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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4815
Ultra Series Fund
(Exact name of registrant as specified in charter)
550 Science Drive, Madison, WI 53711
(Address of principal executive offices)(Zip code)
Steven J. Fredricks
Madison Legal and Compliance Department
550 Science Drive
Madison, WI 53711
(Name and address of agent for service)
Registrant’s telephone number, including area code: 608-274-0300
Date of fiscal year end: December 31
Date of reporting period: December 31, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Certified Financial Statement
Conservative Allocation Fund | ||
Moderate Allocation Fund | ||
Aggressive Allocation Fund | ||
Core Bond Fund | ||
High Income Fund | ||
Diversified Income Fund | ||
Large Cap Value Fund | ||
Large Cap Growth Fund | ||
Mid Cap Fund | ||
International Stock Fund | ||
Madison Target Retirement 2020 Fund | ||
Madison Target Retirement 2030 Fund | ||
Madison Target Retirement 2040 Fund | ||
Madison Target Retirement 2050 Fund |
Ultra Series Fund | December 31, 2021
Table of Contents |
Page
Nondeposit investment products are not federally insured, involve investment risk, may lose value and are not obligations of or guaranteed by any financial institution. Nondeposit investment products are not federally insured, involve investment risk, may lose value and are not obligations of or guaranteed by any financial institution. For more complete information about Ultra Series Fund, including charges and expenses, request a prospectus from your financial advisor or from CMFG Life Insurance Company, 2000 Heritage Way, Waverly, IA 50677. Consider the investment objectives, risks, and charges and expenses of any fund carefully before investing. The prospectus contains this and other information about the investment company. For more current Ultra Series Fund performance information, please call 1-800-SEC-0330. Current performance may be lower or higher than the performance data quoted within this report. Past performance does not guarantee future results. Nothing in this report represents a recommendation of a security by the investment adviser. Portfolio holdings may have changed since the date of this report.
1
Ultra Series Fund | December 31, 2021
Management’s Discussion of Fund Performance (unaudited)
The year of 2021 put an exclamation mark on a truly remarkable three-year run for U.S. stocks. Primed by the vaccine developments of late 2020, then boosted by massive additional fiscal stimulus measures and excessively easy monetary policy, investors parlayed a monumental earnings recovery into a 28.7% return for the S&P 500® Index, for the year ended December 31, 2021. This U.S. stock index also has returned a staggering 26.1% annually since the conclusion of 2018. Within U.S. large cap stocks, investors favored more volatile and cyclical companies as evidenced by the 41% return on the S&P 500® High Beta Index and outperformance of the Energy and Financial sectors. International stocks experienced much more modest gains as the MSCI ACWI ex-US Index posted a 7.8% gain for the year ended December 31, 2021. Foreign markets were held back by the underperformance of emerging markets, most notably China, which declined -22%. Whereas U.S. policy makers stomped both feet on the gas in terms of fiscal and monetary policy, China remained unwavering in addressing their debt excesses of the past cycle and kept two feet firmly on the policy brakes. Facing stiff headwinds from increasing interest rates and inflation expectations, bond markets finished the year underwater as the Bloomberg U.S. Aggregate Bond Index fell -1.5%. Much like stocks, riskier securities experienced better returns with corporate bonds outperforming U.S. Treasuries.
Underneath the surface of the overall outsized advance was a back-and-forth battle of leadership between economically sensitive reflation beneficiaries and the big growth stocks that have dominated for the past decade. Initially the U.S. equity market was led higher by the cyclical/reopening driven inertia generated from the late 2020 vaccine news and massive stimulus announcements. Value leaning sectors like Energy and Financials, as well as higher beta and smaller cap stocks outperformed their growth and large cap counterparts. Interest rates and inflation expectations rose as investors priced in an explosive scenario for economic growth.
However, by mid-March the environment changed as value and small cap stocks began to underperform growth and large caps. The emergence of the Delta variant further tempered investor enthusiasm for value and cyclical stocks, and by year’s end, large cap growth and technology stocks were once again the best performers. Reversals in fortune were not limited to stocks. The U.S. bond market experienced one of the worst starts to a year in history. From year-end 2020 to March 31, 2021, the interest rate on the U.S. 10-Year Treasury Note rose from 0.9% to 1.75%, resulting in a -3.4% return on the benchmark Bloomberg U.S. Aggregate Bond Index. Over the next nine months, the 10-year yield reverted back below 1.2% in August before finishing the year at 1.5%, and the index returned a much more favorable 1.9%.
Inflation dominated the headlines throughout the period. The increases in interest rates and the outperformance of reflation beneficiaries in the stock market indicated that investors were preparing for a big uptick in the Consumer Price Index (CPI). The upturn arrived in mid-May with a reported 4.2% year-over-year rise in headline CPI. Big gains were to be expected given the very low CPI readings during the economic shutdowns and quarantines in the spring of 2020. However, the readings continued to march higher and higher, reaching a near 40-year high of 7% year-over-year in December.
The relentless price increases have eroded consumer confidence and negatively impacted the profitability of industrial manufacturing companies. In response the Federal Reserve was forced out of their “transitory” narrative and the central bank’s December dot plot reflected two additional 2022 interest rate increases. Estimates on the street are anywhere from three to seven rate hikes in 2022 as of this writing.
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Ultra Series Fund | Management’s Discussion of Fund Performance (unaudited) - continued | December 31, 2021
Since bottoming in late March 2020, the S&P 500 Index has increased by 119%. This performance in relation to a much lower, though very impressive, recovery in earnings has placed the index valuation near historical highs. These high valuations are likely to act as a headwind on future equity returns. Overall, the U.S. economy remains in good shape, however the set-up for 2022 is the polar opposite of 2021. There is no fiscal stimulus on the horizon and consumers are losing purchasing power to inflation. The Federal Reserve is removing liquidity and set to begin raising interest rates. We believe the rewards of unbridled risk-taking have likely peaked and that investors will be rewarded by being more discerning moving forward.
The Ultra Series Conservative Allocation, Moderate Allocation and Aggressive Allocation Funds (collectively, the “Target Allocation Funds”) invest primarily in shares of registered investment companies (the “Underlying Funds”). The Target Allocation Funds are diversified among a number of asset classes and their allocation among Underlying Funds is based on an asset allocation model developed by Madison Asset Management, LLC (“Madison”), the Funds’ investment adviser. The team may use multiple analytical approaches to determine the appropriate asset allocation, including:
• Asset allocation optimization analysis - considers the degree to which returns in different asset classes do or do not move together, and the Funds’ aim to achieve a favorable overall risk profile for any targeted portfolio return.
• Scenario analysis - historical and expected return data is analyzed to model how individual asset classes and combinations of asset classes would affect the Funds under different economic and market conditions.
• Fundamental analysis - draws upon Madison’s investment teams to judge each asset class against current and forecasted market conditions. Economic, industry and security analysis is used to develop return and risk expectations that may influence asset class selection. In addition, Madison has a flexible mandate which permits the Funds, at the sole discretion of Madison, to materially reduce equity risk exposures when and if conditions are deemed to warrant such an action.
INVESTMENT STRATEGY HIGHLIGHTS
Under normal circumstances, the Ultra Series Conservative Allocation Fund’s total net assets will be allocated among various asset classes and Underlying Funds, including those whose shares trade on a stock exchange (exchange traded funds or “ETFs”), with target allocations over time of approximately 35% equity investments and 65% fixed income investments. Underlying Funds in which the Fund invests may include funds advised by Madison and/or its affiliates, including the Madison Funds (the “Affiliated Underlying Funds”). Generally, Madison will not invest more than 75% of the Fund’s net assets, at the time of purchase, in Affiliated Underlying Funds.
PERFORMANCE
The Ultra Series Conservative Allocation Fund (Class I) returned 3.59% for the year, compared to its Custom Blended Index of 5.70%. The Fund’s Morningstar Allocation 30% to 50% Equity peer group returned 8.18%. The Fund provided a positive absolute return over the past year, however relative performance fell short of our peers and benchmark. The Fund’s relative underperformance was driven by three factors, an overallocation to emerging Asia, gold miner stocks and underperformance from the Fund’s two largest core U.S. equity holdings.
Entering 2021 we believed emerging Asia looked poised to thrive as the global economy came back to life. Valuations were favorable and emerging markets generally do well during an early economic expansion. However, the region continued to struggle with COVID-19 and the associated lockdowns. Bigger yet, China continued to
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Ultra Series Fund | Management’s Discussion of Fund Performance (unaudited) - continued | December 31, 2021
remain steadfast in dealing with their excess debts built up over the past decade, refusing to stimulate their slowing economy and stepping up regulatory efforts that further eroded the profitability of their larger industries. Our overallocation to the underperforming region was a headwind.
Gold miner stocks were a high conviction position that turned out to be an outsized detractor. We favored gold miners not only for their attractive free cash-flow yields, but also on our belief that the backdrop was very favorable for gold. Inflation was likely to increase with a Federal Reserve that was prepared to do nothing about it, in turn real interest rates would likely remain very low. Gold has historically been a solid inflation hedge and negatively correlated with real interest rates. The thesis played out in terms of inflation and real rates, however gold and gold miners experienced negative returns.
Within U.S. equities, material underperformance from the Fund’s two largest core holdings was a significant factor in the Fund’s performance lag. Both positions focus on high quality, durable companies, which were generally out of favor as the market gravitated toward both low quality cyclical stocks and highly valued big growth stocks during the period.
On the positive side, the Fund was boosted by performance within the fixed income allocation, where results were ahead of our bond benchmark, the Bloomberg U.S. Aggregate Bond Index, led by an overweight to short-term corporate bonds and outperformance by our core active holdings. Within equites, our other inflation hedge, commodities, provided a sizable positive contributor to performance and our long-standing overweight to technology stocks aided results. On the international equity side, our small cap position and overweight allocation to the United Kingdom both provided boosts.
In terms of positioning changes, we eliminated our holdings in emerging Asia after it became clear that China was a detriment and our thesis had broken-down. We have increased our holdings in high quality U.S. growth stocks, which we believe to be best suited for the normalization of the both the U.S. economy and monetary policy. Late in the year we added a position to U.S. small caps, which offer an attractive relative value opportunity versus historically stretched large caps. Our holdings in gold miner stocks remain, and we believe these companies offer unique value in a generally expensive stock market. The fund ended the year with a solid fourth quarter and we believe the fund is well positioned for what we believe could be a more volatile investing environment ahead.
Cumulative Performance of $10,000 Investment1,2
![](https://capedge.com/proxy/N-CSR/0001753926-22-000250/img002_v1.jpg)
Average Annual Total Return (%) through December 31, 20211,2 | ||||
1 Year | 3 Years | 5 Years | 10 Years | |
Ultra Series Conservative Allocation, Class I | 3.59 | 8.60 | 6.59 | 6.00 |
Ultra Series Conservative Allocation, Class II | 3.33 | 8.33 | 6.33 | 5.74 |
Conservative Allocation Fund Custom Index | 5.70 | 10.91 | 7.89 | 6.75 |
ICE BofA US Corp, Govt & Mortg Index | -1.62 | 4.88 | 3.64 | 2.96 |
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/21
Alternative Funds | 1.6% |
Bond Funds | 62.0% |
Foreign Stock Funds | 6.5% |
Short-Term Investments | 3.2% |
Stock Funds | 27.1% |
Net Other Assets and Liabilities | (0.4)% |
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Ultra Series Fund | Management’s Discussion of Fund Performance (unaudited) - continued | December 31, 2021
INVESTMENT STRATEGY HIGHLIGHTS
Under normal circumstances, the Ultra Series Moderate Allocation Fund’s total net assets will be allocated among various asset classes and Underlying Funds, including those whose shares trade on a stock exchange (exchange traded funds or “ETFs”), with target allocations over time of approximately 60% equity investments and 40% fixed income investments. Underlying Funds in which the Fund invests may include Affiliated Underlying Funds. Generally, Madison will not invest more than 75% of the Fund’s net assets, at the time of purchase, in Affiliated Underlying Funds.
PERFORMANCE
The Ultra Series Moderate Allocation Fund (Class I) returned 7.40% for the year, compared to its Custom Blended Index of 11.09%. The Fund’s Morningstar Allocation 50% to 70% Equity peer group returned 12.43%. The Fund provided a sizable absolute return over the past year, however relative performance fell short of our peers and benchmark. The Fund’s relative underperformance was driven by three factors, an overallocation to emerging Asia, gold miner stocks and underperformance from the Fund’s two largest core U.S. equity holdings.
Entering 2021 we believed emerging Asia looked poised to thrive as the global economy came back to life. Valuations were favorable and emerging markets generally do well during an early economic expansion. However, the region continued to struggle with COVID-19 and the associated lockdowns. Bigger yet, China continued to remain steadfast in dealing with their excess debts built up over the past decade, refusing to stimulate their slowing economy and stepping up regulatory efforts that further eroded the profitability of their larger industries. Our overallocation to the underperforming region was a headwind.
Gold miner stocks were a high conviction position that turned out to be an outsized detractor. We favored gold miners not only for their attractive free cash-flow yields, but also on our belief that the backdrop was very favorable for gold. Inflation was likely to increase with a Federal Reserve that was prepared to do nothing about it, in turn real interest rates would likely remain very low. Gold has historically been a solid inflation hedge and negatively correlated with real interest rates. The thesis played out in terms of inflation and real rates, however gold and gold miners experienced negative returns.
Within U.S. equities, material underperformance from the Fund’s two largest core holdings was a significant factor in the Fund’s performance lag. Both positions focus on high quality, durable companies, which were generally out of favor as the market gravitated toward both low quality cyclical stocks and highly valued big growth stocks during the period.
On the positive side, the Fund was boosted by performance within the fixed income allocation where results were ahead of our bond benchmark, the Bloomberg U.S. Aggregate Bond Index, led by an overweight to short-term corporate bonds and outperformance by our core active holdings. Within equites, our other inflation hedge, commodities, provided a sizable positive contributor to performance and our long-standing overweight to technology stocks aided results. On the international equity side, our small cap position and overweight allocation to the United Kingdom both provided boosts.
In terms of positioning changes, we eliminated our holdings in emerging Asia after it became clear that China was a detriment and our thesis had broken-down. We have increased our holdings in high quality U.S. growth stocks, which we believe to be best suited for the normalization of the both the U.S. economy and monetary policy. Late in the year we added a position to U.S. small caps, which offer an attractive relative value opportunity versus historically stretched large caps. Our holdings in gold miner stocks remain, and we believe these companies offer
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Ultra Series Fund | Management’s Discussion of Fund Performance (unaudited) - continued | December 31, 2021
unique value in a generally expensive stock market. The Fund ended the year with a solid fourth quarter and we believe the Fund is well positioned for what we believe could be a more volatile investing environment ahead.
Cumulative Performance of $10,000 Investment1,2
Average Annual Total Return (%) through December 31, 20211,2 | ||||
1 Year | 3 Years | 5 Years | 10 Years | |
Ultra Series Moderate Allocation, Class I | 7.40 | 11.27 | 8.63 | 8.19 |
Ultra Series Moderate Allocation, Class II | 7.13 | 11.00 | 8.36 | 7.92 |
Moderate Allocation Fund Custom Index | 11.09 | 15.21 | 10.88 | 9.44 |
S&P 500® Index | 28.71 | 26.07 | 18.47 | 16.55 |
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/21
Alternative Funds | 2.7% |
Bond Funds | 35.5% |
Foreign Stock Funds | 11.1% |
Short-Term Investments | 5.3% |
Stock Funds | 46.5% |
Net Other Assets and Liabilities | (1.1)% |
INVESTMENT STRATEGY HIGHLIGHTS
Under normal circumstances, the Ultra Series Aggressive Allocation Fund’s total net assets will be allocated among various asset classes and Underlying Funds, including ETFs, with target allocations over time of approximately 80% equity investments and 20% fixed income investments. Underlying Funds in which the Fund invests may include Affiliated Underlying Funds. Generally, Madison will not invest more than 75% of Fund’s net assets, at the time of purchase, in Affiliated Underlying Funds.
PERFORMANCE
The Ultra Series Aggressive Allocation Fund (Class I) returned 10.18% for the year, compared to its Custom Blended Index of 15.54%. The Fund’s Morningstar Allocation 70% to 85% Equity peer group returned 15.94%. The Fund provided a double-digit absolute return over the past year, however relative performance fell short of our peers and benchmark. The Fund’s relative underperformance was driven by three factors, an overallocation to emerging Asia, gold miner stocks and underperformance from the Fund’s two largest core U.S. equity holdings.
Entering 2021 we believed emerging Asia looked poised to thrive as the global economy came back to life. Valuations were favorable and emerging markets generally do well during an early economic expansion. However, the region continued to struggle with COVID-19 and the associated lockdowns. Bigger yet, China continued to remain steadfast in dealing with their excess debts built up over the past decade, refusing to stimulate their slowing economy and stepping up regulatory efforts that further eroded the profitability of their larger industries. Our overallocation to the underperforming region was a headwind.
Gold miner stocks were a high conviction position that turned out to be an outsized detractor. We favored gold miners not only for their attractive free cash-flow yields, but also on our belief that the backdrop was very favorable for gold. Inflation was likely to increase with a Federal Reserve that was prepared to do nothing about
6
Ultra Series Fund | Management’s Discussion of Fund Performance (unaudited) - continued | December 31, 2021
it, in turn real interest rates would likely remain very low. Gold has historically been a solid inflation hedge and negatively correlated with real interest rates. The thesis played out in terms of inflation and real rates, however gold and gold miners experienced negative returns.
Within U.S. equities, material underperformance from the Fund’s two largest core holdings was a significant factor in the Fund’s performance lag. Both positions focus on high quality, durable companies, which were generally out of favor as the market gravitated toward both low quality cyclical stocks and highly valued big growth stocks during the period.
On the positive side, the Fund was boosted by performance within the fixed income allocation where results were ahead of our bond benchmark, the Bloomberg U.S. Aggregate Bond Index, led by an overweight to short-term corporate bonds and outperformance by our core active holdings. Within equites, our other inflation hedge, commodities, provided a sizable positive contributor to performance and our long-standing overweight to technology stocks aided results. On the international equity side, our small cap position and overweight allocation to the United Kingdom both provided boosts.
In terms of positioning changes, we eliminated our holdings in emerging Asia after it became clear that China was a detriment and our thesis had broken-down. We have increased our holdings in high quality U.S. growth stocks, which we believe to be best suited for the normalization of the both the U.S. economy and monetary policy. Late in the year we added a position to U.S. small caps, which offer an attractive relative value opportunity versus historically stretched large caps. Our holdings in gold miner stocks remain, and we believe these companies offer unique value in a generally expensive stock market. The Fund ended the year with a solid fourth quarter and we believe the Fund is well positioned for what we believe could be a more volatile investing environment ahead.
Cumulative Performance of $10,000 Investment1,2
![](https://capedge.com/proxy/N-CSR/0001753926-22-000250/img004_v1.jpg)
Average Annual Total Return (%) through December 31, 20211,2 | ||||
1 Year | 3 Years | 5 Years | 10 Years | |
Ultra Series Aggressive Allocation, Class I | 10.18 | 13.23 | 10.05 | 9.79 |
Ultra Series Aggressive Allocation, Class II | 9.90 | 12.94 | 9.78 | 9.51 |
Aggressive Allocation Fund Custom Index | 15.54 | 18.60 | 13.20 | 11.54 |
S&P 500® Index | 28.71 | 26.07 | 18.47 | 16.55 |
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/21
Alternative Funds | 3.6% |
Bond Funds | 16.6% |
Foreign Stock Funds | 15.7% |
Short-Term Investments | 8.7% |
Stock Funds | 60.4% |
Net Other Assets and Liabilities | (5.0)% |
INVESTMENT STRATEGY HIGHLIGHTS
Under normal circumstances, the Ultra Series Core Bond Fund invests at least 80% of its net assets in bonds. To keep current income relatively stable and to limit share price volatility, the Fund emphasizes investment grade securities and maintains an intermediate (typically 3-7 year) average portfolio duration, with the goal of being between 85-115% of the
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Ultra Series Fund | Management’s Discussion of Fund Performance (unaudited) - continued | December 31, 2021
market benchmark duration. The Fund also strives to add incremental return in the portfolio by making strategic decisions relating to credit risk, sector exposure and yield curve positioning. The Fund may invest in corporate debt securities, U.S. Government debt securities, foreign government debt securities, non-rated debt securities, and asset-backed, mortgage-backed and commercial mortgage-backed securities.
PERFORMANCE
The Ultra Core Bond Fund (Class I) returned -1.58% for the year, trailing its benchmark the Bloomberg U.S. Aggregate Bond Index, which returned -1.54%. The Fund’s Morningstar Intermediate Core Bond per group returned -1.73%. The Fund was less aggressive in adding corporate bonds when compared to 2020 and overall credit risk in the Fund has been reduced. The Fund continued to add asset-backed securities and non-agency mortgage-backed securities as current yields are attractive versus Treasuries.
Recent commentary by the Federal Reserve (Fed) has made investors begin to think about a world where the economy and risk assets must sustain themselves without continued liquidity injections by policy makers. By virtually all measures, the inflation part of the Fed’s mandate has been met and with employment rapidly improving, the economy is approaching a level where accommodative policy should end. The Fed’s massive financial experiment, where they purchased over $4 trillion worth of Treasuries and agency mortgage-backed securities, equaling nearly 20% of Nominal Gross Domestic Product, is going to end sometime 2022. The path forward will be bumpy, as the world deals with COVID-19 variants and other geopolitical events, but the time for the markets to stand on its own feet has arrived.
Investors entered the year with few thinking rate hikes would begin any time before 2023. The market consensus was growth and inflation would slowly rise and the unemployment rate would gradually decrease by year-end. That tone shifted quickly during the first quarter due to expected higher fiscal stimulus post the final 2020 election results and the ten-year Treasury hit a high for year of 1.74% during the first quarter. As the year progressed, the “transitory” inflation that almost all economists expected turned out to be more permanent and has been a cause of concern for politicians and central bankers alike. Given the faster inflation and falling unemployment rate, during the September Federal Open Market Committee (FOMC) meeting, the Fed announced the first step towards policy normalization, a $15 billion per month reduction in asset purchases. However, this wasn’t enough and in December, given accelerating inflation, the Fed announced that it will increase the pace of tapering asset purchases to $30 billion per month. At this new pace, the Fed should stop bond purchases in March 2022 and most likely will increase the Fed Funds Rate soon thereafter.
For the year, the two-, five-, ten- and thirty-year Treasuries rose 61 basis points (bps), 90 bps, 60 bps and 26 bps, respectfully. The shift higher in interest rates generated a negative total return of -2.32% for the Bloomberg U.S. Treasury Index. This is a rare occurrence as a negative return on Treasuries has only occurred 4 other times since 1974.
Although interest rates have shifted significantly higher from the lows of 2020, the market implied terminal Federal Funds Rate, the highest rate before a rate cut, is much lower than where rates have ended up during the past Fed tightening cycles. Currently, the market is priced for a terminal rate of only 1.50%. This is 1% below what the latest Fed dot plots indicate and where the last rate cycle ended. If the terminal rate ends up below 2%, this would also be the first time that the rate wasn’t higher than inflation. The year-over-year change in the Consumer Price Index (CPI) for November was 6.8%, the highest level since 1982. However, implied future inflation for the next ten years, as measured by the difference between the yield on Treasury Inflation Protected Securities (TIPS) and a nominal Treasury, ended 2021 at a rate of 2.60%. To put it more succinctly, the market doesn’t believe the economy will be able to withstand enough rate hikes to create a positive real interest rate. If this were to occur, it would be the first time in modern financial history and thus bears watching as the new year begins.
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Ultra Series Fund | Management’s Discussion of Fund Performance (unaudited) - continued | December 31, 2021
After experiencing significant outperformance during 2020, corporate bonds produced more modest performance in 2021 with the Bloomberg U.S. Corporate Bond Index returning -1.03%. Corporate bonds spreads over Treasuries tightened by 4 bps with lower-rated corporate bonds outperforming higher-rated corporate bonds. While fundamentals continue to improve, more companies are engaging in large scale acquisitions and willing to sacrifice ratings. The investment grade corporate bond index is already above 50% in BBB-rated corporates and most likely will go higher.
Cumulative Performance of $10,000 Investment1
Average Annual Total Return (%) through December 31, 20211 | ||||
1 Year | 3 Years | 5 Years | 10 Years | |
Ultra Series Core Bond, Class I | -1.58 | 5.13 | 3.55 | 2.61 |
Ultra Series Core Bond, Class II | -1.83 | 4.87 | 3.29 | 2.36 |
Bloomberg U.S. Aggregate Bond Index | -1.54 | 4.79 | 3.57 | 2.90 |
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/21 | |
Asset Backed Securities | 4.0% |
Collateralized Mortgage Obligations | 4.8% |
Commercial Mortgage-Backed Securities | 1.8% |
Corporate Notes and Bonds | 39.3% |
Foreign Corporate Bonds | 3.0% |
Long Term Municipal Bonds | 2.0% |
Mortgage Backed Securities | 17.0% |
Short-Term Investments | 1.9% |
U.S. Government and Agency Obligations | 25.7% |
Net Other Assets and Liabilities | 0.5% |
Investment Strategy Highlights
The Ultra Series High Income Fund invests primarily in lower-rated, higher-yielding income bearing securities, such as “junk” bonds. Because the performance of these securities has historically been strongly influenced by economic conditions, the Fund may rotate securities selection by business sector according to the economic outlook. Under normal market conditions, the Fund invests at least 80% of its net assets in bonds rated lower than investment grade (BBB/Baa) and their unrated equivalents or other highyielding securities.
Performance
The Ultra Series High Income Fund (Class I) returned 4.24% during the period, lagging its benchmark the ICE BofAML U.S. High Yield Constrained® Index’s 5.35% return. The Fund’s Morningstar High Yield Bond peer group returned 4.90%.
During 2021, the high yield market continued to recover from the global COVID-19 pandemic, which began in first quarter 2020, and posted positive total returns in each quarter this year. We believe the good performance was due to several factors, including: 1) ongoing broad stimulus support by the Federal Reserve and Federal Government; 2) another year of record-breaking new issues for high yield bonds, which allowed companies to refinance debt and improve liquidity positions; 3) a broad rollout of COVID-19 vaccines and boosters; 4) a
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Ultra Series Fund | Management’s Discussion of Fund Performance (unaudited) - continued | December 31, 2021
continued low interest rate environment; and 5) much improved company-specific fundamentals. As a result, the index’s yield-to-worst (YTW) hit an all-time low of 3.80% in July 2021, but ended the year at 4.33%, or 7 bps higher than at the start of the year.
Within the high yield rating categories, higher quality bonds underperformed during the year. BB-rated bonds (54% of the total market) underperformed with a 4.19% total return, while B-rated bonds (35% of the total market) underperformed with a total return of 4.97%. CCC-rated corporate bonds (11% of the total market) significantly outperformed the overall market with a total return of 10.26%. Importantly, we note that shorter-dated bonds with 1-5 year maturities outperformed similarly rated 7-10 year maturities.
The Fund underperformed, in part, due to holding a cash balance during the market’s upswing during the year. The Fund also had a negative contribution to performance from bond selection within the Financial Services and Telecom sectors, as well as from an underweight to the Energy sector. Partially offsetting these negatives, the Fund was positively impacted by its bond selection primarily within the Healthcare and Media sectors, as well as from an underweight in the Technology sector. As of December 31, 2021, the yield-to-worst of the Fund was 3.8% and the average rating within the Fund was B1.
The Fund will continue to emphasize BB-rated and B-rated corporate bonds. We will also continue to be cautious when adding duration to the portfolio until there is more transparency with respect to the near-term impact from higher inflation on corporate earnings and expected interest rate hikes. Thus, we enter 2022 with the anticipation that the total return for the high yield market could be in the low-single-digits. Our targeted total return factors in some fundamental cost pressures, although we do expect overall growth given somewhat easier year-over-year comparisons. We also believe some of these drivers are largely factored into current bond prices. Therefore, we anticipate there could be a modest overall decline in bond prices, fully offset by the positive return generated by coupon income. We intend to maintain our bias towards higher quality credit and a low to mid-single-digit cash position.
Cumulative Performance of $10,000 Investment1
Average Annual Total Return (%) through December 31, 20211 | ||||
1 Year | 3 Years | 5 Years | 10 Years | |
Ultra Series High Income, Class I | 4.24 | 6.27 | 4.31 | 4.90 |
Ultra Series High Income, Class II | 3.98 | 6.00 | 4.05 | 4.63 |
ICE BofA US High Yield Constrained Index | 5.35 | 8.53 | 6.08 | 6.71 |
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/21 | |
Bond Funds | 3.1% |
Communication Services | 16.0% |
Consumer Discretionary | 18.0% |
Consumer Staples | 6.0% |
Energy | 3.2% |
Financials | 22.2% |
Health Care | 6.0% |
Industrials | 16.1% |
Information Technology | 2.0% |
Materials | 2.5% |
Short-Term Investments | 7.2% |
Utilities | 1.5% |
Net Other Assets and Liabilities | (3.8)% |
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Investment Strategy Highlights
The Ultra Series Diversified Income Fund seeks income by investing in a broadly diversified array of securities including bonds, common stocks, real estate securities, foreign market bonds and stocks and money market instruments. Bonds, stock and cash components will vary, reflecting the portfolio managers’ judgments of the relative availability of attractively yielding and priced stocks and bonds; however, under normal market conditions, the Fund’s portfolio managers generally attempt to target a 40% bond and 60% stock investment allocation. Nevertheless, bonds (including investment grade, high yield and mortgage- or assetbacked) may constitute up to 80% of the Fund’s assets, stocks (including common stocks, preferred stocks and convertible bonds) may constitute up to 70% of the Fund’s assets, real estate securities may constitute up to 25% of the Fund’s assets, foreign (including American Depositary Receipts (“ADRs”) and emerging market) stocks and bonds may constitute up to 25% of the Fund’s assets, and money market instruments may constitute up to 25% of the Fund’s assets. Although the Fund is permitted to invest up to 80% of its assets in lower credit quality bonds, under normal circumstances, the Fund intends to limit the investment in lower credit quality bonds to less than 50% of the Fund’s assets. The balance between the two strategies of the Fund (fixed income and equity investing) is determined after reviewing the risks associated with each type of investment, with the goal of meaningful risk reduction as market conditions demand.
Performance
The Ultra Series Diversified Income Fund (Class I) returned 14.92% during the period, outperforming its Custom Blended Index 12.76% return. The Fund’s peer group, the Morningstar Allocation 50-70% Equity returned 12.43%.
The equity portion of the Fund returned 24.4% which compared to the S&P 500 Index return of 28.7%. Sector allocation and stock selection were detractive to results. For sector allocation, an underweight position in Energy and Technology hurt relative performance. There are some large Technology stocks that don’t pay dividends, and therefore are outside of the Fund’s investable universe, that performed better than the market which created a performance headwind versus the index. For stock selection, there were positive contributions from Materials and Consumer Discretionary, which was more than offset by weakness in Communication Services, Health Care, Financials, Energy and Consumer Staples.
Within Materials, steel producer Nucor (NUE) was the most additive stock in the portfolio. It benefited from higher steel prices and rising earnings estimates throughout the year. In Consumer Discretionary, home improvement retailer Home Depot (HD) contributed nicely to results. It reported strong same-store sales as many customers spent money on their homes. Within Health Care, pharmaceutical company Pfizer (PFE) was an outperforming stock due in part to strong demand for its COVID vaccines. Other notable outperforming stocks were internet router firm Cisco Systems (CSCO) in Technology and mining equipment manufacturer Caterpillar (CAT) within Industrials. On the negative side, in Communication Services, phone company Verizon Communications (VZ) was the most detractive stock in the portfolio, and Comcast (CMCSA) also trailed the index. There were concerns about irrational industry pricing, which we believe are likely to be short-term. Within Health Care, pharmaceutical manufacturer Bristol-Myers Squibb (BMY) and medical device manufacturer Medtronic (MDT) were underperforming stocks. There were concerns about BMY’s drug pipeline and MDT had an unexpected product launch delayed. We believe both stocks are cheap, and the theses remain in-tact despite these issues. In Energy, oilfield service firm Baker Hughes (BKR) was another notable underperforming stock. The Fund continues to hold all stocks mentioned above except for CAT.
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The fixed Income portion of the Fund returned -1.23% during the year, outperforming the Bloomberg Barclay’s U.S. Aggregate Index by 0.31%. The Fund continued overweight to corporate securities contributed to the outperformance seen during the period. Owning corporate securities contributed important yield which helped overall performance during a time of low absolute yields. The Fund has become more selective in adding corporate bonds compared to 2020 and overall credit risk in the Fund continues to be reduced. The Fund continued to add asset-backed securities and non-agency mortgage-backed securities as current yields are attractive versus Treasuries. The Fund continues to maintain a slightly lower duration versus the benchmark as we believe inflation will moderate some, but still be elevated compared to recent history and the terminal Fed Funds rate will likely be higher than current market expectations leading to gradually higher rates in the months ahead.
Recent commentary by the Federal Reserve (Fed) has made investors begin to think about a world where the economy and risk assets must sustain themselves without continued liquidity injections by policy makers. By virtually all measures, the inflation part of the Fed’s mandate has been met and with employment rapidly improving, the economy is approaching a level where accommodative policy should end. The Fed’s massive financial experiment, where they purchased over $4 trillion worth of Treasuries and agency mortgage-backed securities, equaling nearly 20% of Nominal Gross Domestic Product, is going to end sometime 2022. The path forward will be bumpy, as the world deals with COVID-19 variants and other geopolitical events, but the time for the markets to stand on its own feet has arrived.
Cumulative Performance of $10,000 Investment1
Average Annual Total Return (%) through December 31, 20211 | ||||
1 Year | 3 Years | 5 Years | 10 Years | |
Ultra Series Diversified Income, Class I | 14.92 | 14.02 | 10.76 | 9.35 |
Ultra Series Diversified Income, Class II | 14.64 | 13.73 | 10.48 | 9.08 |
Custom Blended Index (50% Fixed, 50% Equity) | 12.76 | 15.46 | 11.16 | 9.81 |
ICE BofA US Corp, Govt & Mortg Index | -1.62 | 4.88 | 3.64 | 2.96 |
S&P 500® Index | 28.71 | 26.07 | 18.47 | 16.55 |
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/21 | |
Asset Backed Securities | 1.1% |
Collateralized Mortgage Obligations | 1.6% |
Commercial Mortgage-Backed Securities | 0.3% |
Common Stocks | 69.5% |
Corporate Notes and Bonds | 10.7% |
Foreign Corporate Bonds | 0.6% |
Long Term Municipal Bonds | 0.6% |
Mortgage Backed Securities | 4.3% |
Short-Term Investments | 2.8% |
U.S. Government and Agency Obligations | 8.3% |
Net Other Assets and Liabilities | 0.2% |
Investment Strategy Highlights
The Ultra Series Large Cap Value Fund will, under normal market conditions, maintain at least 80% of its net assets in large cap stocks. The Fund follows a “value” approach, meaning the portfolio managers seek to invest in stocks at prices below
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their perceived intrinsic value as estimated based on fundamental analysis of the issuing company and its prospects. By investing in value stocks, the Fund attempts to limit the downside risk over time but may also produce smaller gains than other stock funds if their intrinsic values are not realized by the market or if growthoriented investments are favored by investors. The Fund will diversify its holdings among various industries and among companies within those industries.
Performance
The Ultra Series Large Cap Value Fund (Class I) returned 22.36% for the annual period, compared to its benchmark the Russell 1000® Value Index return of 25.16%. The Fund’s Morningstar Large Value peer group returned 25.61%.
For the full year, sector allocation was detractive to results while stock selection was positive. For sector allocation, an underweight position in Energy and Financials hurt relative performance. For stock selection, there were positive contributions from Technology, Materials and Consumer Discretionary, which was more than offset by weakness in Financials, Health Care, Communication Services, Energy, and Industrials.
Within Materials, steel producer Nucor (NUE) was the most additive stock in the portfolio. It benefited from higher steel prices and rising earnings estimates throughout the year. In Consumer Discretionary, home improvement retailer Home Depot (HD) contributed nicely to results. It reported strong same-store sales as many customers spent money on their homes. Within Health Care, pharmaceutical company Pfizer (PFE) was an outperforming stock due in part to strong demand for its COVID vaccines. Other notable outperforming stocks were employment software company Paychex (PAYX) and internet router firm Cisco Systems (CSCO) in Technology. On the negative side, in Materials, gold producer Barrick Gold (GOLD) was the most detractive stock in the portfolio, as it was negatively impacted by falling gold prices during the year, therefore, the Fund sold GOLD. In Communication Services, phone company Verizon Communications (VZ) and cable company Comcast (CMCSA) negatively impacted performance. There were concerns about irrational industry pricing, which we believe are likely to be short-term. Other underperforming stocks included pharmaceutical manufacturer Bristol-Myers Squibb (BMY) in Health Care and power producer Dominion Energy (D) in Utilities. The fund continues to hold all stocks mentioned above except for GOLD.
Cumulative Performance of $10,000 Investment1
Average Annual Total Return (%) through December 31, 20211 | ||||
1 Year | 3 Years | 5 Years | 10 Years | |
Ultra Series Large Cap Value, Class I | 22.36 | 13.64 | 8.32 | 10.36 |
Ultra Series Large Cap Value, Class II | 22.05 | 13.36 | 8.05 | 10.09 |
Russell 1000® Value Index | 25.16 | 17.64 | 11.16 | 12.97 |
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/21 | |
Communication Services | 5.9% |
Consumer Discretionary | 8.4% |
Consumer Staples | 10.6% |
Energy | 4.1% |
Financials | 18.6% |
Health Care | 17.6% |
Industrials | 10.1% |
Information Technology | 13.1% |
Materials | 5.7% |
Real Estate | 2.1% |
Short-Term Investments | 1.3% |
Utilities | 2.4% |
Net Other Assets and Liabilities | 0.1% |
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Investment Strategy Highlights
The Ultra Series Large Cap Growth Fund invests primarily in common stocks of larger companies and will, under normal market conditions, maintain at least 80% of its net assets in large cap stocks. The Fund invests in well established companies with competitive advantages that have demonstrated patterns of consistent growth. To a lesser extent, the Fund may invest in the stocks of less established companies that may offer more rapid growth potential. The Fund invests when a stock trades at a good price in relation to underlying value and the Fund looks to sell or trim a stock when the portfolio manager deems a stock to be overpriced compared to underlying value.
Performance
The Ultra Series Large Cap Growth Fund (Class I) returned 22.96% for the annual period, compared to its benchmark the Russell 1000® Growth Index return of 27.60%. The Fund underperformed its peer group, the Morningstar U.S. Large Growth category, which returned 26.73%.
The Fund’s returns were solidly positive for the quarter and year, but they were less than the Index’s returns. We are disappointed to have trailed our benchmark, but we maintain disciplined to our investment process in the belief that it delivers good results through a full market cycle. Our investment style has historically been out-of-favor during periods when other market participants are risk seeking, and we believe loose financial conditions have ignited people’s animal spirits in just such a way as to have made 2021 a risk-seeking year that stands with the best in history. To name a few of the signs that defined 2021’s financial markets we would cite meme stocks and widespread high valuation levels from equities to collectables like baseball cards, to cryptocurrencies, to houses. One element that often accompanies speculative trends is the presence of new-paradigm narratives to justify investments that are experiencing price momentum. We feel like the anecdotes about many new competitive entrants in financial technologies and electric powertrain vehicles fit with the idea of powerful new-paradigm narratives. We mention these new paradigm dynamics because we believe they acted to compress valuation multiples of more established companies in our portfolio.
We think the current risk-on market sentiment will be transient. We’ve experienced adverse relative performance in prior periods of risk-seeking activity, and we believe it creates opportunities to increase investments in overlooked good businesses at attractive prices. The fund’s turnover of 16% in 2021 was to this purpose.
For 2021, the Fund experienced good returns relative to the index in the Consumer Discretionary, Financials, and Consumer Staples Sectors. The Fund’s stock exposure to the home improvement industry, its absence of consumer staples stocks, and its positioning in an alternative investment manager and an insurance broker were additive to the good relative performance in those sectors.
The Fund experienced adverse relative returns in the Information Technology, Health Care, and Communications Services Sectors. The absence in the portfolio of the two largest stocks in the Index, both of which had above-average returns for the year, posed a relative headwind. These two stocks constituted over 20% of the Russell 1000® Growth Index’s weight in 2021 and contributed an even more significant percentage of the Index’s returns. In Health Care, the portfolio contained two laggards in 2021, but we believe there exists significant latent value in these stocks, and we anticipate additive results in the future from them. In the Communications Services Sector, the Fund’s cable TV and broadband provider underperformed for the year as new subscriber growth in broadband services moderated after 2020’s robust results from the initial wave of the pandemic.
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Ultra Series Fund | Management’s Discussion of Fund Performance (unaudited) - continued | December 31, 2021
Our goal is to provide superior long-term returns while assuming less risk to do so. We continue to believe in the merit of thinking independently, investing for the long-term, and emphasizing risk management. We believe the Fund is well positioned for the coming year and over a full market cycle.
Cumulative Performance of $10,000 Investment1
Average Annual Total Return (%) through December 31, 20211 | ||||
1 Year | 3 Years | 5 Years | 10 Years | |
Ultra Series Large Cap Growth, Class I | 22.96 | 22.48 | 17.51 | 14.81 |
Ultra Series Large Cap Growth, Class II | 22.66 | 22.17 | 17.21 | 14.53 |
Russell 1000® Growth Index | 27.60 | 34.08 | 25.32 | 19.79 |
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/21 | |
Communication Services | 9.2% |
Consumer Discretionary | 14.2% |
Financials | 21.3% |
Health Care | 13.8% |
Industrials | 13.7% |
Information Technology | 20.6% |
Materials | 5.3% |
Short-Term Investments | 3.3% |
Net Other Assets and Liabilities | (1.4)% |
Investment Strategy Highlights
The Ultra Series Mid Cap Fund generally invests in common stocks of midsize companies and will, under normal market conditions, maintain at least 80% of its net assets in mid cap securities. The Fund seeks attractive long-term returns through bottom-up security selection based on fundamental analysis in a diversified portfolio of high-quality companies with attractive valuations. These will typically be industry leading companies in niches with strong growth prospects. The Fund’s portfolio managers believe in selecting stocks for the Fund that show steady, sustainable growth and reasonable valuations. As a result, stocks of issuers that are believed to have a blend of both value and growth potential will be selected for investment.
Performance
The Ultra Series Mid Cap Fund (Class I) returned 26.39% for the annual period, compared to its benchmark the Russell Midcap® Index return of 22.58%. The Fund outperformed its peer group, the Morningstar Mid-Cap Blend category, which returned 24.47%.
Stock selection accounted for nearly all of our outperformance. The top five contributors, in order of magnitude, were Gartner, Arista Networks, Carlisle, LabCorp , and CDW. The top five detractors, in order of magnitude, were Liberty Broadband, Clarivate, Vontier, Ross Stores, and Dun & Bradstreet. True to our bottom-up approach, our strongest contributors to performance came from some of our largest and highest conviction holdings.
As a concentrated, index-agnostic manager, we often zig when the market zags. For example, the technology and healthcare sectors were among the weaker performers in our benchmark index, but our stocks from those sectors were among the best performers in 2021. Our overweight in financials, the third best performing sector, did
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not help for the full year because our insurance stocks did not keep pace with other financial-related companies during the first three quarters. But in the fourth quarter, our insurance holdings were a significant performance contributor.
Portfolio turnover was 25%, within our expected range of 20% to 30%. During the year, we established seven new positions and exited six positions. Notable new positions included Cannae Holdings, PACCAR, Black Knight, and MKS Instruments.
Cannae Holdings is an investment holding company chaired by Bill Foley, an investor-executive with one of the most impressive long-term entrepreneurial track records in corporate America. The majority of Cannae’s value is in publicly-traded companies, which means its net asset value (“NAV”) can be reliably estimated. We purchased Cannae stock at an approximately 30% discount to its NAV.
PACCAR is the second largest manufacturer of heavy-duty trucks in the United States. PACCAR has best-in-class margins to go along with its superb 20% plus returns on capital. Despite operating in a notoriously cyclical industry, the company has been profitable for 82 consecutive years, and has paid a dividend every year for 50 years.
Black Knight is a leading provider of real estate and mortgage related software and data analytics. Nearly 6 of every 10 mortgages outstanding in the U.S. are processed through its mortgage servicing software platform. Switching costs are high, and the treasure trove of data it gathers is highly valuable to mortgage industry participants. As a subscription-based business, its revenue is quite steady and not that dependent on loan origination volume. We think the company can leverage its strong position for many more years of high-return growth.
MKS Instruments is the dominant supplier of gas and optical measurement instruments to the semiconductor and industrial industries. Its original product, the Baratron capacitance manometer, has been the industry standard since the birth of the semiconductor industry. In a fast-moving industry with rapid technological change, MKS’s products have avoided obsolescence. In fact, MKS’s expertise is becoming even more valuable as the semiconductor industry grapples with ever-increasing challenges to manufacture smaller and more complex chips.
A notable exit was Fastenal, one of the largest industrial distributors in the country. We purchased our stake in 2014, and we near-tripled that original investment through capital appreciation and dividends, handily outpacing our index.
Cumulative Performance of $10,000 Investment1
Average Annual Total Return (%) through December 31, 20211 | ||||
1 Year | 3 Years | 5 Years | 10 Years | |
Ultra Series Mid Cap, Class I | 26.39 | 23.01 | 16.24 | 14.85 |
Ultra Series Mid Cap, Class II | 26.08 | 22.71 | 15.95 | 14.56 |
Russell Midcap® Index | 22.58 | 23.29 | 15.10 | 14.91 |
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/21 | |
Communication Services | 5.3% |
Consumer Discretionary | 12.6% |
Consumer Staples | 0.9% |
Financials | 29.6% |
Health Care | 4.4% |
Industrials | 21.3% |
Information Technology | 21.2% |
Short-Term Investments | 4.7% |
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Investment Strategy Highlights
The Ultra Series International Stock Fund will invest, under normal market conditions, at least 80% of its net assets in the stock of foreign companies. Typically, a majority of the Fund’s assets are invested in relatively large cap stocks of companies located or operating in developed countries. The Fund may also invest up to 30% of its assets in securities of companies whose principal business activities are located in emerging market countries. The portfolio managers typically maintain this segment of the Fund’s portfolio in such stocks which it believes have a low market price relative to their perceived value based on fundamental analysis of the issuing company and its prospects. The Fund may also invest in foreign debt and other income bearing securities at times when it believes that income bearing securities have greater capital appreciation potential than equity securities.
Performance
The Ultra Series International Stock Fund (Class I) returned -1.34% for the annual period, underperforming its benchmark the MSCI ACWII Ex USA Index (net) return of 7.82%. The Fund also underperformed its Morningstar Foreign Large Blend Index which returned 10.43%.
The portfolio was transitioned from a previous subadviser on March 1, 2021, and therefore the performance and attribution commentary below will reference the period of March 1, 2021 - December 31, 2021. For this ten-month period, the Fund returned 0.79%, underperforming its benchmark the MSCI ACWI Ex USA Index (net), which returned 5.50%.
The COVID-19 global pandemic that has been prevalent for almost two years continued to influence political and economic decision making during the fiscal year. Negative effects from lockdowns and travel restrictions on business activity and economic growth led major central banks to maintain loose monetary policy. However, as a recovery in GDP growth from prior year lows broadly continued, higher inflation levels became a more pressing concern. Now, many of these central banks are contending with rising inflation and the careful balance of monetary policy normalization to avoid economic destabilization.
Looking at the benchmark’s performance during the ten-month period in more detail, we saw that from a regional category perspective, North America realized the highest positive total return. In contrast, Emerging Markets realized the lowest negative total return. From a sector perspective Energy was by far the best performing, while Communication Services stood out with the most negative total return.
In comparing the Fund’s performance to the index, Emerging Markets was the largest regional detractor from relative performance relating to stock selection, however our Portfolio underweight had a positive impact. On the other hand, Japan was the most significant contributor with stock selection as the key driver. From a sector point-of-view, Financials was the largest detractor because of weaker stock selection. The best relative performance was in Communication Services, which benefitted from our Portfolio underweight position as well as stock selection. The cash position detracted slightly given the positive index return. Portfolio composition did not change drastically, however some adjustments were observed. Among the three geographic buckets the Portfolio is viewed on relative to the index, the Europe overweight decreased slightly, the Other Developed underweight narrowed, and the Emerging Markets underweight increased. Market movement and strategic adjustments that the investment team made to position sizes of various investment holdings contributed to these shifts. Larger sector allocation changes included moving from an underweight to overweight in Consumer Discretionary, primarily from market movement. Also, the overweight in Financials changed to underweight despite one new addition. Over the period, a total of six new stocks were bought while seven were sold. Five were sold for better opportunities, one related to deteriorating fundamentals, and one stock was taken private which realized a profit.
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Ultra Series Fund | Management’s Discussion of Fund Performance (unaudited) - continued | December 31, 2021
For the Portfolio, sector and regional weights are determined through bottom-up stock selection, with internal sector and regional guardrails that keep exposure within modest tilts of the benchmark to ensure diversification and to manage risk.
In the near-term, global growth may be more volatile depending on the recovery trajectory and elevated inflation levels could persist. However, on a longer-term view, we anticipate the economic environment to be characterized by mild global growth and a more uncertain inflationary backdrop. Regardless of the path of the global pandemic, our team remains committed to employing our time-tested investment process to select high-quality growth companies with attractive valuations in a consistent and disciplined manner.
Cumulative Performance of $10,000 Investment1
Average Annual Total Return (%) through December 31, 20211 | ||||
1 Year | 3 Years | 5 Years | 10 Years | |
Ultra Series International Stock, Class I | -1.34 | 8.90 | 6.44 | 5.75 |
Ultra Series International Stock, Class II | -1.58 | 8.63 | 6.17 | 5.49 |
MSCI ACWI ex-USA Index (net) | 7.82 | 13.18 | 9.61 | 7.28 |
MSCI EAFE Index (net) | 11.26 | 13.54 | 9.55 | 8.03 |
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/21 | |
Communication Services | 4.8% |
Consumer Discretionary | 12.2% |
Consumer Staples | 11.5% |
Energy | 3.7% |
Financials | 18.6% |
Health Care | 7.3% |
Industrials | 12.3% |
Information Technology | 16.9% |
Materials | 7.7% |
Short-Term Investments | 3.1% |
Stock Funds | 2.3% |
Net Other Assets and Liabilities | (0.4)% |
GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/21 | |
Japan | 14.3% |
United Kingdom | 10.5% |
France | 8.4% |
Germany | 8.1% |
Switzerland | 7.3% |
India | 6.7% |
China | 6.0% |
United States | 5.4% |
Canada | 4.5% |
Netherlands | 4.2% |
Australia | 3.5% |
Brazil | 3.2% |
Mexico | 3.0% |
Ireland | 2.5% |
Singapore | 1.9% |
Sweden | 1.8% |
Taiwan | 1.6% |
Israel | 1.4% |
Italy | 1.4% |
Denmark | 1.2% |
Hong Kong | 1.2% |
Spain | 1.2% |
South Korea | 1.1% |
Other Net Assets | (0.4)% |
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Ultra Series Fund | Management’s Discussion of Fund Performance (unaudited) - continued | December 31, 2021
Madison Target Retirement 2020 Fund
Investment Strategy Highlights
The Ultra Series Madison Target Retirement 2020 Fund invests primarily in shares of registered investment companies according to an asset allocation strategy developed by the Fund’s investment adviser for investors planning to retire in or within a few years of 2020. Over time, the Fund’s asset allocation will gradually shift until it reaches the more conservative allocation target of approximately 10-30% in stock funds and 70-90% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.
Performance
The Ultra Series Target Retirement 2020 Fund (Class I) returned 1.45% for the year, compared to the S&P Target Date to 2020® Index return of 7.31%. The Fund’s Morningstar Target-Date 2020 peer group returned 7.68%.
The Fund provided positive absolute returns over the past 12 months; however, relative performance fell notably short of our peers and benchmark. The Fund’s relative underperformance was driven by three factors, excess cash at the start of the period, gold miner stocks, and an overallocation to emerging Asia equities.
The Fund entered the period conservatively positioned. We were concerned with both elevated valuations as well as heightened levels of investor complacency. As 2021 progressed, the U.S. economy responded positively to ongoing and extraordinary levels of fiscal and monetary stimulus. A relatively successful vaccine rollout also boosted consumer confidence. While the recovery was somewhat uneven, U.S. corporate profit growth was impressive. U.S. equities rallied as economic angst continued to recede. However, over time, 2021’s strong stock market showing became increasingly narrow in scope. This level of concentration was especially evident in the 2021 returns of what are now the six largest (Apple, Microsoft, Amazon, Google, Facebook, Tesla) U.S. companies. These same “super six” accounted for a distorted 24% of the S&P 500® Index’s outsized returns for the year, even though they represented only slightly more than 1% of the Index’s constituents. Noting this unhealthy lack of market breadth, we generally maintained our defensive posture as the year unfolded.
Gold miner stocks were a high conviction position that turned out to be an outsized detractor. We favored gold miners not only for their attractive free cash-flow yields, but also on our belief that the backdrop was very favorable for gold. Inflation was likely to increase with a Federal Reserve that was prepared to do nothing about it, real interest rates looked to remain very low. Gold has historically been a solid inflation hedge and negatively correlated with real rates. The thesis played out in terms of inflation and real rates, however gold and gold miners experienced negative returns.
We also believed emerging Asia looked poised to thrive as the global economy came back to life. Valuations were favorable and emerging markets generally thrive during an early economic expansion. However, the region continued to struggle with COVID-19 and the associated lockdowns. Bigger yet, China continued to remain steadfast in dealing with their excess debts built up over the past decade, refusing to stimulate their slowing economy and stepping up regulatory efforts that further eroded the profitability of their larger industries. Our overallocation to the underperforming region was a headwind.
On the positive side, our other inflation hedge, commodities, provided a sizable positive contributor to performance and our long-standing overweight to technology stocks boosted results.
In terms of positioning changes, we eliminated our targeted holdings in emerging Asia after it became clear that China was now a detriment and our thesis had broken-down. Our holdings in gold miner stocks remain; we believe these companies offer unique value in a generally expensive stock market. In our view, risk management is
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Ultra Series Fund | Management’s Discussion of Fund Performance (unaudited) - continued | December 31, 2021
becoming increasingly essential. Recent results have better aligned with our expectations; we believe the Fund is well positioned for the coming year.
Cumulative Performance of $10,000 Investment1,3
Average Annual Total Return (%) through December 31, 20211,3 | ||||
1 Year | 3 Years | 5 Years | 10 Years | |
Ultra Series Target Retirement 2020, Class I | 1.45 | 7.25 | 5.52 | 6.06 |
S&P Target Date To 2020 Index | 7.31 | 10.30 | 7.62 | 7.06 |
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/21 | |
Alternative Funds | 2.0% |
Bond Funds | 74.9% |
Foreign Stock Funds | 2.9% |
Stock Funds | 15.1% |
Net Other Assets and Liabilities | 5.1% |
Madison Target Retirement 2030 Fund
Investment Strategy Highlights
The Ultra Series Madison Target Retirement 2030 Fund invests primarily in shares of registered investment companies according to an asset allocation strategy developed by the Fund’s investment adviser for investors planning to retire in or within a few years of 2030. Over time, the Fund’s asset allocation will gradually shift until it reaches the more conservative allocation target of approximately 10-30% in stock funds and 70-90% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.
Performance
The Ultra Series Target Retirement 2030 Fund (Class I) returned 7.20% for the year, compared to the S&P Target Date to 2030® Index return of 11.58%. The Fund’s Morningstar Target-Date 2030 peer group returned 11.42%.
The Fund had sizeable absolute returns over the past 12 months; however, relative performance fell notably short of our peers and benchmark. The Fund’s relative underperformance was driven by three factors, excess cash at the start of the period, gold miner stocks, and an overallocation to emerging Asia equities.
The Fund entered the period conservatively positioned. We were concerned with both elevated valuations as well as heightened levels of investor complacency. As 2021 progressed, the U.S. economy responded positively to ongoing and extraordinary levels of fiscal and monetary stimulus. A relatively successful vaccine rollout also boosted consumer confidence. While the recovery was somewhat uneven, U.S. corporate profit growth was impressive. U.S. equities rallied as economic angst continued to recede. However, over time, 2021’s strong stock market showing became increasingly narrow in scope. This level of concentration was especially evident in the 2021 returns of what are now the six largest (Apple, Microsoft, Amazon, Google, Facebook, Tesla) U.S. companies. These same “super six” accounted for a distorted 24% of the S&P 500® Index’s outsized returns for the year, even though they represented only slightly more than 1% of the Index’s constituents. Noting this unhealthy lack of market breadth, we generally maintained our defensive posture as the year unfolded.
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Ultra Series Fund | Management’s Discussion of Fund Performance (unaudited) - continued | December 31, 2021
Gold miner stocks were a high conviction position that turned out to be an outsized detractor. We favored gold miners not only for their attractive free cash-flow yields, but also on our belief that the backdrop was very favorable for gold. Inflation was likely to increase with a Federal Reserve that was prepared to do nothing about it, real interest rates looked to remain very low. Gold has historically been a solid inflation hedge and negatively correlated with real rates. The thesis played out in terms of inflation and real rates, however gold and gold miners experienced negative returns.
We also believed emerging Asia looked poised to thrive as the global economy came back to life. Valuations were favorable and emerging markets generally thrive during an early economic expansion. However, the region continued to struggle with COVID-19 and the associated lockdowns. Bigger yet, China continued to remain steadfast in dealing with their excess debts built up over the past decade, refusing to stimulate their slowing economy and stepping up regulatory efforts that further eroded the profitability of their larger industries. Our overallocation to the underperforming region was a headwind.
On the positive side, our other inflation hedge, commodities, provided a sizable positive contributor to performance and our long-standing overweight to technology stocks boosted results.
In terms of positioning changes, we eliminated our targeted holdings in emerging Asia after it became clear that China was now a detriment and our thesis had broken-down. Our holdings in gold miner stocks remain; we believe these companies offer unique value in a generally expensive stock market. In our view, risk management is becoming increasingly essential. Recent results have better aligned with our expectations; we believe the Fund is well positioned for the coming year.
Cumulative Performance of $10,000 Investment1,3
Average Annual Total Return (%) through December 31, 20211,3 | ||||
1 Year | 3 Years | 5 Years | 10 Years | |
Ultra Series Target Retirement 2030, Class I | 7.20 | 11.95 | 8.79 | 8.54 |
S&P Target Date To 2030 Index | 11.58 | 13.92 | 9.95 | 8.95 |
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/21 | |
Alternative Funds | 6.0% |
Bond Funds | 48.0% |
Foreign Stock Funds | 7.5% |
Stock Funds | 33.4% |
Net Other Assets and Liabilities | 5.1% |
Madison Target Retirement 2040 Fund
Investment Strategy Highlights
The Ultra Series Madison Target Retirement 2040 Fund invests primarily in shares of registered investment companies according to an asset allocation strategy developed by the Fund’s investment adviser for investors planning to retire in or within a few years of 2040. Over time, the Fund’s asset allocation will gradually shift until it reaches the more conservative allocation target of approximately 10-30% in stock funds and 70-90% in bond
21 |
Ultra Series Fund | Management’s Discussion of Fund Performance (unaudited) - continued | December 31, 2021
funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.
Performance
The Ultra Series Target Retirement 2040 Fund (Class I) returned 8.91% for the year, compared with the S&P Target Date to 2040® Index return of 15.54%. The Fund’s Morningstar Target-Date 2040 peer group returned 14.40%.
The Fund had sizeable absolute returns over the past 12 months; however, relative performance fell notably short of our peers and benchmark. The Fund’s relative underperformance was driven by three factors, excess cash at the start of the period, gold miner stocks, and an overallocation to emerging Asia equities.
The Fund entered the period conservatively positioned. We were concerned with both elevated valuations as well as heightened levels of investor complacency. As 2021 progressed, the U.S. economy responded positively to ongoing and extraordinary levels of fiscal and monetary stimulus. A relatively successful vaccine rollout also boosted consumer confidence. While the recovery was somewhat uneven, U.S. corporate profit growth was impressive. U.S. equities rallied as economic angst continued to recede. However, over time, 2021’s strong stock market showing became increasingly narrow in scope. This level of concentration was especially evident in the 2021 returns of what are now the six largest (Apple, Microsoft, Amazon, Google, Facebook, Tesla) U.S. companies. These same “super six” accounted for a distorted 24% of the S&P 500® Index’s outsized returns for the year, even though they represented only slightly more than 1% of the Index’s constituents. Noting this unhealthy lack of market breadth, we generally maintained our defensive posture as the year unfolded.
Gold miner stocks were a high conviction position that turned out to be an outsized detractor. We favored gold miners not only for their attractive free cash-flow yields, but also on our belief that the backdrop was very favorable for gold. Inflation was likely to increase with a Federal Reserve that was prepared to do nothing about it, real interest rates looked to remain very low. Gold has historically been a solid inflation hedge and negatively correlated with real rates. The thesis played out in terms of inflation and real rates, however gold and gold miners experienced negative returns.
We also believed emerging Asia looked poised to thrive as the global economy came back to life. Valuations were favorable and emerging markets generally thrive during an early economic expansion. However, the region continued to struggle with COVID-19 and the associated lockdowns. Bigger yet, China continued to remain steadfast in dealing with their excess debts built up over the past decade, refusing to stimulate their slowing economy and stepping up regulatory efforts that further eroded the profitability of their larger industries. Our overallocation to the underperforming region was a headwind.
On the positive side, our other inflation hedge, commodities, provided a sizable positive contributor to performance and our long-standing overweight to technology stocks boosted results.
In terms of positioning changes, we eliminated our targeted holdings in emerging Asia after it became clear that China was now a detriment and our thesis had broken-down. Our holdings in gold miner stocks remain; we believe these companies offer unique value in a generally expensive stock market. In our view, risk management is becoming increasingly essential. Recent results have better aligned with our expectations; we believe the Fund is well positioned for the coming year.
22 |
Ultra Series Fund | Management’s Discussion of Fund Performance (unaudited) - continued | December 31, 2021
Cumulative Performance of $10,000 Investment1,3
Average Annual Total Return (%) through December 31, 20211,3 | ||||
1 Year | 3 Years | 5 Years | 10 Years | |
Ultra Series Target Retirement 2040, Class I | 8.91 | 13.35 | 9.79 | 9.46 |
S&P Target Date To 2040 Index | 15.54 | 16.65 | 11.70 | 10.39 |
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/21 | |
Alternative Funds | 8.0% |
Bond Funds | 33.9% |
Foreign Stock Funds | 10.0% |
Stock Funds | 42.9% |
Net Other Assets and Liabilities | 5.2% |
Madison Target Retirement 2050 Fund
Investment Strategy Highlights
The Ultra Series Madison Target Retirement 2050 Fund invests primarily in shares of registered investment companies according to an asset allocation strategy developed by the Fund’s investment adviser for investors planning to retire in or within a few years of 2050. Over time, the Fund’s asset allocation will gradually shift until it reaches the more conservative allocation target of approximately 10-30% in stock funds and 70-90% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.
Performance
The Ultra Series Target Retirement 2050 Fund (Class I) returned 10.22% for the year, compared to the S&P Target Date to 2040® Index return of 17.46%. The Fund’s Morningstar Target-Date 2050 peer group returned 16.29%.
The Fund had sizeable absolute returns over the past 12 months; however, relative performance fell notably short of our peers and benchmark. The Fund’s relative underperformance was driven by three factors, excess cash at the start of the period, gold miner stocks, and an overallocation to emerging Asia equities.
The Fund entered the period conservatively positioned. We were concerned with both elevated valuations as well as heightened levels of investor complacency. As 2021 progressed, the U.S. economy responded positively to ongoing and extraordinary levels of fiscal and monetary stimulus. A relatively successful vaccine rollout also boosted consumer confidence. While the recovery was somewhat uneven, U.S. corporate profit growth was impressive. U.S. equities rallied as economic angst continued to recede. However, over time, 2021’s strong stock market showing became increasingly narrow in scope. This level of concentration was especially evident in the 2021 returns of what are now the six largest (Apple, Microsoft, Amazon, Google, Facebook, Tesla) U.S. companies. These same “super six” accounted for a distorted 24% of the S&P 500® Index’s outsized returns for the year, even though they represented only slightly more than 1% of the Index’s constituents. Noting this unhealthy lack of market breadth, we generally maintained our defensive posture as the year unfolded.
Gold miner stocks were a high conviction position that turned out to be an outsized detractor. We favored gold miners not only for their attractive free cash-flow yields, but also on our belief that the backdrop was very
23 |
Ultra Series Fund | Management’s Discussion of Fund Performance (unaudited) - continued | December 31, 2021
favorable for gold. Inflation was likely to increase with a Federal Reserve that was prepared to do nothing about it, real interest rates looked to remain very low. Gold has historically been a solid inflation hedge and negatively correlated with real rates. The thesis played out in terms of inflation and real rates, however gold and gold miners experienced negative returns.
We also believed emerging Asia looked poised to thrive as the global economy came back to life. Valuations were favorable and emerging markets generally thrive during an early economic expansion. However, the region continued to struggle with COVID-19 and the associated lockdowns. Bigger yet, China continued to remain steadfast in dealing with their excess debts built up over the past decade, refusing to stimulate their slowing economy and stepping up regulatory efforts that further eroded the profitability of their larger industries. Our overallocation to the underperforming region was a headwind.
On the positive side, our other inflation hedge, commodities, provided a sizable positive contributor to performance and our long-standing overweight to technology stocks boosted results.
In terms of positioning changes, we eliminated our targeted holdings in emerging Asia after it became clear that China was now a detriment and our thesis had broken-down. Our holdings in gold miner stocks remain; we believe these companies offer unique value in a generally expensive stock market. In our view, risk management is becoming increasingly essential. Recent results have better aligned with our expectations; we believe the Fund is well positioned for the coming year.
Cumulative Performance of $10,000 Investment1,3
Average Annual Total Return (%) through December 31, 20211,3 | ||||
1 Year | 3 Years | 5 Years | 10 Years | |
Ultra Series Target Retirement 2050, Class I | 10.22 | 14.44 | 10.55 | 10.29 |
S&P Target Date To 2050 Index | 17.46 | 17.96 | 12.56 | 11.27 |
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 12/31/21 | |
Alternative Funds | 9.0% |
Bond Funds | 23.9% |
Foreign Stock Funds | 11.9% |
Stock Funds | 49.9% |
Net Other Assets and Liabilities | 5.3% |
24 |
Ultra Series Fund | Management’s Discussion of Fund Performance (unaudited) - continued | December 31, 2021
Notes to Management’s Discussion of Fund Performance (unaudited)
1 | Fund returns are calculated after fund level expenses have been subtracted, but do not include any separate account fees, charges or expenses imposed by the variable annuity and variable life insurance contracts that invest in the fund, as described in the Prospectus. If these fees, charges, or expenses were included, fund returns would have been lower. Fund returns also assume that dividends and capital gains are reinvested in additional shares of the fund. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of the fund shares. Investment return and principal value will fluctuate, so an investor’s shares, when redeemed, may be worth more or less than when purchased. Further information relating to the fund’s performance is contained in the Prospectus and elsewhere in this report. The fund’s past performance is not indicative of future performance. Current performance may be lower or higher than the performance data cited. For Ultra Series Fund performance data current to the most recent month-end, please call 1-800-670-3600 or visit www.ultraseriesfund.com. Indices are unmanaged and investors cannot invest in them directly. Index returns do not reflect fees or expenses. |
2 | Madison Asset Management, LLC (the “Investment Adviser” or “Madison”), has contractually agreed to waive 0.10% of its management fee for the Conservative, Moderate and Aggressive Allocation Funds until at least April 30, 2022. The fee waiver commenced July 1, 2014. Investment returns reflect the fee waiver, without which returns would have been lower. Fee agreements may by modified or terminated at any time or for any reason, but only with fund Board approval. |
3 | For the period August 30, 2014 to November 19, 2018, Madison waived the investment advisory fee of 0.25% and administrative services fee of 0.05% for each fund. Investment returns reflect the fee waivers, without which returns would have been lower. |
© Morningstar, Inc. All Rights Reserved. The Morningstar related information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
Morningstar Percentile rankings note: 1st percentile is top, 99th percentile is bottom.
BENCHMARK DESCRIPTIONS
Allocation Fund Indexes*
The Conservative Allocation Fund Custom Index consists of 65% Bloomberg US Aggregate Bond Index, 24.5% Russell 3000® Index and 10.5% MSCI ACWI ex-USA Index (net). See market index descriptions below.
The Moderate Allocation Fund Custom Index consists of 40% Bloomberg US Aggregate Bond Index, 42% Russell 3000® Index and 18% MSCI ACWI ex-USA Index (net). See market index descriptions below.
The Aggressive Allocation Fund Custom Index consists of 20% Bloomberg US Aggregate Bond Index, 56% Russell 3000® Index and 24% MSCI ACWI ex-USA Index (net). See market index descriptions below.
Hybrid Fund Custom Indexes*
The Custom Blended Index consists of 50% S&P 500® Index and 50% ICE BofA U.S. Corporate, Government & Mortgage Index. See market indexes descriptions below.
*The Custom Index is calculated using a monthly re-balancing frequency (i.e., rebalanced back to original constituent weight every calendar month-end).
25 |
Ultra Series Fund | Management’s Discussion of Fund Performance (unaudited) - continued | December 31, 2021
Market Indexes
The ICE BofA U.S. Corporate, Government & Mortgage Index is a broad-based measure of the total rate of return performance of the U.S. investment-grade bond markets. The index is a capitalization-weighted aggregation of outstanding U.S. treasury, agency and supranational mortgage pass-through, and investment-grade corporate bonds meeting specified selection criteria.
The ICE BofA U.S. High Yield Constrained Index tracks the performance of below investment grade U.S. dollar denominated corporate bonds publicly issued in the U.S. domestic market, but limits any individual issuer to a maximum weighting of 2%.
The Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government- related and corporate securities, mortgage backed securities, asset backed securities and commercial mortgage- backed securities.
Bloomberg U.S. Corporate Bond Index measures the investment grade, fixed-rate, taxable corporate bond market. It includes USD denominated securities publicly issued by U.S. financial issuers.
The MSCI EAFE (Europe, Australasia & Far East) Index (net) is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada. The MSCI EAFE Index (net) is calculated on a total return basis with dividends reinvested after the deduction of withholding taxes.
The MSCI ACWI ex USA Index (net) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI ex USA (net) is calculated on a total return basis with dividends reinvested after the deduction of withholding taxes.
The Russell 1000® Growth Index is a large-cap market index which measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 1000® Value Index is a large-cap market index which measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.
The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents 98% of the investable U.S. equity market.
The Russell Midcap® Index is a mid-cap market index which measures the performance of the mid-cap segment of the U.S. equity universe.
The S&P 500® Index is a large-cap market index which measures the performance of a representative sample of 500 leading companies in leading industries in the U.S.
S&P 500® High Beta Index measures the performance of 100 constituents in the S&P 500® that are most sensitive to changes in market returns.
Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Russell Investment Group.
26 |
Ultra Series Fund | Management’s Discussion of Fund Performance (unaudited) - concluded | December 31, 2021
The S&P Target Date® To Index Series
The S&P Target Date® “To” Index Series consists of multi-asset class indices, and corresponds to specific target retirement dates. The series reflects the consensus asset allocation and glide path of a subset of target date funds that generally pursue investment policies characterized by static total equity exposure after retirement and a relatively conservative total equity exposure near retirement. As the overall universe becomes more conservative with the approach of each target date year, so will the index. The asset allocation is based on market observations through an annual survey of “to” target date fund managers, and is categorized by S&P Dow Jones Indices.
● | The S&P Target Date® To 2020 Index is a benchmark for multi-class asset portfolios that corresponds to the target retirement date 2020. |
● | The S&P Target Date® To 2030 Index is a benchmark for multi-class asset portfolios that corresponds to the target retirement date 2030. |
● | The S&P Target Date® To 2040 Index is a benchmark for multi-class asset portfolios that corresponds to the target retirement date 2040. |
● | The S&P Target Date® To 2050 Index is a benchmark for multi-class asset portfolios that corresponds to the target retirement date 2050. |
27 |
Ultra Series Fund | December 31, 2021
Conservative Allocation Fund Portfolio of Investments |
Shares | Value (Note 2,3) | |||||||
INVESTMENT COMPANIES - 97.2% | ||||||||
Alternative Funds - 1.6% | ||||||||
Invesco Optimum Yield Diversified | ||||||||
Commodity Strategy | 174,902 | $ | 2,459,122 | |||||
Bond Funds - 62.0% | ||||||||
Baird Aggregate Bond Fund | ||||||||
Institutional Shares | 1,549,920 | 17,622,589 | ||||||
iShares 20+ Year Treasury Bond ETF (A) | 65,786 | 9,748,827 | ||||||
iShares 3-7 Year Treasury Bond ETF | 58,513 | 7,528,868 | ||||||
Janus Henderson Mortgage-Backed | ||||||||
Securities ETF | 200,802 | 10,578,250 | ||||||
Madison Core Bond Fund Class I (B) | 3,750,150 | 38,476,541 | ||||||
Vanguard Short-Term Corporate | ||||||||
Bond ETF | 125,268 | 10,179,278 | ||||||
94,134,353 | ||||||||
Foreign Stock Funds - 6.5% | ||||||||
iShares MSCI Eurozone ETF (A) | 15,604 | 764,752 | ||||||
iShares MSCI International Quality | ||||||||
Factor ETF | 19,371 | 762,830 | ||||||
iShares MSCI United Kingdom ETF (A) | 11,591 | 384,126 | ||||||
JPMorgan BetaBuilders Japan ETF | 6,906 | 380,382 | ||||||
Vanguard FTSE All-World ex-U.S. ETF | 123,779 | 7,585,177 | ||||||
9,877,267 | ||||||||
Stock Funds - 27.1% | ||||||||
Invesco S&P 500 Quality ETF | 116,319 | 6,189,334 | ||||||
iShares Core S&P Small-Cap ETF | 27,544 | 3,154,063 | ||||||
iShares Core S&P U.S. Growth ETF | 19,811 | 2,290,944 | ||||||
Madison Dividend Income Fund | ||||||||
Class I (B) | 201,395 | 6,515,144 | ||||||
Madison Investors Fund Class R6 (B) | 394,357 | 11,097,193 | ||||||
Schwab U.S. Dividend Equity ETF | 55,842 | 4,513,709 |
Shares | Value (Note 2,3) | |||||||
VanEck Gold Miners ETF | 86,507 | $ | 2,770,819 | |||||
Vanguard Information Technology ETF | 9,877 | 4,525,345 | ||||||
41,056,551 | ||||||||
Total Investment Companies | ||||||||
(Cost $137,645,878) | 147,527,293 | |||||||
SHORT-TERM INVESTMENTS - 3.2% | ||||||||
State Street Institutional U.S. | ||||||||
Government Money Market Fund, | ||||||||
0.03%, Premier Class (C) | 4,309,263 | 4,309,263 | ||||||
State Street Navigator Securities | ||||||||
Lending Government Money Market | ||||||||
Portfolio, 0.03% (C) (D) | 629,006 | 629,006 | ||||||
Total Short-Term Investments | ||||||||
(Cost $4,938,269) | 4,938,269 | |||||||
TOTAL INVESTMENTS - 100.4% | ||||||||
(Cost $142,584,147**) | 152,465,562 | |||||||
NET OTHER ASSETS AND LIABILITIES - (0.4%) | (636,912 | ) | ||||||
TOTAL NET ASSETS - 100.0% | $ | 151,828,650 |
** | Aggregate cost for Federal tax purposes was $142,750,047. |
(A) | All or a portion of these securities, with an aggregate fair value of $6,950,466, are on loan as part of a securities lending program. See footnote (D) and Note 10 for details on the securities lending program. |
(B) | Affiliated Company (see Note 12). |
(C) | 7-day yield. |
(D) | Represents investments of cash collateral received in connection with securities lending. |
ETF | Exchange Traded Fund. |
FTSE | The Financial Times Stock Exchange. |
See accompanying Notes to Financial Statements.
28
Ultra Series Fund | December 31, 2021
Moderate Allocation Fund Portfolio of Investments |
Shares | Value (Note 2,3) | |||||||
INVESTMENT COMPANIES - 95.8% | ||||||||
Alternative Funds - 2.7% | ||||||||
Invesco Optimum Yield Diversified | ||||||||
Commodity Strategy | 317,750 | $ | 4,467,565 | |||||
Bond Funds - 35.5% | ||||||||
Baird Aggregate Bond Fund | ||||||||
Institutional Shares | 614,085 | 6,982,144 | ||||||
iShares 20+ Year Treasury Bond ETF | 61,278 | 9,080,787 | ||||||
Janus Henderson Mortgage-Backed | ||||||||
Securities ETF | 152,375 | 8,027,115 | ||||||
Madison Core Bond Fund Class I (A) | 2,552,420 | 26,187,832 | ||||||
Vanguard Short-Term Corporate Bond | ||||||||
ETF (B) | 91,688 | 7,450,567 | ||||||
57,728,445 | ||||||||
Foreign Stock Funds - 11.1% | ||||||||
iShares MSCI Eurozone ETF (B) | 41,744 | 2,045,873 | ||||||
iShares MSCI International Quality | ||||||||
Factor ETF | 52,625 | 2,072,373 | ||||||
iShares MSCI United Kingdom ETF (B) | 25,499 | 845,037 | ||||||
JPMorgan BetaBuilders Japan ETF | 14,797 | 815,019 | ||||||
Vanguard FTSE All World ex-U.S. ETF | 180,774 | 11,077,831 | ||||||
Vanguard FTSE All World ex-U.S. Small- | ||||||||
Cap ETF | 9,097 | 1,218,634 | ||||||
18,074,767 | ||||||||
Stock Funds - 46.5% | ||||||||
Invesco S&P 500 Quality ETF | 188,278 | 10,018,272 | ||||||
iShares Core S&P Small-Cap ETF | 58,702 | 6,721,966 | ||||||
iShares Core S&P U.S. Growth ETF (B) | 28,266 | 3,268,680 | ||||||
Madison Dividend Income Fund | ||||||||
Class I (A) | 415,202 | 13,431,772 | ||||||
Madison Investors Fund Class R6 (A) | 770,645 | 21,685,953 | ||||||
Madison Mid Cap Fund Class R6 (A) | 148,302 | 2,255,679 |
Shares | Value (Note 2,3) | |||||||
Schwab U.S. Dividend Equity ETF (B) | 42,972 | $ | 3,473,427 | |||||
VanEck Gold Miners ETF | 171,308 | 5,486,995 | ||||||
Vanguard Information Technology ETF | 20,418 | 9,354,915 | ||||||
75,697,659 | ||||||||
Total Investment Companies | ||||||||
( Cost $134,592,466 ) | 155,968,436 | |||||||
SHORT-TERM INVESTMENTS - 5.3% | ||||||||
State Street Institutional U.S. | ||||||||
Government Money Market Fund, | ||||||||
0.03%, Premier Class (C) | 6,829,261 | 6,829,261 | ||||||
State Street Navigator Securities | ||||||||
Lending Government Money Market | ||||||||
Portfolio, 0.03% (C) (D) | 1,740,951 | 1,740,951 | ||||||
Total Short-Term Investments | ||||||||
(Cost $8,570,212) | 8,570,212 | |||||||
TOTAL INVESTMENTS - 101.1% | ||||||||
(Cost $143,162,678**) | 164,538,648 | |||||||
NET OTHER ASSETS AND LIABILITIES - (1.1%) | (1,725,857 | ) | ||||||
TOTAL NET ASSETS - 100.0% | $ | 162,812,791 |
** | Aggregate cost for Federal tax purposes was $143,305,359. |
(A) | Affiliated Company (see Note 12). |
(B) | All or a portion of these securities, with an aggregate fair value of $5,443,637, are on loan as part of a securities lending program. See footnote (D) and Note 10 for details on the securities lending program. |
(C) | 7-day yield. |
(D) | Represents investments of cash collateral received in connection with securities lending. |
ETF | Exchange Traded Fund. |
FTSE | The Financial Times Stock Exchange. |
See accompanying Notes to Financial Statements.
29
Ultra Series Fund | December 31, 2021
Aggressive Allocation Fund Portfolio of Investments |
Shares | Value (Note 2,3) | |||||||
INVESTMENT COMPANIES - 96.3% | ||||||||
Alternative Funds - 3.6% | ||||||||
Invesco Optimum Yield Diversified | ||||||||
Commodity Strategy | 136,717 | $ | 1,922,241 | |||||
Bond Funds - 16.6% | ||||||||
Baird Aggregate Bond Fund | ||||||||
Institutional Shares | 60,495 | 687,829 | ||||||
iShares 20+ Year Treasury Bond ETF | 12,185 | 1,805,695 | ||||||
Janus Henderson Mortgage-Backed | ||||||||
Securities ETF | 27,012 | 1,422,992 | ||||||
Madison Core Bond Fund Class I (A) | 347,482 | 3,565,165 | ||||||
Vanguard Short-Term Corporate | ||||||||
Bond ETF | 17,089 | 1,388,652 | ||||||
8,870,333 | ||||||||
Foreign Stock Funds - 15.7% | ||||||||
iShares MSCI Eurozone ETF (B) | 21,729 | 1,064,938 | ||||||
iShares MSCI International Quality | ||||||||
Factor ETF | 37,634 | 1,482,027 | ||||||
iShares MSCI United Kingdom ETF (B) | 12,433 | 412,030 | ||||||
JPMorgan BetaBuilders Japan ETF | 6,992 | 385,120 | ||||||
Vanguard FTSE All World ex-U.S. ETF | 69,372 | 4,251,116 | ||||||
Vanguard FTSE All World ex-U.S. | ||||||||
Small-Cap ETF | 5,871 | 786,479 | ||||||
8,381,710 | ||||||||
Stock Funds - 60.4% | ||||||||
Invesco S&P 500 Quality ETF | 79,732 | 4,242,540 | ||||||
iShares Core S&P Small-Cap ETF | 26,202 | 3,000,391 | ||||||
iShares Core S&P U.S. Growth ETF (B) | 18,392 | 2,126,851 | ||||||
Madison Dividend Income Fund | ||||||||
Class I (A) | 162,455 | 5,255,405 | ||||||
Madison Investors Fund Class R6 (A) | 301,249 | 8,477,139 | ||||||
Madison Mid Cap Fund Class R6 (A) | 57,310 | 871,681 | ||||||
Schwab U.S. Dividend Equity ETF | 20,308 | 1,641,496 |
Shares | Value (Note 2,3) | |||||||
VanEck Gold Miners ETF | 81,251 | $ | 2,602,469 | |||||
Vanguard Information Technology | ||||||||
ETF | 8,711 | 3,991,119 | ||||||
32,209,091 | ||||||||
Total Investment Companies | ||||||||
(Cost $43,186,360) | 51,383,375 | |||||||
SHORT-TERM INVESTMENTS - 8.7% | ||||||||
State Street Institutional U.S. | ||||||||
Government Money Market Fund, | ||||||||
0.03%, Premier Class (C) | 1,942,085 | 1,942,085 | ||||||
State Street Navigator Securities | ||||||||
Lending Government Money Market | ||||||||
Portfolio, 0.03% (C) (D) | 2,713,481 | 2,713,481 | ||||||
Total Short-Term Investments | ||||||||
(Cost $4,655,566) | 4,655,566 | |||||||
TOTAL INVESTMENTS - 105.0% | ||||||||
(Cost $47,841,926**) | 56,038,941 | |||||||
NET OTHER ASSETS AND LIABILITIES - (5.0%) | (2,665,679 | ) | ||||||
TOTAL NET ASSETS - 100.0% | $ | 53,373,262 |
** | Aggregate cost for Federal tax purposes was $47,874,728. |
(A) | Affiliated Company (see Note 12). |
(B) | All or a portion of these securities, with an aggregate fair value of $2,724,418, are on loan as part of a securities lending program. See footnote (D) and Note 10 for details on the securities lending program. |
(C) | 7-day yield. |
(D) | Represents investments of cash collateral received in connection with securities lending. |
ETF | Exchange Traded Fund. |
FTSE | The Financial Times Stock Exchange. |
See accompanying Notes to Financial Statements.
30
Ultra Series Fund | December 31, 2021
Core Bond Fund Portfolio of Investments |
Par Value | Value (Note 2,3) | |||||||
ASSET BACKED SECURITIES - 4.0% | ||||||||
CCG Receivables Trust, Series 2020-1, | ||||||||
Class A2 (A), 0.54%, 12/14/27 | $ | 193,292 | $ | 193,030 | ||||
Chesapeake Funding II LLC, Series 2018- | ||||||||
3A, Class B (A), 3.62%, 1/15/31 | 100,000 | 101,018 | ||||||
CNH Equipment Trust, Series 2019-A, | ||||||||
Class A4, 3.22%, 1/15/26 | 225,000 | 230,276 | ||||||
Dell Equipment Finance Trust, Series | ||||||||
2019-2, Class A3 (A), 1.91%, 10/22/24 | 198,863 | 199,714 | ||||||
Donlen Fleet Lease Funding LLC, Series | ||||||||
2021-2, Class A2 (A), 0.56%, 12/11/34 | 450,000 | 447,380 | ||||||
Enterprise Fleet Financing LLC, Series | ||||||||
2019-3, Class A2 (A), 2.06%, 5/20/25 | 203,354 | 204,898 | ||||||
JPMorgan Chase Bank NA, Series 2020-2, | ||||||||
Class B (A), 0.84%, 2/25/28 | 143,492 | 143,225 | ||||||
JPMorgan Chase Bank NA, Series 2021-1, | ||||||||
Class B (A), 0.875%, 9/25/28 | 184,296 | 183,664 | ||||||
JPMorgan Chase Bank NA, Series 2021-2, | ||||||||
Class B (A), 0.889%, 12/26/28 | 214,997 | 213,898 | ||||||
JPMorgan Chase Bank NA, Series 2021-3, | ||||||||
Class C (A), 0.86%, 2/26/29 | 385,870 | 383,463 | ||||||
LAD Auto Receivables Trust, Series 2021- | ||||||||
1A, Class A (A), 1.3%, 8/17/26 | 454,326 | 453,435 | ||||||
Santander Consumer Auto Receivables | ||||||||
Trust, Series 2020-BA, Class A3 (A), | ||||||||
0.46%, 8/15/24 | 188,456 | 188,445 | ||||||
Santander Revolving Auto Loan Trust, | ||||||||
Series 2019-A, Class C (A), 3%, 1/26/32 | 300,000 | 309,963 | ||||||
Synchrony Credit Card Master Note Trust, | ||||||||
Series 2018-2, Class C, 3.87%, 5/15/26 | 500,000 | 515,975 | ||||||
Verizon Owner Trust, Series 2018-A, Class | ||||||||
A1A, 3.23%, 4/20/23 | 2,282 | 2,286 | ||||||
Verizon Owner Trust, Series 2020-A, Class | ||||||||
B, 1.98%, 7/22/24 | 250,000 | 253,119 | ||||||
Wheels SPV LLC, Series 2019-1A, Class A3 | ||||||||
(A), 2.35%, 5/22/28 | 200,000 | 202,311 | ||||||
Total Asset Backed Securities | ||||||||
(Cost $4,239,451) | 4,226,100 | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 4.8% | ||||||||
Bunker Hill Loan Depositary Trust, Series | ||||||||
2019-2, Class A1 (A) (B), 2.879%, 7/25/49 | 153,379 | 154,289 | ||||||
CIM Trust, Series 2021-J2, Class A4 (A) (C) | ||||||||
(D), 2.5%, 4/25/51 | 336,925 | 339,684 | ||||||
Fannie Mae REMICS, Series 2015-12, Class | ||||||||
NI, IO, 3.5%, 3/25/30 | 813,685 | 73,358 | ||||||
Fannie Mae REMICS, Series 2011-31, Class | ||||||||
DB, 3.5%, 4/25/31 | 169,492 | 179,791 | ||||||
Fannie Mae REMICS, Series 2011-36, Class | ||||||||
QB, 4%, 5/25/31 | 250,509 | 269,800 | ||||||
Fannie Mae REMICS, Series 2005-79, Class | ||||||||
LT, 5.5%, 9/25/35 | 243,891 | 278,501 |
Par Value | Value (Note 2,3) | |||||||
Fannie Mae REMICS, Series 2020-44, Class | ||||||||
TI, IO, 5.5%, 12/25/35 | $ | 2,140,280 | $ | 381,241 | ||||
Fannie Mae REMICS, Series 2016-21, Class | ||||||||
BA, 3%, 3/25/42 | 108,696 | 109,789 | ||||||
Freddie Mac REMICS, Series 4066, Class | ||||||||
DI, IO, 3%, 6/15/27 | 883,747 | 45,376 | ||||||
Freddie Mac STACR REMIC Trust, Series | ||||||||
2021-DNA3, Class M1, (SOFR30A + | ||||||||
0.750%) (A) (C), 0.8%, 10/25/33 | 462,053 | 461,913 | ||||||
Freddie Mac STACR REMIC Trust, Series | ||||||||
2021-DNA5, Class M1, (SOFR30A + | ||||||||
0.650%) (A) (C), 0.7%, 1/25/34 | 83,310 | 83,283 | ||||||
GCAT Trust, Series 2021-NQM1, Class A1 | ||||||||
(A) (C) (D), 0.874%, 1/25/66 | 317,133 | 313,921 | ||||||
Government National Mortgage | ||||||||
Association, Series 2015-53, Class IL, IO, | ||||||||
3%, 9/20/44 | 138,155 | 2,596 | ||||||
JPMorgan Mortgage Trust, Series 2019-5, | ||||||||
Class A3 (A) (C) (D), 4%, 11/25/49 | 35,817 | 36,105 | ||||||
JPMorgan Mortgage Trust, Series 2019-7, | ||||||||
Class A3 (A) (C) (D), 3.5%, 2/25/50 | 92,643 | 93,515 | ||||||
JPMorgan Mortgage Trust, Series 2021-1, | ||||||||
Class A3 (A) (C) (D), 2.5%, 6/25/51 | 367,558 | 367,639 | ||||||
JPMorgan Mortgage Trust, Series 2021-6, | ||||||||
Class A4 (A) (C) (D), 2.5%, 10/25/51 | 441,980 | 445,864 | ||||||
JPMorgan Wealth Management, Series | ||||||||
2020-ATR1, Class A3 (A) (C) (D), 3%, | ||||||||
2/25/50 | 178,624 | 181,265 | ||||||
PSMC Trust, Series 2019-2, Class A1 (A) (C) | ||||||||
(D), 3.5%, 10/25/49 | 17,428 | 17,481 | ||||||
PSMC Trust, Series 2020-2, Class A2 (A) (C) | ||||||||
(D), 3%, 5/25/50 | 104,528 | 105,020 | ||||||
PSMC Trust, Series 2021-1, Class A11 (A) | ||||||||
(C) (D), 2.5%, 3/25/51 | 210,157 | 212,130 | ||||||
RCKT Mortgage Trust, Series 2021-6, Class | ||||||||
A5 (A) (C) (D), 2.5%, 12/25/51 | 325,000 | 327,006 | ||||||
Sequoia Mortgage Trust, Series 2013-7, | ||||||||
Class A2 (C) (D), 3%, 6/25/43 | 306,419 | 306,305 | ||||||
Towd Point HE Trust, Series 2021-HE1, | ||||||||
Class A1 (A) (C) (D), 0.918%, 2/25/63 | 287,173 | 285,830 | ||||||
Wells Fargo Mortgage Backed Securities | ||||||||
Trust, Series 2019-2, Class A1 (A) (C) (D), | ||||||||
4%, 4/25/49 | 17,712 | 17,718 | ||||||
Total Collateralized Mortgage Obligations | ||||||||
(Cost $5,341,099) | 5,089,420 | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 1.8% | ||||||||
Fannie Mae-Aces, Series 2017-M15, Class | ||||||||
ATS2 (C) (D), 3.14%, 11/25/27 | 250,000 | 263,373 | ||||||
FHLMC Multifamily Structured Pass | ||||||||
Through Certificates, Series K718, Class | ||||||||
X1, IO (C) (D), 0.547%, 1/25/22 | 447,676 | 4 |
See accompanying Notes to Financial Statements.
31
Ultra Series Fund | December 31, 2021
Core Bond Fund Portfolio of Investments - continued |
Par Value | Value (Note 2,3) | |||||||
FHLMC Multifamily Structured Pass | ||||||||
Through Certificates, Series KJ17, Class | ||||||||
A2, 2.982%, 11/25/25 | $ | 232,168 | $ | 242,698 | ||||
FHLMC Multifamily Structured Pass | ||||||||
Through Certificates, Series K059, Class | ||||||||
X1, IO (C) (D), 0.308%, 9/25/26 | 11,655,733 | 147,992 | ||||||
FHLMC Multifamily Structured Pass | ||||||||
Through Certificates, Series K066, Class | ||||||||
A2, 3.117%, 6/25/27 | 650,000 | 701,371 | ||||||
FREMF Mortgage Trust, Series 2015-K721, | ||||||||
Class B (A) (C) (D), 3.559%, 11/25/47 | 500,000 | 507,706 | ||||||
GSAMP Trust, Series 2006-S5, | ||||||||
Class M5 (D), 7.488% 9/25/36 | 4,940,000 | – | ||||||
Total Commercial Mortgage-Backed | ||||||||
Securities (Cost $1,778,923) | 1,863,144 | |||||||
CORPORATE NOTES AND BONDS - 39.3% | ||||||||
Communication Services - 3.3% | ||||||||
AT&T, Inc., 2.25%, 2/1/32 | 500,000 | 483,756 | ||||||
CCO Holdings LLC / CCO Holdings Capital | ||||||||
Corp. (A), 4.75%, 3/1/30 | 200,000 | 208,000 | ||||||
Charter Communications Operating LLC | ||||||||
/ Charter Communications Operating | ||||||||
Capital Corp., 4.464%, 7/23/22 | 400,000 | 405,903 | ||||||
Discovery Communications LLC, 5%, | ||||||||
9/20/37 | 250,000 | 298,946 | ||||||
eBay, Inc., 1.9%, 3/11/25 | 325,000 | 328,777 | ||||||
Expedia Group, Inc., 3.25%, 2/15/30 | 350,000 | 357,515 | ||||||
Lumen Technologies, Inc. (A), 4.5%, | ||||||||
1/15/29 | 125,000 | 120,937 | ||||||
T-Mobile USA, Inc., 2.625%, 4/15/26 | 200,000 | 201,000 | ||||||
Verizon Communications, Inc., 4.329%, | ||||||||
9/21/28 | 347,000 | 394,497 | ||||||
Verizon Communications, Inc., 3.875%, | ||||||||
2/8/29 | 300,000 | 332,730 | ||||||
Verizon Communications, Inc., 4.4%, | ||||||||
11/1/34 | 300,000 | 349,906 | ||||||
3,481,967 | ||||||||
Consumer Discretionary - 3.3% | ||||||||
7-Eleven, Inc. (A), 1.8%, 2/10/31 | 300,000 | 284,225 | ||||||
American Airlines, Inc. / AAdvantage | ||||||||
Loyalty IP Ltd. (A), 5.5%, 4/20/26 | 200,000 | 207,975 | ||||||
Clarios Global LP / Clarios U.S. Finance Co. | ||||||||
(A), 6.25%, 5/15/26 | 150,000 | 156,938 | ||||||
Hilton Domestic Operating Co., Inc. (A), | ||||||||
5.375%, 5/1/25 | 200,000 | 208,120 | ||||||
Lowe’s Cos., Inc., 3%, 10/15/50 | 500,000 | 495,037 | ||||||
McDonald’s Corp., 2.125%, 3/1/30 | 250,000 | 249,102 | ||||||
McDonald’s Corp., 4.875%, 12/9/45 | 400,000 | 515,501 | ||||||
Picasso Finance Sub, Inc. (A), 6.125%, | ||||||||
6/15/25 | 135,000 | 141,075 | ||||||
QVC, Inc., 4.75%, 2/15/27 | 225,000 | 231,188 |
Par Value | Value (Note 2,3) | |||||||
Southwest Airlines Co., 5.25%, 5/4/25 | $ | 350,000 | $ | 388,894 | ||||
Tractor Supply Co., 1.75%, 11/1/30 | 200,000 | 187,464 | ||||||
Vail Resorts, Inc. (A), 6.25%, 5/15/25 | 150,000 | 156,000 | ||||||
Walgreens Boots Alliance, Inc., 3.45%, | ||||||||
6/1/26 | 176,000 | 187,359 | ||||||
3,408,878 | ||||||||
Consumer Staples - 1.8% | ||||||||
General Mills, Inc. (E), 2.875%, 4/15/30 | 200,000 | 208,930 | ||||||
Hormel Foods Corp., 1.8%, 6/11/30 | 200,000 | 196,312 | ||||||
Keurig Dr Pepper, Inc., 3.8%, 5/1/50 | 300,000 | 332,417 | ||||||
Mars, Inc. (A), 3.875%, 4/1/39 | 350,000 | 405,587 | ||||||
Mars, Inc. (A), 2.375%, 7/16/40 | 350,000 | 334,185 | ||||||
Performance Food Group, Inc. (A), 5.5%, | ||||||||
10/15/27 | 150,000 | 156,562 | ||||||
Sysco Corp., 5.95%, 4/1/30 | 199,000 | 248,617 | ||||||
1,882,610 | ||||||||
Energy - 5.3% | ||||||||
Eastern Gas Transmission & Storage, Inc. | ||||||||
(A), 3%, 11/15/29 | 150,000 | 154,822 | ||||||
Energy Transfer LP, 5.25%, 4/15/29 | 300,000 | 343,903 | ||||||
EnLink Midstream Partners LP (E), 5.45%, | ||||||||
6/1/47 | 550,000 | 554,892 | ||||||
Enterprise Products Operating LLC, | ||||||||
3.75%, 2/15/25 | 500,000 | 531,476 | ||||||
Kinder Morgan, Inc., 5.55%, 6/1/45 | 550,000 | 697,390 | ||||||
Marathon Petroleum Corp., 4.7%, 5/1/25 | 275,000 | 300,123 | ||||||
MPLX LP, 4.8%, 2/15/29 | 250,000 | 285,707 | ||||||
MPLX LP, 2.65%, 8/15/30 | 200,000 | 199,296 | ||||||
Occidental Petroleum Corp., 3.5%, | ||||||||
8/15/29 | 450,000 | 461,678 | ||||||
Occidental Petroleum Corp., 4.4%, | ||||||||
8/15/49 | 200,000 | 202,500 | ||||||
ONEOK, Inc., 5.85%, 1/15/26 | 100,000 | 114,727 | ||||||
Phillips 66, 2.15%, 12/15/30 | 500,000 | 481,719 | ||||||
Pioneer Natural Resources Co., 2.15%, | ||||||||
1/15/31 | 200,000 | 192,394 | ||||||
Sabine Pass Liquefaction LLC, 4.5%, | ||||||||
5/15/30 | 250,000 | 282,266 | ||||||
Sunoco LP / Sunoco Finance Corp., 6%, | ||||||||
4/15/27 | 150,000 | 156,435 | ||||||
Valero Energy Partners LP, 4.5%, 3/15/28 | 500,000 | 551,699 | ||||||
5,511,027 | ||||||||
Financials - 13.9% | ||||||||
Affiliated Managers Group, Inc., 4.25%, | ||||||||
2/15/24 | 250,000 | 265,519 | ||||||
Aflac, Inc., 4.75%, 1/15/49 | 400,000 | 531,711 | ||||||
Air Lease Corp., 1.875%, 8/15/26 | 250,000 | 246,004 | ||||||
Ally Financial, Inc., (5 year CMT + | ||||||||
3.868%) (C), 4.7%, 5/15/26 | 250,000 | 259,375 |
See accompanying Notes to Financial Statements.
32
Ultra Series Fund | December 31, 2021
Core Bond Fund Portfolio of Investments - continued |
Par Value | Value (Note 2,3) | |||||||
American International Group, Inc., | ||||||||
4.75%, 4/1/48 | $ | 200,000 | $ | 255,583 | ||||
Bank of New York Mellon Corp., Series | ||||||||
I, (5 year CMT + 2.630%) (C), 3.75%, | ||||||||
12/20/26 | 525,000 | 526,874 | ||||||
Belrose Funding Trust (A), 2.33%, 8/15/30 | 200,000 | 196,304 | ||||||
BlackRock, Inc., 2.1%, 2/25/32 | 350,000 | 347,638 | ||||||
Capital One Financial Corp., (5 year CMT + | ||||||||
3.157%) (C), 3.95%, 9/1/26 | 500,000 | 502,500 | ||||||
Cboe Global Markets, Inc., 3.65%, | ||||||||
1/12/27 | 365,000 | 397,104 | ||||||
Charles Schwab Corp., (10 year CMT + | ||||||||
3.079%) (C), 4%, 12/1/30 | 550,000 | 555,500 | ||||||
Citigroup, Inc., (3M USD LIBOR + 1.192%) | ||||||||
(C), 4.075%, 4/23/29 | 450,000 | 496,641 | ||||||
Discover Bank, 3.45%, 7/27/26 | 75,000 | 79,376 | ||||||
Empower Finance LP (A), 3.075%, | ||||||||
9/17/51 | 125,000 | 126,877 | ||||||
Fifth Third Bancorp, 2.55%, 5/5/27 | 175,000 | 180,622 | ||||||
GLP Capital LP / GLP Financing, Inc., | ||||||||
3.25%, 1/15/32 | 200,000 | 201,078 | ||||||
Goldman Sachs BDC, Inc., 2.875%, | ||||||||
1/15/26 | 200,000 | 204,944 | ||||||
Goldman Sachs Group, Inc., (SOFR + | ||||||||
0.913%) (C), 1.948%, 10/21/27 | 400,000 | 398,479 | ||||||
Healthpeak Properties, Inc., 3.25%, | ||||||||
7/15/26 | 250,000 | 265,598 | ||||||
Huntington Bancshares, Inc., (5 year CMT | ||||||||
+ 1.170%) (A) (C), 2.487%, 8/15/36 | 500,000 | 479,624 | ||||||
Huntington National Bank, 3.55%, | ||||||||
10/6/23 | 250,000 | 260,957 | ||||||
Intercontinental Exchange, Inc., 3.75%, | ||||||||
9/21/28 | 200,000 | 220,998 | ||||||
Iron Mountain, Inc. (A), 4.5%, 2/15/31 | 125,000 | 126,336 | ||||||
Jefferies Finance LLC / JFIN Co-Issuer Corp. | ||||||||
(A), 5%, 8/15/28 | 225,000 | 230,625 | ||||||
Jefferies Group LLC / Jefferies Group | ||||||||
Capital Finance, Inc., 2.625%, 10/15/31 | 250,000 | 246,182 | ||||||
JPMorgan Chase & Co., Series II, (SOFR + | ||||||||
2.745%) (C), 4%, 4/1/25 | 400,000 | 402,000 | ||||||
JPMorgan Chase & Co., (SOFR + 0.695%) | ||||||||
(C), 1.04%, 2/4/27 | 400,000 | 387,343 | ||||||
KKR Group Finance Co. VIII LLC (A), 3.5%, | ||||||||
8/25/50 | 250,000 | 262,582 | ||||||
Liberty Mutual Group, Inc. (A), 4.25%, | ||||||||
6/15/23 | 166,000 | 173,398 | ||||||
Liberty Mutual Group, Inc. (A), 4.569%, | ||||||||
2/1/29 | 400,000 | 460,029 | ||||||
Liberty Mutual Group, Inc. (A), 3.95%, | ||||||||
5/15/60 | 150,000 | 165,377 | ||||||
M&T Bank Corp., 3.55%, 7/26/23 | 250,000 | 259,535 | ||||||
MetLife, Inc., (5 year CMT + 3.576%) (C), | ||||||||
3.85%, 9/15/25 | 350,000 | 357,000 |
Par Value | Value (Note 2,3) | |||||||
Morgan Stanley, (SOFR + 1.990%) (C), | ||||||||
2.188%, 4/28/26 | $ | 175,000 | $ | 178,508 | ||||
Morgan Stanley, (SOFR + 0.879%) (C), | ||||||||
1.593%, 5/4/27 | 250,000 | 247,465 | ||||||
Morgan Stanley, (SOFR + 1.020%) (C), | ||||||||
1.928%, 4/28/32 | 500,000 | 478,314 | ||||||
NASDAQ, Inc., 1.65%, 1/15/31 | 250,000 | 232,985 | ||||||
Old Republic International Corp., 3.85%, | ||||||||
6/11/51 | 250,000 | 269,831 | ||||||
Omega Healthcare Investors, Inc., | ||||||||
3.375%, 2/1/31 | 225,000 | 226,867 | ||||||
PNC Bank NA, 2.7%, 10/22/29 | 125,000 | 129,263 | ||||||
Prudential Financial, Inc., (5 year CMT + | ||||||||
3.035%) (C), 3.7%, 10/1/50 | 250,000 | 253,149 | ||||||
Public Storage, 1.95%, 11/9/28 | 125,000 | 124,675 | ||||||
Regions Financial Corp., 1.8%, 8/12/28 | 495,000 | 484,649 | ||||||
SBA Communications Corp., 3.875%, | ||||||||
2/15/27 | 250,000 | 257,500 | ||||||
State Street Corp., (SOFR + 1.490%) (C), | ||||||||
3.031%, 11/1/34 | 125,000 | 130,288 | ||||||
STORE Capital Corp., 4.5%, 3/15/28 | 200,000 | 221,147 | ||||||
Teachers Insurance & Annuity Association | ||||||||
of America (A), 3.3%, 5/15/50 | 300,000 | 314,043 | ||||||
Truist Bank, 2.25%, 3/11/30 | 325,000 | 324,479 | ||||||
Truist Financial Corp., (SOFR + 0.609%) | ||||||||
(C), 1.267%, 3/2/27 | 300,000 | 294,498 | ||||||
Wells Fargo & Co., (SOFR + 2.100%) (C), | ||||||||
2.393%, 6/2/28 | 250,000 | 254,252 | ||||||
Western Union Co., 2.85%, 1/10/25 | 125,000 | 129,412 | ||||||
14,621,038 | ||||||||
Health Care - 2.4% | ||||||||
Anthem, Inc., 2.375%, 1/15/25 | 300,000 | 309,437 | ||||||
Baxter International, Inc. (A), 2.272%, | ||||||||
12/1/28 | 300,000 | 302,441 | ||||||
Centene Corp., 2.45%, 7/15/28 | 300,000 | 295,500 | ||||||
Cigna Corp., 4.375%, 10/15/28 | 50,000 | 56,870 | ||||||
Cigna Corp., 4.9%, 12/15/48 | 200,000 | 259,288 | ||||||
CVS Health Corp., 5.125%, 7/20/45 | 250,000 | 325,951 | ||||||
Health Care Service Corp. A Mutual Legal | ||||||||
Reserve Co. (A), 2.2%, 6/1/30 | 250,000 | 245,092 | ||||||
Viatris, Inc., 2.7%, 6/22/30 | 400,000 | 401,825 | ||||||
Zoetis, Inc., 3%, 9/12/27 | 300,000 | 316,443 | ||||||
2,512,847 | ||||||||
Industrials - 4.0% | ||||||||
Ball Corp., 4.875%, 3/15/26 | 200,000 | 220,300 | ||||||
Block, Inc. (A), 2.75%, 6/1/26 | 300,000 | 300,357 | ||||||
Boeing Co., 3.625%, 2/1/31 | 200,000 | 213,499 | ||||||
Boeing Co., 5.805%, 5/1/50 | 350,000 | 475,477 | ||||||
Carlisle Cos., Inc., 3.5%, 12/1/24 | 200,000 | 210,974 | ||||||
Carrier Global Corp., 3.577%, 4/5/50 | 150,000 | 160,070 |
See accompanying Notes to Financial Statements.
33
Ultra Series Fund | December 31, 2021
Core Bond Fund Portfolio of Investments - continued |
Par Value | Value (Note 2,3) | |||||||
Otis Worldwide Corp., 2.565%, 2/15/30 | $ | 300,000 | $ | 304,610 | ||||
Quanta Services, Inc., 2.9%, 10/1/30 | 250,000 | 254,497 | ||||||
Spirit AeroSystems, Inc. (A), 5.5%, | ||||||||
1/15/25 | 175,000 | 181,344 | ||||||
TD SYNNEX Corp. (A), 1.75%, 8/9/26 | 500,000 | 487,553 | ||||||
TD SYNNEX Corp. (A), 2.65%, 8/9/31 | 200,000 | 192,490 | ||||||
Textron, Inc., 2.45%, 3/15/31 | 250,000 | 245,950 | ||||||
TransDigm, Inc. (A), 6.25%, 3/15/26 | 200,000 | 207,875 | ||||||
Vulcan Materials Co., 3.5%, 6/1/30 | 250,000 | 270,290 | ||||||
WRKCo, Inc., 3.9%, 6/1/28 | 450,000 | 493,048 | ||||||
4,218,334 | ||||||||
Information Technology - 2.5% | ||||||||
Broadcom, Inc., 4.15%, 11/15/30 | 238,000 | 264,221 | ||||||
Broadcom, Inc. (A), 3.187%, 11/15/36 | 12,000 | 11,999 | ||||||
Citrix Systems, Inc., 4.5%, 12/1/27 | 105,000 | 114,055 | ||||||
Dell International LLC / EMC Corp., 8.35%, | ||||||||
7/15/46 | 62,000 | 103,356 | ||||||
Dell International LLC / EMC Corp. (A), | ||||||||
3.45%, 12/15/51 | 100,000 | 96,162 | ||||||
HP, Inc. (A), 2.65%, 6/17/31 | 400,000 | 394,792 | ||||||
Intuit, Inc., 1.65%, 7/15/30 | 250,000 | 241,371 | ||||||
Lam Research Corp., 1.9%, 6/15/30 | 350,000 | 344,570 | ||||||
Marvell Technology, Inc., 4.2%, 6/22/23 | 400,000 | 415,618 | ||||||
Oracle Corp., 3.95%, 3/25/51 | 400,000 | 416,785 | ||||||
VMware, Inc., 2.2%, 8/15/31 | 250,000 | 245,456 | ||||||
2,648,385 | ||||||||
Materials - 1.1% | ||||||||
Arconic Corp. (A), 6%, 5/15/25 | 150,000 | 156,750 | ||||||
DuPont de Nemours, Inc., 4.725%, | ||||||||
11/15/28 | 300,000 | 347,748 | ||||||
International Flavors & Fragrances, Inc. | ||||||||
(A), 1.832%, 10/15/27 | 250,000 | 245,613 | ||||||
LYB International Finance III LLC, 3.625%, | ||||||||
4/1/51 | 400,000 | 425,110 | ||||||
1,175,221 | ||||||||
Utilities - 1.7% | ||||||||
AES Corp., 1.375%, 1/15/26 | 450,000 | 436,929 | ||||||
Berkshire Hathaway Energy Co., 1.65%, | ||||||||
5/15/31 | 200,000 | 189,720 | ||||||
Duke Energy Corp., 3.75%, 9/1/46 | 650,000 | 695,779 | ||||||
Interstate Power & Light Co., 3.5%, | ||||||||
9/30/49 | 225,000 | 242,010 | ||||||
Wisconsin Electric Power Co., 1.7%, | ||||||||
6/15/28 | 250,000 | 245,096 | ||||||
1,809,534 | ||||||||
Total Corporate Notes and Bonds | ||||||||
(Cost $39,379,890) | 41,269,841 |
Par Value | Value (Note 2,3) | |||||||
FOREIGN CORPORATE BONDS - 3.0% | ||||||||
Communication Services - 0.5% | ||||||||
Alibaba Group Holding Ltd, 2.125%, | ||||||||
2/9/31 | $ | 250,000 | $ | 241,634 | ||||
Vodafone Group PLC, 5%, 5/30/38 | 250,000 | 311,492 | ||||||
553,126 | ||||||||
Consumer Discretionary - 0.2% | ||||||||
Carnival Corp. (A), 5.75%, 3/1/27 | 150,000 | 150,000 | ||||||
Financials - 1.3% | ||||||||
AerCap Ireland Capital DAC / AerCap | ||||||||
Global Aviation Trust, 1.75%, 1/30/26 | 300,000 | 294,395 | ||||||
AerCap Ireland Capital DAC / AerCap | ||||||||
Global Aviation Trust, 4.625%, 10/15/27 | 200,000 | 221,420 | ||||||
Avolon Holdings Funding Ltd. (A), | ||||||||
2.125%, 2/21/26 | 300,000 | 294,596 | ||||||
Royal Bank of Canada, 1.15%, 6/10/25 | 375,000 | 371,923 | ||||||
UBS Group AG(5 year CMT + 3.313%) (A) | ||||||||
(C), 4.375%, 2/10/31 | 200,000 | 197,560 | ||||||
1,379,894 | ||||||||
Health Care - 0.8% | ||||||||
Royalty Pharma PLC, 2.2%, 9/2/30 | 250,000 | 242,245 | ||||||
Royalty Pharma PLC, 3.55%, 9/2/50 | 250,000 | 248,777 | ||||||
STERIS Irish FinCo UnLtd Co., 3.75%, | ||||||||
3/15/51 | 350,000 | 384,419 | ||||||
875,441 | ||||||||
Information Technology - 0.2% | ||||||||
NXP BV / NXP Funding LLC / NXP USA, Inc. | ||||||||
(A), 3.15%, 5/1/27 | 200,000 | 210,440 | ||||||
Total Foreign Corporate Bonds | ||||||||
(Cost $3,046,064) | 3,168,901 | |||||||
LONG TERM MUNICIPAL BONDS - 2.0% | ||||||||
Metropolitan Transportation Authority | ||||||||
Revenue, 6.548%, 11/15/31 | 1,000,000 | 1,270,489 | ||||||
Washington County Hillsboro School | ||||||||
District #1J, General Obligation, 4.355%, | ||||||||
6/30/34 | 800,000 | 871,730 | ||||||
Total Long Term Municipal Bonds | ||||||||
(Cost $2,043,245) | 2,142,219 | |||||||
MORTGAGE BACKED SECURITIES - 17.0% | ||||||||
Fannie Mae - 10.6% | ||||||||
3%, 9/1/30 Pool # 890696 | 510,135 | 537,325 | ||||||
3%, 12/1/30 Pool # AL8924 | 208,261 | 218,292 | ||||||
7%, 11/1/31 Pool # 607515 | 14,360 | 15,938 | ||||||
3.5%, 12/1/31 Pool # MA0919 | 53,660 | 57,100 | ||||||
6.5%, 3/1/32 Pool # 631377 | 18,668 | 20,595 | ||||||
7%, 5/1/32 Pool # 644591 | 5,269 | 5,461 | ||||||
6.5%, 6/1/32 Pool # 545691 | 125,448 | 142,155 |
See accompanying Notes to Financial Statements.
34
Ultra Series Fund | December 31, 2021
Core Bond Fund Portfolio of Investments - continued |
Par Value | Value (Note 2,3) | |||||||
3.5%, 8/1/32 Pool # MA3098 | $ | 61,439 | $ | 65,002 | ||||
5.5%, 11/1/33 Pool # 555880 | 163,595 | 183,316 | ||||||
7%, 7/1/34 Pool # 792636 | 32,055 | 33,317 | ||||||
4%, 2/1/35 Pool # MA2177 | 577,549 | 628,001 | ||||||
5%, 8/1/35 Pool # 829670 | 215,928 | 243,926 | ||||||
5%, 9/1/35 Pool # 820347 | 278,587 | 315,488 | ||||||
5%, 9/1/35 Pool # 835699 | 223,994 | 247,298 | ||||||
3.5%, 12/1/35 Pool # MA2473 | 319,069 | 341,336 | ||||||
5%, 12/1/35 Pool # 850561 | 71,263 | 80,615 | ||||||
4%, 6/1/36 Pool # AL8618 | 158,806 | 172,465 | ||||||
5.5%, 10/1/36 Pool # 901723 | 104,277 | 115,220 | ||||||
6.5%, 10/1/36 Pool # 894118 | 231,003 | 260,007 | ||||||
6%, 11/1/36 Pool # 902510 | 252,382 | 292,498 | ||||||
6%, 10/1/37 Pool # 947563 | 241,601 | 280,088 | ||||||
6.5%, 8/1/38 Pool # 987711 | 288,984 | 341,656 | ||||||
3%, 11/1/39 Pool # MA3831 | 67,953 | 70,683 | ||||||
4%, 1/1/41 Pool # AB2080 | 559,251 | 614,300 | ||||||
2.5%, 5/1/41 Pool # MA4334 | 469,615 | 485,092 | ||||||
4.5%, 7/1/41 Pool # AB3274 | 227,482 | 251,567 | ||||||
5.5%, 7/1/41 Pool # AL6588 | 496,425 | 565,683 | ||||||
4%, 9/1/41 Pool # AJ1406 | 285,162 | 312,610 | ||||||
3.5%, 6/1/42 Pool # AO4136 | 557,390 | 599,856 | ||||||
4%, 6/1/42 Pool # MA1087 | 155,958 | 170,786 | ||||||
3.5%, 8/1/42 Pool # AP2133 | 258,343 | 279,072 | ||||||
3.5%, 9/1/42 Pool # AB6228 | 490,138 | 528,580 | ||||||
4%, 10/1/42 Pool # AP7363 | 387,795 | 425,808 | ||||||
3.5%, 3/1/43 Pool # AT0310 | 358,312 | 387,051 | ||||||
4%, 1/1/45 Pool # AS4257 | 79,160 | 86,906 | ||||||
4.5%, 2/1/45 Pool # MA2193 | 272,375 | 296,282 | ||||||
3.5%, 11/1/45 Pool # BA4907 | 170,485 | 182,384 | ||||||
3.5%, 12/1/45 Pool # AS6309 | 122,976 | 131,984 | ||||||
4.5%, 10/1/46 Pool # MA2783 | 34,811 | 37,700 | ||||||
4%, 12/1/46 Pool # BD2379 | 127,859 | 137,783 | ||||||
3%, 1/1/47 Pool # BE0108 | 264,370 | 279,403 | ||||||
2.5%, 12/1/47 Pool # FM3165 | 550,326 | 563,754 | ||||||
4%, 7/1/48 Pool # MA3415 | 154,177 | 163,904 | ||||||
11,168,287 | ||||||||
Freddie Mac - 6.3% | ||||||||
4.5%, 2/1/25 Pool # J11722 | 40,046 | 41,746 | ||||||
4.5%, 5/1/25 Pool # J12247 | 79,743 | 83,682 | ||||||
8%, 6/1/30 Pool # C01005 | 6,738 | 7,799 | ||||||
7%, 3/1/31 Pool # C48129 | 34,449 | 34,838 | ||||||
2.5%, 2/1/32 Pool # ZS8641 | 133,414 | 138,628 | ||||||
5.5%, 11/1/34 Pool # A28282 | 231,238 | 255,798 | ||||||
2.5%, 6/1/35 Pool # RC1421 | 221,166 | 229,018 | ||||||
5.5%, 1/1/37 Pool # G04593 | 104,376 | 119,018 | ||||||
2%, 3/1/41 Pool # RB5105 | 454,426 | 461,408 | ||||||
4%, 10/1/41 Pool # Q04092 | 268,042 | 294,517 | ||||||
3%, 9/1/42 Pool # C04233 | 712,496 | 752,960 | ||||||
3%, 4/1/43 Pool # V80025 | 906,859 | 954,165 |
Par Value | Value (Note 2,3) | |||||||
3%, 4/1/43 Pool # V80026 | $ | 887,693 | $ | 937,727 | ||||
3.5%, 8/1/44 Pool # Q27927 | 249,643 | 268,826 | ||||||
3%, 7/1/45 Pool # G08653 | 306,425 | 322,515 | ||||||
3.5%, 8/1/45 Pool # Q35614 | 415,361 | 445,013 | ||||||
3%, 10/1/46 Pool # G60722 | 474,456 | 500,679 | ||||||
4%, 3/1/47 Pool # Q46801 | 142,116 | 152,347 | ||||||
3.5%, 12/1/47 Pool # Q52955 | 175,150 | 186,001 | ||||||
2.5%, 4/1/48 Pool # QA2240 | 445,986 | 457,448 | ||||||
6,644,133 | ||||||||
Ginnie Mae - 0.1% | ||||||||
6.5%, 2/20/29 Pool # 2714 | 23,101 | 25,773 | ||||||
6.5%, 4/20/31 Pool # 3068 | 16,817 | 19,144 | ||||||
44,917 | ||||||||
Total Mortgage Backed Securities | ||||||||
(Cost $17,104,568) | 17,857,337 | |||||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 25.7% | ||||||||
U.S. Treasury Bonds - 9.4% | ||||||||
6.625%, 2/15/27 | 2,000,000 | 2,530,625 | ||||||
4.500%, 5/15/38 | 2,000,000 | 2,803,047 | ||||||
3.750%, 8/15/41 | 750,000 | 982,412 | ||||||
3.000%, 5/15/45 | 750,000 | 900,293 | ||||||
2.500%, 5/15/46 | 500,000 | 554,727 | ||||||
3.375%, 11/15/48 | 500,000 | 656,777 | ||||||
1.250%, 5/15/50 | 1,000,000 | 853,281 | ||||||
1.875%, 2/15/51 | 650,000 | 646,039 | ||||||
9,927,201 | ||||||||
U.S. Treasury Notes - 16.3% | ||||||||
1.375%, 9/30/23 | 2,500,000 | 2,530,469 | ||||||
2.250%, 11/15/25 | 2,000,000 | 2,083,984 | ||||||
0.375%, 1/31/26 | 1,500,000 | 1,451,836 | ||||||
1.500%, 8/15/26 | 3,500,000 | 3,541,699 | ||||||
2.375%, 5/15/27 | 2,000,000 | 2,112,266 | ||||||
2.875%, 5/15/28 | 3,000,000 | 3,271,055 | ||||||
0.625%, 8/15/30 | 2,250,000 | 2,100,586 | ||||||
17,091,895 | ||||||||
Total U.S. Government and Agency | ||||||||
Obligations (Cost $25,333,185) | 27,019,096 | |||||||
Shares | Value (Note 2,3) | |||||||
SHORT-TERM INVESTMENTS - 1.9% | ||||||||
State Street Institutional U.S. Government | ||||||||
Money Market Fund, 0.03%, Premier | ||||||||
Class (F) | 1,504,909 | 1,504,909 | ||||||
State Street Navigator Securities Lending | ||||||||
Government Money Market Portfolio, | ||||||||
0.03%(F)(G) | 476,055 | 476,055 |
See accompanying Notes to Financial Statements.
35
Ultra Series Fund | December 31, 2021
Core Bond Fund Portfolio of Investments - continued |
Par Value | Value (Note 2,3) | |||||||
Total Short-Term Investments | ||||||||
(Cost $1,980,964) | $ | 1,980,964 | ||||||
TOTAL INVESTMENTS - 99.5% | ||||||||
(Cost $100,247,389**) | 104,617,022 | |||||||
NET OTHER ASSETS AND LIABILITIES - 0.5% | 519,717 | |||||||
TOTAL NET ASSETS - 100.0% | $ | 105,136,739 |
** | Aggregate cost for Federal tax purposes was $100,248,509. |
(A) | Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “qualified institutional buyers.” |
(B) | Stepped rate security. Rate shown is as of December 31, 2021. |
(C) | Floating rate or variable rate note. Rate shown is as of December 31, 2021. |
(D) | Coupon rate may change based on changes of the underlying collateral or prepayments of principal. The coupon rate shown represents the rate at period end. |
(E) | All or a portion of these securities, with an aggregate fair value of $470,702, are on loan as part of a securities lending program. See footnote (G) and Note 10 for details on the securities lending program. |
(F) | 7-day yield. |
(G) | Represents investments of cash collateral received in connection with securities lending. |
CMT | Constant Maturity Treasury. |
DAC | Designated Activity Company. |
FHLMC | Federal Home Loan Mortgage Corp or Freddie Mac. |
FREMF | Freddie Mac Multifamily. |
IO | Interest Only. |
LIBOR | London Interbank Offered Rate. |
LLC | Limited Liability Company. |
MTN | Medium Term Note. |
PLC | Public Limited Company. |
REMIC | Real Estate Mortgage Investment Conduit. |
SOFR | Secured Overnight Financing Rate. |
STACR | Structured Agency Credit Risk. |
USD | United States Dollar. |
See accompanying Notes to Financial Statements.
36
Ultra Series Fund | December 31, 2021
High Income Fund Portfolio of Investments |
Par Value | Value (Note 2,3) | |||||||
CORPORATE NOTES AND BONDS - 84.4% | ||||||||
Communication Services - 15.2% | ||||||||
Advantage Sales & Marketing, Inc. | ||||||||
(A), 6.5%, 11/15/28 | $ | 150,000 | $ | 157,125 | ||||
Cars.com, Inc. (A), 6.375%, 11/1/28 | 150,000 | 159,750 | ||||||
CCO Holdings LLC / CCO Holdings | ||||||||
Capital Corp. (A), 4.75%, 3/1/30 | 145,000 | 150,800 | ||||||
Diamond Sports Group LLC / Diamond | ||||||||
Sports Finance Co. (A), 5.375%, | ||||||||
8/15/26 | 125,000 | 62,500 | ||||||
Frontier Communications Holdings | ||||||||
LLC (A), 5%, 5/1/28 | 225,000 | 231,750 | ||||||
GrubHub Holdings, Inc. (A), 5.5%, | ||||||||
7/1/27 | 200,000 | 198,600 | ||||||
Hughes Satellite Systems Corp., | ||||||||
5.25%, 8/1/26 | 225,000 | 246,094 | ||||||
Lamar Media Corp., 4.875%, 1/15/29 | 180,000 | 187,875 | ||||||
Level 3 Financing, Inc. (A), 4.25%, | ||||||||
7/1/28 | 165,000 | 163,350 | ||||||
Millennium Escrow Corp. (A), 6.625%, | ||||||||
8/1/26 | 225,000 | 225,562 | ||||||
Netflix, Inc., 6.375%, 5/15/29 | 100,000 | 124,250 | ||||||
Outfront Media Capital LLC / Outfront | ||||||||
Media Capital Corp. (A), 4.25%, | ||||||||
1/15/29 | 125,000 | 125,228 | ||||||
Sprint Corp., 7.125%, 6/15/24 | 275,000 | 308,730 | ||||||
Viasat, Inc. (A), 6.5%, 7/15/28 | 150,000 | 150,375 | ||||||
2,491,989 | ||||||||
Consumer Discretionary - 12.2% | ||||||||
American Airlines, Inc. / AAdvantage | ||||||||
Loyalty IP Ltd. (A), 5.5%, 4/20/26 | 300,000 | 311,962 | ||||||
Delta Air Lines, Inc. (B), 7.375%, | ||||||||
1/15/26 | 125,000 | 147,145 | ||||||
Genting New York LLC / GENNY | ||||||||
Capital, Inc. (A) (B), 3.3%, 2/15/26 | 200,000 | 198,085 | ||||||
Murphy Oil USA, Inc., 5.625%, 5/1/27 | 400,000 | 416,000 | ||||||
Picasso Finance Sub, Inc. (A), 6.125%, | ||||||||
6/15/25 | 175,000 | 182,875 | ||||||
QVC, Inc., 4.375%, 9/1/28 | 125,000 | 124,063 | ||||||
Scientific Games International, Inc. | ||||||||
(A), 5%, 10/15/25 | 275,000 | 283,113 | ||||||
United Airlines, Inc. (A), 4.375%, | ||||||||
4/15/26 | 125,000 | 130,342 | ||||||
Vail Resorts, Inc. (A), 6.25%, 5/15/25 | 200,000 | 208,000 | ||||||
2,001,585 | ||||||||
Consumer Staples - 6.0% | ||||||||
B&G Foods, Inc., 5.25%, 9/15/27 | 215,000 | 222,256 | ||||||
Edgewell Personal Care Co. (A), 5.5%, | ||||||||
6/1/28 | 125,000 | 132,634 |
Par Value | Value (Note 2,3) | |||||||
Lamb Weston Holdings, Inc. (A) (B), | ||||||||
4.875%, 5/15/28 | $ | 125,000 | $ | 135,313 | ||||
Lamb Weston Holdings, Inc. (A), | ||||||||
4.125%, 1/31/30 | 100,000 | 102,619 | ||||||
Performance Food Group, Inc. (A), | ||||||||
5.5%, 10/15/27 | 210,000 | 219,187 | ||||||
U.S. Foods, Inc. (A), 6.25%, 4/15/25 | 175,000 | 182,219 | ||||||
994,228 | ||||||||
Energy - 3.2% | ||||||||
Berry Petroleum Co. LLC (A) (B), 7%, | ||||||||
2/15/26 | 125,000 | 123,750 | ||||||
Buckeye Partners LP (A), 4.125%, | ||||||||
3/1/25 | 150,000 | 154,875 | ||||||
Sunoco LP / Sunoco Finance Corp., | ||||||||
6%, 4/15/27 | 125,000 | 130,362 | ||||||
Sunoco LP / Sunoco Finance Corp. (A), | ||||||||
4.5%, 4/30/30 | 110,000 | 112,741 | ||||||
521,728 | ||||||||
Financials - 22.2% | ||||||||
Alliance Data Systems Corp. (A), | ||||||||
4.75%, 12/15/24 | 500,000 | 510,165 | ||||||
Credit Acceptance Corp. (A), 5.125%, | ||||||||
12/31/24 | 200,000 | 205,000 | ||||||
Diversified Healthcare Trust, 9.75%, | ||||||||
6/15/25 | 150,000 | 162,292 | ||||||
Enact Holdings, Inc. (A), 6.5%, | ||||||||
8/15/25 | 250,000 | 273,125 | ||||||
Home Point Capital, Inc. (A), 5%, | ||||||||
2/1/26 | 130,000 | 120,575 | ||||||
Iron Mountain, Inc. (A), 4.875%, | ||||||||
9/15/27 | 250,000 | 259,245 | ||||||
Iron Mountain, Inc. (A), 5.25%, | ||||||||
7/15/30 | 135,000 | 142,266 | ||||||
Jefferies Finance LLC / JFIN Co-Issuer | ||||||||
Corp. (A), 5%, 8/15/28 | 200,000 | 205,000 | ||||||
MGIC Investment Corp., 5.25%, | ||||||||
8/15/28 | 200,000 | 210,000 | ||||||
MPT Operating Partnership LP / MPT | ||||||||
Finance Corp., 5%, 10/15/27 | 400,000 | 418,500 | ||||||
MPT Operating Partnership LP / MPT | ||||||||
Finance Corp., 3.5%, 3/15/31 | 150,000 | 151,687 | ||||||
NFP Corp. (A), 6.875%, 8/15/28 | 125,000 | 125,313 | ||||||
OneMain Finance Corp., 3.875%, | ||||||||
9/15/28 | 175,000 | 171,500 | ||||||
RHP Hotel Properties LP / RHP | ||||||||
Finance Corp. (A), 4.5%, 2/15/29 | 115,000 | 115,000 | ||||||
RLJ Lodging Trust LP (A), 3.75%, | ||||||||
7/1/26 | 150,000 | 150,825 |
See accompanying Notes to Financial Statements.
37
Ultra Series Fund | December 31, 2021
High Income Fund Portfolio of Investments - continued |
Par Value | Value (Note 2,3) | |||||||
Rocket Mortgage LLC / Rocket | ||||||||
Mortgage Co-Issuer, Inc. (A), 3.875%, | ||||||||
3/1/31 | $ | 200,000 | $ | 203,000 | ||||
SBA Communications Corp., 3.875%, | ||||||||
2/15/27 | 225,000 | 231,750 | ||||||
3,655,243 | ||||||||
Health Care - 3.5% | ||||||||
AdaptHealth LLC (A), 4.625%, 8/1/29 | 50,000 | 50,000 | ||||||
HCA, Inc., 5.875%, 2/15/26 | 250,000 | 282,192 | ||||||
Legacy LifePoint Health LLC (A), | ||||||||
6.75%, 4/15/25 | 150,000 | 156,375 | ||||||
Mozart Debt Merger Sub, Inc. (A), | ||||||||
3.875%, 4/1/29 | 90,000 | 89,682 | ||||||
578,249 | ||||||||
Industrials - 16.1% | ||||||||
ADT Security Corp., 4.125%, 6/15/23 | 225,000 | 233,695 | ||||||
Brink’s Co. (A), 5.5%, 7/15/25 | 125,000 | 130,000 | ||||||
Energizer Holdings, Inc. (A), 4.75%, | ||||||||
6/15/28 | 190,000 | 194,038 | ||||||
EnerSys (A), 4.375%, 12/15/27 | 125,000 | 129,688 | ||||||
Madison IAQ LLC (A), 4.125%, | ||||||||
6/30/28 | 190,000 | 190,475 | ||||||
Roller Bearing Co. of America, Inc. (A), | ||||||||
4.375%, 10/15/29 | 90,000 | 91,800 | ||||||
RR Donnelley & Sons Co. (A) (B), | ||||||||
6.125%, 11/1/26 | 300,000 | 328,500 | ||||||
Sealed Air Corp. (A), 5.125%, 12/1/24 | 300,000 | 321,000 | ||||||
Spirit AeroSystems, Inc. (A), 5.5%, | ||||||||
1/15/25 | 250,000 | 259,062 | ||||||
Spirit AeroSystems, Inc. (A), 7.5%, | ||||||||
4/15/25 | 250,000 | 262,187 | ||||||
TransDigm, Inc. (A), 6.25%, 3/15/26 | 275,000 | 285,828 | ||||||
Waste Pro USA, Inc. (A), 5.5%, | ||||||||
2/15/26 | 225,000 | 223,875 | ||||||
2,650,148 | ||||||||
Information Technology - 2.0% | ||||||||
Pitney Bowes, Inc. (A), 6.875%, | ||||||||
3/15/27 | 210,000 | 215,250 | ||||||
Playtika Holding Corp. (A), 4.25%, | ||||||||
3/15/29 | 110,000 | 107,800 | ||||||
323,050 | ||||||||
Materials - 2.5% | ||||||||
Arconic Corp. (A), 6.125%, 2/15/28 | 165,000 | 175,593 | ||||||
Kraton Polymers LLC / Kraton | ||||||||
Polymers Capital Corp. (A), 4.25%, | ||||||||
12/15/25 | 225,000 | 232,900 | ||||||
408,493 |
Par Value | Value (Note 2,3) | |||||||
Utilities - 1.5% | ||||||||
AmeriGas Partners LP / AmeriGas | ||||||||
Finance Corp., 5.875%, 8/20/26 | $ | 100,000 | $ | 111,851 | ||||
Calpine Corp. (A), 3.75%, 3/1/31 | 135,000 | 130,950 | ||||||
242,801 | ||||||||
Total Corporate Notes and Bonds | ||||||||
(Cost $13,582,109) | 13,867,514 | |||||||
FOREIGN CORPORATE BONDS - 9.1% | ||||||||
Communication Service - 0.8% | ||||||||
Telesat Canada / Telesat LLC (A), | ||||||||
6.5%, 10/15/27 | 175,000 | 135,800 | ||||||
Consumer Discretionary - 5.8% | ||||||||
Carnival Corp. (A), 5.75%, 3/1/27 | 200,000 | 200,000 | ||||||
Hawaiian Brand Intellectual Property | ||||||||
Ltd. / HawaiianMiles Loyalty Ltd. (A), | ||||||||
5.75%, 1/20/26 | 175,000 | 183,094 | ||||||
International Game Technology PLC | ||||||||
(A), 4.125%, 4/15/26 | 250,000 | 257,518 | ||||||
NCL Corp. Ltd. (A), 12.25%, 5/15/24 | 81,000 | 95,985 | ||||||
Royal Caribbean Cruises Ltd. (A), | ||||||||
9.125%, 6/15/23 | 200,000 | 211,500 | ||||||
948,097 | ||||||||
Health Care - 2.5% | ||||||||
Mallinckrodt International Finance | ||||||||
SA / Mallinckrodt CB LLC (A) (C), 10%, | ||||||||
4/15/25 | 425,000 | 410,125 | ||||||
Total Foreign Corporate Bonds | ||||||||
(Cost $1,556,674) | 1,494,022 | |||||||
Shares | Value (Note 2,3) | |||||||
EXCHANGE TRADED FUNDS - 3.1% | ||||||||
Bond Funds - 3.1% | ||||||||
iShares iBoxx High Yield Corporate | ||||||||
Bond ETF | 5,900 | 513,359 | ||||||
Total Exchange Traded Funds | ||||||||
(Cost $508,730) | 513,359 | |||||||
SHORT-TERM INVESTMENTS - 7.2% | ||||||||
State Street Institutional U.S. | ||||||||
Government Money Market Fund, | ||||||||
0.03%, Premier Class (D) | 377,497 | 377,497 | ||||||
State Street Navigator Securities | ||||||||
Lending Government Money Market | ||||||||
Portfolio, 0.03% (D) (E) | 808,955 | 808,955 | ||||||
Total Short-Term Investments | ||||||||
(Cost $1,186,452) | 1,186,452 |
See accompanying Notes to Financial Statements.
38
Ultra Series Fund | December 31, 2021
High Income Fund Portfolio of Investments - continued |
Par Value | Value (Note 2,3) | |||||||
TOTAL INVESTMENTS - 103.8% | ||||||||
(Cost $16,833,965**) | $ | 17,061,347 | ||||||
NET OTHER ASSETS AND LIABILITIES - (3.8%) | (626,046 | ) | ||||||
TOTAL NET ASSETS - 100.0% | $ | 16,435,301 |
** | Aggregate cost for Federal tax purposes was $16,825,059. |
(A) | Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “qualified institutional buyers.” |
(B) | All or a portion of these securities, with an aggregate fair value of $793,151, are on loan as part of a securities lending program. See footnote (E) and Note 10 for details on the securities lending program. |
(C) | In default. Issuer is bankrupt. |
(D) | 7-day yield. |
(E) | Represents investments of cash collateral received in connection with securities lending. |
ETF | Exchange Traded Fund. |
PLC | Public Limited Company. |
See accompanying Notes to Financial Statements.
39
Ultra Series Fund | December 31, 2021
Diversified Income Fund Portfolio of Investments |
Shares | Value (Note 2,3) | |||||||
COMMON STOCKS - 69.5% | ||||||||
�� | ||||||||
Communication Services - 4.1% | ||||||||
Comcast Corp., Class A | 104,500 | $ | 5,259,485 | |||||
Verizon Communications, Inc. | 83,000 | 4,312,680 | ||||||
9,572,165 | ||||||||
Consumer Discretionary - 6.0% | ||||||||
Home Depot, Inc. | 12,773 | 5,300,922 | ||||||
McDonald’s Corp. | 21,325 | 5,716,593 | ||||||
Starbucks Corp. | 24,800 | 2,900,856 | ||||||
13,918,371 | ||||||||
Consumer Staples - 7.6% | ||||||||
Archer-Daniels-Midland Co. | 36,450 | 2,463,656 | ||||||
Coca-Cola Co. | 42,600 | 2,522,346 | ||||||
Colgate-Palmolive Co. | 27,000 | 2,304,180 | ||||||
Hershey Co. | 10,000 | 1,934,700 | ||||||
PepsiCo, Inc. | 26,450 | 4,594,629 | ||||||
Procter & Gamble Co. | 22,300 | 3,647,834 | ||||||
17,467,345 | ||||||||
Energy - 2.9% | ||||||||
Baker Hughes Co. | 146,000 | 3,512,760 | ||||||
EOG Resources, Inc. | 35,800 | 3,180,114 | ||||||
6,692,874 | ||||||||
Financials - 13.2% | ||||||||
Aflac, Inc. | 54,250 | 3,167,658 | ||||||
BlackRock, Inc. | 6,000 | 5,493,360 | ||||||
CME Group, Inc. | 22,000 | 5,026,120 | ||||||
JPMorgan Chase & Co. | 28,100 | 4,449,635 | ||||||
Northern Trust Corp. | 41,900 | 5,011,659 | ||||||
Travelers Cos., Inc. | 31,800 | 4,974,474 | ||||||
U.S. Bancorp | 42,000 | 2,359,140 | ||||||
30,482,046 | ||||||||
Health Care - 12.6% | ||||||||
AmerisourceBergen Corp. | 19,700 | 2,617,933 | ||||||
Bristol-Myers Squibb Co. | 88,700 | 5,530,445 | ||||||
CVS Health Corp. | 61,700 | 6,364,972 | ||||||
Johnson & Johnson | 32,000 | 5,474,240 | ||||||
Medtronic PLC | 26,400 | 2,731,080 | ||||||
Pfizer, Inc. | 106,700 | 6,300,635 | ||||||
29,019,305 | ||||||||
Industrials - 7.2% | ||||||||
3M Co. | 17,600 | 3,126,288 | ||||||
Emerson Electric Co. | 28,244 | 2,625,845 | ||||||
Fastenal Co. | 59,000 | 3,779,540 | ||||||
Honeywell International, Inc. | 7,300 | 1,522,123 | ||||||
PACCAR, Inc. | 28,500 | 2,515,410 |
Shares | Value (Note 2,3) | |||||||
Union Pacific Corp. | 12,050 | $ | 3,035,756 | |||||
16,604,962 | ||||||||
Information Technology - 9.2% | ||||||||
Automatic Data Processing, Inc. | 9,200 | 2,268,536 | ||||||
Cisco Systems, Inc. | 97,300 | 6,165,901 | ||||||
Oracle Corp. | 28,500 | 2,485,485 | ||||||
Paychex, Inc. | 28,050 | 3,828,825 | ||||||
Texas Instruments, Inc. | 24,450 | 4,608,092 | ||||||
21,202,424 | ||||||||
Materials - 3.5% | ||||||||
Linde PLC | 8,575 | 2,970,637 | ||||||
Nucor Corp. | 44,400 | 5,068,260 | ||||||
8,038,897 | ||||||||
Real Estate - 1.5% | ||||||||
American Tower Corp., REIT | 11,750 | 3,436,875 | ||||||
Utilities - 1.7% | ||||||||
Dominion Energy, Inc. | 48,600 | 3,818,016 | ||||||
Total Common Stocks | ||||||||
(Cost $97,089,122) | 160,253,280 | |||||||
Par Value | ||||||||
ASSET BACKED SECURITIES - 1.1% | ||||||||
Carmax Auto Owner Trust, Series | ||||||||
2018-3, Class A3, 3.13%, 6/15/23 | $ | 18,978 | 19,032 | |||||
CCG Receivables Trust, Series 2020-1, | ||||||||
Class A2 (A), 0.54%, 12/14/27 | 64,431 | 64,344 | ||||||
Chesapeake Funding II LLC, Series | ||||||||
2018-3A, Class B (A), 3.62%, 1/15/31 | 100,000 | 101,018 | ||||||
CNH Equipment Trust, Series 2019-A, | ||||||||
Class A4, 3.22%, 1/15/26 | 130,000 | 133,048 | ||||||
Dell Equipment Finance Trust, | ||||||||
Series 2019-2, Class A3 (A), 1.91%, | ||||||||
10/22/24 | 170,454 | 171,183 | ||||||
Donlen Fleet Lease Funding LLC, | ||||||||
Series 2021-2, Class A2 (A), 0.56%, | ||||||||
12/11/34 | 200,000 | 198,835 | ||||||
Enterprise Fleet Financing LLC, Series | ||||||||
2019-3, Class A2 (A), 2.06%, 5/20/25 | 203,354 | 204,898 | ||||||
JPMorgan Chase Bank NA, Series | ||||||||
2020-2, Class B (A), 0.84%, 2/25/28 | 143,492 | 143,225 | ||||||
JPMorgan Chase Bank NA, Series | ||||||||
2021-1, Class B (A), 0.875%, 9/25/28 | 184,296 | 183,664 | ||||||
JPMorgan Chase Bank NA, Series | ||||||||
2021-2, Class B (A), 0.889%, | ||||||||
12/26/28 | 214,997 | 213,898 | ||||||
JPMorgan Chase Bank NA, Series | ||||||||
2021-3, Class C (A), 0.86%, 2/26/29 | 244,384 | 242,860 |
See accompanying Notes to Financial Statements.
40
Ultra Series Fund | December 31, 2021
Diversified Income Fund Portfolio of Investments - continued |
Shares | Value (Note 2,3) | |||||||
LAD Auto Receivables Trust, Series | ||||||||
2021-1A, Class A (A), 1.3%, 8/17/26 | 227,163 | $ | 226,717 | |||||
Santander Consumer Auto | ||||||||
Receivables Trust, Series 2020-BA, | ||||||||
Class A3 (A), 0.46%, 8/15/24 | 188,456 | 188,445 | ||||||
Santander Revolving Auto Loan | ||||||||
Trust, Series 2019-A, Class C (A), 3%, | ||||||||
1/26/32 | 200,000 | 206,642 | ||||||
Verizon Owner Trust, Series 2018-A, | ||||||||
Class A1A, 3.23%, 4/20/23 | 1,328 | 1,331 | ||||||
Verizon Owner Trust, Series 2020-A, | ||||||||
Class B, 1.98%, 7/22/24 | 150,000 | 151,872 | ||||||
Wheels SPV LLC, Series 2019-1A, | ||||||||
Class A2 (A), 2.3%, 5/22/28 | 22,736 | 22,811 | ||||||
Total Asset Backed Securities | ||||||||
(Cost $2,474,814) | 2,473,823 | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.6% | ||||||||
CIM Trust, Series 2021-J2, Class A4 (A) | ||||||||
(B) (C), 2.5%, 4/25/51 | 158,553 | 159,851 | ||||||
Fannie Mae REMICS, Series 2011-31, | ||||||||
Class DB, 3.5%, 4/25/31 | 158,193 | 167,805 | ||||||
Fannie Mae REMICS, Series 2011-36, | ||||||||
Class QB, 4%, 5/25/31 | 240,990 | 259,548 | ||||||
Fannie Mae REMICS, Series 2005-79, | ||||||||
Class LT, 5.5%, 9/25/35 | 222,551 | 254,132 | ||||||
Fannie Mae REMICS, Series 2020-44, | ||||||||
Class TI, IO, 5.5%, 12/25/35 | 1,088,914 | 193,965 | ||||||
Fannie Mae REMICS, Series 2016-21, | ||||||||
Class BA, 3%, 3/25/42 | 65,218 | 65,874 | ||||||
Flagstar Mortgage Trust, Series | ||||||||
2021-9INV, Class A1 (A) (B) (C), 2.5%, | ||||||||
9/25/41 | 191,260 | 195,332 | ||||||
Freddie Mac REMICS, Series 4037, | ||||||||
Class B, 3%, 4/15/27 | 330,471 | 341,782 | ||||||
Freddie Mac STACR REMIC Trust, | ||||||||
Series 2021-DNA3, Class M1, | ||||||||
(SOFR30A + 0.750%) (A) (B), 0.8%, | ||||||||
10/25/33 | 254,129 | 254,052 | ||||||
Freddie Mac STACR REMIC Trust, | ||||||||
Series 2021-DNA5, Class M1, | ||||||||
(SOFR30A + 0.650%) (A) (B), 0.7%, | ||||||||
1/25/34 | 49,986 | 49,970 | ||||||
GS Mortgage-Backed Securities Corp. | ||||||||
Trust, Series 2020-PJ6, Class A2 (A) | ||||||||
(B) (C), 2.5%, 5/25/51 | 197,333 | 197,731 | ||||||
JPMorgan Mortgage Trust, Series | ||||||||
2019-7, Class A3 (A) (B) (C), 3.5%, | ||||||||
2/25/50 | 58,954 | 59,509 |
Shares | Value (Note 2,3) | |||||||
JPMorgan Mortgage Trust, Series | ||||||||
2021-1, Class A3 (A) (B) (C), 2.5%, | ||||||||
6/25/51 | 330,802 | $ | 330,875 | |||||
JPMorgan Mortgage Trust, Series | ||||||||
2021-3, Class A3 (A) (B) (C), 2.5%, | ||||||||
7/1/51 | 120,165 | 120,215 | ||||||
JPMorgan Mortgage Trust, Series | ||||||||
2021-6, Class A4 (A) (B) (C), 2.5%, | ||||||||
10/25/51 | 220,990 | 222,932 | ||||||
JPMorgan Wealth Management, | ||||||||
Series 2020-ATR1, Class A3 (A) (B) (C), | ||||||||
3%, 2/25/50 | 53,587 | 54,379 | ||||||
PSMC Trust, Series 2019-2, Class A1 | ||||||||
(A) (B) (C), 3.5%, 10/25/49 | 10,457 | 10,489 | ||||||
PSMC Trust, Series 2021-1, Class A11 | ||||||||
(A) (B) (C), 2.5%, 3/25/51 | 126,094 | 127,278 | ||||||
RCKT Mortgage Trust, Series 2021-6, | ||||||||
Class A5 (A) (B) (C), 2.5%, 12/25/51 | 325,000 | 327,006 | ||||||
Sequoia Mortgage Trust, Series 2013- | ||||||||
7, Class A2 (B) (C), 3%, 6/25/43 | 171,893 | 171,830 | ||||||
Towd Point HE Trust, Series 2021-HE1, | ||||||||
Class A1 (A) (B) (C), 0.918%, 2/25/63 | 143,587 | 142,915 | ||||||
Total Collateralized Mortgage Obligations | ||||||||
(Cost $3,675,738) | 3,707,470 | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.3% | ||||||||
FHLMC Multifamily Structured Pass | ||||||||
Through Certificates, Series KJ17, | ||||||||
Class A2, 2.982%, 11/25/25 | 154,779 | 161,798 | ||||||
FHLMC Multifamily Structured Pass | ||||||||
Through Certificates, Series K066, | ||||||||
Class A2, 3.117%, 6/25/27 | 300,000 | 323,710 | ||||||
FREMF Mortgage Trust, Series 2015- | ||||||||
K721, Class B (A) (B) (C), 3.559%, | ||||||||
11/25/47 | 400,000 | 406,165 | ||||||
GSAMP Trust, Series 2006-S5, | ||||||||
Class M5 (C), 7.488% 9/25/36 | 2,190,000 | – | ||||||
Total Commercial Mortgage-Backed | ||||||||
Securities (Cost $859,065) | 891,673 | |||||||
CORPORATE NOTES AND BONDS - 10.7% | ||||||||
Communication Services - 1.4% | ||||||||
Amazon.com, Inc., 1.65%, 5/12/28 | 400,000 | 400,893 | ||||||
AT&T, Inc., 2.25%, 2/1/32 | 200,000 | 193,502 | ||||||
AT&T, Inc., 4.75%, 5/15/46 | 500,000 | 605,699 | ||||||
Charter Communications Operating | ||||||||
LLC / Charter Communications | ||||||||
Operating Capital Corp., 4.464%, | ||||||||
7/23/22 | 300,000 | 304,428 | ||||||
Comcast Corp., 4.15%, 10/15/28 | 275,000 | 312,438 |
See accompanying Notes to Financial Statements.
41
Ultra Series Fund | December 31, 2021
Diversified Income Fund Portfolio of Investments - continued |
Shares | Value (Note 2,3) | |||||||
Discovery Communications LLC, 5%, | ||||||||
9/20/37 | 300,000 | $ | 358,735 | |||||
eBay, Inc., 1.9%, 3/11/25 | 50,000 | 50,581 | ||||||
eBay, Inc., 2.6%, 5/10/31 | 250,000 | 252,724 | ||||||
Expedia Group, Inc., 3.25%, 2/15/30 | 250,000 | 255,368 | ||||||
T-Mobile USA, Inc., 2.625%, 4/15/26 | 100,000 | 100,500 | ||||||
Verizon Communications, Inc., | ||||||||
4.329%, 9/21/28 | 309,000 | 351,295 | ||||||
3,186,163 | ||||||||
Consumer Discretionary - 0.7% | ||||||||
7-Eleven, Inc. (A), 1.8%, 2/10/31 | 125,000 | 118,427 | ||||||
Hilton Domestic Operating Co., Inc. | ||||||||
(A), 5.375%, 5/1/25 | 100,000 | 104,060 | ||||||
Lowe’s Cos., Inc., 3%, 10/15/50 | 300,000 | 297,022 | ||||||
McDonald’s Corp., 2.125%, 3/1/30 | 100,000 | 99,641 | ||||||
Picasso Finance Sub, Inc. (A), 6.125%, | ||||||||
6/15/25 | 90,000 | 94,050 | ||||||
Southwest Airlines Co., 5.25%, | ||||||||
5/4/25 | 75,000 | 83,334 | ||||||
Southwest Airlines Co., 5.125%, | ||||||||
6/15/27 | 300,000 | 343,179 | ||||||
Tractor Supply Co., 1.75%, 11/1/30 | 125,000 | 117,165 | ||||||
Vail Resorts, Inc. (A), 6.25%, 5/15/25 | 100,000 | 104,000 | ||||||
Walgreens Boots Alliance, Inc. (D), | ||||||||
3.45%, 6/1/26 | 123,000 | 130,939 | ||||||
1,491,817 | ||||||||
Consumer Staples - 0.4% | ||||||||
Conagra Brands, Inc., 0.5%, 8/11/23 | 250,000 | 247,872 | ||||||
Hormel Foods Corp., 1.8%, 6/11/30 | 75,000 | 73,617 | ||||||
Keurig Dr Pepper, Inc., 3.8%, 5/1/50 | 100,000 | 110,806 | ||||||
Mars, Inc. (A), 3.875%, 4/1/39 | 150,000 | 173,823 | ||||||
Mars, Inc. (A), 2.375%, 7/16/40 | 250,000 | 238,703 | ||||||
Performance Food Group, Inc. (A), | ||||||||
5.5%, 10/15/27 | 50,000 | 52,188 | ||||||
Sysco Corp., 5.95%, 4/1/30 | 83,000 | 103,694 | ||||||
1,000,703 | ||||||||
Energy - 1.9% | ||||||||
Energy Transfer LP, 5.25%, 4/15/29 | 100,000 | 114,634 | ||||||
Enterprise Products Operating LLC, | ||||||||
3.75%, 2/15/25 | 250,000 | 265,738 | ||||||
Exxon Mobil Corp., 4.114%, 3/1/46 | 500,000 | 586,303 | ||||||
Kinder Morgan, Inc., 5.55%, 6/1/45 | 250,000 | 316,995 | ||||||
Marathon Petroleum Corp., 4.7%, | ||||||||
5/1/25 | 125,000 | 136,420 | ||||||
MPLX LP, 4.8%, 2/15/29 | 150,000 | 171,424 | ||||||
MPLX LP, 2.65%, 8/15/30 | 100,000 | 99,648 |
Shares | Value (Note 2,3) | |||||||
Occidental Petroleum Corp., 3.5%, | ||||||||
8/15/29 | 200,000 | $ | 205,190 | |||||
Phillips 66, 2.15%, 12/15/30 | 250,000 | 240,860 | ||||||
Phillips 66, 4.65%, 11/15/34 | 500,000 | 586,624 | ||||||
Pioneer Natural Resources Co., | ||||||||
2.15%, 1/15/31 | 125,000 | 120,246 | ||||||
Sabine Pass Liquefaction LLC, 4.5%, | ||||||||
5/15/30 | 100,000 | 112,907 | ||||||
Schlumberger Holdings Corp. (A), 4%, | ||||||||
12/21/25 | 26,000 | 28,017 | ||||||
Schlumberger Holdings Corp. (A), | ||||||||
3.9%, 5/17/28 | 390,000 | 421,599 | ||||||
Valero Energy Corp., 6.625%, 6/15/37 | 500,000 | 674,987 | ||||||
Valero Energy Partners LP, 4.5%, | ||||||||
3/15/28 | 350,000 | 386,189 | ||||||
4,467,781 | ||||||||
Financials - 3.1% | ||||||||
Air Lease Corp., 1.875%, 8/15/26 | 150,000 | 147,602 | ||||||
Bank of America Corp., (SOFR + | ||||||||
0.910%) (B), 1.658%, 3/11/27 | 200,000 | 198,701 | ||||||
Bank of America Corp., (SOFR + | ||||||||
1.060%) (B), 2.087%, 6/14/29 | 200,000 | 198,764 | ||||||
Bank of New York Mellon Corp., Series | ||||||||
I, (5 year CMT + 2.630%) (B), 3.75%, | ||||||||
12/20/26 | 375,000 | 376,339 | ||||||
Belrose Funding Trust (A), 2.33%, | ||||||||
8/15/30 | 100,000 | 98,152 | ||||||
BlackRock, Inc., 2.1%, 2/25/32 | 100,000 | 99,325 | ||||||
Brixmor Operating Partnership LP, | ||||||||
3.65%, 6/15/24 | 100,000 | 104,788 | ||||||
Capital One Financial Corp., (5 year | ||||||||
CMT + 3.157%) (B), 3.95%, 9/1/26 | 250,000 | 251,250 | ||||||
Cboe Global Markets, Inc., 3.65%, | ||||||||
1/12/27 | 300,000 | 326,387 | ||||||
Charles Schwab Corp., (10 year CMT | ||||||||
+ 3.079%) (B), 4%, 12/1/30 | 175,000 | 176,750 | ||||||
Empower Finance LP (A), 3.075%, | ||||||||
9/17/51 | 75,000 | 76,126 | ||||||
Fifth Third Bancorp, 2.55%, 5/5/27 | 125,000 | 129,016 | ||||||
GLP Capital LP / GLP Financing, Inc., | ||||||||
3.25%, 1/15/32 | 100,000 | 100,539 | ||||||
Goldman Sachs BDC, Inc., 2.875%, | ||||||||
1/15/26 | 100,000 | 102,472 | ||||||
Goldman Sachs Group, Inc., (SOFR + | ||||||||
0.913%) (B), 1.948%, 10/21/27 | 250,000 | 249,049 | ||||||
Healthpeak Properties, Inc., 3.25%, | ||||||||
7/15/26 | 200,000 | 212,479 | ||||||
Huntington Bancshares, Inc., (5 year | ||||||||
CMT + 1.170%) (A) (B), 2.487%, | ||||||||
8/15/36 | 300,000 | 287,774 |
See accompanying Notes to Financial Statements.
42
Ultra Series Fund | December 31, 2021
Diversified Income Fund Portfolio of Investments - continued |
Shares | Value (Note 2,3) | |||||||
Iron Mountain, Inc. (A), 4.5%, | ||||||||
2/15/31 | 100,000 | $ | 101,069 | |||||
Jefferies Group LLC / Jefferies Group | ||||||||
Capital Finance, Inc., 2.625%, | ||||||||
10/15/31 | 175,000 | 172,327 | ||||||
JPMorgan Chase & Co., Series II, | ||||||||
(SOFR + 2.745%) (B), 4%, 4/1/25 | 350,000 | 351,750 | ||||||
JPMorgan Chase & Co., (SOFR + | ||||||||
0.695%) (B), 1.04%, 2/4/27 | 250,000 | 242,089 | ||||||
KKR Group Finance Co. VIII LLC (A), | ||||||||
3.5%, 8/25/50 | 125,000 | 131,291 | ||||||
Liberty Mutual Group, Inc. (A), | ||||||||
3.95%, 5/15/60 | 50,000 | 55,126 | ||||||
Morgan Stanley, 3.875%, 1/27/26 | 200,000 | 216,374 | ||||||
Morgan Stanley, (SOFR + 0.879%) | ||||||||
(B), 1.593%, 5/4/27 | 150,000 | 148,479 | ||||||
Morgan Stanley, (SOFR + 1.020%) | ||||||||
(B), 1.928%, 4/28/32 | 500,000 | 478,314 | ||||||
NASDAQ, Inc., 1.65%, 1/15/31 | 400,000 | 372,776 | ||||||
Omega Healthcare Investors, Inc., | ||||||||
3.375%, 2/1/31 | 200,000 | 201,660 | ||||||
Prudential Financial, Inc., (5 year CMT | ||||||||
+ 3.035%) (B), 3.7%, 10/1/50 | 125,000 | 126,575 | ||||||
STORE Capital Corp., 4.5%, 3/15/28 | 200,000 | 221,147 | ||||||
Synchrony Financial, 3.7%, 8/4/26 | 250,000 | 265,634 | ||||||
Teachers Insurance & Annuity | ||||||||
Association of America (A), 3.3%, | ||||||||
5/15/50 | 100,000 | 104,681 | ||||||
Truist Bank, 2.25%, 3/11/30 | 50,000 | 49,920 | ||||||
Truist Financial Corp., (SOFR + | ||||||||
0.609%) (B), 1.267%, 3/2/27 | 200,000 | 196,332 | ||||||
Wells Fargo & Co., (SOFR + 2.100%) | ||||||||
(B), 2.393%, 6/2/28 | 175,000 | 177,976 | ||||||
Welltower, Inc., 2.05%, 1/15/29 | 150,000 | 147,759 | ||||||
Western Union Co., 2.85%, 1/10/25 | 200,000 | 207,059 | ||||||
7,103,851 | ||||||||
Health Care - 1.0% | ||||||||
Anthem, Inc., 2.375%, 1/15/25 | 200,000 | 206,291 | ||||||
Baxter International, Inc. (A), | ||||||||
2.272%, 12/1/28 | 300,000 | 302,442 | ||||||
Cigna Corp., 4.375%, 10/15/28 | 50,000 | 56,870 | ||||||
Cigna Corp., 4.9%, 12/15/48 | 100,000 | 129,644 | ||||||
CVS Health Corp., 5.125%, 7/20/45 | 400,000 | 521,521 | ||||||
Health Care Service Corp. A Mutual | ||||||||
Legal Reserve Co. (A), 2.2%, 6/1/30 | 75,000 | 73,528 | ||||||
PerkinElmer, Inc., 0.55%, 9/15/23 | 325,000 | 322,279 | ||||||
UnitedHealth Group, Inc., 3.7%, | ||||||||
8/15/49 | 150,000 | 173,237 | ||||||
Viatris, Inc., 2.7%, 6/22/30 | 200,000 | 200,912 |
Shares | Value (Note 2,3) | |||||||
Zoetis, Inc., 3%, 9/12/27 | 225,000 | $ | 237,332 | |||||
Zoetis, Inc., 3%, 5/15/50 | 175,000 | 182,656 | ||||||
2,406,712 | ||||||||
Industrials - 0.9% | ||||||||
Ashtead Capital, Inc. (A), 2.45%, | ||||||||
8/12/31 | 275,000 | 268,079 | ||||||
Block, Inc. (A), 2.75%, 6/1/26 | 200,000 | 200,238 | ||||||
Boeing Co., 2.196%, 2/4/26 | 150,000 | 150,006 | ||||||
Boeing Co., 3.625%, 2/1/31 | 125,000 | 133,437 | ||||||
Boeing Co., 5.805%, 5/1/50 | 75,000 | 101,888 | ||||||
Martin Marietta Materials, Inc., 3.2%, | ||||||||
7/15/51 | 300,000 | 304,658 | ||||||
Quanta Services, Inc., 2.9%, 10/1/30 | 150,000 | 152,698 | ||||||
TD SYNNEX Corp. (A), 2.65%, 8/9/31 | 50,000 | 48,122 | ||||||
Textron, Inc., 2.45%, 3/15/31 | 150,000 | 147,570 | ||||||
TransDigm, Inc. (A), 6.25%, 3/15/26 | 100,000 | 103,937 | ||||||
Vulcan Materials Co., 3.5%, 6/1/30 | 175,000 | 189,203 | ||||||
WRKCo, Inc., 3.9%, 6/1/28 | 175,000 | 191,741 | ||||||
WRKCo, Inc., 3%, 6/15/33 | 100,000 | 102,966 | ||||||
2,094,543 | ||||||||
Information Technology - 0.7% | ||||||||
Broadcom, Inc., 4.15%, 11/15/30 | 95,000 | 105,466 | ||||||
Broadcom, Inc. (A), 3.187%, | ||||||||
11/15/36 | 5,000 | 4,999 | ||||||
Citrix Systems, Inc., 4.5%, 12/1/27 | 85,000 | 92,331 | ||||||
Dell International LLC / EMC Corp., | ||||||||
8.35%, 7/15/46 | 44,000 | 73,350 | ||||||
Dell International LLC / EMC Corp. (A), | ||||||||
3.45%, 12/15/51 | 75,000 | 72,121 | ||||||
HP, Inc. (A), 2.65%, 6/17/31 | 300,000 | 296,094 | ||||||
Intel Corp., 3.734%, 12/8/47 | 435,000 | 497,196 | ||||||
Intuit, Inc., 1.65%, 7/15/30 | 100,000 | 96,548 | ||||||
Oracle Corp., 3.95%, 3/25/51 | 200,000 | 208,393 | ||||||
salesforce.com, Inc., 2.9%, 7/15/51 | 150,000 | 153,273 | ||||||
1,599,771 | ||||||||
Materials - 0.3% | ||||||||
DuPont de Nemours, Inc., 4.725%, | ||||||||
11/15/28 | 295,000 | 341,952 | ||||||
EI du Pont de Nemours and Co., 1.7%, | ||||||||
7/15/25 | 50,000 | 50,381 | ||||||
International Flavors & Fragrances, | ||||||||
Inc. (A), 1.832%, 10/15/27 | 250,000 | 245,613 | ||||||
637,946 |
See accompanying Notes to Financial Statements.
43
Ultra Series Fund | December 31, 2021
Diversified Income Fund Portfolio of Investments - continued |
Shares | Value (Note 2,3) | |||||||
Utilities - 0.3% | ||||||||
AES Corp., 1.375%, 1/15/26 | 250,000 | $ | 242,738 | |||||
Berkshire Hathaway Energy Co., | ||||||||
1.65%, 5/15/31 | 125,000 | 118,575 | ||||||
Interstate Power & Light Co., 3.5%, | ||||||||
9/30/49 | 150,000 | 161,340 | ||||||
Wisconsin Electric Power Co., 1.7%, | ||||||||
6/15/28 | 100,000 | 98,038 | ||||||
620,691 | ||||||||
Total Corporate Notes and Bonds | ||||||||
(Cost $23,237,013) | 24,609,978 | |||||||
FOREIGN CORPORATE BONDS - 0.6% | ||||||||
Communication Service - 0.1% | ||||||||
Thomson Reuters Corp. (D), 4.3%, | ||||||||
11/23/23 | 200,000 | 210,178 | ||||||
Financials - 0.3% | ||||||||
AerCap Ireland Capital DAC / AerCap | ||||||||
Global Aviation Trust, 1.75%, 1/30/26 | 200,000 | 196,263 | ||||||
AerCap Ireland Capital DAC / AerCap | ||||||||
Global Aviation Trust, 4.625%, | ||||||||
10/15/27 | 150,000 | 166,066 | ||||||
Avolon Holdings Funding Ltd. (A), | ||||||||
2.125%, 2/21/26 | 200,000 | 196,397 | ||||||
UBS Group AG(5 year CMT + 3.313%) | ||||||||
(A) (B), 4.375%, 2/10/31 | 200,000 | 197,560 | ||||||
756,286 | ||||||||
Health Care - 0.2% | ||||||||
Royalty Pharma PLC, 2.2%, 9/2/30 | 200,000 | 193,797 | ||||||
Royalty Pharma PLC, 3.55%, 9/2/50 | 200,000 | 199,021 | ||||||
392,818 | ||||||||
Total Foreign Corporate Bonds | ||||||||
(Cost $1,330,656) | 1,359,282 | |||||||
LONG TERM MUNICIPAL BONDS - 0.6% | ||||||||
Metropolitan Transportation | ||||||||
Authority Revenue, 6.548%, | ||||||||
11/15/31 | 1,000,000 | 1,270,490 | ||||||
University of Massachusetts Building | ||||||||
Authority Revenue, 6.573%, 5/1/39 | 70,000 | 70,265 | ||||||
Total Long Term Municipal Bonds | ||||||||
(Cost $1,293,064) | 1,340,755 | |||||||
MORTGAGE BACKED SECURITIES - 4.3% | ||||||||
Fannie Mae - 2.7% | ||||||||
3%, 9/1/30 Pool # 890696 | 241,643 | 254,522 | ||||||
3%, 12/1/30 Pool # AL8924 | 166,609 | 174,633 | ||||||
7%, 11/1/31 Pool # 607515 | 14,360 | 15,938 |
Shares | Value (Note 2,3) | |||||||
3.5%, 12/1/31 Pool # MA0919 | 67,075 | $ | 71,375 | |||||
7%, 5/1/32 Pool # 644591 | 2,897 | 3,002 | ||||||
3.5%, 8/1/32 Pool # MA3098 | 61,439 | 65,002 | ||||||
5.5%, 10/1/33 Pool # 254904 | 70,191 | 79,433 | ||||||
5.5%, 11/1/33 Pool # 555880 | 163,595 | 183,316 | ||||||
5%, 5/1/34 Pool # 780890 | 220,350 | 249,123 | ||||||
7%, 7/1/34 Pool # 792636 | 15,343 | 15,947 | ||||||
4%, 2/1/35 Pool # MA2177 | 277,668 | 301,924 | ||||||
5%, 9/1/35 Pool # 820347 | 113,860 | 128,942 | ||||||
5%, 9/1/35 Pool # 835699 | 93,761 | 103,516 | ||||||
5%, 12/1/35 Pool # 850561 | 29,811 | 33,723 | ||||||
5.5%, 9/1/36 Pool # 831820 | 166,980 | 188,509 | ||||||
5.5%, 10/1/36 Pool # 901723 | 39,104 | 43,207 | ||||||
5.5%, 12/1/36 Pool # 903059 | 136,760 | 152,092 | ||||||
4%, 1/1/41 Pool # AB2080 | 248,556 | 273,022 | ||||||
2.5%, 5/1/41 Pool # MA4334 | 234,807 | 242,546 | ||||||
4.5%, 7/1/41 Pool # AB3274 | 71,706 | 79,298 | ||||||
5.5%, 7/1/41 Pool # AL6588 | 286,399 | 326,355 | ||||||
4%, 9/1/41 Pool # AJ1406 | 126,739 | 138,938 | ||||||
4%, 10/1/41 Pool # AJ4046 | 247,756 | 274,522 | ||||||
3.5%, 6/1/42 Pool # AO4136 | 209,021 | 224,946 | ||||||
3.5%, 6/1/42 Pool # AO4134 | 211,724 | 228,745 | ||||||
3.5%, 8/1/42 Pool # AP2133 | 215,286 | 232,560 | ||||||
4%, 10/1/42 Pool # AP7363 | 204,103 | 224,110 | ||||||
3%, 2/1/43 Pool # AB8486 | 373,499 | 394,365 | ||||||
3%, 2/1/43 Pool # AL3072 | 391,963 | 415,488 | ||||||
3.5%, 3/1/43 Pool # AT0310 | 228,017 | 246,305 | ||||||
4%, 1/1/45 Pool # AS4257 | 57,171 | 62,765 | ||||||
4.5%, 2/1/45 Pool # MA2193 | 153,814 | 167,315 | ||||||
3.5%, 4/1/45 Pool # MA2229 | 156,838 | 167,917 | ||||||
3.5%, 11/1/45 Pool # BA4907 | 170,485 | 182,384 | ||||||
3.5%, 12/1/45 Pool # AS6309 | 46,116 | 49,494 | ||||||
2.5%, 12/1/47 Pool # FM3165 | 137,582 | 140,939 | ||||||
4%, 7/1/48 Pool # MA3415 | 115,633 | 122,928 | ||||||
6,259,146 | ||||||||
Freddie Mac - 1.6% | ||||||||
4.5%, 2/1/25 Pool # J11722 | 24,028 | 25,048 | ||||||
4.5%, 5/1/25 Pool # J12247 | 22,428 | 23,535 | ||||||
8%, 6/1/30 Pool # C01005 | 5,391 | 6,239 | ||||||
6.5%, 1/1/32 Pool # C62333 | 53,064 | 58,658 | ||||||
2.5%, 6/1/35 Pool # RC1421 | 193,520 | 200,391 | ||||||
3.5%, 11/1/40 Pool # G06168 | 98,676 | 106,605 | ||||||
2%, 3/1/41 Pool # RB5105 | 454,426 | 461,408 | ||||||
4.5%, 9/1/41 Pool # Q03516 | 192,440 | 212,662 | ||||||
4%, 10/1/41 Pool # Q04092 | 268,042 | 294,517 | ||||||
3%, 9/1/42 Pool # C04233 | 227,999 | 240,947 | ||||||
3%, 4/1/43 Pool # V80025 | 362,743 | 381,666 | ||||||
3%, 4/1/43 Pool # V80026 | 355,077 | 375,091 | ||||||
3%, 7/1/45 Pool # G08653 | 183,855 | 193,509 |
See accompanying Notes to Financial Statements.
44
Ultra Series Fund | December 31, 2021
Diversified Income Fund Portfolio of Investments - continued |
Shares | Value (Note 2,3) | |||||||
3.5%, 8/1/45 Pool # Q35614 | 276,907 | $296,676 | ||||||
3%, 10/1/46 Pool # G60722 | 262,465 | 276,971 | ||||||
4%, 3/1/47 Pool # Q46801 | 113,693 | 121,877 | ||||||
2.5%, 4/1/48 Pool # QA2240 | 334,489 | 343,086 | ||||||
3,618,886 | ||||||||
Ginnie Mae - 0.0% | ||||||||
6.5%, 4/20/31 Pool # 3068 | 13,850 | 15,766 | ||||||
Total Mortgage Backed Securities | ||||||||
( Cost $9,497,662 ) | 9,893,798 | |||||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 8.3% | ||||||||
U.S. Treasury Bonds - 2.6% | ||||||||
6.625%, 2/15/27 | 1,500,000 | 1,897,969 | ||||||
3.000%, 5/15/42 | 750,000 | 890,918 | ||||||
2.500%, 2/15/45 | 750,000 | 827,842 | ||||||
2.500%, 5/15/46 | 500,000 | 554,726 | ||||||
2.250%, 8/15/46 | 500,000 | 530,762 | ||||||
3.000%, 5/15/47 | 200,000 | 243,687 | ||||||
1.250%, 5/15/50 | 500,000 | 426,641 | ||||||
1.875%, 2/15/51 | 650,000 | 646,039 | ||||||
6,018,584 | ||||||||
U.S. Treasury Notes - 5.7% | ||||||||
1.375%, 9/30/23 | 1,750,000 | 1,771,328 | ||||||
2.250%, 12/31/24 | 500,000 | 518,926 | ||||||
2.250%, 11/15/25 | 2,500,000 | 2,604,981 | ||||||
1.500%, 8/15/26 | 3,000,000 | 3,035,742 | ||||||
2.375%, 5/15/27 | 1,000,000 | 1,056,133 | ||||||
0.375%, 9/30/27 | 1,500,000 | 1,420,898 | ||||||
2.875%, 5/15/28 | 1,500,000 | 1,635,527 | ||||||
0.625%, 8/15/30 | 1,250,000 | 1,166,992 | ||||||
13,210,527 | ||||||||
Total U.S. Government and Agency | ||||||||
Obligations ( Cost $18,676,199 ) | 19,229,111 | |||||||
Shares | Value (Note 2,3) | |||||||
SHORT-TERM INVESTMENTS - 2.8% | ||||||||
State Street Institutional U.S. Government Money Market Fund, 0.03%, Premier Class (E) | 6,253,770 | 6,253,770 |
Shares | Value (Note 2,3) | |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 0.03% (E) (F) | 148,268 | $148,268 | ||||||
Total Short-Term Investments | ||||||||
( Cost $6,402,038 ) | 6,402,038 | |||||||
TOTAL INVESTMENTS - 99.8% | ||||||||
( Cost $164,535,371** ) | 230,161,208 | |||||||
NET OTHER ASSETS AND LIABILITIES - 0.2% | 383,723 | |||||||
TOTAL NET ASSETS - 100.0% | $ | 230,544,931 |
** | Aggregate cost for Federal tax purposes was $165,283,178. |
(A) | Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “qualified institutional buyers.” |
(B) | Floating rate or variable rate note. Rate shown is as of December 31, 2021. |
(C) | Coupon rate may change based on changes of the underlying collateral or prepayments of principal. The coupon rate shown represents the rate at period end. |
(D) | All or a portion of these securities, with an aggregate fair value of $145,202, are on loan as part of a securities lending program. See footnote (F) and Note 10 for details on the securities lending program. |
(E) | 7-day yield. |
(F) | Represents investments of cash collateral received in connection with securities lending. |
CMT | Constant Maturity Treasury. |
DAC | Designated Activity Company. |
FHLMC | Federal Home Loan Mortgage Corp or Freddie Mac. |
FREMF | Freddie Mac Multifamily. |
IO | Interest Only. |
LIBOR | London Interbank Offered Rate. |
LLC | Limited Liability Company. |
PLC | Public Limited Company. |
REIT | Real Estate Investment Trust. |
REMIC | Real Estate Mortgage Investment Conduit. |
SOFR | Secured Overnight Financing Rate. |
STACR | Structured Agency Credit Risk. |
See accompanying Notes to Financial Statements.
45
Ultra Series Fund | December 31, 2021
Large Cap Value Fund Portfolio of Investments |
Shares | Value (Note 2,3) | |||||||
COMMON STOCKS - 98.6% | ||||||||
Communication Services - 5.9% | ||||||||
Comcast Corp., Class A | 156,000 | $7,851,480 | ||||||
Verizon Communications, Inc. | 124,500 | 6,469,020 | ||||||
14,320,500 | ||||||||
Consumer Discretionary - 8.4% | ||||||||
Home Depot, Inc. | 18,500 | 7,677,685 | ||||||
McDonald’s Corp. | 32,000 | 8,578,240 | ||||||
Starbucks Corp. | 35,500 | 4,152,435 | ||||||
20,408,360 | ||||||||
Consumer Staples - 10.6% | ||||||||
Archer-Daniels-Midland Co. | 55,500 | 3,751,245 | ||||||
Coca-Cola Co. | 63,500 | 3,759,835 | ||||||
Colgate-Palmolive Co. | 38,000 | 3,242,920 | ||||||
Hershey Co. | 14,000 | 2,708,580 | ||||||
PepsiCo, Inc. | 39,000 | 6,774,690 | ||||||
Procter & Gamble Co. | 33,000 | 5,398,140 | ||||||
25,635,410 | ||||||||
Energy - 4.1% | ||||||||
Baker Hughes Co. | 220,000 | 5,293,200 | ||||||
EOG Resources, Inc. | 53,000 | 4,707,990 | ||||||
10,001,190 | ||||||||
Financials - 18.6% | ||||||||
Aflac, Inc. | 83,000 | 4,846,370 | ||||||
BlackRock, Inc. | 8,700 | 7,965,372 | ||||||
CME Group, Inc. | 31,500 | 7,196,490 | ||||||
JPMorgan Chase & Co. | 42,500 | 6,729,875 | ||||||
Northern Trust Corp. | 63,000 | 7,535,430 | ||||||
Travelers Cos., Inc. | 48,000 | 7,508,640 | ||||||
U.S. Bancorp | 62,000 | 3,482,540 | ||||||
45,264,717 | ||||||||
Health Care - 17.6% | ||||||||
AmerisourceBergen Corp. | 30,000 | 3,986,700 | ||||||
Bristol-Myers Squibb Co. | 131,500 | 8,199,025 | ||||||
CVS Health Corp. | 89,000 | 9,181,240 | ||||||
Johnson & Johnson | 47,500 | 8,125,825 | ||||||
Medtronic PLC | 37,000 | 3,827,650 | ||||||
Pfizer, Inc. | 160,000 | 9,448,000 | ||||||
42,768,440 | ||||||||
Industrials - 10.1% | ||||||||
3M Co. | 25,500 | 4,529,565 | ||||||
Emerson Electric Co. | 41,500 | 3,858,255 |
Shares | Value (Note 2,3) | |||||||
Fastenal Co. | 89,000 | $5,701,340 | ||||||
Honeywell International, Inc. | 11,000 | 2,293,610 | ||||||
PACCAR, Inc. | 41,500 | 3,662,790 | ||||||
Union Pacific Corp. | 17,500 | 4,408,775 | ||||||
24,454,335 | ||||||||
Information Technology - 13.1% | ||||||||
Analog Devices, Inc. | 15,000 | 2,636,550 | ||||||
Automatic Data Processing, Inc. | 14,000 | 3,452,120 | ||||||
Cisco Systems, Inc. | 144,000 | 9,125,280 | ||||||
Oracle Corp. | 44,500 | 3,880,845 | ||||||
Paychex, Inc. | 42,500 | 5,801,250 | ||||||
Texas Instruments, Inc. | 36,000 | 6,784,920 | ||||||
31,680,965 | ||||||||
Materials - 5.7% | ||||||||
Franco-Nevada Corp. | 17,000 | 2,350,930 | ||||||
Linde PLC | 12,500 | 4,330,375 | ||||||
Nucor Corp. | 63,500 | 7,248,525 | ||||||
13,929,830 | ||||||||
Real Estate - 2.1% | ||||||||
American Tower Corp., REIT | 17,500 | 5,118,750 | ||||||
Utilities - 2.4% | ||||||||
Dominion Energy, Inc. | 74,000 | 5,813,440 | ||||||
Total Common Stocks | ||||||||
(Cost $172,146,755 ) | 239,395,937 | |||||||
SHORT-TERM INVESTMENTS - 1.3% | ||||||||
State Street Institutional U.S. Government Money Market Fund, 0.03%, Premier Class (A) | 3,091,771 | 3,091,771 | ||||||
Total Short-Term Investments | ||||||||
(Cost $3,091,771 ) | 3,091,771 | |||||||
TOTAL INVESTMENTS - 99.9% | ||||||||
(Cost $175,238,526** ) | 242,487,708 | |||||||
NET OTHER ASSETS AND LIABILITIES - 0.1% | 261,524 | |||||||
TOTAL NET ASSETS - 100.0% | $ | 242,749,232 |
** | Aggregate cost for Federal tax purposes was $175,238,526. |
(A) | 7-day yield. |
PLC | Public Limited Company. |
REIT | Real Estate Investment Trust. |
See accompanying Notes to Financial Statements.
46
Ultra Series Fund | December 31, 2021
Large Cap Growth Fund Portfolio of Investments |
Shares | Value (Note 2,3) | |||||||
COMMON STOCKS - 98.1% | ||||||||
Communication Services - 9.2% | ||||||||
Alphabet, Inc., Class C * | 4,040 | $11,690,103 | ||||||
Liberty Broadband Corp., Class C * | 57,918 | 9,330,590 | ||||||
21,020,693 | ||||||||
Consumer Discretionary - 14.2% | ||||||||
Amazon.com, Inc. * | 1,306 | 4,354,648 | ||||||
Dollar Tree, Inc. * | 62,562 | 8,791,212 | ||||||
Lowe’s Cos., Inc. | 44,908 | 11,607,820 | ||||||
TJX Cos., Inc. | 100,365 | 7,619,711 | ||||||
32,373,391 | ||||||||
Financials - 21.3% | ||||||||
Arch Capital Group Ltd. * | 161,643 | 7,185,031 | ||||||
Berkshire Hathaway, Inc., Class B * | 25,935 | 7,754,565 | ||||||
Brookfield Asset Management, Inc., Class A | 149,978 | 9,055,671 | ||||||
Marsh & McLennan Cos., Inc. | 47,340 | 8,228,639 | ||||||
Progressive Corp. | 86,603 | 8,889,798 | ||||||
U.S. Bancorp | 133,098 | 7,476,115 | ||||||
48,589,819 | ||||||||
Health Care - 13.8% | ||||||||
Alcon, Inc. (A) | 86,183 | 7,508,263 | ||||||
Becton Dickinson and Co. | 37,487 | 9,427,231 | ||||||
Danaher Corp. | 19,783 | 6,508,805 | ||||||
Novartis AG, ADR | 93,149 | 8,147,743 | ||||||
31,592,042 | ||||||||
Industrials - 13.7% | ||||||||
Copart, Inc. * | 44,266 | 6,711,611 | ||||||
Jacobs Engineering Group, Inc. | 60,987 | 8,491,220 | ||||||
PACCAR, Inc. | 105,027 | 9,269,683 | ||||||
Parker-Hannifin Corp. | 21,101 | 6,712,650 | ||||||
31,185,164 | ||||||||
Information Technology - 20.6% | ||||||||
Accenture PLC, Class A | 18,089 | 7,498,795 | ||||||
Adobe, Inc. * | 7,004 | 3,971,688 |
Shares | Value (Note 2,3) | |||||||
Analog Devices, Inc. | 43,096 | $7,574,984 | ||||||
Black Knight, Inc. * | 60,907 | 5,048,581 | ||||||
Fiserv, Inc. * | 83,479 | 8,664,286 | ||||||
TE Connectivity Ltd. | 45,033 | 7,265,624 | ||||||
Visa, Inc., Class A | 32,908 | 7,131,493 | ||||||
47,155,451 | ||||||||
Materials - 5.3% | ||||||||
Linde PLC | 13,568 | 4,700,362 | ||||||
PPG Industries, Inc. | 43,501 | 7,501,313 | ||||||
12,201,675 | ||||||||
Total Common Stocks | ||||||||
( Cost $124,167,077 ) | 224,118,235 | |||||||
SHORT-TERM INVESTMENTS - 3.3% | ||||||||
State Street Institutional U.S. Government Money Market Fund, 0.03%, Premier Class (B) | 3,971,976 | 3,971,976 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 0.03% (B) (C) | 3,497,490 | 3,497,490 | ||||||
Total Short-Term Investments | ||||||||
( Cost $7,469,466 ) | 7,469,466 | |||||||
TOTAL INVESTMENTS - 101.4% | ||||||||
( Cost $131,636,543** ) | $231,587,701 | |||||||
NET OTHER ASSETS AND LIABILITIES - (1.4%) | (3,273,165 | ) | ||||||
TOTAL NET ASSETS - 100.0% | $ | 228,314,536 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $132,251,285. |
(A) | All or a portion of these securities, with an aggregate fair value of $7,401,842, are on loan as part of a securities lending program. See footnote (C) and Note 10 for details on the securities lending program. |
(B) | 7-day yield. |
(C) | Represents investments of cash collateral received in connection with securities lending. |
ADR | American Depositary Receipt. |
PLC | Public Limited Company. |
See accompanying Notes to Financial Statements.
47
Ultra Series Fund | December 31, 2021 |
Mid Cap Fund Portfolio of Investments |
Shares | Value (Note 2,3) | |||||
COMMON STOCKS - 95.3% | ||||||
Communication Service - 5.3% | ||||||
Liberty Broadband Corp., Class C * | 60,080 | $9,678,888 | ||||
Consumer Discretionary - 12.6% | ||||||
CarMax, Inc. * | 50,383 | 6,561,378 | ||||
Dollar Tree, Inc. * | 75,648 | 10,630,057 | ||||
Ross Stores, Inc. | 51,750 | 5,913,990 | ||||
23,105,425 | ||||||
Consumer Staples - 0.9% | ||||||
Brown-Forman Corp., Class B | 23,849 | 1,737,638 | ||||
Financials - 29.6% | ||||||
Capital Markets - 4.4% | ||||||
Brookfield Asset Management, | ||||||
Inc., Class A | 94,494 | 5,705,547 | ||||
Moelis & Co., Class A | 36,182 | 2,261,737 | ||||
7,967,284 | ||||||
Commercial Banks - 1.7% | ||||||
Glacier Bancorp, Inc. | 55,959 | 3,172,875 | ||||
Diversified Financial Services - 3.6% | ||||||
Cannae Holdings, Inc. * | 184,644 | 6,490,237 | ||||
Insurance - 19.9% | ||||||
Arch Capital Group Ltd. * | 230,378 | 10,240,302 | ||||
Brown & Brown, Inc. | 116,384 | 8,179,467 | ||||
Markel Corp. * | 6,055 | 7,471,870 | ||||
Progressive Corp. | 61,972 | 6,361,426 | ||||
W R Berkley Corp. | 51,245 | 4,222,076 | ||||
36,475,141 | ||||||
54,105,537 | ||||||
Health Care - 4.4% | ||||||
Laboratory Corp. of America | ||||||
Holdings * | 25,417 | 7,986,275 | ||||
Industrials - 21.3% | ||||||
Armstrong World Industries, Inc. | 31,323 | 3,637,227 |
Shares | Value (Note 2,3) | |||||
Carlisle Cos., Inc. | 35,286 | $8,755,163 | ||||
Clarivate PLC * | 238,252 | 5,603,687 | ||||
Copart, Inc. * | 44,418 | 6,734,657 | ||||
Expeditors International of | ||||||
Washington, Inc. | 29,180 | 3,918,582 | ||||
IHS Markit Ltd. | 38,362 | 5,099,077 | ||||
PACCAR, Inc. | 59,743 | 5,272,917 | ||||
39,021,310 | ||||||
Information Technology - 21.2% | ||||||
Amphenol Corp., Class A | 66,473 | 5,813,729 | ||||
Arista Networks, Inc. * | 44,533 | 6,401,619 | ||||
Black Knight, Inc. * | 61,133 | 5,067,314 | ||||
CDW Corp. | 31,983 | 6,549,479 | ||||
Gartner, Inc. * | 23,805 | 7,958,488 | ||||
MKS Instruments, Inc. | 14,679 | 2,556,641 | ||||
Vontier Corp. | 144,135 | 4,429,268 | ||||
38,776,538 | ||||||
Total Common Stocks | ||||||
( Cost $77,127,840 ) | 174,411,611 | |||||
SHORT-TERM INVESTMENTS - 4.7% | ||||||
State Street Institutional U.S. | ||||||
Government Money Market Fund, | ||||||
0.03%, Premier Class (A) | 8,553,691 | 8,553,691 | ||||
Total Short-Term Investments | ||||||
(Cost $8,553,691) | 8,553,691 | |||||
TOTAL INVESTMENTS - 100.0% | ||||||
(Cost $85,681,531**) | 182,965,302 | |||||
NET OTHER ASSETS AND LIABILITIES - 0.0% | (41,137 | ) | ||||
TOTAL NET ASSETS - 100.0% | $182,924,165 | |||||
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $85,850,906. |
(A) | 7-day yield. |
PLC | Public Limited Company. |
See accompanying Notes to Financial Statements.
48
Ultra Series Fund | December 31, 2021 |
International Stock Fund Portfolio of Investments |
Shares | Value (Note 2,3) | |||||
COMMON STOCKS - 95.0% | ||||||
Australia -3.5% | ||||||
Macquarie Group Ltd. | 2,274 | $339,824 | ||||
Treasury Wine Estates Ltd. | 63,815 | 574,786 | ||||
914,610 | ||||||
Brazil - 3.2% | ||||||
Itau Unibanco Holding SA, ADR (A) | 72,208 | 270,780 | ||||
Pagseguro Digital Ltd., Class A * | 11,251 | 295,001 | ||||
XP, Inc., Class A * | 10,061 | 289,153 | ||||
854,934 | ||||||
Canada - 4.5% | ||||||
Cameco Corp. | 18,280 | 398,687 | ||||
Canadian Pacific Railway Ltd. | 4,222 | 303,731 | ||||
Manulife Financial Corp. | 25,051 | 477,722 | ||||
1,180,140 | ||||||
China - 6.0% | ||||||
Alibaba Group Holding Ltd., ADR * | 4,112 | 488,464 | ||||
Ping An Insurance Group Co. of | ||||||
China Ltd., Class H | 61,633 | 443,818 | ||||
Tencent Holdings Ltd. | 11,232 | 657,999 | ||||
1,590,281 | ||||||
Denmark -1.2% | ||||||
Genmab AS * | 788 | 315,514 | ||||
France - 8.4% | ||||||
Air Liquide SA | 2,210 | 385,766 | ||||
Airbus SE * | 4,512 | 577,183 | ||||
EssilorLuxottica SA | 1,670 | 355,998 | ||||
Hermes International | 160 | 279,798 | ||||
LVMH Moet Hennessy Louis | ||||||
Vuitton SE | 422 | 349,285 | ||||
Worldline SA * | 5,033 | 280,831 | ||||
2,228,861 | ||||||
Germany - 8.1% | ||||||
adidas AG | 1,127 | 325,028 | ||||
Deutsche Telekom AG | 14,633 | 271,956 | ||||
KION Group AG | 3,439 | 377,794 | ||||
SAP SE, ADR | 1,992 | 279,099 | ||||
Siemens AG | 3,370 | 585,782 | ||||
Symrise AG | 2,085 | 309,270 | ||||
2,148,929 | ||||||
Hong Kong - 1.2% | ||||||
AIA Group Ltd. | 32,520 | 327,805 | ||||
India - 6.7% | ||||||
HDFC Bank Ltd., ADR | 8,186 | 532,663 | ||||
Infosys Ltd., ADR | 18,329 | 463,907 |
Shares | Value (Note 2,3) | |||||
Larsen & Toubro Ltd., GDR | 30,925 | $787,041 | ||||
1,783,611 | ||||||
Ireland - 2.5% | ||||||
Kerry Group PLC, Class A | 2,777 | 358,053 | ||||
Ryanair Holdings PLC, ADR * | 2,926 | 299,417 | ||||
657,470 | ||||||
Israel - 1.4% | ||||||
CyberArk Software Ltd. * | 2,129 | 368,913 | ||||
Italy - 1.4% | ||||||
Ferrari NV | 1,422 | 368,042 | ||||
Japan - 14.3% | ||||||
CyberAgent, Inc. | 20,429 | 339,971 | ||||
Keyence Corp. | 500 | 314,231 | ||||
Murata Manufacturing Co. Ltd. | 5,493 | 436,114 | ||||
Nidec Corp. | 2,700 | 317,387 | ||||
Seven & I Holdings Co. Ltd. | 10,600 | 465,944 | ||||
Shiseido Co. Ltd. | 5,300 | 295,557 | ||||
Sony Group Corp. | 5,297 | 669,590 | ||||
Toray Industries, Inc. | 82,353 | 488,177 | ||||
Toyota Motor Corp. | 25,000 | 461,497 | ||||
3,788,468 | ||||||
Mexico - 3.0% | ||||||
Grupo Mexico SAB de CV, Series B | 114,307 | 498,305 | ||||
Wal-Mart de Mexico SAB de CV, | ||||||
ADR | 7,992 | 297,702 | ||||
796,007 | ||||||
Netherlands - 4.2% | ||||||
ASML Holding NV | 667 | 531,025 | ||||
NXP Semiconductors NV | 2,552 | 581,295 | ||||
1,112,320 | ||||||
Singapore - 1.9% | ||||||
DBS Group Holdings Ltd. | 20,600 | 499,255 | ||||
South Korea - 1.1% | ||||||
LG Household & Health Care Ltd. | 317 | 292,447 | ||||
Spain - 1.2% | ||||||
Grifols SA | 16,377 | 313,351 | ||||
Sweden - 1.8% | ||||||
Telefonaktiebolaget LM Ericsson, | ||||||
Class B | 42,807 | 470,186 | ||||
Switzerland - 7.3% | ||||||
Credit Suisse Group AG (A) | 59,079 | 573,022 | ||||
Nestle SA | 2,340 | 327,113 | ||||
Partners Group Holding AG | 153 | 252,223 |
See accompanying Notes to Financial Statements.
49
Ultra Series Fund | December 31, 2021 |
International Stock Fund Portfolio of Investments - continued |
Shares | Value (Note 2,3) | |||||
Roche Holding AG | 1,050 | $435,262 | ||||
Sika AG | 807 | 334,982 | ||||
1,922,602 | ||||||
Taiwan - 1.6% | ||||||
Taiwan Semiconductor | ||||||
Manufacturing Co. Ltd., ADR 3,465 | 416,874 | |||||
United Kingdom - 10.5% | ||||||
AstraZeneca PLC | 7,540 | 885,657 | ||||
Diageo PLC | 7,685 | 419,826 | ||||
London Stock Exchange Group PLC 3,556 | 333,556 | |||||
Prudential PLC | 32,865 | 566,954 | ||||
Royal Dutch Shell PLC, Class B 26,411 | 579,985 | |||||
2,785,978 | ||||||
Total Common Stocks | ||||||
( Cost $25,348,091 ) | 25,136,598 | |||||
EXCHANGE TRADED FUNDS - 2.3% | ||||||
United States - 2.3% | ||||||
iShares MSCI ACWI ex U.S. ETF | 10,634 | 591,250 | ||||
Total Exchange Traded Funds | ||||||
( Cost $610,570 ) | 591,250 |
Shares | Value (Note 2,3) | |||||
Short-Term Investments - 3.1% | ||||||
State Street Institutional U.S. | ||||||
Government Money Market Fund, | ||||||
0.03%, Premier Class (B) | 703,139 | $703,139 | ||||
State Street Navigator Securities | ||||||
Lending Government Money | ||||||
Market Portfolio, 0.03% (B) (C) | 124,454 | 124,454 | ||||
Total Short-Term Investments | ||||||
( Cost $827,593 ) | 827,593 | |||||
TOTAL INVESTMENTS - 100.4% | ||||||
( Cost $26,786,254** ) | 26,555,441 | |||||
NET OTHER ASSETS AND LIABILITIES - (0.4%) | (99,875 | ) | ||||
TOTAL NET ASSETS - 100.0% | $26,455,566 |
* | Non-income producing. |
** | Aggregate cost for Federal tax purposes was $26,815,479. |
(A) | All or a portion of these securities, with an aggregate fair value of $117,079, are on loan as part of a securities lending program. See footnote (C) and Note 10 for details on the securities lending program. |
(B) | 7-day yield. |
(C) | Represents investments of cash collateral received in connection with securities lending. |
ADR | American Depositary Receipt. |
ETF | Exchange Traded Fund. |
GDR | Global Depositary Receipt. |
PLC | Public Limited Company. |
See accompanying Notes to Financial Statements.
50
Ultra Series Fund | December 31, 2021
Target Retirement 2020 Fund Portfolio of Investments |
Shares | Value (Note 2,3) | |||||||
INVESTMENT COMPANIES - 94.9% | ||||||||
Alternative Funds - 2.0% | ||||||||
Invesco Optimum Yield Diversified | ||||||||
Commodity Strategy | 38,200 | $537,092 | ||||||
Bond Funds - 74.9% | ||||||||
iShares MBS ETF (A) | 100,490 | 10,795,641 | ||||||
Schwab Intermediate-Term U.S. | ||||||||
Treasury ETF | 115,246 | 6,469,910 | ||||||
Vanguard Extended Duration | ||||||||
Treasury ETF | 11,575 | 1,620,500 | ||||||
Vanguard Long-Term Corporate | ||||||||
Bond ETF | 12,758 | 1,350,307 | ||||||
20,236,358 | ||||||||
Foreign Stock Funds - 2.9% | ||||||||
iShares MSCI Emerging Markets | ||||||||
Minimum Volatility Factor ETF | 4,239 | 266,294 | ||||||
iShares MSCI Japan Small-Cap ETF | 1,725 | 129,927 | ||||||
iShares MSCI Minimum Volatility | ||||||||
Factor EAFE ETF | 1,731 | 132,889 | ||||||
iShares MSCI Switzerland ETF | 2,524 | 133,090 | ||||||
JPMorgan BetaBuilders Japan ETF | 2,319 | 127,731 | ||||||
789,931 | ||||||||
Stock Funds - 15.1% | ||||||||
Distillate U.S. Fundamental | ||||||||
Stability & Value ETF | 23,316 | 1,079,064 |
Shares | Value (Note 2,3) | |||||||
First Trust Natural Gas ETF | 7,871 | $135,224 | ||||||
Global X Silver Miners ETF | 7,552 | 277,007 | ||||||
iShares MSCI Minimum Volatility | ||||||||
Factor ETF | 3,334 | 269,721 | ||||||
iShares Nasdaq Biotechnology ETF | 1,750 | 267,085 | ||||||
Pacer U.S. Cash Cows 100 ETF | 5,796 | 272,934 | ||||||
VanEck Gold Miners ETF | 8,672 | 277,764 | ||||||
Vanguard Consumer Staples ETF | 692 | 138,317 | ||||||
Vanguard Health Care ETF | 1,007 | 268,285 | ||||||
Vanguard Information Technology ETF | 2,354 | 1,078,532 | ||||||
4,063,933 | ||||||||
TOTAL INVESTMENTS - 94.9% | ||||||||
(Cost $24,810,818** ) | 25,627,314 | |||||||
NET OTHER ASSETS AND LIABILITIES - 5.1% | 1,386,454 | |||||||
TOTAL NET ASSETS - 100.0% | $27,013,768 |
** | Aggregate cost for Federal tax purposes was $24,945,207. |
(A) | Greater than 25% of the portfolio. For more information refer the website https://www.ishares.com/us/products/239465/ ishares-mbsetf. |
EAFE | Europe, Australasia and Far East |
ETF | Exchange Traded Fund. |
See accompanying Notes to Financial Statements.
51
Ultra Series Fund | December 31, 2021
Target Retirement 2030 Fund Portfolio of Investments |
Shares | Value (Note 2,3) | |||||||
INVESTMENT COMPANIES - 94.9% | ||||||||
Alternative Funds - 6.0% | ||||||||
Invesco Optimum Yield Diversified | ||||||||
Commodity Strategy | 302,886 | $4,258,577 | ||||||
Bond Funds - 48.0% | ||||||||
iShares MBS ETF | 119,547 | 12,842,934 | ||||||
Schwab Intermediate-Term U.S. | ||||||||
Treasury ETF | 266,629 | 14,968,552 | ||||||
Vanguard Extended Duration | ||||||||
Treasury ETF | 25,408 | 3,557,120 | ||||||
Vanguard Long-Term Corporate | ||||||||
Bond ETF | 26,881 | 2,845,085 | ||||||
34,213,691 | ||||||||
Foreign Stock Funds - 7.5% | ||||||||
iShares MSCI Emerging Markets | ||||||||
Minimum Volatility Factor ETF | 33,946 | 2,132,488 | ||||||
iShares MSCI Japan Small-Cap ETF | 9,448 | 711,623 | ||||||
iShares MSCI Minimum Volatility | ||||||||
Factor EAFE ETF | 4,637 | 355,983 | ||||||
iShares MSCI Switzerland ETF | 20,241 | 1,067,308 | ||||||
JPMorgan BetaBuilders Japan ETF | 19,387 | 1,067,836 | ||||||
5,335,238 |
Shares | Value (Note 2,3) | |||||||
Stock Funds - 33.4% | ||||||||
Distillate U.S. Fundamental | ||||||||
Stability & Value ETF | 107,842 | $4,990,928 | ||||||
First Trust Natural Gas ETF | 83,212 | 1,429,582 | ||||||
Global X Silver Miners ETF | 19,552 | 717,167 | ||||||
iShares Edge MSCI Minimum | ||||||||
Volatility USA ETF | 26,435 | 2,138,592 | ||||||
iShares Nasdaq Biotechnology ETF | 9,250 | 1,411,735 | ||||||
Pacer U.S. Cash Cows 100 ETF | 30,271 | 1,425,461 | ||||||
VanEck Gold Miners ETF | 56,130 | 1,797,844 | ||||||
Vanguard Consumer Staples ETF | 3,591 | 717,769 | ||||||
Vanguard Health Care ETF | 5,322 | 1,417,887 | ||||||
Vanguard Information Technology ETF | 17,073 | 7,822,337 | ||||||
23,869,302 | ||||||||
TOTAL INVESTMENTS - 94.9% | ||||||||
(Cost $61,506,133** ) | 67,676,808 | |||||||
NET OTHER ASSETS AND LIABILITIES - 5.1% | 3,651,252 | |||||||
TOTAL NET ASSETS - 100.0% | $71,328,060 |
** | Aggregate cost for Federal tax purposes was $62,479,200. |
EAFE | Europe, Australasia and Far East |
ETF | Exchange Traded Fund. |
See accompanying Notes to Financial Statements.
52
Ultra Series Fund | December 31, 2021
Target Retirement 2040 Fund Portfolio of Investments |
Shares | Value (Note 2,3) | |||||||
INVESTMENT COMPANIES - 94.8% | ||||||||
Alternative Funds - 8.0% | ||||||||
Invesco Optimum Yield Diversified | ||||||||
Commodity Strategy | 233,428 | $3,281,998 | ||||||
Bond Funds - 33.9% | ||||||||
iShares MBS ETF | 30,510 | 3,277,689 | ||||||
Schwab Intermediate-Term U.S. | ||||||||
Treasury ETF | 131,315 | 7,372,024 | ||||||
Vanguard Extended Duration | ||||||||
Treasury ETF | 11,676 | 1,634,640 | ||||||
Vanguard Long-Term Corporate | ||||||||
Bond ETF | 15,433 | 1,633,429 | ||||||
13,917,782 | ||||||||
Foreign Stock Funds - 10.0% | ||||||||
iShares MSCI Emerging Markets | ||||||||
Minimum Volatility Factor ETF | 22,760 | 1,429,783 | ||||||
iShares MSCI Japan Small-Cap ETF | 8,137 | 612,879 | ||||||
iShares MSCI Minimum Volatility | ||||||||
Factor EAFE ETF | 2,662 | 204,362 | ||||||
iShares MSCI Switzerland ETF | 19,374 | 1,021,591 | ||||||
JPMorgan BetaBuilders Japan ETF | 14,840 | 817,387 | ||||||
4,086,002 |
Shares | Value (Note 2,3) | |||||||
Stock Funds - 42.9% | ||||||||
Distillate U.S. Fundamental Stability & Value ETF | 79,489 | $3,678,751 | ||||||
First Trust Natural Gas ETF | 59,739 | 1,026,316 | ||||||
Global X Silver Miners ETF | 16,808 | 616,517 | ||||||
iShares MSCI Minimum Volatility Factor ETF | 25,238 | 2,041,754 | ||||||
iShares Nasdaq Biotechnology ETF | 6,672 | 1,018,281 | ||||||
Pacer U.S. Cash Cows 100 ETF | 21,631 | 1,018,604 | ||||||
VanEck Gold Miners ETF | 44,928 | 1,439,044 | ||||||
Vanguard Consumer Staples ETF | 2,051 | 409,954 | ||||||
Vanguard Health Care ETF | 3,825 | 1,019,056 | ||||||
Vanguard Information Technology ETF | 11,594 | 5,312,023 | ||||||
17,580,300 | ||||||||
TOTAL INVESTMENTS - 94.8% | ||||||||
(Cost $34,730,043 ) | 38,866,082 | |||||||
NET OTHER ASSETS AND LIABILITIES - 5.2% | 2,118,315 | |||||||
TOTAL NET ASSETS - 100.0% | $40,984,397 |
** | Aggregate cost for Federal tax purposes was $35,169,730. |
EAFE | Europe, Australasia and Far East |
ETF | Exchange Traded Fund. |
See accompanying Notes to Financial Statements.
53
Ultra Series Fund | December 31, 2021
Target Retirement 2050 Fund Portfolio of Investments |
Shares | Value (Note 2,3) | |||||||
INVESTMENT COMPANIES - 94.7% | ||||||||
Alternative Funds - 9.0% | ||||||||
Invesco Optimum Yield Diversified | ||||||||
Commodity Strategy | 219,459 | $3,085,594 | ||||||
Bond Funds - 23.9% | ||||||||
iShares MBS ETF | 6,426 | 690,345 | ||||||
Schwab Intermediate-Term U.S. | ||||||||
Treasury ETF | 91,327 | 5,127,098 | ||||||
Vanguard Extended Duration | ||||||||
Treasury ETF | 7,318 | 1,024,520 | ||||||
Vanguard Long-Term Corporate | ||||||||
Bond ETF | 12,897 | 1,365,018 | ||||||
8,206,981 | ||||||||
Foreign Stock Funds - 11.9% | ||||||||
iShares MSCI Emerging Markets | ||||||||
Minimum Volatility Factor ETF | 21,738 | 1,365,581 | ||||||
iShares MSCI Japan Small-Cap ETF | 9,066 | 682,851 | ||||||
iShares MSCI Minimum Volatility | ||||||||
Factor EAFE ETF | 4,449 | 341,550 | ||||||
iShares MSCI Switzerland ETF | 19,353 | 1,020,484 | ||||||
JPMorgan BetaBuilders Japan ETF | 12,402 | 683,102 | ||||||
4,093,568 |
Shares | Value (Note 2,3) | |||||||
Stock Funds - 49.9% | ||||||||
Distillate U.S. Fundamental Stability & Value ETF | 73,810 | $3,415,927 | ||||||
First Trust Natural Gas ETF | 59,909 | 1,029,237 | ||||||
Global X Silver Miners ETF | 18,671 | 684,852 | ||||||
iShares MSCI Minimum Volatility Factor ETF | 25,310 | 2,047,579 | ||||||
iShares Nasdaq Biotechnology ETF | 6,691 | 1,021,180 | ||||||
Pacer U.S. Cash Cows 100 ETF | 21,712 | 1,022,418 | ||||||
VanEck Gold Miners ETF | 43,125 | 1,381,294 | ||||||
Vanguard Consumer Staples ETF | 1,716 | 342,994 | ||||||
Vanguard Health Care ETF | 3,815 | 1,016,392 | ||||||
Vanguard Information Technology ETF | 11,195 | 5,129,213 | ||||||
17,091,086 | ||||||||
TOTAL INVESTMENTS - 94.7% | ||||||||
(Cost $28,847,468**) | 32,477,229 | |||||||
NET OTHER ASSETS AND LIABILITIES - 5.3% | 1,806,244 | |||||||
TOTAL NET ASSETS - 100.0% | $34,283,473 |
** | Aggregate cost for Federal tax purposes was $29,264,271. |
EAFE | Europe, Australasia and Far East |
ETF | Exchange Traded Fund. |
See accompanying Notes to Financial Statements.
54
Ultra Series Fund | December 31, 2021
Statements of Assets and Liabilities as of December 31, 2021 |
Conservative | Moderate | Aggressive | Core | High | Diversified | Large Cap | ||||||||||||||||||||||
Allocation | Allocation | Allocation | Bond | Income | Income | Value | ||||||||||||||||||||||
Fund | Fund | Fund | Fund | Fund | Fund | Fund | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||
Investments in unaffiliated | ||||||||||||||||||||||||||||
securities, at fair value†§ | $ | 96,376,684 | $ | 100,977,412 | $ | 37,869,551 | $ | 104,617,022 | $ | 17,061,347 | $ | 230,161,208 | $ | 242,487,708 | ||||||||||||||
Investments in affiliated | ||||||||||||||||||||||||||||
securities, at fair value‡1 | 56,088,878 | 63,561,236 | 18,169,390 | – | – | – | – | |||||||||||||||||||||
Cash | – | – | – | 443,509 | – | – | – | |||||||||||||||||||||
Receivables: | ||||||||||||||||||||||||||||
Fund shares sold | 34,632 | 53,427 | 58,448 | 16,639 | 2,487 | 32,560 | 24,233 | |||||||||||||||||||||
Dividends and Interest | 1,889 | 5,054 | 2,630 | 599,215 | 193,708 | 666,896 | 391,921 | |||||||||||||||||||||
Due from Adviser | 12,871 | 13,742 | 4,459 | – | – | – | – | |||||||||||||||||||||
Total assets | 152,514,954 | 164,610,871 | 56,104,478 | 105,676,385 | 17,257,542 | 230,860,664 | 242,903,862 | |||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Payables: | ||||||||||||||||||||||||||||
Fund shares repurchased | 5,093 | 1,516 | 768 | 3,011 | 1,116 | 13,967 | 19,739 | |||||||||||||||||||||
Upon return of securities | ||||||||||||||||||||||||||||
loaned | 629,006 | 1,740,951 | 2,713,481 | 476,055 | 808,955 | 148,268 | – | |||||||||||||||||||||
Advisory agreement fees | 38,613 | 41,230 | 13,376 | 49,430 | 10,391 | 133,659 | 120,408 | |||||||||||||||||||||
Audit fees | 9,860 | 10,946 | 3,424 | 6,880 | 1,064 | 13,675 | 13,829 | |||||||||||||||||||||
Distribution fees - Class II | 3,732 | 3,437 | 167 | 4,270 | 715 | 6,164 | 654 | |||||||||||||||||||||
Total liabilities | 686,304 | 1,798,080 | 2,731,216 | 539,646 | 822,241 | 315,733 | 154,630 | |||||||||||||||||||||
Net assets | $ | 151,828,650 | $ | 162,812,791 | $ | 53,373,262 | $ | 105,136,739 | $ | 16,435,301 | $ | 230,544,931 | $ | 242,749,232 | ||||||||||||||
Net assets consist of: | ||||||||||||||||||||||||||||
Paid-in capital in excess of par | $ | 138,370,445 | $ | 132,925,437 | $ | 41,681,315 | $ | 100,118,265 | $ | 18,468,700 | $ | 161,164,460 | $ | 172,543,723 | ||||||||||||||
Accumulated distributable | ||||||||||||||||||||||||||||
earnings (loss) | 13,458,205 | 29,887,354 | 11,691,947 | 5,018,474 | (2,033,399 | ) | 69,380,471 | 70,205,509 | ||||||||||||||||||||
Net Assets | $ | 151,828,650 | $ | 162,812,791 | $ | 53,373,262 | $ | 105,136,739 | $ | 16,435,301 | $ | 230,544,931 | $ | 242,749,232 | ||||||||||||||
Class I Shares: | ||||||||||||||||||||||||||||
Net Assets | $ | 134,456,100 | $ | 146,647,005 | $ | 52,574,015 | $ | 85,757,746 | $ | 13,032,337 | $ | 200,805,876 | $ | 239,621,327 | ||||||||||||||
Shares of beneficial interest | ||||||||||||||||||||||||||||
outstanding | 12,934,685 | 14,248,724 | 5,787,213 | 8,800,635 | 1,584,667 | 10,220,938 | 8,766,242 | |||||||||||||||||||||
Net Asset Value and | ||||||||||||||||||||||||||||
redemption price per share | $ | 10.40 | $ | 10.29 | $ | 9.08 | $ | 9.74 | $ | 8.22 | $ | 19.65 | $ | 27.33 | ||||||||||||||
Class II Shares: | ||||||||||||||||||||||||||||
Net Assets | $ | 17,372,550 | $ | 16,165,786 | $ | 799,247 | $ | 19,378,993 | $ | 3,402,964 | $ | 29,739,055 | $ | 3,127,905 | ||||||||||||||
Shares of beneficial interest | ||||||||||||||||||||||||||||
outstanding | 1,666,528 | 1,568,283 | 88,221 | 2,000,418 | 413,876 | 1,533,772 | 116,390 | |||||||||||||||||||||
Net Asset Value and | ||||||||||||||||||||||||||||
redemption price per share | $ | 10.42 | $ | 10.31 | $ | 9.06 | $ | 9.69 | $ | 8.22 | $ | 19.39 | $ | 26.87 | ||||||||||||||
† Cost of Investments in unaffiliated | ||||||||||||||||||||||||||||
securities | $ | 93,302,354 | $ | 94,880,781 | $ | 35,371,112 | $ | 100,247,389 | $ | 16,833,965 | $ | 164,535,371 | $ | 175,238,526 | ||||||||||||||
‡ Cost of investments in affiliated | ||||||||||||||||||||||||||||
securities | $ | 49,281,793 | $ | 48,281,897 | $ | 12,470,814 | $ | – | $ | – | $ | – | $ | – | ||||||||||||||
§ Fair Value of securities on loan | $ | 6,950,466 | $ | 5,443,637 | $ | 2,724,418 | $ | 470,702 | $ | 793,151 | $ | 145,202 | $ | – |
1 See Note 12 for information on affiliated issuers.
See accompanying Notes to Financial Statements.
55
Ultra Series Fund | December 31, 2021
Statements of Assets and Liabilities as of December 31, 2021 |
Madison | Madison | Madison | Madison | |||||||||||||||||||||||||
Large Cap | International | Target | Target | Target | Target | |||||||||||||||||||||||
Growth | Mid Cap | Stock | Retirement | Retirement | Retirement | Retirement | ||||||||||||||||||||||
Fund | Fund | Fund | 2020 Fund | 2030 Fund | 2040 Fund | 2050 Fund | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||
Investments in unaffiliated | ||||||||||||||||||||||||||||
securities, at fair value†§ | $ | 231,587,701 | $ | 182,965,302 | $ | 26,555,441 | $ | 25,627,314 | $ | 67,676,808 | $ | 38,866,082 | $ | 32,477,229 | ||||||||||||||
Cash | 17,207 | 10,705 | – | 1,455,669 | 4,670,269 | 2,597,198 | 1,985,466 | |||||||||||||||||||||
Foreign currency (cost of $52) | ||||||||||||||||||||||||||||
(Note 2) | – | – | 53 | – | – | – | – | |||||||||||||||||||||
Receivables: | ||||||||||||||||||||||||||||
Investments sold | – | – | – | 319,929 | 4,006,084 | 467,237 | 656,623 | |||||||||||||||||||||
Fund shares sold | 23,207 | 4,014 | 6,481 | 42,300 | 91,576 | 72,874 | 97,228 | |||||||||||||||||||||
Dividends and Interest | 362,469 | 105,548 | 114,998 | 3,068 | 7,753 | 6,830 | 7,276 | |||||||||||||||||||||
Total assets | 231,990,584 | 183,085,569 | 26,676,973 | 27,448,280 | 76,452,490 | 42,010,221 | 35,223,822 | |||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Payables: | ||||||||||||||||||||||||||||
Investments purchased | – | – | 67,955 | 427,664 | 5,106,646 | 1,015,562 | 931,769 | |||||||||||||||||||||
Fund shares repurchased | 11,513 | 14,435 | 415 | – | – | – | – | |||||||||||||||||||||
Upon return of securities loaned | 3,497,490 | – | 124,454 | – | – | – | – | |||||||||||||||||||||
Advisory agreement fees | 150,864 | 135,126 | 25,293 | 5,707 | 14,820 | 8,552 | 7,150 | |||||||||||||||||||||
Administrative services agreement | ||||||||||||||||||||||||||||
fees | – | – | – | 1,141 | 2,964 | 1,710 | 1,430 | |||||||||||||||||||||
Audit fees | 13,136 | 10,506 | 1,815 | – | – | – | – | |||||||||||||||||||||
Distribution fees - Class II | 3,045 | 1,337 | 1,475 | – | – | – | – | |||||||||||||||||||||
Total liabilities | 3,676,048 | 161,404 | 221,407 | 434,512 | 5,124,430 | 1,025,824 | 940,349 | |||||||||||||||||||||
Net assets | $ | 228,314,536 | $ | 182,924,165 | $ | 26,455,566 | $ | 27,013,768 | $ | 71,328,060 | $ | 40,984,397 | $ | 34,283,473 | ||||||||||||||
Net assets consist of: | ||||||||||||||||||||||||||||
Paid-in capital in excess of par | $ | 125,883,888 | $ | 81,830,100 | $ | 26,509,515 | $ | 26,050,259 | $ | 64,781,657 | $ | 36,357,928 | $ | 30,289,888 | ||||||||||||||
Accumulated distributable | �� | |||||||||||||||||||||||||||
earnings (loss) | 102,430,648 | 101,094,065 | (53,949 | ) | 963,509 | 6,546,403 | 4,626,469 | 3,993,585 | ||||||||||||||||||||
Net Assets | $ | 228,314,536 | $ | 182,924,165 | $ | 26,455,566 | $ | 27,013,768 | $ | 71,328,060 | $ | 40,984,397 | $ | 34,283,473 | ||||||||||||||
Class I Shares: | ||||||||||||||||||||||||||||
Net Assets | $ | 213,647,663 | $ | 176,436,708 | $ | 19,329,705 | $ | 27,013,768 | $ | 71,328,060 | $ | 40,984,397 | $ | 34,283,473 | ||||||||||||||
Shares of beneficial interest | ||||||||||||||||||||||||||||
outstanding | 9,122,127 | 8,825,446 | 1,668,244 | 3,553,529 | 8,752,280 | 5,468,820 | 2,595,601 | |||||||||||||||||||||
Net Asset Value and redemption | ||||||||||||||||||||||||||||
price per share | $ | 23.42 | $ | 19.99 | $ | 11.59 | $ | 7.60 | $ | 8.15 | $ | 7.49 | $ | 13.21 | ||||||||||||||
Class II Shares: | ||||||||||||||||||||||||||||
Net Assets | $ | 14,666,873 | $ | 6,487,457 | $ | 7,125,860 | ||||||||||||||||||||||
Shares of beneficial interest | ||||||||||||||||||||||||||||
outstanding | 645,170 | 340,734 | 619,830 | |||||||||||||||||||||||||
Net Asset Value and redemption | ||||||||||||||||||||||||||||
price per share | $ | 22.73 | $ | 19.04 | $ | 11.50 | ||||||||||||||||||||||
† Cost of Investments in unaffiliated | ||||||||||||||||||||||||||||
securities | $ | 131,636,543 | $ | 85,681,531 | $ | 26,786,254 | $ | 24,810,818 | $ | 61,506,133 | $ | 34,730,043 | $ | 28,847,468 | ||||||||||||||
§ Fair Value of securities | ||||||||||||||||||||||||||||
on loan | $ | 7,401,842 | $ | – | $ | 117,079 | $ | – | $ | – | $ | – | $ | – |
See accompanying Notes to Financial Statements.
56
Ultra Series Fund | December 31, 2021
Statements of Operations for the Year Ended December 31, 2021 |
Conservative | Moderate | Aggressive | Core | High | Diversified | Large Cap | ||||||||||||||||||||||
Allocation | Allocation | Allocation | Bond | Income | Income | Value | ||||||||||||||||||||||
Fund | Fund | Fund | Fund | Fund | Fund | Fund | ||||||||||||||||||||||
Investment Income: | ||||||||||||||||||||||||||||
Interest | $ | 1,151 | $ | 1,499 | $ | 624 | $ | 2,793,987 | $ | 809,167 | $ | 1,495,604 | $ | 1,031 | ||||||||||||||
Dividends | ||||||||||||||||||||||||||||
Unaffiliated issuers | 2,671,364 | 3,626,712 | 1,389,825 | – | 20,634 | 3,857,842 | 5,635,067 | |||||||||||||||||||||
Affiliated issuers1 | 862,240 | 839,038 | 213,015 | – | – | – | – | |||||||||||||||||||||
Less: Foreign taxes withheld/ | ||||||||||||||||||||||||||||
reclaimed | – | – | – | – | – | 1,616 | (10,155 | ) | ||||||||||||||||||||
Income from securities lending | 43,031 | 55,529 | 28,671 | 2,167 | 4,264 | 1,168 | – | |||||||||||||||||||||
Total investment income | 3,577,786 | 4,522,778 | 1,632,135 | 2,796,154 | 834,065 | 5,356,230 | 5,625,943 | |||||||||||||||||||||
Expenses:2 | ||||||||||||||||||||||||||||
Advisory agreement fees | 474,773 | 522,407 | 165,704 | 605,392 | 127,291 | 1,589,510 | 1,406,842 | |||||||||||||||||||||
Audit fees | 20,130 | 22,347 | 6,990 | 14,045 | 2,173 | 27,921 | 28,236 | |||||||||||||||||||||
Trustee fees | 8,226 | 9,133 | 2,856 | 5,740 | 888 | 11,410 | 11,538 | |||||||||||||||||||||
Distribution fees - Class II | 46,301 | 42,398 | 2,130 | 54,272 | 8,772 | 73,878 | 8,139 | |||||||||||||||||||||
Other expenses | 4,053 | 4,328 | 1,404 | 2,835 | 439 | 6,068 | 6,327 | |||||||||||||||||||||
Total expenses before | ||||||||||||||||||||||||||||
reimbursement/waiver | 553,483 | 600,613 | 179,084 | 682,284 | 139,563 | 1,708,787 | 1,461,082 | |||||||||||||||||||||
Less reimbursement/waiver2 | (158,257 | ) | (174,136 | ) | (55,235 | ) | – | – | – | – | ||||||||||||||||||
Total expenses net of | ||||||||||||||||||||||||||||
reimbursement/ waiver | 395,226 | 426,477 | 123,849 | 682,284 | 139,563 | 1,708,787 | 1,461,082 | |||||||||||||||||||||
Net Investment Income | 3,182,560 | 4,096,301 | 1,508,286 | 2,113,870 | 694,502 | 3,647,443 | 4,164,861 | |||||||||||||||||||||
Net Realized and Unrealized Gain (loss) on Investments | ||||||||||||||||||||||||||||
Net realized gain (loss) on investments | ||||||||||||||||||||||||||||
(including net realized gain (loss) on | ||||||||||||||||||||||||||||
foreign currency related transactions) | ||||||||||||||||||||||||||||
Options purchased | – | – | – | (8,498 | ) | – | – | – | ||||||||||||||||||||
Options written | – | – | – | 2,753 | – | – | – | |||||||||||||||||||||
Unaffiliated issuers | 2,200,924 | 6,057,472 | 2,883,979 | 2,115,988 | 248,350 | 26,719,335 | 26,297,754 | |||||||||||||||||||||
Affiliated issuers1 | 1,063,646 | 3,562,517 | 1,153,896 | – | – | – | – | |||||||||||||||||||||
Capital gain distributions received from underlying funds | ||||||||||||||||||||||||||||
Unaffiliated issuers | 41,069 | 23,930 | 3,825 | – | – | – | – | |||||||||||||||||||||
Affiliated issuers1 | 1,572,281 | 2,960,315 | 1,120,991 | – | – | – | – | |||||||||||||||||||||
Net change in unrealized appreciation | ||||||||||||||||||||||||||||
(depreciation) on investments | ||||||||||||||||||||||||||||
(including net unrealized appreciation | ||||||||||||||||||||||||||||
(depreciation) on foreign currency | ||||||||||||||||||||||||||||
related transactions) | ||||||||||||||||||||||||||||
Unaffiliated issuers | (2,078,918 | ) | (4,780,964 | ) | (1,893,142 | ) | (6,106,937 | ) | (240,000 | ) | 1,104,775 | 16,523,360 | ||||||||||||||||
Affiliated Issuers1 | (510,203 | ) | 469,563 | 549,639 | – | – | – | – | ||||||||||||||||||||
Net Realized and Unrealized Gain | ||||||||||||||||||||||||||||
(Loss) on Investments | 2,288,799 | 8,292,833 | 3,819,188 | (3,996,694 | ) | 8,350 | 27,824,110 | 42,821,114 | ||||||||||||||||||||
Net Increase (Decrease) in Net | ||||||||||||||||||||||||||||
Assets from Operations | $ | 5,471,359 | $ | 12,389,134 | $ | 5,327,474 | $ | (1,882,824 | ) | $ | 702,852 | $ | 31,471,553 | $ | 46,985,975 |
1 See Note 12 for information on affiliated issuers.
2 See Note 4 for information on expense, including any waivers.
See accompanying Notes to Financial Statements.
57
Ultra Series Fund | December 31, 2021
Statements of Operations for the Year Ended December 31, 2021 |
Madison | Madison | Madison | Madison | |||||||||||||||||||||||||
Large Cap | International | Target | Target | Target | Target | |||||||||||||||||||||||
Growth | Mid Cap | Stock | Retirement | Retirement | Retirement | Retirement | ||||||||||||||||||||||
Fund | Fund | Fund | 2020 Fund | 2030 Fund | 2040 Fund | 2050 Fund | ||||||||||||||||||||||
Investment Income: | ||||||||||||||||||||||||||||
Interest | $ | 1,386 | $ | 2,449 | $ | 550 | $ | – | $ | – | $ | – | $ | – | ||||||||||||||
Dividends | 2,779,319 | 1,748,910 | 665,787 | 554,408 | 2,640,210 | 1,685,349 | 1,523,659 | |||||||||||||||||||||
Less: Foreign taxes withheld/ | ||||||||||||||||||||||||||||
reclaimed | (64,021 | ) | (14,274 | ) | (46,750 | ) | – | – | – | – | ||||||||||||||||||
Income from securities lending | 986 | 665 | 1,889 | – | – | – | – | |||||||||||||||||||||
Total investment income | 2,717,670 | 1,737,750 | 621,476 | 554,408 | 2,640,210 | 1,685,349 | 1,523,659 | |||||||||||||||||||||
Expenses:1 | ||||||||||||||||||||||||||||
Advisory agreement fees | 1,776,202 | 1,593,772 | 326,318 | 75,220 | 178,402 | 104,845 | 82,019 | |||||||||||||||||||||
Administrative services agreement | ||||||||||||||||||||||||||||
fees | – | – | – | 15,044 | 35,681 | 20,969 | 16,404 | |||||||||||||||||||||
Audit fees | 26,820 | 21,450 | 3,705 | – | – | – | – | |||||||||||||||||||||
Trustee fees | 10,960 | 8,766 | 1,514 | 1,701 | 3,626 | 2,145 | 1,595 | |||||||||||||||||||||
Distribution fees - Class II | 37,779 | 16,573 | 19,557 | – | – | – | – | |||||||||||||||||||||
Other expenses | 5,930 | 4,737 | 694 | 36 | 78 | 46 | 33 | |||||||||||||||||||||
Total expenses | 1,857,691 | 1,645,298 | 351,788 | 92,001 | 217,787 | 128,005 | 100,051 | |||||||||||||||||||||
Net Investment Income | 859,979 | 92,452 | 269,688 | 462,407 | 2,422,423 | 1,557,344 | 1,423,608 | |||||||||||||||||||||
Net Realized and Unrealized Gain (loss) on Investments | ||||||||||||||||||||||||||||
Net realized gain (loss) on investments | ||||||||||||||||||||||||||||
(including net realized gain (loss) on | ||||||||||||||||||||||||||||
foreign currency related transactions) | ||||||||||||||||||||||||||||
Unaffiliated issuers | 21,865,047 | 21,936,301 | 6,516,688 | 1,140,338 | 3,284,607 | 2,585,720 | 1,639,423 | |||||||||||||||||||||
Net change in unrealized appreciation | ||||||||||||||||||||||||||||
(depreciation) on investments | ||||||||||||||||||||||||||||
(including net unrealized appreciation | ||||||||||||||||||||||||||||
(depreciation) on foreign currency | ||||||||||||||||||||||||||||
related transactions) | ||||||||||||||||||||||||||||
Unaffiliated issuers | 23,093,108 | 19,450,897 | (7,147,999 | ) | (1,220,918 | ) | (750,904 | ) | (590,633 | ) | 49,375 | |||||||||||||||||
Net Realized and Unrealized Gain | ||||||||||||||||||||||||||||
(Loss) on Investments | 44,958,155 | 41,387,198 | (631,311 | ) | (80,580 | ) | 2,533,703 | 1,995,087 | 1,688,798 | |||||||||||||||||||
Net Increase (Decrease) in Net | ||||||||||||||||||||||||||||
Assets from Operations | $ | 45,818,134 | $ | 41,479,650 | $ | (361,623 | ) | $ | 381,827 | $ | 4,956,126 | $ | 3,552,431 | $ | 3,112,406 |
1 See Note 4 for information on expense.
See accompanying Notes to Financial Statements.
58
Ultra Series Fund | December 31, 2021
Statements of Changes in Net Assets |
Conservative Allocation Fund | Moderate Allocation Fund | |||||||||||||||
Year Ended December 31, | 2021 | 2020 | 2021 | 2020 | ||||||||||||
Net Assets at beginning of period | $ | 165,422,761 | $ | 130,995,821 | $ | 179,989,672 | $ | 189,854,850 | ||||||||
Increase (decrease) in net assets from operations: | ||||||||||||||||
Net investment income | 3,182,560 | 1,945,869 | 4,096,301 | 2,308,092 | ||||||||||||
Net realized gain | 4,877,920 | 6,684,949 | 12,604,234 | 11,284,289 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (2,589,121 | ) | 3,093,223 | (4,311,401 | ) | 3,045,547 | ||||||||||
Net increase (decrease) in net assets from operations | 5,471,359 | 11,724,041 | 12,389,134 | 16,637,928 | ||||||||||||
Distributions to shareholders from: | ||||||||||||||||
Accumulated earnings (combined net investment income and net realized gains): | ||||||||||||||||
Class I | (3,855,911 | ) | (8,061,564 | ) | (7,311,404 | ) | (12,984,705 | ) | ||||||||
Class II | (454,959 | ) | (1,068,491 | ) | (766,503 | ) | (1,444,763 | ) | ||||||||
Return of capital | – | (1,905,258 | ) | – | (5,552,711 | ) | ||||||||||
Total distributions | (4,310,870 | ) | (11,035,313 | ) | (8,077,907 | ) | (19,982,179 | ) | ||||||||
Capital Stock transactions: | ||||||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 4,651,695 | 46,191,515 | 5,690,666 | 6,043,791 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 3,855,911 | 9,783,820 | 7,311,404 | 18,033,122 | ||||||||||||
Shares redeemed | (21,076,802 | ) | (19,113,313 | ) | (32,209,422 | ) | (30,150,980 | ) | ||||||||
Net increase (decrease) from capital stock transactions | (12,569,196 | ) | 36,862,022 | (19,207,352 | ) | (6,074,067 | ) | |||||||||
Class II Shares | ||||||||||||||||
Shares sold | 968,034 | 585,685 | 914,475 | 442,855 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 454,959 | 1,251,493 | 766,503 | 1,949,057 | ||||||||||||
Shares redeemed | (3,608,397 | ) | (4,960,988 | ) | (3,961,734 | ) | (2,838,772 | ) | ||||||||
Net decrease from capital stock transactions | (2,185,404 | ) | (3,123,810 | ) | (2,280,756 | ) | (446,860 | ) | ||||||||
Total increase (decrease) from capital stock transactions | (14,754,600 | ) | 33,738,212 | (21,488,108 | ) | (6,520,927 | ) | |||||||||
Total increase (decrease) in net assets | (13,594,111 | ) | 34,426,940 | (17,176,881 | ) | (9,865,178 | ) | |||||||||
Net Assets at end of period | $ | 151,828,650 | $ | 165,422,761 | $ | 162,812,791 | $ | 179,989,672 | ||||||||
Capital Share transactions: | ||||||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 443,800 | 4,235,789 | 547,107 | 583,269 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 371,082 | 948,316 | 710,445 | 1,790,635 | ||||||||||||
Shares redeemed | (2,013,389 | ) | (1,816,927 | ) | (3,065,226 | ) | (2,906,367 | ) | ||||||||
Net increase (decrease) from capital shares transactions | (1,198,507 | ) | 3,367,178 | (1,807,674 | ) | (532,463 | ) | |||||||||
Class II Shares | ||||||||||||||||
Shares sold | 92,205 | 59,489 | 87,853 | 44,465 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 43,660 | 120,975 | 74,365 | 193,249 | ||||||||||||
Shares redeemed | (342,571 | ) | (475,294 | ) | (380,475 | ) | (272,965 | ) | ||||||||
Net decrease from capital shares trasactions | (206,706 | ) | (294,830 | ) | (218,257 | ) | (35,251 | ) |
See accompanying Notes to Financial Statements.
59
Ultra Series Fund | December 31, 2021
Statements of Changes in Net Assets - continued |
Aggressive Allocation Fund | Core Bond Fund | |||||||||||||||
Year Ended December 31, | 2021 | 2020 | 2021 | 2020 | ||||||||||||
Net Assets at beginning of period | $ | 55,567,094 | $ | 62,398,638 | $ | 116,192,174 | $ | 122,533,850 | ||||||||
Increase (decrease) in net assets from operations: | ||||||||||||||||
Net investment income | 1,508,286 | 634,435 | 2,113,870 | 2,629,604 | ||||||||||||
Net realized gain | 5,162,691 | 3,478,534 | 2,110,243 | 2,570,295 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (1,343,503 | ) | 783,313 | (6,106,937 | ) | 5,133,873 | ||||||||||
Net increase (decrease) in net assets from operations | 5,327,474 | 4,896,282 | (1,882,824 | ) | 10,333,772 | |||||||||||
Distributions to shareholders from: | ||||||||||||||||
Accumulated earnings (combined net investment income and net realized gains): | ||||||||||||||||
Class I | (3,083,845 | ) | (4,388,799 | ) | (3,344,296 | ) | (4,088,653 | ) | ||||||||
Class II | (45,139 | ) | (88,439 | ) | (753,413 | ) | (1,011,953 | ) | ||||||||
Return of capital | – | (2,445,604 | ) | – | – | |||||||||||
Total distributions | (3,128,984 | ) | (6,922,842 | ) | (4,097,709 | ) | (5,100,606 | ) | ||||||||
Capital Stock transactions: | ||||||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 4,385,779 | 4,342,614 | 5,430,772 | 4,851,949 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 3,083,845 | 6,789,524 | 3,344,295 | 4,088,653 | ||||||||||||
Shares redeemed | (11,528,528 | ) | (15,833,495 | ) | (10,696,160 | ) | (16,261,381 | ) | ||||||||
Net increase (decrease) from capital stock transactions | (4,058,904 | ) | (4,701,357 | ) | (1,921,093 | ) | (7,320,779 | ) | ||||||||
Class II Shares | ||||||||||||||||
Shares sold | 21,994 | 64,245 | 1,006,562 | 346,728 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 45,139 | 133,318 | 753,413 | 1,011,953 | ||||||||||||
Shares redeemed | (400,551 | ) | (301,190 | ) | (4,913,784 | ) | (5,612,744 | ) | ||||||||
Net decrease from capital stock transactions | (333,418 | ) | (103,627 | ) | (3,153,809 | ) | (4,254,063 | ) | ||||||||
Total increase (decrease) from capital stock transactions | (4,392,322 | ) | (4,804,984 | ) | (5,074,902 | ) | (11,574,842 | ) | ||||||||
Total increase (decrease) in net assets | (2,193,832 | ) | (6,831,544 | ) | (11,055,435 | ) | (6,341,676 | ) | ||||||||
Net Assets at end of period | $ | 53,373,262 | $ | 55,567,094 | $ | 105,136,739 | $ | 116,192,174 | ||||||||
Capital Share transactions: | ||||||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 477,028 | 481,026 | 539,100 | 471,492 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 339,380 | 777,102 | 341,425 | 398,126 | ||||||||||||
Shares redeemed | (1,247,830 | ) | (1,763,678 | ) | (1,059,543 | ) | (1,568,063 | ) | ||||||||
Net increase (decrease) from capital shares transactions | (431,422 | ) | (505,550 | ) | (179,018 | ) | (698,445 | ) | ||||||||
Class II Shares | ||||||||||||||||
Shares sold | 2,471 | 8,270 | 100,504 | 33,611 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 4,981 | 15,296 | 77,332 | 99,004 | ||||||||||||
Shares redeemed | (44,543 | ) | (38,658 | ) | (491,154 | ) | (546,940 | ) | ||||||||
Net decrease from capital shares trasactions | (37,091 | ) | (15,092 | ) | (313,318 | ) | (414,325 | ) |
See accompanying Notes to Financial Statements.
60
Ultra Series Fund | December 31, 2021
Statements of Changes in Net Assets - continued |
High Income Fund | Diversified Income Fund | |||||||||||||||
Year Ended December 31, | 2021 | 2020 | 2021 | 2020 | ||||||||||||
Net Assets at beginning of period $ | $ | 17,681,974 | $ | 19,839,129 | $ | 224,564,622 | $ | 240,580,948 | ||||||||
Increase (decrease) in net assets from operations: | ||||||||||||||||
Net investment income | 694,502 | 850,580 | 3,647,443 | 4,371,142 | ||||||||||||
Net realized gain (loss) | 248,350 | (408,086 | ) | 26,719,335 | 7,922,195 | |||||||||||
Net change in unrealized appreciation (depreciation) | (240,000 | ) | 480,879 | 1,104,775 | 2,978,973 | |||||||||||
Net increase (decrease) in net assets from operations | 702,852 | 923,373 | 31,471,553 | 15,272,310 | ||||||||||||
Distributions to shareholders from: | ||||||||||||||||
Accumulated earnings (combined net investment income and net realized gains): | ||||||||||||||||
Class I | (559,966 | ) | (684,346 | ) | (24,780,441 | ) | (10,536,109 | ) | ||||||||
Class II | (141,047 | ) | (172,973 | ) | (3,683,783 | ) | (1,531,595 | ) | ||||||||
Total distributions | (701,013 | ) | (857,319 | ) | (28,464,224 | ) | (12,067,704 | ) | ||||||||
Capital Stock transactions: | ||||||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 250,792 | 134,222 | 3,322,993 | 5,201,696 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 559,966 | 684,346 | 24,780,441 | 10,536,109 | ||||||||||||
Shares redeemed | (1,771,751 | ) | (2,547,534 | ) | (25,409,972 | ) | (29,851,046 | ) | ||||||||
Net increase (decrease) from capital stock transactions | (960,993 | ) | (1,728,966 | ) | 2,693,462 | (14,113,241 | ) | |||||||||
Class II Shares | ||||||||||||||||
Shares sold | 151,978 | 97,374 | 352,083 | 335,127 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 141,047 | 172,973 | 3,683,783 | 1,531,595 | ||||||||||||
Shares redeemed | (580,544 | ) | (764,590 | ) | (3,756,348 | ) | (6,974,413 | ) | ||||||||
Net increase (decrease) from capital stock transactions | (287,519 | ) | (494,243 | ) | 279,518 | (5,107,691 | ) | |||||||||
Total increase (decrease) from capital stock transactions | (1,248,512 | ) | (2,223,209 | ) | 2,972,980 | (19,220,932 | ) | |||||||||
Total increase (decrease) in net assets | (1,246,673 | ) | (2,157,155 | ) | 5,980,309 | (16,016,326 | ) | |||||||||
Net Assets at end of period | $ | 16,435,301 | $ | 17,681,974 | $ | 230,544,931 | $ | 224,564,622 | ||||||||
Capital Share transactions: | ||||||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 29,778 | 16,592 | 159,403 | 280,302 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 68,166 | 83,829 | 1,259,337 | 554,777 | ||||||||||||
Shares redeemed | (210,689 | ) | (318,526 | ) | (1,234,436 | ) | (1,617,695 | ) | ||||||||
Net increase (decrease) from capital shares transactions | (112,745 | ) | (218,105 | ) | 184,304 | (782,616 | ) | |||||||||
Class II Shares | ||||||||||||||||
Shares sold | 18,036 | 11,954 | 16,940 | 19,791 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 17,172 | 21,147 | 189,626 | 81,433 | ||||||||||||
Shares redeemed | (69,053 | ) | (96,345 | ) | (182,686 | ) | (377,411 | ) | ||||||||
Net increase (decrease) from capital shares transactions | (33,845 | ) | (63,244 | ) | 23,880 | (276,187 | ) |
See accompanying Notes to Financial Statements.
61
Ultra Series Fund | December 31, 2021
Statements of Changes in Net Assets - continued |
Large Cap Value Fund | Large Cap Growth Fund | |||||||||||||||
Year Ended December 31, | 2021 | 2020 | 2021 | 2020 | ||||||||||||
Net Assets at beginning of period | $ | 223,906,583 | $ | 261,058,864 | $ | 214,460,395 | $ | 215,344,635 | ||||||||
Increase (decrease) in net assets from operations: | ||||||||||||||||
Net investment income | 4,164,861 | 3,777,682 | 859,979 | 814,152 | ||||||||||||
Net realized gain (loss) | 26,297,754 | (17,524,375 | ) | 21,865,047 | 14,625,132 | |||||||||||
Net change in unrealized appreciation (depreciation) | 16,523,360 | 1,249,332 | 23,093,108 | 9,941,338 | ||||||||||||
Net increase (decrease) in net assets from operations | 46,985,975 | (12,497,361 | ) | 45,818,134 | 25,380,622 | |||||||||||
Distributions to shareholders from: | ||||||||||||||||
Accumulated earnings (combined net investment income and net realized gains): | ||||||||||||||||
Class I | (10,247,114 | ) | (6,515,226 | ) | (20,820,569 | ) | (15,708,675 | ) | ||||||||
Class II | (134,118 | ) | (92,566 | ) | (1,470,083 | ) | (1,286,764 | ) | ||||||||
Total distributions | (10,381,232 | ) | (6,607,792 | ) | (22,290,652 | ) | (16,995,439 | ) | ||||||||
Capital Stock transactions: | ||||||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 4,037,410 | 4,984,565 | 3,693,167 | 4,946,490 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 10,247,114 | 6,515,226 | 20,820,569 | 15,708,675 | ||||||||||||
Shares redeemed | (31,262,941 | ) | (29,012,440 | ) | (31,329,990 | ) | (27,716,662 | ) | ||||||||
Net increase (decrease) from capital stock transactions | (16,978,417 | ) | (17,512,649 | ) | (6,816,254 | ) | (7,061,497 | ) | ||||||||
Class II Shares | ||||||||||||||||
Shares sold | 129,681 | 219,678 | 218,233 | 101,423 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 134,118 | 92,566 | 1,470,083 | 1,286,764 | ||||||||||||
Shares redeemed | (1,047,476 | ) | (846,723 | ) | (4,545,403 | ) | (3,596,113 | ) | ||||||||
Net increase (decrease) from capital stock transactions | (783,677 | ) | (534,479 | ) | (2,857,087 | ) | (2,207,926 | ) | ||||||||
Total increase (decrease) from capital stock transactions | (17,762,094 | ) | (18,047,128 | ) | (9,673,341 | ) | (9,269,423 | ) | ||||||||
Total increase (decrease) in net assets | 18,842,649 | (37,152,281 | ) | 13,854,141 | (884,240 | ) | ||||||||||
Net Assets at end of period | $ | 242,749,232 | $ | 223,906,583 | $ | 228,314,536 | $ | 214,460,395 | ||||||||
Capital Share transactions: | ||||||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 158,770 | 234,168 | 163,297 | 258,629 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 378,061 | 302,138 | 901,450 | 781,630 | ||||||||||||
Shares redeemed | (1,218,307 | ) | (1,325,104 | ) | (1,349,392 | ) | (1,437,940 | ) | ||||||||
Net increase (decrease) from capital shares transactions | (681,476 | ) | (788,798 | ) | (284,645 | ) | (397,681 | ) | ||||||||
Class II Shares | ||||||||||||||||
Shares sold | 5,191 | 10,538 | 9,607 | 5,380 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 5,032 | 4,355 | 65,544 | 65,727 | ||||||||||||
Shares redeemed | (41,191 | ) | (40,847 | ) | (202,853 | ) | (189,413 | ) | ||||||||
Net increase (decrease) from capital shares transactions | (30,968 | ) | (25,954 | ) | (127,702 | ) | (118,306 | ) |
See accompanying Notes to Financial Statements.
62
Ultra Series Fund | December 31, 2021
Statements of Changes in Net Assets - continued |
Mid Cap Fund | International Stock Fund | |||||||||||||||
Year Ended December 31, | 2021 | 2020 | 2021 | 2020 | ||||||||||||
Net Assets at beginning of period | $ | 171,137,657 | $ | 175,164,079 | $ | 30,771,546 | $ | 32,412,306 | ||||||||
Increase (decrease) in net assets from operations: | ||||||||||||||||
Net investment income (loss) | 92,452 | (122,297 | ) | 269,688 | 227,591 | |||||||||||
Net realized gain | 21,936,301 | 17,517,141 | 6,516,688 | 335,208 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 19,450,897 | (3,063,310 | ) | (7,147,999 | ) | 1,530,515 | ||||||||||
Net increase (decrease) in net assets from operations | 41,479,650 | 14,331,534 | (361,623 | ) | 2,093,314 | |||||||||||
Distributions to shareholders from: | ||||||||||||||||
Accumulated earnings (combined net investment income and net realized gains): | ||||||||||||||||
Class I | (21,033,769 | ) | (17,497,375 | ) | (1,396,481 | ) | (196,448 | ) | ||||||||
Class II | (817,307 | ) | (791,033 | ) | (506,754 | ) | (59,972 | ) | ||||||||
Total distributions | (21,851,076 | ) | (18,288,408 | ) | (1,903,235 | ) | (256,420 | ) | ||||||||
Capital Stock transactions: | ||||||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 2,426,762 | 4,895,185 | 476,654 | 425,633 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 21,033,769 | 17,497,375 | 1,396,481 | 196,448 | ||||||||||||
Shares redeemed | (30,001,019 | ) | (21,746,811 | ) | (2,743,858 | ) | (2,819,650 | ) | ||||||||
Net increase (decrease) from capital stock transactions | (6,540,488 | ) | 645,749 | (870,723 | ) | (2,197,569 | ) | |||||||||
Class II Shares | ||||||||||||||||
Shares sold | 50,988 | 62,167 | 149,674 | 175,000 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 817,307 | 791,033 | 506,754 | 59,972 | ||||||||||||
Shares redeemed | (2,169,873 | ) | (1,568,497 | ) | (1,836,827 | ) | (1,515,057 | ) | ||||||||
Net decrease from capital stock transactions | (1,301,578 | ) | (715,297 | ) | (1,180,399 | ) | (1,280,085 | ) | ||||||||
Total increase (decrease) from capital stock transactions | (7,842,066 | ) | (69,548 | ) | (2,051,122 | ) | (3,477,654 | ) | ||||||||
Total increase (decrease) in net assets | 11,786,508 | (4,026,422 | ) | (4,315,980 | ) | (1,640,760 | ) | |||||||||
Net Assets at end of period | $ | 182,924,165 | $ | 171,137,657 | $ | 26,455,566 | $ | 30,771,546 | ||||||||
Capital Share transactions: | ||||||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 124,187 | 301,172 | 37,694 | 43,615 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 1,077,511 | 1,011,890 | 122,160 | 16,423 | ||||||||||||
Shares redeemed | (1,506,887 | ) | (1,275,079 | ) | (216,963 | ) | (260,578 | ) | ||||||||
Net increase (decrease) from capital shares transactions | (305,189 | ) | 37,983 | (57,109 | ) | (200,540 | ) | |||||||||
Class II Shares | ||||||||||||||||
Shares sold | 2,651 | 3,944 | 12,321 | 18,139 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 43,910 | 47,583 | 44,671 | 4,944 | ||||||||||||
Shares redeemed | (115,449 | ) | (95,974 | ) | (145,675 | ) | (141,043 | ) | ||||||||
Net decrease from capital shares transactions | (68,888 | ) | (44,447 | ) | (88,683 | ) | (117,960 | ) |
See accompanying Notes to Financial Statements.
63
Ultra Series Fund | December 31, 2021
Statements of Changes in Net Assets - continued |
Madison Target Retirement 2020 Fund | Madison Target Retirement 2030 Fund | |||||||||||||||
Year Ended December 31, | 2021 | 2020 | 2021 | 2020 | ||||||||||||
Net Assets at beginning of period | $ | 35,684,515 | $ | 35,602,465 | $ | 70,124,885 | $ | 62,469,250 | ||||||||
Increase (decrease) in net assets from operations: | ||||||||||||||||
Net investment income (loss) | 462,407 | 401,413 | 2,422,423 | 709,760 | ||||||||||||
Net realized gain | 1,140,338 | 1,841,351 | 3,284,607 | 3,375,312 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (1,220,918 | ) | 650,973 | (750,904 | ) | 3,258,761 | ||||||||||
Net increase (decrease) in net assets from operations | 381,827 | 2,893,737 | 4,956,126 | 7,343,833 | ||||||||||||
Distributions to shareholders from: | ||||||||||||||||
Accumulated earnings (combined net investment income and net realized gains): | ||||||||||||||||
Class I | (1,310,017 | ) | (2,786,408 | ) | (4,962,392 | ) | (5,000,043 | ) | ||||||||
Total distributions | (1,310,017 | ) | (2,786,408 | ) | (4,962,392 | ) | (5,000,043 | ) | ||||||||
Capital Stock transactions: | ||||||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 3,874,580 | 6,752,000 | 10,415,959 | 12,555,412 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 1,310,016 | 2,786,408 | 4,962,392 | 5,000,043 | ||||||||||||
Shares redeemed | (12,927,153 | ) | (9,563,687 | ) | (14,168,910 | ) | (12,243,610 | ) | ||||||||
Total increase (decrease) from capital stock transactions | (7,742,557 | ) | (25,279 | ) | 1,209,441 | 5,311,845 | ||||||||||
Total increase (decrease) in net assets | (8,670,747 | ) | 82,050 | 1,203,175 | 7,655,635 | |||||||||||
Net Assets at end of period | $ | 27,013,768 | $ | 35,684,515 | $ | 71,328,060 | $ | 70,124,885 | ||||||||
Capital Share transactions: | ||||||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 495,330 | 836,050 | 1,247,551 | 1,547,706 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 171,603 | 353,983 | 612,963 | 617,363 | ||||||||||||
Shares redeemed | (1,649,771 | ) | (1,198,171 | ) | (1,682,576 | ) | (1,506,434 | ) | ||||||||
Net increase (decrease) from capital shares transactions | (982,838 | ) | (8,138 | ) | 177,938 | 658,635 |
See accompanying Notes to Financial Statements.
64
Ultra Series Fund | December 31, 2021
Statements of Changes in Net Assets - continued |
Madison Target Retirement 2040 Fund | Madison Target Retirement 2050 Fund | |||||||||||||||
Year Ended December 31, | 2021 | 2020 | 2021 | 2020 | ||||||||||||
Net Assets at beginning of period | $ | 41,990,185 | $ | 37,060,493 | $ | 30,436,863 | $ | 24,850,285 | ||||||||
Increase (decrease) in net assets from operations: | ||||||||||||||||
Net investment income | 1,557,344 | 422,173 | 1,423,608 | 293,394 | ||||||||||||
Net realized gain | 2,585,720 | 2,114,325 | 1,639,423 | 1,478,303 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (590,633 | ) | 2,226,384 | 49,375 | 1,773,669 | |||||||||||
Net increase in net assets from operations | 3,552,431 | 4,762,882 | 3,112,406 | 3,545,366 | ||||||||||||
Distributions to shareholders from: | ||||||||||||||||
Accumulated earnings (combined net investment income and net realized gains): | ||||||||||||||||
Class I | (3,463,717 | ) | (3,032,319 | ) | (2,649,779 | ) | (2,048,394 | ) | ||||||||
Total distributions | (3,463,717 | ) | (3,032,319 | ) | (2,649,779 | ) | (2,048,394 | ) | ||||||||
Capital Stock transactions: | ||||||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 5,550,905 | 6,385,501 | 6,502,773 | 5,898,896 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 3,463,717 | 3,032,319 | 2,649,779 | 2,048,394 | ||||||||||||
Shares redeemed | (10,109,124 | ) | (6,218,691 | ) | (5,768,569 | ) | (3,857,684 | ) | ||||||||
Total increase (decrease) from capital stock transactions | (1,094,502 | ) | 3,199,129 | 3,383,983 | 4,089,606 | |||||||||||
Total increase (decrease) in net assets | (1,005,788 | ) | 4,929,692 | 3,846,610 | 5,586,578 | |||||||||||
Net Assets at end of period | $ | 40,984,397 | $ | 41,990,185 | $ | 34,283,473 | $ | 30,436,863 | ||||||||
Capital Share transactions: | ||||||||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 712,623 | 861,370 | 475,660 | 471,175 | ||||||||||||
Issued to shareholders in reinvestment of distributions | 465,559 | 408,051 | 202,588 | 159,960 | ||||||||||||
Shares redeemed | (1,291,950 | ) | (825,376 | ) | (423,943 | ) | (298,160 | ) | ||||||||
Net increase (decrease) from capital shares transactions | (113,768 | ) | 444,045 | 254,305 | 332,975 |
See accompanying Notes to Financial Statements.
65
Ultra Series Fund | December 31, 2021 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
CONSERVATIVE ALLOCATION FUND |
Year Ended December 31, | ||||||||||||||||||||
CLASS I | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 10.33 | $ | 10.13 | $ | 9.21 | $ | 10.22 | $ | 9.74 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.23 | 0.12 | 0.20 | 1 | 0.25 | 0.21 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.15 | 0.83 | 1.00 | (0.51 | ) | 0.77 | ||||||||||||||
Total from investment operations | 0.38 | 0.95 | 1.20 | (0.26 | ) | 0.98 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.21 | ) | (0.22 | ) | (0.19 | ) | (0.25 | ) | (0.22 | ) | ||||||||||
Capital gains | (0.10 | ) | (0.41 | ) | (0.09 | ) | (0.50 | ) | (0.28 | ) | ||||||||||
Return of Capital | – | (0.12 | ) | – | – | – | ||||||||||||||
Total distributions | (0.31 | ) | (0.75 | ) | (0.28 | ) | (0.75 | ) | (0.50 | ) | ||||||||||
Net increase (decrease) in net asset value | 0.07 | 0.20 | 0.92 | (1.01 | ) | 0.48 | ||||||||||||||
Net Asset Value at end of period | $ | 10.40 | $ | 10.33 | $ | 10.13 | $ | 9.21 | $ | 10.22 | ||||||||||
Total Return (%)2 | 3.59 | 9.46 | 12.97 | (2.49 | ) | 10.17 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 134,456 | $ | 146,016 | $ | 109,012 | $ | 96,763 | $ | 120,703 | ||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||
Before waiver of expenses by Adviser (%) | 0.32 | 0.32 | 0.32 | 0.32 | 0.32 | |||||||||||||||
After waiver of expenses by Adviser (%) | 0.22 | 0.22 | 0.22 | 0.22 | 0.22 | |||||||||||||||
Ratio of net investment income to average net assets (%) | 2.04 | 1.56 | 2.15 | 2.13 | 2.06 | |||||||||||||||
Portfolio turnover (%)3 | 50 | 73 | 57 | 54 | 49 |
Year Ended December 31, | ||||||||||||||||||||
CLASS II | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 10.36 | $ | 10.14 | $ | 9.22 | $ | 10.22 | $ | 9.73 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.19 | 0.13 | 0.17 | 1 | 0.19 | 0.18 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.15 | 0.80 | 1.00 | (0.47 | ) | 0.78 | ||||||||||||||
Total from investment operations | 0.34 | 0.93 | 1.17 | (0.28 | ) | 0.96 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.18 | ) | (0.18 | ) | (0.16 | ) | (0.22 | ) | (0.19 | ) | ||||||||||
Capital gains | (0.10 | ) | (0.41 | ) | (0.09 | ) | (0.50 | ) | (0.28 | ) | ||||||||||
Return of Capital | – | (0.12 | ) | – | – | – | ||||||||||||||
Total distributions | (0.28 | ) | (0.71 | ) | (0.25 | ) | (0.72 | ) | (0.47 | ) | ||||||||||
Net increase (decrease) in net asset value | 0.06 | 0.22 | 0.92 | (1.00 | ) | 0.49 | ||||||||||||||
Net Asset Value at end of period | $ | 10.42 | $ | 10.36 | $ | 10.14 | $ | 9.22 | $ | 10.22 | ||||||||||
Total Return (%)2 | 3.33 | 9.18 | 12.69 | (2.73 | ) | 9.90 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 17,373 | $ | 19,406 | $ | 21,984 | $ | 22,527 | $ | 29,772 | ||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||
Before waiver of expenses by Adviser (%) | 0.57 | 0.57 | 0.57 | 0.57 | 0.57 | |||||||||||||||
After waiver of expenses by Adviser (%) | 0.47 | 0.47 | 0.47 | 0.47 | 0.47 | |||||||||||||||
Ratio of net investment income to average net assets (%) | 1.79 | 1.30 | 1.86 | 1.88 | 1.78 | |||||||||||||||
Portfolio turnover (%)3 | 50 | 73 | 57 | 54 | 49 |
1 Net investment income (loss) calculated excluding permanent tax adjustments to undistributed net investment income.
2 These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
3 Portfolio turnover is calculated at the fund level and represents the entire fiscal year.
See accompanying Notes to Financial Statements.
66
Ultra Series Fund | December 31, 2021 |
Financial Highlights for a Share of Beneficial Interest Outstanding - continued |
MODERATE ALLOCATION FUND |
Year Ended December 31, | ||||||||||||||||||||
CLASS I | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 10.09 | $ | 10.31 | $ | 9.20 | $ | 10.85 | $ | 10.18 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.28 | 0.15 | 0.22 | 1 | 0.21 | 0.22 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.46 | 0.89 | 1.30 | (0.69 | ) | 1.29 | ||||||||||||||
Total from investment operations | 0.74 | 1.04 | 1.52 | (0.48 | ) | 1.51 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.26 | ) | (0.17 | ) | (0.23 | ) | (0.12 | ) | (0.23 | ) | ||||||||||
Capital gains | (0.28 | ) | (0.78 | ) | (0.18 | ) | (1.05 | ) | (0.61 | ) | ||||||||||
Return of Capital | – | (0.31 | ) | – | – | – | ||||||||||||||
Total distributions | (0.54 | ) | (1.26 | ) | (0.41 | ) | (1.17 | ) | (0.84 | ) | ||||||||||
Net increase (decrease) in net asset value | 0.20 | (0.22 | ) | 1.11 | (1.65 | ) | 0.67 | |||||||||||||
Net Asset Value at end of period | $ | 10.29 | $ | 10.09 | $ | 10.31 | $ | 9.20 | $ | 10.85 | ||||||||||
Total Return (%)2 | 7.40 | 10.06 | 16.56 | (4.36 | ) | 14.80 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 146,647 | $ | 161,944 | $ | 171,065 | $ | 175,785 | $ | 217,301 | ||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||
Before waiver of expenses by Adviser (%) | 0.32 | 0.32 | 0.32 | 0.32 | 0.32 | |||||||||||||||
After waiver of expenses by Adviser (%) | 0.22 | 0.22 | 0.22 | 0.22 | 0.22 | |||||||||||||||
Ratio of net investment income to average net assets (%) | 2.37 | 1.32 | 1.87 | 1.85 | 1.80 | |||||||||||||||
Portfolio turnover (%)3 | 59 | 79 | 62 | 67 | 39 |
Year Ended December 31, | ||||||||||||||||||||
CLASS II | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 10.10 | $ | 10.31 | $ | 9.19 | $ | 10.83 | $ | 10.16 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.21 | 0.11 | 0.15 | 1 | 0.15 | 0.16 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.51 | 0.90 | 1.34 | (0.65 | ) | 1.31 | ||||||||||||||
Total from investment operations | 0.72 | 1.01 | 1.49 | (0.50 | ) | 1.47 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.23 | ) | (0.13 | ) | (0.19 | ) | (0.09 | ) | (0.19 | ) | ||||||||||
Capital gains | (0.28 | ) | (0.78 | ) | (0.18 | ) | (1.05 | ) | (0.61 | ) | ||||||||||
Return of Capital | – | (0.31 | ) | – | – | – | ||||||||||||||
Total distributions | (0.51 | ) | (1.22 | ) | (0.37 | ) | (1.14 | ) | (0.80 | ) | ||||||||||
Net increase (decrease) in net asset value | 0.21 | (0.21 | ) | 1.12 | (1.64 | ) | 0.67 | |||||||||||||
Net Asset Value at end of period | $ | 10.31 | $ | 10.10 | $ | 10.31 | $ | 9.19 | $ | 10.83 | ||||||||||
Total Return (%)2 | 7.13 | 9.78 | 16.27 | (4.60 | ) | 14.52 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 16,166 | $ | 18,046 | $ | 18,790 | $ | 20,302 | $ | 26,764 | ||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||
Before waiver of expenses by Adviser (%) | 0.57 | 0.57 | 0.57 | 0.57 | 0.57 | |||||||||||||||
After waiver of expenses by Adviser (%) | 0.47 | 0.47 | 0.47 | 0.47 | 0.47 | |||||||||||||||
Ratio of net investment income to average net assets (%) | 2.17 | 1.07 | 1.62 | 1.58 | 1.54 | |||||||||||||||
Portfolio turnover (%)3 | 59 | 79 | 62 | 67 | 39 |
1 Net investment income (loss) calculated excluding permanent tax adjustments to undistributed net investment income.
2 These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
3 Portfolio turnover is calculated at the fund level and represents the entire fiscal year.
See accompanying Notes to Financial Statements.
67
Ultra Series Fund | December 31, 2021 |
Financial Highlights for a Share of Beneficial Interest Outstanding - continued |
AGGRESSIVE ALLOCATION FUND |
Year Ended December 31, | ||||||||||||||||||||
CLASS I | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 8.76 | $ | 9.09 | $ | 7.97 | $ | 10.12 | $ | 9.30 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.28 | 0.12 | 0.16 | 1 | 0.18 | 0.17 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.61 | 0.79 | 1.40 | (0.80 | ) | 1.54 | ||||||||||||||
Total from investment operations | 0.89 | 0.91 | 1.56 | (0.62 | ) | 1.71 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.26 | ) | (0.13 | ) | (0.15 | ) | (0.19 | ) | (0.18 | ) | ||||||||||
Capital gains | (0.31 | ) | (0.72 | ) | (0.29 | ) | (1.34 | ) | (0.71 | ) | ||||||||||
Return of Capital | – | (0.39 | ) | – | – | – | ||||||||||||||
Total distributions | (0.57 | ) | (1.24 | ) | (0.44 | ) | (1.53 | ) | (0.89 | ) | ||||||||||
Net increase (decrease) in net asset value | 0.32 | (0.33 | ) | 1.12 | (2.15 | ) | 0.82 | |||||||||||||
Net Asset Value at end of period | $ | 9.08 | $ | 8.76 | $ | 9.09 | $ | 7.97 | $ | 10.12 | ||||||||||
Total Return (%)2 | 10.18 | 10.08 | 19.69 | (6.16 | ) | 18.52 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 52,574 | $ | 54,472 | $ | 61,127 | $ | 61,777 | $ | 84,217 | ||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||
Before waiver of expenses by Adviser (%) | 0.32 | 0.32 | 0.32 | 0.32 | 0.32 | |||||||||||||||
After waiver of expenses by Adviser (%) | 0.22 | 0.22 | 0.22 | 0.22 | 0.22 | |||||||||||||||
Ratio of net investment income to average net assets (%) | 2.74 | 1.14 | 1.71 | 1.55 | 1.57 | |||||||||||||||
Portfolio turnover (%)3 | 71 | 93 | 78 | 69 | 36 |
Year Ended December 31, | ||||||||||||||||||||
CLASS II | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 8.74 | $ | 9.06 | $ | 7.94 | $ | 10.09 | $ | 9.27 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.22 | 0.08 | 0.13 | 1 | 0.13 | 0.15 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.64 | 0.80 | 1.41 | (0.78 | ) | 1.53 | ||||||||||||||
Total from investment operations | 0.86 | 0.88 | 1.54 | (0.65 | ) | 1.68 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.23 | ) | (0.09 | ) | (0.13 | ) | (0.16 | ) | (0.15 | ) | ||||||||||
Capital gains | (0.31 | ) | (0.72 | ) | (0.29 | ) | (1.34 | ) | (0.71 | ) | ||||||||||
Return of Capital | – | (0.39 | ) | – | – | – | ||||||||||||||
Total distributions | (0.54 | ) | (1.20 | ) | (0.42 | ) | (1.50 | ) | (0.86 | ) | ||||||||||
Net increase (decrease) in net asset value | 0.32 | (0.32 | ) | 1.12 | (2.15 | ) | 0.82 | |||||||||||||
Net Asset Value at end of period | $ | 9.06 | $ | 8.74 | $ | 9.06 | $ | 7.94 | $ | 10.09 | ||||||||||
Total Return (%)2 | 9.90 | 9.81 | 19.39 | (6.39 | ) | 18.22 | ||||||||||||||
Ratios/Supplemental Data: | �� | |||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 799 | $ | 1,095 | $ | 1,272 | $ | 1,527 | $ | 2,267 | ||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||
Before waiver of expenses by Adviser (%) | 0.57 | 0.57 | 0.57 | 0.57 | 0.57 | |||||||||||||||
After waiver of expenses by Adviser (%) | 0.47 | 0.47 | 0.47 | 0.47 | 0.47 | |||||||||||||||
Ratio of net investment income to average net assets (%) | 2.42 | 0.90 | 1.41 | 1.01 | 1.53 | |||||||||||||||
Portfolio turnover (%)3 | 71 | 93 | 78 | 69 | 36 |
1 Net investment income (loss) calculated excluding permanent tax adjustments to undistributed net investment income.
2 These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
3 Portfolio turnover is calculated at the fund level and represents the entire fiscal year.
See accompanying Notes to Financial Statements.
68
Ultra Series Fund | December 31, 2021 |
Financial Highlights for a Share of Beneficial Interest Outstanding - continued |
CORE BOND FUND |
Year Ended December 31, | ||||||||||||||||||||
CLASS I | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 10.30 | $ | 9.89 | $ | 9.39 | $ | 9.76 | $ | 9.75 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.20 | 0.26 | 0.31 | 1 | 0.32 | 0.29 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.37 | ) | 0.62 | 0.48 | (0.38 | ) | 0.02 | |||||||||||||
Total from investment operations | (0.17 | ) | 0.88 | 0.79 | (0.06 | ) | 0.31 | |||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.23 | ) | (0.28 | ) | (0.28 | ) | (0.31 | ) | (0.30 | ) | ||||||||||
Capital gains | (0.16 | ) | (0.19 | ) | (0.01 | ) | – | – | ||||||||||||
Total distributions | (0.39 | ) | (0.47 | ) | (0.29 | ) | (0.31 | ) | (0.30 | ) | ||||||||||
Net increase (decrease) in net asset value | (0.56 | ) | 0.41 | 0.50 | (0.37 | ) | 0.01 | |||||||||||||
Net Asset Value at end of period | $ | 9.74 | $ | 10.30 | $ | 9.89 | $ | 9.39 | $ | 9.76 | ||||||||||
Total Return (%)2 | (1.58 | ) | 8.97 | 8.36 | (0.62 | ) | 3.11 | |||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 85,758 | $ | 92,471 | $ | 95,679 | $ | 104,781 | $ | 129,429 | ||||||||||
Ratios of expenses to average net assets (%) | 0.57 | 0.57 | 0.57 | 0.57 | 0.57 | |||||||||||||||
Ratio of net investment income to average net assets (%) | 1.97 | 2.23 | 2.67 | 2.70 | 2.54 | |||||||||||||||
Portfolio turnover (%)3 | 34 | 44 | 26 | 24 | 16 | |||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
CLASS II | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 10.25 | $ | 9.84 | $ | 9.36 | $ | 9.73 | $ | 9.73 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.07 | 0.11 | 0.17 | 1 | 0.19 | 0.22 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.25 | ) | 0.74 | 0.58 | (0.27 | ) | 0.06 | |||||||||||||
Total from investment operations | (0.18 | ) | 0.85 | 0.75 | (0.08 | ) | 0.28 | |||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.22 | ) | (0.25 | ) | (0.26 | ) | (0.29 | ) | (0.28 | ) | ||||||||||
Capital gains | (0.16 | ) | (0.19 | ) | (0.01 | ) | – | – | ||||||||||||
Total distributions | (0.38 | ) | (0.44 | ) | (0.27 | ) | (0.29 | ) | (0.28 | ) | ||||||||||
Net increase (decrease) in net asset value | (0.56 | ) | 0.41 | 0.48 | (0.37 | ) | – | |||||||||||||
Net Asset Value at end of period | $ | 9.69 | $ | 10.25 | $ | 9.84 | $ | 9.36 | $ | 9.73 | ||||||||||
Total Return (%)2 | (1.83 | ) | 8.70 | 8.09 | (0.87 | ) | 2.85 | |||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 19,379 | $ | 23,721 | $ | 26,855 | $ | 29,713 | $ | 35,252 | ||||||||||
Ratios of expenses to average net assets (%) | 0.82 | 0.82 | 0.82 | 0.82 | 0.82 | |||||||||||||||
Ratio of net investment income to average net assets (%) | 1.72 | 1.98 | 2.43 | 2.45 | 2.29 | |||||||||||||||
Portfolio turnover (%)3 | 34 | 44 | 26 | 24 | 16 |
1 Net investment income (loss) calculated excluding permanent tax adjustments to undistributed net investment income.
2 These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
3 Portfolio turnover is calculated at the fund level and represents the entire fiscal year.
See accompanying Notes to Financial Statements.
69
Ultra Series Fund | December 31, 2021 |
Financial Highlights for a Share of Beneficial Interest Outstanding - continued |
HIGH INCOME FUND |
Year Ended December 31, | ||||||||||||||||||||
CLASS I | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 8.24 | $ | 8.17 | $ | 7.91 | $ | 8.66 | $ | 8.56 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.38 | 0.46 | 0.49 | 1 | 0.49 | 0.47 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.04 | ) | 0.03 | 0.19 | (0.77 | ) | 0.08 | |||||||||||||
Total from investment operations | 0.34 | 0.49 | 0.68 | (0.28 | ) | 0.55 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.36 | ) | (0.42 | ) | (0.42 | ) | (0.47 | ) | (0.45 | ) | ||||||||||
Net increase (decrease) in net asset value | (0.02 | ) | 0.07 | 0.26 | (0.75 | ) | 0.10 | |||||||||||||
Net Asset Value at end of period | $ | 8.22 | $ | 8.24 | $ | 8.17 | $ | 7.91 | $ | 8.66 | ||||||||||
Total Return (%)2 | 4.24 | 5.98 | 8.64 | (3.20 | ) | 6.32 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 13,032 | $ | 13,989 | $ | 15,658 | $ | 17,466 | $ | 20,601 | ||||||||||
Ratios of expenses to average net assets (%) | 0.77 | 0.77 | 0.77 | 0.77 | 0.77 | |||||||||||||||
Ratio of net investment income to average net assets (%) | 4.14 | 4.77 | 4.96 | 5.12 | 4.72 | |||||||||||||||
Portfolio turnover (%)3 | 50 | 55 | 17 | 22 | 39 | |||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
CLASS II | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 8.25 | $ | 8.18 | $ | 7.92 | $ | 8.67 | $ | 8.57 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.25 | 0.26 | 0.31 | 1 | 0.37 | 0.43 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.07 | 0.21 | 0.35 | (0.67 | ) | 0.09 | ||||||||||||||
Total from investment operations | 0.32 | 0.47 | 0.66 | (0.30 | ) | 0.52 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.35 | ) | (0.40 | ) | (0.40 | ) | (0.45 | ) | (0.42 | ) | ||||||||||
Net increase (decrease) in net asset value | (0.03 | ) | 0.07 | 0.26 | (0.75 | ) | 0.10 | |||||||||||||
Net Asset Value at end of period | $ | 8.22 | $ | 8.25 | $ | 8.18 | $ | 7.92 | $ | 8.67 | ||||||||||
Total Return (%)2 | 3.98 | 5.71 | 8.36 | (3.44 | ) | 6.06 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 3,403 | $ | 3,693 | $ | 4,181 | $ | 4,605 | $ | 5,562 | ||||||||||
Ratios of expenses to average net assets (%) | 1.02 | 1.02 | 1.02 | 1.02 | 1.02 | |||||||||||||||
Ratio of net investment income to average net assets (%) | 3.89 | 4.52 | 4.71 | 4.87 | 4.47 | |||||||||||||||
Portfolio turnover (%)3 | 50 | 55 | 17 | 22 | 39 |
1 Net investment income (loss) calculated excluding permanent tax adjustments to undistributed net investment income.
2 These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
3 Portfolio turnover is calculated at the fund level and represents the entire fiscal year.
See accompanying Notes to Financial Statements.
70
Ultra Series Fund | December 31, 2021 |
Financial Highlights for a Share of Beneficial Interest Outstanding - continued |
DIVERSIFIED INCOME FUND |
Year Ended December 31, | ||||||||||||||||||||
CLASS I | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 19.47 | $ | 19.11 | $ | 17.26 | $ | 19.55 | $ | 18.40 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.36 | 0.40 | 0.43 | 1 | 0.47 | 0.45 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.53 | 1.04 | 2.96 | (0.65 | ) | 2.00 | ||||||||||||||
Total from investment operations | 2.89 | 1.44 | 3.39 | (0.18 | ) | 2.45 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.39 | ) | (0.41 | ) | (0.40 | ) | (0.48 | ) | (0.45 | ) | ||||||||||
Capital gains | (2.32 | ) | (0.67 | ) | (1.14 | ) | (1.63 | ) | (0.85 | ) | ||||||||||
Total distributions | (2.71 | ) | (1.08 | ) | (1.54 | ) | (2.11 | ) | (1.30 | ) | ||||||||||
Net increase (decrease) in net asset value | 0.18 | 0.36 | 1.85 | (2.29 | ) | 1.15 | ||||||||||||||
Net Asset Value at end of period | $ | 19.65 | $ | 19.47 | $ | 19.11 | $ | 17.26 | $ | 19.55 | ||||||||||
Total Return (%)2 | 14.92 | 7.77 | 19.68 | (0.76 | ) | 13.31 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 200,806 | $ | 195,463 | $ | 206,780 | $ | 201,421 | $ | 239,212 | ||||||||||
Ratios of expenses to average net assets (%) | 0.72 | 0.72 | 0.72 | 0.72 | 0.72 | |||||||||||||||
Ratio of net investment income to average net assets (%) | 1.64 | 2.04 | 2.10 | 2.17 | 2.13 | |||||||||||||||
Portfolio turnover (%)3 | 34 | 31 | 28 | 26 | 16 | |||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
CLASS II | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 19.27 | $ | 18.92 | $ | 17.12 | $ | 19.41 | $ | 18.31 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.32 | 0.27 | 0.34 | 1 | 0.38 | 0.37 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.48 | 1.12 | 2.97 | (0.60 | ) | 2.00 | ||||||||||||||
Total from investment operations | 2.80 | 1.39 | 3.31 | (0.22 | ) | 2.37 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.36 | ) | (0.37 | ) | (0.37 | ) | (0.44 | ) | (0.42 | ) | ||||||||||
Capital gains | (2.32 | ) | (0.67 | ) | (1.14 | ) | (1.63 | ) | (0.85 | ) | ||||||||||
Total distributions | (2.68 | ) | (1.04 | ) | (1.51 | ) | (2.07 | ) | (1.27 | ) | ||||||||||
Net increase (decrease) in net asset value | 0.12 | 0.35 | 1.80 | (2.29 | ) | 1.10 | ||||||||||||||
Net Asset Value at end of period | $ | 19.39 | $ | 19.27 | $ | 18.92 | $ | 17.12 | $ | 19.41 | ||||||||||
Total Return (%)2 | 14.64 | 7.50 | 19.38 | (1.01 | ) | 13.03 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 29,739 | $ | 29,102 | $ | 33,801 | $ | 32,925 | $ | 40,526 | ||||||||||
Ratios of expenses to average net assets (%) | 0.97 | 0.97 | 0.97 | 0.97 | 0.97 | |||||||||||||||
Ratio of net investment income to average net assets (%) | 1.39 | 1.79 | 1.85 | 1.92 | 1.88 | |||||||||||||||
Portfolio turnover (%)3 | 34 | 31 | 28 | 26 | 16 |
1 Net investment income (loss) calculated excluding permanent tax adjustments to undistributed net investment income.
2 These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
3 Portfolio turnover is calculated at the fund level and represents the entire fiscal year.
See accompanying Notes to Financial Statements.
71
Ultra Series Fund | December 31, 2021 |
Financial Highlights for a Share of Beneficial Interest Outstanding - continued |
LARGE CAP VALUE FUND |
Year Ended December 31, | ||||||||||||||||||||
CLASS I | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 23.34 | $ | 25.08 | $ | 21.85 | $ | 28.48 | $ | 26.56 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.49 | 0.40 | 0.41 | 1 | 0.50 | 0.69 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 4.71 | (1.46 | ) | 5.01 | (4.09 | ) | 3.60 | |||||||||||||
Total from investment operations | 5.20 | (1.06 | ) | 5.42 | (3.59 | ) | 4.29 | |||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.49 | ) | (0.38 | ) | (0.37 | ) | (0.46 | ) | (0.69 | ) | ||||||||||
Capital gains | (0.72 | ) | (0.30 | ) | (1.82 | ) | (2.01 | ) | (1.68 | ) | ||||||||||
Return of Capital | – | – | – | (0.57 | ) | – | ||||||||||||||
Total distributions | (1.21 | ) | (0.68 | ) | (2.19 | ) | (3.04 | ) | (2.37 | ) | ||||||||||
Net increase (decrease) in net asset value | 3.99 | (1.74 | ) | 3.23 | (6.63 | ) | 1.92 | |||||||||||||
Net Asset Value at end of period | $ | 27.33 | $ | 23.34 | $ | 25.08 | $ | 21.85 | $ | 28.48 | ||||||||||
Total Return (%)2 | 22.36 | (3.99 | ) | 24.93 | (12.59 | ) | 16.23 | |||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 239,621 | $ | 220,518 | $ | 256,775 | $ | 243,697 | $ | 341,213 | ||||||||||
Ratios of expenses to average net assets (%) | 0.62 | 0.62 | 0.62 | 0.62 | 0.62 | |||||||||||||||
Ratio of net investment income to average net assets (%) | 1.78 | 1.74 | 1.49 | 1.54 | 2.28 | |||||||||||||||
Portfolio turnover (%)3 | 32 | 87 | 76 | 83 | 77 | |||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
CLASS II | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 22.99 | $ | 24.72 | $ | 21.56 | $ | 28.17 | $ | 26.32 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.24 | 0.23 | 0.30 | 1 | 0.36 | 0.65 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 4.81 | (1.33 | ) | 4.98 | (3.98 | ) | 3.52 | |||||||||||||
Total from investment operations | 5.05 | (1.10 | ) | 5.28 | (3.62 | ) | 4.17 | |||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.45 | ) | (0.33 | ) | (0.30 | ) | (0.41 | ) | (0.64 | ) | ||||||||||
Capital gains | (0.72 | ) | (0.30 | ) | (1.82 | ) | (2.01 | ) | (1.68 | ) | ||||||||||
Return of Capital | – | – | – | (0.57 | ) | – | ||||||||||||||
Total distributions | (1.17 | ) | (0.63 | ) | (2.12 | ) | (2.99 | ) | (2.32 | ) | ||||||||||
Net increase (decrease) in net asset value | 3.88 | (1.73 | ) | 3.16 | (6.61 | ) | 1.85 | |||||||||||||
Net Asset Value at end of period | $ | 26.87 | $ | 22.99 | $ | 24.72 | $ | 21.56 | $ | 28.17 | ||||||||||
Total Return (%)2 | 22.05 | (4.23 | ) | 24.61 | (12.81 | ) | 15.94 | |||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 3,128 | $ | 3,388 | $ | 4,284 | $ | 3,829 | $ | 5,539 | ||||||||||
Ratios of expenses to average net assets (%) | 0.87 | 0.87 | 0.87 | 0.87 | 0.87 | |||||||||||||||
Ratio of net investment income to average net assets (%) | 1.52 | 1.48 | 1.24 | 1.29 | 2.08 | |||||||||||||||
Portfolio turnover (%)3 | 32 | 87 | 76 | 83 | 77 |
1 Net investment income (loss) calculated excluding permanent tax adjustments to undistributed net investment income.
2 These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
3 Portfolio turnover is calculated at the fund level and represents the entire fiscal year.
See accompanying Notes to Financial Statements.
72
Ultra Series Fund | December 31, 2021
Financial Highlights for a Share of Beneficial Interest Outstanding - continued |
LARGE CAP GROWTH FUND | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
CLASS I | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 21.11 | $ | 20.17 | $ | 17.19 | $ | 26.54 | $ | 24.84 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.10 | 0.09 | 0.12 | 1 | 0.20 | 0.22 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 4.68 | 2.61 | 5.20 | (0.52 | ) | 5.32 | ||||||||||||||
Total from investment operations | 4.78 | 2.70 | 5.32 | (0.32 | ) | 5.54 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.08 | ) | (0.09 | ) | (0.12 | ) | (0.19 | ) | (0.22 | ) | ||||||||||
Capital gains | (2.39 | ) | (1.67 | ) | (2.22 | ) | (8.84 | ) | (3.62 | ) | ||||||||||
Total distributions | (2.47 | ) | (1.76 | ) | (2.34 | ) | (9.03 | ) | (3.84 | ) | ||||||||||
Net increase (decrease) in net asset value | 2.31 | 0.94 | 2.98 | (9.35 | ) | 1.70 | ||||||||||||||
Net Asset Value at end of period | $ | 23.42 | $ | 21.11 | $ | 20.17 | $ | 17.19 | $ | 26.54 | ||||||||||
Total Return (%)2 | 22.96 | 13.94 | 31.13 | (0.28 | ) | 22.28 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 213,648 | $ | 198,560 | $ | 197,776 | $ | 184,508 | $ | 232,362 | ||||||||||
Ratios of expenses to average net assets (%) | 0.82 | 0.82 | 0.82 | 0.82 | 0.82 | |||||||||||||||
Ratio of net investment income to average net assets (%) | 0.40 | 0.43 | 0.52 | 0.70 | 0.75 | |||||||||||||||
Portfolio turnover (%)3 | 16 | 29 | 18 | 73 | 22 |
Year Ended December 31, | ||||||||||||||||||||
CLASS II | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 20.57 | $ | 19.71 | $ | 16.85 | $ | 26.22 | $ | 24.60 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | (0.04 | ) | (0.01 | ) | 0.02 | 1 | 0.19 | 0.14 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 4.64 | 2.59 | 5.14 | (0.56 | ) | 5.28 | ||||||||||||||
Total from investment operations | 4.60 | 2.58 | 5.16 | (0.37 | ) | 5.42 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.05 | ) | (0.05 | ) | (0.08 | ) | (0.16 | ) | (0.18 | ) | ||||||||||
Capital gains | (2.39 | ) | (1.67 | ) | (2.22 | ) | (8.84 | ) | (3.62 | ) | ||||||||||
Total distributions | (2.44 | ) | (1.72 | ) | (2.30 | ) | (9.00 | ) | (3.80 | ) | ||||||||||
Net increase (decrease) in net asset value | 2.16 | 0.86 | 2.86 | (9.37 | ) | 1.62 | ||||||||||||||
Net Asset Value at end of period | $ | 22.73 | $ | 20.57 | $ | 19.71 | $ | 16.85 | $ | 26.22 | ||||||||||
Total Return (%)2 | 22.66 | 13.65 | 30.80 | (0.53 | ) | 21.98 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 14,667 | $ | 15,900 | $ | 17,569 | $ | 17,704 | $ | 23,445 | ||||||||||
Ratios of expenses to average net assets (%) | 1.07 | 1.07 | 1.07 | 1.07 | 1.07 | |||||||||||||||
Ratio of net investment income to average net assets (%) | 0.17 | 0.19 | 0.27 | 0.45 | 0.50 | |||||||||||||||
Portfolio turnover (%)3 | 16 | 29 | 18 | 73 | 22 |
1 Net investment income (loss) calculated excluding permanent tax adjustments to undistributed net investment income.
2 These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
3 Portfolio turnover is calculated at the fund level and represents the entire fiscal year.
See accompanying Notes to Financial Statements.
73
Ultra Series Fund | December 31, 2021
Financial Highlights for a Share of Beneficial Interest Outstanding - continued |
MID CAP FUND | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
CLASS I | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 17.97 | $ | 18.38 | $ | 15.19 | $ | 18.97 | $ | 18.11 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.01 | (0.01 | ) | (0.03 | )1 | – | (0.01 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investments | 4.62 | 1.66 | 5.22 | (0.37 | ) | 2.85 | ||||||||||||||
Total from investment operations | 4.63 | 1.65 | 5.19 | (0.37 | ) | 2.84 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Capital gains | (2.61 | ) | (2.06 | ) | (2.00 | ) | (3.41 | ) | (1.98 | ) | ||||||||||
Net increase (decrease) in net asset value | 2.02 | (0.41 | ) | 3.19 | (3.78 | ) | 0.86 | |||||||||||||
Net Asset Value at end of period | $ | 19.99 | $ | 17.97 | $ | 18.38 | $ | 15.19 | $ | 18.97 | ||||||||||
Total Return (%)2 | 26.39 | 9.69 | 34.27 | (1.50 | ) | 15.74 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 176,437 | $ | 164,068 | $ | 167,094 | $ | 152,077 | $ | 192,140 | ||||||||||
Ratios of expenses to average net assets (%) | 0.92 | 0.92 | 0.92 | 0.92 | 0.92 | |||||||||||||||
Ratio of net investment income (loss) to average net assets (%) | 0.06 | (0.07 | ) | (0.18 | ) | (0.03 | ) | (0.07 | ) | |||||||||||
Portfolio turnover (%)3 | 25 | 24 | 16 | 25 | 22 |
Year Ended December 31, | ||||||||||||||||||||
CLASS II | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 17.26 | $ | 17.77 | $ | 14.77 | $ | 18.59 | $ | 17.83 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | (0.14 | ) | (0.10 | ) | (0.14 | )1 | (0.07 | ) | (0.08 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 4.53 | 1.65 | 5.14 | (0.34 | ) | 2.82 | ||||||||||||||
Total from investment operations | 4.39 | 1.55 | 5.00 | (0.41 | ) | 2.74 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Capital gains | (2.61 | ) | (2.06 | ) | (2.00 | ) | (3.41 | ) | (1.98 | ) | ||||||||||
Net increase (decrease) in net asset value | 1.78 | (0.51 | ) | 3.00 | (3.82 | ) | 0.76 | |||||||||||||
Net Asset Value at end of period | $ | 19.04 | $ | 17.26 | $ | 17.77 | $ | 14.77 | $ | 18.59 | ||||||||||
Total Return (%)2 | 26.08 | 9.41 | 33.93 | (1.75 | ) | 15.45 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 6,487 | $ | 7,069 | $ | 8,070 | $ | 7,921 | $ | 10,509 | ||||||||||
Ratios of expenses to average net assets (%) | 1.17 | 1.17 | 1.17 | 1.17 | 1.17 | |||||||||||||||
Ratio of net investment (loss) to average net assets (%) | (0.17 | ) | (0.31 | ) | (0.43 | ) | (0.28 | ) | (0.32 | ) | ||||||||||
Portfolio turnover (%)3 | 25 | 24 | 16 | 25 | 22 |
1 Net investment income (loss) calculated excluding permanent tax adjustments to undistributed net investment income.
2 These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
3 Portfolio turnover is calculated at the fund level and represents the entire fiscal year.
See accompanying Notes to Financial Statements.
74
Ultra Series Fund | December 31, 2021
Financial Highlights for a Share of Beneficial Interest Outstanding - continued |
INTERNATIONAL STOCK FUND | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
CLASS I | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 12.67 | $ | 11.80 | $ | 9.93 | $ | 11.73 | $ | 9.69 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.14 | 0.12 | 0.23 | 1 | 0.21 | 0.17 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.32 | ) | 0.86 | 1.84 | (1.82 | ) | 2.01 | |||||||||||||
Total from investment operations | (0.18 | ) | 0.98 | 2.07 | (1.61 | ) | 2.18 | |||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.12 | ) | (0.11 | ) | (0.20 | ) | (0.19 | ) | (0.14 | ) | ||||||||||
Capital gains | (0.78 | ) | – | – | – | – | ||||||||||||||
Total distributions | (0.90 | ) | (0.11 | ) | (0.20 | ) | (0.19 | ) | (0.14 | ) | ||||||||||
Net increase (decrease) in net asset value | (1.08 | ) | 0.87 | 1.87 | (1.80 | ) | 2.04 | |||||||||||||
Net Asset Value at end of period | $ | 11.59 | $ | 12.67 | $ | 11.80 | $ | 9.93 | $ | 11.73 | ||||||||||
Total Return (%)2 | (1.34 | ) | 8.36 | 20.81 | (13.69 | ) | 22.54 | |||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 19,330 | $ | 21,852 | $ | 22,721 | $ | 21,130 | $ | 27,516 | ||||||||||
Ratios of expenses to average net assets (%) | 1.17 | 1.17 | 1.17 | 1.17 | 1.17 | |||||||||||||||
Ratio of net investment income to average net assets (%) | 1.01 | 0.88 | 1.83 | 1.59 | 1.27 | |||||||||||||||
Portfolio turnover (%)3 | 130 | 33 | 31 | 33 | 28 |
Year Ended December 31, | ||||||||||||||||||||
CLASS II | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 12.59 | $ | 11.73 | $ | 9.88 | $ | 11.67 | $ | 9.65 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.04 | 0.01 | 0.15 | 1 | 0.11 | 0.08 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.25 | ) | 0.93 | 1.88 | (1.73 | ) | 2.06 | |||||||||||||
Total from investment operations | (0.21 | ) | 0.94 | 2.03 | (1.62 | ) | 2.14 | |||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.10 | ) | (0.08 | ) | (0.18 | ) | (0.17 | ) | (0.12 | ) | ||||||||||
Capital gains | (0.78 | ) | – | – | – | – | ||||||||||||||
Total distributions | (0.88 | ) | (0.08 | ) | (0.18 | ) | (0.17 | ) | (0.12 | ) | ||||||||||
Net increase (decrease) in net asset value | (1.09 | ) | 0.86 | 1.85 | (1.79 | ) | 2.02 | |||||||||||||
Net Asset Value at end of period | $ | 11.50 | $ | 12.59 | $ | 11.73 | $ | 9.88 | $ | 11.67 | ||||||||||
Total Return (%)2 | (1.58 | ) | 8.09 | 20.51 | (13.91 | ) | 22.24 | |||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 7,126 | $ | 8,919 | $ | 9,691 | $ | 9,219 | $ | 13,257 | ||||||||||
Ratios of expenses to average net assets (%) | 1.42 | 1.42 | 1.42 | 1.42 | 1.42 | |||||||||||||||
Ratio of net investment income to average net assets (%) | 0.79 | 0.63 | 1.60 | 1.35 | 1.02 | |||||||||||||||
Portfolio turnover (%)3 | 130 | 33 | 31 | 33 | 28 |
1 Net investment income (loss) calculated excluding permanent tax adjustments to undistributed net investment income.
2 These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
3 Portfolio turnover is calculated at the fund level and represents the entire fiscal year.
See accompanying Notes to Financial Statements.
75
Ultra Series Fund | December 31, 2021
Financial Highlights for a Share of Beneficial Interest Outstanding - continued |
MADISON TARGET RETIREMENT 2020 FUND | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
CLASS I | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 7.87 | $ | 7.83 | $ | 7.38 | $ | 7.93 | $ | 8.06 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.13 | 0.09 | 0.16 | 1 | 0.16 | 0.19 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.02 | ) | 0.60 | 0.70 | (0.32 | ) | 0.48 | |||||||||||||
Total from investment operations | 0.11 | 0.69 | 0.86 | (0.16 | ) | 0.67 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.10 | ) | (0.13 | ) | (0.14 | ) | (0.19 | ) | (0.37 | ) | ||||||||||
Capital gains | (0.28 | ) | (0.52 | ) | (0.27 | ) | (0.10 | ) | (0.43 | ) | ||||||||||
Return of Capital | – | – | – | (0.10 | ) | – | ||||||||||||||
Total distributions | (0.38 | ) | (0.65 | ) | (0.41 | ) | (0.39 | ) | (0.80 | ) | ||||||||||
Net increase (decrease) in net asset value | (0.27 | ) | 0.04 | 0.45 | (0.55 | ) | (0.13 | ) | ||||||||||||
Net Asset Value at end of period | $ | 7.60 | $ | 7.87 | $ | 7.83 | $ | 7.38 | $ | 7.93 | ||||||||||
Total Return (%)2 | 1.45 | 8.80 | 11.76 | (2.11 | ) | 8.34 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 27,014 | $ | 35,685 | $ | 35,602 | $ | 38,523 | $ | 47,510 | ||||||||||
Ratios of expenses to average net assets (%) | 0.31 | 0.30 | 0.30 | 0.03 | 3 | 0.00 | 3,4 | |||||||||||||
Ratio of net investment income to average net assets (%) | 1.54 | 1.14 | 2.00 | 1.75 | 3 | 1.89 | 3 | |||||||||||||
Portfolio turnover (%) | 210 | 318 | 276 | 35 | 9 |
1 Net investment income (loss) calculated excluding permanent tax adjustments to undistributed net investment income.
2 These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
3 Amount does not include income or expenses of the underlying GS Target Date Portfolio, nor the underlying expenses of the funds held by the GS Target Date Portfolio.
4 Amounts represent less than 0.01%.
See accompanying Notes to Financial Statements.
76
Ultra Series Fund | December 31, 2021
Financial Highlights for a Share of Beneficial Interest Outstanding - continued |
MADISON TARGET RETIREMENT 2030 FUND | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
CLASS I | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 8.18 | $ | 7.89 | $ | 7.34 | $ | 8.16 | $ | 8.26 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.29 | 0.09 | 0.16 | 1 | 0.17 | 0.19 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.29 | 0.82 | 1.08 | (0.50 | ) | 0.89 | ||||||||||||||
Total from investment operations | 0.58 | 0.91 | 1.24 | (0.33 | ) | 1.08 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.20 | ) | (0.12 | ) | (0.14 | ) | (0.21 | ) | (0.38 | ) | ||||||||||
Capital gains | (0.41 | ) | (0.50 | ) | (0.55 | ) | (0.28 | ) | (0.80 | ) | ||||||||||
Total distributions | (0.61 | ) | (0.62 | ) | (0.69 | ) | (0.49 | ) | (1.18 | ) | ||||||||||
Net increase (decrease) in net asset value | (0.03 | ) | 0.29 | 0.55 | (0.82 | ) | (0.10 | ) | ||||||||||||
Net Asset Value at end of period | $ | 8.15 | $ | 8.18 | $ | 7.89 | $ | 7.34 | $ | 8.16 | ||||||||||
Total Return (%)2 | 7.20 | 11.77 | 17.10 | (4.04 | ) | 13.18 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 71,328 | $ | 70,125 | $ | 62,469 | $ | 62,556 | $ | 74,415 | ||||||||||
Ratios of expenses to average net assets (%) | 0.31 | 0.30 | 0.30 | 0.03 | 3 | 0.00 | 3,4 | |||||||||||||
Ratio of net investment income to average net assets (%) | 3.40 | 1.09 | 1.97 | 1.88 | 3 | 1.78 | 3 | |||||||||||||
Portfolio turnover (%) | 215 | 372 | 244 | 33 | 13 |
1 Net investment income (loss) calculated excluding permanent tax adjustments to undistributed net investment income.
2 These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
3 Amount does not include income or expenses of the underlying GS Target Date Portfolio, nor the underlying expenses of the funds held by the GS Target Date Portfolio.
4 Amounts represent less than 0.01%.
See accompanying Notes to Financial Statements.
77
Ultra Series Fund | December 31, 2021
Financial Highlights for a Share of Beneficial Interest Outstanding - continued |
MADISON TARGET RETIREMENT 2040 FUND | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
CLASS I | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 7.52 | $ | 7.21 | $ | 6.66 | $ | 7.55 | $ | 7.66 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.31 | 0.08 | 0.15 | 1 | 0.16 | 0.19 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.36 | 0.81 | 1.09 | (0.52 | ) | 0.97 | ||||||||||||||
Total from investment operations | 0.67 | 0.89 | 1.24 | (0.36 | ) | 1.16 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.21 | ) | (0.10 | ) | (0.14 | ) | (0.21 | ) | (0.38 | ) | ||||||||||
Capital gains | (0.49 | ) | (0.48 | ) | (0.55 | ) | (0.32 | ) | (0.89 | ) | ||||||||||
Total distributions | (0.70 | ) | (0.58 | ) | (0.69 | ) | (0.53 | ) | (1.27 | ) | ||||||||||
Net increase (decrease) in net asset value | (0.03 | ) | 0.31 | 0.55 | (0.89 | ) | (0.11 | ) | ||||||||||||
Net Asset Value at end of period | $ | 7.49 | $ | 7.52 | $ | 7.21 | $ | 6.66 | $ | 7.55 | ||||||||||
Total Return (%)2 | 8.91 | 12.51 | 18.86 | (4.88 | ) | 15.16 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 40,984 | $ | 41,990 | $ | 37,060 | $ | 38,424 | $ | 49,909 | ||||||||||
Ratios of expenses to average net assets (%) | 0.31 | 0.30 | 0.30 | 0.03 | 3 | 0.00 | 3,4 | |||||||||||||
Ratio of net investment income to average net assets (%) | 3.71 | 1.08 | 1.94 | 1.69 | 3 | 1.76 | 3 | |||||||||||||
Portfolio turnover (%) | 209 | 367 | 258 | 30 | 16 |
1 Net investment income (loss) calculated excluding permanent tax adjustments to undistributed net investment income.
2 These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
3 Amount does not include income or expenses of the underlying GS Target Date Portfolio, nor the underlying expenses of the funds held by the GS Target Date Portfolio.
4 Amounts represent less than 0.01%.
See accompanying Notes to Financial Statements.
78
Ultra Series Fund | December 31, 2021
Financial Highlights for a Share of Beneficial Interest Outstanding - concluded |
MADISON TARGET RETIREMENT 2050 FUND | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
CLASS I | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||
Net Asset Value at beginning of period | $ | 13.00 | $ | 12.37 | $ | 12.03 | $ | 13.60 | $ | 12.57 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment income | 0.57 | 0.13 | 0.26 | 1 | 0.26 | 0.27 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.74 | 1.43 | 2.10 | (1.06 | ) | 1.87 | ||||||||||||||
Total from investment operations | 1.31 | 1.56 | 2.36 | (0.80 | ) | 2.14 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.38 | ) | (0.18 | ) | (0.22 | ) | (0.38 | ) | (0.54 | ) | ||||||||||
Capital gains | (0.72 | ) | (0.75 | ) | (1.80 | ) | (0.39 | ) | (0.57 | ) | ||||||||||
Total distributions | (1.10 | ) | (0.93 | ) | (2.02 | ) | (0.77 | ) | (1.11 | ) | ||||||||||
Net increase (decrease) in net asset value | 0.21 | 0.63 | 0.34 | (1.57 | ) | 1.03 | ||||||||||||||
Net Asset Value at end of period | $ | 13.21 | $ | 13.00 | $ | 12.37 | $ | 12.03 | $ | 13.60 | ||||||||||
Total Return (%)2 | 10.22 | 12.80 | 20.55 | (5.85 | ) | 16.99 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 34,283 | $ | 30,437 | $ | 24,850 | $ | 23,081 | $ | 28,231 | ||||||||||
Ratios of expenses to average net assets (%) | 0.30 | 0.30 | 0.30 | 0.03 | 3 | 0.00 | 3,4 | |||||||||||||
Ratio of net investment income to average net assets (%) | 4.34 | 1.07 | 1.95 | 1.61 | 3 | 1.79 | 3 | |||||||||||||
Portfolio turnover (%) | 228 | 390 | 292 | 37 | 8 |
1 Net investment income (loss) calculated excluding permanent tax adjustments to undistributed net investment income.
2 These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted.
3 Amount does not include income or expenses of the underlying GS Target Date Portfolio, nor the underlying expenses of the funds held by the GS Target Date Portfolio.
4 Amounts represent less than 0.01%.
See accompanying Notes to Financial Statements.
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Ultra Series Fund | December 31, 2021
1. ORGANIZATION
The Ultra Series Fund (the “Trust”), a Massachusetts business trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. The Trust is a series trust with 14 investment portfolios (individually, a “fund,” and collectively, the “funds”), each with different investment objectives and policies. The funds are the Core Bond Fund, High Income Fund, Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Fund and International Stock Fund (collectively, the “Core Funds”), the Conservative Allocation Fund, Moderate Allocation Fund and Aggressive Allocation Fund (collectively, the “Target Allocation Funds”) and the Madison Target Retirement 2020 Fund, Madison Target Retirement 2030 Fund, Madison Target Retirement 2040 Fund, and Madison Target Retirement 2050 Fund, (collectively, the “Target Date Funds”). Madison Asset Management, LLC (the “Investment Adviser” or “Madison”) serves as the funds’ investment adviser. Effective February 28, 2021, Madison took over management of the International Stock Fund from Lazard Asset Management, LLC, the previous Subadviser.
The Declaration of Trust permits the Board of Trustees to issue an unlimited number of full and fractional shares of the Trust without par value. All funds, except the Target Date Funds, offer Class I and II shares. The Target Date Funds only offer Class I shares. Each class of shares represents an interest in the assets of the respective fund and has identical voting, dividend, liquidation and other rights, except that each class of shares bears its own distribution fee, if any, and its proportional share of fund level expenses, and has exclusive voting rights on matters pertaining to Rule 12b-1 under the 1940 Act as it relates to that class and other class specific matters. Shares are offered to separate accounts (the “Accounts”) of CMFG Life Insurance Company and to qualified pension and retirement plans of CMFG Life Insurance Company or its affiliates (“CUNA Mutual Group”). The Trust may, in the future, offer other share classes to separate accounts of insurance companies and to qualified pension and retirement plans that are not affiliated with CUNA Mutual Group. The Trust does not offer shares directly to the general public.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reported period. Actual results could differ from those estimates.
The funds are investment companies that apply the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services-Investment Companies (ASC 946). The following is a summary of significant accounting policies consistently followed by each fund in the preparation of its financial statements.
Portfolio Valuation: The Trust and each series of the Trust, referred to individually as a fund, values securities and other investments as follows: Equity securities, including closed-end investment companies, American Depositary Receipts (“ADRs”),Global Depositary Receipts (“GDRs”) and exchange-traded funds (“ETFs”) listed on any U.S. or foreign stock exchange or quoted on the National Association of Securities Dealers Automated Quotation System (“NASDAQ’’) are valued at the last quoted sale price or official closing price on that exchange or NASDAQ on the valuation day (provided that, for securities traded on NASDAQ, the funds utilize the NASDAQ Official Closing Price (“NOCP”)). If no sale occurs, equities traded on a U.S. exchange, foreign exchange or on NASDAQ are valued at the bid price. Debt securities (other than short-term obligations) purchased with a remaining maturity of 61 days or more are valued on the basis of last available bid prices or current market quotations provided by dealers
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or pricing services approved by the Trust. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures based on valuation technology commonly employed in the market for such investments.
Municipal debt securities are traded via a network among dealers and brokers that connect buyers and sellers. They are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services approved by the Trust. There may be little trading in the secondary market for the particular bonds and other debt securities, making them more difficult to value or sell. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche.
Investments in shares of open-end mutual funds, including money market funds, are valued at their daily net asset value (“NAV”) which is calculated as of the close of regular trading on the New York Stock Exchange (the “NYSE”) usually 4:00 p.m. Eastern Standard Time on each day on which the NYSE is open for business. NAV per share is determined by dividing each fund’s total net assets by the number of shares of such fund outstanding at the time of calculation. Because the assets of each Target Allocation Fund and each Target Date Fund consist primarily of shares of other registered investment companies (the “Underlying Funds”), the NAV of each fund is determined based on the NAVs of the Underlying Funds. Total net assets are determined by adding the total current value of portfolio securities, cash, receivables, and other assets and subtracting liabilities. Short-term instruments having maturities of 60 days or less are valued on an amortized cost basis, which approximates fair value.
Over-the-counter securities not listed or traded on NASDAQ are valued at the last sale price on the valuation day. If no sale occurs on the valuation day, an over-the-counter security is valued at the last bid price. Exchange-traded options are valued at the mean of the best bid and ask prices across all option exchanges. Over-the-counter options are valued based upon prices provided by market makers in such securities or dealers in such currencies. Financial futures contracts generally are valued at the settlement price established by the exchange(s) on which the contracts are primarily traded. Spot and forward foreign currency exchange contracts are valued based on quotations supplied by dealers in such contracts. Overnight repurchase agreements are valued at cost, and term repurchase agreements (i.e., those whose maturity exceeds seven days), swaps, caps, collars and floors, if any, are valued at the average of the closing bids obtained daily from at least one dealer.
Through the end of this reporting period, the value of all assets and liabilities expressed in foreign currencies was converted into U.S. dollar values using the then-current exchange rate at the close of regular trading on the NYSE.
All other securities for which either quotations are not readily available, no other sales have occurred, or in the Investment Adviser’s opinion, do not reflect the current fair value, are appraised at their fair values as determined in good faith by the Investment Adviser’s Pricing Committee (the “Committee”) and under the general supervision of the Board of Trustees. When fair value pricing of securities is employed, the prices of securities used by the funds to calculate NAV may differ from market quotations or NOCP. Because the Target Allocation Funds and Target Date Funds primarily invest in Underlying Funds, government securities and short-term paper, it is not anticipated that the Investment Adviser will need to “fair value” any of the investments of these funds. However, an Underlying Fund may need to “fair value” one or more of its investments, which may, in turn, require a Target Allocation Fund or Target Date Fund to do the same because of delays in obtaining the Underlying Fund’s NAV.
A fund’s investments will be valued at fair value if, in the judgment of the Committee, an event impacting the value of an investment occurred between the closing time of a security’s primary market or exchange (for example,
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Ultra Series Fund | Notes to Financial Statements - continued | December 31, 2021
a foreign exchange or market) and the time the fund’s share price is calculated as of the close of regular trading on the NYSE. Significant events may include, but are not limited to, the following: (1) significant fluctuations in domestic markets, foreign markets or foreign currencies; (2) occurrences not directly tied to the securities markets such as natural disasters, armed conflicts or significant government actions; and (3) major announcements affecting a single issuer or an entire market or market sector. In responding to a significant event, the Committee would determine the fair value of affected securities considering factors including, but not limited to: fundamental analytical data relating to the investment; the nature and duration of any restrictions on the disposition of the investment; and the forces influencing the market(s) in which the investment is purchased or sold.
In addition to the fair value decisions made by the Committee noted above, the Committee also engages an independent fair valuation service to adjust the valuations of foreign equity securities based on specific market-movement parameters established by the Committee and approved by the Board of Trustees. Such adjustments to the valuation of foreign securities are applied automatically upon market close if the parameters established are exceeded. A foreign security is also automatically fair valued if the exchange it is traded on is on holiday.
Recently Issued Accounting Pronouncements: In March 2020, the FASB issued Accounting Standards Update (“ASU”) 2020-04, which provides optional expedients and exceptions for contracts, hedging relationships and other transactions affected by reference rate reform if certain criteria are met. The adoption of the ASU is elective. At this time, management is evaluating the implications of these changes on the financial statements.
Security Transactions and Investment Income: Security transactions are accounted for on a trade date basis. Net realized gains or losses on sales are determined by the identified cost method. Net realized gain on investments in the Statements of Operations also includes realized gain distributions received from the underlying exchange-listed funds. Distributions of net realized gains are recorded on the fund’s ex-distribution date. Dividend income is recorded on ex-dividend date, except that certain dividends from foreign securities may be recorded after the ex-dividend date based on when the funds are informed of the dividend. Interest income is recorded on an accrual basis and is increased by the accretion of discount and decreased by the amortization of premium. Amortization and accretion are recorded on the effective yield method.
Expenses: Expenses that are directly related to one fund are charged directly to that fund. Other operating expenses are prorated to the funds on the basis of relative net assets. Class-specific expenses are borne by that class.
Classes: Income and realized and unrealized gains/losses are allocated to the respective classes on the basis of relative net assets.
Repurchase Agreements: Each fund may engage in repurchase agreements. In a repurchase agreement, a security is purchased for a relatively short period (usually not more than seven days) subject to the obligation to sell it back to the issuer at a fixed time and price plus accrued interest. The funds will enter into repurchase agreements only with members of the Federal Reserve System, U.S. Central Credit Union and with “primary dealers” in U.S. government securities.
The Trust has established a procedure providing that the securities serving as collateral for each repurchase agreement must be delivered to the Trust’s custodian either physically or in book-entry form and that the collateral must be marked to market daily to ensure that each repurchase agreement is fully collateralized at all times. In the event of bankruptcy or other default by a seller of a repurchase agreement, a fund could experience one of the following: delays in liquidating the underlying securities during the period in which the fund seeks to enforce its rights thereto, possible decreased levels of income, declines in value of the underlying securities, or lack of access to income during this period and the expense of enforcing its rights. As of December 31, 2021, none of the funds held open repurchase agreements.
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Foreign Currency Transactions: The Trust’s books and records are maintained in U.S. dollars. Foreign currency-denominated transactions (i.e., investment securities, assets and liabilities, purchases and sales of investment securities, and income and expenses) are translated into U.S. dollars at the current rate of exchange. The funds enter into contracts on the trade date to settle any securities transactions denominated in foreign currencies on behalf of the funds at the spot rate at settlement.
Each fund reports certain foreign currency-related transactions as components of realized gains or losses for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes. Realized gains or losses associated with currency transactions are included in the Statements of Operations under the heading “Net realized gain (loss) on investments.” For the year ended, December 31, 2021, The International Stock Fund had net realized losses of $(2,228) foreign currency transactions. As of December 31, 2021, only the International Stock Fund had open foreign currency transactions.
The funds do not isolate the portion of gains and losses on investments in securities that is due to changes in the foreign exchange rates from that which is due to change in market prices of securities. Such amounts are categorized as gain or loss on investments for financial reporting purposes.
Forward Foreign Currency Exchange Contracts: Each fund may purchase and sell forward foreign currency exchange contracts for defensive or hedging purposes. When entering into forward foreign currency exchange contracts, the funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily. The funds’ net assets reflect unrealized gains or losses on the contracts as measured by the difference between the forward foreign currency exchange rates at the dates of entry into the contracts and the forward rates at the reporting date. The funds realize a gain or a loss at the time the forward foreign currency exchange contracts are settled or closed out with an offsetting contract. Contracts are traded over-the-counter directly with a counterparty. Realized and unrealized gains and losses are included in the Statements of Operations. As of December 31, 2021, none of the funds had open forward foreign currency exchange contracts.
If a fund enters into a forward foreign currency exchange contract to buy foreign currency for any purpose, the fund will be required to place cash or other liquid assets in a segregated account with the fund’s custodian in an amount equal to the value of the fund’s total assets committed to the consummation of the forward contract. If the value of the securities in the segregated account declines, additional cash or securities will be placed in the segregated account so that the value of the account will equal the amount of the fund’s commitment with respect to the contract.
Cash Concentration: At times, the funds maintain cash balances at financial institutions in excess of federally insured limits. The funds monitor this credit risk and have not experienced any losses related to this risk.
Illiquid Securities: Each fund currently limits investments in illiquid investments, as defined by Rule 22e-4 under the 1940 Act, to 15% of net assets at the time of purchase. An illiquid investment is generally defined as a security that a fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the security. At December 31, 2021, there were no illiquid securities held in the funds.
Delayed Delivery Securities: Each fund may purchase securities on a when-issued or delayed delivery basis. “When-issued” refers to securities whose terms are available and for which a market exists, but that have not been issued. For when-issued or delayed delivery transactions, no payment is made until delivery date, which is typically longer than the normal course of settlement. When a fund enters into an agreement to purchase securities on a when-issued or delayed delivery basis, the fund segregates cash or other liquid securities, of any
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Ultra Series Fund | Notes to Financial Statements - continued | December 31, 2021
type or maturity, equal in value to the fund’s commitment. Losses may arise due to changes in the fair value of the underlying securities, if the counterparty does not perform under the contract, or if the issuer does not issue the securities due to political, economic or other factors. As of December 31, 2021, none of the funds had entered into such transactions.
Indemnifications: Under the funds’ organizational documents, the funds’ officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the funds. In the normal course of business, the funds enter into contracts that contain a variety of representations and provide general indemnifications. The funds’ maximum liability exposure under these arrangements is unknown, as future claims that have not yet occurred may be made against the funds. However, based on experience, management expects the risk of loss to be remote.
3. FAIR VALUE MEASUREMENTS
Each fund has adopted FASB guidance on fair value measurements. Fair value is defined as the price that each fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data “inputs” and minimize the use of unobservable “inputs” and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk (for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs used in the valuation technique). Inputs may be observable or unobservable.
Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rate volatilities, prepayment speeds, credit risk, benchmark yields, transactions, bids, offers, new issues, spreads, and other relationships observed in the markets among comparable securities, underlying equity of the issuer; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance, and other reference data, etc.)
Level 3 - significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments)
The valuation techniques used by the funds to measure fair value for the year ended December 31, 2021 maximized the use of observable inputs and minimized the use of unobservable inputs. The funds utilized the following fair value techniques: multi-dimensional relational pricing model and option adjusted spread pricing; the funds estimated the price that would have prevailed in a liquid market for an international equity security given information available at the time of valuation. As of December 31, 2021, none of the funds held securities deemed as a Level 3, and there were no transfers between classification levels.
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The following is a summary of the inputs used as of December 31, 2021, in valuing the funds’ investments carried at fair value:
Fund1 | Level 1 | Level 2 | Level 3 | Value at 12/31/21 | ||||||||||||
Conservative Allocation | ||||||||||||||||
Investment Companies | $ | 147,527,293 | $ | – | $ | – | $ | 147,527,293 | ||||||||
Short-Term Investments | 4,938,269 | – | – | 4,938,269 | ||||||||||||
152,465,562 | – | – | 152,465,562 | |||||||||||||
Moderate Allocation | ||||||||||||||||
Investment Companies | 155,968,436 | – | – | 155,968,436 | ||||||||||||
Short-Term Investments | 8,570,212 | – | – | 8,570,212 | ||||||||||||
164,538,648 | – | – | 164,538,648 | |||||||||||||
Aggressive Allocation | ||||||||||||||||
Investment Companies | 51,383,375 | – | – | 51,383,375 | ||||||||||||
Short-Term Investments | 4,655,566 | – | – | 4,655,566 | ||||||||||||
56,038,941 | – | – | 56,038,941 | |||||||||||||
Core Bond | ||||||||||||||||
Asset Backed Securities | – | 4,226,100 | – | 4,226,100 | ||||||||||||
Collateralized Mortgage Obligations | – | 5,089,420 | – | 5,089,420 | ||||||||||||
Commercial Mortgage-Backed Securities | – | 1,863,144 | – | 1,863,144 | ||||||||||||
Corporate Notes and Bonds | – | 41,269,841 | – | 41,269,841 | ||||||||||||
Foreign Corporate Bonds | 3,168,901 | 3,168,901 | ||||||||||||||
Long-Term Municipal Bonds | – | 2,142,219 | – | 2,142,219 | ||||||||||||
Mortgage Backed Securities | – | 17,857,337 | – | 17,857,337 | ||||||||||||
U.S. Government and Agency Obligations | – | 27,019,096 | – | 27,019,096 | ||||||||||||
Short-Term Investments | 1,980,964 | – | – | 1,980,964 | ||||||||||||
1,980,964 | 102,636,058 | – | 104,617,022 | |||||||||||||
High Income | ||||||||||||||||
Corporate Notes and Bonds | – | 13,867,514 | – | 13,867,514 | ||||||||||||
Foreign Corporate Bonds | 1,494,022 | 1,494,022 | ||||||||||||||
Exchange Traded Funds | 513,359 | – | – | 513,359 | ||||||||||||
Short-Term Investments | 1,186,452 | – | – | 1,186,452 | ||||||||||||
1,699,811 | 15,361,536 | – | 17,061,347 | |||||||||||||
Diversified Income | ||||||||||||||||
Common Stocks | 160,253,280 | – | – | 160,253,280 | ||||||||||||
Asset Backed Securities | – | 2,473,823 | – | 2,473,823 | ||||||||||||
Collateralized Mortgage Obligations | – | 3,707,470 | – | 3,707,470 | ||||||||||||
Commercial Mortgage-Backed Securities | – | 891,673 | – | 891,673 | ||||||||||||
Corporate Notes and Bonds | – | 24,609,978 | – | 24,609,978 | ||||||||||||
Foreign Corporate Bonds | – | 1,359,282 | – | 1,359,282 | ||||||||||||
Long-Term Municipal Bonds | – | 1,340,755 | – | 1,340,755 | ||||||||||||
Mortgage Backed Securities | – | 9,893,798 | – | 9,893,798 | ||||||||||||
U.S. Government and Agency Obligations | – | 19,229,111 | – | 19,229,111 | ||||||||||||
Short-Term Investments | 6,402,038 | – | – | 6,402,038 | ||||||||||||
166,655,318 | 63,505,890 | – | 230,161,208 | |||||||||||||
Large Cap Value | ||||||||||||||||
Common Stocks | 239,395,937 | – | – | 239,395,937 | ||||||||||||
Short-Term Investments | 3,091,771 | – | – | 3,091,771 | ||||||||||||
242,487,708 | – | – | 242,487,708 | |||||||||||||
Large Cap Growth | ||||||||||||||||
Common Stocks | 224,118,235 | – | – | 224,118,235 | ||||||||||||
Short-Term Investments | 7,469,466 | – | – | 7,469,466 | ||||||||||||
231,587,701 | – | – | 231,587,701 |
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Ultra Series Fund | Notes to Financial Statements - continued | December 31, 2021
Fund1 | Level 1 | Level 2 | Level 3 | Value at 12/31/21 | ||||||||||||
Mid Cap | ||||||||||||||||
Common Stocks | 174,411,611 | – | – | 174,411,611 | ||||||||||||
Short-Term Investments | 8,553,691 | – | – | 8,553,691 | ||||||||||||
182,965,302 | – | – | 182,965,302 | |||||||||||||
International Stock | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | – | 914,610 | – | 914,610 | ||||||||||||
Brazil | 854,934 | 854,934 | ||||||||||||||
Canada | 1,180,140 | – | – | 1,180,140 | ||||||||||||
China | 488,464 | 1,101,817 | – | 1,590,281 | ||||||||||||
Denmark | – | 315,514 | – | 315,514 | ||||||||||||
France | – | 2,228,861 | – | 2,228,861 | ||||||||||||
Germany | 279,099 | 1,869,830 | – | 2,148,929 | ||||||||||||
Hong Kong | – | 327,805 | – | 327,805 | ||||||||||||
India | 1,783,611 | – | – | 1,783,611 | ||||||||||||
Ireland | 299,417 | 358,053 | – | 657,470 | ||||||||||||
Israel | 368,913 | – | – | 368,913 | ||||||||||||
Italy | 368,042 | – | – | 368,042 | ||||||||||||
Japan | – | 3,788,468 | – | 3,788,468 | ||||||||||||
Mexico | 297,702 | 498,305 | – | 796,007 | ||||||||||||
Netherlands | 1,112,320 | – | – | 1,112,320 | ||||||||||||
Singapore | – | 499,255 | – | 499,255 | ||||||||||||
South Korea | – | 292,447 | – | 292,447 | ||||||||||||
Spain | – | 313,351 | – | 313,351 | ||||||||||||
Sweden | – | 470,186 | – | 470,186 | ||||||||||||
Switzerland | – | 1,922,602 | – | 1,922,602 | ||||||||||||
Taiwan | 416,874 | 416,874 | ||||||||||||||
United Kingdom | – | 2,785,978 | – | 2,785,978 | ||||||||||||
Exchange Traded Funds | 591,250 | – | – | 591,250 | ||||||||||||
Short-Term Investments | 827,593 | – | – | 827,593 | ||||||||||||
8,868,359 | 17,687,082 | – | 26,555,441 | |||||||||||||
Madison Target Retirement 2020 | 25,627,314 | – | – | 25,627,314 | ||||||||||||
Madison Target Retirement 2030 | 67,676,808 | – | – | 67,676,808 | ||||||||||||
Madison Target Retirement 2040 | 38,866,082 | – | – | 38,866,082 | ||||||||||||
Madison Target Retirement 2050 | 32,477,229 | – | – | 32,477,229 |
1 See respective portfolio of investments for underlying holdings in each fund. For additional information on the underlying funds held in the Target Allocation Funds and Target Date Funds, including shareholder prospectuses and financial reports, please visit each underlying funds website or visit the securities and exchange commission website http://www.sec.gov
4. ADVISORY, DISTRIBUTION, ADMINISTRATIVE SERVICES AGREEMENTS AND OTHER EXPENSES
Investment Advisory Agreements: The Investment Adviser is entitled to receive an advisory fee, which is calculated daily and paid monthly, at an annual rate based upon the following percentages of average daily net assets of each fund as follows as of December 31, 2021:
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Fund | Advisory Fee | Fund | Advisory Fee | ||||
Conservative Allocation | 0.30% | Large Cap Growth | 0.80% | ||||
Moderate Allocation | 0.30% | Mid Cap | 0.90% | ||||
Aggressive Allocation | 0.30% | International Stock1 | 1.15% | ||||
Core Bond | 0.55% | Madison Target Retirement 2020 | 0.25% | ||||
High Income | 0.75% | Madison Target Retirement 2030 | 0.25% | ||||
Diversified Income | 0.70% | Madison Target Retirement 2040 | 0.25% | ||||
Large Cap Value | 0.60% | Madison Target Retirement 2050 | 0.25% |
1Effective February 28, 2021, the Investment Adviser took over management of the fund from Lazard Asset Management, LLC, the previous Subadviser.
The Investment Advisory Agreement for the Core Funds and the Target Allocation Funds is structured as a “unitary fee arrangement” and, as such, requires the Investment Adviser to provide or arrange to provide overall management of the funds, including but not limited to, investment management services, custody, transfer agency, dividend disbursing, legal, accounting and administrative services. The unitary fee arrangement with these funds does not cover, and therefore these funds pay directly for, the following fees and expenses: (i) fees and expenses of the independent Trustees; (ii) fees and expenses of independent counsel to the independent Trustees; (iii) fees and expenses of the Trust’s independent registered public accountant; (iv) brokerage commissions and other expenses incurred in the acquisition or disposition of any securities or other investments; (v) costs of borrowing money, overdrafts (if any) and any potential taxes owed; and (vi) extraordinary expenses (including litigation and/or and consulting expenses) as approved by a majority of the independent Trustees.
In contrast, the Investment Advisory Agreement for the Target Date Funds is not structured as a “unitary fee arrangement.” Accordingly, under the Investment Advisory Agreement for these funds, the Investment Adviser is only responsible for providing investment management services to the funds. Other services performed by the Investment Adviser for the Target Date Funds are covered under a separate Administrative Services Agreement (discussed below).
The Investment Adviser may from time to time, contractually or voluntarily, agree to waive a portion of its fees or expenses related to the funds. Fee waiver agreements may be modified or terminated at any time or for any reason, but only with fund Board approval. During the year ended December 31, 2021, the Investment Adviser contractually agreed to waive 0.10% of its investment advisory fee for Target Allocation Funds until at least April 30, 2022. Fees waived for the year ended December 31, 2021, reflected as “fees waived” in the accompanying Statements of Operations, were as follows:
Waived Fees or Expenses * | ||||||||||||
Fund | Class I | Class II | Total Waivers | |||||||||
Conservative Allocation | $ | 139,736 | $ | 18,521 | $ | 158,257 | ||||||
Moderate Allocation | 157,178 | 16,958 | 174,136 | |||||||||
Aggressive Allocation | 54,384 | 851 | 55,235 |
*The Investment Adviser does not have the right to recoup these waived fees.
Administrative Services Agreement - Target Date Funds: With respect to the Target Date Funds only, in addition to the advisory fee, the Investment Adviser is entitled to receive an administrative services fee pursuant to the terms of a separate Administrative Services Agreement. Under this agreement, Madison provides or arranges for the Target Date Funds to have all operational and support services needed by the funds, for which Madison is entitled to receive a fee of 0.05% annually based upon the average daily net assets of each fund, which is computed and
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accrued daily and paid monthly. Fees and expenses of independent counsel to the independent Trustees and fees and expenses of the Trust’s independent registered public accountant are covered under this agreement.
The Administrative Services Agreement with the Target Retirement Fund does not cover, and therefore these funds pay directly for, the following expenses: (i) transaction-related expenses including, but not limited to, brokerage commissions paid in connection with fund transactions, interest or fees in connection with fund indebtedness or taxes paid in connection with portfolio securities held, (ii) acquired fund fees, if any, and (iii) any extraordinary or nonrecurring expenses (such as fees and expenses relating to any temporary line of credit the funds maintain for emergency or extraordinary purposes), and (iv) Independent Trustee compensation, including Lead Independent Trustee compensation.
Other Expenses: Due to the “unitary fee arrangement” in place with respect to the Core Funds and the Target Allocation Funds, and the Administrative Services Agreement arrangement in place with respect to the Target Date Funds, the former group of funds is directly responsible for certain fees and expenses that differ somewhat from the fees and expenses for which the latter group is directly responsible.
Distribution Agreement: MFD Distributor, LLC (“MFD”) serves as distributor of the funds. The Trust adopted a distribution and service plan with respect to the Trust’s Class II shares pursuant to Rule 12b-1 under the 1940 Act. Under the plan, the Trust will pay a service fee with regard to Class II shares at an annual rate of 0.25% each fund’s daily net assets.
MFD may from time to time voluntarily agree to waive a portion of its fees or expenses related to the funds. For the year ended December 31, 2021, no fees were waived. MFD does not have the right to recoup waived fees.
Officers and Trustees: Certain officers and Trustees of the Trust may also be officers, directors and/or employees of the Adviser or its affiliates. The Trust does not compensate its officers or Trustees who are officers, directors and/or employees of the Adviser or its affiliates. The Independent Trustees fees are a direct expense of the funds which is included in the “Trustee fees” line item on the Statement of Operations. The Nominating and Governance Committee of the Board reviews fees paid to Independent Trustees periodically, and may change such fees at any time.
5. DIVIDENDS FROM NET INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
The funds declare dividends from net investment income and net realized gains from investment transactions, if any, annually, which are reinvested in additional full and fractional shares of the respective funds.
Income and capital gain distributions, if any, are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. Taxable distributions from income and realized capital gains of the funds may differ from book amounts earned during the period due to differences in the timing of capital gains recognition, and due to the reclassification of certain gains or losses from capital to income. Dividends from net investment income are determined on a class level. Capital gains are determined on a fund level.
6. SECURITIES TRANSACTIONS
For the year ended December 31, 2021, aggregate cost of purchases and proceeds from sales of securities, other than short-term investment, were as follows:
U.S. Government Securities | Other Investment Securities | |||||||||||||||
Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
Conservative Allocation | $– | $– | $76,758,054 | $88,137,954 | ||||||||||||
Moderate Allocation | – | – | 99,433,884 | 118,738,296 | ||||||||||||
Aggressive Allocation | – | – | 37,288,092 | 40,503,326 |
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Ultra Series Fund | Notes to Financial Statements - continued | December 31, 2021
U.S. Government Securities | Other Investment Securities | |||||||||||||||
Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
Core Bond | 20,242,419 | 11,188,169 | 22,147,490 | �� | 24,841,347 | |||||||||||
High Income | – | – | 8,041,515 | 8,652,287 | ||||||||||||
Diversified Income | 18,069,106 | 7,152,438 | 55,881,815 | 81,606,957 | ||||||||||||
Large Cap Value | – | – | 72,533,754 | 95,017,043 | ||||||||||||
Large Cap Growth | – | – | 35,298,996 | 65,116,193 | ||||||||||||
Mid Cap | – | – | 41,398,894 | 65,688,178 | ||||||||||||
International Stock | – | – | 35,728,605 | 39,731,430 | ||||||||||||
Madison Target Retirement 2020 | – | – | 59,759,117 | 68,608,473 | ||||||||||||
Madison Target Retirement 2030 | – | – | 143,193,849 | 144,079,744 | ||||||||||||
Madison Target Retirement 2040 | – | – | 81,813,964 | 84,663,718 | ||||||||||||
Madison Target Retirement 2050 | – | – | 71,902,648 | 69,895,271 |
7. DERIVATIVES
The FASB issued guidance intended to enhance financial statement disclosure for derivative instruments and enable investors to understand: a) how and why a fund uses derivative investments, b) how derivative instruments are accounted for, and c) how derivative instruments affect a fund’s financial position, and results of operations. As of December 31, 2021, the funds did not hold any derivatives.
The following table presents the effect of derivative instruments on the Statements of Operations for the year ended December 31, 2021:
Fund | Underlying Risk | Statements of Operations | Realized Gain (Loss) on Derivatives: | Change in Unrealized Appreciation (Depreciation) on Derivatives | ||||||||
Core Bond | Interest rate | Options Purchased | $ | (8,498 | ) | $ | – | |||||
Interest rate | Options written | 2,753 | – | |||||||||
$ | (5,745 | ) | $ | – |
The average volume (based on the open positions at each month-end) of derivative activity during the year ended December 31, 2021.
Fund | Options Purchased Contracts(1) | Options Written Contracts(1) | ||
Core Bond | 2 | 2 |
(1) Number of Contracts
There is no impact on the financial statements of the other funds as they did not hold derivative investments during the year ended December 31, 2021.
8. FUTURES CONTRACTS AND OPTIONS ON FUTURES CONTRACTS
The Core Bond Fund (for purposes of this Note, the “Fund”), may purchase and sell futures contracts and purchase and write options on futures contracts on a limited basis. The Fund may purchase and sell futures contracts based on various securities (such as U.S. Government securities), securities indices, foreign currencies and other financial instruments and indices. The Fund will engage in futures or related options transactions on a limited basis only for bona fide hedging purposes or for purposes of seeking to increase total returns to the extent permitted by regulations of the Commodity Futures Trading Commission.
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Ultra Series Fund | Notes to Financial Statements - continued | December 31, 2021
Futures Contracts. The Fund may use futures contracts to manage its exposure to the securities markets or to movements in interest rates and currency values. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the securities held by the Fund and the prices of futures contracts and the possibility of an illiquid market. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to deposit with its futures broker an amount of cash, U.S. government and agency obligations, or other liquid assets, in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and based on such movements in the price of the contracts, an appropriate payable or receivable for the change in value may be posted or collected by the Fund (“variation margin”). Gains or losses are recognized but not considered realized until the contracts expire or close. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed within exchange traded or centrally cleared financial derivative instruments on the Statements of Assets and Liabilities. During the year ended December 31, 2021, the Fund did not enter into any futures contracts.
Options on Futures Contracts. The acquisition of put and call options on futures contracts will give the Fund the right (but not the obligation) for a specified price, to sell or to purchase, respectively, the underlying futures contract at any time during the option period. As the purchaser of an option on a futures contract, the Fund obtains the benefit of the futures position if prices move in a favorable direction but limits its risk of loss in the event of an unfavorable price movement to the loss of the premium and transaction costs.
The writing of a call option on a futures contract generates a premium which may partially offset a decline in the value of the Fund’s assets. By writing a call option, the Fund becomes obligated, in exchange for the premium, to sell a futures contract which may have a value higher than the exercise price. Conversely, the writing of a put option on a futures contract generates a premium, which may partially offset an increase in the price of securities that the Fund intends to purchase. However, the Fund becomes obligated to purchase a futures contract, which may have a value lower than the exercise price. Thus, the loss incurred by the Fund in writing options on futures is potentially unlimited and may exceed the amount of the premium received. During the year ended December 31, 2021, the Fund did not enter into any options on futures contracts.
9. FOREIGN SECURITIES
Each fund may invest in foreign securities. Foreign securities are defined as securities that are: (i) issued by companies organized outside the U.S. or whose principal operations are outside the U.S., or issued by foreign governments or their agencies or instrumentalities (“foreign issuers”); (ii) principally traded outside of the U.S.; and/or (iii) quoted or denominated in a foreign currency (“non-dollar securities”). Foreign securities include American Depositary Receipts (“ADRs”), European Depositary Receipts (“EDRs”), Global Depositary Receipts (“GDRs”), Swedish Depositary Receipts (“SDRs”) and foreign money market securities. U.S. dollar-denominated securities that are part of the Merrill Lynch U.S. Domestic Master Index are not considered a foreign security.
Certain of the funds have reclaimed receivable balances, in which the funds are due a reclaim on the taxes that have been paid to some foreign jurisdictions. The values of all reclaims are not significant for any of the funds and are reflected in other assets on the Statements of Assets and Liabilities. These receivables are reviewed to ensure the current receivable balance is reflective of the amount deemed to be collectable.
10. SECURITIES LENDING
The Board of Trustees has authorized the funds, other than the Target Date Funds, to engage in securities lending with State Street Bank and Trust Company as securities lending agent pursuant to a Securities Lending Authorization Agreement (the “Agreement”) and subject to the Trust’s securities lending policies and procedures.
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Ultra Series Fund | Notes to Financial Statements - continued | December 31, 2021
Under the terms of the Agreement, and subject to the policies and procedures, the authorized funds may lend portfolio securities to qualified borrowers in order to generate additional income, while managing risk associated with the securities lending program. The Agreement requires that loans are collateralized at all times by cash or U.S. government securities, initially equal to at least 102% of the value of domestic securities and 105% of non-domestic securities, based upon the prior days market value for securities loaned. The loaned securities and collateral are marked to market daily to maintain collateral at 102% and 105% for non-domestic security of the total loaned portfolio for each broker/borrower. Amounts earned as interest on investments of cash collateral, net of rebates and fees, if any, are included in the Statements of Operations. The primary risk associated with securities lending is loss associated with investment of cash and non-cash collateral. A secondary risk is if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons. The funds could experience delays and costs in recovering securities loaned or in gaining access to the collateral. Under the Agreement, the securities lending agent has provided a limited indemnification in the event of a borrower default. The funds do not have a master netting agreement.
As of December 31, 2021, the aggregate fair value of securities on loan for the Trust was $24,046,497. Cash collateral received for such loans is reinvested into the State Street Navigator Securities Lending Government Money Market Portfolio. Non-cash collateral is comprised of U.S. treasuries or government securities. See below for fair value on loan and collateral breakout for each fund and each respective fund’s portfolio of investments for individual securities identified on loan.
Fund | Fair Value on Loan | Cash Collateral* | Non-Cash Collateral* | |||||||||
Conservative Allocation | $ | 6,950,466 | $ | 629,006 | $ | 6,780,581 | ||||||
Moderate Allocation | 5,443,637 | 1,740,951 | 3,831,296 | |||||||||
Aggressive Allocation | 2,724,418 | 2,713,481 | 77,644 | |||||||||
Core Bond | 470,702 | 476,055 | - | |||||||||
High Income | 793,151 | 808,955 | - | |||||||||
Diversified Income | 145,202 | 148,268 | - | |||||||||
Large Cap Growth | 7,401,842 | 3,497,490 | 4,109,727 | |||||||||
International Stock | 117,079 | 124,454 | - |
* Collateral represents minimum 102% of the value of domestic securities and 105% of non-domestic securities on loan, based upon the prior days market value for securities loaned.
The following table provides increased transparency about the types of collateral pledged for securities lending transactions that are accounted for as secured borrowing. Non-cash collateral is not reflected in the table because the funds cannot repledge or resell this collateral.
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Ultra Series Fund | Notes to Financial Statements - continued | December 31, 2021
Remaining Contractual Maturity of the Agreements As of December 31, 2021 | ||||||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | ||||||||||||||||
Securities Lending Transactions(1) | ||||||||||||||||||||
Conservative Allocation | ||||||||||||||||||||
Government Money Market | $ | 629,006 | $ | — | $ | — | $ | — | — | 629,006 | ||||||||||
Total Borrowings | $ | 629,006 | $ | — | $ | — | $ | — | $ | 629,006 | ||||||||||
Gross amount of recognized liabilities for securities lending transactions | $ | 629,006 | ||||||||||||||||||
Moderate Allocation | ||||||||||||||||||||
Government Money Market | $ | 1,740,951 | $ | — | $ | — | $ | — | — | 1,740,951 | ||||||||||
Total Borrowings | $ | 1,740,951 | $ | — | $ | — | $ | — | $ | 1,740,951 | ||||||||||
Gross amount of recognized liabilities for securities lending transactions | $ | 1,740,951 | ||||||||||||||||||
Aggressive Allocation | ||||||||||||||||||||
Government Money Market | $ | 2,713,481 | $ | — | $ | — | $ | — | $ | 2,713,481 | ||||||||||
Total Borrowings | $ | 2,713,481 | $ | — | $ | — | $ | — | $ | 2,713,481 | ||||||||||
Gross amount of recognized liabilities for securities lending transactions | $ | 2,713,481 | ||||||||||||||||||
Core Bond | ||||||||||||||||||||
Government Money Market | $ | 476,055 | $ | — | $ | — | $ | — | — | 476,055 | ||||||||||
Total Borrowings | $ | 476,055 | $ | — | $ | — | $ | — | $ | 476,055 | ||||||||||
Gross amount of recognized liabilities for securities lending transactions | $ | 476,055 | ||||||||||||||||||
High Income | ||||||||||||||||||||
Government Money Market | $ | 808,955 | $ | — | $ | — | $ | — | $ | 808,955 | ||||||||||
Total Borrowings | $ | 808,955 | $ | — | $ | — | $ | — | $ | 808,955 | ||||||||||
Gross amount of recognized liabilities for securities lending transactions | $ | 808,955 | ||||||||||||||||||
Diversified Income | ||||||||||||||||||||
Government Money Market | $ | 148,268 | $ | — | $ | — | $ | — | $ | 148,268 | ||||||||||
Total Borrowings | $ | 148,268 | $ | — | $ | — | $ | — | $ | 148,268 | ||||||||||
Gross amount of recognized liabilities for securities lending transactions | $ | 148,268 | ||||||||||||||||||
Large Cap Growth | ||||||||||||||||||||
Government Money Market | $ | 3,497,490 | $ | — | $ | — | $ | — | — | 3,497,490 | ||||||||||
Total Borrowings | $ | 3,497,490 | $ | — | $ | — | $ | — | $ | 3,497,490 | ||||||||||
Gross amount of recognized liabilities for securities lending transactions | $ | 3,497,490 | ||||||||||||||||||
International Stock | ||||||||||||||||||||
Government Money Market | $ | 124,454 | $ | — | $ | — | $ | — | $ | 124,454 | ||||||||||
Total Borrowings | $ | 124,454 | $ | — | $ | — | $ | — | $ | 124,454 | ||||||||||
Gross amount of recognized liabilities for securities lending transactions | $ | 124,454 |
(1) Amounts represent the payable for cash collateral received on securities on loan. This will generally be in the “Overnight and Continuous” column as the securities are typically callable on demand. The payable will be allocated into categories of securities based on the market value of the securities on loan.
11. FEDERAL INCOME TAX INFORMATION
It is each fund’s policy to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended applicable to regulated investment companies and to distribute all its taxable income to its shareholders and any net realized capital gains at least annually. Accordingly, no provisions for federal income taxes are recorded in the accompanying statements.
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Ultra Series Fund | Notes to Financial Statements - continued | December 31, 2021
The funds have not recorded any liabilities for material unrecognized tax benefits as of December 31, 2021. It is each fund’s policy to recognize accrued interest and penalties related to uncertain tax benefits in income taxes, as appropriate. Tax years that remain open to examination by major tax jurisdictions include tax years ended December 31, 2018 through December 31, 2021.
The tax character of distributions paid during the years ended December 31, 2021 and 2020 were as follows:
Ordinary Income | LongTerm Capital Gain | Return of Capital | ||||||||||||||||||||||
Fund | 2021 | 2020 | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||
Conservative Allocation | $ | 3,428,332 | $ | 4,489,660 | $ | 882,538 | $ | 4,640,395 | $ | – | $ | 1,905,258 | ||||||||||||
Moderate Allocation | 3,991,888 | 6,756,546 | 4,086,019 | 7,672,922 | – | 5,552,711 | ||||||||||||||||||
Aggressive Allocation | 1,418,419 | 1,887,510 | 1,710,565 | 2,589,728 | – | 2,445,604 | ||||||||||||||||||
Core Bond | 2,591,420 | 3,769,726 | 1,506,289 | 1,330,880 | – | – | ||||||||||||||||||
High Income | 701,013 | 857,319 | – | – | – | – | ||||||||||||||||||
Diversified Income | 7,289,761 | 4,699,804 | 21,174,463 | 7,367,901 | – | – | ||||||||||||||||||
Large Cap Value | 4,194,653 | 3,634,027 | 6,186,579 | 2,973,764 | – | – | ||||||||||||||||||
Large Cap Growth | 2,783,513 | 1,142,625 | 19,507,139 | 15,852,813 | – | – | ||||||||||||||||||
Mid Cap | – | – | 21,851,076 | 18,288,408 | – | – | ||||||||||||||||||
International Stock | 244,290 | 256,420 | 1,658,945 | – | – | – | ||||||||||||||||||
Madison Target Retirement 2020 | 642,504 | 2,022,602 | 667,513 | 763,806 | – | – | ||||||||||||||||||
Madison Target Retirement 2030 | 4,106,671 | 3,702,414 | 855,721 | 1,297,630 | – | – | ||||||||||||||||||
Madison Target Retirement 2040 | 2,684,387 | 2,423,195 | 779,330 | 609,124 | – | – | ||||||||||||||||||
Madison Target Retirement 2050 | 2,319,276 | 1,740,125 | 330,503 | 308,269 | – | – | ||||||||||||||||||
As of December 31, 2021, the components of distributable earnings on a tax basis were as follows:
Fund | Ordinary Income | Tax Exempt Income | Long-Term Capital Gain | |||||||||
Conservative Allocation | $ | 442,475 | $ | – | $ | 3,300,215 | ||||||
Moderate Allocation | 431,240 | – | 8,222,824 | |||||||||
Aggressive Allocation | 156,426 | – | 3,371,307 | |||||||||
Core Bond | 276,361 | – | 373,600 | |||||||||
High Income | 70,827 | – | – | |||||||||
Diversified Income | 663,747 | – | 3,838,694 | |||||||||
Large Cap Value | 370,113 | – | 2,586,216 | |||||||||
Large Cap Growth | 303,724 | – | 2,790,509 | |||||||||
Mid Cap | 92,452 | – | 3,887,217 | |||||||||
International Stock | 23,593 | – | 190,298 | |||||||||
Madison Target Retirement 2020 | 184,860 | – | 96,542 | |||||||||
Madison Target Retirement 2030 | 1,272,216 | – | 76,577 | |||||||||
Madison Target Retirement 2040 | 838,164 | – | 91,951 | |||||||||
Madison Target Retirement 2050 | 731,660 | – | 48,967 |
For federal income tax purposes, the Funds listed below have capital loss carryforwards as of December 31, 2021, which are available to offset future capital gains, if any, realized through the fiscal year listed:
No Expiration Date | |||||||
Fund | Short Term | Long Term | |||||
High Income | $ | 479,206 | $ | 1,861,309 |
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Ultra Series Fund | Notes to Financial Statements - continued | December 31, 2021
Certain specified losses incurred after October 31 and within the taxable year are deemed to arise on the first day of the funds’ next taxable year, if the funds so elect. For the year ended December 31, 2021, none of the funds elected to defer post- October losses.
For the year-ended December 31, 2021, capital losses utilized for each Fund were as follows:
Fund | Amount Utilized | |||
High Income | $ | 254,494 | ||
Large Cap Value | 17,297,841 | |||
International Stock | 4,657,572 |
At December 31, 2021, the aggregate gross unrealized appreciation (depreciation) and net unrealized appreciation (depreciation) for all securities as computed on a federal income tax basis for each fund were as follows:
Fund | Appreciation | Depreciation | Net | |||||||||
Conservative Allocation | $ | 10,814,787 | $ | (1,099,272 | ) | $ | 9,715,515 | |||||
Moderate Allocation | 22,648,772 | (1,415,483 | ) | 21,233,289 | ||||||||
Aggressive Allocation | 8,684,455 | (520,242 | ) | 8,164,213 | ||||||||
Core Bond | 5,133,367 | (764,854 | ) | 4,368,513 | ||||||||
High Income | 401,683 | (165,395 | ) | 236,288 | ||||||||
Diversified Income | 65,566,743 | (688,713 | ) | 64,878,030 | ||||||||
Large Cap Value | 68,131,691 | (882,509 | ) | 67,249,182 | ||||||||
Large Cap Growth | 100,561,640 | (1,225,224 | ) | 99,336,416 | ||||||||
Mid Cap | 97,610,867 | (496,471 | ) | 97,114,396 | ||||||||
International Stock | 2,533,345 | (2,793,383 | ) | (260,038 | ) | |||||||
Madison Target Retirement 2020 | 892,279 | (210,172 | ) | 682,107 | ||||||||
Madison Target Retirement 2030 | 5,812,071 | (614,463 | ) | 5,197,608 | ||||||||
Madison Target Retirement 2040 | 4,157,873 | (461,521 | ) | 3,696,352 | ||||||||
Madison Target Retirement 2050 | 3,645,474 | (432,516 | ) | 3,212,958 |
Reclassification Adjustments: Paid-in capital, undistributed net investment income, and accumulated net realized gain (loss) have been adjusted in the Statements of Assets and Liabilities for permanent book-tax differences for all funds.
Differences primarily relate to the tax treatment of net operating losses, paydown gains and losses, foreign currency gains and losses, return of capital and other distributions from real estate investment trusts and non-REIT, securities adjustments related to Treasury Inflation Protected securities (TIPS), distribution re-designations from investments in other regulated investment companies and unusable capital carry loss carryforwards.
To the extent these book and tax differences are permanent in nature, such amounts are reclassified at the end of the fiscal year among paid-in capital in excess of par value, accumulated undistributed net investment income (loss) and accumulated net realized gain (loss) on investments and foreign currency translations. Accordingly, at December 31, 2021, reclassifications were recorded as follows:
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Ultra Series Fund | Notes to Financial Statements - continued | December 31, 2021
Fund | Undistributed Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) | ||||||
Conservative Allocation | $ | 83,060 | $ | (83,060 | ) | |||
Moderate Allocation | 170,144 | (170,144 | ) | |||||
Aggressive Allocation | 66,559 | (66,559 | ) | |||||
Core Bond | 294,266 | (294,266 | ) | |||||
High Income | (5,856 | ) | 5,856 | |||||
Diversified Income | 223,943 | (223,943 | ) | |||||
Large Cap Value | – | – | ||||||
Large Cap Growth | – | – | ||||||
Mid Cap | – | – | ||||||
International Stock | (22,011 | ) | 22,011 | |||||
Madison Target Retirement 2020 | – | – | ||||||
Madison Target Retirement 2030 | – | – | ||||||
Madison Target Retirement 2040 | – | – | ||||||
Madison Target Retirement 2050 | – | – |
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Ultra Series Fund | Notes to Financial Statements - continued | December 31, 2021
12. CAPITAL SHARES AND AFFILIATED OWNERSHIP
All capital shares outstanding at December 31, 2021, are owned by separate investment accounts and/or pension plans of CMFG Life Insurance Company.
The Target Allocation Funds invest in Underlying Funds, including the Madison Funds (the “Affiliated Underlying Funds”), which may be deemed to be under common control because of the same or investment adviser and membership in a common family of investment companies . Madison Funds’ historical financial information is available to you at no cost on the SEC’s website at www.sec.gov, by calling 1-800-877-6089 or by visiting the Madison Funds’ website at www.madisonfunds.com. A summary of the transactions with each Affiliated Underlying Fund during the year ended December 31, 2021 follows:
Fund/Underlying Fund | Beginning value as of 12/31/2020 | Gross Additions | Gross Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (depreciation) | Value at 12/31/2021 | Shares | Dividend Income | Distributions Received1 | |||||||||||||||||||||||||||
Conservative Allocation Fund | ||||||||||||||||||||||||||||||||||||
Madison Core Bond Fund | ||||||||||||||||||||||||||||||||||||
Class Y2 | $ | 38,943,656 | $ | – | $ | (37,108,924 | ) | $ | – | $ | (1,834,732 | ) | $ | – | – | $ | 109,602 | $ | – | |||||||||||||||||
Madison Core Bond Fund | ||||||||||||||||||||||||||||||||||||
Class I | – | 38,108,924 | – | – | 367,617 | 38,476,541 | 3,750,150 | 572,687 | 208,984 | |||||||||||||||||||||||||||
Madison Dividend Income | ||||||||||||||||||||||||||||||||||||
Fund Class I | 6,675,501 | 708,115 | (1,627,772 | ) | 604,956 | 154,344 | 6,515,144 | 201,395 | 124,709 | 583,406 | ||||||||||||||||||||||||||
Madison Investors Fund | ||||||||||||||||||||||||||||||||||||
Class R6 | 9,028,923 | 835,133 | – | (678 | ) | 1,233,815 | 11,097,193 | 394,357 | 55,242 | 779,891 | ||||||||||||||||||||||||||
Madison Mid Cap Fund | ||||||||||||||||||||||||||||||||||||
Class R6 | 1,312,662 | – | (1,340,783 | ) | 459,368 | (431,247 | ) | – | – | – | – | |||||||||||||||||||||||||
Totals | $ | 55,960,742 | $ | 39,652,172 | $ | (40,077,479 | ) | $ | 1,063,646 | $ | (510,203 | ) | $ | 56,088,878 | $ | 862,240 | $ | 1,572,281 | ||||||||||||||||||
Moderate Allocation Fund | ||||||||||||||||||||||||||||||||||||
Madison Core Bond Fund | ||||||||||||||||||||||||||||||||||||
Class Y2 | $ | 26,537,385 | $ | – | $ | (24,350,584 | ) | $ | – | $ | (2,186,801 | ) | $ | – | – | $ | 74,687 | $ | – | |||||||||||||||||
Madison Core Bond Fund | ||||||||||||||||||||||||||||||||||||
Class I | – | 25,000,584 | – | – | 1,187,248 | 26,187,832 | 2,552,420 | 389,887 | 142,238 | |||||||||||||||||||||||||||
Madison Dividend Income | ||||||||||||||||||||||||||||||||||||
Fund Class I | 14,775,394 | 1,463,390 | (4,513,854 | ) | 1,692,229 | 14,613 | 13,431,772 | 415,202 | 260,627 | 1,202,763 | ||||||||||||||||||||||||||
Madison Investors Fund | ||||||||||||||||||||||||||||||||||||
Class R6 | 20,441,701 | 1,632,004 | (3,313,472 | ) | 1,680,450 | 1,245,270 | 21,685,953 | 770,645 | 107,952 | 1,524,050 | ||||||||||||||||||||||||||
Madison Mid Cap Fund | ||||||||||||||||||||||||||||||||||||
Class R6 | 2,255,689 | 97,148 | (496,229 | ) | 189,838 | 209,233 | 2,255,679 | 148,302 | 5,885 | 91,264 | ||||||||||||||||||||||||||
Totals | $ | 64,010,169 | $ | 28,193,126 | $ | (32,674,139 | ) | $ | 3,562,517 | $ | 469,563 | $ | 63,561,236 | $ | 839,038 | $ | 2,960,315 | |||||||||||||||||||
Aggressive Allocation Fund | ||||||||||||||||||||||||||||||||||||
Madison Core Bond Fund | ||||||||||||||||||||||||||||||||||||
Class Y2 | $ | 3,594,509 | $ | – | $ | (3,427,252 | ) | $ | 3,340 | $ | (170,597 | ) | $ | – | – | $ | 10,116 | $ | – | |||||||||||||||||
Madison Core Bond Fund | ||||||||||||||||||||||||||||||||||||
Class I | – | 3,652,252 | (119,770 | ) | – | 32,683 | 3,565,165 | 347,482 | 52,605 | 19,364 | ||||||||||||||||||||||||||
Madison Dividend Income | ||||||||||||||||||||||||||||||||||||
Fund Class I | 5,867,325 | 576,422 | (1,880,349 | ) | 723,847 | (31,840 | ) | 5,255,405 | 162,455 | 105,821 | 470,601 | |||||||||||||||||||||||||
Madison Investors Fund | ||||||||||||||||||||||||||||||||||||
Class R6 | 7,288,139 | 887,958 | (698,757 | ) | 367,561 | 632,238 | 8,477,139 | 301,249 | 42,199 | 595,758 | ||||||||||||||||||||||||||
Madison Mid Cap Fund | ||||||||||||||||||||||||||||||||||||
Class R6 | 837,481 | 37,542 | (149,645 | ) | 59,148 | 87,155 | 871,681 | 57,310 | 2,274 | 35,268 | ||||||||||||||||||||||||||
Totals | $ | 17,587,454 | $ | 5,154,174 | $ | (6,275,773 | ) | $ | 1,153,896 | $ | 549,639 | $ | 8,169,390 | $ | 213,015 | $ | 1,120,991 |
1 | Distributions received include distributions from net investment income and from capital gains from the underlying Funds. |
2 | During the year ended December 31, 2021, all Class Y shares were exchanged tax-free into Class I shares. |
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13. CONCENTRATION OF RISKS
Investing in certain financial instruments, including forward foreign currency contracts, involves certain risks. Risks associated with these instruments include potential for an illiquid secondary market for the instruments or inability of counterparties to perform under the terms of the contracts, changes in the value of foreign currency relative to the U.S. dollar and volatility resulting from an imperfect correlation between the movements in the prices of the instruments and the prices of the underlying securities and interest rates being hedged. The International Stock Fund may enter into these contracts primarily to protect the fund from adverse currency movements.
Investing in foreign securities involves certain risks not necessarily found in U.S. markets. These include risks associated with adverse changes in economic, political, regulatory and other conditions, changes in currency exchange rates, exchange control regulations, expropriation of assets or nationalization, imposition of withholding taxes on dividend or interest payments or capital gains, and possible difficulty in obtaining and enforcing judgments against foreign entities. Further, issuers of foreign securities are subject to different, and often less comprehensive, accounting, reporting and disclosure requirements than domestic issuers.
The Core Bond Fund is subject to derivatives risk, which is the risk that loss may result from investments in options, forwards, futures, swaps and other derivatives instruments. These instruments may be illiquid, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the fund. Derivatives are also subject to counterparty risk, which is the risk that the other party to the transaction will not fulfill its contractual obligations
The High Income Fund invests in securities offering high current income which generally will include bonds in the below investment grade categories of recognized rating agencies (so-called “junk bonds”). These securities generally involve more credit risk than securities in the higher rating categories. In addition, the trading market for high yield securities may be relatively less liquid than the market for higher-rated securities. The fund generally invests at least 80% of its net assets in high yield securities. The Target Allocation Funds and Target Date Funds are fund of funds, meaning that each invests primarily in Underlying Funds, including ETFs. Thus, each fund’s investment performance and its ability to achieve its investment goal are directly related to the performance of the Underlying Funds in which it invests; and the Underlying Fund’s performance, in turn, depends on the particular securities in which that Underlying Fund invests and the expenses of that fund. Accordingly, these funds are subject to the risks of the Underlying Funds in direct proportion to the allocation of their respective assets among the Underlying Funds.
Additionally, the Target Allocation Funds and Target Date Funds are subject to asset allocation risk and manager risk. Manager risk (i.e., fund selection risk) is the risk that the Underlying Fund(s) selected to fulfill a particular asset class underperforms their peers. Asset allocation risk is the risk that the allocation of a fund’s assets among the various asset classes and market segments will cause the fund to underperform other funds with a similar investment objective.
The funds may be subject to interest rate risk which is the risk that the value of your investment will fluctuate with changes in interest rates. Typically, a rise in interest rates causes a decline in the fair value of income-bearing securities. When interest rates rise, bond prices fall; generally the longer a bond’s maturity, the more sensitive it is to risk. Federal Reserve policy changes may expose fixed-income and related markets to heightened volatility and may reduce liquidity for certain fund investments, which could cause the value of a fund’s investments and share price to decline. The Core Bond Fund may invest in derivatives tied to fixed-income markets and may be more substantially exposed to these risks than a fund that does not invest in derivatives.
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Ultra Series Fund | Notes to Financial Statements - continued | December 31, 2021
The funds are also subject to cybersecurity risk, which include the risks associated with computer systems, networks and devices to carry out routine business operations. These systems, networks and devices employ a variety of protections that are designed to prevent cyberattacks. Despite the various cyber protections utilized by the funds, the Investment Adviser, and other service providers, their systems, networks, or devices could potentially be breached. The funds, their shareholders, and the Investment Adviser could be negatively impacted as a result of a cybersecurity breach. The funds cannot control the cybersecurity plans and systems put in place by service providers or any other third parties whose operations may affect the funds.
In addition to the other risks described above and in the Prospectus, you should understand what we refer to as “unknown market risks.” While investments in securities have been keystones in wealth building and management, at times these investments have produced surprises. Those who enjoyed growth and income of their investments generally were rewarded for the risks they took by investing in the markets. Although the Investment Adviser seeks to appropriately address and manage the risks identified and disclosed to you in connection with the management of the securities in the funds, you should understand that the very nature of the securities markets includes the possibility that there may be additional risks of which we are not aware. We certainly seek to identify all applicable risks and then appropriately address them, take appropriate action to reasonably manage them and to make you aware of them so you can determine if they exceed your risk tolerance. Nevertheless, the often volatile nature of the securities markets and the global economy in which we work suggests that the risk of the unknown is something to consider in connection with an investment in securities. Unforeseen events could under certain circumstances produce a material loss of the value of some or all of the securities we manage for you in the funds.
14. IMPACTS OF COVID-19
The global outbreak of COVID-19 has disrupted financial markets and the prolonged economic impact is uncertain. The performance of the funds’ investments depends on future developments, including the duration and spread of the outbreak and the creation, distribution and efficacy of a vaccine. While U.S. and global economies are recovering from the effects of COVID-19, the recovery is proceeding slower than expected and may last for a prolonged period of time. Events related to COVID-19 may result in further global economic disruption and market volatility which in turn may impact the value of each of the fund’s investments.
15. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the funds through the date the financial statements were issued. No other events have taken place that meet the definition of a subsequent event that require adjustment to, or disclosure in the financial statements.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the shareholders and the Board of Trustees of Ultra Series Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of Ultra Series Fund (the “Funds”), comprising the Conservative Allocation Fund, Moderate Allocation Fund, Aggressive Allocation Fund, Core Bond Fund, High Income Fund, Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Fund, International Stock Fund, Madison Target Retirement 2020 Fund, Madison Target Retirement 2030 Fund, Madison Target Retirement 2040 Fund, and Madison Target Retirement 2050 Fund, including the portfolios of investments as of December 31, 2021, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the funds constituting the Ultra Series Fund as of December 31, 2021, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Chicago, Illinois
February 22, 2022
We have served as the auditor of one or more Madison Investment Advisors investment companies since 2009.
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Ultra Series Fund | Notes to Financial Statements - concluded | December 31, 2021
DISCUSSION OF CONTRACT RENEWAL PROCESS AND CONSIDERATIONS
At a meeting of the Board of Trustees (the “Board” or “Trustees”) of the Ultra Series Fund (the “Trust”) held on August 5, 2021, the Board, and by a separate vote, the Independent Trustees of the Trust, approved the continuance of the Investment Advisory Agreements (the “Agreements”) between the Trust and Madison Asset Management, LLC (the “Adviser”) with respect to the applicable individual series of the Trust (each a “fund” and together, the “funds”).
In determining whether to approve the continuation of the Investment Advisory Agreements, the Adviser furnished information necessary for a majority of the Independent Trustees to make the determination that the continuance of the Agreements was in the best interests of the respective funds and their shareholders. The information provided to the Board included: (1) data comparing management fees and expense ratios of comparable investment companies; (2) comparative performance information; (3) the Adviser’s and its affiliates’ revenues and costs of providing services to the funds; and (4) information about the Adviser’s personnel. Prior to voting, the Independent Trustees reviewed the proposed continuance of the Agreements with management and independent legal counsel to the Independent Trustees and received materials from such counsel discussing the legal standards for their consideration of the proposed continuation of the Agreements. The Independent Trustees also reviewed the proposed continuation of the Agreements with independent legal counsel in a private session at which no representatives of management were present. The Independent Trustees made a variety of additional inquiries regarding the written materials provided by the Adviser and representatives of the Adviser and discussed with the Independent Trustees each of those additional inquiries during the meeting.
In approving the continuance of the Investment Advisory Agreements, the Board considered various factors, among them: (1) the nature, extent and quality of services provided by the Adviser; (2) the investment performance of each fund; (3) the costs of the services to be provided and the profits to be realized by the Adviser and their respective affiliates; (4) economies of scale; and (5) the terms of the Agreements. The Board’s analysis of these factors is set forth below. The Independent Trustees were advised by independent legal counsel throughout the process.
With regard to the nature, extent and quality of the services to be provided by the Adviser, the Board reviewed the biographies and tenure of the personnel involved in Trust management and the experience of the Adviser and its affiliates as investment manager to other investment companies with similar investment strategies or to individual clients or institutions with similar investment strategies. They recognized the wide array of investment professionals employed by the Adviser. Representatives of the Adviser discussed or otherwise presented their investment philosophies and strategies intended to provide investment performance consistent with each fund’s investment objectives in a variety of market environments. The Trustees also noted their familiarity with the Adviser, due to the Adviser’s long history of providing advisory services to the funds.
The Board also discussed the quality of services provided by the Trust by its transfer agent, sub-administrator and custodian as well as the various administrative services provided directly by the Adviser.
Based on their review of the information provided, the Board determined with respect to each fund that the nature, extent and quality of services provided by the Adviser to the funds were satisfactory.
With regard to the investment performance of the Trust and the investment adviser, the Board reviewed current performance information provided in the written Board materials. They discussed the reasons for both outperformance and underperformance compared with peer groups and applicable indices and benchmarks. They recognized that the usefulness of comparative performance data as a frame of reference to measure a fund’s
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performance may be limited because the performance peer group, among other things, may not precisely reflect the objectives and strategies of the fund, may have a different investable universe, or the composition of the peer group may be limited in size or number as well as other factors. They discussed the unique aspects of the securities markets applicable to particular funds so that the performance of any such funds could be reviewed in context. They reviewed both long-term and short-term performance and considered the effect on long-term performance that may have been attributable to any previous investment advisers/sub-advisers/portfolio managers to any fund or to a different investment strategy. They recognized that the performance data reflects a snapshot in time, in this case as of the end of the most recent calendar year or quarter. They considered that a different performance period, however, could generate significantly different results. Further, they noted that long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme has the ability to disproportionately affect long-term performance.
The Board also noted that on a quarterly basis, they review detailed information for each fund, including investment performance results, portfolio composition and investment philosophies, processes, and strategies. In addition, the Board also considered the Adviser’s quarterly portfolio commentary and discussion of each fund’s performance. They also considered whether any relative underperformance was appropriate in view of the Adviser’s conservative investment philosophy. The Board noted the type of market environments that favor the funds’ strategies and discussed the funds’ performance in such market environments. Representatives of the Adviser discussed with the Board the methodology for arriving at peer groups and indices used for performance comparisons which, with respect to peer groups, followed the same process as the prior year. The Board also considered that sometimes, the Morningstar categories the funds fall into do not precisely match a fund’s investment strategy and philosophy.
Based on their review, the Board determined that, given the totality of the above factors and considerations, each fund’s overall investment performance had been satisfactory.
With regard to the costs of the services to be provided and the profits to be realized by the investment adviser from the relationship with the Trust, the Board reviewed the expense ratios for a variety of other funds in each fund’s peer group with similar investment objectives. Like the performance comparisons described above, the expense comparisons followed the same methodology as last year in terms of peer group selection.
The Board noted that the Adviser or its affiliates, provided investment management services to other investment company and/or non-investment company clients and considered the advisory fees charged by the Adviser to such funds and clients for purposes of determining whether the given advisory fee was disproportionately large under the so-called Gartenberg standard traditionally used by investment company boards in connection with advisory contract renewal considerations. The Board took those fees into account and considered the differences in services and time required by the various types of funds and clients to which the Adviser provided services. The Board recognized that significant differences may exist between the services provided to one type of fund or client and those provided to others, such as those resulting from a greater frequency of shareholder redemptions in a mutual fund, the higher turnover of mutual fund assets and the additional compliance and regulatory work associated with managing a 1940 Act fund. The Board gave such comparisons the weight that they merit in light of the similarities and differences between the services that the various funds require. They considered that, if the services rendered by the Adviser to one type of fund or client differed significantly from others, then the comparison should be given less weight. In the case of non-investment company clients for which the Adviser acts as an investment adviser, the Board noted that the fee may be lower than the fee charged to the Trust. The Board noted too the various administrative, operational, compliance, legal and corporate communication services required to be handled by the Adviser which are performed for investment company clients but are not typically performed for non-investment company clients.
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The Trustees compared each fund’s total expense ratio and advisory fee to those of comparable funds with similar investment objectives and strategies. The Board noted the relatively simple expense structure maintained by the Target Retirement Date Funds, an advisory fee and a capped administrative “services” fee, plus expenses for Trustee compensation which are not covered by the administrative services fee; and (2) for the remaining series of the Trust, a unitary fee with limited independent expenses for Trustee compensation and audit fees not covered by the unitary fee (“Unitary Fee”). The Board reviewed total expense ratios paid by other funds with similar investment objectives and asset size, recognizing that such a comparison, while not dispositive, was an important consideration.
With regard to the administrative services provided by the Adviser under a separate Services Agreement with each of the Target Retirement Date Funds, the Board acknowledged that the Adviser is compensated for the administrative services it provides or arranges to provide to each of these funds and that such compensation does not always cover all costs incurred by the Adviser because the Services Agreement effectively acts as a cap on administrative expenses. Therefore, the Board recognized that some of the administrative, operational, regulatory or compliance fees or costs in excess of the Services Agreement fees, in the case the Target Retirement Date Funds, or in excess of the Unitary Fee, in the case of the remaining series of the Trust, are paid by the Adviser from investment advisory fees earned. In this regard, the Trustees noted that examination of each fund’s total expense ratio compared to those of other investment companies was more meaningful than a simple comparison of basic “investment management only” fee schedules.
The Trustees also noted that the Services Agreement was amended in August 2020 to reflect that Independent Trustee compensation, including Lead Independent Trustee compensation, is no longer being paid by the Adviser from the services fees it receives pursuant to the Services Agreement and, instead, is directly paid by the Target Retirement Date Funds.
In addition, the Board recognized that to the extent a fund invests in other mutual funds also managed by the Adviser, the Adviser receives investment advisory fees from both the fund and the underlying mutual fund. The Board were satisfied in this regard that the Adviser provides separate services to the Trust’s “fund of funds” portfolios and the underlying mutual funds in which each such fund invests in exchange for the fees received from them.
In reviewing costs and profits, the Board noted that for some smaller funds, the salaries of all portfolio management personnel, trading desk personnel, corporate accounting personnel and employees of the Adviser who serve as Trust officers, as well as facility costs (e.g., rent, etc.), could not be supported by fees received from such portfolios alone. However, the Board recognized that the Trust is profitable to the Adviser because such salaries and fixed costs are already paid in whole or in part from revenue generated by management of other client assets managed by the Adviser, including the Trust as a consolidated family of investment companies. The Trustees noted that total assets managed by the Adviser and its affiliates were approximately $19 billion as of December 31, 2020, and approximately $25 billion at the time of the meeting. The recent increase in assets was due, in part, to the acquisition of the Milwaukee-based Reinhart Fixed Income team, fixed income investment strategies and clients. As a result, although the fees paid by an individual fund at its present size might not be sufficient to profitably support a stand-alone fund, the Trust is reasonably profitable to the Adviser as part of its larger, diversified organization. In sum, the Trustees recognized that the Trust is important to the Adviser and is managed with the attention given to the Adviser’s other clients.
Following their review, the Board concluded that the costs for services provided by, and the level of profitability to, the Adviser with respect to the Investment Advisory and Services Agreements were reasonable considering the services provided.
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With regard to the extent to which economies of scale would be realized as each fund’s assets increase, the Trustees recognized that at their current asset levels, it was premature to discuss any economies of scale not already factored into the compensation payable under existing Investment Advisory and Services Agreements. In addition, the Trustees recognized that the Adviser was currently waiving certain fees under the Investment Advisory Agreement with regard to the USF Conservative, Moderate and Aggressive Allocation Funds.
The Board recognized that another method to help ensure the shareholders share in any economies of scale is to include breakpoints in the advisory fee schedules. Based on their review, the Board concluded that the current advisory fee schedules and fee arrangements and waivers (as applicable) were appropriate and reflect economies of scale to be shared with shareholders when assets under management increase.
Counsel to the Independent Trustees confirmed that the Trust’s Independent Trustees had met previously and reviewed the written contract renewal materials provided by the Adviser regarding the Investment Advisory Agreements and Services Agreement. Counsel noted that the Independent Trustees had considered such materials in light of the Gartenberg standard as well as criteria either set forth or discussed in the Supreme Court decision in Jones v. Harris regarding the investment company contract renewal process under Section 15(c) of the Investment Company Act of 1940, as amended. The Independent Trustees made a variety of additional inquiries regarding such written materials to the Adviser and representatives of the Adviser provided satisfactory responses thereto.
In considering the renewal of the funds’ Investment Advisory and Services Agreements, the Board, including the Independent Trustees, did not identify any single factor as controlling, and each Trustee may have attributed different weights to the various factors. The Board evaluated all information available to them on a fund-by-fund basis, and their determinations were made separately with respect to each fund. The Board reached the following conclusions regarding each fund’s Investment Advisory and Services Agreements (as applicable), among others: (a) the Adviser demonstrated that it possesses the capability and resources to perform the duties required of it under the Investment Advisory and Services Agreements, as applicable; (b) the Adviser is qualified to manage the fund’s assets in accordance with the fund’s investment objective and strategies; (c) the overall investment performance of each fund is satisfactory relative to the performance of funds with similar investment objectives and relevant indices and benchmarks; (d) the fund’s advisory and services fee is reasonable in light of the services received by the fund from the Adviser and other factors considered; and (e) the Adviser’s investment strategies are appropriate for pursuing the investment objectives of the funds. Based on the foregoing conclusions, the Board determined with respect to each fund that continuation of the Investment Advisory Agreements with the Adviser was in the best interests of the fund and its shareholders. Moreover, the Board determined that renewal of the Services Agreement for the applicable funds with such agreements currently in place was in the best interests of each respective fund and its shareholders.
FUND EXPENSES PAID BY SHAREHOLDERS
As a shareholder of the funds, you pay no transaction costs, but do incur ongoing costs which include, among other things, investment management fees; 12b-1 fees (Class II only); brokerage commissions and other expenses incurred in connection with the acquisition or disposition of investments; and costs of borrowing money. The examples in the table that follows are intended to help you understand your ongoing costs (in dollars) of investing in the funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 invested for the six-month period ended December 31, 2021. Expenses paid during the period in the table below are equal to each fund’s annualized expense ratio,
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multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half fiscal year period).
Actual Expenses
The table below provides information about actual account values using actual expenses for the funds. You may use the information in this table, together with the amount you invested, to estimate the 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 table for the fund you own under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Actual Expenses | |||||||||||||||||||||||||||||
Class I | Class II | ||||||||||||||||||||||||||||
Fund | Beginning Account Value | Ending Account Value | Annual Expense Ratio | Expenses Paid During Period | Ending Account Value | Annual Expense Ratio | Expenses Paid During Period | ||||||||||||||||||||||
Conservative Allocation Fund* | $1,000 | $1,014.50 | 0.22% | $1.17 | $1,013.20 | 0.47% | $2.44 | ||||||||||||||||||||||
Moderate Allocation Fund* | 1,000 | 1,024.50 | 0.22% | 1.12 | 1,023.20 | 0.47% | 2.40 | ||||||||||||||||||||||
Aggressive Allocation Fund* | 1,000 | 1,029.40 | 0.22% | 1.13 | 1,028.10 | 0.47% | 2.40 | ||||||||||||||||||||||
Core Bond Fund | 1,000 | 998.20 | 0.57% | 2.87 | 996.90 | 0.82% | 4.13 | ||||||||||||||||||||||
High Income Fund | 1,000 | 1,007.30 | 0.77% | 3.90 | 1,006.00 | 1.02% | 5.16 | ||||||||||||||||||||||
Diversified Income Fund | 1,000 | 1,062.00 | 0.72% | 3.74 | 1,060.70 | 0.97% | 5.04 | ||||||||||||||||||||||
Large Cap Value Fund | 1,000 | 1,087.00 | 0.62% | 3.26 | 1,085.60 | 0.87% | 4.57 | ||||||||||||||||||||||
Large Cap Growth Fund | 1,000 | 1,098.70 | 0.82% | 4.34 | 1,097.30 | 1.07% | 5.66 | ||||||||||||||||||||||
Mid Cap Fund | 1,000 | 1,122.60 | 0.92% | 4.92 | 1,121.20 | 1.17% | 6.26 | ||||||||||||||||||||||
International Stock Fund | 1,000 | 970.20 | 1.17% | 5.81 | 969.00 | 1.42% | 7.05 | ||||||||||||||||||||||
Target Retirement 2020 Fund | 1,000 | 1,009.30 | 0.31% | 1.57 | N/A | N/A | N/A | ||||||||||||||||||||||
Target Retirement 2030 Fund | 1,000 | 1,025.50 | 0.31% | 1.58 | N/A | N/A | N/A | ||||||||||||||||||||||
Target Retirement 2040 Fund | 1,000 | 1,026.80 | 0.31% | 1.58 | N/A | N/A | N/A | ||||||||||||||||||||||
Target Retirement 2050 Fund | 1,000 | 1,028.10 | 0.30% | 1.53 | N/A | N/A | N/A |
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the funds’ actual returns. 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 funds and other funds. To do so, compare the 5% hypothetical example of the funds you own with the 5% hypothetical examples that appear in the shareholder reports of other similar funds.
Hypothetical Expenses | |||||||||||||||||||||||||||||
Class I | Class II | ||||||||||||||||||||||||||||
Fund | Beginning Account Value | Ending Account Value | Annual Expense Ratio | Expenses Paid During Period | Ending Account Value | Annual Expense Ratio | Expenses Paid During Period | ||||||||||||||||||||||
Conservative Allocation Fund* | $1,000 | $1,024.05 | 0.22% | $1.17 | $1,022.79 | 0.47% | $2.45 | ||||||||||||||||||||||
Moderate Allocation Fund* | 1,000 | 1,024.10 | 0.22% | 1.12 | 1,022.84 | 0.47% | 2.40 | ||||||||||||||||||||||
Aggressive Allocation Fund* | 1,000 | 1,024.10 | 0.22% | 1.12 | 1,022.84 | 0.47% | 2.40 | ||||||||||||||||||||||
Core Bond Fund | 1,000 | 1,022.33 | 0.57% | 2.91 | 1,021.07 | 0.82% | 4.18 | ||||||||||||||||||||||
High Income Fund | 1,000 | 1,021.32 | 0.77% | 3.92 | 1,020.06 | 1.02% | 5.19 |
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Hypothetical Expenses | |||||||||||||||||||||||||||||
Class I | Class II | ||||||||||||||||||||||||||||
Fund | Beginning Account Value | Ending Account Value | Annual Expense Ratio | Expenses Paid During Period | Ending Account Value | Annual Expense Ratio | Expenses Paid During Period | ||||||||||||||||||||||
Diversified Income Fund | 1,000 | 1,021.58 | 0.72% | 3.67 | 1,020.32 | 0.97% | 4.94 | ||||||||||||||||||||||
Large Cap Value Fund | 1,000 | 1,022.08 | 0.62% | 3.16 | 1,020.82 | 0.87% | 4.43 | ||||||||||||||||||||||
Large Cap Growth Fund | 1,000 | 1,021.07 | 0.82% | 4.18 | 1,019.81 | 1.07% | 5.45 | ||||||||||||||||||||||
Mid Cap Fund | 1,000 | 1,020.57 | 0.92% | 4.69 | 1,019.31 | 1.17% | 5.96 | ||||||||||||||||||||||
International Stock Fund | 1,000 | 1,019.31 | 1.17% | 5.96 | 1,018.05 | 1.42% | 7.22 | ||||||||||||||||||||||
Target Retirement 2020 Fund | 1,000 | 1,023.64 | 0.31% | 1.58 | N/A | N/A | N/A | ||||||||||||||||||||||
Target Retirement 2030 Fund | 1,000 | 1,023.64 | 0.31% | 1.58 | N/A | N/A | N/A | ||||||||||||||||||||||
Target Retirement 2040 Fund | 1,000 | 1,023.64 | 0.31% | 1.58 | N/A | N/A | N/A | ||||||||||||||||||||||
Target Retirement 2050 Fund | 1,000 | 1,023.69 | 0.30% | 1.53 | N/A | N/A | N/A |
*The annual expense ratio does not include the expenses of the underlying funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any separate account fees, charges, or expenses imposed by the variable annuity or variable life insurance contracts, or retirement and pension plans that use the funds. The information provided in the hypothetical example table is useful in comparing ongoing fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these fees, charges or expenses were included, your costs would have been higher.
REGULATION REGARDING DERIVATIVES
On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Fund will be required to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.
STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM
In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended, Ultra Series Fund (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”). The Program seeks to promote effective liquidity risk management for each series of the Trust (individually, a “fund” and collectively, the “funds”) and to protect fund shareholders from dilution of their interests. The Board of Trustees of the Trust (the “Board”) has appointed the funds’ Chief Compliance Officer as the program administrator (the “Program Administrator”). The Program Administrator is required to provide an annual report to the Board regarding the adequacy and effectiveness of the Program, including the operation of the highly liquidity investment minimum (“HLIM”), if applicable, and any material changes to the Program.
On May 20, 2021, the Board reviewed the Program Administrator’s annual written report for the period of the first quarter of 2020 through the fourth quarter of 2020 (the “Report”). The Report provided an assessment of each funds’ liquidity risk: the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of the remaining investors’ interests in the fund. The Program assesses liquidity risk under both
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normal and reasonably foreseeable stressed market conditions. The Program Administrator uses State Street Bank and Trust Company, a third-party vendor, to provide portfolio investment classification services, and the Report noted that each fund primarily held investments that were classified as highly liquid during the review period. The Report noted that each fund’s portfolio is expected to primarily hold highly liquid investments and each fund will be considered a “primarily highly liquid fund” (as defined in the Program) and can therefore continue to rely on the exclusion in Rule 22e-4 from the requirements to determine and review a HLIM for each fund and to adopt policies and procedures for responding to a HLIM shortfall. None of the funds held a significant portion of illiquid investments and the Trust was not required to file Form N-LIQUID during the review period. The Report noted that no material changes had been made to the Program since the Board’s initial approval of the Program.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT-EX. Form N-PORT-EX is available to shareholders at no cost by calling 1-800-877-6089or on the SEC’s website at www.sec.gov. Form N-PORT-EX may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. More information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
PROXY VOTING POLICIES, PROCEDURES AND RECORDS
A description of the policies and procedures used by the Trust to vote proxies related to portfolio securities is available to shareholders, upon request, at no cost by calling 1-800-877-6089,or on the SEC’s website at www.sec. gov and is also located in the funds’ Statement of Additional Information. The proxy voting records for the Trust for the most recent twelve-month period ended June 30 is available to shareholders, upon request, at no cost by calling 1-800-SEC-0330, or on the SEC’s website at www.sec.gov.
FORWARD-LOOKING STATEMENT DISCLOSURE
One of our most important responsibilities as investment company managers is to communicate with shareholders in an open and direct manner. Some of our comments in the “Management’s Discussion of Fund Performance” are based on current management expectations and are considered “forward-looking statements.” Actual future results, however, may prove to be different from our expectations. You can identify forward-looking statements by words such as “estimate,” “may”, “will,” “expect,” “believe,” “plan” and other similar terms. We cannot promise future returns. Our opinions are a reflection of our best judgment at the time this report is compiled, and we disclaim any obligation to update or after forward-looking statements as a result of new information, future events, or otherwise.
TAX INFORMATION
Foreign Tax Credits: The funds expect to make an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the funds to their shareholders. For the year ended December 31, 2021, the following funds intend to pass through foreign tax credits and have derived gross income from foreign countries amounting to:
Fund | Foreign Tax Credit Pass-Through | Foreign Source Income | |||
International Stock | $43,485 | $682,536 |
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Corporate Dividends Received Deductions: For the taxable year ended December 31, 2021, the following percentage of income dividends paid by the fund qualify for the dividends received deduction available to corporations:
Fund | Percentage | Fund | Percentage | |||
Conservative Allocation | 12.47% | Large Cap Growth | 91.96% | |||
Moderate Allocation | 17.18% | Madison Target Retirement 2020 | 4.77% | |||
Aggressive Allocation | 20.06% | Madison Target Retirement 2030 | 4.82% | |||
Diversified Income | 51.97% | Madison Target Retirement 2040 | 5.22% | |||
Large Cap Value | 100.00% | Madison Target Retirement 2050 | 5.70% |
Qualified Dividend Income: For the taxable year ended 2021, the fund hereby designate the maximum amount of dividends allowable pursuant to the Internal Revenue Code, as qualified dividend income (“QDI”) eligible for reduced tax rates (the rates range from 5% to 15% depending upon individual’s tax bracket). Complete information regarding each fund’s income distributions paid during the calendar year 2021, including the portion, if any, which qualify as QDI, will be reported in conjunction with Form 1099-DIV.
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Ultra Series Fund’s Trustees and Officers
The address of each Trustee and Officer is 550 Science Drive, Madison, Wisconsin 53711. The Statement of Additional Information, which includes additional information about the Trustees and officers, is available at no cost on the SEC’s website at www.sec.gov or by calling CMFG Life Insurance Company at 1-800-798-5500.
Officers | ||||
Name and Age | Position(s) Held and Length of Time Served | Principal Occupation(s) During Past Five Years | Portfolios Overseen in Fund Complex by Director/Trustee1 | Other Directorships Held by Trustee |
Patrick F. Ryan 42 | President, 2020 - Present | Madison Investment Holdings, Inc. (“MIH”), Madison Asset Management, LLC (“Madison”) and Madison Investment Advisors, LLC (“MIA”), Head of Multi-Asset Solutions and Portfolio Manager, 2018 – Present;
Co-Head of Multi-Asset Solutions and Portfolio Manager, 2016 – 2017
Madison Funds (15 mutual funds) and Madison Covered Call & Equity Strategy Fund, President, 2020 - Present | N/A
| N/A |
Paul A. Lefurgey 57 | Vice President, 2009 - Present | MIH, Madison and MIA, Co-Head of Investments, 2022 – Present; CEO, 2017 – 2021; Co-Head of Fixed Income, 2019 – 2021; Director of Fixed Income Investments, 2016 - 2019; Executive Director and Head of Fixed Income Investments, 2013 - 2016; Chairman - Executive Committee, 2015 - 2017
Madison Funds (15), Vice President, 2009 – Present; Madison Covered Call & Equity Strategy Fund, Vice President, 2012 – Present; Madison Strategic Sector Premium Fund, Vice President, 2010 - 2018 | 16 | Madison Funds (15), 2020 – Present Madison Covered Call & Equity Strategy Fund, 2021 – Present |
Greg D. Hoppe 52 | Vice President, 2020 – Present; Chief Financial Officer, 2019 – Present; Treasurer, 2009 – 2019 | MIH and MIA, Vice President, 1999 - Present; Madison, Vice President, 2009 - Present
Madison Funds (15), Vice President, 2020 - Present; Chief Financial Officer, 2019 - Present; Treasurer, 2009 - 2019;
Madison Covered Call & Equity Strategy Fund, Vice President, 2020 - Present; Chief Financial Officer, 2019 - Present; Treasurer, 2012 - 2019; Madison Strategic Sector Premium Fund, Treasurer, 2009 - 2018 | N/A | N/A |
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Name and Age | Position(s) Held and Length of Time Served | Principal Occupation(s) During Past Five Years | Portfolios Overseen in Fund Complex by Director/Trustee1 | Other Directorships Held by Trustee |
Holly S. Baggot 61 | Secretary, 1999 – Present; Assistant Treasurer, 1999 – 2007 and 2009 – Present | MIH and MIA, Vice President, 2010 - Present; Madison, Vice President, 2009 - Present; MFD Distributor, LLC (“MFD”) (an affiliated brokerage firm of Madison), Vice President, 2012 - Present
Madison Covered Call & Equity Strategy Fund, Secretary and Assistant Treasurer, 2012 – Present; Madison Funds (15), Secretary, 1999 - Present and Assistant Treasurer, 1999 - 2007 and 2009 – Present; Madison Funds and Madison Covered Call & Equity Strategy Fund, Anti-Money Laundering Officer, 2019 – 2020; Madison Strategic Sector Premium Fund, Secretary and Assistant Treasurer, 2010 – 2018 | N/A | N/A |
Steve J. Fredricks 51 | Chief Compliance Officer and Assistant Secretary, 2018 - Present | MIH, MIA and Madison, Chief Legal Officer, 2020 - Present; Chief Compliance Officer, 2018 – Present
Madison Funds (15) and Madison Covered Call & Equity Strategy Fund, Chief Compliance Officer and Assistant Secretary, 2018 – Present; Madison Strategic Sector Premium Fund, Chief Compliance Officer during 2018
Jackson National Asset Management, LLC, Senior Vice President and Chief Compliance Officer, 2005 - 2018 | N/A | N/A |
Trey D. Edgerle 31 | Assistant Secretary, 2017 – Present; Anti-Money Laundering Officer, November 2020 - Present | MIH, MIA and Madison, Senior Mutual Fund and Compliance Associate, 2016 – Present
Madison Funds (15) and Madison Covered Call & Equity Strategy Fund, Assistant Secretary, 2017 – Present; Anti-Money Laundering Officer, 2020 – Present; Madison Strategic Sector Premium Fund, Assistant Secretary, 2017 – 2018
U.S. Bancorp, Mutual Fund Compliance Officer, 2013 – 2016 | N/A | N/A |
1 As of the date of this report, the fund complex consists of Madison Funds with 15 portfolios, the Ultra Series Fund with 14 portfolios, the Madison Covered Call & Equity Strategy Fund (a closed-end fund), for a grand total of 30 separate portfolios in the fund complex. Not every Trustee is a member of the Board of Trustees of every fund in the fund complex, as noted above. References to the “Fund Complex” in the preceding tables have the meaning disclosed in this paragraph.
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Independent Trustees
Name and Age | Position(s) Held and Length of Time Served | Principal Occupation(s) During Past Five Years | Portfolios Overseen in Fund Complex by Director/Trustee1 | Other Directorships Held by Trustee |
Steven P. Riege 67 | Trustee, 2005 - 2028 | Ovation Leadership (management consulting), Milwaukee, WI, Owner/President, 2001 - Present
Robert W. Baird & Company (financial services), Milwaukee, WI, Senior Vice President-Marketing and Vice President-Human Resources, 1986 – 2001 | 30 | Madison Funds (15), 2005 – Present; Madison Covered Call & Equity Strategy Fund, 2015 – Present |
Richard E. Struthers 69 | Trustee, 2004 - 2028 | Clearwater Capital Management (investment advisory firm), Naples, FL, Chair and Chief Executive Officer, 1998 - Present
Park Nicollet Health Services, Minneapolis, MN, Chairman, Finance and Investment Committee, 2006 – 2012 | 30 | Madison Funds (15), 2004 – Present; Madison Covered Call & Equity Strategy Fund, 2017 – Present |
Carrie J. Thome 53 | Trustee, 2017- 2032 | NVNG Investment Advisors, LLC, Madison, WI, Managing Director, 2019 - Present
Wisconsin Alumni Research Foundation, Madison, WI, Chief Investment Officer, 2007 – 2019 | 29 | Madison Funds (15), 2017 - Present
Dynamic Alternatives Fund, 2021 - Present |
1 A Trustee must retire at the end of the calendar year in which the first of the following two events occurs: (1) they attain the age of seventy-six (76), or (2) they have served on the Board for a total of fifteen (15) years, subject in the latter case to extension by unanimous vote of the remaining Trustees on an annual basis. The fifteen (15) year term limitation shall commence on the later of April 19, 2013 or the date of the Trustee’s initial election or appointment as a trustee. Board terms end on December 31 of the year noted.
2 As of the date of this report, the fund complex consists of Madison Funds with 15 portfolios, the Ultra Series Fund with 14 portfolios, the Madison Covered Call & Equity Strategy Fund (a closed-end fund), for a grand total of 30 separate portfolios in the fund complex. Not every Trustee is a member of the Board of Trustees of every fund in the fund complex, as noted above. References to the “Fund Complex” in the preceding tables have the meaning disclosed in this paragraph.
SEC File Number: 811-04815
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Item 2. Code of Ethics.
(a) The Trust has adopted a code of ethics that applies to the Trust’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions, regardless of whether these individuals are employed by the Trust or a third party.
(c) During the period covered by the report, registrant did not make any substantive amendments to the Code.
(d) The Trust granted no waivers from the code during the period covered by this report.
(f) Any person may obtain a complete copy of the code without charge by calling the Adviser at 800-767-0300 and requesting a copy of “the Ultra Series Fund Sarbanes Oxley Code of Ethics.”
Item 3. Audit Committee Financial Expert.
In August 2021, Richard Struthers, an “independent” Trustee and a member of the Trust’s audit committee, was appointed to serve as the Trust’s audit committee financial expert among the three independent Trustees who so qualify to serve in that capacity.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees. Total audit fees paid (or to be paid) to the registrant’s principal accountant for the fiscal years ended December 31, 2021 and 2020, respectively were $196,000 ($416,000 including the Madison Funds and the Madison Covered Call & Equity Strategy Fund, all affiliated investment companies “together, the “Affiliated Funds”) and $196,000 ($430,030 including the Affiliated Funds).
(b) Audit-Related Fees. Not applicable.
(c) Tax-Fees. For the fiscal years ended December 31, 2021 and December 31, 2020, the aggregate fees paid (or to be paid) for professional services rendered by Deloitte & Touche for tax compliance, tax advice and tax planning are approximately $32,928 ($79,706 including the Affiliated Funds) and $32,120 ($95,715 including the Affiliated Funds), respectively.
In the scope of services comprising the fees disclosed under this Item 4(c) were the following services:
-Review and sign as signature preparer for U.S. Income Tax Return for Regulated Investment Companies, Form 1120-RIC.
(d) All Other Fees. None.
(e) (1) Before any accountant is engaged by the registrant to render audit or non-audit services, the engagement must be approved by the audit committee as contemplated by paragraph (c)(7)(i)(A) of Rule 2-01of Regulation S-X.
(2) The Audit Committee has pre-approved, as required by Rule 2-01(c)(7)(i)(C) of Regulation S-X, 100% of the services described in this Item 4(b) through (d), which such services are described above.
(f) Not applicable.
(g) Not applicable.
(h) Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments
(a) Schedule included as part of the report to shareholders filed under Item 1 of this Form.
(b) Not applicable.
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.
The Trust does not normally hold shareholder meetings. There have been no changes to the Trust’s procedures during the period covered by this report.
Item 11. Controls and Procedures.
(a) The Trust’s principal executive officer and principal financial officer determined that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) are effective, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 within 90 days of the date of this report. There were no significant changes in the Trust’s internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation. The officers identified no significant deficiencies or material weaknesses.
(b) There were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a) (1) Code of ethics - See Item 2.
(3) Not applicable.
(4) There was no change in the registrant’s independent public accountant for the period covered by this report.
(b) Certifications pursuant to Section 906 of the Sarbanes - Oxley Act of 2002. Furnished herewith.
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.
Ultra Series Fund
/s/ Steven J. Fredricks
Steven J. Fredricks, Chief Compliance Officer & Chief Legal Officer
Date: February 25, 2022
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.
/s/ Patrick F. Ryan
Patrick F. Ryan, Principal Executive Officer
Date: February 25, 2022
/s/ Greg Hoppe
Greg Hoppe, Principal Financial Officer & Principal Accounting Officer
Date: February 25, 2022