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 Floor | |
Newark, New Jersey 07102 | ||
Name and address of agent for service: | Deborah A. Docs | |
655 Broad Street, 17th Floor | ||
Newark, New Jersey 07102 | ||
Registrant’s telephone number, including area code: | 973-367-7521 | |
Date of fiscal year end: | 12/31/2017 | |
Date of reporting period: | 6/30/2017 |
Item 1 – Reports to Stockholders –
The Prudential Series Fund
SEMIANNUAL REPORT | June 30, 2017 |
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, 2017, 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.
Conservative Balanced Portfolio
Diversified Bond Portfolio
Equity Portfolio
Flexible Managed Portfolio
Global Portfolio
Government Income Portfolio
Government Money Market Portfolio
High Yield Bond Portfolio
Jennison 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, 2017 |
∎ | LETTER TO CONTRACT OWNERS |
∎ | PRESENTATION OF PORTFOLIO HOLDINGS |
∎ | FEES AND EXPENSES |
∎ | FINANCIAL REPORTS |
Section A | Schedule of Investments and Financial Statements | |||
Conservative Balanced Portfolio | A1 | |||
Diversified Bond Portfolio | A36 | |||
Equity Portfolio | A69 | |||
Flexible Managed Portfolio | A74 | |||
Global Portfolio | A108 | |||
Government Income Portfolio | A117 | |||
Government Money Market Portfolio | A127 | |||
High Yield Bond Portfolio | A131 | |||
Jennison Portfolio | A150 | |||
Natural Resources Portfolio | A154 | |||
Small Capitalization Stock Portfolio | A159 | |||
Stock Index Portfolio | A172 | |||
Value Portfolio | A183 | |||
Glossary | A187 | |||
Section B | Notes to Financial Statements | |||
Section C | Financial Highlights |
∎ | 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, 2017 |
∎ | 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. 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, 2017 |
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2017 |
Conservative Balanced | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Apple, Inc. | 1.7% | |||
U.S. Treasury Inflation Indexed Bonds | 1.4% | |||
Microsoft Corp. | 1.2% | |||
U.S. Treasury Notes, 2.125%, 09/30/21 | 1.0% | |||
Amazon.com, Inc. | 0.9% |
Diversified Bond | ||||
Fund Composition | (% of Net Assets | ) | ||
Corporate Bonds | 41.9% | |||
Commercial Mortgage-Backed Securities | 13.2% | |||
Asset-Backed Securities | 12.2% | |||
Residential Mortgage-Backed Securities | 6.0% | |||
U.S. Treasury Obligations | 5.0% |
Equity | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Apple, Inc. | 3.9% | |||
JPMorgan Chase & Co. | 3.8% | |||
Microsoft Corp. | 3.2% | |||
Amazon.com, Inc. | 2.7% | |||
Facebook, Inc. | 2.6% |
Flexible Managed | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Apple, Inc. | 1.7% | |||
JPMorgan Chase & Co. | 1.3% | |||
Facebook, Inc. | 1.2% | |||
Alphabet, Inc. | 1.1% | |||
Johnson & Johnson | 1.1% |
Global | ||||
Top Five Countries | (% of Net Assets | ) | ||
United States | 62.1% | |||
Japan | 7.6% | |||
United Kingdom | 6.4% | |||
France | 4.8% | |||
Germany | 3.1% |
Government Income | ||||
Fund Composition | (% of Net Assets | ) | ||
U.S. Government Agency Obligations | 42.5% | |||
U.S. Treasury Obligations | 28.6% | |||
Commercial Mortgage-Backed Securities | 20.9% | |||
Collateralized Loan Obligations | 6.3% | |||
Corporate Bonds | 1.3% |
High Yield Bond | ||||
Five Largest Industries | (% of Net Assets | ) | ||
Media | 7.8% | |||
Oil & Gas | 6.6% | |||
Telecommunications | 6.4% | |||
Healthcare Services | 5.7% | |||
Retail | 5.5% |
Jennison | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Apple, Inc. | 5.9% | |||
Amazon.com, Inc. | 5.0% | |||
Facebook, Inc. | 4.5% | |||
Alibaba Group Holding Ltd.(China) | 4.0% | |||
Microsoft Corp. | 3.7% |
Natural Resources | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
EOG Resources, Inc. | 4.3% | |||
Concho Resources, Inc. | 4.0% | |||
Parsley Energy, Inc. | 4.0% | |||
Pioneer Natural Resources Co. | 3.9% | |||
Total SA(France) | 3.0% |
Small Capitalization Stock | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
ALLETE, Inc. | 0.5% | |||
MKS Instruments, Inc. | 0.5% | |||
CoreSite Realty Corp. | 0.5% | |||
Healthcare Services Group, Inc. | 0.5% | |||
Spire, Inc. | 0.5% |
Stock Index | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Apple, Inc. | 3.6% | |||
Microsoft Corp. | 2.5% | |||
Amazon.com, Inc. | 1.8% | |||
Johnson & Johnson | 1.7% | |||
Facebook, Inc. (Class A Stock) | 1.7% |
Value | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
JPMorgan Chase & Co. | 4.6% | |||
Bank of America Corp. | 3.0% | |||
Citigroup, Inc. | 2.5% | |||
PG&E Corp. | 2.3% | |||
Procter & Gamble Co. (The) | 2.3% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.
The Prudential Series Fund
Fees and Expenses — unaudited | June 30, 2017 |
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, 2017 through June 30, 2017.
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, 2017 | Ending Account Value June 30, 2017 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
Conservative Balanced (Class I) | Actual | $ | 1,000.00 | $ | 1,058.30 | 0.58 | % | $ | 2.96 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.92 | 0.58 | % | $ | 2.91 | ||||||||||
Diversified Bond (Class I) | Actual | $ | 1,000.00 | $ | 1,044.00 | 0.44 | % | $ | 2.23 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.61 | 0.44 | % | $ | 2.21 | ||||||||||
Equity (Class I) | Actual | $ | 1,000.00 | $ | 1,114.30 | 0.47 | % | $ | 2.46 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.46 | 0.47 | % | $ | 2.36 | ||||||||||
Equity (Class II) | Actual | $ | 1,000.00 | $ | 1,112.20 | 0.87 | % | $ | 4.56 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.48 | 0.87 | % | $ | 4.36 | ||||||||||
Flexible Managed (Class I) | Actual | $ | 1,000.00 | $ | 1,059.30 | 0.62 | % | $ | 3.17 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.72 | 0.62 | % | $ | 3.11 | ||||||||||
Global (Class I) | Actual | $ | 1,000.00 | $ | 1,125.10 | 0.79 | % | $ | 4.16 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.88 | 0.79 | % | $ | 3.96 | ||||||||||
Government Income (Class I) | Actual | $ | 1,000.00 | $ | 1,021.20 | 0.51 | % | $ | 2.56 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.27 | 0.51 | % | $ | 2.56 | ||||||||||
Government Money Market (Class I) | Actual | $ | 1,000.00 | $ | 1,001.80 | 0.34 | % | $ | 1.69 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.11 | 0.34 | % | $ | 1.71 | ||||||||||
High Yield Bond (Class I) | Actual | $ | 1,000.00 | $ | 1,052.30 | 0.57 | % | $ | 2.90 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.97 | 0.57 | % | $ | 2.86 | ||||||||||
Jennison (Class I) | Actual | $ | 1,000.00 | $ | 1,175.70 | 0.63 | % | $ | 3.40 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.67 | 0.63 | % | $ | 3.16 | ||||||||||
Jennison (Class II) | Actual | $ | 1,000.00 | $ | 1,173.30 | 1.03 | % | $ | 5.55 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.69 | 1.03 | % | $ | 5.16 |
The Prudential Series Fund
Fees and Expenses — unaudited (continued) | June 30, 2017 |
The Prudential Series Fund Portfolios | Beginning Account Value January 1, 2017 | Ending Account Value June 30, 2017 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
Natural Resources (Class I) | Actual | $ | 1,000.00 | $ | 861.70 | 0.51 | % | $ | 2.35 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.27 | 0.51 | % | $ | 2.56 | ||||||||||
Natural Resources (Class II) | Actual | $ | 1,000.00 | $ | 859.90 | 0.91 | % | $ | 4.20 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.28 | 0.91 | % | $ | 4.56 | ||||||||||
Small Capitalization Stock (Class I) | Actual | $ | 1,000.00 | $ | 1,027.00 | 0.39 | % | $ | 1.96 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.86 | 0.39 | % | $ | 1.96 | ||||||||||
Stock Index (Class I) | Actual | $ | 1,000.00 | $ | 1,091.90 | 0.32 | % | $ | 1.66 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.21 | 0.32 | % | $ | 1.61 | ||||||||||
Value (Class I) | Actual | $ | 1,000.00 | $ | 1,059.80 | 0.42 | % | $ | 2.15 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.71 | 0.42 | % | $ | 2.11 | ||||||||||
Value (Class II) | Actual | $ | 1,000.00 | $ | 1,057.70 | 0.82 | % | $ | 4.18 | |||||||||
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, 2017, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2017 (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, 2017 (unaudited) |
LONG-TERM INVESTMENTS — 89.2% | ||||||||
COMMON STOCKS — 49.0% | Shares | Value | ||||||
Aerospace & Defense — 1.1% |
| |||||||
Arconic, Inc. | 25,080 | $ | 568,062 | |||||
Boeing Co. (The) | 32,550 | 6,436,762 | ||||||
General Dynamics Corp. | 16,300 | 3,229,030 | ||||||
L3 Technologies, Inc. | 4,500 | 751,860 | ||||||
Lockheed Martin Corp. | 14,300 | 3,969,823 | ||||||
Northrop Grumman Corp. | 10,162 | 2,608,687 | ||||||
Raytheon Co. | 16,700 | 2,696,716 | ||||||
Rockwell Collins, Inc. | 9,400 | 987,752 | ||||||
Singapore Technologies Engineering Ltd. (Singapore) | 21,800 | 58,240 | ||||||
Textron, Inc. | 14,900 | 701,790 | ||||||
Thales SA (France) | 379 | 40,790 | ||||||
TransDigm Group, Inc.(a) | 3,000 | 806,610 | ||||||
United Technologies Corp. | 42,800 | 5,226,308 | ||||||
|
| |||||||
28,082,430 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.3% |
| |||||||
C.H. Robinson Worldwide, Inc.(a) | 8,500 | 583,780 | ||||||
Deutsche Post AG (Germany) | 3,617 | 135,776 | ||||||
Expeditors International of Washington, Inc.(a) | 10,100 | 570,448 | ||||||
FedEx Corp. | 14,150 | 3,075,220 | ||||||
United Parcel Service, Inc. | 39,800 | 4,401,482 | ||||||
|
| |||||||
8,766,706 | ||||||||
|
| |||||||
Airlines — 0.3% |
| |||||||
Alaska Air Group, Inc. | 7,400 | 664,224 | ||||||
American Airlines Group, Inc.(a) | 28,200 | 1,419,024 | ||||||
Delta Air Lines, Inc. | 41,400 | 2,224,836 | ||||||
Deutsche Lufthansa AG (Germany) | 17,892 | 407,751 | ||||||
International Consolidated Airlines Group SA (United Kingdom) | 3,186 | 25,314 | ||||||
Southwest Airlines Co. | 35,700 | 2,218,398 | ||||||
United Continental Holdings, Inc.* | 16,700 | 1,256,675 | ||||||
|
| |||||||
8,216,222 | ||||||||
|
| |||||||
Auto Components — 0.1% |
| |||||||
Aisin Seiki Co. Ltd. (Japan) | 6,300 | 323,862 | ||||||
BorgWarner, Inc. | 11,800 | 499,848 | ||||||
Bridgestone Corp. (Japan) | 2,300 | 99,433 | ||||||
Cie Generale des Etablissements Michelin (France) | 543 | 72,270 | ||||||
Continental AG (Germany) | 162 | 35,046 | ||||||
Delphi Automotive PLC | 15,700 | 1,376,105 | ||||||
GKN PLC (United Kingdom) | 32,966 | 140,026 | ||||||
Goodyear Tire & Rubber Co. (The) | 13,400 | 468,464 | ||||||
Koito Manufacturing Co. Ltd. (Japan) | 400 | 20,684 | ||||||
Sumitomo Electric Industries Ltd. (Japan) | 2,700 | 41,770 | ||||||
Valeo SA (France) | 495 | 33,303 | ||||||
|
| |||||||
3,110,811 | ||||||||
|
| |||||||
Automobiles — 0.3% |
| |||||||
Bayerische Motoren Werke AG (Germany) | 1,186 | 110,307 | ||||||
Daimler AG (Germany) | 3,463 | 251,167 | ||||||
Ferrari NV (Italy) | 218 | 18,759 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Automobiles (continued) |
| |||||||
Fiat Chrysler Automobiles NV (United Kingdom)* | 3,504 | $ | 37,018 | |||||
Ford Motor Co. | 222,585 | 2,490,726 | ||||||
General Motors Co. | 77,700 | 2,714,061 | ||||||
Harley-Davidson, Inc.(a) | 10,100 | 545,602 | ||||||
Honda Motor Co. Ltd. (Japan) | 5,800 | 158,909 | ||||||
Mitsubishi Motors Corp. (Japan) | 28,100 | 185,830 | ||||||
Nissan Motor Co. Ltd. (Japan) | 8,600 | 85,870 | ||||||
Peugeot SA (France) | 974 | 19,411 | ||||||
Suzuki Motor Corp. (Japan) | 8,100 | 385,868 | ||||||
Toyota Motor Corp. (Japan) | 3,900 | 204,998 | ||||||
Volkswagen AG (Germany) | 123 | 19,104 | ||||||
|
| |||||||
7,227,630 | ||||||||
|
| |||||||
Banks — 3.3% |
| |||||||
Aozora Bank Ltd. (Japan) | 2,000 | 7,636 | ||||||
Banco Santander SA (Spain) | 3,911 | 25,969 | ||||||
Bank Leumi Le-Israel BM (Israel) | 5,033 | 24,453 | ||||||
Bank of America Corp. | 574,621 | 13,940,305 | ||||||
BB&T Corp. | 45,900 | 2,084,319 | ||||||
Bendigo & Adelaide Bank Ltd. (Australia) | 24,362 | 207,383 | ||||||
BNP Paribas SA (France) | 3,813 | 274,509 | ||||||
Citigroup, Inc. | 158,885 | 10,626,229 | ||||||
Citizens Financial Group, Inc. | 29,500 | 1,052,560 | ||||||
Comerica, Inc. | 10,200 | 747,048 | ||||||
Commonwealth Bank of Australia (Australia) | 6,277 | 399,318 | ||||||
Credit Agricole SA (France) | 25,515 | 411,006 | ||||||
Danske Bank A/S (Denmark) | 10,319 | 397,004 | ||||||
DBS Group Holdings Ltd. (Singapore) | 3,600 | 54,183 | ||||||
DNB ASA (Norway) | 3,528 | 60,063 | ||||||
Fifth Third Bancorp | 40,921 | 1,062,309 | ||||||
HSBC Holdings PLC | 71,230 | 661,158 | ||||||
Huntington Bancshares, Inc. | 61,236 | 827,911 | ||||||
ING Groep NV (Netherlands) | 32,581 | 562,439 | ||||||
Intesa Sanpaolo SpA, RSP (Italy) | 1,867 | 5,554 | ||||||
JPMorgan Chase & Co. | 204,245 | 18,667,993 | ||||||
KBC Groep NV (Belgium) | 4,931 | 373,864 | ||||||
KeyCorp. | 59,500 | 1,115,030 | ||||||
Lloyds Banking Group PLC | 470,437 | 405,414 | ||||||
M&T Bank Corp. | 9,000 | 1,457,550 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 15,600 | 105,223 | ||||||
Mizuho Financial Group, Inc. (Japan) | 85,500 | 156,762 | ||||||
National Australia Bank Ltd. (Australia) | 5,302 | 120,612 | ||||||
Natixis SA (France) | 52,765 | 354,197 | ||||||
Nordea Bank AB (Sweden) | 6,069 | 77,297 | ||||||
Oversea-Chinese Banking Corp. Ltd. (Singapore) | 11,300 | 88,517 | ||||||
People’s United Financial, Inc. | 16,500 | 291,390 | ||||||
PNC Financial Services Group, Inc. (The) | 27,733 | 3,463,020 |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Banks (continued) |
| |||||||
Regions Financial Corp. | 67,703 | $ | 991,172 | |||||
Resona Holdings, Inc. (Japan) | 7,900 | 43,638 | ||||||
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock) | 8,194 | 99,202 | ||||||
Societe Generale SA (France) | 1,923 | 103,699 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 2,700 | 105,420 | ||||||
SunTrust Banks, Inc. | 28,500 | 1,616,520 | ||||||
Swedbank AB (Sweden) | 15,471 | 377,583 | ||||||
U.S. Bancorp | 90,785 | 4,713,557 | ||||||
United Overseas Bank Ltd. (Singapore) | 4,700 | 78,907 | ||||||
Wells Fargo & Co. | 257,864 | 14,288,244 | ||||||
Westpac Banking Corp. (Australia) | 12,307 | 288,155 | ||||||
Zions Bancorporation | 11,550 | 507,160 | ||||||
|
| |||||||
83,321,482 | ||||||||
|
| |||||||
Beverages — 1.0% |
| |||||||
Anheuser-Busch InBev SA/NV (Belgium) | 255 | 28,164 | ||||||
Asahi Group Holdings Ltd. (Japan) | 600 | 22,596 | ||||||
Brown-Forman Corp. | 10,200 | 495,720 | ||||||
Coca-Cola Co. (The) | 220,401 | 9,884,985 | ||||||
Coca-Cola European Partners PLC (United Kingdom) | 850 | 34,440 | ||||||
Coca-Cola HBC AG (Switzerland)* | 1,368 | 40,232 | ||||||
Constellation Brands, Inc. | 10,100 | 1,956,673 | ||||||
Diageo PLC (United Kingdom) | 10,771 | 318,304 | ||||||
Dr. Pepper Snapple Group, Inc. | 10,700 | 974,877 | ||||||
Kirin Holdings Co. Ltd. (Japan) | 2,900 | 59,156 | ||||||
Molson Coors Brewing Co. | 10,800 | 932,472 | ||||||
Monster Beverage Corp.* | 23,400 | 1,162,512 | ||||||
PepsiCo, Inc. | 81,607 | 9,424,792 | ||||||
Pernod Ricard SA (France) | 753 | 100,832 | ||||||
Treasury Wine Estates Ltd. (Australia) | 2,592 | 26,210 | ||||||
|
| |||||||
25,461,965 | ||||||||
|
| |||||||
Biotechnology — 1.4% |
| |||||||
AbbVie, Inc. | 90,900 | 6,591,159 | ||||||
Alexion Pharmaceuticals, Inc.* | 13,100 | 1,593,877 | ||||||
Amgen, Inc. | 42,437 | 7,308,924 | ||||||
Biogen, Inc.* | 12,360 | 3,354,009 | ||||||
Celgene Corp.* | 44,400 | 5,766,228 | ||||||
CSL Ltd. (Australia) | 1,573 | 166,942 | ||||||
Gilead Sciences, Inc. | 74,600 | 5,280,188 | ||||||
Incyte Corp.* | 10,300 | 1,296,873 | ||||||
Regeneron Pharmaceuticals, Inc.* | 4,440 | 2,180,662 | ||||||
Vertex Pharmaceuticals, Inc.* | 14,500 | 1,868,615 | ||||||
|
| |||||||
35,407,477 | ||||||||
|
| |||||||
Building Products — 0.2% |
| |||||||
Allegion PLC | 5,733 | 465,061 | ||||||
Asahi Glass Co. Ltd. (Japan) | 800 | 33,786 | ||||||
Cie de Saint-Gobain (France) | 865 | 46,195 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Building Products (continued) |
| |||||||
Daikin Industries Ltd. (Japan) | 800 | $ | 82,074 | |||||
Fortune Brands Home & Security, Inc.(a) | 8,800 | 574,112 | ||||||
Johnson Controls International PLC | 53,322 | 2,312,042 | ||||||
Masco Corp. | 18,400 | 703,064 | ||||||
|
| |||||||
4,216,334 | ||||||||
|
| |||||||
Capital Markets — 1.4% |
| |||||||
3i Group PLC (United Kingdom) | 1,967 | 23,127 | ||||||
Affiliated Managers Group, Inc. | 3,500 | 580,510 | ||||||
Ameriprise Financial, Inc. | 9,020 | 1,148,156 | ||||||
Bank of New York Mellon Corp. (The) | 59,158 | 3,018,241 | ||||||
BlackRock, Inc. | 7,100 | 2,999,111 | ||||||
CBOE Holdings, Inc. | 4,900 | 447,860 | ||||||
Charles Schwab Corp. (The) | 69,250 | 2,974,980 | ||||||
CME Group, Inc. | 19,600 | 2,454,704 | ||||||
E*TRADE Financial Corp.* | 14,620 | 555,999 | ||||||
Franklin Resources, Inc. | 20,100 | 900,279 | ||||||
Goldman Sachs Group, Inc. (The) | 21,200 | 4,704,280 | ||||||
Hargreaves Lansdown PLC | 9,833 | 166,742 | ||||||
Intercontinental Exchange, Inc. | 33,755 | 2,225,130 | ||||||
Invesco Ltd. | 22,500 | 791,775 | ||||||
Macquarie Group Ltd. (Australia) | 5,696 | 387,349 | ||||||
Moody’s Corp. | 9,700 | 1,180,296 | ||||||
Morgan Stanley | 81,980 | 3,653,029 | ||||||
Nasdaq, Inc. | 6,900 | 493,281 | ||||||
Nomura Holdings, Inc. (Japan) | 61,000 | 367,857 | ||||||
Northern Trust Corp. | 12,400 | 1,205,404 | ||||||
Partners Group Holding AG (Switzerland) | 557 | 345,847 | ||||||
Raymond James Financial, Inc. | 7,200 | 577,584 | ||||||
S&P Global, Inc. | 15,100 | 2,204,449 | ||||||
Schroders PLC (United Kingdom) | 595 | 24,059 | ||||||
State Street Corp. | 20,900 | 1,875,357 | ||||||
T. Rowe Price Group, Inc.(a) | 14,200 | 1,053,782 | ||||||
|
| |||||||
36,359,188 | ||||||||
|
| |||||||
Chemicals — 1.1% |
| |||||||
Air Products & Chemicals, Inc. | 12,700 | 1,816,862 | ||||||
Albemarle Corp. | 6,800 | 717,672 | ||||||
Asahi Kasei Corp. (Japan) | 4,000 | 43,153 | ||||||
BASF SE (Germany) | 3,747 | 347,756 | ||||||
CF Industries Holdings, Inc. | 13,400 | 374,664 | ||||||
Covestro AG (Germany), 144A | 3,885 | 281,640 | ||||||
Dow Chemical Co. (The) | 63,631 | 4,013,207 | ||||||
E.I. du Pont de Nemours & Co. | 49,320 | 3,980,617 | ||||||
Eastman Chemical Co. | 8,600 | 722,314 | ||||||
Ecolab, Inc. | 14,900 | 1,977,975 | ||||||
EMS-Chemie Holding AG (Switzerland) | 506 | 373,635 | ||||||
FMC Corp. | 7,500 | 547,875 | ||||||
Hitachi Chemical Co. Ltd. (Japan) | 400 | 11,992 | ||||||
International Flavors & Fragrances, Inc. | 4,600 | 621,000 | ||||||
JSR Corp. (Japan) | 400 | 6,924 | ||||||
Kuraray Co. Ltd. (Japan) | 1,300 | 23,672 |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Chemicals (continued) |
| |||||||
LyondellBasell Industries NV | 19,200 | $ | 1,620,288 | |||||
Mitsubishi Chemical Holdings Corp. (Japan) | 41,600 | 346,601 | ||||||
Mitsubishi Gas Chemical Co., Inc. (Japan) | 700 | 14,868 | ||||||
Mitsui Chemicals, Inc. (Japan) | 50,000 | 266,269 | ||||||
Monsanto Co. | 24,994 | 2,958,290 | ||||||
Mosaic Co. (The) | 18,700 | 426,921 | ||||||
PPG Industries, Inc. | 15,000 | 1,649,400 | ||||||
Praxair, Inc. | 16,600 | 2,200,330 | ||||||
Sherwin-Williams Co. (The) | 4,750 | 1,667,060 | ||||||
Shin-Etsu Chemical Co. Ltd. (Japan) | 1,400 | 127,418 | ||||||
Sika AG (Switzerland) | 6 | 38,521 | ||||||
Sumitomo Chemical Co. Ltd. (Japan) | 6,000 | 34,679 | ||||||
Teijin Ltd. (Japan) | 14,900 | 287,527 | ||||||
|
| |||||||
27,499,130 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.2% |
| |||||||
Cintas Corp. | 4,800 | 604,992 | ||||||
ISS A/S (Denmark) | 7,536 | 296,023 | ||||||
Republic Services, Inc. | 13,465 | 858,124 | ||||||
Stericycle, Inc.* | 4,900 | 373,968 | ||||||
Waste Management, Inc. | 23,542 | 1,726,806 | ||||||
|
| |||||||
3,859,913 | ||||||||
|
| |||||||
Communications Equipment — 0.5% |
| |||||||
Cisco Systems, Inc. | 285,600 | 8,939,280 | ||||||
F5 Networks, Inc.*(a) | 3,900 | 495,534 | ||||||
Harris Corp. | 7,300 | 796,284 | ||||||
Juniper Networks, Inc. | 20,500 | 571,540 | ||||||
Motorola Solutions, Inc. | 9,589 | 831,750 | ||||||
|
| |||||||
11,634,388 | ||||||||
|
| |||||||
Construction & Engineering — 0.1% |
| |||||||
ACS Actividades de Construccion y Servicios SA (Spain) | 685 | 26,485 | ||||||
Fluor Corp. | 7,800 | 357,084 | ||||||
Hochtief AG (Germany) | 916 | 168,158 | ||||||
Jacobs Engineering Group, Inc. | 6,700 | 364,413 | ||||||
Kajima Corp. (Japan) | 13,000 | 109,871 | ||||||
Obayashi Corp. (Japan) | 31,200 | 367,602 | ||||||
Quanta Services, Inc.* | 8,400 | 276,528 | ||||||
Skanska AB (Sweden) | 1,229 | 29,184 | ||||||
Taisei Corp. (Japan) | 16,000 | 146,345 | ||||||
Vinci SA (France) | 1,813 | 154,652 | ||||||
|
| |||||||
2,000,322 | ||||||||
|
| |||||||
Construction Materials — 0.1% |
| |||||||
Martin Marietta Materials, Inc. | 3,700 | 823,546 | ||||||
Vulcan Materials Co. | 7,600 | 962,768 | ||||||
|
| |||||||
1,786,314 | ||||||||
|
| |||||||
Consumer Finance — 0.3% |
| |||||||
American Express Co. | 43,200 | 3,639,168 | ||||||
Capital One Financial Corp. | 27,361 | 2,260,566 | ||||||
Discover Financial Services | 22,440 | 1,395,543 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Consumer Finance (continued) |
| |||||||
Navient Corp. | 15,300 | $ | 254,745 | |||||
Synchrony Financial | 43,272 | 1,290,371 | ||||||
|
| |||||||
8,840,393 | ||||||||
|
| |||||||
Containers & Packaging — 0.2% |
| |||||||
Avery Dennison Corp. | 5,400 | 477,198 | ||||||
Ball Corp. | 19,600 | 827,316 | ||||||
International Paper Co. | 22,973 | 1,300,502 | ||||||
Sealed Air Corp. | 10,800 | 483,408 | ||||||
WestRock Co. | 14,544 | 824,063 | ||||||
|
| |||||||
3,912,487 | ||||||||
|
| |||||||
Distributors — 0.1% |
| |||||||
Genuine Parts Co. | 8,400 | 779,184 | ||||||
LKQ Corp.* | 16,500 | 543,675 | ||||||
|
| |||||||
1,322,859 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.0% |
| |||||||
H&R Block, Inc. | 11,600 | 358,556 | ||||||
|
| |||||||
Diversified Financial Services — 0.8% |
| |||||||
Berkshire Hathaway, Inc. | 108,700 | 18,410,519 | ||||||
Investor AB (Sweden) | 1,403 | 67,690 | ||||||
Leucadia National Corp. | 18,600 | 486,576 | ||||||
ORIX Corp. (Japan) | 22,400 | 348,541 | ||||||
|
| |||||||
19,313,326 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.1% |
| |||||||
AT&T, Inc. | 351,638 | 13,267,302 | ||||||
CenturyLink, Inc.(a) | 31,036 | 741,139 | ||||||
Deutsche Telekom AG (Germany) | 593 | 10,689 | ||||||
HKT Trust & HKT Ltd. (Hong Kong) | 4,000 | 5,246 | ||||||
Level 3 Communications, Inc.* | 16,900 | 1,002,170 | ||||||
Nippon Telegraph & Telephone Corp. (Japan) | 9,000 | 424,837 | ||||||
Orange SA (France) | 25,668 | 408,505 | ||||||
Telecom Italia SpA (Italy)* | 345,641 | 319,778 | ||||||
Telecom Italia SpA, RSP (Italy) | 22,010 | 16,288 | ||||||
Telefonica SA (Spain) | 8,048 | 83,310 | ||||||
Verizon Communications, Inc. | 232,476 | 10,382,378 | ||||||
|
| |||||||
26,661,642 | ||||||||
|
| |||||||
Electric Utilities — 1.0% |
| |||||||
Alliant Energy Corp. | 12,400 | 498,108 | ||||||
American Electric Power Co., Inc. | 27,860 | 1,935,434 | ||||||
Chubu Electric Power Co., Inc. (Japan) | 2,400 | 31,917 | ||||||
CK Infrastructure Holdings Ltd. (Hong Kong) | 2,000 | 16,801 | ||||||
CLP Holdings Ltd. (Hong Kong) | 7,000 | 74,020 | ||||||
Duke Energy Corp. | 39,961 | 3,340,340 | ||||||
Edison International | 19,000 | 1,485,610 | ||||||
EDP-Energias de Portugal SA (Portugal) | 30,232 | 98,896 | ||||||
Endesa SA (Spain) | 6,480 | 149,485 | ||||||
Enel SpA (Italy) | 90,399 | 484,856 | ||||||
Entergy Corp. | 10,500 | 806,085 | ||||||
Eversource Energy | 18,500 | 1,123,135 |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Electric Utilities (continued) | ||||||||
Exelon Corp. | 52,513 | $ | 1,894,144 | |||||
FirstEnergy Corp. | 24,206 | 705,847 | ||||||
Iberdrola SA (Spain) | 36,403 | 288,473 | ||||||
Kansai Electric Power Co., Inc. (The) (Japan) | 2,700 | 37,231 | ||||||
Kyushu Electric Power Co., Inc. (Japan) | 1,500 | 18,231 | ||||||
NextEra Energy, Inc. | 26,700 | 3,741,471 | ||||||
PG&E Corp. | 28,700 | 1,904,819 | ||||||
Pinnacle West Capital Corp. | 6,700 | 570,572 | ||||||
PPL Corp. | 37,900 | 1,465,214 | ||||||
Red Electrica Corp. SA (Spain) | 1,526 | 31,925 | ||||||
Southern Co. (The) | 56,500 | 2,705,220 | ||||||
SSE PLC (United Kingdom) | 3,600 | 68,117 | ||||||
Terna Rete Elettrica Nazionale SpA (Italy) | 5,273 | 28,480 | ||||||
Tohoku Electric Power Co., Inc. (Japan) | 1,700 | 23,560 | ||||||
Xcel Energy, Inc. | 28,310 | 1,298,863 | ||||||
|
| |||||||
24,826,854 | ||||||||
|
| |||||||
Electrical Equipment — 0.3% | ||||||||
Acuity Brands, Inc.(a) | 2,600 | 528,528 | ||||||
AMETEK, Inc. | 12,900 | 781,353 | ||||||
Eaton Corp. PLC | 25,537 | 1,987,545 | ||||||
Emerson Electric Co. | 36,700 | 2,188,054 | ||||||
Nidec Corp. (Japan) | 500 | 51,370 | ||||||
Rockwell Automation, Inc. | 7,500 | 1,214,700 | ||||||
Vestas Wind Systems A/S (Denmark) | 4,449 | 410,942 | ||||||
|
| |||||||
7,162,492 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.2% |
| |||||||
Amphenol Corp. (Class A Stock) | 17,900 | 1,321,378 | ||||||
Corning, Inc. | 52,100 | 1,565,605 | ||||||
FLIR Systems, Inc. | 8,100 | 280,746 | ||||||
Hexagon AB (Sweden) (Class B Stock) | 918 | 43,614 | ||||||
Hitachi High-Technologies Corp. (Japan) | 200 | 7,789 | ||||||
Hitachi Ltd. (Japan) | 65,000 | 400,770 | ||||||
Keyence Corp. (Japan) | 200 | 88,045 | ||||||
Kyocera Corp. (Japan) | 6,300 | 366,161 | ||||||
TDK Corp. (Japan) | 1,000 | 66,102 | ||||||
TE Connectivity Ltd. | 20,700 | 1,628,676 | ||||||
|
| |||||||
5,768,886 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.4% | ||||||||
Baker Hughes, a GE Co., LLC | 24,798 | 1,351,739 | ||||||
Halliburton Co. | 49,400 | 2,109,874 | ||||||
Helmerich & Payne, Inc.(a) | 6,700 | 364,078 | ||||||
National Oilwell Varco, Inc.(a) | 21,500 | 708,210 | ||||||
Schlumberger Ltd. | 79,524 | 5,235,860 | ||||||
TechnipFMC PLC (United Kingdom)* | 26,700 | 726,240 | ||||||
Transocean Ltd.*(a) | 20,500 | 168,715 | ||||||
|
| |||||||
10,664,716 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) — 1.4% |
| |||||||
Alexandria Real Estate Equities, Inc. | 4,700 | $ | 566,209 | |||||
American Tower Corp. | 24,400 | 3,228,608 | ||||||
Apartment Investment & Management Co. (Class A Stock) | 8,333 | 358,069 | ||||||
AvalonBay Communities, Inc. | 8,075 | 1,551,773 | ||||||
Boston Properties, Inc. | 9,000 | 1,107,180 | ||||||
Crown Castle International Corp. | 21,000 | 2,103,780 | ||||||
Digital Realty Trust, Inc.(a) | 9,200 | 1,039,140 | ||||||
Equinix, Inc. | 4,554 | 1,954,395 | ||||||
Equity Residential(a) | 21,400 | 1,408,762 | ||||||
Essex Property Trust, Inc. | 3,850 | 990,489 | ||||||
Extra Space Storage, Inc.(a) | 7,300 | 569,400 | ||||||
Federal Realty Investment Trust | 4,100 | 518,199 | ||||||
GGP, Inc.(a) | �� | 31,300 | 737,428 | |||||
Goodman Group (Australia) | 6,830 | 41,279 | ||||||
GPT Group (The) (Australia) | 7,268 | 26,732 | ||||||
Hammerson PLC (United Kingdom) | 2,760 | 20,650 | ||||||
HCP, Inc. | 25,500 | 814,980 | ||||||
Host Hotels & Resorts, Inc.(a) | 40,182 | 734,125 | ||||||
Iron Mountain, Inc. | 14,402 | 494,853 | ||||||
Kimco Realty Corp. | 23,300 | 427,555 | ||||||
Land Securities Group PLC (United Kingdom) | 21,263 | 280,729 | ||||||
Macerich Co. (The)(a) | 7,300 | 423,838 | ||||||
Mid-America Apartment Communities, Inc. | 6,600 | 695,508 | ||||||
Mirvac Group (Australia) | 7,627 | 12,472 | ||||||
Nippon Building Fund, Inc. (Japan) | 5 | 25,512 | ||||||
Prologis, Inc. | 30,477 | 1,787,171 | ||||||
Public Storage | 8,700 | 1,814,211 | ||||||
Realty Income Corp.(a) | 15,200 | 838,736 | ||||||
Regency Centers Corp. | 8,000 | 501,120 | ||||||
Simon Property Group, Inc. | 18,293 | 2,959,076 | ||||||
SL Green Realty Corp. | 5,900 | 624,220 | ||||||
Stockland (Australia) | 69,507 | 233,745 | ||||||
UDR, Inc. | 14,500 | 565,065 | ||||||
Ventas, Inc. | 20,618 | 1,432,539 | ||||||
Vornado Realty Trust | 10,025 | 941,347 | ||||||
Welltower, Inc. | 21,100 | 1,579,335 | ||||||
Weyerhaeuser Co. | 42,118 | 1,410,953 | ||||||
|
| |||||||
34,819,183 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.9% |
| |||||||
Casino Guichard Perrachon SA (France) | 3,784 | 224,105 | ||||||
Costco Wholesale Corp. | 25,100 | 4,014,243 | ||||||
CVS Health Corp. | 58,548 | 4,710,772 | ||||||
ICA Gruppen AB (Sweden)(a) | 8,644 | 322,006 | ||||||
J. Sainsbury PLC (United Kingdom) | 87,624 | 287,414 | ||||||
Koninklijke Ahold Delhaize NV (Netherlands) | 4,699 | 89,691 | ||||||
Kroger Co. (The) | 52,092 | 1,214,785 | ||||||
Sysco Corp. | 28,000 | 1,409,240 | ||||||
Wal-Mart Stores, Inc. | 86,300 | 6,531,184 | ||||||
Walgreens Boots Alliance, Inc. | 48,700 | 3,813,697 | ||||||
Wesfarmers Ltd. (Australia) | 3,288 | 101,385 | ||||||
Whole Foods Market, Inc. | 17,500 | 736,925 |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Food & Staples Retailing (continued) |
| |||||||
WM Morrison Supermarkets PLC (United Kingdom) | 22,843 | $ | 71,747 | |||||
|
| |||||||
23,527,194 | ||||||||
|
| |||||||
Food Products — 0.7% | ||||||||
Archer-Daniels-Midland Co. | 32,026 | 1,325,236 | ||||||
Campbell Soup Co. | 10,800 | 563,220 | ||||||
Conagra Brands, Inc. | 24,100 | 861,816 | ||||||
General Mills, Inc. | 32,900 | 1,822,660 | ||||||
Golden Agri-Resources Ltd. (Singapore) | 382,900 | 104,293 | ||||||
Hershey Co. (The) | 8,200 | 880,434 | ||||||
Hormel Foods Corp.(a) | 15,300 | 521,883 | ||||||
J.M. Smucker Co. (The) | 6,700 | 792,811 | ||||||
Kellogg Co.(a) | 14,700 | 1,021,062 | ||||||
Kraft Heinz Co. (The) | 34,017 | 2,913,216 | ||||||
Marine Harvest ASA (Norway)* | 18,519 | 316,845 | ||||||
McCormick & Co., Inc. | 6,900 | 672,819 | ||||||
Mondelez International, Inc. (Class A Stock) | 87,053 | 3,759,819 | ||||||
Nestle SA (Switzerland) | 6,830 | 595,697 | ||||||
NH Foods Ltd. (Japan) | 5,000 | 152,101 | ||||||
Orkla ASA (Norway) | 1,982 | 20,145 | ||||||
Tate & Lyle PLC (United Kingdom) | 31,639 | 272,678 | ||||||
Tyson Foods, Inc. (Class A Stock) | 16,700 | 1,045,921 | ||||||
WH Group Ltd. (Hong Kong), 144A | 384,500 | 388,257 | ||||||
Wilmar International Ltd. (Singapore) | 55,200 | 134,266 | ||||||
|
| |||||||
18,165,179 | ||||||||
|
| |||||||
Gas Utilities — 0.0% | ||||||||
Gas Natural SDG SA (Spain) | 2,481 | 58,077 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 1.4% |
| |||||||
Abbott Laboratories | 98,500 | 4,788,085 | ||||||
Align Technology, Inc.* | 3,800 | 570,456 | ||||||
Baxter International, Inc. | 27,600 | 1,670,904 | ||||||
Becton, Dickinson & Co. | 12,978 | 2,532,137 | ||||||
Boston Scientific Corp.* | 77,267 | 2,141,841 | ||||||
C.R. Bard, Inc. | 4,200 | 1,327,662 | ||||||
Cochlear Ltd. (Australia) | 196 | 23,410 | ||||||
Cooper Cos., Inc. (The) | 2,940 | 703,895 | ||||||
Danaher Corp. | 34,800 | 2,936,772 | ||||||
DENTSPLY SIRONA, Inc. | 13,400 | 868,856 | ||||||
Edwards Lifesciences Corp.* | 12,400 | 1,466,176 | ||||||
Hologic, Inc.* | 16,300 | 739,694 | ||||||
Hoya Corp. (Japan) | 1,400 | 72,886 | ||||||
IDEXX Laboratories, Inc.* | 5,300 | 855,526 | ||||||
Intuitive Surgical, Inc.* | 2,100 | 1,964,277 | ||||||
Medtronic PLC | 78,690 | 6,983,737 | ||||||
Smith & Nephew PLC (United Kingdom) | 10,993 | 189,834 | ||||||
Stryker Corp.(a) | 17,700 | 2,456,406 | ||||||
Varian Medical Systems, Inc.* | 5,700 | 588,183 | ||||||
Zimmer Biomet Holdings, Inc. | 11,700 | 1,502,280 | ||||||
|
| |||||||
34,383,017 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.4% |
| |||||||
Aetna, Inc. | 19,569 | 2,971,161 | ||||||
Alfresa Holdings Corp. (Japan) | 2,300 | 44,466 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Health Care Providers & Services (continued) |
| |||||||
AmerisourceBergen Corp.(a) | 9,600 | $ | 907,488 | |||||
Anthem, Inc. | 15,100 | 2,840,763 | ||||||
Cardinal Health, Inc. | 18,350 | 1,429,832 | ||||||
Centene Corp.* | 10,200 | 814,776 | ||||||
Cigna Corp. | 14,700 | 2,460,633 | ||||||
DaVita, Inc.* | 9,000 | 582,840 | ||||||
Envision Healthcare Corp.*(a) | 7,000 | 438,690 | ||||||
Express Scripts Holding Co.* | 34,449 | 2,199,224 | ||||||
Fresenius Medical Care AG & Co. KGaA (Germany) | 536 | 51,722 | ||||||
Fresenius SE & Co. KGaA (Germany) | 2,957 | 253,868 | ||||||
HCA Healthcare, Inc.* | 16,800 | 1,464,960 | ||||||
Henry Schein, Inc.*(a) | 4,700 | 860,194 | ||||||
Humana, Inc. | 8,600 | 2,069,332 | ||||||
Laboratory Corp. of America Holdings* | 5,900 | 909,426 | ||||||
McKesson Corp. | 12,130 | 1,995,870 | ||||||
Medipal Holdings Corp. (Japan) | 6,300 | 116,815 | ||||||
Patterson Cos., Inc.(a) | 4,500 | 211,275 | ||||||
Quest Diagnostics, Inc. | 8,000 | 889,280 | ||||||
Ramsay Health Care Ltd. (Australia) | 540 | 30,554 | ||||||
Sonic Healthcare Ltd. (Australia) | 6,302 | 117,336 | ||||||
UnitedHealth Group, Inc. | 55,200 | 10,235,184 | ||||||
Universal Health Services, Inc. (Class B Stock) | 5,200 | 634,816 | ||||||
|
| |||||||
34,530,505 | ||||||||
|
| |||||||
Health Care Technology — 0.0% |
| |||||||
Cerner Corp.* | 17,100 | 1,136,637 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.9% |
| |||||||
Aristocrat Leisure Ltd. (Australia) | 24,521 | 425,118 | ||||||
Carnival Corp. | 23,900 | 1,567,123 | ||||||
Carnival PLC | 679 | 44,898 | ||||||
Chipotle Mexican Grill, Inc.*(a) | 1,750 | 728,175 | ||||||
Darden Restaurants, Inc. | 6,950 | 628,558 | ||||||
Galaxy Entertainment Group Ltd. (Hong Kong) | 25,000 | 151,733 | ||||||
Hilton Worldwide Holdings, Inc.(a) | 11,100 | 686,535 | ||||||
InterContinental Hotels Group PLC (United Kingdom) | 671 | 37,263 | ||||||
Marriott International, Inc. (Class A Stock) | 18,368 | 1,842,494 | ||||||
McDonald’s Corp. | 46,900 | 7,183,204 | ||||||
Royal Caribbean Cruises Ltd. | 9,600 | 1,048,608 | ||||||
Sodexo SA (France) | 328 | 42,392 | ||||||
Starbucks Corp. | 83,100 | 4,845,561 | ||||||
TUI AG (Germany) | 1,957 | 28,529 | ||||||
Wyndham Worldwide Corp. | 6,020 | 604,468 | ||||||
Wynn Resorts Ltd. | 4,800 | 643,776 | ||||||
Yum! Brands, Inc. | 19,600 | 1,445,696 | ||||||
|
| |||||||
21,954,131 | ||||||||
|
| |||||||
Household Durables — 0.3% |
| |||||||
Barratt Developments PLC (United Kingdom) | 3,601 | 26,447 | ||||||
D.R. Horton, Inc. | 18,700 | 646,459 |
SEE NOTES TO FINANCIAL STATEMENTS.
A5
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Household Durables (continued) |
| |||||||
Garmin Ltd.(a) | 7,000 | $ | 357,210 | |||||
Leggett & Platt, Inc. | 7,400 | 388,722 | ||||||
Lennar Corp. (Class A Stock) | 11,700 | 623,844 | ||||||
Mohawk Industries, Inc.* | 3,640 | 879,752 | ||||||
Newell Brands, Inc. | 27,014 | 1,448,491 | ||||||
Panasonic Corp. (Japan) | 7,800 | 106,277 | ||||||
Persimmon PLC (United Kingdom) | 11,972 | 349,662 | ||||||
PulteGroup, Inc. | 14,622 | 358,678 | ||||||
Sekisui House Ltd. (Japan) | 2,300 | 40,649 | ||||||
Sony Corp. (Japan) | 5,700 | 217,419 | ||||||
Taylor Wimpey PLC (United Kingdom) | 135,285 | 310,676 | ||||||
Whirlpool Corp. | 4,326 | 828,948 | ||||||
|
| |||||||
6,583,234 | ||||||||
|
| |||||||
Household Products — 0.8% |
| |||||||
Church & Dwight Co., Inc. | 14,600 | 757,448 | ||||||
Clorox Co. (The) | 7,500 | 999,300 | ||||||
Colgate-Palmolive Co. | 50,400 | 3,736,152 | ||||||
Henkel AG & Co. KGaA (Germany) | 372 | 45,062 | ||||||
Kimberly-Clark Corp. | 20,300 | 2,620,933 | ||||||
Procter & Gamble Co. (The) | 145,825 | 12,708,649 | ||||||
|
| |||||||
20,867,544 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.0% |
| |||||||
AES Corp. | 36,500 | 405,515 | ||||||
NRG Energy, Inc. | 17,500 | 301,350 | ||||||
|
| |||||||
706,865 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.1% | ||||||||
3M Co. | 34,100 | 7,099,279 | ||||||
CK Hutchison Holdings Ltd. (Hong Kong) | 32,416 | 406,806 | ||||||
General Electric Co. | 497,530 | 13,438,285 | ||||||
Honeywell International, Inc. | 43,612 | 5,813,044 | ||||||
Jardine Matheson Holdings Ltd. (Hong Kong) | 900 | 57,780 | ||||||
Jardine Strategic Holdings Ltd. (Hong Kong) | 800 | 33,352 | ||||||
Roper Technologies, Inc. | 6,000 | 1,389,180 | ||||||
Siemens AG (Germany) | 4,833 | 664,800 | ||||||
|
| |||||||
28,902,526 | ||||||||
|
| |||||||
Insurance — 1.3% | ||||||||
Aflac, Inc. | 23,400 | 1,817,712 | ||||||
AIA Group Ltd. (Hong Kong) | 16,600 | 121,452 | ||||||
Allianz SE (Germany) | 1,629 | 321,471 | ||||||
Allstate Corp. (The) | 21,300 | 1,883,772 | ||||||
American International Group, Inc. | 51,739 | 3,234,722 | ||||||
Aon PLC | 15,300 | 2,034,135 | ||||||
Arthur J. Gallagher & Co. | 9,800 | 561,050 | ||||||
Assurant, Inc. | 3,600 | 373,284 | ||||||
Aviva PLC (United Kingdom) | 14,421 | 98,920 | ||||||
AXA SA (France) | 6,965 | 190,725 | ||||||
Baloise Holding AG (Switzerland) | 181 | 28,037 | ||||||
Chubb Ltd. | 26,586 | 3,865,073 | ||||||
Cincinnati Financial Corp. | 8,437 | 611,261 | ||||||
Direct Line Insurance Group PLC (United Kingdom) | 4,875 | 22,574 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Insurance (continued) | ||||||||
Everest Re Group Ltd. | 2,000 | $ | 509,180 | |||||
Gjensidige Forsikring ASA (Norway) | 14,142 | 241,403 | ||||||
Hannover Rueck SE (Germany) | 213 | 25,584 | ||||||
Hartford Financial Services Group, Inc. (The) | 21,800 | 1,146,026 | ||||||
Legal & General Group PLC (United Kingdom) | 92,653 | 311,779 | ||||||
Lincoln National Corp. | 13,118 | 886,514 | ||||||
Loews Corp. | 15,975 | 747,790 | ||||||
Marsh & McLennan Cos., Inc. | 29,300 | 2,284,228 | ||||||
MetLife, Inc. | 62,000 | 3,406,280 | ||||||
MS&AD Insurance Group Holdings, Inc. (Japan) | 9,700 | 327,168 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) | 572 | 115,746 | ||||||
NN Group NV (Netherlands) | 1,140 | 40,451 | ||||||
Principal Financial Group, Inc. | 15,300 | 980,271 | ||||||
Progressive Corp. (The) | 32,400 | 1,428,516 | ||||||
Prudential PLC (United Kingdom) | 9,381 | 215,330 | ||||||
QBE Insurance Group Ltd. (Australia) | 9,392 | 85,246 | ||||||
Sampo OYJ (Finland) (Class A Stock) | 5,026 | 257,863 | ||||||
SCOR SE (France) | 620 | 24,631 | ||||||
Swiss Life Holding AG (Switzerland)* | 982 | 332,183 | ||||||
Swiss Re AG (Switzerland) | 1,143 | 104,748 | ||||||
Torchmark Corp. | 6,225 | 476,212 | ||||||
Travelers Cos., Inc. (The) | 16,335 | 2,066,868 | ||||||
Unum Group | 13,110 | 611,319 | ||||||
Willis Towers Watson PLC | 7,400 | 1,076,404 | ||||||
XL Group Ltd. (Bermuda) | 15,400 | 674,520 | ||||||
|
| |||||||
33,540,448 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 1.3% |
| |||||||
Amazon.com, Inc.* | 22,730 | 22,002,640 | ||||||
Expedia, Inc. | 7,050 | 1,050,098 | ||||||
Netflix, Inc.* | 24,550 | 3,668,015 | ||||||
Priceline Group, Inc. (The)* | 2,880 | 5,387,098 | ||||||
TripAdvisor, Inc.*(a) | 6,150 | 234,930 | ||||||
|
| |||||||
32,342,781 | ||||||||
|
| |||||||
Internet Software & Services — 2.2% |
| |||||||
Akamai Technologies, Inc.* | 10,400 | 518,024 | ||||||
Alphabet, Inc. (Class A Stock)* | 17,090 | 15,888,231 | ||||||
Alphabet, Inc. (Class C Stock)* | 17,043 | 15,487,486 | ||||||
eBay, Inc.* | 57,400 | 2,004,408 | ||||||
Facebook, Inc. (Class A Stock)* | 135,050 | 20,389,849 | ||||||
VeriSign, Inc.*(a) | 5,100 | 474,096 | ||||||
|
| |||||||
54,762,094 | ||||||||
|
| |||||||
IT Services — 1.8% |
| |||||||
Accenture PLC (Class A Stock) | 35,900 | 4,440,112 | ||||||
Alliance Data Systems Corp. | 3,240 | 831,676 | ||||||
Amadeus IT Group SA (Spain) | 5,517 | 329,783 | ||||||
Atos SE (France) | 2,440 | 342,359 | ||||||
Automatic Data Processing, Inc. | 25,600 | 2,622,976 |
SEE NOTES TO FINANCIAL STATEMENTS.
A6
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
IT Services (continued) |
| |||||||
Cognizant Technology Solutions Corp. (Class A Stock) | 34,600 | $ | 2,297,440 | |||||
CSRA, Inc. | 8,200 | 260,350 | ||||||
DXC Technology Co. | 16,228 | 1,245,012 | ||||||
Fidelity National Information Services, Inc. | 19,200 | 1,639,680 | ||||||
Fiserv, Inc.* | 12,500 | 1,529,250 | ||||||
Fujitsu Ltd. (Japan) | 26,000 | 192,303 | ||||||
Gartner, Inc.* | 4,800 | 592,848 | ||||||
Global Payments, Inc. | 8,900 | 803,848 | ||||||
International Business Machines Corp. | 49,000 | 7,537,670 | ||||||
Mastercard, Inc. (Class A Stock) | 53,800 | 6,534,010 | ||||||
Paychex, Inc. | 18,500 | 1,053,390 | ||||||
PayPal Holdings, Inc.* | 64,000 | 3,434,880 | ||||||
Total System Services, Inc. | 9,096 | 529,842 | ||||||
Visa, Inc. (Class A Stock)(a) | 106,000 | 9,940,680 | ||||||
Western Union Co. (The)(a) | 25,210 | 480,250 | ||||||
|
| |||||||
46,638,359 | ||||||||
|
| |||||||
Leisure Products — 0.0% |
| |||||||
Bandai Namco Holdings, Inc. (Japan) | 400 | 13,667 | ||||||
Hasbro, Inc. | 6,300 | 702,513 | ||||||
Mattel, Inc.(a) | 19,351 | 416,627 | ||||||
|
| |||||||
1,132,807 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.3% |
| |||||||
Agilent Technologies, Inc. | 18,714 | 1,109,927 | ||||||
Illumina, Inc.* | 8,600 | 1,492,272 | ||||||
Lonza Group AG (Switzerland)* | 204 | 44,190 | ||||||
Mettler-Toledo International, Inc.* | 1,550 | 912,237 | ||||||
PerkinElmer, Inc. | 6,600 | 449,724 | ||||||
QIAGEN NV* | 390 | 12,977 | ||||||
Thermo Fisher Scientific, Inc. | 22,300 | 3,890,681 | ||||||
Waters Corp.* | 4,700 | 864,048 | ||||||
|
| |||||||
8,776,056 | ||||||||
|
| |||||||
Machinery — 0.8% |
| |||||||
Amada Holdings Co. Ltd. (Japan) | 600 | 6,960 | ||||||
Atlas Copco AB (Sweden) (Class A Stock) | 6,761 | 259,973 | ||||||
Atlas Copco AB (Sweden) (Class B Stock) | 1,000 | 34,565 | ||||||
Caterpillar, Inc. | 33,500 | 3,599,910 | ||||||
Cummins, Inc. | 9,000 | 1,459,980 | ||||||
Deere & Co. | 17,100 | 2,113,389 | ||||||
Dover Corp. | 9,300 | 746,046 | ||||||
Flowserve Corp.(a) | 7,200 | 334,296 | ||||||
Fortive Corp. | 17,550 | 1,111,792 | ||||||
Illinois Tool Works, Inc. | 17,800 | 2,549,850 | ||||||
IMI PLC (United Kingdom) | 6,448 | 100,429 | ||||||
Ingersoll-Rand PLC | 15,000 | 1,370,850 | ||||||
JTEKT Corp. (Japan) | 6,900 | 101,536 | ||||||
PACCAR, Inc. | 20,443 | 1,350,056 | ||||||
Parker-Hannifin Corp. | 7,765 | 1,241,002 | ||||||
Pentair PLC (United Kingdom) | 9,577 | 637,254 | ||||||
Sandvik AB (Sweden) | 6,826 | 107,470 | ||||||
Schindler Holding AG (Switzerland) | 71 | 14,758 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Machinery (continued) |
| |||||||
SKF AB (Sweden) (Class B Stock) | 1,454 | $ | 29,525 | |||||
Snap-on, Inc. | 3,600 | 568,800 | ||||||
Stanley Black & Decker, Inc. | 8,897 | 1,252,075 | ||||||
Volvo AB (Sweden) (Class B Stock) | 25,755 | 439,217 | ||||||
Wartsila OYJ Abp (Finland) | 525 | 31,047 | ||||||
Xylem, Inc. | 10,500 | 582,015 | ||||||
|
| |||||||
20,042,795 | ||||||||
|
| |||||||
Marine — 0.0% |
| |||||||
A.P. Moeller-Maersk A/S (Denmark) (Class A Stock) | 6 | 11,449 | ||||||
|
| |||||||
Media — 1.4% |
| |||||||
CBS Corp. (Class B Stock) | 21,634 | 1,379,817 | ||||||
Charter Communications, Inc. (Class A Stock)* | 12,280 | 4,136,518 | ||||||
Comcast Corp. (Class A Stock) | 270,380 | 10,523,190 | ||||||
Dentsu, Inc. (Japan) | 800 | 38,378 | ||||||
Discovery Communications, Inc. (Class A Stock)*(a) | 8,500 | 219,555 | ||||||
Discovery Communications, Inc. (Class C Stock)*(a) | 12,300 | 310,083 | ||||||
DISH Network Corp. (Class A Stock)* | 12,600 | 790,776 | ||||||
Eutelsat Communications SA (France) | 4,820 | 122,982 | ||||||
Interpublic Group of Cos., Inc. (The) | 21,031 | 517,363 | ||||||
News Corp. (Class A Stock) | 21,475 | 294,207 | ||||||
News Corp. (Class B Stock) | 4,800 | 67,920 | ||||||
Omnicom Group, Inc.(a) | 13,700 | 1,135,730 | ||||||
Publicis Groupe SA (France) | 696 | 51,875 | ||||||
RTL Group SA (Luxembourg) | 287 | 21,683 | ||||||
Scripps Networks Interactive, Inc. (Class A Stock)(a) | 5,400 | 368,874 | ||||||
Time Warner, Inc. | 44,166 | 4,434,708 | ||||||
Twenty-First Century Fox, Inc. (Class A Stock) | 59,600 | 1,689,064 | ||||||
Twenty-First Century Fox, Inc. (Class B Stock) | 27,800 | 774,786 | ||||||
Viacom, Inc. (Class B Stock) | 20,134 | 675,898 | ||||||
Walt Disney Co. (The) | 83,000 | 8,818,750 | ||||||
|
| |||||||
36,372,157 | ||||||||
|
| |||||||
Metals & Mining — 0.1% |
| |||||||
Anglo American PLC (United Kingdom)* | 2,378 | 31,770 | ||||||
ArcelorMittal (Luxembourg)* | 6,919 | 156,945 | ||||||
Fortescue Metals Group Ltd. (Australia) | 46,449 | 185,939 | ||||||
Freeport-McMoRan, Inc.* | 74,688 | 897,003 | ||||||
Mitsubishi Materials Corp. (Japan) | 200 | 6,069 | ||||||
Newmont Mining Corp. | 29,400 | 952,266 | ||||||
Nippon Steel & Sumitomo Metal Corp. (Japan) | 2,900 | 65,716 | ||||||
Norsk Hydro ASA (Norway) | 28,375 | 157,028 | ||||||
Nucor Corp. | 18,600 | 1,076,382 | ||||||
Rio Tinto Ltd. (United Kingdom) | 1,549 | 75,279 | ||||||
Rio Tinto PLC (United Kingdom) | 2,906 | 123,075 | ||||||
South32 Ltd. (Australia) | 18,712 | 38,537 |
SEE NOTES TO FINANCIAL STATEMENTS.
A7
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Metals & Mining (continued) |
| |||||||
voestalpine AG (Austria) | 423 | $ | 19,716 | |||||
|
| |||||||
3,785,725 | ||||||||
|
| |||||||
Multi-Utilities — 0.5% |
| |||||||
AGL Energy Ltd. (Australia) | 2,131 | 41,760 | ||||||
Ameren Corp. | 14,100 | 770,847 | ||||||
CenterPoint Energy, Inc. | 23,600 | 646,168 | ||||||
CMS Energy Corp. | 16,000 | 740,000 | ||||||
Consolidated Edison, Inc. | 17,800 | 1,438,596 | ||||||
Dominion Energy, Inc. | 35,832 | 2,745,806 | ||||||
DTE Energy Co. | 10,500 | 1,110,795 | ||||||
National Grid PLC (United Kingdom) | 8,177 | 101,318 | ||||||
NiSource, Inc. | 16,400 | 415,904 | ||||||
Public Service Enterprise Group, Inc. | 29,200 | 1,255,892 | ||||||
SCANA Corp. | 8,300 | 556,183 | ||||||
Sempra Energy | 14,619 | 1,648,292 | ||||||
WEC Energy Group, Inc.(a) | 18,013 | 1,105,638 | ||||||
|
| |||||||
12,577,199 | ||||||||
|
| |||||||
Multiline Retail — 0.2% |
| |||||||
Dollar General Corp. | 14,800 | 1,066,932 | ||||||
Dollar Tree, Inc.* | 13,765 | 962,449 | ||||||
Kohl’s Corp.(a) | 11,100 | 429,237 | ||||||
Macy’s, Inc.(a) | 16,174 | 375,884 | ||||||
Nordstrom, Inc.(a) | 6,100 | 291,763 | ||||||
Target Corp. | 31,400 | 1,641,906 | ||||||
|
| |||||||
4,768,171 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.5% |
| |||||||
Anadarko Petroleum Corp. | 31,754 | 1,439,726 | ||||||
Apache Corp.(a) | 21,814 | 1,045,545 | ||||||
BP PLC (United Kingdom) | 88,923 | 513,281 | ||||||
Cabot Oil & Gas Corp. | 25,600 | 642,048 | ||||||
Chesapeake Energy Corp.*(a) | 40,100 | 199,297 | ||||||
Chevron Corp. | 108,522 | 11,322,100 | ||||||
Cimarex Energy Co. | 5,800 | 545,258 | ||||||
Concho Resources, Inc.* | 8,600 | 1,045,158 | ||||||
ConocoPhillips | 70,477 | 3,098,169 | ||||||
Devon Energy Corp. | 29,300 | 936,721 | ||||||
EOG Resources, Inc. | 32,900 | 2,978,108 | ||||||
EQT Corp.(a) | 10,300 | 603,477 | ||||||
Exxon Mobil Corp. | 241,899 | 19,528,506 | ||||||
Galp Energia SGPS SA (Portugal) | 1,779 | 26,959 | ||||||
Hess Corp.(a) | 15,100 | 662,437 | ||||||
JXTG Holdings, Inc. (Japan) | 11,200 | 49,006 | ||||||
Kinder Morgan, Inc. | 109,398 | 2,096,066 | ||||||
Marathon Oil Corp. | 45,682 | 541,332 | ||||||
Marathon Petroleum Corp. | 29,782 | 1,558,492 | ||||||
Murphy Oil Corp.(a) | 9,200 | 235,796 | ||||||
Newfield Exploration Co.* | 11,700 | 332,982 | ||||||
Noble Energy, Inc. | 24,700 | 699,010 | ||||||
Occidental Petroleum Corp. | 43,600 | 2,610,332 | ||||||
OMV AG (Austria) | 6,056 | 314,565 | ||||||
ONEOK, Inc.(a) | 12,900 | 672,864 | ||||||
Phillips 66 | 25,038 | 2,070,392 | ||||||
Pioneer Natural Resources Co. | 9,650 | 1,539,947 | ||||||
Range Resources Corp. | 10,300 | 238,651 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
Repsol SA (Spain) | 22,046 | $ | 337,990 | |||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | 15,815 | 420,186 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | 13,687 | 367,449 | ||||||
Tesoro Corp. | 8,500 | 795,600 | ||||||
TOTAL SA (France) | 8,459 | 419,965 | ||||||
Valero Energy Corp. | 25,500 | 1,720,230 | ||||||
Williams Cos., Inc. (The) | 47,400 | 1,435,272 | ||||||
|
| |||||||
63,042,917 | ||||||||
|
| |||||||
Paper & Forest Products — 0.0% |
| |||||||
Mondi PLC (South Africa) | 8,423 | 220,867 | ||||||
UPM-Kymmene OYJ (Finland) | 12,072 | 344,230 | ||||||
|
| |||||||
565,097 | ||||||||
|
| |||||||
Personal Products — 0.1% |
| |||||||
Coty, Inc. (Class A Stock)(a) | 26,800 | 502,768 | ||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 13,000 | 1,247,740 | ||||||
Kao Corp. (Japan) | 1,800 | 107,025 | ||||||
L’Oreal SA (France) | 340 | 70,895 | ||||||
Unilever NV (United Kingdom), CVA | 5,747 | 317,246 | ||||||
Unilever PLC (United Kingdom) | 11,072 | 599,196 | ||||||
|
| |||||||
2,844,870 | ||||||||
|
| |||||||
Pharmaceuticals — 2.6% |
| |||||||
Allergan PLC | 19,275 | 4,685,560 | ||||||
Astellas Pharma, Inc. (Japan) | 7,500 | 91,925 | ||||||
AstraZeneca PLC (United Kingdom) | 3,927 | 263,046 | ||||||
Bayer AG (Germany) | 5,357 | 694,323 | ||||||
Bristol-Myers Squibb Co. | 95,370 | 5,314,016 | ||||||
Daiichi Sankyo Co. Ltd. (Japan) | 2,100 | 49,566 | ||||||
Eli Lilly & Co. | 55,400 | 4,559,420 | ||||||
GlaxoSmithKline PLC (United Kingdom) | 17,546 | 373,508 | ||||||
Johnson & Johnson | 155,148 | 20,524,529 | ||||||
Mallinckrodt PLC* | 6,500 | 291,265 | ||||||
Merck & Co., Inc. | 157,433 | 10,089,881 | ||||||
Merck KGaA (Germany) | 454 | 54,934 | ||||||
Mitsubishi Tanabe Pharma Corp. (Japan) | 5,200 | 120,287 | ||||||
Mylan NV* | 26,900 | 1,044,258 | ||||||
Novartis AG (Switzerland) | 6,777 | 566,060 | ||||||
Novo Nordisk A/S (Denmark) (Class B Stock) | 4,119 | 176,982 | ||||||
Orion OYJ (Finland) (Class B Stock) | 5,797 | 370,318 | ||||||
Perrigo Co. PLC(a) | 8,600 | 649,472 | ||||||
Pfizer, Inc. | 339,470 | 11,402,797 | ||||||
Roche Holding AG (Switzerland) | 3,425 | 875,139 | ||||||
Sanofi (France) | 7,238 | 693,546 | ||||||
Shionogi & Co. Ltd. (Japan) | 1,100 | 61,334 | ||||||
Zoetis, Inc. | 28,500 | 1,777,830 | ||||||
|
| |||||||
64,729,996 | ||||||||
|
| |||||||
Professional Services — 0.2% |
| |||||||
Adecco Group AG (Switzerland) | 4,402 | 335,354 | ||||||
Equifax, Inc. | 7,000 | 961,940 |
SEE NOTES TO FINANCIAL STATEMENTS.
A8
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Professional Services (continued) |
| |||||||
IHS Markit Ltd.* | 16,100 | $ | 709,044 | |||||
Nielsen Holdings PLC(a) | 18,700 | 722,942 | ||||||
Randstad Holding NV (Netherlands) | 4,962 | 289,291 | ||||||
RELX PLC (United Kingdom) | 5,807 | 125,530 | ||||||
Robert Half International, Inc. | 7,500 | 359,475 | ||||||
Verisk Analytics, Inc.* | 8,700 | 734,019 | ||||||
|
| |||||||
4,237,595 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 18,200 | 662,480 | ||||||
Cheung Kong Property Holdings Ltd. (Hong Kong) | 10,000 | 78,253 | ||||||
Daiwa House Industry Co. Ltd. (Japan) | 2,000 | 68,451 | ||||||
Henderson Land Development Co. Ltd. (Hong Kong) | 4,400 | 24,534 | ||||||
Kerry Properties Ltd. (Hong Kong) | 29,000 | 98,466 | ||||||
Mitsubishi Estate Co. Ltd. (Japan) | 17,000 | 317,778 | ||||||
Sun Hung Kai Properties Ltd. (Hong Kong) | 17,000 | 249,733 | ||||||
Swiss Prime Site AG (Switzerland)* | 254 | 23,094 | ||||||
Wharf Holdings Ltd. (The) (Hong Kong) | 5,000 | 41,373 | ||||||
Wheelock & Co. Ltd. (Hong Kong) | 46,000 | 346,960 | ||||||
|
| |||||||
1,911,122 | ||||||||
|
| |||||||
Road & Rail — 0.5% |
| |||||||
CSX Corp. | 52,800 | 2,880,768 | ||||||
JB Hunt Transport Services, Inc. | 4,800 | 438,624 | ||||||
Kansas City Southern | 6,200 | 648,830 | ||||||
Nippon Express Co. Ltd. (Japan) | 33,000 | 207,081 | ||||||
Norfolk Southern Corp. | 17,000 | 2,068,900 | ||||||
Tokyu Corp. (Japan) | 4,000 | 30,566 | ||||||
Union Pacific Corp. | 46,900 | 5,107,879 | ||||||
West Japan Railway Co. (Japan) | 600 | 42,453 | ||||||
|
| |||||||
11,425,101 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.6% |
| |||||||
Advanced Micro Devices, Inc.*(a) | 40,300 | 502,944 | ||||||
Analog Devices, Inc. | 21,058 | 1,638,312 | ||||||
Applied Materials, Inc. | 62,500 | 2,581,875 | ||||||
ASM Pacific Technology Ltd. (Hong Kong) | 9,200 | 124,133 | ||||||
Broadcom Ltd. | 22,980 | 5,355,489 | ||||||
Intel Corp. | 269,600 | 9,096,304 | ||||||
KLA-Tencor Corp. | 9,200 | 841,892 | ||||||
Lam Research Corp. | 9,550 | 1,350,657 | ||||||
Microchip Technology, Inc.(a) | 12,400 | 957,032 | ||||||
Micron Technology, Inc.* | 58,200 | 1,737,852 | ||||||
NVIDIA Corp. | 33,650 | 4,864,444 | ||||||
Qorvo, Inc.* | 7,707 | 488,007 | ||||||
QUALCOMM, Inc. | 84,200 | 4,649,524 | ||||||
Rohm Co. Ltd. (Japan) | 300 | 23,130 | ||||||
Skyworks Solutions, Inc. | 10,800 | 1,036,260 | ||||||
STMicroelectronics NV (Switzerland) | 3,545 | 50,976 | ||||||
Texas Instruments, Inc. | 57,000 | 4,385,010 | ||||||
Tokyo Electron Ltd. (Japan) | 600 | 81,116 | ||||||
Xilinx, Inc. | 14,400 | 926,208 | ||||||
|
| |||||||
40,691,165 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Software — 2.3% |
| |||||||
Activision Blizzard, Inc. | 39,200 | $ | 2,256,744 | |||||
Adobe Systems, Inc.* | 28,300 | 4,002,752 | ||||||
ANSYS, Inc.* | 4,300 | 523,224 | ||||||
Autodesk, Inc.* | 11,400 | 1,149,348 | ||||||
CA, Inc. | 17,264 | 595,090 | ||||||
Check Point Software Technologies Ltd. (Israel)* | 1,700 | 185,436 | ||||||
Citrix Systems, Inc.* | 9,100 | 724,178 | ||||||
Electronic Arts, Inc.* | 18,000 | 1,902,960 | ||||||
Intuit, Inc. | 14,200 | 1,885,902 | ||||||
Konami Holdings Corp. (Japan) | 200 | 11,133 | ||||||
Microsoft Corp. | 441,700 | 30,446,381 | ||||||
Nexon Co. Ltd. (Japan)* | 2,400 | 47,606 | ||||||
Oracle Corp. | 171,300 | 8,588,982 | ||||||
Red Hat, Inc.* | 10,400 | 995,800 | ||||||
salesforce.com, inc.* | 37,400 | 3,238,840 | ||||||
SAP SE (Germany) | 276 | 28,889 | ||||||
Symantec Corp. | 34,278 | 968,354 | ||||||
Synopsys, Inc.* | 8,700 | 634,491 | ||||||
|
| |||||||
58,186,110 | ||||||||
|
| |||||||
Specialty Retail — 1.1% |
| |||||||
Advance Auto Parts, Inc. | 4,300 | 501,337 | ||||||
AutoNation, Inc.*(a) | 3,574 | 150,680 | ||||||
AutoZone, Inc.*(a) | 1,650 | 941,259 | ||||||
Bed Bath & Beyond, Inc.(a) | 8,500 | 258,400 | ||||||
Best Buy Co., Inc.(a) | 15,825 | 907,247 | ||||||
CarMax, Inc.*(a) | 10,500 | 662,130 | ||||||
Dixons Carphone PLC (United Kingdom) | 46,253 | 170,983 | ||||||
Foot Locker, Inc. | 7,500 | 369,600 | ||||||
Gap, Inc. (The)(a) | 12,200 | 268,278 | ||||||
Home Depot, Inc. (The) | 69,450 | 10,653,630 | ||||||
Industria de Diseno Textil SA (Spain) | 2,233 | 85,759 | ||||||
L Brands, Inc. | 13,806 | 744,005 | ||||||
Lowe’s Cos., Inc. | 49,400 | 3,829,982 | ||||||
Nitori Holdings Co. Ltd. (Japan) | 300 | 40,159 | ||||||
O’Reilly Automotive, Inc.* | 5,400 | 1,181,196 | ||||||
Ross Stores, Inc. | 22,200 | 1,281,606 | ||||||
Signet Jewelers Ltd.(a) | 4,300 | 271,932 | ||||||
Staples, Inc. | 37,049 | 373,083 | ||||||
Tiffany & Co. | 6,100 | 572,607 | ||||||
TJX Cos., Inc. (The) | 37,200 | 2,684,724 | ||||||
Tractor Supply Co. | 7,300 | 395,733 | ||||||
Ulta Beauty, Inc.* | 3,400 | 976,956 | ||||||
|
| |||||||
27,321,286 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.0% |
| |||||||
Apple, Inc. | 299,690 | 43,161,354 | ||||||
Brother Industries Ltd. (Japan) | 1,100 | 25,479 | ||||||
Canon, Inc. (Japan) | 10,200 | 346,956 | ||||||
FUJIFILM Holdings Corp. (Japan) | 900 | 32,452 | ||||||
Hewlett Packard Enterprise Co. | 94,748 | 1,571,869 | ||||||
HP, Inc. | 97,648 | 1,706,887 | ||||||
NetApp, Inc. | 15,200 | 608,760 | ||||||
Seagate Technology PLC(a) | 16,600 | 643,250 | ||||||
Western Digital Corp. | 16,803 | 1,488,746 | ||||||
Xerox Corp. | 12,090 | 347,346 | ||||||
|
| |||||||
49,933,099 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A9
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Textiles, Apparel & Luxury Goods — 0.4% |
| |||||||
adidas AG (Germany) | 667 | $ | 127,897 | |||||
Cie Financiere Richemont SA (Switzerland) | 962 | 79,604 | ||||||
Coach, Inc. | 16,000 | 757,440 | ||||||
Hanesbrands, Inc.(a) | 21,200 | 490,992 | ||||||
Hermes International (France) | 699 | 345,290 | ||||||
LVMH Moet Hennessy Louis Vuitton SE (France) | 988 | 247,055 | ||||||
Michael Kors Holdings Ltd.* | 9,300 | 337,125 | ||||||
NIKE, Inc. (Class B Stock) | 75,600 | 4,460,400 | ||||||
PVH Corp. | 4,700 | 538,150 | ||||||
Ralph Lauren Corp. | 3,400 | 250,920 | ||||||
Swatch Group AG (The) | 363 | 26,518 | ||||||
Under Armour, Inc. | 9,600 | 208,896 | ||||||
Under Armour, Inc. | 9,474 | 190,996 | ||||||
VF Corp.(a) | 19,300 | 1,111,680 | ||||||
|
| |||||||
9,172,963 | ||||||||
|
| |||||||
Tobacco — 0.9% |
| |||||||
Altria Group, Inc. | 111,300 | 8,288,511 | ||||||
British American Tobacco PLC (United Kingdom) | 6,650 | 453,153 | ||||||
Japan Tobacco, Inc. (Japan) | 5,200 | 182,770 | ||||||
Philip Morris International, Inc. | 88,500 | 10,394,325 | ||||||
Reynolds American, Inc. | 47,138 | 3,065,855 | ||||||
Swedish Match AB (Sweden) | 3,109 | 109,533 | ||||||
|
| |||||||
22,494,147 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.1% |
| |||||||
Fastenal Co.(a) | 16,900 | 735,657 | ||||||
ITOCHU Corp. (Japan) | 24,400 | 363,290 | ||||||
Marubeni Corp. (Japan) | 25,800 | 167,149 | ||||||
Mitsubishi Corp. (Japan) | 5,300 | 111,411 | ||||||
Mitsui & Co. Ltd. (Japan) | 14,700 | 210,443 | ||||||
Sumitomo Corp. (Japan) | 23,600 | 307,748 | ||||||
Toyota Tsusho Corp. (Japan) | 700 | 21,046 | ||||||
United Rentals, Inc.* | 4,900 | 552,279 | ||||||
W.W. Grainger, Inc.(a) | 3,200 | 577,696 | ||||||
|
| |||||||
3,046,719 | ||||||||
|
| |||||||
Transportation Infrastructure — 0.0% |
| |||||||
Abertis Infraestructuras SA (Spain) | 2,121 | 39,316 | ||||||
Aena SA (Spain), 144A | 241 | 47,061 | ||||||
Atlantia SpA (Italy) | 757 | 21,294 | ||||||
Auckland International Airport Ltd. (New Zealand) | 3,721 | 19,443 | ||||||
|
| |||||||
127,114 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Water Utilities — 0.0% |
| |||||||
American Water Works Co., Inc. | 10,400 | $ | 810,680 | |||||
|
| |||||||
Wireless Telecommunication Services — 0.0% |
| |||||||
KDDI Corp. (Japan) | 6,600 | 174,554 | ||||||
SoftBank Group Corp. (Japan) | 6,200 | 503,999 | ||||||
Vodafone Group PLC (United Kingdom) | 94,634 | 268,758 | ||||||
|
| |||||||
947,311 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 1,237,653,948 | ||||||
|
| |||||||
PREFERRED STOCKS — 0.1% | ||||||||
Automobiles — 0.0% |
| |||||||
Bayerische Motoren Werke AG (Germany) (PRFC) | 212 | 17,495 | ||||||
Volkswagen AG (Germany) (PRFC) | 2,621 | 400,374 | ||||||
|
| |||||||
417,869 | ||||||||
|
| |||||||
Banks — 0.0% |
| |||||||
Citigroup Capital XIII 7.542%, (Capital Security, fixed to floating preferred) | 20,000 | 519,600 | ||||||
|
| |||||||
Capital Markets — 0.1% |
| |||||||
State Street Corp. 5.350%, (Capital Security, fixed to floating preferred) | 30,000 | 822,900 | ||||||
|
| |||||||
Household Products — 0.0% |
| |||||||
Henkel AG & Co. KGaA (Germany) (PRFC) | 355 | 48,952 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS |
| 1,809,321 | ||||||
|
| |||||||
Units | ||||||||
RIGHTS* — 0.0% | ||||||||
Construction & Engineering | ||||||||
ACS Actividades de Construccion y Servicios SA (Spain), | 685 | 548 | ||||||
|
| |||||||
Shares | ||||||||
UNAFFILIATED EXCHANGE TRADED FUNDS — 0.0% | ||||||||
iShares MSCI EAFE ETF | 7,534 | 491,217 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A10
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
ASSET-BACKED SECURITIES — 5.0% | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Automobiles — 1.6% | ||||||||||||||
AmeriCredit Automobile Receivables Trust, Series 2015-4, Class A2B | 1.839% | (c) | 04/08/19 | 289 | $ | 288,653 | ||||||||
AmeriCredit Automobile Receivables Trust, Series 2016-2, Class A2B | 1.789% | (c) | 10/08/19 | 1,266 | 1,267,115 | |||||||||
AmeriCredit Automobile Receivables Trust, Series 2016-3, Class A2B | 1.649% | (c) | 11/08/19 | 506 | 506,666 | |||||||||
AmeriCredit Automobile Receivables Trust, Series 2016-4, Class C | 2.410% | 07/08/22 | 800 | 797,352 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A | 1.920% | 09/20/19 | 1,475 | 1,474,300 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A | 2.500% | 07/20/21 | 2,800 | 2,787,430 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A | 2.630% | 12/20/21 | 3,200 | 3,181,949 | ||||||||||
Enterprise Fleet Financing LLC, Series 2016-2, Class A2, 144A | 1.740% | 02/22/22 | 1,964 | 1,961,978 | ||||||||||
Enterprise Fleet Financing LLC, Series 2017-1, Class A2, 144A | 2.130% | 07/20/22 | 2,600 | 2,604,319 | ||||||||||
Enterprise Fleet Financing LLC, Series 2017-2, Class A2, 144A^ | 1.970% | 01/20/23 | 1,700 | 1,699,912 | ||||||||||
Ford Credit Auto Owner Trust, Series 2016-1, Class A, 144A | 2.310% | 08/15/27 | 4,200 | 4,222,355 | ||||||||||
Ford Credit Auto Owner Trust, Series 2016-2, Class A, 144A | 2.030% | 12/15/27 | 2,600 | 2,581,010 | ||||||||||
Ford Credit Auto Owner Trust, Series 2017-1, Class A, 144A | 2.620% | 08/15/28 | 4,400 | 4,452,683 | ||||||||||
GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A | 1.659% | (c) | 05/15/20 | 1,600 | 1,604,166 | |||||||||
GMF Floorplan Owner Revolving Trust, Series 2016-1, Class A2, 144A | 2.009% | (c) | 05/17/21 | 1,700 | 1,715,130 | |||||||||
Hertz Vehicle Financing LLC, Series 2016-1A, Class A, 144A | 2.320% | 03/25/20 | 2,400 | 2,391,677 | ||||||||||
OneMain Direct Auto Receivables Trust, Series 2016-1A, Class A, 144A | 2.040% | 01/15/21 | 468 | 468,558 | ||||||||||
OneMain Direct Auto Receivables Trust, Series 2017-1A, Class A, 144A | 2.160% | 10/15/20 | 5,700 | 5,698,460 | ||||||||||
|
| |||||||||||||
39,703,713 | ||||||||||||||
|
| |||||||||||||
Collateralized Loan Obligations — 1.7% | ||||||||||||||
ALM Ltd. (Cayman Islands), Series 2015-12A, Class A1R, 144A | 2.208% | (c) | 04/16/27 | 1,000 | 999,500 | |||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1R, 144A | 2.602% | (c) | 04/28/26 | 400 | 400,903 | |||||||||
Apidos CLO (Cayman Islands), Series 2014-17A, Class A1R, 144A | 2.468% | (c) | 04/17/26 | 420 | 420,991 | |||||||||
ArrowMark Colorado Holdings (Cayman Islands), Series 2017-6A, Class A1, 144A | —% | (c)(p) | 07/15/29 | 500 | 500,000 | |||||||||
Battalion CLO Ltd. (Cayman Islands), Series 2013-4A, Class A1R, 144A | 2.293% | (c) | 10/22/25 | 250 | 250,077 | |||||||||
Battalion CLO Ltd. (Cayman Islands), Series 2015-8A, Class A1R, 144A | 2.551% | (c) | 07/18/30 | 1,000 | 1,000,000 | |||||||||
Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2013-IIA, Class A1R, 144A | 2.450% | (c) | 07/15/29 | 1,000 | 1,000,000 | |||||||||
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.308% | (c) | 04/17/25 | 2,200 | 2,202,314 | |||||||||
Canyon Capital CLO Ltd. (Cayman Islands), Series 2015-1A, Class AS, 144A | 2.408% | (c) | 04/15/29 | 2,500 | 2,499,981 | |||||||||
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1AR, 144A | 2.320% | (c) | 07/27/26 | 750 | 750,775 | |||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.706% | (c) | 04/20/26 | 1,650 | 1,652,110 | |||||||||
Elevation CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A | 2.708% | (c) | 04/18/27 | 1,000 | 1,001,931 | |||||||||
Highbridge Loan Management Ltd. (Cayman Islands), Series 2015-6A, Class A, 144A | 2.621% | (c) | 05/05/27 | 250 | 250,388 | |||||||||
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A | 2.698% | (c) | 04/15/27 | 250 | 250,288 | |||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-3A, Class AR, 144A | 2.358% | (c) | 10/15/26 | 2,500 | 2,500,699 | |||||||||
Magnetite Ltd. (Cayman Islands), Series 2014-11A, Class A1R, 144A | 2.278% | (c) | 01/18/27 | 2,000 | 2,003,107 | |||||||||
Mill Creek CLO Ltd. (Cayman Islands), Series 2016-1A, Class A, 144A | 2.906% | (c) | 04/20/28 | 1,250 | 1,257,350 | |||||||||
MP CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 2.336% | (c) | 04/20/25 | 2,100 | 2,100,295 | |||||||||
OZLM Funding Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A | 2.303% | (c) | 07/22/25 | 1,000 | 1,000,507 | |||||||||
Palmer Square CLO Ltd. (Cayman Islands), Series 2015-1A, Class A1R, 144A | 2.472% | (c) | 05/21/29 | 2,000 | 1,999,997 | |||||||||
Regatta Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.566% | (c) | 07/25/26 | 1,250 | 1,250,012 | |||||||||
Shackleton CLO Ltd. (Cayman Islands), Series 2014-5A, Class AR, 144A | 2.319% | (c) | 05/07/26 | 2,500 | 2,501,220 | |||||||||
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A | 3.856% | (c) | 10/20/23 | 900 | 900,605 | |||||||||
TIAA CLO Ltd. (Cayman Islands), Series 2016-1A, Class A, 144A | 2.856% | (c) | 07/20/28 | 1,750 | 1,757,046 | |||||||||
TICP CLO Ltd. (Cayman Islands), Series 2017-7A, Class AS, 144A | —% | (c)(p) | 07/15/29 | 1,000 | 998,500 | |||||||||
Trinitas CLO Ltd. (Cayman Islands), Series 2016-5A, Class A, 144A | 2.856% | (c) | 10/25/28 | 2,500 | 2,510,468 | |||||||||
Trinitas CLO Ltd. (Cayman Islands), Series 2017-6A, Class A, 144A | 2.655% | (c) | 07/25/29 | 1,000 | 998,502 | |||||||||
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.278% | (c) | 07/15/25 | 2,200 | 2,201,733 | |||||||||
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.298% | (c) | 04/15/24 | 1,500 | 1,500,563 |
SEE NOTES TO FINANCIAL STATEMENTS.
A11
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
ASSET-BACKED SECURITIES — 5.0% | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
Collateralized Loan Obligations (continued) |
| |||||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), Series 2017-1A, Class A1, 144A | 2.431% | (c) | 04/20/29 | 1,500 | $ | 1,500,046 | ||||||||||
West CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1AR, 144A | 2.339% | (c) | 11/07/25 | 1,500 | 1,500,531 | |||||||||||
Zais CLO Ltd. (Cayman Islands), Series 2017-1A, Class A1, 144A | 2.572% | (c) | 07/15/29 | 1,250 | 1,250,313 | |||||||||||
|
| |||||||||||||||
42,910,752 | ||||||||||||||||
|
| |||||||||||||||
Consumer Loans — 0.4% |
| |||||||||||||||
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A | 2.570% | 07/18/25 | 3,334 | 3,338,042 | ||||||||||||
SpringCastle America Funding LLC, Series 2016-AA, Class A, 144A | 3.050% | 04/25/29 | 2,071 | 2,083,244 | ||||||||||||
Springleaf Funding Trust, Series 2015-AA, Class A, 144A | 3.160% | 11/15/24 | 4,665 | 4,707,193 | ||||||||||||
|
| |||||||||||||||
10,128,479 | ||||||||||||||||
|
| |||||||||||||||
Credit Cards — 0.6% |
| |||||||||||||||
American Express Credit Account Master Trust, Series 2017-2, Class A | 1.439% | (c) | 09/16/24 | 5,100 | 5,132,624 | |||||||||||
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A | 1.959% | (c) | 05/15/20 | 2,700 | 2,703,212 | |||||||||||
Citibank Credit Card Issuance Trust, Series 2017-A5, Class A5 | 1.836% | (c) | 04/22/26 | 2,700 | 2,714,025 | |||||||||||
Discover Card Execution Note Trust, Series 2017-A4, Class A4 | 2.530% | 10/15/26 | 2,800 | 2,791,270 | ||||||||||||
Discover Card Execution Note Trust, Series 2017-A5, Class A5 | 1.816% | (c) | 12/15/26 | 1,900 | 1,910,099 | |||||||||||
|
| |||||||||||||||
15,251,230 | ||||||||||||||||
|
| |||||||||||||||
Equipment — 0.1% |
| |||||||||||||||
MMAF Equipment Finance LLC, Series 2017-AA, Class A4, 144A | 2.410% | 08/16/24 | 2,500 | 2,505,525 | ||||||||||||
|
| |||||||||||||||
Home Equity Loans — 0.1% |
| |||||||||||||||
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1 | 2.866% | (c) | 03/25/33 | 181 | 180,461 | |||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 | 2.416% | (c) | 05/25/33 | 103 | 102,287 | |||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 | 2.266% | (c) | 12/27/33 | 633 | 617,199 | |||||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1 | 2.116% | (c) | 07/25/32 | 208 | 208,018 | |||||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1 | 2.491% | (c) | 09/25/32 | 2,383 | 2,370,247 | |||||||||||
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1 | 1.981% | (c) | 02/25/34 | 708 | 680,663 | |||||||||||
|
| |||||||||||||||
4,158,875 | ||||||||||||||||
|
| |||||||||||||||
Other — 0.1% |
| |||||||||||||||
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A | 2.200% | 10/20/30 | 902 | 901,334 | ||||||||||||
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A | 2.000% | 09/20/29 | 448 | 443,822 | ||||||||||||
|
| |||||||||||||||
1,345,156 | ||||||||||||||||
|
| |||||||||||||||
Residential Mortgage-Backed Securities — 0.4% |
| |||||||||||||||
Credit Suisse Mortgage Trust, Series 2016-RPL1, Class A1, 144A | 4.145% | (c) | 12/26/46 | 3,750 | 3,765,301 | |||||||||||
Credit Suisse Mortgage Trust, Series 2017-6R, Class A1, 144A^ | 2.722% | (c) | 03/06/47 | 2,125 | 2,125,000 | |||||||||||
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3 | 3.721% | (c) | 07/25/35 | 352 | 350,003 | |||||||||||
CWABS, Inc., Asset-Backed Certificates, Series 2004-1, Class M1 | 1.966% | (c) | 03/25/34 | 1,382 | 1,378,844 | |||||||||||
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | 4.678% | (c) | 07/25/34 | 324 | 321,737 | |||||||||||
Fremont Home Loan Trust, Series 2004-2, Class M1 | 2.071% | (c) | 07/25/34 | 506 | 475,497 | |||||||||||
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1 | 2.011% | (c) | 06/25/34 | 366 | 355,837 | |||||||||||
VOLT LVII LLC, Series 2017-NPL4, Class A1, 144A | 3.375% | 04/25/47 | 486 | 486,073 | ||||||||||||
VOLT LX LLC, Series 2017-NPL7, Class A1, 144A | 3.250% | 04/25/59 | 570 | 569,491 | ||||||||||||
|
| |||||||||||||||
9,827,783 | ||||||||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 125,831,513 | ||||||||||||||
|
| |||||||||||||||
BANK LOANS(c) — 0.1% | ||||||||||||||||
Technology |
| |||||||||||||||
Dell International LLC | 3.299% | 12/31/18 | 500 | 500,382 | ||||||||||||
First Data Corp. | 3.656% | 04/26/24 | 940 | 939,579 | ||||||||||||
|
| |||||||||||||||
TOTAL BANK LOANS |
| 1,439,961 | ||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A12
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMERCIAL MORTGAGE-BACKED SECURITIES — 5.5% | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Assurant Commercial Mortgage Trust, Series 2016-1A, Class AS, 144A | 3.172% | 05/15/49 | 3,100 | $ | 3,081,434 | |||||||||
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A3 | 3.014% | 05/10/58 | 2,500 | 2,465,537 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 | 2.815% | 04/10/46 | 900 | 906,803 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 | 3.575% | 05/10/47 | 2,090 | 2,171,173 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A3 | 2.944% | 05/10/49 | 2,700 | 2,673,626 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2017-P7, Class A3 | 3.442% | 04/14/50 | 4,000 | 4,088,230 | ||||||||||
Commercial Mortgage Trust, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 1,000 | 994,920 | ||||||||||
Commercial Mortgage Trust, Series 2013-CR7, Class A3 | 2.929% | 03/10/46 | 1,324 | 1,339,937 | ||||||||||
Commercial Mortgage Trust, Series 2014-CR15, Class A2 | 2.928% | 02/10/47 | 2,000 | 2,028,088 | ||||||||||
Commercial Mortgage Trust, Series 2014-CR18, Class A4 | 3.550% | 07/15/47 | 2,100 | 2,169,676 | ||||||||||
Commercial Mortgage Trust, Series 2014-LC17, Class A4 | 3.648% | 10/10/47 | 5,000 | 5,203,485 | ||||||||||
Commercial Mortgage Trust, Series 2014-UBS3, Class A2 | 2.844% | 06/10/47 | 1,700 | 1,729,928 | ||||||||||
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A3 | 3.544% | 11/15/48 | 2,500 | 2,567,599 | ||||||||||
CSAIL Commercial Mortgage Trust, Series 2017-C8, Class A3 | 3.127% | 06/15/50 | 3,800 | 3,790,664 | ||||||||||
Fannie Mae-Aces, Series 2014-M2, Class A2 | 3.513% | (c) | 12/25/23 | 1,925 | 2,035,521 | |||||||||
Fannie Mae-Aces, Series 2015-M8, Class AB2 | 2.829% | (c) | 01/25/25 | 4,100 | 4,157,179 | |||||||||
Fannie Mae-Aces, Series 2015-M17, Class A2 | 3.038% | (c) | 11/25/25 | 3,000 | 3,050,782 | |||||||||
Fannie Mae-Aces, Series 2016-M7, Class AB2 | 2.385% | 09/25/26 | 1,800 | 1,734,118 | ||||||||||
Fannie Mae-Aces, Series 2017-M1, Class A2 | 2.497% | (c) | 10/25/26 | 1,600 | 1,543,619 | |||||||||
Fannie Mae-Aces, Series 2017-M4, Class A2 | 2.684% | (c) | 12/25/26 | 8,600 | 8,399,341 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO | 1.570% | (c) | 05/25/22 | 20,046 | 1,153,801 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO | 1.606% | (c) | 06/25/22 | 5,544 | 334,699 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K045, Class A2 | 3.023% | 01/25/25 | 4,965 | 5,095,573 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K048, Class A2 | 3.284% | (c) | 06/25/25 | 3,650 | 3,808,954 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1,IO | 1.502% | (c) | 03/25/26 | 4,655 | 451,654 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K064, Class AM | 3.327% | (c) | 03/25/27 | 4,200 | 4,322,949 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO | 1.872% | (c) | 05/25/19 | 15,496 | 395,605 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO | 1.810% | (c) | 07/25/19 | 16,424 | 428,487 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4 | 3.161% | (c) | 05/25/25 | 1,900 | 1,963,805 | |||||||||
GS Mortgage Securities Trust, Series 2015-GC28, Class A4 | 3.136% | 02/10/48 | 3,000 | 3,015,916 | ||||||||||
GS Mortgage Securities Trust, Series 2015-GC34, Class A3 | 3.244% | 10/10/48 | 4,800 | 4,842,107 | ||||||||||
GS Mortgage Securities Trust, Series 2016-GS4, Class A3 | 3.178% | 11/10/49 | 4,000 | 4,015,054 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1 | 3.408% | 11/15/47 | 1,100 | 1,129,513 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1 | 2.920% | 02/15/48 | 5,000 | 4,965,644 | ||||||||||
JPMCC Commercial Mortgage Securities Trust, Series 2017-JP6, Class A3 | 3.109% | 07/15/50 | 5,581 | 5,612,239 | ||||||||||
JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class A3A | 2.881% | 06/15/49 | 2,500 | 2,466,813 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3 | 3.139% | 06/15/45 | 728 | 736,189 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4 | 2.611% | 12/15/47 | 1,500 | 1,502,792 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 | 2.875% | 12/15/47 | 3,200 | 3,238,703 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2 | 3.070% | 12/15/46 | 1,165 | 1,181,902 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 1,100 | 1,110,424 | ||||||||||
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class AM | 6.114% | (c) | 07/15/40 | 1,990 | 1,992,595 |
SEE NOTES TO FINANCIAL STATEMENTS.
A13
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | 2.863% | 12/15/48 | 1,200 | $ | 1,212,867 | |||||||||||
Morgan Stanley Capital I Trust, Series 2015-UBS8, Class A3 | 3.540% | 12/15/48 | 5,000 | 5,150,954 | ||||||||||||
Morgan Stanley Capital I Trust, Series 2016-UB11, Class A3 | 2.531% | 08/15/49 | 6,300 | 6,003,395 | ||||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | 2.792% | 12/10/45 | 1,400 | 1,410,388 | ||||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | 2.920% | 03/10/46 | 3,200 | 3,233,481 | ||||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | 2.971% | 04/10/46 | 1,500 | 1,518,707 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A | 5.608% | (c) | 05/15/46 | 2,527 | 2,526,999 | |||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class XB, IO | 1.484% | (c) | 08/15/49 | 9,000 | 940,388 | |||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A3 | 2.642% | 11/15/49 | 4,500 | 4,335,742 | ||||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2017-C38, Class A4 | 3.190% | 07/15/50 | 3,300 | 3,310,956 | ||||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 139,540,955 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 11.2% | ||||||||||||||||
Agriculture — 0.2% | ||||||||||||||||
Altria Group, Inc., Gtd. Notes | 4.000% | 01/31/24 | 1,585 | 1,691,033 | ||||||||||||
Bunge Ltd. Finance Corp., Gtd. Notes | 8.500% | 06/15/19 | 690 | 771,713 | ||||||||||||
Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A | 2.050% | 02/11/18 | 1,680 | 1,681,663 | ||||||||||||
Reynolds American, Inc., Gtd. Notes | 8.125% | 06/23/19 | 290 | 323,441 | ||||||||||||
|
| |||||||||||||||
4,467,850 | ||||||||||||||||
|
| |||||||||||||||
Airlines — 0.2% | ||||||||||||||||
American Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A | 3.375% | 11/01/28 | 2,382 | 2,393,751 | ||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A(g) | 6.648% | 03/15/19 | 9 | 8,712 | ||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1(g) | 6.703% | 12/15/22 | 22 | 24,062 | ||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A | 7.250% | 05/10/21 | 472 | 522,601 | ||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A | 4.750% | 07/12/22 | 478 | 505,755 | ||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A | 4.000% | 04/29/26 | 333 | 350,939 | ||||||||||||
Delta Air Lines, Inc., Sr. Unsec’d. Notes | 2.875% | 03/13/20 | 1,300 | 1,316,998 | ||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A | 6.821% | 02/10/24 | 251 | 288,488 | ||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A | 4.950% | 11/23/20 | 283 | 294,258 | ||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A | 5.300% | 10/15/20 | 550 | 577,749 | ||||||||||||
|
| |||||||||||||||
6,283,313 | ||||||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 0.4% | ||||||||||||||||
Ford Motor Co., Sr. Unsec’d. Notes | 4.750% | 01/15/43 | 1,090 | 1,052,144 | ||||||||||||
Ford Motor Co., Sr. Unsec’d. Notes(a) | 5.291% | 12/08/46 | 1,825 | 1,873,034 | ||||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.250% | 10/02/43 | 1,065 | 1,182,948 | ||||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.600% | 04/01/36 | 585 | 677,793 | ||||||||||||
General Motors Financial Co., Inc., Gtd. Notes | 3.950% | 04/13/24 | 1,700 | 1,724,143 | ||||||||||||
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN | 2.850% | 01/15/21 | 2,300 | 2,326,984 | ||||||||||||
|
| |||||||||||||||
8,837,046 | ||||||||||||||||
|
| |||||||||||||||
Auto Parts & Equipment — 0.1% | ||||||||||||||||
Magna International, Inc. (Canada), Sr. Unsec’d. Notes | 3.625% | 06/15/24 | 1,690 | 1,735,246 | ||||||||||||
|
| |||||||||||||||
Banks — 3.0% | ||||||||||||||||
Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A | 2.625% | 04/28/21 | 2,086 | 2,132,153 | ||||||||||||
Bank of America Corp., Jr. Sub. Notes | 6.300% | (c) | 12/31/49 | 275 | 308,344 | |||||||||||
Bank of America Corp., Jr. Sub. Notes | 8.000% | (c) | 12/29/49 | 2,100 | 2,157,750 | |||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 6.000% | 09/01/17 | 1,330 | 1,339,149 |
SEE NOTES TO FINANCIAL STATEMENTS.
A14
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
Banks (continued) | ||||||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, GMTN | 3.300% | 01/11/23 | 1,520 | $ | 1,549,941 | |||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, GMTN | 3.500% | 04/19/26 | 4,770 | 4,786,247 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.000% | 04/01/24 | 745 | 780,662 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.443% | (c) | 01/20/48 | 270 | 285,574 | |||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 5.650% | 05/01/18 | 105 | 108,297 | ||||||||||||
Bank of America Corp., Sub. Notes, MTN | 4.000% | 01/22/25 | 1,700 | 1,729,605 | ||||||||||||
Bank of America NA, Sub. Notes | 6.000% | 10/15/36 | 805 | 1,016,195 | ||||||||||||
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes | 3.684% | 01/10/23 | 320 | 328,339 | ||||||||||||
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes | 4.337% | 01/10/28 | 450 | 462,606 | ||||||||||||
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes | 4.375% | 01/12/26 | 1,205 | 1,252,135 | ||||||||||||
Citigroup, Inc., Jr. Sub. Notes | 5.950% | (c) | 12/31/49 | 1,590 | 1,673,030 | |||||||||||
Citigroup, Inc., Jr. Sub. Notes(a) | 6.125% | (c) | 12/31/49 | 945 | 1,015,875 | |||||||||||
Citigroup, Inc., Jr. Sub. Notes | 6.250% | (c) | 12/31/49 | 640 | 710,000 | |||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 2.750% | 04/25/22 | 1,120 | 1,118,227 | ||||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 3.700% | 01/12/26 | 1,610 | 1,628,336 | ||||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 4.281% | (c) | 04/24/48 | 630 | 644,569 | |||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.125% | 07/15/39 | 850 | 1,305,035 | ||||||||||||
Citigroup, Inc., Sub. Notes | 4.450% | 09/29/27 | 1,485 | 1,544,427 | ||||||||||||
Citigroup, Inc., Sub. Notes | 4.750% | 05/18/46 | 440 | 461,866 | ||||||||||||
Compass Bank, Sr. Unsec’d. Notes | 1.850% | 09/29/17 | 1,050 | 1,050,254 | ||||||||||||
Credit Suisse Group AG (Switzerland), Sr. Unsec’d. Notes, 144A | 4.282% | 01/09/28 | 980 | 1,013,007 | ||||||||||||
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN | 3.375% | 05/12/21 | 1,240 | 1,255,903 | ||||||||||||
Dexia Credit Local SA (France), Gov’t. Liq. Gtd. Notes, 144A | 1.875% | 09/15/21 | 1,000 | 975,832 | ||||||||||||
Discover Bank, Sr. Unsec’d. Notes | 4.250% | 03/13/26 | 595 | 611,142 | ||||||||||||
Discover Bank, Sub. Notes | 7.000% | 04/15/20 | 485 | 538,324 | ||||||||||||
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes | 5.300% | (c) | 12/31/49 | 560 | 588,000 | |||||||||||
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes | 5.375% | (c) | 12/31/49 | �� | 1,800 | 1,891,440 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 3.750% | 02/25/26 | 1,165 | 1,186,264 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 3.850% | 01/26/27 | 2,625 | 2,670,433 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.250% | 07/27/21 | 2,305 | 2,526,395 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.750% | 01/24/22 | 1,250 | 1,407,342 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 02/01/41 | 220 | 287,384 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 6.750% | 10/01/37 | 1,100 | 1,427,845 | ||||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 4.875% | 01/14/22 | 1,230 | 1,339,573 | ||||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 5.100% | 04/05/21 | 920 | 1,000,227 | ||||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes | 6.100% | (c) | 12/31/49 | 1,175 | 1,274,875 | |||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes | 7.900% | (c) | 04/29/49 | 2,000 | 2,079,000 | |||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 4.250% | 10/15/20 | 1,660 | 1,762,726 | ||||||||||||
JPMorgan Chase & Co., Sub. Notes | 3.875% | 09/10/24 | 3,525 | 3,636,894 | ||||||||||||
JPMorgan Chase & Co., Sub. Notes | 4.950% | 06/01/45 | 195 | 217,535 | ||||||||||||
Lloyds Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN | 5.800% | 01/13/20 | 1,770 | 1,925,594 | ||||||||||||
Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes | 2.900% | 02/06/25 | 2,385 | 2,363,430 | ||||||||||||
Morgan Stanley, Jr. Sub. Notes | 5.450% | (c) | 12/31/49 | 640 | 662,720 | |||||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 4.375% | 01/22/47 | 1,800 | 1,877,767 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 3.750% | 02/25/23 | 605 | 629,087 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.500% | 07/28/21 | 840 | 931,438 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 6.625% | 04/01/18 | 100 | 103,551 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 6.375% | 07/24/42 | 640 | 850,753 | ||||||||||||
Morgan Stanley, Sub. Notes, GMTN | 4.350% | 09/08/26 | 3,050 | 3,170,896 | ||||||||||||
National City Corp., Sub. Notes | 6.875% | 05/15/19 | 2,687 | 2,923,733 | ||||||||||||
Nordea Bank AB (Sweden), Sr. Unsec’d. Notes, 144A, MTN | 1.875% | 09/17/18 | 1,590 | 1,592,372 | ||||||||||||
PNC Bank NA, Sr. Unsec’d. Notes | 1.950% | 03/04/19 | 455 | 455,826 | ||||||||||||
PNC Bank NA, Sub. Notes | 3.800% | 07/25/23 | 480 | 504,188 | ||||||||||||
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes | 2.450% | 01/10/19 | 925 | 932,982 | ||||||||||||
|
| |||||||||||||||
76,003,094 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A15
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
Beverages — 0.1% | ||||||||||||||||
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes | 4.700% | 02/01/36 | 2,005 | $ | 2,206,789 | |||||||||||
|
| |||||||||||||||
Biotechnology — 0.1% | ||||||||||||||||
Amgen, Inc., Sr. Unsec’d. Notes | 4.663% | 06/15/51 | 1,527 | 1,617,326 | ||||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 4.150% | 03/01/47 | 30 | 30,140 | ||||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 5.650% | 12/01/41 | 110 | 133,341 | ||||||||||||
|
| |||||||||||||||
1,780,807 | ||||||||||||||||
|
| |||||||||||||||
Building Materials — 0.0% | ||||||||||||||||
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A(g) | 5.375% | 11/15/24 | 1,135 | 1,196,006 | ||||||||||||
|
| |||||||||||||||
Chemicals — 0.2% | ||||||||||||||||
Celanese US Holdings LLC, Gtd. Notes | 5.875% | 06/15/21 | 1,160 | 1,301,227 | ||||||||||||
CF Industries, Inc., Gtd. Notes | 5.375% | 03/15/44 | 445 | 397,163 | ||||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 4.625% | 10/01/44 | 5 | 5,322 | ||||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 9.400% | 05/15/39 | 30 | 50,422 | ||||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 4.625% | 02/26/55 | 955 | 935,477 | ||||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 5.000% | 04/15/19 | 201 | 210,134 | ||||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes(a) | 5.450% | 11/15/33 | 265 | 279,582 | ||||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.625% | 11/15/43 | 295 | 301,181 | ||||||||||||
Union Carbide Corp., Sr. Unsec’d. Notes | 7.500% | 06/01/25 | 500 | 611,725 | ||||||||||||
Westlake Chemical Corp., Gtd. Notes | 4.625% | 02/15/21 | 750 | 776,250 | ||||||||||||
|
| |||||||||||||||
4,868,483 | ||||||||||||||||
|
| |||||||||||||||
Commercial Services — 0.1% | ||||||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 4.200% | 11/01/46 | 875 | 823,637 | ||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A(g) | 6.375% | 10/15/17 | 1,198 | 1,213,497 | ||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A(g) | 7.000% | 10/15/37 | 390 | 506,261 | ||||||||||||
United Rentals North America, Inc., Gtd. Notes | 5.875% | 09/15/26 | 400 | 426,000 | ||||||||||||
|
| |||||||||||||||
2,969,395 | ||||||||||||||||
|
| |||||||||||||||
Computers — 0.4% | ||||||||||||||||
Apple, Inc., Sr. Unsec’d. Notes | 2.850% | 05/11/24 | 4,410 | 4,431,367 | ||||||||||||
Apple, Inc., Sr. Unsec’d. Notes | 3.200% | 05/13/25 | 2,400 | 2,451,137 | ||||||||||||
Dell International LLC/EMC Corp., Sr. Sec’d. Notes, 144A | 3.480% | 06/01/19 | 825 | 844,285 | ||||||||||||
Dell International LLC/EMC Corp., Sr. Sec’d. Notes, 144A | 4.420% | 06/15/21 | 700 | 737,953 | ||||||||||||
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes | 2.450% | (c) | 10/05/17 | 1,039 | 1,041,595 | |||||||||||
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes | 2.850% | (c) | 10/05/18 | 545 | 549,663 | |||||||||||
Seagate HDD Cayman, Gtd. Notes | 3.750% | 11/15/18 | 455 | 465,920 | ||||||||||||
|
| |||||||||||||||
10,521,920 | ||||||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.4% | ||||||||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes | 3.750% | 05/15/19 | 600 | 616,279 | ||||||||||||
Bear Stearns Cos. LLC (The), Gtd. Notes | 6.400% | 10/02/17 | 270 | 273,112 | ||||||||||||
Bear Stearns Cos. LLC (The), Gtd. Notes | 7.250% | 02/01/18 | 1,135 | 1,170,600 | ||||||||||||
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 3.150% | 07/24/24 | 1,300 | 1,331,963 | ||||||||||||
Discover Financial Services, Sr. Unsec’d. Notes | 3.850% | 11/21/22 | 900 | 921,703 | ||||||||||||
GE Capital International Funding Co. Unlimited Co., Gtd. Notes | 4.418% | 11/15/35 | 922 | 1,003,494 | ||||||||||||
Jefferies Group LLC, Sr. Unsec’d. Notes | 6.500% | 01/20/43 | 465 | 525,497 | ||||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(i) | 5.250% | 02/06/12 | 1,850 | 115,625 | ||||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(i) | 6.875% | 05/02/18 | 700 | 44,520 | ||||||||||||
Navient Corp., Sr. Unsec’d. Notes, MTN | 8.450% | 06/15/18 | 295 | 310,635 | ||||||||||||
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes | 1.875% | 07/15/18 | 55 | 55,252 | ||||||||||||
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes | 2.450% | 07/15/24 | 285 | 285,992 | ||||||||||||
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes | 3.250% | 06/15/25 | 540 | 562,414 | ||||||||||||
Synchrony Financial, Sr. Unsec’d. Notes | 2.700% | 02/03/20 | 2,175 | 2,186,029 | ||||||||||||
|
| |||||||||||||||
9,403,115 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A16
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
Electric — 0.8% | ||||||||||||||||
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | 6.350% | 10/01/36 | 530 | $ | 692,472 | |||||||||||
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes | 6.125% | 04/01/36 | 340 | 436,802 | ||||||||||||
Black Hills Corp., Sr. Unsec’d. Notes | 2.500% | 01/11/19 | 950 | 955,080 | ||||||||||||
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge. | 6.950% | 03/15/33 | 300 | 413,438 | ||||||||||||
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A | 4.750% | 02/23/27 | 355 | 365,206 | ||||||||||||
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A | 4.875% | 01/15/24 | 490 | 517,563 | ||||||||||||
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes | 5.500% | 12/01/39 | 145 | 177,891 | ||||||||||||
Dominion Energy, Inc., Jr. Sub. Notes | 4.104% | 04/01/21 | 2,470 | 2,592,463 | ||||||||||||
Duke Energy Carolinas LLC, First Mortgage | 6.050% | 04/15/38 | 530 | 694,197 | ||||||||||||
Dynegy, Inc., Gtd. Notes | 6.750% | 11/01/19 | 345 | 355,781 | ||||||||||||
El Paso Electric Co., Sr. Unsec’d. Notes | 6.000% | 05/15/35 | 845 | 1,001,893 | ||||||||||||
Eversource Energy, Sr. Unsec’d. Notes | 4.500% | 11/15/19 | 605 | 638,121 | ||||||||||||
Exelon Corp., Jr. Sub. Notes | 3.497% | (c) | 06/01/22 | 2,397 | 2,448,873 | |||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | 6.250% | 10/01/39 | 1,375 | 1,500,330 | ||||||||||||
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A | 5.450% | 07/15/44 | 265 | 302,697 | ||||||||||||
Florida Power & Light Co., First Mortgage | 5.950% | 10/01/33 | 380 | 481,918 | ||||||||||||
Iberdrola International BV (Spain), Gtd. Notes | 6.750% | 09/15/33 | 140 | 169,550 | ||||||||||||
Monongahela Power Co., First Mortgage, 144A | 4.100% | 04/15/24 | 1,560 | 1,657,333 | ||||||||||||
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A | 4.881% | 08/15/19 | 545 | 576,718 | ||||||||||||
NRG Energy, Inc., Gtd. Notes | 7.250% | 05/15/26 | 685 | 708,975 | ||||||||||||
PSEG Power LLC, Gtd. Notes | 3.000% | 06/15/21 | 1,260 | 1,279,362 | ||||||||||||
Public Service Co. of New Mexico, Sr. Unsec’d. Notes | 7.950% | 05/15/18 | 135 | 142,056 | ||||||||||||
Public Service Electric & Gas Co., Sec’d. Notes, MTN | 3.000% | 05/15/27 | 675 | 676,364 | ||||||||||||
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN | 5.800% | 05/01/37 | 515 | 657,850 | ||||||||||||
Southern California Edison Co., First Mortgage | 3.600% | 02/01/45 | 690 | 671,189 | ||||||||||||
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A | 2.750% | 05/07/19 | 500 | 504,601 | ||||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 4.800% | 09/15/41 | 480 | 512,551 | ||||||||||||
|
| |||||||||||||||
21,131,274 | ||||||||||||||||
|
| |||||||||||||||
Entertainment — 0.0% | ||||||||||||||||
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes | 4.875% | 11/01/20 | 800 | 853,000 | ||||||||||||
|
| |||||||||||||||
Food — 0.1% | ||||||||||||||||
Kraft Heinz Foods Co., Gtd. Notes | 3.000% | 06/01/26 | 1,510 | 1,445,147 | ||||||||||||
Kraft Heinz Foods Co., Gtd. Notes | 4.375% | 06/01/46 | 360 | 352,560 | ||||||||||||
Kroger Co. (The), Sr. Unsec’d. Notes | 4.450% | 02/01/47 | 240 | 231,338 | ||||||||||||
|
| |||||||||||||||
2,029,045 | ||||||||||||||||
|
| |||||||||||||||
Forest Products & Paper — 0.1% | ||||||||||||||||
Georgia-Pacific LLC, Gtd. Notes, 144A(g) | 5.400% | 11/01/20 | 275 | 300,842 | ||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 6.000% | 11/15/41 | 1,270 | 1,548,761 | ||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.950% | 06/15/18 | 304 | 321,416 | ||||||||||||
|
| |||||||||||||||
2,171,019 | ||||||||||||||||
|
| |||||||||||||||
Gas — 0.1% | ||||||||||||||||
Dominion Energy Gas Holdings LLC, Sr. Unsec’d. Notes | 4.800% | 11/01/43 | 45 | 47,547 | ||||||||||||
NiSource Finance Corp., Gtd. Notes | 3.490% | 05/15/27 | 2,355 | 2,371,205 | ||||||||||||
|
| |||||||||||||||
2,418,752 | ||||||||||||||||
|
| |||||||||||||||
Healthcare-Products — 0.4% | ||||||||||||||||
Abbott Laboratories, Sr. Unsec’d. Notes | 2.000% | 09/15/18 | 3,700 | 3,707,237 | ||||||||||||
Becton Dickinson & Co., Sr. Unsec’d. Notes | 3.700% | 06/06/27 | 3,370 | 3,380,653 | ||||||||||||
Becton Dickinson & Co., Sr. Unsec’d. Notes | 3.734% | 12/15/24 | 372 | 378,096 | ||||||||||||
Medtronic, Inc., Gtd. Notes | 3.500% | 03/15/25 | 1,425 | 1,482,373 | ||||||||||||
Medtronic, Inc., Gtd. Notes | 4.375% | 03/15/35 | 997 | 1,088,989 | ||||||||||||
|
| |||||||||||||||
10,037,348 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A17
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
Healthcare-Services — 0.3% | ||||||||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.625% | 06/15/36 | 480 | $ | 647,601 | |||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.750% | 12/15/37 | 1,050 | 1,452,360 | ||||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.625% | 05/15/42 | 330 | 356,262 | ||||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.650% | 01/15/43 | 260 | 280,210 | ||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.875% | 03/15/41 | 540 | 678,898 | ||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 6.150% | 11/15/36 | 640 | 811,010 | ||||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A | 4.125% | 10/15/20 | 435 | 451,313 | ||||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.250% | 04/15/25 | 350 | 376,250 | ||||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.250% | 06/15/26 | 700 | 754,950 | ||||||||||||
Kaiser Foundation Hospitals, Gtd. Notes | 4.150% | 05/01/47 | 670 | 694,219 | ||||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 3.200% | 02/01/22 | 160 | 163,290 | ||||||||||||
New York & Presbyterian Hospital (The), Unsec’d. Notes | 4.024% | 08/01/45 | 340 | 346,346 | ||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 3.950% | 10/15/42 | 440 | 445,944 | ||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.625% | 11/15/37 | 410 | 565,075 | ||||||||||||
|
| |||||||||||||||
8,023,728 | ||||||||||||||||
|
| |||||||||||||||
Home Builders — 0.0% | ||||||||||||||||
D.R. Horton, Inc., Gtd. Notes | 3.625% | 02/15/18 | 375 | 377,330 | ||||||||||||
|
| |||||||||||||||
Housewares — 0.1% | ||||||||||||||||
Newell Brands, Inc., Sr. Unsec’d. Notes | 4.200% | 04/01/26 | 2,010 | 2,134,192 | ||||||||||||
|
| |||||||||||||||
Insurance — 0.7% | ||||||||||||||||
Allied World Assurance Co. Holdings Ltd., Gtd. Notes | 5.500% | 11/15/20 | 480 | 520,037 | ||||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 4.500% | 07/16/44 | 1,910 | 1,942,239 | ||||||||||||
AXIS Specialty Finance LLC, Gtd. Notes | 5.875% | 06/01/20 | 990 | 1,080,601 | ||||||||||||
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes | 3.125% | 03/15/26 | 1,350 | 1,365,187 | ||||||||||||
Chubb Corp. (The), Gtd. Notes | 3.408% | (c) | 03/29/67 | 1,260 | 1,250,550 | |||||||||||
Hartford Financial Services Group, Inc. (The), Sr. Unsec’d. Notes | 5.125% | 04/15/22 | 635 | 704,886 | ||||||||||||
Liberty Mutual Group, Inc., Gtd. Notes, 144A | 6.500% | 05/01/42 | 215 | 278,358 | ||||||||||||
Liberty Mutual Group, Inc., Gtd. Notes, 144A | 7.000% | 03/15/34 | 910 | 1,161,532 | ||||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 6.300% | 10/09/37 | 701 | 860,955 | ||||||||||||
Markel Corp., Sr. Unsec’d. Notes | 5.000% | 03/30/43 | 165 | 177,185 | ||||||||||||
New York Life Insurance Co., Sub. Notes, 144A | 6.750% | 11/15/39 | 650 | 913,008 | ||||||||||||
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A | 6.063% | 03/30/40 | 350 | 455,280 | ||||||||||||
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A | 6.375% | 04/30/20 | 640 | 700,131 | ||||||||||||
Pacific Life Insurance Co., Sub. Notes, 144A | 9.250% | 06/15/39 | 695 | 1,132,869 | ||||||||||||
Principal Financial Group, Inc., Gtd. Notes | 4.625% | 09/15/42 | 105 | 114,402 | ||||||||||||
Progressive Corp. (The), Sr. Unsec’d. Notes | 3.700% | 01/26/45 | 570 | 554,454 | ||||||||||||
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | 4.270% | 05/15/47 | 1,430 | 1,463,904 | ||||||||||||
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | 6.850% | 12/16/39 | 122 | 167,055 | ||||||||||||
Travelers Cos., Inc. (The), Sr. Unsec’d. Notes | 4.000% | 05/30/47 | 660 | 675,162 | ||||||||||||
Unum Group, Sr. Unsec’d. Notes | 5.625% | 09/15/20 | 315 | 344,635 | ||||||||||||
W.R. Berkley Corp., Sr. Unsec’d. Notes | 6.150% | 08/15/19 | 575 | 620,551 | ||||||||||||
|
| |||||||||||||||
16,482,981 | ||||||||||||||||
|
| |||||||||||||||
Lodging — 0.2% | ||||||||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.000% | 03/01/19 | 490 | 497,492 | ||||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.250% | 09/15/22 | 805 | 823,169 | ||||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 6.750% | 05/15/18 | 2,700 | 2,813,808 | ||||||||||||
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | 2.500% | 03/01/18 | 405 | 406,773 | ||||||||||||
|
| |||||||||||||||
4,541,242 | ||||||||||||||||
|
| |||||||||||||||
Machinery-Diversified — 0.0% | ||||||||||||||||
Xylem, Inc., Sr. Unsec’d. Notes | 4.875% | 10/01/21 | 1,060 | 1,146,674 | ||||||||||||
|
| |||||||||||||||
Media — 0.5% | ||||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.150% | 03/01/37 | 250 | 312,338 | ||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.900% | 08/15/39 | 35 | 46,203 | ||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 7.625% | 11/30/28 | 1,265 | 1,656,101 | ||||||||||||
AMC Networks, Inc., Gtd. Notes | 5.000% | 04/01/24 | 1,225 | 1,254,094 |
SEE NOTES TO FINANCIAL STATEMENTS.
A18
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
Media (continued) | ||||||||||||||||
Cablevision Systems Corp., Sr. Unsec’d. Notes | 8.625% | 09/15/17 | 374 | $ | 378,675 | |||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A | 5.375% | 05/01/25 | 720 | 766,800 | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes | 6.384% | 10/23/35 | 630 | 746,772 | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes | 6.484% | 10/23/45 | 1,000 | 1,200,213 | ||||||||||||
Comcast Cable Holdings LLC, Gtd. Notes | 9.875% | 06/15/22 | 1,440 | 1,819,620 | ||||||||||||
Grupo Televisa SAB (Mexico), Sr. Unsec’d. Notes | 5.000% | 05/13/45 | 500 | 480,989 | ||||||||||||
Historic TW, Inc., Gtd. Notes | 9.150% | 02/01/23 | 625 | 801,699 | ||||||||||||
Myriad International Holdings BV (South Africa), Gtd. Notes | 6.375% | 07/28/17 | 750 | 750,372 | ||||||||||||
Time Warner Cable LLC, Sr. Sec’d. Notes | 5.500% | 09/01/41 | 270 | 290,160 | ||||||||||||
Time Warner, Inc., Gtd. Notes | 3.800% | 02/15/27 | 585 | 588,955 | ||||||||||||
Time Warner, Inc., Gtd. Notes | 6.200% | 03/15/40 | 175 | 209,010 | ||||||||||||
Time Warner, Inc., Gtd. Notes | 6.250% | 03/29/41 | 495 | 604,728 | ||||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 5.250% | 04/01/44 | 340 | 340,483 | ||||||||||||
Videotron Ltd. (Canada), Gtd. Notes | 5.000% | 07/15/22 | 850 | 898,875 | ||||||||||||
|
| |||||||||||||||
13,146,087 | ||||||||||||||||
|
| |||||||||||||||
Mining — 0.1% | ||||||||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes | 5.000% | 09/30/43 | 180 | 208,294 | ||||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A | 6.250% | (c) | 10/19/75 | 315 | 343,350 | |||||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 5.875% | 04/23/45 | 400 | 427,636 | ||||||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 6.750% | 04/16/40 | 300 | 345,536 | ||||||||||||
|
| |||||||||||||||
1,324,816 | ||||||||||||||||
|
| |||||||||||||||
Miscellaneous Manufacturing — 0.0% | ||||||||||||||||
Actuant Corp., Gtd. Notes | 5.625% | 06/15/22 | 1,040 | 1,073,800 | ||||||||||||
|
| |||||||||||||||
Multi-National — 0.2% | ||||||||||||||||
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes | 2.000% | 05/10/19 | 1,065 | 1,067,980 | ||||||||||||
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes | 2.125% | 09/27/21 | 1,195 | 1,188,045 | ||||||||||||
North American Development Bank (Supranational Bank), Sr. Unsec’d. Notes | 2.400% | 10/26/22 | 855 | 836,341 | ||||||||||||
North American Development Bank (Supranational Bank), Sr. Unsec’d. Notes | 4.375% | 02/11/20 | 800 | 845,563 | ||||||||||||
|
| |||||||||||||||
3,937,929 | ||||||||||||||||
|
| |||||||||||||||
Oil & Gas — 0.7% | ||||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 4.677% | (s) | 10/10/36 | 1,000 | 412,285 | |||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.450% | 09/15/36 | 1,040 | 1,224,176 | ||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.600% | 03/15/46 | 195 | 240,831 | ||||||||||||
ConocoPhillips Co., Gtd. Notes | 4.950% | 03/15/26 | 1,280 | 1,425,560 | ||||||||||||
Devon Energy Corp., Sr. Unsec’d. Notes | 5.000% | 06/15/45 | 85 | 85,870 | ||||||||||||
Devon Energy Corp., Sr. Unsec’d. Notes | 5.600% | 07/15/41 | 225 | 233,680 | ||||||||||||
Devon Financing Co. LLC, Gtd. Notes | 7.875% | 09/30/31 | 1,350 | 1,751,856 | ||||||||||||
EOG Resources, Inc., Sr. Unsec’d. Notes | 3.900% | 04/01/35 | 830 | 804,946 | ||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 4.950% | 07/19/22 | 255 | 263,770 | ||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 6.510% | 03/07/22 | 440 | 485,387 | ||||||||||||
Helmerich & Payne International Drilling Co., Gtd. Notes | 4.650% | 03/15/25 | 1,555 | 1,630,631 | ||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A | 3.875% | 04/19/22 | 400 | 395,840 | ||||||||||||
Nabors Industries, Inc., Gtd. Notes | 4.625% | 09/15/21 | 890 | 845,322 | ||||||||||||
Noble Energy, Inc., Sr. Unsec’d. Notes | 5.050% | 11/15/44 | 925 | 949,993 | ||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 5.500% | 01/21/21 | 795 | 833,955 | ||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 6.500% | 06/02/41 | 955 | 948,315 | ||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 8.625% | (c) | 12/01/23 | 350 | 411,250 | |||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes, 144A | 5.375% | 03/13/22 | 330 | 347,407 | ||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes, MTN | 6.875% | 08/04/26 | 1,000 | 1,108,000 | ||||||||||||
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | 6.875% | 05/01/18 | 1,450 | 1,508,078 | ||||||||||||
Raizen Fuels Finance SA (Brazil), Gtd. Notes, 144A | 5.300% | 01/20/27 | 240 | 243,300 | ||||||||||||
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A | 2.500% | 04/28/20 | 1,000 | 1,004,709 | ||||||||||||
|
| |||||||||||||||
17,155,161 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A19
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
Oil & Gas Services — 0.1% | ||||||||||||||||
Schlumberger Holdings Corp., Sr. Unsec’d. Notes, 144A | 4.000% | 12/21/25 | 2,170 | $ | 2,274,796 | |||||||||||
|
| |||||||||||||||
Packaging & Containers — 0.0% | ||||||||||||||||
Ball Corp., Gtd. Notes | 4.375% | 12/15/20 | 465 | 488,250 | ||||||||||||
WestRock RKT Co., Gtd. Notes | 4.900% | 03/01/22 | 675 | 735,631 | ||||||||||||
|
| |||||||||||||||
1,223,881 | ||||||||||||||||
|
| |||||||||||||||
Pharmaceuticals — 0.3% | ||||||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 3.600% | 05/14/25 | 950 | 969,061 | ||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 4.500% | 05/14/35 | 1,595 | 1,682,143 | ||||||||||||
Actavis, Inc., Gtd. Notes | 6.125% | 08/15/19 | 440 | 475,152 | ||||||||||||
Allergan Funding SCS, Gtd. Notes | 3.800% | 03/15/25 | 380 | 393,053 | ||||||||||||
Allergan Funding SCS, Gtd. Notes | 4.550% | 03/15/35 | 1,625 | 1,734,408 | ||||||||||||
Allergan Funding SCS, Gtd. Notes | 4.750% | 03/15/45 | 144 | 155,443 | ||||||||||||
Eli Lilly & Co., Sr. Unsec’d. Notes | 3.100% | 05/15/27 | 815 | 823,011 | ||||||||||||
Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes | 3.150% | 10/01/26 | 460 | 436,852 | ||||||||||||
Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes | 4.100% | 10/01/46 | 145 | 133,557 | ||||||||||||
|
| |||||||||||||||
6,802,680 | ||||||||||||||||
|
| |||||||||||||||
Pipelines — 0.2% | ||||||||||||||||
DCP Midstream Operating LP, Gtd. Notes, 144A | 5.350% | 03/15/20 | 473 | 491,920 | ||||||||||||
Energy Transfer LP, Sr. Unsec’d. Notes | 4.650% | 06/01/21 | 610 | 643,474 | ||||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes | 4.900% | 03/15/35 | 200 | 194,480 | ||||||||||||
Enterprise Products Operating LLC, Gtd. Notes | 3.700% | 02/15/26 | 215 | 218,978 | ||||||||||||
Enterprise Products Operating LLC, Gtd. Notes | 3.750% | 02/15/25 | 1,055 | 1,086,441 | ||||||||||||
Kinder Morgan Energy Partners LP, Gtd. Notes | 5.950% | 02/15/18 | 530 | 543,094 | ||||||||||||
MPLX LP, Sr. Unsec’d. Notes | 4.000% | 02/15/25 | 1,140 | 1,147,759 | ||||||||||||
MPLX LP, Sr. Unsec’d. Notes | 5.200% | 03/01/47 | 25 | 25,747 | ||||||||||||
ONEOK Partners LP, Gtd. Notes | 6.650% | 10/01/36 | 130 | 156,453 | ||||||||||||
Williams Partners LP, Sr. Unsec’d. Notes | 4.900% | 01/15/45 | 1,100 | 1,101,444 | ||||||||||||
|
| |||||||||||||||
5,609,790 | ||||||||||||||||
|
| |||||||||||||||
Real Estate — 0.0% | ||||||||||||||||
Prologis LP, Gtd. Notes | 6.875% | 03/15/20 | 68 | 75,440 | ||||||||||||
|
| |||||||||||||||
Real Estate Investment Trusts (REITs) — 0.0% | ||||||||||||||||
Select Income REIT, Sr. Unsec’d. Notes | 2.850% | 02/01/18 | 550 | 552,285 | ||||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 3.375% | 03/15/22 | 190 | 196,338 | ||||||||||||
|
| |||||||||||||||
748,623 | ||||||||||||||||
|
| |||||||||||||||
Retail — 0.3% | ||||||||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 5.125% | 07/20/45 | 590 | 676,373 | ||||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 5.300% | 12/05/43 | 170 | 195,912 | ||||||||||||
Home Depot, Inc. (The), Sr. Unsec’d. Notes | 4.400% | 03/15/45 | 565 | 618,799 | ||||||||||||
L Brands, Inc., Gtd. Notes | 5.625% | 02/15/22 | 1,000 | 1,070,000 | ||||||||||||
Lowe’s Cos., Inc., Sr. Unsec’d. Notes | 6.500% | 03/15/29 | 116 | 151,232 | ||||||||||||
Macy’s Retail Holdings, Inc., Gtd. Notes(a) | 3.875% | 01/15/22 | 300 | 297,557 | ||||||||||||
McDonald’s Corp., Sr. Unsec’d. Notes, MTN | 3.700% | 01/30/26 | 1,925 | 1,993,570 | ||||||||||||
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes(a) | 5.625% | 12/01/25 | 1,020 | 1,044,225 | ||||||||||||
Target Corp., Sr. Unsec’d. Notes | 3.500% | 07/01/24 | 265 | 274,480 | ||||||||||||
|
| |||||||||||||||
6,322,148 | ||||||||||||||||
|
| |||||||||||||||
Savings & Loans — 0.0% | ||||||||||||||||
People’s United Financial, Inc., Sr. Unsec’d. Notes | 3.650% | 12/06/22 | 1,195 | 1,220,128 | ||||||||||||
|
| |||||||||||||||
Semiconductors — 0.1% | ||||||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd., Gtd. Notes, 144A | 3.875% | 01/15/27 | 1,555 | 1,596,830 | ||||||||||||
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A | 5.750% | 03/15/23 | 1,200 | 1,263,000 | ||||||||||||
|
| |||||||||||||||
2,859,830 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A20
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
Software — 0.2% | ||||||||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 2.850% | 10/15/18 | 1,225 | $ | 1,239,452 | |||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 3.625% | 10/15/20 | 1,640 | 1,717,971 | ||||||||||||
Microsoft Corp., Sr. Unsec’d. Notes | 4.000% | 02/12/55 | 360 | 364,548 | ||||||||||||
Oracle Corp., Sr. Unsec’d. Notes | 4.300% | 07/08/34 | 700 | 759,508 | ||||||||||||
|
| |||||||||||||||
4,081,479 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 0.4% | ||||||||||||||||
AT&T Corp., Gtd. Notes | 8.250% | (c) | 11/15/31 | 10 | 13,890 | |||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 3.400% | 05/15/25 | 3,130 | 3,077,072 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 05/15/35 | 350 | 344,327 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 03/09/48 | 12 | 11,228 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.550% | 03/09/49 | 1,174 | 1,109,402 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.750% | 05/15/46 | 560 | 549,138 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.800% | 06/15/44 | 305 | 302,269 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.150% | 03/15/42 | 520 | 531,020 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.350% | 09/01/40 | 113 | 119,653 | ||||||||||||
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes | 9.125% | (c) | 12/15/30 | 350 | 532,168 | |||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Sr. Sec’d. Notes, 144A | 3.360% | (c) | 03/20/23 | 1,400 | 1,412,250 | |||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.522% | 09/15/48 | 947 | 895,949 | ||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.672% | 03/15/55 | 2,238 | 2,095,189 | ||||||||||||
|
| |||||||||||||||
10,993,555 | ||||||||||||||||
|
| |||||||||||||||
Transportation — 0.1% |
| |||||||||||||||
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | 3.450% | 09/15/21 | 1,180 | 1,230,108 | ||||||||||||
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | 6.700% | 08/01/28 | 735 | 961,804 | ||||||||||||
CSX Corp., Sr. Unsec’d. Notes | 6.150% | 05/01/37 | 690 | 886,956 | ||||||||||||
Norfolk Southern Corp., Sr. Unsec’d. Notes | 5.590% | 05/17/25 | 120 | 136,619 | ||||||||||||
|
| |||||||||||||||
3,215,487 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 283,685,279 | ||||||||||||||
|
| |||||||||||||||
MUNICIPAL BONDS — 0.7% | ||||||||||||||||
Alabama — 0.0% |
| |||||||||||||||
Alabama Economic Settlement Authority, Revenue Bonds, BABs | 4.263% | 09/15/32 | 180 | 189,265 | ||||||||||||
|
| |||||||||||||||
California — 0.2% |
| |||||||||||||||
Bay Area Toll Authority, Revenue Bonds, BABs | 6.263% | 04/01/49 | 1,305 | 1,865,654 | ||||||||||||
California Educational Facilities Authority, Revenue Bonds, BABs | 5.000% | 06/01/46 | 550 | 734,575 | ||||||||||||
Central Puget Sound Regional Transit Authority, Revenue Bonds, BABs | 5.000% | 11/01/46 | 700 | 917,791 | ||||||||||||
State of California, GO, BABs | 7.300% | 10/01/39 | 1,250 | 1,827,887 | ||||||||||||
State of California, GO, BABs | 7.500% | 04/01/34 | 350 | 508,270 | ||||||||||||
State of California, GO, BABs | 7.550% | 04/01/39 | 245 | 373,865 | ||||||||||||
State of California, GO, BABs | 7.625% | 03/01/40 | 205 | 312,330 | ||||||||||||
|
| |||||||||||||||
6,540,372 | ||||||||||||||||
|
| |||||||||||||||
Colorado — 0.0% |
| |||||||||||||||
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs | 5.844% | 11/01/50 | 565 | 760,512 | ||||||||||||
|
| |||||||||||||||
Illinois — 0.1% |
| |||||||||||||||
Chicago O’Hare International Airport, Revenue Bonds, BABs | 6.395% | 01/01/40 | 970 | 1,310,518 | ||||||||||||
|
| |||||||||||||||
New Jersey — 0.1% |
| |||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs | 7.414% | 01/01/40 | 1,000 | 1,502,010 | ||||||||||||
|
| |||||||||||||||
New York — 0.1% |
| |||||||||||||||
New York City Transitional Finance Authority, Revenue Bonds, BABs | 5.767% | 08/01/36 | 1,100 | 1,359,853 | ||||||||||||
|
| |||||||||||||||
Ohio — 0.0% |
| |||||||||||||||
Ohio State University (The), Revenue Bonds, BABs | 4.910% | 06/01/40 | 415 | 499,340 | ||||||||||||
Ohio State Water Development Authority, Revenue Bonds, BABs | 4.879% | 12/01/34 | 275 | 313,294 | ||||||||||||
|
| |||||||||||||||
812,634 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A21
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
MUNICIPAL BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Oregon — 0.0% |
| |||||||||||||
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs | 5.834% | 11/15/34 | 425 | $ | 547,362 | |||||||||
|
| |||||||||||||
Pennsylvania — 0.0% |
| |||||||||||||
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs | 5.511% | 12/01/45 | 505 | 629,599 | ||||||||||
|
| |||||||||||||
Tennessee — 0.1% | ||||||||||||||
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | 6.731% | 07/01/43 | 945 | 1,265,289 | ||||||||||
|
| |||||||||||||
Texas — 0.1% |
| |||||||||||||
University of Texas System (The), Revenue Bonds, Ser. F, Rfdg. | 5.000% | 08/15/47 | 1,100 | 1,443,068 | ||||||||||
|
| |||||||||||||
TOTAL MUNICIPAL BONDS |
| 16,360,482 | ||||||||||||
|
| |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 2.3% | ||||||||||||||
Alternative Loan Trust, Series 2004-18CB, Class 3A1 | 5.250% | 09/25/19 | 133 | 133,344 | ||||||||||
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 | 6.000% | 01/25/36 | 907 | 844,640 | ||||||||||
Banc of America Funding Trust, Series 2015-R4, Class 4A1, 144A | 3.500% | (c) | 07/26/36 | 1,224 | 1,222,130 | |||||||||
Banc of America Mortgage Trust, Series 2005-A, Class 2A1 | 3.475% | (c) | 02/25/35 | 199 | 198,581 | |||||||||
Banc of America Mortgage Trust, Series 2005-B, Class 2A1 | 3.601% | (c) | 03/25/35 | 224 | 217,973 | |||||||||
Bayview Opportunity Master Fund IVb Trust, Series 2016-CRT1, Class M1, 144A | 2.972% | (c) | 10/27/27 | 468 | 468,329 | |||||||||
Bayview Opportunity Master Fund IVb Trust, Series 2017-CRT1, Class M, 144A | 3.372% | (c) | 10/25/28 | 1,017 | 1,018,055 | |||||||||
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5 | 3.445% | (c) | 02/25/37 | 447 | 449,359 | |||||||||
CIM Trust, Series 2017-2, Class A1, 144A | 3.051% | (c) | 12/25/57 | 1,692 | 1,690,931 | |||||||||
CIM Trust, Series 2017-3, Class A3, 144A | 3.051% | (c) | 01/25/57 | 3,604 | 3,656,812 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2016-C02, Class 1M1 | 3.174% | (c) | 09/25/28 | 791 | 802,305 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2016-C03, Class 2M1 | 3.416% | (c) | 10/25/28 | 1,087 | 1,102,373 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2016-C04, Class 1M1 | 2.666% | (c) | 01/25/29 | 1,269 | 1,284,705 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2017-C01, Class 1M2 | 4.766% | (c) | 07/25/29 | 570 | 601,948 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2 | 4.216% | (c) | 10/25/29 | 870 | 893,443 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1 | 2.116% | (c) | 10/25/27 | 2,429 | 2,432,012 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1 | 2.666% | (c) | 07/25/28 | 1,229 | 1,234,790 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M2 | 2.516% | (c) | 03/25/29 | 1,040 | 1,051,735 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2 | 3.466% | (c) | 11/25/28 | 1,200 | 1,233,136 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-DNA1, Class M1 | 2.416% | (c) | 07/25/29 | 2,247 | 2,276,616 | |||||||||
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1 | 3.454% | (c) | 07/25/35 | 222 | 222,414 | |||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-3, Class A, 144A | 3.051% | (c) | 09/01/21 | 1,281 | 1,281,195 | |||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2017-1, Class A, 144A^ | 2.995% | (c) | 01/01/22 | 2,220 | 2,214,782 | |||||||||
LSTAR Securities Investment Ltd., Series 2017-3, Class A1, 144A | 2.995% | (c) | 04/01/22 | 2,288 | 2,311,479 | |||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2017-4, Class A, 144A | 3.017% | (c) | 05/01/22 | 10,542 | 10,440,636 | |||||||||
LSTAR Securities Investment Ltd., Series 2017-5, Class A, 144A | 3.017% | (c) | 05/01/22 | 7,457 | 7,379,590 | |||||||||
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | 5.000% | 04/25/19 | 21 | 21,219 | ||||||||||
Mortgage Repurchase Agreement Financing Trust, Series 2016-4, Class A1, 144A^ | 2.317% | (c) | 05/10/19 | 7,380 | 7,380,000 | |||||||||
Mortgage Repurchase Agreement Financing Trust, Series 2016-5, Class A, 144A | 2.287% | (c) | 06/10/19 | 1,300 | 1,297,826 | |||||||||
Mortgage Repurchase Agreement Financing Trust, Series 2017-1, Class A2, 144A | 1.967% | (c) | 07/10/19 | 1,950 | 1,950,819 |
SEE NOTES TO FINANCIAL STATEMENTS.
A22
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 3.396% | (c) | 02/25/34 | 290 | $ | 291,604 | ||||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | 5.000% | 03/25/20 | 74 | 74,420 | ||||||||||
|
| |||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 57,679,201 | ||||||||||||
|
| |||||||||||||
SOVEREIGN BONDS — 1.1% | ||||||||||||||
Belgium Government International Bond (Belgium), Sr. Unsec’d. Notes, 144A, EMTN | 1.125% | 08/03/19 | 1,200 | 1,186,944 | ||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | 4.000% | 02/26/24 | 220 | 228,360 | ||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | 4.375% | 07/12/21 | 400 | 425,600 | ||||||||||
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes | 5.125% | 06/29/20 | 265 | 285,218 | ||||||||||
Finnvera OYJ (Finland), Gov’t. Gtd. Notes, 144A, MTN | 2.375% | 06/04/25 | 400 | 388,728 | ||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 4.000% | 03/25/19 | 392 | 404,690 | ||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 6.375% | 03/29/21 | 1,760 | 1,979,120 | ||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 7.625% | 03/29/41 | 688 | 1,025,120 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A, MTN | 5.875% | 01/15/24 | 750 | 854,874 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, MTN | 5.875% | 01/15/24 | 750 | 805,506 | ||||||||||
Japan Bank for International Cooperation (Japan), Gov’t. Gtd. Notes | 1.500% | 07/21/21 | 600 | 580,177 | ||||||||||
Japan Bank for International Cooperation (Japan), Gov’t. Gtd. Notes | 2.125% | 06/01/20 | 1,000 | 999,886 | ||||||||||
Japan Bank for International Cooperation (Japan), Gov’t. Gtd. Notes | 2.250% | 02/24/20 | 600 | 602,594 | ||||||||||
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN | 2.125% | 04/13/21 | 600 | 591,137 | ||||||||||
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN | 2.125% | 10/25/23 | 1,000 | 967,920 | ||||||||||
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN | 2.625% | 04/20/22 | 1,400 | 1,401,889 | ||||||||||
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A | 1.125% | 05/23/18 | 2,634 | 2,626,111 | ||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes | 4.000% | 10/02/23 | 438 | 458,104 | ||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN | 4.750% | 03/08/44 | 766 | 766,766 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 3.750% | 03/16/25 | 490 | 504,700 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 4.000% | 09/22/24 | 395 | 414,750 | ||||||||||
Province of Ontario (Canada), Sr. Unsec’d. Notes | 2.250% | 05/18/22 | 575 | 574,677 | ||||||||||
Province of Ontario (Canada), Sr. Unsec’d. Notes | 2.400% | 02/08/22 | 285 | 287,199 | ||||||||||
Province of Ontario (Canada), Sr. Unsec’d. Notes | 4.400% | 04/14/20 | 280 | 298,621 | ||||||||||
Province of Quebec (Canada), Sr. Unsec’d. Notes | 2.750% | 04/12/27 | 2,110 | 2,100,706 | ||||||||||
Saudi Government International Bond (Saudi Arabia), Sr. Unsec’d. Notes, 144A, MTN | 2.375% | 10/26/21 | 980 | 964,320 | ||||||||||
Svensk Exportkredit AB (Sweden), Sr. Unsec’d. Notes, GMTN | 1.750% | 03/10/21 | 2,385 | 2,370,933 | ||||||||||
Tokyo Metropolitan Government (Japan), Sr. Unsec’d. Notes, 144A | 2.500% | 06/08/22 | 1,200 | 1,202,363 | ||||||||||
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes | 7.000% | 06/05/20 | 1,260 | 1,377,722 | ||||||||||
Uruguay Government International Bond (Uruguay), Sr. Unsec’d. Notes | 5.100% | 06/18/50 | 490 | 498,820 | ||||||||||
|
| |||||||||||||
TOTAL SOVEREIGN BONDS |
| 27,173,555 | ||||||||||||
|
| |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 10.0% | ||||||||||||||
Federal Home Loan Banks(k) | 5.500% | 07/15/36 | 850 | 1,150,474 | ||||||||||
Federal Home Loan Mortgage Corp. | 1.500% | 01/17/20 | 1,260 | 1,258,942 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.500% | 03/01/30 | 744 | 749,469 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | TBA | 1,500 | 1,496,719 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 10/01/28 | 646 | 665,219 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 06/01/29 | 1,190 | 1,224,190 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 06/01/42 | 492 | 493,517 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 10/01/42 | 1,142 | 1,146,183 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 01/01/43 | 1,033 | 1,036,635 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 07/01/43 | 2,710 | 2,715,991 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 12/01/44 | 1,216 | 1,219,060 |
SEE NOTES TO FINANCIAL STATEMENTS.
A23
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 03/01/45 | 944 | $ | 947,403 | |||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 03/01/45 | 1,141 | 1,142,993 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 04/01/45 | 928 | 932,011 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | TBA | 9,500 | 9,759,511 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 08/01/26 | 849 | 888,806 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 06/01/42 | 497 | 513,264 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | TBA | 8,000 | 8,413,530 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 06/01/26 | 819 | 860,463 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 09/01/26 | 298 | 313,041 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 10/01/39 | 828 | 873,811 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 12/01/40 | 572 | 604,256 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 10/01/41 | 697 | 739,249 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 01/01/42 | 214 | 226,056 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 02/01/19 | 15 | 15,430 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 07/01/19 | 119 | 121,386 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 07/01/20 | 75 | 76,942 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 02/01/39 | 134 | 144,348 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 09/01/39 | 220 | 236,572 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 10/01/39 | 1,997 | 2,147,666 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 12/01/39 | 194 | 208,331 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 07/01/41 | 319 | 343,336 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 07/01/41 | 2,416 | 2,598,083 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 08/01/41 | 793 | 852,894 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 08/01/41 | 241 | 258,118 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 08/01/41 | 172 | 184,399 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 10/01/41 | 303 | 324,797 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/18 | 55 | 56,548 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 12/01/18 | 32 | 33,057 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/19 | 82 | 84,558 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/19 | 88 | 90,504 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 12/01/19 | 17 | 17,664 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 05/01/34 | 24 | 25,682 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 05/01/34 | 446 | 487,251 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 10/01/35 | 10 | 11,473 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/37 | 726 | 794,510 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 05/01/39 | 99 | 109,024 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 12/01/33 | 56 | 62,080 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 01/01/34 | 58 | 64,617 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 06/01/34 | 104 | 115,965 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 07/01/34 | 282 | 313,389 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 05/01/37 | 84 | 94,238 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 02/01/38 | 649 | 719,733 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 05/01/38 | 71 | 79,017 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 07/01/38 | 171 | 190,388 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 03/01/32 | 326 | 373,107 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 12/01/33 | 108 | 120,941 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 11/01/36 | 83 | 93,164 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 01/01/37 | 70 | 79,316 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 05/01/37 | 40 | 45,281 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 02/01/38 | 7 | 7,674 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 08/01/39 | 85 | 95,120 | ||||||||||
Federal Home Loan Mortgage Corp.(hh) | 6.750% | 03/15/31 | 550 | 795,745 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 05/01/31 | 17 | 17,989 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 06/01/31 | 15 | 15,818 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 06/01/31 | 11 | 11,803 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 08/01/31 | 159 | 177,570 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 10/01/31 | 7 | 7,662 | ||||||||||
Federal National Mortgage Assoc. | 1.875% | 09/24/26 | 150 | 142,222 | ||||||||||
Federal National Mortgage Assoc. | 2.000% | 08/01/31 | 1,126 | 1,102,150 |
SEE NOTES TO FINANCIAL STATEMENTS.
A24
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Federal National Mortgage Assoc. | 2.500% | TBA | 2,000 | $ | 2,007,700 | |||||||||
Federal National Mortgage Assoc. | 2.500% | 01/01/28 | 1,141 | 1,154,605 | ||||||||||
Federal National Mortgage Assoc. | 2.500% | 10/01/43 | 836 | 809,961 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | TBA | 500 | 512,617 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 02/01/27 | 2,543 | 2,617,361 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 08/01/30 | 1,618 | 1,661,286 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 02/01/31 | 3,424 | 3,517,075 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 05/01/31 | 2,119 | 2,176,757 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 11/01/36 | 2,855 | 2,899,273 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 12/01/42 | 2,266 | 2,275,145 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 04/01/43 | 7,008 | 7,037,217 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 07/01/43 | 1,679 | 1,685,462 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 08/01/43 | 4,548 | 4,566,446 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 8,500 | 8,730,098 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 4,000 | 4,101,371 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 07/01/27 | 1,869 | 1,948,451 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 06/01/39 | 731 | 755,296 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 01/01/42 | 5,839 | 6,024,508 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 05/01/42 | 3,164 | 3,264,627 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 07/01/42 | 1,161 | 1,198,401 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 08/01/42 | 473 | 487,356 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 08/01/42 | 1,433 | 1,477,908 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 09/01/42 | 2,249 | 2,319,579 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 09/01/42 | 583 | 601,367 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 11/01/42 | 426 | 439,495 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 03/01/43 | 3,501 | 3,615,866 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 04/01/43 | 813 | 838,685 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 04/01/43 | 1,244 | 1,282,122 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 01/01/46 | 2,500 | 2,569,363 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | TBA | 9,750 | 10,249,306 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | TBA | 14,500 | 15,217,353 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 10/01/41 | 3,342 | 3,526,108 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 09/01/44 | 3,785 | 3,981,152 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | TBA | 2,500 | 2,681,738 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 11/01/18 | 74 | 75,449 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 01/01/19 | 45 | 46,385 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 01/01/19 | 56 | 57,653 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 06/01/19 | 15 | 15,743 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 07/01/33 | 78 | 84,276 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 08/01/33 | 70 | 75,348 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 09/01/33 | 162 | 174,319 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 10/01/33 | 185 | 198,788 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 10/01/33 | 15 | 15,820 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 10/01/33 | 43 | 47,243 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 01/01/35 | 2 | 2,158 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 07/01/39 | 1,262 | 1,369,635 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 08/01/39 | 1,980 | 2,148,668 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 03/01/41 | 696 | 755,186 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | TBA | 6,500 | 7,100,235 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 10/01/18 | 19 | 19,837 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 01/01/19 | 68 | 69,818 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 03/01/34 | 365 | 399,213 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 06/01/35 | 136 | 149,199 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 07/01/35 | 183 | 200,051 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 09/01/35 | 123 | 136,143 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 11/01/35 | 120 | 132,218 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 02/01/36 | 173 | 189,700 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 05/01/36 | 88 | 96,188 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 12/01/17 | 6 | 5,891 |
SEE NOTES TO FINANCIAL STATEMENTS.
A25
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 02/01/18 | 4 | $ | 3,932 | |||||||||
Federal National Mortgage Assoc. | 5.500% | 05/01/20 | 36 | 37,485 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 05/01/21 | 92 | 96,505 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 09/01/33 | 415 | 464,992 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 10/01/33 | 117 | 131,754 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 12/01/33 | 71 | 79,984 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 01/01/34 | 2 | 2,123 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 12/01/34 | 275 | 306,663 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 10/01/35 | 1,031 | 1,147,442 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 03/01/36 | 175 | 194,309 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 05/01/36 | 171 | 191,469 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 04/01/37 | 158 | 175,924 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 09/01/17 | — | (r) | 302 | |||||||||
Federal National Mortgage Assoc. | 6.000% | 05/01/21 | 71 | 74,504 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 08/01/22 | 64 | 67,686 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 04/01/33 | 27 | 30,433 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 06/01/33 | 7 | 7,798 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 10/01/33 | 507 | 585,530 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/33 | 8 | 9,461 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/33 | 75 | 84,351 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/33 | 28 | 31,982 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 01/01/34 | 481 | 548,850 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/34 | 101 | 115,704 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 03/01/34 | 96 | 107,920 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 03/01/34 | 43 | 47,916 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 07/01/34 | 247 | 281,284 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 08/01/34 | 1 | 880 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 10/01/34 | 5 | 5,563 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/34 | 6 | 7,177 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/34 | 57 | 64,532 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 12/01/34 | 25 | 27,957 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 01/01/35 | 95 | 108,580 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 01/01/35 | 320 | 366,060 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/35 | 6 | 6,620 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/35 | 83 | 93,290 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/35 | 347 | 400,685 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 03/01/35 | 4 | 4,366 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 04/01/35 | 1 | 1,522 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 07/01/36 | 65 | 74,223 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/37 | 117 | 133,641 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 05/01/37 | 44 | 49,945 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 06/01/37 | 1 | 1,356 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 08/01/37 | 28 | 31,314 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 08/01/37 | — | (r) | 342 | |||||||||
Federal National Mortgage Assoc. | 6.000% | 09/01/37 | 1 | 942 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 10/01/37 | 48 | 54,079 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 05/01/38 | 109 | 123,697 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 06/01/38 | 3 | 3,474 | ||||||||||
Federal National Mortgage Assoc.(k) | 6.250% | 05/15/29 | 1,245 | 1,689,416 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/17 | — | (r) | 82 | |||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/17 | 1 | 1,016 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/32 | 61 | 67,673 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/32 | 2 | 2,674 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 11 | 12,356 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 77 | 84,751 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 15 | 16,634 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 101 | 112,865 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 72 | 80,290 | �� | |||||||||
Federal National Mortgage Assoc. | 6.500% | 04/01/33 | 137 | 153,935 |
SEE NOTES TO FINANCIAL STATEMENTS.
A26
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 11/01/33 | 74 | $ | 81,895 | |||||||||
Federal National Mortgage Assoc. | 6.500% | 01/01/34 | 61 | 68,491 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/34 | 95 | 105,469 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 10/01/34 | 214 | 239,701 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/36 | 102 | 117,397 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 10/01/36 | 35 | 39,641 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 11/01/36 | 45 | 49,453 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 01/01/37 | 119 | 132,794 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 01/01/37 | 42 | 46,693 | ||||||||||
Federal National Mortgage Assoc.(hh) | 6.625% | 11/15/30 | 480 | 686,238 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 02/01/32 | 40 | 45,307 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 03/01/32 | 3 | 2,838 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 05/01/32 | 21 | 24,760 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 06/01/32 | 23 | 25,763 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 07/01/32 | 64 | 71,720 | ||||||||||
Federal National Mortgage Assoc.(hh)(k) | 7.125% | 01/15/30 | 3,195 | 4,663,780 | ||||||||||
Federal National Mortgage Assoc. | 7.500% | 05/01/32 | 18 | 17,787 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 12/20/44 | 472 | 477,739 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 03/15/45 | 1,477 | 1,494,278 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 03/20/46 | 2,966 | 2,999,387 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 07/20/46 | 992 | 1,002,867 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 08/20/46 | 1,983 | 2,005,202 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 11/20/46 | 992 | 1,003,321 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 01/20/47 | 498 | 503,092 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 04/20/47 | 4,984 | 5,039,269 | ||||||||||
Government National Mortgage Assoc. | 3.500% | TBA | 11,500 | 11,911,484 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 12/20/42 | 1,911 | 1,987,743 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 05/20/43 | 591 | 615,237 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 04/20/45 | 2,829 | 2,933,152 | ||||||||||
Government National Mortgage Assoc. | 4.000% | TBA | 6,000 | 6,313,594 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 06/15/40 | 133 | 140,100 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 05/20/41 | 107 | 113,920 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 12/20/42 | 951 | 1,005,725 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 12/20/45 | 3,025 | 3,185,618 | ||||||||||
Government National Mortgage Assoc. | 4.500% | TBA | 1,000 | 1,071,445 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 04/15/40 | 1,015 | 1,091,712 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 01/20/41 | 766 | 822,969 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 02/20/41 | 1,293 | 1,389,469 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 03/20/41 | 652 | 701,047 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 06/20/44 | 999 | 1,062,250 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 10/20/37 | 182 | 200,420 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 04/20/45 | 1,058 | 1,137,230 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 08/15/33 | 269 | 299,305 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 08/15/33 | 302 | 337,092 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 09/15/33 | 87 | 96,474 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 12/15/33 | 47 | 52,641 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 03/15/34 | 202 | 226,247 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 12/15/34 | 443 | 504,554 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 07/15/35 | 102 | 115,365 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 04/15/36 | 170 | 191,721 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 11/15/23 | 1 | 649 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 05/15/32 | 1 | 626 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 04/15/33 | 13 | 15,314 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 12/15/33 | 156 | 177,244 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 01/15/34 | 64 | 71,727 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 01/15/34 | 86 | 98,163 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 01/15/34 | 42 | 47,042 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 06/20/34 | 161 | 182,555 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 07/15/34 | 116 | 132,319 |
SEE NOTES TO FINANCIAL STATEMENTS.
A27
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Government National Mortgage Assoc. | 6.500% | 10/15/23 | 1 | $ | 1,466 | |||||||||
Government National Mortgage Assoc. | 6.500% | 12/15/23 | 7 | 7,245 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 24 | 25,786 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 78 | 85,449 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 22 | 23,541 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 50 | 54,210 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | — | (r) | 188 | |||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 2 | 2,196 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 1 | 1,143 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 4 | 4,764 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 15 | 15,874 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 2 | 2,229 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 10 | 10,700 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 23 | 25,654 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 28 | 31,026 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 7 | 8,154 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 7 | 7,434 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 4 | 4,222 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 03/15/24 | 3 | 2,852 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 03/15/24 | 5 | 5,334 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 03/15/24 | 5 | 5,116 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 2 | 1,979 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 1 | 1,062 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 6 | 6,492 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 4 | 3,890 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 9 | 9,651 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 20 | 21,655 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 5 | 4,989 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 3 | 3,488 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 05/15/24 | 5 | 5,573 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 05/15/24 | 8 | 8,682 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 05/15/24 | 35 | 38,167 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 10/15/24 | 31 | 34,914 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 11/15/28 | 7 | 8,388 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/31 | 8 | 8,833 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 12/15/31 | 14 | 15,919 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/32 | 29 | 31,275 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/32 | 55 | 62,291 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 06/15/32 | 26 | 28,060 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 07/15/32 | 51 | 56,300 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 8 | 9,124 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 10 | 10,758 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 8 | 9,590 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 36 | 39,268 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 253 | 297,571 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/34 | 28 | 31,705 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 06/15/35 | 53 | 61,675 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 09/15/36 | 63 | 73,926 | ||||||||||
Government National Mortgage Assoc. | 8.000% | 01/15/24 | 11 | 11,568 | ||||||||||
Government National Mortgage Assoc. | 8.000% | 07/15/24 | 1 | 840 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 2.578% | 06/30/22 | 2,835 | 2,903,545 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 3.000% | 06/30/25 | 915 | 956,916 | ||||||||||
Iraq Government, USAID Bond, U.S. Gov’t. Gtd. Notes | 2.149% | 01/18/22 | 1,000 | 999,148 | ||||||||||
Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes | 5.500% | 04/26/24 | 500 | 596,893 | ||||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 2.804% | (s) | 01/15/30 | 870 | 598,732 | |||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 2.962% | (s) | 04/15/30 | 1,705 | 1,163,468 | |||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 2.875% | 02/01/27 | 300 | 307,033 | ||||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 7.125% | 05/01/30 | 510 | 738,835 | ||||||||||
Ukraine Government, USAID Bonds, U.S. Gov’t. Gtd. Notes | 1.471% | 09/29/21 | 600 | 586,646 | ||||||||||
|
| |||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 252,973,281 | ||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A28
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
U.S. TREASURY OBLIGATIONS — 4.2% | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
U.S. Treasury Bonds | 3.000% | 11/15/44 | 190 | $ | 196,056 | |||||||||||
U.S. Treasury Bonds | 3.000% | 02/15/47 | 4,295 | 4,430,559 | ||||||||||||
U.S. Treasury Bonds | 4.250% | 11/15/40 | 9,110 | 11,448,000 | ||||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 0.125% | 04/15/22 | 2,679 | 2,666,499 | ||||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 0.250% | 01/15/25 | 35,500 | 34,869,627 | ||||||||||||
U.S. Treasury Notes | 2.125% | 06/30/21 | 10,510 | 10,661,081 | ||||||||||||
U.S. Treasury Notes | 2.125% | 09/30/21 | 24,530 | 24,864,418 | ||||||||||||
U.S. Treasury Notes | 2.125% | 05/15/25 | 7,665 | 7,616,795 | ||||||||||||
U.S. Treasury Strips Coupon | 2.184% | (s) | 02/15/28 | 2,115 | 1,625,843 | |||||||||||
U.S. Treasury Strips Coupon | 2.241% | (s) | 05/15/28 | 1,055 | 804,894 | |||||||||||
U.S. Treasury Strips Coupon | 2.280% | (s) | 02/15/29 | 1,055 | 787,007 | |||||||||||
U.S. Treasury Strips Coupon | 2.384% | (s) | 05/15/29 | 2,175 | 1,610,013 | |||||||||||
U.S. Treasury Strips Coupon | 2.519% | (s) | 08/15/25 | 1,930 | 1,602,824 | |||||||||||
U.S. Treasury Strips Coupon | 2.783% | (s) | 08/15/29 | 1,000 | 734,692 | |||||||||||
U.S. Treasury Strips Coupon | 2.878% | (s) | 05/15/31 | 1,000 | 694,299 | |||||||||||
U.S. Treasury Strips Coupon | 3.042% | (s) | 11/15/35 | 2,000 | 1,207,112 | |||||||||||
U.S. Treasury Strips Coupon | 3.202% | (s) | 08/15/40 | 2,000 | 1,023,614 | |||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 106,843,333 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 2,251,482,594 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
SHORT-TERM INVESTMENTS — 16.5% | ||||||||||||||||
AFFILIATED MUTUAL FUNDS — 16.4% |
| |||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(w) |
| 10,890,115 | 101,169,171 | |||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w) |
| 261,257,676 | 261,257,676 | |||||||||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund |
| 51,946,289 | 51,951,483 | |||||||||||||
|
| |||||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 414,378,330 | ||||||||||||||
|
| |||||||||||||||
Notional Amount (000)# | ||||||||||||||||
OPTIONS PURCHASED* — 0.0% | ||||||||||||||||
Call Options |
| |||||||||||||||
10 Year U.S. Treasury Notes Futures | ||||||||||||||||
expiring 07/21/17, |
| 294 | 22,969 | |||||||||||||
expiring 07/21/17, |
| 294 | — | |||||||||||||
|
| |||||||||||||||
TOTAL OPTIONS PURCHASED |
| 22,969 | ||||||||||||||
|
| |||||||||||||||
Principal Amount (000)# | ||||||||||||||||
U.S. TREASURY OBLIGATION — 0.1% | ||||||||||||||||
U.S. Treasury Bills(k) | 0.979% | (n) | 09/21/17 | 1,595 | 1,591,550 | |||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 415,992,849 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS, BEFORE OPTION WRITTEN — 105.7% |
| 2,667,475,443 | ||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A29
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
OPTION WRITTEN* — (0.0%) | Notional Amount (000)# | Value | ||||||||||
Call Option |
| |||||||||||
10 Year U.S. Treasury Notes Futures, expiring 07/21/17, Strike Price $128.50 | 588 | $ | (9,188 | ) | ||||||||
|
| |||||||||||
TOTAL INVESTMENTS, NET OF OPTION WRITTEN — 105.7% |
| 2,667,466,255 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (5.7)% |
| (143,678,856 | ) | |||||||||
|
| |||||||||||
NET ASSETS — 100.0% |
| $ | 2,523,787,399 | |||||||||
|
|
See the Glossary for abbreviations used in the semiannual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
^ | Indicates a Level 3 security. The aggregate value of Level 3 securities is $13,419,694 and 0.5% of net assets. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $50,814,596; cash collateral of $51,896,201 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2017. |
(f) | Indicates a restricted security; the aggregate original cost of such securities is $1,585,580. The aggregate value, $1,592,372, is 0.1% of net assets. |
(g) | Indicates a security that has been deemed illiquid; the aggregate value of $4,841,752 is 0.2% of net assets. |
(hh) | Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements. |
(i) | Represents issuer in default on interest payments and/or principal repayment; non-income producing security. Such securities may be post maturity. |
(k) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(n) | Rate shown reflects yield to maturity at purchase date. |
(p) | Interest rate not available as of June 30, 2017. |
(r) | Less than $500 par. |
(s) | Represents zero coupon or step bond. Rate quoted represents yield to maturity at purchase date. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund, Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2017:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2017 | Unrealized Appreciation (Depreciation) | |||||||||||||||
Long Positions: | ||||||||||||||||||||
153 | 2 Year U.S. Treasury Notes | Sep. 2017 | $ | 33,088,342 | $ | 33,064,734 | $ | (23,608 | ) | |||||||||||
1,007 | 5 Year U.S. Treasury Notes | Sep. 2017 | 118,981,816 | 118,660,789 | (321,027 | ) | ||||||||||||||
128 | 10 Year U.S. Treasury Notes | Sep. 2017 | 16,155,201 | 16,068,000 | (87,201 | ) | ||||||||||||||
35 | 10 Year U.S. Ultra Treasury Bonds | Sep. 2017 | 4,744,163 | 4,718,438 | (25,725 | ) | ||||||||||||||
399 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2017 | 64,963,737 | 66,184,125 | 1,220,388 | |||||||||||||||
14 | Mini MSCI EAFE Index | Sep. 2017 | 1,318,520 | 1,322,720 | 4,200 | |||||||||||||||
119 | S&P 500 E-Mini Index | Sep. 2017 | 14,442,668 | 14,404,355 | (38,313 | ) | ||||||||||||||
25 | S&P 500 Index | Sep. 2017 | 15,163,599 | 15,130,625 | (32,974 | ) | ||||||||||||||
|
| |||||||||||||||||||
695,740 | ||||||||||||||||||||
|
| |||||||||||||||||||
Short Position: | ||||||||||||||||||||
372 | 20 Year U.S. Treasury Bonds | Sep. 2017 | 56,884,776 | 57,171,750 | (286,974 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 408,766 | |||||||||||||||||||
|
|
Securities with a combined market value of $1,930,358 and $1,591,550 have been segregated with Citigroup Global Markets and Goldman Sachs & Co., respectively, to cover requirements for open futures contracts at June 30, 2017.
SEE NOTES TO FINANCIAL STATEMENTS.
A30
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Interest rate swap agreements outstanding at June 30, 2017:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2017 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally cleared swap agreements: | ||||||||||||||||||||||||
115,305 | 09/09/17 | 0.539% | 1 Day USOIS(1) | $ | 404 | $ | 274,937 | $ | 274,533 | |||||||||||||||
94,515 | 10/18/17 | 0.607% | 1 Day USOIS(1) | 235 | 237,432 | 237,197 | ||||||||||||||||||
52,530 | 11/09/17 | 0.626% | 1 Day USOIS(1) | 268 | 147,403 | 147,135 | ||||||||||||||||||
5,720 | 11/30/21 | 1.762% | 3 Month LIBOR(2) | — | (37,613 | ) | (37,613 | ) | ||||||||||||||||
2,080 | 05/31/23 | 1.203% | 3 Month LIBOR(1) | 162 | 95,710 | 95,548 | ||||||||||||||||||
1,785 | 05/31/23 | 1.399% | 3 Month LIBOR(1) | (32,437 | ) | 62,215 | 94,652 | |||||||||||||||||
5,865 | 08/15/23 | 1.459% | 3 Month LIBOR(1) | 278,383 | 173,816 | (104,567 | ) | |||||||||||||||||
5,592 | 11/15/23 | 2.209% | 3 Month LIBOR(1) | 134 | (58,145 | ) | (58,279 | ) | ||||||||||||||||
3,280 | 02/15/24 | 2.115% | 3 Month LIBOR(1) | 8,180 | (7,467 | ) | (15,647 | ) | ||||||||||||||||
6,597 | 02/15/24 | 2.151% | 3 Month LIBOR(1) | (6,804 | ) | (29,810 | ) | (23,006 | ) | |||||||||||||||
3,525 | 02/15/24 | 2.183% | 3 Month LIBOR(1) | (7,019 | ) | (23,099 | ) | (16,080 | ) | |||||||||||||||
5,570 | 09/04/25 | 2.214% | 3 Month LIBOR(1) | 190 | (51,097 | ) | (51,287 | ) | ||||||||||||||||
22,150 | 01/08/26 | 2.210% | 3 Month LIBOR(1) | 238 | (200,466 | ) | (200,704 | ) | ||||||||||||||||
140 | 05/15/26 | 1.652% | 3 Month LIBOR(1) | 6 | 6,345 | 6,339 | ||||||||||||||||||
4,623 | 02/15/27 | 1.824% | 1 Day USOIS(1) | 42,083 | 64,946 | 22,863 | ||||||||||||||||||
5,885 | 02/15/36 | 2.338% | 3 Month LIBOR(2) | (36,570 | ) | (149,235 | ) | (112,665 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 247,453 | $ | 505,872 | $ | 258,419 | |||||||||||||||||||
|
|
|
|
|
|
Securities with a combined market value of $1,874,606 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate swap contracts at June 30, 2017.
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Fair value measurements:
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— | unadjusted 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, 2017 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 1,189,352,783 | $ | 48,301,165 | $ | — | ||||||
Preferred Stocks | 1,342,500 | 466,821 | — | |||||||||
Rights | 548 | — | — | |||||||||
Unaffiliated Exchange Traded Funds | 491,217 | — | — | |||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | — | 38,003,801 | 1,699,912 | |||||||||
Collateralized Loan Obligations | — | 42,910,752 | — | |||||||||
Consumer Loans | — | 10,128,479 | — | |||||||||
Credit Cards | — | 15,251,230 | — | |||||||||
Equipment | — | 2,505,525 | — | |||||||||
Home Equity Loans | — | 4,158,875 | — | |||||||||
Other | — | 1,345,156 | — | |||||||||
Residential Mortgage-Backed Securities | — | 7,702,783 | 2,125,000 | |||||||||
Bank Loans | — | 1,439,961 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 139,540,955 | — | |||||||||
Corporate Bonds | — | 283,685,279 | — | |||||||||
Municipal Bonds | — | 16,360,482 | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A31
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Residential Mortgage-Backed Securities | $ | — | $ | 48,084,419 | $ | 9,594,782 | ||||||
Sovereign Bonds | — | 27,173,555 | — | |||||||||
U.S. Government Agency Obligations | — | 252,973,281 | — | |||||||||
U.S. Treasury Obligations | — | 108,434,883 | — | |||||||||
Affiliated Mutual Funds | 414,378,330 | — | — | |||||||||
Options Purchased | 22,969 | — | — | |||||||||
Option Written | (9,188 | ) | — | — | ||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 408,766 | — | — | |||||||||
Centrally Cleared Interest Rate Swap Agreements | — | 258,419 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,605,987,925 | $ | 1,048,725,821 | $ | 13,419,694 | ||||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.
Industry classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:
Affiliated Mutual Funds (including 2.1% of collateral for securities on load) | 16.4 | % | ||
U.S. Government Agency Obligations | 10.0 | |||
Banks | 6.3 | |||
Commercial Mortgage-Backed Securities | 5.5 | |||
U.S. Treasury Obligations | 4.3 | |||
Pharmaceuticals | 2.9 | |||
Residential Mortgage-Backed Securities | 2.7 | |||
Oil, Gas & Consumable Fuels | 2.5 | |||
Software | 2.5 | |||
Internet Software & Services | 2.2 | |||
Insurance | 2.0 | |||
Technology Hardware, Storage & Peripherals | 2.0 | |||
Media | 1.9 | |||
Automobiles | 1.9 | |||
IT Services | 1.8 | |||
Collateralized Loan Obligations | 1.7 | |||
Semiconductors & Semiconductor Equipment | 1.6 | |||
Biotechnology | 1.5 | |||
Capital Markets | 1.5 | |||
Equity Real Estate Investment Trusts (REITs) | 1.4 | |||
Health Care Providers & Services | 1.4 | |||
Health Care Equipment & Supplies | 1.4 | |||
Chemicals | 1.3 | |||
Internet & Direct Marketing Retail | 1.3 | |||
Diversified Financial Services | 1.2 | |||
Industrial Conglomerates | 1.1 | |||
Aerospace & Defense | 1.1 | |||
Beverages | 1.1 | |||
Specialty Retail | 1.1 | |||
Sovereign Bonds | 1.1 | |||
Diversified Telecommunication Services | 1.1 | |||
Electric Utilities | 1.0 | |||
Food & Staples Retailing | 0.9 | |||
Tobacco | 0.9 | |||
Hotels, Restaurants & Leisure | 0.9 | |||
Electric | 0.8 |
Household Products | 0.8 | % | ||
Machinery | 0.8 | |||
Food Products | 0.7 | |||
Oil & Gas | 0.7 | |||
Municipal Bonds | 0.7 | |||
Credit Cards | 0.6 | |||
Airlines | 0.5 | |||
Multi-Utilities | 0.5 | |||
Communications Equipment | 0.5 | |||
Road & Rail | 0.5 | |||
Telecommunications | 0.4 | |||
Energy Equipment & Services | 0.4 | |||
Computers | 0.4 | |||
Consumer Loans | 0.4 | |||
Healthcare-Products | 0.4 | |||
Textiles, Apparel & Luxury Goods | 0.4 | |||
Auto Manufacturers | 0.4 | |||
Consumer Finance | 0.3 | |||
Life Sciences Tools & Services | 0.3 | |||
Air Freight & Logistics | 0.3 | |||
Healthcare-Services | 0.3 | |||
Electrical Equipment | 0.3 | |||
Household Durables | 0.3 | |||
Retail | 0.3 | |||
Electronic Equipment, Instruments & Components | 0.2 | |||
Pipelines | 0.2 | |||
Multiline Retail | 0.2 | |||
Lodging | 0.2 | |||
Agriculture | 0.2 | |||
Professional Services | 0.2 | |||
Building Products | 0.2 | |||
Multi-National | 0.2 | |||
Containers & Packaging | 0.2 | |||
Commercial Services & Supplies | 0.2 | |||
Home Equity Loans | 0.1 | |||
Metals & Mining | 0.1 | |||
Transportation | 0.1 |
SEE NOTES TO FINANCIAL STATEMENTS.
A32
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Industry classification (cont.) | ||||
Auto Components | 0.1 | % | ||
Trading Companies & Distributors | 0.1 | |||
Commercial Services | 0.1 | |||
Semiconductors | 0.1 | |||
Personal Products | 0.1 | |||
Equipment | 0.1 | |||
Gas | 0.1 | |||
Oil & Gas Services | 0.1 | |||
Forest Products & Paper | 0.1 | |||
Housewares | 0.1 | |||
Food | 0.1 | |||
Construction & Engineering | 0.1 | |||
Real Estate Management & Development | 0.1 | |||
Construction Materials | 0.1 | |||
Auto Parts & Equipment | 0.1 | |||
Technology | 0.1 | |||
Other | 0.1 | |||
Mining | 0.1 | |||
Distributors | 0.1 | |||
Packaging & Containers | 0.0 | * | ||
Savings & Loans | 0.0 | * | ||
Building Materials | 0.0 | * | ||
Machinery-Diversified | 0.0 | * |
Health Care Technology | 0.0 | *% | ||
Leisure Products | 0.0 | * | ||
Miscellaneous Manufacturing | 0.0 | * | ||
Wireless Telecommunication Services | 0.0 | * | ||
Entertainment | 0.0 | * | ||
Water Utilities | 0.0 | * | ||
Real Estate Investment Trusts (REITs) | 0.0 | * | ||
Independent Power & Renewable Electricity Producers | 0.0 | * | ||
Paper & Forest Products | 0.0 | * | ||
Unaffiliated Exchange Traded Funds | 0.0 | * | ||
Home Builders | 0.0 | * | ||
Diversified Consumer Services | 0.0 | * | ||
Transportation Infrastructure | 0.0 | * | ||
Real Estate | 0.0 | * | ||
Gas Utilities | 0.0 | * | ||
Options Purchased | 0.0 | * | ||
Marine | 0.0 | * | ||
|
| |||
105.7 | ||||
Option Written | (0.0 | )* | ||
Liabilities in excess of other assets | (5.7 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of derivative instruments on the financial statements and primary underlying risk exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, interest rate contracts risk and equity contracts 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, 2017 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 | $ | 4,200 | * | Due from/to broker — variation margin futures | $ | 71,287 | * | ||||
Equity contracts | Unaffiliated investments | 548 | — | — | ||||||||
Interest rate contracts | Due from/to broker — variation margin futures | 1,220,388 | * | Due from/to broker — variation margin futures | 744,535 | * | ||||||
Interest rate contracts | Due from/to broker — variation margin swaps | 878,267 | * | Due from/to broker — variation margin swaps | 619,848 | * | ||||||
Interest rate contracts | Unaffiliated investments | 22,969 | Options written outstanding, at value | 9,188 | ||||||||
|
|
|
| |||||||||
Total | $ | 2,126,372 | $ | 1,444,858 | ||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2017 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||||||
Derivatives not accounted | Rights(1) | Options Purchased(1) | Options Written | Futures | Forward Rate Agreements | Swaps | Total | |||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (275,876 | ) | $ | (275,876 | ) | ||||||||||||
Equity contracts | 2,350 | — | — | 2,861,679 | — | — | 2,864,029 | |||||||||||||||||||||
Interest rate contracts | — | (343,639 | ) | 88,102 | 3,333,740 | 23,492 | 1,245,821 | 4,347,516 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 2,350 | $ | (343,639 | ) | $ | 88,102 | $ | 6,195,419 | $ | 23,492 | $ | 969,945 | $ | 6,935,669 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A33
CONSERVATIVE BALANCED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not accounted for as hedging | Rights(2) | Options Purchased(2) | Options Written | Futures | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (111,279 | ) | $ | (111,279 | ) | ||||||||||
Equity contracts | (36 | ) | — | — | 355,051 | — | 355,015 | |||||||||||||||||
Interest rate contracts | — | (93,004 | ) | 35,621 | 1,030,215 | (2,066,604 | ) | (1,093,772 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (36 | ) | $ | (93,004 | ) | $ | 35,621 | $ | 1,385,266 | $ | (2,177,883 | ) | $ | (850,036 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2017, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(3) | Futures | Futures | |||
$119,832 | $308,333 | $338,481,517 | $40,642,507 |
Credit Default | Interest Rate Swap | |
$35,333,333 | $346,655,667 |
(1) | Cost. |
(2) | Value at Trade Date. |
(3) | Notional Amount in USD. |
Financial instruments/transactions — summary of offsetting and netting arrangements:
The Portfolio entered into financial instruments/transactions 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 financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received(2) | Net Amount | |||||||||
Securities on Loan | $ | 50,814,596 | $ | (50,814,596 | ) | $ | — | |||||
|
|
(1) | Amount represents market value. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A34
CONSERVATIVE BALANCED PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2017
ASSETS | ||||
Investments at value, including securities on loan of $50,814,596: | ||||
Unaffiliated investments (cost $1,452,181,820) | $ | 2,253,097,113 | ||
Affiliated investments (cost $417,387,443) | 414,378,330 | |||
Foreign currency, at value (cost $471,746) | 476,489 | |||
Receivable for investments sold | 27,346,344 | |||
Dividends and interest receivable | 6,639,070 | |||
Tax reclaim receivable | 595,233 | |||
Due from broker—variation margin swaps | 160,187 | |||
Due from broker—variation margin futures | 12,374 | |||
Receivable from affiliate | 6,407 | |||
Prepaid expenses | 2,799 | |||
|
| |||
Total Assets | 2,702,714,346 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 124,600,968 | |||
Payable to broker for collateral for securities on loan | 51,896,201 | |||
Management fee payable | 1,147,723 | |||
Payable for Series shares repurchased | 499,079 | |||
Accrued expenses | 356,623 | |||
Due to broker—variation margin futures | 297,315 | |||
Payable to custodian | 118,870 | |||
Options written outstanding, at value (premiums received $44,809) | 9,188 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 178,926,947 | |||
|
| |||
NET ASSETS | $ | 2,523,787,399 | ||
|
| |||
Net assets were comprised of: |
| |||
Paid-in capital | $ | 1,062,719,365 | ||
Retained earnings | 1,461,068,034 | |||
|
| |||
Net assets, June 30, 2017 | $ | 2,523,787,399 | ||
|
| |||
Net asset value and redemption price per share | $ | 25.59 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2017
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income (net of foreign withholding taxes of $43) | $ | 13,515,971 | ||
Unaffiliated dividend income (net) (foreign withholding tax of $122,373, of which $21,176 is reimbursable by an affiliate) | 13,119,386 | |||
Affiliated dividend income | 2,279,731 | |||
Income from securities lending, net (including affiliated income of $43,467) | 57,777 | |||
|
| |||
Total income | 28,972,865 | |||
|
| |||
EXPENSES | ||||
Management fee | 6,850,421 | |||
Custodian and accounting fees | 180,000 | |||
Shareholders’ reports | 121,000 | |||
Audit fee | 24,000 | |||
Trustees’ fees | 16,000 | |||
Legal fees and expenses | 8,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Miscellaneous | 39,597 | |||
|
| |||
Total expenses | 7,245,018 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 21,727,847 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: |
| |||
Investment transactions (including affiliated of $8,885) | 66,148,128 | |||
Futures transactions | 6,195,419 | |||
Options written transactions | 88,102 | |||
Swap agreement transactions | 969,945 | |||
Forward rate agreement transactions | 23,492 | |||
Foreign currency transactions | (12,643 | ) | ||
|
| |||
73,412,443 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: |
| |||
Investments (including affiliated of $204,724) | 47,188,463 | |||
Futures | 1,385,266 | |||
Options written | 35,621 | |||
Swap agreements | (2,177,883 | ) | ||
Foreign currencies | 54,979 | |||
|
| |||
46,486,446 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 119,898,889 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 141,626,736 | ||
|
|
STATEMENT OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 21,727,847 | $ | 44,543,863 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 73,412,443 | 28,658,304 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 46,486,446 | 98,563,987 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 141,626,736 | 171,766,154 | ||||||
|
|
|
| |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [112,203 and 338,782 shares, respectively] | 2,819,355 | 7,843,814 | ||||||
Series shares repurchased [3,758,050 and 11,378,786 shares, respectively] | (93,885,693 | ) | (262,953,434 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (91,066,338 | ) | (255,109,620 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 2,299,220 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 50,560,398 | (81,044,246 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 2,473,227,001 | 2,554,271,247 | ||||||
|
|
|
| |||||
End of period | $ | 2,523,787,399 | $ | 2,473,227,001 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A35
DIVERSIFIED BOND PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
LONG-TERM INVESTMENTS — 87.4% ASSET-BACKED SECURITIES — 12.2% | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||||||
Automobiles — 0.4% |
| |||||||||||||||||||
Hertz Vehicle Financing II LP, Series 2015-1A, Class A, 144A | 2.730% | 03/25/21 | 2,700 | $ | 2,684,689 | |||||||||||||||
Hertz Vehicle Financing LLC, Series 2016-2A, Class A, 144A | 2.950% | 03/25/22 | 700 | 691,730 | ||||||||||||||||
OneMain Direct Auto Receivables Trust, Series 2016-1A, Class C, 144A | 4.580% | 09/15/21 | 1,600 | 1,624,877 | ||||||||||||||||
|
| |||||||||||||||||||
5,001,296 | ||||||||||||||||||||
|
| |||||||||||||||||||
Collateralized Loan Obligations — 4.4% |
| |||||||||||||||||||
Arrowmark Colorado Holdings (Cayman Islands), Series 2017-6A, Class A1, 144A | —% | (c)(p) | 07/15/29 | 250 | 250,000 | |||||||||||||||
Avery Point V CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 2.618% | (c) | 07/17/26 | 1,000 | 1,001,357 | |||||||||||||||
Battalion CLO IV Ltd. (Cayman Islands), Series 2013-4A, Class A1R, 144A | 2.293% | (c) | 10/22/25 | 1,000 | 1,000,307 | |||||||||||||||
Battalion CLO V Ltd. (Cayman Islands), Series 2014-5A, Class A1R, 144A | 2.328% | (c) | 04/17/26 | 1,100 | 1,100,116 | |||||||||||||||
Benefit Street Partners CLO I Ltd. (Cayman Islands), Series 2012-IA, Class A2R, 144A | 3.408% | (c) | 10/15/25 | 1,000 | 1,006,043 | |||||||||||||||
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.308% | (c) | 04/17/25 | 2,600 | 2,602,735 | |||||||||||||||
ECP CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1A, 144A | 2.608% | (c) | 07/15/26 | 1,500 | 1,501,186 | |||||||||||||||
ICG US CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1AR, 144A | 2.656% | (c) | 01/25/27 | 8,250 | 8,252,926 | |||||||||||||||
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A | 2.698% | (c) | 04/15/27 | 2,250 | 2,252,595 | |||||||||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-2A, Class AR, 144A | 2.338% | (c) | 07/15/26 | 250 | 250,328 | |||||||||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-3A, Class AR, 144A | 2.358% | (c) | 10/15/26 | 1,000 | 1,000,280 | |||||||||||||||
Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1R, 144A | 2.278% | (c) | 01/18/27 | 7,300 | 7,311,340 | |||||||||||||||
MP CLO III Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 2.336% | (c) | 04/20/25 | 3,300 | 3,300,464 | |||||||||||||||
OCP CLO Ltd. (Cayman Islands), Series 2017-13A, Class A1A, 144A | 2.560% | (c) | 07/15/30 | 750 | 748,970 | |||||||||||||||
Palmer Square CLO (Cayman Islands), Series 2015-2A, Class A1AR, 144A | 2.580% | (c) | 07/20/30 | 1,000 | 1,000,000 | |||||||||||||||
Palmer Square CLO Ltd. (Cayman Islands), Series 2015-2A, Class A1A, 144A | 2.656% | (c) | 07/20/27 | 1,000 | 1,000,048 | |||||||||||||||
Shackleton III CLO Ltd. (Cayman Islands), Series 2013-3A, Class B2, 144A | 3.440% | 04/15/25 | 700 | 702,090 | ||||||||||||||||
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2013-2A, Class A1, 144A | 2.608% | (c) | 01/18/26 | 3,300 | 3,300,780 | |||||||||||||||
Trinitas CLO V Ltd. (Cayman Islands), Series 2016-5A, Class A, 144A | 2.856% | (c) | 10/25/28 | 3,250 | 3,263,609 | |||||||||||||||
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.278% | (c) | 07/15/25 | 300 | 300,236 | |||||||||||||||
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.298% | (c) | 04/15/24 | 4,200 | 4,201,575 | |||||||||||||||
Wellfleet CLO Ltd. (Cayman Islands), Series 2017-1A, Class A1, 144A | 2.431% | (c) | 04/20/29 | 1,750 | 1,750,053 | |||||||||||||||
West CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1AR, 144A | 2.339% | (c) | 11/07/25 | 2,500 | 2,500,885 | |||||||||||||||
Zais CLO 6 Ltd. (Cayman Islands), Series 2017-1A, Class A1, 144A | 2.572% | (c) | 07/15/29 | 1,000 | 1,000,250 | |||||||||||||||
|
| |||||||||||||||||||
50,598,173 | ||||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A36
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||||
Consumer Loans — 2.2% |
| |||||||||||||||||
Lendmark Funding Trust, Series 2016-2A, Class A, 144A | 3.260% | 04/20/25 | 700 | $ | 706,019 | |||||||||||||
Lendmark Funding Trust, Series 2017-1A, Class A, 144A^ | 2.830% | 01/22/24 | 1,000 | 999,795 | ||||||||||||||
OneMain Financial Issuance Trust, Series 2015-1A, Class A, 144A | 3.190% | 03/18/26 | 1,000 | 1,009,968 | ||||||||||||||
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A | 2.570% | 07/18/25 | 3,598 | 3,601,572 | ||||||||||||||
OneMain Financial Issuance Trust, Series 2015-2A, Class C, 144A | 4.320% | 07/18/25 | 1,100 | 1,099,799 | ||||||||||||||
OneMain Financial Issuance Trust, Series 2016-1A, Class A, 144A | 3.660% | 02/18/29 | 2,500 | 2,558,489 | ||||||||||||||
OneMain Financial Issuance Trust, Series 2016-2A, Class A, 144A | 4.100% | 03/18/28 | 2,600 | 2,652,256 | ||||||||||||||
Oportun Funding IV LLC, Series 2016-C, Class A, 144A | 3.280% | 11/08/21 | 2,300 | 2,312,276 | ||||||||||||||
Oportun Funding VI LLC, Series 2017-A, Class A, 144A | 3.230% | 06/08/23 | 750 | 753,970 | ||||||||||||||
SpringCastle America Funding LLC, Series 2016-AA, Class A, 144A | 3.050% | 04/25/29 | 3,664 | 3,685,739 | ||||||||||||||
Springleaf Funding Trust, Series 2015-AA, Class A, 144A | 3.160% | 11/15/24 | 5,200 | 5,247,032 | ||||||||||||||
|
| |||||||||||||||||
24,626,915 | ||||||||||||||||||
|
| |||||||||||||||||
Home Equity Loans — 2.9% |
| |||||||||||||||||
ABFC Trust, Series 2004-OPT1, Class M1 | 2.266% | (c) | 08/25/33 | 994 | 979,771 | |||||||||||||
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1, Class M1 | 2.116% | (c) | 09/25/33 | 1,003 | 982,946 | |||||||||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2003-AR1, Class M3 | 4.967% | (c) | 01/25/33 | 1,863 | 1,841,652 | |||||||||||||
Ameriquest Mortgage Securities, Inc. Floating Rate Mortgage Pass-Through Certificates, Series 2001-2, Class M3 | 4.141% | (c) | 10/25/31 | 312 | 320,037 | |||||||||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2003-W2, Class M4 | 3.856% | (c) | 09/25/33 | 2,400 | 2,246,156 | |||||||||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W6, Class M1 | 2.041% | (c) | 05/25/34 | 771 | 748,493 | |||||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE3, Class M1 | 2.404% | (c) | 06/15/33 | 867 | 855,904 | |||||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE1, Class M1 | 2.209% | (c) | 01/15/34 | 880 | 860,955 | |||||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE5, Class M1 | 2.116% | (c) | 08/25/34 | 1,221 | 1,181,311 | |||||||||||||
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE2, Class M1 | 2.116% | (c) | 03/25/34 | 2,899 | 2,797,235 | |||||||||||||
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE3, Class M2 | 2.941% | (c) | 04/25/34 | 1,935 | 1,930,102 | |||||||||||||
Centex Home Equity Loan Trust, Series 2004-B, Class AF6 | 4.686% | 03/25/34 | 661 | 677,463 | ||||||||||||||
CIM Trust, Series 2017-3, Class A3, 144A | 3.051% | (c) | 01/25/57 | 2,307 | 2,341,134 | |||||||||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-HE4, Class M2 | 3.466% | (c) | 08/25/32 | 37 | 34,291 | |||||||||||||
MASTR Asset-Backed Securities Trust, Series 2004-WMC1, Class M1 | 1.996% | (c) | 02/25/34 | 1,372 | 1,335,176 | |||||||||||||
Merrill Lynch Mortgage Investors Trust, Series 2004-HE2, Class M1 | 2.416% | (c) | 08/25/35 | 367 | 365,179 | |||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 | 2.416% | (c) | 05/25/33 | 769 | 762,035 | |||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE3, Class M1 | 2.236% | (c) | 10/25/33 | 545 | 539,154 | |||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 | 2.266% | (c) | 12/25/33 | 514 | 501,474 | |||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-OP1, Class M1 | 2.086% | (c) | 11/25/34 | 3,688 | 3,470,238 |
SEE NOTES TO FINANCIAL STATEMENTS.
A37
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||||||
Home Equity Loans (continued) | ||||||||||||||||||||
New Century Home Equity Loan Trust, Series 2003-4, Class M1 | 2.341% | (c) | 10/25/33 | 2,099 | $ | 2,052,624 | ||||||||||||||
New Century Home Equity Loan Trust, Series 2004-4, Class M1 | 1.981% | (c) | 02/25/35 | 2,361 | 2,234,233 | |||||||||||||||
Residential Asset Securities Corp., Series 2004-KS1, Class AI5 | 5.500% | 02/25/34 | 788 | 806,309 | ||||||||||||||||
Securitized Asset-Backed Receivables LLC Trust, | 1.996% | (c) | 02/25/34 | 2,212 | 2,172,991 | |||||||||||||||
Specialty Underwriting & Residential Finance Trust, | 1.981% | (c) | 02/25/35 | 1,038 | 995,497 | |||||||||||||||
|
| |||||||||||||||||||
33,032,360 | ||||||||||||||||||||
|
| |||||||||||||||||||
Other — 0.1% |
| |||||||||||||||||||
Marriott Vacation Club Owner Trust, Series 2010-1A, Class A, 144A | 3.540% | 10/20/32 | 925 | 930,157 | ||||||||||||||||
|
| |||||||||||||||||||
Residential Mortgage-Backed Securities — 2.1% |
| |||||||||||||||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M1 | 2.176% | (c) | 09/25/34 | 492 | 492,852 | |||||||||||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W10, Class A2 | 1.996% | (c) | 10/25/34 | 1,448 | 1,417,448 | |||||||||||||||
Bayview Opportunity Master Fund IIIa Trust, Series 2016-RN3, Class A1, 144A | 3.598% | 09/28/31 | 594 | 596,972 | ||||||||||||||||
Credit Suisse Mortgage Trust, Series 2016-RPL1, Class A1, 144A | 4.145% | (c) | 12/25/46 | 4,584 | 4,603,035 | |||||||||||||||
CSMC Trust, Series 2017-6R, 144A^ | —% | (c)(p) | 03/06/47 | 2,400 | 2,400,000 | |||||||||||||||
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | 4.678% | 07/25/34 | 410 | 407,016 | ||||||||||||||||
FBR Securitization Trust, Series 2005-2, Class M1 | 1.936% | (c) | 09/25/35 | 1,261 | 1,260,211 | |||||||||||||||
Fremont Home Loan Trust, Series 2003-B, Class M1 | 2.266% | (c) | 12/25/33 | 149 | 146,062 | |||||||||||||||
GSAMP Trust, Series 2004-FM1, Class M1 | 2.191% | (c) | 11/25/33 | 1,294 | 1,277,765 | |||||||||||||||
Long Beach Mortgage Loan Trust, Series 2004-1, Class M1 | 1.966% | (c) | 02/25/34 | 2,459 | 2,450,139 | |||||||||||||||
Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1A | 1.736% | (c) | 06/25/35 | 1,132 | 1,097,278 | |||||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC1, Class M1 | 2.146% | (c) | 06/25/34 | 1,409 | 1,374,260 | |||||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC2, Class M1 | 2.131% | (c) | 07/25/34 | 1,170 | 1,144,228 | |||||||||||||||
Structured Asset Investment Loan Trust, Series 2004-2, Class A4 | 1.921% | (c) | 03/25/34 | 1,892 | 1,829,783 | |||||||||||||||
Structured Asset Investment Loan Trust, Series 2004-7, Class A8 | 2.416% | (c) | 08/25/34 | 1,400 | 1,320,658 | |||||||||||||||
VOLT LI LLC, Series 2016-NP11, Class A1, 144A | 3.500% | 10/25/46 | 1,236 | 1,236,957 | ||||||||||||||||
VOLT LX LLC, Series 2017-NPL7, Class A1, 144A | 3.250% | 04/25/59 | 370 | 369,670 | ||||||||||||||||
VOLT VII LLC, Series 2017-NPL4, Class A1, 144A | 3.375% | 04/25/47 | 556 | 555,511 | ||||||||||||||||
|
| |||||||||||||||||||
23,979,845 | ||||||||||||||||||||
|
| |||||||||||||||||||
Student Loans — 0.1% | ||||||||||||||||||||
Earnest Student Loan Program LLC, Series 2016-D, Class A1, 144A | 2.616% | (c) | 01/25/41 | 562 | 571,362 | |||||||||||||||
|
| |||||||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 138,740,108 | ||||||||||||||||||
|
| |||||||||||||||||||
BANK LOANS(c) — 1.2% | ||||||||||||||||||||
Diversified Manufacturing — 0.1% | ||||||||||||||||||||
CeramTec GmbH (Germany)^ | 3.750% | 08/30/20 | EUR | 900 | 1,036,932 | |||||||||||||||
|
| |||||||||||||||||||
Electric — 0.1% | ||||||||||||||||||||
Lightstone Holdco LLC | 5.672% | 01/30/24 | 1,097 | 1,068,749 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A38
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
BANK LOANS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||||||
Health Care & Pharmaceutical — 0.1% | ||||||||||||||||||||
Valeant Pharmaceuticals International, Inc. | 5.830% | 04/01/22 | 1,030 | $ | 1,044,003 | |||||||||||||||
|
| |||||||||||||||||||
Retailers — 0.2% | ||||||||||||||||||||
Euro Garages Ltd. (United Kingdom) | 5.325% | 01/30/23 | GBP | 1,000 | 1,312,428 | |||||||||||||||
Rite Aid Corp. | 5.105% | 06/21/21 | 1,375 | 1,378,152 | ||||||||||||||||
|
| |||||||||||||||||||
2,690,580 | ||||||||||||||||||||
|
| |||||||||||||||||||
Supermarkets — 0.1% | ||||||||||||||||||||
Albertsons LLC | 4.200% | 08/25/21 | 788 | 788,740 | ||||||||||||||||
|
| |||||||||||||||||||
Technology — 0.4% | ||||||||||||||||||||
Action Nederland BV | 3.500% | 02/25/22 | EUR | 1,100 | 1,272,229 | |||||||||||||||
BMC Software Finance, Inc. | 1.150% | 09/12/22 | 423 | 423,330 | ||||||||||||||||
Dell International LLC | 3.299% | 12/31/18 | 2,800 | 2,802,139 | ||||||||||||||||
Dell International LLC | 3.799% | 09/07/23 | 796 | 798,706 | ||||||||||||||||
|
| |||||||||||||||||||
5,296,404 | ||||||||||||||||||||
|
| |||||||||||||||||||
Transportation Services — 0.2% | ||||||||||||||||||||
Scandlines GmbH (Germany) | 4.250% | 12/03/20 | EUR | 1,675 | 1,934,981 | |||||||||||||||
|
| |||||||||||||||||||
TOTAL BANK LOANS |
| 13,860,389 | ||||||||||||||||||
|
| |||||||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 13.2% | ||||||||||||||||||||
245 Park Avenue Trust, Series 2017-245P, Class A, 144A | 3.508% | 06/05/37 | 2,575 | 2,643,462 | ||||||||||||||||
Banc of America Commercial Mortgage Trust, | 2.903% | 07/15/49 | 2,300 | 2,267,407 | ||||||||||||||||
BANK, Series 2017-BNK5, Class A4 | 3.131% | 06/15/60 | 4,400 | 4,391,363 | ||||||||||||||||
BBCMS Mortgage Trust, Series 2016-ETC, Class A, 144A | 2.937% | 08/14/36 | 1,170 | 1,143,757 | ||||||||||||||||
BBCMS Mortgage Trust, Series 2016-ETC, Class B, 144A | 3.189% | 08/14/36 | 510 | 497,701 | ||||||||||||||||
BBCMS Mortgage Trust, Series 2016-ETC, Class C, 144A | 3.391% | 08/14/36 | 430 | 419,213 | ||||||||||||||||
BBCMS Mortgage Trust, Series 2016-ETC, Class D, 144A | 3.729% | (c) | 08/14/36 | 1,560 | 1,501,141 | |||||||||||||||
CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class B, 144A | 3.009% | (c) | 12/15/27 | 5,000 | 5,003,113 | |||||||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 | 3.575% | 05/10/47 | 3,200 | 3,324,284 | ||||||||||||||||
Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A4 | 3.209% | 05/10/49 | 3,500 | 3,527,636 | ||||||||||||||||
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class B, 144A | 2.871% | (c) | 11/10/31 | 2,400 | 2,355,060 | |||||||||||||||
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class C, 144A | 2.871% | (c) | 11/10/31 | 900 | 867,596 | |||||||||||||||
Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4 | 3.314% | 04/10/49 | 5,100 | 5,158,067 | ||||||||||||||||
COMM Mortgage Trust, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 2,000 | 1,989,840 | ||||||||||||||||
COMM Mortgage Trust, Series 2013-CR7, Class A3 | 2.929% | 03/10/46 | 3,687 | 3,732,682 | ||||||||||||||||
COMM Mortgage Trust, Series 2014-UBS4, Class A4 | 3.420% | 08/10/47 | 3,200 | 3,270,465 | ||||||||||||||||
COMM Mortgage Trust, Series 2014-UBS5, Class A4 | 3.838% | 09/10/47 | 3,600 | 3,778,780 | ||||||||||||||||
COMM Mortgage Trust, Series 2015-DC1, Class A4 | 3.078% | 02/10/48 | 5,000 | 5,002,573 | ||||||||||||||||
COMM Mortgage Trust, Series 2015-LC21, Class A4 | 3.708% | 07/10/48 | 2,600 | 2,710,831 | ||||||||||||||||
COMM Mortgage Trust, Series 2015-PC1, Class A5 | 3.902% | 07/10/50 | 2,100 | 2,207,267 | ||||||||||||||||
COMM Mortgage Trust, Series 2016-COR1, Class A3 | 2.826% | 10/10/49 | 2,500 | 2,442,091 | ||||||||||||||||
COMM Mortgage Trust, Series 2016-DC2, Class A5 | 3.765% | 02/10/49 | 300 | 313,704 | ||||||||||||||||
DBJPM Mortgage Trust, Series 2017-C6, Class A4 | 3.071% | 06/10/50 | 2,800 | 2,795,505 | ||||||||||||||||
DBWF Mortgage Trust, Series 2016-85T, Class D, 144A (original cost $1,317,944; purchased 12/09/16)(f)(g) | 3.935% | (c) | 12/10/36 | 1,400 | 1,387,469 | |||||||||||||||
Eleven Madison Trust Mortgage Trust, Series 2015-11MD, Class C, 144A | 3.673% | (c) | 09/10/35 | 3,000 | 3,025,160 | |||||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, IO | 1.718% | (c) | 06/25/20 | 7,815 | 300,349 | |||||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO | 1.570% | (c) | 05/25/22 | 27,505 | 1,583,122 |
SEE NOTES TO FINANCIAL STATEMENTS.
A39
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO | 1.606% | (c) | 06/25/22 | 15,693 | $ | 947,369 | ||||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, IO | 1.001% | (c) | 10/25/22 | 10,812 | 413,002 | |||||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K027, Class X1, IO | 0.932% | (c) | 01/25/23 | 135,328 | 4,969,073 | |||||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class X1, IO | 0.879% | (c) | 01/25/25 | 83,387 | 3,902,257 | |||||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K053, Class X1, IO | 1.030% | (c) | 12/25/25 | 89,570 | 5,598,051 | |||||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1, IO | 1.502% | (c) | 03/25/26 | 13,964 | 1,354,962 | |||||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO | 1.872% | (c) | 05/25/19 | 21,421 | 546,866 | |||||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO | 1.810% | (c) | 07/25/19 | 26,279 | 685,580 | |||||||||||||||
GS Mortgage Securities Trust, Series 2013-GC12, Class A3 | 2.860% | 06/10/46 | 1,430 | 1,442,178 | ||||||||||||||||
GS Mortgage Securities Trust, Series 2017-GS6, Class A2 | 3.164% | 05/10/50 | 3,400 | 3,409,503 | ||||||||||||||||
IMT Trust, Series 2017-APTS, Class AFX, 144A ^ | 3.478% | (c) | 06/15/34 | 1,050 | 1,081,440 | |||||||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class A4 | 3.493% | 08/15/47 | 3,200 | 3,310,822 | ||||||||||||||||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4 | 3.414% | 03/15/50 | 2,300 | 2,358,442 | ||||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2012-LC9, Class A4 | 2.611% | 12/15/47 | 2,000 | 2,003,722 | ||||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 | 2.875% | 12/15/47 | 4,600 | 4,655,635 | ||||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class A3 | 2.559% | 08/15/49 | 2,900 | 2,787,021 | ||||||||||||||||
LCCM, Series 2017-LC26, Class A4, 144A | 3.551% | 07/12/50 | 4,300 | 4,370,772 | ||||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, IO, 144A | 1.673% | (c) | 08/15/45 | 40,733 | 2,375,609 | |||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | 2.863% | 12/15/48 | 1,700 | 1,718,229 | ||||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A3 | 2.834% | 05/15/46 | 2,300 | 2,316,451 | ||||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A3 | 4.104% | (c) | 07/15/46 | 4,800 | 5,130,655 | |||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3 | 3.766% | 11/15/46 | 4,000 | 4,210,891 | ||||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class A5 | 2.860% | 09/15/49 | 2,000 | 1,951,422 | ||||||||||||||||
Morgan Stanley Capital I Trust, Series 2017-H1, Class A4 | 3.259% | 06/15/50 | 2,750 | 2,766,539 | ||||||||||||||||
Shops at Crystals Trust, Series 2016-CSTL, Class A, 144A | 3.126% | 07/05/36 | 400 | 395,791 | ||||||||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | 2.920% | 03/10/46 | 4,600 | 4,648,129 | ||||||||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | 2.971% | 04/10/46 | 3,800 | 3,847,390 | ||||||||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class A4 | 3.548% | 08/15/50 | 4,300 | 4,457,303 | ||||||||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2016-C35, Class A3 | 2.674% | 07/15/48 | 4,600 | 4,441,081 | ||||||||||||||||
|
| |||||||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 149,735,823 | ||||||||||||||||||
|
| |||||||||||||||||||
CORPORATE BONDS — 41.9% | ||||||||||||||||||||
Agriculture — 0.3% |
| |||||||||||||||||||
Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A | 2.050% | 02/11/18 | 2,375 | 2,377,351 | ||||||||||||||||
Reynolds American, Inc., Gtd. Notes | 8.125% | 06/23/19 | 895 | 998,207 | ||||||||||||||||
|
| |||||||||||||||||||
3,375,558 | ||||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A40
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||||
Airlines — 0.7% |
| |||||||||||||||||
American Airlines, Pass-Through Trust, Pass-Through Certificates, Series 2016-1, Class AA | 3.575% | 07/15/29 | 1,789 | $ | 1,829,728 | |||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1(g) | 6.703% | 12/15/22 | — | (r) | 454 | |||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A | 5.983% | 10/19/23 | 1,363 | 1,499,069 | ||||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A | 4.750% | 07/12/22 | 364 | 385,337 | ||||||||||||||
Delta Air Lines, Inc., Sr. Unsec’d. Notes | 2.875% | 03/13/20 | 1,180 | 1,195,429 | ||||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A | 6.821% | 02/10/24 | 933 | 1,070,290 | ||||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A | 4.950% | 11/23/20 | 328 | 340,831 | ||||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A | 5.300% | 10/15/20 | 410 | 430,778 | ||||||||||||||
United Airlines, Pass-Through Trust, Pass-Through Certificates, Series 2007-071A, Class A | 6.636% | 01/02/24 | 701 | 760,687 | ||||||||||||||
|
| |||||||||||||||||
7,512,603 | ||||||||||||||||||
|
| |||||||||||||||||
Apparel — 0.1% |
| |||||||||||||||||
Hanesbrands Finance Luxembourg SCA, Gtd. Notes, 144A | 3.500% | 06/15/24 | EUR | 575 | 687,933 | |||||||||||||
|
| |||||||||||||||||
Auto Manufacturers — 0.8% |
| |||||||||||||||||
Ford Motor Co., Sr. Unsec’d. Notes | 4.750% | 01/15/43 | 1,755 | 1,694,049 | ||||||||||||||
Ford Motor Co., Sr. Unsec’d. Notes(a) | 5.291% | 12/08/46 | 525 | 538,818 | ||||||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | 2.375% | 01/16/18 | 2,225 | 2,232,011 | ||||||||||||||
General Motors Co., Sr. Unsec’d. Notes | 4.875% | 10/02/23 | 1,350 | 1,446,760 | ||||||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.250% | 10/02/43 | 1,885 | 2,093,762 | ||||||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.600% | 04/01/36 | 210 | 243,310 | ||||||||||||||
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A | 2.200% | 01/15/24 | EUR | 350 | 403,751 | |||||||||||||
|
| |||||||||||||||||
8,652,461 | ||||||||||||||||||
|
| |||||||||||||||||
Auto Parts & Equipment — 0.4% |
| |||||||||||||||||
Adient Global Holdings Ltd., Gtd. Notes, 144A | 3.500% | 08/15/24 | EUR | 701 | 811,978 | |||||||||||||
IHO Verwaltungs GmbH (Germany), 1st Lien, 144A | 3.750% | 09/15/26 | EUR | 1,050 | 1,250,228 | |||||||||||||
IHO Verwaltungs GmbH (Germany), Sr. Sec’d. Notes, PIK, 144A | 3.250% | 09/15/23 | EUR | 1,075 | 1,258,509 | |||||||||||||
LKQ Italia Bondco SpA, Gtd. Notes, 144A | 3.875% | 04/01/24 | EUR | 1,275 | 1,573,472 | |||||||||||||
|
| |||||||||||||||||
4,894,187 | ||||||||||||||||||
|
| |||||||||||||||||
Banks — 10.4% |
| |||||||||||||||||
Bank of America Corp., Jr. Sub. Notes, Series K | 8.000% | (c) | 12/29/49 | 3,500 | 3,596,250 | |||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, GMTN | 3.300% | 01/11/23 | 5,870 | 5,985,627 | ||||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.000% | 04/01/24 | 1,150 | 1,205,048 | ||||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.125% | 01/22/24 | 3,750 | 3,957,214 | ||||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.443% | (c) | 01/20/48 | 1,200 | 1,269,217 | |||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 6.000% | 09/01/17 | 4,590 | 4,621,575 | ||||||||||||||
Bank of America Corp., Sub. Notes, MTN | 4.450% | 03/03/26 | 1,735 | 1,805,691 | ||||||||||||||
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes | 3.684% | 01/10/23 | 480 | 492,508 | ||||||||||||||
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes | 4.337% | 01/10/28 | 520 | 534,567 | ||||||||||||||
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes | 4.375% | 01/12/26 | 1,290 | 1,340,460 | ||||||||||||||
BNP Paribas SA (France), Sr. Unsec’d. Notes, 144A, MTN | 2.950% | 05/23/22 | 1,435 | 1,449,288 | ||||||||||||||
BNP Paribas SA (France), Sub. Notes, 144A | 4.625% | 03/13/27 | 230 | 242,538 | ||||||||||||||
BPCE SA (France), Gtd. Notes, 144A, MTN | 3.000% | 05/22/22 | 595 | 600,175 | ||||||||||||||
Branch Banking & Trust Co., Sr. Unsec’d. Notes | 2.850% | 04/01/21 | 3,700 | 3,779,487 | ||||||||||||||
CITIC Ltd. (China), Sr. Unsec’d. Notes, EMTN | 6.875% | 01/21/18 | 1,100 | 1,128,546 | ||||||||||||||
Citigroup, Inc., Jr. Sub. Notes, Series Q | 5.950% | (c) | 12/31/49 | 1,355 | 1,425,758 | |||||||||||||
Citigroup, Inc., Jr. Sub. Notes, Series R | 6.125% | (c) | 12/31/49 | 1,085 | 1,166,375 | |||||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.125% | 07/15/39 | 2,995 | 4,598,328 | ||||||||||||||
Citigroup, Inc., Sub. Notes | 4.450% | 09/29/27 | 2,630 | 2,735,247 |
SEE NOTES TO FINANCIAL STATEMENTS.
A41
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||||||
Banks (continued) | ||||||||||||||||||||
Credit Suisse/New York NY (Switzerland), Sr. Unsec’d. Notes, MTN | 3.625% | 09/09/24 | 1,050 | $ | 1,084,652 | |||||||||||||||
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN | 3.375% | 05/12/21 | 900 | 911,542 | ||||||||||||||||
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, MTN | 3.700% | 05/30/24 | 159 | 158,969 | ||||||||||||||||
Dexia Credit Local SA (France), Gov’t. Liquid Gtd. Notes | 1.875% | 01/29/20 | 2,500 | 2,480,670 | ||||||||||||||||
Discover Bank, Sr. Unsec’d. Notes | 3.450% | 07/27/26 | 280 | 270,814 | ||||||||||||||||
Discover Bank, Sr. Unsec’d. Notes | 4.250% | 03/13/26 | 1,150 | 1,181,199 | ||||||||||||||||
Discover Bank, Sub. Notes | 7.000% | 04/15/20 | 2,005 | 2,225,442 | ||||||||||||||||
Fifth Third Bank, Sr. Unsec’d. Notes | 2.375% | 04/25/19 | 425 | 427,831 | ||||||||||||||||
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes, Series M | 5.375% | (c) | 12/31/49 | 1,950 | 2,049,060 | |||||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 3.750% | 02/25/26 | 125 | 127,282 | ||||||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 3.850% | 01/26/27 | 1,775 | 1,805,722 | ||||||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.750% | 01/24/22 | 4,200 | 4,728,671 | ||||||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.150% | 04/01/18 | 1,355 | 1,398,482 | ||||||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 02/01/41 | 2,195 | 2,867,309 | ||||||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes, | 6.000% | 06/15/20 | 2,420 | 2,669,800 | ||||||||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 6.750% | 10/01/37 | 440 | 571,138 | ||||||||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes, Series 1 | 7.900% | (c) | 04/29/49 | 6,130 | 6,372,135 | |||||||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes, Series X | 6.100% | (c) | 12/31/49 | 1,450 | 1,573,250 | |||||||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 2.750% | 06/23/20 | 5,400 | 5,490,229 | ||||||||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 2.950% | 10/01/26 | 1,740 | 1,679,276 | ||||||||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 3.200% | 06/15/26 | 3,020 | 2,984,557 | ||||||||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 3.250% | 09/23/22 | 500 | 512,412 | ||||||||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 3.540% | (c) | 05/01/28 | 1,520 | 1,524,603 | |||||||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 4.250% | 10/15/20 | 600 | 637,130 | ||||||||||||||||
JPMorgan Chase & Co., Sub. Notes | 4.250% | 10/01/27 | 420 | 438,102 | ||||||||||||||||
JPMorgan Chase & Co., Sub. Notes | 4.950% | 06/01/45 | 715 | 797,628 | ||||||||||||||||
KeyCorp, Sr. Unsec’d. Notes, MTN | 5.100% | 03/24/21 | 1,155 | 1,263,729 | ||||||||||||||||
Lloyds Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN | 5.800% | 01/13/20 | 2,650 | 2,882,951 | ||||||||||||||||
Mizuho Bank Ltd. (Japan), Gtd. Notes, 144A | 1.850% | 03/21/18 | 1,125 | 1,126,504 | ||||||||||||||||
Morgan Stanley, Jr. Sub. Notes, Series H | 5.450% | (c) | 12/31/49 | 975 | 1,009,612 | |||||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 4.375% | 01/22/47 | 1,730 | 1,804,743 | ||||||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 5.750% | 01/25/21 | 1,920 | 2,124,353 | ||||||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 3.750% | 02/25/23 | 1,535 | 1,596,113 | ||||||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.500% | 07/28/21 | 2,080 | 2,306,418 | ||||||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 3.125% | 07/27/26 | 2,725 | 2,649,373 | ||||||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.625% | 09/23/19 | 2,635 | 2,830,823 | ||||||||||||||||
Morgan Stanley, Sub. Notes, GMTN | 4.350% | 09/08/26 | 750 | 779,729 | ||||||||||||||||
People’s United Bank, Sub. Notes | 4.000% | 07/15/24 | 550 | 554,866 | ||||||||||||||||
PNC Financial Services Group, Inc. (The), Sub. Notes | 3.900% | 04/29/24 | 975 | 1,018,273 | ||||||||||||||||
Santander UK Group Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 2.875% | 10/16/20 | 1,550 | 1,572,137 | ||||||||||||||||
State Street Corp., Jr. Sub. Notes | 4.956% | (c) | 03/15/18 | 3,025 | 3,091,831 | |||||||||||||||
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes | 2.450% | 01/10/19 | 625 | 630,393 | ||||||||||||||||
UBS Group Funding Switzerland AG (Switzerland), Gtd. Notes, 144A | 4.253% | 03/23/28 | 1,485 | 1,551,424 | ||||||||||||||||
|
| |||||||||||||||||||
117,695,076 | ||||||||||||||||||||
|
| |||||||||||||||||||
Beverages — 0.0% |
| |||||||||||||||||||
Coca-Cola Icecek A/S (Turkey), Sr. Unsec’d. Notes, 144A | 4.750% | 10/01/18 | 375 | 383,375 | ||||||||||||||||
|
| |||||||||||||||||||
Biotechnology — 0.3% |
| |||||||||||||||||||
Amgen, Inc., Sr. Unsec’d. Notes | 4.663% | 06/15/51 | 2,948 | 3,122,383 | ||||||||||||||||
|
| |||||||||||||||||||
Building Materials — 0.5% |
| |||||||||||||||||||
Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A | 9.375% | 10/12/22 | 1,200 | 1,275,000 | ||||||||||||||||
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A | 4.750% | 01/11/22 | EUR | 900 | 1,071,624 | |||||||||||||||
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A(g) | 5.375% | 11/15/24 | 3,000 | 3,161,250 | ||||||||||||||||
US Concrete, Inc., Gtd. Notes | 6.375% | 06/01/24 | 600 | 633,000 | ||||||||||||||||
|
| |||||||||||||||||||
6,140,874 | ||||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A42
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||||
Chemicals — 1.6% |
| |||||||||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 4.900% | 06/01/43 | 870 | $ | 939,034 | |||||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 5.250% | 01/15/45 | 420 | 476,807 | ||||||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 6.125% | 01/15/41 | 450 | 546,093 | ||||||||||||||
Ashland, Inc., Gtd. Notes | 6.875% | 05/15/43 | 3,000 | 3,255,000 | ||||||||||||||
CF Industries, Inc., Gtd. Notes | 4.950% | 06/01/43 | 675 | 578,812 | ||||||||||||||
CF Industries, Inc., Gtd. Notes | 5.375% | 03/15/44 | 700 | 624,750 | ||||||||||||||
CF Industries, Inc., Gtd. Notes | 6.875% | 05/01/18 | 380 | 394,725 | ||||||||||||||
CF Industries, Inc., Gtd. Notes | 7.125% | 05/01/20 | 300 | 331,500 | ||||||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 4.625% | 10/01/44 | 125 | 133,046 | ||||||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 9.400% | 05/15/39 | 1,002 | 1,684,105 | ||||||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 6.000% | 11/15/21 | 3,550 | 4,010,424 | ||||||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes(a) | 5.450% | 11/15/33 | 465 | 490,588 | ||||||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.625% | 11/15/43 | 155 | 158,248 | ||||||||||||||
Sherwin-Williams Co. (The), Sr. Unsec’d. Notes | 3.450% | 06/01/27 | 445 | 447,939 | ||||||||||||||
Union Carbide Corp., Sr. Unsec’d. Notes | 7.875% | 04/01/23 | 3,058 | 3,764,502 | ||||||||||||||
|
| |||||||||||||||||
17,835,573 | ||||||||||||||||||
|
| |||||||||||||||||
Commercial Services — 0.5% |
| |||||||||||||||||
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A | 6.500% | 07/15/22 | 1,375 | 1,424,844 | ||||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A(g) | 6.700% | 06/01/34 | 920 | 1,142,558 | ||||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A(g) | 7.000% | 10/15/37 | 770 | 999,542 | ||||||||||||||
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes, 144A | 5.000% | 04/15/22 | 1,500 | 1,556,250 | ||||||||||||||
United Rentals North America, Inc., Gtd. Notes | 5.500% | 07/15/25 | 650 | 680,875 | ||||||||||||||
United Rentals North America, Inc., Gtd. Notes | 5.500% | 05/15/27 | 450 | 463,500 | ||||||||||||||
|
| |||||||||||||||||
6,267,569 | ||||||||||||||||||
|
| |||||||||||||||||
Computers — 0.3% | ||||||||||||||||||
Dell International LLC/EMC Corp., Sr. Sec’d. Notes, 144A | 3.480% | 06/01/19 | 905 | 926,155 | ||||||||||||||
Dell International LLC/EMC Corp., Sr. Sec’d. Notes, 144A | 4.420% | 06/15/21 | 770 | 811,748 | ||||||||||||||
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes | 2.450% | (c) | 10/05/17 | 1,094 | 1,096,733 | |||||||||||||
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes | 2.850% | (c) | 10/05/18 | 630 | 635,390 | |||||||||||||
|
| |||||||||||||||||
3,470,026 | ||||||||||||||||||
|
| |||||||||||||||||
Diversified Financial Services — 0.8% | ||||||||||||||||||
Ally Financial, Inc., Sr. Unsec’d. Notes | 4.125% | 02/13/22 | 3,000 | 3,075,000 | ||||||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes, 144A | 5.500% | 02/15/19 | 1,337 | 1,403,850 | ||||||||||||||
GE Capital International Funding Co. Unlimited Co., Gtd. Notes | 4.418% | 11/15/35 | 354 | 385,289 | ||||||||||||||
HSBC Finance Corp., Sub. Notes | 6.676% | 01/15/21 | 295 | 332,454 | ||||||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes | 6.250% | 05/15/19 | 1,400 | 1,501,618 | ||||||||||||||
Intrum Justitia AB (Sweden), Sr. Unsec’d. Notes, 144A | 3.125% | 07/15/24 | EUR | 750 | 852,921 | |||||||||||||
Jefferies Group LLC, Sr. Unsec’d. Notes | 6.500% | 01/20/43 | 650 | 734,566 | ||||||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(d) | 6.875% | 05/02/18 | 2,740 | 174,264 | ||||||||||||||
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A(g) | 1.886% | (c) | 07/03/33 | 342 | 327,917 | |||||||||||||
|
| |||||||||||||||||
8,787,879 | ||||||||||||||||||
|
| |||||||||||||||||
Electric — 3.4% | ||||||||||||||||||
AES Corp., Sr. Unsec’d. Notes | 5.500% | 04/15/25 | 5,000 | 5,231,250 | ||||||||||||||
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | 3.350% | 07/01/23 | 550 | 566,080 | ||||||||||||||
Calpine Corp., Sr. Unsec’d. Notes(a) | 5.375% | 01/15/23 | 396 | 386,100 | ||||||||||||||
Calpine Corp., Sr. Unsec’d. Notes | 5.750% | 01/15/25 | 1,350 | 1,265,625 | ||||||||||||||
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes | 4.300% | 12/01/56 | 235 | 244,957 | ||||||||||||||
ContourGlobal Power Holdings SA, Sr. Sec’d. Notes, 144A | 5.125% | 06/15/21 | EUR | 1,350 | 1,622,393 | |||||||||||||
Dominion Resources Inc., Jr. Sub. Notes | 4.104% | 04/01/21 | 2,710 | 2,844,362 | ||||||||||||||
Dynegy, Inc., Gtd. Notes(a) | 5.875% | 06/01/23 | 2,400 | 2,244,000 | ||||||||||||||
Dynegy, Inc., Gtd. Notes(a) | 7.375% | 11/01/22 | 1,000 | 987,500 | ||||||||||||||
El Paso Electric Co., Sr. Unsec’d. Notes | 6.000% | 05/15/35 | 2,325 | 2,756,687 | ||||||||||||||
Emera US Finance LP (Canada), Gtd. Notes | 3.550% | 06/15/26 | 820 | 821,898 | ||||||||||||||
Enel Finance International NV (Italy), Gtd. Notes, 144A | 6.000% | 10/07/39 | 1,450 | 1,724,394 |
SEE NOTES TO FINANCIAL STATEMENTS.
A43
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||||||
Electric (continued) | ||||||||||||||||||||
Enersis Americas SA (Chile), Sr. Unsec’d. Notes | 4.000% | 10/25/26 | 235 | $ | 237,585 | |||||||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | 6.200% | 10/01/17 | 1,930 | 1,949,974 | ||||||||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | 6.250% | 10/01/39 | 1,900 | 2,073,183 | ||||||||||||||||
FirstEnergy Corp., Sr. Unsec’d. Notes, Series A | 2.750% | 03/15/18 | 1,800 | 1,811,475 | ||||||||||||||||
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A | 5.450% | 07/15/44 | 400 | 456,900 | ||||||||||||||||
Great Plains Energy, Inc., Sr. Unsec’d. Notes | 3.900% | 04/01/27 | 625 | 632,266 | ||||||||||||||||
Iberdrola International BV (Spain), Gtd. Notes | 6.750% | 09/15/33 | 1,150 | 1,392,728 | ||||||||||||||||
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A | 4.750% | 07/13/21 | 250 | 269,554 | ||||||||||||||||
Majapahit Holding BV (Indonesia), Gtd. Notes | 7.750% | 01/20/20 | 1,500 | 1,676,250 | ||||||||||||||||
NRG Energy, Inc., Gtd. Notes | 6.625% | 03/15/23 | 3,263 | 3,352,733 | ||||||||||||||||
Pacific Gas & Electric Co., Sr. Unsec’d. Notes | 4.600% | 06/15/43 | 1,950 | 2,172,347 | ||||||||||||||||
South Carolina Electric & Gas Co., First Mortgage | 4.600% | 06/15/43 | 2,025 | 2,100,891 | ||||||||||||||||
|
| |||||||||||||||||||
38,821,132 | ||||||||||||||||||||
|
| |||||||||||||||||||
Electronics — 0.1% |
| |||||||||||||||||||
Honeywell International, Inc., Sr. Unsec’d. Notes | 0.650% | 02/21/20 | EUR | 900 | 1,040,093 | |||||||||||||||
|
| |||||||||||||||||||
Entertainment — 0.2% |
| |||||||||||||||||||
Cinemark USA, Inc., Gtd. Notes | 4.875% | 06/01/23 | 1,508 | 1,540,512 | ||||||||||||||||
CPUK Finance Ltd. (United Kingdom), Sec’d. Notes, 144A | 4.875% | 02/28/47 | GBP | 125 | 165,096 | |||||||||||||||
CPUK Finance Ltd. (United Kingdom), Sr. Sec’d. Notes, 144A | 4.250% | 02/28/47 | GBP | 250 | 327,515 | |||||||||||||||
|
| |||||||||||||||||||
2,033,123 | ||||||||||||||||||||
|
| |||||||||||||||||||
Food — 0.8% |
| |||||||||||||||||||
Albertsons Cos LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, Gtd. Notes, 144A | 5.750% | 03/15/25 | 225 | 209,250 | ||||||||||||||||
Ingles Markets, Inc., Sr. Unsec’d. Notes | 5.750% | 06/15/23 | 1,925 | 1,893,719 | ||||||||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A(g) | 5.750% | 06/15/25 | 2,025 | 1,903,500 | ||||||||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A(g) | 7.250% | 06/01/21 | 1,080 | 1,079,460 | ||||||||||||||||
Kraft Heinz Foods Co., Gtd. Notes | 3.000% | 06/01/26 | 1,360 | 1,301,589 | ||||||||||||||||
Kraft Heinz Foods Co., Gtd. Notes | 4.375% | 06/01/46 | 400 | 391,734 | ||||||||||||||||
Kraft Heinz Foods Co., Gtd. Notes | 5.000% | 07/15/35 | 725 | 783,999 | ||||||||||||||||
Kroger Co. (The), Sr. Unsec’d. Notes | 4.450% | 02/01/47 | 275 | 265,074 | ||||||||||||||||
Post Holdings, Inc., Gtd. Notes, 144A | 6.000% | 12/15/22 | 1,500 | 1,590,000 | ||||||||||||||||
|
| |||||||||||||||||||
9,418,325 | ||||||||||||||||||||
|
| |||||||||||||||||||
Forest Products & Paper — 0.3% |
| |||||||||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 6.000% | 11/15/41 | 675 | 823,161 | ||||||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.300% | 11/15/39 | 1,000 | 1,352,335 | ||||||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.950% | 06/15/18 | 922 | 974,820 | ||||||||||||||||
|
| |||||||||||||||||||
3,150,316 | ||||||||||||||||||||
|
| |||||||||||||||||||
Gas — 0.3% |
| |||||||||||||||||||
Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes, | 4.250% | 11/02/20 | 1,750 | 1,837,150 | ||||||||||||||||
NiSource Finance Corp., Gtd. Notes | 4.800% | 02/15/44 | 300 | 324,981 | ||||||||||||||||
Southern Co. Gas Capital Corp., Gtd. Notes | 4.400% | 06/01/43 | 1,050 | 1,067,470 | ||||||||||||||||
|
| |||||||||||||||||||
3,229,601 | ||||||||||||||||||||
|
| |||||||||||||||||||
Healthcare-Products — 1.0% |
| |||||||||||||||||||
Abbott Laboratories, Sr. Unsec’d. Notes | 2.900% | 11/30/21 | 2,780 | 2,811,053 | ||||||||||||||||
Becton Dickinson and Co., Sr. Unsec’d. Notes | 3.363% | 06/06/24 | 3,415 | 3,422,807 | ||||||||||||||||
Medtronic, Inc., Gtd. Notes(h) | 3.500% | 03/15/25 | 3,435 | 3,573,300 | ||||||||||||||||
Medtronic, Inc., Gtd. Notes | 4.375% | 03/15/35 | 1,358 | 1,483,297 | ||||||||||||||||
|
| |||||||||||||||||||
11,290,457 | ||||||||||||||||||||
|
| |||||||||||||||||||
Healthcare-Services — 2.0% |
| |||||||||||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.750% | 12/15/37 | 1,900 | 2,628,080 | ||||||||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.650% | 01/15/43 | 385 | 414,927 |
SEE NOTES TO FINANCIAL STATEMENTS.
A44
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||||||
Healthcare-Services (continued) | ||||||||||||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes(a) | 7.125% | 07/15/20 | 750 | $ | 730,312 | |||||||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes(a) | 8.000% | 11/15/19 | 2,600 | 2,613,000 | ||||||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 4.375% | 12/15/20 | 745 | 792,965 | ||||||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.875% | 03/15/41 | 750 | 942,914 | ||||||||||||||||
DaVita, Inc., Gtd. Notes | 5.000% | 05/01/25 | 500 | 501,250 | ||||||||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A | 4.125% | 10/15/20 | 330 | 342,375 | ||||||||||||||||
HCA, Inc., Gtd. Notes | 5.375% | 02/01/25 | 2,325 | 2,452,410 | ||||||||||||||||
HCA, Inc., Gtd. Notes | 5.875% | 02/15/26 | 725 | 783,000 | ||||||||||||||||
HealthSouth Corp., Gtd. Notes | 5.125% | 03/15/23 | 300 | 309,000 | ||||||||||||||||
Humana, Inc., Sr. Unsec’d. Notes | 3.950% | 03/15/27 | 1,000 | 1,042,156 | ||||||||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 3.200% | 02/01/22 | 240 | 244,935 | ||||||||||||||||
Select Medical Corp., Gtd. Notes(a) | 6.375% | 06/01/21 | 2,100 | 2,157,750 | ||||||||||||||||
Synlab Bondco PLC (United Kingdom), Sr. Sec’d. Notes, | 6.250% | 07/01/22 | EUR | 1,100 | 1,359,892 | |||||||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes | 6.750% | 02/01/20 | 500 | 520,000 | ||||||||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes | 8.000% | 08/01/20 | 1,570 | 1,589,625 | ||||||||||||||||
THC Escrow Corp. III, Sec’d. Notes, 144A(a) | 5.125% | 05/01/25 | 550 | 552,063 | ||||||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 3.950% | 10/15/42 | 1,260 | 1,277,021 | ||||||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.500% | 06/15/37 | 760 | 1,025,957 | ||||||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.625% | 11/15/37 | 195 | 268,755 | ||||||||||||||||
|
| |||||||||||||||||||
22,548,387 | ||||||||||||||||||||
|
| |||||||||||||||||||
Home Builders — 0.7% | ||||||||||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A | 6.125% | 07/01/22 | 1,000 | 1,035,000 | ||||||||||||||||
CalAtlantic Group, Inc., Gtd. Notes | 6.250% | 12/15/21 | 3,500 | 3,920,000 | ||||||||||||||||
PulteGroup, Inc., Gtd. Notes | 5.000% | 01/15/27 | 975 | 1,000,594 | ||||||||||||||||
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., Gtd. Notes, 144A | 5.250% | 04/15/21 | 2,175 | 2,229,375 | ||||||||||||||||
|
| |||||||||||||||||||
8,184,969 | ||||||||||||||||||||
|
| |||||||||||||||||||
Home Furnishings — 0.1% | ||||||||||||||||||||
Tempur Sealy International, Inc., Gtd. Notes | 5.500% | 06/15/26 | 650 | 660,563 | ||||||||||||||||
|
| |||||||||||||||||||
Household Products/Wares — 0.1% | ||||||||||||||||||||
Reckitt Benckiser Treasury Services PLC (United Kingdom), Gtd. Notes, 144A | 3.000% | 06/26/27 | 1,725 | 1,702,187 | ||||||||||||||||
|
| |||||||||||||||||||
Housewares — 0.1% | ||||||||||||||||||||
Newell Brands, Inc., Sr. Unsec’d. Notes | 4.200% | 04/01/26 | 670 | 711,397 | ||||||||||||||||
|
| |||||||||||||||||||
Insurance — 2.0% | ||||||||||||||||||||
Allied World Assurance Co. Holdings Ltd., Gtd. Notes | 5.500% | 11/15/20 | 430 | 465,867 | ||||||||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 3.900% | 04/01/26 | 2,120 | 2,168,813 | ||||||||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 4.500% | 07/16/44 | 1,075 | 1,093,145 | ||||||||||||||||
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes | 2.750% | 03/15/23 | 4,760 | 4,823,070 | ||||||||||||||||
Chubb Corp. (The), Gtd. Notes | 3.408% | (c) | 03/29/67 | 1,775 | 1,761,687 | |||||||||||||||
Endurance Specialty Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes | 7.000% | 07/15/34 | 1,350 | 1,721,856 | ||||||||||||||||
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes | 5.125% | 04/15/22 | 500 | 555,028 | ||||||||||||||||
Liberty Mutual Finance Europe DAC, Gtd. Notes, 144A | 1.750% | 03/27/24 | EUR | 800 | 927,786 | |||||||||||||||
Liberty Mutual Group, Inc., Gtd. Notes, 144A | 6.500% | 03/15/35 | 1,030 | 1,287,828 | ||||||||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 7.000% | 06/15/40 | 405 | 543,904 | ||||||||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 8.750% | 07/01/19 | 388 | 436,225 | ||||||||||||||||
Markel Corp., Sr. Unsec’d. Notes | 5.000% | 03/30/43 | 350 | 375,846 | ||||||||||||||||
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A | 6.063% | 03/30/40 | 500 | 650,399 | ||||||||||||||||
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A | 6.375% | 04/30/20 | 850 | 929,862 | ||||||||||||||||
Principal Financial Group, Inc., Gtd. Notes | 4.625% | 09/15/42 | 150 | 163,432 | ||||||||||||||||
Teachers Insurance & Annuity Association of America, | 4.270% | 05/15/47 | 2,310 | 2,364,768 | ||||||||||||||||
Teachers Insurance & Annuity Association of America, | 6.850% | 12/16/39 | 196 | 268,384 |
SEE NOTES TO FINANCIAL STATEMENTS.
A45
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||||||
Insurance (continued) | ||||||||||||||||||||
Unum Group, Sr. Unsec’d. Notes | 5.625% | 09/15/20 | 500 | $ | 547,039 | |||||||||||||||
XLIT Ltd. (Bermuda), Gtd. Notes, Series E | 3.616% | (c) | 12/31/49 | 1,880 | 1,753,100 | |||||||||||||||
|
| |||||||||||||||||||
22,838,039 | ||||||||||||||||||||
|
| |||||||||||||||||||
Internet — 0.2% | ||||||||||||||||||||
Netflix, Inc., Sr. Unsec’d. Notes, 144A | 3.625% | 05/15/27 | EUR | 1,750 | 2,031,246 | |||||||||||||||
|
| |||||||||||||||||||
Iron/Steel — 0.0% | ||||||||||||||||||||
Vale Overseas Ltd. (Brazil), Gtd. Notes | 6.250% | 08/10/26 | 270 | 291,263 | ||||||||||||||||
|
| |||||||||||||||||||
Leisure Time — 0.1% | ||||||||||||||||||||
Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A | 8.500% | 10/15/22 | 1,150 | 1,207,500 | ||||||||||||||||
|
| |||||||||||||||||||
Lodging — 0.3% | ||||||||||||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.250% | 09/15/22 | 1,325 | 1,354,905 | ||||||||||||||||
MGM Resorts International, Gtd. Notes | 6.625% | 12/15/21 | 1,325 | 1,487,313 | ||||||||||||||||
Studio City Co. Ltd. (Hong Kong), Sr. Sec’d. Notes, | 7.250% | 11/30/21 | 300 | 325,875 | ||||||||||||||||
|
| |||||||||||||||||||
3,168,093 | ||||||||||||||||||||
|
| |||||||||||||||||||
Machinery-Diversified — 0.4% | ||||||||||||||||||||
CNH Industrial Capital LLC, Gtd. Notes | 4.875% | 04/01/21 | 1,050 | 1,115,625 | ||||||||||||||||
Rockwell Automation, Inc., Sr. Unsec’d. Notes | 5.200% | 01/15/98 | 1,100 | 1,158,568 | ||||||||||||||||
Xylem, Inc., Sr. Unsec’d. Notes | 4.875% | 10/01/21 | 1,960 | 2,120,265 | ||||||||||||||||
|
| |||||||||||||||||||
4,394,458 | ||||||||||||||||||||
|
| |||||||||||||||||||
Media — 2.9% | ||||||||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.900% | 08/15/39 | 65 | 85,805 | ||||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 7.625% | 11/30/28 | 1,415 | 1,852,477 | ||||||||||||||||
Cablevision Systems Corp., Sr. Unsec’d. Notes | 8.625% | 09/15/17 | 842 | 852,525 | ||||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A | 5.500% | 05/01/26 | 3,300 | 3,502,125 | ||||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A | 5.875% | 04/01/24 | 800 | 854,000 | ||||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A | 5.875% | 05/01/27 | 1,000 | 1,068,750 | ||||||||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A | 5.125% | 12/15/21 | 1,425 | 1,451,263 | ||||||||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A | 6.375% | 09/15/20 | 674 | 687,480 | ||||||||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A | 7.750% | 07/15/25 | 1,500 | 1,657,500 | ||||||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes | 6.384% | 10/23/35 | 710 | 841,601 | ||||||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes | 6.484% | 10/23/45 | 855 | 1,026,182 | ||||||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes | 6.834% | 10/23/55 | 225 | 274,238 | ||||||||||||||||
Comcast Corp., Gtd. Notes | 3.150% | 03/01/26 | 1,190 | 1,196,155 | ||||||||||||||||
DISH DBS Corp., Gtd. Notes | 4.250% | 04/01/18 | 1,850 | 1,873,717 | ||||||||||||||||
Grupo Televisa SAB (Mexico), Sr. Unsec’d. Notes | 6.125% | 01/31/46 | 495 | 550,049 | ||||||||||||||||
Liberty Interactive LLC, Sr. Unsec’d. Notes | 8.250% | 02/01/30 | 2,250 | 2,418,750 | ||||||||||||||||
Myriad International Holdings BV (South Africa), Gtd. Notes, 144A | 6.375% | 07/28/17 | 1,035 | 1,035,513 | ||||||||||||||||
NBCUniversal Media LLC, Gtd. Notes | 4.450% | 01/15/43 | 290 | 307,883 | ||||||||||||||||
Sky PLC (United Kingdom), Gtd. Notes, 144A | 6.100% | 02/15/18 | 210 | 215,436 | ||||||||||||||||
TCI Communications, Inc., Sr. Unsec’d. Notes | 7.875% | 02/15/26 | 750 | 1,012,358 | ||||||||||||||||
TEGNA, Inc., Gtd. Notes, 144A | 4.875% | 09/15/21 | 475 | 488,063 | ||||||||||||||||
Time Warner Cable, Inc., Sr. Sec’d. Notes | 6.750% | 07/01/18 | 2,620 | 2,741,065 | ||||||||||||||||
Time Warner Cos., Inc., Gtd. Notes | 7.250% | 10/15/17 | 1,440 | 1,462,298 | ||||||||||||||||
Time Warner, Inc., Gtd. Notes | 3.800% | 02/15/27 | 690 | 694,664 | ||||||||||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany), Sr. Sec’d. Notes, | 4.000% | 01/15/25 | EUR | 1,100 | 1,323,960 |
SEE NOTES TO FINANCIAL STATEMENTS.
A46
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||||||
Media (continued) | ||||||||||||||||||||
Univision Communications, Inc., Sr. Sec’d. Notes, 144A(g) | 5.125% | 02/15/25 | 1,175 | $ | 1,164,719 | |||||||||||||||
UPCB Finance IV Ltd. (Netherlands), Sr. Sec’d. Notes, 144A | 5.375% | 01/15/25 | 1,140 | 1,192,725 | ||||||||||||||||
Ziggo Secured Finance BV (Netherlands), Sr. Sec’d. Notes, | 3.750% | 01/15/25 | EUR | 1,000 | 1,192,704 | |||||||||||||||
|
| |||||||||||||||||||
33,024,005 | ||||||||||||||||||||
|
| |||||||||||||||||||
Mining — 0.2% | ||||||||||||||||||||
Barrick North America Finance LLC (Canada), Gtd. Notes | 5.750% | 05/01/43 | 410 | 496,924 | ||||||||||||||||
Goldcorp, Inc. (Canada), Sr. Unsec’d. Notes | 3.625% | 06/09/21 | 825 | 855,194 | ||||||||||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 5.875% | 04/23/45 | 235 | 251,236 | ||||||||||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 6.750% | 04/16/40 | 990 | 1,140,267 | ||||||||||||||||
|
| |||||||||||||||||||
2,743,621 | ||||||||||||||||||||
|
| |||||||||||||||||||
Miscellaneous Manufacturing — 0.6% | ||||||||||||||||||||
General Electric Co., Sr. Unsec’d. Notes | 0.875% | 05/17/25 | EUR | 1,475 | 1,661,694 | |||||||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.125% | 10/09/42 | 500 | 526,200 | ||||||||||||||||
General Electric Co., Sub. Notes, MTN | 5.300% | 02/11/21 | 340 | 376,004 | ||||||||||||||||
Ingersoll-Rand Global Holding Co. Ltd., Gtd. Notes | 5.750% | 06/15/43 | 425 | 535,428 | ||||||||||||||||
Pentair Finance SA (United Kingdom), Gtd. Notes | 1.875% | 09/15/17 | 625 | 625,245 | ||||||||||||||||
Textron, Inc., Sr. Unsec’d. Notes | 7.250% | 10/01/19 | 2,350 | 2,598,816 | ||||||||||||||||
|
| |||||||||||||||||||
6,323,387 | ||||||||||||||||||||
|
| |||||||||||||||||||
Multi-National — 0.4% | ||||||||||||||||||||
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes | 2.000% | 05/10/19 | 1,180 | 1,183,302 | ||||||||||||||||
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes | 2.125% | 09/27/21 | 3,095 | 3,076,987 | ||||||||||||||||
|
| |||||||||||||||||||
4,260,289 | ||||||||||||||||||||
|
| |||||||||||||||||||
Office/Business Equipment — 0.1% | ||||||||||||||||||||
CDW LLC/CDW Finance Corp., Gtd. Notes | 5.000% | 09/01/23 | 1,150 | 1,197,438 | ||||||||||||||||
|
| |||||||||||||||||||
Oil & Gas — 2.7% | ||||||||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 4.677% | (s) | 10/10/36 | 2,000 | 824,570 | |||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.450% | 09/15/36 | 945 | 1,112,352 | ||||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.600% | 03/15/46 | 165 | 203,780 | ||||||||||||||||
Apache Corp., Sr. Unsec’d. Notes | 5.100% | 09/01/40 | 650 | 664,066 | ||||||||||||||||
CNOOC Finance 2013 Ltd. (China), Gtd. Notes | 3.000% | 05/09/23 | 750 | 741,872 | ||||||||||||||||
Devon Energy Corp., Sr. Unsec’d. Notes | 5.600% | 07/15/41 | 1,650 | 1,713,655 | ||||||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes | 4.950% | 07/19/22 | 390 | 403,413 | ||||||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 6.510% | 03/07/22 | 1,665 | 1,836,748 | ||||||||||||||||
Helmerich & Payne International Drilling Co., Gtd. Notes | 4.650% | 03/15/25 | 1,500 | 1,572,955 | ||||||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A | 3.875% | 04/19/22 | 560 | 554,176 | ||||||||||||||||
KazMunaygas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A | 4.750% | 04/19/27 | 200 | 196,020 | ||||||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A, MTN | 9.125% | 07/02/18 | 1,610 | 1,703,187 | ||||||||||||||||
Lukoil International Finance BV (Russia), Gtd. Notes, 144A | 6.125% | 11/09/20 | 600 | 653,100 | ||||||||||||||||
Nabors Industries, Inc., Gtd. Notes | 4.625% | 09/15/21 | 1,650 | 1,567,170 | ||||||||||||||||
Noble Energy, Inc., Sr. Unsec’d. Notes | 6.000% | 03/01/41 | 1,530 | 1,712,053 | ||||||||||||||||
Petrobras Global Finance BV (Brazil), Gtd. Notes | 6.125% | 01/17/22 | 165 | 170,198 | ||||||||||||||||
Petrobras Global Finance BV (Brazil), Gtd. Notes | 7.375% | 01/17/27 | 405 | 428,490 | ||||||||||||||||
Petrobras Global Finance BV (Brazil), Gtd. Notes | 8.375% | 05/23/21 | 2,475 | 2,770,465 | ||||||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 4.875% | 01/24/22 | 1,100 | 1,133,231 | ||||||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 6.375% | 01/23/45 | 1,015 | 989,625 | ||||||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes, 144A | 5.375% | 03/13/22 | 405 | 426,364 | ||||||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes, 144A | 6.500% | 03/13/27 | 370 | 397,473 | ||||||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes, EMTN | 2.750% | 04/21/27 | EUR | 700 | 719,556 | |||||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes, EMTN | 3.750% | 02/21/24 | EUR | 400 | 472,939 |
SEE NOTES TO FINANCIAL STATEMENTS.
A47
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||||||
Oil & Gas (continued) | ||||||||||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes, EMTN | 4.875% | 02/21/28 | EUR | 400 | $ | 475,718 | ||||||||||||||
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | 6.875% | 05/01/18 | 1,750 | 1,820,094 | ||||||||||||||||
Sasol Financing International PLC (South Africa), Gtd. Notes | 4.500% | 11/14/22 | 1,525 | 1,560,533 | ||||||||||||||||
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. | 2.500% | 04/28/20 | 1,250 | 1,255,886 | ||||||||||||||||
Sunoco LP/Sunoco Finance Corp., Gtd. Notes | 6.250% | 04/15/21 | 1,533 | 1,601,985 | ||||||||||||||||
YPF SA (Argentina), Sr. Unsec’d. Notes, 144A | 8.500% | 03/23/21 | 1,000 | 1,112,290 | ||||||||||||||||
|
| |||||||||||||||||||
30,793,964 | ||||||||||||||||||||
|
| |||||||||||||||||||
Oil & Gas Services — 0.1% | ||||||||||||||||||||
Cameron International Corp., Gtd. Notes | 7.000% | 07/15/38 | 450 | 592,396 | ||||||||||||||||
|
| |||||||||||||||||||
Packaging & Containers — 0.6% | ||||||||||||||||||||
Ball Corp., Gtd. Notes | 4.375% | 12/15/23 | EUR | 1,125 | 1,453,567 | |||||||||||||||
Greif Nevada Holdings, Gtd. Notes, 144A, MTN | 7.375% | 07/15/21 | EUR | 1,470 | 2,032,386 | |||||||||||||||
Greif, Inc., Sr. Unsec’d. Notes | 7.750% | 08/01/19 | 1,815 | 1,987,425 | ||||||||||||||||
WestRock RKT Co., Gtd. Notes | 4.450% | 03/01/19 | 1,165 | 1,208,286 | ||||||||||||||||
|
| |||||||||||||||||||
6,681,664 | ||||||||||||||||||||
|
| |||||||||||||||||||
Pharmaceuticals — 0.6% | ||||||||||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 3.600% | 05/14/25 | 1,020 | 1,040,465 | ||||||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 4.500% | 05/14/35 | 1,715 | 1,808,699 | ||||||||||||||||
Actavis Funding SCS, Gtd. Notes | 3.800% | 03/15/25 | 415 | 429,255 | ||||||||||||||||
Actavis Funding SCS, Gtd. Notes | 4.550% | 03/15/35 | 1,850 | 1,974,557 | ||||||||||||||||
Actavis Funding SCS, Gtd. Notes | 4.750% | 03/15/45 | 156 | 168,397 | ||||||||||||||||
Endo DAC/Endo Finance LLC/Endo Finco, Inc., Gtd. Notes, 144A | 6.000% | 07/15/23 | 625 | 525,312 | ||||||||||||||||
Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes(a) | 3.150% | 10/01/26 | 505 | 479,587 | ||||||||||||||||
Teva Pharmaceutical Finance Netherlands Ill BV (Israel), Gtd. Notes | 4.100% | 10/01/46 | 160 | 147,373 | ||||||||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A(a) | 6.125% | 04/15/25 | 450 | 380,813 | ||||||||||||||||
|
| |||||||||||||||||||
6,954,458 | ||||||||||||||||||||
|
| |||||||||||||||||||
Pipelines — 0.7% | ||||||||||||||||||||
Enterprise Products Operating LLC, Gtd. Notes | 4.900% | 05/15/46 | 2,110 | 2,268,946 | ||||||||||||||||
Fermaca Enterprises S de RL de CV (Mexico), Sr. Sec’d. Notes, 144A(g) | 6.375% | 03/30/38 | 410 | 436,924 | ||||||||||||||||
Magellan Midstream Partners LP, Sr. Unsec’d. Notes | 4.200% | 03/15/45 | 1,000 | 928,566 | ||||||||||||||||
MPLX LP, Sr. Unsec’d. Notes | 5.200% | 03/01/47 | 115 | 118,436 | ||||||||||||||||
ONEOK Partners LP, Gtd. Notes | 2.000% | 10/01/17 | 750 | 750,296 | ||||||||||||||||
Oneok Partners LP, Gtd. Notes | 6.850% | 10/15/37 | 1,250 | 1,527,961 | ||||||||||||||||
Western Gas Partners LP, Sr. Unsec’d. Notes | 5.450% | 04/01/44 | 575 | 583,693 | ||||||||||||||||
Williams Partners LP, Sr. Unsec’d. Notes | 4.900% | 01/15/45 | 1,200 | 1,201,576 | ||||||||||||||||
|
| |||||||||||||||||||
7,816,398 | ||||||||||||||||||||
|
| |||||||||||||||||||
Real Estate — 0.0% | ||||||||||||||||||||
ProLogis LP, Gtd. Notes | 6.875% | 03/15/20 | 8 | 8,875 | ||||||||||||||||
|
| |||||||||||||||||||
Real Estate Investment Trusts (REITs) — 0.3% | ||||||||||||||||||||
DuPont Fabros Technology LP, Gtd. Notes | 5.875% | 09/15/21 | 2,000 | 2,082,500 | ||||||||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 3.375% | 03/15/22 | 325 | 335,841 | ||||||||||||||||
Trust F/1401 (Mexico), Sr. Unsec’d. Notes, 144A | 5.250% | 12/15/24 | 1,235 | 1,286,253 | ||||||||||||||||
|
| |||||||||||||||||||
3,704,594 | ||||||||||||||||||||
|
| |||||||||||||||||||
Retail — 0.6% | ||||||||||||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 5.125% | 07/20/45 | 765 | 876,992 | ||||||||||||||||
Dufry Finance SCA (Switzerland), Gtd. Notes, 144A | 4.500% | 08/01/23 | EUR | 775 | 943,810 | |||||||||||||||
Limited Brands, Inc., Gtd. Notes | 6.625% | 04/01/21 | 551 | 610,233 | ||||||||||||||||
Limited Brands, Inc., Gtd. Notes | 5.625% | 02/15/22 | 1,600 | 1,712,000 | ||||||||||||||||
PVH Corp., Sr. Unsec’d. Notes, 144A | 3.625% | 07/15/24 | EUR | 1,250 | 1,521,117 | |||||||||||||||
Tops Holding LLC/Tops Markets II Corp., Sr. Sec’d. Notes, 144A(g) | 8.000% | 06/15/22 | 775 | 636,469 | ||||||||||||||||
|
| |||||||||||||||||||
6,300,621 | ||||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A48
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||||||
Savings & Loans — 0.1% | ||||||||||||||||||||
People’s United Financial, Inc., Sr. Unsec’d. Notes | 3.650% | 12/06/22 | 1,675 | $ | 1,710,222 | |||||||||||||||
|
| |||||||||||||||||||
Semiconductors — 0.6% | ||||||||||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd., Gtd. Notes, 144A | 3.875% | 01/15/27 | 1,850 | 1,899,765 | ||||||||||||||||
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A | 4.625% | 06/01/23 | 2,975 | 3,209,281 | ||||||||||||||||
Sensata Technologies BV, Gtd. Notes, 144A | 5.000% | 10/01/25 | 1,750 | 1,830,150 | ||||||||||||||||
|
| |||||||||||||||||||
6,939,196 | ||||||||||||||||||||
|
| |||||||||||||||||||
Software — 1.0% | ||||||||||||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 3.000% | 08/15/26 | 1,050 | 1,016,732 | ||||||||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 4.500% | 10/15/22 | 2,355 | 2,558,879 | ||||||||||||||||
First Data Corp., Gtd. Notes, 144A | 7.000% | 12/01/23 | 2,225 | 2,375,187 | ||||||||||||||||
Infor US, Inc., Gtd. Notes(g) | 6.500% | 05/15/22 | 950 | 983,250 | ||||||||||||||||
Infor US, Inc., Sr. Sec’d. Notes, 144A(g) | 5.750% | 08/15/20 | 1,350 | 1,393,875 | ||||||||||||||||
Microsoft Corp., Sr. Unsec’d. Notes | 4.000% | 02/12/55 | 435 | 440,496 | ||||||||||||||||
Microsoft Corp., Sr. Unsec’d. Notes | 4.500% | 02/06/57 | 1,430 | 1,574,427 | ||||||||||||||||
Oracle Corp., Sr. Unsec’d. Notes | 4.300% | 07/08/34 | 1,070 | 1,160,962 | ||||||||||||||||
|
| |||||||||||||||||||
11,503,808 | ||||||||||||||||||||
|
| |||||||||||||||||||
Telecommunications — 1.5% | ||||||||||||||||||||
AT&T Corp., Gtd. Notes | 8.250% | 11/15/31 | 55 | 76,395 | ||||||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 3.400% | 05/15/25 | 2,320 | 2,280,769 | ||||||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 05/15/35 | 300 | 295,138 | ||||||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 03/09/48 | 74 | 69,240 | ||||||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.550% | 03/09/49 | 499 | 471,543 | ||||||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.750% | 05/15/46 | 850 | 833,513 | ||||||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.800% | 06/15/44 | 1,515 | 1,501,432 | ||||||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.250% | 03/01/37 | 680 | 724,456 | ||||||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.350% | 09/01/40 | 49 | 51,885 | ||||||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.450% | 03/01/47 | 315 | 339,105 | ||||||||||||||||
Bharti Airtel International Netherlands BV (India), | 5.125% | 03/11/23 | 1,305 | 1,373,500 | ||||||||||||||||
Sprint Capital Corp., Gtd. Notes | 6.900% | 05/01/19 | 1,300 | 1,387,685 | ||||||||||||||||
Sprint Corp., Gtd. Notes(a) | 7.625% | 02/15/25 | 500 | 575,625 | ||||||||||||||||
T-Mobile USA, Inc., Gtd. Notes | 6.500% | 01/15/26 | 1,675 | 1,848,781 | ||||||||||||||||
Telecom Italia SpA (Italy), Sr. Unsec’d. Notes, EMTN | 6.375% | 06/24/19 | GBP | 950 | 1,350,859 | |||||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.672% | 03/15/55 | 2,741 | 2,566,091 | ||||||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.750% | 11/01/41 | 745 | 741,001 | ||||||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 5.250% | 03/16/37 | 775 | 833,118 | ||||||||||||||||
|
| |||||||||||||||||||
17,320,136 | ||||||||||||||||||||
|
| |||||||||||||||||||
Textiles — 0.0% |
| |||||||||||||||||||
Mohawk Industries, Inc., Sr. Unsec’d. Notes | 3.850% | 02/01/23 | 294 | 303,548 | ||||||||||||||||
|
| |||||||||||||||||||
Transportation — 0.1% |
| |||||||||||||||||||
Silk Bidco AS (Norway), Sr. Sec’d. Notes, | 7.500% | 02/01/22 | EUR | 1,300 | 1,581,310 | |||||||||||||||
|
| |||||||||||||||||||
TOTAL CORPORATE BONDS |
| 475,306,576 | ||||||||||||||||||
|
| |||||||||||||||||||
MUNICIPAL BONDS — 1.8% | ||||||||||||||||||||
California — 0.7% |
| |||||||||||||||||||
Bay Area Toll Authority, Revenue Bonds, BABs | 6.907% | 10/01/50 | 1,125 | 1,700,853 | ||||||||||||||||
State of California, General Obligation Unlimited, BABs | 7.300% | 10/01/39 | 2,280 | 3,334,067 | ||||||||||||||||
State of California, General Obligation Unlimited, BABs | 7.625% | 03/01/40 | 725 | 1,104,581 | ||||||||||||||||
University of California, Revenue Bonds, BABs | 5.770% | 05/15/43 | 1,400 | 1,793,372 | ||||||||||||||||
|
| |||||||||||||||||||
7,932,873 | ||||||||||||||||||||
|
| |||||||||||||||||||
Colorado — 0.1% |
| |||||||||||||||||||
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs | 5.844% | 11/01/50 | 770 | 1,036,451 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A49
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
MUNICIPAL BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||||
Illinois — 0.2% | ||||||||||||||||||
Chicago O’Hare International Airport, Revenue Bonds, BABs | 6.395% | 01/01/40 | 1,380 | $ | 1,864,449 | |||||||||||||
|
| |||||||||||||||||
New Jersey — 0.4% | ||||||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, | 7.102% | 01/01/41 | 1,175 | 1,712,798 | ||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, | 7.414% | 01/01/40 | 2,050 | 3,079,120 | ||||||||||||||
|
| |||||||||||||||||
4,791,918 | ||||||||||||||||||
|
| |||||||||||||||||
Ohio — 0.1% | ||||||||||||||||||
Ohio State University (The), Revenue Bonds, BABs | 4.910% | 06/01/40 | 695 | 836,245 | ||||||||||||||
Ohio State Water Development Authority Water Pollution Control Loan Fund, Revenue Bonds, BABs | 4.879% | 12/01/34 | 450 | 512,662 | ||||||||||||||
|
| |||||||||||||||||
1,348,907 | ||||||||||||||||||
|
| |||||||||||||||||
Oregon — 0.1% | ||||||||||||||||||
Oregon State Department of Transportation, Revenue Bonds, | 5.834% | 11/15/34 | 615 | 792,065 | ||||||||||||||
|
| |||||||||||||||||
Pennsylvania — 0.1% | ||||||||||||||||||
Pennsylvania Turnpike Commission, Revenue Bonds, | 5.511% | 12/01/45 | 800 | 997,384 | ||||||||||||||
|
| |||||||||||||||||
Tennessee — 0.1% | ||||||||||||||||||
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | 6.731% | 07/01/43 | 1,375 | 1,841,029 | ||||||||||||||
|
| |||||||||||||||||
TOTAL MUNICIPAL BONDS |
| 20,605,076 | ||||||||||||||||
|
| |||||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 6.0% | ||||||||||||||||||
Alternative Loan Trust, Series 2004-18CB, Class 3A1 | 5.250% | 09/25/19 | 164 | 164,925 | ||||||||||||||
Bayview Opportunity Master Fund IVb Trust, Series 2016-CRT1, Class M1, 144A | 2.972% | (c) | 10/27/27 | 531 | 531,373 | |||||||||||||
Bayview Opportunity Master Fund IVb Trust, Series 2017-CRT1, Class M, 144A | 3.372% | (c) | 10/25/28 | 1,241 | 1,242,240 | |||||||||||||
Citigroup Mortgage Loan Trust, Series 2011-12, Class 3A2, 144A | 3.174% | (c) | 09/25/47 | 1,034 | 936,828 | |||||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2016-C04, Class 1M1 | 2.666% | (c) | 01/25/29 | 1,392 | 1,409,341 | |||||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2017-C01, Class 1M2 | 4.766% | (c) | 07/25/29 | 700 | 739,234 | |||||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2 | 4.216% | (c) | 10/25/29 | 990 | 1,016,677 | |||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, | 5.766% | (c) | 10/25/24 | 654 | 720,585 | |||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, | 4.516% | (c) | 10/25/27 | 3,460 | 3,867,886 | |||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, | 3.466% | (c) | 11/25/28 | 1,450 | 1,490,040 | |||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, | 2.566% | (c) | 03/25/29 | 760 | 772,267 | |||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, | 2.516% | (c) | 04/25/29 | 1,740 | 1,759,483 | |||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, | 4.466% | (c) | 07/25/29 | 1,130 | 1,178,767 | |||||||||||||
GSMSC Resecuritization Trust, Series 2015-3R, Class 1A1, 144A | 1.164% | (c) | 01/26/37 | 2,796 | 2,740,328 | |||||||||||||
GSMSC Resecuritization Trust, Series 2015-3R, Class 1A2, 144A | 1.164% | (c) | 01/26/37 | 1,400 | 1,266,569 | |||||||||||||
GSMSC Resecuritization Trust, Series 2015-4R, Class A1, 144A | 1.164% | (c) | 03/26/37 | 2,473 | 2,399,502 | |||||||||||||
GSMSC Resecuritization Trust, Series 2015-4R, Class A2, 144A | 1.164% | (c) | 03/26/37 | 700 | 597,597 | |||||||||||||
Harborview Mortgage Loan Trust, Series 2007-4, Class 2A1 | 1.429% | (c) | 07/19/47 | 2,126 | 1,811,659 | |||||||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-3, Class A, 144A | 3.050% | (c) | 09/01/21 | 1,345 | 1,345,255 |
SEE NOTES TO FINANCIAL STATEMENTS.
A50
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2017-4, Class A, 144A | 3.050% | (c) | 05/01/22 | 11,956 | $ | 11,841,209 | ||||||||||||
LSTAR Securities Investment Ltd., Series 2017-5, Class A, 144A | 3.050% | (c) | 05/01/22 | 8,465 | 8,376,567 | |||||||||||||
LSTAR Securities Investment Trust (Cayman Islands), Series 2016-5, Class A1, 144A | 3.050% | (c) | 11/01/21 | 1,468 | 1,467,238 | |||||||||||||
LSTAR Securities Investment Trust (Cayman Islands), Series 2017-1, Class A, 144A^ | 3.050% | (c) | 01/01/22 | 2,713 | 2,706,955 | |||||||||||||
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | 5.000% | 04/25/19 | 21 | 21,219 | ||||||||||||||
Mortgage Repurchase Agreement Financing Trust, Series 2016-4, Class A1, 144A^ | 2.317% | (c) | 05/10/19 | 6,310 | 6,310,000 | |||||||||||||
Mortgage Repurchase Agreement Financing Trust, Series 2016-5, Class A, 144A | 2.287% | (c) | 06/10/19 | 1,100 | 1,098,161 | |||||||||||||
Mortgage Repurchase Agreement Financing Trust, Series 2017-1, Class A2, 144A | 1.967% | (c) | 07/10/19 | 2,210 | 2,210,929 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 3.396% | (c) | 02/25/34 | 812 | 816,493 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-18, Class 3A1 | 3.369% | (c) | 12/25/34 | 4,097 | 3,976,368 | |||||||||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-HF2, Class M3 | 4.216% | (c) | 07/25/32 | 462 | 453,380 | |||||||||||||
Towd Point Mortgage Funding PLC (United Kingdom), | 1.504% | (c) | 02/20/54 | GBP | 2,038 | 2,671,074 | ||||||||||||
Washington Mutual Mortgage Pass-Through Certificates, | 5.000% | 03/25/20 | 114 | 114,168 | ||||||||||||||
|
| |||||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 68,054,317 | ||||||||||||||||
|
| |||||||||||||||||
SOVEREIGN BONDS — 4.7% | ||||||||||||||||||
Argentine Republic Government International Bond (Argentina), | 6.875% | 04/22/21 | 1,175 | 1,257,250 | ||||||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | 4.000% | 02/26/24 | 250 | 259,500 | ||||||||||||||
Dominican Republic International Bond (Dominican Republic), | 7.500% | 05/06/21 | 2,250 | 2,486,250 | ||||||||||||||
Dominican Republic International Bond (Dominican Republic), | 6.850% | 01/27/45 | 600 | 639,000 | ||||||||||||||
Dominican Republic International Bond (Dominican Republic), | 7.450% | 04/30/44 | 290 | 330,600 | ||||||||||||||
Dominican Republic International Bond (Dominican Republic), | 7.500% | 05/06/21 | 600 | 663,000 | ||||||||||||||
Hellenic Republic Government Bond (Greece), Bonds | 3.000% | (c) | 02/24/31 | EUR | 620 | 560,503 | ||||||||||||
Hellenic Republic Government Bond (Greece), Bonds | 3.000% | (c) | 02/24/34 | EUR | 640 | 554,213 | ||||||||||||
Hellenic Republic Government International Bond (Greece), Bonds | 3.000% | (c) | 02/24/32 | EUR | 1,280 | 1,143,073 | ||||||||||||
Hellenic Republic Government International Bond (Greece), | 3.800% | 08/08/17 | JPY | 680,000 | 5,976,503 | |||||||||||||
Hungary Government International Bond (Hungary), | 4.125% | 02/19/18 | 2,020 | 2,048,401 | ||||||||||||||
Hungary Government International Bond (Hungary), | 5.375% | 02/21/23 | 436 | 485,050 | ||||||||||||||
Hungary Government International Bond (Hungary), | 5.375% | 03/25/24 | 290 | 326,458 | ||||||||||||||
Hungary Government International Bond (Hungary), | 5.750% | 11/22/23 | 2,300 | 2,629,921 | ||||||||||||||
Hungary Government International Bond (Hungary), | 6.000% | 01/11/19 | EUR | 715 | 890,287 | |||||||||||||
Hungary Government International Bond (Hungary), | 6.375% | 03/29/21 | 2,776 | 3,121,612 |
SEE NOTES TO FINANCIAL STATEMENTS.
A51
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
SOVEREIGN BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec.d Notes | 3.375% | 07/30/25 | EUR | 1,625 | $ | 2,024,281 | ||||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, EMTN | 2.875% | 07/08/21 | EUR | 825 | 1,010,214 | |||||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, MTN | 3.750% | 06/14/28 | EUR | 500 | 625,505 | |||||||||||||
Japan Bank for International Cooperation (Japan), | 1.750% | 05/29/19 | 600 | 597,365 | ||||||||||||||
Japan Bank for International Cooperation (Japan), | 1.750% | 07/31/18 | 2,000 | 1,999,598 | ||||||||||||||
Japan Bank for International Cooperation (Japan), | 2.125% | 06/01/20 | 400 | 399,954 | ||||||||||||||
Japan Bank for International Cooperation (Japan), | 2.250% | 02/24/20 | 800 | 803,459 | ||||||||||||||
Japan Bank for International Cooperation (Japan), | 2.500% | 06/01/22 | 800 | 803,599 | ||||||||||||||
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, MTN | 2.500% | 09/12/18 | 3,000 | 3,014,970 | ||||||||||||||
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN | 2.625% | 04/20/22 | 1,000 | 1,001,349 | ||||||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes | 4.600% | 01/23/46 | 700 | 683,270 | ||||||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN | 4.750% | 03/08/44 | 462 | 462,462 | ||||||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 3.750% | 03/16/25 | 450 | 463,500 | ||||||||||||||
Peru Enhanced Pass-Through Finance Ltd. (Peru), Pass-Through Certificates, 144A | 3.974% | (s) | 05/31/18 | 198 | 193,101 | |||||||||||||
Philippine Government International Bond (Philippines), Sr. Unsec’d. Notes | 9.500% | 02/02/30 | 450 | 721,182 | ||||||||||||||
Portugal Government International Bond (Portugal), Sr. Unsec’d. Notes, MTN | 5.125% | 10/15/24 | 2,100 | 2,142,000 | ||||||||||||||
Province of Ontario Canada (Canada), Sr. Unsec’d. Notes | 2.400% | 02/08/22 | 345 | 347,662 | ||||||||||||||
Province of Ontario Canada (Canada), Sr. Unsec’d. Notes | 4.400% | 04/14/20 | 350 | 373,277 | ||||||||||||||
Provincia de Buenos Aires (Argentina), Sr. Unsec’d. Notes, 144A | 9.950% | 06/09/21 | 1,940 | 2,211,503 | ||||||||||||||
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A, MTN | 3.875% | 10/29/35 | EUR | 945 | 1,128,422 | |||||||||||||
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, MTN | 3.875% | 10/29/35 | EUR | 1,000 | 1,194,097 | |||||||||||||
Saudi Government International Bond (Saudi Arabia), Sr. Unsec’d. Notes, 144A, MTN | 3.250% | 10/26/26 | 1,450 | 1,437,733 | ||||||||||||||
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes | 5.250% | 02/18/24 | 600 | 686,339 | ||||||||||||||
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes | 5.500% | 10/26/22 | 1,300 | 1,483,167 | ||||||||||||||
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes | 5.850% | 05/10/23 | 200 | 232,987 | ||||||||||||||
Tokyo Metropolitan Government (Japan), Sr. Unsec’d. Notes | 2.125% | 05/19/20 | 1,000 | 996,044 | ||||||||||||||
Tokyo Metropolitan Government (Japan), Sr. Unsec’d. Notes, 144A | 2.500% | 06/08/22 | 600 | 601,181 | ||||||||||||||
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes | 5.625% | 03/30/21 | 500 | 530,000 | ||||||||||||||
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes | 7.000% | 06/05/20 | 1,510 | 1,651,079 | ||||||||||||||
|
| |||||||||||||||||
TOTAL SOVEREIGN BONDS |
| 53,190,921 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A52
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.3% | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 10/01/33 | 834 | $ | 950,969 | |||||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 06/01/34 | 12 | 13,576 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 11/01/33 | 238 | 269,269 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 05/01/34 | 142 | 159,358 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 06/01/34 | 161 | 181,414 | ||||||||||||||
Federal Home Loan Mortgage Corp.(hh) | 6.250% | 07/15/32 | 830 | 1,179,880 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 07/01/32 | 30 | 32,617 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 07/01/32 | 33 | 36,897 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 08/01/32 | 68 | 75,140 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 08/01/32 | 58 | 63,845 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 08/01/32 | 63 | 73,297 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 09/01/32 | 172 | 193,350 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 09/01/32 | 53 | 58,876 | ||||||||||||||
Federal Home Loan Mortgage Corp.(hh) | 6.750% | 03/15/31 | 600 | 868,085 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 02/01/33 | 29 | 32,559 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 02/01/33 | 24 | 26,709 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 03/01/33 | 78 | 87,380 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 03/01/33 | 74 | 82,729 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 03/01/33 | 35 | 38,688 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 04/01/33 | 48 | 53,373 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 04/01/33 | 53 | 59,816 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 04/01/33 | 11 | 12,026 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 04/01/33 | 40 | 44,758 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 07/01/33 | 56 | 62,466 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 07/01/33 | 52 | 57,821 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 08/01/33 | 18 | 19,643 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 02/01/34 | 47 | 52,480 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 04/01/34 | 48 | 52,852 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 06/01/34 | 42 | 47,156 | ||||||||||||||
Federal National Mortgage Assoc. | 6.000% | 10/01/33 | 329 | 375,733 | ||||||||||||||
Federal National Mortgage Assoc. | 6.000% | 10/01/33 | 4 | 4,361 | ||||||||||||||
Federal National Mortgage Assoc. | 6.000% | 03/01/34 | 128 | 143,894 | ||||||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/35 | 285 | 329,338 | ||||||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/36 | 83 | 93,686 | ||||||||||||||
Federal National Mortgage Assoc.(hh) | 6.250% | 05/15/29 | 1,090 | 1,479,087 | ||||||||||||||
Federal National Mortgage Assoc. | 6.500% | 08/01/32 | 181 | 205,858 | ||||||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 128 | 141,251 | ||||||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 256 | 288,695 | ||||||||||||||
Federal National Mortgage Assoc. | 6.500% | 10/01/32 | 122 | 136,820 | ||||||||||||||
Federal National Mortgage Assoc. | 6.500% | 04/01/33 | 231 | 260,352 | ||||||||||||||
Federal National Mortgage Assoc. | 6.500% | 11/01/33 | 8 | 8,841 | ||||||||||||||
Federal National Mortgage Assoc.(hh) | 6.625% | 11/15/30 | 530 | 757,721 | ||||||||||||||
Federal National Mortgage Assoc. | 7.000% | 05/01/32 | 93 | 100,878 | ||||||||||||||
Federal National Mortgage Assoc. | 7.000% | 06/01/32 | 9 | 10,367 | ||||||||||||||
Federal National Mortgage Assoc.(hh) | 7.125% | 01/15/30 | 785 | 1,145,874 | ||||||||||||||
Government National Mortgage Assoc. | 5.500% | 01/15/33 | 99 | 111,261 | ||||||||||||||
Government National Mortgage Assoc. | 5.500% | 02/15/33 | 73 | 82,317 | ||||||||||||||
Government National Mortgage Assoc. | 5.500% | 05/15/33 | 203 | 225,280 | ||||||||||||||
Government National Mortgage Assoc. | 5.500% | 05/15/33 | 147 | 163,134 | ||||||||||||||
Government National Mortgage Assoc. | 5.500% | 06/15/33 | 228 | 258,520 | ||||||||||||||
Government National Mortgage Assoc. | 5.500% | 09/15/33 | 125 | 140,503 | ||||||||||||||
Government National Mortgage Assoc. | 5.500% | 07/15/35 | 102 | 115,365 | ||||||||||||||
Government National Mortgage Assoc. | 6.000% | 12/15/32 | 181 | 213,667 | ||||||||||||||
Government National Mortgage Assoc. | 6.000% | 11/15/33 | 90 | 103,960 | ||||||||||||||
Government National Mortgage Assoc. | 6.000% | 01/15/34 | 15 | 17,598 | ||||||||||||||
Government National Mortgage Assoc. | 6.000% | 06/20/34 | 482 | 547,666 | ||||||||||||||
Government National Mortgage Assoc. | 6.000% | 11/15/34 | 724 | 827,023 | ||||||||||||||
Government National Mortgage Assoc. | 6.500% | 09/15/32 | 242 | 269,445 | ||||||||||||||
Government National Mortgage Assoc. | 6.500% | 09/15/32 | 262 | 291,104 |
SEE NOTES TO FINANCIAL STATEMENTS.
A53
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||||
Government National Mortgage Assoc. | 6.500% | 09/15/32 | 93 | $ | 102,048 | |||||||||||||
Government National Mortgage Assoc. | 6.500% | 11/15/33 | 217 | 243,283 | ||||||||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 2.875% | 02/01/27 | 365 | 373,557 | ||||||||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 7.125% | 05/01/30 | 510 | 738,835 | ||||||||||||||
|
| |||||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 15,194,351 | ||||||||||||||||
|
| |||||||||||||||||
U.S. TREASURY OBLIGATIONS — 4.9% | ||||||||||||||||||
U.S. Treasury Bonds(hh)(k) | 2.500% | 05/15/46 | 2,105 | 1,958,391 | ||||||||||||||
U.S. Treasury Bonds(k) | 2.875% | 05/15/43 | 3,955 | 3,993,316 | ||||||||||||||
U.S. Treasury Bonds | 3.000% | 02/15/47 | 3,925 | 4,048,881 | ||||||||||||||
U.S. Treasury Bonds(hh)(k) | 4.250% | 11/15/40 | 2,350 | 2,953,106 | ||||||||||||||
U.S. Treasury Notes | 1.250% | 07/31/23 | 2,500 | 2,386,915 | ||||||||||||||
U.S. Treasury Notes(hh) | 1.375% | 04/30/21 | 285 | 281,360 | ||||||||||||||
U.S. Treasury Notes(hh)(k) | 1.375% | 05/31/21 | 9,960 | 9,821,885 | ||||||||||||||
U.S. Treasury Notes | 1.625% | 05/31/23 | 6,500 | 6,356,799 | ||||||||||||||
U.S. Treasury Notes(a) | 1.750% | 05/31/22 | 1,890 | 1,878,926 | ||||||||||||||
U.S. Treasury Notes | 1.750% | 06/30/22 | 4,605 | 4,575,141 | ||||||||||||||
U.S. Treasury Notes | 2.000% | 05/31/24 | 2,930 | 2,906,422 | ||||||||||||||
U.S. Treasury Notes | 2.000% | 06/30/24 | 615 | 609,571 | ||||||||||||||
U.S. Treasury Notes | 2.000% | 02/15/25 | 3,000 | 2,958,867 | ||||||||||||||
U.S. Treasury Notes | 2.250% | 04/30/21 | 2,490 | 2,538,341 | ||||||||||||||
U.S. Treasury Notes(hh) | 2.250% | 07/31/21 | 805 | 820,314 | ||||||||||||||
U.S. Treasury Notes | 2.375% | 05/15/27 | 3,800 | 3,824,046 | ||||||||||||||
U.S. Treasury Strips Coupon, IO(k) | 2.783% | (s) | 08/15/29 | 1,200 | 881,630 | |||||||||||||
U.S. Treasury Strips Coupon, IO(k) | 2.878% | (s) | 05/15/31 | 1,200 | 833,159 | |||||||||||||
U.S. Treasury Strips Coupon, IO(hh)(k) | 3.042% | (s) | 11/15/35 | 2,400 | 1,448,534 | |||||||||||||
U.S. Treasury Strips Coupon, IO(hh) | 3.202% | (s) | 08/15/40 | 2,400 | 1,228,337 | |||||||||||||
|
| |||||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 56,303,941 | ||||||||||||||||
|
| |||||||||||||||||
PREFERRED STOCKS — 0.2% | ||||||||||||||||||
Banking |
| |||||||||||||||||
Citigroup Capital XIII, 7.542%, (Capital Security, fixed to floating preferred)(c) |
| 45,000 | 1,169,100 | |||||||||||||||
State Street Corp., 5.35%(c) |
| 35,000 | 960,050 | |||||||||||||||
|
| |||||||||||||||||
TOTAL PREFERRED STOCKS |
| 2,129,150 | ||||||||||||||||
|
| |||||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 993,120,652 | ||||||||||||||||
|
| |||||||||||||||||
SHORT-TERM INVESTMENTS — 14.0% | Shares | |||||||||||||||||
AFFILIATED MUTUAL FUNDS — 13.8% |
| |||||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(w) |
| 9,007,960 | 83,683,947 | |||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w) |
| 60,139,274 | 60,139,274 | |||||||||||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund |
| 12,436,473 | 12,437,717 | |||||||||||||||
|
| |||||||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 156,260,938 | ||||||||||||||||
|
| |||||||||||||||||
Counterparty | Notional Amount (000)# | |||||||||||||||||
OPTIONS PURCHASED* — 0.2% | ||||||||||||||||||
Call Options — 0.1% |
| |||||||||||||||||
Interest Rate Swaptions, |
| |||||||||||||||||
Receive fixed rate of 1.38% and pay a floating rate based on |
| JPMorgan Chase | 133,510 | 61,749 | ||||||||||||||
Receive fixed rate of 1.45% and pay a floating rate based on |
| Barclays Capital Group | 16,725 | 1,771 |
SEE NOTES TO FINANCIAL STATEMENTS.
A54
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
OPTIONS PURCHASED* (continued) | Counterparty | Notional Amount (000)# | Value | |||||||||||||||
Call Options (continued) |
| |||||||||||||||||
Receive fixed rate of 1.50% and pay a floating rate based on 3 Month LIBOR, expiring 09/29/17 | JPMorgan Chase | 121,290 | $ | 11,098 | ||||||||||||||
Receive fixed rate of 1.95% and pay a floating rate based on 3 Month LIBOR, expiring 10/30/17 | JPMorgan Chase | 133,510 | 690,295 | |||||||||||||||
Receive fixed rate of 2.05% and pay a floating rate based on 3 Month LIBOR, expiring 08/30/17 | Barclays Capital Group | 16,725 | 68,052 | |||||||||||||||
Receive fixed rate of 2.15% and pay a floating rate based on 3 Month LIBOR, expiring 09/29/17 | JPMorgan Chase | 121,290 | 185,959 | |||||||||||||||
|
| |||||||||||||||||
1,018,924 | ||||||||||||||||||
|
| |||||||||||||||||
Put Options — 0.1% |
| |||||||||||||||||
Interest Rate Swaptions, |
| |||||||||||||||||
Pay a fixed rate of 2.00% and receive a floating rate based on 6 Month EURIBOR, expiring 09/05/17 | Goldman Sachs & Co. | EUR | 2,120 | 13,328 | ||||||||||||||
Pay a fixed rate of 2.07% and receive a floating rate based on 6 Month EURIBOR, expiring 10/02/17 | Goldman Sachs & Co. | EUR | 2,120 | 12,813 | ||||||||||||||
Pay a fixed rate of 2.34% and receive a floating rate based on 6 Month EURIBOR, expiring 09/05/17 | Goldman Sachs & Co. | EUR | 3,210 | 4,327 | ||||||||||||||
Pay a fixed rate of 2.39% and receive a floating rate based on 6 Month EURIBOR, expiring 10/02/17 | Goldman Sachs & Co. | EUR | 3,210 | 6,050 | ||||||||||||||
Pay a fixed rate of 2.75% and receive a floating rate based on 3 Month LIBOR, expiring 04/05/18 | Barclays Capital Group | 8,250 | 261,820 | |||||||||||||||
Pay a fixed rate of 2.75% and receive a floating rate based on 3 Month LIBOR, expiring 04/20/18 | Citigroup Global Markets | 710 | 23,646 | |||||||||||||||
Pay a fixed rate of 2.75% and receive a floating rate based on 3 Month LIBOR, expiring 04/20/18 | Barclays Capital Group | 7,540 | 251,118 | |||||||||||||||
Pay a fixed rate of 2.75% and receive a floating rate based on 3 Month LIBOR, expiring 05/03/18 | Barclays Capital Group | 8,250 | 285,979 | |||||||||||||||
Pay a fixed rate of 3.60% and receive a floating rate based on 3 Month LIBOR, expiring 04/05/18 | Barclays Capital Group | 8,250 | 24,094 | |||||||||||||||
Pay a fixed rate of 3.60% and receive a floating rate based on 3 Month LIBOR, expiring 04/20/18 | Citigroup Global Markets | 710 | 2,355 | |||||||||||||||
Pay a fixed rate of 3.60% and receive a floating rate based on 3 Month LIBOR, expiring 04/20/18 | Barclays Capital Group | 7,540 | 25,014 | |||||||||||||||
Pay a fixed rate of 3.60% and receive a floating rate based on 3 Month LIBOR, expiring 05/03/18 | Barclays Capital Group | 8,250 | 30,339 | |||||||||||||||
|
| |||||||||||||||||
940,883 | ||||||||||||||||||
|
| |||||||||||||||||
TOTAL OPTIONS PURCHASED |
| 1,959,807 | ||||||||||||||||
|
| |||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 158,220,745 | ||||||||||||||||
|
| |||||||||||||||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 101.4% |
| 1,151,341,397 | ||||||||||||||||
|
| |||||||||||||||||
OPTIONS WRITTEN* — (0.1)% | ||||||||||||||||||
Call Options — (0.1)% |
| |||||||||||||||||
Interest Rate Swaptions, |
| |||||||||||||||||
Pay a fixed rate of 1.63% and receive a floating rate based on 3 Month LIBOR, expiring 10/30/17 | JPMorgan Chase | 133,510 | (183,482 | ) | ||||||||||||||
Pay a fixed rate of 1.70% and receive a floating rate based on 3 Month LIBOR, expiring 10/30/17 | JPMorgan Chase | 133,510 | (253,028 | ) | ||||||||||||||
Pay a fixed rate of 1.80% and receive a floating rate based on 3 Month LIBOR, expiring 09/29/17 | JPMorgan Chase | 121,290 | (43,133 | ) | ||||||||||||||
Pay a fixed rate of 1.75% and receive a floating rate based on 3 Month LIBOR, expiring 08/30/17 | Barclays Capital Group | 33,450 | (22,378 | ) | ||||||||||||||
Pay a fixed rate of 1.85% and receive a floating rate based on 3 Month LIBOR, expiring 09/29/17 | JPMorgan Chase | 121,290 | (53,798 | ) | ||||||||||||||
|
| |||||||||||||||||
(555,819 | ) | |||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A55
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
OPTIONS WRITTEN* (continued) | Counterparty | Notional Amount (000)# | Value | |||||||||||||||
Put Options — (0.0)% | ||||||||||||||||||
Interest Rate Swaptions, | ||||||||||||||||||
Receive fixed rate of 2.14% and pay a floating rate based on 6 Month EURIBOR, expiring 09/05/17 | Goldman Sachs & Co. | EUR | 3,210 | $ | (14,960 | ) | ||||||||||||
Receive fixed rate of 2.19% and pay a floating rate based on 6 Month EURIBOR, expiring 10/02/17 | Goldman Sachs & Co. | EUR | 3,210 | (16,412 | ) | |||||||||||||
Receive fixed rate of 2.20% and pay a floating rate based on 6 Month EURIBOR, expiring 09/05/17 | Goldman Sachs & Co. | EUR | 2,120 | (2,967 | ) | |||||||||||||
Receive fixed rate of 2.27% and pay a floating rate based on 6 Month EURIBOR, expiring 10/02/17 | Goldman Sachs & Co. | EUR | 2,120 | (3,635 | ) | |||||||||||||
Receive fixed rate of 3.05% and pay a floating rate based on 3 Month LIBOR, expiring 04/05/18 | Barclays Capital Group | 8,250 | (118,881 | ) | ||||||||||||||
Receive fixed rate of 3.05% and pay a floating rate based on 3 Month LIBOR, expiring 04/20/18 | Citigroup Global Markets | 710 | (11,045 | ) | ||||||||||||||
Receive fixed rate of 3.05% and pay a floating rate based on 3 Month LIBOR, expiring 04/20/18 | Barclays Capital Group | 7,540 | (117,293 | ) | ||||||||||||||
Receive fixed rate of 3.05% and pay a floating rate based on 3 Month LIBOR, expiring 05/03/18 | Barclays Capital Group | 8,250 | (136,634 | ) | ||||||||||||||
Receive fixed rate of 3.35% and pay a floating rate based on 3 Month LIBOR, expiring 04/05/18 | Barclays Capital Group | 8,250 | (50,261 | ) | ||||||||||||||
Receive fixed rate of 3.35% and pay a floating rate based on 3 Month LIBOR, expiring 04/20/18 | Citigroup Global Markets | 710 | (4,807 | ) | ||||||||||||||
Receive fixed rate of 3.35% and pay a floating rate based on 3 Month LIBOR, expiring 04/20/18 | Barclays Capital Group | 7,540 | (51,054 | ) | ||||||||||||||
Receive fixed rate of 3.35% and pay a floating rate based on 3 Month LIBOR, expiring 05/03/18 | Barclays Capital Group | 8,250 | (60,864 | ) | ||||||||||||||
|
| |||||||||||||||||
(588,813 | ) | |||||||||||||||||
|
| |||||||||||||||||
TOTAL OPTIONS WRITTEN |
| (1,144,632 | ) | |||||||||||||||
|
| |||||||||||||||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 101.3% |
| 1,150,196,765 | ||||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (1.3)% |
| (15,234,648 | ) | |||||||||||||||
|
| |||||||||||||||||
NET ASSETS — 100.0% |
| $ | 1,134,962,117 | |||||||||||||||
|
|
See the Glossary for abbreviations used in the semiannual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
^ | Indicates a Level 3 security. The aggregate value of Level 3 securities is $14,545,410 and 1.3% of net assets. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $12,183,783; cash collateral of $12,427,946 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2017. |
(d) | Represents issuer in default on interest payments. Non-income producing security. |
(f) | Indicates a restricted security; the aggregate original cost of such securities is $1,317,944. The aggregate value, $1,387,469, is 0.1% of net assets. |
(g) | Indicates a security that has been deemed illiquid; the aggregate value of $20,593,890 is 1.8% of net assets. |
(h) | Represents security, or a portion thereof, segregated as collateral for OTC swap agreements. |
(hh) | Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements. |
(k) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(p) | Interest rate not available as of June 30, 2017. |
(r) | Less than $500 par. |
SEE NOTES TO FINANCIAL STATEMENTS.
A56
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
(s) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund, Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2017:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2017 | Unrealized Appreciation (Depreciation) | |||||||||||||||
Long Positions: | ||||||||||||||||||||
2,765 | 5 Year U.S. Treasury Notes | Sep. 2017 | $ | 326,677,915 | $ | 325,816,367 | $ | (861,548 | ) | |||||||||||
1,691 | 10 Year U.S. Treasury Notes | Sep. 2017 | 213,342,306 | 212,273,344 | (1,068,962 | ) | ||||||||||||||
80 | 10 Year U.S. Ultra Treasury Bonds | Sep. 2017 | 10,841,326 | 10,785,000 | (56,326 | ) | ||||||||||||||
616 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2017 | 100,204,872 | 102,179,000 | 1,974,128 | |||||||||||||||
|
| |||||||||||||||||||
(12,708 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Short Positions: | ||||||||||||||||||||
467 | 2 Year U.S. Treasury Notes | Sep. 2017 | 101,062,868 | 100,923,078 | 139,790 | |||||||||||||||
23 | 5 Year Euro-Bobl | Sep. 2017 | 3,493,765 | 3,459,693 | 34,072 | |||||||||||||||
4 | 10 Year Euro-Bund | Sep. 2017 | 753,105 | 739,521 | 13,584 | |||||||||||||||
257 | 20 Year U.S. Treasury Bonds | Sep. 2017 | 39,603,947 | 39,497,688 | 106,259 | |||||||||||||||
|
| |||||||||||||||||||
293,705 | ||||||||||||||||||||
|
| |||||||||||||||||||
$ | 280,997 | |||||||||||||||||||
|
|
Securities with a combined market value of $6,540,767 have been segregated with Citigroup Global Markets to cover requirements for open futures contracts at June 30, 2017.
Forward foreign currency exchange contracts outstanding at June 30, 2017:
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
OTC forward foreign currency exchange contracts: |
| |||||||||||||||||||
Mexican Peso, | ||||||||||||||||||||
Expiring 08/08/17 | Citigroup Global Markets | MXN | 2,657 | $ | 142,983 | $ | 145,462 | $ | 2,479 | |||||||||||
Expiring 08/08/17 | Goldman Sachs & Co. | MXN | 2,698 | 146,190 | 147,666 | 1,476 | ||||||||||||||
Expiring 08/08/17 | UBS AG | MXN | 2,698 | 146,156 | 147,666 | 1,510 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 435,329 | $ | 440,794 | $ | 5,465 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
OTC forward foreign currency exchange contracts: |
| |||||||||||||||||||
Australian Dollar, | ||||||||||||||||||||
Expiring 07/12/17 | UBS AG | AUD | 559 | $ | 418,379 | $ | 429,849 | $ | (11,470 | ) | ||||||||||
British Pound, |
| |||||||||||||||||||
Expiring 07/27/17 | Bank of America | GBP | 5,683 | 7,304,232 | 7,409,371 | (105,139 | ) | |||||||||||||
Euro, |
| |||||||||||||||||||
Expiring 07/27/17 | Citigroup Global Markets | EUR | 31,458 | 34,551,973 | 35,984,662 | (1,432,689 | ) | |||||||||||||
Expiring 07/27/17 | | Hong Kong & Shanghai Bank | | EUR | 977 | 1,070,233 | 1,117,583 | (47,350 | ) | |||||||||||
Expiring 07/27/17 | JPMorgan Chase | EUR | 628 | 684,659 | 717,812 | (33,153 | ) | |||||||||||||
Expiring 07/27/17 | JPMorgan Chase | EUR | 1,406 | 1,548,025 | 1,608,342 | (60,317 | ) | |||||||||||||
Hungarian Forint, |
| |||||||||||||||||||
Expiring 07/21/17 | Citigroup Global Markets | HUF | 219,665 | 754,837 | 813,096 | (58,259 | ) | |||||||||||||
Israeli Shekel, |
| |||||||||||||||||||
Expiring 07/21/17 | Citigroup Global Markets | ILS | 400 | 109,504 | 114,896 | (5,392 | ) | |||||||||||||
Japanese Yen, |
| |||||||||||||||||||
Expiring 07/27/17 | Citigroup Global Markets | JPY | 45,193 | 408,981 | 402,300 | 6,681 | ||||||||||||||
Expiring 07/27/17 | JPMorgan Chase | JPY | 533,825 | 4,698,506 | 4,752,054 | (53,548 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
A57
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Forward foreign currency exchange contracts outstanding at June 30, 2017 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
OTC forward foreign currency exchange contracts (continued): |
| |||||||||||||||||||
Polish Zloty, |
| |||||||||||||||||||
Expiring 07/21/17 | UBS AG | PLN | 2,314 | $ | 585,323 | $ | 624,364 | $ | (39,041 | ) | ||||||||||
South African Rand, |
| |||||||||||||||||||
Expiring 07/07/17 | Citigroup Global Markets | ZAR | 8,074 | 578,827 | 616,336 | (37,509 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 52,713,479 | $ | 54,590,665 | (1,877,186 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | (1,871,721 | ) | ||||||||||||||||||
|
|
Cross currency exchange contracts outstanding at June 30, 2017:
Settlement | Type | Notional Amount (000) | In Exchange For (000) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||
07/27/17 | Buy | GBP 364 | EUR 415 | $ | (626 | ) | JPMorgan Chase | |||||||||
|
|
Credit default swap agreements outstanding at June 30, 2017:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value(4) | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
OTC credit default swaps on asset-backed securities—Sell Protection(2)^: | ||||||||||||||||||||||||||
Ameriquest Home Equity | 07/28/17 | 1.500% | 238 | $ | 307 | $ | — | $ | 307 | Goldman Sachs & Co. | ||||||||||||||||
Ameriquest Home Equity | 07/28/17 | 1.500% | 156 | 202 | — | 202 | Goldman Sachs & Co. | |||||||||||||||||||
Ameriquest Home Equity | 07/28/17 | 1.500% | 151 | 195 | — | 195 | Goldman Sachs & Co. | |||||||||||||||||||
Ameriquest Home Equity | 07/28/17 | 1.500% | 220 | 284 | — | 284 | Goldman Sachs & Co. | |||||||||||||||||||
Banc of America Commercial Mortgage Trust | 07/31/17 | 1.500% | 27 | 36 | — | 36 | Goldman Sachs & Co. | |||||||||||||||||||
Banc of America Commercial Mortgage Trust | 07/31/17 | 1.500% | 36 | 48 | — | 48 | Goldman Sachs & Co. | |||||||||||||||||||
Bear Stearns Asset Backed Securities Trust | 07/28/17 | 1.500% | 116 | 150 | — | 150 | Goldman Sachs & Co. | |||||||||||||||||||
Bear Stearns Asset Backed Securities Trust | 07/28/17 | 1.500% | 387 | 500 | — | 500 | Goldman Sachs & Co. | |||||||||||||||||||
Chase Mortgage | 07/28/17 | 1.500% | 159 | 206 | — | 206 | Goldman Sachs & Co. | |||||||||||||||||||
Chase Mortgage | 07/28/17 | 1.500% | 474 | 612 | — | 612 | Goldman Sachs & Co. | |||||||||||||||||||
Chase Mortgage | 07/28/17 | 1.500% | 435 | 562 | — | 562 | Goldman Sachs & Co. | |||||||||||||||||||
Citigroup Commercial Mortgage Trust | 07/31/17 | 1.500% | 83 | 110 | — | 110 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 07/31/17 | 1.500% | 73 | 97 | — | 97 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 07/31/17 | 1.500% | 269 | 358 | — | 358 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 07/31/17 | 1.500% | 29 | 39 | — | 39 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 07/31/17 | 1.500% | 62 | 82 | — | 82 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 07/31/17 | 1.500% | 37 | 49 | — | 49 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 07/31/17 | 1.500% | 42 | 56 | — | 56 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 07/31/17 | 1.500% | 249 | 332 | — | 332 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 07/31/17 | 1.500% | 99 | 132 | — | 132 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 07/31/17 | 1.500% | 47 | 63 | — | 63 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 07/31/17 | 1.500% | 278 | 370 | — | 370 | Goldman Sachs & Co. | |||||||||||||||||||
Commercial Mortgage Pass Through Certificate | 07/31/17 | 1.500% | 62 | 83 | — | 83 | Goldman Sachs & Co. | |||||||||||||||||||
Countrywide Home Equity | 07/28/17 | 1.500% | 152 | 197 | — | 197 | Goldman Sachs & Co. | |||||||||||||||||||
Federal Home Loan Mortgage Corp. | 07/03/17 | 1.500% | 222 | 305 | — | 305 | Goldman Sachs & Co. | |||||||||||||||||||
Federal Home Loan Mortgage Corp. | 07/03/17 | 1.500% | 218 | 299 | — | 299 | Goldman Sachs & Co. | |||||||||||||||||||
Federal Home Loan Mortgage Corp. | 07/03/17 | 1.500% | 90 | 124 | — | 124 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 07/31/17 | 1.500% | 38 | 51 | — | 51 | Goldman Sachs & Co. |
SEE NOTES TO FINANCIAL STATEMENTS.
A58
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Credit default swap agreements outstanding at June 30, 2017 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value(4) | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
OTC credit default swaps on asset-backed securities—Sell Protection(2)^ (continued): | ||||||||||||||||||||||||||
GS Mortgage Securities Trust | 07/31/17 | 1.500% | 48 | $ | 64 | $ | — | $ | 64 | Goldman Sachs & Co. | ||||||||||||||||
GS Mortgage Securities Trust | 07/31/17 | 1.500% | 211 | 281 | — | 281 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 07/31/17 | 1.500% | 52 | 69 | — | 69 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 07/31/17 | 1.500% | 107 | 142 | — | 142 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 07/31/17 | 1.500% | 255 | 339 | — | 339 | Goldman Sachs & Co. | |||||||||||||||||||
GSAMP Home Equity | 07/28/17 | 1.500% | 142 | 184 | — | 184 | Goldman Sachs & Co. | |||||||||||||||||||
JPMBB Commercial Mortgage Securities Trust | 07/31/17 | 1.500% | 38 | 51 | — | 51 | Goldman Sachs & Co. | |||||||||||||||||||
JPMBB Commercial Mortgage Securities Trust | 07/31/17 | 1.500% | 17 | 23 | — | 23 | Goldman Sachs & Co. | |||||||||||||||||||
JPMBB Commercial Mortgage Securities Trust | 07/31/17 | 1.500% | 141 | 188 | — | 188 | Goldman Sachs & Co. | |||||||||||||||||||
Lehman Home Equity | 07/28/17 | 1.500% | 375 | 484 | — | 484 | Goldman Sachs & Co. | |||||||||||||||||||
LNR CDO Ltd. | 07/11/17 | 1.500% | 1,102 | 1,422 | (46 | ) | 1,468 | Goldman Sachs & Co. | ||||||||||||||||||
Long Beach Home Equity | 07/28/17 | 1.500% | 290 | 374 | — | 374 | Goldman Sachs & Co. | |||||||||||||||||||
Morgan Stanley BAML Trust | 07/31/17 | 1.500% | 64 | 85 | — | 85 | Goldman Sachs & Co. | |||||||||||||||||||
Morgan Stanley BAML Trust | 07/31/17 | 1.500% | 56 | 75 | — | 75 | Goldman Sachs & Co. | |||||||||||||||||||
Morgan Stanley BAML Trust | 07/31/17 | 1.500% | 46 | 61 | — | 61 | Goldman Sachs & Co. | |||||||||||||||||||
Morgan Stanley BAML Trust | 07/31/17 | 1.500% | 314 | 418 | — | 418 | Goldman Sachs & Co. | |||||||||||||||||||
Morgan Stanley BAML Trust | 07/31/17 | 1.500% | 25 | 33 | — | 33 | Goldman Sachs & Co. | |||||||||||||||||||
UBS Barclays Commercial Mortgage Trust | 07/31/17 | 1.500% | 32 | 43 | — | 43 | Goldman Sachs & Co. | |||||||||||||||||||
WF-RBS Commercial Mortgage Trust | 07/31/17 | 1.500% | 30 | 40 | — | 40 | Goldman Sachs & Co. | |||||||||||||||||||
WF-RBS Commercial Mortgage Trust | 07/31/17 | 1.500% | 47 | 63 | — | 63 | Goldman Sachs & Co. | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 10,288 | $ | (46 | ) | $ | 10,334 | ||||||||||||||||||||
|
|
|
|
|
|
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2017(5) | Value at Trade Date | Value at June 30, 2017 | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Centrally cleared credit default swaps on corporate and/or sovereign issues—Sell Protection(2): |
| |||||||||||||||||||||||||||
CIT Group, Inc. | 06/20/18 | 5.000% | 5,350 | 0.124 | % | $ | 341,964 | $ | 262,662 | $ | (79,302 | ) | ||||||||||||||||
General Motors Co. | 06/20/19 | 5.000% | 1,925 | 0.275 | % | 216,698 | 180,848 | (35,850 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 558,662 | $ | 443,510 | $ | (115,152 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at June 30, 2017(4) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally cleared credit default swaps on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.HY.28.V1 | 06/20/22 | 5.000% | 13,900 | $ | (872,920 | ) | $ | (979,558 | ) | $ | (106,638 | ) | ||||||||||||
|
|
|
|
|
|
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at June 30, 2017(5) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||||||||||||||||
OTC credit default swaps on corporate and/or sovereign Issues—Sell Protection(2): |
| |||||||||||||||||||||||||||||
Petroleo Brasileriro SA | 06/20/18 | 1.000% | 2,250 | 0.815 | % | $ | 4,728 | $ | (172,518 | ) | $ | 177,246 | Morgan Stanley | |||||||||||||||||
Republic of Italy | 09/20/20 | 1.000% | 9,680 | 1.154 | % | (43,370 | ) | 44,911 | (88,281 | ) | JPMorgan Chase | |||||||||||||||||||
Republic of Italy | 09/20/20 | 1.000% | 2,000 | 1.154 | % | (8,961 | ) | 5,761 | (14,722 | ) | JPMorgan Chase | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (47,603 | ) | $ | (121,846 | ) | $ | 74,243 | |||||||||||||||||||||||
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A59
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (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 Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The fair value of credit default swap agreements on credit indices and asset-backed securities serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
(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 an 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 reference 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 reference 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, 2017:
Notional Amount (000)# | Fund | Notional Amount (000)# | Fund Pays | Counterparty | Termination Date | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
OTC currency swap agreements: | ||||||||||||||||||||||||||||||||
1,157 | 3 Month LIBOR | EUR | 900 | 3 Month EURIBOR minus 31.75 bps | | Hong Kong & Shanghai Bank | | 09/28/17 | $129,818 | $ — | $129,818 | |||||||||||||||||||||
1,003 | 3 Month LIBOR | EUR | 900 | (0.613)% | JPMorgan Chase | 02/22/20 | (16,843 | ) | — | (16,843 | ) | |||||||||||||||||||||
|
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|
| |||||||||||||||||||||||||||
$ | 112,975 | $ | — | $ | 112,975 | |||||||||||||||||||||||||||
|
|
|
|
|
|
Forward rate agreements outstanding at June 30, 2017:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2017 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally cleared forward rate agreement: | ||||||||||||||||||||||||
1,176,000 | 12/20/17 | 1.568% | 3 Month LIBOR(1) | $ | — | $ | (279,149 | ) | $ | (279,149 | ) | |||||||||||||
|
|
|
|
|
|
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Interest rate swap agreements outstanding at June 30, 2017:
Notional | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2017 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally cleared swap agreements: |
| |||||||||||||||||||||||
BRL | 25,346 | 01/04/21 | 0.000% | 1 Day BROIS(2) | $ | — | $ | 94,634 | $ | 94,634 | ||||||||||||||
BRL | 12,351 | 01/04/21 | 0.000% | 1 Day BROIS(2) | — | 39,850 | 39,850 | |||||||||||||||||
BRL | 12,798 | 01/04/21 | 0.000% | 1 Day BROIS(2) | — | 8,156 | 8,156 |
SEE NOTES TO FINANCIAL STATEMENTS.
A60
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Interest rate swap agreements outstanding at June 30, 2017 (continued):
Notional | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2017 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Centrally cleared swap agreements (continued): | ||||||||||||||||||||||||||
BRL | 8,070 | 01/04/21 | 0.000 | % | 1 Day BROIS(2) | $ | — | $ | 9,264 | $ | 9,264 | |||||||||||||||
EUR | 8,000 | 08/01/19 | 0.346 | % | 1 Day EUROIS(1) | (131,181 | ) | (173,834 | ) | (42,653 | ) | |||||||||||||||
EUR | 1,255 | 10/06/21 | (0.385 | %) | 1 Day EONIA(1) | 174 | 23,786 | 23,612 | ||||||||||||||||||
EUR | 1,150 | 06/20/24 | (0.050 | %) | 1 Day EUROIS(1) | 100 | 35,346 | 35,246 | ||||||||||||||||||
EUR | 1,380 | 09/13/24 | (0.104 | %) | 1 Day EUROIS(1) | 179 | 50,375 | 50,196 | ||||||||||||||||||
EUR | 2,000 | 07/28/25 | 0.780 | % | 1 Day EUROIS(1) | 180 | (80,735 | ) | (80,915 | ) | ||||||||||||||||
EUR | 3,900 | 02/23/26 | 0.324 | % | 1 Day EUROIS(1) | (2,798 | ) | 75,714 | 78,512 | |||||||||||||||||
EUR | 1,640 | 05/11/30 | 0.850 | % | 6 Month EURIBOR(1) | 60,675 | 67,014 | 6,339 | ||||||||||||||||||
EUR | 705 | 03/04/36 | 0.865 | % | 1 Day EUROIS(1) | (798 | ) | 54,071 | 54,869 | |||||||||||||||||
EUR | 550 | 04/11/36 | 0.962 | % | 6 Month EURIBOR(1) | 180 | 48,164 | 47,984 | ||||||||||||||||||
GBP | 1,950 | 02/23/21 | 0.639 | % | 1 Day GBP OIS(1) | 221 | (4,260 | ) | (4,481 | ) | ||||||||||||||||
MXN | 69,000 | 10/15/26 | 6.445 | % | 28 Day Mexican Interbank Rate(2) | 37 | (189,494 | ) | (189,531 | ) | ||||||||||||||||
MXN | 85,925 | 12/09/26 | 7.780 | % | 28 Day Mexican Interbank Rate(2) | (53,845 | ) | 215,751 | 269,596 | |||||||||||||||||
NZD | 21,750 | 12/15/17 | 2.125 | % | 3 Month New Zealand Bank Bill(2) | 122 | 10,840 | 10,718 | ||||||||||||||||||
57,350 | 08/19/17 | 0.524 | % | 1 Day USOIS(1) | 202 | 119,839 | 119,637 | |||||||||||||||||||
231,530 | 09/09/17 | 0.539 | % | 1 Day USOIS(1) | 31,678 | 552,068 | 520,390 | |||||||||||||||||||
56,750 | 10/21/17 | 0.590 | % | 1 Day USOIS(1) | 201 | 158,501 | 158,300 | |||||||||||||||||||
55,860 | 11/01/17 | 0.639 | % | 1 Day USOIS(1) | 275 | 139,914 | 139,639 | |||||||||||||||||||
110,140 | 11/14/17 | 0.675 | % | 1 Day USOIS(1) | (9,329 | ) | 266,866 | 276,195 | ||||||||||||||||||
54,980 | 11/22/17 | 0.716 | % | 1 Day USOIS(1) | 274 | 120,339 | 120,065 | |||||||||||||||||||
43,740 | 01/07/18 | 1.093 | % | 1 Day USOIS(1) | — | 11,445 | 11,445 | |||||||||||||||||||
412,875 | 01/31/18 | 1.278 | % | 1 Day USOIS(1) | — | 3,732 | 3,732 | |||||||||||||||||||
52,160 | 02/21/18 | 0.941 | % | 1 Day USOIS(1) | 267 | 86,207 | 85,940 | |||||||||||||||||||
45,150 | 09/30/18 | 0.655 | % | 1 Day USOIS(1) | 252 | 410,302 | 410,050 | |||||||||||||||||||
22,510 | 09/30/18 | 0.747 | % | 1 Day USOIS(1) | 201 | 168,428 | 168,227 | |||||||||||||||||||
14,465 | 10/07/18 | 1.253 | % | 1 Day USOIS(1) | — | 1,813 | 1,813 | |||||||||||||||||||
55,120 | 11/17/18 | 1.080 | % | 1 Day USOIS(1) | 274 | 171,209 | 170,935 | |||||||||||||||||||
82,865 | 11/18/18 | 0.911 | % | 1 Day USOIS(1) | (4,269 | ) | 406,985 | 411,254 | ||||||||||||||||||
14,825 | 03/31/19 | 1.431 | % | 1 Day USOIS(1) | — | (12,385 | ) | (12,385 | ) | |||||||||||||||||
14,618 | 03/31/19 | 1.432 | % | 1 Day USOIS(1) | — | (12,401 | ) | (12,401 | ) | |||||||||||||||||
1,575 | 03/11/20 | 1.824 | % | 3 Month LIBOR(1) | 27 | (12,644 | ) | (12,671 | ) | |||||||||||||||||
13,970 | 04/04/20 | — | (3) | —(3) | — | (3,133 | ) | (3,133 | ) | |||||||||||||||||
1,960 | 08/31/21 | 2.015 | % | 3 Month LIBOR(1) | (5,594 | ) | (12,005 | ) | (6,411 | ) | ||||||||||||||||
7,255 | 04/04/22 | — | (4) | —(4) | — | (3,174 | ) | (3,174 | ) | |||||||||||||||||
13,290 | 08/31/22 | 1.788 | % | 3 Month LIBOR(1) | 159 | 46,647 | 46,488 | |||||||||||||||||||
5,800 | 12/31/22 | 1.405 | % | 3 Month LIBOR(1) | 182 | 178,132 | 177,950 | |||||||||||||||||||
4,400 | 12/31/22 | 1.406 | % | 3 Month LIBOR(1) | 174 | 134,795 | 134,621 | |||||||||||||||||||
2,400 | 12/31/22 | 1.412 | % | 3 Month LIBOR(1) | 163 | 72,872 | 72,709 | |||||||||||||||||||
12,100 | 12/31/22 | 1.416 | % | 3 Month LIBOR(1) | 216 | 364,601 | 364,385 | |||||||||||||||||||
4,850 | 12/31/22 | 1.495 | % | 3 Month LIBOR(1) | 176 | 125,991 | 125,815 | |||||||||||||||||||
10,495 | 05/31/23 | 1.394 | % | 3 Month LIBOR(1) | 207 | 368,512 | 368,305 | |||||||||||||||||||
10,495 | 05/31/23 | 1.395 | % | 3 Month LIBOR(1) | 207 | 367,860 | 367,653 | |||||||||||||||||||
10,290 | 05/31/23 | 1.513 | % | 3 Month LIBOR(1) | 206 | 291,464 | 291,258 | |||||||||||||||||||
8,910 | 05/31/23 | 1.578 | % | 3 Month LIBOR(1) | (16,959 | ) | 219,142 | 236,101 | ||||||||||||||||||
3,950 | 05/31/23 | 1.584 | % | 3 Month LIBOR(1) | 172 | 95,905 | 95,733 | |||||||||||||||||||
30,918 | 11/15/23 | 2.209 | % | 3 Month LIBOR(1) | 297 | (321,526 | ) | (321,823 | ) | |||||||||||||||||
6,920 | 02/15/24 | 2.115 | % | 3 Month LIBOR(1) | 16,360 | (15,763 | ) | (32,123 | ) | |||||||||||||||||
16,137 | 02/15/24 | 2.151 | % | 3 Month LIBOR(1) | (17,628 | ) | (72,940 | ) | (55,312 | ) | ||||||||||||||||
19,590 | 02/15/24 | 2.183 | % | 3 Month LIBOR(1) | (27,671 | ) | (128,395 | ) | (100,724 | ) | ||||||||||||||||
4,510 | 09/01/24 | 2.117 | % | 3 Month LIBOR(1) | — | — | — | |||||||||||||||||||
10,564 | 02/15/27 | 1.824 | % | 1 Day USOIS(1) | 98,754 | 148,408 | 49,654 | |||||||||||||||||||
5,020 | 05/08/27 | 2.309 | % | 3 Month LIBOR(1) | — | (28,213 | ) | (28,213 | ) | |||||||||||||||||
9,930 | 05/03/32 | 2.434 | % | 3 Month LIBOR(2) | — | 32,671 | 32,671 | |||||||||||||||||||
16,725 | 02/15/36 | 2.338 | % | 3 Month LIBOR(2) | (102,773 | ) | (424,121 | ) | (321,348 | ) | ||||||||||||||||
7,865 | 05/03/37 | 2.508 | % | 3 Month LIBOR(1) | 1 | (28,682 | ) | (28,683 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
A61
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Interest rate swap agreements outstanding at June 30, 2017 (continued):
Notional | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2017 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Centrally cleared swap agreements (continued): | ||||||||||||||||||||||||||
2,905 | 02/15/42 | 1.369% | 1 Day USOIS(1) | $ | 202 | $ | 456,388 | $ | 456,186 | |||||||||||||||||
1,835 | 09/27/46 | 1.380% | 1 Day USOIS(1) | 183 | 317,396 | 317,213 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (159,667 | ) | $ | 5,047,692 | $ | 5,207,359 | ||||||||||||||||||||
|
|
|
|
|
|
Securities with a combined market value of $14,043,226 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate swap contracts at June 30, 2017.
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
(3) | The Portfolio pays the floating rate of 3 Month LIBOR plus 12 bps and receives the floating rate of 6 Month LIBOR. |
(4) | The Portfolio pays the floating rate of 6 Month LIBOR and receives the floating rate of 3 Month LIBOR plus 11.75 bps. |
Total return swap agreements outstanding at June 30, 2017:
Counterparty | Termination Date | Long (Short) Notional Amount (000)# | Description | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(1) | ||||||||||||||||
OTC total return swap agreement: |
| |||||||||||||||||||||
Credit Suisse First Boston Corp. | 01/12/41 | 4,687 | Pay variable payments based on 1 Month LIBOR and receive fixed payments based on IOS.FN30.450.10 Index | $ | 20,950 | $ | (14,315 | ) | $ | 35,265 | ||||||||||||
|
|
|
|
|
|
(1) | Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation). |
Fair value measurements:
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— | unadjusted 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, 2017 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
| |||||||||||
Asset-Backed Securities |
| |||||||||||
Automobiles | $ | — | $ | 5,001,296 | $ | — | ||||||
Collateralized Loan Obligations | — | 50,598,173 | — | |||||||||
Consumer Loans | — | 23,627,120 | 999,795 | |||||||||
Home Equity Loans | — | 33,032,360 | — | |||||||||
Other | — | 930,157 | — | |||||||||
Residential Mortgage-Backed Securities | — | 21,579,845 | 2,400,000 | |||||||||
Student Loans | — | 571,362 | — | |||||||||
Bank Loans | — | 12,823,457 | 1,036,932 | |||||||||
Commercial Mortgage-Backed Securities | — | 148,654,383 | 1,081,440 | |||||||||
Corporate Bonds | — | 475,306,576 | — | |||||||||
Municipal Bonds | — | 20,605,076 | — | |||||||||
Residential Mortgage-Backed Securities | — | 59,037,362 | 9,016,955 | |||||||||
Sovereign Bonds | — | 53,190,921 | — | |||||||||
U.S. Government Agency Obligations | — | 15,194,351 | — | |||||||||
U.S. Treasury Obligations | — | 56,303,941 | — | |||||||||
Preferred Stocks | 2,129,150 | — | — | |||||||||
Affiliated Mutual Funds | 156,260,938 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A62
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) |
| |||||||||||
Options Purchased | $ | — | $ | 1,959,807 | $ | — | ||||||
Options Written | — | (1,144,632 | ) | — | ||||||||
Other Financial Instruments* |
| |||||||||||
Futures Contracts | 280,997 | — | — | |||||||||
OTC Forward Foreign Currency Exchange Contracts | — | (1,871,721 | ) | — | ||||||||
OTC Cross Currency Exchange Contract | — | (626 | ) | — | ||||||||
OTC Credit Default Swap Agreements | — | (47,603 | ) | 10,288 | ||||||||
Centrally Cleared Credit Default Swap Agreements | — | (221,790 | ) | — | ||||||||
OTC Currency Swap Agreements | — | 112,975 | — | |||||||||
Centrally Cleared Forward Rate Agreement | — | (279,149 | ) | — | ||||||||
Centrally Cleared Interest Rate Swap Agreements | — | 5,207,359 | — | |||||||||
OTC Total Return Swap Agreement | — | 20,950 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 158,671,085 | $ | 980,191,950 | $ | 14,545,410 | ||||||
|
|
|
|
|
|
The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:
Asset-Backed Securities Consumer Loans | Asset-Backed Securities Residential Mortgage-Backed Securities | Bank Loans | Commercial Mortgage- Backed Securities | Residential Mortgage- Backed Securities | Credit Default Swaps | |||||||||||||||||||
Balance as of 12/31/16 | $ | — | $ | 3,440,000 | $ | 1,509,078 | $ | — | $ | 26,091,730 | $ | 18,991 | ||||||||||||
Realized gain (loss) | — | — | 26,147 | — | 156,749 | — | *** | |||||||||||||||||
Change in unrealized appreciation (depreciation)** | — | — | 57,475 | — | (3,482 | ) | (8,703 | ) | ||||||||||||||||
Purchases / Exchanges / Issuances | 999,795 | 2,400,000 | — | 1,081,440 | 2,936,657 | — | ||||||||||||||||||
Sales/Paydowns | — | (3,440,000 | ) | (1,509,078 | ) | — | (17,076,617 | ) | — | |||||||||||||||
Accrued discount/premium | — | — | — | — | 17,711 | — | ||||||||||||||||||
Transfers into Level 3 | — | — | 953,310 | — | — | — | ||||||||||||||||||
Transfers out of Level 3 | — | — | — | — | (3,105,793 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Balance as of 06/30/17 | $ | 999,795 | $ | 2,400,000 | $ | 1,036,932 | $ | 1,081,440 | $ | 9,016,955 | $ | 10,288 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
** | Of which, $129,233 was relating to securities held at the reporting period end. |
*** | The realized loss incurred during the period for other financial instruments was $20,054. |
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by the Board, which contain unobservable inputs as follows:
Level 3 Securities | Fair Value as of June 30, 2017 | Valuation Methodology | Unobservable Inputs | |||||||
Asset-Backed Securities Consumer Loans | $ | 999,795 | Market Approach | Single Broker Indicative Quote | ||||||
Asset-Backed Securities Residential Mortgage-Backed Securities | 2,400,000 | Market Approach | Single Broker Indicative Quote | |||||||
Bank Loans | 1,036,932 | Market Approach | Single Broker Indicative Quote | |||||||
Commercial Mortgage-Backed Securities | 1,081,440 | Market Approach | Single Broker Indicative Quote | |||||||
Residential Mortgage-Backed Securities | 9,016,955 | Market Approach | Single Broker Indicative Quote | |||||||
Credit Default Swap Agreements | 10,288 | Market Approach | Single Broker Indicative Quote | |||||||
|
| |||||||||
$ | 14,545,410 | |||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A63
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. Securities transferred levels as follows:
Investments in Securities | Amount Transferred | Level Transfer | Logic | |||||||
Bank Loans | $ | 953,310 | L2 to L3 | Multiple Broker Quotes to Single Broker Indicative Quote | ||||||
Residential Mortgage-Backed Securities | $ | 3,105,793 | L3 to L2 | Single Broker Indicative Quote to Evaluated Bid |
Industry classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:
Affiliated Mutual Funds (including 1.1% of collateral for securities on loan) | 13.8 | % | ||
Commercial Mortgage-Backed Securities | 13.2 | |||
Banks | 10.4 | |||
Residential Mortgage-Backed Securities | 8.1 | |||
U.S. Treasury Obligations | 4.9 | |||
Sovereign Bonds | 4.7 | |||
Collateralized Loan Obligations | 4.4 | |||
Home Equity Loans | 2.9 | |||
Electric | 3.5 | |||
Media | 2.9 | |||
Oil & Gas | 2.7 | |||
Consumer Loans | 2.2 | |||
Insurance | 2.0 | |||
Healthcare-Services | 2.0 | |||
Municipal Bonds | 1.8 | |||
Chemicals | 1.6 | |||
Telecommunications | 1.5 | |||
U.S. Government Agency Obligations | 1.3 | |||
Software | 1.0 | |||
Healthcare-Products | 1.0 | |||
Food | 0.8 | |||
Diversified Financial Services | 0.8 | |||
Auto Manufacturers | 0.8 | |||
Home Builders | 0.7 | |||
Pipelines | 0.7 | |||
Airlines | 0.7 | |||
Pharmaceuticals | 0.6 | |||
Semiconductors | 0.6 | |||
Packaging & Containers | 0.6 | |||
Miscellaneous Manufacturing | 0.6 | |||
Retail | 0.6 | |||
Commercial Services | 0.5 | |||
Building Materials | 0.5 | |||
Technology | 0.4 | |||
Automobiles | 0.4 | |||
Auto Parts & Equipment | 0.4 | |||
Machinery-Diversified | 0.4 | |||
Multi-National | 0.4 | |||
Real Estate Investment Trusts (REITs) | 0.3 |
Computers | 0.3 | % | ||
Agriculture | 0.3 | |||
Gas | 0.3 | |||
Lodging | 0.3 | |||
Forest Products & Paper | 0.3 | |||
Biotechnology | 0.3 | |||
Mining | 0.2 | |||
Retailers | 0.2 | |||
Banking | 0.2 | |||
Entertainment | 0.2 | |||
Internet | 0.2 | |||
Options Purchased | 0.2 | |||
Transportation Services | 0.2 | |||
Savings & Loans | 0.1 | |||
Household Products/Wares | 0.1 | |||
Transportation | 0.1 | |||
Leisure Time | 0.1 | |||
Office/Business Equipment | 0.1 | |||
Health Care & Pharmaceutical | 0.1 | |||
Electronics | 0.1 | |||
Diversified Manufacturing | 0.1 | |||
Other | 0.1 | |||
Supermarkets | 0.1 | |||
Housewares | 0.1 | |||
Apparel | 0.1 | |||
Home Furnishings | 0.1 | |||
Oil & Gas Services | 0.1 | |||
Student Loans | 0.1 | |||
Beverages | 0.0 | * | ||
Textiles | 0.0 | * | ||
Iron/Steel | 0.0 | * | ||
Real Estate | 0.0 | * | ||
|
| |||
101.4 | ||||
Options Written | (0.1 | ) | ||
Liabilities in excess of other assets | (1.3 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
SEE NOTES TO FINANCIAL STATEMENTS.
A64
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Effects of derivative instruments on the financial statements and primary underlying risk exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, foreign exchange contracts risk and interest rate contracts 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, 2017 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 and centrally cleared forward rate agreements | $ | 221,790 | * | |||||
Credit contracts | Premiums paid for OTC swap agreements | 50,672 | Premiums received for OTC swap agreements | 172,564 | ||||||||
Credit contracts | Unrealized appreciation on OTC swap agreements | 187,580 | Unrealized depreciation on OTC swap agreements | 103,003 | ||||||||
Foreign exchange contracts | — | — | Unrealized depreciation on OTC cross currency exchange contracts | 626 | ||||||||
Foreign exchange contracts | Unrealized appreciation on OTC forward foreign currency exchange contracts | 12,146 | Unrealized depreciation on OTC forward foreign currency exchange contracts | 1,883,867 | ||||||||
Interest rate contracts | Due from/to broker — variation margin futures | 2,267,833 | * | Due from/to broker — variation margin futures | 1,986,836 | * | ||||||
Interest rate contracts | Due from/to broker — variation margin swaps and centrally cleared forward rate agreements | 6,463,340 | * | Due from/to broker — variation margin swaps and centrally cleared forward rate agreements | 1,535,130 | * | ||||||
Interest rate contracts | — | — | Premiums received for OTC swap agreements | 14,315 | ||||||||
Interest rate contracts | Unaffiliated investments | 1,959,807 | Options written outstanding, at value | 1,144,632 | ||||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 165,083 | Unrealized depreciation on OTC swap agreements | 16,843 | ||||||||
|
|
|
| |||||||||
Total | $ | 11,106,461 | $ | 7,079,606 | ||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in schedule of open futures, centrally cleared swap contracts and centrally cleared forward rate agreements. 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, 2017 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(1) | Options Written | Futures | Forward & Cross Currency Contracts(2) | Forward Rate Agreements | Swaps | Total | |||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (377,096 | ) | $ | (377,096 | ) | ||||||||||||
Foreign exchange contracts | — | — | — | 400,077 | — | — | 400,077 | |||||||||||||||||||||
Interest rate contracts | (174,848 | ) | 76,794 | 10,480,355 | — | 69,694 | 556,745 | 11,008,740 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (174,848 | ) | $ | 76,794 | $ | 10,480,355 | $ | 400,077 | $ | 69,694 | $ | 179,649 | $ | 11,031,721 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
(2) | Included in net realized gain (loss) on foreign currency transactions in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A65
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(3) | Options Written | Futures | Forward & Cross Currency Contracts(4) | Forward Rate Agreements | Swaps | Total | |||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 319,248 | $ | 319,248 | ||||||||||||||
Foreign exchange contracts | — | — | — | (2,728,404 | ) | — | — | (2,728,404 | ) | |||||||||||||||||||
Interest rate contracts | (718,747 | ) | 673,387 | 4,411,390 | — | (279,149 | ) | (4,913,681 | ) | (826,800 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | (718,747 | ) | $ | 673,387 | $ | 4,411,390 | $ | (2,728,404 | ) | $ | (279,149 | ) | $ | (4,594,433 | ) | $ | (3,235,956 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(3) | Included in net unrealized appreciation (depreciation) on investment transactions in the Statement of Operations. |
(4) | Included in net unrealized appreciaiton (depreciation) on foreign currencies in the Statement of Operations. |
For the six months ended June 30, 2017, the average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(4) | Futures Contracts— Long Positions(2) | Futures Contracts— Short Positions(2) | Forward Foreign | ||||
$912,913 | $201,607,114 | $760,409,258 | $73,207,483 | $684,735 |
Forward Foreign | Cross Currency | Credit Default Swap | Credit Default Swap | Currency Swap | ||||
$41,915,705 | $252,012 | $13,900,000 | $32,935,667 | $11,293,667 |
Forward Rate | Inflation Swap | Interest Rate Swap | Total Return Swap | |||
$784,000,000 | $8,727,360 | $1,462,922,433 | $4,948,000 |
(1) | Cost. |
(2) | Value at Trade Date. |
(3) | Value at Settlement Date. |
(4) | Notional Amount in USD. |
Financial instruments/transactions — summary of offsetting and netting arrangements:
The Portfolio invested in OTC derivatives and entered into financial instruments/transactions 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 and financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Amounts of Recognized Assets(3) | Collateral Received(4) | Net Amount | |||||||||
Securities on Loan | $ | 12,183,783 | $ | (12,183,783 | ) | $ | — |
Offsetting of OTC derivative assets and liabilities:
Counterparty | Gross Amounts of Recognized Assets(1) | Gross Amounts Available for Offset | Collateral Received(4) | Net Amount | ||||||||||||
Bank of America | $ | — | $ | — | $ | — | $ | — | ||||||||
Barclays Capital Group | 948,187 | (557,365 | ) | (340,000 | ) | 50,822 | ||||||||||
Citigroup Global Markets | 35,161 | (35,161 | ) | — | — | |||||||||||
Credit Suisse First Boston Corp. | 35,265 | (14,315 | ) | — | 20,950 | |||||||||||
Goldman Sachs & Co. | 48,328 | (38,020 | ) | — | 10,308 | |||||||||||
Hong Kong & Shanghai Bank | 129,818 | (47,350 | ) | — | 82,468 | |||||||||||
JPMorgan Chase | 999,773 | (800,931 | ) | — | 198,842 | |||||||||||
Morgan Stanley | 177,246 | (172,518 | ) | — | 4,728 | |||||||||||
UBS AG | 1,510 | (1,510 | ) | — | — | |||||||||||
|
| |||||||||||||||
$ | 2,375,288 | |||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A66
DIVERSIFIED BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Counterparty | Gross Amounts of Recognized Liabilities(2) | Gross Amounts Available for Offset | Collateral Pledged(4) | Net Amount | ||||||||||||
Bank of America | $ | (105,139 | ) | $ | — | $ | — | $ | (105,139 | ) | ||||||
Barclays Capital Group | (557,365 | ) | 557,365 | — | — | |||||||||||
Citigroup Global Markets | (1,549,701 | ) | 35,161 | 1,514,540 | — | |||||||||||
Credit Suisse First Boston Corp. | (14,315 | ) | 14,315 | — | — | |||||||||||
Goldman Sachs & Co. | (38,020 | ) | 38,020 | — | — | |||||||||||
Hong Kong & Shanghai Bank | (47,350 | ) | 47,350 | — | — | |||||||||||
JPMorgan Chase | (800,931 | ) | 800,931 | — | — | |||||||||||
Morgan Stanley | (172,518 | ) | 172,518 | — | — | |||||||||||
UBS AG | (50,511 | ) | 1,510 | — | (49,001 | ) | ||||||||||
|
| |||||||||||||||
$ | (3,335,850 | ) | ||||||||||||||
|
|
(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) | Amount represents market value. |
(4) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty. |
SEE NOTES TO FINANCIAL STATEMENTS.
A67
DIVERSIFIED BOND PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2017
ASSETS | ||||
Investments at value, including securities on loan of $12,183,783: | ||||
Unaffiliated investments (cost $961,012,006) | $ | 995,080,459 | ||
Affiliated investments (cost $159,932,660) | 156,260,938 | |||
Cash | 516,930 | |||
Foreign currency, at value (cost $2,100,179) | 2,172,080 | |||
Cash segregated for counterparty - OTC | 1,520,000 | |||
Dividends and interest receivable | 8,448,727 | |||
Receivable for investments sold | 5,875,261 | |||
Due from broker—variation margin swaps and centrally cleared forward rate agreements | 524,539 | |||
Unrealized appreciation on OTC swap agreements | 352,663 | |||
Tax reclaim receivable | 51,717 | |||
Premiums paid for OTC swap agreements | 50,672 | |||
Receivable for Series shares sold | 16,636 | |||
Unrealized appreciation on OTC forward foreign currency exchange contracts | 12,146 | |||
Prepaid expenses | 1,286 | |||
|
| |||
Total Assets | 1,170,884,054 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 18,282,465 | |||
Payable to broker for collateral for securities on loan | 12,427,946 | |||
Unrealized depreciation on OTC forward foreign currency exchange contracts | 1,883,867 | |||
Due to broker—variation margin futures | 1,190,743 | |||
Options written outstanding, at value (premiums received $1,818,019) | 1,144,632 | |||
Management fee payable | 371,361 | |||
Premiums received for OTC swap agreements | 186,879 | |||
Accrued expenses and other liabilities | 177,384 | |||
Payable for Series shares repurchased | 134,686 | |||
Unrealized depreciation on OTC swap agreements | 119,846 | |||
Affiliated transfer agent fee payable | 980 | |||
Unrealized depreciation on OTC cross currency exchange contracts | 626 | |||
Deferred trustees’ fees | 522 | |||
|
| |||
Total Liabilities | 35,921,937 | |||
|
| |||
NET ASSETS | $ | 1,134,962,117 | ||
|
| |||
Net assets were comprised of: |
| |||
Paid-in capital | $ | 929,212,907 | ||
Retained earnings | 205,749,210 | |||
|
| |||
Net assets, June 30, 2017 | $ | 1,134,962,117 | ||
|
| |||
Net asset value and redemption price per share | $ | 12.82 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2017
NET INVESTMENT INCOME (LOSS) | ||||
Income |
| |||
Interest income | $ | 19,519,470 | ||
Affiliated dividend income | 1,015,422 | |||
Unaffiliated dividend income | 64,414 | |||
Income from securities lending, net (including affiliated income of $23,060) | 29,946 | |||
|
| |||
Total income | 20,629,252 | |||
|
| |||
EXPENSES | ||||
Management fee | 2,208,877 | |||
Custodian and accounting fees | 96,000 | |||
Shareholders’ reports | 53,000 | |||
Audit fee | 27,000 | |||
Trustees’ fees | 10,000 | |||
Legal fees and expenses | 6,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Miscellaneous | 13,909 | |||
|
| |||
Total expenses | 2,420,786 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 18,208,466 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: |
| |||
Investment transactions (including affiliated of $300) | 3,496,215 | |||
Futures transactions | 10,480,355 | |||
Options written transactions | 76,794 | |||
Forward rate agreement transactions | 69,694 | |||
Swap agreement transactions | 179,649 | |||
Foreign currency transactions | 390,696 | |||
|
| |||
14,693,403 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: |
| |||
Investments (including affiliated of $178,692) | 17,066,677 | |||
Futures | 4,411,390 | |||
Options written | 673,387 | |||
Forward rate agreements | (279,149 | ) | ||
Swap agreements | (4,594,433 | ) | ||
Foreign currencies | (2,398,689 | ) | ||
|
| |||
14,879,183 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 29,572,586 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 47,781,052 | ||
|
|
STATEMENT OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 18,208,466 | $ | 39,465,698 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 14,693,403 | (3,347,958 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 14,879,183 | 23,594,004 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 47,781,052 | 59,711,744 | ||||||
|
|
|
| |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [1,532,948 and 2,764,375 shares, respectively] | 19,509,259 | 34,011,481 | ||||||
Series shares repurchased [2,944,757 and 6,055,908 shares, respectively] | (36,906,812 | ) | (74,059,176 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (17,397,553 | ) | (40,047,695 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 20,597 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 30,383,499 | 19,684,646 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 1,104,578,618 | 1,084,893,972 | ||||||
|
|
|
| |||||
End of period | $ | 1,134,962,117 | $ | 1,104,578,618 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A68
EQUITY PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
LONG-TERM INVESTMENTS — 99.3% | ||||||||
COMMON STOCKS | Shares | Value | ||||||
Aerospace & Defense — 1.9% |
| |||||||
Boeing Co. (The) | 167,444 | $ | 33,112,051 | |||||
United Technologies Corp. | 354,691 | 43,311,318 | ||||||
|
| |||||||
76,423,369 | ||||||||
|
| |||||||
Automobiles — 1.1% |
| |||||||
Tesla, Inc.*(a) | 120,660 | 43,631,863 | ||||||
|
| |||||||
Banks — 9.1% |
| |||||||
Bank of America Corp. | 2,474,256 | 60,025,451 | ||||||
BB&T Corp. | 806,736 | 36,633,882 | ||||||
Citigroup, Inc. | 734,267 | 49,107,777 | ||||||
JPMorgan Chase & Co. | 1,691,178 | 154,573,669 | ||||||
PNC Financial Services Group, Inc. (The) | 314,667 | 39,292,468 | ||||||
Wells Fargo & Co. | 491,747 | 27,247,701 | ||||||
|
| |||||||
366,880,948 | ||||||||
|
| |||||||
Beverages — 0.6% |
| |||||||
Monster Beverage Corp.* | 447,039 | 22,208,898 | ||||||
|
| |||||||
Biotechnology — 4.3% |
| |||||||
BioMarin Pharmaceutical, Inc.* | 349,226 | 31,716,705 | ||||||
Celgene Corp.* | 410,912 | 53,365,141 | ||||||
Regeneron Pharmaceuticals, Inc.* | 60,978 | 29,948,735 | ||||||
Shire PLC, ADR | 148,952 | 24,617,297 | ||||||
Vertex Pharmaceuticals, Inc.* | 264,688 | 34,110,343 | ||||||
|
| |||||||
173,758,221 | ||||||||
|
| |||||||
Capital Markets — 1.1% |
| |||||||
Goldman Sachs Group, Inc. (The) | 198,369 | 44,018,081 | ||||||
|
| |||||||
Chemicals — 1.5% |
| |||||||
Dow Chemical Co. (The) | 483,334 | 30,483,875 | ||||||
FMC Corp. | 392,768 | 28,691,703 | ||||||
|
| |||||||
59,175,578 | ||||||||
|
| |||||||
Communications Equipment — 0.7% |
| |||||||
Cisco Systems, Inc. | 887,887 | 27,790,863 | ||||||
|
| |||||||
Consumer Finance — 1.7% |
| |||||||
Capital One Financial Corp. | 441,465 | 36,473,838 | ||||||
SLM Corp.* | 2,815,769 | 32,381,344 | ||||||
|
| |||||||
68,855,182 | ||||||||
|
| |||||||
Containers & Packaging — 0.4% |
| |||||||
Sealed Air Corp. | 396,986 | 17,769,093 | ||||||
|
| |||||||
Electric Utilities — 1.8% |
| |||||||
Exelon Corp. | 792,844 | 28,597,883 | ||||||
PG&E Corp. | 686,623 | 45,571,169 | ||||||
|
| |||||||
74,169,052 | ||||||||
|
| |||||||
Electrical Equipment — 0.9% |
| |||||||
Eaton Corp. PLC | 450,412 | 35,055,566 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.0% |
| |||||||
Flex Ltd.* | 2,489,691 | 40,606,860 | ||||||
|
| |||||||
Energy Equipment & Services — 1.3% |
| |||||||
Halliburton Co. | 1,269,809 | 54,233,542 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.5% |
| |||||||
American Tower Corp. | 220,753 | 29,210,037 | ||||||
Crown Castle International Corp. | 307,094 | 30,764,677 | ||||||
|
| |||||||
59,974,714 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Food & Staples Retailing — 0.8% |
| |||||||
Wal-Mart Stores, Inc. | 426,628 | $ | 32,287,207 | |||||
|
| |||||||
Food Products — 1.2% |
| |||||||
Conagra Brands, Inc. | 813,870 | 29,103,991 | ||||||
Mondelez International, Inc. (Class A Stock) | 489,548 | 21,143,578 | ||||||
|
| |||||||
50,247,569 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.4% |
| |||||||
Boston Scientific Corp.* | 740,751 | 20,533,618 | ||||||
Zimmer Biomet Holdings, Inc. | 270,361 | 34,714,352 | ||||||
|
| |||||||
55,247,970 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.7% |
| |||||||
Cigna Corp. | 215,116 | 36,008,267 | ||||||
Laboratory Corp. of America Holdings* | 219,616 | 33,851,610 | ||||||
|
| |||||||
69,859,877 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.9% |
| |||||||
Carnival Corp. | 516,316 | 33,854,840 | ||||||
Marriott International, Inc. (Class A Stock) | 503,624 | 50,518,523 | ||||||
McDonald’s Corp. | 215,586 | 33,019,152 | ||||||
|
| |||||||
117,392,515 | ||||||||
|
| |||||||
Household Durables — 0.5% |
| |||||||
Newell Brands, Inc. | 358,590 | 19,227,596 | ||||||
|
| |||||||
Household Products — 1.1% |
| |||||||
Procter & Gamble Co. (The) | 531,330 | 46,305,410 | ||||||
|
| |||||||
Industrial Conglomerates — 0.5% |
| |||||||
General Electric Co. | 705,847 | 19,064,927 | ||||||
|
| |||||||
Insurance — 2.0% |
| |||||||
Chubb Ltd. | 299,622 | 43,559,047 | ||||||
MetLife, Inc. | 679,144 | 37,312,171 | ||||||
|
| |||||||
80,871,218 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 6.1% |
| |||||||
Amazon.com, Inc.* | 114,268 | 110,611,424 | ||||||
Netflix, Inc.* | 479,964 | 71,711,421 | ||||||
Priceline Group, Inc. (The)* | 33,662 | 62,965,444 | ||||||
|
| |||||||
245,288,289 | ||||||||
|
| |||||||
Internet Software & Services — 11.8% |
| |||||||
Alibaba Group Holding Ltd. (China), ADR*(a) | 726,117 | 102,309,885 | ||||||
Alphabet, Inc. (Class A Stock)* | 83,408 | 77,542,750 | ||||||
Alphabet, Inc. (Class C Stock)* | 55,410 | 50,352,729 | ||||||
eBay, Inc.* | 1,105,186 | 38,593,095 | ||||||
Facebook, Inc. (Class A Stock)* | 682,476 | 103,040,227 | ||||||
MercadoLibre, Inc. (Argentina) | 112,630 | 28,256,614 | ||||||
Tencent Holdings Ltd. (China) | 2,163,894 | 77,629,612 | ||||||
|
| |||||||
477,724,912 | ||||||||
|
| |||||||
IT Services — 3.9% |
| |||||||
DXC Technology Co. | 258,504 | 19,832,427 | ||||||
Mastercard, Inc. (Class A Stock) | 522,192 | 63,420,218 | ||||||
Visa, Inc. (Class A Stock)(a) | 768,760 | 72,094,313 | ||||||
|
| |||||||
155,346,958 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A69
EQUITY PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Machinery — 0.9% |
| |||||||
Parker-Hannifin Corp. | 235,169 | $ | 37,584,710 | |||||
|
| |||||||
Media — 3.7% |
| |||||||
Charter Communications, Inc. (Class A Stock)* | 156,363 | 52,670,877 | ||||||
Comcast Corp. (Class A Stock) | 1,135,486 | 44,193,115 | ||||||
Liberty Global PLC (United Kingdom) (Class C Stock)* | 440,280 | 13,727,931 | ||||||
Twenty-First Century Fox, Inc. (Class A Stock) | 692,754 | 19,632,648 | ||||||
Viacom, Inc. (Class B Stock) | 524,283 | 17,600,180 | ||||||
|
| |||||||
147,824,751 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.6% |
| |||||||
Anadarko Petroleum Corp. | 277,508 | 12,582,213 | ||||||
Chevron Corp. | 430,962 | 44,962,265 | ||||||
Noble Energy, Inc. | 679,410 | 19,227,303 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR | 778,979 | 41,433,893 | ||||||
Suncor Energy, Inc. (Canada) | 885,009 | 25,858,260 | ||||||
|
| |||||||
144,063,934 | ||||||||
|
| |||||||
Pharmaceuticals — 5.5% |
| |||||||
Allergan PLC | 305,758 | 74,326,712 | ||||||
Bristol-Myers Squibb Co. | 673,928 | 37,551,268 | ||||||
Eli Lilly & Co. | 359,028 | 29,548,005 | ||||||
Merck & Co., Inc. | 586,747 | 37,604,615 | ||||||
Pfizer, Inc. | 1,316,280 | 44,213,845 | ||||||
|
| |||||||
223,244,445 | ||||||||
|
| |||||||
Road & Rail — 2.0% |
| |||||||
CSX Corp. | 636,597 | 34,732,732 | ||||||
Ryder System, Inc. | 237,420 | 17,089,492 | ||||||
Union Pacific Corp. | 274,130 | 29,855,498 | ||||||
|
| |||||||
81,677,722 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.6% |
| |||||||
Broadcom Ltd. | 246,715 | 57,496,931 | ||||||
NVIDIA Corp. | 417,362 | 60,333,851 | ||||||
Texas Instruments, Inc. | 375,338 | 28,874,752 | ||||||
|
| |||||||
146,705,534 | ||||||||
|
| |||||||
Software — 9.5% |
| |||||||
Activision Blizzard, Inc. | 1,043,539 | 60,076,540 | ||||||
Adobe Systems, Inc.* | 493,157 | 69,752,126 | ||||||
Microsoft Corp. | 1,856,752 | 127,985,915 | ||||||
PTC, Inc.* | 526,915 | 29,043,555 | ||||||
salesforce.com, Inc.* | 703,243 | 60,900,844 | ||||||
Workday, Inc. (Class A Stock)*(a) | 373,377 | 36,217,569 | ||||||
|
| |||||||
383,976,549 | ||||||||
|
| |||||||
Specialty Retail — 1.1% |
| |||||||
Industria de Diseno Textil SA (Spain), ADR(a) | 2,332,223 | 44,895,293 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 3.9% |
| |||||||
Apple, Inc. | 1,089,544 | 156,916,127 | ||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Textiles, Apparel & Luxury Goods — 2.0% |
| |||||||
adidas AG (Germany), ADR(a) | 424,445 | $ | 40,733,987 | |||||
Coach, Inc. | 808,644 | 38,281,207 | ||||||
|
| |||||||
79,015,194 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.7% |
| |||||||
Vodafone Group PLC (United Kingdom), ADR | 980,721 | 28,176,114 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 4,007,496,651 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 6.1% | ||||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w) | 58,490,313 | 58,490,313 | ||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund | 189,066,118 | 189,085,024 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 247,575,337 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 105.4% |
| 4,255,071,988 | ||||||
LIABILITIES IN EXCESS OF |
| (218,014,163 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 4,037,057,825 | |||||
|
|
See the Glossary for abbreviations used in the semiannual report.
* | Non-income producing security. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $184,730,944; cash collateral of $188,843,452 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
A70
EQUITY PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Fair value measurements:
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— | unadjusted 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, 2017 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
| |||||||||||
Common Stocks |
| |||||||||||
Aerospace & Defense | $ | 76,423,369 | $ | — | $ | — | ||||||
Automobiles | 43,631,863 | — | — | |||||||||
Banks | 366,880,948 | — | — | |||||||||
Beverages | 22,208,898 | — | — | |||||||||
Biotechnology | 173,758,221 | — | — | |||||||||
Capital Markets | 44,018,081 | — | — | |||||||||
Chemicals | 59,175,578 | — | — | |||||||||
Communications Equipment | 27,790,863 | — | — | |||||||||
Consumer Finance | 68,855,182 | — | — | |||||||||
Containers & Packaging | 17,769,093 | — | — | |||||||||
Electric Utilities | 74,169,052 | — | — | |||||||||
Electrical Equipment | 35,055,566 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 40,606,860 | — | — | |||||||||
Energy Equipment & Services | 54,233,542 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 59,974,714 | — | — | |||||||||
Food & Staples Retailing | 32,287,207 | — | — | |||||||||
Food Products | 50,247,569 | — | — | |||||||||
Health Care Equipment & Supplies | 55,247,970 | — | — | |||||||||
Health Care Providers & Services | 69,859,877 | — | — | |||||||||
Hotels, Restaurants & Leisure | 117,392,515 | — | — | |||||||||
Household Durables | 19,227,596 | — | — | |||||||||
Household Products | 46,305,410 | — | — | |||||||||
Industrial Conglomerates | 19,064,927 | — | — | |||||||||
Insurance | 80,871,218 | — | — | |||||||||
Internet & Direct Marketing Retail | 245,288,289 | — | — | |||||||||
Internet Software & Services | 400,095,300 | 77,629,612 | — | |||||||||
IT Services | 155,346,958 | — | — | |||||||||
Machinery | 37,584,710 | — | — | |||||||||
Media | 147,824,751 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 144,063,934 | — | — | |||||||||
Pharmaceuticals | 223,244,445 | — | — | |||||||||
Road & Rail | 81,677,722 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 146,705,534 | — | — | |||||||||
Software | 383,976,549 | — | — | |||||||||
Specialty Retail | 44,895,293 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 156,916,127 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 79,015,194 | — | — | |||||||||
Wireless Telecommunication Services | 28,176,114 | — | — | |||||||||
Affiliated Mutual Funds | 247,575,337 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 4,177,442,376 | $ | 77,629,612 | $ | — | ||||||
|
|
|
|
|
|
During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.
SEE NOTES TO FINANCIAL STATEMENTS.
A71
EQUITY PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Industry classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:
Internet Software & Services | 11.8 | % | ||
Software | 9.5 | |||
Banks | 9.1 | |||
Affiliated Mutual Funds (including 4.7% of collateral for securities on loan) | 6.1 | |||
Internet & Direct Marketing Retail | 6.1 | |||
Pharmaceuticals | 5.5 | |||
Biotechnology | 4.3 | |||
Technology Hardware, Storage & Peripherals | 3.9 | |||
IT Services | 3.9 | |||
Media | 3.7 | |||
Semiconductors & Semiconductor Equipment | 3.6 | |||
Oil, Gas & Consumable Fuels | 3.6 | |||
Hotels, Restaurants & Leisure | 2.9 | |||
Road & Rail | 2.0 | |||
Insurance | 2.0 | |||
Textiles, Apparel & Luxury Goods | 2.0 | |||
Aerospace & Defense | 1.9 | |||
Electric Utilities | 1.8 | |||
Health Care Providers & Services | 1.7 | |||
Consumer Finance | 1.7 | |||
Equity Real Estate Investment Trusts (REITs) | 1.5 |
Chemicals | 1.5 | % | ||
Health Care Equipment & Supplies | 1.4 | |||
Energy Equipment & Services | 1.3 | |||
Food Products | 1.2 | |||
Household Products | 1.1 | |||
Specialty Retail | 1.1 | |||
Capital Markets | 1.1 | |||
Automobiles | 1.1 | |||
Electronic Equipment, Instruments & Components | 1.0 | |||
Machinery | 0.9 | |||
Electrical Equipment | 0.9 | |||
Food & Staples Retailing | 0.8 | |||
Wireless Telecommunication Services | 0.7 | |||
Communications Equipment | 0.7 | |||
Beverages | 0.6 | |||
Household Durables | 0.5 | |||
Industrial Conglomerates | 0.5 | |||
Containers & Packaging | 0.4 | |||
|
| |||
105.4 | ||||
Liabilities in excess of other assets | (5.4 | ) | ||
|
| |||
100.0 | % | |||
|
|
Financial instruments/transactions — summary of offsetting and netting arrangements:
The Portfolio entered into financial instruments/transactions 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 financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received(2) | Net Amount | |||||||||
Securities on Loan | 184,730,944 | $ | (184,730,944 | ) | $ | — |
(1) | Amount represents market value. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A72
EQUITY PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2017
ASSETS | ||||
Investments at value, including securities on loan of $184,730,944: | ||||
Unaffiliated investments (cost $2,767,854,165) | $ | 4,007,496,651 | ||
Affiliated investments (cost $247,557,212) | 247,575,337 | |||
Receivable for investments sold | 23,858,029 | |||
Dividends receivable | 3,276,384 | |||
Tax reclaim receivable | 1,276,223 | |||
Receivable for Series shares sold | 2,892 | |||
Prepaid expenses | 4,004 | |||
|
| |||
Total assets | 4,283,489,520 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 188,843,452 | |||
Payable for investments purchased | 54,635,541 | |||
Management fee payable | 1,506,739 | |||
Payable for Series shares repurchased | 974,389 | |||
Accrued expenses and other liabilities | 469,718 | |||
Affiliated transfer agent fee payable | 980 | |||
Distribution fee payable | 412 | |||
Administration fee payable | 324 | |||
Deferred trustees’ fees | 140 | |||
|
| |||
Total liabilities | 246,431,695 | |||
|
| |||
NET ASSETS | $ | 4,037,057,825 | ||
|
| |||
Net assets were comprised of: |
| |||
Paid-in capital | $ | 1,527,239,313 | ||
Retained earnings | 2,509,818,512 | |||
|
| |||
Net assets, June 30, 2017 | $ | 4,037,057,825 | ||
|
| |||
CLASS I: | ||||
Net asset value and redemption price per share $4,035,181,111 / 88,406,030 outstanding shares of beneficial interest | $ | 45.64 | ||
|
| |||
CLASS II: | ||||
Net asset value and redemption price per share $1,876,714 / 41,417 outstanding shares of beneficial interest | $ | 45.31 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2017
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net) (foreign withholding taxes of $676,555, of which $343,486 is reimbursable by an affiliate) | $ | 26,150,748 | ||
Income from securities lending, net (including affiliated income of $248,206) | 353,668 | |||
Affiliated dividend income | 274,026 | |||
|
| |||
Total income | 26,778,442 | |||
|
| |||
EXPENSES | ||||
Management fee | 8,821,071 | |||
Distribution fee—Class II | 2,248 | |||
Administration fee—Class II | 1,349 | |||
Custodian and accounting fees | 222,000 | |||
Shareholders’ reports | 120,000 | |||
Insurance expenses | 23,000 | |||
Trustees’ fees | 22,000 | |||
Audit fee | 13,000 | |||
Legal fees and expenses | 10,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Miscellaneous | 12,811 | |||
|
| |||
Total expenses | 9,253,479 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 17,524,963 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $10,357) | 126,185,931 | |||
Foreign currency transactions | (75,619 | ) | ||
|
| |||
126,110,312 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $(38,277)) | 279,262,029 | |||
Foreign currencies | 98,626 | |||
|
| |||
279,360,655 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 405,470,967 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 422,995,930 | ||
|
|
STATEMENT OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 17,524,963 | $ | 36,343,383 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 126,110,312 | 217,876,396 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 279,360,655 | (128,098,315 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 422,995,930 | 126,121,464 | ||||||
|
|
|
| |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold | 3,729,728 | 9,112,648 | ||||||
Series shares repurchased | (133,058,804 | ) | (243,276,531 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (129,329,076 | ) | (234,163,883 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 3,315,979 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 293,666,854 | (104,726,440 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 3,743,390,971 | 3,848,117,411 | ||||||
|
|
|
| |||||
End of period | $ | 4,037,057,825 | $ | 3,743,390,971 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A73
FLEXIBLE MANAGED PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
LONG-TERM INVESTMENTS — 94.7% | ||||||||
COMMON STOCKS — 59.7% | Shares | Value | ||||||
Aerospace & Defense — 1.5% |
| |||||||
Arconic, Inc. | 47,700 | $ | 1,080,405 | |||||
Boeing Co. (The) | 18,300 | 3,618,825 | ||||||
Huntington Ingalls Industries, Inc. | 61,200 | 11,392,992 | ||||||
Lockheed Martin Corp. | 79,300 | 22,014,473 | ||||||
Northrop Grumman Corp. | 49,600 | 12,732,816 | ||||||
Safran SA (France) | 511 | 46,862 | ||||||
Singapore Technologies Engineering Ltd. (Singapore) | 4,800 | 12,823 | ||||||
Spirit AeroSystems Holdings, Inc. (Class A Stock) | 88,500 | 5,127,690 | ||||||
Thales SA (France) | 326 | 35,086 | ||||||
United Technologies Corp. | 15,700 | 1,917,127 | ||||||
|
| |||||||
57,979,099 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.5% |
| |||||||
Deutsche Post AG (Germany) | 3,123 | 117,232 | ||||||
FedEx Corp. | 82,700 | 17,973,191 | ||||||
|
| |||||||
18,090,423 | ||||||||
|
| |||||||
Airlines — 0.0% |
| |||||||
Deutsche Lufthansa AG (Germany) | 15,603 | 355,586 | ||||||
International Consolidated Airlines Group SA (United Kingdom) | 2,273 | 18,060 | ||||||
|
| |||||||
373,646 | ||||||||
|
| |||||||
Auto Components — 0.3% |
| |||||||
Aisin Seiki Co. Ltd. (Japan) | 5,700 | 293,018 | ||||||
Bridgestone Corp. (Japan) | 1,600 | 69,171 | ||||||
Cie Generale des Etablissements Michelin (France) | 439 | 58,428 | ||||||
Cooper-Standard Holdings, Inc.* | 18,600 | 1,876,182 | ||||||
GKN PLC (United Kingdom) | 29,111 | 123,652 | ||||||
Koito Manufacturing Co. Ltd. (Japan) | 300 | 15,513 | ||||||
Lear Corp. | 65,200 | 9,263,616 | ||||||
Sumitomo Electric Industries Ltd. (Japan) | 2,300 | 35,582 | ||||||
Toyoda Gosei Co. Ltd. (Japan) | 2,200 | 52,715 | ||||||
|
| |||||||
11,787,877 | ||||||||
|
| |||||||
Automobiles — 0.7% |
| |||||||
Bayerische Motoren Werke AG (Germany) | 1,027 | 95,519 | ||||||
Daimler AG (Germany) | 2,990 | 216,861 | ||||||
Ferrari NV (Italy) | 347 | 29,860 | ||||||
Fiat Chrysler Automobiles NV (United Kingdom)* | 2,674 | 28,250 | ||||||
Ford Motor Co. | 828,800 | 9,274,272 | ||||||
General Motors Co. | 547,200 | 19,113,696 | ||||||
Honda Motor Co. Ltd. (Japan) | 5,000 | 136,990 | ||||||
Mitsubishi Motors Corp. (Japan) | 25,600 | 169,297 | ||||||
Peugeot SA (France) | 1,508 | 30,054 | ||||||
Suzuki Motor Corp. (Japan) | 7,700 | 366,812 | ||||||
Toyota Motor Corp. (Japan) | 3,300 | 173,459 | ||||||
Volkswagen AG (Germany) | 91 | 14,134 | ||||||
|
| |||||||
29,649,204 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Banks — 3.8% |
| |||||||
ABN AMRO Group NV (Netherlands) CVA, 144A | 850 | $ | 22,518 | |||||
Aozora Bank Ltd. (Japan) | 4,000 | 15,272 | ||||||
Banco Santander SA (Spain) | 4,418 | 29,335 | ||||||
Bank Leumi Le-Israel BM (Israel) | 4,340 | 21,086 | ||||||
Bank of America Corp. | 1,356,900 | 32,918,394 | ||||||
BB&T Corp. | 175,500 | 7,969,455 | ||||||
Bendigo & Adelaide Bank Ltd. (Australia) | 27,922 | 237,688 | ||||||
BNP Paribas SA (France) | 2,760 | 198,700 | ||||||
Citigroup, Inc. | 134,100 | 8,968,608 | ||||||
Commonwealth Bank of Australia (Australia) | 5,419 | 344,736 | ||||||
Credit Agricole SA (France) | 17,551 | 282,718 | ||||||
Danske Bank A/S (Denmark) | 9,296 | 357,646 | ||||||
DBS Group Holdings Ltd. (Singapore) | 5,500 | 82,779 | ||||||
DNB ASA (Norway) | 3,054 | 51,994 | ||||||
HSBC Holdings PLC (United Kingdom) | 69,349 | 643,698 | ||||||
ING Groep NV (Netherlands) | 30,631 | 528,777 | ||||||
Intesa Sanpaolo SpA (Italy) RSP | 2,701 | 8,036 | ||||||
JPMorgan Chase & Co. | 559,094 | 51,101,192 | ||||||
KBC Group NV (Belgium) | 4,257 | 322,762 | ||||||
Lloyds Banking Group PLC (United Kingdom) | 477,136 | 411,187 | ||||||
Mebuki Financial Group, Inc. (Japan) | 2,850 | 10,641 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 2,800 | 18,886 | ||||||
Mizuho Financial Group, Inc. (Japan) | 71,600 | 131,277 | ||||||
Natixis SA (France) | 44,014 | 295,454 | ||||||
Nordea Bank AB (Sweden) | 9,310 | 118,576 | ||||||
Oversea-Chinese Banking Corp. Ltd. (Singapore) | 9,800 | 76,767 | ||||||
PNC Financial Services Group, Inc. (The) | 164,200 | 20,503,654 | ||||||
Resona Holdings, Inc. (Japan) | 6,800 | 37,562 | ||||||
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock) | 4,690 | 56,780 | ||||||
Societe Generale SA (France) | 1,141 | 61,529 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 3,200 | 124,942 | ||||||
SunTrust Banks, Inc. | 71,200 | 4,038,464 | ||||||
Swedbank AB (Sweden) (Class A Stock) | 13,412 | 327,331 | ||||||
United Overseas Bank Ltd. (Singapore) | 4,100 | 68,833 | ||||||
Wells Fargo & Co. | 393,912 | 21,826,664 | ||||||
Westpac Banking Corp. (Australia) | 10,625 | 248,773 | ||||||
|
| |||||||
152,462,714 | ||||||||
|
| |||||||
Beverages — 0.8% |
| |||||||
Anheuser-Busch InBev SA/NV (Belgium) | 189 | 20,875 | ||||||
Asahi Group Holdings Ltd. (Japan) | 1,100 | 41,426 | ||||||
Coca-Cola Co. (The) | 379,100 | 17,002,635 |
SEE NOTES TO FINANCIAL STATEMENTS.
A74
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Beverages (continued) |
| |||||||
Coca-Cola European Partners PLC (United Kingdom) | 644 | $ | 26,093 | |||||
Constellation Brands, Inc. (Class A Stock) | 20,200 | 3,913,346 | ||||||
Diageo PLC (United Kingdom) | 9,288 | 274,478 | ||||||
Heineken Holding NV (Netherlands) | 175 | 16,041 | ||||||
Kirin Holdings Co. Ltd. (Japan) | 2,700 | 55,076 | ||||||
PepsiCo, Inc. | 105,420 | 12,174,956 | ||||||
Pernod Ricard SA (France) | 658 | 88,111 | ||||||
|
| |||||||
33,613,037 | ||||||||
|
| |||||||
Biotechnology — 2.2% |
| |||||||
AbbVie, Inc. | 359,200 | 26,045,592 | ||||||
Amgen, Inc. | 50,008 | 8,612,878 | ||||||
Biogen, Inc.* | 49,000 | 13,296,640 | ||||||
Celgene Corp.* | 203,500 | 26,428,545 | ||||||
CSL Ltd. (Australia) | 1,418 | 150,491 | ||||||
Gilead Sciences, Inc. | 175,400 | 12,414,812 | ||||||
|
| |||||||
86,948,958 | ||||||||
|
| |||||||
Building Products — 0.1% |
| |||||||
Asahi Glass Co. Ltd. (Japan) | 7,600 | 320,970 | ||||||
Continental Building Products, Inc.* | 71,500 | 1,665,950 | ||||||
Daikin Industries Ltd. (Japan) | 700 | 71,814 | ||||||
Universal Forest Products, Inc. | 19,000 | 1,658,890 | ||||||
|
| |||||||
3,717,624 | ||||||||
|
| |||||||
Capital Markets — 1.3% |
| |||||||
Ameriprise Financial, Inc. | 6,100 | 776,469 | ||||||
BGC Partners, Inc. (Class A Stock) | 99,800 | 1,261,472 | ||||||
Goldman Sachs Group, Inc. (The) | 45,700 | 10,140,830 | ||||||
Hargreaves Lansdown PLC (United Kingdom) | 4,965 | 84,194 | ||||||
Julius Baer Group Ltd. (Switzerland)* | 299 | 15,798 | ||||||
LPL Financial Holdings, Inc. | 36,000 | 1,528,560 | ||||||
Macquarie Group Ltd. (Australia) | 4,917 | 334,374 | ||||||
Morgan Stanley | 139,400 | 6,211,664 | ||||||
Nomura Holdings, Inc. (Japan) | 33,700 | 203,226 | ||||||
Partners Group Holding AG (Switzerland) | 480 | 298,037 | ||||||
Raymond James Financial, Inc. | 178,000 | 14,279,160 | ||||||
S&P Global, Inc. | 120,600 | 17,606,394 | ||||||
Schroders PLC (United Kingdom) | 2,261 | 91,426 | ||||||
|
| |||||||
52,831,604 | ||||||||
|
| |||||||
Chemicals — 1.3% |
| |||||||
AdvanSix, Inc.* | 7,116 | 222,304 | ||||||
Arkema SA (France) | 201 | 21,465 | ||||||
Asahi Kasei Corp. (Japan) | 3,000 | 32,365 | ||||||
BASF SE (Germany) | 3,896 | 361,585 | ||||||
Chemours Co. (The) | 382,900 | 14,519,568 | ||||||
Covestro AG (Germany), 144A | 3,542 | 256,774 | ||||||
Daicel Corp. (Japan) | 900 | 11,249 | ||||||
EMS-Chemie Holding AG (Switzerland) | 245 | 180,910 | ||||||
Evonik Industries AG (Germany) | 625 | 20,004 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Chemicals (continued) |
| |||||||
Hitachi Chemical Co. Ltd. (Japan) | 300 | $ | 8,994 | |||||
JSR Corp. (Japan) | 600 | 10,387 | ||||||
Kuraray Co. Ltd. (Japan) | 1,000 | 18,209 | ||||||
LyondellBasell Industries NV (Class A Stock) | 200,100 | 16,886,439 | ||||||
Mitsubishi Chemical Holdings Corp. (Japan) | 38,200 | 318,273 | ||||||
Mitsubishi Gas Chemical Co., Inc. (Japan) | 600 | 12,744 | ||||||
Mitsui Chemicals, Inc. (Japan) | 42,000 | 223,666 | ||||||
Sherwin-Williams Co. (The) | 46,500 | 16,319,640 | ||||||
Shin-Etsu Chemical Co. Ltd. (Japan) | 1,200 | 109,215 | ||||||
Sika AG (Switzerland) | 7 | 44,941 | ||||||
Sumitomo Chemical Co. Ltd. (Japan) | 5,000 | 28,899 | ||||||
Teijin Ltd. (Japan) | 12,700 | 245,073 | ||||||
Tosoh Corp. (Japan) | 2,000 | 20,612 | ||||||
Trinseo SA | 11,800 | 810,660 | ||||||
|
| |||||||
50,683,976 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.1% |
| |||||||
Herman Miller, Inc. | 32,800 | 997,120 | ||||||
ISS A/S (Denmark) | 2,504 | 98,360 | ||||||
Steelcase, Inc. (Class A Stock) | 101,600 | 1,422,400 | ||||||
Toppan Printing Co. Ltd. (Japan) | 2,000 | 21,992 | ||||||
|
| |||||||
2,539,872 | ||||||||
|
| |||||||
Communications Equipment — 0.5% |
| |||||||
Cisco Systems, Inc. | 400,700 | 12,541,910 | ||||||
Juniper Networks, Inc. | 293,700 | 8,188,356 | ||||||
|
| |||||||
20,730,266 | ||||||||
|
| |||||||
Construction & Engineering — 0.3% |
| |||||||
Argan, Inc. | 39,200 | 2,352,000 | ||||||
Bouygues SA (France) | 648 | 27,300 | ||||||
EMCOR Group, Inc. | 53,100 | 3,471,678 | ||||||
HOCHTIEF AG (Germany) | 1,258 | 230,943 | ||||||
Kajima Corp. (Japan) | 4,000 | 33,807 | ||||||
MasTec, Inc.* | 135,000 | 6,095,250 | ||||||
Obayashi Corp. (Japan) | 27,600 | 325,187 | ||||||
Skanska AB (Sweden) (Class B Stock) | 725 | 17,216 | ||||||
Taisei Corp. (Japan) | 21,000 | 192,077 | ||||||
Vinci SA (France) | 432 | 36,850 | ||||||
|
| |||||||
12,782,308 | ||||||||
|
| |||||||
Consumer Finance — 0.6% |
| |||||||
Capital One Financial Corp. | 209,700 | 17,325,414 | ||||||
Navient Corp. | 407,600 | 6,786,540 | ||||||
|
| |||||||
24,111,954 | ||||||||
|
| |||||||
Containers & Packaging — 0.3% |
| |||||||
Owens-Illinois, Inc.* | 120,400 | 2,879,968 | ||||||
WestRock Co. | 187,200 | 10,606,752 | ||||||
|
| |||||||
13,486,720 | ||||||||
|
| |||||||
Distributors — 0.4% |
| |||||||
Genuine Parts Co. | 82,400 | 7,643,424 | ||||||
LKQ Corp.* | 247,500 | 8,155,125 | ||||||
|
| |||||||
15,798,549 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A75
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Diversified Financial Services — 0.5% |
| |||||||
Berkshire Hathaway, Inc. (Class B Stock)* | 102,100 | $ | 17,292,677 | |||||
Investor AB (Sweden) (Class B Stock) | 1,419 | 68,462 | ||||||
Leucadia National Corp. | 89,800 | 2,349,168 | ||||||
ORIX Corp. (Japan) | 19,100 | 297,193 | ||||||
|
| |||||||
20,007,500 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.6% |
| |||||||
AT&T, Inc. | 841,720 | 31,758,096 | ||||||
HKT Trust & HKT Ltd. (Hong Kong) | 12,000 | 15,739 | ||||||
Nippon Telegraph & Telephone Corp. (Japan) | 7,700 | 363,472 | ||||||
Orange SA (France) | 18,394 | 292,739 | ||||||
Telecom Italia SpA (Italy)* | 321,970 | 297,878 | ||||||
Telecom Italia SpA (Italy) | 18,981 | 14,046 | ||||||
Telefonica SA (Spain) | 13,765 | 142,490 | ||||||
Verizon Communications, Inc. | 728,988 | 32,556,604 | ||||||
|
| |||||||
65,441,064 | ||||||||
|
| |||||||
Electric Utilities — 0.8% |
| |||||||
AusNet Services (Australia) | 5,286 | 7,048 | ||||||
Chubu Electric Power Co., Inc. (Japan) | 1,900 | 25,267 | ||||||
CK Infrastructure Holdings Ltd. (Hong Kong) | 1,000 | 8,400 | ||||||
CLP Holdings Ltd. (Hong Kong) | 8,000 | 84,595 | ||||||
EDP-Energias de Portugal SA (Portugal) | 46,235 | 151,245 | ||||||
Endesa SA (Spain) | 7,667 | 176,867 | ||||||
Enel SpA (Italy) | 81,879 | 439,159 | ||||||
Exelon Corp. | 122,700 | 4,425,789 | ||||||
FirstEnergy Corp. | 462,300 | 13,480,668 | ||||||
Iberdrola SA (Spain) | 16,274 | 128,962 | ||||||
Kansai Electric Power Co., Inc. (The) (Japan) | 2,000 | 27,579 | ||||||
PPL Corp. | 326,800 | 12,634,088 | ||||||
Red Electrica Corp. SA (Spain) | 331 | 6,925 | ||||||
SSE PLC (United Kingdom) | 2,935 | 55,534 | ||||||
Terna Rete Elettrica Nazionale SpA (Italy) | 4,613 | 24,916 | ||||||
Tohoku Electric Power Co., Inc. (Japan) | 1,300 | 18,017 | ||||||
|
| |||||||
31,695,059 | ||||||||
|
| |||||||
Electrical Equipment — 0.5% |
| |||||||
Emerson Electric Co. | 293,900 | 17,522,318 | ||||||
Gamesa Corp. Tecnologica SA (Spain) | 750 | 16,047 | ||||||
Nidec Corp. (Japan) | 700 | 71,918 | ||||||
Vestas Wind Systems A/S (Denmark) | 3,917 | 361,803 | ||||||
|
| |||||||
17,972,086 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.0% |
| |||||||
Hirose Electric Co. Ltd. (Japan) | 100 | 14,310 | ||||||
Hitachi High-Technologies Corp. (Japan) | 200 | 7,789 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Electronic Equipment, Instruments & Components (continued) |
| |||||||
Hitachi Ltd. (Japan) | 59,000 | $ | 363,776 | |||||
Keyence Corp. (Japan) | 300 | 132,068 | ||||||
Kyocera Corp. (Japan) | 2,900 | 168,550 | ||||||
TDK Corp. (Japan) | 1,800 | 118,984 | ||||||
|
| |||||||
805,477 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.1% |
| |||||||
McDermott International, Inc.* | 610,100 | 4,374,417 | ||||||
Unit Corp.* | 25,100 | 470,123 | ||||||
|
| |||||||
4,844,540 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.3% |
| |||||||
American Tower Corp. | 140,500 | 18,590,960 | ||||||
CoreCivic, Inc. | 124,600 | 3,436,468 | ||||||
Crown Castle International Corp. | 22,500 | 2,254,050 | ||||||
Franklin Street Properties Corp. | 64,700 | 716,876 | ||||||
GEO Group, Inc. (The) | 253,350 | 7,491,560 | ||||||
Goodman Group (Australia) | 14,397 | 87,012 | ||||||
Hammerson PLC (United Kingdom) | 2,446 | 18,301 | ||||||
Land Securities Group PLC (United Kingdom) | 20,497 | 270,616 | ||||||
Nippon Building Fund, Inc. (Japan) | 4 | 20,410 | ||||||
Outfront Media, Inc. | 58,600 | 1,354,832 | ||||||
Prologis, Inc. | 92,900 | 5,447,656 | ||||||
Spirit Realty Capital, Inc.(a) | 632,200 | 4,684,602 | ||||||
Stockland (Australia) | 80,765 | 271,604 | ||||||
VEREIT, Inc. | 642,300 | 5,228,322 | ||||||
Weyerhaeuser Co. | 91,800 | 3,075,300 | ||||||
|
| |||||||
52,948,569 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.5% |
| |||||||
Carrefour SA (France) | 667 | 16,863 | ||||||
Casino Guichard Perrachon SA (France) | 176 | 10,424 | ||||||
CVS Health Corp. | 56,900 | 4,578,174 | ||||||
Distribuidora Internacional de Alimentacion SA (Spain) | 1,879 | 11,726 | ||||||
ICA Gruppen AB (Sweden)(a) | 8,166 | 304,199 | ||||||
J Sainsbury PLC (United Kingdom) | 92,828 | 304,483 | ||||||
Jeronimo Martins SGPS SA (Portugal) | 779 | 15,209 | ||||||
Koninklijke Ahold Delhaize NV (Netherlands) | 3,962 | 75,624 | ||||||
Kroger Co. (The) | 298,200 | 6,954,024 | ||||||
METRO AG (Germany) | 545 | 18,411 | ||||||
Wal-Mart Stores, Inc. | 356,600 | 26,987,488 | ||||||
Walgreens Boots Alliance, Inc. | 262,300 | 20,540,713 | ||||||
Wesfarmers Ltd. (Australia) | 1,818 | 56,058 | ||||||
WM Morrison Supermarkets PLC (United Kingdom) | 31,898 | 100,187 | ||||||
|
| |||||||
59,973,583 | ||||||||
|
| |||||||
Food Products — 1.0% |
| |||||||
Archer-Daniels-Midland Co. | 232,100 | 9,604,298 | ||||||
Conagra Brands, Inc. | 358,400 | 12,816,384 | ||||||
Golden Agri-Resources Ltd. (Singapore) | 715,300 | 194,831 | ||||||
Marine Harvest ASA (Norway) | 16,965 | 290,258 | ||||||
Nestle SA (Switzerland) | 6,464 | 563,775 |
SEE NOTES TO FINANCIAL STATEMENTS.
A76
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Food Products (continued) |
| |||||||
NH Foods Ltd. (Japan) | 3,000 | $ | 91,260 | |||||
Orkla ASA (Norway) | 2,557 | 25,989 | ||||||
Sanderson Farms, Inc. | 12,500 | 1,445,625 | ||||||
Tate & Lyle PLC (United Kingdom) | 10,666 | 91,924 | ||||||
Tyson Foods, Inc. (Class A Stock) | 246,300 | 15,425,769 | ||||||
WH Group Ltd. (Hong Kong), 144A | 334,000 | 337,264 | ||||||
Wilmar International Ltd. (Singapore) | 23,700 | 57,647 | ||||||
|
| |||||||
40,945,024 | ||||||||
|
| |||||||
Gas Utilities — 0.2% |
| |||||||
Atmos Energy Corp. | 23,500 | 1,949,325 | ||||||
Gas Natural SDG SA (Spain) | 1,102 | 25,796 | ||||||
UGI Corp. | 117,000 | 5,663,970 | ||||||
|
| |||||||
7,639,091 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.1% |
| |||||||
Abbott Laboratories | 499,600 | 24,285,556 | ||||||
Baxter International, Inc. | 319,800 | 19,360,692 | ||||||
Cochlear Ltd. (Australia) | 175 | 20,902 | ||||||
Danaher Corp. | 216,600 | 18,278,874 | ||||||
Hoya Corp. (Japan) | 1,000 | 52,061 | ||||||
Medtronic PLC | 163,100 | 14,475,125 | ||||||
Smith & Nephew PLC (United Kingdom) | 2,714 | 46,867 | ||||||
Straumann Holding AG (Switzerland) | 20 | 11,389 | ||||||
Stryker Corp. | 64,900 | 9,006,822 | ||||||
|
| |||||||
85,538,288 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.0% |
| |||||||
Alfresa Holdings Corp. (Japan) | 600 | 11,600 | ||||||
Anthem, Inc. | 99,100 | 18,643,683 | ||||||
Cigna Corp. | 57,500 | 9,624,925 | ||||||
Express Scripts Holding Co.* | 257,400 | 16,432,416 | ||||||
Fresenius Medical Care AG & Co. KGaA (Germany) | 671 | 64,749 | ||||||
Fresenius SE & Co. KGaA (Germany) | 1,261 | 108,261 | ||||||
HCA Holdings, Inc.* | 126,300 | 11,013,360 | ||||||
Medipal Holdings Corp. (Japan) | 14,400 | 267,006 | ||||||
Ramsay Health Care Ltd. (Australia) | 417 | 23,595 | ||||||
Ryman Healthcare Ltd. (New Zealand) | 1,106 | 6,719 | ||||||
Sonic Healthcare Ltd. (Australia) | 4,866 | 90,599 | ||||||
UnitedHealth Group, Inc. | 119,500 | 22,157,690 | ||||||
|
| |||||||
78,444,603 | ||||||||
|
| |||||||
Health Care Technology — 0.0% |
| |||||||
Cerner Corp.* | 18,300 | 1,216,401 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.5% |
| |||||||
Aristocrat Leisure Ltd. (Australia) | 22,502 | 390,115 | ||||||
Carnival Corp. | 16,200 | 1,062,234 | ||||||
Carnival PLC | 585 | 38,682 | ||||||
Extended Stay America, Inc. | 351,400 | 6,803,104 | ||||||
Galaxy Entertainment Group Ltd. (Hong Kong) | 13,000 | 78,901 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Hotels, Restaurants & Leisure (continued) |
| |||||||
Genting Singapore PLC (Singapore) | 18,400 | $ | 14,497 | |||||
Intercontinental Hotels Group PLC (United Kingdom) | 581 | 32,265 | ||||||
McDonald’s Corp. | 203,400 | 31,152,744 | ||||||
Sodexo SA (France) | 287 | 37,093 | ||||||
Tui AG (Germany) | 1,434 | 20,905 | ||||||
Yum China Holdings, Inc.* | 211,300 | 8,331,559 | ||||||
Yum! Brands, Inc. | 162,000 | 11,949,120 | ||||||
|
| |||||||
59,911,219 | ||||||||
|
| |||||||
Household Durables — 0.5% |
| |||||||
Barratt Developments PLC (United Kingdom) | 3,003 | 22,055 | ||||||
D.R. Horton, Inc. | 457,600 | 15,819,232 | ||||||
Husqvarna AB (Sweden) (Class B Stock) | 1,267 | 12,594 | ||||||
NVR, Inc.* | 1,400 | 3,374,854 | ||||||
Panasonic Corp. (Japan) | 6,700 | 91,289 | ||||||
Persimmon PLC (United Kingdom) | 7,468 | 218,115 | ||||||
Sekisui House Ltd. (Japan) | 1,700 | 30,045 | ||||||
Sharp Corp. (Japan)* | 5,000 | 18,534 | ||||||
Sony Corp. (Japan) | 3,900 | 148,761 | ||||||
Taylor Morrison Home Corp. (Class A Stock)* | 51,400 | 1,234,114 | ||||||
Taylor Wimpey PLC (United Kingdom) | 121,301 | 278,563 | ||||||
|
| |||||||
21,248,156 | ||||||||
|
| |||||||
Household Products — 0.8% | ||||||||
Essity AB (Sweden) (Class B Stock)* | 123 | 3,365 | ||||||
Henkel AG & Co. KGaA (Germany) | 321 | 38,884 | ||||||
Kimberly-Clark Corp. | 129,800 | 16,758,478 | ||||||
Procter & Gamble Co. (The) | 191,105 | 16,654,801 | ||||||
Reckitt Benckiser Group PLC (United Kingdom) | 213 | 21,593 | ||||||
|
| |||||||
33,477,121 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.3% |
| |||||||
AES Corp. | 1,049,100 | 11,655,501 | ||||||
|
| |||||||
Industrial Conglomerates — 1.0% |
| |||||||
3M Co. | 86,400 | 17,987,616 | ||||||
CK Hutchison Holdings Ltd. (Hong Kong) | 28,000 | 351,387 | ||||||
General Electric Co. | 217,492 | 5,874,459 | ||||||
Honeywell International, Inc. | 106,700 | 14,222,043 | ||||||
Jardine Matheson Holdings Ltd. (Hong Kong) | 800 | 51,360 | ||||||
Siemens AG (Germany) | 3,594 | 494,370 | ||||||
|
| |||||||
38,981,235 | ||||||||
|
| |||||||
Insurance — 2.0% |
| |||||||
Aflac, Inc. | 88,900 | 6,905,752 | ||||||
AIA Group Ltd. (Hong Kong) | 17,200 | 125,841 | ||||||
Allianz SE (Germany) | 1,427 | 281,608 | ||||||
Allstate Corp. (The) | 213,400 | 18,873,096 | ||||||
American International Group, Inc. | 286,600 | 17,918,232 |
SEE NOTES TO FINANCIAL STATEMENTS.
A77
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Insurance (continued) |
| |||||||
Assurant, Inc. | 43,300 | $ | 4,489,777 | |||||
Aviva PLC (United Kingdom) | 12,647 | 86,751 | ||||||
AXA SA (France) | 5,157 | 141,216 | ||||||
Baloise Holding AG (Switzerland) | 154 | 23,855 | ||||||
Direct Line Insurance Group PLC (United Kingdom) | 4,278 | 19,810 | ||||||
Gjensidige Forsikring ASA (Norway) | 16,563 | 282,729 | ||||||
Hannover Rueck SE (Germany) | 1,014 | 121,795 | ||||||
Legal & General Group PLC (United Kingdom) | 63,839 | 214,819 | ||||||
Medibank Pvt Ltd. (Australia) | 8,453 | 18,200 | ||||||
MetLife, Inc. | 331,300 | 18,201,622 | ||||||
MS&AD Insurance Group Holdings, Inc. (Japan) | 8,700 | 293,440 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) | 207 | 41,887 | ||||||
NN Group NV (Netherlands) | 991 | 35,164 | ||||||
Prudential PLC | 8,035 | 184,435 | ||||||
QBE Insurance Group Ltd. (Australia) | 4,122 | 37,413 | ||||||
Sampo OYJ (Finland) (Class A Stock) | 1,855 | 95,172 | ||||||
SCOR SE (France) | 535 | 21,254 | ||||||
Swiss Life Holding AG (Switzerland) | 971 | 328,462 | ||||||
Swiss Re AG (Switzerland) | 1,017 | 93,201 | ||||||
Unum Group | 278,200 | 12,972,466 | ||||||
|
| |||||||
81,807,997 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 1.2% |
| |||||||
Amazon.com, Inc.* | 34,500 | 33,396,000 | ||||||
Liberty Interactive Corp. QVC Group (Class A Stock)* | 274,800 | 6,743,592 | ||||||
Liberty TripAdvisor Holdings, Inc. (Class A Stock)* | 23,400 | 271,440 | ||||||
Nutrisystem, Inc.(a) | 104,300 | 5,428,815 | ||||||
|
| |||||||
45,839,847 | ||||||||
|
| |||||||
Internet Software & Services — 3.1% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 33,600 | 31,237,248 | ||||||
Alphabet, Inc. (Class C Stock)* | 51,182 | 46,510,619 | ||||||
Facebook, Inc. (Class A Stock)* | 314,300 | 47,453,014 | ||||||
|
| |||||||
125,200,881 | ||||||||
|
| |||||||
IT Services — 1.9% |
| |||||||
Accenture PLC (Class A Stock) | 168,600 | 20,852,448 | ||||||
Amadeus IT Group SA (Spain) | 5,598 | 334,625 | ||||||
Atos SE (France) | 2,113 | 296,477 | ||||||
Booz Allen Hamilton Holding Corp. | 39,800 | 1,295,092 | ||||||
CACI International, Inc. (Class A Stock)* | 25,800 | 3,226,290 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock) | 300,800 | 19,973,120 | ||||||
CSRA, Inc. | 126,700 | 4,022,725 | ||||||
DST Systems, Inc. | 17,400 | 1,073,580 |
COMMON STOCKS (continued) | Shares | Value | ||||||
IT Services (continued) |
| |||||||
Fidelity National Information Services, Inc. | 19,700 | $ | 1,682,380 | |||||
First Data Corp. (Class A Stock)* | 159,000 | 2,893,800 | ||||||
Fiserv, Inc.* | 56,100 | 6,863,274 | ||||||
Fujitsu Ltd. (Japan) | 14,000 | 103,548 | ||||||
Leidos Holdings, Inc. | 45,600 | 2,357,064 | ||||||
Total System Services, Inc. | 116,600 | 6,791,950 | ||||||
Travelport Worldwide Ltd. | 184,100 | 2,533,216 | ||||||
Worldpay Group PLC (United Kingdom), 144A | 2,690 | 11,030 | ||||||
|
| |||||||
74,310,619 | ||||||||
|
| |||||||
Leisure Products — 0.0% |
| |||||||
Bandai Namco Holdings, Inc. (Japan) | 600 | 20,500 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.2% |
| |||||||
Lonza Group AG (Switzerland) | 232 | 50,255 | ||||||
QIAGEN NV | 620 | 20,630 | ||||||
Thermo Fisher Scientific, Inc. | 38,100 | 6,647,307 | ||||||
|
| |||||||
6,718,192 | ||||||||
|
| |||||||
Machinery — 0.9% |
| |||||||
Alfa Laval AB (Sweden) | 914 | 18,707 | ||||||
Amada Holdings Co. Ltd. (Japan) | 1,000 | 11,600 | ||||||
Atlas Copco AB (Sweden) (Class A Stock) | 8,243 | 316,958 | ||||||
Atlas Copco AB (Sweden) (Class B Stock) | 1,137 | 39,300 | ||||||
Crane Co. | 50,000 | 3,969,000 | ||||||
Deere & Co. | 9,200 | 1,137,028 | ||||||
Fortive Corp. | 34,800 | 2,204,580 | ||||||
IDEX Corp. | 4,400 | 497,244 | ||||||
Illinois Tool Works, Inc. | 129,600 | 18,565,200 | ||||||
IMI PLC (United Kingdom) | 840 | 13,083 | ||||||
JTEKT Corp. (Japan) | 700 | 10,301 | ||||||
Metso OYJ (Finland) | 360 | 12,491 | ||||||
Oshkosh Corp. | 94,400 | 6,502,272 | ||||||
Pentair PLC (United Kingdom) | 32,200 | 2,142,588 | ||||||
Sandvik AB (Sweden) | 19,414 | 305,659 | ||||||
Schindler Holding AG (Switzerland) | 64 | 13,303 | ||||||
Volvo AB (Sweden) (Class B Stock) | 4,764 | 81,244 | ||||||
Wartsila OYJ Abp (Finland) | 453 | 26,789 | ||||||
|
| |||||||
35,867,347 | ||||||||
|
| |||||||
Marine — 0.0% |
| |||||||
AP Moller – Maersk A/S (Denmark) (Class A Stock) | 10 | 19,081 | ||||||
Kuehne + Nagel International AG (Switzerland) | 166 | 27,752 | ||||||
|
| |||||||
46,833 | ||||||||
|
| |||||||
Media — 1.4% |
| |||||||
Altice NV (Netherlands) (Class A Stock)* | 1,125 | 25,920 | ||||||
Comcast Corp. (Class A Stock) | 837,146 | 32,581,722 | ||||||
Eutelsat Communications SA (France) | 7,424 | 189,423 |
SEE NOTES TO FINANCIAL STATEMENTS.
A78
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Media (continued) |
| |||||||
RTL Group SA (Luxembourg) | 111 | $ | 8,386 | |||||
TEGNA, Inc.(a) | 23,100 | 332,871 | ||||||
Twenty-First Century Fox, Inc. (Class B Stock) | 30,500 | 850,035 | ||||||
Viacom, Inc. (Class B Stock) | 387,000 | 12,991,590 | ||||||
Walt Disney Co. (The) | 65,200 | 6,927,500 | ||||||
|
| |||||||
53,907,447 | ||||||||
|
| |||||||
Metals & Mining — 0.6% |
| |||||||
Alcoa Corp. | 119,900 | 3,914,735 | ||||||
Anglo American PLC (United Kingdom)* | 4,642 | 62,016 | ||||||
Arcelormittal (Luxembourg)* | 4,706 | 106,747 | ||||||
Boliden AB (Sweden) | 847 | 23,153 | ||||||
Fortescue Metals Group Ltd. (Australia) | 47,896 | 191,732 | ||||||
Mitsubishi Materials Corp. (Japan) | 300 | 9,104 | ||||||
Nippon Steel & Sumitomo Metal Corp. (Japan) | 2,400 | 54,386 | ||||||
Norsk Hydro ASA (Norway) | 4,020 | 22,247 | ||||||
Reliance Steel & Aluminum Co. | 18,300 | 1,332,423 | ||||||
Rio Tinto Ltd. (United Kingdom) | 1,267 | 61,574 | ||||||
Rio Tinto PLC (United Kingdom) | 3,885 | 164,538 | ||||||
South32 Ltd. (Australia) | 16,257 | 33,481 | ||||||
Southern Copper Corp. (Peru)(a) | 192,800 | 6,676,664 | ||||||
Steel Dynamics, Inc. | 279,100 | 9,994,571 | ||||||
voestalpine AG (Austria) | 365 | 17,012 | ||||||
|
| |||||||
22,664,383 | ||||||||
|
| |||||||
Multi-Utilities — 0.2% |
| |||||||
CenterPoint Energy, Inc. | 267,700 | 7,329,626 | ||||||
Innogy SE (Germany), 144A | 431 | 16,963 | ||||||
National Grid PLC (United Kingdom) | 10,263 | 127,164 | ||||||
|
| |||||||
7,473,753 | ||||||||
|
| |||||||
Multiline Retail — 0.4% |
| |||||||
Macy’s, Inc. | 10,900 | 253,316 | ||||||
Takashimaya Co. Ltd. (Japan) | 6,000 | 57,240 | ||||||
Target Corp.(a) | 290,900 | 15,211,161 | ||||||
|
| |||||||
15,521,717 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.0% |
| |||||||
Anadarko Petroleum Corp. | 313,700 | 14,223,158 | ||||||
BP PLC (United Kingdom) | 75,643 | 436,627 | ||||||
Chevron Corp. | 136,800 | 14,272,344 | ||||||
Devon Energy Corp. | 361,800 | 11,566,746 | ||||||
Exxon Mobil Corp. | 560,216 | 45,226,238 | ||||||
Galp Energia SGPS SA (Portugal) | 1,534 | 23,246 | ||||||
JXTG Holdings, Inc. (Japan) | 9,700 | 42,442 | ||||||
Marathon Petroleum Corp. | 77,900 | 4,076,507 | ||||||
Newfield Exploration Co.* | 337,100 | 9,593,866 | ||||||
OMV AG (Austria) | 5,361 | 278,465 | ||||||
ONEOK, Inc.(a) | 68,200 | 3,557,312 | ||||||
Repsol SA (Spain) | 19,011 | 291,460 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | 13,569 | 360,513 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | 11,445 | 307,259 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
Total SA (France) | 7,151 | $ | 355,026 | |||||
Valero Energy Corp. | 246,100 | 16,601,906 | ||||||
|
| |||||||
121,213,115 | ||||||||
|
| |||||||
Paper & Forest Products — 0.0% | ||||||||
Mondi PLC (South Africa) | 5,470 | 143,434 | ||||||
Svenska Cellulosa AB SCA (Sweden) (Class B Stock) | 123 | 931 | ||||||
UPM-Kymmene OYJ (Finland) | 11,159 | 318,196 | ||||||
|
| |||||||
462,561 | ||||||||
|
| |||||||
Personal Products — 0.1% | ||||||||
Avon Products, Inc.* | 479,800 | 1,823,240 | ||||||
Kao Corp. (Japan) | 1,500 | 89,188 | ||||||
Unilever NV (United Kingdom) CVA | 7,460 | 411,806 | ||||||
Unilever PLC (United Kingdom) | 5,983 | 323,789 | ||||||
|
| |||||||
2,648,023 | ||||||||
|
| |||||||
Pharmaceuticals — 2.6% | ||||||||
Allergan PLC | 107,900 | 26,229,411 | ||||||
Astellas Pharma, Inc. (Japan) | 12,700 | 155,660 | ||||||
AstraZeneca PLC (United Kingdom) | 3,648 | 244,357 | ||||||
Bayer AG (Germany) | 4,923 | 638,072 | ||||||
Bristol-Myers Squibb Co. | 105,400 | 5,872,888 | ||||||
Daiichi Sankyo Co. Ltd. (Japan) | 1,800 | 42,485 | ||||||
GlaxoSmithKline PLC (United Kingdom) | 12,461 | 265,262 | ||||||
Johnson & Johnson | 343,498 | 45,441,351 | ||||||
Mallinckrodt PLC* | 32,200 | 1,442,882 | ||||||
Merck & Co., Inc. | 105,800 | 6,780,722 | ||||||
Mitsubishi Tanabe Pharma Corp. (Japan) | 600 | 13,879 | ||||||
Novartis AG (Switzerland) | 6,906 | 576,835 | ||||||
Novo Nordisk A/S (Denmark) (Class B Stock) | 4,357 | 187,209 | ||||||
Orion OYJ (Finland) (Class B Stock) | 4,827 | 308,353 | ||||||
Pfizer, Inc. | 49,100 | 1,649,269 | ||||||
Roche Holding AG (Switzerland) | 2,783 | 711,098 | ||||||
Sanofi (France) | 6,452 | 618,232 | ||||||
Shionogi & Co. Ltd. (Japan) | 800 | 44,606 | ||||||
Zoetis, Inc. | 223,300 | 13,929,454 | ||||||
|
| |||||||
105,152,025 | ||||||||
|
| |||||||
Professional Services — 0.1% | ||||||||
Adecco Group AG (Switzerland) | 3,944 | 300,463 | ||||||
Insperity, Inc. | 20,700 | 1,469,700 | ||||||
Randstad Holding NV (Netherlands) | 4,182 | 243,816 | ||||||
RELX PLC (United Kingdom) | 14,400 | 311,286 | ||||||
|
| |||||||
2,325,265 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.4% | ||||||||
CBRE Group, Inc. | 372,200 | 13,548,080 | ||||||
Daiwa House Industry Co. Ltd. (Japan) | 1,800 | 61,606 |
SEE NOTES TO FINANCIAL STATEMENTS.
A79
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Real Estate Management & Development (continued) |
| |||||||
Henderson Land Development Co. Ltd. (Hong Kong) | 3,300 | $ | 18,400 | |||||
Kerry Properties Ltd. (Hong Kong) | 50,500 | 171,467 | ||||||
Mitsubishi Estate Co. Ltd. (Japan) | 4,000 | 74,771 | ||||||
Sun Hung Kai Properties Ltd. (Hong Kong) | 21,000 | 308,494 | ||||||
Swiss Prime Site AG (Switzerland) | 219 | 19,912 | ||||||
Wharf Holdings Ltd. (The) (Hong Kong) | 4,000 | 33,099 | ||||||
Wheelock & Co. Ltd. (Hong Kong) | 33,000 | 248,906 | ||||||
|
| |||||||
14,484,735 | ||||||||
|
| |||||||
Road & Rail — 1.0% | ||||||||
CSX Corp. | 324,200 | 17,688,352 | ||||||
Kyushu Railway Co. (Japan) | 500 | 16,217 | ||||||
MTR Corp. Ltd. (Hong Kong) | 500 | 2,813 | ||||||
Nippon Express Co. Ltd. (Japan) | 11,000 | 69,027 | ||||||
Norfolk Southern Corp. | 56,600 | 6,888,220 | ||||||
Tokyu Corp. (Japan) | 3,000 | 22,925 | ||||||
Union Pacific Corp. | 151,100 | 16,456,301 | ||||||
West Japan Railway Co. (Japan) | 500 | 35,378 | ||||||
|
| |||||||
41,179,233 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.3% |
| |||||||
Applied Materials, Inc. | 504,300 | 20,832,633 | ||||||
ASM Pacific Technology Ltd. (Hong Kong) | 4,900 | 66,114 | ||||||
Broadcom Ltd. | 96,400 | 22,466,020 | ||||||
Disco Corp. (Japan) | 100 | 16,039 | ||||||
Intel Corp. | 659,800 | 22,261,652 | ||||||
Lam Research Corp. | 31,400 | 4,440,902 | ||||||
Rohm Co. Ltd. (Japan) | 300 | 23,130 | ||||||
STMicroelectronics NV (Switzerland) | 2,004 | 28,817 | ||||||
Texas Instruments, Inc. | 285,100 | 21,932,743 | ||||||
Tokyo Electron Ltd. (Japan) | 500 | 67,597 | ||||||
|
| |||||||
92,135,647 | ||||||||
|
| |||||||
Software — 3.3% | ||||||||
Activision Blizzard, Inc. | 76,000 | 4,375,320 | ||||||
Adobe Systems, Inc.* | 160,800 | 22,743,552 | ||||||
Check Point Software Technologies Ltd. (Israel)* | 1,100 | 119,988 | ||||||
Electronic Arts, Inc.* | 156,500 | 16,545,180 | ||||||
Intuit, Inc. | 116,500 | 15,472,365 | ||||||
Konami Holdings Corp. (Japan) | 300 | 16,700 | ||||||
Microsoft Corp. | 571,700 | 39,407,281 | ||||||
Nexon Co. Ltd. (Japan)* | 800 | 15,869 | ||||||
Nice Ltd. (Israel) | 321 | 25,290 | ||||||
Oracle Corp. | 666,300 | 33,408,282 | ||||||
SAP SE (Germany) | 423 | 44,276 | ||||||
Trend Micro, Inc. (Japan) | 300 | 15,505 | ||||||
|
| |||||||
132,189,608 | ||||||||
|
| |||||||
Specialty Retail — 0.9% | ||||||||
Asbury Automotive Group, Inc.* | 21,400 | 1,210,170 | ||||||
Burlington Stores, Inc.* | 124,700 | 11,471,153 | ||||||
Dixons Carphone PLC (United Kingdom) | 34,785 | 128,589 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Specialty Retail (continued) | ||||||||
Francesca’s Holdings Corp.* | 107,200 | $ | 1,172,768 | |||||
Gap, Inc. (The)(a) | 462,800 | 10,176,972 | ||||||
Industria de Diseno Textil SA (Spain) | 709 | 27,229 | ||||||
Nitori Holdings Co. Ltd. (Japan) | 200 | 26,773 | ||||||
Ross Stores, Inc. | 116,600 | 6,731,318 | ||||||
Ulta Beauty, Inc.* | 13,400 | 3,850,356 | ||||||
|
| |||||||
34,795,328 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.4% |
| |||||||
Apple, Inc. | 483,700 | 69,662,474 | ||||||
Brother Industries Ltd. (Japan) | 14,100 | 326,599 | ||||||
Canon, Inc. (Japan) | 3,300 | 112,250 | ||||||
FUJIFILM Holdings Corp. (Japan) | 1,300 | 46,875 | ||||||
Hewlett Packard Enterprise Co. | 748,100 | 12,410,979 | ||||||
HP, Inc. | 858,000 | 14,997,840 | ||||||
|
| |||||||
97,557,017 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.4% |
| |||||||
adidas AG (Germany) | 564 | 108,147 | ||||||
Hermes International (France) | 579 | 286,013 | ||||||
Kering (France) | 57 | 19,409 | ||||||
LVMH Moet Hennessy Louis Vuitton SE (France) | 1,654 | 413,592 | ||||||
PVH Corp. | 109,700 | 12,560,650 | ||||||
Swatch Group AG (The) (Switzerland) | 140 | 10,227 | ||||||
Wolverine World Wide, Inc. | 47,100 | 1,319,271 | ||||||
|
| |||||||
14,717,309 | ||||||||
|
| |||||||
Tobacco — 0.7% | ||||||||
Altria Group, Inc. | 383,500 | 28,559,245 | ||||||
British American Tobacco PLC (United Kingdom) | 9,872 | 672,710 | ||||||
Japan Tobacco, Inc. (Japan) | 6,500 | 228,463 | ||||||
Swedish Match AB (Sweden) | 734 | 25,859 | ||||||
|
| |||||||
29,486,277 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.1% |
| |||||||
Applied Industrial Technologies, Inc. | 25,000 | 1,476,250 | ||||||
BMC Stock Holdings, Inc.* | 38,600 | 843,410 | ||||||
ITOCHU Corp. (Japan) | 22,600 | 336,490 | ||||||
Marubeni Corp. (Japan) | 11,700 | 75,800 | ||||||
Mitsubishi Corp. (Japan) | 6,200 | 130,330 | ||||||
Mitsui & Co. Ltd. (Japan) | 20,100 | 287,749 | ||||||
Sumitomo Corp. (Japan) | 13,400 | 174,738 | ||||||
Toyota Tsusho Corp. (Japan) | 700 | 21,046 | ||||||
United Rentals, Inc.* | 19,500 | 2,197,845 | ||||||
|
| |||||||
5,543,658 | ||||||||
|
| |||||||
Transportation Infrastructure — 0.0% |
| |||||||
Abertis Infraestructuras SA (Spain) | 1,866 | 34,589 | ||||||
Aena SA (Spain), 144A | 196 | 38,274 | ||||||
Aeroports de Paris (France) | 93 | 14,991 | ||||||
Atlantia SpA (Italy) | 2,300 | 64,698 | ||||||
Auckland International Airport Ltd. (New Zealand) | 2,752 | 14,380 |
SEE NOTES TO FINANCIAL STATEMENTS.
A80
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Transportation Infrastructure (continued) |
| |||||||
Fraport AG Frankfurt Airport Services Worldwide (Germany) | 130 | $ | 11,504 | |||||
Sydney Airport (Australia) | 3,425 | 18,657 | ||||||
|
| |||||||
197,093 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
KDDI Corp. (Japan) | 5,600 | 148,107 | ||||||
SoftBank Group Corp. (Japan) | 4,900 | 398,321 | ||||||
T-Mobile U.S., Inc.* | 60,900 | 3,691,758 | ||||||
Vodafone Group PLC (United Kingdom) | 82,153 | 233,312 | ||||||
|
| |||||||
4,471,498 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 2,388,270,256 | ||||||
|
| |||||||
UNAFFILIATED EXCHANGE TRADED FUND — 0.0% | ||||||||
iShares MSCI EAFE Index Fund | 3,552 | 231,591 | ||||||
|
|
PREFERRED STOCKS — 0.0% | Shares | Value | ||||||
Automobiles — 0.0% | ||||||||
Bayerische Motoren Werke AG (Germany) (PRFC) | 155 | $ | 12,791 | |||||
Volkswagen AG (Germany) (PRFC) | 2,408 | 367,837 | ||||||
|
| |||||||
380,628 | ||||||||
|
| |||||||
Banks — 0.0% | ||||||||
Citigroup Capital XIII, 7.409%, (Capital Security, fixed to floating preferred) | 22,000 | 571,560 | ||||||
Household Products — 0.0% | ||||||||
Henkel AG & Co. KGaA (Germany) (PRFC) | 541 | 74,601 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS |
| 1,026,789 | ||||||
|
|
ASSET-BACKED SECURITIES — 4.2% | Interest Rate | Maturity Date | Principal Amount (000)# | |||||||||||||
Automobiles — 1.3% | ||||||||||||||||
AmeriCredit Automobile Receivables Trust, Series 2015-4, Class A2B | 1.839% | (c) | 04/08/19 | 385 | 384,871 | |||||||||||
AmeriCredit Automobile Receivables Trust, Series 2016-2, Class A2B | 1.789% | (c) | 10/08/19 | 1,645 | 1,647,250 | |||||||||||
AmeriCredit Automobile Receivables Trust, Series 2016-3, Class A2B | 1.649% | (c) | 11/08/19 | 632 | 633,333 | |||||||||||
AmeriCredit Automobile Receivables Trust, Series 2016-4, Class C | 2.410% | 07/08/22 | 1,000 | 996,690 | ||||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A | 1.920% | 09/20/19 | 1,700 | 1,699,194 | ||||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A | 2.500% | 07/20/21 | 5,000 | 4,977,553 | ||||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A | 2.630% | 12/20/21 | 4,000 | 3,977,436 | ||||||||||||
Enterprise Fleet Financing LLC, Series 2016-2, Class A2, 144A | 1.740% | 02/22/22 | 2,525 | 2,522,543 | ||||||||||||
Enterprise Fleet Financing LLC, Series 2017-1, Class A2, 144A | 2.130% | 07/20/22 | 3,500 | 3,505,815 | ||||||||||||
Enterprise Fleet Financing LLC, Series 2017-2, Class A2, 144A^ | 1.970% | 01/20/23 | 2,400 | 2,399,875 | ||||||||||||
Ford Credit Auto Owner Trust, Series 2016-1, Class A, 144A | 2.310% | 08/15/27 | 5,590 | 5,619,753 | ||||||||||||
Ford Credit Auto Owner Trust, Series 2016-2, Class A, 144A | 2.030% | 12/15/27 | 3,435 | 3,409,911 | ||||||||||||
Ford Credit Auto Owner Trust, Series 2017-1, Class A, 144A | 2.620% | 08/15/28 | 6,200 | 6,274,236 | ||||||||||||
GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A | 1.659% | (c) | 05/15/20 | 1,800 | 1,804,686 | |||||||||||
GMF Floorplan Owner Revolving Trust, Series 2016-1, Class A2, 144A | 2.009% | (c) | 05/17/21 | 2,300 | 2,320,470 | |||||||||||
Hertz Vehicle Financing LLC, Series 2016-1A, Class A, 144A | 2.320% | 03/25/20 | 3,000 | 2,989,596 | ||||||||||||
OneMain Direct Auto Receivables Trust, Series 2016-1A, Class A, 144A | 2.040% | 01/15/21 | 648 | 648,773 | ||||||||||||
OneMain Direct Auto Receivables Trust, Series 2017-1A, Class A, 144A | 2.160% | 10/15/20 | 7,700 | 7,697,919 | ||||||||||||
|
| |||||||||||||||
53,509,904 | ||||||||||||||||
|
| |||||||||||||||
Collateralized Loan Obligations — 1.5% | ||||||||||||||||
AIMCO CLO (Cayman Islands), Series 2015-AA, Class A1, 144A | 2.858% | (c) | 01/15/28 | 2,500 | 2,502,182 | |||||||||||
ALM XII Ltd. (Cayman Islands), Series 2015-12A, Class A1R, 144A | 2.208% | (c) | 04/16/27 | 1,500 | 1,499,250 | |||||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1R, 144A | 2.602% | (c) | 04/28/26 | 1,500 | 1,503,387 | |||||||||||
ArrowMark Colorado Holdings (Cayman Islands), Series 2017-6A, Class A1, 144A | —% | (c)(p) | 07/15/29 | 500 | 500,000 | |||||||||||
Battalion CLO Ltd. (Cayman Islands), Series 2013-4A, Class A1R, 144A | 2.293% | (c) | 10/22/25 | 250 | 250,077 | |||||||||||
Battalion CLO Ltd. (Cayman Islands), Series 2015-8A, Class A1R, 144A | 2.551% | (c) | 07/18/30 | 1,500 | 1,500,000 | |||||||||||
Benefit Street Partners CLO (Cayman Islands), Series 2017-11A, Class X, 144A | 1.883% | (c) | 04/15/29 | 1,875 | 1,874,465 |
SEE NOTES TO FINANCIAL STATEMENTS.
A81
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
Collateralized Loan Obligations (continued) | ||||||||||||||||
Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2013-IIA, Class A1R, 144A | —% | (c)(p) | 07/15/29 | 1,500 | $ | 1,500,000 | ||||||||||
Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2015-VIIA, Class A1A, 144A | 2.688% | (c) | 07/18/27 | 750 | 753,568 | |||||||||||
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.308% | (c) | 04/17/25 | 2,100 | 2,102,209 | |||||||||||
Canyon Capital CLO Ltd. (Cayman Islands), Series 2015-1A, Class AS, 144A | 2.408% | (c) | 04/15/29 | 3,000 | 2,999,977 | |||||||||||
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1AR, 144A | 2.320% | (c) | 07/27/26 | 1,250 | 1,251,292 | |||||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.706% | (c) | 04/20/26 | 2,200 | 2,202,813 | |||||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A2, 144A | 2.956% | (c) | 04/20/26 | 450 | 450,310 | |||||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-2A, Class A1R, 144A | 2.558% | (c) | 10/18/26 | 500 | 499,718 | |||||||||||
Eaton Vance CLO Ltd. (Cayman Islands), Series 2014-1A, Class AR, 144A | 2.358% | (c) | 07/15/26 | 1,000 | 999,714 | |||||||||||
Elevation CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A | 2.708% | (c) | 04/18/27 | 1,000 | 1,001,931 | |||||||||||
Flagship CLO Ltd. (Cayman Islands), Series 2014-8A, Class AR, 144A | 2.408% | (c) | 01/16/26 | 750 | 750,215 | |||||||||||
Highbridge Loan Management Ltd. (Cayman Islands), Series 2015-6A, Class A, 144A | 2.621% | (c) | 05/05/27 | 250 | 250,388 | |||||||||||
ICG US CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1AR, 144A | 2.656% | (c) | 01/25/27 | 3,250 | 3,251,152 | |||||||||||
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A | 2.698% | (c) | 04/15/27 | 500 | 500,577 | |||||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1R, 144A | 2.482% | (c) | 05/15/26 | 2,750 | 2,750,724 | |||||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-3A, Class AR, 144A | 2.358% | (c) | 10/15/26 | 3,250 | 3,250,909 | |||||||||||
Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1R, 144A | 2.278% | (c) | 01/18/27 | 2,750 | 2,754,272 | |||||||||||
MP CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 2.336% | (c) | 04/20/25 | 2,550 | 2,550,359 | |||||||||||
OCP CLO Ltd. (Cayman Islands), Series 2017-13A, Class A1A, 144A | —% | (c)(p) | 07/15/30 | 1,250 | 1,248,283 | |||||||||||
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A | 2.303% | (c) | 07/22/25 | 1,200 | 1,200,608 | |||||||||||
Palmer Square CLO Ltd. (Cayman Islands), Series 2015-1A, Class A1R, 144A | 2.472% | (c) | 05/21/29 | 1,750 | 1,749,997 | |||||||||||
Regatta Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.566% | (c) | 07/25/26 | 1,000 | 1,000,009 | |||||||||||
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A | 3.856% | (c) | 10/20/23 | 1,100 | 1,100,739 | |||||||||||
TICP CLO Ltd. (Cayman Islands), Series 2017-7A, Class AS, 144A | —% | (c)(p) | 07/15/29 | 1,250 | 1,248,125 | |||||||||||
Trinitas CLO Ltd. (Cayman Islands), Series 2016-5A, Class A, 144A | 2.856% | (c) | 10/25/28 | 3,250 | 3,263,609 | |||||||||||
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.278% | (c) | 07/15/25 | 2,700 | 2,702,127 | |||||||||||
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.298% | (c) | 04/15/24 | 1,850 | 1,850,694 | |||||||||||
Wellfleet CLO Ltd. (Cayman Islands), Series 2017-1A, Class A1, 144A | 2.431% | (c) | 04/20/29 | 2,000 | 2,000,061 | |||||||||||
West CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1AR, 144A | 2.339% | (c) | 11/07/25 | 2,000 | 2,000,708 | |||||||||||
Zais CLO Ltd. (Cayman Islands), Series 2017-1A, Class A1, 144A | 2.572% | (c) | 07/15/29 | 1,750 | 1,750,438 | |||||||||||
|
| |||||||||||||||
60,564,887 | ||||||||||||||||
|
| |||||||||||||||
Consumer Loans — 0.3% |
| |||||||||||||||
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A | 2.570% | 07/18/25 | 4,124 | 4,128,631 | ||||||||||||
SpringCastle America Funding LLC, Series 2016-AA. Class A, 144A | 3.050% | 04/25/29 | 2,629 | 2,644,117 | ||||||||||||
Springleaf Funding Trust, Series 2015-AA, Class A, 144A | 3.160% | 11/15/24 | 5,795 | 5,847,414 | ||||||||||||
|
| |||||||||||||||
12,620,162 | ||||||||||||||||
|
| |||||||||||||||
Credit Cards — 0.5% |
| |||||||||||||||
American Express Credit Account Master Trust, Series 2017-2, Class A | 1.439% | (c) | 09/16/24 | 6,900 | 6,944,138 | |||||||||||
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A | 1.959% | (c) | 05/15/20 | 3,900 | 3,904,640 | |||||||||||
Citibank Credit Card Issuance Trust, Series 2017-A5, Class A5 | 1.836% | (c) | 04/22/26 | 3,800 | 3,819,739 | |||||||||||
Discover Card Execution Note Trust, Series 2017-A4, Class A4 | 2.530% | 10/15/26 | 4,000 | 3,987,528 | ||||||||||||
Discover Card Execution Note Trust, Series 2017-A5, Class A5 | 1.816% | (c) | 12/15/26 | 2,600 | 2,613,820 | |||||||||||
|
| |||||||||||||||
21,269,865 | ||||||||||||||||
|
| |||||||||||||||
Equipment — 0.1% |
| |||||||||||||||
MMAF Equipment Finance LLC, Series 2017-AA, Class A4, 144A | 2.410% | 08/16/24 | 3,500 | 3,507,735 | ||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A82
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Home Equity Loans — 0.2% |
| |||||||||||||
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1 | 2.866% | (c) | 03/25/33 | 144 | $ | 143,241 | ||||||||
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3 | 3.721% | (c) | 07/25/35 | 283 | 281,611 | |||||||||
CSMC Trust, Series 2017-6R, Class A1, 144A^ | 2.722% | (c) | 03/06/47 | 2,950 | 2,950,000 | |||||||||
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | 4.678% | (c) | 07/25/34 | 250 | 248,086 | |||||||||
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1 | 2.011% | (c) | 06/25/34 | 366 | 355,838 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 | 2.416% | (c) | 05/25/33 | 258 | 255,716 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE5, Class M1 | 2.161% | (c) | 06/25/34 | 604 | 588,952 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 | 2.266% | (c) | 12/27/33 | 514 | 501,475 | |||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1 | 2.116% | (c) | 07/25/32 | 191 | 191,595 | |||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1 | 2.491% | (c) | 09/25/32 | 3,071 | 3,054,962 | |||||||||
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1 | 1.981% | (c) | 02/25/34 | 565 | 542,979 | |||||||||
|
| |||||||||||||
9,114,455 | ||||||||||||||
|
| |||||||||||||
Other — 0.1% | ||||||||||||||
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A | 2.200% | 10/20/30 | 1,148 | 1,147,153 | ||||||||||
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A | 2.000% | 09/20/29 | 542 | 537,258 | ||||||||||
|
| |||||||||||||
1,684,411 | ||||||||||||||
|
| |||||||||||||
Residential Mortgage-Backed Securities — 0.2% | ||||||||||||||
Credit Suisse Mortgage Trust, Series 2016-RPL1, Class A1, 144A | 4.145% | (c) | 12/26/46 | 5,078 | 5,098,469 | |||||||||
VOLT LVII LLC, Series 2017-NPL4, Class A1, 144A | 3.375% | (c) | 04/25/47 | 678 | 677,030 | |||||||||
VOLT LX LLC, Series 2017-NPL7, Class A1, 144A | 3.250% | (c) | 04/25/59 | 800 | 799,286 | |||||||||
|
| |||||||||||||
6,574,785 | ||||||||||||||
|
| |||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 168,846,204 | ||||||||||||
|
| |||||||||||||
BANK LOANS(c) — 0.1% | ||||||||||||||
Technology | ||||||||||||||
Dell International LLC | 3.299% | 12/31/18 | 600 | 600,458 | ||||||||||
Dell International LLC | 3.799% | 09/07/23 | 811 | 813,682 | ||||||||||
First Data Corp. | 3.656% | 04/26/24 | 1,020 | 1,018,913 | ||||||||||
|
| |||||||||||||
TOTAL BANK LOANS |
| 2,433,053 | ||||||||||||
|
| |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.3% | ||||||||||||||
Assurant Commercial Mortgage Trust, Series 2016-1A, Class AS, 144A | 3.172% | 05/15/49 | 4,000 | 3,976,044 | ||||||||||
BANK, Series 2017-BNK4, Class A3 | 3.362% | 05/15/50 | 6,500 | 6,608,920 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 | 2.815% | 04/10/46 | 1,100 | 1,108,315 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 | 3.575% | 05/10/47 | 2,750 | 2,856,807 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3 | 3.356% | 07/10/47 | 2,800 | 2,871,338 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A3 | 2.944% | 05/10/49 | 5,000 | 4,951,159 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A3 | 3.050% | 04/10/49 | 6,500 | 6,458,380 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2017-P7, Class A3 | 3.442% | 04/14/50 | 5,500 | 5,621,317 | ||||||||||
Commercial Mortgage Trust, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 1,000 | 994,920 | ||||||||||
Commercial Mortgage Trust, Series 2013-CR7, Class A3 | 2.929% | 03/10/46 | 1,607 | 1,627,066 | ||||||||||
Commercial Mortgage Trust, Series 2014-CR15, Class A2 | 2.928% | 02/10/47 | 2,700 | 2,737,918 | ||||||||||
Commercial Mortgage Trust, Series 2014-CR18, Class A4 | 3.550% | 07/15/47 | 2,800 | 2,892,901 | ||||||||||
Commercial Mortgage Trust, Series 2014-CR20, Class A3 | 3.326% | 11/10/47 | 5,000 | 5,100,942 | ||||||||||
Commercial Mortgage Trust, Series 2014-UBS3, Class A2 | 2.844% | 06/10/47 | 2,300 | 2,340,491 | ||||||||||
Commercial Mortgage Trust, Series 2015-CR27, Class A3 | 3.349% | 10/10/48 | 6,100 | 6,211,248 | ||||||||||
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A3 | 3.544% | 11/15/48 | 3,000 | 3,081,119 | ||||||||||
CSAIL Commercial Mortgage Trust, Series 2017-C8, Class A3 | 3.127% | 06/15/50 | 5,300 | 5,286,978 |
SEE NOTES TO FINANCIAL STATEMENTS.
A83
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Fannie Mae-Aces, Series 2014-M2, Class A2 | 3.513% | (c) | 12/25/23 | 2,515 | $ | 2,659,395 | ||||||||
Fannie Mae-Aces, Series 2015-M17, Class A2 | 3.038% | (c) | 11/25/25 | 3,900 | 3,966,017 | |||||||||
Fannie Mae-Aces, Series 2016-M7, Class AB2 | 2.385% | 09/25/26 | 2,400 | 2,312,157 | ||||||||||
Fannie Mae-Aces, Series 2017-M1, Class A2 | 2.497% | (c) | 10/25/26 | 2,200 | 2,122,476 | |||||||||
Fannie Mae-Aces, Series 2017-M4, Class A2 | 2.684% | (c) | 12/25/26 | 11,800 | 11,524,678 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO | 1.570% | (c) | 05/25/22 | 24,242 | 1,395,294 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO | 1.606% | (c) | 06/25/22 | 6,860 | 414,119 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1, IO | 1.502% | (c) | 03/25/26 | 13,962 | 1,354,721 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K057, Class AM | 2.624% | 08/25/26 | 7,230 | 7,062,092 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K064, Class AM | 3.327% | (c) | 03/25/27 | 5,900 | 6,072,714 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO | 1.872% | (c) | 05/25/19 | 18,231 | 465,418 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO | 1.810% | (c) | 07/25/19 | 19,709 | 514,185 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4 | 3.161% | (c) | 05/25/25 | 2,500 | 2,583,954 | |||||||||
GS Mortgage Securities Trust, Series 2015-GC28, Class A4 | 3.136% | 02/10/48 | 4,000 | 4,021,222 | ||||||||||
GS Mortgage Securities Trust, Series 2015-GC32, Class A3 | 3.498% | 07/10/48 | 5,800 | 5,986,753 | ||||||||||
GS Mortgage Securities Trust, Series 2016-GS4, Class A3 | 3.178% | 11/10/49 | 5,500 | 5,520,699 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1 | 3.408% | 11/15/47 | 1,400 | 1,437,563 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1 | 2.920% | 02/15/48 | 6,000 | 5,958,773 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3 | 3.139% | 06/15/45 | 849 | 858,887 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4 | 2.611% | 12/15/47 | 1,700 | 1,703,164 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 | 2.875% | 12/15/47 | 3,900 | 3,947,169 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2 | 3.070% | 12/15/46 | 1,851 | 1,877,138 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 1,400 | 1,413,267 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | 2.863% | 12/15/48 | 1,500 | 1,516,084 | ||||||||||
Morgan Stanley Capital I Trust, Series 2016-UB11, Class A3 | 2.531% | 08/15/49 | 10,400 | 9,910,366 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | 2.792% | 12/10/45 | 1,700 | 1,712,614 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | 2.920% | 03/10/46 | 3,900 | 3,940,805 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | 2.971% | 04/10/46 | 1,800 | 1,822,448 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A | 5.608% | (c) | 05/15/46 | 793 | 792,784 | |||||||||
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A3 | 2.642% | 11/15/49 | 8,000 | 7,707,986 | ||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2017-C38, Class A4 | 3.190% | 07/15/50 | 4,600 | 4,615,272 | ||||||||||
|
| |||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 171,916,077 | ||||||||||||
|
| |||||||||||||
CORPORATE BONDS — 9.9% | ||||||||||||||
Aerospace/Defense — 0.0% | ||||||||||||||
Embraer Netherlands Finance BV (Brazil), Gtd. Notes | 5.050% | 06/15/25 | 1,000 | 1,042,500 | ||||||||||
|
| |||||||||||||
Agriculture — 0.1% | ||||||||||||||
Altria Group, Inc., Gtd. Notes | 4.000% | 01/31/24 | 1,500 | 1,600,347 | ||||||||||
Bunge Ltd. Finance Corp., Gtd. Notes | 8.500% | 06/15/19 | 930 | 1,040,134 | ||||||||||
Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A | 2.050% | 02/11/18 | 2,050 | 2,052,030 | ||||||||||
Reynolds American, Inc., Gtd. Notes | 8.125% | 06/23/19 | 325 | 362,477 | ||||||||||
|
| |||||||||||||
5,054,988 | ||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A84
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
Airlines — 0.2% | ||||||||||||||||
American Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, | 3.375% | 11/01/28 | 2,947 | $ | 2,961,529 | |||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A(g) | 6.648% | 03/15/19 | 9 | 9,546 | ||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A | 7.250% | 05/10/21 | 514 | 569,455 | ||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A | 4.750% | 07/12/22 | 556 | 588,327 | ||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A(a) | 4.000% | 04/29/26 | 580 | 610,894 | ||||||||||||
Delta Air Lines, Inc., Sr. Unsec’d. Notes | 2.875% | 03/13/20 | 2,000 | 2,026,151 | ||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, | 6.821% | 02/10/24 | 261 | 300,027 | ||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, | 4.950% | 11/23/20 | 312 | 323,896 | ||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, | �� | 5.300% | 10/15/20 | 717 | 752,594 | |||||||||||
|
| |||||||||||||||
8,142,419 | ||||||||||||||||
|
| |||||||||||||||
Auto Manufacturers — 0.4% | ||||||||||||||||
Ford Motor Co., Sr. Unsec’d. Notes | 4.750% | 01/15/43 | 1,430 | 1,380,336 | ||||||||||||
Ford Motor Co., Sr. Unsec’d. Notes(a) | 5.291% | 12/08/46 | 2,400 | 2,463,168 | ||||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | 4.134% | 08/04/25 | 390 | 396,729 | ||||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.600% | 04/01/36 | 760 | 880,552 | ||||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.250% | 10/02/43 | 1,395 | 1,549,495 | ||||||||||||
General Motors Financial Co, Inc, Gtd. Notes | 3.950% | 04/13/24 | 2,800 | 2,839,766 | ||||||||||||
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN | 2.850% | 01/15/21 | 4,705 | 4,760,199 | ||||||||||||
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A | 4.250% | 11/15/19 | 715 | 732,875 | ||||||||||||
|
| |||||||||||||||
15,003,120 | ||||||||||||||||
|
| |||||||||||||||
Auto Parts & Equipment — 0.1% | ||||||||||||||||
Magna International, Inc. (Canada), Sr. Unsec’d. Notes | 3.625% | 06/15/24 | 2,350 | 2,412,916 | ||||||||||||
|
| |||||||||||||||
Banks — 2.6% | ||||||||||||||||
Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A | 2.625% | 04/28/21 | 2,570 | 2,626,861 | ||||||||||||
Bank of America Corp., Jr. Sub. Notes | 6.300% | (c) | 12/31/49 | 445 | 498,956 | |||||||||||
Bank of America Corp., Jr. Sub. Notes | 8.000% | (c) | 12/29/49 | 2,200 | 2,260,500 | |||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 6.000% | 09/01/17 | 1,075 | 1,082,395 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, GMTN | 3.300% | 01/11/23 | 2,875 | 2,931,632 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, GMTN | 6.400% | 08/28/17 | 20 | 20,142 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.000% | 04/01/24 | 975 | 1,021,671 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.125% | 01/22/24 | 3,820 | 4,031,082 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.443% | (c) | 01/20/48 | 670 | 708,646 | |||||||||||
Bank of America Corp., Sub. Notes, MTN | 4.450% | 03/03/26 | 3,880 | 4,038,087 | ||||||||||||
Bank of America Corp., Sub. Notes, MTN | 4.000% | 01/22/25 | 2,000 | 2,034,830 | ||||||||||||
Bank of America NA, Sub. Notes | 6.000% | 10/15/36 | 410 | 517,565 | ||||||||||||
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes | 3.684% | 01/10/23 | 585 | 600,244 | ||||||||||||
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes | 4.337% | 01/10/28 | 630 | 647,649 | ||||||||||||
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes | 4.375% | 01/12/26 | 1,590 | 1,652,194 | ||||||||||||
Citigroup, Inc., Jr. Sub. Notes | 6.125% | (c) | 12/31/49 | 1,375 | 1,478,125 | |||||||||||
Citigroup, Inc., Jr. Sub. Notes | 6.250% | (c) | 12/31/49 | 625 | 693,359 | |||||||||||
Citigroup, Inc., Jr. Sub. Notes | 5.950% | (c) | 12/31/49 | 2,205 | 2,320,145 | |||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 2.750% | 04/25/22 | 2,435 | 2,431,145 | ||||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 3.700% | 01/12/26 | 2,440 | 2,467,789 | ||||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 4.281% | (c) | 04/24/48 | 1,150 | 1,176,595 | |||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.125% | 07/15/39 | 710 | 1,090,088 | ||||||||||||
Citigroup, Inc., Sub. Notes | 4.450% | 09/29/27 | 1,965 | 2,043,635 | ||||||||||||
Citigroup, Inc., Sub. Notes | 4.750% | 05/18/46 | 820 | 860,751 | ||||||||||||
Compass Bank, Sr. Unsec’d. Notes | 1.850% | 09/29/17 | 1,270 | 1,270,307 |
SEE NOTES TO FINANCIAL STATEMENTS.
A85
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Banks (continued) | ||||||||||||||
Credit Suisse Group AG (Switzerland), Sr. Unsec’d. Notes, 144A | 4.282% | 01/09/28 | 1,370 | $ | 1,416,143 | |||||||||
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN | 3.375% | 05/12/21 | 1,640 | 1,661,033 | ||||||||||
Dexia Credit Local SA (France), Govt. Liquid Gtd. Notes, 144A | 1.875% | 09/15/21 | 1,250 | 1,219,790 | ||||||||||
Discover Bank, Sr. Unsec’d. Notes | 4.250% | 03/13/26 | 970 | 996,316 | ||||||||||
Discover Bank, Sub. Notes | 7.000% | 04/15/20 | 570 | 632,669 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 3.750% | 02/25/26 | 1,010 | 1,028,435 | ||||||||||
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes(a) | 5.300% | (c) | 12/31/49 | 740 | 777,000 | |||||||||
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes | 5.375% | (c) | 12/31/49 | 2,215 | 2,327,522 | |||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 3.500% | 01/23/25 | 4,100 | 4,144,542 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 3.850% | 01/26/27 | 2,910 | 2,960,366 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.250% | 07/27/21 | 2,055 | 2,252,383 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.750% | 01/24/22 | 3,620 | 4,075,664 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 02/01/41 | 270 | 352,699 | ||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 6.750% | 10/01/37 | 104 | 134,996 | ||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 4.875% | 01/14/22 | 1,910 | 2,080,151 | ||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 5.100% | 04/05/21 | 1,025 | 1,114,383 | ||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes(a) | 6.100% | (c) | 12/31/49 | 1,275 | 1,383,375 | |||||||||
JPMorgan Chase & Co., Jr. Sub. Notes | 7.900% | (c) | 04/29/49 | 2,000 | 2,079,000 | |||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 4.250% | 10/15/20 | 2,930 | 3,111,317 | ||||||||||
JPMorgan Chase & Co., Sub. Notes | 4.950% | 06/01/45 | 515 | 574,516 | ||||||||||
JPMorgan Chase & Co., Sub. Notes | 3.875% | 09/10/24 | 3,775 | 3,894,830 | ||||||||||
Lloyds Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN | 5.800% | 01/13/20 | 1,870 | 2,034,384 | ||||||||||
Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes | 2.900% | 02/06/25 | 3,080 | 3,052,145 | ||||||||||
Morgan Stanley, Jr. Sub. Notes | 5.450% | (c) | 12/31/49 | 840 | 869,820 | |||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 4.375% | 01/22/47 | 2,020 | 2,107,272 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 5.750% | 01/25/21 | 1,400 | 1,549,008 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 3.750% | 02/25/23 | 940 | 977,424 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.500% | 07/28/21 | 1,290 | 1,430,423 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 6.625% | 04/01/18 | 105 | 108,729 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.625% | 09/23/19 | 1,415 | 1,520,157 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 6.375% | 07/24/42 | 780 | 1,036,855 | ||||||||||
Morgan Stanley, Sub. Notes, GMTN | 4.350% | 09/08/26 | 3,825 | 3,976,615 | ||||||||||
National City Corp., Sub. Notes | 6.875% | 05/15/19 | 3,370 | 3,666,907 | ||||||||||
Nordea Bank AB (Sweden), Sr. Unsec’d. Notes, 144A, MTN | 1.875% | 09/17/18 | 2,110 | 2,113,148 | ||||||||||
People’s United Bank NA, Sub. Notes | 4.000% | 07/15/24 | 465 | 469,114 | ||||||||||
PNC Bank NA, Sr. Unsec’d. Notes | 1.950% | 03/04/19 | 515 | 515,935 | ||||||||||
PNC Bank NA, Sub. Notes | 3.800% | 07/25/23 | 270 | 283,606 | ||||||||||
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes | 2.450% | 01/10/19 | 1,210 | 1,220,441 | ||||||||||
|
| |||||||||||||
105,653,506 | ||||||||||||||
|
| |||||||||||||
Beverages — 0.1% |
| |||||||||||||
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes | 4.700% | 02/01/36 | 855 | 941,050 | ||||||||||
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes | 4.900% | 02/01/46 | 225 | 253,944 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes | 8.000% | 11/15/39 | 1,285 | 1,970,551 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes | 8.200% | 01/15/39 | 250 | 387,344 | ||||||||||
Constellation Brands, Inc., Gtd. Notes | 4.250% | 05/01/23 | 1,400 | 1,490,433 | ||||||||||
|
| |||||||||||||
5,043,322 | ||||||||||||||
|
| |||||||||||||
Biotechnology — 0.1% |
| |||||||||||||
Amgen, Inc., Sr. Unsec’d. Notes | 4.663% | 06/15/51 | 1,834 | 1,942,487 | ||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 3.500% | 02/01/25 | 1,460 | 1,498,315 | ||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 4.150% | 03/01/47 | 40 | 40,186 | ||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 5.650% | 12/01/41 | 145 | 175,767 | ||||||||||
|
| |||||||||||||
3,656,755 | ||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A86
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
Building Materials — 0.1% |
| |||||||||||||||
Owens Corning, Inc., Gtd. Notes | 4.200% | 12/15/22 | 775 | $ | 817,686 | |||||||||||
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A(g) | 5.375% | 11/15/24 | 1,400 | 1,475,250 | ||||||||||||
|
| |||||||||||||||
2,292,936 | ||||||||||||||||
|
| |||||||||||||||
Chemicals — 0.3% |
| |||||||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 3.150% | 10/01/22 | 780 | 795,766 | ||||||||||||
Celanese US Holdings LLC, Gtd. Notes | 5.875% | 06/15/21 | 1,500 | 1,682,621 | ||||||||||||
CF Industries, Inc., Gtd. Notes | 5.375% | 03/15/44 | 585 | 522,113 | ||||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 4.625% | 10/01/44 | 45 | 47,897 | ||||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 9.400% | 05/15/39 | 347 | 583,218 | ||||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 4.625% | 02/26/55 | 1,185 | 1,160,775 | ||||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 5.000% | 04/15/19 | 600 | 627,265 | ||||||||||||
Mexichem SAB de CV (Mexico), Gtd. Notes, 144A | 4.875% | 09/19/22 | 2,000 | 2,127,500 | ||||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes(a) | 5.450% | 11/15/33 | 345 | 363,984 | ||||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.625% | 11/15/43 | 430 | 439,010 | ||||||||||||
Union Carbide Corp., Sr. Unsec’d. Notes | 7.500% | 06/01/25 | 460 | 562,787 | ||||||||||||
Westlake Chemical Corp., Gtd. Notes | 4.625% | 02/15/21 | 950 | 983,250 | ||||||||||||
|
| |||||||||||||||
9,896,186 | ||||||||||||||||
|
| |||||||||||||||
Commercial Services — 0.1% |
| |||||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A | 4.200% | 11/01/46 | 975 | 917,766 | ||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A(g) | 6.375% | 10/15/17 | 1,302 | 1,318,843 | ||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A(g) | 6.700% | 06/01/34 | 420 | 521,603 | ||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A(g) | 7.000% | 10/15/37 | 380 | 493,280 | ||||||||||||
United Rentals North America, Inc., Gtd. Notes | 5.875% | 09/15/26 | 485 | 516,525 | ||||||||||||
|
| |||||||||||||||
3,768,017 | ||||||||||||||||
|
| |||||||||||||||
Computers — 0.3% |
| |||||||||||||||
Apple, Inc., Sr. Unsec’d. Notes | 2.850% | 05/11/24 | 6,145 | 6,174,773 | ||||||||||||
Apple, Inc., Sr. Unsec’d. Notes | 3.200% | 05/13/25 | 1,350 | 1,378,764 | ||||||||||||
Apple, Inc., Sr. Unsec’d. Notes | 3.450% | 02/09/45 | 890 | 836,296 | ||||||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp., | 3.480% | 06/01/19 | 1,085 | 1,110,363 | ||||||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp., | 4.420% | 06/15/21 | 920 | 969,881 | ||||||||||||
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes | 2.450% | (c) | 10/05/17 | 1,295 | 1,298,235 | |||||||||||
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes | 2.850% | (c) | 10/05/18 | 735 | 741,289 | |||||||||||
Seagate HDD Cayman, Gtd. Notes | 3.750% | 11/15/18 | 605 | 619,520 | ||||||||||||
|
| |||||||||||||||
13,129,121 | ||||||||||||||||
|
| |||||||||||||||
Diversified Financial Services — 0.3% |
| |||||||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), | 3.750% | 05/15/19 | 775 | 796,026 | ||||||||||||
Bear Stearns Cos. LLC, Gtd. Notes | 6.400% | 10/02/17 | 330 | 333,804 | ||||||||||||
Bear Stearns Cos. LLC, Gtd. Notes | 7.250% | 02/01/18 | 1,175 | 1,211,855 | ||||||||||||
Capital One Bank USA NA, Sub. Notes | 3.375% | 02/15/23 | 860 | 867,343 | ||||||||||||
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 3.150% | 07/24/24 | 800 | 819,670 | ||||||||||||
Discover Financial Services, Sr. Unsec’d. Notes | 3.850% | 11/21/22 | 900 | 921,703 | ||||||||||||
GE Capital International Funding Co., Gtd. Notes | 2.342% | 11/15/20 | 766 | 772,124 | ||||||||||||
GE Capital International Funding Co., Gtd. Notes | 4.418% | 11/15/35 | 760 | 827,175 | ||||||||||||
Jefferies Group LLC, Sr. Unsec’d. Notes | 6.500% | 01/20/43 | 560 | 632,856 | ||||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes | 6.875% | (d) | 02/06/12 | 1,715 | 107,187 | |||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes | 6.875% | (d) | 05/02/18 | 700 | 44,520 | |||||||||||
Navient Corp., Sr. Unsec’d. Notes, MTN | 8.450% | 06/15/18 | 240 | 252,720 | ||||||||||||
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes | 2.450% | 07/15/24 | 475 | 476,654 | ||||||||||||
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes | 3.250% | 06/15/25 | 700 | 729,055 | ||||||||||||
Synchrony Financial, Sr. Unsec’d. Notes | 2.700% | 02/03/20 | 2,700 | 2,713,692 | ||||||||||||
|
| |||||||||||||||
11,506,384 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A87
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Electric — 0.7% |
| |||||||||||||
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | 6.350% | 10/01/36 | 550 | $ | 718,603 | |||||||||
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes | 6.125% | 04/01/36 | 310 | 398,261 | ||||||||||
Black Hills Corp., Sr. Unsec’d. Notes | 2.500% | 01/11/19 | 1,245 | 1,251,657 | ||||||||||
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge. | 6.950% | 03/15/33 | 590 | 813,094 | ||||||||||
Comision Federal De Electricidad (Mexico), Sr. Unsec’d. Notes, 144A | 4.750% | 02/23/27 | 480 | 493,800 | ||||||||||
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A | 4.875% | 01/15/24 | 645 | 681,281 | ||||||||||
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes | 5.500% | 12/01/39 | 220 | 269,904 | ||||||||||
Dominion Resources, Inc., Jr. Sub. Notes | 4.104% | (c) | 04/01/21 | 3,210 | 3,369,152 | |||||||||
Duke Energy Carolinas LLC, First Mortgage | 6.050% | 04/15/38 | 550 | 720,393 | ||||||||||
Duke Energy Carolinas LLC, First Ref. Mortgage | 4.000% | 09/30/42 | 570 | 588,083 | ||||||||||
Dynegy, Inc., Gtd. Notes | 6.750% | 11/01/19 | 455 | 469,219 | ||||||||||
El Paso Electric Co., Sr. Unsec’d. Notes | 6.000% | 05/15/35 | 670 | 794,400 | ||||||||||
Eversource Energy, Sr. Unsec’d. Notes | 4.500% | 11/15/19 | 615 | 648,669 | ||||||||||
Exelon Corp., Jr. Sub. Notes | 3.497% | (c) | 06/01/22 | 3,470 | 3,545,094 | |||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | 6.250% | 10/01/39 | 1,425 | 1,554,887 | ||||||||||
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A | 5.450% | 07/15/44 | 355 | 405,499 | ||||||||||
Florida Power & Light Co., First Mortgage | 5.950% | 10/01/33 | 295 | 374,121 | ||||||||||
Iberdrola International BV (Spain), Gtd. Notes | 6.750% | 09/15/33 | 145 | 175,605 | ||||||||||
Monongahela Power Co., First Mortgage, 144A | 4.100% | 04/15/24 | 2,170 | 2,305,393 | ||||||||||
Nevada Power Co., Gen. Ref. Mtge. | 6.500% | 05/15/18 | 1,260 | 1,312,437 | ||||||||||
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A | 4.881% | 08/15/19 | 610 | 645,501 | ||||||||||
NRG Energy, Inc., Gtd. Notes | 7.250% | 05/15/26 | 895 | 926,325 | ||||||||||
PSEG Power LLC, Gtd. Notes | 3.000% | 06/15/21 | 1,760 | 1,787,046 | ||||||||||
Public Service Co. of New Mexico, Sr. Unsec’d. Notes | 7.950% | 05/15/18 | 140 | 147,318 | ||||||||||
Public Service Electric & Gas Co., Sec’d. Notes, MTN | 3.000% | 05/15/27 | 1,130 | 1,132,284 | ||||||||||
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN | 5.800% | 05/01/37 | 535 | 683,397 | ||||||||||
Southern California Edison Co., First Ref. Mortgage | 3.600% | 02/01/45 | 860 | 836,554 | ||||||||||
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A | 2.750% | 05/07/19 | 665 | 671,119 | ||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 4.800% | 09/15/41 | 480 | 512,551 | ||||||||||
|
| |||||||||||||
28,231,647 | ||||||||||||||
|
| |||||||||||||
Food — 0.1% |
| |||||||||||||
Kraft Heinz Foods Co., Gtd. Notes | 3.000% | 06/01/26 | 1,630 | 1,559,993 | ||||||||||
Kraft Heinz Foods Co., Gtd. Notes | 4.375% | 06/01/46 | 475 | 465,184 | ||||||||||
Kraft Heinz Foods Co., Gtd. Notes | 5.000% | 07/15/35 | 815 | 881,323 | ||||||||||
Kroger Co. (The), Sr. Unsec’d. Notes | 4.450% | 02/01/47 | 335 | 322,909 | ||||||||||
|
| |||||||||||||
3,229,409 | ||||||||||||||
|
| |||||||||||||
Forest Products & Paper — 0.1% |
| |||||||||||||
Georgia-Pacific LLC, Gtd. Notes, 144A(g) | 5.400% | 11/01/20 | 290 | 317,251 | ||||||||||
International Paper Co., Sr. Unsec’d. Notes | 6.000% | 11/15/41 | 1,595 | 1,945,098 | ||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.950% | 06/15/18 | 286 | 302,384 | ||||||||||
|
| |||||||||||||
2,564,733 | ||||||||||||||
|
| |||||||||||||
Gas — 0.1% |
| |||||||||||||
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes | 4.800% | 11/01/43 | 65 | 68,680 | ||||||||||
Nisource Finance Corp., Gtd. Notes | 3.490% | 05/15/27 | 3,285 | 3,307,604 | ||||||||||
|
| |||||||||||||
3,376,284 | ||||||||||||||
|
| |||||||||||||
Healthcare-Products — 0.3% |
| |||||||||||||
Abbott Laboratories, Sr. Unsec’d. Notes | 2.000% | 09/15/18 | 4,910 | 4,919,604 | ||||||||||
Becton Dickinson and Co., Sr. Unsec’d. Notes | 3.700% | 06/06/27 | 4,695 | 4,709,841 | ||||||||||
Becton Dickinson and Co., Sr. Unsec’d. Notes | 3.734% | 12/15/24 | 474 | 481,767 | ||||||||||
Medtronic, Inc., Gtd. Notes | 3.500% | 03/15/25 | 1,830 | 1,903,679 | ||||||||||
Medtronic, Inc., Gtd. Notes | 4.375% | 03/15/35 | 1,269 | 1,386,086 | ||||||||||
|
| |||||||||||||
13,400,977 | ||||||||||||||
|
| |||||||||||||
Healthcare-Services — 0.4% |
| |||||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.625% | 06/15/36 | 515 | 694,822 | ||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.750% | 12/15/37 | 1,380 | 1,908,816 |
SEE NOTES TO FINANCIAL STATEMENTS.
A88
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Healthcare-Services (continued) |
| |||||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.625% | 05/15/42 | 390 | $ | 421,037 | |||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.650% | 01/15/43 | 360 | 387,984 | ||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.875% | 03/15/41 | 650 | 817,192 | ||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 6.150% | 11/15/36 | 670 | 849,026 | ||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A | 4.125% | 10/15/20 | 640 | 664,000 | ||||||||||
HCA, Inc., Sr. Sec’d. Notes | 4.250% | 10/15/19 | 555 | 575,813 | �� | |||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.250% | 04/15/25 | 400 | 430,000 | ||||||||||
Kaiser Foundation Hospitals, Gtd. Notes | 4.150% | 05/01/47 | 940 | 973,978 | ||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 3.200% | 02/01/22 | 190 | 193,907 | ||||||||||
New York & Presbyterian Hospital (The), Unsec’d. Notes | 4.024% | 08/01/45 | 445 | 453,306 | ||||||||||
Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A | 2.875% | 09/29/21 | 5,305 | 5,425,312 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 3.950% | 10/15/42 | 720 | 729,727 | ||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.625% | 11/15/37 | 420 | 578,857 | ||||||||||
|
| |||||||||||||
15,103,777 | ||||||||||||||
|
| |||||||||||||
Home Builders — 0.0% |
| |||||||||||||
D.R. Horton, Inc., Gtd. Notes | 3.625% | 02/15/18 | 450 | 452,795 | ||||||||||
|
| |||||||||||||
Housewares — 0.1% |
| |||||||||||||
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes | 4.200% | 04/01/26 | 1,695 | 1,799,729 | ||||||||||
Reckitt Benckiser Treasury Services PLC (United Kingdom), Gtd. Notes, 144A | 3.000% | 06/26/27 | 4,045 | 3,991,505 | ||||||||||
|
| |||||||||||||
5,791,234 | ||||||||||||||
|
| |||||||||||||
Insurance — 0.6% |
| |||||||||||||
Allied World Assurance Co. Holdings Ltd., Gtd. Notes | 5.500% | 11/15/20 | 525 | 568,791 | ||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 4.500% | 07/16/44 | 1,980 | 2,013,420 | ||||||||||
AXIS Specialty Finance LLC, Gtd. Notes | 5.875% | 06/01/20 | 1,030 | 1,124,261 | ||||||||||
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes | 3.125% | 03/15/26 | 2,455 | 2,482,619 | ||||||||||
Chubb Corp. (The), Gtd. Notes | 3.408% | (c) | 04/15/37 | 1,300 | 1,290,250 | |||||||||
Chubb INA Holdings, Inc., Gtd. Notes | 4.350% | 11/03/45 | 130 | 142,546 | ||||||||||
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes | 5.125% | 04/15/22 | 755 | 838,093 | ||||||||||
Liberty Mutual Group, Inc., Gtd. Notes, 144A | 6.500% | 05/01/42 | 365 | 472,561 | ||||||||||
Liberty Mutual Group, Inc., Gtd. Notes, 144A | 7.000% | 03/15/34 | 850 | 1,084,948 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 6.300% | 10/09/37 | 772 | 948,156 | ||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 8.750% | 07/01/19 | 186 | 209,118 | ||||||||||
Markel Corp., Sr. Unsec’d. Notes | 5.000% | 03/30/43 | 200 | 214,769 | ||||||||||
New York Life Global Funding, Sec’d. Notes, 144A | 1.950% | 02/11/20 | 3,030 | 3,023,622 | ||||||||||
New York Life Insurance Co., Sub. Notes, 144A | 6.750% | 11/15/39 | 660 | 927,054 | ||||||||||
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A | 6.063% | 03/30/40 | 370 | 481,296 | ||||||||||
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A | 6.375% | 04/30/20 | 680 | 743,889 | ||||||||||
Pacific Life Insurance Co., Sub. Notes, 144A | 9.250% | 06/15/39 | 910 | 1,483,325 | ||||||||||
Principal Financial Group, Inc., Gtd. Notes | 4.625% | 09/15/42 | 130 | 141,641 | ||||||||||
Progressive Corp. (The), Sr. Unsec’d. Notes | 3.700% | 01/26/45 | 710 | 690,635 | ||||||||||
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | 4.270% | 05/15/47 | 1,450 | 1,484,378 | ||||||||||
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | 6.850% | 12/16/39 | 124 | 169,794 | ||||||||||
Travelers Cos., Inc.(The), Sr. Unsec’d. Notes | 4.000% | 05/30/47 | 890 | 910,445 | ||||||||||
Unum Group, Sr. Unsec’d. Notes | 5.625% | 09/15/20 | 350 | 382,928 | ||||||||||
W.R. Berkley Corp., Sr. Unsec’d. Notes | 6.150% | 08/15/19 | 460 | 496,441 | ||||||||||
|
| |||||||||||||
22,324,980 | ||||||||||||||
|
| |||||||||||||
Lodging — 0.1% |
| |||||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.000% | 03/01/19 | 580 | 588,868 | ||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.250% | 09/15/22 | 980 | 1,002,119 | ||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 6.750% | 05/15/18 | 2,800 | 2,918,023 | ||||||||||
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | 2.500% | 03/01/18 | 490 | 492,145 | ||||||||||
|
| |||||||||||||
5,001,155 | ||||||||||||||
|
| |||||||||||||
Machinery-Diversified — 0.0% |
| |||||||||||||
Xylem, Inc., Sr. Unsec’d. Notes | 4.875% | 10/01/21 | 1,260 | 1,363,028 | ||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A89
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Media — 0.4% |
| |||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.150% | 03/01/37 | 515 | $ | 643,417 | |||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.900% | 08/15/39 | 90 | 118,808 | ||||||||||
AMC Networks, Inc., Gtd. Notes | 5.000% | 04/01/24 | 1,520 | 1,556,100 | ||||||||||
Cablevision Systems Corp., Sr. Unsec’d. Notes | 8.625% | 09/15/17 | 432 | 437,400 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A | 5.375% | 05/01/25 | 880 | 937,200 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes | 6.384% | 10/23/35 | 875 | 1,037,184 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes | 6.484% | 10/23/45 | 1,386 | 1,663,495 | ||||||||||
Comcast Cable Communications Holdings, Inc., Gtd. Notes | 9.455% | 11/15/22 | 255 | 341,506 | ||||||||||
Comcast Corp., Gtd. Notes | 6.400% | 05/15/38 | 530 | 704,851 | ||||||||||
Grupo Televisa SAB (Mexico), Sr. Unsec’d. Notes | 5.000% | 05/13/45 | 600 | 577,187 | ||||||||||
Historic TW, Inc., Gtd. Notes | 9.150% | 02/01/23 | 505 | 647,773 | ||||||||||
Myriad International Holdings BV (South Africa), Gtd. Notes | 6.375% | 07/28/17 | 1,300 | 1,300,645 | ||||||||||
Time Warner Cable, Inc., Sr. Sec’d. Notes | 5.500% | 09/01/41 | 360 | 386,879 | ||||||||||
Time Warner, Inc., Gtd. Notes | 3.800% | 02/15/27 | 385 | 387,603 | ||||||||||
Time Warner, Inc., Gtd. Notes | 6.200% | 03/15/40 | 210 | 250,811 | ||||||||||
Time Warner, Inc., Gtd. Notes | 6.250% | 03/29/41 | 1,465 | 1,789,751 | ||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 5.250% | 04/01/44 | 450 | 450,639 | ||||||||||
Videotron Ltd. (Canada), Gtd. Notes | 5.000% | 07/15/22 | 1,040 | 1,099,800 | ||||||||||
|
| |||||||||||||
14,331,049 | ||||||||||||||
|
| |||||||||||||
Mining — 0.1% |
| |||||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes | 5.000% | 09/30/43 | 255 | 295,083 | ||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A | 6.250% | (c) | 10/19/75 | 425 | 463,250 | |||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 5.875% | 04/23/45 | 530 | 566,618 | ||||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 6.750% | 04/16/40 | 425 | 489,509 | ||||||||||
|
| |||||||||||||
1,814,460 | ||||||||||||||
|
| |||||||||||||
Miscellaneous Manufacturing — 0.0% |
| |||||||||||||
Actuant Corp., Gtd. Notes | 5.625% | 06/15/22 | 1,205 | 1,244,163 | ||||||||||
General Electric Co., Sr. Unsec’d. Notes, GMTN | 6.000% | 08/07/19 | 264 | 286,916 | ||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.125% | 10/09/42 | 190 | 199,956 | ||||||||||
|
| |||||||||||||
1,731,035 | ||||||||||||||
|
| |||||||||||||
Multi-National — 0.1% |
| |||||||||||||
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes | 2.000% | 05/10/19 | 1,410 | 1,413,945 | ||||||||||
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes | 2.125% | 09/27/21 | 2,270 | 2,256,788 | ||||||||||
North American Development Bank (Supranational Bank), | 2.400% | 10/26/22 | 1,095 | 1,071,103 | ||||||||||
North American Development Bank (Supranational Bank), | 4.375% | 02/11/20 | 1,000 | 1,056,954 | ||||||||||
|
| |||||||||||||
5,798,790 | ||||||||||||||
|
| |||||||||||||
Oil & Gas — 0.5% |
| |||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 4.677% | (s) | 10/10/36 | 2,000 | 824,570 | |||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.600% | 03/15/46 | 225 | 277,882 | ||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.450% | 09/15/36 | 1,155 | 1,359,541 | ||||||||||
Apache Corp., Sr. Unsec’d. Notes | 5.100% | 09/01/40 | 325 | 332,033 | ||||||||||
ConocoPhillips Co., Gtd. Notes | 4.950% | 03/15/26 | 1,700 | 1,893,322 | ||||||||||
Devon Energy Corp., Sr. Unsec’d. Notes | 5.000% | 06/15/45 | 110 | 111,127 | ||||||||||
Devon Energy Corp., Sr. Unsec’d. Notes | 5.600% | 07/15/41 | 300 | 311,574 | ||||||||||
Devon Financing Corp. LLC, Gtd. Notes | 7.875% | 09/30/31 | 1,700 | 2,206,041 | ||||||||||
EOG Resources, Inc., Sr. Unsec’d. Notes | 3.900% | 04/01/35 | 1,020 | 989,210 | ||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 4.950% | 07/19/22 | 350 | 362,037 | ||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 6.510% | 03/07/22 | 580 | 639,828 | ||||||||||
Helmerich & Payne International Drilling Co., Gtd. Notes | 4.650% | 03/15/25 | 1,995 | 2,092,031 | ||||||||||
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A | 3.875% | 04/19/22 | 550 | 544,280 | ||||||||||
Nabors Industries, Inc., Gtd. Notes | 4.625% | 09/15/21 | 1,070 | 1,016,286 |
SEE NOTES TO FINANCIAL STATEMENTS.
A90
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Oil & Gas (continued) |
| |||||||||||||
Noble Energy, Inc., Sr. Unsec’d. Notes | 5.050% | 11/15/44 | 1,200 | $ | 1,232,423 | |||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 5.500% | 01/21/21 | 1,110 | 1,164,390 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 6.500% | 06/02/41 | 1,255 | 1,246,215 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 8.625% | (c) | 12/01/23 | 350 | 411,250 | |||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes, MTN | 6.875% | 08/04/26 | 1,000 | 1,108,000 | ||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes, 144A | 5.375% | 03/13/22 | 450 | 473,737 | ||||||||||
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | 6.875% | 05/01/18 | 1,500 | 1,560,081 | ||||||||||
Raizen Fuels Finance SA (Brazil), Gtd. Notes, 144A | 5.300% | 01/20/27 | 320 | 324,400 | ||||||||||
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A | 2.500% | 04/28/20 | 1,250 | 1,255,886 | ||||||||||
|
| |||||||||||||
21,736,144 | ||||||||||||||
|
| |||||||||||||
Oil & Gas Services — 0.1% |
| |||||||||||||
Cameron International Corp., Gtd. Notes | 4.500% | 06/01/21 | 2,200 | 2,315,315 | ||||||||||
Schlumberger Holdings Corp., Sr. Unsec’d. Notes, 144A | 4.000% | 12/21/25 | 2,845 | 2,982,394 | ||||||||||
|
| |||||||||||||
5,297,709 | ||||||||||||||
|
| |||||||||||||
Packaging & Containers — 0.0% |
| |||||||||||||
Ball Corp., Gtd. Notes | 4.375% | 12/15/20 | 630 | 661,500 | ||||||||||
WestRock RKT Co., Gtd. Notes | 4.900% | 03/01/22 | 800 | 871,859 | ||||||||||
|
| |||||||||||||
1,533,359 | ||||||||||||||
|
| |||||||||||||
Pharmaceuticals — 0.2% |
| |||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 3.600% | 05/14/25 | 1,175 | 1,198,575 | ||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 4.500% | 05/14/35 | 1,910 | 2,014,353 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 3.800% | 03/15/25 | 475 | 491,316 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 4.550% | 03/15/35 | 2,010 | 2,145,329 | ||||||||||
Actavis Funding SCS, Gtd. Notes | 4.750% | 03/15/45 | 178 | 192,145 | ||||||||||
Actavis, Inc., Gtd. Notes | 6.125% | 08/15/19 | 445 | 480,552 | ||||||||||
Eli Lilly & Co., Sr. Unsec’d. Notes | 3.100% | 05/15/27 | 1,140 | 1,151,206 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes(a) | 3.150% | 10/01/26 | 610 | 579,304 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes | 4.100% | 10/01/46 | 195 | 179,611 | ||||||||||
Wyeth LLC, Gtd. Notes | 6.450% | 02/01/24 | 60 | 72,928 | ||||||||||
|
| |||||||||||||
8,505,319 | ||||||||||||||
|
| |||||||||||||
Pipelines — 0.2% |
| |||||||||||||
DCP Midstream LLC, Gtd. Notes, 144A | 5.350% | 03/15/20 | 717 | 745,680 | ||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes | 4.650% | 06/01/21 | 675 | 712,041 | ||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes | 4.900% | 03/15/35 | 250 | 243,100 | ||||||||||
Enterprise Products Operating LLC, Gtd. Notes | 3.700% | 02/15/26 | 270 | 274,996 | ||||||||||
Enterprise Products Operating LLC, Gtd. Notes | 3.750% | 02/15/25 | 1,345 | 1,385,084 | ||||||||||
Kinder Morgan Energy Partners LP, Gtd. Notes | 5.950% | 02/15/18 | 510 | 522,599 | ||||||||||
MPLX LP, Sr. Unsec’d. Notes | 4.000% | 02/15/25 | 1,430 | 1,439,733 | ||||||||||
MPLX LP, Sr. Unsec’d. Notes | 5.200% | 03/01/47 | 40 | 41,195 | ||||||||||
ONEOK Partners LP, Gtd. Notes | 6.650% | 10/01/36 | 145 | 174,505 | ||||||||||
Williams Partners LP, Sr. Unsec’d. Notes | 4.900% | 01/15/45 | 1,000 | 1,001,313 | ||||||||||
Williams Partners LP, Sr. Unsec’d. Notes | 5.100% | 09/15/45 | 500 | 518,001 | ||||||||||
|
| |||||||||||||
7,058,247 | ||||||||||||||
|
| |||||||||||||
Real Estate — 0.0% |
| |||||||||||||
ProLogis LP, Gtd. Notes | 6.875% | 03/15/20 | 72 | 79,878 | ||||||||||
|
| |||||||||||||
Real Estate Investment Trusts (REITs) — 0.0% |
| |||||||||||||
Select Income REIT, Sr. Unsec’d. Notes | 2.850% | 02/01/18 | 715 | 717,971 | ||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 3.375% | 03/15/22 | 230 | 237,672 | ||||||||||
|
| |||||||||||||
955,643 | ||||||||||||||
|
| |||||||||||||
Retail — 0.2% |
| |||||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 5.125% | 07/20/45 | 820 | 940,044 | ||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 5.300% | 12/05/43 | 225 | 259,295 | ||||||||||
Home Depot, Inc. (The), Sr. Unsec’d. Notes | 4.400% | 03/15/45 | 755 | 826,890 | ||||||||||
L Brands, Inc., Gtd. Notes | 5.625% | 02/15/22 | 1,450 | 1,551,500 |
SEE NOTES TO FINANCIAL STATEMENTS.
A91
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
Retail (continued) |
| |||||||||||||||
Lowe’s Cos., Inc., Sr. Unsec’d. Notes | 6.500% | 03/15/29 | 129 | $ | 168,181 | |||||||||||
Macy’s Retail Holdings, Inc., Gtd. Notes(a) | 3.875% | 01/15/22 | 360 | 357,068 | ||||||||||||
McDonald’s Corp., Sr. Unsec’d. Notes, MTN | 3.700% | 01/30/26 | 2,620 | 2,713,327 | ||||||||||||
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes(a) | 5.625% | 12/01/25 | 1,375 | 1,407,656 | ||||||||||||
Target Corp., Sr. Unsec’d. Notes | 3.500% | 07/01/24 | 345 | 357,342 | ||||||||||||
|
| |||||||||||||||
8,581,303 | ||||||||||||||||
|
| |||||||||||||||
Savings & Loans — 0.0% |
| |||||||||||||||
People’s United Financial, Inc., Sr. Unsec’d. Notes | 3.650% | 12/06/22 | 1,455 | 1,485,596 | ||||||||||||
|
| |||||||||||||||
Semiconductors — 0.1% |
| |||||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd., Gtd. Notes, 144A | 3.875% | 01/15/27 | 2,125 | 2,182,162 | ||||||||||||
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A | 5.750% | 03/15/23 | 1,500 | 1,578,750 | ||||||||||||
|
| |||||||||||||||
3,760,912 | ||||||||||||||||
|
| |||||||||||||||
Software — 0.3% |
| |||||||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 3.625% | 10/15/20 | 2,210 | 2,315,070 | ||||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 2.850% | 10/15/18 | 1,650 | 1,669,465 | ||||||||||||
Microsoft Corp., Sr. Unsec’d. Notes | 3.125% | 11/03/25 | 1,380 | 1,408,065 | ||||||||||||
Microsoft Corp., Sr. Unsec’d. Notes | 2.375% | 02/12/22 | 3,085 | 3,107,644 | ||||||||||||
Microsoft Corp., Sr. Unsec’d. Notes | 4.500% | 02/06/57 | 1,125 | 1,238,623 | ||||||||||||
Oracle Corp., Sr. Unsec’d. Notes | 4.300% | 07/08/34 | 920 | 998,210 | ||||||||||||
|
| |||||||||||||||
10,737,077 | ||||||||||||||||
|
| |||||||||||||||
Telecommunications — 0.4% |
| |||||||||||||||
Anixter, Inc., Gtd. Notes | 5.625% | 05/01/19 | 782 | 823,055 | ||||||||||||
AT&T Corp., Gtd. Notes | 8.250% | (c) | 11/15/31 | 4 | 5,556 | |||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 3.400% | 05/15/25 | 3,460 | 3,401,491 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 05/15/35 | 430 | 423,031 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 03/09/48 | 4 | 3,743 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.550% | 03/09/49 | 844 | 797,560 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.750% | 05/15/46 | 875 | 858,028 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.800% | 06/15/44 | 1,000 | 991,044 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.150% | 03/15/42 | 860 | 878,226 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.250% | 03/01/37 | 65 | 69,250 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.350% | 09/01/40 | 82 | 86,828 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.450% | 03/01/47 | 65 | 69,974 | ||||||||||||
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes | 9.125% | (c) | 12/15/30 | 400 | 608,192 | |||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, First Lien, 144A | 3.360% | (c) | 03/20/23 | 2,000 | 2,017,500 | |||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.522% | 09/15/48 | 2,120 | 2,005,715 | ||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.672% | 03/15/55 | 1,991 | 1,863,950 | ||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.862% | 08/21/46 | 216 | 216,037 | ||||||||||||
|
| |||||||||||||||
15,119,180 | ||||||||||||||||
|
| |||||||||||||||
Transportation — 0.1% |
| |||||||||||||||
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | 6.700% | 08/01/28 | 670 | 876,747 | ||||||||||||
CSX Corp., Sr. Unsec’d. Notes | 6.150% | 05/01/37 | 715 | 919,092 | ||||||||||||
Norfolk Southern Corp., Sr. Unsec’d. Notes | 5.590% | 05/17/25 | 100 | 113,850 | ||||||||||||
|
| |||||||||||||||
1,909,689 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 397,877,579 | ||||||||||||||
|
| |||||||||||||||
MUNICIPAL BONDS — 0.5% | ||||||||||||||||
Alabama — 0.0% |
| |||||||||||||||
Alabama Economic Settlement Authority | 4.263% | 09/15/32 | 240 | 252,353 | ||||||||||||
|
| |||||||||||||||
California — 0.2% | ||||||||||||||||
Bay Area Toll Authority, Revenue Bonds, BABs | 6.263% | 04/01/49 | 1,325 | 1,894,246 | ||||||||||||
California Educational Facilities Authority | 5.000% | 06/01/46 | 750 | 1,001,693 | ||||||||||||
State of California, GO, BABs | 7.300% | 10/01/39 | 1,270 | 1,857,134 | ||||||||||||
State of California, GO, BABs | 7.500% | 04/01/34 | 475 | 689,795 |
SEE NOTES TO FINANCIAL STATEMENTS.
A92
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
MUNICIPAL BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
California (continued) | ||||||||||||||||
State of California, GO, BABs | 7.550% | 04/01/39 | 245 | $ | 373,865 | |||||||||||
State of California, GO, BABs | 7.625% | 03/01/40 | 215 | 327,565 | ||||||||||||
|
| |||||||||||||||
6,144,298 | ||||||||||||||||
|
| |||||||||||||||
Colorado — 0.0% |
| |||||||||||||||
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs | 5.844% | 11/01/50 | 680 | 915,307 | ||||||||||||
|
| |||||||||||||||
Illinois — 0.0% |
| |||||||||||||||
Chicago O’Hare International Airport, Revenue Bonds, BABs | 6.395% | 01/01/40 | 1,030 | 1,391,581 | ||||||||||||
|
| |||||||||||||||
New Jersey — 0.1% |
| |||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs | 7.414% | 01/01/40 | 1,070 | 1,607,151 | ||||||||||||
|
| |||||||||||||||
New York — 0.1% |
| |||||||||||||||
New York City Transitional Finance Authority, Revenue Bonds, BABs | 5.767% | 08/01/36 | 1,130 | 1,396,940 | ||||||||||||
|
| |||||||||||||||
Ohio — 0.0% |
| |||||||||||||||
Ohio State University (The), Revenue Bonds, BABs | 4.910% | 06/01/40 | 455 | 547,470 | ||||||||||||
Ohio State Water Development Authority, Revenue Bonds, BABs | 4.879% | 12/01/34 | 300 | 341,775 | ||||||||||||
|
| |||||||||||||||
889,245 | ||||||||||||||||
|
| |||||||||||||||
Oregon — 0.0% |
| |||||||||||||||
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs | 5.834% | 11/15/34 | 445 | 573,120 | ||||||||||||
|
| |||||||||||||||
Pennsylvania — 0.0% |
| |||||||||||||||
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs | 5.511% | 12/01/45 | 550 | 685,702 | ||||||||||||
|
| |||||||||||||||
Tennessee — 0.0% |
| |||||||||||||||
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | 6.731% | 07/01/43 | 1,000 | 1,338,930 | ||||||||||||
|
| |||||||||||||||
Texas — 0.1% |
| |||||||||||||||
University of Texas System (The), Revenue Bonds, BABs | 5.000% | 08/15/47 | 1,490 | 1,954,701 | ||||||||||||
|
| |||||||||||||||
Washington — 0.0% |
| |||||||||||||||
Central Puget Sound Regional Transit Authority, Revenue Bonds, Series S-1 | 5.000% | 11/01/46 | 950 | 1,245,573 | ||||||||||||
|
| |||||||||||||||
TOTAL MUNICIPAL BONDS |
| 18,394,901 | ||||||||||||||
|
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 2.0% | ||||||||||||||||
Alternative Loan Trust, Series 2004-18CB, Class 3A1 | 5.250% | 09/25/19 | 105 | 105,271 | ||||||||||||
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 | 6.000% | 01/25/36 | 1,088 | 1,013,568 | ||||||||||||
Banc of America Funding Trust, Series 2015-R4, Class 4A1, 144A | 3.500% | (c) | 07/26/36 | 1,502 | 1,499,887 | |||||||||||
Bank of America Mortgage Trust, Series 2005-A, Class 2A1 | 3.475% | (c) | 02/25/35 | 539 | 537,492 | |||||||||||
Bank of America Mortgage Trust, Series 2005-B, Class 2A1 | 3.601% | (c) | 03/25/35 | 186 | 180,191 | |||||||||||
Bayview Opportunity Master Fund Trust, Series 2016-CRT1, Class M1, 144A | 2.972% | (c) | 10/27/27 | 640 | 639,449 | |||||||||||
Bayview Opportunity Master Fund Trust, Series 2017-CRT1, Class M, 144A | 3.372% | (c) | 10/25/28 | 1,377 | 1,378,110 | |||||||||||
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5 | 3.445% | (c) | 02/25/37 | 463 | 465,408 | |||||||||||
CIM Trust, Series 2017-2, Class A1, 144A | 3.051% | (c) | 12/25/57 | 2,294 | 2,292,787 | |||||||||||
CIM Trust, Series 2017-3, Class A, 144A | 3.051% | (c) | 01/25/57 | 4,872 | 4,943,468 | |||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2016-C02, Class 1M1 | 3.366% | (c) | 09/25/28 | 1,027 | 1,041,589 | |||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2016-C03, Class 2M1 | 3.416% | (c) | 10/25/28 | 1,461 | 1,482,502 | |||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2016-C04, Class 1M1 | 2.666% | (c) | 01/25/29 | 1,667 | 1,687,374 | |||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2017-C01, Class 1M2 | 4.766% | (c) | 07/25/29 | 780 | 823,718 | |||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2 | 4.216% | (c) | 10/25/29 | 1,220 | 1,252,875 | |||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1 | 2.116% | (c) | 10/25/27 | 3,363 | 3,367,401 | |||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1 | 2.666% | (c) | 07/25/28 | 1,618 | 1,624,949 | |||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M2 | 2.516% | (c) | 03/25/29 | 1,430 | 1,446,135 | |||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2 | 3.466% | (c) | 11/25/28 | 1,600 | 1,644,181 | |||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA4, Class M2 | 2.516% | (c) | 04/25/29 | 2,050 | 2,072,953 |
SEE NOTES TO FINANCIAL STATEMENTS.
A93
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-DNA1, Class M1 | 2.416% | (c) | 07/25/29 | 3,048 | $ | 3,088,279 | ||||||||
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1 | 3.454% | (c) | 07/25/35 | 240 | 240,054 | |||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-3, | 3.050% | (c) | 09/01/21 | 1,537 | 1,537,434 | |||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2017-1, | 3.000% | (c) | 01/01/22 | 2,996 | 2,989,500 | |||||||||
LSTAR Securities Investment Ltd., Series 2017-3, Class A1, 144A | 3.000% | (c) | 04/01/22 | 3,189 | 3,222,359 | |||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2017-4, | 3.020% | (c) | 05/01/22 | 14,696 | 14,554,207 | |||||||||
LSTAR Securities Investment Ltd., Series 2017-5, Class A, 144A | 3.020% | (c) | 05/01/22 | 10,400 | 10,292,328 | |||||||||
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | 5.000% | 04/25/19 | 21 | 21,219 | ||||||||||
Mortgage Repurchase Agreement Financing Trust, Series 2016-4, | 2.317% | (c) | 05/10/19 | 9,990 | 9,990,000 | |||||||||
Mortgage Repurchase Agreement Financing Trust, Series 2016-5, | 2.287% | (c) | 06/10/19 | 1,700 | 1,697,158 | |||||||||
Mortgage Repurchase Agreement Financing Trust, Series 2017-1, | 1.967% | (c) | 07/10/19 | 2,710 | 2,711,139 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 3.396% | (c) | 02/25/34 | 232 | 233,284 | |||||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | 5.000% | 03/25/20 | 38 | 38,056 | ||||||||||
|
| |||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 80,114,325 | ||||||||||||
|
| |||||||||||||
SOVEREIGN BONDS — 0.9% | ||||||||||||||
Belgium Government International Bond (Belgium), Sr. Unsec’d. Notes, 144A, EMTN | 1.125% | 08/03/19 | 1,600 | 1,582,592 | ||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | 4.000% | 02/26/24 | 175 | 181,650 | ||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | 4.375% | 07/12/21 | 500 | 532,000 | ||||||||||
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes | 5.125% | 06/29/20 | 400 | 430,517 | ||||||||||
Finnvera OYJ (Finland), Gov’t. Gtd. Notes, 144A, MTN | 2.375% | 06/04/25 | 400 | 388,728 | ||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 4.000% | 03/25/19 | 580 | 598,776 | ||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 6.375% | 03/29/21 | 2,280 | 2,563,860 | ||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 7.625% | 03/29/41 | 880 | 1,311,200 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes | 4.875% | 05/05/21 | 1,120 | 1,202,889 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A, MTN | 5.875% | 01/15/24 | 950 | 1,082,840 | ||||||||||
Japan Bank For International Cooperation (Japan), Gov’t. Gtd. Notes | 1.500% | 07/21/21 | 600 | 580,177 | ||||||||||
Japan Bank For International Cooperation (Japan), Gov’t. Gtd. Notes | 2.250% | 02/24/20 | 800 | 803,459 | ||||||||||
Japan Bank For International Cooperation/japan (Japan), Gov’t. Gtd. Notes | 2.125% | 06/01/20 | 1,400 | 1,399,841 | ||||||||||
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN | 2.125% | 04/13/21 | 800 | 788,183 | ||||||||||
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN | 2.125% | 10/25/23 | 1,400 | 1,355,088 | ||||||||||
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN | 2.625% | 04/20/22 | 2,000 | 2,002,698 | ||||||||||
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A | 1.125% | 05/23/18 | 3,158 | 3,148,542 | ||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes | 4.000% | 10/02/23 | 566 | 591,979 | ||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN | 4.750% | 03/08/44 | 1,006 | 1,007,006 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 3.750% | 03/16/25 | 600 | 618,000 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 4.000% | 09/22/24 | 515 | 540,750 | ||||||||||
Province of Manitoba (Canada), Sr. Unsec’d. Notes | 2.125% | 06/22/26 | 200 | 189,750 | ||||||||||
Province of Ontario (Canada), Sr. Unsec’d. Notes | 2.250% | 05/18/22 | 795 | 794,553 | ||||||||||
Province of Ontario (Canada), Sr. Unsec’d. Notes | 2.400% | 02/08/22 | 385 | 387,971 | ||||||||||
Province of Ontario (Canada), Sr. Unsec’d. Notes | 4.400% | 04/14/20 | 385 | 410,605 | ||||||||||
Province of Quebec (Canada), Sr. Unsec’d. Notes | 2.750% | 04/12/27 | 2,950 | 2,937,005 | ||||||||||
Saudi Government International Bond (Saudi Arabia), Sr. Unsec’d. Notes, 144A, MTN | 2.375% | 10/26/21 | 1,325 | 1,303,800 | ||||||||||
Svensk Exportkredit AB (Sweden), Sr. Unsec’d. Notes, GMTN | 1.750% | 03/10/21 | 3,100 | 3,081,716 |
SEE NOTES TO FINANCIAL STATEMENTS.
A94
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
SOVEREIGN BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
Tokyo Metropolitan Government (Japan), Sr. Unsec’d. Notes, 144A | 2.500% | 06/08/22 | 1,800 | $ | 1,803,544 | |||||||||||
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes | 7.000% | 06/05/20 | 1,710 | 1,869,765 | ||||||||||||
Uruguay Government International Bond (Uruguay), Sr. Unsec’d. Notes | 5.100% | 06/18/50 | 680 | 692,240 | ||||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS |
| 36,181,724 | ||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.7% | ||||||||||||||||
Federal Home Loan Banks(k) | 5.500% | 07/15/36 | 1,080 | 1,461,779 | ||||||||||||
Federal Home Loan Mortgage Corp., MTN | 1.500% | 01/17/20 | 1,705 | 1,703,568 | ||||||||||||
Federal Home Loan Mortgage Corp. | 2.500% | 03/01/30 | 744 | 749,469 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | TBA | 3,000 | 2,993,438 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 10/01/28 | 646 | 665,219 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 06/01/29 | 1,488 | 1,530,237 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 01/01/43 | 1,377 | 1,382,180 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 07/01/43 | 2,710 | 2,715,991 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 06/01/45 | 1,337 | 1,342,491 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 06/01/45 | 5,310 | 5,326,969 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | TBA | 12,500 | 12,841,462 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 12/01/25 | 608 | 636,112 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 08/01/26 | 1,132 | 1,185,074 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 03/01/42 | 845 | 871,714 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 06/01/42 | 497 | 513,264 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | TBA | 11,000 | 11,568,604 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 06/01/26 | 956 | 1,003,873 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 09/01/26 | 502 | 527,477 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 10/01/39 | 1,104 | 1,165,081 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 12/01/40 | 572 | 604,256 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 10/01/41 | 697 | 739,249 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 01/01/42 | 231 | 243,745 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 10/01/45 | 1,017 | 1,070,467 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 02/01/19 | 3 | 2,808 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 07/01/19 | 108 | 110,175 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 07/01/20 | 75 | 77,073 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 09/01/39 | 440 | 473,144 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 10/01/39 | 2,542 | 2,733,394 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 12/01/39 | 775 | 833,324 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 07/01/41 | 335 | 360,223 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 07/01/41 | 2,535 | 2,725,858 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 08/01/41 | 832 | 894,840 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 08/01/41 | 252 | 270,813 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 08/01/41 | 180 | 193,468 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 10/01/41 | 303 | 324,797 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/18 | 47 | 48,636 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 12/01/18 | 26 | 26,446 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/19 | 47 | 48,553 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/19 | 88 | 90,504 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 12/01/19 | 17 | 17,943 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 05/01/34 | 36 | 38,938 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 05/01/34 | 357 | 389,801 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 08/01/35 | 37 | 40,803 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 09/01/35 | 62 | 67,286 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 10/01/36 | 57 | 62,250 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 05/01/37 | 38 | 41,515 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/37 | 754 | 825,973 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 09/01/38 | 105 | 114,753 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 09/01/38 | 87 | 95,802 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 09/01/38 | 91 | 100,143 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 02/01/39 | 35 | 38,569 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 06/01/39 | 92 | 100,175 |
SEE NOTES TO FINANCIAL STATEMENTS.
A95
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 02/01/34 | 37 | $ | 41,308 | |||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 04/01/34 | 341 | 376,974 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 06/01/34 | 214 | 239,357 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 06/01/34 | 200 | 223,317 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 05/01/37 | 84 | 94,238 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 02/01/38 | 649 | 719,733 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 05/01/38 | 118 | 131,695 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 07/01/38 | 565 | 628,282 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 03/01/32 | 326 | 373,107 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 12/01/33 | 108 | 120,941 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 07/01/36 | 6 | 6,663 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 12/01/36 | 14 | 15,511 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 05/01/37 | 22 | 24,343 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 12/01/37 | 53 | 60,269 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 01/01/38 | 9 | 10,348 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 01/01/38 | 449 | 505,072 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 01/01/38 | 24 | 26,449 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 10/01/38 | 104 | 118,596 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 08/01/39 | 59 | 66,252 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.750% | 03/15/31 | 700 | 1,012,766 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 01/01/31 | 33 | 37,187 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 06/01/31 | 33 | 37,102 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 09/01/31 | 5 | 5,812 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 10/01/31 | 65 | 74,423 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 10/01/32 | 33 | 35,187 | ||||||||||
Federal National Mortgage Assoc. | 1.875% | 09/24/26 | 225 | 213,332 | ||||||||||
Federal National Mortgage Assoc. | 2.000% | 08/01/31 | 1,876 | 1,836,916 | ||||||||||
Federal National Mortgage Assoc. | 2.500% | TBA | 3,000 | 3,011,550 | ||||||||||
Federal National Mortgage Assoc. | 2.500% | 01/01/28 | 1,712 | 1,731,907 | ||||||||||
Federal National Mortgage Assoc. | 2.500% | 10/01/43 | 1,254 | 1,214,941 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | TBA | 2,500 | 2,563,086 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 02/01/27 | 2,814 | 2,895,742 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 08/01/30 | 1,618 | 1,661,286 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 02/01/31 | 4,709 | 4,835,979 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 05/01/31 | 3,287 | 3,376,236 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 11/01/36 | 3,806 | 3,865,698 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 12/01/42 | 1,654 | 1,661,310 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 12/01/42 | 2,719 | 2,730,174 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 04/01/43 | 9,069 | 9,106,987 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 07/01/43 | 4,197 | 4,213,653 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 08/01/43 | 5,458 | 5,479,668 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 6,500 | 6,664,727 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 20,000 | 20,541,406 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 07/01/27 | 2,181 | 2,273,192 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 06/01/39 | 914 | 944,120 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 01/01/42 | 8,586 | 8,859,571 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 05/01/42 | 4,429 | 4,570,112 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 07/01/42 | 1,161 | 1,198,401 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 08/01/42 | 1,433 | 1,477,908 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 08/01/42 | 473 | 487,356 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 09/01/42 | 1,167 | 1,202,734 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 09/01/42 | 2,154 | 2,221,138 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 11/01/42 | 852 | 878,991 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 03/01/43 | 4,456 | 4,602,012 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 04/01/43 | 813 | 838,685 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 04/01/43 | 2,074 | 2,136,871 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 07/01/43 | 389 | 401,071 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | TBA | 13,750 | 14,454,150 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | TBA | 19,500 | 20,464,716 |
SEE NOTES TO FINANCIAL STATEMENTS.
A96
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 10/01/41 | 4,177 | $ | 4,407,635 | |||||||||
Federal National Mortgage Assoc. | 4.000% | 09/01/44 | 4,326 | 4,549,888 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | TBA | 4,500 | 4,827,129 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 11/01/18 | 52 | 52,768 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 01/01/19 | 78 | 79,773 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 01/01/19 | 22 | 22,386 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 02/01/19 | 47 | 48,348 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 05/01/19 | 41 | 42,183 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 07/01/33 | 78 | 84,276 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 08/01/33 | 21 | 22,962 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 09/01/33 | 70 | 75,179 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 10/01/33 | 185 | 198,788 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 03/01/34 | 54 | 58,717 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 01/01/35 | 4 | 4,042 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 07/01/39 | 1,262 | 1,369,635 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 08/01/39 | 990 | 1,074,334 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 09/01/39 | 735 | 790,939 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 12/01/39 | 8 | 8,553 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 03/01/41 | 2,434 | 2,643,150 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 07/01/42 | 201 | 217,458 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | TBA | 7,000 | 7,646,407 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 10/01/18 | 19 | 19,837 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 01/01/19 | 45 | 46,545 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 03/01/34 | 365 | 399,213 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 04/01/35 | 873 | 958,040 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 06/01/35 | 216 | 237,004 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 07/01/35 | 219 | 240,062 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 07/01/35 | 156 | 171,202 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 09/01/35 | 136 | 149,757 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 11/01/35 | 132 | 145,439 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 02/01/36 | 124 | 136,119 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 12/01/17 | 6 | 5,891 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 02/01/18 | 4 | 3,932 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 05/01/20 | 36 | 37,485 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 01/01/21 | 129 | 134,855 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 02/01/33 | 243 | 272,128 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 08/01/33 | 271 | 304,760 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 10/01/33 | 78 | 87,836 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 12/01/33 | 71 | 79,984 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 12/01/34 | 220 | 245,330 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 10/01/35 | 928 | 1,032,698 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 03/01/36 | 158 | 176,487 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 04/01/36 | 168 | 188,049 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 01/01/37 | 106 | 118,151 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 04/01/37 | 60 | 66,938 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 05/01/37 | 360 | 402,714 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 08/01/37 | 426 | 477,178 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 09/01/17 | — | (r) | 302 | |||||||||
Federal National Mortgage Assoc. | 6.000% | 05/01/21 | 116 | 121,882 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 10/01/33 | 435 | 501,882 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/33 | 48 | 53,422 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/33 | 46 | 51,436 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 01/01/34 | 421 | 480,244 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/34 | 162 | 185,446 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 03/01/34 | 3 | 3,614 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 03/01/34 | 64 | 71,947 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 03/01/34 | 18 | 20,345 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/34 | 74 | 83,172 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 01/01/35 | 240 | 274,545 |
SEE NOTES TO FINANCIAL STATEMENTS.
A97
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 01/01/35 | 88 | $ | 101,766 | |||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/35 | 5 | 5,324 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/35 | 300 | 346,450 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/35 | 243 | 273,029 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 04/01/35 | 27 | 31,408 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 12/01/35 | 312 | 352,716 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 05/01/36 | 68 | 77,643 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 06/01/36 | 36 | 41,314 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/37 | 117 | 133,641 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 06/01/37 | 42 | 47,793 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 05/01/38 | 318 | 358,996 | ||||||||||
Federal National Mortgage Assoc.(k)(hh) | 6.250% | 05/15/29 | 1,935 | 2,625,720 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/17 | — | (r) | 62 | |||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/17 | 1 | 762 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 51 | 56,501 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 15 | 16,397 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 10 | 11,090 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 51 | 56,717 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 7 | 8,237 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 10/01/32 | 60 | 66,924 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 04/01/33 | 90 | 101,233 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 11/01/33 | 74 | 81,895 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 01/01/34 | 61 | 68,491 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/34 | 79 | 87,447 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 10/01/34 | 143 | 159,800 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/36 | 226 | 259,213 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 10/01/36 | 50 | 56,886 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 11/01/36 | 79 | 87,750 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 01/01/37 | 42 | 46,693 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 01/01/37 | 119 | 132,794 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/37 | 26 | 29,274 | ||||||||||
Federal National Mortgage Assoc.(hh) | 6.625% | 11/15/30 | 630 | 900,687 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 02/01/32 | 40 | 45,307 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 03/01/32 | 2 | 2,027 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 05/01/32 | 21 | 24,760 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 06/01/32 | 16 | 18,402 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 07/01/32 | 64 | 71,720 | ||||||||||
Federal National Mortgage Assoc.(k)(hh) | 7.125% | 01/15/30 | 4,210 | 6,145,388 | ||||||||||
Federal National Mortgage Assoc. | 7.500% | 05/01/32 | 18 | 17,787 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 03/15/45 | 1,847 | 1,867,847 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 03/20/46 | 12,854 | 12,997,342 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 02/20/47 | 6,960 | 7,037,661 | ||||||||||
Government National Mortgage Assoc. | 3.500% | TBA | 12,000 | 12,429,374 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 12/20/42 | 2,866 | 2,981,615 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 05/20/43 | 591 | 615,237 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 03/20/45 | 2,853 | 2,958,211 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 04/20/45 | 4,041 | 4,190,218 | ||||||||||
Government National Mortgage Assoc. | 4.000% | TBA | 9,500 | 9,996,523 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 06/15/40 | 271 | 285,584 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 05/20/41 | 482 | 510,951 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 12/20/42 | 951 | 1,005,725 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 12/20/45 | 3,025 | 3,185,618 | ||||||||||
Government National Mortgage Assoc. | 4.500% | TBA | 2,000 | 2,142,891 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 04/15/40 | 1,268 | 1,364,640 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 01/20/41 | 2,084 | 2,239,696 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 02/20/41 | 1,342 | 1,442,205 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 06/20/44 | 1,500 | 1,595,357 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 10/20/37 | 239 | 264,075 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 04/20/45 | 1,397 | 1,502,387 |
SEE NOTES TO FINANCIAL STATEMENTS.
A98
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Government National Mortgage Assoc. | 5.500% | 11/15/32 | 114 | $ | 128,781 | |||||||||
Government National Mortgage Assoc. | 5.500% | 02/15/33 | 95 | 107,291 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 08/15/33 | 178 | 197,590 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 08/15/33 | 158 | 177,680 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 09/15/33 | 109 | 123,580 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 09/15/33 | 84 | 93,024 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 10/15/33 | 130 | 148,193 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 12/15/33 | 23 | 26,321 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 02/15/34 | 47 | 52,085 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 04/15/34 | 474 | 535,742 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 07/15/35 | 102 | 115,365 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 02/15/36 | 143 | 162,347 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 02/15/33 | 3 | 3,855 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 04/15/33 | 24 | 27,582 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 09/15/33 | 28 | 31,933 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 12/15/33 | 156 | 177,244 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 12/15/33 | 52 | 58,856 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 01/15/34 | 27 | 31,196 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 01/15/34 | 42 | 47,042 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 06/20/34 | 107 | 121,704 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 07/15/34 | 233 | 264,637 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 10/15/34 | 214 | 244,383 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 10/15/23 | 1 | 1,466 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 12/15/23 | 7 | 7,245 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 24 | 25,786 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 78 | 85,449 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 6 | 6,452 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 28 | 30,171 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 2 | 2,335 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 3 | 3,164 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 2 | 2,546 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 6 | 6,807 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 23 | 25,654 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 38 | 41,440 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 28 | 31,026 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 5 | 5,788 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 5 | 5,521 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 1 | 866 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | — | (r) | 527 | |||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 11 | 11,956 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 25 | 26,947 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 7 | 8,156 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 03/15/24 | 11 | 11,690 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 3 | 3,334 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 6 | 6,992 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 12 | 13,205 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 1 | 1,409 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 6 | 6,940 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 20 | 21,655 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 3 | 3,488 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 3 | 3,444 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 05/15/24 | — | (r) | 284 | |||||||||
Government National Mortgage Assoc. | 6.500% | 05/15/24 | 20 | 21,570 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 05/15/24 | 20 | 21,802 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 10/15/24 | 31 | 34,914 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 12/15/30 | 12 | 12,936 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/32 | 25 | 28,063 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/32 | 25 | 28,498 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 07/15/32 | 55 | 60,198 |
SEE NOTES TO FINANCIAL STATEMENTS.
A99
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 9 | $ | 9,640 | |||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 10 | 11,425 | ||||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 38 | 41,701 | ||||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 269 | 316,063 | ||||||||||||
Government National Mortgage Assoc. | 6.500% | 06/15/35 | 52 | 60,411 | ||||||||||||
Government National Mortgage Assoc. | 6.500% | 06/15/35 | 6 | 6,158 | ||||||||||||
Government National Mortgage Assoc. | 6.500% | 07/15/35 | 8 | 8,294 | ||||||||||||
Government National Mortgage Assoc. | 8.000% | 01/15/24 | 11 | 11,568 | ||||||||||||
Government National Mortgage Assoc. | 8.000% | 04/15/25 | 10 | 10,889 | ||||||||||||
Hashemite Kingdom of Jordan Government USAID Bond, U.S. Gov’t. Gtd. Notes | 2.578% | 06/30/22 | 3,948 | 4,043,455 | ||||||||||||
Iraq Government AID Bond, U.S. Gov’t. Gtd. Notes | 2.149% | 01/18/22 | 1,400 | 1,398,807 | ||||||||||||
Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes | 5.500% | 04/26/24 | 1,090 | 1,301,228 | ||||||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 2.804% | (s) | 01/15/30 | 950 | 653,788 | |||||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 2.967% | (s) | 04/15/30 | 2,100 | 1,433,011 | |||||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 2.875% | 02/01/27 | 410 | 419,612 | ||||||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 7.125% | 05/01/30 | 705 | 1,021,331 | ||||||||||||
Ukraine Government AID Bonds, U.S. Gov’t. Gtd. Notes | 1.471% | 09/29/21 | 800 | 782,194 | ||||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 348,379,636 | ||||||||||||||
|
| |||||||||||||||
U.S. TREASURY OBLIGATIONS — 4.4% | ||||||||||||||||
U.S. Treasury Bonds | 2.500% | 02/15/45 | 110 | 102,657 | ||||||||||||
U.S. Treasury Bonds | 3.000% | 02/15/47 | 6,700 | 6,911,465 | ||||||||||||
U.S. Treasury Bonds | 4.250% | 11/15/40 | 10,755 | 13,515,174 | ||||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 0.125% | 04/15/22 | 3,735 | 3,717,089 | ||||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 0.250% | 01/15/25 | 26,777 | 26,301,777 | ||||||||||||
U.S. Treasury Notes(a) | 1.750% | 05/31/22 | 2,330 | 2,316,348 | ||||||||||||
U.S. Treasury Notes | 1.750% | 06/30/22 | 630 | 625,915 | ||||||||||||
U.S. Treasury Notes | 1.875% | 04/30/22 | 2,735 | 2,734,467 | ||||||||||||
U.S. Treasury Notes | 2.000% | 05/31/24 | 3,605 | 3,575,990 | ||||||||||||
U.S. Treasury Notes | 2.000% | 06/30/24 | 16,585 | 16,438,588 | ||||||||||||
U.S. Treasury Notes | 2.125% | 06/30/21 | 23,810 | 24,152,269 | ||||||||||||
U.S. Treasury Notes | 2.125% | 09/30/21 | 42,715 | 43,297,333 | ||||||||||||
U.S. Treasury Notes | 2.125% | 05/15/25 | 15,885 | 15,785,099 | ||||||||||||
U.S. Treasury Strips Coupon | 2.184% | (s) | 02/15/28 | 5,465 | 4,201,055 | |||||||||||
U.S. Treasury Strips Coupon(k) | 2.241% | (s) | 05/15/28 | 2,735 | 2,086,622 | |||||||||||
U.S. Treasury Strips Coupon | 2.280% | (s) | 02/15/29 | 2,735 | 2,040,250 | |||||||||||
U.S. Treasury Strips Coupon | 2.384% | (s) | 05/15/29 | 5,640 | 4,174,931 | |||||||||||
U.S. Treasury Strips Coupon | 2.783% | (s) | 08/15/29 | 1,400 | 1,028,569 | |||||||||||
U.S. Treasury Strips Coupon | 2.878% | (s) | 05/15/31 | 1,400 | 972,019 | |||||||||||
U.S. Treasury Strips Coupon | 3.042% | (s) | 11/15/35 | 2,800 | 1,689,957 | |||||||||||
U.S. Treasury Strips Coupon | 3.202% | (s) | 08/15/40 | 2,800 | 1,433,060 | |||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 177,100,634 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 3,790,772,769 | ||||||||||||||
|
| |||||||||||||||
SHORT-TERM INVESTMENTS — 9.8% | Shares | |||||||||||||||
AFFILIATED MUTUAL FUNDS — 9.8% | ||||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(w) |
| 14,174,120 | 131,677,575 | |||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w) |
| 219,882,511 | 219,882,511 | |||||||||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund |
| 41,595,327 | 41,599,486 | |||||||||||||
|
| |||||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 393,159,572 | ||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A100
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
OPTIONS PURCHASED* — 0.0% | Interest Rate | Maturity Date | Notional Amount (000)# | Value | ||||||||||||
Call Options | ||||||||||||||||
10 Year U.S. Treasury Notes Futures, expiring 07/21/17, Strike Price $127.00 | 410 | $ | 32,031 | |||||||||||||
10 Year U.S. Treasury Notes Futures, expiring 07/21/17, Strike Price $130.00 | 410 | — | ||||||||||||||
|
| |||||||||||||||
TOTAL OPTIONS PURCHASED |
| 32,031 | ||||||||||||||
|
| |||||||||||||||
Principal Amount (000)# | ||||||||||||||||
U.S. TREASURY OBLIGATION — 0.0% | ||||||||||||||||
U.S. Treasury Bill | 0.979% | (n) | 09/21/17 | 150 | 149,676 | |||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 393,341,279 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 104.5% |
| 4,184,114,048 | ||||||||||||||
|
| |||||||||||||||
Notional Amount (000)# | ||||||||||||||||
OPTION WRITTEN* — (0.0)% | ||||||||||||||||
Call Option | ||||||||||||||||
10 Year U.S. Treasury Notes Futures, expiring 07/21/17, Strike Price $128.50 | 820 | (12,813 | ) | |||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 104.5% |
| 4,184,101,235 | ||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (4.5)% |
| (180,131,808 | ) | |||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 4,003,969,427 | |||||||||||||
|
|
See Glossary for abbreviations used in the semiannual report.
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
* | Non-income producing security. |
^ | Indicates a Level 3 security. The aggregate value of Level 3 securities is $18,329,375 and 0.5% of net assets. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $40,467,970; cash collateral of $41,566,070 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2017. |
(d) | Represents issuer in default on interest payments. Non-income producing security. Such securities may be post maturity. |
(f) | Indicates a restricted security; the aggregate original cost of such securities is $2,104,134. The aggregate value, $2,113,148, is approximately 0.1% of net assets. |
(g) | Indicates a security that has been deemed illiquid; the aggregate value of $6,248,921 is 0.2% of net assets. |
(k) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(n) | Rate quoted represents yield to maturity as of purchase date. |
(p) | Interest rate not available as of June 30, 2017. |
(r) | Less than $500 par. |
(s) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund, Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
A101
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
(hh) | Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements. |
(z) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2017:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2017 | Unrealized Appreciation (Depreciation) | |||||||||||||||
Long Positions: | ||||||||||||||||||||
49 | 10 Year U.S. Ultra Treasury Bonds | Sep. 2017 | $ | 6,640,918 | $ | 6,605,812 | $ | (35,106 | ) | |||||||||||
330 | 2 Year U.S. Treasury Notes | Sep. 2017 | 71,387,469 | 71,316,094 | (71,375 | ) | ||||||||||||||
569 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2017 | 92,522,770 | 94,382,875 | 1,860,105 | |||||||||||||||
1,335 | 5 Year U.S. Treasury Notes | Sep. 2017 | 157,709,322 | 157,310,977 | (398,345 | ) | ||||||||||||||
13 | Mini MSCI EAFE Index | Sep. 2017 | 1,224,316 | 1,228,240 | 3,924 | |||||||||||||||
|
| |||||||||||||||||||
1,359,203 | ||||||||||||||||||||
|
| |||||||||||||||||||
Short Positions: | ||||||||||||||||||||
85 | 10 Year U.S. Treasury Notes | Sep. 2017 | 10,685,960 | 10,670,156 | 15,804 | |||||||||||||||
473 | 20 Year U.S. Treasury Bonds | Sep. 2017 | 72,348,146 | 72,694,188 | (346,042 | ) | ||||||||||||||
|
| |||||||||||||||||||
(330,238 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
$ | 1,028,965 | |||||||||||||||||||
|
|
Securities with a combined market value of $2,628,137 have been segregated with Citigroup Global Markets and a security with a market value of $149,676 has been segregated with Goldman Sachs & Co. to cover requirements for open futures contracts at June 30, 2017.
Interest rate swap agreements outstanding at June 30, 2017:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2017 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally cleared swap agreements: | ||||||||||||||||||||||||
152,125 | 09/09/17 | 0.539% | 1 Day USOIS(1) | $ | 437 | $ | 362,732 | $ | 362,295 | |||||||||||||||
127,920 | 10/18/17 | 0.607% | 1 Day USOIS(1) | 265 | 321,349 | 321,084 | ||||||||||||||||||
71,095 | 11/09/17 | 0.626% | 1 Day USOIS(1) | 310 | 199,498 | 199,188 | ||||||||||||||||||
5,860 | 11/30/21 | 1.762% | 3 Month LIBOR(2) | — | (38,533 | ) | (38,533 | ) | ||||||||||||||||
2,730 | 05/31/23 | 1.203% | 3 Month LIBOR(1) | 165 | 125,619 | 125,454 | ||||||||||||||||||
2,470 | 05/31/23 | 1.399% | 3 Month LIBOR(1) | (44,913 | ) | 86,090 | 131,003 | |||||||||||||||||
10,615 | 08/15/23 | 1.459% | 3 Month LIBOR(1) | 503,843 | 314,574 | (189,269 | ) | |||||||||||||||||
6,926 | 11/15/23 | 2.209% | 3 Month LIBOR(1) | 132 | (72,016 | ) | (72,148 | ) | ||||||||||||||||
4,500 | 02/15/24 | 2.115% | 3 Month LIBOR(1) | 11,293 | (10,245 | ) | (21,538 | ) | ||||||||||||||||
9,164 | 02/15/24 | 2.151% | 3 Month LIBOR(1) | (9,366 | ) | (41,410 | ) | (32,044 | ) | |||||||||||||||
545 | 02/15/24 | 2.167% | 3 Month LIBOR(1) | (4,994 | ) | (3,008 | ) | 1,986 | ||||||||||||||||
4,980 | 02/15/24 | 2.183% | 3 Month LIBOR(1) | (9,862 | ) | (32,633 | ) | (22,771 | ) | |||||||||||||||
7,420 | 09/04/25 | 2.214% | 3 Month LIBOR(1) | 203 | (68,068 | ) | (68,271 | ) | ||||||||||||||||
28,775 | 01/08/26 | 2.210% | 3 Month LIBOR(1) | 292 | (260,424 | ) | (260,716 | ) | ||||||||||||||||
330 | 05/15/26 | 1.652% | 3 Month LIBOR(1) | 12 | 14,957 | 14,945 | ||||||||||||||||||
6,468 | 02/15/27 | 1.824% | 1 Day USOIS(1) | 59,900 | 90,865 | 30,965 | ||||||||||||||||||
8,300 | 02/15/36 | 2.338% | 3 Month LIBOR(2) | (51,426 | ) | (210,476 | ) | (159,050 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 456,291 | $ | 778,871 | $ | 322,580 | |||||||||||||||||||
|
|
|
|
|
|
Securities with a combined market value of $2,720,021 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate swap contracts at June 30, 2017.
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Fair value measurements:
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— | unadjusted quoted prices generally in active markets for identical securities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A102
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2017 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 2,346,306,645 | $ | 41,963,611 | $ | — | ||||||
Unaffiliated Exchange Traded Fund | 231,591 | — | — | |||||||||
Preferred Stocks | 571,560 | 455,229 | — | |||||||||
Asset-Backed Securities | ||||||||||||
Automobiles | — | 51,110,029 | 2,399,875 | |||||||||
Collateralized Loan Obligations | — | 60,564,887 | — | |||||||||
Consumer Loans | — | 12,620,162 | — | |||||||||
Credit Cards | — | 21,269,865 | — | |||||||||
Equipment | — | 3,507,735 | — | |||||||||
Home Equity Loans | — | 6,164,455 | 2,950,000 | |||||||||
Other | — | 1,684,411 | — | |||||||||
Residential Mortgage-Backed Securities | — | 6,574,785 | — | |||||||||
Bank Loans | — | 2,433,053 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 171,916,077 | — | |||||||||
Corporate Bonds | — | 397,877,579 | — | |||||||||
Municipal Bonds | — | 18,394,901 | — | |||||||||
Residential Mortgage-Backed Securities | — | 67,134,825 | 12,979,500 | |||||||||
Sovereign Bonds | — | 36,181,724 | — | |||||||||
U.S. Government Agency Obligations | — | 348,379,636 | — | |||||||||
U.S. Treasury Obligations | — | 177,250,310 | — | |||||||||
Affiliated Mutual Funds | 393,159,572 | — | — | |||||||||
Options Purchased | 32,031 | — | — | |||||||||
Option Written | (12,813 | ) | — | — | ||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 1,028,965 | — | — | |||||||||
Centrally Cleared Interest Rate Swap Agreements | — | 322,580 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 2,741,317,551 | $ | 1,425,805,854 | $ | 18,329,375 | ||||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.
Industry classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:
Affiliated Mutual Funds (including 1.0% of collateral for securities on loan) | 9.8 | % | ||
U.S. Government Agency Obligations | 8.7 | |||
Banks | 6.4 | |||
U.S. Treasury Obligations | 4.4 | |||
Commercial Mortgage-Backed Securities | 4.3 | |||
Software | 3.6 | |||
Internet Software & Services | 3.1 | |||
Oil, Gas & Consumable Fuels | 3.0 | |||
Pharmaceuticals | 2.8 | |||
Insurance | 2.6 | |||
Technology Hardware, Storage & Peripherals | 2.4 | |||
Semiconductors & Semiconductor Equipment | 2.3 | |||
Biotechnology | 2.3 |
Residential Mortgage-Backed Securities | 2.2 | % | ||
Health Care Equipment & Supplies | 2.1 | |||
Health Care Providers & Services | 2.0 | |||
Automobiles | 2.0 | |||
IT Services | 1.9 | |||
Media | 1.8 | |||
Diversified Telecommunication Services | 1.6 | |||
Chemicals | 1.6 | |||
Collateralized Loan Obligations | 1.5 | |||
Food & Staples Retailing | 1.5 | |||
Hotels, Restaurants & Leisure | 1.5 | |||
Aerospace & Defense | 1.5 | |||
Equity Real Estate Investment Trusts (REITs) | 1.3 | |||
Capital Markets | 1.3 |
SEE NOTES TO FINANCIAL STATEMENTS.
A103
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Industry classification (cont.)
Internet & Direct Marketing Retail | 1.2 | % | ||
Road & Rail | 1.0 | |||
Food Products | 1.0 | |||
Industrial Conglomerates | 1.0 | |||
Beverages | 0.9 | |||
Sovereign Bonds | 0.9 | |||
Machinery | 0.9 | |||
Specialty Retail | 0.9 | |||
Household Products | 0.8 | |||
Electric Utilities | 0.8 | |||
Diversified Financial Services | 0.8 | |||
Tobacco | 0.7 | |||
Electric | 0.7 | |||
Consumer Finance | 0.6 | |||
Metals & Mining | 0.6 | |||
Oil & Gas | 0.5 | |||
Credit Cards | 0.5 | |||
Household Durables | 0.5 | |||
Communications Equipment | 0.5 | |||
Municipal Bonds | 0.5 | |||
Air Freight & Logistics | 0.5 | |||
Electrical Equipment | 0.5 | |||
Distributors | 0.4 | |||
Multiline Retail | 0.4 | |||
Telecommunications | 0.4 | |||
Healthcare-Services | 0.4 | |||
Auto Manufacturers | 0.4 | |||
Textiles, Apparel & Luxury Goods | 0.4 | |||
Real Estate Management & Development | 0.4 | |||
Containers & Packaging | 0.3 | |||
Healthcare-Products | 0.3 | |||
Computers | 0.3 | |||
Construction & Engineering | 0.3 | |||
Consumer Loans | 0.3 | |||
Auto Components | 0.3 | |||
Independent Power & Renewable Electricity Producers | 0.3 | |||
Home Equity Loans | 0.2 | |||
Retail | 0.2 | |||
Airlines | 0.2 | |||
Gas Utilities | 0.2 | |||
Multi-Utilities | 0.2 | |||
Pipelines | 0.2 | |||
Life Sciences Tools & Services | 0.2 | |||
Multi-National | 0.1 |
Housewares | 0.1 | % | ||
Trading Companies & Distributors | 0.1 | |||
Oil & Gas Services | 0.1 | |||
Agriculture | 0.1 | |||
Lodging | 0.1 | |||
Energy Equipment & Services | 0.1 | |||
Wireless Telecommunication Services | 0.1 | |||
Commercial Services | 0.1 | |||
Semiconductors | 0.1 | |||
Building Products | 0.1 | |||
Equipment | 0.1 | |||
Gas | 0.1 | |||
Food | 0.1 | |||
Personal Products | 0.1 | |||
Forest Products & Paper | 0.1 | |||
Commercial Services & Supplies | 0.1 | |||
Technology | 0.1 | |||
Auto Parts & Equipment | 0.1 | |||
Professional Services | 0.1 | |||
Building Materials | 0.1 | |||
Transportation | 0.1 | |||
Mining | 0.1 | |||
Other | 0.1 | |||
Miscellaneous Manufacturing | 0.0 | * | ||
Packaging & Containers | 0.0 | * | ||
Savings & Loans | 0.0 | * | ||
Machinery-Diversified | 0.0 | * | ||
Health Care Technology | 0.0 | * | ||
Aerospace/Defense | 0.0 | * | ||
Real Estate Investment Trusts (REITs) | 0.0 | * | ||
Electronic Equipment, Instruments & Components | 0.0 | * | ||
Paper & Forest Products | 0.0 | * | ||
Home Builders | 0.0 | * | ||
Unaffiliated Exchange Traded Funds | 0.0 | * | ||
Transportation Infrastructure | 0.0 | * | ||
Real Estate | 0.0 | * | ||
Marine | 0.0 | * | ||
Options Purchased | 0.0 | * | ||
Leisure Products | 0.0 | * | ||
|
| |||
104.5 | ||||
Option Written | (0.0 | )* | ||
Liabilities in excess of other assets | (4.5 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of derivative instruments on the financial statements and primary underlying risk exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are equity contracts risk and interest rate contracts 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, 2017 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 | $ | 3,924 | * | — | $ | — | |||||
Interest rate contracts | Due from/to broker —variation margin futures | 1,875,909 | * | Due from/to broker —variation margin futures | 850,868 | * |
SEE NOTES TO FINANCIAL STATEMENTS.
A104
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Interest rate contracts | Due from/to broker — variation margin swaps | $ | 1,186,920 | * | Due from/to broker — variation margin swaps | $ | 864,340 | * | ||||
Interest rate contracts | Unaffiliated investments | 32,031 | Options written outstanding, at value | 12,813 | ||||||||
|
|
|
| |||||||||
Total | $ | 3,098,784 | $ | 1,728,021 | ||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2017 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(1) | Options Written | Futures | Forward Rate Agreements | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (268,098 | ) | $ | (268,098 | ) | ||||||||||
Equity contracts | — | — | 129,587 | — | — | 129,587 | ||||||||||||||||||
Interest rate contracts | (467,779 | ) | 119,368 | 4,091,918 | 32,034 | 1,570,400 | 5,345,941 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (467,779 | ) | $ | 119,368 | $ | 4,221,505 | $ | 32,034 | $ | 1,302,302 | $ | 5,207,430 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased(2) | Options Written | Futures | Swaps | Total | |||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | (108,099 | ) | $ | (108,099 | ) | ||||||||
Equity contracts | — | — | 9,949 | — | 9,949 | |||||||||||||||
Interest rate contracts | (129,700 | ) | 49,675 | 1,737,510 | (2,724,151 | ) | (1,066,666 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (129,700 | ) | $ | 49,675 | $ | 1,747,459 | $ | (2,832,250 | ) | $ | (1,164,816 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investment transactions in the Statement of Operations. |
For the six months ended June 30, 2017, the average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(3) | Futures | Futures | |||
$163,994 | $425,667 | $417,712,715 | $53,466,448 |
Credit Default | Interest Rate Swap | |
$34,333,333 | $465,551,333 |
(1) | Cost. |
(2) | Value at Trade Date. |
(3) | Notional Amount in USD. |
SEE NOTES TO FINANCIAL STATEMENTS.
A105
FLEXIBLE MANAGED PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Financial instruments/transactions — summary of offsetting and netting arrangements:
The Portfolio entered into financial instruments/transactions 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 financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received(2) | Net Amount | |||||||||
Securities on Loan | $ | 40,467,970 | $ | (40,467,970 | ) | $ | — | |||||
|
|
(1) | Amount represents market value. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A106
FLEXIBLE MANAGED PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2017
ASSETS | ||||
Investments at value, including securities on loan of $40,467,970: | ||||
Unaffiliated investments (cost $3,239,616,744) | $ | 3,790,954,476 | ||
Affiliated investments (cost $400,539,838) | 393,159,572 | |||
Cash | 143,247 | |||
Foreign currency, at value (cost $206,662) | 209,785 | |||
Receivable for investments sold | 130,296,374 | |||
Dividends and interest receivable | 9,544,161 | |||
Due from broker—variation margin futures | 975 | |||
Tax reclaim receivable | 659,862 | |||
Due from broker—variation margin swaps | 223,831 | |||
Receivable for Series shares sold | 902 | |||
Prepaid expenses | 4,307 | |||
Receivable from affiliate | 5,425 | |||
|
| |||
Total Assets | 4,325,202,917 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 275,958,051 | |||
Payable to broker for collateral for securities on loan | 41,566,070 | |||
Management fee payable | 1,986,174 | |||
Payable for Series shares repurchased | 933,501 | |||
Due to broker—variation margin futures | 371,300 | |||
Options written outstanding, at value (premiums received $62,488) | 12,813 | |||
Affiliated transfer agent fee payable | 980 | |||
Accrued expenses and other liabilities | 404,601 | |||
|
| |||
Total Liabilities | 321,233,490 | |||
|
| |||
NET ASSETS | $ | 4,003,969,427 | ||
|
| |||
Net assets were comprised of: | ||||
Paid-in capital | $ | 1,933,819,763 | ||
Retained earnings | 2,070,149,664 | |||
|
| |||
Net assets, June 30, 2017 | $ | 4,003,969,427 | ||
|
| |||
Net asset value and redemption price per share | $ | 27.53 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2017
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net) (foreign withholding tax $92,164, of which $17,954 is reimbursable by an affiliate) | $ | 24,506,878 | ||
Interest income (net) (foreign withholding taxes of $1,510) | 17,573,197 | |||
Affiliated dividend income | 2,362,068 | |||
Income from securities lending, net (including affiliated income of $55,981) | 67,401 | |||
|
| |||
Total income | 44,509,544 | |||
|
| |||
EXPENSES | ||||
Management fee | 11,840,540 | |||
Custodian and accounting fees | 257,000 | |||
Shareholders’ reports | 118,000 | |||
Audit fee | 22,000 | |||
Trustees’ fees | 22,000 | |||
Legal fees and expenses | 9,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Miscellaneous | 54,201 | |||
|
| |||
Total expenses | 12,328,741 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 32,180,803 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of: $8,659) | 156,434,790 | |||
Futures transactions | 4,221,505 | |||
Forward rate agreement transactions | 32,034 | |||
Options written transactions | 119,368 | |||
Short sales transactions | (225,630 | ) | ||
Swap agreement transactions | 1,302,302 | |||
Foreign currency transactions | (4,784 | ) | ||
|
| |||
161,879,585 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of: $276,932) | 35,556,597 | |||
Futures | 1,747,459 | |||
Options written | 49,675 | |||
Swap agreements | (2,832,250 | ) | ||
Foreign currencies | 59,188 | |||
|
| |||
34,580,669 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 196,460,254 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 228,641,057 | ||
|
|
STATEMENT OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 32,180,803 | $ | 67,711,730 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 161,879,585 | 129,427,295 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 34,580,669 | 111,497,510 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 228,641,057 | 308,636,535 | ||||||
|
|
|
| |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [109,356 and 950,649 shares, respectively] | 2,951,309 | 23,434,776 | ||||||
Series shares repurchased [4,352,986 and 8,662,738 shares, respectively] | (117,456,163 | ) | (214,255,950 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (114,504,854 | ) | (190,821,174 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 3,201,924 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 114,136,203 | 121,017,285 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 3,889,833,224 | 3,768,815,939 | ||||||
|
|
|
| |||||
End of period | $ | 4,003,969,427 | $ | 3,889,833,224 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A107
GLOBAL PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
LONG-TERM INVESTMENTS — 96.3% | ||||||||
COMMON STOCKS — 96.0% | Shares | Value | ||||||
Australia — 2.2% |
| |||||||
Arrium Ltd.*^(g) | 894,400 | $ | 69 | |||||
Asaleo Care Ltd. | 733,400 | 827,909 | ||||||
Ausdrill Ltd. | 123,200 | 173,813 | ||||||
Bendigo & Adelaide Bank Ltd. | 158,500 | 1,349,242 | ||||||
BHP Billiton PLC | 202,794 | 3,106,964 | ||||||
Caltex Australia Ltd. | 26,000 | 631,364 | ||||||
CSL Ltd. | 39,297 | 4,170,571 | ||||||
CSR Ltd. | 334,900 | 1,088,424 | ||||||
Downer EDI Ltd. | 182,200 | 897,497 | ||||||
Fortescue Metals Group Ltd. | 129,900 | 520,001 | ||||||
Harvey Norman Holdings Ltd.(a) | 168,800 | 495,678 | ||||||
LendLease Group | 124,300 | 1,590,862 | ||||||
Macquarie Group Ltd. | 51,282 | 3,487,366 | ||||||
Metcash Ltd.* | 412,500 | 760,960 | ||||||
Mineral Resources Ltd. | 64,000 | 533,334 | ||||||
Myer Holdings Ltd.(a) | 567,600 | 364,310 | ||||||
National Australia Bank Ltd. | 33,588 | 764,073 | ||||||
Qantas Airways Ltd. | 387,619 | 1,703,793 | ||||||
Wesfarmers Ltd. | 32,100 | 989,801 | ||||||
|
| |||||||
23,456,031 | ||||||||
|
| |||||||
Austria — 0.3% |
| |||||||
OMV AG | 36,200 | 1,880,328 | ||||||
Voestalpine AG | 28,800 | 1,342,365 | ||||||
|
| |||||||
3,222,693 | ||||||||
|
| |||||||
Belgium — 0.3% |
| |||||||
AGFA-Gevaert NV* | 86,100 | 418,843 | ||||||
Bekaert SA | 13,500 | 686,810 | ||||||
KBC Group NV | 21,519 | 1,631,554 | ||||||
Ontex Group NV | 21,400 | 760,255 | ||||||
|
| |||||||
3,497,462 | ||||||||
|
| |||||||
Bermuda — 0.3% |
| |||||||
XL Group Ltd. | 78,402 | 3,434,008 | ||||||
|
| |||||||
Brazil — 0.2% |
| |||||||
Cielo SA | 263,000 | 1,960,850 | ||||||
|
| |||||||
Canada — 2.6% |
| |||||||
Brookfield Asset Management, Inc. (Class A Stock) | 112,409 | 4,407,557 | ||||||
Canadian National Railway Co. | 62,507 | 5,071,704 | ||||||
Canadian Natural Resources Ltd. | 79,700 | 2,298,548 | ||||||
Canadian Pacific Railway Ltd. | 13,323 | 2,142,472 | ||||||
Constellation Software, Inc. | 6,837 | 3,576,719 | ||||||
Suncor Energy, Inc. | 105,302 | 3,076,722 | ||||||
Toronto-Dominion Bank (The) | 73,986 | 3,728,397 | ||||||
TransCanada Corp.(a) | 50,852 | 2,424,115 | ||||||
|
| |||||||
26,726,234 | ||||||||
|
| |||||||
China — 2.1% |
| |||||||
Alibaba Group Holding Ltd., ADR*(a) | 73,998 | 10,426,318 | ||||||
China Merchants Bank Co. Ltd. (Class H Stock) | 1,103,000 | 3,323,760 | ||||||
China Resources Cement Holdings Ltd. | 886,000 | 440,194 | ||||||
NetEase, Inc., ADR | 10,421 | 3,132,865 | ||||||
Tencent Holdings Ltd. | 113,600 | 4,075,396 | ||||||
|
| |||||||
21,398,533 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Denmark — 0.6% |
| |||||||
Danske Bank A/S | 61,200 | $ | 2,354,553 | |||||
Dfds A/S | 11,300 | 602,414 | ||||||
Novo Nordisk A/S (Class B Stock) | 76,777 | 3,298,899 | ||||||
|
| |||||||
6,255,866 | ||||||||
|
| |||||||
Finland — 0.5% |
| |||||||
Sampo OYJ (Class A Stock) | 65,912 | 3,381,663 | ||||||
Tieto OYJ | 18,100 | 559,951 | ||||||
UPM-Kymmene OYJ | 57,300 | 1,633,897 | ||||||
|
| |||||||
5,575,511 | ||||||||
|
| |||||||
France — 4.8% |
| |||||||
Arkema SA | 33,507 | 3,578,278 | ||||||
Atos SE | 15,600 | 2,188,850 | ||||||
AXA SA | 46,300 | 1,267,852 | ||||||
BNP Paribas SA | 85,753 | 6,173,605 | ||||||
Carrefour SA | 47,800 | 1,208,479 | ||||||
Cie Generale des Etablissements Michelin | 12,000 | 1,597,132 | ||||||
CNP Assurances | 46,700 | 1,048,240 | ||||||
Credit Agricole SA | 78,500 | 1,264,509 | ||||||
Electricite de France SA | 61,800 | 669,602 | ||||||
Engie SA | 35,200 | 531,301 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 18,720 | 4,681,047 | ||||||
Orange SA | 79,700 | 1,268,421 | ||||||
Renault SA | 12,300 | 1,112,849 | ||||||
Sanofi | 39,200 | 3,756,151 | ||||||
SCOR SE | 22,000 | 874,013 | ||||||
Societe Generale SA | 28,600 | 1,542,278 | ||||||
TOTAL SA | 114,875 | 5,703,213 | ||||||
TOTAL SA, ADR(a) | 125,450 | 6,221,065 | ||||||
Valeo SA | 84,650 | 5,695,173 | ||||||
|
| |||||||
50,382,058 | ||||||||
|
| |||||||
Germany — 3.1% |
| |||||||
Allianz SE | 9,800 | 1,933,957 | ||||||
Aurubis AG | 14,200 | 1,117,064 | ||||||
BASF SE | 16,400 | 1,522,072 | ||||||
Bayer AG | 14,100 | 1,827,508 | ||||||
Bayerische Motoren Werke AG | 12,200 | 1,134,691 | ||||||
Daimler AG | 27,600 | 2,001,795 | ||||||
Deutsche Bank AG | 40,650 | 722,750 | ||||||
Deutsche Lufthansa AG | 54,200 | 1,235,196 | ||||||
Deutsche Post AG | 34,500 | 1,295,072 | ||||||
Evonik Industries AG | 36,500 | 1,168,213 | ||||||
Hannover Rueck SE | 4,500 | 540,512 | ||||||
Infineon Technologies AG | 195,151 | 4,145,128 | ||||||
METRO AG | 46,000 | 1,553,982 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 5,300 | 1,072,473 | ||||||
Rational AG | 2,475 | 1,319,769 | ||||||
Rheinmetall AG | 13,300 | 1,265,945 | ||||||
Siemens AG | 46,353 | 6,376,052 | ||||||
STADA Arzneimittel AG | 8,100 | 575,352 | ||||||
Uniper SE | 38,700 | 727,186 | ||||||
Volkswagen AG | 7,400 | 1,149,338 | ||||||
|
| |||||||
32,684,055 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A108
GLOBAL PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Hong Kong — 1.5% |
| |||||||
AIA Group Ltd. | 737,600 | $ | 5,396,548 | |||||
Kingboard Chemical Holdings Ltd. | 216,000 | 859,842 | ||||||
Lee & Man Paper Manufacturing Ltd. | 1,244,000 | 1,154,184 | ||||||
PCCW Ltd. | 870,000 | 494,433 | ||||||
Sands China Ltd. | 660,000 | 3,021,176 | ||||||
Singamas Container Holdings Ltd.* | 2,676,000 | 414,650 | ||||||
Skyworth Digital Holdings Ltd. | 1,072,000 | 665,592 | ||||||
WH Group Ltd., 144A | 1,914,500 | 1,933,208 | ||||||
Wheelock & Co. Ltd. | 97,000 | 731,632 | ||||||
Yue Yuen Industrial Holdings Ltd. | 220,500 | 914,522 | ||||||
|
| |||||||
15,585,787 | ||||||||
|
| |||||||
India — 0.7% |
| |||||||
HDFC Bank Ltd., ADR | 67,205 | 5,844,819 | ||||||
Tata Motors Ltd., ADR(a) | 31,807 | 1,049,949 | ||||||
|
| |||||||
6,894,768 | ||||||||
|
| |||||||
Ireland — 0.9% |
| |||||||
Kingspan Group PLC | 103,361 | 3,549,512 | ||||||
Ryanair Holdings PLC, ADR* | 40,671 | 4,376,606 | ||||||
Smurfit Kappa Group PLC | 35,200 | 1,094,482 | ||||||
|
| |||||||
9,020,600 | ||||||||
|
| |||||||
Israel — 0.1% |
| |||||||
Bank Hapoalim BM | 125,500 | 846,268 | ||||||
Teva Pharmaceutical Industries Ltd. | 16,300 | 537,426 | ||||||
|
| |||||||
1,383,694 | ||||||||
|
| |||||||
Italy — 0.5% |
| |||||||
A2A SpA | 782,400 | 1,300,938 | ||||||
Astaldi SpA(a) | 62,200 | 387,165 | ||||||
Enel SpA | 483,600 | 2,593,792 | ||||||
Leonardo SpA | 21,400 | 356,306 | ||||||
Mediobanca SpA | 87,600 | 866,632 | ||||||
|
| |||||||
5,504,833 | ||||||||
|
| |||||||
Japan — 7.6% |
| |||||||
Aisan Industry Co. Ltd. | 68,400 | 542,402 | ||||||
Aoyama Trading Co. Ltd. | 9,900 | 353,382 | ||||||
Asahi Kasei Corp. | 103,000 | 1,111,196 | ||||||
Astellas Pharma, Inc. | 75,600 | 926,607 | ||||||
cocokara fine, Inc. | 17,000 | 840,977 | ||||||
Concordia Financial Group Ltd. | 121,000 | 613,275 | ||||||
Daikin Industries Ltd. | 41,400 | 4,247,311 | ||||||
Dowa Holdings Co. Ltd. | 75,000 | 568,875 | ||||||
Enplas Corp. | 18,500 | 570,824 | ||||||
FANUC Corp. | 20,000 | 3,870,915 | ||||||
Fujikura Ltd. | 200,200 | 1,684,188 | ||||||
Fujitec Co. Ltd. | 63,600 | 834,089 | ||||||
Hazama Ando Corp. | 85,900 | 542,138 | ||||||
Heiwa Corp. | 34,800 | 776,895 | ||||||
Hoya Corp. | 52,900 | 2,754,047 | ||||||
Isuzu Motors Ltd. | 78,200 | 971,038 | ||||||
ITOCHU Corp. | 37,100 | 552,379 | ||||||
Japan Airlines Co. Ltd. | 28,000 | 867,319 | ||||||
Kaneka Corp. | 74,000 | 566,355 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Japan (continued) | ||||||||
KDDI Corp. | 88,400 | $ | 2,337,970 | |||||
Keihin Corp. | 54,300 | 743,940 | ||||||
Keyence Corp. | 9,800 | 4,314,233 | ||||||
Komori Corp. | 40,000 | 515,600 | ||||||
Konica Minolta, Inc. | 129,600 | 1,081,234 | ||||||
Kureha Corp. | 25,500 | 1,263,918 | ||||||
KYORIN Holdings, Inc. | 37,400 | 830,926 | ||||||
Kyowa Exeo Corp. | 66,900 | 1,127,994 | ||||||
Lintec Corp. | 30,000 | 718,850 | ||||||
Marubeni Corp. | 109,700 | 710,709 | ||||||
Matsumotokiyoshi Holdings Co. Ltd. | 15,400 | 877,250 | ||||||
Mazda Motor Corp. | 56,700 | 796,572 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 46,900 | 996,128 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 783,200 | 5,282,722 | ||||||
Mixi, Inc. | 17,800 | 990,557 | ||||||
Mizuho Financial Group, Inc. | 597,700 | 1,095,867 | ||||||
NEC Corp. | 213,000 | 566,240 | ||||||
Nippon Prologis REIT, Inc. | 949 | 2,019,975 | ||||||
Nippon Telegraph & Telephone Corp. | 73,700 | 3,478,943 | ||||||
Nishi-Nippon Financial Holdings, Inc. | 48,600 | 506,713 | ||||||
Nissan Motor Co. Ltd. | 161,600 | 1,613,565 | ||||||
Nisshinbo Holdings, Inc. | 81,000 | 824,163 | ||||||
Nitori Holdings Co. Ltd. | 23,800 | 3,185,946 | ||||||
NTT DOCOMO, Inc. | 39,300 | 929,472 | ||||||
ORIX Corp. | 194,900 | 3,032,617 | ||||||
Park24 Co. Ltd. | 31,900 | 811,739 | ||||||
Resona Holdings, Inc. | 355,300 | 1,962,610 | ||||||
Sankyu, Inc. | 126,000 | 824,318 | ||||||
Sawai Pharmaceutical Co. Ltd. | 9,200 | 516,693 | ||||||
Seino Holdings Co. Ltd. | 52,600 | 701,234 | ||||||
Shimachu Co. Ltd. | 30,700 | 732,464 | ||||||
SKY Perfect JSAT Holdings, Inc. | 151,000 | 650,401 | ||||||
Sumitomo Heavy Industries Ltd. | 84,000 | 557,393 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 33,900 | 1,323,607 | ||||||
Sumitomo Osaka Cement Co. Ltd. | 184,500 | 877,439 | ||||||
T-Gaia Corp. | 39,300 | 746,636 | ||||||
Toagosei Co. Ltd. | 73,500 | 958,727 | ||||||
Toho Holdings Co. Ltd. | 36,900 | 727,824 | ||||||
Towa Pharmaceutical Co. Ltd. | 9,400 | 439,345 | ||||||
Toyo Tire & Rubber Co. Ltd. | 35,200 | 721,128 | ||||||
Toyoda Gosei Co. Ltd. | 33,200 | 795,520 | ||||||
Toyota Motor Corp. | 15,730 | 826,824 | ||||||
Tsubakimoto Chain Co. | 85,000 | 736,100 | ||||||
Ube Industries Ltd. | 301,000 | 776,973 | ||||||
Yokohama Rubber Co. Ltd. (The) | 45,000 | 907,163 | ||||||
|
| |||||||
79,630,454 | ||||||||
|
| |||||||
Liechtenstein — 0.0% |
| |||||||
VP Bank AG | 1,765 | 219,260 | ||||||
|
| |||||||
Luxembourg — 0.2% |
| |||||||
Tenaris SA | 114,056 | 1,780,844 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A109
GLOBAL PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Netherlands — 2.5% |
| |||||||
ABN AMRO Group NV, CVA, 144A | 28,800 | $ | 762,967 | |||||
Aegon NV | 95,000 | 486,202 | ||||||
ING Groep NV, CVA | 75,400 | 1,301,616 | ||||||
Koninklijke Ahold Delhaize NV | 41,800 | 797,848 | ||||||
Koninklijke Philips NV | 151,859 | 5,405,992 | ||||||
NN Group NV | 38,700 | 1,373,197 | ||||||
NXP Semiconductors NV* | 89,626 | 9,809,566 | ||||||
Royal Dutch Shell PLC (Class A Stock) | 145,531 | 3,869,665 | ||||||
Royal Dutch Shell PLC (Class A Stock), ADR | 29,350 | 1,561,126 | ||||||
Royal Dutch Shell PLC (Class B Stock) | 36,900 | 990,638 | ||||||
|
| |||||||
26,358,817 | ||||||||
|
| |||||||
New Zealand — 0.2% |
| |||||||
Air New Zealand Ltd. | 606,600 | 1,449,412 | ||||||
Fletcher Building Ltd. | 88,500 | 518,248 | ||||||
|
| |||||||
1,967,660 | ||||||||
|
| |||||||
Norway — 0.3% |
| |||||||
DNB ASA | 68,200 | 1,161,091 | ||||||
Salmar ASA | 31,900 | 790,712 | ||||||
Statoil ASA | 37,300 | 618,514 | ||||||
Yara International ASA | 23,200 | 872,373 | ||||||
|
| |||||||
3,442,690 | ||||||||
|
| |||||||
Portugal — 0.0% |
| |||||||
EDP – Energias de Portugal SA | 99,500 | 325,487 | ||||||
|
| |||||||
Singapore — 0.1% |
| |||||||
DBS Group Holdings Ltd. | 81,200 | 1,222,123 | ||||||
|
| |||||||
South Africa — 0.3% |
| |||||||
Bid Corp. Ltd. | 93,746 | 2,141,469 | ||||||
Mondi PLC | 37,200 | 975,455 | ||||||
|
| |||||||
3,116,924 | ||||||||
|
| |||||||
Spain — 0.9% |
| |||||||
Amadeus IT Group SA (Class A Stock) | 47,137 | 2,817,654 | ||||||
Banco Santander SA | 137,900 | 915,641 | ||||||
Distribuidora Internacional de Alimentacion SA | 175,100 | 1,092,693 | ||||||
Gas Natural SDG SA | 47,300 | 1,107,223 | ||||||
Iberdrola SA | 150,200 | 1,190,251 | ||||||
Mapfre SA | 219,300 | 767,598 | ||||||
Repsol SA | 73,100 | 1,120,704 | ||||||
|
| |||||||
9,011,764 | ||||||||
|
| |||||||
Sweden — 1.1% |
| |||||||
Atlas Copco AB (Class A Stock) | 104,447 | 4,016,174 | ||||||
Boliden AB | 21,500 | 587,701 | ||||||
Electrolux AB (Class B Stock) | 22,600 | 741,082 | ||||||
Hexagon AB (Class B Stock) | 64,954 | 3,085,942 | ||||||
JM AB | 25,700 | 910,540 | ||||||
Nordea Bank AB | 83,600 | 1,064,766 | ||||||
Swedbank AB (Class A Stock) | 29,700 | 724,854 | ||||||
Telia Co. AB | 138,400 | 637,829 | ||||||
|
| |||||||
11,768,888 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Switzerland — 3.0% |
| |||||||
ALSO Holding AG* | 1,335 | $ | 171,448 | |||||
Aryzta AG | 18,700 | 616,731 | ||||||
Baloise Holding AG | 10,300 | 1,595,467 | ||||||
Bucher Industries AG | 1,070 | 336,631 | ||||||
Cembra Money Bank AG | 5,400 | 511,773 | ||||||
Credit Suisse Group AG | 113,100 | 1,645,717 | ||||||
Geberit AG | 7,297 | 3,407,409 | ||||||
Georg Fischer AG | 1,100 | 1,066,977 | ||||||
Helvetia Holding AG | 1,800 | 1,032,310 | ||||||
Lonza Group AG | 18,176 | 3,937,216 | ||||||
Partners Group Holding AG | 5,313 | 3,298,898 | ||||||
Roche Holding AG | 10,800 | 2,759,561 | ||||||
Swiss Life Holding AG | 7,200 | 2,435,559 | ||||||
Swiss Re AG | 22,700 | 2,080,291 | ||||||
UBS Group AG | 66,800 | 1,135,993 | ||||||
Wolseley PLC | 64,939 | 3,985,829 | ||||||
Zurich Insurance Group AG | 5,700 | 1,663,539 | ||||||
|
| |||||||
31,681,349 | ||||||||
|
| |||||||
Taiwan — 0.4% |
| |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 648,000 | 4,427,274 | ||||||
|
| |||||||
United Kingdom — 6.4% |
| |||||||
3i Group PLC | 120,600 | 1,417,967 | ||||||
Ashtead Group PLC | 35,000 | 724,246 | ||||||
AstraZeneca PLC | 11,300 | 756,918 | ||||||
Aviva PLC | 164,200 | 1,126,314 | ||||||
BAE Systems PLC | 802,386 | 6,623,955 | ||||||
Barclays PLC | 266,300 | 704,307 | ||||||
Barratt Developments PLC | 109,300 | 802,733 | ||||||
Beazley PLC | 129,500 | 823,665 | ||||||
Bellway PLC | 25,400 | 985,653 | ||||||
Berkeley Group Holdings PLC | 25,300 | 1,063,859 | ||||||
Bovis Homes Group PLC | 66,300 | 825,499 | ||||||
BP PLC | 355,000 | 2,049,132 | ||||||
BT Group PLC | 365,300 | 1,404,675 | ||||||
Carillion PLC(a) | 145,900 | 354,834 | ||||||
Centrica PLC | 289,000 | 753,500 | ||||||
Compass Group PLC | 218,027 | 4,602,040 | ||||||
Crest Nicholson Holdings PLC | 143,814 | 981,482 | ||||||
Debenhams PLC | 301,400 | 170,107 | ||||||
easyJet PLC | 25,500 | 451,737 | ||||||
Experian PLC | 188,665 | 3,871,962 | ||||||
GKN PLC | 188,200 | 799,398 | ||||||
GlaxoSmithKline PLC | 130,000 | 2,767,358 | ||||||
Go-Ahead Group PLC | 34,500 | 790,648 | ||||||
Inchcape Plc | 66,600 | 654,672 | ||||||
Intermediate Capital Group PLC | 53,155 | 576,436 | ||||||
International Consolidated Airlines Group SA | 150,000 | 1,192,475 | ||||||
J Sainsbury PLC | 536,900 | 1,761,076 | ||||||
Keller Group PLC | 48,200 | 552,450 | ||||||
Kingfisher PLC | 160,800 | 629,843 | ||||||
Legal & General Group PLC | 260,000 | 874,905 | �� | |||||
Lloyds Banking Group PLC | 1,133,000 | 976,398 | ||||||
Man Group PLC | 308,300 | 622,113 | ||||||
Marks & Spencer Group PLC | 142,500 | 618,471 |
SEE NOTES TO FINANCIAL STATEMENTS.
A110
GLOBAL PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
United Kingdom (continued) | ||||||||
Meggitt PLC | 108,000 | $ | 671,089 | |||||
Micro Focus International PLC | 66,489 | 1,966,035 | ||||||
Mitie Group PLC(a) | 247,100 | 890,724 | ||||||
National Express Group PLC | 154,700 | 738,811 | ||||||
Old Mutual PLC | 274,800 | 693,291 | ||||||
Paragon Group of Cos. PLC (The) | 105,900 | 589,071 | ||||||
Premier Foods PLC* | 357,756 | 188,916 | ||||||
QinetiQ Group PLC | 214,000 | 753,882 | ||||||
RELX PLC | 167,753 | 3,626,335 | ||||||
Rio Tinto Ltd. | 18,800 | 913,652 | ||||||
Royal Mail PLC | 120,900 | 663,221 | ||||||
SSE PLC | 51,500 | 974,451 | ||||||
St. James’s Place PLC | 161,171 | 2,484,227 | ||||||
Unilever NV, CVA | 73,062 | 4,033,162 | ||||||
Vesuvius PLC | 81,100 | 560,445 | ||||||
WPP PLC | 192,077 | 4,044,525 | ||||||
|
| |||||||
67,102,665 | ||||||||
|
| |||||||
United States — 52.2% |
| |||||||
A.O. Smith Corp. | 118,718 | 6,687,385 | ||||||
Adobe Systems, Inc.* | 82,983 | 11,737,116 | ||||||
Aetna, Inc. | 34,450 | 5,230,543 | ||||||
Alphabet, Inc. (Class A Stock)* | 3,269 | 3,039,124 | ||||||
Alphabet, Inc. (Class C Stock)* | 11,194 | 10,172,324 | ||||||
Amazon.com, Inc.* | 12,914 | 12,500,752 | ||||||
American Express Co. | 35,650 | 3,003,156 | ||||||
American International Group, Inc. | 23,900 | 1,494,228 | ||||||
Ameriprise Financial, Inc. | 26,100 | 3,322,269 | ||||||
Amphenol Corp. (Class A Stock) | 145,544 | 10,744,058 | ||||||
ANSYS, Inc.* | 49,921 | 6,074,387 | ||||||
Apache Corp.(a) | 49,000 | 2,348,570 | ||||||
Apple, Inc. | 22,050 | 3,175,641 | ||||||
Applied Materials, Inc. | 67,350 | 2,782,229 | ||||||
Bank of New York Mellon Corp. (The) | 106,250 | 5,420,875 | ||||||
Becton, Dickinson & Co. | 8,444 | 1,647,509 | ||||||
Boeing Co. (The) | 24,450 | 4,834,987 | ||||||
Bristol-Myers Squibb Co. | 12,400 | 690,928 | ||||||
Bunge Ltd. | 39,900 | 2,976,540 | ||||||
Carnival Corp. | 36,350 | 2,383,470 | ||||||
CF Industries Holdings, Inc.(a) | 76,650 | 2,143,134 | ||||||
Cisco Systems, Inc. | 154,850 | 4,846,805 | ||||||
Citigroup, Inc. | 89,650 | 5,995,792 | ||||||
Comcast Corp. (Class A Stock) | 131,000 | 5,098,520 | ||||||
Costco Wholesale Corp. | 52,854 | 8,452,940 | ||||||
Coty, Inc. (Class A Stock)(a) | 54,880 | 1,029,549 | ||||||
Cummins, Inc. | 11,485 | 1,863,097 | ||||||
Danaher Corp. | 135,392 | 11,425,731 | ||||||
DexCom, Inc.*(a) | 63,906 | 4,674,724 | ||||||
E.I. du Pont de Nemours & Co. | 50,600 | 4,083,926 | ||||||
Ecolab, Inc. | 81,143 | 10,771,733 | ||||||
Edwards Lifesciences Corp.* | 54,283 | 6,418,422 | ||||||
EQT Corp. | 27,767 | 1,626,869 | ||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 96,161 | 9,229,533 | ||||||
Exelon Corp. | 119,300 | 4,303,151 | ||||||
Exxon Mobil Corp. | 66,750 | 5,388,727 |
COMMON STOCKS (continued) | Shares | Value | ||||||
United States (continued) | ||||||||
Facebook, Inc. (Class A Stock)* | 88,042 | $ | 13,292,581 | |||||
Fifth Third Bancorp | 216,500 | 5,620,340 | ||||||
FleetCor Technologies, Inc.* | 49,333 | 7,114,312 | ||||||
Fortive Corp. | 140,518 | 8,901,815 | ||||||
General Electric Co. | 152,450 | 4,117,675 | ||||||
General Motors Co. | 35,750 | 1,248,748 | ||||||
Genpact Ltd. | 242,907 | 6,760,102 | ||||||
Gilead Sciences, Inc. | 31,600 | 2,236,648 | ||||||
Hess Corp.(a) | 54,650 | 2,397,496 | ||||||
Hologic, Inc.* | 63,650 | 2,888,437 | ||||||
Illinois Tool Works, Inc. | 25,300 | 3,624,225 | ||||||
International Paper Co. | 46,950 | 2,657,840 | ||||||
Intuit, Inc. | 62,847 | 8,346,710 | ||||||
Intuitive Surgical, Inc.* | 11,464 | 10,723,082 | ||||||
Invesco Ltd. | 50,900 | 1,791,171 | ||||||
Johnson & Johnson | 47,200 | 6,244,088 | ||||||
Johnson Controls International PLC | 106,798 | 4,630,761 | ||||||
JPMorgan Chase & Co. | 137,350 | 12,553,790 | ||||||
Kohl’s Corp.(a) | 39,550 | 1,529,399 | ||||||
Las Vegas Sands Corp. | 31,900 | 2,038,091 | ||||||
Loews Corp. | 73,900 | 3,459,259 | ||||||
Lowe’s Cos., Inc. | 37,200 | 2,884,116 | ||||||
Marsh & McLennan Cos., Inc. | 50,680 | 3,951,013 | ||||||
Mattel, Inc.(a) | 88,850 | 1,912,941 | ||||||
Medtronic PLC | 65,721 | 5,832,739 | ||||||
Merck & Co., Inc. | 91,500 | 5,864,235 | ||||||
MetLife, Inc. | 97,550 | 5,359,397 | ||||||
Microsoft Corp. | 117,431 | 8,094,519 | ||||||
Morgan Stanley | 161,200 | 7,183,072 | ||||||
News Corp. (Class A Stock) | 142,900 | 1,957,730 | ||||||
Occidental Petroleum Corp. | 58,600 | 3,508,382 | ||||||
PayPal Holdings, Inc.* | 207,147 | 11,117,579 | ||||||
PepsiCo, Inc. | 39,950 | 4,613,826 | ||||||
Perrigo Co. PLC(a) | 31,450 | 2,375,104 | ||||||
Pfizer, Inc. | 174,950 | 5,876,570 | ||||||
PG&E Corp. | 125,900 | 8,355,983 | ||||||
Philip Morris International, Inc. | 59,050 | 6,935,422 | ||||||
Priceline Group, Inc. (The)* | 2,395 | 4,479,895 | ||||||
Procter & Gamble Co. (The) | 31,896 | 2,779,736 | ||||||
QUALCOMM, Inc. | 74,450 | 4,111,129 | ||||||
Raytheon Co. | 12,535 | 2,024,152 | ||||||
Roper Technologies, Inc. | 45,710 | 10,583,236 | ||||||
salesforce.com, Inc.* | 104,784 | 9,074,294 | ||||||
SBA Communications Corp.* | 70,654 | 9,531,225 | ||||||
Shire PLC | 9,131 | 503,476 | ||||||
Southern Co. (The) | 78,650 | 3,765,762 | ||||||
Southwest Airlines Co. | 51,500 | 3,200,210 | ||||||
Starbucks Corp. | 115,785 | 6,751,423 | ||||||
Stericycle, Inc.* | 23,070 | 1,760,702 | ||||||
TE Connectivity Ltd. | 35,750 | 2,812,810 | ||||||
Texas Instruments, Inc. | 25,500 | 1,961,715 | ||||||
Thermo Fisher Scientific, Inc. | 61,078 | 10,656,279 | ||||||
TJX Cos., Inc. (The) | 94,177 | 6,796,754 | ||||||
TripAdvisor, Inc.*(a) | 148,452 | 5,670,866 | ||||||
Twenty-First Century Fox, Inc. (Class B Stock) | 172,150 | 4,797,821 |
SEE NOTES TO FINANCIAL STATEMENTS.
A111
GLOBAL PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
United States (continued) | ||||||||
Tyson Foods, Inc. (Class A Stock) | 81,550 | $ | 5,107,476 | |||||
U.S. Bancorp | 87,950 | 4,566,364 | ||||||
United Technologies Corp. | 27,500 | 3,358,025 | ||||||
VEREIT, Inc. | 231,845 | 1,887,218 | ||||||
Verizon Communications, Inc. | 82,300 | 3,675,518 | ||||||
Visa, Inc. (Class A Stock)(a) | 142,325 | 13,347,238 | ||||||
Vulcan Materials Co. | 15,350 | 1,944,538 | ||||||
Wabtec Corp.(a) | 78,705 | 7,201,507 | ||||||
Wal-Mart Stores, Inc. | 43,300 | 3,276,944 | ||||||
Wells Fargo & Co. | 147,050 | 8,148,040 | ||||||
Westar Energy, Inc. | 20,700 | 1,097,514 | ||||||
Weyerhaeuser Co. | 59,250 | 1,984,875 | ||||||
Yum China Holdings, Inc.* | 90,570 | 3,571,175 | ||||||
Zoetis, Inc. | 179,715 | 11,210,622 | ||||||
|
| |||||||
547,256,481 | ||||||||
|
| |||||||
Zambia — 0.1% |
| |||||||
First Quantum Minerals Ltd. | 120,679 | 1,020,858 | ||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 1,007,316,521 | ||||||
|
| |||||||
PREFERRED STOCKS — 0.3% | ||||||||
United States — 0.3% |
| |||||||
Becton, Dickinson & Co.* | 11,615 | 636,270 | ||||||
NextEra Energy, Inc.*(a) | 46,848 | 2,530,260 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS |
| 3,166,530 | ||||||
|
| |||||||
Units | ||||||||
RIGHTS* — 0.0% | ||||||||
Spain | ||||||||
Repsol SA, expiring 07/03/2017(a) | 73,100 | 33,397 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 1,010,516,448 | ||||||
|
| |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS — 9.7% | ||||||||
AFFILIATED MUTUAL FUNDS | ||||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w) | 41,132,252 | 41,132,252 | ||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund | 59,914,457 | 59,920,449 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 101,052,701 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 106.0% |
| 1,111,569,149 | ||||||
LIABILITIES IN EXCESS OF |
| (62,526,584 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 1,049,042,565 | |||||
|
|
See the Glossary for abbreviations used in the semiannual report.
* | Non-income producing security. |
^ | Indicates a Level 3 security. The aggregate value of Level 3 securities is $69 and 0.0% of net assets. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $58,575,784; cash collateral of $59,858,177 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(g) | Indicates a security that has been deemed illiquid; the aggregate value of $69 is 0.0% of net assets. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund. |
Fair value measurements:
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— | unadjusted 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.
A112
GLOBAL PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
The following is a summary of the inputs used as of June 30, 2017 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Australia | $ | — | $ | 23,455,962 | $ | 69 | ||||||
Austria | — | 3,222,693 | — | |||||||||
Belgium | — | 3,497,462 | — | |||||||||
Bermuda | 3,434,008 | — | — | |||||||||
Brazil | 1,960,850 | — | — | |||||||||
Canada | 26,726,234 | — | — | |||||||||
China | 13,559,183 | 7,839,350 | — | |||||||||
Denmark | — | 6,255,866 | — | |||||||||
Finland | — | 5,575,511 | — | |||||||||
France | 6,221,065 | 44,160,993 | — | |||||||||
Germany | — | 32,684,055 | — | |||||||||
Hong Kong | — | 15,585,787 | — | |||||||||
India | 6,894,768 | — | — | |||||||||
Ireland | 4,376,606 | 4,643,994 | — | |||||||||
Israel | — | 1,383,694 | — | |||||||||
Italy | — | 5,504,833 | — | |||||||||
Japan | — | 79,630,454 | — | |||||||||
Liechtenstein | — | 219,260 | — | |||||||||
Luxembourg | — | 1,780,844 | — | |||||||||
Netherlands | 11,370,692 | 14,988,125 | — | |||||||||
New Zealand | — | 1,967,660 | — | |||||||||
Norway | — | 3,442,690 | — | |||||||||
Portugal | — | 325,487 | — | |||||||||
Singapore | — | 1,222,123 | — | |||||||||
South Africa | — | 3,116,924 | — | |||||||||
Spain | — | 9,011,764 | — | |||||||||
Sweden | — | 11,768,888 | — | |||||||||
Switzerland | — | 31,681,349 | — | |||||||||
Taiwan | — | 4,427,274 | — | |||||||||
United Kingdom | — | 67,102,665 | — | |||||||||
United States | 546,753,005 | 503,476 | — | |||||||||
Zambia | 1,020,858 | — | — | |||||||||
Preferred Stocks | ||||||||||||
United States | 3,166,530 | — | — | |||||||||
Rights | ||||||||||||
Spain | 33,397 | — | — | |||||||||
Affiliated Mutual Funds | 101,052,701 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 726,569,897 | $ | 384,999,183 | $ | 69 | ||||||
|
|
|
|
|
|
During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.
Industry classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:
Affiliated Mutual Funds (including 5.7% of collateral for securities on loan) | 9.7 | % | ||
Banks | 8.2 | |||
Pharmaceuticals | 4.9 | |||
Insurance | 4.8 | |||
Software | 4.6 | |||
Oil, Gas & Consumable Fuels | 4.5 | |||
Health Care Equipment & Supplies | 4.5 | |||
IT Services | 4.4 | |||
Internet Software & Services | 4.3 |
Capital Markets | 3.4 | % | ||
Machinery | 3.4 | |||
Chemicals | 2.9 | |||
Industrial Conglomerates | 2.7 | |||
Semiconductors & Semiconductor Equipment | 2.6 | |||
Electric Utilities | 2.4 | |||
Food & Staples Retailing | 2.3 | |||
Internet & Direct Marketing Retail | 2.2 | |||
Electronic Equipment, Instruments & Components | 2.2 | |||
Building Products | 2.1 |
SEE NOTES TO FINANCIAL STATEMENTS.
A113
GLOBAL PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Industry classification (cont.)
Hotels, Restaurants & Leisure | 2.1 | % | ||
Aerospace & Defense | 1.8 | |||
Media | 1.5 | |||
Personal Products | 1.5 | |||
Equity Real Estate Investment Trusts (REITs) | 1.5 | |||
Specialty Retail | 1.5 | |||
Life Sciences Tools & Services | 1.4 | |||
Airlines | 1.4 | |||
Auto Components | 1.1 | |||
Food Products | 1.1 | |||
Automobiles | 1.1 | |||
Metals & Mining | 1.0 | |||
Road & Rail | 1.0 | |||
Diversified Telecommunication Services | 1.0 | |||
Professional Services | 0.7 | |||
Household Durables | 0.7 | |||
Tobacco | 0.6 | |||
Biotechnology | 0.6 | |||
Health Care Providers & Services | 0.6 | |||
Trading Companies & Distributors | 0.5 | |||
Construction Materials | 0.5 | |||
Textiles, Apparel & Luxury Goods | 0.5 | |||
Communications Equipment | 0.5 | |||
Technology Hardware, Storage & Peripherals | 0.5 | |||
Commercial Services & Supplies | 0.4 |
Beverages | 0.4 | % | ||
Paper & Forest Products | 0.4 | |||
Containers & Packaging | 0.4 | |||
Consumer Finance | 0.3 | |||
Wireless Telecommunication Services | 0.3 | |||
Construction & Engineering | 0.3 | |||
Household Products | 0.3 | |||
Leisure Products | 0.3 | |||
Multi-Utilities | 0.3 | |||
Multiline Retail | 0.3 | |||
Diversified Financial Services | 0.3 | |||
Real Estate Management & Development | 0.2 | |||
Air Freight & Logistics | 0.2 | |||
Energy Equipment & Services | 0.2 | |||
Electrical Equipment | 0.1 | |||
Gas Utilities | 0.1 | |||
Independent Power & Renewable Electricity Producers | 0.1 | |||
Distributors | 0.1 | |||
Marine | 0.1 | |||
Thrifts & Mortgage Finance | 0.1 | |||
Health Care Technology | 0.0 | * | ||
|
| |||
106.0 | ||||
Liabilities in excess of other assets | (6.0 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of derivative instruments on the financial statements and primary underlying risk exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts 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, 2017 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 | $ | 33,397 | — | $ | — | ||||||
|
|
|
|
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2017 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Rigts(1) | |||
Equity contracts | $ | 79,032 | ||
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Rights(2) | |||
Equity contracts | $ | (3,110 | ) | |
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A114
GLOBAL PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Financial instruments/transactions — summary of offsetting and netting arrangements:
The Portfolio entered into financial instruments/transactions 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 financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received(2) | Net Amount | |||||||||
Securities on Loan | $ | 58,575,784 | $ | (58,575,784 | ) | $ | — |
(1) | Amount represents market value. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A115
GLOBAL PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES (unaudited)
as of June 30, 2017
ASSETS | ||||
Investments at value, including securities on loan of $58,575,784: | ||||
Unaffiliated investments (cost $772,438,235) | $ | 1,010,516,448 | ||
Affiliated investments (cost $101,048,594) | 101,052,701 | |||
Cash | 13,168 | |||
Foreign currency, at value (cost $3,962,661) | 4,046,484 | |||
Receivable for investments sold | 5,340,027 | |||
Tax reclaim receivable | 1,683,434 | |||
Dividends and interest receivable | 1,672,117 | |||
Receivable from affiliate | 44,247 | |||
Receivable for Series shares sold | 1,514 | |||
Prepaid expenses | 1,057 | |||
|
| |||
Total Assets | 1,124,371,197 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 59,858,177 | |||
Payable for investments purchased | 14,314,230 | |||
Management fee payable | 628,110 | |||
Accrued expenses and other liabilities | 289,302 | |||
Payable for Series shares repurchased | 237,833 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 75,328,632 | |||
|
| |||
NET ASSETS | $ | 1,049,042,565 | ||
|
| |||
Net assets were comprised of: |
| |||
Paid-in capital | $ | 682,123,204 | ||
Retained earnings | 366,919,361 | |||
|
| |||
Net assets, June 30, 2017 | $ | 1,049,042,565 | ||
|
| |||
Net asset value and redemption price per share $1,049,042,565 / 33,901,440 outstanding shares of beneficial interest | $ | 30.94 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2017
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net) (foreign withholding tax $921,221, of which $65,287 is reimbursable by an affiliate) | $ | 13,339,800 | ||
Income from securities lending, net (including affiliated income of $73,622) | 256,185 | |||
Affiliated dividend income | 140,085 | |||
|
| |||
Total income | 13,736,070 | |||
|
| |||
EXPENSES | ||||
Management fee | 3,762,379 | |||
Custodian and accounting fees | 185,000 | |||
Shareholders’ reports | 50,000 | |||
Audit fee | 14,000 | |||
Trustees’ fees | 9,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Legal fees and expenses | 6,000 | |||
Miscellaneous | 29,674 | |||
|
| |||
Total expenses | 4,062,053 | |||
Less: Management fee waiver | (112,086 | ) | ||
|
| |||
3,949,967 | ||||
|
| |||
NET INVESTMENT INCOME (LOSS) | 9,786,103 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: |
| |||
Investment transactions (including affiliated of $(2,954)) | 16,699,306 | |||
Foreign currency transactions | 37,154 | |||
|
| |||
16,736,460 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: |
| |||
Investments (including affiliated of $(4,171)) | 91,566,464 | |||
Foreign currencies | 287,009 | |||
|
| |||
91,853,473 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 108,589,933 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 118,376,036 | ||
|
|
STATEMENT OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 9,786,103 | $ | 12,128,554 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 16,736,460 | 6,968,304 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 91,853,473 | 20,952,242 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 118,376,036 | 40,049,100 | ||||||
|
|
|
| |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [119,909 and 177,123 shares, respectively] | 3,580,092 | 4,692,671 | ||||||
Series shares repurchased [959,965 and 2,096,896 shares, respectively] | (28,275,171 | ) | (55,475,254 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (24,695,079 | ) | (50,782,583 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 808,056 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 93,680,957 | (9,925,427 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 955,361,608 | 965,287,035 | ||||||
|
|
|
| |||||
End of period | $ | 1,049,042,565 | $ | 955,361,608 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A116
GOVERNMENT INCOME PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
LONG-TERM INVESTMENTS — 100.2% ASSET-BACKED SECURITIES — 6.3% | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Collateralized Loan Obligations — 6.3% |
| |||||||||||||
Atlas Senior Loan Fund Ltd. (Cayman Islands), Series 2017-8A, Class A, 144A | 2.307% | (c) | 01/15/30 | 250 | $ | 250,000 | ||||||||
Battalion CLO Ltd. (Cayman Islands), Series 2014-7A, Class A1R, 144A | 2.348% | (c) | 10/17/26 | 500 | 500,134 | |||||||||
BlueMountain CLO Ltd. (Cayman Islands), Series 2015-1A, Class A1R, 144A | 2.485% | (c) | 04/13/27 | 1,750 | 1,750,544 | |||||||||
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-2A, Class AR, 144A | 2.432% | (c) | 05/15/25 | 500 | 499,885 | |||||||||
Eaton Vance CLO Ltd. (Cayman Islands), Series 2014-1A, Class AR, 144A | 2.358% | (c) | 07/15/26 | 2,500 | 2,499,284 | |||||||||
Flagship CLO Ltd. (Cayman Islands), Series 2014-8A, Class AR, 144A | 2.408% | (c) | 01/16/26 | 2,500 | 2,500,715 | |||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1R, 144A | 2.482% | (c) | 05/15/26 | 2,500 | 2,500,658 | |||||||||
Limerock CLO LLC (Cayman Islands), Series 2014-3A, Class A1R, 144A | 2.356% | (c) | 10/20/26 | 1,300 | 1,300,356 | |||||||||
OCP CLO Ltd. (Cayman Islands), Series 2017-13A, Class A1A, 144A | 2.561% | (c) | 07/15/30 | 250 | 249,656 | |||||||||
OZLM Funding Ltd. (Cayman Islands), Series 2012-1A, Class A1R, 144A | 2.673% | (c) | 07/22/27 | 500 | 502,567 | |||||||||
Palmer Square CLO Ltd. (Cayman Islands), Series 2015-1A, Class A1R, 144A | 2.472% | (c) | 05/21/29 | 500 | 499,999 | |||||||||
Regatta Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.566% | (c) | 07/25/26 | 250 | 250,002 | |||||||||
Silver Spring CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A | 2.608% | (c) | 10/15/26 | 1,489 | 1,488,600 | |||||||||
Sound Point CLO Ltd. (Cayman Islands), Series 2015-2A, Class A, 144A | 2.676% | (c) | 07/20/27 | 750 | 752,074 | |||||||||
Trinitas CLO Ltd. (Cayman Islands), Series 2016-5A, Class A, 144A | 2.856% | (c) | 10/25/28 | 500 | 502,094 | |||||||||
|
| |||||||||||||
16,046,568 | ||||||||||||||
|
| |||||||||||||
Small Business Loan — 0.0% |
| |||||||||||||
Small Business Administration Participation Certificates, Series 1997-20G, Class 1 | 6.850% | 07/01/17 | 11 | 11,387 | ||||||||||
Small Business Administration Participation Certificates, Series 1998-20I, Class 1 | 6.000% | 09/01/18 | 83 | 83,779 | ||||||||||
|
| |||||||||||||
95,166 | ||||||||||||||
|
| |||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 16,141,734 | ||||||||||||
|
| |||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 20.9% | ||||||||||||||
Bank, Series 2017-BNK5, Class A3 | 3.020% | 06/15/60 | 2,800 | 2,801,461 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class A3 | 3.515% | 09/10/58 | 700 | 720,824 | ||||||||||
Commercial Mortgage Trust, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 1,000 | 994,920 | ||||||||||
Commercial Mortgage Trust, Series 2015-CR24, Class A3 | 3.214% | 08/10/48 | 1,600 | 1,628,246 | ||||||||||
Commercial Mortgage Trust, Series 2015-CR25, Class A3 | 3.505% | 08/10/48 | 1,000 | 1,029,833 | ||||||||||
Deutsche Bank Commercial Mortgage Trust, Series 2017-C6, Class A3 | 3.269% | 06/10/50 | 2,800 | 2,851,961 | ||||||||||
Fannie Mae-Aces, Series 2012-M2, Class A2 | 2.717% | 02/25/22 | 200 | 204,595 | ||||||||||
Fannie Mae-Aces, Series 2014-M2, Class A2 | 3.513% | (c) | 12/25/23 | 2,650 | 2,802,146 | |||||||||
Fannie Mae-Aces, Series 2015-M1, Class AB2 | 2.465% | 09/25/24 | 518 | 505,306 | ||||||||||
Fannie Mae-Aces, Series 2015-M3, Class AB2 | 2.625% | 10/25/24 | 2,457 | 2,431,235 | ||||||||||
Fannie Mae-Aces, Series 2015-M8, Class AB2 | 2.829% | (c) | 01/25/25 | 1,600 | 1,622,314 | |||||||||
Fannie Mae-Aces, Series 2015-M10, Class A2 | 3.092% | (c) | 04/25/27 | 1,600 | 1,624,276 | |||||||||
Fannie Mae-Aces, Series 2015-M17, Class A2 | 3.038% | (c) | 11/25/25 | 1,500 | 1,525,391 | |||||||||
Fannie Mae-Aces, Series 2016-M11, Class A2 | 2.369% | (c) | 07/25/26 | 1,200 | 1,153,140 | |||||||||
Fannie Mae-Aces, Series 2016-M13, Class A2 | 2.560% | (c) | 09/25/26 | 2,100 | 2,039,860 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K003, Class A5 | 5.085% | 03/25/19 | 250 | 261,386 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, IO | 1.718% | (c) | 06/25/20 | 15,629 | 600,697 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K019, Class X1, IO | 1.824% | (c) | 03/25/22 | 17,351 | 1,132,729 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO | 1.570% | (c) | 05/25/22 | 8,858 | 509,819 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO | 1.606% | (c) | 06/25/22 | 9,397 | 567,287 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, IO | 1.001% | (c) | 10/25/22 | 26,694 | 1,019,712 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K038, Class A2 | 3.389% | 03/25/24 | 3,200 | 3,370,192 |
SEE NOTES TO FINANCIAL STATEMENTS.
A117
GOVERNMENT INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K041, Class A2 | 3.171% | 10/25/24 | 4,000 | $ | 4,155,464 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class A2 | 2.811% | 01/25/25 | 3,200 | 3,240,763 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K060, Class AM | 3.300% | (c) | 10/25/26 | 1,930 | 1,978,452 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K064, Class AM | 3.327% | (c) | 03/25/27 | 1,100 | 1,132,201 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K151, Class A3 | 3.511% | 04/25/30 | 400 | 415,433 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO | 1.872% | (c) | 05/25/19 | 7,748 | 197,802 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO | 1.810% | (c) | 07/25/19 | 7,508 | 195,880 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4 | 3.161% | (c) | 05/25/25 | 2,600 | 2,687,312 | |||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class A2 | 3.003% | 01/15/47 | 1,700 | 1,724,637 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A3 | 3.322% | 07/15/48 | 1,600 | 1,661,582 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 1,700 | 1,716,110 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3 | 3.451% | 07/15/50 | 1,600 | 1,646,835 | ||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2016-C37, Class A4 | 3.525% | 12/15/49 | 1,100 | 1,132,729 | ||||||||||
|
| |||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 53,282,530 | ||||||||||||
|
| |||||||||||||
CORPORATE BONDS — 1.3% | ||||||||||||||
Diversified Financial Services |
| |||||||||||||
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes | 4.300% | 12/15/21 | 2,160 | 2,367,043 | ||||||||||
CDP Financial, Inc. (Canada),Sr. Unsec’d. Notes, 144A | 3.150% | 07/24/24 | 820 | 840,161 | ||||||||||
|
| |||||||||||||
TOTAL CORPORATE BONDS |
| 3,207,204 | ||||||||||||
|
| |||||||||||||
MUNICIPAL BONDS — 0.5% | ||||||||||||||
California — 0.1% |
| |||||||||||||
California Educational Facilities Authority, Revenue Bonds, Stanford Univ., Ser. U-7, BABs | 5.000% | 06/01/46 | 125 | 166,949 | ||||||||||
|
| |||||||||||||
Pennsylvania — 0.2% |
| |||||||||||||
Pennsylvania Turnpike Commission, Revenue Bonds, Ser. A-1, BABs | 5.000% | 12/01/46 | 500 | 559,460 | ||||||||||
|
| |||||||||||||
Texas — 0.1% |
| |||||||||||||
University of Texas System (The), Revenue Bonds, Ser. F, Rfdg. | 5.000% | 08/15/47 | 275 | 360,767 | ||||||||||
|
| |||||||||||||
Washington — 0.1% |
| |||||||||||||
Central Puget Sound Regional Transit Authority, Revenue Bonds, Green Bonds, Ser. S-1, BABs | 5.000% | 11/01/46 | 180 | 236,003 | ||||||||||
|
| |||||||||||||
TOTAL MUNICIPAL BONDS |
| 1,323,179 | ||||||||||||
|
| |||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.1% | ||||||||||||||
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2496, Class PM | 5.500% | 09/15/17 | 12 | 11,582 | ||||||||||
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2501, Class MC | 5.500% | 09/15/17 | — | (r) | 6 | |||||||||
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2513, Class HC | 5.000% | 10/15/17 | 30 | 30,508 | ||||||||||
Federal National Mortgage Assoc., REMICS, Series 2002-57, Class ND | 5.500% | 09/25/17 | — | (r) | 143 | |||||||||
Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1 | 1.836% | (c) | 10/25/28 | 27 | 26,700 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 3.396% | (c) | 02/25/34 | 133 | 134,138 | |||||||||
|
| |||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 203,077 | ||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A118
GOVERNMENT INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS — 42.5% | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Federal Home Loan Mortgage Corp. | 2.500% | 03/01/30 | 744 | $ | 749,469 | |||||||||
Federal Home Loan Mortgage Corp. | 3.000% | TBA | 3,500 | 3,492,344 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 06/01/29 | 595 | 612,095 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 06/01/45 | 794 | 795,351 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 08/01/26 | 283 | 296,269 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 01/01/27 | 300 | 313,919 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 07/01/42 | 821 | 846,564 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 10/01/42 | 1,419 | 1,463,736 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 08/01/43 | 1,074 | 1,107,698 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | TBA | 2,750 | 2,892,151 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 06/01/26 | 100 | 104,948 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 09/01/26 | 335 | 351,652 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 09/01/40 | 517 | 545,386 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 12/01/40 | 534 | 564,362 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 12/01/40 | 572 | 604,256 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 09/01/39 | 1,981 | 2,129,148 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 06/01/33 | 399 | 436,752 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 05/01/34 | 407 | 443,687 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 05/01/37 | 84 | 94,238 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 02/01/38 | 278 | 308,457 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 05/01/38 | 118 | 131,695 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 09/01/34 | 77 | 86,336 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 01/01/37 | 130 | 146,428 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 09/01/38 | 81 | 91,569 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 08/01/39 | 85 | 95,120 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 09/01/32 | 57 | 62,902 | ||||||||||
Federal National Mortgage Assoc. | 1.000% | 10/24/19 | 2,300 | 2,274,518 | ||||||||||
Federal National Mortgage Assoc. | 2.000% | 08/01/31 | 375 | 367,383 | ||||||||||
Federal National Mortgage Assoc. | 2.500% | 06/01/28 | 2,585 | 2,615,082 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | TBA | 1,000 | 998,652 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | TBA | 1,500 | 1,537,852 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 08/01/28 | 1,338 | 1,373,913 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 02/01/31 | 1,712 | 1,758,538 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 11/01/36 | 952 | 966,424 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 03/01/43 | 1,186 | 1,190,551 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 03/01/43 | 913 | 917,082 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 07/01/43 | 1,141 | 1,146,680 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 07/01/43 | 1,392 | 1,397,683 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 8,000 | 8,216,562 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 03/01/27 | 576 | 600,184 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 06/01/39 | 366 | 377,648 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 04/01/42 | 603 | 622,667 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 06/01/42 | 1,041 | 1,074,585 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 07/01/42 | 1,161 | 1,198,401 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | TBA | 6,250 | 6,570,068 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | TBA | 6,000 | 6,296,836 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 09/01/40 | 1,985 | 2,096,874 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 06/01/42 | 1,494 | 1,575,762 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 09/01/44 | 1,082 | 1,137,472 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 05/01/40 | 2,743 | 2,978,124 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | TBA | 500 | 546,172 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 07/01/18 | 4 | 4,291 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 08/01/18 | 22 | 22,313 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 01/01/19 | 80 | 81,454 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 02/01/19 | 66 | 67,257 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 11/01/19 | 49 | 50,107 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 12/01/31 | 29 | 32,179 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 03/01/34 | 486 | 532,285 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 06/01/35 | 216 | 237,004 |
SEE NOTES TO FINANCIAL STATEMENTS.
A119
GOVERNMENT INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 07/01/35 | 110 | $ | 120,031 | |||||||||
Federal National Mortgage Assoc. | 5.000% | 05/01/36 | 151 | 165,333 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 10/01/18 | 15 | 15,243 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 10/01/18 | 15 | 15,416 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 11/01/18 | 16 | 15,809 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 02/01/34 | 291 | 325,468 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 09/01/34 | 325 | 365,482 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 02/01/35 | 381 | 429,057 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 06/01/35 | 108 | 119,800 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 06/01/35 | 168 | 186,653 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 09/01/35 | 224 | 248,917 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 09/01/35 | 45 | 49,332 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 10/01/35 | 368 | 412,077 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 11/01/35 | 661 | 744,368 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 11/01/35 | 372 | 413,451 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 11/01/35 | 539 | 603,467 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 05/01/21 | 39 | 40,627 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 12/01/33 | 12 | 13,012 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/34 | 162 | 185,449 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 08/01/34 | 1 | 746 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/34 | 1 | 872 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/34 | 1 | 1,209 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 12/01/34 | 1 | 1,140 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 01/01/35 | 37 | 41,965 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 01/01/36 | 116 | 130,322 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 05/01/38 | 69 | 78,433 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/32 | 328 | 373,636 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 08/01/32 | 113 | 125,894 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 10/01/32 | 332 | 379,106 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 10/01/37 | 238 | 272,856 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 12/01/31 | 98 | 112,164 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 12/01/31 | 1 | 600 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 11/01/33 | 11 | 11,665 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 01/01/36 | 34 | 37,945 | ||||||||||
Federal National Mortgage Assoc. | 8.000% | 10/01/23 | — | (r) | 304 | |||||||||
Federal National Mortgage Assoc. | 8.000% | 09/01/24 | 1 | 1,261 | ||||||||||
Federal National Mortgage Assoc. | 8.000% | 11/01/24 | 1 | 1,393 | ||||||||||
Federal National Mortgage Assoc. | 8.000% | 01/01/26 | 1 | 596 | ||||||||||
Federal National Mortgage Assoc. | 8.000% | 02/01/26 | 1 | 1,354 | ||||||||||
Federal National Mortgage Assoc. | 9.000% | 02/01/25 | 13 | 14,136 | ||||||||||
Federal National Mortgage Assoc. | 9.000% | 04/01/25 | 7 | 8,012 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 03/15/45 | 2,216 | 2,241,417 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 09/20/46 | 1,984 | 2,005,721 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 10/20/46 | 496 | 501,034 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 04/20/47 | 3,987 | 4,031,415 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 01/20/43 | 1,495 | 1,554,754 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 03/20/45 | 1,427 | 1,479,105 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 04/20/45 | 1,211 | 1,255,389 | ||||||||||
Government National Mortgage Assoc. | 4.000% | TBA | 4,000 | 4,209,062 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 06/15/40 | 276 | 290,967 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 02/20/41 | 776 | 833,682 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 03/20/41 | 663 | 712,198 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 06/20/44 | 519 | 552,132 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 07/15/33 | 207 | 229,511 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 09/15/33 | 277 | 304,777 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 04/15/34 | 87 | 94,907 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 03/15/34 | 383 | 430,066 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 03/15/36 | 83 | 93,352 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 07/15/32 | 22 | 24,685 |
SEE NOTES TO FINANCIAL STATEMENTS.
A120
GOVERNMENT INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 4 | $ | 3,959 | |||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 4 | 4,712 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 16 | 17,375 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 110 | 130,010 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 03/15/23 | 1 | 1,232 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 05/15/23 | 7 | 7,709 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 06/15/23 | 1 | 1,443 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 06/15/23 | 5 | 5,398 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 06/15/23 | 1 | 1,433 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 06/15/23 | 20 | 21,612 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 07/15/23 | 15 | 15,119 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 07/15/23 | 1 | 988 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 08/15/23 | 11 | 11,192 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 08/15/23 | 6 | 6,424 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 08/15/23 | 1 | 1,257 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 09/15/23 | 2 | 1,567 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 10/15/23 | 5 | 5,605 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 10/15/23 | — | (r) | 65 | |||||||||
Government National Mortgage Assoc. | 7.000% | 10/15/23 | 5 | 5,665 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 11/15/23 | 6 | 5,933 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 11/15/23 | 11 | 11,906 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 11/15/23 | 1 | 515 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 01/15/24 | 75 | 80,212 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 05/15/24 | 72 | 77,495 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 08/15/28 | 58 | 67,568 | ||||||||||
Government National Mortgage Assoc. | 7.500% | 12/15/25 | 39 | 42,478 | ||||||||||
Government National Mortgage Assoc. | 7.500% | 12/15/25 | 5 | 5,221 | ||||||||||
Government National Mortgage Assoc. | 7.500% | 02/15/26 | 6 | 6,849 | ||||||||||
Government National Mortgage Assoc. | 8.500% | 09/15/24 | 79 | 86,518 | ||||||||||
Government National Mortgage Assoc. | 8.500% | 04/15/25 | 9 | 10,541 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 2.578% | 06/30/22 | 1,520 | 1,556,751 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 3.000% | 06/30/25 | 1,380 | 1,443,218 | ||||||||||
Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes | 5.500% | 09/18/23 | 1,300 | 1,547,725 | ||||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 2.194% | (s) | 01/15/21 | 643 | 601,137 | |||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 3.184% | (s) | 04/15/30 | 3,035 | 2,071,042 | |||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 2.875% | 02/01/27 | 175 | 179,103 | ||||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 6.750% | 11/01/25 | 510 | 668,268 | ||||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 7.125% | 05/01/30 | 530 | 767,809 | ||||||||||
Ukraine Government, USAID Bonds, U.S. Gov’t. Gtd. Notes | 1.471% | 09/29/21 | 2,200 | 2,151,035 | ||||||||||
|
| |||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 108,161,999 | ||||||||||||
|
| |||||||||||||
U.S. TREASURY OBLIGATIONS — 28.6% | ||||||||||||||
U.S. Treasury Bonds | 2.500% | 05/15/46 | 570 | 530,301 | ||||||||||
U.S. Treasury Bonds | 3.000% | 05/15/45 | 950 | 978,908 | ||||||||||
U.S. Treasury Bonds | 3.000% | 02/15/47 | 750 | 773,671 | ||||||||||
U.S. Treasury Bonds | 4.250% | 11/15/40 | 3,840 | 4,825,501 | ||||||||||
U.S. Treasury Bonds | 4.750% | 02/15/41 | 710 | 956,004 | ||||||||||
U.S. Treasury Bonds | 8.125% | 08/15/21 | 455 | 569,585 | ||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 0.125% | 04/15/22 | 1,382 | 1,375,773 | ||||||||||
U.S. Treasury Notes | 0.750% | 02/28/18 | 570 | 568,263 | ||||||||||
U.S. Treasury Notes | 1.000% | 03/15/18 | 100 | 99,832 | ||||||||||
U.S. Treasury Notes | 1.375% | 04/30/21 | 14,100 | 13,919,901 | ||||||||||
U.S. Treasury Notes | 1.500% | 06/15/20 | 905 | 903,728 | ||||||||||
U.S. Treasury Notes | 1.625% | 04/30/23 | 3,125 | 3,058,350 | ||||||||||
U.S. Treasury Notes | 1.750% | 05/31/22 | 430 | 427,481 | ||||||||||
U.S. Treasury Notes | 1.750% | 06/30/22 | 1,175 | 1,167,381 | ||||||||||
U.S. Treasury Notes | 1.750% | 05/15/23 | 115 | 113,293 | ||||||||||
U.S. Treasury Notes | 1.875% | 04/30/22 | 765 | 764,851 |
SEE NOTES TO FINANCIAL STATEMENTS.
A121
GOVERNMENT INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
U.S. TREASURY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
U.S. Treasury Notes | 2.125% | 06/30/21 | 4,170 | $ | 4,229,944 | |||||||||||
U.S. Treasury Notes | 2.125% | 09/30/21 | 13,350 | 13,532,001 | ||||||||||||
U.S. Treasury Notes | 2.125% | 06/30/22 | 250 | 252,715 | ||||||||||||
U.S. Treasury Notes | 2.125% | 12/31/22 | 505 | 509,024 | ||||||||||||
U.S. Treasury Notes | 2.125% | 02/29/24 | 9,715 | 9,726,765 | ||||||||||||
U.S. Treasury Notes | 2.125% | 05/15/25 | 845 | 839,686 | ||||||||||||
U.S. Treasury Notes | 2.250% | 02/15/27 | 2,410 | 2,398,798 | ||||||||||||
U.S. Treasury Notes | 2.375% | 05/15/27 | 875 | 880,537 | ||||||||||||
U.S. Treasury Strips Coupon | 2.037% | (s) | 02/15/22 | 1,690 | 1,547,246 | |||||||||||
U.S. Treasury Strips Coupon | 2.184% | (s) | 02/15/28 | 550 | 422,796 | |||||||||||
U.S. Treasury Strips Coupon | 2.384% | (s) | 05/15/29 | 565 | 418,233 | |||||||||||
U.S. Treasury Strips Coupon(k)(hh) | 2.404% | (s) | 08/15/21 | 2,525 | 2,343,213 | |||||||||||
U.S. Treasury Strips Coupon | 2.783% | (s) | 08/15/29 | 500 | 367,346 | |||||||||||
U.S. Treasury Strips Coupon | 2.878% | (s) | 05/15/31 | 500 | 347,149 | |||||||||||
U.S. Treasury Strips Coupon | 3.042% | (s) | 11/15/35 | 1,000 | 603,556 | |||||||||||
U.S. Treasury Strips Coupon | 3.202% | (s) | 08/15/40 | 1,000 | 511,807 | |||||||||||
U.S. Treasury Strips Coupon | 4.138% | (s) | 02/15/42 | 3,725 | 1,813,200 | |||||||||||
U.S. Treasury Strips Principal, PO | 2.351% | (s) | 05/15/43 | 595 | 281,246 | |||||||||||
U.S. Treasury Strips Principal, PO | 2.543% | (s) | 02/15/45 | 515 | 229,837 | |||||||||||
U.S. Treasury Strips Principal, PO | 2.952% | (s) | 05/15/45 | 800 | 354,667 | |||||||||||
U.S. Treasury Strips Principal, PO | 3.005% | (s) | 11/15/44 | 715 | 322,723 | |||||||||||
|
| |||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 72,965,312 | ||||||||||||||
|
| |||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 255,285,035 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
SHORT-TERM INVESTMENTS — 14.1% | ||||||||||||||||
AFFILIATED MUTUAL FUNDS — 14.1% | ||||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(w) |
| 2,833,852 | 26,326,484 | |||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w) |
| 9,632,774 | 9,632,774 | |||||||||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund(w) |
| 81 | 81 | |||||||||||||
|
| |||||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 35,959,339 | ||||||||||||||
|
| |||||||||||||||
Notional Amount (000)# | ||||||||||||||||
OPTIONS PURCHASED* — 0.0% | ||||||||||||||||
Call Options | ||||||||||||||||
10 Year U.S. Treasury Note Futures, expiring 07/21/17, Strike Price $127.00 |
| 151 | 11,797 | |||||||||||||
10 Year U.S. Treasury Note Futures, expiring 07/21/17, Strike Price $130.00 |
| 151 | — | |||||||||||||
|
| |||||||||||||||
TOTAL OPTIONS PURCHASED |
| 11,797 | ||||||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 35,971,136 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN 114.3% |
| 291,256,171 | ||||||||||||||
|
| |||||||||||||||
OPTION WRITTEN* — (0.0)% | ||||||||||||||||
Call Option | ||||||||||||||||
10 Year U.S. Treasury Note Futures, expiring 07/21/17, Strike Price $128.50 |
| 302 | (4,719 | ) | ||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 114.3% |
| 291,251,452 | ||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(Z) — (14.3)% |
| (36,381,903 | ) | |||||||||||||
|
| |||||||||||||||
NET ASSETS — 100.0% |
| $ | 254,869,549 | |||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A122
GOVERNMENT INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
See the Glossary for abbreviations used in the semiannual report.
* | Non-income producing security. |
# | Principal or notional amount shown in U.S. dollars unless otherwise stated. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2017. |
(hh) | Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements. |
(k) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(r) | Less than $500 par. |
(s) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund, Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2017:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2017 | Unrealized Appreciation (Depreciation) | |||||||||||||||
Long Positions: | ||||||||||||||||||||
66 | 2 Year U.S. Treasury Notes | Sep. 2017 | $ | 14,271,562 | $ | 14,263,218 | $ | (8,344 | ) | |||||||||||
81 | 5 Year U.S. Treasury Notes | Sep. 2017 | 9,570,689 | 9,544,711 | (25,978 | ) | ||||||||||||||
63 | 10 Year U.S. Treasury Notes | Sep. 2017 | 7,949,865 | 7,908,469 | (41,396 | ) | ||||||||||||||
12 | 10 Year U.S. Ultra Treasury Bonds | Sep. 2017 | 1,621,706 | 1,617,750 | (3,956 | ) | ||||||||||||||
122 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2017 | 19,899,829 | 20,236,750 | 336,921 | |||||||||||||||
|
| |||||||||||||||||||
257,247 | ||||||||||||||||||||
|
| |||||||||||||||||||
Short Position: | ||||||||||||||||||||
143 | 20 Year U.S. Treasury Bonds | Sep. 2017 | 21,898,856 | 21,977,312 | (78,456 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 178,791 | |||||||||||||||||||
|
|
A security with a market value of $551,235 has been segregated with Citigroup Global Markets to cover requirements for open futures contracts at June 30, 2017.
Interest rate swap agreements outstanding at June 30, 2017:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at June 30, 2017 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally cleared swap agreements: | ||||||||||||||||||||||||
52,560 | 09/09/17 | 0.539% | 1 Day USOIS(1) | $ | 347 | $ | 125,326 | $ | 124,979 | |||||||||||||||
45,065 | 10/18/17 | 0.607% | 1 Day USOIS(1) | 190 | 113,208 | 113,018 | ||||||||||||||||||
24,905 | 11/09/17 | 0.626% | 1 Day USOIS(1) | 206 | 69,885 | 69,679 | ||||||||||||||||||
3,860 | 08/31/21 | 2.015% | 3 Month LIBOR(2) | 31,702 | 23,643 | (8,059 | ) | |||||||||||||||||
760 | 11/30/21 | 1.762% | 3 Month LIBOR(2) | 1 | (4,997 | ) | (4,998 | ) | ||||||||||||||||
6,910 | 08/15/23 | 1.459% | 3 Month LIBOR(1) | 343,038 | 204,766 | (138,272 | ) | |||||||||||||||||
277 | 11/15/23 | 2.209% | 3 Month LIBOR(1) | 12 | (2,886 | ) | (2,898 | ) | ||||||||||||||||
8,720 | 12/20/23 | 2.932% | 3 Month LIBOR(1) | 220 | (457,808 | ) | (458,028 | ) | ||||||||||||||||
1,460 | 02/15/24 | 2.115% | 3 Month LIBOR(1) | 3,510 | (3,324 | ) | (6,834 | ) | ||||||||||||||||
2,935 | 02/15/24 | 2.151% | 3 Month LIBOR(1) | (2,985 | ) | (13,262 | ) | (10,277 | ) | |||||||||||||||
1,580 | 02/15/24 | 2.183% | 3 Month LIBOR(1) | (3,170 | ) | (10,353 | ) | (7,183 | ) | |||||||||||||||
5,290 | 09/17/24 | 2.732% | 3 Month LIBOR(1) | 110 | (252,594 | ) | (252,704 | ) | ||||||||||||||||
1,860 | 09/04/25 | 2.214% | 3 Month LIBOR(1) | 163 | (17,063 | ) | (17,226 | ) | ||||||||||||||||
130 | 01/08/26 | 2.210% | 3 Month LIBOR(1) | 1 | (1,177 | ) | (1,178 | ) | ||||||||||||||||
1,582 | 02/15/27 | 1.824% | 1 Day USOIS(1) | 19,425 | 22,225 | 2,800 | ||||||||||||||||||
2,675 | 02/15/36 | 2.338% | 3 Month LIBOR(2) | (16,893 | ) | (67,834 | ) | (50,941 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 375,877 | $ | (272,245 | ) | $ | (648,122 | ) | |||||||||||||||||
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A123
GOVERNMENT INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
A security with a market value of $779,524 has been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate swap contracts at June 30, 2017.
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Fair value measurements:
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— | unadjusted 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, 2017 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | $ | — | $ | 16,046,568 | $ | — | ||||||
Small Business Loan | — | 95,166 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 53,282,530 | — | |||||||||
Corporate Bonds | — | 3,207,204 | — | |||||||||
Municipal Bonds | — | 1,323,179 | — | |||||||||
Residential Mortgage-Backed Securities | — | 203,077 | — | |||||||||
U.S. Government Agency Obligations | — | 108,161,999 | — | |||||||||
U.S. Treasury Obligations | — | 72,965,312 | — | |||||||||
Affiliated Mutual Funds | 35,959,339 | — | — | |||||||||
Options Purchased | 11,797 | — | — | |||||||||
Option Written | (4,719 | ) | — | — | ||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 178,791 | — | — | |||||||||
Centrally Cleared Interest Rate Swap Agreements | — | (648,122 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | 36,145,208 | $ | 254,636,913 | $ | — | ||||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.
Industry classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:
U.S. Government Agency Obligations | 42.5 | % | ||
U.S. Treasury Obligations | 28.6 | |||
Commercial Mortgage-Backed Securities | 20.9 | |||
Affiliated Mutual Funds | 14.1 | |||
Collateralized Loan Obligations | 6.3 | |||
Diversified Financial Services | 1.3 | |||
Municipal Bonds | 0.5 | |||
Residential Mortgage-Backed Securities | 0.1 |
Small Business Loan | 0.0 | *% | ||
Options Purchased | 0.0 | * | ||
|
| |||
114.3 | ||||
Option Written | (0.0 | )* | ||
Liabilities in excess of other assets | (14.3 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
SEE NOTES TO FINANCIAL STATEMENTS.
A124
GOVERNMENT INCOME PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Effects of derivative instruments on the financial statements and primary underlying risk exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate contracts 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, 2017 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging instruments, carried at fair value | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Interest rate contracts | Due from/to broker — variation margin futures | $ | 336,921 | * | Due from/to broker — variation margin futures | $ | 158,130 | * | ||||
Interest rate contracts | Due from/to broker — variation margin swaps | 310,476 | * | Due from/to broker — variation margin swaps | 958,598 | * | ||||||
Interest rate contracts | Unaffiliated investments | 11,797 | Options written outstanding, at value | 4,719 | ||||||||
|
|
|
| |||||||||
Total | $ | 659,194 | $ | 1,121,447 | ||||||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2017 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Options Purchased(1) | Options Written | Futures | Forward Rate Agreements | Swaps | Total | ||||||||||||||||||
Interest rate contracts | $ | (107,883 | ) | $ | 46,915 | $ | 1,006,633 | $ | 4,729 | $ | 350,512 | $ | 1,300,906 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Options Purchased(2) | Options Written | Futures | Swaps | Total | |||||||||||||||
Interest rate contracts | $ | (47,766 | ) | $ | 18,295 | $ | 111,279 | $ | (707,415 | ) | $ | (625,607 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
(2) | Included in net change in unrealized appreciation (depreciation) on investment transactions in the Statement of Operations. |
For the six months ended June 30, 2017, the average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(3) | Futures Contracts— Long Positions(2) | Futures Contracts— Short Positions(2) | Interest Rate | ||||
$66,102 | $164,667 | $83,196,598 | $12,809,942 | $162,859,667 |
(1) | Cost. |
(2) | Value at Trade Date. |
(3) | Notional Amount in USD. |
SEE NOTES TO FINANCIAL STATEMENTS.
A125
GOVERNMENT INCOME PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2017
ASSETS | ||||
Investments at value: |
| |||
Unaffiliated investments (cost $254,248,593) | $ | 255,296,832 | ||
Affiliated investments (cost $36,961,919) | 35,959,339 | |||
Cash | 55,687 | |||
Receivable for investments sold | 14,597,957 | |||
Dividends and interest receivable | 889,508 | |||
Receivable for Series shares sold | 30,187 | |||
Due from broker—variation margin swaps | 88,490 | |||
Prepaid expenses | 271 | |||
|
| |||
Total Assets | 306,918,271 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 51,745,394 | |||
Accrued expenses and other liabilities | 98,375 | |||
Management fee payable | 84,611 | |||
Payable for Series shares repurchased | 68,474 | |||
Due to broker—variation margin futures | 45,945 | |||
Option written outstanding, at value | 4,719 | |||
Affiliated transfer agent fee payable | 980 | |||
Deferred trustees’ fees | 224 | |||
|
| |||
Total Liabilities | 52,048,722 | |||
|
| |||
NET ASSETS | $ | 254,869,549 | ||
|
| |||
Net assets were comprised of: |
| |||
Paid-in capital | $ | 229,022,931 | ||
Retained earnings | 25,846,618 | |||
|
| |||
Net assets, June 30, 2017 | $ | 254,869,549 | ||
|
| |||
Net asset value and redemption price per share $254,869,549 / 20,358,650 outstanding shares of beneficial interest | $ | 12.52 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2017
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 2,523,305 | ||
Affiliated dividend income | 358,515 | |||
Income from securities lending, net (including affiliated income of $4,568) | 4,816 | |||
|
| |||
Total income | 2,886,636 | |||
|
| |||
EXPENSES | ||||
Management fee | 505,351 | |||
Shareholders’ reports | 50,000 | |||
Custodian and accounting fees | 38,000 | |||
Audit fee | 17,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Trustees’ fees | 6,000 | |||
Legal fees and expenses | 5,000 | |||
Miscellaneous | 6,601 | |||
|
| |||
Total expenses | 633,952 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 2,252,684 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain (loss) on: |
| |||
Investment transactions (including affiliated of $(913,784)) | 91,406 | |||
Futures transactions | 1,006,633 | |||
Options written transactions | 46,915 | |||
Forward rate agreement transactions | 4,729 | |||
Swap agreement transactions | 350,512 | |||
|
| |||
1,500,195 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: |
| |||
Investments (including affiliated of $983,268) | 2,185,650 | |||
Futures | 111,279 | |||
Option written | 18,295 | |||
Swap agreements | (707,415 | ) | ||
|
| |||
1,607,809 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 3,108,004 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 5,360,688 | ||
|
|
STATEMENT OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 2,252,684 | $ | 3,782,397 | ||||
Net realized gain (loss) on investment transactions | 1,500,195 | 2,228,812 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 1,607,809 | (1,008,606 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 5,360,688 | 5,002,603 | ||||||
|
|
|
| |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [3,008,248 and 942,340 shares, respectively] | 37,013,160 | 11,729,036 | ||||||
Series shares repurchased [1,115,127 and 1,792,349 shares, respectively] | (13,822,364 | ) | (22,240,242 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | 23,190,796 | (10,511,206 | ) | |||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 28,977 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 28,551,484 | (5,479,626 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 226,318,065 | 231,797,691 | ||||||
|
|
|
| |||||
End of period | $ | 254,869,549 | $ | 226,318,065 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A126
GOVERNMENT MONEY MARKET PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
U.S. GOVERNMENT AGENCY OBLIGATIONS — 94.2% | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Federal Farm Credit Bank | 1.009% | (n) | 08/02/17 | 7,000 | $ | 6,993,840 | ||||||||
Federal Farm Credit Bank | 1.186% | (c) | 10/25/17 | 11,000 | 11,000,000 | |||||||||
Federal Farm Credit Bank | 1.192% | (c) | 04/20/18 | 6,500 | 6,499,724 | |||||||||
Federal Farm Credit Bank | 1.230% | (c) | 11/27/17 | 3,000 | 3,002,322 | |||||||||
Federal Farm Credit Bank | 1.241% | (c) | 07/26/17 | 5,000 | 5,000,739 | |||||||||
Federal Farm Credit Bank | 1.264% | (c) | 08/29/17 | 2,000 | 1,999,676 | |||||||||
Federal Farm Credit Bank | 1.292% | (c) | 09/28/17 | 12,000 | 11,999,701 | |||||||||
Federal Home Loan Bank | 0.651% | (n) | 07/21/17 | 11,000 | 10,996,095 | |||||||||
Federal Home Loan Bank | 0.662% | (n) | 08/01/17 | 8,000 | 7,995,522 | |||||||||
Federal Home Loan Bank | 0.815% | (n) | 07/05/17 | 10,000 | 9,999,111 | |||||||||
Federal Home Loan Bank | 0.831% | (n) | 07/07/17 | 12,000 | 11,998,370 | |||||||||
Federal Home Loan Bank | 0.844% | (n) | 07/12/17 | 43,000 | 42,989,120 | |||||||||
Federal Home Loan Bank | 0.881% | (c) | 02/01/18 | 11,000 | 11,000,000 | |||||||||
Federal Home Loan Bank | 0.890% | (c) | 01/02/18 | 12,000 | 12,000,000 | |||||||||
Federal Home Loan Bank | 0.914% | (c) | 11/08/17 | 16,000 | 16,000,000 | |||||||||
Federal Home Loan Bank | 0.933% | (n) | 07/26/17 | 37,000 | 36,976,484 | |||||||||
Federal Home Loan Bank | 1.020% | (n) | 07/17/17 | 6,000 | 5,997,331 | |||||||||
Federal Home Loan Bank | 1.032% | (c) | 02/15/18 | 4,000 | 4,000,000 | |||||||||
Federal Home Loan Bank | 1.039% | (c) | 02/08/18 | 6,000 | 6,000,000 | |||||||||
Federal Home Loan Bank | 1.040% | (n) | 08/03/17 | 11,000 | 10,989,715 | |||||||||
Federal Home Loan Bank | 1.040% | (n) | 08/08/17 | 16,000 | 15,982,773 | |||||||||
Federal Home Loan Bank | 1.040% | (n) | 08/17/17 | 4,000 | 3,994,673 | |||||||||
Federal Home Loan Bank | 1.041% | (c) | 01/25/18 | 13,300 | 13,299,976 | |||||||||
Federal Home Loan Bank | 1.044% | (n) | 08/23/17 | 20,000 | 19,969,864 | |||||||||
Federal Home Loan Bank | 1.045% | (n) | 08/04/17 | 16,000 | 15,984,511 | |||||||||
Federal Home Loan Bank | 1.047% | (n) | 08/02/17 | 24,000 | 23,978,098 | |||||||||
Federal Home Loan Bank | 1.048% | (n) | 08/18/17 | 22,000 | 21,969,875 | |||||||||
Federal Home Loan Bank | 1.050% | (n) | 08/07/17 | 15,000 | 14,984,121 | |||||||||
Federal Home Loan Bank | 1.051% | (n) | 08/09/17 | 19,000 | 18,978,799 | |||||||||
Federal Home Loan Bank | 1.054% | (n) | 08/16/17 | 33,000 | 32,956,448 | |||||||||
Federal Home Loan Bank | 1.060% | (n) | 09/27/17 | 15,000 | 14,961,903 | |||||||||
Federal Home Loan Bank | 1.061% | (n) | 08/10/17 | 10,000 | 9,988,445 | |||||||||
Federal Home Loan Bank | 1.061% | (n) | 09/01/17 | 11,250 | 11,229,850 | |||||||||
Federal Home Loan Bank | 1.061% | (n) | 08/31/17 | 27,000 | 26,952,420 | |||||||||
Federal Home Loan Bank | 1.065% | (n) | 09/22/17 | 18,000 | 17,956,709 | |||||||||
Federal Home Loan Bank | 1.067% | (n) | 09/20/17 | 15,000 | 14,964,731 | |||||||||
Federal Home Loan Bank | 1.072% | (n) | 09/26/17 | 12,000 | 11,969,550 | |||||||||
Federal Home Loan Bank | 1.075% | (c) | 03/29/18 | 6,000 | 6,000,000 | |||||||||
Federal Home Loan Bank | 1.086% | (c) | 10/25/17 | 3,000 | 3,000,000 | |||||||||
Federal Home Loan Bank | 1.089% | (c) | 11/06/17 | 1,800 | 1,799,847 | |||||||||
Federal Home Loan Bank | 1.104% | (c) | 12/08/17 | 4,000 | 3,999,912 | |||||||||
Federal Home Loan Bank | 1.116% | (c) | 12/21/18 | 15,000 | 15,000,000 | |||||||||
Federal Home Loan Bank | 1.140% | (c) | 08/01/17 | 2,000 | 2,000,000 | |||||||||
Federal Home Loan Bank | 1.142% | (c) | 08/21/17 | 1,000 | 999,986 | |||||||||
Federal Home Loan Bank | 1.155% | (c) | 12/07/17 | 3,500 | 3,500,000 | |||||||||
Federal Home Loan Bank | 1.207% | (c) | 08/28/17 | 3,000 | 3,000,000 | |||||||||
Federal Home Loan Bank | 1.213% | (c) | 09/11/17 | 2,000 | 1,999,980 | |||||||||
Federal Home Loan Bank | 1.247% | (c) | 12/22/17 | 3,500 | 3,500,000 | |||||||||
Federal Home Loan Mortgage Corp. | 0.776% | (c) | 10/12/17 | 8,000 | 8,000,000 | |||||||||
Federal Home Loan Mortgage Corp. | 0.968% | (n) | 07/03/17 | 11,900 | 11,899,372 | |||||||||
Federal Home Loan Mortgage Corp. | 0.982% | (c) | 11/16/17 | 14,000 | 14,000,000 | |||||||||
Federal Home Loan Mortgage Corp. | 1.020% | (n) | 08/11/17 | 8,000 | 7,990,889 | |||||||||
Federal Home Loan Mortgage Corp. | 1.041% | (n) | 09/11/17 | 15,000 | 14,969,400 | |||||||||
Federal Home Loan Mortgage Corp. | 1.044% | (c) | 05/18/18 | 11,500 | 11,500,000 | |||||||||
Federal Home Loan Mortgage Corp. | 1.125% | (c) | 01/08/18 | 5,000 | 5,000,000 | |||||||||
Federal National Mortgage Assoc. | 0.968% | (n) | 07/03/17 | 10,000 | 9,999,472 | |||||||||
Federal National Mortgage Assoc. | 1.034% | (n) | 09/20/17 | 7,000 | 6,984,045 | |||||||||
Federal National Mortgage Assoc. | 1.128% | (c) | 01/11/18 | 8,000 | 8,000,000 | |||||||||
|
| |||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 666,703,399 | ||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A127
GOVERNMENT MONEY MARKET PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
REPURCHASE AGREEMENTS(m) — 5.8% | Principal Amount (000)# | Value | ||||||
HSBC Securities (USA), Inc., 1.09%, dated 06/30/17, due 07/03/17 in the amount of $32,002,907 | 32,000 | $ | 32,000,000 | |||||
RBC Capital Markets LLC, 1.07%, dated 06/30/17, due 07/03/17 in the amount of $8,747,780 | 8,747 | 8,747,000 | ||||||
|
| |||||||
TOTAL REPURCHASE AGREEMENTS |
| 40,747,000 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 100.0% |
| 707,450,399 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.0)% |
| (76,372 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 707,374,027 | |||||
|
|
See the Glossary for abbreviations used in the semiannual report.
# | Principal amount is shown in U.S. dollars unless otherwise stated. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2017. |
(m) | Repurchase Agreements are collateralized by a FHLMC (coupon rate 3.500%, maturity date 08/01/42) and a U.S. Treasury Obligation (coupon rate 1.375%, maturity date 02/15/44), with the aggregate value, including accrued interest, of $41,562,433. |
(n) | Rate quoted represents yield to maturity as of purchase date. |
Fair value measurements:
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— | unadjusted 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, 2017 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
| |||||||||||
U.S. Government Agency Obligations | $ | — | $ | 666,703,399 | $ | — | ||||||
Repurchase Agreements | — | 40,747,000 | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | — | $ | 707,450,399 | $ | — | ||||||
|
|
|
|
|
|
During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.
Industry classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:
U.S. Government Agency Obligations | 94.2 | % | ||
Repurchase Agreements | 5.8 | |||
|
| |||
100.0 | ||||
Liabilities in excess of other assets | (0.0 | )* | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
SEE NOTES TO FINANCIAL STATEMENTS.
A128
GOVERNMENT MONEY MARKET PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Financial instruments/transactions — summary of offsetting and netting arrangements:
The Portfolio entered into financial instruments/transactions 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 financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received(2) | Net Amount | |||||||||
Repurchase Agreements | $ | 40,747,000 | $ | (40,747,000 | ) | $ | — | |||||
|
|
(1) | Amount represents market value. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A129
GOVERNMENT MONEY MARKET PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2017
ASSETS | ||||
Investments, at amortized cost which approximates fair value: | $ | 707,450,399 | ||
Cash | 5,997 | |||
Receivable for Series shares sold | 208,797 | |||
Interest receivable | 135,785 | |||
Prepaid expenses | 854 | |||
|
| |||
Total Assets | 707,801,832 | |||
|
| |||
LIABILITIES | ||||
Management fee payable | 177,647 | |||
Payable for Series shares repurchased | 142,319 | |||
Shareholders’ reports payable | 49,674 | |||
Custodian and accounting fees payable | 49,295 | |||
Accrued expenses | 7,890 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 427,805 | |||
|
| |||
NET ASSETS | $ | 707,374,027 | ||
|
| |||
Net assets were comprised of: |
| |||
Paid-in capital | $ | 707,374,027 | ||
|
| |||
Net assets, June 30, 2017 | $ | 707,374,027 | ||
|
| |||
Net asset value and redemption price per share $707,374,027 / 70,734,419 outstanding shares of beneficial interest | $ | 10.00 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2017
NET INVESTMENT INCOME (LOSS) | ||||
Interest income | $ | 2,469,942 | ||
|
| |||
EXPENSES | ||||
Management fee | 1,045,151 | |||
Shareholders’ reports | 52,000 | |||
Custodian and accounting fees | 49,000 | |||
Audit fee | 12,000 | |||
Trustees’ fees | 8,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Legal fees and expenses | 5,000 | |||
Miscellaneous | 9,947 | |||
|
| |||
Total expenses | 1,187,098 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 1,282,844 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain (loss) on investment transactions | 4,354 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,287,198 | ||
|
|
STATEMENT OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 1,282,844 | $ | 657,253 | ||||
Net realized gain (loss) on investment transactions | 4,354 | 29,234 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 1,287,198 | 686,487 | ||||||
|
|
|
| |||||
DISTRIBUTIONS | (1,287,198 | ) | (686,487 | ) | ||||
|
|
|
| |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [16,327,343 and 44,748,619 shares, respectively] | 163,273,433 | 447,486,185 | ||||||
Series shares issued in reinvestment of distributions [128,720 and 68,649 shares, respectively] | 1,287,198 | 686,487 | ||||||
Series shares repurchased [18,143,120 and 37,473,140 shares, respectively] | (181,431,198 | ) | (374,731,396 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (16,870,567 | ) | 73,441,276 | |||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | (16,870,567 | ) | 73,441,276 | |||||
NET ASSETS: | ||||||||
Beginning of period | 724,244,594 | 650,803,318 | ||||||
|
|
|
| |||||
End of period | $ | 707,374,027 | $ | 724,244,594 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A130
HIGH YIELD BOND PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
LONG-TERM INVESTMENTS — 95.4% ASSET-BACKED SECURITIES — 2.5% | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
Collateralized Loan Obligations | ||||||||||||||||
Adams Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1R, 144A | 2.404% | (c) | 07/15/26 | 13,000 | $ | 13,000,000 | ||||||||||
ALM XII Ltd. (Cayman Islands), Series 2015-12A, Class A1R, 144A | 2.208% | (c) | 04/16/27 | 15,000 | 14,992,500 | |||||||||||
ALM XVI Ltd./ALM XVI LLC (Cayman Islands), Series 2015-16A, Class A1R, 144A | 2.354% | (c) | 07/15/27 | 15,000 | 15,000,000 | |||||||||||
Primus CLO II Ltd. (Cayman Islands), Series 2007-2A, Class A, 144A | 1.391% | (c) | 07/15/21 | 2 | 2,311 | |||||||||||
Regatta IV Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1R, 144A^ | 2.176% | (c) | 07/25/26 | 15,000 | 15,000,000 | |||||||||||
Silver Spring CLO Ltd. (Cayman Islands), Series 2014-1A, Class AR, 144A | 2.554% | (c) | 10/15/26 | 16,000 | 16,000,000 | |||||||||||
Silvermore CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1R, 144A^ | —% | (c)(p) | 05/15/26 | 18,337 | 18,337,360 | |||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 92,332,171 | ||||||||||||||
|
| |||||||||||||||
BANK LOANS(c) — 2.0% | ||||||||||||||||
Capital Goods — 0.1% | ||||||||||||||||
Neff Rental LLC | 7.471% | 06/09/21 | 4,275 | 4,271,658 | ||||||||||||
|
| |||||||||||||||
Chemicals — 0.1% | ||||||||||||||||
Solenis International LP | 8.046% | 07/31/22 | 5,000 | 4,975,000 | ||||||||||||
|
| |||||||||||||||
Electric — 0.2% | ||||||||||||||||
Lightstone Holdco LLC | 5.672% | 01/30/24 | 6,029 | 5,871,141 | ||||||||||||
|
| |||||||||||||||
Energy – Other — 0.0% | ||||||||||||||||
American Energy Marcellus LLC | 8.589% | 08/04/21 | 3,675 | 367,500 | ||||||||||||
|
| |||||||||||||||
Gaming — 0.2% | ||||||||||||||||
CCM Merger, Inc. | 3.976% | 08/06/21 | 3,929 | 3,946,354 | ||||||||||||
Golden Nugget, Inc. | 4.672% | 11/21/19 | 1,697 | 1,717,474 | ||||||||||||
Golden Nugget, Inc. | 4.680% | 11/21/19 | 727 | 736,060 | ||||||||||||
|
| |||||||||||||||
6,399,888 | ||||||||||||||||
|
| |||||||||||||||
Internet — 0.3% | ||||||||||||||||
Frontier Communications Corp. | 4.952% | 06/15/24 | 11,250 | 11,070,472 | ||||||||||||
|
| |||||||||||||||
Retailers — 0.2% | ||||||||||||||||
Academy Ltd. | 5.218% | 07/01/22 | 4,435 | 3,462,910 | ||||||||||||
Rite Aid Corp. | 5.105% | 06/21/21 | 3,000 | 3,006,876 | ||||||||||||
|
| |||||||||||||||
6,469,786 | ||||||||||||||||
|
| |||||||||||||||
Technology — 0.9% | ||||||||||||||||
Almonde, Inc. | 8.422% | 06/13/25 | 2,800 | 2,845,500 | ||||||||||||
Ancestry.com, Inc. | 9.460% | 10/18/24 | 4,253 | 4,348,181 | ||||||||||||
Evergreen Skills Lux Sarl (Luxembourg) | 9.476% | 04/28/22 | 18,993 | 15,681,441 | ||||||||||||
Kronos, Inc. | 9.400% | 11/01/24 | 7,500 | 7,754,685 | ||||||||||||
SourceHOV LLC | 8.046% | 10/31/19 | 3,959 | 3,932,430 | ||||||||||||
|
| |||||||||||||||
34,562,237 | ||||||||||||||||
|
| |||||||||||||||
TOTAL BANK LOANS |
| 73,987,682 | ||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS — 90.7% | ||||||||||||||||
Advertising — 0.3% | ||||||||||||||||
Acosta, Inc., Sr. Unsec’d. Notes, 144A | 7.750% | 10/01/22 | 13,150 | 9,961,125 | ||||||||||||
|
| |||||||||||||||
Aerospace & Defense — 0.6% | ||||||||||||||||
Arconic, Inc., Sr. Unsec’d. Notes(a) | 5.125% | 10/01/24 | 2,830 | 2,936,125 | ||||||||||||
Orbital ATK, Inc., Gtd. Notes | 5.250% | 10/01/21 | 2,965 | 3,061,363 | ||||||||||||
StandardAero Aviation Holdings, Inc., Gtd. Notes, 144A | 10.000% | 07/15/23 | 6,925 | 7,669,437 | ||||||||||||
TransDigm, Inc., Gtd. Notes | 6.375% | 06/15/26 | 675 | 685,125 | ||||||||||||
TransDigm, Inc., Gtd. Notes | 6.500% | 07/15/24 | 4,675 | 4,826,937 | ||||||||||||
TransDigm, Inc., Gtd. Notes | 6.500% | 05/15/25 | 1,325 | 1,348,188 | ||||||||||||
|
| |||||||||||||||
20,527,175 | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A131
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
Agriculture — 0.1% | ||||||||||||||||
Vector Group Ltd., Sr. Sec’d. Notes, 144A | 6.125% | 02/01/25 | 4,900 | $ | 5,089,875 | |||||||||||
|
| |||||||||||||||
Auto Manufacturers — 0.2% | ||||||||||||||||
Fiat Chrysler Automobiles NV (United Kingdom), Sr. Unsec’d. Notes(a) | 5.250% | 04/15/23 | 5,925 | 6,028,688 | ||||||||||||
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A | 5.625% | 02/01/23 | 650 | 676,000 | ||||||||||||
|
| |||||||||||||||
6,704,688 | ||||||||||||||||
|
| |||||||||||||||
Auto Parts & Equipment — 1.7% | ||||||||||||||||
Adient Global Holdings Ltd., Gtd. Notes, 144A | 4.875% | 08/15/26 | 7,275 | 7,293,187 | ||||||||||||
Allison Transmission, Inc., Sr. Unsec’d. Notes, 144A | 5.000% | 10/01/24 | 5,550 | 5,688,750 | ||||||||||||
American Axle & Manufacturing, Inc., Gtd. Notes(a) | 6.625% | 10/15/22 | 2,175 | 2,229,375 | ||||||||||||
American Axle & Manufacturing, Inc., Gtd. Notes | 7.750% | 11/15/19 | 675 | 740,813 | ||||||||||||
American Axle & Manufacturing, Inc., Gtd. Notes, 144A(a) | 6.250% | 04/01/25 | 6,600 | 6,435,000 | ||||||||||||
American Axle & Manufacturing, Inc., Gtd. Notes, 144A(a) | 6.500% | 04/01/27 | 3,050 | 2,966,125 | ||||||||||||
Cooper-Standard Automotive, Inc., Gtd. Notes, 144A | 5.625% | 11/15/26 | 5,150 | 5,169,312 | ||||||||||||
Dana Financing Luxembourg Sarl, Gtd. Notes, 144A | 6.500% | 06/01/26 | 850 | 904,719 | ||||||||||||
Dana, Inc., Sr. Unsec’d. Notes | 5.375% | 09/15/21 | 2,375 | 2,443,281 | ||||||||||||
IHO Verwaltungs GmbH (Germany), Sr. Sec’d. Notes, PIK, 144A | 4.500% | 09/15/23 | 4,525 | 4,592,875 | ||||||||||||
IHO Verwaltungs GmbH (Germany), Sr. Sec’d. Notes, PIK, 144A | 4.750% | 09/15/26 | 200 | 202,250 | ||||||||||||
Meritor, Inc., Gtd. Notes | 6.250% | 02/15/24 | 1,025 | 1,068,563 | ||||||||||||
Meritor, Inc., Gtd. Notes | 6.750% | 06/15/21 | 5,405 | 5,594,175 | ||||||||||||
Schaeffler Finance BV (Germany), Sr. Sec’d. Notes, 144A | 4.750% | 05/15/23 | 4,419 | 4,551,570 | ||||||||||||
TI Group Automotive Systems LLC (United Kingdom), Gtd. Notes, 144A | 8.750% | 07/15/23 | 5,075 | 5,366,812 | ||||||||||||
ZF North America Capital, Inc. (Germany), Gtd. Notes, 144A | 4.500% | 04/29/22 | 4,650 | 4,882,500 | ||||||||||||
ZF North America Capital, Inc. (Germany), Gtd. Notes, 144A | 4.750% | 04/29/25 | 3,225 | 3,402,375 | ||||||||||||
|
| |||||||||||||||
63,531,682 | ||||||||||||||||
|
| |||||||||||||||
Banks — 0.1% | ||||||||||||||||
Bank of America Corp., Jr. Sub. Notes | 8.125% | (c) | 12/29/49 | 1,250 | 1,299,812 | |||||||||||
Citigroup, Inc., Jr. Sub. Notes | 5.950% | (c) | 12/31/49 | 175 | 187,518 | |||||||||||
HBOS PLC (United Kingdom), Sub. Notes, 144A, GMTN | 6.750% | 05/21/18 | 400 | 416,052 | ||||||||||||
|
| |||||||||||||||
1,903,382 | ||||||||||||||||
|
| |||||||||||||||
Beverages — 0.2% | ||||||||||||||||
Cott Holdings, Inc. (Canada), Gtd. Notes, 144A | 5.500% | 04/01/25 | 7,800 | 7,956,000 | ||||||||||||
|
| |||||||||||||||
Building Materials — 1.8% | ||||||||||||||||
Builders FirstSource, Inc., Gtd. Notes, 144A(a) | 10.750% | 08/15/23 | 7,650 | 8,874,000 | ||||||||||||
Builders FirstSource, Inc., Sr. Sec’d. Notes, 144A | 5.625% | 09/01/24 | 3,150 | 3,279,938 | ||||||||||||
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A | 7.750% | 04/16/26 | 3,625 | 4,146,094 | ||||||||||||
Griffon Corp., Gtd. Notes | 5.250% | 03/01/22 | 15,960 | 16,259,250 | ||||||||||||
James Hardie International Finance DAC (Ireland), Gtd. Notes, 144A | 5.875% | 02/15/23 | 6,728 | 7,047,580 | ||||||||||||
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A(g) | 5.375% | 11/15/24 | 3,750 | 3,951,562 | ||||||||||||
Summit Materials LLC/Summit Materials Finance Corp., Gtd. Notes | 6.125% | 07/15/23 | 6,550 | 6,861,125 | ||||||||||||
Summit Materials LLC/Summit Materials Finance Corp., Gtd. Notes(a) | 8.500% | 04/15/22 | 4,800 | 5,424,000 | ||||||||||||
Summit Materials LLC/Summit Materials Finance Corp., Gtd. Notes, 144A | 5.125% | 06/01/25 | 1,900 | 1,947,500 | ||||||||||||
US Concrete, Inc., Gtd. Notes | 6.375% | 06/01/24 | 5,300 | 5,591,500 | ||||||||||||
US Concrete, Inc., Gtd. Notes, 144A | 6.375% | 06/01/24 | 1,625 | 1,714,375 | ||||||||||||
USG Corp., Gtd. Notes, 144A(a) | 5.500% | 03/01/25 | 630 | 669,375 | ||||||||||||
|
| |||||||||||||||
65,766,299 | ||||||||||||||||
|
| |||||||||||||||
Chemicals — 4.8% | ||||||||||||||||
A Schulman, Inc., Gtd. Notes | 6.875% | (c) | 06/01/23 | 14,217 | 15,034,477 | |||||||||||
Alpha 3 BV/Alpha US Bidco, Inc. (United Kingdom), Gtd. Notes, 144A | 6.250% | 02/01/25 | 3,225 | 3,317,719 | ||||||||||||
Ashland LLC, Gtd. Notes | 6.875% | 05/15/43 | 4,000 | 4,340,000 | ||||||||||||
Blue Cube Spinco, Inc., Gtd. Notes | 9.750% | 10/15/23 | 6,440 | 7,792,400 | ||||||||||||
Blue Cube Spinco, Inc., Gtd. Notes | 10.000% | 10/15/25 | 2,940 | 3,623,550 | ||||||||||||
Chemours Co. (The), Gtd. Notes | 5.375% | 05/15/27 | 3,825 | 3,948,892 | ||||||||||||
Chemours Co. (The), Gtd. Notes | 6.625% | 05/15/23 | 7,760 | 8,206,200 |
SEE NOTES TO FINANCIAL STATEMENTS.
A132
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
Chemicals (continued) | ||||||||||||||||
Chemours Co. (The), Gtd. Notes | 7.000% | 05/15/25 | 6,650 | $ | 7,248,500 | |||||||||||
CVR Partners LP/CVR Nitrogen Finance Corp., Sec’d. Notes, 144A(a) | 9.250% | 06/15/23 | 4,525 | 4,734,281 | ||||||||||||
Eco Services Operations LLC/Eco Finance Corp., Sr. Unsec’d. Notes, 144A(g) | 8.500% | 11/01/22 | 4,000 | 4,190,000 | ||||||||||||
GCP Applied Technologies, Inc., Gtd. Notes, 144A | 9.500% | 02/01/23 | 4,175 | 4,749,063 | ||||||||||||
Hexion, Inc., Sec’d. Notes, 144A(a) | 13.750% | 02/01/22 | 8,945 | 7,871,600 | ||||||||||||
Hexion, Inc., Sr. Sec’d. Notes | 6.625% | 04/15/20 | 4,175 | 3,809,688 | ||||||||||||
Hexion, Inc., Sr. Sec’d. Notes, 144A | 10.375% | 02/01/22 | 4,865 | 4,816,350 | ||||||||||||
Hexion, Inc./Hexion Nova Scotia Finance ULC, Sec’d. Notes | 9.000% | 11/15/20 | 14,905 | 10,172,662 | ||||||||||||
Kraton Polymers LLC/Kraton Polymers Capital Corp., Gtd. Notes, 144A | 7.000% | 04/15/25 | 1,985 | 2,084,250 | ||||||||||||
NOVA Chemicals Corp. (Canada), Sr. Unsec’d. Notes, 144A | 4.875% | 06/01/24 | 1,720 | 1,713,550 | ||||||||||||
NOVA Chemicals Corp. (Canada), Sr. Unsec’d. Notes, 144A | 5.000% | 05/01/25 | 1,450 | 1,442,750 | ||||||||||||
NOVA Chemicals Corp. (Canada), Sr. Unsec’d. Notes, 144A | 5.250% | 06/01/27 | 14,425 | 14,352,875 | ||||||||||||
Platform Specialty Products Corp., Sr. Unsec’d. Notes, 144A(a) | 6.500% | 02/01/22 | 5,945 | 6,138,213 | ||||||||||||
Platform Specialty Products Corp., Sr. Unsec’d. Notes, 144A | 10.375% | 05/01/21 | 3,525 | 3,899,531 | ||||||||||||
PQ Corp., Sr. Sec’d. Notes, 144A(g) | 6.750% | 11/15/22 | 3,025 | 3,251,875 | ||||||||||||
Rain CII Carbon LLC/CII Carbon Corp., Sec’d. Notes, 144A | 7.250% | 04/01/25 | 9,905 | 10,226,912 | ||||||||||||
TPC Group, Inc., Sr. Sec’d. Notes, 144A(g) | 8.750% | 12/15/20 | 21,970 | 19,773,000 | ||||||||||||
Tronox Finance LLC, Gtd. Notes(a) | 6.375% | 08/15/20 | 8,236 | 8,256,590 | ||||||||||||
Tronox Finance LLC, Gtd. Notes, 144A(a) | 7.500% | 03/15/22 | 8,470 | 8,724,100 | ||||||||||||
Venator Finance S.a.r.l/Venator Materials Corp. (Luxembourg), Sr. Unsec’d. Notes, 144A | 5.750% | 07/15/25 | 2,425 | 2,449,250 | ||||||||||||
|
| |||||||||||||||
176,168,278 | ||||||||||||||||
|
| |||||||||||||||
Coal — 1.0% | ||||||||||||||||
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp., Gtd. Notes, 144A | 7.500% | 05/01/25 | 4,025 | 4,231,281 | ||||||||||||
CONSOL Energy, Inc., Gtd. Notes | 5.875% | 04/15/22 | 22,226 | 21,837,045 | ||||||||||||
CONSOL Energy, Inc., Gtd. Notes | 8.000% | 04/01/23 | 3,539 | 3,715,950 | ||||||||||||
Peabody Energy Corp., Sr. Sec’d. Notes, 144A(a) | 6.375% | 03/31/25 | 7,228 | 7,119,580 | ||||||||||||
|
| |||||||||||||||
36,903,856 | ||||||||||||||||
|
| |||||||||||||||
Commercial Services — 2.0% | ||||||||||||||||
Ahern Rentals, Inc., Sec’d. Notes, 144A | 7.375% | 05/15/23 | 7,875 | 6,457,500 | ||||||||||||
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A | 6.500% | 07/15/22 | 7,775 | 8,056,844 | ||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes, 144A(a) | 5.125% | 06/01/22 | 2,400 | 2,376,000 | ||||||||||||
Laureate Education, Inc., Gtd. Notes, 144A | 8.250% | 05/01/25 | 29,250 | 31,370,625 | ||||||||||||
R.R. Donnelley & Sons Co., Sr. Unsec’d. Notes(a) | 6.000% | 04/01/24 | 940 | 915,325 | ||||||||||||
R.R. Donnelley & Sons Co., Sr. Unsec’d. Notes(a) | 6.500% | 11/15/23 | 1,535 | 1,531,163 | ||||||||||||
United Rentals North America, Inc., Gtd. Notes | 5.500% | 07/15/25 | 3,725 | 3,901,937 | ||||||||||||
United Rentals North America, Inc., Gtd. Notes | 5.500% | 05/15/27 | 6,850 | 7,055,500 | ||||||||||||
United Rentals North America, Inc., Gtd. Notes | 5.750% | 11/15/24 | 5,150 | 5,394,625 | ||||||||||||
United Rentals North America, Inc., Gtd. Notes | 5.875% | 09/15/26 | 3,400 | 3,621,000 | ||||||||||||
United Rentals North America, Inc., Gtd. Notes | 6.125% | 06/15/23 | 2,600 | 2,707,250 | ||||||||||||
United Rentals North America, Inc., Gtd. Notes | 7.625% | 04/15/22 | 698 | 729,410 | ||||||||||||
|
| |||||||||||||||
74,117,179 | ||||||||||||||||
|
| |||||||||||||||
Computers — 1.3% | ||||||||||||||||
Dell International LLC/EMC Corp., Gtd. Notes, 144A(a) | 7.125% | 06/15/24 | 6,025 | 6,623,017 | ||||||||||||
Exela Intermediate LLC/Exela Finance, Inc., Sr. Sec’d. Notes, 144A | 10.000% | 07/15/23 | 13,320 | 13,153,500 | ||||||||||||
Western Digital Corp., Gtd. Notes | 10.500% | 04/01/24 | 23,445 | 27,657,598 | ||||||||||||
|
| |||||||||||||||
47,434,115 | ||||||||||||||||
|
| |||||||||||||||
Distribution/Wholesale — 0.9% | ||||||||||||||||
Beacon Roofing Supply, Inc., Gtd. Notes | 6.375% | 10/01/23 | 4,725 | 5,079,375 | ||||||||||||
Global Partners LP/GLP Finance Corp., Gtd. Notes | 6.250% | 07/15/22 | 4,075 | 4,095,375 | ||||||||||||
Global Partners LP/GLP Finance Corp., Gtd. Notes | 7.000% | 06/15/23 | 9,600 | 9,552,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
A133
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Distribution/Wholesale (continued) | ||||||||||||||
H&E Equipment Services, Inc., Gtd. Notes(a) | 7.000% | 09/01/22 | 10,820 | $ | 11,252,800 | |||||||||
HD Supply, Inc., Sr. Sec’d. Notes, 144A | 5.250% | 12/15/21 | 1,975 | 2,072,516 | ||||||||||
|
| |||||||||||||
32,052,066 | ||||||||||||||
|
| |||||||||||||
Diversified Financial Services — 1.9% | ||||||||||||||
Ally Financial, Inc., Gtd. Notes(a) | 8.000% | 03/15/20 | 2,243 | 2,551,413 | ||||||||||
Ally Financial, Inc., Sr. Unsec’d. Notes | 3.750% | 11/18/19 | 4,075 | 4,166,687 | ||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes | 5.000% | 08/15/22 | 8,900 | 9,589,750 | ||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes, 144A | 5.500% | 02/15/19 | 268 | 281,400 | ||||||||||
FBM Finance, Inc., Sr. Sec’d. Notes, 144A | 8.250% | 08/15/21 | 4,125 | 4,418,906 | ||||||||||
KCG Holdings, Inc., Sr. Sec’d. Notes, 144A | 6.875% | 03/15/20 | 7,675 | 7,943,625 | ||||||||||
LPL Holdings, Inc., Gtd. Notes, 144A | 5.750% | 09/15/25 | 5,150 | 5,356,000 | ||||||||||
Navient Corp., Sr. Unsec’d. Notes | 5.000% | 10/26/20 | 1,500 | 1,556,250 | ||||||||||
Navient Corp., Sr. Unsec’d. Notes(a) | 5.875% | 10/25/24 | 1,075 | 1,094,135 | ||||||||||
Navient Corp., Sr. Unsec’d. Notes | 6.625% | 07/26/21 | 2,400 | 2,583,000 | ||||||||||
Navient Corp., Sr. Unsec’d. Notes | 7.250% | 09/25/23 | 2,775 | 2,990,062 | ||||||||||
Navient Corp., Sr. Unsec’d. Notes, MTN(a) | 6.125% | 03/25/24 | 1,800 | 1,854,000 | ||||||||||
Navient Corp., Sr. Unsec’d. Notes, MTN | 8.000% | 03/25/20 | 6,100 | 6,816,750 | ||||||||||
NFP Corp., Sr. Unsec’d. Notes, 144A | 9.000% | 07/15/21 | 2,375 | 2,492,088 | ||||||||||
OneMain Financial Holdings LLC, Gtd. Notes, 144A(g) | 6.750% | 12/15/19 | 575 | 603,750 | ||||||||||
OneMain Financial Holdings LLC, Gtd. Notes, 144A(g) | 7.250% | 12/15/21 | 305 | 321,241 | ||||||||||
Orchestra Borrower LLC/Orchestra Co-Issuer, Inc., Sec’d. Notes, 144A | 6.750% | 06/15/22 | 3,175 | 3,271,520 | ||||||||||
Springleaf Finance Corp., Gtd. Notes | 6.000% | 06/01/20 | 6,675 | 7,042,125 | ||||||||||
Transworld Systems, Inc., Sr. Sec’d. Notes, 144A(g) | 9.500% | 08/15/21 | 9,000 | 5,962,500 | ||||||||||
|
| |||||||||||||
70,895,202 | ||||||||||||||
|
| |||||||||||||
Electric — 5.1% | ||||||||||||||
AES Corp., Sr. Unsec’d. Notes | 4.875% | 05/15/23 | 900 | 916,875 | ||||||||||
AES Corp., Sr. Unsec’d. Notes | 5.500% | 03/15/24 | 25 | 26,031 | ||||||||||
AES Corp., Sr. Unsec’d. Notes | 5.500% | 04/15/25 | 200 | 209,250 | ||||||||||
AES Corp., Sr. Unsec’d. Notes | 7.375% | 07/01/21 | 10,499 | 12,021,355 | ||||||||||
Calpine Corp., Sr. Unsec’d. Notes(a) | 5.375% | 01/15/23 | 10,710 | 10,442,250 | ||||||||||
Calpine Corp., Sr. Unsec’d. Notes | 5.500% | 02/01/24 | 13,150 | 12,459,625 | ||||||||||
Calpine Corp., Sr. Unsec’d. Notes(a) | 5.750% | 01/15/25 | 7,825 | 7,335,938 | ||||||||||
DPL, Inc., Sr. Unsec’d. Notes | 6.750% | 10/01/19 | 4,250 | 4,441,250 | ||||||||||
DPL, Inc., Sr. Unsec’d. Notes | 7.250% | 10/15/21 | 14,050 | 15,033,500 | ||||||||||
Dynegy, Inc., Gtd. Notes(a) | 5.875% | 06/01/23 | 5,210 | 4,871,350 | ||||||||||
Dynegy, Inc., Gtd. Notes(a) | 7.375% | 11/01/22 | 29,330 | 28,963,375 | ||||||||||
Dynegy, Inc., Gtd. Notes(a) | 7.625% | 11/01/24 | 20,730 | 20,108,100 | ||||||||||
Dynegy, Inc., Gtd. Notes | 8.034% | 02/02/24 | 11,325 | 10,702,125 | ||||||||||
Dynegy, Inc., Gtd. Notes, 144A | 8.000% | 01/15/25 | 1,150 | 1,115,500 | ||||||||||
GenOn Energy, Inc., Sr. Unsec’d. Notes(d) | 7.875% | (e) | 06/15/17 | 13,969 | 8,381,400 | |||||||||
GenOn Energy, Inc., Sr. Unsec’d. Notes(d) | 9.500% | 10/15/18 | 3,350 | 1,993,250 | ||||||||||
GenOn Energy, Inc., Sr. Unsec’d. Notes(a)(d) | 9.875% | 10/15/20 | 16,646 | 9,904,370 | ||||||||||
Mirant Corp., Bonds, 144A^(d)(g) | 7.400% | 07/15/49 | 1,825 | 1,825 | ||||||||||
Mirant Mid-Atlantic, Pass-Through Certificates | 10.060% | 12/30/28 | 4,837 | 4,547,129 | ||||||||||
Mirant Mid-Atlantic Trust, Pass-Through Certificates, 144A | 9.125% | (c) | 05/15/26 | 1,063 | 1,031,253 | |||||||||
NRG Energy, Inc., Gtd. Notes | 6.250% | 07/15/22 | 5,485 | 5,628,981 | ||||||||||
NRG Energy, Inc., Gtd. Notes(a) | 6.250% | 05/01/24 | 3,535 | 3,570,350 | ||||||||||
NRG Energy, Inc., Gtd. Notes | 6.625% | 03/15/23 | 3,291 | 3,381,503 | ||||||||||
NRG Energy, Inc., Gtd. Notes | 6.625% | 01/15/27 | 3,850 | 3,854,813 | ||||||||||
NRG Energy, Inc., Gtd. Notes | 7.250% | 05/15/26 | 7,725 | 7,995,375 | ||||||||||
NRG Energy, Inc., Gtd. Notes(a) | 7.875% | 05/15/21 | 326 | 336,595 | ||||||||||
NRG REMA LLC, Pass-Through Certificates | 9.237% | 07/02/17 | 274 | 271,021 | ||||||||||
NRG REMA LLC, Pass-Through Certificates(g) | 9.681% | 07/02/26 | 8,835 | 6,626,250 | ||||||||||
Red Oak Power LLC, Sr. Sec’d. Notes | 9.200% | 11/30/29 | 200 | 215,000 | ||||||||||
Stoneway Capital Corp. (Argentina), Sr. Sec’d. Notes, 144A | 10.000% | 03/01/27 | 3,095 | 3,266,215 | ||||||||||
|
| |||||||||||||
189,651,854 | ||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A134
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Electrical Components & Equipment — 0.2% | ||||||||||||||
Belden, Inc., Gtd. Notes, 144A | 5.500% | 09/01/22 | 4,025 | $ | 4,145,750 | |||||||||
General Cable Corp., Gtd. Notes | 5.750% | (c) | 10/01/22 | 3,225 | 3,225,000 | |||||||||
|
| |||||||||||||
7,370,750 | ||||||||||||||
|
| |||||||||||||
Engineering & Construction — 0.3% | ||||||||||||||
AECOM, Gtd. Notes | 5.875% | 10/15/24 | 6,805 | 7,400,437 | ||||||||||
AECOM, Gtd. Notes, 144A | 5.125% | 03/15/27 | 5,125 | 5,144,219 | ||||||||||
|
| |||||||||||||
12,544,656 | ||||||||||||||
|
| |||||||||||||
Entertainment — 3.6% | ||||||||||||||
AMC Entertainment Holdings, Inc., Gtd. Notes | 5.750% | 06/15/25 | 7,325 | 7,618,000 | ||||||||||
AMC Entertainment Holdings, Inc., Gtd. Notes, 144A | 5.875% | 11/15/26 | 5,075 | 5,297,031 | ||||||||||
Carmike Cinemas, Inc., Sec’d. Notes, 144A | 6.000% | 06/15/23 | 3,675 | 3,877,125 | ||||||||||
Cinemark USA, Inc., Gtd. Notes | 4.875% | 06/01/23 | 10,344 | 10,567,017 | ||||||||||
Cinemark USA, Inc., Gtd. Notes | 5.125% | 12/15/22 | 2,825 | 2,909,750 | ||||||||||
Eldorado Resorts, Inc., Gtd. Notes | 7.000% | 08/01/23 | 8,200 | 8,866,250 | ||||||||||
Eldorado Resorts, Inc., Gtd. Notes, 144A | 6.000% | 04/01/25 | 1,925 | 2,040,500 | ||||||||||
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes | 5.375% | 11/01/23 | 5,425 | 5,899,687 | ||||||||||
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes | 5.375% | 04/15/26 | 750 | 819,218 | ||||||||||
International Game Technology PLC, Sr. Sec’d. Notes, 144A | 6.500% | 02/15/25 | 7,170 | 7,869,075 | ||||||||||
Jacobs Entertainment, Inc., Sec’d. Notes, 144A | 7.875% | 02/01/24 | 2,325 | 2,522,625 | ||||||||||
Mood Media Corp., Gtd. Notes, 144A | 9.250% | (c) | 10/15/20 | 3,700 | 2,368,000 | |||||||||
National CineMedia LLC, Sr. Sec’d. Notes | 6.000% | 04/15/22 | 2,325 | 2,377,313 | ||||||||||
National CineMedia LLC, Sr. Unsec’d. Notes | 5.750% | 08/15/26 | 7,175 | 6,959,750 | ||||||||||
Penn National Gaming, Inc., Sr. Unsec’d. Notes, 144A(a) | 5.625% | 01/15/27 | 3,225 | 3,285,469 | ||||||||||
Pinnacle Entertainment, Inc., Sr. Unsec’d. Notes, 144A(a) | 5.625% | 05/01/24 | 9,550 | 9,932,000 | ||||||||||
Regal Entertainment Group, Sr. Unsec’d. Notes | 5.750% | 02/01/25 | 2,970 | 3,066,525 | ||||||||||
Scientific Games International, Inc., Gtd. Notes | 6.625% | 05/15/21 | 26,241 | 26,109,795 | ||||||||||
Scientific Games International, Inc., Gtd. Notes | 10.000% | 12/01/22 | 12,750 | 13,977,187 | ||||||||||
Scientific Games International, Inc., Sr. Sec’d. Notes, 144A | 7.000% | 01/01/22 | 6,325 | 6,736,125 | ||||||||||
|
| |||||||||||||
133,098,442 | ||||||||||||||
|
| |||||||||||||
Environmental Control — 0.3% | ||||||||||||||
Advanced Disposal Services, Inc., Gtd. Notes, 144A | 5.625% | 11/15/24 | 7,325 | 7,544,750 | ||||||||||
Clean Harbors, Inc., Gtd. Notes | 5.125% | 06/01/21 | 1,060 | 1,082,525 | ||||||||||
GFL Environmental, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 5.625% | 05/01/22 | 2,525 | 2,581,813 | ||||||||||
|
| |||||||||||||
11,209,088 | ||||||||||||||
|
| |||||||||||||
Food — 2.2% | ||||||||||||||
Albertsons Cos LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, Gtd. Notes, 144A | 5.750% | 03/15/25 | 11,715 | 10,894,950 | ||||||||||
Darling Ingredients, Inc., Gtd. Notes | 5.375% | 01/15/22 | 2,225 | 2,314,000 | ||||||||||
Hearthside Group Holdings LLC/Hearthside Finance Co., Gtd. Notes, 144A | 6.500% | 05/01/22 | 8,700 | 8,656,500 | ||||||||||
Ingles Markets, Inc., Sr. Unsec’d. Notes | 5.750% | 06/15/23 | 3,700 | 3,639,875 | ||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A(a)(g) | 5.750% | 06/15/25 | 9,725 | 9,141,500 | ||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A(g) | 5.875% | 07/15/24 | 9,850 | 9,234,375 | ||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A(g) | 7.250% | 06/01/21 | 1,000 | 999,500 | ||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A(g) | 7.250% | 06/01/21 | 10,810 | 10,804,595 | ||||||||||
Pilgrim’s Pride Corp., Gtd. Notes, 144A | 5.750% | 03/15/25 | 3,200 | 3,208,000 | ||||||||||
Post Holdings, Inc., Gtd. Notes, 144A | 5.000% | 08/15/26 | 3,425 | 3,416,438 | ||||||||||
Post Holdings, Inc., Gtd. Notes, 144A | 6.000% | 12/15/22 | 6,825 | 7,234,500 | ||||||||||
SUPERVALU, Inc., Sr. Unsec’d. Notes | 6.750% | 06/01/21 | 3,625 | 3,552,500 | ||||||||||
SUPERVALU, Inc., Sr. Unsec’d. Notes(a) | 7.750% | 11/15/22 | 9,225 | 8,971,312 | ||||||||||
|
| |||||||||||||
82,068,045 | ||||||||||||||
|
| |||||||||||||
Forest Products & Paper — 0.1% | ||||||||||||||
Mercer International, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 6.500% | 02/01/24 | 2,025 | 2,114,485 | ||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A135
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Gas — 0.4% | ||||||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp., Sr. Unsec’d. Notes | 5.625% | 05/20/24 | 4,800 | $ | 4,944,000 | |||||||||
AmeriGas Partners LP/AmeriGas Finance Corp., Sr. Unsec’d. Notes | 5.875% | 08/20/26 | 4,800 | 4,920,000 | ||||||||||
NGL Energy Partners LP/NGL Energy Finance Corp., Gtd. Notes, 144A | 7.500% | 11/01/23 | 4,875 | 4,807,969 | ||||||||||
|
| |||||||||||||
14,671,969 | ||||||||||||||
|
| |||||||||||||
Hand/Machine Tools — 0.1% | ||||||||||||||
Apex Tool Group LLC, Gtd. Notes, 144A(g) | 7.000% | 02/01/21 | 5,375 | 4,998,750 | ||||||||||
|
| |||||||||||||
Healthcare-Products — 0.6% | ||||||||||||||
Greatbatch Ltd., Gtd. Notes, 144A | 9.125% | 11/01/23 | 9,650 | 10,277,250 | ||||||||||
Mallinckrodt International Finance SA, Gtd. Notes(a) | 4.750% | 04/15/23 | 10,125 | 8,631,562 | ||||||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Gtd. Notes, 144A(a) | 5.500% | 04/15/25 | 3,275 | 2,865,625 | ||||||||||
|
| |||||||||||||
21,774,437 | ||||||||||||||
|
| |||||||||||||
Healthcare-Services — 5.7% | ||||||||||||||
Acadia Healthcare Co., Inc., Gtd. Notes | 5.625% | 02/15/23 | 9,600 | 9,930,000 | ||||||||||
Acadia Healthcare Co., Inc., Gtd. Notes | 6.125% | 03/15/21 | 3,206 | 3,306,187 | ||||||||||
Acadia Healthcare Co., Inc., Gtd. Notes | 6.500% | 03/01/24 | 2,075 | 2,215,063 | ||||||||||
Centene Corp., Sr. Unsec’d. Notes | 4.750% | 05/15/22 | 5,975 | 6,236,406 | ||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes(a) | 6.875% | 02/01/22 | 23,784 | 20,781,270 | ||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes(a) | 7.125% | 07/15/20 | 20,100 | 19,572,375 | ||||||||||
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes | 6.250% | 03/31/23 | 8,325 | 8,594,314 | ||||||||||
HCA, Inc., Gtd. Notes | 5.375% | 02/01/25 | 33,790 | 35,641,692 | ||||||||||
HCA, Inc., Gtd. Notes | 5.875% | 05/01/23 | 3,797 | 4,133,984 | ||||||||||
HCA, Inc., Gtd. Notes | 5.875% | 02/15/26 | 2,875 | 3,105,000 | ||||||||||
HealthSouth Corp., Gtd. Notes | 5.125% | 03/15/23 | 1,475 | 1,519,250 | ||||||||||
HealthSouth Corp., Gtd. Notes | 5.750% | 11/01/24 | 6,600 | 6,773,250 | ||||||||||
Kindred Healthcare, Inc., Gtd. Notes | 8.000% | 01/15/20 | 4,025 | 4,226,250 | ||||||||||
Kindred Healthcare, Inc., Gtd. Notes | 8.750% | 01/15/23 | 614 | 645,468 | ||||||||||
MPH Acquisition Holdings LLC, Gtd. Notes, 144A | 7.125% | 06/01/24 | 1,225 | 1,306,156 | ||||||||||
Select Medical Corp., Gtd. Notes | 6.375% | 06/01/21 | 14,895 | 15,304,612 | ||||||||||
Surgery Center Holdings, Inc., Gtd. Notes, 144A | 6.750% | 07/01/25 | 2,225 | 2,252,813 | ||||||||||
Surgery Center Holdings, Inc., Gtd. Notes, 144A | 8.875% | 04/15/21 | 3,475 | 3,766,031 | ||||||||||
Tenet Healthcare Corp., Sr. Sec’d. Notes | 4.375% | 10/01/21 | 835 | 847,525 | ||||||||||
Tenet Healthcare Corp., Sr. Sec’d. Notes | 4.500% | 04/01/21 | 2,725 | 2,769,281 | ||||||||||
Tenet Healthcare Corp., Sr. Sec’d. Notes | 4.750% | 06/01/20 | 3,225 | 3,337,875 | ||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes | 6.750% | 02/01/20 | 9,675 | 10,062,000 | ||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes(a) | 6.750% | 06/15/23 | 10,600 | 10,600,000 | ||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes(a) | 8.000% | 08/01/20 | 1,950 | 1,974,375 | ||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes(a) | 8.125% | 04/01/22 | 25,930 | 27,518,212 | ||||||||||
THC Escrow Corp. IIII, Sr. Unsec’d. Notes, 144A(a) | 7.000% | 08/01/25 | 5,700 | 5,678,625 | ||||||||||
|
| |||||||||||||
212,098,014 | ||||||||||||||
|
| |||||||||||||
Home Builders — 4.0% | ||||||||||||||
AV Homes, Inc., Sr. Unsec’d. Notes, 144A | 6.625% | 05/15/22 | 2,625 | 2,707,031 | ||||||||||
Beazer Homes USA, Inc., Gtd. Notes | 5.750% | 06/15/19 | 7,250 | 7,598,906 | ||||||||||
Beazer Homes USA, Inc., Gtd. Notes | 6.750% | 03/15/25 | 3,900 | 4,065,750 | ||||||||||
Beazer Homes USA, Inc., Gtd. Notes | 7.250% | (c) | 02/01/23 | 4,475 | 4,687,562 | |||||||||
Beazer Homes USA, Inc., Gtd. Notes | 8.750% | 03/15/22 | 2,600 | 2,899,000 | ||||||||||
Brookfield Residential Properties, Inc. (Canada), Gtd. Notes, 144A | 6.375% | 05/15/25 | 10,675 | 11,048,625 | ||||||||||
Brookfield Residential Properties, Inc. (Canada), Gtd. Notes, 144A | 6.500% | 12/15/20 | 400 | 413,000 | ||||||||||
CalAtlantic Group, Inc., Gtd. Notes | 5.375% | 10/01/22 | 2,900 | 3,124,750 | ||||||||||
CalAtlantic Group, Inc., Gtd. Notes | 5.875% | 11/15/24 | 1,500 | 1,625,625 | ||||||||||
CalAtlantic Group, Inc., Gtd. Notes | 6.250% | 12/15/21 | 6,000 | 6,720,000 | ||||||||||
CalAtlantic Group, Inc., Gtd. Notes | 8.375% | 01/15/21 | 3,125 | 3,695,313 | ||||||||||
KB Home, Gtd. Notes | 7.000% | 12/15/21 | 2,725 | 3,052,000 | ||||||||||
KB Home, Gtd. Notes | 7.500% | 09/15/22 | 1,600 | 1,806,000 | ||||||||||
KB Home, Gtd. Notes | 7.625% | 05/15/23 | 6,050 | 6,791,125 | ||||||||||
Lennar Corp., Gtd. Notes | 4.750% | 05/30/25 | 5,875 | 6,139,375 |
SEE NOTES TO FINANCIAL STATEMENTS.
A136
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Home Builders (continued) | ||||||||||||||
Lennar Corp., Gtd. Notes | 4.875% | 12/15/23 | 2,420 | $ | 2,572,763 | |||||||||
M/I Homes, Inc., Gtd. Notes | 6.750% | 01/15/21 | 3,475 | 3,640,063 | ||||||||||
Mattamy Group Corp. (Canada), Sr. Unsec’d. Notes, 144A(g) | 6.875% | 12/15/23 | 6,550 | 6,689,187 | ||||||||||
Meritage Homes Corp., Gtd. Notes | 6.000% | 06/01/25 | 3,600 | 3,852,000 | ||||||||||
Meritage Homes Corp., Gtd. Notes, 144A | 5.125% | 06/06/27 | 3,475 | 3,479,344 | ||||||||||
New Home Co., Inc. (The), Gtd. Notes, 144A | 7.250% | 04/01/22 | 2,850 | 2,949,750 | ||||||||||
PulteGroup, Inc., Gtd. Notes | 5.000% | 01/15/27 | 6,050 | 6,208,812 | ||||||||||
PulteGroup, Inc., Gtd. Notes | 5.500% | 03/01/26 | 7,925 | 8,440,125 | ||||||||||
Shea Homes LP/Shea Homes Funding Corp., Gtd. Notes, 144A | 5.875% | 04/01/23 | 1,300 | 1,338,350 | ||||||||||
Shea Homes LP/Shea Homes Funding Corp., Gtd. Notes, 144A | 6.125% | 04/01/25 | 1,200 | 1,239,000 | ||||||||||
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., Gtd. Notes, 144A | 5.250% | 04/15/21 | 1,000 | 1,025,000 | ||||||||||
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., Gtd. Notes, 144A | 5.625% | 03/01/24 | 3,163 | 3,305,335 | ||||||||||
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., Gtd. Notes, 144A | 5.875% | 04/15/23 | 10,312 | 11,008,060 | ||||||||||
WCI Communities, Inc./Lennar Corp., Gtd. Notes | 6.875% | 08/15/21 | 6,645 | 6,915,385 | ||||||||||
William Lyon Homes, Inc., Gtd. Notes | 5.875% | 01/31/25 | 5,475 | 5,639,250 | ||||||||||
William Lyon Homes, Inc., Gtd. Notes | 7.000% | 08/15/22 | 12,875 | 13,325,625 | ||||||||||
|
| |||||||||||||
148,002,111 | ||||||||||||||
|
| |||||||||||||
Housewares — 0.1% | ||||||||||||||
Scotts Miracle-Gro Co. (The), Gtd. Notes | 6.000% | 10/15/23 | 1,900 | 2,039,650 | ||||||||||
|
| |||||||||||||
Internet — 0.1% | ||||||||||||||
Zayo Group LLC/Zayo Capital, Inc., Gtd. Notes, 144A | 5.750% | 01/15/27 | 3,965 | 4,148,381 | ||||||||||
|
| |||||||||||||
Iron/Steel — 0.4% | ||||||||||||||
Cliffs Natural Resources, Inc., Gtd. Notes, 144A(a) | 5.750% | 03/01/25 | 2,925 | 2,756,813 | ||||||||||
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., Gtd. Notes, 144A(g) | 6.375% | 05/01/22 | 12,750 | 13,323,750 | ||||||||||
|
| |||||||||||||
16,080,563 | ||||||||||||||
|
| |||||||||||||
Leisure Time — 0.5% | ||||||||||||||
Royal Caribbean Cruises Ltd., Sr. Unsec’d. Notes | 7.250% | 03/15/18 | 2,425 | 2,507,450 | ||||||||||
Silversea Cruise Finance Ltd., Sr. Sec’d. Notes, 144A | 7.250% | 02/01/25 | 4,950 | 5,277,937 | ||||||||||
Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A | 6.250% | 05/15/25 | 4,425 | 4,458,188 | ||||||||||
Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A | 8.500% | 10/15/22 | 6,825 | 7,166,250 | ||||||||||
|
| |||||||||||||
19,409,825 | ||||||||||||||
|
| |||||||||||||
Lodging — 1.8% | ||||||||||||||
Boyd Gaming Corp., Gtd. Notes(a) | 6.875% | 05/15/23 | 18,250 | 19,527,500 | ||||||||||
Caesars Entertainment Resort Properties LLC, Sr. Sec’d. Notes(a) | 8.000% | (c) | 10/01/20 | 3,225 | 3,321,750 | |||||||||
Golden Nugget Escrow, Inc., Sr. Unsec’d. Notes, 144A | 8.500% | 12/01/21 | 13,750 | 14,575,000 | ||||||||||
Interval Acquisition Corp., Gtd. Notes | 5.625% | 04/15/23 | 5,875 | 6,080,625 | ||||||||||
Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp., Sec’d. Notes, 144A(a) | 10.250% | 11/15/22 | 4,900 | 5,377,750 | ||||||||||
Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp., Sr. Sec’d. Notes, 144A | 6.750% | 11/15/21 | 5,100 | 5,329,500 | ||||||||||
MGM Resorts International, Gtd. Notes | 6.625% | 12/15/21 | 11,965 | 13,430,712 | ||||||||||
|
| |||||||||||||
67,642,837 | ||||||||||||||
|
| |||||||||||||
Machinery-Diversified — 0.5% | ||||||||||||||
ATS Automation Tooling Systems, Inc. (Canada), Gtd. Notes, 144A | 6.500% | 06/15/23 | 4,400 | 4,587,000 | ||||||||||
Cleaver-Brooks, Inc., Sr. Sec’d. Notes, 144A(g) | 8.750% | 12/15/19 | 1,975 | 2,036,719 | ||||||||||
Cloud Crane LLC, Sec’d. Notes, 144A(g) | 10.125% | 08/01/24 | 8,575 | 9,411,062 | ||||||||||
CNH Industrial Capital LLC, Gtd. Notes | 3.625% | 04/15/18 | 2,950 | 2,975,960 | ||||||||||
|
| |||||||||||||
19,010,741 | ||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A137
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Media — 7.8% | ||||||||||||||
Altice Financing SA (Luxembourg), Sr. Sec’d. Notes, 144A | 7.500% | 05/15/26 | 1,475 | $ | 1,637,250 | |||||||||
Altice US Finance I Corp., Sr. Sec’d. Notes, 144A | 5.375% | 07/15/23 | 7,925 | 8,246,953 | ||||||||||
Belo Corp., Gtd. Notes | 7.750% | 06/01/27 | 2,000 | 2,220,000 | ||||||||||
Block Communications, Inc., Sr. Unsec’d. Notes, 144A(g) | 6.875% | 02/15/25 | 3,815 | 4,091,587 | ||||||||||
Cablevision Systems Corp., Sr. Unsec’d. Notes | 8.625% | 09/15/17 | 7,419 | 7,511,737 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes | 5.125% | 02/15/23 | 2,875 | 2,966,641 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes | 5.250% | 09/30/22 | 635 | 653,669 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A | 5.125% | 05/01/23 | 4,350 | 4,567,500 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A | 5.750% | 02/15/26 | 3,200 | 3,424,000 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A | 5.875% | 05/01/27 | 24,000 | 25,650,000 | ||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A | 5.125% | 12/15/21 | 12,962 | 13,188,835 | ||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A | 5.125% | 12/15/21 | 15,434 | 15,718,449 | ||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A | 6.375% | 09/15/20 | 2,648 | 2,700,960 | ||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A | 7.750% | 07/15/25 | 25,675 | 28,370,875 | ||||||||||
Clear Channel Worldwide Holdings, Inc., Gtd. Notes | 6.500% | 11/15/22 | 6,130 | 6,252,600 | ||||||||||
Clear Channel Worldwide Holdings, Inc., Gtd. Notes(a) | 7.625% | 03/15/20 | 11,650 | 11,475,250 | ||||||||||
Clear Channel Worldwide Holdings, Inc., Gtd. Notes | 7.625% | 03/15/20 | 12,270 | 12,208,650 | ||||||||||
CSC Holdings LLC, Sr. Unsec’d. Notes | 7.875% | 02/15/18 | 850 | 876,563 | ||||||||||
DISH DBS Corp., Gtd. Notes | 5.875% | 07/15/22 | 2,125 | 2,284,375 | ||||||||||
DISH DBS Corp., Gtd. Notes | 5.875% | 11/15/24 | 4,000 | 4,267,880 | ||||||||||
DISH DBS Corp., Gtd. Notes | 7.750% | 07/01/26 | 22,995 | 27,249,075 | ||||||||||
Gray Television, Inc., Gtd. Notes, 144A | 5.875% | 07/15/26 | 8,900 | 9,078,000 | ||||||||||
Mediacom Broadband LLC/Mediacom Broadband Corp., | 5.500% | 04/15/21 | 7,500 | 7,668,750 | ||||||||||
Midcontinent Communications/Midcontinent Finance Corp., | 6.875% | 08/15/23 | 4,950 | 5,333,625 | ||||||||||
Nexstar Broadcasting, Inc., Gtd. Notes, 144A(a) | 5.625% | 08/01/24 | 4,000 | 4,050,000 | ||||||||||
Quebecor Media, Inc. (Canada), Sr. Unsec’d. Notes | 5.750% | 01/15/23 | 10,478 | 11,054,290 | ||||||||||
SFR Group SA (France), Sr. Sec’d. Notes, 144A | 7.375% | 05/01/26 | 28,999 | 31,463,915 | ||||||||||
Sinclair Television Group, Inc., Gtd. Notes | 5.375% | 04/01/21 | 2,025 | 2,080,688 | ||||||||||
Sinclair Television Group, Inc., Gtd. Notes, 144A | 5.125% | 02/15/27 | 900 | 870,750 | ||||||||||
Sinclair Television Group, Inc., Gtd. Notes, 144A | 5.625% | 08/01/24 | 2,000 | 2,052,500 | ||||||||||
Sinclair Television Group, Inc., Gtd. Notes, 144A(a) | 5.875% | 03/15/26 | 1,950 | 1,993,875 | ||||||||||
Tribune Media Co., Gtd. Notes | 5.875% | 07/15/22 | 7,125 | 7,463,437 | ||||||||||
Unitymedia GmbH (Germany), Sec’d. Notes, 144A | 6.125% | 01/15/25 | 3,575 | 3,834,187 | ||||||||||
Univision Communications, Inc., Sr. Sec’d. Notes, 144A(g) | 5.125% | 02/15/25 | 4,355 | 4,316,894 | ||||||||||
Univision Communications, Inc., Sr. Sec’d. Notes, 144A(g) | 6.750% | 09/15/22 | 2,595 | 2,698,800 | ||||||||||
UPCB Finance IV Ltd. (Netherlands), Sr. Sec’d. Notes, 144A | 5.375% | 01/15/25 | 3,530 | 3,693,263 | ||||||||||
Ziggo Bond Finance BV (Netherlands), Sr. Unsec’d. Notes, 144A | 6.000% | 01/15/27 | 3,400 | 3,438,250 | ||||||||||
|
| |||||||||||||
286,654,073 | ||||||||||||||
|
| |||||||||||||
Metal Fabricate & Hardware — 0.5% | ||||||||||||||
Novelis Corp., Gtd. Notes, 144A | 5.875% | 09/30/26 | 5,750 | 5,922,500 | ||||||||||
Zekelman Industries, Inc., Sr. Sec’d. Notes, 144A | 9.875% | 06/15/23 | 10,355 | 11,636,431 | ||||||||||
|
| |||||||||||||
17,558,931 | ||||||||||||||
|
| |||||||||||||
Mining — 4.4% | ||||||||||||||
Alcoa Nederland Holding BV, Gtd. Notes, 144A | 6.750% | 09/30/24 | 2,075 | 2,251,375 | ||||||||||
Alcoa Nederland Holding BV, Gtd. Notes, 144A(a) | 7.000% | 09/30/26 | 3,175 | 3,484,563 | ||||||||||
Constellium NV (Netherlands), Sr. Unsec’d. Notes, 144A(a) | 6.625% | 03/01/25 | 14,647 | 14,024,502 | ||||||||||
Eldorado Gold Corp. (Canada), Gtd. Notes, 144A | 6.125% | 12/15/20 | 6,986 | 7,151,917 | ||||||||||
First Quantum Minerals Ltd. (Zambia), Gtd. Notes, 144A | 7.000% | 02/15/21 | 2,491 | 2,553,275 |
SEE NOTES TO FINANCIAL STATEMENTS.
A138
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Mining (continued) | ||||||||||||||
First Quantum Minerals Ltd. (Zambia), Gtd. Notes, 144A(a) | 7.250% | 05/15/22 | 850 | $ | 869,125 | |||||||||
First Quantum Minerals Ltd. (Zambia), Gtd. Notes, 144A | 7.250% | 04/01/23 | 1,395 | 1,363,613 | ||||||||||
First Quantum Minerals Ltd. (Zambia), Gtd. Notes, 144A | 7.500% | 04/01/25 | 8,200 | 8,015,500 | ||||||||||
FMG Resources August 2006 Pty Ltd. (Australia), Gtd. Notes, 144A(a) | 4.750% | 05/15/22 | 2,075 | 2,082,781 | ||||||||||
FMG Resources August 2006 Pty Ltd. (Australia), Gtd. Notes, 144A | 5.125% | 05/15/24 | 3,900 | 3,900,000 | ||||||||||
FMG Resources August 2006 Pty Ltd. (Australia), Sr. Sec’d. Notes, 144A | 9.750% | 03/01/22 | 4,370 | 4,976,338 | ||||||||||
Freeport-McMoRan, Inc., Gtd. Notes(a) | 3.550% | 03/01/22 | 6,750 | 6,325,965 | ||||||||||
Freeport-McMoRan, Inc., Gtd. Notes(a) | 3.875% | 03/15/23 | 19,095 | 17,758,350 | ||||||||||
Freeport-McMoRan, Inc., Gtd. Notes(a) | 4.550% | 11/14/24 | 850 | 801,125 | ||||||||||
Freeport-McMoRan, Inc., Gtd. Notes | 6.625% | 05/01/21 | 5,513 | 5,623,260 | ||||||||||
Freeport-McMoRan, Inc., Gtd. Notes | 6.750% | 02/01/22 | 3,000 | 3,105,000 | ||||||||||
IAMGOLD Corp. (Canada), Gtd. Notes, 144A | 7.000% | 04/15/25 | 7,950 | 8,188,500 | ||||||||||
International Wire Group, Inc., Sec’d. Notes, 144A | 10.750% | 08/01/21 | 7,475 | 6,835,887 | ||||||||||
Joseph T Ryerson & Son, Inc., Sr. Sec’d. Notes, 144A | 11.000% | 05/15/22 | 3,850 | 4,355,313 | ||||||||||
Kinross Gold Corp. (Canada), Gtd. Notes | 5.950% | 03/15/24 | 5,650 | 6,241,498 | ||||||||||
Kinross Gold Corp. (Canada), Gtd. Notes | 6.875% | 09/01/41 | 725 | 773,938 | ||||||||||
Lundin Mining Corp. (Canada), Sr. Sec’d. Notes, 144A | 7.500% | 11/01/20 | 4,700 | 4,941,580 | ||||||||||
Lundin Mining Corp. (Canada), Sr. Sec’d. Notes, 144A | 7.875% | 11/01/22 | 5,499 | 5,993,910 | ||||||||||
New Gold, Inc. (Canada), Gtd. Notes, 144A(a) | 6.250% | 11/15/22 | 14,417 | 14,813,467 | ||||||||||
Teck Resources Ltd. (Canada), Gtd. Notes | 4.750% | 01/15/22 | 21,359 | 22,106,565 | ||||||||||
Teck Resources Ltd. (Canada), Gtd. Notes | 6.250% | 07/15/41 | 4,716 | 4,892,850 | ||||||||||
|
| |||||||||||||
163,430,197 | ||||||||||||||
|
| |||||||||||||
Miscellaneous Manufacturing — 1.0% | ||||||||||||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 5.750% | 03/15/22 | 1,600 | 1,592,000 | ||||||||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 6.000% | 10/15/22 | 2,500 | 2,500,000 | ||||||||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 6.125% | 01/15/23 | 2,200 | 2,205,500 | ||||||||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 7.500% | 03/15/25 | 2,225 | 2,308,438 | ||||||||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 7.750% | 03/15/20 | 517 | 555,775 | ||||||||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 8.750% | 12/01/21 | 18,175 | 20,174,250 | ||||||||||
EnPro Industries, Inc., Gtd. Notes | 5.875% | 09/15/22 | 3,275 | 3,414,187 | ||||||||||
Gates Global LLC/Gates Global Co., Gtd. Notes, 144A(g) | 6.000% | 07/15/22 | 4,550 | 4,561,375 | ||||||||||
|
| |||||||||||||
37,311,525 | ||||||||||||||
|
| |||||||||||||
Office & Business Equipment — 0.2% | ||||||||||||||
CDW LLC/CDW Finance Corp., Gtd. Notes | 5.500% | 12/01/24 | 8,184 | 8,851,487 | ||||||||||
|
| |||||||||||||
Oil & Gas — 6.6% | ||||||||||||||
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., Gtd. Notes, 144A(a) | 7.875% | 12/15/24 | 3,450 | 3,475,875 | ||||||||||
Antero Resources Corp., Gtd. Notes | 5.375% | 11/01/21 | 4,800 | 4,848,000 | ||||||||||
Antero Resources Corp., Gtd. Notes | 5.625% | 06/01/23 | 4,330 | 4,384,125 | ||||||||||
Antero Resources Corp., Gtd. Notes, 144A | 5.000% | 03/01/25 | 9,635 | 9,345,950 | ||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsec’d. Notes, 144A | 10.000% | 04/01/22 | 9,825 | 9,825,000 | ||||||||||
California Resources Corp., Gtd. Notes | 6.000% | 11/15/24 | 1,257 | 653,640 | ||||||||||
California Resources Corp., Sec’d. Notes, 144A(a) | 8.000% | 12/15/22 | 8,188 | 5,178,910 | ||||||||||
Carrizo Oil & Gas, Inc., Gtd. Notes | 8.250% | 07/15/25 | 1,950 | 1,993,875 | ||||||||||
Chesapeake Energy Corp., Gtd. Notes, 144A(a) | 8.000% | 06/15/27 | 10,100 | 9,923,250 | ||||||||||
Citgo Holding, Inc., Sr. Sec’d. Notes, 144A | 10.750% | 02/15/20 | 9,750 | 10,590,937 | ||||||||||
Concho Resources, Inc., Gtd. Notes | 5.500% | 04/01/23 | 4,700 | 4,829,250 | ||||||||||
Diamondback Energy, Inc., Gtd. Notes, 144A | 5.375% | 05/31/25 | 4,575 | 4,643,625 | ||||||||||
Endeavor Energy Resources LP/EER Finance, Inc., Sr. Unsec’d. Notes, 144A | 7.000% | 08/15/21 | 6,450 | 6,675,750 | ||||||||||
Endeavor Energy Resources LP/EER Finance, Inc., Sr. Unsec’d. Notes, 144A | 8.125% | 09/15/23 | 7,630 | 8,059,187 | ||||||||||
Halcon Resources Corp., Gtd. Notes, 144A(a) | 6.750% | 02/15/25 | 14,875 | 13,387,500 |
SEE NOTES TO FINANCIAL STATEMENTS.
A139
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Oil & Gas (continued) | ||||||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Unsec’d. Notes, 144A(g) | 5.750% | 10/01/25 | 9,275 | $ | 8,741,687 | |||||||||
MEG Energy Corp. (Canada), Gtd. Notes, 144A(a) | 6.375% | 01/30/23 | 8,200 | 6,334,500 | ||||||||||
MEG Energy Corp. (Canada), Gtd. Notes, 144A | 7.000% | 03/31/24 | 2,625 | 2,040,938 | ||||||||||
MEG Energy Corp. (Canada), Sec’d. Notes, 144A(a) | 6.500% | 01/15/25 | 8,300 | 7,553,000 | ||||||||||
Newfield Exploration Co., Sr. Unsec’d. Notes | 5.375% | 01/01/26 | 5,975 | 6,184,125 | ||||||||||
Newfield Exploration Co., Sr. Unsec’d. Notes | 5.750% | 01/30/22 | 1,875 | 1,973,438 | ||||||||||
Noble Holding International Ltd. (United Kingdom), Gtd. Notes(a) | 7.750% | 01/15/24 | 4,750 | 3,758,438 | ||||||||||
Petrobras Global Finance BV (Brazil), Gtd. Notes | 6.125% | 01/17/22 | 755 | 778,783 | ||||||||||
Petrobras Global Finance BV (Brazil), Gtd. Notes | 7.375% | 01/17/27 | 2,620 | 2,771,960 | ||||||||||
Petrobras Global Finance BV (Brazil), Gtd. Notes | 8.375% | 05/23/21 | 6,400 | 7,164,032 | ||||||||||
Precision Drilling Corp. (Canada), Gtd. Notes | 6.625% | 11/15/20 | 1,495 | 1,461,142 | ||||||||||
Precision Drilling Corp. (Canada), Gtd. Notes, 144A | 7.750% | 12/15/23 | 3,875 | 3,855,625 | ||||||||||
QEP Resources, Inc., Sr. Unsec’d. Notes | 5.250% | 05/01/23 | 2,975 | 2,811,375 | ||||||||||
QEP Resources, Inc., Sr. Unsec’d. Notes | 5.375% | 10/01/22 | 2,300 | 2,213,750 | ||||||||||
Range Resources Corp., Gtd. Notes, 144A(a) | 5.000% | 08/15/22 | 3,175 | 3,119,438 | ||||||||||
Range Resources Corp., Gtd. Notes, 144A | 5.000% | 03/15/23 | 1,478 | 1,444,745 | ||||||||||
Range Resources Corp., Gtd. Notes, 144A | 5.875% | 07/01/22 | 15,637 | 15,871,555 | ||||||||||
Rice Energy, Inc., Gtd. Notes | 6.250% | 05/01/22 | 1,550 | 1,619,750 | ||||||||||
Rice Energy, Inc., Gtd. Notes | 7.250% | 05/01/23 | 6,400 | 6,896,000 | ||||||||||
RSP Permian, Inc., Gtd. Notes, 144A | 5.250% | 01/15/25 | 5,550 | 5,556,937 | ||||||||||
Seventy Seven Energy, Inc., Sr. Unsec’d. Notes^(d)(g) | 6.500% | 07/15/22 | 1,975 | 20 | ||||||||||
Sunoco LP/Sunoco Finance Corp., Gtd. Notes | 5.500% | 08/01/20 | 3,900 | 3,997,500 | ||||||||||
Sunoco LP/Sunoco Finance Corp., Gtd. Notes | 6.375% | 04/01/23 | 14,648 | 15,392,118 | ||||||||||
Tesoro Corp., Gtd. Notes, 144A | 4.750% | 12/15/23 | 4,425 | 4,767,938 | ||||||||||
Tesoro Corp., Gtd. Notes, 144A | 5.125% | 12/15/26 | 7,525 | 8,188,855 | ||||||||||
Tullow Oil PLC (Ghana), Gtd. Notes, 144A | 6.000% | 11/01/20 | 2,950 | 2,802,500 | ||||||||||
Western Refining Logistics LP/WNRL Finance Corp., Gtd. Notes | 7.500% | 02/15/23 | 4,975 | 5,360,562 | ||||||||||
WPX Energy, Inc., Sr. Unsec’d. Notes(a) | 6.000% | 01/15/22 | 5,043 | 4,992,570 | ||||||||||
WPX Energy, Inc., Sr. Unsec’d. Notes | 7.500% | 08/01/20 | 3,100 | 3,255,000 | ||||||||||
WPX Energy, Inc., Sr. Unsec’d. Notes | 8.250% | 08/01/23 | 4,800 | 5,208,000 | ||||||||||
|
| |||||||||||||
243,931,155 | ||||||||||||||
|
| |||||||||||||
Oil & Gas Services — 0.0% | ||||||||||||||
SESI LLC, Gtd. Notes | 6.375% | 05/01/19 | 1,150 | 1,135,625 | ||||||||||
|
| |||||||||||||
Packaging & Containers — 2.0% | ||||||||||||||
ARD Finance SA (Luxembourg), Sr. Sec’d. Notes, PIK | 7.125% | 09/15/23 | 7,000 | 7,471,800 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A | 6.000% | 06/30/21 | 1,725 | 1,785,375 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A | 6.000% | 02/15/25 | 5,350 | 5,617,500 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A | 7.250% | 05/15/24 | 14,175 | 15,503,906 | ||||||||||
Coveris Holdings SA (Luxembourg), Gtd. Notes, 144A(a) | 7.875% | 11/01/19 | 10,592 | 10,433,120 | ||||||||||
Owens-Brockway Glass Container, Inc., Gtd. Notes, 144A | 6.375% | 08/15/25 | 1,275 | 1,431,188 | ||||||||||
PaperWorks Industries, Inc., Sr. Sec’d. Notes, 144A | 9.500% | 08/15/19 | 6,535 | 4,835,900 | ||||||||||
Plastipak Holdings, Inc., Sr. Unsec’d. Notes, 144A(g) | 6.500% | 10/01/21 | 11,590 | 11,966,675 | ||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (New Zealand), Gtd. Notes, 144A(a) | 7.000% | 07/15/24 | 6,600 | 7,079,919 | ||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (New Zealand), Sr. Sec’d. Notes | 5.750% | 10/15/20 | 1,575 | 1,611,761 | ||||||||||
Sealed Air Corp., Gtd. Notes, 144A | 4.875% | 12/01/22 | 3,200 | 3,408,000 | ||||||||||
Sealed Air Corp., Gtd. Notes, 144A | 5.250% | 04/01/23 | 3,025 | 3,244,312 | ||||||||||
|
| |||||||||||||
74,389,456 | ||||||||||||||
|
| |||||||||||||
Pharmaceuticals — 2.9% | ||||||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc., Gtd. Notes, 144A | 6.000% | 07/15/23 | 3,951 | 3,320,815 | ||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc., Gtd. Notes, 144A(a) | 6.000% | (c) | 02/01/25 | 11,950 | 9,739,250 | |||||||||
Endo Finance LLC, Gtd. Notes, 144A | 5.750% | 01/15/22 | 4,000 | 3,599,200 |
SEE NOTES TO FINANCIAL STATEMENTS.
A140
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Pharmaceuticals (continued) | ||||||||||||||
Endo Finance LLC/Endo Finco, Inc., Gtd. Notes, 144A | 5.375% | (c) | 01/15/23 | 15,275 | $ | 12,754,625 | ||||||||
Endo Finance LLC/Endo Finco, Inc., Gtd. Notes, 144A(a) | 7.250% | (c) | 01/15/22 | 525 | 502,688 | |||||||||
Horizon Pharma, Inc., Gtd. Notes(a) | 6.625% | 05/01/23 | 6,680 | 6,279,200 | ||||||||||
Horizon Pharma, Inc./Horizon Pharma USA, Inc., Gtd. Notes, 144A | 8.750% | 11/01/24 | 1,375 | 1,395,625 | ||||||||||
Nature’s Bounty Co. (The), Sr. Unsec’d. Notes, 144A(a), (g) | 7.625% | 05/15/21 | 6,100 | 6,481,250 | ||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A | 5.500% | 03/01/23 | 7,675 | 6,514,079 | ||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A | 5.625% | 12/01/21 | 2,920 | 2,635,300 | ||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A | 5.875% | 05/15/23 | 3,075 | 2,636,813 | ||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A(a) | 6.125% | 04/15/25 | 15,195 | 12,858,769 | ||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A | 7.500% | 07/15/21 | 19,633 | 19,019,469 | ||||||||||
Valeant Pharmaceuticals International, Inc., Sr. Sec’d. Notes, 144A | 6.500% | 03/15/22 | 2,850 | 2,988,937 | ||||||||||
Vizient, Inc., Sr. Unsec’d. Notes, 144A | 10.375% | 03/01/24 | 13,625 | 15,668,750 | ||||||||||
|
| |||||||||||||
106,394,770 | ||||||||||||||
|
| |||||||||||||
Pipelines — 1.6% | ||||||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp., Gtd. Notes, 144A | 5.375% | 09/15/24 | 2,750 | 2,811,875 | ||||||||||
Energy Transfer Equity LP, Sr. Sec’d. Notes | 7.500% | 10/15/20 | 4,300 | 4,805,250 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., Gtd. Notes | 6.000% | 05/15/23 | 7,725 | 7,570,500 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., Gtd. Notes | 6.750% | 08/01/22 | 5,425 | 5,438,562 | ||||||||||
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A(g) | 5.625% | 04/15/20 | 5,375 | 5,710,937 | ||||||||||
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A(g) | 6.000% | 01/15/19 | 3,047 | 3,176,498 | ||||||||||
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A(g) | 6.875% | 04/15/40 | 1,046 | 1,140,140 | ||||||||||
Selectica, Inc. (Escrow Shares)^(d) | —% | (c)(p) | 12/31/49 | 1,350 | 14 | |||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., Gtd. Notes, 144A | 5.500% | 09/15/24 | 6,400 | 6,480,000 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. | 6.750% | 03/15/24 | 4,950 | 5,321,250 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes, 144A | 5.125% | 02/01/25 | 2,675 | 2,755,250 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes, 144A | 5.375% | 02/01/27 | 2,675 | 2,768,625 | ||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes | 5.875% | 10/01/20 | 2,847 | 2,907,499 | ||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes | 6.125% | 10/15/21 | 3,025 | 3,146,000 | ||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes | 6.250% | 10/15/22 | 2,500 | 2,656,250 | ||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes | 6.375% | 05/01/24 | 2,950 | 3,193,375 | ||||||||||
|
| |||||||||||||
59,882,025 | ||||||||||||||
|
| |||||||||||||
Real Estate — 0.7% | ||||||||||||||
CBRE Services, Inc., Gtd. Notes | 5.000% | 03/15/23 | 1,200 | 1,250,234 | ||||||||||
Crescent Communities LLC/Crescent Ventures, Inc., Sr. Sec’d. Notes, 144A | 8.875% | 10/15/21 | 9,200 | 9,660,000 | ||||||||||
Greystar Real Estate Partners LLC, Sr. Sec’d. Notes, 144A | 8.250% | 12/01/22 | 8,225 | 8,862,438 | ||||||||||
Realogy Group LLC/Realogy Co.-Issuer Corp., Gtd. Notes, 144A(a) | 4.875% | 06/01/23 | 5,700 | 5,742,750 | ||||||||||
|
| |||||||||||||
25,515,422 | ||||||||||||||
|
| |||||||||||||
Real Estate Investment Trusts (REITs) — 1.2% | ||||||||||||||
FelCor Lodging LP, Gtd. Notes | 6.000% | 06/01/25 | 4,045 | 4,318,038 | ||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc., Gtd. Notes | 4.500% | 09/01/26 | 5,625 | 5,660,156 | ||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc., Gtd. Notes | 5.625% | 05/01/24 | 4,975 | 5,422,750 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp., Gtd. Notes | 5.250% | 08/01/26 | 4,200 | 4,366,278 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp., Gtd. Notes | 5.500% | 05/01/24 | 3,275 | 3,422,375 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp., Gtd. Notes | 6.375% | 02/15/22 | 1,000 | 1,032,500 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp., Gtd. Notes | 6.375% | 03/01/24 | 4,100 | 4,459,283 | ||||||||||
RHP Hotel Properties LP/RHP Finance Corp., Gtd. Notes | 5.000% | 04/15/21 | 2,800 | 2,870,000 | ||||||||||
RHP Hotel Properties LP/RHP Finance Corp., Gtd. Notes | 5.000% | 04/15/23 | 2,778 | 2,840,505 |
SEE NOTES TO FINANCIAL STATEMENTS.
A141
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Real Estate Investment Trusts (REITs) (continued) | ||||||||||||||
Sabra Health Care LP/Sabra Capital Corp., Gtd. Notes | 5.375% | 06/01/23 | 2,300 | $ | 2,380,500 | |||||||||
Sabra Health Care LP/Sabra Capital Corp., Gtd. Notes | 5.500% | 02/01/21 | 1,950 | 2,028,000 | ||||||||||
Senior Housing Properties Trust, Sr. Unsec’d. Notes | 6.750% | 12/15/21 | 5,875 | 6,552,599 | ||||||||||
|
| |||||||||||||
45,352,984 | ||||||||||||||
|
| |||||||||||||
Retail — 5.5% | ||||||||||||||
BC ULC/New Red Finance, Inc. (Canada), Sec’d. Notes, 144A | 6.000% | 04/01/22 | 3,875 | 4,015,469 | ||||||||||
Brinker International, Inc., Gtd. Notes, 144A | 5.000% | 10/01/24 | 3,550 | 3,532,250 | ||||||||||
Caleres, Inc., Gtd. Notes | 6.250% | 08/15/23 | 5,250 | 5,473,125 | ||||||||||
CEC Entertainment, Inc., Gtd. Notes | 8.000% | 02/15/22 | 10,420 | 10,862,850 | ||||||||||
Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A(g) | 9.000% | 03/15/19 | 8,800 | 4,444,000 | ||||||||||
Cumberland Farms, Inc., Sr. Unsec’d. Notes, 144A | 6.750% | 05/01/25 | 1,875 | 1,973,437 | ||||||||||
Dollar Tree, Inc., Gtd. Notes | 5.750% | 03/01/23 | 5,550 | 5,856,915 | ||||||||||
Ferrellgas LP/Ferrellgas Finance Corp., Gtd. Notes(a) | 6.750% | (c) | 06/15/23 | 3,075 | 2,867,437 | |||||||||
Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsec’d. Notes(a) | 6.500% | 05/01/21 | 2,025 | 1,913,625 | ||||||||||
Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsec’d. Notes(a) | 6.750% | 01/15/22 | 6,345 | 5,964,300 | ||||||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., | 8.625% | 06/15/20 | 59 | 55,755 | ||||||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., | 8.625% | 06/15/20 | 7,700 | 7,276,500 | ||||||||||
Hot Topic, Inc., Sr. Sec’d. Notes, 144A(g) | 9.250% | 06/15/21 | 7,575 | 7,272,000 | ||||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, Gtd. Notes, 144A | 5.250% | 06/01/26 | 5,350 | 5,630,875 | ||||||||||
L Brands, Inc., Gtd. Notes | 6.750% | 07/01/36 | 11,075 | 10,632,000 | ||||||||||
L Brands, Inc., Gtd. Notes | 6.875% | 11/01/35 | 10,475 | 10,108,375 | ||||||||||
Landry’s, Inc., Sr. Unsec’d. Notes, 144A(g) | 6.750% | 10/15/24 | 12,397 | 12,691,429 | ||||||||||
Men’s Wearhouse, Inc. (The), Gtd. Notes(a) | 7.000% | 07/01/22 | 11,925 | 10,434,375 | ||||||||||
Neiman Marcus Group Ltd. LLC, Gtd. Notes, 144A | 8.000% | 10/15/21 | 17,798 | 9,833,395 | ||||||||||
PetSmart, Inc., Gtd. Notes, 144A | 8.875% | 06/01/25 | 2,875 | 2,655,350 | ||||||||||
PetSmart, Inc., Sr. Sec’d. Notes, 144A | 5.875% | 06/01/25 | 8,525 | 8,215,969 | ||||||||||
PetSmart, Inc., Sr. Unsec’d. Notes, 144A(a) | 7.125% | 03/15/23 | 26,370 | 23,469,300 | ||||||||||
PF Chang’s China Bistro, Inc., Gtd. Notes, 144A | 10.250% | 06/30/20 | 6,751 | 6,886,020 | ||||||||||
Rite Aid Corp., Gtd. Notes, 144A(a) | 6.125% | 04/01/23 | 18,400 | 18,066,500 | ||||||||||
Ruby Tuesday, Inc., Gtd. Notes(a) | 7.625% | 05/15/20 | 8,724 | 8,265,990 | ||||||||||
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes(a) | 5.625% | 12/01/25 | 5,125 | 5,246,719 | ||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., Sr. Unsec’d. Notes | 5.500% | 06/01/24 | 5,700 | 5,671,500 | ||||||||||
Tops Holding LLC/Tops Markets II Corp., Sr. Sec’d. Notes, 144A(g) | 8.000% | 06/15/22 | 4,225 | 3,469,781 | ||||||||||
|
| |||||||||||||
202,785,241 | ||||||||||||||
|
| |||||||||||||
Semiconductors — 0.9% | ||||||||||||||
Micron Technology, Inc., Sr. Sec’d. Notes | 7.500% | 09/15/23 | 5,600 | 6,260,800 | ||||||||||
Micron Technology, Inc., Sr. Unsec’d. Notes, 144A | 5.250% | 08/01/23 | 12,100 | 12,565,850 | ||||||||||
Sensata Technologies BV, Gtd. Notes, 144A | 4.875% | 10/15/23 | 6,075 | 6,196,500 | ||||||||||
Sensata Technologies BV, Gtd. Notes, 144A | 5.000% | 10/01/25 | 1,925 | 2,013,165 | ||||||||||
Sensata Technologies UK Financing Co. PLC, Gtd. Notes, 144A | 6.250% | 02/15/26 | 4,735 | 5,161,150 | ||||||||||
|
| |||||||||||||
32,197,465 | ||||||||||||||
|
| |||||||||||||
Software — 4.9% | ||||||||||||||
BMC Software Finance, Inc., Sr. Unsec’d. Notes, 144A | 8.125% | 07/15/21 | 46,640 | 48,287,325 | ||||||||||
BMC Software, Inc., Sr. Unsec’d. Notes | 7.250% | 06/01/18 | 2,976 | 3,080,160 | ||||||||||
Boxer Parent Co., Inc., Sr. Unsec’d. Notes, PIK, 144A | 9.000% | 10/15/19 | 14,520 | 14,538,150 | ||||||||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., Sr. Unsec’d. Notes, 144A | 5.750% | 03/01/25 | 4,695 | 4,788,900 | ||||||||||
First Data Corp., Gtd. Notes, 144A | 7.000% | 12/01/23 | 48,790 | 52,083,325 | ||||||||||
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greenden US Holdings, Inc., Gtd. Notes, 144A | 10.000% | 11/30/24 | 1,430 | 1,606,962 |
SEE NOTES TO FINANCIAL STATEMENTS.
A142
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||
Software (continued) | ||||||||||||||
Infor Software Parent LLC/Infor Software Parent, Inc., Gtd. Notes, PIK, 144A(g) | 7.125% | 05/01/21 | 19,154 | $ | 19,728,620 | |||||||||
Infor US, Inc., Gtd. Notes(g) | 6.500% | 05/15/22 | 8,295 | 8,585,325 | ||||||||||
Informatica LLC, Sr. Unsec’d. Notes, 144A(a) | 7.125% | 07/15/23 | 11,200 | 11,399,584 | ||||||||||
J2 Cloud Services LLC/J2 Global Co-Obligor, Inc., Gtd. Notes, 144A | 6.000% | 07/15/25 | 1,840 | 1,895,200 | ||||||||||
Nuance Communications, Inc., Gtd. Notes | 6.000% | 07/01/24 | 4,445 | 4,733,925 | ||||||||||
Nuance Communications, Inc., Gtd. Notes, 144A | 5.375% | 08/15/20 | 2,076 | 2,109,735 | ||||||||||
Rackspace Hosting, Inc., Gtd. Notes, 144A(a) | 8.625% | 11/15/24 | 4,100 | 4,366,500 | ||||||||||
RP Crown Parent LLC, Sr. Sec’d. Notes, 144A | 7.375% | 10/15/24 | 4,660 | 4,846,400 | ||||||||||
|
| |||||||||||||
182,050,111 | ||||||||||||||
|
| |||||||||||||
Telecommunications — 6.4% |
| |||||||||||||
Aegis Merger Sub Inc., Sr. Unsec’d. Notes, 144A | 10.250% | 02/15/23 | 3,026 | 3,358,860 | ||||||||||
Anixter, Inc., Gtd. Notes | 5.500% | 03/01/23 | 1,875 | 2,003,906 | ||||||||||
Avaya, Inc., Sec’d. Notes, 144A(d) | 10.500% | 03/01/21 | 11,565 | 1,127,588 | ||||||||||
CenturyLink, Inc., Sr. Unsec’d. Notes | 6.875% | 01/15/28 | 4,000 | 3,970,000 | ||||||||||
CommScope Technologies LLC, Gtd. Notes, 144A | 6.000% | 06/15/25 | 7,930 | 8,465,275 | ||||||||||
Digicel Group Ltd. (Jamaica), Sr. Unsec’d. Notes, 144A | 7.125% | 04/01/22 | 600 | 522,780 | ||||||||||
Digicel Group Ltd. (Jamaica), Sr. Unsec’d. Notes, 144A | 8.250% | 09/30/20 | 9,900 | 9,255,510 | ||||||||||
Digicel Ltd. (Jamaica), Gtd. Notes, 144A | 6.750% | 03/01/23 | 5,500 | 5,171,815 | ||||||||||
Frontier Communications Corp., Sr. Unsec’d. Notes(a) | 6.875% | 01/15/25 | 2,000 | 1,575,000 | ||||||||||
Frontier Communications Corp., Sr. Unsec’d. Notes | 9.250% | 07/01/21 | 1,959 | 1,921,759 | ||||||||||
Frontier Communications Corp., Sr. Unsec’d. Notes | 10.500% | 09/15/22 | 3,470 | 3,318,188 | ||||||||||
Frontier Communications Corp., Sr. Unsec’d. Notes | 11.000% | 09/15/25 | 32,770 | 30,394,175 | ||||||||||
GTT Communications, Inc., Gtd. Notes, 144A | 7.875% | 12/31/24 | 6,920 | 7,404,400 | ||||||||||
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes | 5.500% | 08/01/23 | 12,000 | 9,930,000 | ||||||||||
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes | 7.250% | 10/15/20 | 5,700 | 5,386,500 | ||||||||||
Intelsat Jackson Holdings SA (Luxembourg), Sr. Unsec’d. Notes, 144A | 9.750% | 07/15/25 | 12,900 | 12,883,875 | ||||||||||
Intelsat Luxembourg SA (Luxembourg), Gtd. Notes | 7.750% | 06/01/21 | 4,005 | 2,202,750 | ||||||||||
Intelsat Luxembourg SA (Luxembourg), Gtd. Notes | 8.125% | 06/01/23 | 11,765 | 6,206,037 | ||||||||||
Level 3 Financing, Inc., Gtd. Notes | 5.250% | 03/15/26 | 7,770 | 8,062,230 | ||||||||||
Level 3 Financing, Inc., Gtd. Notes | 5.375% | 05/01/25 | 870 | 915,675 | ||||||||||
Northwestern Bell Telephone, Sr. Unsec’d. Notes | 7.750% | 05/01/30 | 750 | 857,320 | ||||||||||
ORBCOMM, Inc., Sr. Sec’d. Notes, 144A | 8.000% | 04/01/24 | 7,850 | 8,222,875 | ||||||||||
Sprint Capital Corp., Gtd. Notes(a) | 6.875% | 11/15/28 | 19,450 | 21,620,036 | ||||||||||
Sprint Capital Corp., Gtd. Notes | 6.900% | 05/01/19 | 913 | 974,582 | ||||||||||
Sprint Capital Corp., Gtd. Notes | 8.750% | 03/15/32 | 2,300 | 2,898,000 | ||||||||||
Sprint Communications, Inc., Gtd. Notes, 144A | 9.000% | 11/15/18 | 2,200 | 2,387,682 | ||||||||||
Sprint Corp., Gtd. Notes | 7.125% | 06/15/24 | 9,875 | 10,985,937 | ||||||||||
Sprint Corp., Gtd. Notes(a) | 7.625% | 02/15/25 | 11,886 | 13,683,757 | ||||||||||
Sprint Corp., Gtd. Notes | 7.875% | 09/15/23 | 2,000 | 2,300,000 | ||||||||||
T-Mobile USA, Inc., Gtd. Notes | 6.375% | 03/01/25 | 5,350 | 5,784,688 | ||||||||||
T-Mobile USA, Inc., Gtd. Notes | 6.500% | 01/15/26 | 5,275 | 5,822,281 | ||||||||||
Telecom Italia SpA (Italy), Sr. Unsec’d. Notes, 144A | 5.303% | 05/30/24 | 4,525 | 4,853,063 | ||||||||||
Trilogy International Partners LLC/Trilogy International Finance, Inc. (New Zealand), Sr. Sec’d. Notes, 144A | 8.875% | 05/01/22 | 1,595 | 1,660,794 | ||||||||||
Wind Acquisition Finance SA (Italy), Sec’d. Notes, 144A | 7.375% | 04/23/21 | 19,845 | 20,638,800 | ||||||||||
Wind Acquisition Finance SA (Italy), Sr. Sec’d. Notes, 144A | 6.500% | 04/30/20 | 2,000 | 2,070,000 | ||||||||||
Xplornet Communications, Inc. (Canada), Sr. Unsec’d. Notes, PIK, 144A | 9.625% | 06/01/22 | 9,075 | 9,438,000 | ||||||||||
|
| |||||||||||||
238,274,138 | ||||||||||||||
|
| |||||||||||||
Textiles — 0.5% |
| |||||||||||||
Springs Industries, Inc., Sr. Sec’d. Notes | 6.250% | 06/01/21 | 15,882 | 16,418,018 | ||||||||||
|
| |||||||||||||
Transportation — 0.7% |
| |||||||||||||
Hornbeck Offshore Services, Inc., Gtd. Notes | 5.000% | 03/01/21 | 2,300 | 1,236,250 | ||||||||||
Hornbeck Offshore Services, Inc., Gtd. Notes | 5.875% | 04/01/20 | 3,622 | 2,082,650 |
SEE NOTES TO FINANCIAL STATEMENTS.
A143
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value | ||||||||||||
Transportation (continued) |
| |||||||||||||||
Navios Maritime Holdings, Inc./Navios Maritime Finance II US, Inc. (Monaco), Sr. Sec’d. Notes, 144A | 7.375% | 01/15/22 | 4,400 | $ | 3,399,000 | |||||||||||
XPO Logistics, Inc., Gtd. Notes, 144A | 6.125% | 09/01/23 | 5,825 | 6,065,281 | ||||||||||||
XPO Logistics, Inc., Gtd. Notes, 144A(a) | 6.500% | 06/15/22 | 10,775 | 11,313,750 | ||||||||||||
|
| |||||||||||||||
24,096,931 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS |
| 3,353,175,074 | ||||||||||||||
|
| |||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.0% | ||||||||||||||||
Adjustable Rate Mortgage Trust, Series 2005-7, Class 1A1 | 3.477% | (c) | 10/25/35 | 61 | 53,293 | |||||||||||
American Home Mortgage Assets Trust, Series 2006-4, Class 1A12 | 1.426% | (c) | 10/25/46 | 31 | 22,832 | |||||||||||
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1 | 2.948% | (c) | 09/25/45 | 9 | 8,781 | |||||||||||
Banc of America Alternative Loan Trust, Series 2005-4, Class CB6 | 1.616% | (c) | 05/25/35 | 23 | 18,413 | |||||||||||
Banc of America Funding Trust, Series 2006-B, Class 2A1 | 3.499% | (c) | 03/20/36 | 66 | 57,273 | |||||||||||
Bear Stearns ARM Trust, Series 2005-10, Class A2 | 3.191% | (c) | 10/25/35 | 5 | 5,267 | |||||||||||
Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA | 3.667% | (c) | 09/25/37 | 50 | 45,319 | |||||||||||
Countrywide Alternative Loan Trust, Series 2005-43, Class 4A3 | 3.045% | (c) | 10/25/35 | 16 | 13,608 | |||||||||||
Countrywide Alternative Loan Trust, Series 2006-HY13, Class 4A1 | 3.545% | (c) | 02/25/37 | 23 | 20,928 | |||||||||||
Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A | 1.422% | (c) | 07/20/46 | 22 | 13,548 | |||||||||||
Countrywide Alternative Loan Trust, Series 2006-OA11, Class A1B | 1.406% | (c) | 09/25/46 | 28 | 23,653 | |||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-2, Class 2A1 | 1.856% | (c) | 03/25/35 | 55 | 53,889 | |||||||||||
HarborView Mortgage Loan Trust, Series 2006-5, Class 2A1A | 1.389% | (c) | 07/19/46 | 37 | 21,913 | |||||||||||
IndyMac INDX Mortgage Loan Trust, Series 2006-AR12, Class A1 | 1.406% | (c) | 09/25/46 | 28 | 24,849 | |||||||||||
JPMorgan Mortgage Trust, Series 2007-S3, Class 1A96 | 6.000% | 08/25/37 | 20 | 17,101 | ||||||||||||
MASTR Adjustable Rate Mortgages Trust, Series 2006-OA1, Class 1A1 | 1.426% | (c) | 04/25/46 | 20 | 15,006 | |||||||||||
Residential Accredit Loans, Inc., Series 2006-QA2, Class 3A1 | 5.495% | (c) | 02/25/36 | 119 | 102,118 | |||||||||||
Residential Accredit Loans, Inc., Series 2007-QS4, Class 2A1 | 1.546% | (c) | 03/25/37 | 122 | 35,532 | |||||||||||
Residential Asset Securitization Trust, Series 2007-A5, Class 2A3 | 6.000% | 05/25/37 | 37 | 32,237 | ||||||||||||
SunTrust Alternative Loan Trust, Series 2006-1F, Class 3A | 1.566% | (c) | 04/25/36 | 89 | 33,408 | |||||||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 2A3 | 3.094% | (c) | 02/25/37 | 21 | 18,981 | |||||||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 4A1 | 3.028% | (c) | 02/25/37 | 25 | 23,531 | |||||||||||
|
| |||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 661,480 | ||||||||||||||
|
| |||||||||||||||
Shares | ||||||||||||||||
COMMON STOCKS — 0.0% | ||||||||||||||||
Oil, Gas & Consumable Fuels — 0.0% |
| |||||||||||||||
Frontera Energy Corp. (Colombia)*(a) |
| 27,914 | 737,242 | |||||||||||||
|
| |||||||||||||||
Telecommunications — 0.0% |
| |||||||||||||||
Netia SA (Poland)*(g) |
| 227,114 | 252,906 | |||||||||||||
|
| |||||||||||||||
TOTAL COMMON STOCKS |
| 990,148 | ||||||||||||||
|
| |||||||||||||||
PREFERRED STOCKS — 0.2% | ||||||||||||||||
Building Materials & Construction — 0.0% |
| |||||||||||||||
New Millennium Homes LLC*^(g) |
| 3,000 | 135,000 | |||||||||||||
Cable — 0.0% |
| |||||||||||||||
Adelphia Communications Corp. (Class A Stock)*^ |
| 5,000 | 5 | |||||||||||||
Capital Markets — 0.1% |
| |||||||||||||||
Goldman Sachs Group, Inc. (The) Series K*(g) |
| 87,000 | 2,569,110 |
SEE NOTES TO FINANCIAL STATEMENTS.
A144
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
PREFERRED STOCKS (continued) | Shares | Value | ||||||||||
Independent Power & Renewable Electricity Producers — 0.1% | ||||||||||||
Dynegy, Inc. Series A*(g) | 153,790 | $ | 4,421,462 | |||||||||
|
| |||||||||||
TOTAL PREFERRED STOCKS |
| 7,125,577 | ||||||||||
|
| |||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 3,528,272,132 | ||||||||||
|
| |||||||||||
SHORT-TERM INVESTMENTS — 18.2% | ||||||||||||
AFFILIATED MUTUAL FUNDS | ||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(w) | 558,966 | 5,192,796 | ||||||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w) | 196,934,482 | 196,934,482 | ||||||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund | 472,885,643 | 472,932,931 | ||||||||||
|
| |||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 675,060,209 | ||||||||||
|
| |||||||||||
TOTAL INVESTMENTS — 113.6% |
| 4,203,332,341 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (13.6)% |
| (504,513,220 | ) | |||||||||
|
| |||||||||||
NET ASSETS — 100.0% |
| $ | 3,698,819,121 | |||||||||
|
|
See the Glossary for abbreviations used in the semiannual report:
# | Principal amount is shown in U.S. dollars unless otherwise stated. |
* | Non-income producing security. |
^ | Indicates a Level 3 security. The aggregate value of Level 3 securities is $33,474,224 and 0.9% of net assets. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $462,962,900; cash collateral of $472,450,857 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2017. |
(d) | Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post maturity. |
(e) | Securities are post maturity-date. |
(f) | Indicates a restricted security; the aggregate original cost of such securities is $31,661,668. The aggregate value, $30,665,374, is approximately 0.8% of net assets. |
(g) | Indicates a security that has been deemed illiquid; the aggregate value of $258,442,311 is 7.0% of net assets. |
(p) | Interest rate not available as of June 30, 2017. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund, Prudential Ultra Short Bond Fund and Prudential Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2017:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at Jue 30, 2017 | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Long Positions: | ||||||||||||||||||||||
456 | 2 Year U.S. Treasury Notes | Sep. 2017 | $ | 98,699,616 | $ | 98,545,875 | $ | (153,741 | ) | |||||||||||||
1,124 | 10 Year U.S. Treasury Notes | Sep. 2017 | 141,706,874 | 141,097,125 | (609,749 | ) | ||||||||||||||||
289 | 20 Year U.S. Treasury Bonds | Sep. 2017 | 44,125,078 | 44,415,688 | 290,610 | |||||||||||||||||
131 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2017 | 21,252,039 | 21,729,625 | 477,586 | |||||||||||||||||
|
| |||||||||||||||||||||
$ | 4,706 | |||||||||||||||||||||
|
|
Cash of $3,025,000 has been segregated with Citigroup Global Markets to cover requirements for open futures contracts at June 30, 2017.
SEE NOTES TO FINANCIAL STATEMENTS.
A145
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Fair value measurements:
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— | unadjusted 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, 2017 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | $ | — | $ | 58,994,811 | $ | 33,337,360 | ||||||
Bank Loans | — | 73,987,682 | — | |||||||||
Corporate Bonds | — | 3,353,173,215 | 1,859 | |||||||||
Residential Mortgage-Backed Securities | — | 661,480 | — | |||||||||
Common Stocks | — | 990,148 | — | |||||||||
Preferred Stocks | 6,990,572 | — | 135,005 | |||||||||
Affiliated Mutual Funds | 675,060,209 | — | — | |||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | 4,706 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 682,055,487 | $ | 3,487,807,336 | $ | 33,474,224 | ||||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.
Industry classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:
Affiliated Mutual Funds (including 12.8% of collateral for securities on loan) | 18.2 | % | ||
Media | 7.8 | |||
Oil & Gas | 6.6 | |||
Telecommunications | 6.4 | |||
Healthcare-Services | 5.7 | |||
Retail | 5.5 | |||
Electric | 5.3 | |||
Software | 4.9 | |||
Chemicals | 4.9 | |||
Mining | 4.4 | |||
Home Builders | 4.0 | |||
Entertainment | 3.6 | |||
Pharmaceuticals | 2.9 | |||
Collateralized Loan Obligations | 2.5 | |||
Food | 2.2 | |||
Packaging & Containers | 2.0 | |||
Commercial Services | 2.0 | |||
Diversified Financial Services | 1.9 | |||
Lodging | 1.8 | |||
Building Materials | 1.8 | |||
Auto Parts & Equipment | 1.7 | |||
Pipelines | 1.6 | |||
Computers | 1.3 | |||
Real Estate Investment Trusts (REITs) | 1.2 | |||
Miscellaneous Manufacturing | 1.0 |
Coal | 1.0 | % | ||
Technology | 0.9 | |||
Semiconductors | 0.9 | |||
Distribution/Wholesale | 0.9 | |||
Real Estate | 0.7 | |||
Transportation | 0.7 | |||
Healthcare-Products | 0.6 | |||
Aerospace & Defense | 0.6 | |||
Leisure Time | 0.5 | |||
Machinery-Diversified | 0.5 | |||
Metal Fabricate & Hardware | 0.5 | |||
Textiles | 0.5 | |||
Iron/Steel | 0.4 | |||
Internet | 0.4 | |||
Gas | 0.4 | |||
Engineering & Construction | 0.3 | |||
Environmental Control | 0.3 | |||
Advertising | 0.3 | |||
Office & Business Equipment | 0.2 | |||
Beverages | 0.2 | |||
Electrical Components & Equipment | 0.2 | |||
Auto Manufacturers | 0.2 | |||
Retailers | 0.2 | |||
Gaming | 0.2 | |||
Agriculture | 0.1 | |||
Hand/Machine Tools | 0.1 |
SEE NOTES TO FINANCIAL STATEMENTS.
A146
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Industry classification (cont.) |
| |||
Independent Power & Renewable Electricity Producers | 0.1 | % | ||
Capital Goods | 0.1 | |||
Capital Markets | 0.1 | |||
Forest Products & Paper | 0.1 | |||
Housewares | 0.1 | |||
Banks | 0.1 | |||
Oil & Gas Services | 0.0 | * | ||
Oil, Gas & Consumable Fuels | 0.0 | * | ||
Residential Mortgage-Backed Securities | 0.0 | * |
Energy – Other | 0.0 | %* | ||
Building Materials & Construction | 0.0 | * | ||
Cable | 0.0 | * | ||
|
| |||
113.6 | ||||
Liabilities in excess of other assets | (13.6 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of derivative instruments on the financial statements and primary underlying risk exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, equity contracts risk and interest rate contracts 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, 2017 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Interest rate contracts | Due from/to broker — variation margin futures | $ | 768,196 | * | Due from/to broker — variation margin futures | $ | 763,490 | |||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2017 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||
Derivatives not accounted for as hedging | Futures | Swaps | Total | |||||||||
Credit contracts | $ | — | $ | (55,578 | ) | $ | (55,578 | ) | ||||
Interest rate contracts | 2,931,862 | — | 2,931,862 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 2,931,862 | $ | (55,578 | ) | $ | 2,876,284 | |||||
|
|
|
|
|
|
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||
Derivatives not accounted for as hedging | Warrants(1) | Futures | Total | |||||||||
Equity contracts | $ | (276,939 | ) | $ | — | $ | (276,939 | ) | ||||
Interest rate contracts | — | 864,772 | 864,772 | |||||||||
|
|
|
| �� |
| |||||||
Total | $ | (276,939 | ) | $ | 864,772 | $ | 587,833 | |||||
|
|
|
|
|
|
(1) | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the six months ended June 30, 2017, the Portfolio’s average volume of derivative activities is as follows:
Futures | Futures | Credit Default | Credit Default | |||
$256,862,575 | $6,948,271 | $23,100,000 | $23,100,000 |
(1) | Value at Trade Date. |
(2) | Notional Amount in USD. |
Financial instruments/transactions — summary of offsetting and netting arrangements:
The Portfolio entered into financial instruments/transactions 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 financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.
SEE NOTES TO FINANCIAL STATEMENTS.
A147
HIGH YIELD BOND PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received(2) | Net Amount | |||||||||
Securities on Loan | 462,962,900 | $ | (462,962,900 | ) | $ | — |
(1) | Amount represents market value. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A148
HIGH YIELD BOND PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2017
ASSETS | ||||
Investments at value, including securities on loan of $462,962,900: | ||||
Unaffiliated investments (cost $3,470,187,997) | $ | 3,528,272,132 | ||
Affiliated investments (cost $675,144,987) | 675,060,209 | |||
Foreign currency, at value (cost $97,916) | 94,358 | |||
Deposit with broker for futures | 3,025,000 | |||
Dividends and interest receivable | 58,953,620 | |||
Receivable for investments sold | 26,655,679 | |||
Receivable for Series shares sold | 2,552 | |||
Tax reclaim receivable | 2,452 | |||
Prepaid expenses | 5,592 | |||
|
| |||
Total Assets | 4,292,071,594 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 472,450,857 | |||
Payable for investments purchased | 117,088,252 | |||
Management fee payable | 1,674,050 | |||
Payable to custodian | 819,579 | |||
Due to broker—variation margin futures | 594,009 | |||
Accrued expenses | 553,320 | |||
Payable for Series shares repurchased | 70,942 | |||
Affiliated transfer agent fee payable | 980 | |||
Deferred trustees’ fees | 484 | |||
|
| |||
Total Liabilities | 593,252,473 | |||
|
| |||
NET ASSETS | $ | 3,698,819,121 | ||
|
| |||
Net assets were comprised of: | ||||
Paid-in capital | $ | 3,863,583,117 | ||
Retained earnings | (164,763,996 | ) | ||
|
| |||
Net assets, June 30, 2017 | $ | 3,698,819,121 | ||
|
| |||
Net asset value and redemption price per share | $ | 5.20 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2017
NET INVESTMENT INCOME (LOSS) | ||||
Income | ||||
Interest income | $ | 123,801,855 | ||
Income from securities lending, net (including affiliated income of $602,298) | 682,527 | |||
Affiliated dividend income | 592,439 | |||
Unaffiliated dividend income | 505,697 | |||
|
| |||
Total income | 125,582,518 | |||
|
| |||
EXPENSES | ||||
Management fee | 9,959,123 | |||
Custodian and accounting fees | 193,000 | |||
Shareholders’ reports | 52,000 | |||
Audit fee | 23,000 | |||
Trustees’ fees | 21,000 | |||
Legal fees and expenses | 9,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Miscellaneous | 32,446 | |||
|
| |||
Total expenses | 10,295,569 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 115,286,949 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $1,330) | 20,251,075 | |||
Futures transactions | 2,931,862 | |||
Swap agreement transactions | (55,578 | ) | ||
|
| |||
23,127,359 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $(35,018)) | 46,924,626 | |||
Futures | 864,772 | |||
Foreign currencies | 11,314 | |||
|
| |||
47,800,712 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 70,928,071 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 186,215,020 | ||
|
|
STATEMENT OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 115,286,949 | $ | 222,254,013 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 23,127,359 | (40,762,250 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 47,800,712 | 325,865,289 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 186,215,020 | 507,357,052 | ||||||
|
|
|
| |||||
DISTRIBUTIONS | (114,757,144 | ) | (218,287,352 | ) | ||||
|
|
|
| |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [898,516 and 2,235,355 shares, respectively] | 4,693,653 | 11,000,750 | ||||||
Series shares issued in reinvestment of distributions [22,239,921 and 44,268,672 shares, respectively] | 114,757,144 | 218,287,352 | ||||||
Series shares repurchased [11,463,901 and 22,509,585 shares, respectively] | (59,646,505 | ) | (110,277,067 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | 59,804,292 | 119,011,035 | ||||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 1,218 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 131,262,168 | 408,081,953 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 3,567,556,953 | 3,159,475,000 | ||||||
|
|
|
| |||||
End of period | $ | 3,698,819,121 | $ | 3,567,556,953 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A149
JENNISON PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
LONG-TERM INVESTMENTS — 100.1% | ||||||||
COMMON STOCKS | Shares | Value | ||||||
Aerospace & Defense — 1.6% | ||||||||
Boeing Co. (The) | 144,161 | $ | 28,507,838 | |||||
|
| |||||||
Air Freight & Logistics — 1.5% | ||||||||
FedEx Corp. | 124,064 | 26,962,829 | ||||||
|
| |||||||
Automobiles — 1.5% | ||||||||
Tesla, Inc.*(a) | 75,904 | 27,447,645 | ||||||
|
| |||||||
Banks — 1.3% | ||||||||
JPMorgan Chase & Co. | 244,242 | 22,323,719 | ||||||
|
| |||||||
Beverages — 1.7% | ||||||||
Constellation Brands, Inc. (Class A Stock) | 51,301 | 9,938,543 | ||||||
Monster Beverage Corp.* | 400,227 | 19,883,277 | ||||||
|
| |||||||
29,821,820 | ||||||||
|
| |||||||
Biotechnology — 6.2% | ||||||||
BioMarin Pharmaceutical, Inc.* | 238,679 | 21,676,827 | ||||||
Celgene Corp.* | 325,683 | 42,296,451 | ||||||
Regeneron Pharmaceuticals, Inc.* | 35,142 | 17,259,642 | ||||||
Shire PLC, ADR | 83,178 | 13,746,828 | ||||||
Vertex Pharmaceuticals, Inc.* | 122,157 | 15,742,372 | ||||||
|
| |||||||
110,722,120 | ||||||||
|
| |||||||
Capital Markets — 1.8% | ||||||||
Goldman Sachs Group, Inc. (The) | 144,687 | 32,106,045 | ||||||
|
| |||||||
Chemicals — 0.9% | ||||||||
Albemarle Corp. | 158,028 | 16,678,275 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.3% |
| |||||||
Crown Castle International Corp. | 223,356 | 22,375,804 | ||||||
|
| |||||||
Food & Staples Retailing — 1.3% | ||||||||
Costco Wholesale Corp. | 140,896 | 22,533,497 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 0.2% |
| |||||||
Boston Scientific Corp.* | 128,298 | 3,556,421 | ||||||
|
| |||||||
Health Care Providers & Services — 0.4% |
| |||||||
UnitedHealth Group, Inc. | 41,133 | 7,626,881 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.4% |
| |||||||
Marriott International, Inc. (Class A Stock) | 346,291 | 34,736,450 | ||||||
McDonald’s Corp. | 166,046 | 25,431,606 | ||||||
|
| |||||||
60,168,056 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 11.6% |
| |||||||
Amazon.com, Inc.* | 90,974 | 88,062,832 | ||||||
Expedia, Inc. | 100,959 | 15,037,843 | ||||||
Netflix, Inc.* | 382,191 | 57,103,157 | ||||||
Priceline Group, Inc. (The)* | 24,407 | 45,653,782 | ||||||
|
| |||||||
205,857,614 | ||||||||
|
| |||||||
Internet Software & Services — 16.7% |
| |||||||
Alibaba Group Holding Ltd. (China), ADR*(a) | 505,001 | 71,154,641 | ||||||
Alphabet, Inc. (Class A Stock)* | 47,048 | 43,739,585 | ||||||
Alphabet, Inc. (Class C Stock)* | 48,102 | 43,711,730 | ||||||
Facebook, Inc. (Class A Stock)* | 533,126 | 80,491,364 | ||||||
Tencent Holdings Ltd. (China) | 1,580,594 | 56,703,747 | ||||||
|
| |||||||
295,801,067 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
IT Services — 7.2% | ||||||||
FleetCor Technologies, Inc.* | 145,811 | $ | 21,027,404 | |||||
Mastercard, Inc. (Class A Stock) | 435,713 | 52,917,344 | ||||||
Visa, Inc. (Class A Stock)(a) | 578,012 | 54,205,965 | ||||||
|
| |||||||
128,150,713 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.0% |
| |||||||
Illumina, Inc.* | 103,060 | 17,882,971 | ||||||
|
| |||||||
Machinery — 1.9% | ||||||||
Caterpillar, Inc. | 85,183 | 9,153,765 | ||||||
Parker-Hannifin Corp. | 149,295 | 23,860,327 | ||||||
|
| |||||||
33,014,092 | ||||||||
|
| |||||||
Media — 1.6% | ||||||||
Charter Communications, Inc. | 85,640 | 28,847,834 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.1% |
| |||||||
Concho Resources, Inc.* | 157,539 | 19,145,715 | ||||||
|
| |||||||
Pharmaceuticals — 3.5% | ||||||||
Allergan PLC | 125,473 | 30,501,232 | ||||||
Bristol-Myers Squibb Co. | 577,753 | 32,192,397 | ||||||
|
| |||||||
62,693,629 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.2% |
| |||||||
Broadcom Ltd. | 142,338 | 33,171,871 | ||||||
NVIDIA Corp. | 300,676 | 43,465,723 | ||||||
QUALCOMM, Inc. | 243,464 | 13,444,082 | ||||||
Texas Instruments, Inc. | 248,482 | 19,115,720 | ||||||
|
| |||||||
109,197,396 | ||||||||
|
| |||||||
Software — 13.4% | ||||||||
Activision Blizzard, Inc. | 603,146 | 34,723,115 | ||||||
Adobe Systems, Inc.* | 311,462 | 44,053,185 | ||||||
Microsoft Corp. | 953,865 | 65,749,915 | ||||||
Red Hat, Inc.* | 203,072 | 19,444,144 | ||||||
salesforce.com, Inc.* | 492,214 | 42,625,733 | ||||||
Splunk, Inc.*(a) | 217,460 | 12,371,299 | ||||||
Workday, Inc. (Class A Stock)*(a) | 203,477 | 19,737,269 | ||||||
|
| |||||||
238,704,660 | ||||||||
|
| |||||||
Specialty Retail — 5.3% | ||||||||
Home Depot, Inc. (The) | 191,340 | 29,351,556 | ||||||
Industria de Diseno Textil SA (Spain) | 786,366 | 30,200,451 | ||||||
O’Reilly Automotive, Inc.*(a) | 91,296 | 19,970,087 | ||||||
Ulta Beauty, Inc.* | 47,539 | 13,659,856 | ||||||
|
| |||||||
93,181,950 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 5.9% |
| |||||||
Apple, Inc. | 722,087 | 103,994,970 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.6% |
| |||||||
adidas AG (Germany) | 149,511 | 28,668,615 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 1,775,972,176 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A150
JENNISON PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
SHORT-TERM INVESTMENTS — 7.7% | Shares | Value | ||||||
AFFILIATED MUTUAL FUNDS | ||||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w) | 5,867,384 | $ | 5,867,384 | |||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund | 131,187,985 | 131,201,103 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 137,068,487 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 107.8% |
| 1,913,040,663 | ||||||
LIABILITIES IN EXCESS OF |
| (138,312,245 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 1,774,728,418 | |||||
|
|
See the Glossary for abbreviations used in the semiannual report.
* | Non-income producing security. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $128,145,126; cash collateral of $131,052,445 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund. |
Fair value measurements:
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— | unadjusted 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, 2017 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 28,507,838 | $ | — | $ | — | ||||||
Air Freight & Logistics | 26,962,829 | — | — | |||||||||
Automobiles | 27,447,645 | — | — | |||||||||
Banks | 22,323,719 | — | — | |||||||||
Beverages | 29,821,820 | — | — | |||||||||
Biotechnology | 110,722,120 | — | — | |||||||||
Capital Markets | 32,106,045 | — | — | |||||||||
Chemicals | 16,678,275 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 22,375,804 | — | — | |||||||||
Food & Staples Retailing | 22,533,497 | — | — | |||||||||
Health Care Equipment & Supplies | 3,556,421 | — | — | |||||||||
Health Care Providers & Services | 7,626,881 | — | — | |||||||||
Hotels, Restaurants & Leisure | 60,168,056 | — | — | |||||||||
Internet & Direct Marketing Retail | 205,857,614 | — | — | |||||||||
Internet Software & Services | 239,097,320 | 56,703,747 | — | |||||||||
IT Services | 128,150,713 | — | — | |||||||||
Life Sciences Tools & Services | 17,882,971 | — | — | |||||||||
Machinery | 33,014,092 | — | — | |||||||||
Media | 28,847,834 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 19,145,715 | — | — | |||||||||
Pharmaceuticals | 62,693,629 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 109,197,396 | — | — | |||||||||
Software | 238,704,660 | — | — | |||||||||
Specialty Retail | 62,981,499 | 30,200,451 | — | |||||||||
Technology Hardware, Storage & Peripherals | 103,994,970 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | — | 28,668,615 | — | |||||||||
Affiliated Mutual Funds | 137,068,487 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,797,467,850 | $ | 115,572,813 | $ | — | ||||||
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A151
JENNISON PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.
Industry classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:
Internet Software & Services | 16.7 | % | ||
Software | 13.4 | |||
Internet & Direct Marketing Retail | 11.6 | |||
Affiliated Mutual Funds (including 7.4% of collateral for securities on loan) | 7.7 | |||
IT Services | 7.2 | |||
Biotechnology | 6.2 | |||
Semiconductors & Semiconductor Equipment | 6.2 | |||
Technology Hardware, Storage & Peripherals | 5.9 | |||
Specialty Retail | 5.3 | |||
Pharmaceuticals | 3.5 | |||
Hotels, Restaurants & Leisure | 3.4 | |||
Machinery | 1.9 | |||
Capital Markets | 1.8 | |||
Beverages | 1.7 | |||
Media | 1.6 | |||
Textiles, Apparel & Luxury Goods | 1.6 |
Aerospace & Defense | 1.6 | % | ||
Automobiles | 1.5 | |||
Air Freight & Logistics | 1.5 | |||
Food & Staples Retailing | 1.3 | |||
Equity Real Estate Investment Trusts (REITs) | 1.3 | |||
Banks | 1.3 | |||
Oil, Gas & Consumable Fuels | 1.1 | |||
Life Sciences Tools & Services | 1.0 | |||
Chemicals | 0.9 | |||
Health Care Providers & Services | 0.4 | |||
Health Care Equipment & Supplies | 0.2 | |||
|
| |||
107.8 | ||||
Liabilities in excess of other assets | (7.8 | ) | ||
|
| |||
100.0 | % | |||
|
|
Financial instruments/transactions — summary of offsetting and netting arrangements:
The Portfolio entered into financial instruments/transactions 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 financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received(2) | Net Amount | |||||||||
Securities on Loan | 128,145,126 | $ | (128,145,126 | ) | $ | — |
(1) | Amount represents market value. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A152
JENNISON PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2017
ASSETS | ||||
Investments at value, including securities on loan of $128,145,126: | ||||
Unaffiliated investments (cost $969,850,977) | $ | 1,775,972,176 | ||
Affiliated investments (cost $137,056,317) | 137,068,487 | |||
Receivable for investments sold | 6,414,818 | |||
Tax reclaim receivable | 321,236 | |||
Dividends receivable | 135,570 | |||
Receivable for Series shares sold | 54,213 | |||
Prepaid expenses | 1,745 | |||
|
| |||
Total Assets | 1,919,968,245 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 131,052,445 | |||
Payable for investments purchased | 12,375,864 | |||
Management fee payable | 888,642 | |||
Payable for Series shares repurchased | 641,586 | |||
Accrued expenses and other liabilities | 264,548 | |||
Distribution fee payable | 9,700 | |||
Administration fee payable | 5,922 | |||
Affiliated transfer agent fee payable | 980 | |||
Deferred trustees’ fees | 140 | |||
|
| |||
Total Liabilities | 145,239,827 | |||
|
| |||
NET ASSETS | $ | 1,774,728,418 | ||
|
| |||
Net assets were comprised of: | ||||
Paid-in capital | $ | 918,613,797 | ||
Retained earnings | 856,114,621 | |||
|
| |||
Net assets, June 30, 2017 | $ | 1,774,728,418 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share $1,728,039,624 / 32,568,460 outstanding shares of beneficial interest | $ | 53.06 | ||
|
| |||
Class II: | ||||
Net asset value and redemption price per share $46,688,794 / 912,311 outstanding shares of beneficial interest | $ | 51.18 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2017
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $102,166) | $ | 8,234,320 | ||
Income from securities lending, net (including affiliated income of $173,072) | 212,703 | |||
Affiliated dividend income | 50,604 | |||
|
| |||
Total income | 8,497,627 | |||
|
| |||
EXPENSES | ||||
Management fee | 5,075,227 | |||
Distribution fee—Class II | 55,385 | |||
Administration fee—Class II | 33,231 | |||
Custodian and accounting fees | 114,000 | |||
Shareholders’ reports | 63,000 | |||
Audit fee | 12,000 | |||
Trustees’ fees | 12,000 | |||
Legal fees and expenses | 7,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Commitment fee on syndicated credit agreement | 5,000 | |||
Loan interest expense | 604 | |||
Miscellaneous | 16,655 | |||
|
| |||
Total expenses | 5,400,102 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 3,097,525 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $305) | 83,929,068 | |||
Foreign currency transactions | 11,361 | |||
|
| |||
83,940,429 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $(12,172)) | 183,399,485 | |||
Foreign currencies | 9,032 | |||
|
| |||
183,408,517 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 267,348,946 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 270,446,471 | ||
|
|
STATEMENT OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 3,097,525 | $ | 3,414,555 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 83,940,429 | 134,786,177 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 183,408,517 | (159,584,849 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 270,446,471 | (21,384,117 | ) | |||||
|
|
|
| |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold | 9,708,191 | 24,342,751 | ||||||
Series shares repurchased | (66,932,455 | ) | (158,165,914 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (57,224,264 | ) | (133,823,163 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 1,546,157 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 213,222,207 | (153,661,123 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 1,561,506,211 | 1,715,167,334 | ||||||
|
|
|
| |||||
End of period | $ | 1,774,728,418 | $ | 1,561,506,211 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A153
NATURAL RESOURCES PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
LONG-TERM INVESTMENTS — 98.9% | ||||||||
COMMON STOCKS — 96.9% | Shares | Value | ||||||
Automobile Manufacturers — 1.2% | ||||||||
Tesla, Inc.* | 14,035 | $ | 5,075,196 | |||||
|
| |||||||
Building Products — 1.1% | ||||||||
Owens Corning | 72,975 | 4,883,487 | ||||||
|
| |||||||
Commodity Chemicals — 1.4% | ||||||||
Valvoline, Inc. | 244,150 | 5,791,238 | ||||||
|
| |||||||
Construction Materials — 2.3% | ||||||||
Vulcan Materials Co. | 79,150 | 10,026,722 | ||||||
|
| |||||||
Diversified Chemicals — 6.5% | ||||||||
Arkema SA (France) | 84,140 | 8,985,475 | ||||||
BASF SE (Germany) | 78,572 | 7,292,211 | ||||||
Chemours Co. (The) | 180,895 | 6,859,538 | ||||||
Dow Chemical Co. (The) | 76,380 | 4,817,287 | ||||||
|
| |||||||
27,954,511 | ||||||||
|
| |||||||
Diversified Metals & Mining — 5.5% | ||||||||
BHP Billiton Ltd. (Australia) | 566,131 | 10,090,649 | ||||||
Glencore PLC (Switzerland)* | 1,184,475 | 4,438,520 | ||||||
Rio Tinto PLC (United Kingdom) | 212,563 | 9,002,477 | ||||||
|
| |||||||
23,531,646 | ||||||||
|
| |||||||
Fertilizers & Agricultural Chemicals — 3.7% |
| |||||||
Agrium, Inc. (Canada)(a) | 62,023 | 5,621,193 | ||||||
CF Industries Holdings, Inc.(a) | 215,115 | 6,014,615 | ||||||
FMC Corp. | 60,015 | 4,384,096 | ||||||
|
| |||||||
16,019,904 | ||||||||
|
| |||||||
Heavy Electrical Equipment — 4.1% | ||||||||
Gamesa Corp. Tecnologica SA (Spain) | 359,470 | 7,691,077 | ||||||
Vestas Wind Systems A/S (Denmark) | 107,648 | 9,943,159 | ||||||
|
| |||||||
17,634,236 | ||||||||
|
| |||||||
Home Furnishings — 1.4% | ||||||||
Mohawk Industries, Inc.* | 24,565 | 5,937,115 | ||||||
|
| |||||||
Integrated Oil & Gas — 18.1% | ||||||||
BP PLC (United Kingdom) | 2,129,616 | 12,292,576 | ||||||
Chevron Corp. | 82,830 | 8,641,654 | ||||||
Exxon Mobil Corp. | 155,110 | 12,522,030 | ||||||
Occidental Petroleum Corp. | 91,245 | 5,462,838 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | 386,799 | 10,276,801 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | 260,133 | 6,983,673 | ||||||
Suncor Energy, Inc. (Canada) | 216,749 | 6,329,071 | ||||||
Suncor Energy, Inc. (Canada) | 73,651 | 2,151,941 | ||||||
Total SA (France) | 253,661 | 12,593,538 | ||||||
|
| |||||||
77,254,122 | ||||||||
|
| |||||||
Metals & Mining — 1.1% | ||||||||
Lundin Mining Corp. (Canada) | 819,261 | 4,656,041 | ||||||
|
| |||||||
Oil & Gas Equipment & Services — 10.7% |
| |||||||
Halliburton Co. | 167,804 | 7,166,909 | ||||||
Propetro Holding Corp.*(a) | 357,605 | 4,992,166 | ||||||
RPC, Inc.(a) | 492,635 | 9,956,153 | ||||||
Schlumberger Ltd. | 63,866 | 4,204,937 | ||||||
US Silica Holdings, Inc.(a) | 275,100 | 9,763,299 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Oil & Gas Equipment & Services (continued) |
| |||||||
Weatherford International | 2,452,055 | $ | 9,489,453 | |||||
|
| |||||||
45,572,917 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production — 26.9% |
| |||||||
Antero Resources Corp.* | 101,035 | 2,183,366 | ||||||
Cabot Oil & Gas Corp. | 180,020 | 4,514,902 | ||||||
Concho Resources, Inc.* | 141,097 | 17,147,518 | ||||||
Continental Resources, Inc.*(a) | 210,775 | 6,814,356 | ||||||
Diamondback Energy, Inc.* | 74,445 | 6,611,460 | ||||||
EOG Resources, Inc. | 202,876 | 18,364,336 | ||||||
Laredo Petroleum, Inc.*(a) | 315,020 | 3,314,010 | ||||||
Parsley Energy, Inc. (Class A Stock)* | 614,190 | 17,043,773 | ||||||
Pioneer Natural Resources Co. | 105,501 | 16,835,850 | ||||||
Range Resources Corp.(a) | 274,602 | 6,362,528 | ||||||
SM Energy Co. | 511,600 | 8,456,748 | ||||||
Southwestern Energy Co.* | 786,080 | 4,779,366 | ||||||
Whiting Petroleum Corp.*(a) | 400,920 | 2,209,069 | ||||||
|
| |||||||
114,637,282 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing — 1.7% |
| |||||||
Valero Energy Corp. | 106,147 | 7,160,677 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation — 1.5% |
| |||||||
Enbridge, Inc. (Canada) | 165,743 | 6,602,624 | ||||||
|
| |||||||
Precious Metals & Minerals — 0.0% |
| |||||||
Sedibelo Platinum Mines (South Africa), Private Placement | 129,100 | — | ||||||
|
| |||||||
Railroads — 1.6% | ||||||||
Union Pacific Corp. | 61,190 | 6,664,203 | ||||||
|
| |||||||
Specialty Chemicals — 4.7% | ||||||||
Albemarle Corp. | 78,790 | 8,315,497 | ||||||
Ecolab, Inc. | 87,408 | 11,603,412 | ||||||
|
| |||||||
19,918,909 | ||||||||
|
| |||||||
Steel — 3.4% | ||||||||
United States Steel Corp.(a) | 377,490 | 8,357,629 | ||||||
Vale SA (Brazil) ADR(a) | 680,800 | 5,957,000 | ||||||
|
| |||||||
14,314,629 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 413,635,459 | ||||||
|
| |||||||
EXCHANGE TRADED FUNDS — 2.0% | ||||||||
Guggenheim Solar ETF(a) | 230,230 | 4,579,275 | ||||||
VanEck Vectors Gold Miners ETF(a) | 185,140 | 4,087,891 | ||||||
|
| |||||||
TOTAL EXCHANGE TRADED FUNDS |
| 8,667,166 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 422,302,625 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 19.6% | ||||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w) | 14,913,114 | 14,913,114 |
SEE NOTES TO FINANCIAL STATEMENTS.
A154
NATURAL RESOURCES PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
AFFILIATED MUTUAL FUNDS (continued) | Shares | Value | ||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund | 68,596,434 | $ | 68,603,293 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 83,516,407 | ||||||
|
| |||||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN — 118.5% |
| 505,819,032 | ||||||
|
| |||||||
Notional Amount (000)# | ||||||||
OPTIONS WRITTEN* — (0.2)% | ||||||||
Call Options | ||||||||
Tesla, Inc., expiring 07/21/17, Strike Price $375.00 | 14 | (107,660 | ) | |||||
Weatherford International PLC, expiring 07/21/17, Strike Price $4.00 | 534 | (96,174 | ) |
OPTIONS WRITTEN* (continued) | Notional Amount (000)# | Value | ||||||
United States Steel Corp., expiring 07/21/17, Strike Price $21.00 | 265 | $ | (524,700 | ) | ||||
SM Energy Co., expiring 07/21/17, Strike Price $15.00 | 138 | (316,940 | ) | |||||
|
| |||||||
TOTAL OPTIONS WRITTEN |
| (1,045,474 | ) | |||||
|
| |||||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 118.3% |
| 504,773,558 | ||||||
LIABILITIES IN EXCESS OF |
| (78,120,278 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 426,653,280 | |||||
|
|
See the Glossary for abbreviations used in semiannual report.
* | Non-income producing security. |
^ | Indicates a Level 3 security. The aggregate value of Level 3 securities is $0 and 0.0% of net assets. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $66,351,859; cash collateral of $68,534,825 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(f) | Indicates a restricted security; the aggregate original cost of such securities is $1,102,975. The aggregate value of $0 is 0.0% of net assets. |
(g) | Indicates a security that has been deemed illiquid; the aggregate value of $0 is 0.0% of net assets. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2—Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund. |
Fair value measurements:
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— | unadjusted 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, 2017 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Automobile Manufacturers | $ | 5,075,196 | $ | — | $ | — | ||||||
Building Products | 4,883,487 | — | — | |||||||||
Commodity Chemicals | 5,791,238 | — | — | |||||||||
Construction Materials | 10,026,722 | — | — | |||||||||
Diversified Chemicals | 11,676,825 | 16,277,686 | — | |||||||||
Diversified Metals & Mining | — | 23,531,646 | — | |||||||||
Fertilizers & Agricultural Chemicals | 16,019,904 | — | — | |||||||||
Heavy Electrical Equipment | — | 17,634,236 | — | |||||||||
Home Furnishings | 5,937,115 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A155
NATURAL RESOURCES PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Integrated Oil & Gas | $ | 35,107,534 | $ | 42,146,588 | $ | — | ||||||
Metals & Mining | 4,656,041 | — | — | |||||||||
Oil & Gas Equipment & Services | 45,572,917 | — | — | |||||||||
Oil & Gas Exploration & Production | 114,637,282 | — | — | |||||||||
Oil & Gas Refining & Marketing | 7,160,677 | — | — | |||||||||
Oil & Gas Storage & Transportation | 6,602,624 | — | — | |||||||||
Precious Metals & Minerals | — | — | — | |||||||||
Railroads | 6,664,203 | — | — | |||||||||
Specialty Chemicals | 19,918,909 | — | — | |||||||||
Steel | 14,314,629 | — | — | |||||||||
Exchange Traded Funds | 8,667,166 | — | — | |||||||||
Affiliated Mutual Funds | 83,516,407 | — | — | |||||||||
Options Written | (1,045,474 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | 405,183,402 | $ | 99,590,156 | $ | — | ||||||
|
|
|
|
|
|
During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.
Industry classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:
Oil & Gas Exploration & Production | 26.9 | % | ||
Affiliated Mutual Funds (including 16.1% of collateral for securities on loan) | 19.6 | |||
Integrated Oil & Gas | 18.1 | |||
Oil & Gas Equipment & Services | 10.7 | |||
Diversified Chemicals | 6.5 | |||
Diversified Metals & Mining | 5.5 | |||
Specialty Chemicals | 4.7 | |||
Heavy Electrical Equipment | 4.1 | |||
Fertilizers & Agricultural Chemicals | 3.7 | |||
Steel | 3.4 | |||
Construction Materials | 2.3 | |||
Exchange Traded Funds | 2.0 | |||
Oil & Gas Refining & Marketing | 1.7 |
Railroads | 1.6 | % | ||
Oil & Gas Storage & Transportation | 1.5 | |||
Home Furnishings | 1.4 | |||
Commodity Chemicals | 1.4 | |||
Automobile Manufacturers | 1.2 | |||
Building Products | 1.1 | |||
Metals & Mining | 1.1 | |||
Precious Metals & Minerals | 0.0 | * | ||
|
| |||
118.5 | ||||
Options Written | (0.2 | ) | ||
Liabilities in excess of other assets | (18.3 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of derivative instruments on the financial statements and primary underlying risk exposure:
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, 2017 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 | — | $ | — | Options written outstanding, at value | $ | 1,045,474 | ||||||
|
|
|
|
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2017 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging | Options Written | |||
Equity contracts | $ | 9,523,604 | ||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A156
NATURAL RESOURCES PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging | Options Written | |||
Equity contracts | $ | (159,780 | ) | |
|
|
For the six months ended June 30, 2017, the Portfolio’s average notional amount for options written was $883,333.
Financial instruments/transactions—summary of offsetting and netting arrangements:
The Portfolio entered into financial instruments/transactions 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 financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received(2) | Net Amount | |||||||||
Securities on Loan | $ | 66,351,859 | $ | (66,351,859 | ) | $ | — |
(1) | Amount represents market value. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A157
NATURAL RESOURCES PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2017
ASSETS | ||||
Investments at value, including securities on loan of $66,351,859: | ||||
Unaffiliated investments (cost $349,298,248) | $ | 422,302,625 | ||
Affiliated investments (cost $83,511,644) | 83,516,407 | |||
Cash | 17,453 | |||
Receivable for investments sold | 4,311,487 | |||
Tax reclaim receivable | 570,972 | |||
Dividends receivable | 333,654 | |||
Receivable for Series shares sold | 80,826 | |||
Prepaid expenses | 515 | |||
|
| |||
Total Assets | 511,133,939 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 68,534,825 | |||
Payable for investments purchased | 14,507,223 | |||
Options written outstanding, at value (premiums received $885,694) | 1,045,474 | |||
Accrued expenses and liabilities | 163,560 | |||
Management fee payable | 156,567 | |||
Payable for Series shares repurchased | 55,450 | |||
Distribution fee payable | 10,361 | |||
Administration fee payable | 6,219 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 84,480,659 | |||
|
| |||
NET ASSETS | $ | 426,653,280 | ||
|
| |||
Net assets were comprised of: | ||||
Paid-in capital | $ | 438,049,329 | ||
Retained earnings | (11,396,049 | ) | ||
|
| |||
Net assets, June 30, 2017 | $ | 426,653,280 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share $375,899,678 / 16,227,975 outstanding shares of beneficial interest | $ | 23.16 | ||
|
| |||
Class II: | ||||
Net asset value and redemption price per share $50,753,602 / 2,252,816 outstanding shares of beneficial interest | $ | 22.53 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2017
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $322,699) | $ | 4,625,387 | ||
Income from securities lending, net (including affiliated income of $125,217) | 282,278 | |||
Affiliated dividend income | 42,674 | |||
|
| |||
Total income | 4,950,339 | |||
|
| |||
EXPENSES | ||||
Management fee | 1,056,023 | |||
Distribution fee—Class II | 56,220 | |||
Administration fee—Class II | 33,732 | |||
Shareholders’ reports | 64,000 | |||
Custodian and accounting fees | 49,000 | |||
Audit fee | 13,000 | |||
Trustees’ fees | 7,000 | |||
Transfer agent’s fee and expenses (including affiliated expense of $2,900) | 6,000 | |||
Legal fees and expenses | 5,000 | |||
Loan interest expense | 204 | |||
Miscellaneous | 10,817 | |||
|
| |||
Total expenses | 1,300,996 | |||
Less: Management fee waiver | (18,776 | ) | ||
|
| |||
Net expenses | 1,282,220 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 3,668,119 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(3,669)) | (9,377,238 | ) | ||
Options written transactions | 9,523,604 | |||
Foreign currency transactions | (116,134 | ) | ||
|
| |||
30,232 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $(5,584)) | (71,880,363 | ) | ||
Options written | (159,780 | ) | ||
Foreign currencies | 13,522 | |||
|
| |||
(72,026,621 | ) | |||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (71,996,389 | ) | ||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (68,328,270 | ) | |
|
|
STATEMENT OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 3,668,119 | $ | 4,737,213 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 30,232 | (133,013,475 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (72,026,621 | ) | 231,091,192 | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (68,328,270 | ) | 102,814,930 | |||||
|
|
|
| |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold | 26,980,229 | 35,098,805 | ||||||
Series shares repurchased | (30,094,756 | ) | (56,714,145 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (3,114,527 | ) | (21,615,340 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 480,531 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | (71,442,797 | ) | 81,680,121 | |||||
NET ASSETS: | ||||||||
Beginning of period | 498,096,077 | 416,415,956 | ||||||
|
|
|
| |||||
End of period | $ | 426,653,280 | $ | 498,096,077 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A158
SMALL CAPITALIZATION STOCK PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
LONG-TERM INVESTMENTS — 99.2% | ||||||||
COMMON STOCKS — 98.8% | Shares | Value | ||||||
Aerospace & Defense — 1.8% |
| |||||||
AAR Corp. | 35,421 | $ | 1,231,234 | |||||
Aerojet Rocketdyne Holdings, Inc.* | 82,865 | 1,723,592 | ||||||
Aerovironment, Inc.*(a) | 22,934 | 876,079 | ||||||
Axon Enterprise, Inc.*(a) | 58,580 | 1,472,701 | ||||||
Cubic Corp. | 27,693 | 1,282,186 | ||||||
Engility Holdings, Inc.* | 19,630 | 557,492 | ||||||
Mercury Systems, Inc.*(a) | 53,308 | 2,243,734 | ||||||
Moog, Inc. (Class A Stock)* | 35,924 | 2,576,469 | ||||||
National Presto Industries, Inc.(a) | 5,569 | 615,374 | ||||||
Triumph Group, Inc.(a) | 55,000 | 1,738,000 | ||||||
|
| |||||||
14,316,861 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.7% |
| |||||||
Atlas Air Worldwide Holdings, Inc.* | 28,040 | 1,462,286 | ||||||
Echo Global Logistics, Inc.* | 30,430 | 605,557 | ||||||
Forward Air Corp. | 33,586 | 1,789,462 | ||||||
Hub Group, Inc. (Class A Stock)* | 37,180 | 1,425,853 | ||||||
|
| |||||||
5,283,158 | ||||||||
|
| |||||||
Airlines — 0.8% |
| |||||||
Allegiant Travel Co. | 14,654 | 1,987,082 | ||||||
Hawaiian Holdings, Inc.* | 59,630 | 2,799,629 | ||||||
SkyWest, Inc. | 57,480 | 2,017,548 | ||||||
|
| |||||||
6,804,259 | ||||||||
|
| |||||||
Auto Components — 1.8% |
| |||||||
American Axle & Manufacturing Holdings, Inc.* | 92,600 | 1,444,560 | ||||||
Cooper-Standard Holdings, Inc.* | 19,880 | 2,005,296 | ||||||
Dorman Products, Inc.* | 33,600 | 2,781,072 | ||||||
Fox Factory Holding Corp.* | 38,550 | 1,372,380 | ||||||
Gentherm, Inc.* | 40,850 | 1,584,980 | ||||||
LCI Industries | 27,729 | 2,839,449 | ||||||
Motorcar Parts of America, Inc.* | 20,700 | 584,568 | ||||||
Standard Motor Products, Inc. | 22,299 | 1,164,454 | ||||||
Superior Industries International, Inc. | 24,818 | 510,010 | ||||||
|
| |||||||
14,286,769 | ||||||||
|
| |||||||
Automobiles — 0.1% |
| |||||||
Winnebago Industries, Inc.(a) | 29,531 | 1,033,585 | ||||||
|
| |||||||
Banks — 7.8% |
| |||||||
Ameris Bancorp | 41,220 | 1,986,804 | ||||||
Banc of California, Inc.(a) | 55,370 | 1,190,455 | ||||||
Banner Corp. | 29,130 | 1,646,136 | ||||||
Boston Private Financial Holdings, Inc. | 93,162 | 1,430,037 | ||||||
Brookline Bancorp, Inc. | 84,632 | 1,235,627 | ||||||
Central Pacific Financial Corp. | 33,970 | 1,069,036 | ||||||
City Holding Co. | 17,374 | 1,144,425 | ||||||
Columbia Banking System, Inc. | 64,798 | 2,582,200 | ||||||
Community Bank System, Inc.(a) | 54,706 | 3,050,954 | ||||||
Customers Bancorp, Inc.* | 32,000 | 904,960 | ||||||
CVB Financial Corp.(a) | 113,700 | 2,550,291 | ||||||
Fidelity Southern Corp. | 23,600 | 539,496 | ||||||
First BanCorp. (Puerto Rico)* | 174,572 | 1,010,772 | ||||||
First Commonwealth Financial Corp. | 97,060 | 1,230,721 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Banks (continued) |
| |||||||
First Financial Bancorp | 69,003 | $ | 1,911,383 | |||||
First Financial Bankshares, Inc.(a) | 73,458 | 3,246,844 | ||||||
First Midwest Bancorp, Inc. | 90,120 | 2,100,697 | ||||||
Glacier Bancorp, Inc. | 85,113 | 3,115,987 | ||||||
Great Western Bancorp, Inc. | 65,180 | 2,659,996 | ||||||
Hanmi Financial Corp. | 36,036 | 1,025,224 | ||||||
Hope Bancorp, Inc. | 141,154 | 2,632,522 | ||||||
Independent Bank Corp. | 30,236 | 2,015,229 | ||||||
LegacyTexas Financial Group, Inc. | 46,310 | 1,765,800 | ||||||
National Bank Holdings Corp. (Class A Stock) | 29,690 | 983,036 | ||||||
NBT Bancorp, Inc. | 48,260 | 1,783,207 | ||||||
OFG Bancorp (Puerto Rico) | 48,370 | 483,700 | ||||||
Old National Bancorp | 150,377 | 2,594,003 | ||||||
Opus Bank | 20,200 | 488,840 | ||||||
S&T Bancorp, Inc.(a) | 38,823 | 1,392,193 | ||||||
ServisFirst Bancshares, Inc.(a) | 49,250 | 1,816,833 | ||||||
Simmons First National Corp. (Class A Stock)(a) | 33,098 | 1,750,884 | ||||||
Southside Bancshares, Inc. | 30,185 | 1,054,664 | ||||||
Sterling Bancorp(a) | 150,648 | 3,502,566 | ||||||
Tompkins Financial Corp.(a) | 13,784 | 1,085,076 | ||||||
United Community Banks, Inc. | 78,777 | 2,190,001 | ||||||
Westamerica Bancorporation(a) | 29,200 | 1,636,368 | ||||||
|
| |||||||
62,806,967 | ||||||||
|
| |||||||
Beverages — 0.1% |
| |||||||
Coca-Cola Bottling Co. | 5,200 | 1,190,124 | ||||||
|
| |||||||
Biotechnology — 1.9% |
| |||||||
Acorda Therapeutics, Inc.* | 51,800 | 1,020,460 | ||||||
AMAG Pharmaceuticals, Inc.*(a) | 38,750 | 713,000 | ||||||
Cytokinetics, Inc.* | 51,100 | 618,310 | ||||||
Eagle Pharmaceuticals, Inc.*(a) | 8,740 | 689,498 | ||||||
Emergent BioSolutions, Inc.* | 38,657 | 1,310,859 | ||||||
Enanta Pharmaceuticals, Inc.* | 15,470 | 556,611 | ||||||
Ligand Pharmaceuticals, Inc.*(a) | 21,170 | 2,570,038 | ||||||
MiMedx Group, Inc.*(a) | 113,110 | 1,693,257 | ||||||
Momenta Pharmaceuticals, Inc.* | 74,190 | 1,253,811 | ||||||
Myriad Genetics, Inc.*(a) | 75,600 | 1,953,504 | ||||||
Progenics Pharmaceuticals, Inc.*(a) | 77,700 | 527,583 | ||||||
Repligen Corp.* | 41,000 | 1,699,040 | ||||||
Spectrum Pharmaceuticals, Inc.*(a) | 78,300 | 583,335 | ||||||
|
| |||||||
15,189,306 | ||||||||
|
| |||||||
Building Products — 2.0% |
| |||||||
AAON, Inc. | 43,869 | 1,616,573 | ||||||
American Woodmark Corp.* | 15,540 | 1,484,847 | ||||||
Apogee Enterprises, Inc.(a) | 31,958 | 1,816,493 | ||||||
Gibraltar Industries, Inc.* | 35,158 | 1,253,383 | ||||||
Griffon Corp. | 34,579 | 759,009 | ||||||
Insteel Industries, Inc. | 19,450 | 641,266 | ||||||
Patrick Industries, Inc.* | 17,750 | 1,293,087 | ||||||
PGT Innovations, Inc.* | 54,900 | 702,720 |
SEE NOTES TO FINANCIAL STATEMENTS.
A159
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Building Products (continued) |
| |||||||
Quanex Building Products Corp.(a) | 38,278 | $ | 809,580 | |||||
Simpson Manufacturing Co., Inc. | 45,003 | 1,967,081 | ||||||
Trex Co., Inc.* | 32,660 | 2,209,776 | ||||||
Universal Forest Products, Inc. | 22,814 | 1,991,890 | ||||||
|
| |||||||
16,545,705 | ||||||||
|
| |||||||
Capital Markets — 2.0% |
| |||||||
Donnelley Financial Solutions, Inc.* | 36,337 | 834,298 | ||||||
Evercore Partners, Inc. (Class A Stock) | 45,610 | 3,215,505 | ||||||
Financial Engines, Inc.(a) | 64,280 | 2,352,648 | ||||||
Greenhill & Co., Inc.(a) | 30,400 | 611,040 | ||||||
Interactive Brokers Group, Inc. (Class A Stock)(a) | 75,500 | 2,825,210 | ||||||
INTL. FCStone, Inc.* | 16,800 | 634,368 | ||||||
Investment Technology Group, Inc. | 34,836 | 739,917 | ||||||
Piper Jaffray Cos.(a) | 15,715 | 942,114 | ||||||
Virtus Investment Partners, Inc.(a) | 7,410 | 822,139 | ||||||
Waddell & Reed Financial, Inc. (Class A Stock)(a) | 92,650 | 1,749,232 | ||||||
WisdomTree Investments, Inc.(a) | 127,450 | 1,296,166 | ||||||
|
| |||||||
16,022,637 | ||||||||
|
| |||||||
Chemicals — 2.9% |
| |||||||
A Schulman, Inc. | 32,636 | 1,044,352 | ||||||
AdvanSix, Inc.* | 33,850 | 1,057,474 | ||||||
American Vanguard Corp. | 29,098 | 501,941 | ||||||
Balchem Corp. | 35,413 | 2,751,944 | ||||||
Calgon Carbon Corp. | 56,144 | 847,774 | ||||||
Flotek Industries, Inc.*(a) | 59,900 | 535,506 | ||||||
FutureFuel Corp. | 25,250 | 381,023 | ||||||
Hawkins, Inc. | 10,600 | 491,310 | ||||||
HB Fuller Co. | 56,138 | 2,869,213 | ||||||
Ingevity Corp.* | 46,770 | 2,684,598 | ||||||
Innophos Holdings, Inc. | 21,630 | 948,259 | ||||||
Innospec, Inc. | 26,820 | 1,758,051 | ||||||
Koppers Holdings, Inc.* | 23,130 | 836,149 | ||||||
Kraton Corp.* | 34,590 | 1,191,280 | ||||||
LSB Industries, Inc.*(a) | 22,700 | 234,491 | ||||||
Quaker Chemical Corp. | 14,848 | 2,156,375 | ||||||
Rayonier Advanced Materials, | 47,870 | 752,516 | ||||||
Stepan Co. | 21,790 | 1,898,781 | ||||||
Tredegar Corp. | 28,035 | 427,534 | ||||||
|
| |||||||
23,368,571 | ||||||||
|
| |||||||
Commercial Services & Supplies — 3.5% |
| |||||||
ABM Industries, Inc. | 61,883 | 2,569,382 | ||||||
Brady Corp. (Class A Stock) | 53,112 | 1,800,497 | ||||||
Brink’s Co. (The) | 50,420 | 3,378,140 | ||||||
Essendant, Inc. | 41,452 | 614,733 | ||||||
Healthcare Services Group, Inc.(a) | 81,056 | 3,795,852 | ||||||
Interface, Inc. | 69,612 | 1,367,876 | ||||||
LSC Communications, Inc. | 37,717 | 807,144 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Commercial Services & Supplies (continued) |
| |||||||
Matthews International Corp. (Class A Stock) | 35,770 | $ | 2,190,912 | |||||
Mobile Mini, Inc. | 49,087 | 1,465,247 | ||||||
Multi-Color Corp. | 14,700 | 1,199,520 | ||||||
RR Donnelley & Sons Co. | 77,433 | 971,010 | ||||||
Team, Inc.*(a) | 33,060 | 775,257 | ||||||
Tetra Tech, Inc. | 63,468 | 2,903,661 | ||||||
UniFirst Corp. | 17,230 | 2,424,261 | ||||||
US Ecology, Inc. | 24,300 | 1,227,150 | ||||||
Viad Corp. | 22,627 | 1,069,126 | ||||||
|
| |||||||
28,559,768 | ||||||||
|
| |||||||
Communications Equipment — 1.7% |
| |||||||
ADTRAN, Inc. | 53,560 | 1,106,014 | ||||||
Applied Optoelectronics, Inc.*(a) | 19,700 | 1,217,263 | ||||||
Black Box Corp. | 16,493 | 141,015 | ||||||
CalAmp Corp.* | 39,150 | 795,919 | ||||||
Comtech Telecommunications Corp. | 26,159 | 496,236 | ||||||
Digi International, Inc.* | 29,464 | 299,060 | ||||||
Harmonic, Inc.*(a) | 89,124 | 467,901 | ||||||
Lumentum Holdings, Inc.* | 61,850 | 3,528,542 | ||||||
NETGEAR, Inc.* | 36,066 | 1,554,445 | ||||||
Oclaro, Inc.*(a) | 140,950 | 1,316,473 | ||||||
Viavi Solutions, Inc.* | 251,790 | 2,651,349 | ||||||
|
| |||||||
13,574,217 | ||||||||
|
| |||||||
Construction & Engineering — 0.4% | ||||||||
Aegion Corp.* | 37,107 | 811,901 | ||||||
Comfort Systems USA, Inc. | 41,384 | 1,535,347 | ||||||
MYR Group, Inc.* | 18,220 | 565,184 | ||||||
Orion Group Holdings, Inc.* | 30,300 | 226,341 | ||||||
|
| |||||||
3,138,773 | ||||||||
|
| |||||||
Construction Materials — 0.2% | ||||||||
U.S. Concrete, Inc.*(a) | 16,600 | 1,303,930 | ||||||
|
| |||||||
Consumer Finance — 1.2% | ||||||||
Encore Capital Group, Inc.*(a) | 26,290 | 1,055,544 | ||||||
Enova International, Inc.* | 26,039 | 386,679 | ||||||
EZCORP, Inc. (Class A Stock)* | 53,821 | 414,422 | ||||||
FirstCash, Inc. | 53,731 | 3,132,517 | ||||||
Green Dot Corp. (Class A Stock)* | 48,650 | 1,874,484 | ||||||
PRA Group, Inc.*(a) | 51,507 | 1,952,115 | ||||||
World Acceptance Corp.*(a) | 6,702 | 502,047 | ||||||
|
| |||||||
9,317,808 | ||||||||
|
| |||||||
Containers & Packaging — 0.1% | ||||||||
Myers Industries, Inc. | 24,370 | 437,442 | ||||||
|
| |||||||
Distributors — 0.2% | ||||||||
Core-Mark Holding Co., Inc. | 51,490 | 1,702,259 | ||||||
|
| |||||||
Diversified Consumer Services — 0.5% |
| |||||||
American Public Education, Inc.* | 18,033 | 426,480 | ||||||
Capella Education Co. | 12,886 | 1,103,042 | ||||||
Career Education Corp.* | 72,080 | 691,968 | ||||||
Regis Corp.* | 38,750 | 397,963 | ||||||
Strayer Education, Inc.(a) | 11,650 | 1,086,013 | ||||||
|
| |||||||
3,705,466 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A160
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Diversified Telecommunication Services — 0.9% |
| |||||||
ATN International, Inc. | 11,900 | $ | 814,436 | |||||
Cincinnati Bell, Inc.* | 46,730 | 913,572 | ||||||
Cogent Communications Holdings, Inc. | 45,520 | 1,825,352 | ||||||
Consolidated Communications Holdings, Inc.(a) | 56,390 | 1,210,693 | ||||||
General Communication, Inc. (Class A Stock)* | 29,684 | 1,087,622 | ||||||
Iridium Communications, Inc.*(a) | 90,590 | 1,001,019 | ||||||
Lumos Networks Corp.* | 26,571 | 474,824 | ||||||
|
| |||||||
7,327,518 | ||||||||
|
| |||||||
Electric Utilities — 0.8% | ||||||||
ALLETE, Inc. | 56,527 | 4,051,855 | ||||||
El Paso Electric Co. | 45,118 | 2,332,601 | ||||||
|
| |||||||
6,384,456 | ||||||||
|
| |||||||
Electrical Equipment — 0.5% | ||||||||
AZZ, Inc. | 28,942 | 1,614,963 | ||||||
Encore Wire Corp. | 23,041 | 983,851 | ||||||
General Cable Corp. | 55,000 | 899,250 | ||||||
Powell Industries, Inc. | 9,522 | 304,609 | ||||||
Vicor Corp.* | 17,781 | 318,280 | ||||||
|
| |||||||
4,120,953 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 3.9% |
| |||||||
Anixter International, Inc.* | 31,744 | 2,482,381 | ||||||
Badger Meter, Inc.(a) | 32,314 | 1,287,713 | ||||||
Bel Fuse, Inc. (Class B Stock) | 9,772 | 241,368 | ||||||
Benchmark Electronics, Inc.* | 55,320 | 1,786,836 | ||||||
CTS Corp. | 36,504 | 788,486 | ||||||
Daktronics, Inc. | 44,058 | 424,278 | ||||||
Electro Scientific Industries, Inc.* | 36,741 | 302,746 | ||||||
ePlus, Inc.* | 14,610 | 1,082,601 | ||||||
Fabrinet (Thailand)* | 41,480 | 1,769,537 | ||||||
FARO Technologies, Inc.* | 18,584 | 702,475 | ||||||
II-VI, Inc.* | 61,062 | 2,094,427 | ||||||
Insight Enterprises, Inc.* | 39,735 | 1,589,003 | ||||||
Itron, Inc.* | 37,380 | 2,532,495 | ||||||
Methode Electronics, Inc. | 40,896 | 1,684,915 | ||||||
MTS Systems Corp.(a) | 18,635 | 965,293 | ||||||
OSI Systems, Inc.*(a) | 19,700 | 1,480,455 | ||||||
Park Electrochemical Corp. | 20,944 | 385,788 | ||||||
Plexus Corp.* | 37,480 | 1,970,324 | ||||||
Rogers Corp.* | 20,131 | 2,186,629 | ||||||
Sanmina Corp.* | 83,940 | 3,198,114 | ||||||
ScanSource, Inc.* | 28,103 | 1,132,551 | ||||||
TTM Technologies, Inc.*(a) | 94,799 | 1,645,711 | ||||||
|
| |||||||
31,734,126 | ||||||||
|
| |||||||
Energy Equipment & Services — 1.7% |
| |||||||
Archrock, Inc. | 78,850 | 898,890 | ||||||
Atwood Oceanics, Inc.*(a) | 82,900 | 675,635 | ||||||
Bristow Group, Inc.(a) | 35,155 | 268,936 | ||||||
CARBO Ceramics, Inc.*(a) | 22,950 | 157,208 | ||||||
Era Group, Inc.* | 21,971 | 207,846 | ||||||
Exterran Corp.* | 35,200 | 939,840 | ||||||
Geospace Technologies Corp.*(a) | 14,610 | 202,056 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Energy Equipment & Services (continued) |
| |||||||
Gulf Island Fabrication, Inc. | 14,777 | $ | 171,413 | |||||
Helix Energy Solutions Group, Inc.* | 152,210 | 858,464 | ||||||
Matrix Service Co.* | 29,013 | 271,272 | ||||||
McDermott International, Inc.* | 315,100 | 2,259,267 | ||||||
Newpark Resources, Inc.* | 98,700 | 725,445 | ||||||
Noble Corp. PLC(a) | 271,200 | 981,744 | ||||||
Pioneer Energy Services Corp.* | 84,347 | 172,911 | ||||||
SEACOR Holdings, Inc.*(a) | 18,191 | 623,951 | ||||||
Tesco Corp.* | 51,050 | 227,173 | ||||||
TETRA Technologies, Inc.* | 127,591 | 355,979 | ||||||
Unit Corp.* | 58,670 | 1,098,889 | ||||||
US Silica Holdings, Inc.(a) | 81,050 | 2,876,464 | ||||||
|
| |||||||
13,973,383 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 6.4% |
| |||||||
Acadia Realty Trust(a) | 94,065 | 2,615,007 | ||||||
Agree Realty Corp.(a) | 31,350 | 1,438,025 | ||||||
American Assets Trust, Inc. | 46,030 | 1,813,122 | ||||||
Armada Hoffler Properties, Inc. | 49,900 | 646,205 | ||||||
CareTrust REIT, Inc.(a) | 80,605 | 1,494,417 | ||||||
CBL & Associates Properties, | 189,750 | 1,599,593 | ||||||
Cedar Realty Trust, Inc. | 83,866 | 406,750 | ||||||
Chatham Lodging Trust | 42,600 | 855,834 | ||||||
Chesapeake Lodging Trust | 66,800 | 1,634,596 | ||||||
CoreSite Realty Corp. | 38,050 | 3,939,316 | ||||||
DiamondRock Hospitality Co.(a) | 222,240 | 2,433,528 | ||||||
EastGroup Properties, Inc. | 37,733 | 3,162,025 | ||||||
Four Corners Property Trust, Inc. | 66,609 | 1,672,552 | ||||||
Franklin Street Properties Corp. | 119,102 | 1,319,650 | ||||||
Getty Realty Corp. | 29,864 | 749,586 | ||||||
Government Properties Income Trust(a) | 105,450 | 1,930,790 | ||||||
Hersha Hospitality Trust(a) | 46,350 | 857,939 | ||||||
Independence Realty Trust, Inc.(a) | 65,900 | 650,433 | ||||||
Kite Realty Group Trust | 92,622 | 1,753,334 | ||||||
Lexington Realty Trust | 240,086 | 2,379,252 | ||||||
LTC Properties, Inc.(a) | 43,996 | 2,260,954 | ||||||
National Storage Affiliates Trust | 48,900 | 1,130,079 | ||||||
Parkway, Inc. | 47,300 | 1,082,697 | ||||||
Pennsylvania Real Estate Investment Trust(a) | 77,472 | 876,983 | ||||||
PS Business Parks, Inc. | 21,782 | 2,883,719 | ||||||
Ramco-Gershenson Properties Trust | 87,900 | 1,133,910 | ||||||
Retail Opportunity Investments Corp. | 121,710 | 2,335,615 | ||||||
Sabra Health Care REIT, Inc.(a) | 72,450 | 1,746,045 | ||||||
Saul Centers, Inc. | 13,120 | 760,698 | ||||||
Summit Hotel Properties, Inc.(a) | 115,700 | 2,157,805 | ||||||
Universal Health Realty Income Trust(a) | 13,930 | 1,107,992 | ||||||
Urstadt Biddle Properties, Inc. (Class A Stock) | 33,040 | 654,192 | ||||||
|
| |||||||
51,482,643 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A161
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Food & Staples Retailing — 0.4% |
| |||||||
Andersons, Inc. (The) | 29,224 | $ | 998,000 | |||||
SpartanNash Co. | 41,976 | 1,089,697 | ||||||
SUPERVALU, Inc.* | 297,250 | 977,952 | ||||||
|
| |||||||
3,065,649 | ||||||||
|
| |||||||
Food Products — 1.7% |
| |||||||
B&G Foods, Inc.(a) | 73,830 | 2,628,348 | ||||||
Cal-Maine Foods, Inc.*(a) | 33,110 | 1,311,156 | ||||||
Calavo Growers, Inc.(a) | 17,130 | 1,182,826 | ||||||
Darling Ingredients, Inc.* | 182,930 | 2,879,318 | ||||||
J&J Snack Foods Corp. | 16,708 | 2,206,626 | ||||||
John B. Sanfilippo & Son, Inc.(a) | 9,650 | 609,012 | ||||||
Sanderson Farms, Inc.(a) | 22,305 | 2,579,573 | ||||||
Seneca Foods Corp. (Class A Stock)* | 6,920 | 214,866 | ||||||
|
| |||||||
13,611,725 | ||||||||
|
| |||||||
Gas Utilities — 1.1% |
| |||||||
Northwest Natural Gas Co. | 31,855 | 1,906,522 | ||||||
South Jersey Industries, Inc. | 88,334 | 3,018,373 | ||||||
Spire, Inc. | 53,604 | 3,738,879 | ||||||
|
| |||||||
8,663,774 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 4.1% |
| |||||||
Abaxis, Inc.(a) | 25,232 | 1,337,801 | ||||||
Analogic Corp. | 13,873 | 1,007,873 | ||||||
AngioDynamics, Inc.* | 38,000 | 615,980 | ||||||
Anika Therapeutics, Inc.* | 16,250 | 801,775 | ||||||
Cantel Medical Corp.(a) | 40,382 | 3,146,162 | ||||||
CONMED Corp. | 27,529 | 1,402,327 | ||||||
CryoLife, Inc.* | 30,103 | 600,555 | ||||||
Haemonetics Corp.* | 58,334 | 2,303,610 | ||||||
ICU Medical, Inc.* | 16,792 | 2,896,620 | ||||||
Inogen, Inc.* | 18,100 | 1,727,102 | ||||||
Integer Holdings Corp.* | 30,944 | 1,338,328 | ||||||
Integra LifeSciences Holdings Corp.* | 67,234 | 3,664,925 | ||||||
Invacare Corp.(a) | 35,602 | 469,946 | ||||||
Lantheus Holdings, Inc.* | 32,600 | 575,390 | ||||||
LeMaitre Vascular, Inc. | 14,000 | 437,080 | ||||||
Meridian Bioscience, Inc.(a) | 46,725 | 735,919 | ||||||
Merit Medical Systems, Inc.* | 55,458 | 2,115,723 | ||||||
Natus Medical, Inc.* | 36,815 | 1,373,199 | ||||||
Neogen Corp.* | 42,330 | 2,925,426 | ||||||
OraSure Technologies, Inc.* | 64,100 | 1,106,366 | ||||||
Orthofix International NV* | 20,100 | 934,248 | ||||||
Surmodics, Inc.* | 14,792 | 416,395 | ||||||
Varex Imaging Corp.*(a) | 41,750 | 1,411,150 | ||||||
|
| |||||||
33,343,900 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.4% |
| |||||||
Aceto Corp. | 33,200 | 512,940 | ||||||
Almost Family, Inc.* | 13,302 | 820,068 | ||||||
Amedisys, Inc.*(a) | 31,129 | 1,955,212 | ||||||
AMN Healthcare Services, Inc.*(a) | 53,269 | 2,080,154 | ||||||
BioTelemetry, Inc.* | 31,800 | 1,063,710 | ||||||
Chemed Corp.(a) | 17,911 | 3,663,337 | ||||||
Community Health Systems, Inc.* | 127,410 | 1,269,004 | ||||||
CorVel Corp.* | 10,810 | 512,934 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Health Care Providers & Services (continued) |
| |||||||
Cross Country Healthcare, Inc.* | 34,913 | $ | 450,727 | |||||
Diplomat Pharmacy, Inc.*(a) | 48,490 | 717,652 | ||||||
Ensign Group, Inc. (The)(a) | 52,980 | 1,153,375 | ||||||
HealthEquity, Inc.* | 49,220 | 2,452,633 | ||||||
Kindred Healthcare, Inc. | 95,178 | 1,108,824 | ||||||
Landauer, Inc. | 10,718 | 560,551 | ||||||
LHC Group, Inc.* | 16,658 | 1,130,912 | ||||||
Magellan Health, Inc.* | 26,411 | 1,925,362 | ||||||
PharMerica Corp.* | 34,425 | 903,656 | ||||||
Providence Service Corp. (The)* | 12,900 | 652,869 | ||||||
Quorum Health Corp.* | 33,000 | 136,950 | ||||||
Select Medical Holdings Corp.* | 119,260 | 1,830,641 | ||||||
Tivity Health, Inc.*(a) | 37,476 | 1,493,419 | ||||||
US Physical Therapy, Inc. | 13,940 | 841,976 | ||||||
|
| |||||||
27,236,906 | ||||||||
|
| |||||||
Health Care Technology — 0.7% |
| |||||||
Computer Programs & Systems, Inc.(a) | 11,886 | 389,861 | ||||||
HealthStream, Inc.*(a) | 28,300 | 744,856 | ||||||
HMS Holdings Corp.* | 93,100 | 1,722,350 | ||||||
Omnicell, Inc.* | 41,272 | 1,778,823 | ||||||
Quality Systems, Inc.* | 51,534 | 886,900 | ||||||
|
| |||||||
5,522,790 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.3% |
| |||||||
Belmond Ltd. (United Kingdom) (Class A Stock)* | 93,800 | 1,247,540 | ||||||
Biglari Holdings, Inc.* | 1,216 | 486,084 | ||||||
BJ’s Restaurants, Inc.* | 19,822 | 738,369 | ||||||
Bob Evans Farms, Inc. | 21,990 | 1,579,542 | ||||||
Boyd Gaming Corp. | 91,750 | 2,276,317 | ||||||
Chuy’s Holdings, Inc.*(a) | 18,750 | 438,750 | ||||||
Dave & Buster’s Entertainment, Inc.*(a) | 41,570 | 2,764,821 | ||||||
DineEquity, Inc.(a) | 18,765 | 826,598 | ||||||
El Pollo Loco Holdings, Inc.*(a) | 23,900 | 331,015 | ||||||
Fiesta Restaurant Group, Inc.* | 30,000 | 619,500 | ||||||
ILG, Inc. | 117,766 | 3,237,387 | ||||||
Marcus Corp. (The) | 21,108 | 637,462 | ||||||
Marriott Vacations Worldwide | 27,220 | 3,205,155 | ||||||
Monarch Casino & Resort, Inc.* | 12,231 | 369,988 | ||||||
Penn National Gaming, Inc.* | 91,800 | 1,964,520 | ||||||
Red Robin Gourmet Burgers, | 14,363 | 937,186 | ||||||
Ruby Tuesday, Inc.* | 65,184 | 131,020 | ||||||
Ruth’s Hospitality Group, Inc. | 33,098 | 719,882 | ||||||
Scientific Games Corp. (Class A Stock)*(a) | 57,150 | 1,491,615 | ||||||
Shake Shack, Inc. | 20,640 | 719,923 | ||||||
Sonic Corp.(a) | 47,174 | 1,249,639 | ||||||
Wingstop, Inc.(a) | 32,200 | 994,980 | ||||||
|
| |||||||
26,967,293 | ||||||||
|
| |||||||
Household Durables — 2.0% | ||||||||
Cavco Industries, Inc.* | 9,400 | 1,218,710 | ||||||
Ethan Allen Interiors, Inc.(a) | 28,239 | 912,120 |
SEE NOTES TO FINANCIAL STATEMENTS.
A162
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Household Durables (continued) | ||||||||
Installed Building Products, Inc.* | 22,300 | $ | 1,180,785 | |||||
iRobot Corp.*(a) | 30,500 | 2,566,270 | ||||||
La-Z-Boy, Inc. | 54,171 | 1,760,558 | ||||||
LGI Homes, Inc.*(a) | 19,180 | 770,652 | ||||||
M/I Homes, Inc.*(a) | 27,520 | 785,696 | ||||||
MDC Holdings, Inc. | 45,790 | 1,617,761 | ||||||
Meritage Homes Corp.* | 42,087 | 1,776,071 | ||||||
TopBuild Corp.* | 41,150 | 2,183,831 | ||||||
Universal Electronics, Inc.* | 16,144 | 1,079,226 | ||||||
William Lyon Homes | 26,250 | 633,675 | ||||||
|
| |||||||
16,485,355 | ||||||||
|
| |||||||
Household Products — 0.4% | ||||||||
Central Garden & Pet Co.*(a) | 11,250 | 357,637 | ||||||
Central Garden & Pet Co. (Class A Stock)* | 37,708 | 1,131,994 | ||||||
WD-40 Co.(a) | 15,659 | 1,727,971 | ||||||
|
| |||||||
3,217,602 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.2% | ||||||||
Raven Industries, Inc. | 40,080 | 1,334,664 | ||||||
|
| |||||||
Insurance — 3.1% | ||||||||
American Equity Investment Life Holding Co. | 98,540 | 2,589,631 | ||||||
AMERISAFE, Inc. | 21,414 | 1,219,527 | ||||||
eHealth, Inc.* | 18,591 | 349,511 | ||||||
Employers Holdings, Inc. | 35,915 | 1,519,205 | ||||||
HCI Group, Inc.(a) | 9,080 | 426,578 | ||||||
Horace Mann Educators Corp. | 45,020 | 1,701,756 | ||||||
Infinity Property & Casualty Corp. | 12,339 | 1,159,866 | ||||||
Maiden Holdings Ltd. | 81,300 | 902,430 | ||||||
Navigators Group, Inc. (The) | 24,936 | 1,368,986 | ||||||
ProAssurance Corp. | 59,336 | 3,607,629 | ||||||
RLI Corp.(a) | 42,470 | 2,319,711 | ||||||
Safety Insurance Group, Inc. | 15,960 | 1,090,068 | ||||||
Selective Insurance Group, Inc. | 64,737 | 3,240,087 | ||||||
Stewart Information Services Corp. | 26,252 | 1,191,316 | ||||||
United Fire Group, Inc. | 23,801 | 1,048,672 | ||||||
United Insurance Holdings Corp.(a) | 19,750 | 310,668 | ||||||
Universal Insurance Holdings, Inc.(a) | 36,140 | 910,728 | ||||||
|
| |||||||
24,956,369 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.6% |
| |||||||
FTD Cos., Inc.* | 19,076 | 381,520 | ||||||
Nutrisystem, Inc.(a) | 33,228 | 1,729,517 | ||||||
PetMed Express, Inc.(a) | 22,831 | 926,939 | ||||||
Shutterfly, Inc.* | 37,500 | 1,781,250 | ||||||
|
| |||||||
4,819,226 | ||||||||
|
| |||||||
Internet Software & Services — 1.1% | ||||||||
Blucora, Inc.* | 43,912 | 930,934 | ||||||
DHI Group, Inc.* | 55,470 | 158,090 | ||||||
Liquidity Services, Inc.* | 26,550 | 168,593 | ||||||
LivePerson, Inc.* | 59,700 | 656,700 | ||||||
NIC, Inc. | 68,900 | 1,305,655 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Internet Software & Services (continued) |
| |||||||
QuinStreet, Inc.* | 39,200 | $ | 163,464 | |||||
Shutterstock, Inc.*(a) | 21,100 | 930,088 | ||||||
SPS Commerce, Inc., Common Stock* | 19,100 | 1,217,816 | ||||||
Stamps.com, Inc.*(a) | 17,510 | 2,711,861 | ||||||
XO Group, Inc.* | 26,845 | 473,009 | ||||||
|
| |||||||
8,716,210 | ||||||||
|
| |||||||
IT Services — 1.7% | ||||||||
CACI International, Inc. (Class A Stock)* | 27,204 | 3,401,860 | ||||||
Cardtronics PLC (Class A Stock)* | 50,660 | 1,664,687 | ||||||
CSG Systems International, Inc. | 37,574 | 1,524,753 | ||||||
ExlService Holdings, Inc.* | 37,400 | 2,078,692 | ||||||
Forrester Research, Inc. | 10,782 | 422,115 | ||||||
ManTech International Corp. (Class A Stock) | 28,450 | 1,177,261 | ||||||
Perficient, Inc.* | 39,114 | 729,085 | ||||||
Sykes Enterprises, Inc.* | 43,460 | 1,457,214 | ||||||
TeleTech Holdings, Inc. | 17,197 | 701,638 | ||||||
Virtusa Corp.*(a) | 30,700 | 902,580 | ||||||
|
| |||||||
14,059,885 | ||||||||
|
| |||||||
Leisure Products — 0.6% | ||||||||
Callaway Golf Co. | 104,240 | 1,332,187 | ||||||
Nautilus, Inc.* | 33,900 | 649,185 | ||||||
Sturm Ruger & Co., Inc.(a) | 19,617 | 1,219,197 | ||||||
Vista Outdoor, Inc.* | 63,300 | 1,424,883 | ||||||
|
| |||||||
4,625,452 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.4% |
| |||||||
Albany Molecular Research, Inc.* | 24,650 | 534,905 | ||||||
Cambrex Corp.* | 36,182 | 2,161,875 | ||||||
Luminex Corp. | 44,420 | 938,150 | ||||||
|
| |||||||
3,634,930 | ||||||||
|
| |||||||
Machinery — 5.3% | ||||||||
Actuant Corp. (Class A Stock)(a) | 66,184 | 1,628,126 | ||||||
Alamo Group, Inc. | 10,560 | 958,954 | ||||||
Albany International Corp. (Class A Stock) | 32,114 | 1,714,888 | ||||||
Astec Industries, Inc. | 21,290 | 1,181,808 | ||||||
Barnes Group, Inc. | 55,516 | 3,249,351 | ||||||
Briggs & Stratton Corp. | 47,426 | 1,142,967 | ||||||
Chart Industries, Inc.* | 34,100 | 1,184,293 | ||||||
CIRCOR International, Inc. | 18,328 | 1,088,317 | ||||||
EnPro Industries, Inc. | 23,758 | 1,695,608 | ||||||
ESCO Technologies, Inc. | 28,681 | 1,710,822 | ||||||
Federal Signal Corp. | 66,300 | 1,150,968 | ||||||
Franklin Electric Co., Inc. | 42,780 | 1,771,092 | ||||||
Greenbrier Cos., Inc. (The)(a) | 31,530 | 1,458,262 | ||||||
Harsco Corp.* | 89,050 | 1,433,705 | ||||||
Hillenbrand, Inc. | 69,918 | 2,524,040 | ||||||
John Bean Technologies Corp. | 35,197 | 3,449,306 | ||||||
Lindsay Corp.(a) | 11,879 | 1,060,201 | ||||||
Lydall, Inc.* | 19,156 | 990,365 | ||||||
Mueller Industries, Inc. | 64,018 | 1,949,348 | ||||||
Proto Labs, Inc.*(a) | 27,150 | 1,825,837 | ||||||
SPX Corp.* | 47,070 | 1,184,281 |
SEE NOTES TO FINANCIAL STATEMENTS.
A163
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Machinery (continued) | ||||||||
SPX FLOW, Inc.* | 47,020 | $ | 1,734,098 | |||||
Standex International Corp. | 14,190 | 1,287,033 | ||||||
Tennant Co. | 19,850 | 1,464,930 | ||||||
Titan International, Inc.(a) | 53,600 | 643,736 | ||||||
Wabash National Corp.(a) | 66,840 | 1,469,143 | ||||||
Watts Water Technologies, Inc. (Class A Stock) | 31,011 | 1,959,895 | ||||||
|
| |||||||
42,911,374 | ||||||||
|
| |||||||
Marine — 0.2% | ||||||||
Matson, Inc. | 47,950 | 1,440,418 | ||||||
|
| |||||||
Media — 0.8% | ||||||||
EW Scripps Co. (The) (Class A | 62,561 | 1,114,211 | ||||||
Gannett Co., Inc. | 126,040 | 1,099,069 | ||||||
New Media Investment Group, Inc. | 59,120 | 796,938 | ||||||
Scholastic Corp. | 30,270 | 1,319,469 | ||||||
Time, Inc. | 110,350 | 1,583,523 | ||||||
World Wrestling Entertainment, Inc.(a) | 42,600 | 867,762 | ||||||
|
| |||||||
6,780,972 | ||||||||
|
| |||||||
Metals & Mining — 1.0% | ||||||||
AK Steel Holding Corp.*(a) | 349,240 | 2,294,507 | ||||||
Century Aluminum Co.*(a) | 55,113 | 858,661 | ||||||
Haynes International, Inc. | 13,860 | 503,257 | ||||||
Kaiser Aluminum Corp. | 19,060 | 1,687,191 | ||||||
Materion Corp. | 22,228 | 831,327 | ||||||
Olympic Steel, Inc. | 9,938 | 193,592 | ||||||
SunCoke Energy, Inc.* | 71,400 | 778,260 | ||||||
TimkenSteel Corp.*(a) | 43,360 | 666,443 | ||||||
|
| |||||||
7,813,238 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.4% |
| |||||||
Apollo Commercial Real Estate Finance, Inc.(a) | 104,650 | 1,941,257 | ||||||
Capstead Mortgage Corp.(a) | 106,560 | 1,111,421 | ||||||
|
| |||||||
3,052,678 | ||||||||
|
| |||||||
Multi-Utilities — 0.4% | ||||||||
Avista Corp. | 71,533 | 3,037,291 | ||||||
|
| |||||||
Multiline Retail — 0.5% | ||||||||
Fred’s, Inc. (Class A Stock)(a) | 39,716 | 366,579 | ||||||
J.C. Penney Co., Inc.*(a) | 344,000 | 1,599,600 | ||||||
Ollie’s Bargain Outlet Holdings, | 53,650 | 2,285,490 | ||||||
|
| |||||||
4,251,669 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.1% |
| |||||||
Bill Barrett Corp.* | 83,330 | 255,823 | ||||||
Carrizo Oil & Gas, Inc.*(a) | 84,070 | 1,464,499 | ||||||
Cloud Peak Energy, Inc.* | 82,350 | 290,696 | ||||||
Contango Oil & Gas Co.* | 25,550 | 169,652 | ||||||
Denbury Resources, Inc.*(a) | 440,550 | 674,042 | ||||||
Green Plains, Inc.(a) | 41,200 | 846,660 | ||||||
Northern Oil & Gas, Inc.*(a) | 45,650 | 63,910 | ||||||
PDC Energy, Inc.*(a) | 62,156 | 2,679,545 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
REX American Resources Corp.*(a) | 6,270 | $ | 605,431 | |||||
SRC Energy, Inc.*(a) | 222,720 | 1,498,906 | ||||||
|
| |||||||
8,549,164 | ||||||||
|
| |||||||
Paper & Forest Products — 1.1% | ||||||||
Boise Cascade Co.* | 42,740 | 1,299,296 | ||||||
Clearwater Paper Corp.* | 18,250 | 853,188 | ||||||
Deltic Timber Corp.(a) | 11,811 | 881,809 | ||||||
KapStone Paper & Packaging Corp. | 97,830 | 2,018,233 | ||||||
Neenah Paper, Inc. | 18,688 | 1,499,712 | ||||||
P.H. Glatfelter Co. | 48,210 | 942,023 | ||||||
Schweitzer-Mauduit International, Inc. | 34,096 | 1,269,394 | ||||||
|
| |||||||
8,763,655 | ||||||||
|
| |||||||
Personal Products — 0.1% | ||||||||
Inter Parfums, Inc. | 19,050 | 698,183 | ||||||
Medifast, Inc. | 12,400 | 514,228 | ||||||
|
| |||||||
1,212,411 | ||||||||
|
| |||||||
Pharmaceuticals — 2.0% | ||||||||
Amphastar Pharmaceuticals, Inc.* | 39,700 | 709,042 | ||||||
ANI Pharmaceuticals, Inc.*(a) | 8,920 | 417,456 | ||||||
Depomed, Inc.*(a) | 69,170 | 742,886 | ||||||
Heska Corp.* | 7,100 | 724,697 | ||||||
Impax Laboratories, Inc.*(a) | 81,870 | 1,318,107 | ||||||
Innoviva, Inc.*(a) | 86,050 | 1,101,440 | ||||||
Lannett Co., Inc.*(a) | 32,700 | 667,080 | ||||||
Medicines Co. (The)*(a) | 80,140 | 3,046,121 | ||||||
Nektar Therapeutics* | 172,130 | 3,365,141 | ||||||
Phibro Animal Health Corp. (Class A Stock) | 20,850 | 772,493 | ||||||
SciClone Pharmaceuticals, Inc.* | 57,440 | 631,840 | ||||||
Sucampo Pharmaceuticals, Inc. (Class A Stock)*(a) | 27,850 | 292,425 | ||||||
Supernus Pharmaceuticals, Inc.* | 55,860 | 2,407,566 | ||||||
|
| |||||||
16,196,294 | ||||||||
|
| |||||||
Professional Services — 1.9% | ||||||||
CDI Corp.* | 14,988 | 87,680 | ||||||
Exponent, Inc. | 28,740 | 1,675,542 | ||||||
Heidrick & Struggles International, Inc. | 20,664 | 449,442 | ||||||
Insperity, Inc. | 20,829 | 1,478,859 | ||||||
Kelly Services, Inc. (Class A Stock) | 32,489 | 729,378 | ||||||
Korn/Ferry International | 63,820 | 2,203,705 | ||||||
Navigant Consulting, Inc.* | 52,350 | 1,034,436 | ||||||
On Assignment, Inc.* | 53,996 | 2,923,883 | ||||||
Resources Connection, Inc. | 32,700 | 447,990 | ||||||
TrueBlue, Inc.* | 47,178 | 1,250,217 | ||||||
WageWorks, Inc.* | 43,910 | 2,950,752 | ||||||
|
| |||||||
15,231,884 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.4% |
| |||||||
Forestar Group, Inc.* | 36,556 | 626,935 | ||||||
HFF, Inc. (Class A Stock) | 39,350 | 1,368,199 | ||||||
RE/MAX Holdings, Inc. | 19,650 | 1,101,383 | ||||||
|
| |||||||
3,096,517 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A164
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Road & Rail — 0.8% | ||||||||
ArcBest Corp. | 26,695 | $ | 549,917 | |||||
Heartland Express, Inc.(a) | 48,148 | 1,002,441 | ||||||
Knight Transportation, Inc.(a) | 74,148 | 2,747,183 | ||||||
Marten Transport Ltd. | 25,800 | 706,920 | ||||||
Roadrunner Transportation Systems, Inc.* | 33,250 | 241,728 | ||||||
Saia, Inc.* | 28,250 | 1,449,225 | ||||||
|
| |||||||
6,697,414 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.5% |
| |||||||
Advanced Energy Industries, Inc.* | 44,207 | 2,859,751 | ||||||
Brooks Automation, Inc. | 77,335 | 1,677,396 | ||||||
Cabot Microelectronics Corp. | 28,091 | 2,073,959 | ||||||
CEVA, Inc.* | 23,850 | 1,083,982 | ||||||
Cohu, Inc. | 28,197 | 443,821 | ||||||
Diodes, Inc.* | 42,320 | 1,016,950 | ||||||
DSP Group, Inc.* | 24,628 | 285,685 | ||||||
Kopin Corp.* | 66,506 | 246,737 | ||||||
Kulicke & Soffa Industries, Inc. (Singapore)* | 78,882 | 1,500,336 | ||||||
MaxLinear, Inc.* | 58,100 | 1,620,409 | ||||||
MKS Instruments, Inc.(a) | 60,155 | 4,048,431 | ||||||
Nanometrics, Inc.*(a) | 28,050 | 709,384 | ||||||
Power Integrations, Inc. | 32,980 | 2,404,242 | ||||||
Rambus, Inc.* | 124,100 | 1,418,463 | ||||||
Rudolph Technologies, Inc.* | 34,774 | 794,586 | ||||||
Semtech Corp.* | 73,070 | 2,612,252 | ||||||
Veeco Instruments, Inc.* | 53,313 | 1,484,767 | ||||||
Xperi Corp. | 54,867 | 1,635,037 | ||||||
|
| |||||||
27,916,188 | ||||||||
|
| |||||||
Software — 1.9% | ||||||||
8x8, Inc.* | 101,550 | 1,477,553 | ||||||
Agilysys, Inc.* | 16,532 | 167,304 | ||||||
Bottomline Technologies (de), Inc.* | 40,060 | 1,029,141 | ||||||
Ebix, Inc.(a) | 24,147 | 1,301,523 | ||||||
Gigamon, Inc.* | 34,700 | 1,365,445 | ||||||
MicroStrategy, Inc. (Class A Stock)* | 10,520 | 2,016,368 | ||||||
Monotype Imaging Holdings, Inc. | 46,400 | 849,120 | ||||||
Progress Software Corp. | 53,547 | 1,654,067 | ||||||
Qualys, Inc.* | 33,310 | 1,359,048 | ||||||
Synchronoss Technologies, Inc.*(a) | 47,870 | 787,462 | ||||||
TiVo Corp. | 134,550 | 2,509,357 | ||||||
VASCO Data Security International, Inc.* | 33,300 | 477,855 | ||||||
|
| |||||||
14,994,243 | ||||||||
|
| |||||||
Specialty Retail — 3.8% | ||||||||
Abercrombie & Fitch Co. (Class A Stock)(a) | 75,500 | 939,220 | ||||||
Asbury Automotive Group, Inc.* | 20,940 | 1,184,157 | ||||||
Ascena Retail Group, Inc.*(a) | 187,150 | 402,373 | ||||||
Barnes & Noble Education, Inc.* | 42,376 | 450,457 | ||||||
Barnes & Noble, Inc. | 60,960 | 463,296 | ||||||
Big 5 Sporting Goods Corp.(a) | 19,637 | 256,263 | ||||||
Buckle, Inc. (The)(a) | 31,259 | 556,410 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Specialty Retail (continued) | ||||||||
Caleres, Inc. | 47,854 | $ | 1,329,384 | |||||
Cato Corp. (The) (Class A Stock)(a) | 26,653 | 468,826 | ||||||
Children’s Place, Inc. (The)(a) | 19,695 | 2,010,859 | ||||||
DSW, Inc. (Class A Stock) | 74,850 | 1,324,845 | ||||||
Express, Inc.* | 86,830 | 586,103 | ||||||
Finish Line, Inc. (The) (Class A Stock)(a) | 44,776 | 634,476 | ||||||
Five Below, Inc.*(a) | 61,230 | 3,022,925 | ||||||
Francesca’s Holdings Corp.* | 40,400 | 441,976 | ||||||
Genesco, Inc.* | 21,832 | 740,105 | ||||||
Group 1 Automotive, Inc. | 22,214 | 1,406,590 | ||||||
Guess?, Inc.(a) | 67,310 | 860,222 | ||||||
Haverty Furniture Cos., Inc.(a) | 21,361 | 536,161 | ||||||
Hibbett Sports, Inc.*(a) | 22,896 | 475,092 | ||||||
Kirkland’s, Inc.* | 15,850 | 162,938 | ||||||
Lithia Motors, Inc. (Class A Stock)(a) | 26,490 | 2,496,153 | ||||||
Lumber Liquidators Holdings, Inc.*(a) | 31,422 | 787,435 | ||||||
MarineMax, Inc.* | 26,942 | 526,716 | ||||||
Monro Muffler Brake, Inc.(a) | 36,342 | 1,517,278 | ||||||
Rent-A-Center, Inc.(a) | 58,750 | 688,550 | ||||||
RH*(a) | 34,550 | 2,229,166 | ||||||
Select Comfort Corp.*(a) | 46,350 | 1,644,961 | ||||||
Shoe Carnival, Inc. | 13,660 | 285,221 | ||||||
Sonic Automotive, Inc. (Class A Stock) | 29,097 | 565,937 | ||||||
Stein Mart, Inc.(a) | 31,283 | 52,868 | ||||||
Tailored Brands, Inc.(a) | 54,487 | 608,075 | ||||||
Tile Shop Holdings, Inc.(a) | 36,600 | 755,790 | ||||||
Vitamin Shoppe, Inc.*(a) | 26,050 | 303,483 | ||||||
Zumiez, Inc.*(a) | 19,550 | 241,443 | ||||||
|
| |||||||
30,955,754 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.5% |
| |||||||
Cray, Inc.* | 44,630 | 821,192 | ||||||
Electronics For Imaging, Inc.* | 51,620 | 2,445,756 | ||||||
Super Micro Computer, Inc.* | 42,130 | 1,038,504 | ||||||
|
| |||||||
4,305,452 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.3% |
| |||||||
Crocs, Inc.* | 82,193 | 633,708 | ||||||
Fossil Group, Inc.*(a) | 46,450 | 480,758 | ||||||
G-III Apparel Group Ltd.*(a) | 48,550 | 1,211,322 | ||||||
Iconix Brand Group, Inc.*(a) | 63,131 | 436,235 | ||||||
Movado Group, Inc.(a) | 17,067 | 430,942 | ||||||
Oxford Industries, Inc. | 16,666 | 1,041,458 | ||||||
Perry Ellis International, Inc.* | 13,449 | 261,718 | ||||||
Steven Madden Ltd.* | 59,470 | 2,375,826 | ||||||
Unifi, Inc.* | 16,980 | 522,984 | ||||||
Vera Bradley, Inc.*(a) | 20,950 | 204,891 | ||||||
Wolverine World Wide, Inc. | 107,574 | 3,013,148 | ||||||
|
| |||||||
10,612,990 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.8% | ||||||||
Astoria Financial Corp. | 101,550 | 2,046,232 | ||||||
Bank Mutual Corp. | 46,935 | 429,455 | ||||||
BofI Holding, Inc.*(a) | 64,090 | 1,520,215 |
SEE NOTES TO FINANCIAL STATEMENTS.
A165
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Thrifts & Mortgage Finance (continued) |
| |||||||
Dime Community Bancshares, Inc. | 34,671 | $ | 679,552 | |||||
HomeStreet, Inc.* | 30,150 | 834,401 | ||||||
LendingTree, Inc.*(a) | 8,100 | 1,394,820 | ||||||
Northfield Bancorp, Inc. | 50,450 | 865,217 | ||||||
Northwest Bancshares, Inc.(a) | 113,010 | 1,764,086 | ||||||
Oritani Financial Corp.(a) | 42,550 | 725,478 | ||||||
Provident Financial Services, Inc. | 67,310 | 1,708,328 | ||||||
TrustCo Bank Corp. NY | 106,495 | 825,336 | ||||||
Walker & Dunlop, Inc.* | 31,220 | 1,524,473 | ||||||
|
| |||||||
14,317,593 | ||||||||
|
| |||||||
Tobacco — 0.2% | ||||||||
Universal Corp. | 28,100 | 1,818,070 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.6% |
| |||||||
Applied Industrial Technologies, Inc. | 43,408 | 2,563,242 | ||||||
DXP Enterprises, Inc.* | 17,200 | 593,400 | ||||||
Kaman Corp. | 30,202 | 1,506,174 | ||||||
Veritiv Corp.* | 12,530 | 563,850 | ||||||
|
| |||||||
5,226,666 | ||||||||
|
| |||||||
Water Utilities — 0.5% | ||||||||
American States Water Co. | 40,632 | 1,926,363 | ||||||
California Water Service Group | 53,260 | 1,959,968 | ||||||
|
| |||||||
3,886,331 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.0% |
| |||||||
Spok Holdings, Inc. | 22,630 | 400,551 | ||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 797,341,231 | ||||||
|
|
EXCHANGE TRADED | Shares | Value | ||||||
iShares Core S&P Small-Cap ETF | 42,500 | $ | 2,979,675 | |||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 800,320,906 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 24.9% | ||||||||
AFFILIATED MUTUAL FUNDS — 24.8% |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w) | 3,590,114 | 3,590,114 | ||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund | 197,083,017 | 197,102,725 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 200,692,839 | ||||||
|
| |||||||
Principal Amount (000)# | ||||||||
U.S. TREASURY OBLIGATION — 0.1% | ||||||||
U.S. Treasury Bill, | 500 | 498,919 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 201,191,758 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 124.1% |
| 1,001,512,664 | ||||||
LIABILITIES IN EXCESS OF OTHER |
| (194,456,572 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 807,056,092 | |||||
|
|
See the Glossary for abbreviations used in the semiannual report.
* | 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 $191,734,562; cash collateral of $196,904,868 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Rate quoted represents yield to maturity as of purchase date. |
(k) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2017:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2017 | Unrealized Appreciation (Depreciation) | |||||||||||||||
Long Position: | ||||||||||||||||||||
101 | Russell 2000 Mini Index | Sep. 2017 | $ | 7,171,322 | $ | 7,142,215 | $ | (29,107 | ) | |||||||||||
|
|
A security with a market value of $498,919 has been segregated with UBS AG to cover requirements for open futures contracts at June 30, 2017.
SEE NOTES TO FINANCIAL STATEMENTS.
A166
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Fair value measurements:
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— | unadjusted 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, 2017 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 14,316,861 | $ | — | $ | — | ||||||
Air Freight & Logistics | 5,283,158 | — | — | |||||||||
Airlines | 6,804,259 | — | — | |||||||||
Auto Components | 14,286,769 | — | — | |||||||||
Automobiles | 1,033,585 | — | — | |||||||||
Banks | 62,806,967 | — | — | |||||||||
Beverages | 1,190,124 | — | — | |||||||||
Biotechnology | 15,189,306 | — | — | |||||||||
Building Products | 16,545,705 | — | — | |||||||||
Capital Markets | 16,022,637 | — | — | |||||||||
Chemicals | 23,368,571 | — | — | |||||||||
Commercial Services & Supplies | 28,559,768 | — | — | |||||||||
Communications Equipment | 13,574,217 | — | — | |||||||||
Construction & Engineering | 3,138,773 | — | — | |||||||||
Construction Materials | 1,303,930 | — | — | |||||||||
Consumer Finance | 9,317,808 | — | — | |||||||||
Containers & Packaging | 437,442 | — | — | |||||||||
Distributors | 1,702,259 | — | — | |||||||||
Diversified Consumer Services | 3,705,466 | — | — | |||||||||
Diversified Telecommunication Services | 7,327,518 | — | — | |||||||||
Electric Utilities | 6,384,456 | — | — | |||||||||
Electrical Equipment | 4,120,953 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 31,734,126 | — | — | |||||||||
Energy Equipment & Services | 13,973,383 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 51,482,643 | — | — | |||||||||
Food & Staples Retailing | 3,065,649 | — | — | |||||||||
Food Products | 13,611,725 | — | — | |||||||||
Gas Utilities | 8,663,774 | — | — | |||||||||
Health Care Equipment & Supplies | 33,343,900 | — | — | |||||||||
Health Care Providers & Services | 27,236,906 | — | — | |||||||||
Health Care Technology | 5,522,790 | — | — | |||||||||
Hotels, Restaurants & Leisure | 26,967,293 | — | — | |||||||||
Household Durables | 16,485,355 | — | — | |||||||||
Household Products | 3,217,602 | — | — | |||||||||
Industrial Conglomerates | 1,334,664 | — | — | |||||||||
Insurance | 24,956,369 | — | — | |||||||||
Internet & Direct Marketing Retail | 4,819,226 | — | — | |||||||||
Internet Software & Services | 8,716,210 | — | — | |||||||||
IT Services | 14,059,885 | — | — | |||||||||
Leisure Products | 4,625,452 | — | — | |||||||||
Life Sciences Tools & Services | 3,634,930 | — | — | |||||||||
Machinery | 42,911,374 | — | — | |||||||||
Marine | 1,440,418 | — | — | |||||||||
Media | 6,780,972 | — | — | |||||||||
Metals & Mining | 7,813,238 | — | — | |||||||||
Mortgage Real Estate Investment Trusts (REITs) | 3,052,678 | — | — | |||||||||
Multi-Utilities | 3,037,291 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A167
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Multiline Retail | $ | 4,251,669 | $ | — | $ | — | ||||||
Oil, Gas & Consumable Fuels | 8,549,164 | — | — | |||||||||
Paper & Forest Products | 8,763,655 | — | — | |||||||||
Personal Products | 1,212,411 | — | — | |||||||||
Pharmaceuticals | 16,196,294 | — | — | |||||||||
Professional Services | 15,231,884 | — | — | |||||||||
Real Estate Management & Development | 3,096,517 | — | — | |||||||||
Road & Rail | 6,697,414 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 27,916,188 | — | — | |||||||||
Software | 14,994,243 | — | — | |||||||||
Specialty Retail | 30,955,754 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 4,305,452 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 10,612,990 | — | — | |||||||||
Thrifts & Mortgage Finance | 14,317,593 | — | — | |||||||||
Tobacco | 1,818,070 | — | — | |||||||||
Trading Companies & Distributors | 5,226,666 | — | — | |||||||||
Water Utilities | 3,886,331 | — | — | |||||||||
Wireless Telecommunication Services | 400,551 | — | — | |||||||||
Exchange Traded Fund | 2,979,675 | — | — | |||||||||
Affiliated Mutual Funds | 200,692,839 | — | — | |||||||||
U.S. Treasury Obligation | — | 498,919 | — | |||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | (29,107 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,000,984,638 | $ | 498,919 | $ | — | ||||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.
Industry classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:
Affiliated Mutual Funds (including 24.4% of collateral for securities on loan) | 24.8 | % | ||
Banks | 7.8 | |||
Equity Real Estate Investment Trusts (REITs) | 6.4 | |||
Machinery | 5.3 | |||
Health Care Equipment & Supplies | 4.1 | |||
Electronic Equipment, Instruments & Components | 3.9 | |||
Specialty Retail | 3.8 | |||
Commercial Services & Supplies | 3.5 | |||
Semiconductors & Semiconductor Equipment | 3.5 | |||
Health Care Providers & Services | 3.4 | |||
Hotels, Restaurants & Leisure | 3.3 | |||
Insurance | 3.1 | |||
Chemicals | 2.9 | |||
Building Products | 2.0 | |||
Household Durables | 2.0 | |||
Pharmaceuticals | 2.0 | |||
Capital Markets | 2.0 | |||
Professional Services | 1.9 | |||
Biotechnology | 1.9 | |||
Software | 1.9 | |||
Thrifts & Mortgage Finance | 1.8 |
Aerospace & Defense | 1.8 | % | ||
Auto Components | 1.8 | |||
IT Services | 1.7 | |||
Energy Equipment & Services | 1.7 | |||
Food Products | 1.7 | |||
Communications Equipment | 1.7 | |||
Textiles, Apparel & Luxury Goods | 1.3 | |||
Consumer Finance | 1.2 | |||
Paper & Forest Products | 1.1 | |||
Internet Software & Services | 1.1 | |||
Gas Utilities | 1.1 | |||
Oil, Gas & Consumable Fuels | 1.1 | |||
Metals & Mining | 1.0 | |||
Diversified Telecommunication Services | 0.9 | |||
Airlines | 0.8 | |||
Media | 0.8 | |||
Road & Rail | 0.8 | |||
Electric Utilities | 0.8 | |||
Health Care Technology | 0.7 | |||
Air Freight & Logistics | 0.7 | |||
Trading Companies & Distributors | 0.6 | |||
Internet & Direct Marketing Retail | 0.6 |
SEE NOTES TO FINANCIAL STATEMENTS.
A168
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Industry classification (cont.) | ||||
Leisure Products | 0.6 | % | ||
Technology Hardware, Storage & Peripherals | 0.5 | |||
Multiline Retail | 0.5 | |||
Electrical Equipment | 0.5 | |||
Water Utilities | 0.5 | |||
Diversified Consumer Services | 0.5 | |||
Life Sciences Tools & Services | 0.4 | |||
Household Products | 0.4 | |||
Construction & Engineering | 0.4 | |||
Real Estate Management & Development | 0.4 | |||
Food & Staples Retailing | 0.4 | |||
Mortgage Real Estate Investment Trusts (REITs) | 0.4 | |||
Multi-Utilities | 0.4 | |||
Exchange Traded Fund | 0.4 | |||
Tobacco | 0.2 | |||
Distributors | 0.2 |
Marine | 0.2 | % | ||
Industrial Conglomerates | 0.2 | |||
Construction Materials | 0.2 | |||
Personal Products | 0.1 | |||
Beverages | 0.1 | |||
Automobiles | 0.1 | |||
U.S. Treasury Obligation | 0.1 | |||
Containers & Packaging | 0.1 | |||
Wireless Telecommunication Services | 0.0 | * | ||
|
| |||
124.1 | ||||
Liabilities in excess of other assets | (24.1 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of derivative instruments on the financial statements and primary underlying risk exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts 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, 2017 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 | $ | 29,107 | * | |||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2017 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging | Futures | |||
Equity contracts | $ | 134,253 | ||
|
|
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging | Futures | |||
Equity contracts | $ | 98,015 | ||
|
|
For the six months ended June 30, 2017, the Portfolio’s average at trade date for futures long positions was $7,636,631.
SEE NOTES TO FINANCIAL STATEMENTS.
A169
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Financial instruments/transactions — summary of offsetting and netting arrangements:
The Portfolio entered into financial instruments/transactions 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 financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received(2) | Net Amount | |||||||||
Securities on Loan | 191,734,562 | $ | (191,734,562 | ) | $ | — |
(1) | Amount represents market value. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A170
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2017
ASSETS | ||||
Investments at value, including securities on loan of $191,734,562: | ||||
Unaffiliated investments (cost $522,429,069) | $ | 800,819,825 | ||
Affiliated investments (cost $200,684,262) | 200,692,839 | |||
Receivable for investments sold | 5,557,720 | |||
Dividends and interest receivable | 830,465 | |||
Receivable for Series shares sold | 5,634 | |||
Tax reclaim receivable | 1,312 | |||
Prepaid expenses | 790 | |||
|
| |||
Total Assets | 1,007,908,585 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 196,904,868 | |||
Payable for investments purchased | 2,954,672 | |||
Payable for Series shares repurchased | 422,219 | |||
Accrued expenses and other liabilities | 274,288 | |||
Management fee payable | 232,187 | |||
Payable to custodian | 44,594 | |||
Due to broker—variation margin futures | 18,685 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 200,852,493 | |||
|
| |||
NET ASSETS | $ | 807,056,092 | ||
|
| |||
Net assets were comprised of: | ||||
Paid-in capital | $ | 202,327,072 | ||
Retained earnings | 604,729,020 | |||
|
| |||
Net assets, June 30, 2017 | $ | 807,056,092 | ||
|
| |||
Net asset value and redemption price per share $807,056,092 / 23,056,815 outstanding shares of beneficial interest | $ | 35.00 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2017
NET INVESTMENT INCOME (LOSS) | ||||
Income | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $373) | $ | 5,475,519 | ||
Income from securities lending, net (including affiliated income of $240,798) | 376,448 | |||
Affiliated dividend income | 21,447 | |||
Interest income | 2,730 | |||
|
| |||
Total income | 5,876,144 | |||
|
| |||
EXPENSES | ||||
Management fee | 1,396,870 | |||
Custodian and accounting fees | 60,000 | |||
Shareholders’ reports | 51,000 | |||
Audit fee | 12,000 | |||
Trustees’ fees | 8,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Legal fees and expenses | 6,000 | |||
Miscellaneous | 28,883 | |||
|
| |||
Total expenses | 1,568,753 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 4,307,391 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of ($2,053)) | 41,263,520 | |||
Futures transactions | 134,253 | |||
|
| |||
41,397,773 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of ($18,416)) | (24,408,370 | ) | ||
Futures | 98,015 | |||
|
| |||
(24,310,355 | ) | |||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 17,087,418 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 21,394,809 | ||
|
|
STATEMENT OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 4,307,391 | $ | 8,556,265 | ||||
Net realized gain (loss) on investment transactions | 41,397,773 | 60,305,488 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (24,310,355 | ) | 101,375,795 | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 21,394,809 | 170,237,548 | ||||||
|
|
|
| |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [195,246 and 444,470 shares, respectively] | 6,684,533 | 13,320,488 | ||||||
Series shares repurchased [929,093 and 1,986,636 shares, respectively] | (31,887,455 | ) | (56,773,159 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (25,202,922 | ) | (43,452,671 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 1,643,627 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | (3,808,113 | ) | 128,428,504 | |||||
NET ASSETS: | ||||||||
Beginning of period | 810,864,205 | 682,435,701 | ||||||
|
|
|
| |||||
End of period | $ | 807,056,092 | $ | 810,864,205 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A171
STOCK INDEX PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
LONG-TERM INVESTMENTS — 97.9% | Value | |||||||
COMMON STOCKS — 97.8% | Shares | |||||||
Aerospace & Defense — 2.3% | ||||||||
Arconic, Inc. | 74,992 | $ | 1,698,569 | |||||
Boeing Co. (The) | 96,936 | 19,169,094 | ||||||
General Dynamics Corp. | 48,500 | 9,607,850 | ||||||
L3 Technologies, Inc. | 13,300 | 2,222,164 | ||||||
Lockheed Martin Corp. | 42,398 | 11,770,109 | ||||||
Northrop Grumman Corp. | 29,926 | 7,682,303 | ||||||
Raytheon Co. | 50,018 | 8,076,907 | ||||||
Rockwell Collins, Inc. | 26,800 | 2,816,144 | ||||||
Textron, Inc. | 46,500 | 2,190,150 | ||||||
TransDigm Group, Inc.(a) | 8,500 | 2,285,395 | ||||||
United Technologies Corp. | 127,500 | 15,569,025 | ||||||
|
| |||||||
83,087,710 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.7% | ||||||||
C.H. Robinson Worldwide, Inc.(a) | 24,100 | 1,655,188 | ||||||
Expeditors International of Washington, Inc. | 31,200 | 1,762,176 | ||||||
FedEx Corp. | 41,740 | 9,071,354 | ||||||
United Parcel Service, Inc. (Class B Stock) | 117,400 | 12,983,266 | ||||||
|
| |||||||
25,471,984 | ||||||||
|
| |||||||
Airlines — 0.6% | ||||||||
Alaska Air Group, Inc. | 21,200 | 1,902,912 | ||||||
American Airlines Group, Inc.(a) | 85,800 | 4,317,456 | ||||||
Delta Air Lines, Inc. | 124,700 | 6,701,378 | ||||||
Southwest Airlines Co. | 104,837 | 6,514,571 | ||||||
United Continental Holdings, Inc.* | 48,900 | 3,679,725 | ||||||
|
| |||||||
23,116,042 | ||||||||
|
| |||||||
Auto Components — 0.2% | ||||||||
BorgWarner, Inc. | 34,400 | 1,457,184 | ||||||
Delphi Automotive PLC | 46,200 | 4,049,430 | ||||||
Goodyear Tire & Rubber Co. (The) | 42,900 | 1,499,784 | ||||||
|
| |||||||
7,006,398 | ||||||||
|
| |||||||
Automobiles — 0.5% | ||||||||
Ford Motor Co. | 662,559 | 7,414,035 | ||||||
General Motors Co. | 231,500 | 8,086,295 | ||||||
Harley-Davidson, Inc.(a) | 29,900 | 1,615,198 | ||||||
|
| |||||||
17,115,528 | ||||||||
|
| |||||||
Banks — 6.4% | ||||||||
Bank of America Corp. | 1,703,082 | 41,316,769 | ||||||
BB&T Corp. | 137,900 | 6,262,039 | ||||||
Citigroup, Inc. | 470,922 | 31,495,263 | ||||||
Citizens Financial Group, Inc. | 87,200 | 3,111,296 | ||||||
Comerica, Inc. | 29,950 | 2,193,538 | ||||||
Fifth Third Bancorp | 128,249 | 3,329,344 | ||||||
Huntington Bancshares, Inc. | 183,075 | 2,475,174 | ||||||
JPMorgan Chase & Co. | 606,745 | 55,456,493 | ||||||
KeyCorp | 182,400 | 3,418,176 | ||||||
M&T Bank Corp. | 26,400 | 4,275,480 | ||||||
People’s United Financial, Inc. | 54,800 | 967,768 | ||||||
PNC Financial Services Group, Inc. (The) | 82,493 | 10,300,901 | ||||||
Regions Financial Corp. | 204,112 | 2,988,200 | ||||||
SunTrust Banks, Inc. | 83,900 | 4,758,808 | ||||||
U.S. Bancorp | 270,581 | 14,048,566 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Banks (continued) | ||||||||
Wells Fargo & Co. | 765,136 | $ | 42,396,186 | |||||
Zions Bancorporation | 35,000 | 1,536,850 | ||||||
|
| |||||||
230,330,851 | ||||||||
|
| |||||||
Beverages — 2.0% | ||||||||
Brown-Forman Corp. (Class B Stock)(a) | 30,000 | 1,458,000 | ||||||
Coca-Cola Co. (The) | 655,750 | 29,410,388 | ||||||
Constellation Brands, Inc. (Class A Stock) | 29,400 | 5,695,662 | ||||||
Dr. Pepper Snapple Group, Inc. | 31,400 | 2,860,854 | ||||||
Molson Coors Brewing Co. (Class B Stock) | 31,500 | 2,719,710 | ||||||
Monster Beverage Corp.* | 68,900 | 3,422,952 | ||||||
PepsiCo, Inc. | 242,364 | 27,990,618 | ||||||
|
| |||||||
73,558,184 | ||||||||
|
| |||||||
Biotechnology — 2.9% | ||||||||
AbbVie, Inc. | 271,700 | 19,700,967 | ||||||
Alexion Pharmaceuticals, Inc.* | 38,300 | 4,659,961 | ||||||
Amgen, Inc. | 125,194 | 21,562,163 | ||||||
Biogen, Inc.* | 36,775 | 9,979,264 | ||||||
Celgene Corp.* | 132,600 | 17,220,762 | ||||||
Gilead Sciences, Inc. | 222,800 | 15,769,784 | ||||||
Incyte Corp.* | 28,800 | 3,626,208 | ||||||
Regeneron Pharmaceuticals, Inc.* | 12,930 | 6,350,440 | ||||||
Vertex Pharmaceuticals, Inc.* | 42,500 | 5,476,975 | ||||||
|
| |||||||
104,346,524 | ||||||||
|
| |||||||
Building Products — 0.3% | ||||||||
Allegion PLC | 16,533 | 1,341,157 | ||||||
Fortune Brands Home & Security, Inc. | 26,100 | 1,702,764 | ||||||
Johnson Controls International PLC | 159,615 | 6,920,906 | ||||||
Masco Corp. | 55,000 | 2,101,550 | ||||||
|
| |||||||
12,066,377 | ||||||||
|
| |||||||
Capital Markets — 2.9% | ||||||||
Affiliated Managers Group, Inc. | 9,700 | 1,608,842 | ||||||
Ameriprise Financial, Inc. | 26,500 | 3,373,185 | ||||||
Bank of New York Mellon Corp. (The) | 176,389 | 8,999,367 | ||||||
BlackRock, Inc. | 20,830 | 8,798,800 | ||||||
CBOE Holdings, Inc. | 15,300 | 1,398,420 | ||||||
Charles Schwab Corp. (The) | 206,600 | 8,875,536 | ||||||
CME Group, Inc. | 57,800 | 7,238,872 | ||||||
E*TRADE Financial Corp.* | 47,310 | 1,799,199 | ||||||
Franklin Resources, Inc. | 59,100 | 2,647,089 | ||||||
Goldman Sachs Group, Inc. (The) | 62,900 | 13,957,510 | ||||||
Intercontinental Exchange, Inc. | 101,490 | 6,690,221 | ||||||
Invesco Ltd. | 69,900 | 2,459,781 | ||||||
Moody’s Corp. | 28,520 | 3,470,314 | ||||||
Morgan Stanley | 244,510 | 10,895,366 | ||||||
Nasdaq, Inc. | 19,600 | 1,401,204 | ||||||
Northern Trust Corp. | 36,300 | 3,528,723 | ||||||
Raymond James Financial, Inc. | 21,900 | 1,756,818 | ||||||
S&P Global, Inc. | 44,100 | 6,438,159 | ||||||
State Street Corp. | 61,325 | 5,502,692 | ||||||
T. Rowe Price Group, Inc.(a) | 41,500 | 3,079,715 | ||||||
|
| |||||||
103,919,813 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A172
STOCK INDEX PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Chemicals — 2.1% | ||||||||
Air Products & Chemicals, Inc. | 37,100 | $ | 5,307,526 | |||||
Albemarle Corp. | 19,500 | 2,058,030 | ||||||
CF Industries Holdings, Inc.(a) | 39,800 | 1,112,808 | ||||||
Dow Chemical Co. (The) | 189,911 | 11,977,687 | ||||||
E.I. du Pont de Nemours & Co. | 146,691 | 11,839,431 | ||||||
Eastman Chemical Co. | 25,400 | 2,133,346 | ||||||
Ecolab, Inc. | 44,700 | 5,933,925 | ||||||
FMC Corp. | 23,150 | 1,691,107 | ||||||
International Flavors & Fragrances, Inc. | 13,700 | 1,849,500 | ||||||
LyondellBasell Industries NV (Class A Stock) | 56,600 | 4,776,474 | ||||||
Monsanto Co. | 74,796 | 8,852,855 | ||||||
Mosaic Co. (The) | 59,100 | 1,349,253 | ||||||
PPG Industries, Inc. | 43,800 | 4,816,248 | ||||||
Praxair, Inc. | 48,600 | 6,441,930 | ||||||
Sherwin-Williams Co. (The) | 13,900 | 4,878,344 | ||||||
|
| |||||||
75,018,464 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.3% |
| |||||||
Cintas Corp. | 14,800 | 1,865,392 | ||||||
Republic Services, Inc. | 39,635 | 2,525,939 | ||||||
Stericycle, Inc.* | 14,500 | 1,106,640 | ||||||
Waste Management, Inc. | 69,230 | 5,078,020 | ||||||
|
| |||||||
10,575,991 | ||||||||
|
| |||||||
Communications Equipment — 1.0% | ||||||||
Cisco Systems, Inc. | 851,475 | 26,651,168 | ||||||
F5 Networks, Inc.*(a) | 11,300 | 1,435,778 | ||||||
Harris Corp. | 21,400 | 2,334,312 | ||||||
Juniper Networks, Inc. | 66,000 | 1,840,080 | ||||||
Motorola Solutions, Inc. | 28,027 | 2,431,062 | ||||||
|
| |||||||
34,692,400 | ||||||||
|
| |||||||
Construction & Engineering — 0.1% | ||||||||
Fluor Corp. | 23,700 | 1,084,986 | ||||||
Jacobs Engineering Group, Inc. | 20,900 | 1,136,751 | ||||||
Quanta Services, Inc.* | 26,200 | 862,504 | ||||||
|
| |||||||
3,084,241 | ||||||||
|
| |||||||
Construction Materials — 0.1% | ||||||||
Martin Marietta Materials, Inc. | 10,800 | 2,403,864 | ||||||
Vulcan Materials Co. | 22,700 | 2,875,636 | ||||||
|
| |||||||
5,279,500 | ||||||||
|
| |||||||
Consumer Finance — 0.7% | ||||||||
American Express Co. | 129,000 | 10,866,960 | ||||||
Capital One Financial Corp. | 81,869 | 6,764,017 | ||||||
Discover Financial Services | 65,905 | 4,098,632 | ||||||
Navient Corp. | 53,000 | 882,450 | ||||||
Synchrony Financial | 130,830 | 3,901,350 | ||||||
|
| |||||||
26,513,409 | ||||||||
|
| |||||||
Containers & Packaging — 0.3% | ||||||||
Avery Dennison Corp. | 15,400 | 1,360,898 | ||||||
Ball Corp. | 59,700 | 2,519,937 | ||||||
International Paper Co. | 70,167 | 3,972,154 | ||||||
Sealed Air Corp. | 33,420 | 1,495,879 | ||||||
WestRock Co. | 42,761 | 2,422,838 | ||||||
|
| |||||||
11,771,706 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Distributors — 0.1% | ||||||||
Genuine Parts Co. | 25,625 | $ | 2,376,975 | |||||
LKQ Corp.* | 51,900 | 1,710,105 | ||||||
|
| |||||||
4,087,080 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.0% |
| |||||||
H&R Block, Inc. | 35,900 | 1,109,669 | ||||||
|
| |||||||
Diversified Financial Services — 1.6% |
| |||||||
Berkshire Hathaway, Inc. (Class B Stock)* | 322,600 | 54,638,762 | ||||||
Leucadia National Corp. | 54,500 | 1,425,720 | ||||||
|
| |||||||
56,064,482 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 2.1% |
| |||||||
AT&T, Inc. | 1,043,935 | 39,387,667 | ||||||
CenturyLink, Inc.(a) | 93,185 | 2,225,258 | ||||||
Level 3 Communications, Inc.* | 50,200 | 2,976,860 | ||||||
Verizon Communications, Inc. | 692,638 | 30,933,213 | ||||||
|
| |||||||
75,522,998 | ||||||||
|
| |||||||
Electric Utilities — 1.9% | ||||||||
Alliant Energy Corp. | 38,400 | 1,542,528 | ||||||
American Electric Power Co., Inc. | 83,940 | 5,831,312 | ||||||
Duke Energy Corp. | 118,048 | 9,867,632 | ||||||
Edison International | 55,400 | 4,331,726 | ||||||
Entergy Corp. | 30,900 | 2,372,193 | ||||||
Eversource Energy | 54,100 | 3,284,411 | ||||||
Exelon Corp. | 157,573 | 5,683,658 | ||||||
FirstEnergy Corp. | 75,280 | 2,195,165 | ||||||
NextEra Energy, Inc. | 79,575 | 11,150,845 | ||||||
PG&E Corp. | 86,200 | 5,721,094 | ||||||
Pinnacle West Capital Corp. | 19,000 | 1,618,040 | ||||||
PPL Corp. | 116,100 | 4,488,426 | ||||||
Southern Co. (The) | 167,500 | 8,019,900 | ||||||
Xcel Energy, Inc. | 86,295 | 3,959,214 | ||||||
|
| |||||||
70,066,144 | ||||||||
|
| |||||||
Electrical Equipment — 0.6% | ||||||||
Acuity Brands, Inc.(a) | 7,500 | 1,524,600 | ||||||
AMETEK, Inc. | 39,500 | 2,392,515 | ||||||
Eaton Corp. PLC | 76,761 | 5,974,309 | ||||||
Emerson Electric Co. | 110,400 | 6,582,048 | ||||||
Rockwell Automation, Inc. | 21,900 | 3,546,924 | ||||||
|
| |||||||
20,020,396 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.4% |
| |||||||
Amphenol Corp. (Class A Stock) | 52,600 | 3,882,932 | ||||||
Corning, Inc. | 158,000 | 4,747,900 | ||||||
FLIR Systems, Inc. | 23,000 | 797,180 | ||||||
TE Connectivity Ltd. | 60,600 | 4,768,008 | ||||||
|
| |||||||
14,196,020 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.9% |
| |||||||
Baker Hughes, Inc. | 72,248 | 3,938,239 | ||||||
Halliburton Co. | 147,900 | 6,316,809 | ||||||
Helmerich & Payne, Inc.(a) | 18,900 | 1,027,026 | ||||||
National Oilwell Varco, Inc.(a) | 64,400 | 2,121,336 | ||||||
Schlumberger Ltd. | 236,298 | 15,557,860 | ||||||
TechnipFMC PLC (United Kingdom)* | 79,400 | 2,159,680 | ||||||
Transocean Ltd.*(a) | 65,700 | 540,711 | ||||||
|
| |||||||
31,661,661 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A173
STOCK INDEX PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) — 2.8% |
| |||||||
Alexandria Real Estate Equities, Inc.(a) | 14,400 | $ | 1,734,768 | |||||
American Tower Corp. | 72,900 | 9,646,128 | ||||||
Apartment Investment & Management Co. (Class A Stock) | 27,374 | 1,176,261 | ||||||
AvalonBay Communities, Inc.(a) | 23,318 | 4,481,020 | ||||||
Boston Properties, Inc. | 26,200 | 3,223,124 | ||||||
Crown Castle International Corp. | 61,500 | 6,161,070 | ||||||
Digital Realty Trust, Inc.(a) | 27,400 | 3,094,830 | ||||||
Equinix, Inc. | 13,055 | 5,602,684 | ||||||
Equity Residential(a) | 62,500 | 4,114,375 | ||||||
Essex Property Trust, Inc.(a) | 11,200 | 2,881,424 | ||||||
Extra Space Storage, Inc.(a) | 21,400 | 1,669,200 | ||||||
Federal Realty Investment Trust(a) | 12,400 | 1,567,236 | ||||||
GGP, Inc.(a) | 99,700 | 2,348,932 | ||||||
HCP, Inc. | 79,600 | 2,544,016 | ||||||
Host Hotels & Resorts, Inc.(a) | 124,626 | 2,276,917 | ||||||
Iron Mountain, Inc.(a) | 41,430 | 1,423,535 | ||||||
Kimco Realty Corp. | 71,800 | 1,317,530 | ||||||
Macerich Co. (The)(a) | 20,800 | 1,207,648 | ||||||
Mid-America Apartment Communities, Inc. | 19,500 | 2,054,910 | ||||||
Prologis, Inc. | 90,228 | 5,290,970 | ||||||
Public Storage | 25,600 | 5,338,368 | ||||||
Realty Income Corp.(a) | 44,900 | 2,477,582 | ||||||
Regency Centers Corp.(a) | 24,400 | 1,528,416 | ||||||
Simon Property Group, Inc. | 53,961 | 8,728,731 | ||||||
SL Green Realty Corp. | 17,100 | 1,809,180 | ||||||
UDR, Inc. | 45,100 | 1,757,547 | ||||||
Ventas, Inc. | 60,704 | 4,217,714 | ||||||
Vornado Realty Trust | 29,457 | 2,766,012 | ||||||
Welltower, Inc. | 62,000 | 4,640,700 | ||||||
Weyerhaeuser Co. | 127,830 | 4,282,305 | ||||||
|
| |||||||
101,363,133 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.9% | ||||||||
Costco Wholesale Corp. | 74,422 | 11,902,310 | ||||||
CVS Health Corp. | 174,738 | 14,059,420 | ||||||
Kroger Co. (The) | 157,300 | 3,668,236 | ||||||
Sysco Corp. | 84,600 | 4,257,918 | ||||||
Wal-Mart Stores, Inc. | 256,100 | 19,381,648 | ||||||
Walgreens Boots Alliance, Inc. | 145,000 | 11,354,950 | ||||||
Whole Foods Market, Inc. | 54,400 | 2,290,784 | ||||||
|
| |||||||
66,915,266 | ||||||||
|
| |||||||
Food Products — 1.3% | ||||||||
Archer-Daniels-Midland Co. | 97,238 | 4,023,708 | ||||||
Campbell Soup Co. | 33,200 | 1,731,380 | ||||||
Conagra Brands, Inc. | 71,300 | 2,549,688 | ||||||
General Mills, Inc. | 98,800 | 5,473,520 | ||||||
Hershey Co. (The) | 23,900 | 2,566,143 | ||||||
Hormel Foods Corp.(a) | 46,300 | 1,579,293 | ||||||
J.M. Smucker Co. (The) | 19,900 | 2,354,767 | ||||||
Kellogg Co.(a) | 43,000 | 2,986,780 | ||||||
Kraft Heinz Co. (The) | 101,637 | 8,704,193 | ||||||
McCormick & Co., Inc. (Non-Voting Shares) | 19,500 | 1,901,445 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Food Products (continued) | ||||||||
Mondelez International, Inc. (Class A Stock) | 259,811 | $ | 11,221,237 | |||||
Tyson Foods, Inc. (Class A Stock) | 49,600 | 3,106,448 | ||||||
|
| |||||||
48,198,602 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.8% |
| |||||||
Abbott Laboratories | 293,825 | 14,282,833 | ||||||
Baxter International, Inc. | 83,200 | 5,036,928 | ||||||
Becton, Dickinson & Co. | 37,754 | 7,366,183 | ||||||
Boston Scientific Corp.* | 231,899 | 6,428,240 | ||||||
C.R. Bard, Inc. | 12,400 | 3,919,764 | ||||||
Align Technology, Inc.* | 8,900 | 1,336,068 | ||||||
Cooper Cos., Inc. (The) | 8,530 | 2,042,253 | ||||||
Danaher Corp. | 104,000 | 8,776,560 | ||||||
DENTSPLY SIRONA, Inc. | 39,300 | 2,548,212 | ||||||
Edwards Lifesciences Corp.* | 36,400 | 4,303,936 | ||||||
Hologic, Inc.* | 47,400 | 2,151,012 | ||||||
IDEXX Laboratories, Inc.* | 15,200 | 2,453,584 | ||||||
Intuitive Surgical, Inc.* | 6,290 | 5,883,477 | ||||||
Medtronic PLC | 233,128 | 20,690,110 | ||||||
Stryker Corp.(a) | 52,600 | 7,299,828 | ||||||
Varian Medical Systems, Inc.* | 16,100 | 1,661,359 | ||||||
Zimmer Biomet Holdings, Inc. | 34,386 | 4,415,163 | ||||||
|
| |||||||
100,595,510 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.8% |
| |||||||
Aetna, Inc. | 56,457 | 8,571,866 | ||||||
AmerisourceBergen Corp.(a) | 28,500 | 2,694,105 | ||||||
Anthem, Inc. | 45,200 | 8,503,476 | ||||||
Cardinal Health, Inc. | 53,775 | 4,190,148 | ||||||
Centene Corp.* | 29,400 | 2,348,472 | ||||||
Cigna Corp. | 43,800 | 7,331,682 | ||||||
DaVita, Inc.* | 27,000 | 1,748,520 | ||||||
Envision Healthcare Corp.* | 20,200 | 1,265,934 | ||||||
Express Scripts Holding Co.* | 103,726 | 6,621,868 | ||||||
HCA Healthcare, Inc.* | 49,100 | 4,281,520 | ||||||
Henry Schein, Inc.*(a) | 13,500 | 2,470,770 | ||||||
Humana, Inc. | 25,500 | 6,135,810 | ||||||
Laboratory Corp. of America Holdings* | 17,400 | 2,682,036 | ||||||
McKesson Corp. | 36,307 | 5,973,954 | ||||||
Patterson Cos., Inc.(a) | 14,200 | 666,690 | ||||||
Quest Diagnostics, Inc. | 23,300 | 2,590,028 | ||||||
UnitedHealth Group, Inc. | 163,300 | 30,279,086 | ||||||
Universal Health Services, Inc. (Class B Stock) | 15,600 | 1,904,448 | ||||||
|
| |||||||
100,260,413 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
Cerner Corp.* | 50,400 | 3,350,088 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.7% |
| |||||||
Carnival Corp. | 71,100 | 4,662,027 | ||||||
Chipotle Mexican Grill, Inc.*(a) | 4,920 | 2,047,212 | ||||||
Darden Restaurants, Inc. | 21,550 | 1,948,982 | ||||||
Hilton Worldwide Holdings, Inc. | 24,900 | 1,540,065 | ||||||
Marriott International, Inc. (Class A Stock) | 53,523 | 5,368,892 | ||||||
McDonald’s Corp. | 139,320 | 21,338,251 |
SEE NOTES TO FINANCIAL STATEMENTS.
A174
STOCK INDEX PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Hotels, Restaurants & Leisure (continued) |
| |||||||
Royal Caribbean Cruises Ltd. | 28,800 | $ | 3,145,824 | |||||
Starbucks Corp. | 247,800 | 14,449,218 | ||||||
Wyndham Worldwide Corp. | 18,063 | 1,813,706 | ||||||
Wynn Resorts Ltd. | 13,600 | 1,824,032 | ||||||
Yum! Brands, Inc. | 57,200 | 4,219,072 | ||||||
|
| |||||||
62,357,281 | ||||||||
|
| |||||||
Household Durables — 0.5% |
| |||||||
D.R. Horton, Inc. | 58,900 | 2,036,173 | ||||||
Garmin Ltd.(a) | 19,800 | 1,010,394 | ||||||
Leggett & Platt, Inc. | 22,700 | 1,192,431 | ||||||
Lennar Corp. (Class A Stock) | 34,600 | 1,844,872 | ||||||
Mohawk Industries, Inc.* | 10,900 | 2,634,421 | ||||||
Newell Brands, Inc. | 82,549 | 4,426,278 | ||||||
PulteGroup, Inc. | 49,185 | 1,206,508 | ||||||
Whirlpool Corp. | 12,807 | 2,454,077 | ||||||
|
| |||||||
16,805,154 | ||||||||
|
| |||||||
Household Products — 1.7% |
| |||||||
Church & Dwight Co., Inc. | 43,700 | 2,267,156 | ||||||
Clorox Co. (The) | 22,100 | 2,944,604 | ||||||
Colgate-Palmolive Co. | 150,400 | 11,149,152 | ||||||
Kimberly-Clark Corp. | 60,588 | 7,822,517 | ||||||
Procter & Gamble Co. (The) | 434,306 | 37,849,768 | ||||||
|
| |||||||
62,033,197 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.1% |
| |||||||
AES Corp. | 110,400 | 1,226,544 | ||||||
NRG Energy, Inc. | 53,700 | 924,714 | ||||||
|
| |||||||
2,151,258 | ||||||||
|
| |||||||
Industrial Conglomerates — 2.3% |
| |||||||
3M Co. | 101,200 | 21,068,828 | ||||||
General Electric Co. | 1,480,647 | 39,992,275 | ||||||
Honeywell International, Inc. | 129,450 | 17,254,390 | ||||||
Roper Technologies, Inc. | 17,300 | 4,005,469 | ||||||
|
| |||||||
82,320,962 | ||||||||
|
| |||||||
Insurance — 2.5% |
| |||||||
Aflac, Inc. | 68,300 | 5,305,544 | ||||||
Allstate Corp. (The) | 62,188 | 5,499,907 | ||||||
American International Group, Inc. | 150,429 | 9,404,821 | ||||||
Aon PLC | 44,825 | 5,959,484 | ||||||
Arthur J. Gallagher & Co. | 30,700 | 1,757,575 | ||||||
Assurant, Inc. | 9,800 | 1,016,162 | ||||||
Chubb Ltd. | 79,390 | 11,541,718 | ||||||
Cincinnati Financial Corp. | 25,928 | 1,878,484 | ||||||
Everest Re Group Ltd. | 4,000 | 1,018,360 | ||||||
Hartford Financial Services Group, Inc. (The) | 63,800 | 3,353,966 | ||||||
Lincoln National Corp. | 38,363 | 2,592,572 | ||||||
Loews Corp. | 47,326 | 2,215,330 | ||||||
Marsh & McLennan Cos., Inc. | 87,900 | 6,852,684 | ||||||
MetLife, Inc. | 185,100 | 10,169,394 | ||||||
Principal Financial Group, Inc. | 45,700 | 2,927,999 | ||||||
Progressive Corp. (The) | 99,300 | 4,378,137 | ||||||
Torchmark Corp. | 18,875 | 1,443,937 | ||||||
Travelers Cos., Inc. (The) | 47,798 | 6,047,881 | ||||||
Unum Group | 39,056 | 1,821,181 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Insurance (continued) |
| |||||||
Willis Towers Watson PLC | 21,800 | $ | 3,171,028 | |||||
XL Group Ltd. (Bermuda) | 45,600 | 1,997,280 | ||||||
|
| |||||||
90,353,444 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 2.6% |
| |||||||
Amazon.com, Inc.* | 67,290 | 65,136,720 | ||||||
Expedia, Inc. | 20,800 | 3,098,160 | ||||||
Netflix, Inc.* | 73,290 | 10,950,259 | ||||||
Priceline Group, Inc. (The)* | 8,370 | 15,656,252 | ||||||
TripAdvisor, Inc.*(a) | 19,400 | 741,080 | ||||||
|
| |||||||
95,582,471 | ||||||||
|
| |||||||
Internet Software & Services — 4.5% |
| |||||||
Akamai Technologies, Inc.* | 29,400 | 1,464,414 | ||||||
Alphabet, Inc. (Class A Stock)* | 50,515 | 46,962,785 | ||||||
Alphabet, Inc. (Class C Stock)* | 50,490 | 45,881,778 | ||||||
eBay, Inc.* | 172,400 | 6,020,208 | ||||||
Facebook, Inc. (Class A Stock)* | 400,100 | 60,407,098 | ||||||
VeriSign, Inc.*(a) | 15,500 | 1,440,880 | ||||||
|
| |||||||
162,177,163 | ||||||||
|
| |||||||
IT Services — 3.8% |
| |||||||
Accenture PLC (Class A Stock) | 105,900 | 13,097,712 | ||||||
Alliance Data Systems Corp. | 9,600 | 2,464,224 | ||||||
Automatic Data Processing, Inc. | 76,500 | 7,838,190 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock) | 103,800 | 6,892,320 | ||||||
CSRA, Inc. | 24,600 | 781,050 | ||||||
DXC Technology Co. | 47,350 | 3,632,692 | ||||||
Fidelity National Information Services, Inc. | 56,100 | 4,790,940 | ||||||
Fiserv, Inc.* | 36,500 | 4,465,410 | ||||||
Gartner, Inc.* | 14,400 | 1,778,544 | ||||||
Global Payments, Inc. | 26,000 | 2,348,320 | ||||||
International Business Machines Corp. | 145,725 | 22,416,877 | ||||||
Mastercard, Inc. (Class A Stock) | 159,900 | 19,419,855 | ||||||
Paychex, Inc. | 54,750 | 3,117,465 | ||||||
PayPal Holdings, Inc.* | 191,000 | 10,250,970 | ||||||
Total System Services, Inc. | 28,293 | 1,648,067 | ||||||
Visa, Inc. (Class A Stock)(a) | 315,400 | 29,578,212 | ||||||
Western Union Co. (The)(a) | 81,204 | 1,546,936 | ||||||
|
| |||||||
136,067,784 | ||||||||
|
| |||||||
Leisure Products — 0.1% |
| |||||||
Hasbro, Inc. | 19,150 | 2,135,416 | ||||||
Mattel, Inc.(a) | 57,281 | 1,233,260 | ||||||
|
| |||||||
3,368,676 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.7% |
| |||||||
Agilent Technologies, Inc. | 54,782 | 3,249,120 | ||||||
Illumina, Inc.* | 25,000 | 4,338,000 | ||||||
Mettler-Toledo International, Inc.* | 4,450 | 2,619,003 | ||||||
PerkinElmer, Inc. | 18,600 | 1,267,404 | ||||||
Thermo Fisher Scientific, Inc. | 66,600 | 11,619,702 | ||||||
Waters Corp.* | 13,700 | 2,518,608 | ||||||
|
| |||||||
25,611,837 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A175
STOCK INDEX PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Machinery — 1.5% |
| |||||||
Caterpillar, Inc. | 99,400 | $ | 10,681,524 | |||||
Cummins, Inc. | 26,500 | 4,298,830 | ||||||
Deere & Co. | 49,850 | 6,160,961 | ||||||
Dover Corp. | 26,400 | 2,117,808 | ||||||
Flowserve Corp.(a) | 22,500 | 1,044,675 | ||||||
Fortive Corp. | 51,400 | 3,256,190 | ||||||
Illinois Tool Works, Inc. | 53,175 | 7,617,319 | ||||||
Ingersoll-Rand PLC | 44,500 | 4,066,855 | ||||||
PACCAR, Inc. | 60,128 | 3,970,853 | ||||||
Parker-Hannifin Corp. | 22,787 | 3,641,818 | ||||||
Pentair PLC (United Kingdom) | 28,807 | 1,916,818 | ||||||
Snap-on, Inc. | 10,000 | 1,580,000 | ||||||
Stanley Black & Decker, Inc. | 25,935 | 3,649,833 | ||||||
Xylem, Inc. | 30,400 | 1,685,072 | ||||||
|
| |||||||
55,688,556 | ||||||||
|
| |||||||
Media — 3.0% |
| |||||||
CBS Corp. (Class B Non-Voting Stock) | 63,368 | 4,041,611 | ||||||
Charter Communications, Inc. (Class A Stock)* | 36,600 | 12,328,710 | ||||||
Comcast Corp. (Class A Stock) | 803,692 | 31,279,693 | ||||||
Discovery Communications, Inc. (Class A Stock)*(a) | 26,300 | 679,329 | ||||||
Discovery Communications, Inc. (Class C Stock)*(a) | 37,500 | 945,375 | ||||||
DISH Network Corp. (Class A Stock)* | 38,600 | 2,422,536 | ||||||
Interpublic Group of Cos., Inc. (The) | 67,762 | 1,666,945 | ||||||
News Corp. (Class A Stock) | 63,625 | 871,662 | ||||||
News Corp. (Class B Stock) | 19,300 | 273,095 | ||||||
Omnicom Group, Inc.(a) | 40,100 | 3,324,290 | ||||||
Scripps Networks Interactive, Inc. (Class A Stock)(a) | 16,400 | 1,120,284 | ||||||
Time Warner, Inc. | 131,315 | 13,185,339 | ||||||
Twenty-First Century Fox, Inc. (Class A Stock) | 178,700 | 5,064,358 | ||||||
Twenty-First Century Fox, Inc. (Class B Stock) | 82,200 | 2,290,914 | ||||||
Viacom, Inc. (Class B Stock) | 59,043 | 1,982,074 | ||||||
Walt Disney Co. (The) | 247,276 | 26,273,075 | ||||||
|
| |||||||
107,749,290 | ||||||||
|
| |||||||
Metals & Mining — 0.2% |
| |||||||
Freeport-McMoRan, Inc.* | 223,512 | 2,684,379 | ||||||
Newmont Mining Corp. | 90,803 | 2,941,109 | ||||||
Nucor Corp. | 54,600 | 3,159,702 | ||||||
|
| |||||||
8,785,190 | ||||||||
|
| |||||||
Multi-Utilities — 1.0% |
| |||||||
Ameren Corp. | 41,500 | 2,268,805 | ||||||
CenterPoint Energy, Inc. | 72,810 | 1,993,538 | ||||||
CMS Energy Corp. | 47,800 | 2,210,750 | ||||||
Consolidated Edison, Inc. | 52,200 | 4,218,804 | ||||||
Dominion Energy, Inc. | 106,784 | 8,182,858 | ||||||
DTE Energy Co. | 30,600 | 3,237,174 | ||||||
NiSource, Inc. | 55,500 | 1,407,480 | ||||||
Public Service Enterprise Group, Inc. | 86,000 | 3,698,860 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Multi-Utilities (continued) |
| |||||||
SCANA Corp. | 24,300 | $ | 1,628,343 | |||||
Sempra Energy | 42,754 | 4,820,513 | ||||||
WEC Energy Group, Inc.(a) | 53,876 | 3,306,909 | ||||||
|
| |||||||
36,974,034 | ||||||||
|
| |||||||
Multiline Retail — 0.4% |
| |||||||
Dollar General Corp. | 43,400 | 3,128,706 | ||||||
Dollar Tree, Inc.* | 40,147 | 2,807,078 | ||||||
Kohl’s Corp.(a) | 30,800 | 1,191,036 | ||||||
Macy’s, Inc. | 51,620 | 1,199,649 | ||||||
Nordstrom, Inc.(a) | 19,800 | 947,034 | ||||||
Target Corp. | 94,868 | 4,960,648 | ||||||
|
| |||||||
14,234,151 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.0% |
| |||||||
Anadarko Petroleum Corp. | 95,226 | 4,317,547 | ||||||
Apache Corp.(a) | 64,350 | 3,084,296 | ||||||
Cabot Oil & Gas Corp. | 81,300 | 2,039,004 | ||||||
Chesapeake Energy Corp.*(a) | 125,800 | 625,226 | ||||||
Chevron Corp. | 321,742 | 33,567,343 | ||||||
Cimarex Energy Co. | 16,500 | 1,551,165 | ||||||
Concho Resources, Inc.* | 25,200 | 3,062,556 | ||||||
ConocoPhillips | 210,229 | 9,241,667 | ||||||
Devon Energy Corp. | 89,700 | 2,867,709 | ||||||
EOG Resources, Inc. | 97,900 | 8,861,908 | ||||||
EQT Corp. | 29,700 | 1,740,123 | ||||||
Exxon Mobil Corp. | 715,404 | 57,754,565 | ||||||
Hess Corp. | 46,175 | 2,025,697 | ||||||
Kinder Morgan, Inc. | 326,443 | 6,254,648 | ||||||
Marathon Oil Corp. | 142,994 | 1,694,479 | ||||||
Marathon Petroleum Corp. | 89,694 | 4,693,687 | ||||||
Murphy Oil Corp.(a) | 27,700 | 709,951 | ||||||
Newfield Exploration Co.* | 35,000 | 996,100 | ||||||
Noble Energy, Inc. | 74,400 | 2,105,520 | ||||||
Occidental Petroleum Corp. | 130,200 | 7,795,074 | ||||||
ONEOK, Inc. | 36,340 | 1,895,494 | ||||||
Phillips 66 | 74,764 | 6,182,235 | ||||||
Pioneer Natural Resources Co. | 29,000 | 4,627,820 | ||||||
Range Resources Corp.(a) | 31,700 | 734,489 | ||||||
Tesoro Corp. | 24,100 | 2,255,760 | ||||||
Valero Energy Corp. | 76,600 | 5,167,436 | ||||||
Williams Cos., Inc. (The) | 140,400 | 4,251,312 | ||||||
|
| |||||||
180,102,811 | ||||||||
|
| |||||||
Personal Products — 0.1% |
| |||||||
Coty, Inc. (Class A Stock)(a) | 79,400 | 1,489,544 | ||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 38,100 | 3,656,838 | ||||||
|
| |||||||
5,146,382 | ||||||||
|
| |||||||
Pharmaceuticals — 5.0% |
| |||||||
Allergan PLC | 57,256 | 13,918,361 | ||||||
Bristol-Myers Squibb Co. | 284,440 | 15,848,997 | ||||||
Eli Lilly & Co. | 165,200 | 13,595,960 | ||||||
Johnson & Johnson | 460,696 | 60,945,474 | ||||||
Mallinckrodt PLC* | 17,200 | 770,732 | ||||||
Merck & Co., Inc. | 466,803 | 29,917,404 | ||||||
Mylan NV* | 78,900 | 3,062,898 | ||||||
Perrigo Co. PLC(a) | 24,300 | 1,835,136 |
SEE NOTES TO FINANCIAL STATEMENTS.
A176
STOCK INDEX PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Pharmaceuticals (continued) |
| |||||||
Pfizer, Inc. | 1,011,223 | $ | 33,966,981 | |||||
Zoetis, Inc. | 83,900 | 5,233,682 | ||||||
|
| |||||||
179,095,625 | ||||||||
|
| |||||||
Professional Services — 0.3% |
| |||||||
Equifax, Inc. | 20,500 | 2,817,110 | ||||||
IHS Markit Ltd.* | 51,300 | 2,259,252 | ||||||
Nielsen Holdings PLC(a) | 57,100 | 2,207,486 | ||||||
Robert Half International, Inc. | 22,000 | 1,054,460 | ||||||
Verisk Analytics, Inc.* | 26,300 | 2,218,931 | ||||||
|
| |||||||
10,557,239 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 52,200 | 1,900,080 | ||||||
|
| |||||||
Road & Rail — 0.9% |
| |||||||
CSX Corp. | 157,672 | 8,602,584 | ||||||
J.B. Hunt Transport Services, Inc. | 14,900 | 1,361,562 | ||||||
Kansas City Southern | 18,500 | 1,936,025 | ||||||
Norfolk Southern Corp. | 49,700 | 6,048,490 | ||||||
Union Pacific Corp. | 138,500 | 15,084,035 | ||||||
|
| |||||||
33,032,696 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.3% |
| |||||||
Advanced Micro Devices, Inc.*(a) | 126,100 | 1,573,728 | ||||||
Analog Devices, Inc. | 62,223 | 4,840,949 | ||||||
Applied Materials, Inc. | 183,900 | 7,596,909 | ||||||
Broadcom Ltd. | 68,260 | 15,907,993 | ||||||
Intel Corp. | 803,900 | 27,123,586 | ||||||
KLA-Tencor Corp. | 26,900 | 2,461,619 | ||||||
Lam Research Corp. | 27,850 | 3,938,825 | ||||||
Microchip Technology, Inc.(a) | 37,800 | 2,917,404 | ||||||
Micron Technology, Inc.* | 176,200 | 5,261,332 | ||||||
NVIDIA Corp. | 99,450 | 14,376,492 | ||||||
Qorvo, Inc.* | 21,886 | 1,385,822 | ||||||
QUALCOMM, Inc. | 251,150 | 13,868,503 | ||||||
Skyworks Solutions, Inc. | 31,800 | 3,051,210 | ||||||
Texas Instruments, Inc. | 170,100 | 13,085,793 | ||||||
Xilinx, Inc. | 42,300 | 2,720,736 | ||||||
|
| |||||||
120,110,901 | ||||||||
|
| |||||||
Software — 4.8% | ||||||||
Activision Blizzard, Inc. | 117,600 | 6,770,232 | ||||||
Adobe Systems, Inc.* | 84,475 | 11,948,144 | ||||||
ANSYS, Inc.* | 10,600 | 1,289,808 | ||||||
Autodesk, Inc.* | 33,400 | 3,367,388 | ||||||
CA, Inc. | 52,873 | 1,822,532 | ||||||
Citrix Systems, Inc.* | 27,000 | 2,148,660 | ||||||
Electronic Arts, Inc.* | 52,400 | 5,539,728 | ||||||
Intuit, Inc. | 41,300 | 5,485,053 | ||||||
Microsoft Corp. | 1,312,600 | 90,477,518 | ||||||
Oracle Corp. | 509,595 | 25,551,093 | ||||||
Red Hat, Inc.* | 30,600 | 2,929,950 | ||||||
salesforce.com, Inc.* | 110,200 | 9,543,320 | ||||||
Symantec Corp. | 105,511 | 2,980,686 | ||||||
Synopsys, Inc.* | 25,600 | 1,867,008 | ||||||
|
| |||||||
171,721,120 | ||||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Specialty Retail — 2.2% | ||||||||
Advance Auto Parts, Inc. | 12,800 | $ | 1,492,352 | |||||
AutoNation, Inc.*(a) | 11,289 | 475,944 | ||||||
AutoZone, Inc.* | 4,910 | 2,800,959 | ||||||
Bed Bath & Beyond, Inc.(a) | 25,800 | 784,320 | ||||||
Best Buy Co., Inc.(a) | 46,025 | 2,638,613 | ||||||
CarMax, Inc.*(a) | 31,900 | 2,011,614 | ||||||
Foot Locker, Inc. | 22,900 | 1,128,512 | ||||||
Gap, Inc. (The)(a) | 37,187 | 817,742 | ||||||
Home Depot, Inc. (The) | 205,969 | 31,595,645 | ||||||
L Brands, Inc.(a) | 41,196 | 2,220,053 | ||||||
Lowe’s Cos., Inc. | 147,525 | 11,437,613 | ||||||
O’Reilly Automotive, Inc.*(a) | 15,600 | 3,412,344 | ||||||
Ross Stores, Inc. | 67,100 | 3,873,683 | ||||||
Signet Jewelers Ltd.(a) | 12,100 | 765,204 | ||||||
Staples, Inc. | 108,700 | 1,094,609 | ||||||
Tiffany & Co. | 18,500 | 1,736,595 | ||||||
TJX Cos., Inc. (The) | 111,200 | 8,025,304 | ||||||
Tractor Supply Co. | 22,700 | 1,230,567 | ||||||
Ulta Beauty, Inc.* | 10,000 | 2,873,400 | ||||||
|
| |||||||
80,415,073 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 4.1% |
| |||||||
Apple, Inc. | 889,455 | 128,099,309 | ||||||
Hewlett Packard Enterprise Co. | 283,466 | 4,702,701 | ||||||
HP, Inc. | 286,966 | 5,016,166 | ||||||
NetApp, Inc. | 46,700 | 1,870,335 | ||||||
Seagate Technology PLC(a) | 50,400 | 1,953,000 | ||||||
Western Digital Corp. | 49,568 | 4,391,725 | ||||||
Xerox Corp. | 36,002 | 1,034,337 | ||||||
|
| |||||||
147,067,573 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.7% |
| |||||||
Coach, Inc. | 48,200 | 2,281,788 | ||||||
Hanesbrands, Inc.(a) | 63,800 | 1,477,608 | ||||||
Michael Kors Holdings Ltd.* | 27,700 | 1,004,125 | ||||||
NIKE, Inc. (Class B Stock) | 225,400 | 13,298,600 | ||||||
PVH Corp. | 13,900 | 1,591,550 | ||||||
Ralph Lauren Corp.(a) | 9,800 | 723,240 | ||||||
Under Armour, Inc. (Class A Stock)*(a) | 31,200 | 678,912 | ||||||
Under Armour, Inc. (Class C Stock)*(a) | 30,603 | 616,957 | ||||||
VF Corp.(a) | 56,444 | 3,251,174 | ||||||
|
| |||||||
24,923,954 | ||||||||
|
| |||||||
Tobacco — 1.8% | ||||||||
Altria Group, Inc. | 329,500 | 24,537,865 | ||||||
Philip Morris International, Inc. | 263,300 | 30,924,585 | ||||||
Reynolds American, Inc. | 140,484 | 9,137,079 | ||||||
|
| |||||||
64,599,529 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.1% |
| |||||||
Fastenal Co.(a) | 49,600 | 2,159,088 | ||||||
United Rentals, Inc.* | 14,500 | 1,634,295 | ||||||
W.W. Grainger, Inc.(a) | 9,400 | 1,696,982 | ||||||
|
| |||||||
5,490,365 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A177
STOCK INDEX PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Water Utilities — 0.1% | ||||||||
American Water Works Co., Inc. | 30,800 | $ | 2,400,860 | |||||
|
| |||||||
TOTAL COMMON STOCKS |
| 3,529,191,240 | ||||||
|
| |||||||
EXCHANGE TRADED FUND — 0.1% | ||||||||
iShares Core S&P 500 ETF | 14,000 | 3,407,740 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 3,532,598,980 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 5.9% | ||||||||
AFFILIATED MUTUAL FUNDS — 5.8% |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w) | 68,780,634 | 68,780,634 | ||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund | 139,349,015 | 139,362,950 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 208,143,584 | ||||||
|
|
U.S. TREASURY OBLIGATION — 0.1% | Principal Amount (000)# | Value | ||||||
U.S. Treasury Bill, 0.995%, 09/21/17 | 3,000 | $ | 2,993,511 | |||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 211,137,095 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 103.8% |
| $ | 3,743,736,075 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (3.8)% |
| (137,650,932 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 3,606,085,143 | |||||
|
|
See the Glossary for abbreviations used in the semiannual report.
# | Principal amount shown in U.S. dollars unless otherwise stated. |
* | Non-income producing security. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $136,190,555; cash collateral of $139,226,790 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(k) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(n) | Rate quoted represents yield to maturity as of purchase date. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund. |
(z) Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:
Futures contracts outstanding at June 30, 2017:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at June 30, 2017 | Unrealized Appreciation (Depreciation) | |||||||||||||||
Long Positions: | ||||||||||||||||||||
40 | S&P 500 E-mini | Sep. 2017 | $ | 4,853,010 | $ | 4,841,800 | $ | (11,210 | ) | |||||||||||
112 | S&P 500 Index | Sep. 2017 | 67,962,321 | 67,785,200 | (177,121 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (188,331 | ) | ||||||||||||||||||
|
|
A security with a market value of $2,993,511 has been segregated with UBS to cover requirements for open future contracts at June 30, 2017.
SEE NOTES TO FINANCIAL STATEMENTS.
A178
STOCK INDEX PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Fair value measurements:
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— | unadjusted 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, 2017 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 83,087,710 | $ | — | $ | — | ||||||
Air Freight & Logistics | 25,471,984 | — | — | |||||||||
Airlines | 23,116,042 | — | — | |||||||||
Auto Components | 7,006,398 | — | — | |||||||||
Automobiles | 17,115,528 | — | — | |||||||||
Banks | 230,330,851 | — | — | |||||||||
Beverages | 73,558,184 | — | — | |||||||||
Biotechnology | 104,346,524 | — | — | |||||||||
Building Products | 12,066,377 | — | — | |||||||||
Capital Markets | 103,919,813 | — | — | |||||||||
Chemicals | 75,018,464 | — | — | |||||||||
Commercial Services & Supplies | 10,575,991 | — | — | |||||||||
Communications Equipment | 34,692,400 | — | — | |||||||||
Construction & Engineering | 3,084,241 | — | — | |||||||||
Construction Materials | 5,279,500 | — | — | |||||||||
Consumer Finance | 26,513,409 | — | — | |||||||||
Containers & Packaging | 11,771,706 | — | — | |||||||||
Distributors | 4,087,080 | — | — | |||||||||
Diversified Consumer Services | 1,109,669 | — | — | |||||||||
Diversified Financial Services | 56,064,482 | — | — | |||||||||
Diversified Telecommunication Services | 75,522,998 | — | — | |||||||||
Electric Utilities | 70,066,144 | — | — | |||||||||
Electrical Equipment | 20,020,396 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 14,196,020 | — | — | |||||||||
Energy Equipment & Services | 31,661,661 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 101,363,133 | — | — | |||||||||
Food & Staples Retailing | 66,915,266 | — | — | |||||||||
Food Products | 48,198,602 | — | — | |||||||||
Health Care Equipment & Supplies | 100,595,510 | — | — | |||||||||
Health Care Providers & Services | 100,260,413 | — | — | |||||||||
Health Care Technology | 3,350,088 | — | — | |||||||||
Hotels, Restaurants & Leisure | 62,357,281 | — | — | |||||||||
Household Durables | 16,805,154 | — | — | |||||||||
Household Products | 62,033,197 | — | — | |||||||||
Independent Power & Renewable Electricity Producers | 2,151,258 | — | — | |||||||||
Industrial Conglomerates | 82,320,962 | — | — | |||||||||
Insurance | 90,353,444 | — | — | |||||||||
Internet & Direct Marketing Retail | 95,582,471 | — | — | |||||||||
Internet Software & Services | 162,177,163 | — | — | |||||||||
IT Services | 136,067,784 | — | — | |||||||||
Leisure Products | 3,368,676 | — | — | |||||||||
Life Sciences Tools & Services | 25,611,837 | — | — | |||||||||
Machinery | 55,688,556 | — | — | |||||||||
Media | 107,749,290 | — | — | |||||||||
Metals & Mining | 8,785,190 | — | — | |||||||||
Multi-Utilities | 36,974,034 | — | — | |||||||||
Multiline Retail | 14,234,151 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A179
STOCK INDEX PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Oil, Gas & Consumable Fuels | $ | 180,102,811 | $ | — | $ | — | ||||||
Personal Products | 5,146,382 | — | — | |||||||||
Pharmaceuticals | 179,095,625 | — | — | |||||||||
Professional Services | 10,557,239 | — | — | |||||||||
Real Estate Management & Development | 1,900,080 | — | — | |||||||||
Road & Rail | 33,032,696 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 120,110,901 | — | — | |||||||||
Software | 171,721,120 | — | — | |||||||||
Specialty Retail | 80,415,073 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 147,067,573 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 24,923,954 | — | — | |||||||||
Tobacco | 64,599,529 | — | — | |||||||||
Trading Companies & Distributors | 5,490,365 | — | — | |||||||||
Water Utilities | 2,400,860 | — | — | |||||||||
Exchange Traded Fund | 3,407,740 | — | — | |||||||||
Affiliated Mutual Funds | 208,143,584 | — | — | |||||||||
U.S. Treasury Obligation | — | 2,993,511 | — | |||||||||
Other Financial Instruments* |
| |||||||||||
Futures Contracts | (188,331 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | 3,740,554,233 | $ | 2,993,511 | $ | — | ||||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.
Industry classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:
Banks | 6.4 | % | ||
Affiliated Mutual Funds (including 3.9% of collateral for securities on loan) | 5.8 | |||
Oil, Gas & Consumable Fuels | 5.0 | |||
Pharmaceuticals | 5.0 | |||
Software | 4.8 | |||
Internet Software & Services | 4.5 | |||
Technology Hardware, Storage & Peripherals | 4.1 | |||
IT Services | 3.8 | |||
Semiconductors & Semiconductor Equipment | 3.3 | |||
Media | 3.0 | |||
Biotechnology | 2.9 | |||
Capital Markets | 2.9 | |||
Equity Real Estate Investment Trusts (REITs) | 2.8 | |||
Health Care Equipment & Supplies | 2.8 | |||
Health Care Providers & Services | 2.8 | |||
Internet & Direct Marketing Retail | 2.6 | |||
Insurance | 2.5 | |||
Aerospace & Defense | 2.3 | |||
Industrial Conglomerates | 2.3 | |||
Specialty Retail | 2.2 | |||
Diversified Telecommunication Services | 2.1 | |||
Chemicals | 2.1 | |||
Beverages | 2.0 | |||
Electric Utilities | 1.9 | |||
Food & Staples Retailing | 1.9 | |||
Tobacco | 1.8 |
Hotels, Restaurants & Leisure | 1.7 | % | ||
Household Products | 1.7 | |||
Diversified Financial Services | 1.6 | |||
Machinery | 1.5 | |||
Food Products | 1.3 | |||
Multi-Utilities | 1.0 | |||
Communications Equipment | 1.0 | |||
Road & Rail | 0.9 | |||
Energy Equipment & Services | 0.9 | |||
Consumer Finance | 0.7 | |||
Life Sciences Tools & Services | 0.7 | |||
Air Freight & Logistics | 0.7 | |||
Textiles, Apparel & Luxury Goods | 0.7 | |||
Airlines | 0.6 | |||
Electrical Equipment | 0.6 | |||
Automobiles | 0.5 | |||
Household Durables | 0.5 | |||
Multiline Retail | 0.4 | |||
Electronic Equipment, Instruments & Components | 0.4 | |||
Building Products | 0.3 | |||
Containers & Packaging | 0.3 | |||
Commercial Services & Supplies | 0.3 | |||
Professional Services | 0.3 | |||
Metals & Mining | 0.2 | |||
Auto Components | 0.2 | |||
Trading Companies & Distributors | 0.1 |
SEE NOTES TO FINANCIAL STATEMENTS.
A180
STOCK INDEX PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Industry classification (cont.) |
| |||
Construction Materials | 0.1 | % | ||
Personal Products | 0.1 | |||
Distributors | 0.1 | |||
Exchange Traded Fund | 0.1 | |||
Leisure Products | 0.1 | |||
Health Care Technology | 0.1 | |||
Construction & Engineering | 0.1 | |||
U.S. Treasury Obligation | 0.1 | |||
Water Utilities | 0.1 |
Independent Power & Renewable Electricity Producers | 0.1 | % | ||
Real Estate Management & Development | 0.1 | |||
Diversified Consumer Services | 0.0 | * | ||
|
| |||
103.8 | ||||
Liabilities in excess of other assets | (3.8 | ) | ||
|
| |||
100.0 | % | |||
|
|
* | Less than +/- 0.05% |
Effects of Derivative Instruments on the Financial Statements and Primary underlying Risk Exposure:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts 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, 2017 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 | $ | 188,331 | * | |||||
|
|
|
|
* | Includes cumulative appreciation (depreciation) as reported in schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2017 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging | Futures | |||
Equity contracts | $ | 6,303,819 | ||
|
|
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging | Futures | |||
Equity contracts | $ | 607,219 | ||
|
|
For the six months ended June 30, 2017, the Portfolio’s average value at trade date for futures long positions was $86,549,300.
Financial instruments/transactions — summary of offsetting and netting arrangements:
The Portfolio entered into financial instruments/transactions 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 financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received(2) | Net Amount | |||||||||
Securities on Loan | $ | 136,190,555 | $ | (136,190,555 | ) | $ | — |
(1) | Amount represents market value. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A181
STOCK INDEX PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2017
ASSETS | ||||
Investments at value, including securities on loan of $136,190,555: | ||||
Unaffiliated investments (cost $1,185,442,930) | $ | 3,535,592,491 | ||
Affiliated investments (cost $208,132,075) | 208,143,584 | |||
Dividends and interest receivable | 3,522,207 | |||
Receivable for Series shares sold | 162,650 | |||
Due from broker—variation margin futures | 27,000 | |||
Tax reclaim receivable | 494 | |||
Prepaid expenses | 3,555 | |||
|
| |||
Total Assets | 3,747,451,981 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 139,226,790 | |||
Management fee payable | 891,198 | |||
Payable to custodian | 531,555 | |||
Payable for Series shares repurchased | 461,098 | |||
Accrued expenses and other liabilities | 255,217 | |||
Affiliated transfer agent fee payable | 980 | |||
|
| |||
Total Liabilities | 141,366,838 | |||
|
| |||
NET ASSETS | $ | 3,606,085,143 | ||
|
| |||
Net assets were comprised of: |
| |||
Paid-in capital | $ | 1,255,108,876 | ||
Retained earnings | 2,350,976,267 | |||
|
| |||
Net assets, June 30, 2017 | $ | 3,606,085,143 | ||
|
| |||
Net asset value and redemption price per share | $ | 53.38 | ||
|
|
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2017
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income | $ | 34,260,093 | ||
Affiliated dividend income | 395,838 | |||
Income from securities lending, net (including affiliated income of $99,613) | 114,174 | |||
Interest income | 15,711 | |||
|
| |||
Total income | 34,785,816 | |||
|
| |||
EXPENSES | ||||
Management fee | 5,223,338 | |||
Custodian and accounting fees | 161,000 | |||
Shareholders’ reports | 52,000 | |||
Trustees’ fees | 20,000 | |||
Audit fee | 12,000 | |||
Legal fees and expenses | 9,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Miscellaneous | 32,905 | |||
|
| |||
Total expenses | 5,516,243 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 29,269,573 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain (loss) on: |
| |||
Investment transactions (including affiliated of $8,968) | 15,151,976 | |||
Futures transactions | 6,303,819 | |||
|
| |||
21,455,795 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $(18,031)) | 251,575,435 | |||
Futures | 607,219 | |||
|
| |||
252,182,654 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 273,638,449 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 302,908,022 | ||
|
|
STATEMENT OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 29,269,573 | $ | 57,570,334 | ||||
Net realized gain (loss) on investment transactions | 21,455,795 | 72,046,263 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 252,182,654 | 228,987,837 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 302,908,022 | 358,604,434 | ||||||
|
|
|
| |||||
DISTRIBUTIONS | (129,595,196 | ) | (210,338,581 | ) | ||||
|
|
|
| |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [2,097,507 and 2,976,732 shares, respectively] | 113,172,738 | 136,335,898 | ||||||
Series shares issued in reinvestment of distributions [2,421,435 and 4,481,009 shares, respectively] | 129,595,196 | 210,338,581 | ||||||
Series shares repurchased [2,147,739 and 4,217,650 shares, respectively] | (115,120,891 | ) | (204,352,773 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | 127,647,043 | 142,321,706 | ||||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 4,458,724 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 300,959,869 | 295,046,283 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 3,305,125,274 | 3,010,078,991 | ||||||
|
|
|
| |||||
End of period | $ | 3,606,085,143 | $ | 3,305,125,274 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A182
VALUE PORTFOLIO |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
LONG-TERM INVESTMENTS — 97.9% | ||||||||
COMMON STOCKS | Shares | Value | ||||||
Aerospace & Defense — 3.9% |
| |||||||
Boeing Co. (The) | 119,974 | $ | 23,724,858 | |||||
United Technologies Corp. | 253,707 | 30,980,162 | ||||||
|
| |||||||
54,705,020 | ||||||||
|
| |||||||
Banks — 15.4% |
| |||||||
Bank of America Corp. | 1,764,722 | 42,812,156 | ||||||
BB&T Corp. | 571,307 | 25,943,051 | ||||||
Citigroup, Inc. | 523,704 | 35,025,323 | ||||||
JPMorgan Chase & Co. | 706,919 | 64,612,397 | ||||||
PNC Financial Services Group, Inc. (The) | 230,685 | 28,805,636 | ||||||
Wells Fargo & Co. | 349,640 | 19,373,552 | ||||||
|
| |||||||
216,572,115 | ||||||||
|
| |||||||
Biotechnology — 1.2% |
| |||||||
Shire PLC, ADR | 105,284 | 17,400,287 | ||||||
|
| |||||||
Capital Markets — 2.2% |
| |||||||
Goldman Sachs Group, Inc. (The) | 141,483 | 31,395,078 | ||||||
|
| |||||||
Chemicals — 3.0% |
| |||||||
Dow Chemical Co. (The) | 345,133 | 21,767,538 | ||||||
FMC Corp. | 280,853 | 20,516,312 | ||||||
|
| |||||||
42,283,850 | ||||||||
|
| |||||||
Communications Equipment — 1.4% |
| |||||||
Cisco Systems, Inc. | 634,691 | 19,865,828 | ||||||
|
| |||||||
Consumer Finance — 3.4% |
| |||||||
Capital One Financial Corp. | 301,782 | 24,933,229 | ||||||
SLM Corp.* | 2,015,294 | 23,175,881 | ||||||
|
| |||||||
48,109,110 | ||||||||
|
| |||||||
Containers & Packaging — 0.9% |
| |||||||
Sealed Air Corp. | 280,117 | 12,538,037 | ||||||
|
| |||||||
Electric Utilities — 3.8% |
| |||||||
Exelon Corp. | 567,262 | 20,461,141 | ||||||
PG&E Corp. | 491,263 | 32,605,125 | ||||||
|
| |||||||
53,066,266 | ||||||||
|
| |||||||
Electrical Equipment — 1.5% |
| |||||||
Eaton Corp. PLC | 264,951 | 20,621,136 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.6% |
| |||||||
Flex Ltd.* | 1,414,309 | 23,067,380 | ||||||
|
| |||||||
Energy Equipment & Services — 1.6% |
| |||||||
Halliburton Co. | 533,296 | 22,777,072 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.5% |
| |||||||
American Tower Corp. | 156,012 | 20,643,508 | ||||||
|
| |||||||
Food & Staples Retailing — 1.6% |
| |||||||
Wal-Mart Stores, Inc. | 306,505 | 23,196,299 | ||||||
|
| |||||||
Food Products — 2.6% |
| |||||||
Conagra Brands, Inc. | 584,369 | 20,897,035 | ||||||
Mondelez International, Inc. (Class A Stock) | 350,309 | 15,129,846 | ||||||
|
| |||||||
36,026,881 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.8% |
| |||||||
Zimmer Biomet Holdings, Inc. | 193,199 | 24,806,752 | ||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Health Care Providers & Services — 3.4% |
| |||||||
Cigna Corp. | 153,466 | $ | 25,688,674 | |||||
Laboratory Corp. of America Holdings* | 148,159 | 22,837,228 | ||||||
|
| |||||||
48,525,902 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.9% |
| |||||||
Carnival Corp. | 280,434 | 18,388,058 | ||||||
Hyatt Hotels Corp. (Class A Stock)* | 357,063 | 20,070,511 | ||||||
McDonald’s Corp. | 108,174 | 16,567,930 | ||||||
|
| |||||||
55,026,499 | ||||||||
|
| |||||||
Household Durables — 1.0% |
| |||||||
Newell Brands, Inc. | 253,689 | 13,602,804 | ||||||
|
| |||||||
Household Products — 2.3% |
| |||||||
Procter & Gamble Co. (The) | 371,795 | 32,401,934 | ||||||
|
| |||||||
Industrial Conglomerates — 1.0% |
| |||||||
General Electric Co. | 503,302 | 13,594,187 | ||||||
|
| |||||||
Insurance — 3.9% |
| |||||||
Chubb Ltd. | 200,066 | 29,085,595 | ||||||
MetLife, Inc. | 481,279 | 26,441,468 | ||||||
|
| |||||||
55,527,063 | ||||||||
|
| |||||||
Internet Software & Services — 2.9% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 22,189 | 20,628,669 | ||||||
eBay, Inc.* | 570,631 | 19,926,435 | ||||||
|
| |||||||
40,555,104 | ||||||||
|
| |||||||
IT Services — 1.0% |
| |||||||
DXC Technology Co. | 185,374 | 14,221,893 | ||||||
|
| |||||||
Media — 4.8% |
| |||||||
Comcast Corp. (Class A Stock) | 800,154 | 31,141,993 | ||||||
Liberty Global PLC (United Kingdom) (Series C)* | 313,949 | 9,788,930 | ||||||
Twenty-First Century Fox, Inc. (Class A Stock) | 493,170 | 13,976,438 | ||||||
Viacom, Inc. (Class B Stock) | 373,233 | 12,529,432 | ||||||
|
| |||||||
67,436,793 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 7.9% |
| |||||||
Anadarko Petroleum Corp. | 215,469 | 9,769,364 | ||||||
Chevron Corp. | 305,403 | 31,862,695 | ||||||
Hess Corp.(a) | 210,415 | 9,230,906 | ||||||
Noble Energy, Inc. | 392,352 | 11,103,562 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR | 557,408 | 29,648,532 | ||||||
Suncor Energy, Inc. (Canada) | 659,542 | 19,258,626 | ||||||
|
| |||||||
110,873,685 | ||||||||
|
| |||||||
Pharmaceuticals — 7.0% |
| |||||||
Allergan PLC | 86,141 | 20,940,015 | ||||||
Eli Lilly & Co. | 253,333 | 20,849,306 | ||||||
Merck & Co., Inc. | 418,775 | 26,839,290 | ||||||
Pfizer, Inc. | 889,466 | 29,877,163 | ||||||
|
| |||||||
98,505,774 | ||||||||
|
| |||||||
Road & Rail — 2.3% |
| |||||||
Ryder System, Inc. | 162,588 | 11,703,084 |
SEE NOTES TO FINANCIAL STATEMENTS.
A183
VALUE PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Road & Rail (continued) |
| |||||||
Union Pacific Corp. | 195,950 | $ | 21,340,915 | |||||
|
| |||||||
33,043,999 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.5% |
| |||||||
Texas Instruments, Inc. | 265,038 | 20,389,373 | ||||||
|
| |||||||
Software — 3.0% |
| |||||||
Microsoft Corp. | 319,666 | 22,034,577 | ||||||
PTC, Inc.* | 369,456 | 20,364,415 | ||||||
|
| |||||||
42,398,992 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.4% |
| |||||||
Apple, Inc. | 132,766 | 19,120,959 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.8% |
| |||||||
Coach, Inc. | 538,330 | 25,484,542 | ||||||
|
| |||||||
Wireless Telecommunication Services — 1.4% |
| |||||||
Vodafone Group PLC (United Kingdom), ADR(a) | 694,993 | 19,967,149 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 1,377,751,271 | ||||||
|
|
SHORT-TERM INVESTMENTS — 3.3% | Shares | Value | ||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w) | 29,938,063 | $ | 29,938,063 | |||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund | 16,573,598 | 16,575,256 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 46,513,319 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 101.2% |
| 1,424,264,590 | ||||||
LIABILITIES IN EXCESS OF |
| (17,140,791 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 1,407,123,799 | |||||
|
|
See the Glossary for abbreviations used in the semiannual report.
* | Non-income producing security. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $16,312,597; cash collateral of $16,554,588 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2—Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund. |
Fair value measurements:
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— | unadjusted 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, 2017 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 54,705,020 | $ | — | $ | — | ||||||
Banks | 216,572,115 | — | — | |||||||||
Biotechnology | 17,400,287 | — | — | |||||||||
Capital Markets | 31,395,078 | — | — | |||||||||
Chemicals | 42,283,850 | — | — | |||||||||
Communications Equipment | 19,865,828 | — | — | |||||||||
Consumer Finance | 48,109,110 | — | — | |||||||||
Containers & Packaging | 12,538,037 | — | — | |||||||||
Electric Utilities | 53,066,266 | — | — | |||||||||
Electrical Equipment | 20,621,136 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 23,067,380 | — | — | |||||||||
Energy Equipment & Services | 22,777,072 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 20,643,508 | — | — | |||||||||
Food & Staples Retailing | 23,196,299 | — | — | |||||||||
Food Products | 36,026,881 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A184
VALUE PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Health Care Equipment & Supplies | $ | 24,806,752 | $ | — | $ | — | ||||||
Health Care Providers & Services | 48,525,902 | — | — | |||||||||
Hotels, Restaurants & Leisure | 55,026,499 | — | — | |||||||||
Household Durables | 13,602,804 | — | — | |||||||||
Household Products | 32,401,934 | — | — | |||||||||
Industrial Conglomerates | 13,594,187 | — | — | |||||||||
Insurance | 55,527,063 | — | — | |||||||||
Internet Software & Services | 40,555,104 | — | — | |||||||||
IT Services | 14,221,893 | — | — | |||||||||
Media | 67,436,793 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 110,873,685 | — | — | |||||||||
Pharmaceuticals | 98,505,774 | — | — | |||||||||
Road & Rail | 33,043,999 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 20,389,373 | — | — | |||||||||
Software | 42,398,992 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 19,120,959 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 25,484,542 | — | — | |||||||||
Wireless Telecommunication Services | 19,967,149 | — | — | |||||||||
Affiliated Mutual Funds | 46,513,319 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,424,264,590 | $ | — | $ | — | ||||||
|
|
|
|
|
|
During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.
Industry classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:
Banks | 15.4 | % | ||
Oil, Gas & Consumable Fuels | 7.9 | |||
Pharmaceuticals | 7.0 | |||
Media | 4.8 | |||
Insurance | 3.9 | |||
Hotels, Restaurants & Leisure | 3.9 | |||
Aerospace & Defense | 3.9 | |||
Electric Utilities | 3.8 | |||
Health Care Providers & Services | 3.4 | |||
Consumer Finance | 3.4 | |||
Affiliated Mutual Funds (including 1.2% of collateral for securities on loan) | 3.3 | |||
Software | 3.0 | |||
Chemicals | 3.0 | |||
Internet Software & Services | 2.9 | |||
Food Products | 2.6 | |||
Road & Rail | 2.3 | |||
Household Products | 2.3 | |||
Capital Markets | 2.2 | |||
Textiles, Apparel & Luxury Goods | 1.8 |
Health Care Equipment & Supplies | 1.8 | % | ||
Food & Staples Retailing | 1.6 | |||
Electronic Equipment, Instruments & Components | 1.6 | |||
Energy Equipment & Services | 1.6 | |||
Equity Real Estate Investment Trusts (REITs) | 1.5 | |||
Electrical Equipment | 1.5 | |||
Semiconductors & Semiconductor Equipment | 1.5 | |||
Wireless Telecommunication Services | 1.4 | |||
Communications Equipment | 1.4 | |||
Technology Hardware, Storage & Peripherals | 1.4 | |||
Biotechnology | 1.2 | |||
IT Services | 1.0 | |||
Household Durables | 1.0 | |||
Industrial Conglomerates | 1.0 | |||
Containers & Packaging | 0.9 | |||
|
| |||
101.2 | ||||
Liabilities in excess of other assets | (1.2 | ) | ||
|
| |||
100.0 | % | |||
|
|
Financial instruments/transactions — summary of offsetting and netting arrangements:
The Portfolio entered into financial instruments/transactions 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 financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received(2) | Net Amount | |||||||||
Securities on Loan | 16,312,597 | $ | (16,312,597 | ) | $ | — |
(1) | Amount represents market value. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A185
VALUE PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES (unaudited)
as of June 30, 2017
ASSETS | ||||
Investments at value, including securities on loan of $16,312,597: | ||||
Unaffiliated investments (cost $999,883,248) | $ | 1,377,751,271 | ||
Affiliated investments (cost $46,514,927) | 46,513,319 | |||
Foreign currency, at value (cost $13,419) | 13,562 | |||
Receivable for investments sold | 2,315,783 | |||
Dividends receivable | 2,226,421 | |||
Tax reclaim receivable | 1,034,729 | |||
Receivable for Series shares sold | 1,909 | |||
Prepaid expenses | 1,448 | |||
|
| |||
Total Assets | 1,429,858,442 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 16,554,588 | |||
Payable for investments purchased | 5,186,691 | |||
Management fee payable | 463,280 | |||
Payable for Series shares repurchased | 397,153 | |||
Accrued expenses and other liabilities | 129,461 | |||
Distribution fee payable | 1,447 | |||
Affiliated transfer agent fee payable | 980 | |||
Administration fee payable | 868 | |||
Deferred trustees’ fees | 175 | |||
|
| |||
Total Liabilities | 22,734,643 | |||
|
| |||
NET ASSETS | $ | 1,407,123,799 | ||
|
| |||
Net assets were comprised of: |
| |||
Paid-in capital | $ | 737,998,031 | ||
Retained earnings | 669,125,768 | |||
|
| |||
Net assets, June 30, 2017 | $ | 1,407,123,799 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share $1,400,132,800 / 48,782,043 outstanding shares of beneficial interest | $ | 28.70 | ||
|
| |||
Class II: | ||||
Net asset value and redemption price per share $6,990,999 / 246,239 outstanding shares of beneficial interest | $ | 28.39 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2017
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $37,415) | $ | 14,487,364 | ||
Affiliated dividend income | 129,511 | |||
Income from securities lending, net (including affiliated income of $6,042) | 54,319 | |||
|
| |||
Total income | 14,671,194 | |||
|
| |||
EXPENSES | ||||
Management fee | 2,794,817 | |||
Distribution fee-Class II | 8,821 | |||
Administration fee-Class II | 5,293 | |||
Custodian and accounting fees | 66,000 | |||
Shareholders’ reports | 56,000 | |||
Audit fee | 12,000 | |||
Trustees’ fees | 11,000 | |||
Legal fees and expenses | 6,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Miscellaneous | 17,094 | |||
|
| |||
Total expenses | 2,983,025 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 11,688,169 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on investment transactions (including affiliated of $6,556) | 45,380,872 | |||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (Including affiliated of ($8,650)) | 24,826,823 | |||
Foreign currencies | 36,848 | |||
|
| |||
24,863,671 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 70,244,543 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 81,932,712 | ||
|
|
STATEMENT OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 11,688,169 | $ | 24,647,608 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 45,380,872 | 9,486,713 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 24,863,671 | 105,544,513 | ||||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 81,932,712 | 139,678,834 | ||||||
|
|
|
| |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold | 2,611,765 | 7,431,635 | ||||||
Series shares repurchased | (59,522,780 | ) | (131,189,476 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (56,911,015 | ) | (123,757,841 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 1,379,448 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 25,021,697 | 17,300,441 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 1,382,102,102 | 1,364,801,661 | ||||||
|
|
|
| |||||
End of period | $ | 1,407,123,799 | $ | 1,382,102,102 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A186
GLOSSARY |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 |
The following abbreviations are used in the preceding Portfolios’ descriptions:
Currency
AUD | Australian Dollar | |
BRL | Brazilian Real | |
EUR | Euro | |
GBP | British Pound | |
HUF | Hungarian Forint | |
ILS | Israeli Shekel | |
JPY | Japanese Yen | |
MXN | Mexican Peso | |
NZD | New Zealand Dollar | |
PLN | Polish Zloty | |
ZAR | South African Rand |
Index
CDX | Credit Derivative Index |
Other
144A | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. | |
ABS | Asset-Backed Security | |
Aces | Alternative Credit Enhancements Securities | |
ADR | American Depositary Receipt | |
BABs | Build America Bonds | |
bps | Basis Points | |
BROIS | Brazil Interbank Offered Rate | |
CDO | Collateralized Debt Obligation | |
CLO | Collateralized Loan Obligation | |
CVA | Certificate Van Aandelen (Bearer) | |
EAFE | Europe, Australasia and Far East | |
ETF | Exchange Traded Fund | |
EMTN | Euro Medium Term Note | |
EONIA | Euro Overnight Index Average | |
EURIBOR | Euro Interbank Offered Rate | |
EUROIS | Euro Overnight Index Swap | |
FHLMC | Federal Home Loan Mortgage Corp. | |
GMTN | Global Medium Term Note | |
GO | General Obligation | |
IO | Interest Only (Principal amount represents notional) | |
L1 | Level 1 | |
L2 | Level 2 | |
L3 | Level 3 | |
LIBOR | London Interbank Offered Rate | |
MSCI | Morgan Stanley Capital International | |
MTN | Medium Term Note | |
OIS | Overnight Index Swap | |
OTC | Over-the-counter | |
PIK | Payment-in-Kind | |
PO | Principal Only | |
PRFC | Preference Shares | |
REIT | Real Estate Investment Trust | |
REMICS | Real Estate Mortgage Investmemt Conduit Security | |
RSP | Non-Voting Shares | |
STRIPS | Separate Trading of Registered Interest and Principle of Securities | |
TBA | To Be Announced | |
TIPS | Treasury Inflation-Protected Securities | |
USAID | United States Agency for International Development | |
USOIS | United Stated Overnight Index Swap |
SEE NOTES TO FINANCIAL STATEMENTS.
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NOTES TO FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
(Unaudited)
1. | General |
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as a diversified open-end management investment company. The Series Fund is composed of seventeen Portfolios (“Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the 13 Portfolios listed below together with their investment objectives.
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.
Government Money Market Portfolio: Maximum current income consistent with the stability of capital and maintenance of liquidity.
High Yield Bond Portfolio: High total return.
Jennison Portfolio: Long-term growth of capital.
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.
2. | Accounting Policies |
The Series Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services-Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolios consistently follow such policies in the preparation of their financial statements.
Securities Valuation: Each Portfolio holds securities and other assets that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or “the Manager”) (formerly known as Prudential Investments LLC). Under the current valuation procedures, the 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 Schedule of Investments.
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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. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies 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 OTC market are generally classified as Level 2 in the fair value hierarchy. Such fixed income securities are typically valued using the market approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach as the primary method to value securities when market prices of identical or comparable instruments are available. The third-party vendors’ valuation techniques used to derive the evaluated bid price are based on 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. Certain Level 3 securities are also valued using the market approach when obtaining a single broker quote or when utilizing recent transaction prices for identical or comparable securities. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.
The Government 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 of the fair value hierarchy.
Bank loans are generally valued at prices provided by approved independent pricing vendors. The pricing vendors utilize broker/dealer quotations and provide prices based on the average of such quotations. Bank loans valued using such vendor prices are generally classified as Level 2 in the fair value hierarchy. Bank loans valued based on a single broker quote or at the original transaction price are classified as Level 3 in the fair value hierarchy.
OTC derivative instruments are generally classified as Level 2 in the fair value hierarchy. Such derivative instruments are typically valued using the market approach and/or income approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach when quoted prices in broker-dealer markets are available but also include consideration of alternative valuation approaches, including the income approach. In the absence of reliable market quotations, the income approach is typically utilized for purposes of valuing OTC derivatives such as interest rate swaps based on a discounted cash flow analysis whereby the value of the instrument is equal to the present value of its future cash inflows or outflows. Such analysis includes projecting future cash flows and determining the discount rate (including the present value factors that affect the discount rate) used to discount the future cash flows. In addition, the third-party vendors’ valuation techniques used to derive the evaluated OTC derivative price is based on evaluating observable inputs, including but not limited to, underlying asset prices, indices, spreads, interest rates and exchange rates. Certain OTC derivatives may be classified as Level 3 when valued using the market approach by obtaining a single broker quote or when utilizing unobservable inputs in the income approach. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.
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Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are generally valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.
Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
Restricted and Illiquid Securities: Subject to guidelines adopted by the Board, each Portfolio may invest up to 15% of its net assets (the Government Money Market Portfolio may invest up to 5%) in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, a Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s Subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of a Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.
Connecticut Avenue Securities (CAS) and Structured Agency Credit Risk (STACR): Certain Portfolios purchased government controlled Fannie Mae and Freddie Mac securities that transfer most of the cost of defaults to private investors including the Portfolios. These are insurance-like products that are called CAS by Fannie Mae and STACR securities by Freddie Mac. Payments on the securities are based primarily on the performance of a reference pool of underlying mortgages. With such securities, the Portfolios could lose some or all of their principal if the underlying mortgages experience credit defaults.
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 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 generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the 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, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.
Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, forward currency contracts, currency gains
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(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 Portfolios’ books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.
Forward Currency Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios, as defined in the prospectus, entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency and to gain exposures to certain currencies. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation or depreciation on investments and foreign currencies. Gain (loss) is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. A Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life.
Cross Currency Exchange Contracts: A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.
Options: Certain Portfolios purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates with respect to securities or financial instruments which the Portfolio currently owns or intends to purchase. Portfolios may also use options to gain additional market exposure. The Portfolio’s principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain (loss) to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain (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 (loss). Gain (loss) on purchased options is included in net realized gain (loss) on investment transactions. Gain (loss) on written options is presented separately as net realized gain (loss) on options written transactions.
The Portfolio, as writer of an option, may have no control over whether the underlying securities or financial instruments may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security or financial instrument underlying the written option. The Portfolio, as purchaser of an OTC 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.
When a Portfolio writes an option on a swap, an amount equal to any premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the written option on the swap. If a call option on a swap is exercised, the Portfolio becomes obligated to pay a fixed interest rate (noted as the strike price) and receive a variable interest rate on a notional amount. If a put option on a swap is exercised, the Portfolio becomes obligated to pay a variable interest rate and receive a fixed interest rate (noted as the strike price) on a notional amount. Premiums received from writing options on swaps that expire or are exercised are treated as realized gains upon the expiration or exercise of such options on swaps. The risk associated with writing put and call options on swaps is that the Portfolio will be obligated to be party to a swap agreement if an option on a swap is exercised.
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
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contract, the Portfolio is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures transactions.
Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolios intend to purchase, against fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates. Should interest rates move unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Since future contracts are exchange-traded, there is minimal counterparty credit risk to the Portfolios since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.
Short Sales: Certain Portfolios may sell a security they do not own in anticipation of a decline in the market value of that security (short sale). When the Portfolio makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the transaction. The Portfolio may have to pay a fee to borrow the particular security and may be obligated to return any interest or dividends received on such borrowed securities. Dividends declared on open short positions are recorded on the ex-date and the interest payable is accrued daily on fixed income securities sold short, both of which are recorded as an expense. A gain, limited to the price at which the Portfolio sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received.
Bank Loans: Each Portfolio may invest in bank loans. Bank loans include fixed and floating rate loans that are privately negotiated between a corporate borrower and one or more financial institutions, including, but not limited to, term loans, revolvers, and other instruments issued in the bank loan market. Each Portfolio may acquire interests in loans directly (by way of assignment from the selling institution) or indirectly (by way of the purchase of a participation interest from the selling institution). Under a bank loan assignment, a Portfolio generally will succeed to all the rights and obligations of an assigning lending institution and becomes a lender under the loan agreement with the relevant borrower in connection with that loan. Under a bank loan participation, the Portfolio generally will have a contractual relationship only with the lender, not with the relevant borrower. As a result, a Portfolio generally will have the right to receive payments of principal, interest, and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the relevant borrower. The Portfolio may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, a Portfolio will assume the credit risk of both the borrower and the institution selling the participation to the Portfolio.
Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is the Portfolio’s policy that its custodian or designated subcustodians under triparty repurchase agreements, as the case may be, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transactions, 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 and the value of the collateral declines or, if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Portfolio may be delayed or limited.
Forward Rate Agreements: Forward rate agreements represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount on a fixed future date. The Portfolios entered into forward rate agreements to gain yield exposure based on anticipated market conditions at the specified termination date of the agreement.
Swap Agreements: Certain Portfolios may enter into credit default, interest rate, total return and other forms of swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered commodities exchange. Swap agreements are valued daily at current market
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value and any change in value is included in the net unrealized appreciation (depreciation) on swap agreements. Centrally cleared swaps pay or receive an amount, known as “variation margin”, based on daily changes in the valuation of the swap contract. Any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received in the Statement of Assets and Liabilities. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.
Interest Rate Swaps: Interest rate swaps represent agreements between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. Certain Portfolios used interest rate swaps to maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments and to increase exposure to prevailing market rates by receiving floating rate payments. 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.
Inflation Swaps: Certain Portfolios entered into inflation swap agreements to protect against fluctuations in inflation rates. Inflation swaps are characterized by one party paying a fixed rate in exchange for a floating rate that is derived from an inflation index, such as the Consumer Price Index or UK Retail Price Index. Inflation swaps subject the Portfolios to interest rate risk.
Credit Default Swaps (“CDS”): 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, and as such, have entered into CDS contracts 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 Portfolio’s maximum risk of loss from counterparty credit risk for purchased CDS 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 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.
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Currency Swaps: Certain Portfolios entered into currency swap agreements primarily to gain yield exposure on foreign bonds. Currency swap agreements involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specified exchange rates.
Total Return Swaps: In a total return swap, one party would receive payments based on the market value of the security or the commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pay a fixed amount. Certain Portfolios are subject to risk exposures associated with the referenced asset in the normal course of pursuing their investment objectives. Certain Portfolios entered into total return swaps to manage their exposure to a security or an index. A Portfolio’s maximum risk of loss from counterparty credit risk is the change in the value of the security, in favor of the Portfolio, from the point of entering into the contract.
Master Netting Arrangements: The Series Fund, on behalf of certain Portfolios, 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. 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. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off, and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
The Series Fund, on behalf of certain Portfolios, is a party to International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian and with respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.
In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in a portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/insolvency of either party. Such OTC derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.
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As of June 30, 2017, 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, forward rate agreements, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by engaging in master netting arrangements.
Warrants and Rights: Certain Portfolios may hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolios until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.
Payment-In-Kind: Certain fixed income Portfolios may invest in the open market or receive pursuant to debt restructuring, securities that pay-in-kind (PIK) the interest due on such debt instruments. The PIK interest, computed at the contractual rate specified, is added to the existing principal balance of the debt when issued bonds have same terms as the bond or recorded as a separate bond when terms are different from the existing debt, and is recorded as interest income.
Delayed-Delivery Transactions: Certain Portfolios may purchase or sell securities on a when-issued or delayed-delivery basis. These transactions involve a commitment by the Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the Portfolio will set aside and maintain an amount of liquid assets sufficient to meet the purchase price in a segregated account until the settlement date. When purchasing a security on a delayed-delivery basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Portfolio may dispose of or renegotiate a delayed-delivery transaction subsequent to establishment, and may sell when-issued securities before they are delivered, which may result in a realized gain (loss). When selling a security on a delayed-delivery basis, the Portfolio forfeits its eligibility to realize future gains (losses) with respect to the security.
Securities Lending: The Portfolios may lend their portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in an affiliated 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 borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed on the Statement of Operations as “Income from securities lending, net”.
Dollar Rolls: Certain Portfolios enter into mortgage dollar rolls in which the Portfolios sell mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously enter into contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolios forgo principal and interest paid on the securities. The Portfolios are compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sale proceeds and the lower repurchase price is recorded as a realized gain on investment transactions. The Portfolios maintain a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls. The Portfolios are subject to the risk that the market value of the securities the Portfolios are obligated to repurchase under the agreement may decline below the repurchase price.
B8
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 the governmental supervision and regulation of foreign securities markets.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual.
For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees which are charged directly to the respective class) and unrealized and realized gains (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.
Equity Real Estate Investment Trusts (REITs): Certain Portfolios invest in Equity REITs, which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from Equity REITs during the period is estimated to be dividend income, capital gain or return of capital and recorded accordingly. When material these estimates are adjusted periodically when the actual source of distributions is disclosed by the Equity REITs.
Concentration of Risk for REITs: Real estate securities are subject to the same risks as direct investments in real estate and mortgages, and their value will depend on the value of the underlying properties or the underlying loans or interests. The underlying loans may be subject to the risks of default or of prepayments that occur earlier or later than expected, and such loans may also include so-called “subprime” mortgages. The value of these securities will rise and fall in response to many factors, including economic conditions, the demand for rental property and interest rates. In particular, the value of these securities may decline when interest rates rise and will also be affected by the real estate market and by the management of the underlying properties.
In addition, investing in REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the REITs, while mortgage REITs may be affected by the quality of any credit extended. REITs are dependent upon management skills, may not be diversified geographically or by property/mortgage asset type, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. REITs may be more volatile and/or more illiquid than other types of equity securities. REITs (especially mortgage REITs) are subject to interest rate risks. REITs may incur significant amounts of leverage. The Portfolio will indirectly bear a portion of the expenses, including management fees, paid by each REIT in which it invests, in addition to the expenses of the Portfolio.
Taxes: For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. Each 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 Portfolios is the responsibility of the Portfolio’s shareholders (Participating Insurance Companies). Each Portfolio is 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 are accrued in accordance with each 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. Each Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Distributions: Distributions, if any, from each Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. The Government 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 those estimates.
B9
3. | Agreements |
The Series Fund has a management agreement with PGIM Investments on behalf of the Portfolios. Pursuant to this agreement, PGIM Investments has responsibility for all investment management services and supervises the subadvisers’ performance of such services. PGIM Investments has entered into subadvisory agreements with PGIM, Inc., which provides subadvisory services to the Portfolios through its PGIM Fixed Income unit (“PFI”), Jennison Associates LLC (“Jennison”), Allianz Global Investors U.S. LLC (“Allianz”), 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. PGIM Investments pays for the services of the Subadvisers, cost of compensation of officers, occupancy and certain clerical and administrative expenses of the Portfolios. The Portfolios bear all other costs and expenses.
The management fee paid to PGIM Investments 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 | 0.73 | * | |||
Government Income Portfolio | 0.40 | 0.40 | ||||
Government Money Market Portfolio | 0.30 | 0.30 | ||||
High Yield Bond Portfolio | 0.55 | 0.55 | ||||
Jennison Portfolio | 0.60 | 0.60 | ||||
Natural Resources Portfolio | 0.45 | 0.44 | ** | |||
Small Capitalization Stock Portfolio | 0.35 | 0.35 | ||||
Stock Index Portfolio | 0.30% up to $4 billion 0.25% over $4 billion | 0.30 | ||||
Value Portfolio | 0.40 | 0.40 |
* | Effective June 1, 2017, PGIM Investments has contractually agreed, through June 30, 2018, to waive a portion of its management fee equal to an annual rate of 0.024% of the average daily net assets of the Portfolio. Prior to June 1, 2017, PGIM Investments had contractually agreed to waive a portion of its management fee equal to an annual rate of 0.022% of the average daily net assets of the Portfolio. |
** | PGIM Investmets has contractually agreed, through June 30, 2018, to waive a portion of its management fee equal to an annual rate of 0.008% of the average daily net assets of the Portfolio. |
At June 30, 2017, the Subadvisers that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadviser is listed, each Subadviser provides services to a segment of the Portfolio:
Portfolio | Subadviser(s) | |
Conservative Balanced Portfolio | PFI, QMA | |
Diversified Bond Portfolio | PFI | |
Equity Portfolio | Jennison | |
Flexible Income Portfolio | PFI, QMA | |
Global Portfolio | Brown, LSV, QMA, T. Rowe & William Blair | |
Government Income Portfolio | PFI | |
Government Money Market Portfolio | PFI | |
High Yield Bond Portfolio. | PFI | |
Jennison Portfolio | Jennison | |
Natural Resources Portfolio | Allianz | |
Small Capitalization Stock Portfolio | QMA | |
Stock Index Portfolio | QMA | |
Value Portfolio | Jennison |
B10
The Series Fund, on behalf of the Portfolios, 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 Portfolios. The Portfolios compensate PIMS for distributing and servicing the Portfolios’ 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 Portfolios. 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 PGIM Investments, which acts as the administrator of the Class II shares of the Portfolios. The administration fee paid to PGIM Investments 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, PGIM Investments, PGIM, Inc., QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
Certain Portfolios have entered into brokerage commission recapture agreements with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included within realized gain (loss) on investment transactions presented in the Statement of Operations. For the six months ended June 30, 2017, brokerage commission recaptured under these agreements was as follows:
Portfolio | Amount | |||
Equity Portfolio | $ | 155,479 | ||
Global Portfolio | 29,618 | |||
Jennison Portfolio | 55,187 | |||
Value Portfolio | 31,786 |
4. | Other Transactions with Affiliates |
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolios. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
The Portfolios may invest their overnight sweep cash in the Prudential Core Ultra Short Bond Fund (the “Core Fund”) and their securities lending cash collateral in the Prudential Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. The Portfolios may also invest in the Prudential Core Short-Term Bond Fund, pursuant to an exemptive order received from Securities Exchange Commission (“SEC”), a series of the Prudential Investment Portfolios 2 (together with Prudential Core Ultra Short Bond Fund, the “Core Funds”), registered under the 1940 Act and managed by PGIM Investments. Earnings from the Core Funds and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
For the reporting period ended June 30, 2017, PGIM, Inc. was compensated by PGIM Investments for managing the Portfolios’ securities lending cash collateral as subadviser to the Money Market Fund:
Portfolio | Amount | |||
Conservative Balanced Portfolio | $ | 25,713 | ||
Diversified Bond Portfolio | 6,859 | |||
Equity Portfolio | 91,919 | |||
Flexible Managed Portfolio | 30,712 | |||
Global Portfolio | 23,177 | |||
Government Income Portfolio | 2,228 | |||
High Yield Bond Portfolio | 184,430 | |||
Jennison Portfolio | 59,536 | |||
Natural Resources Portfolio | 32,012 | |||
Small Capitalization Stock Portfolio | 70,686 | |||
Stock Index Portfolio | 56,371 | |||
Value Portfolio | 10,872 |
B11
In February 2016, Prudential, the parent company of the Investment Manager (PGIM Investments) self reported to the Securities and Exchange Commission (“SEC”) and certain other regulators that, in some cases, it failed to maximize securities lending income for certain Portfolios of the Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Series Fund. The amount of opportunity loss payment to each of the Portfolios is disclosed in the Portfolio’s “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.
In addition to the above, Prudential has paid and continues to directly pay certain legal, audit and other charges in connection with the matter on behalf of the Portfolios.
The SEC Staff and other regulators continue to review the matter.
Certain Portfolios may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board. For the period ended June 30, 2017 no such transactions were entered into by the Portfolios.
The following Portfolios were reimbursed by Prudential for foreign withholding taxes for certain countries due to the Portfolios’ status as partnerships for tax purposes.
Portfolio | 2016 Withholding Tax | 2017 Withholding Tax | ||||||
Conservative Balanced Portfolio | $ | 24,389 | $ | 21,176 | ||||
Equity Portfolio | — | 343,486 | ||||||
Flexible Managed Portfolio | 35,507 | 17,954 | ||||||
Global Portfolio | 99,518 | 65,287 | ||||||
Jennison Portfolio | 19,828 | — |
5. | Portfolio Securities |
The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Treasury securities) for the six months ended June 30, 2017, were as follows:
Cost of Purchases | Proceeds from Sales | |||||||
Conservative Balanced Portfolio | $ | 1,411,699,667 | $ | 1,485,882,101 | ||||
Diversified Bond Portfolio | 189,587,846 | 237,879,243 | ||||||
Equity Portfolio | 1,200,100,488 | 1,265,057,921 | ||||||
Flexible Managed Portfolio | 3,238,043,061 | 3,374,865,523 | ||||||
Global Portfolio | 191,411,532 | 217,237,125 | ||||||
Government Income Portfolio | 707,461,238 | 713,740,781 | ||||||
High Yield Bond Portfolio | 951,840,260 | 934,455,512 | ||||||
Jennison Portfolio | 496,940,403 | 546,354,350 | ||||||
Natural Resources Portfolio | 281,274,190 | 271,453,298 | ||||||
Small Capitalization Stock Portfolio | 82,125,148 | 100,832,954 | ||||||
Stock Index Portfolio | 110,176,892 | 61,583,881 | ||||||
Value Portfolio | 124,683,466 | 167,653,482 |
Options written transactions, during the six months ended June 30, 2017, were as follows:
Conservative Balanced Portfolio | Diversified Bond Portfolio | |||||||||||||||
Notional Amount | Premium | Notional Amount | Premium | |||||||||||||
Balance at beginning of period | — | $ | — | — | $ | — | ||||||||||
Written options | 1,513,000 | 214,719 | 604,212,000 | 1,943,139 | ||||||||||||
Expired options | (337,000 | ) | (48,306 | ) | (96,000 | ) | (114,804 | ) | ||||||||
Closed options | (588,000 | ) | (121,604 | ) | (906,000 | ) | (10,316 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Balance at end of period | 588,000 | $ | 44,809 | 603,210,000 | $ | 1,818,019 | ||||||||||
|
|
|
|
|
|
|
|
B12
Flexible Managed Portfolio | Government Income Portfolio | |||||||||||||||
Notional Amount | Premium | Notional Amount | Premium | |||||||||||||
Balance at beginning of period | — | $ | — | — | $ | — | ||||||||||
Written options | 2,075,000 | 292,669 | 804,000 | 116,531 | ||||||||||||
Expired options. | (457,000 | ) | (65,513 | ) | (123,000 | ) | (18,983 | ) | ||||||||
Closed options | (798,000 | ) | (164,668 | ) | (379,000 | ) | (74,534 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Balance at end of period | 820,000 | $ | 62,488 | 302,000 | $ | 23,014 | ||||||||||
|
|
|
|
|
|
|
|
Natural Resources Portfolio | ||||||||
Notional Amount | Premium | |||||||
Balance at beginning of period | — | $ | — | |||||
Written options | 23,514,100 | 16,325,723 | ||||||
Expired options | (7,791,500 | ) | (5,430,450 | ) | ||||
Closed options | (14,771,500 | ) | (10,009,579 | ) | ||||
|
|
|
| |||||
Balance at end of period | 951,100 | $ | 885,694 | |||||
|
|
|
|
On June 14, 2017, GenOn Energy, Inc. and its subsidiaries filed for bankruptcy under Chapter 11. In connection with the Chapter 11 plan of reorganization (the “GenOn Reorganization Plan”) GenOn Energy, Inc. and its subsidiaries will issue a 144A high yield bond offering for the exit financing of the bankruptcy. As part of the GenOn Reorganization Plan and restructuring of the existing bond, on behalf of the High Yield Bond Portfolio, PGIM, Inc. has agreed to participate in a backstop commitment of $37,199,000 for the new bond offering. Under the commitment agreement, the Portfolio will be obligated to purchase all of the unsubscribed shares of the bond offering. The Portfolio has received a backstop fee of $1,859,950 in conjunction with this commitment. The offering is expected to close by December 31, 2017.
6. | Tax Information |
All Portfolios are treated as partnerships for tax purposes. The character of the cash distributions, if any, made by the partnerships is generally classified as nontaxable return of capital distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.
With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value.
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.
7. | Borrowings |
The Series Fund, on behalf of the Portfolios, (excluding the Government Money Market 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 6, 2016 through October 5, 2017. The Funds pay an annualized commitment fee of .15% of the unused portion of the SCA. Each Portfolios’ portion of the commitment fee for the unused amount, allocated based upon a method approved by the Board, is accrued daily and paid quarterly. The interest on borrowings under the SCA is paid monthly and at a per annum interest rate based upon a contractual spread plus the higher of (1) the effective federal funds rate, (2) the 1-month LIBOR rate or (3) zero percent.
B13
The following Portfolios utilized the SCA during the six months ended June 30, 2017. The average balance outstanding is for the number of days the Portfolios had utilized the credit facility.
Portfolio | Average Balance Outstanding | Weighted Average Interest Rates | Number of Days Outstanding | Maximum Balance Outstanding | Balance Outstanding at June 30, 2017 | |||||||||||||||
Jennison Portfolio | $ | 965,182 | 2.05 | % | 11 | $ | 2,071,000 | — | ||||||||||||
Natural Resources Portfolio | 290,750 | 2.10 | 12 | 430,000 | — |
8. | 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. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. 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, 2017, the Equity, Jennison, Natural Resources and Value Portfolios have Class II shares outstanding.
Transactions in shares of beneficial interest were as follows:
Equity Portfolio:
Class I | Shares | Amount | ||||||
Six months ended June 30, 2017: | ||||||||
Series shares sold | 85,297 | $ | 3,726,379 | |||||
Series shares repurchased | (3,025,770 | ) | (133,037,674 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (2,940,473 | ) | $ | (129,311,295 | ) | |||
|
|
|
| |||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 239,387 | $ | 9,099,174 | |||||
Series shares repurchased | (6,334,813 | ) | (242,961,824 | ) | ||||
Capital contributions | — | 3,314,283 | ||||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (6,095,426 | ) | $ | (230,548,367 | ) | |||
|
|
|
| |||||
Class II | ||||||||
Six months ended June 30, 2017: | ||||||||
Series shares sold | 73 | $ | 3,349 | |||||
Series shares repurchased | (494 | ) | (21,130 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (421 | ) | $ | (17,781 | ) | |||
|
|
|
| |||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 398 | $ | 13,474 | |||||
Series shares repurchased | (8,058 | ) | (314,707 | ) | ||||
Capital contributions | — | 1,696 | ||||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (7,660 | ) | $ | (299,537 | ) | |||
|
|
|
|
B14
Jennison Portfolio:
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2017: | ||||||||
Series shares sold | 123,228 | $ | 6,272,369 | |||||
Series shares repurchased | (1,238,863 | ) | (61,983,745 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (1,115,635 | ) | $ | (55,711,376 | ) | |||
|
|
|
| |||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 320,728 | $ | 13,823,861 | |||||
Series shares repurchased | (2,968,599 | ) | (129,617,008 | ) | ||||
Capital contributions | — | 1,495,392 | ||||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (2,647,871 | ) | $ | (114,297,755 | ) | |||
|
|
|
| |||||
Class II: | ||||||||
Six months ended June 30, 2017: | ||||||||
Series shares sold | 70,898 | $ | 3,435,822 | |||||
Series shares repurchased | (103,216 | ) | (4,948,710 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (32,318 | ) | $ | (1,512,888 | ) | |||
|
|
|
| |||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 252,683 | $ | 10,518,890 | |||||
Series shares repurchased | (675,625 | ) | (28,548,906 | ) | ||||
Capital contributions | — | 50,765 | ||||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (422,942 | ) | $ | (17,979,251 | ) | |||
|
|
|
|
Natural Resources Portfolio:
Class I: | ||||||||
Six months ended June 30, 2017: | ||||||||
Series shares sold | 79,306 | $ | 2,060,435 | |||||
Series shares repurchased | (815,917 | ) | (20,640,300 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (736,611 | ) | $ | (18,579,865 | ) | |||
|
|
|
| |||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 496,242 | $ | 11,530,112 | |||||
Series shares repurchased | (1,542,070 | ) | (35,899,134 | ) | ||||
Capital contributions | — | 433,706 | ||||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (1,045,828 | ) | $ | (23,935,316 | ) | |||
|
|
|
| |||||
Class II: | ||||||||
Six months ended June 30, 2017: | ||||||||
Series shares sold | 1,030,397 | $ | 24,919,794 | |||||
Series shares repurchased | (378,811 | ) | (9,454,456 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | 651,586 | $ | 15,465,338 | |||||
|
|
|
| |||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 1,051,306 | $ | 23,568,693 | |||||
Series shares repurchased | (884,453 | ) | (20,815,011 | ) | ||||
Capital contributions | — | 46,825 | ||||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | 166,853 | $ | 2,800,507 | |||||
|
|
|
|
B15
Value Portfolio:
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2017: | ||||||||
Series shares sold | 90,095 | $ | 2,543,868 | |||||
Series shares repurchased | (2,095,674 | ) | (59,050,948 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (2,005,579 | ) | $ | (56,507,080 | ) | |||
|
|
|
| |||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 298,345 | $ | 7,100,125 | |||||
Series shares repurchased | (5,255,263 | ) | (127,500,306 | ) | ||||
Capital contributions | — | 1,372,480 | ||||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (4,956,918 | ) | $ | (119,027,701 | ) | |||
|
|
|
| |||||
Class II: | ||||||||
Six months ended June 30, 2017: | ||||||||
Series shares sold | 2,425 | $ | 67,897 | |||||
Series shares repurchased | (16,851 | ) | (471,832 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (14,426 | ) | $ | (403,935 | ) | |||
|
|
|
| |||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 14,253 | $ | 331,510 | |||||
Series shares repurchased | (154,480 | ) | (3,689,170 | ) | ||||
Capital contributions | — | 6,968 | ||||||
|
|
|
| |||||
Net increase (decrease) in shares outstanding | (140,227 | ) | $ | (3,350,692 | ) | |||
|
|
|
|
9. | Ownership & Affiliates |
As of June 30, 2017, 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.
In addition, one unaffiliated shareholder of record of Natural Resources Portfolio, Class II shares, held 9% of the Portfolio’s aggregate outstanding shares.
10. | Purchase In-Kind |
As of the close of business on April 28, 2017, the Government Money Market Portfolio issued shares in exchange for portfolio securities, accrued interest and cash in a tax-free exchange with an affiliate. The value of the tax-free exchange was $23,004,509, which includes a cash portion of $9,096,772. Shares issued in this transaction were 2,300,450.
11. | Recent Accounting Pronouncements and Reporting Updates |
On October 13, 2016, the SEC adopted new rules and forms and amended existing rules and forms which are intended to modernize and enhance the reporting and disclosure of information by registered investment companies and to improve the quality of information that funds provide to investors, including modifications to Regulation S-X which would require standardized, enhanced disclosure about derivatives in investment company financial statements. The compliance dates of the modifications to Regulation S-X are August 1, 2017 and other amendments and rules are generally June 1, 2018 and December 1, 2018. Management is currently evaluating the impacts to the financial statement disclosures.
B16
Financial Highlights
(unaudited)
Conservative Balanced Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2017(a) | Year Ended December 31, | |||||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 24.18 | $ | 22.54 | $ | 22.45 | $ | 20.63 | $ | 17.77 | $ | 16.32 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .22 | .42 | .39 | .36 | .35 | .38 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.19 | 1.20 | (.30 | ) | 1.46 | 2.51 | 1.43 | |||||||||||||||||
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| |||||||||||||
Total from investment operations | 1.41 | 1.62 | .09 | 1.82 | 2.86 | 1.81 | ||||||||||||||||||
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| |||||||||||||
Less Distributions: | — | — | — | — | — | (.36 | ) | |||||||||||||||||
Capital Contributions(f) | — | .02 | — | — | — | — | ||||||||||||||||||
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| |||||||||||||
Net Asset Value, end of period | $ | 25.59 | $ | 24.18 | $ | 22.54 | $ | 22.45 | $ | 20.63 | $ | 17.77 | ||||||||||||
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| |||||||||||||
Total Return(b) | 5.83 | % | 7.28 | %(g) | .40 | % | 8.82 | % | 16.09 | % | 11.23 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 2,523.8 | $ | 2,473.2 | $ | 2,554.3 | $ | 2,574.4 | $ | 2,504.4 | $ | 2,287.0 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .58 | %(i) | .58 | % | .58 | % | .58 | % | .58 | % | .58 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .58 | %(i) | .58 | % | .58 | % | .58 | % | .58 | % | .58 | % | ||||||||||||
Net investment income (loss) | 1.74 | %(i) | 1.79 | % | 1.70 | % | 1.66 | % | 1.84 | % | 2.11 | % | ||||||||||||
Portfolio turnover rate(d) | 75 | %(j) | 185 | % | 208 | % | 134 | % | 196 | % | 188 | % | ||||||||||||
Diversified Bond Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2017(a) | Year Ended December 31, | |||||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013 | 2012(a) | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 12.28 | $ | 11.64 | $ | 11.66 | $ | 11.01 | $ | 11.88 | $ | 11.74 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .21 | .43 | .41 | .43 | .48 | .54 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | .33 | .21 | (.43 | ) | .34 | (.56 | ) | .66 | ||||||||||||||||
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Total from investment operations | .54 | .64 | (.02 | ) | .77 | (.08 | ) | 1.20 | ||||||||||||||||
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Less Distributions: | — | — | — | (.12 | ) | (.79 | ) | (1.06 | ) | |||||||||||||||
Capital Contributions(f) | — | — | (e) | — | — | — | — | |||||||||||||||||
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| �� |
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Net Asset Value, end of period | $ | 12.82 | $ | 12.28 | $ | 11.64 | $ | 11.66 | $ | 11.01 | $ | 11.88 | ||||||||||||
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Total Return(b) | 4.40 | % | 5.50 | %(h) | (.17 | )% | 7.09 | % | (.71 | )% | 10.68 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1,135.0 | $ | 1,104.6 | $ | 1,084.9 | $ | 1,067.9 | $ | 1,197.5 | $ | 1,305.9 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .44 | %(i) | .44 | % | .46 | % | .44 | % | .44 | % | .44 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .44 | %(i) | .44 | % | .46 | % | .44 | % | .44 | % | .44 | % | ||||||||||||
Net investment income (loss) | 3.30 | %(i) | 3.52 | % | 3.48 | % | 3.73 | % | 4.10 | % | 4.57 | % | ||||||||||||
Portfolio turnover rate | 31 | %(j) | 49 | % | 81 | % | 50 | % | 111 | % | 144 | % |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(d) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover. |
(e) | Less than $.005 per share. |
(f) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(g) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 7.19%. |
(h) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
(i) | Annualized. |
(j) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Financial Highlights
(unaudited)
Equity Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2017(c) | Year Ended December 31, | |||||||||||||||||||||||
2016(c) | 2015(c) | 2014(c) | 2013 | 2012(c) | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 40.96 | $ | 39.47 | $ | 38.56 | $ | 35.81 | $ | 26.81 | $ | 23.73 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .19 | .38 | .34 | .19 | .27 | .27 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 4.49 | 1.07 | .57 | 2.56 | 8.73 | 2.96 | ||||||||||||||||||
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Total from investment operations | 4.68 | 1.45 | .91 | 2.75 | 9.00 | 3.23 | ||||||||||||||||||
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Less Distributions: | — | — | — | — | — | (.15 | ) | |||||||||||||||||
Capital Contributions(d) | — | .04 | — | — | — | — | ||||||||||||||||||
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Net Asset Value, end of period | $ | 45.64 | $ | 40.96 | $ | 39.47 | $ | 38.56 | $ | 35.81 | $ | 26.81 | ||||||||||||
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Total Return(a) | 11.43 | % | 3.78 | %(e) | 2.36 | % | 7.68 | % | 33.57 | % | 13.69 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 4,035.2 | $ | 3,741.7 | $ | 3,846.2 | $ | 4,017.6 | $ | 3,970.9 | $ | 3,167.0 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .47 | %(f) | .47 | % | .47 | % | .47 | % | .47 | % | .47 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .47 | %(f) | .47 | % | .47 | % | .47 | % | .47 | % | .47 | % | ||||||||||||
Net investment income (loss) | .89 | %(f) | 1.01 | % | .86 | % | .52 | % | .86 | % | 1.04 | % | ||||||||||||
Portfolio turnover rate | 31 | %(g) | 39 | % | 37 | % | 51 | % | 45 | % | 48 | % | ||||||||||||
Equity Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2017(c) | Year Ended December 31, | |||||||||||||||||||||||
2016(c) | 2015(c) | 2014(c) | 2013 | 2012(c) | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 40.74 | $ | 39.42 | $ | 38.66 | $ | 36.05 | $ | 27.10 | $ | 23.99 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .11 | .23 | .18 | .04 | .13 | .17 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 4.46 | 1.05 | .58 | 2.57 | 8.82 | 3.00 | ||||||||||||||||||
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Total from investment operations | 4.57 | 1.28 | .76 | 2.61 | 8.95 | 3.17 | ||||||||||||||||||
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Less Distributions: | — | — | — | — | — | (.06 | ) | |||||||||||||||||
Capital Contributions(d) | — | .04 | — | — | — | — | ||||||||||||||||||
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Net Asset Value, end of period | $ | 45.31 | $ | 40.74 | $ | 39.42 | $ | 38.66 | $ | 36.05 | $ | 27.10 | ||||||||||||
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Total Return(a) | 11.22 | % | 3.35 | %(e) | 1.97 | % | 7.24 | % | 33.03 | % | 13.23 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1.9 | $ | 1.7 | $ | 2.0 | $ | 2.2 | $ | 2.3 | $ | 1.8 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .87 | %(f) | .87 | % | .87 | % | .87 | % | .87 | % | .87 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .87 | %(f) | .87 | % | .87 | % | .87 | % | .87 | % | .87 | % | ||||||||||||
Net investment income (loss) | .50 | %(f) | .61 | % | .46 | % | .11 | % | .47 | % | .63 | % | ||||||||||||
Portfolio turnover rate | 31 | %(g) | 39 | % | 37 | % | 51 | % | 45 | % | 48 | % |
(a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods 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) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(e) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return for Class I and Class II would have been 3.68% and 3.25%, respectively. |
(f) | Annualized. |
(g) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
(unaudited)
Flexible Managed Portfolio | ||||||||||||||||||||||||
For Six Months Ended June 30, 2017(a) | Year Ended December 31, | |||||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 25.99 | $ | 23.95 | $ | 23.71 | $ | 21.35 | $ | 17.77 | $ | 15.99 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .22 | .44 | .42 | .37 | .36 | .37 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.32 | 1.58 | (.18 | ) | 1.99 | 3.22 | 1.74 | |||||||||||||||||
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Total from investment operations | 1.54 | 2.02 | .24 | 2.36 | 3.58 | 2.11 | ||||||||||||||||||
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Less Distributions: | — | — | — | — | — | (.33 | ) | |||||||||||||||||
Capital Contributions(e) | — | .02 | — | — | — | — | ||||||||||||||||||
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Net Asset Value, end of period | $ | 27.53 | $ | 25.99 | $ | 23.95 | $ | 23.71 | $ | 21.35 | $ | 17.77 | ||||||||||||
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Total Return(b) | 5.93 | % | 8.52 | %(f) | 1.01 | % | 11.05 | % | 20.15 | % | 13.37 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 4,004.0 | $ | 3,889.8 | $ | 3,768.8 | $ | 3,943.8 | $ | 3,730.6 | $ | 3,265.8 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .62 | %(h) | .63 | % | .63 | % | .63 | % | .63 | % | .63 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .62 | %(h) | .63 | % | .63 | % | .63 | % | .63 | % | .63 | % | ||||||||||||
Net investment income (loss) | 1.63 | %(h) | 1.78 | % | 1.74 | % | 1.66 | % | 1.86 | % | 2.05 | % | ||||||||||||
Portfolio turnover rate(d) | 99 | %(i) | 203 | % | 213 | % | 161 | % | 210 | % | 214 | % | ||||||||||||
Global Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2017(a) | Year Ended December 31, | |||||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013 | 2012 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 27.50 | $ | 26.33 | $ | 25.72 | $ | 24.91 | $ | 19.57 | $ | 16.94 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .29 | .34 | .34 | .37 | .31 | .36 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.15 | .81 | .27 | .44 | 5.03 | 2.57 | ||||||||||||||||||
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Total from investment operations | 3.44 | 1.15 | .61 | .81 | 5.34 | 2.93 | ||||||||||||||||||
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Less Distributions: | — | — | — | — | — | (.30 | ) | |||||||||||||||||
Capital Contributions(e) | — | .02 | — | — | — | — | ||||||||||||||||||
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Net Asset Value, end of period | $ | 30.94 | $ | 27.50 | $ | 26.33 | $ | 25.72 | $ | 24.91 | $ | 19.57 | ||||||||||||
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Total Return(b) | 12.51 | % | 4.44 | %(g) | 2.37 | % | 3.25 | % | 27.29 | % | 17.52 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1,049.0 | $ | 955.4 | $ | 965.3 | $ | 719.2 | $ | 744.5 | $ | 611.2 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursements | .79 | %(h) | .80 | % | .81 | % | .81 | % | .84 | % | .84 | % | ||||||||||||
Expenses before waivers and/or expense reimbursements | .81 | %(h) | .81 | % | .82 | % | .82 | % | .84 | % | .84 | % | ||||||||||||
Net investment income (loss) | 1.95 | %(h) | 1.29 | % | 1.28 | % | 1.45 | % | 1.29 | % | 1.82 | % | ||||||||||||
Portfolio turnover rate | 20 | %(i) | 40 | % | 33 | % | 37 | % | 70 | % | 57 | % |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(d) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(e) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(f) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 8.44%. |
(g) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 4.36%. |
(h) | Annualized. |
(i) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C3
Financial Highlights
(unaudited)
Government Income Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2017(d) | Year Ended December 31, | |||||||||||||||||||||||
2016(d) | 2015(d) | 2014 | 2013 | 2012 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 12.26 | $ | 12.00 | $ | 11.92 | $ | 11.30 | $ | 12.15 | $ | 12.37 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .11 | .20 | .18 | .21 | .21 | .25 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | .15 | .06 | (.10 | ) | .45 | (.49 | ) | .19 | ||||||||||||||||
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| |||||||||||||
Total from investment operations | .26 | .26 | .08 | .66 | (.28 | ) | .44 | |||||||||||||||||
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Less Distributions: | — | — | — | (.04 | ) | (.57 | ) | (.66 | ) | |||||||||||||||
Capital Contributions(e) | — | — | (f) | — | — | — | — | |||||||||||||||||
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Net Asset Value, end of period | $ | 12.52 | $ | 12.26 | $ | 12.00 | $ | 11.92 | $ | 11.30 | $ | 12.15 | ||||||||||||
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Total Return(a) | 2.12 | % | 2.17 | %(h) | .67 | % | 5.86 | % | (2.34 | )% | 3.63 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 254.9 | $ | 226.3 | $ | 231.8 | $ | 339.2 | $ | 341.1 | $ | 382.9 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursements | .50 | %(i) | .51 | % | .48 | % | .47 | % | .49 | % | .48 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .50 | %(i) | .51 | % | .48 | % | �� | .47 | % | .49 | % | .48 | % | |||||||||||
Net investment income (loss) | 1.78 | %(i) | 1.60 | % | 1.48 | % | 1.73 | % | 1.78 | % | 1.96 | % | ||||||||||||
Portfolio turnover rate(c) | 294 | %(j) | 705 | % | 746 | % | 830 | % | 1135 | % | 1154 | % | ||||||||||||
Government Money Market Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2017(d) | Year Ended December 31, | |||||||||||||||||||||||
2016(d) | 2015(d) | 2014 | 2013 | 2012 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||||||||
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Income From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) and realized gains (losses) | .02 | .01 | — | (f) | — | (f) | — | (f) | — | (f) | ||||||||||||||
Distributions | (.02 | ) | (.01 | ) | — | (f) | — | (f) | — | (f) | — | (f) | ||||||||||||
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Net Asset Value, end of period | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||||||||
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Total Return(a) | .18 | % | .10 | % | — | %(g) | — | %(g) | — | %(g) | .01 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 707.4 | $ | 724.2 | $ | 650.8 | $ | 823.6 | $ | 866.0 | $ | 903.5 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .34 | %(i) | .35 | % | .19 | % | .16 | % | .17 | % | .21 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .34 | %(i) | .35 | % | .44 | % | .44 | % | .44 | % | .44 | % | ||||||||||||
Net investment income (loss) | .37 | %(i) | .09 | % | .00 | % | .00 | %(g) | .00 | %(g) | .01 | % |
(a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(d) | Calculated based on average shares outstanding during the period. |
(e) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(f) | Less than $.005 per share. |
(g) | Less than .005%. |
(h) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
(i) | Annualized. |
(j) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
Financial Highlights
(unaudited)
High Yield Bond Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2017(d) | Year Ended December 31, | |||||||||||||||||||||||
2016(d) | 2015(d) | 2014 | 2013 | 2012 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 5.10 | $ | 4.68 | $ | 5.11 | $ | 5.29 | $ | 5.26 | $ | 4.93 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .16 | .32 | .31 | .32 | .34 | .35 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | .10 | .42 | (.42 | ) | (.18 | ) | .03 | .34 | ||||||||||||||||
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Total from investment operations | .26 | .74 | (.11 | ) | .14 | .37 | .69 | |||||||||||||||||
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Less Distributions: | (.16 | ) | (.32 | ) | (.32 | ) | (.32 | ) | (.34 | ) | (.36 | ) | ||||||||||||
Capital Contributions(e) | — | — | (f) | — | — | — | — | |||||||||||||||||
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Net Asset Value, end of period | $ | 5.20 | $ | 5.10 | $ | 4.68 | $ | 5.11 | $ | 5.29 | $ | 5.26 | ||||||||||||
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Total Return(a) | 5.23 | % | 16.24 | %(g) | (2.45 | )% | 2.71 | % | 7.26 | % | 14.43 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 3,698.8 | $ | 3,567.6 | $ | 3,159.5 | $ | 3,245.9 | $ | 3,020.5 | $ | 2,841.8 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .57 | %(h) | .57 | % | .57 | % | .57 | % | .57 | % | .57 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .57 | %(h) | .57 | % | .57 | % | .57 | % | .57 | % | .57 | % | ||||||||||||
Net investment income (loss) | 6.37 | %(h) | 6.61 | % | 6.21 | % | 5.95 | % | 6.34 | % | 6.95 | % | ||||||||||||
Portfolio turnover rate(c) | 27 | %(i) | 39 | % | 46 | % | 48 | % | 54 | % | 53 | % |
(a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(d) | Calculated based upon average shares outstanding during the period. |
(e) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(f) | Less than $.005 per share. |
(g) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
(h) | Annualized. |
(i) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C5
Financial Highlights
(unaudited)
Jennison Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2017(a) | Year Ended December 31, | |||||||||||||||||||||||
2016(a) | 2015(a) | 2014 | 2013(a) | 2012(a) | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 45.13 | $ | 45.54 | $ | 40.85 | $ | 37.15 | $ | 26.98 | $ | 23.26 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .09 | .10 | .06 | .06 | .06 | .11 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 7.84 | (.55 | ) | 4.63 | 3.64 | 10.11 | 3.65 | |||||||||||||||||
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Total from investment operations | 7.93 | (.45 | ) | 4.69 | 3.70 | 10.17 | 3.76 | |||||||||||||||||
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Less Distributions: | — | — | — | — | — | (.04 | ) | |||||||||||||||||
Capital Contributions(e) | — | .04 | — | — | — | — | ||||||||||||||||||
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Net Asset Value, end of period | $ | 53.06 | $ | 45.13 | $ | 45.54 | $ | 40.85 | $ | 37.15 | $ | 26.98 | ||||||||||||
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Total Return(b) | 17.57 | % | (.90 | )%(f) | 11.48 | % | 9.96 | % | 37.69 | % | 16.18 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1,728.0 | $ | 1,520.3 | $ | 1,654.7 | $ | 1,580.0 | $ | 1,551.9 | $ | 1,213.3 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .63 | %(g) | .63 | % | .63 | % | .63 | % | .63 | % | .63 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .63 | %(g) | .63 | % | .63 | % | .63 | % | .63 | % | .63 | % | ||||||||||||
Net investment income (loss) | .38 | %(g) | .23 | % | .14 | % | .15 | % | .18 | % | .42 | % | ||||||||||||
Portfolio turnover rate | 29 | %(h) | 35 | % | 31 | % | 34 | % | 40 | % | 45 | % | ||||||||||||
Jennison Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2017(a) | Year Ended December 31, | |||||||||||||||||||||||
2016(a) | 2015(a) | 2014 | 2013(a) | 2012(a) | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 43.62 | $ | 44.19 | $ | 39.80 | $ | 36.33 | $ | 26.49 | $ | 22.89 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | (.01 | ) | (.07 | ) | (.11 | ) | (.10 | ) | (.07 | ) | — | (d) | ||||||||||||
Net realized and unrealized gain (loss) on investments | 7.57 | (.54 | ) | 4.50 | 3.57 | 9.91 | 3.60 | |||||||||||||||||
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Total from investment operations | 7.56 | (.61 | ) | 4.39 | 3.47 | 9.84 | 3.60 | |||||||||||||||||
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Capital Contributions(e) | — | .04 | — | — | — | — | ||||||||||||||||||
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Net Asset Value, end of period | $ | 51.18 | $ | 43.62 | $ | 44.19 | $ | 39.80 | $ | 36.33 | $ | 26.49 | ||||||||||||
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Total Return(b) | 17.33 | % | (1.29 | )%(f) | 11.03 | % | 9.55 | % | 37.15 | % | 15.73 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 46.7 | $ | 41.2 | $ | 60.4 | $ | 43.7 | $ | 40.3 | $ | 33.6 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.03 | %(g) | 1.03 | % | 1.03 | % | 1.03 | % | 1.03 | % | 1.03 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.03 | %(g) | 1.03 | % | 1.03 | % | 1.03 | % | 1.03 | % | 1.03 | % | ||||||||||||
Net investment income (loss) | (.02 | )%(g) | (.17 | )% | (.26 | )% | (.25 | )% | (.22 | )% | .02 | % | ||||||||||||
Portfolio turnover rate | 29 | %(h) | 35 | % | 31 | % | 34 | % | 40 | % | 45 | % |
(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, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(d) | Less than $.005 per share. |
(e) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(f) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return for Class I and Class II would have been (.99)% and (1.38)%, respectively. |
(g) | Annualized. |
(h) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C6
Financial Highlights
(unaudited)
Natural Resources Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2017(a) | Year Ended December 31, | |||||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 26.89 | $ | 21.45 | $ | 29.87 | $ | 37.29 | $ | 33.83 | $ | 38.25 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .20 | .26 | .29 | .23 | .20 | .25 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (3.93 | ) | 5.15 | (8.71 | ) | (7.65 | ) | 3.26 | (1.49 | ) | ||||||||||||||
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Total from investment operations | (3.73 | ) | 5.41 | (8.42 | ) | (7.42 | ) | 3.46 | (1.24 | ) | ||||||||||||||
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Less Distributions: | — | — | — | — | — | (3.18 | ) | |||||||||||||||||
Capital Contributions(d) | — | .03 | — | — | — | — | ||||||||||||||||||
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Net Asset Value, end of period | $ | 23.16 | $ | 26.89 | $ | 21.45 | $ | 29.87 | $ | 37.29 | $ | 33.83 | ||||||||||||
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Total Return(b) | (13.87 | )% | 25.36 | %(e) | (28.19 | )% | (19.90 | )% | 10.23 | % | (2.47 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 375.9 | $ | 456.1 | $ | 386.3 | $ | 589.0 | $ | 792.1 | $ | 802.2 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .51 | %(f) | .56 | % | .48 | % | .45 | % | .48 | % | .50 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .52 | %(f) | .57 | % | .51 | % | .50 | % | .51 | % | .50 | % | ||||||||||||
Net investment income (loss) | 1.60 | %(f) | 1.08 | % | 1.06 | % | .59 | % | .55 | % | .71 | % | ||||||||||||
Portfolio turnover rate | 59 | %(g) | 140 | % | 29 | % | 24 | % | 22 | % | 26 | % | ||||||||||||
Natural Resources Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2017(a) | Year Ended December 31, | |||||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 26.20 | $ | 20.99 | $ | 29.35 | $ | 36.78 | $ | 33.50 | $ | 37.89 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .15 | .15 | .18 | .07 | .05 | .12 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (3.82 | ) | 5.03 | (8.54 | ) | (7.50 | ) | 3.23 | (1.51 | ) | ||||||||||||||
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Total from investment operations | (3.67 | ) | 5.18 | (8.36 | ) | (7.43 | ) | 3.28 | (1.39 | ) | ||||||||||||||
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Less Distributions: | — | — | — | — | — | (3.00 | ) | |||||||||||||||||
Capital Contributions(d) | — | .03 | — | — | — | — | ||||||||||||||||||
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Net Asset Value, end of period | $ | 22.53 | $ | 26.20 | $ | 20.99 | $ | 29.35 | $ | 36.78 | $ | 33.50 | ||||||||||||
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Total Return(b) | (14.01 | )% | 24.82 | %(e) | (28.48 | )% | (20.20 | )% | 9.79 | % | (2.94 | )% | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 50.8 | $ | 42.0 | $ | 30.1 | $ | 43.5 | $ | 54.1 | $ | 61.2 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .91 | %(f) | .96 | % | .88 | % | .85 | % | .88 | % | .90 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .92 | %(f) | .97 | % | .91 | % | .90 | % | .91 | % | .90 | % | ||||||||||||
Net investment income (loss) | 1.22 | %(f) | .64 | % | .66 | % | .19 | % | .15 | % | .31 | % | ||||||||||||
Portfolio turnover rate | 59 | %(g) | 140 | % | 29 | % | 24 | % | 22 | % | 26 | % |
(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, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(d) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(e) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return for Class I and Class II would have been 25.22% and 24.68%, respectively. |
(f) | Annualized. |
(g) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C7
Financial Highlights
(unaudited)
Small Capitalization Stock Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2017(c) | Year Ended December 31, | |||||||||||||||||||||||
2016(c) | 2015(c) | 2014(c) | 2013 | 2012 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 34.08 | $ | 26.94 | $ | 27.57 | $ | 26.16 | $ | 18.56 | $ | 17.00 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .18 | .35 | .30 | .25 | .22 | .26 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | .74 | 6.72 | (.93 | ) | 1.16 | 7.38 | 2.35 | |||||||||||||||||
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Total from investment operations | .92 | 7.07 | (.63 | ) | 1.41 | 7.60 | 2.61 | |||||||||||||||||
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Less Distributions: | — | — | — | — | — | (1.05 | ) | |||||||||||||||||
Capital Contributions(d) | — | .07 | — | — | — | — | ||||||||||||||||||
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Net Asset Value, end of period | $ | 35.00 | $ | 34.08 | $ | 26.94 | $ | 27.57 | $ | 26.16 | $ | 18.56 | ||||||||||||
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Total Return(a) | 2.70 | % | 26.50 | %(e) | (2.29 | )% | 5.39 | % | 40.95 | % | 16.03 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 807.1 | $ | 810.9 | $ | 682.4 | $ | 750.9 | $ | 770.1 | $ | 578.4 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .39 | %(g) | .40 | % | .40 | % | .40 | % | .42 | % | .46 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .39 | %(g) | .42 | % | .45 | % | .45 | % | .45 | % | .46 | % | ||||||||||||
Net investment income (loss) | 1.08 | %(g) | 1.21 | % | 1.06 | % | .96 | % | .92 | % | 1.43 | % | ||||||||||||
Portfolio turnover rate | 10 | %(h) | 20 | % | 16 | % | 15 | % | 14 | % | 10 | % | ||||||||||||
Stock Index Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2017(c) | Year Ended December 31, | |||||||||||||||||||||||
2016(c) | 2015(c) | 2014(c) | 2013(c) | 2012 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 50.70 | $ | 48.59 | $ | 49.33 | $ | 47.02 | $ | 35.65 | $ | 31.47 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .45 | .89 | .86 | .79 | .73 | .68 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 4.22 | 4.52 | (.26 | ) | 5.20 | 10.64 | 4.19 | |||||||||||||||||
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Total from investment operations | 4.67 | 5.41 | .60 | 5.99 | 11.37 | 4.87 | ||||||||||||||||||
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Less Distributions: | (1.99 | ) | (3.37 | ) | (1.34 | ) | (3.68 | ) | — | (.69 | ) | |||||||||||||
Capital Contributions(d) | — | .07 | — | — | — | — | ||||||||||||||||||
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Net Asset Value, end of period | $ | 53.38 | $ | 50.70 | $ | 48.59 | $ | 49.33 | $ | 47.02 | $ | 35.65 | ||||||||||||
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Total Return(a) | 9.19 | % | 11.83 | %(f) | 1.18 | % | 13.31 | % | 31.89 | % | 15.68 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 3,606.1 | $ | 3,305.1 | $ | 3,010.1 | $ | 3,312.7 | $ | 2,890.5 | $ | 2,340.3 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .32 | %(g) | .32 | % | .32 | % | .32 | % | .32 | % | .32 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .32 | %(g) | .34 | % | .37 | % | .37 | % | .37 | % | .37 | % | ||||||||||||
Net investment income (loss) | 1.68 | %(g) | 1.84 | % | 1.74 | % | 1.67 | % | 1.77 | % | 1.97 | % | ||||||||||||
Portfolio turnover rate | 2 | %(h) | 5 | % | 9 | % | 5 | % | 3 | % | 2 | % |
(a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | Calculated based on average shares outstanding during the period. |
(d) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(e) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 26.24%. |
(f) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 11.69%. |
(g) | Annualized. |
(h) | Not annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C8
Financial Highlights
(unaudited)
Value Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2017 (a) | Year Ended December 31, | |||||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013 | 2012 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 27.08 | $ | 24.31 | $ | 26.48 | $ | 24.05 | $ | 18.07 | $ | 15.93 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .23 | .46 | .39 | .29 | .22 | .22 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.39 | 2.28 | (2.56 | ) | 2.14 | 5.76 | 2.09 | |||||||||||||||||
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Total from investment operations | 1.62 | 2.74 | (2.17 | ) | 2.43 | 5.98 | 2.31 | |||||||||||||||||
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Less Distributions: | — | — | — | — | — | (.17 | ) | |||||||||||||||||
Capital Contributions(d) | — | .03 | — | — | — | — | ||||||||||||||||||
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Net Asset Value, end of period | $ | 28.70 | $ | 27.08 | $ | 24.31 | $ | 26.48 | $ | 24.05 | $ | 18.07 | ||||||||||||
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Total Return(b) | 5.98 | % | 11.39 | %(e) | (8.19 | )% | 10.10 | % | 33.09 | % | 14.62 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1,400.1 | $ | 1,375.1 | $ | 1,355.1 | $ | 1,592.6 | $ | 1,568.7 | $ | 1,263.3 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .42 | %(f) | .42 | % | .43 | % | .40 | % | .40 | % | .43 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .42 | %(f) | .42 | % | .43 | % | .42 | % | .43 | % | .43 | % | ||||||||||||
Net investment income (loss) | 1.67 | %(f) | 1.90 | % | 1.52 | % | 1.13 | % | 1.06 | % | 1.36 | % | ||||||||||||
Portfolio turnover rate | 9 | %(g) | 24 | % | 32 | % | 37 | % | 41 | % | 28 | % | ||||||||||||
Value Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2017 (a) | Year Ended December 31, | |||||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013 | 2012 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 26.84 | $ | 24.19 | $ | 26.45 | $ | 24.12 | $ | 18.20 | $ | 16.04 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .18 | .37 | .29 | .18 | .16 | .17 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.37 | 2.25 | (2.55 | ) | 2.15 | 5.76 | 2.08 | |||||||||||||||||
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Total from investment operations | 1.55 | 2.62 | (2.26 | ) | 2.33 | 5.92 | 2.25 | |||||||||||||||||
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Less Distributions: | — | — | — | — | — | (.09 | ) | |||||||||||||||||
Capital Contributions(d) | — | .03 | — | — | — | — | ||||||||||||||||||
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Net Asset Value, end of period | $ | 28.39 | $ | 26.84 | $ | 24.19 | $ | 26.45 | $ | 24.12 | $ | 18.20 | ||||||||||||
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Total Return(b) | 5.77 | % | 10.95 | %(e) | (8.54 | )% | 9.66 | % | 32.53 | % | 14.14 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 7.0 | $ | 7.0 | $ | 9.7 | $ | 10.6 | $ | 7.4 | $ | 6.2 | ||||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .82 | %(f) | .82 | % | .83 | % | .80 | % | .80 | % | .83 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .82 | %(f) | .82 | % | .83 | % | .82 | % | .83 | % | .83 | % | ||||||||||||
Net investment income (loss) | 1.27 | %(f) | 1.53 | % | 1.12 | % | .73 | % | .66 | % | .95 | % | ||||||||||||
Portfolio turnover rate | 9 | %(g) | 24 | % | 32 | % | 37 | % | 41 | % | 28 | % |
(a) | Calculated based on average shares outstanding during the period. |
(b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(d) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(e) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return for Class I and Class II would have been 11.27% and 10.83%, respectively. |
(f) | Annualized. |
(g) | 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 nine individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios, their operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with PGIM Investments LLC (“PGIM Investments”) and each Portfolio’s subadvisory agreement(s). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 13-14, 2017 (“the Meeting”) and approved the renewal of the agreements through July 31, 2018, after concluding that the renewal of the agreements was in the best interests of the Trust, each Portfolio and each Portfolio’s beneficial shareholders.
In advance of the Meeting, the Trustees requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.
In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of each Portfolio, the profitability of PGIM Investments 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 PGIM Investments and subadviser personnel such as portfolio managers.
The Trustees determined that the overall arrangements between the Trust and PGIM Investments, which serves as the Trust’s investment manager pursuant to a management agreement, and between PGIM Investments and each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests of the Trust, each Portfolio and each Portfolio’s shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment. The Board considered the approval of the agreements for each Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on a Portfolio-by-Portfolio basis.
The material factors and conclusions that formed the basis for the Trustees’ determinations to approve the renewal of the agreements are discussed separately below.
Nature, quality and extent of services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PGIM Investments and each subadviser. The Board considered the services provided by PGIM Investments, 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 PGIM Investments’ oversight of the subadvisers, the Board noted that PGIM Investments’ Strategic Investment Research Group (SIRG), a business unit of PGIM Investments, 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 PGIM Investments 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 PGIM Investments’ evaluation of the subadvisers, as well as PGIM Investments’ recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.
The Board reviewed the qualifications, backgrounds and responsibilities of PGIM Investments’ 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 PGIM Investments’ and each subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PGIM Investments and each subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PGIM Investments and each subadviser. The Board noted that the PGIM Fixed Income unit of PGIM, Inc., PGIM Limited, Jennison Associates LLC (Jennison) and Quantitative Management Associates LLC (QMA), each of which serve as subadvisers to various Portfolios of the Trust, are affiliated with PGIM Investments.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PGIM Investments 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 PGIM Investments and each subadviser under the management and subadvisory agreements.
Costs of Services and Profits Realized by PGIM Investments
The Board was provided with information on the profitability of PGIM Investments and its affiliates in serving as the Trust’s investment manager. The Board discussed with PGIM Investments 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 PGIM Fixed Income, Jennison and QMA, each of which are affiliates of PGIM Investments, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of PGIM Investments and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board received and discussed information concerning whether PGIM Investments 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 PGIM Investments’ 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.
Other Benefits to PGIM Investments and the Subadvisers
The Board considered potential ancillary benefits that might be received by PGIM Investments, the subadvisers, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PGIM Investments included compensation received by insurance company affiliates of PGIM Investments from the subadvisers, as well as benefits to its reputation or other intangible benefits resulting from PGIM Investments’ association with the Trust. The Board also considered information provided by PGIM Investments 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 PGIM Investments 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 PGIM Investments 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, 2016, except as otherwise noted below. The Board compared the historical performance of each Portfolio to the comparable performance of the Portfolio’s benchmark index and to a universe of mutual funds (the Peer Universe) that were determined by Broadridge, Inc. (Broadridge), an independent provider of mutual fund data, to be similar to the Portfolio.
The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2016. The Board considered the management fee for each Portfolio as compared to the management fee charged by PGIM Investments to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolios in various quartiles, with the 1st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PGIM Investments deems appropriate, and for reasons addressed in detail with the Board, PGIM Investments may have provided and the Board may have considered, supplemental data compiled by Broadridge for the Board’s consideration.
The sections below summarize key factors considered by the Board and the Board’s conclusions regarding each Portfolio’s performance, fees and overall expenses. Each section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
Conservative Balanced Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees: 2nd Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Diversified Bond Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st 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. |
Equity Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
4th Quartile | 4th Quartile | 4th Quartile | 4th Quartile | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio underperformed its benchmark index over all periods. |
• | The Board considered that the Portfolio’s portfolio manager team responsible for the management of the value segment of the Portfolio had changed during 2014, and that as a result, performance prior to that time was not attributable to the entire current portfolio manager team. |
• | The Board considered information provided by PGIM Investments, which indicated that the performance of the value component had improved beginning in the second half of 2016, with the improved performance continuing through the first quarter of 2017. |
• | The Board considered information provided by PGIM Investments indicating that much of the Portfolio’s recent underperformance was attributable to the Portfolio’s growth component, rather than the value component. |
• | In this regard, the Board considered that the underperformance of the Portfolio’s growth component was recent, and that the strong performance of that component in 2015 had resulted in the Portfolio outperforming its benchmark index and ranking in the first quartile of its Peer Universe for the 2015 calendar year. |
• | The Board considered that the Portfolio’s performance had shown recent improvement, with the Portfolio outperforming its benchmark index and Peer Universe median for the one-year period ending March 31, 2017. |
• | The Board also noted that it would continue to closely monitor the Portfolio’s performance. |
• | The Board concluded that in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Flexible Managed Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
2nd Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees: 3rd Quartile | ||||||||
Net Total Expenses: 2nd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Global Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
4th Quartile | 2nd 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 the five- and ten-year periods, though it underperformed its benchmark index over the one- and three-year period. |
• | The Board noted that PGIM Investments had contractually agreed to waive 0.022% of its management fee through June 30, 2018. |
• | The Board accepted PGIM Investments’ recommendation to contractually waive an additional 0.002% of its management fee through June 30, 2018. |
• | 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. |
Government Money Market Portfolio (formerly, Money Market Portfolio) | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
2nd Quartile | 3rd Quartile | 3rd 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 noted that PGIM Investments had agreed to voluntarily waive a portion of its management fee to ensure that the 1-day yield for the Portfolio does not fall below 0.00%. |
• | 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 | ||||
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 other than the one-year period. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Jennison Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
4th Quartile | 3rd Quartile | 2nd Quartile | 1st Quartile | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the five- and ten-year periods, though it underperformed for the one- and three-year periods. |
• | The Board noted PGIM Investments’ assertion that the Portfolio’s recent underperformance was temporary and isolated to the beginning of 2016. In this regard, the Board considered that, during 2015, the Portfolio outperformed its benchmark index and ranked in the first quartile of its Peer Universe. |
• | The Board also considered information provided by PGIM Investments which indicated that the Portfolio had historically demonstrated the ability to strongly rebound from periods of underperformance. In this regard, the Board noted that the Portfolio’s recent performance had shown improvement, with the Portfolio outperforming its benchmark index and Peer Universe median for the first quarter of 2017. |
• | The Board also noted that it would continue to monitor the Portfolio’s performance. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Natural Resources Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
3rd Quartile | 4th Quartile | 4th Quartile | 3rd Quartile | |||||
Actual Management Fee: 1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the one-year period, though it underperformed its benchmark index over the other periods. |
• | The Board noted that in February 2016, the Portfolio appointed a new subadviser to replace the Portfolio’s prior subadviser, and that as a result, most of the Portfolio’s historical performance was not attributable to the Portfolio’s current subadviser. |
• | The Board noted that the current subadviser did not yet have a three-year performance record and that, therefore, it would be prudent to allow the Portfolio’s current subadviser to further develop its performance record. |
• | The Board noted that PGIM Investments had contractually agreed to waive 0.008% of its management fee through June 30, 2018. |
• | The Board concluded that, in light of the above, it would be prudent to allow the new subadviser time to develop a performance record, and that it would be in the best interests of the Portfolio and its shareholders to renew the management agreement, 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 | ||||
1st Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees: 2nd Quartile | ||||||||
Net Total Expenses: 2nd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
Stock Index Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
1st Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
Actual Management Fees: 4th Quartile | ||||||||
Net Total Expenses: 4th 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. |
Value Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
4th Quartile | 4th Quartile | 4th Quartile | 4th Quartile | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 1st Quartile |
• | The Board noted that the Portfolio underperformed its benchmark index over all periods |
• | The Board noted the portfolio manager team responsible for the Portfolio’s long term performance record had been replaced during 2014, and that as a result, performance prior to that time was not attributable to the current portfolio manager team. |
• | The Board considered information provided by PGIM Investments, which indicated that the Portfolio’s performance improved beginning in the second half of 2016, with the improved performance continuing through the first quarter of 2017. In this regard, the Board considered the most recent performance data provided by PGIM Investments, which indicated that for the one-year period ending March 31, 2017, the Portfolio outperformed its benchmark index and ranked in the first quartile of its Peer Universe. |
• | The Board also noted that it would continue to closely monitor the Portfolio’s performance. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
**********
After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, each Portfolio and its beneficial shareholders.
The prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract 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 calendar 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.
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 may offer 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) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, 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 07102-3714
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Prudential
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.
©2017 Prudential Financial, Inc. and its related entities. Prudential Investments, 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.
PSF-SAR-A
The Prudential Series Fund
SEMIANNUAL REPORT | June 30, 2017 |
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, 2017, 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.
SP International Growth Portfolio
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The Prudential Series Fund
Table of Contents | Semiannual Report | June 30, 2017 |
∎ | LETTER TO CONTRACT OWNERS |
∎ | PRESENTATION OF PORTFOLIO HOLDINGS |
∎ | FEES AND EXPENSES |
∎ | FINANCIAL REPORTS |
Section A | Schedule of Investments and Financial Statements | |||
Section B | Notes to Financial Statements | |||
Section C | Financial Highlights |
∎ | 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, 2017 |
∎ | 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. 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, 2017 |
Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2017 |
SP International Growth | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Alibaba Group Holding Ltd. | 4.2% | |||
Tencent Holdings Ltd. | 3.5% | |||
Keyence Corp. | 2.6% | |||
Valeo SA | 2.3% | |||
Industria de Diseno Textil SA | 2.1% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Sectors are subject to change.
The Prudential Series Fund
Fees and Expenses — unaudited | June 30, 2017 |
As a contract owner investing in the Portfolio 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, 2017 through June 30, 2017.
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 Portfolio | Beginning Account Value January 1, 2017 | Ending Account Value June 30, 2017 | 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 | $ | 1,192.60 | 1.01 | % | $ | 5.49 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.79 | 1.01 | % | $ | 5.06 | ||||||||||
SP International Growth (Class II) | Actual | $ | 1,000.00 | $ | 1,191.00 | 1.41 | % | $ | 7.66 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,017.80 | 1.41 | % | $ | 7.05 |
* 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, 2017, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2017 (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 | as of June 30, 2017 (unaudited) |
LONG-TERM INVESTMENTS — 98.5% | Value | |||||||
COMMON STOCKS — 97.2% | Shares | |||||||
Argentina — 1.7% |
| |||||||
MercadoLibre, Inc. | 4,942 | $ | 1,239,849 | |||||
Australia — 2.1% |
| |||||||
BHP Billiton PLC | 21,352 | 327,129 | ||||||
Brambles Ltd. | 10,807 | 80,810 | ||||||
CSL Ltd. | 4,127 | 437,997 | ||||||
Insurance Australia Group Ltd. | 73,114 | 381,044 | ||||||
Macquarie Group Ltd. | 5,399 | 367,152 | ||||||
1,594,132 | ||||||||
Austria — 0.4% |
| |||||||
ANDRITZ AG | 4,725 | 285,073 | ||||||
Belgium — 0.3% |
| |||||||
KBC Group NV | 3,275 | 248,308 | ||||||
Brazil — 1.2% |
| |||||||
Cielo SA | 27,640 | 206,075 | ||||||
Raia Drogasil SA | 32,707 | 696,020 | ||||||
902,095 | ||||||||
Canada — 4.3% |
| |||||||
Alimentation Couche-Tard, Inc. (Class B Stock) | 8,064 | 386,535 | ||||||
Brookfield Asset Management, Inc. (Class A Stock) | 11,836 | 464,090 | ||||||
Canadian National Railway Co. | 6,585 | 534,295 | ||||||
Constellation Software, Inc. | 720 | 376,662 | ||||||
Peyto Exploration & Development Corp. | 7,100 | 128,772 | ||||||
Shopify, Inc. (Class A Stock)* | 3,678 | 319,618 | ||||||
Suncor Energy, Inc. | 19,953 | 582,988 | ||||||
Toronto-Dominion Bank (The) | 7,790 | 392,564 | ||||||
3,185,524 | ||||||||
China — 9.0% |
| |||||||
Alibaba Group Holding Ltd., ADR*(a) | 22,267 | 3,137,420 | ||||||
Baidu, Inc., ADR* | 1,570 | 280,810 | ||||||
China Merchants Bank Co. Ltd. (Class H Stock) | 116,000 | 349,552 | ||||||
NetEase, Inc., ADR | 1,097 | 329,791 | ||||||
Tencent Holdings Ltd. | 72,125 | 2,587,482 | ||||||
6,685,055 | ||||||||
Denmark — 0.8% |
| |||||||
Nets A/S, 144A* | 13,065 | 259,817 | ||||||
Novo Nordisk A/S (Class B Stock) | 8,048 | 345,801 | ||||||
605,618 | ||||||||
Finland — 0.5% |
| |||||||
Sampo Oyj (Class A Stock) | 6,940 | 356,062 | ||||||
France — 11.6% |
| |||||||
Air Liquide SA | 1,944 | 240,271 | ||||||
Arkema SA | 5,885 | 628,471 | ||||||
BNP Paribas SA | 6,586 | 474,145 | ||||||
Dassault Systemes SE | 6,166 | 553,035 | ||||||
Elior Group, 144A | 7,460 | 216,823 | ||||||
Kering | 3,304 | 1,125,054 | ||||||
L’Oreal SA | 2,741 | 571,539 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 5,423 | 1,356,053 | ||||||
Pernod Ricard SA | 2,320 | 310,665 | ||||||
Schneider Electric SE* | 3,500 | 268,974 | ||||||
Sodexo SA | 1,945 | 251,377 |
COMMON STOCKS (continued) | Shares | Value | ||||||
France (continued) |
| |||||||
SPIE SA | 10,520 | $ | 315,999 | |||||
TOTAL SA | 12,763 | 633,646 | ||||||
Valeo SA | 25,471 | 1,713,665 | ||||||
8,659,717 | ||||||||
Germany — 7.6% |
| |||||||
adidas AG | 6,950 | 1,332,657 | ||||||
Brenntag AG | 3,685 | 213,709 | ||||||
Continental AG | 1,260 | 272,576 | ||||||
CTS Eventim AG & Co. KGaA | 3,505 | 155,201 | ||||||
Deutsche Boerse AG | 2,465 | 260,379 | ||||||
Fresenius SE & Co. KGaA | 11,177 | 959,580 | ||||||
GEA Group AG | 3,160 | 129,753 | ||||||
Infineon Technologies AG | 52,769 | 1,120,846 | ||||||
Rational AG | 261 | 139,176 | ||||||
SAP SE, ADR | 4,860 | 508,696 | ||||||
Siemens AG | 4,230 | 581,855 | ||||||
5,674,428 | ||||||||
Hong Kong — 2.5% |
| |||||||
AIA Group Ltd. | 108,200 | 791,630 | ||||||
Sands China Ltd. | 69,600 | 318,597 | ||||||
Techtronic Industries Co. Ltd. | 170,505 | 783,470 | ||||||
1,893,697 | ||||||||
India — 3.2% |
| |||||||
HDFC Bank Ltd., ADR | 16,824 | 1,463,183 | ||||||
Maruti Suzuki India Ltd. | 7,396 | 825,235 | ||||||
Tata Motors Ltd., ADR(a) | 3,392 | 111,970 | ||||||
2,400,388 | ||||||||
Ireland — 1.6% |
| |||||||
AerCap Holdings NV* | 7,100 | 329,653 | ||||||
Kingspan Group PLC | 10,883 | 373,732 | ||||||
Ryanair Holdings PLC, ADR* | 4,282 | 460,786 | ||||||
1,164,171 | ||||||||
Israel — 0.9% |
| |||||||
Bezeq The Israeli Telecommunication Corp. Ltd. | 135,069 | 224,051 | ||||||
Check Point Software Technologies Ltd.* | 4,250 | 463,590 | ||||||
687,641 | ||||||||
Italy — 2.2% |
| |||||||
Azimut Holding SpA | 11,020 | 221,699 | ||||||
Brembo SpA | 33,100 | 485,015 | ||||||
Brunello Cucinelli SpA | 15,888 | 417,483 | ||||||
Brunello Cucinelli SpA, 144A(g) | 3,129 | 82,220 | ||||||
Ferrari NV | 4,845 | 416,919 | ||||||
1,623,336 | ||||||||
Japan — 9.5% |
| |||||||
Bridgestone Corp. | 5,100 | 220,481 | ||||||
Daikin Industries Ltd. | 7,700 | 789,959 | ||||||
FANUC Corp. | 2,100 | 406,446 | ||||||
Hoya Corp. | 7,700 | 400,873 | ||||||
Kansai Paint Co. Ltd. | 15,500 | 357,836 | ||||||
Kao Corp. | 3,900 | 231,887 | ||||||
Keyence Corp. | 4,338 | 1,909,708 | ||||||
Kose Corp. | 1,650 | 180,957 |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
SP INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Japan (continued) | ||||||||
Mitsubishi UFJ Financial Group, Inc. | 56,300 | $ | 379,746 | |||||
Nabtesco Corp. | 4,600 | 134,155 | ||||||
Nippon Prologis REIT, Inc. | 100 | 212,853 | ||||||
Nitori Holdings Co. Ltd. | 2,500 | 334,658 | ||||||
ORIX Corp. | 20,500 | 318,977 | ||||||
Park24 Co. Ltd. | 3,400 | 86,518 | ||||||
Santen Pharmaceutical Co. Ltd. | 18,000 | 244,496 | ||||||
Shionogi & Co. Ltd. | 5,200 | 289,941 | ||||||
SMC Corp. | 1,150 | 351,546 | ||||||
Toyota Motor Corp. | 4,200 | 220,767 | ||||||
7,071,804 | ||||||||
Luxembourg — 0.2% | ||||||||
Tenaris SA | 12,009 | 187,506 | ||||||
Netherlands — 3.4% | ||||||||
ASML Holding NV | 10,416 | 1,357,757 | ||||||
Heineken NV | 2,255 | 219,265 | ||||||
Koninklijke Ahold Delhaize NV | 8,978 | 171,365 | ||||||
Koninklijke Philips NV | 11,657 | 414,975 | ||||||
Royal Dutch Shell PLC (Class A Stock) | 15,323 | 407,438 | ||||||
2,570,800 | ||||||||
Norway — 0.0% | ||||||||
Statoil ASA | 53 | 879 | ||||||
South Africa — 0.3% | ||||||||
Bid Corp. Ltd. | 9,870 | 225,464 | ||||||
Spain — 2.7% | ||||||||
Amadeus IT Group SA (Class A Stock) | 4,925 | 294,396 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 17,166 | 142,992 | ||||||
Industria de Diseno Textil SA | 40,205 | 1,544,077 | ||||||
1,981,465 | ||||||||
Sweden — 2.7% | ||||||||
Atlas Copco AB (Class A Stock) | 34,747 | 1,336,084 | ||||||
Hexagon AB (Class B Stock) | 6,793 | 322,733 | ||||||
Nordea Bank AB | 26,995 | 343,820 | ||||||
2,002,637 | ||||||||
Switzerland — 7.4% | ||||||||
Cie Financiere Richemont SA | 2,285 | 189,081 | ||||||
Geberit AG | 768 | 358,626 | ||||||
Givaudan SA | 428 | 857,626 | ||||||
Julius Baer Group Ltd.* | 4,775 | 252,293 | ||||||
Lonza Group AG* | 1,912 | 414,170 | ||||||
Novartis AG | 4,195 | 350,394 | ||||||
Partners Group Holding AG | 1,078 | 669,342 | ||||||
Roche Holding AG | 1,740 | 444,596 | ||||||
SGS SA | 175 | 424,320 | ||||||
Sonova Holding AG | 1,480 | 240,757 | ||||||
Straumann Holding AG | 1,171 | 666,850 | ||||||
UBS Group AG* | 15,855 | 269,628 | ||||||
Wolseley PLC | 6,837 | 419,642 | ||||||
5,557,325 | ||||||||
Taiwan — 0.6% | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 68,000 | 464,590 | ||||||
Thailand — 0.8% | ||||||||
CP ALL PCL | 328,897 | 607,544 | ||||||
COMMON STOCKS (continued) | Shares | Value | ||||||
United Kingdom — 13.7% | ||||||||
Ashtead Group PLC | 29,765 | $ | 615,919 | |||||
ASOS PLC* | 2,828 | 211,677 | ||||||
BAE Systems PLC | 54,065 | 446,324 | ||||||
Barclays PLC | 98,334 | 260,072 | ||||||
Bunzl PLC | 11,678 | 348,150 | ||||||
Compass Group PLC | 66,741 | 1,408,747 | ||||||
DCC PLC | 1,965 | 178,952 | ||||||
Experian PLC | 19,865 | 407,688 | ||||||
Howden Joinery Group PLC | 44,455 | 235,826 | ||||||
Lloyds Banking Group PLC | 412,728 | 355,681 | ||||||
Micro Focus International PLC | 7,001 | 207,015 | ||||||
Prudential PLC | 14,555 | 334,094 | ||||||
RELX PLC | 36,598 | 791,143 | ||||||
Spectris PLC | 7,811 | 256,799 | ||||||
St. James’s Place PLC | 81,062 | 1,249,458 | ||||||
Travis Perkins PLC | 12,482 | 236,621 | ||||||
Unilever NV, CVA(a) | 25,245 | 1,393,572 | ||||||
Worldpay Group PLC, 144A | 202,957 | 832,212 | ||||||
WPP PLC | 20,234 | 426,063 | ||||||
10,196,013 | ||||||||
United States — 5.9% | ||||||||
Albemarle Corp. | 7,078 | 747,012 | ||||||
Aon PLC | 3,460 | 460,007 | ||||||
Broadcom Ltd. | 4,041 | 941,755 | ||||||
Core Laboratories NV(a) | 900 | 91,143 | ||||||
Delphi Automotive PLC | 1,900 | 166,535 | ||||||
JPMorgan Chase & Co. | 6,398 | 584,777 | ||||||
Nielsen Holdings PLC | 5,820 | 225,001 | ||||||
Samsonite International SA | 66,500 | 277,824 | ||||||
Sensata Technologies Holding | 6,300 | 269,136 | ||||||
Shire PLC | 978 | 53,926 | ||||||
TE Connectivity Ltd. | 2,310 | 181,751 | ||||||
Yum China Holdings, Inc.* | 9,474 | 373,560 | ||||||
4,372,427 | ||||||||
Zambia — 0.1% | ||||||||
First Quantum Minerals Ltd. | 12,706 | 107,484 | ||||||
TOTAL COMMON STOCKS | 72,551,032 | |||||||
PREFERRED STOCKS — 1.3% | ||||||||
Germany | ||||||||
Henkel AG & Co. KGaA (PRFC) | 2,610 | 359,904 | ||||||
Sartorius AG (PRFC) | 6,146 | 594,293 | ||||||
TOTAL PREFERRED STOCKS |
| 954,197 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 73,505,229 | ||||||
SHORT-TERM INVESTMENTS — 6.0% | ||||||||
AFFILIATED MUTUAL FUNDS — 5.5% | ||||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w) | 457,421 | 457,421 | ||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund (cost $3,636,994; includes $3,633,230 of cash collateral for securities on loan)(b)(w) | 3,636,493 | 3,636,857 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A2
SP INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
SHORT-TERM INVESTMENTS (continued) | Shares | Value | ||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| $ | 4,094,278 | |||||
UNAFFILIATED FUND — 0.5% | ||||||||
BlackRock Liquidity Funds FedFund Portfolio | 359,884 | 359,884 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
| 4,454,162 | ||||||
TOTAL INVESTMENTS — 104.5% |
| 77,959,391 | ||||||
LIABILITIES IN EXCESS OF |
| (3,365,103 | ) | |||||
NET ASSETS — 100.0% |
| $ | 74,594,288 | |||||
The following abbreviations are used in the semiannual report.
144A | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. | |
ADR | American Depositary Receipt | |
CVA | Certificate Van Aandelen (Bearer) | |
LIBOR | London Interbank Offered Rate | |
PRFC | Preference Shares | |
REIT | Real Estate Investment Trust |
* | 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 $3,541,757; cash collateral of $3,633,230 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(g) | Indicates a security that has been deemed illiquid; the aggregate value of $82,220 is 0.1% of net assets. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund. |
Fair value measurements:
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—unadjusted | 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, 2017 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
| |||||||||||
Common Stocks |
| |||||||||||
Argentina | $ | 1,239,849 | $ | — | $ | — | ||||||
Australia | — | 1,594,132 | — | |||||||||
Austria | — | 285,073 | — | |||||||||
Belgium | — | 248,308 | — | |||||||||
Brazil | 902,095 | — | — | |||||||||
Canada | 3,185,524 | — | — | |||||||||
China | 3,748,021 | 2,937,034 | — | |||||||||
Denmark | — | 605,618 | — | |||||||||
Finland | — | 356,062 | — | |||||||||
France | — | 8,659,717 | — | |||||||||
Germany | 508,696 | 5,165,732 | — | |||||||||
Hong Kong | — | 1,893,697 | — | |||||||||
India | 1,575,153 | 825,235 | — | |||||||||
Ireland | 790,439 | 373,732 | — | |||||||||
Israel | 463,590 | 224,051 | — | |||||||||
Italy | — | 1,623,336 | — | |||||||||
Japan | — | 7,071,804 | — | |||||||||
Luxembourg | — | 187,506 | — | |||||||||
Netherlands | — | 2,570,800 | — | |||||||||
Norway | — | 879 | — | |||||||||
South Africa | — | 225,464 | — | |||||||||
Spain | — | 1,981,465 | — | |||||||||
Sweden | — | 2,002,637 | — | |||||||||
Switzerland | — | 5,557,325 | — | |||||||||
Taiwan | — | 464,590 | — | |||||||||
Thailand | 607,544 | — | — | |||||||||
United Kingdom | — | 10,196,013 | — | |||||||||
United States | 4,040,677 | 331,750 | — | |||||||||
Zambia | 107,484 | — | — | |||||||||
Preferred Stocks | ||||||||||||
Germany | — | 954,197 | — | |||||||||
Affiliated Mutual Funds | 4,094,278 | — | — | |||||||||
Unaffiliated Fund | 359,884 | — | — | |||||||||
Total | $ | 21,623,234 | $ | 56,336,157 | $ | — | ||||||
During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.
Industry classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:
Internet Software & Services | 10.7 | % | ||
Banks | 6.8 | |||
Textiles, Apparel & Luxury Goods | 6.4 | |||
Affiliated Mutual Funds (including 4.9% of collateral for securities on loan) | 5.5 | |||
Semiconductors & Semiconductor Equipment | 5.2 | |||
Insurance | 4.8 | |||
Chemicals | 3.8 | |||
Machinery | 3.8 | |||
Auto Components | 3.7 |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
SP INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Industry classification (con’t) | ||||
Electronic Equipment, Instruments & Components | 3.5 | % | ||
Hotels, Restaurants & Leisure | 3.4 | |||
Capital Markets | 3.3 | |||
Trading Companies & Distributors | 3.3 | |||
Personal Products | 3.2 | |||
Software | 2.8 | |||
Food & Staples Retailing | 2.7 | |||
Specialty Retail | 2.6 | |||
Health Care Equipment & Supplies | 2.5 | |||
Professional Services | 2.5 | |||
Oil, Gas & Consumable Fuels | 2.4 | |||
Pharmaceuticals | 2.3 | |||
IT Services | 2.1 | |||
Automobiles | 2.1 | |||
Building Products | 2.1 | |||
Industrial Conglomerates | 1.6 | |||
Health Care Providers & Services | 1.3 | |||
Household Durables | 1.0 | |||
Media | 0.8 |
Electrical Equipment | 0.8 | % | ||
Road & Rail | 0.7 | |||
Beverages | 0.7 | |||
Biotechnology | 0.7 | |||
Commercial Services & Supplies | 0.6 | |||
Airlines | 0.6 | |||
Aerospace & Defense | 0.6 | |||
Metals & Mining | 0.5 | |||
Life Sciences Tools & Services | 0.5 | |||
Household Products | 0.5 | |||
Unaffiliated Fund | 0.5 | |||
Diversified Financial Services | 0.4 | |||
Energy Equipment & Services | 0.3 | |||
Diversified Telecommunication Services | 0.3 | |||
Equity Real Estate Investment Trusts (REITs) | 0.3 | |||
Internet & Direct Marketing Retail | 0.3 | |||
104.5 | ||||
Liabilities in excess of other assets | (4.5 | ) | ||
100.0 | % | |||
Financial instruments/transactions — summary of offsetting and netting arrangements:
The Portfolio entered into financial instruments/transactions 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 financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received(2) | Net Amount | |||||||||
Securities on Loan | $ | 3,541,757 | $ | (3,541,757 | ) | $ | — |
(1) | Amount represents market value. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
SP INTERNATIONAL GROWTH PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2017
ASSETS | ||||
Investments at value, including securities on loan of $3,541,757: | ||||
Unaffiliated investments (cost $56,619,442) | $ | 73,865,113 | ||
Affiliated investments (cost $4,094,415) | 4,094,278 | |||
Cash | 1,400 | |||
Foreign currency, at value (cost $97,412) | 98,083 | |||
Tax reclaim receivable | 428,060 | |||
Receivable for investments sold | 274,006 | |||
Dividends and interest receivable | 147,614 | |||
Receivable from affiliate | 1,694 | |||
Receivable for Series shares sold | 102 | |||
Prepaid expenses | 109 | |||
Total assets | 78,910,459 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 3,633,230 | |||
Payable for investments purchased | 393,855 | |||
Accrued expenses and other liabilities | 123,493 | |||
Payable for Series shares repurchased | 120,575 | |||
Management fee payable | 36,446 | |||
Foreign capital gains tax liability accrued | 7,494 | |||
Affiliated transfer agent fee payable | 980 | |||
Distribution fee payable | 61 | |||
Administration fee payable | 37 | |||
Total liabilities | 4,316,171 | |||
NET ASSETS | $ | 74,594,288 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 85,302,590 | ||
Retained earnings | (10,708,302 | ) | ||
Net assets, June 30, 2017 | $ | 74,594,288 | ||
Class I: | ||||
Net asset value and redemption price per share $74,299,210 / 10,527,091 outstanding shares of beneficial interest | $ | 7.06 | ||
Class II: | ||||
Net asset value and redemption price per share $295,078 / 43,014 outstanding shares of beneficial interest | $ | 6.86 | ||
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2017
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $102,010, of which $5,859 is reimbursable by an affiliate) | $ | 895,598 | ||
Affiliated dividend income | 3,884 | |||
Income from securities lending, net (including affiliated income of $1,011) | 3,257 | |||
Total income | 902,739 | |||
EXPENSES | ||||
Management fee | 296,516 | |||
Distribution fee—Class II | 356 | |||
Administration fee—Class II | 214 | |||
Custodian and accounting fees | 81,000 | |||
Shareholders’ reports | 28,000 | |||
Audit fee | 15,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Legal fees and expenses | 5,000 | |||
Trustees’ fees | 5,000 | |||
Miscellaneous | 14,461 | |||
Total expenses | 451,547 | |||
Less: Management fee waiver and/or expense reimbursement | (98,646 | ) | ||
Net expenses | 352,901 | |||
NET INVESTMENT INCOME (LOSS) | 549,838 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(395)) | 734,898 | |||
Foreign currency transactions | (7,244 | ) | ||
727,654 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $(137)) (net of change in foreign capital gains taxes $(7,494)) | 10,944,086 | |||
Foreign currencies | 34,709 | |||
10,978,795 | ||||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 11,706,449 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 12,256,287 | ||
STATEMENT OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 549,838 | $ | 557,016 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 727,654 | (1,306,118 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 10,978,795 | (2,020,485 | ) | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 12,256,287 | (2,769,587 | ) | |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold | 1,763,753 | 2,996,977 | ||||||
Series shares repurchased | (3,641,684 | ) | (13,693,195 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (1,877,931 | ) | (10,696,218 | ) | ||||
CAPITAL CONTRIBUTIONS | — | 132,747 | ||||||
TOTAL INCREASE (DECREASE) | 10,378,356 | (13,333,058 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 64,215,932 | 77,548,990 | ||||||
End of period | $ | 74,594,288 | $ | 64,215,932 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A5
NOTES TO FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
(unaudited)
Note 1: | General |
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as a diversified open-end management investment company. The Series Fund is composed of seventeen Portfolios (“Portfolios”), each with separate series shares. The information presented in these financial statements pertains to SP International Growth Portfolio (the “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 (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or “the Manager”) (formerly known as Prudential Investments LLC). Under the current valuation procedures, the 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 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 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. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
B1
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 invest up to 15% of its net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, a Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s Subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of a Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.
Foreign Currency Translation: The books and records of the Portfolio are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities — at the current rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolio does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions.
Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, forward currency contracts, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.
Master Netting Arrangements: The Series Fund, on behalf of 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. 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. 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
B2
the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off, and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
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 an affiliated 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 borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed on the Statement of Operations as “Income from securities lending, net”.
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 or economic instability or the level of governmental supervision and regulation of foreign securities markets.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on 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 (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 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 their distributive share of partnership items. Withholding taxes on foreign dividends, interest and capital gains are accrued 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. The Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Distributions: Distributions, if any, from the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Note 3: | Agreements |
The Series Fund, on behalf of the Portfolio, has entered into a management agreement with PGIM Investments. Pursuant to this agreement, PGIM Investments has responsibility for all investment management services and supervises the subadviser’s performance of such services. PGIM Investments has
B3
entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”), Neuberger Berman Investment Advisors, LLC (“Neuberger Berman”) and William Blair & Company LLC (“William Blair”) (collectively, the “Subadviser”), under which Jennison provides investment advisory services for the Portfolio. PGIM Investments 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 PGIM Investments is accrued daily and payable monthly at an annual rate of 0.85% of the Portfolio’s average daily net assets. PGIM Investments has contractually agreed through June 30, 2018 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. The effective management fee rate net of waivers and/or expense reimbursement was 0.57% for the six months ended June 30, 2017.
PGIM Investments has contractually agreed through June 30, 2018 to limit the net annual operating expenses (exclusive of distribution and service (12b-1) fees, administrative fees, taxes (such as income and foreign withholdings taxes, stamp duty and deferred tax expenses), interest, underlying funds, brokerage, extraordinary and certain other expenses such as dividend, broker charges and interest expense on short sales) of each class of shares of the Portfolio to 1.01% of the Portfolio’s average daily net assets. Expenses waived/reimbursed by the Manager in accordance with this agreement may be recouped by the Manager within the same fiscal year during which such waiver/reimbursement is made if such recoupment can be realized without exceeding the expense limit in effect at the time of the recoupment for that fiscal year.
The Series Fund, on behalf of 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 Series Fund has an administration agreement with PGIM Investments, which acts as the administrator of the Class II shares of the Portfolio. The administration fee paid to PGIM Investments is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.
PGIM Investments, PIMS and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
The Series Fund, on behalf of the Portfolio, has entered into brokerage commission recapture agreements with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those portfolios generating the applicable trades. Such amounts are included within realized gain or loss on investment transactions presented in the Statement of Operations. For the six months ended June 30, 2017, brokerage commission recaptured under these agreements was $2,484.
Note 4: | Other Transactions with Affiliates |
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolio. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
The Portfolio may invest its overnight sweep cash in the Prudential Core Ultra Short Bond Fund (the “Core Fund”) and its securities lending cash collateral in the Prudential Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. For the reporting period ended June 30, 2017, PGIM, Inc., an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, was compensated $438 by PGIM Investments for managing the Portfolio’s securities lending cash collateral as subadviser to the Money Market Fund. Earnings from the Core Fund and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
In February 2016, Prudential, the parent company of the Investment Manager self reported to the Securities and Exchange Commission (“SEC”) and certain other regulators that, in some cases, it failed to maximize
B4
securities lending income for the Portfolio of the Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid the affected Portfolio an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Series Fund. The amount of opportunity loss payment to the Portfolio is disclosed in the Portfolio’s “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.
In addition to the above, Prudential has paid and continues to directly pay certain legal, audit and other charges in connection with the matter on behalf of the Portfolios.
The SEC Staff and other regulators continue to review the matter.
The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board. For the period ended June 30, 2017 no such transactions were entered into by the Portfolio.
The Portfolio was reimbursed by Prudential for foreign withholding taxes for certain countries due to the Portfolio’s status as a partnership for tax purposes.
2016 Withholding Tax | 2017 Withholding Tax | |||||||
SP International Growth | $ | 13,008 | $ | 5,859 |
Note 5: | Portfolio Securities |
The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Treasury securities) for the six months ended June 30, 2017, were as $15,550,953 and $16,396,697, respectively.
Note 6: | Tax Information |
The Portfolio is treated as a partnership for tax purposes. The character of the cash distributions, if any, made by the partnership is generally classified as nontaxable return of capital distributions. After each fiscal year each shareholder of record 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 fair market value.
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 provision for income tax is 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: | Borrowings |
The Series Fund, on behalf of 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 6, 2016 through October 5, 2017. The Funds pay an annualized commitment fee of .15% of the unused portion of the SCA. The Portfolio’s portion of the commitment fee for the unused amount, allocated based upon a method approved by the Board, is accrued daily and paid quarterly. The interest on borrowings under the SCA is paid monthly and at a per annum interest rate based upon a contractual spread plus the higher of (1) the effective federal funds rate, (2) the 1-month LIBOR rate or (3) zero percent.
The Portfolio did not utilize the SCA during the six months ended June 30, 2017.
B5
Note 8: | 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. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. 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 were as follows:
Class I | Shares | Amount | ||||||
Six months ended June 30, 2017: | ||||||||
Series shares sold | 269,153 | $ | 1,763,752 | |||||
Series shares repurchased | (547,473 | ) | (3,610,947 | ) | ||||
Net increase (decrease) in shares outstanding | (278,320 | ) | $ | (1,847,195 | ) | |||
Year ended December 31, 2016: | ||||||||
Series shares sold | 468,237 | $ | 2,764,253 | |||||
Series shares repurchased | (1,297,726 | ) | (7,712,406 | ) | ||||
Capital Contributions | — | 123,193 | ||||||
Net increase (decrease) in shares outstanding | (829,489 | ) | $ | (4,824,960 | ) | |||
Class II | ||||||||
Six months ended June 30, 2017: | ||||||||
Series shares sold | — | $ | 1 | |||||
Series shares repurchased | (4,919 | ) | (30,737 | ) | ||||
Net increase (decrease) in shares outstanding | (4,919 | ) | $ | (30,736 | ) | |||
Year ended December 31, 2016: | ||||||||
Series shares sold | 40,492 | $ | 232,724 | |||||
Series shares repurchased | (1,001,053 | ) | (5,980,789 | ) | ||||
Capital Contributions | — | 9,554 | ||||||
Net increase (decrease) in shares outstanding | (960,561 | ) | $ | (5,738,511 | ) | |||
Note 9: | Ownership and Affiliates |
As of June 30, 2017, 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: | Recent Accounting Pronouncements and Reporting Updates |
On October 13, 2016, the SEC adopted new rules and forms and amended existing rules and forms which are intended to modernize and enhance the reporting and disclosure of information by registered investment companies and to improve the quality of information that funds provide to investors, including modifications to Regulation S-X which would require standardized, enhanced disclosure about derivatives in investment company financial statements. The compliance dates of the modifications to Regulation S-X are August 1, 2017 and other amendments and rules are generally June 1, 2018 and December 1, 2018. Management is currently evaluating the impacts to the financial statement disclosures.
B6
Financial Highlights
(unaudited)
SP International Growth Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June, 30 2017 | Year Ended December 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Per Share Operating Performance(c): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 5.92 | $ | 6.14 | $ | 5.94 | $ | 6.30 | $ | 5.30 | $ | 4.36 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .05 | .05 | .03 | .03 | .02 | .08 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.09 | (.28 | ) | .17 | (.39 | ) | .98 | .89 | ||||||||||||||||
Total from investment operations | 1.14 | (.23 | ) | .20 | (.36 | ) | 1.00 | .97 | ||||||||||||||||
Less Distributions: | — | — | — | — | — | (.03 | ) | |||||||||||||||||
Capital Contributions(e) | — | .01 | — | — | — | — | ||||||||||||||||||
Net Asset Value, end of period | $ | 7.06 | $ | 5.92 | $ | 6.14 | $ | 5.94 | $ | 6.30 | $ | 5.30 | ||||||||||||
Total Return(a) | 19.26 | % | (3.58 | )%(f) | 3.37 | % | (5.71 | )% | 18.87 | % | 22.40 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 74.3 | $ | 63.9 | $ | 71.5 | $ | 74.5 | $ | 86.9 | $ | 80.9 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.01 | %(g) | 1.03 | % | 1.22 | % | 1.23 | % | 1.30 | % | 1.19 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.29 | %(g) | 1.25 | % | 1.23 | % | 1.24 | % | 1.31 | % | 1.19 | % | ||||||||||||
Net investment income (loss) | 1.58 | %(g) | .80 | % | .51 | % | .55 | % | .37 | % | 1.59 | % | ||||||||||||
Portfolio turnover rate | 23 | %(h) | 57 | % | 48 | % | 55 | % | 103 | % | 111 | % | ||||||||||||
SP International Growth Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June, 30 2017 | Year Ended December 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Per Share Operating Performance(c): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 5.76 | $ | 6.01 | $ | 5.83 | $ | 6.21 | $ | 5.24 | $ | 4.30 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .04 | .04 | .01 | .01 | — | (d) | .06 | |||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.06 | (.30 | ) | .17 | (.39 | ) | .97 | .88 | ||||||||||||||||
Total from investment operations | 1.10 | (.26 | ) | .18 | (.38 | ) | .97 | .94 | ||||||||||||||||
Capital Contributions(e) | — | .01 | — | — | — | — | ||||||||||||||||||
Net Asset Value, end of period | $ | 6.86 | $ | 5.76 | $ | 6.01 | $ | 5.83 | $ | 6.21 | $ | 5.24 | ||||||||||||
Total Return(a) | 19.10 | % | (4.16 | )%(f) | 3.09 | % | (6.12 | )% | 18.51 | % | 21.86 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 0.3 | $ | 0.3 | $ | 6.1 | $ | 6.9 | $ | 9.1 | $ | 8.6 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.41 | %(g) | 1.43 | % | 1.62 | % | 1.63 | % | 1.70 | % | 1.59 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.69 | %(g) | 1.65 | % | 1.63 | % | 1.64 | % | 1.71 | % | 1.59 | % | ||||||||||||
Net investment income (loss) | 1.14 | %(g) | .61 | % | .13 | % | .17 | % | (.03 | )% | 1.16 | % | ||||||||||||
Portfolio turnover rate | 23 | %(h) | 57 | % | 48 | % | 55 | % | 103 | % | 111 | % |
(a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods 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) | Less than $.005. |
(e) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(f) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return for Class I and Class II would have been (3.74)% and (4.33)%, respectively. |
(g) | Annualized. |
(h) | 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 nine individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios, their operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with PGIM Investments LLC (“PGIM Investments”) and the SP International Growth Portfolio’s (the Portfolio) subadvisory agreements. As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 13-14, 2017 (“the Meeting”) and approved the renewal of the agreements through July 31, 2018, 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 requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.
In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of the Portfolio, the profitability of PGIM Investments 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 PGIM Investments and subadviser personnel such as portfolio managers.
The Trustees determined that the overall arrangements between the Trust and PGIM Investments, which serves as the Trust’s investment manager pursuant to a management agreement, and between PGIM Investments and the Portfolio’s subadvisers, each of which serves pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests 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 Board considered the approval of the agreements for the Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on a Portfolio-by-Portfolio basis.
The material factors and conclusions that formed the basis for the Trustees’ determinations to approve the renewal of the agreements are discussed separately below.
Nature, quality and extent of services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PGIM Investments and each subadviser. The Board considered the services provided by PGIM Investments, 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 PGIM Investments’ oversight of the subadvisers, the Board noted that PGIM Investments’ Strategic Investment Research Group (SIRG), a business unit of PGIM Investments, 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 PGIM Investments 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 PGIM Investments’ evaluation of the subadvisers, as well as PGIM Investments’ recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.
The Board reviewed the qualifications, backgrounds and responsibilities of PGIM Investments’ 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 PGIM Investments’ and each subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PGIM Investments and each subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PGIM Investments and each subadviser. The Board noted that Jennison Associates LLC (Jennison), which serves as one of the subadvisers to the Portfolio, is affiliated with PGIM Investments.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PGIM Investments 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 PGIM Investments and each subadviser under the management and subadvisory agreements.
Costs of Services and Profits Realized by PGIM Investments
The Board was provided with information on the profitability of PGIM Investments and its affiliates in serving as the Trust’s investment manager. The Board discussed with PGIM Investments 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 affiliate of PGIM Investments, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of PGIM Investments and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board received and discussed information concerning whether PGIM Investments 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 PGIM Investments’ costs are not specific to individual funds, but rather are incurred across a variety of products and services.
Other Benefits to PGIM Investments and the Subadvisers
The Board considered potential ancillary benefits that might be received by PGIM Investments, the subadvisers, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PGIM Investments included compensation received by insurance company affiliates of PGIM Investments from the subadvisers, as well as benefits to its reputation or other intangible benefits resulting from PGIM Investments’ association with the Trust. The Board also considered information provided by PGIM Investments 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 PGIM Investments 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 PGIM Investments 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, 2016, except as otherwise noted below. 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 Broadridge, Inc. (Broadridge), 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 2016. The Board considered the management fee for the Portfolio as compared to the management fee charged by PGIM Investments to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for the Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in the Peer Universe and each Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolio in various quartiles, with the 1st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PGIM Investments deems appropriate, and for reasons addressed in detail with the Board, PGIM Investments may have provided and the Board may have considered, supplemental data compiled by Broadridge for the Board’s consideration.
The section below summarizes key factors considered by the Board and the Board’s conclusions regarding the Portfolio’s performance, fees and overall expenses. The section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
SP International Growth Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
3rd Quartile | 2nd Quartile | 1st Quartile | 3rd Quartile | |||||
Actual Management Fees: 1st Quartile | ||||||||
Net Total Expenses: 2nd Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over three-, five-, and ten-year periods, though it underperformed its benchmark index for the one-year period. |
• | The Board noted that PGIM Investments had contractually agreed to waive 0.011% of its management fee through June 30, 2018. |
• | The Board further noted that PGIM Investments had contractually agreed through June 30, 2018 to cap the Portfolio’s operating expenses at 1.01% (exclusive of certain fees and expenses). |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
**********
After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, the Portfolio and its beneficial shareholders.
The prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract 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 calendar 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.
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 may offer 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) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, 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 07102-3714
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Prudential
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PSF-SAR-SP INTL GROWTH
The Prudential Series Fund
SEMIANNUAL REPORT | June 30, 2017 |
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, 2017, 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.
SP Prudential U.S. Emerging Growth Portfolio
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The Prudential Series Fund
Table of Contents | Semiannual Report | June 30, 2017 |
∎ | LETTER TO CONTRACT OWNERS |
∎ | PRESENTATION OF PORTFOLIO HOLDINGS |
∎ | FEES AND EXPENSES |
∎ | FINANCIAL REPORTS |
Section A | Schedule of Investments and Financial Statements | |||
Section B | Notes to Financial Statements | |||
Section C | Financial Highlights |
∎ | 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, 2017 |
∎ | 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. 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, 2017 |
Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2017 |
SP Prudential U.S. Emerging Growth | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
SBA Communications Corp. | 3.0% | |||
Dollar Tree, Inc. | 2.3% | |||
Roper Technologies, Inc. | 2.2% | |||
Red Hat, Inc. | 2.1% | |||
Analog Devices, Inc. | 2.0% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Sectors are subject to change.
The Prudential Series Fund
Fees and Expenses — unaudited | June 30, 2017 |
As a contract owner investing in the Portfolio 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, 2017 through June 30, 2017.
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 Portfolio | Beginning Account Value January 1, 2017 | Ending Account Value June 30, 2017 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
SP Prudential US Emerging Growth (Class I) | Actual | $ | 1,000.00 | $ | 1,115.10 | 0.68 | % | $ | 3.57 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.42 | 0.68 | % | $ | 3.41 | ||||||||||
SP Prudential US Emerging Growth (Class II) | Actual | $ | 1,000.00 | $ | 1,113.60 | 1.08 | % | $ | 5.66 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.44 | 1.08 | % | $ | 5.41 |
* 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, 2017, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2017 (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, 2017 (unaudited) |
LONG-TERM INVESTMENTS 97.0% | ||||||||
COMMON STOCKS | Shares | Value | ||||||
Airlines — 0.9% |
| |||||||
Spirit Airlines, Inc.* | 41,028 | $ | 2,119,096 | |||||
Auto Components — 1.3% |
| |||||||
Delphi Automotive PLC | 36,208 | 3,173,631 | ||||||
Banks — 1.5% |
| |||||||
First Republic Bank | 34,533 | 3,456,753 | ||||||
Biotechnology — 1.8% |
| |||||||
Alexion Pharmaceuticals, Inc.* | 3,937 | 479,015 | ||||||
BioMarin Pharmaceutical, Inc.* | 29,226 | 2,654,305 | ||||||
Incyte Corp.* | 9,026 | 1,136,464 | ||||||
4,269,784 | ||||||||
Building Products — 1.0% |
| |||||||
Allegion PLC | 30,295 | 2,457,530 | ||||||
Capital Markets — 4.0% |
| |||||||
Affiliated Managers Group, Inc. | 23,533 | 3,903,183 | ||||||
Intercontinental Exchange, Inc. | 37,506 | 2,472,395 | ||||||
TD Ameritrade Holding Corp. | 68,144 | 2,929,511 | ||||||
9,305,089 | ||||||||
Chemicals — 2.6% |
| |||||||
Albemarle Corp. | 9,613 | 1,014,556 | ||||||
Axalta Coating Systems Ltd.* | 66,968 | 2,145,655 | ||||||
FMC Corp. | 41,091 | 3,001,697 | ||||||
6,161,908 | ||||||||
Commercial Services & Supplies — 2.0% |
| |||||||
Copart, Inc.* | 39,224 | 1,246,931 | ||||||
Stericycle, Inc.* | 45,096 | 3,441,727 | ||||||
4,688,658 | ||||||||
Communications Equipment — 1.4% |
| |||||||
Palo Alto Networks, Inc.* | 24,652 | 3,298,684 | ||||||
Construction & Engineering — 0.9% |
| |||||||
Quanta Services, Inc.* | 62,157 | 2,046,208 | ||||||
Construction Materials — 0.9% |
| |||||||
Vulcan Materials Co. | 17,440 | 2,209,299 | ||||||
Consumer Finance — 1.7% |
| |||||||
SLM Corp.* | 350,046 | 4,025,529 | ||||||
Containers & Packaging — 1.0% |
| |||||||
Sealed Air Corp. | 53,389 | 2,389,692 | ||||||
Electrical Equipment — 2.0% |
| |||||||
AMETEK, Inc. | 76,969 | 4,662,012 | ||||||
Electronic Equipment, Instruments & Components — 3.7% |
| |||||||
Amphenol Corp. (Class A Stock) | 52,291 | 3,860,122 | ||||||
CDW Corp. | 29,316 | 1,833,129 | ||||||
Flex Ltd.* | 100,620 | 1,641,112 | ||||||
IPG Photonics Corp.* | 8,668 | 1,257,727 | ||||||
8,592,090 | ||||||||
Energy Equipment & Services — 0.6% |
| |||||||
Patterson-UTI Energy, Inc. | 64,162 | 1,295,431 | ||||||
Equity Real Estate Investment Trusts (REITs) — 4.9% |
| |||||||
Equinix, Inc. | 8,465 | 3,632,839 | ||||||
Park Hotels & Resorts, Inc.(a) | 35,446 | 955,624 | ||||||
SBA Communications Corp.* | 52,114 | 7,030,179 | ||||||
11,618,642 | ||||||||
COMMON STOCKS (continued) | Shares | Value | ||||||
Food & Staples Retailing — 1.1% |
| |||||||
Sprouts Farmers Market, Inc.*(a) | 57,102 | $ | 1,294,502 | |||||
US Foods Holding Corp.* | 49,659 | 1,351,718 | ||||||
2,646,220 | ||||||||
Food Products — 1.9% |
| |||||||
Hain Celestial Group, Inc. (The)* | 52,545 | 2,039,797 | ||||||
TreeHouse Foods, Inc.*(a) | 29,527 | 2,412,061 | ||||||
4,451,858 | ||||||||
Health Care Equipment & Supplies — 4.6% |
| |||||||
Align Technology, Inc.* | 16,256 | 2,440,351 | ||||||
Cooper Cos., Inc. (The) | 9,702 | 2,322,853 | ||||||
DexCom, Inc.*(a) | 32,566 | 2,382,203 | ||||||
Edwards Lifesciences Corp.* | 20,648 | 2,441,419 | ||||||
West Pharmaceutical Services, Inc. | 13,254 | 1,252,768 | ||||||
10,839,594 | ||||||||
Health Care Providers & Services — 4.5% |
| |||||||
Centene Corp.* | 40,708 | 3,251,755 | ||||||
Henry Schein, Inc.*(a) | 16,312 | 2,985,422 | ||||||
Laboratory Corp. of America Holdings* | 16,992 | 2,619,147 | ||||||
Universal Health Services, Inc. (Class B Stock) | 13,947 | 1,702,650 | ||||||
10,558,974 | ||||||||
Hotels, Restaurants & Leisure — 4.9% |
| |||||||
Aramark | 77,972 | 3,195,293 | ||||||
Hilton Worldwide Holdings, Inc. | 71,986 | 4,452,334 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 47,457 | 2,576,440 | ||||||
Vail Resorts, Inc. | 6,132 | 1,243,754 | ||||||
11,467,821 | ||||||||
Household Durables — 1.5% |
| |||||||
Mohawk Industries, Inc.* | 5,069 | 1,225,126 | ||||||
Newell Brands, Inc. | 44,477 | 2,384,857 | ||||||
3,609,983 | ||||||||
Household Products — 1.5% |
| |||||||
Church & Dwight Co., Inc. | 44,659 | 2,316,909 | ||||||
Clorox Co. (The) | 9,339 | 1,244,328 | ||||||
3,561,237 | ||||||||
Industrial Conglomerates — 2.7% |
| |||||||
Carlisle Cos., Inc. | 12,963 | 1,236,670 | ||||||
Roper Technologies, Inc. | 22,388 | 5,183,494 | ||||||
6,420,164 | ||||||||
Internet & Direct Marketing Retail — 0.8% |
| |||||||
Expedia, Inc. | 13,201 | 1,966,289 | ||||||
IT Services — 5.7% |
| |||||||
Fidelity National Information Services, Inc. | 33,134 | 2,829,644 | ||||||
FleetCor Technologies, Inc.* | 17,046 | 2,458,204 | ||||||
Global Payments, Inc. | 43,742 | 3,950,777 | ||||||
Vantiv, Inc. (Class A Stock)* | 66,595 | 4,218,127 | ||||||
13,456,752 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A1
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Life Sciences Tools & Services — 1.6% |
| |||||||
Illumina, Inc.* | 11,025 | $ | 1,913,058 | |||||
Quintiles IMS Holdings, Inc.* | 21,013 | 1,880,663 | ||||||
3,793,721 | ||||||||
Machinery — 0.5% |
| |||||||
Allison Transmission Holdings, Inc. | 31,611 | 1,185,729 | ||||||
Media — 1.9% |
| |||||||
AMC Networks, Inc. | 47,635 | 2,544,186 | ||||||
Cinemark Holdings, Inc. | 51,732 | 2,009,788 | ||||||
4,553,974 | ||||||||
Mortgage Real Estate Investment Trusts (REITs) — 2.1% |
| |||||||
MFA Financial, Inc. | 193,881 | 1,626,662 | ||||||
Starwood Property Trust, Inc. | 143,326 | 3,209,069 | ||||||
4,835,731 | ||||||||
Multiline Retail — 3.2% |
| |||||||
Dollar General Corp. | 29,577 | 2,132,206 | ||||||
Dollar Tree, Inc.* | 75,838 | 5,302,593 | ||||||
7,434,799 | ||||||||
Oil, Gas & Consumable Fuels — 1.5% |
| |||||||
Noble Energy, Inc. | 74,803 | 2,116,925 | ||||||
Targa Resources Corp. | 32,244 | 1,457,429 | ||||||
3,574,354 | ||||||||
Pharmaceuticals — 1.6% |
| |||||||
Zoetis, Inc. | 60,767 | 3,790,645 | ||||||
Professional Services — 1.9% |
| |||||||
IHS Markit Ltd.* | 99,363 | 4,375,947 | ||||||
Real Estate Management & Development — 1.6% |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 101,999 | 3,712,764 | ||||||
Road & Rail — 0.8% |
| |||||||
J.B. Hunt Transport Services, Inc. | 20,010 | 1,828,514 | ||||||
Semiconductors & Semiconductor Equipment — 3.4% |
| |||||||
Analog Devices, Inc. | 60,212 | 4,684,493 | ||||||
Marvell Technology Group Ltd. (Bermuda) | 66,911 | 1,105,370 | ||||||
Microchip Technology, Inc.(a) | 29,472 | 2,274,649 | ||||||
8,064,512 | ||||||||
Software — 8.4% |
| |||||||
Check Point Software Technologies Ltd. (Israel)*(a) | 28,349 | 3,092,309 | ||||||
Electronic Arts, Inc.* | 35,046 | 3,705,063 | ||||||
Intuit, Inc. | 15,135 | 2,010,079 | ||||||
Red Hat, Inc.* | 51,460 | 4,927,295 | ||||||
ServiceNow, Inc.* | 35,230 | 3,734,380 | ||||||
Splunk, Inc.*(a) | 39,904 | 2,270,139 | ||||||
19,739,265 | ||||||||
Specialty Retail — 5.3% |
| |||||||
Advance Auto Parts, Inc. | 14,513 | 1,692,071 | ||||||
AutoZone, Inc.* | 2,086 | 1,189,979 | ||||||
Burlington Stores, Inc.* | 34,117 | 3,138,423 | ||||||
Ross Stores, Inc. | 43,459 | 2,508,888 | ||||||
Ulta Beauty, Inc.* | 13,491 | 3,876,504 | ||||||
12,405,865 | ||||||||
COMMON STOCKS (continued) | Shares | Value | ||||||
Textiles, Apparel & Luxury Goods — 0.5% |
| |||||||
Coach, Inc. | 25,855 | $ | 1,223,976 | |||||
Trading Companies & Distributors — 1.3% |
| |||||||
Fastenal Co. | 34,247 | 1,490,772 | ||||||
MSC Industrial Direct Co., Inc. (Class A Stock) | 17,870 | 1,536,105 | ||||||
3,026,877 | ||||||||
TOTAL LONG-TERM INVESTMENTS |
| 228,295,601 | ||||||
SHORT-TERM INVESTMENTS — 8.7% | ||||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Fund(w) | 4,558,858 | 4,558,858 | ||||||
Prudential Investment Portfolios 2 —Prudential Institutional Money Market Fund(cost $16,082,171; includes $16,065,978 of cash collateral for securities on loan)(b)(w) | 16,081,940 | 16,083,548 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
| 20,642,406 | ||||||
TOTAL INVESTMENTS — 105.7% |
| 248,938,007 | ||||||
LIABILITIES IN EXCESS OF OTHER |
| (13,504,729 | ) | |||||
NET ASSETS — 100.0% |
| $ | 235,433,278 | |||||
The following abbreviation is used in the semiannual report:
LIBOR | London Interbank Offered Rate |
* | 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 $15,708,933; cash collateral of $16,065,978 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2—Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Fair Value Measurements:
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— | unadjusted 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, 2017 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Airlines | $ | 2,119,096 | $ | — | $ | — | ||||||
Auto Components | 3,173,631 | — | — | |||||||||
Banks | 3,456,753 | — | — | |||||||||
Biotechnology | 4,269,784 | — | — | |||||||||
Building Products | 2,457,530 | — | — | |||||||||
Capital Markets | 9,305,089 | — | — | |||||||||
Chemicals | 6,161,908 | — | — | |||||||||
Commercial Services & Supplies | 4,688,658 | — | — | |||||||||
Communications Equipment | 3,298,684 | — | — | |||||||||
Construction & Engineering | 2,046,208 | — | — | |||||||||
Construction Materials | 2,209,299 | — | — | |||||||||
Consumer Finance | 4,025,529 | — | — | |||||||||
Containers & Packaging | 2,389,692 | — | — | |||||||||
Electrical Equipment | 4,662,012 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 8,592,090 | — | — | |||||||||
Energy Equipment & Services | 1,295,431 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 11,618,642 | — | — | |||||||||
Food & Staples Retailing | 2,646,220 | — | — | |||||||||
Food Products | 4,451,858 | — | — | |||||||||
Health Care Equipment & Supplies | 10,839,594 | — | — | |||||||||
Health Care Providers & Services | 10,558,974 | — | — | |||||||||
Hotels, Restaurants & Leisure | 11,467,821 | — | — | |||||||||
Household Durables | 3,609,983 | — | — | |||||||||
Household Products | 3,561,237 | — | — | |||||||||
Industrial Conglomerates | 6,420,164 | — | — | |||||||||
Internet & Direct Marketing Retail | 1,966,289 | — | — | |||||||||
IT Services | 13,456,752 | — | — | |||||||||
Life Sciences Tools & Services | 3,793,721 | — | — | |||||||||
Machinery | 1,185,729 | — | — | |||||||||
Media | 4,553,974 | — | — | |||||||||
Mortgage Real Estate Investment Trusts (REITs) | 4,835,731 | — | — | |||||||||
Multiline Retail | 7,434,799 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 3,574,354 | — | — | |||||||||
Pharmaceuticals | 3,790,645 | — | — | |||||||||
Professional Services | 4,375,947 | — | — | |||||||||
Real Estate Management & Development | 3,712,764 | — | — | |||||||||
Road & Rail | 1,828,514 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 8,064,512 | — | — | |||||||||
Software | 19,739,265 | — | — | |||||||||
Specialty Retail | 12,405,865 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 1,223,976 | — | — | |||||||||
Trading Companies & Distributors | 3,026,877 | — | — | |||||||||
Affiliated Mutual Funds | 20,642,406 | — | — | |||||||||
Total | $ | 248,938,007 | $ | — | $ | — | ||||||
During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.
SEE NOTES TO FINANCIAL STATEMENTS.
A3
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:
Affiliated Mutual Funds (including 6.8% of collateral for securities on loan) | 8.7 | % | ||
Software | 8.4 | |||
IT Services | 5.7 | |||
Specialty Retail | 5.3 | |||
Equity Real Estate Investment Trusts (REITs) | 4.9 | |||
Hotels, Restaurants & Leisure | 4.9 | |||
Health Care Equipment & Supplies | 4.6 | |||
Health Care Providers & Services | 4.5 | |||
Capital Markets | 4.0 | |||
Electronic Equipment, Instruments & Components | 3.7 | |||
Semiconductors & Semiconductor Equipment | 3.4 | |||
Multiline Retail | 3.2 | |||
Industrial Conglomerates | 2.7 | |||
Chemicals | 2.6 | |||
Mortgage Real Estate Investment Trusts (REITs) | 2.1 | |||
Commercial Services & Supplies | 2.0 | |||
Electrical Equipment | 2.0 | |||
Media | 1.9 | |||
Food Products | 1.9 | |||
Professional Services | 1.9 | |||
Biotechnology | 1.8 | |||
Consumer Finance | 1.7 | |||
Life Sciences Tools & Services | 1.6 |
Pharmaceuticals | 1.6 | % | ||
Real Estate Management & Development | 1.6 | |||
Household Durables | 1.5 | |||
Oil, Gas & Consumable Fuels | 1.5 | |||
Household Products | 1.5 | |||
Banks | 1.5 | |||
Communications Equipment | 1.4 | |||
Auto Components | 1.3 | |||
Trading Companies & Distributors | 1.3 | |||
Food & Staples Retailing | 1.1 | |||
Building Products | 1.0 | |||
Containers & Packaging | 1.0 | |||
Construction Materials | 0.9 | |||
Airlines | 0.9 | |||
Construction & Engineering | 0.9 | |||
Internet & Direct Marketing Retail | 0.8 | |||
Road & Rail | 0.8 | |||
Energy Equipment & Services | 0.6 | |||
Textiles, Apparel & Luxury Goods | 0.5 | |||
Machinery | 0.5 | |||
105.7 | ||||
Liabilities in excess of other assets | (5.7 | ) | ||
100.0 | % | |||
Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions 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 financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received(2) | Net Amount | |||||||||
Securities on Loan | 15,708,933 | $ | (15,708,933 | ) | $ | — | ||||||
(1) | Amount represents market value. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2017
ASSETS | ||||
Investments at value, including securities on loan of $15,708,933: | ||||
Unaffiliated investments (cost $162,055,859) | $ | 228,295,601 | ||
Affiliated investments (cost $20,641,029) | 20,642,406 | |||
Cash | 4,847 | |||
Receivable for investments sold | 4,694,044 | |||
Dividends receivable | 166,415 | |||
Tax reclaim receivable | 4,832 | |||
Prepaid expenses | 551 | |||
Total Assets | 253,808,696 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 16,065,978 | |||
Payable for investments purchased | 2,061,488 | |||
Management fee payable | 116,923 | |||
Accrued expenses | 81,790 | |||
Payable for Series shares repurchased | 47,568 | |||
Affiliated transfer agent fee payable | 980 | |||
Deferred trustees’ fees | 422 | |||
Distribution fee payable | 168 | |||
Administration fee payable | 101 | |||
Total Liabilities | 18,375,418 | |||
NET ASSETS | $ | 235,433,278 | ||
Net assets were comprised of: |
| |||
Paid-in capital | $ | 60,924,872 | ||
Retained earnings | 174,508,406 | |||
Net assets, June 30, 2017 | $ | 235,433,278 | ||
Class I: | ||||
Net asset value and redemption price per share $234,619,266 / 17,414,091 outstanding shares of beneficial interest | $ | 13.47 | ||
Class II: | ||||
Net asset value and redemption price per share $814,012 / 63,888 outstanding shares of beneficial interest | $ | 12.74 | ||
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2017
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income | $ | 1,092,873 | ||
Affiliated dividend income | 29,427 | |||
Income from securities lending, net (including affiliated income of $10,389) | 11,141 | |||
Total income | 1,133,441 | |||
EXPENSES | ||||
Management fee | 688,180 | |||
Distribution fee—Class II | 1,002 | |||
Administration fee—Class II | 601 | |||
Shareholders’ reports | 32,000 | |||
Custodian and accounting fees | 28,000 | |||
Audit fee | 13,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Trustees’ fees | 6,000 | |||
Legal fees and expenses | 5,000 | |||
Miscellaneous | 5,894 | |||
Total expenses | 785,677 | |||
NET INVESTMENT INCOME (LOSS) | 347,764 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain (loss) on investment transactions (including affiliated of $1,367) | 8,254,940 | |||
Net change in unrealized appreciation (depreciation) on investments (including affiliated of $(3,492)) | 16,350,212 | |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 24,605,152 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 24,952,916 | ||
STATEMENT OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 347,764 | $ | 217,866 | ||||
Net realized gain (loss) on investment transactions | 8,254,940 | 13,547,265 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 16,350,212 | (5,142,581 | ) | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 24,952,916 | 8,622,550 | ||||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold | 2,181,768 | 6,067,187 | ||||||
Series shares repurchased | (10,146,486 | ) | (20,680,651 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (7,964,718 | ) | (14,613,464 | ) | ||||
CAPITAL CONTRIBUTIONS | — | 283,188 | ||||||
TOTAL INCREASE (DECREASE) | 16,988,198 | (5,707,726 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 218,445,080 | 224,152,806 | ||||||
End of period | $ | 235,433,278 | $ | 218,445,080 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A5
NOTES TO FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
(Unaudited)
1. General |
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as a diversified open-end management investment company. The Series Fund is composed of seventeen Portfolios (“Portfolios”), each with separate series shares. The information presented in these financial statements pertains to SP Prudential U.S. Emerging Growth Portfolio (the “Portfolio”).
The Portfolio’s investment objective is long-term capital appreciation.
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 (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or “the Manager”) (formerly known as Prudential Investments LLC). Under the current valuation procedures, the 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 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 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. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies 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.
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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 invest up to 15% of its net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, a Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s Subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of a Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.
Foreign Currency Translation: The books and records of the Portfolio are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities — at the current rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolio does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions.
Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, forward currency contracts, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.
Master Netting Arrangements: The Series Fund, on behalf of 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. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the
B2
reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off, and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
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 an affiliated 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 borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed on the Statement of Operations as “Income from securities lending, net”.
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 or economic instability or the level of governmental supervision and regulation of foreign securities markets.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on 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 (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 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 their distributive share of partnership items. Withholding taxes on foreign dividends, interest and capital gains are accrued 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. The Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Distributions: Distributions, if any, from the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
3. Agreements |
The Series Fund, on behalf of the Portfolio, has a management agreement with PGIM Investments. Pursuant to this agreement, PGIM Investments has responsibility for all investment management services and supervises the subadviser’s performance of such services. PGIM Investments has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”) (the “Subadviser”), under which Jennison provides investment advisory services for the Portfolio. PGIM Investments pays for the services of the Subadviser, cost
B3
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 PGIM Investments is accrued daily and payable monthly at an annual rate of 0.60% of the Portfolio’s average daily net assets.
The Series Fund, on behalf of 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 Series Fund has an administration agreement with PGIM Investments, which acts as the administrator of the Class II shares of the Portfolio. The administration fee paid to PGIM Investments is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.
PGIM Investments, PIMS and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
The Series Fund, on behalf of the Portfolio, has entered into brokerage commission recapture agreements with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those portfolios generating the applicable trades. Such amounts are included within realized gain (loss) on investment transactions presented in the Statement of Operations. For the six months ended June 30, 2017, brokerage commission recaptured under these agreements was $5,418.
4. Other | Transactions with Affiliates |
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolio. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
The Portfolio may invest its overnight sweep cash in the Prudential Core Ultra Short Bond Fund (the “Core Fund”) and its securities lending cash collateral in the Prudential Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. For the reporting period ended June 30, 2017, PGIM, Inc., an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, was compensated $8,132 by PGIM Investments for managing the Portfolio’s securities lending cash collateral as subadviser to the Money Market Fund. Earnings from the Core Fund and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
In February 2016, Prudential, the parent company of the Investment Manager self reported to the Securities and Exchange Commission (“SEC”) and certain other regulators that, in some cases, it failed to maximize securities lending income for the Portfolio of the Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid the affected Portfolio an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Series Fund. The amount of opportunity loss payment to the Portfolio is disclosed in the Portfolio’s “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.
In addition to the above, Prudential has paid and continues to directly pay certain legal, audit and other charges in connection with the matter on behalf of the Portfolios.
The SEC Staff and other regulators continue to review the matter.
B4
The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board. For the period ended June 30, 2017 no such transactions were entered into by the Portfolio.
5. Portfolio | Securities |
The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Treasury securities) for the six months ended June 30, 2017, were as $43,259,724 and $50,817,322, respectively.
6. Tax | Information |
The Portfolio is treated as a partnership for tax purposes. The character of the cash distributions, if any, made by the partnership is generally classified as nontaxable return of capital distributions. After each fiscal year each shareholder of record 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 fair market value.
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 provision for income tax is 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.
7. Borrowings |
The Series Fund, on behalf of 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 6, 2016 through October 5, 2017. The Funds pay an annualized commitment fee of .15% of the unused portion of the SCA. The Portfolio’s portion of the commitment fee for the unused amount, allocated based upon a method approved by the Board, is accrued daily and paid quarterly. The interest on borrowings under the SCA is paid monthly and at a per annum interest rate based upon a contractual spread plus the higher of (1) the effective federal funds rate, (2) the 1-month LIBOR rate or (3) zero percent.
The Portfolio did not utilize the SCA during the six months ended June 30, 2017.
8. 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. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. 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, 2017, the Portfolio has Class II shares outstanding.
B5
Transactions in shares of beneficial interest were as follows:
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2017: | ||||||||
Series shares sold | 167,168 | $ | 2,175,605 | |||||
Series shares repurchased | (775,514 | ) | (10,092,687 | ) | ||||
Net increase (decrease) in shares outstanding | (608,346 | ) | $ | (7,917,082 | ) | |||
Year ended December 31, 2016: | ||||||||
Series shares sold | 518,814 | $ | 6,023,301 | |||||
Series shares repurchased | (1,782,606 | ) | (20,549,488 | ) | ||||
Capital contributions | — | 282,097 | ||||||
Net increase (decrease) in shares outstanding | (1,263,792 | ) | $ | (14,244,090 | ) | |||
Class II: | ||||||||
Six months ended June 30, 2017: | ||||||||
Series shares sold | 503 | $ | 6,163 | |||||
Series shares repurchased | (4,351 | ) | (53,799 | ) | ||||
Net increase (decrease) in shares outstanding | (3,848 | ) | $ | (47,636 | ) | |||
Year ended December 31, 2016: | ||||||||
Series shares sold | 4,148 | $ | 43,886 | |||||
Series shares repurchased | (11,782 | ) | (131,163 | ) | ||||
Capital contributions | — | 1,091 | ||||||
Net increase (decrease) in shares outstanding | (7,634 | ) | $ | (86,186 | ) | |||
9. Ownership | and Affiliates |
As of June 30, 2017, 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.
10. Recent | Accounting Pronouncements and Reporting Updates |
On October 13, 2016, the SEC adopted new rules and forms and amended existing rules and forms which are intended to modernize and enhance the reporting and disclosure of information by registered investment companies and to improve the quality of information that funds provide to investors, including modifications to Regulation S-X which would require standardized, enhanced disclosure about derivatives in investment company financial statements. The compliance dates of the modifications to Regulation S-X are August 1, 2017 and other amendments and rules are generally June 1, 2018 and December 1, 2018. Management is currently evaluating the impacts to the financial statement disclosures.
B6
Financial Highlights
SP Prudential U.S. Emerging Growth Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2017(d) | Year Ended December 31, | |||||||||||||||||||||||
2016(d) | 2015(d) | 2014(d) | 2013(d) | 2012 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 12.08 | $ | 11.58 | $ | 11.86 | $ | 10.83 | $ | 8.43 | $ | 7.80 | ||||||||||||
Income From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .02 | .01 | — | (c) | .02 | .01 | .06 | |||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.37 | .47 | (.28 | ) | 1.01 | 2.39 | 1.21 | |||||||||||||||||
Total from investment operations | 1.39 | .48 | (.28 | ) | 1.03 | 2.40 | 1.27 | |||||||||||||||||
Less Distributions: | — | — | — | — | — | (.64 | ) | |||||||||||||||||
Capital Contributions(e) | — | .02 | — | — | — | — | ||||||||||||||||||
Net Asset Value, end of period | $ | 13.47 | $ | 12.08 | $ | 11.58 | $ | 11.86 | $ | 10.83 | $ | 8.43 | ||||||||||||
Total Return(a) | 11.51 | % | 4.32 | %(f) | (2.36 | )% | 9.51 | % | 28.47 | % | 16.88 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 234.6 | $ | 217.7 | $ | 223.3 | $ | 249.1 | $ | 251.8 | $ | 221.0 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .68 | %(g) | .69 | % | .67 | % | .68 | % | .68 | % | .67 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .68 | %(g) | .69 | % | .67 | % | .68 | % | .68 | % | .67 | % | ||||||||||||
Net investment income (loss) | .30 | %(g) | .10 | % | (.01 | )% | .22 | % | .08 | % | .73 | % | ||||||||||||
Portfolio turnover rate | 19 | %(h) | 35 | % | 34 | % | 45 | % | 38 | % | 44 | % | ||||||||||||
SP Prudential U.S. Emerging Growth Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2017(d) | Year Ended December 31, | |||||||||||||||||||||||
2016(d) | 2015(d) | 2014(d) | 2013(d) | 2012 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 11.44 | $ | 11.02 | $ | 11.33 | $ | 10.38 | $ | 8.12 | $ | 7.53 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | (.01 | ) | (.03 | ) | (.05 | ) | (.02 | ) | (.03 | ) | .04 | |||||||||||||
Net realized and unrealized gain (loss) on investments | 1.31 | .43 | (.26 | ) | .97 | 2.29 | 1.16 | |||||||||||||||||
Total from investment operations | 1.30 | .40 | (.31 | ) | .95 | 2.26 | 1.20 | |||||||||||||||||
Less Distributions: | — | — | — | — | — | (.61 | ) | |||||||||||||||||
Capital Contributions(e) | — | .02 | — | — | — | — | ||||||||||||||||||
Net Asset Value, end of period | $ | 12.74 | $ | 11.44 | $ | 11.02 | $ | 11.33 | $ | 10.38 | $ | 8.12 | ||||||||||||
Total Return(a) | 11.36 | % | 3.81 | %(f) | (2.74 | )% | 9.15 | % | 27.83 | % | 16.44 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | .8 | $ | .8 | $ | .8 | $ | 1.0 | $ | .7 | $ | .4 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.08 | %(g) | 1.09 | % | 1.07 | % | 1.08 | % | 1.08 | % | 1.07 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.08 | %(g) | 1.09 | % | 1.07 | % | 1.08 | % | 1.08 | % | 1.07 | % | ||||||||||||
Net investment income (loss) | (.10 | )%(g) | (.30 | )% | (.40 | )% | (.19 | )% | (.32 | )% | .38 | % | ||||||||||||
Portfolio turnover rate | 19 | %(h) | 35 | % | 34 | % | 45 | % | 38 | % | 44 | % |
(a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | Less than $.005 per share. |
(d) | Calculated based on average shares outstanding during the period. |
(e) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(f) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return for Class I and Class II would have been 4.15% and 3.63%, respectively. |
(g) | Annualized. |
(h) | 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 nine individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios, their operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with PGIM Investments LLC (“PGIM Investments”) and the SP Prudential U.S. Emerging Growth Portfolio’s (the Portfolio) subadvisory agreement. As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 13-14, 2017 (“the Meeting”) and approved the renewal of the agreements through July 31, 2018, 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 requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.
In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of the Portfolio, the profitability of PGIM Investments 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 PGIM Investments and subadviser personnel such as portfolio managers.
The Trustees determined that the overall arrangements between the Trust and PGIM Investments, which serves as the Trust’s investment manager pursuant to a management agreement, and between PGIM Investments and Jennison Associates LLC (Jennison), which serves as the Portfolio’s subadviser pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests 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 Board considered the approval of the agreements for the Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on a Portfolio-by-Portfolio basis.
The material factors and conclusions that formed the basis for the Trustees’ determinations to approve the renewal of the agreements are discussed separately below.
Nature, quality and extent of services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PGIM Investments and the subadviser. The Board considered the services provided by PGIM Investments, including but not limited to the oversight of the subadviser, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PGIM Investments’ oversight of the subadviser, the Board noted that PGIM Investments’ Strategic Investment Research Group (SIRG), a business unit of PGIM Investments, 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 PGIM Investments pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by the subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PGIM Investments’ evaluation of the subadviser, as well as PGIM Investments’ recommendation, based on its review of the subadviser, to renew the subadvisory agreement.
The Board reviewed the qualifications, backgrounds and responsibilities of PGIM Investments’ senior management responsible for the oversight of the Trust and the subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadviser’s
portfolio managers who are responsible for the day-to-day management of the Portfolio. The Board was provided with information pertaining to PGIM Investments’ and the subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PGIM Investments and the subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PGIM Investments and the subadviser. The Board noted that Jennison Associates LLC (Jennison), which serves as the subadviser to the Portfolio, is affiliated with PGIM Investments.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PGIM Investments and the subadvisory services provided to the Portfolio by the subadviser, and that there was a reasonable basis on which to conclude that the Portfolio benefits from the services provided by PGIM Investments and the subadviser under the management and subadvisory agreements.
Costs of Services and Profits Realized by PGIM Investments
The Board was provided with information on the profitability of PGIM Investments and its affiliates in serving as the Trust’s investment manager. The Board discussed with PGIM Investments 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 affiliate of PGIM Investments, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of PGIM Investments and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board received and discussed information concerning whether PGIM Investments 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 PGIM Investments’ costs are not specific to individual funds, but rather are incurred across a variety of products and services.
Other Benefits to PGIM Investments and the Subadviser
The Board considered potential ancillary benefits that might be received by PGIM Investments, the subadviser, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PGIM Investments included compensation received by insurance company affiliates of PGIM Investments from the subadviser, as well as benefits to its reputation or other intangible benefits resulting from PGIM Investments’ association with the Trust. The Board also considered information provided by PGIM Investments 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 PGIM Investments 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 subadviser included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadviser, 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 PGIM Investments and the subadviser were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of the Portfolio / Fees and Expenses / Other Factors
With respect to the Portfolio, the Board also considered certain additional specific factors and made related conclusions relating to the historical performance of the Portfolio for the one-, three-, five- and ten-year periods ended December 31, 2016, except as otherwise noted below. 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 Broadridge, Inc. (Broadridge), 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 2016. The Board considered the management fee for the Portfolio as compared to the management fee charged by PGIM Investments to
other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for the Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in the Peer Universe and each Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolio in various quartiles, with the 1st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PGIM Investments deems appropriate, and for reasons addressed in detail with the Board, PGIM Investments may have provided and the Board may have considered, supplemental data compiled by Broadridge for the Board’s consideration.
The section below summarizes key factors considered by the Board and the Board’s conclusions regarding the Portfolio’s performance, fees and overall expenses. The section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
SP Prudential U.S. Emerging Growth Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
3rd Quartile | 3rd 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 considered information provided by PGIM Investments, which indicated that, because the Portfolio maintained a more conservative risk profile and higher quality bias in comparison to the Peer Universe and the benchmark index, it was difficult for the Portfolio to perform well on a comparative basis during the strong market rallies that characterized much of the past several years. |
• | In this regard, the Board considered information provided by PGIM Investments, which indicated that, during 2008 and 2011, when market declines resulted in defensively-oriented markets, the Portfolio outperformed its benchmark index and the Peer Universe median. |
• | The Board also noted that the Portfolio’s recent performance had shown improvement, with the Portfolio outperforming its benchmark index for the fourth quarter of 2016 and the first quarter of 2017. |
• | The Board also noted that it would continue to closely monitor the Portfolio’s performance. |
• | The Board concluded that, in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
**********
After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, the Portfolio and its beneficial shareholders.
The prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract 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 calendar 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.
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 may offer 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) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, 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 07102-3714
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Prudential
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.
©2017 Prudential Financial, Inc. and its related entities. Prudential Investments, 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.
PSF-SAR-SP US EM GROWTH
The Prudential Series Fund
SEMIANNUAL REPORT | June 30, 2017 |
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, 2017, 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.
SP Small Cap Value Portfolio
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The Prudential Series Fund
Table of Contents | Semiannual Report | June 30, 2017 |
∎ | LETTER TO CONTRACT OWNERS |
∎ | PRESENTATION OF PORTFOLIO HOLDINGS |
∎ | FEES AND EXPENSES |
∎ | FINANCIAL REPORTS |
Section A | Schedule of Investments and Financial Statements | |||
Section B | Notes to Financial Statements | |||
Section C | Financial Highlights |
∎ | 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, 2017 |
∎ | 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. 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, 2017 |
Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2017 |
SP Small Cap Value | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Black Hills Corp. | 1.3% | |||
Webster Financial Corp. | 1.2% | |||
Pinnacle Financial Partners, Inc. | 1.2% | |||
Pebblebrook Hotel Trust | 1.2% | |||
Portland General Electric Co. | 1.0% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Sectors are subject to change.
The Prudential Series Fund
Fees and Expenses — unaudited | June 30, 2017 |
As a contract owner investing in the Portfolio 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, 2017 through June 30, 2017.
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 Portfolio | Beginning Account Value January 1, 2017 | Ending Account Value June 30, 2017 | 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 | $ | 1,018.30 | 1.02 | % | $ | 5.10 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.74 | 1.02 | % | $ | 5.11 |
* 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, 2017, and divided by the 365 days in the Portfolio's fiscal year ending December 31, 2017 (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 | as of June 30, 2017 (unaudited) |
LONG-TERM INVESTMENTS — 98.6% | ||||||||
COMMON STOCKS — 97.6% | Shares | Value | ||||||
Aerospace & Defense — 2.7% |
| |||||||
Curtiss-Wright Corp. | 8,454 | $ | 775,908 | |||||
Esterline Technologies Corp.* | 13,397 | 1,270,036 | ||||||
KLX, Inc.* | 27,553 | 1,377,650 | ||||||
Mercury Systems, Inc.*(a) | 21,417 | 901,442 | ||||||
Moog, Inc. (Class A Stock)* | 15,824 | 1,134,897 | ||||||
5,459,933 | ||||||||
Air Freight & Logistics — 1.1% |
| |||||||
Forward Air Corp. | 10,394 | 553,792 | ||||||
XPO Logistics, Inc.* | 26,377 | 1,704,746 | ||||||
2,258,538 | ||||||||
Airlines — 0.3% |
| |||||||
Spirit Airlines, Inc.* | 10,131 | 523,266 | ||||||
Auto Components — 0.7% |
| |||||||
Cooper Tire & Rubber Co.(a) | 2,734 | 98,698 | ||||||
Dana, Inc. | 48,910 | 1,092,160 | ||||||
Standard Motor Products, Inc. | 6,086 | 317,811 | ||||||
1,508,669 | ||||||||
Automobiles — 0.2% |
| |||||||
Winnebago Industries, Inc.(a) | 13,342 | 466,970 | ||||||
Banks — 19.8% |
| |||||||
Ameris Bancorp | 19,022 | 916,860 | ||||||
BancorpSouth, Inc. | 29,490 | 899,445 | ||||||
Banner Corp.(g) | 30,155 | 1,704,059 | ||||||
Boston Private Financial Holdings, Inc. | 48,891 | 750,477 | ||||||
Brookline Bancorp, Inc. | 41,528 | 606,309 | ||||||
Bryn Mawr Bank Corp. | 396 | 16,830 | ||||||
CenterState Banks, Inc. | 41,929 | 1,042,355 | ||||||
CoBiz Financial, Inc. | 36,356 | 632,594 | ||||||
Columbia Banking System, Inc. | 40,724 | 1,622,851 | ||||||
Community Bank System, Inc.(a) | 20,685 | 1,153,603 | ||||||
ConnectOne Bancorp, Inc. | 27,224 | 613,901 | ||||||
CU Bancorp* | 11,421 | 412,869 | ||||||
CVB Financial Corp.(a) | 69,843 | 1,566,579 | ||||||
First Financial Bankshares, Inc.(a) | 28,417 | 1,256,031 | ||||||
First Merchants Corp. | 30,855 | 1,238,520 | ||||||
First Midwest Bancorp, Inc. | 40,561 | 945,477 | ||||||
First of Long Island Corp. (The) | 14,780 | 422,708 | ||||||
Flushing Financial Corp. | 22,919 | 646,087 | ||||||
Glacier Bancorp, Inc. | 37,233 | 1,363,100 | ||||||
Great Western Bancorp, Inc. | 38,206 | 1,559,187 | ||||||
Guaranty Bancorp | 15,913 | 432,834 | ||||||
Heritage Financial Corp. | 19,690 | 521,785 | ||||||
Home BancShares, Inc. | 36,218 | 901,828 | ||||||
Independent Bank Corp. | 17,316 | 1,154,111 | ||||||
Independent Bank Group, Inc. | 10,382 | 617,729 | ||||||
Lakeland Financial Corp. | 17,981 | 824,968 | ||||||
LegacyTexas Financial Group, Inc. | 41,276 | 1,573,854 | ||||||
MB Financial, Inc. | 37,554 | 1,653,878 | ||||||
National Commerce Corp.* | 4,707 | 186,162 | ||||||
PacWest Bancorp | 17,509 | 817,670 | ||||||
Pinnacle Financial Partners, Inc. | 39,403 | 2,474,508 | ||||||
Prosperity Bancshares, Inc. | 19,410 | 1,246,898 | ||||||
Renasant Corp. | 33,194 | 1,451,906 | ||||||
Sandy Spring Bancorp, Inc. | 13,119 | 533,419 | ||||||
South State Corp. | 18,275 | 1,566,168 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Banks (continued) |
| |||||||
State Bank Financial Corp. | 21,832 | $ | 592,084 | |||||
Texas Capital Bancshares, Inc.* | 19,636 | 1,519,826 | ||||||
TriCo Bancshares | 13,506 | 474,736 | ||||||
Webster Financial Corp. | 47,405 | 2,475,489 | ||||||
40,389,695 | ||||||||
Building Products — 0.9% |
| |||||||
Gibraltar Industries, Inc.* | 24,979 | 890,501 | ||||||
Masonite International Corp.* | 4,369 | 329,860 | ||||||
Patrick Industries, Inc.* | 7,144 | 520,440 | ||||||
1,740,801 | ||||||||
Capital Markets — 1.2% |
| |||||||
Golub Capital BDC, Inc. | 12,756 | 243,894 | ||||||
OM Asset Management PLC | 48,842 | 725,792 | ||||||
Stifel Financial Corp.* | 26,963 | 1,239,759 | ||||||
Virtu Financial, Inc. (Class A | 18,869 | 333,038 | ||||||
2,542,483 | ||||||||
Chemicals — 2.0% |
| |||||||
GCP Applied Technologies, Inc.* | 4,464 | 136,152 | ||||||
Minerals Technologies, Inc. | 18,811 | 1,376,965 | ||||||
Olin Corp. | 14,246 | 431,369 | ||||||
Quaker Chemical Corp. | 4,518 | 656,149 | ||||||
Trinseo SA | 7,800 | 535,860 | ||||||
Tronox Ltd. (Class A Stock) | 59,404 | 898,189 | ||||||
4,034,684 | ||||||||
Commercial Services & Supplies — 1.5% |
| |||||||
ABM Industries, Inc. | 35,405 | 1,470,016 | ||||||
Advanced Disposal Services, Inc.* | 30,839 | 700,970 | ||||||
Mobile Mini, Inc. | 25,244 | 753,533 | ||||||
US Ecology, Inc. | 2,495 | 125,998 | ||||||
3,050,517 | ||||||||
Communications Equipment — 1.6% |
| |||||||
Extreme Networks, Inc.* | 19,036 | 175,512 | ||||||
Finisar Corp.* | 17,996 | 467,536 | ||||||
NetScout Systems, Inc.* | 40,116 | 1,379,990 | ||||||
Viavi Solutions, Inc.* | 114,420 | 1,204,843 | ||||||
3,227,881 | ||||||||
Construction & Engineering — 1.0% |
| |||||||
EMCOR Group, Inc. | 21,901 | 1,431,888 | ||||||
Granite Construction, Inc.(a) | 12,880 | 621,331 | ||||||
2,053,219 | ||||||||
Construction Materials — 1.0% |
| |||||||
Eagle Materials, Inc. | 9,191 | 849,432 | ||||||
Summit Materials, Inc. (Class A Stock)* | 43,997 | 1,270,194 | ||||||
2,119,626 | ||||||||
Containers & Packaging — 0.6% |
| |||||||
Berry Global Group, Inc.* | 22,059 | 1,257,584 | ||||||
Diversified Consumer Services — 0.1% |
| |||||||
Adtalem Global Education, Inc. | 6,072 | 230,432 | ||||||
Electric Utilities — 2.6% |
| |||||||
IDACORP, Inc. | 16,827 | 1,436,184 | ||||||
PNM Resources, Inc. | 46,889 | 1,793,504 | ||||||
Portland General Electric Co. | 47,398 | 2,165,615 | ||||||
5,395,303 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A1
SP SMALL CAP VALUE PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Electrical Equipment — 0.2% |
| |||||||
Thermon Group Holdings, Inc.* | 26,694 | $ | 511,724 | |||||
Electronic Equipment, Instruments & Components — 2.9% |
| |||||||
Anixter International, Inc.* | 14,694 | 1,149,071 | ||||||
CTS Corp. | 29,423 | 635,537 | ||||||
II-VI, Inc.* | 10,336 | 354,525 | ||||||
OSI Systems, Inc.*(a) | 9,083 | 682,587 | ||||||
SYNNEX Corp. | 14,704 | 1,763,892 | ||||||
Tech Data Corp.* | 13,342 | 1,347,542 | ||||||
5,933,154 | ||||||||
Energy Equipment & Services — 0.8% |
| |||||||
Basic Energy Services, Inc.*(a) | 13,866 | 345,263 | ||||||
C&J Energy Services, Inc.*(a) | 23,837 | 816,894 | ||||||
NCS Multistage Holdings, Inc.* | 17,372 | 437,427 | ||||||
1,599,584 | ||||||||
Equity Real Estate Investment Trusts (REITs) — 7.2% |
| |||||||
Acadia Realty Trust | 68,749 | 1,911,222 | ||||||
Care Capital Properties, Inc. | 21,890 | 584,463 | ||||||
Chesapeake Lodging Trust | 72,892 | 1,783,667 | ||||||
Columbia Property Trust, Inc. | 41,537 | 929,598 | ||||||
CyrusOne, Inc.(a) | 29,924 | 1,668,263 | ||||||
Hudson Pacific Properties, Inc. | 26,642 | 910,890 | ||||||
Life Storage, Inc. | 22,646 | 1,678,069 | ||||||
National Health Investors, Inc. | 5,761 | 456,271 | ||||||
Pebblebrook Hotel Trust(a) | 75,025 | 2,418,806 | ||||||
PS Business Parks, Inc. | 6,802 | 900,517 | ||||||
RLJ Lodging Trust | 37,857 | 752,219 | ||||||
Terreno Realty Corp. | 22,581 | 760,076 | ||||||
14,754,061 | ||||||||
Food & Staples Retailing — 0.3% |
| |||||||
SpartanNash Co. | 12,632 | 327,927 | ||||||
SUPERVALU, Inc.* | 65,418 | 215,225 | ||||||
543,152 | ||||||||
Food Products — 1.2% |
| |||||||
Hain Celestial Group, Inc. (The)* | 20,202 | 784,242 | ||||||
Snyder’s-Lance, Inc.(a) | 46,088 | 1,595,566 | ||||||
2,379,808 | ||||||||
Gas Utilities — 1.7% |
| |||||||
Chesapeake Utilities Corp. | 1,857 | 139,182 | ||||||
New Jersey Resources Corp. | 43,975 | 1,745,808 | ||||||
South Jersey Industries, Inc. | 44,465 | 1,519,369 | ||||||
3,404,359 | ||||||||
Health Care Equipment & Supplies — 2.4% |
| |||||||
CONMED Corp. | 19,206 | 978,354 | ||||||
Halyard Health, Inc.* | 24,730 | 971,394 | ||||||
Hill-Rom Holdings, Inc. | 5,150 | 409,992 | ||||||
ICU Medical, Inc.* | 3,757 | 648,082 | ||||||
Integra LifeSciences Holdings Corp.* | 19,310 | 1,052,588 | ||||||
Wright Medical Group NV*(a) | 29,041 | 798,337 | ||||||
4,858,747 | ||||||||
Health Care Providers & Services — 1.4% |
| |||||||
Acadia Healthcare Co., Inc.*(a) | 23,067 | 1,139,049 | ||||||
Almost Family, Inc.* | 11,273 | 694,980 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Health Care Providers & Services (continued) |
| |||||||
American Renal Associates Holdings, Inc.*(a) | 14,438 | $ | 267,825 | |||||
AMN Healthcare Services, Inc.*(a) | 13,362 | 521,786 | ||||||
Kindred Healthcare, Inc. | 15,992 | 186,307 | ||||||
2,809,947 | ||||||||
Health Care Technology — 0.7% |
| |||||||
Allscripts Healthcare Solutions, Inc.* | 65,264 | 832,769 | ||||||
HMS Holdings Corp.* | 27,605 | 510,692 | ||||||
1,343,461 | ||||||||
Hotels, Restaurants & Leisure — 3.3% |
| |||||||
Boyd Gaming Corp. | 28,478 | 706,539 | ||||||
Extended Stay America, Inc. | 44,563 | 862,740 | ||||||
Hilton Grand Vacations, Inc.* | 42,807 | 1,543,621 | ||||||
Jack in the Box, Inc. | 5,628 | 554,358 | ||||||
Marriott Vacations Worldwide Corp.(a) | 11,047 | 1,300,784 | ||||||
Red Rock Resorts, Inc. (Class A Stock) | 27,589 | 649,721 | ||||||
Vail Resorts, Inc. | 4,552 | 923,282 | ||||||
Wingstop, Inc.* | 7,961 | 245,995 | ||||||
6,787,040 | ||||||||
Household Durables — 1.1% |
| |||||||
Meritage Homes Corp.* | 14,081 | 594,218 | ||||||
Taylor Morrison Home Corp. (Class A Stock)* | 12,723 | 305,479 | ||||||
TopBuild Corp.* | 20,179 | 1,070,900 | ||||||
William Lyon Homes (Class A | 13,586 | 327,966 | ||||||
2,298,563 | ||||||||
Household Products — 0.2% |
| |||||||
Spectrum Brands Holdings, Inc.(a) | 3,190 | 398,878 | ||||||
Insurance — 4.4% |
| |||||||
AMERISAFE, Inc. | 10,535 | 599,968 | ||||||
CNO Financial Group, Inc. | 82,064 | 1,713,496 | ||||||
Enstar Group Ltd. (Bermuda)* | 3,310 | 657,532 | ||||||
James River Group Holdings Ltd. | 15,588 | 619,311 | ||||||
Kinsale Capital Group, Inc. | 18,126 | 676,281 | ||||||
Maiden Holdings Ltd. | 42,042 | 466,666 | ||||||
National General Holdings Corp. | 30,739 | 648,593 | ||||||
Primerica, Inc. | 10,961 | 830,296 | ||||||
ProAssurance Corp. | 14,801 | 899,901 | ||||||
RLI Corp.(a) | 15,965 | 872,008 | ||||||
Selective Insurance Group, Inc. | 18,420 | 921,921 | ||||||
8,905,973 | ||||||||
Internet Software & Services — 0.3% |
| |||||||
Cornerstone OnDemand, Inc.* | 19,767 | 706,670 | ||||||
Investment Company — 0.5% |
| |||||||
Conyers Park Acquisition Corp.* | 94,375 | 1,111,738 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A2
SP SMALL CAP VALUE PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
IT Services — 0.7% |
| |||||||
Convergys Corp.(a) | 27,086 | $ | 644,105 | |||||
DST Systems, Inc. | 12,713 | 784,392 | ||||||
1,428,497 | ||||||||
Machinery — 3.9% |
| |||||||
Barnes Group, Inc. | 12,166 | 712,076 | ||||||
CIRCOR International, Inc. | 12,292 | 729,899 | ||||||
Federal Signal Corp. | 50,490 | 876,506 | ||||||
ITT, Inc. | 25,649 | 1,030,577 | ||||||
RBC Bearings, Inc.* | 4,571 | 465,145 | ||||||
Rexnord Corp.* | 31,215 | 725,749 | ||||||
Standex International Corp. | 5,697 | 516,718 | ||||||
Terex Corp. | 31,324 | 1,174,650 | ||||||
TriMas Corp.* | 43,727 | 911,708 | ||||||
Watts Water Technologies, Inc. (Class A Stock) | 12,771 | 807,127 | ||||||
7,950,155 | ||||||||
Media — 1.8% |
| |||||||
Live Nation Entertainment, Inc.* | 46,520 | 1,621,222 | ||||||
MSG Networks, Inc. (Class A Stock)* | 21,841 | 490,330 | ||||||
Nexstar Media Group, Inc. (Class A Stock)(a) | 16,430 | 982,514 | ||||||
WideOpenWest, Inc.* | 37,265 | 648,411 | ||||||
3,742,477 | ||||||||
Metals & Mining — 1.8% |
| |||||||
AK Steel Holding Corp.*(a) | 79,966 | 525,377 | ||||||
Allegheny Technologies, Inc.*(a) | 6,502 | 110,599 | ||||||
Carpenter Technology Corp. | 1,305 | 48,846 | ||||||
Century Aluminum Co.* | 19,011 | 296,191 | ||||||
Cliffs Natural Resources, Inc.*(a) | 34,615 | 239,536 | ||||||
Commercial Metals Co. | 55,801 | 1,084,213 | ||||||
Hecla Mining Co. | 57,073 | 291,072 | ||||||
Kaiser Aluminum Corp. | 6,076 | 537,848 | ||||||
Royal Gold, Inc.(a) | 4,705 | 367,790 | ||||||
Ryerson Holding Corp.* | 25,607 | 253,509 | ||||||
3,754,981 | ||||||||
Mortgage Real Estate Investment Trusts (REITs) — 2.4% |
| |||||||
Blackstone Mortgage Trust, Inc. (Class A Stock)(a) | 44,505 | 1,406,358 | ||||||
Granite Point Mortgage Trust, Inc.* | 47,746 | 903,354 | ||||||
PennyMac Mortgage Investment Trust | 59,508 | 1,088,402 | ||||||
Two Harbors Investment Corp. | 153,511 | 1,521,294 | ||||||
4,919,408 | ||||||||
Multi-Utilities — 1.3% |
| |||||||
Black Hills Corp.(a) | 39,112 | 2,638,887 | ||||||
Oil, Gas & Consumable Fuels — 4.9% |
| |||||||
Callon Petroleum Co.*(a) | 130,041 | 1,379,735 | ||||||
CONSOL Energy, Inc.* | 32,051 | 478,842 | ||||||
Golar LNG Ltd. (Bermuda)(a) | 64,371 | 1,432,255 | ||||||
Jagged Peak Energy, Inc.*(a) | 39,188 | 523,160 | ||||||
Oasis Petroleum, Inc.* | 61,828 | 497,715 |
COMMON STOCKS (continued) | Shares | Value | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
PDC Energy, Inc.*(a) | 21,347 | $ | 920,269 | |||||
Rice Energy, Inc.* | 50,042 | 1,332,619 | ||||||
RSP Permian, Inc.* | 54,007 | 1,742,806 | ||||||
SRC Energy, Inc.*(a) | 80,233 | 539,968 | ||||||
WPX Energy, Inc.* | 114,755 | 1,108,533 | ||||||
9,955,902 | ||||||||
Paper & Forest Products — 0.3% |
| |||||||
KapStone Paper and Packaging Corp. | 24,421 | 503,805 | ||||||
Mercer International, Inc. (Canada) | 11,982 | 137,793 | ||||||
641,598 | ||||||||
Pharmaceuticals — 0.5% |
| |||||||
Catalent, Inc.* | 22,275 | 781,852 | ||||||
Prestige Brands Holdings, Inc.* | 3,939 | 208,019 | ||||||
989,871 | ||||||||
Professional Services — 0.5% |
| |||||||
On Assignment, Inc.* | 20,159 | 1,091,610 | ||||||
Real Estate Management & Development — 0.6% |
| |||||||
Kennedy-Wilson Holdings, Inc.(a) | 60,040 | 1,143,762 | ||||||
Road & Rail — 1.0% |
| |||||||
Knight Transportation, Inc.(a) | 20,067 | 743,482 | ||||||
Marten Transport Ltd. | 19,217 | 526,546 | ||||||
Saia, Inc.* | 16,144 | 828,187 | ||||||
2,098,215 | ||||||||
Semiconductors & Semiconductor Equipment — 2.3% |
| |||||||
Cree, Inc.*(a) | 30,071 | 741,250 | ||||||
Cypress Semiconductor Corp.(a) | 68,256 | 931,694 | ||||||
Entegris, Inc.* | 58,829 | 1,291,297 | ||||||
MKS Instruments, Inc.(a) | 9,630 | 648,099 | ||||||
Semtech Corp.* | 29,592 | 1,057,914 | ||||||
Silicon Laboratories, Inc.* | 1,932 | 132,052 | ||||||
4,802,306 | ||||||||
Software — 2.0% |
| |||||||
Bottomline Technologies (de), Inc.* | 22,970 | 590,099 | ||||||
CommVault Systems, Inc.* | 22,461 | 1,267,924 | ||||||
Imperva, Inc.* | 9,244 | 442,325 | ||||||
Verint Systems, Inc.* | 43,030 | 1,751,321 | ||||||
4,051,669 | ||||||||
Specialty Retail — 2.0% |
| |||||||
Boot Barn Holdings, Inc.*(a) | 18,560 | 131,405 | ||||||
Burlington Stores, Inc.* | 17,079 | 1,571,097 | ||||||
Children’s Place, Inc. (The)(a) | 6,411 | 654,563 | ||||||
Lithia Motors, Inc. (Class A Stock)(a) | 11,238 | 1,058,957 | ||||||
Office Depot, Inc. | 84,639 | 477,364 | ||||||
Party City Holdco, Inc.*(a) | 19,165 | 299,932 | ||||||
4,193,318 | ||||||||
Technology Hardware, Storage & Peripherals — 0.3% |
| |||||||
Electronics For Imaging, Inc.* | 14,209 | 673,222 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A3
SP SMALL CAP VALUE PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
COMMON STOCKS (continued) | Shares | Value | ||||||
Textiles, Apparel & Luxury Goods — 0.4% |
| |||||||
Columbia Sportswear Co. | 5,422 | $ | 314,802 | |||||
Wolverine World Wide, Inc. | 19,825 | 555,298 | ||||||
870,100 | ||||||||
Thrifts & Mortgage Finance — 2.6% |
| |||||||
MGIC Investment Corp.* | 70,696 | 791,795 | ||||||
OceanFirst Financial Corp. | 18,268 | 495,428 | ||||||
Oritani Financial Corp. | 18,022 | 307,275 | ||||||
Provident Financial Services, Inc. | 33,067 | 839,241 | ||||||
Radian Group, Inc. | 56,168 | 918,347 | ||||||
Washington Federal, Inc. | 35,925 | 1,192,710 | ||||||
WSFS Financial Corp. | 15,918 | 721,881 | ||||||
5,266,677 | ||||||||
Trading Companies & Distributors — 2.4% |
| |||||||
Beacon Roofing Supply, Inc.* | 26,117 | 1,279,733 | ||||||
Foundation Building Materials, Inc.* | 38,127 | 490,313 | ||||||
Herc Holdings, Inc.* | 22,033 | 866,338 | ||||||
Kaman Corp. | 19,597 | 977,302 | ||||||
Univar, Inc.* | 42,146 | 1,230,663 | ||||||
4,844,349 | ||||||||
TOTAL COMMON STOCKS |
| 199,663,464 | ||||||
EXCHANGE TRADED FUND — 1.0% |
| |||||||
iShares Russell 2000 Value ETF | 17,466 | 2,076,183 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 201,739,647 | ||||||
SHORT-TERM INVESTMENTS — 17.5% | Shares | Value | ||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w) | 3,585,359 | $ | 3,585,359 | |||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund | 32,147,244 | 32,150,459 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
| 35,735,818 | ||||||
TOTAL INVESTMENTS — 116.1% |
| 237,475,465 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (16.1)% |
| (33,010,824 | ) | |||||
NET ASSETS — 100.0% |
| $ | 204,464,641 | |||||
The following abbreviation is used in the semiannual report:
ETF | Exchange Traded Fund | |
LIBOR | London Interbank Offered Rate |
* | 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 $31,323,427; cash collateral of $32,119,459 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(g) | Indicates a security that has been deemed illiquid; the aggregate value of 1,704,059 is 0.8% of net assets. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund. |
Fair value measurements:
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— | unadjusted 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, 2017 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
| |||||||||||
Common Stocks |
| |||||||||||
Aerospace & Defense | $ | 5,459,933 | $ | — | $ | — | ||||||
Air Freight & Logistics | 2,258,538 | — | — | |||||||||
Airlines | 523,266 | — | — | |||||||||
Auto Components | 1,508,669 | — | — | |||||||||
Automobiles | 466,970 | — | — | |||||||||
Banks | 40,389,695 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
SP SMALL CAP VALUE PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) |
| |||||||||||
Common Stocks (continued) |
| |||||||||||
Building Products | $ | 1,740,801 | $ | — | $ | — | ||||||
Capital Markets | 2,542,483 | — | — | |||||||||
Chemicals | 4,034,684 | — | — | |||||||||
Commercial Services & Supplies | 3,050,517 | — | — | |||||||||
Communications Equipment | 3,227,881 | — | — | |||||||||
Construction & Engineering | 2,053,219 | — | — | |||||||||
Construction Materials | 2,119,626 | — | — | |||||||||
Containers & Packaging | 1,257,584 | — | — | |||||||||
Diversified Consumer Services | 230,432 | — | — | |||||||||
Electric Utilities | 5,395,303 | — | — | |||||||||
Electrical Equipment | 511,724 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 5,933,154 | — | — | |||||||||
Energy Equipment & Services | 1,599,584 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 14,754,061 | — | — | |||||||||
Food & Staples Retailing | 543,152 | — | — | |||||||||
Food Products | 2,379,808 | — | — | |||||||||
Gas Utilities | 3,404,359 | — | — | |||||||||
Health Care Equipment & Supplies | 4,858,747 | — | — | |||||||||
Health Care Providers & Services | 2,809,947 | — | — | |||||||||
Health Care Technology | 1,343,461 | — | — | |||||||||
Hotels, Restaurants & Leisure | 6,787,040 | — | — | |||||||||
Household Durables | 2,298,563 | — | — | |||||||||
Household Products | 398,878 | — | — | |||||||||
Insurance | 8,905,973 | — | — | |||||||||
Internet Software & Services | 706,670 | — | — | |||||||||
Investment Company | 1,111,738 | — | — | |||||||||
IT Services | 1,428,497 | — | — | |||||||||
Machinery | 7,950,155 | — | — | |||||||||
Media | 3,742,477 | — | — | |||||||||
Metals & Mining | 3,754,981 | — | — | |||||||||
Mortgage Real Estate Investment Trusts (REITs) | 4,919,408 | — | — | |||||||||
Multi-Utilities | 2,638,887 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 9,955,902 | — | — | |||||||||
Paper & Forest Products | 641,598 | — | — | |||||||||
Pharmaceuticals | 989,871 | — | — | |||||||||
Professional Services | 1,091,610 | — | — | |||||||||
Real Estate Management & Development | 1,143,762 | — | — | |||||||||
Road & Rail | 2,098,215 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 4,802,306 | — | — | |||||||||
Software | 4,051,669 | — | — | |||||||||
Specialty Retail | 4,193,318 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 673,222 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 870,100 | — | — | |||||||||
Thrifts & Mortgage Finance | 5,266,677 | — | — | |||||||||
Trading Companies & Distributors | 4,844,349 | — | — | |||||||||
Exchange Traded Fund | 2,076,183 | — | — | |||||||||
Affiliated Mutual Funds | 35,735,818 | — | — | |||||||||
Total | $ | 237,475,465 | $ | — | $ | — | ||||||
During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.
SEE NOTES TO FINANCIAL STATEMENTS.
A5
SP SMALL CAP VALUE PORTFOLIO (continued) |
SCHEDULE OF INVESTMENTS | as of June 30, 2017 (unaudited) |
Industry classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:
Banks | 19.8 | % | ||
Affiliated Mutual Funds (including 15.7% of collateral for securities on loan) | 17.5 | |||
Equity Real Estate Investment Trusts (REITs) | 7.2 | |||
Oil, Gas & Consumable Fuels | 4.9 | |||
Insurance | 4.4 | |||
Machinery | 3.9 | |||
Hotels, Restaurants & Leisure | 3.3 | |||
Electronic Equipment, Instruments & Components | 2.9 | |||
Aerospace & Defense | 2.7 | |||
Electric Utilities | 2.6 | |||
Thrifts & Mortgage Finance | 2.6 | |||
Mortgage Real Estate Investment Trusts (REITs) | 2.4 | |||
Health Care Equipment & Supplies | 2.4 | |||
Trading Companies & Distributors | 2.4 | |||
Semiconductors & Semiconductor Equipment | 2.3 | |||
Specialty Retail | 2.0 | |||
Software | 2.0 | |||
Chemicals | 2.0 | |||
Metals & Mining | 1.8 | |||
Media | 1.8 | |||
Gas Utilities | 1.7 | |||
Communications Equipment | 1.6 | |||
Commercial Services & Supplies | 1.5 | |||
Health Care Providers & Services | 1.4 | |||
Multi-Utilities | 1.3 | |||
Capital Markets | 1.2 | |||
Food Products | 1.2 | |||
Household Durables | 1.1 |
Air Freight & Logistics | 1.1 | % | ||
Construction Materials | 1.0 | |||
Road & Rail | 1.0 | |||
Exchange Traded Fund | 1.0 | |||
Construction & Engineering | 1.0 | |||
Building Products | 0.9 | |||
Energy Equipment & Services | 0.8 | |||
Auto Components | 0.7 | |||
IT Services | 0.7 | |||
Health Care Technology | 0.7 | |||
Containers & Packaging | 0.6 | |||
Real Estate Management & Development | 0.6 | |||
Investment Companies | 0.5 | |||
Professional Services | 0.5 | |||
Pharmaceuticals | 0.5 | |||
Textiles, Apparel & Luxury Goods | 0.4 | |||
Internet Software & Services | 0.3 | |||
Technology Hardware, Storage & Peripherals | 0.3 | |||
Paper & Forest Products | 0.3 | |||
Food & Staples Retailing | 0.3 | |||
Airlines | 0.3 | |||
Electrical Equipment | 0.2 | |||
Automobiles | 0.2 | |||
Household Products | 0.2 | |||
Diversified Consumer Services | 0.1 | |||
116.1 | ||||
Liabilities in excess of other assets | (16.1 | ) | ||
100.0 | % | |||
Financial instruments/transactions—summary of offsetting and netting arrangements:
The Portfolio entered into financial instruments/transactions 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 financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial instrument/transaction assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received(2) | Net Amount | |||||||||
Securities on Loan | 31,323,427 | $ | (31,323,427 | ) | $ | — |
(1) | Amount represents market value. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A6
SP SMALL CAP VALUE PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
(unaudited)
as of June 30, 2017
ASSETS | ||||
Investments at value, including securities on loan of $31,323,427: | ||||
Unaffiliated investments (cost $155,202,050) | $ | 201,739,647 | ||
Affiliated investments (cost $35,733,256) | 35,735,818 | |||
Receivable for investments sold | 3,010,070 | |||
Dividends and interest receivable | 317,194 | |||
Receivable for Series shares sold | 7,146 | |||
Tax reclaim receivable | 5,933 | |||
Prepaid expenses | 214 | |||
Total assets | 240,816,022 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 32,119,459 | |||
Payable for investments purchased | 3,924,798 | |||
Management fee payable | 150,164 | |||
Accrued expenses and other liabilities | 141,160 | |||
Payable for Series shares repurchased | 14,513 | |||
Affiliated transfer agent fee payable | 980 | |||
Deferred trustees’ fees | 155 | |||
Loan interest payable | 152 | |||
Total liabilities | 36,351,381 | |||
NET ASSETS | $ | 204,464,641 | ||
Net assets were comprised of: |
| |||
Paid-in capital | $ | 55,143,019 | ||
Retained earnings | 149,321,622 | |||
Net assets, June 30, 2017 | $ | 204,464,641 | ||
Class I: | ||||
Net asset value and redemption price per share $204,464,641 / 8,559,769 outstanding shares of beneficial interest | $ | 23.89 | ||
STATEMENT OF OPERATIONS
(unaudited)
Six Months Ended June 30, 2017
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income | $ | 1,436,097 | ||
Income from securities lending, net (including affiliated income of $34,759) | 35,936 | |||
Affiliated dividend income | 8,549 | |||
Total income | 1,480,582 | |||
EXPENSES | ||||
Management fee | 930,234 | |||
Custodian and accounting fees | 47,000 | |||
Shareholders’ reports | 40,000 | |||
Audit fee | 14,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Trustees’ fees | 6,000 | |||
Legal fees and expenses | 5,000 | |||
Loan interest expense | 152 | |||
Miscellaneous | 6,332 | |||
Total expenses | 1,054,718 | |||
Less: Management fee waiver and/or expense reimbursement | (8,269 | ) | ||
Net expenses | 1,046,449 | |||
NET INVESTMENT INCOME (LOSS) | 434,133 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on investment transactions (including affiliated of $(486)) | 12,304,580 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $(2,561)) | (9,046,520 | ) | ||
Foreign currencies | 202 | |||
(9,046,318 | ) | |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 3,258,262 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 3,692,395 | ||
STATEMENT OF CHANGES IN NET ASSETS
(unaudited)
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 434,133 | $ | 1,426,515 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 12,304,580 | 4,852,450 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (9,046,318 | ) | 37,713,704 | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 3,692,395 | 43,992,669 | ||||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [124,402 and 369,150 shares, respectively] | 2,965,850 | 7,536,151 | ||||||
Series shares repurchased [560,027 and 1,514,712 shares, respectively] | (13,237,089 | ) | (30,263,917 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (10,271,239 | ) | (22,727,766 | ) | ||||
CAPITAL CONTRIBUTIONS | — | 131,207 | ||||||
TOTAL INCREASE (DECREASE) | (6,578,844 | ) | 21,396,110 | |||||
NET ASSETS: | ||||||||
Beginning of period | 211,043,485 | 189,647,375 | ||||||
End of period | $ | 204,464,641 | $ | 211,043,485 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A7
NOTES TO FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
(unaudited)
Note 1: | General |
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as a diversified open-end management investment company. The Series Fund is composed of seventeen Portfolios (“Portfolios”), each with separate series shares. The information presented in these financial statements pertains to SP Small Cap Value Portfolio (the “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 (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or “the Manager”) (formerly known as Prudential Investments LLC). Under the current valuation procedures, the 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 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 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. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
B1
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 invest up to 15% of its net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, a Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s Subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of a Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.
Foreign Currency Translation: The books and records of the Portfolio are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities — at the current rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolio does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions.
Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, forward currency contracts, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.
Master Netting Arrangements: The Series Fund, on behalf of 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. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the
B2
reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off, and the right of set-off Is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
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 an affiliated 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 borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed on the Statement of Operations as “Income from securities lending, net”.
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 or economic instability or the level of governmental supervision and regulation of foreign securities markets.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on 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 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 their distributive share of partnership items. Withholding taxes on foreign dividends, interest and capital gains are accrued 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. The Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Distributions: Distributions, if any, from the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Note 3: | Agreements |
The Series Fund, on behalf of the Portfolio, has entered into an management agreement with PGIM Investments. Pursuant to this agreement, PGIM Investments has responsibility for all investment management services and supervises the subadviser’s performance of such services. PGIM Investments has entered into a subadvisory agreement with Goldman Sachs Asset Management, L.P. (“GSAM”) (the “Subadviser”), under which GSAM provides investment advisory services for the Portfolio. PGIM Investments 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.
B3
The management fee paid to PGIM Investments is accrued daily and payable monthly at an annual rate of 0.90% of the Portfolio’s average daily net assets. PGIM Investments has contractually agreed, through June 30, 2018, 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 effective management fee rate was .89% for the six months ended June 30, 2017.
PGIM Investments is an indirect, wholly-owned subsidiary of Prudential Financial, Inc. (“Prudential”)
The Series Fund, on behalf of the Portfolio, has entered into brokerage commission recapture agreements with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those portfolios generating the applicable trades. Such amounts are included within realized gain or loss on investment transactions presented in the Statement of Operations. For the six months ended June 30, 2017, brokerage commission recaptured under these agreements was $2,382.
Note 4: | Other Transactions with Affiliates |
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolio. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
The Portfolio invests its overnight sweep cash in the Prudential Core Ultra Short Bond Fund (the “Core Fund”) and its securities lending cash collateral in the Prudential Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. Earnings from the Core Fund and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
For the reporting period ended June 30, 2017, PGIM, Inc. was compensated $12,461 by PGIM Investments for managing the Portfolio’s securities lending cash collateral as subadviser to the Money Market Fund.
In February 2016, Prudential, the parent company of the Investment Manager self reported to the Securities and Exchange Commission (“SEC”) and certain other regulators that, in some cases, it failed to maximize securities lending income for the Portfolio of the Series Fund due to a long-standing restriction benefiting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid the affected Portfolio an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Series Fund. The amount of opportunity loss payment to the Portfolio is disclosed in the Portfolio’s “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.
In addition to the above, Prudential has paid and continues to directly pay certain legal, audit and other charges in connection with the matter on behalf of the Portfolios.
The SEC Staff and other regulators continue to review the matter.
The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board. For the period ended June 30, 2017 no such transactions were entered into by the Portfolio.
Note 5: | Portfolio Securities |
The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Treasury securities) for the six months ended June 30, 2017, were as $70,516,768 and $79,622,010 respectively.
B4
Note 6: | Tax Information |
The Portfolio is treated as a partnership for tax purposes. The character of the cash distributions, if any, made by the partnership is generally classified as nontaxable return of capital distributions. After each fiscal year each shareholder of record 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 fair market value.
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 provision for income tax is 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: | Borrowings |
The Series Fund, on behalf of 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 6, 2016 through October 5, 2017. The Funds pay an annualized commitment fee of .15% of the unused portion of the SCA. The Portfolio’s portion of the commitment fee for the unused amount, allocated based upon a method approved by the Board, is accrued daily and paid quarterly. The interest on borrowings under the SCA is paid monthly and at a per annum interest rate based upon a contractual spread plus the higher of (1) the effective federal funds rate, (2) the 1-month LIBOR rate or (3) zero percent.
The Portfolio utilized the SCA during the six months ended June 30,2017. The average daily balance for the 1 day that the Portfolio had loans outstanding during the period was approximately $2,375,000 borrowed at a weighted average interest rate of 2.30%. The maximum loan outstanding amount during the period was $2,375,000. At June 30, 2017, the Portfolio did not have an outstanding loan amount.
Note 8: | 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 9: | Ownership and Affiliates |
As of June 30,2017, 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: | Recent Accounting Pronouncements and Reporting Updates |
On October 13, 2016, the SEC adopted new rules and forms and amended existing rules and forms which are intended to modernize and enhance the reporting and disclosure of information by registered investment companies and to improve the quality of information that funds provide to investors, including modifications to Regulation S-X which would require standardized, enhanced disclosure about derivatives in investment company financial statements. The compliance dates of the modifications to Regulation S-X are August 1, 2017 and other amendments and rules are generally June 1, 2018 and December 1, 2018. Management is currently evaluating the impacts to the financial statement disclosures.
B5
Financial Highlights
SP Small Cap Value Portfolio | ||||||||||||||||||||||||
Six Months Ended June 30, 2017(c) | Year Ended December 31, | |||||||||||||||||||||||
2016(c) | 2015(c) | 2014 | 2013 | 2012 | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 23.46 | $ | 18.70 | $ | 19.76 | $ | 18.83 | $ | 13.70 | $ | 11.86 | ||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .05 | .15 | .10 | .14 | .10 | .16 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | .38 | 4.60 | (1.16 | ) | .79 | 5.03 | 1.74 | |||||||||||||||||
Total from investment operations | .43 | 4.75 | (1.06 | ) | .93 | 5.13 | 1.90 | |||||||||||||||||
Less Distributions: | — | — | — | — | — | (.06 | ) | |||||||||||||||||
Capital Contributions(d) | — | .01 | — | — | — | — | ||||||||||||||||||
Net Asset Value, end of period | $ | 23.89 | $ | 23.46 | $ | 18.70 | $ | 19.76 | $ | 18.83 | $ | 13.70 | ||||||||||||
Total Return(a) | 1.83 | % | 25.45 | %(e) | (5.36 | )% | 4.94 | % | 37.45 | % | 16.06 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 204.5 | $ | 211.0 | $ | 189.6 | $ | 217.1 | $ | 228.3 | $ | 179.6 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.01 | %(f) | 1.01 | % | 1.02 | % | .99 | % | 1.01 | % | 1.01 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.02 | %(f) | 1.02 | % | 1.03 | % | 1.00 | % | 1.01 | % | 1.01 | % | ||||||||||||
Net investment income (loss) | .42 | %(f) | .75 | % | .54 | % | .56 | % | .52 | % | 1.14 | % | ||||||||||||
Portfolio turnover rate | 34 | %(g) | 57 | % | 94 | % | 41 | % | 56 | % | 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, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods 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 on average shares outstanding during the period. |
(d) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(e) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 25.40%. |
(f) | Annualized |
(g) | 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 nine individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios, their operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with PGIM Investments LLC (“PGIM Investments”) and the SP Small Cap Value Portfolio’s (the Portfolio) subadvisory agreement. As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 13-14, 2017 (“the Meeting”) and approved the renewal of the agreements through July 31, 2018, 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 requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.
In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of the Portfolio, the profitability of PGIM Investments 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 PGIM Investments and subadviser personnel such as portfolio managers.
The Trustees determined that the overall arrangements between the Trust and PGIM Investments, which serves as the Trust’s investment manager pursuant to a management agreement, and between PGIM Investments and Goldman Sachs Asset Management, L.P., which serves as the Portfolio’s subadviser pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests 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 Board considered the approval of the agreements for the Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on a Portfolio-by-Portfolio basis.
The material factors and conclusions that formed the basis for the Trustees’ determinations to approve the renewal of the agreements are discussed separately below.
Nature, quality and extent of services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PGIM Investments and the subadviser. The Board considered the services provided by PGIM Investments, including but not limited to the oversight of the subadviser, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PGIM Investments’ oversight of the subadviser, the Board noted that PGIM Investments’ Strategic Investment Research Group (SIRG), a business unit of PGIM Investments, 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 PGIM Investments pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by the subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PGIM Investments’ evaluation of the subadviser, as well as PGIM Investments’ recommendation, based on its review of the subadviser, to renew the subadvisory agreement.
The Board reviewed the qualifications, backgrounds and responsibilities of PGIM Investments’ senior management responsible for the oversight of the Trust and the subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadviser’s portfolio managers who are responsible for the day-to-day management of the Portfolio. The Board was provided with information pertaining to PGIM Investments’ and the subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PGIM Investments and the subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PGIM Investments and the subadviser.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PGIM Investments and the subadvisory services provided to the Portfolio by the subadviser, and that there was a reasonable basis on which to conclude that the Portfolio benefits from the services provided by PGIM Investments and the subadviser under the management and subadvisory agreements.
Costs of Services and Profits Realized by PGIM Investments
The Board was provided with information on the profitability of PGIM Investments and its affiliates in serving as the Trust’s investment manager. The Board discussed with PGIM Investments 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 PGIM Investments and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board received and discussed information concerning whether PGIM Investments 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 PGIM Investments’ costs are not specific to individual funds, but rather are incurred across a variety of products and services.
Other Benefits to PGIM Investments and the Subadviser
The Board considered potential ancillary benefits that might be received by PGIM Investments, the subadviser, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PGIM Investments included compensation received by insurance company affiliates of PGIM Investments from the subadviser, as well as benefits to its reputation or other intangible benefits resulting from PGIM Investments’ association with the Trust. The Board also considered information provided by PGIM Investments 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 PGIM Investments 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 subadviser included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadviser, 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 PGIM Investments and the subadviser were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of the Portfolio / Fees and Expenses / Other Factors
With respect to the Portfolio, the Board also considered certain additional specific factors and made related conclusions relating to the historical performance of the Portfolio for the one-, three-, five- and ten-year periods ended December 31, 2016, except as otherwise noted below. 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 Broadridge, Inc. (Broadridge), 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 2016. The Board considered the management fee for the Portfolio as compared to the management fee charged by PGIM Investments to
other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for the Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in the Peer Universe and each Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolio in various quartiles, with the 1st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PGIM Investments deems appropriate, and for reasons addressed in detail with the Board, PGIM Investments may have provided and the Board may have considered, supplemental data compiled by Broadridge for the Board’s consideration.
The section below summarizes key factors considered by the Board and the Board’s conclusions regarding the Portfolio’s performance, fees and overall expenses. The section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
SP Small Cap Value Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
3rd Quartile | 3rd Quartile | 2nd Quartile | 2nd Quartile | |||||
Actual Management Fees: 3rd 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 its benchmark index over the one-year period. |
• | The Board considered that, prior to 2016, the Portfolio outperformed its Peer Universe median and benchmark index in seven of the previous nine calendar years. |
• | The Board noted that PGIM Investments had contractually agreed to waive 0.008% of its management fee through June 30, 2018. |
• | 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, the Portfolio and its beneficial shareholders.
The prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract 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 calendar 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.
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 may offer 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) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, 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 07102-3714
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Prudential
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.
©2017 Prudential Financial, Inc. and its related entities. Prudential Investments, 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.
PSF-SAR-SP SMALL CAP VAL
The Prudential Series Fund
SEMIANNUAL REPORT | June 30, 2017 |
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, 2017, 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.
Jennison 20/20 Focus Portfolio
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The Prudential Series Fund
Table of Contents | Semiannual Report | June 30, 2017 |
∎ | LETTER TO CONTRACT OWNERS |
∎ | PRESENTATION OF PORTFOLIO HOLDINGS |
∎ | FEES AND EXPENSES |
∎ | FINANCIAL REPORTS |
Section A | Schedule of Investments and Financial Statements | |
Section B | Notes to Financial Statements | |
Section C | Financial Highlights |
∎ | APPROVAL OF ADVISORY AGREEMENTS |
The Prudential Series Fund
Letter to Contract Owners | Semiannual Report | June 30, 2017 |
∎ | 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. 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, 2017 |
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | June 30, 2017 |
Jennison 20/20 Focus | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Alibaba Group Holding Ltd. | 4.7% | |||
Microsoft Corp. | 4.6% | |||
Apple, Inc. | 4.3% | |||
Tencent Holdings Ltd.(China) | 3.9% | |||
Celgene Corp. | 3.8% |
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, 2017 |
As a contract owner investing in the Portfolio 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, 2017 through June 30, 2017.
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 Portfolio | Beginning Account Value January 1, 2017 | Ending Account Value June 30, 2017 | Annualized Expense Ratio based on the | Expenses Paid During the Six-Month period* | ||||||||||||||
Jennison 20/20 Focus (Class I) | Actual | $ | 1,000.00 | $ | 1,144.10 | 0.83 | % | $ | 4.41 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.68 | 0.83 | % | $ | 4.16 | ||||||||||
Jennison 20/20 Focus (Class II) | Actual | $ | 1,000.00 | $ | 1,141.60 | 1.23 | % | $ | 6.53 | |||||||||
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, 2017, and divided by the 365 days in the Portfolio’s fiscal year ending December 31, 2017 (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 | June 30, 2017 (unaudited) |
LONG-TERM INVESTMENTS — 99.6% | ||||||||
COMMON STOCKS | Shares | Value | ||||||
Aerospace & Defense — 1.7% |
| |||||||
United Technologies Corp. | 29,531 | $ | 3,606,030 | |||||
|
| |||||||
Automobiles — 2.3% |
| |||||||
Tesla, Inc.* | 13,580 | 4,910,664 | ||||||
|
| |||||||
Banks — 5.2% |
| |||||||
JPMorgan Chase & Co. | 64,412 | 5,887,257 | ||||||
PNC Financial Services Group, Inc. (The) | 41,150 | 5,138,400 | ||||||
|
| |||||||
11,025,657 | ||||||||
|
| |||||||
Biotechnology — 6.4% |
| |||||||
BioMarin Pharmaceutical, Inc.* | 37,521 | 3,407,657 | ||||||
Celgene Corp.* | 62,650 | 8,136,356 | ||||||
Shire PLC, ADR | 12,349 | 2,040,919 | ||||||
|
| |||||||
13,584,932 | ||||||||
|
| |||||||
Capital Markets — 2.7% |
| |||||||
Goldman Sachs Group, Inc. (The) | 25,687 | 5,699,945 | ||||||
|
| |||||||
Chemicals — 1.4% |
| |||||||
Dow Chemical Co. (The) | 47,921 | 3,022,377 | ||||||
|
| |||||||
Consumer Finance — 1.7% |
| |||||||
SLM Corp.* | 307,424 | 3,535,376 | ||||||
|
| |||||||
Electric Utilities — 1.6% |
| |||||||
PG&E Corp. | 50,856 | 3,375,313 | ||||||
|
| |||||||
Energy Equipment & Services — 1.2% |
| |||||||
Halliburton Co. | 60,512 | 2,584,468 | ||||||
|
| |||||||
Food & Staples Retailing — 1.2% |
| |||||||
Wal-Mart Stores, Inc. | 34,706 | 2,626,550 | ||||||
|
| |||||||
Food Products — 1.0% |
| |||||||
Mondelez International, Inc. | 47,704 | 2,060,336 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 1.4% |
| |||||||
Zimmer Biomet Holdings, Inc. | 22,509 | 2,890,156 | ||||||
|
| |||||||
Health Care Providers & Services — 1.1% |
| |||||||
Cigna Corp. | 13,590 | 2,274,830 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.2% |
| |||||||
Carnival Corp. | 40,414 | 2,649,946 | ||||||
|
| |||||||
Insurance — 1.9% |
| |||||||
MetLife, Inc. | 71,658 | 3,936,891 | ||||||
|
| |||||||
Internet & Direct Marketing Retail — 6.3% |
| |||||||
Amazon.com, Inc.* | 8,090 | 7,831,120 | ||||||
Netflix, Inc.* | 37,659 | 5,626,631 | ||||||
|
| |||||||
13,457,751 | ||||||||
|
| |||||||
Internet Software & Services — 17.0% |
| |||||||
Alibaba Group Holding Ltd. (China), ADR*(a) | 70,509 | 9,934,718 | ||||||
Alphabet, Inc. (Class A Stock)* | 3,690 | 3,430,519 | ||||||
Alphabet, Inc. (Class C Stock)* | 3,776 | 3,431,365 | ||||||
eBay, Inc.* | 89,161 | 3,113,502 | ||||||
Facebook, Inc. (Class A Stock)* | 53,149 | 8,024,436 | ||||||
Tencent Holdings Ltd. (China), ADR(a) | 228,421 | 8,214,019 | ||||||
|
| |||||||
36,148,559 | ||||||||
|
| |||||||
IT Services — 3.2% | ||||||||
Mastercard, Inc. (Class A Stock) | 56,221 | 6,828,040 | ||||||
|
|
COMMON STOCKS (continued) | Shares | Value | ||||||
Machinery — 2.3% | ||||||||
Parker-Hannifin Corp. | 31,236 | $ | 4,992,137 | |||||
|
| |||||||
Media — 5.0% | ||||||||
Charter Communications, Inc. | 20,025 | 6,745,421 | ||||||
Comcast Corp. (Class A Stock) | 102,578 | 3,992,336 | ||||||
|
| |||||||
10,737,757 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.0% |
| |||||||
Noble Energy, Inc. | 67,560 | 1,911,948 | ||||||
Royal Dutch Shell PLC (Class A Stock) (Netherlands), ADR(a) | 43,147 | 2,294,989 | ||||||
|
| |||||||
4,206,937 | ||||||||
|
| |||||||
Pharmaceuticals — 2.0% | ||||||||
Allergan PLC | 8,369 | 2,034,420 | ||||||
Pfizer, Inc. | 64,840 | 2,177,976 | ||||||
|
| |||||||
4,212,396 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 8.3% |
| |||||||
Broadcom Ltd. | 32,422 | 7,555,947 | ||||||
NVIDIA Corp. | 51,072 | 7,382,968 | ||||||
Texas Instruments, Inc. | 34,137 | 2,626,160 | ||||||
|
| |||||||
17,565,075 | ||||||||
|
| |||||||
Software — 14.7% | ||||||||
Activision Blizzard, Inc. | 120,388 | 6,930,737 | ||||||
Adobe Systems, Inc.* | 51,046 | 7,219,946 | ||||||
Microsoft Corp. | 142,732 | 9,838,517 | ||||||
salesforce.com, Inc.* | 82,985 | 7,186,501 | ||||||
|
| |||||||
31,175,701 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 4.3% |
| |||||||
Apple, Inc. | 63,151 | 9,095,007 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.5% |
| |||||||
adidas AG (Germany) | 28,032 | 5,375,114 | ||||||
|
| |||||||
TOTAL LONG-TERM INVESTMENTS |
| 211,577,945 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 9.6% | ||||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(w) | 3,294,475 | 3,294,475 | ||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund (cost $17,149,826; includes $17,131,604 of cash collateral for securities on | 17,147,055 | 17,148,769 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 20,443,244 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 109.2% |
| 232,021,189 | ||||||
LIABILITIES IN EXCESS OF OTHER |
| (19,454,251 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| $ | 212,566,938 | |||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A1
JENNISON 20/20 FOCUS PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2017 (unaudited) |
The following abbreviations are used in the semiannual report.
ADR | American Depositary Receipt | |
OTC | Over-the-counter | |
LIBOR | London Interbank Offered Rate |
* | 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 $16,735,513; cash collateral of $17,131,604 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
(b) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(w) | PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and Prudential Institutional Money Market Fund. |
Fair Value Measurements:
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—unadjusted | 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, 2017 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 3,606,030 | $ | — | $ | — | ||||||
Automobiles | 4,910,664 | — | — | |||||||||
Banks | 11,025,657 | — | — | |||||||||
Biotechnology | 13,584,932 | — | — | |||||||||
Capital Markets | 5,699,945 | — | — | |||||||||
Chemicals | 3,022,377 | — | — | |||||||||
Consumer Finance | 3,535,376 | — | — | |||||||||
Electric Utilities | 3,375,313 | — | — | |||||||||
Energy Equipment & Services | 2,584,468 | — | — | |||||||||
Food & Staples Retailing | 2,626,550 | — | — | |||||||||
Food Products | 2,060,336 | — | — | |||||||||
Health Care Equipment & Supplies | 2,890,156 | — | — | |||||||||
Health Care Providers & Services | 2,274,830 | — | — | |||||||||
Hotels, Restaurants & Leisure | 2,649,946 | — | — | |||||||||
Insurance | 3,936,891 | — | — | |||||||||
Internet & Direct Marketing Retail | 13,457,751 | — | — | |||||||||
Internet Software & Services | 36,148,559 | — | — | |||||||||
IT Services | 6,828,040 | — | — | |||||||||
Machinery | 4,992,137 | — | — | |||||||||
Media | 10,737,757 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 4,206,937 | — | — | |||||||||
Pharmaceuticals | 4,212,396 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 17,565,075 | — | — | |||||||||
Software | 31,175,701 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 9,095,007 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | — | 5,375,114 | — | |||||||||
Affiliated Mutual Funds | 20,443,244 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 226,646,075 | $ | 5,375,114 | $ | — | ||||||
|
|
|
|
|
|
During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.
SEE NOTES TO FINANCIAL STATEMENTS.
A2
JENNISON 20/20 FOCUS PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | June 30, 2017 (unaudited) |
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2017 were as follows:
Internet Software & Services | 17.0 | % | ||
Software | 14.7 | |||
Affiliated Mutual Funds (including 8.1% of collateral for securities on loan) | 9.6 | |||
Semiconductors & Semiconductor Equipment | 8.3 | |||
Biotechnology | 6.4 | |||
Internet & Direct Marketing Retail | 6.3 | |||
Banks | 5.2 | |||
Media | 5.0 | |||
Technology Hardware, Storage & Peripherals | 4.3 | |||
IT Services | 3.2 | |||
Capital Markets | 2.7 | |||
Textiles, Apparel & Luxury Goods | 2.5 | |||
Machinery | 2.3 | |||
Automobiles | 2.3 | |||
Pharmaceuticals | 2.0 |
Oil, Gas & Consumable Fuels | 2.0 | % | ||
Insurance | 1.9 | |||
Aerospace & Defense | 1.7 | |||
Consumer Finance | 1.7 | |||
Electric Utilities | 1.6 | |||
Chemicals | 1.4 | |||
Health Care Equipment & Supplies | 1.4 | |||
Hotels, Restaurants & Leisure | 1.2 | |||
Food & Staples Retailing | 1.2 | |||
Energy Equipment & Services | 1.2 | |||
Health Care Providers & Services | 1.1 | |||
Food Products | 1.0 | |||
|
| |||
109.2 | ||||
Liabilities in excess of other assets | (9.2 | ) | ||
|
| |||
100.0 | % | |||
|
|
Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:
The Portfolio entered into financial instruments/transactions 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 financial investments/transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial transaction assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received(2) | Net Amount | |||||||||
Securities on Loan | 16,735,513 | $ | (16,735,513 | ) | $ | — |
(1) | Amount represents market value. |
(2) | Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions. |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
JENNISON 20/20 FOCUS PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES (unaudited)
June 30, 2017
ASSETS | ||||
Investments at value, including securities on loan of $16,735,513: | ||||
Unaffiliated investments (cost $153,304,533) | $ | 211,577,945 | ||
Affiliated investments (cost $20,444,301) | 20,443,244 | |||
Cash | 27,256 | |||
Receivable for investments sold | 2,252,217 | |||
Dividends receivable | 78,493 | |||
Tax reclaim receivable | 59,648 | |||
Receivable for Series shares sold | 21,524 | |||
Prepaid expenses | 232 | |||
|
| |||
Total Assets | 234,460,559 | |||
|
| |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 17,131,604 | |||
Payable for investments purchased | 4,270,491 | |||
Payable for Series shares repurchased | 228,630 | |||
Management fee payable | 132,607 | |||
Accrued expenses and other liabilities | 79,684 | |||
Distribution fee payable | 30,996 | |||
Administration fee payable | 18,598 | |||
Affiliated transfer agent fee payable | 980 | |||
Loan interest payable | 31 | |||
|
| |||
Total Liabilities | 21,893,621 | |||
|
| |||
NET ASSETS | $ | 212,566,938 | ||
|
| |||
Net assets were comprised of: | ||||
Paid-in capital | $ | 10,844,407 | ||
Retained earnings | 201,722,531 | |||
|
| |||
Net assets, June 30, 2017 | $ | 212,566,938 | ||
|
| |||
Class I: | ||||
Net asset value and redemption price per share $63,709,097 / 2,325,495 outstanding shares of beneficial interest | $ | 27.40 | ||
|
| |||
Class II: | ||||
Net asset value and redemption price per share $148,857,841 / 5,660,442 outstanding shares of beneficial interest | $ | 26.30 | ||
|
|
STATEMENT OF OPERATIONS (unaudited)
Six Months Ended June 30, 2017
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $14,463) | $ | 1,148,818 | ||
Affiliated dividend income | 11,284 | |||
Income from securities lending, net (including affiliated income of $3,251) | 3,346 | |||
|
| |||
Total income | 1,163,448 | |||
|
| |||
EXPENSES | ||||
Management fee | 775,290 | |||
Distribution fee—Class II | 181,491 | |||
Administration fee—Class II | 108,895 | |||
Custodian and accounting fees | 28,000 | |||
Shareholders’ reports | 23,000 | |||
Audit fee | 12,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $2,900) | 6,000 | |||
Trustees’ fees | 5,000 | |||
Legal fees and expenses | 5,000 | |||
Loan interest expense | 6 | |||
Miscellaneous | 7,333 | |||
|
| |||
Total expenses | 1,152,015 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 11,433 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated | 9,193,068 | |||
Foreign currency transactions | (9,355 | ) | ||
|
| |||
9,183,713 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $(1,057)) | 18,475,039 | |||
Foreign currencies | 535 | |||
|
| |||
18,475,574 | ||||
|
| |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 27,659,287 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 27,670,720 | ||
|
|
STATEMENT OF CHANGES IN NET ASSETS (unaudited)
Six Months Ended June 30, 2017 | Year Ended December 31, 2016 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 11,433 | $ | 216,562 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 9,183,713 | 9,680,562 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 18,475,574 | (7,955,391 | ) | |||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 27,670,720 | 1,941,733 | ||||||
|
|
|
| |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold | 3,876,709 | 15,214,557 | ||||||
Series shares repurchased | (20,764,484 | ) | (41,054,503 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (16,887,775 | ) | (25,839,946 | ) | ||||
|
|
|
| |||||
CAPITAL CONTRIBUTIONS | — | 183,135 | ||||||
|
|
|
| |||||
TOTAL INCREASE (DECREASE) | 10,782,945 | (23,715,078 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 201,783,993 | 225,499,071 | ||||||
|
|
|
| |||||
End of period | $ | 212,566,938 | $ | 201,783,993 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
A4
NOTES TO FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
(Unaudited)
Note 1: | General |
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as a diversified open-end management investment company. The Series Fund is composed of seventeen Portfolios (“Portfolios”), each with separate series shares. The information presented in these financial statements pertains to Jennison 20/20 Focus Portfolio (the “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 (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or “the Manager”) (formerly known as Prudential Investments LLC). 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 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 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. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies 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.
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.
B1
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 invest up to 15% of its net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, a Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s Subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of a Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.
Foreign Currency Translation: The books and records of the Portfolio are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities — at the current rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolio does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolio does isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.
Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, forward currency contracts, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.
Master Netting Arrangements: The Series Fund, on behalf of 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. 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. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In
B2
addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off, and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
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 an affiliated 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 borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed on the Statement of Operations as “Income from securities lending, net”.
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 or economic instability or the level of governmental supervision and regulation of foreign securities markets.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on 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 (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 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 their distributive share of partnership items. Withholding taxes on foreign dividends, interest and capital gains are accrued 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. The Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Distributions: Distributions, if any, from the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Note 3: | Agreements |
The Series Fund, on behalf of the Portfolio, has entered into a management agreement with PGIM Investments. Pursuant to this agreement, PGIM Investments has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PGIM Investments has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”) (the “Subadviser”), under which Jennison
B3
provides investment advisory services for the Portfolio. PGIM Investments 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 PGIM Investments is accrued daily and payable monthly at an annual rate of 0.75% of the Portfolio’s average daily net assets. The effective management fee rate net of waivers and/or expense reimbursement was 0.75% for the six months ended June 30, 2017.
Effective July 1, 2017, PGIM Investments has voluntarily agreed to limit the net annual operating expenses (exclusive of distribution and service (12b-1) fees, administrative fees, taxes (such as income and foreign withholdings taxes, stamp duty and deferred tax expenses), interest, underlying funds, brokerage, extraordinary and certain other expenses such as dividend, broker charges and interest expense on short sales) of each class of shares of the Portfolio to 0.80% of the Portfolio’s average daily net assets. Expenses waived/reimbursed by the Manager in accordance with this agreement may be recouped by the Manager within the same fiscal year during which such waiver/reimbursement is made if such recoupment can be realized without exceeding the expense limit in effect at the time of the recoupment for that fiscal year.
The Series Fund, on behalf of 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 Series Fund has an administration agreement with PGIM Investments, which acts as the administrator of the Class II shares of the Portfolio. The administration fee paid to PGIM Investments is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.
PGIM Investments, PIMS and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
The Series Fund, on behalf of the Portfolio, has entered into brokerage commission recapture agreements with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those portfolios generating the applicable trades. Such amounts are included within realized gain or loss on investment transactions presented in the Statement of Operations. For the six months ended June 30, 2017, brokerage commission recaptured under these agreements was $6,518.
Note 4: | Other Transactions with Affiliates |
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolio. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
The Portfolio invests its overnight sweep cash in the Prudential Core Ultra Short Bond Fund (the “Core Fund”) and its securities lending cash collateral in the Prudential Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. Earnings from the Core Fund and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
For the reporting period ended June 30, 2017, PGIM, Inc. was compensated $1,605 by PGIM Investments for managing the Portfolio’s securities lending cash collateral as subadviser to the Money Market Fund.
In February 2016, Prudential, the parent company of the Investment Manager self reported to the Securities and Exchange Commission (“SEC”) and certain other regulators that, in some cases, it failed to maximize securities lending income for the Portfolio of Prudential Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid the affected Portfolio an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was
B4
calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Series Fund. The amount of opportunity loss payment to the Portfolio is disclosed in the Portfolio’s “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.
In addition to the above, Prudential has paid and continues to directly pay certain legal, audit and other charges in connection with the matter on behalf of the Portfolios.
The SEC Staff and other regulators continue to review the matter.
The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board. For the period ended June 30, 2017 no such transactions were entered into by the Portfolio.
Note 5: | Portfolio Securities |
The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Treasury securities) for the six months ended June 30, 2017, were as $79,379,619 and $93,149,417, respectively.
Note 6: | Tax Information |
The Portfolio is treated as a partnership for tax purposes. The character of the cash distributions, if any, made by the partnership is generally classified as nontaxable return of capital distributions. After each fiscal year each shareholder of record 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 fair market value.
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 provision for income tax is 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: | Borrowings |
The Series Fund, on behalf of 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 6, 2016 through October 5, 2017. The Funds pay an annualized commitment fee of .15% of the unused portion of the SCA. The Portfolio’s portion of the commitment fee for the unused amount, allocated based upon a method approved by the Board, is accrued daily and paid quarterly. The interest on borrowings under the SCA is paid monthly and at a per annum interest rate based upon a contractual spread plus the higher of (1) the effective federal funds rate, (2) the 1-month LIBOR rate or (3) zero percent.
The Portfolio utilized the SCA during the six months ended June 30, 2017. The average daily balance for the one day that the Portfolio had loans outstanding during the period was approximately $103,000, borrowed at a weighted average interest rate of 2.10%. The maximum loan outstanding amount during the period was $103,000. At June 30, 2017, the Portfolio did not have an outstanding loan amount.
Note 8: | 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
B5
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. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. 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 were as follows:
Class I: | Shares | Amount | ||||||
Six months ended June 30, 2017: | ||||||||
Series shares sold | 35,834 | $ | 935,494 | |||||
Series shares repurchased | (187,248 | ) | (4,839,413 | ) | ||||
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Net increase (decrease) in shares outstanding | (151,414 | ) | $ | (3,903,919 | ) | |||
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Year ended December 31, 2016: | ||||||||
Series shares sold | 114,137 | $ | 2,575,783 | |||||
Series shares repurchased | (414,932 | ) | (9,490,845 | ) | ||||
Capital contributions | — | 53,376 | ||||||
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Net increase (decrease) in shares outstanding | (300,795 | ) | $ | (6,861,686 | ) | |||
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Class II: | ||||||||
Six months ended June 30, 2017: | ||||||||
Series shares sold | 119,014 | $ | 2,941,215 | |||||
Series shares repurchased | (645,063 | ) | (15,925,071 | ) | ||||
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Net increase (decrease) in shares outstanding | (526,049 | ) | $ | (12,983,856 | ) | |||
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Year ended December 31, 2016: | ||||||||
Series shares sold | 584,581 | $ | 12,638,774 | |||||
Series shares repurchased | (1,433,456 | ) | (31,563,658 | ) | ||||
Capital contributions | — | 129,759 | ||||||
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Net increase (decrease) in shares outstanding | (848,875 | ) | $ | (18,795,125 | ) | |||
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Note 9: | Ownership and Affiliates |
As of June 30, 2017, 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.
In addition, one unaffiliated shareholder of record of Class I shares held 26% of the Portfolio’s aggregate outstanding shares and two unaffiliated shareholders of record of Class II shares held 66% of the Portfolio’s aggregate outstanding shares.
Note 10: | Recent Accounting Pronouncements and Reporting Updates |
On October 13, 2016, the SEC adopted new rules and forms and amended existing rules and forms which are intended to modernize and enhance the reporting and disclosure of information by registered investment companies and to improve the quality of information that funds provide to investors, including modifications to Regulation S-X which would require standardized, enhanced disclosure about derivatives in investment company financial statements. The compliance dates of the modifications to Regulation S-X are August 1, 2017 and other amendments and rules are generally June 1, 2018 and December 1, 2018. Management is currently evaluating the impacts to the financial statement disclosures.
B6
Financial Highlights
(unaudited)
Jennison 20/20 Focus Portfolio | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Six Months Ended June 30, 2017 | Year Ended December 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Per Share Operating Performance(c): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 23.94 | $ | 23.56 | $ | 22.16 | $ | 20.69 | $ | 15.93 | $ | 14.89 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | .04 | .09 | .07 | .02 | .09 | .05 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.42 | .27 | 1.33 | 1.45 | 4.67 | 1.55 | ||||||||||||||||||
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Total from investment operations | 3.46 | .36 | 1.40 | 1.47 | 4.76 | 1.60 | ||||||||||||||||||
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Less Distributions: | — | — | — | — | — | (.56 | ) | |||||||||||||||||
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Capital Contributions | — | .02 | (e) | — | — | — | — | |||||||||||||||||
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Net Asset Value, end of period | $ | 27.40 | $ | 23.94 | $ | 23.56 | $ | 22.16 | $ | 20.69 | $ | 15.93 | ||||||||||||
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Total Return(a) | 14.45 | % | 1.61 | %(f) | 6.32 | % | 7.10 | % | 29.88 | % | 11.04 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 63.7 | $ | 59.3 | $ | 65.4 | $ | 67.2 | $ | 68.7 | $ | 59.1 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .83 | %(g) | .83 | % | .83 | % | .83 | % | .84 | % | .80 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | .83 | %(g) | .83 | % | .83 | % | .83 | % | .84 | % | .80 | % | ||||||||||||
Net investment income (loss) | .29 | %(g) | .39 | % | .30 | % | .08 | % | .46 | % | .32 | % | ||||||||||||
Portfolio turnover rate | 39 | %(h) | 69 | % | 64 | % | 97 | % | 78 | % | 75 | % | ||||||||||||
Jennison 20/20 Focus Portfolio | ||||||||||||||||||||||||
Class II | ||||||||||||||||||||||||
Six Months Ended June 30, 2017 | Year Ended December 31, | |||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||||
Per Share Operating Performance(c): | ||||||||||||||||||||||||
Net Asset Value, beginning of period | $ | 23.03 | $ | 22.75 | $ | 21.49 | $ | 20.14 | $ | 15.57 | $ | 14.62 | ||||||||||||
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Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | (.01 | ) | — | (d) | (.02 | ) | (.07 | ) | .01 | (.03 | ) | |||||||||||||
Net realized and unrealized gain (loss) on investments | 3.28 | .26 | 1.28 | 1.42 | 4.56 | 1.54 | ||||||||||||||||||
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Total from investment operations | 3.27 | .26 | 1.26 | 1.35 | 4.57 | 1.51 | ||||||||||||||||||
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Less Distributions: | — | — | — | — | — | (.56 | ) | |||||||||||||||||
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Capital Contributions | — | .02 | (e) | — | — | — | — | |||||||||||||||||
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Net Asset Value, end of period | $ | 26.30 | $ | 23.03 | $ | 22.75 | $ | 21.49 | $ | 20.14 | $ | 15.57 | ||||||||||||
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Total Return(a) | 14.20 | % | 1.23 | %(f) | 5.86 | % | 6.70 | % | 29.35 | % | 10.62 | % | ||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 148.9 | $ | 142.5 | $ | 160.1 | $ | 172.9 | $ | 178.5 | $ | 154.8 | ||||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.23 | %(g) | 1.23 | % | 1.23 | % | 1.23 | % | 1.24 | % | 1.20 | % | ||||||||||||
Expenses before waivers and/or expense reimbursement | 1.23 | %(g) | 1.23 | % | 1.23 | % | 1.23 | % | 1.24 | % | 1.20 | % | ||||||||||||
Net investment income (loss) | (.11 | %)(g) | (.01 | )% | (.10 | )% | (.33 | )% | .07 | % | (.18 | )% | ||||||||||||
Portfolio turnover rate | 39 | %(h) | 69 | % | 64 | % | 97 | % | 78 | % | 75 | % |
(a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all periods shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | Calculated based upon average shares outstanding during the period. |
(d) | Less than $0.005 per share. |
(e) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(f) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 1.53% and 1.14% for Class I and Class II, respectively. |
(g) | Annualized. |
(h) | 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 nine individuals, eight of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Trustees). The Board is responsible for the oversight of the Trust and each of its Portfolios, their operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with PGIM Investments LLC (“PGIM Investments”) and the Jennison 20/20 Focus Portfolio’s (the Portfolio) subadvisory agreement. As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 13-14, 2017 (“the Meeting”) and approved the renewal of the agreements through July 31, 2018, 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 requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with the consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant peer universe and peer group, as is further discussed below.
In approving the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided, the performance of the Portfolio, the profitability of PGIM Investments 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 PGIM Investments and subadviser personnel such as portfolio managers.
The Trustees determined that the overall arrangements between the Trust and PGIM Investments, which serves as the Trust’s investment manager pursuant to a management agreement, and between PGIM Investments and Jennison Associates LLC (Jennison), which serves as the Portfolio’s subadviser pursuant to the terms of a subadvisory agreement with PGIM Investments, are in the best interests 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 Board considered the approval of the agreements for the Portfolio as part of its consideration of agreements for multiple Portfolios, but its approvals were made on a Portfolio-by-Portfolio basis.
The material factors and conclusions that formed the basis for the Trustees’ determinations to approve the renewal of the agreements are discussed separately below.
Nature, quality and extent of services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PGIM Investments and the subadviser. The Board considered the services provided by PGIM Investments, including but not limited to the oversight of the subadviser, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PGIM Investments’ oversight of the subadviser, the Board noted that PGIM Investments’ Strategic Investment Research Group (SIRG), a business unit of PGIM Investments, 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 PGIM Investments pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by the subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PGIM Investments’ evaluation of the subadviser, as well as PGIM Investments’ recommendation, based on its review of the subadviser, to renew the subadvisory agreement.
The Board reviewed the qualifications, backgrounds and responsibilities of PGIM Investments’ senior management responsible for the oversight of the Trust and the subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadviser’s
portfolio managers who are responsible for the day-to-day management of the Portfolio. The Board was provided with information pertaining to PGIM Investments’ and the subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to PGIM Investments and the subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (CCO) as to PGIM Investments and the subadviser. The Board noted that Jennison Associates LLC (Jennison), which serves as the subadviser to the Portfolio, is affiliated with PGIM Investments.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PGIM Investments and the subadvisory services provided to the Portfolio by the subadviser, and that there was a reasonable basis on which to conclude that the Portfolio benefits from the services provided by PGIM Investments and the subadviser under the management and subadvisory agreements.
Costs of Services and Profits Realized by PGIM Investments
The Board was provided with information on the profitability of PGIM Investments and its affiliates in serving as the Trust’s investment manager. The Board discussed with PGIM Investments 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 affiliate of PGIM Investments, on a consolidated basis. Taking these factors into account, the Board concluded that the profitability of PGIM Investments and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board received and discussed information concerning whether PGIM Investments 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 PGIM Investments’ costs are not specific to individual funds, but rather are incurred across a variety of products and services.
Other Benefits to PGIM Investments and the Subadviser
The Board considered potential ancillary benefits that might be received by PGIM Investments, the subadviser, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PGIM Investments included compensation received by insurance company affiliates of PGIM Investments from the subadviser, as well as benefits to its reputation or other intangible benefits resulting from PGIM Investments’ association with the Trust. The Board also considered information provided by PGIM Investments 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 PGIM Investments 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 subadviser included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadviser, 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 PGIM Investments and the subadviser were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of the Portfolio / Fees and Expenses / Other Factors
With respect to the Portfolio, the Board also considered certain additional specific factors and made related conclusions relating to the historical performance of the Portfolio for the one-, three-, five- and ten-year periods ended December 31, 2016, except as otherwise noted below. 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 Broadridge, Inc. (Broadridge), 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 2016. The Board considered the management fee for the Portfolio as compared to the management fee charged by PGIM Investments to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a group of mutual funds that were determined by Broadridge to be similar to the Portfolio (the Peer Group). The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for the Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in the Peer Universe and each Peer Group were objectively determined by Broadridge, an independent provider of mutual fund data. The comparisons placed the Portfolio in various quartiles, with the 1st quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PGIM Investments deems appropriate, and for reasons addressed in detail with the Board, PGIM Investments may have provided and the Board may have considered, supplemental data compiled by Broadridge for the Board’s consideration.
The section below summarizes key factors considered by the Board and the Board’s conclusions regarding the Portfolio’s performance, fees and overall expenses. The section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
Jennison 20/20 Focus Portfolio | ||||||||
Performance | 1 Year | 3 Years | 5 Years | 10 Years | ||||
4th Quartile | 4th Quartile | 4th Quartile | 2nd Quartile | |||||
Actual Management Fees: 4th Quartile | ||||||||
Net Total Expenses: 4th Quartile |
• | The Board noted that the Portfolio outperformed its benchmark index over the ten-year period, though it underperformed over the other periods. |
• | The Board considered that the Portfolio’s portfolio manager team responsible for the management of the value component of the Portfolio had changed during 2014, and that as a result, performance of the value component prior to that time was not attributable to the current portfolio manager team. |
• | The Board considered that the performance of the value component had improved beginning in the second half of 2016, with the improved performance continuing through the first quarter of 2017. |
• | The Board considered information provided by PGIM Investments indicating that much of the Portfolio’s recent underperformance was attributable to the Portfolio’s growth segment. |
• | In this regard, the Board considered that the underperformance of the Portfolio’s growth segment was recent, and that the strong performance on that segment in 2015 had resulted in the Portfolio outperforming its benchmark index and Peer Universe median for the 2015 calendar year. |
• | The Board considered that the Portfolio’s performance had shown recent improvement, with the Portfolio outperforming its benchmark index and Peer Universe median for the one-year period ending March 31, 2017. |
• | The Board accepted PGIM Investments’ recommendation to voluntarily cap the Portfolio’s annual operating expenses (exclusive of certain fees and expenses) at 0.80%. |
• | The Board also noted that it would continue to closely monitor the Portfolio’s performance. |
• | The Board concluded that in light of the above, it would be in the best interests of the Portfolio and its shareholders to renew the agreements, and that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
**********
After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, the Portfolio and its beneficial shareholders.
The prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract 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 calendar 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.
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 may offer 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) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, 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 07102-3714
Presorted
Standard
U.S. Postage
PAID
Prudential
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.
©2017 Prudential Financial, Inc. and its related entities. Prudential Investments, 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.
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 24, 2017 |
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 24, 2017 | |
By: | /s/ M. Sadiq Peshimam | |
M. Sadiq Peshimam | ||
Treasurer and Principal Financial and Accounting Officer | ||
Date: | August 24, 2017 |