PLC | 77,600 | 2,986,048 | ||||||
Waste Management, Inc. | 78,830 | 3,653,770 | ||||||
13,842,445 | ||||||||
Communications Equipment — 1.5% |
| |||||||
Cisco Systems, Inc. | 940,975 | 25,839,173 | ||||||
F5 Networks, Inc.* | 13,500 | 1,624,725 | ||||||
Harris Corp. | 22,700 | 1,745,857 | ||||||
Juniper Networks, Inc. | 66,300 | 1,721,811 | ||||||
Motorola Solutions, Inc. | 35,427 | 2,031,384 | ||||||
QUALCOMM, Inc. | 301,950 | 18,911,129 | ||||||
51,874,079 | ||||||||
Construction & Engineering — 0.1% |
| |||||||
Fluor Corp. | 27,800 | 1,473,678 | ||||||
Jacobs Engineering Group, Inc.*(a) | 23,600 | 958,632 | ||||||
Quanta Services, Inc.* | 39,200 | 1,129,744 | ||||||
3,562,054 | ||||||||
Construction Materials — 0.1% |
| |||||||
Martin Marietta Materials, Inc.(a) | 11,500 | 1,627,365 | ||||||
Vulcan Materials Co. | 24,500 | 2,056,285 | ||||||
3,683,650 | ||||||||
Consumer Finance — 0.8% |
| |||||||
American Express Co. | 161,100 | 12,520,692 | ||||||
Capital One Financial Corp. | 101,569 | 8,935,025 | ||||||
Discover Financial Services | 82,605 | 4,759,700 | ||||||
Navient Corp. | 72,400 | 1,318,404 | ||||||
27,533,821 | ||||||||
Containers & Packaging — 0.2% |
| |||||||
Avery Dennison Corp. | 16,900 | 1,029,886 | ||||||
Ball Corp. | 25,400 | 1,781,810 | ||||||
MeadWestvaco Corp. | 30,989 | 1,462,371 | ||||||
Owens-Illinois, Inc.* | 30,300 | 695,082 | ||||||
Sealed Air Corp. | 38,220 | 1,963,743 | ||||||
6,932,892 | ||||||||
Distributors — 0.1% |
| |||||||
Genuine Parts Co. | 28,225 | 2,526,984 | ||||||
Diversified Consumer Services |
| |||||||
H&R Block, Inc. | 50,900 | 1,509,185 | ||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Diversified Financial Services — 1.9% |
| |||||||
Berkshire Hathaway, Inc. (Class B Stock)* | 335,200 | $ | 45,624,072 | |||||
CME Group, Inc. | 58,600 | 5,453,316 | ||||||
Intercontinental Exchange, Inc. | 20,698 | 4,628,280 | ||||||
Leucadia National Corp. | 57,500 | 1,396,100 | ||||||
McGraw Hill Financial, Inc. | 50,500 | 5,072,725 | ||||||
Moody’s Corp.(a) | 32,820 | 3,543,247 | ||||||
NASDAQ OMX Group, Inc. (The) | 22,100 | 1,078,701 | ||||||
66,796,441 | ||||||||
Diversified Telecommunication Services — 2.2% |
| |||||||
AT&T, Inc. | 953,111 | 33,854,503 | ||||||
CenturyLink, Inc. | 104,585 | 3,072,707 | ||||||
Frontier Communications Corp.(a) | 191,716 | 948,994 | ||||||
Level 3 Communications, Inc.* | 53,000 | 2,791,510 | ||||||
Verizon Communications, Inc. | 755,738 | 35,224,948 | ||||||
75,892,662 | ||||||||
Electric Utilities — 1.6% |
| |||||||
American Electric Power Co., Inc. | 90,440 | 4,790,607 | ||||||
Duke Energy Corp.(a) | 127,348 | 8,993,316 | ||||||
Edison International | 60,200 | 3,345,916 | ||||||
Entergy Corp. | 33,400 | 2,354,700 | ||||||
Eversource Energy | 58,500 | 2,656,485 | ||||||
Exelon Corp. | 158,773 | 4,988,648 | ||||||
FirstEnergy Corp. | 77,780 | 2,531,739 | ||||||
NextEra Energy, Inc. | 81,875 | 8,026,206 | ||||||
Pepco Holdings, Inc. | 45,900 | 1,236,546 | ||||||
Pinnacle West Capital Corp. | 20,900 | 1,189,001 | ||||||
PPL Corp. | 123,100 | 3,627,757 | ||||||
Southern Co. (The) | 166,800 | 6,988,920 | ||||||
Xcel Energy, Inc. | 93,395 | 3,005,451 | ||||||
53,735,292 | ||||||||
Electrical Equipment — 0.5% |
| |||||||
AMETEK, Inc. | 44,200 | 2,421,276 | ||||||
Eaton Corp. PLC | 86,961 | 5,868,998 | ||||||
Emerson Electric Co. | 124,900 | 6,923,207 | ||||||
Rockwell Automation, Inc. | 25,100 | 3,128,464 | ||||||
18,341,945 | ||||||||
Electronic Equipment, Instruments & Components — 0.4% |
| |||||||
Amphenol Corp. (Class A Stock) | 57,300 | 3,321,681 | ||||||
Corning, Inc. | 234,700 | 4,630,631 | ||||||
FLIR Systems, Inc. | 25,000 | 770,500 | ||||||
TE Connectivity Ltd. (Switzerland) | 75,000 | 4,822,500 | ||||||
13,545,312 | ||||||||
Energy Equipment & Services — 1.3% |
| |||||||
Baker Hughes, Inc. | 79,448 | 4,901,941 | ||||||
Cameron International Corp.* | 36,300 | 1,901,031 | ||||||
Diamond Offshore Drilling, Inc.(a) | 11,900 | 307,139 | ||||||
Ensco PLC (Class A Stock) | 43,300 | 964,291 | ||||||
FMC Technologies, Inc.* | 43,200 | 1,792,368 | ||||||
Halliburton Co. | 156,500 | 6,740,455 | ||||||
Helmerich & Payne, Inc.(a) | 20,000 | 1,408,400 | ||||||
National Oilwell Varco, Inc. | 71,300 | 3,442,364 | ||||||
Noble Corp. PLC(a) | 43,600 | 671,004 | ||||||
Schlumberger Ltd. | 234,972 | 20,252,237 | ||||||
Transocean Ltd.(a) | 61,500 | 991,380 | ||||||
43,372,610 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A154
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Food & Staples Retailing — 2.3% |
| |||||||
Costco Wholesale Corp. | 80,822 | $ | 10,915,819 | |||||
CVS Health Corp. | 207,238 | 21,735,122 | ||||||
Kroger Co. (The) | 90,700 | 6,576,657 | ||||||
Sysco Corp. | 109,400 | 3,949,340 | ||||||
Wal-Mart Stores, Inc. | 291,500 | 20,676,095 | ||||||
Walgreens Boots Alliance, Inc. | 159,600 | 13,476,624 | ||||||
Whole Foods Market, Inc. | 66,600 | 2,626,704 | ||||||
79,956,361 | ||||||||
Food Products — 1.6% | ||||||||
Archer-Daniels-Midland Co. | 117,138 | 5,648,394 | ||||||
Campbell Soup Co.(a) | 32,400 | 1,543,860 | ||||||
ConAgra Foods, Inc. | 78,700 | 3,440,764 | ||||||
General Mills, Inc. | 111,500 | 6,212,780 | ||||||
Hershey Co. (The) | 27,400 | 2,433,942 | ||||||
Hormel Foods Corp. | 24,500 | 1,381,065 | ||||||
J.M. Smucker Co. (The) | 18,200 | 1,973,062 | ||||||
Kellogg Co. | 46,800 | 2,934,360 | ||||||
Keurig Green Mountain, Inc. | 21,300 | 1,632,219 | ||||||
Kraft Foods Group, Inc. | 108,537 | 9,240,840 | ||||||
McCormick & Co., Inc. (Non-Voting Shares) | 23,700 | 1,918,515 | ||||||
Mead Johnson Nutrition Co. | 37,393 | 3,373,596 | ||||||
Mondelez International, Inc. (Class A Stock) | 301,511 | 12,404,163 | ||||||
Tyson Foods, Inc. (Class A Stock)(a) | 54,000 | 2,302,020 | ||||||
56,439,580 | ||||||||
Gas Utilities | ||||||||
AGL Resources, Inc. | 22,437 | 1,044,667 | ||||||
Health Care Equipment & Supplies — 2.1% |
| |||||||
Abbott Laboratories | 278,550 | 13,671,234 | ||||||
Baxter International, Inc.(a) | 100,200 | 7,006,986 | ||||||
Becton, Dickinson & Co. | 38,554 | 5,461,174 | ||||||
Boston Scientific Corp.* | 242,699 | 4,295,772 | ||||||
C.R. Bard, Inc. | 13,800 | 2,355,660 | ||||||
DENTSPLY International, Inc. | 25,500 | 1,314,525 | ||||||
Edwards Lifesciences Corp.* | 20,000 | 2,848,600 | ||||||
Intuitive Surgical, Inc.* | 6,790 | 3,289,755 | ||||||
Medtronic PLC | 261,828 | 19,401,455 | ||||||
St. Jude Medical, Inc. | 52,100 | 3,806,947 | ||||||
Stryker Corp. | 55,300 | 5,285,021 | ||||||
Varian Medical Systems, Inc.*(a) | 18,700 | 1,576,971 | ||||||
Zimmer Biomet Holdings, Inc. | 31,386 | 3,428,293 | ||||||
73,742,393 | ||||||||
Health Care Providers & Services — 2.9% |
| |||||||
Aetna, Inc. | 64,957 | 8,279,419 | ||||||
AmerisourceBergen Corp. | 38,600 | 4,104,724 | ||||||
Anthem, Inc. | 49,300 | 8,092,102 | ||||||
Cardinal Health, Inc. | 60,975 | 5,100,559 | ||||||
Cigna Corp. | 47,700 | 7,727,400 | ||||||
DaVita HealthCare Partners, Inc.* | 32,000 | 2,543,040 | ||||||
Express Scripts Holding Co.* | 133,626 | 11,884,696 | ||||||
HCA Holdings, Inc.* | 54,400 | 4,935,168 | ||||||
Henry Schein, Inc.* | 15,500 | 2,202,860 | ||||||
Humana, Inc. | 27,700 | 5,298,456 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Health Care Providers & Services (continued) |
| |||||||
Laboratory Corp. of America Holdings* | 18,600 | $ | 2,254,692 | |||||
McKesson Corp. | 43,007 | 9,668,404 | ||||||
Patterson Cos., Inc. | 16,000 | 778,400 | ||||||
Quest Diagnostics, Inc. | 27,000 | 1,958,040 | ||||||
Tenet Healthcare Corp.* | 18,000 | 1,041,840 | ||||||
UnitedHealth Group, Inc. | 175,700 | 21,435,400 | ||||||
Universal Health Services, Inc. (Class B Stock) | 16,700 | 2,373,070 | ||||||
99,678,270 | ||||||||
Health Care Technology — 0.1% | ||||||||
Cerner Corp.* | 56,300 | 3,888,078 | ||||||
Hotels, Restaurants & Leisure — 1.7% |
| |||||||
Carnival Corp. | 83,200 | 4,109,248 | ||||||
Chipotle Mexican Grill, Inc.* | 5,770 | 3,490,792 | ||||||
Darden Restaurants, Inc. | 22,950 | 1,631,286 | ||||||
Marriott International, Inc. (Class A Stock)(a) | 38,303 | 2,849,360 | ||||||
McDonald’s Corp. | 176,800 | 16,808,376 | ||||||
Royal Caribbean Cruises Ltd.(a) | 30,700 | 2,415,783 | ||||||
Starbucks Corp. | 275,700 | 14,781,656 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 31,700 | 2,570,553 | ||||||
Wyndham Worldwide Corp. | 22,463 | 1,839,944 | ||||||
Wynn Resorts Ltd. | 14,900 | 1,470,183 | ||||||
Yum! Brands, Inc. | 80,000 | 7,206,400 | ||||||
59,173,581 | ||||||||
Household Durables — 0.4% | ||||||||
D.R. Horton, Inc. | 61,600 | 1,685,376 | ||||||
Garmin Ltd. | 22,700 | 997,211 | ||||||
Harman International Industries, Inc. | 12,900 | 1,534,326 | ||||||
Leggett & Platt, Inc. | 25,900 | 1,260,812 | ||||||
Lennar Corp. (Class A Stock)(a) | 33,200 | 1,694,528 | ||||||
Mohawk Industries, Inc.* | 11,500 | 2,195,350 | ||||||
Newell Rubbermaid, Inc. | 50,449 | 2,073,958 | ||||||
PulteGroup, Inc. | 60,785 | 1,224,818 | ||||||
Whirlpool Corp. | 14,507 | 2,510,436 | ||||||
15,176,815 | ||||||||
Household Products — 1.7% | ||||||||
Clorox Co. (The) | 24,300 | 2,527,686 | ||||||
Colgate-Palmolive Co. | 157,400 | 10,295,534 | ||||||
Kimberly-Clark Corp. | 67,488 | 7,151,703 | ||||||
Procter & Gamble Co. (The) | 498,406 | 38,995,286 | ||||||
58,970,209 | ||||||||
Independent Power & Renewable Electricity Producers — 0.1% |
| |||||||
AES Corp. | 123,400 | 1,636,284 | ||||||
NRG Energy, Inc. | 62,900 | 1,439,152 | ||||||
3,075,436 | ||||||||
Industrial Conglomerates — 2.3% | ||||||||
3M Co. | 116,700 | 18,006,810 | ||||||
Danaher Corp. | 113,000 | 9,671,670 | ||||||
General Electric Co. | 1,849,875 | 49,151,179 | ||||||
Roper Technologies, Inc. | 18,600 | 3,207,756 | ||||||
80,037,415 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A155
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Insurance — 2.5% | ||||||||
ACE Ltd. | 60,500 | $ | 6,151,640 | |||||
Aflac, Inc. | 81,100 | 5,044,420 | ||||||
Allstate Corp. (The) | 76,888 | 4,987,725 | ||||||
American International Group, Inc. | 245,429 | 15,172,421 | ||||||
Aon PLC | 51,725 | 5,155,948 | ||||||
Assurant, Inc. | 13,200 | 884,400 | ||||||
Chubb Corp. (The) | 42,700 | 4,062,478 | ||||||
Cincinnati Financial Corp. | 27,828 | 1,396,409 | ||||||
Genworth Financial, Inc. (Class A Stock)* | 90,600 | 685,842 | ||||||
Hartford Financial Services Group, Inc. (The) | 77,700 | 3,229,989 | ||||||
Lincoln National Corp. | 47,063 | 2,787,071 | ||||||
Loews Corp. | 55,526 | 2,138,306 | ||||||
Marsh & McLennan Cos., Inc. | 99,500 | 5,641,650 | ||||||
MetLife, Inc. | 205,300 | 11,494,747 | ||||||
Principal Financial Group, Inc.(a) | 50,500 | 2,590,145 | ||||||
Progressive Corp. (The)(a) | 99,000 | 2,755,170 | ||||||
Torchmark Corp. | 23,375 | 1,360,892 | ||||||
Travelers Cos., Inc. (The) | 59,398 | 5,741,411 | ||||||
Unum Group | 46,656 | 1,667,952 | ||||||
XL Group PLC (Ireland) | 53,500 | 1,990,200 | ||||||
84,938,816 | ||||||||
Internet & Catalog Retail — 1.5% |
| |||||||
Amazon.com, Inc.* | 70,100 | 30,429,709 | ||||||
Expedia, Inc. | 18,100 | 1,979,235 | ||||||
Netflix, Inc.* | 11,070 | 7,272,326 | ||||||
Priceline Group, Inc. (The)* | 9,570 | 11,018,611 | ||||||
TripAdvisor, Inc.* | 20,900 | 1,821,226 | ||||||
52,521,107 | ||||||||
Internet Software & Services — 3.3% |
| |||||||
Akamai Technologies, Inc.* | 33,100 | 2,311,042 | ||||||
eBay, Inc.* | 202,400 | 12,192,576 | ||||||
Equinix, Inc. | 10,500 | 2,667,000 | ||||||
Facebook, Inc. (Class A Stock)* | 386,000 | 33,105,290 | ||||||
Google, Inc. (Class A Stock)* | 52,515 | 28,360,201 | ||||||
Google, Inc. (Class C Stock)* | 52,840 | 27,503,748 | ||||||
VeriSign, Inc.*(a) | 19,500 | 1,203,540 | ||||||
Yahoo!, Inc.* | 160,200 | 6,294,258 | ||||||
113,637,655 | ||||||||
IT Services — 3.3% |
| |||||||
Accenture PLC (Class A Stock) | 115,400 | 11,168,412 | ||||||
Alliance Data Systems Corp.* | 11,500 | 3,357,310 | ||||||
Automatic Data Processing, Inc. | 87,700 | 7,036,171 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock)* | 112,100 | 6,848,189 | ||||||
Computer Sciences Corp. | 26,300 | 1,726,332 | ||||||
Fidelity National Information Services, Inc. | 52,700 | 3,256,860 | ||||||
Fiserv, Inc.* | 44,100 | 3,652,803 | ||||||
International Business Machines Corp. | 169,125 | 27,509,872 | ||||||
MasterCard, Inc. (Class A Stock) | 178,500 | 16,686,180 | ||||||
Paychex, Inc. | 60,350 | 2,829,208 | ||||||
Teradata Corp.*(a) | 27,000 | 999,000 | ||||||
Total System Services, Inc. | 29,893 | 1,248,631 | ||||||
Visa, Inc. (Class A Stock) | 356,100 | 23,912,115 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
IT Services (continued) |
| |||||||
Western Union Co. (The)(a) | 96,304 | $ | 1,957,860 | |||||
Xerox Corp. | 189,611 | 2,017,461 | ||||||
114,206,404 | ||||||||
Leisure Products — 0.1% |
| |||||||
Hasbro, Inc. | 21,150 | 1,581,808 | ||||||
Mattel, Inc. | 61,581 | 1,582,016 | ||||||
3,163,824 | ||||||||
Life Sciences Tools & Services — 0.4% |
| |||||||
Agilent Technologies, Inc. | 61,982 | 2,391,266 | ||||||
PerkinElmer, Inc. | 20,700 | 1,089,648 | ||||||
Thermo Fisher Scientific, Inc. | 73,300 | 9,511,408 | ||||||
Waters Corp.* | 15,500 | 1,989,890 | ||||||
14,982,212 | ||||||||
Machinery — 1.5% |
| |||||||
Caterpillar, Inc.(a) | 111,300 | 9,440,466 | ||||||
Cummins, Inc. | 31,100 | 4,080,009 | ||||||
Deere & Co. | 61,750 | 5,992,838 | ||||||
Dover Corp. | 30,000 | 2,105,400 | ||||||
Flowserve Corp. | 24,600 | 1,295,436 | ||||||
Illinois Tool Works, Inc. | 63,275 | 5,808,012 | ||||||
Ingersoll-Rand PLC | 48,700 | 3,283,354 | ||||||
Joy Global, Inc. | 18,200 | 658,840 | ||||||
PACCAR, Inc.(a) | 65,528 | 4,181,342 | ||||||
Pall Corp. | 19,800 | 2,464,110 | ||||||
Parker-Hannifin Corp. | 25,887 | 3,011,435 | ||||||
Pentair PLC (United Kingdom) | 33,107 | 2,276,106 | ||||||
Snap-on, Inc. | 11,000 | 1,751,750 | ||||||
Stanley Black & Decker, Inc. | 29,135 | 3,066,167 | ||||||
Xylem, Inc. | 33,600 | 1,245,552 | ||||||
50,660,817 | ||||||||
Media — 3.6% |
| |||||||
Cablevision Systems Corp. (Class A Stock)(a) | 39,300 | 940,842 | ||||||
CBS Corp. (Class B Non-Voting Stock) | 84,468 | 4,687,974 | ||||||
Comcast Corp. (Class A Stock) | 466,246 | 28,040,034 | ||||||
DIRECTV* | 92,825 | 8,613,232 | ||||||
Discovery Communications, Inc. (Class A Stock)*(a) | 27,500 | 914,650 | ||||||
Discovery Communications, Inc. (Class C Stock)*(a) | 49,100 | 1,526,028 | ||||||
Gannett Co., Inc.* | 21,050 | 294,489 | ||||||
Interpublic Group of Cos., Inc. (The) | 75,062 | 1,446,445 | ||||||
News Corp. (Class A Stock)* | 88,925 | 1,297,416 | ||||||
Omnicom Group, Inc. | 45,600 | 3,168,744 | ||||||
Scripps Networks Interactive, Inc. (Class A Stock)(a) | 17,900 | 1,170,123 | ||||||
Tegna, Inc. | 42,100 | 1,350,147 | ||||||
Time Warner Cable, Inc. | 51,626 | 9,198,204 | ||||||
Time Warner, Inc. | 152,715 | 13,348,818 | ||||||
Twenty-First Century Fox, Inc. (Class A Stock) | 325,700 | 10,599,906 | ||||||
Viacom, Inc. (Class B Stock) | 67,443 | 4,359,516 | ||||||
Walt Disney Co. (The) | 287,676 | 32,835,339 | ||||||
123,791,907 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A156
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Metals & Mining — 0.3% |
| |||||||
Alcoa, Inc. | 224,376 | $ | 2,501,792 | |||||
Allegheny Technologies, Inc. | 19,340 | 584,068 | ||||||
Freeport-McMoRan, Inc. | 189,012 | 3,519,404 | ||||||
Newmont Mining Corp. | 96,303 | 2,249,638 | ||||||
Nucor Corp. | 58,900 | 2,595,723 | ||||||
11,450,625 | ||||||||
Multiline Retail — 0.8% |
| |||||||
Dollar General Corp. | 55,100 | 4,283,474 | ||||||
Dollar Tree, Inc.* | 38,000 | 3,001,620 | ||||||
Family Dollar Stores, Inc. | 17,500 | 1,379,175 | ||||||
Kohl’s Corp.(a) | 37,300 | 2,335,353 | ||||||
Macy’s, Inc. | 62,920 | 4,245,212 | ||||||
Nordstrom, Inc. | 26,000 | 1,937,000 | ||||||
Target Corp. | 117,168 | 9,564,424 | ||||||
26,746,258 | ||||||||
Multi-Utilities — 1.1% |
| |||||||
Ameren Corp. | 44,900 | 1,691,832 | ||||||
CenterPoint Energy, Inc. | 79,410 | 1,511,172 | ||||||
CMS Energy Corp. | 51,000 | 1,623,840 | ||||||
Consolidated Edison, Inc. | 54,100 | 3,131,308 | ||||||
Dominion Resources, Inc. | 107,784 | 7,207,516 | ||||||
DTE Energy Co. | 32,800 | 2,448,192 | ||||||
NiSource, Inc. | 58,400 | 2,662,456 | ||||||
PG&E Corp. | 88,000 | 4,320,800 | ||||||
Public Service Enterprise Group, Inc. | 93,500 | 3,672,680 | ||||||
SCANA Corp. | 26,600 | 1,347,290 | ||||||
Sempra Energy | 42,754 | 4,230,081 | ||||||
TECO Energy, Inc. | 42,300 | 747,018 | ||||||
Wec Energy Group, Inc. | 58,676 | 2,638,678 | ||||||
37,232,863 | ||||||||
Oil, Gas & Consumable Fuels — 6.4% |
| |||||||
Anadarko Petroleum Corp. | 93,526 | 7,300,639 | ||||||
Apache Corp. | 69,550 | 4,008,166 | ||||||
Cabot Oil & Gas Corp.(a) | 76,300 | 2,406,502 | ||||||
Chesapeake Energy Corp.(a) | 93,400 | 1,043,278 | ||||||
Chevron Corp. | 345,542 | 33,334,437 | ||||||
Cimarex Energy Co. | 16,200 | 1,787,022 | ||||||
ConocoPhillips | 226,629 | 13,917,287 | ||||||
CONSOL Energy, Inc.(a) | 41,800 | 908,732 | ||||||
Devon Energy Corp. | 71,400 | 4,247,586 | ||||||
EOG Resources, Inc. | 100,900 | 8,833,795 | ||||||
EQT Corp. | 28,100 | 2,285,654 | ||||||
Exxon Mobil Corp. | 771,704 | 64,205,773 | ||||||
Hess Corp. | 44,975 | 3,007,928 | ||||||
Kinder Morgan, Inc. | 316,543 | 12,152,086 | ||||||
Marathon Oil Corp. | 124,594 | 3,306,725 | ||||||
Marathon Petroleum Corp. | 100,894 | 5,277,765 | ||||||
Murphy Oil Corp.(a) | 31,300 | 1,301,141 | ||||||
Newfield Exploration Co.* | 30,000 | 1,083,600 | ||||||
Noble Energy, Inc. | 71,400 | 3,047,352 | ||||||
Occidental Petroleum Corp. | 141,600 | 11,012,232 | ||||||
ONEOK, Inc. | 38,540 | 1,521,559 | ||||||
Phillips 66 | 100,364 | 8,085,324 | ||||||
Pioneer Natural Resources Co. | 27,200 | 3,772,368 | ||||||
QEP Resources, Inc. | 29,800 | 551,598 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
Range Resources Corp. | 30,500 | $ | 1,506,090 | |||||
Southwestern Energy Co.* | 71,000 | 1,613,830 | ||||||
Spectra Energy Corp. | 123,942 | 4,040,509 | ||||||
Tesoro Corp. | 23,200 | 1,958,312 | ||||||
Valero Energy Corp. | 95,100 | 5,953,260 | ||||||
Williams Cos., Inc. (The) | 123,600 | 7,093,404 | ||||||
220,563,954 | ||||||||
Paper & Forest Products — 0.1% |
| |||||||
International Paper Co. | 78,067 | 3,715,208 | ||||||
Personal Products — 0.1% |
| |||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 41,200 | 3,570,392 | ||||||
Pharmaceuticals — 6.3% |
| |||||||
AbbVie, Inc. | 316,100 | 21,238,759 | ||||||
Allergan PLC* | 71,706 | 21,759,903 | ||||||
Bristol-Myers Squibb Co. | 306,040 | 20,363,902 | ||||||
Eli Lilly & Co. | 179,400 | 14,978,106 | ||||||
Endo International PLC* | 36,100 | 2,875,365 | ||||||
Hospira, Inc.* | 31,720 | 2,813,881 | ||||||
Johnson & Johnson | 510,996 | 49,801,670 | ||||||
Mallinckrodt PLC* | 21,500 | 2,530,980 | ||||||
Merck & Co., Inc. | 522,303 | 29,734,710 | ||||||
Mylan NV*(a) | 73,800 | 5,008,068 | ||||||
Perrigo Co. PLC | 26,500 | 4,897,995 | ||||||
Pfizer, Inc. | 1,130,323 | 37,899,730 | ||||||
Zoetis, Inc. | 92,500 | 4,460,350 | ||||||
218,363,419 | ||||||||
Professional Services — 0.2% | ||||||||
Dun & Bradstreet Corp. (The) | 6,900 | 841,800 | ||||||
Equifax, Inc. | 22,100 | 2,145,689 | ||||||
Nielsen NV | 66,000 | 2,954,820 | ||||||
Robert Half International, Inc. | 25,400 | 1,409,700 | ||||||
7,352,009 | ||||||||
Real Estate Investment Trusts (REITs) — 2.3% |
| |||||||
American Tower Corp. | 78,000 | 7,276,620 | ||||||
Apartment Investment & Management Co. (Class A Stock) | 28,974 | 1,070,010 | ||||||
AvalonBay Communities, Inc. | 24,418 | 3,903,706 | ||||||
Boston Properties, Inc. | 28,300 | 3,425,432 | ||||||
Crown Castle International Corp.(a) | 61,700 | 4,954,510 | ||||||
Equity Residential | 67,200 | 4,715,424 | ||||||
Essex Property Trust, Inc. | 12,100 | 2,571,250 | ||||||
General Growth Properties, Inc. | 116,000 | 2,976,560 | ||||||
HCP, Inc. | 85,100 | 3,103,597 | ||||||
Health Care REIT, Inc. | 64,500 | 4,233,135 | ||||||
Host Hotels & Resorts, Inc. | 137,326 | 2,723,174 | ||||||
Iron Mountain, Inc.(a) | 34,030 | 1,054,930 | ||||||
Kimco Realty Corp. | 76,200 | 1,717,548 | ||||||
Macerich Co. (The) | 26,200 | 1,954,520 | ||||||
Plum Creek Timber Co., Inc. | 32,100 | 1,302,297 | ||||||
Prologis, Inc. | 94,528 | 3,506,989 | ||||||
Public Storage | 26,800 | 4,941,116 | ||||||
Realty Income Corp.(a) | 39,400 | 1,748,966 | ||||||
Simon Property Group, Inc. | 57,101 | 9,879,615 |
SEE NOTES TO FINANCIAL STATEMENTS.
A157
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Real Estate Investment Trusts (REITs) (continued) |
| |||||||
SL Green Realty Corp. | 18,300 | $ | 2,010,987 | |||||
Ventas, Inc. | 61,104 | 3,793,947 | ||||||
Vornado Realty Trust | 32,257 | 3,062,157 | ||||||
Weyerhaeuser Co. | 96,910 | 3,052,665 | ||||||
78,979,155 | ||||||||
Real Estate Management & Development — 0.1% |
| |||||||
CBRE Group, Inc. | 52,300 | 1,935,100 | ||||||
Road & Rail — 0.8% |
| |||||||
CSX Corp. | 181,372 | 5,921,796 | ||||||
Kansas City Southern | 20,600 | 1,878,720 | ||||||
Norfolk Southern Corp. | 56,800 | 4,962,048 | ||||||
Ryder System, Inc. | 9,600 | 838,752 | ||||||
Union Pacific Corp. | 162,300 | 15,478,551 | ||||||
29,079,867 | ||||||||
Semiconductors & Semiconductor Equipment — 2.3% |
| |||||||
Altera Corp. | 54,400 | 2,785,280 | ||||||
Analog Devices, Inc. | 57,600 | 3,697,056 | ||||||
Applied Materials, Inc. | 224,200 | 4,309,124 | ||||||
Avago Technologies Ltd. (Singapore) | 47,400 | 6,300,882 | ||||||
Broadcom Corp. (Class A Stock) | 100,650 | 5,182,468 | ||||||
First Solar, Inc.*(a) | 14,300 | 671,814 | ||||||
Intel Corp. | 870,600 | 26,479,299 | ||||||
KLA-Tencor Corp. | 30,400 | 1,708,784 | ||||||
Lam Research Corp. | 29,550 | 2,403,892 | ||||||
Linear Technology Corp. | 44,200 | 1,954,966 | ||||||
Microchip Technology, Inc.(a) | 37,300 | 1,768,953 | ||||||
Micron Technology, Inc.*(a) | 197,100 | 3,713,364 | ||||||
NVIDIA Corp. | 93,450 | 1,879,280 | ||||||
Qorvo, Inc.* | 26,086 | 2,093,923 | ||||||
Skyworks Solutions, Inc. | 35,300 | 3,674,730 | ||||||
Texas Instruments, Inc.(a) | 192,300 | 9,905,373 | ||||||
Xilinx, Inc. | 48,200 | 2,128,512 | ||||||
80,657,700 | ||||||||
Software — 3.6% | ||||||||
Adobe Systems, Inc.* | 87,875 | 7,118,754 | ||||||
Autodesk, Inc.* | 41,900 | 2,098,143 | ||||||
CA, Inc.(a) | 58,873 | 1,724,390 | ||||||
Citrix Systems, Inc.* | 29,700 | 2,083,752 | ||||||
Electronic Arts, Inc.* | 57,400 | 3,817,100 | ||||||
Intuit, Inc. | 51,100 | 5,149,347 | ||||||
Microsoft Corp. | 1,494,000 | 65,960,100 | ||||||
Oracle Corp. | 589,295 | 23,748,588 | ||||||
Red Hat, Inc.*(a) | 33,600 | 2,551,248 | ||||||
Salesforce.com, inc.* | 111,700 | 7,777,671 | ||||||
Symantec Corp. | 124,811 | 2,901,856 | ||||||
124,930,949 | ||||||||
Specialty Retail — 2.3% | ||||||||
AutoNation, Inc.* | 14,289 | 899,921 | ||||||
AutoZone, Inc.*(a) | 5,900 | 3,934,710 | ||||||
Bed Bath & Beyond, Inc.*(a) | 32,400 | 2,234,952 | ||||||
Best Buy Co., Inc. | 53,825 | 1,755,233 | ||||||
CarMax, Inc.* | 38,200 | 2,529,222 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Specialty Retail (continued) | ||||||||
GameStop Corp. (Class A Stock)(a) | 19,800 | $ | 850,608 | |||||
Gap, Inc. (The) | 49,087 | 1,873,651 | ||||||
Home Depot, Inc. (The) | 241,169 | 26,801,111 | ||||||
L. Brands, Inc. | 45,396 | 3,891,799 | ||||||
Lowe’s Cos., Inc. | 172,825 | 11,574,091 | ||||||
O’Reilly Automotive, Inc.* | 18,800 | 4,248,424 | ||||||
Ross Stores, Inc. | 76,600 | 3,723,526 | ||||||
Staples, Inc. | 116,100 | 1,777,491 | ||||||
Tiffany & Co. | 20,800 | 1,909,440 | ||||||
TJX Cos., Inc. (The) | 126,100 | 8,344,037 | ||||||
Tractor Supply Co. | 25,200 | 2,266,488 | ||||||
Urban Outfitters, Inc.* | 19,000 | 665,000 | ||||||
79,279,704 | ||||||||
Technology Hardware, Storage & Peripherals — 4.7% |
| |||||||
Apple, Inc. | 1,062,405 | 133,252,147 | ||||||
EMC Corp. | 362,474 | 9,565,689 | ||||||
Hewlett-Packard Co. | 335,466 | 10,067,335 | ||||||
NetApp, Inc. | 57,900 | 1,827,324 | ||||||
SanDisk Corp. | 39,400 | 2,293,868 | ||||||
Seagate Technology PLC(a) | 59,400 | 2,821,500 | ||||||
Western Digital Corp. | 40,100 | 3,144,642 | ||||||
162,972,505 | ||||||||
Textiles, Apparel & Luxury Goods — 0.9% |
| |||||||
Coach, Inc. | 51,000 | 1,765,110 | ||||||
Fossil Group, Inc.* | 8,300 | 575,688 | ||||||
Hanesbrands, Inc. | 74,000 | 2,465,680 | ||||||
Michael Kors Holdings Ltd.* | 37,300 | 1,569,957 | ||||||
NIKE, Inc. (Class B Stock) | 128,700 | 13,902,174 | ||||||
PVH Corp. | 15,400 | 1,774,080 | ||||||
Ralph Lauren Corp. | 11,400 | 1,508,904 | ||||||
Under Armour, Inc. (Class A Stock)*(a) | 30,400 | 2,536,576 | ||||||
VF Corp. | 63,244 | 4,410,637 | ||||||
30,508,806 | ||||||||
Thrifts & Mortgage Finance | ||||||||
Hudson City Bancorp, Inc. | 88,000 | 869,440 | ||||||
Tobacco 1.3% | ||||||||
Altria Group, Inc. | 363,500 | 17,778,785 | ||||||
Philip Morris International, Inc. | 284,600 | 22,816,382 | ||||||
Reynolds American, Inc. | 76,242 | 5,692,228 | ||||||
46,287,395 | ||||||||
Trading Companies & Distributors — 0.2% |
| |||||||
Fastenal Co.(a) | 50,200 | 2,117,436 | ||||||
United Rentals, Inc.*(a) | 17,900 | 1,568,398 | ||||||
W.W. Grainger, Inc.(a) | 11,000 | 2,603,150 | ||||||
6,288,984 | ||||||||
TOTAL LONG-TERM INVESTMENTS |
| 3,353,542,284 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A158
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
SHORT-TERM INVESTMENTS — 6.2% | Shares | Value (Note 2) | ||||||
AFFILIATED MONEY MARKET MUTUAL FUND — 6.0% |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $208,948,664; includes $111,980,415 of cash collateral for securities on loan) (Note 4)(b)(c) | 208,948,664 | $ | 208,948,664 | |||||
Principal Amount (000)# | ||||||||
U.S. TREASURY OBLIGATION — 0.2% |
| |||||||
U.S. Treasury Bills, 0.152%, 09/17/15 | 6,000 | 6,000,000 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
| 214,948,664 | ||||||
TOTAL INVESTMENTS — 103.1% |
| 3,568,490,948 | ||||||
LIABILITIES IN EXCESS OF |
| (107,560,000 | ) | |||||
NET ASSETS — 100.0% |
| $ | 3,460,930,948 | |||||
See the Glossary for abbreviations used in the Portfolio descriptions.
# | 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 $108,588,439; cash collateral of $111,980,415 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
(c) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
(d) | Rate quoted represents yield-to-maturity as of purchase date. |
(e) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(f) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2015:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2015 | Unrealized Depreciation(1) | |||||||||||||
Long Positions: | ||||||||||||||||||
41 | S&P 500 E-mini | Sep. 2015 | $ | 4,278,165 | $ | 4,211,520 | $ | (66,645 | ) | |||||||||
201 | S&P 500 Index | Sep. 2015 | 104,944,702 | 103,233,600 | (1,711,102 | ) | ||||||||||||
$ | (1,777,747 | ) | ||||||||||||||||
(1) | A U.S. Government Treasury security with a market value of $6,000,000 has been segregated with UBS AG to cover requirements for open contracts at June 30, 2015. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1—quoted | prices generally in active markets for identical securities. |
Level 2—quoted | prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3—unobservable | inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 88,348,761 | $ | — | $ | — | ||||||
Air Freight & Logistics | 24,027,630 | — | — | |||||||||
Airlines | 15,454,405 | — | — | |||||||||
Auto Components | 14,407,648 | — | — | |||||||||
Automobiles | 21,376,176 | — | — | |||||||||
Banks | 207,949,960 | — | — | |||||||||
Beverages | 70,323,276 | — | — | |||||||||
Biotechnology | 107,678,677 | — | — | |||||||||
Building Products | 2,760,008 | — | — | |||||||||
Capital Markets | 78,348,479 | — | — | |||||||||
Chemicals | 79,848,012 | — | — | |||||||||
Commercial Services & Supplies | 13,842,445 | — | — | |||||||||
Communications Equipment | 51,874,079 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A159
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Construction & Engineering | $ | 3,562,054 | $ | — | $ | — | ||||||
Construction Materials | 3,683,650 | — | — | |||||||||
Consumer Finance | 27,533,821 | — | — | |||||||||
Containers & Packaging | 6,932,892 | — | — | |||||||||
Distributors | 2,526,984 | — | — | |||||||||
Diversified Consumer Services | 1,509,185 | — | — | |||||||||
Diversified Financial Services | 66,796,441 | — | — | |||||||||
Diversified Telecommunication Services | 75,892,662 | — | — | |||||||||
Electric Utilities | 53,735,292 | — | — | |||||||||
Electrical Equipment | 18,341,945 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 13,545,312 | — | — | |||||||||
Energy Equipment & Services | 43,372,610 | — | — | |||||||||
Food & Staples Retailing | 79,956,361 | — | — | |||||||||
Food Products | 56,439,580 | — | — | |||||||||
Gas Utilities | 1,044,667 | — | — | |||||||||
Health Care Equipment & Supplies | 73,742,393 | — | — | |||||||||
Health Care Providers & Services | 99,678,270 | — | — | |||||||||
Health Care Technology | 3,888,078 | — | — | |||||||||
Hotels, Restaurants & Leisure | 59,173,581 | — | — | |||||||||
Household Durables | 15,176,815 | — | — | |||||||||
Household Products | 58,970,209 | — | — | |||||||||
Independent Power & Renewable Electricity Producers | 3,075,436 | — | — | |||||||||
Industrial Conglomerates | 80,037,415 | — | — | |||||||||
Insurance | 84,938,816 | — | — | |||||||||
Internet & Catalog Retail | 52,521,107 | — | — | |||||||||
Internet Software & Services | 113,637,655 | — | — | |||||||||
IT Services | 114,206,404 | — | — | |||||||||
Leisure Products | 3,163,824 | — | — | |||||||||
Life Sciences Tools & Services | 14,982,212 | — | — | |||||||||
Machinery | 50,660,817 | — | — | |||||||||
Media | 123,791,907 | — | — | |||||||||
Metals & Mining | 11,450,625 | — | — | |||||||||
Multiline Retail | 26,746,258 | — | — | |||||||||
Multi-Utilities | 37,232,863 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 220,563,954 | — | — | |||||||||
Paper & Forest Products | 3,715,208 | — | — | |||||||||
Personal Products | 3,570,392 | — | — | |||||||||
Pharmaceuticals | 218,363,419 | — | — | |||||||||
Professional Services | 7,352,009 | �� | — | — | ||||||||
Real Estate Investment Trusts (REITs) | 78,979,155 | — | — | |||||||||
Real Estate Management & Development | 1,935,100 | — | — | |||||||||
Road & Rail | 29,079,867 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 80,657,700 | — | — | |||||||||
Software | 124,930,949 | — | — | |||||||||
Specialty Retail | 79,279,704 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 162,972,505 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 30,508,806 | — | — | |||||||||
Thrifts & Mortgage Finance | 869,440 | — | — | |||||||||
Tobacco | 46,287,395 | — | — | |||||||||
Trading Companies & Distributors | 6,288,984 | — | — | |||||||||
Affiliated Money Market Mutual Fund | 208,948,664 | — | — | |||||||||
U.S. Treasury Obligation | — | 6,000,000 | — | |||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | (1,777,747 | ) | — | — | ||||||||
Total | $ | 3,560,713,201 | $ | 6,000,000 | $ | — | ||||||
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and exchange-traded swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and over-the-counter swap contracts which are recorded at fair value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A160
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:
Oil, Gas & Consumable Fuels | 6.4 | % | ||
Pharmaceuticals | 6.3 | |||
Affiliated Money Market Mutual Fund (including 3.2% of collateral for securities on loan) | 6.0 | |||
Banks | 6.0 | |||
Technology Hardware, Storage & Peripherals | 4.7 | |||
Software | 3.6 | |||
Media | 3.6 | |||
IT Services | 3.3 | |||
Internet Software & Services | 3.3 | |||
Biotechnology | 3.1 | |||
Health Care Providers & Services | 2.9 | |||
Aerospace & Defense | 2.6 | |||
Insurance | 2.5 | |||
Semiconductors & Semiconductor Equipment | 2.3 | |||
Industrial Conglomerates | 2.3 | |||
Food & Staples Retailing | 2.3 | |||
Chemicals | 2.3 | |||
Specialty Retail | 2.3 | |||
Real Estate Investment Trusts (REITs) | 2.3 | |||
Capital Markets | 2.3 | |||
Diversified Telecommunication Services | 2.2 | |||
Health Care Equipment & Supplies | 2.1 | |||
Beverages | 2.0 | |||
Diversified Financial Services | 1.9 | |||
Hotels, Restaurants & Leisure | 1.7 | |||
Household Products | 1.7 | |||
Food Products | 1.6 | |||
Electric Utilities | 1.6 | |||
Internet & Catalog Retail | 1.5 | |||
Communications Equipment | 1.5 | |||
Machinery | 1.5 | |||
Tobacco | 1.3 | |||
Energy Equipment & Services | 1.3 |
Multi-Utilities | 1.1 | % | ||
Textiles, Apparel & Luxury Goods | 0.9 | |||
Road & Rail | 0.8 | |||
Consumer Finance | 0.8 | |||
Multiline Retail | 0.8 | |||
Air Freight & Logistics | 0.7 | |||
Automobiles | 0.6 | |||
Electrical Equipment | 0.5 | |||
Airlines | 0.5 | |||
Household Durables | 0.4 | |||
Life Sciences Tools & Services | 0.4 | |||
Auto Components | 0.4 | |||
Commercial Services & Supplies | 0.4 | |||
Electronic Equipment, Instruments & Components | 0.4 | |||
Metals & Mining | 0.3 | |||
Professional Services | 0.2 | |||
Containers & Packaging | 0.2 | |||
Trading Companies & Distributors | 0.2 | |||
U.S. Treasury Obligation | 0.2 | |||
Health Care Technology | 0.1 | |||
Paper & Forest Products | 0.1 | |||
Construction Materials | 0.1 | |||
Personal Products | 0.1 | |||
Construction & Engineering | 0.1 | |||
Leisure Products | 0.1 | |||
Independent Power & Renewable Electricity Producers | 0.1 | |||
Building Products | 0.1 | |||
Distributors | 0.1 | |||
Real Estate Management & Development | 0.1 | |||
103.1 | ||||
Liabilities in excess of other assets | (3.1 | ) | ||
100.0 | % | |||
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 2015 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Equity contracts | Due from/to broker — variation margin futures | $ | — | Due from/to broker — variation margin futures | $ | 1,777,747 | * | |||||
* | 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, 2015 are as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | |||
Equity contracts | $ | 7,070,392 | ||
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 | $ | (5,795,603 | ) | |
For the six months ended June 30, 2015, the Fund’s average value at trade date for futures long positions was $106,999,805.
SEE NOTES TO FINANCIAL STATEMENTS.
A161
STOCK INDEX PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
as of June 30, 2015
ASSETS | ||||
Investments at value, including securities on loan of $108,588,439: | ||||
Unaffiliated investments (cost $1,335,569,629) | $ | 3,359,542,284 | ||
Affiliated investments (cost $208,948,664) | 208,948,664 | |||
Cash | 287,493 | |||
Dividends and interest receivable | 3,916,484 | |||
Receivable for investments sold | 2,047,724 | |||
Due from broker—variation margin futures | 203,970 | |||
Receivable for Series shares sold | 8,163 | |||
Tax reclaim receivable | 494 | |||
Prepaid expenses | 3,496 | |||
Total Assets | 3,574,958,772 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 111,980,415 | |||
Management fee payable | 868,539 | |||
Payable for Series shares repurchased | 800,099 | |||
Payable for investments purchased | 197,570 | |||
Accrued expenses and other liabilities | 180,275 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 114,027,824 | |||
NET ASSETS | $ | 3,460,930,948 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 1,417,174,813 | ||
Retained earnings | 2,043,756,135 | |||
Net assets, June 30, 2015 | $ | 3,460,930,948 | ||
Net asset value and redemption price per share $3,460,930,948 / 71,292,904 outstanding shares of beneficial interest | $ | 48.55 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2015
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $6,862) | $ | 34,621,339 | ||
Affiliated income from securities lending, net | 134,749 | |||
Affiliated dividend income | 88,207 | |||
Interest income | 3,172 | |||
Total income | 34,847,467 | |||
EXPENSES | ||||
Management fee | 5,985,632 | |||
Custodian and accounting fees | 162,000 | |||
Shareholders’ reports | 54,000 | |||
Insurance expenses | 20,000 | |||
Trustees’ fees | 19,000 | |||
Audit fee | 11,000 | |||
Legal fees and expenses | 7,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Miscellaneous | 13,251 | |||
Total expenses | 6,277,883 | |||
Less: Management fee waiver | (855,117 | ) | ||
Net expenses | 5,422,766 | |||
NET INVESTMENT INCOME | 29,424,701 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain on: | ||||
Investment transactions | 34,869,859 | |||
Futures transactions | 7,070,392 | |||
41,940,251 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (28,370,106 | ) | ||
Futures | (5,795,603 | ) | ||
(34,165,709 | ) | |||
NET GAIN ON INVESTMENT TRANSACTIONS | 7,774,542 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 37,199,243 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2015 | Year Ended December 31, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 29,424,701 | $ | 51,495,446 | ||||
Net realized gain on investment transactions | 41,940,251 | 41,942,935 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (34,165,709 | ) | 295,725,505 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 37,199,243 | 389,163,886 | ||||||
DISTRIBUTIONS | (93,414,310 | ) | (225,034,357 | ) | ||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [4,255,287 and 5,571,572 shares, respectively] | 211,647,212 | 260,144,327 | ||||||
Series shares issued in reinvestment of distributions [1,896,737 and 4,895,244 shares, respectively] | 93,414,310 | 225,034,357 | ||||||
Series shares repurchased [2,010,192 and 4,786,716 shares, respectively] | (100,589,305 | ) | (227,184,200 | ) | ||||
NET INCREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | 204,472,217 | 257,994,484 | ||||||
TOTAL INCREASE | 148,257,150 | 422,124,013 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 3,312,673,798 | 2,890,549,785 | ||||||
End of period | $ | 3,460,930,948 | $ | 3,312,673,798 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A162
VALUE PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
LONG-TERM INVESTMENTS — 97.5% | ||||||||
COMMON STOCKS | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 2.0% | ||||||||
Boeing Co. (The) | 223,684 | $ | 31,029,445 | |||||
Airlines — 0.8% |
| |||||||
United Continental Holdings, Inc.* | 227,257 | 12,046,894 | ||||||
Auto Components — 1.5% |
| |||||||
Lear Corp. | 211,920 | 23,790,139 | ||||||
Automobiles — 0.7% |
| |||||||
General Motors Co. | 330,357 | 11,010,799 | ||||||
Banks — 12.6% |
| |||||||
Bank of America Corp. | 1,948,329 | 33,160,559 | ||||||
Citigroup, Inc. | 709,419 | 39,188,305 | ||||||
JPMorgan Chase & Co. | 759,535 | 51,466,092 | ||||||
PNC Financial Services Group, Inc. (The) | 236,738 | 22,643,990 | ||||||
Wells Fargo & Co. | 861,891 | 48,472,750 | ||||||
194,931,696 | ||||||||
Capital Markets — 4.4% |
| |||||||
Goldman Sachs Group, Inc. (The) | 185,453 | 38,720,732 | ||||||
Morgan Stanley | 766,950 | 29,749,990 | ||||||
68,470,722 | ||||||||
Chemicals — 1.3% | ||||||||
FMC Corp. | 382,660 | 20,108,783 | ||||||
Communications Equipment — 1.5% |
| |||||||
Brocade Communications Systems, Inc. | 2,018,678 | 23,981,895 | ||||||
Consumer Finance — 4.9% |
| |||||||
Capital One Financial Corp. | 274,366 | 24,135,977 | ||||||
Navient Corp. | 1,307,252 | 23,805,059 | ||||||
SLM Corp.* | 2,825,889 | 27,891,524 | ||||||
75,832,560 | ||||||||
Diversified Financial Services — 1.5% |
| |||||||
Voya Financial, Inc. | 502,949 | 23,372,040 | ||||||
Electric Utilities — 2.1% |
| |||||||
FirstEnergy Corp. | 983,979 | 32,028,516 | ||||||
Electrical Equipment — 1.4% |
| |||||||
Eaton Corp. PLC | 332,344 | 22,429,897 | ||||||
Electronic Equipment, Instruments & Components — 1.0% |
| |||||||
Flextronics International Ltd.* | 1,330,282 | 15,045,489 | ||||||
Energy Equipment & Services — 1.4% |
| |||||||
Halliburton Co. | 513,346 | 22,109,812 | ||||||
Food Products — 3.7% |
| |||||||
Bunge Ltd. | 263,115 | 23,101,497 | ||||||
Mondelez International, Inc. (Class A Stock) | 815,078 | 33,532,309 | ||||||
56,633,806 | ||||||||
Health Care Equipment & Supplies — 1.0% |
| |||||||
Zimmer Biomet Holdings, Inc.(a) | 142,268 | 15,539,934 | ||||||
Health Care Providers & Services — 3.8% |
| |||||||
Cigna Corp. | 226,416 | 36,679,392 | ||||||
HCA Holdings, Inc.* | 243,502 | 22,090,501 | ||||||
58,769,893 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Hotels, Restaurants & Leisure — 3.6% |
| |||||||
Carnival Corp. | 714,382 | $ | 35,283,327 | |||||
Hyatt Hotels Corp. (Class A Stock)* | 357,843 | 20,286,120 | ||||||
55,569,447 | ||||||||
Insurance — 3.6% |
| |||||||
MetLife, Inc. | 619,016 | 34,658,706 | ||||||
Travelers Cos., Inc. (The)(a) | 216,668 | 20,943,129 | ||||||
55,601,835 | ||||||||
Internet Software & Services — 1.5% |
| |||||||
Google, Inc. (Class A Stock)* | 42,243 | 22,812,910 | ||||||
Machinery — 1.2% |
| |||||||
SPX Corp. | 268,787 | 19,457,491 | ||||||
Media — 5.8% |
| |||||||
Comcast Corp. (Class A Stock) | 499,574 | 30,044,380 | ||||||
Liberty Global PLC (United Kingdom) (Series C)* | 563,947 | 28,552,637 | ||||||
Viacom, Inc. (Class B Stock) | 178,452 | 11,535,137 | ||||||
Vivendi SA (France) | 769,143 | 19,502,892 | ||||||
89,635,046 | ||||||||
Multiline Retail — 1.9% |
| |||||||
Target Corp. | 357,291 | 29,165,664 | ||||||
Multi-Utilities — 1.2% |
| |||||||
PG&E Corp. | 370,391 | 18,186,198 | ||||||
Oil, Gas & Consumable Fuels — 7.3% |
| |||||||
Anadarko Petroleum Corp. | 253,842 | 19,814,906 | ||||||
Chevron Corp. | 144,148 | 13,905,958 | ||||||
Marathon Oil Corp. | 828,482 | 21,987,912 | ||||||
Noble Energy, Inc. | 439,314 | 18,749,922 | ||||||
Occidental Petroleum Corp. | 231,947 | 18,038,518 | ||||||
Suncor Energy, Inc. (Canada) | 730,914 | 20,114,753 | ||||||
112,611,969 | ||||||||
Pharmaceuticals — 12.0% |
| |||||||
AbbVie, Inc. | 280,700 | 18,860,233 | ||||||
Allergan PLC* | 127,768 | 38,772,477 | ||||||
Bayer AG (Germany), ADR | 164,132 | 23,140,150 | ||||||
Merck & Co., Inc. | 565,538 | 32,196,078 | ||||||
Mylan NV*(a) | 318,508 | 21,613,953 | ||||||
Pfizer, Inc. | 866,712 | 29,060,854 | ||||||
Teva Pharmaceutical Industries Ltd. (Israel), ADR | 376,226 | 22,234,957 | ||||||
185,878,702 | ||||||||
Road & Rail — 2.1% |
| |||||||
Hertz Global Holdings, Inc.* | 884,454 | 16,026,306 | ||||||
Union Pacific Corp. | 165,834 | 15,815,589 | ||||||
31,841,895 | ||||||||
Semiconductors & Semiconductor Equipment — 1.4% |
| |||||||
Applied Materials, Inc. | 1,118,829 | 21,503,893 | ||||||
Software — 3.0% |
| |||||||
Microsoft Corp. | 658,519 | 29,073,614 | ||||||
PTC, Inc.* | 410,037 | 16,819,718 | ||||||
45,893,332 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A163
VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Technology Hardware, Storage & Peripherals — 5.3% |
| |||||||
Apple, Inc. | 160,276 | $ | 20,102,617 | |||||
EMC Corp. | 808,337 | 21,332,014 | ||||||
Hewlett-Packard Co. | 897,717 | 26,940,487 | ||||||
NCR Corp.* | 433,722 | 13,055,032 | ||||||
81,430,150 | ||||||||
Textiles, Apparel & Luxury Goods — 0.7% |
| |||||||
Coach, Inc.(a) | 331,803 | 11,483,702 | ||||||
Wireless Telecommunication Services — 1.3% |
| |||||||
Vodafone Group PLC (United Kingdom), ADR | 568,907 | 20,736,660 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 1,508,941,214 | ||||||
SHORT-TERM INVESTMENT — 4.7% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $72,166,327; includes $36,854,714 of cash collateral for securities on loan) (Note 4)(b)(c) | 72,166,327 | 72,166,327 | ||||||
TOTAL INVESTMENTS — 102.2% |
| 1,581,107,541 | ||||||
LIABILITIES IN EXCESS OF |
| (34,340,212 | ) | |||||
NET ASSETS — 100.0% |
| $ | 1,546,767,329 | |||||
See the Glossary for abbreviations used in the Portfolio descriptions.
* | Non-income producing security. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $36,127,204; cash collateral of $36,854,714 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund. |
(c) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1—quoted | prices generally in active markets for identical securities. |
Level 2—quoted | prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 31,029,445 | $ | — | $ | — | ||||||
Airlines | 12,046,894 | — | — | |||||||||
Auto Components | 23,790,139 | — | — | |||||||||
Automobiles | 11,010,799 | — | — | |||||||||
Banks | 194,931,696 | — | — | |||||||||
Capital Markets | 68,470,722 | — | — | |||||||||
Chemicals | 20,108,783 | — | — | |||||||||
Communications Equipment | 23,981,895 | — | — | |||||||||
Consumer Finance | 75,832,560 | — | — | |||||||||
Diversified Financial Services | 23,372,040 | — | — | |||||||||
Electric Utilities | 32,028,516 | — | — | |||||||||
Electrical Equipment | 22,429,897 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 15,045,489 | — | — | |||||||||
Energy Equipment & Services | 22,109,812 | — | — | |||||||||
Food Products | 56,633,806 | — | — | |||||||||
Health Care Equipment & Supplies | 15,539,934 | — | — | |||||||||
Health Care Providers & Services | 58,769,893 | — | — | |||||||||
Hotels, Restaurants & Leisure | 55,569,447 | — | — | |||||||||
Insurance | 55,601,835 | — | — | |||||||||
Internet Software & Services | 22,812,910 | — | — | |||||||||
Machinery | 19,457,491 | — | — | |||||||||
Media | 70,132,154 | 19,502,892 | — | |||||||||
Multiline Retail | 29,165,664 | — | — | |||||||||
Multi-Utilities | 18,186,198 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A164
VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Oil, Gas & Consumable Fuels | $ | 112,611,969 | $ | — | $ | — | ||||||
Pharmaceuticals | 185,878,702 | — | — | |||||||||
Road & Rail | 31,841,895 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 21,503,893 | — | — | |||||||||
Software | 45,893,332 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 81,430,150 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 11,483,702 | — | — | |||||||||
Wireless Telecommunication Services | 20,736,660 | — | — | |||||||||
Affiliated Money Market Mutual Fund | 72,166,327 | — | — | |||||||||
Total | $ | 1,561,604,649 | $ | 19,502,892 | $ | — | ||||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:
Banks | 12.6 | % | ||
Pharmaceuticals | 12.0 | |||
Oil, Gas & Consumable Fuels | 7.3 | |||
Media | 5.8 | |||
Technology Hardware, Storage & Peripherals | 5.3 | |||
Consumer Finance | 4.9 | |||
Affiliated Money Market Mutual Fund (including 2.4% of collateral for securities on loan) | 4.7 | |||
Capital Markets | 4.4 | |||
Health Care Providers & Services | 3.8 | |||
Food Products | 3.7 | |||
Insurance | 3.6 | |||
Hotels, Restaurants & Leisure | 3.6 | |||
Software | 3.0 | |||
Electric Utilities | 2.1 | |||
Road & Rail | 2.1 | |||
Aerospace & Defense | 2.0 | |||
Multiline Retail | 1.9 | |||
Communications Equipment | 1.5 |
Auto Components | 1.5 | % | ||
Diversified Financial Services | 1.5 | |||
Internet Software & Services | 1.5 | |||
Electrical Equipment | 1.4 | |||
Energy Equipment & Services | 1.4 | |||
Semiconductors & Semiconductor Equipment | 1.4 | |||
Wireless Telecommunication Services | 1.3 | |||
Chemicals | 1.3 | |||
Machinery | 1.2 | |||
Multi-Utilities | 1.2 | |||
Health Care Equipment & Supplies | 1.0 | |||
Electronic Equipment, Instruments & Components | 1.0 | |||
Airlines | 0.8 | |||
Textiles, Apparel & Luxury Goods | 0.7 | |||
Automobiles | 0.7 | |||
102.2 | ||||
Liabilities in excess of other assets | (2.2 | ) | ||
100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A165
VALUE PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
as of June 30, 2015
ASSETS | ||||
Investments at value, including securities on loan of $36,127,204: | ||||
Unaffiliated investments (cost $1,090,278,248) | $ | 1,508,941,214 | ||
Affiliated investments (cost $72,166,327) | 72,166,327 | |||
Cash | 2,630 | |||
Foreign currency, at value (cost $605,352) | 600,236 | |||
Dividends receivable | 2,020,480 | |||
Tax reclaim receivable | 1,088,062 | |||
Receivable for Series shares sold | 4,273 | |||
Prepaid expenses | 1,874 | |||
Total Assets | 1,584,825,096 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 36,854,714 | |||
Payable for Series shares repurchased | 554,874 | |||
Management fee payable | 519,803 | |||
Accrued expenses | 123,303 | |||
Distribution fee payable | 2,190 | |||
Administration fee payable | 1,314 | |||
Affiliated transfer agent fee payable | 926 | |||
Deferred trustees’ fees | 643 | |||
Total Liabilities | 38,057,767 | |||
NET ASSETS | $ | 1,546,767,329 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 969,061,162 | ||
Retained earnings | 577,706,167 | |||
Net assets, June 30, 2015 | $ | 1,546,767,329 | ||
Class I: | ||||
Net asset value and redemption price per share $1,536,346,093 / 57,814,759 outstanding shares of beneficial interest | $ | 26.57 | ||
Class II: | ||||
Net asset value and redemption price per share $10,421,236 / 393,318 outstanding shares of beneficial interest | $ | 26.50 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2015
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $376,507) | $ | 15,503,413 | ||
Affiliated dividend income | 31,702 | |||
Affiliated income from securities lending, net | 12,545 | |||
Total income | 15,547,660 | |||
EXPENSES | ||||
Management fee | 3,123,685 | |||
Distribution fee—Class II | 13,076 | |||
Administration fee—Class II | 7,846 | |||
Custodian and accounting fees | 77,000 | |||
Shareholders’ reports | 52,000 | |||
Insurance expenses | 11,000 | |||
Trustees’ fees | 11,000 | |||
Audit fee | 11,000 | |||
Legal fees and expenses | 6,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Miscellaneous | 9,334 | |||
Total expenses | 3,327,941 | |||
NET INVESTMENT INCOME | 12,219,719 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain on: | ||||
Investment transactions | 38,045,254 | |||
Foreign currency transactions | 2,697 | |||
38,047,951 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (44,565,753 | ) | ||
Foreign currencies | (10,037 | ) | ||
(44,575,790 | ) | |||
NET LOSS ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (6,527,839 | ) | ||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 5,691,880 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2015 | Year Ended December 31, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 12,219,719 | $ | 17,952,928 | ||||
Net realized gain on investment and foreign currency transactions | 38,047,951 | 109,078,499 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (44,575,790 | ) | 26,171,535 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 5,691,880 | 153,202,962 | ||||||
SERIES SHARE TRANSACTIONS (Note 7) | ||||||||
Series shares sold | 2,774,840 | 11,406,469 | ||||||
Series shares repurchased | (64,882,842 | ) | (137,573,230 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (62,108,002 | ) | (126,166,761 | ) | ||||
TOTAL INCREASE (DECREASE) | (56,416,122 | ) | 27,036,201 | |||||
NET ASSETS: | ||||||||
Beginning of period | 1,603,183,451 | 1,576,147,250 | ||||||
End of period | $ | 1,546,767,329 | $ | 1,603,183,451 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A166
GLOSSARY | ||||||
SCHEDULE OF INVESTMENTS | As of June 30, 2015 (Unaudited) |
The following abbreviations are used in the preceding Portfolios’ descriptions:
Currency
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CLP | Chilean Peso | |
COP | Colombian Peso | |
EUR | Euro | |
GBP | British Pound | |
HUF | Hungarian Forint | |
JPY | Japanese Yen | |
MXN | Mexican Peso | |
PLN | Polish Zloty | |
TRY | Turkish Lira | |
ZAR | South African Rand |
Index
CDX | Credit Derivative Index | |
DAX | German Stock Index | |
IBEX | Spanish Stock Index | |
STOXX | Stock Index of Eurozone |
Other
144A | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. | |
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. | |
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 | |
ADR | American Depositary Receipt | |
AID | Agency for International Development | |
BABs | Build America Bonds | |
BBSW | Australian Bank Bill Swap Reference Rate | |
bps | Basis Points | |
CDO | Collateralized Debt Obligation | |
CDO | Credit Derivative Index | |
CLO | Collateralized Loan Obligation | |
CMBS | Collateralized Mortgage-Backed Security | |
COLIBOR | Columbia Interbank Offered Rate | |
CVA | Certificate Van Aandelen (Bearer) | |
EMTN | Euro Medium Term Note | |
ETF | Exchange Traded Fund | |
EUROIS | Euro Overnight Index Swap | |
FHLMC | Federal Home Loan Mortgage Corp. | |
GMTN | Global Medium Term Note | |
GO | General Obligation | |
I/O | Interest Only | |
JIBAR | Johannesburg Interbank Agreed Rate | |
LIBOR | London Interbank Offered Rate | |
MSCI | Morgan Stanley Capital International | |
MTN | Medium Term Note | |
OIS | Overnight Index Swap | |
PIK | Payment-in-Kind | |
PIPE | Private Investment in Public Equity | |
PO | Principle Only | |
PRFC | Preference Shares | |
REIT | Real Estate Investment Trust | |
REMICS | Real Estate Mortgage Investment Conduit Service | |
STRIPS | Separate Trading of Registered Interest and Principle of Securities | |
SWX | Swiss Exchange | |
TBA | To Be Announced | |
TIPS | Treasury Inflation Protected Securities | |
USAID | United States Agency for International Development |
SEE NOTES TO FINANCIAL STATEMENTS.
A167
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
(Unaudited)
Note 1: | General |
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is composed of seventeen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the 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 Series Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolios consistently follow such policies in the preparation of their financial statements.
Securities Valuation: Each Portfolio holds securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.
Various inputs determine how each Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following each Portfolio’s Schedule of Investments.
B1
Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy.
In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.
Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. Such securities are valued using model prices to the extent that the valuation meets the established confidence level for each security. If the confidence level is not met or the vendor does not provide a model price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the over-the-counter (“OTC”) market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.
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 assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 in the fair value hierarchy.
OTC derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are generally valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.
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 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 5% 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
B2
time considered most advantageous by its subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional
buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.
Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is each Portfolio’s policy that its custodian or designated subcustodians, as the case may be, under triparty repurchase agreements, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked to market on a daily basis to ensure the adequacy of the collateral. If the seller defaults or the value of the collateral declines, or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Portfolio may be delayed or limited.
Foreign Currency Translation: The books and records of the Portfolios are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities — at the current daily rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, these realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions.
Net realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from holdings of foreign currencies, forward currency contracts, disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains or losses from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.
Concentration of Risk: The ability of debt securities issuers (other than those issued or guaranteed by the U.S. Government) held by the Portfolios to meet their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political or economic instability or the level of governmental supervision and regulation of foreign securities markets.
Forward Currency Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or specific receivables and payables denominated in a foreign currency. The contracts are valued daily at current exchange rates and any unrealized gain or loss is included in net unrealized appreciation or depreciation on foreign currencies. Gain or loss is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain or loss, if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. A Portfolio’s maximum risk of loss
B3
from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life.
Cross Currency Exchange Contracts: A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.
Short Sales: Certain Portfolios may sell a security they do not own in anticipation of a decline in the market value of that security (short sale). When a Portfolio makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the transaction. The Portfolio may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions open are recorded on the ex-date and interest payable is accrued daily on fixed income securities sold short, both of which are recorded as an expense. A gain, limited to the price at which the Portfolio sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received.
Loan Participations: Certain Portfolios may invest in loan participations. When the Portfolio purchases a loan participation, the Portfolio typically enters into a contractual relationship with the lender or third party selling such participations (“Selling Participant”), but not the borrower. As a result, the Portfolio assumes the credit risk of the borrower and any other persons interpositioned between the Portfolio and the borrower. The Portfolio may not directly benefit from the collateral supporting the senior loan in which it has purchased the loan participation.
Financial Futures Contracts: A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolio is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain or loss. When the contract expires or is closed, the gain or loss is realized and is presented in the Statement of Operations as net realized gain or loss on financial futures contracts.
Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolio intends to purchase, against fluctuations in value caused by changes in prevailing interest rates, the value of equities or foreign currency exchange rates. The Portfolio may also use futures to gain additional market exposure. The Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. With exchange-traded futures contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.
Options: Certain Portfolios purchased and wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates and foreign currency exchange rates, with respect to securities which the Portfolio currently owns or intends to purchase. The Portfolios’ principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain or loss. The difference between the premium and the amount received or paid at the closing of a purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in net realized gain or loss on investment transactions. Gain or loss on written options is presented separately as net realized gain or loss on options written. The Portfolio, as writer of an option, may have no control over whether the underlying securities may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change
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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 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 using interest rate swap contracts. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. A Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life.
Credit Default Swaps: Credit default swaps (“CDS”) involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for the referenced entity (typically corporate issues or sovereign issues of an emerging country) on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index. Certain Portfolios are subject to credit risk in the normal course of pursuing their investment objectives. Certain Portfolios may enter into credit default swaps to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. A Portfolios’ maximum risk of loss from counterparty credit risk for purchased credit default swaps is the inability of the counterparty to honor the contract up to the notional value due to a credit event.
As a seller of protection on credit default swap agreements, the Portfolio generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the Portfolio may be subject to investment exposure on the notional amount of the swap.
The maximum amount of the payment that the Portfolio, as a seller of protection, could be required to make under a credit default swap agreement would be equal to the notional amount of the underlying security or index contract as a result of a credit event. This potential amount will be partially offset by any recovery values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements which the Portfolio entered into for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and
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may include upfront payments required to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as indicators of the current status of the payment/performance risk. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.
Currency Swaps: Certain Portfolios entered into currency swap agreements primarily to gain yield exposure on foreign bonds. Currency swap agreements involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specified exchange rates.
Total Return Swaps: In a total return swap, one party would receive payments based on the market value of the security or the commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pay a fixed amount. The Portfolio is subject to risk exposures associated with the referenced asset in the normal course of pursuing its investment objectives. Certain Portfolios entered into total return swaps to manage its exposure to a security or an index. The Portfolio’s maximum risk of loss from counterparty credit risk is the change in the value of the security, in the Fund’s favor, from the point of entering into the contract.
Master Netting Arrangements: Certain Portfolios are subject to various Master Agreements, or netting arrangements, with select counterparties. These are arrangements which a subadviser may have negotiated and entered into on behalf of the Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives under the FASB Accounting Standards Update (“ASU”) 2013-01 disclosure. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. 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 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
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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, 2015, none of the Portfolios have met conditions under such agreements which give the counterparty the right to call for an early termination.
Forward currency contracts, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by engaging in master netting arrangements.
Warrants and Rights: Certain Portfolios hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolio until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.
Securities Lending: Each Portfolio may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid short-term money market 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 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 is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial
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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 Portfolio’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.
Note 3: | Agreements |
The Series Fund has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisers’ performance of such services. PI has entered into subadvisory agreements with Prudential Investment Management, Inc. (“PIM”), Jennison Associates LLC (“Jennison”), Brown Advisory, LLC (“Brown”), LSV Asset Management (“LSV”), Quantitative Management Associates LLC (“QMA”), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “Subadvisers”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PI pays for the services of the Subadvisers, cost of compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Portfolios bear all other costs and expenses.
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 | 0.13 | * | |||
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 | 0.40 |
* | In order to support the income yield, PI has voluntarily agreed to limit the management fees of the Money Market Portfolio such that the 1-day annualized yield 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, 2015, the total waiver as a result of this voluntary agreement was $999,485 or an annualized 0.27% of the Money Market Portfolio’s average daily net assets. |
** | PI has contractually agreed, through June 30, 2016, to waive a portion of its management fee equal to an annual rate of 0.05% of the average daily net assets of the Portfolio. |
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*** | PI has contractually agreed, through March 31, 2015, to waive a portion of its management fee equal to an annual rate of 0.01% of the average daily net assets of the Portfolio. Effective April 1, 2015, PI has contractually agreed, through June 30, 2016, to waive a portion of its management fee equal to an annual rate of 0.011% of the average daily net assets of the Portfolio. |
**** | PI had 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. |
At June 30, 2015, the Subadvisers that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadviser is listed, each Subadviser provides services to a segment of the Portfolio:
Portfolio | Subadviser(s) | |
Conservative Balanced Portfolio | 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, 2015, brokerage commission recaptured under these agreements was as follows:
Portfolio | Amount | |||
Equity Portfolio | $ | 176,026 | ||
Global Portfolio | 12,946 | |||
Jennison Portfolio | 51,559 | |||
Natural Resources Portfolio | 37,779 | |||
Value Portfolio | 51,062 |
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Note 4: | Other Transactions with Affiliates |
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PI and an indirect, wholly-owned subsidiary of Prudential, serves as the Series Fund’s transfer agent. Transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
PIM also serves as the Series Fund’s securities lending agent. Earnings from securities lending are disclosed on the Statement of Operations as “Affiliated income from securities lending, net”. For the six months ended June 30, 2015, PIM was compensated for the securities lending as follows:
Portfolio | Amount | |||
Conservative Balanced Portfolio | $ | 34,257 | ||
Diversified Bond Portfolio | 10,242 | |||
Equity Portfolio | 42,269 | |||
Flexible Managed Portfolio | 31,773 | |||
Global Portfolio | 3,706 | |||
Government Income Portfolio | 4,145 | |||
High Yield Bond Portfolio | 192,760 | |||
Jennison Portfolio | 35,289 | |||
Natural Resources Portfolio | 34,156 | |||
Small Capitalization Stock Portfolio | 97,061 | |||
Stock Index Portfolio | 40,250 | |||
Value Portfolio | 3,747 |
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, 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, 2015 were as follows:
Portfolio | Cost of Purchases | Proceeds from Sales | ||||||
Conservative Balanced Portfolio | $ | 1,890,866,083 | $ | 1,979,635,655 | ||||
Diversified Bond Portfolio | 202,903,490 | 138,157,957 | ||||||
Equity Portfolio | 629,127,960 | 751,646,232 | ||||||
Flexible Managed Portfolio | 3,375,981,936 | 3,516,590,583 | ||||||
Global Portfolio | 116,907,055 | 130,673,102 | ||||||
Government Income Portfolio | 1,043,483,955 | 1,028,889,951 | ||||||
High Yield Bond Portfolio | 1,104,963,050 | 930,669,422 | ||||||
Jennison Portfolio | 253,008,331 | 304,217,488 | ||||||
Natural Resources Portfolio | 100,637,700 | 117,665,442 | ||||||
Small Capitalization Stock Portfolio | 46,551,400 | 69,682,379 | ||||||
Stock Index Portfolio | 235,291,565 | 95,779,442 | ||||||
Value Portfolio | 216,340,777 | 242,023,705 |
Options written transactions, during the six months ended June 30, 2015, were as follows:
Conservative Balanced Portfolio | Notional Amount (000) | Premiums | ||||||
Balance as of December 31, 2014 | 84,000 | $ | 38,632 | |||||
Options written | 530,100 | 775,130 | ||||||
Options closed | (268,000 | ) | (415,369 | ) | ||||
Options expired | (291,700 | ) | (157,081 | ) | ||||
Balance as of June 30, 2015 | 54,400 | $ | 241,312 | |||||
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Diversified Bond Portfolio | Notional Amount (000) | Premiums | ||||||
Balance as of December 31, 2014 | 649,000 | $ | 455,618 | |||||
Options written | 132,238,850 | 934,850 | ||||||
Options closed | (131,705,000 | ) | (391,476 | ) | ||||
Options expired | (649,500 | ) | (727,831 | ) | ||||
Balance as of June 30, 2015 | 533,350 | $ | 271,161 | |||||
Flexible Managed Portfolio | Notional Amount (000) | Premiums | ||||||
Balance as of December 31, 2014 | 108,800 | $ | 50,037 | |||||
Options written | 661,100 | 987,732 | ||||||
Options closed | (329,700 | ) | (506,869 | ) | ||||
Options expired | (364,800 | ) | (196,326 | ) | ||||
Balance as of June 30, 2015 | 75,400 | $ | 334,574 | |||||
Government Income Portfolio | Notional Amount (000) | Premiums | ||||||
Balance as of December 31, 2014 | 76,400 | $ | 35,136 | |||||
Options written | 384,000 | 576,773 | ||||||
Options closed | (199,500 | ) | (307,761 | ) | ||||
Options expired | (218,500 | ) | (116,067 | ) | ||||
Balance as of June 30, 2015 | 42,400 | $ | 188,081 | |||||
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. The Portfolios generally attempt to manage their diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Management has analyzed the Portfolios’ tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current reporting period. The Portfolios’ federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
Note 7: | Capital |
The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life 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, 2015, the Equity, Jennison, Natural Resources and Value Portfolios have Class II shares outstanding.
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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, 2015: | ||||||||
Series shares sold | 139,289 | $ | 5,459,082 | |||||
Series shares repurchased | (3,706,537 | ) | (145,555,630 | ) | ||||
Net increase (decrease) in shares outstanding | (3,567,248 | ) | $ | (140,096,548 | ) | |||
Year ended December 31, 2014: | ||||||||
Series shares sold | 334,797 | $ | 12,282,548 | |||||
Series shares repurchased | (7,032,156 | ) | (259,927,615 | ) | ||||
Net increase (decrease) in shares outstanding | (6,697,359 | ) | $ | (247,645,067 | ) | |||
Class II | ||||||||
Six months ended June 30, 2015: | ||||||||
Series shares sold | 412 | $ | 16,562 | |||||
Series shares repurchased | (7,152 | ) | (282,561 | ) | ||||
Net increase (decrease) in shares outstanding | (6,740 | ) | $ | (265,999 | ) | |||
Year ended December 31, 2014: | ||||||||
Series shares sold | 14,613 | $ | 533,921 | |||||
Series shares repurchased | (21,926 | ) | (816,476 | ) | ||||
Net increase (decrease) in shares outstanding | (7,313 | ) | $ | (282,555 | ) | |||
Jennison Portfolio:
Class I | Shares | Amount | ||||||
Six months ended June 30, 2015: | ||||||||
Shares sold | 202,166 | $ | 8,715,849 | |||||
Shares repurchased | (1,437,789 | ) | (62,113,884 | ) | ||||
Net increase (decrease) in shares outstanding | (1,235,623 | ) | $ | (53,398,035 | ) | |||
Year ended December 31, 2014: | ||||||||
Shares sold | 437,648 | $ | 16,981,425 | |||||
Shares repurchased | (3,542,532 | ) | (136,572,954 | ) | ||||
Net increase (decrease) in shares outstanding | (3,104,884 | ) | $ | (119,591,529 | ) | |||
Class II | ||||||||
Six months ended June 30, 2015: | ||||||||
Shares sold | 170,725 | $ | 7,196,668 | |||||
Shares repurchased | (154,988 | ) | (6,493,321 | ) | ||||
Net increase (decrease) in shares outstanding | 15,737 | $ | 703,347 | |||||
Year ended December 31, 2014: | ||||||||
Shares sold | 251,796 | $ | 9,480,751 | |||||
Shares repurchased | (262,299 | ) | (9,828,686 | ) | ||||
Net increase (decrease) in shares outstanding | (10,503 | ) | $ | (347,935 | ) | |||
B12
Natural Resources Portfolio:
Class I | Shares | Amount | ||||||
Six months ended June 30, 2015: | ||||||||
Shares sold | 256,608 | $ | 7,757,178 | |||||
Shares repurchased | (1,128,436 | ) | (33,785,551 | ) | ||||
Net increase (decrease) in shares outstanding | (871,828 | ) | $ | (26,028,373 | ) | |||
Year ended December 31, 2014: | ||||||||
Shares sold | 439,890 | $ | 17,269,602 | |||||
Shares repurchased | (1,968,633 | ) | (74,412,547 | ) | ||||
Net increase (decrease) in shares outstanding | (1,528,743 | ) | $ | (57,142,945 | ) | |||
Class II | ||||||||
Six months ended June 30, 2015: | ||||||||
Shares sold | 544,739 | $ | 15,610,769 | |||||
Shares repurchased | (542,534 | ) | (16,340,649 | ) | ||||
Net increase (decrease) in shares outstanding | 2,205 | $ | (729,880 | ) | ||||
Year ended December 31, 2014: | ||||||||
Shares sold | 534,762 | $ | 19,096,047 | |||||
Shares repurchased | (522,704 | ) | (19,771,982 | ) | ||||
Net increase (decrease) in shares outstanding | 12,058 | $ | (675,935 | ) | ||||
Value Portfolio:
Class I | Shares | Amount | ||||||
Six months ended June 30, 2015: | ||||||||
Shares sold | 100,305 | $ | 2,642,840 | |||||
Shares repurchased | (2,433,890 | ) | (64,522,737 | ) | ||||
Net increase (decrease) in shares outstanding | (2,333,585 | ) | $ | (61,879,897 | ) | |||
Year ended December 31, 2014: | ||||||||
Shares sold | 321,290 | $ | 8,064,035 | |||||
Shares repurchased | (5,408,640 | ) | (136,662,414 | ) | ||||
Net increase (decrease) in shares outstanding | (5,087,350 | ) | $ | (128,598,379 | ) | |||
Class II | ||||||||
Six months ended June 30, 2015: | ||||||||
Shares sold | 5,001 | $ | 132,000 | |||||
Shares repurchased | (13,576 | ) | (360,105 | ) | ||||
Net increase (decrease) in shares outstanding | (8,575 | ) | $ | (228,105 | ) | |||
Year ended December 31, 2014: | ||||||||
Shares sold | 129,503 | $ | 3,342,434 | |||||
Shares repurchased | (35,694 | ) | (910,816 | ) | ||||
Net increase (decrease) in shares outstanding | 93,809 | $ | 2,431,618 | |||||
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 October 9, 2014 through October 8, 2015. The Funds pay an annualized commitment fee of .075% of 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.
B13
The following Portfolios utilized the SCA during the six months ended June 30, 2015. 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 | Maximum Balance Outstanding | Amount Outstanding at June 30, 2015 | |||||||||||||||
Diversified Bond Portfolio | $ | 223,600 | 5 | 1.43 | % | $ | 391,000 | — | ||||||||||||
Global Portfolio | 351,333 | 3 | 1.43 | % | 471,000 | — | ||||||||||||||
Jennison Portfolio | 1,376,278 | 18 | 1.43 | % | 3,775,000 | — |
Note 9: | Ownership and Affiliates |
As of June 30, 2015, all of Class I shares of record of each Portfolio were owned by the Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned subsidiary of Prudential.
Note 10: | New Accounting Pronouncement |
In May 2015, the FASB issued ASU No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share”. The amendments in this update are effective for the Fund for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at net asset value (“NAV”) per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. At this time, management is evaluating the implications of ASU No. 2015-07 and its impact on the financial statement disclosures has not yet been determined.
B14
(Unaudited)
Conservative Balanced Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2015(a) | Year Ended December 31, | |||||||||||||||||||||||
2014(a) | 2013(a) | 2012 | 2011 | 2010 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 22.45 | $ | 20.63 | $ | 17.77 | $ | 16.32 | $ | 15.96 | $ | 14.65 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .20 | .36 | .35 | .38 | .36 | .37 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (.08 | ) | 1.46 | 2.51 | 1.43 | .37 | 1.31 | |||||||||||||||||
Total from investment operations | .12 | 1.82 | 2.86 | 1.81 | .73 | 1.68 | ||||||||||||||||||
Less Distributions | — | — | — | (.36 | ) | (.37 | ) | (.37 | ) | |||||||||||||||
Net Asset Value, end of period | $ | 22.57 | $ | 22.45 | $ | 20.63 | $ | 17.77 | $ | 16.32 | $ | 15.96 | ||||||||||||
Total Return(b) | .53 | % | 8.82 | % | 16.09 | % | 11.23 | % | 4.60 | % | 11.74 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 2,502.6 | $ | 2,574.4 | $ | 2,504.4 | $ | 2,287.0 | $ | 2,191.6 | $ | 2,234.7 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .58 | %(e) | .58 | % | .58 | % | .58 | % | .59 | % | .59 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .58 | %(e) | .58 | % | .58 | % | .58 | % | .59 | % | .59 | % | ||||||||||||
Net investment income | 1.77 | %(e) | 1.66 | % | 1.84 | % | 2.11 | % | 2.12 | % | 2.32 | % | ||||||||||||
Portfolio turnover rate(d) | 109 | %(f) | 134 | % | 196 | % | 188 | % | 215 | % | 185 | % | ||||||||||||
Diversified Bond Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2015(a) | Year Ended December 31, | |||||||||||||||||||||||
2014(a) | 2013 | 2012(a) | 2011 | 2010 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 11.66 | $ | 11.01 | $ | 11.88 | $ | 11.74 | $ | 11.67 | $ | 11.16 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .21 | .43 | .48 | .54 | .56 | .52 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (.24 | ) | .34 | (.56 | ) | .66 | .30 | .63 | ||||||||||||||||
Total from investment operations | (.03 | ) | .77 | (.08 | ) | 1.20 | .86 | 1.15 | ||||||||||||||||
Less Distributions | — | (.12 | ) | (.79 | ) | (1.06 | ) | (.79 | ) | (.64 | ) | |||||||||||||
Net Asset Value, end of period | $ | 11.63 | $ | 11.66 | $ | 11.01 | $ | 11.88 | $ | 11.74 | $11.67 | |||||||||||||
Total Return(b) | (.26 | )% | 7.09 | % | (.71 | )% | 10.68 | % | 7.51 | % | 10.57 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1,035.0 | $ | 1,067.9 | $ | 1,197.5 | $ | 1,305.9 | $ | 1,556.9 | $ | 1,522.9 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .44 | %(e) | .44 | % | .44 | % | .44 | % | .42 | % | .46 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .44 | %(e) | .44 | % | .44 | % | .44 | % | .42 | % | .46 | % | ||||||||||||
Net investment income | 3.55 | %(e) | 3.73 | % | 4.10 | % | 4.57 | % | 4.76 | % | 4.46 | % | ||||||||||||
Portfolio turnover rate | 37 | %(f) | 50 | % | 111 | % | 144 | % | 167 | % | 191 | % |
(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 fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(d) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover. |
(e) | Annualized. |
(f) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Financial Highlights
(Unaudited)
Equity Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2015(c) | Year Ended December 31, | |||||||||||||||||||||||
2014(c) | 2013 | 2012(c) | 2011 | 2010 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 38.56 | $ | 35.81 | $ | 26.81 | $ | 23.73 | $ | 24.75 | $ | 22.30 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .17 | .19 | .27 | .27 | .13 | .15 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.06 | 2.56 | 8.73 | 2.96 | (.98 | ) | 2.48 | |||||||||||||||||
Total from investment operations | 1.23 | 2.75 | 9.00 | 3.23 | (.85 | ) | 2.63 | |||||||||||||||||
Less Distributions: | — | — | — | (.15 | ) | (.17 | ) | (.18 | ) | |||||||||||||||
Net Asset Value, end of period | $ | 39.79 | $ | 38.56 | $ | 35.81 | $ | 26.81 | $ | 23.73 | $ | 24.75 | ||||||||||||
Total Return(a) | 3.19 | % | 7.68 | % | 33.57 | % | 13.69 | % | (3.47 | )% | 11.90 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 4,004.3 | $ | 4,017.6 | $ | 3,970.9 | $ | 3,167.0 | $ | 2,997.5 | $ | 3,324.3 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .47 | %(d) | .47 | % | .47 | % | .47 | % | .48 | % | .48 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .47 | %(d) | .47 | % | .47 | % | .47 | % | .48 | % | .48 | % | ||||||||||||
Net investment income | .87 | %(d) | .52 | % | .86 | % | 1.04 | % | .58 | % | .71 | % | ||||||||||||
Portfolio turnover rate | 16 | %(e) | 51 | % | 45 | % | 48 | % | 49 | % | 68 | % | ||||||||||||
Equity Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2015(c) | Year Ended December 31, | |||||||||||||||||||||||
2014(c) | 2013 | 2012(c) | 2011 | 2010 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 38.66 | $ | 36.05 | $ | 27.10 | $ | 23.99 | $ | 25.00 | $ | 22.46 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .09 | .04 | .13 | .17 | .06 | .04 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.07 | 2.57 | 8.82 | 3.00 | (1.03 | ) | 2.54 | |||||||||||||||||
Total from investment operations | 1.16 | 2.61 | 8.95 | 3.17 | (.97 | ) | 2.58 | |||||||||||||||||
Less Distributions: | — | — | — | (.06 | ) | (.04 | ) | (.04 | ) | |||||||||||||||
Net Asset Value, end of period | $ | 39.82 | $ | 38.66 | $ | 36.05 | $ | 27.10 | $ | 23.99 | $ | 25.00 | ||||||||||||
Total Return(a) | 3.00 | % | 7.24 | % | 33.03 | % | 13.23 | % | (3.87 | )% | 11.50 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 2.0 | $ | 2.2 | $ | 2.3 | $ | 1.8 | $ | 2.0 | $ | 1.9 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .87 | %(d) | .87 | % | .87 | % | .87 | % | .88 | % | .88 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .87 | %(d) | .87 | % | .87 | % | .87 | % | .88 | % | .88 | % | ||||||||||||
Net investment income | .48 | %(d) | .11 | % | .47 | % | .63 | % | .19 | % | .34 | % | ||||||||||||
Portfolio turnover rate | 16 | %(e) | 51 | % | 45 | % | 48 | % | 49 | % | 68 | % |
(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 fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
(c) | Calculated based on average shares outstanding during the period. |
(d) | Annualized. |
(e) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
(Unaudited)
Flexible Managed Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2015(a) | Year Ended December 31, | |||||||||||||||||||||||
2014(a) | 2013(a) | 2012 | 2011 | 2010 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 23.71 | $ | 21.35 | $ | 17.77 | $ | 15.99 | $ | 15.63 | $ | 14.28 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .21 | .37 | .36 | .37 | .33 | .31 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (.01 | ) | 1.99 | 3.22 | 1.74 | .34 | 1.37 | |||||||||||||||||
Total from investment operations | .20 | 2.36 | 3.58 | 2.11 | .67 | 1.68 | ||||||||||||||||||
Less Distributions | — | — | — | (.33 | ) | (.31 | ) | (.33 | ) | |||||||||||||||
Net Asset Value, end of period | $ | 23.91 | $ | 23.71 | $ | 21.35 | $ | 17.77 | $ | 15.99 | $ | 15.63 | ||||||||||||
Total Return(b) | .84 | % | 11.05 | % | 20.15 | % | 13.37 | % | 4.34 | % | 12.03 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 3,865.9 | $ | 3,943.8 | $ | 3,730.6 | $ | 3,265.8 | $ | 3,036.8 | $ | 3,077.3 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .63 | %(e) | .63 | % | .63 | % | .63 | % | .63 | % | .64 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .63 | %(e) | .63 | % | .63 | % | .63 | % | .63 | % | .64 | % | ||||||||||||
Net investment income | 1.79 | %(e) | 1.66 | % | 1.86 | % | 2.05 | % | 2.01 | % | 2.06 | % | ||||||||||||
Portfolio turnover rate(d) | 108 | %(f) | 161 | % | 210 | % | 214 | % | 246 | % | 205 | % | ||||||||||||
Global Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2015(a) | Year Ended December 31, | |||||||||||||||||||||||
2014(a) | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 25.72 | $ | 24.91 | $ | 19.57 | $ | 16.94 | $ | 18.49 | $ | 16.68 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .24 | .37 | .31 | .36 | .29 | .28 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | .90 | .44 | 5.03 | 2.57 | (1.56 | ) | 1.79 | |||||||||||||||||
Total from investment operations | 1.14 | .81 | 5.34 | 2.93 | (1.27 | ) | 2.07 | |||||||||||||||||
Less Distributions | — | — | — | (.30 | ) | (.28 | ) | (.26 | ) | |||||||||||||||
Net Asset Value, end of period | $ | 26.86 | $ | 25.72 | $ | 24.91 | $ | 19.57 | $ | 16.94 | $ | 18.49 | ||||||||||||
Total Return(b) | 4.43 | % | 3.25 | % | 27.29 | % | 17.52 | % | (6.97 | )% | 12.74 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 732.4 | $ | 719.2 | $ | 744.5 | $ | 611.2 | $ | 564.2 | $ | 648.5 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursements | .81 | %(e) | .81 | % | .84 | % | .84 | % | .84 | % | .87 | % | ||||||||||||
Expenses before waivers and/or expense reimbursements | .82 | %(e) | .82 | % | .84 | % | .84 | % | .84 | % | .87 | % | ||||||||||||
Net investment income | 1.78 | %(e) | 1.45 | % | 1.29 | % | 1.82 | % | 1.54 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 17 | %(f) | 37 | % | 70 | % | 57 | % | 69 | % | 69 | % |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(d) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(e) | Annualized. |
(f) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C3
Financial Highlights
(Unaudited)
Government Income Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2015 | Year Ended December 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 11.92 | $ | 11.30 | $ | 12.15 | $ | 12.37 | $ | 12.03 | $ | 11.86 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .09 | .21 | .21 | .25 | .30 | .35 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (.07 | ) | .45 | (.49 | ) | .19 | .60 | .47 | ||||||||||||||||
Total from investment operations | .02 | .66 | (.28 | ) | .44 | .90 | .82 | |||||||||||||||||
Less Distributions | — | (.04 | ) | (.57 | ) | (.66 | ) | (.56 | ) | (.65 | ) | |||||||||||||
Net Asset Value, end of period | $ | 11.94 | $ | 11.92 | $ | 11.30 | $ | 12.15 | $ | 12.37 | $ | 12.03 | ||||||||||||
Total Return(a) | .17 | % | 5.86 | % | (2.34 | )% | 3.63 | % | 7.63 | % | 6.99 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 330.0 | $ | 339.2 | $ | 341.1 | $ | 382.9 | $ | 416.7 | $ | 399.2 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursements | .48 | %(d) | .47 | % | .49 | % | .48 | % | .46 | % | .50 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .48 | %(d) | .47 | % | .49 | % | .48 | % | .46 | % | .50 | % | ||||||||||||
Net investment income | 1.43 | %(d) | 1.73 | % | 1.78 | % | 1.96 | % | 2.48 | % | 2.87 | % | ||||||||||||
Portfolio turnover rate(c) | 341 | %(e) | 830 | % | 1135 | % | 1154 | % | 1554 | % | 1122 | % | ||||||||||||
High Yield Bond Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2015 | Year Ended December 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 5.11 | $ | 5.29 | $ | 5.26 | $ | 4.93 | $ | 5.06 | $ | 4.83 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .16 | .32 | .34 | .35 | .38 | .42 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (.02 | ) | (.18 | ) | .03 | .34 | (.13 | ) | .23 | |||||||||||||||
Total from investment operations | .14 | .14 | .37 | .69 | .25 | .65 | ||||||||||||||||||
Less Distributions | (.16 | ) | (.32 | ) | (.34 | ) | (.36 | ) | (.38 | ) | (.42 | ) | ||||||||||||
Net Asset Value, end of period | $ | 5.09 | $ | 5.11 | $ | 5.29 | $ | 5.26 | $ | 4.93 | $ | 5.06 | ||||||||||||
Total Return(a) | 2.74 | % | 2.71 | % | 7.26 | % | 14.43 | % | 5.10 | % | 14.05 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 3,286.8 | $ | 3,245.9 | $ | 3,020.5 | $ | 2,841.8 | $ | 2,158.4 | $ | 2,141.2 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursements | .57 | %(d) | .57 | % | .57 | % | .57 | % | .58 | % | .58 | % | ||||||||||||
Expenses before waivers and/or expense reimbursements | .57 | %(d) | .57 | % | .57 | % | .57 | % | .58 | % | .58 | % | ||||||||||||
Net investment income | 6.17 | %(d) | 5.95 | % | 6.34 | % | 6.95 | % | 7.53 | % | 8.51 | % | ||||||||||||
Portfolio turnover rate | 29 | %(e) | 48 | % | 54 | % | 53 | % | 68 | % | 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 returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(d) | Annualized. |
(e) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
Financial Highlights
(Unaudited)
Jennison Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2015(a) | Year Ended December 31, | |||||||||||||||||||||||
2014 | 2013(a) | 2012(a) | 2011 | 2010(a) | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 40.85 | $ | 37.15 | $ | 26.98 | $ | 23.26 | $ | 23.26 | $ | 20.87 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .05 | .06 | .06 | .11 | .03 | .06 | ||||||||||||||||||
Net realized and unrealized gain on investments | 3.50 | 3.64 | 10.11 | 3.65 | .04 | 2.42 | ||||||||||||||||||
Total from investment operations | 3.55 | 3.70 | 10.17 | 3.76 | .07 | 2.48 | ||||||||||||||||||
Less Distributions | — | — | — | (.04 | ) | (.07 | ) | (.09 | ) | |||||||||||||||
Net Asset Value, end of period | $ | 44.40 | $ | 40.85 | $ | 37.15 | $ | 26.98 | $ | 23.26 | $ | 23.26 | ||||||||||||
Total Return(b) | 8.69 | % | 9.96 | % | 37.69 | % | 16.18 | % | .30 | % | 11.95 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1,662.3 | $ | 1,580.0 | $ | 1,551.9 | $ | 1,213.3 | $ | 1,126.3 | $ | 1,362.1 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .63 | %(e) | .63 | % | .63 | % | .63 | % | .64 | % | .64 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .63 | %(e) | .63 | % | .63 | % | .63 | % | .64 | % | .64 | % | ||||||||||||
Net investment income | .23 | %(e) | .15 | % | .18 | % | .42 | % | .16 | % | .29 | % | ||||||||||||
Portfolio turnover rate | 15 | %(f) | 34 | % | 40 | % | 45 | % | 51 | % | 67 | % | ||||||||||||
Jennison Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2015(a) | Year Ended December 31, | |||||||||||||||||||||||
2014 | 2013(a) | 2012(a) | 2011 | 2010(a) | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 39.80 | $ | 36.33 | $ | 26.49 | $ | 22.89 | $ | 22.91 | $ | 20.55 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | (.03 | ) | (.10 | ) | (.07 | ) | — | (d) | (.07 | ) | (.02 | ) | ||||||||||||
Net realized and unrealized gain on investments | 3.40 | 3.57 | 9.91 | 3.60 | .05 | 2.38 | ||||||||||||||||||
Total from investment operations | 3.37 | 3.47 | 9.84 | 3.60 | (.02 | ) | 2.36 | |||||||||||||||||
Less Distributions | — | — | — | — | — | — | (d) | |||||||||||||||||
Net Asset Value, end of period | $ | 43.17 | $ | 39.80 | $ | 36.33 | $ | 26.49 | $ | 22.89 | $ | 22.91 | ||||||||||||
Total Return(b) | 8.47 | % | 9.55 | % | 37.15 | % | 15.73 | % | (.09 | )% | 11.50 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 48.1 | $ | 43.7 | $ | 40.3 | $ | 33.6 | $ | 31.9 | $ | 33.2 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.03 | %(e) | 1.03 | % | 1.03 | % | 1.03 | % | 1.04 | % | 1.04 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.03 | %(e) | 1.03 | % | 1.03 | % | 1.03 | % | 1.04 | % | 1.04 | % | ||||||||||||
Net investment income (loss) | (.17 | )%(e) | (.25 | )% | (.22 | )% | .02 | % | (.24 | )% | (.10 | )% | ||||||||||||
Portfolio turnover rate | 15 | %(f) | 34 | % | 40 | % | 45 | % | 51 | % | 67 | % |
(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 fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(d) | 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, 2015 | Year Ended December 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
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) | — | (a) | ||||||||||||
Distributions | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | ||||||||||||
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) | — | %(d) | .01 | % | .02 | % | .03 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 687.1 | $ | 823.6 | $ | 866.0 | $ | 903.5 | $ | 1,016.0 | $ | 1,127.1 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursements | .17 | %(e) | .16 | % | .17 | % | .21 | % | .18 | % | .25 | % | ||||||||||||
Expenses before waivers and/or expense reimbursements | .44 | %(e) | .44 | % | .44 | % | .44 | % | .42 | % | .44 | % | ||||||||||||
Net investment income | .00 | %(e) | .00 | %(d) | .00 | %(d) | .01 | % | .02 | % | .03 | % |
(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 fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(c) | 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, 2015(a) | Year Ended December 31, | |||||||||||||||||||||||
2014(a) | 2013(a) | 2012 | 2011(a) | 2010(a) | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 29.87 | $ | 37.29 | $ | 33.83 | $ | 38.25 | $ | 47.33 | $ | 37.15 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .17 | .23 | .20 | .25 | .16 | .08 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.18 | ) | (7.65 | ) | 3.26 | (1.49 | ) | (9.16 | ) | 10.26 | ||||||||||||||
Total from investment operations | (1.01 | ) | (7.42 | ) | 3.46 | (1.24 | ) | (9.00 | ) | 10.34 | ||||||||||||||
Less Distributions | — | — | — | (3.18 | ) | (.08 | ) | (.16 | ) | |||||||||||||||
Net Asset Value, end of period | $ | 28.86 | $ | 29.87 | $ | 37.29 | $ | 33.83 | $ | 38.25 | $ | 47.33 | ||||||||||||
Total Return(b) | (3.38 | )% | (19.90 | )% | 10.23 | % | (2.47 | )% | (19.03 | )% | 27.98 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 543.9 | $ | 589.0 | $ | 792.1 | $ | 802.2 | $ | 926.6 | $ | 1,259.5 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .46 | %(d) | .45 | % | .48 | % | .50 | % | .50 | % | .50 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .51 | %(d) | .50 | % | .51 | % | .50 | % | .50 | % | .50 | % | ||||||||||||
Net investment income | 1.16 | %(d) | .59 | % | .55 | % | .71 | % | .36 | % | .22 | % | ||||||||||||
Portfolio turnover rate | 17 | %(e) | 24 | % | 22 | % | 26 | % | 34 | % | 28 | % | ||||||||||||
Natural Resources Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2015(a) | Year Ended December 31, | |||||||||||||||||||||||
2014(a) | 2013(a) | 2012 | 2011(a) | 2010(a) | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 29.35 | $ | 36.78 | $ | 33.50 | $ | 37.89 | $ | 46.98 | $ | 36.88 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .11 | .07 | .05 | .12 | (.02 | ) | (.07 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.16 | ) | (7.50 | ) | 3.23 | (1.51 | ) | (9.07 | ) | 10.20 | ||||||||||||||
Total from investment operations | (1.05 | ) | (7.43 | ) | 3.28 | (1.39 | ) | (9.09 | ) | 10.13 | ||||||||||||||
Less Distributions | — | — | — | (3.00 | ) | — | (.03 | ) | ||||||||||||||||
Net Asset Value, end of period | $ | 28.30 | $ | 29.35 | $ | 36.78 | $ | 33.50 | $ | 37.89 | $ | 46.98 | ||||||||||||
Total Return(b) | (3.58 | )% | (20.20 | )% | 9.79 | % | (2.94 | )% | (19.35 | )% | 27.48 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 42.0 | $ | 43.5 | $ | 54.1 | $ | 61.2 | $ | 67.9 | $ | 101.9 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .86 | %(d) | .85 | % | .88 | % | .90 | % | .90 | % | .90 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .91 | %(d) | .90 | % | .91 | % | .90 | % | .90 | % | .90 | % | ||||||||||||
Net investment income (loss) | .76 | %(d) | .19 | % | .15 | % | .31 | % | (.04 | )% | (.18 | )% | ||||||||||||
Portfolio turnover rate | 17 | %(e) | 24 | % | 22 | % | 26 | % | 34 | % | 28 | % |
(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 fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(d) | Annualized. |
(e) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C7
Financial Highlights
(Unaudited)
Small Capitalization Stock Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2015(d) | Year Ended December 31, | |||||||||||||||||||||||
2014(d) | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 27.57 | $ | 26.16 | $ | 18.56 | $ | 17.00 | $ | 17.27 | $ | 13.83 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .16 | .25 | .22 | .26 | .10 | .13 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | .95 | 1.16 | 7.38 | 2.35 | — | (c) | 3.43 | |||||||||||||||||
Total from investment operations | 1.11 | 1.41 | 7.60 | 2.61 | .10 | 3.56 | ||||||||||||||||||
Less Distributions | — | — | — | (1.05 | ) | (.37 | ) | (.12 | ) | |||||||||||||||
Net Asset Value, end of period | $ | 28.68 | $ | 27.57 | $ | 26.16 | $ | 18.56 | $ | 17.00 | $ | 17.27 | ||||||||||||
Total Return(a) | 4.03 | % | 5.39 | % | 40.95 | % | 16.03 | % | .56 | % | 25.93 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 750.8 | $ | 750.9 | $ | 770.1 | $ | 578.4 | $ | 542.6 | $ | 589.9 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursements | .40 | %(e) | .40 | % | .42 | % | .46 | % | .48 | % | .49 | % | ||||||||||||
Expenses before waivers and/or expense reimbursements | .45 | %(e) | .45 | % | .45 | % | �� | .46 | % | .48 | % | .49 | % | |||||||||||
Net investment income | 1.16 | %(e) | .96 | % | .92 | % | 1.43 | % | .60 | % | .88 | % | ||||||||||||
Portfolio turnover rate | 6 | %(f) | 15 | % | 14 | % | 10 | % | 17 | % | 15 | % | ||||||||||||
Stock Index Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2015 | Year Ended December 31, | |||||||||||||||||||||||
2014(d) | 2013(d) | 2012 | 2011 | 2010 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 49.33 | $ | 47.02 | $ | 35.65 | $ | 31.47 | $ | 31.37 | $ | 27.89 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .43 | .79 | .73 | .68 | .54 | .48 | ||||||||||||||||||
Net realized and unrealized gain on investments | .13 | 5.20 | 10.64 | 4.19 | .07 | 3.51 | ||||||||||||||||||
Total from investment operations | .56 | 5.99 | 11.37 | 4.87 | .61 | 3.99 | ||||||||||||||||||
Less Distributions | (1.34 | ) | (3.68 | ) | — | (.69 | ) | (.51 | ) | (.51 | ) | |||||||||||||
Net Asset Value, end of period | $ | 48.55 | $ | 49.33 | $ | 47.02 | $ | 35.65 | $ | 31.47 | $ | 31.37 | ||||||||||||
Total Return(a) | 1.10 | % | 13.31 | % | 31.89 | % | 15.68 | % | 1.95 | % | 14.59 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 3,460.9 | $ | 3,312.7 | $ | 2,890.5 | $ | 2,340.3 | $ | 2,162.4 | $ | 2,277.6 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursements | .32 | %(e) | .32 | % | .32 | % | .32 | % | .33 | % | .36 | % | ||||||||||||
Expenses before waivers and/or expense reimbursements | .37 | %(e) | .37 | % | .37 | % | .37 | % | .38 | % | .38 | % | ||||||||||||
Net investment income | 1.72 | %(e) | 1.67 | % | 1.77 | % | 1.97 | % | 1.74 | % | 1.70 | % | ||||||||||||
Portfolio turnover rate | 3 | %(f) | 5 | % | 3 | % | 2 | % | 2 | % | 4 | % |
(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 fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | Less than $0.005 per share. |
(d) | Calculated based on average shares outstanding during the period. |
(e) | Annualized. |
(f) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C8
Financial Highlights
(Unaudited)
Value Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2015(a) | Year Ended December 31, | |||||||||||||||||||||||
2014(a) | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 26.48 | $ | 24.05 | $ | 18.07 | $ | 15.93 | $ | 17.04 | $ | 15.10 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .21 | .29 | .22 | .22 | .14 | .17 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (.12 | ) | 2.14 | 5.76 | 2.09 | (1.08 | ) | 1.90 | ||||||||||||||||
Total from investment operations | .09 | 2.43 | 5.98 | 2.31 | (.94 | ) | 2.07 | |||||||||||||||||
Less Distributions | — | — | — | (.17 | ) | (.17 | ) | (.13 | ) | |||||||||||||||
Net Asset Value, end of period | $ | 26.57 | $ | 26.48 | $ | 24.05 | $ | 18.07 | $ | 15.93 | $ | 17.04 | ||||||||||||
Total Return(b) | .34 | % | 10.10 | % | 33.09 | % | 14.62 | % | (5.58 | )% | 13.86 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1,536.3 | $ | 1,592.6 | $ | 1,568.7 | $ | 1,263.3 | $ | 1,231.6 | $ | 1,432.9 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .42 | %(d) | .40 | % | .40 | % | .43 | % | .43 | % | .44 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .42 | %(d) | .42 | % | .43 | % | .43 | % | .43 | % | .44 | % | ||||||||||||
Net investment income | 1.57 | %(d) | 1.13 | % | 1.06 | % | 1.36 | % | .90 | % | 1.08 | % | ||||||||||||
Portfolio turnover rate | 14 | %(e) | 37 | % | 41 | % | 28 | % | 43 | % | 63 | % | ||||||||||||
Value Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2015(a) | Year Ended December 31, | |||||||||||||||||||||||
2014(a) | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 26.45 | $ | 24.12 | $ | 18.20 | $ | 16.04 | $ | 17.13 | $ | 15.16 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .16 | .18 | .16 | .17 | .08 | .12 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (.11 | ) | 2.15 | 5.76 | 2.08 | (1.08 | ) | 1.90 | ||||||||||||||||
Total from investment operations | .05 | 2.33 | 5.92 | 2.25 | (1.00 | ) | 2.02 | |||||||||||||||||
Less Distributions | — | — | — | (.09 | ) | (.09 | ) | (.05 | ) | |||||||||||||||
Net Asset Value, end of period | $ | 26.50 | $ | 26.45 | $ | 24.12 | $ | 18.20 | $ | 16.04 | $ | 17.13 | ||||||||||||
Total Return(b) | .19 | % | 9.66 | % | 32.53 | % | 14.14 | % | (5.89 | )% | 13.39 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 10.4 | $ | 10.6 | $ | 7.4 | $ | 6.2 | $ | 6.0 | $ | 7.1 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .82 | %(d) | .80 | % | .80 | % | .83 | % | .83 | % | .84 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .82 | %(d) | .82 | % | .83 | % | .83 | % | .83 | % | .84 | % | ||||||||||||
Net investment income | 1.17 | %(d) | .73 | % | .66 | % | .95 | % | .50 | % | .69 | % | ||||||||||||
Portfolio turnover rate | 14 | %(e) | 37 | % | 41 | % | 28 | % | 43 | % | 63 | % |
(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 fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(d) | Annualized. |
(e) | 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, and each series thereof, the Portfolios) consists of ten individuals, nine of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios, their operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with Prudential Investments LLC (PI) and each Portfolio’s subadvisory agreement(s). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 15-16, 2015 (the Meeting) and approved the renewal of the agreements through July 31, 2016, after concluding that the renewal of the agreements was in the best interests of the Trust, each Portfolio and each Portfolio’s beneficial shareholders.
In advance of the Meeting, the Trustees 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 each Portfolio’s shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment.
The material factors and conclusions that formed the basis for the Trustees’ determinations to approve the renewal of the agreements are discussed separately below.
Nature, quality and extent of services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PI and each subadviser. The Board considered the services provided by PI, including but not limited to the oversight of the subadvisers, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PI’s oversight of the subadvisers, the Board noted that PI’s Strategic Investment Research Group (SIRG), a business unit of PI, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadvisers. The Board also considered that PI pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PI’s evaluation of the subadvisers, as well as PI’s recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.
The Board reviewed the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of the Trust and each subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadvisers’ portfolio managers who are responsible for the day-to-day management of each Portfolio. The Board was provided with information pertaining to PI’s and each subadviser’s organizational structure, senior management, investment operations and other relevant information
pertaining to PI and each subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PI and each subadviser. The Board noted that 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 information regarding the profitability of PIM, Jennison and QMA, each of which are affiliates of PI, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board received and discussed information concerning whether PI realizes economies of scale as the Portfolios’ assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolios in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PI’s costs are not specific to individual funds, but rather are incurred across a variety of products and services.
With respect to the Stock Index Portfolio, the Board noted that the management fee schedule includes a breakpoint, which has the effect of decreasing the fee rate as assets increase, but that at its current level of assets, the Stock Index Portfolio does not realize the effect of any rate reduction. The Board took note, however, that the Stock Index Portfolio’s fee structure would result in a benefit to shareholders when (and if) assets reach the level at which the fee rate is reduced. The Board also noted that the management fee 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 relationship 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 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, 2014, except as otherwise noted below. The Board compared the historical performance of each Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Lipper Inc. (Lipper), an independent provider of mutual fund data, to be similar to the Portfolio.
The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2014. The Board considered the management fee for each Portfolio as compared to the management fee charged by PI to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of similar mutual funds that were determined by Lipper to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in each Peer Universe and each Peer Group were objectively determined by 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 and the Board may have considered, 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 | ||||
1st Quartile | 1st Quartile | 1st Quartile | 2nd Quartile | |||||
Actual Management Fees: 2nd Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Diversified Bond Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Equity Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
4th Quartile | 4th Quartile | 4th Quartile | 2nd Quartile | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the ten-year period, although it underperformed its benchmark index over the one-, three- and five-year periods. |
• | The Board noted that the Portfolio’s portfolio manager team responsible for the Portfolio’s performance record had recently been replaced, resulting in changes in the securities selection process for the Portfolio. |
• | The Board further noted that the Portfolio’s repositioning by the new portfolio manager was not completed until the end of 2014 and that through the first quarter of 2015 the Portfolio beat its benchmark and its Peer Universe median. |
• | The Board considered that the Portfolio’s performance had improved during the first quarter of 2015, with the Portfolio ranked in the second quartile of its Peer Universe and outperforming its benchmark index. |
• | The Board concluded that in light of the above, it would be in the best interests of the Portfolio and its shareholders to continue to monitor the Portfolio’s performance and to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Flexible Managed Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 1st Quartile | 1st Quartile | 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 Portfolio’s competitive performance, 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 | ||||
4th Quartile | 4th Quartile | 4th Quartile | — | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 2nd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the three-, five- and ten-year periods, although it underperformed over the one-year period. |
• | The Board considered that the Portfolio’s recent performance had improved, with the Portfolio ranked in the first quartile of its Peer Universe and outperforming its benchmark index during the first quarter of 2015. |
• | The Board noted that PI had contractually agreed to waive of 0.011% of its management fee through June 30, 2016. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Government Income Portfolio | ||||||||
Performance | 1 Year | �� | 3 Years | 5 Years | 10 Years | |||
1st Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
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 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. |
Jennison 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 considered that the Portfolio outperformed its benchmark index over the three- and ten-year periods, although it underperformed over the one- and five-year 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. |
• | The Board concluded 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 | ||||
2nd Quartile | 3rd Quartile | 3rd Quartile | 2nd Quartile | |||||
Actual Management Fees: 3rd Quartile | ||||||||
Net Total Expenses: 2nd 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-, three- and five-year periods, and in the first quartile for the ten-year period. |
• | 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 | ||||
4th Quartile | 4th Quartile | 4th 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 ten-year period, although it underperformed over the one-, three- and five-year periods. |
• | The Board considered PI’s explanation that the Portfolio historically demonstrated a volatile pattern of returns over shorter time periods, but that over longer time periods the Portfolio had outperformed peer funds and its benchmark index. |
• | At the Board’s request, PI agreed to present strategic alternatives to the Board if the performance of the Portfolio does not improve promptly. |
• | 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 | 1st Quartile | 2nd Quartile | |||||
Actual Management Fees: 2nd Quartile | ||||||||
Net Total Expenses: 2nd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board noted that PI had contractually agreed to waive 0.05% of its management fee through June 30, 2016. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Stock Index Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
3rd Quartile | 3rd Quartile | 2nd Quartile | 1st Quartile | |||||
Actual Management Fees: 4th Quartile | ||||||||
Net Total Expenses: 4th Quartile |
• | The Board noted that the Portfolio’s outperformed its benchmark index over the five- and ten-year periods, although it underperformed over the one- and three-year periods. |
• | The Board further considered that, through the first quarter of 2015, the Portfolio outperformed its benchmark and its Peer Universe median for the trailing one-, three-, five- and ten-year periods. |
• | The Board took into account that, on a net basis, the Portfolio outperformed its Peer Universe Median for all periods. |
• | The Board noted that PI had contractually agreed to waive 0.05% of its management fee through June 30, 2016. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Value Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
3rd Quartile | 4th Quartile | 4th 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 ten-year period, although it underperformed over the one-, three- and five-year periods. |
• | The Board noted that the Portfolio’s portfolio manager team responsible for the Portfolio’s performance record had recently been replaced, resulting in changes in the securities selection process for the Portfolio. |
• | The Board further noted that the Portfolio’s repositioning by the new portfolio manager was not completed until the end of 2014 and that through the first quarter of 2015 the Portfolio’s performance had begun to improve. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to continue to monitor the Portfolio’s performance and 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 offers two classes of shares in each Portfolio: Class I and Class II. Class I shares are sold only to separate accounts of The Prudential Insurance Company of America, Pruco Life Insurance Company, and Pruco Life Insurance Company of New Jersey (collectively, Prudential) as investment options under variable life insurance and variable annuity contracts (the Contracts). (A separate account keeps the assets supporting certain insurance contracts separate from the general assets and liabilities of the insurance company.) Class II shares are offered only to separate accounts of non-Prudential insurance companies for the same types of Contracts.
The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), 655 Broad Street, 19th Floor, Newark, NJ 07102, 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.
©2015 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.
0229045-00004-00 PSF-SAR-A
THE PRUDENTIAL SERIES FUND
SEMIANNUAL REPORT Ÿ JUNE 30, 2015
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, 2015, 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
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The Prudential Series Fund
Table of Contents | Semiannual Report | June 30, 2015 |
n | LETTER TO CONTRACT OWNERS |
n | PRESENTATION OF PORTFOLIO HOLDINGS |
n | FEES AND EXPENSES |
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 |
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, 2015 |
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.
Sincerely,
Timothy S. Cronin
President,
The Prudential Series Fund | July 31, 2015 |
Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2015 |
SP International Growth | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Tencent Holdings Ltd. (China) | 2.8% | |||
Continental AG (Germany) | 2.3% | |||
Murata Manufacturing Co. Ltd. (Japan) | 2.2% | |||
FANUC Corp. (Japan) | 2.1% | |||
St. James’s Place PLC (United Kingdom) | 1.9% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Sectors are subject to change.
The Prudential Series Fund
Fees and Expenses — unaudited | June 30, 2015 |
As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2015 through June 30, 2015.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During 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, 2015 | Ending Account Value June 30, 2015 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
SP International Growth (Class I) | Actual | $ | 1,000.00 | $ | 1,084.20 | 1.23 | % | $ | 6.36 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,018.70 | 1.23 | % | $ | 6.16 | ||||||||||
SP International Growth (Class II) | Actual | $ | 1,000.00 | $ | 1,082.30 | 1.63 | % | $ | 8.42 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,016.71 | 1.63 | % | $ | 8.15 |
* 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, 2015, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2015 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
SP INTERNATIONAL GROWTH PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2015 (Unaudited) |
LONG-TERM INVESTMENTS — 98.9% | ||||||||
COMMON STOCKS — 97.5% | Shares | Value (Note 2) | ||||||
Argentina — 0.7% | ||||||||
MercadoLibre, Inc. | 4,086 | $ | 578,986 | |||||
Australia — 1.2% | ||||||||
Brambles Ltd. | 30,615 | 249,749 | ||||||
Insurance Australia Group Ltd. | 72,745 | 312,758 | ||||||
Macquarie Group Ltd. | 7,507 | 470,355 | ||||||
1,032,862 | ||||||||
Austria — 0.3% | ||||||||
Andritz AG | 5,040 | 279,096 | ||||||
Belgium — 0.3% | ||||||||
Colruyt SA | 5,905 | 264,887 | ||||||
Canada — 2.9% | ||||||||
Alimentation Couche-Tard, Inc. (Class B Stock) | 24,051 | 1,028,859 | ||||||
Brookfield Asset Management, Inc. (Class A Stock) | 16,924 | 591,155 | ||||||
Home Capital Group, Inc. | 6,900 | 239,097 | ||||||
Shawcor Ltd. | 5,645 | 165,373 | ||||||
Suncor Energy, Inc. | 15,215 | 419,052 | ||||||
2,443,536 | ||||||||
China — 7.3% | ||||||||
Alibaba Group Holding Ltd., ADR* | 13,103 | 1,077,984 | ||||||
Baidu, Inc., ADR* | 1,471 | 292,846 | ||||||
China Overseas Land & Investment Ltd. | 82,000 | 288,650 | ||||||
JD.com, Inc., ADR* | 31,247 | 1,065,523 | ||||||
Lenovo Group Ltd. | 262,000 | 362,232 | ||||||
NetEase, Inc., ADR | 2,369 | 343,185 | ||||||
Tencent Holdings Ltd. | 117,841 | 2,356,411 | ||||||
Vipshop Holdings Ltd., ADS*(a) | 20,728 | 461,198 | ||||||
6,248,029 | ||||||||
Denmark — 1.6% | ||||||||
Jyske Bank A/S* | 5,682 | 285,331 | ||||||
Novo Nordisk A/S (Class B Stock) | 19,916 | 1,092,888 | ||||||
1,378,219 | ||||||||
Finland — 0.5% | ||||||||
Sampo OYJ (Class A Stock) | 8,891 | 419,007 | ||||||
France — 7.4% | ||||||||
Arkema SA | 3,057 | 220,984 | ||||||
BNP Paribas SA | 4,150 | 251,834 | ||||||
Cap Gemini SA | 6,626 | 587,837 | ||||||
Dassault Systemes SA | 19,225 | 1,395,626 | ||||||
Hermes International | 530 | 197,892 | ||||||
JCDecaux SA | 6,440 | 269,310 | ||||||
Pernod Ricard SA | 2,115 | 244,500 | ||||||
Publicis Groupe SA | 3,980 | 295,010 | ||||||
Rexel SA | 18,809 | 303,514 | ||||||
Sanofi | 4,240 | 419,464 | ||||||
Schneider Electric SE | 4,395 | 304,306 | ||||||
Sodexo | 4,305 | 409,827 | ||||||
SPIE SA* | 6,100 | 121,391 | ||||||
Total SA | 7,000 | 343,357 | ||||||
Valeo SA | 5,762 | 911,453 | ||||||
6,276,305 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Germany — 6.7% | ||||||||
Bayer AG | 9,667 | $ | 1,353,771 | |||||
Bayerische Motoren Werke AG | 3,505 | 383,849 | ||||||
Brenntag AG | 6,185 | 354,905 | ||||||
Continental AG | 8,262 | 1,956,258 | ||||||
Deutsche Boerse AG | 3,095 | 256,352 | ||||||
KUKA AG | 6,753 | 562,487 | ||||||
Linde AG | 1,765 | 334,492 | ||||||
Rational AG | 406 | 149,119 | ||||||
SAP SE, ADR(a) | 4,680 | 328,676 | ||||||
5,679,909 | ||||||||
Hong Kong — 0.7% | ||||||||
AIA Group Ltd. | 77,600 | 507,400 | ||||||
Jardine Matheson Holdings Ltd. | 2,200 | 124,740 | ||||||
632,140 | ||||||||
India — 1.2% | ||||||||
HDFC Bank Ltd., ADR | 10,767 | 651,727 | ||||||
Tata Motors Ltd., ADR | 10,562 | 364,072 | ||||||
1,015,799 | ||||||||
Indonesia — 0.7% | ||||||||
PT Bank Rakyat Indonesia Persero Tbk | 345,200 | 267,174 | ||||||
PT Tower Bersama Infrastructure Tbk* | 162,434 | 112,391 | ||||||
PT Tower Bersama Infrastructure Tbk , 144A*(g) | 256,930 | 177,774 | ||||||
557,339 | ||||||||
Ireland — 2.1% | ||||||||
DCC PLC | 3,475 | 272,891 | ||||||
Ryanair Holdings PLC, ADR | 5,877 | 419,324 | ||||||
Shire PLC | 13,740 | 1,103,996 | ||||||
1,796,211 | ||||||||
Israel — 2.5% | ||||||||
Bezeq Israeli Telecommunication Corp. Ltd. | 215,779 | 367,466 | ||||||
Check Point Software Technologies | 12,878 | 1,024,445 | ||||||
Teva Pharmaceutical Industries Ltd., ADR | 12,020 | 710,382 | ||||||
2,102,293 | ||||||||
Italy — 3.0% | ||||||||
Anima Holding SpA | 35,468 | 311,525 | ||||||
Anima Holding SpA, 144A(g) | 5,753 | 50,530 | ||||||
Azimut Holding SpA | 8,870 | 259,642 | ||||||
Brembo SpA | 10,482 | 447,166 | ||||||
Intesa Sanpaolo SpA | 166,435 | 604,407 | ||||||
Luxottica Group SpA | 13,924 | 926,197 | ||||||
2,599,467 | ||||||||
Japan — 19.2% | ||||||||
Astellas Pharma, Inc. | 27,200 | 387,487 | ||||||
Daikin Industries Ltd. | 7,200 | 517,596 | ||||||
FANUC Corp. | 8,613 | 1,762,354 | ||||||
Fuji Heavy Industries Ltd. | 38,624 | 1,420,235 | ||||||
Hoya Corp. | 9,600 | 384,478 | ||||||
Kansai Paint Co. Ltd. | 31,600 | 489,585 | ||||||
Kao Corp. | 8,600 | 399,960 |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
SP INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Japan (continued) | ||||||||
Keyence Corp. | 1,500 | $ | 808,465 | |||||
Laox Co. Ltd.* | 61,047 | 232,585 | ||||||
Minebea Co. Ltd. | 53,544 | 883,924 | ||||||
Miraca Holdings, Inc. | 5,700 | 284,796 | ||||||
Murata Manufacturing Co. Ltd. | 10,851 | 1,893,667 | ||||||
Nihon Kohden Corp. | 9,700 | 239,981 | ||||||
Nitori Holdings Co. Ltd. | 3,500 | 285,350 | ||||||
Ono Pharmaceutical Co. Ltd. | 6,083 | 663,929 | ||||||
ORIX Corp. | 30,400 | 451,424 | ||||||
Pigeon Corp. | 34,542 | 1,087,830 | ||||||
Santen Pharmaceutical Co. Ltd. | 22,600 | 319,761 | ||||||
SMC Corp. | 3,000 | 902,758 | ||||||
SoftBank Group Corp. | 5,000 | 294,515 | ||||||
Sugi Holdings Co. Ltd. | 3,300 | 168,363 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 7,800 | 347,250 | ||||||
Sundrug Co. Ltd. | 5,100 | 303,681 | ||||||
Sysmex Corp. | 13,901 | 827,909 | ||||||
Toyota Motor Corp. | 8,000 | 535,338 | ||||||
Unicharm Corp. | 18,951 | 450,172 | ||||||
16,343,393 | ||||||||
Mexico — 0.4% | ||||||||
Alsea SAB de CV | 93,231 | 281,339 | ||||||
Alsea SAB de CV, 144A(g) | 20,763 | 62,656 | ||||||
343,995 | ||||||||
Netherlands — 2.0% | ||||||||
Akzo Nobel NV | 5,082 | 371,033 | ||||||
ASML Holding NV | 4,565 | 474,841 | ||||||
Koninklijke Ahold NV | 12,930 | 242,731 | ||||||
NXP Semiconductors NV* | 3,471 | 340,852 | ||||||
Royal Dutch Shell PLC (Class A Stock) | 10,016 | 284,854 | ||||||
1,714,311 | ||||||||
Norway — 0.2% | ||||||||
DnB ASA | 10,665 | 177,611 | ||||||
Philippines — 0.6% | ||||||||
Universal Robina Corp. | 128,499 | 552,521 | ||||||
Singapore — 0.2% | ||||||||
United Overseas Bank Ltd. | 10,000 | 171,090 | ||||||
South Africa — 2.5% | ||||||||
Aspen Pharmacare Holdings Ltd. | 29,944 | 885,517 | ||||||
Aspen Pharmacare Holdings Ltd., | 2,865 | 84,725 | ||||||
Bidvest Group Ltd. (The) | 11,335 | 286,812 | ||||||
Discovery Ltd. | 42,696 | 443,422 | ||||||
Mr. Price Group Ltd. | 22,173 | 456,386 | ||||||
2,156,862 | ||||||||
South Korea — 1.5% | ||||||||
Amorepacific Corp. | 1,037 | 387,797 | ||||||
Samsung Electronics Co. Ltd. | 762 | 864,555 | ||||||
1,252,352 | ||||||||
Spain — 2.8% | ||||||||
Amadeus IT Holding SA (Class A Stock) | 24,864 | 992,578 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 19,474 | 191,896 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Spain (continued) | ||||||||
Inditex SA | 38,136 | $ | 1,243,897 | |||||
2,428,371 | ||||||||
Sweden — 2.2% | ||||||||
Assa Abloy AB | 30,321 | 570,817 | ||||||
Atlas Copco AB (Class A Stock) | 11,671 | 326,535 | ||||||
Hexagon AB (Class B Stock) | 11,781 | 426,714 | ||||||
Nordea Bank AB | 20,100 | 250,682 | ||||||
Telefonaktiebolaget LM Ericsson (Class B Stock) | 31,155 | 324,484 | ||||||
1,899,232 | ||||||||
Switzerland — 6.9% | ||||||||
Actelion Ltd.* | 3,712 | 543,628 | ||||||
Cie Financiere Richemont SA | 2,870 | 233,268 | ||||||
Geberit AG | 1,090 | 363,400 | ||||||
Givaudan SA* | 298 | 515,929 | ||||||
Julius Baer Group Ltd.* | 5,345 | 299,929 | ||||||
Novartis AG | 14,928 | 1,468,325 | ||||||
Partners Group Holding AG | 2,350 | 702,386 | ||||||
Pentair PLC | 2,900 | 199,375 | ||||||
Roche Holding AG | 2,185 | 612,655 | ||||||
SGS SA | 220 | 401,191 | ||||||
Sonova Holding AG | 1,360 | 183,906 | ||||||
UBS Group AG* | 17,960 | 381,048 | ||||||
5,905,040 | ||||||||
Taiwan — 0.8% | ||||||||
Largan Precision Co. Ltd. | 6,000 | 684,905 | ||||||
United Kingdom — 15.9% | ||||||||
Aldermore Group PLC* | 25,961 | 125,800 | ||||||
Aldermore Group PLC, 144A*(g) | 21,716 | 105,229 | ||||||
Amlin PLC | 53,739 | 402,077 | ||||||
ARM Holdings PLC | 39,826 | 651,704 | ||||||
Ashtead Group PLC | 36,761 | 633,564 | ||||||
AstraZeneca PLC | 13,185 | 834,477 | ||||||
Barclays PLC | 82,085 | 336,436 | ||||||
Bunzl PLC | 17,522 | 477,988 | ||||||
Burberry Group PLC | 13,587 | 335,194 | ||||||
Compass Group PLC | 37,940 | 627,491 | ||||||
Howden Joinery Group PLC | 45,140 | 366,389 | ||||||
IG Group Holdings PLC | 24,923 | 292,131 | ||||||
InterContinental Hotels Group PLC | 8,611 | 347,165 | ||||||
ITV PLC | 168,176 | 695,813 | ||||||
Just Eat PLC* | 49,102 | 313,755 | ||||||
Just Eat PLC, 144A*(g) | 74,390 | 475,341 | ||||||
Lloyds Banking Group PLC | 279,230 | 374,780 | ||||||
OneSavings Bank PLC | 68,039 | 336,753 | ||||||
OneSavings Bank PLC, 144A(g) | 20,118 | 99,572 | ||||||
Prudential PLC | 34,217 | 824,609 | ||||||
Reckitt Benckiser Group PLC | 5,461 | 470,923 | ||||||
Reed Elsevier PLC | 51,872 | 842,950 | ||||||
SABMiller PLC | 4,545 | �� | 235,659 | |||||
Spectris PLC | 5,780 | 191,498 | ||||||
St. James’s Place PLC | 113,592 | 1,615,219 | ||||||
TalkTalk Telecom Group PLC(a) | 77,310 | 464,243 | ||||||
Travis Perkins PLC | 10,835 | 358,850 |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
SP INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
United Kingdom (continued) | ||||||||
Wolseley PLC | 5,468 | $ | 348,716 | |||||
WPP PLC | 17,606 | 395,185 | ||||||
13,579,511 | ||||||||
United States — 3.2% | ||||||||
Allergan PLC* | 3,288 | 997,777 | ||||||
AON PLC | 4,360 | 434,605 | ||||||
Jazz Pharmaceuticals PLC* | 4,006 | 705,336 | ||||||
Nielsen NV | 8,420 | 376,963 | ||||||
Samsonite International SA | 58,000 | 200,529 | ||||||
2,715,210 | ||||||||
TOTAL COMMON STOCKS |
| 83,228,489 | ||||||
Units | ||||||||
PARTICIPATORY NOTE* — 0.6% | ||||||||
India | ||||||||
Bharti Infratel Ltd., Private Placement, Expiring 06/18/20, 144A(g) | 75,344 | 528,181 | ||||||
Shares | ||||||||
PREFERRED STOCKS — 0.8% | ||||||||
Germany | ||||||||
Henkel AG & Co. KGaA (PRFC) | 3,280 | 368,069 | ||||||
Volkswagen AG (PRFC) | 1,335 | 309,826 | ||||||
TOTAL PREFERRED STOCKS |
| 677,895 | ||||||
Units | ||||||||
WARRANTS* | ||||||||
Thailand | ||||||||
Minor International PCL, Expiring 11/03/17 (cost $0) | 13,111 | 1,568 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 84,436,133 | ||||||
Shares | Value (Note 2) | |||||||
SHORT-TERM INVESTMENT — 3.1% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $2,626,346; includes $2,201,984 of cash collateral for securities on loan) | 2,626,346 | $ | 2,626,346 | |||||
TOTAL INVESTMENTS — 102.0% |
| 87,062,479 | ||||||
LIABILITIES IN EXCESS OF |
| (1,733,145 | ) | |||||
NET ASSETS — 100.0% |
| $ | 85,329,334 | |||||
The following abbreviations are used in the Portfolio descriptions:
144A | Security was purchased pursuant to Rule 144A under the Security 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 Share | |
PRFC | Preference Shares |
* | 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 $2,153,414; cash collateral of $2,201,984 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
(g) | Indicates a security or securities that has been deemed illiquid. |
(w) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2—Prudential Core Taxable Money Market Fund. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
SP INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2015 (Unaudited) |
The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Argentina | $ | 578,986 | $ | — | $ | — | ||||||
Australia | — | 1,032,862 | — | |||||||||
Austria | — | 279,096 | — | |||||||||
Belgium | — | 264,887 | — | |||||||||
Canada | 2,443,536 | — | — | |||||||||
China | 3,240,736 | 3,007,293 | — | |||||||||
Denmark | — | 1,378,219 | — | |||||||||
Finland | — | 419,007 | — | |||||||||
France | 121,391 | 6,154,914 | — | |||||||||
Germany | 477,795 | 5,202,114 | — | |||||||||
Hong Kong | 124,740 | 507,400 | — | |||||||||
India | 1,015,799 | — | — | |||||||||
Indonesia | 112,391 | 444,948 | — | |||||||||
Ireland | 419,324 | 1,376,887 | — | |||||||||
Israel | 1,734,827 | 367,466 | — | |||||||||
Italy | — | 2,599,467 | — | |||||||||
Japan | — | 16,343,393 | — | |||||||||
Mexico | 281,339 | 62,656 | — | |||||||||
Netherlands | 340,852 | 1,373,459 | — | |||||||||
Norway | — | 177,611 | — | |||||||||
Philippines | — | 552,521 | — | |||||||||
Singapore | — | 171,090 | — | |||||||||
South Africa | — | 2,156,862 | — | |||||||||
South Korea | — | 1,252,352 | — | |||||||||
Spain | — | 2,428,371 | — | |||||||||
Sweden | — | 1,899,232 | — | |||||||||
Switzerland | 199,375 | 5,705,665 | — | |||||||||
Taiwan | — | 684,905 | — | |||||||||
United Kingdom | 462,553 | 13,116,958 | — | |||||||||
United States | 2,715,210 | — | — | |||||||||
Preferred Stocks | ||||||||||||
Germany | — | 677,895 | — | |||||||||
Warrants | ||||||||||||
Thailand | 1,568 | — | — | |||||||||
Participatory Note | ||||||||||||
India | — | 528,181 | — | |||||||||
Affiliated Money Market Mutual Fund | 2,626,346 | — | — | |||||||||
Total | $ | 16,896,768 | $ | 70,165,711 | $ | — | ||||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 were as follows:
Pharmaceuticals | 13.9 | % | ||
Internet Software & Services | 6.5 | |||
Machinery | 6.0 | |||
Insurance | 5.9 | |||
Electronic Equipment, Instruments & Components | 5.0 | |||
Banks | 4.7 | |||
Auto Components | 3.9 | |||
Automobiles | 3.5 | |||
Software | 3.2 | |||
Affiliated Money Market Mutual Fund (including 2.6% of collateral for securities on loan) | 3.1 | |||
Specialty Retail | 2.9 | |||
Media | 2.9 | |||
Trading Companies & Distributors | 2.9 | |||
Capital Markets | 2.9 | |||
Household Products | 2.8 | |||
Food & Staples Retailing | 2.4 | |||
Chemicals | 2.3 | |||
Textiles, Apparel & Luxury Goods | 2.2 | |||
Hotels, Restaurants & Leisure | 2.0 | |||
IT Services | 1.9 | |||
Internet & Catalog Retail | 1.8 | |||
Semiconductors & Semiconductor Equipment | 1.8 | |||
Building Products | 1.6 | |||
Health Care Equipment & Supplies | 1.5 | |||
Technology Hardware, Storage & Peripherals | 1.4 | |||
Wireless Telecommunication Services | 1.3 | |||
Oil, Gas & Consumable Fuels | 1.2 | |||
Diversified Financial Services | 1.1 | |||
Real Estate Management & Development | 1.0 | |||
Personal Products | 1.0 | |||
Professional Services | 1.0 | |||
Diversified Telecommunication Services | 0.9 | |||
Thrifts & Mortgage Finance | 0.8 | |||
Industrial Conglomerates | 0.7 | |||
Food Products | 0.6 | |||
Biotechnology | 0.6 | |||
Beverages | 0.6 | |||
Airlines | 0.5 | |||
Communications Equipment | 0.4 | |||
Electrical Equipment | 0.4 | |||
Health Care Providers & Services | 0.3 | |||
Commercial Services & Supplies | 0.3 | |||
Energy Equipment & Services | 0.2 | |||
Construction & Engineering | 0.1 | |||
102.0 | ||||
Liabilities in excess of other assets | (2.0 | ) | ||
100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A4
SP INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2015 (Unaudited) |
The Portfolio invested in various 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, 2015 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Equity contracts | Unaffiliated investments | $ | 529,749 | — | $ | — | ||||||
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2015 are as follows:
For the six months ended June 30, 2015, the Portfolio did not have any realized gain or (loss) or derivatives recognized in income on 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 | Participatory Notes(1) | Warrants(1) | Total | |||||||||
Equity contracts | $ | 7,096 | $ | (369 | ) | $ | 6,727 | |||||
(1) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A5
SP INTERNATIONAL GROWTH PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES
(Unaudited)
June 30, 2015
ASSETS | ||||
Investments at value, including securities on loan of $2,153,414: | ||||
Unaffiliated investments (cost $71,310,023) | $ | 84,436,133 | ||
Affiliated investments (cost $2,626,346) | 2,626,346 | |||
Foreign currency, at value (cost $71,754) | 71,644 | |||
Tax reclaim receivable | 483,871 | |||
Receivable for investments sold | 262,891 | |||
Dividends receivable | 57,116 | |||
Prepaid expenses | 128 | |||
Total assets | 87,938,129 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 2,201,984 | |||
Accrued expenses and other liabilities | 137,112 | |||
Loan payable | 103,000 | |||
Payable for Series shares repurchased | 61,994 | |||
Management fee payable | 58,974 | |||
Payable for investments purchased | 42,036 | |||
Distribution fee payable | 1,497 | |||
Administration fee payable | 1,268 | |||
Affiliated transfer agent fee payable | 926 | |||
Loan interest payable (Note 8) | 4 | |||
Total liabilities | 2,608,795 | |||
NET ASSETS | $ | 85,329,334 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 101,477,666 | ||
Retained earnings | (16,148,332 | ) | ||
Net assets, June 30, 2015 | $ | 85,329,334 | ||
Class I: | ||||
Net asset value and redemption price per share $78,216,705 / 12,142,387 outstanding shares of beneficial interest | $ | 6.44 | ||
Class II: | ||||
Net asset value and redemption price per share $7,112,629 / 1,127,442 outstanding shares of | $ | 6.31 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2015
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $107,630) | $ | 980,688 | ||
Affiliated income from securities lending, net | 9,753 | |||
Affiliated dividend income | 1,087 | |||
Total income | 991,528 | |||
EXPENSES | ||||
Management fee | 362,297 | |||
Distribution fee—Class II | 8,959 | |||
Administration fee—Class II | 5,376 | |||
Custodian and accounting fees | 91,000 | |||
Shareholders’ reports | 29,000 | |||
Audit fee | 14,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Trustees’ fees | 5,000 | |||
Legal fees and expenses | 5,000 | |||
Insurance expenses | 1,000 | |||
Interest expense | 4 | |||
Miscellaneous | 17,418 | |||
Total expenses | 545,054 | |||
Less: Management fee waiver and/or expense reimbursement | (5,541 | ) | ||
Net expenses | 539,513 | |||
NET INVESTMENT INCOME | 452,015 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 2,767,229 | |||
Foreign currency transactions | (30,703 | ) | ||
2,736,526 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 3,672,560 | |||
Foreign currencies | (1,079 | ) | ||
3,671,481 | ||||
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 6,408,007 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 6,860,022 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2015 | Year Ended December 31, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 452,015 | $ | 453,449 | ||||
Net realized gain on investment and foreign currency transactions | 2,736,526 | 4,334,159 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 3,671,481 | (10,137,649 | ) | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 6,860,022 | (5,350,041 | ) | |||||
SERIES SHARE TRANSACTIONS (NOTE 7) | ||||||||
Series shares sold | 2,819,476 | 4,090,920 | ||||||
Series shares repurchased | (5,790,303 | ) | (13,294,205 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (2,970,827 | ) | (9,203,285 | ) | ||||
TOTAL INCREASE (DECREASE) | 3,889,195 | (14,553,326 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 81,440,139 | 95,993,465 | ||||||
End of period | $ | 85,329,334 | $ | 81,440,139 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
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NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
(Unaudited)
Note 1: | General |
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended, (“1940 Act”). The Series Fund is composed of seventeen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to SP International Growth Portfolio.
The Portfolio’s investment objective is long-term growth of capital.
Note 2: | Accounting Policies |
The Series Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolio consistently follow such policies in the preparation of their financial statements.
Securities 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 and preferred stocks, exchange-traded funds, and derivative instruments such as futures or options that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy.
In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.
Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. Such securities are valued using model prices to the extent that the valuation meets the established confidence level for each security. If the confidence level is not met or the vendor does not provide a model price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the over-the-counter (“OTC”) market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating
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observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.
OTC derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are generally valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.
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 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, the 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 Board. 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 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 daily rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does not 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 securities held at the end of the period. Similarly, the Portfolio does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, these realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions.
Net realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from holdings of foreign currencies, 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
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valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.
Participatory Notes: The Portfolio may gain exposure to securities in certain foreign markets through investments in participatory notes (“P-notes”). The Portfolio may purchase P-notes pending ability to invest directly in a foreign market due to restrictions applicable to foreign investors or other market factors. P-notes are generally issued by banks or broker-dealers and are designed to offer a return linked to a particular underlying security. P-notes involve transaction costs, which may be higher than those applicable to the equity securities. An investment in a P-note may involve risks, including counter-party risk, beyond those normally associated with a direct investment in the underlying security. The Portfolio must rely on the creditworthiness of the counterparty and would have no rights against the issuer of the underlying security. Furthermore, the P-note’s performance may differ from that of the underlying security. The holder of a P-note is entitled to receive from the bank or broker-dealer, an amount equal to dividends paid by the issuer of the underlying security; however, the holder is not entitled to the same rights (e.g., dividends, voting rights) as an owner of the underlying security. There is also no assurance that there will be a secondary trading market for a P-note or that the trading price of a P-note will equal the value of the underlying security.
Concentration of Risk: Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.
Master Netting Arrangements: The Portfolio is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a sub-advisor may have negotiated and entered into on behalf of the Portfolio. For multi-sleeve Portfolios, different sub-advisors who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives under FASB Accounting Standards Update (“ASU”) 2013-01 disclosure. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. 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 to set-off existed and management has not elected to offset.
Warrants and Rights: The Portfolio holds 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: 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, 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 and unrealized 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
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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.
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.
Taxes: For federal income tax purposes, each Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolio is treated as a partnership 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 Portfolio is the responsibility of the Portfolio’s shareholders (Participating Insurance Companies). The Portfolio is not generally subject to entity-level taxation. Shareholders of the Portfolio are subject to taxes on its distributive share of partnership items.
Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts at the time the related income/gain is recorded.
Distributions: Distributions from the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-dividend 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 Portfolio 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”), Neuberger Berman Management, LLC (“Neuberger Berman”) and William Blair & Company LLC (“William Blair”) (collectively, the “Subadvisors”), under which each provides investment advisory services for the Portfolio. PI pays for the services of the Subadvisors, the cost of 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 accrued daily and payable monthly at an annual rate of 0.85% of the Portfolio’s average daily net assets. PI has contractually agreed, through June 30, 2016, to waive a portion of its management fee equal to an annual rate of 0.013% of the average net assets of the Portfolio. The effective management fee rate was 0.84% for the six months ended June 30, 2015.
The Portfolio has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolio. The Portfolio compensates PIMS for distributing and servicing the Portfolio’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Portfolio. Pursuant to the Class II Plan, the Class II shares of the Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% 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 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 Portfolio has 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. 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, 2015, brokerage commission recaptured under these agreements was $1,806.
B4
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’s 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, serves as the Portfolio’s securities lending agent. Earnings from securities lending are disclosed on the Statement of Operations as “Affiliated income from securities lending, net”. For the six months ended June 30, 2015, PIM was compensated $2,925 for these services.
The Portfolio invests in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of 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, 2015 were $25,513,928 and $27,725,913, 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. The Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Management has analyzed the Portfolio’s tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provisions for income tax are required in the Portfolio’s financial statements for the current reporting period. The Portfolio’s federal, state and local income and federal excise 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 Portfolio offers Class I and Class II shares. Neither Class I nor Class II shares of the 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 Portfolio 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 were as follows:
Class I | Shares | Amount | ||||||
Six months ended June 30, 2015: | ||||||||
Series shares sold | 355,777 | $ | 2,279,120 | |||||
Series shares repurchased | (757,021 | ) | (4,851,684 | ) | ||||
Net increase (decrease) in shares outstanding | (401,244 | ) | $ | (2,572,564 | ) | |||
Year ended December 31, 2014: | ||||||||
Series shares sold | 624,079 | $ | 3,816,899 | |||||
Series shares repurchased | (1,856,721 | ) | (11,353,391 | ) | ||||
Net increase (decrease) in shares outstanding | (1,232,642 | ) | $ | (7,536,492 | ) | |||
B5
Class II | ||||||||
Six months ended June 30, 2015: | ||||||||
Series shares sold | 85,860 | $ | 540,356 | |||||
Series shares repurchased | (150,990 | ) | (938,619 | ) | ||||
Net increase (decrease) in shares outstanding | (65,130 | ) | $ | (398,263 | ) | |||
Year ended December 31, 2014: | ||||||||
Series shares sold | 45,381 | $ | 274,021 | |||||
Series shares repurchased | (324,195 | ) | (1,940,814 | ) | ||||
Net increase (decrease) in shares outstanding | (278,814 | ) | $ | (1,666,793 | ) | |||
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 October 9, 2014 through October 8, 2015. The Funds pay an annualized commitment fee of .075% of 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 Portfolio utilized the SCA during the six months ended June 30, 2015. The average daily balance for the 1 day that the Portfolio had loans outstanding during the period was $103,000 borrowed at a weighted average interest rate of 1.44%. The maximum loan outstanding amount during the period was $103,000. At June 30, 2015, the Portfolio had an outstanding loan amount of $103,000.
Note 9: | Ownership and Affiliates |
As of June 30, 2015, all of Class I shares of record of the Portfolio were owned by the Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned subsidiary of Prudential.
Note 10: | New Accounting Pronouncement |
In May 2015, the FASB issued ASU No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share”. The amendments in this update are effective for the Fund for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at net asset value (“NAV”) per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. At this time, management is evaluating the implications of ASU No. 2015-07 and its impact on the financial statement disclosures has not yet been determined.
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Financial Highlights
(Unaudited)
SP International Growth Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2015 | Year Ended December 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Per Share Operating Performance(c): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 5.94 | $ | 6.30 | $ | 5.30 | $ | 4.36 | $ | 5.19 | $ | 4.63 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .03 | .03 | .02 | .08 | .02 | .04 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | .47 | (.39 | ) | .98 | .89 | (.79 | ) | .59 | ||||||||||||||||
Total from investment operations | .50 | (.36 | ) | 1.00 | .97 | (.77 | ) | .63 | ||||||||||||||||
Less Distributions: | — | — | — | (.03 | ) | (.06 | ) | (.07 | ) | |||||||||||||||
Net Asset Value, end of period | $ | 6.44 | $ | 5.94 | $ | 6.30 | $ | 5.30 | $ | 4.36 | $ | 5.19 | ||||||||||||
Total Return(a) | 8.42 | % | (5.71 | )% | 18.87 | % | 22.40 | % | (14.91 | )% | 14.01 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 78.2 | $ | 74.5 | $ | 86.9 | $ | 80.9 | $ | 75.5 | $ | 162.1 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.23 | %(e) | 1.23 | % | 1.30 | % | 1.19 | % | 1.21 | % | 1.10 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.24 | %(e) | 1.24 | % | 1.31 | % | 1.19 | % | 1.21 | % | 1.10 | % | ||||||||||||
Net investment income | 1.09 | %(e) | .55 | % | .37 | % | 1.59 | % | .47 | % | .77 | % | ||||||||||||
Portfolio turnover rate | 30 | %(f) | 55 | % | 103 | % | 111 | % | 118 | % | 141 | % | ||||||||||||
SP International Growth Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2015 | Year Ended December 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Per Share Operating Performance(c): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 5.83 | $ | 6.21 | $ | 5.24 | $ | 4.30 | $ | 5.10 | $ | 4.54 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .02 | .01 | — | (d) | .06 | — | (d) | .02 | ||||||||||||||||
Net realized and unrealized gain (loss) on investments | .46 | (.39 | ) | .97 | .88 | (.78 | ) | .59 | ||||||||||||||||
Total from investment operations | .48 | (.38 | ) | .97 | .94 | (.78 | ) | .61 | ||||||||||||||||
Less Distributions: | — | — | — | — | (.02 | ) | (.05 | ) | ||||||||||||||||
Net Asset Value, end of period | $ | 6.31 | $ | 5.83 | $ | 6.21 | $ | 5.24 | $ | 4.30 | $ | 5.10 | ||||||||||||
Total Return(a) | 8.23 | % | (6.12 | )% | 18.51 | % | 21.86 | % | (15.32 | )% | 13.81 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 7.1 | $ | 6.9 | $ | 9.1 | $ | 8.6 | $ | 7.2 | $ | 10.1 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.63 | %(e) | 1.63 | % | 1.70 | % | 1.59 | % | 1.61 | % | 1.50 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.64 | %(e) | 1.64 | % | 1.71 | % | 1.59 | % | 1.61 | % | 1.50 | % | ||||||||||||
Net investment income (loss) | .70 | %(e) | .17 | % | (.03 | )% | 1.16 | % | (.09 | )% | .39 | % | ||||||||||||
Portfolio turnover rate | 30 | %(f) | 55 | % | 103 | % | 111 | % | 118 | % | 141 | % |
(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 fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
(c) | Calculation based on average shares outstanding during the period. |
(d) | Less than $.005. |
(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 ten individuals, nine 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 the SP International Growth Portfolio (the Portfolio), its operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with Prudential Investments LLC (PI) and the 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 15-16, 2015 (the Meeting) and approved the renewal of the agreements through July 31, 2016, after concluding that the renewal of the agreements was in the best interests of the Trust, the Portfolio and the Portfolio’s 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 each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with PI, are in the best interest of the Trust, the Portfolio and the Portfolio’s shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment.
The material factors and conclusions that formed the basis for the Trustees’ determinations to approve the renewal of the agreements are discussed separately below.
Nature, quality and extent of services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PI and each subadviser. The Board considered the services provided by PI, including but not limited to the oversight of the subadvisers, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PI’s oversight of the subadvisers, the Board noted that PI’s Strategic Investment Research Group (SIRG), a business unit of PI, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadvisers. The Board also considered that PI pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PI’s evaluation of the subadvisers, as well as PI’s recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.
The Board reviewed the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of the Trust and each subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadvisers’ portfolio managers who are responsible for the day-to-day management of the 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 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 each subadviser, and that there was a reasonable basis on which to conclude that the 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. Taking these factors into account, the Board concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board received and discussed information concerning whether PI realizes economies of scale as the Portfolio’s assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolio in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PI’s costs are not specific to individual funds, but rather are incurred across a variety of products and services.
Other Benefits to PI and the Subadvisers
The Board considered potential ancillary benefits that might be received by PI, the subadvisers, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PI included 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 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 Portfolio are reasonable. The Board concluded that the potential benefits to be derived by the subadvisers included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by PI and the subadvisers were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of the 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, 2014. The Board compared the historical performance of the Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Lipper Inc. (Lipper), an independent provider of mutual fund data, to be similar to the Portfolio.
The Board also considered the Portfolio’s actual management fee, as well as the Portfolio’s net total expense ratio, for the calendar year 2014. 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 group of similar mutual funds that were determined by Lipper to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Lipper Inc. (Lipper), an independent provider of mutual fund data. The comparisons placed the Portfolio 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 and the Board may have considered, 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 the 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 | 2nd Quartile | 2nd Quartile | 4th Quartile | |||||
Actual Management Fees: 2nd Quartile | ||||||||
Net Total Expenses: 4th Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the three-, five- and ten-year periods, though it underperformed over the one-year period. |
• | The Board considered that the Portfolio’s recent performance against its Peer Universe had shown improvement, with the Portfolio ranked in the first quartile of its Peer Universe for the first quarter of 2015. |
• | The Board noted that PI had contractually agreed to waive 0.013% of its management fee through June 30, 2016. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
**********
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 offers two classes of shares in each Portfolio: Class I and Class II. Class I shares are sold only to separate accounts of The Prudential Insurance Company of America, Pruco Life Insurance Company, and Pruco Life Insurance Company of New Jersey (collectively, Prudential) as investment options under variable life insurance and variable annuity contracts (the Contracts). (A separate account keeps the assets supporting certain insurance contracts separate from the general assets and liabilities of the insurance company.) Class II shares are offered only to separate accounts of non-Prudential insurance companies for the same types of Contracts.
The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), 655 Broad Street, 19th Floor, Newark, NJ 07102, 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.
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.
©2015 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.
0278963-00001-00 PSF-SAR-SP INTL GROWTH
THE PRUDENTIAL SERIES FUND
SEMIANNUAL REPORT Ÿ JUNE 30, 2015
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, 2015, 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 Prudential U.S. Emerging Growth Portfolio
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The Prudential Series Fund
Table of Contents | Semiannual Report | June 30, 2015 |
n | LETTER TO CONTRACT OWNERS |
n | PRESENTATION OF PORTFOLIO HOLDINGS |
n | FEES AND EXPENSES |
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 |
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, 2015 |
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.
Sincerely,
Timothy S. Cronin
President,
The Prudential Series Fund | July 31, 2015 |
Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2015 |
SP Prudential U.S. Emerging Growth | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
SBA Communications Corp. | 2.8% | |||
Vantiv, Inc. | 2.1% | |||
Electronic Arts, Inc. | 2.1% | |||
Dollar Tree, Inc. | 2.0% | |||
Roper Technologies, Inc. | 1.9% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Sectors are subject to change.
The Prudential Series Fund
Fees and Expenses — unaudited | June 30, 2015 |
As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2015 through June 30, 2015.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During 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, 2015 | Ending Account Value June 30, 2015 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
SP Prudential U.S. Emerging Growth (Class I) | Actual | $ | 1,000.00 | $ | 1,050.60 | 0.67 | % | $ | 3.41 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.47 | 0.67 | % | $ | 3.36 | ||||||||||
SP Prudential U.S. Emerging Growth (Class II) | Actual | $ | 1,000.00 | $ | 1,048.50 | 1.07 | % | $ | 5.43 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.49 | 1.07 | % | $ | 5.36 |
* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 181 days in the six-month period ended June 30, 2015, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2015 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
LONG-TERM INVESTMENTS — 96.4% | ||||||||
COMMON STOCKS | Shares | Value (Note 2) | ||||||
Air Freight & Logistics — 0.6% | ||||||||
Expeditors Internatioal Washington, Inc. | 32,703 | $ | 1,507,772 | |||||
Airlines — 1.9% | ||||||||
Spirit Airlines, Inc.* | 51,404 | 3,192,189 | ||||||
United Continental Holdings, Inc.* | 32,212 | 1,707,558 | ||||||
4,899,747 | ||||||||
Auto Components — 1.3% | ||||||||
Delphi Automotive PLC (United Kingdom) | 38,670 | 3,290,430 | ||||||
Banks — 1.0% | ||||||||
First Republic Bank | 41,127 | 2,592,235 | ||||||
Beverages — 1.8% | ||||||||
Constellation Brands, Inc. | 24,092 | 2,795,154 | ||||||
Monster Beverage Corp.* | 12,248 | 1,641,477 | ||||||
4,436,631 | ||||||||
Biotechnology — 2.9% | ||||||||
BioMarin Pharmaceutical, Inc.* | 22,573 | 3,087,535 | ||||||
Incyte Corp.* | 26,210 | 2,731,344 | ||||||
Vertex Pharmaceuticals, Inc.* | 12,280 | 1,516,334 | ||||||
7,335,213 | ||||||||
Capital Markets — 2.5% | ||||||||
Affiliated Managers Group, Inc.* | 12,483 | 2,728,784 | ||||||
Artisan Partners Asset Management, Inc. (Class A Stock) | 26,492 | 1,230,818 | ||||||
TD Ameritrade Holding Corp. | 62,578 | 2,304,122 | ||||||
6,263,724 | ||||||||
Chemicals — 2.8% | ||||||||
Airgas, Inc. | 19,270 | 2,038,381 | ||||||
Axalta Coating Systems Ltd.* | 67,653 | 2,237,961 | ||||||
FMC Corp. | 53,480 | 2,810,374 | ||||||
7,086,716 | ||||||||
Commercial Services & Supplies — 2.2% |
| |||||||
Copart, Inc.* | 51,375 | 1,822,785 | ||||||
Stericycle, Inc.* | 27,460 | 3,677,169 | ||||||
5,499,954 | ||||||||
Communications Equipment — 1.0% |
| |||||||
F5 Networks, Inc.* | 20,398 | 2,454,899 | ||||||
Construction & Engineering — 1.3% |
| |||||||
Quanta Services, Inc.* | 109,620 | 3,159,248 | ||||||
Consumer Finance — 1.1% | ||||||||
SLM Corp.* | 278,305 | 2,746,870 | ||||||
Electrical Equipment — 1.3% | ||||||||
AMETEK, Inc. | 59,651 | 3,267,682 | ||||||
Electronic Equipment, Instruments & Components — 1.7% |
| |||||||
Amphenol Corp. (Class A Stock) | 74,317 | 4,308,157 | ||||||
Fitbit, Inc. (Class A Stock)*(a) | 1,776 | 67,896 | ||||||
4,376,053 | ||||||||
Food & Staples Retailing — 0.5% | ||||||||
Sprouts Farmers Market, Inc.*(a) | 48,977 | 1,321,400 | ||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Food Products — 3.5% | ||||||||
Hain Celestial Group, Inc. (The)* | 68,852 | $ | 4,534,593 | |||||
J.M. Smucker Co. (The) | 18,598 | 2,016,209 | ||||||
Mead Johnson Nutrition Co. | 24,127 | 2,176,738 | ||||||
8,727,540 | ||||||||
Health Care Equipment & Supplies — 2.3% |
| |||||||
Align Technology, Inc.* | 41,895 | 2,627,235 | ||||||
Cooper Cos., Inc. (The) | 14,642 | 2,605,837 | ||||||
DexCom, Inc.* | 6,991 | 559,140 | ||||||
5,792,212 | ||||||||
Health Care Providers & Services — 6.6% |
| |||||||
Centene Corp.* | 41,575 | 3,342,630 | ||||||
Envision Healthcare Holdings, Inc.* | 78,177 | 3,086,428 | ||||||
Henry Schein, Inc.*(a) | 30,264 | 4,301,120 | ||||||
Laboratory Corp. of America Holdings* | 18,764 | 2,274,572 | ||||||
Universal Health Services, Inc. (Class B Stock) | 25,286 | 3,593,140 | ||||||
16,597,890 | ||||||||
Hotels, Restaurants & Leisure — 3.5% |
| |||||||
Chipotle Mexican Grill, Inc.* | 1,678 | 1,015,173 | ||||||
Hilton Worldwide Holdings, Inc.* | 120,741 | 3,326,415 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 38,953 | 2,182,926 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 26,874 | 2,179,213 | ||||||
�� | 8,703,727 | |||||||
Household Products — 1.0% | ||||||||
Church & Dwight Co., Inc. | 30,732 | 2,493,287 | ||||||
Independent Power & Renewable Electricity Producers — 0.9% |
| |||||||
Abengoa Yield PLC (Spain) | 67,168 | 2,103,702 | ||||||
Abengoa Yield PLC (Spain), Reg D, PIPE, Private Placement (original cost $217,398; purchased 05/08/15)(b)(c) | 6,560 | 195,186 | ||||||
2,298,888 | ||||||||
Industrial Conglomerates — 1.9% | ||||||||
Roper Technologies, Inc. | 28,500 | 4,915,110 | ||||||
Insurance — 0.4% | ||||||||
W.R. Berkley Corp. | 19,665 | 1,021,203 | ||||||
Internet & Catalog Retail — 0.4% | ||||||||
Vipshop Holdings Ltd. (China), ADR*(a) | 50,339 | 1,120,043 | ||||||
Internet Software & Services — 1.7% | ||||||||
LinkedIn Corp. (Class A Stock)* | 13,948 | 2,882,075 | ||||||
Twitter, Inc.* | 39,873 | 1,444,200 | ||||||
4,326,275 | ||||||||
IT Services — 3.4% | ||||||||
FleetCor Technologies, Inc.* | 13,499 | 2,106,654 | ||||||
Global Payments, Inc. | 11,765 | 1,217,089 | ||||||
Vantiv, Inc. (Class A Stock)* | 138,752 | 5,298,939 | ||||||
8,622,682 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A1
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Life Sciences Tools & Services — 0.7% |
| |||||||
Illumina, Inc.* | 8,204 | $ | 1,791,425 | |||||
Machinery — 1.1% | ||||||||
Flowserve Corp. | 51,384 | 2,705,881 | ||||||
Media — 0.7% | ||||||||
AMC Networks, Inc. | 21,692 | 1,775,490 | ||||||
Metals & Mining — 0.7% | ||||||||
Reliance Steel & Aluminum Co. | 27,847 | 1,684,187 | ||||||
Multiline Retail — 3.9% | ||||||||
Burlington Stores, Inc.* | 41,846 | 2,142,515 | ||||||
Dollar General Corp. | 32,923 | 2,559,434 | ||||||
Dollar Tree, Inc.* | 65,019 | 5,135,851 | ||||||
9,837,800 | ||||||||
Oil, Gas & Consumable Fuels — 2.6% | ||||||||
Concho Resources, Inc.* | 20,577 | 2,342,897 | ||||||
Noble Energy, Inc. | 56,133 | 2,395,756 | ||||||
Whiting Petroleum Corp.* | 57,856 | 1,943,962 | ||||||
6,682,615 | ||||||||
Pharmaceuticals — 3.1% | ||||||||
Endo International PLC* | 47,588 | 3,790,384 | ||||||
Jazz Pharmaceuticals PLC* | 11,342 | 1,996,986 | ||||||
Mylan NV*(a) | 19,067 | 1,293,887 | ||||||
Pacira Pharmaceuticals, Inc.*(a) | 10,560 | 746,803 | ||||||
7,828,060 | ||||||||
Professional Services — 1.9% | ||||||||
IHS, Inc. (Class A Stock)* | 29,525 | 3,797,801 | ||||||
Towers Watson & Co. | 8,105 | 1,019,609 | ||||||
4,817,410 | ||||||||
Real Estate Investment Trusts (REITs) — 3.2% |
| |||||||
Crown Castle International Corp. | 55,845 | 4,484,353 | ||||||
MFA Financial, Inc. | 200,750 | 1,483,543 | ||||||
Starwood Property Trust, Inc. | 98,633 | 2,127,514 | ||||||
8,095,410 | ||||||||
Real Estate Management & Development — 1.1% |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 75,897 | 2,808,189 | ||||||
Road & Rail — 1.0% | ||||||||
Kansas City Southern | 18,632 | 1,699,238 | ||||||
Old Dominion Freight Line, Inc.* | 11,161 | 765,701 | ||||||
2,464,939 | ||||||||
Semiconductors & Semiconductor Equipment — 3.6% |
| |||||||
Analog Devices, Inc. | 46,519 | 2,985,822 | ||||||
Applied Materials, Inc. | 90,079 | 1,731,319 | ||||||
NXP Semiconductors NV (Netherlands)* | 27,669 | 2,717,096 | ||||||
Xilinx, Inc. | 39,558 | 1,746,881 | ||||||
9,181,118 | ||||||||
Software — 9.5% | ||||||||
Check Point Software Technologies Ltd. (Israel)*(a) | 38,371 | 3,052,413 | ||||||
Electronic Arts, Inc.* | 79,430 | 5,282,095 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Software (continued) | ||||||||
Intuit, Inc. | 40,596 | $ | 4,090,859 | |||||
Red Hat, Inc.* | 64,168 | 4,872,276 | ||||||
ServiceNow, Inc.* | 37,259 | 2,768,716 | ||||||
Splunk, Inc.* | 36,206 | 2,520,662 | ||||||
Ultimate Software Group, Inc. (The)*(a) | 8,202 | 1,347,917 | ||||||
23,934,938 | ||||||||
Specialty Retail — 7.8% | ||||||||
GNC Holdings, Inc. (Class A Stock) | 67,156 | 2,987,099 | ||||||
L Brands, Inc. | 27,139 | 2,326,626 | ||||||
O’Reilly Automotive, Inc.* | 15,425 | 3,485,741 | ||||||
Ross Stores, Inc. | 76,544 | 3,720,804 | ||||||
Signet Jewelers Ltd. | 25,703 | 3,296,153 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.* | 25,533 | 3,943,572 | ||||||
19,759,995 | ||||||||
Textiles, Apparel & Luxury Goods — 2.1% |
| |||||||
Kate Spade & Co.* | 71,416 | 1,538,301 | ||||||
PVH Corp. | 19,269 | 2,219,789 | ||||||
Under Armour, Inc. (Class A Stock)* | 19,458 | 1,623,575 | ||||||
5,381,665 | ||||||||
Trading Companies & Distributors — 1.1% |
| |||||||
WESCO International, Inc.*(a) | 38,974 | 2,675,175 | ||||||
Wireless Telecommunication Services — 2.8% |
| |||||||
SBA Communications Corp. | 61,374 | 7,056,169 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 243,337,897 | ||||||
SHORT-TERM INVESTMENT — 7.6% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $19,210,222; includes $12,771,853 of cash collateral for securities on loan) | 19,210,222 | 19,210,222 | ||||||
TOTAL INVESTMENTS — 104.0% |
| 262,548,119 | ||||||
LIABILITIES IN EXCESS OF |
| (10,027,468 | ) | |||||
NET ASSETS — 100.0% |
| $ | 252,520,651 | |||||
The following abbreviations are used in the Portfolio descriptions:
ADR | American Depositary Receipt | |
PIPE | Private Investment in Public Entity | |
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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (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 $12,627,990; cash collateral of $12,771,853 (included in liabilities) was received with which the Portfolio 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 the last business day of the reporting period. Collateral was subsequently received on the following business day and the Fund remained in compliance. |
(b) | Indicates a security that has been deemed illiquid. |
(c) | Indicates a restricted security; the original cost of the restricted security is $217,398. The value of $195,186 is approximately 0.1% of net assets. |
(d) | 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— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Air Freight & Logistics | $ | 1,507,772 | $ | — | $ | — | ||||||
Airlines | 4,899,747 | — | — | |||||||||
Auto Components | 3,290,430 | — | — | |||||||||
Banks | 2,592,235 | — | — | |||||||||
Beverages | 4,436,631 | — | — | |||||||||
Biotechnology | 7,335,213 | — | — | |||||||||
Capital Markets | 6,263,724 | — | — | |||||||||
Chemicals | 7,086,716 | — | — | |||||||||
Commercial Services & Supplies | 5,499,954 | — | — | |||||||||
Communications Equipment | 2,454,899 | — | — | |||||||||
Construction & Engineering | 3,159,248 | — | — | |||||||||
Consumer Finance | 2,746,870 | — | — | |||||||||
Electrical Equipment | 3,267,682 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 4,376,053 | — | — | |||||||||
Food & Staples Retailing | 1,321,400 | — | — | |||||||||
Food Products | 8,727,540 | — | — | |||||||||
Health Care Equipment & Supplies | 5,792,212 | — | — | |||||||||
Health Care Providers & Services | 16,597,890 | — | — | |||||||||
Hotels, Restaurants & Leisure | 8,703,727 | — | — | |||||||||
Household Products | 2,493,287 | — | — | |||||||||
Independent Power & Renewable Electricity Producers | 2,103,702 | — | 195,186 | |||||||||
Industrial Conglomerates | 4,915,110 | — | — | |||||||||
Insurance | 1,021,203 | — | — | |||||||||
Internet & Catalog Retail | 1,120,043 | — | — | |||||||||
Internet Software & Services | 4,326,275 | — | — | |||||||||
IT Services | 8,622,682 | — | — | |||||||||
Life Sciences Tools & Services | 1,791,425 | — | — | |||||||||
Machinery | 2,705,881 | — | — | |||||||||
Media | 1,775,490 | — | — | |||||||||
Metals & Mining | 1,684,187 | — | — | |||||||||
Multiline Retail | 9,837,800 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 6,682,615 | — | — | |||||||||
Pharmaceuticals | 7,828,060 | — | — | |||||||||
Professional Services | 4,817,410 | — | — | |||||||||
Real Estate Investment Trusts (REITs) | 8,095,410 | — | — | |||||||||
Real Estate Management & Development | 2,808,189 | — | — | |||||||||
Road & Rail | 2,464,939 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Semiconductors & Semiconductor Equipment | $ | 9,181,118 | $ | — | $ | — | ||||||
Software | 23,934,938 | — | — | |||||||||
Specialty Retail | 19,759,995 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 5,381,665 | — | — | |||||||||
Trading Companies & Distributors | 2,675,175 | — | — | |||||||||
Wireless Telecommunication Services | 7,056,169 | — | — | |||||||||
Affiliated Money Market Mutual Fund | 19,210,222 | — | — | |||||||||
Total | $ | 262,352,933 | $ | — | $ | 195,186 | ||||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 were as follows:
Software | 9.5 | % | ||
Specialty Retail | 7.8 | |||
Affiliated Money Market Mutual Fund (including 5.1% of collateral for securities on loan) | 7.6 | |||
Health Care Providers & Services | 6.6 | |||
Multiline Retail | 3.9 | |||
Semiconductors & Semiconductor Equipment | 3.6 | |||
Food Products | 3.5 | |||
Hotels, Restaurants & Leisure | 3.5 | |||
IT Services | 3.4 | |||
Real Estate Investment Trusts (REITs) | 3.2 | |||
Pharmaceuticals | 3.1 | |||
Biotechnology | 2.9 | |||
Chemicals | 2.8 | |||
Wireless Telecommunication Services | 2.8 | |||
Oil, Gas & Consumable Fuels | 2.6 | |||
Capital Markets | 2.5 | |||
Health Care Equipment & Supplies | 2.3 | |||
Commercial Services & Supplies | 2.2 | |||
Textiles, Apparel & Luxury Goods | 2.1 | |||
Industrial Conglomerates | 1.9 | |||
Airlines | 1.9 | |||
Professional Services | 1.9 |
Beverages | 1.8 | % | ||
Electronic Equipment, Instruments & Components | 1.7 | |||
Internet Software & Services | 1.7 | |||
Auto Components | 1.3 | |||
Electrical Equipment | 1.3 | |||
Construction & Engineering | 1.3 | |||
Real Estate Management & Development | 1.1 | |||
Consumer Finance | 1.1 | |||
Machinery | 1.1 | |||
Trading Companies & Distributors | 1.1 | |||
Banks | 1.0 | |||
Household Products | 1.0 | |||
Road & Rail | 1.0 | |||
Communications Equipment | 1.0 | |||
Independent Power & Renewable Electricity Producers | 0.9 | |||
Life Sciences Tools & Services | 0.7 | |||
Media | 0.7 | |||
Metals & Mining | 0.7 | |||
Air Freight & Logistics | 0.6 | |||
Food & Staples Retailing | 0.5 | |||
Internet & Catalog Retail | 0.4 | |||
Insurance | 0.4 | |||
104.0 | ||||
Liabilities in excess of other assets | (4.0 | ) | ||
100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A4
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES
(Unaudited)
as of June 30, 2015
ASSETS | ||||
Investments at value, including securities on loan of $12,627,990: | ||||
Unaffiliated investments (cost $166,070,888) | $ | 243,337,897 | ||
Affiliated investments (cost $19,210,222) | 19,210,222 | |||
Receivable for investments sold | 6,040,738 | |||
Dividends receivable | 146,685 | |||
Tax reclaim receivable | 4,832 | |||
Receivable for Series shares sold | 434 | |||
Prepaid expenses | 591 | |||
Total Assets | 268,741,399 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 12,771,853 | |||
Payable for investments purchased | 3,182,583 | |||
Management fee payable | 126,880 | |||
Accrued expenses | 75,901 | |||
Payable for Series shares repurchased | 60,596 | |||
Deferred trustees’ fees | 1,538 | |||
Affiliated transfer agent fee payable | 926 | |||
Distribution fee payable | 215 | |||
Administration fee payable | 129 | |||
Payable to custodian | 127 | |||
Total Liabilities | 16,220,748 | |||
NET ASSETS | $ | 252,520,651 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 93,929,149 | ||
Retained earnings | 158,591,502 | |||
Net assets, June 30, 2015 | $ | 252,520,651 | ||
Class I: | ||||
Net asset value and redemption price per share $251,491,875 / 20,179,119 outstanding shares of beneficial interest | $ | 12.46 | ||
Class II: | ||||
Net asset value and redemption price per share $1,028,776 / 86,589 outstanding shares of beneficial interest | $ | 11.88 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2015
NET INVESTMENT INCOME | ||||
INCOME | ||||
Unaffiliated dividend income | $ | 853,066 | ||
Affiliated income from securities lending, net | 9,878 | |||
Affiliated dividend income | 5,159 | |||
Total income | 868,103 | |||
EXPENSES | ||||
Management fee | 759,990 | |||
Distribution fee—Class II | 1,205 | |||
Administration fee—Class II | 723 | |||
Custodian and accounting fees | 28,000 | |||
Shareholders’ reports | 25,000 | |||
Audit fee | 12,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Trustees’ fees | 5,000 | |||
Legal fees and expenses | 4,000 | |||
Insurance expenses | 2,000 | |||
Miscellaneous | 6,854 | |||
Total expenses | 850,772 | |||
NET INVESTMENT INCOME | 17,331 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 14,287,283 | |||
Foreign currency transactions | (812 | ) | ||
14,286,471 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,755,986 | ) | ||
Foreign currencies | (55 | ) | ||
(1,756,041 | ) | |||
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 12,530,430 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 12,547,761 | ||
STATEMENT OF CHANGES IN NET ASSETS (Unaudited)
Six Months Ended June 30, 2015 | Year Ended December 31, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 17,331 | $ | 539,159 | ||||
Net realized gain on investment and foreign currency transactions | 14,286,471 | 34,102,181 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (1,756,041 | ) | (12,120,283 | ) | ||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 12,547,761 | 22,521,057 | ||||||
SERIES SHARE TRANSACTIONS (NOTE 7) | ||||||||
Series shares sold | 3,765,269 | 4,977,132 | ||||||
Series shares repurchased | (13,797,058 | ) | (30,013,613 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (10,031,789 | ) | (25,036,481 | ) | ||||
TOTAL INCREASE (DECREASE) | 2,515,972 | (2,515,424 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 250,004,679 | 252,520,103 | ||||||
End of period | $ | 252,520,651 | $ | 250,004,679 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A5
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
(Unaudited)
Note 1: | General |
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended, (“1940 Act”). The Series Fund is composed of seventeen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to SP Prudential U.S. Emerging Growth Portfolio.
The Portfolio’s investment objective is long-term capital appreciation.
Note 2: | Accounting Policies |
The Series Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolio consistently follow such policies in the preparation of their financial statements.
Securities 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 and preferred stocks, exchange-traded funds, and derivative instruments such as futures or options that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy.
In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy, as the inputs are observable.
Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy, as the adjustment factors are observable. Such securities are valued using model prices to the extent that the valuation meets the established confidence level for each security. If the confidence level is not met or the vendor does not provide a model price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the over-the-counter (“OTC”) market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating
B1
observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.
OTC derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are generally valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.
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 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, the 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 subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s subadviser under the guidelines adopted by the Board. 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 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 daily rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does not 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 securities held at the end of the period. Similarly, the Portfolio does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, these realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions.
Net realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from holdings of foreign currencies, 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
B2
valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.
Concentration of Risk: Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.
Master Netting Arrangements: The Portfolio is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of the Portfolio. 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 to 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, 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, 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.
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.
Taxes: For federal income tax purposes, the Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolio is treated as a partnership 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 Portfolio is the responsibility of the Portfolio’s shareholders (Participating Insurance Companies). The Portfolio is not generally subject to entity-level taxation. Shareholders of the Portfolio are subject to taxes on its distributive share of partnership items.
Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts at the time the related income/gain is recorded.
Distributions: Distributions from the 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.
B3
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 subadvisers’ 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 Jennison, the cost of 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 accrued daily and payable monthly at an annual rate of .60% of the Portfolio’s average daily net assets. The effective management fee rate was .60% for the six months ended June��30, 2015.
The Portfolio has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolio. The Portfolio compensates PIMS for distributing and servicing the Portfolio’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Portfolio. Pursuant to the Class II Plan, the Class II shares of the Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% 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 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 Portfolio has 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. 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, 2015, brokerage commission recaptured under these agreements was $7,366.
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’s 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, serves as the Portfolio’s securities lending agent. Earnings from securities lending are disclosed on the Statement of Operations as “Affiliated income from securities lending, net”. For the six months ended June 30, 2015, PIM was compensated $2,951 for these services.
The Portfolio invests in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of 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, 2015 were $50,884,090 and $65,145,601, 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.
B4
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. The Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Management has analyzed the Portfolio’s tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provisions for income tax are required in the Portfolio’s financial statements for the current reporting period. The Portfolio’s federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
Note 7: | Capital |
The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of the 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, 2015, the SP Prudential U.S. Emerging Growth Portfolio has Class II shares outstanding.
Transactions in shares of beneficial interest were as follows:
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2015: | ||||||||
Series shares sold | 275,569 | $ | 3,431,959 | |||||
Series shares repurchased | (1,096,476 | ) | (13,562,455 | ) | ||||
Net increase (decrease) in shares outstanding | (820,907 | ) | $ | (10,130,496 | ) | |||
Year ended December 31, 2014: | ||||||||
Series shares sold | 425,884 | $ | 4,700,683 | |||||
Series shares repurchased | (2,688,562 | ) | (29,861,411 | ) | ||||
Net increase (decrease) in shares outstanding | (2,262,678 | ) | $ | (25,160,728 | ) | |||
Class II: | ||||||||
Six months ended June 30, 2015: | ||||||||
Series shares sold | 27,784 | $ | 333,310 | |||||
Series shares repurchased | (19,546 | ) | (234,603 | ) | ||||
Net increase (decrease) in shares outstanding | 8,238 | $ | 98,707 | |||||
Year ended December 31, 2014: | ||||||||
Series shares sold | 26,631 | $ | 276,449 | |||||
Series shares repurchased | (14,285 | ) | (152,202 | ) | ||||
Net increase (decrease) in shares outstanding | 12,346 | $ | 124,247 | |||||
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 October 9, 2014 through October 8, 2015. The Funds pay an annualized commitment fee of .075% of 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 Portfolio did not utilize the SCA during the six months ended June 30, 2015.
B5
Note 9: | Ownership and Affiliates |
As of June 30, 2015, all of Class I shares of record of the Portfolio were owned by the Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned subsidiary of Prudential.
Note 10: | New Accounting Pronouncement |
In May 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share”. The amendments in this update are effective for the Fund for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at net asset value (“NAV”) per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. At this time, management is evaluating the implications of ASU No. 2015-07 and its impact on the financial statement disclosures has not yet been determined.
B6
Financial Highlights
(Unaudited)
SP Prudential U.S. Emerging Growth Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2015(d) | Year Ended December 31, | |||||||||||||||||||||||
2014(d) | 2013(d) | 2012 | 2011 | 2010 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 11.86 | $ | 10.83 | $ | 8.43 | $ | 7.80 | $ | 7.74 | $ | 6.45 | ||||||||||||
Income From Investment Operations: | ||||||||||||||||||||||||
Net investment income | — | (c) | .02 | .01 | .06 | .04 | .03 | |||||||||||||||||
Net realized and unrealized gain on investments | .60 | 1.01 | 2.39 | 1.21 | .13 | 1.28 | ||||||||||||||||||
Total from investment operations | .60 | 1.03 | 2.40 | 1.27 | .17 | 1.31 | ||||||||||||||||||
Less Distributions | — | — | — | (.64 | ) | (.11 | ) | (.02 | ) | |||||||||||||||
Net Asset Value, end of period | $ | 12.46 | $ | 11.86 | $ | 10.83 | $ | 8.43 | $ | 7.80 | $ | 7.74 | ||||||||||||
Total Return(a) | 5.06 | % | 9.51 | % | 28.47 | % | 16.88 | % | 2.22 | % | 20.43 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 251.5 | $ | 249.1 | $ | 251.8 | $ | 221.0 | $ | 210.8 | $ | 242.4 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .67 | %(e) | .68 | % | .68 | % | .67 | % | .64 | % | .70 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .67 | %(e) | .68 | % | .68 | % | .67 | % | .64 | % | .70 | % | ||||||||||||
Net investment income | .02 | %(e) | .22 | % | .08 | % | .73 | % | .39 | % | .69 | % | ||||||||||||
Portfolio turnover rate | 21 | %(f) | 45 | % | 38 | % | 44 | % | 40 | % | 73 | % | ||||||||||||
SP Prudential U.S. Emerging Growth Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2015(d) | Year Ended December 31, | |||||||||||||||||||||||
2014(d) | 2013(d) | 2012 | 2011 | 2010 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 11.33 | $ | 10.38 | $ | 8.12 | $ | 7.53 | $ | 7.48 | $ | 6.25 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | (.02 | ) | (.02 | ) | (.03 | ) | .04 | — | (c) | .01 | ||||||||||||||
Net realized and unrealized gain on investments | .57 | .97 | 2.29 | 1.16 | .13 | 1.24 | ||||||||||||||||||
Total from investment operations | �� | .55 | .95 | 2.26 | 1.20 | .13 | 1.25 | |||||||||||||||||
Less Distributions | — | — | — | (.61 | ) | (.08 | ) | (.02 | ) | |||||||||||||||
Net Asset Value, end of period | $ | 11.88 | $ | 11.33 | $ | 10.38 | $ | 8.12 | $ | 7.53 | $ | 7.48 | ||||||||||||
Total Return(a) | 4.85 | % | 9.15 | % | 27.83 | % | 16.44 | % | 1.77 | % | 19.96 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1.0 | $ | 1.0 | $ | .7 | $ | .4 | $ | .3 | $ | .3 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.07 | %(e) | 1.08 | % | 1.08 | % | 1.07 | % | 1.04 | % | 1.10 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.07 | %(e) | 1.08 | % | 1.08 | % | 1.07 | % | 1.04 | % | 1.10 | % | ||||||||||||
Net investment income (loss) | (.37 | )%(e) | (.19 | )% | (.32 | )% | .38 | % | (.01 | )% | .24 | % | ||||||||||||
Portfolio turnover rate | 21 | %(f) | 45 | % | 38 | % | 44 | % | 40 | % | 73 | % |
(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 fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | Less than $.005 per share. |
(d) | Calculated based on average shares outstanding during the period. |
(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 ten individuals, nine 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 the SP International Growth Portfolio (the Portfolio), its operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with Prudential Investments LLC (PI) and the Portfolio’s subadvisory agreement with Jennison Associates LLC (Jennison). 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 15-16, 2015 (the Meeting) and approved the renewal of the agreements through July 31, 2016, after concluding that the renewal of the agreements was in the best interests of the Trust, the Portfolio and the Portfolio’s 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 Jennison, which serves pursuant to the terms of a subadvisory agreement with PI, are in the best interest of the Trust, the Portfolio and the Portfolio’s shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment.
The 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 Jennison. The Board considered the services provided by PI, including but not limited to the oversight of Jennison, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PI’s oversight of the subadvisers, the Board noted that PI’s Strategic Investment Research Group (SIRG), a business unit of PI, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadvisers. The Board also considered that PI pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PI’s evaluation of Jennison, as well as PI’s recommendation, based on its review of Jennison, to renew the subadvisory agreements.
The Board reviewed the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of the Trust and Jennison, and also reviewed the qualifications, backgrounds and responsibilities of the Jennison 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 Jennison’s organizational structure, senior management, investment operations and other relevant information pertaining to PI and Jennison. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PI and Jennison. The Board noted that Jennison 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 Jennison, and that there was a reasonable basis on which to conclude that the Portfolio benefits from the services provided by PI and Jennison under the management and subadvisory agreements.
Costs of Services and Profits Realized by PI
The Board was provided with information on the profitability of PI and its affiliates in serving as the Trust’s investment manager. The Board discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. The Board considered information regarding the profitability of Jennison, which is an affililate of PI, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board received and discussed information concerning whether PI realizes economies of scale as the Portfolio’s assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolio in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PI’s costs are not specific to individual funds, but rather are incurred across a variety of products and services.
Other Benefits to PI and the Subadvisers
The Board considered potential ancillary benefits that might be received by PI, Jennison, and their affiliates as a result of their relationship 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 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 Portfolio are reasonable. The Board concluded that the potential benefits to be derived by Jennison included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of Jennison, 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 Jennison 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, 2014. The Board compared the historical performance of the Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Lipper Inc. (Lipper), an independent provider of mutual fund data, to be similar to the Portfolio.
The Board also considered the Portfolio’s actual management fee, as well as the Portfolio’s net total expense ratio, for the calendar year 2014. 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 group of similar mutual funds that were determined by Lipper to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Lipper Inc. (Lipper), an independent provider of mutual fund data. The comparisons placed the Portfolio 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 and the Board may have considered, 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 the 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 Prudential U.S. Emerging Growth Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
2nd Quartile | 3rd 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 ten-year period, although it underperformed over the one-, three- and five-year periods. |
• | The Board considered that, although the Portfolio underperformed against its benchmark index over the one-, three- and five-year periods, the Portfolio returned positive results over these periods, which were only slightly lower than the benchmark index returns. |
• | 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 offers two classes of shares in each Portfolio: Class I and Class II. Class I shares are sold only to separate accounts of The Prudential Insurance Company of America, Pruco Life Insurance Company, and Pruco Life Insurance Company of New Jersey (collectively, Prudential) as investment options under variable life insurance and variable annuity contracts (the Contracts). (A separate account keeps the assets supporting certain insurance contracts separate from the general assets and liabilities of the insurance company.) Class II shares are offered only to separate accounts of non-Prudential insurance companies for the same types of Contracts.
The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), 655 Broad Street, 19th Floor, Newark, NJ 07102, 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.
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.
©2015 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.
0278964-00001-00 PSF-SAR-SP US EM GROWTH
THE PRUDENTIAL SERIES FUND
SEMIANNUAL REPORT Ÿ JUNE 30, 2015
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, 2015, 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 Small Cap Value Portfolio
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The Prudential Series Fund
Table of Contents | Semiannual Report | June 30, 2015 |
n | LETTER TO CONTRACT OWNERS |
n | PRESENTATION OF PORTFOLIO HOLDINGS |
n | FEES AND EXPENSES |
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 |
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, 2015 |
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.
Sincerely,
Timothy S. Cronin
President,
The Prudential Series Fund | July 31, 2015 |
Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2015 |
SP Small Cap Value | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
iShares Russell 2000 Value Index Fund, Exchange Traded Fund | 2.0% | |||
Chesapeake Lodging Trust, Real Estate Investment Trusts (REITs) | 0.9% | |||
PrivateBancorp, Inc., Banks | 0.9% | |||
Webster Financial Corp., Banks | 0.9% | |||
Pebblebrook Hotel Trust, Real Estate Investment Trusts (REITs) | 0.9% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Sectors are subject to change.
The Prudential Series Fund
Fees and Expenses — unaudited | June 30, 2015 |
As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2015 through June 30, 2015.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During 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, 2015 | Ending Account Value June 30, 2015 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
SP Small Cap Value (Class I) | Actual | $ | 1,000.00 | $ | 1,025.30 | 1.01 | % | $ | 5.07 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.79 | 1.01 | % | $ | 5.06 |
* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 181 days in the six-month period ended June 30, 2015, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2015 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
SP SMALL CAP VALUE PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2015 (Unaudited) |
LONG-TERM INVESTMENTS — 84.6% | ||||||||
COMMON STOCKS — 82.6% | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 2.0% |
| |||||||
Curtiss-Wright Corp. | 17,031 | $ | 1,233,725 | |||||
Esterline Technologies Corp.*(a) | 18,044 | 1,720,315 | ||||||
Moog, Inc. (Class A Stock)* | 15,451 | 1,092,077 | ||||||
Triumph Group, Inc. | 2,390 | 157,716 | ||||||
4,203,833 | ||||||||
Air Freight & Logistics — 0.4% |
| |||||||
Forward Air Corp. | 17,801 | 930,280 | ||||||
Auto Components — 0.6% |
| |||||||
American Axle & Manufacturing Holdings, Inc.*(a) | 25,224 | 527,434 | ||||||
Dana Holding Corp. | 4,660 | 95,903 | ||||||
Superior Industries International, Inc. | 4,384 | 80,271 | ||||||
Tenneco, Inc.* | 4,638 | 266,406 | ||||||
Tower International, Inc.* | 16,617 | 432,873 | ||||||
1,402,887 | ||||||||
Banks — 13.3% |
| |||||||
BancorpSouth, Inc. | 59,230 | 1,525,765 | ||||||
Bank of the Ozarks, Inc.(a) | 36,317 | 1,661,503 | ||||||
BankUnited, Inc. | 6,580 | 236,419 | ||||||
Banner Corp.(g) | 13,240 | 634,593 | ||||||
Boston Private Financial Holdings, Inc. | 55,737 | 747,433 | ||||||
Bridge Capital Holdings* | 1,556 | 46,369 | ||||||
CoBiz Financial, Inc. | 21,200 | 277,084 | ||||||
Community Bank System, Inc. | 19,676 | 743,163 | ||||||
ConnectOne Bancorp, Inc. | 10,486 | 225,764 | ||||||
CVB Financial Corp. | 27,017 | 475,769 | ||||||
First Financial Bankshares, Inc. | 25,197 | 872,824 | ||||||
First Merchants Corp. | 3,050 | 75,335 | ||||||
First Midwest Bancorp, Inc. | 28,097 | 533,000 | ||||||
First of Long Island Corp. (The) | 7,888 | 218,655 | ||||||
First Republic Bank | 2,850 | 179,635 | ||||||
FirstMerit Corp. | 14,110 | 293,911 | ||||||
Flushing Financial Corp. | 22,445 | 471,569 | ||||||
Glacier Bancorp, Inc. | 35,715 | 1,050,735 | ||||||
Great Western Bancorp, Inc.* | 39,267 | 946,727 | ||||||
Heritage Financial Corp. | 12,625 | 225,609 | ||||||
Home BancShares, Inc. | 17,910 | 654,790 | ||||||
Independent Bank Corp. | 14,353 | 673,012 | ||||||
Independent Bank Group, Inc. | 6,623 | 284,127 | ||||||
Lakeland Financial Corp. | 7,972 | 345,746 | ||||||
LegacyTexas Financial Group, Inc. | 36,641 | 1,106,558 | ||||||
MB Financial, Inc.(a) | 37,169 | 1,280,100 | ||||||
PacWest Bancorp | 29,626 | 1,385,312 | ||||||
Pinnacle Financial Partners, Inc. | 22,278 | 1,211,255 | ||||||
PrivateBancorp, Inc. | 49,308 | 1,963,445 | ||||||
Prosperity Bancshares, Inc. | 20,982 | 1,211,501 | ||||||
Sandy Spring Bancorp, Inc. | 10,438 | 292,055 | ||||||
Signature Bank* | 2,260 | 330,841 | ||||||
South State Corp. | 13,007 | 988,402 | ||||||
Southwest Bancorp, Inc. | 14,801 | 275,447 | ||||||
State Bank Financial Corp. | 18,972 | 411,692 | ||||||
Summit State Bank | 4,086 | 53,588 | ||||||
SVB Financial Group* | 2,780 | 400,264 | ||||||
Texas Capital Bancshares, Inc.* | 9,999 | 622,338 | ||||||
Tompkins Financial Corp. | 2,509 | 134,783 | ||||||
Trico Bancshares | 8,235 | 198,052 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks (continued) | ||||||||
UMB Financial Corp. | 18,082 | $ | 1,031,036 | |||||
Webster Financial Corp.(a) | 47,612 | 1,883,055 | ||||||
Wintrust Financial Corp. | 7,520 | 401,418 | ||||||
28,580,679 | ||||||||
Biotechnology — 0.6% |
| |||||||
Infinity Pharmaceuticals, Inc.*(a) | 83,666 | 916,143 | ||||||
Vanda Pharmaceuticals, Inc.*(a) | 35,365 | 448,782 | ||||||
1,364,925 | ||||||||
Building Products — 0.4% |
| |||||||
Continental Building Products, Inc.* | 32,252 | 683,420 | ||||||
Gibraltar Industries, Inc.* | 2,460 | 50,110 | ||||||
NCI Building Systems, Inc.* | 15,288 | 230,390 | ||||||
963,920 | ||||||||
Capital Markets — 2.0% |
| |||||||
Affiliated Managers Group, Inc.* | 1,470 | 321,342 | ||||||
Cohen & Steers, Inc. | 5,598 | 190,780 | ||||||
Golub Capital BDC, Inc. | 12,625 | 209,070 | ||||||
Greenhill & Co., Inc. | 1,766 | 72,989 | ||||||
HFF, Inc. (Class A Stock) | 1,313 | 54,791 | ||||||
Moelis & Co. (Class A Stock) | 7,352 | 211,076 | ||||||
New Mountain Finance Corp.(a) | 17,667 | 255,995 | ||||||
OM Asset Management PLC (United Kingdom) | 51,100 | 909,069 | ||||||
Raymond James Financial, Inc. | 3,990 | 237,724 | ||||||
Stifel Financial Corp.* | 22,994 | 1,327,674 | ||||||
Virtu Financial, Inc. (Class A Stock)* | 11,888 | 279,130 | ||||||
Virtus Investment Partners, Inc. | 2,486 | 328,773 | ||||||
4,398,413 | ||||||||
Chemicals — 2.2% |
| |||||||
Axiall Corp. | 5,516 | 198,852 | ||||||
Cytec Industries, Inc.(a) | 11,006 | 666,193 | ||||||
Koppers Holdings, Inc. | 4,660 | 115,195 | ||||||
Kraton Performance Polymers, Inc.* | 4,290 | 102,445 | ||||||
Methanex Corp. (Canada) | 13,389 | 745,232 | ||||||
Minerals Technologies, Inc. | 4,101 | 279,401 | ||||||
Olin Corp. | 5,684 | 153,184 | ||||||
PolyOne Corp. | 24,531 | 960,879 | ||||||
Quaker Chemical Corp. | 7,265 | 645,423 | ||||||
WR Grace & Co.* | 8,403 | 842,821 | ||||||
4,709,625 | ||||||||
Commercial Services & Supplies — 1.2% |
| |||||||
ACCO Brands Corp.*(a) | 9,492 | 73,753 | ||||||
Ceco Environmental Corp. | 24,533 | 277,959 | ||||||
G&K Services, Inc. (Class A Stock) | 8,657 | 598,545 | ||||||
Herman Miller, Inc. | 910 | 26,326 | ||||||
Mobile Mini, Inc.(a) | 23,403 | 983,862 | ||||||
Progressive Waste Solutions Ltd. (Canada) | 24,455 | 656,617 | ||||||
2,617,062 | ||||||||
Communications Equipment — 1.1% |
| |||||||
ADTRAN, Inc. | 21,248 | 345,280 | ||||||
Bel Fuse, Inc. (Class B Stock) | 1,360 | 27,907 | ||||||
Black Box Corp. | 1,090 | 21,800 | ||||||
Digi International, Inc.* | 59,073 | 564,147 |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Communications Equipment (continued) | ||||||||
InterDigital, Inc. | 2,040 | $ | 116,056 | |||||
JDS Uniphase Corp.* | 55,006 | 636,969 | ||||||
Plantronics, Inc. | 2,810 | 158,231 | ||||||
RADWARE Ltd. (Israel)* | 21,689 | 481,496 | ||||||
2,351,886 | ||||||||
Construction & Engineering — 0.7% |
| |||||||
EMCOR Group, Inc. | 29,964 | 1,431,381 | ||||||
Tutor Perini Corp.* | 1,590 | 34,312 | ||||||
1,465,693 | ||||||||
Construction Materials — 0.4% |
| |||||||
Eagle Materials, Inc. | 10,266 | 783,604 | ||||||
Consumer Finance — 0.2% |
| |||||||
First Cash Financial Services, Inc.* | 9,091 | 414,459 | ||||||
Containers & Packaging — 0.8% |
| |||||||
Berry Plastics Group, Inc.* | 32,580 | 1,055,592 | ||||||
Graphic Packaging Holding Co. | 50,741 | 706,822 | ||||||
1,762,414 | ||||||||
Distributors — 0.3% |
| |||||||
Core-Mark Holding Co., Inc. | 9,598 | 568,682 | ||||||
Diversified Consumer Services |
| |||||||
Sotheby’s(a) | 780 | 35,287 | ||||||
Diversified Financial Services — 0.2% |
| |||||||
MarketAxess Holdings, Inc. | 5,104 | 473,498 | ||||||
Diversified Telecommunication Services — 0.2% |
| |||||||
Premiere Global Services, Inc.* | 34,658 | 356,631 | ||||||
Electric Utilities — 2.0% |
| |||||||
ALLETE, Inc. | 580 | 26,906 | ||||||
Cleco Corp. | 1,820 | 98,007 | ||||||
IDACORP, Inc. | 24,505 | 1,375,711 | ||||||
MGE Energy, Inc. | 965 | 37,375 | ||||||
PNM Resources, Inc. | 49,560 | 1,219,176 | ||||||
Portland General Electric Co. | 45,446 | 1,506,989 | ||||||
4,264,164 | ||||||||
Electrical Equipment — 0.3% |
| |||||||
Thermon Group Holdings, Inc.* | 27,700 | 666,739 | ||||||
Electronic Equipment, Instruments & Components — 2.1% |
| |||||||
Anixter International, Inc.* | 10,478 | 682,642 | ||||||
AVX Corp. | 7,360 | 99,066 | ||||||
Belden, Inc.(a) | 8,391 | 681,601 | ||||||
CTS Corp. | 28,414 | 547,538 | ||||||
Littelfuse, Inc. | 5,224 | 495,705 | ||||||
Newport Corp.* | 31,236 | 592,234 | ||||||
Park Electrochemical Corp. | 35,986 | 689,492 | ||||||
Plexus Corp.* | 16,649 | 730,558 | ||||||
4,518,836 | ||||||||
Energy Equipment & Services — 1.5% |
| |||||||
C&J Energy Services Ltd.* | 3,370 | 44,484 | ||||||
Forum Energy Technologies, Inc.* | 32,408 | 657,234 | ||||||
Frank’s International NV (Netherlands) | 3,300 | 62,172 | ||||||
Gulf Island Fabrication, Inc. | 2,000 | 22,340 | ||||||
Key Energy Services, Inc.* | 13,402 | 24,124 | ||||||
Natural Gas Services Group, Inc.* | 2,459 | 56,114 | ||||||
Newpark Resources, Inc.* | 26,573 | 216,038 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Energy Equipment & Services (continued) | ||||||||
Oil States International, Inc.* | 45,173 | $ | 1,681,791 | |||||
TETRA Technologies, Inc.* | 57,676 | 367,973 | ||||||
3,132,270 | ||||||||
Food & Staples Retailing — 0.4% |
| |||||||
SUPERVALU, Inc.* | 16,078 | 130,071 | ||||||
Weis Markets, Inc. | 16,370 | 689,996 | ||||||
820,067 | ||||||||
Food Products — 0.9% |
| |||||||
B&G Foods, Inc. | 10,703 | 305,357 | ||||||
Freshpet, Inc.*(a) | 3,475 | 64,635 | ||||||
Hain Celestial Group, Inc. (The)* | 15,362 | 1,011,741 | ||||||
J&J Snack Foods Corp. | 4,900 | 542,283 | ||||||
1,924,016 | ||||||||
Gas Utilities — 1.2% |
| |||||||
Laclede Group, Inc. (The) | 720 | 37,483 | ||||||
New Jersey Resources Corp. | 34,094 | 939,290 | ||||||
Northwest Natural Gas Co. | 390 | 16,450 | ||||||
Southwest Gas Corp. | 27,713 | 1,474,609 | ||||||
WGL Holdings, Inc. | 650 | 35,288 | ||||||
2,503,120 | ||||||||
Health Care Equipment & Supplies — 0.9% |
| |||||||
Endologix, Inc.*(a) | 64,793 | 993,924 | ||||||
Integra LifeSciences Holdings Corp.* | 826 | 55,648 | ||||||
Tornier NV (Netherlands)* | 39,916 | 997,501 | ||||||
2,047,073 | ||||||||
Health Care Providers & Services — 1.3% |
| |||||||
Air Methods Corp.*(a) | 25,153 | 1,039,825 | ||||||
Brookdale Senior Living, Inc.* | 1,010 | 35,047 | ||||||
Civitas Solutions, Inc.* | 1,970 | 42,020 | ||||||
Cross Country Healthcare, Inc.* | 4,135 | 52,432 | ||||||
HealthSouth Corp. | 33,774 | 1,555,630 | ||||||
LifePoint Hospitals, Inc.* | 710 | 61,735 | ||||||
2,786,689 | ||||||||
Health Care Technology — 1.0% |
| |||||||
Allscripts Healthcare Solutions, Inc.* | 86,100 | 1,177,848 | ||||||
HMS Holdings Corp.*(a) | 52,938 | 908,946 | ||||||
2,086,794 | ||||||||
Hotels, Restaurants & Leisure — 2.5% |
| |||||||
Bloomin’ Brands, Inc. | 27,141 | 579,460 | ||||||
Bojangles’, Inc.* | 1,102 | 26,294 | ||||||
Diamond Resorts International, Inc.* | 36,617 | 1,155,266 | ||||||
DineEquity, Inc. | 1,777 | 176,083 | ||||||
Jack in the Box, Inc. | 13,243 | 1,167,503 | ||||||
Marriott Vacations Worldwide Corp. | 9,837 | 902,545 | ||||||
Vail Resorts, Inc. | 12,604 | 1,376,357 | ||||||
5,383,508 | ||||||||
Household Durables — 0.8% |
| |||||||
Meritage Homes Corp.* | 13,993 | 658,930 | ||||||
Ryland Group, Inc. (The)(a) | 1,150 | 53,325 | ||||||
Standard Pacific Corp.* | 72,426 | 645,316 | ||||||
WCI Communities, Inc.* | 4,020 | 98,048 | ||||||
William Lyon Homes (Class A Stock)* | 13,446 | 345,159 | ||||||
1,800,778 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A2
SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Household Products — 0.8% |
| |||||||
Spectrum Brands Holdings, Inc. | 17,120 | $ | 1,746,069 | |||||
Independent Power & Renewable Electricity Producers — 0.4% |
| |||||||
Dynegy, Inc.* | 30,511 | 892,447 | ||||||
Industrial Conglomerates — 0.4% |
| |||||||
Carlisle Cos., Inc. | 9,677 | 968,861 | ||||||
Insurance — 4.3% |
| |||||||
Allied World Assurance Co. Holdings AG (Switzerland) | 6,550 | 283,091 | ||||||
American Equity Investment Life Holding Co. | 47,519 | 1,282,063 | ||||||
AMERISAFE, Inc. | 8,148 | 383,445 | ||||||
AmTrust Financial Services, Inc.(a) | 8,216 | 538,230 | ||||||
Axis Capital Holdings Ltd. (Bermuda) | 4,100 | 218,817 | ||||||
CNO Financial Group, Inc.(a) | 89,396 | 1,640,416 | ||||||
Endurance Specialty Holdings Ltd. (Bermuda) | 11,889 | 781,107 | ||||||
Enstar Group Ltd. (Bermuda)*(g) | 3,310 | 512,884 | ||||||
Fidelity & Guaranty Life | 8,882 | 209,882 | ||||||
Maiden Holdings Ltd. (Bermuda) | 68,496 | 1,080,867 | ||||||
National General Holdings Corp. | 18,987 | 395,499 | ||||||
ProAssurance Corp. | 12,866 | 594,538 | ||||||
RLI Corp. | 11,251 | 578,189 | ||||||
Symetra Financial Corp. | 27,811 | 672,192 | ||||||
9,171,220 | ||||||||
Internet & Catalog Retail — 0.4% |
| |||||||
HSN, Inc. | 11,412 | 801,008 | ||||||
Internet Software & Services — 0.3% |
| |||||||
Everyday Health, Inc.* | 52,619 | 672,471 | ||||||
IT Services — 0.4% |
| |||||||
Convergys Corp. | 36,933 | 941,422 | ||||||
Leisure Products |
| |||||||
Brunswick Corp. | 1,571 | 79,901 | ||||||
Life Sciences Tools & Services — 0.8% |
| |||||||
Albany Molecular Research, Inc.*(a) | 27,841 | 562,945 | ||||||
Bruker Corp.* | 59,537 | 1,215,150 | ||||||
1,778,095 | ||||||||
Machinery — 3.1% |
| |||||||
Actuant Corp. (Class A Stock) | 39,794 | 918,843 | ||||||
Alamo Group, Inc. | 5,852 | 319,753 | ||||||
Altra Industrial Motion Corp. | 1,910 | 51,914 | ||||||
Barnes Group, Inc. | 27,193 | 1,060,255 | ||||||
Clarcor, Inc. | 12,173 | 757,648 | ||||||
Graco, Inc. | 5,298 | 376,317 | ||||||
Harsco Corp. | 9,340 | 154,110 | ||||||
Manitowoc Co., Inc. (The) | 6,140 | 120,344 | ||||||
RBC Bearings, Inc.* | 11,455 | 822,011 | ||||||
Snap-on, Inc. | 770 | 122,622 | ||||||
Standex International Corp. | 6,188 | 494,607 | ||||||
Watts Water Technologies, Inc. (Class A Stock) | 17,370 | 900,634 | ||||||
Woodward, Inc.(a) | 8,829 | 485,507 | ||||||
6,584,565 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Marine |
| |||||||
Diana Shipping, Inc. (Greece)*(a) | 6,330 | $ | 44,627 | |||||
Media — 1.3% |
| |||||||
Carmike Cinemas, Inc.* | 16,977 | 450,569 | ||||||
Live Nation Entertainment, Inc.* | 45,720 | 1,256,843 | ||||||
Nexstar Broadcasting Group, Inc. (Class A Stock) | 16,118 | 902,608 | ||||||
Townsquare Media, Inc. | 9,848 | 133,736 | ||||||
2,743,756 | ||||||||
Metals & Mining — 1.3% |
| |||||||
AK Steel Holding Corp.*(a) | 16,620 | 64,319 | ||||||
Carpenter Technology Corp. | 1,490 | 57,633 | ||||||
Commercial Metals Co. | 38,587 | 620,479 | ||||||
Globe Specialty Metals, Inc. | 26,445 | 468,076 | ||||||
Haynes International, Inc. | 1,934 | 95,385 | ||||||
Horsehead Holding Corp.*(a) | 9,380 | 109,934 | ||||||
Kaiser Aluminum Corp.(a) | 13,083 | 1,086,936 | ||||||
Steel Dynamics, Inc. | 5,650 | 117,040 | ||||||
TimkenSteel Corp. | 2,813 | 75,923 | ||||||
2,695,725 | ||||||||
Multiline Retail — 0.6% |
| |||||||
Burlington Stores, Inc.* | 24,527 | 1,255,782 | ||||||
Multi-Utilities — 0.8% |
| |||||||
Black Hills Corp. | 13,819 | 603,199 | ||||||
NorthWestern Corp. | 21,029 | 1,025,164 | ||||||
1,628,363 | ||||||||
Oil, Gas & Consumable Fuels — 2.9% |
| |||||||
Carrizo Oil & Gas, Inc.*(a) | 31,943 | 1,572,873 | ||||||
Cloud Peak Energy, Inc.* | 5,230 | 24,372 | ||||||
Jones Energy, Inc. (Class A Stock)* | 3,209 | 29,041 | ||||||
Laredo Petroleum, Inc.*(a) | 28,214 | 354,932 | ||||||
Parsley Energy, Inc. (Class A Stock)* | 29,347 | 511,225 | ||||||
Rex Energy Corp.*(a) | 95,906 | 536,115 | ||||||
Rice Energy, Inc.*(a) | 56,607 | 1,179,124 | ||||||
RSP Permian, Inc.* | 14,688 | 412,880 | ||||||
SM Energy Co. | 30,491 | 1,406,245 | ||||||
WPX Energy, Inc.*(a) | 8,990 | 110,397 | ||||||
6,137,204 | ||||||||
Paper & Forest Products — 0.5% |
| |||||||
Boise Cascade Co.* | 1,280 | 46,950 | ||||||
KapStone Paper and Packaging Corp. | 35,312 | 816,414 | ||||||
Mercer International, Inc. (Canada)* | 11,859 | 162,231 | ||||||
1,025,595 | ||||||||
Pharmaceuticals — 0.8% |
| |||||||
Catalent, Inc.* | 25,992 | 762,346 | ||||||
Pacira Pharmaceuticals, Inc.*(a) | 6,175 | 436,696 | ||||||
Prestige Brands Holdings, Inc.* | 11,509 | 532,176 | ||||||
1,731,218 | ||||||||
Professional Services — 0.8% |
| |||||||
Korn/Ferry International | 1,280 | 44,505 | ||||||
On Assignment, Inc.* | 30,110 | 1,182,721 | ||||||
TrueBlue, Inc.* | 20,101 | 601,020 | ||||||
1,828,246 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A3
SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2015 (Unaudited) |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Real Estate Investment Trusts (REITs) — 9.7% |
| |||||||
Acadia Realty Trust | 46,443 | $ | 1,351,956 | |||||
American Homes 4 Rent | 3,220 | 51,649 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 55,090 | 905,129 | ||||||
Biomed Realty Trust, Inc. | 2,490 | 48,157 | ||||||
Blackstone Mortgage Trust, Inc. (Class A Stock) | 37,255 | 1,036,434 | ||||||
CBL & Associates Properties, Inc. | 48,398 | 784,048 | ||||||
Chesapeake Lodging Trust | 64,838 | 1,976,262 | ||||||
Corporate Office Properties Trust | 2,480 | 58,379 | ||||||
Cousins Properties, Inc. | 5,073 | 52,658 | ||||||
CubeSmart | 64,564 | 1,495,302 | ||||||
CyrusOne, Inc. | 34,716 | 1,022,386 | ||||||
DuPont Fabros Technology, Inc. | 15,835 | 466,341 | ||||||
EastGroup Properties, Inc. | 1,360 | 76,473 | ||||||
Empire State Realty Trust, Inc. (Class A Stock) | 3,320 | 56,639 | ||||||
First Potomac Realty Trust | 4,940 | 50,882 | ||||||
Hersha Hospitality Trust | 1,433 | 36,742 | ||||||
Highwoods Properties, Inc. | 30,989 | 1,238,010 | ||||||
Hudson Pacific Properties, Inc. | 41,808 | 1,186,093 | ||||||
MFA Financial, Inc. | 115,051 | 850,227 | ||||||
Mid-America Apartment Communities, Inc. | 730 | 53,151 | ||||||
National Health Investors, Inc. | 22,849 | 1,423,493 | ||||||
Pebblebrook Hotel Trust | 43,528 | 1,866,481 | ||||||
PS Business Parks, Inc. | 17,440 | 1,258,296 | ||||||
Sovran Self Storage, Inc. | 3,665 | 318,525 | ||||||
Strategic Hotels & Resorts, Inc.* | 130,785 | 1,585,114 | ||||||
Terreno Realty Corp. | 41,595 | 819,421 | ||||||
Two Harbors Investment Corp. | 72,629 | 707,406 | ||||||
Washington Real Estate Investment Trust | 1,220 | 31,659 | ||||||
20,807,313 | ||||||||
Real Estate Management & Development — 0.6% |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 1,250 | 46,250 | ||||||
Jones Lang LaSalle, Inc. | 410 | 70,110 | ||||||
Kennedy-Wilson Holdings, Inc. | 50,191 | 1,234,197 | ||||||
1,350,557 | ||||||||
Road & Rail — 0.1% |
| |||||||
Old Dominion Freight Line, Inc.* | 1,787 | 122,597 | ||||||
Semiconductors & Semiconductor Equipment — 2.9% |
| |||||||
Cabot Microelectronics Corp.* | 16,665 | 785,088 | ||||||
Entegris, Inc.* | 83,786 | 1,220,762 | ||||||
Exar Corp.* | 36,392 | 355,914 | ||||||
Fairchild Semiconductor International, Inc.* | 35,432 | 615,808 | ||||||
Intersil Corp. (Class A Stock) | 79,118 | 989,766 | ||||||
MKS Instruments, Inc. | 25,329 | 960,982 | ||||||
ON Semiconductor Corp.* | 10,680 | 124,849 | ||||||
Semtech Corp.* | 30,233 | 600,125 | ||||||
Silicon Laboratories, Inc.* | 3,264 | 176,289 | ||||||
Teradyne, Inc. | 7,526 | 145,177 | ||||||
Veeco Instruments, Inc.*(a) | 7,298 | 209,745 | ||||||
6,184,505 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Software — 1.6% |
| |||||||
Bottomline Technologies (DE), Inc.* | 23,476 | $ | 652,867 | |||||
CommVault Systems, Inc.* | 11,717 | 496,918 | ||||||
Monotype Imaging Holdings, Inc. | 20,887 | 503,586 | ||||||
Pegasystems, Inc. | 20,557 | 470,550 | ||||||
PTC, Inc.* | 9,771 | 400,806 | ||||||
Verint Systems, Inc.* | 15,196 | 923,081 | ||||||
3,447,808 | ||||||||
Specialty Retail — 2.3% | ||||||||
American Eagle Outfitters, Inc. | 18,152 | 312,577 | ||||||
Asbury Automotive Group, Inc.* | 6,684 | 605,704 | ||||||
Ascena Retail Group, Inc.* | 15,088 | 251,291 | ||||||
Boot Barn Holdings, Inc.* | 14,023 | 448,736 | ||||||
Cato Corp. (The) (Class A Stock) | 100 | 3,876 | ||||||
Express, Inc.* | 3,020 | 54,692 | ||||||
GNC Holdings, Inc. (Class A Stock) | 17,444 | 775,909 | ||||||
Lithia Motors, Inc. (Class A Stock) | 12,119 | 1,371,386 | ||||||
MarineMax, Inc.* | 1,200 | 28,212 | ||||||
Monro Muffler Brake, Inc.(a) | 5,667 | 352,261 | ||||||
Office Depot, Inc.* | 49,107 | 425,267 | ||||||
Party City Holdco, Inc.* | 5,633 | 114,181 | ||||||
Pier 1 Imports, Inc.(a) | 15,810 | 199,680 | ||||||
Vitamin Shoppe, Inc.* | 1,530 | 57,023 | ||||||
5,000,795 | ||||||||
Technology Hardware, Storage & Peripherals — 0.4% |
| |||||||
Electronics For Imaging, Inc.* | 18,344 | 798,147 | ||||||
Textiles, Apparel & Luxury Goods — 0.8% |
| |||||||
Carter’s, Inc. | 11,993 | 1,274,856 | ||||||
Steven Madden Ltd.* | 11,118 | 475,628 | ||||||
1,750,484 | ||||||||
Thrifts & Mortgage Finance — 1.6% |
| |||||||
Brookline Bancorp, Inc. | 22,877 | 258,281 | ||||||
Dime Community Bancshares, Inc. | 14,684 | 248,747 | ||||||
Oritani Financial Corp. | 17,838 | 286,300 | ||||||
Provident Financial Services, Inc. | 30,690 | 582,803 | ||||||
Radian Group, Inc. | 85,572 | 1,605,331 | ||||||
Westfield Financial, Inc. | 13,259 | 96,923 | ||||||
WSFS Financial Corp. | 13,611 | 372,261 | ||||||
3,450,646 | ||||||||
Trading Companies & Distributors — 1.2% |
| |||||||
Beacon Roofing Supply, Inc. | 17,233 | 572,480 | ||||||
Kaman Corp. | 22,160 | 929,391 | ||||||
Rush Enterprises, Inc. (Class A Stock)* | 5,420 | 142,058 | ||||||
WESCO International, Inc.*(a) | 12,510 | 858,686 | ||||||
2,502,615 | ||||||||
TOTAL COMMON STOCKS |
| 177,459,874 | ||||||
EXCHANGE TRADED FUND — 2.0% | ||||||||
iShares Russell 2000 Value Index Fund(a) (cost $4,075,503) | 42,135 | 4,296,085 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 181,755,959 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A4
SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2015 (Unaudited) |
Shares | Value (Note 2) | |||||||
SHORT-TERM INVESTMENT — 28.2% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (cost $60,708,729; includes $21,257,377 of cash collateral for securities on loan)(Note 4)(b)(w) | 60,708,729 | $ | 60,708,729 | |||||
TOTAL INVESTMENTS — 112.8% |
| $ | 242,464,688 | |||||
LIABILITIES IN EXCESS OF |
| (27,523,541 | ) | |||||
NET ASSETS — 100.0% |
| $ | 214,941,147 | |||||
* | 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 $20,846,936; cash collateral of $21,257,377 (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. |
(g) | Indicates a security or securities that has been deemed illiquid. |
(w) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 4,203,833 | $ | — | $ | — | ||||||
Air Freight & Logistics | 930,280 | — | — | |||||||||
Auto Components | 1,402,887 | — | — | |||||||||
Banks | 28,580,679 | — | — | |||||||||
Biotechnology | 1,364,925 | — | — | |||||||||
Building Products | 963,920 | — | — | |||||||||
Capital Markets | 4,398,413 | — | — | |||||||||
Chemicals | 4,709,625 | — | — | |||||||||
Commercial Services & Supplies | 2,617,062 | — | — | |||||||||
Communications Equipment | 2,351,886 | — | — | |||||||||
Construction & Engineering | 1,465,693 | — | — | |||||||||
Construction Materials | 783,604 | — | — | |||||||||
Consumer Finance | 414,459 | — | — | |||||||||
Containers & Packaging | 1,762,414 | — | — | |||||||||
Distributors | 568,682 | — | — | |||||||||
Diversified Consumer Services | 35,287 | — | — | |||||||||
Diversified Financial Services | 473,498 | — | — | |||||||||
Diversified Telecommunication Services | 356,631 | — | — | |||||||||
Electric Utilities | 4,264,164 | — | — | |||||||||
Electrical Equipment | 666,739 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 4,518,836 | — | — | |||||||||
Energy Equipment & Services | 3,132,270 | — | — | |||||||||
Food & Staples Retailing | 820,067 | — | — | |||||||||
Food Products | 1,924,016 | — | — | |||||||||
Gas Utilities | 2,503,120 | — | — | |||||||||
Health Care Equipment & Supplies | 2,047,073 | — | — | |||||||||
Health Care Providers & Services | 2,786,689 | — | — | |||||||||
Health Care Technology | 2,086,794 | — | — | |||||||||
Hotels, Restaurants & Leisure | 5,383,508 | — | — | |||||||||
Household Durables | 1,800,778 | — | — | |||||||||
Household Products | 1,746,069 | — | — | |||||||||
Independent Power & Renewable Electricity Producers | 892,447 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A5
SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2015 (Unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Industrial Conglomerates | $ | 968,861 | $ | — | $ | — | ||||||
Insurance | 9,171,220 | — | — | |||||||||
Internet & Catalog Retail | 801,008 | — | — | |||||||||
Internet Software & Services | 672,471 | — | — | |||||||||
IT Services | 941,422 | — | — | |||||||||
Leisure Products | 79,901 | — | — | |||||||||
Life Sciences Tools & Services | 1,778,095 | — | — | |||||||||
Machinery | 6,584,565 | — | — | |||||||||
Marine | 44,627 | — | — | |||||||||
Media | 2,743,756 | — | — | |||||||||
Metals & Mining | 2,695,725 | — | — | |||||||||
Multiline Retail | 1,255,782 | — | — | |||||||||
Multi-Utilities | 1,628,363 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 6,137,204 | — | — | |||||||||
Paper & Forest Products | 1,025,595 | — | — | |||||||||
Pharmaceuticals | 1,731,218 | — | — | |||||||||
Professional Services | 1,828,246 | — | — | |||||||||
Real Estate Investment Trusts (REITs) | 20,807,313 | — | — | |||||||||
Real Estate Management & Development | 1,350,557 | — | — | |||||||||
Road & Rail | 122,597 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 6,184,505 | — | — | |||||||||
Software | 3,447,808 | — | — | |||||||||
Specialty Retail | 5,000,795 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 798,147 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 1,750,484 | — | — | |||||||||
Thrifts & Mortgage Finance | 3,450,646 | — | — | |||||||||
Trading Companies & Distributors | 2,502,615 | — | — | |||||||||
Exchange Traded Fund | 4,296,085 | — | — | |||||||||
Affiliated Money Market Mutual Fund | 60,708,729 | — | — | |||||||||
Total | $ | 242,464,688 | $ | — | $ | — | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A6
SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2015 (Unaudited) |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 were as follows:
Affiliated Money Market Mutual Fund (including 9.9% of collateral for securities on loan) | 28.2 | % | ||
Banks | 13.3 | |||
Real Estate Investment Trusts (REITs) | 9.7 | |||
Insurance | 4.3 | |||
Machinery | 3.1 | |||
Semiconductors & Semiconductor Equipment | 2.9 | |||
Oil, Gas & Consumable Fuels | 2.9 | |||
Hotels, Restaurants & Leisure | 2.5 | |||
Specialty Retail | 2.3 | |||
Chemicals | 2.2 | |||
Electronic Equipment, Instruments & Components | 2.1 | |||
Capital Markets | 2.0 | |||
Exchange Traded Fund | 2.0 | |||
Electric Utilities | 2.0 | |||
Aerospace & Defense | 2.0 | |||
Thrifts & Mortgage Finance | 1.6 | |||
Software | 1.6 | |||
Energy Equipment & Services | 1.5 | |||
Health Care Providers & Services | 1.3 | |||
Media | 1.3 | |||
Metals & Mining | 1.3 | |||
Commercial Services & Supplies | 1.2 | |||
Gas Utilities | 1.2 | |||
Trading Companies & Distributors | 1.2 | |||
Communications Equipment | 1.1 | |||
Health Care Technology | 1.0 | |||
Health Care Equipment & Supplies | 0.9 | |||
Food Products | 0.9 | |||
Professional Services | 0.8 | |||
Household Durables | 0.8 | |||
Life Sciences Tools & Services | 0.8 |
Containers & Packaging | 0.8 | % | ||
Textiles, Apparel & Luxury Goods | 0.8 | |||
Household Products | 0.8 | |||
Pharmaceuticals | 0.8 | |||
Multi-Utilities | 0.8 | |||
Construction & Engineering | 0.7 | |||
Auto Components | 0.6 | |||
Biotechnology | 0.6 | |||
Real Estate Management & Development | 0.6 | |||
Multiline Retail | 0.6 | |||
Paper & Forest Products | 0.5 | |||
Industrial Conglomerates | 0.4 | |||
Building Products | 0.4 | |||
IT Services | 0.4 | |||
Air Freight & Logistics | 0.4 | |||
Independent Power & Renewable Electricity Producers | 0.4 | |||
Food & Staples Retailing | 0.4 | |||
Internet & Catalog Retail | 0.4 | |||
Technology Hardware, Storage & Peripherals | 0.4 | |||
Construction Materials | 0.4 | |||
Internet Software & Services | 0.3 | |||
Electrical Equipment | 0.3 | |||
Distributors | 0.3 | |||
Diversified Financial Services | 0.2 | |||
Consumer Finance | 0.2 | |||
Diversified Telecommunication Services | 0.2 | |||
Road & Rail | 0.1 | |||
112.8 | ||||
Liabilities in excess of other assets | (12.8 | ) | ||
100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A7
SP SMALL CAP VALUE PORTFOLIO (continued) |
STATEMENT OF ASSETS AND LIABILITIES
(Unaudited)
as of June 30, 2015
ASSETS | ||||
Investments at value, including securities on loan of $20,846,936: | ||||
Unaffiliated investments (cost $145,737,084) | $ | 181,755,959 | ||
Affiliated investments (cost $60,708,729) | 60,708,729 | |||
Receivable for investments sold | 17,054,696 | |||
Dividends receivable | 323,012 | |||
Tax reclaim receivable | 4,761 | |||
Prepaid expenses | 262 | |||
Total assets | 259,847,419 | |||
LIABILITIES | ||||
Payable for investments purchased | 23,358,368 | |||
Payable to broker for collateral for securities on loan | 21,257,377 | |||
Management fee payable | 159,936 | |||
Accrued expenses and other liabilities | 76,188 | |||
Payable for Series shares repurchased | 50,612 | |||
Payable to custodian | 2,301 | |||
Affiliated transfer agent fee payable | 926 | |||
Deferred trustees’ fees | 564 | |||
Total liabilities | 44,906,272 | |||
NET ASSETS | $ | 214,941,147 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 96,992,420 | ||
Retained earnings | 117,948,727 | |||
Net assets, June 30, 2015 | $ | 214,941,147 | ||
Class I: | ||||
Net asset value and redemption price per share $214,941,147 / 10,608,337 outstanding shares of beneficial interest | $ | 20.26 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2015
NET INVESTMENT INCOME | ||||
Income | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $2,680) | $ | 1,341,229 | ||
Affiliated income from securities lending, net | 37,682 | |||
Affiliated dividend income | 4,097 | |||
Total income | 1,383,008 | |||
EXPENSES | ||||
Management fee | 958,090 | |||
Custodian and accounting fees | 48,000 | |||
Shareholders’ reports | 21,000 | |||
Audit fee | 12,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Trustees’ fees | 5,000 | |||
Legal fees and expenses | 4,000 | |||
Insurance expenses | 2,000 | |||
Miscellaneous | 6,849 | |||
Total expenses | 1,062,939 | |||
Less: Management fee waiver and/or expense reimbursement | (8,516 | ) | ||
Net expenses | 1,054,423 | |||
NET INVESTMENT INCOME | 328,585 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain on investment transactions | 28,921,009 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (23,902,269 | ) | ||
Foreign currencies | (243 | ) | ||
(23,902,512 | ) | |||
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 5,018,497 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 5,347,082 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2015 | Year Ended December 31, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 328,585 | $ | 1,213,210 | ||||
Net realized gain on investment and foreign currency transactions | 28,921,009 | 23,150,781 | ||||||
Net change in unrealized depreciation on investments and foreign currencies | (23,902,512 | ) | (13,961,061 | ) | ||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 5,347,082 | 10,402,930 | ||||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [195,385 and 247,570 shares, respectively] | 3,950,237 | 4,704,300 | ||||||
Series shares repurchased [573,122 and 1,385,973 shares, respectively] | (11,437,647 | ) | (26,343,584 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (7,487,410 | ) | (21,639,284 | ) | ||||
TOTAL DECREASE | (2,140,328 | ) | (11,236,354 | ) | ||||
Net Assets: | ||||||||
Beginning of period | 217,081,475 | 228,317,829 | ||||||
End of period | $ | 214,941,147 | $ | 217,081,475 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A8
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
(Unaudited)
Note 1: | General |
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended, (“1940 Act”). The Series Fund is composed of seventeen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to SP Small Cap Value Portfolio.
The Portfolio’s investment objective is long-term growth of capital.
Note 2: | Accounting Policies |
The Series Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolio consistently follow such policies in the preparation of their financial statements.
Securities 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 and preferred stocks, exchange-traded funds, and derivative instruments such as futures or options that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy.
In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy, as the inputs are observable.
Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy, as the adjustment factors are observable. Such securities are valued using model prices to the extent that the valuation meets the established confidence level for each security. If the confidence level is not met or the vendor does not provide a model price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the over-the-counter (“OTC”) market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating
B1
observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.
OTC derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are generally valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.
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 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, the 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 subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s subadviser under the guidelines adopted by the Board. 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 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 daily rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does not 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 securities held at the end of the period. Similarly, the Portfolio does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, these realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions.
Net realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from holdings of foreign currencies, 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
B2
valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.
Concentration of Risk: Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.
Master Netting Arrangements: The Portfolio is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a sub-advisor may have negotiated and entered into on behalf of the Portfolio. For multi-sleeve Portfolios, different sub-advisors who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives under FASB Accounting Standards Update (“ASU”) 2013-01 disclosure. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. 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 to 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, 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, 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.
Taxes: For federal income tax purposes, the Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolio is treated as a partnership 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 Portfolio is the responsibility of the Portfolio’s shareholders (Participating Insurance Companies). The Portfolio is not generally subject to entity-level taxation. Shareholders of the Portfolio are subject to taxes on its distributive share of partnership items.
Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts at the time the related income/gain is recorded.
Distributions: Distributions from the 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.
B3
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 subadvisers’ performance of such services. PI has entered into subadvisory agreements with Goldman Sachs Asset Management, L.P. (“GSAM and ClearBridge Advisors LLC (“ClearBridge”) (collectively, the “Subadvisers”), under which each provides investment advisory services for the Portfolio. PI pays for the services of the Subadvisers, cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolio. The Portfolio bears all other costs and expenses.
PI has contractually agreed, through June 30, 2016, to waive a portion of its management fee equal to an annual rate of 0.008% of the average net assets of the Portfolio. The management fee paid to PI is accrued daily and payable monthly at an annual rate of 0.90% of the Portfolio’s average daily net assets. The effective management fee rate was 0.89% for the six months ended June 30, 2015.
PI is an indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
The Portfolio has 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. 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, 2015, brokerage commission recaptured under these agreements was $1,568.
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’s 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, serves as the Portfolio’s securities lending agent. Earnings from securities lending are disclosed on the Statement of Operations as “Affiliated income from securities lending, net”. For the six months ended June 30, 2015, PIM was compensated $11,278 for these services.
The Portfolio invests in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of 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, 2015 were $101,777,649 and $139,339,850, 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. The Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Management has analyzed the Portfolio’s tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provisions for income tax are required in the Portfolio’s financial statements for the current reporting period. The Portfolio’s federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
B4
Note 7: | Capital |
The shares of the Portfolio are not subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“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.
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 October 9, 2014 through October 8, 2015. The Funds pay an annualized commitment fee of .075% of 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 Portfolio did not utilize the SCA during the six months ended June 30, 2015.
Note 9: | Ownership and Affiliates |
As of June 30, 2015, all of Class I shares of record of the Portfolio were owned by the Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned subsidiary of Prudential.
Note 10: | New Accounting Pronouncement |
In May 2015, the FASB issued ASU No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share”. The amendments in this update are effective for the Fund for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at net asset value (“NAV”) per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. At this time, management is evaluating the implications of ASU No. 2015-07 and its impact on the financial statement disclosures has not yet been determined.
B5
Financial Highlights
(Unaudited)
SP Small Cap Value Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2015 | Year Ended December 31, | |||||||||||||||||||||||
2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 19.76 | $ | 18.83 | $ | 13.70 | $ | 11.86 | $ | 12.28 | $ | 9.79 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .05 | .14 | .10 | .16 | .07 | .07 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | .45 | .79 | 5.03 | 1.74 | (.41 | ) | 2.49 | |||||||||||||||||
Total from investment operations | .50 | .93 | 5.13 | 1.90 | (.34 | ) | 2.56 | |||||||||||||||||
Less Distributions: | — | — | — | (.06 | ) | (.08 | ) | (.07 | ) | |||||||||||||||
Net Asset Value, end of period | $ | 20.26 | $ | 19.76 | $ | 18.83 | $ | 13.70 | $ | 11.86 | $ | 12.28 | ||||||||||||
Total Return(a) | 2.53 | % | 4.94 | % | 37.45 | % | 16.06 | % | (2.77 | )% | 26.27 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 214.9 | $ | 217.1 | $ | 228.3 | $ | 179.6 | $ | 177.5 | $ | 232.7 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .99 | %(c) | .99 | % | 1.01 | % | 1.01 | % | .99 | % | 1.00 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.00 | %(c) | 1.00 | % | 1.01 | % | 1.01 | % | .99 | % | 1.00 | % | ||||||||||||
Net investment income | .31 | %(c) | .56 | % | .52 | % | 1.14 | % | .41 | % | .62 | % | ||||||||||||
Portfolio turnover rate | 49 | %(d) | 41 | % | 56 | % | 39 | % | 36 | % | 39 | % |
(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 fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
(c) | Annualized. |
(d) | 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 ten individuals, nine 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 the SP International Growth Portfolio (the Portfolio), its operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with Prudential Investments LLC (PI) and the 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 15-16, 2015 (the Meeting) and approved the renewal of the agreements through July 31, 2016, after concluding that the renewal of the agreements was in the best interests of the Trust, the Portfolio and the Portfolio’s 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 each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with PI, are in the best interest of the Trust, the Portfolio and the Portfolio’s shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment.
The material factors and conclusions that formed the basis for the Trustees’ determinations to approve the renewal of the agreements are discussed separately below.
Nature, quality and extent of services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PI and each subadviser. The Board considered the services provided by PI, including but not limited to the oversight of the subadvisers, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PI’s oversight of the subadvisers, the Board noted that PI’s Strategic Investment Research Group (SIRG), a business unit of PI, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadvisers. The Board also considered that PI pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PI’s evaluation of the subadvisers, as well as PI’s recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.
The Board reviewed the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of the Trust and each subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadvisers’ portfolio managers who are responsible for the day-to-day management of the 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 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 each subadviser, and that there was a reasonable basis on which to conclude that the 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. Taking these factors into account, the Board concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board received and discussed information concerning whether PI realizes economies of scale as the Portfolio’s assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolio in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PI’s costs are not specific to individual funds, but rather are incurred across a variety of products and services.
Other Benefits to PI and the Subadvisers
The Board considered potential ancillary benefits that might be received by PI, the subadvisers, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PI included 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 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 Portfolio are reasonable. The Board concluded that the potential benefits to be derived by the subadvisers included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by PI and the subadvisers were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of the 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, 2014. The Board compared the historical performance of the Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Lipper Inc. (Lipper), an independent provider of mutual fund data, to be similar to the Portfolio.
The Board also considered the Portfolio’s actual management fee, as well as the Portfolio’s net total expense ratio, for the calendar year 2014. 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 group of similar mutual funds that were determined by Lipper to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Lipper Inc. (Lipper), an independent provider of mutual fund data. The comparisons placed the Portfolio 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 and the Board may have considered, 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 the 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 Small Cap Value Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
2nd Quartile | 2nd 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 noted that PI had contractually agreed to waive 0.008% of its management fee through June 30, 2016. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
**********
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 offers two classes of shares in each Portfolio: Class I and Class II. Class I shares are sold only to separate accounts of The Prudential Insurance Company of America, Pruco Life Insurance Company, and Pruco Life Insurance Company of New Jersey (collectively, Prudential) as investment options under variable life insurance and variable annuity contracts (the Contracts). (A separate account keeps the assets supporting certain insurance contracts separate from the general assets and liabilities of the insurance company.) Class II shares are offered only to separate accounts of non-Prudential insurance companies for the same types of Contracts.
The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), 655 Broad Street, 19th Floor, Newark, NJ 07102, 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.
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.
©2015 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.
0278965-00001-00 PSF-SAR-SP SMALL CAP VAL
THE PRUDENTIAL SERIES FUND
SEMIANNUAL REPORT Ÿ JUNE 30, 2015
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, 2015, 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.
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Jennison 20/20 Focus Portfolio
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The Prudential Series Fund
Table of Contents | Semiannual Report | June 30, 2015 |
n | LETTER TO CONTRACT OWNERS |
n | PRESENTATION OF PORTFOLIO HOLDINGS |
n | FEES AND EXPENSES |
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, 2015 |
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.
Sincerely,
Timothy S. Cronin
President,
The Prudential Series Fund | July 31, 2015 |
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2015 |
Jennison 20/20 Focus | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Allergan PLC | 5.2% | |||
Facebook, Inc. (Class A Stock) | 4.8% | |||
Apple, Inc. | 3.9% | |||
Walt Disney Co. (The) | 3.8% | |||
Amazon.com, Inc. | 3.7% |
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, 2015 |
As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2015 through June 30, 2015.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During 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, 2015 | Ending Account Value June 30, 2015 | Annualized Expense Ratio based on the | Expenses Paid During the Six-Month period* | ||||||||||||||
Jennison 20/20 Focus (Class I) | Actual | $ | 1,000.00 | $ | 1,054.60 | 0.83 | % | $ | 4.23 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.68 | 0.83 | % | $ | 4.16 | ||||||||||
Jennison 20/20 Focus (Class II) | Actual | $ | 1,000.00 | $ | 1,052.60 | 1.23 | % | $ | 6.26 | |||||||||
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, 2015, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2015 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
JENNISON 20/20 FOCUS PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
LONG-TERM INVESTMENTS — 100.0% | ||||||||
COMMON STOCKS | Shares | Value (Note 1) | ||||||
Aerospace & Defense — 0.9% |
| |||||||
Boeing Co. (The) | 15,587 | $ | 2,162,229 | |||||
Automobiles — 2.5% |
| |||||||
Tesla Motors, Inc.*(a) | 22,164 | 5,945,715 | ||||||
Banks — 4.2% |
| |||||||
JPMorgan Chase & Co. | 91,944 | 6,230,125 | ||||||
PNC Financial Services Group, Inc. (The) | 41,037 | 3,925,189 | ||||||
10,155,314 | ||||||||
Biotechnology — 8.5% |
| |||||||
Alexion Pharmaceuticals, Inc.* | 24,369 | 4,405,184 | ||||||
Biogen, Inc.* | 17,496 | 7,067,334 | ||||||
Celgene Corp.* | 39,719 | 4,596,879 | ||||||
Regeneron Pharmaceuticals, Inc.* | 8,607 | 4,390,689 | ||||||
20,460,086 | ||||||||
Chemicals — 1.1% |
| |||||||
FMC Corp. | 49,572 | 2,605,009 | ||||||
Consumer Finance — 2.0% |
| |||||||
SLM Corp.* | 482,530 | 4,762,571 | ||||||
Electric Utilities — 1.5% |
| |||||||
FirstEnergy Corp. | 110,031 | 3,581,509 | ||||||
Electrical Equipment — 1.8% |
| |||||||
Eaton Corp. PLC | 65,235 | 4,402,710 | ||||||
Energy Equipment & Services — 1.4% |
| |||||||
Halliburton Co. | 78,930 | 3,399,515 | ||||||
Food Products — 4.2% |
| |||||||
Bunge Ltd. | 55,229 | 4,849,106 | ||||||
Mondelez International, Inc. | 123,566 | 5,083,505 | ||||||
9,932,611 | ||||||||
Hotels, Restaurants & Leisure — 4.8% |
| |||||||
Carnival Corp. | 108,701 | 5,368,742 | ||||||
Starbucks Corp. | 112,952 | 6,055,922 | ||||||
11,424,664 | ||||||||
Insurance — 2.3% |
| |||||||
MetLife, Inc. | 100,080 | 5,603,479 | ||||||
Internet & Catalog Retail — 8.2% |
| |||||||
Amazon.com, Inc.* | 20,657 | 8,966,997 | ||||||
JD.com, Inc. (China), ADR* | 176,016 | 6,002,146 | ||||||
Netflix, Inc.* | 7,102 | 4,665,588 | ||||||
19,634,731 | ||||||||
Internet Software & Services — 12.8% |
| |||||||
Facebook, Inc. (Class A Stock)* | 134,373 | 11,524,500 | ||||||
Google, Inc. (Class A Stock)* | 5,083 | 2,745,023 | ||||||
Google, Inc. (Class C Stock) | 5,299 | 2,758,183 | ||||||
LinkedIn Corp. (Class A Stock)* | 31,525 | 6,514,011 | ||||||
Tencent Holdings Ltd. (China), ADR | 360,268 | 7,223,373 | ||||||
30,765,090 | ||||||||
IT Services — 5.9% |
| |||||||
FleetCor Technologies, Inc.* | 27,846 | 4,345,647 | ||||||
MasterCard, Inc. (Class A Stock) | 53,523 | 5,003,330 | ||||||
Visa, Inc. (Class A Stock) | 71,170 | 4,779,065 | ||||||
14,128,042 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 1) | ||||||
Machinery — 0.9% |
| |||||||
SPX Corp. | 30,091 | $ | 2,178,287 | |||||
Media — 5.5% | ||||||||
Comcast Corp. (Class A Stock) | 68,473 | 4,117,966 | ||||||
Walt Disney Co. (The) | 79,055 | 9,023,338 | ||||||
13,141,304 | ||||||||
Multiline Retail — 2.2% |
| |||||||
Target Corp. | 63,308 | 5,167,832 | ||||||
Oil, Gas & Consumable Fuels — 2.6% |
| |||||||
Anadarko Petroleum Corp. | 39,762 | 3,103,822 | ||||||
Noble Energy, Inc. | 73,502 | 3,137,065 | ||||||
6,240,887 | ||||||||
Pharmaceuticals — 11.3% |
| |||||||
Allergan PLC* | 41,346 | 12,546,857 | ||||||
Bayer AG (Germany), ADR | 34,720 | 4,894,999 | ||||||
Merck & Co., Inc. | 46,558 | 2,650,547 | ||||||
Shire PLC (Ireland), ADR | 28,377 | 6,852,762 | ||||||
26,945,165 | ||||||||
Semiconductors & Semiconductor Equipment — 1.0% |
| |||||||
Applied Materials, Inc. | 129,407 | 2,487,203 | ||||||
Software — 4.8% |
| |||||||
Microsoft Corp. | 83,941 | 3,705,995 | ||||||
salesforce.com, inc.* | 110,169 | 7,671,068 | ||||||
11,377,063 | ||||||||
Technology Hardware, Storage & Peripherals — 5.4% |
| |||||||
Apple, Inc. | 73,574 | 9,228,019 | ||||||
Hewlett-Packard Co. | 119,893 | 3,597,989 | ||||||
12,826,008 | ||||||||
Textiles, Apparel & Luxury Goods — 4.2% |
| |||||||
NIKE, Inc. (Class B Stock) | 42,471 | 4,587,717 | ||||||
Under Armour, Inc. | 66,259 | 5,528,651 | ||||||
10,116,368 | ||||||||
TOTAL LONG-TERM INVESTMENTS |
| 239,443,392 | ||||||
SHORT-TERM INVESTMENT — 4.6% | ||||||||
AFFILIATED MONEY MARKET MUTUAL FUND |
| |||||||
Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund (cost $11,166,739; includes $10,922,653 of cash collateral for securities on loan)(Note 4)(b)(c) | 11,166,739 | 11,166,739 | ||||||
TOTAL INVESTMENTS — 104.6% |
| 250,610,131 | ||||||
LIABILITIES IN EXCESS OF |
| (11,082,894 | ) | |||||
NET ASSETS — 100.0% |
| $ | 239,527,237 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A1
JENNISON 20/20 FOCUS PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
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 $10,850,929; cash collateral of $10,922,653 (included in liabilities) was received with which the Portfolio 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 the 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. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2015 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 2,162,229 | $ | — | $ | — | ||||||
Automobiles | 5,945,715 | — | — | |||||||||
Banks | 10,155,314 | — | — | |||||||||
Biotechnology | 20,460,086 | — | — | |||||||||
Chemicals | 2,605,009 | — | — | |||||||||
Consumer Finance | 4,762,571 | — | — | |||||||||
Electric Utilities | 3,581,509 | — | — | |||||||||
Electrical Equipment | 4,402,710 | — | — | |||||||||
Energy Equipment & Services | 3,399,515 | — | — | |||||||||
Food Products | 9,932,611 | — | — | |||||||||
Hotels, Restaurants & Leisure | 11,424,664 | — | — | |||||||||
Insurance | 5,603,479 | — | — | |||||||||
Internet & Catalog Retail | 19,634,731 | — | — | |||||||||
Internet Software & Services | 30,765,090 | — | — | |||||||||
IT Services | 14,128,042 | — | — | |||||||||
Machinery | 2,178,287 | — | — | |||||||||
Media | 13,141,304 | — | — | |||||||||
Multiline Retail | 5,167,832 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 6,240,887 | — | — | |||||||||
Pharmaceuticals | 26,945,165 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 2,487,203 | — | — | |||||||||
Software | 11,377,063 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 12,826,008 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 10,116,368 | — | — | |||||||||
Affiliated Money Market Mutual Fund | 11,166,739 | — | — | |||||||||
Total | $ | 250,610,131 | $ | — | $ | — | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A2
JENNISON 20/20 FOCUS PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2015 (Unaudited) |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2015 was as follows:
Internet Software & Services | 12.8 | % | ||
Pharmaceuticals | 11.3 | |||
Biotechnology | 8.5 | |||
Internet & Catalog Retail | 8.2 | |||
IT Services | 5.9 | |||
Media | 5.5 | |||
Technology Hardware, Storage & Peripherals | 5.4 | |||
Hotels, Restaurants & Leisure | 4.8 | |||
Software | 4.8 | |||
Affiliated Money Market Mutual Fund (including 4.6% of collateral for securities on loan) | 4.6 | |||
Banks | 4.2 | |||
Textiles, Apparel & Luxury Goods | 4.2 | |||
Food Products | 4.2 | |||
Oil, Gas & Consumable Fuels | 2.6 |
Automobiles | 2.5 | % | ||
Insurance | 2.3 | |||
Multiline Retail | 2.2 | |||
Consumer Finance | 2.0 | |||
Electrical Equipment | 1.8 | |||
Electric Utilities | 1.5 | |||
Energy Equipment & Services | 1.4 | |||
Chemicals | 1.1 | |||
Semiconductors & Semiconductor Equipment | 1.0 | |||
Machinery | 0.9 | |||
Aerospace & Defense | 0.9 | |||
104.6 | ||||
Liabilities in excess of other assets | (4.6 | ) | ||
100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A3
JENNISON 20/20 FOCUS PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(Unaudited)
as of June 30, 2015
ASSETS | ||||
Investments at value, including securities on loan of $10,850,929: | ||||
Unaffiliated investments (cost $184,286,017) | $ | 239,443,392 | ||
Affiliated investments (cost $11,166,739) | 11,166,739 | |||
Receivable for investments sold | 1,073,077 | |||
Dividends receivable | 112,439 | |||
Tax reclaim receivable | 38,326 | |||
Receivable for Series shares sold | 6,750 | |||
Prepaid expenses | 289 | |||
Total Assets | 251,841,012 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 10,922,653 | |||
Payable to custodian | 584,028 | |||
Payable for investments purchased | 327,355 | |||
Payable for Series shares repurchased | 204,212 | |||
Management fee payable | 150,572 | |||
Accrued expenses | 66,372 | |||
Distribution fee payable | 36,029 | |||
Administration fee payable | 21,628 | |||
Affiliated transfer agent fee payable | 926 | |||
Total Liabilities | 12,313,775 | |||
NET ASSETS | $ | 239,527,237 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 68,877,515 | ||
Retained earnings | 170,649,722 | |||
Net assets, June 30, 2015 | $ | 239,527,237 | ||
Class I: | ||||
Net asset value and redemption price per share $68,139,133 / 2,914,713 outstanding shares of beneficial interest | $ | 23.38 | ||
Class II: | ||||
Net asset value and redemption price per share $171,388,104 / 7,576,706 outstanding shares of beneficial interest | $ | 22.62 | ||
STATEMENT OF OPERATIONS
(Unaudited)
Six Months Ended June 30, 2015
NET INVESTMENT INCOME | ||||
Income | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $19,294) | $ | 1,457,803 | ||
Affiliated income from securities lending, net | 15,582 | |||
Affiliated dividend income | 3,483 | |||
Total income | 1,476,868 | |||
EXPENSES | ||||
Management fee | 901,362 | |||
Distribution fee—Class II | 216,019 | |||
Administration fee—Class II | 129,612 | |||
Shareholders’ reports | 31,000 | |||
Custodian and accounting fees | 26,000 | |||
Audit fee | 11,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,800) | 6,000 | |||
Trustees’ fees | 6,000 | |||
Legal fees and expenses | 4,000 | |||
Insurance expenses | 2,000 | |||
Loan interest expense | 43 | |||
Miscellaneous | 5,671 | |||
Total expenses | 1,338,707 | |||
NET INVESTMENT INCOME | 138,161 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain on investment transactions | 12,386,790 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 32,318 | |||
Foreign currencies | (176 | ) | ||
32,142 | ||||
NET GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 12,418,932 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 12,557,093 | ||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
Six Months Ended June 30, 2015 | Year Ended December 31, 2014 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 138,161 | $ | (522,986 | ) | |||
Net realized gain on investment transactions | 12,386,790 | 20,234,801 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 32,142 | (3,561,474 | ) | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | 12,557,093 | 16,150,341 | ||||||
SERIES SHARE TRANSACTIONS (Note 7) | ||||||||
Series shares sold | 7,497,391 | 26,707,454 | ||||||
Series shares repurchased | (20,670,096 | ) | (49,979,063 | ) | ||||
NET DECREASE IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (13,172,705 | ) | (23,271,609 | ) | ||||
TOTAL DECREASE | (615,612 | ) | (7,121,268 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 240,142,849 | 247,264,117 | ||||||
End of period | $ | 239,527,237 | $ | 240,142,849 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A4
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
(Unaudited)
Note 1: | General |
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is composed of seventeen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to Jennison 20/20 Focus Portfolio.
The Portfolio’s investment objective is long-term growth of capital.
Note 2: | Accounting Policies |
The Series Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolio consistently follow such policies in the preparation of their financial statements.
Securities 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 and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy.
In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.
Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. Such securities are valued using model prices to the extent that the valuation meets the established confidence level for each security. If the confidence level is not met or the vendor does not provide a model price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the over-the-counter (“OTC”) market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche
B1
level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.
OTC derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are generally valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.
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 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 daily rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does not 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 holdings of foreign currencies, forward currency contracts, disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of 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 Portfolio to meet their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political 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. These are arrangements which a sub-adviser may have negotiated and entered into on behalf of the Portfolio. For multi-sleeve Portfolios, different sub-advisors who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for over-the-counter (“OTC”) derivatives under the FASB Accounting Standards Update (“ASU”) 2013-01
B2
disclosure. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. The right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there were no instances where the right of set-off existed and management has not elected to offset.
Securities Lending: The Portfolio may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid short-term money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of 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, the Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolio is treated as a partnership 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 Portfolio is the responsibility of the Portfolio’s shareholders (Participating Insurance Companies). The Portfolios is not generally subject to entity-level taxation. Shareholders of the Portfolio is subject to taxes on its distributive share of partnership items.
Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable country’s tax rules and regulations.
Distributions: Distributions from the 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, cost of 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 accrued daily and payable monthly at an annual rate of .75% of the Portfolio’s average daily net assets.
B3
The Portfolio has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolio. The Portfolio compensates PIMS for distributing and servicing the Portfolio’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Portfolio. Pursuant to the Class II Plan, the Class II shares of the Portfolio compensate PIMS for distribution-related activities at an annual rate of .25% of the average daily net assets of the Class II shares.
The Portfolio has an administration agreement with PI, which acts as the administrator of the Class II shares of the Portfolio. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of .15% of the average daily net assets of the Class II shares.
PIMS, PI and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
The Portfolio has 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, 2015, brokerage commission recaptured under these agreements was $8,466.
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’s 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, 2015, PIM was compensated $4,654 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, 2015 were $83,478,488 and $89,867,832, 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 and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
B4
Note 7: | Capital |
The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of the Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.
Transactions in shares of beneficial interest of the Jennison 20/20 Focus Portfolio were as follows:
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2015: | ||||||||
Shares sold | 57,425 | $ | 1,324,117 | |||||
Shares repurchased | (174,390 | ) | (3,983,191 | ) | ||||
Net increase (decrease) in shares outstanding | (116,965 | ) | $ | (2,659,074 | ) | |||
Year ended December 31, 2014: | ||||||||
Shares sold | 132,072 | $ | 2,848,455 | |||||
Shares repurchased | (422,009 | ) | (9,119,394 | ) | ||||
Net increase (decrease) in shares outstanding | (289,937 | ) | $ | (6,270,939 | ) | |||
Class II: | ||||||||
Six months ended June 30, 2015: | ||||||||
Shares sold | 278,198 | $ | 6,173,274 | |||||
Shares repurchased | (749,387 | ) | (16,686,905 | ) | ||||
Net increase (decrease) in shares outstanding | (471,189 | ) | $ | (10,513,631 | ) | |||
Year ended December 31, 2014: | ||||||||
Shares sold | 1,141,073 | $ | 23,858,999 | |||||
Shares repurchased | (1,955,942 | ) | (40,859,669 | ) | ||||
Net increase (decrease) in shares outstanding | (814,869 | ) | $ | (17,000,670 | ) | |||
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 October 9, 2014 through October 8, 2015. The Funds pay an annualized commitment fee of .075% of 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 Portfolio utilized the SCA during the six months ended June 30, 2015. The average daily balance for the 7 days that the Portfolio had loans outstanding during the period was $154,571, borrowed at a weighted average interest rate of 1.42%. The maximum loan outstanding amount during the period was $273,000. At June 30, 2015, the Portfolio did not have an outstanding loan amount.
Note 9: | Ownership and Affiliates |
As of June 30, 2015, all of Class I shares of record of the Portfolio were owned by the Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned subsidiary of Prudential.
Note 10: | New Accounting Pronouncement |
In May 2015, the FASB issued ASU No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share”. The amendments in this update are effective for the Fund for fiscal
B5
years beginning after December 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at net asset value (“NAV”) per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. At this time, management is evaluating the implications of ASU No. 2015-07 and its impact on the financial statement disclosures has not yet been determined.
B6
Financial Highlights
(Unaudited)
Jennison 20/20 Focus Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2015(c) | Year Ended December 31, | |||||||||||||||||||||||
2014(c) | 2013(c) | 2012(c) | 2011(c) | 2010(c) | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 22.16 | $ | 20.69 | $ | 15.93 | $ | 14.89 | $ | 15.55 | $ | 14.42 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income | .05 | .02 | .09 | .05 | .04 | .05 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.17 | 1.45 | 4.67 | 1.55 | (.69 | ) | 1.08 | |||||||||||||||||
Total from investment operations | 1.22 | 1.47 | 4.76 | 1.60 | (.65 | ) | 1.13 | |||||||||||||||||
Less Distributions | — | — | — | (.56 | ) | (.01 | ) | — | ||||||||||||||||
Net Asset Value, end of period | $ | 23.38 | $ | 22.16 | $ | 20.69 | $ | 15.93 | $ | 14.89 | $ | 15.55 | ||||||||||||
Total Return(a) | 5.51 | % | 7.10 | % | 29.88 | % | 11.04 | % | (4.17 | )% | 7.84 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 68.1 | $ | 67.2 | $ | 68.7 | $ | 59.1 | $ | 58.7 | $ | 66.8 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .83 | %(d) | .83 | % | .84 | % | .80 | % | .80 | % | .80 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .83 | %(d) | .83 | % | .84 | % | .80 | % | .80 | % | .80 | % | ||||||||||||
Net investment income | .40 | %(d) | .08 | % | .46 | % | .32 | % | .24 | % | .36 | % | ||||||||||||
Portfolio turnover rate | 35 | %(e) | 97 | % | 78 | % | 75 | % | 83 | % | 112 | % | ||||||||||||
Jennison 20/20 Focus Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2015(c) | Year Ended December 31, | |||||||||||||||||||||||
2014(c) | 2013(c) | 2012(c) | 2011(c) | 2010(c) | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 21.49 | $ | 20.14 | $ | 15.57 | $ | 14.62 | $ | 15.31 | $ | 14.25 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | — | (f) | (.07 | ) | .01 | (.03 | ) | (.03 | ) | (.01 | ) | |||||||||||||
Net realized and unrealized gain (loss) on investments | 1.13 | 1.42 | 4.56 | 1.54 | (.66 | ) | 1.07 | |||||||||||||||||
Total from investment operations | 1.13 | 1.35 | 4.57 | 1.51 | (.69 | ) | 1.06 | |||||||||||||||||
Less Distributions | — | — | — | (.56 | ) | — | — | |||||||||||||||||
Net Asset Value, end of period | $ | 22.62 | $ | 21.49 | $ | 20.14 | $ | 15.57 | $ | 14.62 | $ | 15.31 | ||||||||||||
Total Return(a) | 5.26 | % | 6.70 | % | 29.35 | % | 10.62 | % | (4.51 | )% | 7.44 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 171.4 | $ | 172.9 | $ | 178.5 | $ | 154.8 | $ | 383.0 | $ | 476.2 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.23 | %(d) | 1.23 | % | 1.24 | % | 1.20 | % | 1.20 | % | 1.20 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.23 | %(d) | 1.23 | % | 1.24 | % | 1.20 | % | 1.20 | % | 1.20 | % | ||||||||||||
Net investment income (loss) | — | (g) | (.33 | )% | .07 | % | (.18 | )% | (.16 | )% | (.05 | )% | ||||||||||||
Portfolio turnover rate | 35 | %(e) | 97 | % | 78 | % | 75 | % | 83 | % | 112 | % |
(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 years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total Returns for periods less than one full year are not annualized. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | Calculated based upon average shares outstanding during the period. |
(d) | Annualized. |
(e) | Not annualized. |
(f) | Less than $0.005 per share. |
(g) | Less than .005%. |
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 ten individuals, nine 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 the SP International Growth Portfolio (the Portfolio), its operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with Prudential Investments LLC (PI) and the Portfolio’s subadvisory agreement with Jennison Associates LLC (Jennison). 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 15-16, 2015 (the Meeting) and approved the renewal of the agreements through July 31, 2016, after concluding that the renewal of the agreements was in the best interests of the Trust, the Portfolio and the Portfolio’s 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 Jennison, which serves pursuant to the terms of a subadvisory agreement with PI, are in the best interest of the Trust, the Portfolio and the Portfolio’s shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment.
The 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 Jennison. The Board considered the services provided by PI, including but not limited to the oversight of Jennison, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PI’s oversight of the subadvisers, the Board noted that PI’s Strategic Investment Research Group (SIRG), a business unit of PI, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadvisers. The Board also considered that PI pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PI’s evaluation of Jennison, as well as PI’s recommendation, based on its review of Jennison, to renew the subadvisory agreements.
The Board reviewed the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of the Trust and Jennison, and also reviewed the qualifications, backgrounds and responsibilities of the Jennison 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 Jennison’s organizational structure, senior management, investment operations and other relevant information pertaining to PI and Jennison. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PI and Jennison. The Board noted that Jennison 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 Jennison, and that there was a reasonable basis on which to conclude that the Portfolio benefits from the services provided by PI and Jennison under the management and subadvisory agreements.
Costs of Services and Profits Realized by PI
The Board was provided with information on the profitability of PI and its affiliates in serving as the Trust’s investment manager. The Board discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. The Board considered information regarding the profitability of Jennison, which is an affililate of PI, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board received and discussed information concerning whether PI realizes economies of scale as the Portfolio’s assets grow beyond current levels. The Board noted that economies of scale, if any, may be shared with the Portfolio in several ways, including low management fees from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PI’s costs are not specific to individual funds, but rather are incurred across a variety of products and services.
Other Benefits to PI and the Subadvisers
The Board considered potential ancillary benefits that might be received by PI, Jennison, and their affiliates as a result of their relationship 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 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 Portfolio are reasonable. The Board concluded that the potential benefits to be derived by Jennison included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of Jennison, 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 Jennison 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, 2014. The Board compared the historical performance of the Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Lipper Inc. (Lipper), an independent provider of mutual fund data, to be similar to the Portfolio.
The Board also considered the Portfolio’s actual management fee, as well as the Portfolio’s net total expense ratio, for the calendar year 2014. 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 group of similar mutual funds that were determined by Lipper to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Lipper Inc. (Lipper), an independent provider of mutual fund data. The comparisons placed the Portfolio 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 and the Board may have considered, 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 the 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.
Jennison 20/20 Focus Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
4th Quartile | 4th Quartile | 4th Quartile | 1st Quartile | |||||
Actual Management Fees: 3rd Quartile | ||||||||
Net Total Expenses: 3rd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the ten-year period, although it underperformed over the one-, three- and five-year periods. |
• | The Board noted PI’s explanation that the underperformance was primarily attributable to the Portfolio’s value sleeve. The Board considered that the portfolio manager team responsible for the value sleeve’s performance record had recently been replaced, resulting in changes in the securities selection process for the sleeve. |
• | The Board considered that the Portfolio’s performance during the first quarter of 2015 had shown significant improvement, with the Portfolio ranking in the first quartile of its Peer Universe and outperforming its benchmark index. |
• | 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 offers two classes of shares in each Portfolio: Class I and Class II. Class I shares are sold only to separate accounts of The Prudential Insurance Company of America, Pruco Life Insurance Company, and Pruco Life Insurance Company of New Jersey (collectively, Prudential) as investment options under variable life insurance and variable annuity contracts (the Contracts). (A separate account keeps the assets supporting certain insurance contracts separate from the general assets and liabilities of the insurance company.) Class II shares are offered only to separate accounts of non-Prudential insurance companies for the same types of Contracts.
The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), 655 Broad Street, 19th Floor, Newark, NJ 07102, 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.
©2015 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.
0229048-00004-00 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 14, 2015 | |
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 | ||
Principal Executive Officer | ||
Date: | August 14, 2015 | |
By: | /s/ M. Sadiq Peshimam | |
M. Sadiq Peshimam | ||
Treasurer and Principal Financial and Accounting Officer | ||
Date: | August 14, 2015 |