UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-4603
Thrivent Series Fund, Inc.
(Exact name of registrant as specified in charter)
625 Fourth Avenue South
Minneapolis, Minnesota 55415
(Address of principal executive offices) (Zip code)
Rebecca A. Paulzine
625 Fourth Avenue South
Minneapolis, Minnesota 55415
(Name and address of agent for service)
Registrant’s telephone number, including area code: (612) 844-5168
Date of fiscal year end: December 31
Date of reporting period: December 31, 2012
| Item 1. | Report to Stockholders |
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The financial markets turned in a strong performance in 2012, with virtually every asset class generating positive returns. In this letter, I will provide a brief review of the period, as well as our outlook for the coming year.
Economic Review
The U.S. economy continued to grow at a moderate pace in 2012, aided by the Federal Reserve’s policy of keeping interest rates at extraordinarily low levels to stimulate spending and lower borrowing costs.
While the economy’s gains were sufficient to encourage optimists, they were not enough to put the 2007-2009 recession finally and fully in the rearview mirror. The nation’s gross domestic product (GDP) has been growing at about a 2% average annual rate over the past three years. That is about half the rate that would be needed to close, in a three-year period, the gap between what the economy is producing and what it could be producing if the recession had not occurred.
Economic activity did accelerate in the third quarter of last year, according to the Commerce Department’s Bureau of Economic Analysis, with GDP rising at a revised annual rate of 3.1%, up from 2.0% and 1.3% in the first and second quarters, respectively. This marked the 13th consecutive quarter of economic growth, with third-quarter gains driven largely by higher levels of personal consumption spending along with improvements in private inventory investment, federal government spending, residential fixed investment and exports.
Still, progress on the unemployment front remained muted. By December 2012 the unemployment rate stood at 7.8%, according to the early estimate from the Bureau of Labor Statistics, down only modestly from 8.5% a year earlier. The economy has replaced only about half the 8.4 million jobs lost during the 2007-2009 recession, prompting many Americans to feel like the U.S. is still mired in a downturn even though technically it is not.
Contributing to the lackluster employment picture was the continued reluctance of businesses to invest in their operations. Usually one of the main drivers of economic growth during a recovery, domestic investment shrank dramatically in 2012. Business leaders blamed uncertainty about the direction of federal tax and spending policy heading into the 2012 presidential election, and uncertainty about whether the health care mandates required by the Patient Protection and Affordable Care Act would be implemented if Republicans regained control of the White House.
Even in the month after President Obama’s reelection, the outlook on fiscal policy remained cloudy; it was not until the first week of January 2013 that Congress and the White House signed off on an agreement to avoid part of the so-called fiscal cliff—the package of tax increases and automatic spending cuts that began to take effect on January 1, 2013. Even that agreement was seen as a stopgap measure since it failed to deliver the comprehensive tax reform many business leaders say they want and only postponed the automatic spending cuts for two months.
Economic conditions in Europe and China were not helpful to the U.S. economy for most of 2012. Both regions are important to the U.S., because many U.S. companies depend upon them for a significant portion of their sales and profits. Parts of Europe slipped into a recession last year. China grew strongly by international standards, even accelerating in the fourth quarter, when its GDP expanded at a 7.9% rate year-over-year. Still, that was slow in comparison to the 10% gains it has averaged over most of the past three decades.
Market Review
Stock and bond markets both performed well in 2012, bolstered by relatively strong corporate profits and the Federal Reserve’s accommodative monetary stance.
The S&P 500, an index of large-company stocks, posted a total return of 16.00%. The Russell 2000® Index, which tracks small-company shares, generated a total return of 16.35%. Value stocks—those perceived to be trading below their intrinsic worth based on their sales, profits, dividends and other fundamental factors—generally outperformed growth stocks, with investors apparently concluding that value stocks would perform better if the economy took a turn for the worse. Dividend-paying stocks also did well, attracting not only equity investors but fixed-income investors looking for new sources of income. The S&P 500 Dividend Aristocrats Index posted a total return of 16.94%.
Despite the concerns in Europe and China, international stocks posted double-digit returns in both developed and emerging markets, with most of the gains coming in the second half of the year. The MSCI All Country World Index, excluding the U.S., generated a total return of 17.39%, while the MSCI Emerging Markets Index, which focuses on developing countries, returned 18.63%. Contributing to investor enthusiasm, especially in the fourth quarter, were these factors: bond-buying programs undertaken by the European Central Bank to reduce borrowing costs in Europe; the return to power of the Liberal Democratic Party in Japan, which is expected to pursue a policy of fiscal stimulus in that country; and a perception that China’s economy was stabilizing.
2
In the fixed-income markets, the Fed’s accommodative monetary policy was favorable for bonds across the credit
spectrum. High-yield bonds were standout performers, as strong corporate profits depressed default risk and emboldened investors eager to take advantage of the high yields those bonds were offering relative to investment-grade securities. While the broad Barclays U.S. Aggregate Bond Index generated a total return of 4.22%, the Barclays U.S. Corporate High Yield Bond Index posted a total return of 15.81%.
U.S. Treasury bonds and short-term securities generated modest results for the year. The Barclays Long-Term Treasury Index returned 3.56%, the Barclays Government/Credit 1-3 Year Bond Index returned 1.26%, and money market funds, as measured by the Lipper Money Market Funds category, returned 0%.
Our Outlook
The U.S. economy may no longer be in a recession, but it remains in the shadow of one, and we expect that to present a challenge to financial markets in 2013—especially if, as is widely expected, corporate profits begin to soften as productivity gains slow. Economists on average have been forecasting GDP growth of about 2% for the year. Our assessment of leading economic indicators suggests there is at least a chance that growth could come in higher, perhaps in the 2.5% to 3% range. Among the encouraging signals are improving fundamentals in the housing sector, which last year saw home prices rise, housing starts increase and foreclosures decrease. Although housing accounts for a relatively small portion of the GDP, its ripple effects give it an outsized impact on the economy. A positive trend in the ratio of household debt to disposable income also bodes well for economic improvement.
Even if the economy does better than expected, however, financial assets will have a difficult time matching the returns they delivered in 2012. In the fixed-income markets, especially, valuations were so high at the beginning of 2013, and yields so low, that it would be mathematically impossible for a repeat performance absent some extraordinary development. The Fed, for its part, has expressed commitment to its expansive monetary policy. It has said it plans to keep interest rates low until the unemployment rate falls to 6.5%, or until core inflation reaches 2.5%. Neither appears likely to happen in 2013.
In the stock market, prices have recovered much of what they lost during the 2007-2009 downturn. They remain below their pre-crash peak, though, and continue to exhibit high levels of volatility. Their attractive valuations—price-to-earnings ratios remain moderate—suggest that stocks should be able to generate returns in the mid to low single digits.
The ultimate performance of the stock market in the year ahead—and to some extent the performance of the bond market—will depend to a large degree on how much success Congress and the president have in crafting long-term tax and spending policies that begin to address our annual deficits and growing federal debt.
Businesses and investors had been hoping last year’s presidential election would bring new accord to Washington and greater clarity on this front, but the outcome produced little change, at least on the surface. Democrats retained control of the White House and the Senate, while Republicans retained control of the House of Representatives.
The good news is that the economy has plenty of room to grow if Washington is able to reach agreement on a responsible fiscal plan. Doing so would erase much of the uncertainty that has been constraining business investment, which in turn could lead to a surge in stock prices. The challenge for investors will be to ride out the uncertainty and market volatility that is likely to persist until and if such a resolution materializes.
If you are uncertain about how your portfolio is positioned to weather the months ahead, we encourage you to meet with your Thrivent Financial representative. He or she can help you set an asset allocation policy and choose investments that are appropriate for your goals and your tolerance for risk.
As always, thank you for the trust you have placed in our team of professionals at Thrivent Financial.
Sincerely,
Russell W. Swansen
President
Thrivent Series Fund, Inc.
3
Thrivent Aggressive Allocation Portfolio
Russell W. Swansen, David C. Francis, CFA and Mark L. Simenstad, CFA, Portfolio Co-Managers
The Portfolio seeks long-term capital growth.
The Portfolio’s performance depends upon how its assets are allocated across broad asset categories and applicable sub-classes within such categories. Some broad asset categories and sub-classes may perform below expectations or below the securities markets generally over short or extended periods. In particular, underperformance in the equity markets would have material adverse effect on the Portfolio’s total return, given its allocation to equity securities. Another risk of investing in the Portfolio is that its performance is dependent upon the performance of the underlying asset classes in which it invests. As a result, the Portfolio is subject to the same risks as those faced by the underlying asset classes. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Aggressive Allocation Portfolio earned a return of 12.25%, compared with the median return of its peer group, the Lipper Multi Cap Core category, of 15.02%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays U.S. Aggregate Bond Index, earned returns of 16.00% and 4.22%, respectively.
What factors affected the Portfolio’s performance?
Performance in the Portfolio was limited by a combination of asset allocation decisions as well as security selection impacts in some of the equity portfolios. Fixed-income results were either in line with or ahead of their respective performance benchmarks.
A key factor in the Portfolio’s relative results versus our peers and the S&P 500 Index was the performance of our small- and mid-cap stock managers. These groups underperformed their respective benchmarks. They had a modest exposure to commodities through holdings in select energy and coal companies, and that group did not keep pace with the broad equity market. Also, early in the period, the Portfolio was underweighted in its target equity exposure, which limited results as equities performed well in the first two months of the year.
Non-U.S. equity exposure in Thrivent Partner Worldwide Allocation Portfolio saw a sharp recovery in the second half, which helped Thrivent Aggressive Allocation Portfolio’s performance, as policymakers committed to support financial assets through aggressive monetary actions.
A final factor was the Portfolio’s exposure to fixed income, which averaged 9% over the period. Our fixed-income managers and assets performed well relative to their categories, but most of the fixed-income asset classes did not keep pace with domestic equity markets. The exception was our holding in the high-yield category which, in fact, performed in line with the S&P 500 Index.
What is your outlook?
Although fiscal and policy risks remain high, monetary authorities have expressed an interest or acted in unconventional ways to support the economic expansion and asset prices. For domestic stocks, we believe that earnings will continue to be the key driver. Profit margins seem unusually high and further expansion is unlikely to be a driver of above-average earnings growth going forward. While equity valuations are not high, they are
4
full and require continued progress in resolving fiscal issues both domestically and abroad without impairing what most would agree is a below-average recovery.
The challenge for the markets will be to continue to perform well in an environment characterized by unusually active policy choices and uneven growth. We are modestly optimistic that will be the case, but remain alert for changes in the environment.
Portfolio Facts
As of December 31, 2012
Net Assets | $608,188,473 | |
NAV | $12.15 | |
NAV - High† | 3/26/2012 - $12.73 | |
NAV - Low† | 6/25/2012 - $10.97 | |
Number of Holdings: 410 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | From Inception 4/29/2005 | ||
| 12.25% | 0.77% | 5.23% |
| * | The Barclays U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. |
| *** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. |
The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented.
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
5
Thrivent Moderately Aggressive Allocation Portfolio
Russell W. Swansen, David C. Francis, CFA and Mark L. Simenstad, CFA, Portfolio Co-Managers
The Portfolio seeks long-term capital growth.
The Portfolio’s performance depends upon how its assets are allocated across broad asset categories and applicable sub-classes within such categories. Some broad asset categories and sub-classes may perform below expectations or below the securities markets generally over short or extended periods. In particular, underperformance in the equity markets would have material adverse effect on the Portfolio’s total return, given its allocation to equity securities. Another risk of investing in the Portfolio is that its performance is dependent upon the performance of the underlying asset classes in which it invests. As a result, the Portfolio is subject to the same risks as those faced by the underlying asset classes. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Moderately Aggressive Allocation Portfolio earned a return of 12.87%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Growth category, of 13.46%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays U.S. Aggregate Bond Index, earned returns of 16.00% and 4.22%, respectively.
What factors affected the Portfolio’s performance?
Performance in the Portfolio was limited by a combination of asset allocation decisions as well as security selection impacts in some of the equity portfolios. Fixed-income results were either in line with or ahead of their respective performance benchmarks.
A key factor in the Portfolio’s relative results versus our peers and the S&P 500 Index was the performance of our small- and mid-cap stock managers. These groups underperformed their respective benchmarks. While they had a modest exposure to commodities through holdings in select energy and coal companies, that group did not keep pace with the broad equity market. Also, early in the period, the Portfolio was underweighted in its target equity exposure, which limited results as equities performed well in the first two months of the year.
Non-U.S. equity exposure in Thrivent Partner Worldwide Allocation Portfolio saw a sharp recovery in the second half, which helped the Portfolio’s performance, as policymakers committed to support financial assets through aggressive monetary actions.
A final factor was the Portfolio’s exposure to fixed income, which averaged approximately 24% over the period. Our fixed-income managers and assets performed well relative to their categories, but most of the fixed-income asset classes did not keep pace with domestic equity markets. The exception was our holding in the high-yield category which, in fact, performed in line with the S&P 500 Index.
What is your outlook?
Although fiscal and policy risks remain high, monetary authorities have expressed an interest or acted in unconventional ways to support the economic expansion and asset prices. For domestic stocks, we believe that
6
earnings will continue to be the key driver. Profit margins seem unusually high and further expansion is unlikely to be a driver of above-average earnings growth going forward. While equity valuations are not high, they are full and require continued progress in resolving fiscal issues both domestically and abroad without impairing what most would agree is a below-average recovery.
The challenge for the markets will be to continue to perform well in an environment characterized by unusually active policy choices and uneven growth. We are modestly optimistic that will be the case, but remain alert for changes in the environment.
Portfolio Facts
As of December 31, 2012
Net Assets | $3,055,990,379 | |
NAV | $12.31 | |
NAV - High† | 12/20/2012 - $12.39 | |
NAV - Low† | 6/25/2012 - $11.17 | |
Number of Holdings: 831 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | From Inception 4/29/2005 | ||
| 12.87% | 1.81% | 5.38% |
| * | The Barclays U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. |
| *** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
7
Thrivent Moderate Allocation Portfolio
Russell W. Swansen, David C. Francis, CFA and Mark L. Simenstad, CFA, Portfolio Co-Managers
The Portfolio seeks long-term capital growth while providing reasonable stability of principal.
The Portfolio’s performance depends upon how its assets are allocated across broad asset categories and applicable sub-classes within such categories. Some broad asset categories and sub-classes may perform below expectations or below the securities markets generally over short or extended periods. The Portfolio generally has significant exposure to both equity and debt securities, so underperformance in either the equity or debt markets can have a material adverse effect on the Portfolio’s total return. Another risk of investing in the Portfolio is that its performance is dependent upon the performance of the underlying asset classes in which it invests. As a result, the Portfolio is subject to the same risks as those faced by the underlying asset classes. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Moderate Allocation Portfolio earned a return of 11.72%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Moderate category, of 11.28%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays U.S. Aggregate Bond Index, earned returns of 16.00% and 4.22%, respectively.
What factors affected the Portfolio’s performance?
Performance in the Portfolio was lifted by a combination of asset allocation decisions but limited by security selection impacts in some of the equity portfolios. Fixed-income results were either in line with or ahead of their respective performance benchmarks.
A key factor in the Portfolio’s relative results versus our peers and the S&P 500 Index was the performance of our small- and mid-cap stock managers. These groups underperformed their respective benchmarks. While they had a modest exposure to commodities through holdings in select energy and coal companies, that group did not keep pace with the broad equity market. Also, early in the period, the Portfolio was underweighted in its target equity exposure, which limited results as equities performed well in the first two months of the year. We were concerned that a lack of progress on fiscal and policy issues, both in Europe and domestically, would impair the recovery and negatively impact risk assets. While those uncertainties remain, monetary authorities have taken steps that, at least in the short term, have supported risk asset prices at levels that would unlikely have been achieved otherwise.
Non-U.S. equity exposure, primarily though our holdings in Thrivent Partner Worldwide Allocation Portfolio, lagged domestically invested assets early in the period; however, it saw a sharp recovery in the second half, which helped the Portfolio’s performance, as policymakers committed to support financial assets through aggressive monetary actions.
A final factor was the Portfolio’s allocation to fixed income, which averaged approximately 45% over the period. Our fixed-income managers and assets performed well relative to their categories, but most of the fixed-income asset classes did not keep pace with domestic equity markets. The exception was our holding in the high-yield category which, in fact, performed in line with the S&P 500 Index.
8
What is your outlook?
Fiscal and policy risks remain high, but monetary authorities have expressed an interest or acted in unconventional ways to support the economic expansion and asset prices. In the absence of a severe policy mistake, risk asset prices are likely to see further advances, but at a more moderate pace versus earlier in the recovery.
The challenge for the markets will be to continue to perform well in an environment characterized by unusually active policy choices and uneven growth. We are modestly optimistic that will be the case, but remain alert for changes in the environment.
Portfolio Facts
As of December 31, 2012
Net Assets | $5,337,936,266 | |
NAV | $12.28 | |
NAV - High† | 12/20/2012 - $12.33 | |
NAV - Low† | 6/25/2012 - $11.33 | |
Number of Holdings: 839 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | From Inception 4/29/2005 | ||
| 11.72% | 2.88% | 5.51% |
| * | The Barclays U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. |
| *** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
9
Thrivent Moderately Conservative Allocation Portfolio
Russell W. Swansen, David C. Francis, CFA and Mark L. Simenstad, CFA, Portfolio Co-Managers
The Portfolio seeks long-term capital growth while providing reasonable stability of principal.
The Portfolio’s performance depends upon how its assets are allocated across broad asset categories and applicable sub-classes within such categories. Some broad asset categories and sub-classes may perform below expectations or below the securities markets generally over short or extended periods The Portfolio generally has significant exposure to both equity and debt securities, so underperformance in either the equity or debt markets can have a material adverse effect on the Portfolio’s total return. Another risk of investing in the Portfolio is that its performance is dependent upon the performance of the underlying asset classes in which it invests. As a result, the Portfolio is subject to the same risks as those faced by the underlying asset classes. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Moderately Conservative Allocation Portfolio earned a return of 9.59%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Conservative category, of 8.83%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays U.S. Aggregate Bond Index, earned returns of 16.00% and 4.22%, respectively.
What factors affected the Portfolio’s performance?
Performance in the Portfolio was lifted by a combination of asset allocation decisions but limited by security selection impacts in some of the equity portfolios. Fixed-income results were either in line with or ahead of their respective performance benchmarks.
A key factor in the Portfolio’s relative results versus our peers and the S&P 500 Index was the performance of our small- and mid-cap stock managers. These groups underperformed their respective benchmarks. While they had a modest exposure to commodities through holdings in select energy and coal companies, that group did not keep pace with the broad equity market. Also, early in the period, the Portfolio was underweighted in its target equity exposure, which limited results as equities performed well in the first two months of the year. We were concerned that a lack of progress on fiscal and policy issues, both in Europe and domestically, would impair the recovery and negatively impact risk assets. While those uncertainties remain, monetary authorities have taken steps that, at least in the short term, have supported risk asset prices at levels that would unlikely have been achieved otherwise.
Non-U.S. equity exposure, primarily though our holdings in Thrivent Partner Worldwide Allocation Portfolio, lagged domestically invested assets early in the period; however, it saw a sharp recovery in the second half, which helped the Portfolio’s performance, as policymakers committed to support financial assets through aggressive monetary actions.
A final factor was the Portfolio’s allocation to fixed income, which averaged approximately 65% over the period. Our fixed-income managers and assets performed well relative to their categories, but most of the fixed-income asset classes did not keep pace with domestic equity markets. The exception was our holding in the high-yield category which, in fact, performed in line with the S&P 500 Index.
10
What is your outlook?
Although fiscal and policy risks remain high, monetary authorities have expressed an interest or acted in unconventional ways to support the economic expansion and asset prices. In the absence of a severe policy mistake, risk asset prices are likely to see further advances, but at a more moderate pace versus earlier in the recovery.
The challenge for the markets will be to continue to perform well in an environment characterized by unusually active policy choices and uneven growth. We are modestly optimistic that will be the case, but remain alert for changes in the environment.
Portfolio Facts
As of December 31, 2012
Net Assets | $2,920,323,466 | |
NAV | $12.07 | |
NAV - High† | 12/20/2012 - $12.09 | |
NAV - Low† | 1/4/2012 - $11.33 | |
Number of Holdings: 783 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | From Inception 4/29/2005 | ||
| 9.59% | 3.54% | 5.22% |
| * | The Barclays U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. |
| *** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Partner Technology Portfolio earned a return of 21.09%, compared with the median return of its peer group, the Lipper Science & Technology category, of 12.14%. The Portfolio’s market benchmark, the NASDAQ Composite Index, earned a return of 17.75%.
What factors affected the Portfolio’s performance?
Rackspace Hosting, a leading provider of hosting and cloud computing services, contributed to performance during the year. Rackspace Hosting runs data centers in the cloud for many companies whose core competency resides outside of managing their own data centers. The company’s service essentially saves businesses time and resources that can be more efficiently allocated toward core growth initiatives.
Equinix, a leading data center solutions company, also contributed to returns during the year, as did Salesforce.com, a leading provider of enterprise cloud computing applications, due to secular trends toward outsourced IT services. Rovi, a company that holds patents on interactive program guides (IPGs) for video delivery services and devices, detracted from relative performance during the year, as did Facebook, Inc. While Facebook delivered in-line second quarter earnings on a strong increase in ad revenue, payments revenue growth was challenged and a large amount of insider selling, due to the expiration of the lockup, caused material weakness in the stock throughout the year. NetApp, a developer of data storage hardware and software for enterprise clients, detracted from performance during the year as enterprise IT spending was generally soft.
What is your outlook?
Corporate balance sheets remain strong, which we believe gives companies the flexibility needed to generate shareholder value, even in a slow-growth economic environment. The S&P 500 Index is trading below its 20-year historical average forward price-to-earnings multiple, and we believe its dividend yield is attractive relative to the yield on the 10-year U.S. Treasury bond. However, we recognize that fiscal policy may lead to a drag on economic growth over the short term, and that the Federal Reserve Board’s additional monetary measures may not fully offset the impact.
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Throughout this environment, our time-tested investment process and philosophy—buying high-quality growth franchises trading at reasonable valuations—remains unchanged. Our research-intensive bottom-up fundamental approach leverages our team’s industry expertise to identify well-positioned companies that we believe are mispriced. We construct the Portfolio around businesses that we believe should generate long-term growth for shareholders through their exposure to secular growth trends, rather than short-term events, such as political outcomes or macroeconomic expectations.
Portfolio Facts
As of December 31, 2012
Net Assets | $35,497,686 | |
NAV | $7.51 | |
NAV- High† | 9/14/2012 - $7.73 | |
NAV - Low† | 1/4/2012 - $6.23 | |
Number of Holdings: 39 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | 10-Year | ||
| 21.09% | 1.32% | 7.26% |
| * | The NASDAQ Composite Index is a market capitalization-weighted index of all domestic and foreign securities listed on the NASDAQ Stock Exchange. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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| Thrivent Partner Healthcare Portfolio |
Subadvised by Sectoral Asset Management, Inc.
Thrivent Partner Healthcare Portfolio seeks long-term capital growth.
The Portfolio’s investments are concentrated in issuers in the health care industry; therefore, the Portfolio is more vulnerable to price changes in the securities of issuers in this industry and factors specific to this industry than a more broadly diversified portfolio. In addition, as a non-diversified portfolio, the Portfolio is susceptible to the risk that events affecting a particular issuer will significantly affect the Portfolio’s performance. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Partner Healthcare Portfolio earned a return of 20.68%, compared with the median return of its peer group, the Lipper Health/Biotechnology category, of 20.75%. The Portfolio’s market benchmark, the Morgan Stanley Capital International (MSCI) World Healthcare Index, earned a return of 17.54%.
What factors affected the Portfolio’s performance?
Over the last 12 months, the Portfolio benefited from strong stock selection. Strong returns were generated by pharmaceuticals Eli Lilly and Roche, biotech companies Onyx, Gilead and Ariad, medtech holdings Covidien and Edwards Lifesciences, and generics holdings Aspen Pharmacare and Mylan. The key detractors were biotech Intermune and medtech EOS Imaging.
What is your outlook?
Health care should continue to perform well over the medium term. Pharmaceuticals with meaningful generic hedges (e.g., biologics exposure, devices, etc.), significant exposure to emerging markets, and developing pipelines offer the most attractive investment opportunities. The group is trading at 12 times expected 2013 earnings with a 3.8% dividend yield.
In biotech, earnings are expected to grow at 20% while the industry pipeline is expected to advance. Recent approvals of a number of treatments and pharmaceuticals and pipeline progress toward development and approval of additional medical advancements should position the industry for accelerating top- and-bottom-line growth, driving further upside over the medium to long term. In the short run, however, some profit taking cannot be excluded, given the sector’s recent strong run. Valuations now stand at a median of 17 times the expected 2013 earnings per share and 5.5 times expected 2013 sales.
For generics, we expect companies based in emerging pharmaceutical markets to continue performing well, benefiting from strong domestic growth driven mainly by branded generics. Japan, a potentially huge market for generics that is currently not well-penetrated, is showing some signs of progress, but more political support is still needed. The industry remains attractively valued at 11 times expected 2013 earnings, with projected sales and earnings growth of 15% annually over the next five years.
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Medtechs, trading at a median of 14 times expected 2013 earnings, are anticipated to continue to grow, led by companies developing products offering significant innovations with marked improvements over current treatment practices.
Portfolio Facts
As of December 31, 2012
Net Assets | $25,222,717 | |
NAV | $13.39 | |
NAV - High† | 10/5/2012 - $13.78 | |
NAV - Low† | 1/4/2012 - $11.36 | |
Number of Holdings: 39 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | From Inception 4/30/2008 | |
| 20.68% | 7.96% |
| * | The MSCI World Healthcare Index (Gross) is a capitalization-weighted index of selected health care stocks from around the world. The index includes reinvestment of dividends, gross of foreign withholding taxes. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The MSCI World Healthcare Index (Net) is a capitalization-weighted index of selected health care stocks from around the world. The index includes reinvestment of dividends, net of foreign withholding taxes. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. The Adviser believes that this Index is a more appropriate benchmark for the Portfolio. Thus, the MSCI World Healthcare Index (Gross) will not be shown in shareholder reports of the Portfolio for fiscal periods ended December 31, 2014 and beyond (unless the Adviser changes back to this benchmark index). |
| *** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
15
Thrivent Natural Resources Portfolio
David C. Francis, CFA and Darren M. Bagwell, CFA, Portfolio Co-Managers
Thrivent Natural Resources Portfolio seeks long-term capital growth.
The Portfolio’s investments are concentrated in issuers in the natural resources industry; therefore, the Portfolio is more vulnerable to price changes in the securities of issuers in this industry and factors specific to this industry than a more broadly diversified portfolio. In addition, as a non-diversified portfolio, the Portfolio is susceptible to the risk that events affecting a particular issuer will significantly affect the Portfolio’s performance. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Natural Resources Portfolio earned a return of -3.15%, compared with the median return of its peer group, the Lipper Natural Resources category, of 2.58%. The Portfolio’s market benchmark, the S&P North American Natural Resources Sector Index, earned a return of 2.20%.
What factors affected the Portfolio’s performance?
We believe that range-bound commodity prices caused investors to avoid most energy stocks during the year, particularly the more pro-cyclical holdings in the Portfolio. Oil prices fell, closing out the year at $92 per barrel, compared to prices of $99 at the start of the year. Natural gas prices finally found a bottom in April, trading as low as $1.80 per mcf (one thousand cubic feet) before rallying to finish the year at $3.30 per mcf. But even that was well below the $4.90 per mcf natural gas traded at as recently as 2011. The Portfolio was aggressively positioned to benefit from the success of the U.S. domestic oil and gas revolution, but to the degree many of these companies benefited from higher production volumes, they were often held back by low prices.
Some of the same macroeconomic concerns that weighed on oil prices seemed to benefit more defensive integrated energy companies where the Portfolio was lightly positioned. And the Portfolio’s allocation to coal producers also detracted from performance, as persistent weakness in natural gas prices and fears of an economic slowdown in China caused coal equities to trade significantly below our estimates of asset value.
Somewhat mitigating the performance of energy equities was solid security selection in the Portfolio’s smaller exposures to consumer staples and REITs. Global food ingredient manufacturers Ingredion and Bunge enjoyed robust global demand in a very tight food and crop market that was exacerbated by historical drought conditions. The entire REIT sector enjoyed a positive re-rating in part because global uncertainty and risk aversion created demand for yield-focused equities.
What is your outlook?
We believe the U.S. oil and natural gas production revolution will continue in 2013 and create winners and losers in the industry. We favor select investments in producers demonstrating the strongest and most efficient growth in oil and natural gas production. We are also investing in oil service companies positioned to benefit from the increasing number of oil and gas wells drilled in
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the U.S. each year. At the same time, the recovery in drilling in the Gulf of Mexico nearly three years after the Macondo disaster echoes growth in deepwater activity in other regions around the world. There appears to be strong momentum behind this activity, and the Portfolio has investments in companies poised to benefit.
More broadly, we remain cautious, believing domestic growth will not exceed 2% in real terms—in part due to fiscal and regulatory headwinds; recessionary conditions in Europe; and slower consumer spending. Exports to emerging markets and domestic housing are wild cards that could provide economic tailwinds, and prove our expectations too pessimistic; the Portfolio’s continued holdings in agricultural equities and REITs play to these potentials.
Portfolio Facts
As of December 31, 2012
| Net Assets | $31,574,710 | |
| NAV | $6.91 | |
| NAV - High† | 2/6/2012 - $9.19 | |
| NAV - Low† | 6/25/2012 - $6.11 | |
| Number of Holdings: 39 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | From Inception 4/30/2008 | |
| -3.15% | -4.44% |
| * | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
| ** | The S&P North American Natural Resources Sector Index is an index of selected U.S. traded natural resource related stocks. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
17
| Thrivent Partner Emerging Markets Equity Portfolio |
Subadvised by Aberdeen Asset Managers Limited
Thrivent Partner Emerging Markets Equity Portfolio seeks long-term capital growth.
Foreign investments, as compared to domestic ones, involve additional risks, including currency fluctuations, different accounting standards, and greater political, economic and market instability. These risks are magnified when the Portfolio invests in emerging markets, which may be of relatively small size and less liquid than domestic markets. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Partner Emerging Markets Equity Portfolio earned a return of 25.98%, compared with the median return of its peer group, the Lipper Emerging Markets category, of 18.03%. The Portfolio’s market benchmark, the MSCI Emerging Markets Index, earned a return of 18.63%.
What factors affected the Portfolio’s performance?
The Portfolio outperformed the benchmark index largely because of stock selection. Our holdings held up better than their peers amid the volatile operating environment, especially during second quarter when the outperformance was most significant.
Several key stocks that contributed to relative return over the year were Turkish companies, including retailer BIM, and lenders, Akbank and Garanti. In Mexico, local bank Banorte as well as bottler and convenience-store operator FEMSA gained from healthy earnings and a positive domestic outlook. Philippine property developer Ayala Land and the Bank of the Philippine Islands also contributed to the Portfolio’s performance.
The gains, though, were pared by Indonesian conglomerate Astra International, Indian software company Infosys and Brazilian oil giant Petrobras, as they lagged over the year. Concerns over Astra’s consumer finance business, Infosys’ earnings visibility and state interference in Petrobras all weighed on their share prices.
Asset allocation also aided performance. Markets such as Turkey, Mexico and India, where we have significant exposure, rerated. Our overweighting to the Philippines also helped as the stock market rallied sharply on the back of increased optimism over its economic growth. On the flip side, our underweighting to China detracted from relative performance as Chinese equities recovered following the largely smooth leadership transition and some evidence of economic improvement.
What is your outlook?
We believe that the U.S. and Europe will continue to drive investor sentiment in the year ahead. In the U.S., market focus has shifted to the political impasse over budget negotiations, which could result in a recession that would have major implications for developing economies. In Europe, longer-term structural flaws in economies remain, although recent measures have eased tensions temporarily.
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Emerging markets face challenges, too. The results of various stimulus measures and reforms implemented in countries such as Brazil and India have yet to be seen. And while recent data out of China provides evidence of an economic pickup, the new leadership faces a challenging transition as it seeks more balanced growth. Geopolitical tension in Asia and the Middle East further muddy the outlook.
Amid the uncertainties, there are bright spots. Developed countries’ commitment to record low-interest rates remains broadly supportive for financial assets, even if other impacts of quantitative easing on emerging markets are less-appreciated. Our holdings are also in good shape. Investor sentiment could turn positive if global concerns dissipate and developing economies and corporate profits recover in the first half of 2013.
Portfolio Facts
As of December 31, 2012
Net Assets | $54,667,172 | |
NAV | $13.61 | |
NAV - High† | 12/31/2012 - $13.61 | |
NAV - Low† | 6/4/2012 - $10.98 | |
Number of Holdings: 60 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | From Inception 4/30/2008 | |
| 25.98% | 7.63% |
| * | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
| ** | The MSCI Emerging Markets Index is a modified capitalization-weighted index of selected emerging economies from around the world. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end. |
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
| The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com. |
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Thrivent Real Estate Securities Portfolio
Reginald L. Pfeifer, CFA, Portfolio Manager
Thrivent Real Estate Securities Portfolio seeks to provide long-term capital appreciation and high current income.
The Portfolio is subject to risks arising from the fact that it invests, under normal circumstances, at least 80% of its total assets in securities of companies that are primarily engaged in the real estate industry. Portfolio security prices are influenced by the underlying value of properties owned by the issuer, which may be influenced by the supply and demand for space and other factors. The real estate industry is cyclical, and securities issued by companies doing business in the real estate industry may fluctuate in value. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Real Estate Securities Portfolio earned a return of 17.54%, compared with the median return of its peer group, the Lipper U.S. Real Estate category, of 17.06%. The Portfolio’s market benchmark, the FTSE NAREIT All Equity REITs Index, earned a return of 19.70%.
What factors affected the Portfolio’s performance?
REIT stocks generated strong returns in 2012, outperforming the general equity market. REITs entered 2012 with higher dividend yields than most sectors of the equity market, and investors found stocks with higher dividend yields attractive. In addition, REITs were able to generate earning growth of almost 10% in 2012, which propelled appreciation in REIT stock prices.
Occupancy levels improved for all property sectors in 2012, which provided fundamental support for rental rate increases. Occupancy rates ended the year at 95.9% for apartments, 94.3% for regional malls, and 93.5% for REITs overall. Net operating income, defined as property earnings after all expenses, increased by 8.4% for self-storage properties, 7.7% for apartments, and 4.4% for regional malls. For all REIT property sectors combined, net operating income increased by 4.2% in 2012.
REITs were able to access the equity and debt markets as needed to provide capital for new investment opportunities and fund capital improvement and new development. The best-performing sectors in the Portfolio were regional mall, shopping center and industrial REITs. The Portfolio’s largest positive contributor to performance was Simon Property Group, which develops, acquires and manages regional mall, outlet center and shopping center properties in the U.S. and internationally. Prologis, a global owner, operator and developer of industrial real estate, also contributed meaningfully to Portfolio performance.
What is your outlook?
New construction supply is limited for most property types, which should allow landlords to maintain or increase occupancy rates in 2013. Rental rates should also rise modestly this year. As a result, we expect REIT earnings to increase by 5% to 8% in 2013. This earnings growth combined with a current dividend yield of 3.5% should provide an attractive total return opportunity. Risks to our outlook are rising interest rates, which would negatively impact higher dividend-paying stocks, or a weakening U.S. economy, which would impact occupancy levels and rental rates.
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The Portfolio has exposure to companies within each property sector, with the largest concentration in large-capitalization REITs with experienced management teams and institutional-quality real estate portfolios. In addition, the Portfolio maintains exposure in mid- and small-capitalization REITs that have the potential for attractive long-term returns. We look for opportunities to add value in all market environments, and will make any adjustments during the year that we believe will improve Portfolio performance.
Portfolio Facts
As of December 31, 2012
Net Assets | $122,442,259 | |
NAV | $17.85 | |
NAV - High† | 9/14/2012 - $18.26 | |
NAV - Low† | 1/4/2012 - $15.63 | |
Number of Holdings: 126 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | From Inception 4/30/2003 | ||
| 17.54% | 5.74% | 11.78% |
| * | The FTSE NAREIT All Equity REITs Index is an unmanaged capitalization-weighted index of all equity real estate investment trusts. It is not possible to invest directly in this Index. The performance of this Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
| Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end. |
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
| The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com. |
21
 | Thrivent Partner Small Cap Growth Portfolio |
Subadvised by Turner Investments, L.P.
Thrivent Partner Small Cap Growth Portfolio seeks long-term capital growth.
The Portfolio is exposed to the risks of investing in equity securities of smaller companies, which may include, but are not limited to, lower trading volume and less liquidity than larger, more established companies. Small company stock prices are generally more volatile than large company stock prices. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Partner Small Cap Growth Portfolio earned a return of 11.69%, compared with the median return of its peer group, the Lipper Small Cap Growth category, of 14.63%. The Portfolio’s market benchmark, the Russell 2000® Growth Index, earned a return of 14.59%.
What factors affected the Portfolio’s performance?
During the period, five of the Portfolio’s nine sectors beat their corresponding index sectors on a relative basis, though the Portfolio still underperformed compared to its benchmark. Contributing the most to performance were holdings in the consumer staples sector, while the consumer discretionary sector detracted the most from results.
The consumer discretionary sector was an area of underperformance for the Portfolio. Shares of Brightpoint Education, a for-profit provider of post-secondary education services, traded lower after it failed to obtain a widely expected accreditation from a key academic governing body. Premium denim maker True Religion Apparel also disappointed as the company reported lower sales for the third quarter and reduced its full-year guidance due to lackluster results within its spring and summer clothing lines.
The consumer staples sector was an area of strength for the Portfolio. Organic and natural food company Hain Celestial has been a direct beneficiary of the strong trends in the natural and organic food industry as sales at mainstream supermarkets have climbed due to healthier consumer lifestyles and its exposure to high-end consumers. United Natural Foods, a distributor of more than 60,000 natural and organic food products found in specialty and grocery stores, also rode the wave of increased demand for organic food offerings. During the period, the company reported a 15.6% increase in year-over-year net sales for the fiscal year 2012.
What is your outlook?
We believe stocks have the opportunity to build on the gains provided in 2012. Going forward, we believe the environment for higher-growth companies is attractive due to resolution of the issues specific to the debt ceiling, improving economic data (e.g., housing, auto sales, bank lending and slow-but-steady unemployment), low interest rates and low inflation, and companies with strong balance sheets and robust cash positions.
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Portfolio Facts
As of December 31, 2012
Net Assets | $256,919,164 | |
NAV | $13.87 | |
NAV - High† | 9/14/2012 - $14.44 | |
NAV - Low† | 6/4/2012 - $12.25 | |
Number of Holdings: 179 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | 10-Year | ||
| 11.69% | 1.15% | 7.97% |
| * | The Russell 2000® Growth Index is an index comprised of small capitalization companies with a greater than average growth orientation. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
| Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end. |
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
| The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com. |
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| Thrivent Partner Small Cap Value Portfolio |
Subadvised by T. Rowe Price Associates, Inc.
Thrivent Partner Small Cap Value Portfolio seeks long-term capital appreciation.
The Portfolio is exposed to the risks of investing in equity securities of smaller companies, which may include, but are not limited to, lower trading volume and less liquidity than larger, more established companies. Small company stock prices are generally more volatile than large company stock prices. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Partner Small Cap Value Portfolio earned a return of 14.37%, compared with the median return of its peer group, the Lipper Small Cap Value category, of 17.45%. The Portfolio’s market benchmark, the Russell 2000® Value Index, earned a return of 18.05%.
What factors affected the Portfolio’s performance?
The Portfolio underperformed the Russell 2000® Value Index over the past 12 months due to stock selection, especially in the energy and materials sectors.
In the energy sector, investments in Swift Energy and Gulf Island Fabrication weighed on performance versus the index. Challenging macroeconomic conditions and declining crude oil prices impacted Swift Energy, an oil and natural gas exploration and production company. Gulf Island Fabrication, which fabricates offshore oil and gas drilling and production platforms, was impacted by significant losses on a deepwater oil and gas contract and the departure of its CEO due to health concerns.
AptarGroup, a supplier of dispensing systems for household products, was a notable detractor in the materials sector. AptarGroup’s stock was vulnerable as investors rotated out of defensive names into more cyclical names. In addition, the company had significant exposure to Europe, which was weak during the year.
Our consumer discretionary stocks outpaced those in the index helped by Dorman Products, a supplier of parts and products for the automotive aftermarket. In the weak economy, many consumers are choosing to repair their old cars rather than purchase new vehicles. This trend has been a tailwind for Dorman Products.
What is your outlook?
The market proved surprisingly resilient in the face of global economic challenges during 2012. So what did we learn? First, those who thought they would wait to invest until the world economic background improved missed a 15% move. Second, when the Federal Reserve is aggressively lowering interest rates and providing liquidity to our economy, that backdrop is usually good for stocks. Third, don’t count out the U.S.—the resilience of our economy and markets is amazing.
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We believe U.S. equities will rise in 2013, maybe not at the pace of 2012, but probably at a rate higher than that of fixed-income investments. With small-company value stocks valued at close to their 30-year average compared to large and growth companies, we think they have the potential to enjoy returns in line with, or better than, the average small-cap company.
Portfolio Facts
As of December 31, 2012
Net Assets | $282,579,808 | |
NAV | $21.17 | |
NAV - High† | 12/20/2012 - $21.24 | |
NAV - Low† | 6/4/2012 - $18.28 | |
Number of Holdings: 156 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | From Inception 4/30/2003 | ||
| 14.37% | 5.63% | 11.51% |
| * | The Russell 2000® Value Index measures the performance of small cap value stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Thrivent Small Cap Stock Portfolio
Darren M. Bagwell, CFA, Portfolio Manager
Thrivent Small Cap Stock Portfolio seeks long-term capital growth.
The Portfolio is exposed to the risks of investing in equity securities of smaller companies, which may include, but are not limited to, lower trading volume and less liquidity than larger, more established companies. Small company stock prices are generally more volatile than large company stock prices. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Small Cap Stock Portfolio earned a return of 9.42%, compared with the median return of its peer group, the Lipper Small Cap Core category, of 15.69%. The Portfolio’s market benchmark, the Russell 2000® Index, earned a return of 16.35%.
What factors affected the Portfolio’s performance?
The pro-cyclical positioning of the Portfolio was out of step with the anemic global growth environment and resulting low-risk bias in equity markets. While sector-neutral by design, our intra-sector exposures to coal (within energy), as well as networking and semiconductors (within information technology), were negative. Along with poor security selection in health care, these exposures offset solid performance in financial and industrial sectors.
Despite eliminating coal-leveraged investments in Arch Coal, Patriot Coal and Walter Energy early in 2012, we were slow to realize the magnitude of the pricing impact of reduced Chinese demand and growing domestic stockpiles. The negative effect of these investments overwhelmed the positive performance of oil and gas holding Petroleum Geo-Services. We similarly misread the strength of domestic enterprise demand for networking equipment, which slowed as economic uncertainty grew. Cautious spending by businesses hurt videoconferencing-gear maker Polycom, while slower consumer and industrial demand negatively impacted chipmaker Atmel.
In health care, we simply did not anticipate adverse developments. Drug developer VIVUS suffered from delayed European approval of its obesity drug and worries about the pace of the domestic rollout. Additionally, the earnings outlook of managed care provider Health Net was impacted by negative legislative and economic developments in key markets.
Holdings in financials and industrials were significant sources of relative performance. Mortgage servicer Ocwen Financial benefited from banks’ accelerated disposition of servicing operations and the availability of significant mortgage portfolios. Also noteworthy was our emphasis on construction and engineering, where Shaw Group was acquired and EMCOR Group reported strong operating and demand trends.
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What is your outlook?
We remain cautious, believing domestic growth will not exceed 2% in real terms—in part due to fiscal and regulatory headwinds, recessionary conditions in Europe, and slower consumer spending. Exports to emerging markets and domestic housing are wild cards that could provide economic tailwinds and prove our expectations too pessimistic. We do worry that demand and profitability expectations are too high for 2013 and that negative outlook adjustments will mute performance. Given our trepidation regarding economic growth in 2013, our exposures emphasize new product cycles, productivity-enhancing value propositions, and superior demand visibility, especially from emerging markets.
Portfolio Facts
As of December 31, 2012
Net Assets | $269,479,712 | |
NAV | $13.12 | |
NAV - High† | 9/14/2012 - $13.61 | |
NAV - Low† | 6/4/2012 - $11.38 | |
Number of Holdings: 66 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | 10-Year | ||
| 9.42% | -0.51% | 7.97% |
| * | The Russell 2000® Index measures the performance of small cap stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Thrivent Small Cap Index Portfolio
Kevin R. Brimmer, FSA, Portfolio Manager
Thrivent Small Cap Index Portfolio strives for capital growth that tracks the performance of the S&P SmallCap 600 Index.
The Portfolio is exposed to the risks of investing in equity securities of smaller companies, which may include, but are not limited to, lower trading volume and less liquidity than larger, more established companies. Small company stock prices are generally more volatile than large company stock prices. While the Portfolio attempts to closely track the S&P SmallCap 600 Index, it does not duplicate the composition of the Index. Individuals may not invest directly in any index. Index portfolios are subject to the same market risks associated with the stocks in their respective indexes. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Small Cap Index Portfolio earned a return of 15.95%, compared with the median return of its peer group, the Lipper Small Cap Core category, of 15.69%. The Portfolio’s market benchmark, the S&P SmallCap 600 Index, earned a return of 16.33%.
What factors affected the Portfolio’s performance?
The Portfolio is managed to virtually replicate the performance of the S&P SmallCap 600 Index, a prime measure of small-cap stock performance. We seek to maintain a fully invested position with limited transactions to minimize costs. As typically occurs with an index fund, the difference in performance between the benchmark index and the Portfolio itself can be largely attributed to expenses and minor differences in portfolio composition.
Small-cap stocks modestly outperformed large-cap stocks and barely underperformed mid-cap stocks for the last 12 months. All sectors but one had a positive return. Materials, consumer discretionary and industrials had the most positive returns. The energy sector was the only sector with a negative return, and the return was only slightly negative. The year was defined by a series of “risk-on” and “risk-off” trades, and the sectors with higher market beta tended to do the best.
What is your outlook?
The Portfolio will remain fully invested in stocks designed to track the performance of the S&P SmallCap 600 Index. This offers individuals an attractive way to take advantage of the growth potential of the broad, diversified marketplace of small-cap stocks.
The financial markets appear to be resolving some of the uncertainty and ambiguity in regards to Europe, the fiscal cliff, the debt ceiling, etc. This optimism is tempered by slowing global growth and the stage of the recovery that the economy is in. We are more than two years into the current cycle. As mentioned a year ago, as a new economic cycle matures, investors begin to favor larger-cap issues over smaller-cap issues, which is what we saw in the second half of 2012.
We still believe there is solid opportunity in the small-cap arena, but the premium return for small-cap stocks is likely to be limited in the future as the new cycle continues to mature.
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Portfolio Facts
As of December 31, 2012
Net Assets | $193,677,856 | |
NAV | $13.42 | |
NAV - High† | 3/26/2012 - $14.52 | |
NAV - Low† | 6/25/2012 - $11.89 | |
Number of Holdings: 603 | ||
† For the year ended December 31, 2012 |
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | 10-Year | ||
| 15.95% | 4.85% | 10.11% |
| * | The S&P SmallCap 600 Index is an index that represents the average performance of a group of 600 small capitalization stocks. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses and taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Thrivent Mid Cap Growth Portfolio
Andrea J. Thomas, CFA, Portfolio Manager
Thrivent Mid Cap Growth Portfolio seeks long-term growth of capital.
Mid-cap stocks offer the potential for long-term gains but can be subject to short-term price movements. Mid-sized company stock prices are generally more volatile than large company stock prices. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Mid Cap Growth Portfolio earned a return of 12.22%, compared with the median return of its peer group, the Lipper Mid Cap Growth category, of 14.45%. The Portfolio’s market benchmark, the Russell Midcap® Growth Index, earned a return of 15.81%.
What factors affected the Portfolio’s performance?
The Portfolio lagged its competitors and the benchmark over the period. Most of the Portfolio’s underperformance occurred in the first six months of the fiscal period, when it did not own enough high-multiple consumer companies that performed very well. Investors continued to rush into these names and were willing to pay enormous premiums for them. Many of these companies have subsequently seen their values decline, helping the Portfolio pick up relative ground in the second part of the fiscal period. Also, the Portfolio’s energy holdings did not fare well over the period, particularly our coal stocks. In addition, our overweight in the technology sector hurt performance as these companies sold off during the second half of the year. The Portfolio benefited from our individual stock picks in the health care, financial and industrial sectors, which performed well this year.
What is your outlook?
As we enter 2013, many of the same problems that have plagued the economy for the past four years remain unsolved. The U.S. economy remains in a state of subpar growth, due primarily, we think, to the lackluster job market, uncertainty over how the debt ceiling will be solved and tax increases that went into effect at the beginning of the year. Continued turmoil in the European markets also remains a risk to the U.S. and world economies. A bright spot in the U.S. economy is the housing market, which is showing signs of stabilization. However, we believe a better jobs picture is needed to sustain this recovery.
We believe market volatility will increase over the near term as Congress debates a solution to the debt ceiling, which may or may not include spending cuts. If cuts are enacted, they are likely to put a damper on U.S. GDP growth in the coming months, which will ultimately affect earnings for companies.
Due to the mixed outlook for growth going forward, we will continue to follow a disciplined process while remaining wary of the multiples we are willing to pay for stocks. In this environment we intend to remain invested in companies with definable product cycles that should grow despite economic cyclicality. We also intend to
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remain invested in companies with business models that should benefit from inflation, which may appear due to money printing by the Federal Reserve. We remain cautious regarding high-multiple consumer discretionary stocks as tax increases, combined with job uncertainty, will likely hinder spending habits.
Portfolio Facts
As of December 31, 2012
Net Assets | $361,506,270 | |
NAV | $19.59 | |
NAV - High† | 4/27/2012 - $20.07 | |
NAV - Low† | 6/4/2012 - $17.49 | |
Number of Holdings: 82 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | 10-Year | ||
| 12.22% | 4.02% | 10.32% |
| * | The Russell Midcap® Growth Index measures the performance of mid cap growth stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. |
The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented.
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Partner Mid Cap Value Portfolio earned a return of 18.27%, compared with the median return of its peer group, the Lipper Mid Cap Value category, of 16.86%. The Portfolio’s market benchmark, the Russell Midcap® Value Index, earned a return of 18.51%.
What factors affected the Portfolio’s performance?
For the year, the financial sector was the top contributor to Portfolio returns, while the industrial sector was the top detractor. Scripps Networks, a cable television network which operates channels such as HGTV, the Food Network and the Travel Channel, was the top overall contributor to returns. Conversely, Key Energy Services was the top detractor from returns. In April, Key Energy reported first quarter earnings that missed profit expectations due to slower growth in U.S. natural gas drilling and increased costs associated with gas/oil dislocation.
What is your outlook?
After a strong 2012, we continue to see opportunities as we enter 2013 and remain constructive on U.S. equities. We recognize that fiscal policy may lead to a drag on economic growth, and the recent steps taken by the Federal Reserve Board to provide additional monetary accommodation may not fully offset the impact. The political climate in the U.S. and the lack of clarity around the outcome of fiscal negotiations has contributed to an elevated feeling of uncertainty for both businesses and individuals. However, corporate balance sheets remain strong, which we believe gives companies the ability to generate shareholder value, even in a slower growth environment. U.S. equities remain inexpensive relative to both fixed income and history, and continued strength in the U.S. housing recovery should provide support to the economy and boost consumer confidence. Additional potential catalysts could be investors reallocating to equities, multiple expansion, correlations trending down and increased merger-and- acquisition activity.
We maintain high conviction in the companies that we own and believe they have the potential to outperform relative to the broader market regardless of the growth environment. We continue to focus on undervalued companies in control of their own destiny, such as
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industry innovators or companies with financial flexibility that have been investing in their own businesses and are poised to gain market share. As we look ahead into 2013, we maintain our discipline in identifying companies with strong or improving balance sheets, led by quality management teams, trading at discounted valuations, and remain focused on seeking long-term outperformance of the Portfolio.
Portfolio Facts
As of December 31, 2012
Net Assets | $261,459,033 | |
NAV | $14.67 | |
NAV - High† | 12/20/2012 - $14.78 | |
NAV - Low† | 1/4/2012 - $12.62 | |
Number of Holdings: 116 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | From Inception 4/29/2005 | ||
| 18.27% | 3.50% | 6.62% |
| * | The Russell Midcap® Value Index is an index comprised of mid-cap companies with lower than average price-to-book ratios and lower forecasted growth values. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Thrivent Mid Cap Stock Portfolio
Brian J. Flanagan, CFA, Portfolio Manager
Thrivent Mid Cap Stock Portfolio seeks long-term capital growth.
Mid-cap stocks offer the potential for long-term gains but can be subject to short-term price movements. Mid-sized company stock prices are generally more volatile than large company stock prices. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Mid Cap Stock Portfolio earned a return of 14.29%, compared with the median return of its peer group, the Lipper Mid Cap Core category, of 17.24%. The Portfolio’s market benchmark, the Russell Midcap® Index, earned a return of 17.28%.
What factors affected the Portfolio’s performance?
Solid stock selection within the information technology sector was more than offset by poor performance from the stocks held by the Portfolio in health care, energy and consumer discretionary sectors. The Portfolio’s information technology outperformance was broad-based and benefited from holdings in the IT services, Internet software and services, semiconductor and software industries. However, within the health care sector, rising medical costs resulted in reduced guidance and negative returns for Health Net.
The Portfolio’s energy sector underperformance was led by Alpha Natural Resources, which faced declining coal demand, increasing regulation and competition from low-cost natural gas. WMS Industries weighed on consumer discretionary performance as a consolidating customer base and increased competition reduced pricing power. Finally, another overriding theme negatively impacting performance was the Portfolio’s focus on valuation versus growth, as the latter factor was more in favor during the 12-month period.
What is your outlook?
With worldwide economies providing many mixed signals, the Portfolio’s risk profile remains heavily weighted toward security selection. Europe’s economy continues to contract, while China’s economic data suggests that growth is reaccelerating. In the U.S., some uncertainties like the fiscal cliff have been resolved, only to be replaced by new uncertainties such as the debt ceiling. Meanwhile, a number of central banks around the world are attempting to provide enough monetary stimulus to offset any fiscal austerity.
Information technology and financials are the Portfolio’s largest focus areas. Semiconductor fundamentals have been weak; however, we believe attractive valuations, low inventories and improving demand make this cyclical industry an attractive area. Within the financial industry, improved pricing, attractive valuations and negative sentiment within the insurance industry are providing many opportunities. However, weak growth, resulting in excess capacity and poor pricing power, has limited the opportunities within the industrial and materials sectors. Within industrials, a declining defense budget combined with a shifting military focus seems to be creating a difficult backdrop for defense firms.
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The investing landscape remains challenging and fluid. Absolute and relative equity valuations do not seem stretched, yet domestic growth remains tepid and fiscal policy uncertain. Internationally, Europe struggles to navigate through a sovereign debt crisis, and China continues a delicate balancing act between economic growth and inflation. Areas of emphasis within the Portfolio may change as opportunities present themselves, yet the focus will remain on fundamental, bottom-up stock selection.
Portfolio Facts
As of December 31, 2012
Net Assets | $506,727,163 | |
NAV | $13.09 | |
NAV - High† | 12/20/2012 - $13.22 | |
NAV - Low† | 6/4/2012 - $11.35 | |
Number of Holdings: 70 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | 10-Year | ||
| 14.29% | 2.08% | 9.14% |
| * | The Russell Midcap® Index is an index that measures the performance of the smallest 800 securities in the Russell 1000® Index, as ranked by total market capitalization. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
| Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end. |
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
| The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com. |
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Thrivent Mid Cap Index Portfolio
Kevin R. Brimmer, FSA, Portfolio Manager
Thrivent Mid Cap Index Portfolio seeks total returns that track the performance of the S&P MidCap 400 Index.
Mid-cap stocks offer the potential for long term gains but can be subject to short term price movements. Mid-sized company stock prices are generally more volatile than large company stock prices. While the Portfolio attempts to closely track the S&P MidCap 400 Index, it does not duplicate the composition of the index. Individuals may not invest directly in any index. Index portfolios are subject to the same market risks associated with the stocks in their respective indexes. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Mid Cap Index Portfolio earned a return of 17.38%, compared with the median return of its peer group, the Lipper Mid Cap Core category, of 17.24%. The Portfolio’s market benchmark, the S&P MidCap 400 Index, earned a return of 17.88%.
What factors affected the Portfolio’s performance?
Because it is designed to invest in a way that reflects its benchmark index, the S&P MidCap 400, the changes made to the Portfolio are done to reconcile it with any alterations in the index composition. As typically occurs with an index fund, the difference in performance between the benchmark index and the Portfolio can largely be attributed to expenses and minor differences in composition.
Mid caps modestly outperformed both large-cap and small-cap stocks with all 10 market sectors posting positive returns. Health care and consumer discretionary posted the highest returns, while utilities and energy underperformed with the lowest positive returns. Investors showed a preference for higher-beta stocks, which loosely translates into higher risk. Utilities and energy are typically considered defensive sectors with high dividends and cash flows, while health care and consumer discretionary are higher-beta, more volatile sectors.
What is your outlook?
The Portfolio will remain fully invested in a way that tracks the performance of the S&P MidCap 400 Index. This is intended to be an attractive way for individuals to take advantage of the investment potential of the broad, diversified marketplace for mid-cap stocks.
The financial markets appear to be resolving some of the uncertainty and ambiguity surrounding Europe, the fiscal cliff and the debt ceiling. This optimism is tempered by slowing global growth and the current stage of the economic recovery.
Typically, as a new economic cycle matures, investors begin to favor large- and mid-cap issues over small caps. We believe attractive opportunities are available in the mid-cap marketplace in the months ahead. At the same time, we are realistic in our expectations that the premium return to the mid-cap sector is likely to be reduced in the future as the economic cycle progresses.
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Portfolio Facts
As of December 31, 2012
Net Assets | $85,112,462 | |
NAV | $12.36 | |
NAV - High† | 3/26/2012 - $13.51 | |
NAV - Low† | 6/25/2012 - $10.83 | |
Number of Holdings: 403 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | 10-Year | ||
| 17.38% | 4.70% | 10.05% |
| * | The S&P MidCap 400 Index is an index that represents the average performance of a group of 400 medium capitalization stocks. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
| Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end. |
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
| The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com. |
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How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Partner Worldwide Allocation Portfolio earned a return of 18.67%, compared with the median return of its peer group, the Lipper International Core category, of 17.46%. The Portfolio’s market benchmark, the MSCI All Country World ex-US Index, returned 17.39%.
What factors affected the Portfolio’s performance?
The Portfolio uses a multimanager investment approach, with most managers providing exposure to different equity market segments that collectively reflect the makeup of the global benchmark. We complement the equity managers with a fixed-income allocation for further diversification benefits. In the latest fiscal year, all of the managers achieved similar returns to or exceeded the result of their respective benchmarks. The managers that outperformed—specifically, our emerging market debt and equity managers—were the primary drivers of the Portfolio’s excess return compared with its benchmark. For our emerging equity managers, asset allocation aided performance. Markets such as Turkey, Mexico and India, where we have significant exposure, re-rated. An overweighting to the Philippines also helped as the stock market rallied sharply on the back of increased optimism over its economic growth.
What is your outlook?
Outside of the U.S., investors have been focused on the debt, growth and banking system challenges surrounding the euro currency countries. Somewhat related to the slowdown in Europe and outright recessions in parts of southern Europe has been a moderation in export demand from the developing economies, particularly China. China faces domestic growth challenges as it evolves from an export- to consumption-oriented culture. Collectively, these items weighed on investor confidence for much of the year.
With this as a backdrop, policymakers took extraordinary steps in 2012 to ameliorate investor and consumer concerns and restore confidence. Global markets
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generally reacted well to those actions and the strong market advance in the second half of the year reflects a belief those actions will bear fruit. Certainly, global liquidity remains at a very high level and many believe it provides a strong measure of support for financial assets. While this is likely the case in the near term, at some point real gains in economic growth must validate the confidence being expressed in the market advance. We expect that will be the case, but remain alert for evidence that policies may be having unintended negative consequences in the form of unexpected inflation or asset rises not supported by economic fundamentals.
Portfolio Facts
As of December 31, 2012
Net Assets | $1,520,336,528 | |
NAV | $8.62 | |
NAV - High† | 12/20/2012 - $8.79 | |
NAV - Low† | 6/1/2012 - $7.20 | |
Number of Holdings: 604 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | From Inception 4/30/2008 | |
| 18.67% | -1.12% |
| * | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
| ** | The MSCI All Country World ex-USA Index is an unmanaged market capitalization-weighted index that is designed to represent the performance of developed and emerging stock markets throughout the world. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end. |
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
| The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com. |
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How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Partner Socially Responsible Stock Portfolio earned a return of 16.32%, compared with the median return of its peer group, the Lipper Large Cap Core category, of 15.09%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 16.00%.
What factors affected the Portfolio’s performance?
As we entered 2012, we believed that many of the higher-growth, higher-valuation stocks we hold that had hurt performance late in 2011 were essentially too cheap to sell. That proved to be a good decision as the market sharply rebounded in the first quarter. In early April, our belief was we might have just seen the high for the year. We took advantage of the market strength to trim some big winners.
We had the right idea but did not go far enough. We continued our strategy of dialing back risk as the market reached a new 2012 high in September. We did not want to carry a more pro-growth positioning into the fiscal cliff deadline. Thus far, this strategy has served the Portfolio well.
Gilead Sciences was the biggest contributor in 2012. The outperformance came on the back of compelling data for its drugs developed to treat hepatitis C. We unfortunately lost some additional performance in Green Mountain Coffee Roasters early in 2012 prior to selling our remaining shares.
What is your outlook?
The “Grand Bargain” of political compromise to reduce the deficit might prove less grand and take longer, but we still think it’s the most likely outcome in the end. We think such a deal is important for both the economy and stock market. The stock market craves the benefit that a long-term deal would bring to stabilize the country’s fiscal situation.
It’s hard to overstate the importance and significance of the recent pickup in employment and the turn in housing. Global monetary policy is supportive of growth. We expect Europe to be stronger when we exit 2013 than it is at the start.
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The next couple of months could be choppy and Washington holds the key as to whether 2013 can be a decent year or, potentially, a great one. Whatever environment we encounter, we will continue to search for the best combination of growth and value within our high-quality universe.
Portfolio Facts
As of December 31, 2012
Net Assets | $9,178,030 | |
NAV | $11.82 | |
NAV - High† | 9/14/2012 - $12.02 | |
NAV - Low† | 1/4/2012 - $10.30 | |
Number of Holdings: 46 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | From Inception 4/30/2008 | |
| 16.32% | 3.82% |
| * | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
| Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end. |
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
| The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com. |
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| Thrivent Partner All Cap Growth Portfolio |
Subadvised by Calamos Advisors LLC
Thrivent Partner All Cap Growth Portfolio seeks long-term capital growth.
Stocks are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods. In addition, the Portfolio is exposed to the risks of investing in mid-cap stocks, which generally are more volatile and less liquid than large-cap stocks. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Partner All Cap Growth Portfolio earned a return of 11.15%, compared with the median return of its peer group, the Lipper Multi Cap Growth category, of 15.55%. The Portfolio’s market benchmark, the Russell 3000® Growth Index, earned a return of 15.21%.
What factors affected the Portfolio’s performance?
Security selection within both the energy and materials sectors detracted the most from the Portfolio’s relative performance during 2012. Within energy, holdings and exposure in the oil and gas drilling industry and the equipment and services industry hampered results.
In the materials sector, the most notable detractor included a higher relative allocation and selection within the gold mining and production industry. The Portfolio’s overweighting and strong security selection within the technology sector added to performance in the period. Specifically, the Portfolio’s results benefited from positions in the IT consulting and other services industry, as well as the application software industry. Also, an underweighting and positive security selection within the consumer staples sector proved advantageous to relative performance in the period.
What is your outlook?
We maintain our outlook for slow-but-sustained economic growth in the U.S. and globally, yet are becoming more optimistic about market opportunities. In the U.S., we have seen improvements in the housing market, better-than-expected data from retail sales and industrial production, improvements within the financial sector and slow-but-marginally-improving job data.
We believe the latest market movements indicate that investors are in the process of returning to more of a bottom-up focus, with greater distinctions being made based on corporate fundamentals. Because of our focus on fundamentals, the Portfolio overall has a higher free cash flow and lower debt-to-capital than the benchmark. We continue to position the Portfolio in companies with diversified revenues and global business strategies that we believe offer the most attractive risk-and-return opportunities.
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Portfolio Facts
As of December 31, 2012
Net Assets | $12,842,385 | |
NAV | $10.39 | |
NAV - High† | 4/2/2012 - $11.10 | |
NAV - Low† | 1/4/2012 - $9.52 | |
Number of Holdings: 84 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | From Inception 4/30/2008 | |
| 11.15% | 0.82% |
| * | The Russell 3000® Growth Index is an index that measures the performance of the broad growth segment of U.S. equities. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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| Thrivent Partner All Cap Value Portfolio |
Subadvised by OppenheimerFunds, Inc.
Thrivent Partner All Cap Value Portfolio seeks long-term capital growth.
Stocks are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods. In addition, the Portfolio is exposed to the risks of investing in small- and mid-cap stocks, which generally are more volatile and less liquid than large-cap stocks. The Portfolio is also subject to the risks of investing in foreign (including emerging market) stocks. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Partner All Cap Value Portfolio earned a return of 11.74%, compared with the median return of its peer group, the Lipper Multi Cap Value category, of 14.28%. The Portfolio’s market benchmark, the Russell 3000® Value Index, earned a return of 17.55%.
What factors affected the Portfolio’s performance?
The top detractors to the Portfolio’s performance included Navistar International Corp. (industrials), Humana, Inc. (health care), Bill Barrett Corp. (energy), GenOn Energy, Inc. (utilities), The PNC Financial Services Group, Inc. (financials) and The Talbots, Inc. (consumer discretionary). We exited our positions in Bill Barrett, GenOn Energy and The Talbots.
During the period, the top contributors to the Portfolio’s performance were M&T Bank Corp. (financials), Comcast Corp. (consumer discretionary), The Goldman Sachs Group, Inc. (financials), Quanta Services, Inc. (industrials) and Wells Fargo & Co. (financials). We exited our position in Comcast Corp.
At the close of 2012, most of the Portfolio’s significant overweighted positions relative to the index were in the health care, industrials, materials and consumer staples sectors. By contrast, the Portfolio’s largest underweighted positions were in the financials, energy and utilities sectors.
What is your outlook?
Despite the prospect of ongoing market volatility, we remain optimistic regarding our investment strategy. Our key focus as investors lies in understanding the economic reality of the companies in which we invest, and identifying major changes that we believe will occur over the next three years—a process that we typically summarize as three-year earnings power. The changes we look for typically fall into three categories: secular change, cyclical change and turnarounds. Drivers of these often include changes in regulation, technology and demographics. On top of this, as value investors, we typically seek to invest in companies that trade at a steep discount to our estimate of company value once these changes are realized.
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Portfolio Facts
As of December 31, 2012
Net Assets | $5,979,400 | |
NAV | $9.01 | |
NAV - High† | 12/18/2012 - $9.12 | |
NAV - Low† | 6/4/2012 - $7.84 | |
Number of Holdings: 46 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | From Inception 4/30/2008 | |
| 11.74% | -1.32% |
| * | The Russell 3000® Value Index is an index that measures the performance of the broad value segment of U.S. equities. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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| Thrivent Partner All Cap Portfolio |
Subadvised by Pyramis Global Advisors, LLC, an affiliate of Fidelity Investments
Thrivent Partner All Cap Portfolio seeks long-term growth of capital.
Stocks are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Partner All Cap Portfolio earned a return of 14.74%, compared with the median return of its peer group, the Lipper Multi Cap Core category, of 15.02%. The Portfolio’s market benchmark, the Russell 3000® Index, earned a return of 16.42%.
What factors affected the Portfolio’s performance?
Holdings in the health care and materials sectors contributed to relative Portfolio performance. In the health care sector, overweightings in biopharmaceutical companies Gilead Sciences and Onyx Pharmaceuticals were among the top contributors to relative performance.
Among the materials stocks, overweightings in plastics and chemical company LyondellBasell Industries and sanitation supplier Ecolab were key contributors to relative performance.
Among individual holdings, the underweighting in integrated energy company Exxon Mobil and overweighting in discount merchandise store operator Target were key contributors to relative performance. The financials and information technology stocks detracted from relative performance. Among information technology stocks, overweightings in personal computer maker Hewlett-Packard and computer network solutions provider Adtran were among the largest detractors from relative performance. Shares of Hewlett-Packard fell after the company reported multiple quarterly earnings reports that missed analyst expectations. Adtran shares fell after the company announced lower-than-expected quarterly results and flat full-year earnings expectations.
Shares of Occidental Petroleum fell in the beginning part of the year as the company reduced its full-year guidance. NII Holdings shares fell as the company reported multiple quarterly earnings reports that missed consensus estimates.
What is your outlook?
We still believe the high potential for macro-driven market patterns remains a risk and we continue to focus our efforts on maintaining a high level of asset selection within our risk budget, along with a healthy level of active share across the Portfolio.
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Our sector Portfolio managers made incremental shifts to their positioning heading into 2013, and—generally speaking—have reduced the defensiveness across the Portfolio in many sectors. We would not characterize our positioning as aggressive, but rather we are seeing some fundamental improvement in areas that we believe will provide new investment opportunities, and we want to take advantage of those.
Despite these changes in the Portfolio, our general outlook did not significantly change. We are cautiously optimistic on risk assets and believe that the current environment can be supportive of equity performance.
Portfolio Facts
As of December 31, 2012
Net Assets | $51,469,335 | |
NAV | $9.64 | |
NAV - High† | 9/14/2012 - $9.87 | |
NAV - Low† | 6/1/2012 - $8.58 | |
Number of Holdings: 107 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | 10-Year | ||
| 14.74% | -1.40% | 7.96% |
| * | The Russell 3000® Index is an index comprised of the 3,000 largest U.S. companies based on market capitalization. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Thrivent Large Cap Growth Portfolio
David C. Francis, CFA, Portfolio Manager
Thrivent Large Cap Growth Portfolio seeks long-term growth of capital.
Large-cap stocks are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Large Cap Growth Portfolio earned a return of 19.18%, compared with the median return of its peer group, the Lipper Large Cap Growth category, of 16.05%. The Portfolio’s market benchmark, the Russell 1000® Growth Index, earned a return of 15.26%.
What factors affected the Portfolio’s performance?
The Portfolio’s performance was favorably impacted by strong security selection in the consumer, information technology and financial sectors. While holdings in health care and energy—plus a modest cash position—limited the Portfolio’s advance, overall results for the period were good.
Holdings in global brewing company Anheuser-Busch InBev and tobacco company Altria outperformed over the period. In the retail segment, the Portfolio’s position in Wal-Mart Stores performed well. In the financial sector, holdings in diversified financial service companies such as JPMorgan Chase and Citigroup achieved improved results, as did Wells Fargo.
In technology, our holding in Oracle performed well as did our position in Salesforce.com early in the period. However, Texas Instruments and NetApp performed poorly over the period. A position in Apple mitigated some of that underperformance as its stock performed well for the full year, although it came under some pressure in the final months.
The Portfolio’s energy exposure fell short of its category during the period. Our holding in Weatherford International underperformed as the company failed to execute its business plan well and operating results did not meet expectations. In health care, the Portfolio’s position in specialty pharmaceutical company Shire underperformed both its group and the broader market.
What is your outlook?
The economic recovery remains intact and growth is being sustained at a moderate pace in the United States. Globally, much of Europe is either in or approaching a recession, while emerging market growth is being tempered by demand weakness from the developed world and imbalances within their respective economies, particularly in China. Monetary policy remains extremely accommodative, both domestically and abroad, with the expressed goal, at least in the U.S., of lifting asset prices. In the near term, this provides some support for markets even in the face of heightened policy and fiscal uncertainty.
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We seem to be well into the stage of the economic and market cycle when risks become more elevated. Our emphasis remains on those companies with either strong organic and cyclical demand drivers or situations in which management actions suggest strong support for enhanced shareholder returns. We are finding some particularly attractive growth and valuation opportunities outside the U.S. market, especially in Europe, and are opportunistically taking advantage.
Portfolio Facts
As of December 31, 2012
Net Assets | $859,909,950 | |
NAV | $18.81 | |
NAV - High† | 9/14/2012 - $19.65 | |
NAV - Low† | 1/4/2012 - $16.26 | |
Number of Holdings: 46 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
| 1-Year | 5-Year | 10-Year | ||
| 19.18% | 0.50% | 6.74% |
| * | The Russell 1000® Growth Index measures the performance of large cap growth stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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 | Thrivent Partner Growth Stock Portfolio |
Subadvised by T. Rowe Price Associates, Inc.
Thrivent Partner Growth Stock Portfolio seeks long-term growth of capital and, secondarily, to increase dividend income.
Stocks, in general, are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Partner Growth Stock Portfolio earned a return of 18.66%, compared with the median return of its peer group, the Lipper Large Cap Growth category, of 16.05%. The Portfolio’s market benchmark, the S&P 500/Citigroup Growth Index, earned a return of 14.71%.
What factors affected the Portfolio’s performance?
Overall, stock selection was the overwhelming reason for relative outperformance, but sector weighting also helped. All but one of the Portfolio sectors outperformed the S&P 500/Citigroup Growth Index for the year.
Information technology was by far the leading relative outperformer, driven by stock selection and further boosted by a favorable overweighting. Apple share prices rose sharply on continued strength in demand for its products. Shares of eBay were up as a result of growth in the popularity of its PayPal electronic payment service as well as increased usage by mobile Internet users. LinkedIn reported strong user growth outside of the United States and is reaching additional users through its mobile application.
Stock selection lifted outperformance of the telecommunication services sector as well. Crown Castle International and other wireless communication tower companies benefited, thanks to continued demand for higher data capacity to support smartphone technology.
Consumer discretionary outperformed due to strong stock selection. Amazon continued drawing new customers with its Kindle ebook readers. Shares of Priceline.com Inc. were up as the company increased travel bookings through online resources and expanded its website. A combination of strong sales, good cost control and favorable currency exchange rates drove up profits at Italian luxury handbag maker Prada.
An underweighting to the consumer staples sector was helpful as investors were willing to take on more risk and rotated out of the more-defensive sector.
The only relative detractor was materials, due to negative stock selection.
What is your outlook?
Now that the first phase of a plan to deal with U.S. fiscal problems is behind us, we are reasonably optimistic that the policymakers in Washington will come up with some sort of a compromise on the spending side of the equation. We expect the U.S. economy to grow between 2% to 3% in 2013, encouraged by positive trends in the
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housing industry and the declining unemployment rate. The main impediments to global growth remain an economic slowdown in China and ongoing sovereign debt problems in Europe. In addition, continuing turmoil in the Middle East carries the potential to escalate into more widespread violence.
The Portfolio remains focused on stocks that we believe can do reasonably well in any economic conditions, following a strategy of bottom-up stock selection that has long served our investors well.
Portfolio Facts
As of December 31, 2012
Net Assets | $57,980,378 | |
NAV | $13.54 | |
NAV - High† | 9/19/2012 - $13.92 | |
NAV - Low† | 1/4/2012 - $11.60 | |
Number of Holdings: 125 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
| 1-Year | 5-Year | 10-Year | ||
| 18.66% | 2.47% | 7.90% |
| * | The S&P 500/Citigroup Growth Index is a capitalization-weighted index comprised of the highest price-to-book ratio securities in the S&P 500 Index. The S&P 500/Citigroup Growth Index is designed so that approximately one-half of the S&P 500 Index market capitalization is characterized as “value” and the other half as “growth.” The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Thrivent Large Cap Value Portfolio
Matthew D. Finn, CFA, Portfolio Manager
Thrivent Large Cap Value Portfolio seeks long-term growth of capital.
Large-cap stocks are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Large Cap Value Portfolio earned a return of 17.57%, compared with the median return of its peer group, the Lipper Large Cap Value category, of 15.86%. The Portfolio’s market benchmark, the Russell 1000® Value Index, earned a return of 17.51%.
What factors affected the Portfolio’s performance?
Stock selection, which is the focus of our value investment process, drove the Portfolio’s performance. Results were strongest in the energy, health care and consumer discretionary sectors. In the energy sector, the standout performer was EQT Corporation, an integrated natural-gas-focused energy company. EQT was purchased during the second quarter as natural gas prices fell below the marginal cost of production, causing the share prices of natural gas companies to become very weak. In addition, demand for natural gas was temporarily depressed by a warm winter. This created an opportunity as marginal producers cut production, thereby reducing supply, which should lead to increasing prices. We continue to believe the long-term outlook for natural gas demand in the U.S. is very bright.
In the health care sector, health care equipment company Baxter International was a strong performer. In the consumer discretionary sector, auto parts company Delphi Automotive appreciated significantly after coming out of bankruptcy very well-positioned. Both of these companies’ shares remain in the Portfolio.
In aggregate, sector allocation hindered Portfolio performance versus the Russell 1000® Value Index. Underweightings in the financial services and telecommunications services sectors hurt relative performance as these areas performed strongly during the year. The underweighting in financial services is a function of the index’s large weighting in real estate investment trusts (REITs), which is not an area of emphasis for the Portfolio. An underweighting in the utilities sector helped relative performance.
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What is your outlook?
We look at the outlook for stocks the same way that we evaluate a company, based on valuation, operating performance and catalysts. Currently, stock valuations are generally attractive, particularly when the level of interest rates is taken into consideration. While the outlook for
operating performance varies by industry, our focus is on attractively priced companies that have a long runway for improved earnings. The catalyst for stocks could be improving economies in Europe, China and the U.S.
Portfolio Facts
As of December 31, 2012
Net Assets | $852,642,876 | |
NAV | $12.00 | |
NAV - High† | 12/20/2012 - $12.13 | |
NAV - Low† | 6/4/2012 - $10.30 | |
Number of Holdings: 56 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
| 1-Year | 5-Year | 10-Year | ||
| 17.57% | 0.41% | 7.01% |
| * | The Russell 1000® Value Index measures the performance of large cap value stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Thrivent Large Cap Stock Portfolio
David C. Francis, CFA, and Matthew D. Finn, CFA, Portfolio Co-Managers
Thrivent Large Cap Stock Portfolio seeks long-term capital growth.
Large-cap stocks are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Large Cap Stock Portfolio earned a return of 14.90%, compared with the median return of its peer group, the Lipper Large Cap Core category, of 15.09%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 16.00%.
What factors affected the Portfolio’s performance?
The Portfolio underperformed its benchmark due to poor returns in some of our more specialized energy companies, a modest position in cash compared to a benchmark that holds no cash, and exposure to a pharmaceutical company that did not perform well in the health care segment. Specifically, our positions in equipment companies Weatherford International and Baker Hughes underperformed the energy sector and the broader market. Weatherford shares were impacted by failure to execute well on both an operating and financial basis. In the specialized pharmaceutical segment, Shire PLC also declined due to disappointing sales in certain segments.
Positive contribution came from our holdings in the cable segment, with good returns achieved by both Time Warner Cable and Comcast. Amazon.com also did well in the Portfolio as a holding in the Internet retail segment. In addition, Las Vegas Sands performed well during the period as confidence that an economic recovery in China was taking hold lifted the outlook for gaming in Macau, a substantial source of organic growth for the company. An overweighted position in Oracle aided results as it outperformed both its group and the market. A lack of exposure to Microsoft also was additive as the stock performed poorly. Also, holdings in the financial and consumer sectors offset some of the underperformance of other groups. Diversified financial holdings such as JPMorgan Chase, Citigroup and Wells Fargo had a favorable impact. Wal-Mart Stores performed well in the retail sector; however, poor returns by an early holding in J.C. Penney offset those gains. Altria in the tobacco group and Anheuser-Busch InBev in the brewing segment also lifted returns.
What is your outlook?
As the economic and stock market cycles mature, one must become more cognizant of risks to the outlook, particularly given the nature of the recovery to date. While fiscal policy remains highly uncertain, monetary authorities have provided unprecedented levels of support for financial assets and are committed to doing so for an extended period. This activity does not preclude an adjustment in asset prices should economic activity deteriorate, but we think it does mitigate some of the risk.Housing appears to have stabilized and bank lending is improving—both of which are critical factors in sustaining confidence.
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We remain focused on companies with good organic growth as well as strong operating models. We are finding some interesting opportunities outside of the U.S. as many foreign markets have experienced substantial declines relative to U.S. stock prices.
Portfolio Facts
As of December 31, 2012
Net Assets | $622,532,882 | |
NAV | $9.22 | |
NAV - High† | 9/14/2012 - $9.39 | |
NAV - Low† | 6/1/2012 - $8.20 | |
Number of Holdings: 48 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
| 1-Year | 5-Year | 10-Year | ||
| 14.90% | -0.69% | 4.90% |
| * | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Thrivent Large Cap Index Portfolio
Kevin R. Brimmer, FSA, Portfolio Manager
Thrivent Large Cap Index Portfolio seeks total returns that track the performance of the S&P 500 Index.
Large-cap stocks are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods. While the Portfolio attempts to closely track the S&P 500 Index, it does not exactly duplicate the composition of the index. Individuals may not invest directly in any index. Index portfolios are subject to the same market risks associated with the stocks in their respective indexes. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Large Cap Index Portfolio earned a return of 15.54%, compared with the median return of its peer group, the Lipper S&P 500 Index Objective category, of 15.55%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 16.00%.
What factors affected the Portfolio’s performance?
The Portfolio’s holdings are aligned with those in the S&P 500 Index. As typically occurs in an indexed portfolio, the difference in performance between the benchmark index and the Portfolio can largely be attributed to expenses and minor differences in composition.
All of the sectors posted positive returns for the year. Financials, consumer discretionary and telecommunication services were the best-performing sectors in the market over the past 12 months, posting the highest returns. Large-cap stocks slightly underperformed small- and mid-cap stocks over the reporting period, as they typically tend to do during market rallies. The energy and utilities sectors delivered the smallest positive returns for the 12-month period. Because both energy and utilities are lower beta sectors, they were negatively impacted as the market tended to reward the riskier, higher-beta sectors in 2012.
What is your outlook?
These past 12 months showed a market advance through March, then a drop from the highs through the end of the second quarter, a rally during the third quarter and then flat returns over the final three months. Economic data has been improving, including housing, energy prices, durable goods orders, GDP and jobless claims. We also believe the dollar is as low as it should get. Risk levels will likely fluctuate in a range-bound manner. While we anticipate that equities should outperform fixed income, we additionally believe that large-cap companies should outpace their small- and mid-cap counterparts as this cycle matures.
The financial markets appear to be resolving some of the uncertainty and ambiguity surrounding Europe, the fiscal cliff and the debt ceiling. This optimism is tempered by slowing global growth and the current stage of the economic recovery. Barring unforeseen macro events that would precipitate a “risk-off trade,” we are cautiously optimistic about the outlook for equities.
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Portfolio Facts
As of December 31, 2012
Net Assets | $303,968,441 | |
NAV | $20.11 | |
NAV - High† | 9/14/2012 - $20.54 | |
NAV - Low† | 1/3/2012 - $17.99 | |
Number of Holdings: 501 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | 10-Year | ||
| 15.54% | 1.34% | 6.77% |
| * | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Thrivent Equity Income Plus Portfolio
David R. Spangler, CFA, and Kevin R. Brimmer, FSA, Portfolio Co-Managers
Thrivent Equity Income Plus Portfolio seeks income plus long-term capital growth.
The Portfolio may invest in, among others, REITs, preferred stocks and foreign (including emerging market) stocks. These investments are subject to unique risks. The Portfolio may also sell covered options on any securities in which the Portfolio invests. Successful use of this strategy can augment portfolio return but can also magnify losses if executed incorrectly. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Equity Income Plus Portfolio earned a return of 13.17%, compared with the median return of its peer group, the Lipper Equity Income category, of 16.41%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 16.00%.
What factors affected the Portfolio’s performance?
The Portfolio is constructed as a multi-asset class product in the same way as an asset allocation portfolio, with separate investment strategies for domestic and international dividend equity, domestic and international REITs and preferreds. Together, these asset classes should provide greater diversification than any one asset class alone.
In 2012, the domestic dividend equity portion of the Portfolio trailed its benchmark, with poor stock selection in consumer staples, utilities and financials. The international asset class dividend equity performance was somewhat below benchmark too, with both energy and financials lagging. The Portfolio was underweighted in European banks, which performed very well in the second half of the year, and overweighted in energy, which performed poorly.
Areas that added value during the period included preferreds and the Portfolio’s options buy-write strategy. Within the preferred segment, domestic banks performed very well as overall credit improved throughout the year. Finally, the Portfolio held very little cash, which added to its relative performance versus the peer group.
What is your outlook?
Lost in the headlines about the fiscal cliff and debt ceiling is the fact that economic data has been improving, including housing, energy prices, durable goods orders, GDP and jobless claims. Therefore, we anticipate a positive year for equities relative to bonds. We believe earnings and dividends will drive equity returns, especially companies that generate free cash flow and have a history of capital allocation decisions that enhance shareholder value—such as dividend increases, net share buybacks and net debt reduction.
Additionally, while 2012 was a strong year for domestic equities relative to foreign, we expect 2013 to favor global equities. As the U.S. economy moves toward a later stage recovery, U.S. sectors that are more globally positioned may perform well on a relative basis, including industrials, materials, energy and technology.
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Portfolio Facts
As of December 31, 2012
Net Assets | $102,060,934 | |
NAV | $9.82 | |
NAV - High† | 10/17/2012 - $9.98 | |
NAV - Low† | 6/1/2012 - $8.92 | |
Number of Holdings: 248 | ||
† For the year ended December 31, 2012 |
Average Annual Total Returns1
As of December 31, 2012
1-Year | From Inception 4/30/2008 | |
| 13.17% | 1.13% |
| * | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Kevin R. Brimmer, FSA, and Michael G. Landreville, CFA, Portfolio Co-Managers
Thrivent Balanced Portfolio seeks long-term total return through a balance between income and the potential for long-term capital growth.
Stocks are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods.The Portfolio is subject to interest-rate risk, credit risk and volatility risk, which may result in overall price fluctuations over short or even extended time periods. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Balanced Portfolio earned a total return of 12.42%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays U.S. Aggregate Bond Index, returned 16.00% and 4.22%, respectively.
What factors affected the Portfolio’s performance?
The Portfolio allocated roughly two-thirds of its assets to equities in 2012 and the remainder to fixed-income securities. Both asset classes performed well against a backdrop of low interest rates and slow-but-steady economic growth.
In keeping with its mandate, the equity portion of the Portfolio largely mirrored the performance of the S&P 500 Index, generating a total return of 16.04%.
Financials were the stock market’s best performers with a total return of 28.84%. Banks, in particular, benefited from the Federal Reserve’s decision to keep short-term interest rates low. That allowed banks to earn generous profits, with hefty spreads between what they were paying depositors and what they were earning on loans.
Consumer discretionary stocks and telecommunications stocks also did well, earning 23.92% and 18.44%, respectively, as consumers loosened their purse strings. One of their favorite purchases: smartphones.
Utility stocks, which are countercyclical stocks that tend to do best when the economy slumps, turned in the market’s worst performance as a group, but even they finished the year in the black with a total return of 1.39%.
The fixed-income portion of the Portfolio handily outperformed its benchmark, the Barclays U.S. Aggregate Bond Index, with a return of 6.95%. About half of the differential was explained by the performance of the Portfolio’s nonagency mortgage-backed securities, with the other half attributable to the performance of some of its agency mortgage-backed securities that happened to be among those the Federal Reserve was buying last year as part of its economic stimulus efforts.
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What is your outlook?
Political debate over federal tax and spending policy will likely inject some volatility into the financial markets from time to time in 2013. Nonetheless, we expect the economy to continue growing slowly, creating an environment in which stocks and bonds could both post further gains. Returns are unlikely to match those achieved in 2012, especially in the fixed-income markets, where valuations were dauntingly high heading into the new year. Markets could surprise on the upside if policymakers in Washington are able to reach agreement on a meaningful plan to reduce the federal debt, though recent history suggests that it would be imprudent to count on that happening.
Portfolio Facts
As of December 31, 2012
Net Assets | $239,333,946 | |
NAV | $15.42 | |
NAV - High† | 4/2/2012 - $15.78 | |
NAV - Low† | 6/25/2012 - $14.38 | |
Number of Holdings: 782 | ||
† For the year ended December 31, 2012 |
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | 10-Year | ||
| 12.42% | 3.62% | 6.33% |
| * | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Barclays U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| *** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Paul J. Ocenasek, CFA, Portfolio Manager
Thrivent High Yield Portfolio seeks to achieve a higher level of income. The Portfolio will also consider growth of capital as a secondary objective.
The Portfolio typically invests a majority of its assets in high-yield bonds (commonly referred to as junk bonds). Although high-yield bonds typically have a higher current yield than investment-grade bonds, high-yield bonds are also subject to greater price fluctuations and increased risk of loss of principal than investment-grade bonds. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent High Yield Portfolio earned a return of 16.28%, compared with the 14.52% median return of its peer group, the Lipper U.S. High Current Yield category. The Portfolio’s market benchmark, the Barclays U.S. Corporate High Yield Bond Index, earned 15.81%.
What factors affected the Portfolio’s performance?
Economic growth in the U.S. and progress in Europe on managing the Continent’s debt problems emboldened fixed-income investors in 2012. With interest rates on U.S. Treasury securities at historic lows, investors moved aggressively into riskier sectors of the market, including high-yield bonds, in search of income. As a result, cash flows into high-yield mutual funds hit an all-time high, and prices in that sector moved substantially higher, narrowing the spread between high-yield bond yields and Treasury bond yields by nearly 200 basis points. With the economy continuing to grow slowly but persistently, default rates in the high-yield sector remained low throughout the year, hovering in the 2% to 2.5% range. That was well below the long-term average rate, which has been closer to 4%.
The Portfolio’s strong performance relative to its benchmark and peer group was attributable in part to favorable security selection in four industry sectors: transportation services, wireless communications, building materials and housing. The Portfolio also maintained higher allocations to those sectors than its benchmark, and all four performed well. Meanwhile, the Portfolio maintained a smaller allocation to cash than the typical high-yield mutual fund, which further helped its performance relative to its peer group.
The Portfolio’s returns were moderated by an underweighted allocation to bonds with the lowest credit ratings in the high-yield sector, which were among the year’s top performers, and by an underweighted allocation to financials, which also did well.
What is your outlook?
Continued slow economic growth and healthy corporate balance sheets should create a favorable investment environment for the high-yield sector in 2013. Nonetheless, we anticipate several headwinds that will make it difficult for the sector to match last year’s performance.
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On the economic front, higher income tax rates for higher earners and potential cuts in government spending could test the economy’s resilience. In the markets themselves, record low yields on high-yield bonds, and record high valuations, leave little room for continued price appreciation. Those low yields also have left many high-yield bonds at risk of being called if their issuers conclude they can replace them with new bonds paying lower rates of interest.
Overall, we think high-yield bonds remain one of the more attractive sectors in the fixed-income markets for 2013. Even if their returns are limited to the coupon they offer—generally 6% or less at the start of the year—they should have an opportunity to generate better returns than their investment-grade counterparts.
Portfolio Facts
As of December 31, 2012
Net Assets | $904,897,423 | |
NAV | $5.05 | |
NAV - High† | 12/13/2012 - $5.06 | |
NAV - Low† | 1/3/2012 - $4.68 | |
Number of Holdings: 274 | ||
† For the year ended December 31, 2012 |
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | 10-Year | ||
| 16.28% | 9.58% | 10.14% |
| * | The Barclays U.S. Corporate High Yield Bond Index is an index which measures the performance of fixed-rate non-investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Thrivent Diversified Income Plus Portfolio
Mark L. Simenstad, CFA, David R. Spangler, CFA and Paul J. Ocenasek, CFA, Portfolio Co-Managers
Thrivent Diversified Income Plus Portfolio seeks to maximize income while maintaining prospects for capital appreciation.
The Portfolio may invest in debt or equity securities. Debt securities include high-yield, high-risk securities commonly known as “junk bonds.” High-yield securities are subject to greater price fluctuations and increased risk of loss of principal than investment grade bonds. Debt securities also include mortgage-related and other asset-backed securities, the value of which will be influenced by factors affecting the housing market and the assets underlying such securities. Equity securities are subject to the basic market risk that a particular security, or securities in general, may decrease in value over short or even extended time periods. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Diversified Income Plus Portfolio earned a return of 14.48%. The Portfolio’s market benchmarks, the S&P 500, Barclays U.S. Corporate High Yield Bond Index and Barclays U.S. Corporate Investment Grade Index, returned 16.00%, 15.81% and 9.82%, respectively.
What factors affected the Portfolio’s performance?
With yields on U.S. Treasury bonds at or near historic lows, investors looked elsewhere for income driving positive results in virtually every sector of the market in which the Portfolio invests. Nonagency mortgage-backed securities performed particularly well amid improving fundamentals in the housing market: rising home prices, increased housing starts, and moderating foreclosure rates.
Preferred stocks and high-yield debt also performed well as the slowly growing U.S. economy proved sufficient to keep corporate profits healthy. Among preferred stocks, financials did particularly well as banks turned in strong profits.
On the downside, a hedging program aimed at minimizing the volatility of the Portfolio’s returns detracted from performance in 2012 when market volatility proved less than we anticipated.
What is your outlook?
We expect the U.S. economy to continue on its slow-growth trajectory in 2013. Against that backdrop, we are cautiously optimistic about the long-term prospects for the financial markets. We anticipate some near-term volatility in the equity market as policymakers in Washington debate federal tax and spending policy.
In the fixed-income sector, we considered high-yield bonds fully valued heading into 2013. We anticipate underweighting that sector of the market over the course of the year and slightly overweighting preferred stocks, floating-rate bank loans and nonagency mortgage-backed securities.
Because bond valuations rose so high in 2012, and bond yields dipped so low, it will be very difficult for the Portfolio to generate the same level of returns in 2013. Nonetheless, we anticipate that the Portfolio will have an opportunity to generate positive returns for the year.
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Portfolio Facts
As of December 31, 2012
Net Assets | $229,706,695 | |
NAV | $7.23 | |
NAV - High† | 10/17/2012 - $7.25 | |
NAV - Low† | 1/3/2012 - $6.59 | |
Number of Holdings: 412 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1,2
As of December 31, 2012
1-Year | 5-Year | 10-Year | ||
| 14.48% | 6.75% | 8.20% |
| ^ | Effective April 1, 2012, the Portfolio’s benchmark indices changed from the S&P Dividend Aristocrats Index and the Barclays Aggregate Bond Index to the S&P 500 Index, the Barclays U.S. Corporate High Yield Bond Index and the Barclays U.S. Corporate Investment Grade Index. The Adviser made these benchmark changes in light of the evolving asset mix of the Portfolio’s investment portfolio. |
| * | The Barclays U.S. Corporate High Yield Bond Index is an index which measures the performance of fixed-rate non-investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The S&P 500 Dividend Aristocrats Index is an index which measures the performance of large-capitalization companies within the S&P 500 that have followed a policy of consistently increasing dividends every year for at least 25 years. The index portfolio has both capital growth and dividend income characteristics, is equal-weighted and is broadly diversified across sectors. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| *** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| **** | The Barclays U.S. Corporate Investment Grade Index is an index that measures the performance of investment grade corporate bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ***** | The Barclays U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ****** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
| 2 | Prior to July 3, 2006, the Portfolio, as a high yield fund, invested primarily in “junk bonds”. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Stephen D. Lowe, CFA, Portfolio Manager
Thrivent Income Portfolio seeks a high level of income over the longer term while providing reasonable safety of capital.
The Portfolio is subject to interest rate risk, credit risk related to a company’s underlying financial position and volatility risk, which may result in overall price fluctuations over short or even extended time periods. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Income Portfolio earned a return of 10.98%, compared with the median return of its peer group, the Lipper Corporate Debt BBB-Rated category, of 7.26%. The Portfolio’s market benchmark, the Barclays U.S. Aggregate Bond Index, earned a return of 4.22%.
What factors affected the Portfolio’s performance?
Slow-but-steady U.S. economic growth and continued low inflation created a favorable environment for fixed-income assets generally. The Federal Reserve’s efforts to depress Treasury yields helped drive exceptionally strong results in higher-risk sectors of the market, including corporate bonds and nonagency mortgage-backed securities, as investors turned to them in search of higher yields.
The Portfolio’s strong performance relative to its benchmark and peer group was attributable in large part to a lower allocation to Treasuries, which generated modest returns, and a higher allocation to risk assets. Among the Portfolio’s top performers were investment-grade corporate bonds, which earned 12.97%, high-yield corporate bonds, which earned 13.17%, and securitized Asset Bonds, including mortgage-backed securities, which earned 10.91%.
Results within the securitized sector varied dramatically. High-quality mortgage-backed securities issued by government agencies earned 6.04%, for example. Nonagency mortgage-backed securities collectively earned approximately 40%, although they represented only 1.2% of the Portfolio.
Within the corporate bond sector, the Portfolio also benefited from an overweighting in bonds issued by investment-grade financial companies, which collectively generated a return of 16.75%, and from strong security selection within that group.
What is your outlook?
We anticipate that the U.S. economy will continue to grow at a moderate pace in 2013 against a headwind of fiscal tightening and higher tax rates. Given the high valuations in the bond market heading into the year, and the relatively tight spreads between yields on Treasuries and riskier assets, we expect total returns from fixed-income assets will not be able to match those notched in 2012.
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By the end of 2013, or at some point in 2014, we anticipate that interest rates will begin to rise as the U.S. economy strengthens.
Over the near term, we anticipate maintaining a moderately overweighted allocation to corporate bonds and other risk assets until we have more clarity on the federal government’s plans for addressing its annual deficits and the growing federal debt. When interest rates finally do begin to show signs of rising, we would expect to introduce more floating-rate debt into the Portfolio via the leveraged loan market. That should help to moderate the negative impact rising interest rates will have on fixed-rate securities.
Portfolio Facts
As of December 31, 2012
Net Assets | $1,575,900,291 | |
NAV | $10.77 | |
NAV - High† | 11/8/2012 - $10.82 | |
NAV - Low† | 1/4/2012 - $10.07 | |
Number of Holdings: 556 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | 10-Year | ||
| 10.98% | 7.24% | 6.08% |
| * | The Barclays U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Michael G. Landreville, CFA, Portfolio Manager
Thrivent Bond Index Portfolio strives for investment results similar to the total return of the Barclays U.S. Aggregate Bond Index.
The Portfolio is subject to interest rate risk, credit risk related to a company’s underlying financial position, and prepayment and extension risk. While the Portfolio attempts to closely track the Barclays Capital U.S. Aggregate Bond Index, it does not duplicate the composition of the Index. Individuals may not invest directly in any index. Index portfolios are subject to the same market risks associated with the securities in their respective indexes. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Bond Index Portfolio earned a return of 4.94%, compared with 4.22% for the Portfolio’s market benchmark, the Barclays U.S. Aggregate Bond Index.
What factors affected the Portfolio’s performance?
In seeking to track the performance of its benchmark, the Portfolio invests across many sectors of the fixed-income markets. Many performed well in 2012, helped by an economic environment characterized by slow-but-persistent growth and moderate inflation. Bonds also were helped by Federal Reserve monetary policy, which kept short-term interest rates, and rates on Treasury bonds, extraordinarily low. That sent investors looking elsewhere for attractive yields, driving up the value of many other types of bonds.
Corporate bonds performed well across the board but especially at the lower end of the credit-quality spectrum. For example, while highly rated Aaa and Aa corporate bonds earned 3.56% and 6.62%, respectively, Baa-rated corporates earned 11.33%. Very highly rated Treasury bonds, by contrast, which account for more than a third of the index, earned just 1.98%.
The Portfolio’s outperformance relative to its benchmark was attributable in part to gains on nonagency mortgage-backed securities purchased prior to the credit crisis of 2008. Prices for those securities fell precipitously that year, but continued to rebound in 2012 as the credit markets stabilized. The Portfolio also benefited from its holdings of agency-issued mortgage-backed securities that matched some of those being purchased by the Federal Reserve, whose buying helped drive up their value.
What is your outlook?
Continued slow economic growth and moderate inflation should create a favorable environment for the fixed-income markets in 2013. We expect the Federal Reserve will continue buying Treasury and mortgage-backed securities, and keep short-term interest rates low, in its bid to further stimulate the economy.
Despite these positives, we believe it will be nearly impossible for bond returns in 2013 to match those delivered in 2012, since valuations in most sectors of the market were high heading into the new year.
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Political disputes over federal tax and spending policy are likely to inject some volatility into the financial markets from time to time over the course of the year. The offsetting reward would be an agreement by policymakers on a meaningful plan to control spending and reduce the federal debt, which would no doubt cheer investors. Prospects for such reform, however, appear unlikely at best in the current political environment.
Portfolio Facts
As of December 31, 2012
Net Assets | $185,462,170 | |
NAV | $11.39 | |
NAV - High† | 6/1/2012 - $11.45 | |
NAV - Low† | 3/19/2012 - $11.12 | |
Number of Holdings: 298 | ||
† For the year ended December 31, 2012 | ||
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | 10-Year | ||
| 4.94% | 5.94% | 4.90% |
| * | The Barclays U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Thrivent Limited Maturity Bond Portfolio
Michael G. Landreville, CFA, and Gregory R. Anderson, CFA, Portfolio Co-Managers
Thrivent Limited Maturity Bond Portfolio seeks a high level of current income with stability of principal.
The Portfolio is subject to interest rate risk, credit risk related to a company’s underlying financial position and volatility risk, which may result in overall price fluctuations over short or even extended time periods. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Limited Maturity Bond Portfolio returned 4.32%, compared with the 2.78% median return for its peer group, the Lipper Short-Intermediate Investment Grade Debt category. The Portfolio’s market benchmark, the Barclays Government/Credit 1-3 Year Bond Index, returned 1.26%.
What factors affected the Portfolio’s performance?
The Portfolio invests at the shorter end of the yield curve, generally in bonds that mature in three years or less. Since the 2008 credit crisis, the Federal Reserve has sought to keep yields in this sector of the marketplace low in an effort to bolster the economy, and has extended its forecast of how long it will keep short-term interest at near-zero levels. This has limited opportunities for returns in high-quality bonds such as Treasury securities.
Meanwhile, investor concerns about the fragility of the global economy, and ongoing uncertainty over the sovereign debt problems in parts of Europe, reduced investor appetite for risk during the first half of the year. Those concerns eased in the second half after central banks in the U.S. and Europe began new rounds of bond purchases aimed at stimulating economic growth, and, in the latter’s case, maintaining the integrity of the eurozone. Those actions helped push yields on U.S. Treasury securities to historic lows. In response, investors turned to bonds with higher credit risk in a search for higher yields.
Relative to its benchmark, the Portfolio was overweighted in three segments of the market that performed well in this environment: investment-grade corporate bonds, high-yield corporate bonds and securitized asset bonds. Within the corporate-bond sector, bonds issued by companies in the financial services sector were among the Portfolio’s top performers.
Relative to its Lipper peer group, we estimate that the Portfolio benefited from favorable security selection in corporate bonds and a heavier allocation to nonagency residential mortgage-backed securities.
What is your outlook?
We anticipate that interest rates will remain fairly stable in the first half of 2013 as the U.S. economy grapples with a variety of headwinds, starting with the political debate over future federal tax and spending policy. We expect the economy to continue growing slowly nonetheless, which will allow for only marginal progress in bringing down the unemployment rate but should help to keep inflation under control. Both developments should help to keep the Fed’s bond purchase program in place, and reinforce the Fed’s commitment to keeping short-term interest rates at near-zero levels.
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Still, with bond valuations at extraordinarily high levels at the end of 2012, we believe it is unlikely that returns in 2013 will match those recorded the prior year, either for the Portfolio or fixed-income assets in general. Nonetheless, we are cautiously optimistic that market conditions will be sufficiently favorable to allow the Portfolio to generate a positive return.
Portfolio Facts
As of December 31, 2012
Net Assets | $1,200,013,668 | |
NAV | $9.92 | |
NAV - High† | 12/6/2012 - $9.93 | |
NAV - Low† | 1/3/2012 - $9.67 | |
Number of Holdings: 276 | ||
† For the year ended December 31, 2012 |
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | 10-Year | ||
| 4.32% | 3.40% | 3.38% |
| * | The Barclays Government/Credit 1-3 Year Bond Index is an index that measures the performance of government and corporate fixed-rate debt securities with maturities of 1-3 years. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Thrivent Mortgage Securities Portfolio
Gregory R. Anderson, CFA, and Scott A. Lalim, Portfolio Co-Managers
Thrivent Mortgage Securities Portfolio seeks a combination of current income and long-term capital appreciation.
The risks presented by mortgage securities include, but are not limited to, reinvestment of prepaid principal at lower rates of return. The real estate industry — and therefore, the performance of the Portfolio — is highly sensitive to economic conditions. In addition, the value of mortgage securities may fluctuate in response to changes in interest rates. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Mortgage Securities Portfolio earned a total return of 5.99%, compared with the median return for its peer group, the Lipper U.S. Mortgage category, of 3.02%. The Portfolio’s market benchmark, the Barclays Mortgage-Backed Securities Index, returned 2.59%.
What factors affected the Portfolio’s performance?
Mortgage securities benefited from three major factors in 2012: cheap valuations at the start of the year; improving fundamentals in the U.S. housing market as the year progressed; and attractive yields relative to those available in the U.S. Treasury market.
Prices for nonagency mortgage-backed securities had become depressed in the second half of 2011 as the Federal Reserve sold some of the holdings it had acquired in the bailout of insurance company AIG in 2008. That left those securities with attractive yields heading into 2012 relative to many other fixed-income assets.
Demand for mortgage-backed securities accelerated over the course of the year as the U.S. housing market showed signs of improvement, including rising home prices, an uptick in housing starts, and a decrease in delinquent mortgages. The S&P/Case-Shiller Home Price Indexes showed that home prices rose 4.3% on average in the 12-month period ending in October, outpacing analysts’ expectations. Builders started construction on new homes and apartments that month at the fastest rate in four years, according to the U.S. Commerce Department, and home foreclosures in November dropped to a 71-month low according to RealtyTrac, which monitors that activity.
The Portfolio allocated about 20% of its assets to nonagency mortgage-backed securities in 2012, which outperformed by a wide margin agency mortgage-backed securities—those issued by government-sponsored entities such as Fannie Mae, Freddie Mac and Ginnie Mae. This was the principal reason for the Portfolio’s outperformance relative to its benchmark and peer group. The benchmark holds no nonagency securities, and the peer group, we estimate, allocates only 10% or less of its assets to nonagency securities.
What is your outlook?
We remain optimistic about the prospects for mortgage securities, especially nonagency issues. However, the Federal Reserve announced in September 2012 that it would be purchasing $40 billion of agency mortgage-backed securities monthly until the unemployment rate falls to 6.5% or until the core inflation rate rises to 2.5%. With unemployment at 7.8% in December 2012 and core inflation below 2%, that buying program should provide support for agency securities throughout most if not all of 2013.
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Despite that tailwind, high valuations in place at the start of the year will likely compromise Portfolio returns in 2013. We expect returns to be positive for the year, but below those recorded in 2012. In the near term, we anticipate that securities backed by newly issued mortgages, which are targeted for purchase by the Fed, will outperform older securities that have higher refinancing risk. Accordingly, we were emphasizing those newer securities as we headed into 2013.
Portfolio Facts
As of December 31, 2012
Net Assets | $37,272,547 | |
NAV | $10.64 | |
NAV - High† | 5/17/2012 - $10.65 | |
NAV - Low† | 6/22/2012 - $10.37 | |
Number of Holdings: 56 | ||
† For the year ended December 31, 2012 |
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | From Inception 4/30/2003 | ||
| 5.99% | 5.93% | 4.88% |
| * | The Barclays Mortgage-Backed Securities Index (MBS) is formed by grouping the universe of over 600,000 individual fixed-rate U.S. government agency MBS pools into approximately 3,500 generic types of securities. It is not possible to invest directly in this Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. |
The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented.
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Thrivent Money Market Portfolio
William D. Stouten, Portfolio Manager
Thrivent Money Market Portfolio seeks to achieve the maximum current income that is consistent with stability of capital and maintenance of liquidity.
The principal risk of investing in the Portfolio is current income risk — that is, the income the Portfolio receives may fall as a result of a decline in interest rates. These and other risks are described in the Portfolio’s prospectus. Views expressed in this discussion of portfolio performance are the views of this particular Portfolio’s management team.
How did the Portfolio perform during the 12-month period ended December 31, 2012?
Thrivent Money Market Portfolio produced a 0.00% return during the period, which mirrored the 0.00% median net return reported by its peer group, the Lipper Money Market category.
What factors affected the Portfolio’s performance?
For a third consecutive year, money market funds generated negligible returns as the Federal Reserve kept the target for the federal funds rate—the rate at which banks borrow from each other overnight—in a range of 0% to 0.25%. This widely followed benchmark sets the tone for short-term interest rates across the credit markets.
With yields on short-term, high-quality securities at historic lows, it was difficult for money market funds to generate positive returns after accounting for trading and operating expenses. As it did last year, the Portfolio’s investment adviser continued to waive fees on the Portfolio to ensure that investors would not experience a negative return. The Portfolio also increased its exposure to floating-rate notes issued by government agencies, allowing it to capture some additional yield without taking on additional credit risk.
In keeping with its conservative mandate, the Portfolio continued to invest in securities offering high credit quality and liquidity. It also held a smaller percentage of foreign securities than many of its competitors.
What is your outlook?
A material improvement in money market returns is unlikely until the Federal Reserve allows its target for the federal funds rate to increase. In December 2012, the Fed announced that it will keep the rate at its current historically low levels until the unemployment rate falls to 6.5%, or until the rate of inflation exceeds 2.5%. The unemployment rate stood at 7.8% in December, while core inflation, the Fed’s preferred measure of inflation, remained well below the Fed’s target. We anticipate that the Fed will keep short-term rates low throughout 2013.
On the regulatory front, the Financial Stability Oversight Council (FSOC) late last year proposed changes for money market funds. One change would allow the net asset values of money market funds to fluctuate, reflecting the market value of their underlying securities, and another would require that the funds establish capital buffers.
An investment in the Thrivent Money Market Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. Although the Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Portfolio.
Quoted Portfolio Composition is subject to change.
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The FSOC has put its proposals out for public comment prior to making any formal recommendations to the
Securities and Exchange Commission. We believe both proposed changes would be positive developments for shareholders and would not result in any noticeable changes to the product from a shareholder’s perspective. We will closely monitor the FSOC’s progress and actively support what we believe to be in the best interest of shareholders and the money market fund industry.
Portfolio Facts
As of December 31, 2012
Net Assets | $148,262,324 | |
NAV | $1.00 | |
Number of Holdings: 86 |
Average Annual Total Returns1
As of December 31, 2012
1-Year | 5-Year | 10-Year | ||
| 0.00% | 0.67% | 1.79% |
Money Market Portfolio Yields *
As of December 31, 2012
| Portfolio | ||||
7-Day Yield | 0.00 | % | ||
7-Day Yield Gross of Waivers | -0.28 | % | ||
7-Day Effective Yield | 0.00 | % | ||
7-Day Effective Yield Gross of Waivers | -0.28 | % | ||
| * | Seven-day yields of Thrivent Money Market Portfolio refer to the income generated by an investment in the Portfolio over a specified seven-day period, though they are expressed as annual percentage rates. Effective yields reflect the reinvestment of income. A yield gross of waivers represents what the yield would have been if the Advisor were not waiving or reimbursing certain expenses associated with the Portfolio. Refer to the expense table in the Portfolio’s prospectus for details. Yields are subject to daily fluctuation and should not be considered an indication of future results. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
75
(unaudited)
As a shareholder of the Thrivent Series Fund, Inc., you incur ongoing costs, including management fees and other Portfolio expenses. This Shareholder Expense Example is intended to help you understand your ongoing costs (in dollars) of investing in a Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2012 through December 31, 2012. Shares in a Portfolio are currently sold, without sales charges, only to separate accounts of Thrivent Financial for Lutherans and Thrivent Life Insurance Company, which are used to fund benefits of variable life insurance and variable annuity contracts issued by Thrivent Financial for Lutherans and Thrivent Life Insurance Company, and retirement plans sponsored by Thrivent Financial for Lutherans. Expenses associated with these variable contracts and retirement plans are not included in these examples and had these costs been included, your costs would have been higher.
Actual Expenses
In the table below, the first section, labeled “Actual,” provides information about actual account values and actual expenses. You may use the information in this line, 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 first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid.
Hypothetical Example for Comparison Purposes
In the table below, the second section, labeled “Hypothetical,” provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
| Beginning Account Value 7/1/2012 | Ending Account Value 12/31/2012 | Expenses Paid During Period 7/1/2012 - 12/31/2012* | Annualized Expense Ratio | |||||||||||||
Thrivent Aggressive Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,066 | $ | 2.49 | 0.48 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.43 | 0.48 | % | ||||||||
Thrivent Moderately Aggressive Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,068 | $ | 2.07 | 0.40 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.03 | 0.40 | % | ||||||||
Thrivent Moderate Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,059 | $ | 2.01 | 0.39 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 1.97 | 0.39 | % | ||||||||
Thrivent Moderately Conservative Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,047 | $ | 2.17 | 0.42 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.14 | 0.42 | % | ||||||||
Thrivent Partner Technology Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,053 | $ | 5.77 | 1.12 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.68 | 1.12 | % | ||||||||
Thrivent Partner Healthcare Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,055 | $ | 6.48 | 1.25 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,019 | $ | 6.37 | 1.25 | % | ||||||||
Thrivent Natural Resources Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,056 | $ | 5.29 | 1.02 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.20 | 1.02 | % | ||||||||
76
| Beginning Account Value 7/1/2012 | Ending Account Value 12/31/2012 | Expenses Paid During Period 7/1/2012 - 12/31/2012* | Annualized Expense Ratio | |||||||||||||
Thrivent Partner Emerging Markets Equity Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,146 | $ | 7.59 | 1.41 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,018 | $ | 7.13 | 1.41 | % | ||||||||
Thrivent Real Estate Securities Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,026 | $ | 4.76 | 0.93 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.75 | 0.93 | % | ||||||||
Thrivent Partner Small Cap Growth Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,052 | $ | 5.11 | 0.99 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.03 | 0.99 | % | ||||||||
Thrivent Partner Small Cap Value Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,091 | $ | 4.62 | 0.88 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.47 | 0.88 | % | ||||||||
Thrivent Small Cap Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,072 | $ | 4.00 | 0.77 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 3.90 | 0.77 | % | ||||||||
Thrivent Small Cap Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,075 | $ | 2.40 | 0.46 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.34 | 0.46 | % | ||||||||
Thrivent Mid Cap Growth Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,054 | $ | 2.40 | 0.46 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.36 | 0.46 | % | ||||||||
Thrivent Partner Mid Cap Value Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,099 | $ | 4.42 | 0.84 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.25 | 0.84 | % | ||||||||
Thrivent Mid Cap Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,083 | $ | 3.82 | 0.73 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 3.70 | 0.73 | % | ||||||||
Thrivent Mid Cap Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,090 | $ | 2.79 | 0.53 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 2.70 | 0.53 | % | ||||||||
Thrivent Partner Worldwide Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,129 | $ | 5.06 | 0.95 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.81 | 0.95 | % | ||||||||
Thrivent Partner Socially Responsible Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,062 | $ | 5.09 | 0.98 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.99 | 0.98 | % | ||||||||
Thrivent Partner All Cap Growth Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,033 | $ | 5.12 | 1.00 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.09 | 1.00 | % | ||||||||
Thrivent Partner All Cap Value Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,085 | $ | 5.15 | 0.98 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.99 | 0.98 | % | ||||||||
Thrivent Partner All Cap Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,060 | $ | 5.41 | 1.04 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.30 | 1.04 | % | ||||||||
Thrivent Large Cap Growth Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,073 | $ | 2.33 | 0.45 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.27 | 0.45 | % | ||||||||
77
| Beginning Account Value 7/1/2012 | Ending Account Value 12/31/2012 | Expenses Paid During Period 7/1/2012 - 12/31/2012* | Annualized Expense Ratio | |||||||||||||
Thrivent Partner Growth Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,048 | $ | 4.93 | 0.96 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.86 | 0.96 | % | ||||||||
Thrivent Large Cap Value Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,103 | $ | 3.42 | 0.65 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.29 | 0.65 | % | ||||||||
Thrivent Large Cap Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,066 | $ | 3.59 | 0.69 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.51 | 0.69 | % | ||||||||
Thrivent Large Cap Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,058 | $ | 2.16 | 0.42 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.13 | 0.42 | % | ||||||||
Thrivent Equity Income Plus Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,050 | $ | 4.15 | 0.81 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.09 | 0.81 | % | ||||||||
Thrivent Balanced Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,048 | $ | 2.29 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.26 | 0.44 | % | ||||||||
Thrivent High Yield Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,078 | $ | 2.33 | 0.45 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.27 | 0.45 | % | ||||||||
Thrivent Diversified Income Plus Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,061 | $ | 2.63 | 0.51 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.58 | 0.51 | % | ||||||||
Thrivent Income Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,052 | $ | 2.28 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.24 | 0.44 | % | ||||||||
Thrivent Bond Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,021 | $ | 2.33 | 0.46 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.33 | 0.46 | % | ||||||||
Thrivent Limited Maturity Bond Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,020 | $ | 2.22 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.22 | 0.44 | % | ||||||||
Thrivent Mortgage Securities Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,032 | $ | 4.03 | 0.79 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.01 | 0.79 | % | ||||||||
Thrivent Money Market Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,000 | $ | 1.30 | 0.26 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024 | $ | 1.32 | 0.26 | % | ||||||||
| * | Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 to reflect the one-half year period. |
| ** | Assuming 5% annualized total return before expenses. |
78
| Report of Independent Registered Public Accounting Firm |
To the Board of Directors and Shareholders
of the Thrivent Series Funds:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of each of the thirty-six funds constituting the Thrivent Series Fund, Inc. (hereafter referred to as the “Funds”) at December 31, 2012, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and their financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
February 20, 2013
PricewaterhouseCoopers LLP, Suite 1400, 225 South Sixth Street, Minneapolis, MN 55402
T: (612) 596 6000, F: (612) 373 7160, www.pwc.com/us
The accompanying Notes to Financial Statements are an integral part of this schedule.
79
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Mutual Funds (52.6%) | Value | ||||||
| Equity Mutual Funds (50.1%) | |||||||
| 11,254,889 | Thrivent Partner Worldwide Allocation Portfolio | $ | 97,000,260 | |||||
| 3,498,692 | Thrivent Partner Small Cap Growth Portfolioa | 48,539,108 | ||||||
| 672,963 | Thrivent Partner Small Cap Value Portfolio | 14,249,724 | ||||||
| 1,708,411 | Thrivent Small Cap Stock Portfolioa | 22,415,543 | ||||||
| 1,575,131 | Thrivent Partner Mid Cap Value Portfolio | 23,104,644 | ||||||
| 2,502,383 | Thrivent Mid Cap Stock Portfolio | 32,744,181 | ||||||
| 2,732,516 | Thrivent Large Cap Value Portfolio | 32,787,456 | ||||||
| 3,091,854 | Thrivent Large Cap Stock Portfolio | 28,504,425 | ||||||
| 539,342 | Thrivent Equity Income Plus Portfolio | 5,294,883 | ||||||
|
| |||||||
| Total | 304,640,224 | |||||||
|
| |||||||
| Fixed Income Mutual Funds (2.5%) | |||||||
| 1,783,880 | Thrivent High Yield Portfolio | 9,008,058 | ||||||
| 561,795 | Thrivent Income Portfolio | 6,052,390 | ||||||
|
| |||||||
| Total | 15,060,448 | |||||||
|
| |||||||
Total Mutual Funds (cost $344,363,926) | 319,700,672 | |||||||
|
| |||||||
Common Stock (40.5%) | ||||||||
| Consumer Discretionary (6.3%) | |||||||
| 10,242 | Abercrombie & Fitch Company | 491,309 | ||||||
| 7,956 | Amazon.com, Inc.a,b | 1,998,070 | ||||||
| 6,100 | Ann, Inc.a | 206,424 | ||||||
| 3,054 | Arctic Cat, Inc.a | 101,973 | ||||||
| 4,150 | AutoZone, Inc.a | 1,470,885 | ||||||
| 3,200 | Bally Technologies, Inc.a | 143,072 | ||||||
| 4,700 | Bed Bath & Beyond, Inc.a | 262,777 | ||||||
| 5,950 | CBS Corporation | 226,398 | ||||||
| 5,300 | Charter Communications, Inc.a | 404,072 | ||||||
| 23,300 | Cheesecake Factory, Inc. | 762,376 | ||||||
| 12,300 | Chico’s FAS, Inc. | 227,058 | ||||||
| 18,700 | Children’s Place Retail Stores, Inc.a | 828,223 | ||||||
| 4,700 | Coinstar, Inc.a | 244,447 | ||||||
| 84,898 | Comcast Corporationb | 3,173,487 | ||||||
| 7,350 | Darden Restaurants, Inc. | 331,265 | ||||||
| 15,189 | Delphi Automotive plca | 580,979 | ||||||
| 2,400 | Dillard’s, Inc. | 201,048 | ||||||
| 19,049 | Discovery Communications, Inc.a | 1,209,231 | ||||||
| 7,500 | DISH Network Corporation | 273,000 | ||||||
| 31,620 | Dollar Tree, Inc.a | 1,282,507 | ||||||
| 7,100 | Expedia, Inc. | 436,295 | ||||||
| 4,800 | Express, Inc.a | 72,432 | ||||||
| 34,165 | Foot Locker, Inc. | 1,097,380 | ||||||
| 13,600 | Gap, Inc. | 422,144 | ||||||
| 53,340 | GNC Holdings, Inc. | 1,775,155 | ||||||
| 3,700 | Hanesbrands, Inc.a | 132,534 | ||||||
| 2,880 | Harley-Davidson, Inc. | 140,659 | ||||||
| 23,800 | Home Depot, Inc.b | 1,472,030 | ||||||
| 1,300 | HSN, Inc. | 71,604 | ||||||
| 3,590 | iShares Dow Jones US Home Construction Index Fund | 75,964 | ||||||
| 49,260 | Las Vegas Sands Corporation | 2,273,842 | ||||||
| 18,888 | Life Time Fitness, Inc.a | 929,478 | ||||||
| 15,819 | Limited Brands, Inc. | 744,442 | ||||||
| 26,020 | Lowe’s Companies, Inc. | 924,230 | ||||||
| 8,100 | Macy’s, Inc. | 316,062 | ||||||
| 8,800 | Marriott International, Inc. | 327,976 | ||||||
| 1,700 | Marriott Vacations Worldwide Corporationa | 70,839 | ||||||
| 24,600 | Meredith Corporation | 847,470 | ||||||
| 21,010 | News Corporation | 551,302 | ||||||
| 42,200 | NIKE, Inc. | 2,177,520 | ||||||
| 6,600 | Omnicom Group, Inc. | 329,736 | ||||||
| 6,268 | O’Reilly Automotive, Inc.a | 560,485 | ||||||
| 1,082 | Panera Bread Companya | 171,854 | ||||||
| 4,800 | Penn National Gaming, Inc.a | 235,728 | ||||||
| 13,792 | PetSmart, Inc. | 942,545 | ||||||
| 57,768 | Pier 1 Imports, Inc. | 1,155,360 | ||||||
| 1,600 | Pool Corporation | 67,712 | ||||||
| 300 | Priceline.com, Inc.a | 186,360 | ||||||
| 12,300 | Pulte Group, Inc.a | 223,368 | ||||||
| 40,700 | Sally Beauty Holdings, Inc.a | 959,299 | ||||||
| 11,400 | Smith & Wesson Holding Corporationa | 96,216 | ||||||
| 7,600 | Tempur-Pedic International, Inc.a | 239,324 | ||||||
| 6,000 | Time Warner Cable, Inc. | 583,140 | ||||||
| 5,900 | TJX Companies, Inc. | 250,455 | ||||||
| 25,800 | Toll Brothers, Inc.a | 834,114 | ||||||
| 9,573 | Tractor Supply Company | 845,870 | ||||||
| 2,600 | Valassis Communications, Inc. | 67,028 | ||||||
| 2,326 | VF Corporation | 351,156 | ||||||
| 4,436 | WMS Industries, Inc.a | 77,630 | ||||||
| 4,900 | Wynn Resorts, Ltd. | 551,201 | ||||||
|
| |||||||
| Total | 38,006,540 | |||||||
|
| |||||||
| Consumer Staples (2.4%) | |||||||
| 17,030 | Anheuser-Busch InBev NV ADR | 1,488,592 | ||||||
| 18,783 | Annie’s, Inc.a | 627,916 | ||||||
| 15,100 | Archer-Daniels-Midland Company | 413,589 | ||||||
| 13,217 | British American Tobacco plc ADR | 1,338,221 | ||||||
| 6,900 | Bunge, Ltd. | 501,561 | ||||||
| 8,200 | Campbell Soup Company | 286,098 | ||||||
| 6,739 | Clorox Company | 493,430 | ||||||
| 4,700 | Colgate-Palmolive Company | 491,338 | ||||||
| 10,900 | Constellation Brands, Inc.a | 385,751 | ||||||
| 25,660 | CVS Caremark Corporation | 1,240,661 | ||||||
| 2,480 | Diageo plc ADR | 289,118 | ||||||
| 2,800 | Energizer Holdings, Inc. | 223,944 | ||||||
| 8,700 | Herbalife, Ltd. | 286,578 | ||||||
| 30,383 | Ingredion, Inc. | 1,957,577 | ||||||
| 3,790 | Kimberly-Clark Corporation | 319,990 | ||||||
| 5,553 | Kraft Foods Group, Inc. | 252,495 | ||||||
| 16,660 | Mondelez International, Inc. | 424,330 | ||||||
| 22,300 | Nestle SA | 1,454,929 | ||||||
| 5,300 | Nu Skin Enterprises, Inc. | 196,365 | ||||||
| 4,261 | Philip Morris International, Inc. | 356,390 | ||||||
| 4,600 | Safeway, Inc. | 83,214 | ||||||
| 1,500 | Spectrum Brands Holdings, Inc.a | 67,395 | ||||||
| 4,626 | TreeHouse Foods, Inc.a | 241,153 | ||||||
| 8,630 | Unilever NV ADR | 330,529 | ||||||
| 1,600 | USANA Health Sciences, Inc.a | 52,688 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
80
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (40.5%) | Value | ||||||
| Consumer Staples (2.4%) - continued | |||||||
| 7,757 | Whole Foods Market, Inc. | $ | 708,447 | |||||
|
| |||||||
| Total | 14,512,299 | |||||||
|
| |||||||
| Energy (4.9%) | |||||||
| 123,391 | Alpha Natural Resources, Inc.a | 1,201,828 | ||||||
| 2,700 | Apache Corporation | 211,950 | ||||||
| 7,600 | Baker Hughes, Inc. | 310,384 | ||||||
| 29,304 | BP plc ADR | 1,220,219 | ||||||
| 15,400 | Cameron International Corporationa | 869,484 | ||||||
| 11,770 | Chevron Corporation | 1,272,808 | ||||||
| 11,498 | Concho Resources, Inc.a | 926,279 | ||||||
| 41,400 | Consol Energy, Inc. | 1,328,940 | ||||||
| 1,500 | CVR Energy, Inc.a | 73,185 | ||||||
| 2,600 | Delek US Holdings, Inc. | 65,832 | ||||||
| 6,900 | Dril-Quip, Inc.a | 504,045 | ||||||
| 13,900 | Ensco plc | 823,992 | ||||||
| 13,073 | EOG Resources, Inc. | 1,579,088 | ||||||
| 8,830 | EQT Corporation | 520,793 | ||||||
| 16,800 | Exxon Mobil Corporation | 1,454,040 | ||||||
| 32,833 | Helix Energy Solutions Group, Inc.a | 677,673 | ||||||
| 7,400 | Helmerich & Payne, Inc. | 414,474 | ||||||
| 9,800 | HollyFrontier Corporation | 456,190 | ||||||
| 99,478 | Marathon Oil Corporation | 3,049,996 | ||||||
| 7,800 | Marathon Petroleum Corporation | 491,400 | ||||||
| 5,700 | National Oilwell Varco, Inc. | 389,595 | ||||||
| 31,100 | Oasis Petroleum, Inc.a | 988,980 | ||||||
| 4,800 | Occidental Petroleum Corporation | 367,728 | ||||||
| 14,198 | Oil States International, Inc.a | 1,015,725 | ||||||
| 15,300 | Patterson-UTI Energy, Inc. | 285,039 | ||||||
| 31,879 | Peabody Energy Corporation | 848,300 | ||||||
| 16,800 | Petroleo Brasileiro SA ADR | 327,096 | ||||||
| 69,575 | Petroleum Geo-Services ASA | 1,211,815 | ||||||
| 1,300 | Phillips 66 | 69,030 | ||||||
| 7,700 | Range Resources Corporation | 483,791 | ||||||
| 22,070 | Schlumberger, Ltd. | 1,529,230 | ||||||
| 12,300 | SM Energy Company | 642,183 | ||||||
| 20,300 | Southwestern Energy Companya | 678,223 | ||||||
| 13,800 | Ultra Petroleum Corporationa | 250,194 | ||||||
| 19,700 | Valero Energy Corporation | 672,164 | ||||||
| 231,018 | Weatherford International, Ltd.a | 2,585,091 | ||||||
| 7,800 | Western Refining, Inc. | 219,882 | ||||||
|
| |||||||
| Total | 30,016,666 | |||||||
|
| |||||||
| Financials (6.0%) | |||||||
| 6,240 | ACE, Ltd. | 497,952 | ||||||
| 17,202 | Affiliated Managers Group, Inc.a | 2,238,840 | ||||||
| 3,600 | Allied World Assurance Company Holdings AG | 283,680 | ||||||
| 7,560 | Allstate Corporation | 303,685 | ||||||
| 9,500 | American Assets Trust, Inc. | 265,335 | ||||||
| 6,000 | American Campus Communities, Inc. | 276,780 | ||||||
| 26,900 | Ameriprise Financial, Inc. | 1,684,747 | ||||||
| 29,300 | Annaly Capital Management, Inc. | 411,372 | ||||||
| 7,000 | Aspen Insurance Holdings, Ltd. | 224,560 | ||||||
| 5,900 | Axis Capital Holdings, Ltd. | 204,376 | ||||||
| 81,710 | Bank of America Corporation | 947,836 | ||||||
| 2,300 | Banner Corporation | 70,679 | ||||||
| 13,900 | BioMed Realty Trust, Inc. | 268,687 | ||||||
| 4,405 | Boston Properties, Inc. | 466,093 | ||||||
| 4,240 | Capital One Financial Corporation | 245,623 | ||||||
| 11,300 | CapitalSource, Inc. | 85,654 | ||||||
| 14,800 | CBL & Associates Properties, Inc. | 313,908 | ||||||
| 50,601 | Citigroup, Inc. | 2,001,776 | ||||||
| 24,125 | CME Group, Inc. | 1,223,379 | ||||||
| 8,500 | Comerica, Inc. | 257,890 | ||||||
| 39,900 | DCT Industrial Trust, Inc. | 258,951 | ||||||
| 15,782 | Discover Financial Services | 608,396 | ||||||
| 11,300 | Douglas Emmett, Inc. | 263,290 | ||||||
| 3,100 | Endurance Specialty Holdings, Ltd. | 123,039 | ||||||
| 3,800 | Equity Lifestyle Properties, Inc. | 255,702 | ||||||
| 7,689 | Equity Residential | 435,736 | ||||||
| 7,800 | Extra Space Storage, Inc. | 283,842 | ||||||
| 31,300 | Fifth Third Bancorp | 475,447 | ||||||
| 21,627 | HCC Insurance Holdings, Inc. | 804,741 | ||||||
| 8,000 | Highwoods Properties, Inc. | 267,600 | ||||||
| 21,348 | Host Hotels & Resorts, Inc. | 334,523 | ||||||
| 108,400 | Huntington Bancshares, Inc. | 692,676 | ||||||
| 19,240 | Invesco, Ltd. | 501,972 | ||||||
| 27,523 | J.P. Morgan Chase & Company | 1,210,186 | ||||||
| 23,929 | Kimco Realty Corporation | 462,308 | ||||||
| 26,050 | KKR & Company, LP | 396,741 | ||||||
| 7,731 | Lazard, Ltd. | 230,693 | ||||||
| 2,700 | M&T Bank Corporation | 265,869 | ||||||
| 23,990 | MetLife, Inc. | 790,231 | ||||||
| 3,100 | Montpelier Re Holdings, Inc. | 70,866 | ||||||
| 11,200 | NASDAQ OMX Group, Inc. | 280,112 | ||||||
| 6,100 | Northern Trust Corporation | 305,976 | ||||||
| 19,800 | Och-Ziff Capital Management Group, LLC | 188,100 | ||||||
| 12,300 | Ocwen Financial Corporationa | 425,457 | ||||||
| 11,100 | Pebblebrook Hotel Trust | 256,410 | ||||||
| 13,000 | Piedmont Office Realty Trust, Inc. | 234,650 | ||||||
| 62,551 | Popular, Inc.a | 1,300,435 | ||||||
| 4,500 | PrivateBancorp, Inc. | 68,940 | ||||||
| 4,800 | ProAssurance Corporation | 202,512 | ||||||
| 3,500 | Protective Life Corporation | 100,030 | ||||||
| 3,253 | Public Storage, Inc. | 471,555 | ||||||
| 3,310 | Simon Property Group, Inc. | 523,278 | ||||||
| 9,200 | SLM Corporation | 157,596 | ||||||
| 21,200 | SPDR S&P 500 ETF Trust | 3,021,424 | ||||||
| 25,500 | State Street Corporation | 1,198,755 | ||||||
| 24,350 | SVB Financial Groupa | 1,362,869 | ||||||
| 5,800 | T. Rowe Price Group, Inc. | 377,754 | ||||||
| 3,325 | Taubman Centers, Inc. | 261,744 | ||||||
| 10,900 | Tower Group, Inc. | 193,693 | ||||||
| 5,347 | Vornado Realty Trust | 428,188 | ||||||
| 7,186 | W.R. Berkley Corporation | 271,200 | ||||||
| 55,342 | Wells Fargo & Companyb | 1,891,590 | ||||||
| 81,915 | Zions Bancorporation | 1,752,981 | ||||||
|
| |||||||
| Total | 36,280,910 | |||||||
|
| |||||||
| Health Care (4.8%) | |||||||
| 1,600 | Aetna, Inc. | 74,080 | ||||||
| 2,107 | Alexion Pharmaceuticals, Inc.a | 197,658 | ||||||
| 24,200 | Align Technology, Inc.a | 671,550 | ||||||
| 18,080 | AmerisourceBergen Corporation | 780,694 | ||||||
| 6,100 | Amgen, Inc. | 526,552 | ||||||
| 6,320 | Baxter International, Inc. | 421,291 | ||||||
| 16,500 | Biogen Idec, Inc.a,b | 2,420,055 | ||||||
| 10,900 | BioMarin Pharmaceutical, Inc.a | 536,825 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
81
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (40.5%) | Value | ||||||
| Health Care (4.8%) - continued | ||||||||
| 2,358 | C.R. Bard, Inc. | $ | 230,471 | |||||
| 13,936 | Catamaran Corporationa | 656,525 | ||||||
| 6,000 | Celgene Corporationa | 472,320 | ||||||
| 2,300 | Charles River Laboratories International, Inc.a | 86,181 | ||||||
| 7,430 | CIGNA Corporation | 397,208 | ||||||
| 7,200 | Community Health Systems, Inc. | 221,328 | ||||||
| 32,170 | Covidien plc | 1,857,496 | ||||||
| 29,300 | Endo Pharmaceutical Holdings, Inc.a | 769,711 | ||||||
| 30,300 | Express Scripts Holding Companya | 1,636,200 | ||||||
| 7,000 | Gilead Sciences, Inc.a | 514,150 | ||||||
| 9,626 | HeartWare International, Inc.a | 808,103 | ||||||
| 4,800 | Illumina, Inc.a | 266,832 | ||||||
| 1,600 | Jazz Pharmaceuticals, Inc.a | 85,120 | ||||||
| 1,700 | Life Technologies Corporationa | 83,436 | ||||||
| 4,300 | MedAssets, Inc.a | 72,111 | ||||||
| 7,600 | Medicines Companya | 182,172 | ||||||
| 27,450 | Merck & Company, Inc. | 1,123,803 | ||||||
| 3,554 | Mettler-Toledo International, Inc.a | 686,988 | ||||||
| 5,183 | Onyx Pharmaceuticals, Inc.a | 391,472 | ||||||
| 2,400 | PAREXEL International Corporationa | 71,016 | ||||||
| 6,100 | Perrigo Company | 634,583 | ||||||
| 41,344 | Pfizer, Inc.b | 1,036,907 | ||||||
| 2,248 | Pharmacyclics, Inc.a | 130,159 | ||||||
| 16,400 | Questcor Pharmaceuticals, Inc. | 438,208 | ||||||
| 12,700 | ResMed, Inc. | 527,939 | ||||||
| 14,780 | Sanofi ADR | 700,276 | ||||||
| 7,100 | Santarus, Inc.a | 77,958 | ||||||
| 17,100 | Shire Pharmaceuticals Group plc ADR | 1,576,278 | ||||||
| 6,300 | Spectrum Pharmaceuticals, Inc. | 70,497 | ||||||
| 27,300 | Thoratec Corporationa | 1,024,296 | ||||||
| 20,940 | United Therapeutics Corporationa | 1,118,615 | ||||||
| 55,715 | UnitedHealth Group, Inc.b | 3,021,982 | ||||||
| 13,200 | Vertex Pharmaceuticals, Inc.a | 553,608 | ||||||
| 53,900 | VIVUS, Inc.a | 723,338 | ||||||
| 2,200 | Waters Corporationa | 191,664 | ||||||
| 12,979 | Watson Pharmaceuticals, Inc.a | 1,116,194 | ||||||
| 4,620 | Zimmer Holdings, Inc. | 307,969 | ||||||
|
| |||||||
| Total | 29,491,819 | |||||||
|
| |||||||
| Industrials (4.9%) | ||||||||
| 33,700 | Actuant Corporation | 940,567 | ||||||
| 16,950 | ADT Corporation | 788,005 | ||||||
| 22,240 | AMETEK, Inc. | 835,557 | ||||||
| 9,496 | BE Aerospace, Inc.a | 469,102 | ||||||
| 9,155 | CSX Corporation | 180,628 | ||||||
| 2,300 | Deluxe Corporation | 74,152 | ||||||
| 33,424 | EMCOR Group, Inc. | 1,156,805 | ||||||
| 2,000 | EnerSysa | 75,260 | ||||||
| 14,800 | Expeditors International of Washington, Inc. | 585,340 | ||||||
| 3,150 | FedEx Corporation | 288,918 | ||||||
| 7,227 | Flowserve Corporation | 1,060,924 | ||||||
| 8,000 | Fortune Brands Home and Security, Inc.a | 233,760 | ||||||
| 22,900 | GATX Corporation | 991,570 | ||||||
| 10,310 | General Electric Company | 216,407 | ||||||
| 33,800 | HNI Corporation | 1,016,028 | ||||||
| 36,445 | Honeywell International, Inc. | 2,313,164 | ||||||
| 1,800 | Huntington Ingalls Industries, Inc. | 78,012 | ||||||
| 6,000 | Ingersoll-Rand plc | 287,760 | ||||||
| 56,300 | Jacobs Engineering Group, Inc.a | 2,396,691 | ||||||
| 15,780 | JB Hunt Transport Services, Inc. | 942,224 | ||||||
| 10,918 | Kansas City Southern | 911,435 | ||||||
| 3,100 | L-3 Communications Holdings, Inc. | 237,522 | ||||||
| 18,300 | Landstar System, Inc. | 960,018 | ||||||
| 2,400 | Lockheed Martin Corporation | 221,496 | ||||||
| 81,020 | Manitowoc Company, Inc. | 1,270,394 | ||||||
| 27,300 | Manpower, Inc. | 1,158,612 | ||||||
| 19,000 | McDermott International, Inc.a | 209,380 | ||||||
| 12,125 | Oshkosh Corporationa | 359,506 | ||||||
| 26,342 | Parker Hannifin Corporationb | 2,240,651 | ||||||
| 20,855 | Pentair, Ltd. | 1,025,023 | ||||||
| 6,300 | Pitney Bowes, Inc. | 67,032 | ||||||
| 700 | Portfolio Recovery Associates, Inc.a | 74,802 | ||||||
| 22,000 | Quanta Services, Inc.a | 600,380 | ||||||
| 6,832 | Roper Industries, Inc. | 761,631 | ||||||
| 22,100 | Southwest Airlines Company | 226,304 | ||||||
| 3,040 | SPX Corporation | 213,256 | ||||||
| 7,481 | Stericycle, Inc.a | 697,753 | ||||||
| 8,100 | Swift Transportation Companya | 73,872 | ||||||
| 1,700 | Trex Company, Inc.a | 63,291 | ||||||
| 24,100 | Tyco International, Ltd. | 704,925 | ||||||
| 12,428 | United Technologies Corporation | 1,019,220 | ||||||
| 28,000 | US Airways Group, Inc.a | 378,000 | ||||||
| 29,000 | Woodward, Inc. | 1,105,770 | ||||||
|
| |||||||
| Total | 29,511,147 | |||||||
|
| |||||||
| Information Technology (8.5%) | ||||||||
| 32,200 | Activision Blizzard, Inc. | 341,964 | ||||||
| 17,857 | Agilent Technologies, Inc. | 731,066 | ||||||
| 18,955 | Akamai Technologies, Inc.a | 775,449 | ||||||
| 5,200 | Alliance Data Systems Corporationa | 752,752 | ||||||
| 13,135 | ANSYS, Inc.a | 884,511 | ||||||
| 13,200 | AOL, Inc.a | 390,852 | ||||||
| 13,302 | Apple, Inc.b | 7,090,365 | ||||||
| 24,384 | Applied Materials, Inc. | 278,953 | ||||||
| 37,800 | Aruba Networks, Inc.a | 784,350 | ||||||
| 190,373 | Atmel Corporationa | 1,246,943 | ||||||
| 15,057 | Autodesk, Inc.a | 532,265 | ||||||
| 6,600 | BMC Software, Inc.a | 261,756 | ||||||
| 25,201 | Broadcom Corporationa | 836,925 | ||||||
| 30,900 | Brocade Communications Systems, Inc.a | 164,697 | ||||||
| 1,500 | CACI International, Inc.a | 82,545 | ||||||
| 26,100 | Cavium, Inc.a | 814,581 | ||||||
| 19,200 | Ciena Corporationa | 301,440 | ||||||
| 15,900 | Cisco Systems, Inc. | 312,435 | ||||||
| 31,000 | Citrix Systems, Inc.a | 2,038,250 | ||||||
| 6,300 | Computer Sciences Corporation | 252,315 | ||||||
| 21,538 | CoreLogic, Inc.a | 579,803 | ||||||
| 39,816 | eBay, Inc.a | 2,031,412 | ||||||
| 4,300 | Ebix, Inc. | 69,101 | ||||||
| 42,500 | ExactTarget, Inc.a | 850,000 | ||||||
| 12,092 | F5 Networks, Inc.a | 1,174,738 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
82
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (40.5%) | Value | ||||||
| Information Technology (8.5%) - continued | |||||||
| 1,600 | Fair Isaac Corporation | $ | 67,248 | |||||
| 5,073 | Google, Inc.a,b | 3,598,634 | ||||||
| 28,300 | Informatica Corporationa | 858,056 | ||||||
| 1,500 | InterDigital, Inc. | 61,650 | ||||||
| 6,598 | Itron, Inc.a | 293,941 | ||||||
| 2,200 | j2 Global, Inc. | 67,276 | ||||||
| 12,410 | Juniper Networks, Inc.a | 244,105 | ||||||
| 7,941 | Lam Research Corporationa | 286,908 | ||||||
| 1,200 | Manhattan Associates, Inc.a | 72,408 | ||||||
| 4,653 | Mercadolibre, Inc. | 365,586 | ||||||
| 55,754 | Microsoft Corporationb | 1,490,304 | ||||||
| 61,902 | NetApp, Inc.a | 2,076,812 | ||||||
| 2,700 | NetScout Systems, Inc.a | 70,173 | ||||||
| 4,975 | Nice Systems, Ltd. ADRa | 166,563 | ||||||
| 36,293 | Nuance Communications, Inc.a | 810,060 | ||||||
| 93,368 | NVIDIA Corporation | 1,147,493 | ||||||
| 29,300 | NXP Semiconductors NVa | 772,641 | ||||||
| 103,033 | Oracle Corporationb | 3,433,060 | ||||||
| 24,066 | Plantronics, Inc. | 887,313 | ||||||
| 27,420 | QUALCOMM, Inc.b | 1,700,588 | ||||||
| 5,230 | Red Hat, Inc.a | 276,981 | ||||||
| 12,700 | Symantec Corporationa | 238,887 | ||||||
| 13,300 | Synopsys, Inc.a | 423,472 | ||||||
| 5,096 | Teradata Corporationa | 315,391 | ||||||
| 93,338 | Teradyne, Inc.a | 1,576,479 | ||||||
| 61,810 | Texas Instruments, Inc.b | 1,912,401 | ||||||
| 20,640 | TriQuint Semiconductor, Inc.a | 99,898 | ||||||
| 3,600 | ValueClick, Inc.a | 69,876 | ||||||
| 44,973 | VeriFone Systems, Inc.a | 1,334,799 | ||||||
| 89,400 | Vishay Intertechnology, Inc.a | 950,322 | ||||||
| 12,100 | Western Digital Corporation | 514,129 | ||||||
| 131 | Workday, Inc.a | 7,139 | ||||||
| 36,422 | Xilinx, Inc. | 1,307,550 | ||||||
| 36,400 | Yahoo!, Inc.a | 724,360 | ||||||
|
| |||||||
| Total | 51,801,971 | |||||||
|
| |||||||
| Materials (1.6%) | |||||||
| 2,400 | Agrium, Inc. | 239,784 | ||||||
| 5,300 | Airgas, Inc. | 483,837 | ||||||
| 3,900 | Albemarle Corporation | 242,268 | ||||||
| 5,500 | BHP Billiton, Ltd. ADR | 431,420 | ||||||
| 16,100 | Buckeye Technologies, Inc. | 462,231 | ||||||
| 6,718 | Celanese Corporation | 299,152 | ||||||
| 1,600 | CF Industries Holdings, Inc. | 325,056 | ||||||
| 7,000 | Cliffs Natural Resources, Inc. | 269,920 | ||||||
| 9,690 | Dow Chemical Company | 313,181 | ||||||
| 10,800 | Eagle Materials, Inc. | 631,800 | ||||||
| 6,832 | FMC Corporation | 399,809 | ||||||
| 51,621 | Freeport-McMoRan Copper & Gold, Inc.b | 1,765,438 | ||||||
| 16,700 | H.B. Fuller Company | 581,494 | ||||||
| 16,900 | Huntsman Corporation | 268,710 | ||||||
| 6,300 | Mosaic Company | 356,769 | ||||||
| 8,124 | Newmont Mining Corporation | 377,279 | ||||||
| 7,210 | Nucor Corporation | 311,328 | ||||||
| 7,500 | Rio Tinto plc ADR | 435,675 | ||||||
| 5,854 | Silgan Holdings, Inc. | 243,468 | ||||||
| 8,653 | Silver Wheaton Corporation | 312,200 | ||||||
| 20,670 | Steel Dynamics, Inc. | 283,799 | ||||||
| 31,100 | SunCoke Energy, Inc.a | 484,849 | ||||||
| 6,400 | Walter Energy, Inc. | 229,632 | ||||||
|
| |||||||
| Total | 9,749,099 | |||||||
|
| |||||||
| Telecommunications Services (0.4%) | |||||||
| 39,600 | MetroPCS Communications, Inc.a | 393,624 | ||||||
| 8,676 | SBA Communications Corporationa | 616,170 | ||||||
| 30,075 | TW Telecom, Inc.a | 766,010 | ||||||
| 11,898 | Verizon Communications, Inc. | 514,826 | ||||||
|
| |||||||
| Total | 2,290,630 | |||||||
|
| |||||||
| Utilities (0.7%) | |||||||
| 15,000 | Calpine Corporationa | 271,950 | ||||||
| 11,400 | CMS Energy Corporation | 277,932 | ||||||
| 22,600 | NiSource, Inc. | 562,514 | ||||||
| 18,788 | NV Energy, Inc. | 340,815 | ||||||
| 21,040 | PG&E Corporation | 845,387 | ||||||
| 40,900 | PNM Resources, Inc. | 838,859 | ||||||
| 7,700 | Public Service Enterprise Group, Inc. | 235,620 | ||||||
| 19,478 | Southwest Gas Corporation | 826,062 | ||||||
| 6,300 | Wisconsin Energy Corporation | 232,155 | ||||||
|
| |||||||
| Total | 4,431,294 | |||||||
|
| |||||||
Total Common Stock (cost $226,120,980) | 246,092,375 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (2.1%) | |||||||
| Asset-Backed Securities (0.1%) | |||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 650,000 | 6.011%, 5/25/2036 | 394,465 | ||||||
|
| |||||||
| Total | 394,465 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (0.1%) | |||||||
| MASTR Alternative Loans Trust | ||||||||
| 48,738 | 0.660%, 12/25/2035c | 25,833 | ||||||
| Residential Asset Securitization Trust | ||||||||
| 58,277 | 0.590%, 8/25/2037c | 18,626 | ||||||
| Sequoia Mortgage Trust | ||||||||
| 87,960 | 4.923%, 9/20/2046 | 14,416 | ||||||
| 219,139 | 4.923%, 9/20/2046 | 180,539 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 85,487 | 2.697%, 9/25/2036 | 68,906 | ||||||
| 131,822 | 2.773%, 10/25/2036 | 104,759 | ||||||
|
| |||||||
| Total | 413,079 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (0.1%) | |||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 250,000 | 5.509%, 9/15/2039 | 270,336 | ||||||
| Government National Mortgage Association | ||||||||
| 160,080 | 2.164%, 3/16/2033 | 162,664 | ||||||
| 132,652 | 3.214%, 1/16/2040 | 139,205 | ||||||
|
| |||||||
| Total | 572,205 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
83
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (2.1%) | Value | ||||||
| Financials (0.1%) | |||||||
| Achmea Hypotheekbank NV | ||||||||
| $205,000 | 3.200%, 11/3/2014d | $ | 214,900 | |||||
| Bank of Nova Scotia | ||||||||
| 225,000 | 1.450%, 7/26/2013d | 226,395 | ||||||
| Canadian Imperial Bank of Commerce | ||||||||
| 205,000 | 2.600%, 7/2/2015d | 215,414 | ||||||
| Dexia Credit Local SA | ||||||||
| 225,000 | 2.750%, 4/29/2014d | 228,174 | ||||||
|
| |||||||
| Total | 884,883 | |||||||
|
| |||||||
| Mortgage-Backed Securities (0.5%) | |||||||
| Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 250,000 | 2.500%, 1/1/2028e | 260,899 | ||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 325,000 | 3.000%, 1/1/2043e | 339,777 | ||||||
| Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 488,000 | 2.500%, 1/1/2028e | 510,265 | ||||||
| Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 250,000 | 3.500%, 1/1/2043e | 266,533 | ||||||
| 1,230,000 | 4.000%, 1/1/2043e | 1,318,406 | ||||||
| 589,000 | 5.000%, 1/1/2043e | 637,961 | ||||||
|
| |||||||
| Total | 3,333,841 | |||||||
|
| |||||||
| U.S. Government and Agencies (1.2%) | |||||||
| FDIC Structured Sale Guaranteed Notes | ||||||||
| 85,000 | Zero Coupon, 1/7/2014d | 84,578 | ||||||
| Federal National Mortgage Association | ||||||||
| 860,000 | 1.375%, 11/15/2016 | 885,963 | ||||||
| 665,000 | 0.875%, 12/20/2017 | 666,299 | ||||||
| Tennessee Valley Authority | ||||||||
| 165,000 | 5.250%, 9/15/2039 | 217,093 | ||||||
| U.S. Treasury Bonds | ||||||||
| 550,000 | 4.375%, 5/15/2040 | 715,945 | ||||||
| 3,890,000 | 3.000%, 5/15/2042 | 3,962,938 | ||||||
| U.S. Treasury Notes | ||||||||
| 800,000 | 1.625%, 8/15/2022 | 794,750 | ||||||
|
| |||||||
| Total | 7,327,566 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $12,877,858) | 12,926,039 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (5.3%) | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 2,500,000 | 0.100%, 1/23/2013b,f | 2,499,847 | ||||||
| 200,000 | 0.138%, 6/7/2013b,f | 199,880 | ||||||
| 29,687,438 | Thrivent Cash Management Trust | 29,687,438 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 32,387,165 | |||||||
|
| |||||||
Total Investments (cost $615,749,929) 100.5% | $ | 611,106,251 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (0.5%) | (2,917,778 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 608,188,473 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | At December 31, 2012, $21,674,118 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| c | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2012. |
| d | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2012, the value of these investments was $969,461 or 0.2% of total net assets. |
| e | Denotes investments purchased on a when-issued or delayed delivery basis. |
| f | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
ETF | - | Exchange Traded Fund. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 40,278,679 | ||
Gross unrealized depreciation | (46,056,218 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (5,777,539 | ) | |
Cost for federal income tax purposes | $ | 616,883,790 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
84
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Aggressive Allocation Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Mutual Funds | ||||||||||||||||
Equity Mutual Funds | 304,640,224 | 304,640,224 | — | — | ||||||||||||
Fixed Income Mutual Funds | 15,060,448 | 15,060,448 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 38,006,540 | 38,006,540 | — | — | ||||||||||||
Consumer Staples | 14,512,299 | 13,057,370 | 1,454,929 | — | ||||||||||||
Energy | 30,016,666 | 28,804,851 | 1,211,815 | — | ||||||||||||
Financials | 36,280,910 | 36,280,910 | — | — | ||||||||||||
Health Care | 29,491,819 | 29,491,819 | — | — | ||||||||||||
Industrials | 29,511,147 | 29,511,147 | — | — | ||||||||||||
Information Technology | 51,801,971 | 51,801,971 | — | — | ||||||||||||
Materials | 9,749,099 | 9,749,099 | — | — | ||||||||||||
Telecommunications Services | 2,290,630 | 2,290,630 | — | — | ||||||||||||
Utilities | 4,431,294 | 4,431,294 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 394,465 | — | 394,465 | — | ||||||||||||
Collateralized Mortgage Obligations | 413,079 | — | 413,079 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 572,205 | — | 572,205 | — | ||||||||||||
Financials | 884,883 | — | 884,883 | — | ||||||||||||
Mortgage-Backed Securities | 3,333,841 | — | 3,333,841 | — | ||||||||||||
U.S. Government and Agencies | 7,327,566 | — | 7,327,566 | — | ||||||||||||
Short-Term Investments | 32,387,165 | 29,687,438 | 2,699,727 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 611,106,251 | $ | 592,813,741 | $ | 18,292,510 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 43,015 | 43,015 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 43,015 | $ | 43,015 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 3,060,691 | 2,632,502 | 428,189 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 3,060,691 | $ | 2,632,502 | $ | 428,189 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
Futures Contracts | Number of Contracts Long/ (Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (15 | ) | March 2013 | ($ | 3,305,814 | ) | ($ | 3,307,032 | ) | ($ | 1,218 | ) | ||||||||
5-Yr. U.S. Treasury Bond Futures | (80 | ) | March 2013 | (9,969,756 | ) | (9,953,125 | ) | 16,631 | ||||||||||||
10-Yr. U.S. Treasury Bond Futures | (30 | ) | March 2013 | (4,002,096 | ) | (3,983,437 | ) | 18,659 | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | 55 | March 2013 | 8,210,207 | 8,112,500 | (97,707 | ) | ||||||||||||||
Eurex EURO STOXX 50 Futures | 1,159 | March 2013 | 40,433,271 | 40,005,082 | (428,189 | ) | ||||||||||||||
Mini MSCI EAFE Index Futures | 10 | March 2013 | 802,425 | 810,150 | 7,725 | |||||||||||||||
Russell 2000 Index Mini-Futures | (783 | ) | March 2013 | (66,178,040 | ) | (66,288,780 | ) | (110,740 | ) | |||||||||||
S&P 400 Index Mini-Futures | (698 | ) | March 2013 | (70,429,945 | ) | (71,063,380 | ) | (633,435 | ) | |||||||||||
S&P 500 Index Futures | 336 | March 2013 | 121,077,802 | 119,288,400 | (1,789,402 | ) | ||||||||||||||
Total Futures Contracts | ($ | 3,017,676 | ) | |||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
85
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2012, for Aggressive Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
| Asset Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 7,725 | |||
Total Equity Contracts | 7,725 | |||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 35,290 | ||||
Total Interest Rate Contracts | 35,290 | |||||
|
| |||||
Total Asset Derivatives | $ | 43,015 | ||||
|
| |||||
| Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 3,059,473 | ||||
Total Equity Contracts | 3,059,473 | |||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 1,218 | ||||
Total Interest Rate Contracts | 1,218 | |||||
|
| |||||
Total Liability Derivatives | $ | 3,060,691 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Aggressive Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
| Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 2,532,302 | ||||
| Total Equity Contracts | 2,532,302 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (8,114 | ) | |||
Total Foreign Exchange Contracts | (8,114 | ) | ||||
| Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (394,105 | ) | |||
Total Interest Rate Contracts | (394,105 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | 28,858 | ||||
Total Credit Contracts | 28,858 | |||||
|
| |||||
Total | $ | 2,158,941 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
86
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2012, for Aggressive Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (3,918,552 | ) | |||
Total Equity Contracts | (3,918,552 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 76,757 | ||||
Total Interest Rate Contracts | 76,757 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (3,247 | ) | |||
Total Credit Contracts | (3,247 | ) | ||||
|
| |||||
Total | ($ | 3,845,042 | ) | |||
|
| |||||
The following table presents Aggressive Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | ||||||||||||||||||
Equity Contracts | $ | 270,777,893 | 45.3 | % | N/A | N/A | N/A | N/A | ||||||||||||||||
Interest Rate Contracts | 12,207,521 | 2.0 | N/A | N/A | N/A | N/A | ||||||||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 94,615 | <0.1 | % | N/A | N/A | ||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 45,753 | <0.1 | % | ||||||||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Aggressive Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Partner Small Cap Growth | $ | 43,458,307 | $ | — | $ | — | 3,498,692 | $ | 48,539,108 | $ | — | |||||||||||||
Partner Small Cap Value | 14,393,204 | 87,027 | 2,000,000 | 672,963 | 14,249,724 | 87,027 | ||||||||||||||||||
Small Cap Stock | 20,485,040 | — | — | 1,708,411 | 22,415,543 | — | ||||||||||||||||||
Partner Mid Cap Value | 19,535,065 | 176,063 | — | 1,575,131 | 23,104,644 | 176,063 | ||||||||||||||||||
Mid Cap Stock | 28,649,596 | 76,744 | — | 2,502,383 | 32,744,181 | 76,744 | ||||||||||||||||||
Partner Worldwide Allocation | 22,849,130 | 2,266,298 | — | 11,254,889 | 97,000,260 | 1,354,304 | ||||||||||||||||||
Partner International Stock* | 59,536,061 | 2,995,637 | — | — | — | 2,995,637 | ||||||||||||||||||
Large Cap Value | 27,887,419 | 521,401 | — | 2,732,516 | 32,787,456 | 521,401 | ||||||||||||||||||
Large Cap Stock | 24,807,764 | 279,164 | — | 3,091,854 | 28,504,425 | 279,164 | ||||||||||||||||||
Equity Income Plus | 4,678,836 | 76,166 | — | 539,342 | 5,294,883 | 76,166 | ||||||||||||||||||
High Yield | 5,669,944 | 11,056,890 | 8,618,088 | 1,783,880 | 9,008,058 | 742,603 | ||||||||||||||||||
Income | 6,032,325 | 2,282,560 | 2,800,000 | 561,795 | 6,052,390 | 298,927 | ||||||||||||||||||
Limited Maturity Bond | — | 4,229,936 | 4,264,556 | — | — | 30,843 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | — | 5,507,869 | 5,507,869 | — | — | 244 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | — | 60,298,560 | 30,611,122 | 29,687,438 | 29,687,438 | 8,233 | ||||||||||||||||||
Total Value and Income Earned | 277,982,691 | 349,388,110 | 6,647,356 | |||||||||||||||||||||
| * | Effective July 27, 2012 Partner International Stock Portfolio merged into Partner Worldwide Allocation Portfolio, with Partner Worldwide Allocation Portfolio acquiring the assets and liabilities of the Partner International Stock Portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
87
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Bank Loans (1.7%)a | Value | ||||||
| Basic Materials (0.1%) | |||||||
Arch Coal, Inc., Term Loan | ||||||||
| $1,041,304 | 5.750%, 5/16/2018b,c | $ | 1,050,582 | |||||
FMG Resources August 2006 Pty., Ltd., Term Loan | ||||||||
| 1,047,375 | 5.250%, 10/18/2017 | 1,055,230 | ||||||
Ineos US Finance, LLC, Term Loan | ||||||||
| 1,402,645 | 6.500%, 5/4/2018 | 1,416,279 | ||||||
|
| |||||||
| Total | 3,522,091 | |||||||
|
| |||||||
| Capital Goods (0.1%) | |||||||
ADS Waste Holdings, Inc., Term Loan | ||||||||
| 1,120,000 | 5.250%, 10/9/2019 | 1,132,600 | ||||||
MRC Global, Inc., Term Loan | ||||||||
| 798,000 | 6.250%, 10/24/2019 | 799,995 | ||||||
|
| |||||||
| Total | 1,932,595 | |||||||
|
| |||||||
| Communications Services (0.5%) | |||||||
Atlantic Broadband Penn, Term Loan | ||||||||
| 640,000 | 4.500%, 9/10/2019 | 644,960 | ||||||
Charter Communications Operating, LLC, Term Loan | ||||||||
| 734,450 | 4.000%, 5/15/2019 | 740,142 | ||||||
Clear Channel Communications, Inc., Term Loan | ||||||||
| 1,165,000 | 3.862%, 1/29/2016 | 960,216 | ||||||
Cricket Communications, Inc., Term Loan | ||||||||
| 160,000 | 4.750%, 10/10/2019 | 160,667 | ||||||
Cumulus Media Holdings, Inc., Term Loan | ||||||||
| 1,010,000 | 0.000%, 9/17/2018b,c | 1,012,212 | ||||||
Fairpoint Communications, Inc., Term Loan | ||||||||
| 615,000 | 4.500%, 1/25/2016b,c | 593,709 | ||||||
Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 1,144,877 | 4.500%, 4/2/2018 | 1,153,704 | ||||||
Level 3 Financing, Inc., Term Loan | ||||||||
| 1,555,000 | 4.750%, 8/1/2019 | 1,561,484 | ||||||
Liberty Cablevision of Puerto Rico, Ltd., Term Loan | ||||||||
| 796,000 | 6.000%, 6/9/2017 | 799,980 | ||||||
MCC Georgia, LLC, Term Loan | ||||||||
| 638,400 | 4.000%, 1/20/2020 | 638,132 | ||||||
SBA Senior Finance II, LLC, Term Loan | ||||||||
| 480,000 | 3.750%, 9/28/2019 | 481,800 | ||||||
Toys R Us, Inc., Term Loan | ||||||||
| 1,302,758 | 5.250%, 5/25/2018 | 1,244,954 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
| 511,650 | 2.212%, 9/29/2014 | 510,694 | ||||||
| 945,000 | 4.462%, 3/31/2017 | 928,614 | ||||||
Van Wagner Communications, Inc., Term Loan | ||||||||
| 885,000 | 8.250%, 8/3/2018 | 893,116 | ||||||
WideOpenWest Finance, LLC, Term Loan | ||||||||
| 1,194,000 | 6.250%, 7/17/2018 | 1,206,215 | ||||||
Yankee Cable Acquisition, LLC, Term Loan | ||||||||
| 616,446 | 5.250%, 8/26/2016 | 622,604 | ||||||
Zayo Group, LLC, Term Loan | ||||||||
| 1,672,797 | 5.250%, 7/2/2019 | 1,691,097 | ||||||
|
| |||||||
| Total | 15,844,300 | |||||||
|
| |||||||
| Consumer Cyclical (0.2%) | |||||||
Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
| 1,020,659 | 5.500%, 2/23/2017 | 1,027,763 | ||||||
Chrysler Group, LLC, Term Loan | ||||||||
| 918,010 | 6.000%, 5/24/2017 | 936,113 | ||||||
MGM Resorts International, Term Loan | ||||||||
| 780,000 | 3.667%, 12/13/2019b,c | 787,605 | ||||||
Rock Ohio Caesars, LLC, 18 month Delayed Draw | ||||||||
| 146,667 | 5.727%, 8/19/2017b,c | 151,067 | ||||||
Rock Ohio Caesars, LLC, 6 month Delayed Draw | ||||||||
| 88,000 | 5.727%, 8/19/2017b,c | 90,640 | ||||||
Rock Ohio Caesars, LLC, Term Loan | ||||||||
| 1,125,333 | 8.500%, 8/19/2017 | 1,159,093 | ||||||
Seven Seas Cruises S de RL, LLC, Term Loan | ||||||||
| 1,422,000 | 6.250%, 12/21/2018 | 1,439,775 | ||||||
|
| |||||||
| Total | 5,592,056 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.3%) | |||||||
Bausch & Lomb, Inc., Term Loan | ||||||||
| 796,000 | 5.250%, 5/17/2019 | 801,683 | ||||||
Biomet, Inc., Term Loan | ||||||||
| 1,020,000 | 2.407%, 7/25/2017b,c | 1,024,957 | ||||||
Ceridian Corporation, Term Loan | ||||||||
| 960,000 | 5.959%, 5/9/2017 | 957,427 | ||||||
CHS/Community Health Systems, Inc., Term Loan | ||||||||
| 800,000 | 3.811%, 1/25/2017 | 804,296 | ||||||
DJO Finance, LLC, Term Loan | ||||||||
| 795,991 | 6.250%, 9/15/2017 | 798,976 | ||||||
Grifols, Inc., Term Loan | ||||||||
| 794,790 | 4.500%, 6/1/2017 | 801,633 | ||||||
Hologic, Inc., Term Loan | ||||||||
| 957,600 | 4.500%, 8/1/2019 | 968,201 | ||||||
Reynolds Group Holdings, Inc., Term Loan | ||||||||
| 159,600 | 4.750%, 9/28/2018b,c | 161,336 | ||||||
Roundy’s Supermarkets, Inc., Term Loan | ||||||||
| 1,396,457 | 5.750%, 2/13/2019 | 1,310,492 | ||||||
SUPERVALU, Inc., Term Loan | ||||||||
| 905,000 | 6.750%, 8/10/2018b,c | 917,272 | ||||||
Visant Corporation, Term Loan | ||||||||
| 1,211,865 | 5.250%, 12/22/2016 | 1,098,253 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
88
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
Principal | Bank Loans (1.7%)a | Value | ||||||
| Consumer Non-Cyclical (0.3%) - continued | |||||||
| Warner Chilcott Company, LLC, Term Loan | ||||||||
| $ 62,008 | 4.250%, 3/15/2018 | $ | 62,499 | |||||
| Warner Chilcott Corporation, Term Loan | ||||||||
| 124,016 | 4.250%, 3/15/2018 | 124,998 | ||||||
| 47,098 | 4.250%, 3/15/2018 | 47,471 | ||||||
| WC Luxco Sarl, Term Loan | ||||||||
| 85,261 | 4.250%, 3/15/2018 | 85,936 | ||||||
|
| |||||||
| Total | 9,965,430 | |||||||
|
| |||||||
| Energy (0.1%) | |||||||
| Cheasapeake Energy Corporation, Term Loan | ||||||||
| 2,325,000 | 5.487%, 12/2/2017b,c | 2,325,581 | ||||||
| NTELOS, Inc., Term Loan | ||||||||
| 370,000 | 0.000%, 11/9/2019b,c | 355,200 | ||||||
| Plains Exploration & Production Company, Term Loan | ||||||||
| 305,000 | 4.000%, 10/15/2019 | 305,955 | ||||||
|
| |||||||
| Total | 2,986,736 | |||||||
|
| |||||||
| Financials (0.1%) | |||||||
| Nuveen Investments, Inc., Term Loan | ||||||||
| 925,000 | 5.769%, 5/13/2017 b,c | 928,469 | ||||||
| 245,000 | 5.811%, 5/13/2017b,c | 245,857 | ||||||
| WaveDivision Holdings, LLC, Term Loan | ||||||||
| 1,120,000 | 5.500%, 8/9/2019 | 1,130,472 | ||||||
|
| |||||||
| Total | 2,304,798 | |||||||
|
| |||||||
| Technology (0.2%) | |||||||
| First Data Corporation Extended, Term Loan | ||||||||
| 1,540,000 | 4.211%, 3/26/2018 | 1,462,830 | ||||||
| First Data Corporation, Term Loan | ||||||||
| 640,000 | 5.211%, 9/24/2018 | 626,746 | ||||||
| Freescale Semiconductor, Inc., Term Loan | ||||||||
| 1,365,909 | 6.000%, 2/28/2019 | 1,353,316 | ||||||
| Infor US, Inc., Term Loan | ||||||||
| 895,905 | 5.250%, 4/5/2018 | 903,260 | ||||||
| SunGard Data Systems, Inc., Term Loan | ||||||||
| 1,195,000 | 3.630%, 12/4/2019b,c | 1,203,962 | ||||||
|
| |||||||
| Total | 5,550,114 | |||||||
|
| |||||||
| Transportation (<0.1%) | |||||||
| Delta Air Lines, Inc., Term Loan | ||||||||
| 1,288,010 | 5.500%, 4/20/2017 b,c | 1,298,469 | ||||||
|
| |||||||
| Total | 1,298,469 | |||||||
|
| |||||||
| Utilities (0.1%) | |||||||
| Calpine Corporation, Term Loan | ||||||||
| 1,276,800 | 4.500%, 10/9/2019 | 1,287,117 | ||||||
| NGPL PipeCo, LLC, Term Loan | ||||||||
| 1,152,321 | 6.750%, 9/15/2017 | 1,176,808 | ||||||
|
| |||||||
| Total | 2,463,925 | |||||||
|
| |||||||
Total Bank Loans (cost $51,216,652) | 51,460,514 | |||||||
|
| |||||||
| Shares | Mutual Funds (53.9%) | |||||||
| Equity Mutual Funds (43.6%) | ||||||||
| 46,787,231 | Thrivent Partner Worldwide Allocation Portfolio | 403,235,751 | ||||||
| 5,056,075 | Thrivent Partner Small Cap Growth Portfoliod | 70,145,452 | ||||||
| 3,460,967 | Thrivent Partner Small Cap Value Portfolio | 73,284,587 | ||||||
| 4,528,335 | Thrivent Small Cap Stock Portfoliod | 59,414,925 | ||||||
| 6,211,851 | Thrivent Partner Mid Cap Value Portfolio | 91,117,912 | ||||||
| 14,108,172 | Thrivent Mid Cap Stock Portfolio | 184,608,248 | ||||||
| 18,770,587 | Thrivent Large Cap Value Portfolio | 225,228,272 | ||||||
| 21,892,974 | Thrivent Large Cap Stock Portfolio | 201,835,703 | ||||||
| 2,259,027 | Thrivent Equity Income Plus Portfolio | 22,177,546 | ||||||
|
| |||||||
| Total | 1,331,048,396 | |||||||
|
| |||||||
| Fixed Income Mutual Funds (10.3%) | |||||||
| 23,424,573 | Thrivent High Yield Portfolio | 118,287,065 | ||||||
| 13,863,187 | Thrivent Income Portfolio | 149,352,272 | ||||||
| 4,693,235 | Thrivent Limited Maturity Bond Portfolio | 46,577,538 | ||||||
|
| |||||||
| Total | 314,216,875 | |||||||
|
| |||||||
Total Mutual Funds (cost $1,669,276,941) | 1,645,265,271 | |||||||
|
| |||||||
Common Stock (24.5%) | ||||||||
| Consumer Discretionary (3.9%) | |||||||
| 15,471 | Abercrombie & Fitch Company | 742,144 | ||||||
| 33,792 | Amazon.com, Inc.d | 8,486,523 | ||||||
| 27,900 | Ann, Inc.d | 944,136 | ||||||
| 14,387 | Arctic Cat, Inc.d | 480,382 | ||||||
| 17,850 | AutoZone, Inc.d | 6,326,575 | ||||||
| 14,900 | Bally Technologies, Inc.d | 666,179 | ||||||
| 21,500 | Bed Bath & Beyond, Inc.d | 1,202,065 | ||||||
| 13,870 | CBS Corporation | 527,753 | ||||||
| 15,700 | Charter Communications, Inc.d | 1,196,968 | ||||||
| 51,900 | Cheesecake Factory, Inc. | 1,698,168 | ||||||
| 56,500 | Chico’s FAS, Inc. | 1,042,990 | ||||||
| 44,400 | Children’s Place Retail Stores, Inc.d | 1,966,476 | ||||||
| 21,700 | Coinstar, Inc.d,e | 1,128,617 | ||||||
| 361,736 | Comcast Corporation | 13,521,692 | ||||||
| 11,174 | Darden Restaurants, Inc. | 503,612 | ||||||
| 35,419 | Delphi Automotive plcd | 1,354,777 | ||||||
| 11,300 | Dillard’s, Inc. | 946,601 | ||||||
| 28,662 | Discovery Communications, Inc.d | 1,819,464 | ||||||
| 21,900 | DISH Network Corporation | 797,160 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
89
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (24.5%) | Value | ||||||
| Consumer Discretionary (3.9%) - continued | ||||||||
| 57,476 | Dollar Tree, Inc.d | $ | 2,331,227 | |||||
| 32,100 | Expedia, Inc. | 1,972,545 | ||||||
| 22,300 | Express, Inc.d | 336,507 | ||||||
| 77,688 | Foot Locker, Inc. | 2,495,339 | ||||||
| 62,500 | Gap, Inc. | 1,940,000 | ||||||
| 128,330 | GNC Holdings, Inc. | 4,270,822 | ||||||
| 17,100 | Hanesbrands, Inc.d | 612,522 | ||||||
| 6,730 | Harley-Davidson, Inc. | 328,693 | ||||||
| 102,900 | Home Depot, Inc. | 6,364,365 | ||||||
| 6,000 | HSN, Inc. | 330,480 | ||||||
| 8,380 | iShares Dow Jones US Home | |||||||
Construction Index Fund | 177,321 | |||||||
| 209,877 | Las Vegas Sands Corporation | 9,687,922 | ||||||
| 37,863 | Life Time Fitness, Inc.d | 1,863,238 | ||||||
| 23,949 | Limited Brands, Inc. | 1,127,040 | ||||||
| 60,660 | Lowe’s Companies, Inc. | 2,154,643 | ||||||
| 37,400 | Macy’s, Inc. | 1,459,348 | ||||||
| 13,100 | Marriott International, Inc. | 488,237 | ||||||
| 7,900 | Marriott Vacations Worldwide Corporationd | 329,193 | ||||||
| 49,200 | Meredith Corporatione | 1,694,940 | ||||||
| 48,960 | News Corporation | 1,284,710 | ||||||
| 180,600 | NIKE, Inc. | 9,318,960 | ||||||
| 19,400 | Omnicom Group, Inc. | 969,224 | ||||||
| 15,713 | O’Reilly Automotive, Inc.d | 1,405,056 | ||||||
| 3,218 | Panera Bread Companyd | 511,115 | ||||||
| 13,700 | Penn National Gaming, Inc.d | 672,807 | ||||||
| 24,680 | PetSmart, Inc. | 1,686,631 | ||||||
| 115,388 | Pier 1 Imports, Inc. | 2,307,760 | ||||||
| 7,700 | Pool Corporation | 325,864 | ||||||
| 1,300 | Priceline.com, Inc.d | 807,560 | ||||||
| 56,600 | Pulte Group, Inc.d | 1,027,856 | ||||||
| 174,300 | Sally Beauty Holdings, Inc.d | 4,108,251 | ||||||
| 52,300 | Smith & Wesson Holding Corporationd,e | 441,412 | ||||||
| 22,300 | Tempur-Pedic International, Inc.d | 702,227 | ||||||
| 14,000 | Time Warner Cable, Inc. | 1,360,660 | ||||||
| 27,300 | TJX Companies, Inc. | 1,158,885 | ||||||
| 52,100 | Toll Brothers, Inc.d | 1,684,393 | ||||||
| 14,480 | Tractor Supply Company | 1,279,453 | ||||||
| 12,100 | Valassis Communications, Inc.e | 311,938 | ||||||
| 3,438 | VF Corporation | 519,035 | ||||||
| 12,753 | WMS Industries, Inc.d | 223,178 | ||||||
| 7,400 | Wynn Resorts, Ltd. | 832,426 | ||||||
|
| |||||||
| Total | 118,256,065 | |||||||
|
| |||||||
| Consumer Staples (1.6%) | ||||||||
| 72,635 | Anheuser-Busch InBev NV ADR | 6,349,025 | ||||||
| 37,476 | Annie’s, Inc.d,e | 1,252,823 | ||||||
| 50,000 | Archer-Daniels-Midland Company | 1,369,500 | ||||||
| 56,063 | British American Tobacco plc ADR | 5,676,379 | ||||||
| 22,900 | Bunge, Ltd. | 1,664,601 | ||||||
| 37,500 | Campbell Soup Companye | 1,308,375 | ||||||
| 10,339 | Clorox Company | 757,022 | ||||||
| 21,900 | Colgate-Palmolive Company | 2,289,426 | ||||||
| 50,000 | Constellation Brands, Inc.d | 1,769,500 | ||||||
| 85,450 | CVS Caremark Corporation | 4,131,507 | ||||||
| 5,790 | Diageo plc ADR | 674,998 | ||||||
| 12,800 | Energizer Holdings, Inc. | 1,023,744 | ||||||
| 40,000 | Herbalife, Ltd.e | 1,317,600 | ||||||
| 78,451 | Ingredion, Inc. | 5,054,598 | ||||||
| 8,870 | Kimberly-Clark Corporation | 748,894 | ||||||
| 12,940 | Kraft Foods Group, Inc. | 588,382 | ||||||
| 38,820 | Mondelez International, Inc. | 988,745 | ||||||
| 95,100 | Nestle SA | 6,204,654 | ||||||
| 24,300 | Nu Skin Enterprises, Inc.e | 900,315 | ||||||
| 9,976 | Philip Morris International, Inc. | 834,393 | ||||||
| 21,100 | Safeway, Inc.e | 381,699 | ||||||
| 7,100 | Spectrum Brands Holdings, Inc.d | 319,003 | ||||||
| 13,287 | TreeHouse Foods, Inc.d | 692,651 | ||||||
| 20,140 | Unilever NV ADRe | 771,362 | ||||||
| 7,400 | USANA Health Sciences, Inc.d,e | 243,682 | ||||||
| 11,748 | Whole Foods Market, Inc. | 1,072,945 | ||||||
|
| |||||||
| Total | 48,385,823 | |||||||
|
| |||||||
| Energy (3.1%) | ||||||||
| 274,443 | Alpha Natural Resources, Inc.d | 2,673,075 | ||||||
| 8,900 | Apache Corporation | 698,650 | ||||||
| 25,300 | Baker Hughes, Inc. | 1,033,252 | ||||||
| 78,747 | BP plc ADR | 3,279,025 | ||||||
| 23,200 | Cameron International Corporationd | 1,309,872 | ||||||
| 34,180 | Chevron Corporation | 3,696,225 | ||||||
| 24,660 | Concho Resources, Inc.d | 1,986,610 | ||||||
| 176,700 | Consol Energy, Inc. | 5,672,070 | ||||||
| 6,900 | CVR Energy, Inc.d | 336,651 | ||||||
| 12,100 | Delek US Holdings, Inc. | 306,372 | ||||||
| 22,900 | Dril-Quip, Inc.d | 1,672,845 | ||||||
| 44,000 | Ensco plc | 2,608,320 | ||||||
| 45,246 | EOG Resources, Inc. | 5,465,264 | ||||||
| 20,610 | EQT Corporation | 1,215,578 | ||||||
| 76,900 | Exxon Mobil Corporation | 6,655,695 | ||||||
| 80,684 | Helix Energy Solutions Group, Inc.d | 1,665,318 | ||||||
| 24,600 | Helmerich & Payne, Inc. | 1,377,846 | ||||||
| 45,000 | HollyFrontier Corporation | 2,094,750 | ||||||
| 357,978 | Marathon Oil Corporation | 10,975,605 | ||||||
| 35,700 | Marathon Petroleum Corporation | 2,249,100 | ||||||
| 19,000 | National Oilwell Varco, Inc. | 1,298,650 | ||||||
| 74,100 | Oasis Petroleum, Inc.d | 2,356,380 | ||||||
| 16,000 | Occidental Petroleum Corporation | 1,225,760 | ||||||
| 33,653 | Oil States International, Inc.d | 2,407,536 | ||||||
| 44,600 | Patterson-UTI Energy, Inc.e | 830,898 | ||||||
| 75,509 | Peabody Energy Corporation | 2,009,295 | ||||||
| 55,500 | Petroleo Brasileiro SA ADR | 1,080,585 | ||||||
| 165,161 | Petroleum Geo-Services ASA | 2,876,673 | ||||||
| 6,200 | Phillips 66 | 329,220 | ||||||
| 11,800 | Range Resources Corporation | 741,394 | ||||||
| 88,060 | Schlumberger, Ltd. | 6,101,677 | ||||||
| 30,200 | SM Energy Company | 1,576,742 | ||||||
| 41,200 | Southwestern Energy Companyd | 1,376,492 | ||||||
| 45,700 | Ultra Petroleum Corporationd,e | 828,541 | ||||||
| 65,100 | Valero Energy Corporation | 2,221,212 | ||||||
| 845,207 | Weatherford International, Ltd.d | 9,457,866 | ||||||
| 36,000 | Western Refining, Inc.e | 1,014,840 | ||||||
|
| |||||||
| Total | 94,705,884 | |||||||
|
| |||||||
| Financials (3.6%) | ||||||||
| 14,550 | ACE, Ltd. | 1,161,090 | ||||||
| 30,138 | Affiliated Managers Group, Inc.d | 3,922,461 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
90
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (24.5%) | Value | ||||||
| Financials (3.6%) - continued | ||||||||
| 9,700 | Allied World Assurance Company Holdings AG | $ | 764,360 | |||||
| 17,630 | Allstate Corporation | 708,197 | ||||||
| 19,100 | American Assets Trust, Inc. | 533,463 | ||||||
| 11,900 | American Campus Communities, Inc. | 548,947 | ||||||
| 108,400 | Ameriprise Financial, Inc. | 6,789,092 | ||||||
| 134,200 | Annaly Capital Management, Inc. | 1,884,168 | ||||||
| 13,900 | Aspen Insurance Holdings, Ltd. | 445,912 | ||||||
| 17,400 | Axis Capital Holdings, Ltd. | 602,736 | ||||||
| 190,510 | Bank of America Corporation | 2,209,916 | ||||||
| 10,500 | Banner Corporation | 322,665 | ||||||
| 27,900 | BioMed Realty Trust, Inc. | 539,307 | ||||||
| 14,392 | Boston Properties, Inc. | 1,522,818 | ||||||
| 9,910 | Capital One Financial Corporation | 574,086 | ||||||
| 52,000 | CapitalSource, Inc. | 394,160 | ||||||
| 42,800 | CBL & Associates Properties, Inc. | 907,788 | ||||||
| 156,987 | Citigroup, Inc. | 6,210,406 | ||||||
| 103,170 | CME Group, Inc. | 5,231,751 | ||||||
| 39,000 | Comerica, Inc. | 1,183,260 | ||||||
| 79,700 | DCT Industrial Trust, Inc. | 517,253 | ||||||
| 36,659 | Discover Financial Services | 1,413,204 | ||||||
| 22,600 | Douglas Emmett, Inc. | 526,580 | ||||||
| 8,900 | Endurance Specialty Holdings, Ltd. | 353,241 | ||||||
| 7,500 | Equity Lifestyle Properties, Inc. | 504,675 | ||||||
| 25,488 | Equity Residential | 1,444,405 | ||||||
| 15,500 | Extra Space Storage, Inc. | 564,045 | ||||||
| 143,200 | Fifth Third Bancorp | 2,175,208 | ||||||
| 55,972 | HCC Insurance Holdings, Inc. | 2,082,718 | ||||||
| 16,000 | Highwoods Properties, Inc. | 535,200 | ||||||
| 61,295 | Host Hotels & Resorts, Inc. | 960,493 | ||||||
| 427,300 | Huntington Bancshares, Inc. | 2,730,447 | ||||||
| 44,860 | Invesco, Ltd. | 1,170,397 | ||||||
| 117,160 | J.P. Morgan Chase & Company | 5,151,525 | ||||||
| 79,076 | Kimco Realty Corporation | 1,527,748 | ||||||
| 60,730 | KKR & Company, LP | 924,918 | ||||||
| 22,150 | Lazard, Ltd. | 660,956 | ||||||
| 7,900 | M&T Bank Corporatione | 777,913 | ||||||
| 55,910 | MetLife, Inc. | 1,841,675 | ||||||
| 14,400 | Montpelier Re Holdings, Inc. | 329,184 | ||||||
| 32,700 | NASDAQ OMX Group, Inc. | 817,827 | ||||||
| 18,000 | Northern Trust Corporation | 902,880 | ||||||
| 60,600 | Och-Ziff Capital Management Group, LLC | 575,700 | ||||||
| 56,400 | Ocwen Financial Corporationd | 1,950,876 | ||||||
| 22,200 | Pebblebrook Hotel Trust | 512,820 | ||||||
| 37,900 | Piedmont Office Realty Trust, Inc. | 684,095 | ||||||
| 136,226 | Popular, Inc.d | 2,832,139 | ||||||
| 20,600 | PrivateBancorp, Inc. | 315,592 | ||||||
| 9,600 | ProAssurance Corporation | 405,024 | ||||||
| 10,400 | Protective Life Corporation | 297,232 | ||||||
| 10,553 | Public Storage, Inc. | 1,529,763 | ||||||
| 10,792 | Simon Property Group, Inc. | 1,706,107 | ||||||
| 42,300 | SLM Corporation | 724,599 | ||||||
| 99,100 | SPDR S&P 500 ETF Trust | 14,123,732 | ||||||
| 82,760 | State Street Corporation | 3,890,548 | ||||||
| 50,480 | SVB Financial Groupd | 2,825,366 | ||||||
| 8,700 | T. Rowe Price Group, Inc. | 566,631 | ||||||
| 6,701 | Taubman Centers, Inc. | 527,503 | ||||||
| 21,800 | Tower Group, Inc. | 387,386 | ||||||
| 17,715 | Vornado Realty Trust | 1,418,617 | ||||||
| 20,896 | W.R. Berkley Corporation | 788,615 | ||||||
| 196,644 | Wells Fargo & Company | 6,721,292 | ||||||
| 215,431 | Zions Bancorporation | 4,610,223 | ||||||
|
| |||||||
| Total | 111,762,935 | |||||||
|
| |||||||
| Health Care (3.0%) | ||||||||
| 7,300 | Aetna, Inc. | 337,990 | ||||||
| 3,225 | Alexion Pharmaceuticals, Inc.d | 302,537 | ||||||
| 48,300 | Align Technology, Inc.d | 1,340,325 | ||||||
| 27,340 | AmerisourceBergen Corporation | 1,180,541 | ||||||
| 28,100 | Amgen, Inc. | 2,425,592 | ||||||
| 14,720 | Baxter International, Inc. | 981,235 | ||||||
| 71,200 | Biogen Idec, Inc.d | 10,442,904 | ||||||
| 16,400 | BioMarin Pharmaceutical, Inc.d | 807,700 | ||||||
| 7,287 | C.R. Bard, Inc. | 712,231 | ||||||
| 21,024 | Catamaran Corporationd | 990,441 | ||||||
| 27,700 | Celgene Corporationd | 2,180,544 | ||||||
| 10,700 | Charles River Laboratories International, Inc.d | 400,929 | ||||||
| 11,362 | CIGNA Corporation | 607,413 | ||||||
| 33,100 | Community Health Systems, Inc. | 1,017,494 | ||||||
| 115,870 | Covidien plc | 6,690,334 | ||||||
| 58,500 | Endo Pharmaceutical Holdings, Inc.d | 1,536,795 | ||||||
| 129,200 | Express Scripts Holding Companyd | 6,976,800 | ||||||
| 32,200 | Gilead Sciences, Inc.d | 2,365,090 | ||||||
| 19,253 | HeartWare International, Inc.d,e | 1,616,289 | ||||||
| 14,300 | Illumina, Inc.d,e | 794,937 | ||||||
| 7,400 | Jazz Pharmaceuticals, Inc.d | 393,680 | ||||||
| 7,800 | Life Technologies Corporationd | 382,824 | ||||||
| 19,600 | MedAssets, Inc.d | 328,692 | ||||||
| 22,400 | Medicines Companyd | 536,928 | ||||||
| 79,310 | Merck & Company, Inc. | 3,246,952 | ||||||
| 5,450 | Mettler-Toledo International, Inc.d | 1,053,485 | ||||||
| 7,889 | Onyx Pharmaceuticals, Inc.d | 595,856 | �� | |||||
| 11,100 | PAREXEL International Corporationd | 328,449 | ||||||
| 9,200 | Perrigo Company | 957,076 | ||||||
| 96,367 | Pfizer, Inc. | 2,416,884 | ||||||
| 10,223 | Pharmacyclics, Inc.d | 591,912 | ||||||
| 75,100 | Questcor Pharmaceuticals, Inc.e | 2,006,672 | ||||||
| 49,300 | ResMed, Inc.e | 2,049,401 | ||||||
| 34,470 | Sanofi ADR | 1,633,189 | ||||||
| 32,600 | Santarus, Inc.d | 357,948 | ||||||
| 73,000 | Shire Pharmaceuticals Group plc ADR | 6,729,140 | ||||||
| 28,800 | Spectrum Pharmaceuticals, Inc.e | 322,272 | ||||||
| 62,100 | Thoratec Corporationd | 2,329,992 | ||||||
| 52,867 | United Therapeutics Corporationd | 2,824,155 | ||||||
| 219,108 | UnitedHealth Group, Inc. | 11,884,418 | ||||||
| 52,900 | Vertex Pharmaceuticals, Inc.d | 2,218,626 | ||||||
| 107,700 | VIVUS, Inc.d,e | 1,445,334 | ||||||
| 8,100 | Waters Corporationd | 705,672 | ||||||
| 19,644 | Watson Pharmaceuticals, Inc.d | 1,689,384 | ||||||
| 13,423 | Zimmer Holdings, Inc. | 894,777 | ||||||
|
| |||||||
| Total | 91,631,839 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
91
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (24.5%) | Value | ||||||
| Industrials (2.5%) | ||||||||
| 67,200 | Actuant Corporation | $ | 1,875,552 | |||||
| 65,550 | ADT Corporation | 3,047,419 | ||||||
| 33,519 | AMETEK, Inc. | 1,259,309 | ||||||
| 14,239 | BE Aerospace, Inc.d | 703,407 | ||||||
| 26,584 | CSX Corporation | 524,502 | ||||||
| 10,700 | Deluxe Corporation | 344,968 | ||||||
| 66,614 | EMCOR Group, Inc. | 2,305,511 | ||||||
| 9,200 | EnerSysd | 346,196 | ||||||
| 22,400 | Expeditors International of Washington, Inc. | 885,920 | ||||||
| 7,350 | FedEx Corporation | 674,142 | ||||||
| 13,236 | Flowserve Corporation | 1,943,045 | ||||||
| 12,100 | Fortune Brands Home and Security, Inc.d | 353,562 | ||||||
| 45,600 | GATX Corporation | 1,974,480 | ||||||
| 24,030 | General Electric Company | 504,390 | ||||||
| 67,500 | HNI Corporation | 2,029,050 | ||||||
| 141,332 | Honeywell International, Inc. | 8,970,342 | ||||||
| 8,300 | Huntington Ingalls Industries, Inc. | 359,722 | ||||||
| 27,800 | Ingersoll-Rand plc | 1,333,288 | ||||||
| 179,920 | Jacobs Engineering Group, Inc.d | 7,659,194 | ||||||
| 23,806 | JB Hunt Transport Services, Inc. | 1,421,456 | ||||||
| 16,256 | Kansas City Southern | 1,357,051 | ||||||
| 14,300 | L-3 Communications Holdings, Inc. | 1,095,666 | ||||||
| 36,600 | Landstar System, Inc. | 1,920,036 | ||||||
| 10,800 | Lockheed Martin Corporation | 996,732 | ||||||
| 178,362 | Manitowoc Company, Inc. | 2,796,716 | ||||||
| 58,800 | Manpower, Inc. | 2,495,472 | ||||||
| 55,700 | McDermott International, Inc.d | 613,814 | ||||||
| 34,966 | Oshkosh Corporationd | 1,036,742 | ||||||
| 108,942 | Parker Hannifin Corporation | 9,266,607 | ||||||
| 52,309 | Pentair, Ltd. | 2,570,987 | ||||||
| 28,800 | Pitney Bowes, Inc.e | 306,432 | ||||||
| 3,200 | Portfolio Recovery Associates, Inc.d | 341,952 | ||||||
| 33,400 | Quanta Services, Inc.d | 911,486 | ||||||
| 10,332 | Roper Industries, Inc. | 1,151,811 | ||||||
| 64,700 | Southwest Airlines Company | 662,528 | ||||||
| 7,120 | SPX Corporation | 499,468 | ||||||
| 11,453 | Stericycle, Inc.d | 1,068,221 | ||||||
| 37,100 | Swift Transportation Companyd | 338,352 | ||||||
| 7,900 | Trex Company, Inc.d | 294,117 | ||||||
| 102,500 | Tyco International, Ltd. | 2,998,125 | ||||||
| 29,017 | United Technologies Corporation | 2,379,684 | ||||||
| 128,300 | US Airways Group, Inc.d,e | 1,732,050 | ||||||
| 58,000 | Woodward, Inc. | 2,211,540 | ||||||
|
| |||||||
| Total | 77,561,044 | |||||||
|
| |||||||
| Information Technology (5.3%) | ||||||||
| 147,200 | Activision Blizzard, Inc. | 1,563,264 | ||||||
| 27,005 | Agilent Technologies, Inc. | 1,105,585 | ||||||
| 36,764 | Akamai Technologies, Inc.d | 1,504,015 | ||||||
| 16,200 | Alliance Data Systems Corporationd | 2,345,112 | ||||||
| 19,664 | ANSYS, Inc.d | 1,324,174 | ||||||
| 60,700 | AOL, Inc.d | 1,797,327 | ||||||
| 57,578 | Apple, Inc.f | 30,690,801 | ||||||
| 70,952 | Applied Materials, Inc. | 811,691 | ||||||
| 75,400 | Aruba Networks, Inc.d,e | 1,564,550 | ||||||
| 367,673 | Atmel Corporationd | 2,408,258 | ||||||
| 22,708 | Autodesk, Inc.d | 802,728 | ||||||
| 30,500 | BMC Software, Inc.d | 1,209,630 | ||||||
| 37,876 | Broadcom Corporationd | 1,257,862 | ||||||
| 141,300 | Brocade Communications Systems, Inc.d | 753,129 | ||||||
| 6,800 | CACI International, Inc.d | 374,204 | ||||||
| 52,100 | Cavium, Inc.d | 1,626,041 | ||||||
| 28,900 | Ciena Corporationd | 453,730 | ||||||
| 72,500 | Cisco Systems, Inc. | 1,424,625 | ||||||
| 132,500 | Citrix Systems, Inc.d | 8,711,875 | ||||||
| 28,800 | Computer Sciences Corporation | 1,153,440 | ||||||
| 72,447 | CoreLogic, Inc.d | 1,950,273 | ||||||
| 163,025 | eBay, Inc.d | 8,317,536 | ||||||
| 20,000 | Ebix, Inc.e | 321,400 | ||||||
| 85,000 | ExactTarget, Inc.d | 1,700,000 | ||||||
| 18,184 | F5 Networks, Inc.d | 1,766,576 | ||||||
| 7,300 | Fair Isaac Corporation | 306,819 | ||||||
| 21,873 | Google, Inc.d | 15,516,050 | ||||||
| 56,600 | Informatica Corporationd | 1,716,112 | ||||||
| 7,200 | InterDigital, Inc.e | 295,920 | ||||||
| 19,067 | Itron, Inc.d | 849,435 | ||||||
| 10,500 | j2 Global, Inc.e | 321,090 | ||||||
| 35,327 | Juniper Networks, Inc.d | 694,882 | ||||||
| 11,993 | Lam Research Corporationd | 433,307 | ||||||
| 5,500 | Manhattan Associates, Inc.d | 331,870 | ||||||
| 7,076 | Mercadolibre, Inc.e | 555,961 | ||||||
| 177,249 | Microsoft Corporation | 4,737,866 | ||||||
| 239,939 | NetApp, Inc.d | 8,049,953 | ||||||
| 12,700 | NetScout Systems, Inc.d | 330,073 | ||||||
| 7,451 | Nice Systems, Ltd. ADRd | 249,459 | ||||||
| 54,691 | Nuance Communications, Inc.d | 1,220,703 | ||||||
| 175,069 | NVIDIA Corporation | 2,151,598 | ||||||
| 44,200 | NXP Semiconductors NVd | 1,165,554 | ||||||
| 368,049 | Oracle Corporation | 12,263,393 | ||||||
| 48,104 | Plantronics, Inc. | 1,773,595 | ||||||
| 116,811 | QUALCOMM, Inc. | 7,244,618 | ||||||
| 7,927 | Red Hat, Inc.d | 419,814 | ||||||
| 58,400 | Symantec Corporationd | 1,098,504 | ||||||
| 20,100 | Synopsys, Inc.d | 639,984 | ||||||
| 7,739 | Teradata Corporationd | 478,967 | ||||||
| 202,754 | Teradyne, Inc.d | 3,424,515 | ||||||
| 217,810 | Texas Instruments, Inc. | 6,739,041 | ||||||
| 60,558 | TriQuint Semiconductor, Inc.d | 293,101 | ||||||
| 16,700 | ValueClick, Inc.d | 324,147 | ||||||
| 83,640 | VeriFone Systems, Inc.d | 2,482,435 | ||||||
| 178,700 | Vishay Intertechnology, Inc.d | 1,899,581 | ||||||
| 55,500 | Western Digital Corporation | 2,358,195 | ||||||
| 284 | Workday, Inc.d | 15,478 | ||||||
| 77,852 | Xilinx, Inc. | 2,794,887 | ||||||
| 146,100 | Yahoo!, Inc.d | 2,907,390 | ||||||
|
| |||||||
| Total | 163,022,123 | |||||||
|
| |||||||
| Materials (0.9%) | ||||||||
| 3,600 | Agrium, Inc. | 359,676 | ||||||
| 8,000 | Airgas, Inc. | 730,320 | ||||||
| 6,000 | Albemarle Corporation | 372,720 | ||||||
| 18,200 | BHP Billiton, Ltd. ADR | 1,427,608 | ||||||
| 32,100 | Buckeye Technologies, Inc. | 921,591 | ||||||
| 10,287 | Celanese Corporation | 458,080 | ||||||
| 7,300 | CF Industries Holdings, Inc. | 1,483,068 | ||||||
| 23,000 | Cliffs Natural Resources, Inc.e | 886,880 | ||||||
| 22,600 | Dow Chemical Company | 730,432 | ||||||
| 21,700 | Eagle Materials, Inc. | 1,269,450 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
92
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (24.5%) | Value | ||||||
| Materials (0.9%) - continued | |||||||
| 10,366 | FMC Corporation | $ | 606,618 | |||||
| 207,203 | Freeport-McMoRan Copper & Gold, Inc. | 7,086,343 | ||||||
| 33,400 | H.B. Fuller Company | 1,162,988 | ||||||
| 77,400 | Huntsman Corporation | 1,230,660 | ||||||
| 20,800 | Mosaic Company | 1,177,904 | ||||||
| 12,133 | Newmont Mining Corporation | 563,456 | ||||||
| 16,820 | Nucor Corporation | 726,288 | ||||||
| 24,600 | Rio Tinto plc ADRe | 1,429,014 | ||||||
| 16,562 | Silgan Holdings, Inc. | 688,814 | ||||||
| 12,902 | Silver Wheaton Corporation | 465,504 | ||||||
| 59,220 | Steel Dynamics, Inc. | 813,091 | ||||||
| 62,200 | SunCoke Energy, Inc.d | 969,698 | ||||||
| 21,200 | Walter Energy, Inc. | 760,656 | ||||||
|
| |||||||
| Total | 26,320,859 | |||||||
|
| |||||||
| Telecommunications Services (0.2%) | ||||||||
| 181,100 | MetroPCS Communications, Inc.d | 1,800,134 | ||||||
| 13,016 | SBA Communications Corporationd | 924,396 | ||||||
| 45,283 | TW Telecom, Inc.d | 1,153,358 | ||||||
| 27,719 | Verizon Communications, Inc. | 1,199,401 | ||||||
|
| |||||||
| Total | 5,077,289 | |||||||
|
| |||||||
| Utilities (0.4%) | ||||||||
| 68,600 | Calpine Corporationd | 1,243,718 | ||||||
| 31,500 | CMS Energy Corporation | 767,970 | ||||||
| 52,690 | NiSource, Inc. | 1,311,454 | ||||||
| 53,169 | NV Energy, Inc. | 964,486 | ||||||
| 49,050 | PG&E Corporation | 1,970,829 | ||||||
| 81,600 | PNM Resources, Inc. | 1,673,616 | ||||||
| 22,400 | Public Service Enterprise Group, Inc. | 685,440 | ||||||
| 38,818 | Southwest Gas Corporation | 1,646,271 | ||||||
| 28,800 | Wisconsin Energy Corporation | 1,061,280 | ||||||
|
| |||||||
| Total | 11,325,064 | |||||||
|
| |||||||
Total Common Stock (cost $692,479,404) | 748,048,925 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (10.4%) | |||||||
| Asset-Backed Securities (0.1%) | |||||||
Morgan Stanley Capital, Inc. | ||||||||
| 1,188,844 | 0.360%, 2/25/2037g | 629,134 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 1,775,588 | 5.746%, 5/25/2036 | 1,159,100 | ||||||
| 2,800,000 | 6.011%, 5/25/2036 | 1,699,236 | ||||||
| 1,296,385 | 5.580%, 11/25/2036 | 757,342 | ||||||
|
| |||||||
| Total | 4,244,812 | |||||||
|
| |||||||
| Basic Materials (0.2%) | ||||||||
ArcelorMittal | ||||||||
| 110,000 | 5.375%, 6/1/2013 | 111,105 | ||||||
Arch Coal, Inc. | ||||||||
| 775,000 | 7.000%, 6/15/2019e | 720,750 | ||||||
BHP Billiton Finance, Ltd. | ||||||||
| 58,000 | 1.000%, 2/24/2015 | 58,430 | ||||||
Dow Chemical Company | ||||||||
| 177,000 | 5.900%, 2/15/2015 | 195,271 | ||||||
FMG Resources Property, Ltd. | ||||||||
| 775,000 | 8.250%, 11/1/2019e,h | 825,375 | ||||||
Hexion US Finance Corporation/Hexion Nova Scotia Finance ULC | ||||||||
| 790,000 | 8.875%, 2/1/2018 | 811,725 | ||||||
Inmet Mining Corporation | ||||||||
| 390,000 | 7.500%, 6/1/2021h | 404,625 | ||||||
International Paper Company | ||||||||
| 117,000 | 5.300%, 4/1/2015 | 127,042 | ||||||
LyondellBasell Industries NV | ||||||||
| 805,000 | 5.000%, 4/15/2019 | 889,525 | ||||||
Novelis, Inc. | ||||||||
| 765,000 | 8.375%, 12/15/2017 | 843,412 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
| 116,000 | 1.800%, 10/23/2015h | 116,630 | ||||||
|
| |||||||
| Total | 5,103,890 | |||||||
|
| |||||||
| Capital Goods (0.2%) | ||||||||
Bombardier, Inc. | ||||||||
| 790,000 | 5.750%, 3/15/2022e,h | 811,725 | ||||||
Case New Holland, Inc. | ||||||||
| 775,000 | 7.875%, 12/1/2017 | 916,438 | ||||||
Caterpillar Financial Services Corporation | ||||||||
| 116,000 | 0.700%, 11/6/2015 | 115,704 | ||||||
| 116,000 | 1.250%, 11/6/2017 | 115,913 | ||||||
Eaton Corporation | ||||||||
| 116,000 | 0.950%, 11/2/2015h | 116,353 | ||||||
| 58,000 | 1.500%, 11/2/2017h | 58,118 | ||||||
| 87,000 | 4.000%, 11/2/2032h | 89,480 | ||||||
John Deere Capital Corporation | ||||||||
| 120,000 | 0.700%, 9/4/2015 | 119,997 | ||||||
Pentair Finance SA | ||||||||
| 120,000 | 1.875%, 9/15/2017h | 120,353 | ||||||
RBS Global, Inc. | ||||||||
| 790,000 | 8.500%, 5/1/2018 | 856,162 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
| 775,000 | 6.875%, 2/15/2021 | 835,062 | ||||||
Sealed Air Corporation | ||||||||
| 700,000 | 8.375%, 9/15/2021h | 799,750 | ||||||
Textron, Inc. | ||||||||
| 150,000 | 5.600%, 12/1/2017 | 169,834 | ||||||
United Technologies Corporation | ||||||||
| 165,000 | 6.125%, 7/15/2038 | 219,676 | ||||||
UR Financing Escrow Corporation | ||||||||
| 790,000 | 7.375%, 5/15/2020h | 867,025 | ||||||
|
| |||||||
| Total | 6,211,590 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (0.7%) | ||||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 650,849 | 5.500%, 11/25/2035 | 574,899 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
| 2,238,136 | 5.750%, 4/25/2037 | 1,864,790 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 582,700 | 6.500%, 8/25/2036 | 395,909 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
93
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (10.4%) | Value | ||||||
| Collateralized Mortgage Obligations (0.7%) - continued | |||||||
| $ | 436,755 | 6.000%, 1/25/2037 | $ | 361,604 | ||||
| 2,055,032 | 5.500%, 5/25/2037 | 1,533,701 | ||||||
| 1,610,580 | 7.000%, 10/25/2037 | 1,035,218 | ||||||
| Countrywide Home Loans, Inc. | ||||||||
| 965,371 | 5.750%, 4/25/2037 | 877,968 | ||||||
| Deutsche Alt-A Securities, Inc. | ||||||||
| 737,380 | 6.000%, 10/25/2021 | 677,207 | ||||||
| Deutsche Alt-A Securities, Inc. Alternative Loan Trust | ||||||||
| 340,559 | 5.500%, 10/25/2021 | 348,489 | ||||||
| HomeBanc Mortgage Trust | ||||||||
| 2,978,007 | 2.650%, 4/25/2037 | 1,918,691 | ||||||
| J.P. Morgan Mortgage Trust | ||||||||
| 200,186 | 3.002%, 10/25/2036 | 156,909 | ||||||
| 2,255,227 | 6.250%, 8/25/2037 | 1,560,479 | ||||||
| MASTR Alternative Loans Trust | ||||||||
| 498,814 | 6.500%, 7/25/2034 | 527,687 | ||||||
| 1,194,076 | 0.660%, 12/25/2035g | 632,896 | ||||||
| Merrill Lynch Alternative Note Asset Trust | ||||||||
| 502,966 | 6.000%, 3/25/2037 | 440,251 | ||||||
| Residential Asset Securitization Trust | ||||||||
| 1,456,936 | 0.590%, 8/25/2037g | 465,634 | ||||||
| Sequoia Mortgage Trust | ||||||||
| 469,120 | 4.923%, 9/20/2046 | 76,887 | ||||||
| 1,314,833 | 4.923%, 9/20/2046 | 1,083,236 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 310,861 | 2.697%, 9/25/2036 | 250,567 | ||||||
| 645,931 | 2.773%, 10/25/2036 | 513,320 | ||||||
| 4,337,734 | 2.423%, 11/25/2036 | 3,477,908 | ||||||
|
| |||||||
Total | 18,774,250 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (0.9%) | ||||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| 2,800,000 | 5.625%, 4/10/2049 | 3,274,821 | ||||||
| 3,675,000 | 5.685%, 6/10/2049 | 4,259,818 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 1,710,000 | 5.331%, 2/11/2044 | 1,935,604 | ||||||
| Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 3,900,000 | 5.322%, 12/11/2049 | 4,473,729 | ||||||
| Credit Suisse First Boston Mortgage Securities | ||||||||
| 2,800,000 | 5.542%, 1/15/2049 | 3,183,085 | ||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 3,350,000 | 5.509%, 9/15/2039 | 3,622,502 | ||||||
| Government National Mortgage Association | ||||||||
| 363,108 | 2.164%, 3/16/2033 | 368,971 | ||||||
| 300,893 | 3.214%, 1/16/2040 | 315,757 | ||||||
| Greenwich Capital Commercial Funding Corporation | ||||||||
| 1,750,000 | 5.867%, 12/10/2049 | 1,956,444 | ||||||
| J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 1,300,000 | 5.728%, 2/12/2049 | 1,413,369 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 900,000 | 5.406%, 3/15/2044 | 972,322 | ||||||
| Wachovia Bank Commercial Mortgage Trust | ||||||||
| 2,100,000 | 5.603%, 10/15/2048 | 2,300,073 | ||||||
|
| |||||||
Total | 28,076,495 | |||||||
|
| |||||||
| Communications Services (0.5%) | |||||||
| AMC Networks, Inc. | ||||||||
| 700,000 | 7.750%, 7/15/2021 | 801,500 | ||||||
| America Movil SAB de CV | ||||||||
| 116,000 | 3.125%, 7/16/2022 | 117,908 | ||||||
| American Tower Corporation | ||||||||
| 145,000 | 5.050%, 9/1/2020 | 162,610 | ||||||
| AT&T, Inc. | ||||||||
| 247,000 | 2.400%, 8/15/2016 | 257,762 | ||||||
| British Telecommunications plc | ||||||||
| 150,000 | 2.000%, 6/22/2015 | 154,203 | ||||||
| Cablevision Systems Corporation | ||||||||
| 775,000 | 8.625%, 9/15/2017 | 903,844 | ||||||
| CBS Corporation | ||||||||
| 116,000 | 8.875%, 5/15/2019 | 156,456 | ||||||
| CC Holdings GS V, LLC | ||||||||
| 58,000 | 2.381%, 12/15/2017h | 58,284 | ||||||
| CCO Holdings, LLC | ||||||||
| 775,000 | 7.000%, 1/15/2019 | 836,031 | ||||||
| CenturyLink, Inc. | ||||||||
| 240,000 | 5.800%, 3/15/2022 | 253,710 | ||||||
| Clear Channel Worldwide Holdings, Inc. | ||||||||
| 790,000 | 6.500%, 11/15/2022h | 819,625 | ||||||
| Comcast Corporation | ||||||||
| 75,000 | 4.650%, 7/15/2042 | 79,055 | ||||||
| Cox Communications, Inc. | ||||||||
| 115,000 | 3.250%, 12/15/2022h | 118,595 | ||||||
| Crown Castle Towers, LLC | ||||||||
| 100,000 | 4.174%, 8/15/2017h | 109,737 | ||||||
| Digicel, Ltd. | ||||||||
| 490,000 | 8.250%, 9/1/2017h | 524,300 | ||||||
| 300,000 | 7.000%, 2/15/2020h | 321,000 | ||||||
| Dish DBS Corporation | ||||||||
| 640,000 | 4.625%, 7/15/2017 | 667,200 | ||||||
| 640,000 | 5.875%, 7/15/2022 | 688,000 | ||||||
| Frontier Communications Corporation | ||||||||
| 700,000 | 8.125%, 10/1/2018 | 805,000 | ||||||
| Hughes Satellite Systems Corporation | ||||||||
| 775,000 | 6.500%, 6/15/2019 | 854,438 | ||||||
| Intelsat Jackson Holdings SA | ||||||||
| 775,000 | 7.250%, 4/1/2019 | 833,125 | ||||||
| NBCUniversal Media, LLC | ||||||||
| 179,000 | 2.875%, 4/1/2016 | 188,710 | ||||||
| 58,000 | 2.875%, 1/15/2023 | 58,247 | ||||||
| News America, Inc. | ||||||||
| 120,000 | 3.000%, 9/15/2022h | 120,540 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
94
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
Principal | Long-Term Fixed Income (10.4%) | Value | ||||||
| Communications Services (0.5%) - continued | ||||||||
| Nippon Telegraph & Telephone Corporation | ||||||||
| $ 120,000 | 1.400%, 7/18/2017 | $ | 121,452 | |||||
| SBA Telecommunications, Inc. | ||||||||
| 75,000 | 5.750%, 7/15/2020h | 79,688 | ||||||
| SBA Tower Trust | ||||||||
| 105,000 | 5.101%, 4/17/2017h | 118,395 | ||||||
| Sprint Nextel Corporation | ||||||||
| 340,000 | 9.000%, 11/15/2018h | 419,900 | ||||||
| 480,000 | 6.000%, 11/15/2022 | 493,200 | ||||||
| Telefonica Emisiones SAU | ||||||||
| 120,000 | 3.729%, 4/27/2015 | 123,288 | ||||||
| Time Warner Cable, Inc. | ||||||||
| 120,000 | 3.500%, 2/1/2015 | 126,737 | ||||||
| Univision Communications, Inc. | ||||||||
| 605,000 | 6.750%, 9/15/2022h | 624,662 | ||||||
| UPCB Finance V, Ltd. | ||||||||
| 775,000 | 7.250%, 11/15/2021h | 852,500 | ||||||
| Verizon Communications, Inc. | ||||||||
| 87,000 | 1.100%, 11/1/2017 | 86,609 | ||||||
| 247,000 | 5.500%, 2/15/2018 | 296,615 | ||||||
| 87,000 | 2.450%, 11/1/2022 | 87,029 | ||||||
| 58,000 | 3.850%, 11/1/2042 | 57,047 | ||||||
| Virgin Media Finance plc | ||||||||
| 790,000 | 5.250%, 2/15/2022 | 837,400 | ||||||
| Vivendi SA | ||||||||
| 180,000 | 2.400%, 4/10/2015h | 183,595 | ||||||
| Vodafone Group plc | ||||||||
| 124,000 | 1.250%, 9/26/2017 | 123,625 | ||||||
|
| |||||||
| Total | 14,521,622 | |||||||
|
| |||||||
| Consumer Cyclical (0.3%) | ||||||||
| Amazon.com, Inc. | ||||||||
| 58,000 | 1.200%, 11/29/2017 | 57,681 | ||||||
| 116,000 | 2.500%, 11/29/2022 | 114,332 | ||||||
| American Honda Finance Corporation | ||||||||
| 60,000 | 1.000%, 8/11/2015h | 60,338 | ||||||
| Chrysler Group, LLC | ||||||||
| 735,000 | 8.000%, 6/15/2019e | 801,150 | ||||||
| Federated Retail Holdings, Inc. | ||||||||
| 75,000 | 5.900%, 12/1/2016 | 88,126 | ||||||
| Ford Motor Credit Company, LLC | ||||||||
| 124,000 | 12.000%, 5/15/2015 | 152,210 | ||||||
| 906,000 | 5.000%, 5/15/2018 | 999,713 | ||||||
| Host Hotels and Resorts, LP | ||||||||
| 640,000 | 6.000%, 11/1/2020 | 704,000 | ||||||
| Hyundai Capital America | ||||||||
| 116,000 | 1.625%, 10/2/2015h | 116,697 | ||||||
| Lennar Corporation | ||||||||
| 700,000 | 12.250%, 6/1/2017 | 939,750 | ||||||
| Limited Brands, Inc. | ||||||||
| 595,000 | 5.625%, 2/15/2022 | 647,063 | ||||||
| Macy’s Retail Holdings, Inc. | ||||||||
| 57,000 | 3.875%, 1/15/2022 | 60,755 | ||||||
| 58,000 | 4.300%, 2/15/2043 | 56,434 | ||||||
| MGM Resorts International | ||||||||
| 800,000 | 7.625%, 1/15/2017e | 856,000 | ||||||
| Royal Caribbean Cruises, Ltd. | ||||||||
| 770,000 | 5.250%, 11/15/2022 | 814,275 | ||||||
Service Corporation International | ||||||||
| 715,000 | 8.000%, 11/15/2021 | 879,450 | ||||||
Six Flags Entertainment Corporation | ||||||||
| 1,075,000 | 5.250%, 1/15/2021h | 1,075,000 | ||||||
The Walt Disney Company | ||||||||
| 116,000 | 1.100%, 12/1/2017 | 116,243 | ||||||
Time Warner, Inc. | ||||||||
| 98,000 | 3.150%, 7/15/2015 | 103,635 | ||||||
Toyota Motor Credit Corporation | ||||||||
| 75,000 | 1.750%, 5/22/2017 | 76,802 | ||||||
Toys R Us Property Company II, LLC | ||||||||
| 770,000 | 8.500%, 12/1/2017 | 816,200 | ||||||
TRW Automotive, Inc. | ||||||||
| 69,000 | 7.250%, 3/15/2017h | 79,436 | ||||||
Viacom, Inc. | ||||||||
| 60,000 | 1.250%, 2/27/2015 | 60,586 | ||||||
Western Union Company | ||||||||
| 116,000 | 2.375%, 12/10/2015 | 116,537 | ||||||
|
| |||||||
| Total | 9,792,413 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.4%) | ||||||||
AbbVie, Inc. | ||||||||
| 116,000 | 1.200%, 11/6/2015h | 116,775 | ||||||
| 58,000 | 1.750%, 11/6/2017h | 58,631 | ||||||
| 87,000 | 2.000%, 11/6/2018h | 88,125 | ||||||
Amgen, Inc. | ||||||||
| 80,000 | 4.850%, 11/18/2014 | 86,093 | ||||||
Anheuser-Busch InBev | ||||||||
Worldwide, Inc. | ||||||||
| 60,000 | 0.800%, 7/15/2015 | 60,157 | ||||||
| 58,000 | 1.375%, 7/15/2017 | 58,611 | ||||||
BAT International Finance plc | ||||||||
| 150,000 | 1.400%, 6/5/2015h | 152,151 | ||||||
Biomet, Inc. | ||||||||
| 800,000 | 6.500%, 10/1/2020h | 795,000 | ||||||
Boston Scientific Corporation | ||||||||
| 160,000 | 5.450%, 6/15/2014 | 170,101 | ||||||
Bunge Limited Finance | ||||||||
Corporation | ||||||||
| 60,000 | 3.200%, 6/15/2017 | 62,618 | ||||||
Celgene Corporation | ||||||||
| 90,000 | 1.900%, 8/15/2017 | 91,616 | ||||||
| 90,000 | 3.250%, 8/15/2022 | 91,745 | ||||||
Community Health Systems, Inc. | ||||||||
| 715,000 | 8.000%, 11/15/2019 | 773,988 | ||||||
ConAgra Foods, Inc. | ||||||||
| 180,000 | 1.350%, 9/10/2015 | 179,994 | ||||||
CVS Caremark Corporation | ||||||||
| 73,000 | 6.125%, 9/15/2039 | 93,422 | ||||||
Express Scripts Holding Company | ||||||||
| 120,000 | 2.750%, 11/21/2014h | 123,791 | ||||||
| 120,000 | 3.125%, 5/15/2016 | 126,515 | ||||||
Fresenius Medical Care US Finance II, Inc. | ||||||||
| 700,000 | 5.625%, 7/31/2019h | 751,625 | ||||||
Gilead Sciences, Inc. | ||||||||
| 110,000 | 2.400%, 12/1/2014 | 113,435 | ||||||
| 110,000 | 3.050%, 12/1/2016 | 117,813 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
95
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (10.4%) | Value | ||||||
| Consumer Non-Cyclical (0.4%) - continued | |||||||
Grifols, Inc. | ||||||||
| $800,000 | 8.250%, 2/1/2018 | $ | 881,000 | |||||
HCA, Inc. | ||||||||
| 790,000 | 5.875%, 3/15/2022 | 859,125 | ||||||
Heineken NV | ||||||||
| 58,000 | 0.800%, 10/1/2015h | 58,108 | ||||||
| 58,000 | 1.400%, 10/1/2017h | 57,825 | ||||||
| 29,000 | 4.000%, 10/1/2042h | 28,048 | ||||||
JBS USA, LLC | ||||||||
| 760,000 | 7.250%, 6/1/2021h | 761,900 | ||||||
Kraft Foods, Inc. | ||||||||
| 150,000 | 1.625%, 6/4/2015h | 152,665 | ||||||
Laboratory Corporation of America Holdings | ||||||||
| 120,000 | 2.200%, 8/23/2017 | 123,173 | ||||||
Libbey Glass, Inc. | ||||||||
| 140,000 | 6.875%, 5/15/2020 | 150,500 | ||||||
Lorillard Tobacco Company | ||||||||
| 120,000 | 2.300%, 8/21/2017 | 121,339 | ||||||
McKesson Corporation | ||||||||
| 58,000 | 0.950%, 12/4/2015 | 58,082 | ||||||
Mylan, Inc. | ||||||||
| 116,000 | 7.875%, 7/15/2020h | 137,084 | ||||||
Rite Aid Corporation | ||||||||
| 1,005,000 | 7.500%, 3/1/2017 | 1,032,638 | ||||||
Roche Holdings, Inc. | ||||||||
| 120,000 | 7.000%, 3/1/2039h | 180,808 | ||||||
SABMiller Holdings, Inc. | ||||||||
| 181,000 | 1.850%, 1/15/2015h | 184,563 | ||||||
Safeway, Inc. | ||||||||
| 135,000 | 5.000%, 8/15/2019 | 145,244 | ||||||
Spectrum Brands Holdings, Inc. | ||||||||
| 700,000 | 9.500%, 6/15/2018 | 794,500 | ||||||
Teva Pharmaceutical Finance Company BV | ||||||||
| 80,000 | 2.400%, 11/10/2016 | 83,370 | ||||||
Teva Pharmaceutical Finance IV, LLC | ||||||||
| 137,000 | 1.700%, 11/10/2014 | 140,153 | ||||||
Tyson Foods, Inc. | ||||||||
| 150,000 | 4.500%, 6/15/2022 | 162,377 | ||||||
Valeant Pharmaceuticals International | ||||||||
| 775,000 | 6.875%, 12/1/2018h | 835,063 | ||||||
|
| |||||||
| Total | 11,059,771 | |||||||
|
| |||||||
| Energy (0.2%) | ||||||||
BP Capital Markets plc | ||||||||
| 58,000 | 0.700%, 11/6/2015 | 57,917 | ||||||
| 174,000 | 1.375%, 11/6/2017 | 174,153 | ||||||
| 116,000 | 4.500%, 10/1/2020 | 133,686 | ||||||
Concho Resources, Inc. | ||||||||
| 1,430,000 | 5.500%, 10/1/2022 | 1,508,650 | ||||||
Denbury Resources, Inc. | ||||||||
| 775,000 | 6.375%, 8/15/2021 | 852,500 | ||||||
EOG Resources, Inc. | ||||||||
| 120,000 | 2.625%, 3/15/2023 | 120,844 | ||||||
Harvest Operations Corporation | ||||||||
| 960,000 | 6.875%, 10/1/2017 | 1,065,600 | ||||||
Linn Energy, LLC | ||||||||
| 775,000 | 7.750%, 2/1/2021 | 825,375 | ||||||
Marathon Oil Corporation | ||||||||
| 174,000 | 0.900%, 11/1/2015 | 174,140 | ||||||
Marathon Petroleum Corporation | ||||||||
| 120,000 | 3.500%, 3/1/2016 | 127,741 | ||||||
Murphy Oil Corporation | ||||||||
| 87,000 | 2.500%, 12/1/2017 | 87,537 | ||||||
Phillips 66 | ||||||||
| 136,000 | 2.950%, 5/1/2017h | 144,138 | ||||||
Pioneer Natural Resources Company | ||||||||
| 60,000 | 5.875%, 7/15/2016 | 68,033 | ||||||
SandRidge Energy, Inc. | ||||||||
| 800,000 | 7.500%, 2/15/2023 | 856,000 | ||||||
Suncor Energy, Inc. | ||||||||
| 107,000 | 6.100%, 6/1/2018 | 130,521 | ||||||
Transocean, Inc. | ||||||||
| 60,000 | 5.050%, 12/15/2016 | 66,805 | ||||||
| 120,000 | 6.000%, 3/15/2018 | 139,175 | ||||||
Valero Energy Corporation | ||||||||
| 120,000 | 7.500%, 4/15/2032 | 153,960 | ||||||
Weatherford International, Ltd. | ||||||||
| 180,000 | 6.750%, 9/15/2040 | 204,118 | ||||||
|
| |||||||
| Total | 6,890,893 | |||||||
|
| |||||||
| Financials (0.6%) | ||||||||
ABN Amro North American Holding Preferred Capital Repackage Trust I | ||||||||
| 58,000 | 3.407%, 12/29/2049g,h,i | 58,000 | ||||||
Achmea Hypotheekbank NV | ||||||||
| 283,000 | 3.200%, 11/3/2014h | 296,666 | ||||||
Aetna, Inc. | ||||||||
| 58,000 | 1.500%, 11/15/2017 | 58,117 | ||||||
| 23,000 | 2.750%, 11/15/2022 | 22,811 | ||||||
Ally Financial, Inc. | ||||||||
| 790,000 | 5.500%, 2/15/2017 | 845,113 | ||||||
American Express Centurion Bank | ||||||||
| 130,000 | 0.875%, 11/13/2015 | 129,904 | ||||||
American Express Credit Corporation | ||||||||
| 75,000 | 2.375%, 3/24/2017 | 78,474 | ||||||
American International Group, Inc. | ||||||||
| 180,000 | 2.375%, 8/24/2015 | 185,240 | ||||||
| 177,000 | 3.800%, 3/22/2017 | 191,573 | ||||||
ANZ National International, Ltd. of London | ||||||||
| 181,000 | 3.125%, 8/10/2015h | 189,658 | ||||||
Associated Banc Corporation | ||||||||
| 60,000 | 1.875%, 3/12/2014 | 60,009 | ||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | ||||||||
| 58,000 | 4.125%, 11/9/2022h | 59,015 | ||||||
Bank of America Corporation | ||||||||
| 253,000 | 7.750%, 8/15/2015 | 286,768 | ||||||
| 174,000 | 1.500%, 10/9/2015 | 174,890 | ||||||
| 120,000 | 5.750%, 8/15/2016 | 131,224 | ||||||
| 180,000 | 5.750%, 12/1/2017 | 209,807 | ||||||
| 120,000 | 5.650%, 5/1/2018 | 139,613 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
96
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
Principal | Long-Term Fixed Income (10.4%) | Value | ||||||
| Financials (0.6%) - continued | ||||||||
Bank of New York Mellon Corporation | ||||||||
| $58,000 | 0.700%, 10/23/2015 | $ | 57,785 | |||||
Bank of Nova Scotia | ||||||||
| 450,000 | 1.450%, 7/26/2013h | 452,790 | ||||||
Barclays Bank plc | ||||||||
| 150,000 | 6.050%, 12/4/2017h | 165,958 | ||||||
BBVA US Senior SAU | ||||||||
| 87,000 | 4.664%, 10/9/2015 | 89,203 | ||||||
Berkshire Hathaway, Inc. | ||||||||
| 160,000 | 1.600%, 5/15/2017 | 163,085 | ||||||
BlackRock, Inc. | ||||||||
| 75,000 | 1.375%, 6/1/2015 | 76,170 | ||||||
BNP Paribas SA | ||||||||
| 176,000 | 2.375%, 9/14/2017 | 178,525 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
| 465,000 | 2.600%, 7/2/2015h | 488,622 | ||||||
Capital One Capital V | ||||||||
| 120,000 | 10.250%, 8/15/2039 | 120,000 | ||||||
Capital One Financial Corporation | ||||||||
| 116,000 | 2.150%, 3/23/2015 | 118,406 | ||||||
| 174,000 | 6.150%, 9/1/2016 | 199,060 | ||||||
CIT Group, Inc. | ||||||||
| 800,000 | 4.250%, 8/15/2017 | 823,794 | ||||||
Citigroup, Inc. | ||||||||
| 310,000 | 5.000%, 9/15/2014 | 326,147 | ||||||
| 180,000 | 4.750%, 5/19/2015 | 194,046 | ||||||
| 180,000 | 6.000%, 8/15/2017 | 212,066 | ||||||
| 100,000 | 8.500%, 5/22/2019 | 134,464 | ||||||
CNA Financial Corporation | ||||||||
| 145,000 | 7.350%, 11/15/2019 | 181,865 | ||||||
Credit Suisse New York, NY | ||||||||
| 180,000 | 5.500%, 5/1/2014 | 191,519 | ||||||
DDR Corporation | ||||||||
| 175,000 | 9.625%, 3/15/2016 | 214,830 | ||||||
Developers Diversified Realty Corporation | ||||||||
| 640,000 | 7.875%, 9/1/2020 | 820,435 | ||||||
Dexia Credit Local SA | ||||||||
| 450,000 | 2.750%, 4/29/2014h | 456,348 | ||||||
Duke Realty, LP | ||||||||
| 60,000 | 3.875%, 10/15/2022 | 61,096 | ||||||
Eksportfinans ASA | ||||||||
| 80,000 | 3.000%, 11/17/2014 | 79,365 | ||||||
| 111,000 | 5.500%, 5/25/2016 | 115,544 | ||||||
Fifth Third Bancorp | ||||||||
| 136,000 | 5.450%, 1/15/2017 | 152,377 | ||||||
General Electric Capital Corporation | ||||||||
| 177,000 | 2.150%, 1/9/2015 | 181,803 | ||||||
| 116,000 | 1.000%, 12/11/2015 | 116,467 | ||||||
| 127,000 | 0.551%, 1/8/2016g | 125,528 | ||||||
| 55,000 | 1.180%, 5/9/2016g | 55,070 | ||||||
| 80,000 | 2.300%, 4/27/2017 | 82,950 | ||||||
| 120,000 | 3.150%, 9/7/2022 | 122,603 | ||||||
| 180,000 | 6.750%, 3/15/2032 | 233,772 | ||||||
Goldman Sachs Group, Inc. | ||||||||
| 181,000 | 3.700%, 8/1/2015 | 191,026 | ||||||
| 58,000 | 1.600%, 11/23/2015 | 58,408 | ||||||
| 182,000 | 0.760%, 3/22/2016g | 176,661 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
| 30,000 | 7.300%, 11/1/2015 | 34,144 | ||||||
| 35,000 | 5.500%, 10/15/2016 | 39,175 | ||||||
| 177,000 | 4.000%, 10/15/2017 | 193,355 | ||||||
HCP, Inc. | ||||||||
| 145,000 | 2.625%, 2/1/2020 | 144,434 | ||||||
Health Care REIT, Inc. | ||||||||
| 58,000 | 2.250%, 3/15/2018 | 57,951 | ||||||
HSBC Holdings plc | ||||||||
| 100,000 | 6.500%, 5/2/2036 | 124,938 | ||||||
HSBC USA, Inc. | ||||||||
| 116,000 | 1.625%, 1/16/2018 | 116,105 | ||||||
Icahn Enterprises, LP | ||||||||
| 940,000 | 8.000%, 1/15/2018 | 1,009,325 | ||||||
ING Bank NV | ||||||||
| 75,000 | 2.000%, 9/25/2015h | 75,555 | ||||||
| 116,000 | 3.750%, 3/7/2017h | 123,281 | ||||||
ING Capital Funding Trust III | ||||||||
| 100,000 | 3.911%, 12/29/2049g,i | 94,937 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 175,000 | 4.650%, 6/1/2014 | 184,381 | ||||||
| 116,000 | 1.875%, 3/20/2015 | 118,086 | ||||||
| 116,000 | 3.450%, 3/1/2016 | 123,193 | ||||||
| 180,000 | 2.000%, 8/15/2017 | 183,869 | ||||||
J.P. Morgan Chase Bank NA | ||||||||
| 166,000 | 0.640%, 6/13/2016g | 161,379 | ||||||
KeyBank NA | ||||||||
| 174,000 | 7.413%, 5/6/2015 | 195,745 | ||||||
Liberty Mutual Group, Inc. | ||||||||
| 60,000 | 4.950%, 5/1/2022h | 65,393 | ||||||
| 116,000 | 6.500%, 5/1/2042h | 130,504 | ||||||
Liberty Property, LP | ||||||||
| 87,000 | 3.375%, 6/15/2023 | 86,083 | ||||||
Lloyds TSB Bank plc | ||||||||
| 116,000 | 6.500%, 9/14/2020h | 128,177 | ||||||
Morgan Stanley | ||||||||
| 120,000 | 4.750%, 4/1/2014e | 124,257 | ||||||
| 145,000 | 6.000%, 5/13/2014 | 153,551 | ||||||
| 252,000 | 4.750%, 3/22/2017 | 274,922 | ||||||
| 100,000 | 6.250%, 8/28/2017 | 114,455 | ||||||
| 203,000 | 4.875%, 11/1/2022 | 210,185 | ||||||
Murray Street Investment Trust I | ||||||||
| 210,000 | 4.647%, 3/9/2017 | 227,146 | ||||||
Omega Healthcare Investors, Inc. | ||||||||
| 640,000 | 5.875%, 3/15/2024 | 678,400 | ||||||
PNC Funding Corporation | ||||||||
| 116,000 | 3.300%, 3/8/2022 | 122,289 | ||||||
Prudential Financial, Inc. | ||||||||
| 87,000 | 5.625%, 6/15/2043 | 90,158 | ||||||
Realty Income Corporation | ||||||||
| 58,000 | 2.000%, 1/31/2018 | 57,952 | ||||||
Regions Bank | ||||||||
| 300,000 | 7.500%, 5/15/2018 | 361,875 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 105,000 | 5.625%, 3/15/2017 | 118,601 | ||||||
| 58,000 | 5.000%, 6/1/2021 | 63,864 | ||||||
Royal Bank of Scotland Group plc | ||||||||
| 120,000 | 5.050%, 1/8/2015 | 124,175 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
97
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (10.4%) | Value | ||||||
| Financials (0.6%) - continued | ||||||||
| $180,000 | 2.550%, 9/18/2015 | $ | 184,214 | |||||
Santander US Debt SAU | ||||||||
| 150,000 | 3.724%, 1/20/2015h | 150,681 | ||||||
Simon Property Group, Inc. | ||||||||
| 116,000 | 1.500%, 2/1/2018h | 115,345 | ||||||
SLM Corporation | ||||||||
| 58,000 | 6.250%, 1/25/2016 | 63,075 | ||||||
Societe Generale SA | ||||||||
| 120,000 | 5.200%, 4/15/2021h | 132,999 | ||||||
Svenska Handelsbanken AB | ||||||||
| 115,000 | 3.125%, 7/12/2016 | 122,027 | ||||||
Toronto-Dominion Bank | ||||||||
| 360,000 | 2.200%, 7/29/2015h | 375,120 | ||||||
U.S. Bancorp | ||||||||
| 80,000 | 1.650%, 5/15/2017 | 81,512 | ||||||
UBS AG/Stamford, Connecticut | ||||||||
| 116,000 | 5.875%, 12/20/2017 | 138,070 | ||||||
UnitedHealth Group, Inc. | ||||||||
| 58,000 | 0.850%, 10/15/2015 | 58,190 | ||||||
| 29,000 | 1.400%, 10/15/2017 | 29,045 | ||||||
Wachovia Corporation | ||||||||
| 275,000 | 5.625%, 10/15/2016 | 315,295 | ||||||
WEA Finance, LLC | ||||||||
| 177,000 | 5.700%, 10/1/2016h | 202,117 | ||||||
Wells Fargo & Company | ||||||||
| 115,000 | 2.100%, 5/8/2017 | 118,895 | ||||||
|
| |||||||
| Total | 18,733,095 | |||||||
|
| |||||||
| Foreign Government (<0.1%) | ||||||||
Export-Import Bank of Korea | ||||||||
| 116,000 | 1.250%, 11/20/2015 | 116,193 | ||||||
Kommunalbanken AS | ||||||||
| 175,000 | 2.750%, 5/5/2015h | 183,820 | ||||||
Korea Finance Corporation | ||||||||
| 60,000 | 2.250%, 8/7/2017 | 60,744 | ||||||
Kreditanstalt fuer Wiederaufbau | ||||||||
| 205,000 | 0.219%, 6/17/2013g | 205,008 | ||||||
Sweden Government International Bond | ||||||||
| 100,000 | 0.375%, 12/22/2015h | 99,830 | ||||||
|
| |||||||
| Total | 665,595 | |||||||
|
| |||||||
| Mortgage-Backed Securities (2.4%) | ||||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 9,360,000 | 2.500%, 1/1/2028c | 9,768,038 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 8,525,000 | 3.000%, 1/1/2043c | 8,912,622 | ||||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 10,820,000 | 2.500%, 1/1/2028c | 11,313,662 | ||||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 10,045,000 | 3.500%, 1/1/2043c | 10,709,304 | ||||||
| 14,972,500 | 4.000%, 1/1/2043c | 16,048,648 | ||||||
| 16,272,500 | 5.000%, 1/1/2043c | 17,625,152 | ||||||
|
| |||||||
| Total | 74,377,426 | |||||||
|
| |||||||
| Technology (0.1%) | ||||||||
Amkor Technology, Inc. | ||||||||
| 700,000 | 6.625%, 6/1/2021 | 698,250 | ||||||
Computer Sciences Corporation | ||||||||
| 90,000 | 2.500%, 9/15/2015 | 91,769 | ||||||
Equinix, Inc. | ||||||||
| 700,000 | 8.125%, 3/1/2018 | 771,750 | ||||||
First Data Corporation | ||||||||
| 790,000 | 7.375%, 6/15/2019h | 817,650 | ||||||
Freescale Semiconductor, Inc. | ||||||||
| 580,000 | 9.250%, 4/15/2018h | 633,650 | ||||||
Hewlett-Packard Company | ||||||||
| 120,000 | 2.125%, 9/13/2015 | 119,917 | ||||||
| 136,000 | 2.600%, 9/15/2017 | 132,485 | ||||||
Intel Corporation | ||||||||
| 116,000 | 4.000%, 12/15/2032 | 115,303 | ||||||
Microsoft Corporation | ||||||||
| 58,000 | 0.875%, 11/15/2017 | 57,695 | ||||||
| 116,000 | 2.125%, 11/15/2022 | 114,864 | ||||||
Oracle Corporation | ||||||||
| 116,000 | 1.200%, 10/15/2017 | 116,344 | ||||||
| 58,000 | 2.500%, 10/15/2022 | 58,522 | ||||||
Samsung Electronics America, Inc. | ||||||||
| 195,000 | 1.750%, 4/10/2017h | 197,291 | ||||||
Xerox Corporation | ||||||||
| 120,000 | 7.200%, 4/1/2016 | 137,805 | ||||||
|
| |||||||
| Total | 4,063,295 | |||||||
|
| |||||||
| Transportation (0.2%) | ||||||||
Avis Budget Car Rental, LLC | ||||||||
| 715,000 | 8.250%, 1/15/2019 | 790,075 | ||||||
Burlington Northern Santa Fe, LLC | ||||||||
| 45,000 | 3.050%, 9/1/2022 | 46,505 | ||||||
Continental Airlines, Inc. | ||||||||
| 1,020,000 | 6.750%, 9/15/2015h | 1,071,000 | ||||||
| 80,000 | 4.150%, 4/11/2024 | 84,700 | ||||||
CSX Corporation | ||||||||
| 126,000 | 6.250%, 4/1/2015 | 141,090 | ||||||
Delta Air Lines, Inc. | ||||||||
| 179,000 | 6.750%, 5/23/2017 | 184,370 | ||||||
| 30,000 | 4.750%, 5/7/2020 | 31,950 | ||||||
ERAC USA Finance, LLC | ||||||||
| 116,000 | 1.400%, 4/15/2016h | 116,778 | ||||||
Hertz Corporation | ||||||||
| 715,000 | 6.750%, 4/15/2019 | 780,244 | ||||||
Kansas City Southern de Mexico SA de CV | ||||||||
| 160,000 | 8.000%, 2/1/2018 | 176,400 | ||||||
Navios Maritime Acquisition Corporation | ||||||||
| 700,000 | 8.625%, 11/1/2017 | 656,250 | ||||||
Navios Maritime Holdings, Inc. | ||||||||
| 640,000 | 8.875%, 11/1/2017 | 638,400 | ||||||
|
| |||||||
| Total | 4,717,762 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
98
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (10.4%) | Value | ||||||
| U.S. Government and Agencies (3.4%) | ||||||||
FDIC Structured Sale Guaranteed Notes | ||||||||
| $185,000 | Zero Coupon, 1/7/2014h | $ | 184,081 | |||||
Federal Agricultural Mortgage Corporation | ||||||||
| 360,000 | 2.125%, 9/15/2015 | 373,861 | ||||||
Federal Home Loan Banks | ||||||||
| 2,830,000 | 0.375%, 1/29/2014 | 2,835,589 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 400,000 | 1.750%, 9/10/2015 | 414,655 | ||||||
| 2,835,000 | 0.750%, 1/12/2018 | 2,815,799 | ||||||
Federal National Mortgage Association | ||||||||
| 1,725,000 | 1.250%, 2/27/2014 | 1,748,006 | ||||||
| 920,000 | 0.500%, 5/27/2015 | 923,340 | ||||||
| 700,000 | 4.375%, 10/15/2015 | 777,246 | ||||||
| 2,800,000 | 0.375%, 12/21/2015e | 2,796,528 | ||||||
| 1,870,000 | 1.375%, 11/15/2016 | 1,926,455 | ||||||
| 1,535,000 | 0.875%, 12/20/2017 | 1,537,998 | ||||||
| 405,000 | 6.250%, 5/15/2029 | 581,819 | ||||||
Tennessee Valley Authority | ||||||||
| 390,000 | 5.250%, 9/15/2039 | 513,129 | ||||||
U.S. Treasury Bonds | ||||||||
| 920,000 | 7.625%, 2/15/2025 | 1,483,500 | ||||||
| 5,000,000 | 6.500%, 11/15/2026 | 7,592,970 | ||||||
| 2,250,000 | 4.375%, 5/15/2040 | 2,928,868 | ||||||
| 18,795,000 | 3.000%, 5/15/2042 | 19,147,406 | ||||||
| 560,000 | 2.750%, 8/15/2042 | 540,750 | ||||||
U.S. Treasury Bonds, TIPS | ||||||||
| 98,174 | 2.375%, 1/15/2025 | 132,436 | ||||||
| 64,214 | 2.125%, 2/15/2040 | 94,224 | ||||||
U.S. Treasury Notes | ||||||||
| 175,000 | 0.250%, 4/30/2014 | 175,075 | ||||||
| 5,815,000 | 0.750%, 6/15/2014 | 5,860,200 | ||||||
| 2,250,000 | 0.125%, 7/31/2014 | 2,246,220 | ||||||
| 6,410,000 | 2.500%, 4/30/2015 | 6,736,513 | ||||||
| 1,390,000 | 2.625%, 2/29/2016 | 1,487,408 | ||||||
| 3,250,000 | 1.000%, 10/31/2016j | 3,311,951 | ||||||
| 3,350,000 | 3.250%, 3/31/2017j | 3,725,304 | ||||||
| 8,950,000 | 0.750%, 6/30/2017 | 9,003,145 | ||||||
| 11,200,000 | 0.875%, 7/31/2019 | 11,061,747 | ||||||
| 8,840,000 | 1.625%, 8/15/2022 | 8,781,992 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
| 508,809 | 1.625%, 1/15/2015 | 540,570 | ||||||
| 453,206 | 0.125%, 4/15/2017 | 485,319 | ||||||
| 664,085 | 2.625%, 7/15/2017 | 795,761 | ||||||
| 557,935 | 1.875%, 7/15/2019 | 679,068 | ||||||
| 486,427 | 1.125%, 1/15/2021 | 571,324 | ||||||
| 597,887 | 0.125%, 1/15/2022 | 649,269 | ||||||
|
| |||||||
| Total | 105,459,526 | |||||||
|
| |||||||
| Utilities (0.2%) | ||||||||
AES Corporation | ||||||||
| 775,000 | 7.375%, 7/1/2021 | 860,250 | ||||||
American Electric Power Company, Inc. | ||||||||
| 116,000 | 1.650%, 12/15/2017 | 116,406 | ||||||
CenterPoint Energy, Inc. | ||||||||
| 160,000 | 6.850%, 6/1/2015 | 180,596 | ||||||
Crosstex Energy, LP/Crosstex Energy Finance Corporation | ||||||||
| 700,000 | 8.875%, 2/15/2018 | 756,000 | ||||||
DCP Midstream Operating, LP | ||||||||
| 58,000 | 2.500%, 12/1/2017 | 57,691 | ||||||
Energy Transfer Partners, LP | ||||||||
| 180,000 | 4.650%, 6/1/2021 | 197,772 | ||||||
Enterprise Products Operating, LLC | ||||||||
| 180,000 | 1.250%, 8/13/2015 | 181,105 | ||||||
Exelon Corporation | ||||||||
| 135,000 | 4.900%, 6/15/2015 | 146,951 | ||||||
FirstEnergy Solutions Corporation | ||||||||
| 255,000 | 4.800%, 2/15/2015 | 273,843 | ||||||
ITC Holdings Corporation | ||||||||
| 155,000 | 5.875%, 9/30/2016h | 176,148 | ||||||
Kinder Morgan Energy Partners, LP | ||||||||
| 120,000 | 5.300%, 9/15/2020 | 139,868 | ||||||
| 120,000 | 5.000%, 8/15/2042 | 127,173 | ||||||
MarkWest Energy Partners, LP | ||||||||
| 800,000 | 5.500%, 2/15/2023 | 868,000 | ||||||
MidAmerican Energy Holdings Company | ||||||||
| 120,000 | 6.500%, 9/15/2037 | 159,386 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
| 180,000 | 1.200%, 6/1/2015 | 181,280 | ||||||
NiSource Finance Corporation | ||||||||
| 180,000 | 5.950%, 6/15/2041 | 207,870 | ||||||
NRG Energy, Inc. | ||||||||
| 710,000 | 6.625%, 3/15/2023h | 759,700 | ||||||
ONEOK Partners, LP | ||||||||
| 60,000 | 2.000%, 10/1/2017 | 60,499 | ||||||
| 78,000 | 8.625%, 3/1/2019 | 103,564 | ||||||
Pacific Gas & Electric Company | ||||||||
| 177,000 | 5.625%, 11/30/2017 | 213,697 | ||||||
PPL Capital Funding, Inc. | ||||||||
| 116,000 | 3.500%, 12/1/2022 | 118,076 | ||||||
Sempra Energy | ||||||||
| 177,000 | 6.150%, 6/15/2018 | 217,148 | ||||||
Williams Partners, LP | ||||||||
| 60,000 | 7.250%, 2/1/2017 | 72,890 | ||||||
| 60,000 | 5.250%, 3/15/2020 | 69,117 | ||||||
|
| |||||||
| Total | 6,245,030 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $310,674,114) | 318,937,465 | |||||||
|
| |||||||
Shares | Collateral Held for Securities Loaned (1.1%) | |||||||
| 34,779,781 | Thrivent Cash Management Trust | 34,779,781 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $34,779,781) | 34,779,781 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
99
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares or Principal Amount | Short-Term Investments (11.7%) | Value | ||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 2,500,000 | 0.070%, 1/18/2013f,k | $ | 2,499,917 | |||||
| 500,000 | 0.075%, 2/6/2013f,k | 499,963 | ||||||
| 16,100,000 | 0.135%, 6/7/2013f,k | 16,090,549 | ||||||
| 333,230,361 | Thrivent Cash Management Trust | 333,230,361 | ||||||
U.S. Treasury Bills | ||||||||
| 6,000,000 | 0.120%, 1/17/2013f,k | 5,999,667 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 358,320,457 | |||||||
|
| |||||||
| Total Investments (cost $3,116,747,349) 103.3% | $ | 3,156,812,413 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (3.3%) | (100,822,034 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 3,055,990,379 | ||||||
|
| |||||||
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | All or a portion of the loan is unfunded. |
| c | Denotes investments purchased on a when-issued or delayed delivery basis. |
| d | Non-income producing security. |
| e | All or a portion of the security is on loan. |
| f | At December 31, 2012, $33,618,576 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| g | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2012. |
| h | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2012, the value of these investments was $22,424,203 or 0.7% of total net assets. |
| i | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| j | At December 31, 2012, $201,989 of investments were pledged as collateral with the custodian under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
| k | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. | ||
TIPS | - | Treasury Inflation Protected Security. | ||
ETF | - | Exchange Traded Fund. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows: | ||||
Gross unrealized appreciation | $ | 156,532,171 | ||
Gross unrealized depreciation | (120,176,949 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 36,355,222 | ||
Cost for federal income tax purposes | $ | 3,120,457,191 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
100
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Moderately Aggressive Allocation Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 3,522,091 | — | 3,522,091 | — | ||||||||||||
Capital Goods | 1,932,595 | — | 1,932,595 | — | ||||||||||||
Communications Services | 15,844,300 | — | 15,844,300 | — | ||||||||||||
Consumer Cyclical | 5,592,056 | — | 5,592,056 | — | ||||||||||||
Consumer Non-Cyclical | 9,965,430 | — | 9,965,430 | — | ||||||||||||
Energy | 2,986,736 | — | 2,986,736 | — | ||||||||||||
Financials | 2,304,798 | — | 2,304,798 | — | ||||||||||||
Technology | 5,550,114 | — | 5,550,114 | — | ||||||||||||
Transportation | 1,298,469 | — | 1,298,469 | — | ||||||||||||
Utilities | 2,463,925 | — | 2,463,925 | — | ||||||||||||
Mutual Funds | ||||||||||||||||
Equity Mutual Funds | 1,331,048,396 | 1,331,048,396 | — | — | ||||||||||||
Fixed Income Mutual Funds | 314,216,875 | 314,216,875 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 118,256,065 | 118,256,065 | — | — | ||||||||||||
Consumer Staples | 48,385,823 | 42,181,169 | 6,204,654 | — | ||||||||||||
Energy | 94,705,884 | 91,829,211 | 2,876,673 | — | ||||||||||||
Financials | 111,762,935 | 111,762,935 | — | — | ||||||||||||
Health Care | 91,631,839 | 91,631,839 | — | — | ||||||||||||
Industrials | 77,561,044 | 77,561,044 | — | — | ||||||||||||
Information Technology | 163,022,123 | 163,022,123 | — | — | ||||||||||||
Materials | 26,320,859 | 26,320,859 | — | — | ||||||||||||
Telecommunications Services | 5,077,289 | 5,077,289 | — | — | ||||||||||||
Utilities | 11,325,064 | 11,325,064 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 4,244,812 | — | 4,244,812 | — | ||||||||||||
Basic Materials | 5,103,890 | — | 5,103,890 | — | ||||||||||||
Capital Goods | 6,211,590 | — | 6,211,590 | — | ||||||||||||
Collateralized Mortgage Obligations | 18,774,250 | — | 18,774,250 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 28,076,495 | — | 28,076,495 | — | ||||||||||||
Communications Services | 14,521,622 | — | 14,521,622 | — | ||||||||||||
Consumer Cyclical | 9,792,413 | — | 9,792,413 | — | ||||||||||||
Consumer Non-Cyclical | 11,059,771 | — | 11,059,771 | — | ||||||||||||
Energy | 6,890,893 | — | 6,890,893 | — | ||||||||||||
Financials | 18,733,095 | — | 18,733,095 | — | ||||||||||||
Foreign Government | 665,595 | — | 665,595 | — | ||||||||||||
Mortgage-Backed Securities | 74,377,426 | — | 74,377,426 | — | ||||||||||||
Technology | 4,063,295 | — | 4,063,295 | — | ||||||||||||
Transportation | 4,717,762 | — | 4,717,762 | — | ||||||||||||
U.S. Government and Agencies | 105,459,526 | — | 105,459,526 | — | ||||||||||||
Utilities | 6,245,030 | — | 6,245,030 | — | ||||||||||||
Collateral Held for Securities Loaned | 34,779,781 | 34,779,781 | — | — | ||||||||||||
Short-Term Investments | 358,320,457 | 333,230,361 | 25,090,096 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,156,812,413 | $ | 2,752,243,011 | $ | 404,569,402 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 182,893 | 182,893 | — | — | ||||||||||||
Credit Default Swaps | 412,079 | — | 412,079 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 594,972 | $ | 182,893 | $ | 412,079 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 7,835,424 | 6,067,249 | 1,768,175 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 7,835,424 | $ | 6,067,249 | $ | 1,768,175 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
The accompanying Notes to Financial Statements are an integral part of this schedule.
101
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (110 | ) | March 2013 | ($24,242,634 | ) | ($24,251,563 | ) | ($8,929 | ) | |||||||||||
5-Yr. U.S. Treasury Bond Futures | (560 | ) | March 2013 | (69,788,292 | ) | (69,671,874 | ) | 116,418 | ||||||||||||
10-Yr. U.S. Treasury Bond Futures | (10 | ) | March 2013 | (1,334,032 | ) | (1,327,812 | ) | 6,220 | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | 355 | March 2013 | 52,993,154 | 52,362,500 | (630,654 | ) | ||||||||||||||
Eurex EURO STOXX 50 Futures | 4,786 | March 2013 | 166,966,037 | 165,197,862 | (1,768,175 | ) | ||||||||||||||
Mini MSCI EAFE Index Futures | 78 | March 2013 | 6,258,915 | 6,319,170 | 60,255 | |||||||||||||||
Russell 2000 Index Mini-Futures | (825 | ) | March 2013 | (69,727,820 | ) | (69,844,500 | ) | (116,680 | ) | |||||||||||
S&P 400 Index Mini-Futures | (1,178 | ) | March 2013 | (118,863,145 | ) | (119,932,180 | ) | (1,069,035 | ) | |||||||||||
S&P 500 Index Futures | 792 | March 2013 | 285,397,675 | 281,179,800 | (4,217,875 | ) | ||||||||||||||
S&P 500 Index Mini-Futures | 187 | March 2013 | 13,302,011 | 13,277,935 | (24,076 | ) | ||||||||||||||
Total Futures Contracts | ($ | 7,652,531 | ) | |||||||||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||||||||
CDX HY, Series 19, 5 Year, at 5.00%; Bank of America | Buy | 12/20/2017 | $ | 28,000,000 | $ | 363,691 | ($ | 157,693 | ) | $ | 205,998 | |||||||||||
CDX HY, Series 19, 5 Year, at 5.00%; J.P. Morgan Chase and Co. | Buy | 12/20/2017 | 16,200,000 | 210,421 | (91,237 | ) | 119,184 | |||||||||||||||
CDX HY, Series 19, 5 Year, at 5.00%; J.P. Morgan Chase and Co. | Buy | 12/20/2017 | 11,800,000 | 153,353 | (66,456 | ) | 86,897 | |||||||||||||||
Total Credit Default Swaps | ($ | 315,386 | ) | $ | 412,079 | |||||||||||||||||
| 1 | As the buyer of protection, Moderately Aggressive Allocation Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, Moderately Aggressive Allocation Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
| 2 | The maximum potential amount of future payments Moderately Aggressive Allocation Portfolio could be required to make as the seller or receive as the buyer of protection. |
| 3 | The values for credit indexes (CDX or LCDX) serve as an indicator of the current status of the payment/performance risk and represent the liability or profit for the credit default swap contract had the contract been closed as of the reporting date. When protection has been sold, the value of the swap will increase when the swap spread declines representing an improvement in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. When protection has been purchased, the value of the swap will increase when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread declines representing an improvement in the reference entity’s credit worthiness. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
102
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2012, for Moderately Aggressive Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 60,255 | |||
Total Equity Contracts | 60,255 | |||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 122,638 | ||||
Total Interest Rate Contracts | 122,638 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 412,079 | ||||
Total Credit Contracts | 412,079 | |||||
|
| |||||
Total Asset Derivatives | $ | 594,972 | ||||
|
| |||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 7,826,495 | ||||
Total Equity Contracts | 7,826,495 | |||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 8,929 | ||||
Total Interest Rate Contracts | 8,929 | |||||
|
| |||||
Total Liability Derivatives | $ | 7,835,424 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Moderately Aggressive Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 29,352,663 | ||||
Total Equity Contracts | 29,352,663 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (12,300 | ) | |||
Total Foreign Exchange Contracts | (12,300 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 2,065,339 | ||||
Total Interest Rate Contracts | 2,065,339 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | 694,620 | ||||
Total Credit Contracts | 694,620 | |||||
|
| |||||
Total | $ | 32,100,322 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
103
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2012, for Moderately Aggressive Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (10,284,992 | ) | |||
Total Equity Contracts | (10,284,992 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 444,010 | ||||
Total Interest Rate Contracts | 444,010 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 258,575 | ||||
Total Credit Contracts | 258,575 | |||||
|
| |||||
Total | ($ | 9,582,407 | ) | |||
|
| |||||
The following table presents Moderately Aggressive Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | ||||||||||||||||||
Equity Contracts | $ | 534,744,373 | 18.3 | % | N/A | N/A | N/A | N/A | ||||||||||||||||
Interest Rate Contracts | 84,886,054 | 2.9 | N/A | N/A | N/A | N/A | ||||||||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 265,142 | <0.1 | % | N/A | N/A | ||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 1,968,316 | 0.1 | % | ||||||||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Moderately Aggressive Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Partner Small Cap Growth | $ | 62,803,020 | $ | — | $ | — | 5,056,075 | $ | 70,145,452 | $ | — | |||||||||||||
Partner Small Cap Value | 64,077,118 | 447,567 | — | 3,460,967 | 73,284,587 | 447,567 | ||||||||||||||||||
Small Cap Stock | 54,297,906 | — | — | 4,528,335 | 59,414,925 | — | ||||||||||||||||||
Partner Mid Cap Value | 77,040,544 | 694,339 | — | 6,211,851 | 91,117,912 | 694,339 | ||||||||||||||||||
Mid Cap Stock | 161,523,408 | 432,674 | — | 14,108,172 | 184,608,248 | 432,674 | ||||||||||||||||||
Partner Worldwide Allocation | 136,290,534 | 37,148,910 | — | 46,787,231 | 403,235,751 | 5,651,933 | ||||||||||||||||||
Partner International Stock* | 178,908,630 | 9,002,028 | — | — | — | 9,002,028 | ||||||||||||||||||
Large Cap Value | 191,568,241 | 3,581,679 | — | 18,770,587 | 225,228,272 | 3,581,679 | ||||||||||||||||||
Large Cap Stock | 175,660,184 | 1,976,722 | — | 21,892,974 | 201,835,703 | 1,976,722 | ||||||||||||||||||
Equity Income Plus | 19,597,241 | 319,019 | — | 2,259,027 | 22,177,546 | 319,019 | ||||||||||||||||||
High Yield | 105,113,270 | 7,616,631 | 3,773,709 | 23,424,573 | 118,287,065 | 8,030,258 | ||||||||||||||||||
Income | 183,615,301 | 6,894,448 | 54,283,192 | 13,863,187 | 149,352,272 | 7,266,798 | ||||||||||||||||||
Limited Maturity Bond | 104,562,151 | 1,313,170 | 61,548,967 | 4,693,235 | 46,577,538 | 1,354,358 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | — | 137,629,733 | 102,849,952 | 34,779,781 | 34,779,781 | 216,568 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | — | 420,549,082 | 87,318,721 | 333,230,361 | 333,230,361 | 66,709 | ||||||||||||||||||
Total Value and Income Earned | 1,515,057,548 | 2,013,275,413 | 39,040,652 | |||||||||||||||||||||
| * | Effective July 27, 2012 Partner International Stock Portfolio merged into Partner Worldwide Allocation Portfolio, with Partner Worldwide Allocation Portfolio acquiring the assets and liabilities of the Partner International Stock Portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
104
Schedule of Investments as of December 31, 2012
| Principal Amount | Bank Loans (2.2%)a | Value | ||||||
| Basic Materials (0.1%) | |||||||
Arch Coal, Inc., Term Loan | ||||||||
| $ | 2,537,168 | 5.750%, 5/16/2018b,c | $ | 2,559,775 | ||||
FMG Resources August 2006 Pty., Ltd., Term Loan | ||||||||
| 2,214,450 | 5.250%, 10/18/2017 | 2,231,058 | ||||||
Ineos US Finance, LLC, Term Loan | ||||||||
| 3,453,376 | 6.500%, 5/4/2018 | 3,486,943 | ||||||
|
| |||||||
| Total | 8,277,776 | |||||||
|
| |||||||
| Capital Goods (0.1%) | |||||||
ADS Waste Holdings, Inc., Term Loan | ||||||||
| 2,375,000 | 5.250%, 10/9/2019 | 2,401,719 | ||||||
MRC Global, Inc., Term Loan | ||||||||
| 1,690,762 | 6.250%, 10/24/2019 | 1,694,989 | ||||||
|
| |||||||
| Total | 4,096,708 | |||||||
|
| |||||||
| Communications Services (0.7%) | |||||||
Atlantic Broadband Penn, Term Loan | ||||||||
| 1,355,000 | 4.500%, 9/10/2019 | 1,365,501 | ||||||
Charter Communications Operating, LLC, Term Loan | ||||||||
| 1,513,562 | 4.000%, 5/15/2019 | 1,525,292 | ||||||
Clear Channel Communications, Inc., Term Loan | ||||||||
| 2,410,000 | 3.862%, 1/29/2016 | 1,986,370 | ||||||
Cricket Communications, Inc., Term Loan | ||||||||
| 335,000 | 4.750%, 10/10/2019 | 336,397 | ||||||
Cumulus Media Holdings, Inc., Term Loan | ||||||||
| 3,530,000 | 0.000%, 9/17/2018b,c | 3,537,731 | ||||||
Fairpoint Communications, Inc., Term Loan | ||||||||
| 2,120,000 | 4.500%, 1/25/2016b,c | 2,046,605 | ||||||
Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 2,371,652 | 4.500%, 4/2/2018 | 2,389,938 | ||||||
Level 3 Financing, Inc., Term Loan | ||||||||
| 3,305,000 | 4.750%, 8/1/2019 | 3,318,782 | ||||||
Liberty Cablevision of Puerto Rico, Ltd., Term Loan | ||||||||
| 1,686,525 | 6.000%, 6/9/2017 | 1,694,958 | ||||||
MCC Georgia, LLC, Term Loan | ||||||||
| 1,351,613 | 4.000%, 1/20/2020 | 1,351,045 | ||||||
SBA Senior Finance II, LLC, Term Loan | ||||||||
| 1,020,000 | 3.750%, 9/28/2019 | 1,023,825 | ||||||
Toys R Us, Inc., Term Loan | ||||||||
| 2,719,207 | 5.250%, 5/25/2018 | 2,598,556 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
| 1,087,257 | 2.212%, 9/29/2014 | 1,085,224 | ||||||
| 1,885,000 | 4.462%, 3/31/2017 | 1,852,314 | ||||||
Van Wagner Communications, Inc., Term Loan | ||||||||
| 2,210,000 | 8.250%, 8/3/2018 | 2,230,266 | ||||||
WideOpenWest Finance, LLC, Term Loan | ||||||||
| 2,527,300 | 6.250%, 7/17/2018 | 2,553,154 | ||||||
Yankee Cable Acquisition, LLC, Term Loan | ||||||||
| 1,309,948 | 5.250%, 8/26/2016 | 1,323,034 | ||||||
Zayo Group, LLC, Term Loan | ||||||||
| 3,544,744 | 5.250%, 7/2/2019 | 3,583,523 | ||||||
|
| |||||||
| Total | 35,802,515 | |||||||
|
| |||||||
| Consumer Cyclical (0.2%) | |||||||
Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
| 2,135,117 | 5.500%, 2/23/2017 | 2,149,977 | ||||||
Chrysler Group, LLC, Term Loan | ||||||||
| 1,890,604 | 6.000%, 5/24/2017 | 1,927,887 | ||||||
MGM Resorts International, Term Loan | ||||||||
| 2,670,000 | 6.297%, 12/13/2019b,c | 2,696,033 | ||||||
Rock Ohio Caesars, LLC, 18 month Delayed Draw | ||||||||
| 310,000 | 5.739%, 8/19/2017b,c | 319,300 | ||||||
Rock Ohio Caesars, LLC, 6 month Delayed Draw | ||||||||
| 186,000 | 5.739%, 8/19/2017b,c | 191,580 | ||||||
Rock Ohio Caesars, LLC, Term Loan | ||||||||
| 2,384,000 | 8.500%, 8/19/2017 | 2,455,520 | ||||||
Seven Seas Cruises S de RL, LLC, Term Loan | ||||||||
| 3,011,875 | 6.250%, 12/21/2018 | 3,049,524 | ||||||
|
| |||||||
| Total | 12,789,821 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.4%) | |||||||
Bausch & Lomb, Inc., Term Loan | ||||||||
| 1,686,525 | 5.250%, 5/17/2019 | 1,698,567 | ||||||
Biomet, Inc., Term Loan | ||||||||
| 2,645,000 | 3.486%, 7/25/2017b,c | 2,657,855 | ||||||
Ceridian Corporation, Term Loan | ||||||||
| 2,035,000 | 5.959%, 5/9/2017 | 2,029,546 | ||||||
CHS/Community Health Systems, Inc., Term Loan | ||||||||
| 1,695,000 | 3.811%, 1/25/2017 | 1,704,102 | ||||||
DJO Finance, LLC, Term Loan | ||||||||
| 1,686,505 | 6.250%, 9/15/2017 | 1,692,829 | ||||||
Grifols, Inc., Term Loan | ||||||||
| 1,683,961 | 4.500%, 6/1/2017 | 1,698,460 | ||||||
Hologic, Inc., Term Loan | ||||||||
| 2,029,912 | 4.500%, 8/1/2019 | 2,052,384 | ||||||
Reynolds Group Holdings, Inc., Term Loan | ||||||||
| 339,150 | 4.750%, 9/28/2018b,c | 342,840 | ||||||
Roundy’s Supermarkets, Inc., Term Loan | ||||||||
| 2,902,314 | 5.750%, 2/13/2019 | 2,723,648 | ||||||
SUPERVALU, Inc., Term Loan | ||||||||
| 2,730,000 | 6.750%, 8/10/2018b,c | 2,767,019 | ||||||
Visant Corporation, Term Loan | ||||||||
| 2,541,482 | 5.250%, 12/22/2016 | 2,303,218 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
105
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Bank Loans (2.2%)a | Value | ||||||
| Consumer Non-Cyclical (0.4%) - continued | |||||||
Warner Chilcott Company, LLC, Term Loan | ||||||||
| $ | 131,767 | 4.250%, 3/15/2018 | $ | 132,811 | ||||
Warner Chilcott Corporation, Term Loan | ||||||||
| 263,534 | 4.250%, 3/15/2018 | 265,621 | ||||||
| 100,083 | 4.250%, 3/15/2018 | 100,875 | ||||||
WC Luxco Sarl, Term Loan | ||||||||
| 181,180 | 4.250%, 3/15/2018 | 182,614 | ||||||
|
| |||||||
| Total | 22,352,389 | |||||||
|
| |||||||
| Energy (0.1%) | |||||||
Cheasapeake Energy Corporation, Term Loan | ||||||||
| 5,600,000 | 5.371%, 12/2/2017b,c | 5,601,400 | ||||||
NTELOS, Inc., Term Loan | ||||||||
| 1,275,000 | 0.000%, 11/9/2019b,c | 1,224,000 | ||||||
Plains Exploration & Production Company, Term Loan | ||||||||
| 690,000 | 4.000%, 10/15/2019 | 692,160 | ||||||
|
| |||||||
| Total | 7,517,560 | |||||||
|
| |||||||
| Financials (0.1%) | |||||||
Nuveen Investments, Inc., Term Loan | ||||||||
| 2,125,000 | 4.649%, 5/13/2017 b,c | 2,132,969 | ||||||
| 1,000,000 | 5.811%, 5/13/2017b,c | 1,003,500 | ||||||
WaveDivision Holdings, LLC, Term Loan | ||||||||
| 2,375,000 | 5.500%, 8/9/2019 | 2,397,206 | ||||||
|
| |||||||
| Total | 5,533,675 | |||||||
|
| |||||||
| Technology (0.3%) | |||||||
First Data Corporation Extended, Term Loan | ||||||||
| 4,025,000 | 4.211%, 3/26/2018 | 3,823,307 | ||||||
First Data Corporation, Term Loan | ||||||||
| 1,355,000 | 5.211%, 9/24/2018 | 1,326,938 | ||||||
Freescale Semiconductor, Inc., Term Loan | ||||||||
| 3,279,489 | 6.000%, 2/28/2019 | 3,249,252 | ||||||
Infor US, Inc., Term Loan | ||||||||
| 1,851,547 | 5.250%, 4/5/2018 | 1,866,748 | ||||||
SunGard Data Systems, Inc., Term Loan | ||||||||
| 3,875,000 | 3.568%, 12/4/2019b,c | 3,904,063 | ||||||
|
| |||||||
| Total | 14,170,308 | |||||||
|
| |||||||
| Transportation (0.1%) | |||||||
Delta Air Lines, Inc., Term Loan | ||||||||
| 3,165,605 | 5.500%, 4/20/2017 b,c | 3,191,309 | ||||||
|
| |||||||
| Total | 3,191,309 | |||||||
|
| |||||||
| Utilities (0.1%) | |||||||
Calpine Corporation, Term Loan | ||||||||
| 2,703,225 | 4.500%, 10/9/2019 | 2,725,067 | ||||||
NGPL PipeCo, LLC, Term Loan | ||||||||
| 2,449,286 | 6.750%, 9/15/2017 | 2,501,333 | ||||||
|
| |||||||
| Total | 5,226,400 | |||||||
|
| |||||||
Total Bank Loans (cost $118,429,410) | 118,958,461 | |||||||
|
| |||||||
| Shares | Mutual Funds (51.0%) | |||||||
| Equity Mutual Funds (27.1%) | |||||||
| 53,338,438 | Thrivent Partner Worldwide Allocation Portfolio | 459,697,332 | ||||||
| 5,698,281 | Thrivent Partner Small Cap Growth Portfoliod | 79,055,103 | ||||||
| 4,264,932 | Thrivent Partner Small Cap Value Portfolio | 90,308,232 | ||||||
| 3,596,908 | Thrivent Small Cap Stock Portfoliod | 47,193,950 | ||||||
| 5,904,171 | Thrivent Partner Mid Cap Value Portfolio | 86,604,747 | ||||||
| 11,654,145 | Thrivent Mid Cap Stock Portfolio | 152,496,820 | ||||||
| 26,115,820 | Thrivent Large Cap Value Portfolio | 313,363,721 | ||||||
| 20,286,779 | Thrivent Large Cap Stock Portfolio | 187,027,872 | ||||||
| 2,977,010 | Thrivent Equity Income Plus Portfolio | 29,226,201 | ||||||
|
| |||||||
| Total | 1,444,973,978 | |||||||
|
| |||||||
| Fixed Income Mutual Funds (23.9%) | |||||||
| 36,351,058 | Thrivent High Yield Portfolio | 183,561,939 | ||||||
| 61,528,827 | Thrivent Income Portfolio | 662,868,511 | ||||||
| 43,476,135 | Thrivent Limited Maturity Bond Portfolio | 431,474,553 | ||||||
|
| |||||||
| Total | 1,277,905,003 | |||||||
|
| |||||||
Total Mutual Funds (cost $2,673,493,838) | 2,722,878,981 | |||||||
|
| |||||||
Common Stock (16.4%) | ||||||||
| Consumer Discretionary (2.5%) | |||||||
| 6,489 | Abercrombie & Fitch Company | 311,277 | ||||||
| 42,892 | Amazon.com, Inc.d | 10,771,897 | ||||||
| 32,900 | Ann, Inc.d | 1,113,336 | ||||||
| 16,950 | Arctic Cat, Inc.d | 565,960 | ||||||
| 22,700 | AutoZone, Inc.d | 8,045,561 | ||||||
| 17,700 | Bally Technologies, Inc.d | 791,367 | ||||||
| 25,500 | Bed Bath & Beyond, Inc.d | 1,425,705 | ||||||
| 20,150 | CBS Corporation | 766,707 | ||||||
| 14,200 | Charter Communications, Inc.d | 1,082,608 | ||||||
| 53,100 | Cheesecake Factory, Inc. | 1,737,432 | ||||||
| 66,800 | Chico’s FAS, Inc. | 1,233,128 | ||||||
| 48,800 | Children’s Place Retail Stores, Inc.d | 2,161,352 | ||||||
| 25,700 | Coinstar, Inc.d,e | 1,336,657 | ||||||
| 460,094 | Comcast Corporation | 17,198,314 | ||||||
| 4,712 | Darden Restaurants, Inc. | 212,370 | ||||||
| 51,628 | Delphi Automotive plcd | 1,974,771 | ||||||
| 13,400 | Dillard’s, Inc. | 1,122,518 | ||||||
| 12,137 | Discovery Communications, Inc.d | 770,457 | ||||||
| 19,900 | DISH Network Corporation | 724,360 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
106
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (16.4%) | Value | ||||||
| Consumer Discretionary (2.5%) - continued | ||||||||
| 33,980 | Dollar Tree, Inc.d | $ | 1,378,229 | |||||
| 38,000 | Expedia, Inc. | 2,335,100 | ||||||
| 26,300 | Express, Inc.d | 396,867 | ||||||
| 85,026 | Foot Locker, Inc. | 2,731,035 | ||||||
| 73,900 | Gap, Inc. | 2,293,856 | ||||||
| 130,578 | GNC Holdings, Inc. | 4,345,636 | ||||||
| 20,200 | Hanesbrands, Inc.d | 723,564 | ||||||
| 9,820 | Harley-Davidson, Inc. | 479,609 | ||||||
| 129,400 | Home Depot, Inc. | 8,003,390 | ||||||
| 7,100 | HSN, Inc. | 391,068 | ||||||
| 12,220 | iShares Dow Jones US Home Construction Index Fund | 258,575 | ||||||
| 266,965 | Las Vegas Sands Corporation | 12,323,104 | ||||||
| 40,483 | Life Time Fitness, Inc.d | 1,992,168 | ||||||
| 10,145 | Limited Brands, Inc. | 477,424 | ||||||
| 88,400 | Lowe’s Companies, Inc. | 3,139,968 | ||||||
| 44,200 | Macy’s, Inc. | 1,724,684 | ||||||
| 5,600 | Marriott International, Inc. | 208,712 | ||||||
| 9,400 | Marriott Vacations Worldwide Corporationd | 391,698 | ||||||
| 52,600 | Meredith Corporatione | 1,812,070 | ||||||
| 71,390 | News Corporation | 1,873,274 | ||||||
| 229,200 | NIKE, Inc. | 11,826,720 | ||||||
| 17,700 | Omnicom Group, Inc. | 884,292 | ||||||
| 13,933 | O’Reilly Automotive, Inc.d | 1,245,889 | ||||||
| 2,891 | Panera Bread Companyd | 459,177 | ||||||
| 12,500 | Penn National Gaming, Inc.d | 613,875 | ||||||
| 14,102 | PetSmart, Inc. | 963,731 | ||||||
| 123,372 | Pier 1 Imports, Inc. | 2,467,440 | ||||||
| 9,100 | Pool Corporation | 385,112 | ||||||
| 1,600 | Priceline.com, Inc.d | 993,920 | ||||||
| 66,900 | Pulte Group, Inc.d | 1,214,904 | ||||||
| 221,700 | Sally Beauty Holdings, Inc.d | 5,225,469 | ||||||
| 61,800 | Smith & Wesson Holding Corporationd,e | 521,592 | ||||||
| 20,200 | Tempur-Pedic International, Inc.d | 636,098 | ||||||
| 20,410 | Time Warner Cable, Inc. | 1,983,648 | ||||||
| 32,300 | TJX Companies, Inc. | 1,371,135 | ||||||
| 34,300 | Toll Brothers, Inc.d | 1,108,919 | ||||||
| 6,081 | Tractor Supply Company | 537,317 | ||||||
| 14,300 | Valassis Communications, Inc.e | 368,654 | ||||||
| 1,443 | VF Corporation | 217,850 | ||||||
| 11,491 | WMS Industries, Inc.d | 201,093 | ||||||
| 3,100 | Wynn Resorts, Ltd. | 348,719 | ||||||
|
| |||||||
| Total | 134,201,362 | |||||||
|
| |||||||
| Consumer Staples (1.1%) | ||||||||
| 92,384 | Anheuser-Busch InBev NV ADR | 8,075,286 | ||||||
| 40,085 | Annie’s, Inc.d,e | 1,340,042 | ||||||
| 77,400 | Archer-Daniels-Midland Company | 2,119,986 | ||||||
| 71,245 | British American Tobacco plc ADR | 7,213,556 | ||||||
| 35,400 | Bunge, Ltd. | 2,573,226 | ||||||
| 44,300 | Campbell Soup Companye | 1,545,627 | ||||||
| 4,315 | Clorox Company | 315,944 | ||||||
| 25,900 | Colgate-Palmolive Company | 2,707,586 | ||||||
| 59,100 | Constellation Brands, Inc.d | 2,091,549 | ||||||
| 110,180 | CVS Caremark Corporation | 5,327,203 | ||||||
| 8,430 | Diageo plc ADR | 982,769 | ||||||
| 15,200 | Energizer Holdings, Inc. | 1,215,696 | ||||||
| 47,300 | Herbalife, Ltd.e | 1,558,062 | ||||||
| 96,168 | Ingredion, Inc. | 6,196,104 | ||||||
| 12,930 | Kimberly-Clark Corporation | 1,091,680 | ||||||
| 18,867 | Kraft Foods Group, Inc. | 857,883 | ||||||
| 56,602 | Mondelez International, Inc. | 1,441,653 | ||||||
| 120,900 | Nestle SA | 7,887,936 | ||||||
| 28,800 | Nu Skin Enterprises, Inc.e | 1,067,040 | ||||||
| 14,516 | Philip Morris International, Inc. | 1,214,118 | ||||||
| 24,900 | Safeway, Inc.e | 450,441 | ||||||
| 8,400 | Spectrum Brands Holdings, Inc.d | 377,412 | ||||||
| 12,046 | TreeHouse Foods, Inc.d | 627,958 | ||||||
| 29,360 | Unilever NV ADRe | 1,124,488 | ||||||
| 8,700 | USANA Health Sciences, Inc.d,e | 286,491 | ||||||
| 4,943 | Whole Foods Market, Inc. | 451,444 | ||||||
|
| |||||||
| Total | 60,141,180 | |||||||
|
| |||||||
| Energy (2.3%) | ||||||||
| 250,413 | Alpha Natural Resources, Inc.d,e | 2,439,023 | ||||||
| 13,700 | Apache Corporation | 1,075,450 | ||||||
| 39,100 | Baker Hughes, Inc. | 1,596,844 | ||||||
| 117,885 | BP plc ADR | 4,908,731 | ||||||
| 9,800 | Cameron International Corporationd | 553,308 | ||||||
| 51,880 | Chevron Corporation | 5,610,303 | ||||||
| 24,925 | Concho Resources, Inc.d | 2,007,958 | ||||||
| 224,600 | Consol Energy, Inc. | 7,209,660 | ||||||
| 8,200 | CVR Energy, Inc.d | 400,078 | ||||||
| 14,300 | Delek US Holdings, Inc. | 362,076 | ||||||
| 35,400 | Dril-Quip, Inc.d | 2,585,970 | ||||||
| 59,500 | Ensco plc | 3,527,160 | ||||||
| 62,457 | EOG Resources, Inc. | 7,544,181 | ||||||
| 30,040 | EQT Corporation | 1,771,759 | ||||||
| 90,900 | Exxon Mobil Corporation | 7,867,395 | ||||||
| 67,366 | Helix Energy Solutions Group, Inc.d | 1,390,434 | ||||||
| 38,100 | Helmerich & Payne, Inc. | 2,133,981 | ||||||
| 53,200 | HollyFrontier Corporation | 2,476,460 | ||||||
| 481,031 | Marathon Oil Corporation | 14,748,411 | ||||||
| 42,100 | Marathon Petroleum Corporation | 2,652,300 | ||||||
| 29,500 | National Oilwell Varco, Inc. | 2,016,325 | ||||||
| 93,400 | Oasis Petroleum, Inc.d | 2,970,120 | ||||||
| 24,800 | Occidental Petroleum Corporation | 1,899,928 | ||||||
| 39,227 | Oil States International, Inc.d | 2,806,300 | ||||||
| 40,600 | Patterson-UTI Energy, Inc.e | 756,378 | ||||||
| 89,130 | Peabody Energy Corporation | 2,371,749 | ||||||
| 86,000 | Petroleo Brasileiro SA ADR | 1,674,420 | ||||||
| 208,096 | Petroleum Geo-Services ASA | 3,624,488 | ||||||
| 7,300 | Phillips 66 | 387,630 | ||||||
| 4,900 | Range Resources Corporation | 307,867 | ||||||
| 113,470 | Schlumberger, Ltd. | 7,862,336 | ||||||
| 36,700 | SM Energy Company | 1,916,107 | ||||||
| 27,900 | Southwestern Energy Companyd | 932,139 | ||||||
| 70,700 | Ultra Petroleum Corporationd,e | 1,281,791 | ||||||
| 100,800 | Valero Energy Corporation | 3,439,296 | ||||||
| 1,048,852 | Weatherford International, Ltd.d | 11,736,654 | ||||||
| 42,600 | Western Refining, Inc.e | 1,200,894 | ||||||
|
| |||||||
| Total | 120,045,904 | |||||||
|
| |||||||
| Financials (2.5%) | ||||||||
| 21,220 | ACE, Ltd. | 1,693,356 | ||||||
| 24,335 | Affiliated Managers Group, Inc.d | 3,167,200 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
107
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (16.4%) | Value | ||||||
| Financials (2.5%) - continued | ||||||||
| 10,800 | Allied World Assurance Company Holdings AG | $ | 851,040 | |||||
| 25,710 | Allstate Corporation | 1,032,771 | ||||||
| 20,400 | American Assets Trust, Inc. | 569,772 | ||||||
| 12,700 | American Campus Communities, Inc. | 585,851 | ||||||
| 134,800 | Ameriprise Financial, Inc. | 8,442,524 | ||||||
| 158,700 | Annaly Capital Management, Inc. | 2,228,148 | ||||||
| 14,900 | Aspen Insurance Holdings, Ltd. | 477,992 | ||||||
| 15,800 | Axis Capital Holdings, Ltd. | 547,312 | ||||||
| 277,780 | Bank of America Corporation | 3,222,248 | ||||||
| 12,400 | Banner Corporation | 381,052 | ||||||
| 29,800 | BioMed Realty Trust, Inc. | 576,034 | ||||||
| 22,259 | Boston Properties, Inc. | 2,355,225 | ||||||
| 14,440 | Capital One Financial Corporation | 836,509 | ||||||
| 61,400 | CapitalSource, Inc. | 465,412 | ||||||
| 38,900 | CBL & Associates Properties, Inc. | 825,069 | ||||||
| 212,877 | Citigroup, Inc. | 8,421,414 | ||||||
| 130,955 | CME Group, Inc. | 6,640,728 | ||||||
| 46,200 | Comerica, Inc. | 1,401,708 | ||||||
| 85,200 | DCT Industrial Trust, Inc. | 552,948 | ||||||
| 29,929 | Discover Financial Services | 1,153,763 | ||||||
| 24,100 | Douglas Emmett, Inc. | 561,530 | ||||||
| 8,100 | Endurance Specialty Holdings, Ltd. | 321,489 | ||||||
| 8,100 | Equity Lifestyle Properties, Inc. | 545,049 | ||||||
| 39,564 | Equity Residential | 2,242,092 | ||||||
| 16,600 | Extra Space Storage, Inc. | 604,074 | ||||||
| 169,200 | Fifth Third Bancorp | 2,570,148 | ||||||
| 52,763 | HCC Insurance Holdings, Inc. | 1,963,311 | ||||||
| 17,100 | Highwoods Properties, Inc. | 571,995 | ||||||
| 55,646 | Host Hotels & Resorts, Inc. | 871,973 | ||||||
| 471,700 | Huntington Bancshares, Inc. | 3,014,163 | ||||||
| 65,410 | Invesco, Ltd. | 1,706,547 | ||||||
| 149,078 | J.P. Morgan Chase & Company | 6,554,960 | ||||||
| 122,401 | Kimco Realty Corporation | 2,364,787 | ||||||
| 88,550 | KKR & Company, LP | 1,348,616 | ||||||
| 20,207 | Lazard, Ltd. | 602,977 | ||||||
| 7,100 | M&T Bank Corporatione | 699,137 | ||||||
| 81,490 | MetLife, Inc. | 2,684,281 | ||||||
| 17,100 | Montpelier Re Holdings, Inc. | 390,906 | ||||||
| 29,800 | NASDAQ OMX Group, Inc. | 745,298 | ||||||
| 16,300 | Northern Trust Corporation | 817,608 | ||||||
| 55,200 | Och-Ziff Capital Management Group, LLC | 524,400 | ||||||
| 66,700 | Ocwen Financial Corporationd | 2,307,153 | ||||||
| 23,700 | Pebblebrook Hotel Trust | 547,470 | ||||||
| 34,400 | Piedmont Office Realty Trust, Inc. | 620,920 | ||||||
| 147,909 | Popular, Inc.d | 3,075,028 | ||||||
| 24,300 | PrivateBancorp, Inc. | 372,276 | ||||||
| 10,200 | ProAssurance Corporation | 430,338 | ||||||
| 9,400 | Protective Life Corporation | 268,652 | ||||||
| 16,392 | Public Storage, Inc. | 2,376,184 | ||||||
| 16,729 | Simon Property Group, Inc. | 2,644,688 | ||||||
| 50,000 | SLM Corporation | 856,500 | ||||||
| 120,400 | SPDR S&P 500 ETF Trust | 17,159,408 | ||||||
| 107,550 | State Street Corporation | 5,055,925 | ||||||
| 58,570 | SVB Financial Groupd | 3,278,163 | ||||||
| 3,700 | T. Rowe Price Group, Inc. | 240,981 | ||||||
| 7,248 | Taubman Centers, Inc. | 570,563 | ||||||
| 23,300 | Tower Group, Inc. | 414,041 | ||||||
| 27,496 | Vornado Realty Trust | 2,201,880 | ||||||
| 19,034 | W.R. Berkley Corporation | 718,343 | ||||||
| 258,813 | Wells Fargo & Company | 8,846,228 | ||||||
| 231,883 | Zions Bancorporation | 4,962,296 | ||||||
|
| |||||||
| Total | 135,080,454 | |||||||
|
| |||||||
| Health Care (2.0%) | ||||||||
| 8,600 | Aetna, Inc. | 398,180 | ||||||
| 1,348 | Alexion Pharmaceuticals, Inc.d | 126,456 | ||||||
| 51,600 | Align Technology, Inc.d | 1,431,900 | ||||||
| 11,529 | AmerisourceBergen Corporation | 497,822 | ||||||
| 33,200 | Amgen, Inc. | 2,865,824 | ||||||
| 21,460 | Baxter International, Inc. | 1,430,523 | ||||||
| 89,800 | Biogen Idec, Inc.d | 13,170,966 | ||||||
| 6,900 | BioMarin Pharmaceutical, Inc.d | 339,825 | ||||||
| 6,601 | C.R. Bard, Inc. | 645,182 | ||||||
| 8,792 | Catamaran Corporationd | 414,191 | ||||||
| 32,800 | Celgene Corporationd | 2,582,016 | ||||||
| 12,600 | Charles River Laboratories International, Inc.d | 472,122 | ||||||
| 4,717 | CIGNA Corporation | 252,171 | ||||||
| 39,200 | Community Health Systems, Inc. | 1,205,008 | ||||||
| 152,290 | Covidien plc | 8,793,225 | ||||||
| 62,500 | Endo Pharmaceutical Holdings, Inc.d | 1,641,875 | ||||||
| 164,400 | Express Scripts Holding Companyd | 8,877,600 | ||||||
| 38,100 | Gilead Sciences, Inc.d | 2,798,445 | ||||||
| 20,605 | HeartWare International, Inc.d,e | 1,729,790 | ||||||
| 13,100 | Illumina, Inc.d,e | 728,229 | ||||||
| 8,700 | Jazz Pharmaceuticals, Inc.d | 462,840 | ||||||
| 9,200 | Life Technologies Corporationd | 451,536 | ||||||
| 23,200 | MedAssets, Inc.d | 389,064 | ||||||
| 20,300 | Medicines Companyd | 486,591 | ||||||
| 106,840 | Merck & Company, Inc. | 4,374,029 | ||||||
| 2,261 | Mettler-Toledo International, Inc.d | 437,051 | ||||||
| 3,279 | Onyx Pharmaceuticals, Inc.d | 247,663 | ||||||
| 13,100 | PAREXEL International Corporationd | 387,629 | ||||||
| 3,800 | Perrigo Company | 395,314 | ||||||
| 140,352 | Pfizer, Inc. | 3,520,028 | ||||||
| 12,173 | Pharmacyclics, Inc.d | 704,817 | ||||||
| 88,800 | Questcor Pharmaceuticals, Inc.e | 2,372,736 | ||||||
| 54,000 | ResMed, Inc.e | 2,244,780 | ||||||
| 50,210 | Sanofi ADR | 2,378,950 | ||||||
| 38,600 | Santarus, Inc.d | 423,828 | ||||||
| 92,800 | Shire Pharmaceuticals Group plc ADR | 8,554,304 | ||||||
| 34,000 | Spectrum Pharmaceuticals, Inc.e | 380,460 | ||||||
| 48,800 | Thoratec Corporationd | 1,830,976 | ||||||
| 58,780 | United Therapeutics Corporationd | 3,140,028 | ||||||
| 280,027 | UnitedHealth Group, Inc. | 15,188,664 | ||||||
| 58,900 | Vertex Pharmaceuticals, Inc.d | 2,470,266 | ||||||
| 115,200 | VIVUS, Inc.d,e | 1,545,984 | ||||||
| 7,000 | Waters Corporationd | 609,840 | ||||||
| 8,330 | Watson Pharmaceuticals, Inc.d | 716,380 | ||||||
| 12,182 | Zimmer Holdings, Inc. | 812,052 | ||||||
|
| |||||||
| Total | 104,927,160 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
108
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (16.4%) | Value | ||||||
| Industrials (1.6%) | ||||||||
| 71,900 | Actuant Corporation | $ | 2,006,729 | |||||
| 78,100 | ADT Corporation | 3,630,869 | ||||||
| 14,084 | AMETEK, Inc. | 529,136 | ||||||
| 5,975 | BE Aerospace, Inc.d | 295,165 | ||||||
| 24,097 | CSX Corporation | 475,434 | ||||||
| 12,700 | Deluxe Corporation | 409,448 | ||||||
| 71,281 | EMCOR Group, Inc. | 2,467,035 | ||||||
| 10,900 | EnerSysd | 410,167 | ||||||
| 9,400 | Expeditors International of Washington, Inc. | 371,770 | ||||||
| 10,720 | FedEx Corporation | 983,238 | ||||||
| 7,816 | Flowserve Corporation | 1,147,389 | ||||||
| 5,100 | Fortune Brands Home and Security, Inc.d | 149,022 | ||||||
| 48,800 | GATX Corporation | 2,113,040 | ||||||
| 35,030 | General Electric Company | 735,280 | ||||||
| 72,200 | HNI Corporation | 2,170,332 | ||||||
| 183,012 | Honeywell International, Inc. | 11,615,772 | ||||||
| 9,800 | Huntington Ingalls Industries, Inc. | 424,732 | ||||||
| 32,900 | Ingersoll-Rand plc | 1,577,884 | ||||||
| 219,130 | Jacobs Engineering Group, Inc.d | 9,328,364 | ||||||
| 10,130 | JB Hunt Transport Services, Inc. | 604,862 | ||||||
| 6,845 | Kansas City Southern | 571,421 | ||||||
| 17,000 | L-3 Communications Holdings, Inc. | 1,302,540 | ||||||
| 39,100 | Landstar System, Inc. | 2,051,186 | ||||||
| 12,700 | Lockheed Martin Corporation | 1,172,083 | ||||||
| 182,231 | Manitowoc Company, Inc. | 2,857,382 | ||||||
| 61,100 | Manpower, Inc. | 2,593,084 | ||||||
| 50,600 | McDermott International, Inc.d | 557,612 | ||||||
| 31,958 | Oshkosh Corporationd | 947,555 | ||||||
| 134,858 | Parker Hannifin Corporation | 11,471,022 | ||||||
| 57,976 | Pentair, Ltd. | 2,849,520 | ||||||
| 34,000 | Pitney Bowes, Inc.e | 361,760 | ||||||
| 3,800 | Portfolio Recovery Associates, Inc.d | 406,068 | ||||||
| 14,000 | Quanta Services, Inc.d | 382,060 | ||||||
| 4,292 | Roper Industries, Inc. | 478,472 | ||||||
| 58,700 | Southwest Airlines Company | 601,088 | ||||||
| 10,380 | SPX Corporation | 728,157 | ||||||
| 4,805 | Stericycle, Inc.d | 448,162 | ||||||
| 43,900 | Swift Transportation Companyd | 400,368 | ||||||
| 9,300 | Trex Company, Inc.d | 346,239 | ||||||
| 130,300 | Tyco International, Ltd. | 3,811,275 | ||||||
| 42,287 | United Technologies Corporation | 3,467,957 | ||||||
| 151,700 | US Airways Group, Inc.d,e | 2,047,950 | ||||||
| 62,100 | Woodward, Inc. | 2,367,873 | ||||||
|
| |||||||
| Total | 83,666,502 | |||||||
|
| |||||||
| Information Technology (3.5%) | ||||||||
| 174,100 | Activision Blizzard, Inc. | 1,848,942 | ||||||
| 11,364 | Agilent Technologies, Inc. | 465,242 | ||||||
| 23,633 | Akamai Technologies, Inc.d | 966,826 | ||||||
| 15,700 | Alliance Data Systems Corporationd | 2,272,732 | ||||||
| 8,366 | ANSYS, Inc.d | 563,366 | ||||||
| 71,700 | AOL, Inc.d | 2,123,037 | ||||||
| 72,207 | Apple, Inc.f | 38,488,497 | ||||||
| 64,531 | Applied Materials, Inc. | 738,235 | ||||||
| 80,600 | Aruba Networks, Inc.d,e | 1,672,450 | ||||||
| 368,034 | Atmel Corporationd | 2,410,623 | ||||||
| 9,589 | Autodesk, Inc.d | 338,971 | ||||||
| 36,100 | BMC Software, Inc.d | 1,431,726 | ||||||
| 16,124 | Broadcom Corporationd | 535,478 | ||||||
| 167,000 | Brocade Communications Systems, Inc.d | 890,110 | ||||||
| 8,100 | CACI International, Inc.d | 445,743 | ||||||
| 56,100 | Cavium, Inc.d | 1,750,881 | ||||||
| 12,200 | Ciena Corporationd | 191,540 | ||||||
| 85,700 | Cisco Systems, Inc. | 1,684,005 | ||||||
| 168,600 | Citrix Systems, Inc.d | 11,085,450 | ||||||
| 34,000 | Computer Sciences Corporation | 1,361,700 | ||||||
| 73,203 | CoreLogic, Inc.d | 1,970,625 | ||||||
| 202,029 | eBay, Inc.d | 10,307,520 | ||||||
| 23,600 | Ebix, Inc.e | 379,252 | ||||||
| 91,400 | ExactTarget, Inc.d | 1,828,000 | ||||||
| 7,702 | F5 Networks, Inc.d | 748,249 | ||||||
| 8,700 | Fair Isaac Corporation | 365,661 | ||||||
| 27,884 | Google, Inc.d | 19,780,073 | ||||||
| 60,500 | Informatica Corporationd | 1,834,360 | ||||||
| 8,600 | InterDigital, Inc.e | 353,460 | ||||||
| 17,393 | Itron, Inc.d | 774,858 | ||||||
| 12,400 | j2 Global, Inc. | 379,192 | ||||||
| 32,724 | Juniper Networks, Inc.d | 643,681 | ||||||
| 5,014 | Lam Research Corporationd | 181,156 | ||||||
| 6,500 | Manhattan Associates, Inc.d | 392,210 | ||||||
| 2,987 | Mercadolibre, Inc.e | 234,689 | ||||||
| 231,716 | Microsoft Corporation | 6,193,769 | ||||||
| 310,700 | NetApp, Inc.d | 10,423,985 | ||||||
| 15,000 | NetScout Systems, Inc.d | 389,850 | ||||||
| 3,156 | Nice Systems, Ltd. ADRd | 105,663 | ||||||
| 23,126 | Nuance Communications, Inc.d | 516,172 | ||||||
| 108,406 | NVIDIA Corporation | 1,332,310 | ||||||
| 18,700 | NXP Semiconductors NVd | 493,119 | ||||||
| 484,065 | Oracle Corporation | 16,129,046 | ||||||
| 51,466 | Plantronics, Inc. | 1,897,551 | ||||||
| 148,592 | QUALCOMM, Inc. | 9,215,676 | ||||||
| 3,317 | Red Hat, Inc.d | 175,668 | ||||||
| 69,100 | Symantec Corporationd | 1,299,771 | ||||||
| 8,500 | Synopsys, Inc.d | 270,640 | ||||||
| 3,275 | Teradata Corporationd | 202,690 | ||||||
| 188,796 | Teradyne, Inc.d | 3,188,764 | ||||||
| 287,050 | Texas Instruments, Inc. | 8,881,327 | ||||||
| 55,134 | TriQuint Semiconductor, Inc.d | 266,849 | ||||||
| 19,800 | ValueClick, Inc.d | 384,318 | ||||||
| 76,621 | VeriFone Systems, Inc.d | 2,274,111 | ||||||
| 191,100 | Vishay Intertechnology, Inc.d | 2,031,393 | ||||||
| 65,600 | Western Digital Corporation | 2,787,344 | ||||||
| 292 | Workday, Inc.d | 15,914 | ||||||
| 78,009 | Xilinx, Inc. | 2,800,523 | ||||||
| 162,700 | Yahoo!, Inc.d | 3,237,730 | ||||||
|
| |||||||
| Total | 185,952,723 | |||||||
|
| |||||||
| Materials (0.6%) | ||||||||
| 1,500 | Agrium, Inc. | 149,865 | ||||||
| 3,400 | Airgas, Inc. | 310,386 | ||||||
| 2,500 | Albemarle Corporation | 155,300 | ||||||
| 28,200 | BHP Billiton, Ltd. ADRe | 2,212,008 | ||||||
| 34,400 | Buckeye Technologies, Inc. | 987,624 | ||||||
| 4,345 | Celanese Corporation | 193,483 | ||||||
| 8,600 | CF Industries Holdings, Inc. | 1,747,176 | ||||||
| 35,600 | Cliffs Natural Resources, Inc.e | 1,372,736 | ||||||
| 32,960 | Dow Chemical Company | 1,065,267 | ||||||
| 23,200 | Eagle Materials, Inc. | 1,357,200 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
109
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (16.4%) | Value | ||||||
| Materials (0.6%) - continued |
| ||||||
| 4,392 | FMC Corporation | $ | 257,020 | |||||
| 276,107 | Freeport-McMoRan Copper & Gold, Inc. | 9,442,859 | ||||||
| 35,700 | H.B. Fuller Company | 1,243,074 | ||||||
| 91,500 | Huntsman Corporation | 1,454,850 | ||||||
| 32,200 | Mosaic Company | 1,823,486 | ||||||
| 5,169 | Newmont Mining Corporation | 240,048 | ||||||
| 24,520 | Nucor Corporation | 1,058,774 | ||||||
| 38,200 | Rio Tinto plc ADRe | 2,219,038 | ||||||
| 14,974 | Silgan Holdings, Inc. | 622,769 | ||||||
| 5,486 | Silver Wheaton Corporation | 197,935 | ||||||
| 54,530 | Steel Dynamics, Inc. | 748,697 | ||||||
| 66,500 | SunCoke Energy, Inc.d | 1,036,735 | ||||||
| 32,900 | Walter Energy, Inc. | 1,180,452 | ||||||
|
| |||||||
| Total | 31,076,782 | |||||||
|
| |||||||
| Telecommunications Services (0.1%) |
| ||||||
| 214,100 | MetroPCS Communications, Inc.d | 2,128,154 | ||||||
| 5,456 | SBA Communications Corporationd | 387,485 | ||||||
| 19,105 | TW Telecom, Inc.d | 486,604 | ||||||
| 40,406 | Verizon Communications, Inc. | 1,748,368 | ||||||
|
| |||||||
| Total | 4,750,611 | |||||||
|
| |||||||
| Utilities (0.2%) |
| ||||||
| 81,100 | Calpine Corporationd | 1,470,343 | ||||||
| 28,700 | CMS Energy Corporation | 699,706 | ||||||
| 76,820 | NiSource, Inc. | 1,912,050 | ||||||
| 48,373 | NV Energy, Inc. | 877,486 | ||||||
| 71,520 | PG&E Corporation | 2,873,674 | ||||||
| 87,300 | PNM Resources, Inc. | 1,790,523 | ||||||
| 20,400 | Public Service Enterprise Group, Inc. | 624,240 | ||||||
| 41,461 | Southwest Gas Corporation | 1,758,361 | ||||||
| 34,100 | Wisconsin Energy Corporation | 1,256,585 | ||||||
|
| |||||||
| Total | 13,262,968 | |||||||
|
| |||||||
Total Common Stock (cost $812,892,035) | 873,105,646 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (15.4%) | |||||||
| Asset-Backed Securities (0.2%) |
| ||||||
Morgan Stanley Capital, Inc. | ||||||||
| 3,456,226 | 0.360%, 2/25/2037g | 1,829,028 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 6,500,000 | 6.011%, 5/25/2036 | 3,944,655 | ||||||
| 3,889,156 | 5.580%, 11/25/2036 | 2,272,025 | ||||||
|
| |||||||
| Total | 8,045,708 | |||||||
|
| |||||||
| Basic Materials (0.2%) |
| ||||||
ArcelorMittal | ||||||||
| 528,000 | 5.375%, 6/1/2013 | 533,302 | ||||||
Arch Coal, Inc. | ||||||||
| 1,420,000 | 7.000%, 6/15/2019e | 1,320,600 | ||||||
BHP Billiton Finance, Ltd. | ||||||||
| 300,000 | 1.000%, 2/24/2015 | 302,223 | ||||||
Dow Chemical Company | ||||||||
| 842,000 | 5.900%, 2/15/2015 | 928,918 | ||||||
FMG Resources Property, Ltd. | ||||||||
| 1,420,000 | 8.250%, 11/1/2019e,h | 1,512,300 | ||||||
Hexion US Finance Corporation/Hexion Nova Scotia Finance ULC | ||||||||
| 1,475,000 | 8.875%, 2/1/2018 | 1,515,562 | ||||||
Inmet Mining Corporation | ||||||||
| 700,000 | 7.500%, 6/1/2021h | 726,250 | ||||||
International Paper Company | ||||||||
| 560,000 | 5.300%, 4/1/2015 | 608,065 | ||||||
LyondellBasell Industries NV | ||||||||
| 1,505,000 | 5.000%, 4/15/2019 | 1,663,025 | ||||||
Novelis, Inc. | ||||||||
| 1,420,000 | 8.375%, 12/15/2017 | 1,565,550 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
| 604,000 | 1.800%, 10/23/2015h | 607,280 | ||||||
|
| |||||||
| Total | 11,283,075 | |||||||
|
| |||||||
| Capital Goods (0.3%) |
| ||||||
Bombardier, Inc. | ||||||||
| 1,475,000 | 5.750%, 3/15/2022e,h | 1,515,562 | ||||||
Case New Holland, Inc. | ||||||||
| 1,440,000 | 7.875%, 12/1/2017 | 1,702,800 | ||||||
Caterpillar Financial Services Corporation | ||||||||
| 604,000 | 0.700%, 11/6/2015 | 602,457 | ||||||
| 604,000 | 1.250%, 11/6/2017 | 603,545 | ||||||
Eaton Corporation | ||||||||
| 600,000 | 0.950%, 11/2/2015h | 601,825 | ||||||
| 300,000 | 1.500%, 11/2/2017h | 300,613 | ||||||
| 450,000 | 4.000%, 11/2/2032h | 462,830 | ||||||
John Deere Capital Corporation | ||||||||
| 588,000 | 0.700%, 9/4/2015 | 587,984 | ||||||
Pentair Finance SA | ||||||||
| 588,000 | 1.875%, 9/15/2017h | 589,728 | ||||||
RBS Global, Inc. | ||||||||
| 1,475,000 | 8.500%, 5/1/2018 | 1,598,531 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
| 1,430,000 | 6.875%, 2/15/2021 | 1,540,825 | ||||||
Sealed Air Corporation | ||||||||
| 1,110,000 | 8.375%, 9/15/2021h | 1,268,175 | ||||||
Textron, Inc. | ||||||||
| 785,000 | 5.600%, 12/1/2017 | 888,797 | ||||||
United Technologies Corporation | ||||||||
| 915,000 | 6.125%, 7/15/2038 | 1,218,203 | ||||||
UR Financing Escrow Corporation | ||||||||
| 1,475,000 | 7.375%, 5/15/2020h | 1,618,813 | ||||||
|
| |||||||
| Total | 15,100,688 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (0.7%) |
| ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 1,518,647 | 5.500%, 11/25/2035 | 1,341,432 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
| 5,115,740 | 5.750%, 4/25/2037 | 4,262,378 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 2,169,390 | 6.000%, 4/25/2036 | 1,683,065 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
110
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Collateralized Mortgage Obligations (0.7%) - continued |
| ||||||
| $1,019,096 | 6.000%, 1/25/2037 | $ | 843,743 | |||||
| 5,960,163 | 5.500%, 5/25/2037 | 4,448,159 | ||||||
| 4,665,946 | 7.000%, 10/25/2037 | 2,999,088 | ||||||
Countrywide Home Loans, Inc. | ||||||||
| 2,172,084 | 5.750%, 4/25/2037 | 1,975,428 | ||||||
Deutsche Alt-A Securities, Inc. | ||||||||
| 1,695,508 | 6.000%, 10/25/2021 | 1,557,148 | ||||||
Deutsche Alt-A Securities, Inc. | ||||||||
Alternative Loan Trust | ||||||||
| 794,638 | 5.500%, 10/25/2021 | 813,140 | ||||||
GSR Mortgage Loan Trust | ||||||||
| 2,294,783 | 0.400%, 8/25/2046g | 2,175,695 | ||||||
HomeBanc Mortgage Trust | ||||||||
| 2,473,667 | 2.650%, 4/25/2037 | 1,593,751 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 1,202,377 | 2.783%, 6/25/2036 | 1,008,565 | ||||||
| 467,100 | 3.002%, 10/25/2036 | 366,121 | ||||||
| 6,053,504 | 6.250%, 8/25/2037 | 4,188,656 | ||||||
MASTR Alternative Loans Trust | ||||||||
| 1,158,536 | 6.500%, 7/25/2034 | 1,225,597 | ||||||
| 3,557,858 | 0.660%, 12/25/2035g | 1,885,772 | ||||||
Merrill Lynch Alternative Note Asset Trust | ||||||||
| 1,173,587 | 6.000%, 3/25/2037 | 1,027,252 | ||||||
Residential Asset Securitization Trust | ||||||||
| 4,399,948 | 0.590%, 8/25/2037g | 1,406,215 | ||||||
Sequoia Mortgage Trust | ||||||||
| 1,184,528 | 4.923%, 9/20/2046 | 194,139 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
| 435,206 | 2.697%, 9/25/2036 | 350,794 | ||||||
| 1,608,237 | 2.773%, 10/25/2036 | 1,278,063 | ||||||
| 4,337,733 | 2.423%, 11/25/2036 | 3,477,908 | ||||||
|
| |||||||
| Total | 40,102,109 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (1.1%) |
| ||||||
Banc of America Commercial Mortgage, Inc. | ||||||||
| 7,200,000 | 5.625%, 4/10/2049 | 8,420,969 | ||||||
| 4,975,000 | 5.685%, 6/10/2049 | 5,766,692 | ||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 3,500,000 | 5.331%, 2/11/2044 | 3,961,762 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 3,000,000 | 5.322%, 12/11/2049 | 3,441,330 | ||||||
Credit Suisse First Boston Mortgage Securities | ||||||||
| 7,200,000 | 5.542%, 1/15/2049 | 8,185,075 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 8,875,000 | 5.509%, 9/15/2039 | 9,596,928 | ||||||
Government National Mortgage Association | ||||||||
| 476,336 | 2.164%, 3/16/2033 | 484,026 | ||||||
| 394,720 | 3.214%, 1/16/2040 | 414,219 | ||||||
Greenwich Capital Commercial Funding Corporation | ||||||||
| 4,650,000 | 5.867%, 12/10/2049 | 5,198,551 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 3,650,000 | 5.728%, 2/12/2049 | 3,968,305 | ||||||
Morgan Stanley Capital, Inc. | ||||||||
| 2,650,000 | 5.406%, 3/15/2044 | 2,862,949 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
| 5,400,000 | 5.603%, 10/15/2048 | 5,914,474 | ||||||
|
| |||||||
| Total | 58,215,280 | |||||||
|
| |||||||
| Communications Services (0.7%) |
| ||||||
AMC Networks, Inc. | ||||||||
| 1,110,000 | 7.750%, 7/15/2021 | 1,270,950 | ||||||
America Movil SAB de CV | ||||||||
| 600,000 | 3.125%, 7/16/2022 | 609,869 | ||||||
American Tower Corporation | ||||||||
| 740,000 | 5.050%, 9/1/2020 | 829,874 | ||||||
AT&T, Inc. | ||||||||
| 1,170,000 | 2.400%, 8/15/2016 | 1,220,978 | ||||||
British Telecommunications plc | ||||||||
| 750,000 | 2.000%, 6/22/2015 | 771,013 | ||||||
Cablevision Systems Corporation | ||||||||
| 1,410,000 | 8.625%, 9/15/2017 | 1,644,412 | ||||||
CBS Corporation | ||||||||
| 600,000 | 8.875%, 5/15/2019 | 809,256 | ||||||
CC Holdings GS V, LLC | ||||||||
| 300,000 | 2.381%, 12/15/2017h | 301,467 | ||||||
CCO Holdings, LLC | ||||||||
| 1,440,000 | 7.000%, 1/15/2019 | 1,553,400 | ||||||
CenturyLink, Inc. | ||||||||
| 1,200,000 | 5.800%, 3/15/2022 | 1,268,552 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
| 1,400,000 | 6.500%, 11/15/2022h | 1,452,500 | ||||||
Comcast Corporation | ||||||||
| 375,000 | 4.650%, 7/15/2042 | 395,274 | ||||||
Cox Communications, Inc. | ||||||||
| 600,000 | 3.250%, 12/15/2022h | 618,755 | ||||||
Crown Castle Towers, LLC | ||||||||
| 540,000 | 4.174%, 8/15/2017h | 592,580 | ||||||
Digicel, Ltd. | ||||||||
| 677,000 | 8.250%, 9/1/2017h | 724,390 | ||||||
| 670,000 | 7.000%, 2/15/2020h | 716,900 | ||||||
Dish DBS Corporation | ||||||||
| 1,355,000 | 4.625%, 7/15/2017 | 1,412,587 | ||||||
| 855,000 | 5.875%, 7/15/2022 | 919,125 | ||||||
Frontier Communications Corporation | ||||||||
| 1,110,000 | 8.125%, 10/1/2018 | 1,276,500 | ||||||
Hughes Satellite Systems Corporation | ||||||||
| 1,410,000 | 6.500%, 6/15/2019 | 1,554,525 | ||||||
Intelsat Jackson Holdings SA | ||||||||
| 1,410,000 | 7.250%, 4/1/2019 | 1,515,750 | ||||||
NBCUniversal Media, LLC | ||||||||
| 879,000 | 2.875%, 4/1/2016 | 926,682 | ||||||
| 302,000 | 2.875%, 1/15/2023 | 303,285 | ||||||
News America, Inc. | ||||||||
| 718,000 | 3.000%, 9/15/2022h | 721,232 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
111
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Communications Services (0.7%) - continued |
| ||||||
Nippon Telegraph & Telephone Corporation | ||||||||
| $584,000 | 1.400%, 7/18/2017 | $ | 591,065 | |||||
SBA Telecommunications, Inc. | ||||||||
| 500,000 | 5.750%, 7/15/2020h | 531,250 | ||||||
SBA Tower Trust | ||||||||
| 575,000 | 5.101%, 4/17/2017h | 648,354 | ||||||
Sprint Nextel Corporation | ||||||||
| 690,000 | 9.000%, 11/15/2018h | 852,150 | ||||||
| 1,020,000 | 6.000%, 11/15/2022 | 1,048,050 | ||||||
Telefonica Emisiones SAU | ||||||||
| 584,000 | 3.729%, 4/27/2015 | 600,002 | ||||||
Time Warner Cable, Inc. | ||||||||
| 586,000 | 3.500%, 2/1/2015 | 618,897 | ||||||
Univision Communications, Inc. | ||||||||
| 785,000 | 6.750%, 9/15/2022h | 810,512 | ||||||
UPCB Finance V, Ltd. | ||||||||
| 1,420,000 | 7.250%, 11/15/2021h | 1,562,000 | ||||||
Verizon Communications, Inc. | ||||||||
| 453,000 | 1.100%, 11/1/2017 | 450,965 | ||||||
| 1,175,000 | 5.500%, 2/15/2018 | 1,411,025 | ||||||
| 453,000 | 2.450%, 11/1/2022 | 453,151 | ||||||
| 302,000 | 3.850%, 11/1/2042 | 297,037 | ||||||
Virgin Media Finance plc | ||||||||
| 1,475,000 | 5.250%, 2/15/2022 | 1,563,500 | ||||||
Vivendi SA | ||||||||
| 882,000 | 2.400%, 4/10/2015h | 899,617 | ||||||
Vodafone Group plc | ||||||||
| 580,000 | 1.250%, 9/26/2017 | 578,247 | ||||||
|
| |||||||
| Total | 36,325,678 | |||||||
|
| |||||||
| Consumer Cyclical (0.4%) |
| ||||||
Amazon.com, Inc. | ||||||||
| 300,000 | 1.200%, 11/29/2017 | 298,351 | ||||||
| 600,000 | 2.500%, 11/29/2022 | 591,372 | ||||||
American Honda Finance Corporation | ||||||||
| 294,000 | 1.000%, 8/11/2015h | 295,657 | ||||||
Chrysler Group, LLC | ||||||||
| 1,405,000 | 8.000%, 6/15/2019e | 1,531,450 | ||||||
Federated Retail Holdings, Inc. | ||||||||
| 357,000 | 5.900%, 12/1/2016 | 419,480 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 580,000 | 12.000%, 5/15/2015 | 711,950 | ||||||
| 2,069,000 | 5.000%, 5/15/2018 | 2,283,009 | ||||||
Host Hotels and Resorts, LP | ||||||||
| 855,000 | 6.000%, 11/1/2020 | 940,500 | ||||||
Hyundai Capital America | ||||||||
| 604,000 | 1.625%, 10/2/2015h | 607,630 | ||||||
Lennar Corporation | ||||||||
| 920,000 | 12.250%, 6/1/2017 | 1,235,100 | ||||||
Limited Brands, Inc. | ||||||||
| 740,000 | 5.625%, 2/15/2022 | 804,750 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
| 300,000 | 3.875%, 1/15/2022 | 319,761 | ||||||
| 300,000 | 4.300%, 2/15/2043 | 291,899 | ||||||
MGM Resorts International | ||||||||
| 1,195,000 | 7.625%, 1/15/2017e | 1,278,650 | ||||||
Royal Caribbean Cruises, Ltd. | ||||||||
| 1,480,000 | 5.250%, 11/15/2022 | 1,565,100 | ||||||
Service Corporation International | ||||||||
| 975,000 | 8.000%, 11/15/2021 | 1,199,250 | ||||||
Six Flags Entertainment Corporation | ||||||||
| 1,850,000 | 5.250%, 1/15/2021h | 1,850,000 | ||||||
The Walt Disney Company | ||||||||
| 600,000 | 1.100%, 12/1/2017 | 601,259 | ||||||
Time Warner, Inc. | ||||||||
| 465,000 | 3.150%, 7/15/2015 | 491,735 | ||||||
Toyota Motor Credit Corporation | ||||||||
| 380,000 | 1.750%, 5/22/2017 | 389,132 | ||||||
Toys R Us Property Company II, LLC | ||||||||
| 1,420,000 | 8.500%, 12/1/2017 | 1,505,200 | ||||||
TRW Automotive, Inc. | ||||||||
| 360,000 | 7.250%, 3/15/2017h | 414,450 | ||||||
Viacom, Inc. | ||||||||
| 294,000 | 1.250%, 2/27/2015 | 296,870 | ||||||
Volkswagen International Finance NV | ||||||||
| 260,000 | 1.150%, 11/20/2015h | 260,360 | ||||||
Western Union Company | ||||||||
| 600,000 | 2.375%, 12/10/2015 | 602,778 | ||||||
|
| |||||||
| Total | 20,785,693 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.5%) |
| ||||||
| AbbVie, Inc. | ||||||||
| 600,000 | 1.200%, 11/6/2015h | 604,009 | ||||||
| 300,000 | 1.750%, 11/6/2017h | 303,263 | ||||||
| 450,000 | 2.000%, 11/6/2018h | 455,816 | ||||||
| Amgen, Inc. | ||||||||
| 390,000 | 4.850%, 11/18/2014 | 419,705 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 292,000 | 0.800%, 7/15/2015 | 292,764 | ||||||
| 300,000 | 1.375%, 7/15/2017 | 303,159 | ||||||
BAT International Finance plc | ||||||||
| 760,000 | 1.400%, 6/5/2015h | 770,898 | ||||||
Biomet, Inc. | ||||||||
| 1,195,000 | 6.500%, 10/1/2020h | 1,187,531 | ||||||
Boston Scientific Corporation | ||||||||
| 1,125,000 | 5.450%, 6/15/2014 | 1,196,022 | ||||||
Bunge Limited Finance Corporation | ||||||||
| 294,000 | 3.200%, 6/15/2017 | 306,828 | ||||||
Celgene Corporation | ||||||||
| 438,000 | 1.900%, 8/15/2017 | 445,862 | ||||||
| 441,000 | 3.250%, 8/15/2022 | 449,548 | ||||||
Community Health Systems, Inc. | ||||||||
| 975,000 | 8.000%, 11/15/2019 | 1,055,438 | ||||||
ConAgra Foods, Inc. | ||||||||
| 882,000 | 1.350%, 9/10/2015 | 881,973 | ||||||
CVS Caremark Corporation | ||||||||
| 385,000 | 6.125%, 9/15/2039 | 492,708 | ||||||
Express Scripts Holding Company | ||||||||
| 588,000 | 2.750%, 11/21/2014h | 606,578 | ||||||
| 588,000 | 3.125%, 5/15/2016 | 619,924 | ||||||
Fresenius Medical Care US Finance II, Inc. | ||||||||
| 970,000 | 5.625%, 7/31/2019h | 1,041,537 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
112
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Consumer Non-Cyclical (0.5%) - continued |
| ||||||
Gilead Sciences, Inc. | ||||||||
| $464,000 | 2.400%, 12/1/2014 | $ | 478,490 | |||||
| 518,000 | 3.050%, 12/1/2016 | 554,791 | ||||||
Grifols, Inc. | ||||||||
| 1,195,000 | 8.250%, 2/1/2018 | 1,315,994 | ||||||
HCA, Inc. | ||||||||
| 1,475,000 | 5.875%, 3/15/2022 | 1,604,063 | ||||||
Heineken NV | ||||||||
| 300,000 | 0.800%, 10/1/2015h | 300,561 | ||||||
| 300,000 | 1.400%, 10/1/2017h | 299,094 | ||||||
| 151,000 | 4.000%, 10/1/2042h | 146,041 | ||||||
JBS USA, LLC | ||||||||
| 1,290,000 | 7.250%, 6/1/2021h | 1,293,225 | ||||||
Kraft Foods, Inc. | ||||||||
| 760,000 | 1.625%, 6/4/2015h | 773,504 | ||||||
Laboratory Corporation of America Holdings | ||||||||
| 588,000 | 2.200%, 8/23/2017 | 603,548 | ||||||
| Libbey Glass, Inc. | ||||||||
| 320,000 | 6.875%, 5/15/2020 | 344,000 | ||||||
Lorillard Tobacco Company | ||||||||
| 584,000 | 2.300%, 8/21/2017 | 590,519 | ||||||
McKesson Corporation | ||||||||
| 300,000 | 0.950%, 12/4/2015 | 300,422 | ||||||
Mylan, Inc. | ||||||||
| 600,000 | 7.875%, 7/15/2020h | 709,057 | ||||||
Rite Aid Corporation | ||||||||
| 920,000 | 7.500%, 3/1/2017 | 945,300 | ||||||
Roche Holdings, Inc. | ||||||||
| 588,000 | 7.000%, 3/1/2039h | 885,961 | ||||||
SABMiller Holdings, Inc. | ||||||||
| 889,000 | 1.850%, 1/15/2015h | 906,502 | ||||||
Safeway, Inc. | ||||||||
| 625,000 | 5.000%, 8/15/2019 | 672,427 | ||||||
Spectrum Brands Holdings, Inc. | ||||||||
| 1,110,000 | 9.500%, 6/15/2018 | 1,259,850 | ||||||
Teva Pharmaceutical Finance Company BV | ||||||||
| 390,000 | 2.400%, 11/10/2016 | 406,426 | ||||||
Teva Pharmaceutical Finance IV, LLC | ||||||||
| 652,000 | 1.700%, 11/10/2014 | 667,007 | ||||||
Tyson Foods, Inc. | ||||||||
| 760,000 | 4.500%, 6/15/2022 | 822,712 | ||||||
Valeant Pharmaceuticals International | ||||||||
| 1,420,000 | 6.875%, 12/1/2018h | 1,530,050 | ||||||
|
| |||||||
| Total | 28,843,107 | |||||||
|
| |||||||
| Energy (0.3%) |
| ||||||
BP Capital Markets plc | ||||||||
| 302,000 | 0.700%, 11/6/2015 | 301,567 | ||||||
| 906,000 | 1.375%, 11/6/2017 | 906,799 | ||||||
| 600,000 | 4.500%, 10/1/2020 | 691,477 | ||||||
Concho Resources, Inc. | ||||||||
| 2,450,000 | 5.500%, 10/1/2022 | 2,584,750 | ||||||
Denbury Resources, Inc. | ||||||||
| 1,470,000 | 6.375%, 8/15/2021 | 1,617,000 | ||||||
EOG Resources, Inc. | ||||||||
| 588,000 | 2.625%, 3/15/2023 | 592,137 | ||||||
Harvest Operations Corporation | ||||||||
| 690,000 | 6.875%, 10/1/2017 | 765,900 | ||||||
Linn Energy, LLC | ||||||||
| 1,430,000 | 7.750%, 2/1/2021 | 1,522,950 | ||||||
Marathon Oil Corporation | ||||||||
| 906,000 | 0.900%, 11/1/2015 | 906,730 | ||||||
Marathon Petroleum Corporation | ||||||||
| 584,000 | 3.500%, 3/1/2016 | 621,673 | ||||||
Murphy Oil Corporation | ||||||||
| 450,000 | 2.500%, 12/1/2017 | 452,775 | ||||||
Phillips 66 | ||||||||
| 788,000 | 2.950%, 5/1/2017h | 835,152 | ||||||
Pioneer Natural Resources Company | ||||||||
| 294,000 | 5.875%, 7/15/2016 | 333,364 | ||||||
SandRidge Energy, Inc. | ||||||||
| 1,190,000 | 7.500%, 2/15/2023 | 1,273,300 | ||||||
Suncor Energy, Inc. | ||||||||
| 519,000 | 6.100%, 6/1/2018 | 633,086 | ||||||
Transocean, Inc. | ||||||||
| 292,000 | 5.050%, 12/15/2016 | 325,119 | ||||||
| 584,000 | 6.000%, 3/15/2018 | 677,317 | ||||||
Valero Energy Corporation | ||||||||
| 588,000 | 7.500%, 4/15/2032 | 754,406 | ||||||
Weatherford International, Ltd. | ||||||||
| 882,000 | 6.750%, 9/15/2040 | 1,000,177 | ||||||
|
| |||||||
| Total | 16,795,679 | |||||||
|
| |||||||
| Financials (1.4%) |
| ||||||
ABN Amro North American Holding Preferred Capital Repackage Trust I | ||||||||
| 302,000 | 3.407%, 12/29/2049g,h,i | 302,000 | ||||||
Achmea Hypotheekbank NV | ||||||||
| 371,000 | 3.200%, 11/3/2014h | 388,916 | ||||||
Aetna, Inc. | ||||||||
| 302,000 | 1.500%, 11/15/2017 | 302,611 | ||||||
| 121,000 | 2.750%, 11/15/2022 | 120,004 | ||||||
Ally Financial, Inc. | ||||||||
| 1,475,000 | 5.500%, 2/15/2017 | 1,577,900 | ||||||
American Express Centurion Bank | ||||||||
| 750,000 | 0.875%, 11/13/2015 | 749,449 | ||||||
American Express Credit Corporation | ||||||||
| 380,000 | 2.375%, 3/24/2017 | 397,600 | ||||||
American International Group, Inc. | ||||||||
| 882,000 | 2.375%, 8/24/2015 | 907,675 | ||||||
| 841,000 | 3.800%, 3/22/2017 | 910,243 | ||||||
ANZ National International, Ltd. of London | ||||||||
| 882,000 | 3.125%, 8/10/2015h | 924,190 | ||||||
Associated Banc Corporation | ||||||||
| 294,000 | 1.875%, 3/12/2014 | 294,044 | ||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | ||||||||
| 300,000 | 4.125%, 11/9/2022h | 305,250 | ||||||
Bank of America Corporation | ||||||||
| 1,214,000 | 7.750%, 8/15/2015 | 1,376,035 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
113
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Financials (1.4%) - continued |
| ||||||
| $1,430,000 | 1.500%, 10/9/2015 | $ | 1,437,312 | |||||
| 590,000 | 5.750%, 8/15/2016 | 645,184 | ||||||
| 1,010,000 | 5.750%, 12/1/2017 | 1,177,251 | ||||||
| 595,000 | 5.650%, 5/1/2018 | 692,249 | ||||||
Bank of New York Mellon Corporation | ||||||||
| 302,000 | 0.700%, 10/23/2015 | 300,878 | ||||||
Bank of Nova Scotia | ||||||||
| 600,000 | 1.450%, 7/26/2013h | 603,720 | ||||||
Barclays Bank plc | ||||||||
| 980,000 | 6.050%, 12/4/2017h | 1,084,260 | ||||||
BBVA US Senior SAU | ||||||||
| 450,000 | 4.664%, 10/9/2015 | 461,393 | ||||||
Berkshire Hathaway, Inc. | ||||||||
| 780,000 | 1.600%, 5/15/2017 | 795,038 | ||||||
BlackRock, Inc. | ||||||||
| 380,000 | 1.375%, 6/1/2015 | 385,929 | ||||||
BNP Paribas SA | ||||||||
| 894,000 | 2.375%, 9/14/2017 | 906,826 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
| 610,000 | 2.600%, 7/2/2015h | 640,988 | ||||||
Capital One Capital V | ||||||||
| 584,000 | 10.250%, 8/15/2039 | 584,000 | ||||||
Capital One Financial Corporation | ||||||||
| 604,000 | 2.150%, 3/23/2015 | 616,528 | ||||||
| 906,000 | 6.150%, 9/1/2016 | 1,036,482 | ||||||
CIT Group, Inc. | ||||||||
| 1,195,000 | 4.250%, 8/15/2017 | 1,230,542 | ||||||
Citigroup, Inc. | ||||||||
| 1,495,000 | 5.000%, 9/15/2014 | 1,572,872 | ||||||
| 1,015,000 | 4.750%, 5/19/2015 | 1,094,207 | ||||||
| 1,011,000 | 6.000%, 8/15/2017 | 1,191,106 | ||||||
| 575,000 | 8.500%, 5/22/2019 | 773,166 | ||||||
CNA Financial Corporation | ||||||||
| 750,000 | 7.350%, 11/15/2019 | 940,681 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
| 550,000 | 3.950%, 11/9/2022 | 563,219 | ||||||
Credit Suisse New York, NY | ||||||||
| 884,000 | 5.500%, 5/1/2014 | 940,570 | ||||||
DDR Corporation | ||||||||
| 965,000 | 9.625%, 3/15/2016 | 1,184,633 | ||||||
Developers Diversified Realty Corporation | ||||||||
| 940,000 | 7.875%, 9/1/2020 | 1,205,014 | ||||||
| Dexia Credit Local SA | ||||||||
| 600,000 | 2.750%, 4/29/2014h | 608,464 | ||||||
Discover Financial Services | ||||||||
| 208,000 | 3.850%, 11/21/2022h | 214,630 | ||||||
Duke Realty, LP | ||||||||
| 294,000 | 3.875%, 10/15/2022 | 299,369 | ||||||
Eksportfinans ASA | ||||||||
| 390,000 | 3.000%, 11/17/2014 | 386,905 | ||||||
| 548,000 | 5.500%, 5/25/2016 | 570,433 | ||||||
Fifth Third Bancorp | ||||||||
| 671,000 | 5.450%, 1/15/2017 | 751,801 | ||||||
General Electric Capital Corporation | ||||||||
| 841,000 | 2.150%, 1/9/2015 | 863,821 | ||||||
| 600,000 | 1.000%, 12/11/2015 | 602,414 | ||||||
| 500,000 | 0.551%, 1/8/2016g | 494,207 | ||||||
| 385,000 | 1.180%, 5/9/2016g | 385,489 | ||||||
| 390,000 | 2.300%, 4/27/2017 | 404,384 | ||||||
| 285,000 | 1.600%, 11/20/2017 | 285,185 | ||||||
| 588,000 | 3.150%, 9/7/2022 | 600,755 | ||||||
| 881,000 | 6.750%, 3/15/2032 | 1,144,185 | ||||||
Goldman Sachs Group, Inc. | ||||||||
| 1,150,000 | 3.700%, 8/1/2015 | 1,213,699 | ||||||
| 300,000 | 1.600%, 11/23/2015 | 302,108 | ||||||
| 888,000 | 0.760%, 3/22/2016g | 861,951 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
| 195,000 | 7.300%, 11/1/2015 | 221,934 | ||||||
| 105,000 | 5.500%, 10/15/2016 | 117,525 | ||||||
| 841,000 | 4.000%, 10/15/2017 | 918,710 | ||||||
HCP, Inc. | ||||||||
| 750,000 | 2.625%, 2/1/2020 | 747,073 | ||||||
Health Care REIT, Inc. | ||||||||
| 300,000 | 2.250%, 3/15/2018 | 299,747 | ||||||
HSBC Holdings plc | ||||||||
| 798,000 | 6.500%, 5/2/2036 | 997,005 | ||||||
HSBC USA, Inc. | ||||||||
| 620,000 | 1.625%, 1/16/2018 | 620,563 | ||||||
Icahn Enterprises, LP | ||||||||
| 1,930,000 | 8.000%, 1/15/2018 | 2,072,337 | ||||||
ING Bank NV | ||||||||
| 460,000 | 2.000%, 9/25/2015h | 463,404 | ||||||
| 604,000 | 3.750%, 3/7/2017h | 641,913 | ||||||
ING Capital Funding Trust III | ||||||||
| 600,000 | 3.911%, 12/29/2049g,i | 569,623 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 840,000 | 4.650%, 6/1/2014 | 885,028 | ||||||
| 604,000 | 1.875%, 3/20/2015 | 614,859 | ||||||
| 275,000 | 1.100%, 10/15/2015 | 274,991 | ||||||
| 604,000 | 3.450%, 3/1/2016 | 641,455 | ||||||
| 876,000 | 2.000%, 8/15/2017 | 894,830 | ||||||
J.P. Morgan Chase Bank NA | ||||||||
| 815,000 | 0.640%, 6/13/2016g | 792,313 | ||||||
KeyBank NA | ||||||||
| 900,000 | 7.413%, 5/6/2015 | 1,012,475 | ||||||
Liberty Mutual Group, Inc. | ||||||||
| 292,000 | 4.950%, 5/1/2022h | 318,247 | ||||||
| 604,000 | 6.500%, 5/1/2042h | 679,523 | ||||||
Liberty Property, LP | ||||||||
| 450,000 | 3.375%, 6/15/2023 | 445,258 | ||||||
Lloyds TSB Bank plc | ||||||||
| 600,000 | 6.500%, 9/14/2020h | 662,982 | ||||||
Morgan Stanley | ||||||||
| 588,000 | 4.750%, 4/1/2014e | 608,859 | ||||||
| 750,000 | 6.000%, 5/13/2014 | 794,227 | ||||||
| 1,197,000 | 4.750%, 3/22/2017 | 1,305,880 | ||||||
| 630,000 | 6.250%, 8/28/2017 | 721,068 | ||||||
| 1,050,000 | 4.875%, 11/1/2022 | 1,087,164 | ||||||
Murray Street Investment Trust I | ||||||||
| 1,168,000 | 4.647%, 3/9/2017 | 1,263,364 | ||||||
Omega Healthcare Investors, Inc. | ||||||||
| 855,000 | 5.875%, 3/15/2024 | 906,300 | ||||||
PNC Funding Corporation | ||||||||
| 600,000 | 3.300%, 3/8/2022 | 632,528 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
114
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Financials (1.4%) - continued |
| ||||||
Prudential Financial, Inc. | ||||||||
| $450,000 | 5.625%, 6/15/2043 | $ | 466,335 | |||||
Realty Income Corporation | ||||||||
| 302,000 | 2.000%, 1/31/2018 | 301,749 | ||||||
Regions Bank | ||||||||
| 1,605,000 | 7.500%, 5/15/2018 | 1,936,031 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 570,000 | 5.625%, 3/15/2017 | 643,832 | ||||||
| 302,000 | 5.000%, 6/1/2021 | 332,531 | ||||||
Royal Bank of Scotland Group plc | ||||||||
| 588,000 | 5.050%, 1/8/2015 | 608,457 | ||||||
| 882,000 | 2.550%, 9/18/2015 | 902,648 | ||||||
Santander US Debt SAU | ||||||||
| 720,000 | 3.724%, 1/20/2015h | 723,269 | ||||||
Simon Property Group, Inc. | ||||||||
| 600,000 | 1.500%, 2/1/2018h | 596,613 | ||||||
SLM Corporation | ||||||||
| 300,000 | 6.250%, 1/25/2016 | 326,250 | ||||||
Societe Generale SA | ||||||||
| 580,000 | 5.200%, 4/15/2021h | 642,830 | ||||||
Svenska Handelsbanken AB | ||||||||
| 600,000 | 3.125%, 7/12/2016 | 636,660 | ||||||
Toronto-Dominion Bank | ||||||||
| 470,000 | 2.200%, 7/29/2015h | 489,740 | ||||||
U.S. Bancorp | ||||||||
| 390,000 | 1.650%, 5/15/2017 | 397,371 | ||||||
UBS AG/Stamford, Connecticut | ||||||||
| 604,000 | 5.875%, 12/20/2017 | 718,916 | ||||||
UnitedHealth Group, Inc. | ||||||||
| 302,000 | 0.850%, 10/15/2015 | 302,988 | ||||||
| 151,000 | 1.400%, 10/15/2017 | 151,236 | ||||||
Wachovia Corporation | ||||||||
| 1,515,000 | 5.625%, 10/15/2016 | 1,736,991 | ||||||
WEA Finance, LLC | ||||||||
| 841,000 | 5.700%, 10/1/2016h | 960,342 | ||||||
Wells Fargo & Company | ||||||||
| 561,000 | 2.100%, 5/8/2017 | 580,002 | ||||||
|
| |||||||
| Total | 76,275,741 | |||||||
|
| |||||||
| Foreign Government (0.1%) |
| ||||||
Costa Rica Government International Bond | ||||||||
| 552,000 | 4.250%, 1/26/2023h | 556,968 | ||||||
Export-Import Bank of Korea | ||||||||
| 600,000 | 1.250%, 11/20/2015 | 600,997 | ||||||
Kommunalbanken AS | ||||||||
| 300,000 | 2.750%, 5/5/2015h | 315,120 | ||||||
Korea Finance Corporation | ||||||||
| 294,000 | 2.250%, 8/7/2017 | 297,649 | ||||||
Kreditanstalt fuer Wiederaufbau | ||||||||
| 295,000 | 0.219%, 6/17/2013g | 295,011 | ||||||
Sweden Government International Bond | ||||||||
| 200,000 | 0.375%, 12/22/2015h | 199,660 | ||||||
|
| |||||||
| Total | 2,265,405 | |||||||
|
| |||||||
| Mortgage-Backed Securities (6.0%) |
| ||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 32,150,000 | 2.500%, 1/1/2028c | 33,551,541 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 32,025,000 | 3.000%, 1/1/2043c | 33,481,138 | ||||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 34,929,000 | 2.500%, 1/1/2028c | 36,522,636 | ||||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 65,450,000 | 3.500%, 1/1/2043c | 69,778,392 | ||||||
| 78,267,500 | 4.000%, 1/1/2043c | 83,892,976 | ||||||
| 58,154,500 | 5.000%, 1/1/2043c | 62,988,593 | ||||||
|
| |||||||
| Total | 320,215,276 | |||||||
|
| |||||||
| Technology (0.2%) | |||||||
Amkor Technology, Inc. | ||||||||
| 1,110,000 | 6.625%, 6/1/2021 | 1,107,225 | ||||||
Computer Sciences Corporation | ||||||||
| 442,000 | 2.500%, 9/15/2015 | 450,688 | ||||||
Equinix, Inc. | ||||||||
| 1,110,000 | 8.125%, 3/1/2018 | 1,223,775 | ||||||
First Data Corporation | ||||||||
| 1,475,000 | 7.375%, 6/15/2019h | 1,526,625 | ||||||
Freescale Semiconductor, Inc. | ||||||||
| 1,510,000 | 9.250%, 4/15/2018h | 1,649,675 | ||||||
Hewlett-Packard Company | ||||||||
| 588,000 | 2.125%, 9/13/2015 | 587,594 | ||||||
| 669,000 | 2.600%, 9/15/2017e | 651,710 | ||||||
Intel Corporation | ||||||||
| 600,000 | 4.000%, 12/15/2032 | 596,393 | ||||||
Microsoft Corporation | ||||||||
| 302,000 | 0.875%, 11/15/2017 | 300,410 | ||||||
| 604,000 | 2.125%, 11/15/2022 | 598,084 | ||||||
Oracle Corporation | ||||||||
| 604,000 | 1.200%, 10/15/2017 | 605,793 | ||||||
| 302,000 | 2.500%, 10/15/2022 | 304,721 | ||||||
Samsung Electronics America, Inc. | ||||||||
| 963,000 | 1.750%, 4/10/2017h | 974,316 | ||||||
Xerox Corporation | ||||||||
| 588,000 | 7.200%, 4/1/2016 | 675,243 | ||||||
|
| |||||||
| Total | 11,252,252 | |||||||
|
| |||||||
| Transportation (0.2%) | |||||||
Avis Budget Car Rental, LLC | ||||||||
| 1,345,000 | 8.250%, 1/15/2019 | 1,486,225 | ||||||
Burlington Northern Santa Fe, LLC | ||||||||
| 219,000 | 3.050%, 9/1/2022 | 226,327 | ||||||
Continental Airlines, Inc. | ||||||||
| 975,000 | 6.750%, 9/15/2015h | 1,023,750 | ||||||
| 390,000 | 4.150%, 4/11/2024 | 412,913 | ||||||
CSX Corporation | ||||||||
| 671,000 | 6.250%, 4/1/2015 | 751,358 | ||||||
Delta Air Lines, Inc. | ||||||||
| 882,000 | 6.750%, 5/23/2017 | 908,460 | ||||||
| 150,000 | 4.750%, 5/7/2020 | 159,750 | ||||||
ERAC USA Finance, LLC | ||||||||
| 604,000 | 1.400%, 4/15/2016h | 608,050 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
115
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Transportation (0.2%) - continued |
| ||||||
Hertz Corporation | ||||||||
| $1,355,000 | 6.750%, 4/15/2019 | $ | 1,478,644 | |||||
Kansas City Southern de Mexico SA de CV | ||||||||
| 780,000 | 8.000%, 2/1/2018 | 859,950 | ||||||
Navios Maritime Acquisition Corporation | ||||||||
| 1,110,000 | 8.625%, 11/1/2017 | 1,040,625 | ||||||
Navios Maritime Holdings, Inc. | ||||||||
| 855,000 | 8.875%, 11/1/2017 | 852,862 | ||||||
|
| |||||||
| Total | 9,808,914 | |||||||
|
| |||||||
| U.S. Government and Agencies (2.7%) |
| ||||||
FDIC Structured Sale Guaranteed Notes | ||||||||
| 240,000 | Zero Coupon, 1/7/2014h | 238,807 | ||||||
Federal Agricultural Mortgage Corporation | ||||||||
| 465,000 | 2.125%, 9/15/2015 | 482,904 | ||||||
Federal Home Loan Banks | ||||||||
| 3,640,000 | 0.375%, 1/29/2014 | 3,647,189 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 640,000 | 1.750%, 9/10/2015 | 663,448 | ||||||
| 3,535,000 | 0.750%, 1/12/2018 | 3,511,057 | ||||||
Federal National Mortgage Association | ||||||||
| 2,250,000 | 1.250%, 2/27/2014 | 2,280,008 | ||||||
| 1,200,000 | 0.500%, 5/27/2015 | 1,204,356 | ||||||
| 750,000 | 4.375%, 10/15/2015 | 832,763 | ||||||
| 5,000,000 | 0.375%, 12/21/2015e | 4,993,800 | ||||||
| 2,400,000 | 1.375%, 11/15/2016 | 2,472,456 | ||||||
| 2,290,000 | 0.875%, 12/20/2017 | 2,294,472 | ||||||
| 540,000 | 6.250%, 5/15/2029 | 775,759 | ||||||
Tennessee Valley Authority | ||||||||
| 520,000 | 5.250%, 9/15/2039 | 684,172 | ||||||
U.S. Treasury Bonds | ||||||||
| 1,215,000 | 7.625%, 2/15/2025 | 1,959,188 | ||||||
| 2,975,000 | 4.375%, 5/15/2040 | 3,872,614 | ||||||
| 11,760,000 | 3.000%, 5/15/2042 | 11,980,500 | ||||||
| 2,430,000 | 2.750%, 8/15/2042 | 2,346,469 | ||||||
U.S. Treasury Bonds, TIPS | ||||||||
| 128,854 | 2.375%, 1/15/2025 | 173,822 | ||||||
| 90,969 | 2.125%, 2/15/2040 | 133,484 | ||||||
U.S. Treasury Notes | ||||||||
| 235,000 | 0.250%, 4/30/2014 | 235,101 | ||||||
| 9,055,000 | 0.750%, 6/15/2014 | 9,125,385 | ||||||
| 6,610,000 | 2.500%, 4/30/2015 | 6,946,700 | ||||||
| 3,500,000 | 0.250%, 9/15/2015 | 3,492,342 | ||||||
| 1,785,000 | 2.625%, 2/29/2016 | 1,910,089 | ||||||
| 1,225,000 | 1.000%, 10/31/2016 | 1,248,351 | ||||||
| 4,350,000 | 3.250%, 3/31/2017j | 4,837,335 | ||||||
| 11,000,000 | 0.750%, 6/30/2017 | 11,065,318 | ||||||
| 45,500,000 | 0.875%, 7/31/2019 | 44,938,348 | ||||||
| 12,910,000 | 1.625%, 8/15/2022 | 12,825,285 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
| 690,526 | 1.625%, 1/15/2015 | 733,631 | ||||||
| 595,787 | 0.125%, 4/15/2017 | 638,004 | ||||||
| 864,985 | 2.625%, 7/15/2017 | 1,036,495 | ||||||
| 785,443 | 1.875%, 7/15/2019 | 955,970 | ||||||
| 645,044 | 1.125%, 1/15/2021 | 757,625 | ||||||
| 786,962 | 0.125%, 1/15/2022 | 854,593 | ||||||
|
| |||||||
| Total | 146,147,840 | |||||||
|
| |||||||
| Utilities (0.4%) |
| ||||||
AES Corporation | ||||||||
| 1,435,000 | 7.375%, 7/1/2021 | 1,592,850 | ||||||
American Electric Power Company, Inc. | ||||||||
| 600,000 | 1.650%, 12/15/2017 | 602,102 | ||||||
CenterPoint Energy, Inc. | ||||||||
| 780,000 | 6.850%, 6/1/2015 | 880,407 | ||||||
Crosstex Energy, LP/Crosstex Energy Finance Corporation | ||||||||
| 1,110,000 | 8.875%, 2/15/2018 | 1,198,800 | ||||||
DCP Midstream Operating, LP | ||||||||
| 300,000 | 2.500%, 12/1/2017 | 298,402 | ||||||
Energy Transfer Partners, LP | ||||||||
| 876,000 | 4.650%, 6/1/2021 | 962,488 | ||||||
Enterprise Products Operating, LLC | ||||||||
| 876,000 | 1.250%, 8/13/2015 | 881,380 | ||||||
Exelon Corporation | ||||||||
| 790,000 | 4.900%, 6/15/2015 | 859,937 | ||||||
FirstEnergy Solutions Corporation | ||||||||
| 1,259,000 | 4.800%, 2/15/2015 | 1,352,031 | ||||||
ITC Holdings Corporation | ||||||||
| 746,000 | 5.875%, 9/30/2016h | 847,781 | ||||||
Kinder Morgan Energy Partners, LP | ||||||||
| 588,000 | 5.300%, 9/15/2020 | 685,351 | ||||||
| 588,000 | 5.000%, 8/15/2042 | 623,149 | ||||||
MarkWest Energy Partners, LP | ||||||||
| 1,190,000 | 5.500%, 2/15/2023 | 1,291,150 | ||||||
MidAmerican Energy Holdings Company | ||||||||
| 588,000 | 6.500%, 9/15/2037 | 780,993 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
| 882,000 | 1.200%, 6/1/2015 | 888,275 | ||||||
NiSource Finance Corporation | ||||||||
| 882,000 | 5.950%, 6/15/2041 | 1,018,563 | ||||||
NRG Energy, Inc. | ||||||||
| 1,010,000 | 6.625%, 3/15/2023h | 1,080,700 | ||||||
ONEOK Partners, LP | ||||||||
| 294,000 | 2.000%, 10/1/2017 | 296,444 | ||||||
| 375,000 | 8.625%, 3/1/2019 | 497,902 | ||||||
Pacific Gas & Electric Company | ||||||||
| 841,000 | 5.625%, 11/30/2017 | 1,015,360 | ||||||
PPL Capital Funding, Inc. | ||||||||
| 600,000 | 3.500%, 12/1/2022 | 610,738 | ||||||
Sempra Energy | ||||||||
| 841,000 | 6.150%, 6/15/2018 | 1,031,760 | ||||||
Williams Partners, LP | ||||||||
| 294,000 | 7.250%, 2/1/2017 | 357,160 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
116
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Utilities (0.4%) - continued |
| ||||||
| $ | 294,000 | 5.250%, 3/15/2020 | $ | 338,674 | ||||
| Total | 19,992,397 | |||||||
Total Long-Term Fixed Income (cost $804,484,860) | 821,454,842 | |||||||
Shares | Collateral Held for Securities Loaned (0.9%) | |||||||
| 46,692,956 | Thrivent Cash Management Trust | 46,692,956 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $46,692,956) | 46,692,956 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (20.5%) | |||||||
Federal Home Loan Bank | ||||||||
Discount Notes | ||||||||
| 60,000,000 | 0.122%, 1/9/2013f,k | 59,998,373 | ||||||
| 50,000,000 | 0.080%, 1/23/2013k | 49,997,555 | ||||||
| 25,000,000 | 0.130%, 2/6/2013f,k | 24,996,750 | ||||||
| 50,000,000 | 0.080%, 3/13/2013k | 49,992,111 | ||||||
| 19,400,000 | 0.135%, 6/7/2013f,k | 19,388,563 | ||||||
Federal National Mortgage | ||||||||
Association Discount Notes | ||||||||
| 50,000,000 | 0.125%, 1/23/2013k | 49,996,181 | ||||||
| 834,029,047 | Thrivent Cash Management Trust | 834,029,047 | ||||||
U.S. Treasury Bills | ||||||||
| 7,600,000 | 0.120%, 1/17/2013f,k | 7,599,578 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 1,095,998,158 | |||||||
|
| |||||||
| Total Investments (cost $5,551,991,257) 106.4% | $ | 5,679,089,044 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (6.4%) | (341,152,778 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 5,337,936,266 | ||||||
|
| |||||||
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | All or a portion of the loan is unfunded. |
| c | Denotes investments purchased on a when-issued or delayed delivery basis. |
| d | Non-income producing security. |
| e | All or a portion of the security is on loan. |
| f | At December 31, 2012, $45,827,222 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| g | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2012. |
| h | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2012, the value of these investments was $55,984,692 or 1.0% of total net assets. |
| i | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| j | At December 31, 2012, $339,169 of investments were pledged as collateral with the custodian under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
| k | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
| REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. | ||
| TIPS | - | Treasury Inflation Protected Security. | ||
| ETF | - | Exchange Traded Fund. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 228,656,848 | ||
Gross unrealized depreciation | (105,800,586 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 122,856,262 | ||
Cost for federal income tax purposes | $ | 5,556,232,782 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
117
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Moderate Allocation Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 8,277,776 | — | 8,277,776 | — | ||||||||||||
Capital Goods | 4,096,708 | — | 4,096,708 | — | ||||||||||||
Communications Services | 35,802,515 | — | 35,802,515 | — | ||||||||||||
Consumer Cyclical | 12,789,821 | — | 12,789,821 | — | ||||||||||||
Consumer Non-Cyclical | 22,352,389 | — | 22,352,389 | — | ||||||||||||
Energy | 7,517,560 | — | 7,517,560 | — | ||||||||||||
Financials | 5,533,675 | — | 5,533,675 | — | ||||||||||||
Technology | 14,170,308 | — | 14,170,308 | — | ||||||||||||
Transportation | 3,191,309 | — | 3,191,309 | — | ||||||||||||
Utilities | 5,226,400 | — | 5,226,400 | — | ||||||||||||
Mutual Funds | ||||||||||||||||
Equity Mutual Funds | 1,444,973,978 | 1,444,973,978 | — | — | ||||||||||||
Fixed Income Mutual Funds | 1,277,905,003 | 1,277,905,003 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 134,201,362 | 134,201,362 | — | — | ||||||||||||
Consumer Staples | 60,141,180 | 52,253,244 | 7,887,936 | — | ||||||||||||
Energy | 120,045,904 | 116,421,416 | 3,624,488 | — | ||||||||||||
Financials | 135,080,454 | 135,080,454 | — | — | ||||||||||||
Health Care | 104,927,160 | 104,927,160 | — | — | ||||||||||||
Industrials | 83,666,502 | 83,666,502 | — | — | ||||||||||||
Information Technology | 185,952,723 | 185,952,723 | — | — | ||||||||||||
Materials | 31,076,782 | 31,076,782 | — | — | ||||||||||||
Telecommunications Services | 4,750,611 | 4,750,611 | — | — | ||||||||||||
Utilities | 13,262,968 | 13,262,968 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 8,045,708 | — | 8,045,708 | — | ||||||||||||
Basic Materials | 11,283,075 | — | 11,283,075 | — | ||||||||||||
Capital Goods | 15,100,688 | — | 15,100,688 | — | ||||||||||||
Collateralized Mortgage Obligations | 40,102,109 | — | 40,102,109 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 58,215,280 | — | 58,215,280 | — | ||||||||||||
Communications Services | 36,325,678 | — | 36,325,678 | — | ||||||||||||
Consumer Cyclical | 20,785,693 | — | 20,785,693 | — | ||||||||||||
Consumer Non-Cyclical | 28,843,107 | — | 28,843,107 | — | ||||||||||||
Energy | 16,795,679 | — | 16,795,679 | — | ||||||||||||
Financials | 76,275,741 | — | 76,275,741 | — | ||||||||||||
Foreign Government | 2,265,405 | — | 2,265,405 | — | ||||||||||||
Mortgage-Backed Securities | 320,215,276 | — | 320,215,276 | — | ||||||||||||
Technology | 11,252,252 | — | 11,252,252 | — | ||||||||||||
Transportation | 9,808,914 | — | 9,808,914 | — | ||||||||||||
U.S. Government and Agencies | 146,147,840 | — | 146,147,840 | — | ||||||||||||
Utilities | 19,992,397 | — | 19,992,397 | — | ||||||||||||
Collateral Held for Securities Loaned | 46,692,956 | 46,692,956 | — | — | ||||||||||||
Short-Term Investments | 1,095,998,158 | 834,029,047 | 261,969,111 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 5,679,089,044 | $ | 4,465,194,206 | $ | 1,213,894,838 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 858,487 | 858,487 | — | — | ||||||||||||
Credit Default Swaps | 713,911 | — | 713,911 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 1,572,398 | $ | 858,487 | $ | 713,911 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 11,505,160 | 9,136,263 | 2,368,897 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 11,505,160 | $ | 9,136,263 | $ | 2,368,897 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
The accompanying Notes to Financial Statements are an integral part of this schedule.
118
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2012
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (295 | ) | March 2013 | ($ | 65,014,336 | ) | ($ | 65,038,281 | ) | ($ | 23,945 | ) | ||||||||
5-Yr. U.S. Treasury Bond Futures | (775 | ) | March 2013 | (96,582,011 | ) | (96,420,896 | ) | 161,115 | ||||||||||||
10-Yr. U.S. Treasury Bond Futures | 760 | March 2013 | 101,254,504 | 100,913,750 | (340,754 | ) | ||||||||||||||
30-Yr. U.S. Treasury Bond Futures | 1,165 | March 2013 | 173,907,111 | 171,837,500 | (2,069,611 | ) | ||||||||||||||
Eurex EURO STOXX 50 Futures | 6,412 | March 2013 | 223,691,230 | 221,322,333 | (2,368,897 | ) | ||||||||||||||
Mini MSCI EAFE Index Futures | 881 | March 2013 | 70,693,643 | 71,374,216 | 680,573 | |||||||||||||||
Russell 2000 Index Mini-Futures | 122 | March 2013 | 10,311,721 | 10,328,520 | 16,799 | |||||||||||||||
S&P 400 Index Mini-Futures | (526 | ) | March 2013 | (53,074,715 | ) | (53,552,060 | ) | (477,345 | ) | |||||||||||
S&P 500 Index Futures | 1,161 | March 2013 | 418,367,047 | 412,184,025 | (6,183,022 | ) | ||||||||||||||
S&P 500 Index Mini-Futures | 323 | March 2013 | 22,976,201 | 22,934,615 | (41,586 | ) | ||||||||||||||
Total Futures Contracts | ($ | 10,646,673 | ) | |||||||||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||||||||
CDX HY, Series 19, 5 Year, at | Buy | 12/20/2017 | $ | 48,500,000 | $ | 629,964 | ($ | 273,147 | ) | $ | 356,817 | |||||||||||
5.00%; Bank of America | ||||||||||||||||||||||
CDX HY, Series 19, 5 Year, at | Buy | 12/20/2017 | 9,400,000 | 122,096 | (52,940 | ) | 69,156 | |||||||||||||||
5.00%; J.P. Morgan Chase and Co. | ||||||||||||||||||||||
CDX HY, Series 19, 5 Year, at | Buy | 12/20/2017 | 39,100,000 | 508,145 | (220,207 | ) | 287,938 | |||||||||||||||
5.00%; J.P. Morgan Chase and Co. | ||||||||||||||||||||||
Total Credit Default Swaps | ($ | 546,294 | ) | $ | 713,911 | |||||||||||||||||
| 1 | As the buyer of protection, Moderate Allocation Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, Moderate Allocation Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
| 2 | The maximum potential amount of future payments Moderate Allocation Portfolio could be required to make as the seller or receive as the buyer of protection. |
| 3 | The values for credit indexes (CDX or LCDX) serve as an indicator of the current status of the payment/performance risk and represent the liability or profit for the credit default swap contract had the contract been closed as of the reporting date. When protection has been sold, the value of the swap will increase when the swap spread declines representing an improvement in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. When protection has been purchased, the value of the swap will increase when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread declines representing an improvement in the reference entity’s credit worthiness. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
119
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2012, for Moderate Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 697,372 | |||
Total Equity Contracts | 697,372 | |||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 161,115 | ||||
Total Interest Rate Contracts | 161,115 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 713,911 | ||||
Total Credit Contracts | 713,911 | |||||
|
| |||||
Total Asset Derivatives | $ | 1,572,398 | ||||
|
| |||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 11,140,461 | ||||
Total Equity Contracts | 11,140,461 | |||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 364,699 | ||||
Total Interest Rate Contracts | 364,699 | |||||
|
| |||||
Total Liability Derivatives | $ | 11,505,160 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Moderate Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 60,236,920 | ||||
Total Equity Contracts | 60,236,920 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (22,033 | ) | |||
Total Foreign Exchange Contracts | (22,033 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 9,552,809 | ||||
Total Interest Rate Contracts | 9,552,809 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | 4,568,287 | ||||
Total Credit Contracts | 4,568,287 | |||||
|
| |||||
Total | $ | 74,335,983 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
120
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2012, for Moderate Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (14,152,702 | ) | |||
Total Equity Contracts | (14,152,702 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (248,043 | ) | |||
Total Interest Rate Contracts | (248,043 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (205,639 | ) | |||
Total Credit Contracts | (205,639 | ) | ||||
|
| |||||
Total | ($ | 14,606,384 | ) | |||
|
| |||||
The following table presents Moderate Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | ||||||||||||||||||
Equity Contracts | $ | 472,437,907 | 9.9 | % | N/A | N/A | N/A | N/A | ||||||||||||||||
Interest Rate Contracts | 310,194,773 | 6.5 | N/A | N/A | N/A | N/A | ||||||||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 262,320 | <0.1 | % | N/A | N/A | ||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 19,755,924 | 0.4 | % | ||||||||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
121
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2012
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Moderate Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Partner Small Cap Growth | $ | 55,795,259 | $ | 15,000,000 | $ | — | 5,698,281 | $ | 79,055,103 | $ | — | |||||||||||||
Partner Small Cap Value | 78,961,913 | 551,535 | — | 4,264,932 | 90,308,232 | 551,535 | ||||||||||||||||||
Small Cap Stock | 43,129,445 | — | — | 3,596,908 | 47,193,950 | — | ||||||||||||||||||
Partner Mid Cap Value | 73,224,646 | 659,948 | — | 5,904,171 | 86,604,747 | 659,948 | ||||||||||||||||||
Mid Cap Stock | 133,427,441 | 357,413 | — | 11,654,145 | 152,496,820 | 357,413 | ||||||||||||||||||
Partner Worldwide Allocation | 202,887,736 | 36,435,207 | — | 53,338,438 | 459,697,332 | 6,456,625 | ||||||||||||||||||
Partner International Stock* | 161,178,231 | 8,109,899 | — | — | — | 8,109,899 | ||||||||||||||||||
Large Cap Value | 266,531,978 | 4,983,248 | — | 26,115,820 | 313,363,721 | 4,983,248 | ||||||||||||||||||
Large Cap Stock | 162,772,741 | 1,831,698 | — | 20,286,779 | 187,027,872 | 1,831,698 | ||||||||||||||||||
Equity Income Plus | 25,825,801 | 420,413 | — | 2,977,010 | 29,226,201 | 420,413 | ||||||||||||||||||
High Yield | 164,217,962 | 11,769,636 | 6,757,041 | 36,351,058 | 183,561,939 | 12,399,749 | ||||||||||||||||||
Income | 598,279,774 | 23,037,393 | 1,070,107 | 61,528,827 | 662,868,511 | 24,262,754 | ||||||||||||||||||
Limited Maturity Bond | 578,468,960 | 7,938,893 | 168,566,543 | 43,476,135 | 431,474,553 | 8,259,138 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | — | 326,617,373 | 279,924,417 | 46,692,956 | 46,692,956 | 249,853 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | — | 1,097,404,639 | 263,375,592 | 834,029,047 | 834,029,047 | 135,695 | ||||||||||||||||||
Total Value and Income Earned | 2,544,701,887 | 3,603,600,984 | 68,677,968 | |||||||||||||||||||||
| * | Effective July 27, 2012 Partner International Stock Portfolio merged into Partner Worldwide Allocation Portfolio, with Partner Worldwide Allocation Portfolio acquiring the assets and liabilities of the Partner International Stock Portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
122
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Bank Loans (2.8%)a | Value | ||||||
| Basic Materials (0.2%) |
| ||||||
| Arch Coal, Inc., Term Loan | ||||||||
| $1,748,993 | 5.750%, 5/16/2018b,c | $ | 1,764,577 | |||||
| FMG Resources August 2006 Pty., Ltd., Term Loan | ||||||||
| 1,481,288 | 5.250%, 10/18/2017 | 1,492,397 | ||||||
| Ineos US Finance, LLC, Term Loan | ||||||||
| 2,358,038 | 13.639%, 5/4/2018 | 2,380,959 | ||||||
|
| |||||||
| Total | 5,637,933 | |||||||
|
| |||||||
| Capital Goods (0.1%) | ||||||||
| ADS Waste Holdings, Inc., Term Loan | ||||||||
| 1,820,000 | 5.250%, 10/9/2019 | 1,840,475 | ||||||
| MRC Global, Inc., Term Loan | ||||||||
| 1,296,750 | 6.250%, 10/24/2019 | 1,299,992 | ||||||
|
| |||||||
| Total | 3,140,467 | |||||||
|
| |||||||
| Communications Services (0.8%) | ||||||||
| Atlantic Broadband Penn, Term Loan | ||||||||
| 1,040,000 | 4.500%, 9/10/2019 | 1,048,060 | ||||||
| Charter Communications Operating, LLC, Term Loan | ||||||||
| 754,300 | 4.000%, 5/15/2019 | 760,146 | ||||||
| Clear Channel Communications, Inc., Term Loan | ||||||||
| 1,340,000 | 5.447%, 1/29/2016 | 1,104,455 | ||||||
| Cricket Communications, Inc., Term Loan | ||||||||
| 260,000 | 4.750%, 10/10/2019 | 261,084 | ||||||
| Cumulus Media Holdings, Inc., Term Loan | ||||||||
| 1,905,000 | 0.000%, 9/17/2018b,c | 1,909,172 | ||||||
| Fairpoint Communications, Inc., Term Loan | ||||||||
| 1,140,000 | 4.500%, 1/25/2016b,c | 1,100,533 | ||||||
| Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 1,309,767 | 4.500%, 4/2/2018 | 1,319,865 | ||||||
| Level 3 Financing, Inc., Term Loan | ||||||||
| 2,540,000 | 4.750%, 8/1/2019 | 2,550,592 | ||||||
| Liberty Cablevision of Puerto Rico, Ltd., Term Loan | ||||||||
| 1,293,500 | 6.000%, 6/9/2017 | 1,299,968 | ||||||
| MCC Georgia, LLC, Term Loan | ||||||||
| 1,037,400 | 4.000%, 1/20/2020 | 1,036,964 | ||||||
| SBA Senior Finance II, LLC, Term Loan | ||||||||
| 780,000 | 3.750%, 9/28/2019 | 782,925 | ||||||
| Toys R Us, Inc., Term Loan | ||||||||
| 1,679,419 | 5.250%, 5/25/2018 | 1,604,904 | ||||||
| Univision Communications, Inc., Term Loan | ||||||||
| 831,432 | 2.212%, 9/29/2014 | 829,877 | ||||||
| 1,755,000 | 4.462%, 3/31/2017 | 1,724,568 | ||||||
| Van Wagner Communications, Inc., Term Loan | ||||||||
| 1,495,000 | 8.250%, 8/3/2018 | 1,508,709 | ||||||
| WideOpenWest Finance, LLC, Term Loan | ||||||||
| 1,945,225 | 6.250%, 7/17/2018 | 1,965,125 | ||||||
| Yankee Cable Acquisition, LLC, Term Loan | ||||||||
| 1,001,725 | 5.250%, 8/26/2016 | 1,011,732 | ||||||
| Zayo Group, LLC, Term Loan | ||||||||
| 2,718,295 | 5.250%, 7/2/2019 | 2,748,033 | ||||||
|
| |||||||
| Total | 24,566,712 | |||||||
|
| |||||||
| Consumer Cyclical (0.3%) | ||||||||
| Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
| 1,332,401 | 5.500%, 2/23/2017 | 1,341,675 | ||||||
| Chrysler Group, LLC, Term Loan | ||||||||
| 942,821 | 6.000%, 5/24/2017 | 961,414 | ||||||
| MGM Resorts International, Term Loan | ||||||||
| 1,435,000 | 6.304%, 12/13/2019b,c | 1,448,991 | ||||||
| Rock Ohio Caesars, LLC, 18 month Delayed Draw | ||||||||
| 238,333 | 5.727%, 8/19/2017b,c | 245,483 | ||||||
| Rock Ohio Caesars, LLC, 6 month Delayed Draw | ||||||||
| 143,000 | 5.727%, 8/19/2017b,c | 147,290 | ||||||
| Rock Ohio Caesars, LLC, Term Loan | ||||||||
| 1,828,667 | 8.500%, 8/19/2017 | 1,883,527 | ||||||
| Seven Seas Cruises S de RL, LLC, Term Loan | ||||||||
| 2,315,688 | 6.250%, 12/21/2018 | 2,344,633 | ||||||
|
| |||||||
| Total | 8,373,013 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.6%) | ||||||||
| Bausch & Lomb, Inc., Term Loan | ||||||||
| 1,298,475 | 5.250%, 5/17/2019 | 1,307,746 | ||||||
| Biomet, Inc., Term Loan | ||||||||
| 2,125,000 | 2.086%, 7/25/2017b,c | 2,135,327 | ||||||
| Ceridian Corporation, Term Loan | ||||||||
| 1,560,000 | 5.959%, 5/9/2017 | 1,555,819 | ||||||
| CHS/Community Health Systems, Inc., Term Loan | ||||||||
| 1,300,000 | 3.811%, 1/25/2017 | 1,306,981 | ||||||
| DJO Finance, LLC, Term Loan | ||||||||
| 1,293,485 | 6.250%, 9/15/2017 | 1,298,335 | ||||||
| Grifols, Inc., Term Loan | ||||||||
| 1,291,533 | 4.500%, 6/1/2017 | 1,302,654 | ||||||
| Hologic, Inc., Term Loan | ||||||||
| 1,561,088 | 4.500%, 8/1/2019 | 1,578,369 | ||||||
| Reynolds Group Holdings, Inc., Term Loan | ||||||||
| 259,350 | 4.750%, 9/28/2018 | 262,172 | ||||||
| Roundy’s Supermarkets, Inc., Term Loan | ||||||||
| 1,720,267 | 5.750%, 2/13/2019 | 1,614,367 | ||||||
| SUPERVALU, Inc., Term Loan | ||||||||
| 1,780,000 | 6.750%, 8/10/2018b,c | 1,804,137 | ||||||
| Visant Corporation, Term Loan | ||||||||
| 1,643,622 | 5.250%, 12/22/2016 | 1,489,533 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
123
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Bank Loans (2.8%)a | Value | ||||||
| Consumer Non-Cyclical (0.6%) - continued | ||||||||
| Warner Chilcott Company, LLC, Term Loan | ||||||||
| $100,763 | 4.250%, 3/15/2018 | $ | 101,561 | |||||
| Warner Chilcott Corporation, Term Loan | ||||||||
| 201,526 | 4.250%, 3/15/2018 | 203,122 | ||||||
| 76,534 | 4.250%, 3/15/2018 | 77,140 | ||||||
| WC Luxco Sarl, Term Loan | ||||||||
| 138,549 | 4.250%, 3/15/2018 | 139,646 | ||||||
|
| |||||||
| Total | 16,176,909 | |||||||
|
| |||||||
| Energy (0.2%) | ||||||||
| Cheasapeake Energy Corporation, Term Loan | ||||||||
| 3,910,000 | 5.457%, 12/2/2017b,c | 3,910,978 | ||||||
| NTELOS, Inc., Term Loan | ||||||||
| 685,000 | 0.000%, 11/9/2019b,c | 657,600 | ||||||
| Plains Exploration & Production Company, Term Loan | ||||||||
| 540,000 | 4.000%, 10/15/2019 | 541,690 | ||||||
|
| |||||||
| Total | 5,110,268 | |||||||
|
| |||||||
| Financials (0.1%) | ||||||||
| Nuveen Investments, Inc., Term Loan | ||||||||
| 1,525,000 | 4.954%, 5/13/2017 b,c | 1,530,719 | ||||||
| 395,000 | 5.811%, 5/13/2017b,c | 396,382 | ||||||
| WaveDivision Holdings, LLC, Term Loan | ||||||||
| 1,820,000 | 5.500%, 8/9/2019 | 1,837,017 | ||||||
|
| |||||||
| Total | 3,764,118 | |||||||
|
| |||||||
| Technology (0.3%) | ||||||||
| First Data Corporation Extended, Term Loan | ||||||||
| 2,090,000 | 4.211%, 3/26/2018 | 1,985,270 | ||||||
| First Data Corporation, Term Loan | ||||||||
| 1,040,000 | 5.211%, 9/24/2018 | 1,018,462 | ||||||
| Freescale Semiconductor, Inc., Term Loan | ||||||||
| 2,240,357 | 6.000%, 2/28/2019 | 2,219,701 | ||||||
| Infor US, Inc., Term Loan | ||||||||
| 1,015,555 | 5.250%, 4/5/2018 | 1,023,892 | ||||||
| SunGard Data Systems, Inc., Term Loan | ||||||||
| 2,310,000 | 1.563%, 12/4/2019b,c | 2,327,325 | ||||||
|
| |||||||
| Total | 8,574,650 | |||||||
|
| |||||||
| Transportation (0.1%) | ||||||||
| Delta Air Lines, Inc., Term Loan | ||||||||
| 1,627,821 | 5.500%, 4/20/2017 b,c | 1,641,039 | ||||||
|
| |||||||
| Total | 1,641,039 | |||||||
|
| |||||||
| Utilities (0.1%) | ||||||||
| Calpine Corporation, Term Loan | ||||||||
| 2,079,787 | 4.500%, 10/9/2019 | 2,096,592 | ||||||
| NGPL PipeCo, LLC, Term Loan | ||||||||
| 1,885,179 | 6.750%, 9/15/2017 | 1,925,239 | ||||||
|
| |||||||
| Total | 4,021,831 | |||||||
|
| |||||||
Total Bank Loans (cost $80,563,815) | 81,006,940 | |||||||
| Shares | Mutual Funds (42.4%) | |||||||
| Equity Mutual Funds (13.1%) | ||||||||
| 15,843,670 | Thrivent Partner Worldwide Allocation Portfolio | 136,548,668 | ||||||
| 1,273,911 | Thrivent Partner Small Cap Value Portfolio | 26,974,565 | ||||||
| 1,614,844 | Thrivent Small Cap Stock Portfoliod | 21,187,884 | ||||||
| 2,151,794 | Thrivent Partner Mid Cap Value Portfolio | 31,563,374 | ||||||
| 2,934,910 | Thrivent Mid Cap Stock Portfolio | 38,403,888 | ||||||
| 7,600,011 | Thrivent Large Cap Value Portfolio | 91,192,528 | ||||||
| 2,756,082 | Thrivent Large Cap Stock Portfolio | 25,408,870 | ||||||
| 1,179,786 | Thrivent Equity Income Plus Portfolio | 11,582,316 | ||||||
|
| |||||||
| Total | 382,862,093 | |||||||
|
| |||||||
| Fixed Income Mutual Funds (29.3%) | ||||||||
| 18,782,983 | Thrivent High Yield Portfolio | 94,848,428 | ||||||
| 26,993,350 | Thrivent Income Portfolio | 290,807,453 | ||||||
| 47,427,751 | Thrivent Limited Maturity Bond Portfolio | 470,691,974 | ||||||
|
| |||||||
| Total | 856,347,855 | |||||||
|
| |||||||
| Total Mutual Funds (cost $1,199,610,235) | 1,239,209,948 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (25.8%) | |||||||
| Asset-Backed Securities (0.2%) | ||||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 2,291,895 | 0.360%, 2/25/2037e | 1,212,866 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 5,500,000 | 6.011%, 5/25/2036 | 3,337,785 | ||||||
| 2,592,770 | 5.580%, 11/25/2036 | 1,514,684 | ||||||
|
| |||||||
| Total | 6,065,335 | |||||||
|
| |||||||
| Basic Materials (0.5%) | ||||||||
| ArcelorMittal | ||||||||
| 456,000 | 5.375%, 6/1/2013 | 460,579 | ||||||
| Arch Coal, Inc. | ||||||||
| 1,935,000 | 7.000%, 6/15/2019f | 1,799,550 | ||||||
| BHP Billiton Finance, Ltd. | ||||||||
| 268,000 | 1.000%, 2/24/2015 | 269,985 | ||||||
| Dow Chemical Company | ||||||||
| 718,000 | 5.900%, 2/15/2015 | 792,118 | ||||||
| FMG Resources Property, Ltd. | ||||||||
| 1,935,000 | 8.250%, 11/1/2019f,g | 2,060,775 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
124
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (25.8%) | Value | ||||||
| Basic Materials (0.5%) - continued | ||||||||
| Hexion US Finance Corporation/Hexion Nova Scotia Finance ULC | ||||||||
| $1,870,000 | 8.875%, 2/1/2018 | $ | 1,921,425 | |||||
| Inmet Mining Corporation | ||||||||
| 920,000 | 7.500%, 6/1/2021g | 954,500 | ||||||
| International Paper Company | ||||||||
| 481,000 | 5.300%, 4/1/2015 | 522,285 | ||||||
| LyondellBasell Industries NV | ||||||||
| 1,825,000 | 5.000%, 4/15/2019 | 2,016,625 | ||||||
| Novelis, Inc. | ||||||||
| 1,935,000 | 8.375%, 12/15/2017 | 2,133,337 | ||||||
| Xstrata Finance Canada, Ltd. | ||||||||
| 530,000 | 1.800%, 10/23/2015g | 532,878 | ||||||
|
| |||||||
| Total | 13,464,057 | |||||||
|
| |||||||
| Capital Goods (0.6%) | ||||||||
| Bombardier, Inc. | ||||||||
| 1,870,000 | 5.750%, 3/15/2022f,g | 1,921,425 | ||||||
| Case New Holland, Inc. | ||||||||
| 1,915,000 | 7.875%, 12/1/2017 | 2,264,488 | ||||||
| Caterpillar Financial Services Corporation | ||||||||
| 530,000 | 0.700%, 11/6/2015 | 528,646 | ||||||
| 530,000 | 1.250%, 11/6/2017 | 529,601 | ||||||
| Eaton Corporation | ||||||||
| 536,000 | 0.950%, 11/2/2015g | 537,631 | ||||||
| 268,000 | 1.500%, 11/2/2017g | 268,548 | ||||||
| 402,000 | 4.000%, 11/2/2032g | 413,461 | ||||||
| John Deere Capital Corporation | ||||||||
| 510,000 | 0.700%, 9/4/2015 | 509,986 | ||||||
| Pentair Finance SA | ||||||||
| 510,000 | 1.875%, 9/15/2017g | 511,499 | ||||||
| RBS Global, Inc. | ||||||||
| 1,870,000 | 8.500%, 5/1/2018 | 2,026,612 | ||||||
| Reynolds Group Issuer, Inc. | ||||||||
| 1,925,000 | 6.875%, 2/15/2021 | 2,074,187 | ||||||
| Sealed Air Corporation | ||||||||
| 1,790,000 | 8.375%, 9/15/2021g | 2,045,075 | ||||||
| Textron, Inc. | ||||||||
| 680,000 | 5.600%, 12/1/2017 | 769,914 | ||||||
| United Technologies Corporation | ||||||||
| 817,000 | 6.125%, 7/15/2038 | 1,087,728 | ||||||
| UR Financing Escrow Corporation | ||||||||
| 1,870,000 | 7.375%, 5/15/2020g | 2,052,325 | ||||||
|
| |||||||
| Total | 17,541,126 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (0.9%) | ||||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 824,408 | 5.500%, 11/25/2035 | 728,206 | ||||||
| CitiMortgage Alternative Loan Trust | ||||||||
| 2,813,657 | 5.750%, 4/25/2037 | 2,344,308 | ||||||
| Countrywide Alternative Loan Trust | ||||||||
| 1,553,865 | 6.500%, 8/25/2036 | 1,055,758 | ||||||
| 553,224 | 6.000%, 1/25/2037 | 458,032 | ||||||
| 3,878,189 | 5.500%, 5/25/2037 | 2,894,350 | ||||||
| 3,031,681 | 7.000%, 10/25/2037 | 1,948,646 | ||||||
| Countrywide Home Loans, Inc. | ||||||||
| 1,206,713 | 5.750%, 4/25/2037 | 1,097,460 | ||||||
| Deutsche Alt-A Securities, Inc. | ||||||||
| 930,867 | 6.000%, 10/25/2021 | 854,905 | ||||||
| Deutsche Alt-A Securities, Inc. Alternative Loan Trust | ||||||||
| 431,375 | 5.500%, 10/25/2021 | 441,419 | ||||||
| Greenpoint Mortgage Funding Trust | ||||||||
| 1,620,231 | 0.410%, 10/25/2045e | 1,021,789 | ||||||
| HomeBanc Mortgage Trust | ||||||||
| 1,390,537 | 2.650%, 4/25/2037 | 895,905 | ||||||
| J.P. Morgan Mortgage Trust | ||||||||
| 253,569 | 3.002%, 10/25/2036 | 198,752 | ||||||
| 4,332,410 | 6.250%, 8/25/2037 | 2,997,763 | ||||||
| MASTR Alternative Loans Trust | ||||||||
| 659,722 | 6.500%, 7/25/2034 | 697,909 | ||||||
| 2,924,267 | 0.660%, 12/25/2035e | 1,549,949 | ||||||
| Merrill Lynch Alternative Note Asset Trust | ||||||||
| 637,090 | 6.000%, 3/25/2037 | 557,651 | ||||||
| Residential Asset Securitization Trust | ||||||||
| 3,613,202 | 0.590%, 8/25/2037e | 1,154,772 | ||||||
| Sequoia Mortgage Trust | ||||||||
| 439,800 | 4.923%, 9/20/2046 | 72,082 | ||||||
| 1,972,249 | 4.923%, 9/20/2046 | 1,624,853 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 598,408 | 2.697%, 9/25/2036 | 482,341 | ||||||
| 597,596 | 2.773%, 10/25/2036 | 474,909 | ||||||
| 1,888,537 | 2.423%, 11/25/2036 | 1,514,191 | ||||||
|
| |||||||
| Total | 25,065,950 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (1.4%) | ||||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| 4,600,000 | 5.625%, 4/10/2049 | 5,380,063 | ||||||
| 6,000,000 | 5.685%, 6/10/2049 | 6,954,804 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 2,000,000 | 5.331%, 2/11/2044 | 2,263,864 | ||||||
| Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 1,700,000 | 5.322%, 12/11/2049 | 1,950,087 | ||||||
| Credit Suisse First Boston Mortgage Securities | ||||||||
| 4,600,000 | 5.542%, 1/15/2049 | 5,229,354 | ||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 5,800,000 | 5.509%, 9/15/2039 | 6,271,795 | ||||||
| Government National Mortgage Association | ||||||||
| 171,793 | 2.164%, 3/16/2033 | 174,567 | ||||||
| 142,358 | 3.214%, 1/16/2040 | 149,390 | ||||||
| Greenwich Capital Commercial Funding Corporation | ||||||||
| 3,100,000 | 5.867%, 12/10/2049 | 3,465,701 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
125
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (25.8%) | Value | ||||||
| Commercial Mortgage-Backed Securities (1.4%) - continued | ||||||||
| J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| $2,300,000 | 5.728%, 2/12/2049 | $ | 2,500,576 | |||||
| Morgan Stanley Capital, Inc. | ||||||||
| 1,750,000 | 5.406%, 3/15/2044 | 1,890,627 | ||||||
| Wachovia Bank Commercial | ||||||||
| Mortgage Trust | ||||||||
| 3,450,000 | 5.603%, 10/15/2048 | 3,778,692 | ||||||
|
| |||||||
| Total | 40,009,520 | |||||||
|
| |||||||
| Communications Services (1.4%) | ||||||||
| AMC Networks, Inc. | ||||||||
| 1,790,000 | 7.750%, 7/15/2021 | 2,049,550 | ||||||
| America Movil SAB de CV | ||||||||
| 536,000 | 3.125%, 7/16/2022 | 544,816 | ||||||
| American Tower Corporation | ||||||||
| 640,000 | 5.050%, 9/1/2020 | 717,729 | ||||||
| AT&T, Inc. | ||||||||
| 994,000 | 2.400%, 8/15/2016 | 1,037,310 | ||||||
| British Telecommunications plc | ||||||||
| 650,000 | 2.000%, 6/22/2015 | 668,212 | ||||||
| Cablevision Systems Corporation | ||||||||
| 1,935,000 | 8.625%, 9/15/2017 | 2,256,694 | ||||||
| CBS Corporation | ||||||||
| 536,000 | 8.875%, 5/15/2019 | 722,935 | ||||||
| CC Holdings GS V, LLC | ||||||||
| 268,000 | 2.381%, 12/15/2017g | 269,310 | ||||||
| CCO Holdings, LLC | ||||||||
| 1,925,000 | 7.000%, 1/15/2019 | 2,076,594 | ||||||
| CenturyLink, Inc. | ||||||||
| 1,050,000 | 5.800%, 3/15/2022 | 1,109,983 | ||||||
| Clear Channel Worldwide Holdings, Inc. | ||||||||
| 1,830,000 | 6.500%, 11/15/2022g | 1,898,625 | ||||||
| Comcast Corporation | ||||||||
| 325,000 | 4.650%, 7/15/2042 | 342,570 | ||||||
| Cox Communications, Inc. | ||||||||
| 545,000 | 3.250%, 12/15/2022g | 562,036 | ||||||
| Crown Castle Towers, LLC | ||||||||
| 480,000 | 4.174%, 8/15/2017g | 526,738 | ||||||
| Digicel, Ltd. | ||||||||
| 1,430,000 | 8.250%, 9/1/2017g | 1,530,100 | ||||||
| 540,000 | 7.000%, 2/15/2020g | 577,800 | ||||||
| Dish DBS Corporation | ||||||||
| 1,040,000 | 4.625%, 7/15/2017 | 1,084,200 | ||||||
| 1,540,000 | 5.875%, 7/15/2022 | 1,655,500 | ||||||
| Frontier Communications Corporation | ||||||||
| 1,790,000 | 8.125%, 10/1/2018 | 2,058,500 | ||||||
| Hughes Satellite Systems Corporation | ||||||||
| 1,935,000 | 6.500%, 6/15/2019 | 2,133,337 | ||||||
| Intelsat Jackson Holdings SA | ||||||||
| 1,935,000 | 7.250%, 4/1/2019 | 2,080,125 | ||||||
| NBCUniversal Media, LLC | ||||||||
| 762,000 | 2.875%, 4/1/2016 | 803,335 | ||||||
| 265,000 | 2.875%, 1/15/2023 | 266,128 | ||||||
| News America, Inc. | ||||||||
| 630,000 | 3.000%, 9/15/2022g | 632,836 | ||||||
| Nippon Telegraph & Telephone Corporation | ||||||||
| 504,000 | 1.400%, 7/18/2017 | 510,097 | ||||||
| SBA Telecommunications, Inc. | ||||||||
| 575,000 | 5.750%, 7/15/2020g | 610,937 | ||||||
| SBA Tower Trust | ||||||||
| 505,000 | 5.101%, 4/17/2017g | 569,424 | ||||||
| Sprint Nextel Corporation | ||||||||
| 450,000 | 9.000%, 11/15/2018g | 555,750 | ||||||
| 780,000 | 6.000%, 11/15/2022 | 801,450 | ||||||
| Telefonica Emisiones SAU | ||||||||
| 504,000 | 3.729%, 4/27/2015 | 517,810 | ||||||
| Time Warner Cable, Inc. | ||||||||
| 507,000 | 3.500%, 2/1/2015 | 535,462 | ||||||
| Univision Communications, Inc. | ||||||||
| 1,490,000 | 6.750%, 9/15/2022g | 1,538,425 | ||||||
| UPCB Finance V, Ltd. | ||||||||
| 1,935,000 | 7.250%, 11/15/2021g | 2,128,500 | ||||||
| Verizon Communications, Inc. | ||||||||
| 398,000 | 1.100%, 11/1/2017 | 396,212 | ||||||
| 995,000 | 5.500%, 2/15/2018 | 1,194,868 | ||||||
| 398,000 | 2.450%, 11/1/2022 | 398,133 | ||||||
| 265,000 | 3.850%, 11/1/2042 | 260,645 | ||||||
| Virgin Media Finance plc | ||||||||
| 1,870,000 | 5.250%, 2/15/2022 | 1,982,200 | ||||||
| Vivendi SA | ||||||||
| 765,000 | 2.400%, 4/10/2015g | 780,280 | ||||||
| Vodafone Group plc | ||||||||
| 494,000 | 1.250%, 9/26/2017 | 492,507 | ||||||
|
| |||||||
| Total | 40,877,663 | |||||||
|
| |||||||
| Consumer Cyclical (0.9%) | ||||||||
| Amazon.com, Inc. | ||||||||
| 268,000 | 1.200%, 11/29/2017 | 266,527 | ||||||
| 536,000 | 2.500%, 11/29/2022 | 528,292 | ||||||
| American Honda Finance Corporation | ||||||||
| 255,000 | 1.000%, 8/11/2015g | 256,437 | ||||||
| Chrysler Group, LLC | ||||||||
| 2,175,000 | 8.000%, 6/15/2019f | 2,370,750 | ||||||
| Federated Retail Holdings, Inc. | ||||||||
| 305,000 | 5.900%, 12/1/2016 | 358,379 | ||||||
| Ford Motor Credit Company, LLC | ||||||||
| 494,000 | 12.000%, 5/15/2015 | 606,385 | ||||||
| 2,420,000 | 5.000%, 5/15/2018 | 2,670,315 | ||||||
| Host Hotels and Resorts, LP | ||||||||
| 1,540,000 | 6.000%, 11/1/2020 | 1,694,000 | ||||||
| Hyundai Capital America | ||||||||
| 530,000 | 1.625%, 10/2/2015g | 533,185 | ||||||
| Lennar Corporation | ||||||||
| 1,360,000 | 12.250%, 6/1/2017 | 1,825,800 | ||||||
| Limited Brands, Inc. | ||||||||
| 1,210,000 | 5.625%, 2/15/2022 | 1,315,875 | ||||||
| Macy’s Retail Holdings, Inc. | ||||||||
| 271,000 | 3.875%, 1/15/2022 | 288,851 | ||||||
| 268,000 | 4.300%, 2/15/2043 | 260,763 | ||||||
| MGM Resorts International | ||||||||
| 1,800,000 | 7.625%, 1/15/2017f | 1,926,000 | ||||||
| Royal Caribbean Cruises, Ltd. | ||||||||
| 1,570,000 | 5.250%, 11/15/2022 | 1,660,275 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
126
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (25.8%) | Value | ||||||
| Consumer Cyclical (0.9%) - continued | ||||||||
| Service Corporation International | ||||||||
| $1,295,000 | 8.000%, 11/15/2021 | $ | 1,592,850 | |||||
| Six Flags Entertainment Corporation | ||||||||
| 2,500,000 | 5.250%, 1/15/2021g | 2,500,000 | ||||||
| The Walt Disney Company | ||||||||
| 536,000 | 1.100%, 12/1/2017 | 537,125 | ||||||
| Time Warner, Inc. | ||||||||
| 400,000 | 3.150%, 7/15/2015 | 422,998 | ||||||
| Toyota Motor Credit Corporation | ||||||||
| 325,000 | 1.750%, 5/22/2017 | 332,810 | ||||||
| Toys R Us Property Company II, LLC | ||||||||
| 1,930,000 | 8.500%, 12/1/2017 | 2,045,800 | ||||||
| TRW Automotive, Inc. | ||||||||
| 344,000 | 7.250%, 3/15/2017g | 396,030 | ||||||
| Viacom, Inc. | ||||||||
| 255,000 | 1.250%, 2/27/2015 | 257,490 | ||||||
| Volkswagen International Finance NV | ||||||||
| 240,000 | 1.150%, 11/20/2015g | 240,332 | ||||||
| Western Union Company | ||||||||
| 536,000 | 2.375%, 12/10/2015 | 538,482 | ||||||
|
| |||||||
| Total | 25,425,751 | |||||||
|
| |||||||
| Consumer Non-Cyclical (1.1%) | ||||||||
| AbbVie, Inc. | ||||||||
| 536,000 | 1.200%, 11/6/2015g | 539,581 | ||||||
| 268,000 | 1.750%, 11/6/2017g | 270,915 | ||||||
| 402,000 | 2.000%, 11/6/2018g | 407,196 | ||||||
| Amgen, Inc. | ||||||||
| 330,000 | 4.850%, 11/18/2014 | 355,135 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 252,000 | 0.800%, 7/15/2015 | 252,659 | ||||||
| 268,000 | 1.375%, 7/15/2017 | 270,822 | ||||||
| BAT International Finance plc | ||||||||
| 650,000 | 1.400%, 6/5/2015g | 659,320 | ||||||
| Biomet, Inc. | ||||||||
| 1,800,000 | 6.500%, 10/1/2020g | 1,788,750 | ||||||
| Boston Scientific Corporation | ||||||||
| 1,065,000 | 5.450%, 6/15/2014 | 1,132,235 | ||||||
| Bunge Limited Finance Corporation | ||||||||
| 255,000 | 3.200%, 6/15/2017 | 266,126 | ||||||
| Celgene Corporation | ||||||||
| 378,000 | 1.900%, 8/15/2017 | 384,785 | ||||||
| 381,000 | 3.250%, 8/15/2022 | 388,385 | ||||||
| Community Health Systems, Inc. | ||||||||
| 1,295,000 | 8.000%, 11/15/2019 | 1,401,838 | ||||||
| ConAgra Foods, Inc. | ||||||||
| 765,000 | 1.350%, 9/10/2015 | 764,976 | ||||||
| CVS Caremark Corporation | ||||||||
| 330,000 | 6.125%, 9/15/2039 | 422,321 | ||||||
| Express Scripts Holding Company | ||||||||
| 510,000 | 2.750%, 11/21/2014g | 526,113 | ||||||
| 510,000 | 3.125%, 5/15/2016 | 537,689 | ||||||
| Fresenius Medical Care US Finance II, Inc. | ||||||||
| 1,330,000 | 5.625%, 7/31/2019g | 1,428,088 | ||||||
| Gilead Sciences, Inc. | ||||||||
| $399,000 | 2.400%, 12/1/2014 | 411,460 | ||||||
| 439,000 | 3.050%, 12/1/2016 | 470,180 | ||||||
| Grifols, Inc. | ||||||||
| 1,800,000 | 8.250%, 2/1/2018 | 1,982,250 | ||||||
| HCA, Inc. | ||||||||
| 1,870,000 | 5.875%, 3/15/2022 | 2,033,625 | ||||||
| Heineken NV | ||||||||
| 268,000 | 0.800%, 10/1/2015g | 268,501 | ||||||
| 268,000 | 1.400%, 10/1/2017g | 267,191 | ||||||
| 132,000 | 4.000%, 10/1/2042g | 127,665 | ||||||
| JBS USA, LLC | ||||||||
| 1,790,000 | 7.250%, 6/1/2021g | 1,794,475 | ||||||
| Kraft Foods, Inc. | ||||||||
| 650,000 | 1.625%, 6/4/2015g | 661,550 | ||||||
| Laboratory Corporation of America Holdings | ||||||||
| 510,000 | 2.200%, 8/23/2017 | 523,486 | ||||||
| Libbey Glass, Inc. | ||||||||
| 260,000 | 6.875%, 5/15/2020 | 279,500 | ||||||
| Lorillard Tobacco Company | ||||||||
| 504,000 | 2.300%, 8/21/2017 | 509,626 | ||||||
| McKesson Corporation | ||||||||
| 268,000 | 0.950%, 12/4/2015 | 268,377 | ||||||
| Mylan, Inc. | ||||||||
| 536,000 | 7.875%, 7/15/2020g | 633,424 | ||||||
| Rite Aid Corporation | ||||||||
| 1,780,000 | 7.500%, 3/1/2017 | 1,828,950 | ||||||
| Roche Holdings, Inc. | ||||||||
| 510,000 | 7.000%, 3/1/2039g | 768,435 | ||||||
| SABMiller Holdings, Inc. | ||||||||
| 759,000 | 1.850%, 1/15/2015g | 773,942 | ||||||
| Safeway, Inc. | ||||||||
| 525,000 | 5.000%, 8/15/2019 | 564,839 | ||||||
| Spectrum Brands Holdings, Inc. | ||||||||
| 1,790,000 | 9.500%, 6/15/2018 | 2,031,650 | ||||||
| Teva Pharmaceutical Finance Company BV | ||||||||
| 330,000 | 2.400%, 11/10/2016 | 343,899 | ||||||
| Teva Pharmaceutical Finance IV, LLC | ||||||||
| 560,000 | 1.700%, 11/10/2014 | 572,890 | ||||||
| Tyson Foods, Inc. | ||||||||
| 650,000 | 4.500%, 6/15/2022 | 703,635 | ||||||
| Valeant Pharmaceuticals | ||||||||
| International | ||||||||
| 1,935,000 | 6.875%, 12/1/2018g | 2,084,963 | ||||||
|
| |||||||
| Total | 31,701,447 | |||||||
|
| |||||||
| Energy (0.6%) | ||||||||
| BP Capital Markets plc | ||||||||
| 265,000 | 0.700%, 11/6/2015 | 264,620 | ||||||
| 795,000 | 1.375%, 11/6/2017 | 795,701 | ||||||
| 536,000 | 4.500%, 10/1/2020 | 617,719 | ||||||
| Concho Resources, Inc. | ||||||||
| 2,090,000 | 5.500%, 10/1/2022 | 2,204,950 | ||||||
| Denbury Resources, Inc. | ||||||||
| 1,905,000 | 6.375%, 8/15/2021 | 2,095,500 | ||||||
| EOG Resources, Inc. | ||||||||
| 510,000 | 2.625%, 3/15/2023 | 513,588 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
127
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (25.8%) | Value | ||||||
| Energy (0.6%) - continued | ||||||||
| Harvest Operations Corporation | ||||||||
| $1,620,000 | 6.875%, 10/1/2017 | $ | 1,798,200 | |||||
| Linn Energy, LLC | ||||||||
| 1,925,000 | 7.750%, 2/1/2021 | 2,050,125 | ||||||
| Marathon Oil Corporation | ||||||||
| 795,000 | 0.900%, 11/1/2015 | 795,641 | ||||||
| Marathon Petroleum Corporation | ||||||||
| 504,000 | 3.500%, 3/1/2016 | 536,513 | ||||||
| Murphy Oil Corporation | ||||||||
| 403,000 | 2.500%, 12/1/2017 | 405,485 | ||||||
| Phillips 66 | ||||||||
| 671,000 | 2.950%, 5/1/2017g | 711,151 | ||||||
| Pioneer Natural Resources Company | ||||||||
| 255,000 | 5.875%, 7/15/2016 | 289,142 | ||||||
| SandRidge Energy, Inc. | ||||||||
| 1,805,000 | 7.500%, 2/15/2023 | 1,931,350 | ||||||
| Suncor Energy, Inc. | ||||||||
| 441,000 | 6.100%, 6/1/2018 | 537,940 | ||||||
| Transocean, Inc. | ||||||||
| 252,000 | 5.050%, 12/15/2016 | 280,582 | ||||||
| 504,000 | 6.000%, 3/15/2018 | 584,534 | ||||||
| Valero Energy Corporation | ||||||||
| 510,000 | 7.500%, 4/15/2032 | 654,331 | ||||||
| Weatherford International, Ltd. | ||||||||
| 765,000 | 6.750%, 9/15/2040 | 867,501 | ||||||
|
| |||||||
| Total | 17,934,573 | |||||||
|
| |||||||
| Financials (2.4%) | ||||||||
| ABN Amro North American Holding Preferred Capital Repackage Trust I | ||||||||
| 265,000 | 3.407%, 12/29/2049e,g,h | 265,000 | ||||||
| Achmea Hypotheekbank NV | ||||||||
| 220,000 | 3.200%, 11/3/2014g | 230,624 | ||||||
| Aetna, Inc. | ||||||||
| 265,000 | 1.500%, 11/15/2017 | 265,536 | ||||||
| 106,000 | 2.750%, 11/15/2022 | 105,127 | ||||||
| Ally Financial, Inc. | ||||||||
| 1,870,000 | 5.500%, 2/15/2017 | 2,000,457 | ||||||
| American Express Centurion Bank | ||||||||
| 735,000 | 0.875%, 11/13/2015 | 734,460 | ||||||
| American Express Credit Corporation | ||||||||
| 325,000 | 2.375%, 3/24/2017 | 340,053 | ||||||
| American International Group, Inc. | ||||||||
| 765,000 | 2.375%, 8/24/2015 | 787,269 | ||||||
| 715,000 | 3.800%, 3/22/2017 | 773,869 | ||||||
| ANZ National International, Ltd. of London | ||||||||
| 757,000 | 3.125%, 8/10/2015g | 793,211 | ||||||
| Associated Banc Corporation | ||||||||
| 255,000 | 1.875%, 3/12/2014 | 255,038 | ||||||
| Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | ||||||||
| 268,000 | 4.125%, 11/9/2022g | 272,690 | ||||||
| Bank of America Corporation | ||||||||
| 1,041,000 | 7.750%, 8/15/2015 | 1,179,944 | ||||||
| 1,268,000 | 1.500%, 10/9/2015 | 1,274,483 | ||||||
| 510,000 | 5.750%, 8/15/2016 | 557,701 | ||||||
| 870,000 | 5.750%, 12/1/2017 | 1,014,068 | ||||||
| 505,000 | 5.650%, 5/1/2018 | 587,539 | ||||||
| Bank of New York Mellon Corporation | ||||||||
| 265,000 | 0.700%, 10/23/2015 | 264,016 | ||||||
| Bank of Nova Scotia | ||||||||
| 225,000 | 1.450%, 7/26/2013g | 226,395 | ||||||
| Barclays Bank plc | ||||||||
| 859,000 | 6.050%, 12/4/2017g | 950,387 | ||||||
| BBVA US Senior SAU | ||||||||
| 402,000 | 4.664%, 10/9/2015 | 412,177 | ||||||
| Berkshire Hathaway, Inc. | ||||||||
| 660,000 | 1.600%, 5/15/2017 | 672,724 | ||||||
| BlackRock, Inc. | ||||||||
| 325,000 | 1.375%, 6/1/2015 | 330,071 | ||||||
| BNP Paribas SA | ||||||||
| 791,000 | 2.375%, 9/14/2017 | 802,348 | ||||||
| Canadian Imperial Bank of Commerce | ||||||||
| 220,000 | 2.600%, 7/2/2015g | 231,176 | ||||||
| Capital One Capital V | ||||||||
| 504,000 | 10.250%, 8/15/2039 | 504,000 | ||||||
| Capital One Financial Corporation | ||||||||
| 530,000 | 2.150%, 3/23/2015 | 540,993 | ||||||
| 795,000 | 6.150%, 9/1/2016 | 909,496 | ||||||
| CIT Group, Inc. | ||||||||
| 1,800,000 | 4.250%, 8/15/2017 | 1,853,536 | ||||||
| Citigroup, Inc. | ||||||||
| 1,280,000 | 5.000%, 9/15/2014 | 1,346,673 | ||||||
| 877,000 | 4.750%, 5/19/2015 | 945,438 | ||||||
| 871,000 | 6.000%, 8/15/2017 | 1,026,165 | ||||||
| 570,000 | 8.500%, 5/22/2019 | 766,443 | ||||||
| CNA Financial Corporation | ||||||||
| 670,000 | 7.350%, 11/15/2019 | 840,342 | ||||||
| Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||||
| 550,000 | 3.950%, 11/9/2022 | 563,219 | ||||||
| Credit Suisse New York, NY | ||||||||
| 755,000 | 5.500%, 5/1/2014 | 803,315 | ||||||
| DDR Corporation | ||||||||
| 860,000 | 9.625%, 3/15/2016 | 1,055,735 | ||||||
| Developers Diversified Realty Corporation | ||||||||
| 1,670,000 | 7.875%, 9/1/2020 | 2,140,823 | ||||||
| Dexia Credit Local SA | ||||||||
| 225,000 | 2.750%, 4/29/2014g | 228,174 | ||||||
| Discover Financial Services | ||||||||
| 181,000 | 3.850%, 11/21/2022g | 186,769 | ||||||
| Duke Realty, LP | ||||||||
| 255,000 | 3.875%, 10/15/2022 | 259,657 | ||||||
| Eksportfinans ASA | ||||||||
| 330,000 | 3.000%, 11/17/2014 | 327,381 | ||||||
| 465,000 | 5.500%, 5/25/2016 | 484,035 | ||||||
| Fifth Third Bancorp | ||||||||
| 545,000 | 5.450%, 1/15/2017 | 610,628 | ||||||
| General Electric Capital Corporation | ||||||||
| 715,000 | 2.150%, 1/9/2015 | 734,402 | ||||||
| 536,000 | 1.000%, 12/11/2015 | 538,157 | ||||||
| 400,000 | 0.551%, 1/8/2016e | 395,365 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
128
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (25.8%) | Value | ||||||
| Financials (2.4%) - continued | ||||||||
| $365,000 | 1.180%, 5/9/2016e | $ | 365,464 | |||||
| 330,000 | 2.300%, 4/27/2017 | 342,171 | ||||||
| 268,000 | 1.600%, 11/20/2017 | 268,174 | ||||||
| 510,000 | 3.150%, 9/7/2022 | 521,063 | ||||||
| 765,000 | 6.750%, 3/15/2032 | 993,532 | ||||||
| Goldman Sachs Group, Inc. | ||||||||
| 995,000 | 3.700%, 8/1/2015 | 1,050,113 | ||||||
| 268,000 | 1.600%, 11/23/2015 | 269,883 | ||||||
| 763,000 | 0.760%, 3/22/2016e | 740,617 | ||||||
| Hartford Financial Services Group, Inc. | ||||||||
| 185,000 | 7.300%, 11/1/2015 | 210,552 | ||||||
| 64,000 | 5.500%, 10/15/2016 | 71,634 | ||||||
| 715,000 | 4.000%, 10/15/2017 | 781,067 | ||||||
| HCP, Inc. | ||||||||
| 670,000 | 2.625%, 2/1/2020 | 667,385 | ||||||
| Health Care REIT, Inc. | ||||||||
| 268,000 | 2.250%, 3/15/2018 | 267,774 | ||||||
| HSBC Holdings plc | ||||||||
| 683,000 | 6.500%, 5/2/2036 | 853,327 | ||||||
| HSBC USA, Inc. | ||||||||
| 555,000 | 1.625%, 1/16/2018 | 555,504 | ||||||
| Icahn Enterprises, LP | ||||||||
| 2,315,000 | 8.000%, 1/15/2018 | 2,485,731 | ||||||
| ING Bank NV | ||||||||
| 430,000 | 2.000%, 9/25/2015g | 433,182 | ||||||
| 530,000 | 3.750%, 3/7/2017g | 563,268 | ||||||
| ING Capital Funding Trust III | ||||||||
| 575,000 | 3.911%, 12/29/2049e,h | 545,889 | ||||||
| J.P. Morgan Chase & Company | ||||||||
| 722,000 | 4.650%, 6/1/2014 | 760,703 | ||||||
| 530,000 | 1.875%, 3/20/2015 | 539,529 | ||||||
| 225,000 | 1.100%, 10/15/2015 | 224,993 | ||||||
| 530,000 | 3.450%, 3/1/2016 | 562,866 | ||||||
| 756,000 | 2.000%, 8/15/2017 | 772,251 | ||||||
| J.P. Morgan Chase Bank NA | ||||||||
| 697,000 | 0.640%, 6/13/2016e | 677,598 | ||||||
| KeyBank NA | ||||||||
| 804,000 | 7.413%, 5/6/2015 | 904,477 | ||||||
| Liberty Mutual Group, Inc. | ||||||||
| 252,000 | 4.950%, 5/1/2022g | 274,652 | ||||||
| 530,000 | 6.500%, 5/1/2042g | 596,270 | ||||||
| Liberty Property, LP | ||||||||
| 402,000 | 3.375%, 6/15/2023 | 397,764 | ||||||
| Lloyds TSB Bank plc | ||||||||
| 536,000 | 6.500%, 9/14/2020g | 592,264 | ||||||
| Morgan Stanley | ||||||||
| 510,000 | 4.750%, 4/1/2014f | 528,092 | ||||||
| 672,000 | 6.000%, 5/13/2014 | 711,628 | ||||||
| 1,065,000 | 4.750%, 3/22/2017 | 1,161,873 | ||||||
| 560,000 | 6.250%, 8/28/2017 | 640,949 | ||||||
| 948,000 | 4.875%, 11/1/2022 | 981,554 | ||||||
| Murray Street Investment Trust I | ||||||||
| 1,005,000 | 4.647%, 3/9/2017 | 1,087,055 | ||||||
| Omega Healthcare Investors, Inc. | ||||||||
| 1,535,000 | 5.875%, 3/15/2024 | 1,627,100 | ||||||
| PNC Funding Corporation | ||||||||
| 536,000 | 3.300%, 3/8/2022 | 565,059 | ||||||
| Prudential Financial, Inc. | ||||||||
| 402,000 | 5.625%, 6/15/2043 | 416,593 | ||||||
| Realty Income Corporation | ||||||||
| 265,000 | 2.000%, 1/31/2018 | 264,780 | ||||||
| Regions Bank | ||||||||
| 1,390,000 | 7.500%, 5/15/2018 | 1,676,688 | ||||||
| Reinsurance Group of America, Inc. | ||||||||
| 515,000 | 5.625%, 3/15/2017 | 581,708 | ||||||
| 265,000 | 5.000%, 6/1/2021 | 291,790 | ||||||
| Royal Bank of Scotland Group plc | ||||||||
| 510,000 | 5.050%, 1/8/2015 | 527,743 | ||||||
| 765,000 | 2.550%, 9/18/2015 | 782,909 | ||||||
| Santander US Debt SAU | ||||||||
| 650,000 | 3.724%, 1/20/2015g | 652,951 | ||||||
| Simon Property Group, Inc. | ||||||||
| 536,000 | 1.500%, 2/1/2018g | 532,974 | ||||||
| SLM Corporation | ||||||||
| 268,000 | 6.250%, 1/25/2016 | 291,450 | ||||||
| Societe Generale SA | ||||||||
| 500,000 | 5.200%, 4/15/2021g | 554,164 | ||||||
| Svenska Handelsbanken AB | ||||||||
| 536,000 | 3.125%, 7/12/2016 | 568,750 | ||||||
| Toronto-Dominion Bank | ||||||||
| 170,000 | 2.200%, 7/29/2015g | 177,140 | ||||||
| U.S. Bancorp | ||||||||
| 330,000 | 1.650%, 5/15/2017 | 336,237 | ||||||
| UBS AG/Stamford, Connecticut | ||||||||
| 530,000 | 5.875%, 12/20/2017 | 630,837 | ||||||
| UnitedHealth Group, Inc. | ||||||||
| 265,000 | 0.850%, 10/15/2015 | 265,867 | ||||||
| 133,000 | 1.400%, 10/15/2017 | 133,208 | ||||||
| Wachovia Corporation | ||||||||
| 1,380,000 | 5.625%, 10/15/2016 | 1,582,210 | ||||||
| WEA Finance, LLC | ||||||||
| 715,000 | 5.700%, 10/1/2016g | 816,462 | ||||||
| Wells Fargo & Company | ||||||||
| 485,000 | 2.100%, 5/8/2017 | 501,428 | ||||||
|
| |||||||
| Total | 69,566,005 | |||||||
|
| |||||||
| Foreign Government (0.1%) | ||||||||
| Costa Rica Government International Bond | ||||||||
| 536,000 | 4.250%, 1/26/2023g | 540,824 | ||||||
| Export-Import Bank of Korea | ||||||||
| 536,000 | 1.250%, 11/20/2015 | 536,891 | ||||||
| Kommunalbanken AS | ||||||||
| 25,000 | 2.750%, 5/5/2015g | 26,260 | ||||||
| Korea Finance Corporation | ||||||||
| 255,000 | 2.250%, 8/7/2017 | 258,164 | ||||||
| Kreditanstalt fuer Wiederaufbau | ||||||||
| 120,000 | 0.219%, 6/17/2013e | 120,005 | ||||||
| Sweden Government International Bond | ||||||||
| 200,000 | 0.375%, 12/22/2015g | 199,660 | ||||||
|
| |||||||
| Total | 1,681,804 | |||||||
|
| |||||||
| Mortgage-Backed Securities (10.9%) | ||||||||
| Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 22,505,000 | 2.500%, 1/1/2028c | 23,486,078 | ||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 30,675,000 | 3.000%, 1/1/2043c | 32,069,755 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
129
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (25.8%) | Value | ||||||
| Mortgage-Backed Securities (10.9%) - continued | ||||||||
| Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| $ 50,992,000 | 2.500%, 1/1/2028c | $ | 53,318,510 | |||||
| Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 68,885,000 | 3.500%, 1/1/2043c | 73,440,558 | ||||||
| 63,600,000 | 4.000%, 1/1/2043c | 68,171,250 | ||||||
| 62,119,000 | 5.000%, 1/1/2043c | 67,282,642 | ||||||
|
| |||||||
| Total | 317,768,793 | |||||||
|
| |||||||
| Technology (0.4%) | ||||||||
| Amkor Technology, Inc. | ||||||||
| 1,790,000 | 6.625%, 6/1/2021 | 1,785,525 | ||||||
| Computer Sciences Corporation | ||||||||
| 382,000 | 2.500%, 9/15/2015 | 389,509 | ||||||
| Equinix, Inc. | ||||||||
| 1,790,000 | 8.125%, 3/1/2018 | 1,973,475 | ||||||
| First Data Corporation | ||||||||
| 1,870,000 | 7.375%, 6/15/2019g | 1,935,450 | ||||||
| Freescale Semiconductor, Inc. | ||||||||
| 2,445,000 | 9.250%, 4/15/2018g | 2,671,162 | ||||||
| Hewlett-Packard Company | ||||||||
| 510,000 | 2.125%, 9/13/2015 | 509,648 | ||||||
| 569,000 | 2.600%, 9/15/2017 | 554,295 | ||||||
| Intel Corporation | ||||||||
| 536,000 | 4.000%, 12/15/2032 | 532,778 | ||||||
| Microsoft Corporation | ||||||||
| 265,000 | 0.875%, 11/15/2017 | 263,605 | ||||||
| 530,000 | 2.125%, 11/15/2022 | 524,809 | ||||||
| Oracle Corporation | ||||||||
| 530,000 | 1.200%, 10/15/2017 | 531,573 | ||||||
| 265,000 | 2.500%, 10/15/2022 | 267,387 | ||||||
| Samsung Electronics America, Inc. | ||||||||
| 823,000 | 1.750%, 4/10/2017g | 832,671 | ||||||
| Xerox Corporation | ||||||||
| 510,000 | 7.200%, 4/1/2016 | 585,670 | ||||||
|
| |||||||
| Total | 13,357,557 | |||||||
|
| |||||||
| Transportation (0.4%) | ||||||||
| Avis Budget Car Rental, LLC | ||||||||
| 2,130,000 | 8.250%, 1/15/2019 | 2,353,650 | ||||||
| Burlington Northern Santa Fe, LLC | ||||||||
| 189,000 | 3.050%, 9/1/2022 | 195,323 | ||||||
| Continental Airlines, Inc. | ||||||||
| 1,715,000 | 6.750%, 9/15/2015g | 1,800,750 | ||||||
| 330,000 | 4.150%, 4/11/2024 | 349,387 | ||||||
| CSX Corporation | ||||||||
| 628,000 | 6.250%, 4/1/2015 | 703,209 | ||||||
| Delta Air Lines, Inc. | ||||||||
| 760,000 | 6.750%, 5/23/2017 | 782,800 | ||||||
| 130,000 | 4.750%, 5/7/2020 | 138,450 | ||||||
| ERAC USA Finance, LLC | ||||||||
| 530,000 | 1.400%, 4/15/2016g | 533,554 | ||||||
| Hertz Corporation | ||||||||
| 2,115,000 | 6.750%, 4/15/2019 | 2,307,994 | ||||||
| Kansas City Southern de Mexico SA de CV | ||||||||
| 660,000 | 8.000%, 2/1/2018 | 727,650 | ||||||
| Navios Maritime Acquisition Corporation | ||||||||
| 1,790,000 | 8.625%, 11/1/2017 | 1,678,125 | ||||||
| Navios Maritime Holdings, Inc. | ||||||||
| 1,540,000 | 8.875%, 11/1/2017 | 1,536,150 | ||||||
|
| |||||||
| Total | 13,107,042 | |||||||
|
| |||||||
| U.S. Government and Agencies (3.3%) | ||||||||
| FDIC Structured Sale Guaranteed Notes | ||||||||
| 90,000 | Zero Coupon, 1/7/2014g | 89,553 | ||||||
| Federal Agricultural Mortgage Corporation | ||||||||
| 175,000 | 2.125%, 9/15/2015 | 181,738 | ||||||
| Federal Home Loan Banks | ||||||||
| 1,355,000 | 0.375%, 1/29/2014 | 1,357,676 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 300,000 | 1.750%, 9/10/2015 | 310,991 | ||||||
| 1,330,000 | 0.750%, 1/12/2018 | 1,320,992 | ||||||
| Federal National Mortgage Association | ||||||||
| 710,000 | 1.250%, 2/27/2014 | 719,469 | ||||||
| 430,000 | 0.500%, 5/27/2015 | 431,561 | ||||||
| 300,000 | 4.375%, 10/15/2015 | 333,105 | ||||||
| 2,200,000 | 0.375%, 12/21/2015f | 2,197,272 | ||||||
| 870,000 | 1.375%, 11/15/2016 | 896,265 | ||||||
| 870,000 | 0.875%, 12/20/2017 | 871,699 | ||||||
| 205,000 | 6.250%, 5/15/2029 | 294,501 | ||||||
| Tennessee Valley Authority | ||||||||
| 200,000 | 5.250%, 9/15/2039 | 263,143 | ||||||
| U.S. Treasury Bonds | ||||||||
| 440,000 | 7.625%, 2/15/2025 | 709,500 | ||||||
| 1,275,000 | 4.375%, 5/15/2040 | 1,659,692 | ||||||
| 8,645,000 | 3.000%, 5/15/2042 | 8,807,094 | ||||||
| 2,260,000 | 2.750%, 8/15/2042 | 2,182,312 | ||||||
| U.S. Treasury Bonds, TIPS | ||||||||
| 49,087 | 2.375%, 1/15/2025 | 66,218 | ||||||
| 32,107 | 2.125%, 2/15/2040 | 47,112 | ||||||
| U.S. Treasury Notes | ||||||||
| 90,000 | 0.250%, 4/30/2014 | 90,039 | ||||||
| 4,505,000 | 0.750%, 6/15/2014i | 4,540,017 | ||||||
| 3,500,000 | 0.125%, 7/31/2014 | 3,494,120 | ||||||
| 9,225,000 | 2.500%, 4/30/2015 | 9,694,903 | ||||||
| 2,750,000 | 0.250%, 9/15/2015 | 2,743,983 | ||||||
| 650,000 | 2.625%, 2/29/2016 | 695,551 | ||||||
| 3,725,000 | 1.000%, 10/31/2016 | 3,796,006 | ||||||
| 1,550,000 | 3.250%, 3/31/2017i | 1,723,648 | ||||||
| 11,500,000 | 0.750%, 6/30/2017 | 11,568,287 | ||||||
| 28,750,000 | 0.875%, 7/31/2019 | 28,395,110 | ||||||
| 6,060,000 | 1.625%, 8/15/2022 | 6,020,234 | ||||||
| U.S. Treasury Notes, TIPS | ||||||||
| 254,404 | 1.625%, 1/15/2015 | 270,285 | ||||||
| 224,057 | 0.125%, 4/15/2017 | 239,933 | ||||||
| 312,511 | 2.625%, 7/15/2017 | 374,476 | ||||||
| 281,676 | 1.875%, 7/15/2019 | 342,831 | ||||||
| 269,649 | 1.125%, 1/15/2021 | 316,712 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
130
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (25.8%) | Value | ||||||
| U.S. Government and Agencies (3.3%) - continued | ||||||||
| $275,948 | 0.125%, 1/15/2022 | $ | 299,663 | |||||
|
| |||||||
| Total | 97,345,691 | |||||||
|
| |||||||
| Utilities (0.7%) | ||||||||
| AES Corporation | ||||||||
| 1,915,000 | 7.375%, 7/1/2021 | 2,125,650 | ||||||
| American Electric Power Company, Inc. | ||||||||
| 536,000 | 1.650%, 12/15/2017 | 537,878 | ||||||
| CenterPoint Energy, Inc. | ||||||||
| 660,000 | 6.850%, 6/1/2015 | 744,960 | ||||||
| Crosstex Energy, LP/Crosstex Energy Finance Corporation | ||||||||
| 1,790,000 | 8.875%, 2/15/2018 | 1,933,200 | ||||||
| DCP Midstream Operating, LP | ||||||||
| 268,000 | 2.500%, 12/1/2017 | 266,572 | ||||||
| Energy Transfer Partners, LP | ||||||||
| 756,000 | 4.650%, 6/1/2021 | 830,641 | ||||||
| Enterprise Products Operating, LLC | ||||||||
| 756,000 | 1.250%, 8/13/2015 | 760,643 | ||||||
| Exelon Corporation | ||||||||
| 685,000 | 4.900%, 6/15/2015 | 745,642 | ||||||
| FirstEnergy Solutions Corporation | ||||||||
| 1,080,000 | 4.800%, 2/15/2015 | 1,159,804 | ||||||
| ITC Holdings Corporation | ||||||||
| 644,000 | 5.875%, 9/30/2016g | 731,865 | ||||||
| Kinder Morgan Energy Partners, LP | ||||||||
| 510,000 | 5.300%, 9/15/2020 | 594,437 | ||||||
| 510,000 | 5.000%, 8/15/2042 | 540,487 | ||||||
| MarkWest Energy Partners, LP | ||||||||
| 1,805,000 | 5.500%, 2/15/2023 | 1,958,425 | ||||||
| MidAmerican Energy Holdings Company | ||||||||
| 510,000 | 6.500%, 9/15/2037 | 677,392 | ||||||
| NextEra Energy Capital Holdings, Inc. | ||||||||
| 765,000 | 1.200%, 6/1/2015 | 770,442 | ||||||
| NiSource Finance Corporation | ||||||||
| 765,000 | 5.950%, 6/15/2041 | 883,447 | ||||||
| NRG Energy, Inc. | ||||||||
| 1,660,000 | 6.625%, 3/15/2023g | 1,776,200 | ||||||
| ONEOK Partners, LP | ||||||||
| 255,000 | 2.000%, 10/1/2017 | 257,119 | ||||||
| 321,000 | 8.625%, 3/1/2019 | 426,204 | ||||||
| Pacific Gas & Electric Company | ||||||||
| 715,000 | 5.625%, 11/30/2017 | 863,237 | ||||||
| PPL Capital Funding, Inc. | ||||||||
| 538,000 | 3.500%, 12/1/2022 | 547,629 | ||||||
| Sempra Energy | ||||||||
| 715,000 | 6.150%, 6/15/2018 | 877,180 | ||||||
| Williams Partners, LP | ||||||||
| 255,000 | 7.250%, 2/1/2017 | 309,781 | ||||||
| 255,000 | 5.250%, 3/15/2020 | 293,748 | ||||||
|
| |||||||
| Total | 20,612,583 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $739,032,438) | 751,524,897 | |||||||
|
| |||||||
| Shares | Common Stock (10.5%) | |||||||
| Consumer Discretionary (1.5%) | ||||||||
| 13,356 | Amazon.com, Inc.d | 3,354,226 | ||||||
| 11,800 | Ann, Inc.d | 399,312 | ||||||
| 6,035 | Arctic Cat, Inc.d | 201,509 | ||||||
| 7,050 | AutoZone, Inc.d | 2,498,731 | ||||||
| 6,300 | Bally Technologies, Inc.d | 281,673 | ||||||
| 9,100 | Bed Bath & Beyond, Inc.d | 508,781 | ||||||
| 9,910 | CBS Corporation | 377,076 | ||||||
| 6,900 | Charter Communications, Inc.d | 526,056 | ||||||
| 18,000 | Cheesecake Factory, Inc. | 588,960 | ||||||
| 23,900 | Chico’s FAS, Inc. | 441,194 | ||||||
| 15,200 | Children’s Place Retail Stores, Inc.d | 673,208 | ||||||
| 9,200 | Coinstar, Inc.d,f | 478,492 | ||||||
| 142,713 | Comcast Corporation | 5,334,612 | ||||||
| 25,299 | Delphi Automotive plcd | 967,687 | ||||||
| 4,800 | Dillard’s, Inc. | 402,096 | ||||||
| 9,600 | DISH Network Corporation | 349,440 | ||||||
| 8,904 | Dollar Tree, Inc.d | 361,146 | ||||||
| 13,600 | Expedia, Inc. | 835,720 | ||||||
| 9,400 | Express, Inc.d | 141,846 | ||||||
| 26,035 | Foot Locker, Inc. | 836,244 | ||||||
| 26,400 | Gap, Inc. | 819,456 | ||||||
| 39,500 | GNC Holdings, Inc. | 1,314,560 | ||||||
| 7,200 | Hanesbrands, Inc.d | 257,904 | ||||||
| 4,800 | Harley-Davidson, Inc. | 234,432 | ||||||
| 41,000 | Home Depot, Inc. | 2,535,850 | ||||||
| 2,500 | HSN, Inc. | 137,700 | ||||||
| 5,990 | iShares Dow Jones US Home Construction Index Fund | 126,748 | ||||||
| 82,776 | Las Vegas Sands Corporation | 3,820,940 | ||||||
| 11,764 | Life Time Fitness, Inc.d | 578,906 | ||||||
| 43,330 | Lowe’s Companies, Inc. | 1,539,082 | ||||||
| 15,800 | Macy’s, Inc. | 616,516 | ||||||
| 3,300 | Marriott Vacations Worldwide Corporationd | 137,511 | ||||||
| 15,300 | Meredith Corporationf | 527,085 | ||||||
| 34,980 | News Corporation | 917,875 | ||||||
| 71,200 | NIKE, Inc. | 3,673,920 | ||||||
| 8,600 | Omnicom Group, Inc. | 429,656 | ||||||
| 4,100 | O’Reilly Automotive, Inc.d | 366,622 | ||||||
| 1,354 | Panera Bread Companyd | 215,056 | ||||||
| 6,100 | Penn National Gaming, Inc.d | 299,571 | ||||||
| 3,400 | PetSmart, Inc. | 232,356 | ||||||
| 35,849 | Pier 1 Imports, Inc. | 716,980 | ||||||
| 3,200 | Pool Corporation | 135,424 | ||||||
| 600 | Priceline.com, Inc.d | 372,720 | ||||||
| 23,900 | Pulte Group, Inc.d | 434,024 | ||||||
| 68,700 | Sally Beauty Holdings, Inc.d | 1,619,259 | ||||||
| 22,100 | Smith & Wesson Holding Corporationd,f | 186,524 | ||||||
| 9,800 | Tempur-Pedic International, Inc.d | 308,602 | ||||||
| 10,000 | Time Warner Cable, Inc. | 971,900 | ||||||
| 11,500 | TJX Companies, Inc. | 488,175 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
131
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (10.5%) | Value | ||||||
| Consumer Discretionary (1.5%) - continued | ||||||||
| 10,500 | Toll Brothers, Inc.d | $ | 339,465 | |||||
| 5,100 | Valassis Communications, Inc.f | 131,478 | ||||||
| 5,761 | WMS Industries, Inc.d | 100,818 | ||||||
|
| |||||||
| Total | 44,145,124 | |||||||
|
| |||||||
| Consumer Staples (0.8%) | ||||||||
| 28,712 | Anheuser-Busch InBev NV ADR | 2,509,716 | ||||||
| 11,646 | Annie’s, Inc.d,f | 389,326 | ||||||
| 37,200 | Archer-Daniels-Midland Company | 1,018,908 | ||||||
| 22,156 | British American Tobacco plc ADR | 2,243,295 | ||||||
| 17,000 | Bunge, Ltd. | 1,235,730 | ||||||
| 15,800 | Campbell Soup Companyf | 551,262 | ||||||
| 9,200 | Colgate-Palmolive Company | 961,768 | ||||||
| 21,100 | Constellation Brands, Inc.d | 746,729 | ||||||
| 45,850 | CVS Caremark Corporation | 2,216,847 | ||||||
| 4,130 | Diageo plc ADR | 481,475 | ||||||
| 5,400 | Energizer Holdings, Inc. | 431,892 | ||||||
| 16,900 | Herbalife, Ltd.f | 556,686 | ||||||
| 39,888 | Ingredion, Inc. | 2,569,984 | ||||||
| 6,330 | Kimberly-Clark Corporation | 534,442 | ||||||
| 9,243 | Kraft Foods Group, Inc. | 420,279 | ||||||
| 27,729 | Mondelez International, Inc. | 706,258 | ||||||
| 37,500 | Nestle SA | 2,446,630 | ||||||
| 10,300 | Nu Skin Enterprises, Inc.f | 381,615 | ||||||
| 7,118 | Philip Morris International, Inc. | 595,350 | ||||||
| 8,900 | Safeway, Inc.f | 161,001 | ||||||
| 3,000 | Spectrum Brands Holdings, Inc.d | 134,790 | ||||||
| 5,878 | TreeHouse Foods, Inc.d | 306,420 | ||||||
| 14,380 | Unilever NV ADRf | 550,754 | ||||||
| 3,100 | USANA Health Sciences, Inc.d,f | 102,083 | ||||||
|
| |||||||
| Total | 22,253,240 | |||||||
|
| |||||||
| Energy (1.6%) | ||||||||
| 99,861 | Alpha Natural Resources, Inc.d | 972,646 | ||||||
| 6,600 | Apache Corporation | 518,100 | ||||||
| 18,800 | Baker Hughes, Inc. | 767,792 | ||||||
| 57,278 | BP plc ADR | 2,385,056 | ||||||
| 25,070 | Chevron Corporation | 2,711,070 | ||||||
| 9,500 | Concho Resources, Inc.d | 765,320 | ||||||
| 69,600 | Consol Energy, Inc. | 2,234,160 | ||||||
| 2,900 | CVR Energy, Inc.d | 141,491 | ||||||
| 5,100 | Delek US Holdings, Inc. | 129,132 | ||||||
| 17,000 | Dril-Quip, Inc.d | 1,241,850 | ||||||
| 28,700 | Ensco plc | 1,701,336 | ||||||
| 24,806 | EOG Resources, Inc. | 2,996,317 | ||||||
| 14,720 | EQT Corporation | 868,186 | ||||||
| 32,500 | Exxon Mobil Corporation | 2,812,875 | ||||||
| 25,500 | Helix Energy Solutions Group, Inc.d | 526,320 | ||||||
| 18,200 | Helmerich & Payne, Inc. | 1,019,382 | ||||||
| 19,000 | HollyFrontier Corporation | 884,450 | ||||||
| 177,973 | Marathon Oil Corporation | 5,456,652 | ||||||
| 15,100 | Marathon Petroleum Corporation | 951,300 | ||||||
| 14,100 | National Oilwell Varco, Inc. | 963,735 | ||||||
| 35,800 | Oasis Petroleum, Inc.d | 1,138,440 | ||||||
| 11,900 | Occidental Petroleum Corporation | 911,659 | ||||||
| 16,600 | Oil States International, Inc.d | 1,187,564 | ||||||
| 19,700 | Patterson-UTI Energy, Inc.f | 367,011 | ||||||
| 37,800 | Peabody Energy Corporation | 1,005,858 | ||||||
| 41,300 | Petroleo Brasileiro SA ADR | 804,111 | ||||||
| 79,685 | Petroleum Geo-Services ASA | 1,387,904 | ||||||
| 2,600 | Phillips 66 | 138,060 | ||||||
| 37,060 | Schlumberger, Ltd. | 2,567,887 | ||||||
| 15,800 | SM Energy Company | 824,918 | ||||||
| 9,600 | Southwestern Energy Companyd | 320,736 | ||||||
| 33,900 | Ultra Petroleum Corporationd,f | 614,607 | ||||||
| 48,400 | Valero Energy Corporation | 1,651,408 | ||||||
| 342,261 | Weatherford International, Ltd.d | 3,829,901 | ||||||
| 15,200 | Western Refining, Inc.f | 428,488 | ||||||
|
| |||||||
| Total | 47,225,722 | |||||||
|
| |||||||
| Financials (1.7%) | ||||||||
| 10,390 | ACE, Ltd. | 829,122 | ||||||
| 5,543 | Affiliated Managers Group, Inc.d | 721,421 | ||||||
| 3,400 | Allied World Assurance Company Holdings AG | 267,920 | ||||||
| 12,600 | Allstate Corporation | 506,142 | ||||||
| 5,900 | American Assets Trust, Inc. | 164,787 | ||||||
| 3,700 | American Campus Communities, Inc. | 170,681 | ||||||
| 41,300 | Ameriprise Financial, Inc. | 2,586,619 | ||||||
| 56,800 | Annaly Capital Management, Inc. | 797,472 | ||||||
| 4,400 | Aspen Insurance Holdings, Ltd. | 141,152 | ||||||
| 7,600 | Axis Capital Holdings, Ltd. | 263,264 | ||||||
| 136,090 | Bank of America Corporation | 1,578,644 | ||||||
| 4,400 | Banner Corporation | 135,212 | ||||||
| 8,600 | BioMed Realty Trust, Inc. | 166,238 | ||||||
| 10,697 | Boston Properties, Inc. | 1,131,850 | ||||||
| 7,080 | Capital One Financial Corporation | 410,144 | ||||||
| 22,000 | CapitalSource, Inc. | 166,760 | ||||||
| 18,800 | CBL & Associates Properties, Inc. | 398,748 | ||||||
| 84,728 | Citigroup, Inc. | 3,351,840 | ||||||
| 40,730 | CME Group, Inc. | 2,065,418 | ||||||
| 16,500 | Comerica, Inc. | 500,610 | ||||||
| 24,700 | DCT Industrial Trust, Inc. | 160,303 | ||||||
| 8,000 | Discover Financial Services | 308,400 | ||||||
| 7,000 | Douglas Emmett, Inc. | 163,100 | ||||||
| 4,000 | Endurance Specialty Holdings, Ltd. | 158,760 | ||||||
| 2,400 | Equity Lifestyle Properties, Inc. | 161,496 | ||||||
| 18,969 | Equity Residential | 1,074,973 | ||||||
| 4,800 | Extra Space Storage, Inc. | 174,672 | ||||||
| 60,600 | Fifth Third Bancorp | 920,514 | ||||||
| 23,318 | HCC Insurance Holdings, Inc. | 867,663 | ||||||
| 4,900 | Highwoods Properties, Inc. | 163,905 | ||||||
| 27,398 | Host Hotels & Resorts, Inc. | 429,327 | ||||||
| 182,800 | Huntington Bancshares, Inc. | 1,168,092 | ||||||
| 32,040 | Invesco, Ltd. | 835,924 | ||||||
| 46,314 | J.P. Morgan Chase & Company | 2,036,427 | ||||||
| 58,732 | Kimco Realty Corporation | 1,134,702 | ||||||
| 43,390 | KKR & Company, LP | 660,830 | ||||||
| 9,788 | Lazard, Ltd. | 292,074 | ||||||
| 3,500 | M&T Bank Corporationf | 344,645 | ||||||
| 39,940 | MetLife, Inc. | 1,315,624 | ||||||
| 6,100 | Montpelier Re Holdings, Inc. | 139,446 | ||||||
| 14,500 | NASDAQ OMX Group, Inc. | 362,645 | ||||||
| 7,800 | Northern Trust Corporation | 391,248 | ||||||
| 26,400 | Och-Ziff Capital Management Group, LLC | 250,800 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
132
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (10.5%) | Value | ||||||
| Financials (1.7%) - continued | ||||||||
| 23,900 | Ocwen Financial Corporationd | $ | 826,701 | |||||
| 6,900 | Pebblebrook Hotel Trust | 159,390 | ||||||
| 16,700 | Piedmont Office Realty Trust, Inc. | 301,435 | ||||||
| 44,488 | Popular, Inc.d | 924,906 | ||||||
| 8,700 | PrivateBancorp, Inc. | 133,284 | ||||||
| 3,000 | ProAssurance Corporation | 126,570 | ||||||
| 4,500 | Protective Life Corporation | 128,610 | ||||||
| 7,851 | Public Storage, Inc. | 1,138,081 | ||||||
| 8,098 | Simon Property Group, Inc. | 1,280,213 | ||||||
| 17,900 | SLM Corporation | 306,627 | ||||||
| 42,400 | SPDR S&P 500 ETF Trust | 6,042,848 | ||||||
| 45,320 | State Street Corporation | 2,130,493 | ||||||
| 20,420 | SVB Financial Groupd | 1,142,907 | ||||||
| 2,035 | Taubman Centers, Inc. | 160,195 | ||||||
| 6,700 | Tower Group, Inc. | 119,059 | ||||||
| 13,167 | Vornado Realty Trust | 1,054,413 | ||||||
| 9,324 | W.R. Berkley Corporation | 351,888 | ||||||
| 92,586 | Wells Fargo & Company | 3,164,589 | ||||||
| 80,393 | Zions Bancorporation | 1,720,410 | ||||||
|
| |||||||
| Total | 51,082,233 | |||||||
|
| |||||||
| Health Care (1.2%) | ||||||||
| 3,100 | Aetna, Inc. | 143,530 | ||||||
| 15,000 | Align Technology, Inc.d | 416,250 | ||||||
| 11,900 | Amgen, Inc. | 1,027,208 | ||||||
| 10,520 | Baxter International, Inc. | 701,263 | ||||||
| 28,300 | Biogen Idec, Inc.d | 4,150,761 | ||||||
| 3,172 | C.R. Bard, Inc. | 310,031 | ||||||
| 11,700 | Celgene Corporationd | 921,024 | ||||||
| 4,500 | Charles River Laboratories International, Inc.d | 168,615 | ||||||
| 14,000 | Community Health Systems, Inc. | 430,360 | ||||||
| 53,910 | Covidien plc | 3,112,763 | ||||||
| 18,100 | Endo Pharmaceutical Holdings, Inc.d | 475,487 | ||||||
| 50,900 | Express Scripts Holding Companyd | 2,748,600 | ||||||
| 13,600 | Gilead Sciences, Inc.d | 998,920 | ||||||
| 5,971 | HeartWare International, Inc.d,f | 501,266 | ||||||
| 6,300 | Illumina, Inc.d,f | 350,217 | ||||||
| 3,100 | Jazz Pharmaceuticals, Inc.d | 164,920 | ||||||
| 3,300 | Life Technologies Corporationd | 161,964 | ||||||
| 8,300 | MedAssets, Inc.d | 139,191 | ||||||
| 9,800 | Medicines Companyd | 234,906 | ||||||
| 47,480 | Merck & Company, Inc. | 1,943,831 | ||||||
| 4,700 | PAREXEL International Corporationd | 139,073 | ||||||
| 68,836 | Pfizer, Inc. | 1,726,407 | ||||||
| 4,356 | Pharmacyclics, Inc.d | 252,212 | ||||||
| 31,800 | Questcor Pharmaceuticals, Inc.f | 849,696 | ||||||
| 21,100 | ResMed, Inc.f | 877,127 | ||||||
| 24,600 | Sanofi ADR | 1,165,548 | ||||||
| 13,800 | Santarus, Inc.d | 151,524 | ||||||
| 28,700 | Shire Pharmaceuticals Group plc ADR | 2,645,566 | ||||||
| 12,200 | Spectrum Pharmaceuticals, Inc.f | 136,518 | ||||||
| 17,000 | Thoratec Corporationd | 637,840 | ||||||
| 18,662 | United Therapeutics Corporationd | 996,924 | ||||||
| 95,553 | UnitedHealth Group, Inc. | 5,182,795 | ||||||
| 22,500 | Vertex Pharmaceuticals, Inc.d | 943,650 | ||||||
| 33,400 | VIVUS, Inc.d,f | 448,228 | ||||||
| 3,100 | Waters Corporationd | 270,072 | ||||||
| 5,871 | Zimmer Holdings, Inc. | 391,361 | ||||||
|
| |||||||
| Total | 35,915,648 | |||||||
|
| |||||||
| Industrials (0.9%) | ||||||||
| 20,900 | Actuant Corporation | 583,319 | ||||||
| 26,450 | ADT Corporation | 1,229,661 | ||||||
| 11,671 | CSX Corporation | 230,269 | ||||||
| 4,500 | Deluxe Corporation | 145,080 | ||||||
| 20,750 | EMCOR Group, Inc. | 718,158 | ||||||
| 3,900 | EnerSysd | 146,757 | ||||||
| 5,250 | FedEx Corporation | 481,530 | ||||||
| 2,100 | Flowserve Corporation | 308,280 | ||||||
| 14,200 | GATX Corporation | 614,860 | ||||||
| 17,160 | General Electric Company | 360,188 | ||||||
| 20,900 | HNI Corporation | 628,254 | ||||||
| 61,241 | Honeywell International, Inc. | 3,886,966 | ||||||
| 3,500 | Huntington Ingalls Industries, Inc. | 151,690 | ||||||
| 11,700 | Ingersoll-Rand plc | 561,132 | ||||||
| 74,050 | Jacobs Engineering Group, Inc.d | 3,152,308 | ||||||
| 6,000 | L-3 Communications Holdings, Inc. | 459,720 | ||||||
| 11,400 | Landstar System, Inc. | 598,044 | ||||||
| 4,600 | Lockheed Martin Corporation | 424,534 | ||||||
| 62,460 | Manitowoc Company, Inc. | 979,373 | ||||||
| 19,500 | Manpower, Inc. | 827,580 | ||||||
| 24,600 | McDermott International, Inc.d | 271,092 | ||||||
| 15,517 | Oshkosh Corporationd | 460,079 | ||||||
| 43,246 | Parker Hannifin Corporation | 3,678,505 | ||||||
| 19,984 | Pentair, Ltd. | 982,214 | ||||||
| 12,200 | Pitney Bowes, Inc.f | 129,808 | ||||||
| 1,300 | Portfolio Recovery Associates, Inc.d | 138,918 | ||||||
| 28,400 | Southwest Airlines Company | 290,816 | ||||||
| 5,090 | SPX Corporation | 357,063 | ||||||
| 15,700 | Swift Transportation Companyd | 143,184 | ||||||
| 3,300 | Trex Company, Inc.d | 122,859 | ||||||
| 40,400 | Tyco International, Ltd. | 1,181,700 | ||||||
| 20,724 | United Technologies Corporation | 1,699,575 | ||||||
| 54,300 | US Airways Group, Inc.d,f | 733,050 | ||||||
| 18,000 | Woodward, Inc. | 686,340 | ||||||
|
| |||||||
| Total | 27,362,906 | |||||||
|
| |||||||
| Information Technology (2.1%) | ||||||||
| 62,300 | Activision Blizzard, Inc. | 661,626 | ||||||
| 7,500 | Akamai Technologies, Inc.d | 306,825 | ||||||
| 7,300 | Alliance Data Systems Corporationd | 1,056,748 | ||||||
| 25,700 | AOL, Inc.d | 760,977 | ||||||
| 23,112 | Apple, Inc. | 12,319,389 | ||||||
| 31,305 | Applied Materials, Inc. | 358,129 | ||||||
| 23,500 | Aruba Networks, Inc.d,f | 487,625 | ||||||
| 102,000 | Atmel Corporationd | 668,100 | ||||||
| 12,900 | BMC Software, Inc.d | 511,614 | ||||||
| 59,800 | Brocade Communications Systems, Inc.d | 318,734 | ||||||
| 2,900 | CACI International, Inc.d | 159,587 | ||||||
| 16,200 | Cavium, Inc.d | 505,602 | ||||||
| 30,700 | Cisco Systems, Inc. | 603,255 | ||||||
| 52,200 | Citrix Systems, Inc.d | 3,432,150 | ||||||
| 12,200 | Computer Sciences Corporation | 488,610 | ||||||
| 31,481 | CoreLogic, Inc.d | 847,468 | ||||||
| 64,922 | eBay, Inc.d | 3,312,320 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
133
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (10.5%) | Value | ||||||
| Information Technology (2.1%) - continued | ||||||||
| 8,400 | Ebix, Inc.f | $ | 134,988 | |||||
| 26,300 | ExactTarget, Inc.d | 526,000 | ||||||
| 3,100 | Fair Isaac Corporation | 130,293 | ||||||
| 8,569 | Google, Inc.d | 6,078,592 | ||||||
| 17,600 | Informatica Corporationd | 533,632 | ||||||
| 3,000 | InterDigital, Inc.f | 123,300 | ||||||
| 8,447 | Itron, Inc.d | 376,314 | ||||||
| 4,400 | j2 Global, Inc. | 134,552 | ||||||
| 15,807 | Juniper Networks, Inc.d | 310,924 | ||||||
| 2,300 | Manhattan Associates, Inc.d | 138,782 | ||||||
| 98,528 | Microsoft Corporation | 2,633,653 | ||||||
| 103,817 | NetApp, Inc.d | 3,483,060 | ||||||
| 5,300 | NetScout Systems, Inc.d | 137,747 | ||||||
| 31,006 | NVIDIA Corporation | 381,064 | ||||||
| 172,549 | Oracle Corporation | 5,749,333 | ||||||
| 14,857 | Plantronics, Inc. | 547,778 | ||||||
| 46,127 | QUALCOMM, Inc. | 2,860,797 | ||||||
| 24,700 | Symantec Corporationd | 464,607 | ||||||
| 65,062 | Teradyne, Inc.d | 1,098,897 | ||||||
| 103,420 | Texas Instruments, Inc. | 3,199,815 | ||||||
| 26,642 | TriQuint Semiconductor, Inc.d | 128,947 | ||||||
| 7,000 | ValueClick, Inc.d | 135,870 | ||||||
| 19,800 | VeriFone Systems, Inc.d | 587,664 | ||||||
| 55,500 | Vishay Intertechnology, Inc.d | 589,965 | ||||||
| 23,500 | Western Digital Corporation | 998,515 | ||||||
| 98 | Workday, Inc.d | 5,341 | ||||||
| 33,739 | Xilinx, Inc. | 1,211,230 | ||||||
| 62,300 | Yahoo!, Inc.d | 1,239,770 | ||||||
|
| |||||||
| Total | 60,740,189 | |||||||
|
| |||||||
| Materials (0.4%) | ||||||||
| 13,600 | BHP Billiton, Ltd. ADRf | 1,066,784 | ||||||
| 10,000 | Buckeye Technologies, Inc. | 287,100 | ||||||
| 3,100 | CF Industries Holdings, Inc. | 629,796 | ||||||
| 17,100 | Cliffs Natural Resources, Inc. | 659,376 | ||||||
| 16,150 | Dow Chemical Company | 521,968 | ||||||
| 6,700 | Eagle Materials, Inc. | 391,950 | ||||||
| 97,536 | Freeport-McMoRan Copper & Gold, Inc. | 3,335,731 | ||||||
| 10,300 | H.B. Fuller Company | 358,646 | ||||||
| 32,700 | Huntsman Corporation | 519,930 | ||||||
| 15,500 | Mosaic Company | 877,765 | ||||||
| 12,010 | Nucor Corporation | 518,592 | ||||||
| 18,300 | Rio Tinto plc ADRf | 1,063,047 | ||||||
| 7,454 | Silgan Holdings, Inc. | 310,012 | ||||||
| 26,580 | Steel Dynamics, Inc. | 364,943 | ||||||
| 19,300 | SunCoke Energy, Inc.d | 300,887 | ||||||
| 15,800 | Walter Energy, Inc. | 566,904 | ||||||
|
| |||||||
| Total | 11,773,431 | |||||||
|
| |||||||
| Telecommunications Services (0.1%) | ||||||||
| 76,700 | MetroPCS Communications, Inc.d | 762,398 | ||||||
| 19,809 | Verizon Communications, Inc. | 857,135 | ||||||
|
| |||||||
| Total | 1,619,533 | |||||||
|
| |||||||
| Utilities (0.2%) | ||||||||
| 29,000 | Calpine Corporationd | 525,770 | ||||||
| 14,100 | CMS Energy Corporation | 343,758 | ||||||
| 37,640 | NiSource, Inc. | 936,860 | ||||||
| 23,792 | NV Energy, Inc. | 431,587 | ||||||
| 35,040 | PG&E Corporation | 1,407,907 | ||||||
| 25,400 | PNM Resources, Inc. | 520,954 | ||||||
| 9,700 | Public Service Enterprise Group, Inc. | 296,820 | ||||||
| 12,081 | Southwest Gas Corporation | 512,355 | ||||||
| 12,200 | Wisconsin Energy Corporation | 449,570 | ||||||
|
| |||||||
| Total | 5,425,581 | |||||||
|
| |||||||
Total Common Stock (cost $286,905,112) | 307,543,607 | |||||||
|
| |||||||
| Shares | Collateral Held for Securities Loaned (0.8%) | Value | ||||||
| 24,371,265 | Thrivent Cash Management Trust | 24,371,265 | ||||||
| Total Collateral Held for Securities Loaned (cost $24,371,265) | 24,371,265 | |||||||
| Shares or Principal Amount | Short-Term Investments (28.6%) | Value | ||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 56,250,000 | 0.122%, 1/9/2013j,k | 56,248,475 | ||||||
| 100,000,000 | 0.130%, 2/6/2013j,k | 99,987,000 | ||||||
| 8,700,000 | 0.115%, 6/7/2013j,k | 8,695,650 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 100,000,000 | 0.131%, 2/6/2013j | 99,986,900 | ||||||
| 565,122,509 | Thrivent Cash Management Trust U.S. Treasury Bills | 565,122,509 | ||||||
| 4,000,000 | 0.000%, 1/17/2013j,k | 3,999,778 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 834,040,312 | |||||||
|
| |||||||
| Total Investments (cost $3,164,523,177) 110.9% | $ | 3,237,696,969 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (10.9%) | (317,373,503 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 2,920,323,466 | ||||||
|
| |||||||
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | All or a portion of the loan is unfunded. |
| c | Denotes investments purchased on a when-issued or delayed delivery basis. |
| d | Non-income producing security. |
| e | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2012. |
| f | All or a portion of the security is on loan. |
| g | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2012, the value of these investments was $60,831,824 or 2.1% of total net assets. |
| h | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
134
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2012
| i | At December 31, 2012, $267,790 of investments were pledged as collateral with the custodian under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
| j | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| k | At December 31, 2012, $24,844,054 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
| REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. | ||
| TIPS | - | Treasury Inflation Protected Security. | ||
| ETF | - | Exchange Traded Fund. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 96,920,856 | ||
Gross unrealized depreciation | (25,242,746 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 71,678,110 | ||
Cost for federal income tax purposes | $ | 3,166,018,859 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
135
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Moderately Conservative Allocation Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 5,637,933 | — | 5,637,933 | — | ||||||||||||
Capital Goods | 3,140,467 | — | 3,140,467 | — | ||||||||||||
Communications Services | 24,566,712 | — | 24,566,712 | — | ||||||||||||
Consumer Cyclical | 8,373,013 | — | 8,373,013 | — | ||||||||||||
Consumer Non-Cyclical | 16,176,909 | — | 16,176,909 | — | ||||||||||||
Energy | 5,110,268 | — | 5,110,268 | — | ||||||||||||
Financials | 3,764,118 | — | 3,764,118 | — | ||||||||||||
Technology | 8,574,650 | — | 8,574,650 | — | ||||||||||||
Transportation | 1,641,039 | — | 1,641,039 | — | ||||||||||||
Utilities | 4,021,831 | — | 4,021,831 | — | ||||||||||||
Mutual Funds | ||||||||||||||||
Equity Mutual Funds | 382,862,093 | 382,862,093 | — | — | ||||||||||||
Fixed Income Mutual Funds | 856,347,855 | 856,347,855 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 6,065,335 | — | 6,065,335 | — | ||||||||||||
Basic Materials | 13,464,057 | — | 13,464,057 | — | ||||||||||||
Capital Goods | 17,541,126 | — | 17,541,126 | — | ||||||||||||
Collateralized Mortgage Obligations | 25,065,950 | — | 25,065,950 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 40,009,520 | — | 40,009,520 | — | ||||||||||||
Communications Services | 40,877,663 | — | 40,877,663 | — | ||||||||||||
Consumer Cyclical | 25,425,751 | — | 25,425,751 | — | ||||||||||||
Consumer Non-Cyclical | 31,701,447 | — | 31,701,447 | — | ||||||||||||
Energy | 17,934,573 | — | 17,934,573 | — | ||||||||||||
Financials | 69,566,005 | — | 69,566,005 | — | ||||||||||||
Foreign Government | 1,681,804 | — | 1,681,804 | — | ||||||||||||
Mortgage-Backed Securities | 317,768,793 | — | 317,768,793 | — | ||||||||||||
Technology | 13,357,557 | — | 13,357,557 | — | ||||||||||||
Transportation | 13,107,042 | — | 13,107,042 | — | ||||||||||||
U.S. Government and Agencies | 97,345,691 | — | 97,345,691 | — | ||||||||||||
Utilities | 20,612,583 | — | 20,612,583 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 44,145,124 | 44,145,124 | — | — | ||||||||||||
Consumer Staples | 22,253,240 | 19,806,610 | 2,446,630 | — | ||||||||||||
Energy | 47,225,722 | 45,837,818 | 1,387,904 | — | ||||||||||||
Financials | 51,082,233 | 51,082,233 | — | — | ||||||||||||
Health Care | 35,915,648 | 35,915,648 | — | — | ||||||||||||
Industrials | 27,362,906 | 27,362,906 | — | — | ||||||||||||
Information Technology | 60,740,189 | 60,740,189 | — | — | ||||||||||||
Materials | 11,773,431 | 11,773,431 | — | — | ||||||||||||
Telecommunications Services | 1,619,533 | 1,619,533 | — | — | ||||||||||||
Utilities | 5,425,581 | 5,425,581 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 24,371,265 | 24,371,265 | — | — | ||||||||||||
Short-Term Investments | 834,040,312 | 565,122,509 | 268,917,803 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,237,696,969 | $ | 2,132,412,795 | $ | 1,105,284,174 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 664,124 | 664,124 | — | — | ||||||||||||
Credit Default Swaps | 551,956 | — | 551,956 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 1,216,080 | $ | 664,124 | $ | 551,956 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 6,160,920 | 5,267,596 | 893,324 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 6,160,920 | $ | 5,267,596 | $ | 893,324 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
The accompanying Notes to Financial Statements are an integral part of this schedule.
136
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2012
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (250 | ) | March 2013 | ($ | 55,096,895 | ) | ($ | 55,117,188 | ) | ($ | 20,293 | ) | ||||||||
5-Yr. U.S. Treasury Bond Futures | 60 | March 2013 | 7,474,402 | 7,464,844 | (9,558 | ) | ||||||||||||||
10-Yr. U.S. Treasury Bond Futures | 430 | March 2013 | 57,288,732 | 57,095,937 | (192,795 | ) | ||||||||||||||
30-Yr. U.S. Treasury Bond Futures | 1,145 | March 2013 | 170,921,581 | 168,887,500 | (2,034,081 | ) | ||||||||||||||
Eurex EURO STOXX 50 Futures | 2,418 | March 2013 | 84,355,177 | 83,461,853 | (893,324 | ) | ||||||||||||||
Mini MSCI EAFE Index Futures | 836 | March 2013 | 67,082,730 | 67,728,540 | 645,810 | |||||||||||||||
Russell 2000 Index Mini-Futures | 133 | March 2013 | 11,241,466 | 11,259,780 | 18,314 | |||||||||||||||
S&P 400 Index Mini-Futures | (84 | ) | March 2013 | (8,475,810 | ) | (8,552,040 | ) | (76,230 | ) | |||||||||||
S&P 500 Index Futures | 545 | March 2013 | 196,391,077 | 193,488,625 | (2,902,452 | ) | ||||||||||||||
S&P 500 Index Mini-Futures | 250 | March 2013 | 17,783,438 | 17,751,251 | (32,187 | ) | ||||||||||||||
Total Futures Contracts | ($ | 5,496,796 | ) | |||||||||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||||||
CDX HY, Series 19, 5 Year, at 5.00%; Bank of America | Buy | 12/20/2017 | $ | 37,500,000 | $ | 487,085 | ($ | 211,196 | ) | $ | 275,889 | |||||||||
CDX HY, Series 19, 5 Year, at 5.00%; J.P. Morgan Chase and Co. | Buy | 12/20/2017 | 12,500,000 | 162,362 | (70,399 | ) | 91,963 | |||||||||||||
CDX HY, Series 19, 5 Year, at 5.00%; J.P. Morgan Chase and Co. | Buy | 12/20/2017 | 25,000,000 | 324,902 | (140,798 | ) | 184,104 | |||||||||||||
Total Credit Default Swaps | ($ | 422,393 | ) | $ | 551,956 | |||||||||||||||
| 1 | As the buyer of protection, Moderately Conservative Allocation Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, Moderately Conservative Allocation Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
| 2 | The maximum potential amount of future payments Moderately Conservative Allocation Portfolio could be required to make as the seller or receive as the buyer of protection. |
| 3 | The values for credit indexes (CDX or LCDX) serve as an indicator of the current status of the payment/performance risk and represent the liability or profit for the credit default swap contract had the contract been closed as of the reporting date. When protection has been sold, the value of the swap will increase when the swap spread declines representing an improvement in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. When protection has been purchased, the value of the swap will increase when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread declines representing an improvement in the reference entity’s credit worthiness. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
137
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2012, for Moderately Conservative Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 664,124 | |||
Total Equity Contracts | 664,124 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 551,956 | ||||
Total Credit Contracts | 551,956 | |||||
|
| |||||
Total Asset Derivatives | $ | 1,216,080 | ||||
|
| |||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 5,938,274 | ||||
Total Equity Contracts | 5,938,274 | |||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 222,646 | ||||
Total Interest Rate Contracts | 222,646 | |||||
|
| |||||
Total Liability Derivatives | $ | 6,160,920 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Moderately Conservative Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 29,546,063 | ||||
Total Equity Contracts | 29,546,063 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (4,477 | ) | |||
Total Foreign Exchange Contracts | (4,477 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 12,332,371 | ||||
Total Interest Rate Contracts | 12,332,371 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | 2,804,056 | ||||
Total Credit Contracts | 2,804,056 | |||||
|
| |||||
Total | $ | 44,678,013 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
138
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2012, for Moderately Conservative Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (7,155,166 | ) | |||
Total Equity Contracts | (7,155,166 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (3,325,461 | ) | |||
Total Interest Rate Contracts | (3,325,461 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 107,416 | ||||
Total Credit Contracts | 107,416 | |||||
|
| |||||
Total | ($ | 10,373,211 | ) | |||
|
| |||||
The following table presents Moderately Conservative Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | ||||||||||||||||||
Equity Contracts | $ | 191,685,484 | 7.8 | % | N/A | N/A | N/A | N/A | ||||||||||||||||
Interest Rate Contracts | 301,743,444 | 12.2 | N/A | N/A | N/A | N/A | ||||||||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 24,917 | <0.1 | % | N/A | N/A | ||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 14,338,462 | 0.6 | % | ||||||||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
139
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2012
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Moderately Conservative Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Partner Small Cap Value | $ | 23,585,482 | $ | 164,740 | $ | — | 1,273,911 | $ | 26,974,565 | $ | 164,740 | |||||||||||||
Small Cap Stock | 19,363,111 | — | — | 1,614,844 | 21,187,884 | — | ||||||||||||||||||
Partner Mid Cap Value | 26,686,954 | 240,520 | — | 2,151,794 | 31,563,374 | 240,520 | ||||||||||||||||||
Mid Cap Stock | 33,601,569 | 90,009 | — | 2,934,910 | 38,403,888 | 90,009 | ||||||||||||||||||
Partner Worldwide Allocation | 68,816,746 | 15,360,884 | — | 15,843,670 | 136,548,668 | 1,921,686 | ||||||||||||||||||
Partner International Stock* | 34,849,649 | 1,753,507 | — | — | — | 1,753,507 | ||||||||||||||||||
Large Cap Value | 77,563,939 | 1,450,184 | — | 7,600,011 | 91,192,528 | 1,450,184 | ||||||||||||||||||
Large Cap Stock | 22,113,664 | 248,847 | — | 2,756,082 | 25,408,870 | 248,847 | ||||||||||||||||||
Equity Income Plus | 10,234,741 | 166,609 | — | 1,179,786 | 11,582,316 | 166,609 | ||||||||||||||||||
High Yield | 81,625,810 | 5,735,738 | 65,115 | 18,782,983 | 94,848,428 | 6,301,661 | ||||||||||||||||||
Income | 262,194,274 | 9,712,860 | 169,299 | 26,993,350 | 290,807,453 | 10,636,769 | ||||||||||||||||||
Limited Maturity Bond | 582,200,860 | 8,090,852 | 134,403,712 | 47,427,751 | 470,691,974 | 8,735,757 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | — | 154,177,256 | 129,805,991 | 24,371,265 | 24,371,265 | 86,280 | ||||||||||||||||||
Cash Management Trust-Short Term Investment | — | 755,382,427 | 190,259,918 | 565,122,509 | 565,122,509 | 92,146 | ||||||||||||||||||
Total Value and Income Earned | 1,242,836,799 | 1,828,703,722 | 31,888,715 | |||||||||||||||||||||
| * | Effective July 27, 2012 Partner International Stock Portfolio merged into Partner Worldwide Allocation Portfolio, with Partner Worldwide Allocation Portfolio acquiring the assets and liabilities of the Partner International Stock Portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
140
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (98.4%) | Value | ||||||
| Communications Equipment (8.5%) | ||||||||
| 44,265 | Calix, Inc.a,b | $ | 340,398 | |||||
| 39,688 | Juniper Networks, Inc.b | 780,663 | ||||||
| 30,351 | QUALCOMM, Inc. | 1,882,369 | ||||||
|
| |||||||
| Total | 3,003,430 | |||||||
|
| |||||||
| Computers & Peripherals (15.0%) | ||||||||
| 7,077 | Apple, Inc. | 3,772,253 | ||||||
| 20,476 | EMC Corporationb | 518,043 | ||||||
| 30,531 | NetApp, Inc.b | 1,024,315 | ||||||
|
| |||||||
| Total | 5,314,611 | |||||||
|
| |||||||
| Consumer Discretionary (10.4%) | ||||||||
| 4,438 | Amazon.com, Inc.b | 1,114,559 | ||||||
| 20,273 | Coinstar, Inc.a,b | 1,054,399 | ||||||
| 86,239 | Pandora Media, Inc.a,b | 791,674 | ||||||
| 1,191 | Priceline.com, Inc.b | 739,849 | ||||||
|
| |||||||
| Total | 3,700,481 | |||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (4.9%) | ||||||||
| 14,202 | Amphenol Corporation | 918,869 | ||||||
| 73,064 | RealD, Inc.a,b | 819,048 | ||||||
|
| |||||||
| Total | 1,737,917 | |||||||
|
| |||||||
| Financials (4.8%) | ||||||||
| 13,689 | American Tower Corporation | 1,057,749 | ||||||
| 5,157 | IntercontinentalExchange, Inc.b | 638,488 | ||||||
|
| |||||||
| Total | 1,696,237 | |||||||
|
| |||||||
| Internet Software & Services (18.3%) | ||||||||
| 5,638 | Equinix, Inc.b | 1,162,556 | ||||||
| 21,682 | ExactTarget, Inc.b | 433,640 | ||||||
| 24,526 | Facebook, Inc.b | 653,127 | ||||||
| 3,129 | Google, Inc.b | 2,219,619 | ||||||
| 10,034 | Internap Network Services | |||||||
Corporationb | 69,636 | |||||||
| 22,154 | Rackspace Hosting, Inc.b | 1,645,377 | ||||||
| 15,198 | Yandex NVb | 327,821 | ||||||
|
| |||||||
| Total | 6,511,776 | |||||||
|
| |||||||
| IT Consulting & Services (6.2%) | ||||||||
| 8,206 | Cognizant Technology Solutions | |||||||
Corporationb | 607,654 | |||||||
| 44,208 | InterXion Holding NVb | 1,050,382 | ||||||
| 17,832 | VeriFone Systems, Inc.b | 529,254 | ||||||
|
| |||||||
| Total | 2,187,290 | |||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (7.9%) | ||||||||
| 18,925 | Altera Corporation | 651,777 | ||||||
| 12,512 | Cavium, Inc.b | 390,500 | ||||||
| 8,329 | Hittite Microwave Corporationb | 517,231 | ||||||
| 25,117 | Intermolecular, Inc.b | 223,541 | ||||||
| 28,995 | Xilinx, Inc. | 1,040,920 | ||||||
|
| |||||||
| Total | 2,823,969 | |||||||
|
| |||||||
| Software (16.8%) | ||||||||
| 107,238 | Activision Blizzard, Inc. | 1,138,868 | ||||||
| 9,210 | Citrix Systems, Inc.b | 605,558 | ||||||
| 19,746 | MICROS Systems, Inc.b | 838,020 | ||||||
| 12,538 | NetSuite, Inc.b | 843,807 | ||||||
| 38,815 | Oracle Corporation | 1,293,316 | ||||||
| 7,342 | Salesforce.com, Inc.b | $ | 1,234,190 | |||||
|
| |||||||
| Total | 5,953,759 | |||||||
|
| |||||||
| Telecommunications Services (5.6%) | ||||||||
| 18,292 | SBA Communications Corporationb | 1,299,098 | ||||||
| 26,900 | TW Telecom, Inc.b | 685,143 | ||||||
|
| |||||||
| Total | 1,984,241 | |||||||
|
| |||||||
| Total Common Stock (cost $27,759,969) | 34,913,711 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (8.1%) | ||||||||
| 2,884,020 | Thrivent Cash Management Trust | 2,884,020 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $2,884,020) | 2,884,020 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (1.4%) | Value | ||||||
| 513,722 | Thrivent Cash Management Trust | 513,722 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 513,722 | |||||||
|
| |||||||
Total Investments (cost $31,157,711) 107.9% | $ | 38,311,453 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (7.9%) | (2,813,767 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 35,497,686 | ||||||
|
| |||||||
| a | All or a portion of the security is on loan. |
| b | Non-income producing security. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 8,756,425 | ||
Gross unrealized depreciation | (1,868,938 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 6,887,487 | ||
Cost for federal income tax purposes | $ | 31,423,966 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
141
Partner Technology Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Partner Technology Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Communications Equipment | 3,003,430 | 3,003,430 | — | — | ||||||||||||
Computers & Peripherals | 5,314,611 | 5,314,611 | — | — | ||||||||||||
Consumer Discretionary | 3,700,481 | 3,700,481 | — | — | ||||||||||||
Electronic Equipment, Instruments & Components | 1,737,917 | 1,737,917 | — | — | ||||||||||||
Financials | 1,696,237 | 1,696,237 | — | — | ||||||||||||
Internet Software & Services | 6,511,776 | 6,511,776 | — | — | ||||||||||||
IT Consulting & Services | 2,187,290 | 2,187,290 | — | — | ||||||||||||
Semiconductors & Semiconductor Equipment | 2,823,969 | 2,823,969 | — | — | ||||||||||||
Software | 5,953,759 | 5,953,759 | — | — | ||||||||||||
Telecommunications Services | 1,984,241 | 1,984,241 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 2,884,020 | 2,884,020 | — | — | ||||||||||||
Short-Term Investments | 513,722 | 513,722 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 38,311,453 | $ | 38,311,453 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Partner Technology Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management | ||||||||||||||||||||||||
Trust- Collateral Investment | $ | 3,695,344 | $ | 22,275,871 | $ | 23,087,195 | 2,884,020 | $ | 2,884,020 | $ | 83,143 | |||||||||||||
Cash Management | ||||||||||||||||||||||||
Trust- Short Term Investment | — | 2,017,339 | 1,503,617 | 513,722 | 513,722 | 69 | ||||||||||||||||||
Total Value and Income Earned | 3,695,344 | 3,397,742 | 83,212 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
142
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (95.2%) | Value | ||||||
| Biotechnology (21.5%) | ||||||||
| 21,837 | Algeta ASAa | $ | 611,645 | |||||
| 25,961 | Amarin Corporation plc ADRa | 210,025 | ||||||
| 12,564 | ARIAD Pharmaceuticals, Inc.a | 240,978 | ||||||
| 6,491 | Biogen Idec, Inc.a | 952,035 | ||||||
| 21,063 | Elan Corporation plc ADRa | 215,053 | ||||||
| 14,101 | Gilead Sciences, Inc.a | 1,035,718 | ||||||
| 36,264 | Incyte Corporationa | 602,345 | ||||||
| 30,432 | InterMune, Inc.a | 294,886 | ||||||
| 6,733 | Onyx Pharmaceuticals, Inc.a | 508,544 | ||||||
| 513 | Prothena Corporation plca | 3,760 | ||||||
| 4,467 | United Therapeutics Corporationa | 238,627 | ||||||
| 12,343 | Vertex Pharmaceuticals, Inc.a | 517,665 | ||||||
|
| |||||||
| Total | 5,431,281 | |||||||
|
| |||||||
| Health Care Equipment (16.2%) | ||||||||
| 36,495 | Accuray, Inc.a | 234,663 | ||||||
| 14,597 | Covidien plc | 842,831 | ||||||
| 17,815 | Dexcom, Inc.a | 242,462 | ||||||
| 8,359 | Edwards Lifesciences Corporationa | 753,731 | ||||||
| 23,590 | EOS Imaging SAa | 130,236 | ||||||
| 13,213 | Given Imaging, Ltd.a | 230,831 | ||||||
| 4,465 | HeartWare International, Inc.a | 374,837 | ||||||
| 19,841 | Hologic, Inc.a | 397,415 | ||||||
| 32,994 | NxStage Medical, Inc.a | 371,183 | ||||||
| 7,027 | Varian Medical Systems, Inc.a | 493,576 | ||||||
|
| |||||||
| Total | 4,071,765 | |||||||
|
| |||||||
| Health Care Supplies (2.1%) | ||||||||
| 19,404 | Align Technology, Inc.a | 538,461 | ||||||
|
| |||||||
| Total | 538,461 | |||||||
|
| |||||||
| Life Sciences Tools & Services (1.1%) | ||||||||
| 58,675 | Sequenom, Inc.a | 276,946 | ||||||
|
| |||||||
| Total | 276,946 | |||||||
|
| |||||||
| Pharmaceuticals (54.3%) | ||||||||
| 36,491 | Aspen Pharmacare Holdings, Ltd.a | 730,596 | ||||||
| 1,464,230 | CFR Pharmaceuticals SA | 370,072 | ||||||
| 18,499 | Eli Lilly and Company | 912,371 | ||||||
| 53,281 | Hikma Pharmaceuticals plc | 664,208 | ||||||
| 47,762 | Merck & Company, Inc. | 1,955,376 | ||||||
| 27,015 | Mylan, Inc.a | 742,372 | ||||||
| 32,692 | Novartis AG | 2,065,261 | ||||||
| 6,275 | Novo Nordisk A/S ADR | 1,024,143 | ||||||
| 17,916 | Pharmstandard GDRa | 300,451 | ||||||
| 10,112 | Roche Holding AG | 2,044,456 | ||||||
| 16,700 | Sanofi | 1,583,668 | ||||||
| 2,272 | Sawai Pharmaceutical Company, Ltd. | 227,895 | ||||||
| 5,627 | Towa Pharmaceutical Company, Ltd. | 295,064 | ||||||
| 12,982 | Valeant Pharmaceuticals International, Inc.a | 775,934 | ||||||
|
| |||||||
| Total | 13,691,867 | |||||||
|
| |||||||
Total Common Stock (cost $20,141,526) | 24,010,320 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (4.1%) | |||||||
| 1,046,040 | Thrivent Cash Management Trust | $ | 1,046,040 | |||||
| Total Short-Term Investments (at amortized cost) | 1,046,040 | |||||||
|
| |||||||
Total Investments (cost $21,187,566) 99.3% | $ | 25,056,360 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 0.7% | 166,357 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 25,222,717 | ||||||
|
| |||||||
| a | Non-income producing security. |
Definitions:
| ADR | — | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
| GDR | — | Global Depository Receipts, which are certificates for shares of an underlying foreign security’s shares held by an issuing depository bank from more than one country. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 4,539,455 | ||
Gross unrealized depreciation | (695,812 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 3,843,643 | ||
Cost for federal income tax purposes | $ | 21,212,717 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
143
Partner Healthcare Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Partner Healthcare Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Biotechnology | 5,431,281 | 4,819,636 | 611,645 | — | ||||||||||||
Health Care Equipment | 4,071,765 | 3,941,529 | 130,236 | — | ||||||||||||
Health Care Supplies | 538,461 | 538,461 | — | — | ||||||||||||
Life Sciences Tools & Services | 276,946 | 276,946 | — | — | ||||||||||||
Pharmaceuticals | 13,691,867 | 5,410,196 | 8,281,671 | — | ||||||||||||
Short-Term Investments | 1,046,040 | 1,046,040 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 25,056,360 | $ | 16,032,808 | $ | 9,023,552 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
A financial asset within the Pharmaceuticals line item with a value of $300,451 was transferred from Level 1 to Level 2 during the period ended December 31, 2012 due to foreign markets closing before the U.S. markets, as such the valuation of the foreign securities were adjusted to reflect the fair value at the close of the U.S. market. Transfers between Levels are identified as of the end of the period.
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Partner Healthcare Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | 1,599 | ||||
Total Foreign Exchange Contracts | 1,599 | |||||
|
| |||||
Total | $ | 1,599 | ||||
|
| |||||
The following table presents Partner Healthcare Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 34,581 | 0.2 | % | ||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Partner Healthcare Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management | ||||||||||||||||||||||||
Trust- Short Term Investment | $ | — | $ | 1,847,139 | $ | 801,099 | 1,046,040 | $ | 1,046,040 | $ | 203 | |||||||||||||
Total Value and Income Earned | — | 1,046,040 | 203 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
144
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (97.7%) | Value | ||||||
| Coal & Consumable Fuels (4.1%) |
| ||||||
| 48,514 | Alpha Natural Resources, Inc.a,b | $ | 472,527 | |||||
| 31,394 | Peabody Energy Corporation | 835,394 | ||||||
|
| |||||||
| Total | 1,307,921 | |||||||
|
| |||||||
| Consumer Staples (9.6%) | ||||||||
| 29,903 | Archer-Daniels-Midland Company | 819,043 | ||||||
| 13,710 | Bunge, Ltd. | 996,580 | ||||||
| 18,695 | Ingredion, Inc. | 1,204,519 | ||||||
|
| |||||||
| Total | 3,020,142 | |||||||
|
| |||||||
| Financials (18.0%) | ||||||||
| 8,935 | Boston Properties, Inc. | 945,412 | ||||||
| 15,786 | Equity Residential | 894,593 | ||||||
| 48,700 | Kimco Realty Corporation | 940,884 | ||||||
| 6,594 | Public Storage, Inc. | 955,866 | ||||||
| 6,679 | Simon Property Group, Inc. | 1,055,883 | ||||||
| 10,960 | Vornado Realty Trust | 877,677 | ||||||
|
| |||||||
| Total | 5,670,315 | |||||||
|
| |||||||
| Integrated Oil & Gas (11.9%) | ||||||||
| 21,253 | BP plc ADR | 884,975 | ||||||
| 13,729 | Chevron Corporation | 1,484,654 | ||||||
| 9,582 | Occidental Petroleum Corporation | 734,077 | ||||||
| 33,226 | Petroleo Brasileiro SA ADR | 646,910 | ||||||
|
| |||||||
| Total | 3,750,616 | |||||||
|
| |||||||
| Materials (14.1%) | ||||||||
| 11,200 | BHP Billiton, Ltd. ADRa | 878,528 | ||||||
| 14,000 | Cliffs Natural Resources, Inc.a | 539,840 | ||||||
| 28,208 | Freeport-McMoRan Copper & Gold, Inc. | 964,714 | ||||||
| 12,800 | Mosaic Company | 724,864 | ||||||
| 15,200 | Rio Tinto plc ADRa | 882,968 | ||||||
| 13,075 | Walter Energy, Inc. | 469,131 | ||||||
|
| |||||||
| Total | 4,460,045 | |||||||
|
| |||||||
| Oil & Gas Drilling (6.1%) | ||||||||
| 18,404 | Ensco plc | 1,090,989 | ||||||
| 15,100 | Helmerich & Payne, Inc. | 845,751 | ||||||
|
| |||||||
| Total | 1,936,740 | |||||||
|
| |||||||
| Oil & Gas Equipment & Services (14.9%) | ||||||||
| 15,191 | Baker Hughes, Inc. | 620,401 | ||||||
| 13,701 | Dril-Quip, Inc.b | 1,000,858 | ||||||
| 11,800 | National Oilwell Varco, Inc. | 806,530 | ||||||
| 13,322 | Oil States International, Inc.b | 953,056 | ||||||
| 40,213 | Petroleum Geo-Services ASA | 700,405 | ||||||
| 56,800 | Weatherford International, Ltd.b | 635,592 | ||||||
|
| |||||||
| Total | 4,716,842 | |||||||
|
| |||||||
| Oil & Gas Exploration & Production (14.6%) |
| ||||||
| 5,488 | Apache Corporation | 430,808 | ||||||
| 7,900 | Concho Resources, Inc.b | 636,424 | ||||||
| 7,300 | EOG Resources, Inc. | 881,767 | ||||||
| 29,500 | Marathon Oil Corporation | 904,470 | ||||||
| 18,000 | Oasis Petroleum, Inc.b | 572,400 | ||||||
| 13,000 | SM Energy Company | 678,730 | ||||||
| 27,300 | Ultra Petroleum Corporationa,b | $ | 494,949 | |||||
|
| |||||||
| Total | 4,599,548 | |||||||
|
| |||||||
| Oil & Gas Refining & Marketing (4.4%) | ||||||||
| 40,800 | Valero Energy Corporation | 1,392,096 | ||||||
|
| |||||||
| Total | 1,392,096 | |||||||
|
| |||||||
| Total Common Stock (cost $35,059,573) | 30,854,265 | |||||||
Collateral Held for Securities Loaned (10.2%) | ||||||||
| 3,223,242 | Thrivent Cash Management Trust | 3,223,242 | ||||||
Total Collateral Held for Securities Loaned (cost $3,223,242) | 3,223,242 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (1.9%) | Value | ||||||
| 592,217 | Thrivent Cash Management Trust | 592,217 | ||||||
| Total Short-Term Investments (at amortized cost) | 592,217 | |||||||
|
| |||||||
Total Investments (cost $38,875,032) 109.8% | $ | 34,669,724 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (9.8%) | (3,095,014 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 31,574,710 | ||||||
|
| |||||||
| a | All or a portion of the security is on loan. |
| b | Non-income producing security. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 2,301,137 | ||
Gross unrealized depreciation | (6,506,456 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (4,205,319 | ) | |
Cost for federal income tax purposes | $ | 38,875,043 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
145
Natural Resources Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Natural Resources Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Coal & Consumable Fuels | 1,307,921 | 1,307,921 | — | — | ||||||||||||
Consumer Staples | 3,020,142 | 3,020,142 | — | — | ||||||||||||
Financials | 5,670,315 | 5,670,315 | — | — | ||||||||||||
Integrated Oil & Gas | 3,750,616 | 3,750,616 | — | — | ||||||||||||
Materials | 4,460,045 | 4,460,045 | — | — | ||||||||||||
Oil & Gas Drilling | 1,936,740 | 1,936,740 | — | — | ||||||||||||
Oil & Gas Equipment & Services | 4,716,842 | 4,016,437 | 700,405 | — | ||||||||||||
Oil & Gas Exploration & Production | 4,599,548 | 4,599,548 | — | — | ||||||||||||
Oil & Gas Refining & Marketing | 1,392,096 | 1,392,096 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 3,223,242 | 3,223,242 | — | — | ||||||||||||
Short-Term Investments | 592,217 | 592,217 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 34,669,724 | $ | 33,969,319 | $ | 700,405 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Natural Resources Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management | ||||||||||||||||||||||||
Trust- Collateral Investment | $ | — | $ | 9,917,077 | $ | 6,693,835 | 3,223,242 | $ | 3,223,242 | $ | 2,127 | |||||||||||||
Cash Management | ||||||||||||||||||||||||
Trust- Short Term Investment | — | 2,163,890 | 1,571,673 | 592,217 | 592,217 | 188 | ||||||||||||||||||
Total Value and Income Earned | — | 3,815,459 | 2,315 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
146
Partner Emerging Markets Equity Portfolio
Schedule of Investments as of December 31, 2012
Shares | Common Stock (96.7%) | Value | ||||||
| Brazil (16.2%) | ||||||||
| 98,072 | Banco Bradesco SA ADR | $ | 1,703,511 | |||||
| 17,521 | Lojas Renner SA | 682,442 | ||||||
| 22,000 | Multiplan Empreendimentos Imobiliarios SA | 646,838 | ||||||
| 88,500 | Petroleo Brasileiro SA ADR | 1,708,050 | ||||||
| 56,500 | Souza Cruz SA | 850,190 | ||||||
| 59,400 | Ultrapar Participacoes SA | 1,342,919 | ||||||
| 95,947 | Vale SA SP PREF ADR | 1,947,724 | ||||||
|
| |||||||
| Total | 8,881,674 | |||||||
|
| |||||||
| Chile (1.4%) |
| ||||||
| 26,494 | Banco Santander Chile SA ADRa | 754,814 | ||||||
|
| |||||||
| Total | 754,814 | |||||||
|
| |||||||
| China (2.9%) |
| ||||||
| 1,083,000 | PetroChina Company, Ltd. | 1,562,408 | ||||||
|
| |||||||
| Total | 1,562,408 | |||||||
|
| |||||||
| Hong Kong (10.7%) |
| ||||||
| 288,000 | AIA Group, Ltd. | 1,142,304 | ||||||
| 176,000 | China Mobile, Ltd. | 2,071,116 | ||||||
| 153,000 | Hang Lung Group, Ltd. | 880,213 | ||||||
| 96,000 | Hang Lung Properties, Ltd. | 386,344 | ||||||
| 82,000 | Swire Pacific, Ltd., Class A | 1,025,732 | ||||||
| 60,000 | Swire Pacific, Ltd., Class B | 139,236 | ||||||
| 59,500 | Swire Properties, Ltd. | 200,397 | ||||||
|
| |||||||
| Total | 5,845,342 | |||||||
|
| |||||||
| Hungary (1.5%) |
| ||||||
| 4,871 | Richter Gedeon Nyrt | 799,152 | ||||||
|
| |||||||
| Total | 799,152 | |||||||
|
| |||||||
| India (11.0%) |
| ||||||
| 9,500 | GlaxoSmithKline Pharmaceuticals, Ltd. | 378,178 | ||||||
| 2,200 | Grasim Industries, Ltd. | 128,052 | ||||||
| 4,350 | Grasim Industries, Ltd. GDR | 253,806 | ||||||
| 21,000 | Hero Motocorp, Ltd. | 734,917 | ||||||
| 58,000 | Hindustan Unilever, Ltd. | 558,734 | ||||||
| 90,050 | Housing Development Finance Corporation | 1,375,677 | ||||||
| 30,000 | ICICI Bank, Ltd. | 627,814 | ||||||
| 5,000 | ICICI Bank, Ltd. ADR | 218,050 | ||||||
| 23,600 | Infosys, Ltd. | 999,586 | ||||||
| 3,900 | Infosys, Ltd. ADRa | 164,970 | ||||||
| 12,947 | Ultra Tech Cement, Ltd. | 472,976 | ||||||
| 2,484 | Ultra Tech Cement, Ltd. GDR | 90,052 | ||||||
|
| |||||||
| Total | 6,002,812 | |||||||
|
| |||||||
| Indonesia (3.1%) |
| ||||||
| 2,149,000 | PT Astra International Tbk | 1,702,326 | ||||||
|
| |||||||
| Total | 1,702,326 | |||||||
|
| |||||||
| Luxembourg (2.4%) |
| ||||||
| 31,465 | Tenaris SA ADRa | 1,319,013 | ||||||
|
| |||||||
| Total | 1,319,013 | |||||||
|
| |||||||
| Malaysia (2.4%) |
| ||||||
| 320,000 | CIMB Group Holdings Berhad | 800,999 | ||||||
| 96,500 | Public Bank Berhad | 514,372 | ||||||
|
| |||||||
| Total | 1,315,371 | |||||||
|
| |||||||
| Mexico (8.2%) |
| ||||||
| 16,400 | Fomento Economico Mexicano SAB de CV ADR | $ | 1,651,480 | |||||
| 6,800 | Grupo Aeroportuario del Sureste SAB de CV ADR | 775,200 | ||||||
| 251,128 | Grupo Financiero Banorte SAB de CV ADR | 1,621,628 | ||||||
| 120,300 | Organizacion Soriana SAB de CV | 458,816 | ||||||
|
| |||||||
| Total | 4,507,124 | |||||||
|
| |||||||
| Philippines (3.0%) |
| ||||||
| 5,000 | Ayala Corporation | 63,139 | ||||||
| 1,280,400 | Ayala Land, Inc. | 827,614 | ||||||
| 312,897 | Bank of the Philippine Islands | 725,866 | ||||||
|
| |||||||
| Total | 1,616,619 | |||||||
|
| |||||||
| Poland (1.8%) |
| ||||||
| 18,372 | Bank Pekao SA | 996,939 | ||||||
|
| |||||||
| Total | 996,939 | |||||||
|
| |||||||
| Russia (2.9%) |
| ||||||
| 23,400 | Lukoil ADR | 1,571,097 | ||||||
|
| |||||||
| Total | 1,571,097 | |||||||
|
| |||||||
| South Africa (3.6%) |
| ||||||
| 30,047 | Massmart Holdings, Ltd. | 681,245 | ||||||
| 99,800 | Truworths International, Ltd. | 1,285,167 | ||||||
|
| |||||||
| Total | 1,966,412 | |||||||
|
| |||||||
| South Korea (5.3%) |
| ||||||
| 1,948 | E-Mart Company, Ltd.b | 433,054 | ||||||
| 2,250 | Samsung Electronics Company, Ltd. | 1,808,000 | ||||||
| 1,570 | Samsung Electronics Company, Ltd. GDRb | 640,613 | ||||||
|
| |||||||
| Total | 2,881,667 | |||||||
|
| |||||||
| Taiwan (5.0%) |
| ||||||
| 168,400 | Taiwan Mobile Company, Ltd. | 622,331 | ||||||
| 635,499 | Taiwan Semiconductor Manufacturing Company, Ltd. | 2,125,624 | ||||||
|
| |||||||
| Total | 2,747,955 | |||||||
|
| |||||||
| Thailand (5.0%) |
| ||||||
| 156,000 | PTT Exploration & Production pcl | 841,481 | ||||||
| 64,400 | Siam Cement pcl | 986,271 | ||||||
| 148,600 | Siam Commercial Bank pcl | 886,788 | ||||||
|
| |||||||
| Total | 2,714,540 | |||||||
|
| |||||||
| Turkey (5.7%) |
| ||||||
| 310,833 | Akbank TAS | 1,542,342 | ||||||
| 16,518 | BIM Birlesik Magazalar AS | 809,955 | ||||||
| 151,000 | Turkiye Garanti Bankasi AS | 788,134 | ||||||
|
| |||||||
| Total | 3,140,431 | |||||||
|
| |||||||
| United Kingdom (4.6%) |
| ||||||
| 8,000 | BHP Billiton plc | 279,957 | ||||||
| 19,139 | SABMiller plc | 882,006 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
147
Partner Emerging Markets Equity Portfolio
Schedule of Investments as of December 31, 2012
Shares | Common Stock (96.7%) | Value | ||||||
| United Kingdom (4.6%) - continued | ||||||||
| 52,950 | Standard Chartered plc | $ | 1,370,339 | |||||
|
| |||||||
| Total | 2,532,302 | |||||||
|
| |||||||
Total Common Stock (cost $41,677,547) | 52,857,998 | |||||||
|
| |||||||
| Collateral Held for Securities Loaned (3.7%) | |||||||
| 2,001,279 | Thrivent Cash Management Trust | 2,001,279 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $2,001,279) | 2,001,279 | |||||||
|
| |||||||
Shares or | Short-Term Investments (2.7%) | Value | ||||||
| 1,497,572 | Thrivent Cash Management Trust | 1,497,572 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 1,497,572 | |||||||
|
| |||||||
| Total Investments (cost $45,176,398) 103.1% | $ | 56,356,849 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (3.1%) | (1,689,677 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 54,667,172 | ||||||
|
| |||||||
| a | All or a portion of the security is on loan. |
| b | Non-income producing security. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
GDR | - | Global Depository Receipts, which are certificates for shares of an underlying foreign security’s shares held by an issuing depository bank from more than one country. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 12,967,197 | ||
Gross unrealized depreciation | (1,857,129 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 11,110,068 | ||
Cost for federal income tax purposes | $ | 45,246,781 |
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Partner Emerging Markets Equity Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 5,296,722 | — | 5,296,722 | — | ||||||||||||
Consumer Staples | 5,433,610 | 1,651,480 | 3,782,130 | — | ||||||||||||
Energy | 8,344,968 | 3,027,063 | 5,317,905 | — | ||||||||||||
Financials | 17,427,284 | 2,676,375 | 14,750,909 | — | ||||||||||||
Health Care | 1,177,330 | — | 1,177,330 | — | ||||||||||||
Industrials | 4,518,163 | 865,252 | 3,652,911 | — | ||||||||||||
Information Technology | 5,738,793 | 164,970 | 5,573,823 | — | ||||||||||||
Materials | 2,227,681 | 1,947,724 | 279,957 | — | ||||||||||||
Telecommunications Services | 2,693,447 | — | 2,693,447 | — | ||||||||||||
Collateral Held for Securities Loaned | 2,001,279 | 2,001,279 | — | — | ||||||||||||
Short-Term Investments | 1,497,572 | 1,497,572 | — �� | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 56,356,849 | $ | 13,831,715 | $ | 42,525,134 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Foreign Currency Forward Contracts | 166 | — | 166 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 166 | $ | — | $ | 166 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Financial assets within the Energy, Industrials, and Information Technology line items with a value of $1,571,097, $472,976 and $640,613, respectively were transferred from Level 1 to Level 2 during the period ended December 31, 2012 due to foreign markets closing before the U.S. markets, as such the valuation of the foreign securities were adjusted to reflect the fair value at the close of the U.S. market. Transfers between Levels are identified as of the end of the period.
The accompanying Notes to Financial Statements are an integral part of this schedule.
148
Partner Emerging Markets Equity Portfolio
Schedule of Investments as of December 31, 2012
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||||
Purchases | ||||||||||||||||||||||||
Indonesian Rupiah | SSB | 99,973,402 | 1/2/2013 | $ | 10,207 | $ | 10,373 | $ | 166 | |||||||||||||||
Total Purchases | $ | 10,207 | $ | 10,373 | $ | 166 | ||||||||||||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts | $ | 166 | ||||||||||||||||||||||
Counterparty | ||||||||
| SSB | - | State Street Bank | ||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2012, for Partner Emerging Markets Equity Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 166 | ||||
Total Foreign Exchange Contracts | 166 | |||||
|
| |||||
Total Asset Derivatives | $ | 166 | ||||
|
| |||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Partner Emerging Markets Equity Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (10,730 | ) | |||
Total Foreign Exchange Contracts | (10,730 | ) | ||||
|
| |||||
Total | ($ | 10,730 | ) | |||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2012, for Partner Emerging Markets Equity Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Change in net unrealized appreciation/(depreciation) on Foreign currency forward contracts | (10 | ) | |||
Total Foreign Exchange Contracts | (10 | ) | ||||
|
| |||||
Total | ($ | 10 | ) | |||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
149
Partner Emerging Markets Equity Portfolio
Schedule of Investments as of December 31, 2012
The following table presents Partner Emerging Markets Equity Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 21,484 | < 0.1 | % | ||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Partner Emerging Markets Equity Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | — | $ | 10,862,904 | $ | 8,861,625 | 2,001,279 | $ | 2,001,279 | $ | 2,305 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 2,845,973 | 1,348,401 | 1,497,572 | 1,497,572 | 298 | ||||||||||||||||||
Total Value and Income Earned | — | 3,498,851 | 2,603 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
150
Real Estate Securities Portfolio
Schedule of Investments as of December 31, 2012
Shares | Common Stock (98.9%) | Value | ||||||
| Diversified Real Estate Activities (0.1%) |
| ||||||
| 2,519 | Brookfield Asset Management, Inc. | $ | 92,321 | |||||
|
| |||||||
| Total | 92,321 | |||||||
|
| |||||||
| Diversified REITS (6.1%) | ||||||||
| 13,692 | American Assets Trust, Inc. | 382,418 | ||||||
| 13,000 | CapLease, Inc. | 72,410 | ||||||
| 30,557 | Colonial Properties Trust | 653,003 | ||||||
| 62,670 | Duke Realty Corporation | 869,233 | ||||||
| 11,126 | First Potomac Realty Trust | 137,517 | ||||||
| 26,605 | Lexington Realty Trust | 278,022 | ||||||
| 27,243 | Liberty Property Trust | 974,482 | ||||||
| 5,270 | PS Business Parks, Inc. | 342,445 | ||||||
| 4,000 | Realogy Holdings Corporationa | 167,840 | ||||||
| 5,600 | Select Income REIT | 138,712 | ||||||
| 14,574 | Spirit Realty Capital, Inc. | 259,126 | ||||||
| 34,350 | Vornado Realty Trust | 2,750,748 | ||||||
| 12,015 | Washington Real Estate Investment Trust | 314,192 | ||||||
| 3,050 | Whitestone REIT | 42,852 | ||||||
| 1,300 | WP Carey, Inc. | 67,795 | ||||||
|
| |||||||
| Total | 7,450,795 | |||||||
|
| |||||||
| Hotels, Resorts & Cruise Lines (1.2%) | ||||||||
| 8,300 | Hyatt Hotels Corporationa | 320,131 | ||||||
| 4,000 | Las Vegas Sands Corporation | 184,640 | ||||||
| 2,000 | Marriott International, Inc. | 74,540 | ||||||
| 13,626 | Starwood Hotels & Resorts Worldwide, Inc. | 781,587 | ||||||
| 2,500 | Wyndham Worldwide Corporation | 133,025 | ||||||
|
| |||||||
| Total | 1,493,923 | |||||||
|
| |||||||
| Industrial REITS (4.7%) | ||||||||
| 65,716 | DCT Industrial Trust, Inc. | 426,497 | ||||||
| 8,624 | EastGroup Properties, Inc. | 464,057 | ||||||
| 18,746 | First Industrial Realty Trust, Inc.a | 263,944 | ||||||
| 122,273 | Prologis, Inc. | 4,461,742 | ||||||
| 5,000 | STAG Industrial, Inc. | 89,850 | ||||||
|
| |||||||
| Total | 5,706,090 | |||||||
|
| |||||||
| Mortgage REITS (0.7%) | ||||||||
| 3,050 | Apollo Commercial Real Estate Finance, Inc. | 49,501 | ||||||
| 70,000 | Chimera Investment Corporation | 182,700 | ||||||
| 5,000 | Colony Financial, Inc. | 97,500 | ||||||
| 34,250 | CYS Investments, Inc. | 404,493 | ||||||
| 17,000 | NorthStar Realty Finance Corporation | 119,680 | ||||||
|
| |||||||
| Total | 853,874 | |||||||
|
| |||||||
| Office REITS (14.4%) | ||||||||
| 14,962 | Alexandria Real Estate Equities, Inc. | 1,037,166 | ||||||
| 30,662 | BioMed Realty Trust, Inc. | 592,696 | ||||||
| 48,924 | Boston Properties, Inc. | 5,176,648 | ||||||
| 44,380 | Brandywine Realty Trust | 540,992 | ||||||
| 5,455 | CommonWealth REIT | 86,407 | ||||||
| 5,646 | Coresite Realty Corporation | 156,168 | ||||||
| 15,857 | Corporate Office Properties Trust | 396,108 | ||||||
| 31,268 | Digital Realty Trust, Inc. | 2,122,785 | ||||||
| 44,757 | Douglas Emmett, Inc. | 1,042,838 | ||||||
| 28,043 | DuPont Fabros Technology, Inc. | 677,519 | ||||||
| 7,379 | Government Properties Income Trust | 176,875 | ||||||
| 19,612 | Highwoods Properties, Inc. | 656,021 | ||||||
| 17,949 | Hudson Pacific Properties, Inc. | 378,006 | ||||||
| 22,313 | Kilroy Realty Corporation | 1,056,967 | ||||||
| 18,405 | Mack-Cali Realty Corporation | 480,555 | ||||||
| 6,150 | Parkway Properties, Inc. | 86,039 | ||||||
| 16,963 | Piedmont Office Realty Trust, Inc. | 306,182 | ||||||
| 35,277 | SL Green Realty Corporation | 2,703,982 | ||||||
|
| |||||||
| Total | 17,673,954 | |||||||
|
| |||||||
| Real Estate Operating Companies (0.7%) | ||||||||
| 28,857 | Brookfield Office Properties, Inc. | 490,858 | ||||||
| 20,743 | Forest City Enterprises, Inc.a | 334,999 | ||||||
|
| |||||||
| Total | 825,857 | |||||||
|
| |||||||
| Residential REITS (17.8%) | ||||||||
| 26,553 | American Campus Communities, Inc. | 1,224,890 | ||||||
| 56,884 | Apartment Investment & Management Company | 1,539,281 | ||||||
| 14,159 | Associated Estates Realty Corporation | 228,243 | ||||||
| 29,699 | AvalonBay Communities, Inc. | 4,026,888 | ||||||
| 21,757 | BRE Properties, Inc. | 1,105,908 | ||||||
| 30,851 | Camden Property Trust | 2,104,347 | ||||||
| 16,676 | Campus Crest Communities, Inc. | 204,448 | ||||||
| 31,464 | Education Realty Trust, Inc. | 334,777 | ||||||
| 12,039 | Equity Lifestyle Properties, Inc. | 810,104 | ||||||
| 84,690 | Equity Residential | 4,799,382 | ||||||
| 11,199 | Essex Property Trust, Inc. | 1,642,333 | ||||||
| 11,387 | Home Properties, Inc. | 698,137 | ||||||
| 9,334 | Mid-America Apartment Communities, Inc. | 604,377 | ||||||
| 16,835 | Post Properties, Inc. | 840,908 | ||||||
| 5,417 | Sun Communities, Inc. | 216,084 | ||||||
| 58,094 | UDR, Inc. | 1,381,475 | ||||||
|
| |||||||
| Total | 21,761,582 | |||||||
|
| |||||||
| Retail REITS (25.7%) | ||||||||
| 17,863 | Acadia Realty Trust | 448,004 | ||||||
| 47,739 | CBL & Associates Properties, Inc. | 1,012,544 | ||||||
| 9,050 | Cedar Realty Trust, Inc. | 47,784 | ||||||
| 115,056 | DDR Corporation | 1,801,777 | ||||||
| 16,517 | Equity One, Inc. | 347,022 | ||||||
| 15,032 | Excel Trust, Inc. | 190,455 | ||||||
| 17,195 | Federal Realty Investment Trust | 1,788,624 | ||||||
| 112,605 | General Growth Properties, Inc. | 2,235,209 | ||||||
| 55,924 | Glimcher Realty Trust | 620,197 | ||||||
| 13,832 | Inland Real Estate Corporation | 115,912 | ||||||
| 87,287 | Kimco Realty Corporation | 1,686,385 | ||||||
| 25,247 | Kite Realty Group Trust | 141,131 | ||||||
| 36,166 | Macerich Company | 2,108,478 | ||||||
| 21,186 | National Retail Properties, Inc. | 661,003 | ||||||
| 5,526 | Pennsylvania Real Estate Investment Trust | 97,479 | ||||||
| 20,348 | Ramco-Gershenson Properties Trust | 270,832 | ||||||
| 23,692 | Regency Centers Corporation | 1,116,367 | ||||||
| 9,222 | Retail Opportunity Investments Corporation | 118,595 | ||||||
| 27,900 | Retail Properties of America, Inc. | 333,963 | ||||||
| 4,073 | Rouse Properties, Inc. | 68,915 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
151
Real Estate Securities Portfolio
Schedule of Investments as of December 31, 2012
Shares | Common Stock (98.9%) | Value | ||||
Retail REITS (25.7%) - continued |
| |||||
2,138 | Saul Centers, Inc. | $ | 91,485 | |||
85,661 | Simon Property Group, Inc. | 13,542,148 | ||||
23,863 | Tanger Factory Outlet Centers, Inc. | 816,115 | ||||
13,941 | Taubman Centers, Inc. | 1,097,436 | ||||
8,000 | Urstadt Biddle Properties, Inc. | 157,440 | ||||
23,142 | Weingarten Realty Investors | 619,511 | ||||
|
| |||||
| Total | 31,534,811 | |||||
|
| |||||
| Specialized REITS (27.5%) | ||||||
18,100 | American Tower Corporation | 1,398,587 | ||||
26,278 | Ashford Hospitality Trust, Inc. | 276,182 | ||||
6,227 | Chatham Lodging Trust | 95,771 | ||||
27,383 | Chesapeake Lodging Trust | 571,757 | ||||
48,072 | CubeSmart | 700,409 | ||||
52,995 | DiamondRock Hospitality Company | 476,955 | ||||
12,183 | EPR Properties | 561,758 | ||||
35,320 | Extra Space Storage, Inc. | 1,285,295 | ||||
20,843 | FelCor Lodging Trust, Inc.a | 97,337 | ||||
92,444 | HCP, Inc. | 4,176,620 | ||||
54,997 | Health Care REIT, Inc. | 3,370,766 | ||||
20,762 | Healthcare Realty Trust, Inc. | 498,496 | ||||
55,647 | Hersha Hospitality Trust | 278,235 | ||||
11,749 | Hospitality Properties Trust | 275,162 | ||||
212,440 | Host Hotels & Resorts, Inc. | 3,328,935 | ||||
27,690 | LaSalle Hotel Properties | 703,049 | ||||
9,472 | LTC Properties, Inc. | 333,320 | ||||
20,364 | Medical Properties Trust, Inc. | 243,553 | ||||
19,461 | Omega Healthcare Investors, Inc. | 464,145 | ||||
17,008 | Pebblebrook Hotel Trust | 392,885 | ||||
5,465 | Plum Creek Timber Company, Inc. | 242,482 | ||||
36,983 | Public Storage, Inc. | 5,361,056 | ||||
10,494 | Rayonier, Inc. REIT | 543,904 | ||||
23,180 | RLJ Lodging Trust | 448,997 | ||||
3,970 | Ryman Hospitality Properties | 152,686 | ||||
5,792 | Sabra Healthcare REIT, Inc. | 125,802 | ||||
21,216 | Senior Housing Property Trust | 501,546 | ||||
4,099 | Sovran Self Storage, Inc. | 254,548 | ||||
79,774 | Strategic Hotels & Resorts, Inc.a | 510,554 | ||||
18,457 | Summit Hotel Properties, Inc. | 175,341 | ||||
46,774 | Sunstone Hotel Investors, Inc.a | 500,949 | ||||
82,620 | Ventas, Inc. | 5,347,166 | ||||
|
| |||||
| Total | 33,694,248 | |||||
|
| |||||
Total Common Stock (cost $130,352,153) | 121,087,455 | |||||
|
| |||||
Shares or | Short-Term Investments (0.6%) | Value | ||||
746,798 | Thrivent Cash Management Trust | 746,798 | ||||
|
| |||||
| Total Short-Term Investments (at amortized cost) | 746,798 | |||||
|
| |||||
| Total Investments (cost $131,098,951) 99.5% | $ | 121,834,253 | ||||
|
| |||||
| Other Assets and Liabilities, Net 0.5% | 608,006 | |||||
|
| |||||
| Total Net Assets 100.0% | $ | 122,442,259 | ||||
|
| |||||
| a | Non-income producing security. |
Definitions:
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 16,183,713 | ||
Gross unrealized depreciation | (25,472,930 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (9,289,217 | ) | |
Cost for federal income tax purposes | $ | 131,123,470 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
152
Real Estate Securities Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Real Estate Securities Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Diversified Real Estate Activities | 92,321 | 92,321 | — | — | ||||||||||||
Diversified REITS | 7,450,795 | 7,450,795 | — | — | ||||||||||||
Hotels, Resorts & Cruise Lines | 1,493,923 | 1,493,923 | — | — | ||||||||||||
Industrial REITS | 5,706,090 | 5,706,090 | — | — | ||||||||||||
Mortgage REITS | 853,874 | 853,874 | — | — | ||||||||||||
Office REITS | 17,673,954 | 17,673,954 | — | — | ||||||||||||
Real Estate Operating Companies | 825,857 | 825,857 | — | — | ||||||||||||
Residential REITS | 21,761,582 | 21,761,582 | — | — | ||||||||||||
Retail REITS | 31,534,811 | 31,534,811 | — | — | ||||||||||||
Specialized REITS | 33,694,248 | 33,694,248 | — | — | ||||||||||||
Short-Term Investments | 746,798 | 746,798 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 121,834,253 | $ | 121,834,253 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Real Estate Securities Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | $ | — | $ | 4,106,555 | $ | 3,359,757 | 746,798 | $ | 746,798 | $ | 83 | |||||||||||||
Total Value and Income Earned | — | 746,798 | 83 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
153
Partner Small Cap Growth Portfolio
Schedule of Investments as of December 31, 2012
Shares | Common Stock (98.6%) | Value | ||||
Consumer Discretionary (17.5%) |
| |||||
52,250 | Aeropostale, Inc.a | $ | 679,772 | |||
67,095 | Ann, Inc.a | 2,270,495 | ||||
740 | Arctic Cat, Inc.a | 24,709 | ||||
42,800 | BJ’s Restaurants, Inc.a | 1,408,120 | ||||
86,690 | Brunswick Corporation | 2,521,812 | ||||
7,590 | Buffalo Wild Wings, Inc.a | 552,704 | ||||
11,850 | Children’s Place Retail Stores, Inc.a | 524,837 | ||||
17,610 | Cracker Barrel Old Country Store, Inc. | 1,131,619 | ||||
28,310 | DSW, Inc. | 1,859,684 | ||||
46,520 | Five Below, Inc.a,b | 1,490,501 | ||||
33,350 | Hibbett Sports, Inc.a | 1,757,545 | ||||
74,780 | HomeAway, Inc.a,b | 1,645,160 | ||||
70,090 | Imax Corporationa,b | 1,575,623 | ||||
65,050 | Meritage Homes Corporationa | 2,429,617 | ||||
12,550 | Oxford Industries, Inc. | 581,818 | ||||
10,560 | Red Robin Gourmet Burgers, Inc.a | 372,662 | ||||
9,270 | Rue21, Inc.a | 263,175 | ||||
21,670 | Select Comfort Corporationa | 567,104 | ||||
165,200 | SHFL entertainment, Inc.a | 2,395,400 | ||||
69,240 | Shutterfly, Inc.a | 2,068,199 | ||||
92,980 | Sonic Automotive, Inc. | 1,942,352 | ||||
55,460 | Sotheby’s Holdings, Inc. | 1,864,565 | ||||
20,000 | Stamps.com, Inc.a | 504,000 | ||||
48,360 | Steven Madden, Ltd.a | 2,044,177 | ||||
65,020 | Tenneco, Inc.a | 2,282,852 | ||||
95,980 | Texas Roadhouse, Inc. | 1,612,464 | ||||
8,250 | Ulta Salon Cosmetics & Fragrance, Inc. | 810,645 | ||||
27,860 | Vail Resorts, Inc. | 1,506,947 | ||||
63,880 | Vera Bradley, Inc.a,b | 1,603,388 | ||||
61,250 | Vitamin Shoppe, Inc.a | 3,513,300 | ||||
64,460 | Zumiez, Inc.a,b | 1,251,169 | ||||
|
| |||||
| Total | 45,056,415 | |||||
|
| |||||
| Consumer Staples (4.0%) | ||||||
95,710 | B&G Foods, Inc. | 2,709,550 | ||||
2,210 | Boston Beer Company, Inc.a,b | 297,135 | ||||
27,370 | Hain Celestial Group, Inc.a | 1,484,001 | ||||
62,280 | Susser Holdings Corporationa | 2,148,037 | ||||
8,770 | TreeHouse Foods, Inc.a | 457,180 | ||||
58,630 | United Natural Foods, Inc.a | 3,141,982 | ||||
|
| |||||
| Total | 10,237,885 | |||||
|
| |||||
| Energy (5.5%) | ||||||
8,300 | Alon USA Energy, Inc. | 150,147 | ||||
12,150 | Bonanza Creek Energy, Inc.a,b | 337,648 | ||||
64,600 | Carrizo Oil & Gas, Inc.a | 1,351,432 | ||||
91,720 | Comstock Resources, Inc.a | 1,387,724 | ||||
22,880 | Diamondback Energy, Inc.a | 437,466 | ||||
32,720 | Dril-Quip, Inc.a | 2,390,196 | ||||
62,020 | Energy XXI, Ltd. | 1,996,424 | ||||
45,570 | Gulfport Energy Corporationa | 1,741,685 | ||||
17,528 | Halcon Resources Corporationa | 121,294 | ||||
223,370 | Kodiak Oil & Gas Corporationa | 1,976,824 | ||||
4,160 | Lufkin Industries, Inc. | 241,821 | ||||
52,470 | Rex Energy Corporationa | 683,159 | ||||
67,830 | Stone Energy Corporationa | 1,391,872 | ||||
|
| |||||
| Total | 14,207,692 | |||||
|
| |||||
| Financials (7.8%) | ||||||
73,900 | Alterra Capital Holdings, Ltd. | 2,083,241 | ||||
52,966 | Bank of the Ozarks, Inc. | 1,772,772 | ||||
88,590 | Colonial Properties Trust | 1,893,168 | ||||
269,015 | Education Realty Trust, Inc. | 2,862,320 | ||||
91,760 | Equity One, Inc. | 1,927,878 | ||||
53,160 | Highwoods Properties, Inc. | 1,778,202 | ||||
13,810 | Home Loan Servicing Solutions, Ltd. | 261,009 | ||||
31,160 | ProAssurance Corporation | 1,314,640 | ||||
12,970 | Sovran Self Storage, Inc. | 805,437 | ||||
13,950 | Sun Communities, Inc. | 556,466 | ||||
44,760 | Texas Capital Bancshares, Inc.a | 2,006,143 | ||||
22,850 | Umpqua Holdings Corporation | 269,401 | ||||
31,350 | Walter Investment Management Corporationa | 1,348,677 | ||||
38,150 | Zillow, Inc.a,b | 1,058,663 | ||||
|
| |||||
| Total | 19,938,017 | |||||
|
| |||||
| Health Care (17.3%) | ||||||
82,000 | Acadia Healthcare Company, Inc.a | 1,913,060 | ||||
55,040 | Affymax, Inc.a | 1,045,760 | ||||
71,160 | Air Methods Corporation | 2,625,092 | ||||
195,394 | Akorn, Inc.a | 2,610,464 | ||||
75,730 | Align Technology, Inc.a | 2,101,508 | ||||
12,500 | Analogic Corporation | 928,750 | ||||
36,020 | ArthroCare Corporationa | 1,245,932 | ||||
94,570 | Bruker Corporationa | 1,444,084 | ||||
38,398 | Catamaran Corporationa | 1,808,930 | ||||
9,640 | Computer Programs and Systems, Inc. | 485,278 | ||||
54,000 | Cubist Pharmaceuticals, Inc.a | 2,271,240 | ||||
14,720 | Cyberonics, Inc.a | 773,242 | ||||
13,020 | Cynosure, Inc.a | 313,912 | ||||
9,020 | Emeritus Corporationa | 222,974 | ||||
89,950 | Endologix, Inc.a | 1,280,888 | ||||
80,140 | Incyte Corporationa,b | 1,331,125 | ||||
71,490 | Integra LifeSciences Holdings Corporationa | 2,785,965 | ||||
18,090 | Molina Healthcare, Inc.a | 489,515 | ||||
25,050 | Onyx Pharmaceuticals, Inc.a | 1,892,027 | ||||
11,060 | Orthofix International NVa | 434,990 | ||||
66,560 | PAREXEL International Corporationa | 1,969,510 | ||||
39,430 | Pharmacyclics, Inc.a | 2,282,997 | ||||
7,020 | QLT, Inc.a | 55,177 | ||||
22,690 | Santarus, Inc.a | 249,136 | ||||
5,740 | Sarepta Therapeutics, Inc.a,b | 148,092 | ||||
23,550 | Sirona Dental Systems, Inc.a | 1,518,033 | ||||
29,611 | Synageva BioPharma Corporationa | 1,370,693 | ||||
61,460 | Team Health Holdings, Inc.a | 1,768,204 | ||||
44,853 | Teleflex, Inc. | 3,198,468 | ||||
48,400 | Viropharma, Inc.a | 1,101,584 | ||||
25,270 | Wellcare Health Plans, Inc.a | 1,230,396 | ||||
28,090 | West Pharmaceutical Services, Inc. | 1,537,928 | ||||
|
| |||||
| Total | 44,434,954 | |||||
|
| |||||
| Industrials (16.7%) | ||||||
16,770 | AAR Corporation | 313,264 | ||||
47,340 | Alaska Air Group, Inc.a | 2,039,881 | ||||
122,650 | Avis Budget Group, Inc.a | 2,430,923 | ||||
59,050 | Belden, Inc. | 2,656,659 | ||||
39,510 | Chart Industries, Inc.a | 2,634,132 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
154
Partner Small Cap Growth Portfolio
Schedule of Investments as of December 31, 2012
Shares | Common Stock (98.6%) | Value | ||||
Industrials (16.7%) - continued |
| |||||
33,550 | Clean Harbors, Inc.a | $ | 1,845,585 | |||
40,160 | Colfax Corporationa,b | 1,620,456 | ||||
11,100 | Copa Holdings SA | 1,103,895 | ||||
15,680 | EnPro Industries, Inc.a | 641,312 | ||||
8,450 | ESCO Technologies, Inc. | 316,114 | ||||
34,770 | Genesee & Wyoming, Inc.a | 2,645,302 | ||||
4,610 | Greenbrier Companies, Inc.a | 74,544 | ||||
72,240 | Healthcare Services Group, Inc. | 1,678,135 | ||||
104,700 | Hexcel Corporationa | 2,822,712 | ||||
39,680 | Huron Consulting Group, Inc.a | 1,336,819 | ||||
58,750 | Kforce, Inc. | 841,887 | ||||
10,390 | Middleby Corporationa | 1,332,102 | ||||
78,100 | Old Dominion Freight Line, Inc.a | 2,677,268 | ||||
25,660 | On Assignment, Inc.a | 520,385 | ||||
4,630 | RBC Bearings, Inc.a | 231,824 | ||||
64,820 | Thermon Group Holdings, Inc.a | 1,460,395 | ||||
112,830 | Titan International, Inc.b | 2,450,667 | ||||
9,100 | Trex Company, Inc.a | 338,793 | ||||
19,240 | Triumph Group, Inc. | 1,256,372 | ||||
113,120 | TrueBlue, Inc.a | 1,781,640 | ||||
149,710 | US Airways Group, Inc.a,b | 2,021,085 | ||||
57,930 | USG Corporationa,b | 1,626,095 | ||||
58,576 | Woodward, Inc. | 2,233,503 | ||||
|
| |||||
| Total | 42,931,749 | |||||
|
| |||||
| Information Technology (24.1%) | ||||||
63,770 | Allot Communications, Ltd.a | 1,136,381 | ||||
9,240 | ANSYS, Inc.a | 622,222 | ||||
62,320 | Aspen Technology, Inc.a | 1,722,525 | ||||
6,160 | Blucora, Inc.a | 96,774 | ||||
70,070 | Bottomline Technologies, Inc.a | 1,849,147 | ||||
57,070 | Broadsoft, Inc.a,b | 2,073,353 | ||||
100,570 | Cardtronics, Inc.a | 2,387,532 | ||||
76,210 | Cavium, Inc.a | 2,378,514 | ||||
125,810 | Ciena Corporationa,b | 1,975,217 | ||||
68,140 | Cirrus Logic, Inc.a | 1,974,016 | ||||
50,400 | Cognex Corporation | 1,855,728 | ||||
8,590 | Coherent, Inc. | 434,826 | ||||
31,220 | CommVault Systems, Inc.a | 2,176,346 | ||||
69,000 | Cornerstone OnDemand, Inc.a | 2,037,570 | ||||
29,670 | Electronics for Imaging, Inc.a | 563,433 | ||||
6,660 | Ellie Mae, Inc.a | 184,815 | ||||
111,680 | Finisar Corporationa,b | 1,820,384 | ||||
55,300 | Fusion-io, Inc.a,b | 1,268,029 | ||||
34,300 | GSI Group, Inc.a | 297,038 | ||||
58,930 | Guidewire Software, Inc.a | 1,751,400 | ||||
46,536 | Heartland Payment Systems, Inc. | 1,372,812 | ||||
14,780 | Imperva, Inc.a | 466,013 | ||||
26,060 | IPG Photonics Corporationb | 1,736,899 | ||||
3,040 | Magnachip Semiconductor Corporation | 48,397 | ||||
32,640 | Manhattan Associates, Inc.a | 1,969,498 | ||||
49,430 | MAXIMUS, Inc. | 3,124,964 | ||||
100,540 | Monolithic Power Systems, Inc.b | 2,240,031 | ||||
8,010 | NETGEAR, Inc.a | 315,754 | ||||
75,730 | NetScout Systems, Inc.a | 1,968,223 | ||||
43,040 | OSI Systems, Inc.a | 2,756,282 | ||||
13,370 | Procera Networks, Inc.a | 248,013 | ||||
69,190 | QLIK Technologies, Inc.a | 1,502,807 | ||||
4,890 | Radware, Inc.a | 161,370 | ||||
346,450 | RF Micro Devices, Inc.a | 1,552,096 | ||||
77,730 | Semtech Corporationa | 2,250,283 | ||||
48,240 | Sourcefire, Inc.a | 2,277,893 | ||||
21,940 | Stratasys, Ltd.a | 1,758,491 | ||||
17,200 | Synchronoss Technologies, Inc.a | 362,748 | ||||
105,480 | Teradyne, Inc.a | 1,781,557 | ||||
13,490 | Tyler Technologies, Inc.a | 653,456 | ||||
23,570 | Ultimate Software Group, Inc.a | 2,225,244 | ||||
64,850 | Ultratech, Inc.a | 2,418,905 | ||||
|
| |||||
| Total | 61,796,986 | |||||
|
| |||||
| Materials (4.9%) | ||||||
273,040 | Boise, Inc. | 2,170,668 | ||||
34,480 | Carpenter Technology Corporation | 1,780,202 | ||||
101,580 | Chemtura Corporationa | 2,159,591 | ||||
112,060 | Commercial Metals Company | 1,665,212 | ||||
21,800 | KapStone Paper and Packaging Corporation | 483,742 | ||||
123,850 | Louisiana-Pacific Corporationa | 2,392,782 | ||||
41,390 | Methanex Corporation | 1,319,099 | ||||
17,030 | Rentech Nitrogen Partners, LP | 641,861 | ||||
|
| |||||
| Total | 12,613,157 | |||||
|
| |||||
| Telecommunications Services (0.7%) | ||||||
35,860 | 8x8, Inc.a,b | 265,006 | ||||
72,530 | Cogent Communications Group, Inc. | 1,642,079 | ||||
|
| |||||
| Total | 1,907,085 | |||||
|
| |||||
| Utilities (0.1%) | ||||||
7,642 | Artesian Resources Corporation | 171,410 | ||||
| Total | 171,410 | |||||
|
| |||||
Total Common Stock (cost $225,074,992) | 253,295,350 | |||||
|
| |||||
Collateral Held for Securities Loaned (9.9%) | ||||||
25,442,945 | Thrivent Cash Management Trust | 25,442,945 | ||||
|
| |||||
Total Collateral Held for Securities Loaned (cost $25,442,945) | 25,442,945 | |||||
|
| |||||
Shares or | Short-Term Investments (1.4%) | |||||
3,658,848 | Thrivent Cash Management Trust | 3,658,848 | ||||
|
| |||||
Total Short-Term Investments (at amortized cost) | 3,658,848 | |||||
|
| |||||
Total Investments (cost $254,176,785) 109.9% | $ | 282,397,143 | ||||
|
| |||||
Other Assets and Liabilities, Net (9.9%) | (25,477,979 | ) | ||||
|
| |||||
| Total Net Assets 100.0% | $ | 256,919,164 | ||||
|
| |||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
155
Partner Small Cap Growth Portfolio
Schedule of Investments as of December 31, 2012
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 33,653,905 | ||
Gross unrealized depreciation | (6,094,089 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 27,559,816 | ||
Cost for federal income tax purposes | $ | 254,837,327 |
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Partner Small Cap Growth Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 45,056,415 | 45,056,415 | — | — | ||||||||||||
Consumer Staples | 10,237,885 | 10,237,885 | — | — | ||||||||||||
Energy | 14,207,692 | 14,207,692 | — | — | ||||||||||||
Financials | 19,938,017 | 19,938,017 | — | — | ||||||||||||
Health Care | 44,434,954 | 44,434,954 | — | — | ||||||||||||
Industrials | 42,931,749 | 42,931,749 | — | — | ||||||||||||
Information Technology | 61,796,986 | 61,796,986 | — | — | ||||||||||||
Materials | 12,613,157 | 12,613,157 | — | — | ||||||||||||
Telecommunications Services | 1,907,085 | 1,907,085 | — | — | ||||||||||||
Utilities | 171,410 | 171,410 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 25,442,945 | 25,442,945 | — | — | ||||||||||||
Short-Term Investments | 3,658,848 | 3,658,848 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 282,397,143 | $ | 282,397,143 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Partner Small Cap Growth Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 20,479,131 | $ | 139,315,658 | $ | 134,351,844 | 25,442,945 | $ | 25,442,945 | $ | 174,193 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 18,407,903 | 14,749,055 | 3,658,848 | 3,658,848 | 1,521 | ||||||||||||||||||
Total Value and Income Earned | 20,479,131 | 29,101,793 | 175,714 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
156
Partner Small Cap Value Portfolio
Schedule of Investments as of December 31, 2012
Shares | Common Stock (96.5%) | Value | ||||
Consumer Discretionary (14.8%) |
| |||||
213,000 | Aaron’s, Inc. | $ | 6,023,640 | |||
30,100 | Ascent Capital Group, Inc.a | 1,864,394 | ||||
56,000 | CSS Industries, Inc. | 1,225,840 | ||||
95,000 | Dorman Products, Inc. | 3,357,300 | ||||
104,000 | Drew Industries, Inc. | 3,354,000 | ||||
63,500 | Ethan Allen Interiors, Inc.b | 1,632,585 | ||||
140,000 | Fifth & Pacific Companies, Inc.a | 1,743,000 | ||||
92,500 | Fred’s, Inc. | 1,231,175 | ||||
100,000 | Haverty Furniture Companies, Inc. | 1,631,000 | ||||
44,000 | Hooker Furniture Corporation | 639,320 | ||||
68,000 | M/I Homes, Inc.a | 1,802,000 | ||||
103,000 | MarineMax, Inc.a | 920,820 | ||||
60,500 | Matthews International Corporation | 1,942,050 | ||||
79,000 | Men’s Wearhouse, Inc. | 2,461,640 | ||||
106,600 | Meritage Homes Corporationa | 3,981,510 | ||||
180,400 | Modine Manufacturing Companya | 1,466,652 | ||||
194,700 | Orient-Express Hotels, Ltd.a | 2,276,043 | ||||
156,900 | Shiloh Industries, Inc. | 1,616,070 | ||||
62,100 | Stanley Furniture Company, Inc.a | 279,450 | ||||
172,000 | Stein Mart, Inc. | 1,296,880 | ||||
28,800 | Steven Madden, Ltd.a | 1,217,376 | ||||
|
| |||||
| Total | 41,962,745 | |||||
|
| |||||
| Consumer Staples (0.6%) | ||||||
265,000 | Alliance One International, Inc.a | 964,600 | ||||
32,100 | Nash Finch Company | 683,088 | ||||
|
| |||||
| Total | 1,647,688 | |||||
|
| |||||
| Energy (4.1%) | ||||||
42,400 | C&J Energy Services, Inc.a,b | 909,056 | ||||
8,300 | Carbo Ceramics, Inc.b | 650,222 | ||||
100,000 | Cloud Peak Energy, Inc.a | 1,933,000 | ||||
94,000 | Gulf Island Fabrication, Inc. | 2,258,820 | ||||
230,000 | Hercules Offshore, Inc.a | 1,421,400 | ||||
42,500 | PDC Energy, Inc.a | 1,411,425 | ||||
76,000 | Swift Energy Companya | 1,169,640 | ||||
260,000 | Teekay Tankers, Ltd.b | 754,000 | ||||
132,000 | Tetra Technologies, Inc.a | 1,001,880 | ||||
|
| |||||
| Total | 11,509,443 | |||||
|
| |||||
| Financials (24.0%) | ||||||
81,500 | Alterra Capital Holdings, Ltd. | 2,297,485 | ||||
204,000 | Ares Capital Corporation | 3,570,000 | ||||
35,000 | Assured Guaranty, Ltd. | 498,050 | ||||
168,900 | CBL & Associates Properties, Inc. | 3,582,369 | ||||
176,300 | Cedar Realty Trust, Inc. | 930,864 | ||||
412,000 | CoBiz Financial, Inc. | 3,077,640 | ||||
75,000 | Columbia Banking System, Inc. | 1,345,500 | ||||
55,000 | Compass Diversified Holdings | 809,050 | ||||
143,500 | Cousins Properties, Inc. | 1,198,225 | ||||
119,000 | East West Bancorp, Inc. | 2,557,310 | ||||
45,700 | Employers Holdings, Inc. | 940,506 | ||||
121,000 | First Potomac Realty Trust | 1,495,560 | ||||
97,000 | Glacier Bancorp, Inc. | 1,426,870 | ||||
96,500 | Golub Capital BDC, Inc. | 1,542,070 | ||||
65,300 | Hatteras Financial Corporation | 1,620,093 | ||||
199,000 | Hercules Technology Growth Capital, Inc. | 2,214,870 | ||||
93,000 | Home Bancshares, Inc. | 3,070,860 | ||||
29,000 | iShares Russell 2000 Value Index Fund | 2,189,790 | ||||
64,000 | JMP Group, Inc. | 388,480 | ||||
59,000 | Kilroy Realty Corporation | 2,794,830 | ||||
369,100 | Kite Realty Group Trust | 2,063,269 | ||||
91,000 | LaSalle Hotel Properties | 2,310,490 | ||||
2,900 | Markel Corporationa | 1,256,918 | ||||
114,800 | Meadowbrook Insurance Group, Inc. | 663,544 | ||||
82,000 | National Interstate Corporation | 2,363,240 | ||||
18,000 | Potlatch Corporation | 705,420 | ||||
140,000 | ProAssurance Corporation | 5,906,600 | ||||
4,000 | PS Business Parks, Inc. | 259,920 | ||||
110,000 | Radian Group, Inc.b | 672,100 | ||||
211,500 | Redwood Trust, Inc. | 3,572,235 | ||||
138,000 | Safeguard Scientifics, Inc.a | 2,035,500 | ||||
122,000 | Sandy Spring Bancorp, Inc. | 2,369,240 | ||||
19,000 | Stifel Financial Corporationa | 607,430 | ||||
56,500 | SVB Financial Groupa | 3,162,305 | ||||
68,000 | Wintrust Financial Corporation | 2,495,600 | ||||
|
| |||||
| Total | 67,994,233 | |||||
|
| |||||
| Health Care (3.8%) | ||||||
14,300 | Analogic Corporation | 1,062,490 | ||||
7,200 | Atrion Corporation | 1,411,200 | ||||
35,500 | National Healthcare Corporation | 1,669,210 | ||||
96,000 | Triple-S Management Corporationa | 1,773,120 | ||||
106,500 | Vanguard Health Systems, Inc.a | 1,304,625 | ||||
63,000 | West Pharmaceutical Services, Inc. | 3,449,250 | ||||
|
| |||||
| Total | 10,669,895 | |||||
|
| |||||
| Industrials (26.3%) | ||||||
63,000 | A.O. Smith Corporation | 3,973,410 | ||||
101,000 | Aegion Corporationa | 2,241,190 | ||||
90,500 | Alaska Air Group, Inc.a | 3,899,645 | ||||
41,000 | Applied Industrial Technologies, Inc. | 1,722,410 | ||||
35,200 | Astec Industries, Inc. | 1,173,216 | ||||
145,500 | Beacon Roofing Supply, Inc.a | 4,842,240 | ||||
60,000 | Belden, Inc. | 2,699,400 | ||||
24,900 | Cascade Corporation | 1,601,070 | ||||
38,800 | Circor International, Inc. | 1,536,092 | ||||
95,000 | Comfort Systems USA, Inc. | 1,155,200 | ||||
82,000 | Dolan Companya | 318,980 | ||||
25,600 | Franklin Electric Company, Inc. | 1,591,552 | ||||
24,500 | FTI Consulting, Inc.a | 808,500 | ||||
66,000 | G & K Services, Inc. | 2,253,900 | ||||
65,500 | Genesee & Wyoming, Inc.a | 4,983,240 | ||||
114,000 | Gibraltar Industries, Inc.a | 1,814,880 | ||||
111,000 | Greenbrier Companies, Inc.a | 1,794,870 | ||||
44,000 | Hub Group, Inc.a | 1,478,400 | ||||
54,300 | IDEX Corporation | 2,526,579 | ||||
51,000 | Kaman Corporation | 1,876,800 | ||||
99,600 | Kforce, Inc. | 1,427,268 | ||||
79,000 | Kirby Corporationa | 4,889,310 | ||||
140,000 | Kratos Defense & Security Solutions, Inc.a,b | 704,200 | ||||
15,600 | Landstar System, Inc. | 818,376 | ||||
121,000 | McGrath Rentcorp | 3,511,420 | ||||
43,000 | Mine Safety Appliances Company | 1,836,530 | ||||
127,500 | Navigant Consulting, Inc.a | 1,422,900 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
157
Partner Small Cap Value Portfolio
Schedule of Investments as of December 31, 2012
Shares | Common Stock (96.5%) | Value | ||||
| Industrials (26.3%) - continued | ||||||
44,900 | Nordson Corporation | $ | 2,834,088 | |||
15,000 | RBC Bearings, Inc.a | 751,050 | ||||
35,700 | Robbins & Myers, Inc. | 2,122,365 | ||||
26,100 | Sterling Construction Company, Inc.a | 259,434 | ||||
46,300 | Sun Hydraulics Corporationb | 1,207,504 | ||||
30,700 | Universal Forest Products, Inc. | 1,167,828 | ||||
86,000 | Universal Truckload Services, Inc. | 1,569,500 | ||||
94,000 | Vitran Corporation, Inc.a | 456,840 | ||||
68,000 | Waste Connections, Inc. | 2,297,720 | ||||
70,000 | Woodward, Inc. | 2,669,100 | ||||
|
| |||||
| Total | 74,237,007 | |||||
|
| |||||
| Information Technology (8.5%) | ||||||
78,000 | Accelrys, Inc.a | 705,900 | ||||
103,200 | Advanced Energy Industries, Inc.a | 1,425,192 | ||||
39,300 | ATMI, Inc.a | 820,584 | ||||
92,600 | Brooks Automation, Inc. | 745,430 | ||||
40,800 | Cabot Microelectronics Corporation | 1,448,808 | ||||
31,100 | Cognex Corporation | 1,145,102 | ||||
67,000 | Cohu, Inc. | 726,280 | ||||
128,500 | Electro Rent Corporation | 1,976,330 | ||||
81,900 | Electro Scientific Industries, Inc. | 814,905 | ||||
168,000 | Intevac, Inc.a | 767,760 | ||||
18,300 | Littelfuse, Inc. | 1,129,293 | ||||
95,000 | Methode Electronics, Inc. | 952,850 | ||||
69,600 | Monotype Imaging Holdings, Inc. | 1,112,208 | ||||
42,000 | Newport Corporationa | 564,900 | ||||
113,000 | Progress Software Corporationa | 2,371,870 | ||||
51,500 | RealNetworks, Inc.a | 389,340 | ||||
170,000 | ShoreTel, Inc.a | 720,800 | ||||
330,000 | Sonus Networks, Inc.a | 561,000 | ||||
69,000 | Synnex Corporationa | 2,372,220 | ||||
81,000 | Teradyne, Inc.a | 1,368,090 | ||||
68,000 | Xyratex, Ltd.b | 571,880 | ||||
84,000 | Zygo Corporationa | 1,318,800 | ||||
|
| |||||
| Total | 24,009,542 | |||||
|
| |||||
| Materials (9.0%) | ||||||
42,500 | AMCOL International Corporation | 1,303,900 | ||||
74,000 | AptarGroup, Inc. | 3,531,280 | ||||
28,000 | Carpenter Technology Corporation | 1,445,640 | ||||
83,500 | Clearwater Paper Corporationa | 3,269,860 | ||||
60,100 | Franco-Nevada Corporation | 3,430,661 | ||||
22,800 | Haynes International, Inc. | 1,182,636 | ||||
95,700 | Innospec, Inc. | 3,300,693 | ||||
51,000 | Minerals Technologies, Inc. | 2,035,920 | ||||
127,500 | Myers Industries, Inc. | 1,931,625 | ||||
35,000 | Schnitzer Steel Industries, Inc. | 1,061,550 | ||||
18,900 | Texas Industries, Inc.a,b | 964,089 | ||||
220,000 | Wausau Paper Corporation | 1,905,200 | ||||
|
| |||||
| Total | 25,363,054 | |||||
|
| |||||
| Telecommunications Services (0.3%) | ||||||
103,000 | Premiere Global Services, Inc.a | 1,007,340 | ||||
|
| |||||
| Total | 1,007,340 | |||||
|
| |||||
| Utilities (5.1%) | ||||||
32,500 | Black Hills Corporation | 1,181,050 | ||||
105,000 | Cleco Corporation | 4,201,050 | ||||
72,000 | El Paso Electric Company | $ | 2,297,520 | |||
57,700 | NorthWestern Corporation | 2,003,921 | ||||
55,000 | PNM Resources, Inc. | 1,128,050 | ||||
69,700 | Southwest Gas Corporation | 2,955,977 | ||||
18,300 | Vectren Corporation | 538,020 | ||||
|
| |||||
| Total | 14,305,588 | |||||
|
| |||||
Total Common Stock (cost $210,014,989) | 272,706,535 | |||||
|
| |||||
Preferred Stock (0.7%) | ||||||
| Financials (0.4%) | ||||||
820 | East West Bancorp, Inc.c | 1,206,425 | ||||
|
| |||||
| Total | 1,206,425 | |||||
|
| |||||
| Health Care (0.3%) | ||||||
50,400 | National Healthcare Corporation, Convertiblec | 776,160 | ||||
|
| |||||
| Total | 776,160 | |||||
|
| |||||
Total Preferred Stock (cost $1,491,941) | 1,982,585 | |||||
|
| |||||
Collateral Held for Securities Loaned (2.2%) | ||||||
6,309,263 | Thrivent Cash Management Trust | 6,309,263 | ||||
|
| |||||
Total Collateral Held for Securities Loaned (cost $6,309,263) | 6,309,263 | |||||
|
| |||||
Shares or | Short-Term Investments (3.0%) | |||||
8,475,149 | Thrivent Cash Management Trust | 8,475,149 | ||||
|
| |||||
Total Short-Term Investments (at amortized cost) | 8,475,149 | |||||
|
| |||||
Total Investments (cost $226,291,342) 102.4% | $ | 289,473,532 | ||||
|
| |||||
Other Assets and Liabilities, Net (2.4%) | (6,893,724 | ) | ||||
|
| |||||
| Total Net Assets 100.0% | $ | 282,579,808 | ||||
|
| |||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 77,145,689 | ||
Gross unrealized depreciation | (16,631,649 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 60,514,040 | ||
Cost for federal income tax purposes | $ | 228,959,492 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
158
Partner Small Cap Value Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Partner Small Cap Value Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 41,962,745 | 41,962,745 | — | — | ||||||||||||
Consumer Staples | 1,647,688 | 1,647,688 | — | — | ||||||||||||
Energy | 11,509,443 | 11,509,443 | — | — | ||||||||||||
Financials | 67,994,233 | 67,994,233 | — | — | ||||||||||||
Health Care | 10,669,895 | 10,669,895 | — | — | ||||||||||||
Industrials | 74,237,007 | 74,237,007 | — | — | ||||||||||||
Information Technology | 24,009,542 | 24,009,542 | — | — | ||||||||||||
Materials | 25,363,054 | 21,932,393 | 3,430,661 | — | ||||||||||||
Telecommunications Services | 1,007,340 | 1,007,340 | — | — | ||||||||||||
Utilities | 14,305,588 | 14,305,588 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 1,206,425 | — | 1,206,425 | — | ||||||||||||
Health Care | 776,160 | 776,160 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 6,309,263 | 6,309,263 | — | — | ||||||||||||
Short-Term Investments | 8,475,149 | 8,475,149 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 289,473,532 | $ | 284,836,446 | $ | 4,637,086 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Partner Small Cap Value Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/ (Losses) recognized in Income | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (15 | ) | |||
Total Foreign Exchange Contracts | (15 | ) | ||||
|
| |||||
Total | ($ | 15 | ) | |||
|
| |||||
Partner Small Cap Value Portfolio’s average volume of derivative activity for foreign exchange contracts during the period was <0.1% of average net assets.
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Partner Small Cap Value Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 15,559,565 | $ | 57,954,592 | $ | 67,204,894 | 6,309,263 | $ | 6,309,263 | $ | 155,939 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 10,173,863 | 1,698,714 | 8,475,149 | 8,475,149 | 1,429 | ||||||||||||||||||
Total Value and Income Earned | 15,559,565 | 14,784,412 | 157,368 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
159
Schedule of Investments as of December 31, 2012
Shares | Common Stock (85.8%) | Value | ||||
Consumer Discretionary (11.3%) |
| |||||
85,500 | Cheesecake Factory, Inc. | $ | 2,797,560 | |||
90,000 | Children’s Place Retail Stores, Inc.a | 3,986,100 | ||||
194,131 | Foot Locker, Inc. | 6,235,488 | ||||
70,500 | GNC Holdings, Inc. | 2,346,240 | ||||
102,212 | Life Time Fitness, Inc.a | 5,029,852 | ||||
139,100 | Meredith Corporationb | 4,791,995 | ||||
258,362 | Pier 1 Imports, Inc. | 5,167,240 | ||||
|
| |||||
| Total | 30,354,475 | |||||
|
| |||||
| Consumer Staples (3.7%) | ||||||
60,564 | Annie’s, Inc.a,b | 2,024,654 | ||||
125,537 | Ingredion, Inc. | 8,088,349 | ||||
|
| |||||
| Total | 10,113,003 | |||||
|
| |||||
| Energy (4.0%) | ||||||
123,600 | Oasis Petroleum, Inc.a | 3,930,480 | ||||
386,087 | Petroleum Geo-Services ASA | 6,724,626 | ||||
|
| |||||
| Total | 10,655,106 | |||||
|
| |||||
| Financials (23.8%) | ||||||
45,996 | Affiliated Managers Group, Inc.a | 5,986,379 | ||||
42,300 | Allied World Assurance Company Holdings AG | 3,333,240 | ||||
70,700 | American Assets Trust, Inc. | 1,974,651 | ||||
68,700 | American Campus Communities, Inc. | 3,169,131 | ||||
105,400 | Aspen Insurance Holdings, Ltd. | 3,381,232 | ||||
103,000 | BioMed Realty Trust, Inc. | 1,990,990 | ||||
357,400 | DCT Industrial Trust, Inc. | 2,319,526 | ||||
129,600 | Douglas Emmett, Inc. | 3,019,680 | ||||
43,900 | Equity Lifestyle Properties, Inc. | 2,954,031 | ||||
49,300 | Extra Space Storage, Inc. | 1,794,027 | ||||
93,800 | HCC Insurance Holdings, Inc. | 3,490,298 | ||||
50,500 | Highwoods Properties, Inc. | 1,689,225 | ||||
48,200 | Home Properties, Inc. | 2,955,142 | ||||
24,700 | iShares Russell 2000 Index Fund | 2,081,963 | ||||
81,800 | Pebblebrook Hotel Trust | 1,889,580 | ||||
257,382 | Popular, Inc.a | 5,350,972 | ||||
64,000 | ProAssurance Corporation | 2,700,160 | ||||
92,400 | SVB Financial Groupa | 5,171,628 | ||||
35,220 | Taubman Centers, Inc. | 2,772,518 | ||||
118,659 | Tower Group, Inc. | 2,108,571 | ||||
185,303 | Zions Bancorporation | 3,965,484 | ||||
|
| |||||
| Total | 64,098,428 | |||||
|
| |||||
| Health Care (5.7%) | ||||||
120,100 | Align Technology, Inc.a | 3,332,775 | ||||
151,100 | Endo Pharmaceutical Holdings, Inc.a | 3,969,397 | ||||
32,639 | HeartWare International, Inc.a,b | 2,740,044 | ||||
63,011 | United Therapeutics Corporationa | 3,366,048 | ||||
148,500 | VIVUS, Inc.a,b | 1,992,870 | ||||
|
| |||||
| Total | 15,401,134 | |||||
|
| |||||
| Industrials (15.7%) | ||||||
257,700 | Actuant Corporation | 7,192,407 | ||||
233,904 | EMCOR Group, Inc. | 8,095,418 | ||||
155,200 | GATX Corporation | 6,720,160 | ||||
125,700 | HNI Corporation | 3,778,542 | ||||
110,900 | Landstar System, Inc. | 5,817,814 | ||||
273,499 | Manitowoc Company, Inc. | 4,288,464 | ||||
63,500 | Manpower, Inc. | 2,694,940 | ||||
100,000 | Woodward, Inc. | 3,813,000 | ||||
|
| |||||
| Total | 42,400,745 | |||||
|
| |||||
| Information Technology (12.0%) | ||||||
143,900 | Aruba Networks, Inc.a,b | 2,985,925 | ||||
377,600 | Atmel Corporationa | 2,473,280 | ||||
134,700 | Cavium, Inc.a | 4,203,987 | ||||
74,100 | ExactTarget, Inc.a | 1,482,000 | ||||
70,800 | Informatica Corporationa | 2,146,656 | ||||
174,845 | Plantronics, Inc. | 6,446,535 | ||||
398,620 | Teradyne, Inc.a,b | 6,732,692 | ||||
100,000 | VeriFone Systems, Inc.a | 2,968,000 | ||||
276,900 | Vishay Intertechnology, Inc.a | 2,943,447 | ||||
662 | Workday, Inc.a | 36,079 | ||||
|
| |||||
| Total | 32,418,601 | |||||
|
| |||||
| Materials (5.2%) | ||||||
75,100 | Buckeye Technologies, Inc. | 2,156,121 | ||||
43,700 | Eagle Materials, Inc. | 2,556,450 | ||||
102,000 | H.B. Fuller Company | 3,551,640 | ||||
85,400 | Materials Select Sector SPDR Fund | 3,205,916 | ||||
171,100 | SunCoke Energy, Inc.a | 2,667,449 | ||||
|
| |||||
| Total | 14,137,576 | |||||
|
| |||||
| Utilities (4.4%) | ||||||
253,100 | PNM Resources, Inc. | 5,191,081 | ||||
155,287 | Southwest Gas Corporation | 6,585,722 | ||||
|
| |||||
| Total | 11,776,803 | |||||
|
| |||||
Total Common Stock (cost $215,066,605) | 231,355,871 | |||||
|
| |||||
Collateral Held for Securities Loaned (5.4%) | ||||||
14,564,224 | Thrivent Cash Management Trust | 14,564,224 | ||||
|
| |||||
Total Collateral Held for Securities Loaned (cost $14,564,224) | 14,564,224 | |||||
|
| |||||
Shares or | Short-Term Investments (14.7%) | |||||
| Federal Home Loan Bank Discount Notes | ||||||
100,000 | 0.100%, 6/7/2013c,d | 99,956 | ||||
37,664,178 | Thrivent Cash Management Trust | 37,664,178 | ||||
| U.S. Treasury Bills | ||||||
1,800,000 | 0.125%, 1/17/2013c,d | 1,799,900 | ||||
|
| |||||
Total Short-Term Investments (at amortized cost) | 39,564,034 | |||||
|
| |||||
Total Investments (cost $269,194,863) 105.9% | $ | 285,484,129 | ||||
|
| |||||
| Other Assets and Liabilities, Net (5.9%) | (16,004,417 | ) | ||||
|
| |||||
| Total Net Assets 100.0% | $ | 269,479,712 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
160
Small Cap Stock Portfolio
Schedule of Investments as of December 31, 2012
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| d | At December 31, 2012, $1,899,856 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 25,803,467 | ||
Gross unrealized depreciation | (9,517,668 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 16,285,799 | ||
Cost for federal income tax purposes | $ | 269,198,330 |
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Small Cap Stock Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 30,354,475 | 30,354,475 | — | — | ||||||||||||
Consumer Staples | 10,113,003 | 10,113,003 | — | — | ||||||||||||
Energy | 10,655,106 | 3,930,480 | 6,724,626 | — | ||||||||||||
Financials | 64,098,428 | 64,098,428 | — | — | ||||||||||||
Health Care | 15,401,134 | 15,401,134 | — | — | ||||||||||||
Industrials | 42,400,745 | 42,400,745 | — | — | ||||||||||||
Information Technology | 32,418,601 | 32,418,601 | — | — | ||||||||||||
Materials | 14,137,576 | 14,137,576 | — | — | ||||||||||||
Utilities | 11,776,803 | 11,776,803 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 14,564,224 | 14,564,224 | — | — | ||||||||||||
Short-Term Investments | 39,564,034 | 37,664,178 | 1,899,856 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 285,484,129 | $ | 276,859,647 | $ | 8,624,482 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 43,651 | 43,651 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 43,651 | $ | 43,651 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Foreign Currency Forward Contracts | 1,761 | — | 1,761 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 1,761 | $ | — | $ | 1,761 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
Russell 2000 Index Mini-Futures | 317 | March 2013 | $ | 26,793,569 | $ | 26,837,220 | $ | 43,651 | ||||||||||||
Total Futures Contracts | $ | 43,651 | ||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
161
Small Cap Stock Portfolio
Schedule of Investments as of December 31, 2012
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||||
Sales | ||||||||||||||||||||||||
Norwegian Krone | SSB | 2,074,011 | 1/3/2013 | $ | 371,414 | $ | 373,175 | ($ | 1,761 | ) | ||||||||||||||
Total Sales | $ | 371,414 | $ | 373,175 | ($ | 1,761 | ) | |||||||||||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts | ($ | 1,761 | ) | |||||||||||||||||||||
Counterparty | ||||||||
| SSB | - | State Street Bank | ||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2012, for Small Cap Stock Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 43,651 | ||||
Total Equity Contracts | 43,651 | |||||
|
| |||||
Total Asset Derivatives | $ | 43,651 | ||||
|
| |||||
Liability Derivatives | ||||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 1,761 | ||||
Total Foreign Exchange Contracts | 1,761 | |||||
|
| |||||
Total Liability Derivatives | $ | 1,761 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Small Cap Stock Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 6,103,801 | ||||
Total Equity Contracts | 6,103,801 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (5,850 | ) | |||
Total Foreign Exchange Contracts | (5,850 | ) | ||||
|
| |||||
Total | $ | 6,097,951 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
162
Small Cap Stock Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2012, for Small Cap Stock Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (394,481 | ) | |||
Total Equity Contracts | (394,481 | ) | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Change in net unrealized appreciation/(depreciation) on Foreign currency forward contracts | (1,761 | ) | |||
Total Foreign Exchange Contracts | (1,761 | ) | ||||
|
| |||||
Total | ($ | 396,242 | ) | |||
|
| |||||
The following table presents Small Cap Stock Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 36,305,416 | 13.5 | % | N/A | N/A | ||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 21,334 | <0.1 | % | ||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Small Cap Stock Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 2,316,500 | $ | 131,987,469 | $ | 119,739,745 | 14,564,224 | $ | 14,564,224 | $ | 346,190 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 56,326,346 | 18,662,168 | 37,664,178 | 37,664,178 | 9,244 | ||||||||||||||||||
Total Value and Income Earned | 2,316,500 | 52,228,402 | 355,434 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
163
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (97.9%) | Value | ||||||
| Consumer Discretionary (14.9%) |
| ||||||
| 11,600 | American Greetings Corporationa | $ | 195,924 | |||||
| 6,600 | American Public Education, Inc.a,b | 238,326 | ||||||
| 9,600 | Arbitron, Inc. | 448,128 | ||||||
| 4,800 | Arctic Cat, Inc.b | 160,272 | ||||||
| 6,300 | Big 5 Sporting Goods Corporation | 82,530 | ||||||
| 415 | Biglari Holdings, Inc.b | 161,858 | ||||||
| 9,100 | BJ’s Restaurants, Inc.b | 299,390 | ||||||
| 4,600 | Blue Nile, Inc.a,b | 177,100 | ||||||
| 4,200 | Blyth, Inc.a | 65,310 | ||||||
| 20,700 | Boyd Gaming Corporationa,b | 137,448 | ||||||
| 14,925 | Brown Shoe Company, Inc. | 274,172 | ||||||
| 32,900 | Brunswick Corporation | 957,061 | ||||||
| 10,050 | Buckle, Inc.a | 448,632 | ||||||
| 6,800 | Buffalo Wild Wings, Inc.b | 495,176 | ||||||
| 26,100 | Callaway Golf Companya | 169,650 | ||||||
| 4,400 | Capella Education Companyb | 124,212 | ||||||
| 18,800 | Career Education Corporationb | 66,176 | ||||||
| 9,900 | Cato Corporation | 271,557 | ||||||
| 6,125 | CEC Entertainment, Inc. | 203,289 | ||||||
| 8,900 | Children’s Place Retail Stores, Inc.b | 394,181 | ||||||
| 13,625 | Christopher & Banks Corporationb | 74,256 | ||||||
| 11,500 | Coinstar, Inc.a,b | 598,115 | ||||||
| 7,425 | Coldwater Creek, Inc.b | 35,714 | ||||||
| 28,700 | Corinthian Colleges, Inc.a,b | 70,028 | ||||||
| 8,500 | Cracker Barrel Old Country Store, Inc. | 546,210 | ||||||
| 33,200 | Crocs, Inc.b | 477,748 | ||||||
| 9,300 | Digital Generation, Inc.a,b | 100,998 | ||||||
| 5,700 | DineEquity, Inc.b | 381,900 | ||||||
| 6,900 | Drew Industries, Inc. | 222,525 | ||||||
| 10,433 | E.W. Scripps Companyb | 112,781 | ||||||
| 9,550 | Ethan Allen Interiors, Inc. | 245,530 | ||||||
| 41,600 | Fifth & Pacific Companies, Inc.b | 517,920 | ||||||
| 18,693 | Finish Line, Inc. | 353,858 | ||||||
| 12,450 | Fred’s, Inc. | 165,709 | ||||||
| 8,900 | Genesco, Inc.b | 489,500 | ||||||
| 7,900 | Group 1 Automotive, Inc. | 489,721 | ||||||
| 16,000 | Harte-Hanks, Inc. | 94,400 | ||||||
| 7,200 | Haverty Furniture Companies, Inc. | 117,432 | ||||||
| 11,700 | Helen of Troy, Ltd.b | 390,663 | ||||||
| 9,650 | Hibbett Sports, Inc.b | 508,555 | ||||||
| 23,000 | Hillenbrand, Inc. | 520,030 | ||||||
| 15,575 | Hot Topic, Inc. | 150,299 | ||||||
| 25,100 | Iconix Brand Group, Inc.b | 560,232 | ||||||
| 14,200 | Interval Leisure Group, Inc. | 275,338 | ||||||
| 9,500 | iRobot Corporationb | 178,030 | ||||||
| 6,000 | ITT Educational Services, Inc.b | 103,860 | ||||||
| 16,400 | Jack in the Box, Inc.b | 469,040 | ||||||
| 7,653 | JAKKS Pacific, Inc.a | 95,816 | ||||||
| 10,262 | Joseph A. Bank Clothiers, Inc.b | 436,956 | ||||||
| 5,500 | Kirkland’s, Inc.b | 58,245 | ||||||
| 9,000 | K-Swiss, Inc.b | 30,240 | ||||||
| 19,200 | La-Z-Boy, Inc. | 271,680 | ||||||
| 7,900 | Lincoln Educational Services | 44,161 | ||||||
| 7,600 | Lithia Motors, Inc. | 284,392 | ||||||
| 51,818 | Live Nation Entertainment, Inc.b | 482,426 | ||||||
| 9,900 | Lumber Liquidators Holdings, Inc.a,b | 523,017 | ||||||
| 7,500 | M/I Homes, Inc.b | 198,750 | ||||||
| 8,700 | Maidenform Brands, Inc.b | 169,563 | ||||||
| 7,300 | Marcus Corporation | 91,031 | ||||||
| 8,800 | MarineMax, Inc.b | 78,672 | ||||||
| 10,500 | Marriott Vacations Worldwide Corporationb | 437,535 | ||||||
| 17,500 | Men’s Wearhouse, Inc. | 545,300 | ||||||
| 11,300 | Meritage Homes Corporationb | 422,055 | ||||||
| 3,600 | Monarch Casino & Resort, Inc.b | 39,276 | ||||||
| 10,750 | Monro Muffler Brake, Inc. | 375,928 | ||||||
| 6,500 | Movado Group, Inc. | 199,420 | ||||||
| 10,200 | Multimedia Games Holding Company, Inc.b | 150,042 | ||||||
| 10,500 | NutriSystem, Inc. | 85,995 | ||||||
| 31,800 | OfficeMax, Inc. | 310,368 | ||||||
| 5,200 | Oxford Industries, Inc. | 241,072 | ||||||
| 6,500 | Papa John’s International, Inc.b | 357,110 | ||||||
| 19,400 | Pep Boys - Manny, Moe & Jack | 190,702 | ||||||
| 4,300 | Perry Ellis International, Inc. | 85,570 | ||||||
| 7,500 | PetMed Express, Inc.a | 83,250 | ||||||
| 21,700 | Pinnacle Entertainment, Inc.b | 343,511 | ||||||
| 17,212 | Pool Corporation | 728,412 | ||||||
| 45,900 | Quiksilver, Inc.b | 195,075 | ||||||
| 4,900 | Red Robin Gourmet Burgers, Inc.b | 172,921 | ||||||
| 22,100 | Ruby Tuesday, Inc.b | 173,706 | ||||||
| 5,800 | Rue21, Inc.b | 164,662 | ||||||
| 13,000 | Ruth’s Hospitality Group, Inc.b | 94,510 | ||||||
| 16,500 | Ryland Group, Inc. | 602,250 | ||||||
| 20,700 | Select Comfort Corporationb | 541,719 | ||||||
| 20,625 | SHFL entertainment, Inc.b | 299,063 | ||||||
| 14,000 | Skechers USA, Inc.b | 259,000 | ||||||
| 13,700 | Sonic Automotive, Inc. | 286,193 | ||||||
| 20,052 | Sonic Corporationb | 208,741 | ||||||
| 11,400 | Spartan Motors, Inc. | 56,202 | ||||||
| 11,600 | Stage Stores, Inc. | 287,448 | ||||||
| 5,400 | Stamps.com, Inc.b | 136,080 | ||||||
| 7,200 | Standard Motor Products, Inc. | 159,984 | ||||||
| 40,600 | Standard Pacific Corporationa,b | 298,410 | ||||||
| 10,100 | Stein Mart, Inc. | 76,154 | ||||||
| 14,950 | Steven Madden, Ltd.b | 631,937 | ||||||
| 7,000 | Sturm, Ruger & Company, Inc.a | 317,800 | ||||||
| 8,500 | Superior Industries International, Inc. | 173,400 | ||||||
| 21,400 | Texas Roadhouse, Inc. | 359,520 | ||||||
| 8,900 | True Religion Apparel, Inc. | 226,238 | ||||||
| 15,300 | Tuesday Morning Corporationb | 95,625 | ||||||
| 5,500 | Universal Electronic, Inc.b | 106,425 | ||||||
| 7,900 | Universal Technical Institute, Inc. | 79,316 | ||||||
| 10,900 | Vitamin Shoppe, Inc.b | 625,224 | ||||||
| 7,000 | VOXX International Corporationb | 47,110 | ||||||
| 10,700 | Winnebago Industries, Inc.b | 183,291 | ||||||
| 18,000 | Wolverine World Wide, Inc. | 737,640 | ||||||
| 9,600 | Zale Corporationb | 39,456 | ||||||
| 8,200 | Zumiez, Inc.a,b | 159,162 | ||||||
|
| |||||||
| Total | 28,775,541 | |||||||
|
| |||||||
| Consumer Staples (3.8%) | |||||||
| 30,400 | Alliance One International, Inc.b | 110,656 | ||||||
| 6,400 | Andersons, Inc. | 274,560 | ||||||
| 19,100 | B&G Foods, Inc. | 540,721 | ||||||
| 3,100 | Boston Beer Company, Inc.a,b | 416,795 | ||||||
| 4,700 | Calavo Growers, Inc.a | 118,487 | ||||||
| 5,200 | Cal-Maine Foods, Inc. | 209,144 | ||||||
| 14,100 | Casey’s General Stores, Inc. | 748,710 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
164
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (97.9%) | Value | ||||||
| Consumer Staples (3.8%) - continued |
| ||||||
| 15,100 | Central Garden & Pet Companyb | $ | 157,795 | |||||
| 43,200 | Darling International, Inc.b | 692,928 | ||||||
| 8,100 | Diamond Foods, Inc.a | 110,727 | ||||||
| 16,500 | Hain Celestial Group, Inc.b | 894,630 | ||||||
| 5,900 | Inter Parfums, Inc. | 114,814 | ||||||
| 5,500 | J & J Snack Foods Corporation | 351,670 | ||||||
| 5,100 | Medifast, Inc.b | 134,589 | ||||||
| 4,500 | Nash Finch Company | 95,760 | ||||||
| 18,600 | Prestige Brands Holdings, Inc.b | 372,558 | ||||||
| 7,300 | Sanderson Farms, Inc. | 347,115 | ||||||
| 2,900 | Seneca Foods Corporationb | 88,160 | ||||||
| 17,600 | Snyders-Lance, Inc. | 424,336 | ||||||
| 8,000 | Spartan Stores, Inc. | 122,880 | ||||||
| 13,300 | TreeHouse Foods, Inc.b | 693,329 | ||||||
| 5,470 | WD-40 Company | 257,692 | ||||||
|
| |||||||
| Total | 7,278,056 | |||||||
|
| |||||||
| Energy (4.1%) | |||||||
| 12,200 | Approach Resources, Inc.a,b | 305,122 | ||||||
| 10,100 | Basic Energy Services, Inc.b | 115,241 | ||||||
| 13,100 | Bristow Group, Inc. | 702,946 | ||||||
| 13,400 | Carrizo Oil & Gas, Inc.b | 280,328 | ||||||
| 22,400 | Cloud Peak Energy, Inc.b | 432,992 | ||||||
| 16,400 | Comstock Resources, Inc.b | 248,132 | ||||||
| 4,800 | Contango Oil & Gas Company | 203,328 | ||||||
| 23,800 | Exterran Holdings, Inc.b | 521,696 | ||||||
| 4,700 | Geospace Technologies Corporationb | 417,689 | ||||||
| 5,300 | Gulf Island Fabrication, Inc. | 127,359 | ||||||
| 22,000 | Gulfport Energy Corporationb | 840,840 | ||||||
| 11,700 | Hornbeck Offshore Services, Inc.b | 401,778 | ||||||
| 44,100 | ION Geophysical Corporationb | 287,091 | ||||||
| 12,400 | Lufkin Industries, Inc. | 720,812 | ||||||
| 9,500 | Matrix Service Companyb | 109,250 | ||||||
| 11,100 | PDC Energy, Inc.b | 368,631 | ||||||
| 19,800 | Penn Virginia Corporation | 87,318 | ||||||
| 20,700 | PetroQuest Energy, Inc.b | 102,465 | ||||||
| 22,600 | Pioneer Energy Services Corporationb | 164,076 | ||||||
| 7,350 | SEACOR Holdings, Inc. | 615,930 | ||||||
| 18,200 | Stone Energy Corporationb | 373,464 | ||||||
| 15,800 | Swift Energy Companyb | 243,162 | ||||||
| 28,750 | Tetra Technologies, Inc.b | 218,213 | ||||||
|
| |||||||
| Total | 7,887,863 | |||||||
|
| |||||||
| Financials (20.2%) | |||||||
| 18,028 | Acadia Realty Trust | 452,142 | ||||||
| 6,700 | Amerisafe, Inc.b | 182,575 | ||||||
| 16,000 | Bank Mutual Corporation | 68,800 | ||||||
| 10,800 | Bank of the Ozarks, Inc. | 361,476 | ||||||
| 6,400 | Banner Corporation | 196,672 | ||||||
| 28,700 | BBCN Bancorp, Inc. | 332,059 | ||||||
| 29,000 | Boston Private Financial Holdings, Inc. | 261,290 | ||||||
| 25,800 | Brookline Bancorp, Inc. | 219,300 | ||||||
| 7,500 | Calamos Asset Management, Inc. | 79,275 | ||||||
| 10,800 | Cash America International, Inc. | 428,436 | ||||||
| 20,000 | Cedar Realty Trust, Inc. | 105,600 | ||||||
| 5,400 | City Holding Companya | 188,190 | ||||||
| 30,400 | Colonial Properties Trust | 649,648 | ||||||
| 14,600 | Columbia Banking System, Inc. | 261,924 | ||||||
| 14,500 | Community Bank System, Inc. | 396,720 | ||||||
| 33,300 | Cousins Properties, Inc. | 278,055 | ||||||
| 32,400 | CVB Financial Corporation | 336,960 | ||||||
| 71,767 | DiamondRock Hospitality Company | 645,903 | ||||||
| 10,575 | Dime Community Bancshares, Inc. | 146,887 | ||||||
| 10,700 | EastGroup Properties, Inc. | 575,767 | ||||||
| 7,300 | eHealth, Inc.b | 200,604 | ||||||
| 11,300 | Employers Holdings, Inc. | 232,554 | ||||||
| 17,200 | EPR Properties | 793,092 | ||||||
| 37,700 | Extra Space Storage, Inc. | 1,371,903 | ||||||
| 16,600 | EZCORP, Inc.b | 329,676 | ||||||
| 51,400 | F.N.B. Corporation | 545,868 | ||||||
| 14,900 | Financial Engines, Inc.a,b | 413,475 | ||||||
| 25,873 | First Bancorpb | 118,498 | ||||||
| 9,700 | First Cash Financial Services, Inc.b | 481,314 | ||||||
| 38,500 | First Commonwealth Financial Corporation | 262,570 | ||||||
| 21,500 | First Financial Bancorp | 314,330 | ||||||
| 10,950 | First Financial Bankshares, Inc.a | 427,159 | ||||||
| 27,512 | First Midwest Bancorp, Inc. | 344,450 | ||||||
| 12,700 | Forestar Real Estate Group, Inc.b | 220,091 | ||||||
| 26,500 | Franklin Street Properties Corporation | 326,215 | ||||||
| 9,800 | Getty Realty Corporation | 176,988 | ||||||
| 26,400 | Glacier Bancorp, Inc. | 388,344 | ||||||
| 15,800 | Government Properties Income Trust | 378,726 | ||||||
| 11,562 | Hanmi Financial Corporationb | 157,128 | ||||||
| 31,600 | Healthcare Realty Trust, Inc. | 758,716 | ||||||
| 11,900 | HFF, Inc. | 177,310 | ||||||
| 8,420 | Home Bancshares, Inc. | 278,028 | ||||||
| 14,500 | Horace Mann Educators Corporation | 289,420 | ||||||
| 8,400 | Independent Bank Corporation (MA)a | 243,180 | ||||||
| 4,400 | Infinity Property & Casualty Corporation | 256,256 | ||||||
| 28,500 | Inland Real Estate Corporation | 238,830 | ||||||
| 15,000 | Interactive Brokers Group, Inc. | 205,200 | ||||||
| 14,100 | Investment Technology Group, Inc.b | 126,900 | ||||||
| 27,200 | Kilroy Realty Corporation | 1,288,464 | ||||||
| 25,800 | Kite Realty Group Trust | 144,222 | ||||||
| 35,300 | LaSalle Hotel Properties | 896,267 | ||||||
| 54,059 | Lexington Realty Trust | 564,917 | ||||||
| 11,200 | LTC Properties, Inc. | 394,128 | ||||||
| 13,700 | MarketAxess Holdings, Inc. | 483,610 | ||||||
| 17,174 | Meadowbrook Insurance Group, Inc. | 99,266 | ||||||
| 49,800 | Medical Properties Trust, Inc. | 595,608 | ||||||
| 15,100 | Mid-America Apartment Communities, Inc. | 977,725 | ||||||
| 14,700 | National Financial Partnersb | 251,958 | ||||||
| 44,700 | National Penn Bancshares, Inc. | 416,604 | ||||||
| 3,900 | Navigators Group, Inc.b | 199,173 | ||||||
| 12,400 | NBT Bancorp, Inc. | 251,348 | ||||||
| 36,000 | Northwest Bancshares, Inc. | 437,040 | ||||||
| 37,300 | Old National Bancorp | 442,751 | ||||||
| 14,300 | Oritani Financial Corporation | 219,076 | ||||||
| 11,800 | PacWest Bancorp | 292,404 | ||||||
| 12,300 | Parkway Properties, Inc. | 172,077 | ||||||
| 19,300 | Pennsylvania Real Estate Investment Trust | 340,452 | ||||||
| 12,000 | Pinnacle Financial Partners, Inc.b | 226,080 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
165
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (97.9%) | Value | ||||||
| Financials (20.2%) - continued |
| ||||||
| 6,100 | Piper Jaffray Companiesb | $ | 195,993 | |||||
| 19,900 | Post Properties, Inc. | 994,005 | ||||||
| 23,000 | PrivateBancorp, Inc. | 352,360 | ||||||
| 22,600 | ProAssurance Corporation | 953,494 | ||||||
| 68,878 | Prospect Capital Corporation | 748,704 | ||||||
| 19,900 | Provident Financial Services, Inc. | 296,908 | ||||||
| 6,600 | PS Business Parks, Inc. | 428,868 | ||||||
| 6,200 | RLI Corporation | 400,892 | ||||||
| 10,600 | S&T Bancorp, Inc. | 191,542 | ||||||
| 13,700 | Sabra Healthcare REIT, Inc. | 297,564 | ||||||
| 4,700 | Safety Insurance Group, Inc. | 216,999 | ||||||
| 4,700 | Saul Centers, Inc. | 201,113 | ||||||
| 20,200 | Selective Insurance Group, Inc. | 389,254 | ||||||
| 6,200 | Simmons First National Corporation | 157,232 | ||||||
| 10,800 | Sovran Self Storage, Inc. | 670,680 | ||||||
| 11,400 | Sterling Bancorp | 103,854 | ||||||
| 6,600 | Stewart Information Services Corporation | 171,600 | ||||||
| 18,250 | Stifel Financial Corporationb | 583,452 | ||||||
| 68,500 | Susquehanna Bancshares, Inc. | 717,880 | ||||||
| 10,326 | SWS Group, Inc.b | 54,625 | ||||||
| 34,500 | Tanger Factory Outlet Centers, Inc. | 1,179,900 | ||||||
| 14,800 | Texas Capital Bancshares, Inc.b | 663,336 | ||||||
| 4,240 | Tompkins Financial Corporation | 168,074 | ||||||
| 12,700 | Tower Group, Inc. | 225,679 | ||||||
| 34,482 | Trustco Bank Corporation NY | 182,065 | ||||||
| 12,000 | UMB Financial Corporation | 526,080 | ||||||
| 41,100 | Umpqua Holdings Corporation | 484,569 | ||||||
| 16,800 | United Bankshares, Inc.a | 408,576 | ||||||
| 16,975 | United Community Banks, Inc.b | 159,904 | ||||||
| 8,000 | United Fire Group, Inc. | 174,720 | ||||||
| 4,700 | Universal Health Realty Income Trust | 237,867 | ||||||
| 9,400 | Urstadt Biddle Properties, Inc. | 184,992 | ||||||
| 13,000 | ViewPoint Financial Group, Inc. | 272,220 | ||||||
| 2,200 | Virtus Investment Partners, Inc.b | 266,068 | ||||||
| 22,800 | Wilshire Bancorp, Inc.b | 133,836 | ||||||
| 13,400 | Wintrust Financial Corporation | 491,780 | ||||||
| 4,812 | World Acceptance Corporationa,b | 358,783 | ||||||
|
| |||||||
| Total | 39,163,142 | |||||||
|
| |||||||
| Health Care (10.3%) | |||||||
| 7,600 | Abaxis, Inc. | 281,960 | ||||||
| 13,300 | ABIOMED, Inc.a,b | 179,018 | ||||||
| 14,800 | Acorda Therapeutics, Inc.b | 367,928 | ||||||
| 26,000 | Affymetrix, Inc.a,b | 82,420 | ||||||
| 12,900 | Air Methods Corporation | 475,881 | ||||||
| 24,800 | Akorn, Inc.b | 331,328 | ||||||
| 26,300 | Align Technology, Inc.b | 729,825 | ||||||
| 3,100 | Almost Family, Inc. | 62,806 | ||||||
| 11,333 | Amedisys, Inc.a,b | 127,723 | ||||||
| 16,300 | AMN Healthcare Services, Inc.b | 188,265 | ||||||
| 11,650 | AmSurg Corporationb | 349,616 | ||||||
| 4,500 | Analogic Corporation | 334,350 | ||||||
| 21,500 | ArQule, Inc.b | 59,985 | ||||||
| 9,000 | Bio-Reference Laboratories, Inc.a,b | 258,210 | ||||||
| 10,900 | Cambrex Corporationb | 124,042 | ||||||
| 7,850 | Cantel Medical Corporation | 233,381 | ||||||
| 19,000 | Centene Corporationb | 779,000 | ||||||
| 7,000 | Chemed Corporation | 480,130 | ||||||
| 3,900 | Computer Programs and Systems, Inc. | 196,326 | ||||||
| 10,450 | CONMED Corporation | 292,077 | ||||||
| 2,300 | Corvel Corporationb | 103,109 | ||||||
| 11,300 | Cross Country Healthcare, Inc.b | 54,240 | ||||||
| 9,350 | CryoLife, Inc. | 58,250 | ||||||
| 23,500 | Cubist Pharmaceuticals, Inc.b | 988,410 | ||||||
| 8,700 | Cyberonics, Inc.b | 457,011 | ||||||
| 9,400 | Emergent Biosolutions, Inc.b | 150,776 | ||||||
| 6,400 | Ensign Group, Inc. | 174,016 | ||||||
| 12,297 | Enzo Biochem, Inc.b | 33,202 | ||||||
| 10,400 | Gentiva Health Services, Inc.b | 104,520 | ||||||
| 8,700 | Greatbatch, Inc.b | 202,188 | ||||||
| 18,800 | Haemonetics Corporationb | 767,792 | ||||||
| 12,600 | Hanger, Inc.b | 344,736 | ||||||
| 7,200 | HealthStream, Inc.b | 175,032 | ||||||
| 12,300 | Healthways, Inc.b | 131,610 | ||||||
| 4,000 | Hi-Tech Pharmacal Company | 139,920 | ||||||
| 4,700 | ICU Medical, Inc.b | 286,371 | ||||||
| 7,100 | Integra LifeSciences Holdings Corporationb | 276,687 | ||||||
| 10,600 | Invacare Corporation | 172,780 | ||||||
| 6,100 | IPC The Hospitalist Company, Inc.b | 242,231 | ||||||
| 19,500 | Kindred Healthcare, Inc.b | 210,990 | ||||||
| 3,500 | Landauer, Inc. | 214,235 | ||||||
| 5,700 | LHC Group, Inc.b | 121,410 | ||||||
| 14,000 | Luminex Corporationb | 234,640 | ||||||
| 10,100 | Magellan Health Services, Inc.b | 494,900 | ||||||
| 19,700 | Medicines Companyb | 472,209 | ||||||
| 8,100 | Medidata Solutions, Inc.b | 317,439 | ||||||
| 15,200 | Meridian Bioscience, Inc.a | 307,800 | ||||||
| 14,575 | Merit Medical Systems, Inc.b | 202,593 | ||||||
| 11,000 | Molina Healthcare, Inc.b | 297,660 | ||||||
| 16,700 | Momenta Pharmaceuticals, Inc.b | 196,726 | ||||||
| 4,400 | MWI Veterinary Supply, Inc.b | 484,000 | ||||||
| 11,000 | Natus Medical, Inc.b | 122,980 | ||||||
| 8,150 | Neogen Corporationb | 369,358 | ||||||
| 16,000 | NuVasive, Inc.b | 247,360 | ||||||
| 12,200 | Omnicell, Inc.b | 181,414 | ||||||
| 6,500 | Palomar Medical Technologies, Inc.b | 59,865 | ||||||
| 22,100 | PAREXEL International Corporationb | 653,939 | ||||||
| 10,900 | PharMerica Corporationb | 155,216 | ||||||
| 18,500 | PSS World Medical, Inc.b | 534,280 | ||||||
| 14,600 | Quality Systems, Inc. | 253,456 | ||||||
| 21,900 | Questcor Pharmaceuticals, Inc.a | 585,168 | ||||||
| 18,300 | Salix Pharmaceuticals, Ltd.b | 740,784 | ||||||
| 18,900 | Spectrum Pharmaceuticals, Inc.a | 211,491 | ||||||
| 4,500 | SurModics, Inc.b | 100,620 | ||||||
| 13,500 | Symmetry Medical, Inc.b | 142,020 | ||||||
| 25,300 | Viropharma, Inc.b | 575,828 | ||||||
| 12,500 | West Pharmaceutical Services, Inc. | 684,375 | ||||||
|
| |||||||
| Total | 19,969,908 | |||||||
|
| |||||||
| Industrials (15.9%) | |||||||
| 14,300 | A.O. Smith Corporation | 901,901 | ||||||
| 6,850 | AAON, Inc. | 142,960 | ||||||
| 14,800 | AAR Corporation | 276,464 | ||||||
| 18,500 | ABM Industries, Inc. | 369,075 | ||||||
| 26,800 | Actuant Corporation | 747,988 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
166
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (97.9%) | Value | ||||||
| Industrials (15.9%) - continued |
| ||||||
| 14,500 | Aegion Corporationb | $ | 321,755 | |||||
| 7,000 | Aerovironment, Inc.b | 152,180 | ||||||
| 10,600 | Albany International Corporation | 240,408 | ||||||
| 5,600 | Allegiant Travel Company | 411,096 | ||||||
| 3,100 | American Science & Engineering, Inc. | 202,151 | ||||||
| 10,400 | Apogee Enterprises, Inc. | 249,288 | ||||||
| 15,450 | Applied Industrial Technologies, Inc. | 649,054 | ||||||
| 8,800 | Arkansas Best Corporation | 84,040 | ||||||
| 7,800 | Astec Industries, Inc. | 259,974 | ||||||
| 9,300 | AZZ, Inc. | 357,399 | ||||||
| 17,300 | Barnes Group, Inc. | 388,558 | ||||||
| 16,425 | Belden, Inc. | 738,961 | ||||||
| 17,400 | Brady Corporation | 581,160 | ||||||
| 17,600 | Briggs & Stratton Corporation | 371,008 | ||||||
| 5,100 | CDI Corporation | 87,363 | ||||||
| 6,400 | Circor International, Inc. | 253,376 | ||||||
| 13,700 | Comfort Systems USA, Inc. | 166,592 | ||||||
| 3,200 | Consolidated Graphics, Inc.b | 111,744 | ||||||
| 5,900 | Cubic Corporation | 283,023 | ||||||
| 17,300 | Curtiss-Wright Corporation | 567,959 | ||||||
| 10,600 | Dolan Companyb | 41,234 | ||||||
| 12,300 | Dycom Industries, Inc.b | 243,540 | ||||||
| 24,500 | EMCOR Group, Inc. | 847,945 | ||||||
| 8,500 | Encore Capital Group, Inc.b | 260,270 | ||||||
| 6,800 | Encore Wire Corporation | 206,108 | ||||||
| 17,600 | EnerSysb | 662,288 | ||||||
| 6,102 | Engility Holdings, Inc.a,b | 117,525 | ||||||
| 7,600 | EnPro Industries, Inc.b | 310,840 | ||||||
| 9,800 | ESCO Technologies, Inc. | 366,618 | ||||||
| 4,800 | Exponent, Inc.b | 267,984 | ||||||
| 22,900 | Federal Signal Corporationb | 174,269 | ||||||
| 10,700 | Forward Air Corporation | 374,607 | ||||||
| 7,000 | Franklin Electric Company, Inc. | 435,190 | ||||||
| 6,700 | G & K Services, Inc. | 228,805 | ||||||
| 22,100 | GenCorp, Inc.b | 202,215 | ||||||
| 26,096 | Geo Group, Inc. | 735,907 | ||||||
| 10,700 | Gibraltar Industries, Inc.b | 170,344 | ||||||
| 16,930 | Griffon Corporation | 194,018 | ||||||
| 24,737 | Healthcare Services Group, Inc. | 574,641 | ||||||
| 16,948 | Heartland Express, Inc. | 221,510 | ||||||
| 6,100 | Heidrick & Struggles International, Inc. | 93,086 | ||||||
| 13,100 | Hub Group, Inc.b | 440,160 | ||||||
| 20,100 | II-VI, Inc.b | 367,227 | ||||||
| 8,100 | Insperity, Inc. | 263,736 | ||||||
| 21,100 | Interface, Inc. | 339,288 | ||||||
| 10,600 | John Bean Technologies Corporation | 188,362 | ||||||
| 9,700 | Kaman Corporation | 356,960 | ||||||
| 11,800 | Kaydon Corporation | 282,374 | ||||||
| 10,000 | Kelly Services, Inc. | 157,400 | ||||||
| 21,650 | Knight Transportation, Inc. | 316,739 | ||||||
| 17,600 | Korn/Ferry Internationalb | 279,136 | ||||||
| 4,750 | Lindsay Manufacturing Companya | 380,570 | ||||||
| 6,300 | Lydall, Inc.b | 90,342 | ||||||
| 13,900 | Mobile Mini, Inc.b | 289,537 | ||||||
| 16,750 | Moog, Inc.b | 687,252 | ||||||
| 10,300 | Mueller Industries, Inc. | 515,309 | ||||||
| 1,800 | National Presto Industries, Inc.a | 124,380 | ||||||
| 18,900 | Navigant Consulting, Inc.b | 210,924 | ||||||
| 6,960 | NCI Building Systems, Inc.b | 96,744 | ||||||
| 26,037 | Old Dominion Freight Line, Inc.b | 892,548 | ||||||
| 15,900 | On Assignment, Inc.b | 322,452 | ||||||
| 21,800 | Orbital Sciences Corporationb | 300,186 | ||||||
| 10,000 | Orion Marine Group, Inc.b | 73,100 | ||||||
| 6,200 | Portfolio Recovery Associates, Inc.b | 662,532 | ||||||
| 3,400 | Powell Industries, Inc.b | 141,202 | ||||||
| 13,575 | Quanex Building Products Corporation | 277,066 | ||||||
| 15,400 | Resources Global Professionals | 183,876 | ||||||
| 15,700 | Robbins & Myers, Inc. | 933,365 | ||||||
| 14,700 | Simpson Manufacturing Company, Inc. | 482,013 | ||||||
| 18,800 | SkyWest, Inc. | 234,248 | ||||||
| 4,600 | Standex International Corporation | 235,934 | ||||||
| 14,400 | Sykes Enterprises, Inc.b | 219,168 | ||||||
| 13,600 | Teledyne Technologies, Inc.b | 884,952 | ||||||
| 6,900 | Tennant Company | 303,255 | ||||||
| 23,406 | Tetra Tech, Inc.b | 619,089 | ||||||
| 21,600 | Toro Company | 928,368 | ||||||
| 14,700 | TrueBlue, Inc.b | 231,525 | ||||||
| 5,500 | UniFirst Corporation | 403,260 | ||||||
| 14,900 | United Stationers, Inc. | 461,751 | ||||||
| 7,400 | Universal Forest Products, Inc. | 281,496 | ||||||
| 7,500 | Viad Corporation | 203,700 | ||||||
| 7,300 | Vicor Corporationb | 39,566 | ||||||
| 10,200 | Watts Water Technologies, Inc. | 438,498 | ||||||
|
| |||||||
| Total | 30,784,011 | |||||||
|
| |||||||
| Information Technology (18.0%) | |||||||
| 17,500 | 3D Systems Corporationa,b | 933,625 | ||||||
| 12,900 | Advanced Energy Industries, Inc.b | 178,149 | ||||||
| 5,200 | Agilysys, Inc.b | 43,524 | ||||||
| 10,100 | Anixter International, Inc. | 646,198 | ||||||
| 41,623 | Arris Group, Inc.b | 621,848 | ||||||
| 11,700 | ATMI, Inc.b | 244,296 | ||||||
| 11,113 | Avid Technology, Inc.b | 84,237 | ||||||
| 5,300 | Badger Meter, Inc. | 251,273 | ||||||
| 3,900 | Bel Fuse, Inc. | 76,245 | ||||||
| 20,650 | Benchmark Electronics, Inc.b | 343,203 | ||||||
| 6,200 | Black Box Corporation | 150,908 | ||||||
| 16,600 | Blackbaud, Inc. | 378,978 | ||||||
| 14,800 | Blucora, Inc.b | 232,508 | ||||||
| 13,600 | Bottomline Technologies, Inc.b | 358,904 | ||||||
| 24,307 | Brooks Automation, Inc. | 195,671 | ||||||
| 8,600 | Cabot Microelectronics Corporation | 305,386 | ||||||
| 8,300 | CACI International, Inc.b | 456,749 | ||||||
| 16,300 | Cardtronics, Inc.b | 386,962 | ||||||
| 8,400 | Ceva, Inc.b | 132,300 | ||||||
| 14,900 | Checkpoint Systems, Inc.b | 160,026 | ||||||
| 24,500 | CIBER, Inc.b | 81,830 | ||||||
| 23,800 | Cirrus Logic, Inc.b | 689,486 | ||||||
| 14,700 | Cognex Corporation | 541,254 | ||||||
| 8,700 | Coherent, Inc. | 440,394 | ||||||
| 8,400 | Cohu, Inc. | 91,056 | ||||||
| 15,300 | CommVault Systems, Inc.b | 1,066,563 | ||||||
| 11,800 | comScore, Inc.b | 162,604 | ||||||
| 6,600 | Comtech Telecommunications Corporation | 167,508 | ||||||
| 12,300 | CSG Systems International, Inc.b | 223,614 | ||||||
| 12,500 | CTS Corporation | 132,875 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
167
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (97.9%) | Value | ||||||
| Information Technology (18.0%) - continued |
| ||||||
| 11,400 | Cymer, Inc.b | $ | 1,030,902 | |||||
| 13,600 | Daktronics, Inc. | 150,552 | ||||||
| 15,700 | DealerTrack Holdings, Inc.b | 450,904 | ||||||
| 19,200 | Dice Holdings, Inc.b | 176,256 | ||||||
| 9,500 | Digi International, Inc.b | 89,965 | ||||||
| 13,100 | Digital River, Inc.b | 188,509 | ||||||
| 13,250 | Diodes, Inc.b | 229,888 | ||||||
| 8,000 | DSP Group, Inc.b | 46,080 | ||||||
| 6,900 | DTS, Inc.b | 115,230 | ||||||
| 11,700 | Ebix, Inc.a | 188,019 | ||||||
| 9,200 | Electro Scientific Industries, Inc. | 91,540 | ||||||
| 17,100 | Electronics for Imaging, Inc.b | 324,729 | ||||||
| 32,500 | Entropic Communications, Inc.b | 171,925 | ||||||
| 11,800 | EPIQ Systems, Inc. | 150,804 | ||||||
| 16,800 | Exar Corporationb | 149,520 | ||||||
| 9,500 | ExlService Holdings, Inc.b | 251,750 | ||||||
| 6,200 | FARO Technologies, Inc.b | 221,216 | ||||||
| 14,000 | FEI Company | 776,440 | ||||||
| 5,400 | Forrester Research, Inc. | 144,720 | ||||||
| 43,600 | GT Advanced Technologies, Inc.a,b | 131,672 | ||||||
| 43,000 | Harmonic, Inc.b | 218,010 | ||||||
| 14,300 | Heartland Payment Systems, Inc. | 421,850 | ||||||
| 12,100 | Higher One Holdings, Inc.a,b | 127,534 | ||||||
| 10,000 | Hittite Microwave Corporationb | 621,000 | ||||||
| 11,200 | iGATE Corporationb | 176,624 | ||||||
| 16,275 | Insight Enterprises, Inc.b | 282,697 | ||||||
| 5,500 | Interactive Intelligence Groupb | 184,470 | ||||||
| 20,600 | Intermec, Inc.b | 203,116 | ||||||
| 8,600 | Intevac, Inc.b | 39,302 | ||||||
| 19,800 | Ixiab | 336,204 | ||||||
| 15,800 | j2 Global, Inc.a | 483,164 | ||||||
| 22,700 | Kopin Corporationb | 75,591 | ||||||
| 27,200 | Kulicke and Soffa Industries, Inc.b | 326,128 | ||||||
| 8,900 | Liquidity Services, Inc.b | 363,654 | ||||||
| 8,000 | Littelfuse, Inc. | 493,680 | ||||||
| 18,400 | Liveperson, Inc.b | 241,776 | ||||||
| 8,200 | LogMeIn, Inc.b | 183,762 | ||||||
| 7,400 | Manhattan Associates, Inc.b | 446,516 | ||||||
| 12,500 | MAXIMUS, Inc. | 790,250 | ||||||
| 5,800 | Measurement Specialties, Inc.b | 199,288 | ||||||
| 11,400 | Mercury Computer Systems, Inc.b | 104,880 | ||||||
| 12,900 | Methode Electronics, Inc. | 129,387 | ||||||
| 17,700 | Micrel, Inc. | 168,150 | ||||||
| 32,700 | Microsemi Corporationb | 688,008 | ||||||
| 3,200 | MicroStrategy, Inc.b | 298,816 | ||||||
| 19,400 | MKS Instruments, Inc. | 500,132 | ||||||
| 11,400 | Monolithic Power Systems, Inc. | 253,992 | ||||||
| 13,500 | Monotype Imaging Holdings, Inc. | 215,730 | ||||||
| 6,000 | MTS Systems Corporation | 305,580 | ||||||
| 7,800 | Nanometrics, Inc.b | 112,476 | ||||||
| 14,000 | NETGEAR, Inc.b | 551,880 | ||||||
| 13,200 | NetScout Systems, Inc.b | 343,068 | ||||||
| 14,100 | Newport Corporationb | 189,645 | ||||||
| 21,900 | NIC, Inc. | 357,846 | ||||||
| 8,300 | OpenTable, Inc.b | 405,040 | ||||||
| 7,000 | Oplink Communications, Inc.b | 109,060 | ||||||
| 6,900 | OSI Systems, Inc.b | 441,876 | ||||||
| 7,250 | Park Electrochemical Corporation | 186,542 | ||||||
| 6,500 | PC-Tel, Inc. | 46,800 | ||||||
| 12,200 | Perficient, Inc.b | 143,716 | ||||||
| 7,800 | Pericom Semiconductor Corporationb | 62,634 | ||||||
| 12,900 | Plexus Corporationb | 332,820 | ||||||
| 10,600 | Power Integrations, Inc. | 356,266 | ||||||
| 7,200 | Procera Networks, Inc.b | 133,560 | ||||||
| 23,250 | Progress Software Corporationb | 488,017 | ||||||
| 9,400 | QuinStreet, Inc.b | 63,168 | ||||||
| 8,500 | RadiSys Corporationb | 25,330 | ||||||
| 10,500 | Rofin-Sinar Technologies, Inc.b | 227,640 | ||||||
| 6,000 | Rogers Corporationb | 297,960 | ||||||
| 6,300 | Rubicon Technology, Inc.b | 38,493 | ||||||
| 11,900 | Rudolph Technologies, Inc.b | 160,055 | ||||||
| 10,100 | ScanSource, Inc.b | 320,877 | ||||||
| 12,400 | Sigma Designs, Inc.b | 63,860 | ||||||
| 11,000 | Sourcefire, Inc.b | 519,420 | ||||||
| 14,200 | STR Holdings, Inc.a,b | 35,784 | ||||||
| 9,700 | Super Micro Computer, Inc.b | 98,940 | ||||||
| 3,900 | Supertex, Inc. | 68,445 | ||||||
| 15,250 | Symmetricom, Inc.b | 87,992 | ||||||
| 12,100 | Synaptics, Inc.b | 362,637 | ||||||
| 10,000 | Synchronoss Technologies, Inc.b | 210,900 | ||||||
| 9,700 | Synnex Corporationb | 333,486 | ||||||
| 33,150 | Take-Two Interactive Software, Inc.b | 364,982 | ||||||
| 8,500 | TeleTech Holdings, Inc.b | 151,300 | ||||||
| 19,100 | Tessera Technologies, Inc. | 313,622 | ||||||
| 60,200 | TriQuint Semiconductor, Inc.b | 291,368 | ||||||
| 19,300 | TTM Technologies, Inc.b | 177,560 | ||||||
| 9,600 | Tyler Technologies, Inc.b | 465,024 | ||||||
| 9,700 | Ultratech, Inc.b | 361,810 | ||||||
| 33,300 | United Online, Inc. | 186,147 | ||||||
| 10,600 | VASCO Data Security International, Inc.b | 86,496 | ||||||
| 14,400 | Veeco Instruments, Inc.a,b | 425,088 | ||||||
| 14,600 | Viasat, Inc.b | 567,940 | ||||||
| 7,400 | Virtusa Corporationb | 121,582 | ||||||
| 9,400 | Volterra Semiconductor Corporationb | 161,398 | ||||||
| 13,400 | Websense, Inc.b | 201,536 | ||||||
| 9,000 | XO Group, Inc.b | 83,700 | ||||||
|
| |||||||
| Total | 34,873,872 | |||||||
|
| |||||||
| Materials (6.4%) | |||||||
| 10,900 | A. Schulman, Inc. | 315,337 | ||||||
| 6,100 | A.M. Castle & Companyb | 90,097 | ||||||
| 48,800 | AK Steel Holding Corporation | 224,480 | ||||||
| 9,300 | AMCOL International Corporation | 285,324 | ||||||
| 8,800 | American Vanguard Corporation | 273,416 | ||||||
| 10,800 | Balchem Corporation | 393,120 | ||||||
| 14,700 | Buckeye Technologies, Inc. | 422,037 | ||||||
| 20,900 | Calgon Carbon Corporationb | 296,362 | ||||||
| 18,900 | Century Aluminum Companyb | 165,564 | ||||||
| 8,500 | Clearwater Paper Corporationb | 332,860 | ||||||
| 4,000 | Deltic Timber Corporation | 282,480 | ||||||
| 16,900 | Eagle Materials, Inc. | 988,650 | ||||||
| 23,500 | Globe Specialty Metals, Inc. | 323,125 | ||||||
| 18,400 | H.B. Fuller Company | 640,688 | ||||||
| 3,400 | Hawkins, Inc.a | 131,376 | ||||||
| 4,600 | Haynes International, Inc. | 238,602 | ||||||
| 26,500 | Headwaters, Inc.b | 226,840 | ||||||
| 8,000 | Innophos Holdings, Inc. | 372,000 | ||||||
| 6,200 | Kaiser Aluminum Corporation | 382,478 | ||||||
| 14,100 | KapStone Paper and Packaging Corporation | 312,879 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
168
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (97.9%) | Value | ||||||
| Materials (6.4%) - continued |
| ||||||
| 7,600 | Koppers Holdings, Inc. | $ | 289,940 | |||||
| 11,900 | Kraton Performance Polymers, Inc.b | 285,957 | ||||||
| 7,000 | LSB Industries, Inc.b | 247,940 | ||||||
| 7,500 | Materion Corporation | 193,350 | ||||||
| 11,363 | Myers Industries, Inc. | 172,149 | ||||||
| 5,800 | Neenah Paper, Inc. | 165,126 | ||||||
| 3,400 | Olympic Steel, Inc. | 75,276 | ||||||
| 11,900 | OM Group, Inc.b | 264,180 | ||||||
| 15,700 | PH Glatfelter Company | 274,436 | ||||||
| 32,500 | PolyOne Corporation | 663,650 | ||||||
| 4,800 | Quaker Chemical Corporation | 258,528 | ||||||
| 11,100 | RTI International Metals, Inc.b | 305,916 | ||||||
| 11,500 | Schweitzer-Mauduit International, Inc. | 448,845 | ||||||
| 6,200 | Stepan Company | 344,348 | ||||||
| 43,800 | Stillwater Mining Companyb | 559,764 | ||||||
| 25,727 | SunCoke Energy, Inc.b | 401,084 | ||||||
| 7,600 | Texas Industries, Inc.a,b | 387,676 | ||||||
| 8,800 | Tredegar Corporation | 179,696 | ||||||
| 17,100 | Wausau Paper Corporation | 148,086 | ||||||
| 8,350 | Zep, Inc. | 120,574 | ||||||
|
| |||||||
| Total | 12,484,236 | |||||||
|
| |||||||
| Telecommunications Services (0.5%) | |||||||
| 3,500 | Atlantic Tele-Network, Inc. | 128,485 | ||||||
| 11,300 | Cbeyond, Inc.b | 102,152 | ||||||
| 72,600 | Cincinnati Bell, Inc.b | 397,848 | ||||||
| 12,000 | General Communication, Inc.b | 115,080 | ||||||
| 5,400 | Lumos Networks Corporation | 54,108 | ||||||
| 11,000 | Neutral Tandem, Inc. | 28,270 | ||||||
| 5,500 | NTELOS Holdings Corporation | 72,105 | ||||||
| 8,100 | USA Mobility, Inc. | 94,608 | ||||||
|
| |||||||
| Total | 992,656 | |||||||
|
| |||||||
| Utilities (3.8%) | |||||||
| 12,633 | ALLETE, Inc. | 517,700 | ||||||
| 6,950 | American States Water Company | 333,461 | ||||||
| 21,600 | Avista Corporation | 520,776 | ||||||
| 5,500 | CH Energy Group, Inc. | 358,710 | ||||||
| 14,700 | El Paso Electric Company | 469,077 | ||||||
| 7,700 | Laclede Group, Inc. | 297,297 | ||||||
| 15,250 | New Jersey Resources Corporation | 604,205 | ||||||
| 9,900 | Northwest Natural Gas Company | 437,580 | ||||||
| 13,700 | NorthWestern Corporation | 475,801 | ||||||
| 26,500 | Piedmont Natural Gas Company, Inc.a | 829,715 | ||||||
| 11,300 | South Jersey Industries, Inc. | 568,729 | ||||||
| 17,000 | Southwest Gas Corporation | 720,970 | ||||||
| 18,666 | UIL Holdings Corporation | 668,430 | ||||||
| 15,200 | UNS Energy Corporation | 644,784 | ||||||
|
| |||||||
| Total | 7,447,235 | |||||||
|
| |||||||
| Total Common Stock (cost $146,182,385) | 189,656,520 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (6.0%) | ||||||||
| 11,591,213 | Thrivent Cash Management Trust | 11,591,213 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $11,591,213) | 11,591,213 | |||||||
|
| |||||||
Shares or | Short-Term Investments (1.4%) | |||||||
| 2,465,274 | Thrivent Cash Management Trust | $ | 2,465,274 | |||||
| U.S. Treasury Bills | ||||||||
| 200,000 | 0.125%, 1/17/2013c,d | 199,989 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 2,665,263 | |||||||
|
| |||||||
| Total Investments (cost $160,438,861) 105.3% | $ | 203,912,996 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (5.3%) | (10,235,140 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 193,677,856 | ||||||
|
| |||||||
| a | All or a portion of the security is on loan. |
| b | Non-income producing security. |
| c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| d | At December 31, 2012, $199,989 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
REIT - Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets.
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 55,396,208 | ||
Gross unrealized depreciation | (16,834,861 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 38,561,347 | ||
Cost for federal income tax purposes | $ | 165,351,649 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
169
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Small Cap Index Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 28,775,541 | 28,775,541 | — | — | ||||||||||||
Consumer Staples | 7,278,056 | 7,278,056 | — | — | ||||||||||||
Energy | 7,887,863 | 7,887,863 | — | — | ||||||||||||
Financials | 39,163,142 | 39,163,142 | — | — | ||||||||||||
Health Care | 19,969,908 | 19,969,908 | — | — | ||||||||||||
Industrials | 30,784,011 | 30,784,011 | — | — | ||||||||||||
Information Technology | 34,873,872 | 34,873,872 | — | — | ||||||||||||
Materials | 12,484,236 | 12,484,236 | — | — | ||||||||||||
Telecommunications Services | 992,656 | 992,656 | — | — | ||||||||||||
Utilities | 7,447,235 | 7,447,235 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 11,591,213 | 11,591,213 | — | — | ||||||||||||
Short-Term Investments | 2,665,263 | 2,465,274 | 199,989 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 203,912,996 | $ | 203,713,007 | $ | 199,989 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 19,202 | 19,202 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 19,202 | $ | 19,202 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
Russell 2000 Index Mini-Futures | 47 | March 2013 | $ | 3,959,818 | $ | 3,979,020 | $ | 19,202 | ||||||||||||
Total Futures Contracts | $ | 19,202 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2012, for Small Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 19,202 | ||||
Total Equity Contracts | 19,202 | |||||
|
| |||||
Total Asset Derivatives | $ | 19,202 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
170
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Small Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 176,725 | ||||
Total Equity Contracts | 176,725 | |||||
|
| |||||
Total | $ | 176,725 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2012, for Small Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (40,666 | ) | |||
Total Equity Contracts | (40,666 | ) | ||||
|
| |||||
Total | ($ | 40,666 | ) | |||
|
| |||||
The following table presents Small Cap Index Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 2,155,205 | 1.1 | % | ||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Small Cap Index Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 16,002,829 | $ | 47,506,866 | $ | 51,918,482 | 11,591,213 | $ | 11,591,213 | $ | 234,991 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 7,898,456 | 5,433,182 | 2,465,274 | 2,465,274 | 373 | ||||||||||||||||||
Total Value and Income Earned | 16,002,829 | 14,056,487 | 235,364 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
171
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (95.2%) | Value | ||||||
| Consumer Discretionary (17.2%) |
| ||||||
| 82,698 | Abercrombie & Fitch Company | $ | 3,967,023 | |||||
| 61,364 | Darden Restaurants, Inc. | 2,765,675 | ||||||
| 150,802 | Discovery Communications, Inc.a | 9,572,911 | ||||||
| 189,046 | Dollar Tree, Inc.a | 7,667,706 | ||||||
| 96,681 | GNC Holdings, Inc. | 3,217,544 | ||||||
| 127,887 | Limited Brands, Inc. | 6,018,362 | ||||||
| 66,700 | Marriott International, Inc. | 2,485,909 | ||||||
| 30,786 | O’Reilly Automotive, Inc.a | 2,752,884 | ||||||
| 85,626 | PetSmart, Inc. | 5,851,681 | ||||||
| 137,200 | Toll Brothers, Inc.a | 4,435,676 | ||||||
| 75,066 | Tractor Supply Company | 6,632,832 | ||||||
| 17,493 | VF Corporation | 2,640,918 | ||||||
| 38,000 | Wynn Resorts, Ltd. | 4,274,620 | ||||||
|
| |||||||
| Total | 62,283,741 | |||||||
|
| |||||||
| Consumer Staples (2.6%) | |||||||
| 53,607 | Clorox Company | 3,925,105 | ||||||
| 60,053 | Whole Foods Market, Inc. | 5,484,640 | ||||||
|
| |||||||
| Total | 9,409,745 | |||||||
|
| |||||||
| Energy (11.0%) | |||||||
| 509,700 | Alpha Natural Resources, Inc.a,b | 4,964,478 | ||||||
| 122,200 | Cameron International Corporationa | 6,899,412 | ||||||
| 61,217 | Concho Resources, Inc.a | 4,931,642 | ||||||
| 113,324 | Helix Energy Solutions Group, Inc.a | 2,339,007 | ||||||
| 57,252 | Oil States International, Inc.a | 4,095,808 | ||||||
| 128,682 | Peabody Energy Corporation | 3,424,228 | ||||||
| 62,000 | Range Resources Corporation | 3,895,460 | ||||||
| 46,900 | SM Energy Company | 2,448,649 | ||||||
| 97,900 | Southwestern Energy Companya | 3,270,839 | ||||||
| 313,535 | Weatherford International, Ltd.a | 3,508,457 | ||||||
|
| |||||||
| Total | 39,777,980 | |||||||
|
| |||||||
| Financials (4.3%) | |||||||
| 62,265 | Affiliated Managers Group, Inc.a | 8,103,790 | ||||||
| 18,200 | Ameriprise Financial, Inc. | 1,139,866 | ||||||
| 90,730 | Discover Financial Services | 3,497,641 | ||||||
| 44,000 | T. Rowe Price Group, Inc. | 2,865,720 | ||||||
|
| |||||||
| Total | 15,607,017 | |||||||
|
| |||||||
| Health Care (12.7%) | |||||||
| 16,320 | Alexion Pharmaceuticals, Inc.a | 1,530,979 | ||||||
| 136,951 | AmerisourceBergen Corporation | 5,913,544 | ||||||
| 83,200 | BioMarin Pharmaceutical, Inc.a | 4,097,600 | ||||||
| 107,996 | Catamaran Corporationa | 5,087,692 | ||||||
| 59,291 | CIGNA Corporation | 3,169,697 | ||||||
| 27,635 | Mettler-Toledo International, Inc.a | 5,341,845 | ||||||
| 41,349 | Onyx Pharmaceuticals, Inc.a | 3,123,090 | ||||||
| 46,700 | Perrigo Company | 4,858,201 | ||||||
| 115,600 | Thoratec Corporationa | 4,337,312 | ||||||
| 98,947 | Watson Pharmaceuticals, Inc.a | 8,509,442 | ||||||
|
| |||||||
| Total | 45,969,402 | |||||||
|
| |||||||
| Industrials (16.7%) | |||||||
| 173,828 | AMETEK, Inc. | 6,530,718 | ||||||
| 71,690 | BE Aerospace, Inc.a | 3,541,486 | ||||||
| 113,000 | Expeditors International of Washington, Inc. | 4,469,150 | ||||||
| 44,266 | Flowserve Corporation | 6,498,249 | ||||||
| 61,400 | Fortune Brands Home and Security, Inc.a | 1,794,108 | ||||||
| 93,600 | Jacobs Engineering Group, Inc.a | 3,984,552 | ||||||
| 119,984 | JB Hunt Transport Services, Inc. | 7,164,245 | ||||||
| 82,081 | Kansas City Southern | 6,852,122 | ||||||
| 67,466 | Pentair, Ltd. | 3,315,954 | ||||||
| 171,000 | Quanta Services, Inc.a | 4,666,590 | ||||||
| 52,319 | Roper Industries, Inc. | 5,832,522 | ||||||
| 60,461 | Stericycle, Inc.a | 5,639,197 | ||||||
|
| |||||||
| Total | 60,288,893 | |||||||
|
| |||||||
| Information Technology (22.5%) | |||||||
| 137,509 | Agilent Technologies, Inc. | 5,629,618 | ||||||
| 101,849 | Akamai Technologies, Inc.a | 4,166,643 | ||||||
| 99,535 | ANSYS, Inc.a | 6,702,687 | ||||||
| 200,740 | Atmel Corporationa | 1,314,847 | ||||||
| 114,260 | Autodesk, Inc.a | 4,039,091 | ||||||
| 194,799 | Broadcom Corporationa | 6,469,275 | ||||||
| 145,000 | Ciena Corporationa | 2,276,500 | ||||||
| 91,597 | F5 Networks, Inc.a | 8,898,648 | ||||||
| 60,452 | Lam Research Corporationa | 2,184,131 | ||||||
| 36,984 | Mercadolibre, Inc.b | 2,905,833 | ||||||
| 43,018 | Nice Systems, Ltd. ADRa | 1,440,243 | ||||||
| 280,590 | Nuance Communications, Inc.a | 6,262,769 | ||||||
| 524,871 | NVIDIA Corporation | 6,450,664 | ||||||
| 221,600 | NXP Semiconductors NVa | 5,843,592 | ||||||
| 40,326 | Red Hat, Inc.a | 2,135,665 | ||||||
| 101,100 | Synopsys, Inc.a | 3,219,024 | ||||||
| 38,890 | Teradata Corporationa | 2,406,902 | ||||||
| 128,400 | Teradyne, Inc.a | 2,168,676 | ||||||
| 101,937 | VeriFone Systems, Inc.a | 3,025,490 | ||||||
| 106,133 | Xilinx, Inc. | 3,810,175 | ||||||
|
| |||||||
| Total | 81,350,473 | |||||||
|
| |||||||
| Materials (5.1%) | |||||||
| 18,100 | Agrium, Inc. | 1,808,371 | ||||||
| 40,700 | Airgas, Inc. | 3,715,503 | ||||||
| 30,300 | Albemarle Corporation | 1,882,236 | ||||||
| 52,925 | Celanese Corporation | 2,356,750 | ||||||
| 52,610 | FMC Corporation | 3,078,737 | ||||||
| 66,974 | Newmont Mining Corporation | 3,110,273 | ||||||
| 66,159 | Silver Wheaton Corporation | 2,387,017 | ||||||
|
| |||||||
| Total | 18,338,887 | |||||||
|
| |||||||
| Telecommunications Services (3.1%) | |||||||
| 69,552 | SBA Communications Corporationa | 4,939,583 | ||||||
| 238,137 | TW Telecom, Inc.a | 6,065,349 | ||||||
|
| |||||||
| Total | 11,004,932 | |||||||
|
| |||||||
| Total Common Stock (cost $286,897,148) | 344,031,070 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (1.4%) | ||||||||
| 4,926,850 | Thrivent Cash Management Trust | 4,926,850 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $4,926,850) | 4,926,850 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
172
Mid Cap Growth Portfolio
Schedule of Investments as of December 31, 2012
| Shares or Principal Amount | Short-Term Investments (4.8%) | Value | ||||
| 17,465,291 | Thrivent Cash Management Trust | $ | 17,465,291 | |||
| Total Short-Term Investments (at amortized cost) | 17,465,291 | |||||
|
| |||||
| Total Investments (cost $309,289,289) 101.4% | $366,423,211 | |||||
|
| |||||
| Other Assets and Liabilities, Net (1.4%) | (4,916,941 | ) | ||||
|
| |||||
| Total Net Assets 100.0% | $ | 361,506,270 | ||||
|
| |||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
Definitions:
ADR - American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank.
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 65,443,266 | ||
Gross unrealized depreciation | (8,836,184 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 56,607,082 | ||
Cost for federal income tax purposes | $ | 309,816,129 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Mid Cap Growth Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 62,283,741 | 62,283,741 | — | — | ||||||||||||
Consumer Staples | 9,409,745 | 9,409,745 | — | — | ||||||||||||
Energy | 39,777,980 | 39,777,980 | — | — | ||||||||||||
Financials | 15,607,017 | 15,607,017 | — | — | ||||||||||||
Health Care | 45,969,402 | 45,969,402 | — | — | ||||||||||||
Industrials | 60,288,893 | 60,288,893 | — | — | ||||||||||||
Information Technology | 81,350,473 | 81,350,473 | — | — | ||||||||||||
Materials | 18,338,887 | 18,338,887 | — | — | ||||||||||||
Telecommunications Services | 11,004,932 | 11,004,932 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 4,926,850 | 4,926,850 | — | — | ||||||||||||
Short-Term Investments | 17,465,291 | 17,465,291 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 366,423,211 | $ | 366,423,211 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Mid Cap Growth Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | — | $ | 95,116,845 | $ | 90,189,995 | 4,926,850 | $ | 4,926,850 | $ | 8,331 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 31,229,669 | 13,764,378 | 17,465,291 | 17,465,291 | 3,431 | ||||||||||||||||||
Total Value and Income Earned | — | 22,392,141 | 11,762 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
173
Partner Mid Cap Value Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (97.3%) | Value | ||||||
| Consumer Discretionary (10.5%) |
| ||||||
| 5,004 | AutoZone, Inc.a | $ | 1,773,568 | |||||
| 7,698 | Charter Communications, Inc.a | 586,896 | ||||||
| 8,417 | Chipotle Mexican Grill, Inc.a | 2,503,721 | ||||||
| 69,980 | D.R. Horton, Inc. | 1,384,205 | ||||||
| 36,445 | Delphi Automotive plca | 1,394,021 | ||||||
| 167,277 | Liberty Interactive Corporationa | 3,292,011 | ||||||
| 25,251 | Limited Brands, Inc. | 1,188,312 | ||||||
| 66,559 | Macy’s, Inc. | 2,597,132 | ||||||
| 233,127 | MGM Resorts Internationala | 2,713,598 | ||||||
| 19,279 | PetSmart, Inc. | 1,317,527 | ||||||
| 25,229 | PVH Corporation | 2,800,671 | ||||||
| 29,177 | Starwood Hotels & Resorts Worldwide, Inc. | 1,673,593 | ||||||
| 38,732 | Toll Brothers, Inc.a | 1,252,206 | ||||||
| 31,582 | TRW Automotive Holdings Corporationa | 1,693,111 | ||||||
| 33,965 | Urban Outfitters, Inc.a | 1,336,862 | ||||||
|
| |||||||
| Total | 27,507,434 | |||||||
|
| |||||||
| Consumer Staples (5.3%) | |||||||
| 38,358 | Church & Dwight Company, Inc. | 2,054,838 | ||||||
| 75,844 | Coca-Cola Enterprises, Inc. | 2,406,530 | ||||||
| 53,904 | Constellation Brands, Inc.a | 1,907,663 | ||||||
| 9,582 | Ingredion, Inc. | 617,368 | ||||||
| 39,164 | J.M. Smucker Company | 3,377,503 | ||||||
| 13,107 | Lorillard, Inc. | 1,529,194 | ||||||
| 36,909 | Monster Beverage Corporationa | 1,951,748 | ||||||
|
| |||||||
| Total | 13,844,844 | |||||||
|
| |||||||
| Energy (8.7%) | |||||||
| 74,261 | Cameron International Corporationa | 4,192,776 | ||||||
| 24,759 | Concho Resources, Inc.a | 1,994,585 | ||||||
| 52,113 | HollyFrontier Corporation | 2,425,860 | ||||||
| 53,059 | Marathon Petroleum Corporation | 3,342,717 | ||||||
| 49,445 | Peabody Energy Corporation | 1,315,731 | ||||||
| 26,259 | Pioneer Natural Resources Company | 2,798,947 | ||||||
| 41,357 | Range Resources Corporation | 2,598,460 | ||||||
| 80,011 | Southwestern Energy Companya | 2,673,168 | ||||||
| 34,737 | Tesoro Corporation | 1,530,165 | ||||||
|
| |||||||
| Total | 22,872,409 | |||||||
|
| |||||||
| Financials (28.9%) | |||||||
| 42,056 | Alexandria Real Estate Equities, Inc. | 2,915,322 | ||||||
| 46,917 | Ameriprise Financial, Inc. | 2,938,412 | ||||||
| 24,212 | AvalonBay Communities, Inc. | 3,282,905 | ||||||
| 26,100 | Camden Property Trust | 1,780,281 | ||||||
| 72,216 | CIT Group, Inc.a | 2,790,426 | ||||||
| 45,413 | Douglas Emmett, Inc. | 1,058,123 | ||||||
| 30,958 | Everest Re Group, Ltd. | 3,403,832 | ||||||
| 52,374 | First Republic Bank | 1,716,820 | ||||||
| 87,507 | Hartford Financial Services Group, Inc. | 1,963,657 | ||||||
| 192,504 | Host Hotels & Resorts, Inc. | 3,016,538 | ||||||
| 153,811 | Invesco, Ltd. | 4,012,929 | ||||||
| 47,200 | iShares Russell Midcap Value Index Fund | 2,371,328 | ||||||
| 131,996 | Kimco Realty Corporation | 2,550,163 | ||||||
| 36,877 | Lazard, Ltd. | 1,100,410 | ||||||
| 79,076 | Liberty Property Trust | 2,828,549 | ||||||
| 52,677 | M&T Bank Corporationb | 5,187,104 | ||||||
| 259,691 | MFA Financial, Inc. | 2,106,094 | ||||||
| 128,965 | NASDAQ OMX Group, Inc. | 3,225,415 | ||||||
| 27,074 | PartnerRe, Ltd. | 2,179,186 | ||||||
| 63,964 | Piedmont Office Realty Trust, Inc. | 1,154,550 | ||||||
| 157,257 | Principal Financial Group, Inc. | 4,484,970 | ||||||
| 239,665 | SLM Corporation | 4,105,461 | ||||||
| 28,944 | SunTrust Banks, Inc. | 820,562 | ||||||
| 67,695 | Tanger Factory Outlet Centers, Inc. | 2,315,169 | ||||||
| 59,409 | Ventas, Inc. | 3,844,950 | ||||||
| 82,684 | W.R. Berkley Corporation | 3,120,494 | ||||||
| 59,704 | Willis Group Holdings plc | 2,001,875 | ||||||
| 131,425 | XL Group plc | 3,293,510 | ||||||
|
| |||||||
| Total | 75,569,035 | |||||||
|
| |||||||
| Health Care (7.5%) | |||||||
| 103,458 | Aetna, Inc. | 4,790,105 | ||||||
| 45,687 | AmerisourceBergen Corporation | 1,972,765 | ||||||
| 521,940 | Boston Scientific Corporationa | 2,990,716 | ||||||
| 148,280 | Hologic, Inc.a | 2,970,048 | ||||||
| 41,647 | Life Technologies Corporationa | 2,044,035 | ||||||
| 126,826 | Mylan, Inc.a | 3,485,179 | ||||||
| 33,800 | Vertex Pharmaceuticals, Inc.a | 1,417,572 | ||||||
|
| |||||||
| Total | 19,670,420 | |||||||
|
| |||||||
| Industrials (9.5%) | |||||||
| 33,990 | BE Aerospace, Inc.a | 1,679,106 | ||||||
| 1,834 | Carlisle Companies, Inc. | 107,766 | ||||||
| 59,286 | Dover Corporation | 3,895,683 | ||||||
| 681 | Flowserve Corporation | 99,971 | ||||||
| 89,397 | Fortune Brands Home and Security, Inc.a | 2,612,180 | ||||||
| 14,690 | Gardner Denver, Inc. | 1,006,265 | ||||||
| 49,566 | Lennox International, Inc. | 2,603,206 | ||||||
| 23,747 | Lincoln Electric Holdings, Inc. | 1,156,004 | ||||||
| 38,206 | Pentair, Ltd. | 1,877,825 | ||||||
| 25,350 | Rockwell Automation, Inc. | 2,129,146 | ||||||
| 22,733 | Rockwell Collins, Inc. | 1,322,379 | ||||||
| 87,377 | Spirit Aerosystems Holdings, Inc.a | 1,482,788 | ||||||
| 47,530 | Stanley Black & Decker, Inc. | 3,515,794 | ||||||
| 41,024 | Waste Connections, Inc. | 1,386,201 | ||||||
|
| |||||||
| Total | 24,874,314 | |||||||
|
| |||||||
| Information Technology (10.6%) | |||||||
| 55,398 | Adobe Systems, Inc.a | 2,087,397 | ||||||
| 93,941 | Altera Corporation | 3,235,328 | ||||||
| 21,604 | Amphenol Corporation | 1,397,779 | ||||||
| 25,789 | Check Point Software Technologies, Ltd.a,b | 1,228,588 | ||||||
| 67,417 | Fidelity National Information Services, Inc. | 2,346,786 | ||||||
| 170,627 | Juniper Networks, Inc.a | 3,356,233 | ||||||
| 126,343 | Lam Research Corporationa | 4,564,772 | ||||||
| 154,759 | LSI Corporationa | 1,095,694 | ||||||
| 53,140 | NetApp, Inc.a | 1,782,847 | ||||||
| 251,974 | ON Semiconductor Corporationa | 1,776,417 | ||||||
| 125,439 | Parametric Technology Corporationa | 2,823,632 | ||||||
| 19,091 | Paychex, Inc. | 594,494 | ||||||
| 131,516 | Polycom, Inc.a | 1,375,657 | ||||||
|
| |||||||
| Total | 27,665,624 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
174
Partner Mid Cap Value Portfolio
Schedule of Investments as of December 31, 2012
Shares | Common Stock (97.3%) | Value | ||||
Materials (6.2%) |
| |||||
30,940 | Albemarle Corporation | $ | 1,921,993 | |||
54,871 | Carpenter Technology Corporation | 2,832,990 | ||||
55,528 | Celanese Corporation | 2,472,662 | ||||
15,031 | Crown Holdings, Inc.a | 553,291 | ||||
7,280 | Cytec Industries, Inc. | 501,082 | ||||
17,621 | Martin Marietta Materials, Inc.b | 1,661,308 | ||||
14,296 | Packaging Corporation of America | 549,967 | ||||
41,651 | Reliance Steel & Aluminum Company | 2,586,527 | ||||
177,077 | Sealed Air Corporation | 3,100,618 | ||||
|
| |||||
| Total | 16,180,438 | |||||
|
| |||||
Utilities (10.1%) | ||||||
116,680 | Calpine Corporationa | 2,115,408 | ||||
78,895 | CMS Energy Corporation | 1,923,460 | ||||
57,821 | Edison International, Inc. | 2,612,931 | ||||
32,137 | Great Plains Energy, Inc. | 652,702 | ||||
72,233 | Northeast Utilities | 2,822,866 | ||||
99,549 | NV Energy, Inc. | 1,805,819 | ||||
36,365 | Pinnacle West Capital Corporation | 1,853,888 | ||||
108,916 | PPL Corporation | 3,118,265 | ||||
56,454 | Questar Corporation | 1,115,531 | ||||
50,904 | SCANA Corporation | 2,323,259 | ||||
39,558 | Sempra Energy | 2,806,245 | ||||
117,319 | Xcel Energy, Inc. | 3,133,590 | ||||
|
| |||||
| Total | 26,283,964 | |||||
|
| |||||
| Total Common Stock (cost $223,187,838) | 254,468,482 | |||||
|
| |||||
Collateral Held for Securities Loaned (3.0%) | ||||||
7,805,669 | Thrivent Cash Management Trust | 7,805,669 | ||||
|
| |||||
| Total Collateral Held for Securities Loaned (cost $7,805,669) | 7,805,669 | |||||
|
| |||||
Shares or Principal | Short-Term Investments (2.7%) | |||||
6,943,793 | Thrivent Cash Management Trust | 6,943,793 | ||||
|
| |||||
| Total Short-Term Investments (at amortized cost) | 6,943,793 | |||||
|
| |||||
| Total Investments (cost $237,937,300) 103.0% | $ | 269,217,944 | ||||
|
| |||||
| Other Assets and Liabilities, Net (3.0%) | (7,758,911 | ) | ||||
|
| |||||
| Total Net Assets 100.0% | $ | 261,459,033 | ||||
|
| |||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 34,508,024 | ||
Gross unrealized depreciation | (4,117,171 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 30,390,853 | ||
Cost for federal income tax purposes | $ | 238,827,091 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
175
Partner Mid Cap Value Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Partner Mid Cap Value Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 27,507,434 | 27,507,434 | — | — | ||||||||||||
Consumer Staples | 13,844,844 | 13,844,844 | — | — | ||||||||||||
Energy | 22,872,409 | 22,872,409 | — | — | ||||||||||||
Financials | 75,569,035 | 75,569,035 | — | — | ||||||||||||
Health Care | 19,670,420 | 19,670,420 | — | — | ||||||||||||
Industrials | 24,874,314 | 24,874,314 | — | — | ||||||||||||
Information Technology | 27,665,624 | 27,665,624 | — | — | ||||||||||||
Materials | 16,180,438 | 16,180,438 | — | — | ||||||||||||
Utilities | 26,283,964 | 26,283,964 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 7,805,669 | 7,805,669 | — | — | ||||||||||||
Short-Term Investments | 6,943,793 | 6,943,793 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 269,217,944 | $ | 269,217,944 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Partner Mid Cap Value Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 3,702,175 | $ | 64,555,969 | $ | 60,452,475 | 7,805,669 | $ | 7,805,669 | $ | 7,341 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 14,765,663 | 7,821,870 | 6,943,793 | 6,943,793 | 1,046 | ||||||||||||||||||
Total Value and Income Earned | 3,702,175 | 14,749,462 | 8,387 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
176
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (95.4%) | Value | ||||||
| Consumer Discretionary (14.1%) | |||||||
| 143,300 | Charter Communications, Inc.a | $ | 10,925,192 | |||||
| 140,800 | Cheesecake Factory, Inc. | 4,606,976 | ||||||
| 204,000 | DISH Network Corporation | 7,425,600 | ||||||
| 179,872 | Dollar Tree, Inc.a | 7,295,608 | ||||||
| 173,900 | Omnicom Group, Inc. | 8,688,044 | ||||||
| 29,055 | Panera Bread Companya | 4,614,806 | ||||||
| 128,200 | Penn National Gaming, Inc.a | 6,295,902 | ||||||
| 76,500 | PetSmart, Inc. | 5,228,010 | ||||||
| 204,800 | Tempur-Pedic International, Inc.a | 6,449,152 | ||||||
| 239,600 | Toll Brothers, Inc.a | 7,746,268 | ||||||
| 117,278 | WMS Industries, Inc.a | 2,052,365 | ||||||
|
| |||||||
| Total | 71,327,923 | |||||||
|
| |||||||
| Consumer Staples (3.1%) | |||||||
| 147,500 | Ingredion, Inc. | 9,503,425 | ||||||
| 123,390 | TreeHouse Foods, Inc.a | 6,432,321 | ||||||
|
| |||||||
| Total | 15,935,746 | |||||||
|
| |||||||
| Energy (7.5%) | |||||||
| 877,092 | Alpha Natural Resources, Inc.a,b | 8,542,876 | ||||||
| 126,100 | Ensco plc | 7,475,208 | ||||||
| 358,000 | Helix Energy Solutions Group, Inc.a | 7,389,120 | ||||||
| 417,900 | Patterson-UTI Energy, Inc.b | 7,785,477 | ||||||
| 198,800 | Southwestern Energy Companya | 6,641,908 | ||||||
|
| |||||||
| Total | 37,834,589 | |||||||
|
| |||||||
| Financials (21.1%) | |||||||
| 163,400 | Axis Capital Holdings, Ltd. | 5,660,176 | ||||||
| 392,000 | CBL & Associates Properties, Inc. | 8,314,320 | ||||||
| 82,771 | Endurance Specialty Holdings, Ltd. | 3,285,181 | ||||||
| 386,320 | HCC Insurance Holdings, Inc. | 14,374,967 | ||||||
| 545,748 | Host Hotels & Resorts, Inc. | 8,551,871 | ||||||
| 1,149,800 | Huntington Bancshares, Inc. | 7,347,222 | ||||||
| 201,424 | Lazard, Ltd. | 6,010,492 | ||||||
| 74,300 | M&T Bank Corporationb | 7,316,321 | ||||||
| 300,100 | NASDAQ OMX Group, Inc. | 7,505,501 | ||||||
| 164,433 | Northern Trust Corporation | 8,247,959 | ||||||
| 565,300 | Och-Ziff Capital Management Group, LLC | 5,370,350 | ||||||
| 353,700 | Piedmont Office Realty Trust, Inc. | 6,384,285 | ||||||
| 97,100 | Protective Life Corporation | 2,775,118 | ||||||
| 195,860 | W.R. Berkley Corporation | 7,391,757 | ||||||
| 383,272 | Zions Bancorporation | 8,202,021 | ||||||
|
| |||||||
| Total | 106,737,541 | |||||||
|
| |||||||
| Health Care (10.7%) | |||||||
| 67,882 | C.R. Bard, Inc. | 6,634,787 | ||||||
| 132,000 | Illumina, Inc.a,b | 7,337,880 | ||||||
| 212,500 | Medicines Companya | 5,093,625 | ||||||
| 148,200 | ResMed, Inc.b | 6,160,674 | ||||||
| 248,200 | Thoratec Corporationa | 9,312,464 | ||||||
| 122,500 | Vertex Pharmaceuticals, Inc.a | 5,137,650 | ||||||
| 72,300 | Waters Corporationa | 6,298,776 | ||||||
| 125,769 | Zimmer Holdings, Inc. | 8,383,761 | ||||||
|
| |||||||
| Total | 54,359,617 | |||||||
|
| |||||||
| Industrials (11.6%) | |||||||
| 136,044 | ADT Corporation | 6,324,686 | ||||||
| 239,993 | CSX Corporation | 4,735,062 | ||||||
| 44,800 | Flowserve Corporation | 6,576,640 | ||||||
| 494,266 | Manitowoc Company, Inc. | 7,750,091 | ||||||
| 109,408 | Manpower, Inc. | 4,643,275 | ||||||
| 520,900 | McDermott International, Inc.a | 5,740,318 | ||||||
| 321,134 | Oshkosh Corporationa | 9,521,623 | ||||||
| 88,082 | Parker Hannifin Corporation | 7,492,255 | ||||||
| 610,000 | Southwest Airlines Company | �� | 6,246,400 | |||||
|
| |||||||
| Total | 59,030,350 | |||||||
|
| |||||||
| Information Technology (20.3%) | |||||||
| 156,900 | Akamai Technologies, Inc.a | 6,418,779 | ||||||
| 121,500 | Alliance Data Systems | |||||||
| Corporationa | 17,588,340 | |||||||
| 662,883 | Applied Materials, Inc. | 7,583,381 | ||||||
| 429,666 | CoreLogic, Inc.a | 11,566,609 | ||||||
| 139,504 | eBay, Inc.a | 7,117,494 | ||||||
| 176,052 | Itron, Inc.a | 7,843,117 | ||||||
| 323,932 | Juniper Networks, Inc.a | 6,371,742 | ||||||
| 668,866 | NVIDIA Corporation | 8,220,363 | ||||||
| 723,513 | Teradyne, Inc.a | 12,220,135 | ||||||
| 566,019 | TriQuint Semiconductor, Inc.a | 2,739,532 | ||||||
| 717 | Workday, Inc.a | 39,076 | ||||||
| 232,419 | Xilinx, Inc. | 8,343,842 | ||||||
| 333,300 | Yahoo!, Inc.a | 6,632,670 | ||||||
|
| |||||||
| Total | 102,685,080 | |||||||
|
| |||||||
| Materials (2.7%) | |||||||
| 143,212 | Silgan Holdings, Inc. | 5,956,187 | ||||||
| 548,900 | Steel Dynamics, Inc. | 7,536,397 | ||||||
|
| |||||||
| Total | 13,492,584 | |||||||
|
| |||||||
| Utilities (4.3%) | |||||||
| 275,300 | CMS Energy Corporation | 6,711,814 | ||||||
| 474,478 | NV Energy, Inc. | 8,607,031 | ||||||
| 213,200 | Public Service Enterprise Group, Inc. | 6,523,920 | ||||||
|
| |||||||
| Total | 21,842,765 | |||||||
|
| |||||||
| Total Common Stock (cost $405,123,775) | 483,246,195 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (6.6%) | ||||||||
| 33,267,675 | Thrivent Cash Management Trust | 33,267,675 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $33,267,675) | 33,267,675 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (4.1%) | |||||||
| 20,972,804 | Thrivent Cash Management Trust | 20,972,804 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 20,972,804 | |||||||
|
| |||||||
Total Investments (cost $459,364,254) 106.1% | $ | 537,486,674 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (6.1%) | (30,759,511 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 506,727,163 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
177
Mid Cap Stock Portfolio
Schedule of Investments as of December 31, 2012
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 90,162,934 | ||
Gross unrealized depreciation | (12,488,947 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 77,673,987 | ||
Cost for federal income tax purposes | $ | 459,812,687 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Mid Cap Stock Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 71,327,923 | 71,327,923 | — | — | ||||||||||||
Consumer Staples | 15,935,746 | 15,935,746 | — | — | ||||||||||||
Energy | 37,834,589 | 37,834,589 | — | — | ||||||||||||
Financials | 106,737,541 | 106,737,541 | — | — | ||||||||||||
Health Care | 54,359,617 | 54,359,617 | — | — | ||||||||||||
Industrials | 59,030,350 | 59,030,350 | — | — | ||||||||||||
Information Technology | 102,685,080 | 102,685,080 | — | — | ||||||||||||
Materials | 13,492,584 | 13,492,584 | — | — | ||||||||||||
Utilities | 21,842,765 | 21,842,765 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 33,267,675 | 33,267,675 | — | — | ||||||||||||
Short-Term Investments | 20,972,804 | 20,972,804 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 537,486,674 | $ | 537,486,674 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Mid Cap Stock Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 9,724,975 | $ | 165,596,085 | $ | 142,053,385 | 33,267,675 | $ | 33,267,675 | $ | 102,411 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 35,605,165 | 14,632,361 | 20,972,804 | 20,972,804 | 4,409 | ||||||||||||||||||
Total Value and Income Earned | 9,724,975 | 54,240,479 | 106,820 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
178
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (98.2%) | Value | ||||||
| Consumer Discretionary (13.0%) | |||||||
| 4,900 | Aaron’s, Inc. | $ | 138,572 | |||||
| 5,200 | Advance Auto Parts, Inc. | 376,220 | ||||||
| 5,750 | Aeropostale, Inc.a | 74,808 | ||||||
| 4,000 | AMC Networks, Inc.a | 198,000 | ||||||
| 12,480 | American Eagle Outfitters, Inc. | 255,965 | ||||||
| 3,250 | Ann, Inc.a | 109,980 | ||||||
| 8,600 | Ascena Retail Group, Inc.a | 159,014 | ||||||
| 2,900 | Bally Technologies, Inc.a | 129,659 | ||||||
| 2,670 | Barnes & Noble, Inc.a,b | 40,290 | ||||||
| 2,010 | Bob Evans Farms, Inc. | 80,802 | ||||||
| 5,155 | Brinker International, Inc. | 159,753 | ||||||
| 3,300 | Cabela’s, Inc.a | 137,775 | ||||||
| 3,500 | Carter’s, Inc.a | 194,775 | ||||||
| 3,500 | Cheesecake Factory, Inc. | 114,520 | ||||||
| 11,600 | Chico’s FAS, Inc. | 214,136 | ||||||
| 7,200 | Cinemark Holdings, Inc. | 187,056 | ||||||
| 2,600 | Deckers Outdoor Corporationa,b | 104,702 | ||||||
| 4,100 | DeVry, Inc. | 97,293 | ||||||
| 6,800 | Dick’s Sporting Goods, Inc. | 309,332 | ||||||
| 5,000 | DreamWorks Animation SKG, Inc.a,b | 82,850 | ||||||
| 10,500 | Foot Locker, Inc. | 337,260 | ||||||
| 10,120 | Gentex Corporation | 190,458 | ||||||
| 4,300 | Guess ?, Inc. | 105,522 | ||||||
| 6,800 | Hanesbrands, Inc.a | 243,576 | ||||||
| 2,600 | HSN, Inc. | 143,208 | ||||||
| 1,870 | International Speedway Corporation | 51,649 | ||||||
| 5,200 | Jarden Corporationa | 268,840 | ||||||
| 3,300 | John Wiley and Sons, Inc. | 128,469 | ||||||
| 5,400 | KB Homeb | 85,320 | ||||||
| 3,800 | Lamar Advertising Companya,b | 147,250 | ||||||
| 2,800 | Life Time Fitness, Inc.a | 137,788 | ||||||
| 20,700 | LKQ Corporationa | 436,770 | ||||||
| 2,700 | M.D.C. Holdings, Inc. | 99,252 | ||||||
| 2,000 | Matthews International Corporation | 64,200 | ||||||
| 2,600 | Meredith Corporationb | 89,570 | ||||||
| 4,070 | Mohawk Industries, Inc.a | 368,213 | ||||||
| 8,500 | New York Times Companya | 72,505 | ||||||
| 300 | NVR, Inc.a | 276,000 | ||||||
| 19,900 | Office Depot, Inc.a | 65,272 | ||||||
| 2,000 | Panera Bread Companya | 317,660 | ||||||
| 4,400 | Polaris Industries, Inc. | 370,260 | ||||||
| 5,000 | PVH Corporation | 555,050 | ||||||
| 4,000 | Regis Corporation | 67,680 | ||||||
| 4,200 | Rent-A-Center, Inc. | 144,312 | ||||||
| 7,150 | Saks, Inc.a,b | 75,147 | ||||||
| 1,810 | Scholastic Corporation | 53,504 | ||||||
| 3,700 | Scientific Games Corporationa | 32,079 | ||||||
| 15,000 | Service Corporation International | 207,150 | ||||||
| 5,600 | Signet Jewelers, Ltd. | 299,040 | ||||||
| 4,720 | Sotheby’s Holdings, Inc. | 158,686 | ||||||
| 800 | Strayer Education, Inc. | 44,936 | �� | |||||
| 4,200 | Tempur-Pedic International, Inc.a | 132,258 | ||||||
| 3,100 | Thor Industries, Inc. | 116,033 | ||||||
| 10,400 | Toll Brothers, Inc.a | 336,232 | ||||||
| 4,900 | Tractor Supply Company | 432,964 | ||||||
| 3,900 | Tupperware Brands Corporation | 249,990 | ||||||
| 5,400 | Under Armour, Inc.a | 262,062 | ||||||
| 2,800 | Valassis Communications, Inc. | 72,184 | ||||||
| 2,900 | Warnaco Group, Inc.a | 207,553 | ||||||
| 19,614 | Wendy’s Company | 92,186 | ||||||
| 6,080 | Williams-Sonoma, Inc. | 266,122 | ||||||
| 3,800 | WMS Industries, Inc.a | 66,500 | ||||||
|
| |||||||
| Total | 11,036,212 | |||||||
|
| |||||||
| Consumer Staples (3.8%) | |||||||
| 9,720 | Church & Dwight Company, Inc. | 520,700 | ||||||
| 4,450 | Energizer Holdings, Inc. | 355,911 | ||||||
| 8,050 | Flowers Foods, Inc. | 187,324 | ||||||
| 9,000 | Green Mountain Coffee Roasters, Inc.a,b | 372,240 | ||||||
| 3,510 | Harris Teeter Supermarkets, Inc. | 135,346 | ||||||
| 8,300 | Hillshire Brands Company | 233,562 | ||||||
| 5,400 | Ingredion, Inc. | 347,922 | ||||||
| 1,440 | Lancaster Colony Corporation | 99,634 | ||||||
| 2,300 | Post Holdings, Inc.a | 78,775 | ||||||
| 3,900 | Ralcorp Holdings, Inc.a | 349,635 | ||||||
| 9,400 | Smithfield Foods, Inc.a | 202,758 | ||||||
| 14,900 | SUPERVALU, Inc.b | 36,803 | ||||||
| 1,512 | Tootsie Roll Industries, Inc. | 39,191 | ||||||
| 3,500 | United Natural Foods, Inc.a | 187,565 | ||||||
| 1,640 | Universal Corporation | 81,852 | ||||||
|
| |||||||
| Total | 3,229,218 | |||||||
|
| |||||||
| Energy (5.9%) | |||||||
| 15,400 | Alpha Natural Resources, Inc.a | 149,996 | ||||||
| 14,800 | Arch Coal, Inc.b | 108,336 | ||||||
| 4,000 | Atwood Oceanics, Inc.a | 183,160 | ||||||
| 3,400 | Bill Barrett Corporationa | 60,486 | ||||||
| 1,400 | Carbo Ceramics, Inc.b | 109,676 | ||||||
| 6,000 | Cimarex Energy Company | 346,380 | ||||||
| 5,300 | Dresser-Rand Group, Inc.a | 297,542 | ||||||
| 2,500 | Dril-Quip, Inc.a | 182,625 | ||||||
| 5,100 | Energen Corporation | 229,959 | ||||||
| 8,200 | Forest Oil Corporationa | 54,858 | ||||||
| 6,800 | Helix Energy Solutions Group, Inc.a | 140,352 | ||||||
| 14,190 | HollyFrontier Corporation | 660,544 | ||||||
| 4,100 | Northern Oil and Gas, Inc.a,b | 68,962 | ||||||
| 7,500 | Oceaneering International, Inc. | 403,425 | ||||||
| 3,900 | Oil States International, Inc.a | 279,006 | ||||||
| 10,600 | Patterson-UTI Energy, Inc. | 197,478 | ||||||
| 9,039 | Plains Exploration & Production Companya | 424,291 | ||||||
| 8,300 | Quicksilver Resources, Inc.a | 23,738 | ||||||
| 3,700 | Rosetta Resources, Inc.a | 167,832 | ||||||
| 4,600 | SM Energy Company | 240,166 | ||||||
| 11,000 | Superior Energy Services, Inc.a | 227,920 | ||||||
| 3,500 | Tidewater, Inc. | 156,380 | ||||||
| 3,000 | Unit Corporationa | 135,150 | ||||||
| 5,100 | World Fuel Services Corporation | 209,967 | ||||||
|
| |||||||
| Total | 5,058,229 | |||||||
|
| |||||||
| Financials (21.6%) | |||||||
| 3,700 | Affiliated Managers Group, Inc.a | 481,555 | ||||||
| 2,960 | Alexander & Baldwin, Inc.a | 86,935 | ||||||
| 4,400 | Alexandria Real Estate Equities, Inc. | 305,008 | ||||||
| 1,200 | Alleghany Corporationa | 402,504 | ||||||
| 7,200 | American Campus Communities, Inc. | 332,136 | ||||||
| 5,535 | American Financial Group, Inc. | 218,743 | ||||||
| 14,180 | Apollo Investment Corporation | 118,545 | ||||||
| 8,900 | Arthur J. Gallagher & Company | 308,385 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
179
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (98.2%) | Value | ||||||
| Financials (21.6%) - continued | |||||||
| 5,000 | Aspen Insurance Holdings, Ltd. | $ | 160,400 | |||||
| 11,993 | Associated Banc-Corp | 157,348 | ||||||
| 5,670 | Astoria Financial Corporationb | 53,071 | ||||||
| 5,800 | BancorpSouth, Inc. | 84,332 | ||||||
| 3,200 | Bank of Hawaii Corporation | 140,960 | ||||||
| 10,800 | BioMed Realty Trust, Inc. | 208,764 | ||||||
| 5,400 | BRE Properties, Inc. | 274,482 | ||||||
| 8,200 | Brown & Brown, Inc. | 208,772 | ||||||
| 5,900 | Camden Property Trust | 402,439 | ||||||
| 5,100 | Cathay General Bancorp | 99,450 | ||||||
| 6,100 | CBOE Holdings, Inc. | 179,706 | ||||||
| 3,320 | City National Corporation | 164,406 | ||||||
| 5,437 | Commerce Bancshares, Inc. | 190,621 | ||||||
| 5,600 | Corporate Office Properties Trust | 139,888 | ||||||
| 4,300 | Cullen/Frost Bankers, Inc. | 233,361 | ||||||
| 18,800 | Duke Realty Corporation | 260,756 | ||||||
| 9,900 | East West Bancorp, Inc. | 212,751 | ||||||
| 8,000 | Eaton Vance Corporation | 254,800 | ||||||
| 4,300 | Equity One, Inc. | 90,343 | ||||||
| 2,500 | Essex Property Trust, Inc. | 366,625 | ||||||
| 3,710 | Everest Re Group, Ltd. | 407,915 | ||||||
| 4,500 | Federal Realty Investment Trust | 468,090 | ||||||
| 6,500 | Federated Investors, Inc. | 131,495 | ||||||
| 14,705 | Fidelity National Financial, Inc. | 346,303 | ||||||
| 7,500 | First American Financial Corporation | 180,675 | ||||||
| 24,600 | First Niagara Financial Group, Inc. | 195,078 | ||||||
| 7,598 | FirstMerit Corporation | 107,816 | ||||||
| 14,000 | Fulton Financial Corporation | 134,540 | ||||||
| 1,900 | Greenhill & Company, Inc. | 98,781 | ||||||
| 6,000 | Hancock Holding Company | 190,440 | ||||||
| 3,170 | Hanover Insurance Group, Inc. | 122,806 | ||||||
| 7,050 | HCC Insurance Holdings, Inc. | 262,330 | ||||||
| 5,400 | Highwoods Properties, Inc. | 180,630 | ||||||
| 3,500 | Home Properties, Inc. | 214,585 | ||||||
| 8,700 | Hospitality Properties Trust | 203,754 | ||||||
| 3,800 | International Bancshares Corporation | 68,590 | ||||||
| 13,100 | Janus Capital Group, Inc. | 111,612 | ||||||
| 8,900 | Jefferies Group, Inc. | 165,273 | ||||||
| 3,100 | Jones Lang LaSalle, Inc. | 260,214 | ||||||
| 3,800 | Kemper Corporation | 112,100 | ||||||
| 8,200 | Liberty Property Trust | 293,314 | ||||||
| 9,768 | Macerich Company | 569,474 | ||||||
| 5,800 | Mack-Cali Realty Corporation | 151,438 | ||||||
| 2,600 | Mercury General Corporation | 103,194 | ||||||
| 8,500 | MSCI, Inc.a | 263,415 | ||||||
| 7,500 | National Retail Properties, Inc. | 234,000 | ||||||
| 30,611 | New York Community Bancorp, Inc.b | 401,004 | ||||||
| 16,850 | Old Republic International Corporation | 179,453 | ||||||
| 7,600 | Omega Healthcare Investors, Inc. | 181,260 | ||||||
| 2,907 | Potlatch Corporation | 113,925 | ||||||
| 3,100 | Prosperity Bancshares, Inc. | 130,200 | ||||||
| 5,670 | Protective Life Corporation | 162,049 | ||||||
| 7,825 | Raymond James Financial, Inc. | 301,497 | ||||||
| 8,512 | Rayonier, Inc. REIT | 441,177 | ||||||
| 9,400 | Realty Income Corporation | 377,974 | ||||||
| 6,300 | Regency Centers Corporation | 296,856 | ||||||
| 5,200 | Reinsurance Group of America, Inc. | 278,304 | ||||||
| 9,440 | SEI Investments Company | 220,330 | ||||||
| 12,300 | Senior Housing Property Trust | 290,772 | ||||||
| 3,300 | Signature Banka | 235,422 | ||||||
| 6,300 | SL Green Realty Corporation | 482,895 | ||||||
| 3,100 | StanCorp Financial Group, Inc. | 113,677 | ||||||
| 3,130 | SVB Financial Groupa | 175,186 | ||||||
| 54,800 | Synovus Financial Corporation | 134,260 | ||||||
| 4,300 | Taubman Centers, Inc. | 338,496 | ||||||
| 11,420 | TCF Financial Corporation | 138,753 | ||||||
| 4,600 | Trustmark Corporation | 103,316 | ||||||
| 17,403 | UDR, Inc. | 413,843 | ||||||
| 13,784 | Valley National Bancorpb | 128,191 | ||||||
| 7,775 | W.R. Berkley Corporation | 293,429 | ||||||
| 5,940 | Waddell & Reed Financial, Inc. | 206,831 | ||||||
| 7,427 | Washington Federal, Inc. | 125,293 | ||||||
| 5,730 | Webster Financial Corporation | 117,752 | ||||||
| 7,800 | Weingarten Realty Investors | 208,806 | ||||||
| 2,020 | Westamerica Bancorporation | 86,032 | ||||||
|
| |||||||
| Total | 18,391,931 | |||||||
|
| |||||||
| Health Care (9.2%) | |||||||
| 11,900 | Allscripts Healthcare Solutions, Inc.a | 112,098 | ||||||
| 1,400 | Bio-Rad Laboratories, Inc.a | 147,070 | ||||||
| 3,400 | Charles River Laboratories International, Inc.a | 127,398 | ||||||
| 6,400 | Community Health Systems, Inc. | 196,736 | ||||||
| 3,400 | Cooper Companies, Inc. | 314,432 | ||||||
| 3,910 | Covance, Inc.a | 225,881 | ||||||
| 8,200 | Endo Pharmaceutical Holdings, Inc.a | 215,414 | ||||||
| 17,900 | Health Management Associates, Inc.a | 166,828 | ||||||
| 5,680 | Health Net, Inc.a | 138,024 | ||||||
| 6,200 | Henry Schein, Inc.a | 498,852 | ||||||
| 4,350 | Hill-Rom Holdings, Inc. | 123,975 | ||||||
| 6,100 | HMS Holdings Corporationa | 158,112 | ||||||
| 18,500 | �� | Hologic, Inc.a | 370,555 | |||||
| 3,900 | IDEXX Laboratories, Inc.a | 361,920 | ||||||
| 3,400 | LifePoint Hospitals, Inc.a | 128,350 | ||||||
| 3,600 | Masimo Corporation | 75,636 | ||||||
| 3,500 | Mednax, Inc.a | 278,320 | ||||||
| 2,200 | Mettler-Toledo International, Inc.a | 425,260 | ||||||
| 7,820 | Omnicare, Inc. | 282,302 | ||||||
| 4,450 | Owens & Minor, Inc. | 126,869 | ||||||
| 5,200 | Regeneron Pharmaceuticals, Inc.a | 889,564 | ||||||
| 9,900 | ResMed, Inc. | 411,543 | ||||||
| 4,100 | STERIS Corporation | 142,393 | ||||||
| 2,500 | Techne Corporation | 170,850 | ||||||
| 2,940 | Teleflex, Inc. | 209,651 | ||||||
| 4,200 | Thoratec Corporationa | 157,584 | ||||||
| 3,400 | United Therapeutics Corporationa | 181,628 | ||||||
| 6,100 | Universal Health Services, Inc. | 294,935 | ||||||
| 6,200 | VCA Antech, Inc.a | 130,510 | ||||||
| 15,020 | Vertex Pharmaceuticals, Inc.a | 629,939 | ||||||
| 3,000 | Wellcare Health Plans, Inc.a | 146,070 | ||||||
|
| |||||||
| Total | 7,838,699 | |||||||
|
| |||||||
| Industrials (17.1%) | |||||||
| 3,000 | Acuity Brands, Inc. | 203,190 | ||||||
| 7,900 | Aecom Technology Corporationa | 188,020 | ||||||
| 6,830 | AGCO Corporationa | 335,490 | ||||||
| 4,980 | Alaska Air Group, Inc.a | 214,588 | ||||||
| 2,300 | Alliant Techsystems, Inc. | 142,508 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
180
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (98.2%) | Value | ||||||
| Industrials (17.1%) - continued | |||||||
| 16,932 | AMETEK, Inc. | $ | 636,135 | |||||
| 7,200 | BE Aerospace, Inc.a | 355,680 | ||||||
| 3,360 | Brink’s Company | 95,861 | ||||||
| 4,440 | Carlisle Companies, Inc. | 260,894 | ||||||
| 3,500 | CLARCOR, Inc. | 167,230 | ||||||
| 3,700 | Clean Harbors, Inc.a | 203,537 | ||||||
| 3,930 | Con-way, Inc. | 109,333 | ||||||
| 7,500 | Copart, Inc.a | 221,250 | ||||||
| 2,400 | Corporate Executive Board Company | 113,904 | ||||||
| 7,000 | Corrections Corporation of America | 248,290 | ||||||
| 3,400 | Crane Company | 157,352 | ||||||
| 3,600 | Deluxe Corporation | 116,064 | ||||||
| 9,500 | Donaldson Company, Inc. | 311,980 | ||||||
| 2,200 | Esterline Technologies Corporationa | 139,942 | ||||||
| 13,000 | Exelis, Inc. | 146,510 | ||||||
| 11,200 | Fortune Brands Home and Security, Inc.a | 327,264 | ||||||
| 3,000 | FTI Consulting, Inc.a | 99,000 | ||||||
| 3,500 | Gardner Denver, Inc. | 239,750 | ||||||
| 3,320 | GATX Corporation | 143,756 | ||||||
| 3,500 | General Cable Corporationa | 106,435 | ||||||
| 3,100 | Genesee & Wyoming, Inc.a | 235,848 | ||||||
| 4,300 | Graco, Inc. | 221,407 | ||||||
| 2,460 | Granite Construction, Inc. | 82,705 | ||||||
| 5,700 | Harsco Corporation | 133,950 | ||||||
| 4,090 | Herman Miller, Inc. | 87,608 | ||||||
| 3,230 | HNI Corporation | 97,094 | ||||||
| 3,730 | Hubbell, Inc. | 315,670 | ||||||
| 3,501 | Huntington Ingalls Industries, Inc. | 151,733 | ||||||
| 5,900 | IDEX Corporation | 274,527 | ||||||
| 6,500 | ITT Corporation | 152,490 | ||||||
| 6,340 | JB Hunt Transport Services, Inc. | 378,561 | ||||||
| 15,875 | JetBlue Airways Corporationa | 90,646 | ||||||
| 7,700 | Kansas City Southern | 642,796 | ||||||
| 10,300 | KBR, Inc. | 308,176 | ||||||
| 5,640 | Kennametal, Inc. | 225,600 | ||||||
| 4,000 | Kirby Corporationa | 247,560 | ||||||
| 3,300 | Landstar System, Inc. | 173,118 | ||||||
| 3,200 | Lennox International, Inc. | 168,064 | ||||||
| 5,900 | Lincoln Electric Holdings, Inc. | 287,212 | ||||||
| 5,570 | Manpower, Inc. | 236,391 | ||||||
| 2,960 | Matson, Inc. | 73,171 | ||||||
| 2,200 | Mine Safety Appliances Company | 93,962 | ||||||
| 3,300 | MSC Industrial Direct Company, Inc. | 248,754 | ||||||
| 3,980 | Nordson Corporation | 251,218 | ||||||
| 6,400 | Oshkosh Corporationa | 189,760 | ||||||
| 12,900 | R.R. Donnelley & Sons Companyb | 116,100 | ||||||
| 3,300 | Regal-Beloit Corporation | 232,551 | ||||||
| 4,622 | Rollins, Inc. | 101,869 | ||||||
| 4,700 | Shaw Group, Inc.a | 219,067 | ||||||
| 3,560 | SPX Corporation | 249,734 | ||||||
| 7,800 | Terex Corporationa | 219,258 | ||||||
| 5,600 | Timken Company | 267,848 | ||||||
| 4,000 | Towers Watson & Company | 224,840 | ||||||
| 5,495 | Trinity Industries, Inc. | 196,831 | ||||||
| 3,500 | Triumph Group, Inc. | 228,550 | ||||||
| 6,498 | United Rentals, Inc.a | 295,789 | ||||||
| 5,400 | URS Corporation | 212,004 | ||||||
| 7,300 | UTI Worldwide, Inc. | 97,820 | ||||||
| 1,600 | Valmont Industries, Inc. | 218,480 | ||||||
| 3,400 | Wabtec Corporation | 297,636 | ||||||
| 8,600 | Waste Connections, Inc. | 290,594 | ||||||
| 2,100 | Watsco, Inc. | 157,290 | ||||||
| 3,100 | Werner Enterprises, Inc. | 67,177 | ||||||
| 4,300 | Woodward, Inc. | 163,959 | ||||||
|
| |||||||
| Total | 14,509,381 | |||||||
|
| |||||||
| Information Technology (15.2%) | |||||||
| 2,820 | ACI Worldwide, Inc.a | 123,206 | ||||||
| 5,190 | Acxiom Corporationa | 90,617 | ||||||
| 4,380 | ADTRAN, Inc.b | 85,585 | ||||||
| 2,300 | Advent Software, Inc.a | 49,174 | ||||||
| 3,500 | Alliance Data Systems Corporationa | 506,660 | ||||||
| 6,400 | ANSYS, Inc.a | 430,976 | ||||||
| 5,800 | AOL, Inc.a | 171,738 | ||||||
| 7,570 | Arrow Electronics, Inc.a | 288,266 | ||||||
| 30,620 | Atmel Corporationa | 200,561 | ||||||
| 9,820 | Avnet, Inc.a | 300,590 | ||||||
| 8,700 | Broadridge Financial Solutions, Inc. | 199,056 | ||||||
| 19,180 | Cadence Design Systems, Inc.a | 259,122 | ||||||
| 7,000 | Ciena Corporationa | 109,900 | ||||||
| 15,000 | Compuware Corporationa | 163,050 | ||||||
| 3,100 | Concur Technologies, Inc.a | 209,312 | ||||||
| 7,800 | Convergys Corporation | 127,998 | ||||||
| 6,800 | CoreLogic, Inc.a | 183,056 | ||||||
| 8,100 | Cree, Inc.a,b | 275,238 | ||||||
| 9,500 | Cypress Semiconductor Corporationa | 102,980 | ||||||
| 4,430 | Diebold, Inc. | 135,602 | ||||||
| 2,210 | DST Systems, Inc. | 133,926 | ||||||
| 3,400 | Equinix, Inc.a | 701,080 | ||||||
| 2,900 | FactSet Research Systems, Inc. | 255,374 | ||||||
| 2,450 | Fair Isaac Corporation | 102,974 | ||||||
| 8,800 | Fairchild Semiconductor International, Inc.a | 126,720 | ||||||
| 6,600 | Gartner, Inc.a | 303,732 | ||||||
| 5,600 | Global Payments, Inc. | 253,680 | ||||||
| 7,600 | Informatica Corporationa | 230,432 | ||||||
| 10,500 | Ingram Micro, Inc.a | 177,660 | ||||||
| 10,050 | Integrated Device Technology, Inc.a | 73,365 | ||||||
| 3,000 | InterDigital, Inc.b | 123,300 | ||||||
| 4,850 | International Rectifier Corporationa | 85,991 | ||||||
| 8,900 | Intersil Corporation | 73,781 | ||||||
| 2,800 | Itron, Inc.a | 124,740 | ||||||
| 5,960 | Jack Henry & Associates, Inc. | 233,990 | ||||||
| 6,000 | Lender Processing Services, Inc. | 147,720 | ||||||
| 4,500 | Lexmark International, Inc.b | 104,355 | ||||||
| 1,600 | ManTech International Corporation | 41,504 | ||||||
| 16,200 | MEMC Electronic Materials, Inc.a | 52,002 | ||||||
| 6,570 | Mentor Graphics Corporationa | 111,821 | ||||||
| 5,600 | MICROS Systems, Inc.a | 237,664 | ||||||
| 8,200 | Monster Worldwide, Inc.a | 46,084 | ||||||
| 6,562 | National Instruments Corporation | 169,365 | ||||||
| 11,100 | NCR Corporationa | 282,828 | ||||||
| 4,600 | NeuStar, Inc.a | 192,878 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
181
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (98.2%) | Value | ||||||
| Information Technology (15.2%) - continued | ||||||||
| 8,300 | Parametric Technology Corporationa | $ | 186,833 | |||||
| 3,040 | Plantronics, Inc. | 112,085 | ||||||
| 12,340 | Polycom, Inc.a | 129,076 | ||||||
| 6,600 | QLogic Corporationa | 64,218 | ||||||
| 7,600 | Rackspace Hosting, Inc.a | 564,452 | ||||||
| 19,340 | RF Micro Devices, Inc.a | 86,643 | ||||||
| 11,400 | Riverbed Technology, Inc.a | 224,808 | ||||||
| 7,240 | Rovi Corporationa | 111,713 | ||||||
| 4,690 | Semtech Corporationa | 135,776 | ||||||
| 2,700 | Silicon Laboratories, Inc.a | 112,887 | ||||||
| 13,300 | Skyworks Solutions, Inc.a | 269,990 | ||||||
| 4,300 | Solarwinds, Inc.a | 225,535 | ||||||
| 4,900 | Solera Holdings, Inc. | 262,003 | ||||||
| 10,380 | Synopsys, Inc.a | 330,499 | ||||||
| 2,580 | Tech Data Corporationa | 117,467 | ||||||
| 24,000 | Tellabs, Inc. | 54,720 | ||||||
| 10,700 | TIBCO Software, Inc.a | 235,507 | ||||||
| 8,800 | Trimble Navigation, Ltd.a | 526,064 | ||||||
| 4,900 | ValueClick, Inc.a | 95,109 | ||||||
| 7,600 | VeriFone Systems, Inc.a | 225,568 | ||||||
| 9,220 | Vishay Intertechnology, Inc.a | 98,009 | ||||||
| 2,800 | WEX, Inc.a | 211,036 | ||||||
| 3,700 | Zebra Technologies Corporationa | 145,336 | ||||||
|
| |||||||
| Total | 12,924,987 | |||||||
|
| |||||||
| Materials (7.1%) | ||||||||
| 6,320 | Albemarle Corporation | 392,598 | ||||||
| 4,700 | AptarGroup, Inc. | 224,284 | ||||||
| 5,100 | Ashland, Inc. | 410,091 | ||||||
| 4,190 | Cabot Corporation | 166,720 | ||||||
| 3,100 | Carpenter Technology Corporation | 160,053 | ||||||
| 8,200 | Commercial Metals Company | 121,852 | ||||||
| 2,300 | Compass Minerals International, Inc. | 171,833 | ||||||
| 3,260 | Cytec Industries, Inc. | 224,386 | ||||||
| 2,600 | Domtar Corporation | 217,152 | ||||||
| 2,200 | Greif, Inc. | 97,900 | ||||||
| 3,800 | Intrepid Potash, Inc. | 80,902 | ||||||
| 9,600 | Louisiana-Pacific Corporationa | 185,472 | ||||||
| 3,220 | Martin Marietta Materials, Inc.b | 303,582 | ||||||
| 2,560 | Minerals Technologies, Inc. | 102,195 | ||||||
| 800 | NewMarket Corporation | 209,760 | ||||||
| 5,600 | Olin Corporation | 120,904 | ||||||
| 6,900 | Packaging Corporation of America | 265,443 | ||||||
| 5,300 | Reliance Steel & Aluminum Company | 329,130 | ||||||
| 5,000 | Rock-Tenn Company | 349,550 | ||||||
| 4,500 | Royal Gold, Inc. | 365,895 | ||||||
| 9,200 | RPM International, Inc. | 270,112 | ||||||
| 2,700 | Scotts Miracle-Gro Company | 118,935 | ||||||
| 3,530 | Sensient Technologies Corporation | 125,527 | ||||||
| 3,500 | Silgan Holdings, Inc. | 145,565 | ||||||
| 7,080 | Sonoco Products Company | 210,488 | ||||||
| 15,300 | Steel Dynamics, Inc. | 210,069 | ||||||
| 5,860 | Valspar Corporation | 365,664 | ||||||
| 3,700 | Worthington Industries, Inc. | 96,163 | ||||||
|
| |||||||
| Total | 6,042,225 | |||||||
|
| |||||||
| Telecommunications Services (0.5%) | ||||||||
| 6,995 | Telephone & Data Systems, Inc. | 154,869 | ||||||
| 10,500 | TW Telecom, Inc.a | 267,435 | ||||||
|
| |||||||
| Total | 422,304 | |||||||
|
| |||||||
| Utilities (4.8%) | ||||||||
| 7,700 | Alliant Energy Corporation | 338,107 | ||||||
| 9,766 | Aqua America, Inc. | 248,252 | ||||||
| 6,300 | Atmos Energy Corporation | 221,256 | ||||||
| 3,100 | Black Hills Corporation | 112,654 | ||||||
| 4,300 | Cleco Corporation | 172,043 | ||||||
| 10,663 | Great Plains Energy, Inc. | 216,566 | ||||||
| 6,780 | Hawaiian Electric Industries, Inc. | 170,449 | ||||||
| 3,530 | IDACORP, Inc. | 153,025 | ||||||
| 13,125 | MDU Resources Group, Inc. | 278,775 | ||||||
| 5,900 | National Fuel Gas Company | 299,071 | ||||||
| 16,500 | NV Energy, Inc. | 299,310 | ||||||
| 6,890 | OGE Energy Corporation | 387,976 | ||||||
| 5,575 | PNM Resources, Inc. | 114,343 | ||||||
| 12,200 | Questar Corporation | 241,072 | ||||||
| 7,800 | UGI Corporation | 255,138 | ||||||
| 5,790 | Vectren Corporation | 170,226 | ||||||
| 8,820 | Westar Energy, Inc. | 252,428 | ||||||
| 3,610 | WGL Holdings, Inc. | 141,476 | ||||||
|
| |||||||
| Total | 4,072,167 | |||||||
|
| |||||||
Total Common Stock (cost $64,973,839) | 83,525,353 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (3.2%) | ||||||||
| 2,749,485 | Thrivent Cash Management Trust | 2,749,485 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $2,749,485) | 2,749,485 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (1.4%) | |||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 100,000 | 0.137%, 6/7/2013c,d | 99,940 | ||||||
| 1,118,939 | Thrivent Cash Management Trust | 1,118,939 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 1,218,879 | |||||||
|
| |||||||
| Total Investments (cost $68,942,203) 102.8% | $ | 87,493,717 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (2.8%) | (2,381,255 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 85,112,462 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| d | At December 31, 2012, $99,940 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
182
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2012
Definitions:
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
Unrealized Appreciation (Depreciation)
| Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows: | ||||
Gross unrealized appreciation | $ | 21,867,743 | ||
Gross unrealized depreciation | (5,095,936 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 16,771,807 | ||
Cost for federal income tax purposes | $ | 70,721,910 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Mid Cap Index Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 11,036,212 | 11,036,212 | — | — | ||||||||||||
Consumer Staples | 3,229,218 | 3,229,218 | — | — | ||||||||||||
Energy | 5,058,229 | 5,058,229 | — | — | ||||||||||||
Financials | 18,391,931 | 18,391,931 | — | — | ||||||||||||
Health Care | 7,838,699 | 7,838,699 | — | — | ||||||||||||
Industrials | 14,509,381 | 14,509,381 | — | — | ||||||||||||
Information Technology | 12,924,987 | 12,924,987 | — | — | ||||||||||||
Materials | 6,042,225 | 6,042,225 | — | — | ||||||||||||
Telecommunications Services | 422,304 | 422,304 | — | — | ||||||||||||
Utilities | 4,072,167 | 4,072,167 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 2,749,485 | 2,749,485 | — | — | ||||||||||||
Short-Term Investments | 1,218,879 | 1,118,939 | 99,940 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 87,493,717 | $ | 87,393,777 | $ | 99,940 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 6,095 | 6,095 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 6,095 | $ | 6,095 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 400 Index Mini-Futures | 16 | March 2013 | $ | 1,635,055 | $ | 1,628,960 | ($ | 6,095 | ) | |||||||||||
Total Futures Contracts | ($ | 6,095 | ) | |||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2012, for Mid Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 6,095 | |||
Total Equity Contracts | 6,095 | |||||
|
| |||||
Total Liability Derivatives | $ | 6,095 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
183
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Mid Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
| Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 389,643 | ||||
Total Equity Contracts | 389,643 | |||||
|
| |||||
Total | $ | 389,643 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2012, for Mid Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
| Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (91,467 | ) | |||
Total Equity Contracts | (91,467 | ) | ||||
|
| |||||
Total | ($91,467 | ) | ||||
|
| |||||
The following table presents Mid Cap Index Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Futures | Futures (Percentage of Average Net Assets) | ||||
Equity Contracts | $1,413,113 | 1.7 | % | |||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Mid Cap Index Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 3,326,354 | $ | 21,513,466 | $ | 22,090,335 | 2,749,485 | $ | 2,749,485 | $ | 54,070 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 2,420,771 | 1,301,832 | 1,118,939 | 1,118,939 | 144 | ||||||||||||||||||
Total Value and Income Earned | 3,326,354 | 3,868,424 | 54,214 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
184
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (88.7%) | Value | ||||||
| Australia (3.2%) | |||||||
| 245,427 | ALS, Ltd. | $ | 2,799,688 | |||||
| 125,811 | Australia & New Zealand Banking Group, Ltd. | 3,313,434 | ||||||
| 2,097,138 | Beach Energy, Ltd. | 3,290,931 | ||||||
| 133,044 | BHP Billiton, Ltd. | 5,194,117 | ||||||
| 52,742 | Flight Centre, Ltd.a | 1,492,382 | ||||||
| 349,468 | GrainCorp, Ltd. | 4,531,833 | ||||||
| 1,459,570 | Imdex, Ltd. | 2,615,006 | ||||||
| 169,211 | McMillan Shakespeare, Ltd. | 2,453,646 | ||||||
| 790,085 | Mermaid Marine Australia, Ltd. | 2,827,670 | ||||||
| 99,396 | Monadelphous Group, Ltd. | 2,558,997 | ||||||
| 222,171 | NRW Holdings, Ltd. | 444,405 | ||||||
| 103,323 | Ramsay Health Care, Ltd. | 2,947,017 | ||||||
| 56,600 | Rio Tinto, Ltd. | 3,979,507 | ||||||
| 654,511 | SAI Global, Ltd. | 2,907,799 | ||||||
| 886,492 | Skilled Group, Ltd. | 2,401,998 | ||||||
| 3,313,642 | Tiger Resources, Ltd.b | 1,035,344 | ||||||
| 223,235 | Troy Resources, Ltd. | 847,975 | ||||||
| 825,698 | Westfield Retail Trust | 2,605,054 | ||||||
|
| |||||||
| Total | 48,246,803 | |||||||
|
| |||||||
| Austria (0.1%) | |||||||
| 37,091 | Voestalpine AG | 1,362,853 | ||||||
|
| |||||||
| Total | 1,362,853 | |||||||
|
| |||||||
| Belgium (0.9%) | |||||||
| 107,715 | Anheuser-Busch InBev NV | 9,380,367 | ||||||
| 35,431 | Barco NV | 2,565,172 | ||||||
| 42,057 | EVS Broadcast Equipment SA | 2,472,884 | ||||||
|
| |||||||
| Total | 14,418,423 | |||||||
|
| |||||||
| Bermuda (0.3%) | |||||||
| 341,000 | Cheung Kong Infrastructure Holdings, Ltd. | 2,106,357 | ||||||
| 1,772,000 | Pacific Basin Shipping, Ltd. | 1,010,421 | ||||||
| 141,820 | VimpelCom, Ltd. | 1,487,692 | ||||||
|
| |||||||
| Total | 4,604,470 | |||||||
|
| |||||||
| Brazil (2.2%) | |||||||
| 145,000 | Autometal SA | 1,488,597 | ||||||
| 183,320 | Banco Bradesco SA ADR | 3,184,268 | ||||||
| 170,000 | Cia Paranaense de Energia | 2,631,990 | ||||||
| 146,600 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 1,280,915 | ||||||
| 349,000 | Embraer SA | 2,463,028 | ||||||
| 197,300 | Even Construtora e Incorporadora SA | 905,797 | ||||||
| 37,849 | Lojas Renner SA | 1,474,216 | ||||||
| 318,000 | MMX Mineracao e Metalicos SAb | 691,136 | ||||||
| 31,798 | MMX Mineracao e Metalicos SA Rights, 3.92 BRL, expires 1/14/2013b | 6,212 | ||||||
| 47,168 | Multiplan Empreendimentos Imobiliarios SA | 1,386,820 | ||||||
| 235,100 | Petroleo Brasileiro SA ADR | 4,577,396 | ||||||
| 144,000 | Petroleo Brasileiro SA ADR | 2,779,200 | ||||||
| 1,420,050 | Rossi Residencial SA | 3,155,667 | ||||||
| 102,500 | Souza Cruz SA | 1,542,381 | ||||||
| 106,400 | Sul America SA | 919,795 | ||||||
| 114,000 | Ultrapar Participacoes SA ADR | 2,539,920 | ||||||
| 154,000 | Vale SA SP PREF ADR | 3,126,200 | ||||||
|
| |||||||
| Total | 34,153,538 | |||||||
|
| |||||||
| Canada (3.3%) | |||||||
| 51,569 | Agrium, Inc. | 5,139,791 | ||||||
| 81,917 | Alimentation Couche-Tard, Inc. | 4,029,556 | ||||||
| 29,179 | Bank of Nova Scotiaa | 1,685,559 | ||||||
| 127,779 | Barrick Gold Corporation | 4,472,972 | ||||||
| 75,073 | Canadian National Railway Company | 6,817,477 | ||||||
| 30,884 | Dollarama, Inc. | 1,830,933 | ||||||
| 87,521 | Enbridge, Inc.a | 3,785,215 | ||||||
| 403,050 | Encana Corporationa | 7,964,268 | ||||||
| 22,360 | Franco-Nevada Corporation | 1,276,366 | ||||||
| 55,126 | Gibson Energy, Inc. | 1,332,844 | ||||||
| 200,883 | Lundin Mining Corporationb | 1,034,001 | ||||||
| 22,957 | Metro, Inc.a | 1,461,613 | ||||||
| 122,427 | Pacific Rubiales Energy Corporation | 2,844,363 | ||||||
| 128,124 | Sherritt International Corporation | 740,638 | ||||||
| 102,177 | Suncor Energy, Inc. | 3,360,018 | ||||||
| 178,211 | Yamana Gold, Inc. | 3,065,437 | ||||||
|
| |||||||
| Total | 50,841,051 | |||||||
|
| |||||||
| Chile (0.4%) | |||||||
| 819,538 | Aguas Andinas SA | 581,560 | ||||||
| 47,274 | Banco Santander Chile SA ADRa | 1,346,836 | ||||||
| 112,965 | Cia Cervecerias Unidas SA | 3,573,083 | ||||||
|
| |||||||
| Total | 5,501,479 | |||||||
|
| |||||||
| China (0.9%) | |||||||
| 2,178,000 | China Petroleum & Chemical Corporation | 2,507,476 | ||||||
| 1,568,000 | Dongfeng Motor Group Company, Ltd. | 2,468,665 | ||||||
| 4,400,000 | PetroChina Company, Ltd. | 6,347,733 | ||||||
| 1,660,000 | Yanzhou Coal Mining Company, Ltd. | 2,829,740 | ||||||
|
| |||||||
| Total | 14,153,614 | |||||||
|
| |||||||
| Colombia (0.2%) | |||||||
| 50,294 | Bancolombia SA | 3,348,575 | ||||||
|
| |||||||
| Total | 3,348,575 | |||||||
|
| |||||||
| Cyprus (0.2%) | |||||||
| 342,701 | Prosafe SE | 2,940,469 | ||||||
|
| |||||||
| Total | 2,940,469 | |||||||
|
| |||||||
| Czech Republic (0.2%) | |||||||
| 12,835 | Komercni Banka AS | 2,713,280 | ||||||
|
| |||||||
| Total | 2,713,280 | |||||||
|
| |||||||
| Denmark (1.5%) | |||||||
| 87,332 | Christian Hansen Holding AS | 2,838,294 | ||||||
| 25,190 | Coloplast ASa | 1,235,322 | ||||||
| 597,650 | Danske Bank AS ADRb | 10,150,590 | ||||||
| 139,454 | GN Store Nord A/S | 2,026,683 | ||||||
| 40,503 | Novo Nordisk AS | 6,595,373 | ||||||
|
| |||||||
| Total | 22,846,262 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
185
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (88.7%) | Value | ||||||
| Egypt (<0.1%) | |||||||
| 307,503 | Ezz Steel | $ | 481,326 | |||||
|
| |||||||
| Total | 481,326 | |||||||
|
| |||||||
| Finland (0.8%) | |||||||
| 239,024 | Amer Sports Oyj | 3,561,982 | ||||||
| 416,850 | Neste Oil Oyj | 5,404,142 | ||||||
| 48,844 | Outotec Oyja | 2,759,508 | ||||||
|
| |||||||
| Total | 11,725,632 | |||||||
|
| |||||||
| France (6.3%) | |||||||
| 85,303 | Alten SA | 2,944,395 | ||||||
| 37,903 | AtoS | 2,661,822 | ||||||
| 595,204 | AXA SA | 10,687,412 | ||||||
| 150,269 | Beneteau SA | 1,634,394 | ||||||
| 96,692 | Bouygues SA | 2,877,294 | ||||||
| 216,300 | Cap Gemini SA | 9,458,311 | ||||||
| 20,389 | Christian Dior SA | 3,475,407 | ||||||
| 23,380 | Cie Generale des Etablissements Michelin | 2,240,259 | ||||||
| 235,392 | Compagnie de Saint-Gobain | 10,108,695 | ||||||
| 31,238 | Essilor International SA | 3,150,597 | ||||||
| 362,650 | GDF Suez | 7,469,206 | ||||||
| 73,878 | Ingenico | 4,202,890 | ||||||
| 36,602 | Sanofi | 3,470,982 | ||||||
| 27,985 | Sartorius Stedim Biotech | 2,711,324 | ||||||
| 182,000 | Total SA | 9,470,041 | ||||||
| 11,816 | Unibail-Rodamco | 2,865,432 | ||||||
| 74,699 | Vinci SA | 3,596,562 | ||||||
| 15,652 | Virbac SA | 3,095,898 | ||||||
| 434,154 | Vivendi SA | 9,818,856 | ||||||
|
| |||||||
| Total | 95,939,777 | |||||||
|
| |||||||
| Germany (7.5%) | |||||||
| 119,983 | BASF SE | 11,345,644 | ||||||
| 19,652 | Bayer AG | 1,874,061 | ||||||
| 25,186 | Bilfinger SE | 2,442,084 | ||||||
| 19,046 | Brenntag AG | 2,509,236 | ||||||
| 4,833,600 | Commerzbank AGb | 9,260,052 | ||||||
| 195,650 | Daimler AG | 10,771,678 | ||||||
| 150,000 | Deutsche Boerse AG | 9,198,347 | ||||||
| 65,549 | Duerr AG | 5,873,754 | ||||||
| 58,867 | Gerresheimer AGb | 3,127,912 | ||||||
| 62,513 | Gerry Weber International AG | 3,027,885 | ||||||
| 47,349 | Hannover Rueckversicherung AG | 3,708,570 | ||||||
| 59,272 | Henkel AG & Company KGaA | 4,876,396 | ||||||
| 233,600 | Metro AG | 6,489,751 | ||||||
| 98,872 | NORMA Group | 2,740,644 | ||||||
| 26,007 | Pfeiffer Vacuum Technology AG | 3,169,287 | ||||||
| 42,186 | RWE AG | 1,749,778 | ||||||
| 118,522 | SAP AG ADR | 9,530,721 | ||||||
| 107,292 | Suedzucker AG | 4,404,047 | ||||||
| 73,801 | Symrise AG | 2,651,515 | ||||||
| 393,650 | ThyssenKrupp AG | 9,295,143 | ||||||
| 23,063 | Volkswagen AG | 5,291,812 | ||||||
|
| |||||||
| Total | 113,338,317 | |||||||
|
| |||||||
| Hong Kong (2.9%) | |||||||
| 484,800 | AIA Group, Ltd. | 1,922,879 | ||||||
| 181,000 | Cheung Kong Holdings, Ltd. | 2,816,253 | ||||||
| 836,000 | China Mobile, Ltd. | 9,837,799 | ||||||
| 250,000 | China Overseas Land & Investment, Ltd. | 760,107 | ||||||
| 5,053,750 | Guangzhou Automobile Group Company, Ltd. | 4,556,463 | ||||||
| 336,000 | Hang Lung Group, Ltd. | 1,933,016 | ||||||
| 753,350 | Hutchison Whampoa, Ltd. | 7,983,212 | ||||||
| 3,845,867 | New World Development Company, Ltd. | 6,088,683 | ||||||
| 1,243,500 | Sinotruk Hong Kong, Ltd. | 960,678 | ||||||
| 113,000 | Swire Pacific, Ltd., Class A | 1,413,509 | ||||||
| 340,000 | Swire Pacific, Ltd., Class B | 789,002 | ||||||
| 126,700 | Swire Properties, Ltd. | 426,728 | ||||||
| 441,000 | Weichai Power Company, Ltd. | 1,993,198 | ||||||
| 449,000 | Wheelock and Company, Ltd. | 2,290,390 | ||||||
|
| |||||||
| Total | 43,771,917 | |||||||
|
| |||||||
| Hungary (0.1%) | |||||||
| 10,493 | EGIS Pharmaceuticals plc | 837,319 | ||||||
| 8,200 | Richter Gedeon Nyrt | 1,345,320 | ||||||
|
| |||||||
| Total | 2,182,639 | |||||||
|
| |||||||
| India (0.9%) | |||||||
| 16,100 | GlaxoSmithKline Pharmaceuticals, Ltd. | 640,912 | ||||||
| 7,344 | Grasim Industries, Ltd. | 427,462 | ||||||
| 8,000 | Grasim Industries, Ltd. GDR | 466,769 | ||||||
| 35,500 | Hero Motocorp, Ltd. | 1,242,360 | ||||||
| 116,000 | Hindustan Unilever, Ltd. | 1,117,469 | ||||||
| 140,200 | Housing Development Finance Corporation | 2,141,809 | ||||||
| 25,000 | ICICI Bank, Ltd. | 523,178 | ||||||
| 32,940 | ICICI Bank, Ltd. ADR | 1,436,513 | ||||||
| 26,000 | Infosys, Ltd. | 1,101,239 | ||||||
| 16,504 | Infosys, Ltd. ADRa | 698,119 | ||||||
| 82,336 | Reliance Industries, Ltd.c | 2,546,239 | ||||||
| 20,696 | Ultra Tech Cement, Ltd. | 756,060 | ||||||
| 4,570 | Ultra Tech Cement, Ltd. GDR | 165,676 | ||||||
|
| |||||||
| Total | 13,263,805 | |||||||
|
| |||||||
| Indonesia (0.5%) | |||||||
| 2,315,000 | Bank Rakyat Indonesia Persero Tbk PT | 1,678,963 | ||||||
| 335,500 | Indo Tambangraya Megah Tbk PT | 1,452,405 | ||||||
| 3,410,000 | PT Astra International Tbk | 2,701,225 | ||||||
| 225,500 | United Tractors Tbk PT | 465,164 | ||||||
| 3,783,000 | Vale Indonesia Tbk PT | 928,548 | ||||||
|
| |||||||
| Total | 7,226,305 | |||||||
|
| |||||||
| Ireland (0.7%) | |||||||
| 966,085 | Greencore Group plc | 1,608,431 | ||||||
| 43,272 | Paddy Power plc | 3,569,825 | ||||||
| 94,081 | Ryanair Holdings plc ADR | 3,225,097 | ||||||
| 148,360 | Smurfit Kappa Group plc | 1,772,290 | ||||||
|
| |||||||
| Total | 10,175,643 | |||||||
|
| |||||||
| Israel (0.7%) | |||||||
| 10,311 | Mellanox Technologies, Ltd.b | 638,682 | ||||||
| 29,780 | Mellanox Technologies, Ltd.b | 1,768,336 | ||||||
| 76,758 | Radware, Inc.b | 2,533,014 | ||||||
| 160,550 | Teva Pharmaceutical Industries, Ltd. ADR | 5,994,937 | ||||||
|
| |||||||
| Total | 10,934,969 | |||||||
|
| |||||||
| Italy (2.6%) | |||||||
| 201,492 | Banca Generali SPA | 3,452,940 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
186
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (88.7%) | Value | ||||||
| Italy (2.6%) - continued | |||||||
| 201,972 | Brembo SPA | $ | 2,607,187 | |||||
| 81,735 | DiaSorin SPAa | 3,274,548 | ||||||
| 436,050 | Eni SPA | 10,682,200 | ||||||
| 6,161,000 | Intesa Sanpaolo SPA | 10,654,350 | ||||||
| 72,931 | Prysmian SPA | 1,455,783 | ||||||
| 8,408,025 | Telecom Italia SPA | 6,691,904 | ||||||
|
| |||||||
| Total | 38,818,912 | |||||||
|
| |||||||
| Japan (13.6%) | |||||||
| 331,000 | Aiful Corporationb | 2,264,570 | ||||||
| 47,700 | Aisin Seiki Company, Ltd. | 1,489,534 | ||||||
| 99,200 | Aoyama Trading Company, Ltd. | 1,901,324 | ||||||
| 191,415 | Asics Corporation | 2,924,163 | ||||||
| 426,700 | Bridgestone Corporation | 11,107,667 | ||||||
| 166,258 | Chiyoda Corporation | 2,381,674 | ||||||
| 92,000 | Daihatsu Motor Company, Ltd. | 1,832,902 | ||||||
| 252,000 | Daiwa House Industry Company, Ltd. | 4,332,577 | ||||||
| 2,228,951 | Daiwa Securities Group, Inc. | 12,435,407 | ||||||
| 56,600 | East Japan Railway Company | 3,659,991 | ||||||
| 37,700 | FamilyMart Company, Ltd. | 1,553,168 | ||||||
| 248,000 | Hino Motors, Ltd. | 2,241,625 | ||||||
| 591,000 | Hitachi, Ltd. | 3,477,744 | ||||||
| 42,400 | Hogy Medical Company, Ltd. | 2,018,047 | ||||||
| 31,500 | Idemitsu Kosan Company, Ltd. | 2,744,862 | ||||||
| 1,008,000 | IHI Corporation | 2,613,851 | ||||||
| 267,700 | ITOCHU Corporation | 2,829,348 | ||||||
| 135,100 | Japan Tobacco, Inc. | 3,816,491 | ||||||
| 100,300 | JTEKT Corporation | 956,203 | ||||||
| 100,000 | Kaken Pharmaceutical Company, Ltd. | 1,471,210 | ||||||
| 26,800 | KDDI Corporation | 1,894,688 | ||||||
| 287,000 | Marubeni Corporation | 2,059,294 | ||||||
| 931 | Message Company, Ltd. | 2,147,098 | ||||||
| 400,500 | Mitsubishi Chemical Holdings Corporationa | 1,995,123 | ||||||
| 369,800 | Mitsubishi UFJ Financial Group, Inc. | 2,001,030 | ||||||
| 567,300 | Mori Seiki Company, Ltd.d | 4,967,241 | ||||||
| 518,645 | MS and AD Insurance Group Holdings, Inc.b | 10,350,587 | ||||||
| 276,297 | Nikkiso Company, Ltd. | 2,944,099 | ||||||
| 321,500 | Nikon Corporation | 9,492,094 | ||||||
| 4,387,500 | Nippon Sheet Glass Companya,d | 5,800,930 | ||||||
| 310,790 | Nippon Shokubai Company, Ltd. | 3,183,461 | ||||||
| 57,700 | Nippon Telegraph & Telephone Corporation | 2,429,341 | ||||||
| 1,037,250 | Nissan Motor Company, Ltd. | 9,842,340 | ||||||
| 210,534 | OSG Corporation | 2,921,612 | ||||||
| 61,218 | Pigeon Corporation | 2,929,692 | ||||||
| 38,731 | Ryohin Keikaku Company, Ltd.a | 2,166,142 | ||||||
| 89,100 | SCSK Corporation | 1,395,379 | ||||||
| 84,700 | Softbank Corporation | 3,103,512 | ||||||
| 1,494,500 | Sojitz Corporation | 2,209,678 | ||||||
| 1,348 | So-net M3, Inc.a | 2,151,512 | ||||||
| 461,000 | Sumitomo Chemical Company, Ltd. | 1,452,813 | ||||||
| 745,150 | Sumitomo Corporation | 9,560,129 | ||||||
| 258,500 | Sumitomo Electric Industries, Ltd. | 2,987,956 | ||||||
| 2,986,050 | Sumitomo Mitsui Trust Holdings, Inc. | 10,520,778 | ||||||
| 716,065 | Sumitomo Osaka Cement Company, Ltd. | 2,607,801 | ||||||
| 111,000 | Suzuki Motor Corporation | 2,904,683 | ||||||
| 55,765 | Sysmex Corporation | 2,567,912 | ||||||
| 90,070 | Tamron Company, Ltd. | 2,551,656 | ||||||
| 251,000 | Tatsuta Electric Wire and Cable Company, Ltd. | 2,190,046 | ||||||
| 36,000 | Totetsu Kogyo Company, Ltd.d | 493,199 | ||||||
| 96,000 | Toyo Suisan Kaisha, Ltd. | 2,557,802 | ||||||
| 198,500 | Toyota Motor Corporation | 9,269,185 | ||||||
| 21,100 | Tsuruha Holdings, Inc. | 1,664,026 | ||||||
| 120,752 | Unipres Corporation | 2,658,006 | ||||||
| 101,700 | United Arrows, Ltd. | 2,342,008 | ||||||
| 105,400 | West Japan Railway Company | 4,152,409 | ||||||
|
| |||||||
| Total | 204,517,620 | |||||||
|
| |||||||
| Lebanon (<0.1%) | |||||||
| 19,409 | Solidere | 252,317 | ||||||
|
| |||||||
| Total | 252,317 | |||||||
|
| |||||||
| Luxembourg (0.3%) | |||||||
| 47,000 | Tenaris SA ADRa | 1,970,240 | ||||||
| 108,670 | Ternium SA ADR | 2,559,179 | ||||||
|
| |||||||
| Total | 4,529,419 | |||||||
|
| |||||||
| Malaysia (0.5%) | |||||||
| 640,000 | CIMB Group Holdings Berhad | 1,601,998 | ||||||
| 811,500 | Genting Berhad | 2,453,302 | ||||||
| 628,900 | Malayan Banking Berhad | 1,896,783 | ||||||
| 199,400 | Public Bank Berhad | 1,062,858 | ||||||
|
| |||||||
| Total | 7,014,941 | |||||||
|
| |||||||
| Mexico (0.8%) | |||||||
| 2,539,100 | America Movil SAB de CV | 2,924,828 | ||||||
| 172,000 | Consorcio ARA SAB de CVb | 54,955 | ||||||
| 31,500 | Fomento Economico Mexicano SAB de CV ADR | 3,172,051 | ||||||
| 12,500 | Grupo Aeroportuario del Sureste SAB de CV ADR | 1,425,000 | ||||||
| 483,500 | Grupo Financiero Banorte SAB de CV ADR | 3,122,142 | ||||||
| 65,000 | Kimberly-Clark de Mexico SAB de CV | 166,946 | ||||||
| 259,000 | Organizacion Soriana SAB de CV | 987,807 | ||||||
|
| |||||||
| Total | 11,853,729 | |||||||
|
| |||||||
| Netherlands (3.3%) | |||||||
| 182,498 | Aalberts Industries NV | 3,820,811 | ||||||
| 2,347,050 | Aegon NV | 15,161,595 | ||||||
| 77,975 | European Aeronautic Defence and Space Company | 3,073,888 | ||||||
| 31,807 | Gemalto NV | 2,871,069 | ||||||
| 53,329 | Heineken NV | 3,575,383 | ||||||
| 223,400 | Koninklijke DSM NV | 13,615,341 | ||||||
| 49,420 | Nutreco NV | 4,201,354 | ||||||
| 112,374 | TKH Group NV | 2,908,699 | ||||||
| 30,270 | Unilever NV | 1,158,246 | ||||||
|
| |||||||
| Total | 50,386,386 | |||||||
|
| |||||||
| New Zealand (0.3%) | |||||||
| 846,416 | Ryman Healthcare, Ltd. | 3,193,773 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
187
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (88.7%) | Value | ||||||
| New Zealand (0.3%) - continued | |||||||
| 704,015 | Telecom Corporation of New Zealand, Ltd. | $ | 1,332,566 | |||||
|
| |||||||
| Total | 4,526,339 | |||||||
|
| |||||||
| Norway (1.5%) | |||||||
| 67,302 | Aker Solutions ASA | 1,393,733 | ||||||
| 51,243 | Petroleum Geo-Services ASA | 892,519 | ||||||
| 62,459 | Schibsted ASA | 2,671,057 | ||||||
| 104,683 | Seadrill, Ltd. | 3,856,722 | ||||||
| 152,750 | Statoil ASA | 3,850,006 | ||||||
| 967,000 | STX OSV Holdings, Ltd. | 1,046,837 | ||||||
| 80,213 | TGS Nopec Geophysical Company ASA | 2,649,091 | ||||||
| 357,546 | Tomra Systems ASA | 3,253,406 | ||||||
| 76,747 | Yara International ASA | 3,826,501 | ||||||
|
| |||||||
| Total | 23,439,872 | |||||||
|
| |||||||
| Panama (0.1%) | |||||||
| 21,900 | Copa Holdings SA | 2,177,955 | ||||||
|
| |||||||
| Total | 2,177,955 | |||||||
|
| |||||||
| Philippines (0.2%) | |||||||
| 2,576,000 | Ayala Land, Inc. | 1,665,053 | ||||||
| 658,242 | Bank of the Philippine Islands | 1,527,006 | ||||||
| 11,625 | Globe Telecom, Inc. | 310,180 | ||||||
|
| |||||||
| Total | 3,502,239 | |||||||
|
| |||||||
| Poland (0.6%) | |||||||
| 65,283 | Bank Handlowy w Warszawie SA | 2,073,282 | ||||||
| 71,973 | Bank Pekao SA | 3,905,547 | ||||||
| 112,511 | Grupa Lotos SAb | 1,504,254 | ||||||
| 237,711 | Telekomunikacja Polska SA | 937,741 | ||||||
|
| |||||||
| Total | 8,420,824 | |||||||
|
| |||||||
| Portugal (0.5%) | |||||||
| 6,522,837 | Banco Espirito Santo SAb | 7,758,017 | ||||||
|
| |||||||
| Total | 7,758,017 | |||||||
|
| |||||||
| Russia (0.7%) | |||||||
| 663,130 | Gazprom OAO | 6,452,254 | ||||||
| 38,500 | Lukoil ADR | 2,584,925 | ||||||
| 33,881 | Novolipetsk Steel OJSC | 702,228 | ||||||
| 98,739 | Sberbank of Russia | 1,240,162 | ||||||
|
| |||||||
| Total | 10,979,569 | |||||||
|
| |||||||
| Singapore (2.1%) | |||||||
| 2,640,000 | Biosensors International Group, Ltd.a,b | 2,635,533 | ||||||
| 5,120,000 | China Minzhong Food Corporation, Ltd.a,b | 3,421,839 | ||||||
| 2,911,000 | Ezion Holdings, Ltd.a | 4,114,201 | ||||||
| 774,000 | First Resources, Ltd. | 1,290,603 | ||||||
| 30,527,000 | GMG Global, Ltd. | 3,364,705 | ||||||
| 758,540 | Keppel Corporation, Ltd. | 6,926,656 | ||||||
| 1,877,000 | Osim International, Ltd. | 2,680,202 | ||||||
| 1,380,000 | Raffles Medical Group, Ltd. | 2,971,363 | ||||||
| 1,612,000 | Super Group, Ltd. | 4,275,617 | ||||||
|
| |||||||
| Total | 31,680,719 | |||||||
|
| |||||||
| South Africa (1.1%) | |||||||
| 203,321 | ABSA Group, Ltd. | 3,958,310 | ||||||
| 234,699 | Aveng, Ltd. | 848,820 | ||||||
| 92,728 | Impala Platinum Holdings, Ltd. | 1,854,479 | ||||||
| 59,584 | Massmart Holdings, Ltd. | 1,350,926 | ||||||
| 153,314 | MTN Group, Ltd. | 3,227,064 | ||||||
| 460,980 | PPC, Ltd. | 1,859,690 | ||||||
| 106,245 | Reunert, Ltd. | 953,902 | ||||||
| 181,000 | Truworths International, Ltd. | 2,330,815 | ||||||
|
| |||||||
| Total | 16,384,006 | |||||||
|
| |||||||
| South Korea (2.5%) | |||||||
| 12,181 | BS Financial Group, Inc.b | 151,038 | ||||||
| 4,173 | E-Mart Company, Ltd.b | 927,686 | ||||||
| 13,480 | Hyundai Heavy Industries Company, Ltd.b | 3,067,010 | ||||||
| 7,776 | Hyundai Mobisb | 2,109,699 | ||||||
| 158,430 | LG Uplus Corporationb | 1,159,394 | ||||||
| 24,900 | POSCO | 8,157,002 | ||||||
| 14,501 | POSCO ADR | 1,191,257 | ||||||
| 6,250 | Samsung Electronics Company, Ltd. | 5,022,222 | ||||||
| 29,390 | Samsung Heavy Industries Company, Ltd.b | 1,073,857 | ||||||
| 113,238 | Shinhan Financial Group Company, Ltd.b | 4,144,231 | ||||||
| 11,637 | Shinsegae Company, Ltd.b | 2,373,551 | ||||||
| 8,673 | SK Telecom Company, Ltd. | 1,236,616 | ||||||
| 486,277 | SK Telecom Company, Ltd. ADRa | 7,697,764 | ||||||
|
| |||||||
| Total | 38,311,327 | |||||||
|
| |||||||
| Spain (1.1%) | |||||||
| 1,912,200 | Iberdrola SA | 10,679,130 | ||||||
| 35,153 | Industria de Diseno Textil SA (Inditex) | 4,939,246 | ||||||
| 32,691 | Viscofan SA | 1,847,283 | ||||||
|
| |||||||
| Total | 17,465,659 | |||||||
|
| |||||||
| Sweden (1.2%) | |||||||
| 67,044 | Betsson ABb | 2,074,256 | ||||||
| 124,377 | Boliden AB | 2,363,288 | ||||||
| 52,372 | Hexpol AB | 2,778,991 | ||||||
| 85,443 | Hoganas AB | 3,289,502 | ||||||
| 62,842 | JM ABa | 1,127,078 | ||||||
| 393,187 | Skandinaviska Enskilda Banken AB | 3,363,981 | ||||||
| 269,105 | Volvo AB | 3,710,723 | ||||||
|
| |||||||
| Total | 18,707,819 | |||||||
|
| |||||||
| Switzerland (6.8%) | |||||||
| 68,779 | Actelion, Ltd.b | 3,291,135 | ||||||
| 159,900 | Adecco SAb | 8,468,026 | ||||||
| 13,845 | Bucher Industries AG | 2,738,983 | ||||||
| 9,775 | Burckhardt Compression Holding AG | 3,206,144 | ||||||
| 98,831 | Compagnie Financiere Richemont SA | 7,757,795 | ||||||
| 406,400 | Credit Suisse Group AGb | 9,918,749 | ||||||
| 296,736 | EFG International AGb | 2,865,188 | ||||||
| 7,099 | Givaudan SAb | 7,502,147 | ||||||
| 178,363 | Holcim, Ltd.b | 13,137,342 | ||||||
| 250,768 | Nestle SA | 16,360,975 | ||||||
| 134,300 | Novartis AG | 8,484,172 | ||||||
| 100,824 | Roche Holding AG | 20,384,715 | ||||||
|
| |||||||
| Total | 104,115,371 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
188
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (88.7%) | Value | ||||||
| Taiwan (1.0%) | |||||||
| 363,000 | Advanced Semiconductor Engineering, Inc. | $ | 316,035 | |||||
| 356,000 | Chipbond Technology Corporation | 702,951 | ||||||
| 3,381,000 | Compal Electronics, Inc. | 2,290,097 | ||||||
| 562,000 | Novatek Microelectronics Corporation | 2,296,226 | ||||||
| 465,000 | Taiwan Fertilizer Company, Ltd. | 1,221,514 | ||||||
| 337,300 | Taiwan Mobile Company, Ltd. | 1,246,511 | ||||||
| 1,124,951 | Taiwan Semiconductor Manufacturing Company, Ltd. | 3,762,747 | ||||||
| 62,554 | Taiwan Semiconductor Manufacturing Company, Ltd. ADR | 1,073,427 | ||||||
| 38,000 | TPK Holding Company, Ltd. | 680,449 | ||||||
| 3,052,000 | Walsin Lihwa Corporationb | 1,050,932 | ||||||
|
| |||||||
| Total | 14,640,889 | |||||||
|
| |||||||
| Thailand (1.6%) | |||||||
| 32,500 | Advanced Info Service pcl | 223,529 | ||||||
| 752,975 | Bangkok Bank pcl | 5,165,828 | ||||||
| 229,800 | Kasikornbank pcl | 1,462,335 | ||||||
| 280,100 | PTT Exploration & Production pcl | 1,510,889 | ||||||
| 899,150 | PTT pcl | 9,829,803 | ||||||
| 133,100 | Siam Cement pcl | 2,038,397 | ||||||
| 269,200 | Siam Commercial Bank pcl | 1,606,483 | ||||||
| 1,121,500 | Thai Oil pcl | 2,503,129 | ||||||
|
| |||||||
| Total | 24,340,393 | |||||||
|
| |||||||
| Turkey (0.4%) | |||||||
| 563,982 | Akbank TAS | 2,798,458 | ||||||
| 31,670 | BIM Birlesik Magazalar AS | 1,552,928 | ||||||
| 58,104 | Ford Otomotiv Sanayi AS | 699,015 | ||||||
| 220,000 | Turkiye Garanti Bankasi AS | 1,148,275 | ||||||
|
| |||||||
| Total | 6,198,676 | |||||||
|
| |||||||
| United Kingdom (11.9%) | |||||||
| 479,991 | Aberdeen Asset Management plc | 2,888,319 | ||||||
| 106,700 | Aveva Group plc | 3,828,990 | ||||||
| 386,027 | Babcock International Group plc | 6,093,475 | ||||||
| 2,268,529 | BAE Systems plc | 12,608,973 | ||||||
| 189,684 | Bellway plc | 3,204,953 | ||||||
| 69,672 | BG Group plc | 1,162,121 | ||||||
| 14,000 | BHP Billiton plc | 489,924 | ||||||
| 70,545 | British American Tobacco plc | 3,586,170 | ||||||
| 313,520 | BTG plcb | 1,715,537 | ||||||
| 120,825 | Diageo plc | 3,519,242 | ||||||
| 328,506 | Elementis plc | 1,254,323 | ||||||
| 591,622 | Fenner plc | 3,855,375 | ||||||
| 205,791 | GlaxoSmithKline plc | 4,480,567 | ||||||
| 514,696 | Halma plc | 3,873,029 | ||||||
| 117,917 | Hikma Pharmaceuticals plc | 1,469,968 | ||||||
| 179,200 | HSBC Holdings plc ADRa | 9,510,143 | ||||||
| 30,461 | Imperial Tobacco Group plc | 1,181,027 | ||||||
| 292,024 | Inchcape plc | 2,075,300 | ||||||
| 1,332,121 | Intermediate Capital Group plc | 6,955,081 | ||||||
| 1,156,948 | ITV plc | 2,007,044 | ||||||
| 172,196 | J Sainsbury plc | 974,228 | ||||||
| 250,112 | Lancashire Holdings, Ltd. | 3,184,517 | ||||||
| 1,264,818 | Legal & General Group plc | 3,032,882 | ||||||
| 197,316 | London Stock Exchange Group plc | 3,519,762 | ||||||
| 320,902 | Mondi plc | 3,542,114 | ||||||
| 556,745 | Morgan Crucible Company plc | 2,493,950 | ||||||
| 161,195 | National Grid plc | 1,848,822 | ||||||
| 30,972 | Next plc | 1,880,086 | ||||||
| 800,264 | Pace plc | 2,442,466 | ||||||
| 223,600 | Pearson plc | 4,358,333 | ||||||
| 289,218 | Persimmon plc | 3,796,469 | ||||||
| 252,396 | Prudential plc | 3,601,039 | ||||||
| 99,589 | Rio Tinto plc | 5,808,623 | ||||||
| 32,588 | SABMiller plc | 1,501,792 | ||||||
| 110,712 | Spirax-Sarco Engineering plc | 4,145,468 | ||||||
| 1,070,888 | Spirent Communications plc | 2,663,211 | ||||||
| 166,070 | Sports Direct International plcb | 1,050,727 | ||||||
| 311,943 | Standard Chartered plc | 8,073,045 | ||||||
| 278,163 | Tate & Lyle plc | 3,441,506 | ||||||
| 1,414,077 | Taylor Wimpey plc | 1,533,830 | ||||||
| 228,006 | Telecity Group plc | 2,944,582 | ||||||
| 2,062,220 | Tesco plc | 11,359,955 | ||||||
| 130,762 | Ultra Electronics Holdings plc | 3,563,156 | ||||||
| 93,330 | Unilever plc | 3,627,840 | ||||||
| 2,856,837 | Vodafone Group plc | 7,191,452 | ||||||
| 57,735 | Whitbread plc | 2,320,064 | ||||||
| 780,950 | WPP plcb | 11,409,097 | ||||||
|
| |||||||
| Total | 181,068,577 | |||||||
|
| |||||||
| United States (0.2%) | |||||||
| 48,720 | iShares MSCI Emerging Markets Index Fund | 2,160,732 | ||||||
| 36,620 | Vanguard MSCI Emerging Markets ETF | 1,630,689 | ||||||
|
| |||||||
| Total | 3,791,421 | |||||||
|
| |||||||
Total Common Stock (cost $1,277,933,193) | 1,349,054,143 | |||||||
|
| |||||||
Principal | Long-Term Fixed Income (9.2%) | |||||||
| Angola (<0.1%) | |||||||
Republic of Angola Via Northern Lights III BV | ||||||||
| 450,000 | 7.000%, 8/16/2019 | 497,812 | ||||||
|
| |||||||
| Total | 497,812 | |||||||
|
| |||||||
| Argentina (0.2%) | |||||||
Arcos Dorados SA | ||||||||
| 73,000 | 7.500%, 10/1/2019 | 79,570 | ||||||
Argentina Government International Bond | ||||||||
| 356,176 | 7.820%, 12/31/2033e | 284,151 | ||||||
| 1,612,873 | 7.820%, 12/31/2033e | 1,286,722 | ||||||
| 9,882,000 | 0.000%, 12/15/2035e,f | 803,499 | ||||||
|
| |||||||
| Total | 2,453,942 | |||||||
|
| |||||||
| Azerbaijan (<0.1%) | |||||||
State Oil Company of Azerbaijan Republic | ||||||||
| 410,000 | 5.450%, 2/9/2017 | 449,975 | ||||||
|
| |||||||
| Total | 449,975 | |||||||
|
| |||||||
| Belarus (0.1%) | |||||||
Belarus Government International Bond | ||||||||
| 719,000 | 8.750%, 8/3/2015 | 736,544 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
189
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (9.2%) | Value | ||||||
| Belarus (0.1%) - continued | |||||||
| $ | 200,000 | 8.950%, 1/26/2018 | $ | 206,000 | ||||
|
| |||||||
| Total | 942,544 | |||||||
|
| |||||||
| Belize (<0.1%) | |||||||
Belize Government International Bond | ||||||||
| 120,000 | 8.500%, 2/20/2029 | 57,600 | ||||||
|
| |||||||
| Total | 57,600 | |||||||
|
| |||||||
| Bermuda (0.1%) | |||||||
China Resources Gas Group, Ltd | ||||||||
| 400,000 | 4.500%, 4/5/2022 | 439,956 | ||||||
Digicel Group, Ltd. | ||||||||
| 400,000 | 8.250%, 9/30/2020c | 440,000 | ||||||
|
| |||||||
| Total | 879,956 | |||||||
|
| |||||||
| Bolivia (<0.1%) | |||||||
Bolivia Government International Bond | ||||||||
| 300,000 | 4.875%, 10/29/2022c | 292,500 | ||||||
|
| |||||||
| Total | 292,500 | |||||||
|
| |||||||
| Brazil (0.3%) | |||||||
Banco do Brasil SA/Cayman Islands | ||||||||
| 1,600,000 | 3.875%, 10/10/2022 | 1,612,000 | ||||||
Banco do Estado do Rio Grande de Sul SA | ||||||||
| 200,000 | 7.375%, 2/2/2022 | 219,000 | ||||||
Banco do Estado do Rio Grande do Sul SA | ||||||||
| 680,000 | 7.375%, 2/2/2022c | 744,600 | ||||||
Brazil Government International Bond | ||||||||
| 100,000 | 5.875%, 1/15/2019 | 123,700 | ||||||
| 670,000 | 5.625%, 1/7/2041 | 877,700 | ||||||
Independencia International, Ltd. | ||||||||
| 95,246 | 12.000%, 12/30/2016c,g,h | 0 | ||||||
OGX Austria GmbH | ||||||||
| 200,000 | 8.375%, 4/1/2022c | 167,000 | ||||||
|
| |||||||
| Total | 3,744,000 | |||||||
|
| |||||||
| Canada (0.1%) | |||||||
Eldorado Gold Corporation | ||||||||
| 430,000 | 6.125%, 12/15/2020c | 437,525 | ||||||
Nexen, Inc. | ||||||||
| 115,000 | 6.400%, 5/15/2037 | 148,672 | ||||||
PTTEP Canada International Finance, Ltd. | ||||||||
| 270,000 | 5.692%, 4/5/2021c | 312,185 | ||||||
| 540,000 | 6.350%, 6/12/2042 | 673,800 | ||||||
|
| |||||||
| Total | 1,572,182 | |||||||
|
| |||||||
| Cayman Islands (0.1%) | |||||||
Country Garden Holdings Company, Ltd. | ||||||||
| 600,000 | 2.500%, 2/22/2013i | 115,064 | ||||||
Dubai Holding Commercial Operations MTN, Ltd. | ||||||||
| 250,000 | 6.000%, 2/1/2017j | 393,322 | ||||||
Petrobras International Finance Company | ||||||||
| 360,000 | 5.750%, 1/20/2020 | 409,808 | ||||||
| 119,000 | 5.375%, 1/27/2021 | 133,973 | ||||||
Raizen Fuels Finance, Ltd. | ||||||||
| 520,000 | 9.500%, 8/15/2014 | 577,200 | ||||||
|
| |||||||
| Total | 1,629,367 | |||||||
|
| |||||||
| Chile (0.4%) | |||||||
AES Gener SA | ||||||||
| 230,000 | 5.250%, 8/15/2021 | 255,265 | ||||||
| 120,000 | 5.250%, 8/15/2021c | 133,182 | ||||||
Banco de Credito e Inversiones | ||||||||
| 1,490,000 | 3.000%, 9/13/2017c | 1,518,395 | ||||||
Banco del Estado de Chile | ||||||||
| 200,000 | 4.125%, 10/7/2020 | 218,276 | ||||||
| 260,000 | 4.125%, 10/7/2020c | 283,759 | ||||||
Banco Santander Chile | ||||||||
| 350,000 | 3.875%, 9/20/2022c | 358,799 | ||||||
Chile Government International Bond | ||||||||
| 130,000 | 3.875%, 8/5/2020 | 146,575 | ||||||
| 870,000 | 3.250%, 9/14/2021 | 943,950 | ||||||
| 270,000 | 3.625%, 10/30/2042 | 266,625 | ||||||
Corporacion Nacional del Cobre de Chile | ||||||||
| 120,000 | 3.750%, 11/4/2020c | 129,759 | ||||||
| 640,000 | 3.750%, 11/4/2020 | 692,047 | ||||||
| 160,000 | 6.150%, 10/24/2036 | 208,270 | ||||||
| 200,000 | 4.250%, 7/17/2042c | 203,590 | ||||||
E-CL SA | ||||||||
| 320,000 | 5.625%, 1/15/2021c | 359,487 | ||||||
|
| |||||||
| Total | 5,717,979 | |||||||
|
| |||||||
| Colombia (0.6%) | |||||||
Banco de Bogota SA | ||||||||
| 650,000 | 5.000%, 1/15/2017 | 700,375 | ||||||
Bancolombia SA | ||||||||
| 200,000 | 5.950%, 6/3/2021 | 231,000 | ||||||
| 470,000 | 5.125%, 9/11/2022 | 488,800 | ||||||
Colombia Government International Bond | ||||||||
| 30,000 | 8.250%, 12/22/2014 | 34,200 | ||||||
| 400,000 | 7.375%, 1/27/2017 | 493,600 | ||||||
| 1,555,000 | 7.375%, 3/18/2019 | 2,044,047 | ||||||
| 590,000 | 7.375%, 9/18/2037 | 916,270 | ||||||
| 1,070,000 | 6.125%, 1/18/2041 | 1,469,110 | ||||||
Colombia Telecomunicaciones SA ESP | ||||||||
| 260,000 | 5.375%, 9/27/2022c | 264,225 | ||||||
Empresa de Energia de Bogota SA | ||||||||
| 420,000 | 6.125%, 11/10/2021c | 471,450 | ||||||
| 660,000 | 6.125%, 11/10/2021 | 740,850 | ||||||
Empresas Publicas de Medellin ESP | ||||||||
| 277,000 | 7.625%, 7/29/2019 | 347,635 | ||||||
Transportadora de Gas del Internacional SA ESP | ||||||||
| 200,000 | 5.700%, 3/20/2022c | 221,000 | ||||||
|
| |||||||
| Total | 8,422,562 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
190
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (9.2%) | Value | ||||||
| Costa Rica (0.1%) | |||||||
Costa Rica Government International Bond | ||||||||
| $ | 10,000 | 9.995%, 8/1/2020 | $ | 13,750 | ||||
| 960,000 | 4.250%, 1/26/2023c | 968,640 | ||||||
|
| |||||||
| Total | 982,390 | |||||||
|
| |||||||
| Croatia (<0.1%) | |||||||
Hrvatska Elektroprivreda | ||||||||
| 290,000 | 6.000%, 11/9/2017c | 305,950 | ||||||
|
| |||||||
| Total | 305,950 | |||||||
|
| |||||||
| Dominican Republic (0.3%) | |||||||
Aeropuertos Dominicanos Siglo XXI SA | ||||||||
| 700,000 | 9.250%, 11/13/2019c | 738,500 | ||||||
Dominican Republic Government International Bond | ||||||||
| 100,000 | 7.500%, 5/6/2021c | 116,150 | ||||||
| 2,878,000 | 7.500%, 5/6/2021 | 3,342,797 | ||||||
|
| |||||||
| Total | 4,197,447 | |||||||
|
| |||||||
| Egypt (<0.1%) | |||||||
Egypt Government International Bond | ||||||||
| 660,000 | 5.750%, 4/29/2020 | 655,050 | ||||||
| 100,000 | 6.875%, 4/30/2040 | 94,500 | ||||||
|
| |||||||
| Total | 749,550 | |||||||
|
| |||||||
| El Salvador (<0.1%) | |||||||
El Salvador Government International Bond | ||||||||
| 480,000 | 5.875%, 1/30/2025a,c | 485,280 | ||||||
|
| |||||||
| Total | 485,280 | |||||||
|
| |||||||
| Gabon (<0.1%) | |||||||
Gabon Government International Bond | ||||||||
| 350,000 | 8.200%, 12/12/2017 | 424,375 | ||||||
|
| |||||||
| Total | 424,375 | |||||||
|
| |||||||
| Ghana (<0.1%) | |||||||
Ghana Government International Bond | ||||||||
| 350,000 | 8.500%, 10/4/2017 | 404,250 | ||||||
|
| |||||||
| Total | 404,250 | |||||||
|
| |||||||
| Guatemala (<0.1%) | |||||||
Guatemala Government International Bond | ||||||||
| 350,000 | 5.750%, 6/6/2022c | 385,875 | ||||||
|
| |||||||
| Total | 385,875 | |||||||
|
| |||||||
| Hong Kong (<0.1%) | |||||||
Zijin International Finance Company, Ltd. | ||||||||
| 120,000 | 4.250%, 6/30/2016 | 126,893 | ||||||
|
| |||||||
| Total | 126,893 | |||||||
|
| |||||||
| Hungary (<0.1%) | ||||||||
Hungary Government International Bond | ||||||||
| 80,000 | 3.500%, 7/18/2016e | 102,086 | ||||||
| 450,000 | 4.375%, 7/4/2017e | 585,071 | ||||||
| 21,000 | 3.875%, 2/24/2020e | 25,589 | ||||||
|
| |||||||
| Total | 712,746 | |||||||
|
| |||||||
| Indonesia (0.6%) | |||||||
Indonesia Government International Bond | ||||||||
| 49,000 | 6.875%, 1/17/2018 | 59,841 | ||||||
| 1,280,000 | 11.625%, 3/4/2019 | 1,936,000 | ||||||
| 400,000 | 11.625%, 3/4/2019c | 605,000 | ||||||
| 455,000 | 8.500%, 10/12/2035 | 728,000 | ||||||
| 3,240,000 | 7.750%, 1/17/2038 | 4,884,299 | ||||||
Perusahaan Penerbit SBSN | ||||||||
| 200,000 | 4.000%, 11/21/2018c | 214,000 | ||||||
|
| |||||||
| Total | 8,427,140 | |||||||
|
| |||||||
| Iraq (0.1%) | |||||||
Iraq Government International Bond | ||||||||
| 1,200,000 | 5.800%, 1/15/2028 | 1,134,000 | ||||||
|
| |||||||
| Total | 1,134,000 | |||||||
|
| |||||||
| Ireland (0.1%) | |||||||
MTS International Funding, Ltd. | ||||||||
| 1,050,000 | 8.625%, 6/22/2020 | 1,324,313 | ||||||
|
| |||||||
| Total | 1,324,313 | |||||||
|
| |||||||
| Ivory Coast (0.3%) | |||||||
Ivory Coast Government International Bond | ||||||||
| 3,949,000 | 3.750%, 12/31/2032 | 3,682,443 | ||||||
|
| |||||||
| Total | 3,682,443 | |||||||
|
| |||||||
| Kazakhstan (0.2%) | |||||||
Kazatomprom Natsionalnaya Atomnaya Kompaniya AO | ||||||||
| 220,000 | 6.250%, 5/20/2015 | 238,205 | ||||||
KazMunayGas National Company | ||||||||
| 450,000 | 11.750%, 1/23/2015 | 537,188 | ||||||
| 1,370,000 | 6.375%, 4/9/2021c | 1,676,537 | ||||||
|
| |||||||
| Total | 2,451,930 | |||||||
|
| |||||||
| Lithuania (<0.1%) | |||||||
Lithuania Government International Bond | ||||||||
| 120,000 | 6.125%, 3/9/2021 | 147,756 | ||||||
|
| |||||||
| Total | 147,756 | |||||||
|
| |||||||
| Luxembourg (0.2%) | |||||||
Gazprom OAO Via Gaz Capital SA | ||||||||
| 177,000 | 9.250%, 4/23/2019 | 234,304 | ||||||
| 1,320,000 | 5.999%, 1/23/2021 | 1,523,280 | ||||||
| Sberbank of Russia Via SB Capital SA | ||||||||
| 240,000 | 5.125%, 10/29/2022c | 244,500 | ||||||
TNK-BP Finance SA | ||||||||
| 390,000 | 7.875%, 3/13/2018 | 473,421 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
191
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (9.2%) | Value | ||||||
| Luxembourg (0.2%) - continued |
| ||||||
| $ | 760,000 | 7.250%, 2/2/2020 | $ | 921,500 | ||||
Vimpel Communications OJSC Via UBS Luxembourg SA | ||||||||
| 100,000 | 8.250%, 5/23/2016 | 112,880 | ||||||
Wind Acquisition Finance SA | ||||||||
| 140,000 | 11.750%, 7/15/2017c | 146,650 | ||||||
|
| |||||||
| Total | 3,656,535 | |||||||
|
| |||||||
| Malaysia (<0.1%) | |||||||
Wakala Global Sukuk Bhd | ||||||||
| 420,000 | 4.646%, 7/6/2021 | 484,016 | ||||||
|
| |||||||
| Total | 484,016 | |||||||
|
| |||||||
| Mexico (1.1%) | |||||||
America Movil SAB de CV | ||||||||
| 2,290,000 | 6.450%, 12/5/2022k | 181,845 | ||||||
Grupo KUO SAB de CV | ||||||||
| 350,000 | 6.250%, 12/4/2022c | 374,500 | ||||||
Mexican Bonos | ||||||||
| 6,878,200 | 7.750%, 5/29/2031k | 622,488 | ||||||
| 11,803,700 | 7.750%, 11/13/2042k | 1,073,543 | ||||||
Mexichem SAB de CV | ||||||||
| 200,000 | 4.875%, 9/19/2022c | 215,500 | ||||||
Mexico Cetes | ||||||||
| 514,845,400 | Zero Coupon, 4/4/2013k | 3,939,077 | ||||||
| 178,659,900 | Zero Coupon, 6/27/2013k | 1,352,150 | ||||||
Mexico Government International Bond | ||||||||
| 750,000 | 6.375%, 1/16/2013 | 751,661 | ||||||
| 990,000 | 5.875%, 1/15/2014 | 1,036,035 | ||||||
| 20,000 | 6.625%, 3/3/2015 | 22,300 | ||||||
| 100,000 | 5.625%, 1/15/2017 | 116,000 | ||||||
| 266,000 | 5.950%, 3/19/2019 | 327,180 | ||||||
| 370,000 | 3.625%, 3/15/2022 | 404,688 | ||||||
| 110,000 | 6.750%, 9/27/2034 | 158,400 | ||||||
| 908,000 | 6.050%, 1/11/2040 | 1,217,627 | ||||||
| 1,530,000 | 4.750%, 3/8/2044 | 1,728,900 | ||||||
| 180,000 | 5.750%, 10/12/2110 | 216,450 | ||||||
Pemex Project Funding Master Trust | ||||||||
| 590,000 | 6.625%, 6/15/2035 | 749,300 | ||||||
Petroleos Mexicanos | ||||||||
| 45,000 | 8.000%, 5/3/2019 | 58,838 | ||||||
| 80,000 | 5.500%, 1/21/2021 | 93,480 | ||||||
| 1,270,000 | 4.875%, 1/24/2022 | 1,433,194 | ||||||
| 90,000 | 5.500%, 6/27/2044c | 99,000 | ||||||
|
| |||||||
| Total | 16,172,156 | |||||||
|
| |||||||
| Morocco (<0.1%) | |||||||
Morocco Government International Bond | ||||||||
| 260,000 | 4.250%, 12/11/2022a,c | 261,950 | ||||||
|
| |||||||
| Total | 261,950 | |||||||
|
| |||||||
| Netherlands (0.1%) | |||||||
Kazakhstan Temir Zholy Finance BV | ||||||||
| 670,000 | 6.950%, 7/10/2042c | 842,525 | ||||||
Listrindo Capital BV | ||||||||
| 650,000 | 6.950%, 2/21/2019 | 725,030 | ||||||
VimpelCom Holdings BV | ||||||||
| 580,000 | 7.504%, 3/1/2022c | 664,825 | ||||||
|
| |||||||
| Total | 2,232,380 | |||||||
|
| |||||||
| Nigeria (0.1%) | |||||||
Nigeria Government International Bond | ||||||||
| 850,000 | 6.750%, 1/28/2021 | 1,005,125 | ||||||
|
| |||||||
| Total | 1,005,125 | |||||||
|
| |||||||
| Pakistan (<0.1%) | |||||||
Pakistan Government International Bond | ||||||||
| 480,000 | 6.875%, 6/1/2017 | 436,800 | ||||||
| 100,000 | 7.875%, 3/31/2036 | 75,000 | ||||||
|
| |||||||
| Total | 511,800 | |||||||
|
| |||||||
| Panama (0.3%) | |||||||
Panama Government International Bond | ||||||||
| 430,000 | 7.250%, 3/15/2015 | 482,245 | ||||||
| 286,000 | 8.875%, 9/30/2027 | 464,750 | ||||||
| 990,000 | 9.375%, 4/1/2029 | 1,692,900 | ||||||
| 790,000 | 6.700%, 1/26/2036 | 1,121,800 | ||||||
|
| |||||||
| Total | 3,761,695 | |||||||
|
| |||||||
| Paraguay (<0.1%) | |||||||
Banco Continental SAECA | ||||||||
| 170,000 | 8.875%, 10/15/2017c | 181,900 | ||||||
Telefonica Celular del Paraguay SA | ||||||||
| 200,000 | 6.750%, 12/13/2022c | 209,500 | ||||||
|
| |||||||
| Total | 391,400 | |||||||
|
| |||||||
| Peru (0.2%) | |||||||
Ajecorp BV | ||||||||
| 160,000 | 6.500%, 5/14/2022a,c | 172,800 | ||||||
Corporacion Financiera de Desarrollo SA | ||||||||
| 200,000 | 4.750%, 2/8/2022 | 219,500 | ||||||
| 200,000 | 4.750%, 2/8/2022c | 219,500 | ||||||
Corporacion Lindley SA | ||||||||
| 120,000 | 6.750%, 11/23/2021 | 138,600 | ||||||
| 70,000 | 6.750%, 11/23/2021c | 80,850 | ||||||
Peru Government International Bond | ||||||||
| 230,000 | 5.625%, 11/18/2050 | 298,195 | ||||||
| 1,630,000 | 7.350%, 7/21/2025 | 2,361,870 | ||||||
| 354,000 | 8.750%, 11/21/2033 | 615,075 | ||||||
Volcan Cia Minera SAA | ||||||||
| 10,000 | 5.375%, 2/2/2022 | 11,050 | ||||||
| 36,000 | 5.375%, 2/2/2022c | 39,780 | ||||||
|
| |||||||
| Total | 4,157,220 | |||||||
|
| |||||||
| Philippines (0.2%) | |||||||
Energy Development Corporation | ||||||||
| 120,000 | 6.500%, 1/20/2021 | 134,629 | ||||||
Philippines Government International Bond | ||||||||
| 70,000 | 9.500%, 10/21/2024 | 112,700 | ||||||
| 1,980,000 | 5.500%, 3/30/2026 | 2,504,700 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
192
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (9.2%) | Value | ||||||
| Philippines (0.2%) - continued |
| ||||||
| $417,000 | 9.500%, 2/2/2030 | $ | 723,495 | |||||
|
| |||||||
| Total | 3,475,524 | |||||||
|
| |||||||
| Qatar (<0.1%) | ||||||||
Ras Laffan Liquefied Natural Gas Company, Ltd. II | ||||||||
| 199,375 | 5.298%, 9/30/2020 | 223,798 | ||||||
|
| |||||||
| Total | 223,798 | |||||||
|
| |||||||
| Romania (0.1%) | ||||||||
Romania Government International Bond | ||||||||
| 45,000 | 6.500%, 6/18/2018e | 67,268 | ||||||
| 270,000 | 6.750%, 2/7/2022 | 328,050 | ||||||
| 690,000 | 6.750%, 2/7/2022c | 838,350 | ||||||
|
| |||||||
| Total | 1,233,668 | |||||||
|
| |||||||
| Russia (0.5%) | ||||||||
Gazprom Neft Capital SA | ||||||||
| 490,000 | 4.375%, 9/19/2022c | 501,025 | ||||||
Rosneft Oil Company via Rosneft International Finance, Ltd. | ||||||||
| 2,320,000 | 4.199%, 3/6/2022c | 2,360,600 | ||||||
Russia Government International Bond | ||||||||
| 1,100,000 | 5.000%, 4/29/2020 | 1,298,000 | ||||||
| 1,200,000 | 4.500%, 4/4/2022c | 1,374,000 | ||||||
| 1,406,625 | 7.500%, 3/31/2030 | 1,806,669 | ||||||
|
| |||||||
| Total | 7,340,294 | |||||||
|
| |||||||
| Serbia (<0.1%) | ||||||||
Serbia Government International Bond | ||||||||
| 330,000 | 5.250%, 11/21/2017c | 342,375 | ||||||
| 144,000 | 6.750%, 11/1/2024 | 145,440 | ||||||
|
| |||||||
| Total | 487,815 | |||||||
|
| |||||||
| Slovenia (0.3%) | ||||||||
Slovenia Government International Bond | ||||||||
| 400,000 | 5.500%, 10/26/2022 | 420,000 | ||||||
| 2,290,000 | 5.500%, 10/26/2022c | 2,404,500 | ||||||
| 1,165,000 | 4.625%, 9/9/2024e | 1,380,639 | ||||||
| 180,000 | 5.125%, 3/30/2026e | 216,399 | ||||||
|
| |||||||
| Total | 4,421,538 | |||||||
|
| |||||||
| South Africa (0.1%) | ||||||||
Peermont Global Proprietary, Ltd. | ||||||||
| 580,000 | 7.750%, 4/30/2014e | 742,608 | ||||||
Transnet SOC, Ltd. | ||||||||
| 490,000 | 4.000%, 7/26/2022c | 493,063 | ||||||
|
| |||||||
| Total | 1,235,671 | |||||||
|
| |||||||
| South Korea (0.1%) | ||||||||
South Korea Government International Bond | ||||||||
| 630,000 | 7.125%, 4/16/2019 | 817,817 | ||||||
|
| |||||||
| Total | 817,817 | |||||||
|
| |||||||
| Sri Lanka (<0.1%) |
| ||||||
Sri Lanka Government International Bond | ||||||||
| 430,000 | 6.250%, 7/27/2021c | $ | 468,497 | |||||
|
| |||||||
| Total | 468,497 | |||||||
|
| |||||||
| Supranational (0.1%) | ||||||||
Corporacion Andina de Fomento | ||||||||
| 639,000 | 3.750%, 1/15/2016 | 674,340 | ||||||
| 600,000 | 5.750%, 1/12/2017 | 686,194 | ||||||
| 643,000 | 4.375%, 6/15/2022 | 696,217 | ||||||
|
| |||||||
| Total | 2,056,751 | |||||||
|
| |||||||
| Switzerland (<0.1%) | ||||||||
Credit Suisse/Nassau | ||||||||
| 8,000,000 | 8.150%, 2/5/2027h | 289,474 | ||||||
|
| |||||||
| Total | 289,474 | |||||||
|
| |||||||
| Turkey (0.8%) | ||||||||
Anadolu Efes Biracilik Ve Malt Sanayii AS | ||||||||
| 720,000 | 3.375%, 11/1/2022c | 709,200 | ||||||
Export Credit Bank of Turkey | ||||||||
| 640,000 | 5.375%, 11/4/2016c | 696,960 | ||||||
Turkey Government International Bond | ||||||||
| 4,630,000 | 6.750%, 4/3/2018 | 5,596,512 | ||||||
| 320,000 | 7.000%, 3/11/2019 | 397,920 | ||||||
| 430,000 | 7.375%, 2/5/2025 | 582,650 | ||||||
| 620,000 | 6.875%, 3/17/2036 | 837,000 | ||||||
| 400,000 | 7.250%, 3/5/2038 | 565,800 | ||||||
| 160,000 | 6.750%, 5/30/2040 | 216,800 | ||||||
| 500,000 | 6.000%, 1/14/2041 | 623,750 | ||||||
Turkiye Halk Bankasi AS | ||||||||
| 490,000 | 4.875%, 7/19/2017 | 521,850 | ||||||
| 200,000 | 4.875%, 7/19/2017c | 213,000 | ||||||
|
| |||||||
| Total | 10,961,442 | |||||||
|
| |||||||
| Ukraine (0.3%) | ||||||||
Ukraine Government International Bond | ||||||||
| 1,590,000 | 9.250%, 7/24/2017 | 1,725,150 | ||||||
| 460,000 | 8.375%, 11/3/2017 | 448,500 | ||||||
| 790,000 | 9.000%, 12/7/2017c | 790,000 | ||||||
| 200,000 | 7.400%, 4/20/2018 | 188,000 | ||||||
| 1,030,000 | 7.800%, 11/28/2022a,c | 1,035,150 | ||||||
|
| |||||||
| Total | 4,186,800 | |||||||
|
| |||||||
| United Arab Emirates (<0.1%) | ||||||||
Dolphin Energy, Ltd. | ||||||||
| 574,788 | 5.888%, 6/15/2019 | 648,073 | ||||||
National Bank of Abu Dhabi PJSC | ||||||||
| 200,000 | 3.000%, 8/13/2019 | 202,260 | ||||||
|
| |||||||
| Total | 850,333 | |||||||
|
| |||||||
| United Kingdom (0.1%) | ||||||||
Ferrexpo Finance plc | ||||||||
| 200,000 | 7.875%, 4/7/2016 | 194,000 | ||||||
HSBC Bank plc | ||||||||
| 144,000,000 | Zero Coupon, 8/12/2013c,h | 851,145 | ||||||
|
| |||||||
| Total | 1,045,145 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
193
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (9.2%) | Value | ||||||
| United States (0.3%) |
| ||||||
Banco del Estado de Chile | ||||||||
| $ 775,000 | 0.200%, 2/22/2013 | $ | 775,000 | |||||
Cemex Finance, LLC | ||||||||
| 230,000 | 9.375%, 10/12/2022c | 258,750 | ||||||
Citigroup Funding, Inc. | ||||||||
| 48,400,000 | 7.500%, 3/1/2019h,l | 1,668,146 | ||||||
HSBC Bank USA NA/New York | ||||||||
| 680,000 | 15.484%, 8/15/2040h,m | 1,006,377 | ||||||
HSBC USA, Inc. | ||||||||
| 688,000 | 10.000%, 1/5/2017h,n | 353,783 | ||||||
|
| |||||||
| Total | 4,062,056 | |||||||
|
| |||||||
| Uruguay (0.1%) | |||||||
Uruguay Government International Bond | ||||||||
| 550,000 | 6.875%, 9/28/2025 | 767,250 | ||||||
| 468,000 | 7.625%, 3/21/2036 | 722,592 | ||||||
|
| |||||||
| Total | 1,489,842 | |||||||
|
| |||||||
| Venezuela (0.5%) | |||||||
Petroleos de Venezuela SA | ||||||||
| 471,600 | 5.250%, 4/12/2017 | 411,471 | ||||||
| 1,990,000 | 9.000%, 11/17/2021 | 1,898,460 | ||||||
| 180,000 | 5.375%, 4/12/2027 | 126,000 | ||||||
| 30,000 | 5.500%, 4/12/2037 | 20,550 | ||||||
Venezuela Government International Bond | ||||||||
| 196,500 | 6.000%, 12/9/2020 | 164,078 | ||||||
| 535,000 | 8.250%, 10/13/2024 | 492,200 | ||||||
| 5,340,000 | 7.650%, 4/21/2025 | 4,699,200 | ||||||
| 20,000 | 11.750%, 10/21/2026 | 22,550 | ||||||
| 80,000 | 9.250%, 9/15/2027 | 80,000 | ||||||
|
| |||||||
| Total | 7,914,509 | |||||||
|
| |||||||
| Vietnam (<0.1%) | |||||||
Vietnam Government International Bond | ||||||||
| 130,000 | 6.875%, 1/15/2016 | 142,025 | ||||||
| 100,000 | 6.750%, 1/29/2020 | 114,000 | ||||||
|
| |||||||
| Total | 256,025 | |||||||
|
| |||||||
| Virgin Islands, British (0.1%) | |||||||
Central American Bottling Corporation | ||||||||
| 68,000 | 6.750%, 2/9/2022 | 73,950 | ||||||
| 40,000 | 6.750%, 2/9/2022c | 43,500 | ||||||
PCCW Capital No. 4, Ltd. | ||||||||
| 200,000 | 5.750%, 4/17/2022 | 220,061 | ||||||
Talent Yield Investments, Ltd. | ||||||||
| 230,000 | 4.500%, 4/25/2022c | 250,114 | ||||||
| 460,000 | 4.500%, 4/25/2022 | 500,230 | ||||||
|
| |||||||
| Total | 1,087,855 | |||||||
|
| |||||||
| Zambia (<0.1%) | |||||||
| 400,000 | Zambia Government International Bond 5.375%, 9/20/2022c | 398,500 | ||||||
|
| |||||||
| Total | 398,500 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $132,787,685) | 139,540,388 | |||||||
|
| |||||||
| Shares | Preferred Stock (0.2%) | |||||||
| Brazil (0.2%) | |||||||
| 184,400 | Vale SA | 3,680,795 | ||||||
|
| |||||||
| Total | 3,680,795 | |||||||
|
| |||||||
Total Preferred Stock (cost $3,150,902) | 3,680,795 | |||||||
|
| |||||||
| Shares | Collateral Held for Securities Loaned (2.3%) | |||||||
| 34,864,326 | Thrivent Cash Management Trust | 34,864,326 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $34,864,326) | 34,864,326 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (1.7%) | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 200,000 | 0.119%, 6/7/2013o,p | 199,896 | ||||||
| 25,452,748 | Thrivent Cash Management Trust | 25,452,748 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 25,652,644 | |||||||
|
| |||||||
| Total Investments (cost $1,474,388,750) 102.1% | $ | 1,552,792,296 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (2.1%) | (32,455,768 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 1,520,336,528 | ||||||
|
| |||||||
| a | All or a portion of the security is on loan. |
| b | Non-income producing security. |
| c | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2012, the value of these investments was $32,162,136 or 2.1% of total net assets. |
| d | Denotes investments purchased on a when-issued or delayed delivery basis. |
| e | Principal amount is displayed in Euros. |
| f | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2012. |
| g | Defaulted security. Interest is not being accrued. |
| h | Security is fair valued. |
| i | Principal amount is displayed in Chinese Yuan. |
| j | Principal amount is displayed in British Pounds. |
| k | Principal amount is displayed in Mexican Pesos. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
194
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2012
| l | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Partner Worldwide Allocation Portfolio owned as of December 31, 2012. |
Security | Acquisition Date | Cost | ||||||
Citigroup Funding, Inc. | 11/21/2012 | $ | 1,593,448 | |||||
| m | Principal amount is displayed in Brazilian Real. Security is linked to Brazilian Government Bonds due August 15, 2040. |
| n | Principal amount is displayed in Brazilian Real. |
| o | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| p | At December 31, 2012, $199,896 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
GDR | - | Global Depository Receipts, which are certificates for shares of an underlying foreign security’s shares held by an issuing depository bank from more than one country. | ||
ETF | - | Exchange Traded Fund. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 163,900,956 | ||
Gross unrealized depreciation | (88,436,168 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 75,464,788 | ||
Cost for federal income tax purposes | $ | 1,477,327,508 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
195
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Partner Worldwide Allocation Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Communications Services | 8,782,736 | — | 8,782,736 | — | ||||||||||||
Consumer Discretionary | 198,529,089 | — | 198,529,089 | — | ||||||||||||
Consumer Staples | 129,795,946 | 6,745,134 | 123,050,812 | — | ||||||||||||
Energy | 132,429,238 | 26,283,278 | 106,145,960 | — | ||||||||||||
Financials | 266,089,017 | 23,857,918 | 242,231,099 | — | ||||||||||||
Health Care | 102,709,050 | 5,994,937 | 96,714,113 | — | ||||||||||||
Industrials | 228,542,091 | 6,993,728 | 221,548,363 | — | ||||||||||||
Information Technology | 85,338,130 | 6,072,896 | 79,265,234 | — | ||||||||||||
Materials | 144,785,311 | 6,876,636 | 137,908,675 | — | ||||||||||||
Telecommunications Services | 41,046,333 | 9,185,456 | 31,860,877 | — | ||||||||||||
Utilities | 11,007,202 | — | 11,007,202 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Basic Materials | 2,258,414 | — | 2,258,414 | — | ||||||||||||
Capital Goods | 633,250 | — | 633,250 | — | ||||||||||||
Communications Services | 3,564,299 | — | 3,564,299 | — | ||||||||||||
Consumer Cyclical | 937,242 | — | 937,242 | — | ||||||||||||
Consumer Non-Cyclical^ | 1,796,100 | — | 1,796,100 | 0 | ||||||||||||
Energy | 17,059,051 | — | 17,059,051 | — | ||||||||||||
Financials | 12,517,326 | — | 8,348,401 | 4,168,925 | ||||||||||||
Foreign Government | 94,351,254 | — | 92,999,104 | 1,352,150 | ||||||||||||
Transportation | 2,074,088 | — | 2,074,088 | — | ||||||||||||
U.S. Government and Agencies | 99,000 | — | 99,000 | — | ||||||||||||
Utilities | 4,250,364 | — | 4,250,364 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Materials | 3,680,795 | — | 3,680,795 | — | ||||||||||||
Collateral Held for Securities Loaned | 34,864,326 | 34,864,326 | — | — | ||||||||||||
Short-Term Investments | 25,652,644 | 25,452,748 | 199,896 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,552,792,296 | $ | 152,327,057 | $ | 1,394,944,164 | $ | 5,521,075 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 25,761 | 25,761 | — | — | ||||||||||||
Foreign Currency Forward Contracts | 355,219 | — | 355,219 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 380,980 | $ | 25,761 | $ | 355,219 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 27,371 | 27,371 | — | — | ||||||||||||
Foreign Currency Forward Contracts | 268,851 | — | 268,851 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 296,222 | $ | 27,371 | $ | 268,851 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
^ Level 3 security in this section is fair valued at <$1.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||
2-Yr. U.S. Treasury Bond Futures | 15 | March 2013 | $ | 3,305,806 | $ | 3,307,031 | $ | 1,225 | ||||||||||
5-Yr. U.S. Treasury Bond Futures | 116 | March 2013 | 14,414,918 | 14,432,031 | 17,113 | |||||||||||||
10-Yr. U.S. Treasury Bond Futures | (17 | ) | March 2013 | (2,260,447 | ) | (2,257,282 | ) | 3,165 | ||||||||||
30-Yr. U.S. Treasury Bond Futures | (15 | ) | March 2013 | (2,216,758 | ) | (2,212,500 | ) | 4,258 | ||||||||||
Mini MSCI EAFE Index Futures | 26 | March 2013 | 2,109,756 | 2,106,390 | (3,366 | ) | ||||||||||||
Ultra Long Term U.S. Treasury Bond Futures | 17 | March 2013 | 2,788,099 | 2,764,094 | (24,005 | ) | ||||||||||||
Total Futures Contracts | ($ | 1,610 | ) | |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
196
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2012
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||
Purchases | ||||||||||||||||||||||
Brazilian Real | JPM | 695,839 | 1/7/2013 | $ | 333,960 | $ | 339,547 | $ | 5,587 | |||||||||||||
Brazilian Real | HSBC | 1,466,150 | 1/3/2013 - 1/17/2013 | 711,242 | 715,162 | 3,920 | ||||||||||||||||
Brazilian Real | CSFB | 803,741 | 1/7/2013 | 392,586 | 392,200 | (386 | ) | |||||||||||||||
Brazilian Real | UBS | 1,470,700 | 1/3/2013 - 1/31/2013 | 699,000 | 716,754 | 17,754 | ||||||||||||||||
Chilean Peso | CSFB | 342,694,890 | 1/7/2013 | 711,000 | 715,255 | 4,255 | ||||||||||||||||
Chilean Peso | CITI | 331,357,230 | 1/17/2013 | 687,534 | 690,823 | 3,289 | ||||||||||||||||
Chinese Yuan | BB | 25,859,988 | 2/5/2013 - 3/29/2013 | 3,080,819 | 3,115,037 | 34,218 | ||||||||||||||||
Chinese Yuan | DB | 2,914,342 | 2/4/2013 | 462,667 | 466,549 | 3,882 | ||||||||||||||||
Chinese Yuan | BOA | 7,074,545 | 2/4/2013 - 2/5/2013 | 1,123,200 | 1,132,488 | 9,288 | ||||||||||||||||
Chinese Yuan | HSBC | 3,276,780 | 2/4/2013 | 520,000 | 524,571 | 4,571 | ||||||||||||||||
Colombian Peso | CSFB | 475,277,262 | 1/17/2013 | 260,812 | 268,759 | 7,947 | ||||||||||||||||
Euro | BB | 135,000 | 3/20/2013 | 177,975 | 178,295 | 320 | ||||||||||||||||
Euro | MSC | 271,000 | 3/20/2013 | 357,007 | 357,911 | 904 | ||||||||||||||||
Euro | CITI | 274,000 | 3/20/2013 | 355,357 | 361,874 | 6,517 | ||||||||||||||||
Euro | DB | 135,000 | 3/20/2013 | 178,551 | 178,295 | (256 | ) | |||||||||||||||
Euro | JPM | 598,375 | 2/8/2013 | 790,866 | 790,001 | (865 | ) | |||||||||||||||
Indian Rupee | RBS | 9,866,500 | 1/29/2013 | 175,000 | 178,997 | 3,997 | ||||||||||||||||
Indian Rupee | UBS | 120,669,421 | 1/22/2013 - 1/29/2013 | 2,173,441 | 2,191,846 | 18,405 | ||||||||||||||||
Indonesian Rupiah | SSB | 701,401,165 | 1/2/2013 - 1/3/2013 | 71,573 | 72,778 | 1,205 | ||||||||||||||||
Indonesian Rupiah | BB | 6,781,632,001 | 2/20/2013 | 699,787 | 700,149 | 362 | ||||||||||||||||
Indonesian Rupiah | CITI | 3,470,174,080 | 1/14/2013 | 356,000 | 359,590 | 3,590 | ||||||||||||||||
Israeli Shekel | DB | 669,460 | 3/20/2013 | 179,000 | 178,881 | (119 | ) | |||||||||||||||
Japanese Yen | BOA | 2,283,095 | 1/8/2013 | 26,530 | 26,353 | (177 | ) | |||||||||||||||
Japanese Yen | CITI | 44,978,466 | 3/21/2013 | 535,000 | 519,623 | (15,377 | ) | |||||||||||||||
Japanese Yen | DB | 30,400,851 | 3/21/2013 | 357,000 | 351,212 | (5,788 | ) | |||||||||||||||
Japanese Yen | BB | 15,409,483 | 3/21/2013 | 179,000 | 178,021 | (979 | ) | |||||||||||||||
Japanese Yen | BIO | 66,000,397 | 1/7/2013 - 1/8/2013 | 767,189 | 761,821 | (5,368 | ) | |||||||||||||||
Malaysian Ringgit | JPM | 1,598,201 | 1/31/2013 | 520,604 | 521,640 | 1,036 | ||||||||||||||||
Malaysian Ringgit | CITI | 2,138,515 | 1/29/2013 | 700,000 | 698,082 | (1,918 | ) | |||||||||||||||
Malaysian Ringgit | MSC | 1,604,778 | 1/17/2013 | 523,411 | 524,237 | 826 | ||||||||||||||||
Malaysian Ringgit | DB | 4,715,471 | 1/29/2013 - 2/4/2013 | 1,538,037 | 1,539,046 | 1,009 | ||||||||||||||||
Malaysian Ringgit | SSB | 1,075,944 | 2/4/2013 | 353,000 | 351,088 | (1,912 | ) | |||||||||||||||
Malaysian Ringgit | HSBC | 2,712,125 | 1/17/2013 | 884,812 | 885,976 | 1,164 | ||||||||||||||||
Mexican Peso | BB | 8,448,471 | 1/2/2013 | 650,458 | 653,588 | 3,130 | ||||||||||||||||
Mexican Peso | HSBC | 27,127,539 | 3/20/2013 | 2,107,697 | 2,083,637 | (24,060 | ) | |||||||||||||||
Mexican Peso | CITI | 2,300,767 | 3/20/2013 | 178,000 | 176,719 | (1,281 | ) | |||||||||||||||
Mexican Peso | CSFB | 11,472,564 | 3/20/2013 | 890,000 | 881,195 | (8,805 | ) | |||||||||||||||
Mexican Peso | SSB | 14,125,544 | 1/25/2013 | 1,100,120 | 1,092,776 | (7,344 | ) | |||||||||||||||
Mexican Peso | BB | 6,707,339 | 1/25/2013 | 517,442 | 517,697 | 255 | ||||||||||||||||
Mexican Peso | SSB | 4,622,521 | 3/20/2013 | 357,000 | 355,051 | (1,949 | ) | |||||||||||||||
New Taiwan Dollar | BB | 10,212,643 | 2/4/2013 | 353,000 | 351,744 | (1,256 | ) | |||||||||||||||
New Taiwan Dollar | UBS | 51,278,186 | 1/14/2013 - 2/4/2013 | 1,767,999 | 1,766,020 | (1,979 | ) | |||||||||||||||
Philippines Peso | DB | 29,438,273 | 2/4/2013 | 721,588 | 718,299 | (3,289 | ) | |||||||||||||||
Philippines Peso | CITI | 50,474,536 | 2/19/2013 | 1,230,636 | 1,231,287 | 651 | ||||||||||||||||
Philippines Peso | SB | 28,853,440 | 1/18/2013 | 705,239 | 703,520 | (1,719 | ) | |||||||||||||||
Russian Ruble | UBS | 38,597,963 | 1/10/2013 - 1/31/2013 | 1,249,000 | 1,258,898 | 9,898 | ||||||||||||||||
Russian Ruble | CITI | 73,039,512 | 1/14/2013 - 1/17/2013 | 2,340,078 | 2,384,358 | 44,280 | ||||||||||||||||
Singapore Dollar | BOA | 1,557,987 | 1/2/2013 - 1/3/2013 | 1,273,937 | 1,275,419 | 1,482 | ||||||||||||||||
South Korean Won | DB | 1,164,697,483 | 2/4/2013 | 1,078,620 | 1,086,869 | 8,249 | ||||||||||||||||
South Korean Won | CITI | 383,286,694 | 2/4/2013 | 353,000 | 357,674 | 4,674 | ||||||||||||||||
Turkish Lira | JPM | 1,607,228 | 3/20/2013 | 890,000 | 892,432 | 2,432 | ||||||||||||||||
Turkish Lira | MSC | 643,673 | 3/20/2013 | 356,000 | 357,407 | 1,407 | ||||||||||||||||
Turkish Lira | RBS | 2,526,714 | 9/27/2013 | 1,352,812 | 1,385,337 | 32,525 | ||||||||||||||||
Total Purchases | $ | 40,354,586 | $ | 40,512,788 | $ | 158,202 | ||||||||||||||||
Sales | ||||||||||||||||||||||
Brazilian Real | HSBC | 733,075 | 1/3/2013 | $ | 353,187 | $ | 357,898 | ($ | 4,711 | ) | ||||||||||||
Brazilian Real | UBS | 5,710,830 | 1/3/2013 - 1/31/2013 | 2,756,298 | 2,784,003 | (27,705 | ) | |||||||||||||||
Brazilian Real | CSFB | 803,741 | 1/31/2013 | 391,305 | 391,021 | 284 | ||||||||||||||||
Chinese Yuan | JPM | 2,030,567 | 2/4/2013 | 317,797 | 325,068 | (7,271 | ) | |||||||||||||||
Colombian Peso | CSFB | 475,277,262 | 1/17/2013 | 259,289 | 268,757 | (9,468 | ) | |||||||||||||||
Euro | DB | 884,417 | 3/20/2013 | 1,160,342 | 1,168,055 | (7,713 | ) | |||||||||||||||
Euro | CITI | 4,561,365 | 2/8/2013 | 6,015,155 | 6,022,112 | (6,957 | ) | |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
197
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2012
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||
Sales- continued | ||||||||||||||||||||||
Hong Kong Dollar | BB | 975,833 | 1/2/2013 | $125,886 | $125,900 | ($14 | ) | |||||||||||||||
Hungarian Forint | BB | 13,327,179 | 1/2/2013 | 60,482 | 60,376 | 106 | ||||||||||||||||
Indian Rupee | SB | 19,404,410 | 1/22/2013 | 353,000 | �� | 352,546 | 454 | |||||||||||||||
Indian Rupee | RBS | 19,362,907 | 1/22/2013 | 355,000 | 351,792 | 3,208 | ||||||||||||||||
Indian Rupee | DB | 23,212,752 | 1/22/2013 | 422,614 | 421,738 | 876 | ||||||||||||||||
Indian Rupee | BB | 19,848,400 | 1/29/2013 | 357,500 | 360,088 | (2,588 | ) | |||||||||||||||
Japanese Yen | HSBC | 29,893,805 | 3/21/2013 | 357,000 | 345,355 | 11,645 | ||||||||||||||||
Japanese Yen | SSB | 44,766,125 | 3/21/2013 | 535,000 | 517,172 | 17,828 | ||||||||||||||||
Japanese Yen | CITI | 42,328,087 | 3/21/2013 | 507,092 | 489,004 | 18,088 | ||||||||||||||||
Malaysian Ringgit | CITI | 1,092,777 | 1/29/2013 | 357,000 | 356,719 | 281 | ||||||||||||||||
Malaysian Ringgit | HSBC | 1,889,172 | 1/29/2013 | 615,000 | 616,689 | (1,689 | ) | |||||||||||||||
Mexican Peso | JPM | 34,562,200 | 1/25/2013 - 6/27/2013 | 2,640,219 | 2,648,147 | (7,928 | ) | |||||||||||||||
Mexican Peso | MSC | 13,898,480 | 3/20/2013 | 1,072,000 | 1,067,527 | 4,473 | ||||||||||||||||
Mexican Peso | DB | 4,736,027 | 3/20/2013 | 361,511 | 363,769 | (2,258 | ) | |||||||||||||||
Mexican Peso | SSB | 23,748,254 | 1/25/2013 - 3/20/2013 | 1,826,688 | 1,832,095 | (5,407 | ) | |||||||||||||||
Mexican Peso | WBC | 2,275,997 | 3/20/2013 | 178,000 | 174,817 | 3,183 | ||||||||||||||||
Mexican Peso | CSFB | 2,287,727 | 3/20/2013 | 178,000 | 175,718 | 2,282 | ||||||||||||||||
Mexican Peso | HSBC | 40,333,288 | 4/4/2013 | 3,137,068 | 3,093,472 | 43,596 | ||||||||||||||||
Philippines Peso | SSB | 1,348,905 | 1/2/2013 - 1/3/2013 | 32,782 | 32,850 | (68 | ) | |||||||||||||||
Philippines Peso | CITI | 29,281,505 | 2/4/2013 | 713,000 | 714,474 | (1,474 | ) | |||||||||||||||
Philippines Peso | BB | 14,642,355 | 1/18/2013 | 357,000 | 357,018 | (18 | ) | |||||||||||||||
Polish Zloty | BB | 10,497 | 1/2/2013 | 3,400 | 3,391 | 9 | ||||||||||||||||
Russian Ruble | CITI | 30,764,554 | 1/10/2013 - 1/17/2013 | 993,092 | 1,004,632 | (11,540 | ) | |||||||||||||||
Russian Ruble | CSFB | 56,027,281 | 1/17/2013 - 1/18/2013 | 1,800,982 | 1,828,439 | (27,457 | ) | |||||||||||||||
Russian Ruble | UBS | 11,017,020 | 1/14/2013 | 357,000 | 359,730 | (2,730 | ) | |||||||||||||||
South Korean Won | DB | 385,131,600 | 2/4/2013 | 357,000 | 359,396 | (2,396 | ) | |||||||||||||||
Swedish Krona | BOA | 809,757 | 1/2/2013 | 123,542 | 124,518 | (976 | ) | |||||||||||||||
Thai Baht | SSB | 4,763,811 | 1/2/2013 - 1/3/2013 | 155,392 | 155,731 | (339 | ) | |||||||||||||||
Turkish Lira | DB | 2,526,714 | 9/27/2013 | 1,342,283 | 1,385,336 | (43,053 | ) | |||||||||||||||
Turkish Lira | RBS | 1,608,604 | 3/20/2013 | 888,453 | 893,197 | (4,744 | ) | |||||||||||||||
Turkish Lira | JPM | 642,297 | 3/20/2013 | 357,000 | 356,643 | 357 | ||||||||||||||||
Total Sales | $ 32,173,359 | $ 32,245,193 | ($71,834 | ) | ||||||||||||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts | $86,368 | |||||||||||||||||||||
Counterparty | ||||||||
BOA | - | Bank of America | ||||||
BB | - | Barclays Bank | ||||||
BIO | - | Brown Brothers Harriman | ||||||
CITI | - | Citibank | ||||||
CSFB | - | CS First Boston Corporation | ||||||
DB | - | Deutsche Bank | ||||||
HSBC | - | HSBC Securities, Inc. | ||||||
JPM | - | J.P. Morgan | ||||||
MSC | - | Morgan Stanley & Company | ||||||
RBS | - | The Royal Bank of Scotland | ||||||
SB | - | Standard Bank plc | ||||||
SSB | - | State Street Bank | ||||||
UBS | - | UBS Securities, Ltd. | ||||||
WBC | - | Westpac Banking Corporation | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
198
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2012, for Partner Worldwide Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 4,258 | |||
Total Equity Contracts | 4,258 | |||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 21,503 | ||||
Total Interest Rate Contracts | 21,503 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 355,219 | ||||
Total Foreign Exchange Contracts | 355,219 | |||||
|
| |||||
Total Asset Derivatives | $ | 380,980 | ||||
|
| |||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 3,366 | ||||
Total Equity Contracts | 3,366 | |||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 24,005 | ||||
Total Interest Rate Contracts | 24,005 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 268,851 | ||||
Total Foreign Exchange Contracts | 268,851 | |||||
|
| |||||
Total Liability Derivatives | $ | 296,222 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Partner Worldwide Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 120,167 | ||||
Total Equity Contracts | 120,167 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (150,955 | ) | |||
Total Foreign Exchange Contracts | (150,955 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 23,469 | ||||
Total Interest Rate Contracts | 23,469 | |||||
|
| |||||
Total | ($ | 7,319 | ) | |||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
199
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2012, for Partner Worldwide Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (12,985 | ) | |||
Total Equity Contracts | (12,985 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (10,725 | ) | |||
Total Interest Rate Contracts | (10,725 | ) | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Change in net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 94,840 | ||||
Total Foreign Exchange Contracts | 94,840 | |||||
|
| |||||
Total | $ | 71,130 | ||||
|
| |||||
The following table presents Partner Worldwide Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 1,573,492 | 0.2 | % | N/A | N/A | ||||||||||
Interest Rate Contracts | 21,982,251 | 2.3 | N/A | N/A | ||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 56,643,409 | 5.9 | % | ||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Partner Worldwide Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | — | $ | 391,856,490 | $ | 356,992,164 | 34,864,326 | $ | 34,864,326 | $ | 665,487 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 104,666,198 | 79,213,450 | 25,452,748 | 25,452,748 | 6,747 | ||||||||||||||||||
Total Value and Income Earned | — | 60,317,074 | 672,234 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
200
Partner Socially Responsible Stock Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (96.7%) | Value | ||||||
| Consumer Discretionary (12.2%) |
| ||||||
| 770 | Amazon.com, Inc.a | $ | 193,378 | |||||
| 1,732 | Bed Bath & Beyond, Inc.a | 96,836 | ||||||
| 3,626 | Kohl’s Corporation | 155,845 | ||||||
| 5,125 | Lowe’s Companies, Inc. | 182,040 | ||||||
| 2,650 | NIKE, Inc. | 136,740 | ||||||
| 206 | Priceline.com, Inc.a | 127,967 | ||||||
| 4,235 | Starbucks Corporation | 227,081 | ||||||
|
| |||||||
| Total | 1,119,887 | |||||||
|
| |||||||
| Consumer Staples (10.9%) |
| ||||||
| 5,847 | Coca-Cola Company | 211,954 | ||||||
| 2,541 | Costco Wholesale Corporation | 250,974 | ||||||
| 7,839 | CVS Caremark Corporation | 379,016 | ||||||
| 2,302 | PepsiCo, Inc. | 157,526 | ||||||
|
| |||||||
| Total | 999,470 | |||||||
|
| |||||||
| Energy (9.5%) | |||||||
| 5,060 | Cameron International Corporationa | 285,688 | ||||||
| 4,125 | Noble Corporation | 143,633 | ||||||
| 5,830 | QEP Resources, Inc. | 176,474 | ||||||
| 8,132 | Suncor Energy, Inc. ADR | 268,193 | ||||||
|
| |||||||
| Total | 873,988 | |||||||
|
| |||||||
| Financials (11.7%) | |||||||
| 2,259 | Aflac, Inc. | 119,998 | ||||||
| 5,118 | American Express Company | 294,183 | ||||||
| 1,491 | IntercontinentalExchange, Inc.a | 184,601 | ||||||
| 4,441 | SunTrust Banks, Inc. | 125,902 | ||||||
| 2,335 | T. Rowe Price Group, Inc. | 152,078 | ||||||
| 5,744 | Wells Fargo & Company | 196,330 | ||||||
|
| |||||||
| Total | 1,073,092 | |||||||
|
| |||||||
| Health Care (12.6%) | |||||||
| 4,603 | Allergan, Inc. | 422,232 | ||||||
| 890 | Cerner Corporationa | 69,100 | ||||||
| 1,075 | Edwards Lifesciences Corporationa | 96,933 | ||||||
| 3,362 | Gilead Sciences, Inc.a | 246,939 | ||||||
| 1,466 | Novartis AG ADR | 92,798 | ||||||
| 1,172 | Perrigo Company | 121,923 | ||||||
| 1,443 | Varian Medical Systems, Inc.a | 101,356 | ||||||
|
| |||||||
| Total | 1,151,281 | |||||||
|
| |||||||
| Industrials (9.4%) | |||||||
| 1,313 | 3M Company | 121,912 | ||||||
| 2,497 | BE Aerospace, Inc.a | 123,352 | ||||||
| 2,422 | C.H. Robinson Worldwide, Inc. | 153,119 | ||||||
| 4,517 | Danaher Corporation | 252,501 | ||||||
| 1,580 | Eaton Corporation plc | 85,655 | ||||||
| 3,235 | Expeditors International of Washington, Inc. | 127,944 | ||||||
|
| |||||||
| Total | 864,483 | |||||||
|
| |||||||
| Information Technology (26.9%) | |||||||
| 802 | Apple, Inc. | 427,490 | ||||||
| 3,418 | Cognizant Technology Solutions Corporationa | 253,103 | ||||||
| 469 | Google, Inc.a | 332,694 | ||||||
| 760 | Informatica Corporationa | 23,043 | ||||||
| 1,336 | International Business Machines Corporation | 255,911 | ||||||
| 3,421 | Intuit, Inc. | 203,549 | ||||||
| 5,098 | Juniper Networks, Inc.a | 100,278 | ||||||
| 12,583 | Microsoft Corporation | 336,344 | ||||||
| 6,504 | QUALCOMM, Inc. | 403,378 | ||||||
| 4,235 | Texas Instruments, Inc. | 131,031 | ||||||
|
| |||||||
| Total | 2,466,821 | |||||||
|
| |||||||
| Materials (3.5%) | |||||||
| 4,517 | Ecolab, Inc. | 324,772 | ||||||
|
| |||||||
| Total | 324,772 | |||||||
|
| |||||||
Total Common Stock (cost $7,996,077) | 8,873,794 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (2.3%) | |||||||
| 208,392 | Thrivent Cash Management Trust | 208,392 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 208,392 | |||||||
|
| |||||||
| Total Investments (cost $8,204,469) 99.0% | $ | 9,082,186 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 1.0% | 95,844 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 9,178,030 | ||||||
|
| |||||||
| a | Non-income producing security. |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows: |
| |||
Gross unrealized appreciation | $ | 1,013,354 | ||
Gross unrealized depreciation | (137,204 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 876,150 | ||
Cost for federal income tax purposes | $ | 8,206,036 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
201
Partner Socially Responsible Stock Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Partner Socially Responsible Stock Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 1,119,887 | 1,119,887 | — | — | ||||||||||||
Consumer Staples | 999,470 | 999,470 | — | — | ||||||||||||
Energy | 873,988 | 873,988 | — | — | ||||||||||||
Financials | 1,073,092 | 1,073,092 | — | — | ||||||||||||
Health Care | 1,151,281 | 1,151,281 | — | — | ||||||||||||
Industrials | 864,483 | 864,483 | — | — | ||||||||||||
Information Technology | 2,466,821 | 2,466,821 | — | — | ||||||||||||
Materials | 324,772 | 324,772 | — | — | ||||||||||||
Short-Term Investments | 208,392 | 208,392 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 9,082,186 | $ | 9,082,186 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Partner Socially Responsible Stock Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | $ | — | $ | 1,016,894 | $ | 808,502 | 208,392 | $ | 208,392 | $ | 80 | |||||||||||||
Total Value and Income Earned | — | 208,392 | 80 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
202
Partner All Cap Growth Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (98.9%) | Value | ||||||
| Consumer Discretionary (19.0%) | |||||||
| 1,505 | Amazon.com, Inc.a | $ | 377,966 | |||||
| 4,975 | Chico’s FAS, Inc. | 91,838 | ||||||
| 1,200 | Dick’s Sporting Goods, Inc. | 54,588 | ||||||
| 2,250 | DIRECTVa | 112,860 | ||||||
| 2,150 | Expedia, Inc. | 132,118 | ||||||
| 3,025 | Gap, Inc. | 93,896 | ||||||
| 900 | Lululemon Athletica, Inc.a | 68,607 | ||||||
| 3,475 | Michael Kors Holdings, Ltd.a | 177,329 | ||||||
| 1,200 | NIKE, Inc. | 61,920 | ||||||
| 75 | NVR, Inc.a | 69,000 | ||||||
| 700 | Panera Bread Companya | 111,181 | ||||||
| 950 | PetSmart, Inc. | 64,923 | ||||||
| 800 | Polaris Industries, Inc. | 67,320 | ||||||
| 300 | Priceline.com, Inc.a | 186,360 | ||||||
| 2,600 | Scripps Networks Interactive | 150,592 | ||||||
| 4,855 | Starbucks Corporation | 260,325 | ||||||
| 1,600 | Thor Industries, Inc. | 59,888 | ||||||
| 2,950 | TJX Companies, Inc. | 125,227 | ||||||
| 2,500 | TripAdvisor, Inc.a | 104,900 | ||||||
| 1,575 | Williams-Sonoma, Inc. | 68,938 | ||||||
|
| |||||||
| Total | 2,439,776 | |||||||
|
| |||||||
| Consumer Staples (3.5%) | |||||||
| 1,250 | Anheuser-Busch InBev NV ADR | 109,263 | ||||||
| 2,050 | Coca-Cola Company | 74,312 | ||||||
| 4,050 | Companhia de Bebidas das Americas ADR | 170,060 | ||||||
| 925 | Costco Wholesale Corporation | 91,362 | ||||||
|
| |||||||
| Total | 444,997 | |||||||
|
| |||||||
| Energy (6.7%) | |||||||
| 1,225 | Continental Resources, Inc.a | 90,025 | ||||||
| 1,675 | EOG Resources, Inc. | 202,323 | ||||||
| 4,075 | National Oilwell Varco, Inc. | 278,527 | ||||||
| 2,975 | Rowan Companies plca | 93,028 | ||||||
| 2,875 | Schlumberger, Ltd. | 199,209 | ||||||
|
| |||||||
| Total | 863,112 | |||||||
|
| |||||||
| Financials (3.7%) | |||||||
| 2,100 | American Express Company | 120,708 | ||||||
| 750 | Franklin Resources, Inc. | 94,275 | ||||||
| 870 | IntercontinentalExchange, Inc.a | 107,715 | ||||||
| 2,400 | T. Rowe Price Group, Inc. | 156,312 | ||||||
|
| |||||||
| Total | 479,010 | |||||||
|
| |||||||
| Health Care (13.7%) | |||||||
| 1,300 | Alexion Pharmaceuticals, Inc.a | 121,953 | ||||||
| 1,650 | Amgen, Inc. | 142,428 | ||||||
| 2,075 | Cerner Corporationa | 161,103 | ||||||
| 775 | Edwards Lifesciences Corporationa | 69,882 | ||||||
| 3,475 | Gilead Sciences, Inc.a | 255,239 | ||||||
| 250 | Intuitive Surgical, Inc.a | 122,592 | ||||||
| 1,275 | Jazz Pharmaceuticals, Inc.a | 67,830 | ||||||
| 1,100 | Johnson & Johnson | 77,110 | ||||||
| 2,450 | Mylan, Inc.a | 67,326 | ||||||
| 2,225 | Myriad Genetics, Inc.a | 60,631 | ||||||
| 1,950 | Novo Nordisk A/S ADR | 318,259 | ||||||
| 500 | Regeneron Pharmaceuticals, Inc.a | 85,535 | ||||||
| 1,875 | ResMed, Inc. | 77,944 | ||||||
| 1,825 | Varian Medical Systems, Inc.a | 128,188 | ||||||
|
| |||||||
| Total | 1,756,020 | |||||||
|
| |||||||
| Industrials (9.4%) | |||||||
| 7,075 | ABB, Ltd. ADRa | 147,089 | ||||||
| 1,775 | AGCO Corporationa | 87,188 | ||||||
| 1,200 | Caterpillar, Inc. | 107,496 | ||||||
| 2,850 | Dover Corporation | 187,274 | ||||||
| 4,775 | Eaton Corporation plc | 258,805 | ||||||
| 425 | Flowserve Corporation | 62,390 | ||||||
| 1,275 | Fluor Corporation | 74,894 | ||||||
| 1,775 | MSC Industrial Direct Company, Inc. | 133,800 | ||||||
| 1,050 | Rockwell Automation, Inc. | 88,189 | ||||||
| 725 | United Technologies Corporation | 59,457 | ||||||
|
| |||||||
| Total | 1,206,582 | |||||||
|
| |||||||
| Information Technology (41.3%) | |||||||
| 3,950 | Accenture plc | 262,675 | ||||||
| 1,170 | Apple, Inc. | 623,645 | ||||||
| 3,150 | Aruba Networks, Inc.a | 65,362 | ||||||
| 1,475 | Citrix Systems, Inc.a | 96,981 | ||||||
| 3,925 | Cognizant Technology Solutions Corporationa | 290,646 | ||||||
| 2,650 | CommVault Systems, Inc.a | 184,731 | ||||||
| 5,225 | eBay, Inc.a | 266,579 | ||||||
| 5,225 | Facebook, Inc.a | 139,142 | ||||||
| 1,325 | FleetCor Technologies, Inc.a | 71,086 | ||||||
| 2,625 | Fusion-io, Inc.a | 60,191 | ||||||
| 822 | Google, Inc.a | 583,102 | ||||||
| 1,525 | Intuit, Inc. | 90,737 | ||||||
| 1,850 | IPG Photonics Corporation | 123,303 | ||||||
| 650 | LinkedIn Corporationa | 74,633 | ||||||
| 575 | MasterCard, Inc. | 282,486 | ||||||
| 925 | Mellanox Technologies, Ltd.a | 54,927 | ||||||
| 12,225 | Oracle Corporation | 407,337 | ||||||
| 6,750 | QUALCOMM, Inc. | 418,635 | ||||||
| 1,550 | Salesforce.com, Inc.a | 260,555 | ||||||
| 3,625 | SAP AG ADR | 291,378 | ||||||
| 4,550 | Solarwinds, Inc.a | 238,648 | ||||||
| 1,850 | Teradata Corporationa | 114,497 | ||||||
| 3,150 | VMware, Inc.a | 296,541 | ||||||
|
| |||||||
| Total | 5,297,817 | |||||||
|
| |||||||
| Materials (1.6%) | |||||||
| 750 | Agrium, Inc. | 74,933 | ||||||
| 1,025 | Eastman Chemical Company | 69,751 | ||||||
| 3,625 | Yamana Gold, Inc. | 62,386 | ||||||
|
| |||||||
| Total | 207,070 | |||||||
|
| |||||||
Total Common Stock (cost $10,658,370) | 12,694,384 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (0.2%) | |||||||
| 29,412 | Thrivent Cash Management Trust | 29,412 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 29,412 | |||||||
|
| |||||||
| Total Investments (cost $10,687,782) 99.1% | $ | 12,723,796 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 0.9% | 118,589 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 12,842,385 | ||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
203
Partner All Cap Growth Portfolio
Schedule of Investments as of December 31, 2012
| a | Non-income producing security. |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 2,213,154 | ||
Gross unrealized depreciation | (177,392 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 2,035,762 | ||
Cost for federal income tax purposes | $ | 10,688,034 | ||
Fair valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Partner All Cap Growth Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 2,439,776 | 2,439,776 | — | — | ||||||||||||
Consumer Staples | 444,997 | 444,997 | — | — | ||||||||||||
Energy | 863,112 | 863,112 | — | — | ||||||||||||
Financials | 479,010 | 479,010 | — | — | ||||||||||||
Health Care | 1,756,020 | 1,756,020 | — | — | ||||||||||||
Industrials | 1,206,582 | 1,206,582 | — | — | ||||||||||||
Information Technology | 5,297,817 | 5,297,817 | — | — | ||||||||||||
Materials | 207,070 | 207,070 | — | — | ||||||||||||
Short-Term Investments | 29,412 | 29,412 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 12,723,796 | $ | 12,723,796 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Partner All Cap Growth Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Options Purchased | Net realized gains/(losses) on Investments | (19,221 | ) | |||
Total Equity Contracts | (19,221 | ) | ||||
|
| |||||
Total | ($ | 19,221 | ) | |||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2012, for Partner All Cap Growth Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Options Purchased | Change in net unrealized appreciation/(depreciation) on Investments | (1,714 | ) | |||
Total Equity Contracts | (1,714 | ) | ||||
|
| |||||
Total | ($ | 1,714 | ) | |||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
204
Partner All Cap Growth Portfolio
Schedule of Investments as of December 31, 2012
The following table presents Partner All Cap Growth Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Options (Contracts) | |||
| Equity Contracts | 2 | |||
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Partner All Cap Growth Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | $ | — | $ | 919,436 | $ | 890,024 | 29,412 | $ | 29,412 | $ | 35 | |||||||||||||
Total Value and Income Earned | — | 29,412 | 35 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
205
Partner All Cap Value Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (97.9%) | Value | ||||||
| Consumer Discretionary (9.0%) |
| ||||||
| 9,220 | Express, Inc.a | $ | 139,130 | |||||
| 5,240 | Fifth & Pacific Companies, Inc.a | 65,238 | ||||||
| 4,180 | Lowe’s Companies, Inc. | 148,474 | ||||||
| 3,370 | Newell Rubbermaid, Inc. | 75,050 | ||||||
| 1,890 | Target Corporation | 111,831 | ||||||
|
| |||||||
| Total | 539,723 | |||||||
|
| |||||||
| Consumer Staples (8.5%) | |||||||
| 4,170 | Coca-Cola Company | 151,162 | ||||||
| 1,590 | Kellogg Company | 88,802 | ||||||
| 2,750 | Molson Coors Brewing Company | 117,672 | ||||||
| 4,100 | Walgreen Company | 151,741 | ||||||
|
| |||||||
| Total | 509,377 | |||||||
|
| |||||||
| Energy (11.1%) | |||||||
| 910 | Apache Corporation | 71,435 | ||||||
| 2,310 | Baker Hughes, Inc. | 94,341 | ||||||
| 2,530 | Chevron Corporation | 273,594 | ||||||
| 800 | Exxon Mobil Corporation | 69,240 | ||||||
| 12,360 | Kosmos Energy, Ltd.a | 152,646 | ||||||
|
| |||||||
| Total | 661,256 | |||||||
|
| |||||||
| Financials (23.3%) | |||||||
| 2,060 | ACE, Ltd. | 164,388 | ||||||
| 7,660 | Bank of America Corporation | 88,856 | ||||||
| 3,340 | Brown & Brown, Inc. | 85,036 | ||||||
| 1,080 | Goldman Sachs Group, Inc. | 137,765 | ||||||
| 2,210 | J.P. Morgan Chase & Company | 97,174 | ||||||
| 2,130 | M&T Bank Corporation | 209,741 | ||||||
| 6,000 | Marsh & McLennan Companies, Inc. | 206,820 | ||||||
| 1,080 | PNC Financial Services Group, Inc. | 62,975 | ||||||
| 5,150 | SunTrust Banks, Inc. | 146,003 | ||||||
| 5,680 | Wells Fargo & Company | 194,142 | ||||||
|
| |||||||
| Total | 1,392,900 | |||||||
|
| |||||||
| Health Care (14.3%) | |||||||
| 1,610 | Baxter International, Inc. | 107,323 | ||||||
| 4,450 | Humana, Inc. | 305,403 | ||||||
| 4,000 | Merck & Company, Inc. | 163,760 | ||||||
| 3,750 | Teva Pharmaceutical Industries, Ltd. ADR | 140,025 | ||||||
| 2,480 | UnitedHealth Group, Inc. | 134,515 | ||||||
|
| |||||||
| Total | 851,026 | |||||||
|
| |||||||
| Industrials (11.8%) | |||||||
| 3,263 | AerCap Holdings NVa | 44,768 | ||||||
| 2,240 | AGCO Corporationa | 110,029 | ||||||
| 1,950 | Honeywell International, Inc. | 123,766 | ||||||
| 1,440 | Huntington Ingalls Industries, Inc. | 62,410 | ||||||
| 2,460 | Navistar International Corporationa | 53,554 | ||||||
| 9,090 | Quanta Services, Inc.a | 248,066 | ||||||
| 960 | WESCO International, Inc.a | 64,733 | ||||||
|
| |||||||
| Total | 707,326 | |||||||
|
| |||||||
| Information Technology (7.2%) | |||||||
| 180 | Apple, Inc. | 95,945 | ||||||
| 11,770 | Juniper Networks, Inc.a | 231,516 | ||||||
| 2,810 | Xilinx, Inc. | 100,879 | ||||||
|
| |||||||
| Total | 428,340 | |||||||
|
| |||||||
| Materials (6.9%) | |||||||
| 1,811 | LyondellBasell Industries NV | 103,390 | ||||||
| 3,860 | Mosaic Company | 218,592 | ||||||
| 1,260 | Rock-Tenn Company | 88,086 | ||||||
|
| |||||||
| Total | 410,068 | |||||||
|
| |||||||
| Telecommunications Services (2.4%) | |||||||
| 3,360 | Verizon Communications, Inc. | 145,387 | ||||||
|
| |||||||
| Total | 145,387 | |||||||
|
| |||||||
| Utilities (3.4%) | |||||||
| 2,000 | Public Service Enterprise Group, Inc. | 61,200 | ||||||
| 3,150 | SCANA Corporation | 143,766 | ||||||
|
| |||||||
| Total | 204,966 | |||||||
|
| |||||||
Total Common Stock (cost $5,714,445) | 5,850,369 | |||||||
|
| |||||||
Shares or | Short-Term Investments (1.4%) | |||||||
| 84,784 | Thrivent Cash Management Trust | 84,784 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 84,784 | |||||||
|
| |||||||
Total Investments (cost $5,799,229) 99.3% | $ | 5,935,153 | ||||||
|
| |||||||
Other Assets and Liabilities, Net 0.7% | 44,247 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 5,979,400 | ||||||
|
| |||||||
| a | Non-income producing security. |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 409,843 | ||
Gross unrealized depreciation | (276,976 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 132,867 | ||
Cost for federal income tax purposes | $ | 5,802,286 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
206
Partner All Cap Value Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Partner All Cap Value Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 539,723 | 539,723 | — | — | ||||||||||||
Consumer Staples | 509,377 | 509,377 | — | — | ||||||||||||
Energy | 661,256 | 661,256 | — | — | ||||||||||||
Financials | 1,392,900 | 1,392,900 | — | — | ||||||||||||
Health Care | 851,026 | 851,026 | — | — | ||||||||||||
Industrials | 707,326 | 707,326 | — | — | ||||||||||||
Information Technology | 428,340 | 428,340 | — | — | ||||||||||||
Materials | 410,068 | 410,068 | — | — | ||||||||||||
Telecommunications Services | 145,387 | 145,387 | — | — | ||||||||||||
Utilities | 204,966 | 204,966 | — | — | ||||||||||||
Short-Term Investments | 84,784 | 84,784 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 5,935,153 | $ | 5,935,153 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Partner All Cap Value Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Options Purchased | Net realized gains/(losses) on Investments | 166 | ||||
Total Equity Contracts | 166 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (4 | ) | |||
Total Foreign Exchange Contracts | (4 | ) | ||||
|
| |||||
Total | $ | 162 | ||||
|
| |||||
Partner All Cap Value Portfolio’s average volume of derivative activity for foreign exchange contracts during the period was <0.1% of average net assets.
The following table presents Partner All Cap Value Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Options (Contracts) | |||
Equity Contracts | 1 | |||
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Partner All Cap Value Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | $ | — | $ | 387,414 | $ | 302,630 | 84,784 | $ | 84,784 | $ | 9 | |||||||||||||
Total Value and Income Earned | — | 84,784 | 9 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
207
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (99.1%) | Value | ||||||
| Consumer Discretionary (11.2%) |
| ||||||
| 2,430 | Amazon.com, Inc.a | $ | 610,270 | |||||
| 5,520 | Coach, Inc. | 306,415 | ||||||
| 19,300 | Comcast Corporation | 721,434 | ||||||
| 11,400 | Home Depot, Inc. | 705,090 | ||||||
| 8,400 | McDonald’s Corporation | 740,964 | ||||||
| 9,120 | NIKE, Inc. | 470,592 | ||||||
| 1,760 | Ralph Lauren Corporation | 263,859 | ||||||
| 20,880 | Staples, Inc.b | 238,032 | ||||||
| 8,280 | Starbucks Corporation | 443,974 | ||||||
| 13,340 | Time Warner, Inc. | 638,052 | ||||||
| 11,940 | Viacom, Inc. | 629,716 | ||||||
|
| |||||||
| Total | 5,768,398 | |||||||
|
| |||||||
| Consumer Staples (10.6%) | |||||||
| 29,990 | CVS Caremark Corporation | 1,450,016 | ||||||
| 8,840 | Estee Lauder Companies, Inc. | 529,162 | ||||||
| 5,370 | Kraft Foods Group, Inc. | 244,174 | ||||||
| 1,780 | Lorillard, Inc. | 207,673 | ||||||
| 15,170 | PepsiCo, Inc. | 1,038,083 | ||||||
| 9,190 | Philip Morris International, Inc. | 768,652 | ||||||
| 6,520 | Procter & Gamble Company | 442,643 | ||||||
| 11,690 | Wal-Mart Stores, Inc. | 797,609 | ||||||
|
| |||||||
| Total | 5,478,012 | |||||||
|
| |||||||
| Energy (11.0%) | |||||||
| 5,610 | Apache Corporation | 440,385 | ||||||
| 3,210 | Concho Resources, Inc.a | 258,598 | ||||||
| 5,954 | Ensco plc | 352,953 | ||||||
| 6,090 | EQT Corporation | 359,188 | ||||||
| 22,870 | Exxon Mobil Corporation | 1,979,399 | ||||||
| 9,130 | Halliburton Company | 316,720 | ||||||
| 8,580 | Marathon Petroleum Corporation | 540,540 | ||||||
| 4,280 | National Oilwell Varco, Inc. | 292,538 | ||||||
| 9,950 | Occidental Petroleum Corporation | 762,269 | ||||||
| 6,630 | Phillips 66 | 352,053 | ||||||
|
| |||||||
| Total | 5,654,643 | |||||||
|
| |||||||
| Financials (15.4%) | |||||||
| 3,720 | American Tower Corporation | 287,444 | ||||||
| 5,410 | Ameriprise Financial, Inc. | 338,828 | ||||||
| 10,980 | Berkshire Hathaway, Inc.a | 984,906 | ||||||
| 4,310 | Boston Properties, Inc. | 456,041 | ||||||
| 12,740 | Capital One Financial Corporation | 738,028 | ||||||
| 12,210 | Citigroup, Inc. | 483,028 | ||||||
| 2,290 | IntercontinentalExchange, Inc.a | 283,525 | ||||||
| 27,800 | Invesco, Ltd. | 725,302 | ||||||
| 28,320 | J.P. Morgan Chase & Company | 1,245,230 | ||||||
| 2,610 | M&T Bank Corporation | 257,007 | ||||||
| 9,660 | MetLife, Inc. | 318,200 | ||||||
| 11,250 | PNC Financial Services Group, Inc. | 655,988 | ||||||
| 38,960 | Regions Financial Corporation | 277,395 | ||||||
| 26,060 | Wells Fargo & Company | 890,731 | ||||||
|
| |||||||
| Total | 7,941,653 | |||||||
|
| |||||||
| Health Care (11.9%) | |||||||
| 10,320 | Abbott Laboratories | 675,960 | ||||||
| 3,180 | Allergan, Inc. | 291,701 | ||||||
| 3,380 | Baxter International, Inc. | 225,311 | ||||||
| 4,270 | BioMarin Pharmaceutical, Inc.a | 210,298 | ||||||
| 5,640 | Express Scripts Holding Companya | 304,560 | ||||||
| 8,880 | Gilead Sciences, Inc.a | 652,236 | ||||||
| 3,320 | HCA Holdings, Inc. | 100,164 | ||||||
| 9,030 | Hospira, Inc.a | 282,097 | ||||||
| 3,370 | Illumina, Inc.a,b | 187,338 | ||||||
| 3,450 | Medivation, Inc.a | 176,502 | ||||||
| 6,660 | Onyx Pharmaceuticals, Inc.a | 503,030 | ||||||
| 40,135 | Pfizer, Inc. | 1,006,586 | ||||||
| 1,150 | Regeneron Pharmaceuticals, Inc.a | 196,730 | ||||||
| 6,800 | Thoratec Corporationa | 255,136 | ||||||
| 8,063 | Valeant Pharmaceuticals International, Inc.a | 481,926 | ||||||
| 2,980 | Varian Medical Systems, Inc.a | 209,315 | ||||||
| 5,780 | WellPoint, Inc. | 352,118 | ||||||
|
| |||||||
| Total | 6,111,008 | |||||||
|
| |||||||
| Industrials (10.1%) | |||||||
| 7,460 | Boeing Company | 562,186 | ||||||
| 1,230 | Caterpillar, Inc. | 110,183 | ||||||
| 1,690 | Colfax Corporationa | 68,191 | ||||||
| 5,110 | Cummins, Inc. | 553,668 | ||||||
| 10,580 | Danaher Corporation | 591,422 | ||||||
| 4,530 | FedEx Corporation | 415,492 | ||||||
| 980 | Flowserve Corporation | 143,864 | ||||||
| 38,910 | General Electric Company | 816,721 | ||||||
| 8,500 | Ingersoll-Rand plc | 407,660 | ||||||
| 2,390 | Precision Castparts Corporation | 452,714 | ||||||
| 3,940 | Union Pacific Corporation | 495,337 | ||||||
| 7,290 | United Technologies Corporation | 597,853 | ||||||
|
| |||||||
| Total | 5,215,291 | |||||||
|
| |||||||
| Information Technology (18.9%) | |||||||
| 6,100 | Accenture plc | 405,650 | ||||||
| 8,660 | Adobe Systems, Inc.a | 326,309 | ||||||
| 8,450 | ADTRAN, Inc.b | 165,113 | ||||||
| 10,610 | Altera Corporation | 365,408 | ||||||
| 4,580 | Apple, Inc. | 2,441,277 | ||||||
| 4,940 | Atmel Corporationa | 32,357 | ||||||
| 2,340 | BMC Software, Inc.a | 92,804 | ||||||
| 13,820 | Broadcom Corporationa | 458,962 | ||||||
| 5,500 | Check Point Software Technologies, Ltd.a,b | 262,020 | ||||||
| 5,580 | Cognizant Technology Solutions Corporationa | 413,199 | ||||||
| 6,480 | EMC Corporationa | 163,944 | ||||||
| 1,700 | Google, Inc.a | 1,205,929 | ||||||
| 24,180 | Juniper Networks, Inc.a | 475,621 | ||||||
| 5,630 | Maxim Integrated Products, Inc. | 165,522 | ||||||
| 9,400 | NXP Semiconductors NVa | 247,878 | ||||||
| 16,080 | Oracle Corporation | 535,786 | ||||||
| 12,210 | QUALCOMM, Inc. | 757,264 | ||||||
| 6,040 | Sourcefire, Inc.a | 285,209 | ||||||
| 3,820 | Visa, Inc. | 579,036 | ||||||
| 3,470 | VMware, Inc.a | 326,666 | ||||||
|
| |||||||
| Total | 9,705,954 | |||||||
|
| |||||||
| Materials (3.6%) | |||||||
| 6,870 | Albemarle Corporation | 426,764 | ||||||
| 980 | CF Industries Holdings, Inc. | 199,097 | ||||||
| 4,230 | Ecolab, Inc. | 304,137 | ||||||
| 10,400 | LyondellBasell Industries NV | 593,736 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
208
Partner All Cap Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (99.1%) | Value | ||||||
| Materials (3.6%) - continued |
| ||||||
| 2,380 | PPG Industries, Inc. | $ | 322,133 | |||||
|
| |||||||
| Total | 1,845,867 | |||||||
|
| |||||||
| Telecommunications Services (3.1%) | |||||||
| 5,162 | AT&T, Inc. | 174,011 | ||||||
| 7,239 | CenturyLink, Inc. | 283,190 | ||||||
| 6,560 | SBA Communications Corporationa | 465,891 | ||||||
| 15,740 | Verizon Communications, Inc. | 681,070 | ||||||
|
| |||||||
| Total | 1,604,162 | |||||||
|
| |||||||
| Utilities (3.3%) | |||||||
| 9,000 | Dominion Resources, Inc. | 466,200 | ||||||
| 16,120 | Edison International, Inc. | 728,463 | ||||||
| 1,640 | ITC Holdings Corporation | 126,132 | ||||||
| 12,810 | PPL Corporation | 366,750 | ||||||
|
| |||||||
| Total | 1,687,545 | |||||||
|
| |||||||
Total Common Stock (cost $47,474,703) | 51,012,533 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (1.6%) | ||||||||
| 831,150 | Thrivent Cash Management Trust | 831,150 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $831,150) | 831,150 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (0.4%) | |||||||
| 217,180 | Thrivent Cash Management Trust | 217,180 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 217,180 | |||||||
|
| |||||||
Total Investments (cost $48,523,033) 101.1% | $ | 52,060,863 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (1.1%) | (591,528 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 51,469,335 | ||||||
|
| |||||||
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 4,666,860 | ||
Gross unrealized depreciation | (1,232,497 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 3,434,363 | ||
Cost for federal income tax purposes | $ | 48,626,500 | ||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
209
Partner All Cap Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Partner All Cap Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 5,768,398 | 5,768,398 | — | — | ||||||||||||
Consumer Staples | 5,478,012 | 5,478,012 | — | — | ||||||||||||
Energy | 5,654,643 | 5,654,643 | — | — | ||||||||||||
Financials | 7,941,653 | 7,941,653 | — | — | ||||||||||||
Health Care | 6,111,008 | 6,111,008 | — | — | ||||||||||||
Industrials | 5,215,291 | 5,215,291 | — | — | ||||||||||||
Information Technology | 9,705,954 | 9,705,954 | — | — | ||||||||||||
Materials | 1,845,867 | 1,845,867 | — | — | ||||||||||||
Telecommunications Services | 1,604,162 | 1,604,162 | — | — | ||||||||||||
Utilities | 1,687,545 | 1,687,545 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 831,150 | 831,150 | — | — | ||||||||||||
Short-Term Investments | 217,180 | 217,180 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 52,060,863 | $ | 52,060,863 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Partner All Cap Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | — | $ | 6,269,602 | $ | 5,438,452 | 831,150 | $ | 831,150 | $ | 5,383 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 2,722,803 | 2,505,623 | 217,180 | 217,180 | 73 | ||||||||||||||||||
Total Value and Income Earned | — | 1,048,330 | 5,456 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
210
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (96.5%) | Value | ||||||
| Consumer Discretionary (18.1%) |
| ||||||
| 104,654 | Amazon.com, Inc.a | $ | 26,282,806 | |||||
| 53,100 | AutoZone, Inc.a | 18,820,233 | ||||||
| 746,759 | Comcast Corporation | 27,913,851 | ||||||
| 389,200 | Home Depot, Inc. | 24,072,020 | ||||||
| 325,450 | Las Vegas Sands Corporation | 15,022,772 | ||||||
| 386,200 | NIKE, Inc. | 19,927,920 | ||||||
| 20,000 | Priceline.com, Inc.a | 12,424,000 | ||||||
| 454,900 | Sally Beauty Holdings, Inc.a | 10,721,993 | ||||||
|
| |||||||
| Total | 155,185,595 | |||||||
|
| |||||||
| Consumer Staples (5.7%) | |||||||
| 106,288 | Anheuser-Busch InBev NV ADR | 9,290,634 | ||||||
| 169,675 | British American Tobacco plc ADR | 17,179,594 | ||||||
| 90,100 | Costco Wholesale Corporation | 8,899,177 | ||||||
| 212,200 | Nestle SA | 13,844,664 | ||||||
|
| |||||||
| Total | 49,214,069 | |||||||
|
| |||||||
| Energy (8.7%) | |||||||
| 148,800 | Consol Energy, Inc. | 4,776,480 | ||||||
| 130,600 | EOG Resources, Inc. | 15,775,174 | ||||||
| 331,800 | Marathon Oil Corporation | 10,172,988 | ||||||
| 289,619 | Schlumberger, Ltd. | 20,067,701 | ||||||
| 2,128,001 | Weatherford International, Ltd.a | 23,812,331 | ||||||
|
| |||||||
| Total | 74,604,674 | |||||||
|
| |||||||
| Financials (7.4%) | |||||||
| 222,400 | Ameriprise Financial, Inc. | 13,928,912 | ||||||
| 274,977 | Citigroup, Inc. | 10,878,090 | ||||||
| 209,520 | CME Group, Inc. | 10,624,759 | ||||||
| 221,339 | J.P. Morgan Chase & Company | 9,732,276 | ||||||
| 549,605 | Wells Fargo & Company | 18,785,499 | ||||||
|
| |||||||
| Total | 63,949,536 | |||||||
|
| |||||||
| Health Care (13.4%) | |||||||
| 99,900 | Allergan, Inc. | 9,163,827 | ||||||
| 163,700 | Biogen Idec, Inc.a | 24,009,879 | ||||||
| 344,800 | Covidien plc | 19,908,752 | ||||||
| 387,200 | Express Scripts Holding Companya | 20,908,800 | ||||||
| 169,000 | Shire Pharmaceuticals Group plc ADR | 15,578,420 | ||||||
| 476,940 | UnitedHealth Group, Inc. | 25,869,225 | ||||||
|
| |||||||
| Total | 115,438,903 | |||||||
|
| |||||||
| Industrials (10.3%) | |||||||
| 177,250 | ADT Corporation | 8,240,352 | ||||||
| 363,700 | Honeywell International, Inc. | 23,084,039 | ||||||
| 533,200 | Jacobs Engineering Group, Inc.a | 22,698,324 | ||||||
| 226,630 | Parker Hannifin Corporation | 19,277,148 | ||||||
| 86,931 | Pentair, Ltd. | 4,272,659 | ||||||
| 362,300 | Tyco International, Ltd. | 10,597,275 | ||||||
|
| |||||||
| Total | 88,169,797 | |||||||
|
| |||||||
| Information Technology (32.0%) | |||||||
| 134,551 | Apple, Inc. | 71,719,720 | ||||||
| 360,800 | Citrix Systems, Inc.a | 23,722,600 | ||||||
| 525,504 | eBay, Inc.a | 26,811,214 | ||||||
| 327,100 | EMC Corporationa | 8,275,630 | ||||||
| 67,339 | Google, Inc.a | 47,768,266 | ||||||
| 231,002 | NetApp, Inc.a | 7,750,117 | ||||||
| 896,224 | Oracle Corporation | 29,862,184 | ||||||
| 507,650 | QUALCOMM, Inc. | 31,484,453 | ||||||
| 578,600 | Texas Instruments, Inc. | 17,901,884 | ||||||
| 67,600 | Visa, Inc. | 10,246,808 | ||||||
|
| |||||||
| Total | 275,542,876 | |||||||
|
| |||||||
| Materials (0.9%) | |||||||
| 229,954 | Freeport-McMoRan Copper & Gold, Inc. | 7,864,427 | ||||||
|
| |||||||
| Total | 7,864,427 | |||||||
|
| |||||||
Total Common Stock (cost $744,695,337) | 829,969,877 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (3.5%) | |||||||
| 30,218,206 | Thrivent Cash Management Trust | 30,218,206 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 30,218,206 | |||||||
|
| |||||||
| Total Investments (cost $774,913,543) 100.0% | $ | 860,188,083 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (<0.1%) | (278,133 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 859,909,950 | ||||||
|
| |||||||
| a | Non-income producing security. |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows: |
| |||
Gross unrealized appreciation | $ | 111,183,523 | ||
Gross unrealized depreciation | (25,976,816 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 85,206,707 | ||
Cost for federal income tax purposes | $ | 774,981,376 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
211
Large Cap Growth Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Large Cap Growth Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 155,185,595 | 155,185,595 | — | — | ||||||||||||
Consumer Staples | 49,214,069 | 35,369,405 | 13,844,664 | — | ||||||||||||
Energy | 74,604,674 | 74,604,674 | — | — | ||||||||||||
Financials | 63,949,536 | 63,949,536 | — | — | ||||||||||||
Health Care | 115,438,903 | 115,438,903 | — | — | ||||||||||||
Industrials | 88,169,797 | 88,169,797 | — | — | ||||||||||||
Information Technology | 275,542,876 | 275,542,876 | — | — | ||||||||||||
Materials | 7,864,427 | 7,864,427 | — | — | ||||||||||||
Short-Term Investments | 30,218,206 | 30,218,206 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 860,188,083 | $ | 846,343,419 | $ | 13,844,664 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Large Cap Growth Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | 109,666 | ||||
Total Foreign Exchange Contracts | 109,666 | |||||
|
| |||||
Total | $ | 109,666 | ||||
|
| |||||
The following table presents Large Cap Growth Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Forwards | Forwards | ||||||
Foreign Exchange Contracts | $ | 83,839 | <0.1 | % | ||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Large Cap Growth Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | — | $ | 159,378,600 | $ | 159,378,600 | — | $ | — | $ | 17,406 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 57,462,865 | 27,244,659 | 30,218,206 | 30,218,206 | 7,193 | ||||||||||||||||||
Total Value and Income Earned | — | 30,218,206 | 24,599 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
212
Partner Growth Stock Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (97.9%) | Value | ||||||
| Consumer Discretionary (20.9%) | |||||||
| 10,000 | Amazon.com, Inc.a | $ | 2,511,400 | |||||
| 1,400 | AutoZone, Inc.a | 496,202 | ||||||
| 9,300 | CarMax, Inc.a | 349,122 | ||||||
| 7,338 | Carnival plc | 284,953 | ||||||
| 1,800 | Charter Communications, Inc.a | 137,232 | ||||||
| 1,600 | Chipotle Mexican Grill, Inc.a | 475,936 | ||||||
| 13,700 | D.R. Horton, Inc. | 270,986 | ||||||
| 3,400 | Dollar Tree, Inc.a | 137,904 | ||||||
| 3,700 | Fossil, Inc.a | 344,470 | ||||||
| 3,900 | Harley-Davidson, Inc. | 190,476 | ||||||
| 10,500 | Home Depot, Inc. | 649,425 | ||||||
| 10,300 | Las Vegas Sands Corporation | 475,448 | ||||||
| 8,000 | Lennar Corporationb | 309,360 | ||||||
| 6,600 | Lowe’s Companies, Inc. | 234,432 | ||||||
| 6,433 | Marriott International, Inc. | 239,758 | ||||||
| 4,700 | MGM Resorts Internationala | 54,708 | ||||||
| 6,000 | NIKE, Inc. | 309,600 | ||||||
| 25,100 | Prada Holding SPA | 243,891 | ||||||
| 2,200 | Priceline.com, Inc.a | 1,366,640 | ||||||
| 1,200 | PVH Corporation | 133,212 | ||||||
| 1,200 | Ralph Lauren Corporation | 179,904 | ||||||
| 4,900 | Ross Stores, Inc. | 265,335 | ||||||
| 3,800 | Sherwin-Williams Company | 584,516 | ||||||
| 13,200 | Starbucks Corporation | 707,784 | ||||||
| 7,000 | Starwood Hotels & Resorts Worldwide, Inc. | 401,520 | ||||||
| 1,300 | Tractor Supply Company | 114,868 | ||||||
| 4,000 | TripAdvisor, Inc.a | 167,840 | ||||||
| 7,600 | Walt Disney Company | 378,404 | ||||||
| 1,900 | Yum! Brands, Inc. | 126,160 | ||||||
|
| |||||||
| Total | 12,141,486 | |||||||
|
| |||||||
| Consumer Staples (5.3%) | |||||||
| 2,681 | Anheuser-Busch InBev NV | 233,475 | ||||||
| 9,300 | Coca-Cola Company | 337,125 | ||||||
| 2,700 | Colgate-Palmolive Company | 282,258 | ||||||
| 4,600 | Costco Wholesale Corporation | 454,342 | ||||||
| 10,800 | CVS Caremark Corporation | 522,180 | ||||||
| 4,100 | Monster Beverage Corporationa | 216,808 | ||||||
| 3,972 | Nestle SA | 259,147 | ||||||
| 1,617 | Pernod-Ricard SA | 187,607 | ||||||
| 3,500 | Philip Morris International, Inc. | 292,740 | ||||||
| 3,400 | Whole Foods Market, Inc. | 310,522 | ||||||
|
| |||||||
| Total | 3,096,204 | |||||||
|
| |||||||
| Energy (4.2%) | |||||||
| 3,900 | EOG Resources, Inc. | 471,081 | ||||||
| 2,100 | EQT Corporation | 123,858 | ||||||
| 8,200 | FMC Technologies, Inc.a | 351,206 | ||||||
| 1,400 | Occidental Petroleum Corporation | 107,254 | ||||||
| 1,600 | Pioneer Natural Resources Company | 170,544 | ||||||
| 7,000 | Range Resources Corporation | 439,810 | ||||||
| 5,700 | Schlumberger, Ltd. | 394,953 | ||||||
| 11,200 | Williams Companies, Inc. | 366,688 | ||||||
|
| |||||||
| Total | 2,425,394 | |||||||
|
| |||||||
| Financials (5.9%) | |||||||
| 12,500 | American Express Company | 718,500 | ||||||
| 17,200 | American Tower Corporation | 1,329,044 | ||||||
| 4,300 | Franklin Resources, Inc. | 540,510 | ||||||
| 1,400 | IntercontinentalExchange, Inc.a | 173,334 | ||||||
| 17,000 | Invesco, Ltd. | 443,530 | ||||||
| 6,800 | U.S. Bancorp | 217,192 | ||||||
|
| |||||||
| Total | 3,422,110 | |||||||
|
| |||||||
| Health Care (9.4%) | |||||||
| 4,000 | Alexion Pharmaceuticals, Inc.a | 375,240 | ||||||
| 2,500 | Allergan, Inc. | 229,325 | ||||||
| 4,600 | Baxter International, Inc. | 306,636 | ||||||
| 3,600 | Biogen Idec, Inc.a | 528,012 | ||||||
| 5,780 | Catamaran Corporationa | 272,296 | ||||||
| 2,900 | Celgene Corporationa | 228,288 | ||||||
| 1,200 | Covidien plc | 69,288 | ||||||
| 3,300 | Edwards Lifesciences Corporationa | 297,561 | ||||||
| 4,500 | Express Scripts Holding Companya | 243,000 | ||||||
| 6,900 | Gilead Sciences, Inc.a | 506,805 | ||||||
| 7,100 | McKesson Corporation | 688,416 | ||||||
| 2,076 | Novo Nordisk AS | 338,049 | ||||||
| 1,800 | Onyx Pharmaceuticals, Inc.a | 135,954 | ||||||
| 1,500 | Regeneron Pharmaceuticals, Inc.a | 256,605 | ||||||
| 4,700 | Stryker Corporation | 257,654 | ||||||
| 6,500 | UnitedHealth Group, Inc. | 352,560 | ||||||
| 6,100 | Valeant Pharmaceuticals International, Inc.a | 364,597 | ||||||
|
| |||||||
| Total | 5,450,286 | |||||||
|
| |||||||
| Industrials (12.2%) | |||||||
| 4,900 | Babcock & Wilcox Company | 128,380 | ||||||
| 5,200 | Boeing Company | 391,872 | ||||||
| 24,800 | Danaher Corporation | 1,386,320 | ||||||
| 2,600 | Deere & Company | 224,692 | ||||||
| 16,600 | Fastenal Company | 775,054 | ||||||
| 3,100 | FedEx Corporation | 284,332 | ||||||
| 2,100 | IHS, Inc.a | 201,600 | ||||||
| 4,400 | JB Hunt Transport Services, Inc. | 262,724 | ||||||
| 5,800 | Kansas City Southern | 484,184 | ||||||
| 5,500 | Precision Castparts Corporation | 1,041,810 | ||||||
| 4,500 | Roper Industries, Inc. | 501,660 | ||||||
| 4,700 | Union Pacific Corporation | 590,884 | ||||||
| 5,500 | United Continental Holdings, Inc.a | 128,590 | ||||||
| 6,700 | United Parcel Service, Inc. | 493,991 | ||||||
| 900 | W.W. Grainger, Inc. | 182,133 | ||||||
|
| |||||||
| Total | 7,078,226 | |||||||
|
| |||||||
| Information Technology (34.6%) | |||||||
| 9,400 | Accenture plc | 625,100 | ||||||
| 6,700 | Akamai Technologies, Inc.a | 274,097 | ||||||
| 1,400 | Alliance Data Systems Corporationa | 202,664 | ||||||
| 10,200 | Apple, Inc. | 5,436,906 | ||||||
| 5,100 | Autodesk, Inc.a | 180,285 | ||||||
| 3,200 | Baidu.com, Inc. ADRa | 320,928 | ||||||
| 11,100 | Broadcom Corporationa | 368,631 | ||||||
| 2,000 | Cognizant Technology Solutions Corporationa | 148,100 | ||||||
| 26,500 | eBay, Inc.a | 1,352,030 | ||||||
| 15,100 | EMC Corporationa | �� | 382,030 | |||||
| 4,865 | Facebook, Inc.a | 129,555 | ||||||
| 1,900 | Fiserv, Inc.a | 150,157 | ||||||
| 4,050 | Google, Inc.a | 2,872,948 | ||||||
| 23,400 | Juniper Networks, Inc.a | 460,278 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
213
Partner Growth Stock Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (97.9%) | Value | ||||||
| Information Technology (34.6%) - continued | |||||||
| 3,500 | LinkedIn Corporationa | $ | 401,870 | |||||
| 3,650 | MasterCard, Inc. | 1,793,172 | ||||||
| 7,200 | Nuance Communications, Inc.a | 160,704 | ||||||
| 23,900 | QUALCOMM, Inc. | 1,482,278 | ||||||
| 4,200 | Rackspace Hosting, Inc.a | 311,934 | ||||||
| 6,700 | Red Hat, Inc.a | 354,832 | ||||||
| 3,800 | Salesforce.com, Inc.a | 638,780 | ||||||
| 182 | Samsung Electronics Company, Ltd. | 261,498 | ||||||
| 5,300 | Tencent Holdings, Ltd.a | 173,823 | ||||||
| 5,200 | Trimble Navigation, Ltd.a | 310,856 | ||||||
| 2,380 | Twitter, Inc.a,c,d | 30,321 | ||||||
| 8,100 | Visa, Inc. | 1,227,798 | ||||||
|
| |||||||
| Total | 20,051,575 | |||||||
|
| |||||||
| Materials (2.4%) | |||||||
| 5,200 | Ecolab, Inc. | 373,880 | ||||||
| 9,100 | Praxair, Inc. | 995,995 | ||||||
|
| |||||||
| Total | 1,369,875 | |||||||
|
| |||||||
| Telecommunications Services (3.0%) | |||||||
| 24,000 | Crown Castle International Corporationa | 1,731,840 | ||||||
|
| |||||||
| Total | 1,731,840 | |||||||
|
| |||||||
| Total Common Stock (cost $35,265,423) | 56,766,996 | |||||||
|
| |||||||
Preferred Stock (0.2%) | ||||||||
| Information Technology (0.2%) | |||||||
| 4,432 | LivingSocial.com Convertiblea,c,d | 7,889 | ||||||
| 6 | Twitter, Inc., Convertible, Series Aa,c,d | 76 | ||||||
| 96 | Twitter, Inc., Convertible, Series Ba,c,d | 1,223 | ||||||
| 1,615 | Twitter, Inc., Convertible, Series B, Restricteda,c,d | 20,575 | ||||||
| 25 | Twitter, Inc., Convertible, Series Ca,c,d | 318 | ||||||
| 438 | Twitter, Inc., Convertible, Series C, Restricteda,c,d | 5,580 | ||||||
| 913 | Twitter, Inc., Convertible, Series Da,c,d | 11,632 | ||||||
| 292 | Twitter, Inc., Convertible, Series Fa,c,d | 3,720 | ||||||
| 3,855 | Twitter, Inc., Convertible, Series G-2a,c,d | 49,113 | ||||||
|
| |||||||
| Total | 100,126 | |||||||
|
| |||||||
| Total Preferred Stock (cost $150,381) | 100,126 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.5%) | ||||||||
| 304,150 | Thrivent Cash Management Trust | 304,150 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $304,150) | 304,150 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (2.2%) | |||||||
| 1,259,587 | Thrivent Cash Management Trust | $ | 1,259,587 | |||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 1,259,587 | |||||||
|
| |||||||
| Total Investments (cost $36,979,541) 100.8% | $ | 58,430,859 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (0.8%) | (450,481 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 57,980,378 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Partner Growth Stock Portfolio owned as of December 31, 2012. |
Security | Acquisition Date | Cost | ||||||
LivingSocial.com Convertible | 11/18/2011 | $ | 34,082 | |||||
Twitter, Inc. | 9/13/2011 | 38,303 | ||||||
Twitter, Inc., Convertible, Series A | 9/13/2011 | 97 | ||||||
Twitter, Inc., Convertible, Series B | 9/13/2011 | 1,545 | ||||||
Twitter, Inc., Convertible, Series B, Restricted | 3/30/2012 | 25,840 | ||||||
Twitter, Inc., Convertible, Series C | 9/13/2011 | 402 | ||||||
Twitter, Inc., Convertible, Series C, Restricted | 3/30/2012 | 7,008 | ||||||
Twitter, Inc., Convertible, Series D | 9/13/2011 | 14,694 | ||||||
Twitter, Inc., Convertible, Series F | 3/30/2012 | 4,672 | ||||||
Twitter, Inc., Convertible, Series G-2 | 7/28/2011 | 62,041 | ||||||
| d | Security is fair valued. |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 21,614,451 | ||
Gross unrealized depreciation | (307,234 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 21,307,217 | ||
Cost for federal income tax purposes | $ | 37,123,642 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
214
Partner Growth Stock Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Partner Growth Stock Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 12,141,486 | 11,612,642 | 528,844 | — | ||||||||||||
Consumer Staples | 3,096,204 | 2,415,975 | 680,229 | — | ||||||||||||
Energy | 2,425,394 | 2,425,394 | — | — | ||||||||||||
Financials | 3,422,110 | 3,422,110 | — | — | ||||||||||||
Health Care | 5,450,286 | 5,112,237 | 338,049 | — | ||||||||||||
Industrials | 7,078,226 | 7,078,226 | — | — | ||||||||||||
Information Technology | 20,051,575 | 19,585,933 | 435,321 | 30,321 | ||||||||||||
Materials | 1,369,875 | 1,369,875 | — | — | ||||||||||||
Telecommunications Services | 1,731,840 | 1,731,840 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Information Technology | 100,126 | — | — | 100,126 | ||||||||||||
Collateral Held for Securities Loaned | 304,150 | 304,150 | — | — | ||||||||||||
Short-Term Investments | 1,259,587 | 1,259,587 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 58,430,859 | $ | 56,317,969 | $ | 1,982,443 | $ | 130,447 | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Partner Growth Stock Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | 1,521 | ||||
Total Foreign Exchange Contracts | 1,521 | |||||
|
| |||||
Total | $ | 1,521 | ||||
|
| |||||
The following table presents Partner Growth Stock Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 12,015 | <0.1 | % | ||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Partner Growth Stock Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 1,659,825 | $ | 5,846,718 | $ | 7,202,393 | 304,150 | $ | 304,150 | $ | 28,578 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 3,469,776 | 2,210,189 | 1,259,587 | 1,259,587 | 224 | ||||||||||||||||||
Total Value and Income Earned | 1,659,825 | 1,563,737 | 28,802 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
215
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (97.0%) | Value | ||||||
| Consumer Discretionary (10.2%) |
| ||||||
| 162,450 | CBS Corporation | $ | 6,181,223 | |||||
| 425,440 | Delphi Automotive plca | 16,273,080 | ||||||
| 80,400 | Harley-Davidson, Inc. | 3,926,736 | ||||||
| 101,390 | iShares Dow Jones US Home Construction Index Fund | 2,145,412 | ||||||
| 736,440 | Lowe’s Companies, Inc. | 26,158,349 | ||||||
| 594,450 | News Corporation | 15,598,368 | ||||||
| 170,210 | Time Warner Cable, Inc. | 16,542,710 | ||||||
|
| |||||||
| Total | 86,825,878 | |||||||
|
| |||||||
| Consumer Staples (8.8%) | |||||||
| 402,120 | CVS Caremark Corporation | 19,442,502 | ||||||
| 69,920 | Diageo plc ADR | 8,151,274 | ||||||
| 106,800 | Kimberly-Clark Corporation | 9,017,124 | ||||||
| 157,717 | Kraft Foods Group, Inc. | 7,171,392 | ||||||
| 473,152 | Mondelez International, Inc. | 12,051,181 | ||||||
| 119,949 | Philip Morris International, Inc. | 10,032,534 | ||||||
| 244,930 | Unilever NV ADRb | 9,380,819 | ||||||
|
| |||||||
| Total | 75,246,826 | |||||||
|
| |||||||
| Energy (11.1%) | |||||||
| 524,090 | BP plc ADR | 21,823,108 | ||||||
| 139,535 | Chevron Corporation | 15,089,315 | ||||||
| 103,479 | EOG Resources, Inc. | 12,499,228 | ||||||
| 253,650 | EQT Corporation | 14,960,277 | ||||||
| 776,891 | Marathon Oil Corporation | 23,819,478 | ||||||
| 92,160 | Schlumberger, Ltd. | 6,385,766 | ||||||
|
| |||||||
| Total | 94,577,172 | |||||||
|
| |||||||
| Financials (21.8%) | |||||||
| 175,200 | ACE, Ltd. | 13,980,960 | ||||||
| 214,230 | Allstate Corporation | 8,605,619 | ||||||
| 2,303,600 | Bank of America Corporation | 26,721,760 | ||||||
| 119,520 | Capital One Financial Corporation | 6,923,794 | ||||||
| 858,810 | Citigroup, Inc. | 33,974,524 | ||||||
| 544,080 | Invesco, Ltd. | 14,195,047 | ||||||
| 734,400 | KKR & Company, LP | 11,184,912 | ||||||
| 679,920 | MetLife, Inc. | 22,396,565 | ||||||
| 430,910 | State Street Corporation | 20,257,079 | ||||||
| 142,169 | SVB Financial Groupa | 7,957,199 | ||||||
| 574,940 | Wells Fargo & Company | 19,651,449 | ||||||
|
| |||||||
| Total | 185,848,908 | |||||||
|
| |||||||
| Health Care (13.9%) | |||||||
| 177,920 | Baxter International, Inc. | 11,860,147 | ||||||
| 303,270 | Covidien plc | 17,510,810 | ||||||
| 574,800 | Merck & Company, Inc. | 23,532,312 | ||||||
| 1,169,855 | Pfizer, Inc. | 29,339,964 | ||||||
| 413,880 | Sanofi ADR | 19,609,634 | ||||||
| 307,307 | UnitedHealth Group, Inc. | 16,668,332 | ||||||
|
| |||||||
| Total | 118,521,199 | |||||||
|
| |||||||
| Industrials (10.2%) | |||||||
| 90,360 | FedEx Corporation | 8,287,819 | ||||||
| 292,280 | General Electric Company | 6,134,957 | ||||||
| 197,010 | Honeywell International, Inc. | 12,504,225 | ||||||
| 389,100 | Jacobs Engineering Group, Inc.a | 16,563,987 | ||||||
| 174,390 | Pentair, Ltd. | 8,571,268 | ||||||
| 85,770 | SPX Corporation | 6,016,766 | ||||||
| 352,624 | United Technologies Corporation | 28,918,694 | ||||||
|
| |||||||
| Total | 86,997,716 | |||||||
|
| |||||||
| Information Technology (12.5%) | |||||||
| 978,650 | Microsoft Corporation | 26,159,315 | ||||||
| 349,070 | NetApp, Inc.a | 11,711,298 | ||||||
| 1,044,770 | Oracle Corporation | 34,811,736 | ||||||
| 653,800 | Texas Instruments, Inc. | 20,228,572 | ||||||
| 383,250 | Xilinx, Inc. | 13,758,675 | ||||||
|
| |||||||
| Total | 106,669,596 | |||||||
|
| |||||||
| Materials (2.1%) | |||||||
| 273,490 | Dow Chemical Company | 8,839,197 | ||||||
| 203,480 | Nucor Corporation | 8,786,266 | ||||||
|
| |||||||
| Total | 17,625,463 | |||||||
|
| |||||||
| Telecommunications Services (1.7%) | |||||||
| 336,734 | Verizon Communications, Inc. | 14,570,480 | ||||||
|
| |||||||
| Total | 14,570,480 | |||||||
|
| |||||||
| Utilities (4.7%) | |||||||
| 642,490 | NiSource, Inc. | 15,991,576 | ||||||
| 595,220 | PG&E Corporation | 23,915,940 | ||||||
|
| |||||||
| Total | 39,907,516 | |||||||
|
| |||||||
| Total Common Stock (cost $721,903,398) | 826,790,754 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (1.1%) | ||||||||
| 9,489,875 | Thrivent Cash Management Trust | 9,489,875 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $9,489,875) | 9,489,875 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (2.9%) | |||||||
| 25,134,925 | Thrivent Cash Management Trust | 25,134,925 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 25,134,925 | |||||||
|
| |||||||
| Total Investments (cost $756,528,198) 101.0% | $ | 861,415,554 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (1.0%) | (8,772,678 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 852,642,876 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 112,256,087 | ||
Gross unrealized depreciation | (7,918,480 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 104,337,607 | ||
Cost for federal income tax purposes | $ | 757,077,947 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
216
Large Cap Value Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Large Cap Value Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 86,825,878 | 86,825,878 | — | — | ||||||||||||
Consumer Staples | 75,246,826 | 75,246,826 | — | — | ||||||||||||
Energy | 94,577,172 | 94,577,172 | — | — | ||||||||||||
Financials | 185,848,908 | 185,848,908 | — | — | ||||||||||||
Health Care | 118,521,199 | 118,521,199 | — | — | ||||||||||||
Industrials | 86,997,716 | 86,997,716 | — | — | ||||||||||||
Information Technology | 106,669,596 | 106,669,596 | — | — | ||||||||||||
Materials | 17,625,463 | 17,625,463 | — | — | ||||||||||||
Telecommunications Services | 14,570,480 | 14,570,480 | — | — | ||||||||||||
Utilities | 39,907,516 | 39,907,516 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 9,489,875 | 9,489,875 | — | — | ||||||||||||
Short-Term Investments | 25,134,925 | 25,134,925 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 861,415,554 | $ | 861,415,554 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Large Cap Value Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 6,250,075 | $ | 138,792,749 | $ | 135,552,949 | 9,489,875 | $ | 9,489,875 | $ | 29,284 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 50,893,494 | 25,758,569 | 25,134,925 | 25,134,925 | 6,059 | ||||||||||||||||||
Total Value and Income Earned | 6,250,075 | 34,624,800 | 35,343 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
217
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (88.6%) | Value | ||||||
| Consumer Discretionary (13.5%) |
| ||||||
| 26,550 | Amazon.com, Inc.a | $ | 6,667,767 | |||||
| 55,100 | AutoZone, Inc.a | 19,529,093 | ||||||
| 350,900 | Comcast Corporation | 13,116,642 | ||||||
| 218,900 | Home Depot, Inc. | 13,538,965 | ||||||
| 216,975 | Las Vegas Sands Corporation | 10,015,566 | ||||||
| 222,600 | Sally Beauty Holdings, Inc.a | 5,246,682 | ||||||
| 163,000 | Time Warner Cable, Inc. | 15,841,970 | ||||||
|
| |||||||
| Total | 83,956,685 | |||||||
|
| |||||||
| Consumer Staples (5.2%) | |||||||
| 112,838 | Anheuser-Busch InBev NV ADR | 9,863,169 | ||||||
| 229,200 | Kimberly-Clark Corporation | 19,351,356 | ||||||
| 50,100 | Nestle SA | 3,268,698 | ||||||
|
| |||||||
| Total | 32,483,223 | |||||||
|
| |||||||
| Energy (8.8%) | |||||||
| 375,691 | BP plc ADR | 15,643,773 | ||||||
| 470,200 | Marathon Oil Corporation | 14,416,332 | ||||||
| 123,860 | Schlumberger, Ltd. | 8,582,260 | ||||||
| 1,453,800 | Weatherford International, Ltd.a | 16,268,022 | ||||||
|
| |||||||
| Total | 54,910,387 | |||||||
|
| |||||||
| Financials (13.7%) | |||||||
| 84,100 | ACE, Ltd. | 6,711,180 | ||||||
| 597,150 | Citigroup, Inc. | 23,623,254 | ||||||
| 604,924 | J.P. Morgan Chase & Company | 26,598,508 | ||||||
| 858,329 | KKR & Company, LP | 13,072,351 | ||||||
| 443,380 | Wells Fargo & Company | 15,154,728 | ||||||
|
| |||||||
| Total | 85,160,021 | |||||||
|
| |||||||
| Health Care (14.2%) | |||||||
| 78,220 | Baxter International, Inc. | 5,214,145 | ||||||
| 63,100 | Biogen Idec, Inc.a | 9,254,877 | ||||||
| 65,510 | Covidien plc | 3,782,547 | ||||||
| 55,000 | Express Scripts Holding Companya | 2,970,000 | ||||||
| 463,960 | Merck & Company, Inc. | 18,994,523 | ||||||
| 1,103,185 | Pfizer, Inc. | 27,667,880 | ||||||
| 92,200 | Shire Pharmaceuticals Group plc ADR | 8,498,996 | ||||||
| 219,830 | UnitedHealth Group, Inc. | 11,923,579 | ||||||
|
| |||||||
| Total | 88,306,547 | |||||||
|
| |||||||
| Industrials (11.5%) | |||||||
| 26,800 | ADT Corporation | 1,245,932 | ||||||
| 143,400 | FedEx Corporation | 13,152,648 | ||||||
| 209,840 | Honeywell International, Inc. | 13,318,545 | ||||||
| 226,650 | Jacobs Engineering Group, Inc.a | 9,648,491 | ||||||
| 87,820 | Parker Hannifin Corporation | 7,469,969 | ||||||
| 12,860 | Pentair, Ltd. | 632,069 | ||||||
| 53,600 | Tyco International, Ltd. | 1,567,800 | ||||||
| 300,030 | United Technologies Corporation | 24,605,460 | ||||||
|
| |||||||
| Total | 71,640,914 | |||||||
|
| |||||||
| Information Technology (17.4%) | |||||||
| 59,924 | Apple, Inc.b | 31,941,290 | ||||||
| 117,900 | Citrix Systems, Inc.a | 7,751,925 | ||||||
| 70,800 | eBay, Inc.a | 3,612,216 | ||||||
| 20,721 | Google, Inc.a | 14,698,856 | ||||||
| 243,100 | NetApp, Inc.a | 8,156,005 | ||||||
| 444,560 | Oracle Corporation | 14,812,739 | ||||||
| 118,550 | QUALCOMM, Inc. | 7,352,471 | ||||||
| 539,830 | Texas Instruments, Inc. | 16,702,340 | ||||||
| 95,570 | Xilinx, Inc. | 3,430,963 | ||||||
|
| |||||||
| Total | 108,458,805 | |||||||
|
| |||||||
| Materials (1.3%) | |||||||
| 232,265 | Freeport-McMoRan Copper & Gold, Inc. | 7,943,463 | ||||||
|
| |||||||
| Total | 7,943,463 | |||||||
|
| |||||||
| Utilities (3.0%) | |||||||
| 745,280 | NiSource, Inc. | 18,550,019 | ||||||
|
| |||||||
| Total | 18,550,019 | |||||||
|
| |||||||
Total Common Stock (cost $507,520,387) | 551,410,064 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (11.1%) | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 2,500,000 | 0.080%, 1/16/2013b,c | 2,499,917 | ||||||
| 66,760,615 | Thrivent Cash Management Trust | 66,760,615 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 69,260,532 | |||||||
|
| |||||||
| Total Investments (cost $576,780,919) 99.7% | $ | 620,670,596 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 0.3% | 1,862,286 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 622,532,882 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | At December 31, 2012, $3,032,947 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 52,026,237 | ||
Gross unrealized depreciation | (10,543,850 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 41,482,387 | ||
Cost for federal income tax purposes | $ | 579,188,209 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
218
Large Cap Stock Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Large Cap Stock Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 83,956,685 | 83,956,685 | — | — | ||||||||||||
Consumer Staples | 32,483,223 | 29,214,525 | 3,268,698 | — | ||||||||||||
Energy | 54,910,387 | 54,910,387 | — | — | ||||||||||||
Financials | 85,160,021 | 85,160,021 | — | — | ||||||||||||
Health Care | 88,306,547 | 88,306,547 | — | — | ||||||||||||
Industrials | 71,640,914 | 71,640,914 | — | — | ||||||||||||
Information Technology | 108,458,805 | 108,458,805 | — | — | ||||||||||||
Materials | 7,943,463 | 7,943,463 | — | — | ||||||||||||
Utilities | 18,550,019 | 18,550,019 | — | — | ||||||||||||
Short-Term Investments | 69,260,532 | 66,760,615 | 2,499,917 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 620,670,596 | $ | 614,901,981 | $ | 5,768,615 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives | 692,328 | 692,328 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 692,328 | $ | 692,328 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Index Futures | 130 | March 2013 | $ | 46,845,578 | $ | 46,153,250 | ($ | 692,328 | ) | |||||||||||
Total Futures Contracts | ($ | 692,328 | ) | |||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2012, for Large Cap Stock Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 692,328 | ||||
Total Equity Contracts | 692,328 | |||||
|
| |||||
Total Liability Derivatives | $ | 692,328 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
219
Large Cap Stock Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Large Cap Stock Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Options Written | Net realized gains/(losses) on Written option contracts | (50,431 | ) | |||
Futures | Net realized gains/(losses) on Futures contracts | 2,590,567 | ||||
Total Equity Contracts | 2,540,136 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | 25,779 | ||||
Total Foreign Exchange Contracts | 25,779 | |||||
|
| |||||
Total | $ | 2,565,915 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2012, for Large Cap Stock Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Options Written | Change in net unrealized appreciation/(depreciation) on Written option contracts | 7,050 | ||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (733,130 | ) | |||
Total Equity Contracts | (726,080 | ) | ||||
|
| |||||
Total | ($ | 726,080 | ) | |||
|
| |||||
The following table presents Large Cap Stock Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | Options (Contracts) | |||||||||||||||
Equity Contracts | $ | 22,250,788 | 3.7 | % | N/A | N/A | 6 | |||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 19,123 | <0.1 | % | N/A | |||||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Large Cap Stock Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 1,256,975 | $ | 33,408,770 | $ | 34,665,745 | — | $ | — | $ | 13,333 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 79,804,914 | 13,044,299 | 66,760,615 | 66,760,615 | 13,584 | ||||||||||||||||||
Total Value and Income Earned | 1,256,975 | 66,760,615 | 26,917 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
220
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (99.2%) | Value | ||||||
| Consumer Discretionary (11.6%) | ||||||||
| 2,000 | Abercrombie & Fitch Company | $ | 95,940 | |||||
| 8,500 | Amazon.com, Inc.a | 2,134,690 | ||||||
| 2,400 | Apollo Group, Inc.a | 50,208 | ||||||
| 1,000 | AutoNation, Inc.a | 39,700 | ||||||
| 900 | AutoZone, Inc.a | 318,987 | ||||||
| 5,500 | Bed Bath & Beyond, Inc.a | 307,505 | ||||||
| 6,325 | Best Buy Company, Inc. | 74,951 | ||||||
| 1,400 | Big Lots, Inc.a | 39,844 | ||||||
| 2,700 | BorgWarner, Inc.a | 193,374 | ||||||
| 5,100 | Cablevision Systems Corporation | 76,194 | ||||||
| 5,400 | CarMax, Inc.a | 202,716 | ||||||
| 10,500 | Carnival Corporation | 386,085 | ||||||
| 13,972 | CBS Corporation | 531,635 | ||||||
| 800 | Chipotle Mexican Grill, Inc.a | 237,968 | ||||||
| 6,700 | Coach, Inc. | 371,917 | ||||||
| 62,815 | Comcast Corporation | 2,348,025 | ||||||
| 6,500 | D.R. Horton, Inc. | 128,570 | ||||||
| 3,050 | Darden Restaurants, Inc. | 137,464 | ||||||
| 6,700 | Delphi Automotive plca | 256,275 | ||||||
| 14,700 | DIRECTVa | 737,352 | ||||||
| 5,900 | Discovery Communications, Inc.a | 374,532 | ||||||
| 6,300 | Dollar General Corporationa | 277,767 | ||||||
| 5,500 | Dollar Tree, Inc.a | 223,080 | ||||||
| 2,250 | Expedia, Inc. | 138,263 | ||||||
| 2,300 | Family Dollar Stores, Inc. | 145,843 | ||||||
| 89,511 | Ford Motor Company | 1,159,167 | ||||||
| 1,300 | Fossil, Inc.a | 121,030 | ||||||
| 5,500 | Gannett Company, Inc. | 99,055 | ||||||
| 6,962 | Gap, Inc. | 216,100 | ||||||
| 2,600 | Garmin, Ltd. | 106,132 | ||||||
| 3,600 | Genuine Parts Company | 228,888 | ||||||
| 5,700 | Goodyear Tire & Rubber Companya | 78,717 | ||||||
| 6,400 | H&R Block, Inc. | 118,848 | ||||||
| 5,400 | Harley-Davidson, Inc. | 263,736 | ||||||
| 1,600 | Harman International Industries, Inc. | 71,424 | ||||||
| 2,750 | Hasbro, Inc.b | 98,725 | ||||||
| 35,400 | Home Depot, Inc. | 2,189,490 | ||||||
| 6,300 | International Game Technology | 89,271 | ||||||
| 10,267 | Interpublic Group of Companies, Inc. | 113,142 | ||||||
| 3,400 | J.C. Penney Company, Inc.b | 67,014 | ||||||
| 16,100 | Johnson Controls, Inc. | 494,270 | ||||||
| 5,100 | Kohl’s Corporation | 219,198 | ||||||
| 3,300 | Leggett & Platt, Inc. | 89,826 | ||||||
| 3,900 | Lennar Corporation | 150,813 | ||||||
| 5,604 | Limited Brands, Inc. | 263,724 | ||||||
| 26,800 | Lowe’s Companies, Inc. | 951,936 | ||||||
| 9,468 | Macy’s, Inc. | 369,441 | ||||||
| 6,006 | Marriott International, Inc. | 223,844 | ||||||
| 8,050 | Mattel, Inc. | 294,791 | ||||||
| 23,700 | McDonald’s Corporation | 2,090,577 | ||||||
| 6,600 | McGraw-Hill Companies, Inc. | 360,822 | ||||||
| 1,400 | Netflix, Inc.a | 129,892 | ||||||
| 6,773 | Newell Rubbermaid, Inc. | 150,835 | ||||||
| 47,800 | News Corporation | 1,220,812 | ||||||
| 17,200 | NIKE, Inc. | 887,520 | ||||||
| 3,600 | Nordstrom, Inc. | 192,600 | ||||||
| 6,300 | Omnicom Group, Inc. | 314,748 | ||||||
| 2,800 | O’Reilly Automotive, Inc.a | 250,376 | ||||||
| 2,600 | PetSmart, Inc. | 177,684 | ||||||
| 1,200 | Priceline.com, Inc.a | 745,440 | ||||||
| 7,892 | Pulte Group, Inc.a | 143,319 | ||||||
| 1,500 | Ralph Lauren Corporation | 224,880 | ||||||
| 5,300 | Ross Stores, Inc. | 286,995 | ||||||
| 2,100 | Scripps Networks Interactive | 121,632 | ||||||
| 2,000 | Sherwin-Williams Company | 307,640 | ||||||
| 1,400 | Snap-On, Inc. | 110,586 | ||||||
| 15,975 | Staples, Inc.b | 182,115 | ||||||
| 17,800 | Starbucks Corporation | 954,436 | ||||||
| 4,700 | Starwood Hotels & Resorts Worldwide, Inc. | 269,592 | ||||||
| 15,400 | Target Corporation | 911,218 | ||||||
| 2,800 | Tiffany & Company | 160,552 | ||||||
| 7,158 | Time Warner Cable, Inc. | 695,686 | ||||||
| 22,250 | Time Warner, Inc. | 1,064,217 | ||||||
| 17,300 | TJX Companies, Inc. | 734,385 | ||||||
| 2,650 | TripAdvisor, Inc.a | 111,194 | ||||||
| 2,600 | Urban Outfitters, Inc.a | 102,336 | ||||||
| 2,100 | VF Corporation | 317,037 | ||||||
| 11,072 | Viacom, Inc. | 583,937 | ||||||
| 42,147 | Walt Disney Company | 2,098,499 | ||||||
| 70 | Washington Post Company | 25,565 | ||||||
| 1,857 | Whirlpool Corporation | 188,950 | ||||||
| 3,372 | Wyndham Worldwide Corporation | 179,424 | ||||||
| 1,900 | Wynn Resorts, Ltd. | 213,731 | ||||||
| 10,680 | Yum! Brands, Inc. | 709,152 | ||||||
|
| |||||||
| Total | 35,125,851 | |||||||
|
| |||||||
| Consumer Staples (10.5%) | ||||||||
| 47,700 | Altria Group, Inc. | 1,498,734 | ||||||
| 15,468 | Archer-Daniels-Midland Company | 423,669 | ||||||
| 10,100 | Avon Products, Inc. | 145,036 | ||||||
| 3,800 | Beam, Inc. | 232,142 | ||||||
| 3,637 | Brown-Forman Corporation | 230,040 | ||||||
| 4,300 | Campbell Soup Company | 150,027 | ||||||
| 3,100 | Clorox Company | 226,982 | ||||||
| 90,900 | Coca-Cola Company | 3,295,125 | ||||||
| 6,600 | Coca-Cola Enterprises, Inc. | 209,418 | ||||||
| 10,500 | Colgate-Palmolive Company | 1,097,670 | ||||||
| 9,500 | ConAgra Foods, Inc. | 280,250 | ||||||
| 3,500 | Constellation Brands, Inc.a | 123,865 | ||||||
| 10,200 | Costco Wholesale Corporation | 1,007,454 | ||||||
| 29,844 | CVS Caremark Corporation | 1,442,957 | ||||||
| 4,400 | Dean Foods Companya | 72,644 | ||||||
| 4,900 | Dr. Pepper Snapple Group, Inc. | 216,482 | ||||||
| 5,700 | Estee Lauder Companies, Inc. | 341,202 | ||||||
| 15,200 | General Mills, Inc. | 614,232 | ||||||
| 7,600 | H.J. Heinz Company | 438,368 | ||||||
| 3,600 | Hershey Company | 259,992 | ||||||
| 3,200 | Hormel Foods Corporation | 99,872 | ||||||
| 2,651 | J.M. Smucker Company | 228,622 | ||||||
| 5,800 | Kellogg Company | 323,930 | ||||||
| 9,292 | Kimberly-Clark Corporation | 784,524 | ||||||
| 13,917 | Kraft Foods Group, Inc. | 632,806 | ||||||
| 12,300 | Kroger Company | 320,046 | ||||||
| 3,100 | Lorillard, Inc. | 361,677 | ||||||
| 3,200 | McCormick & Company, Inc. | 203,296 | ||||||
| 4,828 | Mead Johnson Nutrition Company | 318,117 | ||||||
| 3,700 | Molson Coors Brewing Company | 158,323 | ||||||
| 41,652 | Mondelez International, Inc. | 1,060,876 | ||||||
| 3,700 | Monster Beverage Corporationa | 195,656 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
221
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (99.2%) | Value | ||||||
| Consumer Staples (10.5%) - continued | ||||||||
| 36,530 | PepsiCo, Inc. | $ | 2,499,748 | |||||
| 39,600 | Philip Morris International, Inc. | 3,312,144 | ||||||
| 64,738 | Procter & Gamble Company | 4,395,063 | ||||||
| 7,700 | Reynolds American, Inc. | 319,011 | ||||||
| 5,700 | Safeway, Inc.b | 103,113 | ||||||
| 13,800 | Sysco Corporation | 436,908 | ||||||
| 6,800 | Tyson Foods, Inc. | 131,920 | ||||||
| 20,100 | Walgreen Company | 743,901 | ||||||
| 39,500 | Wal-Mart Stores, Inc. | 2,695,085 | ||||||
| 4,100 | Whole Foods Market, Inc. | 374,453 | ||||||
|
| |||||||
| Total | 32,005,380 | |||||||
|
| |||||||
| Energy (10.9%) | ||||||||
| 11,772 | Anadarko Petroleum Corporation | 874,777 | ||||||
| 9,220 | Apache Corporation | 723,770 | ||||||
| 10,283 | Baker Hughes, Inc. | 419,958 | ||||||
| 4,900 | Cabot Oil & Gas Corporation | 243,726 | ||||||
| 5,800 | Cameron International Corporationa | 327,468 | ||||||
| 12,200 | Chesapeake Energy Corporationb | 202,764 | ||||||
| 46,096 | Chevron Corporation | 4,984,821 | ||||||
| 28,549 | ConocoPhillips | 1,655,557 | ||||||
| 5,300 | Consol Energy, Inc. | 170,130 | ||||||
| 9,200 | Denbury Resources, Inc.a | 149,040 | ||||||
| 8,800 | Devon Energy Corporation | 457,952 | ||||||
| 1,700 | Diamond Offshore Drilling, Inc. | 115,532 | ||||||
| 5,500 | Ensco plc | 326,040 | ||||||
| 6,300 | EOG Resources, Inc. | 760,977 | ||||||
| 3,600 | EQT Corporation | 212,328 | ||||||
| 108,390 | Exxon Mobil Corporation | 9,381,154 | ||||||
| 5,600 | FMC Technologies, Inc.a | 239,848 | ||||||
| 21,800 | Halliburton Company | 756,242 | ||||||
| 2,500 | Helmerich & Payne, Inc. | 140,025 | ||||||
| 7,000 | Hess Corporation | 370,720 | ||||||
| 14,900 | Kinder Morgan, Inc. | 526,417 | ||||||
| 16,568 | Marathon Oil Corporation | 507,975 | ||||||
| 7,984 | Marathon Petroleum Corporation | 502,992 | ||||||
| 4,400 | Murphy Oil Corporation | 262,020 | ||||||
| 6,800 | Nabors Industries, Ltd.a | 98,260 | ||||||
| 10,000 | National Oilwell Varco, Inc. | 683,500 | ||||||
| 3,200 | Newfield Exploration Companya | 85,696 | ||||||
| 5,900 | Noble Corporation | 205,438 | ||||||
| 4,200 | Noble Energy, Inc. | 427,308 | ||||||
| 19,000 | Occidental Petroleum Corporation | 1,455,590 | ||||||
| 6,300 | Peabody Energy Corporation | 167,643 | ||||||
| 14,724 | Phillips 66 | 781,844 | ||||||
| 2,900 | Pioneer Natural Resources Company | 309,111 | ||||||
| 4,200 | QEP Resources, Inc. | 127,134 | ||||||
| 3,800 | Range Resources Corporation | 238,754 | ||||||
| 3,000 | Rowan Companies plca | 93,810 | ||||||
| 31,194 | Schlumberger, Ltd. | 2,161,432 | ||||||
| 8,200 | Southwestern Energy Companya | 273,962 | ||||||
| 15,304 | Spectra Energy Corporation | 419,024 | ||||||
| 3,300 | Tesoro Corporation | 145,365 | ||||||
| 12,900 | Valero Energy Corporation | 440,148 | ||||||
| 15,800 | Williams Companies, Inc. | 517,292 | ||||||
| 4,700 | WPX Energy, Inc.a | 69,936 | ||||||
|
| |||||||
| Total | 33,013,480 | |||||||
|
| |||||||
| Financials (15.4%) | ||||||||
| 8,000 | ACE, Ltd. | 638,400 | ||||||
| 11,000 | Aflac, Inc. | 584,320 | ||||||
| 11,382 | Allstate Corporation | 457,215 | ||||||
| 23,200 | American Express Company | 1,333,536 | ||||||
| 34,267 | American International Group, Inc.a | 1,209,625 | ||||||
| 9,300 | American Tower Corporation | 718,611 | ||||||
| 5,000 | Ameriprise Financial, Inc. | 313,150 | ||||||
| 7,525 | Aon plc | 418,390 | ||||||
| 3,436 | Apartment Investment & Management Company | 92,978 | ||||||
| 2,000 | Assurant, Inc. | 69,400 | ||||||
| 2,701 | AvalonBay Communities, Inc. | 366,229 | ||||||
| 253,210 | Bank of America Corporation | 2,937,236 | ||||||
| 27,752 | Bank of New York Mellon Corporation | 713,226 | ||||||
| 16,400 | BB&T Corporation | 477,404 | ||||||
| 43,069 | Berkshire Hathaway, Inc.a | 3,863,289 | ||||||
| 3,100 | BlackRock, Inc. | 640,801 | ||||||
| 3,600 | Boston Properties, Inc. | 380,916 | ||||||
| 13,673 | Capital One Financial Corporation | 792,077 | ||||||
| 7,100 | CBRE Group, Inc.a | 141,290 | ||||||
| 25,725 | Charles Schwab Corporation | 369,411 | ||||||
| 6,200 | Chubb Corporation | 466,984 | ||||||
| 3,438 | Cincinnati Financial Corporation | 134,632 | ||||||
| 68,893 | Citigroup, Inc. | 2,725,407 | ||||||
| 7,200 | CME Group, Inc. | 365,112 | ||||||
| 4,550 | Comerica, Inc. | 138,047 | ||||||
| 12,125 | Discover Financial Services | 467,419 | ||||||
| 6,110 | E*TRADE Financial Corporationa | 54,684 | ||||||
| 7,700 | Equity Residential | 436,359 | ||||||
| 21,594 | Fifth Third Bancorp | 328,013 | ||||||
| 5,881 | First Horizon National Corporation | 58,281 | ||||||
| 3,300 | Franklin Resources, Inc. | 414,810 | ||||||
| 11,500 | Genworth Financial, Inc.a | 86,365 | ||||||
| 10,600 | Goldman Sachs Group, Inc. | 1,352,136 | ||||||
| 10,200 | Hartford Financial Services Group, Inc. | 228,888 | ||||||
| 10,600 | HCP, Inc. | 478,908 | ||||||
| 6,000 | Health Care REIT, Inc. | 367,740 | ||||||
| 16,941 | Host Hotels & Resorts, Inc. | 265,465 | ||||||
| 11,200 | Hudson City Bancorp, Inc. | 91,056 | ||||||
| 20,171 | Huntington Bancshares, Inc. | 128,893 | ||||||
| 1,800 | IntercontinentalExchange, Inc.a | 222,858 | ||||||
| 10,500 | Invesco, Ltd. | 273,945 | ||||||
| 89,248 | J.P. Morgan Chase & Company | 3,924,235 | ||||||
| 22,200 | KeyCorp | 186,924 | ||||||
| 9,600 | Kimco Realty Corporation | 185,472 | ||||||
| 2,900 | Legg Mason, Inc. | 74,588 | ||||||
| 4,700 | Leucadia National Corporation | 111,813 | ||||||
| 6,594 | Lincoln National Corporation | 170,785 | ||||||
| 7,300 | Loews Corporation | 297,475 | ||||||
| 2,900 | M&T Bank Corporationb | 285,563 | ||||||
| 12,800 | Marsh & McLennan Companies, Inc. | 441,216 | ||||||
| 24,932 | MetLife, Inc. | 821,260 | ||||||
| 4,600 | Moody’s Corporation | 231,472 | ||||||
| 32,450 | Morgan Stanley | 620,444 | ||||||
| 2,800 | NASDAQ OMX Group, Inc. | 70,028 | ||||||
| 5,200 | Northern Trust Corporation | 260,832 | ||||||
| 5,800 | NYSE Euronext | 182,932 | ||||||
| 8,200 | People’s United Financial, Inc. | 99,138 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
222
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (99.2%) | Value | ||||||
| Financials (15.4%) - continued | ||||||||
| 3,800 | Plum Creek Timber Company, Inc. | $ | 168,606 | |||||
| 12,414 | PNC Financial Services Group, Inc. | 723,860 | ||||||
| 6,600 | Principal Financial Group, Inc. | 188,232 | ||||||
| 13,200 | Progressive Corporation | 278,520 | ||||||
| 10,796 | Prologis, Inc. | 393,946 | ||||||
| 10,900 | Prudential Financial, Inc. | 581,297 | ||||||
| 3,400 | Public Storage, Inc. | 492,864 | ||||||
| 33,177 | Regions Financial Corporation | 236,220 | ||||||
| 7,144 | Simon Property Group, Inc. | 1,129,395 | ||||||
| 11,000 | SLM Corporation | 188,430 | ||||||
| 11,300 | State Street Corporation | 531,213 | ||||||
| 12,600 | SunTrust Banks, Inc. | 357,210 | ||||||
| 5,968 | T. Rowe Price Group, Inc. | 388,696 | ||||||
| 2,300 | Torchmark Corporation | 118,841 | ||||||
| 9,081 | Travelers Companies, Inc. | 652,197 | ||||||
| 44,485 | U.S. Bancorp | 1,420,851 | ||||||
| 6,624 | Unum Group | 137,912 | ||||||
| 7,000 | Ventas, Inc. | 453,040 | ||||||
| 3,997 | Vornado Realty Trust | 320,080 | ||||||
| 115,340 | Wells Fargo & Company | 3,942,321 | ||||||
| 12,582 | Weyerhaeuser Company REIT | 350,031 | ||||||
| 7,200 | XL Group plc | 180,432 | ||||||
| 4,400 | Zions Bancorporation | 94,160 | ||||||
|
| |||||||
| Total | 46,896,037 | |||||||
|
| |||||||
| Health Care (11.8%) | ||||||||
| 36,900 | Abbott Laboratories | 2,416,950 | ||||||
| 7,896 | Aetna, Inc. | 365,585 | ||||||
| 4,600 | Alexion Pharmaceuticals, Inc.a | 431,526 | ||||||
| 7,200 | Allergan, Inc. | 660,456 | ||||||
| 5,700 | AmerisourceBergen Corporation | 246,126 | ||||||
| 18,140 | Amgen, Inc. | 1,565,845 | ||||||
| 12,900 | Baxter International, Inc. | 859,914 | ||||||
| 4,700 | Becton, Dickinson and Company | 367,493 | ||||||
| 5,600 | Biogen Idec, Inc.a | 821,352 | ||||||
| 33,350 | Boston Scientific Corporationa | 191,096 | ||||||
| 39,398 | Bristol-Myers Squibb Company | 1,283,981 | ||||||
| 1,900 | C.R. Bard, Inc. | 185,706 | ||||||
| 7,975 | Cardinal Health, Inc. | 328,411 | ||||||
| 5,287 | CareFusion Corporationa | 151,102 | ||||||
| 10,100 | Celgene Corporationa | 795,072 | ||||||
| 3,500 | Cerner Corporationa | 271,740 | ||||||
| 6,800 | CIGNA Corporation | 363,528 | ||||||
| 3,200 | Coventry Health Care, Inc. | 143,456 | ||||||
| 11,300 | Covidien plc | 652,462 | ||||||
| 2,000 | DaVita, Inc.a | 221,060 | ||||||
| 3,400 | DENTSPLY International, Inc. | 134,674 | ||||||
| 2,800 | Edwards Lifesciences Corporationa | 252,476 | ||||||
| 24,000 | Eli Lilly and Company | 1,183,680 | ||||||
| 19,045 | Express Scripts Holding Companya | 1,028,430 | ||||||
| 5,500 | Forest Laboratories, Inc.a | 194,260 | ||||||
| 17,800 | Gilead Sciences, Inc.a | 1,307,410 | ||||||
| 3,880 | Hospira, Inc.a | 121,211 | ||||||
| 3,800 | Humana, Inc. | 260,794 | ||||||
| 1,000 | Intuitive Surgical, Inc.a | 490,370 | ||||||
| 66,140 | Johnson & Johnson | 4,636,414 | ||||||
| 2,300 | Laboratory Corporation of America Holdingsa | 199,226 | ||||||
| 4,143 | Life Technologies Corporationa | 203,338 | ||||||
| 5,542 | McKesson Corporation | 537,352 | ||||||
| 24,000 | Medtronic, Inc. | 984,480 | ||||||
| 71,483 | Merck & Company, Inc. | 2,926,514 | ||||||
| 9,500 | Mylan, Inc.a | 261,060 | ||||||
| 2,000 | Patterson Companies, Inc. | 68,460 | ||||||
| 2,700 | PerkinElmer, Inc. | 85,698 | ||||||
| 2,100 | Perrigo Company | 218,463 | ||||||
| 175,360 | Pfizer, Inc. | 4,398,029 | ||||||
| 3,800 | Quest Diagnostics, Inc. | 221,426 | ||||||
| 7,384 | St. Jude Medical, Inc. | 266,858 | ||||||
| 6,800 | Stryker Corporation | 372,776 | ||||||
| 2,475 | Tenet Healthcare Corporationa | 80,363 | ||||||
| 8,600 | Thermo Fisher Scientific, Inc. | 548,508 | ||||||
| 24,300 | UnitedHealth Group, Inc. | 1,318,032 | ||||||
| 2,600 | Varian Medical Systems, Inc.a | 182,624 | ||||||
| 2,100 | Waters Corporationa | 182,952 | ||||||
| 3,000 | Watson Pharmaceuticals, Inc.a | 258,000 | ||||||
| 7,300 | WellPoint, Inc. | 444,716 | ||||||
| 4,150 | Zimmer Holdings, Inc. | 276,639 | ||||||
|
| |||||||
| Total | 35,968,094 | |||||||
|
| |||||||
| Industrials (10.0%) | ||||||||
| 14,900 | 3M Company | 1,383,465 | ||||||
| 5,500 | ADT Corporation | 255,695 | ||||||
| 2,400 | Avery Dennison Corporation | 83,808 | ||||||
| 15,860 | Boeing Company | 1,195,210 | ||||||
| 3,800 | C.H. Robinson Worldwide, Inc. | 240,236 | ||||||
| 15,300 | Caterpillar, Inc. | 1,370,574 | ||||||
| 2,600 | Cintas Corporation | 106,340 | ||||||
| 24,400 | CSX Corporation | 481,412 | ||||||
| 4,200 | Cummins, Inc. | 455,070 | ||||||
| 13,700 | Danaher Corporation | 765,830 | ||||||
| 9,200 | Deere & Company | 795,064 | ||||||
| 4,300 | Dover Corporation | 282,553 | ||||||
| 1,100 | Dun & Bradstreet Corporation | 86,515 | ||||||
| 10,844 | Eaton Corporation plc | 587,745 | ||||||
| 17,100 | Emerson Electric Company | 905,616 | ||||||
| 2,900 | Equifax, Inc. | 156,948 | ||||||
| 4,900 | Expeditors International of Washington, Inc. | 193,795 | ||||||
| 6,400 | Fastenal Company | 298,816 | ||||||
| 6,960 | FedEx Corporation | 638,371 | ||||||
| 1,500 | First Solar, Inc.a,b | 46,320 | ||||||
| 1,300 | Flowserve Corporation | 190,840 | ||||||
| 4,000 | Fluor Corporation | 234,960 | ||||||
| 7,800 | General Dynamics Corporation | 540,306 | ||||||
| 247,800 | General Electric Company | 5,201,322 | ||||||
| 18,375 | Honeywell International, Inc. | 1,166,261 | ||||||
| 10,100 | Illinois Tool Works, Inc. | 614,181 | ||||||
| 6,800 | Ingersoll-Rand plc | 326,128 | ||||||
| 4,119 | Iron Mountain, Inc. | 127,895 | ||||||
| 3,100 | Jacobs Engineering Group, Inc.a | 131,967 | ||||||
| 2,500 | Joy Global, Inc. | 159,450 | ||||||
| 2,300 | L-3 Communications Holdings, Inc. | 176,226 | ||||||
| 6,400 | Lockheed Martin Corporation | 590,656 | ||||||
| 8,400 | Masco Corporation | 139,944 | ||||||
| 7,600 | Norfolk Southern Corporation | 469,984 | ||||||
| 5,798 | Northrop Grumman Corporation | 391,829 | ||||||
| 8,337 | PACCAR, Inc. | 376,916 | ||||||
| 2,800 | Pall Corporation | 168,728 | ||||||
| 3,575 | Parker Hannifin Corporation | 304,089 | ||||||
| 4,899 | Pentair, Ltd. | 240,786 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
223
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (99.2%) | Value | ||||||
| Industrials (10.0%) - continued | ||||||||
| 4,700 | Pitney Bowes, Inc.b | $ | 50,008 | |||||
| 3,500 | Precision Castparts Corporation | 662,970 | ||||||
| 5,100 | Quanta Services, Inc.a | 139,179 | ||||||
| 7,800 | Raytheon Company | 448,968 | ||||||
| 7,120 | Republic Services, Inc. | 208,830 | ||||||
| 3,400 | Robert Half International, Inc. | 108,188 | ||||||
| 3,400 | Rockwell Automation, Inc. | 285,566 | ||||||
| 3,400 | Rockwell Collins, Inc. | 197,778 | ||||||
| 2,300 | Roper Industries, Inc. | 256,404 | ||||||
| 1,300 | Ryder System, Inc. | 64,909 | ||||||
| 17,400 | Southwest Airlines Company | 178,176 | ||||||
| 3,900 | Stanley Black & Decker, Inc. | 288,483 | ||||||
| 2,100 | Stericycle, Inc.a | 195,867 | ||||||
| 6,600 | Textron, Inc. | 163,614 | ||||||
| 10,800 | Tyco International, Ltd. | 315,900 | ||||||
| 11,100 | Union Pacific Corporation | 1,395,492 | ||||||
| 16,900 | United Parcel Service, Inc. | 1,246,037 | ||||||
| 19,700 | United Technologies Corporation | 1,615,597 | ||||||
| 1,500 | W.W. Grainger, Inc. | 303,555 | ||||||
| 10,199 | Waste Management, Inc. | 344,114 | ||||||
| 4,400 | Xylem, Inc. | 119,240 | ||||||
|
| |||||||
| Total | 30,470,726 | |||||||
|
| |||||||
| Information Technology (19.0%) | ||||||||
| 14,900 | Accenture plc | 990,850 | ||||||
| 11,500 | Adobe Systems, Inc.a | 433,320 | ||||||
| 14,100 | Advanced Micro Devices, Inc.a,b | 33,840 | ||||||
| 8,215 | Agilent Technologies, Inc. | 336,322 | ||||||
| 4,200 | Akamai Technologies, Inc.a | 171,822 | ||||||
| 7,600 | Altera Corporation | 261,744 | ||||||
| 3,800 | Amphenol Corporation | 245,860 | ||||||
| 7,000 | Analog Devices, Inc. | 294,420 | ||||||
| 22,300 | Apple, Inc.c | 11,886,569 | ||||||
| 29,100 | Applied Materials, Inc. | 332,904 | ||||||
| 5,300 | Autodesk, Inc.a | 187,355 | ||||||
| 11,400 | Automatic Data Processing, Inc. | 649,914 | ||||||
| 3,500 | BMC Software, Inc.a | 138,810 | ||||||
| 12,100 | Broadcom Corporationa | 401,841 | ||||||
| 8,012 | CA, Inc. | 176,104 | ||||||
| 124,200 | Cisco Systems, Inc. | 2,440,530 | ||||||
| 4,400 | Citrix Systems, Inc.a | 289,300 | ||||||
| 7,100 | Cognizant Technology Solutions Corporationa | 525,755 | ||||||
| 3,600 | Computer Sciences Corporation | 144,180 | ||||||
| 35,000 | Corning, Inc. | 441,700 | ||||||
| 34,200 | Dell, Inc. | 346,446 | ||||||
| 27,200 | eBay, Inc.a | 1,387,744 | ||||||
| 7,500 | Electronic Arts, Inc.a | 108,975 | ||||||
| 49,286 | EMC Corporationa | 1,246,936 | ||||||
| 1,900 | F5 Networks, Inc.a | 184,585 | ||||||
| 5,900 | Fidelity National Information Services, Inc. | 205,379 | ||||||
| 3,200 | Fiserv, Inc.a | 252,896 | ||||||
| 3,500 | FLIR Systems, Inc. | 78,085 | ||||||
| 2,900 | GameStop Corporationb | 72,761 | ||||||
| 6,300 | Google, Inc.a | 4,469,031 | ||||||
| 2,700 | Harris Corporation | 132,192 | ||||||
| 46,186 | Hewlett-Packard Company | 658,150 | ||||||
| 117,500 | Intel Corporation | 2,424,025 | ||||||
| 25,200 | International Business Machines Corporation | 4,827,060 | ||||||
| 6,500 | Intuit, Inc. | 386,750 | ||||||
| 4,400 | Jabil Circuit, Inc. | 84,876 | ||||||
| 5,462 | JDS Uniphase Corporationa | 73,955 | ||||||
| 12,400 | Juniper Networks, Inc.a | 243,908 | ||||||
| 4,000 | KLA-Tencor Corporation | 191,040 | ||||||
| 4,200 | Lam Research Corporationa | 151,746 | ||||||
| 5,500 | Linear Technology Corporation | 188,650 | ||||||
| 13,100 | LSI Corporationa | 92,748 | ||||||
| 2,600 | MasterCard, Inc. | 1,277,328 | ||||||
| 4,500 | Microchip Technology, Inc. | 146,655 | ||||||
| 23,900 | Micron Technology, Inc.a | 151,765 | ||||||
| 179,900 | Microsoft Corporation | 4,808,727 | ||||||
| 3,300 | Molex, Inc. | 90,189 | ||||||
| 6,755 | Motorola Solutions, Inc. | 376,118 | ||||||
| 8,500 | NetApp, Inc.a | 285,175 | ||||||
| 14,550 | NVIDIA Corporation | 178,820 | ||||||
| 89,437 | Oracle Corporation | 2,980,041 | ||||||
| 7,600 | Paychex, Inc. | 236,664 | ||||||
| 40,000 | QUALCOMM, Inc. | 2,480,800 | ||||||
| 4,500 | Red Hat, Inc.a | 238,320 | ||||||
| 6,700 | SAIC, Inc. | 75,844 | ||||||
| 3,100 | Salesforce.com, Inc.a | 521,110 | ||||||
| 5,700 | SanDisk Corporationa | 248,292 | ||||||
| 8,400 | Seagate Technology plc | 256,032 | ||||||
| 16,524 | Symantec Corporationa | 310,816 | ||||||
| 10,100 | TE Connectivity, Ltd. | 374,912 | ||||||
| 4,000 | Teradata Corporationa | 247,560 | ||||||
| 4,400 | Teradyne, Inc.a | 74,316 | ||||||
| 26,700 | Texas Instruments, Inc. | 826,098 | ||||||
| 3,800 | Total System Services, Inc. | 81,396 | ||||||
| 3,700 | VeriSign, Inc.a | 143,634 | ||||||
| 12,300 | Visa, Inc. | 1,864,434 | ||||||
| 5,300 | Western Digital Corporation | 225,197 | ||||||
| 14,180 | Western Union Company | 192,990 | ||||||
| 30,685 | Xerox Corporation | 209,272 | ||||||
| 6,200 | Xilinx, Inc. | 222,580 | ||||||
| 24,500 | Yahoo!, Inc.a | 487,550 | ||||||
|
| |||||||
| Total | 57,803,713 | |||||||
|
| |||||||
| Materials (3.5%) | ||||||||
| 5,000 | Air Products and Chemicals, Inc. | 420,100 | ||||||
| 1,700 | Airgas, Inc. | 155,193 | ||||||
| 25,064 | Alcoa, Inc. | 217,555 | ||||||
| 2,569 | Allegheny Technologies, Inc. | 77,995 | ||||||
| 3,700 | Ball Corporation | 165,575 | ||||||
| 2,500 | Bemis Company, Inc. | 83,650 | ||||||
| 1,500 | CF Industries Holdings, Inc. | 304,740 | ||||||
| 3,400 | Cliffs Natural Resources, Inc.b | 131,104 | ||||||
| 28,193 | Dow Chemical Company | 911,198 | ||||||
| 21,811 | E.I. du Pont de Nemours and Company | 980,841 | ||||||
| 3,600 | Eastman Chemical Company | 244,980 | ||||||
| 6,200 | Ecolab, Inc. | 445,780 | ||||||
| 3,300 | FMC Corporation | 193,116 | ||||||
| 22,292 | Freeport-McMoRan Copper & Gold, Inc. | 762,386 | ||||||
| 2,000 | International Flavors & Fragrances, Inc. | 133,080 | ||||||
| 10,271 | International Paper Company | 409,197 | ||||||
| 9,000 | LyondellBasell Industries NV | 513,810 | ||||||
| 4,081 | MeadWestvaco Corporation | 130,061 | ||||||
| 12,578 | Monsanto Company | 1,190,508 | ||||||
| 6,500 | Mosaic Company | 368,095 | ||||||
| 11,648 | Newmont Mining Corporation | 540,933 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
224
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (99.2%) | Value | ||||||
| Materials (3.5%) - continued |
| ||||||
| 7,500 | Nucor Corporation | $ | 323,850 | |||||
| 3,900 | Owens-Illinois, Inc.a | 82,953 | ||||||
| 3,600 | PPG Industries, Inc. | 487,260 | ||||||
| 7,000 | Praxair, Inc. | 766,150 | ||||||
| 4,552 | Sealed Air Corporation | 79,706 | ||||||
| 2,900 | Sigma-Aldrich Corporation | 213,382 | ||||||
| 3,400 | United States Steel Corporationb | 81,158 | ||||||
| 3,100 | Vulcan Materials Company | 161,355 | ||||||
|
| |||||||
| Total | 10,575,711 | |||||||
|
| |||||||
| Telecommunications Services (3.1%) | ||||||||
| 135,439 | AT&T, Inc. | 4,565,649 | ||||||
| 14,625 | CenturyLink, Inc. | 572,130 | ||||||
| 6,900 | Crown Castle International Corporationa | 497,904 | ||||||
| 23,478 | Frontier Communications Corporationb | 100,486 | ||||||
| 7,500 | MetroPCS Communications, Inc.a | 74,550 | ||||||
| 70,420 | Sprint Nextel Corporationa | 399,281 | ||||||
| 66,896 | Verizon Communications, Inc. | 2,894,590 | ||||||
| 13,807 | Windstream Corporationb | 114,322 | ||||||
|
| |||||||
| Total | 9,218,912 | |||||||
|
| |||||||
| Utilities (3.4%) | ||||||||
| 14,600 | AES Corporation | 156,220 | ||||||
| 2,805 | AGL Resources, Inc. | 112,116 | ||||||
| 5,700 | Ameren Corporation | 175,104 | ||||||
| 11,360 | American Electric Power Company, Inc. | 484,845 | ||||||
| 10,073 | CenterPoint Energy, Inc. | 193,905 | ||||||
| 6,300 | CMS Energy Corporation | 153,594 | ||||||
| 6,900 | Consolidated Edison, Inc. | 383,226 | ||||||
| 13,494 | Dominion Resources, Inc. | 698,989 | ||||||
| 4,100 | DTE Energy Company | 246,205 | ||||||
| 16,502 | Duke Energy Corporation | 1,052,828 | ||||||
| 7,600 | Edison International, Inc. | 343,444 | ||||||
| 4,200 | Entergy Corporation | 267,750 | ||||||
| 20,074 | Exelon Corporation | 597,001 | ||||||
| 9,834 | FirstEnergy Corporation | 410,668 | ||||||
| 1,915 | Integrys Energy Group, Inc. | 100,001 | ||||||
| 10,000 | NextEra Energy, Inc. | 691,900 | ||||||
| 7,409 | NiSource, Inc. | 184,410 | ||||||
| 7,400 | Northeast Utilities | 289,192 | ||||||
| 7,700 | NRG Energy, Inc. | 177,023 | ||||||
| 4,900 | ONEOK, Inc. | 209,475 | ||||||
| 5,400 | Pepco Holdings, Inc. | 105,894 | ||||||
| 10,000 | PG&E Corporation | 401,800 | ||||||
| 2,600 | Pinnacle West Capital Corporation | 132,548 | ||||||
| 13,600 | PPL Corporation | 389,368 | ||||||
| 11,900 | Public Service Enterprise Group, Inc. | 364,140 | ||||||
| 3,100 | SCANA Corporation | 141,484 | ||||||
| 5,275 | Sempra Energy | 374,208 | ||||||
| 20,500 | Southern Company | 877,605 | ||||||
| 4,800 | TECO Energy, Inc. | 80,448 | ||||||
| 5,500 | Wisconsin Energy Corporation | 202,675 | ||||||
| 11,405 | Xcel Energy, Inc. | 304,628 | ||||||
|
| |||||||
| Total | 10,302,694 | |||||||
|
| |||||||
| Total Common Stock (cost $235,565,679) | 301,380,598 | |||||||
|
| |||||||
| Shares | Collateral Held for Securities Loaned (0.5%) | Value | ||||||
| 1,526,426 | Thrivent Cash Management Trust | $ | 1,526,426 | |||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $1,526,426) | 1,526,426 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (0.7%) | Value | ||||||
| 2,166,703 | Thrivent Cash Management Trust | 2,166,703 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 2,166,703 | |||||||
|
| |||||||
| Total Investments (cost $239,258,808) 100.4% | $ | 305,073,727 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (0.4%) | (1,105,286 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 303,968,441 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | At December 31, 2012, $1,066,060 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
| REIT - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
|
| |||
Gross unrealized appreciation | $ | 75,273,283 | ||
Gross unrealized depreciation | (29,581,064 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 45,692,219 | ||
Cost for federal income tax purposes | $ | 259,381,508 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
225
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Large Cap Index Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 35,125,851 | 35,125,851 | — | — | ||||||||||||
Consumer Staples | 32,005,380 | 32,005,380 | — | — | ||||||||||||
Energy | 33,013,480 | 33,013,480 | — | — | ||||||||||||
Financials | 46,896,037 | 46,896,037 | — | — | ||||||||||||
Health Care | 35,968,094 | 35,968,094 | — | — | ||||||||||||
Industrials | 30,470,726 | 30,470,726 | — | — | ||||||||||||
Information Technology | 57,803,713 | 57,803,713 | — | — | ||||||||||||
Materials | 10,575,711 | 10,575,711 | — | — | ||||||||||||
Telecommunications Services | 9,218,912 | 9,218,912 | — | — | ||||||||||||
Utilities | 10,302,694 | 10,302,694 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 1,526,426 | 1,526,426 | — | — | ||||||||||||
Short-Term Investments | 2,166,703 | 2,166,703 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 305,073,727 | $ | 305,073,727 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 22,482 | 22,482 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 22,482 | $ | 22,482 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Index Futures | 6 | March 2013 | $ | 2,152,632 | $ | 2,130,150 | ($ | 22,482 | ) | |||||||||||
Total Futures Contracts | ($ | 22,482 | ) | |||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2012, for Large Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 22,482 | ||||
Total Equity Contracts | 22,482 | |||||
|
| |||||
Total Liability Derivatives | $ | 22,482 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
226
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Large Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 813,706 | ||||
Total Equity Contracts | 813,706 | |||||
|
| |||||
Total | $ | 813,706 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2012, for Large Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (203,771 | ) | |||
Total Equity Contracts | (203,771 | ) | ||||
|
| |||||
Total | ($ | 203,771 | ) | |||
|
| |||||
The following table presents Large Cap Index Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 4,291,820 | 1.4 | % | ||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Large Cap Index Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 1,237,026 | $ | 25,493,345 | $ | 25,203,945 | 1,526,426 | $ | 1,526,426 | $ | 22,426 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 9,822,633 | 7,655,930 | 2,166,703 | 2,166,703 | 1,148 | ||||||||||||||||||
Total Value and Income Earned | 1,237,026 | 3,693,129 | 23,574 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
227
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (93.5%) | Value | ||||||
| Consumer Discretionary (8.4%) | ||||||||
| 3,300 | Advance Auto Parts, Inc. | $ | 238,755 | |||||
| 13,000 | Apollo Group, Inc.a | 271,960 | ||||||
| 12,400 | Comcast Corporation | 463,512 | ||||||
| 4,800 | DIRECTVa | 240,768 | ||||||
| 21,400 | Ford Motor Company | 277,130 | ||||||
| 6,700 | Hanesbrands, Inc.a | 239,994 | ||||||
| 17,600 | Home Depot, Inc. | 1,088,560 | ||||||
| 6,900 | Kohl’s Corporation | 296,562 | ||||||
| 6,800 | Lowe’s Companies, Inc. | 241,536 | ||||||
| 12,300 | Macy’s, Inc. | 479,946 | ||||||
| 6,100 | McDonald’s Corporation | 538,081 | ||||||
| 500 | Priceline.com, Inc.a | 310,600 | ||||||
| 16,700 | Reed Elsevier NV ADR | 493,986 | ||||||
| 12,100 | Ross Stores, Inc. | 655,215 | ||||||
| 2,500 | Sherwin-Williams Company | 384,550 | ||||||
| 6,200 | Target Corporation | 366,854 | ||||||
| 23,400 | Thomson Reuters Corporation | 680,004 | ||||||
| 18,500 | TJX Companies, Inc. | 785,325 | ||||||
| 5,500 | Toyota Motor Corporation ADR | 512,875 | ||||||
|
| |||||||
| Total | 8,566,213 | |||||||
|
| |||||||
| Consumer Staples (9.4%) | ||||||||
| 4,100 | Anheuser-Busch InBev NV ADR | 358,381 | ||||||
| 1,300 | British American Tobacco plc ADR | 131,625 | ||||||
| 5,850 | Brown-Forman Corporation | 370,012 | ||||||
| 9,100 | Campbell Soup Companyb | 317,499 | ||||||
| 36,200 | Coca-Cola Company | 1,312,250 | ||||||
| 6,700 | Colgate-Palmolive Company | 700,418 | ||||||
| 7,000 | Companhia de Bebidas das Americas ADR | 293,930 | ||||||
| 11,000 | Constellation Brands, Inc.a | 389,290 | ||||||
| 4,900 | Energizer Holdings, Inc. | 391,902 | ||||||
| 9,600 | General Mills, Inc. | 387,936 | ||||||
| 4,300 | Kellogg Company | 240,155 | ||||||
| 2,000 | Lorillard, Inc. | 233,340 | ||||||
| 10,500 | Molson Coors Brewing Company | 449,295 | ||||||
| 27,300 | Mondelez International, Inc. | 695,331 | ||||||
| 4,900 | PepsiCo, Inc. | 335,307 | ||||||
| 9,100 | Post Holdings, Inc.a | 311,675 | ||||||
| 11,900 | Prestige Brands Holdings, Inc.a | 238,357 | ||||||
| 5,500 | Reynolds American, Inc. | 227,865 | ||||||
| 6,100 | Spectrum Brands Holdings, Inc.a | 274,073 | ||||||
| 8,700 | Unilever NV ADRb | 333,210 | ||||||
| 9,000 | Unilever plc ADR | 348,480 | ||||||
| 4,800 | Universal Corporation | 239,568 | ||||||
| 6,800 | Walgreen Company | 251,668 | ||||||
| 11,100 | Wal-Mart Stores, Inc. | 757,353 | ||||||
|
| |||||||
| Total | 9,588,920 | |||||||
|
| |||||||
| Energy (11.3%) | ||||||||
| 7,000 | BP plc ADR | 291,480 | ||||||
| 11,500 | C&J Energy Services, Inc.a,b | 246,560 | ||||||
| 6,100 | Canadian Natural Resources, Ltd. | 176,107 | ||||||
| 11,200 | Chevron Corporation | 1,211,168 | ||||||
| 2,800 | China Petroleum & Chemical Corporation | 321,776 | ||||||
| 1,000 | CNOOC, Ltd. ADR | 220,000 | ||||||
| 17,800 | ConocoPhillips | 1,032,222 | ||||||
| 3,500 | Diamond Offshore Drilling, Inc. | 237,860 | ||||||
| 4,700 | Ecopetrol SA ADRb | 280,449 | ||||||
| 25,300 | Exxon Mobil Corporation | 2,189,715 | ||||||
| 6,500 | Golar LNG, Ltd. | 239,070 | ||||||
| 5,600 | HollyFrontier Corporation | 260,680 | ||||||
| 4,600 | Imperial Oil, Ltd. | 197,800 | ||||||
| 29,300 | Kinder Morgan, Inc. | 1,035,169 | ||||||
| 7,200 | Marathon Petroleum Corporation | 453,600 | ||||||
| 4,800 | PetroChina Company, Ltd. ADRb | 690,144 | ||||||
| 15,500 | Petroleo Brasileiro SA ADR | 301,785 | ||||||
| 14,500 | Phillips 66 | 769,950 | ||||||
| 4,153 | Royal Dutch Shell plc ADR, Class A | 286,349 | ||||||
| 7,500 | Royal Dutch Shell plc ADR, Class B | 531,675 | ||||||
| 7,700 | Suncor Energy, Inc. ADR | 253,946 | ||||||
| 6,700 | Total SA ADR | 348,467 | ||||||
|
| |||||||
| Total | 11,575,972 | |||||||
|
| |||||||
| Financials (24.1%) | ||||||||
| 17,900 | Aflac, Inc. | 950,848 | ||||||
| 1,000 | Alexandria Real Estate Equities, Inc. | 69,320 | ||||||
| 9,000 | American Express Company | 517,320 | ||||||
| 11,200 | American Tower Corporation | 865,424 | ||||||
| 16,800 | Annaly Capital Management, Inc. | 235,872 | ||||||
| 2,200 | Apartment Investment & Management Company | 59,532 | ||||||
| 14,300 | Assurant, Inc. | 496,210 | ||||||
| 1,200 | AvalonBay Communities, Inc. | 162,708 | ||||||
| 37,882 | Banco Bilbao Vizcaya Argentaria SA ADRb | 356,848 | ||||||
| 38,500 | Bank of America Corporation | 446,600 | ||||||
| 3,900 | Bank of Montreal | 239,070 | ||||||
| 2,800 | BioMed Realty Trust, Inc. | 54,124 | ||||||
| 1,900 | Boston Properties, Inc. | 201,039 | ||||||
| 1,300 | BRE Properties, Inc. | 66,079 | ||||||
| 1,200 | Camden Property Trust | 81,852 | ||||||
| 3,800 | Canadian Imperial Bank Of Commerce | 306,318 | ||||||
| 4,200 | Capital One Financial Corporation | 243,306 | ||||||
| 35,200 | CapitalSource, Inc. | 266,816 | ||||||
| 2,700 | CBL & Associates Properties, Inc. | 57,267 | ||||||
| 23,300 | CBOE Holdings, Inc. | 686,418 | ||||||
| 1,900 | CommonWealth REIT | 30,096 | ||||||
| 1,700 | Corporate Office Properties Trust | 42,466 | ||||||
| 4,500 | DDR Corporation | 70,470 | ||||||
| 3,600 | DiamondRock Hospitality Company | 32,400 | ||||||
| 1,400 | Digital Realty Trust, Inc. | 95,046 | ||||||
| 4,200 | Duke Realty Corporation | 58,254 | ||||||
| 800 | Equity Lifestyle Properties, Inc. | 53,832 | ||||||
| 8,200 | Equity Residential | 464,694 | ||||||
| 500 | Essex Property Trust, Inc. | 73,325 | ||||||
| 900 | Federal Realty Investment Trust | 93,618 | ||||||
| 6,400 | General Growth Properties, Inc. | 127,040 | ||||||
| 3,800 | Goldman Sachs Group, Inc. | 484,728 | ||||||
| 5,200 | HCP, Inc. | 234,936 | ||||||
| 2,600 | Health Care REIT, Inc. | 159,354 | ||||||
| 1,500 | Highwoods Properties, Inc. | 50,175 | ||||||
| 900 | Home Properties, Inc. | 55,179 | ||||||
| 2,300 | Hospitality Properties Trust | 53,866 | ||||||
| 9,400 | Host Hotels & Resorts, Inc. | 147,298 | ||||||
| 7,600 | HSBC Holdings plc ADR | 403,332 | ||||||
| 33,500 | iShares S&P U.S. Preferred Stock Index Fund | 1,327,270 | ||||||
| 17,100 | Itau Unibanco Holding SA ADR | 281,466 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
228
Equity Income Plus Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (93.5%) | Value | ||||||
| Financials (24.1%) - continued | ||||||||
| 30,700 | J.P. Morgan Chase & Company | $ | 1,349,879 | |||||
| 1,100 | Kilroy Realty Corporation | 52,107 | ||||||
| 5,800 | Kimco Realty Corporation | 112,056 | ||||||
| 1,600 | LaSalle Hotel Properties | 40,624 | ||||||
| 1,900 | Liberty Property Trust | 67,963 | ||||||
| 1,900 | Macerich Company | 110,770 | ||||||
| 1,800 | Mack-Cali Realty Corporation | 46,998 | ||||||
| 17,700 | Manulife Financial Corporation | 240,543 | ||||||
| 10,700 | Marsh & McLennan Companies, Inc. | 368,829 | ||||||
| 58,600 | Mitsubishi UFJ Financial Group, Inc. ADR | 317,612 | ||||||
| 48,400 | New York Community Bancorp, Inc.b | 634,040 | ||||||
| 2,000 | Omega Healthcare Investors, Inc. | 47,700 | ||||||
| 3,100 | Piedmont Office Realty Trust, Inc. | 55,955 | ||||||
| 2,500 | Plum Creek Timber Company, Inc. | 110,925 | ||||||
| 12,200 | Popular, Inc.a | 253,638 | ||||||
| 47,100 | PowerShares Preferred Portfolio | 691,428 | ||||||
| 28,700 | Progressive Corporation | 605,570 | ||||||
| 5,978 | Prologis, Inc. | 218,137 | ||||||
| 12,800 | Prudential plc ADRb | 365,440 | ||||||
| 4,400 | Public Storage, Inc. | 637,824 | ||||||
| 1,800 | Rayonier, Inc. REIT | 93,294 | ||||||
| 2,100 | Realty Income Corporation | 84,441 | ||||||
| 1,500 | Regency Centers Corporation | 70,680 | ||||||
| 1,800 | RLJ Lodging Trust | 34,866 | ||||||
| 22,200 | Royal Bank of Scotland Group plc ADRa,b | 239,538 | ||||||
| 2,700 | Senior Housing Property Trust | 63,828 | ||||||
| 3,600 | Simon Property Group, Inc. | 569,124 | ||||||
| 1,300 | SL Green Realty Corporation | 99,645 | ||||||
| 14,400 | SLM Corporation | 246,672 | ||||||
| 53,170 | SPDR Dow Jones Wilshire International Real Estate ETF | 2,198,580 | ||||||
| 1,000 | Taubman Centers, Inc. | 78,720 | ||||||
| 18,400 | Travelers Companies, Inc. | 1,321,488 | ||||||
| 27,000 | UBS AG ADRa | 424,980 | ||||||
| 3,300 | UDR, Inc. | 78,474 | ||||||
| 16,200 | Vanguard Dividend Appreciation Index Fund ETF | 965,034 | ||||||
| 1,300 | Vanguard REIT ETF | 85,540 | ||||||
| 3,722 | Ventas, Inc. | 240,888 | ||||||
| 2,400 | Vornado Realty Trust | 192,192 | ||||||
| 2,200 | Weingarten Realty Investors | 58,894 | ||||||
| 7,300 | Wells Fargo & Company | 249,514 | ||||||
| 7,200 | Weyerhaeuser Company REIT | 200,304 | ||||||
|
| |||||||
| Total | 24,626,550 | |||||||
|
| |||||||
| Health Care (11.1%) | ||||||||
| 22,300 | Abbott Laboratories | 1,460,650 | ||||||
| 8,900 | Aetna, Inc. | 412,070 | ||||||
| 9,300 | Amgen, Inc. | 802,776 | ||||||
| 26,400 | Bristol-Myers Squibb Company | 860,376 | ||||||
| 17,300 | Eli Lilly and Company | 853,236 | ||||||
| 11,800 | Forest Laboratories, Inc.a | 416,776 | ||||||
| 5,300 | GlaxoSmithKline plc ADR | 230,391 | ||||||
| 11,400 | HealthSouth Corporationa | 240,654 | ||||||
| 5,100 | Johnson & Johnson | 357,510 | ||||||
| 2,900 | Laboratory Corporation of America Holdingsa | 251,198 | ||||||
| 25,900 | Medtronic, Inc. | 1,062,418 | ||||||
| 5,400 | Merck & Company, Inc. | 221,076 | ||||||
| 4,050 | Novartis AG ADR | 256,365 | ||||||
| 900 | Novo Nordisk A/S ADR | 146,889 | ||||||
| 45,500 | PDL BioPharma, Inc.b | 320,775 | ||||||
| 43,200 | Pfizer, Inc. | 1,083,456 | ||||||
| 4,200 | Quest Diagnostics, Inc. | 244,734 | ||||||
| 7,900 | Sanofi ADR | 374,302 | ||||||
| 6,700 | Smith & Nephew plc ADRb | 371,180 | ||||||
| 16,200 | UnitedHealth Group, Inc. | 878,688 | ||||||
| 21,300 | Warner Chilcott plc | 256,452 | ||||||
| 2,700 | Watson Pharmaceuticals, Inc.a | 232,200 | ||||||
|
| |||||||
| Total | 11,334,172 | |||||||
|
| |||||||
| Industrials (6.5%) | ||||||||
| 10,400 | 3M Company | 965,640 | ||||||
| 2,200 | Canadian National Railway Company | 200,222 | ||||||
| 5,900 | Danaher Corporation | 329,810 | ||||||
| 3,400 | Dun & Bradstreet Corporation | 267,410 | ||||||
| 26,900 | GenCorp, Inc.a | 246,135 | ||||||
| 6,000 | Huntington Ingalls Industries, Inc. | 260,040 | ||||||
| 8,200 | Lockheed Martin Corporation | 756,778 | ||||||
| 16,400 | Northrop Grumman Corporation | 1,108,312 | ||||||
| 22,200 | Pitney Bowes, Inc.b | 236,208 | ||||||
| 2,500 | Siemens AG ADR | 273,675 | ||||||
| 3,100 | Union Pacific Corporation | 389,732 | ||||||
| 9,800 | United Parcel Service, Inc. | 722,554 | ||||||
| 18,000 | Verisk Analytics, Inc.a | 918,000 | ||||||
|
| |||||||
| Total | 6,674,516 | |||||||
|
| |||||||
| Information Technology (8.9%) | ||||||||
| 6,900 | Accenture plc | 458,850 | ||||||
| 25,100 | Activision Blizzard, Inc. | 266,562 | ||||||
| 7,600 | AOL, Inc.a | 225,036 | ||||||
| 790 | Apple, Inc. | 421,094 | ||||||
| 8,100 | Avnet, Inc.a | 247,941 | ||||||
| 6,000 | BMC Software, Inc.a | 237,960 | ||||||
| 4,700 | Canon, Inc. ADRb | 184,287 | ||||||
| 9,400 | Comtech Telecommunications Corporation | 238,572 | ||||||
| 9,300 | GameStop Corporationb | 233,337 | ||||||
| 37,100 | Intel Corporation | 765,373 | ||||||
| 6,900 | International Business Machines Corporation | 1,321,695 | ||||||
| 11,500 | j2 Global, Inc.b | 351,670 | ||||||
| 1,900 | MasterCard, Inc. | 933,432 | ||||||
| 61,900 | Microsoft Corporation | 1,654,587 | ||||||
| 7,500 | Oracle Corporation | 249,900 | ||||||
| 4,600 | SAP AG ADRb | 369,748 | ||||||
| 14,200 | Seagate Technology plc | 432,816 | ||||||
| 11,100 | Taiwan Semiconductor Manufacturing Company, Ltd. ADR | 190,476 | ||||||
| 6,700 | Western Digital Corporation | 284,683 | ||||||
|
| |||||||
| Total | 9,068,019 | |||||||
|
| |||||||
| Materials (4.1%) | ||||||||
| 7,500 | BHP Billiton plc ADRb | 527,775 | ||||||
| 6,000 | BHP Billiton, Ltd. ADR | 470,640 | ||||||
| 2,200 | CF Industries Holdings, Inc. | 446,952 | ||||||
| 4,600 | Monsanto Company | 435,390 | ||||||
| 7,500 | PPG Industries, Inc. | 1,015,125 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
229
Equity Income Plus Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (93.5%) | Value | ||||||
| Materials (4.1%) - continued | |||||||
| 8,500 | Rio Tinto plc ADRb | $ | 493,765 | |||||
| 13,800 | Southern Copper Corporation | 522,468 | ||||||
| 12,300 | Vale SA SP ADR | 257,808 | ||||||
|
| |||||||
| Total | 4,169,923 | |||||||
|
| |||||||
| Telecommunications Services (4.9%) | ||||||||
| 11,400 | America Movil SAB de CV ADR | 263,796 | ||||||
| 32,900 | AT&T, Inc. | 1,109,059 | ||||||
| 8,100 | Atlantic Tele-Network, Inc. | 297,351 | ||||||
| 6,400 | CenturyLink, Inc. | 250,368 | ||||||
| 7,700 | China Mobile, Ltd. ADR | 452,144 | ||||||
| 16,200 | NTT DOCOMO, Inc. ADRb | 233,442 | ||||||
| 13,500 | Telefonica SA ADR | 182,115 | ||||||
| 4,300 | TELUS Corporation | 280,102 | ||||||
| 39,800 | Verizon Communications, Inc. | 1,722,146 | ||||||
| 7,800 | Vodafone Group plc ADR | 196,482 | ||||||
|
| |||||||
| Total | 4,987,005 | |||||||
|
| |||||||
| Utilities (4.8%) | ||||||||
| 26,300 | American Electric Power Company, Inc. | 1,122,484 | ||||||
| 12,200 | CenterPoint Energy, Inc. | 234,850 | ||||||
| 13,500 | Consolidated Edison, Inc. | 749,790 | ||||||
| 3,700 | Empresa Nacional de Electricidad SA ADR | 180,597 | ||||||
| 14,100 | PNM Resources, Inc. | 289,191 | ||||||
| 32,000 | Public Service Enterprise Group, Inc. | 979,200 | ||||||
| 24,800 | Southern Company | 1,061,688 | ||||||
| 6,400 | Wisconsin Energy Corporation | 235,840 | ||||||
|
| |||||||
| Total | 4,853,640 | |||||||
|
| |||||||
| Total Common Stock (cost $91,117,596) | 95,444,930 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (4.9%) | |||||||
| Energy (0.4%) | ||||||||
Enbridge Energy Partners, LP | ||||||||
| 350,000 | 8.050%, 10/1/2037 | 397,536 | ||||||
|
| |||||||
| Total | 397,536 | |||||||
|
| |||||||
| Financials (3.7%) | ||||||||
Aegon NV | ||||||||
| 500,000 | 1.867%, 7/29/2049c,d | 290,000 | ||||||
American International Group, Inc. | ||||||||
| 150,000 | 8.175%, 5/15/2058 | 195,375 | ||||||
Bank of America Corporation | ||||||||
| 305,000 | 7.625%, 6/1/2019 | 390,269 | ||||||
BBVA International Preferred SA Unipersonal | ||||||||
| 175,000 | 5.919%, 12/29/2049d | 141,750 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 175,000 | 7.900%, 4/29/2049d | 198,277 | ||||||
Liberty Mutual Group, Inc. | ||||||||
| 350,000 | 10.750%, 6/15/2058e | 521,500 | ||||||
MetLife Capital Trust IV | ||||||||
| 400,000 | 7.875%, 12/15/2037e | 490,000 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 425,000 | 6.750%, 12/15/2065 | 424,469 | ||||||
Wachovia Capital Trust III | ||||||||
| 250,000 | 5.570%, 3/15/2042c,d | 248,750 | ||||||
XL Group plc | ||||||||
| 475,000 | 6.500%, 12/31/2049b,d | 444,125 | ||||||
ZFS Finance USA Trust II | ||||||||
| 400,000 | 6.450%, 12/15/2065e | 428,000 | ||||||
|
| |||||||
| Total | 3,772,515 | |||||||
|
| |||||||
| Utilities (0.8%) | ||||||||
Enterprise Products Operating, LLC | ||||||||
| 425,000 | 7.034%, 1/15/2068 | 486,625 | ||||||
Southern California Edison Company | ||||||||
| 315,000 | 6.250%, 8/1/2049d | 341,999 | ||||||
|
| |||||||
| Total | 828,624 | |||||||
|
| |||||||
| Total Long-Term Fixed Income (cost $4,386,199) | 4,998,675 | |||||||
|
| |||||||
| Shares | Preferred Stock (0.5%) | |||||||
| Financials (0.4%) | ||||||||
| 5,000 | Bank of America Corporationd | 127,800 | ||||||
| 2,500 | J.P. Morgan Chase Capital XXIX | 63,875 | ||||||
| 8,000 | U.S. Bancorpd | 229,120 | ||||||
|
| |||||||
| Total | 420,795 | |||||||
|
| |||||||
| Utilities (0.1%) | ||||||||
| 2,870 | Xcel Energy, Inc. | 72,611 | ||||||
|
| |||||||
| Total | 72,611 | |||||||
|
| |||||||
| Total Preferred Stock (cost $461,631) | 493,406 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (6.1%) | ||||||||
| 6,245,979 | Thrivent Cash Management Trust | 6,245,979 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $6,245,979) | 6,245,979 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (0.2%) | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 100,000 | 0.137%, 6/7/2013f,g | 99,940 | ||||||
| 96,842 | Thrivent Cash Management Trust | 96,842 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 196,782 | |||||||
|
| |||||||
| Total Investments (cost $102,408,187) 105.2% | $ | 107,379,772 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (5.2%) | (5,318,838 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 102,060,934 | ||||||
|
| |||||||
| a | Non-income producing security. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
230
Equity Income Plus Portfolio
Schedule of Investments as of December 31, 2012
| b | All or a portion of the security is on loan. |
| c | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2012. |
| d | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| e | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2012, the value of these investments was $1,439,500 or 1.4% of total net assets. |
| f | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| g | At December 31, 2012, $99,940 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
| ADR - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | |||||
REIT - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. | |||||
| ETF - | Exchange Traded Fund. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
|
| |||
Gross unrealized appreciation | $ | 6,844,212 | ||
Gross unrealized depreciation | (1,996,913 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 4,847,299 | ||
Cost for federal income tax purposes | $ | 102,532,473 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Equity Income Plus Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 8,566,213 | 8,566,213 | — | — | ||||||||||||
Consumer Staples | 9,588,920 | 9,588,920 | — | — | ||||||||||||
Energy | 11,575,972 | 11,575,972 | — | — | ||||||||||||
Financials | 24,626,550 | 24,626,550 | — | — | ||||||||||||
Health Care | 11,334,172 | 11,334,172 | — | — | ||||||||||||
Industrials | 6,674,516 | 6,674,516 | — | — | ||||||||||||
Information Technology | 9,068,019 | 9,068,019 | — | — | ||||||||||||
Materials | 4,169,923 | 4,169,923 | — | — | ||||||||||||
Telecommunications Services | 4,987,005 | 4,987,005 | — | — | ||||||||||||
Utilities | 4,853,640 | 4,853,640 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Energy | 397,536 | — | 397,536 | — | ||||||||||||
Financials | 3,772,515 | — | 3,772,515 | — | ||||||||||||
Utilities | 828,624 | — | 828,624 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 420,795 | 420,795 | — | — | ||||||||||||
Utilities | 72,611 | 72,611 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 6,245,979 | 6,245,979 | — | — | ||||||||||||
Short-Term Investments | 196,782 | 96,842 | 99,940 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 107,379,772 | $ | 102,281,157 | $ | 5,098,615 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 6,375 | 6,375 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 6,375 | $ | 6,375 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Index Mini-Futures | 6 | March 2013 | $ | 432,405 | $ | 426,030 | ($ | 6,375 | ) | |||||||||||
Total Futures Contracts | ($ | 6,375 | ) | |||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
231
Equity Income Plus Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2012, for Equity Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||
Liability Derivatives | ||||
Equity Contracts | ||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 6,375 | ||
Total Equity Contracts | 6,375 | |||
| ||||
Total Liability Derivatives | $6,375 | |||
|
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Equity Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/ | ||
Equity Contracts | ||||
Options Written | Net realized gains/(losses) on Written option contracts | (225,240) | ||
Options Purchased | Net realized gains/(losses) on Investments | (127,099) | ||
Futures | Net realized gains/(losses) on Futures contracts | 1,082,370 | ||
Total Equity Contracts | 730,031 | |||
| ||||
Total | $730,031 | |||
|
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2012, for Equity Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized | ||
Equity Contracts | ||||
Options Written | Change in net unrealized appreciation/(depreciation) on Written option contracts | 89,026 | ||
Options Purchased | Change in net unrealized appreciation/(depreciation) on Investments | 99,200 | ||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (181,440) | ||
Total Equity Contracts | 6,786 | |||
| ||||
Total | $6,786 | |||
|
The following table presents Equity Income Plus Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Options (Contracts) | |||||||||
Equity Contracts | $ | 3,751,433 | 3.8 | % | 109 | |||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
232
Equity Income Plus Portfolio
Schedule of Investments as of December 31, 2012
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Equity Income Plus Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | — | $ | 29,682,532 | $ | 23,436,553 | 6,245,979 | $ | 6,245,979 | $ | 33,937 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 1,358,144 | 1,261,302 | 96,842 | 96,842 | 25 | ||||||||||||||||||
Total Value and Income Earned | — | 6,342,821 | 33,962 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
233
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (65.7%) | Value | ||||||
| Consumer Discretionary (7.7%) | |||||||
| 1,100 | Abercrombie & Fitch Company | $ | 52,767 | |||||
| 4,400 | Amazon.com, Inc.a | 1,105,016 | ||||||
| 1,300 | Apollo Group, Inc.a | 27,196 | ||||||
| 500 | AutoNation, Inc.a | 19,850 | ||||||
| 400 | AutoZone, Inc.a | 141,772 | ||||||
| 2,900 | Bed Bath & Beyond, Inc.a | 162,139 | ||||||
| 3,375 | Best Buy Company, Inc. | 39,994 | ||||||
| 800 | Big Lots, Inc.a | 22,768 | ||||||
| 1,400 | BorgWarner, Inc.a | 100,268 | ||||||
| 2,700 | Cablevision Systems Corporation | 40,338 | ||||||
| 2,900 | CarMax, Inc.a | 108,866 | ||||||
| 5,500 | Carnival Corporation | 202,235 | ||||||
| 7,362 | CBS Corporation | 280,124 | ||||||
| 400 | Chipotle Mexican Grill, Inc.a | 118,984 | ||||||
| 3,600 | Coach, Inc. | 199,836 | ||||||
| 32,965 | Comcast Corporation | 1,232,232 | ||||||
| 3,300 | D.R. Horton, Inc. | 65,274 | ||||||
| 1,600 | Darden Restaurants, Inc. | 72,112 | ||||||
| 3,600 | Delphi Automotive plca | 137,700 | ||||||
| 7,800 | DIRECTVa | 391,248 | ||||||
| 3,100 | Discovery Communications, Inc.a | 196,788 | ||||||
| 3,300 | Dollar General Corporationa | 145,497 | ||||||
| 2,900 | Dollar Tree, Inc.a | 117,624 | ||||||
| 1,100 | Expedia, Inc. | 67,595 | ||||||
| 1,300 | Family Dollar Stores, Inc. | 82,433 | ||||||
| 46,088 | Ford Motor Company | 596,839 | ||||||
| 600 | Fossil, Inc.a | 55,860 | ||||||
| 2,900 | Gannett Company, Inc. | 52,229 | ||||||
| 3,600 | Gap, Inc. | 111,744 | ||||||
| 1,400 | Garmin, Ltd. | 57,148 | ||||||
| 2,000 | Genuine Parts Company | 127,160 | ||||||
| 2,800 | Goodyear Tire & Rubber Companya | 38,668 | ||||||
| 3,100 | H&R Block, Inc. | 57,567 | ||||||
| 2,900 | Harley-Davidson, Inc. | 141,636 | ||||||
| 900 | Harman International Industries, Inc. | 40,176 | ||||||
| 1,500 | Hasbro, Inc.b | 53,850 | ||||||
| 18,500 | Home Depot, Inc. | 1,144,225 | ||||||
| 3,100 | International Game Technology | 43,927 | ||||||
| 4,989 | Interpublic Group of Companies, Inc. | 54,979 | ||||||
| 1,700 | J.C. Penney Company, Inc.b | 33,507 | ||||||
| 8,400 | Johnson Controls, Inc. | 257,880 | ||||||
| 2,700 | Kohl’s Corporation | 116,046 | ||||||
| 1,600 | Leggett & Platt, Inc. | 43,552 | ||||||
| 2,100 | Lennar Corporationb | 81,207 | ||||||
| 2,962 | Limited Brands, Inc. | 139,392 | ||||||
| 14,000 | Lowe’s Companies, Inc. | 497,280 | ||||||
| 5,000 | Macy’s, Inc. | 195,100 | ||||||
| 3,063 | Marriott International, Inc. | 114,158 | ||||||
| 4,225 | Mattel, Inc. | 154,719 | ||||||
| 12,500 | McDonald’s Corporation | 1,102,625 | ||||||
| 3,500 | McGraw-Hill Companies, Inc. | 191,345 | ||||||
| 700 | Netflix, Inc.a | 64,946 | ||||||
| 3,426 | Newell Rubbermaid, Inc. | 76,297 | ||||||
| 25,100 | News Corporation | 641,054 | ||||||
| 9,200 | NIKE, Inc. | 474,720 | ||||||
| 1,900 | Nordstrom, Inc. | 101,650 | ||||||
| 3,300 | Omnicom Group, Inc. | 164,868 | ||||||
| 1,500 | O’Reilly Automotive, Inc.a | 134,130 | ||||||
| 1,300 | PetSmart, Inc. | 88,842 | ||||||
| 600 | Priceline.com, Inc.a | 372,720 | ||||||
| 4,037 | Pulte Group, Inc.a | 73,312 | ||||||
| 800 | Ralph Lauren Corporation | 119,936 | ||||||
| 2,800 | Ross Stores, Inc. | 151,620 | ||||||
| 1,100 | Scripps Networks Interactive | 63,712 | ||||||
| 1,000 | Sherwin-Williams Company | 153,820 | ||||||
| 800 | Snap-On, Inc. | 63,192 | ||||||
| 8,100 | Staples, Inc.b | 92,340 | ||||||
| 9,400 | Starbucks Corporation | 504,028 | ||||||
| 2,500 | Starwood Hotels & Resorts Worldwide, Inc. | 143,400 | ||||||
| 8,100 | Target Corporation | 479,277 | ||||||
| 1,500 | Tiffany & Company | 86,010 | ||||||
| 3,780 | Time Warner Cable, Inc. | 367,378 | ||||||
| 11,716 | Time Warner, Inc. | 560,376 | ||||||
| 9,000 | TJX Companies, Inc. | 382,050 | ||||||
| 1,300 | TripAdvisor, Inc.a | 54,548 | ||||||
| 1,400 | Urban Outfitters, Inc.a | 55,104 | ||||||
| 1,100 | VF Corporation | 166,067 | ||||||
| 5,862 | Viacom, Inc. | 309,162 | ||||||
| 22,087 | Walt Disney Company | 1,099,712 | ||||||
| 60 | Washington Post Company | 21,913 | ||||||
| 1,058 | Whirlpool Corporation | 107,651 | ||||||
| 1,832 | Wyndham Worldwide | |||||||
Corporation | 97,481 | |||||||
| 1,000 | Wynn Resorts, Ltd. | 112,490 | ||||||
| 5,620 | Yum! Brands, Inc. | 373,168 | ||||||
|
| |||||||
| Total | 18,390,449 | |||||||
|
| |||||||
| Consumer Staples (7.0%) | ||||||||
| 24,700 | Altria Group, Inc. | 776,074 | ||||||
| 7,941 | Archer-Daniels-Midland Company | 217,504 | ||||||
| 5,400 | Avon Products, Inc. | 77,544 | ||||||
| 2,000 | Beam, Inc. | 122,180 | ||||||
| 1,887 | Brown-Forman Corporation | 119,353 | ||||||
| 2,300 | Campbell Soup Company | 80,247 | ||||||
| 1,700 | Clorox Company | 124,474 | ||||||
| 47,400 | Coca-Cola Company | 1,718,250 | ||||||
| 3,500 | Coca-Cola Enterprises, Inc. | 111,055 | ||||||
| 5,500 | Colgate-Palmolive Company | 574,970 | ||||||
| 4,800 | ConAgra Foods, Inc. | 141,600 | ||||||
| 1,800 | Constellation Brands, Inc.a | 63,702 | ||||||
| 5,400 | Costco Wholesale Corporation | 533,358 | ||||||
| 15,705 | CVS Caremark Corporation | 759,337 | ||||||
| 2,200 | Dean Foods Companya | 36,322 | ||||||
| 2,600 | Dr. Pepper Snapple Group, Inc. | 114,868 | ||||||
| 3,000 | Estee Lauder Companies, Inc. | 179,580 | ||||||
| 7,700 | General Mills, Inc. | 311,157 | ||||||
| 3,950 | H.J. Heinz Company | 227,836 | ||||||
| 1,900 | Hershey Company | 137,218 | ||||||
| 1,400 | Hormel Foods Corporation | 43,694 | ||||||
| 1,455 | J.M. Smucker Company | 125,479 | ||||||
| 3,100 | Kellogg Company | 173,135 | ||||||
| 4,880 | Kimberly-Clark Corporation | 412,018 | ||||||
| 7,320 | Kraft Foods Group, Inc. | 332,840 | ||||||
| 6,600 | Kroger Company | 171,732 | ||||||
| 1,700 | Lorillard, Inc. | 198,339 | ||||||
| 1,600 | McCormick & Company, Inc. | 101,648 | ||||||
| 2,522 | Mead Johnson Nutrition Company | 166,175 | ||||||
| 2,000 | Molson Coors Brewing Company | 85,580 | ||||||
| 21,160 | Mondelez International, Inc. | 538,945 | ||||||
| 1,800 | Monster Beverage Corporationa | 95,184 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
234
Balanced Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (65.7%) | Value | ||||||
| Consumer Staples (7.0%) - continued |
| ||||||
| 19,197 | PepsiCo, Inc. | $ | 1,313,651 | |||||
| 20,800 | Philip Morris International, Inc. | 1,739,712 | ||||||
| 33,879 | Procter & Gamble Company | 2,300,045 | ||||||
| 4,100 | Reynolds American, Inc. | 169,863 | ||||||
| 2,800 | Safeway, Inc.b | 50,652 | ||||||
| 7,000 | Sysco Corporation | 221,620 | ||||||
| 3,400 | Tyson Foods, Inc. | 65,960 | ||||||
| 10,500 | Walgreen Company | 388,605 | ||||||
| 20,600 | Wal-Mart Stores, Inc. | 1,405,538 | ||||||
| 2,100 | Whole Foods Market, Inc. | 191,793 | ||||||
|
| |||||||
| Total | 16,718,837 | |||||||
|
| |||||||
| Energy (7.2%) | ||||||||
| 6,236 | Anadarko Petroleum Corporation | 463,397 | ||||||
| 4,868 | Apache Corporation | 382,138 | ||||||
| 5,461 | Baker Hughes, Inc. | 223,027 | ||||||
| 2,500 | Cabot Oil & Gas Corporation | 124,350 | ||||||
| 3,100 | Cameron International Corporationa | 175,026 | ||||||
| 6,300 | Chesapeake Energy Corporation | 104,706 | ||||||
| 24,174 | Chevron Corporation | 2,614,177 | ||||||
| 14,982 | ConocoPhillips | 868,806 | ||||||
| 2,900 | Consol Energy, Inc. | 93,090 | ||||||
| 4,500 | Denbury Resources, Inc.a | 72,900 | ||||||
| 4,700 | Devon Energy Corporation | 244,588 | ||||||
| 900 | Diamond Offshore Drilling, Inc. | 61,164 | ||||||
| 2,900 | Ensco plc | 171,912 | ||||||
| 3,300 | EOG Resources, Inc. | 398,607 | ||||||
| 1,900 | EQT Corporation | 112,062 | ||||||
| 56,834 | Exxon Mobil Corporation | 4,918,983 | ||||||
| 3,000 | FMC Technologies, Inc.a | 128,490 | ||||||
| 11,500 | Halliburton Company | 398,935 | ||||||
| 1,400 | Helmerich & Payne, Inc. | 78,414 | ||||||
| 3,700 | Hess Corporation | 195,952 | ||||||
| 7,700 | Kinder Morgan, Inc. | 272,041 | ||||||
| 8,622 | Marathon Oil Corporation | 264,351 | ||||||
| 4,261 | Marathon Petroleum Corporation | 268,443 | ||||||
| 2,300 | Murphy Oil Corporation | 136,965 | ||||||
| 3,400 | Nabors Industries, Ltd.a | 49,130 | ||||||
| 5,300 | National Oilwell Varco, Inc. | 362,255 | ||||||
| 1,700 | Newfield Exploration Companya | 45,526 | ||||||
| 3,200 | Noble Corporation | 111,424 | ||||||
| 2,200 | Noble Energy, Inc. | 223,828 | ||||||
| 10,000 | Occidental Petroleum Corporation | 766,100 | ||||||
| 3,300 | Peabody Energy Corporation | 87,813 | ||||||
| 7,791 | Phillips 66 | 413,702 | ||||||
| 1,600 | Pioneer Natural Resources Company | 170,544 | ||||||
| 2,200 | QEP Resources, Inc. | 66,594 | ||||||
| 2,000 | Range Resources Corporation | 125,660 | ||||||
| 1,500 | Rowan Companies plca | 46,905 | ||||||
| 16,325 | Schlumberger, Ltd. | 1,131,159 | ||||||
| 4,300 | Southwestern Energy Companya | 143,663 | ||||||
| 8,121 | Spectra Energy Corporation | 222,353 | ||||||
| 1,800 | Tesoro Corporation | 79,290 | ||||||
| 6,700 | Valero Energy Corporation | 228,604 | ||||||
| 8,400 | Williams Companies, Inc. | 275,016 | ||||||
| 2,333 | WPX Energy, Inc.a | 34,715 | ||||||
|
| |||||||
| Total | 17,356,805 | |||||||
|
| |||||||
| Financials (10.1%) | ||||||||
| 4,200 | ACE, Ltd. | 335,160 | ||||||
| 5,700 | Aflac, Inc. | 302,784 | ||||||
| 5,896 | Allstate Corporation | 236,842 | ||||||
| 12,200 | American Express Company | 701,256 | ||||||
| 18,220 | American International Group, Inc.a | 643,166 | ||||||
| 4,800 | American Tower Corporation | 370,896 | ||||||
| 2,640 | Ameriprise Financial, Inc. | 165,343 | ||||||
| 4,050 | Aon plc | 225,180 | ||||||
| 1,554 | Apartment Investment & Management Company | 42,051 | ||||||
| 1,100 | Assurant, Inc. | 38,170 | ||||||
| 1,453 | AvalonBay Communities, Inc. | 197,012 | ||||||
| 131,954 | Bank of America Corporation | 1,530,666 | ||||||
| 14,301 | Bank of New York Mellon Corporation | 367,536 | ||||||
| 8,500 | BB&T Corporation | 247,435 | ||||||
| 22,550 | Berkshire Hathaway, Inc.a | 2,022,735 | ||||||
| 1,500 | BlackRock, Inc. | 310,065 | ||||||
| 1,900 | Boston Properties, Inc. | 201,039 | ||||||
| 7,065 | Capital One Financial Corporation | 409,275 | ||||||
| 3,600 | CBRE Group, Inc.a | 71,640 | ||||||
| 12,725 | Charles Schwab Corporation | 182,731 | ||||||
| 3,300 | Chubb Corporation | 248,556 | ||||||
| 1,551 | Cincinnati Financial Corporation | 60,737 | ||||||
| 36,138 | Citigroup, Inc. | 1,429,619 | ||||||
| 3,800 | CME Group, Inc. | 192,698 | ||||||
| 2,300 | Comerica, Inc. | 69,782 | ||||||
| 6,295 | Discover Financial Services | 242,672 | ||||||
| 2,730 | E*TRADE Financial Corporationa | 24,434 | ||||||
| 4,000 | Equity Residential | 226,680 | ||||||
| 10,416 | Fifth Third Bancorp | 158,219 | ||||||
| 2,344 | First Horizon National Corporation | 23,229 | ||||||
| 1,700 | Franklin Resources, Inc. | 213,690 | ||||||
| 5,600 | Genworth Financial, Inc.a | 42,056 | ||||||
| 5,500 | Goldman Sachs Group, Inc. | 701,580 | ||||||
| 5,200 | Hartford Financial Services Group, Inc. | 116,688 | ||||||
| 5,400 | HCP, Inc. | 243,972 | ||||||
| 3,100 | Health Care REIT, Inc. | 189,999 | ||||||
| 8,547 | Host Hotels & Resorts, Inc. | 133,931 | ||||||
| 5,000 | Hudson City Bancorp, Inc. | 40,650 | ||||||
| 8,616 | Huntington Bancshares, Inc. | 55,056 | ||||||
| 1,000 | IntercontinentalExchange, Inc.a | 123,810 | ||||||
| 5,300 | Invesco, Ltd. | 138,277 | ||||||
| 46,624 | J.P. Morgan Chase & Company | 2,050,057 | ||||||
| 9,700 | KeyCorp | 81,674 | ||||||
| 4,600 | Kimco Realty Corporation | 88,872 | ||||||
| 1,400 | Legg Mason, Inc. | 36,008 | ||||||
| 2,300 | Leucadia National Corporation | 54,717 | ||||||
| 3,411 | Lincoln National Corporation | 88,345 | ||||||
| 3,800 | Loews Corporation | 154,850 | ||||||
| 1,500 | M&T Bank Corporationb | 147,705 | ||||||
| 6,400 | Marsh & McLennan Companies, Inc. | 220,608 | ||||||
| 13,016 | MetLife, Inc. | 428,747 | ||||||
| 2,300 | Moody’s Corporation | 115,736 | ||||||
| 16,790 | Morgan Stanley | 321,025 | ||||||
| 1,200 | NASDAQ OMX Group, Inc. | 30,012 | ||||||
| 2,700 | Northern Trust Corporation | 135,432 | ||||||
| 2,900 | NYSE Euronext | 91,466 | ||||||
| 3,200 | People’s United Financial, Inc. | 38,688 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
235
Balanced Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (65.7%) | Value | ||||||
| Financials (10.1%) - continued | |||||||
| 1,900 | Plum Creek Timber Company, Inc. | $ | 84,303 | |||||
| 6,520 | PNC Financial Services Group, Inc. | 380,181 | ||||||
| 3,200 | Principal Financial Group, Inc. | 91,264 | ||||||
| 6,500 | Progressive Corporation | 137,150 | ||||||
| 5,681 | Prologis, Inc. | 207,300 | ||||||
| 5,800 | Prudential Financial, Inc. | 309,314 | ||||||
| 1,800 | Public Storage, Inc. | 260,928 | ||||||
| 16,300 | Regions Financial Corporation | 116,056 | ||||||
| 3,653 | Simon Property Group, Inc. | 577,503 | ||||||
| 5,400 | SLM Corporation | 92,502 | ||||||
| 5,900 | State Street Corporation | 277,359 | ||||||
| 6,600 | SunTrust Banks, Inc. | 187,110 | ||||||
| 3,200 | T. Rowe Price Group, Inc. | 208,416 | ||||||
| 1,100 | Torchmark Corporation | 56,837 | ||||||
| 4,825 | Travelers Companies, Inc. | 346,532 | ||||||
| 23,121 | U.S. Bancorp | 738,485 | ||||||
| 2,858 | Unum Group | 59,504 | ||||||
| 3,700 | Ventas, Inc. | 239,464 | ||||||
| 2,170 | Vornado Realty Trust | 173,774 | ||||||
| 60,482 | Wells Fargo & Company | 2,067,275 | ||||||
| 6,440 | Weyerhaeuser Company REIT | 179,161 | ||||||
| 3,400 | XL Group plc | 85,204 | ||||||
| 2,100 | Zions Bancorporation | 44,940 | ||||||
|
| |||||||
| Total | 24,281,821 | |||||||
|
| |||||||
| Health Care (7.9%) | ||||||||
| 19,300 | Abbott Laboratories | 1,264,150 | ||||||
| 4,156 | Aetna, Inc. | 192,423 | ||||||
| 2,300 | Alexion Pharmaceuticals, Inc.a | 215,763 | ||||||
| 3,800 | Allergan, Inc. | 348,574 | ||||||
| 3,000 | AmerisourceBergen Corporation | 129,540 | ||||||
| 9,552 | Amgen, Inc. | 824,529 | ||||||
| 6,800 | Baxter International, Inc. | 453,288 | ||||||
| 2,500 | Becton, Dickinson and Company | 195,475 | ||||||
| 2,830 | Biogen Idec, Inc.a | 415,076 | ||||||
| 15,850 | Boston Scientific Corporationa | 90,821 | ||||||
| 20,405 | Bristol-Myers Squibb Company | 664,999 | ||||||
| 1,000 | C.R. Bard, Inc. | 97,740 | ||||||
| 4,275 | Cardinal Health, Inc. | 176,044 | ||||||
| 2,687 | CareFusion Corporationa | 76,794 | ||||||
| 5,400 | Celgene Corporationa | 425,088 | ||||||
| 1,700 | Cerner Corporationa | 131,988 | ||||||
| 3,600 | CIGNA Corporation | 192,456 | ||||||
| 1,750 | Coventry Health Care, Inc. | 78,453 | ||||||
| 6,000 | Covidien plc | 346,440 | ||||||
| 1,100 | DaVita, Inc.a | 121,583 | ||||||
| 1,700 | DENTSPLY International, Inc. | 67,337 | ||||||
| 1,500 | Edwards Lifesciences Corporationa | 135,255 | ||||||
| 12,400 | Eli Lilly and Company | 611,568 | ||||||
| 9,977 | Express Scripts Holding Companya | 538,758 | ||||||
| 2,800 | Forest Laboratories, Inc.a | 98,896 | ||||||
| 9,400 | Gilead Sciences, Inc.a | 690,430 | ||||||
| 2,130 | Hospira, Inc.a | 66,541 | ||||||
| 2,000 | Humana, Inc. | 137,260 | ||||||
| 500 | Intuitive Surgical, Inc.a | 245,185 | ||||||
| 35,306 | Johnson & Johnson | 2,474,951 | ||||||
| 1,200 | Laboratory Corporation of America Holdingsa | 103,944 | ||||||
| 2,237 | Life Technologies Corporationa | 109,792 | ||||||
| 2,980 | McKesson Corporation | 288,941 | ||||||
| 12,400 | Medtronic, Inc. | 508,648 | ||||||
| 37,527 | Merck & Company, Inc. | 1,536,355 | ||||||
| 4,900 | Mylan, Inc.a | 134,652 | ||||||
| 1,100 | Patterson Companies, Inc. | 37,653 | ||||||
| 1,400 | PerkinElmer, Inc. | 44,436 | ||||||
| 1,100 | Perrigo Company | 114,433 | ||||||
| 91,155 | Pfizer, Inc. | 2,286,167 | ||||||
| 2,000 | Quest Diagnostics, Inc. | 116,540 | ||||||
| 3,880 | St. Jude Medical, Inc. | 140,223 | ||||||
| 3,600 | Stryker Corporation | 197,352 | ||||||
| 1,312 | Tenet Healthcare Corporationa | 42,601 | ||||||
| 4,500 | Thermo Fisher Scientific, Inc. | 287,010 | ||||||
| 12,700 | UnitedHealth Group, Inc. | 688,848 | ||||||
| 1,400 | Varian Medical Systems, Inc.a | 98,336 | ||||||
| 1,100 | Waters Corporationa | 95,832 | ||||||
| 1,600 | Watson Pharmaceuticals, Inc.a | 137,600 | ||||||
| 3,800 | WellPoint, Inc. | 231,496 | ||||||
| 2,190 | Zimmer Holdings, Inc. | 145,985 | ||||||
|
| |||||||
| Total | 18,854,249 | |||||||
|
| |||||||
| Industrials (6.7%) | ||||||||
| 7,900 | 3M Company | 733,515 | ||||||
| 2,900 | ADT Corporation | 134,821 | ||||||
| 1,300 | Avery Dennison Corporation | 45,396 | ||||||
| 8,328 | Boeing Company | 627,598 | ||||||
| 2,000 | C.H. Robinson Worldwide, Inc. | 126,440 | ||||||
| 8,100 | Caterpillar, Inc. | 725,598 | ||||||
| 1,400 | Cintas Corporation | 57,260 | ||||||
| 12,600 | CSX Corporation | 248,598 | ||||||
| 2,100 | Cummins, Inc. | 227,535 | ||||||
| 7,200 | Danaher Corporation | 402,480 | ||||||
| 4,900 | Deere & Company | 423,458 | ||||||
| 2,300 | Dover Corporation | 151,133 | ||||||
| 600 | Dun & Bradstreet Corporation | 47,190 | ||||||
| 5,749 | Eaton Corporation plc | 311,596 | ||||||
| 8,900 | Emerson Electric Company | 471,344 | ||||||
| 1,500 | Equifax, Inc. | 81,180 | ||||||
| 2,600 | Expeditors International of Washington, Inc. | 102,830 | ||||||
| 3,400 | Fastenal Company | 158,746 | ||||||
| 3,640 | FedEx Corporation | 333,861 | ||||||
| 800 | First Solar, Inc.a | 24,704 | ||||||
| 700 | Flowserve Corporation | 102,760 | ||||||
| 2,100 | Fluor Corporation | 123,354 | ||||||
| 4,100 | General Dynamics Corporation | 284,007 | ||||||
| 129,500 | General Electric Company | 2,718,205 | ||||||
| 9,537 | Honeywell International, Inc. | 605,313 | ||||||
| 5,400 | Illinois Tool Works, Inc. | 328,374 | ||||||
| 3,600 | Ingersoll-Rand plc | 172,656 | ||||||
| 1,977 | Iron Mountain, Inc. | 61,386 | ||||||
| 1,700 | Jacobs Engineering Group, Inc.a | 72,369 | ||||||
| 1,400 | Joy Global, Inc. | 89,292 | ||||||
| 1,200 | L-3 Communications Holdings, Inc. | 91,944 | ||||||
| 3,400 | Lockheed Martin Corporation | 313,786 | ||||||
| 4,300 | Masco Corporation | 71,638 | ||||||
| 4,000 | Norfolk Southern Corporation | 247,360 | ||||||
| 3,106 | Northrop Grumman Corporation | 209,903 | ||||||
| 4,350 | PACCAR, Inc. | 196,664 | ||||||
| 1,500 | Pall Corporation | 90,390 | ||||||
| 1,850 | Parker Hannifin Corporation | 157,361 | ||||||
| 2,599 | Pentair, Ltd. | 127,741 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
236
Balanced Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (65.7%) | Value | ||||||
| Industrials (6.7%) - continued |
| ||||||
| 2,100 | Pitney Bowes, Inc.b | $ | 22,344 | |||||
| 1,800 | Precision Castparts Corporation | 340,956 | ||||||
| 2,500 | Quanta Services, Inc.a | 68,225 | ||||||
| 4,100 | Raytheon Company | 235,996 | ||||||
| 3,605 | Republic Services, Inc. | 105,735 | ||||||
| 1,700 | Robert Half International, Inc. | 54,094 | ||||||
| 1,800 | Rockwell Automation, Inc. | 151,182 | ||||||
| 1,800 | Rockwell Collins, Inc. | 104,706 | ||||||
| 1,300 | Roper Industries, Inc. | 144,924 | ||||||
| 700 | Ryder System, Inc. | 34,951 | ||||||
| 8,180 | Southwest Airlines Company | 83,763 | ||||||
| 2,100 | Stanley Black & Decker, Inc. | 155,337 | ||||||
| 1,100 | Stericycle, Inc.a | 102,597 | ||||||
| 3,400 | Textron, Inc. | 84,286 | ||||||
| 5,500 | Tyco International, Ltd. | 160,875 | ||||||
| 5,900 | Union Pacific Corporation | 741,748 | ||||||
| 8,900 | United Parcel Service, Inc. | 656,197 | ||||||
| 10,400 | United Technologies Corporation | 852,904 | ||||||
| 800 | W.W. Grainger, Inc. | 161,896 | ||||||
| 5,430 | Waste Management, Inc. | 183,208 | ||||||
| 2,100 | Xylem, Inc. | 56,910 | ||||||
|
| |||||||
| Total | 16,002,620 | |||||||
|
| |||||||
| Information Technology (12.6%) | ||||||||
| 7,900 | Accenture plc | 525,350 | ||||||
| 6,000 | Adobe Systems, Inc.a | 226,080 | ||||||
| 6,500 | Advanced Micro Devices, Inc.a | 15,600 | ||||||
| 4,263 | Agilent Technologies, Inc. | 174,527 | ||||||
| 2,200 | Akamai Technologies, Inc.a | 90,002 | ||||||
| 4,000 | Altera Corporation | 137,760 | ||||||
| 2,000 | Amphenol Corporation | 129,400 | ||||||
| 3,700 | Analog Devices, Inc. | 155,622 | ||||||
| 11,600 | Apple, Inc.c | 6,183,148 | ||||||
| 14,300 | Applied Materials, Inc. | 163,592 | ||||||
| 2,800 | Autodesk, Inc.a | 98,980 | ||||||
| 5,900 | Automatic Data Processing, Inc. | 336,359 | ||||||
| 1,900 | BMC Software, Inc.a | 75,354 | ||||||
| 6,350 | Broadcom Corporationa | 210,883 | ||||||
| 3,975 | CA, Inc. | 87,370 | ||||||
| 64,900 | Cisco Systems, Inc. | 1,275,285 | ||||||
| 2,400 | Citrix Systems, Inc.a | 157,800 | ||||||
| 3,700 | Cognizant Technology Solutions Corporationa | 273,985 | ||||||
| 2,000 | Computer Sciences Corporation | 80,100 | ||||||
| 18,100 | Corning, Inc. | 228,422 | ||||||
| 17,600 | Dell, Inc. | 178,288 | ||||||
| 14,300 | eBay, Inc.a | 729,586 | ||||||
| 3,800 | Electronic Arts, Inc.a | 55,214 | ||||||
| 25,724 | EMC Corporationa | 650,817 | ||||||
| 1,000 | F5 Networks, Inc.a | 97,150 | ||||||
| 3,000 | Fidelity National Information Services, Inc. | 104,430 | ||||||
| 1,750 | Fiserv, Inc.a | 138,303 | ||||||
| 1,700 | FLIR Systems, Inc. | 37,927 | ||||||
| 1,600 | GameStop Corporationb | 40,144 | ||||||
| 3,300 | Google, Inc.a | 2,340,921 | ||||||
| 1,500 | Harris Corporation | 73,440 | ||||||
| 24,261 | Hewlett-Packard Company | 345,719 | ||||||
| 61,300 | Intel Corporation | 1,264,619 | ||||||
| 13,300 | International Business Machines Corporation | 2,547,615 | ||||||
| 3,500 | Intuit, Inc. | 208,250 | ||||||
| 2,200 | Jabil Circuit, Inc. | 42,438 | ||||||
| 2,800 | JDS Uniphase Corporationa | 37,912 | ||||||
| 6,400 | Juniper Networks, Inc.a | 125,888 | ||||||
| 2,100 | KLA-Tencor Corporation | 100,296 | ||||||
| 2,200 | Lam Research Corporationa | 79,486 | ||||||
| 2,700 | Linear Technology Corporation | 92,610 | ||||||
| 6,300 | LSI Corporationa | 44,604 | ||||||
| 1,300 | MasterCard, Inc. | 638,664 | ||||||
| 2,300 | Microchip Technology, Inc. | 74,957 | ||||||
| 12,100 | Micron Technology, Inc.a | 76,835 | ||||||
| 96,200 | Microsoft Corporation | 2,571,426 | ||||||
| 1,650 | Molex, Inc. | 45,095 | ||||||
| 3,617 | Motorola Solutions, Inc. | 201,395 | ||||||
| 4,500 | NetApp, Inc.a | 150,975 | ||||||
| 7,450 | NVIDIA Corporation | 91,561 | ||||||
| 46,759 | Oracle Corporation | 1,558,010 | ||||||
| 4,050 | Paychex, Inc. | 126,117 | ||||||
| 21,000 | QUALCOMM, Inc. | 1,302,420 | ||||||
| 2,400 | Red Hat, Inc.a | 127,104 | ||||||
| 2,800 | SAIC, Inc. | 31,696 | ||||||
| 1,500 | Salesforce.com, Inc.a | 252,150 | ||||||
| 3,000 | SanDisk Corporationa | 130,680 | ||||||
| 4,400 | Seagate Technology plc | 134,112 | ||||||
| 8,372 | Symantec Corporationa | 157,477 | ||||||
| 5,200 | TE Connectivity, Ltd. | 193,024 | ||||||
| 2,100 | Teradata Corporationa | 129,969 | ||||||
| 2,100 | Teradyne, Inc.a | 35,469 | ||||||
| 13,800 | Texas Instruments, Inc. | 426,972 | ||||||
| 1,600 | Total System Services, Inc. | 34,272 | ||||||
| 2,000 | VeriSign, Inc.a | 77,640 | ||||||
| 6,400 | Visa, Inc. | 970,112 | ||||||
| 2,800 | Western Digital Corporation | 118,972 | ||||||
| 7,262 | Western Union Company | 98,836 | ||||||
| 15,183 | Xerox Corporation | 103,548 | ||||||
| 3,200 | Xilinx, Inc. | 114,880 | ||||||
| 12,900 | Yahoo!, Inc.a | 256,710 | ||||||
|
| |||||||
| Total | 30,192,354 | |||||||
|
| |||||||
| Materials (2.3%) | ||||||||
| 2,700 | Air Products and Chemicals, Inc. | 226,854 | ||||||
| 900 | Airgas, Inc. | 82,161 | ||||||
| 11,564 | Alcoa, Inc. | 100,375 | ||||||
| 1,281 | Allegheny Technologies, Inc. | 38,891 | ||||||
| 2,000 | Ball Corporation | 89,500 | ||||||
| 1,200 | Bemis Company, Inc. | 40,152 | ||||||
| 700 | CF Industries Holdings, Inc. | 142,212 | ||||||
| 1,800 | Cliffs Natural Resources, Inc.b | 69,408 | ||||||
| 14,577 | Dow Chemical Company | 471,129 | ||||||
| 11,519 | E.I. du Pont de Nemours and Company | 518,009 | ||||||
| 1,800 | Eastman Chemical Company | 122,490 | ||||||
| 3,300 | Ecolab, Inc. | 237,270 | ||||||
| 1,700 | FMC Corporation | 99,484 | ||||||
| 11,588 | Freeport-McMoRan Copper & Gold, Inc. | 396,310 | ||||||
| 1,100 | International Flavors & Fragrances, Inc. | 73,194 | ||||||
| 5,421 | International Paper Company | 215,973 | ||||||
| 4,600 | LyondellBasell Industries NV | 262,614 | ||||||
| 1,980 | MeadWestvaco Corporation | 63,103 | ||||||
| 6,466 | Monsanto Company | 612,007 | ||||||
| 3,500 | Mosaic Company | 198,205 | ||||||
| 6,017 | Newmont Mining Corporation | 279,429 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
237
Balanced Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (65.7%) | Value | ||||||
| Materials (2.3%) - continued |
| ||||||
| 4,000 | Nucor Corporation | $ | 172,720 | |||||
| 2,000 | Owens-Illinois, Inc.a | 42,540 | ||||||
| 1,800 | PPG Industries, Inc. | 243,630 | ||||||
| 3,700 | Praxair, Inc. | 404,965 | ||||||
| 2,128 | Sealed Air Corporation | 37,261 | ||||||
| 1,500 | Sigma-Aldrich Corporation | 110,370 | ||||||
| 1,700 | United States Steel Corporationb | 40,579 | ||||||
| 1,600 | Vulcan Materials Company | 83,280 | ||||||
|
| |||||||
| Total | 5,474,115 | |||||||
|
| |||||||
| Telecommunications Services (2.0%) | ||||||||
| 70,779 | AT&T, Inc. | 2,385,960 | ||||||
| 7,694 | CenturyLink, Inc. | 300,989 | ||||||
| 3,700 | Crown Castle International Corporationa | 266,992 | ||||||
| 11,310 | Frontier Communications Corporationb | 48,407 | ||||||
| 3,800 | MetroPCS Communications, Inc.a | 37,772 | ||||||
| 36,269 | Sprint Nextel Corporationa | 205,645 | ||||||
| 34,970 | Verizon Communications, Inc. | 1,513,152 | ||||||
| 7,317 | Windstream Corporationb | 60,585 | ||||||
|
| |||||||
| Total | 4,819,502 | |||||||
|
| |||||||
| Utilities (2.2%) | ||||||||
| 6,800 | AES Corporation | 72,760 | ||||||
| 1,286 | AGL Resources, Inc. | 51,401 | ||||||
| 2,700 | Ameren Corporation | 82,944 | ||||||
| 6,040 | American Electric Power Company, Inc. | 257,787 | ||||||
| 4,524 | CenterPoint Energy, Inc. | 87,087 | ||||||
| 2,700 | CMS Energy Corporation | 65,826 | ||||||
| 3,700 | Consolidated Edison, Inc. | 205,498 | ||||||
| 7,130 | Dominion Resources, Inc. | 369,334 | ||||||
| 2,200 | DTE Energy Company | 132,110 | ||||||
| 8,594 | Duke Energy Corporation | 548,297 | ||||||
| 4,100 | Edison International, Inc. | 185,279 | ||||||
| 2,200 | Entergy Corporation | 140,250 | ||||||
| 10,385 | Exelon Corporation | 308,850 | ||||||
| 5,067 | FirstEnergy Corporation | 211,598 | ||||||
| 907 | Integrys Energy Group, Inc. | 47,364 | ||||||
| 5,200 | NextEra Energy, Inc. | 359,788 | ||||||
| 3,334 | NiSource, Inc. | 82,983 | ||||||
| 3,600 | Northeast Utilities | 140,688 | ||||||
| 4,100 | NRG Energy, Inc. | 94,259 | ||||||
| 2,600 | ONEOK, Inc. | 111,150 | ||||||
| 2,000 | Pepco Holdings, Inc.b | 39,220 | ||||||
| 5,200 | PG&E Corporation | 208,936 | ||||||
| 1,300 | Pinnacle West Capital Corporation | 66,274 | ||||||
| 6,600 | PPL Corporation | 188,958 | ||||||
| 6,100 | Public Service Enterprise Group, Inc. | 186,660 | ||||||
| 1,600 | SCANA Corporation | 73,024 | ||||||
| 2,787 | Sempra Energy | 197,710 | ||||||
| 10,500 | Southern Company | 449,505 | ||||||
| 1,800 | TECO Energy, Inc. | 30,168 | ||||||
| 2,800 | Wisconsin Energy Corporation | 103,180 | ||||||
| 5,610 | Xcel Energy, Inc. | 149,843 | ||||||
|
| |||||||
| Total | 5,248,731 | |||||||
|
| |||||||
| Total Common Stock (cost $120,552,868) | 157,339,483 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (34.9%) | Value | ||||||
| Asset-Backed Securities (1.4%) |
| ||||||
Countrywide Home Loans, Inc. | ||||||||
| $327,461 | 6.085%, 6/25/2021d | $ | 288,409 | |||||
Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 284,167 | 4.274%, 12/25/2036 | 180,381 | ||||||
First Horizon ABS Trust | ||||||||
| 345,909 | 0.340%, 10/25/2026d,e | 294,230 | ||||||
| 655,143 | 0.370%, 10/25/2034d,e | 471,453 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 1,040,857 | 0.390%, 8/25/2035d,e | 822,504 | ||||||
| 633,023 | 0.390%, 12/25/2036d,e | 458,490 | ||||||
IndyMac Seconds Asset-Backed Trust | ||||||||
| 367,562 | 0.380%, 10/25/2036d,e | 90,276 | ||||||
Wachovia Asset Securitization, Inc. | ||||||||
| 795,676 | 0.350%, 7/25/2037d,e,f | 677,044 | ||||||
|
| |||||||
| Total | 3,282,787 | |||||||
|
| |||||||
| Basic Materials (0.1%) | ||||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| 100,000 | 3.550%, 3/1/2022 | 99,178 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
| 175,000 | 2.450%, 10/25/2017g | 176,696 | ||||||
|
| |||||||
| Total | 275,874 | |||||||
|
| |||||||
| Capital Goods (0.5%) | ||||||||
Caterpillar Financial Services Corporation | ||||||||
| 175,000 | 1.625%, 6/1/2017 | 178,291 | ||||||
Eaton Corporation | ||||||||
| 150,000 | 2.750%, 11/2/2022g | 149,537 | ||||||
John Deere Capital Corporation | ||||||||
| 175,000 | 1.700%, 1/15/2020 | 173,208 | ||||||
Owens Corning, Inc. | ||||||||
| 65,000 | 4.200%, 12/15/2022 | 66,104 | ||||||
Precision Castparts Corporation | ||||||||
| 150,000 | 1.250%, 1/15/2018 | 150,248 | ||||||
Roper Industries, Inc. | ||||||||
| 150,000 | 1.850%, 11/15/2017 | 149,888 | ||||||
United Technologies Corporation | ||||||||
| 225,000 | 6.050%, 6/1/2036 | 296,157 | ||||||
|
| |||||||
| Total | 1,163,433 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (<0.1%) | ||||||||
Bear Stearns Mortgage Funding Trust | ||||||||
| 151,722 | 0.490%, 8/25/2036e | 43,335 | ||||||
|
| |||||||
| Total | 43,335 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (2.8%) | ||||||||
Banc of America Commercial Mortgage, Inc. | ||||||||
| 600,000 | 5.685%, 6/10/2049 | 695,480 | ||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 242,779 | 0.359%, 3/15/2022e,g | 240,404 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
238
Balanced Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (34.9%) | Value | ||||||
| Commercial Mortgage-Backed Securities (2.8%) - continued |
| ||||||
Commercial Mortgage Pass-Through Certificates | ||||||||
| $2,000,000 | 0.339%, 12/15/2020e,g | $ | 1,862,192 | |||||
| 750,000 | 5.306%, 12/10/2046 | 861,783 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 791,020 | 0.379%, 10/15/2021e,g | 774,290 | ||||||
| 700,000 | 5.467%, 9/15/2039 | 794,723 | ||||||
GE Capital Commercial Mortgage Corporation | ||||||||
| 46,321 | 4.641%, 3/10/2040 | 46,926 | ||||||
GS Mortgage Securities Corporation II | ||||||||
| 1,000,000 | 1.260%, 3/6/2020e,g | 1,001,347 | ||||||
Morgan Stanley Capital I | ||||||||
| 225,000 | 3.224%, 7/15/2049 | 242,404 | ||||||
|
| |||||||
| Total | 6,519,549 | |||||||
|
| |||||||
| Communications Services (0.5%) | ||||||||
AT&T, Inc. | ||||||||
| 175,000 | 1.400%, 12/1/2017 | 175,033 | ||||||
British Sky Broadcasting Group plc | ||||||||
| 100,000 | 3.125%, 11/26/2022g | 99,652 | ||||||
CBS Corporation | ||||||||
| 200,000 | 7.875%, 9/1/2023 | 265,768 | ||||||
CenturyLink, Inc. | ||||||||
| 125,000 | 5.800%, 3/15/2022 | 132,141 | ||||||
Cox Communications, Inc. | ||||||||
| 100,000 | 3.250%, 12/15/2022g | 103,126 | ||||||
| 115,000 | 6.450%, 12/1/2036g | 141,921 | ||||||
Crown Castle Towers, LLC | ||||||||
| 250,000 | 4.174%, 8/15/2017g | 274,342 | ||||||
Time Warner Cable, Inc. | ||||||||
| 125,000 | 4.500%, 9/15/2042 | 121,906 | ||||||
|
| |||||||
| Total | 1,313,889 | |||||||
|
| |||||||
| Consumer Cyclical (0.5%) | ||||||||
Amazon.com, Inc. | ||||||||
| 125,000 | 1.200%, 11/29/2017 | 124,313 | ||||||
California Institute of Technology | ||||||||
| 175,000 | 4.700%, 11/1/2111 | 190,158 | ||||||
Dartmouth College | ||||||||
| 125,000 | 3.760%, 6/1/2043 | 127,975 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 100,000 | 4.207%, 4/15/2016 | 106,662 | ||||||
| 200,000 | 3.984%, 6/15/2016 | 212,365 | ||||||
| 150,000 | 3.000%, 6/12/2017 | 154,114 | ||||||
Time Warner, Inc. | ||||||||
| 125,000 | 3.400%, 6/15/2022 | 130,385 | ||||||
Wal-Mart Stores, Inc. | ||||||||
| 150,000 | 7.550%, 2/15/2030 | 220,689 | ||||||
|
| |||||||
| Total | 1,266,661 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.8%) | ||||||||
AbbVie, Inc. | ||||||||
| 150,000 | 1.750%, 11/6/2017g | 151,632 | ||||||
Altria Group, Inc. | ||||||||
| 150,000 | 4.250%, 8/9/2042 | 145,469 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 150,000 | 1.375%, 7/15/2017 | 151,579 | ||||||
Cargill, Inc. | ||||||||
| 175,000 | 4.100%, 11/1/2042g | 171,330 | ||||||
Colgate-Palmolive Company | ||||||||
| 250,000 | 1.250%, 5/1/2014 | 252,474 | ||||||
Dr Pepper Snapple Group, Inc. | ||||||||
| 125,000 | 2.700%, 11/15/2022 | 124,183 | ||||||
Heineken NV | ||||||||
| 25,000 | 1.400%, 10/1/2017g | 24,925 | ||||||
| 125,000 | 2.750%, 4/1/2023g | 122,736 | ||||||
Mayo Clinic Rochester | ||||||||
| 125,000 | 3.774%, 11/15/2043 | 124,866 | ||||||
McKesson Corporation | ||||||||
| 125,000 | 2.700%, 12/15/2022 | 125,041 | ||||||
Mylan, Inc. | ||||||||
| 125,000 | 3.125%, 1/15/2023g | 123,922 | ||||||
Reynolds American, Inc. | ||||||||
| 75,000 | 1.050%, 10/30/2015 | 74,977 | ||||||
| 100,000 | 3.250%, 11/1/2022 | 100,450 | ||||||
Wyeth, LLC | ||||||||
| 150,000 | 6.000%, 2/15/2036 | 196,758 | ||||||
|
| |||||||
| Total | 1,890,342 | |||||||
|
| |||||||
| Energy (0.7%) | ||||||||
BP Capital Markets plc | ||||||||
| 250,000 | 4.742%, 3/11/2021 | 292,758 | ||||||
Energy Transfer Partners, LP | ||||||||
| 300,000 | 6.700%, 7/1/2018 | 361,473 | ||||||
EOG Resources, Inc. | ||||||||
| 125,000 | 2.625%, 3/15/2023 | 125,880 | ||||||
Marathon Oil Corporation | ||||||||
| 175,000 | 2.800%, 11/1/2022 | 176,084 | ||||||
Petro-Canada | ||||||||
| 200,000 | 6.800%, 5/15/2038 | 272,758 | ||||||
Phillips 66 | ||||||||
| 175,000 | 1.950%, 3/5/2015g | 178,559 | ||||||
| 125,000 | 4.300%, 4/1/2022g | 139,677 | ||||||
Rowan Companies, Inc. | ||||||||
| 100,000 | 4.875%, 6/1/2022 | 108,607 | ||||||
|
| |||||||
| Total | 1,655,796 | |||||||
|
| |||||||
| Financials (2.7%) | ||||||||
Associated Banc Corporation | ||||||||
| 125,000 | 1.875%, 3/12/2014 | 125,019 | ||||||
Australia and New Zealand Banking Group, Ltd. | ||||||||
| 150,000 | 1.000%, 10/6/2015g | 150,960 | ||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | ||||||||
| 100,000 | 4.125%, 11/9/2022g | 101,750 | ||||||
Bank of America Corporation | ||||||||
| 125,000 | 1.500%, 10/9/2015 | 125,639 | ||||||
| 75,000 | 5.875%, 2/7/2042 | 93,569 | ||||||
Barclays Bank plc | ||||||||
| 200,000 | 5.000%, 9/22/2016 | 224,177 | ||||||
Berkshire Hathaway, Inc. | ||||||||
| 150,000 | 1.600%, 5/15/2017 | 152,892 | ||||||
Camden Property Trust | ||||||||
| 50,000 | 2.950%, 12/15/2022 | 48,749 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
239
Balanced Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (34.9%) | Value | ||||||
| Financials (2.7%) - continued |
| ||||||
Chubb Corporation | ||||||||
| $150,000 | 6.500%, 5/15/2038 | $ | 207,202 | |||||
Citigroup, Inc. | ||||||||
| 82,000 | 1.290%, 4/1/2014e | 82,091 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
| 100,000 | 4.750%, 1/15/2020g | 114,438 | ||||||
Credit Suisse AG Guernsey | ||||||||
| 350,000 | 1.625%, 3/6/2015g | 356,512 | ||||||
Duke Realty, LP | ||||||||
| 125,000 | 3.875%, 10/15/2022 | 127,283 | ||||||
General Electric Capital Corporation | ||||||||
| 225,000 | 5.875%, 1/14/2038 | 271,407 | ||||||
HCP, Inc. | ||||||||
| 175,000 | 3.750%, 2/1/2016 | 185,733 | ||||||
Health Care REIT, Inc. | ||||||||
| 300,000 | 6.125%, 4/15/2020 | 351,361 | ||||||
HSBC Holdings plc | ||||||||
| 200,000 | 6.800%, 6/1/2038 | 255,773 | ||||||
ING Bank NV | ||||||||
| 200,000 | 2.625%, 12/5/2022g | 197,896 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 175,000 | 2.000%, 8/15/2017 | 178,762 | ||||||
Kommuninvest I Sverige AB | ||||||||
| 175,000 | 1.000%, 10/24/2017g | 174,825 | ||||||
Liberty Mutual Group, Inc. | ||||||||
| 75,000 | 4.950%, 5/1/2022g | 81,742 | ||||||
Macquarie Bank, Ltd. | ||||||||
| 100,000 | 5.000%, 2/22/2017g | 109,370 | ||||||
MassMutual Global Funding II | ||||||||
| 150,000 | 2.000%, 4/5/2017g | 154,546 | ||||||
MetLife, Inc. | ||||||||
| 150,000 | 1.756%, 12/15/2017 | 152,361 | ||||||
National Australia Bank, Ltd. | ||||||||
| 175,000 | 2.000%, 6/20/2017g | 180,933 | ||||||
New York Life Global Funding | ||||||||
| 250,000 | 1.300%, 1/12/2015b,g | 253,258 | ||||||
Nordea Bank AB | ||||||||
| 175,000 | 3.125%, 3/20/2017g | 186,349 | ||||||
Northern Trust Corporation | ||||||||
| 250,000 | 3.450%, 11/4/2020 | 269,646 | ||||||
PNC Financial Services Group, Inc. | ||||||||
| 175,000 | 2.854%, 11/9/2022 | 176,019 | ||||||
Preferred Term Securities XXIII, Ltd. | ||||||||
| 916,161 | 0.508%, 12/22/2036e,f | 604,666 | ||||||
Principal Life Global Funding II | ||||||||
| 150,000 | 1.000%, 12/11/2015g | 149,779 | ||||||
Realty Income Corporation | ||||||||
| 125,000 | 2.000%, 1/31/2018 | 124,896 | ||||||
UBS AG/London | ||||||||
| 250,000 | 1.875%, 1/23/2015g | 256,082 | ||||||
UnitedHealth Group, Inc. | ||||||||
| 175,000 | 1.400%, 10/15/2017 | 175,274 | ||||||
Ventas Realty, LP | ||||||||
| 75,000 | 4.250%, 3/1/2022 | 79,533 | ||||||
Washington Mutual Bank | ||||||||
| 500,000 | 5.500%, 1/15/2013h,i | 0 | ||||||
|
| |||||||
| Total | 6,480,492 | |||||||
|
| |||||||
Long-Term Fixed Income (34.9%) | ||||||||
| Foreign Government (1.6%) |
| ||||||
Bank Nederlandse Gemeenten NV | ||||||||
| 300,000 | 4.375%, 2/16/2021g | 350,460 | ||||||
Chile Government International Bond | ||||||||
| 150,000 | 3.875%, 8/5/2020 | 169,125 | ||||||
Kommunalbanken AS | ||||||||
| 235,000 | 1.000%, 9/26/2017g | 234,906 | ||||||
Province of British Columbia | ||||||||
| 625,000 | 2.650%, 9/22/2021 | 657,553 | ||||||
Province of Manitoba | ||||||||
| 325,000 | 1.300%, 4/3/2017 | 332,085 | ||||||
Province of New Brunswick | ||||||||
| 250,000 | 2.750%, 6/15/2018 | 269,340 | ||||||
Province of Newfoundland | ||||||||
| 500,000 | 8.650%, 10/22/2022 | 741,314 | ||||||
Province of Ontario | ||||||||
| 200,000 | 1.100%, 10/25/2017 | 200,220 | ||||||
Province of Quebec | ||||||||
| 600,000 | 4.875%, 5/5/2014 | 636,240 | ||||||
Sweden Government International Bond | ||||||||
| 175,000 | 0.375%, 12/22/2015g | 174,703 | ||||||
|
| |||||||
| Total | 3,765,946 | |||||||
|
| |||||||
| Mortgage-Backed Securities (10.5%) | ||||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 3,182 | 6.000%, 2/1/2014 | 3,284 | ||||||
| 6,431 | 5.500%, 4/1/2014 | 6,868 | ||||||
| 2,283 | 6.000%, 4/1/2014 | 2,356 | ||||||
| 5,002 | 6.000%, 4/1/2014 | 5,058 | ||||||
| 6,265 | 6.500%, 6/1/2014 | 6,488 | ||||||
| 5,104 | 7.500%, 9/1/2014 | 5,346 | ||||||
| 229,363 | 5.500%, 12/1/2017 | 246,678 | ||||||
| 2,175,000 | 2.500%, 1/1/2028j | 2,269,817 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 13,966 | 6.500%, 4/1/2024 | 16,046 | ||||||
| 22,242 | 9.000%, 11/1/2024 | 26,655 | ||||||
| 1,158 | 9.000%, 4/1/2025 | 1,402 | ||||||
| 1,494 | 7.000%, 9/1/2025 | 1,763 | ||||||
| 1,185 | 8.500%, 9/1/2025 | 1,419 | ||||||
| 689 | 6.500%, 5/1/2026 | 804 | ||||||
| 4,538 | 6.000%, 7/1/2026 | 4,993 | ||||||
| 1,155 | 7.500%, 7/1/2026 | 1,350 | ||||||
| 2,129 | 8.000%, 11/1/2026 | 2,520 | ||||||
| 1,707 | 7.500%, 1/1/2027 | 1,994 | ||||||
| 2,214 | 6.500%, 2/1/2027 | 2,593 | ||||||
| 4,956 | 7.000%, 2/1/2027 | 5,906 | ||||||
| 17,143 | 8.000%, 3/1/2027 | 20,293 | ||||||
| 2,871 | 7.500%, 4/1/2027 | 3,365 | ||||||
| 8,152 | 8.000%, 6/1/2027 | 9,676 | ||||||
| 2,417 | 8.500%, 7/1/2027 | 2,910 | ||||||
| 3,270 | 7.000%, 9/1/2027 | 3,897 | ||||||
| 6,073 | 8.000%, 10/1/2027 | 7,208 | ||||||
| 4,997 | 7.500%, 11/1/2027 | 5,856 | ||||||
| 3,060 | 7.500%, 12/1/2027 | 3,587 | ||||||
| 17,276 | 6.500%, 6/1/2028 | 20,307 | ||||||
| 10,221 | 7.000%, 10/1/2028 | 12,228 | ||||||
| 56,394 | 6.500%, 11/1/2028 | 66,287 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
240
Balanced Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (34.9%) | Value | ||||||
| Mortgage-Backed Securities (10.5%) - continued | |||||||
| $25,555 | 6.000%, 3/1/2029 | $ | 28,418 | |||||
| 14,470 | 6.500%, 4/1/2029 | 16,942 | ||||||
| 23,585 | 6.000%, 5/1/2029 | 26,227 | ||||||
| 26,161 | 7.000%, 5/1/2029 | 31,160 | ||||||
| 9,137 | 6.500%, 7/1/2029 | 10,698 | ||||||
| 17,744 | 6.500%, 8/1/2029 | 20,775 | ||||||
| 4,849 | 7.000%, 9/1/2029 | 5,775 | ||||||
| 5,781 | 7.000%, 10/1/2029 | 6,886 | ||||||
| 6,390 | 7.500%, 11/1/2029 | 7,530 | ||||||
| 8,360 | 7.000%, 1/1/2030 | 9,908 | ||||||
| 14,035 | 7.500%, 1/1/2030 | 16,585 | ||||||
| 4,676 | 8.000%, 8/1/2030 | 5,592 | ||||||
| 15,365 | 6.000%, 3/1/2031 | 17,086 | ||||||
| 55,392 | 6.000%, 6/1/2031 | 61,595 | ||||||
| 55,390 | 6.000%, 1/1/2032 | 61,594 | ||||||
| 1,100,000 | 3.000%, 1/1/2043j | 1,150,016 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 2,922 | 6.000%, 11/1/2013 | 2,953 | ||||||
| 11,731 | 5.500%, 12/1/2013 | 12,592 | ||||||
| 7,643 | 6.000%, 12/1/2013 | 7,638 | ||||||
| 1,017 | 7.500%, 4/1/2015 | 1,083 | ||||||
| 3,275,000 | 2.500%, 1/1/2028j | 3,424,422 | ||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 2,912 | 10.500%, 8/1/2020 | 3,344 | ||||||
| 4,930 | 9.500%, 4/1/2025 | 6,021 | ||||||
| 1,378 | 8.500%, 11/1/2025 | 1,649 | ||||||
| 4,201 | 6.500%, 2/1/2026 | 4,898 | ||||||
| 1,987 | 7.000%, 3/1/2026 | 2,356 | ||||||
| 2,759 | 6.500%, 4/1/2026 | 3,216 | ||||||
| 1,404 | 8.500%, 5/1/2026 | 1,683 | ||||||
| 1,578 | 7.500%, 7/1/2026 | 1,842 | ||||||
| 8,047 | 7.500%, 8/1/2026 | 9,393 | ||||||
| 1,376 | 8.000%, 8/1/2026 | 1,628 | ||||||
| 5,289 | 7.000%, 11/1/2026 | 6,270 | ||||||
| 1,468 | 8.000%, 11/1/2026 | 1,736 | ||||||
| 583 | 7.500%, 12/1/2026 | 680 | ||||||
| 2,378 | 7.000%, 3/1/2027 | 2,819 | ||||||
| 1,035 | 7.500%, 5/1/2027 | 1,212 | ||||||
| 6,973 | 6.500%, 7/1/2027 | 8,162 | ||||||
| 1,048 | 7.500%, 8/1/2027 | 1,227 | ||||||
| 22,616 | 8.000%, 9/1/2027 | 26,819 | ||||||
| 4,231 | 7.000%, 10/1/2027 | 5,038 | ||||||
| 3,694 | 8.000%, 12/1/2027 | 4,381 | ||||||
| 9,867 | 6.500%, 2/1/2028 | 11,548 | ||||||
| 5,520 | 7.000%, 2/1/2028 | 6,573 | ||||||
| 48,287 | 6.500%, 7/1/2028 | 56,717 | ||||||
| 24,008 | 7.000%, 8/1/2028 | 28,703 | ||||||
| 4,136 | 6.500%, 11/1/2028 | 4,858 | ||||||
| 26,261 | 6.500%, 11/1/2028 | 30,846 | ||||||
| 953 | 7.000%, 11/1/2028 | 1,139 | ||||||
| 19,649 | 6.000%, 12/1/2028 | 21,954 | ||||||
| 17,701 | 7.000%, 12/1/2028 | 21,163 | ||||||
| 19,123 | 6.000%, 3/1/2029 | 21,366 | ||||||
| 16,649 | 6.500%, 6/1/2029 | 19,602 | ||||||
| 23,765 | 6.000%, 7/1/2029 | 26,553 | ||||||
| 1,921 | 6.500%, 7/1/2029 | 2,262 | ||||||
| 30,952 | 7.500%, 8/1/2029 | 36,445 | ||||||
| 11,113 | 7.000%, 11/1/2029 | 13,290 | ||||||
| 20,552 | 7.000%, 11/1/2029 | 24,579 | ||||||
| 9,419 | 8.500%, 4/1/2030 | 11,383 | ||||||
| 8,139 | 7.500%, 8/1/2030 | 9,609 | ||||||
| 55,750 | 6.500%, 7/1/2031 | 65,876 | ||||||
| 18,238 | 6.500%, 10/1/2031 | 21,550 | ||||||
| 23,582 | 6.500%, 12/1/2031 | 27,866 | ||||||
| 32,264 | 6.500%, 5/1/2032 | 38,175 | ||||||
| 153,615 | 6.500%, 7/1/2032 | 181,759 | ||||||
| 5,425,000 | 3.500%, 1/1/2043j | 5,783,770 | ||||||
| 3,225,000 | 4.000%, 1/1/2043j | 3,456,797 | ||||||
| 6,275,000 | 5.000%, 1/1/2043j | 6,796,609 | ||||||
Government National Mortgage Association 15-Yr. Pass Through | ||||||||
| 8,926 | 6.000%, 7/15/2014 | 9,293 | ||||||
Government National Mortgage Association 30-Yr. Pass Through | ||||||||
| 3,214 | 9.500%, 1/15/2025 | 3,867 | ||||||
| 9,542 | 7.000%, 1/15/2026 | 11,320 | ||||||
| 10,540 | 7.000%, 1/15/2026 | 12,503 | ||||||
| 4,421 | 7.000%, 4/15/2026 | 5,245 | ||||||
| 9,869 | 6.000%, 5/15/2026 | 11,048 | ||||||
| 9,144 | 7.000%, 6/15/2026 | 10,847 | ||||||
| 6,369 | 8.500%, 6/15/2026 | 7,528 | ||||||
| 2,259 | 8.500%, 7/15/2026 | 2,670 | ||||||
| 8,788 | 8.000%, 9/15/2026 | 10,259 | ||||||
| 3,313 | 7.500%, 10/15/2026 | 3,822 | ||||||
| 1,626 | 8.000%, 11/15/2026 | 1,898 | ||||||
| 1,430 | 8.500%, 11/15/2026 | 1,690 | ||||||
| 1,705 | 9.000%, 12/15/2026 | 2,031 | ||||||
| 12,227 | 7.500%, 4/15/2027 | 14,141 | ||||||
| 4,352 | 8.000%, 6/20/2027 | 5,090 | ||||||
| 402 | 8.000%, 8/15/2027 | 471 | ||||||
| 27,213 | 6.500%, 10/15/2027 | 31,873 | ||||||
| 13,680 | 7.000%, 10/15/2027 | 16,301 | ||||||
| 1,071 | 7.000%, 11/15/2027 | 1,276 | ||||||
| 21,574 | 7.000%, 11/15/2027 | 25,707 | ||||||
| 54,071 | 7.000%, 7/15/2028 | 64,690 | ||||||
| 15,383 | 7.500%, 7/15/2028 | 17,835 | ||||||
| 25,468 | 6.500%, 9/15/2028 | 29,936 | ||||||
| 32,482 | 6.000%, 12/15/2028 | 36,809 | ||||||
| 21,642 | 6.500%, 1/15/2029 | 25,519 | ||||||
| 119,044 | 6.500%, 3/15/2029 | 140,372 | ||||||
| 26,140 | 6.500%, 4/15/2029 | 30,823 | ||||||
| 17,519 | 7.000%, 4/15/2029 | 20,945 | ||||||
| 41,571 | 6.000%, 6/15/2029 | 47,031 | ||||||
| 29,220 | 7.000%, 6/15/2029 | 34,935 | ||||||
| 10,200 | 8.000%, 5/15/2030 | 12,005 | ||||||
| 27,645 | 7.000%, 9/15/2031 | 32,952 | ||||||
| 31,590 | 6.500%, 2/15/2032 | 37,536 | ||||||
|
| |||||||
| Total | 25,230,063 | |||||||
|
| |||||||
| Technology (0.1%) | ||||||||
Oracle Corporation | ||||||||
| 175,000 | 1.200%, 10/15/2017 | 175,519 | ||||||
|
| |||||||
| Total | 175,519 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
241
Balanced Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (34.9%) | Value | ||||||
| Transportation (0.1%) |
| ||||||
Continental Airlines, Inc. | ||||||||
| $175,000 | 4.150%, 4/11/2024 | $ | 185,281 | |||||
Delta Air Lines, Inc. | ||||||||
| 130,400 | 4.950%, 5/23/2019b | 141,484 | ||||||
|
| |||||||
| Total | 326,765 | |||||||
|
| |||||||
| U.S. Government and Agencies (11.3%) | ||||||||
Federal Home Loan Banks | ||||||||
| 1,000,000 | 0.250%, 1/16/2015 | 999,304 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 1,500,000 | 5.125%, 11/17/2017 | 1,807,694 | ||||||
| 175,000 | 1.250%, 10/2/2019 | 174,488 | ||||||
Federal National Mortgage Association | ||||||||
| 1,500,000 | 5.625%, 4/17/2028 | 2,030,847 | ||||||
Resolution Funding Corporation | ||||||||
| 1,000,000 | 8.625%, 1/15/2021 | 1,544,342 | ||||||
Tennessee Valley Authority | ||||||||
| 150,000 | 5.250%, 9/15/2039 | 197,357 | ||||||
U.S. Treasury Bonds | ||||||||
| 2,200,000 | 3.000%, 5/15/2042 | 2,241,250 | ||||||
U.S. Treasury Notes | ||||||||
| 3,500,000 | 2.375%, 8/31/2014 | 3,623,869 | ||||||
| 2,000,000 | 0.250%, 10/31/2014 | 2,000,468 | ||||||
| 500,000 | 0.250%, 11/30/2014 | 500,019 | ||||||
| 2,425,000 | 0.250%, 9/15/2015 | 2,419,694 | ||||||
| 1,650,000 | 1.250%, 10/31/2015 | 1,691,895 | ||||||
| 1,000,000 | 2.625%, 2/29/2016 | 1,070,078 | ||||||
| 2,150,000 | 1.000%, 10/31/2016 | 2,190,983 | ||||||
| 750,000 | 3.000%, 2/28/2017 | 825,000 | ||||||
| 150,000 | 0.750%, 6/30/2017 | 150,891 | ||||||
| 1,000,000 | 2.375%, 6/30/2018 | 1,083,750 | ||||||
| 2,505,000 | 0.875%, 7/31/2019 | 2,474,078 | ||||||
|
| |||||||
| Total | 27,026,007 | |||||||
|
| |||||||
| U.S. Municipals (0.2%) | ||||||||
Chicago Metropolitan Water | ||||||||
Reclamation District General | ||||||||
Obligation Bonds (Build America Bonds) | ||||||||
| 150,000 | 5.720%, 12/1/2038 | 190,269 | ||||||
Illinois General Obligation | ||||||||
Refunding Bonds | ||||||||
| 150,000 | 5.000%, 8/1/2017 | 172,125 | ||||||
|
| |||||||
| Total | 362,394 | |||||||
|
| |||||||
| Utilities (1.1%) | ||||||||
American Electric Power Company, Inc. | ||||||||
| 150,000 | 1.650%, 12/15/2017 | 150,526 | ||||||
Commonwealth Edison Company | ||||||||
| 225,000 | 5.900%, 3/15/2036 | 290,265 | ||||||
Duke Energy Carolinas, LLC | ||||||||
| 175,000 | 4.000%, 9/30/2042 | 176,390 | ||||||
El Paso Pipeline Partners Operating Company, LLC | ||||||||
| 175,000 | 4.700%, 11/1/2042 | 171,579 | ||||||
Kinder Morgan Energy Partners, LP | ||||||||
| 150,000 | 5.300%, 9/15/2020 | 174,835 | ||||||
NiSource Finance Corporation | ||||||||
| 150,000 | 3.850%, 2/15/2023 | 154,142 | ||||||
NSTAR Electric Company | ||||||||
| 175,000 | 2.375%, 10/15/2022 | 173,922 | ||||||
ONEOK Partners, LP | ||||||||
| 225,000 | 6.650%, 10/1/2036 | 278,998 | ||||||
PPL Capital Funding, Inc. | ||||||||
| 175,000 | 3.500%, 12/1/2022 | 178,132 | ||||||
Public Service Company of Colorado | ||||||||
| 150,000 | 3.600%, 9/15/2042 | 145,617 | ||||||
Sempra Energy | ||||||||
| 175,000 | 2.300%, 4/1/2017 | 181,716 | ||||||
Southern California Edison Company | ||||||||
| 225,000 | 5.000%, 1/15/2014 | 235,020 | ||||||
Southern California Gas Company | ||||||||
| 175,000 | 3.750%, 9/15/2042 | 175,807 | ||||||
Williams Partners, LP | ||||||||
| 125,000 | 3.350%, 8/15/2022 | 127,099 | ||||||
|
| |||||||
| Total | 2,614,048 | |||||||
|
| |||||||
| Total Long-Term Fixed Income (cost $81,757,350) | 83,392,900 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.4%) | ||||||||
| 1,012,103 | Thrivent Cash Management Trust | 1,012,103 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $1,012,103) | 1,012,103 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (8.7%) | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 100,000 | 0.100%, 6/7/2013c,k | 99,956 | ||||||
| 20,676,563 | Thrivent Cash Management Trust | 20,676,563 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 20,776,519 | |||||||
|
| |||||||
| Total Investments (cost $224,098,840) 109.7% | $ | 262,521,005 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (9.7%) | (23,187,059 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 239,333,946 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | At December 31, 2012, $632,986 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| d | All or a portion of the security is insured or guaranteed. |
| e | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2012. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
242
Balanced Portfolio
Schedule of Investments as of December 31, 2012
| f | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Balanced Portfolio owned as of December 31, 2012. |
Security | Acquisition Date | Cost | ||||||
Preferred Term Securities XXIII, Ltd. | 9/14/2006 | $ | 916,161 | |||||
Wachovia Asset Securitization, Inc. | 3/16/2007 | $ | 795,676 | |||||
| g | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2012, the value of these investments was $8,964,797 or 3.7% of total net assets. |
| h | Defaulted security. Interest is not being accrued. |
| i | Security is fair valued. |
| j | Denotes investments purchased on a when-issued or delayed delivery basis. |
| k | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Definitions:
| REIT - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
|
| |||
Gross unrealized appreciation | $ | 61,276,108 | ||
Gross unrealized depreciation | (29,029,954 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 32,246,154 | ||
Cost for federal income tax purposes | $ | 230,274,851 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
243
Balanced Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Balanced Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 18,390,449 | 18,390,449 | — | — | ||||||||||||
Consumer Staples | 16,718,837 | 16,718,837 | — | — | ||||||||||||
Energy | 17,356,805 | 17,356,805 | — | — | ||||||||||||
Financials | 24,281,821 | 24,281,821 | — | — | ||||||||||||
Health Care | 18,854,249 | 18,854,249 | — | — | ||||||||||||
Industrials | 16,002,620 | 16,002,620 | — | — | ||||||||||||
Information Technology | 30,192,354 | 30,192,354 | — | — | ||||||||||||
Materials | 5,474,115 | 5,474,115 | — | — | ||||||||||||
Telecommunications Services | 4,819,502 | 4,819,502 | — | — | ||||||||||||
Utilities | 5,248,731 | 5,248,731 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 3,282,787 | — | 3,282,787 | — | ||||||||||||
Basic Materials | 275,874 | — | 275,874 | — | ||||||||||||
Capital Goods | 1,163,433 | — | 1,163,433 | — | ||||||||||||
Collateralized Mortgage Obligations | 43,335 | — | 43,335 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 6,519,549 | — | 6,519,549 | — | ||||||||||||
Communications Services | 1,313,889 | — | 1,313,889 | — | ||||||||||||
Consumer Cyclical | 1,266,661 | — | 1,266,661 | — | ||||||||||||
Consumer Non-Cyclical | 1,890,342 | — | 1,890,342 | — | ||||||||||||
Energy | 1,655,796 | — | 1,655,796 | — | ||||||||||||
Financials^ | 6,480,492 | — | 5,875,826 | 604,666 | ||||||||||||
Foreign Government | 3,765,946 | — | 3,765,946 | — | ||||||||||||
Mortgage-Backed Securities | 25,230,063 | — | 25,230,063 | — | ||||||||||||
Technology | 175,519 | — | 175,519 | — | ||||||||||||
Transportation | 326,765 | — | 326,765 | — | ||||||||||||
U.S. Government and Agencies | 27,026,007 | — | 27,026,007 | — | ||||||||||||
U.S. Municipals | 362,394 | — | 362,394 | — | ||||||||||||
Utilities | 2,614,048 | — | 2,614,048 | — | ||||||||||||
Collateral Held for Securities Loaned | 1,012,103 | 1,012,103 | — | — | ||||||||||||
Short-Term Investments | 20,776,519 | 20,676,563 | 99,956 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 262,521,005 | $ | 179,028,149 | $ | 82,888,190 | $ | 604,666 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 58,582 | 58,582 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 58,582 | $ | 58,582 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
^ Level 3 security in this section is fair valued at <$1.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Index Futures | 11 | March 2013 | $ | 3,963,857 | $ | 3,905,275 | ($ | 58,582 | ) | |||||||||||
Total Futures Contracts | ($ | 58,582 | ) | |||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
244
Balanced Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2012, for Balanced Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||
Liability Derivatives | ||||
Equity Contracts | ||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $58,582 | ||
Total Equity Contracts | 58,582 | |||
| ||||
Total Liability Derivatives | $58,582 | |||
|
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Balanced Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/ (Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 379,411 | ||||
Total Equity Contracts | 379,411 | |||||
|
| |||||
Total | $ | 379,411 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2012, for Balanced Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (93,555 | ) | |||
Total Equity Contracts | (93,555 | ) | ||||
|
| |||||
Total | ($93,555 | ) | ||||
|
| |||||
The following table presents Balanced Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 2,201,020 | 0.9 | % | ||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Balanced Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 1,713,875 | $ | 14,300,556 | $ | 15,002,328 | 1,012,103 | $ | 1,012,103 | $ | 11,604 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 28,820,217 | 8,143,654 | 20,676,563 | 20,676,563 | 4,053 | ||||||||||||||||||
Total Value and Income Earned | 1,713,875 | 21,688,666 | 15,657 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
245
Schedule of Investments as of December 31, 2012
| Principal Amount | Bank Loans (1.3%)a | Value | ||||||
| Consumer Non-Cyclical (0.5%) |
| ||||||
HCA, Inc., Term Loan | ||||||||
| $4,729,546 | 3.462%, 5/1/2018 | $ | 4,739,384 | |||||
|
| |||||||
| Total | 4,739,384 | |||||||
|
| |||||||
| Financials (0.3%) | ||||||||
Nuveen Investments, Inc., Term Loan | ||||||||
| 2,650,000 | 8.250%, 2/28/2019 | 2,694,732 | ||||||
|
| |||||||
| Total | 2,694,732 | |||||||
|
| |||||||
| Technology (0.5%) | ||||||||
First Data Corporation Extended, Term Loan | ||||||||
| 4,280,676 | 4.211%, 3/26/2018 | 4,066,171 | ||||||
|
| |||||||
| Total | 4,066,171 | |||||||
|
| |||||||
| Total Bank Loans (cost $11,266,383) | 11,500,287 | |||||||
|
| |||||||
Long-Term Fixed Income (93.1%) | ||||||||
| Asset-Backed Securities (0.3%) | |||||||
Renaissance Home Equity Loan Trust | ||||||||
| 2,616,656 | 5.746%, 5/25/2036 | 1,708,148 | ||||||
| 1,800,000 | 6.011%, 5/25/2036 | 1,092,366 | ||||||
|
| |||||||
| Total | 2,800,514 | |||||||
|
| |||||||
| Basic Materials (7.8%) | ||||||||
Ainsworth lumber Company, Ltd. | ||||||||
| 1,050,000 | 7.500%, 12/15/2017b | 1,099,875 | ||||||
APERAM | ||||||||
| 1,570,000 | 7.750%, 4/1/2018b | 1,381,600 | ||||||
Arch Coal, Inc. | ||||||||
| 2,100,000 | 7.000%, 6/15/2019c | 1,953,000 | ||||||
| 1,650,000 | 7.250%, 10/1/2020c | 1,530,375 | ||||||
| 1,050,000 | 7.250%, 6/15/2021c | 968,625 | ||||||
Consol Energy, Inc. | ||||||||
| 1,900,000 | 8.000%, 4/1/2017 | 2,056,750 | ||||||
| 2,770,000 | 8.250%, 4/1/2020 | 2,998,525 | ||||||
FMG Resources Property, Ltd. | ||||||||
| 2,630,000 | 7.000%, 11/1/2015b,c | 2,761,500 | ||||||
| 1,590,000 | 6.000%, 4/1/2017b,c | 1,621,800 | ||||||
| 3,700,000 | 6.875%, 2/1/2018b,c | 3,820,250 | ||||||
| 4,390,000 | 8.250%, 11/1/2019b,c | 4,675,350 | ||||||
Graphic Packaging International, Inc. | ||||||||
| 800,000 | 9.500%, 6/15/2017 | 864,000 | ||||||
| 1,600,000 | 7.875%, 10/1/2018 | 1,768,000 | ||||||
Hexion US Finance Corporation/Hexion Nova Scotia Finance ULC | ||||||||
| 3,220,000 | 8.875%, 2/1/2018 | 3,308,550 | ||||||
| 3,150,000 | 9.000%, 11/15/2020c | 2,874,375 | ||||||
Ineos Finance plc | ||||||||
| 870,000 | 7.500%, 5/1/2020b | 911,325 | ||||||
Inmet Mining Corporation | ||||||||
| 3,800,000 | 8.750%, 6/1/2020b | 4,151,500 | ||||||
LyondellBasell Industries NV | ||||||||
| 2,660,000 | 5.000%, 4/15/2019 | 2,939,300 | ||||||
| 1,600,000 | 6.000%, 11/15/2021 | 1,876,000 | ||||||
Midwest Vanadium Pty., Ltd. | ||||||||
| 3,430,000 | 11.500%, 2/15/2018b | 2,023,700 | ||||||
NOVA Chemicals Corporation | ||||||||
| 5,610,000 | 8.625%, 11/1/2019 | 6,367,350 | ||||||
Novelis, Inc. | ||||||||
| 3,950,000 | 8.750%, 12/15/2020 | 4,404,250 | ||||||
Resolute Forest Products | ||||||||
| 4,124,000 | 10.250%, 10/15/2018 | 4,721,980 | ||||||
Ryerson, Inc. | ||||||||
| 2,100,000 | 9.000%, 10/15/2017b | 2,142,000 | ||||||
| 1,050,000 | 11.250%, 10/15/2018b | 966,000 | ||||||
Sappi Papier Holding GmbH | ||||||||
| 1,580,000 | 7.750%, 7/15/2017b,c | 1,722,200 | ||||||
Severstal Columbus, LLC | ||||||||
| 1,600,000 | 10.250%, 2/15/2018 | 1,684,000 | ||||||
Tembec Industries, Inc. | ||||||||
| 3,180,000 | 11.250%, 12/15/2018 | 3,370,800 | ||||||
|
| |||||||
| Total | 70,962,980 | |||||||
|
| |||||||
| Capital Goods (7.8%) | ||||||||
BE Aerospace, Inc. | ||||||||
| 3,720,000 | 6.875%, 10/1/2020 | 4,138,500 | ||||||
Case New Holland, Inc. | ||||||||
| 2,550,000 | 7.875%, 12/1/2017 | 3,015,375 | ||||||
Cemex Finance, LLC | ||||||||
| 530,000 | 9.375%, 10/12/2022b | 596,250 | ||||||
Cemex SAB de CV | ||||||||
| 2,630,000 | 9.000%, 1/11/2018b | 2,846,975 | ||||||
CNH Capital, LLC | ||||||||
| 1,500,000 | 3.875%, 11/1/2015b | 1,546,875 | ||||||
Coleman Cable, Inc. | ||||||||
| 2,420,000 | 9.000%, 2/15/2018 | 2,601,500 | ||||||
EnergySolutions, Inc. | ||||||||
| 2,650,000 | 10.750%, 8/15/2018 | 2,504,250 | ||||||
Liberty Tire Recycling | ||||||||
| 2,130,000 | 11.000%, 10/1/2016d | 1,970,250 | ||||||
Manitowoc Company, Inc. | ||||||||
| 4,730,000 | 8.500%, 11/1/2020c | 5,309,425 | ||||||
Nortek, Inc. | ||||||||
| 3,160,000 | 10.000%, 12/1/2018 | 3,515,500 | ||||||
| 1,000,000 | 8.500%, 4/15/2021b | 1,107,500 | ||||||
| 3,140,000 | 8.500%, 4/15/2021 | 3,485,400 | ||||||
Owens-Illinois, Inc. | ||||||||
| 3,470,000 | 7.800%, 5/15/2018 | 3,999,175 | ||||||
RBS Global, Inc. | ||||||||
| 4,520,000 | 8.500%, 5/1/2018 | 4,898,550 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
| 1,580,000 | 9.000%, 4/15/2019 | 1,643,200 | ||||||
| 2,660,000 | 9.875%, 8/15/2019 | 2,846,200 | ||||||
| 2,100,000 | 5.750%, 10/15/2020b | 2,168,250 | ||||||
| 2,630,000 | 8.250%, 2/15/2021 | 2,669,450 | ||||||
RSC Equipment Rental, Inc. | ||||||||
| 3,120,000 | 8.250%, 2/1/2021 | 3,517,800 | ||||||
Sealed Air Corporation | ||||||||
| 1,650,000 | 8.375%, 9/15/2021b | 1,885,125 | ||||||
Silgan Holdings, Inc. | ||||||||
| 3,970,000 | 5.000%, 4/1/2020 | 4,118,875 | ||||||
Tekni-Plex, Inc. | ||||||||
| 3,700,000 | 9.750%, 6/1/2019b | 4,033,000 | ||||||
UR Financing Escrow Corporation | ||||||||
| 1,070,000 | 7.375%, 5/15/2020b | 1,174,325 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
246
High Yield Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (93.1%) | Value | ||||||
| Capital Goods (7.8%) - continued |
| ||||||
| $ | 4,250,000 | 7.625%, 4/15/2022b | $ | 4,749,375 | ||||
|
| |||||||
| Total | 70,341,125 | |||||||
|
| |||||||
| Communications Services (20.4%) |
| ||||||
Altice Financing SA | ||||||||
| 520,000 | 7.875%, 12/15/2019b | 549,900 | ||||||
Altice Finco SA | ||||||||
| 1,050,000 | 9.875%, 12/15/2020b | 1,131,375 | ||||||
AMC Networks, Inc. | ||||||||
| 5,310,000 | 7.750%, 7/15/2021 | 6,079,950 | ||||||
| 1,940,000 | 4.750%, 12/15/2022 | 1,949,700 | ||||||
Cablevision Systems Corporation | ||||||||
| 4,260,000 | 8.625%, 9/15/2017 | 4,968,225 | ||||||
CCO Holdings, LLC | ||||||||
| 4,250,000 | 7.250%, 10/30/2017 | 4,632,500 | ||||||
| 2,110,000 | 7.000%, 1/15/2019 | 2,276,162 | ||||||
| 800,000 | 7.375%, 6/1/2020 | 888,000 | ||||||
Cequel Communications Escrow 1, LLC | ||||||||
| 6,660,000 | 6.375%, 9/15/2020b | 6,934,725 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
| 5,000,000 | 6.500%, 11/15/2022b | 5,187,500 | ||||||
Crown Castle International Corporation | ||||||||
| 6,310,000 | 5.250%, 1/15/2023b | 6,751,700 | ||||||
Digicel, Ltd. | ||||||||
| 4,210,000 | 8.250%, 9/1/2017b | 4,504,700 | ||||||
| 1,680,000 | 7.000%, 2/15/2020b | 1,797,600 | ||||||
Dish DBS Corporation | ||||||||
| 2,480,000 | 5.875%, 7/15/2022 | 2,666,000 | ||||||
Eileme 2 AB | ||||||||
| 4,260,000 | 11.625%, 1/31/2020b | 4,962,900 | ||||||
Frontier Communications Corporation | ||||||||
| 3,190,000 | 8.250%, 4/15/2017c | 3,684,450 | ||||||
Hughes Satellite Systems Corporation | ||||||||
| 4,850,000 | 6.500%, 6/15/2019 | 5,347,125 | ||||||
IAC/InterActiveCorp | ||||||||
| 1,450,000 | 4.750%, 12/15/2022b | 1,442,750 | ||||||
Intelsat Jackson Holdings SA | ||||||||
| 7,180,000 | 7.250%, 10/15/2020 | 7,808,250 | ||||||
| 790,000 | 7.250%, 10/15/2020b | 857,150 | ||||||
| 1,580,000 | 6.625%, 12/15/2022b,c | 1,631,350 | ||||||
Intelsat Luxembourg SA | ||||||||
| 7,040,000 | 11.250%, 2/4/2017 | 7,444,800 | ||||||
| 3,502,153 | 11.500%, 2/4/2017 | 3,721,038 | ||||||
Lamar Media Corporation | ||||||||
| 5,050,000 | 5.000%, 5/1/2023b | 5,188,875 | ||||||
Leap Wireless International, Inc., Convertible | ||||||||
| 4,420,000 | 4.500%, 7/15/2014c | 4,215,575 | ||||||
Level 3 Financing, Inc. | ||||||||
| 4,230,000 | 8.625%, 7/15/2020 | 4,695,300 | ||||||
Satmex Escrow SA de CV | ||||||||
| 5,230,000 | 9.500%, 5/15/2017 | 5,491,500 | ||||||
SBA Telecommunications, Inc. | ||||||||
| 1,710,000 | 5.750%, 7/15/2020b | 1,816,875 | ||||||
Sprint Capital Corporation | ||||||||
| 2,630,000 | 6.875%, 11/15/2028 | 2,735,200 | ||||||
Sprint Nextel Corporation | ||||||||
| 8,680,000 | 9.000%, 11/15/2018b | 10,719,800 | ||||||
| 2,870,000 | 7.000%, 3/1/2020b | 3,336,375 | ||||||
| 2,630,000 | 7.000%, 8/15/2020 | 2,873,275 | ||||||
| 6,810,000 | 6.000%, 11/15/2022 | 6,997,275 | ||||||
Telesat Canada | ||||||||
| 5,790,000 | 6.000%, 5/15/2017b | 6,079,500 | ||||||
TW Telecom Holdings, Inc. | ||||||||
| 790,000 | 5.375%, 10/1/2022b | 827,525 | ||||||
Unitymedia Hessen GmbH & Company KG | ||||||||
| 5,100,000 | 5.500%, 1/15/2023b | 5,265,750 | ||||||
Univision Communications, Inc. | ||||||||
| 3,000,000 | 6.750%, 9/15/2022b | 3,097,500 | ||||||
UPC Holding BV | ||||||||
| 4,500,000 | 9.875%, 4/15/2018b | 5,085,000 | ||||||
UPCB Finance V, Ltd. | ||||||||
| 1,600,000 | 7.250%, 11/15/2021b | 1,760,000 | ||||||
Videotron Ltee | ||||||||
| 1,230,000 | 5.000%, 7/15/2022 | 1,289,963 | ||||||
Virgin Media Finance plc | ||||||||
| 1,196,000 | 8.375%, 10/15/2019 | 1,357,460 | ||||||
| 3,100,000 | 4.875%, 2/15/2022 | 3,169,750 | ||||||
| 2,780,000 | 5.250%, 2/15/2022 | 2,946,800 | ||||||
WideOpenWest Finance, LLC | ||||||||
| 5,120,000 | 10.250%, 7/15/2019b | 5,440,000 | ||||||
Wind Acquisition Finance SA | ||||||||
| 5,260,000 | 11.750%, 7/15/2017b | 5,509,850 | ||||||
XM Satellite Radio, Inc. | ||||||||
| 3,680,000 | 7.625%, 11/1/2018b | 4,103,200 | ||||||
Zayo Group, LLC | ||||||||
| 3,425,000 | 8.125%, 1/1/2020 | 3,810,312 | ||||||
|
| |||||||
| Total | 185,030,510 | |||||||
|
| |||||||
| Consumer Cyclical (14.6%) | |||||||
Algeco Scotsman Global Finance plc | ||||||||
| 3,680,000 | 8.500%, 10/15/2018b | 3,808,800 | ||||||
American Axle & Manufacturing, Inc. | ||||||||
| 3,200,000 | 7.875%, 3/1/2017c | 3,312,000 | ||||||
Beazer Homes USA, Inc. | ||||||||
| 1,050,000 | 9.125%, 6/15/2018 | 1,094,625 | ||||||
| 3,530,000 | 9.125%, 5/15/2019 | 3,693,262 | ||||||
Brookfield Residential Properties, Inc. | ||||||||
| 2,630,000 | 6.500%, 12/15/2020b | 2,695,750 | ||||||
Burlington Coat Factory Warehouse Corporation | ||||||||
| 3,650,000 | 10.000%, 2/15/2019 | 3,942,000 | ||||||
Choice Hotels International, Inc. | ||||||||
| 2,120,000 | 5.750%, 7/1/2022 | 2,347,900 | ||||||
Chrysler Group, LLC | ||||||||
| 2,770,000 | 8.000%, 6/15/2019c | 3,019,300 | ||||||
| 2,600,000 | 8.250%, 6/15/2021c | 2,860,000 | ||||||
DineEquity, Inc. | ||||||||
| 4,200,000 | 9.500%, 10/30/2018 | 4,772,250 | ||||||
Eldorado Resorts, LLC | ||||||||
| 4,820,000 | 8.625%, 6/15/2019d | 4,579,000 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
247
High Yield Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (93.1%) | Value | ||||||
| Consumer Cyclical (14.6%) - continued |
| ||||||
General Motors Financial Company, Inc. | ||||||||
| $ | 2,900,000 | 4.750%, 8/15/2017b | $ | 3,049,321 | ||||
| 1,310,000 | 6.750%, 6/1/2018 | 1,502,810 | ||||||
Host Hotels and Resorts, Inc. | ||||||||
| 3,710,000 | 5.250%, 3/15/2022c | 4,062,450 | ||||||
KB Home | ||||||||
| 1,070,000 | 7.250%, 6/15/2018 | 1,163,625 | ||||||
| 2,000,000 | 8.000%, 3/15/2020c | 2,270,000 | ||||||
| 1,580,000 | 7.500%, 9/15/2022 | 1,722,200 | ||||||
Lear Corporation | ||||||||
| 1,980,000 | 7.875%, 3/15/2018 | 2,153,250 | ||||||
| 1,980,000 | 8.125%, 3/15/2020 | 2,232,450 | ||||||
Limited Brands, Inc. | ||||||||
| 1,570,000 | 6.625%, 4/1/2021 | 1,797,650 | ||||||
| 1,860,000 | 5.625%, 2/15/2022 | 2,022,750 | ||||||
MGM Resorts International | ||||||||
| 5,365,000 | 10.000%, 11/1/2016 | 6,209,988 | ||||||
Mohegan Tribal Gaming Authority | ||||||||
| 4,720,000 | 10.500%, 12/15/2016b | 4,625,600 | ||||||
NCL Corporation, Ltd. | ||||||||
| 2,170,000 | 11.750%, 11/15/2016 | 2,452,100 | ||||||
| 5,530,000 | 9.500%, 11/15/2018 | 6,138,300 | ||||||
Realogy Corporation | ||||||||
| 2,980,000 | 11.500%, 4/15/2017 | 3,225,850 | ||||||
ROC Finance, LLC | ||||||||
| 4,780,000 | 12.125%, 9/1/2018b | 5,520,900 | ||||||
Royal Caribbean Cruises, Ltd. | ||||||||
| 6,000,000 | 5.250%, 11/15/2022 | 6,345,000 | ||||||
Ryman Hospitality Properties, Inc. | ||||||||
| 5,060,000 | 6.750%, 11/15/2014c | 5,060,000 | ||||||
Seminole Indian Tribe of Florida | ||||||||
| 4,735,000 | 7.804%, 10/1/2020b | 4,864,739 | ||||||
Seven Seas Cruises S de RL, LLC | ||||||||
| 5,270,000 | 9.125%, 5/15/2019b | 5,573,025 | ||||||
Six Flags Entertainment Corporation | ||||||||
| 6,830,000 | 5.250%, 1/15/2021b | 6,830,000 | ||||||
Studio City Finance, Ltd. | ||||||||
| 5,240,000 | 8.500%, 12/1/2020b | 5,479,075 | ||||||
Tunica-Biloxi Gaming Authority | ||||||||
| 4,770,000 | 9.000%, 11/15/2015d | 4,221,450 | ||||||
West Corporation | ||||||||
| 4,650,000 | 8.625%, 10/1/2018 | 4,870,875 | ||||||
| 2,360,000 | 7.875%, 1/15/2019 | 2,442,600 | ||||||
|
| |||||||
| Total | 131,960,895 | |||||||
|
| |||||||
| Consumer Non-Cyclical (11.3%) | |||||||
Biomet, Inc. | ||||||||
| 7,350,000 | 6.500%, 10/1/2020b | 7,304,063 | ||||||
CDRT Holding Corporation | ||||||||
| 2,630,000 | 9.250%, 10/1/2017b | 2,682,600 | ||||||
Community Health Systems, Inc. | ||||||||
| 2,110,000 | 5.125%, 8/15/2018 | 2,199,675 | ||||||
| 3,440,000 | 8.000%, 11/15/2019 | 3,723,800 | ||||||
DaVita HealthCare Partners, Inc. | ||||||||
| 2,630,000 | 5.750%, 8/15/2022 | 2,771,362 | ||||||
Del Monte Corporation | ||||||||
| 1,300,000 | 7.625%, 2/15/2019 | 1,355,250 | ||||||
DJO Finance, LLC | ||||||||
| 1,600,000 | 9.750%, 10/15/2017c | 1,424,000 | ||||||
| 3,650,000 | 8.750%, 3/15/2018b | 3,987,625 | ||||||
Elan Finance plc | ||||||||
| 2,630,000 | 6.250%, 10/15/2019b | 2,748,350 | ||||||
Emergency Medical Services Corporation | ||||||||
| 5,370,000 | 8.125%, 6/1/2019 | 5,896,931 | ||||||
Fresenius Medical Care US Finance, Inc. | ||||||||
| 2,660,000 | 6.500%, 9/15/2018b | 2,972,550 | ||||||
Grifols, Inc. | ||||||||
| 4,380,000 | 8.250%, 2/1/2018 | 4,823,475 | ||||||
HCA, Inc. | ||||||||
| 5,180,000 | 7.500%, 2/15/2022 | 5,931,100 | ||||||
| 4,860,000 | 4.750%, 5/1/2023 | 4,945,050 | ||||||
Ingles Markets, Inc. | ||||||||
| 1,600,000 | 8.875%, 5/15/2017 | 1,706,000 | ||||||
JBS Finance II, Ltd. | ||||||||
| 5,050,000 | 8.250%, 1/29/2018c,d | 5,353,000 | ||||||
JBS USA, LLC/JBS USA Finance, Inc. | ||||||||
| 3,150,000 | 11.625%, 5/1/2014 | 3,520,125 | ||||||
Libbey Glass, Inc. | ||||||||
| 3,690,000 | 6.875%, 5/15/2020 | 3,966,750 | ||||||
Michael Foods Holding, Inc. | ||||||||
| 1,050,000 | 8.500%, 7/15/2018b | 1,071,000 | ||||||
Michael Foods, Inc. | ||||||||
| 4,240,000 | 9.750%, 7/15/2018 | 4,685,200 | ||||||
Revlon Consumer Products Corporation | ||||||||
| 3,730,000 | 9.750%, 11/15/2015 | 3,925,825 | ||||||
Rite Aid Corporation | ||||||||
| 2,870,000 | 7.500%, 3/1/2017 | 2,948,925 | ||||||
| 2,060,000 | 9.500%, 6/15/2017 | 2,150,125 | ||||||
Spectrum Brands Escrow Corporation | ||||||||
| 790,000 | 6.375%, 11/15/2020b | 829,500 | ||||||
| 660,000 | 6.625%, 11/15/2022b | 707,850 | ||||||
Spectrum Brands Holdings, Inc. | ||||||||
| 4,630,000 | 9.500%, 6/15/2018 | 5,255,050 | ||||||
Teleflex, Inc. | ||||||||
| 4,210,000 | 6.875%, 6/1/2019 | 4,546,800 | ||||||
Visant Corporation | ||||||||
| 4,890,000 | 10.000%, 10/1/2017 | 4,388,775 | ||||||
Warner Chilcott Company, LLC | ||||||||
| 4,110,000 | 7.750%, 9/15/2018 | 4,377,150 | ||||||
|
| |||||||
| Total | 102,197,906 | |||||||
|
| |||||||
| Energy (11.2%) | |||||||
Chaparral Energy, Inc. | ||||||||
| 1,500,000 | 7.625%, 11/15/2022b | 1,560,000 | ||||||
| 2,650,000 | 7.625%, 11/15/2022c | 2,782,500 | ||||||
Coffeyville Resources, LLC | ||||||||
| 3,600,000 | 10.875%, 4/1/2017b,c | 3,960,000 | ||||||
Concho Resources, Inc. | ||||||||
| 5,240,000 | 6.500%, 1/15/2022 | 5,764,000 | ||||||
Continental Resources, Inc. | ||||||||
| 3,710,000 | 5.000%, 9/15/2022 | 3,997,525 | ||||||
Denbury Resources, Inc. | ||||||||
| 800,000 | 9.750%, 3/1/2016 | 848,000 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
248
High Yield Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (93.1%) | Value | ||||||
| Energy (11.2%) - continued | |||||||
| $ | 428,000 | 8.250%, 2/15/2020 | $ | 481,500 | ||||
| 1,710,000 | 6.375%, 8/15/2021 | 1,881,000 | ||||||
Drill Rigs Holdings, Inc. | ||||||||
| 1,310,000 | 6.500%, 10/1/2017b | 1,303,450 | ||||||
Energy XXI Gulf Coast, Inc. | ||||||||
| 2,110,000 | 9.250%, 12/15/2017 | 2,410,675 | ||||||
| 1,580,000 | 7.750%, 6/15/2019 | 1,726,150 | ||||||
Halcon Resources Corporation | ||||||||
| 5,250,000 | 8.875%, 5/15/2021b | 5,565,000 | ||||||
Harvest Operations Corporation | ||||||||
| 5,290,000 | 6.875%, 10/1/2017 | 5,871,900 | ||||||
Helix Energy Solutions Group, Inc. | ||||||||
| 2,316,000 | 9.500%, 1/15/2016b | 2,373,900 | ||||||
Key Energy Services, Inc. | ||||||||
| 1,590,000 | 6.750%, 3/1/2021b | 1,582,050 | ||||||
Linn Energy, LLC | ||||||||
| 2,250,000 | 8.625%, 4/15/2020 | 2,452,500 | ||||||
| 2,195,000 | 7.750%, 2/1/2021 | 2,337,675 | ||||||
Markwest Energy Partners, LP/Markwest Energy Finance Corporation | ||||||||
| 2,660,000 | 6.250%, 6/15/2022 | 2,899,400 | ||||||
MEG Energy Corporation | ||||||||
| 3,160,000 | 6.375%, 1/30/2023b | 3,294,300 | ||||||
Newfield Exploration Company | ||||||||
| 3,160,000 | 5.750%, 1/30/2022 | 3,476,000 | ||||||
Northern Tier Energy, LLC | ||||||||
| 3,020,000 | 7.125%, 11/15/2020b | 3,125,700 | ||||||
Oasis Petroleum, Inc. | ||||||||
| 2,670,000 | 7.250%, 2/1/2019 | 2,870,250 | ||||||
| 1,590,000 | 6.500%, 11/1/2021 | 1,689,375 | ||||||
Pacific Drilling V, Ltd. | ||||||||
| 3,140,000 | 7.250%, 12/1/2017b | 3,257,750 | ||||||
Plains Exploration & Production Company | ||||||||
| 2,500,000 | 6.125%, 6/15/2019 | 2,725,000 | ||||||
| 2,500,000 | 6.750%, 2/1/2022 | 2,806,250 | ||||||
Precision Drilling Corporation | ||||||||
| 2,450,000 | 6.625%, 11/15/2020 | 2,633,750 | ||||||
| 1,060,000 | 6.500%, 12/15/2021 | 1,128,900 | ||||||
QEP Resources, Inc. | ||||||||
| 3,670,000 | 6.875%, 3/1/2021 | 4,229,675 | ||||||
SandRidge Energy, Inc. | ||||||||
| 2,080,000 | 8.000%, 6/1/2018b | 2,204,800 | ||||||
| 3,680,000 | 7.500%, 2/15/2023 | 3,937,600 | ||||||
Seadrill, Ltd. | ||||||||
| 1,580,000 | 5.625%, 9/15/2017b | 1,568,150 | ||||||
SESI, LLC | ||||||||
| 1,700,000 | 6.375%, 5/1/2019 | 1,819,000 | ||||||
| 3,200,000 | 7.125%, 12/15/2021 | 3,560,000 | ||||||
Swift Energy Company | ||||||||
| 2,110,000 | 7.875%, 3/1/2022b | 2,204,950 | ||||||
United Refining Company | ||||||||
| 4,710,000 | 10.500%, 2/28/2018 | 5,110,350 | ||||||
|
| |||||||
| Total | 101,439,025 | |||||||
|
| |||||||
| Financials (7.6%) | |||||||
Ally Financial, Inc. | ||||||||
| 2,080,000 | 7.500%, 12/31/2013 | 2,197,000 | ||||||
| 1,810,000 | 5.500%, 2/15/2017 | 1,936,271 | ||||||
| 2,650,000 | 8.000%, 3/15/2020 | 3,246,250 | ||||||
| 5,590,000 | 7.500%, 9/15/2020 | 6,749,925 | ||||||
Aviv Healthcare Properties, LP | ||||||||
| 5,270,000 | 7.750%, 2/15/2019 | 5,586,200 | ||||||
CIT Group, Inc. | ||||||||
| 2,870,000 | 5.250%, 4/1/2014b | 2,970,450 | ||||||
| 2,410,000 | 5.000%, 5/15/2017 | 2,554,600 | ||||||
Community Choice Financial, Inc. | ||||||||
| 2,620,000 | 10.750%, 5/1/2019 | 2,521,750 | ||||||
CyrusOne, LP/CyrusOne Finance Corporation | ||||||||
| 5,040,000 | 6.375%, 11/15/2022b | 5,254,200 | ||||||
DDR Corporation | ||||||||
| 780,000 | 4.625%, 7/15/2022 | 851,255 | ||||||
Developers Diversified Realty Corporation | ||||||||
| 3,190,000 | 7.875%, 9/1/2020 | 4,089,357 | ||||||
Eksportfinans ASA | ||||||||
| 2,670,000 | 2.375%, 5/25/2016 | 2,547,191 | ||||||
Icahn Enterprises, LP | ||||||||
| 4,730,000 | 7.750%, 1/15/2016 | 4,901,462 | ||||||
| 7,360,000 | 8.000%, 1/15/2018 | 7,902,800 | ||||||
International Lease Finance Corporation | ||||||||
| 2,250,000 | 8.625%, 9/15/2015 | 2,528,437 | ||||||
| 1,600,000 | 8.875%, 9/1/2017 | 1,880,128 | ||||||
Milestone Aviation Group, LLC | ||||||||
| 1,050,000 | 8.625%, 12/15/2017b | 1,052,625 | ||||||
Omega Healthcare Investors, Inc. | ||||||||
| 6,900,000 | 5.875%, 3/15/2024 | 7,314,000 | ||||||
Speedy Cash Intermediate Holdings Corporation | ||||||||
| 2,500,000 | 10.750%, 5/15/2018b | 2,662,500 | ||||||
|
| |||||||
| Total | 68,746,401 | |||||||
|
| |||||||
| Technology (4.4%) | |||||||
Alliance Data Systems Corporation | ||||||||
| 4,190,000 | 5.250%, 12/1/2017b | 4,252,850 | ||||||
| 3,840,000 | 6.375%, 4/1/2020b | 4,089,600 | ||||||
Amkor Technology, Inc. | ||||||||
| 3,130,000 | 6.625%, 6/1/2021c | 3,122,175 | ||||||
Equinix, Inc. | ||||||||
| 3,770,000 | 8.125%, 3/1/2018 | 4,156,425 | ||||||
| 1,050,000 | 7.000%, 7/15/2021 | 1,165,500 | ||||||
First Data Corporation | ||||||||
| 3,680,000 | 11.250%, 3/31/2016 | 3,606,400 | ||||||
| 1,000,000 | 7.375%, 6/15/2019b | 1,035,000 | ||||||
| 1,850,000 | 12.625%, 1/15/2021 | 1,947,125 | ||||||
Freescale Semiconductor, Inc. | ||||||||
| 2,110,000 | 8.050%, 2/1/2020c | 2,099,450 | ||||||
| 2,400,000 | 10.750%, 8/1/2020 | 2,574,000 | ||||||
Infor US, Inc. | ||||||||
| 3,090,000 | 9.375%, 4/1/2019 | 3,468,525 | ||||||
Jabil Circuit, Inc. | ||||||||
| 1,580,000 | 4.700%, 9/15/2022 | 1,660,975 | ||||||
NXP BV/NXP Funding, LLC | ||||||||
| 682,000 | 9.750%, 8/1/2018b | 790,268 | ||||||
Seagate HDD Cayman | ||||||||
| 3,140,000 | 7.750%, 12/15/2018 | 3,450,075 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
249
High Yield Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (93.1%) | Value | ||||||
| Technology (4.4%) - continued | ||||||||
Sensata Technologies BV | ||||||||
| $ | 2,100,000 | 6.500%, 5/15/2019b,c | $ | 2,236,500 | ||||
|
| |||||||
| Total | 39,654,868 | |||||||
|
| |||||||
| Transportation (3.2%) | |||||||
American Petroleum Tankers, LLC | ||||||||
| 1,204,000 | 10.250%, 5/1/2015 | 1,258,180 | ||||||
Avis Budget Car Rental, LLC | ||||||||
| 5,830,000 | 8.250%, 1/15/2019 | 6,442,150 | ||||||
Bristow Group, Inc. | ||||||||
| 1,570,000 | 6.250%, 10/15/2022 | 1,679,900 | ||||||
CMA CGM SA | ||||||||
| 4,710,000 | 8.500%, 4/15/2017b | 3,756,225 | ||||||
Continental Airlines, Inc. | ||||||||
| 3,000,000 | 6.750%, 9/15/2015b | 3,150,000 | ||||||
| 1,560,000 | 6.125%, 4/29/2018b | 1,560,000 | ||||||
| 530,000 | 6.250%, 4/11/2020 | 561,800 | ||||||
HDTFS, Inc. | ||||||||
| 790,000 | 6.250%, 10/15/2022b | 841,350 | ||||||
Navios Maritime Acquisition Corporation | ||||||||
| 1,570,000 | 8.625%, 11/1/2017 | 1,471,875 | ||||||
Navios Maritime Holdings, Inc. | ||||||||
| 2,910,000 | 8.875%, 11/1/2017 | 2,902,725 | ||||||
| 2,220,000 | 8.125%, 2/15/2019c | 1,931,400 | ||||||
Navios South American Logistics, Inc./Navios Logistics Finance US, Inc. | ||||||||
| 1,360,000 | 9.250%, 4/15/2019 | 1,334,500 | ||||||
United Air Lines, Inc. | ||||||||
| 1,833,865 | 9.750%, 1/15/2017 | 2,108,944 | ||||||
|
| |||||||
| Total | 28,999,049 | |||||||
|
| |||||||
| Utilities (4.5%) | |||||||
Access Midstream Partners, LP | ||||||||
| 1,420,000 | 4.875%, 5/15/2023 | 1,441,300 | ||||||
AES Corporation | ||||||||
| 5,900,000 | 7.375%, 7/1/2021 | 6,549,000 | ||||||
Atlas Pipeline Partners, LP | ||||||||
| 1,470,000 | 6.625%, 10/1/2020b | 1,521,450 | ||||||
Chesapeake Midstream Partners, LP | ||||||||
| 930,000 | 6.125%, 7/15/2022 | 1,002,075 | ||||||
Covanta Holding Corporation | ||||||||
| 2,600,000 | 7.250%, 12/1/2020 | 2,864,672 | ||||||
| 1,850,000 | 6.375%, 10/1/2022 | 2,009,043 | ||||||
Crosstex Energy, LP/Crosstex Energy Finance Corporation | ||||||||
| 3,730,000 | 8.875%, 2/15/2018 | 4,028,400 | ||||||
| 1,060,000 | 7.125%, 6/1/2022b | 1,105,050 | ||||||
Holly Energy Partners, LP | ||||||||
| 2,130,000 | 8.250%, 3/15/2018 | 2,316,375 | ||||||
| 930,000 | 6.500%, 3/1/2020b | 995,100 | ||||||
NRG Energy, Inc. | ||||||||
| 5,400,000 | 6.625%, 3/15/2023b | 5,778,000 | ||||||
Regency Energy Partners, LP | ||||||||
| 3,670,000 | 6.875%, 12/1/2018 | 4,000,300 | ||||||
| 840,000 | 5.500%, 4/15/2023 | 896,700 | ||||||
Targa Resources Partners, LP | ||||||||
| 4,720,000 | 5.250%, 5/1/2023b | 4,885,200 | ||||||
Tesoro Logistics, LP | ||||||||
| 970,000 | 5.875%, 10/1/2020b | 1,006,375 | ||||||
|
| |||||||
| Total | 40,399,040 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $793,398,892) | 842,532,313 | |||||||
|
| |||||||
| Shares | Preferred Stock (0.5%) | |||||||
| Financials (0.5%) | |||||||
Ally Financial, Inc., | ||||||||
| 3,381 | 7.000%b,e | 3,320,671 | ||||||
Ally Financial, Inc., | ||||||||
| 62,690 | 8.500%e | 1,646,866 | ||||||
|
| |||||||
| Total | 4,967,537 | |||||||
|
| |||||||
Total Preferred Stock (cost $3,716,920) | 4,967,537 | |||||||
|
| |||||||
Common Stock (<0.1%) | ||||||||
| Consumer Discretionary (<0.1%) | |||||||
| 121,520 | TVMAX Holdings, Inc.f,g | 12 | ||||||
|
| |||||||
| Total | 12 | |||||||
|
| |||||||
| Materials (<0.1%) | |||||||
| 622 | Rock-Tenn Company | 43,484 | ||||||
|
| |||||||
| Total | 43,484 | |||||||
|
| |||||||
Total Common Stock (cost $6,310,279) | 43,496 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (5.2%) | ||||||||
| 46,919,696 | Thrivent Cash Management Trust | 46,919,696 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $46,919,696) | 46,919,696 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (3.4%) | |||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 500,000 | 0.060%, 1/18/2013h,i | 499,986 | ||||||
| 30,490,937 | Thrivent Cash Management Trust | 30,490,937 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 30,990,923 | |||||||
|
| |||||||
| Total Investments (cost $892,603,093) 103.5% | $ | 936,954,252 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (3.5%) | (32,056,829 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 904,897,423 | ||||||
|
| |||||||
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2012, the value of these investments was $290,380,887 or 32.1% of total net assets. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
250
High Yield Portfolio
Schedule of Investments as of December 31, 2012
| c | All or a portion of the security is on loan. |
| d | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities High Yield Portfolio owned as of December 31, 2012. |
Security | Acquisition Date | Cost | ||||||
Eldorado Resorts, LLC | 5/19/2011 | $ | 4,722,847 | |||||
JBS Finance II, Ltd. | 7/22/2010 | $ | 4,981,017 | |||||
Liberty Tire Recycling | 9/23/2010 | $ | 2,107,188 | |||||
Tunica-Biloxi Gaming Authority | 11/8/2005 | $ | 4,754,786 | |||||
| e | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| f | Security is fair valued. |
| g | Non-income producing security. |
| h | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| i | At December 31, 2012, $289,992 of investments were pledged as collateral with the custodian under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 56,237,042 | ||
Gross unrealized depreciation | (12,131,214 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 44,105,828 | ||
Cost for federal income tax purposes | $ | 892,848,424 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
251
High Yield Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing High Yield Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Consumer Non-Cyclical | 4,739,384 | — | 4,739,384 | — | ||||||||||||
Financials | 2,694,732 | — | 2,694,732 | — | ||||||||||||
Technology | 4,066,171 | — | 4,066,171 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 2,800,514 | — | 2,800,514 | — | ||||||||||||
Basic Materials | 70,962,980 | — | 70,962,980 | — | ||||||||||||
Capital Goods | 70,341,125 | — | 70,341,125 | — | ||||||||||||
Communications Services | 185,030,510 | — | 185,030,510 | — | ||||||||||||
Consumer Cyclical | 131,960,895 | — | 131,960,895 | — | �� | |||||||||||
Consumer Non-Cyclical | 102,197,906 | — | 102,197,906 | — | ||||||||||||
Energy | 101,439,025 | — | 101,439,025 | — | ||||||||||||
Financials | 68,746,401 | — | 68,746,401 | — | ||||||||||||
Technology | 39,654,868 | — | 39,654,868 | — | ||||||||||||
Transportation | 28,999,049 | — | 28,999,049 | — | ||||||||||||
Utilities | 40,399,040 | — | 40,399,040 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 4,967,537 | 1,646,866 | 3,320,671 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 12 | — | — | 12 | ||||||||||||
Materials | 43,484 | 43,484 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 46,919,696 | 46,919,696 | — | — | ||||||||||||
Short-Term Investments | 30,990,923 | 30,490,937 | 499,986 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 936,954,252 | $ | 79,100,983 | $ | 857,853,257 | $ | 12 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives Credit Default Swaps | 717,431 | — | 717,431 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 717,431 | $ | — | $ | 717,431 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||||||
CDX HY, Series 18, 5 Year, at 5.00%; | Buy | 6/20/2017 | $ | 7,920,000 | $ | (301,853 | ) | $ | (133,799 | ) | $ | (435,652 | ) | |||||||
CDX HY, Series 19, 5 Year, at 5.00%; | Buy | 12/20/2017 | 7,800,000 | (237,850 | ) | (43,929 | ) | (281,779 | ) | |||||||||||
Total Credit Default Swaps | $ | (177,728 | ) | $ | (717,431 | ) | ||||||||||||||
| 1 | As the buyer of protection, High Yield Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, High Yield Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
| 2 | The maximum potential amount of future payments High Yield Portfolio could be required to make as the seller or receive as the buyer of protection. |
| 3 | The values for credit indexes (CDX or LCDX) serve as an indicator of the current status of the payment/performance risk and represent the liability or profit for the credit default swap contract had the contract been closed as of the reporting date. When protection has been sold, the value of the swap will increase when the swap spread declines representing an improvement in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. When protection has been purchased, the value of the swap will increase when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread declines representing an improvement in the reference entity’s credit worthiness. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
252
High Yield Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2012, for High Yield Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Liability Derivatives | ||||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Netunrealized appreciation/(depreciation) on Swap agreements | $ | 717,431 | |||
Total Credit Contracts | 717,431 | |||||
|
| |||||
Total Liability Derivatives | $ | 717,431 | ||||
|
| |||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for High Yield Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 266,760 | ||||
Total Equity Contracts | 266,760 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (394,702 | ) | |||
Total Credit Contracts | (394,702 | ) | ||||
|
| |||||
Total | ($ | 127,942 | ) | |||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2012, for High Yield Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (717,431 | ) | |||
Total Credit Contracts | (717,431 | ) | ||||
|
| |||||
Total | $ | (717,431 | ) | |||
|
| |||||
The following table presents High Yield Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 340,238 | <0.1 | % | N/A | N/A | ||||||||||
Credit Contracts | N/A | N/A | $ | 1,560,427 | 0.2 | % | ||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
253
High Yield Portfolio
Schedule of Investments as of December 31, 2012
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in High Yield Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 50,915,269 | $ | 332,727,917 | $ | 336,723,490 | 46,919,696 | $ | 46,919,696 | $ | 278,941 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 95,390,150 | 64,899,213 | 30,490,937 | 30,490,937 | 7,764 | ||||||||||||||||||
Total Value and Income Earned | 50,915,269 | 77,410,633 | 286,705 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
254
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Bank Loans (8.9%)a | Value | ||||||
| Basic Materials (1.0%) |
| ||||||
Arch Coal, Inc., Term Loan | ||||||||
| $ | 807,875 | 3.259%, 5/16/2018b,c | $ | 815,073 | ||||
FMG Resources August 2006 Pty., Ltd., Term Loan | ||||||||
| 648,375 | 5.250%, 10/18/2017 | 653,238 | ||||||
Ineos US Finance, LLC, Term Loan | ||||||||
| 885,950 | 3.932%, 5/4/2018 b,c | 894,561 | ||||||
|
| |||||||
| Total | 2,362,872 | |||||||
|
| |||||||
| Communications Services (2.7%) | |||||||
Charter Communications Operating, LLC, Term Loan | ||||||||
| 178,650 | 4.000%, 5/15/2019 | 180,035 | ||||||
Clear Channel Communications, Inc., Term Loan | ||||||||
| 450,000 | 3.862%, 1/29/2016 | 370,899 | ||||||
Cumulus Media Holdings, Inc., Term Loan | ||||||||
| 500,000 | 0.000%, 9/17/2018b,c | 501,095 | ||||||
Fairpoint Communications, Inc., Term Loan | ||||||||
| 350,000 | 4.500%, 1/25/2016b,c | 337,883 | ||||||
Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 448,864 | 4.500%, 4/2/2018 | 452,324 | ||||||
Level 3 Financing, Inc., Term Loan | ||||||||
| 800,000 | 4.750%, 8/1/2019 b,c | 803,336 | ||||||
Toys R Us, Inc., Term Loan | ||||||||
| 882,825 | 5.250%, 5/25/2018 | 843,654 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
| 359,754 | 2.212%, 9/29/2014 | 359,082 | ||||||
| 450,000 | 4.462%, 3/31/2017 | 442,197 | ||||||
Van Wagner Communications, Inc., Term Loan | ||||||||
| 350,000 | 8.250%, 8/3/2018 | 353,210 | ||||||
WideOpenWest Finance, LLC, Term Loan | ||||||||
| 447,750 | 6.250%, 7/12/2018 | 452,330 | ||||||
Zayo Group, LLC, Term Loan | ||||||||
| 1,095,373 | 5.250%, 7/2/2019 | 1,107,356 | ||||||
|
| |||||||
| Total | 6,203,401 | |||||||
|
| |||||||
| Consumer Cyclical (0.8%) | |||||||
Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
| 442,911 | 5.500%, 2/23/2017 | 445,994 | ||||||
Chrysler Group, LLC, Term Loan | ||||||||
| 446,600 | 6.000%, 5/24/2017 | 455,406 | ||||||
MGM Resorts International, Term Loan | ||||||||
| 1,000,000 | 3.250%, 12/13/2019b,c | 1,009,750 | ||||||
|
| |||||||
| Total | 1,911,150 | |||||||
|
| |||||||
| Consumer Non-Cyclical (1.5%) | |||||||
Bausch & Lomb, Inc., Term Loan | ||||||||
| 447,750 | 5.250%, 5/17/2019 | 450,947 | ||||||
| Biomet, Inc., Term Loan | ||||||||
| 1,000,000 | 3.750%, 7/25/2017b,c | 1,004,860 | ||||||
CHS/Community Health Systems, Inc., Term Loan | ||||||||
| 450,000 | 3.811%, 1/25/2017 | 452,416 | ||||||
Roundy’s Supermarkets, Inc., Term Loan | ||||||||
| 446,625 | 5.750%, 2/13/2019 | 419,131 | ||||||
SUPERVALU, Inc., Term Loan | ||||||||
| 430,000 | 6.750%, 8/10/2018b,c | 435,831 | ||||||
Visant Corporation, Term Loan | ||||||||
| 840,918 | 5.250%, 12/22/2016 | 762,082 | ||||||
|
| |||||||
| Total | 3,525,267 | |||||||
|
| |||||||
| Energy (0.4%) | |||||||
Cheasapeake Energy Corporation, Term Loan | ||||||||
| 885,000 | 5.750%, 12/2/2017b,c | 885,221 | ||||||
|
| |||||||
| Total | 885,221 | |||||||
|
| |||||||
| Financials (0.4%) | |||||||
Nuveen Investments, Inc., Term Loan | ||||||||
| 800,000 | 3.269%, 5/13/2017 b,c | 803,000 | ||||||
|
| |||||||
| Total | 803,000 | |||||||
|
| |||||||
| Technology (1.3%) | |||||||
First Data Corporation Extended, Term Loan | ||||||||
| 900,000 | 2.105%, 3/26/2018 b,c | 854,901 | ||||||
Freescale Semiconductor, Inc., Term Loan | ||||||||
| 815,696 | 6.000%, 2/28/2019 | 808,175 | ||||||
Infor US, Inc., Term Loan | ||||||||
| 358,202 | 5.250%, 4/5/2018 | 361,143 | ||||||
SunGard Data Systems, Inc., Term Loan | ||||||||
| 1,000,000 | 3.500%, 12/4/2019b,c | 1,007,500 | ||||||
|
| |||||||
| Total | 3,031,719 | |||||||
|
| |||||||
| Transportation (0.4%) | |||||||
Delta Air Lines, Inc., Term Loan | ||||||||
| 796,599 | 5.500%, 4/20/2017 b,c | 803,068 | ||||||
|
| |||||||
| Total | 803,068 | |||||||
|
| |||||||
| Utilities (0.4%) | |||||||
Calpine Corporation, Term Loan | ||||||||
| 450,000 | 3.250%, 4/1/2018b,c | 453,861 | ||||||
NGPL PipeCo, LLC, Term Loan | ||||||||
| 433,928 | 6.750%, 9/15/2017 | 443,150 | ||||||
|
| |||||||
| Total | 897,011 | |||||||
|
| |||||||
| Total Bank Loans (cost $20,418,320) | 20,422,709 | |||||||
|
| |||||||
Long-Term Fixed Income (44.0%) | ||||||||
| Asset-Backed Securities (1.4%) | ||||||||
Asset Backed Securities Corporation Home Equity | ||||||||
| 1,000,000 | 0.370%, 11/25/2036d | 633,757 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
255
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (44.0%) | Value | ||||||
| Asset-Backed Securities (1.4%) - continued |
| ||||||
Carrington Mortgage Loan Trust | ||||||||
| $ | 1,200,000 | 0.360%, 8/25/2036d | $ | 648,920 | ||||
J.P. Morgan Mortgage Trust | ||||||||
| 763,000 | 2.856%, 2/25/2036 | 645,311 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 504,641 | 5.746%, 5/25/2036 | 329,428 | ||||||
| 632,000 | 6.011%, 5/25/2036 | 383,542 | ||||||
| 950,000 | 5.797%, 8/25/2036 | 545,992 | ||||||
|
| |||||||
| Total | 3,186,950 | |||||||
|
| |||||||
| Basic Materials (0.8%) |
| ||||||
Dow Chemical Company | ||||||||
| 200,000 | 8.550%, 5/15/2019 | 270,015 | ||||||
FMG Resources Property, Ltd. | ||||||||
| 475,000 | 6.000%, 4/1/2017e | 484,500 | ||||||
Hexion US Finance Corporation/Hexion Nova Scotia Finance ULC | ||||||||
| 100,000 | 8.875%, 2/1/2018 | 102,750 | ||||||
Ineos Finance plc | ||||||||
| 620,000 | 7.500%, 5/1/2020e | 649,450 | ||||||
Inmet Mining Corporation | ||||||||
| 410,000 | 7.500%, 6/1/2021e | 425,375 | ||||||
|
| |||||||
| Total | 1,932,090 | |||||||
|
| |||||||
| Capital Goods (1.0%) |
| ||||||
Bombardier, Inc. | ||||||||
| 100,000 | 5.750%, 3/15/2022e,f | 102,750 | ||||||
Case New Holland, Inc. | ||||||||
| 260,000 | 7.875%, 12/1/2017 | 307,450 | ||||||
CNH Capital, LLC | ||||||||
| 215,000 | 3.875%, 11/1/2015e | 221,719 | ||||||
Crown Cork & Seal Company, Inc. | ||||||||
| 129,000 | 7.375%, 12/15/2026 | 143,190 | ||||||
RBS Global, Inc. | ||||||||
| 100,000 | 8.500%, 5/1/2018 | 108,375 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
| 475,000 | 6.875%, 2/15/2021 | 511,812 | ||||||
Textron, Inc. | ||||||||
| 300,000 | 7.250%, 10/1/2019 | 366,316 | ||||||
UR Financing Escrow Corporation | ||||||||
| 475,000 | 7.375%, 5/15/2020e | 521,313 | ||||||
|
| |||||||
| Total | 2,282,925 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (12.7%) |
| ||||||
Adjustable Rate Mortgage Trust | ||||||||
| 1,072,000 | 3.109%, 11/25/2035 | 717,507 | ||||||
American Home Mortgage Investment Trust | ||||||||
| 1,724,825 | 6.250%, 12/25/2036 | 920,162 | ||||||
Banc of America Alternative Loan Trust | ||||||||
| 656,165 | 0.710%, 4/25/2035d | 517,915 | ||||||
Banc of America Funding Corporation | ||||||||
| 465,613 | 5.118%, 5/20/2036 | 364,244 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
| 392,748 | 2.470%, 10/25/2035d | 378,182 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 533,131 | 5.500%, 11/25/2035 | 470,918 | ||||||
| 1,472,195 | 3.046%, 3/25/2037 | 998,484 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
| 767,361 | 5.750%, 4/25/2037 | 639,357 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 651,638 | 0.610%, 2/25/2035d | 533,873 | ||||||
| 1,426,188 | 2.915%, 10/25/2035 | 1,172,593 | ||||||
| 618,663 | 5.500%, 2/25/2036 | 512,066 | ||||||
| 333,752 | 6.000%, 4/25/2036 | 258,933 | ||||||
| 776,933 | 6.500%, 8/25/2036 | 527,879 | ||||||
| 291,170 | 6.000%, 1/25/2037 | 241,069 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust | ||||||||
| 842,950 | 3.011%, 11/25/2035 | 666,709 | ||||||
Deutsche Alt-A Securities, Inc. Alternative Loan Trust | ||||||||
| 212,849 | 5.500%, 10/25/2021 | 217,805 | ||||||
| 525,225 | 0.410%, 11/25/2035d | 290,606 | ||||||
| 1,115,845 | 0.936%, 4/25/2047d | 842,505 | ||||||
First Horizon Mortgage Pass- Through Trust | ||||||||
| 807,549 | 2.522%, 8/25/2037 | 609,739 | ||||||
Greenpoint Mortgage Funding Trust | ||||||||
| 841,678 | 0.410%, 10/25/2045d | 530,799 | ||||||
GSR Mortgage Loan Trust | ||||||||
| 382,464 | 0.400%, 8/25/2046d | 362,616 | ||||||
HomeBanc Mortgage Trust | ||||||||
| 480,324 | 2.650%, 4/25/2037 | 309,466 | ||||||
J.P. Morgan Alternative Loan Trust | ||||||||
| 1,062,597 | 6.500%, 3/25/2036 | 940,854 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 283,066 | 6.500%, 1/25/2035 | 279,141 | ||||||
| 213,531 | 3.002%, 10/25/2036 | 167,370 | ||||||
| 641,968 | 2.904%, 1/25/2037 | 494,092 | ||||||
| 623,155 | 6.250%, 8/25/2037 | 431,185 | ||||||
Lehman Mortgage Trust | ||||||||
| 799,295 | 0.960%, 12/25/2035d | 516,533 | ||||||
Lehman XS Trust | ||||||||
| 960,000 | 5.500%, 9/25/2035 | 765,277 | ||||||
Master Asset Securitization Trust | ||||||||
| 893,412 | 0.710%, 6/25/2036d | 571,392 | ||||||
MASTR Alternative Loans Trust | ||||||||
| 310,675 | 6.500%, 7/25/2034 | 328,658 | ||||||
| 682,329 | 0.660%, 12/25/2035d | 361,655 | ||||||
Morgan Stanley Mortgage Loan Trust | ||||||||
| 715,251 | 5.412%, 11/25/2035 | 479,217 | ||||||
MortgageIT Trust | ||||||||
| 929,875 | 0.470%, 12/25/2035d | 787,182 | ||||||
New Century Alternative Mortgage Loan Trust | ||||||||
| 1,511,700 | 6.167%, 7/25/2036 | 1,043,329 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
256
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (44.0%) | Value | ||||||
| Collateralized Mortgage Obligations (12.7%) - continued |
| ||||||
New York Mortgage Trust, Inc. | ||||||||
| $ | 235,617 | 2.988%, 5/25/2036 | $ | 20,322 | ||||
RALI Trust | ||||||||
| 908,159 | 5.750%, 4/25/2037 | 677,202 | ||||||
| 1,315,352 | 6.250%, 4/25/2037 | 1,014,372 | ||||||
| 502,596 | 6.000%, 6/25/2037 | 379,791 | ||||||
Residential Asset Securitization Trust | ||||||||
| 990,717 | 0.590%, 8/25/2037d | 316,631 | ||||||
Sequoia Mortgage Trust | ||||||||
| 2,191,388 | 4.923%, 9/20/2046 | 1,805,393 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
| 670,869 | 5.500%, 12/25/2034 | 646,706 | ||||||
| 982,447 | 5.158%, 5/25/2036 | 714,957 | ||||||
| 279,975 | 5.121%, 9/25/2036 | 19,273 | ||||||
Structured Asset Mortgage Investments, Inc. | ||||||||
| 790,815 | 0.520%, 12/25/2035d | 523,621 | ||||||
| 947,908 | 0.420%, 5/25/2046d | 545,908 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
| 1,293,928 | 5.238%, 8/25/2036 | 1,170,908 | ||||||
| 672,791 | 2.423%, 11/25/2036 | 539,431 | ||||||
| 176,331 | 2.699%, 8/25/2046 | 140,027 | ||||||
Washington Mutual Alternative Mortgage Pass Through Certificates | ||||||||
| 881,005 | 0.810%, 6/25/2035d | 621,437 | ||||||
| 879,594 | 0.916%, 2/25/2047d | 450,835 | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
| 402,650 | 6.000%, 7/25/2037 | 392,723 | ||||||
|
| |||||||
| Total | 29,228,849 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (0.8%) | |||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 1,000,000 | 5.509%, 9/15/2039 | 1,081,344 | ||||||
Greenwich Capital Commercial Funding Corporation | ||||||||
| 650,000 | 5.867%, 12/10/2049 | 726,679 | ||||||
|
| |||||||
| Total | 1,808,023 | |||||||
|
| |||||||
| Communications Services (3.3%) | |||||||
AMC Networks, Inc. | ||||||||
| 410,000 | 4.750%, 12/15/2022 | 412,050 | ||||||
British Telecommunications plc | ||||||||
| 200,000 | 2.000%, 6/22/2015 | 205,604 | ||||||
Cablevision Systems Corporation | ||||||||
| 475,000 | 8.625%, 9/15/2017 | 553,969 | ||||||
CenturyLink, Inc. | ||||||||
| 350,000 | 6.450%, 6/15/2021 | 386,750 | ||||||
Cequel Communications Escrow | ||||||||
| 1, LLC | ||||||||
| 410,000 | 6.375%, 9/15/2020e | 426,912 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
| 410,000 | 6.500%, 11/15/2022e | 425,375 | ||||||
Cox Communications, Inc. | ||||||||
| 200,000 | 3.250%, 12/15/2022e | 206,252 | ||||||
Crown Castle International Corporation | ||||||||
| 475,000 | 5.250%, 1/15/2023e | 508,250 | ||||||
Dish DBS Corporation | ||||||||
| 90,000 | 6.750%, 6/1/2021 | 102,600 | ||||||
Hughes Satellite Systems Corporation | ||||||||
| 475,000 | 6.500%, 6/15/2019 | 523,687 | ||||||
Intelsat Jackson Holdings SA | ||||||||
| 475,000 | 7.250%, 4/1/2019 | 510,625 | ||||||
NBCUniversal Media, LLC | ||||||||
| 200,000 | 2.875%, 1/15/2023 | 200,851 | ||||||
News America, Inc. | ||||||||
| 175,000 | 4.500%, 2/15/2021 | 199,928 | ||||||
Priceline.com, Inc., Convertible | ||||||||
| 360,000 | 1.000%, 3/15/2018e | 384,525 | ||||||
Sirius XM Radio, Inc. | ||||||||
| 410,000 | 5.250%, 8/15/2022e | 414,100 | ||||||
Sprint Nextel Corporation | ||||||||
| 235,000 | 9.000%, 11/15/2018e | 290,225 | ||||||
| 265,000 | 6.000%, 11/15/2022 | 272,287 | ||||||
Telecom Italia Capital SA | ||||||||
| 85,000 | 6.999%, 6/4/2018 | 97,155 | ||||||
Telefonica Emisiones SAU | ||||||||
| 87,000 | 5.462%, 2/16/2021 | 92,764 | ||||||
UPCB Finance V, Ltd. | ||||||||
| 475,000 | 7.250%, 11/15/2021e | 522,500 | ||||||
Virgin Media Finance plc | ||||||||
| 410,000 | 5.250%, 2/15/2022 | 434,600 | ||||||
Wind Acquisition Finance SA | ||||||||
| 170,000 | 11.750%, 7/15/2017e | 178,075 | ||||||
| 240,000 | 7.250%, 2/15/2018e | 243,000 | ||||||
|
| |||||||
| Total | 7,592,084 | |||||||
|
| |||||||
| Consumer Cyclical (2.3%) | |||||||
Chrysler Group, LLC | ||||||||
| 330,000 | 8.000%, 6/15/2019f | 359,700 | ||||||
Ford Motor Company, Convertible | ||||||||
| 280,000 | 4.250%, 11/15/2016 | 443,800 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 350,000 | 6.625%, 8/15/2017 | 408,963 | ||||||
Home Depot, Inc. | ||||||||
| 200,000 | 3.950%, 9/15/2020 | 228,989 | ||||||
Host Hotels and Resorts, LP | ||||||||
| 475,000 | 6.000%, 11/1/2020 | 522,500 | ||||||
Lennar Corporation | ||||||||
| 475,000 | 12.250%, 6/1/2017 | 637,688 | ||||||
Limited Brands, Inc. | ||||||||
| 475,000 | 5.625%, 2/15/2022 | 516,562 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
| 260,000 | 6.700%, 7/15/2034 | 309,255 | ||||||
MGM Resorts International | ||||||||
| 475,000 | 7.625%, 1/15/2017 | 508,250 | ||||||
Royal Caribbean Cruises, Ltd. | ||||||||
| 475,000 | 5.250%, 11/15/2022 | 502,313 | ||||||
Toll Brothers Finance Corporation, Convertible | ||||||||
| 400,000 | 0.500%, 9/15/2032e | 403,000 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
257
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (44.0%) | Value | ||||||
| Consumer Cyclical (2.3%) - continued |
| ||||||
Toys R Us Property Company II, LLC | ||||||||
| $ | 475,000 | 8.500%, 12/1/2017 | $ | 503,500 | ||||
|
| |||||||
| Total | 5,344,520 | |||||||
|
| |||||||
| Consumer Non-Cyclical (2.7%) | |||||||
AbbVie, Inc. | ||||||||
| 200,000 | 2.000%, 11/6/2018e | 202,585 | ||||||
| 200,000 | 2.900%, 11/6/2022e | 203,676 | ||||||
Beam, Inc. | ||||||||
| 175,000 | 5.375%, 1/15/2016 | 195,499 | ||||||
Biomet, Inc. | ||||||||
| 410,000 | 6.500%, 8/1/2020e | 435,625 | ||||||
Bunge Limited Finance Corporation | ||||||||
| 125,000 | 4.100%, 3/15/2016 | 134,278 | ||||||
Community Health Systems, Inc. | ||||||||
| 475,000 | 8.000%, 11/15/2019 | 514,188 | ||||||
Covidien International Finance SA | ||||||||
| 350,000 | 3.200%, 6/15/2022 | 366,414 | ||||||
Gilead Sciences, Inc. | ||||||||
| 85,000 | 3.050%, 12/1/2016 | 91,037 | ||||||
Grifols, Inc. | ||||||||
| 410,000 | 8.250%, 2/1/2018 | 451,513 | ||||||
HCA, Inc. | ||||||||
| 410,000 | 5.875%, 3/15/2022 | 445,875 | ||||||
Heineken NV | ||||||||
| 200,000 | 2.750%, 4/1/2023e | 196,377 | ||||||
Hologic, Inc., Convertible | ||||||||
| 360,000 | 2.000%, 12/15/2037g | 401,400 | ||||||
Kraft Foods, Inc. | ||||||||
| 170,000 | 3.500%, 6/6/2022e | 181,452 | ||||||
Rite Aid Corporation | ||||||||
| 410,000 | 7.500%, 3/1/2017 | 421,275 | ||||||
SABMiller Holdings, Inc. | ||||||||
| 200,000 | 3.750%, 1/15/2022e | 215,966 | ||||||
| 200,000 | 4.950%, 1/15/2042e | 226,705 | ||||||
Safeway, Inc. | ||||||||
| 100,000 | 5.000%, 8/15/2019 | 107,588 | ||||||
Spectrum Brands Escrow Corporation | ||||||||
| 410,000 | 6.375%, 11/15/2020e | 430,500 | ||||||
Teva Pharmaceutical Finance IV BV | ||||||||
| 165,000 | 3.650%, 11/10/2021 | 176,588 | ||||||
Tyson Foods, Inc. | ||||||||
| 175,000 | 4.500%, 6/15/2022 | 189,440 | ||||||
Valeant Pharmaceuticals International | ||||||||
| 100,000 | 6.875%, 12/1/2018e | 107,750 | ||||||
| 475,000 | 7.000%, 10/1/2020e | 516,563 | ||||||
|
| |||||||
| Total | 6,212,294 | |||||||
|
| |||||||
| Energy (1.9%) | |||||||
BP Capital Markets plc | ||||||||
| 175,000 | 4.750%, 3/10/2019 | 202,911 | ||||||
Concho Resources, Inc. | ||||||||
| 425,000 | 5.500%, 10/1/2022 | 448,375 | ||||||
Enbridge Energy Partners, LP | ||||||||
| 600,000 | 8.050%, 10/1/2037 | 681,492 | ||||||
Hornbeck Offshore Services, Inc., Convertible | ||||||||
| 400,000 | 1.500%, 9/1/2019e | 402,000 | ||||||
Marathon Oil Corporation | ||||||||
| 240,000 | 2.800%, 11/1/2022 | 241,487 | ||||||
MEG Energy Corporation | ||||||||
| 410,000 | 6.375%, 1/30/2023e | 427,425 | ||||||
Murphy Oil Corporation | ||||||||
| 160,000 | 3.700%, 12/1/2022 | 159,391 | ||||||
Nexen, Inc. | ||||||||
| 175,000 | 6.400%, 5/15/2037 | 226,241 | ||||||
Petrobras International Finance Company | ||||||||
| 165,000 | 3.500%, 2/6/2017 | 173,043 | ||||||
Pioneer Natural Resources | ||||||||
Company | ||||||||
| 140,000 | 3.950%, 7/15/2022 | 146,703 | ||||||
Plains Exploration & Production Company | ||||||||
| 680,000 | 6.125%, 6/15/2019 | 741,200 | ||||||
Weatherford International, Ltd. | ||||||||
| 210,000 | 6.000%, 3/15/2018 | 239,939 | ||||||
| 260,000 | 4.500%, 4/15/2022 | 275,927 | ||||||
|
| |||||||
| Total | 4,366,134 | |||||||
|
| |||||||
| Financials (10.2%) | |||||||
ABN Amro North American Holding Preferred Capital Repackage Trust I | ||||||||
| 350,000 | 3.407%, 12/29/2049d,e,h | 350,000 | ||||||
Aegon NV | ||||||||
| 400,000 | 1.867%, 7/29/2049d,h | 232,000 | ||||||
Ally Financial, Inc. | ||||||||
| 100,000 | 5.500%, 2/15/2017 | 106,976 | ||||||
| 475,000 | 7.500%, 9/15/2020 | 573,563 | ||||||
American Express Company | ||||||||
| 750,000 | 6.800%, 9/1/2066 | 805,312 | ||||||
American General Institutional Capital A | ||||||||
| 800,000 | 7.570%, 12/1/2045e | 948,000 | ||||||
American International Group, Inc. | ||||||||
| 175,000 | 8.250%, 8/15/2018 | 229,930 | ||||||
Apollo Investment Corporation, Convertible | ||||||||
| 700,000 | 5.750%, 1/15/2016 | 724,500 | ||||||
Bank of America Corporation | ||||||||
| 350,000 | 5.650%, 5/1/2018 | 407,205 | ||||||
| 325,000 | 8.000%, 12/29/2049h | 359,476 | ||||||
Barclays Bank plc | ||||||||
| 200,000 | 6.050%, 12/4/2017e | 221,278 | ||||||
BBVA International Preferred SA Unipersonal | ||||||||
| 525,000 | 5.919%, 12/29/2049h | 425,250 | ||||||
BBVA US Senior SAU | ||||||||
| 100,000 | 4.664%, 10/9/2015 | 102,532 | ||||||
BNP Paribas SA | ||||||||
| 87,000 | 3.600%, 2/23/2016 | 92,085 | ||||||
| 775,000 | 5.186%, 6/29/2049e,h | 747,875 | ||||||
Capital One Capital IV | ||||||||
| 525,000 | 6.745%, 2/17/2037 | 525,000 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
258
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (44.0%) | Value | ||||||
| Financials (10.2%) - continued |
| ||||||
Capital One Capital V | ||||||||
| $ | 175,000 | 10.250%, 8/15/2039 | $ | 175,000 | ||||
Citigroup, Inc. | ||||||||
| 200,000 | 5.500%, 2/15/2017 | 221,707 | ||||||
| 760,000 | 5.950%, 12/29/2049h | 769,500 | ||||||
CNA Financial Corporation | ||||||||
| 200,000 | 7.350%, 11/15/2019 | 250,848 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
| 200,000 | 3.950%, 11/9/2022 | 204,807 | ||||||
| 525,000 | 11.000%, 12/29/2049e,h | 710,062 | ||||||
Coventry Health Care, Inc. | ||||||||
| 85,000 | 5.450%, 6/15/2021 | 101,027 | ||||||
CyrusOne, LP/CyrusOne Finance Corporation | ||||||||
| 475,000 | 6.375%, 11/15/2022e | 495,187 | ||||||
Developers Diversified Realty Corporation | ||||||||
| 260,000 | 7.875%, 9/1/2020 | 333,302 | ||||||
Discover Financial Services | ||||||||
| 400,000 | 3.850%, 11/21/2022e | 412,750 | ||||||
Eksportfinans ASA | ||||||||
| 85,000 | 2.375%, 5/25/2016 | 81,090 | ||||||
GE Capital Trust I | ||||||||
| 380,000 | 6.375%, 11/15/2067 | 400,425 | ||||||
General Electric Capital Corporation | ||||||||
| 800,000 | 6.250%, 12/15/2049h | 871,184 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
| 170,000 | 5.125%, 4/15/2022 | 196,155 | ||||||
Health Care REIT, Inc., Convertible | ||||||||
| 340,000 | 3.000%, 12/1/2029 | 417,137 | ||||||
HSBC Finance Corporation | ||||||||
| 285,000 | 6.676%, 1/15/2021 | 338,116 | ||||||
Icahn Enterprises, LP | ||||||||
| 475,000 | 8.000%, 1/15/2018 | 510,031 | ||||||
ING Bank NV | ||||||||
| 170,000 | 5.000%, 6/9/2021e | 191,510 | ||||||
ING Capital Funding Trust III | ||||||||
| 730,000 | 3.911%, 12/29/2049d,h | 693,042 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 200,000 | 2.000%, 8/15/2017 | 204,299 | ||||||
KeyCorp | ||||||||
| 110,000 | 5.100%, 3/24/2021 | 128,151 | ||||||
Liberty Mutual Group, Inc. | ||||||||
| 525,000 | 10.750%, 6/15/2058e | 782,250 | ||||||
| 185,000 | 4.950%, 5/1/2022e | 201,629 | ||||||
Lincoln National Corporation | ||||||||
| 770,000 | 6.050%, 4/20/2067 | 767,112 | ||||||
Lloyds TSB Bank plc | ||||||||
| 200,000 | 6.500%, 9/14/2020e | 220,994 | ||||||
MetLife Capital Trust IV | ||||||||
| 575,000 | 7.875%, 12/15/2037e | 704,375 | ||||||
Morgan Stanley | ||||||||
| 200,000 | 4.875%, 11/1/2022 | 207,079 | ||||||
Murray Street Investment Trust I | ||||||||
| 175,000 | 4.647%, 3/9/2017 | 189,288 | ||||||
Northern Trust Corporation | ||||||||
| 175,000 | 3.375%, 8/23/2021 | 189,004 | ||||||
Omega Healthcare Investors, Inc. | ||||||||
| 100,000 | 5.875%, 3/15/2024 | 106,000 | ||||||
Prudential Financial, Inc. | ||||||||
| 380,000 | 5.875%, 9/15/2042 | 399,000 | ||||||
| 575,000 | 5.625%, 6/15/2043 | 595,873 | ||||||
Regions Bank | ||||||||
| 200,000 | 7.500%, 5/15/2018 | 241,250 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 600,000 | 6.750%, 12/15/2065 | 599,250 | ||||||
Royal Bank of Scotland Group plc | ||||||||
| 200,000 | 6.125%, 12/15/2022 | 211,096 | ||||||
Santander US Debt SAU | ||||||||
| 175,000 | 3.724%, 1/20/2015e | 175,795 | ||||||
Societe Generale SA | ||||||||
| 175,000 | 5.200%, 4/15/2021e | 193,957 | ||||||
Swiss RE Capital I, LP | ||||||||
| 695,000 | 6.854%, 5/29/2049e,h | 728,431 | ||||||
Ventas Realty, LP | ||||||||
| 80,000 | 4.250%, 3/1/2022 | 84,836 | ||||||
WellPoint, Inc., Convertible | ||||||||
| 400,000 | 2.750%, 10/15/2042e | 430,250 | ||||||
XL Group plc | ||||||||
| 600,000 | 6.500%, 12/31/2049f,h | 561,000 | ||||||
ZFS Finance USA Trust II | ||||||||
| 725,000 | 6.450%, 12/15/2065e | 775,750 | ||||||
ZFS Finance USA Trust V | ||||||||
| 380,000 | 6.500%, 5/9/2037e | 405,175 | ||||||
|
| |||||||
| Total | 23,325,706 | |||||||
|
| |||||||
| Foreign Government (0.1%) | |||||||
Costa Rica Government International Bond | ||||||||
| 200,000 | 4.250%, 1/26/2023e | 201,800 | ||||||
|
| |||||||
| Total | 201,800 | |||||||
|
| |||||||
| Mortgage-Backed Securities (3.7%) | |||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 2,650,000 | 3.000%, 1/1/2043c | 2,770,493 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 5,450,000 | 2.500%, 1/1/2028c | 5,698,656 | ||||||
|
| |||||||
| Total | 8,469,149 | |||||||
|
| |||||||
| Technology (0.7%) | |||||||
Amkor Technology, Inc. | ||||||||
| 100,000 | 6.625%, 6/1/2021 | 99,750 | ||||||
First Data Corporation | ||||||||
| 475,000 | 7.375%, 6/15/2019e | 491,625 | ||||||
Freescale Semiconductor, Inc. | ||||||||
| 100,000 | 9.250%, 4/15/2018e | 109,250 | ||||||
Hewlett-Packard Company | ||||||||
| 85,000 | 4.650%, 12/9/2021 | 85,331 | ||||||
Intel Corporation, Convertible | ||||||||
| 360,000 | 3.250%, 8/1/2039 | 421,875 | ||||||
SanDisk Corporation, Convertible | ||||||||
| 360,000 | 1.500%, 8/15/2017 | 417,600 | ||||||
|
| |||||||
| Total | 1,625,431 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
259
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (44.0%) | Value | ||||||
| Transportation (0.4%) | ||||||||
Avis Budget Car Rental, LLC | ||||||||
| $100,000 | 8.250%, 1/15/2019 | $ | 110,500 | |||||
Delta Air Lines, Inc. | ||||||||
| 70,000 | 4.750%, 5/7/2020 | 74,550 | ||||||
Hertz Corporation | ||||||||
| 475,000 | 6.750%, 4/15/2019 | 518,344 | ||||||
United Air Lines, Inc. | ||||||||
| 111,259 | 10.400%, 11/1/2016 | 127,947 | ||||||
|
| |||||||
| Total | 831,341 | |||||||
|
| |||||||
| Utilities (2.0%) | ||||||||
Access Midstream Partners, LP | ||||||||
| 120,000 | 4.875%, 5/15/2023 | 121,800 | ||||||
AES Corporation | ||||||||
| 475,000 | 7.375%, 7/1/2021 | 527,250 | ||||||
CenterPoint Energy, Inc. | ||||||||
| 140,000 | 6.500%, 5/1/2018 | 170,765 | ||||||
DCP Midstream Operating, LP | ||||||||
| 200,000 | 2.500%, 12/1/2017 | 198,934 | ||||||
Energy Transfer Partners, LP | ||||||||
| 80,000 | 5.200%, 2/1/2022 | 91,257 | ||||||
| 80,000 | 6.500%, 2/1/2042 | 97,947 | ||||||
Enterprise Products Operating, LLC | ||||||||
| 700,000 | 7.034%, 1/15/2068 | 801,500 | ||||||
MarkWest Energy Partners, LP | ||||||||
| 410,000 | 5.500%, 2/15/2023 | 444,850 | ||||||
NiSource Finance Corporation | ||||||||
| 350,000 | 6.125%, 3/1/2022 | 419,454 | ||||||
NRG Energy, Inc. | ||||||||
| 230,000 | 8.250%, 9/1/2020 | 257,600 | ||||||
| 180,000 | 6.625%, 3/15/2023e | 192,600 | ||||||
Southern California Edison Company | ||||||||
| 700,000 | 6.250%, 8/1/2049h | 759,997 | ||||||
Southern Union Company | ||||||||
| 200,000 | 3.330%, 11/1/2066d | 171,250 | ||||||
TransCanada PipeLines, Ltd. | ||||||||
| 400,000 | 6.350%, 5/15/2067 | 428,752 | ||||||
|
| |||||||
| Total | 4,683,956 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $95,316,872) | 101,091,252 | |||||||
|
| |||||||
| Shares | Common Stock (35.0%) | Value | ||||||
| Consumer Discretionary (2.9%) | ||||||||
| 3,000 | Advance Auto Parts, Inc. | 217,050 | ||||||
| 11,600 | Apollo Group, Inc.i | 242,672 | ||||||
| 11,100 | Comcast Corporation | 414,918 | ||||||
| 4,400 | DIRECTVi | 220,704 | ||||||
| 19,100 | Ford Motor Company | 247,345 | ||||||
| 6,000 | Hanesbrands, Inc.i | 214,920 | ||||||
| 15,700 | Home Depot, Inc. | 971,045 | ||||||
| 6,100 | Kohl’s Corporation | 262,178 | ||||||
| 6,200 | Lowe’s Companies, Inc. | 220,224 | ||||||
| 10,900 | Macy’s, Inc. | 425,318 | ||||||
| 5,400 | McDonald’s Corporation | 476,334 | ||||||
| 400 | Priceline.com, Inc.i | 248,480 | ||||||
| 10,800 | Ross Stores, Inc. | 584,820 | ||||||
| 2,300 | Sherwin-Williams Company | 353,786 | ||||||
| 5,600 | Target Corporation | 331,352 | ||||||
| 20,700 | Thomson Reuters Corporation | 601,542 | ||||||
| 16,500 | TJX Companies, Inc. | 700,425 | ||||||
|
| |||||||
| Total | 6,733,113 | |||||||
|
| |||||||
| Consumer Staples (3.2%) | ||||||||
| 5,050 | Brown-Forman Corporation | 319,412 | ||||||
| 8,100 | Campbell Soup Companyf | 282,609 | ||||||
| 32,400 | Coca-Cola Company | 1,174,500 | ||||||
| 6,000 | Colgate-Palmolive Company | 627,240 | ||||||
| 9,900 | Constellation Brands, Inc.i | 350,361 | ||||||
| 4,400 | Energizer Holdings, Inc. | 351,912 | ||||||
| 8,500 | General Mills, Inc. | 343,485 | ||||||
| 3,900 | Kellogg Company | 217,815 | ||||||
| 1,800 | Lorillard, Inc. | 210,006 | ||||||
| 9,300 | Molson Coors Brewing Company | 397,947 | ||||||
| 24,300 | Mondelez International, Inc. | 618,921 | ||||||
| 4,400 | PepsiCo, Inc. | 301,092 | ||||||
| 8,100 | Post Holdings, Inc.i | 277,425 | ||||||
| 10,700 | Prestige Brands Holdings, Inc.i | 214,321 | ||||||
| 5,000 | Reynolds American, Inc. | 207,150 | ||||||
| 5,400 | Spectrum Brands Holdings, Inc.i | 242,622 | ||||||
| 4,300 | Universal Corporation | 214,613 | ||||||
| 6,100 | Walgreen Company | 225,761 | ||||||
| 10,000 | Wal-Mart Stores, Inc. | 682,300 | ||||||
|
| |||||||
| Total | 7,259,492 | |||||||
|
| |||||||
| Energy (3.1%) | ||||||||
| 10,300 | C&J Energy Services, Inc.f,i | 220,832 | ||||||
| 10,100 | Chevron Corporation | 1,092,214 | ||||||
| 15,900 | ConocoPhillips | 922,041 | ||||||
| 3,200 | Diamond Offshore Drilling, Inc. | 217,472 | ||||||
| 22,600 | Exxon Mobil Corporation | 1,956,030 | ||||||
| 10,595 | First Trust Energy Income and Growth Fund | 324,737 | ||||||
| 5,800 | Golar LNG, Ltd. | 213,324 | ||||||
| 5,000 | HollyFrontier Corporation | 232,750 | ||||||
| 26,200 | Kinder Morgan, Inc. | 925,646 | ||||||
| 6,300 | Marathon Petroleum Corporation | 396,900 | ||||||
| 13,000 | Phillips 66 | 690,300 | ||||||
|
| |||||||
| Total | 7,192,246 | |||||||
|
| |||||||
| Financials (11.8%) | ||||||||
| 15,900 | Aflac, Inc. | 844,608 | ||||||
| 7,900 | American Express Company | 454,092 | ||||||
| 5,700 | American Tower Corporation | 440,439 | ||||||
| 14,989 | Annaly Capital Management, Inc. | 210,446 | ||||||
| 79,500 | Anworth Mortgage Asset Corporation | 459,510 | ||||||
| 91,400 | Ares Capital Corporation | 1,599,500 | ||||||
| 12,700 | Assurant, Inc. | 440,690 | ||||||
| 34,300 | Bank of America Corporation | 397,880 | ||||||
| 227,320 | BlackRock Enhanced Equity Dividend Trust | 1,632,158 | ||||||
| 3,800 | Capital One Financial Corporation | 220,134 | ||||||
| 31,500 | CapitalSource, Inc. | 238,770 | ||||||
| 20,800 | CBOE Holdings, Inc. | 612,768 | ||||||
| 79,500 | Eaton Vance Tax-Managed Global Diversified Equity Income Fund | 700,395 | ||||||
| 4,000 | Equity Residential | 226,680 | ||||||
| 3,400 | Goldman Sachs Group, Inc. | 433,704 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
260
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Common Stock (35.0%) | Value | ||||||
| Financials (11.8%) - continued | ||||||||
| 27,000 | iShares S&P U.S. Preferred Stock Index Fund | $ | 1,069,740 | |||||
| 27,400 | J.P. Morgan Chase & Company | 1,204,778 | ||||||
| 9,500 | Marsh & McLennan Companies, Inc. | 327,465 | ||||||
| 42,900 | New York Community Bancorp, Inc.f | 561,990 | ||||||
| 106,800 | NFJ Dividend Interest & Premium Strategy Fund | 1,666,080 | ||||||
| 10,900 | Popular, Inc.i | 226,611 | ||||||
| 25,600 | Progressive Corporation | 540,160 | ||||||
| 2,500 | Public Storage, Inc. | 362,400 | ||||||
| 12,900 | SLM Corporation | 220,977 | ||||||
| 60,500 | Solar Capital, Ltd. | 1,446,555 | ||||||
| 134,640 | SPDR EURO STOXX 50 ETF | 4,666,622 | ||||||
| 16,400 | Travelers Companies, Inc. | 1,177,848 | ||||||
| 144,750 | Two Harbors Investment Corporation | 1,603,830 | ||||||
| 10,000 | Vanguard Dividend Appreciation Index Fund ETF | 595,700 | ||||||
| 25,000 | Vanguard High Dividend Yield ETF | 1,234,500 | ||||||
| 22,800 | Vanguard MSCI Emerging Markets ETF | 1,015,284 | ||||||
| 6,600 | Wells Fargo & Company | 225,588 | ||||||
|
| |||||||
| Total | 27,057,902 | |||||||
|
| |||||||
| Health Care (3.9%) | ||||||||
| 19,900 | Abbott Laboratories | 1,303,450 | ||||||
| 8,000 | Aetna, Inc. | 370,400 | ||||||
| 8,300 | Amgen, Inc. | 716,456 | ||||||
| 23,600 | Bristol-Myers Squibb Company | 769,124 | ||||||
| 15,400 | Eli Lilly and Company | 759,528 | ||||||
| 10,500 | Forest Laboratories, Inc.i | 370,860 | ||||||
| 10,200 | HealthSouth Corporationi | 215,322 | ||||||
| 4,600 | Johnson & Johnson | 322,460 | ||||||
| 2,500 | Laboratory Corporation of America Holdingsi | 216,550 | ||||||
| 23,000 | Medtronic, Inc. | 943,460 | ||||||
| 4,900 | Merck & Company, Inc. | 200,606 | ||||||
| 40,500 | PDL BioPharma, Inc.f | 285,525 | ||||||
| 38,553 | Pfizer, Inc. | 966,909 | ||||||
| 3,700 | Quest Diagnostics, Inc. | 215,599 | ||||||
| 14,400 | UnitedHealth Group, Inc. | 781,056 | ||||||
| 19,100 | Warner Chilcott plc | 229,964 | ||||||
| 2,500 | Watson Pharmaceuticals, Inc.i | 215,000 | ||||||
|
| |||||||
| Total | 8,882,269 | |||||||
|
| |||||||
| Industrials (2.4%) | ||||||||
| 9,200 | 3M Company | 854,220 | ||||||
| 5,200 | Danaher Corporation | 290,680 | ||||||
| 3,000 | Dun & Bradstreet Corporation | 235,950 | ||||||
| 24,000 | GenCorp, Inc.i | 219,600 | ||||||
| 5,400 | Huntington Ingalls Industries, Inc. | 234,036 | ||||||
| 7,200 | Lockheed Martin Corporation | 664,488 | ||||||
| 14,600 | Northrop Grumman Corporation | 986,668 | ||||||
| 19,900 | Pitney Bowes, Inc.f | 211,736 | ||||||
| 2,700 | Union Pacific Corporation | 339,444 | ||||||
| 8,700 | United Parcel Service, Inc. | 641,451 | ||||||
| 16,000 | Verisk Analytics, Inc.i | 816,000 | ||||||
|
| |||||||
| Total | 5,494,273 | |||||||
|
| |||||||
| Information Technology (3.2%) | ||||||||
| 6,000 | Accenture plc | 399,000 | ||||||
| 22,500 | Activision Blizzard, Inc. | 238,950 | ||||||
| 6,800 | AOL, Inc.i | 201,348 | ||||||
| 700 | Apple, Inc. | 373,121 | ||||||
| 7,300 | Avnet, Inc.i | 223,453 | ||||||
| 5,400 | BMC Software, Inc.i | 214,164 | ||||||
| 8,400 | Comtech Telecommunications Corporation | 213,192 | ||||||
| 8,300 | GameStop Corporationf | 208,247 | ||||||
| 33,000 | Intel Corporation | 680,790 | ||||||
| 6,100 | International Business Machines Corporation | 1,168,455 | ||||||
| 10,300 | j2 Global, Inc. | 314,974 | ||||||
| 1,700 | MasterCard, Inc. | 835,176 | ||||||
| 55,200 | Microsoft Corporation | 1,475,496 | ||||||
| 6,800 | Oracle Corporation | 226,576 | ||||||
| 12,700 | Seagate Technology plc | 387,096 | ||||||
| 6,000 | Western Digital Corporation | 254,940 | ||||||
|
| |||||||
| Total | 7,414,978 | |||||||
|
| |||||||
| Materials (1.4%) | ||||||||
| 1,900 | CF Industries Holdings, Inc. | 386,004 | ||||||
| 4,000 | Monsanto Company | 378,600 | ||||||
| 21,000 | Newmont Mining Corporation | 975,240 | ||||||
| 6,600 | PPG Industries, Inc. | 893,310 | ||||||
| 12,300 | Southern Copper Corporation | 465,678 | ||||||
|
| |||||||
| Total | 3,098,832 | |||||||
|
| |||||||
| Telecommunications Services (1.3%) | ||||||||
| 29,400 | AT&T, Inc. | 991,074 | ||||||
| 7,300 | Atlantic Tele-Network, Inc. | 267,983 | ||||||
| 5,600 | CenturyLink, Inc. | 219,072 | ||||||
| 35,600 | Verizon Communications, Inc. | 1,540,412 | ||||||
|
| |||||||
| Total | 3,018,541 | |||||||
|
| |||||||
| Utilities (1.8%) | ||||||||
| 23,500 | American Electric Power Company, Inc. | 1,002,980 | ||||||
| 10,900 | CenterPoint Energy, Inc. | 209,825 | ||||||
| 12,100 | Consolidated Edison, Inc. | 672,034 | ||||||
| 12,600 | PNM Resources, Inc. | 258,426 | ||||||
| 28,600 | Public Service Enterprise Group, Inc. | 875,160 | ||||||
| 22,200 | Southern Company | 950,382 | ||||||
| 5,700 | Wisconsin Energy Corporation | 210,045 | ||||||
|
| |||||||
| Total | 4,178,852 | |||||||
|
| |||||||
Total Common Stock (cost $78,153,027) | 80,330,498 | |||||||
|
| |||||||
Preferred Stock (1.6%) | ||||||||
| Financials (1.6%) | ||||||||
| 39,710 | Annaly Capital Management, Inc., 7.500%h | 987,588 | ||||||
| 6,500 | CoBank ACB, 6.250%h,i | 677,016 | ||||||
| 2,840 | Fifth Third Bancorp, Convertible, 8.500%h | 396,038 | ||||||
| 6,000 | ING Groep NV, 8.500%h | 153,540 | ||||||
| 10,500 | PNC Financial Services Group, Inc., 6.125%h | 290,955 | ||||||
| 8,000 | Royal Bank of Scotland Group plc, 7.250%h | 191,280 | ||||||
| 10,000 | State Street Corporation, 5.250%h | 254,100 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
261
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2012
| Shares | Preferred Stock (1.6%) | Value | ||||||
| Financials (1.6%) - continued | ||||||||
| 28,000 | U.S. Bancorp, 6.500%h | $ | 801,920 | |||||
|
| |||||||
| Total | 3,752,437 | |||||||
|
| |||||||
Total Preferred Stock (cost $3,563,258) | 3,752,437 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (1.2%) | ||||||||
| 2,814,386 | Thrivent Cash Management Trust | 2,814,386 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $2,814,386) | 2,814,386 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (15.8%) | Value | ||||||
Federal Home Loan Bank | ||||||||
| 700,000 | 0.138%, 6/7/2013j,k | 699,580 | ||||||
| 35,501,783 | Thrivent Cash Management Trust | 35,501,783 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 36,201,363 | |||||||
|
| |||||||
| Total Investments (cost $236,467,226) 106.5% | $ | 244,612,645 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (6.5%) | (14,905,950 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 229,706,695 | ||||||
|
| |||||||
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | All or a portion of the loan is unfunded. |
| c | Denotes investments purchased on a when-issued or delayed delivery basis. |
| d | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2012. |
| e | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2012, the value of these investments was $19,644,488 or 8.6% of total net assets. |
| f | All or a portion of the security is on loan. |
| g | Denotes step coupon securities. Step coupon securities pay an initial coupon rate for the first period and then different coupon rates for following periods. The rate shown is as of December 31, 2012. |
| h | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| i | Non-income producing security. |
| j | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| k | At December 31, 2012, $699,580 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
| REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. | ||
| ETF | - | Exchange Traded Fund. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 11,189,021 | ||
Gross unrealized depreciation | (3,110,775 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 8,078,246 | ||
Cost for federal income tax purposes | $ | 236,534,399 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
262
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Diversified Income Plus Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 2,362,872 | — | 2,362,872 | — | ||||||||||||
Communications Services | 6,203,401 | — | 6,203,401 | — | ||||||||||||
Consumer Cyclical | 1,911,150 | — | 1,911,150 | — | ||||||||||||
Consumer Non-Cyclical | 3,525,267 | — | 3,525,267 | — | ||||||||||||
Energy | 885,221 | — | 885,221 | — | ||||||||||||
Financials | 803,000 | — | 803,000 | — | ||||||||||||
Technology | 3,031,719 | — | 3,031,719 | — | ||||||||||||
Transportation | 803,068 | — | 803,068 | — | ||||||||||||
Utilities | 897,011 | — | 897,011 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 3,186,950 | — | 3,186,950 | — | ||||||||||||
Basic Materials | 1,932,090 | — | 1,932,090 | — | ||||||||||||
Capital Goods | 2,282,925 | — | 2,282,925 | — | ||||||||||||
Collateralized Mortgage Obligations | 29,228,849 | — | 29,228,849 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 1,808,023 | — | 1,808,023 | — | ||||||||||||
Communications Services | 7,592,084 | — | 7,592,084 | — | ||||||||||||
Consumer Cyclical | 5,344,520 | — | 5,344,520 | — | ||||||||||||
Consumer Non-Cyclical | 6,212,294 | — | 6,212,294 | — | ||||||||||||
Energy | 4,366,134 | — | 4,366,134 | — | ||||||||||||
Financials | 23,325,706 | — | 23,325,706 | — | ||||||||||||
Foreign Government | 201,800 | — | 201,800 | — | ||||||||||||
Mortgage-Backed Securities | 8,469,149 | — | 8,469,149 | — | ||||||||||||
Technology | 1,625,431 | — | 1,625,431 | — | ||||||||||||
Transportation | 831,341 | — | 831,341 | — | ||||||||||||
Utilities | 4,683,956 | — | 4,683,956 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 6,733,113 | 6,733,113 | — | — | ||||||||||||
Consumer Staples | 7,259,492 | 7,259,492 | — | — | ||||||||||||
Energy | 7,192,246 | 7,192,246 | — | — | ||||||||||||
Financials | 27,057,902 | 27,057,902 | — | — | ||||||||||||
Health Care | 8,882,269 | 8,882,269 | — | — | ||||||||||||
Industrials | 5,494,273 | 5,494,273 | — | — | ||||||||||||
Information Technology | 7,414,978 | 7,414,978 | — | — | ||||||||||||
Materials | 3,098,832 | 3,098,832 | — | — | ||||||||||||
Telecommunications Services | 3,018,541 | 3,018,541 | — | — | ||||||||||||
Utilities | 4,178,852 | 4,178,852 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 3,752,437 | 3,075,421 | 677,016 | — | ||||||||||||
Collateral Held for Securities Loaned | 2,814,386 | 2,814,386 | — | — | ||||||||||||
Short-Term Investments | 36,201,363 | 35,501,783 | 699,580 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 244,612,645 | $ | 121,722,088 | $ | 122,890,557 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 7,092 | 7,092 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 7,092 | $ | 7,092 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 52,112 | 52,112 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 52,112 | $ | 52,112 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
The accompanying Notes to Financial Statements are an integral part of this schedule.
263
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2012
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
5-Yr. U.S. Treasury Bond Futures | 26 | March 2013 | $ | 3,238,907 | $ | 3,234,765 | ($ | 4,142 | ) | |||||||||||
10-Yr. U.S. Treasury Bond Futures | (5 | ) | March 2013 | (667,016 | ) | (663,906 | ) | 3,110 | ||||||||||||
S&P 500 Index Futures | (23 | ) | March 2013 | (8,169,557 | ) | (8,165,575 | ) | 3,982 | ||||||||||||
S&P 500 Index Mini-Futures | 53 | March 2013 | 3,811,235 | 3,763,265 | (47,970 | ) | ||||||||||||||
Total Futures Contracts | ($ | 45,020 | ) | |||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2012, for Diversified Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 3,982 | ||||
Total Equity Contracts | 3,982 | |||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 3,110 | ||||
Total Interest Rate Contracts | 3,110 | |||||
|
| |||||
Total Asset Derivatives | $ | 7,092 | ||||
|
| |||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 47,970 | ||||
Total Equity Contracts | 47,970 | |||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 4,142 | ||||
Total Interest Rate Contracts | 4,142 | |||||
|
| |||||
Total Liability Derivatives | $ | 52,112 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Diversified Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Options Written | Net realized gains/(losses) on Written option contracts | (41,346 | ) | |||
Futures | Net realized gains/(losses) on Futures contracts | 133,633 | ||||
Total Equity Contracts | 92,287 | |||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 32,330 | ||||
Total Interest Rate Contracts | 32,330 | |||||
|
| |||||
Total | $ | 124,617 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
264
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2012, for Diversified Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Options Written | Change in net unrealized appreciation/(depreciation) on Written option contracts | 7,050 | ||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (64,676 | ) | |||
Total Equity Contracts | (57,626 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (2,164 | ) | |||
Total Interest Rate Contracts | (2,164 | ) | ||||
|
| |||||
Total | ($ | 59,790 | ) | |||
|
| |||||
The following table presents Diversified Income Plus Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Options (Contracts) | |||||||||
Equity Contracts | $ | 5,974,004 | 3.7 | % | 3 | |||||||
Interest Rate Contracts | 3,906,236 | 2.4 | N/A | |||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Diversified Income Plus Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 4,748,550 | $ | 49,998,572 | $ | 51,932,736 | 2,814,386 | $ | 2,814,386 | $ | 82,515 | |||||||||||||
Cash Management Trust- Short Term Investment | – | 59,641,371 | 24,139,588 | 35,501,783 | 35,501,783 | 7,426 | ||||||||||||||||||
Total Value and Income Earned | 4,748,550 | 38,316,169 | 89,941 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
265
Schedule of Investments as of December 31, 2012
| Principal Amount | Bank Loans (3.2%)a | Value | ||||||
| Basic Materials (0.3%) | ||||||||
Arch Coal, Inc., Term Loan | ||||||||
| $1,597,584 | 5.750%, 5/16/2018 | $ | 1,611,819 | |||||
FMG Resources August 2006 Pty., Ltd., Term Loan | ||||||||
| 1,645,875 | 5.250%, 10/18/2017 | 1,658,219 | ||||||
Ineos US Finance, LLC, Term Loan | ||||||||
| 1,588,000 | 6.500%, 5/4/2018 | 1,603,435 | ||||||
|
| |||||||
| Total | 4,873,473 | |||||||
|
| |||||||
| Capital Goods (0.1%) | ||||||||
ADS Waste Holdings, Inc., Term Loan | ||||||||
| 960,000 | 5.250%, 10/9/2019 | 970,800 | ||||||
|
| |||||||
| Total | 970,800 | |||||||
|
| |||||||
| Communications Services (0.9%) | ||||||||
Charter Communications Operating, LLC, Term Loan | ||||||||
| 962,725 | 4.000%, 5/15/2019 | 970,186 | ||||||
Clear Channel Communications, Inc., Term Loan | ||||||||
| 1,600,000 | 3.862%, 1/29/2016 | 1,318,752 | ||||||
Cumulus Media Holdings, Inc., Term Loan | ||||||||
| 1,600,000 | 0.000%, 9/17/2018b,c | 1,603,504 | ||||||
Fairpoint Communications, Inc., Term Loan | ||||||||
| 650,000 | 4.500%, 1/25/2016b,c | 627,497 | ||||||
Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 1,866,375 | 4.500%, 4/2/2018 | 1,880,765 | ||||||
Level 3 Financing, Inc., Term Loan | ||||||||
| 1,600,000 | 4.750%, 8/1/2019 | 1,606,672 | ||||||
Toys R Us, Inc., Term Loan | ||||||||
| 1,616,875 | 5.250%, 5/25/2018 | 1,545,134 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
| 1,023,301 | 2.212%, 9/29/2014 | 1,021,387 | ||||||
| 640,000 | 4.462%, 3/31/2017 | 628,902 | ||||||
Van Wagner Communications, Inc., Term Loan | ||||||||
| 640,000 | 8.250%, 8/3/2018 | 645,869 | ||||||
WideOpenWest Finance, LLC, Term Loan | ||||||||
| 1,592,000 | 6.250%, 7/17/2018 | 1,608,286 | ||||||
Zayo Group, LLC, Term Loan | ||||||||
| 1,592,000 | 5.250%, 7/2/2019 | 1,609,417 | ||||||
|
| |||||||
| Total | 15,066,371 | |||||||
|
| |||||||
| Consumer Cyclical (0.3%) | ||||||||
Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
| 1,584,624 | 5.500%, 2/23/2017 | 1,595,653 | ||||||
Chrysler Group, LLC, Term Loan | ||||||||
| 2,521,600 | 6.000%, 5/24/2017 | 2,571,326 | ||||||
MGM Resorts International, Term Loan | ||||||||
| $960,000 | 6.286%, 12/13/2019b,c | 969,360 | ||||||
|
| |||||||
| Total | 5,136,339 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.6%) | ||||||||
Bausch & Lomb, Inc., Term Loan | ||||||||
| 1,592,000 | 5.250%, 5/17/2019 | 1,603,367 | ||||||
Biomet, Inc., Term Loan | ||||||||
| 1,050,000 | 3.750%, 7/25/2017b,c | 1,055,103 | ||||||
CHS/Community Health Systems, Inc., Term Loan | ||||||||
| 1,600,000 | 3.811%, 1/25/2017 | 1,608,592 | ||||||
Dole Food Company, Term Loan | ||||||||
| 208,582 | 5.033%, 7/8/2018 | 208,745 | ||||||
Michael Foods, Inc., Term Loan | ||||||||
| 1,277,911 | 4.250%, 2/25/2018 | 1,284,300 | ||||||
Roundy’s Supermarkets, Inc., Term Loan | ||||||||
| 1,588,000 | 5.750%, 2/13/2019 | 1,490,243 | ||||||
Solvest, Ltd., Term Loan | ||||||||
| 373,254 | 5.018%, 7/8/2018 | 373,545 | ||||||
Visant Corporation, Term Loan | ||||||||
| 1,265,835 | 5.250%, 12/22/2016b,c | 1,147,163 | ||||||
|
| |||||||
| Total | 8,771,058 | |||||||
|
| |||||||
| Energy (0.1%) | ||||||||
Cheasapeake Energy Corporation, Term Loan | ||||||||
| 1,930,000 | 5.750%, 12/2/2017b,c | 1,930,483 | ||||||
|
| |||||||
| Total | 1,930,483 | |||||||
|
| |||||||
| Financials (0.1%) | ||||||||
Nuveen Investments, Inc., Term Loan | ||||||||
| 1,600,000 | 5.811%, 5/13/2017 | 1,606,000 | ||||||
|
| |||||||
| Total | 1,606,000 | |||||||
|
| |||||||
| Technology (0.4%) | ||||||||
First Data Corporation Extended, Term Loan | ||||||||
| 1,600,000 | 4.211%, 3/26/2018 | 1,519,824 | ||||||
Freescale Semiconductor, Inc., Term Loan | ||||||||
| 1,631,736 | 4.464%, 12/1/2016 | 1,595,022 | ||||||
Infor US, Inc., Term Loan | ||||||||
| 1,273,608 | 5.250%, 4/5/2018 | 1,284,064 | ||||||
SunGard Data Systems, Inc., Term Loan | ||||||||
| 1,620,000 | 3.500%, 12/4/2019b,c | 1,632,150 | ||||||
Syniverse Holdings, Inc., Term Loan | ||||||||
| 636,800 | 5.000%, 4/23/2019 | 641,576 | ||||||
|
| |||||||
| Total | 6,672,636 | |||||||
|
| |||||||
| Transportation (0.2%) | ||||||||
Delta Air Lines, Inc., Term Loan | ||||||||
| 2,511,750 | 5.500%, 4/20/2017 | 2,532,145 | ||||||
|
| |||||||
| Total | 2,532,145 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
266
Income Portfolio
Schedule of Investments as of December 31, 2012
Principal | Bank Loans (3.2%)a | Value | ||||||
| Utilities (0.2%) | ||||||||
Calpine Corporation, Term Loan | ||||||||
| $650,000 | 3.250%, 4/1/2018b,c | $ | 655,577 | |||||
| 1,296,750 | 4.500%, 10/9/2019 | 1,307,228 | ||||||
NGPL PipeCo, LLC, Term Loan | ||||||||
| 1,542,857 | 6.750%, 9/15/2017 | 1,575,643 | ||||||
|
| |||||||
| Total | 3,538,448 | |||||||
|
| |||||||
Total Bank Loans (cost $50,746,703) | 51,097,753 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (93.7%) | |||||||
| Asset-Backed Securities (0.7%) | ||||||||
Americredit Automobile Receivables Trust | ||||||||
| 6,713 | 5.213%, 1/6/2015d | 6,747 | ||||||
Carrington Mortgage Loan Trust | ||||||||
| 2,200,000 | 0.360%, 8/25/2036d | 1,189,687 | ||||||
DT Auto Owner Trust | ||||||||
| 10,838 | 1.400%, 8/15/2014e | 10,847 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 4,163,428 | 0.390%, 8/25/2035d,f | 3,290,016 | ||||||
| 4,853,179 | 0.390%, 12/25/2036d,f | 3,515,089 | ||||||
IndyMac Seconds Asset-Backed Trust | ||||||||
| 735,124 | 0.380%, 10/25/2036d,f | 180,552 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 2,990,464 | 5.746%, 5/25/2036 | 1,952,169 | ||||||
| 2,000,000 | 6.011%, 5/25/2036 | 1,213,740 | ||||||
|
| |||||||
| Total | 11,358,847 | |||||||
|
| |||||||
| Basic Materials (4.0%) | ||||||||
Alcoa, Inc. | ||||||||
| 1,290,000 | 5.720%, 2/23/2019 | 1,370,253 | ||||||
| 2,000,000 | 6.750%, 1/15/2028 | 2,162,862 | ||||||
ArcelorMittal | ||||||||
| 1,210,000 | 9.500%, 2/15/2015 | 1,346,529 | ||||||
| 4,000,000 | 6.125%, 6/1/2018g | 4,054,000 | ||||||
| 2,750,000 | 5.750%, 8/5/2020 | 2,755,530 | ||||||
CF Industries, Inc. | ||||||||
| 3,330,000 | 6.875%, 5/1/2018 | 4,067,971 | ||||||
Dow Chemical Company | ||||||||
| 3,850,000 | 4.250%, 11/15/2020 | 4,280,095 | ||||||
| 1,925,000 | 3.000%, 11/15/2022 | 1,920,715 | ||||||
| 1,620,000 | 5.250%, 11/15/2041 | 1,806,799 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| 4,540,000 | 3.550%, 3/1/2022 | 4,502,663 | ||||||
Georgia-Pacific, LLC | ||||||||
| 2,190,000 | 5.400%, 11/1/2020e | 2,605,298 | ||||||
International Paper Company | ||||||||
| 2,500,000 | 7.500%, 8/15/2021 | 3,271,703 | ||||||
| 1,250,000 | 7.300%, 11/15/2039 | 1,694,450 | ||||||
LyondellBasell Industries NV | ||||||||
| 2,900,000 | 5.000%, 4/15/2019 | 3,204,500 | ||||||
| 320,000 | 6.000%, 11/15/2021 | 375,200 | ||||||
Methanex Corporation | ||||||||
| 960,000 | 3.250%, 12/15/2019 | 965,583 | ||||||
NOVA Chemicals Corporation | ||||||||
| 1,250,000 | 8.625%, 11/1/2019 | 1,418,750 | ||||||
Resolute Forest Products | ||||||||
| 1,799,000 | 10.250%, 10/15/2018 | 2,059,855 | ||||||
Rio Tinto Finance USA, Ltd. | ||||||||
| 3,285,000 | 6.500%, 7/15/2018 | 4,100,081 | ||||||
Rock-Tenn Company | ||||||||
| 1,930,000 | 4.000%, 3/1/2023e | 1,960,670 | ||||||
Teck Resources, Ltd. | ||||||||
| 1,300,000 | 2.500%, 2/1/2018 | 1,327,049 | ||||||
| 1,950,000 | 3.750%, 2/1/2023 | 2,000,074 | ||||||
Vale SA | ||||||||
| 1,930,000 | 5.625%, 9/11/2042 | 2,095,208 | ||||||
Weyerhaeuser Company | ||||||||
| 2,570,000 | 7.375%, 3/15/2032 | 3,238,393 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
| 2,560,000 | 2.450%, 10/25/2017e | 2,584,817 | ||||||
| 1,280,000 | 4.000%, 10/25/2022e | 1,293,837 | ||||||
Yara International ASA | ||||||||
| 50,000 | 7.875%, 6/11/2019e | 64,222 | ||||||
|
| |||||||
| Total | 62,527,107 | |||||||
|
| |||||||
| Capital Goods (2.9%) | ||||||||
BAE Systems plc | ||||||||
| 3,880,000 | 4.750%, 10/11/2021e | 4,344,207 | ||||||
Boeing Capital Corporation | ||||||||
| 1,600,000 | 2.125%, 8/15/2016 | 1,665,165 | ||||||
Case New Holland, Inc. | ||||||||
| 1,635,000 | 7.875%, 12/1/2017 | 1,933,388 | ||||||
CNH Capital, LLC | ||||||||
| 1,280,000 | 3.875%, 11/1/2015e | 1,320,000 | ||||||
| 450,000 | 6.250%, 11/1/2016 | 496,125 | ||||||
Eaton Corporation | ||||||||
| 5,135,000 | 2.750%, 11/2/2022e | 5,119,153 | ||||||
Flowserve Corporation | ||||||||
| 3,200,000 | 3.500%, 9/15/2022 | 3,213,802 | ||||||
John Deere Capital Corporation | ||||||||
| 3,300,000 | 5.350%, 4/3/2018 | 3,937,936 | ||||||
Masco Corporation | ||||||||
| 1,625,000 | 5.950%, 3/15/2022 | 1,801,300 | ||||||
Owens Corning, Inc. | ||||||||
| 1,280,000 | 4.200%, 12/15/2022 | 1,301,741 | ||||||
Precision Castparts Corporation | ||||||||
| 2,560,000 | 2.500%, 1/15/2023 | 2,576,404 | ||||||
Republic Services, Inc. | ||||||||
| 630,000 | 5.500%, 9/15/2019 | 746,074 | ||||||
| 1,600,000 | 5.000%, 3/1/2020 | 1,855,496 | ||||||
| 2,200,000 | 5.250%, 11/15/2021 | 2,592,920 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
| 1,940,000 | 9.875%, 8/15/2019 | 2,075,800 | ||||||
| 640,000 | 5.750%, 10/15/2020e | 660,800 | ||||||
Sealed Air Corporation | ||||||||
| 1,290,000 | 8.375%, 9/15/2021e | 1,473,825 | ||||||
Textron, Inc. | ||||||||
| 2,500,000 | 6.200%, 3/15/2015 | 2,740,075 | ||||||
| 1,930,000 | 5.600%, 12/1/2017 | 2,185,196 | ||||||
United Rentals North America, Inc. | ||||||||
| 320,000 | 6.125%, 6/15/2023g | 337,600 | ||||||
UR Financing Escrow Corporation | ||||||||
| 1,300,000 | 5.750%, 7/15/2018e | 1,400,750 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
267
Income Portfolio
Schedule of Investments as of December 31, 2012
Principal | Long-Term Fixed Income (93.7%) | Value | ||||||
| Capital Goods (2.9%) - continued | ||||||||
Waste Management, Inc. | ||||||||
| $2,415,000 | 2.900%, 9/15/2022 | $ | 2,389,519 | |||||
|
| |||||||
| Total | 46,167,276 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (1.0%) | ||||||||
Bear Stearns Mortgage Funding Trust | ||||||||
| 708,034 | 0.490%, 8/25/2036d | 202,229 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
| 2,845,630 | 5.750%, 4/25/2037 | 2,370,948 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 3,821,610 | 6.000%, 1/25/2037 | 3,164,037 | ||||||
Deutsche Alt-A Securities, Inc. Alternative Loan Trust | ||||||||
| 2,789,612 | 0.936%, 4/25/2047d | 2,106,263 | ||||||
HomeBanc Mortgage Trust | ||||||||
| 2,761,861 | 2.650%, 4/25/2037 | 1,779,431 | ||||||
Wachovia Mortgage Loan Trust, LLC | ||||||||
| 2,802,716 | 3.032%, 5/20/2036 | 2,250,335 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
| 789,947 | 0.500%, 10/25/2045d | 749,932 | ||||||
Washington Mutual Alternative Mortgage Pass Through Certificates | ||||||||
| 5,277,563 | 0.916%, 2/25/2047d | 2,705,010 | ||||||
|
| |||||||
| Total | 15,328,185 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (1.2%) | ||||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 291,335 | 0.359%, 3/15/2022d,e | 288,485 | ||||||
| 3,500,000 | 5.331%, 2/11/2044 | 3,961,762 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 1,900,000 | 5.322%, 12/11/2049 | 2,179,509 | ||||||
Commercial Mortgage Pass- Through Certificates | ||||||||
| 2,000,000 | 0.339%, 12/15/2020d,e | 1,862,192 | ||||||
Credit Suisse First Boston Mortgage Securities | ||||||||
| 3,200,000 | 5.542%, 1/15/2049 | 3,637,811 | ||||||
Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
| 10,489 | 4.597%, 3/15/2035 | 10,486 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 2,966,325 | 0.379%, 10/15/2021d,e | 2,903,587 | ||||||
| 3,250,000 | 5.467%, 9/15/2039 | 3,689,783 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 100,000 | 5.250%, 4/18/2016 | 115,666 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
| 9,354 | 5.230%, 7/15/2041 | 9,344 | ||||||
|
| |||||||
| Total | 18,658,625 | |||||||
|
| |||||||
| Communications Services (9.6%) | ||||||||
Alltel Corporation | ||||||||
| 3,875,000 | 7.000%, 3/15/2016 | 4,596,432 | ||||||
AMC Networks, Inc. | ||||||||
| 1,920,000 | 4.750%, 12/15/2022 | 1,929,600 | ||||||
America Movil SAB de CV | ||||||||
| 3,800,000 | 5.000%, 3/30/2020 | 4,421,194 | ||||||
| 1,600,000 | 3.125%, 7/16/2022 | 1,626,317 | ||||||
American Tower Corporation | ||||||||
| 3,900,000 | 4.500%, 1/15/2018 | 4,275,235 | ||||||
| 1,280,000 | 5.900%, 11/1/2021 | 1,528,023 | ||||||
AT&T, Inc. | ||||||||
| 2,560,000 | 1.400%, 12/1/2017 | 2,560,481 | ||||||
| 2,600,000 | 4.450%, 5/15/2021 | 3,002,636 | ||||||
| 2,255,000 | 5.550%, 8/15/2041 | 2,706,280 | ||||||
Cablevision Systems Corporation | ||||||||
| 1,300,000 | 8.625%, 9/15/2017 | 1,516,125 | ||||||
| 2,000,000 | 8.000%, 4/15/2020 | 2,252,500 | ||||||
CBS Corporation | ||||||||
| 3,220,000 | 1.950%, 7/1/2017 | 3,280,494 | ||||||
| 1,300,000 | 7.875%, 9/1/2023 | 1,727,489 | ||||||
CC Holdings GS V, LLC | ||||||||
| 1,280,000 | 3.849%, 4/15/2023e | 1,302,158 | ||||||
CCO Holdings, LLC | ||||||||
| 1,880,000 | 7.250%, 10/30/2017 | 2,049,200 | ||||||
| 1,280,000 | 7.000%, 1/15/2019 | 1,380,800 | ||||||
CenturyLink, Inc. | ||||||||
| 2,520,000 | 5.150%, 6/15/2017 | 2,715,114 | ||||||
| 3,700,000 | 5.800%, 3/15/2022 | 3,911,370 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
| 2,570,000 | 6.500%, 11/15/2022e | 2,666,375 | ||||||
Comcast Corporation | ||||||||
| 1,900,000 | 6.300%, 11/15/2017 | 2,330,854 | ||||||
| 2,900,000 | 5.700%, 5/15/2018 | 3,486,568 | ||||||
| 2,570,000 | 3.125%, 7/15/2022 | 2,677,516 | ||||||
| 2,700,000 | 6.400%, 5/15/2038 | 3,449,841 | ||||||
Cox Communications, Inc. | ||||||||
| 1,900,000 | 9.375%, 1/15/2019e | 2,612,428 | ||||||
| 1,800,000 | 3.250%, 12/15/2022e | 1,856,264 | ||||||
| 2,500,000 | 8.375%, 3/1/2039e | 3,836,620 | ||||||
Crown Castle International Corporation | ||||||||
| 640,000 | 5.250%, 1/15/2023e | 684,800 | ||||||
Crown Castle Towers, LLC | ||||||||
| 5,050,000 | 4.174%, 8/15/2017e | 5,541,719 | ||||||
DIRECTV Holdings, LLC | ||||||||
| 3,875,000 | 5.000%, 3/1/2021 | 4,346,898 | ||||||
| 2,030,000 | 3.800%, 3/15/2022 | 2,094,260 | ||||||
Discovery Communications, LLC | ||||||||
| 1,920,000 | 4.375%, 6/15/2021 | 2,143,672 | ||||||
| 965,000 | 3.300%, 5/15/2022 | 991,168 | ||||||
Dish DBS Corporation | ||||||||
| 1,945,000 | 6.750%, 6/1/2021 | 2,217,300 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
268
Income Portfolio
Schedule of Investments as of December 31, 2012
Principal | Long-Term Fixed Income (93.7%) | Value | ||||||
| Communications Services (9.6%) - continued | ||||||||
Hughes Satellite Systems Corporation | ||||||||
| $3,220,000 | 6.500%, 6/15/2019 | $ | 3,550,050 | |||||
Intelsat Jackson Holdings SA | ||||||||
| 1,290,000 | 7.250%, 4/1/2019 | 1,386,750 | ||||||
| 1,900,000 | 7.500%, 4/1/2021 | 2,094,750 | ||||||
NBCUniversal Media, LLC | ||||||||
| 3,750,000 | 5.150%, 4/30/2020 | 4,445,456 | ||||||
| 4,510,000 | 4.375%, 4/1/2021 | 5,066,272 | ||||||
| 1,610,000 | 2.875%, 1/15/2023 | 1,616,851 | ||||||
News America, Inc. | ||||||||
| 1,900,000 | 7.625%, 11/30/2028 | 2,449,052 | ||||||
| 2,140,000 | 6.400%, 12/15/2035 | 2,656,487 | ||||||
Omnicom Group, Inc. | ||||||||
| 4,245,000 | 4.450%, 8/15/2020 | 4,723,564 | ||||||
Qwest Communications International, Inc. | ||||||||
| 3,180,000 | 7.125%, 4/1/2018 | 3,318,022 | ||||||
Qwest Corporation | ||||||||
| 3,200,000 | 6.500%, 6/1/2017 | 3,736,326 | ||||||
SBA Tower Trust | ||||||||
| 60,000 | 4.254%, 4/15/2015e | 63,035 | ||||||
| 3,500,000 | 5.101%, 4/17/2017e | 3,946,502 | ||||||
Sirius XM Radio, Inc. | ||||||||
| 1,930,000 | 5.250%, 8/15/2022e | 1,949,300 | ||||||
Sprint Nextel Corporation | ||||||||
| 1,290,000 | 9.125%, 3/1/2017 | 1,518,975 | ||||||
| 650,000 | 7.000%, 3/1/2020e | 755,625 | ||||||
Time Warner Cable, Inc. | ||||||||
| 2,500,000 | 8.250%, 4/1/2019 | 3,326,842 | ||||||
| 200,000 | 4.000%, 9/1/2021 | 219,533 | ||||||
| 2,550,000 | 6.750%, 6/15/2039 | 3,234,354 | ||||||
Time Warner Entertainment Company, LP | ||||||||
| 1,850,000 | 8.375%, 3/15/2023 | 2,614,755 | ||||||
UPCB Finance VI, Ltd. | ||||||||
| 2,600,000 | 6.875%, 1/15/2022e | 2,814,500 | ||||||
Verizon Communications, Inc. | ||||||||
| 4,170,000 | 1.100%, 11/1/2017 | 4,151,264 | ||||||
Virgin Media Finance plc | ||||||||
| 1,920,000 | 4.875%, 2/15/2022 | 1,963,200 | ||||||
WPP Finance 2010 | ||||||||
| 1,125,000 | 3.625%, 9/7/2022 | 1,119,001 | ||||||
|
| |||||||
| Total | 150,438,197 | |||||||
|
| |||||||
| Consumer Cyclical (5.8%) | ||||||||
Amazon.com, Inc. | ||||||||
| 3,200,000 | 1.200%, 11/29/2017 | 3,182,413 | ||||||
American Honda Finance Corporation | ||||||||
| 4,400,000 | 3.875%, 9/21/2020e | 4,836,339 | ||||||
Daimler Finance North America, LLC | ||||||||
| 2,260,000 | 3.875%, 9/15/2021e | 2,438,031 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 3,900,000 | 3.875%, 1/15/2015 | 4,067,088 | ||||||
| 3,200,000 | 3.984%, 6/15/2016 | 3,397,843 | ||||||
| 3,250,000 | 4.250%, 2/3/2017 | 3,481,696 | ||||||
| 630,000 | 6.625%, 8/15/2017 | 736,134 | ||||||
| 2,575,000 | 4.250%, 9/20/2022 | 2,722,766 | ||||||
General Motors Financial Company, Inc. | ||||||||
| 2,410,000 | 4.750%, 8/15/2017e | 2,534,091 | ||||||
Home Depot, Inc. | ||||||||
| 2,670,000 | 5.875%, 12/16/2036 | 3,508,925 | ||||||
Hyatt Hotels Corporation | ||||||||
| 3,100,000 | 5.750%, 8/15/2015e | 3,403,102 | ||||||
Hyundai Motor Manufacturing Czech | ||||||||
| 2,525,000 | 4.500%, 4/15/2015e | 2,690,185 | ||||||
Johnson Controls, Inc. | ||||||||
| 3,150,000 | 5.250%, 12/1/2041 | 3,562,814 | ||||||
KIA Motors Corporation | ||||||||
| 3,260,000 | 3.625%, 6/14/2016e | 3,417,266 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
| 3,210,000 | 7.450%, 7/15/2017 | 3,957,343 | ||||||
| 3,570,000 | 3.875%, 1/15/2022 | 3,805,152 | ||||||
| 1,925,000 | 2.875%, 2/15/2023 | 1,885,023 | ||||||
Marriott International, Inc. | ||||||||
| 3,250,000 | 3.000%, 3/1/2019 | 3,344,916 | ||||||
MGM Resorts International | ||||||||
| 1,920,000 | 7.625%, 1/15/2017 | 2,054,400 | ||||||
Royal Caribbean Cruises, Ltd. | ||||||||
| 2,560,000 | 5.250%, 11/15/2022 | 2,707,200 | ||||||
Sheraton Holding Corporation | ||||||||
| 1,290,000 | 7.375%, 11/15/2015 | 1,491,902 | ||||||
Spencer Spirit Holdings, Inc. | ||||||||
| 50,000 | 11.000%, 5/1/2017e | 53,625 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 1,850,000 | 6.750%, 5/15/2018 | 2,249,147 | ||||||
| 3,210,000 | 3.125%, 2/15/2023 | 3,181,967 | ||||||
Time Warner, Inc. | ||||||||
| 1,320,000 | 4.000%, 1/15/2022 | 1,444,982 | ||||||
| 710,000 | 3.400%, 6/15/2022 | 740,586 | ||||||
| 1,600,000 | 7.700%, 5/1/2032 | 2,237,083 | ||||||
Toll Brothers Finance Corporation | ||||||||
| 2,000,000 | 6.750%, 11/1/2019 | 2,377,432 | ||||||
Toys R Us Property Company II, LLC | ||||||||
| 2,570,000 | 8.500%, 12/1/2017 | 2,724,200 | ||||||
Wal-Mart Stores, Inc. | ||||||||
| 5,000,000 | 3.250%, 10/25/2020 | 5,443,755 | ||||||
Western Union Company | ||||||||
| 3,210,000 | 2.875%, 12/10/2017 | 3,180,622 | ||||||
Wyndham Worldwide Corporation | ||||||||
| 1,270,000 | 5.625%, 3/1/2021 | 1,417,475 | ||||||
| 3,220,000 | 4.250%, 3/1/2022 | 3,324,705 | ||||||
|
| |||||||
| Total | 91,600,208 | |||||||
|
| |||||||
| Consumer Non-Cyclical (7.4%) | ||||||||
AbbVie, Inc. | ||||||||
| 3,200,000 | 2.000%, 11/6/2018e | 3,241,360 | ||||||
Altria Group, Inc. | ||||||||
| 592,000 | 9.700%, 11/10/2018 | 828,757 | ||||||
| 1,595,000 | 4.750%, 5/5/2021 | 1,807,572 | ||||||
| 2,500,000 | 9.950%, 11/10/2038 | 4,118,597 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 2,550,000 | 5.375%, 1/15/2020 | 3,103,437 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
269
Income Portfolio
Schedule of Investments as of December 31, 2012
Principal | Long-Term Fixed Income (93.7%) | Value | ||||||
| Consumer Non-Cyclical (7.4%) - continued | ||||||||
| $2,525,000 | 5.000%, 4/15/2020 | $ | 3,021,592 | |||||
BAT International Finance plc | ||||||||
| 3,860,000 | 3.250%, 6/7/2022e | 4,023,432 | ||||||
Beam, Inc. | ||||||||
| 1,518,000 | 5.875%, 1/15/2036 | 1,761,651 | ||||||
Biomet, Inc. | ||||||||
| 2,480,000 | 6.500%, 8/1/2020e | 2,635,000 | ||||||
Boston Scientific Corporation | ||||||||
| 3,800,000 | 4.500%, 1/15/2015 | 4,039,187 | ||||||
Bunge Limited Finance Corporation | ||||||||
| 2,220,000 | 5.100%, 7/15/2015 | 2,403,432 | ||||||
Cargill, Inc. | ||||||||
| 1,950,000 | 3.250%, 11/15/2021e | 2,019,055 | ||||||
Celgene Corporation | ||||||||
| 2,250,000 | 1.900%, 8/15/2017 | 2,290,388 | ||||||
| 2,500,000 | 3.950%, 10/15/2020 | 2,713,215 | ||||||
ConAgra Foods, Inc. | ||||||||
| 3,225,000 | 2.100%, 3/15/2018 | 3,230,337 | ||||||
Energizer Holdings, Inc. | ||||||||
| 1,450,000 | 4.700%, 5/24/2022 | 1,552,689 | ||||||
Express Scripts Holding Company | ||||||||
| 2,235,000 | 3.125%, 5/15/2016 | 2,356,343 | ||||||
| 3,235,000 | 4.750%, 11/15/2021e | 3,671,159 | ||||||
Fresenius Medical Care US Finance II, Inc. | ||||||||
| 710,000 | 5.625%, 7/31/2019e | 762,362 | ||||||
Fresenius Medical Care US Finance, Inc. | ||||||||
| 1,290,000 | 6.500%, 9/15/2018e | 1,441,575 | ||||||
Grifols, Inc. | ||||||||
| 1,930,000 | 8.250%, 2/1/2018 | 2,125,413 | ||||||
Grupo Bimbo SAB de CV | ||||||||
| 3,890,000 | 4.500%, 1/25/2022e | 4,251,043 | ||||||
Hasbro, Inc. | ||||||||
| 3,250,000 | 6.350%, 3/15/2040 | 4,013,783 | ||||||
HCA, Inc. | ||||||||
| 2,490,000 | 8.500%, 4/15/2019 | 2,776,350 | ||||||
| 2,560,000 | 4.750%, 5/1/2023 | 2,604,800 | ||||||
Heineken NV | ||||||||
| 2,570,000 | 2.750%, 4/1/2023e | 2,523,447 | ||||||
JBS Finance II, Ltd. | ||||||||
| 1,250,000 | 8.250%, 1/29/2018h | 1,325,000 | ||||||
Koninklijke Philips Electronics NV | ||||||||
| 2,765,000 | 3.750%, 3/15/2022 | 2,988,937 | ||||||
Kraft Foods, Inc. | ||||||||
| 1,923,000 | 6.125%, 8/23/2018e | 2,355,915 | ||||||
| 1,600,000 | 5.000%, 6/4/2042e | 1,799,198 | ||||||
Life Technologies Corporation | ||||||||
| 3,700,000 | 6.000%, 3/1/2020 | 4,385,207 | ||||||
Mondelez International, Inc. | ||||||||
| 677,000 | 6.125%, 2/1/2018 | 823,754 | ||||||
| 1,525,000 | 5.375%, 2/10/2020 | 1,841,073 | ||||||
Mylan, Inc. | ||||||||
| 2,565,000 | 7.875%, 7/15/2020e | 3,031,217 | ||||||
| 2,240,000 | 3.125%, 1/15/2023e | 2,220,680 | ||||||
Pernod-Ricard SA | ||||||||
| 4,850,000 | 2.950%, 1/15/2017e | 5,100,871 | ||||||
Reynolds American, Inc. | ||||||||
| 3,840,000 | 3.250%, 11/1/2022 | 3,857,261 | ||||||
Roche Holdings, Inc. | ||||||||
| 3,210,000 | 6.000%, 3/1/2019e | 3,995,786 | ||||||
SABMiller Holdings, Inc. | ||||||||
| 1,615,000 | 2.450%, 1/15/2017e | 1,683,468 | ||||||
| 3,225,000 | 3.750%, 1/15/2022e | 3,482,455 | ||||||
Safeway, Inc. | ||||||||
| 1,610,000 | 5.000%, 8/15/2019 | 1,732,172 | ||||||
Teva Pharmaceutical Finance IV BV | ||||||||
| 4,225,000 | 3.650%, 11/10/2021 | 4,521,730 | ||||||
Tyson Foods, Inc. | ||||||||
| 1,285,000 | 4.500%, 6/15/2022 | 1,391,033 | ||||||
|
| |||||||
| Total | 115,851,733 | |||||||
|
| |||||||
| Energy (9.9%) | ||||||||
Anadarko Petroleum Corporation | ||||||||
| 3,400,000 | 6.375%, 9/15/2017 | 4,061,283 | ||||||
BP Capital Markets plc | ||||||||
| 1,950,000 | 2.248%, 11/1/2016 | 2,028,749 | ||||||
| 3,525,000 | 4.500%, 10/1/2020 | 4,062,425 | ||||||
Canadian Natural Resources, Ltd. | ||||||||
| 2,275,000 | 3.450%, 11/15/2021 | 2,427,946 | ||||||
Canadian Oil Sands, Ltd. | ||||||||
| 2,600,000 | 4.500%, 4/1/2022e | 2,836,766 | ||||||
CenterPoint Energy Resources Corporation | ||||||||
| 4,600,000 | 6.125%, 11/1/2017 | 5,523,878 | ||||||
CNPC HK Overseas Capital, Ltd. | ||||||||
| 2,870,000 | 5.950%, 4/28/2041e | 3,723,349 | ||||||
Concho Resources, Inc. | ||||||||
| 1,930,000 | 6.500%, 1/15/2022 | 2,123,000 | ||||||
El Paso Pipeline Partners Operating Company, LLC | ||||||||
| 3,850,000 | 5.000%, 10/1/2021 | 4,363,066 | ||||||
Enbridge Energy Partners, LP | ||||||||
| 950,000 | 5.200%, 3/15/2020 | 1,071,537 | ||||||
| 3,800,000 | 8.050%, 10/1/2037 | 4,316,112 | ||||||
Encana Corporation | ||||||||
| 1,920,000 | 5.900%, 12/1/2017 | 2,286,793 | ||||||
| 1,280,000 | 5.150%, 11/15/2041 | 1,375,932 | ||||||
Energy Transfer Partners, LP | ||||||||
| 5,120,000 | 6.700%, 7/1/2018 | 6,169,134 | ||||||
EQT Corporation | ||||||||
| 1,300,000 | 8.125%, 6/1/2019 | 1,609,175 | ||||||
Gazprom OAO Via Gaz Capital SA | ||||||||
| 3,250,000 | 4.950%, 5/23/2016e | 3,489,688 | ||||||
Key Energy Services, Inc. | ||||||||
| 2,075,000 | 6.750%, 3/1/2021 | 2,075,000 | ||||||
Kinder Morgan Energy Partners, LP | ||||||||
| 1,290,000 | 6.850%, 2/15/2020 | 1,625,319 | ||||||
| 4,450,000 | 5.800%, 3/1/2021 | 5,325,894 | ||||||
Linn Energy, LLC | ||||||||
| 3,250,000 | 7.750%, 2/1/2021 | 3,461,250 | ||||||
Marathon Oil Corporation | ||||||||
| 2,364,000 | 5.900%, 3/15/2018 | 2,859,211 | ||||||
| 1,920,000 | 2.800%, 11/1/2022 | 1,931,896 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
270
Income Portfolio
Schedule of Investments as of December 31, 2012
Principal | Long-Term Fixed Income (93.7%) | Value | ||||||
| Energy (9.9%) - continued | ||||||||
Marathon Petroleum Corporation | ||||||||
| $1,920,000 | 6.500%, 3/1/2041 | $ | 2,432,748 | |||||
Markwest Energy Partners, LP/Markwest Energy Finance Corporation | ||||||||
| 1,300,000 | 6.250%, 6/15/2022 | 1,417,000 | ||||||
MEG Energy Corporation | ||||||||
| 1,920,000 | 6.375%, 1/30/2023e | 2,001,600 | ||||||
Nabors Industries, Inc. | ||||||||
| 2,575,000 | 4.625%, 9/15/2021 | 2,771,318 | ||||||
National Oilwell Varco, Inc. | ||||||||
| 2,245,000 | 2.600%, 12/1/2022 | 2,276,515 | ||||||
Newfield Exploration Company | ||||||||
| 710,000 | 5.750%, 1/30/2022 | 781,000 | ||||||
| 1,125,000 | 5.625%, 7/1/2024 | 1,215,000 | ||||||
Noble Energy, Inc. | ||||||||
| 3,100,000 | 8.250%, 3/1/2019 | 4,062,941 | ||||||
ONEOK Partners, LP | ||||||||
| 3,250,000 | 6.850%, 10/15/2037 | 4,140,126 | ||||||
Petrobras International Finance Company | ||||||||
| 4,800,000 | 5.375%, 1/27/2021 | 5,403,936 | ||||||
Phillips 66 | ||||||||
| 1,300,000 | 4.300%, 4/1/2022e | 1,452,645 | ||||||
Pioneer Natural Resources Company | ||||||||
| 3,780,000 | 6.875%, 5/1/2018 | 4,598,695 | ||||||
Plains All American Pipeline, LP | ||||||||
| 3,150,000 | 6.500%, 5/1/2018 | 3,888,722 | ||||||
Plains Exploration & Production Company | ||||||||
| 1,870,000 | 8.625%, 10/15/2019 | 2,127,125 | ||||||
QEP Resources, Inc. | ||||||||
| 1,940,000 | 5.375%, 10/1/2022 | 2,080,650 | ||||||
Rowan Companies, Inc. | ||||||||
| 3,170,000 | 5.000%, 9/1/2017 | 3,521,553 | ||||||
| 2,125,000 | 4.875%, 6/1/2022 | 2,307,895 | ||||||
Samson Investment Company | ||||||||
| 1,290,000 | 9.750%, 2/15/2020e | 1,364,175 | ||||||
SandRidge Energy, Inc. | ||||||||
| 1,920,000 | 7.500%, 3/15/2021 | 2,054,400 | ||||||
Southwestern Energy Company | ||||||||
| 2,750,000 | 4.100%, 3/15/2022e | 2,958,060 | ||||||
Spectra Energy Partners, LP | ||||||||
| 3,200,000 | 4.600%, 6/15/2021 | 3,432,272 | ||||||
Suncor Energy, Inc. | ||||||||
| 4,710,000 | 6.100%, 6/1/2018 | 5,745,343 | ||||||
| 1,940,000 | 6.850%, 6/1/2039 | 2,680,193 | ||||||
The Williams Companies, Inc. | ||||||||
| 2,560,000 | 3.700%, 1/15/2023 | 2,582,154 | ||||||
Transocean, Inc. | ||||||||
| 2,200,000 | 5.050%, 12/15/2016 | 2,449,528 | ||||||
| 1,920,000 | 7.375%, 4/15/2018 | 2,284,466 | ||||||
| 1,280,000 | 6.375%, 12/15/2021 | 1,555,594 | ||||||
| 1,610,000 | 3.800%, 10/15/2022 | 1,650,141 | ||||||
Valero Energy Corporation | ||||||||
| 3,125,000 | 6.125%, 2/1/2020 | 3,799,953 | ||||||
Weatherford International, Inc. | ||||||||
| 2,245,000 | 6.350%, 6/15/2017 | 2,569,557 | ||||||
Weatherford International, Ltd. | ||||||||
| 4,500,000 | 6.000%, 3/15/2018 | 5,141,556 | ||||||
| 800,000 | 4.500%, 4/15/2022 | 849,007 | ||||||
|
| |||||||
| Total | 156,343,271 | |||||||
|
| |||||||
| Financials (26.4%) | ||||||||
ABN Amro North American Holding Preferred Capital Repackage Trust I | ||||||||
| 2,570,000 | 3.407%, 12/29/2049d,e,i | 2,570,000 | ||||||
Aegon NV | ||||||||
| 2,600,000 | 1.867%, 7/29/2049d,i | 1,508,000 | ||||||
Ally Financial, Inc. | ||||||||
| 3,215,000 | 4.625%, 6/26/2015 | 3,351,560 | ||||||
| 1,290,000 | 5.500%, 2/15/2017 | 1,379,994 | ||||||
American Express Credit Corporation | ||||||||
| 5,200,000 | 2.800%, 9/19/2016 | 5,501,834 | ||||||
| 3,225,000 | 2.375%, 3/24/2017 | 3,374,372 | ||||||
American International Group, Inc. | ||||||||
| 3,225,000 | 4.250%, 9/15/2014 | 3,397,212 | ||||||
| 1,950,000 | 3.800%, 3/22/2017 | 2,110,551 | ||||||
| 3,000,000 | 6.400%, 12/15/2020 | 3,722,394 | ||||||
Associated Banc Corporation | ||||||||
| 3,180,000 | 5.125%, 3/28/2016 | 3,490,718 | ||||||
Associates Corporation of North America | ||||||||
| 3,800,000 | 6.950%, 11/1/2018 | 4,577,480 | ||||||
AXA SA | ||||||||
| 2,580,000 | 8.600%, 12/15/2030 | 3,233,718 | ||||||
Axis Specialty Finance, LLC | ||||||||
| 2,570,000 | 5.875%, 6/1/2020 | 2,917,575 | ||||||
Banco do Brasil SA | ||||||||
| 1,950,000 | 9.250%, 10/31/2049e,g,i | 2,413,125 | ||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | ||||||||
| 1,445,000 | 4.125%, 11/9/2022e | 1,470,288 | ||||||
Bank of America Corporation | ||||||||
| 2,580,000 | 5.625%, 10/14/2016 | 2,917,214 | ||||||
| 3,300,000 | 5.750%, 12/1/2017 | 3,846,463 | ||||||
| 3,880,000 | 7.625%, 6/1/2019 | 4,964,735 | ||||||
| 800,000 | 5.625%, 7/1/2020 | 948,502 | ||||||
| 1,940,000 | 5.875%, 1/5/2021 | 2,322,725 | ||||||
| 1,950,000 | 5.875%, 2/7/2042 | 2,432,799 | ||||||
Barclays Bank plc | ||||||||
| 3,220,000 | 6.050%, 12/4/2017e | 3,562,569 | ||||||
BBVA Bancomer SA/Texas | ||||||||
| 3,535,000 | 6.750%, 9/30/2022e | 3,976,875 | ||||||
BBVA US Senior SAU | ||||||||
| 2,560,000 | 4.664%, 10/9/2015 | 2,624,812 | ||||||
Berkshire Hathaway, Inc. | ||||||||
| 3,215,000 | 3.750%, 8/15/2021 | 3,541,499 | ||||||
Boston Properties, LP | ||||||||
| 3,750,000 | 5.875%, 10/15/2019 | 4,471,522 | ||||||
Capital One Capital IV | ||||||||
| 1,930,000 | 6.745%, 2/17/2037 | 1,930,000 | ||||||
Capital One Financial Corporation | ||||||||
| 3,500,000 | 6.150%, 9/1/2016 | 4,004,070 | ||||||
| 3,210,000 | 4.750%, 7/15/2021 | 3,701,650 | ||||||
Cigna Corporation | ||||||||
| 3,220,000 | 4.000%, 2/15/2022 | 3,519,956 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
271
Income Portfolio
Schedule of Investments as of December 31, 2012
Principal | Long-Term Fixed Income (93.7%) | Value | ||||||
| Financials (26.4%) - continued |
| ||||||
CIT Group, Inc. | ||||||||
| $1,920,000 | 5.250%, 3/15/2018 | $ | 2,054,400 | |||||
Citigroup, Inc. | ||||||||
| 4,800,000 | 4.750%, 5/19/2015 | 5,174,573 | ||||||
| 3,210,000 | 6.000%, 8/15/2017 | 3,781,849 | ||||||
| 2,700,000 | 6.125%, 5/15/2018 | 3,235,710 | ||||||
| 3,830,000 | 8.500%, 5/22/2019 | 5,149,960 | ||||||
| 1,925,000 | 4.500%, 1/14/2022 | 2,147,730 | ||||||
| 3,840,000 | 5.950%, 12/29/2049i | 3,888,000 | ||||||
CNA Financial Corporation | ||||||||
| 3,775,000 | 7.350%, 11/15/2019 | 4,734,764 | ||||||
| 1,300,000 | 5.875%, 8/15/2020 | 1,533,746 | ||||||
CommonWealth REIT | ||||||||
| 3,150,000 | 6.250%, 8/15/2016 | 3,455,667 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
| 1,280,000 | 3.950%, 11/9/2022 | 1,310,764 | ||||||
| 1,290,000 | 11.000%, 12/29/2049e,i | 1,744,725 | ||||||
DDR Corporation | ||||||||
| 2,245,000 | 4.625%, 7/15/2022g | 2,450,085 | ||||||
Developers Diversified Realty Corporation | ||||||||
| 1,290,000 | 7.875%, 9/1/2020 | 1,653,690 | ||||||
Discover Bank | ||||||||
| 2,200,000 | 7.000%, 4/15/2020 | 2,731,731 | ||||||
DnB NOR Boligkreditt | ||||||||
| 4,400,000 | 2.900%, 3/29/2016e | 4,677,992 | ||||||
Duke Realty, LP | ||||||||
| 3,220,000 | 3.875%, 10/15/2022 | 3,278,804 | ||||||
Eksportfinans ASA | ||||||||
| 3,250,000 | 2.375%, 5/25/2016 | 3,100,513 | ||||||
Fairfax Financial Holdings, Ltd. | ||||||||
| 1,915,000 | 5.800%, 5/15/2021e | 1,979,417 | ||||||
Fifth Third Bancorp | ||||||||
| 3,210,000 | 0.729%, 12/20/2016d | 3,089,686 | ||||||
| 2,800,000 | 5.450%, 1/15/2017 | 3,137,173 | ||||||
Fifth Third Capital Trust IV | ||||||||
| 1,950,000 | 6.500%, 4/15/2037 | 1,950,000 | ||||||
GE Capital Trust I | ||||||||
| 4,500,000 | 6.375%, 11/15/2067 | 4,741,875 | ||||||
General Electric Capital Corporation | ||||||||
| 3,225,000 | 3.800%, 6/18/2019e | 3,436,489 | ||||||
| 1,900,000 | 6.000%, 8/7/2019 | 2,311,470 | ||||||
| 1,600,000 | 5.300%, 2/11/2021 | 1,857,251 | ||||||
| 1,550,000 | 6.750%, 3/15/2032 | 2,013,038 | ||||||
| 3,200,000 | 7.125%, 12/15/2049i | 3,616,928 | ||||||
Glitnir Banki HF | ||||||||
| 50,000 | Zero Coupon, 1/21/2011e,j | 13,625 | ||||||
Goldman Sachs Group, Inc. | ||||||||
| 3,250,000 | 6.250%, 9/1/2017 | 3,833,755 | ||||||
| 2,900,000 | 5.375%, 3/15/2020 | 3,323,487 | ||||||
| 3,275,000 | 5.250%, 7/27/2021 | 3,733,421 | ||||||
| 1,260,000 | 6.750%, 10/1/2037 | 1,427,992 | ||||||
HCP, Inc. | ||||||||
| 800,000 | 3.750%, 2/1/2019 | 844,273 | ||||||
| 2,250,000 | 2.625%, 2/1/2020 | 2,241,218 | ||||||
Health Care Property Investors, Inc. | ||||||||
| 3,100,000 | 5.625%, 5/1/2017 | 3,540,600 | ||||||
Health Care REIT, Inc. | ||||||||
| 1,285,000 | 2.250%, 3/15/2018 | 1,283,918 | ||||||
| 1,280,000 | 6.125%, 4/15/2020 | 1,499,139 | ||||||
| 3,150,000 | 4.950%, 1/15/2021 | 3,445,256 | ||||||
HSBC Finance Corporation | ||||||||
| 1,930,000 | 6.676%, 1/15/2021 | 2,289,696 | ||||||
HSBC Holdings plc | ||||||||
| 2,600,000 | 4.000%, 3/30/2022 | 2,846,652 | ||||||
HSBC USA, Inc. | ||||||||
| 3,200,000 | 1.625%, 1/16/2018 | 3,202,906 | ||||||
| 1,900,000 | 5.000%, 9/27/2020 | 2,074,578 | ||||||
Huntington Bancshares, Inc. | ||||||||
| 2,850,000 | 7.000%, 12/15/2020 | 3,486,864 | ||||||
Icahn Enterprises, LP | ||||||||
| 1,290,000 | 7.750%, 1/15/2016 | 1,336,762 | ||||||
| 660,000 | 8.000%, 1/15/2018 | 708,675 | ||||||
ING Bank NV | ||||||||
| 3,860,000 | 2.000%, 9/25/2015e | 3,888,564 | ||||||
ING US, Inc. | ||||||||
| 3,215,000 | 5.500%, 7/15/2022e | 3,488,941 | ||||||
International Lease Finance Corporation | ||||||||
| 1,950,000 | 4.875%, 4/1/2015 | 2,018,406 | ||||||
| 1,600,000 | 5.750%, 5/15/2016 | 1,686,542 | ||||||
| 1,875,000 | 6.750%, 9/1/2016e | 2,104,687 | ||||||
Itau Unibanco Holding SA/Cayman Island | ||||||||
| 3,210,000 | 5.125%, 5/13/2023e,g | 3,286,237 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 3,220,000 | 2.000%, 8/15/2017 | 3,289,217 | ||||||
| 3,150,000 | 5.500%, 10/15/2040 | 3,850,733 | ||||||
J.P. Morgan Chase Bank NA | ||||||||
| 3,215,000 | 5.875%, 6/13/2016 | 3,666,466 | ||||||
| 2,580,000 | 6.000%, 10/1/2017 | 3,054,307 | ||||||
Kilroy Realty, LP | ||||||||
| 2,565,000 | 4.800%, 7/15/2018 | 2,857,438 | ||||||
Liberty Mutual Group, Inc. | ||||||||
| 3,535,000 | 4.950%, 5/1/2022e | 3,852,751 | ||||||
Liberty Property, LP | ||||||||
| 2,840,000 | 5.500%, 12/15/2016 | 3,225,408 | ||||||
| 1,875,000 | 4.750%, 10/1/2020 | 2,048,207 | ||||||
Macquarie Bank, Ltd. | ||||||||
| 3,215,000 | 5.000%, 2/22/2017e | 3,516,246 | ||||||
Merrill Lynch & Company, Inc. | ||||||||
| 3,050,000 | 6.875%, 4/25/2018 | 3,676,635 | ||||||
| 3,000,000 | 7.750%, 5/14/2038 | 3,905,097 | ||||||
MetLife Capital Trust IV | ||||||||
| 700,000 | 7.875%, 12/15/2037e | 857,500 | ||||||
MetLife Capital Trust X | ||||||||
| 2,250,000 | 9.250%, 4/8/2038e | 3,105,000 | ||||||
Mizuho Corporate Bank, Ltd. | ||||||||
| 3,225,000 | 2.550%, 3/17/2017e | 3,372,421 | ||||||
| 1,920,000 | 1.550%, 10/17/2017e | 1,921,926 | ||||||
Morgan Stanley | ||||||||
| 2,580,000 | 5.375%, 10/15/2015 | 2,804,927 | ||||||
| 3,730,000 | 6.625%, 4/1/2018 | 4,396,085 | ||||||
| 1,900,000 | 5.625%, 9/23/2019 | 2,148,862 | ||||||
| 3,400,000 | 5.500%, 1/26/2020 | 3,814,096 | ||||||
| 1,925,000 | 4.875%, 11/1/2022 | 1,993,133 | ||||||
MUFG Capital Finance 1, Ltd. | ||||||||
| 3,230,000 | 6.346%, 7/29/2049i | 3,561,705 | ||||||
Murray Street Investment Trust I | ||||||||
| 1,300,000 | 4.647%, 3/9/2017 | 1,406,141 | ||||||
National City Bank | ||||||||
| 1,830,000 | 5.800%, 6/7/2017 | 2,159,318 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
272
Income Portfolio
Schedule of Investments as of December 31, 2012
Principal | Long-Term Fixed Income (93.7%) | Value | ||||||
| Financials (26.4%) - continued | ||||||||
Nationwide Building Society | ||||||||
| $2,400,000 | 6.250%, 2/25/2020e | $ | 2,834,506 | |||||
Nordea Bank AB | ||||||||
| 3,170,000 | 4.875%, 5/13/2021e | 3,400,681 | ||||||
Omega Healthcare Investors, Inc. | ||||||||
| 1,680,000 | 5.875%, 3/15/2024 | 1,780,800 | ||||||
ORIX Corporation | ||||||||
| 4,450,000 | 5.000%, 1/12/2016 | 4,820,017 | ||||||
Preferred Term Securities XXIII, Ltd. | ||||||||
| 4,275,417 | 0.508%, 12/22/2036d,h | 2,821,775 | ||||||
ProLogis, LP | ||||||||
| 2,550,000 | 6.250%, 3/15/2017 | 2,921,662 | ||||||
| 1,930,000 | 6.875%, 3/15/2020 | 2,336,346 | ||||||
Prudential Financial, Inc. | ||||||||
| 3,125,000 | 5.375%, 6/21/2020 | 3,653,216 | ||||||
| 1,425,000 | 6.200%, 11/15/2040 | 1,723,684 | ||||||
| 1,930,000 | 5.875%, 9/15/2042 | 2,026,500 | ||||||
| 2,565,000 | 5.625%, 6/15/2043 | 2,658,110 | ||||||
QBE Capital Funding III, Ltd. | ||||||||
| 2,240,000 | 7.250%, 5/24/2041e | 2,318,400 | ||||||
Rabobank Capital Funding Trust II | ||||||||
| 2,126,000 | 5.260%, 12/29/2049e,i | 2,136,660 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 1,855,000 | 5.625%, 3/15/2017 | 2,095,278 | ||||||
| 1,930,000 | 6.450%, 11/15/2019 | 2,250,251 | ||||||
Royal Bank of Scotland Group plc | ||||||||
| 2,565,000 | 6.125%, 12/15/2022 | 2,707,311 | ||||||
Santander Holdings USA, Inc. | ||||||||
| 3,855,000 | 3.000%, 9/24/2015 | 3,925,697 | ||||||
Simon Property Group, LP | ||||||||
| 1,250,000 | 10.350%, 4/1/2019 | 1,787,484 | ||||||
| 2,000,000 | 5.650%, 2/1/2020 | 2,400,030 | ||||||
| 1,025,000 | 2.750%, 2/1/2023 | 1,024,425 | ||||||
SLM Corporation | ||||||||
| 3,300,000 | 5.375%, 5/15/2014 | 3,450,196 | ||||||
| 2,380,000 | 6.250%, 1/25/2016 | 2,588,250 | ||||||
| 3,555,000 | 6.000%, 1/25/2017 | 3,848,288 | ||||||
SunTrust Banks, Inc. | ||||||||
| 3,220,000 | 3.600%, 4/15/2016 | 3,439,433 | ||||||
Swedbank AB | ||||||||
| 3,855,000 | 2.125%, 9/29/2017e | 3,938,808 | ||||||
Swiss RE Capital I, LP | ||||||||
| 4,200,000 | 6.854%, 5/29/2049e,i | 4,402,028 | ||||||
TD Ameritrade Holding Corporation | ||||||||
| 3,775,000 | 5.600%, 12/1/2019 | 4,480,249 | ||||||
U.S. Bank National Association | ||||||||
| 3,260,000 | 3.778%, 4/29/2020 | 3,456,438 | ||||||
UnionBanCal Corporation | ||||||||
| 2,580,000 | 3.500%, 6/18/2022 | 2,721,224 | ||||||
UnitedHealth Group, Inc. | ||||||||
| 2,500,000 | 6.500%, 6/15/2037 | 3,293,187 | ||||||
Unum Group | ||||||||
| 2,500,000 | 7.125%, 9/30/2016 | 2,945,127 | ||||||
Vesey Street Investment Trust I | ||||||||
| 1,300,000 | 4.404%, 9/1/2016k | 1,402,792 | ||||||
Wachovia Capital Trust III | ||||||||
| 120,000 | 5.570%, 3/15/2042d,i | 119,400 | ||||||
Wachovia Corporation | ||||||||
| 2,500,000 | 5.250%, 8/1/2014 | 2,665,850 | ||||||
WEA Finance, LLC | ||||||||
| 2,790,000 | 7.125%, 4/15/2018e | 3,437,846 | ||||||
| 1,280,000 | 6.750%, 9/2/2019e | 1,585,705 | ||||||
Wells Fargo & Company | ||||||||
| 2,560,000 | 1.500%, 1/16/2018 | 2,564,198 | ||||||
| 3,220,000 | 7.980%, 2/28/2049i | 3,694,950 | ||||||
Willis North America, Inc. | ||||||||
| 3,150,000 | 6.200%, 3/28/2017 | 3,586,196 | ||||||
ZFS Finance USA Trust II | ||||||||
| 2,500,000 | 6.450%, 12/15/2065e | 2,675,000 | ||||||
|
| |||||||
| Total | 416,030,053 | |||||||
|
| |||||||
| Foreign Government (1.9%) | ||||||||
Brazil Government International Bond | ||||||||
| 1,930,000 | 4.875%, 1/22/2021 | 2,325,650 | ||||||
Chile Government International Bond | ||||||||
| 4,520,000 | 3.250%, 9/14/2021 | 4,904,200 | ||||||
Corporacion Andina de Fomento | ||||||||
| 1,968,000 | 4.375%, 6/15/2022 | 2,130,878 | ||||||
Export-Import Bank of Korea | ||||||||
| 2,580,000 | 4.375%, 9/15/2021 | 2,850,606 | ||||||
Korea Development Bank | ||||||||
| 2,500,000 | 4.375%, 8/10/2015 | 2,699,362 | ||||||
Mexico Government International Bond | ||||||||
| 3,150,000 | 5.125%, 1/15/2020 | 3,764,250 | ||||||
| 2,230,000 | 6.050%, 1/11/2040 | 2,990,430 | ||||||
Peru Government International Bond | ||||||||
| 1,290,000 | 5.625%, 11/18/2050 | 1,672,485 | ||||||
Province of Ontario | ||||||||
| 4,780,000 | 3.000%, 7/16/2018 | 5,210,678 | ||||||
Russia Government International Bond | ||||||||
| 1,950,000 | 3.250%, 4/4/2017e | 2,071,875 | ||||||
|
| |||||||
| Total | 30,620,414 | |||||||
|
| |||||||
| Mortgage-Backed Securities (6.6%) | ||||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 9,925,000 | 2.500%, 1/1/2028c | 10,357,669 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 9,875,000 | 3.000%, 1/1/2043c | 10,324,004 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 14,850,000 | 2.500%, 1/1/2028c | 15,527,531 | ||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 24,250,000 | 3.500%, 1/1/2043c | 25,853,720 | ||||||
| 14,500,000 | 4.000%, 1/1/2043c | 15,542,188 | ||||||
| 23,875,000 | 5.000%, 1/1/2043c | 25,859,609 | ||||||
|
| |||||||
| Total | 103,464,721 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
273
Income Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (93.7%) | Value | ||||||
| Technology (1.7%) |
| ||||||
CA, Inc. | ||||||||
| $ | 3,075,000 | 5.375%, 12/1/2019 | $ | 3,501,936 | ||||
Computer Sciences Corporation | ||||||||
| 2,250,000 | 2.500%, 9/15/2015 | 2,294,226 | ||||||
Equinix, Inc. | ||||||||
| 1,800,000 | 8.125%, 3/1/2018 | 1,984,500 | ||||||
| 640,000 | 7.000%, 7/15/2021 | 710,400 | ||||||
Hewlett-Packard Company | ||||||||
| 3,200,000 | 2.650%, 6/1/2016 | 3,193,123 | ||||||
| 1,300,000 | 2.600%, 9/15/2017g | 1,266,403 | ||||||
| 2,590,000 | 4.650%, 12/9/2021g | 2,600,075 | ||||||
Motorola Solutions, Inc. | ||||||||
| 4,500,000 | 3.750%, 5/15/2022 | 4,597,713 | ||||||
Oracle Corporation | ||||||||
| 3,200,000 | 2.500%, 10/15/2022 | 3,228,829 | ||||||
Xerox Corporation | ||||||||
| 1,250,000 | 6.400%, 3/15/2016 | 1,408,587 | ||||||
| 1,950,000 | 2.950%, 3/15/2017 | 2,000,745 | ||||||
|
| |||||||
| Total | 26,786,537 | |||||||
|
| |||||||
| Transportation (2.1%) | |||||||
Burlington Northern Santa Fe, LLC | ||||||||
| 1,125,000 | 3.050%, 9/1/2022 | 1,162,639 | ||||||
Continental Airlines, Inc. | ||||||||
| 2,200,000 | 6.750%, 9/15/2015e | 2,310,000 | ||||||
| 986,153 | 7.250%, 11/10/2019 | 1,134,075 | ||||||
| 1,415,000 | 4.000%, 10/29/2024 | 1,485,750 | ||||||
CSX Corporation | ||||||||
| 1,293,000 | 7.900%, 5/1/2017 | 1,617,103 | ||||||
| 1,280,000 | 4.250%, 6/1/2021 | 1,439,026 | ||||||
| 1,807,000 | 6.220%, 4/30/2040 | 2,332,244 | ||||||
Delta Air Lines, Inc. | ||||||||
| 2,260,263 | 4.950%, 5/23/2019g | 2,452,385 | ||||||
| 1,285,000 | 4.750%, 5/7/2020 | 1,368,525 | ||||||
ERAC USA Finance, LLC | ||||||||
| 3,450,000 | 5.250%, 10/1/2020e | 3,945,303 | ||||||
| 1,915,000 | 4.500%, 8/16/2021e | 2,086,714 | ||||||
Hertz Corporation | ||||||||
| 2,570,000 | 6.750%, 4/15/2019 | 2,804,513 | ||||||
Kansas City Southern de Mexico SA de CV | ||||||||
| 480,000 | 6.125%, 6/15/2021 | 542,400 | ||||||
Navios Maritime Holdings, Inc. | ||||||||
| 1,510,000 | 8.875%, 11/1/2017 | 1,506,225 | ||||||
Navios South American Logistics, Inc./Navios Logistics Finance US, Inc. | ||||||||
| 480,000 | 9.250%, 4/15/2019 | 471,000 | ||||||
Penske Truck Leasing Company, LP | ||||||||
| 3,865,000 | 2.500%, 3/15/2016e | 3,875,412 | ||||||
United Parcel Service, Inc. | ||||||||
| 3,220,000 | 2.450%, 10/1/2022 | 3,221,047 | ||||||
|
| |||||||
| Total | 33,754,361 | |||||||
|
| |||||||
| U.S. Government and Agencies (6.1%) | |||||||
U.S. Treasury Bonds | ||||||||
| 1,500,000 | 4.375%, 5/15/2041 | 1,954,218 | ||||||
| 7,760,000 | 3.125%, 11/15/2041 | 8,122,540 | ||||||
| 287,000 | 3.125%, 2/15/2042 | 300,094 | ||||||
| 7,129,000 | 3.000%, 5/15/2042 | 7,262,669 | ||||||
U.S. Treasury Notes | ||||||||
| $ | 100,000 | 0.375%, 6/15/2015 | $ | 100,156 | ||||
| 6,410,000 | 2.875%, 3/31/2018 | 7,106,088 | ||||||
| 7,110,000 | 2.375%, 6/30/2018 | 7,705,463 | ||||||
| 23,000 | 1.000%, 6/30/2019 | 22,932 | ||||||
| 5,160,000 | 3.625%, 2/15/2020 | 6,029,140 | ||||||
| 9,500,000 | 3.500%, 5/15/2020l | 11,029,652 | ||||||
| 7,020,000 | 2.625%, 11/15/2020 | 7,704,450 | ||||||
| 7,605,000 | 3.125%, 5/15/2021 | 8,623,948 | ||||||
| 8,825,000 | 2.000%, 11/15/2021 | 9,159,388 | ||||||
| 3,860,000 | 1.625%, 11/15/2022 | 3,817,779 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
| 4,066,159 | 0.125%, 4/15/2016 | 4,281,543 | ||||||
| 4,593,164 | 0.125%, 4/15/2017 | 4,918,631 | ||||||
| 6,640,413 | 0.625%, 7/15/2021 | 7,548,291 | ||||||
|
| |||||||
| Total | 95,686,982 | |||||||
|
| |||||||
| U.S. Municipals (0.5%) | |||||||
California General Obligation Bonds (Build America Bonds) | ||||||||
| 1,280,000 | 7.950%, 3/1/2036 | 1,590,643 | ||||||
Denver, Colorado City & County Airport Revenue Bonds | ||||||||
| 2,550,000 | 5.250%, 11/15/2022 | 3,081,802 | ||||||
Illinois State General Obligation Bonds | ||||||||
| 3,175,000 | 5.877%, 3/1/2019 | 3,654,838 | ||||||
|
| |||||||
| Total | 8,327,283 | |||||||
|
| |||||||
| Utilities (5.9%) | |||||||
AES Corporation | ||||||||
| 1,565,000 | 7.750%, 10/15/2015 | 1,756,713 | ||||||
Ameren Illinois Company | ||||||||
| 3,200,000 | 6.125%, 11/15/2017 | 3,839,398 | ||||||
American Electric Power Company, Inc. | ||||||||
| 2,565,000 | 2.950%, 12/15/2022 | 2,565,821 | ||||||
Cleveland Electric Illuminating Company | ||||||||
| 1,775,000 | 5.700%, 4/1/2017 | 2,004,909 | ||||||
Commonwealth Edison Company | ||||||||
| 1,500,000 | 6.150%, 9/15/2017 | 1,818,698 | ||||||
DCP Midstream Operating, LP | ||||||||
| 2,560,000 | 2.500%, 12/1/2017 | 2,546,360 | ||||||
DPL, Inc. | ||||||||
| 3,230,000 | 6.500%, 10/15/2016 | 3,415,725 | ||||||
DTE Energy Company | ||||||||
| 2,500,000 | 6.375%, 4/15/2033 | 3,247,772 | ||||||
El Paso Pipeline Partners Operating Company, LLC | ||||||||
| 1,280,000 | 4.700%, 11/1/2042 | 1,254,973 | ||||||
Energy Transfer Partners, LP | ||||||||
| 3,500,000 | 4.650%, 6/1/2021 | 3,845,559 | ||||||
| 1,750,000 | 5.200%, 2/1/2022 | 1,996,246 | ||||||
Enterprise Products Operating, LLC | ||||||||
| 2,675,000 | 7.034%, 1/15/2068 | 3,062,875 | ||||||
| 2,070,000 | 6.300%, 9/15/2017 | 2,503,936 | ||||||
| 1,930,000 | 6.650%, 4/15/2018 | 2,392,418 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
274
Income Portfolio
Schedule of Investments as of December 31, 2012
Principal | Long-Term Fixed Income (93.7%) | Value | ||||||
| Utilities (5.9%) - continued |
| ||||||
Exelon Generation Company, LLC | ||||||||
| $ | 1,050,000 | 5.200%, 10/1/2019 | $ | 1,190,324 | ||||
| 2,500,000 | 4.000%, 10/1/2020 | 2,628,067 | ||||||
Florida Power Corporation | ||||||||
| 2,000,000 | 6.400%, 6/15/2038 | 2,693,802 | ||||||
Great River Energy | ||||||||
| 33,816 | 5.829%, 7/1/2017e | 35,965 | ||||||
ITC Holdings Corporation | ||||||||
| 3,000,000 | 5.875%, 9/30/2016e | 3,409,308 | ||||||
| 2,600,000 | 6.050%, 1/31/2018e | 3,048,672 | ||||||
Kinder Morgan Energy Partners, LP | ||||||||
| 1,935,000 | 5.000%, 8/15/2042 | 2,050,670 | ||||||
Markwest Energy Partners, LP | ||||||||
| 1,910,000 | 6.500%, 8/15/2021 | 2,086,675 | ||||||
Nevada Power Company | ||||||||
| 2,800,000 | 6.750%, 7/1/2037 | 3,883,673 | ||||||
NiSource Finance Corporation | ||||||||
| 2,800,000 | 6.400%, 3/15/2018 | 3,375,352 | ||||||
| 3,200,000 | 5.450%, 9/15/2020 | 3,760,314 | ||||||
NRG Energy, Inc. | ||||||||
| 1,290,000 | 8.250%, 9/1/2020 | 1,444,800 | ||||||
Ohio Edison Company | ||||||||
| 1,550,000 | 6.875%, 7/15/2036 | 2,007,360 | ||||||
Ohio Power Company | ||||||||
| 2,400,000 | 6.050%, 5/1/2018 | 2,879,959 | ||||||
ONEOK Partners, LP | ||||||||
| 1,290,000 | 2.000%, 10/1/2017 | 1,300,722 | ||||||
Pennsylvania Electric Company | ||||||||
| 3,700,000 | 5.200%, 4/1/2020 | 4,266,389 | ||||||
PPL Capital Funding, Inc. | ||||||||
| 3,205,000 | 3.500%, 12/1/2022 | 3,262,360 | ||||||
PSEG Power, LLC | ||||||||
| 1,300,000 | 5.320%, 9/15/2016 | 1,469,731 | ||||||
Southern California Edison Company | ||||||||
| 2,585,000 | 6.250%, 8/1/2049i | 2,806,560 | ||||||
Southern Star Central Corporation | ||||||||
| 1,600,000 | 6.750%, 3/1/2016 | 1,628,000 | ||||||
Southwestern Public Service Company | ||||||||
| 2,770,000 | 6.000%, 10/1/2036 | 3,454,642 | ||||||
Union Electric Company | ||||||||
| 2,900,000 | 6.400%, 6/15/2017 | 3,542,225 | ||||||
|
| |||||||
| Total | 92,476,973 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $1,364,581,055) | 1,475,420,773 | |||||||
|
| |||||||
| Shares | Preferred Stock (1.4%) | |||||||
| Financials (1.4%) | |||||||
| 93,500 | Annaly Capital Management, Inc., 7.500%i | 2,325,345 | ||||||
| 144,000 | BB&T Corporation, 5.200%i,m | 3,538,080 | ||||||
| 22,500 | CoBank ACB, 6.250%i,m | 2,343,517 | ||||||
| 128,000 | Discover Financial Services, 6.500%i | 3,232,000 | ||||||
| 81,250 | HSBC Holdings plc, 8.000%i | 2,239,250 | ||||||
| Shares | Preferred Stock (1.4%) | |||||||
| Financials (1.4%) - continued |
| ||||||
| 168,214 | PNC Financial Services Group, Inc., 6.125%i | $ | 4,661,210 | |||||
| 72,510 | RBS Capital Funding Trust VII, 6.080%i,m | 1,502,407 | ||||||
| 82,600 | U.S. Bancorp, 6.500%i | 2,365,664 | ||||||
|
| |||||||
| Total | 22,207,473 | |||||||
|
| |||||||
| Total Preferred Stock (cost $21,093,127) | 22,207,473 | |||||||
|
| |||||||
| Shares | Collateral Held for Securities Loaned (0.9%) | |||||||
| 14,562,571 | Thrivent Cash Management Trust | 14,562,571 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $14,562,571) | 14,562,571 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (7.5%) | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 600,000 | 0.138%, 6/7/2013n,o | 599,640 | ||||||
| 118,125,978 | Thrivent Cash Management Trust | 118,125,978 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 118,725,618 | |||||||
|
| |||||||
| Total Investments (cost $1,569,709,074) 106.7% | $ | 1,682,014,188 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (6.7%) | (106,113,897 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 1,575,900,291 | ||||||
|
| |||||||
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | All or a portion of the loan is unfunded. |
| c | Denotes investments purchased on a when-issued or delayed delivery basis. |
| d | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2012. |
| e | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2012, the value of these investments was $244,111,222 or 15.5% of total net assets. |
| f | All or a portion of the security is insured or guaranteed. |
| g | All or a portion of the security is on loan. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
275
Income Portfolio
Schedule of Investments as of December 31, 2012
| h | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Income Portfolio owned as of December 31, 2012. |
Security | Acquisition Date | Cost | ||||||
JBS Finance II, Ltd. | 7/22/2010 | $ | 1,232,925 | |||||
Preferred Term Securities XXIII, Ltd. | 9/14/2006 | $ | 4,275,417 | |||||
| i | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| j | In bankruptcy. Interest is not being accrued. |
| k | Denotes step coupon securities. Step coupon securities pay an initial coupon rate for the first period and then different coupon rates for following periods. The rate shown is as of December 31, 2012. |
| l | At December 31, 2012, $348,305 of investments were pledged as collateral with the custodian under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
| m | Non-income producing security. |
| n | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| o | At December 31, 2012, $599,640 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. | ||||
TIPS | - | Treasury Inflation Protected Security. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 123,904,404 | ||
Gross unrealized depreciation | (11,741,832 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 112,162,572 | ||
Cost for federal income tax purposes | $ | 1,569,851,616 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
276
Income Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Income Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 4,873,473 | — | 4,873,473 | — | ||||||||||||
Capital Goods | 970,800 | — | 970,800 | — | ||||||||||||
Communications Services | 15,066,371 | — | 15,066,371 | — | ||||||||||||
Consumer Cyclical | 5,136,339 | — | 5,136,339 | — | ||||||||||||
Consumer Non-Cyclical | 8,771,058 | — | 8,771,058 | — | ||||||||||||
Energy | 1,930,483 | — | 1,930,483 | — | ||||||||||||
Financials | 1,606,000 | — | 1,606,000 | — | ||||||||||||
Technology | 6,672,636 | — | 6,672,636 | — | ||||||||||||
Transportation | 2,532,145 | — | 2,532,145 | — | ||||||||||||
Utilities | 3,538,448 | — | 3,538,448 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 11,358,847 | — | 11,358,847 | — | ||||||||||||
Basic Materials | 62,527,107 | — | 62,527,107 | — | ||||||||||||
Capital Goods | 46,167,276 | — | 46,167,276 | — | ||||||||||||
Collateralized Mortgage Obligations | 15,328,185 | — | 15,328,185 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 18,658,625 | — | 18,658,625 | — | ||||||||||||
Communications Services | 150,438,197 | — | 150,438,197 | — | ||||||||||||
Consumer Cyclical | 91,600,208 | — | 91,600,208 | — | ||||||||||||
Consumer Non-Cyclical | 115,851,733 | — | 115,851,733 | — | ||||||||||||
Energy | 156,343,271 | — | 156,343,271 | — | ||||||||||||
Financials | 416,030,053 | — | 413,208,278 | 2,821,775 | ||||||||||||
Foreign Government | 30,620,414 | — | 30,620,414 | — | ||||||||||||
Mortgage-Backed Securities | 103,464,721 | — | 103,464,721 | — | ||||||||||||
Technology | 26,786,537 | — | 26,786,537 | — | ||||||||||||
Transportation | 33,754,361 | — | 33,754,361 | — | ||||||||||||
U.S. Government and Agencies | 95,686,982 | — | 95,686,982 | — | ||||||||||||
U.S. Municipals | 8,327,283 | — | 8,327,283 | — | ||||||||||||
Utilities | 92,476,973 | — | 92,476,973 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 22,207,473 | 19,863,956 | 2,343,517 | — | ||||||||||||
Collateral Held for Securities Loaned | 14,562,571 | 14,562,571 | — | — | ||||||||||||
Short-Term Investments | 118,725,618 | 118,125,978 | 599,640 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,682,014,188 | $ | 152,552,505 | $ | 1,526,639,908 | $ | 2,821,775 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 914,935 | 914,935 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 914,935 | $ | 914,935 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 1,065,894 | 1,065,894 | — | — | ||||||||||||
Credit Default Swaps | 917,083 | — | 917,083 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 1,982,977 | $ | 1,065,894 | $ | 917,083 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
The accompanying Notes to Financial Statements are an integral part of this schedule.
277
Income Portfolio
Schedule of Investments as of December 31, 2012
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | 315 | March 2013 | $ | 69,433,853 | $ | 69,447,656 | $ | 13,803 | ||||||||||||
5-Yr. U.S. Treasury Bond Futures | (595 | ) | March 2013 | (74,150,060 | ) | (74,026,365 | ) | 123,695 | ||||||||||||
10-Yr. U.S. Treasury Bond Futures | (1,250 | ) | March 2013 | (166,754,000 | ) | (165,976,563 | ) | 777,437 | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | 600 | March 2013 | 89,565,894 | 88,500,000 | (1,065,894 | ) | ||||||||||||||
Total Futures Contracts | ($ | 150,959 | ) | |||||||||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||||||||||
CDX HY, Series 18, 5 Year, at | Buy | 6/20/2017 | $ | 9,504,000 | ($ | 408,997 | ) | ($ | 160,559 | ) | ($ | 569,556 | ) | |||||||||||
CDX HY, Series 19, 5 Year, | Buy | 12/20/2017 | 9,620,000 | (293,348 | ) | (54,179 | ) | (347,527 | ) | |||||||||||||||
Total Credit Default Swaps | ($ | 214,738 | ) | ($ | 917,083 | ) | ||||||||||||||||||
| 1 | As the buyer of protection, Income Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, Income Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
| 2 | The maximum potential amount of future payments Income Portfolio could be required to make as the seller or receive as the buyer of protection. |
| 3 | The values for credit indexes (CDX or LCDX) serve as an indicator of the current status of the payment/performance risk and represent the liability or profit for the credit default swap contract had the contract been closed as of the reporting date. When protection has been sold, the value of the swap will increase when the swap spread declines representing an improvement in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. When protection has been purchased, the value of the swap will increase when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread declines representing an improvement in the reference entity’s credit worthiness. |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2012, for Income Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 914,935 | ||||
Total Interest Rate Contracts | 914,935 | |||||
|
| |||||
Total Asset Derivatives | $ | 914,935 | ||||
|
| |||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 1,065,894 | ||||
Total Equity Contracts | 1,065,894 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 917,083 | ||||
Total Credit Contracts | 917,083 | |||||
|
| |||||
Total Liability Derivatives | $ | 1,982,977 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
278
Income Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Income Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (7,132,004 | ) | |||
Total Interest Rate Contracts | (7,132,004 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (286,402 | ) | |||
Total Credit Contracts | (286,402 | ) | ||||
|
| |||||
Total | ($ | 7,418,406 | ) | |||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2012, for Income Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (1,065,894 | ) | |||
Total Equity Contracts | (1,065,894 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 3,357,504 | ||||
Total Interest Rate Contracts | 3,357,504 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (917,083 | ) | |||
Total Credit Contracts | (917,083 | ) | ||||
|
| |||||
Total | $ | 1,374,527 | ||||
|
| |||||
The following table presents Income Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | ||||||||||||
Interest Rate Contracts | $ | 422,050,237 | 27.3 | % | N/A | N/A | ||||||||||
Credit Contracts | N/A | N/A | $ | 6,746,789 | 0.4 | % | ||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Income Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 27,407,116 | $ | 150,495,661 | $ | 163,340,206 | 14,562,571 | $ | 14,562,571 | $ | 54,737 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 227,607,157 | 109,481,179 | 118,125,978 | 118,125,978 | 25,804 | ||||||||||||||||||
Total Value and Income Earned | 27,407,116 | 132,688,549 | 80,541 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
279
Schedule of Investments as of December 31, 2012
| Principal Amount | Long - Term Fixed Income (105.2%) | Value | ||||||
| Asset-Backed Securities (2.9%) |
| ||||||
Conseco Financial Corporation | ||||||||
| $ 16,422 | 6.330%, 11/1/2029 | $ | 17,407 | |||||
Countrywide Home Loans, Inc. | ||||||||
| 327,461 | 6.085%, 6/25/2021a | 288,409 | ||||||
Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 355,209 | 4.274%, 12/25/2036 | 225,476 | ||||||
First Horizon ABS Trust | ||||||||
| 864,773 | 0.340%, 10/25/2026a,b | 735,575 | ||||||
| 818,928 | 0.370%, 10/25/2034a,b | 589,316 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 1,040,857 | 0.390%, 8/25/2035a,b | 822,504 | ||||||
| 1,266,047 | 0.390%, 12/25/2036a,b | 916,980 | ||||||
IndyMac Seconds Asset-Backed Trust | ||||||||
| 490,082 | 0.380%, 10/25/2036a,b | 120,368 | ||||||
Master Credit Card Trust | ||||||||
| 750,000 | 0.780%, 4/21/2017c | 751,595 | ||||||
Wachovia Asset Securitization, Inc. | ||||||||
| 1,060,901 | 0.350%, 7/25/2037a,b,d | 902,726 | ||||||
|
| |||||||
| Total | 5,370,356 | |||||||
|
| |||||||
| Basic Materials (0.6%) | |||||||
Dow Chemical Company | ||||||||
| 27,000 | 7.375%, 11/1/2029 | 35,769 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| 250,000 | 3.550%, 3/1/2022 | 247,944 | ||||||
Rio Tinto Alcan, Inc. | ||||||||
| 500,000 | 5.200%, 1/15/2014 | 522,163 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
| 325,000 | 2.450%, 10/25/2017c | 328,151 | ||||||
|
| |||||||
| Total | 1,134,027 | |||||||
|
| |||||||
| Capital Goods (1.4%) | |||||||
Caterpillar Financial Services Corporation | ||||||||
| 325,000 | 1.625%, 6/1/2017 | 331,113 | ||||||
Eaton Corporation | ||||||||
| 300,000 | 2.750%, 11/2/2022c | 299,074 | ||||||
General Electric Company | ||||||||
| 600,000 | 5.000%, 2/1/2013 | 600,140 | ||||||
John Deere Capital Corporation | ||||||||
| 325,000 | 1.700%, 1/15/2020 | 321,671 | ||||||
Owens Corning, Inc. | ||||||||
| 130,000 | 4.200%, 12/15/2022 | 132,208 | ||||||
Precision Castparts Corporation | ||||||||
| 300,000 | 1.250%, 1/15/2018 | 300,495 | ||||||
Roper Industries, Inc. | ||||||||
| 300,000 | 1.850%, 11/15/2017 | 299,776 | ||||||
United Technologies Corporation | ||||||||
| 275,000 | 6.050%, 6/1/2036 | 361,970 | ||||||
|
| |||||||
| Total | 2,646,447 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (<0.1%) |
| ||||||
Bear Stearns Mortgage Funding Trust | ||||||||
| 151,722 | 0.490%, 8/25/2036b | 43,335 | ||||||
|
| |||||||
| Total | 43,335 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (4.8%) | |||||||
Banc of America Commercial Mortgage, Inc. | ||||||||
| 645,000 | 5.685%, 6/10/2049 | 747,642 | ||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 242,779 | 0.359%, 3/15/2022b,c | 240,404 | ||||||
Commercial Mortgage Pass- Through Certificates | ||||||||
| 2,500,000 | 0.339%, 12/15/2020b,c | 2,327,740 | ||||||
| 500,000 | 5.306%, 12/10/2046 | 574,522 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 988,775 | 0.379%, 10/15/2021b,c | 967,862 | ||||||
| 235,000 | 5.467%, 9/15/2039 | 266,800 | ||||||
GE Capital Commercial Mortgage Corporation | ||||||||
| 185,283 | 4.641%, 3/10/2040 | 187,706 | ||||||
GS Mortgage Securities Corporation II | ||||||||
| 2,000,000 | 1.260%, 3/6/2020b,c | 2,002,694 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
| 900,000 | 4.786%, 10/15/2029 | 956,642 | ||||||
Morgan Stanley Capital I | ||||||||
| 500,000 | 3.224%, 7/15/2049 | 538,675 | ||||||
|
| |||||||
| Total | 8,810,687 | |||||||
|
| |||||||
| Communications Services (1.4%) | |||||||
AT&T, Inc. | ||||||||
| 350,000 | 1.400%, 12/1/2017 | 350,066 | ||||||
BellSouth Corporation | ||||||||
| 27,000 | 6.875%, 10/15/2031 | 33,596 | ||||||
British Sky Broadcasting Group plc | ||||||||
| 200,000 | 3.125%, 11/26/2022c | 199,304 | ||||||
CBS Corporation | ||||||||
| 350,000 | 7.875%, 9/1/2023 | 465,093 | ||||||
CenturyLink, Inc. | ||||||||
| 250,000 | 5.800%, 3/15/2022 | 264,282 | ||||||
Cox Communications, Inc. | ||||||||
| 200,000 | 3.250%, 12/15/2022c | 206,252 | ||||||
| 135,000 | 6.450%, 12/1/2036c | 166,603 | ||||||
Crown Castle Towers, LLC | ||||||||
| 500,000 | 4.174%, 8/15/2017c | 548,685 | ||||||
Time Warner Cable, Inc. | ||||||||
| 250,000 | 4.500%, 9/15/2042 | 243,812 | ||||||
Verizon Global Funding Corporation | ||||||||
| 27,000 | 7.750%, 12/1/2030 | 39,530 | ||||||
|
| |||||||
| Total | 2,517,223 | |||||||
|
| |||||||
| Consumer Cyclical (1.4%) | |||||||
Amazon.com, Inc. | ||||||||
| 250,000 | 1.200%, 11/29/2017 | 248,626 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
280
Bond Index Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (105.2%) | Value | ||||||
| Consumer Cyclical (1.4%) - continued |
| ||||||
California Institute of Technology | ||||||||
| $ 325,000 | 4.700%, 11/1/2111 | $ | 353,152 | |||||
Daimler Finance North America, LLC | ||||||||
| 27,000 | 8.500%, 1/18/2031 | 42,024 | ||||||
Dartmouth College | ||||||||
| 250,000 | 3.760%, 6/1/2043 | 255,950 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 150,000 | 4.207%, 4/15/2016 | 159,992 | ||||||
| 200,000 | 3.984%, 6/15/2016 | 212,365 | ||||||
| 350,000 | 3.000%, 6/12/2017 | 359,599 | ||||||
Target Corporation | ||||||||
| 27,000 | 7.000%, 7/15/2031 | 37,644 | ||||||
Time Warner, Inc. | ||||||||
| 275,000 | 3.400%, 6/15/2022 | 286,847 | ||||||
| 27,000 | 7.625%, 4/15/2031 | 37,170 | ||||||
Wal-Mart Stores, Inc. | ||||||||
| 327,000 | 7.550%, 2/15/2030 | 481,101 | ||||||
|
| |||||||
| Total | 2,474,470 | |||||||
|
| |||||||
| Consumer Non-Cyclical (2.1%) | |||||||
AbbVie, Inc. | ||||||||
| 350,000 | 1.750%, 11/6/2017c | 353,807 | ||||||
Altria Group, Inc. | ||||||||
| 300,000 | 4.250%, 8/9/2042 | 290,939 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 300,000 | 1.375%, 7/15/2017 | 303,159 | ||||||
Cargill, Inc. | ||||||||
| 325,000 | 4.100%, 11/1/2042c | 318,185 | ||||||
Colgate-Palmolive Company | ||||||||
| 500,000 | 1.250%, 5/1/2014 | 504,949 | ||||||
Dr Pepper Snapple Group, Inc. | ||||||||
| 250,000 | 2.700%, 11/15/2022 | 248,366 | ||||||
Heineken NV | ||||||||
| 50,000 | 1.400%, 10/1/2017c | 49,849 | ||||||
| 300,000 | 2.750%, 4/1/2023c | 294,566 | ||||||
Mayo Clinic Rochester | ||||||||
| 250,000 | 3.774%, 11/15/2043 | 249,732 | ||||||
McKesson Corporation | ||||||||
| 275,000 | 2.700%, 12/15/2022 | 275,090 | ||||||
Mylan, Inc. | ||||||||
| 250,000 | 3.125%, 1/15/2023c | 247,844 | ||||||
Reynolds American, Inc. | ||||||||
| 150,000 | 1.050%, 10/30/2015 | 149,954 | ||||||
| 200,000 | 3.250%, 11/1/2022 | 200,899 | ||||||
Wyeth, LLC | ||||||||
| 350,000 | 6.000%, 2/15/2036 | 459,102 | ||||||
|
| |||||||
| Total | 3,946,441 | |||||||
|
| |||||||
| Energy (1.6%) | |||||||
Anadarko Finance Company | ||||||||
| 27,000 | 7.500%, 5/1/2031 | 35,723 | ||||||
ConocoPhillips Holding Company | ||||||||
| 27,000 | 6.950%, 4/15/2029 | 37,643 | ||||||
Devon Financing Corporation, ULC | ||||||||
| 27,000 | 7.875%, 9/30/2031 | 39,269 | ||||||
Energy Transfer Partners, LP | ||||||||
| 450,000 | 6.700%, 7/1/2018 | 542,209 | ||||||
EOG Resources, Inc. | ||||||||
| 250,000 | 2.625%, 3/15/2023 | 251,759 | ||||||
Marathon Oil Corporation | ||||||||
| 325,000 | 2.800%, 11/1/2022 | 327,014 | ||||||
Petro-Canada | ||||||||
| 300,000 | 6.800%, 5/15/2038 | 409,136 | ||||||
Phillips 66 | ||||||||
| 325,000 | 1.950%, 3/5/2015c | 331,609 | ||||||
| 275,000 | 4.300%, 4/1/2022c | 307,290 | ||||||
Rowan Companies, Inc. | ||||||||
| 200,000 | 4.875%, 6/1/2022 | 217,214 | ||||||
Valero Energy Corporation | ||||||||
| 500,000 | 4.750%, 6/15/2013 | 509,421 | ||||||
|
| |||||||
| Total | 3,008,287 | |||||||
|
| |||||||
| Financials (7.9%) | |||||||
Associated Banc Corporation | ||||||||
| 250,000 | 1.875%, 3/12/2014 | 250,037 | ||||||
Australia and New Zealand Banking Group, Ltd. | ||||||||
| 350,000 | 1.000%, 10/6/2015c | 352,240 | ||||||
AXA SA | ||||||||
| 27,000 | 8.600%, 12/15/2030 | 33,841 | ||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | ||||||||
| 200,000 | 4.125%, 11/9/2022c | 203,500 | ||||||
Bank of America Corporation | ||||||||
| 250,000 | 1.500%, 10/9/2015 | 251,278 | ||||||
| 150,000 | 5.875%, 2/7/2042 | 187,138 | ||||||
Barclays Bank plc | ||||||||
| 500,000 | 2.375%, 1/13/2014 | 508,440 | ||||||
| 300,000 | 5.000%, 9/22/2016 | 336,266 | ||||||
Berkshire Hathaway, Inc. | ||||||||
| 300,000 | 1.600%, 5/15/2017 | 305,784 | ||||||
Camden Property Trust | ||||||||
| 100,000 | 2.950%, 12/15/2022 | 97,498 | ||||||
Chubb Corporation | ||||||||
| 350,000 | 6.500%, 5/15/2038 | 483,471 | ||||||
Citigroup, Inc. | ||||||||
| 164,000 | 1.290%, 4/1/2014b,e | 164,182 | ||||||
| 250,000 | 4.700%, 5/29/2015 | 269,254 | ||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||||
| 250,000 | 4.750%, 1/15/2020c | 286,095 | ||||||
Credit Suisse AG Guernsey | ||||||||
| 650,000 | 1.625%, 3/6/2015c | 662,093 | ||||||
Duke Realty, LP | ||||||||
| 250,000 | 3.875%, 10/15/2022 | 254,566 | ||||||
General Electric Capital Corporation | ||||||||
| 475,000 | 5.875%, 1/14/2038 | 572,970 | ||||||
HCP, Inc. | ||||||||
| 325,000 | 3.750%, 2/1/2016 | 344,933 | ||||||
Health Care REIT, Inc. | ||||||||
| 450,000 | 6.125%, 4/15/2020 | 527,041 | ||||||
HSBC Holdings plc | ||||||||
| 300,000 | 6.800%, 6/1/2038 | 383,659 | ||||||
ING Bank NV | ||||||||
| 400,000 | 2.625%, 12/5/2022c | 395,792 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
281
Bond Index Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (105.2%) | Value | ||||||
| Financials (7.9%) - continued |
| ||||||
International Lease Finance Corporation | ||||||||
| $ 850,000 | 5.875%, 5/1/2013 | $ | 860,625 | |||||
J.P. Morgan Chase & Company | ||||||||
| 350,000 | 2.000%, 8/15/2017 | 357,524 | ||||||
Kommuninvest I Sverige AB | ||||||||
| 325,000 | 1.000%, 10/24/2017c | 324,675 | ||||||
Liberty Mutual Group, Inc. | ||||||||
| 150,000 | 4.950%, 5/1/2022c | 163,483 | ||||||
Macquarie Bank, Ltd. | ||||||||
| 200,000 | 5.000%, 2/22/2017c | 218,740 | ||||||
Marsh & McLennan Companies, Inc. | ||||||||
| 185,000 | 5.750%, 9/15/2015 | 207,393 | ||||||
MassMutual Global Funding II | ||||||||
| 350,000 | 2.000%, 4/5/2017c | 360,608 | ||||||
MetLife, Inc. | ||||||||
| 350,000 | 1.756%, 12/15/2017 | 355,510 | ||||||
National Australia Bank, Ltd. | ||||||||
| 325,000 | 2.000%, 6/20/2017c | 336,018 | ||||||
New York Life Global Funding | ||||||||
| 750,000 | 1.300%, 1/12/2015c,e | 759,776 | ||||||
Nordea Bank AB | ||||||||
| 325,000 | 3.125%, 3/20/2017c | 346,076 | ||||||
Northern Trust Corporation | ||||||||
| 500,000 | 3.450%, 11/4/2020 | 539,292 | ||||||
PNC Financial Services Group, Inc. | ||||||||
| 325,000 | 2.854%, 11/9/2022 | 326,892 | ||||||
Preferred Term Securities XXIII, Ltd. | ||||||||
| 916,161 | 0.508%, 12/22/2036b,d | 604,666 | ||||||
Principal Life Global Funding II | ||||||||
| 300,000 | 1.000%, 12/11/2015c | 299,558 | ||||||
Realty Income Corporation | ||||||||
| 300,000 | 2.000%, 1/31/2018 | 299,751 | ||||||
Royal Bank of Canada | ||||||||
| 500,000 | 1.013%, 10/30/2014b | 504,588 | ||||||
UBS AG/London | ||||||||
| 500,000 | 1.875%, 1/23/2015c | 512,165 | ||||||
UnitedHealth Group, Inc. | ||||||||
| 325,000 | 1.400%, 10/15/2017 | 325,508 | ||||||
Ventas Realty, LP | ||||||||
| 175,000 | 4.250%, 3/1/2022 | 185,578 | ||||||
Washington Mutual Bank | ||||||||
| 500,000 | 5.500%, 1/15/2013f,g | 0 | ||||||
|
| |||||||
| Total | 14,758,504 | |||||||
|
| |||||||
| Foreign Government (3.2%) | |||||||
African Development Bank | ||||||||
| 250,000 | 6.875%, 10/15/2015 | 286,275 | ||||||
Bank Nederlandse Gemeenten NV | ||||||||
| 500,000 | 4.375%, 2/16/2021c | 584,100 | ||||||
Chile Government International Bond | ||||||||
| 350,000 | 3.875%, 8/5/2020 | 394,625 | ||||||
Export Development Canada | ||||||||
| 150,000 | 0.750%, 12/15/2017e | 149,685 | ||||||
Hydro-Quebec | ||||||||
| 27,000 | 8.400%, 1/15/2022 | 38,738 | ||||||
Kommunalbanken AS | ||||||||
| 470,000 | 1.000%, 9/26/2017c | 469,813 | ||||||
Province of British Columbia | ||||||||
| 1,250,000 | 2.650%, 9/22/2021 | 1,315,106 | ||||||
Province of Manitoba | ||||||||
| 600,000 | 1.300%, 4/3/2017 | 613,080 | ||||||
Province of New Brunswick | ||||||||
| 125,000 | 2.750%, 6/15/2018 | 134,670 | ||||||
Province of Nova Scotia | ||||||||
| 250,000 | 7.250%, 7/27/2013 | 259,975 | ||||||
Province of Ontario | ||||||||
| 400,000 | 1.100%, 10/25/2017 | 400,440 | ||||||
Province of Quebec | ||||||||
| 400,000 | 4.875%, 5/5/2014 | 424,160 | ||||||
| 400,000 | 7.500%, 7/15/2023 | 566,840 | ||||||
Sweden Government International Bond | ||||||||
| 325,000 | 0.375%, 12/22/2015c | 324,447 | ||||||
|
| |||||||
| Total | 5,961,954 | |||||||
|
| |||||||
| Mortgage-Backed Securities (28.1%) | |||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 55 | 6.500%, 1/1/2013 | 55 | ||||||
| 433 | 6.000%, 9/1/2013 | 438 | ||||||
| 2,574 | 6.000%, 4/1/2014 | 2,603 | ||||||
| 1,413 | 7.000%, 10/1/2014 | 1,468 | ||||||
| 3,012 | 6.500%, 3/1/2016 | 3,181 | ||||||
| 6,953 | 6.000%, 6/1/2016 | 7,425 | ||||||
| 6,275 | 6.000%, 9/1/2016 | 6,701 | ||||||
| 97,629 | 7.000%, 6/1/2017 | 105,250 | ||||||
| 114,682 | 5.500%, 12/1/2017 | 123,339 | ||||||
| 4,775,000 | 2.500%, 1/1/2028h | 4,983,160 | ||||||
Federal Home Loan Mortgage Corporation Gold 30- Yr. Pass Through | ||||||||
| 3,985 | 6.500%, 4/1/2024 | 4,605 | ||||||
| 3,119 | 7.000%, 5/1/2024 | 3,660 | ||||||
| 1,137 | 7.500%, 8/1/2025 | 1,325 | ||||||
| 13,314 | 8.500%, 11/1/2025 | 15,944 | ||||||
| 1,210 | 8.000%, 1/1/2026 | 1,429 | ||||||
| 1,462 | 7.000%, 4/1/2027 | 1,742 | ||||||
| 1,756 | 7.500%, 7/1/2027 | 2,052 | ||||||
| 4,207 | 7.000%, 8/1/2027 | 5,013 | ||||||
| 1,990 | 7.500%, 10/1/2027 | 2,332 | ||||||
| 2,311 | 7.000%, 5/1/2028 | 2,765 | ||||||
| 14,013 | 6.000%, 8/1/2028 | 15,583 | ||||||
| 4,909 | 6.500%, 2/1/2029 | 5,770 | ||||||
| 9,224 | 6.000%, 3/1/2029 | 10,258 | ||||||
| 7,531 | 7.500%, 10/1/2029 | 8,876 | ||||||
| 3,543 | 7.500%, 11/1/2029 | 4,176 | ||||||
| 5,106 | 6.500%, 5/1/2031 | 5,923 | ||||||
| 18,833 | 6.000%, 6/1/2031 | 20,942 | ||||||
| 5,226 | 7.000%, 6/1/2031 | 6,160 | ||||||
| 5,952 | 7.000%, 6/1/2031 | 7,016 | ||||||
| 14,045 | 6.000%, 7/1/2031 | 15,618 | ||||||
| 6,018 | 7.000%, 9/1/2031 | 7,094 | ||||||
| 9,713 | 6.500%, 10/1/2031 | 11,268 | ||||||
| 81,643 | 6.000%, 1/1/2032 | 90,787 | ||||||
| 18,464 | 6.000%, 1/1/2032 | 20,531 | ||||||
| 14,530 | 7.000%, 5/1/2032 | 17,030 | ||||||
| 84,578 | 6.500%, 7/1/2032 | 97,620 | ||||||
| 97,438 | 6.500%, 10/1/2032 | 112,464 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
282
Bond Index Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (105.2%) | Value | ||||||
| Mortgage-Backed Securities (28.1%) - continued |
| ||||||
| $ 121,956 | 6.000%, 11/1/2032 | $ | 135,615 | |||||
| 2,400,000 | 3.000%, 1/1/2043h | 2,509,125 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 312 | 6.500%, 6/1/2013 | 316 | ||||||
| 1,049 | 6.000%, 12/1/2013 | 1,060 | ||||||
| 7,150,000 | 2.500%, 1/1/2028h | 7,476,219 | ||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 2,912 | 10.500%, 8/1/2020 | 3,344 | ||||||
| 2,093 | 8.000%, 12/1/2024 | 2,448 | ||||||
| 3,176 | 7.000%, 10/1/2025 | 3,747 | ||||||
| 10,634 | 6.500%, 11/1/2025 | 12,280 | ||||||
| 374 | 8.500%, 12/1/2025 | 448 | ||||||
| 1,790 | 7.500%, 1/1/2026 | 2,084 | ||||||
| 3,133 | 6.500%, 5/1/2026 | 3,653 | ||||||
| 2,051 | 8.000%, 9/1/2026 | 2,425 | ||||||
| 4,631 | 7.500%, 2/1/2027 | 5,405 | ||||||
| 3,326 | 7.000%, 3/1/2027 | 3,943 | ||||||
| 4,139 | 9.000%, 11/1/2027 | 5,008 | ||||||
| 1,873 | 7.000%, 1/1/2028 | 2,230 | ||||||
| 30,842 | 7.500%, 2/1/2028 | 36,112 | ||||||
| 2,703 | 6.000%, 5/1/2028 | 3,020 | ||||||
| 1,404 | 6.500%, 9/1/2028 | 1,649 | ||||||
| 9,616 | 7.000%, 10/1/2028 | 11,497 | ||||||
| 22,337 | 7.500%, 11/1/2028 | 26,073 | ||||||
| 5,329 | 6.500%, 2/1/2029 | 6,259 | ||||||
| 15,374 | 6.000%, 3/1/2029 | 17,178 | ||||||
| 9,150 | 7.000%, 3/1/2029 | 10,943 | ||||||
| 20,199 | 6.500%, 4/1/2029 | 23,782 | ||||||
| 895 | 6.500%, 8/1/2029 | 1,054 | ||||||
| 6,190 | 7.500%, 8/1/2029 | 7,289 | ||||||
| 2,303 | 7.000%, 10/1/2029 | 2,754 | ||||||
| 5,357 | 7.500%, 12/1/2029 | 6,307 | ||||||
| 3,630 | 8.000%, 4/1/2030 | 4,337 | ||||||
| 1,545 | 7.500%, 12/1/2030 | 1,824 | ||||||
| 6,322 | 6.000%, 5/1/2031 | 7,063 | ||||||
| 91,795 | 6.500%, 4/1/2032 | 108,613 | ||||||
| 64,529 | 6.500%, 5/1/2032 | 76,352 | ||||||
| 44,046 | 7.000%, 5/1/2032 | 52,568 | ||||||
| 217,410 | 6.500%, 7/1/2032 | 257,242 | ||||||
| 105,648 | 6.500%, 8/1/2032 | 125,004 | ||||||
| 11,875,000 | 3.500%, 1/1/2043h | 12,660,327 | ||||||
| 7,025,000 | 4.000%, 1/1/2043h | 7,529,922 | ||||||
| 13,725,000 | 5.000%, 1/1/2043h | 14,865,891 | ||||||
Government National Mortgage Association 15-Yr. Pass Through | ||||||||
| 798 | 7.000%, 9/15/2013 | 811 | ||||||
Government National Mortgage Association 30-Yr. Pass Through | ||||||||
| 4,406 | 7.500%, 3/15/2023 | 5,010 | ||||||
| 1,334 | 7.000%, 1/15/2024 | 1,565 | ||||||
| 2,278 | 9.000%, 9/15/2024 | 2,692 | ||||||
| 2,448 | 8.000%, 6/15/2025 | 2,853 | ||||||
| 1,734 | 8.000%, 9/15/2026 | 2,025 | ||||||
| 7,467 | 7.500%, 10/15/2027 | 8,636 | ||||||
| 5,708 | 7.000%, 11/15/2027 | 6,801 | ||||||
| 1,478 | 7.000%, 1/15/2028 | 1,768 | ||||||
| 5,321 | 6.500%, 7/15/2028 | 6,254 | ||||||
| 4,055 | 7.000%, 8/15/2028 | 4,852 | ||||||
| 22,826 | 7.500%, 11/15/2028 | 26,464 | ||||||
| 6,628 | 6.500%, 12/15/2028 | 7,791 | ||||||
| 27,108 | 6.500%, 3/15/2029 | 31,964 | ||||||
| 1,173 | 6.500%, 4/15/2029 | 1,383 | ||||||
| 5,343 | 8.000%, 10/15/2030 | 6,289 | ||||||
| 9,569 | 7.500%, 1/15/2031 | 11,167 | ||||||
| 4,508 | 7.000%, 4/15/2031 | 5,373 | ||||||
| 11,629 | 6.500%, 6/15/2031 | 13,786 | ||||||
| 14,886 | 7.000%, 9/15/2031 | 17,743 | ||||||
| 153,641 | 6.500%, 1/15/2032 | 182,556 | ||||||
| 24,425 | 6.500%, 4/15/2032 | 29,022 | ||||||
|
| |||||||
| Total | 52,120,818 | |||||||
|
| |||||||
| Technology (0.5%) | |||||||
International Business Machines Corporation | ||||||||
| 500,000 | 1.000%, 8/5/2013 | 502,291 | ||||||
Oracle Corporation | ||||||||
| 325,000 | 1.200%, 10/15/2017 | 325,965 | ||||||
|
| |||||||
| Total | 828,256 | |||||||
|
| |||||||
| Transportation (0.6%) | |||||||
Continental Airlines, Inc. | ||||||||
| 350,000 | 4.150%, 4/11/2024 | 370,562 | ||||||
Delta Air Lines, Inc. | ||||||||
| 260,799 | 4.950%, 5/23/2019e | 282,968 | ||||||
Union Pacific Corporation | ||||||||
| 437,000 | 4.163%, 7/15/2022 | 494,332 | ||||||
|
| |||||||
| Total | 1,147,862 | |||||||
|
| |||||||
| U.S. Government and Agencies (45.6%) | |||||||
Federal Agricultural Mortgage Corporation | ||||||||
| 1,000,000 | 2.125%, 9/15/2015 | 1,038,503 | ||||||
Federal Farm Credit Banks | ||||||||
| 400,000 | 2.210%, 8/1/2024 | 400,336 | ||||||
Federal Home Loan Banks | ||||||||
| 5,000,000 | 0.410%, 9/16/2013b | 5,007,285 | ||||||
| 850,000 | 4.500%, 9/16/2013 | 875,878 | ||||||
| 1,000,000 | 3.625%, 10/18/2013 | 1,027,172 | ||||||
| 3,000,000 | 0.250%, 1/16/2015 | 2,997,912 | ||||||
| 400,000 | 0.500%, 11/20/2015 | 401,506 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 500,000 | 3.750%, 6/28/2013 | 509,002 | ||||||
| 1,000,000 | 5.125%, 11/17/2017 | 1,205,129 | ||||||
| 1,300,000 | 0.750%, 1/12/2018 | 1,291,195 | ||||||
| 1,000,000 | 1.250%, 8/1/2019 | 1,001,384 | ||||||
| 325,000 | 1.250%, 10/2/2019 | 324,049 | ||||||
| 350,000 | 6.750%, 3/15/2031 | 537,909 | ||||||
Federal National Mortgage Association | ||||||||
| 1,690,000 | 0.875%, 12/20/2017 | 1,693,301 | ||||||
| 500,000 | 5.960%, 9/11/2028 | 681,981 | ||||||
| 100,000 | 6.250%, 5/15/2029 | 143,659 | ||||||
Resolution Funding Corporation | ||||||||
| 200,000 | 8.125%, 10/15/2019 | 287,556 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
283
Bond Index Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (105.2%) | Value | ||||||
| U.S. Government and Agencies (45.6%) - continued |
| ||||||
Tennessee Valley Authority | ||||||||
| $ 250,000 | 6.000%, 3/15/2013 | $ | 252,924 | |||||
| 350,000 | 5.250%, 9/15/2039 | 460,501 | ||||||
U.S. Treasury Bonds | ||||||||
| 2,500,000 | 5.250%, 11/15/2028 | 3,453,905 | ||||||
| 500,000 | 3.500%, 2/15/2039 | 565,234 | ||||||
| 5,575,000 | 3.000%, 5/15/2042 | 5,679,531 | ||||||
U.S. Treasury Notes | ||||||||
| 2,750,000 | 2.000%, 11/30/2013 | 2,795,331 | ||||||
| 1,500,000 | 2.250%, 5/31/2014 | 1,542,657 | ||||||
| 2,000,000 | 4.250%, 8/15/2014 | 2,129,532 | ||||||
| 2,500,000 | 2.375%, 8/31/2014 | 2,588,478 | ||||||
| 3,000,000 | 0.250%, 10/31/2014 | 3,000,702 | ||||||
| 7,325,000 | 0.250%, 9/15/2015 | 7,308,973 | ||||||
| 850,000 | 1.250%, 10/31/2015 | 871,582 | ||||||
| 4,000,000 | 2.625%, 2/29/2016 | 4,280,312 | ||||||
| 5,150,000 | 1.000%, 10/31/2016 | 5,248,169 | ||||||
| 3,250,000 | 3.000%, 2/28/2017 | 3,575,000 | ||||||
| 4,075,000 | 0.750%, 6/30/2017 | 4,099,197 | ||||||
| 1,000,000 | 2.250%, 11/30/2017 | 1,075,312 | ||||||
| 4,250,000 | 2.375%, 6/30/2018 | 4,605,937 | ||||||
| 8,800,000 | 0.875%, 7/31/2019 | 8,691,373 | ||||||
| 2,920,000 | 1.625%, 8/15/2022 | 2,900,839 | ||||||
|
| |||||||
| Total | 84,549,246 | |||||||
|
| |||||||
| U.S. Municipals (0.4%) | |||||||
Chicago Metropolitan Water Reclamation District General Obligation Bonds (Build America Bonds) | ||||||||
| 350,000 | 5.720%, 12/1/2038 | 443,961 | ||||||
Illinois General Obligation Refunding Bonds | ||||||||
| 300,000 | 5.000%, 8/1/2017 | 344,250 | ||||||
|
| |||||||
| Total | 788,211 | |||||||
|
| |||||||
| Utilities (2.7%) | |||||||
American Electric Power Company, Inc. | ||||||||
| 300,000 | 1.650%, 12/15/2017 | 301,051 | ||||||
CenterPoint Energy Houston Electric, LLC | ||||||||
| 400,000 | 5.600%, 7/1/2023 | 489,161 | ||||||
Commonwealth Edison Company | ||||||||
| 275,000 | 5.900%, 3/15/2036 | 354,768 | ||||||
Duke Energy Carolinas, LLC | ||||||||
| 325,000 | 4.000%, 9/30/2042 | 327,582 | ||||||
El Paso Pipeline Partners Operating Company, LLC | ||||||||
| 325,000 | 4.700%, 11/1/2042 | 318,646 | ||||||
FirstEnergy Corporation | ||||||||
| 27,000 | 7.375%, 11/15/2031 | 34,873 | ||||||
Kinder Morgan Energy Partners, LP | ||||||||
| 275,000 | 5.300%, 9/15/2020 | 320,530 | ||||||
National Rural Utilities Cooperative Finance Corporation | ||||||||
| 27,000 | 8.000%, 3/1/2032 | 40,625 | ||||||
NiSource Finance Corporation | ||||||||
| 350,000 | 3.850%, 2/15/2023 | 359,666 | ||||||
NSTAR Electric Company | ||||||||
| 325,000 | 2.375%, 10/15/2022 | 322,997 | ||||||
ONEOK Partners, LP | ||||||||
| 275,000 | 6.650%, 10/1/2036 | 340,998 | ||||||
PPL Capital Funding, Inc. | ||||||||
| 325,000 | 3.500%, 12/1/2022 | 330,817 | ||||||
Public Service Company of Colorado | ||||||||
| 350,000 | 3.600%, 9/15/2042 | 339,773 | ||||||
Sempra Energy | ||||||||
| 325,000 | 2.300%, 4/1/2017 | 337,473 | ||||||
Southern California Edison Company | ||||||||
| 225,000 | 5.000%, 1/15/2014 | 235,020 | ||||||
Southern California Gas Company | ||||||||
| 325,000 | 3.750%, 9/15/2042 | 326,499 | ||||||
Williams Partners, LP | ||||||||
| 250,000 | 3.350%, 8/15/2022 | 254,198 | ||||||
|
| |||||||
| Total | 5,034,677 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $191,475,249) | 195,140,801 | |||||||
|
| |||||||
| Shares | Collateral Held for Securities Loaned (0.7%) | |||||||
| 1,274,400 | Thrivent Cash Management Trust | 1,274,400 | ||||||
| Total Collateral Held for Securities Loaned (cost $1,274,400) | 1,274,400 | |||||||
|
| |||||||
Shares or | Short-Term Investments (21.2%) | |||||||
| 39,325,747 | Thrivent Cash Management Trust | 39,325,747 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 39,325,747 | |||||||
|
| |||||||
| Total Investments (cost $232,075,396) 127.1% | $ | 235,740,948 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (27.1%) | (50,278,778 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 185,462,170 | ||||||
|
| |||||||
| a | All or a portion of the security is insured or guaranteed. |
| b | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2012. |
| c | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2012, the value of these investments was $16,540,693 or 8.9% of total net assets. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
284
Bond Index Portfolio
Schedule of Investments as of December 31, 2012
| d | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Bond Index Portfolio owned as of December 31, 2012. |
Security | Acquisition Date | Cost | ||||||
Preferred Term Securities XXIII, Ltd. | 9/14/2006 | $ | 916,161 | |||||
Wachovia Asset Securitization, Inc. | 3/16/2007 | $ | 1,060,901 | |||||
| e | All or a portion of the security is on loan. |
| f | Defaulted security. Interest is not being accrued. |
| g | Security is fair valued. |
| h | Denotes investments purchased on a when-issued or delayed |
delivery basis.
Definitions:
| REIT | - Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 6,551,280 | ||
Gross unrealized depreciation | (2,996,828 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 3,554,452 | ||
Cost for federal income tax purposes | $ | 232,186,496 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
285
Bond Index Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Bond Index Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 5,370,356 | — | 5,370,356 | — | ||||||||||||
Basic Materials | 1,134,027 | — | 1,134,027 | — | ||||||||||||
Capital Goods | 2,646,447 | — | 2,646,447 | — | ||||||||||||
Collateralized Mortgage Obligations | 43,335 | — | 43,335 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 8,810,687 | — | 8,810,687 | — | ||||||||||||
Communications Services | 2,517,223 | — | 2,517,223 | — | ||||||||||||
Consumer Cyclical | 2,474,470 | — | 2,474,470 | — | ||||||||||||
Consumer Non-Cyclical | 3,946,441 | — | 3,946,441 | — | ||||||||||||
Energy | 3,008,287 | — | 3,008,287 | — | ||||||||||||
Financials^ | 14,758,504 | — | 14,153,838 | 604,666 | ||||||||||||
Foreign Government | 5,961,954 | — | 5,961,954 | — | ||||||||||||
Mortgage-Backed Securities | 52,120,818 | — | 52,120,818 | — | ||||||||||||
Technology | 828,256 | — | 828,256 | — | ||||||||||||
Transportation | 1,147,862 | — | 1,147,862 | — | ||||||||||||
U.S. Government and Agencies | 84,549,246 | — | 84,549,246 | — | ||||||||||||
U.S. Municipals | 788,211 | — | 788,211 | — | ||||||||||||
Utilities | 5,034,677 | — | 5,034,677 | — | ||||||||||||
Collateral Held for Securities Loaned | 1,274,400 | 1,274,400 | — | — | ||||||||||||
Short-Term Investments | 39,325,747 | 39,325,747 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 235,740,948 | $ | 40,600,147 | $ | 194,536,135 | $ | 604,666 | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
| ^ | Level 3 security in this section is fair valued at <$1. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Bond Index Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 4,114,838 | $ | 29,055,646 | $ | 31,896,084 | 1,274,400 | $ | 1,274,400 | $ | 2,596 | |||||||||||||
Cash Management Trust- Short Term Investment | — | 49,345,444 | 10,019,697 | 39,325,747 | 39,325,747 | 9,599 | ||||||||||||||||||
Total Value and Income Earned | 4,114,838 | 40,600,147 | 12,195 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
286
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Bank Loans (0.2%)a | Value | ||||||
| Consumer Cyclical (0.1%) |
| ||||||
MGM Resorts International, Term Loan | ||||||||
| $700,000 | 6.256%, 12/13/2019b,c | $ | 706,825 | |||||
|
| |||||||
| Total | 706,825 | |||||||
|
| |||||||
| Technology (0.1%) | ||||||||
Freescale Semiconductor, Inc., Term Loan | ||||||||
| 1,496,231 | 6.000%, 2/28/2019 | 1,482,436 | ||||||
|
| |||||||
| Total | 1,482,436 | |||||||
|
| |||||||
Total Bank Loans (cost $2,192,414) | 2,189,261 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (97.6%) | |||||||
| Asset-Backed Securities (12.1%) | ||||||||
Avis Budget Rental Car Funding AESOP, LLC | ||||||||
| 9,000,000 | 2.370%, 11/20/2014d | 9,226,818 | ||||||
Carrington Mortgage Loan Trust | ||||||||
| 1,400,000 | 0.360%, 8/25/2036e | 757,074 | ||||||
Citibank Omni Master Trust | ||||||||
| 6,000,000 | 4.900%, 11/15/2018d | 6,472,590 | ||||||
Countrywide Home Loans, Inc. | ||||||||
| 1,964,768 | 6.085%, 6/25/2021f | 1,730,454 | ||||||
Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 1,705,003 | 4.274%, 12/25/2036 | 1,082,283 | ||||||
Discover Card Master Trust | ||||||||
| 9,500,000 | 0.859%, 9/15/2015e | 9,510,345 | ||||||
Edlinc Student Loan Funding Trust | ||||||||
| 4,500,000 | 3.490%, 10/1/2025d,e | 4,542,188 | ||||||
Education Loan Asset-Backed Trust I | ||||||||
| 6,511,193 | 0.660%, 6/25/2022e | 6,516,761 | ||||||
Enterprise Fleet Financing, LLC | ||||||||
| 4,017,425 | 1.430%, 10/20/2016d | 4,028,312 | ||||||
| 2,000,000 | 0.720%, 4/20/2018d | 2,000,934 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates | ||||||||
| 215,069 | 5.500%, 3/25/2036g,h | 2 | ||||||
First Horizon ABS Trust | ||||||||
| 598,897 | 0.340%, 9/25/2029e,f | 515,950 | ||||||
Fosse Master Issuer plc | ||||||||
| 5,839,759 | 1.725%, 10/18/2054d,e | 5,921,264 | ||||||
GE Dealer Floorplan Master Note Trust | ||||||||
| 6,000,000 | 0.649%, 10/20/2017e | 6,013,524 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 1,249,029 | 0.390%, 8/25/2035e,f | 987,005 | ||||||
| 1,807,390 | 5.750%, 10/25/2036f | 1,609,027 | ||||||
| 2,954,109 | 0.390%, 12/25/2036e,f | 2,139,620 | ||||||
Master Credit Card Trust | ||||||||
| 10,000,000 | 0.780%, 4/21/2017d | 10,021,270 | ||||||
Montana Higher Education Student Assistance Corporation | ||||||||
| 3,506,010 | 0.811%, 9/20/2022e | 3,516,660 | ||||||
Mortgage Equity Conversion Asset Trust | ||||||||
| 5,814,105 | 0.640%, 1/25/2042e,g | 4,651,284 | ||||||
| 5,666,608 | 0.650%, 2/25/2042e,g | 4,533,286 | ||||||
Nissan Auto Receivables Owner Trust | ||||||||
| 453,342 | 4.740%, 8/17/2015 | 454,192 | ||||||
Northstar Education Finance, Inc. | ||||||||
| 4,905,369 | 0.910%, 12/26/2031d,e | 4,905,369 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 3,736,300 | 5.608%, 5/25/2036 | 2,267,987 | ||||||
| 1,249,549 | 5.285%, 1/25/2037 | 649,957 | ||||||
SLM Student Loan Trust | ||||||||
| 8,532,649 | 0.385%, 4/27/2020e | 8,523,425 | ||||||
| 3,919,278 | 1.309%, 12/15/2021d,e | 3,949,303 | ||||||
| 7,867,505 | 0.385%, 4/25/2022e | 7,859,708 | ||||||
| 3,440,781 | 0.395%, 4/25/2023e | 3,437,598 | ||||||
| 5,571,918 | 0.959%, 10/16/2023d,e | 5,592,295 | ||||||
| 2,960,233 | 0.610%, 3/25/2025e | 2,965,280 | ||||||
| 8,690,352 | 0.730%, 3/25/2026e | 8,745,336 | ||||||
Wachovia Asset Securitization, Inc. | ||||||||
| 1,326,126 | 0.350%, 7/25/2037e,f,g | 1,128,407 | ||||||
Wachovia Student Loan Trust | ||||||||
| 4,747,128 | 0.425%, 7/27/2020e | 4,732,677 | ||||||
World Omni Auto Receivables Trust | ||||||||
| 4,000,000 | 1.330%, 1/15/2018 | 4,062,696 | ||||||
|
| |||||||
| Total | 145,050,881 | |||||||
|
| |||||||
| Basic Materials (1.1%) | ||||||||
BHP Billiton Finance USA, Ltd. | ||||||||
| 4,000,000 | 0.581%, 2/18/2014e | 4,010,964 | ||||||
Dow Chemical Company | ||||||||
| 2,000,000 | 2.500%, 2/15/2016 | 2,077,668 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| 3,000,000 | 1.400%, 2/13/2015 | 2,993,712 | ||||||
| 1,250,000 | 2.150%, 3/1/2017 | 1,256,639 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
| 2,825,000 | 2.450%, 10/25/2017d | 2,852,385 | ||||||
|
| |||||||
| Total | 13,191,368 | |||||||
|
| |||||||
| Capital Goods (1.3%) | ||||||||
Danaher Corporation | ||||||||
| 2,000,000 | 0.560%, 6/21/2013e | 2,001,886 | ||||||
Eaton Corporation | ||||||||
| 2,000,000 | 1.500%, 11/2/2017d | 2,004,086 | ||||||
John Deere Capital Corporation | ||||||||
| 3,000,000 | 0.443%, 10/8/2014e | 3,001,077 | ||||||
Precision Castparts Corporation | ||||||||
| 2,250,000 | 1.250%, 1/15/2018 | 2,253,715 | ||||||
Roper Industries, Inc. | ||||||||
| 2,250,000 | 1.850%, 11/15/2017 | 2,248,319 | ||||||
Textron, Inc. | ||||||||
| 2,700,000 | 6.200%, 3/15/2015 | 2,959,281 | ||||||
United Technologies Corporation | ||||||||
| 1,000,000 | 0.811%, 6/1/2015e | 1,009,853 | ||||||
|
| |||||||
| Total | 15,478,217 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
287
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (97.6%) | Value | ||||||
| Collateralized Mortgage Obligations (4.1%) |
| ||||||
American Home Mortgage Assets, LLC | ||||||||
| $3,147,838 | 1.085%, 11/25/2046e | $ | 1,711,007 | |||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
| 1,647,969 | 2.470%, 10/25/2035e | 1,586,852 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 944,697 | 5.500%, 11/25/2035 | 948,483 | ||||||
| 1,003,237 | 5.500%, 2/25/2036 | 830,378 | ||||||
| 1,819,814 | 6.000%, 1/25/2037 | 1,506,684 | ||||||
Countrywide Home Loans, Inc. | ||||||||
| 2,184,250 | 2.779%, 3/20/2036 | 1,608,403 | ||||||
| 2,175,163 | 2.857%, 9/20/2036 | 1,316,385 | ||||||
Deutsche Alt-A Securities, Inc. Alternative Loan Trust | ||||||||
| 3,905,457 | 0.936%, 4/25/2047e | 2,948,768 | ||||||
GSR Mortgage Loan Trust | ||||||||
| 2,723,143 | 0.400%, 8/25/2046e | 2,581,825 | ||||||
HomeBanc Mortgage Trust | ||||||||
| 1,921,295 | 2.650%, 4/25/2037 | 1,237,865 | ||||||
Impac CMB Trust | ||||||||
| 961,587 | 0.730%, 4/25/2035e | 877,028 | ||||||
| 696,748 | 0.850%, 8/25/2035e | 569,967 | ||||||
J.P. Morgan Alternative Loan Trust | ||||||||
| 3,636,164 | 2.817%, 3/25/2036 | 2,570,517 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 555,182 | 3.002%, 10/25/2036 | 435,162 | ||||||
Master Asset Securitization Trust | ||||||||
| 2,164,805 | 0.710%, 6/25/2036e | 1,384,527 | ||||||
Permanent Master plc | ||||||||
| 10,000,000 | 1.840%, 7/15/2042d,e | 10,104,970 | ||||||
Residential Accredit Loans, Inc. | ||||||||
| 1,715,766 | 3.849%, 9/25/2035 | 1,271,705 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
| 85,547 | 5.500%, 12/25/2034 | 82,466 | ||||||
Wachovia Mortgage Loan Trust, LLC | ||||||||
| 1,698,616 | 3.032%, 5/20/2036 | 1,363,839 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
| 1,128,496 | 0.500%, 10/25/2045e | 1,071,331 | ||||||
| 3,282,826 | 1.040%, 10/25/2046e | 2,386,116 | ||||||
| 3,256,461 | 0.980%, 12/25/2046e | 2,429,841 | ||||||
| 3,463,640 | 0.900%, 1/25/2047e | 2,497,080 | ||||||
Washington Mutual Alternative Mortgage Pass Through Certificates | ||||||||
| 2,758,660 | 1.085%, 9/25/2046e | 1,400,277 | ||||||
| 4,515,249 | 0.916%, 2/25/2047e | 2,314,286 | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
| 494,001 | 2.627%, 3/25/2036 | 483,355 | ||||||
| 1,374,195 | 2.760%, 3/25/2036 | 1,321,805 | ||||||
|
| |||||||
| Total | 48,840,922 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (6.5%) |
| ||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 2,197,888 | 5.613%, 6/11/2050 | 2,249,517 | ||||||
| 388,447 | 0.359%, 3/15/2022d,e | 384,646 | ||||||
| 1,009,081 | 5.663%, 6/11/2040 | 1,033,707 | ||||||
| 2,000,000 | 5.331%, 2/11/2044 | 2,263,864 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
| 1,250,000 | 5.702%, 12/10/2049 | 1,472,701 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 3,000,000 | 5.322%, 12/11/2049 | 3,441,330 | ||||||
Commercial Mortgage Pass- Through Certificates | ||||||||
| 1,500,000 | 5.306%, 12/10/2046 | 1,723,566 | ||||||
Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
| 5,556,359 | 4.691%, 4/15/2037 | 5,762,355 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 4,000,000 | 5.467%, 9/15/2039 | 4,541,272 | ||||||
Government National Mortgage Association | ||||||||
| 3,584,865 | 2.870%, 3/16/2051 | 3,703,732 | ||||||
| 8,589,660 | 2.164%, 3/16/2033 | 8,728,340 | ||||||
| 7,117,895 | 3.214%, 1/16/2040 | 7,469,519 | ||||||
Greenwich Capital Commercial Funding Corporation | ||||||||
| 3,000,000 | 5.074%, 1/5/2036 | 3,071,772 | ||||||
| 5,500,000 | 5.224%, 4/10/2037 | 6,076,857 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 6,500,000 | 5.429%, 12/12/2043 | 7,417,657 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
| 967,045 | 5.303%, 2/15/2040 | 967,713 | ||||||
Morgan Stanley Capital, Inc. | ||||||||
| 3,422,152 | 5.575%, 4/12/2049 | 3,524,132 | ||||||
NCUA Guaranteed Notes | ||||||||
| 5,000,000 | 2.900%, 10/29/2020 | 5,358,000 | ||||||
Network Rail Infrastructure Finance plc | ||||||||
| 6,000,000 | 1.500%, 1/13/2014d | 6,070,812 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
| 2,500,000 | 5.765%, 7/15/2045 | 2,845,020 | ||||||
|
| |||||||
| Total | 78,106,512 | |||||||
|
| |||||||
| Communications Services (1.6%) | ||||||||
AT&T, Inc. | ||||||||
| 2,625,000 | 1.400%, 12/1/2017 | 2,625,494 | ||||||
CBS Corporation | ||||||||
| 2,500,000 | 8.875%, 5/15/2019 | 3,371,900 | ||||||
Crown Castle Towers, LLC | ||||||||
| 2,500,000 | 3.214%, 8/15/2015d | 2,606,542 | ||||||
| 1,650,000 | 4.174%, 8/15/2017d | 1,810,661 | ||||||
GTP Acquisition Partners I, LLC | ||||||||
| 2,000,000 | 4.347%, 6/15/2016d | 2,119,516 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
288
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (97.6%) | Value | ||||||
| Communications Services (1.6%) - continued |
| ||||||
Qwest Communications International, Inc. | ||||||||
| $2,000,000 | 7.125%, 4/1/2018 | $ | 2,086,806 | |||||
SBA Tower Trust | ||||||||
| 4,500,000 | 4.254%, 4/15/2015d | 4,727,614 | ||||||
|
| |||||||
| Total | 19,348,533 | |||||||
|
| |||||||
| Consumer Cyclical (1.8%) | ||||||||
Amazon.com, Inc. | ||||||||
| 2,125,000 | 1.200%, 11/29/2017 | 2,113,321 | ||||||
American Honda Finance Corporation | ||||||||
| 5,000,000 | 1.850%, 9/19/2014d | 5,085,505 | ||||||
Daimler Finance North America, LLC | ||||||||
| 4,000,000 | 0.920%, 3/28/2014d,e | 4,008,436 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 2,000,000 | 4.207%, 4/15/2016 | 2,133,232 | ||||||
| 2,300,000 | 3.984%, 6/15/2016 | 2,442,200 | ||||||
| 1,000,000 | 3.000%, 6/12/2017 | 1,027,425 | ||||||
Volkswagen International Finance NV | ||||||||
| 4,000,000 | 1.625%, 3/22/2015d | 4,054,560 | ||||||
|
| |||||||
| Total | 20,864,679 | |||||||
|
| |||||||
| Consumer Non-Cyclical (3.1%) | ||||||||
AbbVie, Inc. | ||||||||
| 1,500,000 | 1.200%, 11/6/2015d | 1,510,022 | ||||||
| 1,250,000 | 1.750%, 11/6/2017d | 1,263,596 | ||||||
Altria Group, Inc. | ||||||||
| 500,000 | 2.850%, 8/9/2022 | 494,764 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 3,150,000 | 1.375%, 7/15/2017 | 3,183,169 | ||||||
Cargill, Inc. | ||||||||
| 2,146,000 | 4.307%, 5/14/2021d | 2,364,401 | ||||||
Celgene Corporation | ||||||||
| 2,500,000 | 2.450%, 10/15/2015 | 2,594,270 | ||||||
Coca-Cola Enterprises, Inc. | ||||||||
| 3,000,000 | 3.500%, 9/15/2020 | 3,188,094 | ||||||
Dr Pepper Snapple Group, Inc. | ||||||||
| 500,000 | 2.000%, 1/15/2020 | 498,486 | ||||||
Express Scripts Holding Company | ||||||||
| 3,000,000 | 2.650%, 2/15/2017d | 3,118,167 | ||||||
General Mills, Inc. | ||||||||
| 2,000,000 | 0.660%, 5/16/2014e | 2,004,262 | ||||||
Heineken NV | ||||||||
| 2,650,000 | 1.400%, 10/1/2017d | 2,642,000 | ||||||
Lorillard Tobacco Company | ||||||||
| 2,000,000 | 3.500%, 8/4/2016 | 2,116,398 | ||||||
Quest Diagnostics, Inc. | ||||||||
| 3,000,000 | 1.160%, 3/24/2014e | 3,018,291 | ||||||
Reynolds American, Inc. | ||||||||
| 3,800,000 | 1.050%, 10/30/2015 | 3,798,826 | ||||||
SABMiller Holdings, Inc. | ||||||||
| 2,500,000 | 2.450%, 1/15/2017d | 2,605,987 | ||||||
Teva Pharmaceutical Finance III BV | ||||||||
| 3,000,000 | 0.810%, 3/21/2014e | 3,012,009 | ||||||
|
| |||||||
| Total | 37,412,742 | |||||||
|
| |||||||
| Energy (1.7%) |
| ||||||
BP Capital Markets plc | ||||||||
| 4,000,000 | 0.910%, 3/11/2014e | 4,022,536 | ||||||
Cameron International Corporation | ||||||||
| 3,000,000 | 1.241%, 6/2/2014e | 3,020,388 | ||||||
Energy Transfer Partners, LP | ||||||||
| 2,000,000 | 6.000%, 7/1/2013 | 2,047,404 | ||||||
International Petroleum Investment Company, Ltd. | ||||||||
| 2,000,000 | 3.125%, 11/15/2015d | 2,073,000 | ||||||
Marathon Oil Corporation | ||||||||
| 2,700,000 | 0.900%, 11/1/2015 | 2,702,176 | ||||||
Schlumberger SA | ||||||||
| 3,500,000 | 2.650%, 1/15/2016d | 3,661,798 | ||||||
Valero Energy Corporation | ||||||||
| 650,000 | 6.125%, 2/1/2020 | 790,391 | ||||||
Weatherford International, Ltd. | ||||||||
| 1,500,000 | 6.000%, 3/15/2018 | 1,713,852 | ||||||
|
| |||||||
| Total | 20,031,545 | |||||||
|
| |||||||
| Financials (25.0%) | ||||||||
ABN Amro Bank NV | ||||||||
| 5,000,000 | 2.083%, 1/30/2014d,e | 5,057,950 | ||||||
ABN Amro North American Holding Preferred Capital Repackage Trust I | ||||||||
| 875,000 | 3.407%, 12/29/2049d,e,i | 875,000 | ||||||
Achmea Hypotheekbank NV | ||||||||
| 805,000 | 3.200%, 11/3/2014d | 843,873 | ||||||
Ally Financial, Inc. | ||||||||
| 1,750,000 | 4.500%, 2/11/2014 | 1,800,313 | ||||||
American International Group, Inc. | ||||||||
| 2,000,000 | 5.050%, 10/1/2015 | 2,206,740 | ||||||
Associated Banc Corporation | ||||||||
| 3,000,000 | 1.875%, 3/12/2014 | 3,000,447 | ||||||
Australia and New Zealand Banking Group, Ltd. | ||||||||
| 6,500,000 | 2.400%, 11/23/2016d | 6,836,700 | ||||||
Bank Nederlandse Gemeenten NV | ||||||||
| 6,500,000 | 1.500%, 3/28/2014d,j | 6,575,595 | ||||||
Bank of America Corporation | ||||||||
| 3,000,000 | 1.733%, 1/30/2014e | 3,025,053 | ||||||
| 1,500,000 | 1.500%, 10/9/2015 | 1,507,669 | ||||||
| 2,000,000 | 5.625%, 10/14/2016 | 2,261,406 | ||||||
Bank of Montreal | ||||||||
| 6,000,000 | 2.625%, 1/25/2016d | 6,360,600 | ||||||
Bank of New York Mellon Corporation | ||||||||
| 2,500,000 | 1.162%, 11/24/2014e | 2,533,572 | ||||||
| 2,500,000 | 1.700%, 11/24/2014 | 2,556,715 | ||||||
Bank of Nova Scotia | ||||||||
| 3,000,000 | 1.250%, 11/7/2014d | 3,045,300 | ||||||
| 4,000,000 | 2.150%, 8/3/2016d | 4,199,600 | ||||||
Barclays Bank plc | ||||||||
| 1,800,000 | 2.375%, 1/13/2014 | 1,830,384 | ||||||
| 6,000,000 | 2.500%, 9/21/2015d,j | 6,245,334 | ||||||
Bear Stearns Companies, LLC | ||||||||
| 2,500,000 | 6.400%, 10/2/2017 | 3,002,495 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
289
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (97.6%) | Value | ||||||
| Financials (25.0%) - continued |
| ||||||
Berkshire Hathaway Finance Corporation | ||||||||
| $3,000,000 | 2.450%, 12/15/2015 | $ | 3,153,828 | |||||
Caisse Centrale Desjardins du Quebec | ||||||||
| 4,000,000 | 2.550%, 3/24/2016d | 4,233,200 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
| 6,500,000 | 0.900%, 9/19/2014d | 6,556,550 | ||||||
Capital One Financial Corporation | ||||||||
| 4,000,000 | 1.490%, 7/15/2014e | 4,043,152 | ||||||
CDP Financial, Inc. | ||||||||
| 4,000,000 | 3.000%, 11/25/2014d | 4,180,476 | ||||||
Chesapeake Funding, LLC | ||||||||
| 3,000,000 | 0.663%, 5/7/2024d,e | 3,000,059 | ||||||
Citigroup, Inc. | ||||||||
| 1,506,000 | 1.290%, 4/1/2014e | 1,507,672 | ||||||
CNA Financial Corporation | ||||||||
| 3,000,000 | 6.500%, 8/15/2016 | 3,461,175 | ||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||||
| 3,000,000 | 3.200%, 3/11/2015d | 3,145,140 | ||||||
Credit Agricole Home Loan SFH | ||||||||
| 6,000,000 | 1.069%, 7/21/2014d,e | 6,010,044 | ||||||
Credit Suisse AG Guernsey | ||||||||
| 2,000,000 | 2.600%, 5/27/2016d | 2,110,416 | ||||||
Credit Suisse Securities USA, LLC | ||||||||
| 5,500,000 | 1.000%, 4/28/2017k | 5,781,600 | ||||||
Dexia Credit Local SA | ||||||||
| 6,500,000 | 2.750%, 4/29/2014d | 6,591,695 | ||||||
DnB NOR Boligkreditt | ||||||||
| 6,500,000 | 2.900%, 3/29/2016d | 6,910,670 | ||||||
Eksportfinans ASA | ||||||||
| 2,450,000 | 2.375%, 5/25/2016 | 2,337,310 | ||||||
Fifth Third Bank | ||||||||
| 4,165,000 | 0.421%, 5/17/2013e | 4,163,980 | ||||||
General Electric Capital Corporation | ||||||||
| 4,500,000 | 0.551%, 1/8/2016e | 4,447,859 | ||||||
Goldman Sachs Group, Inc., Convertible | ||||||||
| 85,672 | 1.000%, 7/10/2013d,l | 2,388,964 | ||||||
HCP, Inc. | ||||||||
| 2,000,000 | 2.700%, 2/1/2014 | 2,035,894 | ||||||
Health Care REIT, Inc. | ||||||||
| 750,000 | 6.125%, 4/15/2020 | 878,401 | ||||||
HSBC Bank plc | ||||||||
| 6,000,000 | 1.625%, 7/7/2014d,j | 6,112,638 | ||||||
ING Bank NV | ||||||||
| 6,500,000 | 2.500%, 1/14/2016d | 6,765,200 | ||||||
ING Capital Funding Trust III | ||||||||
| 1,000,000 | 3.911%, 12/29/2049e,i | 949,372 | ||||||
International Lease Finance Corporation | ||||||||
| 1,100,000 | 8.625%, 9/15/2015 | 1,236,125 | ||||||
Irish Life & Permanent plc | ||||||||
| 5,500,000 | 3.600%, 1/14/2013d | 5,497,030 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 4,000,000 | 1.061%, 9/30/2013e | 4,020,720 | ||||||
J.P. Morgan Chase Bank NA | ||||||||
| 1,800,000 | 5.875%, 6/13/2016 | 2,052,765 | ||||||
Kommuninvest I Sverige AB | ||||||||
| 3,500,000 | 1.000%, 10/24/2017d | 3,496,500 | ||||||
Landwirtschaftliche Rentenbank | ||||||||
| 7,000,000 | 0.508%, 3/15/2016d,e | 7,002,233 | ||||||
Lloyds TSB Bank plc | ||||||||
| 300,000 | 6.500%, 9/14/2020d | 331,491 | ||||||
Macquarie Bank, Ltd. | ||||||||
| 2,275,000 | 5.000%, 2/22/2017d | 2,488,168 | ||||||
MassMutual Global Funding II | ||||||||
| 3,500,000 | 2.000%, 4/5/2017d | 3,606,078 | ||||||
MetLife, Inc. | ||||||||
| 1,400,000 | 1.756%, 12/15/2017 | 1,422,040 | ||||||
Metropolitan Life Global Funding I | ||||||||
| 2,680,000 | 5.125%, 4/10/2013d | 2,713,562 | ||||||
| 3,250,000 | 3.650%, 6/14/2018d | 3,557,788 | ||||||
Morgan Stanley Mortgage Loan Trust | ||||||||
| 2,000,000 | 5.750%, 10/18/2016 | 2,217,136 | ||||||
National Australia Bank, Ltd. | ||||||||
| 3,750,000 | 2.000%, 6/20/2017d | 3,877,125 | ||||||
National Bank of Canada | ||||||||
| 3,000,000 | 1.650%, 1/30/2014d | 3,040,800 | ||||||
| 2,750,000 | 2.200%, 10/19/2016d | 2,894,100 | ||||||
NCUA Guaranteed Notes | ||||||||
| 3,259,413 | 0.563%, 12/7/2020e | 3,261,024 | ||||||
Nederlandse Waterschapsbank NV | ||||||||
| 6,500,000 | 1.375%, 5/16/2014d | 6,577,155 | ||||||
New York Life Global Funding | ||||||||
| 6,000,000 | 3.000%, 5/4/2015d | 6,304,716 | ||||||
Norddeutsche Landesbank Girozentrale | ||||||||
| 2,000,000 | 0.875%, 10/16/2015d,j | 2,004,100 | ||||||
Nordea Bank AB | ||||||||
| 2,500,000 | 3.125%, 3/20/2017d | 2,662,125 | ||||||
Principal Life Global Funding II | ||||||||
| 2,250,000 | 1.000%, 12/11/2015d | 2,246,684 | ||||||
Private Export Funding Corporation | ||||||||
| 5,000,000 | 2.125%, 7/15/2016 | 5,278,930 | ||||||
Prudential Financial, Inc. | ||||||||
| 3,000,000 | 5.100%, 9/20/2014 | 3,211,056 | ||||||
Rabobank Capital Funding Trust II | ||||||||
| 1,856,000 | 5.260%, 12/29/2049d,i | 1,865,306 | ||||||
Realty Income Corporation | ||||||||
| 1,500,000 | 2.000%, 1/31/2018 | 1,498,754 | ||||||
Royal Bank of Canada | ||||||||
| 5,000,000 | 1.013%, 10/30/2014e | 5,045,875 | ||||||
| 4,000,000 | 1.200%, 9/19/2017 | 4,009,600 | ||||||
Royal Bank of Scotland Group plc | ||||||||
| 1,000,000 | 6.125%, 12/15/2022 | 1,055,482 | ||||||
Stadshypotek AB | ||||||||
| 6,000,000 | 0.861%, 9/30/2013d,e | 6,015,276 | ||||||
| 2,000,000 | 1.875%, 10/2/2019d | 1,999,200 | ||||||
Swedbank Hypotek AB | ||||||||
| 7,000,000 | 0.760%, 3/28/2014d,e | 7,025,487 | ||||||
Toronto-Dominion Bank | ||||||||
| 4,000,000 | 0.494%, 7/26/2013e | 4,003,224 | ||||||
| 3,000,000 | 2.200%, 7/29/2015d | 3,126,000 | ||||||
U.S. Bank National Association | ||||||||
| 4,000,000 | 3.778%, 4/29/2020 | 4,241,028 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
290
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (97.6%) | Value | ||||||
| Financials (25.0%) - continued | ||||||||
UBS AG/London | ||||||||
| $7,500,000 | 1.875%, 1/23/2015d | $ | 7,682,475 | |||||
Vestjysk Bank AS | ||||||||
| 6,500,000 | 0.858%, 6/17/2013d,e | 6,516,399 | ||||||
WEA Finance, LLC/WT Finance Australia, Pty, Ltd. | ||||||||
| 3,350,000 | 5.750%, 9/2/2015d | 3,740,134 | ||||||
Wells Fargo & Company | ||||||||
| 4,500,000 | 2.625%, 12/15/2016 | 4,749,147 | ||||||
Westpac Banking Corporation | ||||||||
| 2,500,000 | 1.250%, 12/15/2017d | 2,496,750 | ||||||
|
| |||||||
| Total | 300,599,629 | |||||||
|
| |||||||
| Foreign Government (4.4%) | ||||||||
Canada Government International Bond | ||||||||
| 8,500,000 | 0.875%, 2/14/2017 | 8,568,850 | ||||||
Corporacion Andina de Fomento | ||||||||
| 2,555,000 | 4.375%, 6/15/2022 | 2,766,459 | ||||||
European Investment Bank | ||||||||
| 6,000,000 | 1.750%, 3/15/2017 | 6,227,232 | ||||||
Hydro Quebec | ||||||||
| 3,000,000 | 2.000%, 6/30/2016 | 3,126,000 | ||||||
Kommunalbanken AS | ||||||||
| 6,000,000 | 2.750%, 5/5/2015d | 6,302,400 | ||||||
Kreditanstalt fuer Wiederaufbau | ||||||||
| 9,055,000 | 0.219%, 6/17/2013e | 9,055,344 | ||||||
Mexico Government International Bond | ||||||||
| 1,250,000 | 5.125%, 1/15/2020 | 1,493,750 | ||||||
Province of British Columbia | ||||||||
| 6,500,000 | 2.100%, 5/18/2016 | 6,830,200 | ||||||
| 575,000 | 2.650%, 9/22/2021 | 604,949 | ||||||
Province of Manitoba | ||||||||
| 5,100,000 | 1.300%, 4/3/2017 | 5,211,180 | ||||||
Province of Ontario | ||||||||
| 2,900,000 | 1.100%, 10/25/2017 | 2,903,190 | ||||||
|
| |||||||
| Total | 53,089,554 | |||||||
|
| |||||||
| Mortgage-Backed Securities (5.5%) | ||||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 19,250,000 | 2.500%, 1/1/2028c | 20,089,181 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 2,100,063 | 6.500%, 9/1/2037 | 2,390,104 | ||||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 7,697,669 | 2.250%, 6/25/2025 | 7,923,349 | ||||||
| 22,350,000 | 2.500%, 1/1/2028c | 23,369,719 | ||||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 3,499,274 | 5.845%, 9/1/2037e | 3,796,006 | ||||||
| 1,691,588 | 5.652%, 10/1/2037e | 1,827,759 | ||||||
| 6,000,000 | 5.000%, 1/1/2043c | 6,498,750 | ||||||
|
| |||||||
| Total | 65,894,868 | |||||||
|
| |||||||
| Technology (0.7%) | ||||||||
Affiliated Computer Services, Inc. | ||||||||
| 2,000,000 | 5.200%, 6/1/2015 | 2,149,832 | ||||||
Texas Instruments, Inc. | ||||||||
| 3,000,000 | 0.490%, 5/15/2013e | 3,003,081 | ||||||
Xerox Corporation | ||||||||
| 3,000,000 | 1.130%, 5/16/2014e | 2,993,718 | ||||||
|
| |||||||
| Total | 8,146,631 | |||||||
|
| |||||||
| Transportation (1.6%) | ||||||||
ARL First, LLC | ||||||||
| 3,000,000 | 1.963%, 12/15/2042d,e,m | 3,030,000 | ||||||
Continental Airlines, Inc. | ||||||||
| 2,650,000 | 6.750%, 9/15/2015d | 2,782,500 | ||||||
| 3,250,000 | 4.150%, 4/11/2024 | 3,440,938 | ||||||
CSX Corporation | ||||||||
| 2,500,000 | 6.250%, 4/1/2015 | 2,799,397 | ||||||
Delta Air Lines, Inc. | ||||||||
| 950,000 | 4.750%, 5/7/2020 | 1,011,750 | ||||||
Erac USA Finance Company | ||||||||
| 4,500,000 | 2.750%, 7/1/2013d | 4,547,853 | ||||||
Kansas City Southern de Mexico SA de CV | ||||||||
| 2,150,000 | 8.000%, 2/1/2018 | 2,370,375 | ||||||
|
| |||||||
| Total | 19,982,813 | |||||||
|
| |||||||
| U.S. Government and Agencies (26.5%) | ||||||||
FDIC Structured Sale Guaranteed Notes | ||||||||
| 8,000,000 | Zero Coupon, 1/7/2013d | 7,997,804 | ||||||
Federal Agricultural Mortgage Corporation | ||||||||
| 3,500,000 | 2.000%, 7/27/2016 | 3,668,287 | ||||||
Federal Farm Credit Banks | ||||||||
| 4,950,000 | 0.255%, 9/23/2013e | 4,951,386 | ||||||
Federal Home Loan Banks | ||||||||
| 10,000,000 | 0.410%, 9/16/2013e | 10,014,570 | ||||||
| 14,100,000 | 0.250%, 1/16/2015 | 14,090,186 | ||||||
| 1,000,000 | 0.500%, 11/20/2015 | 1,003,766 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 4,000,000 | 0.159%, 6/17/2013e,n | 4,001,444 | ||||||
| 500,000 | 1.250%, 8/1/2019 | 500,692 | ||||||
| 4,000,000 | 1.250%, 10/2/2019 | 3,988,296 | ||||||
Federal National Mortgage Association | ||||||||
| 6,500,000 | 0.500%, 5/27/2015 | 6,523,595 | ||||||
U.S. Treasury Bonds | ||||||||
| 6,675,000 | 3.000%, 5/15/2042 | 6,800,156 | ||||||
U.S. Treasury Bonds, TIPS | ||||||||
| 4,606,735 | 0.750%, 2/15/2042 | 5,045,458 | ||||||
U.S. Treasury Notes | ||||||||
| 800,000 | 2.250%, 5/31/2014 | 822,751 | ||||||
| 7,100,000 | 0.250%, 9/15/2015 | 7,084,465 | ||||||
| 44,050,000 | 1.000%, 10/31/2016 | 44,889,681 | �� | |||||
| 96,650,000 | 0.750%, 6/30/2017 | 97,223,908 | ||||||
| 8,250,000 | 2.375%, 6/30/2018 | 8,940,938 | ||||||
| 36,670,000 | 0.875%, 7/31/2019 | 36,217,346 | ||||||
| 5,000,000 | 1.625%, 8/15/2022 | 4,967,190 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
| 16,804,260 | 0.125%, 4/15/2017 | 17,994,993 | ||||||
| 15,703,118 | 1.125%, 1/15/2021 | 18,443,816 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
291
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (97.6%) | Value | ||||||
| U.S. Government and Agencies (26.5%) - continued | ||||||||
| $11,957,739 | 0.125%, 1/15/2022 | $ | 12,985,376 | |||||
|
| |||||||
| Total | 318,156,104 | |||||||
|
| |||||||
| Utilities (0.6%) | ||||||||
Northeast Utilities | ||||||||
| 3,000,000 | 1.059%, 9/20/2013e | 3,015,198 | ||||||
ONEOK Partners, LP | ||||||||
| 650,000 | 8.625%, 3/1/2019 | 863,031 | ||||||
Sempra Energy | ||||||||
| 2,750,000 | 2.300%, 4/1/2017 | 2,855,542 | ||||||
Williams Partners, LP | ||||||||
| 500,000 | 3.350%, 8/15/2022 | 508,396 | ||||||
|
| |||||||
| Total | 7,242,167 | |||||||
|
| |||||||
| Total Long-Term Fixed Income (cost $1,163,357,281) | 1,171,437,165 | |||||||
|
| |||||||
| Shares | Mutual Funds (1.5%) | |||||||
| Fixed Income Mutual Funds (1.5%) | ||||||||
| 3,615,238 | Thrivent High Yield Fund | 18,329,255 | ||||||
| Total | 18,329,255 | |||||||
|
| |||||||
Total Mutual Funds (cost $13,211,454) | 18,329,255 | |||||||
|
| |||||||
Preferred Stock (0.3%) | ||||||||
| Financials (0.1%) | ||||||||
| 66,000 | HSBC Holdings plc, 8.000%i | 1,818,960 | ||||||
|
| |||||||
| Total | 1,818,960 | |||||||
|
| |||||||
| Utilities (0.2%) | ||||||||
| 24,375 | Southern California Edison Company, 4.320%i | 2,453,497 | ||||||
|
| |||||||
| Total | 2,453,497 | |||||||
|
| |||||||
Total Preferred Stock (cost $4,069,219) | 4,272,457 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.9%) | ||||||||
| 10,526,150 | Thrivent Cash Management Trust | 10,526,150 | ||||||
Total Collateral Held for Securities Loaned (cost $10,526,150) | 10,526,150 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (4.2%) | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 1,600,000 | 0.138%, 6/7/2013o,p | 1,599,040 | ||||||
|
| |||||||
| 48,536,050 | Thrivent Cash Management Trust | 48,536,050 | ||||||
| Total Short-Term Investments (at amortized cost) | 50,135,090 | |||||||
|
| |||||||
| Total Investments (cost $1,243,491,608) 104.7% | $ | 1,256,889,378 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (4.7%) | (56,875,710 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 1,200,013,668 | ||||||
|
| |||||||
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | All or a portion of the loan is unfunded. |
| c | Denotes investments purchased on a when-issued or delayed delivery basis. |
| d | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2012, the value of these investments was $343,201,290 or 28.6% of total net assets. |
| e | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2012. |
| f | All or a portion of the security is insured or guaranteed. |
| g | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Limited Maturity Bond Portfolio owned as of December 31, 2012. |
Security | Acquisition Date | Cost | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates | 4/19/2006 | $ | 214,738 | |||||
Mortgage Equity Conversion Asset Trust | 1/18/2007 | 5,814,105 | ||||||
Mortgage Equity Conversion Asset Trust | 2/14/2007 | 5,666,608 | ||||||
Wachovia Asset Securitization, Inc. | 3/16/2007 | 1,326,126 | ||||||
| h | Defaulted security. Interest is not being accrued. |
| i | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| j | All or a portion of the security is on loan. |
| k | Denotes equity-linked structured security. This security is linked to the S&P 500 Index. |
| l | Security is displayed in shares. This security is an equity-linked structured security. This security is linked to the common stock of Microsoft Corporation. |
| m | Security is fair valued. |
| n | At December 31, 2012, $270,097 of investments were pledged as collateral with the custodian under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
| o | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
292
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2012
| p | At December 31, 2012, $1,599,040 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. | ||
TIPS | - | Treasury Inflation Protected Security. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 33,367,468 | ||
Gross unrealized depreciation | (20,165,998 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 13,201,470 | ||
Cost for federal income tax purposes | $ | 1,243,687,908 |
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Limited Maturity Bond Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Consumer Cyclical | 706,825 | — | 706,825 | — | ||||||||||||
Technology | 1,482,436 | — | 1,482,436 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 145,050,881 | — | 131,324,123 | 13,726,758 | ||||||||||||
Basic Materials | 13,191,368 | — | 13,191,368 | — | ||||||||||||
Capital Goods | 15,478,217 | — | 15,478,217 | — | ||||||||||||
Collateralized Mortgage Obligations | 48,840,922 | — | 48,840,922 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 78,106,512 | — | 78,106,512 | — | ||||||||||||
Communications Services | 19,348,533 | — | 19,348,533 | — | ||||||||||||
Consumer Cyclical | 20,864,679 | — | 20,864,679 | — | ||||||||||||
Consumer Non-Cyclical | 37,412,742 | — | 37,412,742 | — | ||||||||||||
Energy | 20,031,545 | — | 20,031,545 | — | ||||||||||||
Financials | 300,599,629 | — | 292,429,065 | 8,170,564 | ||||||||||||
Foreign Government | 53,089,554 | — | 53,089,554 | — | ||||||||||||
Mortgage-Backed Securities | 65,894,868 | — | 65,894,868 | — | ||||||||||||
Technology | 8,146,631 | — | 8,146,631 | — | ||||||||||||
Transportation | 19,982,813 | — | 16,952,813 | 3,030,000 | ||||||||||||
U.S. Government and Agencies | 318,156,104 | — | 318,156,104 | — | ||||||||||||
Utilities | 7,242,167 | — | 7,242,167 | — | ||||||||||||
Mutual Funds | ||||||||||||||||
Fixed Income Mutual Funds | 18,329,255 | 18,329,255 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 1,818,960 | 1,818,960 | — | — | ||||||||||||
Utilities | 2,453,497 | — | 2,453,497 | — | ||||||||||||
Collateral Held for Securities Loaned | 10,526,150 | 10,526,150 | — | — | ||||||||||||
Short-Term Investments | 50,135,090 | 48,536,050 | 1,599,040 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,256,889,378 | $ | 79,210,415 | $ | 1,152,751,641 | $ | 24,927,322 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 652,044 | 652,044 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 652,044 | $ | 652,044 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 8,883 | 8,883 | — | — | ||||||||||||
Credit Default Swaps | 393,337 | — | 393,337 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 402,220 | $ | 8,883 | $ | 393,337 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
The accompanying Notes to Financial Statements are an integral part of this schedule.
293
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2012
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
5-Yr. U.S. Treasury Bond Futures | (1,865 | ) | March 2013 | ($ | 232,419,937 | ) | ($ | 232,032,222 | ) | $ | 387,715 | |||||||||
10-Yr. U.S. Treasury Bond Futures | (425 | ) | March 2013 | (56,696,360 | ) | (56,432,031 | ) | 264,329 | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | 5 | March 2013 | 746,382 | 737,499 | (8,883 | ) | ||||||||||||||
Total Futures Contracts | $ | 643,161 | ||||||||||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Upfront Payments Received (Made) | Value3 | Unrealized Gain/(Loss) | ||||||||||||||||
CDX HY, Series 19, 5 Year, at 5.00%; Bank of America | Buy | 12/20/2017 | $ | 11,750,000 | ($ | 208,149 | ) | ($ | 66,175 | ) | ($ | 274,324 | ) | |||||||||
CDX IG, Series 19, 5 Year, at 1.00%; Bank of America | Buy | 12/20/2017 | 23,500,000 | (57,187 | ) | (61,826 | ) | (119,013 | ) | |||||||||||||
Total Credit Default Swaps | ($ | 128,001 | ) | ($ | 393,337 | ) | ||||||||||||||||
| 1 | As the buyer of protection, Limited Maturity Bond Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, Limited Maturity Bond Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
| 2 | The maximum potential amount of future payments Limited Maturity Bond Portfolio could be required to make as the seller or receive as the buyer of protection. |
| 3 | The values for credit indexes (CDX or LCDX) serve as an indicator of the current status of the payment/performance risk and represent the liability or profit for the credit default swap contract had the contract been closed as of the reporting date. When protection has been sold, the value of the swap will increase when the swap spread declines representing an improvement in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. When protection has been purchased, the value of the swap will increase when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread declines representing an improvement in the reference entity’s credit worthiness. |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2012, for Limited Maturity Bond Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 652,044 | |||
Total Interest Rate Contracts | 652,044 | |||||
|
| |||||
Total Asset Derivatives | $ | 652,044 | ||||
|
| |||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 8,883 | ||||
Total Equity Contracts | 8,883 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Receivable/Payable - Swap agreements, at value; Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 393,337 | ||||
Total Credit Contracts | 393,337 | |||||
|
| |||||
Total Liability Derivatives | $ | 402,220 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
294
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Limited Maturity Bond Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Options Purchased | Net realized gains/(losses) on Investments | (98,888 | ) | |||
Total Equity Contracts | (98,888 | ) | ||||
Interest Rate Contracts | ||||||
Options Written | Net realized gains/(losses) on Written option contracts | 22,537 | ||||
Futures | Net realized gains/(losses) on Futures contracts | (8,367,097) | ||||
Total Interest Rate Contracts | (8,344,560 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (2,647,432 | ) | |||
Total Credit Contracts | (2,647,432 | ) | ||||
|
| |||||
Total | ($ | 11,090,880 | ) | |||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2012, for Limited Maturity Bond Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (8,883 | ) | |||
Total Equity Contracts | (8,883 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 2,628,766 | ||||
Total Interest Rate Contracts | 2,628,766 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 337,736 | ||||
Total Credit Contracts | 337,736 | |||||
|
| |||||
Total | $ | 2,957,619 | ||||
|
| |||||
The following table presents Limited Maturity Bond Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | Options (Contracts) | |||||||||||||||
Equity Contracts | N/A | N/A | N/A | N/A | 20 | |||||||||||||||
Interest Rate Contracts | $ | 301,532,813 | 22.6 | % | N/A | N/A | 5 | |||||||||||||
Credit Contracts | N/A | N/A | $ | 20,773,533 | 1.6 | % | N/A | |||||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
295
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2012
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Limited Maturity Bond Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
High Yield Fund | $ | 19,694,026 | $ | — | $ | 3,000,000 | 3,615,238 | $ | 18,329,255 | $ | 1,451,285 | |||||||||||||
Cash Management Trust- Collateral Investment | 88,106,653 | 257,991,890 | 335,572,393 | 10,526,150 | 10,526,150 | 91,759 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | — | 170,260,392 | 121,724,342 | 48,536,050 | 48,536,050 | 10,708 | ||||||||||||||||||
Total Value and Income Earned | 107,800,679 | 77,391,455 | 1,553,752 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
296
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (101.1%) | Value | ||||||
| Asset-Backed Securities (6.7%) |
| ||||||
| Carrington Mortgage Loan Trust | ||||||||
| $ 200,000 | 0.360%, 8/25/2036a | $ | 108,154 | |||||
| Countrywide Asset-Backed Certificates | ||||||||
| 195,000 | 5.859%, 10/25/2046 | 129,560 | ||||||
| Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 113,667 | 4.274%, 12/25/2036 | 72,152 | ||||||
| First Horizon ABS Trust | ||||||||
| 345,909 | 0.340%, 10/25/2026a,b | 294,230 | ||||||
| 655,142 | 0.413%, 10/25/2034a,b | 471,453 | ||||||
| GMAC Mortgage Corporation Loan Trust | ||||||||
| 832,686 | 0.390%, 8/25/2035a,b | 658,003 | ||||||
| Popular ABS Mortgage Pass- Through Trust | ||||||||
| 100,000 | 5.297%, 11/25/2035 | 64,716 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 250,000 | 5.797%, 8/25/2036 | 143,682 | ||||||
| 199,928 | 5.285%, 1/25/2037 | 103,993 | ||||||
| Wachovia Asset Securitization, Inc. | ||||||||
| 530,451 | 0.350%, 7/25/2037a,b,c | 451,363 | ||||||
|
| |||||||
| Total | 2,497,306 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (7.2%) | |||||||
| Citicorp Mortgage Securities, Inc. | ||||||||
| 195,000 | 6.000%, 7/25/2037 | 198,008 | ||||||
| CitiMortgage Alternative Loan Trust | ||||||||
| 201,432 | 5.750%, 4/25/2037 | 167,831 | ||||||
| Countrywide Alternative Loan Trust | ||||||||
| 53,188 | 5.500%, 10/25/2035 | 48,665 | ||||||
| 100,324 | 5.500%, 2/25/2036 | 83,038 | ||||||
| 145,585 | 6.000%, 1/25/2037 | 120,535 | ||||||
| GMAC Mortgage Corporation Loan Trust | ||||||||
| 110,309 | 5.350%, 9/19/2035 | 107,871 | ||||||
| GSR Mortgage Loan Trust | ||||||||
| 46,852 | 0.400%, 8/25/2046a | 44,420 | ||||||
| Impac CMB Trust | ||||||||
| 320,529 | 0.730%, 4/25/2035a | 292,343 | ||||||
| 58,129 | 0.850%, 8/25/2035a | 47,551 | ||||||
| J.P. Morgan Alternative Loan Trust | ||||||||
| 130,658 | 6.500%, 3/25/2036 | 115,688 | ||||||
| J.P. Morgan Mortgage Trust | ||||||||
| 160,404 | 6.500%, 1/25/2035 | 158,180 | ||||||
| 75,403 | 3.002%, 10/25/2036 | 59,102 | ||||||
| MLCC Mortgage Investors, Inc. | ||||||||
| 317,479 | 0.868%, 8/25/2029a | 312,750 | ||||||
| Residential Accredit Loans, Inc. | ||||||||
| 176,409 | 5.500%, 12/25/2034 | 174,083 | ||||||
| 193,024 | 3.849%, 9/25/2035 | 143,067 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 87,882 | 2.773%, 10/25/2036 | 69,840 | ||||||
| 58,777 | 2.699%, 8/25/2046 | 46,676 | ||||||
| Wells Fargo Mortgage Backed Securities Trust | ||||||||
| 355,680 | 2.627%, 3/25/2036 | 348,016 | ||||||
| 92,142 | 2.723%, 4/25/2036 | 85,248 | ||||||
| 98,649 | 6.000%, 7/25/2037 | 96,217 | ||||||
|
| |||||||
| Total | 2,719,129 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (4.7%) | |||||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 30,272 | 5.663%, 6/11/2040 | 31,011 | ||||||
| Commercial Mortgage Pass- Through Certificates | ||||||||
| 250,000 | 5.306%, 12/10/2046 | 287,261 | ||||||
| Credit Suisse First Boston Mortgage Securities | ||||||||
| 200,000 | 5.542%, 1/15/2049 | 227,363 | ||||||
| GE Capital Commercial Mortgage Corporation | ||||||||
| 70,639 | 4.641%, 3/10/2040 | 71,563 | ||||||
| Government National Mortgage Association | ||||||||
| 234,264 | 2.164%, 3/16/2033 | 238,046 | ||||||
| LB-UBS Commercial Mortgage Trust | ||||||||
| 300,000 | 4.786%, 10/15/2029 | 318,881 | ||||||
| 34,591 | 5.303%, 2/15/2040 | 34,615 | ||||||
| 100,000 | 5.866%, 9/15/2045 | 119,223 | ||||||
| Morgan Stanley Capital I | ||||||||
| 100,000 | 3.224%, 7/15/2049 | 107,735 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 285,000 | 5.332%, 12/15/2043 | 327,935 | ||||||
|
| |||||||
| Total | 1,763,633 | |||||||
|
| |||||||
| Mortgage-Backed Securities (82.5%) | |||||||
| Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 2,650,000 | 2.500%, 1/1/2028d | 2,765,524 | ||||||
| Federal Home Loan Mortgage Corporation Gold 20-Yr. Pass Through | ||||||||
| 86,462 | 5.500%, 9/1/2024 | 94,241 | ||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 85,000 | 3.000%, 1/1/2043d | 88,865 | ||||||
| Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 288,663 | 2.250%, 6/25/2025 | 297,126 | ||||||
| 3,950,000 | 2.500%, 1/1/2028d | 4,130,219 | ||||||
| Federal National Mortgage Association Conventional 20- Yr. Pass Through | ||||||||
| 617,106 | 6.000%, 8/1/2024 | 686,221 | ||||||
| Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 3,000,000 | 3.000%, 1/1/2043d | 3,143,437 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
297
Mortgage Securities Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Long-Term Fixed Income (101.1%) | Value | ||||||
| Mortgage-Backed Securities (82.5%) - continued |
| ||||||
| $6,600,000 | 3.500%, 1/1/2043d | $ | 7,036,476 | |||||
| 3,900,000 | 4.000%, 1/1/2043d | 4,180,312 | ||||||
| 7,675,000 | 5.000%, 1/1/2043d | 8,312,984 | ||||||
|
| |||||||
| Total | 30,735,405 | |||||||
|
| |||||||
| Total Long-Term Fixed Income (cost $37,874,504) | 37,715,473 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (72.9%) | |||||||
| Federal Agricultural Mortgage Corporation Discount Notes | ||||||||
| 5,000,000 | 0.095%, 4/1/2013e | 4,998,812 | ||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 4,500,000 | 0.080%, 1/9/2013e | 4,499,920 | ||||||
| 100,000 | 0.137%, 6/7/2013e,f | 99,940 | ||||||
| Liberty Street Funding, LLC | ||||||||
| 1,000,000 | 0.190%, 1/16/2013e,g,h | 999,921 | ||||||
| 16,055,160 | Thrivent Cash Management Trust | 16,055,160 | ||||||
| Variable Funding Capital Company, LLC | ||||||||
| 500,000 | 0.200%, 1/17/2013e,g,h | 499,956 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 27,153,709 | |||||||
|
| |||||||
| Total Investments (cost $65,028,213) 174.0% | $ | 64,869,182 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (74.0%) | (27,596,635 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 37,272,547 | ||||||
|
| |||||||
| a | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2012. |
| b | All or a portion of the security is insured or guaranteed. |
| c | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Mortgage Securities Portfolio owned as of December 31, 2012. |
Security | Acquisition Date | Cost | ||||||
Wachovia Asset Securitization, Inc. | 3/16/2007 | $ | 530,450 | |||||
| d | Denotes investments purchased on a when-issued or delayed delivery basis. |
| e | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| f | At December 31, 2012, $99,940 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| g | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2012, the value of these investments was $1,499,877 or 4.0% of total net assets. |
| h | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 492,494 | ||
Gross unrealized depreciation | (651,525 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (159,031 | ) | |
Cost for federal income tax purposes | $ | 65,028,213 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
298
Mortgage Securities Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Mortgage Securities Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 2,497,306 | — | 2,497,306 | — | ||||||||||||
Collateralized Mortgage Obligations | 2,719,129 | — | 2,719,129 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 1,763,633 | — | 1,763,633 | — | ||||||||||||
Mortgage-Backed Securities | 30,735,405 | — | 30,735,405 | — | ||||||||||||
Short-Term Investments | 27,153,709 | 16,055,160 | 11,098,549 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 64,869,182 | $ | 16,055,160 | $ | 48,814,022 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 2,242 | 2,242 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 2,242 | $ | 2,242 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
10-Yr. U.S. Treasury Bond Futures | 5 | March 2013 | $ | 666,148 | $ | 663,906 | ($ | 2,242 | ) | |||||||||||
Total Futures Contracts | ($ | 2,242 | ) | |||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2012, for Mortgage Securities Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 2,242 | ||||
Total Interest Rate Contracts | 2,242 | |||||
|
| |||||
Total Liability Derivatives | $ | 2,242 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2012, for Mortgage Securities Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 30,361 | ||||
Total Interest Rate Contracts | 30,361 | |||||
|
| |||||
Total | $ | 30,361 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
299
Mortgage Securities Portfolio
Schedule of Investments as of December 31, 2012
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2012, for Mortgage Securities Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (7,930 | ) | |||
Total Interest Rate Contracts | (7,930 | ) | ||||
|
| |||||
Total | ($ | 7,930 | ) | |||
|
| |||||
The following table presents Mortgage Securities Portfolio’s average volume of derivative activity during the period ended December 31, 2012.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Interest Rate Contracts | $ | 666,151 | 1.9 | % | ||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Mortgage Securities Portfolio, is as follows:
Portfolio | Value December 31, 2011 | Gross Purchases | Gross Sales | Shares Held at December 31, 2012 | Value December 31, 2012 | Income Earned January 1, 2012 - December 31, 2012 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | $ | — | $ | 40,883,623 | $ | 24,828,463 | 16,055,160 | $ | 16,055,160 | $ | 2,311 | |||||||||||||
Total Value and Income Earned | — | 16,055,160 | 2,311 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
300
Schedule of Investments as of December 31, 2012
Principal | Asset Backed Commercial Paper (24.9%)a | Value | ||||
| Dealers Capital Access | ||||||
| $1,500,000 | 0.340%, 1/2/2013 | $ | 1,499,986 | |||
| 1,075,000 | 0.350%, 1/11/2013 | 1,074,896 | ||||
| 1,410,000 | 0.480%, 1/14/2013 | 1,409,756 | ||||
| Fairway Finance Corporation | ||||||
| 1,370,000 | 0.200%, 2/20/2013b,c | 1,369,619 | ||||
| 1,400,000 | 0.210%, 2/26/2013b,c | 1,399,543 | ||||
| Golden Funding Corporation | ||||||
| 1,600,000 | 0.160%, 1/2/2013b,c | 1,599,993 | ||||
| 1,395,000 | 0.270%, 2/4/2013b,c | 1,394,644 | ||||
| 1,380,000 | 0.300%, 2/13/2013b,c | 1,379,506 | ||||
| 1,174,000 | 0.300%, 3/7/2013b,c | 1,173,364 | ||||
| Jupiter Securitization Company, LLC | ||||||
| 1,500,000 | 0.160%, 1/3/2013b,c | 1,499,987 | ||||
| Kells Funding, LLC | ||||||
| 1,420,000 | 0.300%, 2/19/2013b,c | 1,419,420 | ||||
| 1,390,000 | 0.300%, 3/14/2013b,c | 1,389,166 | ||||
| Liberty Street Funding, LLC | ||||||
| 2,619,000 | 0.181%, 1/16/2013b,c | 2,618,803 | ||||
| 1,390,000 | 0.230%, 2/25/2013b,c | 1,389,512 | ||||
| Nieuw Amsterdam Receivables Corporation | ||||||
| 1,390,000 | 0.190%, 1/25/2013b,c | 1,389,824 | ||||
| 1,390,000 | 0.210%, 3/20/2013b,c | 1,389,368 | ||||
| Old Line Funding, LLC | ||||||
| 1,410,000 | 0.220%, 2/15/2013b,c | 1,409,612 | ||||
| 1,430,000 | 0.320%, 3/15/2013b,c | 1,429,072 | ||||
| Sydney Capital Corporation | ||||||
| 1,410,000 | 0.300%, 1/8/2013b,c | 1,409,918 | ||||
| 1,395,000 | 0.280%, 3/14/2013b,c | 1,394,219 | ||||
| Thunder Bay Funding, LLC | ||||||
| 1,380,000 | 0.200%, 3/12/2013b,c | 1,379,463 | ||||
| 1,390,000 | 0.200%, 3/19/2013b,c | 1,389,405 | ||||
| 1,380,000 | 0.210%, 4/8/2013b,c | 1,379,219 | ||||
| Variable Funding Capital Company, LLC | ||||||
3,500,000 | 0.150%, 1/2/2013b,c | 3,499,985 | ||||
|
| |||||
| Total | 36,688,280 | |||||
|
| |||||
Certificate of Deposit (4.8%)a | ||||||
| Bank of Nova Scotia/Houston | ||||||
| 780,000 | 0.390%, 5/10/2013d | 780,000 | ||||
| Rabobank Nederland | ||||||
| 1,440,000 | 0.470%, 2/19/2013 | 1,440,176 | ||||
Skandinav Enskilda Bank | ||||||
| 1,400,000 | 0.250%, 3/4/2013 | 1,400,000 | ||||
| Toronto-Dominion Bank NY | ||||||
| 700,000 | 0.300%, 4/19/2013d | 700,000 | ||||
| 1,430,000 | 0.310%, 9/13/2013d | 1,430,000 | ||||
| 1,400,000 | 0.321%, 10/21/2013d | 1,400,000 | ||||
|
| |||||
| Total | 7,150,176 | |||||
|
| |||||
Financial Company Commercial Paper (6.5%)a | ||||||
| KFW International Finance | ||||||
| 1,390,000 | 0.210%, 3/11/2013c | 1,389,440 | ||||
| River Fuel Company No. 2, Inc. | ||||||
| 1,390,000 | 0.220%, 1/15/2013 | 1,389,881 | ||||
| Societe Generale North American | ||||||
| 3,500,000 | 0.170%, 1/2/2013 | 3,499,984 | ||||
| Svenska Handelsbanken, Inc. | ||||||
| 700,000 | 0.200%, 1/28/2013c | 699,895 | ||||
| 1,390,000 | 0.260%, 2/15/2013c | 1,389,548 | ||||
| US Bancorp | ||||||
| 1,295,000 | 0.358%, 9/13/2013 | 1,303,275 | ||||
|
| |||||
| Total | 9,672,023 | |||||
|
| |||||
Government Agency Debt (30.6%)a | ||||||
| Federal Agricultural Mortgage Corporation | ||||||
| 1,430,000 | 0.073%, 2/1/2013d | 1,429,917 | ||||
| 4,170,000 | 0.113%, 8/5/2013d | 4,167,268 | ||||
| Federal Farm Credit Bank | ||||||
| 1,734,000 | 0.270%, 6/26/2013d | 1,734,767 | ||||
| 1,540,000 | 0.231%, 8/22/2013d | 1,540,807 | ||||
| 1,450,000 | 0.206%, 8/27/2013d | 1,450,000 | ||||
| 800,000 | 0.181%, 1/13/2014d | 800,089 | ||||
| 1,650,000 | 0.231%, 2/24/2014d | 1,651,455 | ||||
| Federal Home Loan Bank | ||||||
| 1,570,000 | 0.240%, 1/25/2013d | 1,570,005 | ||||
| 1,420,000 | 0.180%, 12/20/2013d | 1,419,582 | ||||
| 1,420,000 | 0.260%, 2/24/2014d | 1,420,000 | ||||
| 1,050,000 | 0.240%, 2/28/2014d | 1,050,493 | ||||
| 1,410,000 | 0.240%, 6/4/2014d | 1,411,422 | ||||
| Federal Home Loan Mortgage Corporation | ||||||
| 930,000 | 0.320%, 9/3/2013d | 929,864 | ||||
| 1,440,000 | 0.151%, 9/13/2013d | 1,439,958 | ||||
| 2,960,000 | 0.185%, 11/4/2013d | 2,960,407 | ||||
| Federal National Mortgage | ||||||
| Association | ||||||
| 850,000 | 0.410%, 10/28/2013d | 849,928 | ||||
| 1,410,000 | 0.191%, 6/20/2014d | 1,409,581 | ||||
| 1,410,000 | 0.440%, 8/25/2014d | 1,413,296 | ||||
| Overseas Private Investment Corporation | ||||||
| 920,000 | 0.346%, 7/12/2013 | 935,311 | ||||
| 3,715,000 | 0.531%, 12/9/2013 | 3,716,187 | ||||
| 735,000 | 0.450%, 12/10/2013 | 735,200 | ||||
| Straight-A Funding, LLC | ||||||
| 1,400,000 | 0.180%, 1/29/2013b,c | 1,399,804 | ||||
| 1,390,000 | 0.180%, 1/30/2013b,c | 1,389,798 | ||||
| 1,385,000 | 0.190%, 3/5/2013b,c | 1,384,539 | ||||
| 1,370,000 | 0.190%, 3/6/2013b,c | 1,369,537 | ||||
| 1,395,000 | 0.190%, 3/12/2013b,c | 1,394,485 | ||||
| 1,385,000 | 0.190%, 3/19/2013b,c | 1,384,437 | ||||
| 3,000,000 | 0.190%, 3/27/2013b,c | 2,998,654 | ||||
|
| |||||
| Total | 45,356,791 | |||||
|
| |||||
Shares | Investment Company (8.0%) | |||||
| AIM Investments Institutional Government and Agency Portfolio | ||||||
| 15,000 | 0.030% | 15,000 | ||||
| BlackRock Cash Funds | ||||||
| 6,533,000 | 0.190% | 6,533,000 | ||||
| Dreyfus Institutional Cash Advantage Fund | ||||||
| 5,170,000 | 0.110% | 5,170,000 | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
301
Money Market Portfolio
Schedule of Investments as of December 31, 2012
Shares | Investment Company (8.0%) | Value | ||||
| DWS Money Market Series | ||||||
| $150,029 | 0.120% | $ | 150,028 | |||
|
| |||||
| Total | 11,868,028 | |||||
|
| |||||
Principal | Other Commercial Paper (9.3%)a | |||||
| BHP Billiton Finance USA, Ltd. | ||||||
| 1,430,000 | 0.320%, 3/7/2013c | 1,429,174 | ||||
| Cofco Capital Corporation | ||||||
| 1,000,000 | 0.300%, 1/8/2013 | 999,942 | ||||
| Nestle Finance International, Ltd. | ||||||
| 1,440,000 | 0.250%, 4/15/2013 | 1,438,960 | ||||
| 1,410,000 | 0.250%, 4/22/2013 | 1,408,913 | ||||
| 1,500,000 | 0.230%, 5/21/2013c | 1,498,658 | ||||
| United Technologies Corporation | ||||||
7,000,000 | 0.070%, 1/2/2013c | 6,999,986 | ||||
|
| |||||
| Total | 13,775,633 | |||||
|
| |||||
Other Note (4.9%)a | ||||||
| General Electric Capital Corporation | ||||||
| 1,390,000 | 0.401%, 5/1/2013 | 1,410,682 | ||||
| General Electric Company | ||||||
| 1,430,000 | 0.337%, 2/1/2013 | 1,435,618 | ||||
| Medtronic, Inc., Convertible | ||||||
| 1,390,000 | 0.554%, 4/15/2013 | 1,394,252 | ||||
| Total Capital Canada, Ltd. | ||||||
| 670,000 | 0.400%, 5/13/2013d | 670,436 | ||||
| Wells Fargo & Company | ||||||
| 2,430,000 | 0.276%, 1/31/2013 | 2,438,094 | ||||
|
| |||||
| Total | 7,349,082 | |||||
|
| |||||
Variable Rate Demand Note (7.7%)a | ||||||
| Douglas County, Nebraska Hospital Authority No. 2 Health Facilities Revenue Refunding Bonds (Children’s Hospital) | ||||||
| 1,600,000 | 0.140%, 1/2/2013d | 1,600,000 | ||||
| Louisiana Housing Finance Agency Qualified Gulf Opportunity Zone Bonds (Canterbury House Apartments - Sherwood) | ||||||
| 1,940,000 | 0.140%, 1/7/2013d | 1,940,000 | ||||
| Overseas Private Investment Corporation | ||||||
| 1,420,000 | 0.170%, 1/2/2013d | 1,420,000 | ||||
| 1,551,723 | 0.170%, 1/2/2013d | 1,551,723 | ||||
| 1,380,000 | 0.170%, 1/2/2013d | 1,380,000 | ||||
| St. Cloud, Minnesota Health Care Refunding Revenue Bonds (CentraCare Health System) | ||||||
| 2,050,000 | 0.110%, 1/7/2013d | 2,050,000 | ||||
| Wisconsin State Health & Educational Facilities Authority Revenue Prohealth Care, Inc. | ||||||
| 1,540,000 | 0.140%, 1/2/2013d | 1,540,000 | ||||
|
| |||||
| Total | 11,481,723 | |||||
|
| |||||
| Total Investments (at amortized cost) 96.7% | $ | 143,341,736 | ||||
|
| |||||
| Other Assets and Liabilities, Net 3.3% | 4,920,588 | |||||
|
| |||||
| Total Net Assets 100.0% | $ | 148,262,324 | ||||
|
| |||||
| a | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| b | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| c | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2012, the value of these investments was $57,431,597 or 38.7% of total net assets. |
| d | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2012. |
Cost for federal income tax purposes | $143,341,736 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
302
Money Market Portfolio
Schedule of Investments as of December 31, 2012
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2012, in valuing Money Market Portfolio’s assets carried at fair value or amortized cost, which approximates fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Backed Commercial Paper | 36,688,280 | — | 36,688,280 | — | ||||||||||||
Certificate of Deposit | 7,150,176 | — | 7,150,176 | — | ||||||||||||
Financial Company Commercial Paper | 9,672,023 | — | 9,672,023 | — | ||||||||||||
Government Agency Debt | 45,356,791 | — | 45,356,791 | — | ||||||||||||
Investment Company | 11,868,028 | 11,868,028 | — | — | ||||||||||||
Other Commercial Paper | 13,775,633 | — | 13,775,633 | — | ||||||||||||
Other Note | 7,349,082 | — | 7,349,082 | — | ||||||||||||
Variable Rate Demand Note | 11,481,723 | — | 11,481,723 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 143,341,736 | $ | 11,868,028 | $ | 131,473,708 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2012. Transfers between Levels are identified as of the end of the period.
The accompanying Notes to Financial Statements are an integral part of this schedule.
303
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities
As of December 31, 2012 | Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 615,749,929 | $ | 3,116,747,349 | $ | 5,551,991,257 | $ | 3,164,523,177 | ||||||||
Investments in securities at value | 261,718,141 | 1,143,537,000 | 2,075,488,060 | 1,408,993,247 | ||||||||||||
Investments in affiliates at value | 349,388,110 | 2,013,275,413 | 3,603,600,984 | 1,828,703,722 | ||||||||||||
Investments at Value | 611,106,251 | 3,156,812,413 | 5,679,089,044 | 3,237,696,969 | ||||||||||||
Cash | 600,000 | 10,504,414 | 30,009,333 | 25,007,156 | ||||||||||||
Dividends and interest receivable | 218,196 | 2,533,789 | 4,857,400 | 4,429,386 | ||||||||||||
Prepaid expenses | 1,789 | 5,347 | 7,870 | 4,395 | ||||||||||||
Receivable for investments sold | 203,699 | 596,550 | 541,149 | 257,069 | ||||||||||||
Receivable for fund shares sold | 748,144 | 3,644,535 | 9,784,595 | 6,214,031 | ||||||||||||
Unrealized gain on forward contracts | — | — | — | — | ||||||||||||
Receivable for variation margin | 3,185,568 | 8,135,511 | 12,985,133 | 6,798,240 | ||||||||||||
Total Assets | 616,063,647 | 3,182,232,559 | 5,737,274,524 | 3,280,407,246 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 36,041 | 58,559 | 74,306 | 51,336 | ||||||||||||
Payable for investments purchased | 3,455,854 | 81,637,854 | 342,949,604 | 331,259,014 | ||||||||||||
Payable upon return of collateral for securities loaned | — | 34,779,781 | 46,692,956 | 24,371,265 | ||||||||||||
Payable for fund shares redeemed | 55,400 | 647,927 | 1,055,941 | 140,680 | ||||||||||||
Swap agreements, at value | — | 315,386 | 546,294 | 422,393 | ||||||||||||
Payable for variation margin | 4,111,020 | 7,880,344 | 6,440,659 | 2,802,187 | ||||||||||||
Payable to affiliate | 215,551 | 892,012 | 1,446,902 | 877,184 | ||||||||||||
Mortgage dollar roll deferred revenue | 1,308 | 30,317 | 131,596 | 159,721 | ||||||||||||
Total Liabilities | 7,875,174 | 126,242,180 | 399,338,258 | 360,083,780 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 597,138,357 | 2,893,640,777 | 5,000,349,954 | 2,741,156,594 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 8,597,556 | 53,094,523 | 94,401,153 | 48,229,190 | ||||||||||||
Accumulated undistributed net realized gain/(loss) | 10,113,393 | 76,428,220 | 126,017,045 | 62,707,502 | ||||||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 20,019,576 | 64,076,734 | 77,712,643 | 33,574,080 | ||||||||||||
Affiliated investments | (24,663,254 | ) | (24,011,670 | ) | 49,385,144 | 39,599,712 | ||||||||||
Futures contracts | (3,017,676 | ) | (7,652,531 | ) | (10,646,673 | ) | (5,496,796 | ) | ||||||||
Foreign currency forward contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | 521 | 2,247 | 3,089 | 1,228 | ||||||||||||
Swap agreements | — | 412,079 | 713,911 | 551,956 | ||||||||||||
Total Net Assets | $ | 608,188,473 | $ | 3,055,990,379 | $ | 5,337,936,266 | $ | 2,920,323,466 | ||||||||
Shares of beneficial interest outstanding | 50,073,790 | 248,325,079 | 434,605,872 | 241,914,949 | ||||||||||||
Net asset value per share | $ | 12.15 | $ | 12.31 | $ | 12.28 | $ | 12.07 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
304
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
| Partner Technology Portfolio | Partner Healthcare Portfolio | Natural Resources Portfolio | Partner Emerging Markets Equity Portfolio | Real Estate Securities Portfolio | Partner Small Cap Growth Portfolio | Partner Small Cap Value Portfolio | ||||||||||||||||||||
| $ | 31,157,711 | $ | 21,187,566 | $ | 38,875,032 | $ | 45,176,398 | $ | 131,098,951 | $ | 254,176,785 | $ | 226,291,342 | |||||||||||||
| 34,913,711 | 24,010,320 | 30,854,265 | 52,857,998 | 121,087,455 | 253,295,350 | 274,689,120 | ||||||||||||||||||||
| 3,397,742 | 1,046,040 | 3,815,459 | 3,498,851 | 746,798 | 29,101,793 | 14,784,412 | ||||||||||||||||||||
| 38,311,453 | 25,056,360 | 34,669,724 | 56,356,849 | 121,834,253 | 282,397,143 | 289,473,532 | ||||||||||||||||||||
| 100,000 | 100,000 | 100,000 | 145,736 | (a) | 100,000 | 200,000 | 100,000 | |||||||||||||||||||
| 4,601 | 65,640 | 33,461 | 33,543 | 440,532 | 52,501 | 176,273 | ||||||||||||||||||||
| 904 | 879 | 900 | 920 | 1,027 | 1,186 | 1,260 | ||||||||||||||||||||
| — | — | — | — | 118,347 | 240,722 | — | ||||||||||||||||||||
| 42,669 | 30,497 | 26,113 | 228,164 | 102,519 | 864 | 86,106 | ||||||||||||||||||||
| — | — | — | 166 | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 38,459,627 | 25,253,376 | 34,830,198 | 56,765,378 | 122,596,678 | 282,892,416 | 289,837,171 | ||||||||||||||||||||
| 18,066 | 13,464 | 12,448 | 33,339 | 45,590 | 32,104 | 38,085 | ||||||||||||||||||||
| 31,671 | — | — | 12,155 | — | 287,091 | 707,423 | ||||||||||||||||||||
| 2,884,020 | — | 3,223,242 | 2,001,279 | — | 25,442,945 | 6,309,263 | ||||||||||||||||||||
| 5,444 | 1,279 | 3,802 | 4,273 | 25,383 | 14,346 | 10,251 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 22,740 | 15,916 | 15,996 | 47,160 | 83,446 | 196,766 | 192,341 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 2,961,941 | 30,659 | 3,255,488 | 2,098,206 | 154,419 | 25,973,252 | 7,257,363 | ||||||||||||||||||||
| 33,546,641 | 19,876,223 | 38,008,530 | 43,198,965 | 131,213,332 | 223,307,452 | 214,332,887 | ||||||||||||||||||||
| (12,930 | ) | 98,199 | 219,224 | 554,035 | 1,863,678 | (29,509 | ) | 4,203,969 | ||||||||||||||||||
| (5,189,767 | ) | 1,379,434 | (2,447,736 | ) | (267,407 | ) | (1,369,981 | ) | 5,420,863 | 860,762 | ||||||||||||||||
| 7,153,742 | 3,868,794 | (4,205,308 | ) | 11,180,451 | (9,264,698 | ) | 28,220,358 | 63,182,190 | ||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | 166 | — | — | — | ||||||||||||||||||||
| — | 67 | — | 962 | (72 | ) | — | — | |||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| $ | 35,497,686 | $ | 25,222,717 | $ | 31,574,710 | $ | 54,667,172 | $ | 122,442,259 | $ | 256,919,164 | $ | 282,579,808 | |||||||||||||
| 4,728,161 | 1,884,148 | 4,566,857 | 4,017,441 | 6,861,165 | 18,518,632 | 13,345,197 | ||||||||||||||||||||
| $ | 7.51 | $ | 13.39 | $ | 6.91 | $ | 13.61 | $ | 17.85 | $ | 13.87 | $ | 21.17 | |||||||||||||
| (a) | Includes foreign currency holdings of $28,017 (cost $26,946). |
The accompanying Notes to Financial Statements are an integral part of this schedule.
305
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
As of December 31, 2012 | Small Cap Stock Portfolio | Small Cap Index Portfolio | Mid Cap Growth Portfolio | Partner Mid Cap Value Portfolio | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 269,194,863 | $ | 160,438,861 | $ | 309,289,289 | $ | 237,937,300 | ||||||||
Investments in securities at value | 233,255,727 | 189,856,509 | 344,031,070 | 254,468,482 | ||||||||||||
Investments in affiliates at value | 52,228,402 | 14,056,487 | 22,392,141 | 14,749,462 | ||||||||||||
Investments at Value | 285,484,129 | 203,912,996 | 366,423,211 | 269,217,944 | ||||||||||||
Cash | 500,000 | 716,560 | 100,000 | 100,000 | ||||||||||||
Initial margin deposit on open futures contracts | — | — | — | — | ||||||||||||
Dividends and interest receivable | 174,030 | 288,690 | 67,991 | 398,967 | ||||||||||||
Prepaid expenses | 1,285 | 1,161 | 1,431 | 1,219 | ||||||||||||
Receivable for investments sold | 763,073 | 721,039 | — | 1,456,065 | ||||||||||||
Receivable for fund shares sold | 116,415 | 17,373 | 99,852 | 10,133 | ||||||||||||
Unrealized gain on forward contracts | — | — | — | — | ||||||||||||
Receivable from affiliate | — | — | — | — | ||||||||||||
Receivable for variation margin | 694,230 | 101,093 | — | — | ||||||||||||
Total Assets | 287,733,162 | 205,758,912 | 366,692,485 | 271,184,328 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 52,896 | 60,294 | 90,588 | 28,603 | ||||||||||||
Payable for investments purchased | 3,403,802 | 336,355 | — | 1,719,742 | ||||||||||||
Payable upon return of collateral for securities loaned | 14,564,224 | 11,591,213 | 4,926,850 | 7,805,669 | ||||||||||||
Payable for fund shares redeemed | 71,033 | 33,520 | 40,919 | 3,312 | ||||||||||||
Unrealized loss on forward contracts | 1,761 | — | — | — | ||||||||||||
Payable for variation margin | — | — | — | — | ||||||||||||
Payable to affiliate | 159,734 | 59,674 | 127,858 | 167,969 | ||||||||||||
Total Liabilities | 18,253,450 | 12,081,056 | 5,186,215 | 9,725,295 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 280,375,050 | 143,016,076 | 303,339,267 | 214,783,559 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 1,281,836 | 2,724,518 | 1,338,695 | 2,978,816 | ||||||||||||
Accumulated undistributed net realized gain/(loss) | (28,509,418 | ) | 4,443,925 | (305,614 | ) | 12,416,014 | ||||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 16,289,266 | 43,474,135 | 57,133,922 | 31,280,644 | ||||||||||||
Futures contracts | 43,651 | 19,202 | — | — | ||||||||||||
Foreign currency forward contracts | (1,761 | ) | — | — | — | |||||||||||
Foreign currency transactions | 1,088 | — | — | — | ||||||||||||
Total Net Assets | $ | 269,479,712 | $ | 193,677,856 | $ | 361,506,270 | $ | 261,459,033 | ||||||||
Shares of beneficial interest outstanding | 20,538,494 | 14,435,166 | 18,452,047 | 17,824,658 | ||||||||||||
Net asset value per share | $ | 13.12 | $ | 13.42 | $ | 19.59 | $ | 14.67 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
306
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
| Mid Cap Stock Portfolio | Mid Cap Index Portfolio | Partner Worldwide Allocation Portfolio | Partner Socially Responsible Stock Portfolio | Partner All Cap Growth Portfolio | Partner All Cap Value Portfolio | Partner All Cap Portfolio | ||||||||||||||||||||
| $ | 459,364,254 | $ | 68,942,203 | $ | 1,474,388,750 | $ | 8,204,469 | $ | 10,687,782 | $ | 5,799,229 | $ | 48,523,033 | |||||||||||||
| 483,246,195 | 83,625,293 | 1,492,475,222 | 8,873,794 | 12,694,384 | 5,850,369 | 51,012,533 | ||||||||||||||||||||
| 54,240,479 | 3,868,424 | 60,317,074 | 208,392 | 29,412 | 84,784 | 1,048,330 | ||||||||||||||||||||
| 537,486,674 | 87,493,717 | 1,552,792,296 | 9,082,186 | 12,723,796 | 5,935,153 | 52,060,863 | ||||||||||||||||||||
| 100,000 | 500,000 | 1,321,138 | (a) | 100,000 | 100,000 | 100,000 | 100,000 | |||||||||||||||||||
| — | — | 112,615 | — | — | — | — | ||||||||||||||||||||
| 430,168 | 54,329 | 4,503,724 | 3,177 | 4,177 | 5,205 | 48,697 | ||||||||||||||||||||
| 1,620 | 982 | 1,849 | 860 | 871 | 860 | 934 | ||||||||||||||||||||
| 5,551,583 | 19,041 | 1,456,138 | — | — | — | 201,277 | ||||||||||||||||||||
| 12,821 | 8,114 | 22,675 | 1,752 | 31,226 | 4,179 | 59,573 | ||||||||||||||||||||
| — | — | 355,219 | — | — | — | — | ||||||||||||||||||||
| — | — | — | 2,552 | — | 5,098 | — | ||||||||||||||||||||
| — | 36,357 | 37,580 | — | — | — | — | ||||||||||||||||||||
| 543,582,866 | 88,112,540 | 1,560,603,234 | 9,190,527 | 12,860,070 | 6,050,495 | 52,471,344 | ||||||||||||||||||||
| 59,547 | 25,871 | 245,720 | 12,307 | 12,686 | 12,756 | 19,023 | ||||||||||||||||||||
| 3,176,042 | 131,495 | 3,648,985 | — | — | 58,196 | 105,878 | ||||||||||||||||||||
| 33,267,675 | 2,749,485 | 34,864,326 | — | — | — | 831,150 | ||||||||||||||||||||
| 60,083 | 66,798 | 108,946 | 190 | 4,474 | 143 | 12,439 | ||||||||||||||||||||
| — | — | 268,851 | — | — | — | — | ||||||||||||||||||||
| — | — | 21,781 | — | — | — | — | ||||||||||||||||||||
| 292,356 | 26,429 | 1,108,097 | — | 525 | — | 33,519 | ||||||||||||||||||||
| 36,855,703 | 3,000,078 | 40,266,706 | 12,497 | 17,685 | 71,095 | 1,002,009 | ||||||||||||||||||||
| 451,556,414 | 64,977,958 | 1,704,078,657 | 8,274,237 | 10,959,723 | 6,188,701 | 57,419,973 | ||||||||||||||||||||
| 1,985,562 | 907,451 | (1,101,049 | ) | 22,334 | (1,660 | ) | 54,741 | 417,046 | ||||||||||||||||||
| (24,937,233 | ) | 681,634 | (261,138,626 | ) | 3,742 | (151,692 | ) | (399,966 | ) | (9,905,514 | ) | |||||||||||||||
| 78,122,420 | 18,551,514 | 78,403,546 | 877,717 | 2,036,014 | 135,924 | 3,537,830 | ||||||||||||||||||||
| — | (6,095 | ) | (1,610 | ) | — | — | — | — | ||||||||||||||||||
| — | — | 86,368 | — | — | — | — | ||||||||||||||||||||
| — | — | 9,242 | — | — | — | — | ||||||||||||||||||||
| $ | 506,727,163 | $ | 85,112,462 | $ | 1,520,336,528 | $ | 9,178,030 | $ | 12,842,385 | $ | 5,979,400 | $ | 51,469,335 | |||||||||||||
| 38,725,182 | 6,883,888 | 176,395,855 | 776,486 | 1,235,981 | 663,334 | 5,339,301 | ||||||||||||||||||||
| $ | 13.09 | $ | 12.36 | $ | 8.62 | $ | 11.82 | $ | 10.39 | $ | 9.01 | $ | 9.64 | |||||||||||||
| (a) | Includes foreign currency holdings of $162,715 (cost $163,605). |
The accompanying Notes to Financial Statements are an integral part of this schedule.
307
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
As of December 31, 2012 | Large Cap Growth Portfolio | Partner Growth Stock Portfolio | Large Cap Value Portfolio | Large Cap Stock Portfolio | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 774,913,543 | $ | 36,979,541 | $ | 756,528,198 | $ | 576,780,919 | ||||||||
Investments in securities at value | 829,969,877 | 56,867,122 | 826,790,754 | 553,909,981 | ||||||||||||
Investments in affiliates at value | 30,218,206 | 1,563,737 | 34,624,800 | 66,760,615 | ||||||||||||
Investments at Value | 860,188,083 | 58,430,859 | 861,415,554 | 620,670,596 | ||||||||||||
Cash | 100,000 | 105,576 | (a) | 100,000 | 500,000 | |||||||||||
Dividends and interest receivable | 204,546 | 15,023 | 1,204,750 | 501,663 | ||||||||||||
Prepaid expenses | 2,236 | 934 | 2,122 | 1,812 | ||||||||||||
Receivable for investments sold | — | 16,419 | — | — | ||||||||||||
Receivable for fund shares sold | 109,853 | 28,477 | 1,601 | 138,359 | ||||||||||||
Receivable for variation margin | — | — | — | 1,173,250 | ||||||||||||
Total Assets | 860,604,718 | 58,597,288 | 862,724,027 | 622,985,680 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 245,242 | 20,796 | 99,168 | 94,140 | ||||||||||||
Payable for investments purchased | — | 236,864 | — | — | ||||||||||||
Payable upon return of collateral for securities loaned | — | 304,150 | 9,489,875 | — | ||||||||||||
Payable for fund shares redeemed | 143,076 | 20,122 | 49,107 | 14,773 | ||||||||||||
Swap agreements, at value | — | — | — | — | ||||||||||||
Payable for variation margin | — | — | — | — | ||||||||||||
Payable to affiliate | 306,450 | 34,978 | 443,001 | 343,885 | ||||||||||||
Mortgage dollar roll deferred revenue | — | — | — | — | ||||||||||||
Total Liabilities | 694,768 | 616,910 | 10,081,151 | 452,798 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 1,059,028,654 | 36,913,089 | 812,275,031 | 643,815,834 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 239,026 | (135 | ) | 14,255,729 | 7,673,785 | |||||||||||
Accumulated undistributed net realized gain/(loss) | (284,632,270 | ) | (383,922 | ) | (78,775,240 | ) | (72,154,086 | ) | ||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 85,274,540 | 21,451,318 | 104,887,356 | 43,889,677 | ||||||||||||
Futures contracts | — | — | — | (692,328 | ) | |||||||||||
Foreign currency transactions | — | 28 | — | — | ||||||||||||
Swap agreements | — | — | — | — | ||||||||||||
Total Net Assets | $ | 859,909,950 | $ | 57,980,378 | $ | 852,642,876 | $ | 622,532,882 | ||||||||
Shares of beneficial interest outstanding | 45,723,533 | 4,282,883 | 71,059,273 | 67,525,986 | ||||||||||||
Net asset value per share | $ | 18.81 | $ | 13.54 | $ | 12.00 | $ | 9.22 | ||||||||
| (a) | Includes foreign currency holdings of $5,576 (cost $5,548). |
The accompanying Notes to Financial Statements are an integral part of this schedule.
308
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
| Large Cap Index Portfolio | Equity Income Plus Portfolio | Balanced Portfolio | High Yield Portfolio | Diversified Income Plus Portfolio | Income Portfolio | Bond Index Portfolio | ||||||||||||||||||||
| $ | 239,258,808 | $ | 102,408,187 | $ | 224,098,840 | $ | 892,603,093 | $ | 236,467,226 | $ | 1,569,709,074 | $ | 232,075,396 | |||||||||||||
| 301,380,598 | 101,036,951 | 240,832,339 | 859,543,619 | 206,296,476 | 1,549,325,639 | 195,140,801 | ||||||||||||||||||||
| 3,693,129 | 6,342,821 | 21,688,666 | 77,410,633 | 38,316,169 | 132,688,549 | 40,600,147 | ||||||||||||||||||||
| 305,073,727 | 107,379,772 | 262,521,005 | 936,954,252 | 244,612,645 | 1,682,014,188 | 235,740,948 | ||||||||||||||||||||
| 100,000 | 700,197 | 100,000 | 100,000 | 1,002,578 | 5,059,306 | 100,000 | ||||||||||||||||||||
| 333,554 | 222,254 | 511,027 | 15,208,438 | 1,136,869 | 14,892,712 | 729,627 | ||||||||||||||||||||
| 1,334 | 999 | 1,233 | 2,100 | 1,055 | 3,142 | 1,101 | ||||||||||||||||||||
| 97,807 | — | 233,433 | — | 1,301,722 | — | — | ||||||||||||||||||||
| 88,364 | 65,786 | 10,219 | 236,278 | 666,147 | 246,254 | 366,848 | ||||||||||||||||||||
| 54,150 | 11,665 | 99,275 | — | 96,041 | 214,850 | — | ||||||||||||||||||||
| 305,748,936 | 108,380,673 | 263,476,192 | 952,501,068 | 248,817,057 | 1,702,430,452 | 236,938,524 | ||||||||||||||||||||
| 88,193 | 14,455 | 83,944 | 110,725 | 35,049 | 168,288 | 47,626 | ||||||||||||||||||||
| — | — | 22,901,359 | — | 15,957,016 | 110,353,687 | 50,068,219 | ||||||||||||||||||||
| 1,526,426 | 6,245,979 | 1,012,103 | 46,919,696 | 2,814,386 | 14,562,571 | 1,274,400 | ||||||||||||||||||||
| 72,968 | 1,559 | 60,516 | 75,096 | 11,772 | 90,587 | 9,264 | ||||||||||||||||||||
| — | — | — | 177,728 | — | 214,738 | — | ||||||||||||||||||||
| — | — | — | — | 207,575 | 534,294 | — | ||||||||||||||||||||
| 92,908 | 57,746 | 75,427 | 320,400 | 79,115 | 562,394 | 57,385 | ||||||||||||||||||||
| — | — | 8,897 | — | 5,449 | 43,602 | 19,460 | ||||||||||||||||||||
| 1,780,495 | 6,319,739 | 24,142,246 | 47,603,645 | 19,110,362 | 126,530,161 | 51,476,354 | ||||||||||||||||||||
| 250,065,618 | 97,424,712 | 194,858,116 | 962,125,400 | 226,003,048 | 1,467,770,714 | 176,443,991 | ||||||||||||||||||||
| 5,723,096 | 2,498,070 | 4,638,843 | 517,132 | 7,441,509 | (117,619 | ) | (602 | ) | ||||||||||||||||||
| (17,612,710 | ) | (2,827,058 | ) | 1,473,404 | (101,378,837 | ) | (11,838,248 | ) | (2,989,876 | ) | 5,353,229 | |||||||||||||||
| 65,814,919 | 4,971,585 | 38,422,165 | 44,351,159 | 8,145,419 | 112,305,114 | 3,665,552 | ||||||||||||||||||||
| (22,482 | ) | (6,375 | ) | (58,582 | ) | — | (45,020 | ) | (150,959 | ) | — | |||||||||||||||
| — | — | — | — | (13 | ) | — | — | |||||||||||||||||||
| — | — | — | (717,431 | ) | — | (917,083 | ) | — | ||||||||||||||||||
| $ | 303,968,441 | $ | 102,060,934 | $ | 239,333,946 | $ | 904,897,423 | $ | 229,706,695 | $ | 1,575,900,291 | $ | 185,462,170 | |||||||||||||
| 15,116,499 | 10,396,079 | 15,517,446 | 179,199,375 | 31,785,485 | 146,278,677 | 16,280,847 | ||||||||||||||||||||
| $ | 20.11 | $ | 9.82 | $ | 15.42 | $ | 5.05 | $ | 7.23 | $ | 10.77 | $ | 11.39 | |||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
309
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
As of December 31, 2012 | Limited Maturity Bond Portfolio | Mortgage Securities Portfolio | Money Market Portfolio | |||||||||
Assets | ||||||||||||
Investments at cost | $ | 1,243,491,608 | $ | 65,028,213 | $ | 143,341,736 | ||||||
Investments in securities at value | 1,179,497,924 | 48,814,022 | 143,341,736 | |||||||||
Investments in affiliates at value | 77,391,454 | 16,055,160 | — | |||||||||
Investments at Value | 1,256,889,378 | 64,869,182 | 143,341,736 | a | ||||||||
Cash | 547,373 | 2,169,882 | 4,273,627 | |||||||||
Dividends and interest receivable | 3,830,788 | 24,136 | 109,390 | |||||||||
Prepaid expenses | 3,047 | 900 | 1,077 | |||||||||
Receivable for fund shares sold | 318,354 | 14,815 | 867,436 | |||||||||
Receivable for variation margin | 73,049 | — | — | |||||||||
Total Assets | 1,261,661,989 | 67,078,915 | 148,593,266 | |||||||||
Liabilities | ||||||||||||
Accrued expenses | 124,547 | 18,332 | 5,795 | |||||||||
Payable for investments purchased | 50,345,313 | 29,751,894 | — | |||||||||
Payable upon return of collateral for securities loaned | 10,526,150 | — | — | |||||||||
Payable for fund shares redeemed | 42,394 | 9,481 | 308,594 | |||||||||
Swap agreements, at value | 128,001 | — | — | |||||||||
Payable for variation margin | 33,506 | 859 | — | |||||||||
Payable to affiliate | 420,594 | 13,696 | 16,553 | |||||||||
Mortgage dollar roll deferred revenue | 27,816 | 12,106 | — | |||||||||
Total Liabilities | 61,648,321 | 29,806,368 | 330,942 | |||||||||
Net Assets | ||||||||||||
Capital stock (beneficial interest) | 1,200,440,549 | 37,129,615 | 148,262,324 | |||||||||
Accumulated undistributed net investment income/(loss) | (127,052 | ) | 753 | — | ||||||||
Accumulated undistributed net realized gain/(loss) | (13,947,423 | ) | 303,452 | — | ||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||
Investments | 8,279,969 | (159,031 | ) | — | ||||||||
Affiliated investments | 5,117,801 | — | — | |||||||||
Futures contracts | 643,161 | (2,242 | ) | — | ||||||||
Swap agreements | (393,337 | ) | — | — | ||||||||
Total Net Assets | $ | 1,200,013,668 | $ | 37,272,547 | $ | 148,262,324 | ||||||
Shares of beneficial interest outstanding | 120,915,033 | 3,501,686 | 148,262,324 | |||||||||
Net asset value per share | $ | 9.92 | $ | 10.64 | $ | 1.00 | ||||||
| a | Securities held by this fund are valued on the basis of amortized cost, which approximates market value. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
310
[THIS PAGE INTENTIONALLY LEFT BLANK]
311
Statement of Operations
For the year ended December 31, 2012 | Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 3,996,087 | $ | 13,425,355 | $ | 15,985,202 | $ | 5,764,260 | ||||||||
Interest | 790,225 | 10,612,304 | 22,892,990 | 16,036,377 | ||||||||||||
Income from mortgage dollar rolls | 204,587 | 2,130,052 | 4,939,245 | 4,668,023 | ||||||||||||
Income from securities loaned | 244 | 216,568 | 249,853 | 86,280 | ||||||||||||
Income from affiliated investments | 6,647,112 | 38,824,084 | 68,428,115 | 31,802,435 | ||||||||||||
Foreign tax withholding | (14,480 | ) | (40,341 | ) | (46,802 | ) | (16,585 | ) | ||||||||
Total Investment Income | 11,623,775 | 65,168,022 | 112,448,603 | 58,340,790 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 2,615,047 | 10,885,370 | 16,788,573 | 9,416,712 | ||||||||||||
Sub-Adviser fees | — | — | — | — | ||||||||||||
Administrative service fees | 199,631 | 663,020 | 1,030,605 | 572,779 | ||||||||||||
Audit and legal fees | 26,053 | 60,123 | 84,547 | 50,989 | ||||||||||||
Custody fees | 61,703 | 95,389 | 119,163 | 89,992 | ||||||||||||
Insurance expenses | 7,065 | 20,294 | 28,968 | 15,806 | ||||||||||||
Directors’ fees | 18,935 | 45,050 | 67,460 | 39,936 | ||||||||||||
Other expenses | 15,613 | 28,012 | 29,637 | 24,770 | ||||||||||||
Total Expenses Before Reimbursement | 2,944,047 | 11,797,258 | 18,148,953 | 10,210,984 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | — | — | — | — | ||||||||||||
Custody earnings credit | (1,532 | ) | (1,574 | ) | (1,552 | ) | (1,725 | ) | ||||||||
Total Net Expenses | 2,942,515 | 11,795,684 | 18,147,401 | 10,209,259 | ||||||||||||
Net Investment Income/(Loss) | 8,681,260 | 53,372,338 | 94,301,202 | 48,131,531 | ||||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 9,571,660 | 47,338,642 | 62,950,269 | 26,876,147 | ||||||||||||
Affiliated investments | 298,414 | 3,962,448 | (1,562,072 | ) | (406,390 | ) | ||||||||||
Distributions of realized capital gains from affiliated investments | 312,004 | 1,297,082 | 1,478,840 | 439,355 | ||||||||||||
Futures contracts | 2,138,197 | 31,418,002 | 69,789,729 | 41,878,434 | ||||||||||||
Foreign currency transactions | (48,230 | ) | (141,528 | ) | (165,461 | ) | (30,257 | ) | ||||||||
Swap agreements | 28,858 | 694,620 | 4,568,287 | 2,804,056 | ||||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 15,771,409 | 42,330,047 | 54,534,577 | 23,894,256 | ||||||||||||
Affiliated investments | 34,976,741 | 175,590,047 | 242,860,265 | 86,268,949 | ||||||||||||
Futures contracts | (3,841,795 | ) | (9,840,982 | ) | (14,400,745 | ) | (10,480,627 | ) | ||||||||
Foreign currency forward contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | 881 | 3,181 | 3,930 | 1,228 | ||||||||||||
Swap agreements | (3,247 | ) | 258,575 | (205,639 | ) | 107,416 | ||||||||||
Net Realized and Unrealized Gains/(Losses) | 59,204,892 | 292,910,134 | 419,851,980 | 171,352,567 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 67,886,152 | $ | 346,282,472 | $ | 514,153,182 | $ | 219,484,098 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
312
Thrivent Series Fund, Inc.
Statement of Operations – continued
Partner | Partner Healthcare Portfolio | Natural Resources Portfolio | Partner Emerging Markets Equity Portfolio | Real Estate Securities Portfolio | Partner Small Cap Growth Portfolio | Partner Small Cap Value Portfolio | ||||||||||||||||||||
| $166,893 | $ | 344,586 | $ | 558,242 | $ | 1,346,988 | $ | 3,017,976 | $ | 1,831,509 | $ | 7,207,708 | ||||||||||||||
| 8 | 3 | 11 | 59 | 22 | 4,497 | 2,842 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 83,143 | — | 2,127 | 2,305 | — | 174,193 | 155,939 | ||||||||||||||||||||
| 69 | 203 | 188 | 298 | 83 | 1,521 | 1,429 | ||||||||||||||||||||
| — | (22,903 | ) | (1,991 | ) | (111,424 | ) | (3,006 | ) | (3,940 | ) | (4,868 | ) | ||||||||||||||
| 250,113 | 321,889 | 558,577 | 1,238,226 | 3,015,075 | 2,007,780 | 7,363,050 | ||||||||||||||||||||
| 102,622 | 65,672 | 237,884 | 222,196 | 943,446 | 876,225 | 529,917 | ||||||||||||||||||||
| 153,933 | 137,292 | — | 334,362 | — | 1,437,390 | 1,589,750 | ||||||||||||||||||||
| 86,841 | 84,273 | 86,344 | 89,280 | 103,586 | 126,272 | 132,991 | ||||||||||||||||||||
| 17,542 | 17,369 | 17,593 | 26,964 | 18,564 | 20,235 | 21,051 | ||||||||||||||||||||
| 7,737 | 7,964 | 4,313 | 52,780 | 8,125 | 32,282 | 16,471 | ||||||||||||||||||||
| 3,611 | 3,509 | 3,583 | 3,638 | 4,441 | 4,686 | 5,034 | ||||||||||||||||||||
| 5,723 | 4,644 | 4,913 | 4,644 | 11,833 | 13,024 | 15,302 | ||||||||||||||||||||
| 7,149 | 9,052 | 7,140 | 16,983 | 9,380 | 10,073 | 9,829 | ||||||||||||||||||||
| 385,158 | 329,775 | 361,770 | 750,847 | 1,099,375 | 2,520,187 | 2,320,345 | ||||||||||||||||||||
| — | (62,418 | ) | (26,166 | ) | (100,603 | ) | — | (231,362 | ) | — | ||||||||||||||||
| (358) | (300 | ) | (810 | ) | (606 | ) | (451 | ) | (1,449 | ) | (810 | ) | ||||||||||||||
| 384,800 | 267,057 | 334,794 | 649,638 | 1,098,924 | 2,287,376 | 2,319,535 | ||||||||||||||||||||
| (134,687) | 54,832 | 223,783 | 588,588 | 1,916,151 | (279,596 | ) | 5,043,515 | |||||||||||||||||||
| 1,812,385 | 1,457,800 | (2,447,737 | ) | (256,612 | ) | 4,160,478 | 17,390,939 | 4,051,941 | ||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 1 | — | 1 | 1 | — | 9 | 4 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | (11,257 | ) | 1,767 | (3,776 | ) | — | — | (1 | ) | |||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 4,492,049 | 2,326,832 | 1,077,255 | 10,132,367 | 12,430,822 | 9,433,034 | 26,826,192 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | (10 | ) | — | — | — | |||||||||||||||||||
| — | 739 | — | 1,900 | 24 | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 6,304,435 | 3,774,114 | (1,368,714 | ) | 9,873,870 | 16,591,324 | 26,823,982 | 30,878,136 | |||||||||||||||||||
| $6,169,748 | $ | 3,828,946 | $ | (1,144,931 | ) | $ | 10,462,458 | $ | 18,507,475 | $ | 26,544,386 | $ | 35,921,651 | |||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
313
Thrivent Series Fund, Inc.
Statement of Operations – continued
For the year ended December 31, 2012 | Small Cap Stock Portfolio | Small Cap Index Portfolio | Mid Cap Growth Portfolio | Partner Mid Cap Value Portfolio | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 3,024,007 | $ | 3,441,595 | $ | 3,088,406 | $ | 5,040,755 | ||||||||
Interest | 30,708 | 622 | 9,245 | 2,896 | ||||||||||||
Income from securities loaned | 346,190 | 234,991 | 8,331 | 7,341 | ||||||||||||
Income from affiliated investments | 9,244 | 373 | 3,431 | 1,046 | ||||||||||||
Foreign tax withholding | (22,357 | ) | — | (10,937 | ) | (103 | ) | |||||||||
Total Investment Income | 3,387,792 | 3,677,581 | 3,098,476 | 5,051,935 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 1,850,659 | 678,240 | 1,455,810 | 655,908 | ||||||||||||
Sub-Adviser fees | — | — | — | 1,148,685 | ||||||||||||
Administrative service fees | 133,867 | 118,756 | 152,790 | 128,143 | ||||||||||||
Audit and legal fees | 21,244 | 20,051 | 22,346 | 20,514 | ||||||||||||
Custody fees | 19,680 | 33,390 | 15,150 | 32,541 | ||||||||||||
Insurance expenses | 5,148 | 4,679 | 5,766 | 4,837 | ||||||||||||
Directors’ fees | 17,819 | 17,062 | 25,014 | 12,872 | ||||||||||||
Other expenses | 8,784 | 15,817 | 7,250 | 9,052 | ||||||||||||
Total Expenses Before Reimbursement | 2,057,201 | 887,995 | 1,684,126 | 2,012,552 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | — | — | — | — | ||||||||||||
Custody earnings credit | (649 | ) | (626 | ) | (720 | ) | (667 | ) | ||||||||
Total Net Expenses | 2,056,552 | 887,369 | 1,683,406 | 2,011,885 | ||||||||||||
Net Investment Income/(Loss) | 1,331,240 | 2,790,212 | 1,415,070 | 3,040,050 | ||||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 2,482,685 | 9,186,778 | 28,286,679 | 16,408,511 | ||||||||||||
Distributions of realized capital gains from affiliated investments | 16 | 5 | 6 | 3 | ||||||||||||
Futures contracts | 6,103,801 | 176,725 | — | — | ||||||||||||
Foreign currency transactions | (7,356 | ) | — | — | — | |||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 14,762,166 | 16,512,957 | 12,421,506 | 20,786,907 | ||||||||||||
Futures contracts | (394,481 | ) | (40,666 | ) | — | — | ||||||||||
Foreign currency forward contracts | (1,761 | ) | — | — | — | |||||||||||
Foreign currency transactions | 1,088 | — | — | — | ||||||||||||
Net Realized and Unrealized Gains/(Losses) | 22,946,158 | 25,835,799 | 40,708,191 | 37,195,421 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 24,277,398 | $ | 28,626,011 | $ | 42,123,261 | $ | 40,235,471 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
314
Thrivent Series Fund, Inc.
Statement of Operations – continued
Mid Cap Stock | Mid Cap Index Portfolio | Partner Worldwide Allocation Portfolio | Partner Socially Responsible Stock Portfolio | Partner All Cap Growth Portfolio | Partner All Cap Value Portfolio | Partner All Cap Portfolio | ||||||||||||||||||||
| $5,883,683 | $ | 1,311,817 | $ | 24,848,224 | $ | 106,544 | $ | 144,578 | $ | 125,697 | $ | 978,450 | ||||||||||||||
| 16,765 | 197 | 5,612,866 | 1 | — | — | 4 | ||||||||||||||||||||
| 102,411 | 54,070 | 665,487 | — | — | — | 5,383 | ||||||||||||||||||||
| 4,409 | 144 | 6,747 | 80 | 35 | 9 | 73 | ||||||||||||||||||||
| (2,514) | — | (1,997,325 | ) | (1,396 | ) | (3,115 | ) | (670 | ) | (5,092 | ) | |||||||||||||||
| 6,004,754 | 1,366,228 | 29,135,999 | 105,229 | 141,498 | 125,036 | 978,818 | ||||||||||||||||||||
| 3,261,844 | 291,740 | 3,535,165 | 23,955 | 41,050 | 19,868 | 184,863 | ||||||||||||||||||||
| — | — | 4,701,173 | 38,551 | 88,941 | 29,082 | 316,706 | ||||||||||||||||||||
| 177,288 | 96,671 | 270,855 | 81,563 | 82,736 | 81,305 | 90,560 | ||||||||||||||||||||
| 24,299 | 18,299 | 35,550 | 17,181 | 17,317 | 17,186 | 17,910 | ||||||||||||||||||||
| 23,357 | 13,092 | 479,211 | 6,075 | 6,073 | 11,336 | 29,232 | ||||||||||||||||||||
| 6,451 | 3,943 | 6,745 | 3,432 | 3,475 | 3,436 | 3,755 | ||||||||||||||||||||
| 24,042 | 6,991 | 35,554 | 4,644 | 4,644 | 4,644 | 5,646 | ||||||||||||||||||||
| 9,521 | 12,503 | 39,375 | 7,182 | 7,576 | 7,183 | 8,228 | ||||||||||||||||||||
| 3,526,802 | 443,239 | 9,103,628 | 182,583 | 251,812 | 174,040 | 656,900 | ||||||||||||||||||||
| — | — | — | (105,827 | ) | (114,637 | ) | (109,883 | ) | (105,594 | ) | ||||||||||||||||
| (601) | (737 | ) | (4,237 | ) | (187 | ) | (343 | ) | (196 | ) | (255 | ) | ||||||||||||||
| 3,526,201 | 442,502 | 9,099,391 | 76,569 | 136,832 | 63,961 | 551,051 | ||||||||||||||||||||
| 2,478,553 | 923,726 | 20,036,608 | 28,660 | 4,666 | 61,075 | 427,767 | ||||||||||||||||||||
| 33,789,507 | 3,270,696 | 7,613,363 | 396,801 | (52,507 | ) | 30,477 | 4,458,734 | |||||||||||||||||||
| 19 | 1 | 24 | — | — | — | — | ||||||||||||||||||||
| — | 389,643 | 143,636 | — | — | — | — | ||||||||||||||||||||
| — | — | (179,025 | ) | — | — | (8 | ) | — | ||||||||||||||||||
| 28,228,445 | 8,703,041 | 166,401,874 | 637,520 | 1,352,702 | 605,606 | 2,375,425 | ||||||||||||||||||||
| — | (91,467 | ) | (23,710 | ) | — | — | — | — | ||||||||||||||||||
| — | — | 94,840 | — | — | — | — | ||||||||||||||||||||
| — | — | 28,458 | — | — | — | — | ||||||||||||||||||||
| 62,017,971 | 12,271,914 | 174,079,460 | 1,034,321 | 1,300,195 | 636,075 | 6,834,159 | ||||||||||||||||||||
| $64,496,524 | $ | 13,195,640 | $ | 194,116,068 | $ | 1,062,981 | $ | 1,304,861 | $ | 697,150 | $ | 7,261,926 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
315
Thrivent Series Fund, Inc.
Statement of Operations – continued
For the year ended December 31, 2012 | Large Cap Growth Portfolio | Partner Growth Stock Portfolio | Large Cap Value Portfolio | Large Cap Stock Portfolio | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 13,895,248 | $ | 529,079 | $ | 20,129,268 | $ | 12,367,266 | ||||||||
Interest | 26,829 | 41 | 13,223 | 31,450 | ||||||||||||
Income from mortgage dollar rolls | — | — | — | — | ||||||||||||
Income from securities loaned | 17,406 | 28,578 | 29,284 | 13,333 | ||||||||||||
Income from affiliated investments | 7,193 | 224 | 6,059 | 13,584 | ||||||||||||
Foreign tax withholding | (29,251 | ) | (627 | ) | (99,512 | ) | (47,576 | ) | ||||||||
Total Investment Income | 13,917,425 | 557,295 | 20,078,322 | 12,378,057 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 3,462,990 | 226,102 | 4,843,614 | 3,873,403 | ||||||||||||
Sub-Adviser fees | — | 226,101 | — | — | ||||||||||||
Administrative service fees | 253,150 | 91,305 | 241,454 | 201,684 | ||||||||||||
Audit and legal fees | 29,426 | 17,874 | 29,049 | 26,064 | ||||||||||||
Custody fees | 27,623 | 21,384 | 27,707 | 32,594 | ||||||||||||
Insurance expenses | 9,271 | 3,769 | 8,487 | 7,320 | ||||||||||||
Directors’ fees | 60,667 | 6,161 | 38,229 | 32,534 | ||||||||||||
Other expenses | 10,228 | 9,158 | 11,659 | 11,150 | ||||||||||||
Total Expenses Before Reimbursement | 3,853,355 | 601,854 | 5,200,199 | 4,184,749 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | — | (56,526 | ) | — | — | |||||||||||
Custody earnings credit | (487 | ) | (810 | ) | (619 | ) | (1,302 | ) | ||||||||
Total Net Expenses | 3,852,868 | 544,518 | 5,199,580 | 4,183,447 | ||||||||||||
Net Investment Income/(Loss) | 10,064,557 | 12,777 | 14,878,742 | 8,194,610 | ||||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 66,765,786 | 3,057,935 | 59,391,315 | 35,859,963 | ||||||||||||
Distributions of realized capital gains from affiliated investments | 9 | — | 11 | 20 | ||||||||||||
Written option contracts | — | — | — | (50,431 | ) | |||||||||||
Futures contracts | — | — | — | 2,590,567 | ||||||||||||
Foreign currency transactions | (21,712 | ) | (913 | ) | — | (5,004 | ) | |||||||||
Swap agreements | — | — | — | — | ||||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 73,116,608 | 6,273,567 | 55,705,117 | 37,263,108 | ||||||||||||
Written option contracts | — | — | — | 7,050 | ||||||||||||
Futures contracts | — | — | — | (733,130 | ) | |||||||||||
Foreign currency transactions | — | 28 | — | — | ||||||||||||
Swap agreements | — | — | — | — | ||||||||||||
Net Realized and Unrealized Gains/(Losses) | 139,860,691 | 9,330,617 | 115,096,443 | 74,932,143 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 149,925,248 | $ | 9,343,394 | $ | 129,975,185 | $ | 83,126,753 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
316
Thrivent Series Fund, Inc.
Statement of Operations – continued
| Large Cap Index Portfolio | Equity Income Plus Portfolio | Balanced Portfolio | High Yield Portfolio | Diversified Income Plus Portfolio | Income Portfolio | Bond Index Portfolio | ||||||||||||||||||||
| $ | 7,054,009 | $ | 2,983,342 | $ | 3,707,483 | $ | 432,380 | $ | 2,508,133 | $ | 744,449 | $ | — | |||||||||||||
| 2,721 | 323,846 | 1,722,446 | 63,093,641 | 5,604,448 | 63,735,901 | 3,369,804 | ||||||||||||||||||||
| — | — | 357,855 | — | 94,538 | 1,570,609 | 817,789 | ||||||||||||||||||||
| 22,426 | 33,937 | 11,604 | 278,941 | 82,515 | 54,737 | 2,596 | ||||||||||||||||||||
| 1,148 | 25 | 4,053 | 7,764 | 7,426 | 25,804 | 9,599 | ||||||||||||||||||||
| (3,593 | ) | (47,300 | ) | (1,906 | ) | — | (25,473 | ) | — | — | ||||||||||||||||
| 7,076,711 | 3,293,850 | 5,801,535 | 63,812,726 | 8,271,587 | 66,131,500 | 4,199,788 | ||||||||||||||||||||
| 1,043,020 | 635,926 | 855,001 | 3,378,788 | 649,027 | 6,176,789 | 597,327 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 141,201 | 99,567 | 128,861 | 248,940 | 112,451 | 388,839 | 114,133 | ||||||||||||||||||||
| 28,134 | 18,523 | 24,263 | 29,497 | 18,827 | 40,492 | 19,689 | ||||||||||||||||||||
| 24,634 | 15,693 | 30,829 | 26,704 | 26,241 | 53,319 | 18,087 | ||||||||||||||||||||
| 5,413 | 3,939 | 5,016 | 8,411 | 4,151 | 12,398 | 4,410 | ||||||||||||||||||||
| 24,728 | 4,711 | 21,750 | 41,961 | 11,055 | 67,239 | 14,272 | ||||||||||||||||||||
| 14,877 | 10,353 | 23,623 | 21,307 | 18,072 | 38,078 | 17,124 | ||||||||||||||||||||
| 1,282,007 | 788,712 | 1,089,343 | 3,755,608 | 839,824 | 6,777,154 | 785,042 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| (682 | ) | (931 | ) | (831 | ) | (641 | ) | (1,847 | ) | (810 | ) | (968 | ) | |||||||||||||
| 1,281,325 | 787,781 | 1,088,512 | 3,754,967 | 837,977 | 6,776,344 | 784,074 | ||||||||||||||||||||
| 5,795,386 | 2,506,069 | 4,713,023 | 60,057,759 | 7,433,610 | 59,355,156 | 3,415,714 | ||||||||||||||||||||
| 6,184,219 | 3,527,582 | 7,152,734 | 12,590,530 | 5,306,520 | 28,834,664 | 5,418,194 | ||||||||||||||||||||
| 1 | 2 | 7 | 26 | 10 | 38 | 12 | ||||||||||||||||||||
| — | (225,240 | ) | — | — | (41,346 | ) | — | — | ||||||||||||||||||
| 813,706 | 1,082,370 | 379,411 | 266,760 | 165,963 | (7,132,004 | ) | — | |||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | (394,702 | ) | — | (286,402 | ) | — | ||||||||||||||||||
| 31,287,266 | 4,927,890 | 16,469,483 | 54,581,576 | 7,477,641 | 77,812,014 | (707,132 | ) | |||||||||||||||||||
| — | 89,026 | — | — | 7,050 | — | — | ||||||||||||||||||||
| (203,771 | ) | (181,440 | ) | (93,555 | ) | — | (66,840 | ) | 2,291,610 | — | ||||||||||||||||
| — | — | — | — | (13 | ) | — | — | |||||||||||||||||||
| — | — | — | (717,431 | ) | — | (917,083 | ) | — | ||||||||||||||||||
| 38,081,421 | 9,220,190 | 23,908,080 | 66,326,759 | 12,848,985 | 100,602,837 | 4,711,074 | ||||||||||||||||||||
| $ | 43,876,807 | $ | 11,726,259 | $ | 28,621,103 | $ | 126,384,518 | $ | 20,282,595 | $ | 159,957,993 | $ | 8,126,788 | |||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
317
Thrivent Series Fund, Inc.
Statement of Operations – continued
For the year ended December 31, 2012 | Limited Maturity Bond Portfolio | Mortgage Securities Portfolio | Money Market Portfolio | |||||||||
Investment Income | ||||||||||||
Dividends | $ | 297,195 | $ | — | $ | 19,532 | ||||||
Interest | 26,260,344 | 399,008 | 395,444 | |||||||||
Income from mortgage dollar rolls | 618,433 | 414,326 | — | |||||||||
Income from securities loaned | 91,759 | — | — | |||||||||
Income from affiliated investments | 1,461,993 | 2,311 | — | |||||||||
Total Investment Income | 28,729,724 | 815,645 | 414,976 | |||||||||
Expenses | ||||||||||||
Adviser fees | 5,345,251 | 172,057 | 584,930 | |||||||||
Administrative service fees | 347,262 | 86,882 | 109,247 | |||||||||
Audit and legal fees | 41,278 | 17,591 | 19,250 | |||||||||
Custody fees | 43,399 | 10,430 | 16,117 | |||||||||
Insurance expenses | 11,837 | 3,598 | 4,451 | |||||||||
Directors’ fees | 56,370 | 5,661 | 10,240 | |||||||||
Other expenses | 26,362 | 8,122 | 8,255 | |||||||||
Total Expenses Before Reimbursement | 5,871,759 | 304,341 | 752,490 | |||||||||
Less: | ||||||||||||
Reimbursement from adviser | (78,613 | ) | (19,367 | ) | (334,799 | ) | ||||||
Custody earnings credit | (642 | ) | (1,671 | ) | (64 | ) | ||||||
Total Net Expenses | 5,792,504 | 283,303 | 417,627 | |||||||||
Net Investment Income/(Loss) | 22,937,220 | 532,342 | (2,651 | ) | ||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||
Net realized gains/(losses) on: | ||||||||||||
Investments | 10,006,967 | 281,640 | 2,651 | |||||||||
Affiliated investments | 711,454 | — | — | |||||||||
Distributions of realized capital gains from affiliated investments | 18 | 5 | — | |||||||||
Written option contracts | 22,537 | — | — | |||||||||
Futures contracts | (8,367,097 | ) | 30,361 | — | ||||||||
Swap agreements | (2,647,432 | ) | — | — | ||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||
Investments | 31,311,349 | 1,160,896 | — | |||||||||
Affiliated investments | 923,774 | — | — | |||||||||
Futures contracts | 2,619,883 | (7,930 | ) | — | ||||||||
Swap agreements | 337,736 | — | — | |||||||||
Net Realized and Unrealized Gains/(Losses) | 34,919,189 | 1,464,972 | 2,651 | |||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 57,856,409 | $ | 1,997,314 | $ | — | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
318
[THIS PAGE INTENTIONALLY LEFT BLANK]
319
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets
| Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | |||||||||||||||
For the periods ended | 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 8,681,260 | $ | 2,856,314 | $ | 53,372,338 | $ | 32,267,256 | ||||||||
Net realized gains/(losses) | 12,300,903 | 24,893,720 | 84,569,266 | 33,081,780 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | 46,903,989 | (51,092,533 | ) | 208,340,868 | (144,710,173 | ) | ||||||||||
Net Change in Net Assets Resulting From Operations | 67,886,152 | (23,342,499 | ) | 346,282,472 | (79,361,137 | ) | ||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (3,721,260 | ) | (7,624,972 | ) | (34,281,853 | ) | (51,900,841 | ) | ||||||||
From net realized gains | (25,646,417 | ) | (9,854,172 | ) | (37,872,965 | ) | (31,682,401 | ) | ||||||||
Total Distributions to Shareholders | (29,367,677 | ) | (17,479,144 | ) | (72,154,818 | ) | (83,583,242 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 43,227,880 | 54,562,284 | 196,656,484 | 339,804,960 | ||||||||||||
Distributions reinvested | 29,367,677 | 17,479,144 | 72,154,818 | 83,583,242 | ||||||||||||
Redeemed | (63,479,879 | ) | (57,770,507 | ) | (146,549,857 | ) | (106,396,856 | ) | ||||||||
Total Capital Stock Transactions | 9,115,678 | 14,270,921 | 122,261,445 | 316,991,346 | ||||||||||||
Net Increase/(Decrease) in Net Assets | 47,634,153 | (26,550,722 | ) | 396,389,099 | 154,046,967 | |||||||||||
Net Assets, Beginning of Period | 560,554,320 | 587,105,042 | 2,659,601,280 | 2,505,554,313 | ||||||||||||
Net Assets, End of Period | $ | 608,188,473 | $ | 560,554,320 | $ | 3,055,990,379 | $ | 2,659,601,280 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 8,597,556 | $ | 3,736,236 | $ | 53,094,523 | $ | 34,451,457 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 3,580,589 | 4,497,044 | 16,559,693 | 28,933,351 | ||||||||||||
Distributions reinvested | 2,649,580 | 1,452,649 | 6,408,009 | 7,154,139 | ||||||||||||
Redeemed | (5,318,437 | ) | (4,814,726 | ) | (12,307,638 | ) | (9,153,921 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | 911,732 | 1,134,967 | 10,660,064 | 26,933,569 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
320
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | Partner Technology Portfolio | Partner Healthcare Portfolio | |||||||||||||||||||||||||||
| 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | |||||||||||||||||||||||
| $ | 94,301,202 | $ | 72,847,582 | $ | 48,131,531 | $ | 38,974,199 | $ | (134,687 | ) | $ | (70,586 | ) | $ | 54,832 | $ | 43,220 | |||||||||||||
| 137,059,592 | 25,087,353 | 71,561,345 | 10,895,547 | 1,812,386 | 3,927,971 | 1,446,543 | 243,209 | |||||||||||||||||||||||
| 282,792,388 | (146,819,447 | ) | 99,791,222 | (48,724,566 | ) | 4,492,049 | (8,364,415 | ) | 2,327,571 | (996,129 | ) | |||||||||||||||||||
| 514,153,182 | (48,884,512 | ) | 219,484,098 | 1,145,180 | 6,169,748 | (4,507,030 | ) | 3,828,946 | (709,700 | ) | ||||||||||||||||||||
| (73,898,100 | ) | (86,731,755 | ) | (38,883,526 | ) | (38,905,574 | ) | — | — | (55,995 | ) | — | ||||||||||||||||||
| (31,454,770 | ) | (56,121,130 | ) | (17,675,615 | ) | (23,432,837 | ) | — | — | (248,326 | ) | (593,771 | ) | |||||||||||||||||
| (105,352,870 | ) | (142,852,885 | ) | (56,559,141 | ) | (62,338,411 | ) | — | — | (304,321 | ) | (593,771 | ) | |||||||||||||||||
| 845,383,858 | 735,610,343 | 714,246,147 | 524,415,702 | 4,798,897 | 4,028,249 | 5,683,465 | 3,532,995 | |||||||||||||||||||||||
| 105,352,870 | 142,852,885 | 56,559,141 | 62,338,411 | — | — | 304,321 | 593,771 | |||||||||||||||||||||||
| (155,247,490 | ) | (122,448,401 | ) | (68,673,573 | ) | (61,611,570 | ) | (5,086,369 | ) | (6,210,837 | ) | (2,289,406 | ) | (2,691,766 | ) | |||||||||||||||
| 795,489,238 | 756,014,827 | 702,131,715 | 525,142,543 | (287,472 | ) | (2,182,588 | ) | 3,698,380 | 1,435,000 | |||||||||||||||||||||
| 1,204,289,550 | 564,277,430 | 865,056,672 | 463,949,312 | 5,882,276 | (6,689,618 | ) | 7,223,005 | 131,529 | ||||||||||||||||||||||
| 4,133,646,716 | 3,569,369,286 | 2,055,266,794 | 1,591,317,482 | 29,615,410 | 36,305,028 | 17,999,712 | 17,868,183 | |||||||||||||||||||||||
| $ | 5,337,936,266 | $ | 4,133,646,716 | $ | 2,920,323,466 | $ | 2,055,266,794 | $ | 35,497,686 | $ | 29,615,410 | $ | 25,222,717 | $ | 17,999,712 | |||||||||||||||
| $ | 94,401,153 | $ | 74,101,970 | $ | 48,229,190 | $ | 38,926,840 | $ | (12,930 | ) | $ | (11,463 | ) | $ | 98,199 | $ | 32,857 | |||||||||||||
| 70,998,504 | 62,941,549 | 60,615,807 | 45,578,099 | 664,263 | 588,137 | 442,798 | 299,511 | |||||||||||||||||||||||
| 9,243,912 | 12,349,397 | 4,962,504 | 5,439,794 | — | — | 24,696 | 49,636 | |||||||||||||||||||||||
| (13,023,252 | ) | (10,622,664 | ) | (5,836,245 | ) | (5,337,581 | ) | (712,541 | ) | (915,838 | ) | (181,834 | ) | (229,385 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| 67,219,164 | 64,668,282 | 59,742,066 | 45,680,312 | (48,278 | ) | (327,701 | ) | 285,660 | 119,762 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
321
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Natural Resources Portfolio | Partner Emerging Markets Equity Portfolio | |||||||||||||||
For the periods ended | 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 223,783 | $ | 57,547 | $ | 588,588 | $ | 514,909 | ||||||||
Net realized gains/(losses) | (2,445,969 | ) | 4,340,546 | (260,387 | ) | 1,068,226 | ||||||||||
Change in net unrealized appreciation/(depreciation) | 1,077,255 | (9,582,231 | ) | 10,134,257 | (6,288,280 | ) | ||||||||||
Net Change in Net Assets Resulting From Operations | (1,144,931 | ) | (5,184,138 | ) | 10,462,458 | (4,705,145 | ) | |||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (77,727 | ) | (24,409 | ) | (252,692 | ) | (432,330 | ) | ||||||||
From net realized gains | (4,038,356 | ) | — | (239,345 | ) | — | ||||||||||
Total Distributions to Shareholders | (4,116,083 | ) | (24,409 | ) | (492,037 | ) | (432,330 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 6,502,876 | 12,752,094 | 13,625,677 | 12,171,485 | ||||||||||||
Distributions reinvested | 4,116,083 | 24,409 | 492,037 | 432,330 | ||||||||||||
Redeemed | (5,385,638 | ) | (4,664,964 | ) | (8,274,535 | ) | (9,556,440 | ) | ||||||||
In-kind redemptions | — | — | — | — | ||||||||||||
Total Capital Stock Transactions | 5,233,321 | 8,111,539 | 5,843,179 | 3,047,375 | ||||||||||||
Net Increase/(Decrease) in Net Assets | (27,693 | ) | 2,902,992 | 15,813,600 | (2,090,100 | ) | ||||||||||
Net Assets, Beginning of Period | 31,602,403 | 28,699,411 | 38,853,572 | 40,943,672 | ||||||||||||
Net Assets, End of Period | $ | 31,574,710 | $ | 31,602,403 | $ | 54,667,172 | $ | 38,853,572 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 219,224 | $ | 71,401 | $ | 554,035 | $ | 221,915 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 841,983 | 1,293,529 | 1,096,360 | 1,023,676 | ||||||||||||
Distributions reinvested | 660,581 | 2,450 | 43,088 | 35,959 | ||||||||||||
Redeemed | (730,252 | ) | (502,842 | ) | (678,851 | ) | (810,480 | ) | ||||||||
In-kind redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | 772,312 | 793,137 | 460,597 | 249,155 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
322
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Real Estate Securities Portfolio | Partner Small Cap Growth Portfolio | Partner Small Cap Value Portfolio | Small Cap Stock Portfolio | |||||||||||||||||||||||||||
| 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | |||||||||||||||||||||||
| $ | 1,916,151 | $ | 4,302,879 | $ | (279,596 | ) | $ | (1,328,119 | ) | $ | 5,043,515 | $ | 1,323,363 | $ | 1,331,240 | $ | (272,455 | ) | ||||||||||||
| 4,160,478 | 46,825,514 | 17,390,948 | 30,411,991 | 4,051,944 | 3,364,074 | 8,579,146 | 38,698,937 | |||||||||||||||||||||||
| 12,430,846 | (49,731,078 | ) | 9,433,034 | (37,113,124 | ) | 26,826,192 | (9,846,842 | ) | 14,367,012 | (52,961,455 | ) | |||||||||||||||||||
| 18,507,475 | 1,397,315 | 26,544,386 | (8,029,252 | ) | 35,921,651 | (5,159,405 | ) | 24,277,398 | (14,534,973 | ) | ||||||||||||||||||||
| (4,305,833 | ) | — | — | — | (1,705,822 | ) | (560,137 | ) | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| (4,305,833 | ) | — | — | — | (1,705,822 | ) | (560,137 | ) | — | — | ||||||||||||||||||||
| 17,167,276 | 10,492,356 | 40,031,818 | 5,269,479 | 11,411,935 | 4,001,480 | 6,532,990 | 9,883,221 | |||||||||||||||||||||||
| 4,305,833 | — | — | — | 1,705,822 | 560,137 | — | — | |||||||||||||||||||||||
| (21,198,491 | ) | (26,179,966 | ) | (7,147,466 | ) | (8,274,466 | ) | (15,134,928 | ) | (15,399,807 | ) | (25,168,678 | ) | (34,747,549 | ) | |||||||||||||||
| — | (207,194,357 | ) | — | — | — | — | — | — | ||||||||||||||||||||||
| 274,618 | (222,881,967 | ) | 32,884,352 | (3,004,987 | ) | (2,017,171 | ) | (10,838,190 | ) | (18,635,688 | ) | (24,864,328 | ) | |||||||||||||||||
| 14,476,260 | (221,484,652 | ) | 59,428,738 | (11,034,239 | ) | 32,198,658 | (16,557,732 | ) | 5,641,710 | (39,399,301 | ) | |||||||||||||||||||
| 107,965,999 | 329,450,651 | 197,490,426 | 208,524,665 | 250,381,150 | 266,938,882 | 263,838,002 | 303,237,303 | |||||||||||||||||||||||
| $ | 122,442,259 | $ | 107,965,999 | $ | 256,919,164 | $ | 197,490,426 | $ | 282,579,808 | $ | 250,381,150 | $ | 269,479,712 | $ | 263,838,002 | |||||||||||||||
| $ | 1,863,678 | $ | 4,269,528 | $ | (29,509 | ) | $ | (21,909 | ) | $ | 4,203,969 | $ | 886,760 | $ | 1,281,836 | $ | (42,048 | ) | ||||||||||||
| 990,009 | 686,920 | 3,151,321 | 389,293 | 585,681 | 213,874 | 516,676 | 817,829 | |||||||||||||||||||||||
| 257,367 | — | — | — | 91,888 | 29,458 | — | — | |||||||||||||||||||||||
| (1,232,222 | ) | (1,720,834 | ) | (531,966 | ) | (631,342 | ) | (761,873 | ) | (816,570 | ) | (1,981,702 | ) | (2,759,965 | ) | |||||||||||||||
| — | (14,854,346 | ) | — | — | — | — | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| 15,154 | (15,888,260 | ) | 2,619,355 | (242,049 | ) | (84,304 | ) | (573,238 | ) | (1,465,026 | ) | (1,942,136 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
323
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Small Cap Index Portfolio | Mid Cap Growth Portfolio | |||||||||||||||
For the periods ended | 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 2,790,212 | $ | 1,293,444 | $ | 1,415,070 | $ | 809,887 | ||||||||
Net realized gains/(losses) | 9,363,508 | 15,858,302 | 28,286,685 | 17,854,603 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | 16,472,291 | (15,798,990 | ) | 12,421,506 | (38,786,888 | ) | ||||||||||
Net Change in Net Assets Resulting From Operations | 28,626,011 | 1,352,756 | 42,123,261 | (20,122,398 | ) | |||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (1,295,441 | ) | (1,738,716 | ) | (813,792 | ) | (1,271,495 | ) | ||||||||
From net realized gains | (15,926,080 | ) | (5,929,388 | ) | — | — | ||||||||||
Total Distributions to Shareholders | (17,221,521 | ) | (7,668,104 | ) | (813,792 | ) | (1,271,495 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 5,710,690 | 3,467,541 | 8,871,921 | 14,564,553 | ||||||||||||
Issued in connection with merger | — | — | 16,995,076 | — | ||||||||||||
Distributions reinvested | 17,221,521 | 7,668,104 | 813,792 | 1,271,495 | ||||||||||||
Redeemed | (29,649,161 | ) | (35,931,155 | ) | (55,317,502 | ) | (65,517,978 | ) | ||||||||
Total Capital Stock Transactions | (6,716,950 | ) | (24,795,510 | ) | (28,636,713 | ) | (49,681,930 | ) | ||||||||
Net Increase/(Decrease) in Net Assets | 4,687,540 | (31,110,858 | ) | 12,672,756 | (71,075,823 | ) | ||||||||||
Net Assets, Beginning of Period | 188,990,316 | 220,101,174 | 348,833,514 | 419,909,337 | ||||||||||||
Net Assets, End of Period | $ | 193,677,856 | $ | 188,990,316 | $ | 361,506,270 | $ | 348,833,514 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 2,724,518 | $ | 1,250,358 | $ | 1,338,695 | $ | 699,790 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 431,383 | 266,080 | 466,382 | 778,985 | ||||||||||||
Issued in connection with merger | — | — | 907,397 | — | ||||||||||||
Distributions reinvested | 1,444,298 | 585,316 | 45,076 | 67,592 | ||||||||||||
Redeemed | (2,240,833 | ) | (2,742,693 | ) | (2,900,644 | ) | (3,532,552 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | (365,152 | ) | (1,891,297 | ) | (1,481,789 | ) | (2,685,975 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
324
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Partner Mid Cap Value Portfolio | Mid Cap Stock Portfolio | Mid Cap Index Portfolio | Partner Worldwide Allocation Portfolio | |||||||||||||||||||||||||||
| 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | |||||||||||||||||||||||
| $ | 3,040,050 | $ | 1,929,624 | $ | 2,478,553 | $ | 1,201,376 | $ | 923,726 | $ | 636,118 | $ | 20,036,608 | $ | 12,066,451 | |||||||||||||||
| 16,408,514 | 19,848,018 | 33,789,526 | 31,255,555 | 3,660,340 | 7,431,994 | 7,577,998 | 16,701,013 | |||||||||||||||||||||||
| �� | 20,786,907 | (36,357,876 | ) | 28,228,445 | (62,951,078 | ) | 8,611,574 | (9,526,961 | ) | 166,501,462 | (98,812,015 | ) | ||||||||||||||||||
| 40,235,471 | (14,580,234 | ) | 64,496,524 | (30,494,147 | ) | 13,195,640 | (1,458,849 | ) | 194,116,068 | (70,044,551 | ) | |||||||||||||||||||
| (1,932,483 | ) | (501,793 | ) | (1,205,625 | ) | (227,230 | ) | (637,407 | ) | (714,334 | ) | (21,291,197 | ) | (11,145,255 | ) | |||||||||||||||
| — | — | — | — | (7,803,365 | ) | (5,251,300 | ) | (4,890,102 | ) | (9,296,969 | ) | |||||||||||||||||||
| (1,932,483 | ) | (501,793 | ) | (1,205,625 | ) | (227,230 | ) | (8,440,772 | ) | (5,965,634 | ) | (26,181,299 | ) | (20,442,224 | ) | |||||||||||||||
| 9,876,504 | 3,149,836 | 2,158,181 | 4,514,214 | 5,241,846 | 3,054,967 | 165,263,081 | 51,510,070 | |||||||||||||||||||||||
| — | — | — | — | — | — | 714,684,763 | — | |||||||||||||||||||||||
| 1,932,483 | 501,793 | 1,205,625 | 227,230 | 8,440,772 | 5,965,634 | 26,181,299 | 20,442,224 | |||||||||||||||||||||||
| (4,483,005 | ) | (4,902,288 | ) | (16,952,960 | ) | (28,471,182 | ) | (11,439,046 | ) | (17,658,888 | ) | (49,313,796 | ) | (8,484,281 | ) | |||||||||||||||
| 7,325,982 | (1,250,659 | ) | (13,589,154 | ) | (23,729,738 | ) | 2,243,572 | (8,638,287 | ) | 856,815,347 | 63,468,013 | |||||||||||||||||||
| 45,628,970 | (16,332,686 | ) | 49,701,745 | (54,451,115 | ) | 6,998,440 | (16,062,770 | ) | 1,024,750,116 | (27,018,762 | ) | |||||||||||||||||||
| 215,830,063 | 232,162,749 | 457,025,418 | 511,476,533 | 78,114,022 | 94,176,792 | 495,586,412 | 522,605,174 | |||||||||||||||||||||||
| $ | 261,459,033 | $ | 215,830,063 | $ | 506,727,163 | $ | 457,025,418 | $ | 85,112,462 | $ | 78,114,022 | $ | 1,520,336,528 | $ | 495,586,412 | |||||||||||||||
| $ | 2,978,816 | $ | 1,893,645 | $ | 1,985,562 | $ | 1,068,813 | $ | 907,451 | $ | 620,714 | $ | (1,101,049 | ) | $ | (97,092 | ) | |||||||||||||
| 749,716 | 238,184 | 174,975 | 364,509 | 426,594 | 240,808 | 21,091,277 | 5,715,846 | |||||||||||||||||||||||
| — | — | — | — | — | — | 91,385,735 | — | |||||||||||||||||||||||
| 149,406 | 36,760 | 102,995 | 18,241 | 769,224 | 472,525 | 3,040,817 | 2,759,006 | |||||||||||||||||||||||
| (326,697 | ) | (368,342 | ) | (1,366,776 | ) | (2,306,482 | ) | (936,931 | ) | (1,381,798 | ) | (6,170,228 | ) | (997,461 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| 572,425 | (93,398 | ) | (1,088,806 | ) | (1,923,732 | ) | 258,887 | (668,465 | ) | 109,347,601 | 7,477,391 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
325
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Partner Socially Responsible Stock Portfolio | Partner All Cap Growth Portfolio | |||||||||||||||
For the periods ended | 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 28,660 | $ | 356 | $ | 4,666 | $ | (35,294 | ) | |||||||
Net realized gains/(losses) | 396,801 | 217,579 | (52,507 | ) | 992,252 | |||||||||||
Change in net unrealized appreciation/(depreciation) | 637,520 | (398,153 | ) | 1,352,702 | (2,010,738 | ) | ||||||||||
Net Change in Net Assets Resulting From Operations | 1,062,981 | (180,218 | ) | 1,304,861 | (1,053,780 | ) | ||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (1,439 | ) | (45 | ) | — | — | ||||||||||
Total Distributions to Shareholders | (1,439 | ) | (45 | ) | — | — | ||||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 3,025,259 | 2,616,339 | 2,904,868 | 4,620,594 | ||||||||||||
Issued in connection with merger | — | — | — | — | ||||||||||||
Distributions reinvested | 1,439 | 45 | — | — | ||||||||||||
Redeemed | (1,056,501 | ) | (717,117 | ) | (4,076,845 | ) | (2,615,700 | ) | ||||||||
Total Capital Stock Transactions | 1,970,197 | 1,899,267 | (1,171,977 | ) | 2,004,894 | |||||||||||
Net Increase/(Decrease) in Net Assets | 3,031,739 | 1,719,004 | 132,884 | 951,114 | ||||||||||||
Net Assets, Beginning of Period | 6,146,291 | 4,427,287 | 12,709,501 | 11,758,387 | ||||||||||||
Net Assets, End of Period | $ | 9,178,030 | $ | 6,146,291 | $ | 12,842,385 | $ | 12,709,501 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 22,334 | $ | (5,140 | ) | $ | (1,660 | ) | $ | (6,326 | ) | |||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 265,279 | 245,680 | 277,366 | 448,817 | ||||||||||||
Issued in connection with merger | — | — | — | — | ||||||||||||
Distributions reinvested | 134 | 4 | — | — | ||||||||||||
Redeemed | (93,675 | ) | (68,601 | ) | (400,992 | ) | (257,354 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | 171,738 | 177,083 | (123,626 | ) | 191,463 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
326
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Partner All Cap Value Portfolio | Partner All Cap Portfolio | Large Cap Growth Portfolio | Partner Growth Stock Portfolio | |||||||||||||||||||||||||||
| 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | |||||||||||||||||||||||
| $ | 61,075 | $ | 43,500 | $ | 427,767 | $ | 323,914 | $ | 10,064,557 | $ | 4,960,065 | $ | 12,777 | $ | (111,777 | ) | ||||||||||||||
| 30,469 | 591,490 | 4,458,734 | 5,397,966 | 66,744,083 | 95,983,133 | 3,057,022 | 6,715,627 | |||||||||||||||||||||||
| 605,606 | (1,408,253 | ) | 2,375,425 | (8,435,631 | ) | 73,116,608 | (147,794,994 | ) | 6,273,595 | (7,257,510 | ) | |||||||||||||||||||
| 697,150 | (773,263 | ) | 7,261,926 | (2,713,751 | ) | 149,925,248 | (46,851,796 | ) | 9,343,394 | (653,660 | ) | |||||||||||||||||||
| (43,276 | ) | (44,465 | ) | (239,038 | ) | (361,337 | ) | (9,829,304 | ) | (4,952,199 | ) | — | — | |||||||||||||||||
| (43,276 | ) | (44,465 | ) | (239,038 | ) | (361,337 | ) | (9,829,304 | ) | (4,952,199 | ) | — | — | |||||||||||||||||
| 1,157,102 | 1,688,814 | 2,188,894 | 2,630,190 | 18,349,962 | 31,961,443 | 6,762,784 | 2,771,906 | |||||||||||||||||||||||
| — | — | — | — | 13,165,950 | — | — | — | |||||||||||||||||||||||
| 43,276 | 44,465 | 239,038 | 361,337 | 9,829,304 | 4,952,199 | — | — | |||||||||||||||||||||||
| (2,580,566 | ) | (1,567,521 | ) | (9,349,587 | ) | (10,971,976 | ) | (126,814,342 | ) | (163,129,043 | ) | (9,225,615 | ) | (12,445,518 | ) | |||||||||||||||
| (1,380,188 | ) | 165,758 | (6,921,655 | ) | (7,980,449 | ) | (85,469,126 | ) | (126,215,401 | ) | (2,462,831 | ) | (9,673,612 | ) | ||||||||||||||||
| (726,314 | ) | (651,970 | ) | 101,233 | (11,055,537 | ) | 54,626,818 | (178,019,396 | ) | 6,880,563 | (10,327,272 | ) | ||||||||||||||||||
| 6,705,714 | 7,357,684 | 51,368,102 | 62,423,639 | 805,283,132 | 983,302,528 | 51,099,815 | 61,427,087 | |||||||||||||||||||||||
| $ | 5,979,400 | $ | 6,705,714 | $ | 51,469,335 | $ | 51,368,102 | $ | 859,909,950 | $ | 805,283,132 | $ | 57,980,378 | $ | 51,099,815 | |||||||||||||||
| $ | 54,741 | $ | 38,289 | $ | 417,046 | $ | 284,934 | $ | 239,026 | $ | 74,149 | $ | (135 | ) | $ | (11,999 | ) | |||||||||||||
| 132,794 | 188,169 | 234,372 | 292,227 | 1,000,002 | 1,852,307 | 511,739 | 234,864 | |||||||||||||||||||||||
| — | — | — | — | 726,454 | — | — | — | |||||||||||||||||||||||
| 5,385 | 4,853 | 27,000 | 41,168 | 523,730 | 308,812 | — | — | |||||||||||||||||||||||
| (300,473 | ) | (176,547 | ) | (1,007,234 | ) | (1,242,268 | ) | (6,972,462 | ) | (9,617,541 | ) | (707,913 | ) | (1,060,071 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| (162,294 | ) | 16,475 | (745,862 | ) | (908,873 | ) | (4,722,276 | ) | (7,456,422 | ) | (196,174 | ) | (825,207 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
327
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Large Cap Value Portfolio | Large Cap Stock Portfolio | |||||||||||||||
For the periods ended | 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 14,878,742 | $ | 13,333,675 | $ | 8,194,610 | $ | 6,064,467 | ||||||||
Net realized gains/(losses) | 59,391,326 | 46,625,093 | 38,395,115 | 43,460,499 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | 55,705,117 | (84,034,835 | ) | 36,537,028 | (76,999,830 | ) | ||||||||||
Net Change in Net Assets Resulting From Operations | 129,975,185 | (24,076,067 | ) | 83,126,753 | (27,474,864 | ) | ||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (13,811,639 | ) | (178,536 | ) | (6,228,672 | ) | (72,332 | ) | ||||||||
From net realized gains | — | — | — | — | ||||||||||||
Total Distributions to Shareholders | (13,811,639 | ) | (178,536 | ) | (6,228,672 | ) | (72,332 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 3,612,354 | 5,504,321 | 3,768,385 | 4,646,041 | ||||||||||||
Distributions reinvested | 13,811,639 | 178,536 | 6,228,672 | 72,332 | ||||||||||||
Redeemed | (32,998,939 | ) | (40,657,075 | ) | (30,211,843 | ) | (39,602,993 | ) | ||||||||
Total Capital Stock Transactions | (15,574,946 | ) | (34,974,218 | ) | (20,214,786 | ) | (34,884,620 | ) | ||||||||
Net Increase/(Decrease) in Net Assets | 100,588,600 | (59,228,821 | ) | 56,683,295 | (62,431,816 | ) | ||||||||||
Net Assets, Beginning of Period | 752,054,276 | 811,283,097 | 565,849,587 | 628,281,403 | ||||||||||||
Net Assets, End of Period | $ | 852,642,876 | $ | 752,054,276 | $ | 622,532,882 | $ | 565,849,587 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 14,255,729 | $ | 13,258,241 | $ | 7,673,785 | $ | 5,991,140 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 319,781 | 512,876 | 423,296 | 549,110 | ||||||||||||
Distributions reinvested | 1,310,837 | 16,597 | 740,090 | 8,524 | ||||||||||||
Redeemed | (2,926,037 | ) | (3,805,123 | ) | (3,403,764 | ) | (4,701,845 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | (1,295,419 | ) | (3,275,650 | ) | (2,240,378 | ) | (4,144,211 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
328
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Large Cap Index Portfolio | Equity Income Plus Portfolio | Balanced Portfolio | High Yield Portfolio | |||||||||||||||||||||||||||
| 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | |||||||||||||||||||||||
| $ | 5,795,386 | $ | 5,238,643 | $ | 2,506,069 | $ | 1,521,680 | $ | 4,713,023 | $ | 5,287,379 | $ | 60,057,759 | $ | 60,932,423 | |||||||||||||||
| 6,997,926 | 3,778,704 | 4,384,714 | 2,864,212 | 7,532,152 | 7,334,674 | 12,462,614 | 20,999,442 | |||||||||||||||||||||||
| 31,083,495 | (3,129,196 | ) | 4,835,476 | (6,856,731 | ) | 16,375,928 | (1,963,279 | ) | 53,864,145 | (45,857,753 | ) | |||||||||||||||||||
| 43,876,807 | 5,888,151 | 11,726,259 | (2,470,839 | ) | 28,621,103 | 10,658,774 | 126,384,518 | 36,074,112 | ||||||||||||||||||||||
| (5,141,254 | ) | (5,204,623 | ) | (1,466,534 | ) | (238,167 | ) | (5,235,804 | ) | (5,741,540 | ) | (59,938,400 | ) | (60,572,233 | ) | |||||||||||||||
| — | — | — | — | (7,316,452 | ) | (8,517,319 | ) | — | — | |||||||||||||||||||||
| (5,141,254 | ) | (5,204,623 | ) | (1,466,534 | ) | (238,167 | ) | (12,552,256 | ) | (14,258,859 | ) | (59,938,400 | ) | (60,572,233 | ) | |||||||||||||||
| 13,848,652 | 6,327,864 | 8,303,970 | 17,179,648 | 8,546,000 | 8,642,974 | 73,539,161 | 80,264,421 | |||||||||||||||||||||||
| 5,141,254 | 5,204,623 | 1,466,534 | 238,167 | 12,552,256 | 14,258,859 | 59,938,400 | 60,572,233 | |||||||||||||||||||||||
| (45,042,319 | ) | (52,460,205 | ) | (6,047,114 | ) | (2,933,661 | ) | (38,355,197 | ) | (49,372,777 | ) | (73,552,537 | ) | (120,800,753 | ) | |||||||||||||||
| (26,052,413 | ) | (40,927,718 | ) | 3,723,390 | 14,484,154 | (17,256,941 | ) | (26,470,944 | ) | 59,925,024 | 20,035,901 | |||||||||||||||||||
| 12,683,140 | (40,244,190 | ) | 13,983,115 | 11,775,148 | (1,188,094 | ) | (30,071,029 | ) | 126,371,142 | (4,462,220 | ) | |||||||||||||||||||
| 291,285,301 | 331,529,491 | 88,077,819 | 76,302,671 | 240,522,040 | 270,593,069 | 778,526,281 | 782,988,501 | |||||||||||||||||||||||
| $ | 303,968,441 | $ | 291,285,301 | $ | 102,060,934 | $ | 88,077,819 | $ | 239,333,946 | $ | 240,522,040 | $ | 904,897,423 | $ | 778,526,281 | |||||||||||||||
| $ | 5,723,096 | $ | 5,168,346 | $ | 2,498,070 | $ | 1,497,783 | $ | 4,638,843 | $ | 5,214,816 | $ | 517,132 | $ | 431,283 | |||||||||||||||
| 715,568 | 356,181 | 871,505 | 1,868,977 | 560,304 | 582,865 | 14,986,031 | 16,614,795 | |||||||||||||||||||||||
| 277,975 | 294,086 | 161,241 | 25,758 | 868,290 | 999,857 | 12,257,003 | 12,711,981 | |||||||||||||||||||||||
| (2,322,549 | ) | (2,925,178 | ) | (631,949 | ) | (322,694 | ) | (2,519,201 | ) | (3,360,829 | ) | (15,027,427 | ) | (25,047,046 | ) | |||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| (1,329,006 | ) | (2,274,911 | ) | 400,797 | 1,572,041 | (1,090,607 | ) | (1,778,107 | ) | 12,215,607 | 4,279,730 | |||||||||||||||||||
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
329
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Diversified Income Plus Portfolio | Income Portfolio | |||||||||||||||
For the periods ended | 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 7,433,610 | $ | 5,703,186 | $ | 59,355,156 | $ | 64,042,746 | ||||||||
Net realized gains/(losses) | 5,431,147 | 3,123,792 | 21,416,296 | 27,762,211 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | 7,417,838 | (6,384,519 | ) | 79,186,541 | (11,245,943 | ) | ||||||||||
Net Change in Net Assets Resulting From Operations | 20,282,595 | 2,442,459 | 159,957,993 | 80,559,014 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (5,452,096 | ) | (5,830,693 | ) | (59,012,268 | ) | (63,413,810 | ) | ||||||||
From net realized gains | — | — | — | — | ||||||||||||
Total Distributions to Shareholders | (5,452,096 | ) | (5,830,693 | ) | (59,012,268 | ) | (63,413,810 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 85,753,163 | 26,678,361 | 54,891,014 | 165,217,508 | ||||||||||||
Issued in connection with merger | 13,296,211 | — | 12,259,837 | — | ||||||||||||
Distributions reinvested | 5,452,096 | 5,830,693 | 59,012,268 | 63,413,810 | ||||||||||||
Redeemed | (8,018,198 | ) | (16,736,539 | ) | (114,278,014 | ) | (104,919,017 | ) | ||||||||
Total Capital Stock Transactions | 96,483,272 | 15,772,515 | 11,885,105 | 123,712,301 | ||||||||||||
Net Increase/(Decrease) in Net Assets | 111,313,771 | 12,384,281 | 112,830,830 | 140,857,505 | ||||||||||||
Net Assets, Beginning of Period | 118,392,924 | 106,008,643 | 1,463,069,461 | 1,322,211,956 | ||||||||||||
Net Assets, End of Period | $ | 229,706,695 | $ | 118,392,924 | $ | 1,575,900,291 | $ | 1,463,069,461 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 7,441,509 | $ | 5,453,179 | $ | (117,619 | ) | $ | 117,953 | |||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 12,155,398 | 3,954,790 | 5,192,291 | 16,387,092 | ||||||||||||
Issued in connection with merger | 1,916,798 | — | 1,157,709 | — | ||||||||||||
Distributions reinvested | 810,540 | 888,202 | 5,624,140 | 6,298,371 | ||||||||||||
Redeemed | (1,152,437 | ) | (2,502,061 | ) | (10,754,836 | ) | (10,426,939 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | 13,730,299 | 2,340,931 | 1,219,304 | 12,258,524 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
330
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Bond Index Portfolio | Limited Maturity Bond Portfolio | Mortgage Securities Portfolio | Money Market Portfolio | |||||||||||||||||||||||||||
| 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | |||||||||||||||||||||||
| $ | 3,415,714 | $ | 4,471,690 | $ | 22,937,220 | $ | 33,286,629 | $ | 532,342 | $ | 955,653 | $ | (2,651 | ) | $ | (3,050 | ) | |||||||||||||
| 5,418,206 | 2,271,157 | (273,553 | ) | (2,036,487 | ) | 312,006 | 947,926 | 2,651 | 3,050 | |||||||||||||||||||||
| (707,132 | ) | 5,624,220 | 35,192,742 | (19,900,581 | ) | 1,152,966 | (438,737 | ) | — | — | ||||||||||||||||||||
| 8,126,788 | 12,367,067 | 57,856,409 | 11,349,561 | 1,997,314 | 1,464,842 | — | — | |||||||||||||||||||||||
| (3,444,671 | ) | (4,452,733 | ) | (22,206,345 | ) | (32,036,799 | ) | (535,537 | ) | (954,571 | ) | — | — | |||||||||||||||||
| (2,019,243 | ) | (996,560 | ) | — | — | (801,702 | ) | (126,365 | ) | — | — | |||||||||||||||||||
| (5,463,914 | ) | (5,449,293 | ) | (22,206,345 | ) | (32,036,799 | ) | (1,337,239 | ) | (1,080,936 | ) | — | — | |||||||||||||||||
| 35,179,446 | 23,741,777 | 57,975,655 | 235,573,770 | 8,238,613 | 4,387,941 | 71,091,075 | 111,357,087 | |||||||||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| 5,463,914 | 5,449,293 | 22,206,345 | 32,036,799 | 1,337,239 | 1,080,936 | — | — | |||||||||||||||||||||||
| (22,306,399 | ) | (33,033,339 | ) | (413,650,797 | ) | (67,825,943 | ) | (5,385,708 | ) | (6,958,496 | ) | (93,288,632 | ) | (112,663,789 | ) | |||||||||||||||
| 18,336,961 | (3,842,269 | ) | (333,468,797 | ) | 199,784,626 | 4,190,144 | (1,489,619 | ) | (22,197,557 | ) | (1,306,702 | ) | ||||||||||||||||||
| 20,999,835 | 3,075,505 | (297,818,733 | ) | 179,097,388 | 4,850,219 | (1,105,713 | ) | (22,197,557 | ) | (1,306,702 | ) | |||||||||||||||||||
| 164,462,335 | 161,386,830 | 1,497,832,401 | 1,318,735,013 | 32,422,328 | 33,528,041 | 170,459,881 | 171,766,583 | |||||||||||||||||||||||
| $ | 185,462,170 | $ | 164,462,335 | $ | 1,200,013,668 | $ | 1,497,832,401 | $ | 37,272,547 | $ | 32,422,328 | $ | 148,262,324 | $ | 170,459,881 | |||||||||||||||
| $ | (602 | ) | $ | 28,355 | $ | (127,052 | ) | $ | (327,345 | ) | $ | 753 | $ | 1,082 | $ | — | $ | — | ||||||||||||
| 3,102,653 | 2,152,749 | 5,878,889 | 23,994,742 | 780,204 | 421,586 | 71,091,075 | 111,357,087 | |||||||||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| 483,506 | 498,530 | 2,260,994 | 3,270,092 | 128,037 | 103,802 | — | — | |||||||||||||||||||||||
| (1,972,935 | ) | (3,029,092 | ) | (42,087,461 | ) | (6,938,394 | ) | (510,447 | ) | (668,997 | ) | (93,288,632 | ) | (112,663,789 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| 1,613,224 | (377,813 | ) | (33,947,578 | ) | 20,326,440 | 397,794 | (143,609 | ) | (22,197,557 | ) | (1,306,702 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
331
Thrivent Series Fund, Inc.
December 31, 2012
(1) ORGANIZATION
Thrivent Series Fund, Inc. (the “Fund”), a company organized under the laws of Minnesota, is registered under the Investment Company Act of 1940 (the “1940 Act”). The Fund is divided into thirty-six separate series (each, a “Portfolio”), each with its own investment objective and policies. The Fund consists of four asset allocation portfolios, twenty-four equity portfolios, two hybrid portfolios, five fixed-income portfolios, and one money market portfolio. The assets of each Portfolio are segregated, and each has a separate class of capital stock.
Shares in the Fund are currently sold, without sales charges, only to retirement plans sponsored by Thrivent Financial for Lutherans (“Thrivent Financial” or the “Adviser”) or separate accounts of Thrivent Financial or Thrivent Life Insurance Company (“Thrivent Life”), which are used to fund benefits of variable life insurance and variable annuity contracts issued by Thrivent Financial and Thrivent Life.
Under the Fund’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts with service providers and others that provide general damage clauses. The Fund’s maximum exposure under these contracts is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
(A) Fund Mergers – At a meeting held on July 13, 2012, shareholders of Thrivent Partner Utilities Portfolio, Thrivent Mid Cap Growth Portfolio II, Thrivent Large Cap Growth Portfolio II, Thrivent Partner International Stock Portfolio and Thrivent Partner Socially Responsible Bond Portfolio (the “Target Funds”) approved the merger of the Target Funds into the Portfolios shown below (the “Acquiring Funds”).
Target Funds | Acquiring Funds | |||
| Partner Utilities | > | Diversified Income Plus | ||
| Mid Cap Growth II | > | Mid Cap Growth | ||
| Large Cap Growth II | > | Large Cap Growth | ||
| Partner International Stock | > | Partner Worldwide Allocation | ||
| Partner Socially Responsible Bond | > | Income |
The mergers occurred at the close of business on July 27, 2012. Acquisition of the assets and liabilities of the Target Funds by the Acquiring Funds were followed by the distribution of the Acquiring Funds shares to the Target Funds’ shareholders. The shares issued of the Acquiring Fund are disclosed in the Statement of Changes in Net Assets.
The mergers were accomplished by tax free exchanges as detailed below:
Fund | Description | Net Assets as of July 27, 2012 | ||||
Diversified Income Plus | Acquiring Fund | $ | 158,364,566 | |||
Partner Utilities | Target Fund | $ | 13,296,211 | |||
Diversified Income Plus | After Acquisition | $ | 171,660,777 | |||
Mid Cap Growth | Acquiring Fund | $ | 349,852,903 | |||
Mid Cap Growth II | Target Fund | $ | 16,995,076 | |||
Mid Cap Growth | After Acquisition | $ | 366,847,979 | |||
Large Cap Growth | Acquiring Fund | $ | 852,713,666 | |||
Large Cap Growth II | Target Fund | $ | 13,165,950 | |||
Large Cap Growth | After Acquisition | $ | 865,879,616 | |||
Partner Worldwide Allocation | Acquiring Fund | $ | 659,297,181 | |||
Partner International Stock | Target Fund | $ | 714,684,763 | |||
Partner Worldwide Allocation | After Acquisition | $ | 1,373,981,944 | |||
Income | Acquiring Fund | $ | 1,556,630,051 | |||
Partner Socially Responsible Bond | Target Fund | $ | 12,259,837 | |||
Income | After Acquisition | $ | 1,568,889,888 | |||
332
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2012
As of July 27, 2012, the net assets of the Target Funds were comprised of the following:
Target Fund | Unrealized Appreciation/ (Depreciation) | Undistributed Net Investment Income | Accumulated Net Realized Gains/ (Losses) | Capital Stock | ||||||||||||
Partner Utilities | $ | 1,883,202 | $ | (4,232 | ) | $ | (917,265 | ) | $ | 12,334,506 | ||||||
Mid Cap Growth II | $ | 1,078,229 | $ | (112,317 | ) | $ | 88,699 | $ | 15,940,465 | |||||||
Large Cap Growth II | $ | 787,265 | $ | (45,540 | ) | $ | (206,932 | ) | $ | 12,631,157 | ||||||
Partner International Stock | $ | (62,673,861 | ) | $ | (496,723 | ) | $ | (259,023,355 | ) | $ | 1,036,878,702 | |||||
Partner Socially Responsible Bond | $ | 377,723 | $ | (6,546 | ) | $ | (2,834 | ) | $ | 11,891,494 | ||||||
The Target Funds’ capital loss carryovers are carried over to the Acquiring Funds. The amounts and applicable limitations are disclosed in Note (4) Tax Information.
Assuming the mergers had been completed on January 1, 2012 the Acquiring Funds’ pro-forma results of operations for the year ended December 31, 2012 would be the following:
Acquiring Fund | Net Change in Unrealized Appreciation/ (Depreciation) | Net Investment Income | Net Gains/(Losses) on Investments | Net Increase in Net Assets from Operations | ||||||||||||
Diversified Income Plus | $ | 8,438,199 | $ | 7,821,332 | $ | 5,168,712 | $ | 21,428,243 | ||||||||
Mid Cap Growth | $ | 13,240,804 | $ | 1,428,321 | $ | 28,777,942 | $ | 43,447,067 | ||||||||
Large Cap Growth | $ | 74,772,202 | $ | 10,147,091 | $ | 66,537,151 | $ | 151,456,444 | ||||||||
Partner Worldwide Allocation | $ | 187,852,385 | $ | 34,324,175 | $ | (1,073,755 | ) | $ | 221,102,805 | |||||||
Income | $ | 79,449,288 | $ | 59,500,023 | $ | 21,596,025 | $ | 160,545,336 | ||||||||
The financial statements reflect the operations of the Funds for the period prior to the merger and the combined funds for the period subsequent to the mergers. Because the combined investment portfolios have been managed as a single integrated portfolio since the mergers were completed, it is not practicable to separate the amounts of revenue and earnings of Thrivent Partner International Stock Portfolio, Thrivent Partner Utilities Portfolio, Thrivent Partner Socially Responsible Bond Portfolio, Thrivent Large Cap Growth Portfolio II and Thrivent Mid Cap Growth Portfolio II that have been included in the combined Fund’s Statement of Operations since the mergers were completed.
(2) SIGNIFICANT ACCOUNTING POLICIES
(A) Valuation of Investments – Securities traded on U.S. or foreign securities exchanges or included in a national market system are valued at the official closing price at the close of each business day unless otherwise stated below. Over-the-counter securities and listed securities for which no price is readily available are valued at the current bid price considered best to represent the value at that time. Swap agreements are valued at the fair value of the contract as furnished by an independent pricing service. Security prices are based on quotes that are obtained from an independent pricing service approved by the Board of Directors (the “Board”). The pricing service, in determining values of fixed-income securities, takes into consideration such factors as current quotations by broker/dealers, coupon, maturity, quality, type of issue, trading characteristics, and other yield and risk factors it deems relevant in determining valuations. Securities which cannot be valued by the approved pricing service are valued using valuations obtained from dealers that make markets in the securities. Exchange-listed options and futures contracts are valued at the last quoted sales price. Investments in open-ended mutual funds are valued at their net asset value at the close of each business day. Short-term securities are valued at amortized cost (which approximates market value) to the extent it is not materially different than market value.
Securities held by Money Market Portfolio are valued on the basis of amortized cost, whereby a portfolio security is valued at its cost initially and thereafter valued to reflect a constant amortization to maturity of any discount or premium. Money Market Portfolio and the Adviser follow procedures necessary to maintain a constant net asset value of $1.00 per share.
The Board has delegated responsibility for daily valuation to the Adviser, which has formed a Portfolio Compliance and Valuation Committee (“Committee”) that is responsible for overseeing the Portfolios’ valuation policies in accordance with Policies and Procedures. The Committee meets on a monthly and on an as-needed basis to review, among other things, price challenges, price overrides, stale prices, shadow prices, manual prices, money market pricing, international fair valuation, and other securities requiring fair valuation.
333
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2012
The Committee monitors for significant events occurring prior to the close of trading on the New York Stock Exchange that could have a material impact on the value of any securities that are held by the Portfolios. Examples of such events include trading halts, national news/events, and issuer-specific developments. If the Committee decides that such events warrant using fair value estimates, the Committee will take such events into consideration in determining the fair value of such securities. If market quotations or prices are not readily available or determined to be unreliable, the securities will be valued at fair value as determined in good faith pursuant to procedures adopted by the Board.
Financial Accounting Standards Board (FASB) guidelines require increased fair value disclosure intended to improve the consistency and comparability of fair value measurements used in financial reporting. The guidelines define fair value, establish a framework for measuring fair value in U.S. Generally Accepted Accounting Principles (“GAAP”) and expand disclosures about fair value requirements. The various inputs used to determine the fair value of the Portfolios’ investments are summarized in three broad levels: Level 1 includes quoted prices in active markets for identical securities, typically categorized in this level are U.S. equity securities, futures and options; Level 2 includes other significant observable inputs such as quoted prices for similar securities, interest rates, prepayment speeds and credit risk, typically categorized in this level are fixed income securities, international equity securities, swaps and forward contracts; and Level 3 includes significant unobservable inputs such as the Adviser’s own assumptions and broker evaluations in determining the fair value of investments. Of the Level 3 securities, those for which market values were not readily available or were deemed unreliable were fair valued as determined in good faith under procedures established by the Board. As of December 31, 2012, the following Portfolios held these types of Level 3 securities:
Portfolio | Number of Securities | Percent of Portfolio’s Net Assets | ||||||
Partner Worldwide Allocation | 6 | 0.27 | % | |||||
Partner Growth Stock | 10 | 0.22 | % | |||||
Balanced | 1 | <0.01 | % | |||||
High Yield | 1 | <0.01 | % | |||||
Bond Index | 1 | <0.01 | % | |||||
Limited Maturity Bond | 1 | 0.25 | % | |||||
The valuation levels are not necessarily an indication of the risk associated with investing in these securities or other investments.
Valuation of International Securities – Because many foreign markets close before the U.S. markets, events may occur between the close of the foreign market and the close of the U.S. markets that could have a material impact on the valuation of foreign securities. The Portfolios, under the supervision of the Board, evaluate the impacts of these events and may adjust the valuation of foreign securities to reflect the fair value as of the close of the U.S. markets. The Board has authorized the Adviser to make fair valuation determinations pursuant to policies approved by the Board.
(B) Foreign Currency Translation – The accounting records of each Portfolio are maintained in U.S. dollars. Securities and other assets and liabilities that are denominated in foreign currencies are translated into U.S. dollars at the daily closing rates of exchange.
Foreign currency amounts related to the purchase or sale of securities and income and expenses are translated at the exchange rate on the transaction date. Net realized and unrealized currency gains and losses are recorded from sales of foreign currency, exchange gains or losses between the trade date and settlement dates on securities transactions, and other translation gains or losses on dividends, interest income and foreign withholding taxes. The Portfolios do not separately report the effect of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized and unrealized gain or loss from investments in the Statement of Operations.
For federal income tax purposes, the Portfolios treat the effect of changes in foreign exchange rates arising from actual foreign currency transactions and the changes in foreign exchange rates between the trade date and settlement date as ordinary income.
(C) Foreign Currency Forward Contracts – In connection with purchases and sales of securities denominated in foreign currencies all Portfolios, except Money Market Portfolio, may enter into foreign currency forward contracts. Additionally, the Portfolios may enter into such contracts to hedge certain other foreign-currency-denominated investments. These contracts are recorded at value and the related realized and unrealized foreign exchange gains and losses are included in the Statement of Operations. In the event that counterparties fail to settle these forward contracts, the Portfolios could be exposed to foreign currency fluctuations. Foreign currency contracts are valued daily and unrealized appreciation or depreciation is recorded daily as the difference between the contract exchange rate and the closing forward rate applied to the face amount of the contract. A realized gain or loss is recorded at the time a forward contract is closed. These contracts are over-the-counter and the Portfolio is exposed to counterparty risk equal to the discounted net amount of payments to the Portfolio. This risk is partially mitigated by the Portfolio’s collateral posting requirements.
(D) Foreign Denominated Investments – Foreign denominated assets and currency contracts may involve more risks than domestic transactions including currency risk, political and economic risk, regulatory risk, and market risk. Certain Portfolios may also invest in securities of companies located in emerging markets. Future economic or political developments could adversely affect the liquidity or value, or both, of such securities.
334
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2012
(E) Federal Income Taxes – No provision has been made for income taxes because each Portfolio’s policy is to qualify as a regulated investment company under the Internal Revenue Code and distribute substantially all investment company taxable income and net capital gain on a timely basis. It is also the intention of each Portfolio to distribute an amount sufficient to avoid imposition of any federal excise tax. The Portfolios, accordingly, anticipate paying no federal taxes and no federal tax provision was recorded. Each Portfolio is treated as a separate taxable entity for federal income tax purposes. Certain Portfolios may utilize earnings and profits distributed to shareholders on the redemption of shares as part of the dividends paid deduction.
GAAP requires management of the Portfolios (i.e., the Adviser) to make additional tax disclosures with respect to the tax effects of certain income tax positions, whether those positions were taken on previously filed tax returns or are expected to be taken on future returns. These positions must meet a “more likely than not” standard that, based on the technical merits of the position, would have a greater than 50 percent likelihood of being sustained upon examination. In evaluating whether a tax position has met the more-likely-than-not recognition threshold, the Adviser must presume that the position will be examined by the appropriate taxing authority that has full knowledge of all relevant information.
The Adviser analyzed all open tax years, as defined by the statute of limitations, for all major jurisdictions. Open tax years are those that are open for examination by taxing authorities. Major jurisdictions for the Portfolios include U.S. Federal, Minnesota, and Wisconsin, as well as certain foreign countries. As of December 31, 2012, open U.S. Federal, Minnesota, and Wisconsin tax years include the tax years ended December 31, 2009 through 2012. Additionally, as of December 31, 2012, the tax year ended December 31, 2008 is open for Wisconsin. The Portfolios have no examinations in progress and none are expected at this time.
As of December 31, 2012, the Adviser has reviewed all open tax years and major jurisdictions and concluded that there is no effect to the Portfolios’ tax liability, financial position or results of operations. There is no tax liability resulting from unrecognized tax benefits related to uncertain income tax positions taken or expected to be taken in future tax returns. The Portfolios are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months.
Foreign Income Taxes – Certain Portfolios are subject to foreign income taxes imposed by certain countries in which they invest. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates. These amounts are shown as foreign dividend tax withholding on the Statement of Operations. The Portfolios pay tax on foreign capital gains, where applicable.
(F) Expenses and Income – Estimated expenses are accrued daily. The Portfolios are charged for those expenses that are directly attributable to them. Expenses that are not directly attributable to a Portfolio are allocated among all appropriate Portfolios in proportion to their respective net assets, number of shareholder accounts or other reasonable basis.
Interest income is accrued daily including accretion of market discount and original issue discount and amortization of premium. Paydown gains and losses on mortgage- and asset-backed securities are recorded as components of interest income. Dividend income is recorded on the ex-dividend date.
For certain securities, including real estate investment trusts, the Fund records distributions received in excess of income as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available. Actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Fund adjusts the estimated amounts of the components of distributions as adjustments to investment income, unrealized appreciation/depreciation and realized gain/loss on investments as necessary, once the issuers provide information about the actual composition of the distributions.
(G) Custody Earnings Credit – The Portfolios have a deposit arrangement with the custodian whereby interest earned on uninvested cash balances is used to pay a portion of custodian fees. This deposit arrangement is an alternative to overnight investments. Earnings credits are shown as a reduction of total expenses on the Statement of Operations.
(H) Distributions to Shareholders – Dividends and capital gain distributions are recorded on the ex-dividend date. With the exception of Money Market Portfolio, net realized gains from securities transactions, if any, are paid at least annually after the close of the fiscal year. Any Portfolio subject to excise tax would require an additional distribution prior to the close of the fiscal year.
Dividends are declared and reinvested daily for High Yield Portfolio, Income Portfolio, Bond Index Portfolio, Limited Maturity Bond Portfolio and Mortgage Securities Portfolio; declared daily and reinvested monthly for Money Market Portfolio; and declared and reinvested at least annually for all other Portfolios.
(I) Options – All Portfolios, with the exception of Money Market Portfolio, may buy put and call options and write put and covered call options. The Portfolios intend to use such derivative instruments as hedges to facilitate buying or selling securities or to provide protection against adverse movements in security prices or interest rates. The Portfolios may also enter into options contracts to protect against adverse foreign exchange rate fluctuations. Option contracts are valued daily and unrealized appreciation or depreciation is recorded. A Portfolio will realize a gain or loss upon expiration or closing of the option transaction. When an option is exercised, the proceeds upon sale for a written call option or the cost of a security for purchased put and call options is adjusted by the amount of premium received or paid.
335
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2012
Buying put options tends to decrease a Portfolio’s exposure to the underlying security while buying call options tends to increase a Portfolio’s exposure to the underlying security. The risk associated with purchasing put and call options is limited to the premium paid. There is no significant counterparty risk on exchange-traded options as the exchange guarantees the contract against default. Writing put options tends to increase a Portfolio’s exposure to the underlying security while writing call options tends to decrease a Portfolio’s exposure to the underlying security. The writer of an option has no control over whether the underlying security may be bought or sold, and therefore bears the market risk of an unfavorable change in the price of the underlying security. The counterparty risk for purchased options arises when the Portfolio has purchased an option, exercises that option, and the counterparty doesn’t buy from the Portfolio or sell to the Portfolio the underlying asset as required. In the case where the Portfolio has written an option, the Portfolio doesn’t have counterparty risk. Counterparty risk on purchased over-the-counter options is partially mitigated by the Portfolio’s collateral posting requirements. As the option increases in value to the Portfolio, the Portfolio receives collateral from the counterparty. Risks of loss may exceed amounts recognized on the Statement of Assets and Liabilities.
(J) Futures Contracts – Certain Portfolios may use futures contracts to manage the exposure to interest rate and market or currency fluctuations. Gains or losses on futures contracts can offset changes in the yield of securities. When a futures contract is opened, cash or other investments equal to the required “initial margin deposit” are held on deposit with and pledged to the broker. Additional securities held by the Portfolios may be earmarked to cover open futures contracts. The futures contract’s daily change in value (“variation margin”) is either paid to or received from the broker, and is recorded as an unrealized gain or loss. When the contract is closed, realized gain or loss is recorded equal to the difference between the value of the contract when opened and the value of the contract when closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Exchange-traded futures have no significant counterparty risk as the exchange guarantees the contracts against default.
(K) Swap Agreements – Certain Portfolios enter into swap transactions, which involve swapping one or more investment characteristics of a security or a basket of securities with another party. Such transactions include market risk, risk of default by the other party to the transaction, risk of imperfect correlation and manager risk and may involve commissions or other costs. Swap transactions generally do not involve delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to swap transactions is generally limited to the net amount of payments that the Portfolio is contractually obligated to make, or in the case of the counterparty defaulting, the net amount of payments that the Portfolio is contractually entitled to receive. Risks of loss may exceed amounts recognized on the Statement of Assets and Liabilities. If there is a default by the counterparty, the Portfolio may have contractual remedies pursuant to the agreements related to the transaction. The contracts are valued daily and unrealized appreciation or depreciation is recorded. Swap agreements are valued at fair value of the contract as provided by an independent pricing service. The pricing service takes into account such factors as swap curves, default probabilities, recent trades, recovery rates and other factors it deems relevant in determining valuations. The Portfolio accrues for the periodic payment and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount recorded as realized gains or losses on the Statement of Operations. Receipts and payments received or made as a result of a credit event or termination of the contract are also recognized as realized gains or losses on the Statement of Operations. Collateral, in the form of cash or securities, may be required to be held with the Portfolio’s custodian, or a third party, in connection with these agreements. These swap agreements are over-the-counter and the Portfolio is exposed to counterparty risk, which is the discounted net amount of payments owed to the Portfolio. This risk is partially mitigated by the Portfolio’s collateral posting requirements. As the swap increases in value to the Portfolio, the Portfolio receives collateral from the counterparty.
Credit Default Swaps – A credit default swap is a swap agreement between two parties to exchange the credit risk of a particular issuer, basket of securities or reference entity. In a credit default swap transaction, a buyer pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. The seller collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. A buyer of a credit default swap is said to buy protection whereas a seller of a credit default swap is said to sell protection. The Portfolios may be either the protection buyer or the protection seller.
Certain Portfolios enter into credit default derivative contracts directly through credit default swaps (CDS) or through credit default swap indices (CDX Indices). CDX Indices are static pools of equally weighted credit default swaps referencing corporate bonds and/or loans designed to provide diversified credit exposure to these asset classes. Portfolios sell default protection and assume long-risk positions in individual credits or indices. Index positions are entered into to gain exposure to the corporate bond and/or loan markets in a cost-efficient and diversified structure. In the event that a position defaults, by going into bankruptcy and failing to pay interest or principal on borrowed money, within any given CDX Index held, the maximum potential amount of future payments required would be equal to the pro-rata share of that position within the index based on the notional amount of the index. In the event of a default under a CDS contract, the maximum potential amount of future payments would be the notional amount. For CDS, the default events could be bankruptcy and failing to pay interest or
336
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2012
principal on borrowed money or a restructuring. A restructuring is a change in the underlying obligations which would include reduction in interest or principal, maturity extension and subordination to other obligations. Refer to the credit default swap tables located within the Portfolios’ Schedules of Investments for additional information as of December 31, 2012.
(L) Mortgage Dollar Roll Transactions – Certain Portfolios enter into dollar roll transactions on securities issued or to be issued by the Government National Mortgage Association, Federal National Mortgage Association and Federal Home Loan Mortgage Corporation, in which the Portfolios transfer mortgage securities to a counterparty and simultaneously agree to the return of similar (same type and coupon) securities at a later date at an agreed upon price. The Portfolios maintain liquid securities having a value not less than the agreed upon price (including accrued interest) for such dollar rolls. The value of the securities that the Portfolios are required to accept on return may decline below the agreed upon price of those securities.
During the term of the agreement, the Portfolios forgo principal and interest paid on the mortgage securities transferred. The Portfolios are compensated from negotiated fees paid by brokers offered as an inducement to the Portfolios to “roll over” their commitments, thus enhancing the yield. Mortgage dollar rolls may be renewed with a new return date and agreed upon price and a cash settlement made on settlement date without physical delivery of the securities subject to the contract. The fees received are recognized over the roll period and are included in Income from mortgage dollar rolls in the Statement of Operations. The recognition of the gains/losses are deferred until the closing of the roll and are included in Net realized gains/(losses) in the Statement of Operations.
(M) Securities Lending – The Fund has entered into a Securities Lending Agreement (the “Agreement”) with Deutsche Bank AG (“Deutsche”). The Agreement authorizes Deutsche to lend securities to authorized borrowers on behalf of the Portfolios. Pursuant to the Agreement, all loaned securities are initially collateralized by cash equal to at least 102% of the value of the loaned securities. All cash collateral received is invested in Thrivent Cash Management Trust. The Portfolios receive dividends and interest that would have been earned on the securities loaned while simultaneously seeking to earn income on the investment of cash collateral. Amounts earned on investments in Thrivent Cash Management Trust, net of rebates, fees paid to Deutsche for services provided and any other securities lending expenses, are included in Income from securities loaned on the Statement of Operations. By investing any cash collateral it receives in these transactions, a Portfolio could realize additional gains or losses. If the borrower fails to return the securities or the invested collateral has declined in value, the Portfolio could lose money.
During the year ended December 31, 2012, all Portfolios except Aggressive Allocation Portfolio, Partner Healthcare Portfolio, Real Estate Securities Portfolio, Partner Socially Responsible Stock Portfolio, Partner All Cap Growth Portfolio, Partner All Cap Value Portfolio, Large Cap Growth Portfolio, Large Cap Stock Portfolio, Mortgage Securities Portfolio and Money Market Portfolio had securities on loan. As of December 31, 2012, the value of securities on loan is as follows:
Portfolio | Securities on Loan | |||
Moderately Aggressive Allocation | $ | 34,684,037 | ||
Moderate Allocation | 46,472,747 | |||
Moderately Conservative Allocation | 23,982,499 | |||
Partner Technology | 2,865,516 | |||
Natural Resources | 3,250,234 | |||
Partner Emerging Markets Equity | 1,985,636 | |||
Partner Small Cap Growth | 25,571,590 | |||
Partner Small Cap Value | 6,296,926 | |||
Small Cap Stock | 14,649,292 | |||
Small Cap Index | 11,511,274 | |||
Mid Cap Growth | 4,975,148 | |||
Partner Mid Cap Value | 7,703,099 | |||
Mid Cap Stock | 33,371,243 | |||
Mid Cap Index | 2,736,338 | |||
Partner Worldwide Allocation | 33,456,152 | |||
Partner All Cap | 822,903 | |||
Partner Growth Stock | 305,493 | |||
Large Cap Value | 9,379,670 | |||
Large Cap Index | 1,486,051 | |||
Equity Income Plus | 6,185,796 | |||
Balanced | 996,076 | |||
High Yield | 45,282,903 | |||
Diversified Income Plus | 2,608,059 | |||
Income | 14,131,309 | |||
Bond Index | 1,241,616 | |||
Limited Maturity Bond | 10,253,079 | |||
(N) When Issued and Delayed Delivery Transactions – Certain Portfolios may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by a Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, a Portfolio will designate liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, a Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. A Portfolio may dispose of a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When a Portfolio has sold a security on a delayed delivery basis, a Portfolio does not participate in future gains and losses with respect to the security.
(O) Treasury Inflation Protected Securities – Certain Portfolios may invest in treasury inflation protected securities (TIPS). These securities are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate is generally fixed at issuance. Interest is paid based on the principal value, which is adjusted for inflation. Any increase in the principal amount will be included as taxable interest in the Statement of Operations and received upon maturity or sale of the security.
337
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2012
(P) Repurchase Agreements – Each Portfolio may engage in repurchase agreement transactions in pursuit of its investment objective. A repurchase agreement consists of a purchase and a simultaneous agreement to resell an investment for later delivery at an agreed upon price and rate of interest. The Portfolio uses a third-party custodian to maintain the collateral. If the original seller of a security subject to a repurchase agreement fails to repurchase the security at the agreed upon time, the Portfolio could incur a loss due to a drop in the value of the security during the time it takes the Portfolio to either sell the security or take action to enforce the original seller’s agreement to repurchase the security. Also, if a defaulting original seller filed for bankruptcy or became insolvent, disposition of such security might be delayed by pending legal action. The Portfolio may only enter into repurchase agreements with banks and other recognized financial institutions such as broker/dealers that are found by the Adviser or subadviser to be creditworthy. During the year ended December 31, 2012, no Portfolios engaged in this type of investment.
(Q) Equity-Linked Structured Securities – Certain Portfolios may invest in equity-linked structured notes. Equity-linked structured notes are debt securities which combine the characteristics of common stock and the sale of an option. The return component is based upon the performance of a single equity security, a basket of equity securities, or an equity index and the sale of an option. There is no guaranteed return of principal with these securities. The appreciation potential of these securities may be limited by a maximum payment or call right and can be influenced by many unpredictable factors. In addition to the performance of the equity, the nature and credit of the issuer may also impact return.
(R) Credit Risk – The Portfolios may be susceptible to credit risk to the extent the issuer or counterparty defaults on its payment obligation. The Portfolios’ policy is to monitor the creditworthiness of the issuers. Interest receivable on defaulted securities is monitored for the ability to collect payments in default and adjusted accordingly.
(S) Accounting Estimates – The preparation of financial statements in conformity with GAAP 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 reporting period. Actual results could differ from those estimates.
(T) Loan Commitments – Certain Portfolios may enter into loan commitments, which generally have interest rates which are reset daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders. Loan commitments often require prepayments from excess cash flows or allow the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. Therefore, the remaining maturity may be considerably less than the stated maturity shown in the Schedule of Investments.
All or a portion of these loan commitments may be unfunded. The Portfolio is obligated to fund these commitments at the borrower’s discretion. Therefore, the Portfolio must have funds sufficient to cover its contractual obligation. These unfunded loan commitments, which are marked-to-market daily, are presented in the Schedule of Investments.
(U) Loss Contingencies – High Yield Portfolio and Income Portfolio are defendants in an adversary action filed on July 31, 2009 by the Official Committee of Unsecured Creditors of Motors Liquidation Company, formerly known as General Motors Corporation (GM), against prior and current holders of term loan debt of GM. The suit seeks to determine whether GM’s term loan facility was secured at the time it entered bankruptcy. High Yield Portfolio at one time held term loans in an original principal amount of at least $4,627,531 and, if the plaintiffs are successful, it is reasonably possible that the Portfolio will be required to make payments in some amount. This loss contingency has not been accured as a liability because the amount of potential damages and the likelihood of loss cannot be reasonably estimated. Thrivent Income Portfolio is named as a defendant in this action, but we do not expect that the Portfolio’s assets will be subject to a loss contingency.
Balanced Portfolio and Large Cap Index Portfolio are defendants in two separate adversary actions: One was filed in federal court on November 1, 2010 by the Official Committee of Unsecured Creditors of Tribune Company (“Tribune”) and the other was filed in the state of Minnesota on June 2, 2011 by the successor trustees of certain series of debt securities issued by Tribune. These actions have since been consolidated and moved to the United States District Court of the Southern District of New York as consolidated multi-district litigation. The actions seek to determine whether stock repurchases of Tribune stock in connection with a leveraged buyout of Tribune in 2007 (the “LBO Transaction”) were fraudulent transactions that can be voided requiring repurchase payments to be returned to the Tribune bankruptcy estate. Balanced Portfolio and Large Cap Index Portfolio tendered Tribune stock in the LBO Transaction in exchange for $115,600 and $219,300 respectively. If the plaintiffs are successful, it is reasonably possible that these Portfolios would be required to return payments in some amount. Management does not believe it is possible at this time to predict with any reasonable certainty the amount or probability of any potential loss.
338
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2012
Mid Cap Index Portfolio is a potential defendant in an adversary action filed on October 22, 2010 by the trustee of the LB Creditor Trust. The suit seeks to determine whether certain pre-bankruptcy distributions in December 2007 by Lyondell Chemical Company (“Lyondell”) to its shareholders were fraudulent transactions that can be voided and repaid to Lyondell’s creditors. Mid Cap Index Portfolio owned shares of Lyondell stock before the merger. On December 21, 2007, Mid Cap Index Portfolio tendered its shares of Lyondell for $1,542,720.
(V) Litigation – Awards from class action litigation are recorded as a reduction of cost if the Portfolio still owns the applicable securities on the payment date. If the Portfolio no longer owns the applicable securities, the proceeds are recorded as realized gains.
(W) Recent Accounting Pronouncements – In December 2011, FASB released Accounting Standards Update 2011-11 (ASU 2011-11), Balance Sheet (Topic 210), Disclosures about Offsetting Assets and Liabilities. This updated standard is a result of collaboration between FASB and the International Accounting Standards Board (IASB) to enhance current disclosures. The amendments include new disclosure requirements of gross and net information about instruments and transactions, such as derivatives, eligible for offset in the Statement of Assets and Liabilities or subject to a master netting arrangement or similar agreement. The disclosures required by ASU 2011-11 will be effective for any reporting period (annual or interim) beginning on or after January 1, 2013. Management is currently evaluating the application of ASU 2011-11 on the Portfolio’s financial statements.
(X) In-kind Redemptions – During the year ended December 31, 2011, the Thrivent Asset Allocation Portfolios, as the shareholders of underlying series of Thrivent Series Fund, Inc. (the “underlying portfolios”), redeemed their shares in-kind (“in-kind redemption”). The underlying portfolios distributed portfolio securities rather than cash as payment for the redemption of these fund shares. For financial reporting purposes, the underlying funds recognize gain on these transactions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities; they recognize a loss if the cost exceeds the value. Gains or losses on in-kind redemptions are not recognized for tax purposes. The realized gains or losses below are included in the Statement of Operations of the underlying portfolios as net realized gains/losses on in-kind redemptions. The in-kind amounts and shares redeemed are included in the Capital Stock Transactions of the Statement of Changes in Net Assets of the underlying portfolios. These in-kind transactions were conducted at market value. The transactions were as follows:
Underlying Portfolio | Underlying Shares Redeemed | Date | In-kind Amount | Realized Gain/(Loss) | ||||||||||||
Aggressive Allocation Portfolio | ||||||||||||||||
Real Estate Securities | 810,212 | 10/17/2011 | $ | 11,301,165 | ($ | 1,195,433 | ) | |||||||||
Moderately Aggressive Allocation Portfolio | ||||||||||||||||
Real Estate Securities | 810,212 | 10/17/2011 | $ | 11,301,165 | ($ | 1,195,433 | ) | |||||||||
Moderate Allocation Portfolio | ||||||||||||||||
Real Estate Securities | 5,203,112 | 10/17/2011 | $ | 72,575,081 | $ | 1,481,061 | ||||||||||
Moderately Conservative Allocation Portfolio | ||||||||||||||||
Real Estate Securities | 6,860,851 | 10/17/2011 | $ | 95,697,896 | $ | 21,151,702 | ||||||||||
(Y) Other – For financial statement purposes, investment security transactions are accounted for on the trade date. Realized gains and losses from investment transactions are determined on a specific cost identification basis, which is the same basis used for federal income tax purposes.
339
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2012
(3) FEES AND COMPENSATION PAID TO AFFILIATES
(A) Investment Advisory Fees – The Fund has entered into an Investment Advisory Agreement with Thrivent Financial, the Adviser. Under the Investment Advisory Agreement, each of the Portfolios pays a fee for investment advisory services. The fees are accrued daily and paid monthly.
The four Asset Allocation Portfolios – Aggressive Allocation Portfolio, Moderately Aggressive Allocation Portfolio, Moderate Allocation Portfolio and Moderately Conservative Allocation Portfolio – pay investment advisory fees for asset allocation services. In addition, for investments (other than underlying Thrivent Portfolios) held directly by the Asset Allocation Portfolios, each Asset Allocation Portfolio will pay an additional advisory fee. The annual rates of fees as a percentage of average daily net assets under the Investment Advisory Agreement are as follows:
Portfolio (M – Millions) | $0 to $500M | $500 to $2,000M | Over $2,000M | |||||||||
Aggressive Allocation | 0.150 | % | 0.125 | % | 0.100 | % | ||||||
Aggressive Allocation – Direct Holdings | 0.600 | % | 0.600 | % | 0.600 | % | ||||||
Moderately Aggressive Allocation | 0.150 | % | 0.125 | % | 0.100 | % | ||||||
Moderately Aggressive Allocation – Direct Holdings | 0.550 | % | 0.550 | % | 0.550 | % | ||||||
Moderate Allocation | 0.150 | % | 0.125 | % | 0.100 | % | ||||||
Moderate Allocation – Direct Holdings | 0.500 | % | 0.500 | % | 0.500 | % | ||||||
Moderately Conservative Allocation | 0.150 | % | 0.125 | % | 0.100 | % | ||||||
Moderately Conservative Allocation – Direct Holdings | 0.450 | % | 0.450 | % | 0.450 | % | ||||||
For all other Portfolios, the annual rates of fees as a percent of average daily net assets under the Investment Advisory Agreement were as follows:
Portfolio (M - Millions) | $0 to $50M | $50 to $200M | $200 to $250M | $250 to $500M | $500 to $750M | $750 to $1,000M | $1,000 to $1,500M | $1,500 to $2,000M | $2,000 to $2,500M | $2,500 to $5,000M | Over $5,000M | |||||||||||||||||||||||||||||||||
Partner Technology | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | ||||||||||||||||||||||
Partner Healthcare | 0.950 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | ||||||||||||||||||||||
Natural Resources | 0.750 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | 0.725 | % | ||||||||||||||||||||||
Partner Emerging Markets Equity | 1.200 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | ||||||||||||||||||||||
Real Estate Securities | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | ||||||||||||||||||||||
Partner Small Cap Growth | 1.000 | % | 1.000 | % | 1.000 | % | 1.000 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | ||||||||||||||||||||||
Partner Small Cap Value | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | ||||||||||||||||||||||
Small Cap Stock | 0.700 | % | 0.700 | % | 0.650 | % | 0.650 | % | 0.650 | % | 0.650 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.550 | % | 0.525 | % | ||||||||||||||||||||||
Small Cap Index | 0.350 | % | 0.350 | % | 0.350 | % | 0.300 | % | 0.250 | % | 0.250 | % | 0.200 | % | 0.150 | % | 0.100 | % | 0.100 | % | 0.100 | % | ||||||||||||||||||||||
Mid Cap Growth | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | ||||||||||||||||||||||
Mid Cap Stock | 0.700 | % | 0.700 | % | 0.650 | % | 0.650 | % | 0.650 | % | 0.650 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.550 | % | 0.525 | % | ||||||||||||||||||||||
Mid Cap Index | 0.350 | % | 0.350 | % | 0.350 | % | 0.300 | % | 0.250 | % | 0.250 | % | 0.200 | % | 0.150 | % | 0.100 | % | 0.100 | % | 0.100 | % | ||||||||||||||||||||||
Partner Worldwide Allocation | 0.900 | % | 0.900 | % | 0.900 | % | 0.850 | % | 0.850 | % | 0.850 | % | 0.800 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | ||||||||||||||||||||||
Partner Socially Responsible Stock | 0.800 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | 0.775 | % | ||||||||||||||||||||||
Partner All Cap Growth | 0.950 | % | 0.950 | % | 0.950 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | ||||||||||||||||||||||
Partner All Cap Value | 0.750 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | ||||||||||||||||||||||
Partner All Cap | 0.950 | % | 0.950 | % | 0.950 | % | 0.950 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | ||||||||||||||||||||||
Large Cap Growth | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | ||||||||||||||||||||||
Partner Growth Stock | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | ||||||||||||||||||||||
Large Cap Value | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | ||||||||||||||||||||||
Large Cap Stock | 0.650 | % | 0.650 | % | 0.650 | % | 0.650 | % | 0.575 | % | 0.550 | % | 0.475 | % | 0.475 | % | 0.475 | % | 0.450 | % | 0.425 | % | ||||||||||||||||||||||
Large Cap Index | 0.350 | % | 0.350 | % | 0.350 | % | 0.300 | % | 0.250 | % | 0.250 | % | 0.200 | % | 0.150 | % | 0.100 | % | 0.100 | % | 0.100 | % | ||||||||||||||||||||||
Equity Income Plus | 0.650 | % | 0.650 | % | 0.650 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | ||||||||||||||||||||||
Balanced | 0.350 | % | 0.350 | % | 0.350 | % | 0.300 | % | 0.300 | % | 0.300 | % | 0.300 | % | 0.300 | % | 0.300 | % | 0.300 | % | 0.300 | % | ||||||||||||||||||||||
High Yield | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | ||||||||||||||||||||||
Diversified Income Plus | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | ||||||||||||||||||||||
Income | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | ||||||||||||||||||||||
Bond Index | 0.350 | % | 0.350 | % | 0.350 | % | 0.300 | % | 0.250 | % | 0.250 | % | 0.200 | % | 0.150 | % | 0.100 | % | 0.100 | % | 0.100 | % | ||||||||||||||||||||||
Limited Maturity Bond | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | ||||||||||||||||||||||
Mortgage Securities | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | ||||||||||||||||||||||
Money Market | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | ||||||||||||||||||||||
340
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2012
(B) Sub-Adviser Fees – The following subadvisory fees are charged as part of the total investment advisory fees stated in the table above. The subadvisory fees are borne directly by the Adviser and do not increase the overall fees paid by the Portfolio.
Partner Technology Portfolio
The Adviser has entered into a subadvisory agreement with Goldman Sachs Asset Management, LP (“GSAM”) for the performance of subadvisory services. The fee payable is equal to 0.45% of average daily net assets.
Partner Healthcare Portfolio
The Adviser has entered into a subadvisory agreement with Sectoral Asset Management, Inc. for the performance of subadvisory services. The fee payable is equal to 0.65% of the first $50 million of average daily net assets, 0.60% of the next $50 million, 0.40% of the next $150 million and 0.35% of average daily net assets over $250 million.
Partner Emerging Markets Equity Portfolio
The Adviser has entered into a subadvisory agreement with Aberdeen Asset Managers Limited (“Aberdeen”) for the performance of subadvisory services. The fee payable is equal to 0.85% of the first $50 million of average daily net assets, 0.72% of the next $50 million and 0.68% of average daily net assets over $100 million. Thrivent Partner Worldwide Allocation Portfolio and Thrivent Partner Worldwide Allocation Fund are included in determining breakpoints for the assets managed by Aberdeen.
Partner Small Cap Growth Portfolio
The Adviser has entered into a subadvisory agreement with Turner Investments, L.P. (“Turner”) for the performance of subadvisory services. For assets that are invested in companies that have market capitalizations that fall within the bottom half of the Russell 2000® Growth Index (the “microcap portion”), the fee payable is equal to 0.80% of the average daily net assets in that microcap portion. For all other assets, the fee payable is equal to 0.65% of the average daily net assets when the entire portfolio assets (including the microcap portion) are no greater than $100 million, 0.60% of the average daily net assets when the entire portfolio assets are greater than $100 million but no greater than $350 million, and 0.575% of the average daily net assets when the entire portfolio assets are greater than $350 million. Thrivent Partner Small Cap Growth Fund (including the microcap portion of that Fund) is included in determining breakpoints for the assets managed by Turner.
Partner Small Cap Value Portfolio
The Adviser has entered into a subadvisory agreement with T. Rowe Price Associates, Inc. for the performance of subadvisory services. The fee payable is equal to 0.60% of average daily net assets.
Partner Mid Cap Value Portfolio
The Adviser has entered into a subadvisory agreement with GSAM for the performance of subadvisory services. The fee payable is equal to 0.50% of average daily net assets for the first $200 million and 0.45% for assets over $200 million. Thrivent Partner Mid Cap Value Fund is included in determining breakpoints for the assets managed by GSAM.
Partner Worldwide Allocation Portfolio
The Adviser has entered into subadvisory agreements with Mercator Asset Management, LP (“Mercator”), Principal Global Investors, LLC (“Principal”), Aberdeen, Victory Capital Management, Inc. (“Victory”) and GSAM for the performance of subadvisory services. In addition, effective July 27, 2012, the Advisor entered into a subadvisory agreement with DuPont Capital Management (“DuPont Capital”) to manage a portion of the Portfolio’s allocation to emerging market equity securities.
The fee payable for Mercator is equal to 0.75% of the first $25 million of average daily net assets managed by Mercator, 0.60% of the next $25 million, 0.55% of the next $25 million, 0.50% of the next $225 million, 0.40% of the next $200 million and 0.20% of average daily net assets over $500 million. Thrivent Partner Worldwide Allocation Fund is included in determining breakpoints for the assets managed by Mercator.
The fee payable for Principal is equal to 0.35% of the first $500 million of average daily net assets managed by Principal, 0.30% of the next $500 million and 0.25% of average daily net assets over $1 billion. Thrivent Partner Worldwide Allocation Fund is included in determining breakpoints for the assets managed by Principal.
The fee payable for Aberdeen is equal to 0.85% of the first $50 million of average daily net assets managed by Aberdeen, 0.72% of the next $50 million and 0.68% of average daily net assets over $100 million. Thrivent Partner Emerging Markets Equity Portfolio and Partner Worldwide Allocation Fund are included in determining breakpoints for the assets managed by Aberdeen.
The fee payable for Victory is equal to 0.95% of the first $25 million of average daily net assets, 0.85% of the next $75 million, 0.80% of the next $50 million, 0.75% of the next $100 million and 0.70% of average daily net assets over $250 million. Thrivent Partner Worldwide Allocation Fund is included in determining breakpoints for the assets managed by Victory.
The fee payable for GSAM is equal to 0.55% of the first $50 million of average daily net assets managed by GSAM, 0.50% of the next $200 million and 0.45% of average daily net assets over $250 million. Thrivent Partner Worldwide Allocation Fund is included in determining breakpoints for the assets managed by GSAM.
The fee payable for DuPont Capital is equal to 0.72% of the first $50 million of average daily net assets managed by DuPont Capital and 0.68% of average daily net assets over $50 million. Thrivent Partner Worldwide Allocation Fund and Thrivent Partner Emerging Markets Equity Fund is included in determining breakpoints for the assets managed by DuPont Capital.
341
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2012
Partner Socially Responsible Stock Portfolio
The Adviser has entered into a subadvisory agreement with Calvert Investment Management, Inc. (“Calvert”) for the performance of subadvisory services. The fee payable is equal to 0.50% of average daily net assets for the first $50 million, 0.475% for the next $50 million, 0.45% for the next $50 million, 0.425% of the next $100 million and 0.40% for assets over $250 million.
Partner All Cap Growth Portfolio
The Adviser has entered into a subadvisory agreement with Calamos Advisors LLC for the performance of subadvisory services. The fee payable is equal to 0.65% of average daily net assets.
Partner All Cap Value Portfolio
The Adviser has entered into a subadvisory agreement with OppenheimerFunds, Inc. for the performance of subadvisory services. The fee payable is equal to 0.45% of the first $50 million of average daily net assets, 0.40% of the next $200 million and 0.35% of average daily net assets over $250 million.
Partner All Cap Portfolio
The Adviser has entered into a subadvisory agreement with Pyramis Global Advisors, LLC (“Pyramis Advisors”) for the performance of subadvisory services. Pyramis Advisors is a wholly owned subsidiary of Fidelity Management & Research Corporation. The fee payable is equal to 0.60% of average daily net assets for the first $100 million, 0.55% for the next $400 million, 0.50% for the next $250 million and 0.45% for assets over $750 million.
Partner Growth Stock Portfolio
The Adviser has entered into a subadvisory agreement with T. Rowe Price Associates, Inc. for the performance of subadvisory services. The fee payable is equal to 0.40% of average daily net assets for the first $500 million and 0.35% for assets over $500 million.
(C) Expense Reimbursements – As of December 31, 2012, the following voluntary expense reimbursements, as a percentage of net assets, were in effect:
Portfolio | Expense Reimbursement | Expiration Date | ||||||
Partner Small Cap Growth | 0.10 | % | N/A | |||||
Partner All Cap | 0.20 | % | N/A | |||||
Partner Growth Stock | 0.10 | % | N/A | |||||
Money Market1 | 0.23 | % | N/A | |||||
| 1 | Thrivent Asset Management has voluntarily agreed to reimburse certain portfolio level expenses of Thrivent Money Market Portfolio to the extent necessary in order to maintain a minimum annualized net yield of 0.00%. |
As of December 31, 2012, contractual expense reimbursements to limit expenses to the following percentages were in effect:
Portfolio | Expense Limit | Expiration Date | ||||||
Partner Healthcare | 1.25 | % | 4/30/2013 | |||||
Natural Resources1 | 1.02 | % | 4/30/2013 | |||||
Partner Emerging Markets Equity | 1.40 | % | 4/30/2013 | |||||
Partner Socially Responsible Stock | 0.98 | % | 4/30/2013 | |||||
Partner All Cap Growth | 1.00 | % | 4/30/2013 | |||||
Partner All Cap Value | 0.98 | % | 4/30/2013 | |||||
Mortgage Securities2 | 0.79 | % | 4/30/2013 | |||||
| 1 | Prior contractual expense limit of 1.19% expired on April 30, 2012. |
| 2 | New contractual expense limit became effective on May 1, 2012. |
Thrivent does not recoup amounts previously reimbursed or waived in prior fiscal years.
Each equity, hybrid and fixed income Portfolio may invest cash in High Yield Fund, Money Market Portfolio and Thrivent Cash Management Trust, subject to certain limitations. During the year ended December 31, 2012, Limited Maturity Bond Portfolio invested in High Yield Fund. During the year ended December 31, 2012, no Portfolios invested in Money Market Portfolio. During the year ended December 31, 2012, all portfolios except Money Market Portfolio invested in Cash Management Trust. These related-party transactions are subject to the same terms as non-related party transactions except that, to avoid duplicate investment advisory fees, Thrivent Financial reimburses an amount equal to the advisory fee which is charged to the Portfolio for its investment in High Yield Fund, Money Market Portfolio or Thrivent Cash Management Trust.
(D) Other Expenses – The Fund has entered into an accounting and administrative services agreement with the Adviser to provide certain accounting and administrative personnel and services to the Portfolios. For the year ended December 31, 2012, the Adviser received aggregate fees for accounting and administrative personnel and services of $7,475,104 from the Fund.
Each Director is eligible to participate in a deferred compensation plan with respect to fees received from the Fund. Participants in the plan may designate their deferred Director’s fees as if invested in any one of the portfolios of Thrivent Mutual Funds. The value of each Director’s deferred compensation account will increase or decrease as if it were invested in shares of the selected portfolios of Thrivent Mutual Funds. Their fees as well as the change in value are included in Director’s fees in the Statement of Operations. The deferred fees remain in the appropriate fund until distribution in accordance with the plan. The deferred fee liability, included in accrued expenses in the Statement of Assets and Liabilities, is unsecured.
342
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2012
Those Directors not participating in the above plan received $477,103 in fees from the Fund for the year ended December 31, 2012. In addition, the Fund reimbursed independent Directors for reasonable expenses incurred in relation to attendance at the meetings and industry conferences.
Certain officers and non-independent directors of the Fund are officers and directors of Thrivent Financial and Thrivent Life; however, they receive no compensation from the Fund.
(E) Indirect Expenses – Some Portfolios invest in other mutual funds. Fees and expenses of those underlying funds are not included in the Portfolios’ expense ratios. The Portfolios indirectly bear their proportionate share of the annualized weighted average expense ratio of the underlying funds in which they invest.
(4) TAX INFORMATION
Distributions are based on amounts calculated in accordance with applicable federal income tax regulations, which may differ from GAAP. To the extent that these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences do not require reclassifications.
On the Statement of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments were made as follows [Increase/(Decrease)]:
Portfolio | Accumulated Net Investment Income/(Loss) | Accumulated Net Realized Gain/(Loss) | Capital Stock | |||||||||
Aggressive Allocation | $ | (98,680 | ) | $ | 98,680 | $ | — | |||||
Moderately Aggressive Allocation | (447,419 | ) | 447,419 | — | ||||||||
Moderate Allocation | (103,919 | ) | 103,919 | — | ||||||||
Moderately Conservative Allocation | 54,345 | (54,345 | ) | — | ||||||||
Partner Technology | 133,220 | 2,412 | (135,632 | ) | ||||||||
Partner Healthcare | 66,505 | (66,505 | ) | — | ||||||||
Natural Resources | 1,767 | (1,767 | ) | — | ||||||||
Partner Emerging Markets Equity | (3,776 | ) | 3,776 | — | ||||||||
Real Estate Securities | (16,168 | ) | (69,638 | ) | 85,806 | |||||||
Partner Small Cap Growth | 271,996 | (2,291 | ) | (269,705 | ) | |||||||
Partner Small Cap Value | (20,484 | ) | 20,484 | — | ||||||||
Small Cap Stock | (7,356 | ) | 76,050 | (68,694 | ) | |||||||
Small Cap Index | (20,611 | ) | 20,611 | — | ||||||||
Mid Cap Growth | 149,944 | (142,465 | ) | (7,479 | ) | |||||||
Partner Mid Cap Value | (22,396 | ) | 22,396 | — | ||||||||
Mid Cap Stock | (356,179 | ) | 356,179 | — | ||||||||
Mid Cap Index | 418 | (418 | ) | — | ||||||||
Partner Worldwide Allocation | 747,355 | (584,256 | ) | (163,099 | ) | |||||||
Partner Socially Responsible Stock | 253 | (253 | ) | — | ||||||||
Partner All Cap Growth | — | 1,838 | (1,838 | ) | ||||||||
Partner All Cap Value | (1,347 | ) | 1,347 | — | ||||||||
Partner All Cap | (56,617 | ) | 56,617 | — | ||||||||
Large Cap Growth | (24,836 | ) | 25,482 | (646 | ) | |||||||
Partner Growth Stock | (913 | ) | 2,110 | (1,197 | ) | |||||||
Large Cap Value | (69,615 | ) | 69,615 | — | ||||||||
Large Cap Stock | (283,293 | ) | 283,293 | — | ||||||||
Large Cap Index | (99,382 | ) | 99,382 | — | ||||||||
Equity Income Plus | (39,248 | ) | 39,248 | — | ||||||||
Balanced | (53,192 | ) | 53,192 | — | ||||||||
High Yield | (33,510 | ) | 17,905,732 | (17,872,222 | ) | |||||||
Diversified Income Plus | 11,048 | (10,712 | ) | (336 | ) | |||||||
Income | (571,914 | ) | 571,915 | (1 | ) | |||||||
Limited Maturity Bond | (530,582 | ) | 530,582 | — | ||||||||
Mortgage Securities | 2,866 | (2,866 | ) | — | ||||||||
Money Market | 2,651 | (2,651 | ) | — | ||||||||
At December 31, 2012, the components of distributable earnings on a tax basis were as follows:
Portfolio | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | ||||||
Aggressive Allocation | $ | 11,672,622 | $ | 5,627,886 | ||||
Moderately Aggressive Allocation | 94,163,502 | 36,225,195 | ||||||
Moderate Allocation | 167,005,249 | 52,731,128 | ||||||
Moderately Conservative Allocation | 82,074,509 | 28,314,505 | ||||||
Partner Healthcare | 505,666 | 1,004,227 | ||||||
Natural Resources | 226,334 | — | ||||||
Partner Emerging Markets Equity | 626,603 | — | ||||||
Real Estate Securities | 1,903,238 | — | ||||||
Partner Small Cap Growth | — | 6,075,673 | ||||||
Partner Small Cap Value | 6,170,177 | 1,594,076 | ||||||
Small Cap Stock | 1,328,401 | — | ||||||
Small Cap Index | 3,167,494 | 9,011,922 | ||||||
Mid Cap Growth | 1,423,569 | 221,226 | ||||||
Partner Mid Cap Value | 3,949,837 | 12,356,287 | ||||||
Mid Cap Stock | 2,038,520 | — | ||||||
Mid Cap Index | 1,129,467 | 2,956,547 | ||||||
Partner Worldwide Allocation | 416,617 | 77,518 | ||||||
Partner Socially Responsible Stock | 29,443 | 5,309 | ||||||
Partner All Cap Growth | 5,450 | — | ||||||
Partner All Cap Value | 61,851 | — | ||||||
Partner All Cap | 429,266 | — | ||||||
Large Cap Growth | 477,955 | — | ||||||
Partner Growth Stock | 13,765 | — | ||||||
Large Cap Value | 14,348,102 | — | ||||||
Large Cap Stock | 7,761,178 | — | ||||||
Large Cap Index | 5,802,965 | 3,390,179 | ||||||
343
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2012
Portfolio | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | ||||||
Equity Income Plus | 2,505,927 | — | ||||||
Balanced | 6,462,286 | 6,424,962 | ||||||
High Yield | 618,067 | — | ||||||
Diversified Income Plus | 7,469,239 | — | ||||||
Income | 29,666 | 3,278,491 | ||||||
Bond Index | 3,302,944 | 2,208,152 | ||||||
Limited Maturity Bond | 175,917 | — | ||||||
Mortgage Securities | 314,325 | — | ||||||
At December 31, 2012, the following Portfolios had accumulated net realized capital loss carryovers expiring as follows:
Portfolio | Capital Loss Carryover | Expiration Year | ||||||
Partner Technology | $ | 2,724,948 | 2016 | |||||
| 2,198,564 | 2017 | |||||||
|
| |||||||
| $ | 4,923,512 | |||||||
|
| |||||||
Real Estate Securities | 1,345,464 | 2017 | ||||||
|
| |||||||
| $ | 1,345,464 | |||||||
|
| |||||||
Small Cap Stock | 28,462,300 | 2017 | ||||||
|
| |||||||
| $ | 28,462,300 | |||||||
|
| |||||||
Mid Cap Stock | 24,488,800 | 2017 | ||||||
|
| |||||||
| $ | 24,488,800 | |||||||
|
| |||||||
Partner Worldwide Allocation | 62,173,678 | 2015 | ||||||
| 186,079,623 | 2016 | |||||||
|
| |||||||
| $ | 248,253,301 | |||||||
|
| |||||||
Partner All Cap Growth | 95,936 | 2017 | ||||||
|
| |||||||
| $ | 95,936 | |||||||
|
| |||||||
Partner All Cap Value | 396,601 | 2017 | ||||||
|
| |||||||
| $ | 396,601 | |||||||
|
| |||||||
Partner All Cap | 9,802,047 | 2017 | ||||||
|
| |||||||
| $ | 9,802,047 | |||||||
|
| |||||||
Large Cap Growth | 98,892,056 | 2016 | ||||||
| 185,657,815 | 2017 | |||||||
|
| |||||||
| $ | 284,549,871 | |||||||
|
| |||||||
Partner Growth Stock | 239,789 | 2017 | ||||||
|
| |||||||
| $ | 239,789 | |||||||
|
| |||||||
Large Cap Value | 78,225,493 | 2017 | ||||||
|
| |||||||
| $ | 78,225,493 | |||||||
|
| |||||||
Large Cap Stock | 70,439,124 | 2017 | ||||||
|
| |||||||
| $ | 70,439,124 | |||||||
|
| |||||||
Equity Income Plus | 2,690,144 | 2017 | ||||||
|
| |||||||
| $ | 2,690,144 | |||||||
|
| |||||||
High Yield | 10,993,224 | 2013 | ||||||
| 560,014 | 2014 | |||||||
| 42,742,264 | 2016 | |||||||
| 46,838,004 | 2017 | |||||||
|
| |||||||
| $ | 101,133,506 | |||||||
|
| |||||||
Diversified Income Plus | 2,143,420 | 2016 | ||||||
| 9,650,624 | 2017 | |||||||
|
| |||||||
| $ | 11,794,044 | |||||||
|
| |||||||
Limited Maturity Bond | 2,074,889 | 2016 | ||||||
| 6,959,975 | 2017 | |||||||
|
| |||||||
| $ | 9,034,864 | |||||||
|
| |||||||
To the extent that these Portfolios realize future net capital gains, taxable distributions will be reduced by any unused capital loss carryovers as permitted by the Internal Revenue Code.
Capital losses generated during the year ending December 31, 2011 and later, will be subject to the provisions of the Regulated Investment Company Modernization Act of 2010 (the Act). The Act made several changes to the tax rules that impact the Portfolios. Under the Act, if the losses are not reduced by gains, the losses will be carried forward with no expiration and with the short-term or long-term character of the loss retained. Additionally, these capital losses must be fully utilized before those capital loss carryovers listed with noted expiration dates in the table above, which may make them more likely to expire unused.
At December 31, 2012, the following Portfolios had accumulated net realized capital loss carryovers subject to the Act, as follows:
Portfolio | Capital Loss Carryover | Tax Character | ||||||
Natural Resources | $ | 1,285,099 | Short-term | |||||
| 1,162,626 | Long-term | |||||||
|
| |||||||
| $ | 2,447,725 | |||||||
|
| |||||||
Partner Emerging Markets Equity | 262,470 | Long-term | ||||||
|
| |||||||
| $ | 262,470 | |||||||
|
| |||||||
Partner Worldwide Allocation | 4,575,299 | Short-term | ||||||
|
| |||||||
| $ | 4,575,299 | |||||||
|
| |||||||
Partner All Cap Growth | 49,020 | Short-term | ||||||
|
| |||||||
| $ | 49,020 | |||||||
|
| |||||||
Limited Maturity Bond | 3,748,289 | Short-term | ||||||
| 47,892 | Long-term | |||||||
|
| |||||||
| $ | 3,796,181 | |||||||
|
| |||||||
344
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2012
Of the capital loss carryovers attributable to Partner Worldwide Allocation Portfolio, the following amounts were obtained as a result of the reorganization, as described in Note (1)(A), with Partner International Stock Portfolio in July 2012:
Portfolio | Capital Loss Carryover | Expiration Year | ||||||
Partner Worldwide Allocation | 62,173,678 | 2015 | ||||||
| 186,079,623 | 2016 | |||||||
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| $ | 248,253,301 | |||||||
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Portfolio | Capital Loss Carryover | Tax Character | ||||||
Partner Worldwide Allocation | 4,575,299 | Short-term | ||||||
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| $ | 4,575,299 | |||||||
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Of the capital loss carryovers attributable to Diversified Income Plus Portfolio, the following amounts were obtained as a result of the reorganization, as described in Note (1)(A), with Partner Utilities Portfolio in July 2012:
Portfolio | Capital Loss Carryover | Expiration Year | ||||||
Diversified Income Plus | 296,017 | 2017 | ||||||
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| $ | 296,017 | |||||||
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The Internal Revenue Code may limit the ability to utilize capital losses after a merger.
During the fiscal year 2012, capital loss carryovers utilized by the Portfolios were as follows:
| Capital Loss | ||||
Portfolio | Carryover | |||
Partner Technology | 1,732,324 | |||
Real Estate Securities | 4,169,999 | |||
Partner Small Cap Growth | 11,237,188 | |||
Partner Small Cap Value | 2,376,105 | |||
Small Cap Stock | 8,037,216 | |||
Mid Cap Growth | 27,922,302 | |||
Partner Mid Cap Value | 3,300,531 | |||
Mid Cap Stock | 32,387,293 | |||
Partner Worldwide Allocation | 3,731,657 | |||
Partner Socially Responsible Stock | 386,586 | |||
Partner All Cap Value | 32,712 | |||
Partner All Cap | 4,325,374 | |||
Large Cap Growth | 64,747,257 | |||
Partner Growth Stock | 3,082,170 | |||
Large Cap Value | 58,835,356 | |||
Large Cap Stock | 38,159,005 | |||
Large Cap Index | 3,661,314 | |||
Equity Income Plus | 4,284,616 | |||
High Yield | 12,643,842 | |||
Diversified Income Plus | 5,317,117 | |||
Income | 17,640,507 | |||
In addition, the following capital loss carryovers expired during the fiscal year 2012: High Yield Portfolio, $17,872,222.
The following Portfolios deferred, on a tax basis, the following Post-October 2012 losses:
Portfolio | Post-October Loss | |||
Partner Worldwide Allocation | $ | 6,680,884 | ||
These amounts are deferred for tax purposes, deemed to occur in the next fiscal year, and are subject to the provisions of the Regulated Investment Company Modernization Act of 2010. If the losses are not reduced by gains during the next fiscal year, the losses will be carried forward with no expiration and with the short-term or long-term character of the loss retained.
345
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2012
The tax character of distributions paid during the years ended December 31, 2012 and 2011 was as follows:
| Ordinary Income | Long-Term Capital Gain | Return of Capital | ||||||||||||||||||||||
Portfolio | 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | 12/31/2012 | 12/31/2011 | ||||||||||||||||||
Aggressive Allocation | $ | 8,491,099 | $ | 14,282,959 | $ | 20,876,578 | $ | 3,196,185 | $ | — | $ | — | ||||||||||||
Moderately Aggressive Allocation | 42,073,556 | 68,387,593 | 30,081,262 | 15,195,649 | — | — | ||||||||||||||||||
Moderate Allocation | 79,898,649 | 111,192,082 | 25,454,221 | 31,660,803 | — | — | ||||||||||||||||||
Moderately Conservative Allocation | 44,867,706 | 48,557,013 | 11,691,435 | 13,781,398 | — | — | ||||||||||||||||||
Partner Healthcare | 55,995 | 58,257 | 248,326 | 535,514 | — | — | ||||||||||||||||||
Natural Resources | 77,727 | 24,409 | 4,038,356 | — | — | — | ||||||||||||||||||
Partner Emerging Markets Equity | 252,692 | 432,330 | 239,345 | — | — | — | ||||||||||||||||||
Real Estate Securities | 4,305,833 | — | — | — | — | — | ||||||||||||||||||
Partner Small Cap Value | 1,705,822 | 560,137 | — | — | — | — | ||||||||||||||||||
Small Cap Index | 1,510,322 | 1,738,716 | 15,711,199 | 5,929,388 | — | — | ||||||||||||||||||
Mid Cap Growth | 813,792 | 1,271,495 | — | — | — | — | ||||||||||||||||||
Partner Mid Cap Value | 1,932,483 | 501,793 | — | — | — | — | ||||||||||||||||||
Mid Cap Stock | 1,205,625 | 227,230 | — | — | — | — | ||||||||||||||||||
Mid Cap Index | 712,523 | 714,334 | 7,728,249 | 5,251,300 | — | — | ||||||||||||||||||
Partner Worldwide Allocation | 21,291,197 | 11,145,255 | 4,890,102 | 9,296,969 | — | — | ||||||||||||||||||
Partner Socially Responsible Stock | 1,439 | 45 | — | — | — | — | ||||||||||||||||||
Partner All Cap Value | 43,276 | 44,465 | — | — | — | — | ||||||||||||||||||
Partner All Cap | 239,038 | 361,337 | — | — | — | — | ||||||||||||||||||
Large Cap Growth | 9,829,304 | 4,952,199 | — | — | — | — | ||||||||||||||||||
Large Cap Value | 13,811,639 | 178,536 | — | — | — | — | ||||||||||||||||||
Large Cap Stock | 6,228,672 | 72,332 | — | — | — | — | ||||||||||||||||||
Large Cap Index | 5,141,254 | 5,204,623 | — | — | — | — | ||||||||||||||||||
Equity Income Plus | 1,466,534 | 238,167 | — | — | — | — | ||||||||||||||||||
Balanced | 7,020,558 | 6,991,678 | 5,531,698 | 7,267,181 | — | — | ||||||||||||||||||
High Yield | 59,938,400 | 60,572,233 | — | — | — | — | ||||||||||||||||||
Diversified Income Plus | 5,452,096 | 5,830,693 | — | — | — | — | ||||||||||||||||||
Income | 59,012,268 | 63,413,810 | — | — | — | — | ||||||||||||||||||
Bond Index | 5,066,796 | 4,585,471 | 397,118 | 863,822 | — | — | ||||||||||||||||||
Limited Maturity Bond | 22,206,345 | 32,036,799 | — | — | — | — | ||||||||||||||||||
Mortgage Securities | 1,063,244 | 1,080,936 | 273,995 | — | — | — | ||||||||||||||||||
(5) SECURITY TRANSACTIONS
(A) Purchases and Sales of Investment Securities – For the year ended December 31, 2012, the cost of purchases and the proceeds from sales of investment securities, other than U.S. Government and short-term securities, were as follows:
| In thousands | ||||||||
Portfolio | Purchases | Sales | ||||||
Aggressive Allocation | $ | 269,382 | $ | 267,850 | ||||
Moderately Aggressive Allocation | 1,061,221 | 1,039,322 | ||||||
Moderate Allocation | 1,630,088 | 1,407,155 | ||||||
Moderately Conservative Allocation | 847,453 | 623,898 | ||||||
Partner Technology | 15,042 | 14,984 | ||||||
Partner Healthcare | 10,679 | 8,226 | ||||||
Natural Resources | 11,093 | 8,473 | ||||||
Partner Emerging Markets Equity | 7,096 | 1,990 | ||||||
Real Estate Securities | 38,055 | 39,720 | ||||||
Partner Small Cap Growth | 242,200 | 208,748 | ||||||
Partner Small Cap Value | 46,842 | 47,741 | ||||||
Small Cap Stock | 213,204 | 218,888 | ||||||
Small Cap Index | 17,535 | 39,449 | ||||||
Mid Cap Growth | 136,927 | 181,975 | ||||||
Partner Mid Cap Value | 197,985 | 187,889 | ||||||
Mid Cap Stock | 217,629 | 229,548 | ||||||
Mid Cap Index | 6,271 | 10,340 | ||||||
Partner Worldwide Allocation | 1,022,410 | 883,380 | ||||||
Partner Socially Responsible Stock | 4,247 | 2,316 | ||||||
Partner All Cap Growth | 7,970 | 8,709 | ||||||
Partner All Cap Value | 7,424 | 8,568 | ||||||
Partner All Cap | 60,503 | 67,111 | ||||||
Large Cap Growth | 718,387 | 827,157 | ||||||
Partner Growth Stock | 17,485 | 19,812 | ||||||
Large Cap Value | 706,180 | 727,126 | ||||||
Large Cap Stock | 681,107 | 754,738 | ||||||
Large Cap Index | 10,941 | 32,698 | ||||||
Equity Income Plus | 164,989 | 149,283 | ||||||
Balanced | 24,353 | 47,665 | ||||||
High Yield | 512,284 | 454,967 | ||||||
Diversified Income Plus | 236,267 | 172,516 | ||||||
Income | 761,760 | 764,577 | ||||||
Bond Index | 38,781 | 39,084 | ||||||
Limited Maturity Bond | 328,156 | 607,303 | ||||||
Mortgage Securities | 1,270 | 3,360 | ||||||
346
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2012
Purchases and Sales of U.S. Government Securities were:
| In thousands | ||||||||
Portfolio | Purchases | Sales | ||||||
Aggressive Allocation | $ | 127,912 | $ | 150,074 | ||||
Moderately Aggressive Allocation | 1,433,016 | 1,448,488 | ||||||
Moderate Allocation | 3,901,634 | 3,715,940 | ||||||
Moderately Conservative Allocation | 3,622,205 | 3,426,385 | ||||||
Partner Worldwide Allocation | — | 1,202 | ||||||
Balanced | 327,015 | 331,225 | ||||||
Diversified Income Plus | 61,979 | 56,966 | ||||||
Income | 1,252,769 | 1,242,714 | ||||||
Bond Index | 711,423 | 697,401 | ||||||
Limited Maturity Bond | 1,105,816 | 1,177,843 | ||||||
Mortgage Securities | 332,255 | 328,106 | ||||||
(B) Investments in Restricted Securities – Certain Portfolios may own restricted securities that have been deemed illiquid and were purchased in private placement transactions without registration under the Securities Act of 1933. Unless such securities subsequently become registered, they generally may be resold only in privately negotiated transactions with a limited number of purchasers. As of December 31, 2012, the following Portfolios held restricted securities:
Portfolio | Number of Securities | Percent of Portfolio’s Net Assets | ||||||
Partner Worldwide Allocation | 1 | 0.11 | % | |||||
Partner Growth Stock | 10 | 0.22 | % | |||||
Balanced | 2 | 0.54 | % | |||||
High Yield | 4 | 1.78 | % | |||||
Income | 2 | 0.26 | % | |||||
Bond Index | 2 | 0.81 | % | |||||
Limited Maturity Bond | 4 | 0.86 | % | |||||
Mortgage Securities | 1 | 1.21 | % | |||||
The Portfolios have no right to require registration of unregistered securities.
(C) Investments in High-Yielding Securities – High Yield Portfolio invests primarily in high-yielding fixed income securities. Each of the other Portfolios, except Money Market Portfolio, may also invest in high-yielding securities. These securities will typically be in lower rated categories or will be non-rated and generally will involve more risk than securities in higher rated categories. Lower rated or unrated securities are more likely to react to developments affecting market risk and credit risk than are more highly rated securities, which react primarily to movements in the general level of interest rates.
(D) Investments in Options and Futures Contracts – The movement in the price of the security underlying an option or futures contract may not correlate perfectly with the movement in the prices of the portfolio securities being hedged. A lack of correlation could render the Portfolio’s hedging strategy unsuccessful and could result in a loss to the Portfolio. In the event that a liquid secondary market would not exist, the Portfolio could be prevented from entering into a closing transaction which could result in additional losses to the Portfolio.
(E) Written Option Contracts – The number of contracts and premium amounts associated with covered call option contracts written during the year ended December 31, 2012, were as follows:
| Number of Contracts | Premium Amount | |||||||
Large Cap Stock | ||||||||
Balance at December 31, 2011 | 30 | $ | 17,050 | |||||
Opened | 170 | 259,450 | ||||||
Closed | (200 | ) | (276,500 | ) | ||||
Expired | — | — | ||||||
Exercised | — | — | ||||||
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Balance at December 31, 2012 | — | $ | — | |||||
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Equity Income Plus | ||||||||
Balance at December 31, 2011 | 891 | $ | 181,439 | |||||
Opened | 510 | 571,560 | ||||||
Closed | (1,401 | ) | (752,999 | ) | ||||
Expired | — | — | ||||||
Exercised | — | — | ||||||
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Balance at December 31, 2012 | — | $ | — | |||||
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Diversified Income Plus | ||||||||
Balance at December 31, 2011 | 30 | $ | 17,050 | |||||
Opened | 90 | 132,150 | ||||||
Closed | (120 | ) | (149,200 | ) | ||||
Expired | — | — | ||||||
Exercised | — | — | ||||||
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Balance at December 31, 2012 | — | $ | — | |||||
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Limited Maturity Bond | ||||||||
Balance at December 31, 2011 | — | $ | — | |||||
Opened | 150 | 32,363 | ||||||
Closed | (150 | ) | (32,363 | ) | ||||
Expired | — | — | ||||||
Exercised | — | — | ||||||
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Balance at December 31, 2012 | — | $ | — | |||||
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(6) SECURITY TRANSACTIONS WITH AFFILIATED FUNDS
The Portfolios are permitted to purchase or sell securities from or to certain other Portfolios under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Portfolio from or to another portfolio or fund that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Directors and/ or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is executed at the current market price.
347
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2012
(7) SHARES OF BENEFICIAL INTEREST
The shares of each Portfolio have equal rights and privileges with all shares of that Portfolio. Shares in the Portfolio are currently sold only to separate accounts of Thrivent Financial, Thrivent Life and retirement plans sponsored by Thrivent Financial.
As of December 31, 2012, authorized capital stock consists of ten billion shares as follows:
Portfolio | Shares Authorized | Par Value | ||||||
Aggressive Allocation | 350,000,000 | $ | 0.01 | |||||
Moderately Aggressive Allocation | 700,000,000 | 0.01 | ||||||
Moderate Allocation | 1,200,000,000 | 0.01 | ||||||
Moderately Conservative Allocation | 800,000,000 | 0.01 | ||||||
Partner Technology | 100,000,000 | 0.01 | ||||||
Partner Healthcare | 50,000,000 | 0.01 | ||||||
Natural Resources | 200,000,000 | 0.01 | ||||||
Partner Emerging Markets Equity | 100,000,000 | 0.01 | ||||||
Real Estate Securities | 100,000,000 | 0.01 | ||||||
Partner Small Cap Growth | 50,000,000 | 0.01 | ||||||
Partner Small Cap Value | 150,000,000 | 0.01 | ||||||
Small Cap Stock | 200,000,000 | 0.01 | ||||||
Small Cap Index | 200,000,000 | 0.01 | ||||||
Mid Cap Growth | 200,000,000 | 0.01 | ||||||
Partner Mid Cap Value | 50,000,000 | 0.01 | ||||||
Mid Cap Stock | 200,000,000 | 0.01 | ||||||
Mid Cap Index | 200,000,000 | 0.01 | ||||||
Partner Worldwide Allocation | 700,000,000 | 0.01 | ||||||
Partner Socially Responsible Stock | 50,000,000 | 0.01 | ||||||
Partner All Cap Growth | 50,000,000 | 0.01 | ||||||
Partner All Cap Value | 50,000,000 | 0.01 | ||||||
Partner All Cap | 100,000,000 | 0.01 | ||||||
Large Cap Growth | 300,000,000 | 0.01 | ||||||
Partner Growth Stock | 50,000,000 | 0.01 | ||||||
Large Cap Value | 200,000,000 | 0.01 | ||||||
Large Cap Stock | 250,000,000 | 0.01 | ||||||
Large Cap Index | 200,000,000 | 0.01 | ||||||
Equity Income Plus | 200,000,000 | 0.01 | ||||||
Balanced | 200,000,000 | 0.01 | ||||||
High Yield | 350,000,000 | 0.01 | ||||||
Diversified Income Plus | 250,000,000 | 0.01 | ||||||
Income | 300,000,000 | 0.01 | ||||||
Bond Index | 200,000,000 | 0.01 | ||||||
Limited Maturity Bond | 450,000,000 | 0.01 | ||||||
Mortgage Securities | 50,000,000 | 0.01 | ||||||
Money Market | 1,200,000,000 | 0.01 | ||||||
(8) SUBSEQUENT EVENTS
Management of the Portfolios has evaluated the impact of subsequent events and, except as already included in the Notes to Financial Statements, has determined that no additional items require disclosure.
348
[THIS PAGE INTENTIONALLY LEFT BLANK]
349
Thrivent Series Fund, Inc.
| FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | |||||||||||||||||||||||
| Net Asset | Net Realized | |||||||||||||||||||||||
| Value, | Net | and Unrealized | Total from | Net | Net Realized | |||||||||||||||||||
| Beginning of | Investment | Gain/(Loss) on | Investment | Investment | Gain on | |||||||||||||||||||
| Period | Income/(Loss) | Investments(a) | Operations | Income | Investments | |||||||||||||||||||
AGGRESSIVE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2012 | $ | 11.40 | $ | 0.17 | $ | 1.18 | $ | 1.35 | $ | (0.08 | ) | $ | (0.52 | ) | ||||||||||
Year Ended 12/31/2011 | 12.22 | 0.06 | (0.52 | ) | (0.46 | ) | (0.16 | ) | (0.20 | ) | ||||||||||||||
Year Ended 12/31/2010 | 10.66 | 0.10 | 1.72 | 1.82 | (0.16 | ) | (0.10 | ) | ||||||||||||||||
Year Ended 12/31/2009 | 8.51 | 0.09 | 2.47 | 2.56 | (0.41 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 | 14.09 | 0.25 | (5.34 | ) | (5.09 | ) | (0.18 | ) | (0.31 | ) | ||||||||||||||
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MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2012 | 11.19 | 0.21 | 1.21 | 1.42 | (0.14 | ) | (0.16 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 11.89 | 0.12 | (0.45 | ) | (0.33 | ) | (0.23 | ) | (0.14 | ) | ||||||||||||||
Year Ended 12/31/2010 | 10.72 | 0.17 | 1.42 | 1.59 | (0.25 | ) | (0.17 | ) | ||||||||||||||||
Year Ended 12/31/2009 | 8.64 | 0.17 | 2.37 | 2.54 | (0.46 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 | 13.48 | 0.33 | (4.71 | ) | (4.38 | ) | (0.23 | ) | (0.23 | ) | ||||||||||||||
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MODERATE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2012 | 11.25 | 0.20 | 1.10 | 1.30 | (0.19 | ) | (0.08 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 11.79 | 0.17 | (0.28 | ) | (0.11 | ) | (0.26 | ) | (0.17 | ) | ||||||||||||||
Year Ended 12/31/2010 | 10.82 | 0.22 | 1.21 | 1.43 | (0.29 | ) | (0.17 | ) | ||||||||||||||||
Year Ended 12/31/2009 | 8.92 | 0.23 | 2.14 | 2.37 | (0.47 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 | 12.82 | 0.37 | (3.83 | ) | (3.46 | ) | (0.27 | ) | (0.17 | ) | ||||||||||||||
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MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2012 | 11.28 | 0.18 | 0.89 | 1.07 | (0.19 | ) | (0.09 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 11.66 | 0.18 | (0.16 | ) | 0.02 | (0.25 | ) | (0.15 | ) | |||||||||||||||
Year Ended 12/31/2010 | 10.91 | 0.23 | 0.97 | 1.20 | (0.28 | ) | (0.17 | ) | ||||||||||||||||
Year Ended 12/31/2009 | 9.27 | 0.24 | 1.82 | 2.06 | (0.42 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 | 12.08 | 0.37 | (2.80 | ) | (2.43 | ) | (0.29 | ) | (0.09 | ) | ||||||||||||||
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PARTNER TECHNOLOGY PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2012 | 6.20 | (0.03 | ) | 1.34 | 1.31 | — | — | |||||||||||||||||
Year Ended 12/31/2011 | 7.11 | (0.01 | ) | (0.90 | ) | (0.91 | ) | — | — | |||||||||||||||
Year Ended 12/31/2010 | 5.69 | (0.04 | ) | 1.46 | 1.42 | — | — | |||||||||||||||||
Year Ended 12/31/2009 | 3.63 | (0.03 | ) | 2.09 | 2.06 | — | — | |||||||||||||||||
Year Ended 12/31/2008 | 8.24 | — | (3.59 | ) | (3.59 | ) | — | (1.02 | ) | |||||||||||||||
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PARTNER HEALTHCARE PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2012 | 11.26 | 0.03 | 2.29 | 2.32 | (0.04 | ) | (0.15 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 12.08 | 0.03 | (0.46 | ) | (0.43 | ) | — | (0.39 | ) | |||||||||||||||
Year Ended 12/31/2010 | 11.08 | (0.02 | ) | 1.22 | 1.20 | (0.02 | ) | (0.18 | ) | |||||||||||||||
Year Ended 12/31/2009 | 8.94 | 0.02 | 2.12 | 2.14 | — | — | ||||||||||||||||||
Year Ended 12/31/2008 (c) | 10.00 | — | (1.05 | ) | (1.05 | ) | (0.01 | ) | — | |||||||||||||||
| (a) | The amount shown may not correlate with the change in aggregate gains and losses of portfolio securities due to the timing of sales and redemptions of fund shares. |
| (c) | Since inception, April 30, 2008. |
| * | All per share amounts have been rounded to the nearest cent. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
350
Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||
| Ratio to Average Net | Before Expenses Waived, | |||||||||||||||||||||||||||||||||
| Net Asset | Net Assets, End | Assets** | Credited or Paid Indirectly** | Portfolio | ||||||||||||||||||||||||||||||
| Total | Value, End of | Total | of Period | Net Investment | Net Investment | Turnover | ||||||||||||||||||||||||||||
Distributions | Period | Return(b) | (in millions) | Expenses | Income/(Loss) | Expenses | Income/(Loss) | Rate | ||||||||||||||||||||||||||
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| $ | (0.60 | ) | $ | 12.15 | 12.25 | % | $ | 608.2 | 0.49 | % | 1.45 | % | 0.49 | % | 1.45 | % | 69 | % | ||||||||||||||||
| (0.36 | ) | 11.40 | (3.93 | )% | 560.6 | 0.42 | % | 0.49 | % | 0.43 | % | 0.47 | % | 74 | % | |||||||||||||||||||
| (0.26 | ) | 12.22 | 17.53 | % | 587.1 | 0.34 | % | 0.95 | % | 0.39 | % | 0.90 | % | 68 | % | |||||||||||||||||||
| (0.41 | ) | 10.66 | 30.62 | % | 497.6 | 0.23 | % | 1.29 | % | 0.26 | % | 1.27 | % | 22 | % | |||||||||||||||||||
| (0.49 | ) | 8.51 | (37.23 | )% | 354.3 | 0.20 | % | 2.45 | % | 0.20 | % | 2.45 | % | 30 | % | |||||||||||||||||||
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| (0.30 | ) | 12.31 | 12.87 | % | 3,056.0 | 0.40 | % | 1.83 | % | 0.40 | % | 1.83 | % | 93 | % | |||||||||||||||||||
| (0.37 | ) | 11.19 | (2.86 | )% | 2,659.6 | 0.33 | % | 1.22 | % | 0.33 | % | 1.22 | % | 64 | % | |||||||||||||||||||
| (0.42 | ) | 11.89 | 15.43 | % | 2,505.6 | 0.28 | % | 1.83 | % | 0.28 | % | 1.83 | % | 39 | % | |||||||||||||||||||
| (0.46 | ) | 10.72 | 29.80 | % | 1,983.0 | 0.20 | % | 2.41 | % | 0.20 | % | 2.41 | % | 17 | % | |||||||||||||||||||
| (0.46 | ) | 8.64 | (33.40 | )% | 1,354.6 | 0.17 | % | 3.36 | % | 0.17 | % | 3.36 | % | 27 | % | |||||||||||||||||||
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| (0.27 | ) | 12.28 | 11.72 | % | 5,337.9 | 0.38 | % | 1.98 | % | 0.38 | % | 1.98 | % | 121 | % | |||||||||||||||||||
| (0.43 | ) | 11.25 | (1.02 | )% | 4,133.6 | 0.29 | % | 1.86 | % | 0.29 | % | 1.86 | % | 53 | % | |||||||||||||||||||
| (0.46 | ) | 11.79 | 13.68 | % | 3,569.4 | 0.26 | % | 2.51 | % | 0.26 | % | 2.51 | % | 30 | % | |||||||||||||||||||
| (0.47 | ) | 10.82 | 26.89 | % | 2,658.5 | 0.19 | % | 3.16 | % | 0.19 | % | 3.16 | % | 16 | % | |||||||||||||||||||
| (0.44 | ) | 8.92 | (27.74 | )% | 1,811.6 | 0.17 | % | 3.91 | % | 0.17 | % | 3.91 | % | 22 | % | |||||||||||||||||||
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| (0.28 | ) | 12.07 | 9.59 | % | 2,920.3 | 0.41 | % | 1.95 | % | 0.41 | % | 1.95 | % | 190 | % | |||||||||||||||||||
| (0.40 | ) | 11.28 | 0.20 | % | 2,055.3 | 0.31 | % | 2.14 | % | 0.31 | % | 2.14 | % | 46 | % | |||||||||||||||||||
| (0.45 | ) | 11.66 | 11.41 | % | 1,591.3 | 0.28 | % | 2.81 | % | 0.28 | % | 2.81 | % | 30 | % | |||||||||||||||||||
| (0.42 | ) | 10.91 | 22.53 | % | 1,075.4 | 0.22 | % | 3.41 | % | 0.22 | % | 3.41 | % | 16 | % | |||||||||||||||||||
| (0.38 | ) | 9.27 | (20.61 | )% | 714.8 | 0.18 | % | 4.09 | % | 0.18 | % | 4.09 | % | 21 | % | |||||||||||||||||||
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| — | 7.51 | 21.09 | % | 35.5 | 1.13 | % | (0.39 | )% | 1.13 | % | (0.39 | )% | 45 | % | ||||||||||||||||||||
| — | 6.20 | (12.83 | )% | 29.6 | 1.13 | % | (0.21 | )% | 1.13 | % | (0.21 | )% | 56 | % | ||||||||||||||||||||
| — | 7.11 | 25.00 | % | 36.3 | 1.15 | % | (0.57 | )% | 1.15 | % | (0.57 | )% | 54 | % | ||||||||||||||||||||
| — | 5.69 | 56.58 | % | 30.9 | 1.22 | % | (0.67 | )% | 1.23 | % | (0.68 | )% | 181 | % | ||||||||||||||||||||
| (1.02 | ) | 3.63 | (48.32 | )% | 24.3 | 0.89 | % | (0.01 | )% | 0.91 | % | (0.03 | )% | 269 | % | |||||||||||||||||||
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| (0.19 | ) | 13.39 | 20.68 | % | 25.2 | 1.25 | % | 0.26 | % | 1.54 | % | (0.04 | )% | 40 | % | |||||||||||||||||||
| (0.39 | ) | 11.26 | (3.79 | )% | 18.0 | 1.30 | % | 0.24 | % | 1.64 | % | (0.11 | )% | 66 | % | |||||||||||||||||||
| (0.20 | ) | 12.08 | 11.13 | % | 17.9 | 1.39 | % | (0.15 | )% | 1.71 | % | (0.47 | )% | 45 | % | |||||||||||||||||||
| — | 11.08 | 23.83 | % | 13.3 | 1.39 | % | 0.19 | % | 2.10 | % | (0.52 | )% | 80 | % | ||||||||||||||||||||
| (0.01 | ) | 8.94 | (10.48 | )% | 7.1 | 1.39 | % | (0.09 | )% | 2.12 | % | (0.83 | )% | 40 | % | |||||||||||||||||||
| (b) | Total investment return assumes dividend reinvestment and does not reflect any deduction for applicable sales charges. Not annualized for periods less than one year. Total return shown does not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the return received by contract holders as compared to the return presented. |
| ** | Computed on an annualized basis for periods less than one year. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
351
Thrivent Series Fund, Inc.
Financial Highlights – continued
| FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | |||||||||||||||||||||||||||
| Net Asset | Net Realized | |||||||||||||||||||||||||||
| Value, | Net | and Unrealized | Total from | Net | Net Realized | |||||||||||||||||||||||
| Beginning of | Investment | Gain/(Loss) on | Investment | Investment | Gain on | Return of | ||||||||||||||||||||||
| Period | Income/(Loss) | Investments(a) | Operations | Income | Investments | Capital | ||||||||||||||||||||||
NATURAL RESOURCES PORTFOLIO | ||||||||||||||||||||||||||||
Year Ended 12/31/2012 | $ | 8.33 | $ | 0.05 | $ | (0.43 | ) | $ | (0.38 | ) | $ | (0.02 | ) | $ | (1.02 | ) | $ | — | ||||||||||
Year Ended 12/31/2011 | 9.56 | 0.02 | (1.24 | ) | (1.22 | ) | (0.01 | ) | — | — | ||||||||||||||||||
Year Ended 12/31/2010 | 8.23 | — | 1.34 | 1.34 | (0.01 | ) | — | — | ||||||||||||||||||||
Year Ended 12/31/2009 | 5.72 | 0.01 | 2.50 | 2.51 | — | — | — | |||||||||||||||||||||
Year Ended 12/31/2008 (c) | 10.00 | 0.01 | (4.28 | ) | (4.27 | ) | (0.01 | ) | — | — | ||||||||||||||||||
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PARTNER EMERGING MARKETS EQUITY PORTFOLIO | ||||||||||||||||||||||||||||
Year Ended 12/31/2012 | 10.92 | 0.14 | 2.68 | 2.82 | (0.07 | ) | (0.06 | ) | — | |||||||||||||||||||
Year Ended 12/31/2011 | 12.38 | 0.15 | (1.48 | ) | (1.33 | ) | (0.13 | ) | — | — | ||||||||||||||||||
Year Ended 12/31/2010 | 9.72 | 0.06 | 2.60 | 2.66 | — | — | — | |||||||||||||||||||||
Year Ended 12/31/2009 | 5.59 | 0.04 | 4.13 | 4.17 | (0.04 | ) | — | — | ||||||||||||||||||||
Year Ended 12/31/2008 (c) | 10.00 | 0.06 | (4.42 | ) | (4.36 | ) | (0.05 | ) | — | — | ||||||||||||||||||
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REAL ESTATE SECURITIES PORTFOLIO | ||||||||||||||||||||||||||||
Year Ended 12/31/2012 | 15.77 | 0.30 | 2.43 | 2.73 | (0.65 | ) | — | — | ||||||||||||||||||||
Year Ended 12/31/2011 (d) | 14.49 | 0.22 | 1.06 | 1.28 | — | — | — | |||||||||||||||||||||
Year Ended 12/31/2010 | 11.67 | 0.22 | 2.99 | 3.21 | (0.39 | ) | — | — | ||||||||||||||||||||
Year Ended 12/31/2009 | 9.34 | 0.29 | 2.44 | 2.73 | (0.29 | ) | — | (0.11 | ) | |||||||||||||||||||
Year Ended 12/31/2008 | 17.74 | 0.41 | (6.35 | ) | (5.94 | ) | (0.74 | ) | (1.46 | ) | (0.26 | ) | ||||||||||||||||
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PARTNER SMALL CAP GROWTH PORTFOLIO | ||||||||||||||||||||||||||||
Year Ended 12/31/2012 | 12.42 | (0.01 | ) | 1.46 | 1.45 | — | — | — | ||||||||||||||||||||
Year Ended 12/31/2011 | 12.92 | (0.08 | ) | (0.42 | ) | (0.50 | ) | — | — | — | ||||||||||||||||||
Year Ended 12/31/2010 | 10.03 | (0.07 | ) | 2.96 | 2.89 | — | — | — | ||||||||||||||||||||
Year Ended 12/31/2009 | 7.45 | (0.03 | ) | 2.62 | 2.59 | (0.01 | ) | — | — | |||||||||||||||||||
Year Ended 12/31/2008 | 13.94 | 0.01 | (5.77 | ) | (5.76 | ) | — | (0.73 | ) | — | ||||||||||||||||||
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PARTNER SMALL CAP VALUE PORTFOLIO | ||||||||||||||||||||||||||||
Year Ended 12/31/2012 | 18.64 | 0.38 | 2.28 | 2.66 | (0.13 | ) | — | — | ||||||||||||||||||||
Year Ended 12/31/2011 | 19.06 | 0.10 | (0.48 | ) | (0.38 | ) | (0.04 | ) | — | — | ||||||||||||||||||
Year Ended 12/31/2010 | 15.58 | 0.13 | 3.52 | 3.65 | (0.17 | ) | — | — | ||||||||||||||||||||
Year Ended 12/31/2009 | 12.07 | 0.11 | 3.52 | 3.63 | (0.11 | ) | (0.01 | ) | — | |||||||||||||||||||
Year Ended 12/31/2008 | 18.44 | 0.13 | (4.85 | ) | (4.72 | ) | (0.20 | ) | (1.45 | ) | — | |||||||||||||||||
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SMALL CAP STOCK PORTFOLIO | ||||||||||||||||||||||||||||
Year Ended 12/31/2012 | 11.99 | 0.06 | 1.07 | 1.13 | — | — | — | |||||||||||||||||||||
Year Ended 12/31/2011 | 12.66 | (0.01 | ) | (0.66 | ) | (0.67 | ) | — | — | — | ||||||||||||||||||
Year Ended 12/31/2010 | 10.13 | (0.01 | ) | 2.54 | 2.53 | — | — | — | ||||||||||||||||||||
Year Ended 12/31/2009 | 8.49 | 0.07 | 1.65 | 1.72 | (0.08 | ) | — | — | ||||||||||||||||||||
Year Ended 12/31/2008 | 15.48 | 0.06 | (5.34 | ) | (5.28 | ) | (0.13 | ) | (1.58 | ) | — | |||||||||||||||||
| (a) | The amount shown may not correlate with the change in aggregate gains and losses of portfolio securities due to the timing of sales and redemptions of fund shares. |
| (c) | Since inception, April 30, 2008. |
| (d) | Per share amounts have been calculated using the average shares outstanding method. |
| * | All per share amounts have been rounded to the nearest cent. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
352
Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||
| Ratio to Average Net | Before Expenses Waived, | |||||||||||||||||||||||||||||||||
| Net Asset | Net Assets, End | Assets** | Credited or Paid Indirectly** | |||||||||||||||||||||||||||||||
| Total | Value, End of | Total | of Period | Net Investment | Net Investment | Portfolio | ||||||||||||||||||||||||||||
Distributions | Period | Return(b) | (in millions) | Expenses | Income/(Loss) | Expenses | Income/(Loss) | Turnover Rate | ||||||||||||||||||||||||||
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| $ | (1.04 | ) | $ | 6.91 | (3.15 | )% | $ | 31.6 | 1.06 | % | 0.70 | % | 1.14 | % | 0.62 | % | 28 | % | ||||||||||||||||
| (0.01 | ) | 8.33 | (12.84 | )% | 31.6 | 1.12 | % | 0.17 | % | 1.12 | % | 0.17 | % | 118 | % | |||||||||||||||||||
| (0.01 | ) | 9.56 | 16.33 | % | 28.7 | 1.20 | % | (0.06 | )% | 1.28 | % | (0.15 | )% | 2 | % | |||||||||||||||||||
| — | 8.23 | 43.72 | % | 21.1 | 1.19 | % | 0.15 | % | 1.70 | % | (0.36 | )% | 2 | % | ||||||||||||||||||||
| (0.01 | ) | 5.72 | (42.68 | )% | 6.6 | 1.19 | % | 0.23 | % | 1.87 | % | (0.45 | )% | 1 | % | |||||||||||||||||||
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| (0.13 | ) | 13.61 | 25.98 | % | 54.7 | 1.40 | % | 1.27 | % | 1.62 | % | 1.05 | % | 4 | % | |||||||||||||||||||
| (0.13 | ) | 10.92 | (10.83 | )% | 38.9 | 1.43 | % | 1.27 | % | 1.66 | % | 1.04 | % | 6 | % | |||||||||||||||||||
| — | 12.38 | 27.33 | % | 40.9 | 1.50 | % | 0.74 | % | 1.88 | % | 0.36 | % | 4 | % | ||||||||||||||||||||
| (0.04 | ) | 9.72 | 74.70 | % | 17.4 | 1.50 | % | 0.78 | % | 2.91 | % | (0.63 | )% | 13 | % | |||||||||||||||||||
| (0.05 | ) | 5.59 | (43.58 | )% | 5.3 | 1.50 | % | 1.18 | % | 2.68 | % | 0.00 | % | 25 | % | |||||||||||||||||||
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| (0.65 | ) | 17.85 | 17.54 | % | 122.4 | 0.93 | % | 1.62 | % | 0.93 | % | 1.62 | % | 32 | % | |||||||||||||||||||
| — | 15.77 | 8.83 | % | 108.0 | 0.87 | % | 1.47 | % | 0.87 | % | 1.47 | % | 16 | % | ||||||||||||||||||||
| (0.39 | ) | 14.49 | 27.56 | % | 329.5 | 0.87 | % | 1.62 | % | 0.87 | % | 1.62 | % | 15 | % | |||||||||||||||||||
| (0.40 | ) | 11.67 | 29.08 | % | 265.4 | 0.89 | % | 3.34 | % | 0.90 | % | 3.33 | % | 18 | % | |||||||||||||||||||
| (2.46 | ) | 9.34 | (37.24 | )% | 197.4 | 0.85 | % | 2.74 | % | 0.86 | % | 2.73 | % | 45 | % | |||||||||||||||||||
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| — | 13.87 | 11.69 | % | 256.9 | 0.99 | % | (0.12 | )% | 1.09 | % | (0.22 | )% | 93 | % | ||||||||||||||||||||
| — | 12.42 | (3.85 | )% | 197.5 | 1.00 | % | (0.63 | )% | 1.10 | % | (0.73 | )% | 101 | % | ||||||||||||||||||||
| — | 12.92 | 28.86 | % | 208.5 | 1.01 | % | (0.62 | )% | 1.11 | % | (0.72 | )% | 100 | % | ||||||||||||||||||||
| (0.01 | ) | 10.03 | 34.75 | % | 160.5 | 1.02 | % | (0.39 | )% | 1.14 | % | (0.51 | )% | 118 | % | |||||||||||||||||||
| (0.73 | ) | 7.45 | (43.23 | )% | 112.5 | 0.98 | % | 0.08 | % | 1.09 | % | (0.04 | )% | 199 | % | |||||||||||||||||||
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| (0.13 | ) | 21.17 | 14.37 | % | 282.6 | 0.88 | % | 1.90 | % | 0.88 | % | 1.90 | % | 18 | % | |||||||||||||||||||
| (0.04 | ) | 18.64 | (1.99 | )% | 250.4 | 0.88 | % | 0.52 | % | 0.88 | % | 0.52 | % | 10 | % | |||||||||||||||||||
| (0.17 | ) | 19.06 | 23.46 | % | 266.9 | 0.88 | % | 0.75 | % | 0.88 | % | 0.75 | % | 19 | % | |||||||||||||||||||
| (0.12 | ) | 15.58 | 30.24 | % | 226.3 | 0.89 | % | 0.86 | % | 0.90 | % | 0.85 | % | 19 | % | |||||||||||||||||||
| (1.65 | ) | 12.07 | (27.05 | )% | 167.9 | 0.86 | % | 1.08 | % | 0.87 | % | 1.07 | % | 31 | % | |||||||||||||||||||
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| — | 13.12 | 9.42 | % | 269.5 | 0.76 | % | 0.49 | % | 0.76 | % | 0.49 | % | 96 | % | ||||||||||||||||||||
| — | 11.99 | (5.31 | )% | 263.8 | 0.76 | % | (0.10 | )% | 0.76 | % | (0.10 | )% | 88 | % | ||||||||||||||||||||
| — | 12.66 | 25.09 | % | 303.2 | 0.77 | % | (0.11 | )% | 0.77 | % | (0.11 | )% | 208 | % | ||||||||||||||||||||
| (0.08 | ) | 10.13 | 20.38 | % | 258.5 | 0.78 | % | 0.65 | % | 0.78 | % | 0.65 | % | 254 | % | |||||||||||||||||||
| (1.71 | ) | 8.49 | (37.52 | )% | 288.1 | 0.73 | % | 0.66 | % | 0.75 | % | 0.64 | % | 286 | % | |||||||||||||||||||
| (b) | Total investment return assumes dividend reinvestment and does not reflect any deduction for applicable sales charges. Not annualized for periods less than one year. Total return shown does not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the return received by contract holders as compared to the return presented. |
| ** | Computed on an annualized basis for periods less than one year. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
353
Thrivent Series Fund, Inc.
Financial Highlights – continued
| FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | |||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | |||||||||||||||||||
SMALL CAP INDEX PORTFOLIO |
| |||||||||||||||||||||||
Year Ended 12/31/2012 | $ | 12.77 | $ | 0.20 | $ | 1.68 | $ | 1.88 | $ | (0.09 | ) | $ | (1.14 | ) | ||||||||||
Year Ended 12/31/2011 | 13.19 | 0.10 | (0.02 | ) | 0.08 | (0.11 | ) | (0.39 | ) | |||||||||||||||
Year Ended 12/31/2010 | 10.57 | 0.11 | 2.60 | 2.71 | (0.09 | ) | — | |||||||||||||||||
Year Ended 12/31/2009 | 10.54 | 0.11 | 2.03 | 2.14 | (0.22 | ) | (1.89 | ) | ||||||||||||||||
Year Ended 12/31/2008 | 19.21 | 0.22 | (5.15 | ) | (4.93 | ) | (0.20 | ) | (3.54 | ) | ||||||||||||||
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MID CAP GROWTH PORTFOLIO |
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Year Ended 12/31/2012 | 17.50 | 0.07 | 2.06 | 2.13 | (0.04 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 18.56 | 0.04 | (1.04 | ) | (1.00 | ) | (0.06 | ) | — | |||||||||||||||
Year Ended 12/31/2010 | 14.42 | 0.06 | 4.12 | 4.18 | (0.04 | ) | — | |||||||||||||||||
Year Ended 12/31/2009 | 9.55 | 0.04 | 4.83 | 4.87 | — | — | ||||||||||||||||||
Year Ended 12/31/2008 | 20.18 | 0.10 | (7.19 | ) | (7.09 | ) | (0.18 | ) | (3.36 | ) | ||||||||||||||
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PARTNER MID CAP VALUE PORTFOLIO |
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Year Ended 12/31/2012 | 12.51 | 0.17 | 2.10 | 2.27 | (0.11 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 13.38 | 0.11 | (0.95 | ) | (0.84 | ) | (0.03 | ) | — | |||||||||||||||
Year Ended 12/31/2010 | 10.82 | 0.08 | 2.58 | 2.66 | (0.10 | ) | — | |||||||||||||||||
Year Ended 12/31/2009 | 8.25 | 0.12 | 2.54 | 2.66 | (0.09 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 | 13.41 | 0.08 | (4.61 | ) | (4.53 | ) | (0.18 | ) | (0.45 | ) | ||||||||||||||
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MID CAP STOCK PORTFOLIO |
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Year Ended 12/31/2012 | 11.48 | 0.06 | 1.58 | 1.64 | (0.03 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 12.25 | 0.03 | (0.79 | ) | (0.76 | ) | (0.01 | ) | — | |||||||||||||||
Year Ended 12/31/2010 | 9.80 | 0.05 | 2.45 | 2.50 | (0.05 | ) | — | |||||||||||||||||
Year Ended 12/31/2009 | 7.08 | 0.05 | 2.72 | 2.77 | (0.05 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 | 13.15 | 0.04 | (5.08 | ) | (5.04 | ) | (0.12 | ) | (0.91 | ) | ||||||||||||||
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MID CAP INDEX PORTFOLIO |
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Year Ended 12/31/2012 | 11.79 | 0.14 | 1.74 | 1.88 | (0.10 | ) | (1.21 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 12.91 | 0.10 | (0.33 | ) | (0.23 | ) | (0.11 | ) | (0.78 | ) | ||||||||||||||
Year Ended 12/31/2010 | 10.37 | 0.11 | 2.55 | 2.66 | (0.12 | ) | — | |||||||||||||||||
Year Ended 12/31/2009 | 8.31 | 0.12 | 2.72 | 2.84 | (0.18 | ) | (0.60 | ) | ||||||||||||||||
Year Ended 12/31/2008 | 15.20 | 0.19 | (5.02 | ) | (4.83 | ) | (0.19 | ) | (1.87 | ) | ||||||||||||||
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PARTNER WORLDWIDE ALLOCATION PORTFOLIO |
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Year Ended 12/31/2012 | 7.39 | 0.12 | 1.26 | 1.38 | (0.12 | ) | (0.03 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 8.77 | 0.19 | (1.26 | ) | (1.07 | ) | (0.17 | ) | (0.14 | ) | ||||||||||||||
Year Ended 12/31/2010 | 7.84 | 0.11 | 0.93 | 1.04 | (0.11 | ) | — | |||||||||||||||||
Year Ended 12/31/2009 | 6.03 | 0.10 | 1.81 | 1.91 | (0.10 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 (c) | 10.00 | 0.07 | (3.98 | ) | (3.91 | ) | (0.06 | ) | — | |||||||||||||||
| (a) | The amount shown may not correlate with the change in aggregate gains and losses of portfolio securities due to the timing of sales and redemptions of fund shares. |
| (c) | Since inception, April 30, 2008. |
| * | All per share amounts have been rounded to the nearest cent. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
354
Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Ratio to Average Net Assets** | Ratios to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly** | |||||||||||||||||||||||||||||||||
Total | Net Asset Value, End of Period | Total Return(b) | Net Assets, End of Period (in millions) | Expenses | Net Investment Income/(Loss) | Expenses | Net Investment Income/(Loss) | Portfolio Turnover Rate | ||||||||||||||||||||||||||
| $ | (1.23 | ) | $ | 13.42 | 15.95 | % | $ | 193.7 | 0.46 | % | 1.44 | % | 0.46 | % | 1.44 | % | 9 | % | ||||||||||||||||
| (0.50 | ) | 12.77 | 0.53 | % | 189.0 | 0.45 | % | 0.63 | % | 0.45 | % | 0.63 | % | 13 | % | |||||||||||||||||||
| (0.09 | ) | 13.19 | 25.88 | % | 220.1 | 0.46 | % | 0.86 | % | 0.46 | % | 0.86 | % | 11 | % | |||||||||||||||||||
| (2.11 | ) | 10.57 | 25.29 | % | 203.9 | 0.47 | % | 0.94 | % | 0.48 | % | 0.94 | % | 13 | % | |||||||||||||||||||
| (3.74 | ) | 10.54 | (31.07 | )% | 192.2 | 0.42 | % | 1.28 | % | 0.42 | % | 1.28 | % | 31 | % | |||||||||||||||||||
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| (0.04 | ) | 19.59 | 12.22 | % | 361.5 | 0.46 | % | 0.39 | % | 0.46 | % | 0.39 | % | 39 | % | |||||||||||||||||||
| (0.06 | ) | 17.50 | (5.43 | )% | 348.8 | 0.46 | % | 0.21 | % | 0.46 | % | 0.21 | % | 67 | % | |||||||||||||||||||
| (0.04 | ) | 18.56 | 29.11 | % | 419.9 | 0.46 | % | 0.34 | % | 0.46 | % | 0.34 | % | 48 | % | |||||||||||||||||||
| — | 14.42 | 50.94 | % | 365.2 | 0.48 | % | 0.30 | % | 0.48 | % | 0.29 | % | 61 | % | ||||||||||||||||||||
| (3.54 | ) | 9.55 | (41.13 | )% | 275.1 | 0.44 | % | 0.54 | % | 0.45 | % | 0.52 | % | 82 | % | |||||||||||||||||||
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| (0.11 | ) | 14.67 | 18.27 | % | 261.5 | 0.84 | % | 1.26 | % | 0.84 | % | 1.26 | % | 80 | % | |||||||||||||||||||
| (0.03 | ) | 12.51 | (6.33 | )% | 215.8 | 0.84 | % | 0.84 | % | 0.84 | % | 0.84 | % | 76 | % | |||||||||||||||||||
| (0.10 | ) | 13.38 | 24.73 | % | 232.2 | 0.85 | % | 0.72 | % | 0.85 | % | 0.72 | % | 91 | % | |||||||||||||||||||
| (0.09 | ) | 10.82 | 32.33 | % | 183.7 | 0.87 | % | 1.42 | % | 0.88 | % | 1.41 | % | 114 | % | |||||||||||||||||||
| (0.63 | ) | 8.25 | (35.05 | )% | 123.3 | 0.83 | % | 1.41 | % | 0.85 | % | 1.39 | % | 97 | % | |||||||||||||||||||
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| (0.03 | ) | 13.09 | 14.29 | % | 506.7 | 0.73 | % | 0.51 | % | 0.73 | % | 0.51 | % | 47 | % | |||||||||||||||||||
| (0.01 | ) | 11.48 | (6.29 | )% | 457.0 | 0.72 | % | 0.24 | % | 0.72 | % | 0.24 | % | 35 | % | |||||||||||||||||||
| (0.05 | ) | 12.25 | 25.60 | % | 511.5 | 0.73 | % | 0.45 | % | 0.73 | % | 0.45 | % | 78 | % | |||||||||||||||||||
| (0.05 | ) | 9.80 | 39.10 | % | 443.5 | 0.73 | % | 0.55 | % | 0.74 | % | 0.54 | % | 53 | % | |||||||||||||||||||
| (1.03 | ) | 7.08 | (40.75 | )% | 379.9 | 0.72 | % | 0.81 | % | 0.73 | % | 0.80 | % | 234 | % | |||||||||||||||||||
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| (1.31 | ) | 12.36 | 17.38 | % | 85.1 | 0.53 | % | 1.11 | % | 0.53 | % | 1.11 | % | 8 | % | |||||||||||||||||||
| (0.89 | ) | 11.79 | (2.23 | )% | 78.1 | 0.53 | % | 0.72 | % | 0.53 | % | 0.72 | % | 16 | % | |||||||||||||||||||
| (0.12 | ) | 12.91 | 25.91 | % | 94.2 | 0.54 | % | 0.81 | % | 0.54 | % | 0.81 | % | 13 | % | |||||||||||||||||||
| (0.78 | ) | 10.37 | 36.69 | % | 86.9 | 0.56 | % | 1.19 | % | 0.57 | % | 1.19 | % | 18 | % | |||||||||||||||||||
| (2.06 | ) | 8.31 | (36.29 | )% | 75.1 | 0.46 | % | 1.33 | % | 0.46 | % | 1.32 | % | 24 | % | |||||||||||||||||||
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| (0.15 | ) | 8.62 | 18.67 | % | 1,520.3 | 0.95 | % | 2.10 | % | 0.95 | % | 2.10 | % | 93 | % | |||||||||||||||||||
| (0.31 | ) | 7.39 | (12.13 | )% | 495.6 | 0.99 | % | 2.25 | % | 0.99 | % | 2.25 | % | 64 | % | |||||||||||||||||||
| (0.11 | ) | 8.77 | 13.43 | % | 522.6 | 1.00 | % | 1.73 | % | 1.05 | % | 1.68 | % | 84 | % | |||||||||||||||||||
| (0.10 | ) | 7.84 | 31.67 | % | 254.9 | 1.00 | % | 2.01 | % | 1.20 | % | 1.81 | % | 80 | % | |||||||||||||||||||
| (0.06 | ) | 6.03 | (39.09 | )% | 105.9 | 1.00 | % | 2.17 | % | 1.25 | % | 1.92 | % | 49 | % | |||||||||||||||||||
| (b) | Total investment return assumes dividend reinvestment and does not reflect any deduction for applicable sales charges. Not annualized for periods less than one year. Total return shown does not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the return received by contract holders as compared to the return presented. |
| ** | Computed on an annualized basis for periods less than one year. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
355
Thrivent Series Fund, Inc.
Financial Highlights – continued
| FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | |||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | |||||||||||||||||||
PARTNER SOCIALLY RESPONSIBLE STOCK PORTFOLIO |
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Year Ended 12/31/2012 | $ | 10.16 | $ | 0.04 | $ | 1.62 | $ | 1.66 | $ | — | $ | — | ||||||||||||
Year Ended 12/31/2011 | 10.35 | — | (0.19 | ) | (0.19 | ) | — | — | ||||||||||||||||
Year Ended 12/31/2010 | 8.76 | — | 1.60 | 1.60 | (0.01 | ) | — | |||||||||||||||||
Year Ended 12/31/2009 | 6.48 | 0.03 | 2.29 | 2.32 | (0.04 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 (c) | 10.00 | 0.02 | (3.52 | ) | (3.50 | ) | (0.02 | ) | — | |||||||||||||||
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PARTNER ALL CAP GROWTH PORTFOLIO |
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Year Ended 12/31/2012 | 9.35 | — | 1.04 | 1.04 | — | — | ||||||||||||||||||
Year Ended 12/31/2011 | 10.07 | (0.03 | ) | (0.69 | ) | (0.72 | ) | — | — | |||||||||||||||
Year Ended 12/31/2010 | 8.03 | (0.01 | ) | 2.05 | 2.04 | �� | — | — | ||||||||||||||||
Year Ended 12/31/2009 | 5.34 | (0.01 | ) | 2.70 | 2.69 | — | — | |||||||||||||||||
Year Ended 12/31/2008 (c) | 10.00 | (0.01 | ) | (4.65 | ) | (4.66 | ) | — | — | |||||||||||||||
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PARTNER ALL CAP VALUE PORTFOLIO |
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Year Ended 12/31/2012 | 8.12 | 0.09 | 0.85 | 0.94 | (0.05 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 9.09 | 0.05 | (0.97 | ) | (0.92 | ) | (0.05 | ) | — | |||||||||||||||
Year Ended 12/31/2010 | 7.65 | 0.03 | 1.41 | 1.44 | — | — | ||||||||||||||||||
Year Ended 12/31/2009 | 5.47 | 0.06 | 2.20 | 2.26 | (0.08 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 (c) | 10.00 | 0.08 | (4.51 | ) | (4.43 | ) | (0.10 | ) | — | |||||||||||||||
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PARTNER ALL CAP PORTFOLIO |
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Year Ended 12/31/2012 | 8.44 | 0.08 | 1.16 | 1.24 | (0.04 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 8.93 | 0.06 | (0.49 | ) | (0.43 | ) | (0.06 | ) | — | |||||||||||||||
Year Ended 12/31/2010 | 7.73 | 0.04 | 1.22 | 1.26 | (0.06 | ) | — | |||||||||||||||||
Year Ended 12/31/2009 | 6.10 | 0.06 | 1.66 | 1.72 | (0.09 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 | 13.00 | 0.09 | (5.05 | ) | (4.96 | ) | (0.08 | ) | (1.86 | ) | ||||||||||||||
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LARGE CAP GROWTH PORTFOLIO |
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Year Ended 12/31/2012 | 15.96 | 0.22 | 2.85 | 3.07 | (0.22 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 16.98 | 0.10 | (1.02 | ) | (0.92 | ) | (0.10 | ) | — | |||||||||||||||
Year Ended 12/31/2010 | 15.40 | 0.09 | 1.58 | 1.67 | (0.09 | ) | — | |||||||||||||||||
Year Ended 12/31/2009 | 10.96 | 0.11 | 4.43 | 4.54 | (0.10 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 | 19.23 | 0.18 | (8.26 | ) | (8.08 | ) | (0.19 | ) | — | |||||||||||||||
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PARTNER GROWTH STOCK PORTFOLIO |
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Year Ended 12/31/2012 | 11.41 | — | 2.13 | 2.13 | — | — | ||||||||||||||||||
Year Ended 12/31/2011 | 11.58 | (0.03 | ) | (0.14 | ) | (0.17 | ) | — | — | |||||||||||||||
Year Ended 12/31/2010 | 9.93 | (0.02 | ) | 1.67 | 1.65 | — | — | |||||||||||||||||
Year Ended 12/31/2009 | 6.96 | — | 3.00 | 3.00 | (0.03 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 | 13.55 | 0.05 | (5.29 | ) | (5.24 | ) | (0.09 | ) | (1.26 | ) | ||||||||||||||
| (a) | The amount shown may not correlate with the change in aggregate gains and losses of portfolio securities due to the timing of sales and redemptions of fund shares. |
| (c) | Since inception, April 30, 2008. |
| * | All per share amounts have been rounded to the nearest cent. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
356
Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Ratio to Average Net Assets** | Ratios to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly** | |||||||||||||||||||||||||||||||||
Total | Net Asset Value, End of Period | Total Return(b) | Net Assets, End of Period (in millions) | Expenses | Net Investment Income/(Loss) | Expenses | Net Investment Income/(Loss) | Portfolio Turnover Rate | ||||||||||||||||||||||||||
| $ | — | $ | 11.82 | 16.32 | % | $ | 9.2 | 0.98 | % | 0.36 | % | 2.34 | % | (0.99 | )% | 31 | % | |||||||||||||||||
| — | 10.16 | (1.82 | )% | 6.1 | 0.98 | % | 0.01 | % | 2.99 | % | (2.00 | )% | 45 | % | ||||||||||||||||||||
| (0.01 | ) | 10.35 | 18.31 | % | 4.4 | 0.98 | % | 0.05 | % | 3.63 | % | (2.60 | )% | 41 | % | |||||||||||||||||||
| (0.04 | ) | 8.76 | 35.65 | % | 4.1 | 0.98 | % | 0.41 | % | 4.06 | % | (2.67 | )% | 41 | % | |||||||||||||||||||
| (0.02 | ) | 6.48 | (34.98 | )% | 3.2 | 0.98 | % | 0.30 | % | 2.19 | % | (0.92 | )% | 32 | % | |||||||||||||||||||
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| — | 10.39 | 11.15 | % | 12.8 | 1.00 | % | 0.03 | % | 1.84 | % | (0.81 | )% | 61 | % | ||||||||||||||||||||
| — | 9.35 | (7.13 | )% | 12.7 | 1.00 | % | (0.26 | )% | 1.85 | % | (1.12 | )% | 76 | % | ||||||||||||||||||||
| — | 10.07 | 25.33 | % | 11.8 | 1.00 | % | (0.17 | )% | 2.26 | % | (1.42 | )% | 77 | % | ||||||||||||||||||||
| — | 8.03 | 50.32 | % | 8.1 | 1.00 | % | (0.15 | )% | 3.79 | % | (2.94 | )% | 46 | % | ||||||||||||||||||||
| — | 5.34 | (46.57 | )% | 2.4 | 1.00 | % | (0.14 | )% | 2.64 | % | (1.79 | )% | 62 | % | ||||||||||||||||||||
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| (0.05 | ) | 9.01 | 11.74 | % | 6.0 | 0.98 | % | 0.93 | % | 2.67 | % | (0.75 | )% | 118 | % | |||||||||||||||||||
| (0.05 | ) | 8.12 | (10.16 | )% | 6.7 | 0.98 | % | 0.59 | % | 2.42 | % | (0.85 | )% | 139 | % | |||||||||||||||||||
| — | 9.09 | 18.86 | % | 7.4 | 0.99 | % | 0.39 | % | 2.77 | % | (1.39 | )% | 146 | % | ||||||||||||||||||||
| (0.08 | ) | 7.65 | 41.20 | % | 5.5 | 0.98 | % | 1.26 | % | 4.67 | % | (2.43 | )% | 143 | % | |||||||||||||||||||
| (0.10 | ) | 5.47 | (44.21 | )% | 2.5 | 0.98 | % | 1.43 | % | 2.80 | % | (0.40 | )% | 168 | % | |||||||||||||||||||
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| (0.04 | ) | 9.64 | 14.74 | % | 51.5 | 1.04 | % | 0.81 | % | 1.24 | % | 0.61 | % | 116 | % | |||||||||||||||||||
| (0.06 | ) | 8.44 | (4.83 | )% | 51.4 | 1.03 | % | 0.56 | % | 1.23 | % | 0.36 | % | 124 | % | |||||||||||||||||||
| (0.06 | ) | 8.93 | 16.34 | % | 62.4 | 1.02 | % | 0.47 | % | 1.22 | % | 0.27 | % | 180 | % | |||||||||||||||||||
| (0.09 | ) | 7.73 | 28.48 | % | 62.6 | 1.04 | % | 0.76 | % | 1.24 | % | 0.56 | % | 231 | % | |||||||||||||||||||
| (1.94 | ) | 6.10 | (42.91 | )% | 56.2 | 0.86 | % | 0.84 | % | 1.07 | % | 0.64 | % | 260 | % | |||||||||||||||||||
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| (0.22 | ) | 18.81 | 19.18 | % | 859.9 | 0.45 | % | 1.16 | % | 0.45 | % | 1.16 | % | 87 | % | |||||||||||||||||||
| (0.10 | ) | 15.96 | (5.42 | )% | 805.3 | 0.44 | % | 0.55 | % | 0.44 | % | 0.55 | % | 216 | % | |||||||||||||||||||
| (0.09 | ) | 16.98 | 10.90 | % | 983.3 | 0.45 | % | 0.56 | % | 0.45 | % | 0.56 | % | 231 | % | |||||||||||||||||||
| (0.10 | ) | 15.40 | 41.40 | % | 1,025.3 | 0.45 | % | 0.79 | % | 0.45 | % | 0.79 | % | 216 | % | |||||||||||||||||||
| (0.19 | ) | 10.96 | (42.00 | )% | 844.5 | 0.44 | % | 0.74 | % | 0.45 | % | 0.73 | % | 177 | % | |||||||||||||||||||
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| — | 13.54 | 18.66 | % | 58.0 | 0.96 | % | 0.02 | % | 1.06 | % | (0.08 | )% | 32 | % | ||||||||||||||||||||
| — | 11.41 | (1.49 | )% | 51.1 | 0.96 | % | (0.20 | )% | 1.06 | % | (0.30 | )% | 26 | % | ||||||||||||||||||||
| — | 11.58 | 16.62 | % | 61.4 | 0.95 | % | (0.19 | )% | 1.05 | % | (0.29 | )% | 36 | % | ||||||||||||||||||||
| (0.03 | ) | 9.93 | 43.17 | % | 61.3 | 0.98 | % | 0.01 | % | 1.08 | % | (0.09 | )% | 53 | % | |||||||||||||||||||
| (1.35 | ) | 6.96 | (42.13 | )% | 52.1 | 0.82 | % | 0.34 | % | 0.92 | % | 0.23 | % | 44 | % | |||||||||||||||||||
| (b) | Total investment return assumes dividend reinvestment and does not reflect any deduction for applicable sales charges. Not annualized for periods less than one year. Total return shown does not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the return received by contract holders as compared to the return presented. |
| ** | Computed on an annualized basis for periods less than one year. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
357
Thrivent Series Fund, Inc.
Financial Highlights – continued
| FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | |||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | |||||||||||||||||||
LARGE CAP VALUE PORTFOLIO |
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Year Ended 12/31/2012 | $ | 10.39 | $ | 0.21 | $ | 1.59 | $ | 1.80 | $ | (0.19 | ) | $ | — | |||||||||||
Year Ended 12/31/2011 | 10.73 | 0.18 | (0.52 | ) | (0.34 | ) | — | — | ||||||||||||||||
Year Ended 12/31/2010 | 9.65 | 0.14 | 1.08 | 1.22 | (0.14 | ) | — | |||||||||||||||||
Year Ended 12/31/2009 | 8.10 | 0.16 | 1.55 | 1.71 | (0.16 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 | 13.41 | 0.23 | (4.66 | ) | (4.43 | ) | (0.43 | ) | (0.45 | ) | ||||||||||||||
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LARGE CAP STOCK PORTFOLIO |
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Year Ended 12/31/2012 | 8.11 | 0.12 | 1.08 | 1.20 | (0.09 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 8.50 | 0.09 | (0.48 | ) | (0.39 | ) | — | — | ||||||||||||||||
Year Ended 12/31/2010 | 7.72 | 0.06 | 0.78 | 0.84 | (0.06 | ) | — | |||||||||||||||||
Year Ended 12/31/2009 | 6.11 | 0.07 | 1.61 | 1.68 | (0.07 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 | 11.04 | 0.15 | (4.05 | ) | (3.90 | ) | (0.28 | ) | (0.75 | ) | ||||||||||||||
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LARGE CAP INDEX PORTFOLIO |
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Year Ended 12/31/2012 | 17.71 | 0.40 | 2.33 | 2.73 | (0.33 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 17.71 | 0.34 | (0.04 | ) | 0.30 | (0.30 | ) | — | ||||||||||||||||
Year Ended 12/31/2010 | 15.76 | 0.30 | 1.95 | 2.25 | (0.30 | ) | — | |||||||||||||||||
Year Ended 12/31/2009 | 13.72 | 0.33 | 2.98 | 3.31 | (0.45 | ) | (0.82 | ) | ||||||||||||||||
Year Ended 12/31/2008 | 25.18 | 0.47 | (8.99 | ) | (8.52 | ) | (0.50 | ) | (2.44 | ) | ||||||||||||||
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EQUITY INCOME PLUS PORTFOLIO |
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Year Ended 12/31/2012 | 8.81 | 0.24 | 0.91 | 1.15 | (0.14 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 9.06 | 0.15 | (0.37 | ) | (0.22 | ) | (0.03 | ) | — | |||||||||||||||
Year Ended 12/31/2010 | 7.91 | 0.15 | 1.13 | 1.28 | (0.13 | ) | — | |||||||||||||||||
Year Ended 12/31/2009 | 6.89 | 0.14 | 1.01 | 1.15 | (0.13 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 (c) | 10.00 | 0.15 | (3.11 | ) | (2.96 | ) | (0.15 | ) | — | |||||||||||||||
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BALANCED PORTFOLIO |
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Year Ended 12/31/2012 | 14.48 | 0.33 | 1.42 | 1.75 | (0.34 | ) | (0.47 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 14.72 | 0.34 | 0.26 | 0.60 | (0.34 | ) | (0.50 | ) | ||||||||||||||||
Year Ended 12/31/2010 | 13.44 | 0.34 | 1.39 | 1.73 | (0.36 | ) | (0.09 | ) | ||||||||||||||||
Year Ended 12/31/2009 | 11.75 | 0.38 | 2.06 | 2.44 | (0.55 | ) | (0.20 | ) | ||||||||||||||||
Year Ended 12/31/2008 | 17.16 | 0.56 | (4.82 | ) | (4.26 | ) | (0.58 | ) | (0.57 | ) | ||||||||||||||
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HIGH YIELD PORTFOLIO |
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Year Ended 12/31/2012 | 4.66 | 0.35 | 0.39 | 0.74 | (0.35 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 4.81 | 0.37 | (0.15 | ) | 0.22 | (0.37 | ) | — | ||||||||||||||||
Year Ended 12/31/2010 | 4.56 | 0.38 | 0.25 | 0.63 | (0.38 | ) | — | |||||||||||||||||
Year Ended 12/31/2009 | 3.48 | 0.38 | 1.07 | 1.45 | (0.37 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 | 4.84 | 0.37 | (1.34 | ) | (0.97 | ) | (0.39 | ) | — | |||||||||||||||
| (a) | The amount shown may not correlate with the change in aggregate gains and losses of portfolio securities due to the timing of sales and redemptions of fund shares. |
| (c) | Since inception, April 30, 2008. |
| * | All per share amounts have been rounded to the nearest cent. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
358
Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Ratio to Average Net Assets** | Ratios to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly** | |||||||||||||||||||||||||||||||||
Total | Net Asset Value, End of Period | Total Return(b) | Net Assets, End of Period (in millions) | Expenses | Net Investment Income/(Loss) | Expenses | Net Investment Income/(Loss) | Portfolio Turnover Rate | ||||||||||||||||||||||||||
| $ | (0.19 | ) | $ | 12.00 | 17.57 | % | $ | 852.6 | 0.64 | % | 1.84 | % | 0.64 | % | 1.84 | % | 90 | % | ||||||||||||||||
| — | 10.39 | (3.08 | )% | 752.1 | 0.64 | % | 1.70 | % | 0.64 | % | 1.70 | % | 73 | % | ||||||||||||||||||||
| (0.14 | ) | 10.73 | 12.61 | % | 811.3 | 0.65 | % | 1.39 | % | 0.65 | % | 1.39 | % | 109 | % | |||||||||||||||||||
| (0.16 | ) | 9.65 | 21.11 | % | 733.0 | 0.65 | % | 1.77 | % | 0.65 | % | 1.77 | % | 110 | % | |||||||||||||||||||
| (0.88 | ) | 8.10 | (34.33 | )% | 664.1 | 0.64 | % | 2.16 | % | 0.65 | % | 2.16 | % | 53 | % | |||||||||||||||||||
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| (0.09 | ) | 9.22 | 14.90 | % | 622.5 | 0.69 | % | 1.35 | % | 0.69 | % | 1.35 | % | 121 | % | |||||||||||||||||||
| — | 8.11 | (4.58 | )% | 565.8 | 0.69 | % | 1.00 | % | 0.69 | % | 1.00 | % | 139 | % | ||||||||||||||||||||
| (0.06 | ) | 8.50 | 10.82 | % | 628.3 | 0.69 | % | 0.74 | % | 0.69 | % | 0.74 | % | 181 | % | |||||||||||||||||||
| (0.07 | ) | 7.72 | 27.59 | % | 617.3 | 0.70 | % | 1.03 | % | 0.71 | % | 1.03 | % | 169 | % | |||||||||||||||||||
| (1.03 | ) | 6.11 | (37.68 | )% | 497.4 | 0.66 | % | 1.42 | % | 0.67 | % | 1.41 | % | 100 | % | |||||||||||||||||||
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| (0.33 | ) | 20.11 | 15.54 | % | 304.0 | 0.42 | % | 1.89 | % | 0.42 | % | 1.89 | % | 4 | % | |||||||||||||||||||
| (0.30 | ) | 17.71 | 1.71 | % | 291.3 | 0.42 | % | 1.67 | % | 0.42 | % | 1.67 | % | 4 | % | |||||||||||||||||||
| (0.30 | ) | 17.71 | 14.63 | % | 331.5 | 0.42 | % | 1.64 | % | 0.42 | % | 1.64 | % | 6 | % | |||||||||||||||||||
| (1.27 | ) | 15.76 | 26.20 | % | 338.2 | 0.43 | % | 2.00 | % | 0.43 | % | 2.00 | % | 7 | % | |||||||||||||||||||
| (2.94 | ) | 13.72 | (37.12 | )% | 319.7 | 0.38 | % | 2.01 | % | 0.39 | % | 2.00 | % | 8 | % | |||||||||||||||||||
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| (0.14 | ) | 9.82 | 13.17 | % | 102.1 | 0.81 | % | 2.56 | % | 0.81 | % | 2.56 | % | 160 | % | |||||||||||||||||||
| (0.03 | ) | 8.81 | (2.46 | )% | 88.1 | 0.83 | % | 1.78 | % | 0.83 | % | 1.78 | % | 195 | % | |||||||||||||||||||
| (0.13 | ) | 9.06 | 16.23 | % | 76.3 | 0.85 | % | 2.06 | % | 0.89 | % | 2.02 | % | 362 | % | |||||||||||||||||||
| (0.13 | ) | 7.91 | 16.68 | % | 55.0 | 0.85 | % | 2.24 | % | 0.99 | % | 2.10 | % | 416 | % | |||||||||||||||||||
| (0.15 | ) | 6.89 | (29.58 | )% | 41.4 | 0.80 | % | 2.74 | % | 0.84 | % | 2.71 | % | 74 | % | |||||||||||||||||||
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| (0.81 | ) | 15.42 | 12.42 | % | 239.3 | 0.45 | % | 1.93 | % | 0.45 | % | 1.93 | % | 142 | % | |||||||||||||||||||
| (0.84 | ) | 14.48 | 4.18 | % | 240.5 | 0.44 | % | 2.06 | % | 0.44 | % | 2.06 | % | 143 | % | |||||||||||||||||||
| (0.45 | ) | 14.72 | 13.30 | % | 270.6 | 0.44 | % | 2.13 | % | 0.44 | % | 2.13 | % | 136 | % | |||||||||||||||||||
| (0.75 | ) | 13.44 | 21.76 | % | 281.2 | 0.44 | % | 2.55 | % | 0.44 | % | 2.54 | % | 115 | % | |||||||||||||||||||
| (1.15 | ) | 11.75 | (26.06 | )% | 280.0 | 0.39 | % | 3.00 | % | 0.41 | % | 2.98 | % | 133 | % | |||||||||||||||||||
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| (0.35 | ) | 5.05 | 16.28 | % | 904.9 | 0.44 | % | 7.11 | % | 0.44 | % | 7.11 | % | 57 | % | |||||||||||||||||||
| (0.37 | ) | 4.66 | 4.71 | % | 778.5 | 0.45 | % | 7.81 | % | 0.45 | % | 7.81 | % | 58 | % | |||||||||||||||||||
| (0.38 | ) | 4.81 | 14.58 | % | 783.0 | 0.45 | % | 8.20 | % | 0.45 | % | 8.20 | % | 82 | % | |||||||||||||||||||
| (0.37 | ) | 4.56 | 43.49 | % | 756.0 | 0.45 | % | 9.28 | % | 0.46 | % | 9.28 | % | 61 | % | |||||||||||||||||||
| (0.39 | ) | 3.48 | (21.19 | )% | 597.2 | 0.43 | % | 8.63 | % | 0.45 | % | 8.61 | % | 50 | % | |||||||||||||||||||
| (b) | Total investment return assumes dividend reinvestment and does not reflect any deduction for applicable sales charges. Not annualized for periods less than one year. Total return shown does not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the return received by contract holders as compared to the return presented. |
| ** | Computed on an annualized basis for periods less than one year. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
359
Thrivent Series Fund, Inc.
Financial Highlights – continued
| FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||||
| Income from Investment Operations | Less Distributions from | |||||||||||||||||||||||
| Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | |||||||||||||||||||
DIVERSIFIED INCOME PLUS PORTFOLIO |
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Year Ended 12/31/2012 | $ | 6.56 | $ | 0.19 | $ | 0.74 | $ | 0.93 | $ | (0.26 | ) | $ | — | |||||||||||
Year Ended 12/31/2011 | 6.75 | 0.29 | (0.13 | ) | 0.16 | (0.35 | ) | — | ||||||||||||||||
Year Ended 12/31/2010 | 6.14 | 0.38 | 0.55 | 0.93 | (0.32 | ) | — | |||||||||||||||||
Year Ended 12/31/2009 | 5.01 | 0.43 | 1.15 | 1.58 | (0.45 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 | 6.98 | 0.46 | (2.00 | ) | (1.54 | ) | (0.43 | ) | — | |||||||||||||||
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INCOME PORTFOLIO |
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Year Ended 12/31/2012 | 10.09 | 0.40 | 0.68 | 1.08 | (0.40 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 9.96 | 0.46 | 0.12 | 0.58 | (0.45 | ) | — | |||||||||||||||||
Year Ended 12/31/2010 | 9.39 | 0.49 | 0.57 | 1.06 | (0.49 | ) | — | |||||||||||||||||
Year Ended 12/31/2009 | 8.20 | 0.50 | 1.19 | 1.69 | (0.50 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 | 9.74 | 0.51 | (1.53 | ) | (1.02 | ) | (0.52 | ) | — | |||||||||||||||
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BOND INDEX PORTFOLIO |
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Year Ended 12/31/2012 | 11.21 | 0.23 | 0.32 | 0.55 | (0.23 | ) | (0.14 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 10.73 | 0.31 | 0.55 | 0.86 | (0.31 | ) | (0.07 | ) | ||||||||||||||||
Year Ended 12/31/2010 | 10.13 | 0.33 | 0.60 | 0.93 | (0.33 | ) | — | |||||||||||||||||
Year Ended 12/31/2009 | 9.72 | 0.37 | 0.43 | 0.80 | (0.39 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 | 10.29 | 0.48 | (0.56 | ) | (0.08 | ) | (0.49 | ) | — | |||||||||||||||
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LIMITED MATURITY BOND PORTFOLIO |
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Year Ended 12/31/2012 | 9.67 | 0.17 | 0.24 | 0.41 | (0.16 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 9.80 | 0.23 | (0.14 | ) | 0.09 | (0.22 | ) | — | ||||||||||||||||
Year Ended 12/31/2010 | 9.62 | 0.32 | 0.18 | 0.50 | (0.32 | ) | — | |||||||||||||||||
Year Ended 12/31/2009 | 8.79 | 0.39 | 0.82 | 1.21 | (0.38 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 | 9.84 | 0.42 | (1.04 | ) | (0.62 | ) | (0.43 | ) | — | |||||||||||||||
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MORTGAGE SECURITIES PORTFOLIO |
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Year Ended 12/31/2012 | 10.45 | 0.16 | 0.44 | 0.60 | (0.16 | ) | (0.25 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 10.32 | 0.30 | 0.17 | 0.47 | (0.30 | ) | (0.04 | ) | ||||||||||||||||
Year Ended 12/31/2010 | 9.62 | 0.35 | 0.80 | 1.15 | (0.35 | ) | (0.10 | ) | ||||||||||||||||
Year Ended 12/31/2009 | 8.82 | 0.43 | 0.69 | 1.12 | (0.32 | ) | — | |||||||||||||||||
Year Ended 12/31/2008 | 9.71 | 0.44 | (0.91 | ) | (0.47 | ) | (0.42 | ) | — | |||||||||||||||
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MONEY MARKET PORTFOLIO |
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Year Ended 12/31/2012 | 1.00 | — | — | — | — | — | ||||||||||||||||||
Year Ended 12/31/2011 | 1.00 | — | — | — | — | — | ||||||||||||||||||
Year Ended 12/31/2010 | 1.00 | — | — | — | — | — | ||||||||||||||||||
Year Ended 12/31/2009 | 1.00 | — | — | — | — | — | ||||||||||||||||||
Year Ended 12/31/2008 | 1.00 | 0.03 | — | 0.03 | (0.03 | ) | — | |||||||||||||||||
| (a) | The amount shown may not correlate with the change in aggregate gains and losses of portfolio securities due to the timing of sales and redemptions of fund shares. |
| * | All per share amounts have been rounded to the nearest cent. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
360
Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Ratio to Average Net Assets** | Ratios to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly** | |||||||||||||||||||||||||||||||||
Total | Net Asset Value, End of Period | Total Return(b) | Net Assets, End of Period (in millions) | Expenses | Net Investment Income/(Loss) | Expenses | Net Investment Income/(Loss) | Portfolio Turnover Rate | ||||||||||||||||||||||||||
| $ | (0.26 | ) | $ | 7.23 | 14.48 | % | $ | 229.7 | 0.52 | % | 4.58 | % | 0.52 | % | 4.58 | % | 155 | % | ||||||||||||||||
| (0.35 | ) | 6.56 | 2.32 | % | 118.4 | 0.55 | % | 4.98 | % | 0.55 | % | 4.98 | % | 127 | % | |||||||||||||||||||
| (0.32 | ) | 6.75 | 15.85 | % | 106.0 | 0.57 | % | 6.28 | % | 0.57 | % | 6.28 | % | 116 | % | |||||||||||||||||||
| (0.45 | ) | 6.14 | 33.06 | % | 87.2 | 0.61 | % | 7.08 | % | 0.63 | % | 7.07 | % | 88 | % | |||||||||||||||||||
| (0.43 | ) | 5.01 | (23.30 | )% | 75.0 | 0.51 | % | 5.61 | % | 0.52 | % | 5.59 | % | 115 | % | |||||||||||||||||||
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| (0.40 | ) | 10.77 | 10.98 | % | 1,575.9 | 0.44 | % | 3.84 | % | 0.44 | % | 3.84 | % | 132 | % | |||||||||||||||||||
| (0.45 | ) | 10.09 | 5.96 | % | 1,463.1 | 0.44 | % | 4.53 | % | 0.44 | % | 4.53 | % | 142 | % | |||||||||||||||||||
| (0.49 | ) | 9.96 | 11.55 | % | 1,322.2 | 0.44 | % | 5.06 | % | 0.44 | % | 5.05 | % | 146 | % | |||||||||||||||||||
| (0.50 | ) | 9.39 | 21.29 | % | 1,278.2 | 0.44 | % | 5.72 | % | 0.45 | % | 5.71 | % | 160 | % | |||||||||||||||||||
| (0.52 | ) | 8.20 | (10.85 | )% | 1,097.1 | 0.44 | % | 5.61 | % | 0.45 | % | 5.60 | % | 160 | % | |||||||||||||||||||
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| (0.37 | ) | 11.39 | 4.94 | % | 185.5 | 0.46 | % | 2.00 | % | 0.46 | % | 2.00 | % | 401 | % | |||||||||||||||||||
| (0.38 | ) | 11.21 | 8.23 | % | 164.5 | 0.46 | % | 2.83 | % | 0.46 | % | 2.83 | % | 415 | % | |||||||||||||||||||
| (0.33 | ) | 10.73 | 9.24 | % | 161.4 | 0.46 | % | 3.12 | % | 0.46 | % | 3.12 | % | 387 | % | |||||||||||||||||||
| (0.39 | ) | 10.13 | 8.47 | % | 156.5 | 0.46 | % | 3.78 | % | 0.47 | % | 3.77 | % | 388 | % | |||||||||||||||||||
| (0.49 | ) | 9.72 | (0.82 | )% | 174.6 | 0.39 | % | 4.83 | % | 0.43 | % | 4.79 | % | 346 | % | |||||||||||||||||||
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| (0.16 | ) | 9.92 | 4.32 | % | 1,200.0 | 0.43 | % | 1.72 | % | 0.44 | % | 1.71 | % | 107 | % | |||||||||||||||||||
| (0.22 | ) | 9.67 | 0.90 | % | 1,497.8 | 0.43 | % | 2.31 | % | 0.44 | % | 2.30 | % | 91 | % | |||||||||||||||||||
| (0.32 | ) | 9.80 | 5.25 | % | 1,318.7 | 0.43 | % | 3.27 | % | 0.44 | % | 3.27 | % | 102 | % | |||||||||||||||||||
| (0.38 | ) | 9.62 | 14.04 | % | 1,105.6 | 0.44 | % | 4.23 | % | 0.45 | % | 4.23 | % | 145 | % | |||||||||||||||||||
| (0.43 | ) | 8.79 | (6.46 | )% | 925.9 | 0.44 | % | 4.44 | % | 0.45 | % | 4.43 | % | 121 | % | |||||||||||||||||||
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| (0.41 | ) | 10.64 | 5.99 | % | 37.3 | 0.83 | % | 1.54 | % | 0.88 | % | 1.49 | % | 936 | % | |||||||||||||||||||
| (0.34 | ) | 10.45 | 4.53 | % | 32.4 | 0.90 | % | 2.89 | % | 0.90 | % | 2.89 | % | 854 | % | |||||||||||||||||||
| (0.45 | ) | 10.32 | 12.09 | % | 33.5 | 0.89 | % | 3.43 | % | 0.89 | % | 3.43 | % | 676 | % | |||||||||||||||||||
| (0.32 | ) | 9.62 | 13.02 | % | 31.6 | 0.92 | % | 4.67 | % | 0.92 | % | 4.67 | % | 643 | % | |||||||||||||||||||
| (0.42 | ) | 8.82 | (4.96 | )% | 35.2 | 0.67 | % | 4.67 | % | 0.67 | % | 4.67 | % | 721 | % | |||||||||||||||||||
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| — | 1.00 | 0.00 | % | 148.3 | 0.29 | % | 0.00 | % | 0.51 | % | (0.23 | )% | N/A | |||||||||||||||||||||
| — | 1.00 | 0.00 | % | 170.5 | 0.30 | % | 0.00 | % | 0.51 | % | (0.21 | )% | N/A | |||||||||||||||||||||
| — | 1.00 | 0.00 | % | 171.8 | 0.31 | % | (0.01 | )% | 0.50 | % | (0.19 | )% | N/A | |||||||||||||||||||||
| — | 1.00 | 0.43 | % | 246.0 | 0.39 | % | 0.47 | % | 0.49 | % | 0.37 | % | N/A | |||||||||||||||||||||
| (0.03 | ) | 1.00 | 2.95 | % | 683.4 | 0.36 | % | 2.93 | % | 0.46 | % | 2.83 | % | N/A | ||||||||||||||||||||
| (b) | Total investment return assumes dividend reinvestment and does not reflect any deduction for applicable sales charges. Not annualized for periods less than one year. Total return shown does not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the return received by contract holders as compared to the return presented. |
| ** | Computed on an annualized basis for periods less than one year. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
361
(unaudited)
Proxy Voting
The policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities are attached to the Fund’s Statement of Additional Information. You may request a free copy of the Statement of Additional Information or the report of how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 by calling 1-800-847-4836. You also may review the Statement of Additional Information or the report of how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 at Thrivent.com or www.sec.gov.
Quarterly Schedule of Portfolio Holdings
The Fund files its Schedule of Portfolio Holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. You may request a free copy of the Fund’s Forms N-Q by calling 1-800-847-4836. The Fund’s most recent Form N-Q Schedule of Investments also is available at Thrivent.com or www.sec.gov. You also may review and copy the Forms N-Q for the Fund at the SEC’s Public Reference Room in Washington, DC. You may get information about the operation of the Public Reference Room by calling 1-800-SEC-0330.
Board Approval of Investment Advisory Agreement and Subadvisory Agreements
Both the Investment Company Act of 1940 (the “Investment Company Act”) and the terms of the Investment Advisory and Subadvisory Agreements of the Thrivent Series Fund, Inc. (the “Fund”) require that these agreements be approved annually by the Board of Directors (the “Board”), including a majority of the Directors who are not “interested persons” of the Fund, as defined in the Investment Company Act (the “Independent Directors”).
At its meeting on November 28, 2012, the Board voted unanimously to renew the existing Investment Advisory Agreement between the Fund and Thrivent Financial for Lutherans (the “Adviser”) for each series (each, a “Portfolio”) of the Fund. The Board also unanimously approved the Subadvisory Agreements for each of the Portfolios for which there is an investment subadviser (each a “Subadviser”). The Adviser and Subadvisers are referred to, collectively, as the “Advisory Organizations.” In connection with its evaluation of the agreements with the Advisory Organizations, the Board reviewed a broad range of information requested for this purpose and considered a variety of factors, including the following:
| 1. | The nature, extent, and quality of the services provided by the Advisory Organizations; |
| 2. | The performance of the Portfolios; |
| 3. | The advisory fee and net operating expense ratio of each Portfolio compared to a peer group; |
| 4. | The cost of services provided and profit realized by the Adviser; |
| 5. | The extent to which economies of scale may be realized as the Portfolios grow; |
| 6. | Whether the breakpoint levels reflect these economies of scale for the benefit of the Portfolios’ shareholders; |
| 7. | Other benefits realized by the Adviser or its affiliates from its relationship with the Fund; and |
| 8. | Any other factors that the Board deemed relevant to its consideration. |
In connection with the renewal process, the Contracts Committee of the Board (consisting of each of the Independent Directors) met on six occasions from February 21 to November 28, 2012 to consider information relevant to the renewal process. The Independent Directors also retained the services of Management Practice, Inc. (“MPI”) as an independent consultant to assist in the compilation, organization, and evaluation of relevant information. This information included statistical comparisons of the advisory fees, total operating expenses and performance of each of the Portfolios in comparison to a peer group of comparable funds; detailed information prepared by management with respect to the cost of services provided to the Portfolios and fees charged, including effective advisory fees that take into account breakpoints and fee waivers by the Adviser; profit realized by the Adviser and its affiliates that provide services to the Portfolios; and information regarding the types of services furnished to the Portfolios. The Board received reports from the investment management staff of the Adviser regarding the personnel providing services to the Portfolios, as well as changes in staff and systems improvements. The Board also received reports from the Adviser’s investment management staff with respect to the performance of the Portfolios. In addition to its review of the information presented to the Board during the contract renewal process, the Board also considered information obtained from management throughout the course of the year.
The Independent Directors were represented by independent counsel throughout the review process and during executive sessions without management present to consider reapproval of the agreements. Each Independent Director relied on his or her own business judgment in determining the weight to be given to each factor considered in evaluating the materials that were presented. The Contract Committee’s and Board’s review and conclusions were based on a comprehensive consideration of all information presented to them and were not the result of any single controlling factor. In addition, each Director may have weighed individual factors differently. The key factors considered and the conclusions reached are described below.
362
Additional Information
(unaudited)
Nature, Extent and Quality of Services
At each of the Board’s regular quarterly meetings, management presented information describing the services furnished to the Portfolios by the Adviser and, as appropriate, the Subadvisers. During these meetings, management reported on the investment management, portfolio trading and compliance services provided to the Portfolios under the Advisory and Subadvisory Agreements. During the renewal process, the Board considered the specific services provided under the Advisory Agreement. The Board also considered information relating to the investment experience and qualifications of the Adviser’s portfolio managers and those of the Subadvisers.
The Board received reports at each of its quarterly meetings from the Adviser’s Directors of Equity and Fixed Income Investments, as supplemented by the Adviser’s Chief Investment Officer, who was also present at all of the meetings. At each quarterly meeting, the Directors of Equity and Fixed Income Investments presented information about each of the Portfolios. These reports and presentations gave the Board the opportunity to evaluate the portfolio managers’ abilities and the quality of services they provide to the Portfolios. Information was also presented to the Board describing the portfolio compliance functions performed by the Adviser and the Adviser’s oversight of the Subadvisers to the Fund. The Independent Directors also met in-person with and received quarterly reports from the Fund’s Chief Compliance Officer.
The Board considered the adequacy of the Advisory Organizations’ resources used to provide services to the Fund pursuant to the Advisory and Subadvisory Agreements. The Adviser reviewed with the Board the Adviser’s ongoing program to enhance portfolio management capabilities, including recruitment and retention of portfolio managers, research analysts, and other personnel, and investment in additional and updated technology systems and applications to improve investment research, trading and portfolio compliance, and investment reporting functions. The Adviser also discussed further refinements to certain compliance procedures and improved risk controls. The Adviser reviewed with the Board its process for selecting and overseeing the Subadvisers. The Adviser also reviewed with the Board the services provided by the Subadvisers. The Board viewed these actions as a positive factor in reapproving the existing Advisory Agreement, as they demonstrated the Adviser’s commitment to provide the Portfolios with quality service and competitive investment performance. The Board concluded that, within the context of its full deliberations, the nature, extent and quality of the investment advisory services provided to the Portfolios by the Adviser and Subadvisers supported renewal of the Advisory Agreement and Subadvisory Agreements.
Performance of the Portfolios
In connection with each of its regular quarterly meetings, the Board received information on the performance of each Portfolio, including net performance, relative performance rankings within each Portfolio’s Lipper peer group, Morningstar ratings, and performance as compared to benchmark index returns. At each quarterly Board meeting, the Directors of Equities and Fixed Income Investments reviewed with the Board the economic and market environment, risk management, and style consistency in connection with management of the Portfolios. The Board considered investment performance for each Portfolio, to the extent applicable, over the one-, two-, three-, five-, and ten-year periods. When evaluating investment performance, the Board considered longer-term performance and the trend of performance, and focused particularly upon the three-year performance record.
For the three-year period ended June 30, 2012, the Board noted the average ranking of the Portfolios against their Lipper categories was 46% (with 1% being the best). The Board concluded that the performance of each individual Portfolio was either satisfactory compared to its peer group or that the Adviser had taken appropriate actions in an effort to improve performance.
Advisory Fees and Fund Expenses
The Board reviewed information prepared by MPI comparing each Portfolio’s advisory fee with the advisory fee of its peer group. The Board considered both the contractual and effective advisory fees for each of the Portfolios. The Board noted that the majority of the Portfolios’ advisory fees were at or below the medians of their peer groups. The Board also considered the average ranking of the Portfolios was 46% (with 1% being the best). The Board viewed favorably the Adviser’s proposal to continue or extend fee waivers for certain Portfolios and considered the effect of the waivers in lowering the Portfolios’ expenses.
On the basis of its review, the Board concluded that the advisory fees charged to the Portfolios for investment management services were not excessive.
The Board also reviewed information prepared by MPI comparing each Portfolio’s overall expense ratio with the expense ratio of its peer group. The Board noted that approximately 83% of the Portfolios had net operating expenses at or below the median of their peer groups, with an average ranking of 33%.
363
Additional Information
(unaudited)
Cost of Services and Profitability
The Board considered the Adviser’s estimates of its profitability, which included allocations by the Adviser of its costs in providing advisory services to the Portfolios. The internal audit department (i.e., Business Risk Management) of the Adviser conducted a review of such allocations and a department representative reported to the Board his views regarding the reasonableness and consistency of these allocations. The Board considered the profitability of the Adviser both overall and on a Portfolio-by-Portfolio basis. The Board also considered the expense reimbursements and waivers in effect. Based on its review of the data prepared by MPI and expense and profit information provided by the Adviser, the Board concluded that the profits earned by the Adviser from the Advisory Agreement were not excessive in light of the nature, extent and quality of services provided to the Portfolios.
With respect to fees paid to Subadvisers under the Subadvisory Agreements, the Board did not consider profitability information with respect to the Subadvisers, which are not affiliated with the Adviser. The Board considered that those contracts had been negotiated on an arm’s-length basis between the Adviser and each Subadviser, and that each Subadviser’s separate profitability from its relationship with the Portfolios was not a material factor in determining whether to renew the agreement.
Economies of Scale and Breakpoints
The Board considered information regarding the extent to which economies of scale may be realized as a Portfolio’s assets increase and whether the fee levels reflect these economies of scale for the benefit of shareholders. The Adviser explained its general goal with respect to the employment of fee waivers, expense reimbursements and breakpoints. The Board considered information provided by the Adviser related to advisory fee rates, breakpoints in the advisory fee rates and fee waivers provided by the Adviser. The Board also considered management’s view that it is difficult to generalize as to whether, or to what extent, economies in the advisory function may be realized as a Portfolio’s assets increase. The Board noted that expected economies of scale, where they exist, may be shared through the use of fee breakpoints, fee waivers by the Adviser, and/or a lower overall fee rate.
Other Benefits to the Adviser and its Affiliates
The Board considered information regarding potential “fall-out” or ancillary benefits that the Adviser and its affiliates may receive as a result of their relationship with the Fund, both tangible and intangible, such as their ability to leverage investment professionals who manage other portfolios, reputational benefits in the investment advisory community and the engagement of affiliates as service providers to the Portfolios. The Board noted that such benefits were difficult to quantify but were consistent with benefits received by other mutual fund advisers.
The Board also considered other potential benefits to the Adviser and its affiliates derived from its relationship with the Fund, including, among other things, research received by the Adviser generated from commission dollars spent on the Portfolios’ portfolio trading. The Board reviewed with the Adviser these arrangements and the reasonableness of the costs relative to the services performed. The Board considered the Adviser’s brokerage reports and representations that it evaluates any soft-dollar arrangements for compliance with applicable requirements, particularly with respect to the safe harbor contained in Section 28(e) of the Securities Exchange Act of 1934, and for compliance with the Adviser’s duty to seek best execution.
Based on the factors discussed above, the Contracts Committee unanimously recommended approval of the Advisory Agreement and the Subadvisory Agreements, and the Board, including all of the Independent Directors voting separately, approved each of the agreements.
364
Board of Directors and Officers
The following table provides information about the Directors and Officers of the Fund. Each Director oversees each of the 36 series of the Fund and also serves as:
| • | Trustee of Thrivent Mutual Funds, a registered investment company consisting of 26 funds that offer Class A and Institutional Class shares. |
| • | Trustee of Thrivent Cash Management Trust, a registered investment company consisting of one portfolio that serves as a cash collateral fund for a securities lending program sponsored by Thrivent Financial. |
The 36 series of the Fund, the 26 funds of Thrivent Mutual Funds and Thrivent Cash Management Trust are referred to herein as the “Fund Complex.” The Statement of Additional Information includes additional information about the Directors and is available, without charge, by calling 1-800-847-4836.
Interested Directors (1)(2)(3)(4)
Name (Year of Birth) Year Elected | Principal Occupation(s) and Directorships of Public Companies and Other Investment Companies During the Past Five Years | |
Russell W. Swansen | Senior Vice President, Chief Investment Officer, Thrivent Financial since 2003 | |
(1957) | ||
2008 |
Independent Directors (2)(3)(4)(5)
Name (Year of Birth) Year Elected | Principal Occupation(s) and Directorships of Public Companies and Other Investment Companies During the Past Five Years | |
Janice B. Case (1952) 2011 | Independent Trustee of North American Electric Reliability Corporation (self-regulatory organization) since 2008; Independent Director of Western Electricity Coordinating Council (nonprofit corporation coordinating and promoting bulk electric system reliability) from 2002 through 2008 | |
Richard L. Gady (1943) 1987 | Retired | |
Richard A. Hauser (1943) 2004 | Vice President and Assistant General Counsel, Boeing Company since 2007 | |
Marc S. Joseph (1960) 2011 | Managing Director of GraniteRidgeLLP (consulting and advisory firm) since 2009; Managing Director of MJosephLLC (private investing and consulting firm) since 2004 | |
Paul R. Laubscher (1956) 2009 | Portfolio Manager for U.S. and international equity portfolios and private real estate portfolios of IBM Retirement Funds | |
James A. Nussle (1960) 2011 | President and Chief Operating Officer of Growth Energy (trade association) since 2010; Advisory Board member of AVISTA Capital Partners (private equity firm) since 2010; Contributor on CNBC (media) since 2010; CEO of The Nussle Group LLC (consulting firm) since 2009; Director of the Office of Management and Budget from 2007 through 2009 | |
Douglas D. Sims (1946) 2006 | Currently, Director of Keystone Neighbourhood Company, Keystone Center and Keystone Science School. Previously, Director of the Center for Corporate Excellence | |
Constance L. Souders (1950) 2007 | Retired | |
365
Board of Directors and Officers
Executive Officers (4)
Name (Year of Birth) Position Held With Thrivent | Principal Occupation(s) During the Past Five Years | |
Russell W. Swansen (1957) President | Senior Vice President, Chief Investment Officer, Thrivent Financial since 2003 | |
David S. Royal (1971) Secretary and Chief Legal Officer | Vice President and Managing Counsel since 2006; Interim Investment Company and Investment Adviser Chief Compliance Officer from May 2010 until December 2010 | |
Gerard V. Vaillancourt (1967) Treasurer and Principal Accounting Officer | Vice President, Mutual Fund Accounting since 2006 | |
Ted S. Dryden (1965) Chief Compliance Officer | Investment Company and Investment Adviser Chief Compliance Officer, Thrivent Financial since December 2010; Chief Compliance Officer, OptumHealth Financial Services from 2009 to 2010; Vice President, Asset Management Compliance, Ameriprise Financial from 2006 to 2009 | |
Janice M. Guimond (1965) Vice President | Vice President, Investment Operations, Thrivent Financial since 2004 | |
Kathleen M. Koelling (1977) Anti-Money Laundering Officer (6) | Privacy and Anti-Money Laundering Officer, Thrivent Financial since 2010; Senior Counsel, Thrivent Financial since 2002 | |
Mark D. Anema (1961) Vice President | Vice President, Accumulation and Retirement Income Solutions, Thrivent Financial since 2007 | |
Jody L. Bancroft (1971) Assistant Vice President (6) | Director, Investment Field Operations, Thrivent Financial since 2009; Director, Annuity & Settlement Option New Services, Thrivent Financial from 2007 until 2009 | |
James M. Odland (1955) Assistant Secretary | Vice President and Managing Counsel, Thrivent Financial since 2005 | |
Rebecca A. Paulzine (1979) Assistant Secretary | Senior Counsel, Thrivent Financial since January 2010; Associate, Faegre & Benson LLP from 2005 to December 2009 | |
Todd J. Kelly (1969) Assistant Treasurer (6) | Director, Fund Accounting Operations, Thrivent Financial since 2002 | |
Sarah L. Bergstrom (1977) Assistant Treasurer | Director, Fund Accounting Administration, Thrivent Financial since 2007 | |
| (1) | “Interested Director” of the Fund as defined in the Investment Company Act of 1940 by virtue of positions with Thrivent Financial. Mr. Swansen is considered an interested trustee because of his principal occupation with Thrivent Financial. |
| (2) | Each Director generally serves an indefinite term until her or his successor is duly elected and qualified. Directors serve at the discretion of the board until their successors are duly appointed and qualified. |
| (3) | Each Director oversees 63 portfolios. |
| (4) | The address for each Director and Officer unless otherwise noted is 625 Fourth Avenue South, Minneapolis, MN 55415 |
| (5) | The Directors other than Mr. Swansen are not “interested directors” of the Fund and are referred to as “Independent Directors.” |
| (6) | The address for this Officer is 4321 North Ballard Road, Appleton, WI 54913 |
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| Item 2. | Code of Ethics |
As of the end of the period covered by this report, registrant has adopted a code of ethics (as defined in Item 2 of Form N-CSR) applicable to registrant’s Principal Executive Officer, Principal Financial Officer, and Principal Accounting Officer. No waivers were granted to such code of ethics during the period covered by this report. A copy of this code of ethics is filed as an exhibit to this Form N-CSR.
| Item 3. | Audit Committee Financial Expert |
Registrant’s Board of Directors has determined that Constance L. Souders, an independent director, is the Audit Committee Financial Expert.
| Item 4. | Principal Accountant Fees and Services |
| (a) | Audit Fees |
The aggregate fees billed by registrant’s independent public accountants, PricewaterhouseCoopers LLP (“PwC”), for each of the last two complete fiscal years and the fiscal period covered by this report for professional services rendered in connection with the audit of registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $568,000 for the year ended December 31, 2011 and $561,380 for the year ended December 31, 2012.
| (b) | Audit-Related Fees |
The aggregate fees PwC billed to registrant for each of the last two fiscal years for assurance and other services which are reasonably related to the performance of registrant’s audit and are not reported under Item 4(a) were $0 for the fiscal year ended December 31, 2011 and $0 for the fiscal year ended December 31, 2012. The aggregate fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for assurance and other services directly related to the operations and financial reporting of registrant were $0 for the year ended December 31, 2011 and $0 for the year ended December 31, 2012.
| (c) | Tax Fees |
The aggregate tax fees PwC billed to registrant for each of the last two fiscal years for tax compliance, tax advice, and tax planning services were $147,062 for the year ended December 31, 2011 and $92,943 for the year ended December 31, 2012. The aggregate tax fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for services directly related to the operations and financial reporting of registrant were $0 for the year ended December 31, 2011 and $0 for the year ended December 31, 2012.
| (d) | All Other Fees |
The aggregate fees PwC billed to registrant for each of the last two fiscal years for products and services provided other than the services reported in paragraphs (a) through (c) of this item were $0 for the year ended December 31, 2011 and $0 for the year ended December 31, 2012. The aggregate fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for products and services provided other than the services reported in paragraphs (a) through (c) of this item were $1,800 for the year ended December 31, 2011 and $6,800 for the year ended December 31, 2012. These payments were for access to a PwC-sponsored online library that provides interpretive guidance regarding U.S. and foreign accounting standards. These figures are also reported in response to item 4(g) below.
| (e) | Registrant’s audit committee charter, adopted in February 2010, provides that the audit committee (comprised of the independent Directors of registrant) is responsible for pre-approval of all auditing services performed for the registrant. The audit committee also is responsible for pre-approval (subject to the de minimis exceptions for non-audit services described in Section 10A(i)(1)(B) of the Securities Exchange Act of 1934) of all non-auditing services performed for the registrant or for any service affiliate of registrant. In addition, registrant’s audit committee charter permits a designated member of the audit committee to pre-approve, between meetings, one or more audit or non-audit service projects, subject to an expense limit and notification to the audit committee at the next committee meeting. Registrant’s audit committee pre-approved all fees described above that PwC billed to registrant. |
| (f) | Less than 50% of the hours billed by PwC for auditing services to registrant for the fiscal year ended December 31, 2012, were for work performed by persons other than full-time, permanent employees of PwC. |
| (g) | The aggregate non-audit fees billed by PwC to registrant and to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for the fiscal years ending December 31, 2011 and December 31, 2012 were $1,800 and $6,800, respectively. These figures are also reported in response to item 4(d) above. |
| (h) | Registrant’s audit committee has considered the non-audit services provided to the registrant and registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser as described above and determined that these services do not compromise PwC’s independence. |
| Item 5. | Audit Committee of Listed Registrants |
Not applicable.
| Item 6. | Schedule of Investments |
| (a) | Registrant’s Schedule of Investments is included in the report to shareholders filed under Item 1. |
| (b) | Not applicable to this filing. |
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not applicable.
| Item 8. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
| Item 9. | Submission of Matters to a Vote of Security Holders |
There have been no material changes to the procedures by which shareholders may recommend nominees to registrant’s board of trustees.
| Item 10. | Controls and Procedures |
(a)(i) Registrant’s President and Treasurer have concluded that registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) are effective, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) Registrant’s President and Treasurer are aware of no change in registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, registrant’s internal control over financial reporting.
| Item 11. | Exhibits |
| (a) | The code of ethics pursuant to Item 2 is attached hereto. |
| (b) | Certifications pursuant to Rules 30a-2(a) and 30a-2(b) under the Investment Company Act of 1940 are attached hereto. |
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.
| Date: February 28, 2013 | THRIVENT SERIES FUND, INC. | |||||
| By: | /s/ Russell W. Swansen | |||||
| Russell W. Swansen | ||||||
| President | ||||||
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.
| Date: February 28, 2013 | By: | /s/ Russell W. Swansen | ||||
| Russell W. Swansen | ||||||
| President |
| Date: February 28, 2013 | By: | /s/ Gerard V. Vaillancourt | ||||
| Gerard V. Vaillancourt | ||||||
| Treasurer |