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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: 811-04603
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, Assistant Secretary
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: June 30, 2013
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| Item 1. | Report to Stockholders |
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This page is not part of the semiannual report.
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Dear Member:
Financial markets were a study in contrasts during the six-month period ended June 30, 2013. In the U.S., stock prices soared as the economy continued its slow but stubborn recovery, while bond prices fell on worries that an improving economy could lead to higher interest rates. Stocks outside the U.S. were mostly flat to lower, with the exception of Japan, which registered sharp gains.
Economic review
The U.S. economy can be faulted for the pace of its recovery since the 2007-2009 recession, but not for its persistence. During the first three months of 2013, the nation’s gross domestic product (GDP) expanded for the 15th consecutive quarter, growing at a revised annual rate of 1.8%. That was up from a revised 0.4% in the fourth quarter of 2012, with economists widely anticipating further gains in the second quarter.
Although it has not matched the 3%-plus growth rates typical of past recoveries, the U.S. economy has been a relative anchor of stability in a global context. Europe, squeezed by high levels of debt and austere fiscal policies, has already slipped into another recession. China, which had been growing at a 10% pace for much of the past decade, more recently has been expanding at about a 7% rate, and many economists are suspicious that China’s government may be artificially inflating even that figure. Japan’s economy grew at a 4.1% annual rate in the first quarter, exciting investors, but is coming off a relatively low base following more than a decade of economic stagnation.
The U.S. economy recorded gains on a broad front, with lower government spending and exports as the notable exceptions. Personal consumption, which accounts for about 70% of GDP, advanced at a revised annual rate of 2.6% during the first quarter. Durable goods grew at a 7.6% rate, nondurable goods grew by 2.8%, and services were up 1.7%. Private inventory investment and residential fixed investment also grew.
Perhaps most encouraging to many investors was the rebound in the housing sector, whose collapse was at the core of the last recession. In May, existing-home sales jumped to a seasonally adjusted annual rate of 5.18 million, up 12.9% from the year-earlier pace. Meanwhile, the median sales price for existing homes rose to $208,000 that month, up 15.4% from a year earlier. That marked the sixth straight month of double-digit increases and the biggest year-over-year monthly gain since October 2005.
Slow-growing economies usually do not create jobs at a rapid pace, and that has held true during this latest recovery. Still, the pace of job creation did pick up slightly during the reporting period. U.S. nonfarm payrolls grew by an average of 202,000 per month, up from an average 183,000 per month for all of 2012. The unemployment rate fell slightly to 7.6%, down from 7.8% at the end of 2012, but still well above the 5% to 6% typical of an economy firing on all cylinders.
In any event, the economic news in the first half of the year was sufficient to hearten consumers. The Conference Board’s Consumer Confidence Index rose to 81.4 in June, up from 66.7 at the end of last year and its highest level since January 2008. Given the importance of consumer spending to GDP, this bodes well for the economy.
Market review
The U.S. stock market blasted out of the starting gate in January after Congress permanently extended most of the Bush-era tax cuts in a “fiscal cliff” compromise that also averted some impending spending cuts. The Dow Jones Industrial Average jumped more than 300 points on the first day of trading. By March, with investor confidence growing, major U.S. stock market indexes hit their first record highs in nearly 5 1/2 years. Stock prices continued to surge in April and May before giving back a small portion of their gains in June, when investors began to worry that the improving economy might prompt the Federal Reserve to start tightening monetary policy and raise interest rates. Still, the S&P 500 Index of large-company stocks finished the first half with a total return of 13.8%, nearly matching the 16% it earned in all of 2012. Small-company stocks did even better, with the Russell 2000 Index generating a total return of 15.9%.
While the prospect of tighter monetary policy gave equity investors pause, they could take solace in the knowledge that a stronger economy should ultimately be good for corporate profits and, hence, the stock market. For fixed-income investors, hints of a less-accommodating Federal Reserve may have been more unnerving.
The Fed announced in December 2012 that as long as inflation remains low, it does not plan to raise its target for short-term interest rates until the unemployment rate falls to 6.5%. Most economists don’t expect that to happen until late 2014 at the earliest, and the Fed has repeatedly reaffirmed its plans. However, the Fed said in June that if the economy continues to show improvement, it might start scaling back its $85 billion-per-month bond-buying program—which it has used to help suppress longer-term interest rates—later this year.
When longer-term interest rates rise, prices for existing longer-term bonds fall. Hoping to get ahead of the move, some fixed-income investors began selling bonds feverishly following the Fed’s announcement, sending bond yields soaring. By the end of the reporting period, the yield on the 10-year Treasury note stood at 2.5%, up from just under 1.7% at the beginning of May. The Barclays U.S. 20+ Year Treasury Bond Index posted a total return of -8.5% for the first half of 2013.
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Due largely to the sell off in the Treasury market, the Barclays U.S. Aggregate Bond Index—a broad barometer for the fixed-income markets—posted a loss for the first half, with a total return of -2.4%. Among the few pockets of strength in the fixed-income sector were corporate high-yield bonds prized for their yield, and convertible bonds that can be exchanged for stock. The Merrill Lynch High Yield U.S. Corporates Index earned 1.5%, while the Merrill Lynch All Convertibles Index earned 9.9%.
Outside the U.S., equity markets were mixed. Shares in Europe ended the reporting period about where they started, despite a number of dips and surges along the way. Headwinds included better-than-expected performance by anti-austerity candidates in Italy’s elections, which created uncertainty about Europe’s ongoing efforts to work through its debt problems; a brief panic, centered on troubled banks in Cyprus; and—as the period drew to a close—worries about the fallout from potentially tighter monetary policy in the U.S.
Meanwhile, Japan’s stock markets soared on hopes that stimulative economic policies backed by newly elected Prime Minister Shinzo Abe would end more than a decade of deflation in that country. The Nikkei 225 Index of Japanese stocks rose more than 31% during the first half of 2013, even after investors took profits in the final six weeks of the period. Thanks in large part to Japan’s rally, the MSCI EAFE Index—which tracks developed markets in Europe, Asia and Australia—posted a total return of 4.1% for the first half of the year.
Stocks in emerging markets fell sharply, victim to slowing economic growth in many developing countries and concerns about how they would be impacted by changing conditions in the U.S. and China. The MSCI Emerging Markets Index posted a total return of -9.4%.
Outlook
It is difficult to imagine that during the second half of this year U.S. stocks will be able to duplicate their exceptional performance of the first half. Nonetheless, the outlook for both the U.S. economy and U.S. stocks remains constructive.
We expect the economy to continue growing at a modest pace for the rest of 2013, notching full-year growth of 2% or slightly higher. The nonpartisan Congressional Budget Office (CBO) predicts the economy will begin to accelerate in 2014, and recent economic reports reinforce that view. In particular, rising consumer confidence suggests that consumer spending will support further GDP growth, and any continued improvement in the housing and labor markets could drive additional gains.
Risks to further economic expansion include cuts in federal spending, which will remain a possibility as long as Washington is searching for a solution to the nation’s burgeoning long-term debt. Near term, though, the federal government’s finances are showing some improvement. The CBO has estimated that the federal budget deficit will shrink to $642 billion this year, or to just 4% of GDP, before dwindling to 2.1% of GDP by 2015. By contrast, the deficit equaled 10.1% of the nation’s economic output as recently as 2009.
All this creates a favorable backdrop for stocks, which— despite their recent gains—remain reasonably valued relative to what corporations are expected to earn this year. By at least one measure, stock prices have actually lagged corporate profits. When the S&P 500 passed its prerecession high in March, the per-share earnings of the companies in that index were already 14% above their prerecession peak.
The outlook for Europe’s economy and financial markets is more unsettled, although gains by European stocks in late June and early July suggest investors expect brighter days ahead. Certainly, their worries about the financial stresses that have challenged the future of the euro have moderated. Also, some European policymakers have begun to ask whether the region’s austerity agenda—which many economists blame for contributing to Europe’s economic malaise—is still appropriate. Whether they will adopt more growth-oriented policies remains to be seen. In the meantime, given that stocks are frequently cheap during a recession, investors with a long-term view may find European stocks worth considering.
The outlook for emerging markets also is cloudy. Recently, the International Monetary Fund reduced its growth forecasts for China and Russia, in part over concern about the U.S. adopting a less-stimulative monetary policy.
Prospects for the U.S. fixed-income markets are modest but not, in our view, as disastrous as the May-June sell off suggested. While further upticks in interest rates will produce capital losses on existing bond holdings, rising bond yields will, over time, help to offset those losses.
Predicting what bonds will earn in the short run is always difficult, but over time they tend to reflect current yields, less any default losses. At the end of the reporting period, yields on longer-term Treasuries were in the 2.5% to 3.5% range, while high-yield corporate bonds were yielding about 6%. Actual long-term returns could fall short of those numbers if interest rates and/or credit losses tick higher, although we do not anticipate any dramatic, sustained moves on those fronts anytime soon.
If you have questions about how to best position your portfolio for what we expect will be a gradually improving economic recovery, we encourage you to meet with your Thrivent Financial representative. He or she can help you craft an investment policy and financial plan suited to your objectives and tolerance for risk.
As always, thank you for the trust you have placed with our entire team of Thrivent Financial investment professionals.
Sincerely,
Russell W. Swansen
President
Thrivent Series Fund, Inc.
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Thrivent Aggressive Allocation Portfolio
Russell W. Swansen, David C. Francis, CFA and Mark L. Simenstad, CFA Portfolio Co-Managers
The Thrivent Aggressive Allocation 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.
Thrivent Moderately Aggressive Allocation Portfolio
Russell W. Swansen, David C. Francis, CFA and Mark L. Simenstad, CFA Portfolio Co-Managers
The Thrivent Moderately Aggressive Allocation 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.
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Thrivent Moderate Allocation Portfolio
Russell W. Swansen, David C. Francis, CFA and Mark L. Simenstad, CFA Portfolio Co-Managers
The Thrivent Moderate Allocation 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. 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.
Thrivent Moderately Conservative Allocation Portfolio
Russell W. Swansen, David C. Francis, CFA and Mark L. Simenstad, CFA Portfolio Co-Managers
The Thrivent Moderately Conservative Allocation 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. 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.
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Thrivent Partner Technology Portfolio
Subadvised by Goldman Sachs Asset Management, L.P.
Thrivent Partner Technology Portfolio seeks long-term growth of capital.
The Portfolio primarily invests in securities of technology-related companies. As a consequence, the Portfolio may be subject to greater price volatility than a portfolio investing in a broad range of industries. These and other risks are described in the Portfolio’s prospectus.
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.
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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.
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.
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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.
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.
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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.
Thrivent Small Cap Stock Portfolio
Matthew D. Finn, 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.
* Effective March 2013, Matthew D. Finn became the Portfolio Manager.
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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.
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.
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Thrivent Partner Mid Cap Value Portfolio
Subadvised by Goldman Sachs Asset Management, L.P.
Thrivent Partner Mid Cap Value Portfolio seeks to achieve long-term capital appreciation.
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.
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.
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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.
Thrivent Partner Worldwide Allocation Portfolio
Subadvised by Principal Global Investors, LLC, Mercator Asset Management, LP, Victory Capital Management Inc., Aberdeen Asset Managers Limited, Goldman Sachs Asset Management, L.P. and DuPont Capital Management Corporation
Thrivent Partner Worldwide Allocation 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.
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Thrivent Partner Socially Responsible Stock Portfolio
Subadvised by Calvert Investment Management, Inc. and Atlanta Capital Management, L.L.C.
Thrivent Partner Socially Responsible Stock Portfolio seeks long-term capital growth.
The Portfolio primarily invests in common stock. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment advisers. Medium-sized companies often have greater price volatility and less liquidity than larger companies. Large cap companies may be unable to respond quickly to new competitive challenges a may not be able to attain a high growth rate. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards.
As of August 16, 2013, the Portfolio has been merged into Thrivent Large Cap Stock Portfolio.
Thrivent Partner All Cap Growth Portfolio
Subadvised by Calamos Advisors LLC
Thrivent Partner All Cap Growth Portfolio seeks long-term capital growth.
The Portfolio primarily invests in equity securities issued by U.S. companies. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment advisers. Medium-sized companies often have greater price volatility and less liquidity than larger companies. Large cap companies may be unable to respond quickly to new competitive challenges a may not be able to attain a high growth rate.
As of August 16, 2013, the Portfolio has been merged into Thrivent Large Cap Stock Portfolio.
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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.
The Portfolio primarily invests in equity securities. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment advisers. Small and medium-sized companies often have greater price volatility and less liquidity than larger companies. Large cap companies may be unable to respond quickly to new competitive challenges a may not be able to attain a high growth rate. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards; these risks are magnified for investments in emerging markets.
As of August 16, 2013, the Portfolio has been merged into Thrivent Large Cap Stock Portfolio.
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.
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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.
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.
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Thrivent Large Cap Value Portfolio
Kurt J. Lauber, 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.
* Effective March 2013, Kurt J. Lauber became the Portfolio Manager.
Thrivent Large Cap Stock Portfolio
David C. Francis, CFA and Kurt J. Lauber*, 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.
* Effective March 2013, Kurt J. Lauber became a Portfolio Co-Manager.
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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.
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, 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. As of August 16, 2013, the Portfolio has become the Thrivent Growth and Income Plus Portfolio. The portfolio managers and some of the principal strategies and risks have also changed. Please see the Portfolio’s prospectus for more information.
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Kevin R. Brimmer, FSA and Michael G. Landreville, CFA and CPA (inactive), Portfolio Co-Managers
Thrivent Balanced Portfolio seeks long-term total return through a balance between income and the potential for long-term capital growth.
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. 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. As of August 16, 2013, the Portfolio has become Thrivent Balanced Income Plus Portfolio. The portfolio managers, some of the principal strategies and risks, and the investment advisory fee have also changed. Please see the Portfolio’s prospectus for more information.
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. 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.
18
Table of Contents
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. 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.
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.
19
Table of Contents
Michael G. Landreville, CFA and CPA (inactive), Portfolio Manager
Thrivent Bond Index Portfolio strives for investment results similar to the total return of the Barclays Capital 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.
Thrivent Limited Maturity Bond Portfolio
Michael G. Landreville, CFA and CPA (inactive) 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.
20
Table of Contents
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. 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. As of August 16, 2013, the Portfolio has become Thrivent Opportunity Income Plus Portfolio. The portfolio managers and some of the principal strategies and risks have also changed. Please see the Portfolio’s prospectus for more information.
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. The Portfolio is subject to interest-rate risk and credit 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.
21
Table of Contents
(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 January 1, 2013 through June 28, 2013. 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 1/1/2013 | Ending Account Value 6/28/2013 | Expenses Paid During Period 1/1/2013 - 6/28/2013* | Annualized Expense Ratio | |||||||||||||
Thrivent Aggressive Allocation Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,088 | $ | 2.26 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 2.19 | 0.44 | % | ||||||||
Thrivent Moderately Aggressive Allocation Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,071 | $ | 1.58 | 0.31 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 1.54 | 0.31 | % | ||||||||
Thrivent Moderate Allocation Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,047 | $ | 1.39 | 0.28 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 1.37 | 0.28 | % | ||||||||
Thrivent Moderately Conservative Allocation Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,023 | $ | 1.34 | 0.27 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 1.34 | 0.27 | % | ||||||||
Thrivent Partner Technology Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,036 | $ | 5.55 | 1.11 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,019 | $ | 5.50 | 1.11 | % | ||||||||
Thrivent Partner Healthcare Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,136 | $ | 6.55 | 1.25 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,018 | $ | 6.19 | 1.25 | % | ||||||||
Thrivent Natural Resources Portfolio | ||||||||||||||||
Actual | $ | 1,000 | $ | 998 | $ | 5.00 | 1.02 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.05 | 1.02 | % | ||||||||
22
Table of Contents
| Beginning Account Value 1/1/2013 | Ending Account Value 6/28/2013 | Expenses Paid During Period 1/1/2013 - 6/28/2013* | Annualized Expense Ratio | |||||||||||||
Thrivent Partner Emerging Markets Equity Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 913 | $ | 6.57 | 1.40 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,018 | $ | 6.93 | 1.40 | % | ||||||||
Thrivent Real Estate Securities Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,058 | $ | 4.67 | 0.93 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.58 | 0.93 | % | ||||||||
Thrivent Partner Small Cap Growth Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,146 | $ | 5.17 | 0.98 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.87 | 0.98 | % | ||||||||
Thrivent Partner Small Cap Value Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,146 | $ | 4.57 | 0.87 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.30 | 0.87 | % | ||||||||
Thrivent Small Cap Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,146 | $ | 3.98 | 0.76 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 3.75 | 0.76 | % | ||||||||
Thrivent Small Cap Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,160 | $ | 2.35 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 2.20 | 0.44 | % | ||||||||
Thrivent Mid Cap Growth Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,077 | $ | 2.36 | 0.46 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 2.30 | 0.46 | % | ||||||||
Thrivent Partner Mid Cap Value Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,154 | $ | 4.16 | 0.79 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 3.90 | 0.79 | % | ||||||||
Thrivent Mid Cap Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,135 | $ | 3.77 | 0.72 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 3.57 | 0.72 | % | ||||||||
Thrivent Mid Cap Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,144 | $ | 2.70 | 0.51 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 2.55 | 0.51 | % | ||||||||
Thrivent Partner Worldwide Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,005 | $ | 4.46 | 0.91 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.49 | 0.91 | % | ||||||||
Thrivent Partner Socially Responsible Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,099 | $ | 5.04 | 0.98 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.85 | 0.98 | % | ||||||||
Thrivent Partner All Cap Growth Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,058 | $ | 5.05 | 1.00 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.95 | 1.00 | % | ||||||||
Thrivent Partner All Cap Value Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,102 | $ | 5.05 | 0.98 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.85 | 0.98 | % | ||||||||
Thrivent Partner All Cap Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,120 | $ | 5.31 | 1.02 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.06 | 1.02 | % | ||||||||
Thrivent Large Cap Growth Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,094 | $ | 2.29 | 0.45 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 2.21 | 0.45 | % | ||||||||
23
Table of Contents
| Beginning Account Value 1/1/2013 | Ending Account Value 6/28/2013 | Expenses Paid During Period 1/1/2013 - 6/28/2013* | Annualized Expense Ratio | |||||||||||||
Thrivent Partner Growth Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,109 | $ | 4.93 | 0.95 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.73 | 0.95 | % | ||||||||
Thrivent Large Cap Value Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,158 | $ | 3.40 | 0.64 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 3.18 | 0.64 | % | ||||||||
Thrivent Large Cap Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,109 | $ | 3.51 | 0.68 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 3.36 | 0.68 | % | ||||||||
Thrivent Large Cap Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,136 | $ | 2.14 | 0.41 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.03 | 0.41 | % | ||||||||
Thrivent Equity Income Plus Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,106 | $ | 4.11 | 0.80 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 3.94 | 0.80 | % | ||||||||
Thrivent Balanced Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,080 | $ | 2.32 | 0.45 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 2.25 | 0.45 | % | ||||||||
Thrivent High Yield Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,010 | $ | 2.20 | 0.45 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 2.21 | 0.45 | % | ||||||||
Thrivent Diversified Income Plus Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,053 | $ | 2.48 | 0.49 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 2.44 | 0.49 | % | ||||||||
Thrivent Income Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 976 | $ | 2.13 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 2.18 | 0.44 | % | ||||||||
Thrivent Bond Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 974 | $ | 2.25 | 0.46 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 2.30 | 0.46 | % | ||||||||
Thrivent Limited Maturity Bond Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 996 | $ | 2.14 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 2.16 | 0.44 | % | ||||||||
Thrivent Mortgage Securities Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 977 | $ | 3.83 | 0.79 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 3.92 | 0.79 | % | ||||||||
Thrivent Money Market Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,000 | $ | 1.13 | 0.23 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 1.15 | 0.23 | % | ||||||||
| * | Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 179/365 to reflect the one-half year period. |
| ** | Assuming 5% annualized total return before expenses. |
24
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Shares | Mutual Funds (52.5%) | Value | ||||||
| Equity Mutual Funds (50.3%) | |||||||
| 3,574,409 | Thrivent Partner Small Cap Growth Portfolioa | $ | 55,607,432 | |||||
| 689,344 | Thrivent Partner Small Cap Value Portfolio | 16,334,770 | ||||||
| 1,714,586 | Thrivent Small Cap Stock Portfolio | 25,685,008 | ||||||
| 1,466,458 | Thrivent Partner Mid Cap Value Portfolio | 23,516,117 | ||||||
| 2,511,818 | Thrivent Mid Cap Stock Portfolio | 37,154,567 | ||||||
| 11,257,943 | Thrivent Partner Worldwide Allocation Portfolio | 97,472,397 | ||||||
| 2,773,409 | Thrivent Large Cap Value Portfolio | 37,965,201 | ||||||
| 3,128,201 | Thrivent Large Cap Stock Portfolio | 31,612,975 | ||||||
| 550,683 | Thrivent Equity Income Plus Portfolio | 5,857,557 | ||||||
|
| |||||||
| Total | 331,206,024 | |||||||
|
| |||||||
| Fixed Income Mutual Funds (2.2%) | |||||||
| 1,775,744 | Thrivent High Yield Portfolio | 8,780,878 | ||||||
| 573,155 | Thrivent Income Portfolio | 5,904,299 | ||||||
|
| |||||||
| Total | 14,685,177 | |||||||
|
| |||||||
| Total Mutual Funds (cost $346,587,081) | 345,891,201 | |||||||
|
| |||||||
Common Stock (40.8%) | ||||||||
| Consumer Discretionary (6.6%) | |||||||
| 20,842 | Abercrombie & Fitch Company | 943,101 | ||||||
| 7,956 | Amazon.com, Inc.a,b | 2,209,302 | ||||||
| 4,150 | AutoZone, Inc.a | 1,758,314 | ||||||
| 20,830 | CBS Corporation | 1,017,962 | ||||||
| 5,500 | Charter Communications, Inc.a | 681,175 | ||||||
| 25,920 | Cheesecake Factory, Inc. | 1,085,789 | ||||||
| 13,500 | Chico’s FAS, Inc. | 230,310 | ||||||
| 84,898 | Comcast Corporationb | 3,555,528 | ||||||
| 2,700 | Conn’s, Inc.a | 139,752 | ||||||
| 977 | CST Brands, Inc.a | 30,101 | ||||||
| 3,700 | Dana Holding Corporation | 71,262 | ||||||
| 4,350 | Darden Restaurants, Inc. | 219,588 | ||||||
| 10,329 | Delphi Automotive plc | 523,577 | ||||||
| 2,900 | DeVry, Inc. | 89,958 | ||||||
| 16,449 | Discovery Communications, Inc.a | 1,270,027 | ||||||
| 7,900 | DISH Network Corporation | 335,908 | ||||||
| 25,918 | Dollar Tree, Inc.a | 1,317,671 | ||||||
| 2,845 | Finish Line, Inc. | 62,192 | ||||||
| 34,565 | Foot Locker, Inc. | 1,214,268 | ||||||
| 13,100 | Gap, Inc. | 546,663 | ||||||
| 28,470 | GNC Holdings, Inc. | 1,258,659 | ||||||
| 2,100 | Grand Canyon Education, Inc.a | 67,683 | ||||||
| 2,470 | Harley-Davidson, Inc. | 135,405 | ||||||
| 7,414 | Hasbro, Inc. | 332,370 | ||||||
| 24,800 | Home Depot, Inc.b | 1,921,256 | ||||||
| 11,000 | Hovnanian Enterprises, Inc.a | 61,710 | ||||||
| 3,100 | iShares Dow Jones US Home Construction Index Fund | 69,378 | ||||||
| 16,319 | L Brands, Inc. | 803,711 | ||||||
| 34,660 | Las Vegas Sands Corporation | 1,834,554 | ||||||
| 5,996 | LifeLock, Inc.a | 70,213 | ||||||
| 24,520 | Lowe’s Companies, Inc. | 1,002,868 | ||||||
| 2,363 | M/I Homes, Inc.a | 54,254 | ||||||
| 8,700 | Macy’s, Inc. | 417,600 | ||||||
| 11,600 | Marriott International, Inc. | 468,292 | ||||||
| 2,800 | Marriott Vacations Worldwide Corporationa | 121,072 | ||||||
| 10,462 | MDC Partners, Inc. | 188,734 | ||||||
| 27,050 | Meredith Corporation | 1,290,285 | ||||||
| 3,700 | Michael Kors Holdings, Ltd.a | 229,474 | ||||||
| 300 | Netflix, Inc.a | 63,327 | ||||||
| 9,300 | New York Times Companya | 102,858 | ||||||
| 17,660 | News Corporation | 579,601 | ||||||
| 25,580 | Nexstar Broadcasting Group, Inc. | 907,067 | ||||||
| 42,200 | NIKE, Inc. | 2,687,296 | ||||||
| 5,400 | Omnicom Group, Inc. | 339,498 | ||||||
| 4,268 | O’Reilly Automotive, Inc.a | 480,662 | ||||||
| 14,670 | Papa John’s International, Inc.a | 958,978 | ||||||
| 5,000 | Penn National Gaming, Inc.a | 264,300 | ||||||
| 6,192 | PetSmart, Inc. | 414,802 | ||||||
| 57,768 | Pier 1 Imports, Inc. | 1,356,970 | ||||||
| 8,400 | Pulte Group, Inc.a | 159,348 | ||||||
| 5,100 | Ross Stores, Inc. | 330,531 | ||||||
| 40,700 | Sally Beauty Holdings, Inc.a | 1,265,770 | ||||||
| 25,100 | Sirius XM Radio, Inc. | 84,085 | ||||||
| 35,000 | Smith & Wesson Holding Corporationa | 349,300 | ||||||
| 2,881 | Stage Stores, Inc. | 67,704 | ||||||
| 19,800 | Standard Pacific Corporationa | 164,934 | ||||||
| 5,900 | Staples, Inc. | 93,574 | ||||||
| 1,800 | Sturm, Ruger & Company, Inc. | 86,472 | ||||||
| 1,900 | Target Corporation | 130,834 | ||||||
| 6,000 | Tempur-Pedic International, Inc.a | 263,400 | ||||||
| 5,080 | Time Warner Cable, Inc. | 571,398 | ||||||
| 6,100 | TJX Companies, Inc. | 305,366 | ||||||
| 30,200 | Toll Brothers, Inc.a | 985,426 | ||||||
| 8,273 | Tractor Supply Company | 972,988 | ||||||
| 6,300 | Under Armour, Inc.a | 376,173 | ||||||
| 2,000 | Urban Outfitters, Inc.a | 80,440 | ||||||
| 3,900 | Valassis Communications, Inc. | 95,901 | ||||||
| 5,600 | Vera Bradley, Inc.a | 121,296 | ||||||
| 1,026 | VF Corporation | 198,080 | ||||||
| 5,200 | Wynn Resorts, Ltd. | 665,600 | ||||||
|
| |||||||
| Total | 43,153,945 | |||||||
|
| |||||||
| Consumer Staples (2.6%) | |||||||
| 17,700 | Altria Group, Inc. | 619,323 | ||||||
| 1,230 | Andersons, Inc. | 65,424 | ||||||
| 18,783 | Annie’s, Inc.a | 802,785 | ||||||
| 15,100 | Archer-Daniels-Midland Company | 512,041 | ||||||
| 3,400 | Avon Products, Inc. | 71,502 | ||||||
| 13,217 | British American Tobacco plc ADR | 1,360,558 | ||||||
| 6,900 | Bunge, Ltd. | 488,313 | ||||||
| 7,900 | Campbell Soup Company | 353,841 | ||||||
| 6,239 | Clorox Company | 518,711 | ||||||
| 9,500 | Colgate-Palmolive Company | 544,255 | ||||||
| 23,000 | CVS Caremark Corporation | 1,315,140 | ||||||
| 2,441 | Energizer Holdings, Inc. | 245,345 | ||||||
| 8,700 | Hain Celestial Group, Inc.a | 565,239 | ||||||
| 28,183 | Ingredion, Inc. | 1,849,368 | ||||||
| 3,200 | Kimberly-Clark Corporation | 310,848 | ||||||
| 4,723 | Kraft Foods Group, Inc. | 263,874 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
25
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (40.8%) | Value | ||||||
| Consumer Staples (2.6%) - continued | |||||||
| 15,300 | Kroger Company | $ | 528,462 | |||||
| 13,970 | Mondelez International, Inc. | 398,564 | ||||||
| 10,700 | Monster Beverage Corporationa | 650,239 | ||||||
| 22,300 | Nestle SA | 1,463,335 | ||||||
| 3,591 | Philip Morris International, Inc. | 311,052 | ||||||
| 28,500 | Procter & Gamble Company | 2,194,215 | ||||||
| 5,500 | Safeway, Inc. | 130,130 | ||||||
| 11,500 | Tyson Foods, Inc. | 295,320 | ||||||
| 5,700 | Wal-Mart Stores, Inc. | 424,593 | ||||||
| 17,114 | Whole Foods Market, Inc. | 881,029 | ||||||
|
| |||||||
| Total | 17,163,506 | |||||||
|
| |||||||
| Energy (4.7%) | |||||||
| 131,391 | Alpha Natural Resources, Inc.a | 688,489 | ||||||
| 30,639 | BP plc ADR | 1,278,872 | ||||||
| 10,200 | Cameron International Corporationa | 623,832 | ||||||
| 11,020 | Chevron Corporation | 1,304,107 | ||||||
| 10,300 | Cobalt International Energy, Inc.a | 273,671 | ||||||
| 14,398 | Concho Resources, Inc.a | 1,205,401 | ||||||
| 41,400 | Consol Energy, Inc. | 1,121,940 | ||||||
| 5,300 | Delek US Holdings, Inc. | 152,534 | ||||||
| 6,900 | Dril-Quip, Inc.a | 623,001 | ||||||
| 4,000 | Ensco plc | 232,480 | ||||||
| 12,483 | EOG Resources, Inc. | 1,643,761 | ||||||
| 14,400 | EQT Corporation | 1,142,928 | ||||||
| 17,600 | Exxon Mobil Corporation | 1,590,160 | ||||||
| 7,400 | Helmerich & Payne, Inc. | 462,130 | ||||||
| 8,500 | HollyFrontier Corporation | 363,630 | ||||||
| 95,018 | Marathon Oil Corporation | 3,285,722 | ||||||
| 6,000 | Marathon Petroleum Corporation | 426,360 | ||||||
| 11,100 | National Oilwell Varco, Inc. | 764,790 | ||||||
| 31,100 | Oasis Petroleum, Inc.a | 1,208,857 | ||||||
| 4,800 | Occidental Petroleum Corporation | 428,304 | ||||||
| 2,800 | Oil States International, Inc.a | 259,392 | ||||||
| 56,400 | Patterson-UTI Energy, Inc. | 1,091,622 | ||||||
| 32,379 | Peabody Energy Corporation | 474,028 | ||||||
| 16,800 | Petroleo Brasileiro SA ADR | 225,456 | ||||||
| 4,800 | Range Resources Corporation | 371,136 | ||||||
| 48,350 | Rex Energy Corporationa | 849,993 | ||||||
| 43,570 | Schlumberger, Ltd. | 3,122,226 | ||||||
| 15,400 | SM Energy Company | 923,692 | ||||||
| 21,200 | Southwestern Energy Companya | 774,436 | ||||||
| 2,400 | Tesoro Corporation | 125,568 | ||||||
| 13,800 | Ultra Petroleum Corporationa | 273,516 | ||||||
| 8,800 | Valero Energy Corporation | 305,976 | ||||||
| 242,118 | Weatherford International, Ltd.a | 3,317,017 | ||||||
| 5,900 | Western Refining, Inc. | 165,613 | ||||||
|
| |||||||
| Total | 31,100,640 | |||||||
|
| |||||||
| Financials (6.8%) | |||||||
| 9,330 | ACE, Ltd. | 834,848 | ||||||
| 17,402 | Affiliated Managers Group, Inc.a | 2,852,884 | ||||||
| 3,700 | Allied World Assurance Company Holdings AG | 338,587 | ||||||
| 6,390 | Allstate Corporation | 307,487 | ||||||
| 9,500 | American Assets Trust, Inc. | 293,170 | ||||||
| 5,100 | American Capital, Ltd.a | 64,617 | ||||||
| 8,800 | Ameriprise Financial, Inc. | 711,744 | ||||||
| 29,700 | Annaly Capital Management, Inc. | 373,329 | ||||||
| 7,000 | Aspen Insurance Holdings, Ltd. | 259,630 | ||||||
| 6,100 | Axis Capital Holdings, Ltd. | 279,258 | ||||||
| 81,620 | Bank of America Corporation | 1,049,633 | ||||||
| 3,700 | Banner Corporation | 125,023 | ||||||
| 11,077 | BGC Partners, Inc. | 65,243 | ||||||
| 4,405 | Boston Properties, Inc. | 464,595 | ||||||
| 16,700 | CapitalSource, Inc. | 156,646 | ||||||
| 15,800 | CBL & Associates Properties, Inc. | 338,436 | ||||||
| 46,171 | Citigroup, Inc. | 2,214,823 | ||||||
| 1,872 | CNA Financial Corporation | 61,065 | ||||||
| 10,890 | Colonial Properties Trust | 262,667 | ||||||
| 3,500 | Comerica, Inc. | 139,405 | ||||||
| 39,900 | DCT Industrial Trust, Inc. | 285,285 | ||||||
| 13,782 | Discover Financial Services | 656,574 | ||||||
| 7,689 | Equity Residential | 446,423 | ||||||
| 5,800 | Extra Space Storage, Inc. | 243,194 | ||||||
| 29,700 | Fifth Third Bancorp | 536,085 | ||||||
| 18,100 | First Republic Bank | 696,488 | ||||||
| 22,627 | HCC Insurance Holdings, Inc. | 975,450 | ||||||
| 3,254 | Health Care REIT, Inc. | 218,116 | ||||||
| 5,900 | Home Loan Servicing Solutions, Ltd. | 141,423 | ||||||
| 17,648 | Host Hotels & Resorts, Inc. | 297,722 | ||||||
| 51,200 | Huntington Bancshares, Inc. | 403,456 | ||||||
| 16,130 | Invesco, Ltd. | 512,934 | ||||||
| 28,080 | iShares Russell 2000 Index Fund | 2,728,253 | ||||||
| 600 | iShares Russell 3000 Index Fund | 57,840 | ||||||
| 27,523 | J.P. Morgan Chase & Company | 1,452,939 | ||||||
| 13,000 | Janus Capital Group, Inc. | 110,630 | ||||||
| 20,579 | Kimco Realty Corporation | 441,008 | ||||||
| 8,731 | Lazard, Ltd. | 280,702 | ||||||
| 7,000 | Leucadia National Corporation | 183,540 | ||||||
| 2,700 | M&T Bank Corporation | 301,725 | ||||||
| 2,500 | MasterCard, Inc. | 1,436,250 | ||||||
| 20,130 | MetLife, Inc. | 921,149 | ||||||
| 4,400 | Montpelier Re Holdings, Inc. | 110,044 | ||||||
| 21,990 | Morgan Stanley | 537,216 | ||||||
| 11,800 | NASDAQ OMX Group, Inc. | 386,922 | ||||||
| 6,300 | Northern Trust Corporation | 364,770 | ||||||
| 11,100 | Pebblebrook Hotel Trust | 286,935 | ||||||
| 13,600 | Piedmont Office Realty Trust, Inc. | 243,168 | ||||||
| 58,251 | Popular, Inc.a | 1,766,753 | ||||||
| 900 | Portfolio Recovery Associates, Inc.a | 138,267 | ||||||
| 4,800 | ProAssurance Corporation | 250,368 | ||||||
| 3,000 | Progressive Corporation | 76,260 | ||||||
| 6,800 | Protective Life Corporation | 261,188 | ||||||
| 2,753 | Public Storage, Inc. | 422,117 | ||||||
| 3,310 | Simon Property Group, Inc. | 522,715 | ||||||
| 10,900 | SLM Corporation | 249,174 | ||||||
| 4,900 | SPDR Gold Trusta | 583,835 | ||||||
| 21,200 | SPDR S&P 500 ETF Trust | 3,392,212 | ||||||
| 7,280 | State Street Corporation | 474,729 | ||||||
| 2,136 | Stewart Information Services Corporation | 55,942 | ||||||
| 22,390 | SVB Financial Groupa | 1,865,535 | ||||||
| 7,400 | T. Rowe Price Group, Inc. | 541,310 | ||||||
| 3,325 | Taubman Centers, Inc. | 249,874 | ||||||
| 7,300 | TCF Financial Corporation | 103,514 | ||||||
| 20,340 | Terreno Realty Corporation | 376,900 | ||||||
| 12,349 | Tower Group International, Ltd. | 253,278 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
26
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (40.8%) | Value | ||||||
| Financials (6.8%) - continued |
| ||||||
| 11,100 | Visa, Inc. | $ | 2,028,525 | |||||
| 4,397 | Vornado Realty Trust | 364,291 | ||||||
| 7,486 | W.R. Berkley Corporation | 305,878 | ||||||
| 52,062 | Wells Fargo & Companyb | 2,148,599 | ||||||
| 67,815 | Zions Bancorporation | 1,958,497 | ||||||
|
| |||||||
| Total | 44,839,092 | |||||||
|
| |||||||
| Health Care (4.5%) | |||||||
| 2,300 | Abbott Laboratories | 80,224 | ||||||
| 3,679 | Actavis, Inc.a | 464,363 | ||||||
| 28,200 | Akorn, Inc.a | 381,264 | ||||||
| 24,400 | Align Technology, Inc.a | 903,776 | ||||||
| 23,600 | Allscripts Healthcare Solutions, Inc.a | 305,384 | ||||||
| 10,292 | AmerisourceBergen Corporation | 574,602 | ||||||
| 6,000 | Amgen, Inc. | 591,960 | ||||||
| 14,200 | Astex Pharmaceuticals, Inc.a | 58,362 | ||||||
| 6,910 | Baxter International, Inc. | 478,656 | ||||||
| 1,200 | Biogen Idec, Inc.a | 258,240 | ||||||
| 11,300 | BioMarin Pharmaceutical, Inc.a | 630,427 | ||||||
| 2,200 | Bio-Reference Laboratories, Inc.a | 63,250 | ||||||
| 2,358 | C.R. Bard, Inc. | 256,267 | ||||||
| 6,936 | Catamaran Corporationa | 337,922 | ||||||
| 4,900 | Celgene Corporationa | 572,859 | ||||||
| 6,030 | CIGNA Corporation | 437,115 | ||||||
| 8,000 | Community Health Systems, Inc. | 375,040 | ||||||
| 36,010 | Covidien plc | 2,262,868 | ||||||
| 5,200 | Eli Lilly and Company | 255,424 | ||||||
| 3,622 | ExamWorks Group, Inc.a | 76,895 | ||||||
| 43,200 | Express Scripts Holding Companya | 2,665,008 | ||||||
| 77,600 | Gilead Sciences, Inc.a | 3,973,896 | ||||||
| 9,626 | HeartWare International, Inc.a | 915,529 | ||||||
| 30,851 | Hologic, Inc.a | 595,424 | ||||||
| 5,000 | Illumina, Inc.a | 374,200 | ||||||
| 8,500 | Medicines Companya | 261,460 | ||||||
| 31,480 | Merck & Company, Inc. | 1,462,246 | ||||||
| 3,754 | Mettler-Toledo International, Inc.a | 755,305 | ||||||
| 15,600 | Neurocrine Biosciences, Inc.a | 208,728 | ||||||
| 8,435 | NuVasive, Inc.a | 209,104 | ||||||
| 5,383 | Onyx Pharmaceuticals, Inc.a | 467,352 | ||||||
| 3,000 | PAREXEL International Corporationa | 137,820 | ||||||
| 13,786 | PDL BioPharma, Inc. | 106,428 | ||||||
| 7,300 | Perrigo Company | 883,300 | ||||||
| 2,800 | Pfizer, Inc. | 78,428 | ||||||
| 2,500 | Questcor Pharmaceuticals, Inc. | 113,650 | ||||||
| 13,200 | ResMed, Inc. | 595,716 | ||||||
| 17,080 | Sanofi ADR | 879,791 | ||||||
| 3,100 | Santarus, Inc.a | 65,255 | ||||||
| 6,700 | Seattle Genetics, Inc.a | 210,782 | ||||||
| 21,100 | Shire Pharmaceuticals Group plc ADR | 2,006,821 | ||||||
| 13,276 | Spectrum Pharmaceuticals, Inc. | 99,039 | ||||||
| 27,800 | Thoratec Corporationa | 870,418 | ||||||
| 4,900 | United Therapeutics Corporationa | 322,518 | ||||||
| 14,963 | UnitedHealth Group, Inc. | 979,777 | ||||||
| 4,600 | Vertex Pharmaceuticals, Inc.a | 367,402 | ||||||
| 2,200 | Waters Corporationa | 220,110 | ||||||
| 9,858 | Zimmer Holdings, Inc. | 738,759 | ||||||
|
| |||||||
| Total | 29,929,164 | |||||||
|
| |||||||
| Industrials (5.6%) | |||||||
| 29,840 | Actuant Corporation | 983,825 | ||||||
| 15,600 | Acuity Brands, Inc. | 1,178,112 | ||||||
| 17,150 | ADT Corporationa | 683,427 | ||||||
| 1,200 | AGCO Corporation | 60,228 | ||||||
| 23,340 | AMETEK, Inc. | 987,282 | ||||||
| 9,796 | B/E Aerospace, Inc.a | 617,932 | ||||||
| 2,757 | Briggs & Stratton Corporation | 54,588 | ||||||
| 25,255 | CSX Corporation | 585,663 | ||||||
| 3,700 | Deluxe Corporation | 128,205 | ||||||
| 26,500 | DigitalGlobe, Inc.a | 821,765 | ||||||
| 33,424 | EMCOR Group, Inc. | 1,358,686 | ||||||
| 2,900 | EnerSys, Inc. | 142,216 | ||||||
| 15,400 | Expeditors International of Washington, Inc. | 585,354 | ||||||
| 14,481 | Flowserve Corporation | 782,119 | ||||||
| 14,300 | Fortune Brands Home and Security, Inc. | 553,982 | ||||||
| 11,600 | Foster Wheeler AGa | 251,836 | ||||||
| 29,000 | GATX Corporation | 1,375,470 | ||||||
| 18,620 | General Electric Company | 431,798 | ||||||
| 7,800 | Graco, Inc. | 493,038 | ||||||
| 33,800 | HNI Corporation | 1,219,166 | ||||||
| 35,265 | Honeywell International, Inc. | 2,797,925 | ||||||
| 1,200 | Huntington Ingalls Industries, Inc. | 67,776 | ||||||
| 14,500 | Ingersoll-Rand plc | 805,040 | ||||||
| 52,820 | Jacobs Engineering Group, Inc.a | 2,911,967 | ||||||
| 14,180 | JB Hunt Transport Services, Inc. | 1,024,363 | ||||||
| 26,900 | JetBlue Airways Corporationa | 169,470 | ||||||
| 9,818 | Kansas City Southern | 1,040,315 | ||||||
| 18,300 | Landstar System, Inc. | 942,450 | ||||||
| 2,500 | Lockheed Martin Corporation | 271,150 | ||||||
| 11,667 | Manitowoc Company, Inc. | 208,956 | ||||||
| 27,400 | Manpower, Inc. | 1,501,520 | ||||||
| 2,400 | MRC Global, Inc.a | 66,288 | ||||||
| 15,225 | Oshkosh Corporationa | 578,093 | ||||||
| 3,128 | Parker Hannifin Corporation | 298,411 | ||||||
| 14,362 | Pentair, Ltd. | 828,544 | ||||||
| 18,700 | Pitney Bowes, Inc. | 274,516 | ||||||
| 27,900 | Quanta Services, Inc.a | 738,234 | ||||||
| 7,300 | Republic Airways Holdings, Inc.a | 82,709 | ||||||
| 11,300 | Robert Half International, Inc. | 375,499 | ||||||
| 7,132 | Roper Industries, Inc. | 885,937 | ||||||
| 23,500 | Southwest Airlines Company | 302,915 | ||||||
| 8,881 | Stericycle, Inc.a | 980,729 | ||||||
| 9,740 | Tennant Company | 470,150 | ||||||
| 2,700 | Terex Corporationa | 71,010 | ||||||
| 14,500 | Union Pacific Corporation | 2,237,060 | ||||||
| 9,100 | United Rentals, Inc.a | 454,181 | ||||||
| 1,798 | United Stationers, Inc. | 60,323 | ||||||
| 18,198 | United Technologies Corporation | 1,691,322 | ||||||
| 3,100 | USG Corporationa | 71,455 | ||||||
| 8,800 | Wabash National Corporationa | 89,584 | ||||||
| 25,100 | Woodward, Inc. | 1,004,000 | ||||||
|
| |||||||
| Total | 36,596,584 | |||||||
|
| |||||||
| Information Technology (7.6%) | |||||||
| 32,900 | Activision Blizzard, Inc. | 469,154 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
27
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (40.8%) | Value | ||||||
| Information Technology (7.6%) - continued |
| ||||||
| 18,757 | Agilent Technologies, Inc. | $ | 802,049 | |||||
| 4,700 | Alliance Data Systems Corporationa | 850,841 | ||||||
| 12,235 | ANSYS, Inc.a | 894,379 | ||||||
| 5,400 | AOL, Inc.a | 196,992 | ||||||
| 11,402 | Apple, Inc.b | 4,516,104 | ||||||
| 28,284 | Applied Materials, Inc. | 421,714 | ||||||
| 217,273 | Atmel Corporationa | 1,596,957 | ||||||
| 25,957 | Autodesk, Inc.a | 880,981 | ||||||
| 90,500 | Brocade Communications Systems, Inc.a | 521,280 | ||||||
| 19,800 | Ciena Corporationa | 384,516 | ||||||
| 51,750 | Cisco Systems, Inc. | 1,258,042 | ||||||
| 35,700 | Citrix Systems, Inc.a | 2,153,781 | ||||||
| 8,400 | Computer Sciences Corporation | 367,668 | ||||||
| 23,238 | CoreLogic, Inc.a | 538,424 | ||||||
| 3,700 | Cray, Inc.a | 72,668 | ||||||
| 1,575 | DST Systems, Inc. | 102,895 | ||||||
| 34,216 | eBay, Inc.a | 1,769,652 | ||||||
| 3,500 | Ellie Mae, Inc.a | 80,780 | ||||||
| 49,800 | ExactTarget, Inc.a | 1,679,256 | ||||||
| 9,892 | F5 Networks, Inc.a | 680,570 | ||||||
| 48,300 | Facebook, Inc.a | 1,200,738 | ||||||
| 7,000 | FLIR Systems, Inc. | 188,790 | ||||||
| 3,673 | Google, Inc.a,b | 3,233,599 | ||||||
| 11,900 | Guidewire Software, Inc.a | 500,395 | ||||||
| 28,300 | Informatica Corporationa | 989,934 | ||||||
| 38,500 | Intel Corporation | 932,470 | ||||||
| 6,400 | InterDigital, Inc. | 285,760 | ||||||
| 7,717 | Itron, Inc.a | 327,432 | ||||||
| 2,900 | j2 Global, Inc. | 123,279 | ||||||
| 32,410 | Juniper Networks, Inc.a | 625,837 | ||||||
| 14,841 | Lam Research Corporationa | 658,050 | ||||||
| 5,765 | Lexmark International, Inc. | 176,236 | ||||||
| 1,500 | LinkedIn Corporationa | 267,450 | ||||||
| 4,800 | Mentor Graphics Corporation | 93,840 | ||||||
| 4,953 | Mercadolibre, Inc. | 533,735 | ||||||
| 20,462 | Microchip Technology, Inc. | 762,209 | ||||||
| 14,570 | Microsoft Corporation | 503,102 | ||||||
| 48,882 | NetApp, Inc.a | 1,846,762 | ||||||
| 5,775 | Nice Systems, Ltd. ADR | 213,040 | ||||||
| 26,593 | Nuance Communications, Inc.a | 488,779 | ||||||
| 102,368 | NVIDIA Corporation | 1,436,223 | ||||||
| 24,800 | NXP Semiconductors NVa | 768,304 | ||||||
| 24,066 | Plantronics, Inc. | 1,056,979 | ||||||
| 40,820 | QUALCOMM, Inc.b | 2,493,286 | ||||||
| 5,530 | Red Hat, Inc.a | 264,445 | ||||||
| 16,776 | SAIC, Inc. | 233,690 | ||||||
| 6,700 | Skyworks Solutions, Inc.a | 146,663 | ||||||
| 8,200 | SunEdison, Inc.a | 66,994 | ||||||
| 3,100 | SunPower Corporationa | 64,170 | ||||||
| 36,380 | Symantec Corporation | 817,459 | ||||||
| 13,800 | Synopsys, Inc.a | 493,350 | ||||||
| 77,664 | Teradyne, Inc.a | 1,364,556 | ||||||
| 31,130 | Texas Instruments, Inc. | 1,085,503 | ||||||
| 38,706 | TriQuint Semiconductor, Inc.a | 268,233 | ||||||
| 3,313 | Unisys Corporationa | 73,118 | ||||||
| 13,973 | VeriFone Systems, Inc.a | 234,886 | ||||||
| 89,400 | Vishay Intertechnology, Inc.a | 1,241,766 | ||||||
| 32,300 | VMware, Inc.a | 2,163,777 | ||||||
| 4,000 | Western Digital Corporation | 248,360 | ||||||
| 26 | Workday, Inc.a | 1,666 | ||||||
| 18,513 | Xilinx, Inc. | 733,300 | ||||||
| 18,700 | Yahoo!, Inc.a | 469,557 | ||||||
|
| |||||||
| Total | 49,916,425 | |||||||
|
| |||||||
| Materials (1.3%) | |||||||
| 7,200 | Airgas, Inc. | 687,312 | ||||||
| 7,700 | Albemarle Corporation | 479,633 | ||||||
| 6,000 | Axiall Corporation | 255,480 | ||||||
| 16,100 | Buckeye Technologies, Inc. | 596,344 | ||||||
| 14,758 | Celanese Corporation | 661,158 | ||||||
| 1,700 | CF Industries Holdings, Inc. | 291,550 | ||||||
| 7,000 | Cliffs Natural Resources, Inc. | 113,750 | ||||||
| 8,190 | Dow Chemical Company | 263,472 | ||||||
| 10,800 | Eagle Materials, Inc. | 715,716 | ||||||
| 7,132 | FMC Corporation | 435,480 | ||||||
| 16,700 | H.B. Fuller Company | 631,427 | ||||||
| 1,238 | Innophos Holdings, Inc. | 58,396 | ||||||
| 6,300 | Mosaic Company | 339,003 | ||||||
| 8,324 | Newmont Mining Corporation | 249,304 | ||||||
| 6,030 | Nucor Corporation | 261,220 | ||||||
| 9,100 | Owens-Illinois, Inc.a | 252,889 | ||||||
| 4,754 | Silgan Holdings, Inc. | 223,248 | ||||||
| 9,053 | Silver Wheaton Corporation | 178,073 | ||||||
| 12,545 | Southern Copper Corporation | 346,493 | ||||||
| 21,870 | Steel Dynamics, Inc. | 326,082 | ||||||
| 31,100 | SunCoke Energy, Inc.a | 436,022 | ||||||
| 27,800 | Teck Resources, Ltd. | 594,086 | ||||||
| 6,400 | Walter Energy, Inc. | 66,560 | ||||||
|
| |||||||
| Total | 8,462,698 | |||||||
|
| |||||||
| Telecommunications Services (0.3%) | |||||||
| 21,900 | AT&T, Inc. | 775,260 | ||||||
| 3,276 | SBA Communications Corporationa | 242,817 | ||||||
| 12,175 | TW Telecom, Inc.a | 342,604 | ||||||
| 9,958 | Verizon Communications, Inc. | 501,286 | ||||||
|
| |||||||
| Total | 1,861,967 | |||||||
|
| |||||||
| Utilities (0.8%) | |||||||
| 20,300 | Calpine Corporationa | 430,969 | ||||||
| 12,000 | CMS Energy Corporation | 326,040 | ||||||
| 18,890 | NiSource, Inc. | 541,009 | ||||||
| 14,000 | NRG Energy, Inc. | 373,800 | ||||||
| 17,690 | PG&E Corporation | 808,964 | ||||||
| 40,900 | PNM Resources, Inc. | 907,571 | ||||||
| 8,100 | Public Service Enterprise Group, Inc. | 264,546 | ||||||
| 8,300 | Southern Company | 366,279 | ||||||
| 19,478 | Southwest Gas Corporation | 911,376 | ||||||
| 6,000 | Wisconsin Energy Corporation | 245,940 | ||||||
|
| |||||||
| Total | 5,176,494 | |||||||
|
| |||||||
Total Common Stock (cost $230,383,392) | 268,200,515 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
28
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Principal | Long-Term Fixed Income (1.7%) | Value | ||||||
| Asset-Backed Securities (0.1%) |
| ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| $ 650,000 | 6.011%, 5/25/2036 | $ | 466,443 | |||||
|
| |||||||
| Total | 466,443 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (<0.1%) | |||||||
| MASTR Alternative Loans Trust | ||||||||
| 44,523 | 0.643%, 12/25/2035c | 22,803 | ||||||
| Residential Asset Securitization Trust | ||||||||
| 56,368 | 0.573%, 8/25/2037c | 17,955 | ||||||
| Sequoia Mortgage Trust | ||||||||
| 204,784 | 3.898%, 9/20/2046 | 168,724 | ||||||
| 66,151 | 3.898%, 9/20/2046 | 8,847 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 81,489 | 2.658%, 9/25/2036 | 66,073 | ||||||
| 121,562 | 2.727%, 10/25/2036 | 99,911 | ||||||
|
| |||||||
| Total | 384,313 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (0.1%) | |||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 250,000 | 5.509%, 9/15/2039 | 268,295 | ||||||
| Government National Mortgage Association | ||||||||
| 90,658 | 2.164%, 3/16/2033 | 91,406 | ||||||
| 65,499 | 3.214%, 1/16/2040 | 67,424 | ||||||
|
| |||||||
| Total | 427,125 | |||||||
|
| |||||||
| Financials (0.1%) | |||||||
| Achmea Hypotheekbank NV | ||||||||
| 205,000 | 3.200%, 11/3/2014d | 212,790 | ||||||
| Canadian Imperial Bank of Commerce | ||||||||
| 205,000 | 2.600%, 7/2/2015d | 212,687 | ||||||
|
| |||||||
| Total | 425,477 | |||||||
|
| |||||||
| Mortgage-Backed Securities (0.5%) | |||||||
| Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 250,000 | 2.500%, 7/1/2028e | 251,250 | ||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 400,000 | 3.000%, 7/1/2043e | 389,875 | ||||||
| Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 488,000 | 2.500%, 7/1/2028e | 490,821 | ||||||
| Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 400,000 | 3.000%, 7/1/2043e | 390,813 | ||||||
| 775,000 | 3.500%, 7/1/2043e | 786,746 | ||||||
| 775,000 | 4.000%, 7/1/2043e | 807,362 | ||||||
|
| |||||||
| Total | 3,116,867 | |||||||
|
| |||||||
| U.S. Government and Agencies (0.9%) | |||||||
| FDIC Structured Sale Guaranteed Notes | ||||||||
| $ 85,000 | Zero Coupon, 1/7/2014d | 84,818 | ||||||
| Federal National Mortgage Association | ||||||||
| 860,000 | 1.375%, 11/15/2016 | 871,821 | ||||||
| 665,000 | 0.875%, 5/21/2018 | 642,697 | ||||||
| Tennessee Valley Authority | ||||||||
| 165,000 | 5.250%, 9/15/2039 | 185,646 | ||||||
| U.S. Treasury Bonds | ||||||||
| 3,140,000 | 3.000%, 5/15/2042 | 2,862,305 | ||||||
| U.S. Treasury Notes | ||||||||
| 250,000 | 1.625%, 8/15/2022 | 234,551 | ||||||
| U.S. Treasury Notes, TIPS | ||||||||
| 1,307,851 | 0.125%, 4/15/2018 | 1,341,570 | ||||||
|
| |||||||
| Total | 6,223,408 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $11,531,686) | 11,043,633 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (5.3%) | |||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 7,000,000 | 0.030%, 7/24/2013f | 6,999,854 | ||||||
| 14,700,000 | 0.060%, 8/21/2013f | 14,698,702 | ||||||
| 2,800,000 | 0.093%, 11/22/2013b,f | 2,798,944 | ||||||
| 100,000 | 0.105%, 12/4/2013b,f | 99,954 | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 2,900,000 | 0.060%, 8/26/2013f | 2,899,720 | ||||||
| 2,500,000 | 0.095%, 12/2/2013b,f | 2,498,971 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 3,000,000 | 0.040%, 8/7/2013f | 2,999,870 | ||||||
| 1,000,000 | 0.065%, 8/21/2013f | 999,904 | ||||||
| 1,000,000 | 0.100%, 12/4/2013b,f | 999,561 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 34,995,480 | |||||||
|
| |||||||
| Total Investments (cost $623,497,639) 100.3% | $ | 660,130,829 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (0.3%) | (2,054,341 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 658,076,488 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | At June 28, 2013, $17,378,853 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 June 28, 2013. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
29
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| 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 June 28, 2013, the value of these investments was $510,295 or 0.1% 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. | ||
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 | $ | 71,179,348 | ||
Gross unrealized depreciation | (35,715,844 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 35,463,504 | ||
Cost for federal income tax purposes | $ | 624,667,325 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
30
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 331,206,024 | 331,206,024 | — | — | ||||||||||||
Fixed Income Mutual Funds | 14,685,177 | 14,685,177 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 43,153,945 | 43,153,945 | — | — | ||||||||||||
Consumer Staples | 17,163,506 | 15,700,171 | 1,463,335 | — | ||||||||||||
Energy | 31,100,640 | 31,100,640 | — | — | ||||||||||||
Financials | 44,839,092 | 44,839,092 | — | — | ||||||||||||
Health Care | 29,929,164 | 29,929,164 | — | — | ||||||||||||
Industrials | 36,596,584 | 36,596,584 | — | — | ||||||||||||
Information Technology | 49,916,425 | 49,916,425 | — | — | ||||||||||||
Materials | 8,462,698 | 8,462,698 | — | — | ||||||||||||
Telecommunications Services | 1,861,967 | 1,861,967 | — | — | ||||||||||||
Utilities | 5,176,494 | 5,176,494 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 466,443 | — | 466,443 | — | ||||||||||||
Collateralized Mortgage Obligations | 384,313 | — | 384,313 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 427,125 | — | 427,125 | — | ||||||||||||
Financials | 425,477 | — | 425,477 | — | ||||||||||||
Mortgage-Backed Securities | 3,116,867 | — | 3,116,867 | — | ||||||||||||
U.S. Government and Agencies | 6,223,408 | — | 6,223,408 | — | ||||||||||||
Short-Term Investments | 34,995,480 | — | 34,995,480 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 660,130,829 | $ | 612,628,381 | $ | 47,502,448 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 310,854 | 310,854 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 310,854 | $ | 310,854 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 5,917,722 | 4,419,852 | 1,497,870 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 5,917,722 | $ | 4,419,852 | $ | 1,497,870 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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 | ) | September 2013 | ($ | 3,305,814 | ) | ($ | 3,300,000 | ) | $ | 5,814 | |||||||||
5-Yr. U.S. Treasury Bond Futures | (80 | ) | September 2013 | (9,851,631 | ) | (9,683,750 | ) | 167,881 | ||||||||||||
10-Yr. U.S. Treasury Bond Futures | (35 | ) | September 2013 | (4,566,847 | ) | (4,429,688 | ) | 137,159 | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | 35 | September 2013 | 4,978,857 | 4,754,531 | (224,326 | ) | ||||||||||||||
Eurex EURO STOXX 50 Futures | 1,159 | September 2013 | 40,691,398 | 39,193,528 | (1,497,870 | ) | ||||||||||||||
Mini MSCI EAFE Index Futures | 10 | September 2013 | 856,819 | 819,850 | (36,969 | ) | ||||||||||||||
Russell 2000 Index Mini-Futures | (786 | ) | September 2013 | (75,933,023 | ) | (76,611,420 | ) | (678,397 | ) | |||||||||||
S&P 400 Index Mini-Futures | (699 | ) | September 2013 | (80,356,411 | ) | (80,937,210 | ) | (580,799 | ) | |||||||||||
S&P 500 Index Futures | 336 | September 2013 | 137,240,561 | 134,341,200 | (2,899,361 | ) | ||||||||||||||
Total Futures Contracts | ($ | 5,606,868 | ) | |||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
31
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 28, 2013, 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 | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 310,854 | |||
Total Interest Rate Contracts | 310,854 | |||||
|
| |||||
Total Asset Derivatives | $ | 310,854 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 224,326 | ||||
Total Interest Rate Contracts | 224,326 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 5,693,396 | ||||
Total Equity Contracts | 5,693,396 | |||||
|
| |||||
Total Liability Derivatives | $ | 5,917,722 | ||||
|
| |||||
| * | 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 June 28, 2013, 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 | (1,210,467 | ) | |||
Total Equity Contracts | (1,210,467 | ) | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (59,826 | ) | |||
Total Foreign Exchange Contracts | (59,826 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (185,729 | ) | |||
Total Interest Rate Contracts | (185,729 | ) | ||||
|
| |||||
Total | ($ | 1,456,022 | ) | |||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 28, 2013, 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 | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 150,163 | ||||
Total Interest Rate Contracts | 150,163 | |||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (2,739,355 | ) | |||
Total Equity Contracts | (2,739,355 | ) | ||||
|
| |||||
Total | ($ | 2,589,192 | ) | |||
|
| |||||
The following table presents Aggressive Allocation Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
The accompanying Notes to Financial Statements are an integral part of this schedule.
32
Table of Contents
Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 328,079,472 | 50.6 | % | N/A | N/A | ||||||||||
Interest Rate Contracts | 23,189,324 | 3.6 | N/A | N/A | ||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 12,035 | <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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Partner Small Cap Growth | $ | 48,539,108 | $ | 1,212,088 | $ | — | 3,574,409 | $ | 55,607,432 | $ | — | |||||||||||||
Partner Small Cap Value | 14,249,724 | 395,759 | — | 689,344 | 16,334,770 | 313,960 | ||||||||||||||||||
Small Cap Stock | 22,415,543 | 94,327 | — | 1,714,586 | 25,685,008 | 94,327 | ||||||||||||||||||
Partner Mid Cap Value | 23,104,644 | 1,262,135 | 3,000,000 | 1,466,458 | 23,516,117 | 234,886 | ||||||||||||||||||
Mid Cap Stock | 32,744,181 | 142,037 | — | 2,511,818 | 37,154,567 | 142,037 | ||||||||||||||||||
Partner Worldwide Allocation | 97,000,260 | 27,429 | — | 11,257,943 | 97,472,397 | 27,429 | ||||||||||||||||||
Large Cap Value | 32,787,456 | 574,266 | — | 2,773,409 | 37,965,201 | 574,266 | ||||||||||||||||||
Large Cap Stock | 28,504,425 | 378,212 | — | 3,128,201 | 31,612,975 | 378,212 | ||||||||||||||||||
Equity Income Plus | 5,294,883 | 123,717 | — | 550,683 | 5,857,557 | 123,717 | ||||||||||||||||||
High Yield | 9,008,058 | 277,444 | 319,157 | 1,775,744 | 8,780,878 | 277,444 | ||||||||||||||||||
Income | 6,052,390 | 121,434 | — | 573,155 | 5,904,299 | 108,001 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | 29,687,438 | 47,315,741 | 77,003,179 | — | — | 10,489 | ||||||||||||||||||
Total Value and Income Earned | 349,388,110 | 345,891,201 | 2,284,768 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
33
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Bank Loans (2.2%)a | Value | ||||||
| Basic Materials (0.1%) | |||||||
| Arch Coal, Inc., Term Loan | ||||||||
| $ 1,035,161 | 5.750%, 5/16/2018 | $ | 1,029,664 | |||||
| FMG Resources August 2006 Pty., Ltd., Term Loan | ||||||||
| 1,042,125 | 5.250%, 10/18/2017 | 1,035,122 | ||||||
| Ineos Group Holdings, Ltd., Term Loan | ||||||||
| 1,388,994 | 4.000%, 5/4/2018 | 1,359,048 | ||||||
| Tronox Pigments BV, Term Loan | ||||||||
| 370,000 | 4.500%, 3/19/2020 | 371,176 | ||||||
| US Coatings Acquisition, Inc., Term Loan | ||||||||
| 857,850 | 4.750%, 2/1/2020 | 857,104 | ||||||
|
| |||||||
| Total | 4,652,114 | |||||||
|
| |||||||
| Capital Goods (0.1%) | |||||||
| ADS Waste Holdings, Term Loan | ||||||||
| 1,114,400 | 4.250%, 10/9/2019 | 1,109,664 | ||||||
| Berry Plastics Group, Inc., Term Loan | ||||||||
| 1,830,412 | 3.500%, 2/8/2020 | 1,808,557 | ||||||
| Silver II Borrower, Term Loan | ||||||||
| 487,550 | 4.000%, 12/13/2019 | 483,182 | ||||||
|
| |||||||
| Total | 3,401,403 | |||||||
|
| |||||||
| Communications Services (0.8%) | |||||||
| Atlantic Broadband Penn, LLC, Term Loan | ||||||||
| 635,200 | 3.250%, 11/30/2019 | 631,865 | ||||||
| Cequel Communications, LLC, Term Loan | ||||||||
| 613,447 | 3.500%, 2/14/2019 | 607,791 | ||||||
| Charter Communications Operating, LLC, Term Loan | ||||||||
| 245,000 | 0.000%, 4/10/2020b,c | 241,746 | ||||||
| Clear Channel Communications, Inc., Term Loan | ||||||||
| 473,976 | 3.845%, 1/29/2016 | 432,209 | ||||||
| 1,398,024 | 6.945%, 1/30/2019 | 1,271,419 | ||||||
| Cricket Communications, Inc., Term Loan | ||||||||
| 159,200 | 4.750%, 10/10/2019 | 157,476 | ||||||
| 1,040,000 | 4.750%, 3/8/2020 | 1,029,922 | ||||||
| Cumulus Media Holdings, Inc., Term Loan | ||||||||
| 962,219 | 4.500%, 9/17/2018 | 961,815 | ||||||
| Fairpoint Communications, Term Loan | ||||||||
| 1,221,937 | 7.500%, 2/14/2019 | 1,194,444 | ||||||
| Grande Communications Networks, LLC, Term Loan | ||||||||
| 745,000 | 4.500%, 5/29/2020 | 740,344 | ||||||
| Hargray Communications Group, Inc., Term Loan | ||||||||
| 1,055,000 | 0.000%, 6/25/2019b,c | 1,051,044 | ||||||
| Integra Telecom Holdings, Inc., Term Loan | ||||||||
| 745,000 | 0.000%, 2/22/2019b,c | 744,628 | ||||||
| Integra Telecom Inc., Term Loan | ||||||||
| 250,000 | 9.750%, 2/21/2020 | 255,625 | ||||||
| Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 1,139,153 | 4.250%, 4/2/2018 | 1,139,153 | ||||||
| Level 3 Financing, Inc., Term Loan | ||||||||
| 1,555,000 | 4.750%, 8/1/2019 | 1,553,538 | ||||||
| Liberty Cablevision of Puerto Rico, Ltd., Term Loan | ||||||||
| 792,000 | 6.000%, 6/9/2017 | 790,020 | ||||||
| LTS Buyer, LLC, Term Loan | ||||||||
| 555,000 | 4.500%, 4/13/2020b,c | 550,493 | ||||||
| 62,000 | 8.000%, 4/12/2021 | 62,000 | ||||||
| MCC Georgia, LLC, Term Loan | ||||||||
| 635,200 | 4.000%, 1/20/2020 | 636,394 | ||||||
| McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
| 982,538 | 9.000%, 3/22/2019 | 965,098 | ||||||
| NEP Broadcasting, LLC, Term Loan | ||||||||
| 1,831,400 | 4.750%, 1/22/2020b,c | 1,839,037 | ||||||
| 68,571 | 9.500%, 7/22/2020 | 70,114 | ||||||
| NTELOS, Inc., Term Loan | ||||||||
| 368,150 | 5.750%, 11/9/2019 | 362,933 | ||||||
| SBA Senior Finance II, LLC, Term Loan | ||||||||
| 175,954 | 3.750%, 9/28/2019 | 176,100 | ||||||
| Syniverse Holdings, Inc., Term Loan | ||||||||
| 980,000 | 4.000%, 4/23/2019 | 975,100 | ||||||
| TNS, Inc., Term Loan | ||||||||
| 750,833 | 5.000%, 2/14/2020 | 752,087 | ||||||
| Univision Communications, Inc., Term Loan | ||||||||
| 942,638 | 4.500%, 2/28/2020 | 932,976 | ||||||
| 244,387 | 4.500%, 3/1/2020 | 241,638 | ||||||
| 510,371 | 4.500%, 3/1/2020 | 505,140 | ||||||
| Van Wagner Communications, Inc., Term Loan | ||||||||
| 876,150 | 8.250%, 8/3/2018 | 887,102 | ||||||
| Virgin Media Investment Holdings, Ltd., Term Loan | ||||||||
| 1,505,000 | 3.500%, 6/7/2020 | 1,487,030 | ||||||
| Visant Corporation, Term Loan | ||||||||
| 1,569,246 | 5.250%, 12/22/2016 | 1,492,463 | ||||||
| WideOpenWest Finance, LLC, Term Loan | ||||||||
| 1,625,925 | 4.750%, 4/1/2019 | 1,627,957 | ||||||
| Yankee Cable Acquisition, LLC, Term Loan | ||||||||
| 961,783 | 5.250%, 3/1/2020 | 964,524 | ||||||
| Zayo Group, LLC, Term Loan | ||||||||
| 1,223,819 | 4.500%, 7/2/2019 | 1,221,775 | ||||||
|
| |||||||
| Total | 28,553,000 | |||||||
|
| |||||||
| Consumer Cyclical (0.3%) | |||||||
| Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
| 944,737 | 4.250%, 2/23/2017 | 943,320 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
34
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Bank Loans (2.2%)a | Value | ||||||
| Consumer Cyclical (0.3%) - continued | |||||||
| Cenveo Corporation, Term Loan | ||||||||
| $ 553,612 | 6.250%, 2/13/2017 | $ | 552,577 | |||||
| Ceridian Corporation, Term Loan | ||||||||
| 957,899 | 5.942%, 5/9/2017 | 959,393 | ||||||
| Chrysler Group, LLC, Term Loan | ||||||||
| 835,000 | 0.000%, 5/24/2017b,c | 837,872 | ||||||
| J.C. Penney Corporation, Inc., Term Loan | ||||||||
| 370,000 | 5.000%, 5/22/2018b,c | 370,263 | ||||||
| MGM Resorts International, Term Loan | ||||||||
| 776,100 | 3.500%, 12/20/2019 | 770,279 | ||||||
| MRC Global, Inc., Term Loan | ||||||||
| 796,000 | 6.000%, 11/8/2019 | 798,651 | ||||||
| ROC Finance, LLC, Term Loan | ||||||||
| 1,355,000 | 2.269%, 3/27/2019b,c | 1,352,737 | ||||||
| Seminole Indian Tribe of Florida, Term Loan | ||||||||
| 451,950 | 3.026%, 4/29/2020 | 450,065 | ||||||
| Seven Seas Cruises S de RL, LLC, Term Loan | ||||||||
| 1,422,000 | 4.750%, 12/21/2018 | 1,427,332 | ||||||
| Toys R Us, Inc., Term Loan | ||||||||
| 1,246,185 | 5.250%, 5/25/2018 | 1,195,304 | ||||||
|
| |||||||
| Total | 9,657,793 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.3%) | |||||||
| Albertson’s, Inc., Term Loan | ||||||||
| 1,087,275 | 4.750%, 3/21/2019 | 1,079,120 | ||||||
| Bausch & Lomb, Inc., Term Loan | ||||||||
| 792,015 | 4.000%, 5/18/2019 | 790,368 | ||||||
| Biomet, Inc., Term Loan | ||||||||
| 1,012,350 | 3.963%, 7/25/2017 | 1,006,448 | ||||||
| CHS/Community Health Systems, Inc., Term Loan | ||||||||
| 800,000 | 3.773%, 1/25/2017 | 799,912 | ||||||
| Del Monte Corporation, Term Loan | ||||||||
| 150,318 | 4.000%, 3/8/2018 | 149,629 | ||||||
| DJO Finance, LLC, Term Loan | ||||||||
| 1,160,786 | 4.750%, 9/15/2017b,c | 1,166,346 | ||||||
| Grifols, Inc., Term Loan | ||||||||
| 789,580 | 4.250%, 6/1/2017 | 792,177 | ||||||
| HJ Heinz Company, Term Loan | ||||||||
| 430,000 | 3.500%, 6/5/2020 | 429,510 | ||||||
| Hologic, Inc., Term Loan | ||||||||
| 952,800 | 4.500%, 8/1/2019 | 954,525 | ||||||
| JBS USA, LLC, Term Loan | ||||||||
| 917,700 | 3.750%, 5/25/2018 | 915,406 | ||||||
| Reynolds Group Holdings, Inc., Term Loan | ||||||||
| 158,800 | 4.750%, 9/28/2018 | 159,032 | ||||||
| Rite Aid Corporation, Term Loan | ||||||||
| 184,537 | 4.000%, 2/21/2020 | 183,692 | ||||||
| 365,000 | 5.750%, 8/21/2020 | 369,562 | ||||||
| Roundy’s Supermarkets, Inc., Term Loan | ||||||||
| 1,389,015 | 5.750%, 2/13/2019 | 1,353,137 | ||||||
| Supervalu, Inc., Term Loan | ||||||||
| 1,126,480 | 5.000%, 3/21/2019b,c | 1,117,873 | ||||||
| Warner Chilcott Company, LLC, Term Loan | ||||||||
| 14,476 | 4.250%, 3/15/2018 | 14,464 | ||||||
| Warner Chilcott Corporation, Term Loan | ||||||||
| 107,646 | 4.250%, 3/15/2018 | 107,550 | ||||||
| 46,861 | 4.250%, 3/15/2018 | 46,819 | ||||||
| WC Luxco Sarl, Term Loan | ||||||||
| 84,827 | 4.250%, 3/15/2018 | 84,752 | ||||||
|
| |||||||
| Total | 11,520,322 | |||||||
|
| |||||||
| Energy (0.1%) | |||||||
| Chesapeake Energy Corporation, Term Loan | ||||||||
| 2,325,000 | 5.750%, 12/2/2017 | 2,353,574 | ||||||
| Offshore Group Investment, Ltd., Term Loan | ||||||||
| 1,002,488 | 5.750%, 3/28/2019 | 1,004,994 | ||||||
|
| |||||||
| Total | 3,358,568 | |||||||
|
| |||||||
| Financials (0.1%) | |||||||
| GEO Group, Inc., Term Loan | ||||||||
| 246,000 | 3.250%, 4/3/2020 | 245,385 | ||||||
| MoneyGram International, Inc., Term Loan | ||||||||
| 977,550 | 4.250%, 3/27/2020 | 978,166 | ||||||
| WaveDivision Holdings, LLC, Term Loan | ||||||||
| 1,477,575 | 4.000%, 10/12/2019 | 1,473,881 | ||||||
|
| |||||||
| Total | 2,697,432 | |||||||
|
| |||||||
| Technology (0.2%) | |||||||
| First Data Corporation Extended, Term Loan | ||||||||
| 1,540,000 | 4.193%, 3/23/2018 | 1,499,575 | ||||||
| First Data Corporation, Term Loan | ||||||||
| 640,000 | 4.193%, 9/24/2018 | 623,200 | ||||||
| Freescale Semiconductor Inc., Term Loan | ||||||||
| 887,775 | 5.000%, 3/1/2020 | 879,847 | ||||||
| Infor US, Inc., Term Loan | ||||||||
| 811,023 | 5.250%, 4/5/2018 | 811,867 | ||||||
| SunGard Data Systems, Inc., Term Loan | ||||||||
| 1,192,013 | 4.500%, 1/31/2020 | 1,194,253 | ||||||
|
| |||||||
| Total | 5,008,742 | |||||||
|
| |||||||
| Transportation (0.1%) | |||||||
| American Airlines, Inc., Term Loan | ||||||||
| 1,050,000 | 0.000%, 6/21/2019b,c | 1,048,362 | ||||||
| American Petroleum Tankers Parent, LLC, Term Loan | ||||||||
| 305,000 | 4.750%, 10/2/2019 | 303,856 | ||||||
| Delta Air Lines, Inc., Term Loan | ||||||||
| 1,283,807 | 4.250%, 4/20/2017 | 1,287,414 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
35
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Bank Loans (2.2%)a | Value | ||||||
| Transportation (0.1%) - continued | |||||||
| United Air Lines, Inc., Term Loan | ||||||||
| $ 615,000 | 4.000%, 4/1/2019 | $ | 613,463 | |||||
|
| |||||||
| Total | 3,253,095 | |||||||
|
| |||||||
| Utilities (0.1%) | |||||||
| Calpine Corporation, Term Loan | ||||||||
| 184,058 | 4.000%, 4/1/2018 | 183,599 | ||||||
| 1,270,400 | 4.000%, 10/9/2019 | 1,268,024 | ||||||
| Intergen NV, Term Loan | ||||||||
| 490,000 | 0.000%, 6/5/2020b,c | 480,200 | ||||||
| NGPL PipeCo, LLC, Term Loan | ||||||||
| 1,139,518 | 6.750%, 9/15/2017 | 1,129,547 | ||||||
| Pacific Drilling SA, Term loan | ||||||||
| 495,000 | 0.000%, 5/18/2018b,c | 492,649 | ||||||
|
| |||||||
| Total | 3,554,019 | |||||||
|
| |||||||
Total Bank Loans (cost $75,737,546) | 75,656,488 | |||||||
|
| |||||||
| Shares | Mutual Funds (51.0%) | |||||||
| Equity Mutual Funds (42.3%) | |||||||
| 5,165,495 | Thrivent Partner Small Cap Growth Portfoliod | 80,360,118 | ||||||
| 3,387,094 | Thrivent Partner Small Cap Value Portfolio | 80,260,915 | ||||||
| 4,544,703 | Thrivent Small Cap Stock Portfolio | 68,081,010 | ||||||
| 6,555,161 | Thrivent Partner Mid Cap Value Portfolio | 105,118,566 | ||||||
| 14,161,368 | Thrivent Mid Cap Stock Portfolio | 209,473,537 | ||||||
| 46,799,927 | Thrivent Partner Worldwide Allocation Portfolio | 405,198,453 | ||||||
| 19,051,500 | Thrivent Large Cap Value Portfolio | 260,795,982 | ||||||
| 22,150,339 | Thrivent Large Cap Stock Portfolio | 223,846,896 | ||||||
| 2,306,527 | Thrivent Equity Income Plus Portfolio | 24,534,298 | ||||||
|
| |||||||
| Total | 1,457,669,775 | |||||||
|
| |||||||
| Fixed Income Mutual Funds (8.7%) | |||||||
| 24,096,908 | Thrivent High Yield Portfolio | 119,156,799 | ||||||
| 13,407,898 | Thrivent Income Portfolio | 138,120,124 | ||||||
| 4,278,975 | Thrivent Limited Maturity Bond Portfolio | 41,987,873 | ||||||
|
| |||||||
| Total | 299,264,796 | |||||||
|
| |||||||
Total Mutual Funds (cost $1,679,418,479) | 1,756,934,571 | |||||||
|
| |||||||
Common Stock (24.3%) | ||||||||
| Consumer Discretionary (3.9%) | |||||||
| 62,271 | Abercrombie & Fitch Company | 2,817,763 | ||||||
| 33,792 | Amazon.com, Inc.d | 9,383,700 | ||||||
| 17,850 | AutoZone, Inc.d | 7,562,867 | ||||||
| 81,750 | CBS Corporation | 3,995,123 | ||||||
| 16,300 | Charter Communications, Inc.d | 2,018,755 | ||||||
| 57,290 | Cheesecake Factory, Inc. | 2,399,878 | ||||||
| 61,300 | Chico’s FAS, Inc. | 1,045,778 | ||||||
| 361,736 | Comcast Corporation | 15,149,504 | ||||||
| 12,100 | Conn’s, Inc.d | 626,296 | ||||||
| 3,222 | CST Brands, Inc.d | 99,270 | ||||||
| 16,800 | Dana Holding Corporation | 323,568 | ||||||
| 6,674 | Darden Restaurants, Inc. | 336,904 | ||||||
| 29,769 | Delphi Automotive plc | 1,508,991 | ||||||
| 13,500 | DeVry, Inc.e | 418,770 | ||||||
| 24,962 | Discovery Communications, Inc.d | 1,927,316 | ||||||
| 22,800 | DISH Network Corporation | 969,456 | ||||||
| 39,166 | Dollar Tree, Inc.d | 1,991,199 | ||||||
| 13,318 | Finish Line, Inc. | 291,131 | ||||||
| 79,588 | Foot Locker, Inc. | 2,795,925 | ||||||
| 59,100 | Gap, Inc. | 2,466,243 | ||||||
| 60,670 | GNC Holdings, Inc. | 2,682,221 | ||||||
| 9,600 | Grand Canyon Education, Inc.d | 309,408 | ||||||
| 6,960 | Harley-Davidson, Inc. | 381,547 | ||||||
| 33,693 | Hasbro, Inc.e | 1,510,457 | ||||||
| 107,000 | Home Depot, Inc. | 8,289,290 | ||||||
| 49,800 | Hovnanian Enterprises, Inc.d,e | 279,378 | ||||||
| 8,670 | iShares Dow Jones US Home Construction Index Fund | 194,035 | ||||||
| 24,749 | L Brands, Inc. | 1,218,888 | ||||||
| 147,677 | Las Vegas Sands Corporation | 7,816,544 | ||||||
| 26,787 | LifeLock, Inc.d,e | 313,676 | ||||||
| 74,960 | Lowe’s Companies, Inc. | 3,065,864 | ||||||
| 10,686 | M/I Homes, Inc.d | 245,351 | ||||||
| 39,600 | Macy’s, Inc. | 1,900,800 | ||||||
| 17,600 | Marriott International, Inc. | 710,512 | ||||||
| 12,900 | Marriott Vacations Worldwide Corporationd | 557,796 | ||||||
| 20,910 | MDC Partners, Inc. | 377,216 | ||||||
| 54,000 | Meredith Corporatione | 2,575,800 | ||||||
| 11,000 | Michael Kors Holdings, Ltd.d | 682,220 | ||||||
| 1,400 | Netflix, Inc.d | 295,526 | ||||||
| 42,200 | New York Times Companyd,e | 466,732 | ||||||
| 50,650 | News Corporation | 1,662,333 | ||||||
| 51,130 | Nexstar Broadcasting Group, Inc. | 1,813,070 | ||||||
| 180,600 | NIKE, Inc. | 11,500,608 | ||||||
| 15,500 | Omnicom Group, Inc. | 974,485 | ||||||
| 6,313 | O’Reilly Automotive, Inc.d | 710,970 | ||||||
| 29,320 | Papa John’s International, Inc.d | 1,916,648 | ||||||
| 14,300 | Penn National Gaming, Inc.d | 755,898 | ||||||
| 9,380 | PetSmart, Inc. | 628,366 | ||||||
| 115,388 | Pier 1 Imports, Inc. | 2,710,464 | ||||||
| 38,200 | Pulte Group, Inc.d | 724,654 | ||||||
| 7,800 | Ross Stores, Inc. | 505,518 | ||||||
| 174,300 | Sally Beauty Holdings, Inc.d | 5,420,730 | ||||||
| 113,700 | Sirius XM Radio, Inc. | 380,895 | ||||||
| 158,500 | Smith & Wesson Holding Corporationd,e | 1,581,830 | ||||||
| 13,164 | Stage Stores, Inc. | 309,354 | ||||||
| 89,700 | Standard Pacific Corporationd,e | 747,201 | ||||||
| 26,700 | Staples, Inc. | 423,462 | ||||||
| 8,100 | Sturm, Ruger & Company, Inc.e | 389,124 | ||||||
| 8,600 | Target Corporation | 592,196 | ||||||
| 17,300 | Tempur-Pedic International, Inc.d | 759,470 | ||||||
| 14,480 | Time Warner Cable, Inc. | 1,628,710 | ||||||
| 27,500 | TJX Companies, Inc. | 1,376,650 | ||||||
| 59,300 | Toll Brothers, Inc.d | 1,934,959 | ||||||
| 12,580 | Tractor Supply Company | 1,479,534 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
36
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Shares | Common Stock (24.3%) | Value | ||||||
| Consumer Discretionary (3.9%) - continued | |||||||
| 9,500 | Under Armour, Inc.d,e | $ | 567,245 | |||||
| 9,000 | Urban Outfitters, Inc.d | 361,980 | ||||||
| 17,800 | Valassis Communications, Inc.e | 437,702 | ||||||
| 25,500 | Vera Bradley, Inc.d,e | 552,330 | ||||||
| 1,538 | VF Corporation | 296,926 | ||||||
| 7,800 | Wynn Resorts, Ltd. | 998,400 | ||||||
|
| |||||||
| Total | 136,143,410 | |||||||
|
| |||||||
| Consumer Staples (1.7%) | |||||||
| 80,600 | Altria Group, Inc. | 2,820,194 | ||||||
| 5,579 | Andersons, Inc. | 296,747 | ||||||
| 37,476 | Annie’s, Inc.d,e | 1,601,724 | ||||||
| 50,000 | Archer-Daniels-Midland Company | 1,695,500 | ||||||
| 15,400 | Avon Products, Inc. | 323,862 | ||||||
| 56,063 | British American Tobacco plc ADRe | 5,771,125 | ||||||
| 22,900 | Bunge, Ltd. | 1,620,633 | ||||||
| 35,900 | Campbell Soup Company | 1,607,961 | ||||||
| 19,239 | Clorox Company | 1,599,530 | ||||||
| 42,900 | Colgate-Palmolive Company | 2,457,741 | ||||||
| 84,300 | CVS Caremark Corporation | 4,820,274 | ||||||
| 11,169 | Energizer Holdings, Inc. | 1,122,596 | ||||||
| 13,100 | Hain Celestial Group, Inc.d | 851,107 | ||||||
| 74,251 | Ingredion, Inc. | 4,872,351 | ||||||
| 9,170 | Kimberly-Clark Corporation | 890,774 | ||||||
| 13,380 | Kraft Foods Group, Inc. | 747,541 | ||||||
| 69,300 | Kroger Company | 2,393,622 | ||||||
| 40,160 | Mondelez International, Inc. | 1,145,765 | ||||||
| 16,200 | Monster Beverage Corporationd | 984,474 | ||||||
| 95,100 | Nestle SA | 6,240,500 | ||||||
| 10,316 | Philip Morris International, Inc. | 893,572 | ||||||
| 123,500 | Procter & Gamble Company | 9,508,265 | ||||||
| 24,800 | Safeway, Inc.e | 586,768 | ||||||
| 52,200 | Tyson Foods, Inc. | 1,340,496 | ||||||
| 25,800 | Wal-Mart Stores, Inc. | 1,921,842 | ||||||
| 25,896 | Whole Foods Market, Inc. | 1,333,126 | ||||||
|
| |||||||
| Total | 59,448,090 | |||||||
|
| |||||||
| Energy (3.0%) | |||||||
| 293,543 | Alpha Natural Resources, Inc.d | 1,538,165 | ||||||
| 92,835 | BP plc ADR | 3,874,933 | ||||||
| 15,400 | Cameron International Corporationd | 941,864 | ||||||
| 34,580 | Chevron Corporation | 4,092,197 | ||||||
| 34,300 | Cobalt International Energy, Inc.d | 911,351 | ||||||
| 32,660 | Concho Resources, Inc.d | 2,734,295 | ||||||
| 176,700 | Consol Energy, Inc. | 4,788,570 | ||||||
| 24,200 | Delek US Holdings, Inc. | 696,476 | ||||||
| 22,900 | Dril-Quip, Inc.d | 2,067,641 | ||||||
| 11,600 | Ensco plc | 674,192 | ||||||
| 45,536 | EOG Resources, Inc. | 5,996,181 | ||||||
| 44,620 | EQT Corporation | 3,541,490 | ||||||
| 79,700 | Exxon Mobil Corporation | 7,200,895 | ||||||
| 24,600 | Helmerich & Payne, Inc. | 1,536,270 | ||||||
| 38,600 | HollyFrontier Corporation | 1,651,308 | ||||||
| 360,198 | Marathon Oil Corporation | 12,455,647 | ||||||
| 27,300 | Marathon Petroleum Corporation | 1,939,938 | ||||||
| 36,900 | National Oilwell Varco, Inc. | 2,542,410 | ||||||
| 74,100 | Oasis Petroleum, Inc.d | 2,880,267 | ||||||
| 16,000 | Occidental Petroleum Corporation | 1,427,680 | ||||||
| 9,000 | Oil States International, Inc.d | 833,760 | ||||||
| 126,800 | Patterson-UTI Energy, Inc. | 2,454,214 | ||||||
| 76,409 | Peabody Energy Corporation | 1,118,628 | ||||||
| 55,500 | Petroleo Brasileiro SA ADR | 744,810 | ||||||
| 7,200 | Range Resources Corporation | 556,704 | ||||||
| 109,430 | Rex Energy Corporationd | 1,923,779 | ||||||
| 167,920 | Schlumberger, Ltd. | 12,033,147 | ||||||
| 35,000 | SM Energy Company | 2,099,300 | ||||||
| 42,900 | Southwestern Energy Companyd | 1,567,137 | ||||||
| 11,000 | Tesoro Corporation | 575,520 | ||||||
| 45,700 | Ultra Petroleum Corporationd,e | 905,774 | ||||||
| 29,000 | Valero Energy Corporation | 1,008,330 | ||||||
| 878,707 | Weatherford International, Ltd.d | 12,038,286 | ||||||
| 27,000 | Western Refining, Inc. | 757,890 | ||||||
|
| |||||||
| Total | 102,109,049 | |||||||
|
| |||||||
| Financials (4.1%) | |||||||
| 33,750 | ACE, Ltd. | 3,019,950 | ||||||
| 30,638 | Affiliated Managers Group, Inc.d | 5,022,794 | ||||||
| 10,200 | Allied World Assurance Company Holdings AG | 933,402 | ||||||
| 18,240 | Allstate Corporation | 877,709 | ||||||
| 19,100 | American Assets Trust, Inc. | 589,426 | ||||||
| 23,100 | American Capital, Ltd.d | 292,677 | ||||||
| 13,300 | Ameriprise Financial, Inc. | 1,075,704 | ||||||
| 135,000 | Annaly Capital Management, Inc. | 1,696,950 | ||||||
| 13,900 | Aspen Insurance Holdings, Ltd. | 515,551 | ||||||
| 18,200 | Axis Capital Holdings, Ltd. | 833,196 | ||||||
| 246,840 | Bank of America Corporation | 3,174,362 | ||||||
| 17,000 | Banner Corporation | 574,430 | ||||||
| 50,450 | BGC Partners, Inc. | 297,151 | ||||||
| 14,392 | Boston Properties, Inc. | 1,517,924 | ||||||
| 76,000 | CapitalSource, Inc. | 712,880 | ||||||
| 44,800 | CBL & Associates Properties, Inc. | 959,616 | ||||||
| 160,917 | Citigroup, Inc. | 7,719,188 | ||||||
| 8,165 | CNA Financial Corporation | 266,342 | ||||||
| 21,750 | Colonial Properties Trust | 524,610 | ||||||
| 16,100 | Comerica, Inc. | 641,263 | ||||||
| 79,700 | DCT Industrial Trust, Inc. | 569,855 | ||||||
| 35,459 | Discover Financial Services | 1,689,267 | ||||||
| 25,488 | Equity Residential | 1,479,833 | ||||||
| 11,590 | Extra Space Storage, Inc. | 485,969 | ||||||
| 134,700 | Fifth Third Bancorp | 2,431,335 | ||||||
| 27,300 | First Republic Bank | 1,050,504 | ||||||
| 57,972 | HCC Insurance Holdings, Inc. | 2,499,173 | ||||||
| 11,063 | Health Care REIT, Inc. | 741,553 | ||||||
| 26,900 | Home Loan Servicing Solutions, Ltd. | 644,793 | ||||||
| 51,295 | Host Hotels & Resorts, Inc. | 865,347 | ||||||
| 148,000 | Huntington Bancshares, Inc. | 1,166,240 | ||||||
| 46,410 | Invesco, Ltd. | 1,475,838 | ||||||
| 39,000 | iShares Barclays 1-3 Year Credit Bond Fund | 4,096,170 | ||||||
| 56,100 | iShares Russell 2000 Index Fund | 5,450,676 | ||||||
| 1,500 | iShares Russell 3000 Index Fund | 144,600 | ||||||
| 117,160 | J.P. Morgan Chase & Company | 6,184,876 | ||||||
| 59,000 | Janus Capital Group, Inc. | 502,090 | ||||||
| 68,076 | Kimco Realty Corporation | 1,458,869 | ||||||
| 25,550 | Lazard, Ltd. | 821,432 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
37
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (24.3%) | Value | ||||||
| Financials (4.1%) - continued | |||||||
| 31,900 | Leucadia National Corporation | $ | 836,418 | |||||
| 8,100 | M&T Bank Corporatione | 905,175 | ||||||
| 11,000 | MasterCard, Inc. | 6,319,500 | ||||||
| 57,840 | MetLife, Inc. | 2,646,758 | ||||||
| 19,900 | Montpelier Re Holdings, Inc. | 497,699 | ||||||
| 63,150 | Morgan Stanley | 1,542,754 | ||||||
| 34,100 | NASDAQ OMX Group, Inc. | 1,118,139 | ||||||
| 18,800 | Northern Trust Corporation | 1,088,520 | ||||||
| 22,200 | Pebblebrook Hotel Trust | 573,870 | ||||||
| 39,600 | Piedmont Office Realty Trust, Inc. | 708,048 | ||||||
| 116,526 | Popular, Inc.d | 3,534,234 | ||||||
| 4,100 | Portfolio Recovery Associates, Inc.d | 629,883 | ||||||
| 9,600 | ProAssurance Corporation | 500,736 | ||||||
| 13,600 | Progressive Corporation | 345,712 | ||||||
| 20,200 | Protective Life Corporation | 775,882 | ||||||
| 8,903 | Public Storage, Inc. | 1,365,097 | ||||||
| 10,792 | Simon Property Group, Inc. | 1,704,273 | ||||||
| 49,500 | SLM Corporation | 1,131,570 | ||||||
| 16,300 | SPDR Gold Trustd,e | 1,942,145 | ||||||
| 99,100 | SPDR S&P 500 ETF Trust | 15,856,991 | ||||||
| 20,780 | State Street Corporation | 1,355,064 | ||||||
| 9,853 | Stewart Information Services Corporation | 258,050 | ||||||
| 47,310 | SVB Financial Groupd | 3,941,869 | ||||||
| 11,200 | T. Rowe Price Group, Inc. | 819,280 | ||||||
| 6,701 | Taubman Centers, Inc. | 503,580 | ||||||
| 33,200 | TCF Financial Corporation | 470,776 | ||||||
| 40,660 | Terreno Realty Corporation | 753,430 | ||||||
| 24,699 | Tower Group International, Ltd. | 506,576 | ||||||
| 15,000 | Vanguard Intermediate-Term Corporate Bond ETF | 1,246,500 | ||||||
| 47,600 | Visa, Inc. | 8,698,900 | ||||||
| 14,615 | Vornado Realty Trust | 1,210,853 | ||||||
| 21,696 | W.R. Berkley Corporation | 886,499 | ||||||
| 198,274 | Wells Fargo & Company | 8,182,768 | ||||||
| 148,131 | Zions Bancorporation | 4,278,023 | ||||||
|
| |||||||
| Total | 142,139,117 | |||||||
|
| |||||||
| Health Care (2.9%) | |||||||
| 10,400 | Abbott Laboratories | 362,752 | ||||||
| 5,644 | Actavis, Inc.d | 712,386 | ||||||
| 56,400 | Akorn, Inc.d | 762,528 | ||||||
| 48,750 | Align Technology, Inc.d | 1,805,700 | ||||||
| 68,800 | Allscripts Healthcare Solutions, Inc.d | 890,272 | ||||||
| 20,674 | AmerisourceBergen Corporation | 1,154,229 | ||||||
| 27,400 | Amgen, Inc. | 2,703,284 | ||||||
| 64,400 | Astex Pharmaceuticals, Inc.d | 264,684 | ||||||
| 19,830 | Baxter International, Inc. | 1,373,624 | ||||||
| 5,600 | Biogen Idec, Inc.d | 1,205,120 | ||||||
| 17,100 | BioMarin Pharmaceutical, Inc.d | 954,009 | ||||||
| 9,800 | Bio-Reference Laboratories, Inc.d,e | 281,750 | ||||||
| 7,487 | C.R. Bard, Inc. | 813,687 | ||||||
| 10,524 | Catamaran Corporationd | 512,729 | ||||||
| 22,100 | Celgene Corporationd | 2,583,711 | ||||||
| 9,062 | CIGNA Corporation | 656,904 | ||||||
| 36,100 | Community Health Systems, Inc. | 1,692,368 | ||||||
| 140,870 | Covidien plc | 8,852,271 | ||||||
| 14,980 | Eli Lilly and Company | 735,818 | ||||||
| 7,230 | ExamWorks Group, Inc.d | 153,493 | ||||||
| 184,500 | Express Scripts Holding Companyd | 11,381,805 | ||||||
| 334,300 | Gilead Sciences, Inc.d | 17,119,503 | ||||||
| 19,253 | HeartWare International, Inc.d | 1,831,153 | ||||||
| 56,053 | Hologic, Inc.d | 1,081,823 | ||||||
| 14,900 | Illumina, Inc.d,e | 1,115,116 | ||||||
| 28,800 | Medicines Companyd | 885,888 | ||||||
| 96,840 | Merck & Company, Inc. | 4,498,218 | ||||||
| 5,650 | Mettler-Toledo International, Inc.d | 1,136,780 | ||||||
| 31,200 | Neurocrine Biosciences, Inc.d | 417,456 | ||||||
| 16,912 | NuVasive, Inc.d | 419,248 | ||||||
| 8,189 | Onyx Pharmaceuticals, Inc.d | 710,969 | ||||||
| 13,500 | PAREXEL International Corporationd | 620,190 | ||||||
| 62,616 | PDL BioPharma, Inc.e | 483,396 | ||||||
| 11,000 | Perrigo Company | 1,331,000 | ||||||
| 12,700 | Pfizer, Inc.e | 355,727 | ||||||
| 11,000 | Questcor Pharmaceuticals, Inc. | 500,060 | ||||||
| 50,800 | ResMed, Inc.e | 2,292,604 | ||||||
| 49,100 | Sanofi ADR | 2,529,141 | ||||||
| 13,900 | Santarus, Inc.d | 292,595 | ||||||
| 30,600 | Seattle Genetics, Inc.d,e | 962,676 | ||||||
| 90,200 | Shire Pharmaceuticals Group plc ADR | 8,578,922 | ||||||
| 60,040 | Spectrum Pharmaceuticals, Inc.e | 447,898 | ||||||
| 55,800 | Thoratec Corporationd | 1,747,098 | ||||||
| 22,000 | United Therapeutics Corporationd | 1,448,040 | ||||||
| 56,936 | UnitedHealth Group, Inc. | 3,728,169 | ||||||
| 13,700 | Vertex Pharmaceuticals, Inc.d | 1,094,219 | ||||||
| 8,300 | Waters Corporationd | 830,415 | ||||||
| 37,119 | Zimmer Holdings, Inc. | 2,781,698 | ||||||
|
| |||||||
| Total | 99,093,126 | |||||||
|
| |||||||
| Industrials (2.9%) | |||||||
| 59,630 | Actuant Corporation | 1,966,001 | ||||||
| 31,100 | Acuity Brands, Inc. | 2,348,672 | ||||||
| 66,150 | ADT Corporationd | 2,636,078 | ||||||
| 3,600 | AGCO Corporation | 180,684 | ||||||
| 35,419 | AMETEK, Inc. | 1,498,224 | ||||||
| 14,839 | B/E Aerospace, Inc.d | 936,044 | ||||||
| 12,280 | Briggs & Stratton Corporation | 243,144 | ||||||
| 72,984 | CSX Corporation | 1,692,499 | ||||||
| 16,800 | Deluxe Corporation | 582,120 | ||||||
| 63,400 | DigitalGlobe, Inc.d | 1,966,034 | ||||||
| 66,614 | EMCOR Group, Inc. | 2,707,859 | ||||||
| 13,200 | EnerSys, Inc. | 647,328 | ||||||
| 23,300 | Expeditors International of Washington, Inc. | 885,633 | ||||||
| 29,208 | Flowserve Corporation | 1,577,524 | ||||||
| 21,700 | Fortune Brands Home and Security, Inc. | 840,658 | ||||||
| 33,800 | Foster Wheeler AGd | 733,798 | ||||||
| 54,900 | GATX Corporation | 2,603,907 | ||||||
| 64,460 | General Electric Company | 1,494,827 | ||||||
| 11,800 | Graco, Inc. | 745,878 | ||||||
| 67,500 | HNI Corporation | 2,434,725 | ||||||
| 141,922 | Honeywell International, Inc. | 11,260,091 | ||||||
| 5,500 | Huntington Ingalls Industries, Inc. | 310,640 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
38
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (24.3%) | Value | ||||||
| Industrials (2.9%) - continued | |||||||
| 53,000 | Ingersoll-Rand plc | $ | 2,942,560 | |||||
| 199,640 | Jacobs Engineering Group, Inc.d | 11,006,153 | ||||||
| 21,406 | JB Hunt Transport Services, Inc. | 1,546,369 | ||||||
| 122,000 | JetBlue Airways Corporationd | 768,600 | ||||||
| 14,856 | Kansas City Southern | 1,574,142 | ||||||
| 36,600 | Landstar System, Inc. | 1,884,900 | ||||||
| 11,300 | Lockheed Martin Corporation | 1,225,598 | ||||||
| 33,993 | Manitowoc Company, Inc. | 608,815 | ||||||
| 59,200 | Manpower, Inc. | 3,244,160 | ||||||
| 10,800 | MRC Global, Inc.d | 298,296 | ||||||
| 50,366 | Oshkosh Corporationd | 1,912,397 | ||||||
| 10,007 | Parker Hannifin Corporation | 954,668 | ||||||
| 28,805 | Pentair, Ltd. | 1,661,760 | ||||||
| 85,000 | Pitney Bowes, Inc.e | 1,247,800 | ||||||
| 56,000 | Quanta Services, Inc.d | 1,481,760 | ||||||
| 33,200 | Republic Airways Holdings, Inc.d | 376,156 | ||||||
| 17,100 | Robert Half International, Inc. | 568,233 | ||||||
| 10,732 | Roper Industries, Inc. | 1,333,129 | ||||||
| 67,800 | Southwest Airlines Company | 873,942 | ||||||
| 13,553 | Stericycle, Inc.d | 1,496,658 | ||||||
| 19,570 | Tennant Company | 944,644 | ||||||
| 12,400 | Terex Corporationd | 326,120 | ||||||
| 61,900 | Union Pacific Corporation | 9,549,932 | ||||||
| 13,800 | United Rentals, Inc.d | 688,758 | ||||||
| 8,101 | United Stationers, Inc. | 271,789 | ||||||
| 73,977 | United Technologies Corporation | 6,875,422 | ||||||
| 14,300 | USG Corporationd,e | 329,615 | ||||||
| 40,000 | Wabash National Corporationd | 407,200 | ||||||
| 50,100 | Woodward, Inc. | 2,004,000 | ||||||
|
| |||||||
| Total | 98,695,944 | |||||||
|
| |||||||
| Information Technology (4.6%) | |||||||
| 149,500 | Activision Blizzard, Inc. | 2,131,870 | ||||||
| 28,405 | Agilent Technologies, Inc. | 1,214,598 | ||||||
| 13,700 | Alliance Data Systems Corporationd,e | 2,480,111 | ||||||
| 18,564 | ANSYS, Inc.d | 1,357,028 | ||||||
| 24,200 | AOL, Inc.d | 882,816 | ||||||
| 48,878 | Apple, Inc.f | 19,359,598 | ||||||
| 81,952 | Applied Materials, Inc. | 1,221,904 | ||||||
| 408,673 | Atmel Corporationd | 3,003,747 | ||||||
| 50,208 | Autodesk, Inc.d | 1,704,060 | ||||||
| 410,200 | Brocade Communications Systems, Inc.d | 2,362,752 | ||||||
| 30,000 | Ciena Corporationd,e | 582,600 | ||||||
| 176,890 | Cisco Systems, Inc. | 4,300,196 | ||||||
| 152,300 | Citrix Systems, Inc.d | 9,188,259 | ||||||
| 38,100 | Computer Sciences Corporation | 1,667,637 | ||||||
| 85,247 | CoreLogic, Inc.d | 1,975,173 | ||||||
| 16,800 | Cray, Inc.d | 329,952 | ||||||
| 7,432 | DST Systems, Inc. | 485,533 | ||||||
| 138,425 | eBay, Inc.d | 7,159,341 | ||||||
| 16,200 | Ellie Mae, Inc.d | 373,896 | ||||||
| 96,000 | ExactTarget, Inc.d | 3,237,120 | ||||||
| 15,084 | F5 Networks, Inc.d | 1,037,779 | ||||||
| 205,900 | Facebook, Inc.d | 5,118,674 | ||||||
| 32,100 | FLIR Systems, Inc. | 865,737 | ||||||
| 15,773 | Google, Inc.d | 13,886,076 | ||||||
| 23,800 | Guidewire Software, Inc.d | 1,000,790 | ||||||
| 56,600 | Informatica Corporationd | 1,979,868 | ||||||
| 164,200 | Intel Corporation | 3,976,924 | ||||||
| 29,100 | InterDigital, Inc.e | 1,299,315 | ||||||
| 21,408 | Itron, Inc.d | 908,342 | ||||||
| 13,400 | j2 Global, Inc.e | 569,634 | ||||||
| 66,327 | Juniper Networks, Inc.d | 1,280,774 | ||||||
| 22,493 | Lam Research Corporationd | 997,340 | ||||||
| 26,349 | Lexmark International, Inc.e | 805,489 | ||||||
| 2,200 | LinkedIn Corporationd | 392,260 | ||||||
| 21,800 | Mentor Graphics Corporation | 426,190 | ||||||
| 7,476 | Mercadolibre, Inc.e | 805,614 | ||||||
| 31,025 | Microchip Technology, Inc.e | 1,155,681 | ||||||
| 41,820 | Microsoft Corporation | 1,444,045 | ||||||
| 192,039 | NetApp, Inc.d | 7,255,233 | ||||||
| 8,751 | Nice Systems, Ltd. ADR | 322,824 | ||||||
| 40,291 | Nuance Communications, Inc.d | 740,549 | ||||||
| 197,569 | NVIDIA Corporation | 2,771,893 | ||||||
| 37,500 | NXP Semiconductors NVd | 1,161,750 | ||||||
| 48,104 | Plantronics, Inc. | 2,112,728 | ||||||
| 174,411 | QUALCOMM, Inc. | 10,653,024 | ||||||
| 8,327 | Red Hat, Inc.d | 398,197 | ||||||
| 75,529 | SAIC, Inc. | 1,052,119 | ||||||
| 10,100 | Skyworks Solutions, Inc.d | 221,089 | ||||||
| 37,000 | SunEdison, Inc.d | 302,290 | ||||||
| 9,000 | SunPower Corporationd | 186,300 | ||||||
| 127,540 | Symantec Corporation | 2,865,824 | ||||||
| 20,900 | Synopsys, Inc.d | 747,175 | ||||||
| 179,495 | Teradyne, Inc.d | 3,153,727 | ||||||
| 108,300 | Texas Instruments, Inc. | 3,776,421 | ||||||
| 112,537 | TriQuint Semiconductor, Inc.d | 779,881 | ||||||
| 15,777 | Unisys Corporationd | 348,198 | ||||||
| 21,140 | VeriFone Systems, Inc.d | 355,363 | ||||||
| 178,700 | Vishay Intertechnology, Inc.d | 2,482,143 | ||||||
| 138,100 | VMware, Inc.d | 9,251,319 | ||||||
| 18,000 | Western Digital Corporation | 1,117,620 | ||||||
| 75 | Workday, Inc.d | 4,807 | ||||||
| 53,556 | Xilinx, Inc. | 2,121,353 | ||||||
| 64,700 | Yahoo!, Inc.d | 1,624,617 | ||||||
|
| |||||||
| Total | 158,775,167 | |||||||
|
| |||||||
| Materials (0.6%) | |||||||
| 10,900 | Airgas, Inc. | 1,040,514 | ||||||
| 11,600 | Albemarle Corporation | 722,564 | ||||||
| 27,100 | Axiall Corporation | 1,153,918 | ||||||
| 32,100 | Buckeye Technologies, Inc. | 1,188,984 | ||||||
| 29,637 | Celanese Corporation | 1,327,738 | ||||||
| 7,700 | CF Industries Holdings, Inc. | 1,320,550 | ||||||
| 23,000 | Cliffs Natural Resources, Inc.e | 373,750 | ||||||
| 23,380 | Dow Chemical Company | 752,135 | ||||||
| 21,700 | Eagle Materials, Inc. | 1,438,059 | ||||||
| 10,866 | FMC Corporation | 663,478 | ||||||
| 33,400 | H.B. Fuller Company | 1,262,854 | ||||||
| 5,392 | Innophos Holdings, Inc. | 254,341 | ||||||
| 20,800 | Mosaic Company | 1,119,248 | ||||||
| 12,533 | Newmont Mining Corporation | 375,363 | ||||||
| 17,400 | Nucor Corporation | 753,768 | ||||||
| 26,700 | Owens-Illinois, Inc.d | 741,993 | ||||||
| 14,062 | Silgan Holdings, Inc. | 660,351 | ||||||
| 13,702 | Silver Wheaton Corporation | 269,518 | ||||||
| 50,353 | Southern Copper Corporation | 1,390,750 | ||||||
| 62,120 | Steel Dynamics, Inc. | 926,209 | ||||||
| 62,200 | SunCoke Energy, Inc.d | 872,044 | ||||||
| 110,500 | Teck Resources, Ltd. | 2,361,385 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
39
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (24.3%) | Value | ||||||
| Materials (0.6%) - continued |
| ||||||
| 21,200 | Walter Energy, Inc.e | $ | 220,480 | |||||
|
| |||||||
| Total | 21,189,994 | |||||||
|
| |||||||
| Telecommunications Services (0.2%) |
| ||||||
| 99,300 | AT&T, Inc. | 3,515,220 | ||||||
| 4,916 | SBA Communications Corporationd | 364,374 | ||||||
| 18,383 | TW Telecom, Inc.d | 517,297 | ||||||
| 28,679 | Verizon Communications, Inc. | 1,443,701 | ||||||
|
| |||||||
| Total | 5,840,592 | |||||||
|
| |||||||
| Utilities (0.4%) |
| ||||||
| 92,300 | Calpine Corporationd | 1,959,529 | ||||||
| 32,900 | CMS Energy Corporation | 893,893 | ||||||
| 54,510 | NiSource, Inc. | 1,561,167 | ||||||
| 63,800 | NRG Energy, Inc. | 1,703,460 | ||||||
| 50,740 | PG&E Corporation | 2,320,340 | ||||||
| 81,600 | PNM Resources, Inc. | 1,810,704 | ||||||
| 23,300 | Public Service Enterprise Group, Inc. | 760,978 | ||||||
| 37,600 | Southern Company | 1,659,288 | ||||||
| 38,818 | Southwest Gas Corporation | 1,816,294 | ||||||
| 27,400 | Wisconsin Energy Corporation | 1,123,126 | ||||||
|
| |||||||
| Total | 15,608,779 | |||||||
|
| |||||||
Total Common Stock (cost $730,789,303) | 839,043,268 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (9.7%) | |||||||
| Asset-Backed Securities (0.6%) |
| ||||||
Access Group, Inc. | ||||||||
| 625,759 | 0.693%, 2/25/2036g,h | 614,128 | ||||||
Ally Auto Receivables Trust 2013- SN1 | ||||||||
| 780,000 | 0.720%, 5/20/2016 | 779,698 | ||||||
Avis Budget Rental Car Funding AESOP, LLC | ||||||||
| 384,670 | 2.370%, 11/20/2014g | 390,984 | ||||||
Chesapeake Funding, LLC | ||||||||
| 500,000 | 0.643%, 1/7/2025g,h | 499,450 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
| 1,250,000 | 5.530%, 4/25/2047 | 1,164,667 | ||||||
DT Auto Owner Trust | ||||||||
| 390,000 | 0.750%, 5/16/2016g | 389,449 | ||||||
Edlinc Student Loan Funding Trust | ||||||||
| 517,777 | 3.262%, 10/1/2025h,i | 520,366 | ||||||
FirstEnergy Ohio PIRB Special Purpose Trust 2013 | ||||||||
| 780,000 | 0.679%, 1/15/2019 | 778,137 | ||||||
FNA Trust | ||||||||
| 598,371 | 1.980%, 1/10/2018g | 593,135 | ||||||
GE Dealer Floorplan Master Note Trust | ||||||||
| 780,000 | 0.592%, 4/20/2018h | 776,479 | ||||||
GE Equipment Transportation, LLC | ||||||||
| 650,000 | 0.690%, 11/25/2016 | 646,986 | ||||||
Golden Credit Card Trust | ||||||||
| 540,000 | 0.443%, 2/15/2018g,h | 539,570 | ||||||
Hyundai Auto Receivables Trust | ||||||||
| 780,000 | 0.820%, 9/15/2017 | 778,990 | ||||||
Hyundai Floorplan Master Owner Trust | ||||||||
| 877,500 | 0.543%, 5/15/2018g,h | 873,692 | ||||||
Master Credit Card Trust | ||||||||
| 529,100 | 0.780%, 4/21/2017g | 525,165 | ||||||
Morgan Stanley Capital, Inc. | ||||||||
| 1,109,770 | 0.343%, 2/25/2037h | 593,091 | ||||||
Motor plc | ||||||||
| 1,040,000 | 0.699%, 2/15/2021g,h | 1,040,504 | ||||||
Nationstar Mortgage Advance Receivable Trust | ||||||||
| 780,000 | 1.080%, 6/20/2044g | 779,163 | ||||||
Nissan Master Owner Trust Receivables | ||||||||
| 900,000 | 0.493%, 2/15/2018h | 895,231 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 1,668,479 | 5.746%, 5/25/2036 | 1,236,295 | ||||||
| 2,800,000 | 6.011%, 5/25/2036 | 2,009,291 | ||||||
| 1,267,502 | 5.580%, 11/25/2036 | 769,468 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
| 650,000 | 0.700%, 9/15/2017 | 647,876 | ||||||
SLM Student Loan Trust | ||||||||
| 413,419 | 0.793%, 8/15/2022g,h | 410,941 | ||||||
| 450,000 | 1.243%, 5/17/2027g,h | 440,332 | ||||||
Volvo Financial Equipment, LLC | ||||||||
| 650,000 | 0.740%, 3/15/2017g | 647,039 | ||||||
World Financial Network Credit Card Master Trust | ||||||||
| 650,000 | 0.910%, 3/16/2020 | 645,076 | ||||||
World Omni Master Owner Trust | ||||||||
| 540,000 | 0.543%, 2/15/2018g,h | 537,283 | ||||||
|
| |||||||
| Total | 20,522,486 | |||||||
|
| |||||||
| Basic Materials (<0.1%) |
| ||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| 344,000 | 2.375%, 3/15/2018g | 327,170 | ||||||
Glencore Funding, LLC | ||||||||
| 108,000 | 1.700%, 5/27/2016g | 104,729 | ||||||
International Paper Company | ||||||||
| 117,000 | 5.300%, 4/1/2015 | 125,018 | ||||||
LyondellBasell Industries NV | ||||||||
| 192,000 | 6.000%, 11/15/2021 | 215,752 | ||||||
Rio Tinto Finance USA plc | ||||||||
| 134,000 | 1.375%, 6/17/2016 | 133,193 | ||||||
| 134,000 | 2.250%, 12/14/2018 | 130,216 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
| 506,000 | 1.800%, 10/23/2015g | 506,160 | ||||||
|
| |||||||
| Total | 1,542,238 | |||||||
|
| |||||||
| Capital Goods (<0.1%) |
| ||||||
BAE Systems plc | ||||||||
| 100,000 | 3.500%, 10/11/2016g | 104,615 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
40
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (9.7%) | Value | ||||||
| Capital Goods (<0.1%) - continued |
| ||||||
| Eaton Corporation | ||||||||
| $58,000 | 1.500%, 11/2/2017g | $ | 56,302 | |||||
| 87,000 | 4.000%, 11/2/2032g | 81,344 | ||||||
| Ingersoll-Rand Global Holding Company, Ltd. | ||||||||
| 67,000 | 2.875%, 1/15/2019g | 66,094 | ||||||
| John Deere Capital Corporation | ||||||||
| 390,000 | 0.404%, 1/12/2015h | 389,826 | ||||||
| Northrop Grumman Corporation | ||||||||
| 168,000 | 1.750%, 6/1/2018 | 162,948 | ||||||
| Roper Industries, Inc. | ||||||||
| 155,000 | 2.050%, 10/1/2018 | 152,022 | ||||||
| Textron, Inc. | ||||||||
| 150,000 | 5.600%, 12/1/2017 | 164,485 | ||||||
| United Technologies Corporation | ||||||||
| 165,000 | 6.125%, 7/15/2038 | 201,137 | ||||||
|
| |||||||
| Total | 1,378,773 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (0.6%) | |||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 616,416 | 5.500%, 11/25/2035 | 553,410 | ||||||
| CitiMortgage Alternative Loan Trust | ||||||||
| 2,071,135 | 5.750%, 4/25/2037 | 1,856,905 | ||||||
| Commercial Mortgage Pass Through Certificates | ||||||||
| 780,000 | 1.243%, 6/8/2030g,h | 775,460 | ||||||
| Countrywide Alternative Loan Trust | ||||||||
| 949,731 | 5.090%, 10/25/2035 | 786,291 | ||||||
| 543,272 | 6.500%, 8/25/2036 | 395,432 | ||||||
| 397,940 | 6.000%, 1/25/2037 | 315,754 | ||||||
| 1,883,128 | 5.500%, 5/25/2037 | 1,559,750 | ||||||
| 1,458,182 | 7.000%, 10/25/2037 | 992,510 | ||||||
| Countrywide Home Loans, Inc. | ||||||||
| 862,569 | 5.750%, 4/25/2037 | 767,396 | ||||||
| Deutsche Alt-A Securities Mortgage Loan Trust | ||||||||
| 288,194 | 5.500%, 10/25/2021 | 297,225 | ||||||
| Deutsche Alt-A Securities, Inc. | ||||||||
| 680,197 | 6.000%, 10/25/2021 | 640,431 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 1,863,393 | 3.000%, 2/15/2033j | 264,945 | ||||||
| Federal National Mortgage Association | ||||||||
| 4,028,550 | 3.500%, 1/25/2033j | 649,756 | ||||||
| HomeBanc Mortgage Trust | ||||||||
| 2,822,875 | 2.455%, 4/25/2037 | 1,892,340 | ||||||
| J.P. Morgan Mortgage Trust | ||||||||
| 183,666 | 2.968%, 10/25/2036 | 145,112 | ||||||
| 2,032,964 | 0.573%, 1/25/2037h | 1,257,168 | ||||||
| 2,103,054 | 6.250%, 8/25/2037 | 1,450,933 | ||||||
| MASTR Alternative Loans Trust | ||||||||
| 446,994 | 6.500%, 7/25/2034 | 474,580 | ||||||
| 1,090,826 | 0.643%, 12/25/2035h | 558,678 | ||||||
| Merrill Lynch Alternative Note Asset Trust | ||||||||
| 474,485 | 6.000%, 3/25/2037 | 416,951 | ||||||
| Residential Asset Securitization Trust | ||||||||
| 1,409,191 | 0.573%, 8/25/2037h | 448,871 | ||||||
| Sequoia Mortgage Trust | ||||||||
| 352,803 | 3.898%, 9/20/2046 | 47,185 | ||||||
| 1,228,706 | 3.898%, 9/20/2046 | 1,012,346 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 296,324 | 2.658%, 9/25/2036 | 240,265 | ||||||
| 595,652 | 2.727%, 10/25/2036 | 489,562 | ||||||
| 4,089,389 | 2.379%, 11/25/2036 | 3,351,720 | ||||||
|
| |||||||
| Total | 21,640,976 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (0.9%) | |||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| 2,800,000 | 5.793%, 4/10/2049 | 3,137,313 | ||||||
| 3,675,000 | 5.857%, 6/10/2049 | 4,115,074 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 1,710,000 | 5.331%, 2/11/2044 | 1,872,311 | ||||||
| Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 3,900,000 | 5.322%, 12/11/2049 | 4,293,260 | ||||||
| Credit Suisse First Boston Mortgage Securities | ||||||||
| 2,800,000 | 5.542%, 1/15/2049 | 3,100,499 | ||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 3,350,000 | 5.509%, 9/15/2039 | 3,595,150 | ||||||
| Federal Home Loan Mortgage Corporation Multi Family Structured Pass Thru Certificates | ||||||||
| 889,793 | 0.727%, 12/25/2016 | 882,117 | ||||||
| Government National Mortgage Association | ||||||||
| 205,639 | 2.164%, 3/16/2033 | 207,335 | ||||||
| 148,570 | 3.214%, 1/16/2040 | 152,939 | ||||||
| Greenwich Capital Commercial Funding Corporation | ||||||||
| 1,750,000 | 5.867%, 12/10/2049 | 1,874,708 | ||||||
| J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 520,000 | 0.893%, 4/15/2028g,h | 518,223 | ||||||
| 1,300,000 | 5.901%, 2/12/2049 | 1,408,702 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 900,000 | 5.406%, 3/15/2044 | 964,226 | ||||||
| Wachovia Bank Commercial Mortgage Trust | ||||||||
| 2,100,000 | 5.603%, 10/15/2048 | 2,273,011 | ||||||
|
| |||||||
| Total | 28,394,868 | |||||||
|
| |||||||
| Communications Services (0.1%) | |||||||
| American Tower Corporation | ||||||||
| 187,000 | 5.050%, 9/1/2020 | 196,517 | ||||||
| AT&T, Inc. | ||||||||
| 247,000 | 2.400%, 8/15/2016 | 254,549 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
41
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (9.7%) | Value | ||||||
| Communications Services (0.1%) - continued | |||||||
| $ 200,000 | 5.800%, 2/15/2019 | $ | 231,961 | |||||
| British Telecommunications plc | ||||||||
| 133,000 | 1.625%, 6/28/2016 | 133,583 | ||||||
| CBS Corporation | ||||||||
| 116,000 | 8.875%, 5/15/2019 | 149,494 | ||||||
| CC Holdings GS V, LLC | ||||||||
| 58,000 | 2.381%, 12/15/2017 | 57,079 | ||||||
| Comcast Corporation | ||||||||
| 75,000 | 4.650%, 7/15/2042 | 71,920 | ||||||
| Crown Castle Towers, LLC | ||||||||
| 100,000 | 4.174%, 8/15/2017g | 105,686 | ||||||
| DIRECTV Holdings, LLC | ||||||||
| 108,000 | 2.400%, 3/15/2017 | 108,522 | ||||||
| 116,000 | 1.750%, 1/15/2018 | 111,989 | ||||||
| 112,000 | 5.875%, 10/1/2019 | 126,045 | ||||||
| NBC Universal Enterprise, Inc. | ||||||||
| 390,000 | 0.965%, 4/15/2018g,h | 393,395 | ||||||
| 175,000 | 1.974%, 4/15/2019g | 170,320 | ||||||
| NBCUniversal Media, LLC | ||||||||
| 179,000 | 2.875%, 4/1/2016 | 187,097 | ||||||
| Nippon Telegraph & Telephone Corporation | ||||||||
| 120,000 | 1.400%, 7/18/2017 | 117,986 | ||||||
| SBA Tower Trust | ||||||||
| 105,000 | 5.101%, 4/17/2017g | 114,838 | ||||||
| Telefonica Emisiones SAU | ||||||||
| 120,000 | 3.729%, 4/27/2015 | 123,589 | ||||||
| 150,000 | 3.192%, 4/27/2018 | 145,291 | ||||||
| 56,000 | 5.462%, 2/16/2021 | 57,733 | ||||||
| Verizon Communications, Inc. | ||||||||
| 87,000 | 1.100%, 11/1/2017 | 84,182 | ||||||
| 100,000 | 5.500%, 2/15/2018 | 113,878 | ||||||
| Vodafone Group plc | ||||||||
| 70,000 | 0.659%, 2/19/2016h | 70,047 | ||||||
|
| |||||||
| Total | 3,125,701 | |||||||
|
| |||||||
| Consumer Cyclical (0.1%) | |||||||
| Amazon.com, Inc. | ||||||||
| 58,000 | 1.200%, 11/29/2017 | 56,094 | ||||||
| 116,000 | 2.500%, 11/29/2022 | 105,300 | ||||||
| Federated Retail Holdings, Inc. | ||||||||
| 75,000 | 5.900%, 12/1/2016 | 85,197 | ||||||
| Ford Motor Company | ||||||||
| 75,000 | 7.450%, 7/16/2031 | 89,791 | ||||||
| Ford Motor Credit Company, LLC | ||||||||
| 194,000 | 12.000%, 5/15/2015 | 228,760 | ||||||
| 390,000 | 1.525%, 5/9/2016h | 392,726 | ||||||
| 125,000 | 1.700%, 5/9/2016 | 122,961 | ||||||
| 130,000 | 2.375%, 1/16/2018 | 125,170 | ||||||
| 116,000 | 5.000%, 5/15/2018 | 123,705 | ||||||
| Gap, Inc. | ||||||||
| 125,000 | 5.950%, 4/12/2021 | 138,254 | ||||||
| General Motors Financial Company, Inc. | ||||||||
| 100,000 | 2.750%, 5/15/2016g | 98,375 | ||||||
| Hyundai Capital America | ||||||||
| 116,000 | 1.625%, 10/2/2015g | 115,625 | ||||||
| Macy’s Retail Holdings, Inc. | ||||||||
| 57,000 | 3.875%, 1/15/2022 | 57,149 | ||||||
| Toll Brothers Finance Corporation | ||||||||
| 100,000 | 8.910%, 10/15/2017 | 118,500 | ||||||
| 50,000 | 4.375%, 4/15/2023 | 46,500 | ||||||
| Toyota Motor Credit Corporation | ||||||||
| 520,000 | 0.564%, 5/17/2016h | 519,110 | ||||||
| 75,000 | 1.750%, 5/22/2017 | 74,740 | ||||||
| TRW Automotive, Inc. | ||||||||
| 69,000 | 7.250%, 3/15/2017g | 78,143 | ||||||
| Wal-Mart Stores, Inc. | ||||||||
| 390,000 | 0.600%, 4/11/2016 | 387,394 | ||||||
| 150,000 | 1.125%, 4/11/2018 | 145,572 | ||||||
| Western Union Company | ||||||||
| 116,000 | 2.375%, 12/10/2015 | 118,049 | ||||||
|
| |||||||
| Total | 3,227,115 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.2%) | |||||||
| AbbVie, Inc. | ||||||||
| 58,000 | 1.750%, 11/6/2017g | 56,824 | ||||||
| 87,000 | 2.000%, 11/6/2018g | 84,357 | ||||||
| Altria Group, Inc. | ||||||||
| 121,000 | 9.700%, 11/10/2018 | 160,858 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 225,000 | 7.750%, 1/15/2019 | 284,587 | ||||||
| Avon Products, Inc. | ||||||||
| 310,000 | 2.375%, 3/15/2016 | 312,512 | ||||||
| Baxter International, Inc. | ||||||||
| 168,000 | 1.850%, 6/15/2018 | 166,639 | ||||||
| Boston Scientific Corporation | ||||||||
| 100,000 | 4.500%, 1/15/2015 | 104,620 | ||||||
| 125,000 | 6.000%, 1/15/2020 | 141,485 | ||||||
| Bunge Limited Finance Corporation | ||||||||
| 60,000 | 3.200%, 6/15/2017 | 61,382 | ||||||
| 70,000 | 8.500%, 6/15/2019 | 86,394 | ||||||
| Celgene Corporation | ||||||||
| 141,000 | 1.900%, 8/15/2017 | 139,988 | ||||||
| ConAgra Foods, Inc. | ||||||||
| 165,000 | 1.900%, 1/25/2018 | 162,208 | ||||||
| CVS Caremark Corporation | ||||||||
| 73,000 | 6.125%, 9/15/2039 | 85,306 | ||||||
| Express Scripts Holding Company | ||||||||
| 120,000 | 3.125%, 5/15/2016 | 124,783 | ||||||
| Gilead Sciences, Inc. | ||||||||
| 110,000 | 2.400%, 12/1/2014 | 112,445 | ||||||
| 110,000 | 3.050%, 12/1/2016 | 116,272 | ||||||
| Heineken NV | ||||||||
| 58,000 | 1.400%, 10/1/2017g | 56,353 | ||||||
| Laboratory Corporation of America Holdings | ||||||||
| 120,000 | 2.200%, 8/23/2017 | 119,140 | ||||||
| Lorillard Tobacco Company | ||||||||
| 120,000 | 2.300%, 8/21/2017 | 118,491 | ||||||
| Mallinckrodt International Finance SA | ||||||||
| 110,000 | 3.500%, 4/15/2018g | 108,741 | ||||||
| Mattel, Inc. | ||||||||
| 94,000 | 1.700%, 3/15/2018 | 91,818 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
42
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (9.7%) | Value | ||||||
| Consumer Non-Cyclical (0.2%) - continued | |||||||
| McKesson Corporation | ||||||||
| $ 58,000 | 0.950%, 12/4/2015 | $ | 57,845 | |||||
| Medco Health Solutions, Inc. | ||||||||
| 141,000 | 7.125%, 3/15/2018 | 169,862 | ||||||
| Medtronic, Inc. | ||||||||
| 150,000 | 1.375%, 4/1/2018 | 145,824 | ||||||
| Merck & Company, Inc. | ||||||||
| 520,000 | 0.634%, 5/18/2018h | 519,001 | ||||||
| Mylan, Inc. | ||||||||
| 167,000 | 1.800%, 6/24/2016g | 166,546 | ||||||
| 116,000 | 7.875%, 7/15/2020g | 133,858 | ||||||
| PepsiCo, Inc. | ||||||||
| 390,000 | 0.483%, 2/26/2016h | 390,614 | ||||||
| Pernod-Ricard SA | ||||||||
| 112,000 | 2.950%, 1/15/2017g | 114,600 | ||||||
| 84,000 | 5.750%, 4/7/2021g | 93,315 | ||||||
| Roche Holdings, Inc. | ||||||||
| 50,000 | 7.000%, 3/1/2039g | 67,339 | ||||||
| SABMiller Holdings, Inc. | ||||||||
| 150,000 | 2.450%, 1/15/2017g | 152,380 | ||||||
| 167,000 | 3.750%, 1/15/2022g | 169,954 | ||||||
| Safeway, Inc. | ||||||||
| 50,000 | 3.400%, 12/1/2016 | 52,121 | ||||||
| 135,000 | 5.000%, 8/15/2019 | 143,288 | ||||||
| 50,000 | 4.750%, 12/1/2021e | 50,942 | ||||||
| Teva Pharmaceutical Finance Company BV | ||||||||
| 150,000 | 2.400%, 11/10/2016 | 154,425 | ||||||
| Tyson Foods, Inc. | ||||||||
| 150,000 | 4.500%, 6/15/2022 | 153,274 | ||||||
| Zoetis, Inc. | ||||||||
| 82,000 | 1.875%, 2/1/2018g | 80,274 | ||||||
|
| |||||||
| Total | 5,510,665 | |||||||
|
| |||||||
| Energy (0.1%) | |||||||
| BP Capital Markets plc | ||||||||
| 390,000 | 1.846%, 5/5/2017 | 390,477 | ||||||
| 174,000 | 1.375%, 11/6/2017 | 169,408 | ||||||
| 116,000 | 4.500%, 10/1/2020 | 125,847 | ||||||
| Chevron Corporation | ||||||||
| 330,000 | 0.889%, 6/24/2016e | 330,432 | ||||||
| 268,000 | 1.718%, 6/24/2018 | 265,535 | ||||||
| 134,000 | 2.427%, 6/24/2020 | 133,236 | ||||||
| CNOOC, Ltd. | ||||||||
| 200,000 | 1.125%, 5/9/2016 | 196,760 | ||||||
| EQT Corporation | ||||||||
| 118,000 | 8.125%, 6/1/2019 | 143,860 | ||||||
| Hess Corporation | ||||||||
| 162,000 | 8.125%, 2/15/2019 | 203,064 | ||||||
| Lukoil International Finance BV | ||||||||
| 140,000 | 3.416%, 4/24/2018g | 136,150 | ||||||
| Marathon Oil Corporation | ||||||||
| 174,000 | 0.900%, 11/1/2015 | 173,034 | ||||||
| Marathon Petroleum Corporation | ||||||||
| 120,000 | 3.500%, 3/1/2016 | 125,966 | ||||||
| Murphy Oil Corporation | ||||||||
| 87,000 | 2.500%, 12/1/2017 | 85,807 | ||||||
| Petrobras Global Finance BV | ||||||||
| 224,000 | 2.000%, 5/20/2016 | 219,349 | ||||||
| Pioneer Natural Resources Company | ||||||||
| 60,000 | 5.875%, 7/15/2016 | 66,914 | ||||||
| Sinopec Capital 2013, Ltd. | ||||||||
| 180,000 | 1.250%, 4/24/2016g | 178,069 | ||||||
| Suncor Energy, Inc. | ||||||||
| 107,000 | 6.100%, 6/1/2018 | 124,735 | ||||||
| Transocean, Inc. | ||||||||
| 60,000 | 5.050%, 12/15/2016 | 65,246 | ||||||
| 195,000 | 6.000%, 3/15/2018 | 218,525 | ||||||
| 50,000 | 6.375%, 12/15/2021 | 56,198 | ||||||
| Valero Energy Corporation | ||||||||
| 75,000 | 9.375%, 3/15/2019 | 98,343 | ||||||
| Weatherford International, Ltd. | ||||||||
| 180,000 | 6.750%, 9/15/2040 | 186,223 | ||||||
|
| |||||||
| Total | 3,693,178 | |||||||
|
| |||||||
| Financials (0.9%) | |||||||
| Achmea Hypotheekbank NV | ||||||||
| 283,000 | 3.200%, 11/3/2014g | 293,754 | ||||||
| American Express Company | ||||||||
| 520,000 | 0.863%, 5/22/2018h | 519,322 | ||||||
| American Express Credit Corporation | ||||||||
| 75,000 | 2.375%, 3/24/2017 | 76,566 | ||||||
| American International Group, Inc. | ||||||||
| 275,000 | 2.375%, 8/24/2015 | 279,338 | ||||||
| 272,000 | 3.800%, 3/22/2017 | 285,142 | ||||||
| American Tower Trust I | ||||||||
| 50,000 | 1.551%, 3/15/2018g | 49,134 | ||||||
| ANZ National International, Ltd. of London | ||||||||
| 181,000 | 3.125%, 8/10/2015e,g | 188,204 | ||||||
| ANZ New Zealand International, Ltd. | ||||||||
| 390,000 | 1.125%, 3/24/2016g | 386,954 | ||||||
| Associated Banc Corporation | ||||||||
| 60,000 | 1.875%, 3/12/2014 | 60,106 | ||||||
| Bank Nederlandse Gemeenten NV | ||||||||
| 390,000 | 1.375%, 3/19/2018g | 381,849 | ||||||
| Bank of America Corporation | ||||||||
| 253,000 | 7.750%, 8/15/2015 | 279,974 | ||||||
| 120,000 | 5.750%, 8/15/2016 | 130,400 | ||||||
| 280,000 | 5.750%, 12/1/2017 | 311,185 | ||||||
| 190,000 | 2.000%, 1/11/2018 | 184,037 | ||||||
| 577,000 | 1.343%, 3/22/2018h | 570,983 | ||||||
| 120,000 | 5.650%, 5/1/2018 | 133,318 | ||||||
| 100,000 | 5.700%, 1/24/2022 | 111,005 | ||||||
| Bank of Montreal | ||||||||
| 390,000 | 0.879%, 4/9/2018h | 389,092 | ||||||
| Bank of Nova Scotia | ||||||||
| 390,000 | 0.673%, 3/15/2016h | 389,796 | ||||||
| 100,000 | 0.950%, 3/15/2016 | 99,537 | ||||||
| BB&T Corporation | ||||||||
| 67,000 | 1.133%, 6/15/2018h | 67,064 | ||||||
| 134,000 | 2.050%, 6/19/2018 | 132,049 | ||||||
| BBVA Banco Continental SA | ||||||||
| 150,000 | 2.250%, 7/29/2016g | 145,500 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
43
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (9.7%) | Value | ||||||
| Financials (0.9%) - continued | |||||||
| BBVA US Senior SAU | ||||||||
| $ 87,000 | 4.664%, 10/9/2015 | $ | 89,621 | |||||
| Berkshire Hathaway Finance Corporation | ||||||||
| 160,000 | 1.600%, 5/15/2017 | 159,327 | ||||||
| 390,000 | 1.300%, 5/15/2018 | 377,174 | ||||||
| BNP Paribas SA | ||||||||
| 176,000 | 2.375%, 9/14/2017 | 174,240 | ||||||
| Canadian Imperial Bank of Commerce | ||||||||
| 465,000 | 2.600%, 7/2/2015g | 482,438 | ||||||
| Capital One Financial Corporation | ||||||||
| 116,000 | 2.150%, 3/23/2015 | 117,828 | ||||||
| 260,000 | 0.723%, 3/22/2016h | 258,261 | ||||||
| 47,000 | 6.150%, 9/1/2016 | 52,448 | ||||||
| Cigna Corporation | ||||||||
| 159,000 | 4.000%, 2/15/2022 | 163,233 | ||||||
| Citigroup, Inc. | ||||||||
| 440,000 | 5.000%, 9/15/2014 | 457,260 | ||||||
| 180,000 | 4.750%, 5/19/2015 | 190,368 | ||||||
| 300,000 | 6.000%, 8/15/2017 | 338,034 | ||||||
| 185,000 | 8.500%, 5/22/2019 | 233,105 | ||||||
| 94,000 | 4.050%, 7/30/2022 | 90,344 | ||||||
| CNA Financial Corporation | ||||||||
| 145,000 | 7.350%, 11/15/2019 | 175,567 | ||||||
| Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||||
| 390,000 | 0.753%, 3/18/2016h | 390,842 | ||||||
| 138,000 | 3.950%, 11/9/2022 | 131,966 | ||||||
| Credit Agricole SA | ||||||||
| 125,000 | 1.625%, 4/15/2016g | 124,045 | ||||||
| Credit Suisse AG | ||||||||
| 192,000 | 5.400%, 1/14/2020 | 208,021 | ||||||
| DDR Corporation | ||||||||
| 125,000 | 9.625%, 3/15/2016 | 148,850 | ||||||
| Discover Financial Services | ||||||||
| 226,000 | 6.450%, 6/12/2017 | 256,734 | ||||||
| DnB Boligkreditt AS | ||||||||
| 520,000 | 1.450%, 3/21/2018g | 504,868 | ||||||
| Eksportfinans ASA | ||||||||
| 80,000 | 3.000%, 11/17/2014 | 80,000 | ||||||
| 111,000 | 5.500%, 5/25/2016e | 115,634 | ||||||
| Fifth Third Bancorp | ||||||||
| 136,000 | 5.450%, 1/15/2017 | 149,038 | ||||||
| General Electric Capital Corporation | ||||||||
| 116,000 | 1.000%, 12/11/2015 | 115,827 | ||||||
| 171,000 | 0.480%, 1/8/2016h | 170,021 | ||||||
| 55,000 | 1.145%, 5/9/2016h | 55,698 | ||||||
| 65,000 | 1.600%, 11/20/2017 | 63,452 | ||||||
| 50,000 | 0.994%, 4/2/2018h | 50,209 | ||||||
| 421,000 | 6.000%, 8/7/2019 | 488,753 | ||||||
| 390,000 | 1.273%, 3/15/2023h | 386,468 | ||||||
| 154,000 | 6.750%, 3/15/2032 | 184,650 | ||||||
| Genworth Financial, Inc. | ||||||||
| 118,000 | 6.515%, 5/22/2018e | 130,426 | ||||||
| Goldman Sachs Group, Inc. | ||||||||
| 281,000 | 3.700%, 8/1/2015 | 292,762 | ||||||
| 307,000 | 0.723%, 3/22/2016h | 302,501 | ||||||
| 100,000 | 2.375%, 1/22/2018 | 98,183 | ||||||
| 390,000 | 1.476%, 4/30/2018h | 386,392 | ||||||
| 136,000 | 7.500%, 2/15/2019 | 161,510 | ||||||
| 241,000 | 5.250%, 7/27/2021 | 257,846 | ||||||
| Hartford Financial Services Group, Inc. | ||||||||
| 177,000 | 4.000%, 10/15/2017 | 187,696 | ||||||
| 94,000 | 5.125%, 4/15/2022 | 102,283 | ||||||
| HCP, Inc. | ||||||||
| 75,000 | 6.300%, 9/15/2016 | 85,185 | ||||||
| 67,000 | 6.000%, 1/30/2017 | 75,159 | ||||||
| 75,000 | 6.700%, 1/30/2018 | 87,783 | ||||||
| 145,000 | 2.625%, 2/1/2020 | 135,837 | ||||||
| Health Care REIT, Inc. | ||||||||
| 154,000 | 4.700%, 9/15/2017 | 167,342 | ||||||
| 58,000 | 2.250%, 3/15/2018 | 56,946 | ||||||
| HSBC Bank plc | ||||||||
| 520,000 | 0.915%, 5/15/2018g,h | 519,997 | ||||||
| HSBC Finance Corporation | ||||||||
| 100,000 | 6.676%, 1/15/2021 | 110,555 | ||||||
| HSBC USA, Inc. | ||||||||
| 116,000 | 1.625%, 1/16/2018 | 113,171 | ||||||
| ING Bank NV | ||||||||
| 75,000 | 2.000%, 9/25/2015g | 75,636 | ||||||
| 116,000 | 3.750%, 3/7/2017g | 121,410 | ||||||
| ING Capital Funding Trust III | ||||||||
| 100,000 | 3.884%, 12/29/2049h,k | 96,000 | ||||||
| ING US, Inc. | ||||||||
| 144,000 | 2.900%, 2/15/2018g | 144,725 | ||||||
| International Lease Finance Corporation | ||||||||
| 249,000 | 2.224%, 6/15/2016h | 247,133 | ||||||
| J.P. Morgan Chase & Company | ||||||||
| 260,000 | 0.726%, 4/23/2015h | 259,396 | ||||||
| 94,000 | 1.125%, 2/26/2016 | 92,620 | ||||||
| 241,000 | 3.450%, 3/1/2016 | 251,384 | ||||||
| 255,000 | 2.000%, 8/15/2017 | 253,074 | ||||||
| 187,000 | 1.176%, 1/25/2018h | 186,589 | ||||||
| 80,000 | 1.800%, 1/25/2018 | 77,389 | ||||||
| 206,000 | 6.300%, 4/23/2019 | 239,310 | ||||||
| 50,000 | 3.200%, 1/25/2023 | 47,465 | ||||||
| 50,000 | 3.375%, 5/1/2023 | 46,558 | ||||||
| 192,000 | 7.900%, 4/29/2049k | 216,960 | ||||||
| J.P. Morgan Chase Bank NA | ||||||||
| 166,000 | 0.602%, 6/13/2016h | 163,077 | ||||||
| KeyBank NA | ||||||||
| 174,000 | 7.413%, 5/6/2015 | 192,094 | ||||||
| Liberty Mutual Group, Inc. | ||||||||
| 60,000 | 4.950%, 5/1/2022g | 61,601 | ||||||
| 56,000 | 6.500%, 5/1/2042g | 59,916 | ||||||
| Liberty Property, LP | ||||||||
| 129,000 | 5.500%, 12/15/2016 | 142,414 | ||||||
| 47,000 | 3.375%, 6/15/2023 | 43,588 | ||||||
| Lloyds TSB Bank plc | ||||||||
| 116,000 | 6.500%, 9/14/2020g | 123,670 | ||||||
| Merrill Lynch & Company, Inc. | ||||||||
| 100,000 | 6.400%, 8/28/2017 | 112,916 | ||||||
| Mizuho Corporate Bank, Ltd. | ||||||||
| 200,000 | 1.850%, 3/21/2018g | 194,137 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
44
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (9.7%) | Value | ||||||
| Financials (0.9%) - continued | |||||||
| Morgan Stanley | ||||||||
| $ 120,000 | 4.750%, 4/1/2014e | $ | 122,608 | |||||
| 47,000 | 1.523%, 2/25/2016h | 46,868 | ||||||
| 47,000 | 1.750%, 2/25/2016 | 46,561 | ||||||
| 241,000 | 4.750%, 3/22/2017 | 255,618 | ||||||
| 100,000 | 6.250%, 8/28/2017 | 111,509 | ||||||
| 260,000 | 1.556%, 4/25/2018h | 255,000 | ||||||
| 280,000 | 5.500%, 1/26/2020 | 300,548 | ||||||
| 112,000 | 4.875%, 11/1/2022 | 110,645 | ||||||
| 110,000 | 4.100%, 5/22/2023 | 101,631 | ||||||
| Murray Street Investment Trust I | ||||||||
| 305,000 | 4.647%, 3/9/2017 | 322,915 | ||||||
| Nederlandse Waterschapsbank NV | ||||||||
| 520,000 | 0.750%, 3/29/2016g | 517,067 | ||||||
| Nomura Holdings, Inc. | ||||||||
| 390,000 | 1.722%, 9/13/2016h | 389,520 | ||||||
| 242,000 | 2.000%, 9/13/2016 | 239,300 | ||||||
| Nordea Eiendomskreditt AS | ||||||||
| 390,000 | 2.125%, 9/22/2016g | 398,351 | ||||||
| Prologis, LP | ||||||||
| 50,000 | 6.625%, 5/15/2018 | 57,550 | ||||||
| 150,000 | 7.375%, 10/30/2019 | 180,517 | ||||||
| Prudential Covered Trust | ||||||||
| 351,000 | 2.997%, 9/30/2015g | 362,204 | ||||||
| Prudential Financial, Inc. | ||||||||
| 108,000 | 4.500%, 11/15/2020e | 115,113 | ||||||
| 87,000 | 5.625%, 6/15/2043 | 85,260 | ||||||
| Realty Income Corporation | ||||||||
| 58,000 | 2.000%, 1/31/2018 | 56,280 | ||||||
| Regions Bank | ||||||||
| 305,000 | 7.500%, 5/15/2018 | 355,754 | ||||||
| Reinsurance Group of America, Inc. | ||||||||
| 105,000 | 5.625%, 3/15/2017 | 115,497 | ||||||
| 58,000 | 5.000%, 6/1/2021 | 62,149 | ||||||
| Royal Bank of Canada | ||||||||
| 390,000 | 0.644%, 3/8/2016h | 390,626 | ||||||
| Royal Bank of Scotland Group plc | ||||||||
| 157,000 | 5.050%, 1/8/2015 | 157,393 | ||||||
| 94,000 | 2.550%, 9/18/2015 | 95,575 | ||||||
| 47,000 | 6.125%, 12/15/2022 | 44,724 | ||||||
| Santander US Debt SAU | ||||||||
| 150,000 | 3.724%, 1/20/2015g | 151,404 | ||||||
| Simon Property Group, Inc. | ||||||||
| 116,000 | 1.500%, 2/1/2018g | 111,730 | ||||||
| Simon Property Group, LP | ||||||||
| 100,000 | 10.350%, 4/1/2019 | 138,493 | ||||||
| SLM Corporation | ||||||||
| 75,000 | 3.875%, 9/10/2015 | 75,754 | ||||||
| 58,000 | 6.250%, 1/25/2016 | 61,480 | ||||||
| Societe Generale SA | ||||||||
| 120,000 | 5.200%, 4/15/2021e,g | 126,692 | ||||||
| SpareBank 1 Boligkreditt AS | ||||||||
| 520,000 | 1.250%, 5/2/2018g | 495,872 | ||||||
| Svensk Exportkredit AB | ||||||||
| 520,000 | 1.125%, 4/5/2018 | 505,400 | ||||||
| Svenska Handelsbanken AB | ||||||||
| 390,000 | 0.722%, 3/21/2016h | 390,005 | ||||||
| 115,000 | 3.125%, 7/12/2016 | 120,773 | ||||||
| 42,000 | 1.625%, 3/21/2018 | 40,900 | ||||||
| Swedbank Hypotek AB | ||||||||
| 520,000 | 1.375%, 3/28/2018e,g | 502,632 | ||||||
| Swiss RE Capital I, LP | ||||||||
| 125,000 | 6.854%, 5/29/2049g,k | 129,063 | ||||||
| Toronto-Dominion Bank | ||||||||
| 360,000 | 2.200%, 7/29/2015g | 371,052 | ||||||
| UBS AG London | ||||||||
| 520,000 | 0.750%, 3/24/2016g | 514,375 | ||||||
| UBS AG/Stamford, Connecticut | ||||||||
| 116,000 | 5.875%, 12/20/2017 | 133,429 | ||||||
| Ventas Realty, LP | ||||||||
| 100,000 | 2.700%, 4/1/2020 | 94,554 | ||||||
| Wachovia Corporation | ||||||||
| 308,000 | 5.625%, 10/15/2016 | 346,182 | ||||||
| 390,000 | 0.543%, 6/15/2017h | 383,365 | ||||||
| WellPoint, Inc. | ||||||||
| 147,000 | 1.875%, 1/15/2018 | 143,934 | ||||||
| Wells Fargo & Company | ||||||||
| 115,000 | 2.100%, 5/8/2017 | 115,411 | ||||||
| 142,000 | 1.500%, 1/16/2018 | 138,496 | ||||||
| 94,000 | 3.450%, 2/13/2023 | 89,773 | ||||||
|
| |||||||
| Total | 29,646,821 | |||||||
|
| |||||||
| Foreign Government (0.1%) | |||||||
| Asian Development Bank | ||||||||
| 520,000 | 0.500%, 6/20/2016 | 515,996 | ||||||
| Denmark Government International Bond | ||||||||
| 520,000 | 0.375%, 4/25/2016g | 514,384 | ||||||
| Export-Import Bank of Korea | ||||||||
| 116,000 | 1.250%, 11/20/2015 | 114,674 | ||||||
| International Finance Corporation | ||||||||
| 390,000 | 0.500%, 5/16/2016 | 387,349 | ||||||
| Kommunalbanken AS | ||||||||
| 175,000 | 2.750%, 5/5/2015g | 182,082 | ||||||
| 520,000 | 0.353%, 3/18/2016g,h | 519,727 | ||||||
| Kommuninvest i Sverige AB | ||||||||
| 520,000 | 0.500%, 6/15/2016g | 513,627 | ||||||
| Sweden Government International Bond | ||||||||
| 100,000 | 0.375%, 12/22/2015g | 99,320 | ||||||
| 1,020,000 | 0.375%, 3/29/2016g | 1,010,922 | ||||||
|
| |||||||
| Total | 3,858,081 | |||||||
|
| |||||||
| Mortgage-Backed Securities (1.6%) | |||||||
| Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 7,175,000 | 2.500%, 7/1/2028c | 7,210,875 | ||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 7,050,000 | 3.000%, 7/1/2043c | 6,871,547 | ||||||
| Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 7,175,000 | 2.500%, 7/1/2028c | 7,216,480 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
45
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (9.7%) | Value | ||||||
| Mortgage-Backed Securities (1.6%) - continued | |||||||
| Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| $ 7,025,000 | 3.000%, 7/1/2043c | $ | 6,863,644 | |||||
| 13,925,000 | 3.500%, 7/1/2043c | 14,136,050 | ||||||
| 13,200,000 | 4.000%, 7/1/2043c | 13,751,203 | ||||||
|
| |||||||
| Total | 56,049,799 | |||||||
|
| |||||||
| Technology (0.1%) | |||||||
| Apple, Inc. | ||||||||
| 520,000 | 0.523%, 5/3/2018h | 517,771 | ||||||
| 50,000 | 2.400%, 5/3/2023 | 46,373 | ||||||
| Computer Sciences Corporation | ||||||||
| 90,000 | 2.500%, 9/15/2015 | 91,758 | ||||||
| EMC Corporation | ||||||||
| 196,000 | 1.875%, 6/1/2018 | 193,747 | ||||||
| Hewlett-Packard Company | ||||||||
| 120,000 | 2.125%, 9/13/2015 | 121,450 | ||||||
| 136,000 | 2.600%, 9/15/2017 | 135,822 | ||||||
| 100,000 | 3.750%, 12/1/2020 | 96,796 | ||||||
| Intel Corporation | ||||||||
| 116,000 | 4.000%, 12/15/2032 | 107,721 | ||||||
Oracle Corporation | ||||||||
| 116,000 | 1.200%, 10/15/2017 | 112,662 | ||||||
| Samsung Electronics America, Inc. | ||||||||
| 94,000 | 1.750%, 4/10/2017g | 93,107 | ||||||
| Tyco Electronics Group SA | ||||||||
| 234,000 | 6.550%, 10/1/2017 | 270,878 | ||||||
| Xerox Corporation | ||||||||
| 120,000 | 7.200%, 4/1/2016 | 135,909 | ||||||
|
| |||||||
| Total | 1,923,994 | |||||||
|
| |||||||
| Transportation (<0.1%) | |||||||
| Canadian Pacific Railway Company | ||||||||
| 65,000 | 7.125%, 10/15/2031 | 80,373 | ||||||
| 76,000 | 5.750%, 3/15/2033 | 82,914 | ||||||
| Continental Airlines, Inc. | ||||||||
| 80,000 | 4.150%, 4/11/2024 | 78,400 | ||||||
| CSX Corporation | ||||||||
| 126,000 | 6.250%, 4/1/2015 | 137,657 | ||||||
| Delta Air Lines, Inc. | ||||||||
| 179,000 | 6.750%, 5/23/2017 | 187,288 | ||||||
| 28,928 | 4.750%, 5/7/2020 | 30,303 | ||||||
| ERAC USA Finance, LLC | ||||||||
| 116,000 | 1.400%, 4/15/2016g | 115,137 | ||||||
| Kansas City Southern de Mexico SA de CV | ||||||||
| 100,000 | 2.350%, 5/15/2020g | 96,746 | ||||||
|
| |||||||
| Total | 808,818 | |||||||
|
| |||||||
| U.S. Government and Agencies (3.3%) | |||||||
| FDIC Structured Sale Guaranteed Notes | ||||||||
| 185,000 | Zero Coupon, 1/7/2014g | 184,604 | ||||||
| Federal Agricultural Mortgage Corporation | ||||||||
| 360,000 | 2.125%, 9/15/2015 | 372,180 | ||||||
| Federal Home Loan Banks | ||||||||
| 4,120,000 | 0.375%, 6/24/2016 | 4,073,712 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 2,835,000 | 1.375%, 5/1/2020e | 2,686,321 | ||||||
| Federal National Mortgage Association | ||||||||
| 650,000 | 0.595%, 8/25/2015 | 648,904 | ||||||
| 700,000 | 4.375%, 10/15/2015 | 760,529 | ||||||
| 2,830,000 | 0.375%, 7/5/2016e | 2,795,930 | ||||||
| 1,870,000 | 1.375%, 11/15/2016 | 1,895,705 | ||||||
| 1,535,000 | 0.875%, 5/21/2018 | 1,483,519 | ||||||
| 405,000 | 6.250%, 5/15/2029 | 526,489 | ||||||
| Tennessee Valley Authority | ||||||||
| 390,000 | 5.250%, 9/15/2039 | 438,799 | ||||||
| U.S. Treasury Bonds | ||||||||
| 920,000 | 7.625%, 2/15/2025 | 1,381,437 | ||||||
| 5,000,000 | 6.500%, 11/15/2026 | 7,032,810 | ||||||
| 2,900,000 | 5.250%, 11/15/2028 | 3,686,625 | ||||||
| 2,050,000 | 4.375%, 5/15/2040 | 2,404,265 | ||||||
| 18,695,000 | 3.000%, 5/15/2042 | 17,041,652 | ||||||
| 450,000 | 2.875%, 5/15/2043 | 398,250 | ||||||
| U.S. Treasury Bonds, TIPS | ||||||||
| 98,699 | 2.375%, 1/15/2025 | 117,575 | ||||||
| 64,557 | 2.125%, 2/15/2040 | 78,457 | ||||||
| U.S. Treasury Notes | ||||||||
| 175,000 | 0.250%, 4/30/2014 | 175,116 | ||||||
| 4,315,000 | 0.750%, 6/15/2014 | 4,337,753 | ||||||
| 6,780,000 | 0.375%, 2/15/2016 | 6,749,809 | ||||||
| 1,390,000 | 2.625%, 2/29/2016 | 1,466,125 | ||||||
| 1,035,000 | 1.000%, 10/31/2016 | 1,041,146 | ||||||
| 3,350,000 | 3.250%, 3/31/2017 | 3,631,608 | ||||||
| 535,000 | 0.625%, 5/31/2017 | 526,473 | ||||||
| 3,000,000 | 1.000%, 5/31/2018 | 2,948,436 | ||||||
| 7,000,000 | 1.375%, 1/31/2020 | 6,805,316 | ||||||
| 6,490,000 | 1.625%, 8/15/2022 | 6,088,937 | ||||||
| 435,000 | 1.750%, 5/15/2023 | 407,404 | ||||||
| U.S. Treasury Notes, TIPS | ||||||||
| 29,175,131 | 0.125%, 4/15/2018 | 29,927,325 | ||||||
| 601,075 | 0.125%, 1/15/2022 | 588,725 | ||||||
| 2,241,708 | 0.125%, 1/15/2023 | 2,173,582 | ||||||
|
| |||||||
| Total | 114,875,518 | |||||||
|
| |||||||
| U.S. Municipals (1.0%) | |||||||
| Buckeye Tobacco Settlement Financing Authority Tobacco Settlement Bonds | ||||||||
| 1,248,000 | 5.125%, 6/1/2024 | 1,124,336 | ||||||
| California Various Purpose General Obligation Bonds | ||||||||
| 1,085,000 | 5.000%, 9/1/2036 | 1,134,422 | ||||||
| 542,000 | 5.000%, 4/1/2042 | 561,376 | ||||||
| 542,000 | 5.000%, 2/1/2043 | 562,450 | ||||||
| Dallas/Fort Worth International Airport Joint Revenue Improvement Bonds | ||||||||
| 2,170,000 | 5.000%, 11/1/2038 | 2,145,262 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
46
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (9.7%) | Value | ||||||
| U.S. Municipals (1.0%) - continued | |||||||
| Los Angeles Department of Water and Power Power System Revenue Bonds | ||||||||
| $ 2,712,000 | 5.000%, 7/1/2043 | $ | 2,823,599 | |||||
| Massachusetts Bay Transportation Authority Assessment Bonds | ||||||||
| 1,615,000 | 5.000%, 7/1/2041 | 1,709,703 | ||||||
| Massachusetts Development Finance Agency Revenue Bonds (Boston University) | ||||||||
| 1,546,000 | 5.000%, 10/1/2048 | 1,592,133 | ||||||
| Massachusetts School Building Authority Sales Tax Bonds | ||||||||
| 2,170,000 | 5.000%, 5/15/2043c | 2,308,945 | ||||||
| Metropolitan Transportation Authority Transportation Revenue Bonds | ||||||||
| 2,170,000 | 5.000%, 11/15/2043 | 2,213,921 | ||||||
| Miami-Dade County Expressway Authority Toll System Refunding Revenue Bonds | ||||||||
| 922,000 | 5.000%, 7/1/2040 | 945,502 | ||||||
| New Jersey Transportation Trust Fund Authority Transportation System Bonds | ||||||||
| 2,713,000 | 5.000%, 6/15/2042 | 2,793,820 | ||||||
| New Jersey Turnpike Authority Turnpike Revenue Bonds | ||||||||
| 870,000 | 5.000%, 1/1/2043 | 901,233 | ||||||
| New York City Municipal Water Finance Authority Water and Sewer System Revenue Bonds | ||||||||
| 2,170,000 | 5.000%, 6/15/2047 | 2,266,825 | ||||||
| New York City Transitional Finance Authority Future Tax Bonds | ||||||||
| 2,025,000 | 5.000%, 5/1/2042 | 2,149,193 | ||||||
| New York State Dormitory Authority Personal Income Tax Revenue Bonds | ||||||||
| 1,301,000 | 5.000%, 3/15/2042 | 1,368,366 | ||||||
| North Texas Tollway Authority System Current Interest Revenue Refunding Bonds | ||||||||
| 2,170,000 | 5.000%, 1/1/2042 | 2,215,158 | ||||||
| San Diego County Regional Airport Authority Airport Revenue Bonds | ||||||||
| 1,871,000 | 5.000%, 7/1/2038 | 1,900,431 | ||||||
| South Carolina Public Service Authority Revenue Obligation Bonds (Santee Cooper) | ||||||||
| 2,170,000 | 5.000%, 12/1/2043 | 2,260,163 | ||||||
| University of Massachusetts Building Authority Project Revenue Bonds | ||||||||
| 1,736,000 | 5.000%, 11/1/2039 | 1,829,831 | ||||||
|
| |||||||
| Total | 34,806,669 | |||||||
|
| |||||||
| Utilities (0.1%) | |||||||
| American Electric Power Company, Inc. | ||||||||
| 116,000 | 1.650%, 12/15/2017 | 112,767 | ||||||
| DCP Midstream Operating, LP | ||||||||
| 58,000 | 2.500%, 12/1/2017 | 57,252 | ||||||
| Duke Energy Corporation | ||||||||
| 168,000 | 2.100%, 6/15/2018 | 166,960 | ||||||
| Enel Finance International NV | ||||||||
| 137,000 | 3.875%, 10/7/2014g | 140,285 | ||||||
| 84,000 | 6.250%, 9/15/2017g | 92,155 | ||||||
| Energy Transfer Partners, LP | ||||||||
| 50,000 | 9.700%, 3/15/2019 | 64,889 | ||||||
| 180,000 | 4.650%, 6/1/2021 | 186,278 | ||||||
| Enterprise Products Operating, LLC | ||||||||
| 180,000 | 1.250%, 8/13/2015 | 180,591 | ||||||
| Exelon Corporation | ||||||||
| 135,000 | �� | 4.900%, 6/15/2015 | 144,484 | |||||
| Exelon Generation Company, LLC | ||||||||
| 150,000 | 5.200%, 10/1/2019 | 164,955 | ||||||
| Iberdrola Finance Ireland, Ltd. | ||||||||
| 100,000 | 3.800%, 9/11/2014g | 102,583 | ||||||
| ITC Holdings Corporation | ||||||||
| 155,000 | 5.875%, 9/30/2016g | 173,009 | ||||||
| 67,000 | 4.050%, 7/1/2023c | 67,119 | ||||||
| Kinder Morgan Energy Partners, LP | ||||||||
| 185,000 | 5.300%, 9/15/2020 | 205,423 | ||||||
| 120,000 | 5.000%, 8/15/2042 | 113,205 | ||||||
| MidAmerican Energy Holdings Company | ||||||||
| 120,000 | 6.500%, 9/15/2037 | 142,497 | ||||||
| NextEra Energy Capital Holdings, Inc. | ||||||||
| 180,000 | 1.200%, 6/1/2015 | 180,911 | ||||||
| NiSource Finance Corporation | ||||||||
| 166,000 | 6.800%, 1/15/2019 | 196,428 | ||||||
| Northeast Utilities | ||||||||
| 75,000 | 1.450%, 5/1/2018 | 72,797 | ||||||
| ONEOK Partners, LP | ||||||||
| 113,000 | 8.625%, 3/1/2019 | 143,079 | ||||||
| Pacific Gas & Electric Company | ||||||||
| 177,000 | 5.625%, 11/30/2017 | 204,568 | ||||||
| PPL Capital Funding, Inc. | ||||||||
| 231,000 | 1.900%, 6/1/2018 | 226,913 | ||||||
| 54,000 | 3.500%, 12/1/2022 | 51,660 | ||||||
| Sempra Energy | ||||||||
| 177,000 | 6.150%, 6/15/2018 | 206,788 | ||||||
| Williams Partners, LP | ||||||||
| 60,000 | 7.250%, 2/1/2017 | 69,733 | ||||||
|
| |||||||
| Total | 3,467,329 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $336,943,054) | 334,473,029 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
47
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Collateral Held for Securities Loaned (1.2%) | Value | ||||||
| 40,552,164 | Thrivent Cash Management Trust | $ | 40,552,164 | |||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $40,552,164) | 40,552,164 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (14.8%) | |||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 10,000,000 | 0.050%, 7/5/2013l | 9,999,917 | ||||||
| 33,000,000 | 0.060%, 7/9/2013f,l | 32,999,450 | ||||||
| 1,000,000 | 0.080%, 7/10/2013f,l | 999,976 | ||||||
| 44,000,000 | 0.050%, 7/12/2013f,l | 43,999,206 | ||||||
| 13,552,000 | 0.037%, 7/15/2013l | 13,551,776 | ||||||
| 50,000,000 | 0.050%, 7/19/2013l | 49,998,611 | ||||||
| 1,000,000 | 0.065%, 7/31/2013l | 999,942 | ||||||
| 50,000,000 | 0.070%, 8/7/2013l | 49,996,208 | ||||||
| 50,000,000 | 0.070%, 8/14/2013l | 49,995,528 | ||||||
| 3,000,000 | 0.075%, 8/16/2013l | 2,999,700 | ||||||
| 46,000,000 | 0.060%, 8/23/2013l | 45,995,783 | ||||||
| 5,000,000 | 0.080%, 9/17/2013l | 4,999,111 | ||||||
| 3,000,000 | 0.090%, 9/18/2013l | 2,999,392 | ||||||
| 19,700,000 | 0.093%, 11/22/2013f,l | 19,692,570 | ||||||
| 300,000 | 0.105%, 12/4/2013f,l | 299,862 | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 20,000,000 | 0.060%, 8/26/2013l | 19,998,067 | ||||||
| 5,000,000 | 0.105%, 11/6/2013l | 4,998,104 | ||||||
| 500,000 | 0.095%, 12/2/2013f,l | 499,794 | ||||||
| 100,000 | 0.110%, 12/3/2013f,l | 99,952 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 7,000,000 | 0.050%, 7/31/2013f,l | 6,999,689 | ||||||
| 6,000,000 | 0.040%, 8/7/2013l | 5,999,740 | ||||||
| 50,000,000 | 0.065%, 8/14/2013l | 49,995,847 | ||||||
| 74,000,000 | 0.062%, 8/21/2013l | 73,993,279 | ||||||
| 5,000,000 | 0.063%, 8/28/2013l | 4,999,475 | ||||||
| 7,000,000 | 0.100%, 9/25/2013l | 6,998,289 | ||||||
| 7,000,000 | 0.100%, 12/4/2013f,l | 6,996,928 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 511,106,196 | |||||||
|
| |||||||
| Total Investments (cost $3,374,546,742) 103.2% | $ | 3,557,765,716 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (3.2%) | (111,266,037 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 3,446,499,679 | ||||||
|
| |||||||
| 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 June 28, 2013, $34,130,585 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 June 28, 2013, the value of these investments was $24,872,042 or 0.7% of total net assets. |
| h | 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 June 28, 2013. |
| i | 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 Moderately Aggressive Allocation Portfolio owned as of June 28, 2013. |
Security | Acquisition Date | Cost | ||||||
Edlinc Student Loan Funding Trust | 2/28/2013 | $ | 522,214 | |||||
| j | Denotes interest only security. Interest only securities represent the right to receive monthly interest payments on an underlying pool of mortgages or assets. The principal shown is the outstanding par amount of the pool as of the end of the period. The actual effective yield of the security is different than the stated coupon rate. |
| k | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| l | 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 | $ | 266,674,412 | ||
Gross unrealized depreciation | (87,259,472 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 179,414,940 | ||
Cost for federal income tax purposes | $ | 3,378,350,776 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
48
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 4,652,114 | — | 4,652,114 | — | ||||||||||||
Capital Goods | 3,401,403 | — | 3,401,403 | — | ||||||||||||
Communications Services | 28,553,000 | — | 28,553,000 | — | ||||||||||||
Consumer Cyclical | 9,657,793 | — | 9,657,793 | — | ||||||||||||
Consumer Non-Cyclical | 11,520,322 | — | 11,520,322 | — | ||||||||||||
Energy | 3,358,568 | — | 3,358,568 | — | ||||||||||||
Financials | 2,697,432 | — | 2,697,432 | — | ||||||||||||
Technology | 5,008,742 | — | 5,008,742 | — | ||||||||||||
Transportation | 3,253,095 | — | 3,253,095 | — | ||||||||||||
Utilities | 3,554,019 | — | 3,554,019 | — | ||||||||||||
Mutual Funds | ||||||||||||||||
Equity Mutual Funds | 1,457,669,775 | 1,457,669,775 | — | — | ||||||||||||
Fixed Income Mutual Funds | 299,264,796 | 299,264,796 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 136,143,410 | 136,143,410 | — | — | ||||||||||||
Consumer Staples | 59,448,090 | 53,207,590 | 6,240,500 | — | ||||||||||||
Energy | 102,109,049 | 102,109,049 | — | — | ||||||||||||
Financials | 142,139,117 | 140,196,972 | 1,942,145 | — | ||||||||||||
Health Care | 99,093,126 | 99,093,126 | — | — | ||||||||||||
Industrials | 98,695,944 | 98,695,944 | — | — | ||||||||||||
Information Technology | 158,775,167 | 158,775,167 | — | — | ||||||||||||
Materials | 21,189,994 | 21,189,994 | — | — | ||||||||||||
Telecommunications Services | 5,840,592 | 5,840,592 | — | — | ||||||||||||
Utilities | 15,608,779 | 15,608,779 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 20,522,486 | — | 20,002,120 | 520,366 | ||||||||||||
Basic Materials | 1,542,238 | — | 1,542,238 | — | ||||||||||||
Capital Goods | 1,378,773 | — | 1,378,773 | — | ||||||||||||
Collateralized Mortgage Obligations | 21,640,976 | — | 20,865,516 | 775,460 | ||||||||||||
Commercial Mortgage-Backed Securities | 28,394,868 | — | 28,394,868 | — | ||||||||||||
Communications Services | 3,125,701 | — | 3,125,701 | — | ||||||||||||
Consumer Cyclical | 3,227,115 | — | 3,227,115 | — | ||||||||||||
Consumer Non-Cyclical | 5,510,665 | — | 5,510,665 | — | ||||||||||||
Energy | 3,693,178 | — | 3,693,178 | — | ||||||||||||
Financials | 29,646,821 | — | 29,646,821 | — | ||||||||||||
Foreign Government | 3,858,081 | — | 3,858,081 | — | ||||||||||||
Mortgage-Backed Securities | 56,049,799 | — | 56,049,799 | — | ||||||||||||
Technology | 1,923,994 | — | 1,923,994 | — | ||||||||||||
Transportation | 808,818 | — | 808,818 | — | ||||||||||||
U.S. Government and Agencies | 114,875,518 | — | 114,875,518 | — | ||||||||||||
U.S. Municipals | 34,806,669 | — | 34,806,669 | — | ||||||||||||
Utilities | 3,467,329 | — | 3,467,329 | — | ||||||||||||
Collateral Held for Securities Loaned | 40,552,164 | 40,552,164 | — | — | ||||||||||||
Short-Term Investments | 511,106,196 | — | 511,106,196 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,557,765,716 | $ | 2,628,347,358 | $ | 928,122,532 | $ | 1,295,826 | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
49
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 1,746,842 | 1,746,842 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 1,746,842 | $ | 1,746,842 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 17,578,983 | 10,676,374 | 6,902,609 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 17,578,983 | $ | 10,676,374 | $ | 6,902,609 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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 | (110 | ) | September 2013 | ($24,242,634 | ) | ($24,200,000 | ) | $42,634 | ||||||||||||
5-Yr. U.S. Treasury Bond Futures | (560 | ) | September 2013 | (68,961,418 | ) | (67,786,252 | ) | 1,175,166 | ||||||||||||
10-Yr. U.S. Treasury Bond Futures | (135 | ) | September 2013 | (17,614,980 | ) | (17,085,938 | ) | 529,042 | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | 290 | September 2013 | 41,253,385 | 39,394,688 | (1,858,697 | ) | ||||||||||||||
Eurex EURO STOXX 50 Futures | 5,341 | September 2013 | 187,517,479 | 180,614,870 | (6,902,609 | ) | ||||||||||||||
Mini MSCI EAFE Index Futures | 78 | September 2013 | 6,683,190 | 6,394,830 | (288,360 | ) | ||||||||||||||
Russell 2000 Index Mini-Futures | (828 | ) | September 2013 | (79,990,513 | ) | (80,705,160 | ) | (714,647 | ) | |||||||||||
S&P 400 Index Mini-Futures | (1,180 | ) | September 2013 | (135,651,738 | ) | (136,632,200 | ) | (980,462 | ) | |||||||||||
S&P 500 Index Futures | 792 | September 2013 | 323,495,608 | 316,661,400 | (6,834,208 | ) | ||||||||||||||
Total Futures Contracts | ($ | 15,832,141) | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 28, 2013, 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 | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 1,746,842 | ||||
Total Interest Rate Contracts | 1,746,842 | |||||
|
| |||||
Total Asset Derivatives | $ | 1,746,842 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 1,858,697 | ||||
Total Interest Rate Contracts | 1,858,697 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 15,720,286 | ||||
Total Equity Contracts | 15,720,286 | |||||
|
| |||||
Total Liability Derivatives | $ | 17,578,983 | ||||
|
| |||||
| * | 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.
50
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 28, 2013, 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 | ||||||
| Options Written | Net realized gains/(losses) on Written option contracts | 36,631 | ||||
| Futures | Net realized gains/(losses) on Futures contracts | 21,980,564 | ||||
Total Equity Contracts | 22,017,195 | |||||
Foreign Exchange Contracts | ||||||
| Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (245,543 | ) | |||
Total Foreign Exchange Contracts | (245,543 | ) | ||||
Interest Rate Contracts | ||||||
| Futures | Net realized gains/(losses) on Futures contracts | (1,412,506 | ) | |||
Total Interest Rate Contracts | (1,412,506 | ) | ||||
Credit Contracts | ||||||
| Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (2,128,924 | ) | |||
Total Credit Contracts | (2,128,924 | ) | ||||
|
| |||||
Total | $ | 18,230,222 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 28, 2013, 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 | ||||
Interest Rate Contracts | ||||||
| Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 405,090 | ||||
Total Interest Rate Contracts | 405,090 | |||||
Equity Contracts | ||||||
| Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (8,584,700 | ) | |||
Total Equity Contracts | (8,584,700 | ) | ||||
Credit Contracts | ||||||
| Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (412,079 | ) | |||
Total Credit Contracts | (412,079 | ) | ||||
|
| |||||
Total | ($ | 8,591,689 | ) | |||
|
| |||||
The following table presents Moderately Aggressive Allocation Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
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) | Options (Contracts) | |||||||||||||||||||||
Equity Contracts | $ | 711,613,261 | 21.5 | % | N/A | N/A | N/A | N/A | 3 | |||||||||||||||||||
Interest Rate | ||||||||||||||||||||||||||||
Contracts | 154,224,402 | 4.6 | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||
Foreign Exchange | ||||||||||||||||||||||||||||
Contracts | N/A | N/A | $ | 28,025 | <0.1 | % | N/A | N/A | N/A | |||||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 40,470,736 | 1.2 | % | 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.
51
Table of Contents
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Partner Small Cap Growth | $ | 70,145,452 | $ | 1,751,629 | $ | — | 5,165,495 | $ | 80,360,118 | $ | — | |||||||||||||
Partner Small Cap Value | 73,284,587 | 1,944,564 | 3,500,000 | 3,387,094 | 80,260,915 | 1,542,643 | ||||||||||||||||||
Small Cap Stock | 59,414,925 | 250,023 | — | 4,544,703 | 68,081,010 | 250,023 | ||||||||||||||||||
Partner Mid Cap Value | 91,117,912 | 5,641,827 | — | 6,555,161 | 105,118,566 | 1,049,954 | ||||||||||||||||||
Mid Cap Stock | 184,608,248 | 800,789 | — | 14,161,368 | 209,473,537 | 800,789 | ||||||||||||||||||
Partner Worldwide Allocation | 403,235,751 | 114,024 | — | 46,799,927 | 405,198,453 | 114,024 | ||||||||||||||||||
Large Cap Value | 225,228,272 | 3,944,833 | — | 19,051,500 | 260,795,982 | 3,944,833 | ||||||||||||||||||
Large Cap Stock | 201,835,703 | 2,678,067 | — | 22,150,339 | 223,846,896 | 2,678,067 | ||||||||||||||||||
Equity Income Plus | 22,177,546 | 518,188 | — | 2,306,527 | 24,534,298 | 518,188 | ||||||||||||||||||
High Yield | 118,287,065 | 3,706,425 | 284,402 | 24,096,908 | 119,156,799 | 3,706,425 | ||||||||||||||||||
Income | 149,352,272 | 2,952,674 | 7,798,162 | 13,407,898 | 138,120,124 | 2,638,428 | ||||||||||||||||||
Limited Maturity Bond | 46,577,538 | 321,673 | 4,427,521 | 4,278,975 | 41,987,873 | 321,673 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | 34,779,781 | 98,570,164 | 92,797,781 | 40,552,164 | 40,552,164 | 256,224 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | 333,230,361 | 310,290,556 | 643,520,917 | — | — | 148,813 | ||||||||||||||||||
Total Value and Income Earned | 2,013,275,413 | 1,797,486,735 | 17,970,084 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
52
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Bank Loans (4.3%)a | Value | ||||||
| Basic Materials (0.3%) | |||||||
| Alpha Natural Resources, Inc., Term Loan | ||||||||
| $ 3,000,000 | 3.504%, 5/22/2020 | $ | 2,913,750 | |||||
| Arch Coal, Inc., Term Loan | ||||||||
| 2,521,666 | 5.750%, 5/16/2018 | 2,508,276 | ||||||
| FMG Resources August 2006 Pty., Ltd., Term Loan | ||||||||
| 2,203,350 | 5.250%, 10/18/2017 | 2,188,543 | ||||||
| HCA, Inc., Term Loan | ||||||||
| 1,500,000 | 3.026%, 3/31/2017 | 1,491,570 | ||||||
| Ineos Group Holdings, Ltd., Term Loan | ||||||||
| 3,919,149 | 4.000%, 5/4/2018 | 3,834,652 | ||||||
| Tronox Pigments BV, Term Loan | ||||||||
| 1,290,000 | 4.500%, 3/19/2020 | 1,294,102 | ||||||
| US Coatings Acquisition, Inc., Term Loan | ||||||||
| 2,992,500 | 4.750%, 2/1/2020 | 2,989,897 | ||||||
|
| |||||||
| Total | 17,220,790 | |||||||
|
| |||||||
| Capital Goods (0.2%) | |||||||
| ADS Waste Holdings, Term Loan | ||||||||
| 2,363,125 | 4.250%, 10/9/2019 | 2,353,082 | ||||||
| Berry Plastics Group, Inc., Term Loan | ||||||||
| 6,403,950 | 3.500%, 2/8/2020 | 6,327,487 | ||||||
| Silver II Borrower, Term Loan | ||||||||
| 1,701,450 | 4.000%, 12/13/2019 | 1,686,205 | ||||||
|
| |||||||
| Total | 10,366,774 | |||||||
|
| |||||||
| Communications Services (1.7%) | |||||||
| Atlantic Broadband Penn, LLC, Term Loan | ||||||||
| 1,344,838 | 3.250%, 11/30/2019 | 1,337,777 | ||||||
| Cequel Communications, LLC, Term Loan | ||||||||
| 2,149,558 | 3.500%, 2/14/2019 | 2,129,739 | ||||||
| Charter Communications Operating, LLC, Term Loan | ||||||||
| 860,000 | 0.000%, 4/10/2020b,c | 848,579 | ||||||
| 4,500,000 | 3.000%, 12/31/2020 | 4,455,630 | ||||||
| Clear Channel Communications, Inc., Term Loan | ||||||||
| 1,235,831 | 3.854%, 1/29/2016 | 1,126,929 | ||||||
| 3,645,169 | 6.945%, 1/30/2019 | 3,315,063 | ||||||
| Cricket Communications, Inc., Term Loan | ||||||||
| 333,325 | 4.750%, 10/10/2019 | 329,715 | ||||||
| 4,650,000 | 4.750%, 3/8/2020 | 4,604,941 | ||||||
| Cumulus Media Holdings, Inc., Term Loan | ||||||||
| 3,363,003 | 4.500%, 9/17/2018 | 3,361,591 | ||||||
| Fairpoint Communications, Term Loan | ||||||||
| 4,269,300 | 7.500%, 2/14/2019 | 4,173,241 | ||||||
| Grande Communications Networks, LLC, Term Loan | ||||||||
| 2,610,000 | 4.500%, 5/29/2020 | 2,593,688 | ||||||
| Hargray Communications Group, Inc., Term Loan | ||||||||
| 3,710,000 | 0.000%, 6/25/2019b,c | 3,696,087 | ||||||
| Integra Telecom Holdings, Inc., Term Loan | ||||||||
| 2,610,000 | 0.000%, 2/22/2019b,c | 2,608,695 | ||||||
| Integra Telecom Inc., Term Loan | ||||||||
| 1,010,000 | 9.750%, 2/21/2020 | 1,032,725 | ||||||
| Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 2,359,794 | 4.250%, 4/2/2018 | 2,359,794 | ||||||
| Level 3 Financing, Inc., Term Loan | ||||||||
| 3,305,000 | 4.750%, 8/1/2019 | 3,301,893 | ||||||
| Liberty Cablevision of Puerto Rico, Ltd., Term Loan | ||||||||
| 1,678,050 | 6.000%, 6/9/2017 | 1,673,855 | ||||||
| LTS Buyer, LLC, Term Loan | ||||||||
| 1,940,000 | 4.500%, 4/13/2020b,c | 1,924,247 | ||||||
| 215,000 | 8.000%, 4/12/2021 | 215,000 | ||||||
| MCC Georgia, LLC, Term Loan | ||||||||
| 1,344,837 | 4.000%, 1/20/2020 | 1,347,366 | ||||||
| McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
| 3,431,400 | 9.000%, 3/22/2019 | 3,370,493 | ||||||
| NEP Broadcasting, LLC, Term Loan | ||||||||
| 9,394,950 | 4.750%, 1/22/2020b,c | 9,434,127 | ||||||
| 242,857 | 9.500%, 7/22/2020 | 248,321 | ||||||
| NTELOS, Inc., Term Loan | ||||||||
| 1,268,625 | 5.750%, 11/9/2019 | 1,250,649 | ||||||
| SBA Senior Finance II, LLC, Term Loan | ||||||||
| 373,902 | 3.750%, 9/28/2019 | 374,212 | ||||||
| Syniverse Holdings, Inc., Term Loan | ||||||||
| 3,420,000 | 4.000%, 4/23/2019 | 3,402,900 | ||||||
| TNS, Inc., Term Loan | ||||||||
| 5,820,185 | 5.000%, 2/14/2020 | 5,829,905 | ||||||
| Univision Communications, Inc., Term Loan | ||||||||
| 1,880,288 | 4.500%, 2/28/2020 | 1,861,015 | ||||||
| 857,850 | 4.500%, 3/1/2020 | 848,199 | ||||||
| 1,084,539 | 4.500%, 3/1/2020 | 1,073,423 | ||||||
| Van Wagner Communications, Inc., Term Loan | ||||||||
| 2,187,900 | 8.250%, 8/3/2018 | 2,215,249 | ||||||
| Virgin Media Investment Holdings, Ltd., Term Loan | ||||||||
| 7,500,000 | 3.500%, 6/7/2020 | 7,410,450 | ||||||
| Visant Corporation, Term Loan | ||||||||
| 3,825,017 | 5.250%, 12/22/2016 | 3,637,859 | ||||||
| WideOpenWest Finance, LLC, Term Loan | ||||||||
| 5,685,750 | 4.750%, 4/1/2019 | 5,692,857 | ||||||
| Yankee Cable Acquisition, LLC, Term Loan | ||||||||
| 3,861,852 | 5.250%, 3/1/2020 | 3,872,858 | ||||||
| Zayo Group, LLC, Term Loan | ||||||||
| 6,054,397 | 4.500%, 7/2/2019 | 6,044,286 | ||||||
|
| |||||||
| Total | 103,003,358 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
53
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Bank Loans (4.3%)a | Value | ||||||
| Consumer Cyclical (0.6%) | |||||||
| Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
| $ 1,976,294 | 4.250%, 2/23/2017 | $ | 1,973,330 | |||||
| Cenveo Corporation, Term Loan | ||||||||
| 2,433,900 | 6.250%, 2/13/2017 | 2,429,348 | ||||||
| Ceridian Corporation, Term Loan | ||||||||
| 2,030,545 | 5.942%, 5/9/2017 | 2,033,713 | ||||||
| Chrysler Group, LLC, Term Loan | ||||||||
| 2,945,000 | 0.000%, 5/24/2017b,c | 2,955,131 | ||||||
| J.C. Penney Corporation, Inc., Term Loan | ||||||||
| 3,980,000 | 6.000%, 5/22/2018b,c | 3,982,826 | ||||||
| MGM Resorts International, Term Loan | ||||||||
| 2,656,650 | 3.500%, 12/20/2019 | 2,636,725 | ||||||
| MRC Global, Inc., Term Loan | ||||||||
| 1,686,525 | 6.000%, 11/8/2019 | 1,692,141 | ||||||
| ROC Finance, LLC, Term Loan | ||||||||
| 6,230,000 | 1.726%, 3/27/2019b,c | 6,219,596 | ||||||
| Scientific Games International, Inc., Term Loan | ||||||||
| 5,700,000 | 0.000%, 5/22/2020b,c | 5,609,769 | ||||||
| Seminole Indian Tribe of Florida, Term Loan | ||||||||
| 1,586,738 | 3.026%, 4/29/2020 | 1,580,121 | ||||||
| Seven Seas Cruises S de RL, LLC, Term Loan | ||||||||
| 3,012,000 | 4.750%, 12/21/2018 | 3,023,295 | ||||||
| Toys R Us, Inc., Term Loan | ||||||||
| 2,601,125 | 5.250%, 5/25/2018 | 2,494,921 | ||||||
|
| |||||||
| Total | 36,630,916 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.6%) | |||||||
| Albertson’s, Inc., Term Loan | ||||||||
| 3,655,838 | 4.750%, 3/21/2019 | 3,628,419 | ||||||
| Bausch & Lomb, Inc., Term Loan | ||||||||
| 1,678,082 | 4.000%, 5/18/2019 | 1,674,591 | ||||||
| Biomet, Inc., Term Loan | ||||||||
| 2,625,162 | 3.963%, 7/25/2017 | 2,609,858 | ||||||
| CHS/Community Health Systems, Inc., Term Loan | ||||||||
| 1,695,000 | 3.773%, 1/25/2017 | 1,694,813 | ||||||
| Del Monte Corporation, Term Loan | ||||||||
| 843,718 | 4.000%, 3/8/2018 | 839,854 | ||||||
| DJO Finance, LLC, Term Loan | ||||||||
| 2,968,772 | 4.750%, 9/15/2017b,c | 2,982,993 | ||||||
| Grifols, Inc., Term Loan | ||||||||
| 1,672,922 | 4.250%, 6/1/2017 | 1,678,426 | ||||||
| HJ Heinz Company, Term Loan | ||||||||
| 1,510,000 | 3.500%, 6/5/2020 | 1,508,279 | ||||||
| Hologic, Inc., Term Loan | ||||||||
| 2,019,737 | 4.500%, 8/1/2019 | 2,023,393 | ||||||
| JBS USA, LLC, Term Loan | ||||||||
| 3,211,950 | 3.750%, 5/25/2018 | 3,203,920 | ||||||
| Reynolds Group Holdings, Inc., Term Loan | ||||||||
| 337,450 | 4.750%, 9/28/2018 | 337,943 | ||||||
| Rite Aid Corporation, Term Loan | ||||||||
| 638,400 | 4.000%, 2/21/2020 | 635,476 | ||||||
| 1,285,000 | 5.750%, 8/21/2020 | 1,301,062 | ||||||
| Roundy’s Supermarkets, Inc., Term Loan | ||||||||
| 2,886,847 | 5.750%, 2/13/2019 | 2,812,280 | ||||||
| Supervalu, Inc., Term Loan | ||||||||
| 8,267,613 | 5.000%, 3/21/2019b,c | 8,204,448 | ||||||
| Warner Chilcott Company, LLC, Term Loan | ||||||||
| 30,762 | 4.250%, 3/15/2018 | 30,735 | ||||||
| Warner Chilcott Corporation, Term Loan | ||||||||
| 228,748 | 4.250%, 3/15/2018 | 228,545 | ||||||
| 99,580 | 4.250%, 3/15/2018 | 99,491 | ||||||
| WC Luxco Sarl, Term Loan | ||||||||
| 180,258 | 4.250%, 3/15/2018 | 180,097 | ||||||
|
| |||||||
| Total | 35,674,623 | |||||||
|
| |||||||
| Energy (0.1%) | |||||||
| Chesapeake Energy Corporation, Term Loan | ||||||||
| 5,600,000 | 5.750%, 12/2/2017 | 5,668,824 | ||||||
| Offshore Group Investment, Ltd., Term Loan | ||||||||
| 3,376,538 | 5.750%, 3/28/2019 | 3,384,979 | ||||||
|
| |||||||
| Total | 9,053,803 | |||||||
|
| |||||||
| Financials (0.2%) | |||||||
| GEO Group, Inc., Term Loan | ||||||||
| 861,000 | 3.250%, 4/3/2020 | 858,848 | ||||||
| Harland Clarke Holdings Corporation, Term Loan | ||||||||
| 4,670,000 | 7.000%, 5/22/2018 | 4,479,884 | ||||||
| MoneyGram International, Inc., Term Loan | ||||||||
| 3,436,388 | 4.250%, 3/27/2020 | 3,438,552 | ||||||
| WaveDivision Holdings, LLC, Term Loan | ||||||||
| 3,641,700 | 4.000%, 10/12/2019 | 3,632,596 | ||||||
|
| |||||||
| Total | 12,409,880 | |||||||
|
| |||||||
| Technology (0.3%) | |||||||
| First Data Corporation Extended, Term Loan | ||||||||
| 7,025,000 | 4.193%, 3/23/2018 | 6,840,594 | ||||||
| First Data Corporation, Term Loan | ||||||||
| 1,355,000 | 4.193%, 9/24/2018 | 1,319,431 | ||||||
| Freescale Semiconductor Inc., Term Loan | ||||||||
| 3,097,238 | 5.000%, 3/1/2020 | 3,069,579 | ||||||
| Infor US, Inc., Term Loan | ||||||||
| 1,676,124 | 5.250%, 4/5/2018 | 1,677,868 | ||||||
| SunGard Data Systems, Inc., Term Loan | ||||||||
| 3,865,312 | 4.500%, 1/31/2020 | 3,872,579 | ||||||
|
| |||||||
| Total | 16,780,051 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
54
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Bank Loans (4.3%)a | Value | ||||||
| Transportation (0.2%) | |||||||
| American Airlines, Inc., Term Loan | ||||||||
| $ 3,710,000 | 0.000%, 6/21/2019b,c | $ | 3,704,212 | |||||
| American Petroleum Tankers Parent, LLC, Term Loan | ||||||||
| 1,075,000 | 4.750%, 10/2/2019 | 1,070,969 | ||||||
| Delta Air Lines, Inc., Term Loan | ||||||||
| 3,154,350 | 4.250%, 4/20/2017 | 3,163,214 | ||||||
| U.S. Airways, Inc., Term Loan | ||||||||
| 660,000 | 0.000%, 5/21/2019b,c | 651,473 | ||||||
| United Air Lines, Inc., Term Loan | ||||||||
| 2,155,000 | 4.000%, 4/1/2019 | 2,149,612 | ||||||
|
| |||||||
| Total | 10,739,480 | |||||||
|
| |||||||
| Utilities (0.1%) | |||||||
| Calpine Corporation, Term Loan | ||||||||
| 636,743 | 4.000%, 4/1/2018 | 635,151 | ||||||
| 2,689,675 | 4.000%, 10/9/2019 | 2,684,646 | ||||||
| Intergen NV, Term Loan | ||||||||
| 1,720,000 | 0.000%, 6/5/2020b,c | 1,685,600 | ||||||
| NGPL PipeCo, LLC, Term Loan | ||||||||
| 2,422,072 | 6.750%, 9/15/2017 | 2,400,878 | ||||||
| Pacific Drilling SA, Term loan | ||||||||
| 2,425,000 | 0.000%, 5/18/2018b,c | 2,413,481 | ||||||
|
| |||||||
| Total | 9,819,756 | |||||||
|
| |||||||
Total Bank Loans (cost $262,585,463) | 261,699,431 | |||||||
|
| |||||||
| Shares | Mutual Funds (45.7%) | |||||||
| Equity Mutual Funds (26.1%) | |||||||
| 5,821,599 | Thrivent Partner Small Cap Growth Portfoliod | 90,567,203 | ||||||
| 4,368,749 | Thrivent Partner Small Cap Value Portfolio | 103,522,303 | ||||||
| 3,609,909 | Thrivent Small Cap Stock Portfolio | 54,077,520 | ||||||
| 6,230,477 | Thrivent Partner Mid Cap Value Portfolio | 99,911,934 | ||||||
| 11,698,088 | Thrivent Mid Cap Stock Portfolio | 173,036,951 | ||||||
| 53,352,913 | Thrivent Partner Worldwide Allocation Portfolio | 461,934,852 | ||||||
| 26,506,659 | Thrivent Large Cap Value Portfolio | 362,849,648 | ||||||
| 20,525,262 | Thrivent Large Cap Stock Portfolio | 207,424,198 | ||||||
| 3,039,607 | Thrivent Equity Income Plus Portfolio | 32,331,996 | ||||||
|
| |||||||
| Total | 1,585,656,605 | |||||||
|
| |||||||
| Fixed Income Mutual Funds (19.6%) | |||||||
| 37,476,610 | Thrivent High Yield Portfolio | 185,318,089 | ||||||
| 59,122,887 | Thrivent Income Portfolio | 609,048,511 | ||||||
| 40,024,961 | Thrivent Limited Maturity Bond Portfolio | 392,748,930 | ||||||
|
| |||||||
| Total | 1,187,115,530 | |||||||
|
| |||||||
Total Mutual Funds (cost $2,641,440,310) | 2,772,772,135 | |||||||
|
| |||||||
Common Stock (16.3%) | ||||||||
| Consumer Discretionary (2.6%) | |||||||
| 61,289 | Abercrombie & Fitch Company | 2,773,327 | ||||||
| 42,892 | Amazon.com, Inc.d | 11,910,680 | ||||||
| 22,700 | AutoZone, Inc.d | 9,617,763 | ||||||
| 106,550 | CBS Corporation | 5,207,099 | ||||||
| 14,800 | Charter Communications, Inc.d | 1,832,980 | ||||||
| 58,700 | Cheesecake Factory, Inc. | 2,458,943 | ||||||
| 72,500 | Chico’s FAS, Inc. | 1,236,850 | ||||||
| 460,094 | Comcast Corporation | 19,268,737 | ||||||
| 14,300 | Conn’s, Inc.d | 740,168 | ||||||
| 4,988 | CST Brands, Inc.d | 153,680 | ||||||
| 19,900 | Dana Holding Corporation | 383,274 | ||||||
| 2,812 | Darden Restaurants, Inc. | 141,950 | ||||||
| 43,408 | Delphi Automotive plc | 2,200,352 | ||||||
| 15,900 | DeVry, Inc.e | 493,218 | ||||||
| 10,437 | Discovery Communications, Inc.d | 805,841 | ||||||
| 20,700 | DISH Network Corporation | 880,164 | ||||||
| 16,470 | Dollar Tree, Inc.d | 837,335 | ||||||
| 15,752 | Finish Line, Inc. | 344,339 | ||||||
| 87,226 | Foot Locker, Inc. | 3,064,249 | ||||||
| 69,900 | Gap, Inc. | 2,916,927 | ||||||
| 53,998 | GNC Holdings, Inc. | 2,387,252 | ||||||
| 11,300 | Grand Canyon Education, Inc.d | 364,199 | ||||||
| 10,160 | Harley-Davidson, Inc. | 556,971 | ||||||
| 39,718 | Hasbro, Inc.e | 1,780,558 | ||||||
| 134,200 | Home Depot, Inc. | 10,396,474 | ||||||
| 58,900 | Hovnanian Enterprises, Inc.d,e | 330,429 | ||||||
| 12,640 | iShares Dow Jones US Home Construction Index Fund | 282,883 | ||||||
| 10,445 | L Brands, Inc. | 514,416 | ||||||
| 187,765 | Las Vegas Sands Corporation | 9,938,401 | ||||||
| 31,006 | LifeLock, Inc.d,e | 363,080 | ||||||
| 105,870 | Lowe’s Companies, Inc. | 4,330,083 | ||||||
| 12,539 | M/I Homes, Inc.d | 287,895 | ||||||
| 46,900 | Macy’s, Inc. | 2,251,200 | ||||||
| 7,400 | Marriott International, Inc. | 298,738 | ||||||
| 15,300 | Marriott Vacations Worldwide Corporationd | 661,572 | ||||||
| 22,487 | MDC Partners, Inc. | 405,665 | ||||||
| 57,600 | Meredith Corporatione | 2,747,520 | ||||||
| 10,000 | Michael Kors Holdings, Ltd.d | 620,200 | ||||||
| 1,700 | Netflix, Inc.d | 358,853 | ||||||
| 49,900 | New York Times Companyd,e | 551,894 | ||||||
| 73,870 | News Corporation | 2,424,413 | ||||||
| 54,980 | Nexstar Broadcasting Group, Inc. | 1,949,591 | ||||||
| 229,200 | NIKE, Inc. | 14,595,456 | ||||||
| 14,100 | Omnicom Group, Inc. | 886,467 | ||||||
| 2,733 | O’Reilly Automotive, Inc.d | 307,790 | ||||||
| 31,530 | Papa John’s International, Inc.d | 2,061,116 | ||||||
| 13,000 | Penn National Gaming, Inc.d | 687,180 | ||||||
| 3,902 | PetSmart, Inc. | 261,395 | ||||||
| 123,372 | Pier 1 Imports, Inc. | 2,898,008 | ||||||
| 45,200 | Pulte Group, Inc.d | 857,444 | ||||||
| 3,300 | Ross Stores, Inc. | 213,873 | ||||||
| 221,700 | Sally Beauty Holdings, Inc.d | 6,894,870 | ||||||
| 134,500 | Sirius XM Radio, Inc. | 450,575 | ||||||
| 187,400 | Smith & Wesson Holding Corporationd,e | 1,870,252 | ||||||
| 15,449 | Stage Stores, Inc. | 363,052 | ||||||
| 106,100 | Standard Pacific Corporationd,e | 883,813 | ||||||
| 31,600 | Staples, Inc. | 501,176 | ||||||
| 9,500 | Sturm, Ruger & Company, Inc.e | 456,380 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
55
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (16.3%) | Value | ||||||
| Consumer Discretionary (2.6%) - continued | |||||||
| 10,200 | Target Corporation | $ | 702,372 | |||||
| 15,700 | Tempur-Pedic International, Inc.d | 689,230 | ||||||
| 21,110 | Time Warner Cable, Inc. | 2,374,453 | ||||||
| 32,500 | TJX Companies, Inc. | 1,626,950 | ||||||
| 37,800 | Toll Brothers, Inc.d | 1,233,414 | ||||||
| 5,281 | Tractor Supply Company | 621,098 | ||||||
| 4,000 | Under Armour, Inc.d | 238,840 | ||||||
| 10,700 | Urban Outfitters, Inc.d | 430,354 | ||||||
| 21,100 | Valassis Communications, Inc.e | 518,849 | ||||||
| 30,200 | Vera Bradley, Inc.d,e | 654,132 | ||||||
| 643 | VF Corporation | 124,138 | ||||||
| 3,300 | Wynn Resorts, Ltd. | 422,400 | ||||||
|
| |||||||
| Total | 154,895,240 | |||||||
|
| |||||||
| Consumer Staples (1.2%) | |||||||
| 95,300 | Altria Group, Inc. | 3,334,547 | ||||||
| 6,238 | Andersons, Inc. | 331,799 | ||||||
| 40,085 | Annie’s, Inc.d,e | 1,713,233 | ||||||
| 77,400 | Archer-Daniels-Midland Company | 2,624,634 | ||||||
| 18,200 | Avon Products, Inc. | 382,746 | ||||||
| 71,245 | British American Tobacco plc ADRe | 7,333,960 | ||||||
| 35,400 | Bunge, Ltd. | 2,505,258 | ||||||
| 42,400 | Campbell Soup Companye | 1,899,096 | ||||||
| 19,515 | Clorox Company | 1,622,477 | ||||||
| 50,800 | Colgate-Palmolive Company | 2,910,332 | ||||||
| 109,160 | CVS Caremark Corporation | 6,241,769 | ||||||
| 13,295 | Energizer Holdings, Inc. | 1,336,281 | ||||||
| 5,500 | Hain Celestial Group, Inc.d | 357,335 | ||||||
| 91,668 | Ingredion, Inc. | 6,015,254 | ||||||
| 13,370 | Kimberly-Clark Corporation | 1,298,762 | ||||||
| 19,517 | Kraft Foods Group, Inc. | 1,090,415 | ||||||
| 82,000 | Kroger Company | 2,832,280 | ||||||
| 58,562 | Mondelez International, Inc. | 1,670,774 | ||||||
| 6,800 | Monster Beverage Corporationd | 413,236 | ||||||
| 120,900 | Nestle SA | 7,933,506 | ||||||
| 15,016 | Philip Morris International, Inc. | 1,300,686 | ||||||
| 154,000 | Procter & Gamble Company | 11,856,460 | ||||||
| 29,400 | Safeway, Inc.e | 695,604 | ||||||
| 61,700 | Tyson Foods, Inc. | 1,584,456 | ||||||
| 30,500 | Wal-Mart Stores, Inc. | 2,271,945 | ||||||
| 10,886 | Whole Foods Market, Inc. | 560,411 | ||||||
|
| |||||||
| Total | 72,117,256 | |||||||
|
| |||||||
| Energy (2.2%) | |||||||
| 265,213 | Alpha Natural Resources, Inc.d | 1,389,716 | ||||||
| 138,558 | BP plc ADR | 5,783,411 | ||||||
| 6,500 | Cameron International Corporationd | 397,540 | ||||||
| 52,460 | Chevron Corporation | 6,208,117 | ||||||
| 53,200 | Cobalt International Energy, Inc.d | 1,413,524 | ||||||
| 32,025 | Concho Resources, Inc.d | 2,681,133 | ||||||
| 224,600 | Consol Energy, Inc. | 6,086,660 | ||||||
| 28,700 | Delek US Holdings, Inc. | 825,986 | ||||||
| 35,400 | Dril-Quip, Inc.d | 3,196,266 | ||||||
| 10,500 | Ensco plc | 610,260 | ||||||
| 62,887 | EOG Resources, Inc. | 8,280,960 | ||||||
| 67,180 | EQT Corporation | 5,332,077 | ||||||
| 94,200 | Exxon Mobil Corporation | 8,510,970 | ||||||
| 38,100 | Helmerich & Payne, Inc. | 2,379,345 | ||||||
| 45,600 | HollyFrontier Corporation | 1,950,768 | ||||||
| 484,271 | Marathon Oil Corporation | 16,746,091 | ||||||
| 32,300 | Marathon Petroleum Corporation | 2,295,238 | ||||||
| 57,300 | National Oilwell Varco, Inc. | 3,947,970 | ||||||
| 93,400 | Oasis Petroleum, Inc.d | 3,630,458 | ||||||
| 24,800 | Occidental Petroleum Corporation | 2,212,904 | ||||||
| 13,900 | Oil States International, Inc.d | 1,287,696 | ||||||
| 129,000 | Patterson-UTI Energy, Inc. | 2,496,795 | ||||||
| 89,430 | Peabody Energy Corporation | 1,309,255 | ||||||
| 86,000 | Petroleo Brasileiro SA ADR | 1,154,120 | ||||||
| 3,000 | Range Resources Corporation | 231,960 | ||||||
| 120,060 | Rex Energy Corporationd | 2,110,655 | ||||||
| 226,650 | Schlumberger, Ltd. | 16,241,739 | ||||||
| 38,700 | SM Energy Company | 2,321,226 | ||||||
| 29,100 | Southwestern Energy Companyd | 1,063,023 | ||||||
| 13,000 | Tesoro Corporation | 680,160 | ||||||
| 70,700 | Ultra Petroleum Corporationd,e | 1,401,274 | ||||||
| 44,900 | Valero Energy Corporation | 1,561,173 | ||||||
| 1,097,452 | Weatherford International, Ltd.d | 15,035,092 | ||||||
| 32,000 | Western Refining, Inc. | 898,240 | ||||||
|
| |||||||
| Total | 131,671,802 | |||||||
|
| |||||||
| Financials (2.9%) | |||||||
| 44,150 | ACE, Ltd. | 3,950,542 | ||||||
| 24,535 | Affiliated Managers Group, Inc.d | 4,022,268 | ||||||
| 11,500 | Allied World Assurance Company Holdings AG | 1,052,365 | ||||||
| 26,600 | Allstate Corporation | 1,279,992 | ||||||
| 20,400 | American Assets Trust, Inc. | 629,544 | ||||||
| 27,400 | American Capital, Ltd.d | 347,158 | ||||||
| 5,600 | Ameriprise Financial, Inc. | 452,928 | ||||||
| 159,600 | Annaly Capital Management, Inc. | 2,006,172 | ||||||
| 14,900 | Aspen Insurance Holdings, Ltd. | 552,641 | ||||||
| 16,400 | Axis Capital Holdings, Ltd. | 750,792 | ||||||
| 351,320 | Bank of America Corporation | 4,517,975 | ||||||
| 20,100 | Banner Corporation | 679,179 | ||||||
| 59,646 | BGC Partners, Inc. | 351,315 | ||||||
| 22,259 | Boston Properties, Inc. | 2,347,657 | ||||||
| 89,900 | CapitalSource, Inc. | 843,262 | ||||||
| 40,700 | CBL & Associates Properties, Inc. | 871,794 | ||||||
| 218,607 | Citigroup, Inc. | 10,486,578 | ||||||
| 9,589 | CNA Financial Corporation | 312,793 | ||||||
| 23,390 | Colonial Properties Trust | 564,167 | ||||||
| 19,000 | Comerica, Inc. | 756,770 | ||||||
| 85,200 | DCT Industrial Trust, Inc. | 609,180 | ||||||
| 31,529 | Discover Financial Services | 1,502,042 | ||||||
| 39,564 | Equity Residential | 2,297,086 | ||||||
| 12,460 | Extra Space Storage, Inc. | 522,448 | ||||||
| 159,300 | Fifth Third Bancorp | 2,875,365 | ||||||
| 11,400 | First Republic Bank | 438,672 | ||||||
| 54,563 | HCC Insurance Holdings, Inc. | 2,352,211 | ||||||
| 17,099 | Health Care REIT, Inc. | 1,146,146 | ||||||
| 31,800 | Home Loan Servicing Solutions, Ltd. | 762,246 | ||||||
| 46,546 | Host Hotels & Resorts, Inc. | 785,231 | ||||||
| 134,700 | Huntington Bancshares, Inc. | 1,061,436 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
56
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (16.3%) | Value | ||||||
| Financials (2.9%) - continued | |||||||
| 67,680 | Invesco, Ltd. | $ | 2,152,224 | |||||
| 84,000 | iShares Barclays 1-3 Year Credit Bond Fund | 8,822,520 | ||||||
| 60,340 | iShares Russell 2000 Index Fund | 5,862,634 | ||||||
| 2,300 | iShares Russell 3000 Index Fund | 221,720 | ||||||
| 149,078 | J.P. Morgan Chase & Company | 7,869,828 | ||||||
| 69,800 | Janus Capital Group, Inc. | 593,998 | ||||||
| 105,401 | Kimco Realty Corporation | 2,258,743 | ||||||
| 23,207 | Lazard, Ltd. | 746,105 | ||||||
| 37,700 | Leucadia National Corporation | 988,494 | ||||||
| 7,300 | M&T Bank Corporatione | 815,775 | ||||||
| 13,900 | MasterCard, Inc. | 7,985,550 | ||||||
| 84,320 | MetLife, Inc. | 3,858,483 | ||||||
| 23,600 | Montpelier Re Holdings, Inc. | 590,236 | ||||||
| 92,100 | Morgan Stanley | 2,250,003 | ||||||
| 31,200 | NASDAQ OMX Group, Inc. | 1,023,048 | ||||||
| 17,000 | Northern Trust Corporation | 984,300 | ||||||
| 23,700 | Pebblebrook Hotel Trust | 612,645 | ||||||
| 36,100 | Piedmont Office Realty Trust, Inc. | 645,468 | ||||||
| 124,609 | Popular, Inc.d | 3,779,391 | ||||||
| 4,900 | Portfolio Recovery Associates, Inc.d | 752,787 | ||||||
| 10,200 | ProAssurance Corporation | 532,032 | ||||||
| 16,100 | Progressive Corporation | 409,262 | ||||||
| 18,400 | Protective Life Corporation | 706,744 | ||||||
| 13,892 | Public Storage, Inc. | 2,130,060 | ||||||
| 16,729 | Simon Property Group, Inc. | 2,641,844 | ||||||
| 58,500 | SLM Corporation | 1,337,310 | ||||||
| 25,200 | SPDR Gold Trustd,e | 3,002,580 | ||||||
| 120,400 | SPDR S&P 500 ETF Trust | 19,265,204 | ||||||
| 30,310 | State Street Corporation | 1,976,515 | ||||||
| 10,780 | Stewart Information Services Corporation | 282,328 | ||||||
| 53,970 | SVB Financial Groupd | 4,496,780 | ||||||
| 4,700 | T. Rowe Price Group, Inc. | 343,805 | ||||||
| 7,248 | Taubman Centers, Inc. | 544,687 | ||||||
| 39,200 | TCF Financial Corporation | 555,856 | ||||||
| 43,730 | Terreno Realty Corporation | 810,317 | ||||||
| 26,398 | Tower Group International, Ltd. | 541,423 | ||||||
| 50,800 | Vanguard Intermediate-Term Corporate Bond ETF | 4,221,480 | ||||||
| 60,500 | Visa, Inc. | 11,056,375 | ||||||
| 22,646 | Vornado Realty Trust | 1,876,221 | ||||||
| 19,834 | W.R. Berkley Corporation | 810,417 | ||||||
| 261,203 | Wells Fargo & Company | 10,779,848 | ||||||
| 151,783 | Zions Bancorporation | 4,383,493 | ||||||
|
| |||||||
| Total | 176,646,488 | |||||||
|
| |||||||
| Health Care (1.9%) | |||||||
| 12,300 | Abbott Laboratories | 429,024 | ||||||
| 2,330 | Actavis, Inc.d | 294,093 | ||||||
| 60,700 | Akorn, Inc.d | 820,664 | ||||||
| 52,440 | Align Technology, Inc.d | 1,942,378 | ||||||
| 62,500 | Allscripts Healthcare Solutions, Inc.d | 808,750 | ||||||
| 14,518 | AmerisourceBergen Corporation | 810,540 | ||||||
| 32,400 | Amgen, Inc. | 3,196,584 | ||||||
| 76,100 | Astex Pharmaceuticals, Inc.d | 312,771 | ||||||
| 29,000 | Baxter International, Inc. | 2,008,830 | ||||||
| 6,600 | Biogen Idec, Inc.d | 1,420,320 | ||||||
| 7,200 | BioMarin Pharmaceutical, Inc.d | 401,688 | ||||||
| 11,500 | Bio-Reference Laboratories, Inc.d,e | 330,625 | ||||||
| 6,801 | C.R. Bard, Inc. | 739,133 | ||||||
| 4,442 | Catamaran Corporationd | 216,414 | ||||||
| 26,200 | Celgene Corporationd | 3,063,042 | ||||||
| 3,817 | CIGNA Corporation | 276,694 | ||||||
| 42,700 | Community Health Systems, Inc. | 2,001,776 | ||||||
| 184,310 | Covidien plc | 11,582,040 | ||||||
| 21,850 | Eli Lilly and Company | 1,073,272 | ||||||
| 7,781 | ExamWorks Group, Inc.d | 165,191 | ||||||
| 234,800 | Express Scripts Holding Companyd | 14,484,812 | ||||||
| 420,400 | Gilead Sciences, Inc.d | 21,528,684 | ||||||
| 20,605 | HeartWare International, Inc.d | 1,959,742 | ||||||
| 48,751 | Hologic, Inc.d | 940,894 | ||||||
| 13,600 | Illumina, Inc.d,e | 1,017,824 | ||||||
| 29,100 | Medicines Companyd | 895,116 | ||||||
| 136,620 | Merck & Company, Inc. | 6,345,999 | ||||||
| 2,411 | Mettler-Toledo International, Inc.d | 485,093 | ||||||
| 33,500 | Neurocrine Biosciences, Inc.d | 448,230 | ||||||
| 18,183 | NuVasive, Inc.d | 450,757 | ||||||
| 3,379 | Onyx Pharmaceuticals, Inc.d | 293,365 | ||||||
| 16,000 | PAREXEL International Corporationd | 735,040 | ||||||
| 73,956 | PDL BioPharma, Inc.e | 570,940 | ||||||
| 4,700 | Perrigo Company | 568,700 | ||||||
| 15,000 | Pfizer, Inc.e | 420,150 | ||||||
| 13,000 | Questcor Pharmaceuticals, Inc.e | 590,980 | ||||||
| 55,700 | ResMed, Inc.e | 2,513,741 | ||||||
| 71,610 | Sanofi ADR | 3,688,631 | ||||||
| 16,400 | Santarus, Inc.d | 345,220 | ||||||
| 36,200 | Seattle Genetics, Inc.d,e | 1,138,852 | ||||||
| 114,600 | Shire Pharmaceuticals Group plc ADR | 10,899,606 | ||||||
| 71,020 | Spectrum Pharmaceuticals, Inc.e | 529,809 | ||||||
| 37,500 | Thoratec Corporationd | 1,174,125 | ||||||
| 26,100 | United Therapeutics Corporationd | 1,717,902 | ||||||
| 72,476 | UnitedHealth Group, Inc. | 4,745,728 | ||||||
| 12,300 | Vertex Pharmaceuticals, Inc.d | 982,401 | ||||||
| 7,200 | Waters Corporationd | 720,360 | ||||||
| 39,834 | Zimmer Holdings, Inc. | 2,985,160 | ||||||
|
| |||||||
| Total | 115,071,690 | |||||||
|
| |||||||
| Industrials (1.7%) | |||||||
| 64,130 | Actuant Corporation | 2,114,366 | ||||||
| 33,500 | Acuity Brands, Inc. | 2,529,920 | ||||||
| 78,600 | ADT Corporationd | 3,132,210 | ||||||
| 3,200 | AGCO Corporation | 160,608 | ||||||
| 14,884 | AMETEK, Inc. | 629,593 | ||||||
| 6,175 | B/E Aerospace, Inc.d | 389,519 | ||||||
| 14,578 | Briggs & Stratton Corporation | 288,644 | ||||||
| 90,997 | CSX Corporation | 2,110,221 | ||||||
| 19,800 | Deluxe Corporation | 686,070 | ||||||
| 70,200 | DigitalGlobe, Inc.d | 2,176,902 | ||||||
| 71,281 | EMCOR Group, Inc. | 2,897,573 | ||||||
| 15,600 | EnerSys, Inc. | 765,024 | ||||||
| 9,800 | Expeditors International of Washington, Inc. | 372,498 | ||||||
| 19,248 | Flowserve Corporation | 1,039,585 | ||||||
| 9,100 | Fortune Brands Home and Security, Inc. | 352,534 | ||||||
| 30,700 | Foster Wheeler AGd | 666,497 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
57
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (16.3%) | Value | ||||||
| Industrials (1.7%) - continued | |||||||
| 52,700 | GATX Corporation | $ | 2,499,561 | |||||
| 85,840 | General Electric Company | 1,990,630 | ||||||
| 5,000 | Graco, Inc. | 316,050 | ||||||
| 72,200 | HNI Corporation | 2,604,254 | ||||||
| 183,872 | Honeywell International, Inc. | 14,588,405 | ||||||
| 6,600 | Huntington Ingalls Industries, Inc. | 372,768 | ||||||
| 68,700 | Ingersoll-Rand plc | 3,814,224 | ||||||
| 255,270 | Jacobs Engineering Group, Inc.d | 14,073,035 | ||||||
| 9,030 | JB Hunt Transport Services, Inc. | 652,327 | ||||||
| 144,200 | JetBlue Airways Corporationd | 908,460 | ||||||
| 6,245 | Kansas City Southern | 661,720 | ||||||
| 39,100 | Landstar System, Inc. | 2,013,650 | ||||||
| 13,400 | Lockheed Martin Corporation | 1,453,364 | ||||||
| 30,892 | Manitowoc Company, Inc. | 553,276 | ||||||
| 61,400 | Manpower, Inc. | 3,364,720 | ||||||
| 12,800 | MRC Global, Inc.d | 353,536 | ||||||
| 50,558 | Oshkosh Corporationd | 1,919,687 | ||||||
| 9,131 | Parker Hannifin Corporation | 871,097 | ||||||
| 27,642 | Pentair, Ltd. | 1,594,667 | ||||||
| 100,500 | Pitney Bowes, Inc.e | 1,475,340 | ||||||
| 39,200 | Quanta Services, Inc.d | 1,037,232 | ||||||
| 39,200 | Republic Airways Holdings, Inc.d | 444,136 | ||||||
| 7,100 | Robert Half International, Inc. | 235,933 | ||||||
| 4,492 | Roper Industries, Inc. | 557,996 | ||||||
| 61,600 | Southwest Airlines Company | 794,024 | ||||||
| 5,705 | Stericycle, Inc.d | 630,003 | ||||||
| 21,020 | Tennant Company | 1,014,635 | ||||||
| 14,600 | Terex Corporationd | 383,980 | ||||||
| 78,700 | Union Pacific Corporation | 12,141,836 | ||||||
| 5,800 | United Rentals, Inc.d | 289,478 | ||||||
| 9,546 | United Stationers, Inc. | 320,268 | ||||||
| 95,537 | United Technologies Corporation | 8,879,209 | ||||||
| 16,900 | USG Corporationd,e | 389,545 | ||||||
| 47,300 | Wabash National Corporationd | 481,514 | ||||||
| 53,900 | Woodward, Inc. | 2,156,000 | ||||||
|
| |||||||
Total | 106,148,324 | |||||||
|
| |||||||
| Information Technology (3.0%) | |||||||
| 176,800 | Activision Blizzard, Inc. | 2,521,168 | ||||||
| 11,964 | Agilent Technologies, Inc. | 511,581 | ||||||
| 12,400 | Alliance Data Systems Corporationd,e | 2,244,772 | ||||||
| 7,766 | ANSYS, Inc.d | 567,695 | ||||||
| 28,600 | AOL, Inc.d | 1,043,328 | ||||||
| 61,907 | Apple, Inc. | 24,520,124 | ||||||
| 74,631 | Applied Materials, Inc. | 1,112,748 | ||||||
| 385,034 | Atmel Corporationd | 2,830,000 | ||||||
| 31,989 | Autodesk, Inc.d | 1,085,707 | ||||||
| 485,000 | Brocade Communications Systems, Inc.d | 2,793,600 | ||||||
| 12,600 | Ciena Corporationd,e | 244,692 | ||||||
| 237,120 | Cisco Systems, Inc. | 5,764,387 | ||||||
| 193,800 | Citrix Systems, Inc.d | 11,691,954 | ||||||
| 45,100 | Computer Sciences Corporation | 1,974,027 | ||||||
| 91,203 | CoreLogic, Inc.d | 2,113,173 | ||||||
| 19,800 | Cray, Inc.d | 388,872 | ||||||
| 8,718 | DST Systems, Inc. | 569,547 | ||||||
| 170,629 | eBay, Inc.d | 8,824,932 | ||||||
| 19,200 | Ellie Mae, Inc.d | 443,136 | ||||||
| 96,000 | ExactTarget, Inc.d | 3,237,120 | ||||||
| 6,302 | F5 Networks, Inc.d | 433,578 | ||||||
| 261,800 | Facebook, Inc.d | 6,508,348 | ||||||
| 38,000 | FLIR Systems, Inc. | 1,024,860 | ||||||
| 19,984 | Google, Inc.d | 17,593,314 | ||||||
| 25,600 | Guidewire Software, Inc.d | 1,076,480 | ||||||
| 60,500 | Informatica Corporationd | 2,116,290 | ||||||
| 208,800 | Intel Corporation | 5,057,136 | ||||||
| 34,400 | InterDigital, Inc.e | 1,535,960 | ||||||
| 19,818 | Itron, Inc.d | 840,878 | ||||||
| 15,800 | j2 Global, Inc.e | 671,658 | ||||||
| 46,624 | Juniper Networks, Inc.d | 900,309 | ||||||
| 9,414 | Lam Research Corporationd | 417,417 | ||||||
| 30,702 | Lexmark International, Inc.e | 938,560 | ||||||
| 950 | LinkedIn Corporationd | 169,385 | ||||||
| 25,800 | Mentor Graphics Corporation | 504,390 | ||||||
| 3,137 | Mercadolibre, Inc.e | 338,043 | ||||||
| 12,988 | Microchip Technology, Inc.e | 483,803 | ||||||
| 60,990 | Microsoft Corporation | 2,105,985 | ||||||
| 248,270 | NetApp, Inc.d | 9,379,641 | ||||||
| 3,656 | Nice Systems, Ltd. ADR | 134,870 | ||||||
| 16,926 | Nuance Communications, Inc.d | 311,100 | ||||||
| 126,706 | NVIDIA Corporation | 1,777,685 | ||||||
| 15,700 | NXP Semiconductors NVd | 486,386 | ||||||
| 51,466 | Plantronics, Inc. | 2,260,387 | ||||||
| 221,892 | QUALCOMM, Inc. | 13,553,163 | ||||||
| 3,517 | Red Hat, Inc.d | 168,183 | ||||||
| 89,216 | SAIC, Inc. | 1,242,779 | ||||||
| 4,300 | Skyworks Solutions, Inc.d | 94,127 | ||||||
| 43,800 | SunEdison, Inc.d | 357,846 | ||||||
| 8,200 | SunPower Corporationd | 169,740 | ||||||
| 168,840 | Symantec Corporation | 3,793,835 | ||||||
| 8,800 | Synopsys, Inc.d | 314,600 | ||||||
| 180,227 | Teradyne, Inc.d | 3,166,588 | ||||||
| 143,520 | Texas Instruments, Inc. | 5,004,542 | ||||||
| 102,222 | TriQuint Semiconductor, Inc.d | 708,398 | ||||||
| 18,247 | Unisys Corporationd | 402,711 | ||||||
| 8,821 | VeriFone Systems, Inc.d | 148,281 | ||||||
| 191,100 | Vishay Intertechnology, Inc.d | 2,654,379 | ||||||
| 175,800 | VMware, Inc.d | 11,776,842 | ||||||
| 21,300 | Western Digital Corporation | 1,322,517 | ||||||
| 68 | Workday, Inc.d | 4,358 | ||||||
| 66,593 | Xilinx, Inc. | 2,637,749 | ||||||
| 66,300 | Yahoo!, Inc.d | 1,664,793 | ||||||
|
| |||||||
Total | 180,734,457 | |||||||
|
| |||||||
| Materials (0.4%) | |||||||
| 4,600 | Airgas, Inc. | 439,116 | ||||||
| 4,900 | Albemarle Corporation | 305,221 | ||||||
| 32,100 | Axiall Corporation | 1,366,818 | ||||||
| 34,400 | Buckeye Technologies, Inc. | 1,274,176 | ||||||
| 28,625 | Celanese Corporation | 1,282,400 | ||||||
| 9,100 | CF Industries Holdings, Inc. | 1,560,650 | ||||||
| 35,600 | Cliffs Natural Resources, Inc.e | 578,500 | ||||||
| 34,100 | Dow Chemical Company | 1,096,997 | ||||||
| 23,200 | Eagle Materials, Inc. | 1,537,464 | ||||||
| 4,592 | FMC Corporation | 280,387 | ||||||
| 35,700 | H.B. Fuller Company | 1,349,817 | ||||||
| 6,330 | Innophos Holdings, Inc. | 298,586 | ||||||
| 32,200 | Mosaic Company | 1,732,682 | ||||||
| 5,369 | Newmont Mining Corporation | 160,802 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
58
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (16.3%) | Value | ||||||
| Materials (0.4%) - continued | |||||||
| 25,370 | Nucor Corporation | $ | 1,099,028 | |||||
| 24,300 | Owens-Illinois, Inc.d | 675,297 | ||||||
| 12,774 | Silgan Holdings, Inc. | 599,867 | ||||||
| 5,686 | Silver Wheaton Corporation | 111,844 | ||||||
| 67,127 | Southern Copper Corporation | 1,854,048 | ||||||
| 57,230 | Steel Dynamics, Inc. | 853,299 | ||||||
| 66,500 | SunCoke Energy, Inc.d | 932,330 | ||||||
| 148,500 | Teck Resources, Ltd. | 3,173,445 | ||||||
| 32,900 | Walter Energy, Inc.e | 342,160 | ||||||
|
| |||||||
| Total | 22,904,934 | |||||||
|
| |||||||
| Telecommunications Services (0.1%) | |||||||
| 117,500 | AT&T, Inc. | 4,159,500 | ||||||
| 2,056 | SBA Communications Corporationd | 152,391 | ||||||
| 7,705 | TW Telecom, Inc.d | 216,819 | ||||||
| 41,806 | Verizon Communications, Inc. | 2,104,514 | ||||||
|
| |||||||
| Total | 6,633,224 | |||||||
|
| |||||||
| Utilities (0.3%) | |||||||
| 109,100 | Calpine Corporationd | 2,316,193 | ||||||
| 30,100 | CMS Energy Corporation | 817,817 | ||||||
| 79,490 | NiSource, Inc. | 2,276,594 | ||||||
| 75,400 | NRG Energy, Inc. | 2,013,180 | ||||||
| 74,000 | PG&E Corporation | 3,384,020 | ||||||
| 87,300 | PNM Resources, Inc. | 1,937,187 | ||||||
| 21,300 | Public Service Enterprise Group, Inc. | 695,658 | ||||||
| 44,500 | Southern Company | 1,963,785 | ||||||
| 41,461 | Southwest Gas Corporation | 1,939,960 | ||||||
| 32,400 | Wisconsin Energy Corporation | 1,328,076 | ||||||
|
| |||||||
| Total | 18,672,470 | |||||||
|
| |||||||
Total Common Stock (cost $864,405,786) | 985,495,885 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (15.4%) | |||||||
| Asset-Backed Securities (0.6%) | |||||||
| Access Group, Inc. | ||||||||
| 1,347,788 | 0.693%, 2/25/2036f,g | 1,322,737 | ||||||
| Ally Auto Receivables Trust 2013-SN1 | ||||||||
| 1,680,000 | 0.720%, 5/20/2016 | 1,679,350 | ||||||
| Avis Budget Rental Car Funding AESOP, LLC | ||||||||
| 828,520 | 2.370%, 11/20/2014f | 842,119 | ||||||
| Chesapeake Funding, LLC | ||||||||
| 3,000,000 | 0.643%, 1/7/2025f,g | 2,996,700 | ||||||
| Countrywide Asset-Backed Certificates | ||||||||
| 2,500,000 | 5.530%, 4/25/2047 | 2,329,335 | ||||||
| DT Auto Owner Trust | ||||||||
| 840,000 | 0.750%, 5/16/2016f | 838,814 | ||||||
| Edlinc Student Loan Funding Trust | ||||||||
| 143,617 | 3.262%, 10/1/2025g,h | 144,335 | ||||||
| FirstEnergy Ohio PIRB Special Purpose Trust 2013 | ||||||||
| 1,680,000 | 0.679%, 1/15/2019 | 1,675,987 | ||||||
| FNA Trust | ||||||||
| 1,288,799 | 1.980%, 1/10/2018f | 1,277,522 | ||||||
| GE Dealer Floorplan Master Note Trust | ||||||||
| 1,680,000 | 0.592%, 4/20/2018g | 1,672,417 | ||||||
| GE Equipment Transportation, LLC | ||||||||
| 1,400,000 | 0.690%, 11/25/2016 | 1,393,508 | ||||||
| Golden Credit Card Trust | ||||||||
| 150,000 | 0.443%, 2/15/2018f,g | 149,880 | ||||||
| Hyundai Auto Receivables Trust | ||||||||
| 1,680,000 | 0.820%, 9/15/2017 | 1,677,825 | ||||||
| Hyundai Floorplan Master Owner Trust | ||||||||
| 1,890,000 | 0.543%, 5/15/2018f,g | 1,881,799 | ||||||
| Master Credit Card Trust | ||||||||
| 1,139,600 | 0.780%, 4/21/2017f | 1,131,125 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 3,226,340 | 0.343%, 2/25/2037g | 1,724,243 | ||||||
| Motor plc | ||||||||
| 2,240,000 | 0.699%, 2/15/2021f,g | 2,241,086 | ||||||
| Nationstar Mortgage Advance Receivable Trust | ||||||||
| 1,680,000 | 1.080%, 6/20/2044f | 1,678,197 | ||||||
| Nissan Master Owner Trust Receivables | ||||||||
| 250,000 | 0.493%, 2/15/2018g | 248,675 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 6,500,000 | 6.011%, 5/25/2036 | 4,664,426 | ||||||
| 3,802,507 | 5.580%, 11/25/2036 | 2,308,403 | ||||||
| Santander Drive Auto Receivables Trust | ||||||||
| 1,400,000 | 0.700%, 9/15/2017 | 1,395,426 | ||||||
| SLM Student Loan Trust | ||||||||
| 114,839 | 0.793%, 8/15/2022f,g | 114,150 | ||||||
| 125,000 | 1.243%, 5/17/2027f,g | 122,314 | ||||||
| Volvo Financial Equipment, LLC | ||||||||
| 1,400,000 | 0.740%, 3/15/2017f | 1,393,622 | ||||||
| World Financial Network Credit Card Master Trust | ||||||||
| 1,400,000 | 0.910%, 3/16/2020 | 1,389,394 | ||||||
| World Omni Master Owner Trust | ||||||||
| 150,000 | 0.543%, 2/15/2018f,g | 149,245 | ||||||
|
| |||||||
| Total | 38,442,634 | |||||||
|
| |||||||
| Basic Materials (0.1%) | |||||||
| Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| 1,110,000 | 2.375%, 3/15/2018f | 1,055,694 | ||||||
| Glencore Funding, LLC | ||||||||
| 600,000 | 1.700%, 5/27/2016f | 581,827 | ||||||
| 840,000 | 1.574%, 1/15/2019f,g | 780,708 | ||||||
| International Paper Company | ||||||||
| 560,000 | 5.300%, 4/1/2015 | 598,378 | ||||||
| LyondellBasell Industries NV | ||||||||
| 980,000 | 6.000%, 11/15/2021 | 1,101,232 | ||||||
| Rio Tinto Finance USA plc | ||||||||
| 588,000 | 1.375%, 6/17/2016 | 584,460 | ||||||
| 588,000 | 2.250%, 12/14/2018 | 571,397 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
59
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Basic Materials (0.1%) - continued | |||||||
| Xstrata Finance Canada, Ltd. | ||||||||
| $ 1,444,000 | 1.800%, 10/23/2015f | $ | 1,444,455 | |||||
|
| |||||||
| Total | 6,718,151 | |||||||
|
| |||||||
| Capital Goods (0.1%) | |||||||
| BAE Systems plc | ||||||||
| 640,000 | 3.500%, 10/11/2016f | 669,537 | ||||||
| Eaton Corporation | ||||||||
| 300,000 | 1.500%, 11/2/2017f | 291,215 | ||||||
| 450,000 | 4.000%, 11/2/2032f | 420,742 | ||||||
| Ingersoll-Rand Global Holding Company, Ltd. | ||||||||
| 294,000 | 2.875%, 1/15/2019f | 290,025 | ||||||
| John Deere Capital Corporation | ||||||||
| 840,000 | 0.404%, 1/12/2015g | 839,626 | ||||||
| Northrop Grumman Corporation | ||||||||
| 948,000 | 1.750%, 6/1/2018 | 919,493 | ||||||
| Roper Industries, Inc. | ||||||||
| 885,000 | 2.050%, 10/1/2018 | 867,997 | ||||||
| Textron, Inc. | ||||||||
| 785,000 | 5.600%, 12/1/2017 | 860,804 | ||||||
| United Technologies Corporation | ||||||||
| 915,000 | 6.125%, 7/15/2038 | 1,115,396 | ||||||
|
| |||||||
| Total | 6,274,835 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (0.9%) | |||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 1,438,303 | 5.500%, 11/25/2035 | 1,291,289 | ||||||
| CitiMortgage Alternative Loan Trust | ||||||||
| 4,734,022 | 5.750%, 4/25/2037 | 4,244,354 | ||||||
| Commercial Mortgage Pass Through Certificates | ||||||||
| 1,680,000 | 1.243%, 6/8/2030f,g | 1,670,222 | ||||||
| Countrywide Alternative Loan Trust | ||||||||
| 3,592,460 | 5.090%, 10/25/2035 | 2,974,230 | ||||||
| 1,998,760 | 6.000%, 4/25/2036 | 1,602,657 | ||||||
| 928,527 | 6.000%, 1/25/2037 | 736,759 | ||||||
| 5,461,596 | 5.500%, 5/25/2037 | 4,523,709 | ||||||
| 4,224,440 | 7.000%, 10/25/2037 | 2,875,361 | ||||||
| Countrywide Home Loans, Inc. | ||||||||
| 1,940,780 | 5.750%, 4/25/2037 | 1,726,640 | ||||||
| Deutsche Alt-A Securities Mortgage Loan Trust | ||||||||
| 672,452 | 5.500%, 10/25/2021 | 693,525 | ||||||
| Deutsche Alt-A Securities, Inc. | ||||||||
| 1,564,024 | 6.000%, 10/25/2021 | 1,472,588 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 6,276,691 | 3.000%, 2/15/2033i | 892,447 | ||||||
| Federal National Mortgage Association | ||||||||
| 13,687,362 | 3.500%, 1/25/2033i | 2,207,606 | ||||||
| GSR Mortgage Loan Trust | ||||||||
| 1,916,555 | 0.383%, 8/25/2046g | 1,780,610 | ||||||
| HomeBanc Mortgage Trust | ||||||||
| 2,344,808 | 2.455%, 4/25/2037 | 1,571,863 | ||||||
| J.P. Morgan Mortgage Trust | ||||||||
| 1,088,081 | 2.783%, 6/25/2036 | 858,965 | ||||||
| 428,554 | 2.968%, 10/25/2036 | 338,594 | ||||||
| 5,626,952 | 0.573%, 1/25/2037g | 3,479,662 | ||||||
| 5,645,041 | 6.250%, 8/25/2037 | 3,894,610 | ||||||
| MASTR Alternative Loans Trust | ||||||||
| 1,038,180 | 6.500%, 7/25/2034 | 1,102,251 | ||||||
| 3,250,215 | 0.643%, 12/25/2035g | 1,664,634 | ||||||
| Merrill Lynch Alternative Note Asset Trust | ||||||||
| 1,107,131 | 6.000%, 3/25/2037 | 972,885 | ||||||
| Residential Asset Securitization Trust | ||||||||
| 4,255,756 | 0.573%, 8/25/2037g | 1,355,590 | ||||||
| Sequoia Mortgage Trust | ||||||||
| 890,828 | 3.898%, 9/20/2046 | 119,142 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 414,853 | 2.658%, 9/25/2036 | 336,371 | ||||||
| 1,483,053 | 2.727%, 10/25/2036 | 1,218,909 | ||||||
| 4,089,389 | 2.379%, 11/25/2036 | 3,351,720 | ||||||
|
| |||||||
| Total | 48,957,193 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (0.9%) | |||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| 7,200,000 | 5.793%, 4/10/2049 | 8,067,377 | ||||||
| 4,975,000 | 5.857%, 6/10/2049 | 5,570,746 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 3,500,000 | 5.331%, 2/11/2044 | 3,832,217 | ||||||
| Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 3,000,000 | 5.322%, 12/11/2049 | 3,302,508 | ||||||
| Credit Suisse First Boston Mortgage Securities | ||||||||
| 7,200,000 | 5.542%, 1/15/2049 | 7,972,711 | ||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 8,875,000 | 5.509%, 9/15/2039 | 9,524,464 | ||||||
| Federal Home Loan Mortgage Corporation Multi Family Structured Pass Thru Certificates | ||||||||
| 247,165 | 0.727%, 12/25/2016 | 245,033 | ||||||
| Government National Mortgage Association | ||||||||
| 269,764 | 2.164%, 3/16/2033 | 271,988 | ||||||
| 194,898 | 3.214%, 1/16/2040 | 200,629 | ||||||
| Greenwich Capital Commercial Funding Corporation | ||||||||
| 4,650,000 | 5.867%, 12/10/2049 | 4,981,368 | ||||||
| J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 1,120,000 | 0.893%, 4/15/2028f,g | 1,116,172 | ||||||
| 3,650,000 | 5.901%, 2/12/2049 | 3,955,202 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
60
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Commercial Mortgage-Backed Securities (0.9%) - continued | |||||||
| Morgan Stanley Capital, Inc. | ||||||||
| $ 2,650,000 | 5.406%, 3/15/2044 | $ | 2,839,109 | |||||
| Wachovia Bank Commercial Mortgage Trust | ||||||||
| 5,400,000 | 5.603%, 10/15/2048 | 5,844,884 | ||||||
|
| |||||||
| Total | 57,724,408 | |||||||
|
| |||||||
| Communications Services (0.3%) | |||||||
| American Tower Corporation | ||||||||
| 1,015,000 | 5.050%, 9/1/2020 | 1,066,656 | ||||||
| AT&T, Inc. | ||||||||
| 1,375,000 | 2.400%, 8/15/2016 | 1,417,023 | ||||||
| 885,000 | 5.800%, 2/15/2019 | 1,026,428 | ||||||
| British Telecommunications plc | ||||||||
| 588,000 | 1.625%, 6/28/2016 | 590,579 | ||||||
| CBS Corporation | ||||||||
| 600,000 | 8.875%, 5/15/2019 | 773,246 | ||||||
| CC Holdings GS V, LLC | ||||||||
| 300,000 | 2.381%, 12/15/2017 | 295,235 | ||||||
| Comcast Corporation | ||||||||
| 375,000 | 4.650%, 7/15/2042 | 359,599 | ||||||
| Crown Castle Towers, LLC | ||||||||
| 540,000 | 4.174%, 8/15/2017f | 570,704 | ||||||
| DIRECTV Holdings, LLC | ||||||||
| 600,000 | 2.400%, 3/15/2017 | 602,900 | ||||||
| 600,000 | 1.750%, 1/15/2018 | 579,254 | ||||||
| 632,000 | 5.875%, 10/1/2019 | 711,251 | ||||||
| NBC Universal Enterprise, Inc. | ||||||||
| 840,000 | 0.965%, 4/15/2018f,g | 847,311 | ||||||
| 620,000 | 1.974%, 4/15/2019f | 603,419 | ||||||
| NBCUniversal Media, LLC | ||||||||
| 879,000 | 2.875%, 4/1/2016 | 918,762 | ||||||
| Nippon Telegraph & Telephone Corporation | ||||||||
| 584,000 | 1.400%, 7/18/2017 | 574,199 | ||||||
| SBA Tower Trust | ||||||||
| 575,000 | 5.101%, 4/17/2017f | 628,875 | ||||||
| Telefonica Emisiones SAU | ||||||||
| 584,000 | 3.729%, 4/27/2015 | 601,468 | ||||||
| 960,000 | 3.192%, 4/27/2018 | 929,864 | ||||||
| 316,000 | 5.462%, 2/16/2021 | 325,778 | ||||||
| Verizon Communications, Inc. | ||||||||
| 453,000 | 1.100%, 11/1/2017 | 438,328 | ||||||
| 640,000 | 5.500%, 2/15/2018 | 728,819 | ||||||
| Vodafone Group plc | ||||||||
| 450,000 | 0.659%, 2/19/2016g | 450,305 | ||||||
|
| |||||||
| Total | 15,040,003 | |||||||
|
| |||||||
| Consumer Cyclical (0.2%) | |||||||
| Amazon.com, Inc. | ||||||||
| 300,000 | 1.200%, 11/29/2017 | 290,140 | ||||||
| 600,000 | 2.500%, 11/29/2022 | 544,657 | ||||||
| American Honda Finance Corporation | ||||||||
| 1,120,000 | 0.648%, 5/26/2016f,g | 1,118,227 | ||||||
| Federated Retail Holdings, Inc. | ||||||||
| 357,000 | 5.900%, 12/1/2016 | 405,536 | ||||||
| Ford Motor Company | ||||||||
| 465,000 | 7.450%, 7/16/2031 | 556,705 | ||||||
| Ford Motor Credit Company, LLC | ||||||||
| 945,000 | 12.000%, 5/15/2015 | 1,114,322 | ||||||
| 840,000 | 1.525%, 5/9/2016g | 845,872 | ||||||
| 765,000 | 1.700%, 5/9/2016 | 752,519 | ||||||
| 775,000 | 2.375%, 1/16/2018 | 746,206 | ||||||
| 594,000 | 5.000%, 5/15/2018 | 633,456 | ||||||
| Gap, Inc. | ||||||||
| 775,000 | 5.950%, 4/12/2021 | 857,172 | ||||||
| General Motors Financial Company, Inc. | ||||||||
| 620,000 | 2.750%, 5/15/2016f | 609,925 | ||||||
| Hyundai Capital America | ||||||||
| 604,000 | 1.625%, 10/2/2015f | 602,045 | ||||||
| Macy’s Retail Holdings, Inc. | ||||||||
| 300,000 | 3.875%, 1/15/2022 | 300,783 | ||||||
| Toll Brothers Finance Corporation | ||||||||
| 620,000 | 8.910%, 10/15/2017e | 734,700 | ||||||
| 310,000 | 4.375%, 4/15/2023 | 288,300 | ||||||
| Toyota Motor Credit Corporation | ||||||||
| 1,120,000 | 0.564%, 5/17/2016g | 1,118,082 | ||||||
| 380,000 | 1.750%, 5/22/2017 | 378,683 | ||||||
| TRW Automotive, Inc. | ||||||||
| 360,000 | 7.250%, 3/15/2017f | 407,700 | ||||||
| Wal-Mart Stores, Inc. | ||||||||
| 840,000 | 0.600%, 4/11/2016 | 834,388 | ||||||
| 875,000 | 1.125%, 4/11/2018 | 849,173 | ||||||
| Western Union Company | ||||||||
| 600,000 | 2.375%, 12/10/2015 | 610,600 | ||||||
|
| |||||||
| Total | 14,599,191 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.5%) | |||||||
| AbbVie, Inc. | ||||||||
| 300,000 | 1.750%, 11/6/2017f | 293,915 | ||||||
| 450,000 | 2.000%, 11/6/2018f | 436,332 | ||||||
| Altria Group, Inc. | ||||||||
| 750,000 | 9.700%, 11/10/2018 | 997,055 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 1,030,000 | 7.750%, 1/15/2019 | 1,302,778 | ||||||
| Avon Products, Inc. | ||||||||
| 870,000 | 2.375%, 3/15/2016 | 877,050 | ||||||
| Baxter International, Inc. | ||||||||
| 948,000 | 1.850%, 6/15/2018 | 940,322 | ||||||
| Boston Scientific Corporation | ||||||||
| 620,000 | 4.500%, 1/15/2015 | 648,646 | ||||||
| 775,000 | 6.000%, 1/15/2020 | 877,205 | ||||||
| Bunge Limited Finance Corporation | ||||||||
| 294,000 | 3.200%, 6/15/2017 | 300,772 | ||||||
| 450,000 | 8.500%, 6/15/2019 | 555,391 | ||||||
| Celgene Corporation | ||||||||
| 900,000 | 1.900%, 8/15/2017 | 893,539 | ||||||
| ConAgra Foods, Inc. | ||||||||
| 900,000 | 1.900%, 1/25/2018 | 884,773 | ||||||
| CVS Caremark Corporation | ||||||||
| 385,000 | 6.125%, 9/15/2039 | 449,901 | ||||||
| Express Scripts Holding Company | ||||||||
| 588,000 | 3.125%, 5/15/2016 | 611,435 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
61
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| 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 | $ | 474,315 | |||||
| 653,000 | 3.050%, 12/1/2016 | 690,234 | ||||||
| Heineken NV | ||||||||
| 300,000 | 1.400%, 10/1/2017f | 291,481 | ||||||
| Laboratory Corporation of America Holdings | ||||||||
| 588,000 | 2.200%, 8/23/2017 | 583,783 | ||||||
| Lorillard Tobacco Company | ||||||||
| 584,000 | 2.300%, 8/21/2017 | 576,656 | ||||||
| Mallinckrodt International Finance SA | ||||||||
| 680,000 | 3.500%, 4/15/2018f | 672,218 | ||||||
| Mattel, Inc. | ||||||||
| 600,000 | 1.700%, 3/15/2018 | 586,070 | ||||||
| McKesson Corporation | ||||||||
| 300,000 | 0.950%, 12/4/2015 | 299,198 | ||||||
| Medco Health Solutions, Inc. | ||||||||
| 900,000 | 7.125%, 3/15/2018 | 1,084,224 | ||||||
| Medtronic, Inc. | ||||||||
| 930,000 | 1.375%, 4/1/2018 | 904,110 | ||||||
| Merck & Company, Inc. | ||||||||
| 1,120,000 | 0.634%, 5/18/2018g | 1,117,847 | ||||||
| Mylan, Inc. | ||||||||
| 1,600,000 | 1.800%, 6/24/2016f | 1,595,653 | ||||||
| 600,000 | 7.875%, 7/15/2020f | 692,369 | ||||||
| PepsiCo, Inc. | ||||||||
| 840,000 | 0.483%, 2/26/2016g | 841,323 | ||||||
| Pernod-Ricard SA | ||||||||
| 632,000 | 2.950%, 1/15/2017f | 646,669 | ||||||
| 474,000 | 5.750%, 4/7/2021f | 526,565 | ||||||
| Roche Holdings, Inc. | ||||||||
| 310,000 | 7.000%, 3/1/2039f | 417,502 | ||||||
| SABMiller Holdings, Inc. | ||||||||
| 960,000 | 2.450%, 1/15/2017f | 975,233 | ||||||
| 735,000 | 3.750%, 1/15/2022f | 747,999 | ||||||
| Safeway, Inc. | ||||||||
| 310,000 | 3.400%, 12/1/2016 | 323,151 | ||||||
| 625,000 | 5.000%, 8/15/2019 | 663,371 | ||||||
| 320,000 | 4.750%, 12/1/2021e | 326,027 | ||||||
| Teva Pharmaceutical Finance Company BV | ||||||||
| 930,000 | 2.400%, 11/10/2016 | 957,437 | ||||||
| Tyson Foods, Inc. | ||||||||
| 760,000 | 4.500%, 6/15/2022 | 776,586 | ||||||
| Zoetis, Inc. | ||||||||
| 450,000 | 1.875%, 2/1/2018f | 440,528 | ||||||
|
| |||||||
| Total | 27,279,663 | |||||||
|
| |||||||
| Energy (0.3%) | |||||||
| BP Capital Markets plc | ||||||||
| 840,000 | 1.846%, 5/5/2017 | 841,026 | ||||||
| 906,000 | 1.375%, 11/6/2017 | 882,090 | ||||||
| 600,000 | 4.500%, 10/1/2020 | 650,933 | ||||||
| Chevron Corporation | ||||||||
| 870,000 | 0.889%, 6/24/2016e | 871,140 | ||||||
| 1,176,000 | 1.718%, 6/24/2018 | 1,165,184 | ||||||
| 588,000 | 2.427%, 6/24/2020 | 584,649 | ||||||
| CNOOC, Ltd. | ||||||||
| 1,025,000 | 1.125%, 5/9/2016 | 1,008,395 | ||||||
| 300,000 | 1.750%, 5/9/2018 | 286,955 | ||||||
| EQT Corporation | ||||||||
| 770,000 | 8.125%, 6/1/2019 | 938,748 | ||||||
| Hess Corporation | ||||||||
| 900,000 | 8.125%, 2/15/2019 | 1,128,134 | ||||||
| Lukoil International Finance BV | ||||||||
| 775,000 | 3.416%, 4/24/2018f | 753,687 | ||||||
| Marathon Oil Corporation | ||||||||
| 906,000 | 0.900%, 11/1/2015 | 900,972 | ||||||
| Marathon Petroleum Corporation | ||||||||
| 584,000 | 3.500%, 3/1/2016 | 613,032 | ||||||
| Murphy Oil Corporation | ||||||||
| 450,000 | 2.500%, 12/1/2017 | 443,828 | ||||||
| Petrobras Global Finance BV | ||||||||
| 1,264,000 | 2.000%, 5/20/2016 | 1,237,754 | ||||||
| Pioneer Natural Resources Company | ||||||||
| 294,000 | 5.875%, 7/15/2016 | 327,878 | ||||||
| Sinopec Capital 2013, Ltd. | ||||||||
| 930,000 | 1.250%, 4/24/2016f | 920,025 | ||||||
| Suncor Energy, Inc. | ||||||||
| 519,000 | 6.100%, 6/1/2018 | 605,024 | ||||||
| Transocean, Inc. | ||||||||
| 292,000 | 5.050%, 12/15/2016 | 317,528 | ||||||
| 1,009,000 | 6.000%, 3/15/2018 | 1,130,727 | ||||||
| 310,000 | 6.375%, 12/15/2021 | 348,429 | ||||||
| Valero Energy Corporation | ||||||||
| 465,000 | 9.375%, 3/15/2019 | 609,725 | ||||||
| Weatherford International, Ltd. | ||||||||
| 932,000 | 6.750%, 9/15/2040 | 964,221 | ||||||
|
| |||||||
| Total | 17,530,084 | |||||||
|
| |||||||
| Financials (1.9%) | |||||||
| Achmea Hypotheekbank NV | ||||||||
| 371,000 | 3.200%, 11/3/2014f | 385,098 | ||||||
| American Express Company | ||||||||
| 1,120,000 | 0.863%, 5/22/2018g | 1,118,541 | ||||||
| American Express Credit Corporation | ||||||||
| 380,000 | 2.375%, 3/24/2017 | 387,935 | ||||||
| American International Group, Inc. | ||||||||
| 1,355,000 | 2.375%, 8/24/2015 | 1,376,374 | ||||||
| 1,346,000 | 3.800%, 3/22/2017 | 1,411,033 | ||||||
| American Tower Trust I | ||||||||
| 310,000 | 1.551%, 3/15/2018f | 304,630 | ||||||
| ANZ National International, Ltd. of London | ||||||||
| 1,007,000 | 3.125%, 8/10/2015e,f | 1,047,080 | ||||||
| ANZ New Zealand International, Ltd. | ||||||||
| 840,000 | 1.125%, 3/24/2016f | 833,440 | ||||||
| Associated Banc Corporation | ||||||||
| 294,000 | 1.875%, 3/12/2014 | 294,517 | ||||||
| Bank Nederlandse Gemeenten NV | ||||||||
| 840,000 | 1.375%, 3/19/2018f | 822,444 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
62
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Financials (1.9%) - continued | |||||||
| Bank of America Corporation | ||||||||
| $ 1,214,000 | 7.750%, 8/15/2015 | $ | 1,343,433 | |||||
| 590,000 | 5.750%, 8/15/2016 | 641,133 | ||||||
| 1,360,000 | 5.750%, 12/1/2017 | 1,511,470 | ||||||
| 880,000 | 2.000%, 1/11/2018 | 852,380 | ||||||
| 1,770,000 | 1.343%, 3/22/2018g | 1,751,541 | ||||||
| 595,000 | 5.650%, 5/1/2018 | 661,034 | ||||||
| 620,000 | 5.700%, 1/24/2022 | 688,228 | ||||||
| Bank of Montreal | ||||||||
| 840,000 | 0.879%, 4/9/2018g | 838,044 | ||||||
| Bank of Nova Scotia | ||||||||
| 840,000 | 0.673%, 3/15/2016g | 839,561 | ||||||
| 620,000 | 0.950%, 3/15/2016 | 617,132 | ||||||
| BB&T Corporation | ||||||||
| 294,000 | 1.133%, 6/15/2018g | 294,280 | ||||||
| 588,000 | 2.050%, 6/19/2018 | 579,439 | ||||||
| BBVA Banco Continental SA | ||||||||
| 960,000 | 2.250%, 7/29/2016f | 931,200 | ||||||
| BBVA US Senior SAU | ||||||||
| 450,000 | 4.664%, 10/9/2015 | 463,555 | ||||||
| Berkshire Hathaway Finance Corporation | ||||||||
| 780,000 | 1.600%, 5/15/2017 | 776,721 | ||||||
| 840,000 | 1.300%, 5/15/2018 | 812,375 | ||||||
| BNP Paribas SA | ||||||||
| 894,000 | 2.375%, 9/14/2017 | 885,060 | ||||||
| Canadian Imperial Bank of Commerce | ||||||||
| 610,000 | 2.600%, 7/2/2015f | 632,875 | ||||||
| Capital One Financial Corporation | ||||||||
| 604,000 | 2.150%, 3/23/2015 | 613,517 | ||||||
| 560,000 | 0.723%, 3/22/2016g | 556,255 | ||||||
| 300,000 | 6.150%, 9/1/2016 | 334,774 | ||||||
| Cigna Corporation | ||||||||
| 625,000 | 4.000%, 2/15/2022 | 641,639 | ||||||
| Citigroup, Inc. | ||||||||
| 2,085,000 | 5.000%, 9/15/2014 | 2,166,788 | ||||||
| 1,015,000 | 4.750%, 5/19/2015 | 1,073,465 | ||||||
| 1,451,000 | 6.000%, 8/15/2017 | 1,634,959 | ||||||
| 991,000 | 8.500%, 5/22/2019 | 1,248,687 | ||||||
| 600,000 | 4.050%, 7/30/2022 | 576,664 | ||||||
| CNA Financial Corporation | ||||||||
| 870,000 | 7.350%, 11/15/2019 | 1,053,405 | ||||||
| Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
| 840,000 | 0.753%, 3/18/2016g | 841,813 | ||||||
| 550,000 | 3.950%, 11/9/2022 | 525,950 | ||||||
| Credit Agricole SA | ||||||||
| 775,000 | 1.625%, 4/15/2016f | 769,079 | ||||||
| Credit Suisse AG | ||||||||
| 930,000 | 5.400%, 1/14/2020 | 1,007,600 | ||||||
| DDR Corporation | ||||||||
| 775,000 | 9.625%, 3/15/2016 | 922,868 | ||||||
| Discover Financial Services | ||||||||
| 1,170,000 | 6.450%, 6/12/2017 | 1,329,112 | ||||||
| DnB Boligkreditt AS | ||||||||
| 1,120,000 | 1.450%, 3/21/2018f | 1,087,408 | ||||||
| Eksportfinans ASA | ||||||||
| 390,000 | 3.000%, 11/17/2014 | 390,000 | ||||||
| 548,000 | 5.500%, 5/25/2016e | 570,879 | ||||||
| Fifth Third Bancorp | ||||||||
| 671,000 | 5.450%, 1/15/2017 | 735,329 | ||||||
| General Electric Capital Corporation | ||||||||
| 600,000 | 1.000%, 12/11/2015 | 599,104 | ||||||
| 900,000 | 0.480%, 1/8/2016g | 894,848 | ||||||
| 385,000 | 1.145%, 5/9/2016g | 389,882 | ||||||
| 285,000 | 1.600%, 11/20/2017e | 278,213 | ||||||
| 310,000 | 0.994%, 4/2/2018e,g | 311,295 | ||||||
| 2,025,000 | 6.000%, 8/7/2019 | 2,350,891 | ||||||
| 840,000 | 1.273%, 3/15/2023g | 832,393 | ||||||
| 767,000 | 6.750%, 3/15/2032 | 919,652 | ||||||
| Genworth Financial, Inc. | ||||||||
| 750,000 | 6.515%, 5/22/2018e | 828,979 | ||||||
| Goldman Sachs Group, Inc. | ||||||||
| 1,350,000 | 3.700%, 8/1/2015 | 1,406,508 | ||||||
| 1,443,000 | 0.723%, 3/22/2016g | 1,421,851 | ||||||
| 620,000 | 2.375%, 1/22/2018 | 608,736 | ||||||
| 840,000 | 1.476%, 4/30/2018g | 832,228 | ||||||
| 775,000 | 7.500%, 2/15/2019 | 920,370 | ||||||
| 900,000 | 5.250%, 7/27/2021 | 962,909 | ||||||
| Hartford Financial Services Group, Inc. | ||||||||
| 841,000 | 4.000%, 10/15/2017 | 891,822 | ||||||
| 600,000 | 5.125%, 4/15/2022 | 652,870 | ||||||
| HCP, Inc. | ||||||||
| 130,000 | 6.300%, 9/15/2016 | 147,654 | ||||||
| 294,000 | 6.000%, 1/30/2017 | 329,804 | ||||||
| 265,000 | 6.700%, 1/30/2018 | 310,168 | ||||||
| 780,000 | 2.625%, 2/1/2020 | 730,707 | ||||||
| Health Care REIT, Inc. | ||||||||
| 995,000 | 4.700%, 9/15/2017 | 1,081,204 | ||||||
| 300,000 | 2.250%, 3/15/2018 | 294,550 | ||||||
| HSBC Bank plc | ||||||||
| 1,120,000 | 0.915%, 5/15/2018f,g | 1,119,994 | ||||||
| HSBC Finance Corporation | ||||||||
| 620,000 | 6.676%, 1/15/2021 | 685,440 | ||||||
| HSBC USA, Inc. | ||||||||
| 620,000 | 1.625%, 1/16/2018 | 604,880 | ||||||
| ING Bank NV | ||||||||
| 460,000 | 2.000%, 9/25/2015f | 463,901 | ||||||
| 604,000 | 3.750%, 3/7/2017f | 632,171 | ||||||
| ING Capital Funding Trust III | ||||||||
| 600,000 | 3.884%, 12/29/2049g,j | 576,000 | ||||||
| ING US, Inc. | ||||||||
| 645,000 | 2.900%, 2/15/2018f | 648,246 | ||||||
| International Lease Finance Corporation | ||||||||
| 720,000 | 2.224%, 6/15/2016g | 714,600 | ||||||
| Intesa Sanpaolo SPA | ||||||||
| 400,000 | 3.125%, 1/15/2016 | 393,303 | ||||||
| J.P. Morgan Chase & Company | ||||||||
| 560,000 | 0.726%, 4/23/2015g | 558,699 | ||||||
| 600,000 | 1.125%, 2/26/2016 | 591,191 | ||||||
| 1,044,000 | 3.450%, 3/1/2016 | 1,088,982 | ||||||
| 1,306,000 | 2.000%, 8/15/2017 | 1,296,134 | ||||||
| 1,250,000 | 1.176%, 1/25/2018g | 1,247,250 | ||||||
| 415,000 | 1.800%, 1/25/2018 | 401,455 | ||||||
| 930,000 | 7.900%, 4/30/2018j | 1,050,900 | ||||||
| 930,000 | 6.300%, 4/23/2019 | 1,080,379 | ||||||
| 320,000 | 3.200%, 1/25/2023 | 303,778 | ||||||
| 310,000 | 3.375%, 5/1/2023 | 288,660 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
63
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Financials (1.9%) - continued | |||||||
| J.P. Morgan Chase Bank NA | ||||||||
| $ 815,000 | 0.602%, 6/13/2016g | $ | 800,651 | |||||
| KeyBank NA | ||||||||
| 985,000 | 7.413%, 5/6/2015 | 1,087,426 | ||||||
| Liberty Mutual Group, Inc. | ||||||||
| 292,000 | 4.950%, 5/1/2022f | 299,792 | ||||||
| 316,000 | 6.500%, 5/1/2042f | 338,098 | ||||||
| Liberty Property, LP | ||||||||
| 830,000 | 5.500%, 12/15/2016 | 916,309 | ||||||
| 300,000 | 3.375%, 6/15/2023 | 278,224 | ||||||
| Lloyds TSB Bank plc | ||||||||
| 600,000 | 6.500%, 9/14/2020f | 639,670 | ||||||
| Merrill Lynch & Company, Inc. | ||||||||
| 620,000 | 6.400%, 8/28/2017 | 700,082 | ||||||
| Mizuho Corporate Bank, Ltd. | ||||||||
| 590,000 | 1.850%, 3/21/2018f | 572,704 | ||||||
| Morgan Stanley | ||||||||
| 588,000 | 4.750%, 4/1/2014e | 600,777 | ||||||
| 300,000 | 1.523%, 2/25/2016g | 299,154 | ||||||
| 300,000 | 1.750%, 2/25/2016 | 297,201 | ||||||
| 1,140,000 | 4.750%, 3/22/2017 | 1,209,148 | ||||||
| 630,000 | 6.250%, 8/28/2017 | 702,508 | ||||||
| 560,000 | 1.556%, 4/25/2018e,g | 549,231 | ||||||
| 1,350,000 | 5.500%, 1/26/2020 | 1,449,072 | ||||||
| 632,000 | 4.875%, 11/1/2022 | 624,353 | ||||||
| 800,000 | 4.100%, 5/22/2023 | 739,135 | ||||||
| Murray Street Investment Trust I | ||||||||
| 1,638,000 | 4.647%, 3/9/2017 | 1,734,213 | ||||||
| Nederlandse Waterschapsbank NV | ||||||||
| 1,120,000 | 0.750%, 3/29/2016f | 1,113,683 | ||||||
| Nomura Holdings, Inc. | ||||||||
| 840,000 | 1.722%, 9/13/2016g | 838,967 | ||||||
| 1,290,000 | 2.000%, 9/13/2016 | 1,275,605 | ||||||
| Nordea Eiendomskreditt AS | ||||||||
| 840,000 | 2.125%, 9/22/2016f | 857,988 | ||||||
| Prologis, LP | ||||||||
| 320,000 | 6.625%, 5/15/2018 | 368,320 | ||||||
| 960,000 | 7.375%, 10/30/2019 | 1,155,309 | ||||||
| Prudential Covered Trust | ||||||||
| 756,000 | 2.997%, 9/30/2015f | 780,132 | ||||||
| Prudential Financial, Inc. | ||||||||
| 600,000 | 4.500%, 11/15/2020e | 639,517 | ||||||
| 525,000 | 5.625%, 6/15/2043 | 514,500 | ||||||
| Realty Income Corporation | ||||||||
| 302,000 | 2.000%, 1/31/2018 | 293,046 | ||||||
| Regions Bank | ||||||||
| 1,423,000 | 7.500%, 5/15/2018 | 1,659,797 | ||||||
| Reinsurance Group of America, Inc. | ||||||||
| 570,000 | 5.625%, 3/15/2017 | 626,985 | ||||||
| 302,000 | 5.000%, 6/1/2021 | 323,604 | ||||||
| Royal Bank of Canada | ||||||||
| 840,000 | 0.644%, 3/8/2016g | 841,348 | ||||||
| Royal Bank of Scotland Group plc | ||||||||
| 773,000 | 5.050%, 1/8/2015 | 774,932 | ||||||
| 600,000 | 2.550%, 9/18/2015 | 610,055 | ||||||
| 300,000 | 6.125%, 12/15/2022 | 285,471 | ||||||
| Santander US Debt SAU | ||||||||
| 720,000 | 3.724%, 1/20/2015f | 726,739 | ||||||
| Simon Property Group, Inc. | ||||||||
| 600,000 | 1.500%, 2/1/2018f | 577,915 | ||||||
| Simon Property Group, LP | ||||||||
| 620,000 | 10.350%, 4/1/2019 | 858,658 | ||||||
| SLM Corporation | ||||||||
| 480,000 | 3.875%, 9/10/2015 | 484,825 | ||||||
| 300,000 | 6.250%, 1/25/2016 | 318,000 | ||||||
| Societe Generale SA | ||||||||
| 580,000 | 5.200%, 4/15/2021e,f | 612,347 | ||||||
| SpareBank 1 Boligkreditt AS | ||||||||
| 1,120,000 | 1.250%, 5/2/2018f | 1,068,032 | ||||||
| Svensk Exportkredit AB | ||||||||
| 1,120,000 | 1.125%, 4/5/2018 | 1,088,554 | ||||||
| Svenska Handelsbanken AB | ||||||||
| 840,000 | 0.722%, 3/21/2016g | 840,011 | ||||||
| 600,000 | 3.125%, 7/12/2016 | 630,120 | ||||||
| 370,000 | 1.625%, 3/21/2018 | 360,308 | ||||||
| Swedbank Hypotek AB | ||||||||
| 1,120,000 | 1.375%, 3/28/2018e,f | 1,082,592 | ||||||
| Swiss RE Capital I, LP | ||||||||
| 750,000 | 6.854%, 5/29/2049f,j | 774,375 | ||||||
| Toronto-Dominion Bank | ||||||||
| 470,000 | 2.200%, 7/29/2015f | 484,429 | ||||||
| UBS AG London | ||||||||
| 1,120,000 | 0.750%, 3/24/2016f | 1,107,885 | ||||||
| UBS AG/Stamford, Connecticut | ||||||||
| 351,000 | 5.875%, 12/20/2017 | 403,738 | ||||||
| Ventas Realty, LP | ||||||||
| 620,000 | 2.700%, 4/1/2020 | 586,235 | ||||||
| Wachovia Corporation | ||||||||
| 1,400,000 | 5.625%, 10/15/2016 | 1,573,554 | ||||||
| 840,000 | 0.543%, 6/15/2017g | 825,708 | ||||||
| WellPoint, Inc. | ||||||||
| 632,000 | 1.875%, 1/15/2018 | 618,819 | ||||||
| Wells Fargo & Company | ||||||||
| 561,000 | 2.100%, 5/8/2017 | 563,006 | ||||||
| 620,000 | 1.500%, 1/16/2018 | 604,702 | ||||||
| 600,000 | 3.450%, 2/13/2023 | 573,021 | ||||||
|
| |||||||
| Total | 116,483,925 | |||||||
|
| |||||||
| Foreign Government (0.1%) | |||||||
| Asian Development Bank | ||||||||
| 1,120,000 | 0.500%, 6/20/2016 | 1,111,376 | ||||||
| Costa Rica Government International Bond | ||||||||
| 552,000 | 4.250%, 1/26/2023f | 510,600 | ||||||
| Denmark Government International Bond | ||||||||
| 1,120,000 | 0.375%, 4/25/2016f | 1,107,904 | ||||||
| Export-Import Bank of Korea | ||||||||
| 600,000 | 1.250%, 11/20/2015 | 593,140 | ||||||
| International Finance Corporation | ||||||||
| 275,000 | 0.500%, 5/16/2016 | 273,131 | ||||||
| Kommunalbanken AS | ||||||||
| 300,000 | 2.750%, 5/5/2015f | 312,141 | ||||||
| 1,120,000 | 0.353%, 3/18/2016f,g | 1,119,411 | ||||||
| Kommuninvest i Sverige AB | ||||||||
| 1,120,000 | 0.500%, 6/15/2016f | 1,106,274 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
64
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Foreign Government (0.1%) - continued | |||||||
| Sweden Government International Bond | ||||||||
| $ 200,000 | 0.375%, 12/22/2015f | $ | 198,640 | |||||
| 2,120,000 | 0.375%, 3/29/2016f | 2,101,132 | ||||||
|
| |||||||
| Total | 8,433,749 | |||||||
|
| |||||||
| Mortgage-Backed Securities (3.7%) | |||||||
| Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 28,600,000 | 2.500%, 7/1/2028c | 28,743,000 | ||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 28,275,000 | 3.000%, 7/1/2043c | 27,559,289 | ||||||
| Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 28,525,000 | 2.500%, 7/1/2028c | 28,689,909 | ||||||
| Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 28,137,500 | 3.000%, 7/1/2043c | 27,491,215 | ||||||
| 55,675,000 | 3.500%, 7/1/2043c | 56,518,821 | ||||||
| 52,937,500 | 4.000%, 7/1/2043c | 55,148,054 | ||||||
|
| |||||||
| Total | 224,150,288 | |||||||
|
| |||||||
| Technology (0.1%) | |||||||
| Apple, Inc. | ||||||||
| 1,120,000 | 0.523%, 5/3/2018g | 1,115,200 | ||||||
| 310,000 | 2.400%, 5/3/2023 | 287,514 | ||||||
| Computer Sciences Corporation | ||||||||
| 442,000 | 2.500%, 9/15/2015 | 450,636 | ||||||
| EMC Corporation | ||||||||
| 1,106,000 | 1.875%, 6/1/2018 | 1,093,284 | ||||||
| Hewlett-Packard Company | ||||||||
| 588,000 | 2.125%, 9/13/2015 | 595,107 | ||||||
| 669,000 | 2.600%, 9/15/2017 | 668,123 | ||||||
| 620,000 | 3.750%, 12/1/2020 | 600,135 | ||||||
| Intel Corporation | ||||||||
| 600,000 | 4.000%, 12/15/2032 | 557,177 | ||||||
| Oracle Corporation | ||||||||
| 604,000 | 1.200%, 10/15/2017 | 586,617 | ||||||
| Samsung Electronics America, Inc. | ||||||||
| 600,000 | 1.750%, 4/10/2017f | 594,301 | ||||||
| Tyco Electronics Group SA | ||||||||
| 1,029,000 | 6.550%, 10/1/2017 | 1,191,170 | ||||||
| Xerox Corporation | ||||||||
| 588,000 | 7.200%, 4/1/2016 | 665,952 | ||||||
|
| |||||||
| Total | 8,405,216 | |||||||
|
| |||||||
| Transportation (0.1%) | |||||||
| Canadian Pacific Railway Company | ||||||||
| 405,000 | 7.125%, 10/15/2031 | 500,786 | ||||||
| 490,000 | 5.750%, 3/15/2033 | 534,574 | ||||||
| Continental Airlines, Inc. | ||||||||
| 390,000 | 4.150%, 4/11/2024 | 382,200 | ||||||
| CSX Corporation | ||||||||
| 671,000 | 6.250%, 4/1/2015 | 733,080 | ||||||
| Delta Air Lines, Inc. | ||||||||
| 882,000 | 6.750%, 5/23/2017 | 922,837 | ||||||
| 144,644 | 4.750%, 5/7/2020 | 151,514 | ||||||
| ERAC USA Finance, LLC | ||||||||
| 604,000 | 1.400%, 4/15/2016f | 599,509 | ||||||
| Kansas City Southern de Mexico SA de CV | ||||||||
| 620,000 | 2.350%, 5/15/2020f | 599,823 | ||||||
|
| |||||||
| Total | 4,424,323 | |||||||
|
| |||||||
| U.S. Government and Agencies (3.3%) | |||||||
| FDIC Structured Sale Guaranteed Notes | ||||||||
| 240,000 | Zero Coupon, 1/7/2014f | 239,486 | ||||||
| Federal Agricultural Mortgage Corporation | ||||||||
| 465,000 | 2.125%, 9/15/2015 | 480,733 | ||||||
| Federal Home Loan Banks | ||||||||
| 6,840,000 | 0.375%, 6/24/2016 | 6,763,153 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 3,535,000 | 1.375%, 5/1/2020e | 3,349,610 | ||||||
| Federal National Mortgage Association | ||||||||
| 1,400,000 | 0.595%, 8/25/2015 | 1,397,638 | ||||||
| 750,000 | 4.375%, 10/15/2015 | 814,852 | ||||||
| 3,640,000 | 0.375%, 7/5/2016e | 3,596,178 | ||||||
| 2,400,000 | 1.375%, 11/15/2016 | 2,432,990 | ||||||
| 2,290,000 | 0.875%, 5/21/2018 | 2,213,198 | ||||||
| 540,000 | 6.250%, 5/15/2029 | 701,985 | ||||||
| Tennessee Valley Authority | ||||||||
| 520,000 | 5.250%, 9/15/2039 | 585,066 | ||||||
| U.S. Treasury Bonds | ||||||||
| 1,215,000 | 7.625%, 2/15/2025 | 1,824,398 | ||||||
| 4,750,000 | 5.250%, 11/15/2028 | 6,038,437 | ||||||
| 2,975,000 | 4.375%, 5/15/2040 | 3,489,116 | ||||||
| 12,410,000 | 3.000%, 5/15/2042 | 11,312,484 | ||||||
| 2,488,000 | 2.875%, 5/15/2043 | 2,201,880 | ||||||
| U.S. Treasury Bonds, TIPS | ||||||||
| 129,542 | 2.375%, 1/15/2025 | 154,318 | ||||||
| 91,456 | 2.125%, 2/15/2040 | 111,147 | ||||||
| U.S. Treasury Notes | ||||||||
| 235,000 | 0.250%, 4/30/2014 | 235,156 | ||||||
| 5,555,000 | 0.750%, 6/15/2014 | 5,584,292 | ||||||
| 32,665,000 | 0.375%, 2/15/2016 | 32,519,543 | ||||||
| 1,785,000 | 2.625%, 2/29/2016 | 1,882,757 | ||||||
| 1,225,000 | 1.000%, 10/31/2016 | 1,232,274 | ||||||
| 4,350,000 | 3.250%, 3/31/2017 | 4,715,670 | ||||||
| 725,000 | 0.625%, 5/31/2017 | 713,445 | ||||||
| 21,250,000 | 1.000%, 5/31/2018 | 20,884,755 | ||||||
| 45,000,000 | 1.375%, 1/31/2020 | 43,748,460 | ||||||
| 6,910,000 | 1.625%, 8/15/2022 | 6,482,983 | ||||||
| 2,200,000 | 1.750%, 5/15/2023 | 2,060,436 | ||||||
| U.S. Treasury Notes, TIPS | ||||||||
| 30,583,586 | 0.125%, 4/15/2018 | 31,372,092 | ||||||
| 791,159 | 0.125%, 1/15/2022 | 774,904 | ||||||
| 3,052,752 | 0.125%, 1/15/2023 | 2,959,979 | ||||||
|
| |||||||
| Total | 202,873,415 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
65
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| U.S. Municipals (2.0%) | |||||||
| Buckeye Tobacco Settlement Financing Authority Tobacco Settlement Bonds | ||||||||
| $ 4,410,000 | 5.125%, 6/1/2024 | $ | 3,973,013 | |||||
| California Various Purpose General Obligation Bonds | ||||||||
| 3,832,000 | 5.000%, 9/1/2036 | 4,006,548 | ||||||
| 1,916,000 | 5.000%, 4/1/2042 | 1,984,497 | ||||||
| 1,916,000 | 5.000%, 2/1/2043 | 1,988,291 | ||||||
| Dallas/Fort Worth International Airport Joint Revenue Improvement Bonds | ||||||||
| 7,665,000 | 5.000%, 11/1/2038 | 7,577,619 | ||||||
| Los Angeles Department of Water and Power Power System Revenue Bonds | ||||||||
| 9,581,000 | 5.000%, 7/1/2043 | 9,975,258 | ||||||
| Massachusetts Bay Transportation Authority Assessment Bonds | ||||||||
| 5,705,000 | 5.000%, 7/1/2041 | 6,039,541 | ||||||
| Massachusetts Development Finance Agency Revenue Bonds (Boston University) | ||||||||
| 5,461,000 | 5.000%, 10/1/2048 | 5,623,956 | ||||||
| Massachusetts School Building Authority Sales Tax Bonds | ||||||||
| 7,665,000 | 5.000%, 5/15/2043c | 8,155,790 | ||||||
| Metropolitan Transportation Authority Transportation Revenue Bonds | ||||||||
| 7,665,000 | 5.000%, 11/15/2043 | 7,820,140 | ||||||
| Miami-Dade County Expressway Authority Toll System Refunding Revenue Bonds | ||||||||
| 3,258,000 | 5.000%, 7/1/2040 | 3,341,046 | ||||||
| New Jersey Transportation Trust Fund Authority Transportation System Bonds | ||||||||
| 9,581,000 | 5.000%, 6/15/2042 | 9,866,418 | ||||||
| New Jersey Turnpike Authority Turnpike Revenue Bonds | ||||||||
| 3,065,000 | 5.000%, 1/1/2043 | 3,175,033 | ||||||
| New York City Municipal Water Finance Authority Water and Sewer System Revenue Bonds | ||||||||
| 7,665,000 | 5.000%, 6/15/2047 | 8,007,012 | ||||||
| New York City Transitional Finance Authority Future Tax Bonds | ||||||||
| 7,157,000 | 5.000%, 5/1/2042 | 7,595,939 | ||||||
| New York State Dormitory Authority Personal Income Tax Revenue Bonds | ||||||||
| 4,599,000 | 5.000%, 3/15/2042 | 4,837,136 | ||||||
| North Texas Tollway Authority System Current Interest Revenue Refunding Bonds | ||||||||
| 7,665,000 | 5.000%, 1/1/2042 | 7,824,509 | ||||||
| San Diego County Regional Airport Authority Airport Revenue Bonds | ||||||||
| 6,611,000 | 5.000%, 7/1/2038 | 6,714,991 | ||||||
| South Carolina Public Service Authority Revenue Obligation Bonds (Santee Cooper) | ||||||||
| 7,665,000 | 5.000%, 12/1/2043 | 7,983,481 | ||||||
| University of Massachusetts Building Authority Project Revenue Bonds | ||||||||
| 6,132,000 | 5.000%, 11/1/2039 | 6,463,435 | ||||||
|
| |||||||
| Total | 122,953,653 | |||||||
|
| |||||||
| Utilities (0.3%) | |||||||
| American Electric Power Company, Inc. | ||||||||
| 600,000 | 1.650%, 12/15/2017 | 583,276 | ||||||
| DCP Midstream Operating, LP | ||||||||
| 300,000 | 2.500%, 12/1/2017 | 296,131 | ||||||
| Duke Energy Corporation | ||||||||
| 948,000 | 2.100%, 6/15/2018 | 942,132 | ||||||
| Enel Finance International NV | ||||||||
| 773,000 | 3.875%, 10/7/2014f | 791,536 | ||||||
| 474,000 | 6.250%, 9/15/2017f | 520,016 | ||||||
| Energy Transfer Partners, LP | ||||||||
| 310,000 | 9.700%, 3/15/2019 | 402,310 | ||||||
| 876,000 | 4.650%, 6/1/2021 | 906,552 | ||||||
| Enterprise Products Operating, LLC | ||||||||
| 876,000 | 1.250%, 8/13/2015 | 878,875 | ||||||
| Exelon Corporation | ||||||||
| 790,000 | 4.900%, 6/15/2015 | 845,497 | ||||||
| Exelon Generation Company, LLC | ||||||||
| 930,000 | 5.200%, 10/1/2019 | 1,022,724 | ||||||
| Iberdrola Finance Ireland, Ltd. | ||||||||
| 540,000 | 3.800%, 9/11/2014f | 553,948 | ||||||
| ITC Holdings Corporation | ||||||||
| 746,000 | 5.875%, 9/30/2016f | 832,678 | ||||||
| 294,000 | 4.050%, 7/1/2023c | 294,523 | ||||||
| Kinder Morgan Energy Partners, LP | ||||||||
| 938,000 | 5.300%, 9/15/2020 | 1,041,548 | ||||||
| 588,000 | 5.000%, 8/15/2042 | 554,707 | ||||||
| MidAmerican Energy Holdings Company | ||||||||
| 588,000 | 6.500%, 9/15/2037 | 698,235 | ||||||
| NextEra Energy Capital Holdings, Inc. | ||||||||
| 882,000 | 1.200%, 6/1/2015 | 886,463 | ||||||
| NiSource Finance Corporation | ||||||||
| 900,000 | 6.800%, 1/15/2019 | 1,064,970 | ||||||
| Northeast Utilities | ||||||||
| 465,000 | 1.450%, 5/1/2018 | 451,343 | ||||||
| ONEOK Partners, LP | ||||||||
| 640,000 | 8.625%, 3/1/2019 | 810,362 | ||||||
| Pacific Gas & Electric Company | ||||||||
| 841,000 | 5.625%, 11/30/2017 | 971,986 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
66
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Utilities (0.3%) - continued | |||||||
| PPL Capital Funding, Inc. | ||||||||
| $ 1,200,000 | 1.900%, 6/1/2018 | $ | 1,178,768 | |||||
| 300,000 | 3.500%, 12/1/2022 | 287,000 | ||||||
| Sempra Energy | ||||||||
| 891,000 | 6.150%, 6/15/2018 | 1,040,950 | ||||||
| Williams Partners, LP | ||||||||
| 294,000 | 7.250%, 2/1/2017 | 341,692 | ||||||
|
| |||||||
| Total | 18,198,222 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $940,085,145) | 937,438,053 | |||||||
|
| |||||||
| Shares | Collateral Held for Securities Loaned (0.9%) | |||||||
| 52,463,197 | Thrivent Cash Management Trust | 52,463,197 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $52,463,197) | 52,463,197 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (23.2%) | |||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 18,000,000 | 0.060%, 7/9/2013k | 17,999,700 | ||||||
| 29,500,000 | 0.055%, 7/10/2013k,l | 29,499,508 | ||||||
| 18,500,000 | 0.060%, 7/12/2013k | 18,499,582 | ||||||
| 50,000,000 | 0.070%, 7/17/2013k | 49,998,250 | ||||||
| 50,000,000 | 0.050%, 7/19/2013k | 49,998,611 | ||||||
| 188,000,000 | 0.061%, 7/31/2013k | 187,989,751 | ||||||
| 34,000,000 | 0.063%, 8/2/2013k | 33,997,969 | ||||||
| 100,000,000 | 0.070%, 8/7/2013k | 99,992,417 | ||||||
| 149,300,000 | 0.070%, 8/9/2013k | 149,288,154 | ||||||
| 150,000,000 | 0.067%, 8/14/2013k | 149,987,222 | ||||||
| 85,000,000 | 0.072%, 8/16/2013k | 84,991,833 | ||||||
| 39,700,000 | 0.090%, 9/11/2013k | 39,692,686 | ||||||
| 35,000,000 | 0.080%, 9/17/2013k | 34,993,778 | ||||||
| 6,000,000 | 0.090%, 9/18/2013k | 5,998,785 | ||||||
| 17,900,000 | 0.093%, 11/22/2013k,l | 17,893,249 | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 50,000,000 | 0.065%, 7/29/2013k | 49,997,292 | ||||||
| 50,000,000 | 0.060%, 8/19/2013k | 49,995,750 | ||||||
| 20,000,000 | 0.060%, 8/26/2013k,l | 19,998,067 | ||||||
| 3,000,000 | 0.060%, 9/3/2013k | 2,999,670 | ||||||
| 27,000,000 | 0.105%, 11/6/2013k | 26,989,762 | ||||||
| 26,000,000 | 0.095%, 12/2/2013k,l | 25,989,297 | ||||||
| 100,000 | 0.110%, 12/3/2013k,l | 99,952 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 12,000,000 | 0.050%, 7/31/2013k | 11,999,467 | ||||||
| 150,000,000 | 0.065%, 8/14/2013k | 149,987,542 | ||||||
| 68,000,000 | 0.062%, 8/21/2013k | 67,993,817 | ||||||
| 20,000,000 | 0.063%, 8/28/2013k | 19,997,900 | ||||||
| 10,000,000 | 0.100%, 9/25/2013k | 9,997,555 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 1,406,867,566 | |||||||
|
| |||||||
| Total Investments (cost $6,168,941,466) 105.8% | $ | 6,417,787,167 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (5.8%) | (349,752,525 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 6,068,034,642 | ||||||
|
| |||||||
| 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 | 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 June 28, 2013, the value of these investments was $71,159,635 or 1.2% of total net assets. |
| 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 June 28, 2013. |
| 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 Moderate Allocation Portfolio owned as of June 28, 2013. |
Security | Acquisition Date | Cost | ||||||
Edlinc Student Loan Funding | ||||||||
Trust | 2/28/2013 | $ | 144,848 | |||||
| i | Denotes interest only security. Interest only securities represent the right to receive monthly interest payments on an underlying pool of mortgages or assets. The principal shown is the outstanding par amount of the pool as of the end of the period. The actual effective yield of the security is different than the stated coupon rate. |
| j | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| k | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| l | At June 28, 2013, $49,182,363 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.
67
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
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 | $ | 339,445,754 | ||
Gross unrealized depreciation | (94,993,748 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 244,452,006 | ||
Cost for federal income tax purposes | $ | 6,173,335,161 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
68
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 17,220,790 | — | 17,220,790 | — | ||||||||||||
Capital Goods | 10,366,774 | — | 10,366,774 | — | ||||||||||||
Communications Services | 103,003,358 | — | 103,003,358 | — | ||||||||||||
Consumer Cyclical | 36,630,916 | — | 36,630,916 | — | ||||||||||||
Consumer Non-Cyclical | 35,674,623 | — | 35,674,623 | — | ||||||||||||
Energy | 9,053,803 | — | 9,053,803 | — | ||||||||||||
Financials | 12,409,880 | — | 12,409,880 | — | ||||||||||||
Technology | 16,780,051 | — | 16,780,051 | — | ||||||||||||
Transportation | 10,739,480 | — | 10,739,480 | — | ||||||||||||
Utilities | 9,819,756 | — | 9,819,756 | — | ||||||||||||
Mutual Funds | ||||||||||||||||
Equity Mutual Funds | 1,585,656,605 | 1,585,656,605 | — | — | ||||||||||||
Fixed Income Mutual Funds | 1,187,115,530 | 1,187,115,530 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 154,895,240 | 154,895,240 | — | — | ||||||||||||
Consumer Staples | 72,117,256 | 64,183,750 | 7,933,506 | — | ||||||||||||
Energy | 131,671,802 | 131,671,802 | — | — | ||||||||||||
Financials | 176,646,488 | 176,646,488 | — | — | ||||||||||||
Health Care | 115,071,690 | 115,071,690 | — | — | ||||||||||||
Industrials | 106,148,324 | 106,148,324 | — | — | ||||||||||||
Information Technology | 180,734,457 | 180,734,457 | — | — | ||||||||||||
Materials | 22,904,934 | 22,904,934 | — | — | ||||||||||||
Telecommunications Services | 6,633,224 | 6,633,224 | — | — | ||||||||||||
Utilities | 18,672,470 | 18,672,470 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 38,442,634 | — | 38,298,299 | 144,335 | ||||||||||||
Basic Materials | 6,718,151 | — | 6,718,151 | — | ||||||||||||
Capital Goods | 6,274,835 | — | 6,274,835 | — | ||||||||||||
Collateralized Mortgage Obligations | 48,957,193 | — | 47,286,971 | 1,670,222 | ||||||||||||
Commercial Mortgage-Backed Securities | 57,724,408 | — | 57,724,408 | — | ||||||||||||
Communications Services | 15,040,003 | — | 15,040,003 | — | ||||||||||||
Consumer Cyclical | 14,599,191 | — | 14,599,191 | — | ||||||||||||
Consumer Non-Cyclical | 27,279,663 | — | 27,279,663 | — | ||||||||||||
Energy | 17,530,084 | — | 17,530,084 | — | ||||||||||||
Financials | 116,483,925 | — | 116,483,925 | — | ||||||||||||
Foreign Government | 8,433,749 | — | 8,433,749 | — | ||||||||||||
Mortgage-Backed Securities | 224,150,288 | — | 224,150,288 | — | ||||||||||||
Technology | 8,405,216 | — | 8,405,216 | — | ||||||||||||
Transportation | 4,424,323 | — | 4,424,323 | — | ||||||||||||
U.S. Government and Agencies | 202,877,415 | — | 202,877,415 | — | ||||||||||||
U.S. Municipals | 122,953,653 | — | 122,953,653 | — | ||||||||||||
Utilities | 18,198,222 | — | 18,198,222 | — | ||||||||||||
Collateral Held for Securities Loaned | 52,463,197 | 52,463,197 | — | — | ||||||||||||
Short-Term Investments | 1,406,867,566 | — | 1,406,867,566 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $6,417,787,167 | $3,802,797,711 | $2,613,174,899 | $1,814,557 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
69
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 2,837,966 | 2,837,966 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 2,837,966 | $ | 2,837,966 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 31,696,929 | 21,083,893 | 10,613,036 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 31,696,929 | $ | 21,083,893 | $ | 10,613,036 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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 | (295 | ) | September 2013 | ($ | 65,014,336 | ) | ($ | 64,900,000 | ) | $ | 114,336 | |||||||||
5-Yr. U.S. Treasury Bond Futures | (775 | ) | September 2013 | (95,528,500 | ) | (93,811,332 | ) | 1,717,168 | ||||||||||||
10-Yr. U.S. Treasury Bond Futures | (230 | ) | September 2013 | (30,010,706 | ) | (29,109,375 | ) | 901,331 | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | 1,150 | September 2013 | 163,591,008 | 156,220,313 | (7,370,695 | ) | ||||||||||||||
Eurex EURO STOXX 50 Futures | 8,212 | September 2013 | 288,315,585 | 277,702,549 | (10,613,036 | ) | ||||||||||||||
Mini MSCI EAFE Index Futures | 881 | September 2013 | 75,485,772 | 72,228,785 | (3,256,987 | ) | ||||||||||||||
Russell 2000 Index Mini-Futures | 122 | September 2013 | 11,786,209 | 11,891,340 | 105,131 | |||||||||||||||
S&P 400 Index Mini-Futures | (527 | ) | September 2013 | (60,583,446 | ) | (61,021,330 | ) | (437,884 | ) | |||||||||||
S&P 500 Index Futures | 1,161 | September 2013 | 474,215,152 | 464,196,825 | (10,018,327 | ) | ||||||||||||||
Total Futures Contracts | ($ | 28,858,963 | ) | |||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 28, 2013, 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 | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 2,732,835 | ||||
Total Interest Rate Contracts | 2,732,835 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 105,131 | ||||
Total Equity Contracts | 105,131 | |||||
|
| |||||
Total Asset Derivatives | $ | 2,837,966 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 7,370,695 | ||||
Total Interest Rate Contracts | 7,370,695 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 24,326,234 | ||||
Total Equity Contracts | 24,326,234 | |||||
|
| |||||
Total Liability Derivatives | $ | 31,696,929 | ||||
|
| |||||
| * | 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.
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Moderate Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 28, 2013, 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 | ||||||
| Options Written | Net realized gains/(losses) on Written option contracts | 170,479 | ||||
Futures | Net realized gains/(losses) on Futures contracts | 72,394,541 | ||||
Total Equity Contracts | 72,565,020 | |||||
| Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (337,533 | ) | |||
Total Foreign Exchange Contracts | (337,533 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (6,362,979 | ) | |||
Total Interest Rate Contracts | (6,362,979 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (3,687,468 | ) | |||
Total Credit Contracts | (3,687,468) | |||||
|
| |||||
Total | $ | 62,177,040 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 28, 2013, 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 | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (2,364,665 | ) | |||
Total Interest Rate Contracts | (2,364,665 | ) | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (15,847,625 | ) | |||
Total Equity Contracts | (15,847,625 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (713,911 | ) | |||
Total Credit Contracts | (713,911 | ) | ||||
|
| |||||
Total | ($ | 18,926,201 | ) | |||
|
| |||||
The following table presents Moderate Allocation Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
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) | Options (Contracts) | |||||||||||||||||||||
Equity Contracts | $ | 863,023,446 | 14.8 | % | N/A | N/A | N/A | N/A | 14 | |||||||||||||||||||
Interest Rate Contracts | 363,882,200 | 6.3 | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 34,757 | <0.1 | % | N/A | N/A | N/A | |||||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 70,101,097 | 1.2 | % | 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.
71
Table of Contents
Moderate Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Partner Small Cap Growth | $ | 79,055,103 | $ | 1,974,115 | $ | — | 5,821,599 | $ | 90,567,203 | $ | — | |||||||||||||
Partner Small Cap Value | 90,308,232 | 2,508,142 | — | 4,368,749 | 103,522,303 | 1,989,735 | ||||||||||||||||||
Small Cap Stock | 47,193,950 | 198,597 | — | 3,609,909 | 54,077,520 | 198,597 | ||||||||||||||||||
Partner Mid Cap Value | 86,604,747 | 5,362,381 | — | 6,230,477 | 99,911,934 | 997,949 | ||||||||||||||||||
Mid Cap Stock | 152,496,820 | 661,497 | — | 11,698,088 | 173,036,951 | 661,497 | ||||||||||||||||||
Partner Worldwide Allocation | 459,697,332 | 129,990 | — | 53,352,913 | 461,934,852 | 129,990 | ||||||||||||||||||
Large Cap Value | 313,363,721 | 5,488,510 | — | 26,506,659 | 362,849,648 | 5,488,510 | ||||||||||||||||||
Large Cap Stock | 187,027,872 | 2,481,588 | — | 20,525,262 | 207,424,198 | 2,481,588 | ||||||||||||||||||
Equity Income Plus | 29,226,201 | 682,883 | — | 3,039,607 | 32,331,996 | 682,883 | ||||||||||||||||||
High Yield | 183,561,939 | 5,760,593 | 30,804 | 37,476,610 | 185,318,089 | 5,760,593 | ||||||||||||||||||
Income | 662,868,511 | 13,099,876 | 38,686,250 | 59,122,887 | 609,048,511 | 11,714,189 | ||||||||||||||||||
Limited Maturity Bond | 431,474,553 | 2,992,078 | 37,192,411 | 40,024,961 | 392,748,930 | 2,992,078 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | 46,692,956 | 183,328,628 | 177,558,387 | 52,463,197 | 52,463,197 | 312,764 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | 834,029,047 | 898,289,256 | 1,732,318,303 | — | — | 396,155 | ||||||||||||||||||
Total Value and Income Earned | 3,603,600,984 | 2,825,235,332 | 33,806,528 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
72
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Bank Loans (4.5%)a | Value | ||||||
| Basic Materials (0.3%) | |||||||
| Alpha Natural Resources, Inc., Term Loan | ||||||||
| $ 1,500,000 | 3.504%, 5/22/2020 | $ | 1,456,875 | |||||
| Arch Coal, Inc., Term Loan | ||||||||
| 1,738,584 | 5.750%, 5/16/2018 | 1,729,352 | ||||||
| FMG Resources August 2006 Pty., Ltd., Term Loan | ||||||||
| 1,473,862 | 5.250%, 10/18/2017 | 1,463,958 | ||||||
| Ineos Group Holdings, Ltd., Term Loan | ||||||||
| 2,335,090 | 4.000%, 5/4/2018 | 2,284,746 | ||||||
| Tronox Pigments BV, Term Loan | ||||||||
| 690,000 | 4.500%, 3/19/2020 | 692,194 | ||||||
| US Coatings Acquisition, Inc., Term Loan | ||||||||
| 1,610,963 | 4.750%, 2/1/2020 | 1,609,561 | ||||||
|
| |||||||
| Total | 9,236,686 | |||||||
|
| |||||||
| Capital Goods (0.2%) | |||||||
| ADS Waste Holdings, Term Loan | ||||||||
| 1,810,900 | 4.250%, 10/9/2019 | 1,803,204 | ||||||
| Berry Plastics Group, Inc., Term Loan | ||||||||
| 3,461,325 | 3.500%, 2/8/2020 | 3,419,997 | ||||||
| Silver II Borrower, Term Loan | ||||||||
| 920,375 | 4.000%, 12/13/2019 | 912,128 | ||||||
|
| |||||||
| Total | 6,135,329 | |||||||
|
| |||||||
| Communications Services (1.7%) | |||||||
| Atlantic Broadband Penn, LLC, Term Loan | ||||||||
| 1,032,200 | 3.250%, 11/30/2019 | 1,026,781 | ||||||
| Cequel Communications, LLC, Term Loan | ||||||||
| 1,147,096 | 3.500%, 2/14/2019 | 1,136,520 | ||||||
| Charter Communications Operating, LLC, Term Loan | ||||||||
| 460,000 | 0.000%, 4/10/2020b,c | 453,891 | ||||||
| 2,250,000 | 3.000%, 12/31/2020 | 2,227,815 | ||||||
| Clear Channel Communications, Inc., Term Loan | ||||||||
| 675,516 | 3.845%, 1/29/2016 | 615,990 | ||||||
| 1,992,484 | 6.945%, 1/30/2019 | 1,812,044 | ||||||
| Cricket Communications, Inc., Term Loan | ||||||||
| 258,700 | 4.750%, 10/10/2019 | 255,898 | ||||||
| 1,965,000 | 4.750%, 3/8/2020 | 1,945,959 | ||||||
| Cumulus Media Holdings, Inc., Term Loan | ||||||||
| 1,814,879 | 4.500%, 9/17/2018 | 1,814,116 | ||||||
| Fairpoint Communications, Term Loan | ||||||||
| 2,304,225 | 7.500%, 2/14/2019 | 2,252,380 | ||||||
| Grande Communications Networks, LLC, Term Loan | ||||||||
| 1,360,000 | 4.500%, 5/29/2020 | 1,351,500 | ||||||
| Hargray Communications Group, Inc., Term Loan | ||||||||
| 1,935,000 | 0.000%, 6/25/2019b,c | 1,927,744 | ||||||
| Integra Telecom Holdings, Inc., Term Loan | ||||||||
| 1,365,000 | 0.000%, 2/22/2019b,c | 1,364,317 | ||||||
| Integra Telecom Inc., Term Loan | ||||||||
| 460,000 | 9.750%, 2/21/2020 | 470,350 | ||||||
| Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 1,303,218 | 4.250%, 4/2/2018 | 1,303,218 | ||||||
| Level 3 Financing, Inc., Term Loan | ||||||||
| 2,540,000 | 4.750%, 8/1/2019 | 2,537,612 | ||||||
| Liberty Cablevision of Puerto Rico, Ltd., Term Loan | ||||||||
| 1,287,000 | 6.000%, 6/9/2017 | 1,283,782 | ||||||
| LTS Buyer, LLC, Term Loan | ||||||||
| 1,035,000 | 4.500%, 4/13/2020b,c | 1,026,596 | ||||||
| 115,000 | 8.000%, 4/12/2021 | 115,000 | ||||||
| MCC Georgia, LLC, Term Loan | ||||||||
| 1,032,200 | 4.000%, 1/20/2020 | 1,034,141 | ||||||
| McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
| 1,835,400 | 9.000%, 3/22/2019 | 1,802,822 | ||||||
| NEP Broadcasting, LLC, Term Loan | ||||||||
| 3,433,900 | 4.750%, 1/22/2020b,c | 3,448,219 | ||||||
| 134,286 | 9.500%, 7/22/2020 | 137,307 | ||||||
| NTELOS, Inc., Term Loan | ||||||||
| 681,575 | 5.750%, 11/9/2019 | 671,917 | ||||||
| SBA Senior Finance II, LLC, Term Loan | ||||||||
| 285,925 | 3.750%, 9/28/2019 | 286,162 | ||||||
| Syniverse Holdings, Inc., Term Loan | ||||||||
| 1,850,000 | 4.000%, 4/23/2019 | 1,840,750 | ||||||
| TNS, Inc., Term Loan | ||||||||
| 1,413,333 | 5.000%, 2/14/2020 | 1,415,694 | ||||||
| Univision Communications, Inc., Term Loan | ||||||||
| 1,750,613 | 4.500%, 2/28/2020 | 1,732,669 | ||||||
| 829,353 | 4.500%, 3/1/2020 | 820,853 | ||||||
| 458,850 | 4.500%, 3/1/2020 | 453,688 | ||||||
| Van Wagner Communications, Inc., Term Loan | ||||||||
| 1,480,050 | 8.250%, 8/3/2018 | 1,498,551 | ||||||
| Virgin Media Investment Holdings, Ltd., Term Loan | ||||||||
| 2,825,000 | 3.500%, 6/7/2020 | 2,791,269 | ||||||
| Visant Corporation, Term Loan | ||||||||
| 2,311,507 | 5.250%, 12/22/2016 | 2,198,405 | ||||||
| WideOpenWest Finance, LLC, Term Loan | ||||||||
| 3,037,388 | 4.750%, 4/1/2019 | 3,041,184 | ||||||
| Yankee Cable Acquisition, LLC, Term Loan | ||||||||
| 1,815,610 | 5.250%, 3/1/2020 | 1,820,785 | ||||||
| Zayo Group, LLC, Term Loan | ||||||||
| 2,288,442 | 4.500%, 7/2/2019 | 2,284,621 | ||||||
|
| |||||||
| Total | 52,200,550 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
73
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Bank Loans (4.5%)a | Value | ||||||
| Consumer Cyclical (0.6%) | |||||||
| Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
| $ 1,233,290 | 4.250%, 2/23/2017 | $ | 1,231,440 | |||||
| Cenveo Corporation, Term Loan | ||||||||
| 1,032,412 | 6.250%, 2/13/2017 | 1,030,482 | ||||||
| Ceridian Corporation, Term Loan | ||||||||
| 1,556,585 | 5.942%, 5/9/2017 | 1,559,013 | ||||||
| Chrysler Group, LLC, Term Loan | ||||||||
| 1,535,000 | 0.000%, 5/24/2017b,c | 1,540,281 | ||||||
| J.C. Penney Corporation, Inc., Term Loan | ||||||||
| 2,015,000 | 6.000%, 5/22/2018b,c | 2,016,431 | ||||||
| MGM Resorts International, Term Loan | ||||||||
| 1,427,825 | 3.500%, 12/20/2019 | 1,417,116 | ||||||
| MRC Global, Inc., Term Loan | ||||||||
| 1,293,500 | 6.000%, 11/8/2019 | 1,297,807 | ||||||
| ROC Finance, LLC, Term Loan | ||||||||
| 2,530,000 | 2.273%, 3/27/2019b,c | 2,525,775 | ||||||
| Scientific Games International, Inc., Term Loan | ||||||||
| 2,800,000 | 0.000%, 5/22/2020b,c | 2,755,676 | ||||||
| Seminole Indian Tribe of Florida, Term Loan | ||||||||
| 849,863 | 3.026%, 4/29/2020 | 846,319 | ||||||
| Seven Seas Cruises S de RL, LLC, Term Loan | ||||||||
| 2,315,000 | 4.750%, 12/21/2018 | 2,323,681 | ||||||
| Toys R Us, Inc., Term Loan | ||||||||
| 1,606,490 | 5.250%, 5/25/2018 | 1,540,897 | ||||||
|
| |||||||
| Total | 20,084,918 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.7%) | |||||||
| Albertson’s, Inc., Term Loan | ||||||||
| 1,775,550 | 4.750%, 3/21/2019 | 1,762,233 | ||||||
| Bausch & Lomb, Inc., Term Loan | ||||||||
| 1,291,974 | 4.000%, 5/18/2019 | 1,289,287 | ||||||
| Biomet, Inc., Term Loan | ||||||||
| 2,109,063 | 3.963%, 7/25/2017 | 2,096,767 | ||||||
| CHS/Community Health Systems, Inc., Term Loan | ||||||||
| 1,300,000 | 3.773%, 1/25/2017 | 1,299,857 | ||||||
| Del Monte Corporation, Term Loan | ||||||||
| 286,088 | 4.000%, 3/8/2018 | 284,778 | ||||||
| DJO Finance, LLC, Term Loan | ||||||||
| 1,969,717 | 4.750%, 9/15/2017b,c | 1,979,152 | ||||||
| Grifols, Inc., Term Loan | ||||||||
| 1,283,067 | 4.250%, 6/1/2017 | 1,287,288 | ||||||
| HJ Heinz Company, Term Loan | ||||||||
| 805,000 | 3.500%, 6/5/2020 | 804,082 | ||||||
| Hologic, Inc., Term Loan | ||||||||
| 1,553,262 | 4.500%, 8/1/2019 | 1,556,074 | ||||||
| JBS USA, LLC, Term Loan | ||||||||
| 1,720,688 | 3.750%, 5/25/2018 | 1,716,386 | ||||||
| Reynolds Group Holdings, Inc., Term Loan | ||||||||
| 258,050 | 4.750%, 9/28/2018 | 258,427 | ||||||
| Rite Aid Corporation, Term Loan | ||||||||
| 344,138 | 4.000%, 2/21/2020 | 342,561 | ||||||
| 695,000 | 5.750%, 8/21/2020 | 703,688 | ||||||
| Roundy’s Supermarkets, Inc., Term Loan | ||||||||
| 1,711,099 | 5.750%, 2/13/2019 | 1,666,901 | ||||||
| Supervalu, Inc., Term Loan | ||||||||
| 4,318,387 | 5.000%, 3/21/2019b,c | 4,285,394 | ||||||
| Warner Chilcott Company, LLC, Term Loan | ||||||||
| 23,524 | 4.250%, 3/15/2018 | 23,503 | ||||||
| Warner Chilcott Corporation, Term Loan | ||||||||
| 174,925 | 4.250%, 3/15/2018 | 174,770 | ||||||
| 76,149 | 4.250%, 3/15/2018 | 76,081 | ||||||
| WC Luxco Sarl, Term Loan | ||||||||
| 137,844 | 4.250%, 3/15/2018 | 137,722 | ||||||
|
| |||||||
| Total | 21,744,951 | |||||||
|
| |||||||
| Energy (0.2%) | |||||||
| Chesapeake Energy Corporation, Term Loan | ||||||||
| 3,910,000 | 5.750%, 12/2/2017 | 3,958,054 | ||||||
| Offshore Group Investment, Ltd., Term Loan | ||||||||
| 1,845,375 | 5.750%, 3/28/2019 | 1,849,988 | ||||||
|
| |||||||
| Total | 5,808,042 | |||||||
|
| |||||||
| Financials (0.2%) | |||||||
| GEO Group, Inc., Term Loan | ||||||||
| 460,000 | 3.250%, 4/3/2020 | 458,850 | ||||||
| Harland Clarke Holdings Corporation, Term Loan | ||||||||
| 2,330,000 | 7.000%, 5/22/2018 | 2,235,146 | ||||||
| MoneyGram International, Inc., Term Loan | ||||||||
| 1,835,400 | 4.250%, 3/27/2020 | 1,836,556 | ||||||
| WaveDivision Holdings, LLC, Term Loan | ||||||||
| 2,502,425 | 4.000%, 10/12/2019 | 2,496,169 | ||||||
|
| |||||||
| Total | 7,026,721 | |||||||
|
| |||||||
| Technology (0.2%) | |||||||
| First Data Corporation Extended, Term Loan | ||||||||
| 2,090,000 | 4.193%, 3/23/2018 | 2,035,138 | ||||||
| First Data Corporation, Term Loan | ||||||||
| 1,040,000 | 4.193%, 9/24/2018 | 1,012,700 | ||||||
| Freescale Semiconductor Inc., Term Loan | ||||||||
| 1,665,825 | 5.000%, 3/1/2020 | 1,650,949 | ||||||
| Infor US, Inc., Term Loan | ||||||||
| 919,337 | 5.250%, 4/5/2018 | 920,293 | ||||||
| SunGard Data Systems, Inc., Term Loan | ||||||||
| 2,304,225 | 4.500%, 1/31/2020 | 2,308,557 | ||||||
|
| |||||||
| Total | 7,927,637 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
74
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Bank Loans (4.5%)a | Value | ||||||
| Transportation (0.2%) | |||||||
| American Airlines, Inc., Term Loan | ||||||||
| $ 1,935,000 | 0.000%, 6/21/2019b,c | $ | 1,931,981 | |||||
| American Petroleum Tankers Parent, LLC, Term Loan | ||||||||
| 575,000 | 4.750%, 10/2/2019 | 572,844 | ||||||
| Delta Air Lines, Inc., Term Loan | ||||||||
| 1,621,960 | 4.250%, 4/20/2017 | 1,626,518 | ||||||
| U.S. Airways, Inc., Term Loan | ||||||||
| 340,000 | 0.000%, 5/21/2019b,c | 335,607 | ||||||
| United Air Lines, Inc., Term Loan | ||||||||
| 1,150,000 | 4.000%, 4/1/2019 | 1,147,125 | ||||||
|
| |||||||
| Total | 5,614,075 | |||||||
|
| |||||||
| Utilities (0.2%) | |||||||
| Calpine Corporation, Term Loan | ||||||||
| 343,244 | 4.000%, 4/1/2018 | 342,386 | ||||||
| 2,069,363 | 4.000%, 10/9/2019 | 2,065,493 | ||||||
| Intergen NV, Term Loan | ||||||||
| 895,000 | 0.000%, 6/5/2020b,c | 877,100 | ||||||
| NGPL PipeCo, LLC, Term Loan | ||||||||
| 1,864,232 | 6.750%, 9/15/2017 | 1,847,920 | ||||||
| Pacific Drilling SA, Term loan | ||||||||
| 1,280,000 | 0.000%, 5/18/2018b,c | 1,273,920 | ||||||
|
| |||||||
| Total | 6,406,819 | |||||||
|
| |||||||
Total Bank Loans (cost $142,559,068) | 142,185,728 | |||||||
|
| |||||||
| Shares | Mutual Funds (37.9%) | |||||||
| Equity Mutual Funds (13.3%) | |||||||
| 1,304,921 | Thrivent Partner Small Cap Value Portfolio | 30,921,533 | ||||||
| 1,620,681 | Thrivent Small Cap Stock Portfolio | 24,278,287 | ||||||
| 2,270,717 | Thrivent Partner Mid Cap Value Portfolio | 36,413,220 | ||||||
| 2,945,977 | Thrivent Mid Cap Stock Portfolio | 43,576,592 | ||||||
| 15,847,969 | Thrivent Partner Worldwide Allocation Portfolio | 137,213,302 | ||||||
| 7,713,749 | Thrivent Large Cap Value Portfolio | 105,593,514 | ||||||
| 2,788,481 | Thrivent Large Cap Stock Portfolio | 28,179,835 | ||||||
| 1,204,593 | Thrivent Equity Income Plus Portfolio | 12,813,140 | ||||||
|
| |||||||
| Total | 418,989,423 | |||||||
|
| |||||||
| Fixed Income Mutual Funds (24.6%) | |||||||
| 19,294,743 | Thrivent High Yield Portfolio | 95,410,576 | ||||||
| 24,269,609 | Thrivent Income Portfolio | 250,010,955 | ||||||
| 43,611,726 | Thrivent Limited Maturity Bond Portfolio | 427,944,421 | ||||||
|
| |||||||
| Total | 773,365,952 | |||||||
|
| |||||||
Total Mutual Funds (cost $1,143,378,317) | 1,192,355,375 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (30.4%) | |||||||
| Asset-Backed Securities (1.7%) | |||||||
| Access Group, Inc. | ||||||||
| $1,877,276 | 0.693%, 2/25/2036d,e | $ | 1,842,383 | |||||
| Ally Auto Receivables Trust 2013- SN1 | ||||||||
| 2,340,000 | 0.720%, 5/20/2016 | 2,339,094 | ||||||
| Avis Budget Rental Car Funding AESOP, LLC | ||||||||
| 1,154,010 | 2.370%, 11/20/2014d | 1,172,952 | ||||||
| Chesapeake Funding, LLC | ||||||||
| 2,300,000 | 0.643%, 1/7/2025d,e | 2,297,470 | ||||||
| Countrywide Asset-Backed Certificates | ||||||||
| 2,500,000 | 5.530%, 4/25/2047 | 2,329,335 | ||||||
| DT Auto Owner Trust | ||||||||
| 1,170,000 | 0.750%, 5/16/2016d | 1,168,347 | ||||||
| Edlinc Student Loan Funding Trust | ||||||||
| 1,562,401 | 3.262%, 10/1/2025e,f | 1,570,213 | ||||||
| FirstEnergy Ohio PIRB Special Purpose Trust 2013 | ||||||||
| 2,340,000 | 0.679%, 1/15/2019 | 2,334,410 | ||||||
| FNA Trust | ||||||||
| 1,795,112 | 1.980%, 1/10/2018d | 1,779,405 | ||||||
| GE Dealer Floorplan Master Note Trust | ||||||||
| 2,340,000 | 0.592%, 4/20/2018e | 2,329,437 | ||||||
| GE Equipment Transportation, LLC | ||||||||
| 1,950,000 | 0.690%, 11/25/2016 | 1,940,958 | ||||||
| Golden Credit Card Trust | ||||||||
| 1,620,000 | 0.443%, 2/15/2018d,e | 1,618,709 | ||||||
| Hyundai Auto Receivables Trust | ||||||||
| 2,340,000 | 0.820%, 9/15/2017 | 2,336,970 | ||||||
| Hyundai Floorplan Master Owner Trust | ||||||||
| 2,632,500 | 0.543%, 5/15/2018d,e | 2,621,078 | ||||||
| Master Credit Card Trust | ||||||||
| 1,587,300 | 0.780%, 4/21/2017d | 1,575,495 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 2,139,453 | 0.343%, 2/25/2037e | 1,143,381 | ||||||
| Motor plc | ||||||||
| 3,120,000 | 0.699%, 2/15/2021d,e | 3,121,513 | ||||||
| Nationstar Mortgage Advance Receivable Trust | ||||||||
| 2,340,000 | 1.080%, 6/20/2044d | 2,337,489 | ||||||
| Nissan Master Owner Trust Receivables | ||||||||
| 2,700,000 | 0.493%, 2/15/2018e | 2,685,693 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 5,500,000 | 6.011%, 5/25/2036 | 3,946,822 | ||||||
| 2,535,005 | 5.580%, 11/25/2036 | 1,538,936 | ||||||
| Santander Drive Auto Receivables Trust | ||||||||
| 1,950,000 | 0.700%, 9/15/2017 | 1,943,629 | ||||||
| SLM Student Loan Trust | ||||||||
| 1,240,257 | 0.793%, 8/15/2022d,e | 1,232,823 | ||||||
| 1,350,000 | 1.243%, 5/17/2027d,e | 1,320,995 | ||||||
| Volvo Financial Equipment, LLC | ||||||||
| 1,950,000 | 0.740%, 3/15/2017d | 1,941,116 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
75
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (30.4%) | Value | ||||||
| Asset-Backed Securities (1.7%) - continued | |||||||
| World Financial Network Credit Card Master Trust | ||||||||
| $ 1,950,000 | 0.910%, 3/16/2020 | $ | 1,935,227 | |||||
| World Omni Master Owner Trust | ||||||||
| 1,620,000 | 0.543%, 2/15/2018d,e | 1,611,850 | ||||||
|
| |||||||
| Total | 54,015,730 | |||||||
|
| |||||||
| Basic Materials (0.2%) | |||||||
| Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| 1,564,000 | 2.375%, 3/15/2018d | 1,487,483 | ||||||
| Glencore Funding, LLC | ||||||||
| 560,000 | 1.700%, 5/27/2016d | 543,039 | ||||||
| 1,170,000 | 1.574%, 1/15/2019d,e | 1,087,414 | ||||||
| International Paper Company | ||||||||
| 706,000 | 5.300%, 4/1/2015 | 754,384 | ||||||
| LyondellBasell Industries NV | ||||||||
| 920,000 | 6.000%, 11/15/2021 | 1,033,810 | ||||||
| Rio Tinto Finance USA plc | ||||||||
| 568,000 | 1.375%, 6/17/2016 | 564,580 | ||||||
| 568,000 | 2.250%, 12/14/2018 | 551,961 | ||||||
| Xstrata Finance Canada, Ltd. | ||||||||
| 1,700,000 | 1.800%, 10/23/2015d | 1,700,537 | ||||||
|
| |||||||
| Total | 7,723,208 | |||||||
|
| |||||||
| Capital Goods (0.2%) | |||||||
| BAE Systems plc | ||||||||
| 620,000 | 3.500%, 10/11/2016d | 648,613 | ||||||
| Eaton Corporation | ||||||||
| 268,000 | 1.500%, 11/2/2017d | 260,152 | ||||||
| 402,000 | 4.000%, 11/2/2032d | 375,863 | ||||||
| Ingersoll-Rand Global Holding Company, Ltd. | ||||||||
| 284,000 | 2.875%, 1/15/2019d | 280,160 | ||||||
| John Deere Capital Corporation | ||||||||
| 1,170,000 | 0.404%, 1/12/2015e | 1,169,479 | ||||||
| Northrop Grumman Corporation | ||||||||
| 900,000 | 1.750%, 6/1/2018 | 872,936 | ||||||
| Roper Industries, Inc. | ||||||||
| 845,000 | 2.050%, 10/1/2018 | 828,766 | ||||||
| Textron, Inc. | ||||||||
| 680,000 | 5.600%, 12/1/2017 | 745,665 | ||||||
| United Technologies Corporation | ||||||||
| 817,000 | 6.125%, 7/15/2038 | 995,933 | ||||||
|
| |||||||
| Total | 6,177,567 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (1.2%) | |||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 780,793 | 5.500%, 11/25/2035 | 700,985 | ||||||
| CitiMortgage Alternative Loan Trust | ||||||||
| 2,603,712 | 5.750%, 4/25/2037 | 2,334,395 | ||||||
| Commercial Mortgage Pass Through Certificates | ||||||||
| 2,340,000 | 1.243%, 6/8/2030d,e | 2,326,380 | ||||||
| Countrywide Alternative Loan Trust | ||||||||
| 3,778,277 | 5.090%, 10/25/2035 | 3,128,069 | ||||||
| 1,448,725 | 6.500%, 8/25/2036 | 1,054,484 | ||||||
| 504,058 | 6.000%, 1/25/2037 | 399,955 | ||||||
| 3,553,778 | 5.500%, 5/25/2037 | 2,943,509 | ||||||
| 2,744,814 | 7.000%, 10/25/2037 | 1,868,255 | ||||||
| Countrywide Home Loans, Inc. | ||||||||
| 1,078,211 | 5.750%, 4/25/2037 | 959,245 | ||||||
| Deutsche Alt-A Securities Mortgage Loan Trust | ||||||||
| 365,045 | 5.500%, 10/25/2021 | 376,485 | ||||||
| Deutsche Alt-A Securities, Inc. | ||||||||
| 858,680 | 6.000%, 10/25/2021 | 808,480 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 11,406,096 | 3.000%, 4/15/2028g | 1,578,707 | ||||||
| 7,071,604 | 3.000%, 2/15/2033g | 1,005,471 | ||||||
| Federal National Mortgage Association | ||||||||
| 15,354,530 | 3.500%, 1/25/2033g | 2,476,500 | ||||||
| Greenpoint Mortgage Funding Trust | ||||||||
| 1,537,338 | 0.393%, 10/25/2045e | 1,088,282 | ||||||
| HomeBanc Mortgage Trust | ||||||||
| 1,318,101 | 2.455%, 4/25/2037 | 883,601 | ||||||
| J.P. Morgan Mortgage Trust | ||||||||
| 232,643 | 2.968%, 10/25/2036 | 183,808 | ||||||
| 4,138,533 | 0.573%, 1/25/2037e | 2,559,236 | ||||||
| 4,040,078 | 6.250%, 8/25/2037 | 2,787,319 | ||||||
| MASTR Alternative Loans Trust | ||||||||
| 591,186 | 6.500%, 7/25/2034 | 627,671 | ||||||
| 2,671,410 | 0.643%, 12/25/2035e | 1,368,192 | ||||||
| Merrill Lynch Alternative Note Asset Trust | ||||||||
| 601,014 | 6.000%, 3/25/2037 | 528,137 | ||||||
| Residential Accredit Loans, Inc. | ||||||||
| 1,126,166 | 5.750%, 9/25/2035 | 994,174 | ||||||
| Residential Asset Securitization Trust | ||||||||
| 3,494,793 | 0.573%, 8/25/2037e | 1,113,200 | ||||||
| Sequoia Mortgage Trust | ||||||||
| 330,753 | 3.898%, 9/20/2046 | 44,236 | ||||||
| 1,843,059 | 3.898%, 9/20/2046 | 1,518,519 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 570,423 | 2.658%, 9/25/2036 | 462,510 | ||||||
| 551,080 | 2.727%, 10/25/2036 | 452,928 | ||||||
| 1,780,414 | 2.379%, 11/25/2036 | 1,459,252 | ||||||
|
| |||||||
| Total | 38,031,985 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (1.4%) | |||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| 4,600,000 | 5.793%, 4/10/2049 | 5,154,157 | ||||||
| 6,000,000 | 5.857%, 6/10/2049 | 6,718,488 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 2,000,000 | 5.331%, 2/11/2044 | 2,189,838 | ||||||
| Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 1,700,000 | 5.322%, 12/11/2049 | 1,871,421 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
76
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (30.4%) | Value | ||||||
| Commercial Mortgage-Backed Securities (1.4%) - continued | |||||||
| Credit Suisse First Boston Mortgage Securities | ||||||||
| $ 4,600,000 | 5.542%, 1/15/2049 | $ | 5,093,677 | |||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 5,800,000 | 5.509%, 9/15/2039 | 6,224,438 | ||||||
| Federal Home Loan Mortgage Corporation Multi Family Structured Pass Thru Certificates | ||||||||
| 2,669,378 | 0.727%, 12/25/2016 | 2,646,352 | ||||||
| Government National Mortgage Association | ||||||||
| 97,292 | 2.164%, 3/16/2033 | 98,094 | ||||||
| 70,291 | 3.214%, 1/16/2040 | 72,358 | ||||||
| Greenwich Capital Commercial Funding Corporation | ||||||||
| 3,100,000 | 5.867%, 12/10/2049 | 3,320,912 | ||||||
| J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 1,560,000 | 0.893%, 4/15/2028d,e | 1,554,668 | ||||||
| 2,300,000 | 5.901%, 2/12/2049 | 2,492,319 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 1,750,000 | 5.406%, 3/15/2044 | 1,874,884 | ||||||
| Wachovia Bank Commercial Mortgage Trust | ||||||||
| 3,450,000 | 5.603%, 10/15/2048 | 3,734,232 | ||||||
|
| |||||||
| Total | 43,045,838 | |||||||
|
| |||||||
| Communications Services (0.5%) | |||||||
| American Tower Corporation | ||||||||
| 990,000 | 5.050%, 9/1/2020 | 1,040,384 | ||||||
| AT&T, Inc. | ||||||||
| 1,324,000 | 2.400%, 8/15/2016 | 1,364,464 | ||||||
| 830,000 | 5.800%, 2/15/2019 | 962,639 | ||||||
| British Telecommunications plc | ||||||||
| 568,000 | 1.625%, 6/28/2016 | 570,491 | ||||||
| CBS Corporation | ||||||||
| 686,000 | 8.875%, 5/15/2019 | 884,079 | ||||||
| CC Holdings GS V, LLC | ||||||||
| 268,000 | 2.381%, 12/15/2017 | 263,743 | ||||||
| Comcast Corporation | ||||||||
| 325,000 | 4.650%, 7/15/2042 | 311,652 | ||||||
| Crown Castle Towers, LLC | ||||||||
| 480,000 | 4.174%, 8/15/2017d | 507,293 | ||||||
| DIRECTV Holdings, LLC | ||||||||
| 560,000 | 2.400%, 3/15/2017 | 562,707 | ||||||
| 536,000 | 1.750%, 1/15/2018 | 517,467 | ||||||
| 600,000 | 5.875%, 10/1/2019 | 675,238 | ||||||
| NBC Universal Enterprise, Inc. | ||||||||
| 1,170,000 | 0.965%, 4/15/2018d,e | 1,180,184 | ||||||
| 622,000 | 1.974%, 4/15/2019d | 605,366 | ||||||
| NBCUniversal Media, LLC | ||||||||
| 762,000 | 2.875%, 4/1/2016 | 796,469 | ||||||
| Nippon Telegraph & Telephone Corporation | ||||||||
| 504,000 | 1.400%, 7/18/2017 | 495,541 | ||||||
| SBA Tower Trust | ||||||||
| 505,000 | 5.101%, 4/17/2017d | 552,316 | ||||||
| Telefonica Emisiones SAU | ||||||||
| 504,000 | 3.729%, 4/27/2015 | 519,075 | ||||||
| 900,000 | 3.192%, 4/27/2018 | 871,747 | ||||||
| 300,000 | 5.462%, 2/16/2021 | 309,283 | ||||||
| Verizon Communications, Inc. | ||||||||
| 398,000 | 1.100%, 11/1/2017 | 385,110 | ||||||
| 620,000 | 5.500%, 2/15/2018 | 706,043 | ||||||
| Vodafone Group plc | ||||||||
| 443,000 | 0.659%, 2/19/2016e | 443,300 | ||||||
|
| |||||||
| Total | 14,524,591 | |||||||
|
| |||||||
| Consumer Cyclical (0.5%) | |||||||
| Amazon.com, Inc. | ||||||||
| 268,000 | 1.200%, 11/29/2017 | 259,192 | ||||||
| 536,000 | 2.500%, 11/29/2022 | 486,560 | ||||||
| American Honda Finance Corporation | ||||||||
| 1,560,000 | 0.648%, 5/26/2016d,e | 1,557,531 | ||||||
| Federated Retail Holdings, Inc. | ||||||||
| 305,000 | 5.900%, 12/1/2016 | 346,466 | ||||||
| Ford Motor Company | ||||||||
| 435,000 | 7.450%, 7/16/2031 | 520,789 | ||||||
| Ford Motor Credit Company, LLC | ||||||||
| 884,000 | 12.000%, 5/15/2015 | 1,042,393 | ||||||
| 1,170,000 | 1.525%, 5/9/2016e | 1,178,179 | ||||||
| 725,000 | 1.700%, 5/9/2016 | 713,172 | ||||||
| 700,000 | 2.375%, 1/16/2018 | 673,993 | ||||||
| 550,000 | 5.000%, 5/15/2018 | 586,533 | ||||||
| Gap, Inc. | ||||||||
| 725,000 | 5.950%, 4/12/2021 | 801,870 | ||||||
| General Motors Financial Company, Inc. | ||||||||
| 580,000 | 2.750%, 5/15/2016d | 570,575 | ||||||
| Hyundai Capital America | ||||||||
| 530,000 | 1.625%, 10/2/2015d | 528,284 | ||||||
| Macy’s Retail Holdings, Inc. | ||||||||
| 271,000 | 3.875%, 1/15/2022 | 271,707 | ||||||
| Toll Brothers Finance Corporation | ||||||||
| 580,000 | 8.910%, 10/15/2017 | 687,300 | ||||||
| 290,000 | 4.375%, 4/15/2023 | 269,700 | ||||||
| Toyota Motor Credit Corporation | ||||||||
| 1,560,000 | 0.564%, 5/17/2016e | 1,557,329 | ||||||
| 325,000 | 1.750%, 5/22/2017 | 323,874 | ||||||
| TRW Automotive, Inc. | ||||||||
| 344,000 | 7.250%, 3/15/2017d | 389,580 | ||||||
| Wal-Mart Stores, Inc. | ||||||||
| 1,170,000 | 0.600%, 4/11/2016 | 1,162,183 | ||||||
| 820,000 | 1.125%, 4/11/2018 | 795,796 | ||||||
| Western Union Company | ||||||||
| 536,000 | 2.375%, 12/10/2015 | 545,469 | ||||||
|
| |||||||
| Total | 15,268,475 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.9%) | |||||||
| AbbVie, Inc. | ||||||||
| 268,000 | 1.750%, 11/6/2017d | 262,564 | ||||||
| 402,000 | 2.000%, 11/6/2018d | 389,790 | ||||||
| Altria Group, Inc. | ||||||||
| 730,000 | 9.700%, 11/10/2018 | 970,467 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
77
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (30.4%) | Value | ||||||
| Consumer Non-Cyclical (0.9%) - continued | |||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| $ 1,015,000 | 7.750%, 1/15/2019 | $ | 1,283,805 | |||||
| Avon Products, Inc. | ||||||||
| 1,070,000 | 2.375%, 3/15/2016 | 1,078,671 | ||||||
| Baxter International, Inc. | ||||||||
| 900,000 | 1.850%, 6/15/2018 | 892,711 | ||||||
| Boston Scientific Corporation | ||||||||
| 580,000 | 4.500%, 1/15/2015 | 606,798 | ||||||
| 725,000 | 6.000%, 1/15/2020 | 820,611 | ||||||
| Bunge Limited Finance Corporation | ||||||||
| 255,000 | 3.200%, 6/15/2017 | 260,873 | ||||||
| 445,000 | 8.500%, 6/15/2019 | 549,220 | ||||||
| Celgene Corporation | ||||||||
| 885,000 | 1.900%, 8/15/2017 | 878,647 | ||||||
| ConAgra Foods, Inc. | ||||||||
| 870,000 | 1.900%, 1/25/2018 | 855,280 | ||||||
| CVS Caremark Corporation | ||||||||
| 330,000 | 6.125%, 9/15/2039 | 385,630 | ||||||
| Express Scripts Holding Company | ||||||||
| 510,000 | 3.125%, 5/15/2016 | 530,326 | ||||||
| Gilead Sciences, Inc. | ||||||||
| 399,000 | 2.400%, 12/1/2014 | 407,870 | ||||||
| 654,000 | 3.050%, 12/1/2016 | 691,291 | ||||||
| Heineken NV | ||||||||
| 268,000 | 1.400%, 10/1/2017d | 260,389 | ||||||
| Laboratory Corporation of America Holdings | ||||||||
| 510,000 | 2.200%, 8/23/2017 | 506,343 | ||||||
| Lorillard Tobacco Company | ||||||||
| 504,000 | 2.300%, 8/21/2017 | 497,662 | ||||||
| Mallinckrodt International Finance SA | ||||||||
| 645,000 | 3.500%, 4/15/2018d | 637,619 | ||||||
| Mattel, Inc. | ||||||||
| 590,000 | 1.700%, 3/15/2018 | 576,302 | ||||||
| McKesson Corporation | ||||||||
| 268,000 | 0.950%, 12/4/2015 | 267,283 | ||||||
| Medco Health Solutions, Inc. | ||||||||
| 885,000 | 7.125%, 3/15/2018 | 1,066,153 | ||||||
| Medtronic, Inc. | ||||||||
| 870,000 | 1.375%, 4/1/2018 | 845,780 | ||||||
| Merck & Company, Inc. | ||||||||
| 1,560,000 | 0.634%, 5/18/2018e | 1,557,002 | ||||||
| Mylan, Inc. | ||||||||
| 1,905,000 | 1.800%, 6/24/2016d | 1,899,824 | ||||||
| 536,000 | 7.875%, 7/15/2020d | 618,516 | ||||||
| PepsiCo, Inc. | ||||||||
| 1,170,000 | 0.483%, 2/26/2016e | 1,171,843 | ||||||
| Pernod-Ricard SA | ||||||||
| 600,000 | 2.950%, 1/15/2017d | 613,926 | ||||||
| 450,000 | 5.750%, 4/7/2021d | 499,904 | ||||||
| Roche Holdings, Inc. | ||||||||
| 290,000 | 7.000%, 3/1/2039d | 390,567 | ||||||
| SABMiller Holdings, Inc. | ||||||||
| 930,000 | 2.450%, 1/15/2017d | 944,757 | ||||||
| 710,000 | 3.750%, 1/15/2022d | 722,557 | ||||||
| Safeway, Inc. | ||||||||
| 290,000 | 3.400%, 12/1/2016 | 302,302 | ||||||
| 725,000 | 5.000%, 8/15/2019 | 769,510 | ||||||
| 310,000 | 4.750%, 12/1/2021h | 315,839 | ||||||
| Teva Pharmaceutical Finance Company BV | ||||||||
| 870,000 | 2.400%, 11/10/2016 | 895,667 | ||||||
| Tyson Foods, Inc. | ||||||||
| 650,000 | 4.500%, 6/15/2022 | 664,186 | ||||||
| Zoetis, Inc. | ||||||||
| 435,000 | 1.875%, 2/1/2018d | 425,844 | ||||||
|
| |||||||
| Total | 27,314,329 | |||||||
|
| |||||||
| Energy (0.5%) | |||||||
| BP Capital Markets plc | ||||||||
| 1,170,000 | 1.846%, 5/5/2017 | 1,171,430 | ||||||
| 795,000 | 1.375%, 11/6/2017 | 774,020 | ||||||
| 536,000 | 4.500%, 10/1/2020 | 581,500 | ||||||
| Chevron Corporation | ||||||||
| 1,200,000 | 0.889%, 6/24/2016h | 1,201,572 | ||||||
| 1,136,000 | 1.718%, 6/24/2018 | 1,125,552 | ||||||
| 568,000 | 2.427%, 6/24/2020 | 564,763 | ||||||
| CNOOC, Ltd. | ||||||||
| 950,000 | 1.125%, 5/9/2016 | 934,610 | ||||||
| 100,000 | 1.750%, 5/9/2018 | 95,652 | ||||||
| EQT Corporation | ||||||||
| 754,000 | 8.125%, 6/1/2019 | 919,241 | ||||||
| Hess Corporation | ||||||||
| 840,000 | 8.125%, 2/15/2019 | 1,052,925 | ||||||
| Lukoil International Finance BV | ||||||||
| 725,000 | 3.416%, 4/24/2018d | 705,062 | ||||||
| Marathon Oil Corporation | ||||||||
| 795,000 | 0.900%, 11/1/2015 | 790,588 | ||||||
| Marathon Petroleum Corporation | ||||||||
| 504,000 | 3.500%, 3/1/2016 | 529,055 | ||||||
| Murphy Oil Corporation | ||||||||
| 403,000 | 2.500%, 12/1/2017 | 397,472 | ||||||
| Petrobras Global Finance BV | ||||||||
| 1,200,000 | 2.000%, 5/20/2016 | 1,175,083 | ||||||
| Pioneer Natural Resources Company | ||||||||
| 255,000 | 5.875%, 7/15/2016 | 284,384 | ||||||
| Sinopec Capital 2013, Ltd. | ||||||||
| 870,000 | 1.250%, 4/24/2016d | 860,668 | ||||||
| Suncor Energy, Inc. | ||||||||
| 441,000 | 6.100%, 6/1/2018 | 514,096 | ||||||
| Transocean, Inc. | ||||||||
| 252,000 | 5.050%, 12/15/2016 | 274,031 | ||||||
| 954,000 | 6.000%, 3/15/2018 | 1,069,092 | ||||||
| 290,000 | 6.375%, 12/15/2021 | 325,950 | ||||||
| Valero Energy Corporation | ||||||||
| 435,000 | 9.375%, 3/15/2019 | 570,388 | ||||||
| Weatherford International, Ltd. | ||||||||
| 855,000 | 6.750%, 9/15/2040 | 884,559 | ||||||
|
| |||||||
| Total | 16,801,693 | |||||||
|
| |||||||
| Financials (3.8%) | |||||||
| Achmea Hypotheekbank NV | ||||||||
| 220,000 | 3.200%, 11/3/2014d | 228,360 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
78
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (30.4%) | Value | ||||||
| Financials (3.8%) - continued | |||||||
| American Express Company | ||||||||
| $ 1,560,000 | 0.863%, 5/22/2018e | $ | 1,557,967 | |||||
| American Express Credit Corporation | ||||||||
| 325,000 | 2.375%, 3/24/2017 | 331,786 | ||||||
| American International Group, Inc. | ||||||||
| 1,272,000 | 2.375%, 8/24/2015 | 1,292,065 | ||||||
| 1,295,000 | 3.800%, 3/22/2017 | 1,357,569 | ||||||
| American Tower Trust I | ||||||||
| 290,000 | 1.551%, 3/15/2018d | 284,976 | ||||||
| ANZ National International, Ltd. of London | ||||||||
| 982,000 | 3.125%, 8/10/2015d,h | 1,021,085 | ||||||
| ANZ New Zealand International, Ltd. | ||||||||
| 1,170,000 | 1.125%, 3/24/2016d | 1,160,862 | ||||||
| Associated Banc Corporation | ||||||||
| 255,000 | 1.875%, 3/12/2014 | 255,449 | ||||||
| Bank Nederlandse Gemeenten NV | ||||||||
| 1,170,000 | 1.375%, 3/19/2018d | 1,145,547 | ||||||
| Bank of America Corporation | ||||||||
| 1,041,000 | 7.750%, 8/15/2015 | 1,151,988 | ||||||
| 510,000 | 5.750%, 8/15/2016 | 554,200 | ||||||
| 1,280,000 | 5.750%, 12/1/2017 | 1,422,560 | ||||||
| 910,000 | 2.000%, 1/11/2018 | 881,439 | ||||||
| 2,040,000 | 1.343%, 3/22/2018e | 2,018,725 | ||||||
| 505,000 | 5.650%, 5/1/2018 | 561,046 | ||||||
| 580,000 | 5.700%, 1/24/2022 | 643,826 | ||||||
| Bank of Montreal | ||||||||
| 1,170,000 | 0.879%, 4/9/2018e | 1,167,276 | ||||||
| Bank of Nova Scotia | ||||||||
| 1,170,000 | 0.673%, 3/15/2016e | 1,169,388 | ||||||
| 580,000 | 0.950%, 3/15/2016 | 577,317 | ||||||
| BB&T Corporation | ||||||||
| 284,000 | 1.133%, 6/15/2018e | 284,271 | ||||||
| 568,000 | 2.050%, 6/19/2018 | 559,730 | ||||||
| BBVA Banco Continental SA | ||||||||
| 930,000 | 2.250%, 7/29/2016d | 902,100 | ||||||
| BBVA US Senior SAU | ||||||||
| 402,000 | 4.664%, 10/9/2015 | 414,109 | ||||||
| Berkshire Hathaway Finance Corporation | ||||||||
| 660,000 | 1.600%, 5/15/2017 | 657,225 | ||||||
| 1,170,000 | 1.300%, 5/15/2018 | 1,131,522 | ||||||
| BNP Paribas SA | ||||||||
| 791,000 | 2.375%, 9/14/2017 | 783,090 | ||||||
| Canadian Imperial Bank of Commerce | ||||||||
| 220,000 | 2.600%, 7/2/2015d | 228,250 | ||||||
| Capital One Financial Corporation | ||||||||
| 530,000 | 2.150%, 3/23/2015 | 538,351 | ||||||
| 780,000 | 0.723%, 3/22/2016e | 774,783 | ||||||
| 295,000 | 6.150%, 9/1/2016 | 329,194 | ||||||
| Cigna Corporation | ||||||||
| 610,000 | 4.000%, 2/15/2022 | 626,239 | ||||||
| Citigroup, Inc. | ||||||||
| 1,965,000 | 5.000%, 9/15/2014 | 2,042,081 | ||||||
| 877,000 | 4.750%, 5/19/2015 | 927,516 | ||||||
| 1,341,000 | 6.000%, 8/15/2017 | 1,511,013 | ||||||
| 915,000 | 8.500%, 5/22/2019 | 1,152,925 | ||||||
| 590,000 | 4.050%, 7/30/2022 | 567,053 | ||||||
| CNA Financial Corporation | ||||||||
| 850,000 | 7.350%, 11/15/2019 | 1,029,189 | ||||||
| Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||||
| 1,170,000 | 0.753%, 3/18/2016e | 1,172,525 | ||||||
| 550,000 | 3.950%, 11/9/2022 | 525,950 | ||||||
| Credit Agricole SA | ||||||||
| 725,000 | 1.625%, 4/15/2016d | 719,461 | ||||||
| Credit Suisse AG | ||||||||
| 870,000 | 5.400%, 1/14/2020 | 942,594 | ||||||
| DDR Corporation | ||||||||
| 725,000 | 9.625%, 3/15/2016 | 863,329 | ||||||
| Discover Financial Services | ||||||||
| 1,085,000 | 6.450%, 6/12/2017 | 1,232,552 | ||||||
| DnB Boligkreditt AS | ||||||||
| 1,560,000 | 1.450%, 3/21/2018d | 1,514,604 | ||||||
| Eksportfinans ASA | ||||||||
| 330,000 | 3.000%, 11/17/2014 | 330,000 | ||||||
| 465,000 | 5.500%, 5/25/2016 | 484,414 | ||||||
| Fifth Third Bancorp | ||||||||
| 545,000 | 5.450%, 1/15/2017 | 597,249 | ||||||
| General Electric Capital Corporation | ||||||||
| 536,000 | 1.000%, 12/11/2015 | 535,199 | ||||||
| 825,000 | 0.480%, 1/8/2016e | 820,278 | ||||||
| 365,000 | 1.145%, 5/9/2016e | 369,629 | ||||||
| 268,000 | 1.600%, 11/20/2017h | 261,618 | ||||||
| 290,000 | 0.994%, 4/2/2018e | 291,212 | ||||||
| 1,965,000 | 6.000%, 8/7/2019 | 2,281,235 | ||||||
| 1,170,000 | 1.273%, 3/15/2023e | 1,159,404 | ||||||
| 730,000 | 6.750%, 3/15/2032 | 875,288 | ||||||
| Genworth Financial, Inc. | ||||||||
| 735,000 | 6.515%, 5/22/2018h | 812,400 | ||||||
| Goldman Sachs Group, Inc. | ||||||||
| 1,245,000 | 3.700%, 8/1/2015 | 1,297,113 | ||||||
| 1,288,000 | 0.723%, 3/22/2016e | 1,269,123 | ||||||
| 580,000 | 2.375%, 1/22/2018 | 569,463 | ||||||
| 1,170,000 | 1.476%, 4/30/2018e | 1,159,175 | ||||||
| 740,000 | 7.500%, 2/15/2019 | 878,805 | ||||||
| 885,000 | 5.250%, 7/27/2021 | 946,861 | ||||||
| Hartford Financial Services Group, Inc. | ||||||||
| 715,000 | 4.000%, 10/15/2017 | 758,207 | ||||||
| 590,000 | 5.125%, 4/15/2022 | 641,988 | ||||||
| HCP, Inc. | ||||||||
| 120,000 | 6.300%, 9/15/2016 | 136,296 | ||||||
| 284,000 | 6.000%, 1/30/2017 | 318,586 | ||||||
| 250,000 | 6.700%, 1/30/2018 | 292,611 | ||||||
| 740,000 | 2.625%, 2/1/2020 | 693,235 | ||||||
| Health Care REIT, Inc. | ||||||||
| 930,000 | 4.700%, 9/15/2017 | 1,010,572 | ||||||
| 268,000 | 2.250%, 3/15/2018 | 263,131 | ||||||
| HSBC Bank plc | ||||||||
| 1,560,000 | 0.915%, 5/15/2018d,e | 1,559,992 | ||||||
| HSBC Finance Corporation | ||||||||
| 580,000 | 6.676%, 1/15/2021 | 641,218 | ||||||
| HSBC USA, Inc. | ||||||||
| 555,000 | 1.625%, 1/16/2018 | 541,465 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
79
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (30.4%) | Value | ||||||
| Financials (3.8%) - continued | |||||||
| ING Bank NV | ||||||||
| $ 430,000 | 2.000%, 9/25/2015d | $ | 433,646 | |||||
| 650,000 | 3.750%, 3/7/2017d | 680,316 | ||||||
| ING Capital Funding Trust III | ||||||||
| 575,000 | 3.884%, 12/29/2049e,i | 552,000 | ||||||
| ING US, Inc. | ||||||||
| 633,000 | 2.900%, 2/15/2018d | 636,185 | ||||||
| International Lease Finance Corporation | ||||||||
| 865,000 | 2.224%, 6/15/2016e | 858,513 | ||||||
| Intesa Sanpaolo SPA | ||||||||
| 350,000 | 3.125%, 1/15/2016 | 344,140 | ||||||
| J.P. Morgan Chase & Company | ||||||||
| 780,000 | 0.726%, 4/23/2015e,h | 778,187 | ||||||
| 590,000 | 1.125%, 2/26/2016 | 581,338 | ||||||
| 930,000 | 3.450%, 3/1/2016 | 970,070 | ||||||
| 1,211,000 | 2.000%, 8/15/2017 | 1,201,852 | ||||||
| 1,230,000 | 1.176%, 1/25/2018e | 1,227,294 | ||||||
| 475,000 | 1.800%, 1/25/2018 | 459,497 | ||||||
| 915,000 | 6.300%, 4/23/2019 | 1,062,954 | ||||||
| 310,000 | 3.200%, 1/25/2023 | 294,285 | ||||||
| 290,000 | 3.375%, 5/1/2023 | 270,036 | ||||||
| 870,000 | 7.900%, 4/29/2049i | 983,100 | ||||||
| J.P. Morgan Chase Bank NA | ||||||||
| 787,000 | 0.602%, 6/13/2016e | 773,144 | ||||||
| KeyBank NA | ||||||||
| 984,000 | 7.413%, 5/6/2015 | 1,086,322 | ||||||
| Liberty Mutual Group, Inc. | ||||||||
| 252,000 | 4.950%, 5/1/2022d | 258,725 | ||||||
| 300,000 | 6.500%, 5/1/2042d | 320,979 | ||||||
| Liberty Property, LP | ||||||||
| 815,000 | 5.500%, 12/15/2016 | 899,749 | ||||||
| 295,000 | 3.375%, 6/15/2023 | 273,587 | ||||||
| Lloyds TSB Bank plc | ||||||||
| 536,000 | 6.500%, 9/14/2020d | 571,439 | ||||||
| Merrill Lynch & Company, Inc. | ||||||||
| 250,000 | 6.050%, 5/16/2016 | 270,702 | ||||||
| 580,000 | 6.400%, 8/28/2017 | 654,915 | ||||||
| Mizuho Corporate Bank, Ltd. | ||||||||
| 580,000 | 1.850%, 3/21/2018d | 562,997 | ||||||
| Morgan Stanley | ||||||||
| 510,000 | 4.750%, 4/1/2014h | 521,082 | ||||||
| 295,000 | 1.523%, 2/25/2016e | 294,168 | ||||||
| 295,000 | 1.750%, 2/25/2016 | 292,247 | ||||||
| 1,075,000 | 4.750%, 3/22/2017 | 1,140,205 | ||||||
| 560,000 | 6.250%, 8/28/2017 | 624,452 | ||||||
| 780,000 | 1.556%, 4/25/2018e,h | 765,001 | ||||||
| 1,295,000 | 5.500%, 1/26/2020 | 1,390,036 | ||||||
| 600,000 | 4.875%, 11/1/2022 | 592,741 | ||||||
| 780,000 | 4.100%, 5/22/2023 | 720,657 | ||||||
| Murray Street Investment Trust I | ||||||||
| 1,500,000 | 4.647%, 3/9/2017 | 1,588,107 | ||||||
| Nederlandse Waterschapsbank NV | ||||||||
| 1,560,000 | 0.750%, 3/29/2016d | 1,551,202 | ||||||
| Nomura Holdings, Inc. | ||||||||
| 1,170,000 | 1.722%, 9/13/2016e | 1,168,561 | ||||||
| 1,210,000 | 2.000%, 9/13/2016 | 1,196,498 | ||||||
| Nordea Eiendomskreditt AS | ||||||||
| 1,170,000 | 2.125%, 9/22/2016d | 1,195,054 | ||||||
| Prologis, LP | ||||||||
| 310,000 | 6.625%, 5/15/2018 | 356,810 | ||||||
| 930,000 | 7.375%, 10/30/2019 | 1,119,206 | ||||||
| Prudential Covered Trust | ||||||||
| 1,053,000 | 2.997%, 9/30/2015d | 1,086,612 | ||||||
| Prudential Financial, Inc. | ||||||||
| 560,000 | 4.500%, 11/15/2020h | 596,882 | ||||||
| 477,000 | 5.625%, 6/15/2043 | 467,460 | ||||||
| Realty Income Corporation | ||||||||
| 265,000 | 2.000%, 1/31/2018 | 257,143 | ||||||
| Regions Bank | ||||||||
| 1,345,000 | 7.500%, 5/15/2018 | 1,568,817 | ||||||
| Reinsurance Group of America, Inc. | ||||||||
| 515,000 | 5.625%, 3/15/2017 | 566,486 | ||||||
| 265,000 | 5.000%, 6/1/2021 | 283,958 | ||||||
| Royal Bank of Canada | ||||||||
| 1,170,000 | 0.644%, 3/8/2016e | 1,171,878 | ||||||
| Royal Bank of Scotland Group plc | ||||||||
| 787,000 | 5.050%, 1/8/2015 | 788,968 | ||||||
| 590,000 | 2.550%, 9/18/2015 | 599,888 | ||||||
| 295,000 | 6.125%, 12/15/2022 | 280,713 | ||||||
| Santander US Debt SAU | ||||||||
| 850,000 | 3.724%, 1/20/2015d | 857,956 | ||||||
| Simon Property Group, Inc. | ||||||||
| 536,000 | 1.500%, 2/1/2018d | 516,270 | ||||||
| Simon Property Group, LP | ||||||||
| 580,000 | 10.350%, 4/1/2019 | 803,261 | ||||||
| SLM Corporation | ||||||||
| 465,000 | 3.875%, 9/10/2015 | 469,675 | ||||||
| 268,000 | 6.250%, 1/25/2016 | 284,080 | ||||||
| Societe Generale SA | ||||||||
| 500,000 | 5.200%, 4/15/2021d,h | 527,885 | ||||||
| SpareBank 1 Boligkreditt AS | ||||||||
| 1,560,000 | 1.250%, 5/2/2018d | 1,487,616 | ||||||
| Svensk Exportkredit AB | ||||||||
| 1,560,000 | 1.125%, 4/5/2018 | 1,516,200 | ||||||
| Svenska Handelsbanken AB | ||||||||
| 1,170,000 | 0.722%, 3/21/2016e | 1,170,015 | ||||||
| 536,000 | 3.125%, 7/12/2016 | 562,907 | ||||||
| 380,000 | 1.625%, 3/21/2018 | 370,046 | ||||||
| Swedbank Hypotek AB | ||||||||
| 1,560,000 | 1.375%, 3/28/2018d,h | 1,507,896 | ||||||
| Swiss RE Capital I, LP | ||||||||
| 725,000 | 6.854%, 5/29/2049d,i | 748,563 | ||||||
| Toronto-Dominion Bank | ||||||||
| 170,000 | 2.200%, 7/29/2015d | 175,219 | ||||||
| UBS AG London | ||||||||
| 1,560,000 | 0.750%, 3/24/2016d | 1,543,125 | ||||||
| UBS AG/Stamford, Connecticut | ||||||||
| 308,000 | 5.875%, 12/20/2017 | 354,278 | ||||||
| Ventas Realty, LP | ||||||||
| 580,000 | 2.700%, 4/1/2020 | 548,414 | ||||||
| Wachovia Corporation | ||||||||
| 1,330,000 | 5.625%, 10/15/2016 | 1,494,876 | ||||||
| 1,170,000 | 0.543%, 6/15/2017e | 1,150,094 | ||||||
| WellPoint, Inc. | ||||||||
| 600,000 | 1.875%, 1/15/2018 | 587,486 | ||||||
| Wells Fargo & Company | ||||||||
| 485,000 | 2.100%, 5/8/2017 | 486,734 | ||||||
| 580,000 | 1.500%, 1/16/2018 | 565,689 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
80
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (30.4%) | Value | ||||||
| Financials (3.8%) - continued | |||||||
| $ 590,000 | 3.450%, 2/13/2023 | $ | 563,471 | |||||
|
| |||||||
| Total | 119,491,414 | |||||||
|
| |||||||
| Foreign Government (0.3%) | |||||||
| Asian Development Bank | ||||||||
| 1,560,000 | 0.500%, 6/20/2016 | 1,547,988 | ||||||
| Costa Rica Government International Bond | ||||||||
| 536,000 | 4.250%, 1/26/2023d | 495,800 | ||||||
| Denmark Government International Bond | ||||||||
| 1,560,000 | 0.375%, 4/25/2016d | 1,543,152 | ||||||
| Export-Import Bank of Korea | ||||||||
| 536,000 | 1.250%, 11/20/2015 | 529,872 | ||||||
| International Finance Corporation | ||||||||
| 1,170,000 | 0.500%, 5/16/2016 | 1,162,048 | ||||||
| Kommunalbanken AS | ||||||||
| 25,000 | 2.750%, 5/5/2015d | 26,012 | ||||||
| 1,560,000 | 0.353%, 3/18/2016d,e | 1,559,179 | ||||||
| Kommuninvest i Sverige AB | ||||||||
| 1,560,000 | 0.500%, 6/15/2016d | 1,540,882 | ||||||
| Sweden Government International Bond | ||||||||
| 200,000 | 0.375%, 12/22/2015d | 198,640 | ||||||
| 2,060,000 | 0.375%, 3/29/2016d | 2,041,666 | ||||||
|
| |||||||
| Total | 10,645,239 | |||||||
|
| |||||||
| Mortgage-Backed Securities (10.2%) | |||||||
| Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 32,780,000 | 2.500%, 7/1/2028c | 32,943,900 | ||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 41,100,000 | 3.000%, 7/1/2043c | 40,059,656 | ||||||
| Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 46,217,000 | 2.500%, 7/1/2028c | 46,484,190 | ||||||
| Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 41,459,500 | 3.000%, 7/1/2043c | 40,507,225 | ||||||
| 74,785,000 | 3.500%, 7/1/2043c | 75,918,457 | ||||||
| 79,734,500 | 4.000%, 7/1/2043c | 83,064,037 | ||||||
|
| |||||||
| Total | 318,977,465 | |||||||
|
| |||||||
| Technology (0.3%) | |||||||
| Apple, Inc. | ||||||||
| 1,560,000 | 0.523%, 5/3/2018e | 1,553,314 | ||||||
| 290,000 | 2.400%, 5/3/2023 | 268,964 | ||||||
| Computer Sciences Corporation | ||||||||
| 382,000 | 2.500%, 9/15/2015 | 389,464 | ||||||
| EMC Corporation | ||||||||
| 1,050,000 | 1.875%, 6/1/2018 | 1,037,928 | ||||||
| Hewlett-Packard Company | ||||||||
| 510,000 | 2.125%, 9/13/2015 | 516,164 | ||||||
| 569,000 | 2.600%, 9/15/2017 | 568,254 | ||||||
| 580,000 | 3.750%, 12/1/2020 | 561,416 | ||||||
| Intel Corporation | ||||||||
| 656,000 | 4.000%, 12/15/2032 | 609,181 | ||||||
| Oracle Corporation | ||||||||
| 530,000 | 1.200%, 10/15/2017 | 514,747 | ||||||
| Samsung Electronics America, Inc. | ||||||||
| 590,000 | 1.750%, 4/10/2017d | 584,396 | ||||||
| Tyco Electronics Group SA | ||||||||
| 994,000 | 6.550%, 10/1/2017 | 1,150,654 | ||||||
| Xerox Corporation | ||||||||
| 510,000 | 7.200%, 4/1/2016 | 577,611 | ||||||
|
| |||||||
| Total | 8,332,093 | |||||||
|
| |||||||
| Transportation (0.1%) | |||||||
| Canadian Pacific Railway Company | ||||||||
| 400,000 | 7.125%, 10/15/2031 | 494,604 | ||||||
| 482,000 | 5.750%, 3/15/2033 | 525,847 | ||||||
| Continental Airlines, Inc. | ||||||||
| 330,000 | 4.150%, 4/11/2024 | 323,400 | ||||||
| CSX Corporation | ||||||||
| 628,000 | 6.250%, 4/1/2015 | 686,102 | ||||||
| Delta Air Lines, Inc. | ||||||||
| 760,000 | 6.750%, 5/23/2017 | 795,188 | ||||||
| 125,358 | 4.750%, 5/7/2020 | 131,312 | ||||||
| ERAC USA Finance, LLC | ||||||||
| 530,000 | 1.400%, 4/15/2016d | 526,059 | ||||||
| Kansas City Southern de Mexico SA de CV | ||||||||
| 580,000 | 2.350%, 5/15/2020d | 561,124 | ||||||
|
| |||||||
| Total | 4,043,636 | |||||||
|
| |||||||
| U.S. Government and Agencies (5.0%) | |||||||
| FDIC Structured Sale Guaranteed Notes | ||||||||
| 90,000 | Zero Coupon, 1/7/2014d | 89,807 | ||||||
| Federal Agricultural Mortgage Corporation | ||||||||
| 175,000 | 2.125%, 9/15/2015 | 180,921 | ||||||
| Federal Home Loan Banks | ||||||||
| 2,930,000 | 0.375%, 6/24/2016 | 2,897,081 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 1,330,000 | 1.375%, 5/1/2020h | 1,260,250 | ||||||
| Federal National Mortgage Association | ||||||||
| 1,950,000 | 0.595%, 8/25/2015 | 1,946,710 | ||||||
| 300,000 | 4.375%, 10/15/2015 | 325,941 | ||||||
| 1,355,000 | 0.375%, 7/5/2016h | 1,338,687 | ||||||
| 870,000 | 1.375%, 11/15/2016 | 881,959 | ||||||
| 870,000 | 0.875%, 5/21/2018 | 840,822 | ||||||
| 205,000 | 6.250%, 5/15/2029 | 266,494 | ||||||
| Tennessee Valley Authority | ||||||||
| 200,000 | 5.250%, 9/15/2039 | 225,025 | ||||||
| U.S. Treasury Bonds | ||||||||
| 440,000 | 7.625%, 2/15/2025 | 660,687 | ||||||
| 1,075,000 | 4.375%, 5/15/2040 | 1,260,773 | ||||||
| 5,145,000 | 3.000%, 5/15/2042 | 4,689,987 | ||||||
| 2,225,000 | 2.875%, 5/15/2043 | 1,969,125 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
81
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (30.4%) | Value | ||||||
| U.S. Government and Agencies (5.0%) - continued | |||||||
| U.S. Treasury Bonds, TIPS | ||||||||
| $ 49,350 | 2.375%, 1/15/2025 | $ | 58,788 | |||||
| 32,278 | 2.125%, 2/15/2040 | 39,228 | ||||||
| U.S. Treasury Notes | ||||||||
| 90,000 | 0.250%, 4/30/2014 | 90,060 | ||||||
| 2,005,000 | 0.750%, 6/15/2014 | 2,015,572 | ||||||
| 46,820,000 | 0.375%, 2/15/2016 | 46,611,511 | ||||||
| 650,000 | 2.625%, 2/29/2016 | 685,598 | ||||||
| 475,000 | 1.000%, 10/31/2016 | 477,821 | ||||||
| 1,550,000 | 3.250%, 3/31/2017 | 1,680,296 | ||||||
| 300,000 | 0.625%, 5/31/2017 | 295,219 | ||||||
| 13,000,000 | 1.000%, 5/31/2018 | 12,776,556 | ||||||
| 33,750,000 | 1.375%, 1/31/2020 | 32,811,345 | ||||||
| 10,060,000 | 1.625%, 8/15/2022 | 9,438,322 | ||||||
| 2,050,000 | 1.750%, 5/15/2023 | 1,919,952 | ||||||
| U.S. Treasury Notes, TIPS | ||||||||
| 27,967,884 | 0.125%, 4/15/2018 | 28,688,953 | ||||||
| 277,420 | 0.125%, 1/15/2022 | 271,719 | ||||||
| 1,108,260 | 0.125%, 1/15/2023 | 1,074,580 | ||||||
|
| |||||||
| Total | 157,769,789 | |||||||
|
| |||||||
| U.S. Municipals (3.1%) | |||||||
| Buckeye Tobacco Settlement Financing Authority Tobacco Settlement Bonds | ||||||||
| 3,450,000 | 5.125%, 6/1/2024 | 3,108,139 | ||||||
| California Various Purpose General Obligation Bonds | ||||||||
| 3,000,000 | 5.000%, 9/1/2036 | 3,136,650 | ||||||
| 1,500,000 | 5.000%, 4/1/2042 | 1,553,625 | ||||||
| 1,500,000 | 5.000%, 2/1/2043 | 1,556,595 | ||||||
| Dallas/Fort Worth International Airport Joint Revenue Improvement Bonds | ||||||||
| 6,000,000 | 5.000%, 11/1/2038 | 5,931,600 | ||||||
| Los Angeles Department of Water and Power Power System Revenue Bonds | ||||||||
| 7,498,000 | 5.000%, 7/1/2043 | 7,806,543 | ||||||
| Massachusetts Bay Transportation Authority Assessment Bonds | ||||||||
| 4,464,000 | 5.000%, 7/1/2041 | 4,725,769 | ||||||
| Massachusetts Development Finance Agency Revenue Bonds (Boston University) | ||||||||
| 4,273,000 | 5.000%, 10/1/2048 | 4,400,506 | ||||||
| Massachusetts School Building Authority Sales Tax Bonds | ||||||||
| 6,000,000 | 5.000%, 5/15/2043c | 6,384,180 | ||||||
| Metropolitan Transportation Authority Transportation Revenue Bonds | ||||||||
| 5,998,000 | 5.000%, 11/15/2043 | 6,119,400 | ||||||
| Miami-Dade County Expressway Authority Toll System Refunding Revenue Bonds | ||||||||
| 2,549,000 | 5.000%, 7/1/2040 | 2,613,974 | ||||||
| New Jersey Transportation Trust Fund Authority Transportation System Bonds | ||||||||
| 7,497,000 | 5.000%, 6/15/2042 | 7,720,336 | ||||||
| New Jersey Turnpike Authority Turnpike Revenue Bonds | ||||||||
| 2,400,000 | 5.000%, 1/1/2043 | 2,486,160 | ||||||
| New York City Municipal Water Finance Authority Water and Sewer System Revenue Bonds | ||||||||
| 5,998,000 | 5.000%, 6/15/2047 | 6,265,631 | ||||||
| New York City Transitional Finance Authority Future Tax Bonds | ||||||||
| 5,601,000 | 5.000%, 5/1/2042 | 5,944,509 | ||||||
| New York State Dormitory Authority Personal Income Tax Revenue Bonds | ||||||||
| 3,599,000 | 5.000%, 3/15/2042 | 3,785,356 | ||||||
| North Texas Tollway Authority System Current Interest Revenue Refunding Bonds | ||||||||
| 5,998,000 | 5.000%, 1/1/2042 | 6,122,818 | ||||||
| San Diego County Regional Airport Authority Airport Revenue Bonds | ||||||||
| 5,173,000 | 5.000%, 7/1/2038 | 5,254,371 | ||||||
| South Carolina Public Service Authority Revenue Obligation Bonds (Santee Cooper) | ||||||||
| 5,998,000 | 5.000%, 12/1/2043 | 6,247,217 | ||||||
| University of Massachusetts Building Authority Project Revenue Bonds | ||||||||
| 4,798,000 | 5.000%, 11/1/2039 | 5,057,332 | ||||||
|
| |||||||
| Total | 96,220,711 | |||||||
|
| |||||||
| Utilities (0.5%) | |||||||
| American Electric Power Company, Inc. | ||||||||
| 536,000 | 1.650%, 12/15/2017 | 521,060 | ||||||
| DCP Midstream Operating, LP | ||||||||
| 268,000 | 2.500%, 12/1/2017 | 264,543 | ||||||
| Duke Energy Corporation | ||||||||
| 900,000 | 2.100%, 6/15/2018 | 894,429 | ||||||
| Enel Finance International NV | ||||||||
| 740,000 | 3.875%, 10/7/2014d | 757,745 | ||||||
| 450,000 | 6.250%, 9/15/2017d | 493,686 | ||||||
| Energy Transfer Partners, LP | ||||||||
| 290,000 | 9.700%, 3/15/2019 | 376,354 | ||||||
| 756,000 | 4.650%, 6/1/2021 | 782,367 | ||||||
| Enterprise Products Operating, LLC | ||||||||
| 756,000 | 1.250%, 8/13/2015 | 758,481 | ||||||
| Exelon Corporation | ||||||||
| 685,000 | 4.900%, 6/15/2015 | 733,121 | ||||||
| Exelon Generation Company, LLC | ||||||||
| 870,000 | 5.200%, 10/1/2019 | 956,742 | ||||||
| Iberdrola Finance Ireland, Ltd. | ||||||||
| 520,000 | 3.800%, 9/11/2014d | 533,432 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
82
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (30.4%) | Value | ||||||
| Utilities (0.5%) - continued | |||||||
| ITC Holdings Corporation | ||||||||
| $ 644,000 | 5.875%, 9/30/2016d | $ | 718,826 | |||||
| 284,000 | 4.050%, 7/1/2023c | 284,505 | ||||||
| Kinder Morgan Energy Partners, LP | ||||||||
| 885,000 | 5.300%, 9/15/2020 | 982,697 | ||||||
| 510,000 | 5.000%, 8/15/2042 | 481,123 | ||||||
| MidAmerican Energy Holdings Company | ||||||||
| 510,000 | 6.500%, 9/15/2037 | 605,612 | ||||||
| NextEra Energy Capital Holdings, Inc. | ||||||||
| 765,000 | 1.200%, 6/1/2015 | 768,871 | ||||||
| NiSource Finance Corporation | ||||||||
| 850,000 | 6.800%, 1/15/2019 | 1,005,805 | ||||||
| Northeast Utilities | ||||||||
| 435,000 | 1.450%, 5/1/2018 | 422,225 | ||||||
| ONEOK Partners, LP | ||||||||
| 596,000 | 8.625%, 3/1/2019 | 754,649 | ||||||
| Pacific Gas & Electric Company | ||||||||
| 715,000 | 5.625%, 11/30/2017 | 826,361 | ||||||
| PPL Capital Funding, Inc. | ||||||||
| 1,120,000 | 1.900%, 6/1/2018 | 1,100,184 | ||||||
| 280,000 | 3.500%, 12/1/2022 | 267,867 | ||||||
| Sempra Energy | ||||||||
| 965,000 | 6.150%, 6/15/2018 | 1,127,404 | ||||||
| Williams Partners, LP | ||||||||
| 255,000 | 7.250%, 2/1/2017 | 296,366 | ||||||
|
| |||||||
| Total | 16,714,455 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $960,230,647) | 955,098,218 | |||||||
|
| |||||||
| Shares | Common Stock (11.4%) | |||||||
| Consumer Discretionary (1.6%) | |||||||
| 19,500 | Abercrombie & Fitch Company | 882,376 | ||||||
| 13,356 | Amazon.com, Inc.j | 3,708,828 | ||||||
| 7,050 | AutoZone, Inc.j | 2,987,014 | ||||||
| 36,750 | CBS Corporation | 1,795,972 | ||||||
| 7,100 | Charter Communications, Inc.j | 879,335 | ||||||
| 20,060 | Cheesecake Factory, Inc. | 840,313 | ||||||
| 25,900 | Chico’s FAS, Inc. | 441,854 | ||||||
| 142,713 | Comcast Corporation | 5,976,820 | ||||||
| 5,200 | Conn’s, Inc.j | 269,152 | ||||||
| 2,400 | CST Brands, Inc.j | 73,944 | ||||||
| 7,100 | Dana Holding Corporation | 136,746 | ||||||
| 21,269 | Delphi Automotive plc | 1,078,126 | ||||||
| 5,700 | DeVry, Inc. | 176,814 | ||||||
| 10,100 | DISH Network Corporation | 429,452 | ||||||
| 5,607 | Finish Line, Inc. | 122,569 | ||||||
| 26,835 | Foot Locker, Inc. | 942,714 | ||||||
| 25,000 | Gap, Inc. | 1,043,250 | ||||||
| 14,710 | GNC Holdings, Inc. | 650,329 | ||||||
| 4,100 | Grand Canyon Education, Inc.j | 132,143 | ||||||
| 4,960 | Harley-Davidson, Inc. | 271,907 | ||||||
| 14,284 | Hasbro, Inc.h | 640,352 | ||||||
| 42,800 | Home Depot, Inc. | 3,315,716 | ||||||
| 21,100 | Hovnanian Enterprises, Inc.h,j | 118,371 | ||||||
| 6,190 | iShares Dow Jones US Home Construction Index Fund | 138,532 | ||||||
| 58,276 | Las Vegas Sands Corporation | 3,084,549 | ||||||
| 11,353 | LifeLock, Inc.h,j | 132,944 | ||||||
| 49,930 | Lowe’s Companies, Inc. | 2,042,137 | ||||||
| 4,620 | M/I Homes, Inc.j | 106,075 | ||||||
| 16,700 | Macy’s, Inc. | 801,600 | ||||||
| 5,400 | Marriott Vacations Worldwide Corporationj | 233,496 | ||||||
| 6,490 | MDC Partners, Inc. | 117,080 | ||||||
| 16,850 | Meredith Corporationh | 803,745 | ||||||
| 4,800 | Michael Kors Holdings, Ltd.j | 297,696 | ||||||
| 600 | Netflix, Inc.j | 126,654 | ||||||
| 17,800 | New York Times Companyj | 196,868 | ||||||
| 36,190 | News Corporation | 1,187,756 | ||||||
| 15,870 | Nexstar Broadcasting Group, Inc. | 562,750 | ||||||
| 71,200 | NIKE, Inc. | 4,534,016 | ||||||
| 6,900 | Omnicom Group, Inc. | 433,803 | ||||||
| 9,100 | Papa John’s International, Inc.j | 594,867 | ||||||
| 6,300 | Penn National Gaming, Inc.j | 333,018 | ||||||
| 35,849 | Pier 1 Imports, Inc. | 842,093 | ||||||
| 16,100 | Pulte Group, Inc.j | 305,417 | ||||||
| 68,700 | Sally Beauty Holdings, Inc.j | 2,136,570 | ||||||
| 48,100 | Sirius XM Radio, Inc. | 161,135 | ||||||
| 67,100 | Smith & Wesson Holding Corporationh,j | 669,658 | ||||||
| 5,814 | Stage Stores, Inc. | 136,629 | ||||||
| 37,900 | Standard Pacific Corporationh,j | 315,707 | ||||||
| 11,300 | Staples, Inc. | 179,218 | ||||||
| 3,400 | Sturm, Ruger & Company, Inc.h | 163,336 | ||||||
| 3,600 | Target Corporation | 247,896 | ||||||
| 7,600 | Tempur-Pedic International, Inc.j | 333,640 | ||||||
| 10,340 | Time Warner Cable, Inc. | 1,163,043 | ||||||
| 11,600 | TJX Companies, Inc. | 580,696 | ||||||
| 11,000 | Toll Brothers, Inc.j | 358,930 | ||||||
| 3,800 | Urban Outfitters, Inc.j | 152,836 | ||||||
| 7,500 | Valassis Communications, Inc.h | 184,425 | ||||||
| 10,800 | Vera Bradley, Inc.h,j | 233,928 | ||||||
|
| |||||||
| Total | 50,806,840 | |||||||
|
| |||||||
| Consumer Staples (0.8%) | |||||||
| 34,000 | Altria Group, Inc. | 1,189,660 | ||||||
| 2,261 | Andersons, Inc. | 120,263 | ||||||
| 11,646 | Annie’s, Inc.h,j | 497,750 | ||||||
| 37,200 | Archer-Daniels-Midland Company | 1,261,452 | ||||||
| 6,500 | Avon Products, Inc. | 136,695 | ||||||
| 22,156 | British American Tobacco plc ADRh | 2,280,739 | ||||||
| 17,000 | Bunge, Ltd. | 1,203,090 | ||||||
| 15,100 | Campbell Soup Company | 676,329 | ||||||
| 6,300 | Clorox Company | 523,782 | ||||||
| 18,100 | Colgate-Palmolive Company | 1,036,949 | ||||||
| 45,670 | CVS Caremark Corporation | 2,611,411 | ||||||
| 4,728 | Energizer Holdings, Inc. | 475,211 | ||||||
| 38,688 | Ingredion, Inc. | 2,538,706 | ||||||
| 6,550 | Kimberly-Clark Corporation | 636,267 | ||||||
| 9,563 | Kraft Foods Group, Inc. | 534,285 | ||||||
| 29,300 | Kroger Company | 1,012,022 | ||||||
| 28,689 | Mondelez International, Inc. | 818,497 | ||||||
| 37,500 | Nestle SA | 2,460,765 | ||||||
| 7,358 | Philip Morris International, Inc. | 637,350 | ||||||
| 49,700 | Procter & Gamble Company | 3,826,403 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
83
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (11.4%) | Value | ||||||
| Consumer Staples (0.8%) - continued | |||||||
| 10,500 | Safeway, Inc. | $ | 248,430 | |||||
| 22,000 | Tyson Foods, Inc. | 564,960 | ||||||
| 10,900 | Wal-Mart Stores, Inc. | 811,941 | ||||||
|
| |||||||
| Total | 26,102,957 | |||||||
|
| |||||||
| Energy (1.6%) | |||||||
| 106,861 | Alpha Natural Resources, Inc.j | 559,952 | ||||||
| 67,383 | BP plc ADR | 2,812,566 | ||||||
| 25,350 | Chevron Corporation | 2,999,919 | ||||||
| 25,400 | Cobalt International Energy, Inc.j | 674,878 | ||||||
| 12,800 | Concho Resources, Inc.j | 1,071,616 | ||||||
| 69,600 | Consol Energy, Inc. | 1,886,160 | ||||||
| 10,200 | Delek US Holdings, Inc. | 293,556 | ||||||
| 17,000 | Dril-Quip, Inc.j | 1,534,930 | ||||||
| 5,200 | Ensco plc | 302,224 | ||||||
| 25,016 | EOG Resources, Inc. | 3,294,107 | ||||||
| 32,530 | EQT Corporation | 2,581,906 | ||||||
| 33,700 | Exxon Mobil Corporation | 3,044,795 | ||||||
| 18,200 | Helmerich & Payne, Inc. | 1,136,590 | ||||||
| 16,300 | HollyFrontier Corporation | 697,314 | ||||||
| 179,563 | Marathon Oil Corporation | 6,209,289 | ||||||
| 11,500 | Marathon Petroleum Corporation | 817,190 | ||||||
| 27,400 | National Oilwell Varco, Inc. | 1,887,860 | ||||||
| 35,800 | Oasis Petroleum, Inc.j | 1,391,546 | ||||||
| 11,900 | Occidental Petroleum Corporation | 1,061,837 | ||||||
| 6,700 | Oil States International, Inc.j | 620,688 | ||||||
| 45,800 | Patterson-UTI Energy, Inc. | 886,459 | ||||||
| 37,800 | Peabody Energy Corporation | 553,392 | ||||||
| 41,300 | Petroleo Brasileiro SA ADR | 554,246 | ||||||
| 36,490 | Rex Energy Corporationj | 641,494 | ||||||
| 87,250 | Schlumberger, Ltd. | 6,252,335 | ||||||
| 15,800 | SM Energy Company | 947,684 | ||||||
| 10,100 | Southwestern Energy Companyj | 368,953 | ||||||
| 4,600 | Tesoro Corporation | 240,672 | ||||||
| 33,900 | Ultra Petroleum Corporationh,j | 671,898 | ||||||
| 21,600 | Valero Energy Corporation | 751,032 | ||||||
| 364,961 | Weatherford International, Ltd.j | 4,999,966 | ||||||
| 11,400 | Western Refining, Inc. | 319,998 | ||||||
|
| |||||||
| Total | 52,067,052 | |||||||
|
| |||||||
| Financials (2.5%) | |||||||
| 18,650 | ACE, Ltd. | 1,668,803 | ||||||
| 5,543 | Affiliated Managers Group, Inc.j | 908,719 | ||||||
| 3,700 | Allied World Assurance Company Holdings AG | 338,587 | ||||||
| 13,030 | Allstate Corporation | 627,004 | ||||||
| 5,900 | American Assets Trust, Inc. | 182,074 | ||||||
| 9,800 | American Capital, Ltd.j | 124,166 | ||||||
| 57,100 | Annaly Capital Management, Inc. | 717,747 | ||||||
| 4,400 | Aspen Insurance Holdings, Ltd. | 163,196 | ||||||
| 7,900 | Axis Capital Holdings, Ltd. | 361,662 | ||||||
| 167,150 | Bank of America Corporation | 2,149,549 | ||||||
| 7,200 | Banner Corporation | 243,288 | ||||||
| 21,039 | BGC Partners, Inc. | 123,920 | ||||||
| 10,697 | Boston Properties, Inc. | 1,128,213 | ||||||
| 32,100 | CapitalSource, Inc. | 301,098 | ||||||
| 19,800 | CBL & Associates Properties, Inc. | 424,116 | ||||||
| 87,548 | Citigroup, Inc. | 4,199,678 | ||||||
| 3,662 | CNA Financial Corporation | 119,454 | ||||||
| 6,760 | Colonial Properties Trust | 163,051 | ||||||
| 6,800 | Comerica, Inc. | 270,844 | ||||||
| 24,700 | DCT Industrial Trust, Inc. | 176,605 | ||||||
| 9,200 | Discover Financial Services | 438,288 | ||||||
| 18,969 | Equity Residential | 1,101,340 | ||||||
| 3,600 | Extra Space Storage, Inc. | 150,948 | ||||||
| 56,900 | Fifth Third Bancorp | 1,027,045 | ||||||
| 24,518 | HCC Insurance Holdings, Inc. | 1,056,971 | ||||||
| 8,149 | Health Care REIT, Inc. | 546,227 | ||||||
| 11,400 | Home Loan Servicing Solutions, Ltd. | 273,258 | ||||||
| 22,698 | Host Hotels & Resorts, Inc. | 382,915 | ||||||
| 65,700 | Huntington Bancshares, Inc. | 517,716 | ||||||
| 33,150 | Invesco, Ltd. | 1,054,170 | ||||||
| 117,000 | iShares Barclays 1-3 Year Credit Bond Fund | 12,288,510 | ||||||
| 17,420 | iShares Russell 2000 Index Fund | 1,692,527 | ||||||
| 1,200 | iShares Russell 3000 Index Fund | 115,680 | ||||||
| 46,314 | J.P. Morgan Chase & Company | 2,444,916 | ||||||
| 24,900 | Janus Capital Group, Inc. | 211,899 | ||||||
| 50,532 | Kimco Realty Corporation | 1,082,901 | ||||||
| 11,288 | Lazard, Ltd. | 362,909 | ||||||
| 13,400 | Leucadia National Corporation | 351,348 | ||||||
| 3,500 | M&T Bank Corporationh | 391,125 | ||||||
| 4,300 | MasterCard, Inc. | 2,470,350 | ||||||
| 41,320 | MetLife, Inc. | 1,890,803 | ||||||
| 8,400 | Montpelier Re Holdings, Inc. | 210,084 | ||||||
| 45,110 | Morgan Stanley | 1,102,037 | ||||||
| 15,200 | NASDAQ OMX Group, Inc. | 498,408 | ||||||
| 8,100 | Northern Trust Corporation | 468,990 | ||||||
| 6,900 | Pebblebrook Hotel Trust | 178,365 | ||||||
| 17,600 | Piedmont Office Realty Trust, Inc. | 314,688 | ||||||
| 36,188 | Popular, Inc.j | 1,097,582 | ||||||
| 1,800 | Portfolio Recovery Associates, Inc.j | 276,534 | ||||||
| 3,000 | ProAssurance Corporation | 156,480 | ||||||
| 5,700 | Progressive Corporation | 144,894 | ||||||
| 8,800 | Protective Life Corporation | 338,008 | ||||||
| 6,651 | Public Storage, Inc. | 1,019,798 | ||||||
| 8,098 | Simon Property Group, Inc. | 1,278,836 | ||||||
| 20,900 | SLM Corporation | 477,774 | ||||||
| 12,000 | SPDR Gold Trusth,j | 1,429,800 | ||||||
| 42,400 | SPDR S&P 500 ETF Trust | 6,784,424 | ||||||
| 14,850 | State Street Corporation | 968,369 | ||||||
| 4,135 | Stewart Information Services Corporation | 108,296 | ||||||
| 18,150 | SVB Financial Groupj | 1,512,258 | ||||||
| 2,035 | Taubman Centers, Inc. | 152,930 | ||||||
| 14,000 | TCF Financial Corporation | 198,520 | ||||||
| 12,620 | Terreno Realty Corporation | 233,849 | ||||||
| 7,591 | Tower Group International, Ltd. | 155,691 | ||||||
| 46,800 | Vanguard Intermediate-Term Corporate Bond ETF | 3,889,080 | ||||||
| 18,700 | Visa, Inc. | 3,417,425 | ||||||
| 10,867 | Vornado Realty Trust | 900,331 | ||||||
| 9,624 | W.R. Berkley Corporation | 393,237 | ||||||
| 93,756 | Wells Fargo & Company | 3,869,310 | ||||||
| 52,093 | Zions Bancorporation | 1,504,446 | ||||||
|
| |||||||
| Total | 77,324,064 | |||||||
|
| |||||||
| Health Care (1.3%) | |||||||
| 4,400 | Abbott Laboratories | 153,472 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
84
Table of Contents
Moderately Conservative Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (11.4%) | Value | ||||||
| Health Care (1.3%) - continued | |||||||
| 17,500 | Akorn, Inc.j | $ | 236,600 | |||||
| 15,130 | Align Technology, Inc.j | 560,415 | ||||||
| 30,300 | Allscripts Healthcare Solutions, Inc.j | 392,082 | ||||||
| 3,200 | AmerisourceBergen Corporation | 178,656 | ||||||
| 11,600 | Amgen, Inc. | 1,144,456 | ||||||
| 27,200 | Astex Pharmaceuticals, Inc.j | 111,792 | ||||||
| 14,180 | Baxter International, Inc. | 982,249 | ||||||
| 2,400 | Biogen Idec, Inc.j | 516,480 | ||||||
| 4,200 | Bio-Reference Laboratories, Inc.h,j | 120,750 | ||||||
| 3,172 | C.R. Bard, Inc. | 344,733 | ||||||
| 9,300 | Celgene Corporationj | 1,087,263 | ||||||
| 15,200 | Community Health Systems, Inc. | 712,576 | ||||||
| 64,050 | Covidien plc | 4,024,902 | ||||||
| 10,690 | Eli Lilly and Company | 525,093 | ||||||
| 2,241 | ExamWorks Group, Inc.j | 47,576 | ||||||
| 72,700 | Express Scripts Holding Companyj | 4,484,863 | ||||||
| 133,300 | Gilead Sciences, Inc.j | 6,826,293 | ||||||
| 5,971 | HeartWare International, Inc.j | 567,902 | ||||||
| 11,953 | Hologic, Inc.j | 230,693 | ||||||
| 6,500 | Illumina, Inc.h,j | 486,460 | ||||||
| 12,500 | Medicines Companyj | 384,500 | ||||||
| 64,320 | Merck & Company, Inc. | 2,987,664 | ||||||
| 9,600 | Neurocrine Biosciences, Inc.j | 128,448 | ||||||
| 5,242 | NuVasive, Inc.j | 129,949 | ||||||
| 5,700 | PAREXEL International Corporationj | 261,858 | ||||||
| 26,481 | PDL BioPharma, Inc.h | 204,433 | ||||||
| 5,400 | Pfizer, Inc. | 151,254 | ||||||
| 4,700 | Questcor Pharmaceuticals, Inc.h | 213,662 | ||||||
| 21,600 | ResMed, Inc.h | 974,808 | ||||||
| 35,070 | Sanofi ADR | 1,806,456 | ||||||
| 5,900 | Santarus, Inc.j | 124,195 | ||||||
| 12,900 | Seattle Genetics, Inc.h,j | 405,834 | ||||||
| 35,400 | Shire Pharmaceuticals Group plc ADR | 3,366,894 | ||||||
| 25,403 | Spectrum Pharmaceuticals, Inc.h | 189,506 | ||||||
| 12,600 | Thoratec Corporationj | 394,506 | ||||||
| 9,300 | United Therapeutics Corporationj | 612,126 | ||||||
| 29,508 | UnitedHealth Group, Inc. | 1,932,184 | ||||||
| 5,900 | Vertex Pharmaceuticals, Inc.j | 471,233 | ||||||
| 3,100 | Waters Corporationj | 310,155 | ||||||
| 15,968 | Zimmer Holdings, Inc. | 1,196,642 | ||||||
|
| |||||||
| Total | 39,981,613 | |||||||
|
| |||||||
| Industrials (1.1%) | |||||||
| 18,510 | Actuant Corporation | 610,275 | ||||||
| 9,600 | Acuity Brands, Inc. | 724,992 | ||||||
| 26,650 | ADT Corporationj | 1,062,003 | ||||||
| 1,500 | AGCO Corporation | 75,285 | ||||||
| 5,199 | Briggs & Stratton Corporation | 102,940 | ||||||
| 44,571 | CSX Corporation | 1,033,601 | ||||||
| 7,100 | Deluxe Corporation | 246,015 | ||||||
| 21,800 | DigitalGlobe, Inc.j | 676,018 | ||||||
| 20,750 | EMCOR Group, Inc. | 843,488 | ||||||
| 5,500 | EnerSys, Inc. | 269,720 | ||||||
| 6,300 | Flowserve Corporation | 340,263 | ||||||
| 14,900 | Foster Wheeler AGj | 323,479 | ||||||
| 14,200 | GATX Corporation | 673,506 | ||||||
| 37,350 | General Electric Company | 866,146 | ||||||
| 20,900 | HNI Corporation | 753,863 | ||||||
| 61,661 | Honeywell International, Inc. | 4,892,184 | ||||||
| 2,300 | Huntington Ingalls Industries, Inc. | 129,904 | ||||||
| 28,700 | Ingersoll-Rand plc | 1,593,424 | ||||||
| 87,250 | Jacobs Engineering Group, Inc.j | 4,810,092 | ||||||
| 51,600 | JetBlue Airways Corporationj | 325,080 | ||||||
| 11,400 | Landstar System, Inc. | 587,100 | ||||||
| 4,800 | Lockheed Martin Corporation | 520,608 | ||||||
| 15,054 | Manitowoc Company, Inc. | 269,617 | ||||||
| 19,700 | Manpower, Inc. | 1,079,560 | ||||||
| 4,600 | MRC Global, Inc.j | 127,052 | ||||||
| 21,917 | Oshkosh Corporationj | 832,188 | ||||||
| 4,252 | Parker Hannifin Corporation | 405,641 | ||||||
| 10,640 | Pentair, Ltd. | 613,822 | ||||||
| 35,900 | Pitney Bowes, Inc.h | 527,012 | ||||||
| 8,600 | Quanta Services, Inc.j | 227,556 | ||||||
| 14,000 | Republic Airways Holdings, Inc.j | 158,620 | ||||||
| 29,900 | Southwest Airlines Company | 385,411 | ||||||
| 6,060 | Tennant Company | 292,516 | ||||||
| 5,200 | Terex Corporationj | 136,760 | ||||||
| 24,400 | Union Pacific Corporation | 3,764,432 | ||||||
| 3,411 | United Stationers, Inc. | 114,439 | ||||||
| 31,754 | United Technologies Corporation | 2,951,217 | ||||||
| 6,000 | USG Corporationj | 138,300 | ||||||
| 16,900 | Wabash National Corporationj | 172,042 | ||||||
| 15,600 | Woodward, Inc. | 624,000 | ||||||
|
| |||||||
| Total | 34,280,171 | |||||||
|
| |||||||
| Information Technology (1.9%) | |||||||
| 63,200 | Activision Blizzard, Inc. | 901,232 | ||||||
| 6,200 | Alliance Data Systems Corporationh,j | 1,122,386 | ||||||
| 10,300 | AOL, Inc.j | 375,744 | ||||||
| 19,412 | Apple, Inc. | 7,688,705 | ||||||
| 36,405 | Applied Materials, Inc. | 542,799 | ||||||
| 102,000 | Atmel Corporationj | 749,700 | ||||||
| 9,800 | Autodesk, Inc.j | 332,612 | ||||||
| 173,500 | Brocade Communications Systems, Inc.j | 999,360 | ||||||
| 104,210 | Cisco Systems, Inc. | 2,533,345 | ||||||
| 60,100 | Citrix Systems, Inc.j | 3,625,833 | ||||||
| 16,100 | Computer Sciences Corporation | 704,697 | ||||||
| 36,781 | CoreLogic, Inc.j | 852,216 | ||||||
| 7,100 | Cray, Inc.j | 139,444 | ||||||
| 3,087 | DST Systems, Inc. | 201,674 | ||||||
| 55,322 | eBay, Inc.j | 2,861,254 | ||||||
| 6,800 | Ellie Mae, Inc.j | 156,944 | ||||||
| 26,300 | ExactTarget, Inc.j | 886,836 | ||||||
| 81,200 | Facebook, Inc.j | 2,018,632 | ||||||
| 13,600 | FLIR Systems, Inc. | 366,792 | ||||||
| 6,219 | Google, Inc.j | 5,475,021 | ||||||
| 7,400 | Guidewire Software, Inc.j | 311,170 | ||||||
| 17,600 | Informatica Corporationj | 615,648 | ||||||
| 64,700 | Intel Corporation | 1,567,034 | ||||||
| 12,300 | InterDigital, Inc.h | 549,195 | ||||||
| 9,101 | Itron, Inc.j | 386,155 | ||||||
| 5,600 | j2 Global, Inc.h | 238,056 | ||||||
| 16,707 | Juniper Networks, Inc.j | 322,612 | ||||||
| 11,013 | Lexmark International, Inc.h | 336,667 | ||||||
| 9,200 | Mentor Graphics Corporation | 179,860 | ||||||
| 29,880 | Microsoft Corporation | 1,031,756 | ||||||
| 85,437 | NetApp, Inc.j | 3,227,810 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (11.4%) | Value | ||||||
| Information Technology (1.9%) - continued | |||||||
| 39,406 | NVIDIA Corporation | $ | 552,866 | |||||
| 14,857 | Plantronics, Inc. | 652,520 | ||||||
| 68,827 | QUALCOMM, Inc. | 4,203,953 | ||||||
| 32,085 | SAIC, Inc. | 446,944 | ||||||
| 15,700 | SunEdison, Inc.j | 128,269 | ||||||
| 4,000 | SunPower Corporationj | 82,800 | ||||||
| 72,930 | Symantec Corporation | 1,638,737 | ||||||
| 66,535 | Teradyne, Inc.j | 1,169,020 | ||||||
| 62,280 | Texas Instruments, Inc. | 2,171,704 | ||||||
| 49,640 | TriQuint Semiconductor, Inc.j | 344,005 | ||||||
| 6,577 | Unisys Corporationj | 145,154 | ||||||
| 55,500 | Vishay Intertechnology, Inc.j | 770,895 | ||||||
| 54,400 | VMware, Inc.j | 3,644,256 | ||||||
| 7,600 | Western Digital Corporation | 471,884 | ||||||
| 33 | Workday, Inc.j | 2,115 | ||||||
| 32,528 | Xilinx, Inc. | 1,288,434 | ||||||
| 27,900 | Yahoo!, Inc.j | 700,569 | ||||||
|
| |||||||
| Total | 59,715,314 | |||||||
|
| |||||||
| Materials (0.3%) | |||||||
| 11,500 | Axiall Corporation | 489,670 | ||||||
| 10,000 | Buckeye Technologies, Inc. | 370,400 | ||||||
| 11,100 | Celanese Corporation | 497,280 | ||||||
| 3,200 | CF Industries Holdings, Inc. | 548,800 | ||||||
| 17,100 | Cliffs Natural Resources, Inc.h | 277,875 | ||||||
| 16,710 | Dow Chemical Company | 537,561 | ||||||
| 6,700 | Eagle Materials, Inc. | 444,009 | ||||||
| 10,300 | H.B. Fuller Company | 389,443 | ||||||
| 2,325 | Innophos Holdings, Inc. | 109,670 | ||||||
| 15,500 | Mosaic Company | 834,055 | ||||||
| 12,420 | Nucor Corporation | 538,034 | ||||||
| 11,800 | Owens-Illinois, Inc.j | 327,922 | ||||||
| 6,254 | Silgan Holdings, Inc. | 293,688 | ||||||
| 23,728 | Southern Copper Corporation | 655,367 | ||||||
| 28,080 | Steel Dynamics, Inc. | 418,673 | ||||||
| 19,300 | SunCoke Energy, Inc.j | 270,586 | ||||||
| 53,500 | Teck Resources, Ltd. | 1,143,295 | ||||||
| 15,800 | Walter Energy, Inc.h | 164,320 | ||||||
|
| |||||||
| Total | 8,310,648 | |||||||
|
| |||||||
| Telecommunications Services (0.1%) | |||||||
| 42,000 | AT&T, Inc. | 1,486,800 | ||||||
| 20,489 | Verizon Communications, Inc. | 1,031,416 | ||||||
|
| |||||||
| Total | 2,518,216 | |||||||
|
| |||||||
| Utilities (0.2%) | |||||||
| 39,000 | Calpine Corporationj | 827,970 | ||||||
| 14,700 | CMS Energy Corporation | 399,399 | ||||||
| 38,940 | NiSource, Inc. | 1,115,242 | ||||||
| 26,900 | NRG Energy, Inc. | 718,230 | ||||||
| 36,250 | PG&E Corporation | 1,657,712 | ||||||
| 25,400 | PNM Resources, Inc. | 563,626 | ||||||
| 10,200 | Public Service Enterprise Group, Inc. | 333,132 | ||||||
| 15,900 | Southern Company | 701,667 | ||||||
| 12,081 | Southwest Gas Corporation | 565,270 | ||||||
| 11,600 | Wisconsin Energy Corporation | 475,484 | ||||||
|
| |||||||
| Total | 7,357,732 | |||||||
|
| |||||||
| Total Common Stock (cost $315,973,574) | 358,464,607 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.7%) | ||||||||
| 22,428,437 | Thrivent Cash Management Trust | 22,428,437 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $22,428,437) | 22,428,437 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (27.5%) | |||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 3,000,000 | 0.050%, 7/5/2013k | 2,999,975 | ||||||
| 24,500,000 | 0.060%, 7/9/2013k | 24,499,592 | ||||||
| 1,500,000 | 0.080%, 7/10/2013k,l | 1,499,963 | ||||||
| 14,500,000 | 0.050%, 7/12/2013k,l | 14,499,738 | ||||||
| 100,000,000 | 0.050%, 7/19/2013k | 99,997,222 | ||||||
| 50,000,000 | 0.060%, 7/31/2013k | 49,997,333 | ||||||
| 50,000,000 | 0.065%, 8/2/2013k | 49,996,931 | ||||||
| 100,000,000 | 0.070%, 8/7/2013k | 99,992,417 | ||||||
| 50,000,000 | 0.069%, 8/9/2013k | 49,996,070 | ||||||
| 100,000,000 | 0.070%, 8/14/2013k | 99,991,056 | ||||||
| 79,000,000 | 0.072%, 8/16/2013k | 78,992,433 | ||||||
| 37,000,000 | 0.090%, 9/11/2013k | 36,993,155 | ||||||
| 5,000,000 | 0.080%, 9/17/2013k | 4,999,111 | ||||||
| 6,300,000 | 0.093%, 11/22/2013k,l | 6,297,624 | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 5,800,000 | 0.040%, 7/1/2013k | 5,799,987 | ||||||
| 50,000,000 | 0.065%, 8/12/2013k | 49,996,028 | ||||||
| 50,000,000 | 0.060%, 8/19/2013k | 49,995,750 | ||||||
| 3,318,000 | 0.115%, 11/5/2013k | 3,316,633 | ||||||
| 17,600,000 | 0.095%, 12/2/2013k,l | 17,592,755 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 6,000,000 | 0.050%, 7/31/2013k | 5,999,733 | ||||||
| 55,000,000 | 0.063%, 8/7/2013k | 54,996,262 | ||||||
| 48,864,000 | 0.060%, 8/21/2013k | 48,859,684 | ||||||
| 5,000,000 | 0.063%, 8/28/2013k | 4,999,475 | ||||||
| 3,000,000 | 0.100%, 9/25/2013k | 2,999,267 | ||||||
| 500,000 | 0.100%, 12/4/2013k,l | 499,780 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 865,807,974 | |||||||
|
| |||||||
| Total Investments (cost $3,450,378,017) 112.4% | $ | 3,536,340,339 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (12.4%) | (391,200,691 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 3,145,139,648 | ||||||
|
| |||||||
| 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. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of June 28, 2013
(unaudited)
| 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 June 28, 2013, the value of these investments was $86,126,378 or 2.7% 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 June 28, 2013. |
| 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 Moderately Conservative Allocation Portfolio owned as of June 28, 2013. |
Security | Acquisition Date | Cost | ||||||
Edlinc Student Loan Funding Trust | 2/28/2013 | $ | 1,575,789 | |||||
| g | Denotes interest only security. Interest only securities represent the right to receive monthly interest payments on an underlying pool of mortgages or assets. The principal shown is the outstanding par amount of the pool as of the end of the period. The actual effective yield of the security is different than the stated coupon rate. |
| h | All or a portion of the security is on loan. |
| i | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| j | Non-income producing security. |
| k | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| l | At June 28, 2013, $24,290,978 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 | $ | 117,529,116 | ||
Gross unrealized depreciation | (33,149,503 | ) | ||
Net unrealized appreciation (depreciation) | $ | 84,379,613 | ||
|
| |||
Cost for federal income tax purposes | $ | 3,451,960,726 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 9,236,686 | — | 9,236,686 | — | ||||||||||||
Capital Goods | 6,135,329 | — | 6,135,329 | — | ||||||||||||
Communications Services | 52,200,550 | — | 52,200,550 | — | ||||||||||||
Consumer Cyclical | 20,084,918 | — | 20,084,918 | — | ||||||||||||
Consumer Non-Cyclical | 21,744,951 | — | 21,744,951 | — | ||||||||||||
Energy | 5,808,042 | — | 5,808,042 | — | ||||||||||||
Financials | 7,026,721 | — | 7,026,721 | — | ||||||||||||
Technology | 7,927,637 | — | 7,927,637 | — | ||||||||||||
Transportation | 5,614,075 | — | 5,614,075 | — | ||||||||||||
Utilities | 6,406,819 | — | 6,406,819 | — | ||||||||||||
Mutual Funds | ||||||||||||||||
Equity Mutual Funds | 418,989,423 | 418,989,423 | — | — | ||||||||||||
Fixed Income Mutual Funds | 773,365,952 | 773,365,952 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 54,015,730 | — | 52,445,517 | 1,570,213 | ||||||||||||
Basic Materials | 7,723,208 | — | 7,723,208 | — | ||||||||||||
Capital Goods | 6,177,567 | — | 6,177,567 | — | ||||||||||||
Collateralized Mortgage Obligations | 38,031,985 | — | 35,705,605 | 2,326,380 | ||||||||||||
Commercial Mortgage-Backed | ||||||||||||||||
Securities | 43,045,838 | — | 43,045,838 | — | ||||||||||||
Communications Services | 14,524,591 | — | 14,524,591 | — | ||||||||||||
Consumer Cyclical | 15,268,475 | — | 15,268,475 | — | ||||||||||||
Consumer Non-Cyclical | 27,314,329 | — | 27,314,329 | — | ||||||||||||
Energy | 16,801,693 | — | 16,801,693 | — | ||||||||||||
Financials | 119,491,414 | — | 119,491,414 | — | ||||||||||||
Foreign Government | 10,645,239 | — | 10,645,239 | — | ||||||||||||
Mortgage-Backed Securities | 318,977,465 | — | 318,977,465 | — | ||||||||||||
Technology | 8,332,093 | — | 8,332,093 | — | ||||||||||||
Transportation | 4,043,636 | — | 4,043,636 | — | ||||||||||||
U.S. Government and Agencies | 157,769,789 | — | 157,769,789 | — | ||||||||||||
U.S. Municipals | 96,220,711 | — | 96,220,711 | — | ||||||||||||
Utilities | 16,714,455 | — | 16,714,455 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 50,806,840 | 50,806,840 | — | — | ||||||||||||
Consumer Staples | 26,102,957 | 23,642,192 | 2,460,765 | — | ||||||||||||
Energy | 52,067,052 | 52,067,052 | — | — | ||||||||||||
Financials | 77,324,064 | 75,894,264 | 1,429,800 | — | ||||||||||||
Health Care | 39,981,613 | 39,981,613 | — | — | ||||||||||||
Industrials | 34,280,171 | 34,280,171 | — | — | ||||||||||||
Information Technology | 59,715,314 | 59,715,314 | — | — | ||||||||||||
Materials | 8,310,648 | 8,310,648 | — | — | ||||||||||||
Telecommunications Services | 2,518,216 | 2,518,216 | — | — | ||||||||||||
Utilities | 7,357,732 | 7,357,732 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 22,428,437 | 22,428,437 | — | — | ||||||||||||
Short-Term Investments | 865,807,974 | — | 865,807,974 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,536,340,339 | $ | 1,569,357,854 | $ | 1,963,085,892 | $ | 3,896,593 | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of June 28, 2013
(unaudited)
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 818,923 | 818,923 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 818,923 | $ | 818,923 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 16,638,702 | 12,686,600 | 3,952,102 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 16,638,702 | $ | 12,686,600 | $ | 3,952,102 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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 | (250 | ) | September 2013 | ($ | 55,096,895 | ) | ($ | 55,000,000 | ) | $ | 96,895 | |||||||||
5-Yr. U.S. Treasury Bond Futures | 60 | September 2013 | 7,407,371 | 7,262,813 | (144,558 | ) | ||||||||||||||
10-Yr. U.S. Treasury Bond Futures | (155 | ) | September 2013 | (20,224,606 | ) | (19,617,188 | ) | 607,418 | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | 730 | September 2013 | 103,844,727 | 99,165,938 | (4,678,789 | ) | ||||||||||||||
Eurex EURO STOXX 50 Futures | 3,058 | September 2013 | 107,363,500 | 103,411,398 | (3,952,102 | ) | ||||||||||||||
Mini MSCI EAFE Index Futures | 836 | September 2013 | 71,630,085 | 68,539,460 | (3,090,625 | ) | ||||||||||||||
Russell 2000 Index Mini-Futures | 133 | September 2013 | 12,848,900 | 12,963,510 | 114,610 | |||||||||||||||
S&P 400 Index Mini-Futures | (84 | ) | September 2013 | (9,656,564 | ) | (9,726,360 | ) | (69,796 | ) | |||||||||||
S&P 500 Index Futures | 545 | September 2013 | 222,607,457 | 217,904,625 | (4,702,832 | ) | ||||||||||||||
Total Futures Contracts | ($ | 15,819,779 | ) | |||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 28, 2013, 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 | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 704,313 | ||||
Total Interest Rate Contracts | 704,313 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 114,610 | ||||
Total Equity Contracts | 114,610 | |||||
|
| |||||
Total Asset Derivatives | $ | 818,923 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 4,823,347 | ||||
Total Interest Rate Contracts | 4,823,347 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 11,815,355 | ||||
Total Equity Contracts | 11,815,355 | |||||
|
| |||||
Total Liability Derivatives | $ | 16,638,702 | ||||
|
| |||||
| * | 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.
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Moderately Conservative Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 28, 2013, 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 | ||||||
Options Written | Net realized gains/(losses) on Written option contracts | 200,060 | ||||
Futures | Net realized gains/(losses) on Futures contracts | 39,437,932 | ||||
Total Equity Contracts | 39,637,992 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (128,641 | ) | |||
Total Foreign Exchange Contracts | (128,641 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (6,033,485 | ) | |||
Total Interest Rate Contracts | (6,033,485 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (2,851,172 | ) | |||
Total Credit Contracts | (2,851,172 | ) | ||||
|
| |||||
Total | $ | 30,624,694 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 28, 2013, 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 | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (1,862,307 | ) | |||
Total Interest Rate Contracts | (1,862,307 | ) | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (8,460,676 | ) | |||
Total Equity Contracts | (8,460,676 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (551,956 | ) | |||
Total Credit Contracts | (551,956 | ) | ||||
|
| |||||
Total | ($ | 10,874,939 | ) | |||
|
| |||||
The following table presents Moderately Conservative Allocation Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
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) | Options (Contracts) | |||||||||||||||||||||
Equity Contracts | $ | 406,628,504 | 13.1 | % | N/A | N/A | N/A | N/A | 16 | |||||||||||||||||||
Interest Rate Contracts | 194,724,933 | 6.3 | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 13,023 | <0.1 | % | N/A | N/A | N/A | |||||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 54,201,879 | 1.8 | % | 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.
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Schedule of Investments as of June 28, 2013
(unaudited)
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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Partner Small Cap Value | $ | 26,974,565 | $ | 749,168 | $ | — | 1,304,921 | $ | 30,921,533 | $ | 594,323 | |||||||||||||
Small Cap Stock | 21,187,884 | 89,161 | — | 1,620,681 | 24,278,287 | 89,161 | ||||||||||||||||||
Partner Mid Cap Value | 31,563,374 | 1,954,337 | — | 2,270,717 | 36,413,220 | 363,706 | ||||||||||||||||||
Mid Cap Stock | 38,403,888 | 166,588 | — | 2,945,977 | 43,576,592 | 166,588 | ||||||||||||||||||
Partner Worldwide | ||||||||||||||||||||||||
Allocation | 136,548,668 | 38,612 | — | 15,847,969 | 137,213,302 | 38,612 | ||||||||||||||||||
Large Cap Value | 91,192,528 | 1,597,221 | — | 7,713,749 | 105,593,514 | 1,597,221 | ||||||||||||||||||
Large Cap Stock | 25,408,870 | 337,139 | — | 2,788,481 | 28,179,835 | 337,139 | ||||||||||||||||||
Equity Income Plus | 11,582,316 | 270,626 | — | 1,204,593 | 12,813,140 | 270,626 | ||||||||||||||||||
High Yield | 94,848,428 | 2,973,595 | 367,162 | 19,294,743 | 95,410,576 | 2,973,595 | ||||||||||||||||||
Income | 290,807,453 | 5,654,503 | 34,654,622 | 24,269,609 | 250,010,955 | 5,084,995 | ||||||||||||||||||
Limited Maturity Bond | 470,691,974 | 3,261,589 | 41,076,407 | 43,611,726 | 427,944,421 | 3,261,589 | ||||||||||||||||||
Cash Management | ||||||||||||||||||||||||
Trust- Collateral | ||||||||||||||||||||||||
Investment | 24,371,265 | 120,163,561 | 122,106,389 | 22,428,437 | 22,428,437 | 114,774 | ||||||||||||||||||
Cash Management | ||||||||||||||||||||||||
Trust- Short Term | ||||||||||||||||||||||||
Investment | 565,122,509 | 681,070,821 | 1,246,193,330 | — | — | 301,780 | ||||||||||||||||||
Total Value and Income Earned | 1,828,703,722 | 1,214,783,812 | 15,194,109 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
91
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (97.1%) | Value | ||||||
| Communications Equipment (9.6%) | |||||||
| 36,997 | Calix, Inc.a | $ | 373,670 | |||||
| 43,210 | Juniper Networks, Inc.a | 834,385 | ||||||
| 39,725 | QUALCOMM, Inc. | 2,426,403 | ||||||
|
| |||||||
| Total | 3,634,458 | |||||||
|
| |||||||
| Computers & Peripherals (12.3%) | |||||||
| 9,730 | Apple, Inc. | 3,853,858 | ||||||
| 33,034 | EMC Corporation | 780,263 | ||||||
|
| |||||||
| Total | 4,634,121 | |||||||
|
| |||||||
| Consumer Discretionary (12.2%) | |||||||
| 5,624 | Amazon.com, Inc.a | 1,561,729 | ||||||
| 13,069 | Coinstar, Inc.a,b | 766,758 | ||||||
| 64,698 | Pandora Media, Inc.a,b | 1,190,443 | ||||||
| 1,303 | Priceline.com, Inc.a | 1,077,750 | ||||||
|
| |||||||
| Total | 4,596,680 | |||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (4.3%) | |||||||
| 14,018 | Amphenol Corporation | 1,092,563 | ||||||
| 38,806 | RealD, Inc.a | 539,403 | ||||||
|
| |||||||
| Total | 1,631,966 | |||||||
|
| |||||||
| Financials (6.1%) | |||||||
| 14,282 | American Tower Corporation | 1,045,014 | ||||||
| 7,083 | IntercontinentalExchange, Inc.a,b | 1,259,074 | ||||||
|
| |||||||
| Total | 2,304,088 | |||||||
|
| |||||||
| Internet Software & Services (22.0%) | |||||||
| 22,013 | eBay, Inc.a | 1,138,512 | ||||||
| 9,960 | Equinix, Inc.a | 1,839,811 | ||||||
| 14,266 | ExactTarget, Inc.a | 481,050 | ||||||
| 26,700 | Facebook, Inc.a | 663,762 | ||||||
| 2,464 | Google, Inc.a | 2,169,232 | ||||||
| 26,087 | Internap Network Services Corporationa | 215,739 | ||||||
| 34,062 | Rackspace Hosting, Inc.a | 1,290,609 | ||||||
| 17,785 | Yandex NVa | 491,400 | ||||||
|
| |||||||
| Total | 8,290,115 | |||||||
|
| |||||||
| IT Consulting & Services (4.5%) | |||||||
| 9,021 | Cognizant Technology Solutions Corporationa | 564,805 | ||||||
| 43,138 | InterXion Holding NVa | 1,127,196 | ||||||
|
| |||||||
| Total | 1,692,001 | |||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (7.9%) | |||||||
| 20,518 | Altera Corporation | 676,889 | ||||||
| 9,727 | Hittite Microwave Corporationa | 564,166 | ||||||
| 23,294 | Intermolecular, Inc.a | 169,347 | ||||||
| 7,303 | Ultratech, Inc.a | 268,166 | ||||||
| 33,300 | Xilinx, Inc. | 1,319,013 | ||||||
|
| |||||||
| Total | 2,997,581 | |||||||
|
| |||||||
| Software (12.0%) | |||||||
| 20,886 | MICROS Systems, Inc.a,b | 901,231 | ||||||
| 11,716 | NetSuite, Inc.a | 1,074,826 | ||||||
| 42,493 | Oracle Corporation | 1,305,384 | ||||||
| 28,814 | Salesforce.com, Inc.a | 1,100,119 | ||||||
| 2,702 | Tableau Software, Inc.a | 149,745 | ||||||
|
| |||||||
| Total | 4,531,305 | |||||||
|
| |||||||
| Telecommunications Services (6.2%) | |||||||
| 19,882 | SBA Communications Corporationa | 1,473,654 | ||||||
| 30,700 | TW Telecom, Inc.a | 863,898 | ||||||
|
| |||||||
| Total | 2,337,552 | |||||||
|
| |||||||
Total Common Stock (cost $29,678,650) | 36,649,867 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (9.4%) | ||||||||
| 3,561,772 | Thrivent Cash Management Trust | 3,561,772 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $3,561,772) | 3,561,772 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (3.7%) | |||||||
| 1,393,517 | Thrivent Cash Management Trust 0.080% | 1,393,517 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 1,393,517 | |||||||
|
| |||||||
Total Investments (cost $34,633,939) 110.2% | $ | 41,605,156 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (10.2%) | (3,846,760 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 37,758,396 | ||||||
|
| |||||||
| 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 | $ | 7,992,737 | ||
Gross unrealized depreciation | (1,287,775 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 6,704,962 | ||
Cost for federal income tax purposes | $ | 34,900,194 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
92
Table of Contents
Partner Technology Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 3,634,458 | 3,634,458 | — | — | ||||||||||||
Computers & Peripherals | 4,634,121 | 4,634,121 | — | — | ||||||||||||
Consumer Discretionary | 4,596,680 | 4,596,680 | — | — | ||||||||||||
Electronic Equipment, Instruments & Components | 1,631,966 | 1,631,966 | — | — | ||||||||||||
Financials | 2,304,088 | 2,304,088 | — | — | ||||||||||||
Internet Software & Services | 8,290,115 | 8,290,115 | — | — | ||||||||||||
IT Consulting & Services | 1,692,001 | 1,692,001 | — | — | ||||||||||||
Semiconductors & Semiconductor Equipment | 2,997,581 | 2,997,581 | — | — | ||||||||||||
Software | 4,531,305 | 4,531,305 | — | — | ||||||||||||
Telecommunications Services | 2,337,552 | 2,337,552 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 3,561,772 | 3,561,772 | — | — | ||||||||||||
Short-Term Investments | 1,393,517 | 1,393,517 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 41,605,156 | $ | 41,605,156 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 2,884,020 | $ | 16,657,277 | $ | 15,979,525 | 3,561,772 | $ | 3,561,772 | $ | 72,962 | |||||||||||||
Cash Management Trust- Short Term Investment | 513,722 | 7,142,029 | 6,262,234 | 1,393,517 | 1,393,517 | 388 | ||||||||||||||||||
Total Value and Income Earned | 3,397,742 | 4,955,289 | 73,350 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
93
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (95.0%) | Value | ||||||
| Biotechnology (18.0%) | |||||||
| 29,861 | Amarin Corporation plc ADRa | $ | 173,194 | |||||
| 31,664 | ARIAD Pharmaceuticals, Inc.a | 553,803 | ||||||
| 33,902 | Gilead Sciences, Inc.a | 1,736,122 | ||||||
| 39,085 | ImmunoGen, Inc.a | 648,420 | ||||||
| 35,357 | Incyte Corporationa | 777,854 | ||||||
| 21,015 | Medivation, Inc.a | 1,033,938 | ||||||
| 7,533 | Onyx Pharmaceuticals, Inc.a | 654,015 | ||||||
| 8,093 | Portola Pharmaceuticals, Inc.a | 198,845 | ||||||
| 11,643 | Vertex Pharmaceuticals, Inc.a | 929,926 | ||||||
|
| |||||||
| Total | 6,706,117 | |||||||
|
| |||||||
| Health Care Equipment (17.7%) | |||||||
| 45,095 | Accuray, Inc.a | 258,845 | ||||||
| 108,100 | Boston Scientific Corporationa | 1,002,087 | ||||||
| 20,397 | Covidien plc | 1,281,748 | ||||||
| 22,515 | Dexcom, Inc.a | 505,462 | ||||||
| 14,326 | Edwards Lifesciences Corporationa | 962,707 | ||||||
| 42,690 | EOS Imaging SAa | 281,170 | ||||||
| 5,965 | HeartWare International, Inc.a | 567,331 | ||||||
| 22,241 | Hologic, Inc.a | 429,251 | ||||||
| 61,506 | NxStage Medical, Inc.a | 878,306 | ||||||
| 23,680 | Tornier NVa | 414,400 | ||||||
|
| |||||||
| Total | 6,581,307 | |||||||
|
| |||||||
| Health Care Supplies (2.9%) | |||||||
| 29,277 | Align Technology, Inc.a | 1,084,420 | ||||||
|
| |||||||
| Total | 1,084,420 | |||||||
|
| |||||||
| Pharmaceuticals (56.4%) | |||||||
| 9,101 | Algeta ASAa | 346,445 | ||||||
| 13,700 | Allergan, Inc. | 1,154,088 | ||||||
| 28,870 | Aspen Pharmacare Holdings, Ltd.a | 663,658 | ||||||
| 1,561,130 | CFR Pharmaceuticals SA | 352,449 | ||||||
| 25,399 | Eli Lilly and Company | 1,247,599 | ||||||
| 67,781 | Hikma Pharmaceuticals plc | 980,898 | ||||||
| 63,662 | Merck & Company, Inc. | 2,957,100 | ||||||
| 28,415 | Mylan, Inc.a | 881,717 | ||||||
| 41,792 | Novartis AG | 2,960,150 | ||||||
| 8,475 | Novo Nordisk AS ADR | 1,313,371 | ||||||
| 23,916 | Pharmstandard GDRa | 503,630 | ||||||
| 12,012 | Roche Holding AG | 2,981,347 | ||||||
| 26,600 | Sanofi | 2,749,908 | ||||||
| 3,172 | Sawai Pharmaceutical Company, Ltd. | 378,716 | ||||||
| 10,450 | Shire Pharmaceuticals Group plc ADR | 993,900 | ||||||
| 13,427 | Towa Pharmaceutical Company, Ltd. | 546,646 | ||||||
|
| |||||||
| Total | 21,011,622 | |||||||
|
| |||||||
| Total Common Stock (cost $29,240,638) | 35,383,466 | |||||||
|
| |||||||
Shares or | Short-Term Investments (5.4%) | |||||||
| Thrivent Cash Management Trust | ||||||||
| 2,005,393 | 0.080% | $ | 2,005,393 | |||||
| Total Short-Term Investments (at amortized cost) | 2,005,393 | |||||||
|
| |||||||
| Total Investments (cost $31,246,031) 100.4% | $ | 37,388,859 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (0.4%) | (159,870 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 37,228,989 | ||||||
|
| |||||||
| 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 | $ | 6,749,311 | ||
Gross unrealized depreciation | (631,634 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 6,117,677 | ||
Cost for federal income tax purposes | $ | 31,271,182 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
94
Table of Contents
Partner Healthcare Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, in valuing Partner Healthcare Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Biotechnology | 6,706,117 | 6,706,117 | — | — | ||||||||||||
Health Care Equipment | 6,581,307 | 6,300,137 | 281,170 | — | ||||||||||||
Health Care Supplies | 1,084,420 | 1,084,420 | — | — | ||||||||||||
Pharmaceuticals | 21,011,622 | 8,547,775 | 12,463,847 | — | ||||||||||||
Short-Term Investments | 2,005,393 | 2,005,393 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 37,388,859 | $ | 24,643,842 | $ | 12,745,017 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives | ||||||||||||||||
Foreign Currency Forward Contracts | 340 | — | 340 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 340 | $ | — | $ | 340 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. Transfers between Levels are identified as of the end of the period.
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||
Purchases | ||||||||||||||||||||
British Pound | SSB | 54,038 | 7/3/2013 | $ | 82,322 | $ | 82,190 | ($ | 132 | ) | ||||||||||
Swiss Franc | SSB | 150,676 | 7/3/2013 | 159,717 | 159,521 | (196 | ) | |||||||||||||
Total Purchases | $ | 242,039 | $ | 241,711 | ($ | 328 | ) | |||||||||||||
Sales | ||||||||||||||||||||
Japanese Yen | SSB | 473,052 | 7/1/2013 | $ | 4,758 | $ | 4,770 | ($ | 12 | ) | ||||||||||
Total Sales | $ | 4,758 | $ | 4,770 | ($ | 12 | ) | |||||||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts | ($ | 340 | ) | |||||||||||||||||
Counterparty | ||||
SSB | - State Street Bank |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 28, 2013, for Partner Healthcare 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 | ||||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets—Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 340 | ||||
Total Foreign Exchange Contracts | 340 | |||||
|
| |||||
Total Liability Derivatives | $ | 340 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
95
Table of Contents
Partner Healthcare Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 28, 2013, 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 | (5,932 | ) | |||
Total Foreign Exchange Contracts | (5,932 | ) | ||||
|
| |||||
Total | ($ | 5,932 | ) | |||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 28, 2013, for Partner Healthcare 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 | (340 | ) | |||
Total Foreign Exchange Contracts | (340 | ) | ||||
|
| |||||
Total | ($ | 340 | ) | |||
|
| |||||
The following table presents Partner Healthcare Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 62,411 | 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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | $ | 1,046,040 | $ | 7,227,501 | $ | 6,268,148 | 2,005,393 | $ | 2,005,393 | $ | 724 | |||||||||||||
Total Value and Income Earned | 1,046,040 | 2,005,393 | 724 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
96
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (96.5%) | Value | ||||||
| Coal & Consumable Fuels (2.2%) | |||||||
| 48,514 | Alpha Natural Resources, Inc.a | $ | 254,214 | |||||
| 31,394 | Peabody Energy Corporation | 459,608 | ||||||
|
| |||||||
| Total | 713,822 | |||||||
|
| |||||||
| Consumer Discretionary (0.2%) | |||||||
| 1,977 | CST Brands, Inc.a | 60,911 | ||||||
|
| |||||||
| Total | 60,911 | |||||||
|
| |||||||
| Consumer Staples (10.0%) | |||||||
| 29,903 | Archer-Daniels-Midland Company | 1,014,011 | ||||||
| 13,710 | Bunge, Ltd. | 970,256 | ||||||
| 18,695 | Ingredion, Inc. | 1,226,766 | ||||||
|
| |||||||
| Total | 3,211,033 | |||||||
|
| |||||||
| Financials (3.7%) | |||||||
| 10,000 | SPDR Gold Trusta,b | 1,191,500 | ||||||
|
| |||||||
| Total | 1,191,500 | |||||||
|
| |||||||
| Integrated Oil & Gas (12.0%) | |||||||
| 21,796 | BP plc ADR | 909,765 | ||||||
| 13,729 | Chevron Corporation | 1,624,690 | ||||||
| 9,582 | Occidental Petroleum Corporation | 855,002 | ||||||
| 33,226 | Petroleo Brasileiro SA ADR | 445,893 | ||||||
|
| |||||||
| Total | 3,835,350 | |||||||
|
| |||||||
| Materials (5.1%) | |||||||
| 14,000 | Cliffs Natural Resources, Inc.b | 227,500 | ||||||
| 12,800 | Mosaic Company | 688,768 | ||||||
| 6,840 | Southern Copper Corporation | 188,921 | ||||||
| 17,500 | Teck Resources, Ltd. | 373,975 | ||||||
| 13,075 | Walter Energy, Inc.b | 135,980 | ||||||
|
| |||||||
| Total | 1,615,144 | |||||||
|
| |||||||
| Oil & Gas Drilling (3.0%) | |||||||
| 15,100 | Helmerich & Payne, Inc. | 942,995 | ||||||
|
| |||||||
| Total | 942,995 | |||||||
|
| |||||||
| Oil & Gas Equipment & Services (20.1%) | |||||||
| 13,701 | Dril-Quip, Inc.a | 1,237,063 | ||||||
| 23,000 | National Oilwell Varco, Inc. | 1,584,700 | ||||||
| 5,622 | Oil States International, Inc.a | 520,822 | ||||||
| 28,700 | Schlumberger, Ltd. | 2,056,642 | ||||||
| 75,900 | Weatherford International, Ltd.a | 1,039,830 | ||||||
|
| |||||||
| Total | 6,439,057 | |||||||
|
| |||||||
| Oil & Gas Exploration & Production (19.9%) | |||||||
| 21,400 | Cobalt International Energy, Inc.a | 568,598 | ||||||
| 7,900 | Concho Resources, Inc.a | 661,388 | ||||||
| 7,300 | EOG Resources, Inc. | 961,264 | ||||||
| 14,300 | EQT Corporation | 1,134,991 | ||||||
| 29,500 | Marathon Oil Corporation | 1,020,110 | ||||||
| 18,000 | Oasis Petroleum, Inc.a | 699,660 | ||||||
| 13,000 | SM Energy Company | 779,740 | ||||||
| 27,300 | Ultra Petroleum Corporationa,b | 541,086 | ||||||
|
| |||||||
| Total | 6,366,837 | |||||||
|
| |||||||
| Oil & Gas Refining & Marketing (1.9%) | |||||||
| 17,800 | Valero Energy Corporation | 618,906 | ||||||
|
| |||||||
| Total | 618,906 | |||||||
|
| |||||||
| Real Estate Investment Trusts (18.4%) | |||||||
| 8,935 | Boston Properties, Inc. | 942,374 | ||||||
| 15,786 | Equity Residential | 916,535 | ||||||
| 6,921 | Health Care REIT, Inc. | 463,915 | ||||||
| 41,800 | Kimco Realty Corporation | 895,774 | ||||||
| 5,544 | Public Storage, Inc. | 850,062 | ||||||
| 6,679 | Simon Property Group, Inc. | 1,054,748 | ||||||
| 9,010 | Vornado Realty Trust | 746,478 | ||||||
|
| |||||||
| Total | 5,869,886 | |||||||
|
| |||||||
| Total Common Stock (cost $34,809,596) | 30,865,441 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (6.6%) | ||||||||
| 2,108,929 | Thrivent Cash Management Trust | 2,108,929 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $2,108,929) | 2,108,929 | |||||||
|
| |||||||
Shares or | Short-Term Investments (3.4%) | |||||||
Thrivent Cash Management Trust | ||||||||
| 1,076,460 | 0.080% | 1,076,460 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 1,076,460 | |||||||
|
| |||||||
| Total Investments (cost $37,994,985) 106.5% | $ | 34,050,830 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (6.5%) | (2,083,878 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 31,966,952 | ||||||
|
| |||||||
| 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. |
| 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 | $ | 3,656,131 | ||
Gross unrealized depreciation | (7,600,286 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (3,944,155 | ) | |
Cost for federal income tax purposes | $ | 37,994,985 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
97
Table of Contents
Natural Resources Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 713,822 | 713,822 | — | — | ||||||||||||
Consumer Discretionary | 60,911 | 60,911 | — | — | ||||||||||||
Consumer Staples | 3,211,033 | 3,211,033 | — | — | ||||||||||||
Financials | 1,191,500 | 1,191,500 | — | — | ||||||||||||
Integrated Oil & Gas | 3,835,350 | 3,835,350 | — | — | ||||||||||||
Materials | 1,615,144 | 1,615,144 | — | — | ||||||||||||
Oil & Gas Drilling | 942,995 | 942,995 | — | — | ||||||||||||
Oil & Gas Equipment & Services | 6,439,057 | 6,439,057 | — | — | ||||||||||||
Oil & Gas Exploration & Production | 6,366,837 | 6,366,837 | — | — | ||||||||||||
Oil & Gas Refining & Marketing | 618,906 | 618,906 | — | — | ||||||||||||
Real Estate Investment Trusts | 5,869,886 | 5,869,886 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 2,108,929 | 2,108,929 | — | — | ||||||||||||
Short-Term Investments | 1,076,460 | 1,076,460 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 34,050,830 | $ | 34,050,830 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. Transfers between Levels are identified as of the end of the period.
The following table presents Natural Resources Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 6,118 | <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 Natural Resources Portfolio, is as follows:
Portfolio | Value December 31, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 3,223,242 | $ | 9,607,886 | $ | 10,722,199 | 2,108,929 | $ | 2,108,929 | $ | 5,184 | |||||||||||||
Cash Management Trust- Short Term Investment | 592,217 | 2,867,014 | 2,382,771 | 1,076,460 | 1,076,460 | 470 | ||||||||||||||||||
Total Value and Income Earned | 3,815,459 | 3,185,389 | 5,654 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
98
Table of Contents
Partner Emerging Markets Equity Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (97.0%) | Value | ||||||
| Brazil (13.9%) | |||||||
| 121,079 | Banco Bradesco SA ADRa | $ | 1,575,238 | |||||
| 17,521 | Lojas Renner SA | 501,834 | ||||||
| 23,084 | Multiplan Empreendimentos Imobiliarios SA | 538,059 | ||||||
| 8,900 | Petroleo Brasileiro SA ADR | 119,438 | ||||||
| 97,500 | Petroleo Brasileiro SA ADR | 1,429,350 | ||||||
| 56,500 | Souza Cruz SA | 697,593 | ||||||
| 59,400 | Ultrapar Participacoes SA | 1,418,082 | ||||||
| 106,660 | Vale SA ADRa | 1,402,579 | ||||||
| 21,805 | Vale SA ADR | 265,149 | ||||||
|
| |||||||
| Total | 7,947,322 | |||||||
|
| |||||||
| Chile (1.1%) | |||||||
| 26,494 | Banco Santander Chile SA ADR | 647,778 | ||||||
|
| |||||||
| Total | 647,778 | |||||||
|
| |||||||
| China (2.7%) | |||||||
| 1,423,000 | PetroChina Company, Ltd. | 1,543,039 | ||||||
|
| |||||||
| Total | 1,543,039 | |||||||
|
| |||||||
| Hong Kong (11.5%) | |||||||
| 339,000 | AIA Group, Ltd. | 1,428,207 | ||||||
| 211,500 | China Mobile, Ltd. | 2,190,475 | ||||||
| 173,000 | Hang Lung Group, Ltd. | 926,689 | ||||||
| 132,000 | Hang Lung Properties, Ltd. | 457,225 | ||||||
| 102,000 | Swire Pacific, Ltd., Class A | 1,228,925 | ||||||
| 100,000 | Swire Pacific, Ltd., Class B | 234,871 | ||||||
| 59,500 | Swire Properties, Ltd. | 175,171 | ||||||
|
| |||||||
| Total | 6,641,563 | |||||||
|
| |||||||
| Hungary (1.3%) | |||||||
| 4,871 | Richter Gedeon Nyrt | 728,123 | ||||||
|
| |||||||
| Total | 728,123 | |||||||
|
| |||||||
| India (13.0%) | |||||||
| 12,500 | GlaxoSmithKline Pharmaceuticals, Ltd. | 490,807 | ||||||
| 5,200 | Grasim Industries, Ltd. | 240,899 | ||||||
| 4,350 | Grasim Industries, Ltd. GDR | 200,957 | ||||||
| 21,000 | Hero Motocorp, Ltd. | 585,817 | ||||||
| 97,000 | Hindustan Unilever, Ltd. | 955,146 | ||||||
| 110,000 | Housing Development Finance Corporation | 1,619,399 | ||||||
| 30,000 | ICICI Bank, Ltd. | 534,576 | ||||||
| 5,000 | ICICI Bank, Ltd. ADR | 191,250 | ||||||
| 31,600 | Infosys, Ltd. | 1,318,996 | ||||||
| 3,900 | Infosys, Ltd. ADRa | 160,641 | ||||||
| 114,000 | ITC, Ltd. | 620,419 | ||||||
| 15,947 | Ultra Tech Cement, Ltd. | 501,990 | ||||||
| 2,484 | Ultra Tech Cement, Ltd. GDR | 78,460 | ||||||
|
| |||||||
| Total | 7,499,357 | |||||||
|
| |||||||
| Indonesia (3.2%) | |||||||
| 2,620,000 | PT Astra International Tbk | 1,841,820 | ||||||
|
| |||||||
| Total | 1,841,820 | |||||||
|
| |||||||
| Luxembourg (2.4%) | |||||||
| 34,965 | Tenaris SA ADRa | 1,408,041 | ||||||
|
| |||||||
| Total | 1,408,041 | |||||||
|
| |||||||
| Malaysia (2.6%) | |||||||
| 329,300 | CIMB Group Holdings Berhad | 858,431 | ||||||
| 120,000 | Public Bank Berhad | 646,775 | ||||||
|
| |||||||
| Total | 1,505,206 | |||||||
|
| |||||||
| Mexico (7.6%) | |||||||
| 16,400 | Fomento Economico Mexicano SAB de CV ADR | 1,692,316 | ||||||
| 6,800 | Grupo Aeroportuario del Sureste SAB de CV ADR | 756,432 | ||||||
| 251,128 | Grupo Financiero Banorte SAB de CV ADR | 1,500,087 | ||||||
| 120,300 | Organizacion Soriana SAB de CV | 451,678 | ||||||
|
| |||||||
| Total | 4,400,513 | |||||||
|
| |||||||
| Philippines (3.0%) | |||||||
| 5,000 | Ayala Corporation | 66,771 | ||||||
| 1,388,900 | Ayala Land, Inc. | 971,517 | ||||||
| 312,897 | Bank of the Philippine Islands | 694,321 | ||||||
|
| |||||||
| Total | 1,732,609 | |||||||
|
| |||||||
| Poland (1.8%) | |||||||
| 22,523 | Bank Pekao SA | 1,016,570 | ||||||
|
| |||||||
| Total | 1,016,570 | |||||||
|
| |||||||
| Russia (3.9%) | |||||||
| 28,400 | Lukoil ADR | 1,627,558 | ||||||
| 11,137 | Magnit OJSC | 635,771 | ||||||
|
| |||||||
| Total | 2,263,329 | |||||||
|
| |||||||
| South Africa (3.2%) | |||||||
| 37,921 | Massmart Holdings, Ltd. | 687,830 | ||||||
| 133,193 | Truworths International, Ltd. | 1,172,344 | ||||||
|
| |||||||
| Total | 1,860,174 | |||||||
|
| |||||||
| South Korea (5.8%) | |||||||
| 3,670 | E-Mart Company, Ltd. | 644,513 | ||||||
| 2,695 | Samsung Electronics Company, Ltd. | 2,078,326 | ||||||
| 1,570 | Samsung Electronics Company, Ltd. GDR | 604,417 | ||||||
|
| |||||||
| Total | 3,327,256 | |||||||
|
| |||||||
| Taiwan (5.2%) | |||||||
| 215,400 | Taiwan Mobile Company, Ltd. | 848,602 | ||||||
| 602,499 | Taiwan Semiconductor Manufacturing Company, Ltd. | 2,181,104 | ||||||
|
| |||||||
| Total | 3,029,706 | |||||||
|
| |||||||
| Thailand (5.0%) | |||||||
| 156,000 | PTT Exploration & Production pcl | 793,464 | ||||||
| 64,400 | Siam Cement pcl | 944,971 | ||||||
| 212,600 | Siam Commercial Bank pcl | 1,170,707 | ||||||
|
| |||||||
| Total | 2,909,142 | |||||||
|
| |||||||
| Turkey (5.1%) | |||||||
| 310,833 | Akbank TAS | 1,264,865 | ||||||
| 33,036 | BIM Birlesik Magazalar AS | 716,540 | ||||||
| 218,790 | Turkiye Garanti Bankasi AS | 953,703 | ||||||
|
| |||||||
| Total | 2,935,108 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
99
Table of Contents
Partner Emerging Markets Equity Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (97.0%) | Value | ||||||
| United Kingdom (4.7%) | |||||||
| 19,386 | BHP Billiton plc | $ | 498,066 | |||||
| 21,139 | SABMiller plc | 1,024,134 | ||||||
| 55,950 | Standard Chartered plc | 1,214,703 | ||||||
|
| |||||||
| Total | 2,736,903 | |||||||
|
| |||||||
Total Common Stock (cost $50,258,734) | 55,973,559 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (8.1%) | ||||||||
| 4,684,156 | Thrivent Cash Management Trust | 4,684,156 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $4,684,156) | 4,684,156 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (2.6%)b | |||||||
Thrivent Cash Management Trust | ||||||||
| 1,502,649 | 0.080% | 1,502,649 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 1,502,649 | |||||||
|
| |||||||
| Total Investments (cost $56,445,539) 107.7% | $ | 62,160,364 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (7.7%) | (4,450,065 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 57,710,299 | ||||||
|
| |||||||
| a | All or a portion of the security is on loan. |
| b | 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. | ||
| 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 | $ | 10,122,541 | ||
Gross unrealized depreciation | (4,478,099 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 5,644,442 | ||
Cost for federal income tax purposes | $ | 56,515,922 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 5,198,006 | — | 5,198,006 | — | ||||||||||||
Consumer Staples | 7,029,749 | 1,692,316 | 5,337,433 | — | ||||||||||||
Energy | 8,338,972 | 2,956,829 | 5,382,143 | — | ||||||||||||
Financials | 17,913,983 | 2,414,266 | 15,499,717 | — | ||||||||||||
Health Care | 1,218,930 | — | 1,218,930 | — | ||||||||||||
Industrials | 4,725,564 | 834,892 | 3,890,672 | — | ||||||||||||
Information Technology | 6,343,484 | 160,641 | 6,182,843 | — | ||||||||||||
Materials | 2,165,794 | 1,667,728 | 498,066 | — | ||||||||||||
Telecommunications Services | 3,039,077 | — | 3,039,077 | — | ||||||||||||
Collateral Held for Securities Loaned | 4,684,156 | 4,684,156 | — | — | ||||||||||||
Short-Term Investments | 1,502,649 | 1,502,649 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 62,160,364 | $ | 15,913,477 | $ | 46,246,887 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
100
Table of Contents
Partner Emerging Markets Equity Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives Foreign Currency Forward Contracts | 14 | — | 14 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 14 | $ | — | $ | 14 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. Transfers between Levels are identified as of the end of the period.
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||||
Sales | ||||||||||||||||||||||||
Hong Kong Dollar | SSB | 338,442 | 7/2/2013 | $ | 43,622 | $ | 43,636 | ($ | 14 | ) | ||||||||||||||
Total Sales | $ | 43,622 | $ | 43,636 | ($ | 14 | ) | |||||||||||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts | ($ | 14 | ) | |||||||||||||||||||||
Counterparty | ||||
SSB | - | State Street Bank |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 28, 2013, 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 | ||||
Liability Derivatives | ||||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 14 | ||||
Total Foreign Exchange Contracts | 14 | |||||
|
| |||||
Total Liability Derivatives | $ | 14 | ||||
|
| |||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 28, 2013, 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 | (8,606 | ) | |||
Total Foreign Exchange Contracts | (8,606 | ) | ||||
|
| |||||
Total | ($ | 8,606 | ) | |||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
101
Table of Contents
Partner Emerging Markets Equity Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 28, 2013, 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 | (180 | ) | |||
Total Foreign Exchange Contracts | (180 | ) | ||||
|
| |||||
Total | ($ | 180 | ) | |||
|
| |||||
The following table presents Partner Emerging Markets Equity Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 34,987 | 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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 2,001,279 | $ | 16,939,197 | $ | 14,256,320 | 4,684,156 | $ | 4,684,156 | $ | 1,418 | |||||||||||||
Cash Management Trust- Short Term Investment | 1,497,572 | 6,485,738 | 6,480,661 | 1,502,649 | 1,502,649 | 987 | ||||||||||||||||||
Total Value and Income Earned | 3,498,851 | 6,186,805 | 2,405 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
102
Table of Contents
Real Estate Securities Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (99.1%) | Value | ||||||
| Diversified Real Estate Activities (0.1%) | |||||||
| 2,519 | Brookfield Asset Management, Inc. | $ | 90,734 | |||||
|
| |||||||
| Total | 90,734 | |||||||
|
| |||||||
| Diversified REITS (6.4%) | |||||||
| 6,792 | American Assets Trust, Inc. | 209,601 | ||||||
| 30,557 | Colonial Properties Trust | 737,035 | ||||||
| 75,120 | Duke Realty Corporation | 1,171,121 | ||||||
| 23,676 | First Potomac Realty Trust | 309,209 | ||||||
| 3,150 | Gladstone Commercial Corporation | 58,716 | ||||||
| 26,705 | Lexington Realty Trust | 311,914 | ||||||
| 27,243 | Liberty Property Trust | 1,006,901 | ||||||
| 5,270 | PS Business Parks, Inc. | 380,336 | ||||||
| 9,120 | Select Income REIT | 255,725 | ||||||
| 14,574 | Spirit Realty Capital, Inc. | 258,251 | ||||||
| 41,350 | Vornado Realty Trust | 3,425,847 | ||||||
| 12,015 | Washington Real Estate Investment Trust | 323,324 | ||||||
| 3,050 | Whitestone REIT | 48,068 | ||||||
|
| |||||||
| Total | 8,496,048 | |||||||
|
| |||||||
| Homebuilding (0.2%) | |||||||
| 2,000 | Lennar Corporation | 72,080 | ||||||
| 6,150 | Standard Pacific Corporationa | 51,229 | ||||||
| 3,750 | Taylor Morrison Home Corporationa | 91,425 | ||||||
| 3,627 | William Lyon Homesa | 91,437 | ||||||
|
| |||||||
| Total | 306,171 | |||||||
|
| |||||||
| Hotels, Resorts & Cruise Lines (0.8%) | |||||||
| 5,000 | Hyatt Hotels Corporationa | 201,800 | ||||||
| 4,000 | Las Vegas Sands Corporation | 211,720 | ||||||
| 2,000 | Marriott International, Inc. | 80,740 | ||||||
| 6,806 | Starwood Hotels & Resorts Worldwide, Inc. | 430,071 | ||||||
| 2,500 | Wyndham Worldwide Corporation | 143,075 | ||||||
|
| |||||||
| Total | 1,067,406 | |||||||
|
| |||||||
| Industrial REITS (5.1%) | |||||||
| 65,716 | DCT Industrial Trust, Inc. | 469,869 | ||||||
| 8,624 | EastGroup Properties, Inc. | 485,272 | ||||||
| 34,246 | First Industrial Realty Trust, Inc. | 519,512 | ||||||
| 131,023 | Prologis, Inc. | 4,942,188 | ||||||
| 11,150 | STAG Industrial, Inc. | 222,443 | ||||||
| 4,650 | Terreno Realty Corporation | 86,164 | ||||||
|
| |||||||
| Total | 6,725,448 | |||||||
|
| |||||||
| Mortgage REITS (0.2%) | |||||||
| 22,550 | CYS Investments, Inc. | 207,686 | ||||||
| 7,000 | Newcastle Investment Corporation | 36,610 | ||||||
|
| |||||||
| Total | 244,296 | |||||||
|
| |||||||
| Office REITS (14.2%) | |||||||
| 21,212 | Alexandria Real Estate Equities, Inc. | 1,394,053 | ||||||
| 46,162 | BioMed Realty Trust, Inc. | 933,857 | ||||||
| 47,424 | Boston Properties, Inc. | 5,001,809 | ||||||
| 27,530 | Brandywine Realty Trust | 372,206 | ||||||
| 9,300 | CommonWealth REIT | 215,016 | ||||||
| 5,646 | Coresite Realty Corporation | 179,599 | ||||||
| 18,957 | Corporate Office Properties Trust | 483,404 | ||||||
| 6,150 | CyrusOne, Inc. | 127,551 | ||||||
| 30,268 | Digital Realty Trust, Inc. | 1,846,348 | ||||||
| 48,757 | Douglas Emmett, Inc. | 1,216,487 | ||||||
| 28,043 | DuPont Fabros Technology, Inc. | 677,238 | ||||||
| 16,000 | Franklin Street Properties Corporation | 211,200 | ||||||
| 17,912 | Highwoods Properties, Inc. | 637,846 | ||||||
| 17,749 | Hudson Pacific Properties, Inc. | 377,699 | ||||||
| 22,313 | Kilroy Realty Corporation | 1,182,812 | ||||||
| 18,405 | Mack-Cali Realty Corporation | 450,739 | ||||||
| 12,750 | Parkway Properties, Inc. | 213,690 | ||||||
| 16,963 | Piedmont Office Realty Trust, Inc. | 303,298 | ||||||
| 33,277 | SL Green Realty Corporation | 2,934,699 | ||||||
|
| |||||||
| Total | 18,759,551 | |||||||
|
| |||||||
| Real Estate Operating Companies (0.4%) | |||||||
| 5,957 | Brookfield Office Properties, Inc. | 99,363 | ||||||
| 144 | Brookfield Property Partners, LP | 2,923 | ||||||
| 25,243 | Forest City Enterprises, Inc.a | 452,102 | ||||||
|
| |||||||
| Total | 554,388 | |||||||
|
| |||||||
| Real Estate Services (0.1%) | |||||||
| 3,150 | Realogy Holdings Corporationa | 151,326 | ||||||
|
| |||||||
| Total | 151,326 | |||||||
|
| |||||||
| Residential REITS (18.0%) | |||||||
| 26,553 | American Campus Communities, Inc. | 1,079,645 | ||||||
| 9,350 | American Residential Properties, Inc.a | 160,820 | ||||||
| 64,384 | Apartment Investment & Management Company | 1,934,095 | ||||||
| 23,559 | Associated Estates Realty Corporation | 378,829 | ||||||
| 33,654 | AvalonBay Communities, Inc. | 4,540,261 | ||||||
| 19,457 | BRE Properties, Inc. | 973,239 | ||||||
| 32,851 | Camden Property Trust | 2,271,318 | ||||||
| 24,376 | Campus Crest Communities, Inc. | 281,299 | ||||||
| 34,964 | Education Realty Trust, Inc. | 357,682 | ||||||
| 10,539 | Equity Lifestyle Properties, Inc. | 828,260 | ||||||
| 82,190 | Equity Residential | 4,771,952 | ||||||
| 13,999 | Essex Property Trust, Inc. | 2,224,721 | ||||||
| 12,887 | Home Properties, Inc. | 842,423 | ||||||
| 5,034 | Mid-America Apartment Communities, Inc. | 341,154 | ||||||
| 20,835 | Post Properties, Inc. | 1,031,124 | ||||||
| 10,617 | Sun Communities, Inc. | 528,302 | ||||||
| 53,594 | UDR, Inc. | 1,366,111 | ||||||
|
| |||||||
| Total | 23,911,235 | |||||||
|
| |||||||
| Retail REITS (24.8%) | |||||||
| 17,863 | Acadia Realty Trust | 441,038 | ||||||
| 3,536 | AmREIT, Inc. | 68,386 | ||||||
| 38,739 | CBL & Associates Properties, Inc. | 829,789 | ||||||
| 10,925 | Cedar Realty Trust, Inc. | 56,592 | ||||||
| 20,000 | Cole Real Estate Investments, Inc.a | 228,800 | ||||||
| 127,606 | DDR Corporation | 2,124,640 | ||||||
| 16,517 | Equity One, Inc. | 373,780 | ||||||
| 11,132 | Excel Trust, Inc. | 142,601 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
103
Table of Contents
Real Estate Securities Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (99.1%) | Value | ||||||
| Retail REITS (24.8%) - continued | |||||||
| 15,195 | Federal Realty Investment Trust | $ | 1,575,418 | |||||
| 135,205 | General Growth Properties, Inc. | 2,686,523 | ||||||
| 55,924 | Glimcher Realty Trust | 610,690 | ||||||
| 25,832 | Inland Real Estate Corporation | 264,003 | ||||||
| 82,387 | Kimco Realty Corporation | 1,765,553 | ||||||
| 19,247 | Kite Realty Group Trust | 116,059 | ||||||
| 34,166 | Macerich Company | 2,083,101 | ||||||
| 18,286 | National Retail Properties, Inc. | 629,038 | ||||||
| 12,526 | Pennsylvania Real Estate Investment Trust | 236,491 | ||||||
| 28,348 | Ramco-Gershenson Properties Trust | 440,244 | ||||||
| 5,500 | Realty Income Corporation | 230,560 | ||||||
| 23,692 | Regency Centers Corporation | 1,203,791 | ||||||
| 9,222 | Retail Opportunity Investments Corporation | 128,186 | ||||||
| 16,500 | Retail Properties of America, Inc. | 235,620 | ||||||
| 2,138 | Saul Centers, Inc. | 95,056 | ||||||
| 85,661 | Simon Property Group, Inc. | 13,527,585 | ||||||
| 23,863 | Tanger Factory Outlet Centers, Inc. | 798,456 | ||||||
| 15,941 | Taubman Centers, Inc. | 1,197,966 | ||||||
| 6,500 | Urstadt Biddle Properties, Inc. | 131,105 | ||||||
| 23,142 | Weingarten Realty Investors | 712,079 | ||||||
|
| |||||||
| Total | 32,933,150 | |||||||
|
| |||||||
| Specialized REITS (28.8%) | |||||||
| 22,600 | American Tower Corporation | 1,653,642 | ||||||
| 16,278 | Ashford Hospitality Trust, Inc. | 186,383 | ||||||
| 3,100 | Aviv REIT, Inc. | 78,399 | ||||||
| 21,177 | Chatham Lodging Trust | 363,821 | ||||||
| 31,233 | Chesapeake Lodging Trust | 649,334 | ||||||
| 9,444 | Corrections Corporation of America REIT | 319,868 | ||||||
| 53,072 | CubeSmart | 848,091 | ||||||
| 43,095 | DiamondRock Hospitality Company | 401,645 | ||||||
| 12,183 | EPR Properties | 612,439 | ||||||
| 37,420 | Extra Space Storage, Inc. | 1,569,021 | ||||||
| 20,843 | FelCor Lodging Trust, Inc.a | 123,182 | ||||||
| 94,944 | HCP, Inc. | 4,314,255 | ||||||
| 66,352 | Health Care REIT, Inc. | 4,447,575 | ||||||
| 23,262 | Healthcare Realty Trust, Inc. | 593,181 | ||||||
| 49,147 | Hersha Hospitality Trust | 277,189 | ||||||
| 14,249 | Hospitality Properties Trust | 374,464 | ||||||
| 195,140 | Host Hotels & Resorts, Inc. | 3,292,012 | ||||||
| 25,690 | LaSalle Hotel Properties | 634,543 | ||||||
| 8,522 | LTC Properties, Inc. | 332,784 | ||||||
| 25,964 | Medical Properties Trust, Inc. | 371,805 | ||||||
| 14,661 | Omega Healthcare Investors, Inc. | 454,784 | ||||||
| 19,508 | Pebblebrook Hotel Trust | 504,282 | ||||||
| 5,465 | Plum Creek Timber Company, Inc. | 255,052 | ||||||
| 33,483 | Public Storage, Inc. | 5,133,948 | ||||||
| 11,494 | Rayonier, Inc. REIT | 636,653 | ||||||
| 26,080 | RLJ Lodging Trust | 586,539 | ||||||
| 5,792 | Sabra Healthcare REIT, Inc. | 151,229 | ||||||
| 25,466 | Senior Housing Property Trust | 660,333 | ||||||
| 4,099 | Sovran Self Storage, Inc. | 265,574 | ||||||
| 79,774 | Strategic Hotels & Resorts, Inc.a | 706,798 | ||||||
| 35,457 | Summit Hotel Properties, Inc. | 335,069 | ||||||
| 75,074 | Sunstone Hotel Investors, Inc.a | 906,894 | ||||||
| 76,120 | Ventas, Inc. | 5,287,295 | ||||||
| 28,900 | Weyerhaeuser Company REIT | 823,361 | ||||||
|
| |||||||
| Total | 38,151,444 | |||||||
|
| |||||||
| Total Common Stock (cost $136,297,133) | 131,391,197 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (0.8%) | |||||||
| Thrivent Cash Management Trust | ||||||||
| 1,127,562 | 0.080% | 1,127,562 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 1,127,562 | |||||||
|
| |||||||
| Total Investments (cost $137,424,695) 99.9% | $ | 132,518,759 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 0.1% | 69,037 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 132,587,796 | ||||||
|
| |||||||
| 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 | $ | 17,433,500 | ||
Gross unrealized depreciation | (22,353,707 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (4,920,207 | ) | |
Cost for federal income tax purposes | $ | 137,438,966 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
104
Table of Contents
Real Estate Securities Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 90,734 | 90,734 | — | — | ||||||||||||
Diversified REITS | 8,496,048 | 8,496,048 | — | — | ||||||||||||
Homebuilding | 306,171 | 306,171 | — | — | ||||||||||||
Hotels, Resorts & Cruise Lines | 1,067,406 | 1,067,406 | — | — | ||||||||||||
Industrial REITS | 6,725,448 | 6,725,448 | — | — | ||||||||||||
Mortgage REITS | 244,296 | 244,296 | — | — | ||||||||||||
Office REITS | 18,759,551 | 18,759,551 | — | — | ||||||||||||
Real Estate Operating Companies | 554,388 | 554,388 | — | — | ||||||||||||
Real Estate Services | 151,326 | 151,326 | — | — | ||||||||||||
Residential REITS | 23,911,235 | 23,911,235 | — | — | ||||||||||||
Retail REITS | 32,933,150 | 32,933,150 | — | — | ||||||||||||
Specialized REITS | 38,151,444 | 38,151,444 | — | — | ||||||||||||
Short-Term Investments | 1,127,562 | 1,127,562 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 132,518,759 | $ | 132,518,759 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | $ | 746,798 | $ | 14,139,162 | $ | 13,758,398 | 1,127,562 | $ | 1,127,562 | $ | 575 | |||||||||||||
Total Value and Income Earned | 746,798 | 1,127,562 | 575 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
105
Table of Contents
Partner Small Cap Growth Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (98.5%) | Value | ||||||
| Consumer Discretionary (18.3%) | |||||||
| 11,820 | Aeropostale, Inc.a | $ | 163,116 | |||||
| 36,680 | American Axle & Manufacturing Holdings, Inc.a | 683,348 | ||||||
| 34,070 | American Public Education, Inc.a | 1,266,041 | ||||||
| 119,345 | ANN, Inc.a | 3,962,254 | ||||||
| 30,260 | Arctic Cat, Inc. | 1,361,095 | ||||||
| 13,070 | Asbury Automotive Group, Inc.a | 524,107 | ||||||
| 59,970 | Brunswick Corporation | 1,916,042 | ||||||
| 7,500 | Buffalo Wild Wings, Inc.a | 736,200 | ||||||
| 10,830 | Children’s Place Retail Stores, Inc.a | 593,484 | ||||||
| 33,810 | Chuy’s Holdings, Inc.a | 1,296,275 | ||||||
| 18,640 | Cracker Barrel Old Country Store, Inc. | 1,764,463 | ||||||
| 4,100 | Dorman Products, Inc. | 187,083 | ||||||
| 25,350 | E.W. Scripps Companya | 394,953 | ||||||
| 37,020 | Entravision Communications Corporation | 227,673 | ||||||
| 91,040 | Fifth & Pacific Companies, Inc.a | 2,033,834 | ||||||
| 43,240 | Five Below, Inc.a,b | 1,589,502 | ||||||
| 72,750 | Francesca’s Holdings Corporationa,b | 2,021,723 | ||||||
| 68,230 | HomeAway, Inc.a | 2,206,558 | ||||||
| 74,500 | Imax Corporationa,b | 1,852,070 | ||||||
| 13,690 | ITT Educational Services, Inc.a,b | 334,036 | ||||||
| 20,130 | Krispy Kreme Doughnuts, Inc.a | 351,269 | ||||||
| 32,970 | Meritage Homes Corporationa | 1,429,579 | ||||||
| 8,810 | Movado Group, Inc. | 298,042 | ||||||
| 14,740 | Multimedia Games Holding Company, Inc.a | 384,272 | ||||||
| 32,790 | Nexstar Broadcasting Group, Inc. | 1,162,733 | ||||||
| 9,930 | Oxford Industries, Inc. | 619,632 | ||||||
| 81,290 | Pier 1 Imports, Inc. | 1,909,502 | ||||||
| 9,450 | Red Robin Gourmet Burgers, Inc.a | 521,451 | ||||||
| 154,780 | SHFL Entertainment, Inc.a | 2,741,154 | ||||||
| 50,070 | Shutterfly, Inc.a | 2,793,405 | ||||||
| 57,320 | Sotheby’s Holdings, Inc. | 2,173,001 | ||||||
| 54,980 | Taylor Morrison Home Corporationa | 1,340,412 | ||||||
| 61,840 | Tenneco, Inc.a | 2,800,115 | ||||||
| 91,300 | Texas Roadhouse, Inc. | 2,284,326 | ||||||
| 34,350 | Vail Resorts, Inc.b | 2,113,212 | ||||||
| 23,830 | Vitamin Shoppe, Inc.a | 1,068,537 | ||||||
| 61,310 | Zumiez, Inc.a,b | 1,762,663 | ||||||
|
| |||||||
| Total | 50,867,162 | |||||||
|
| |||||||
| Consumer Staples (4.6%) | |||||||
| 106,520 | B&G Foods, Inc. | 3,627,006 | ||||||
| 4,680 | Boston Beer Company, Inc.a,b | 798,595 | ||||||
| 29,950 | Hain Celestial Group, Inc.a | 1,945,852 | ||||||
| 50,780 | Susser Holdings Corporationa | 2,431,346 | ||||||
| 6,880 | TreeHouse Foods, Inc.a | 450,915 | ||||||
| 63,950 | United Natural Foods, Inc.a | 3,452,661 | ||||||
|
| |||||||
| Total | 12,706,375 | |||||||
|
| |||||||
| Energy (4.9%) | |||||||
| 14,660 | Bonanza Creek Energy, Inc.a | 519,844 | ||||||
| 28,560 | Diamondback Energy, Inc.a | 951,619 | ||||||
| 27,020 | Dril-Quip, Inc.a | 2,439,636 | ||||||
| 86,930 | Energy XXI, Ltd.b | 1,928,107 | ||||||
| 15,450 | EPL Oil & Gas, Inc.a | 453,612 | ||||||
| 43,340 | Gulfport Energy Corporationa | 2,040,014 | ||||||
| 246,020 | Kodiak Oil & Gas Corporationa | 2,187,118 | ||||||
| 4,980 | PDC Energy, Inc.a | 256,370 | ||||||
| 63,040 | Rex Energy Corporationa | 1,108,243 | ||||||
| 43,530 | Rosetta Resources, Inc.a | 1,850,896 | ||||||
|
| |||||||
| Total | 13,735,459 | |||||||
|
| |||||||
| Financials (6.0%) | |||||||
| 50,376 | Bank of the Ozarks, Inc. | 2,182,792 | ||||||
| 20,330 | Campus Crest Communities, Inc. | 234,608 | ||||||
| 69,120 | Corporate Office Properties Trust | 1,762,560 | ||||||
| 218,695 | Education Realty Trust, Inc. | 2,237,250 | ||||||
| 44,430 | eHealth, Inc.a | 1,009,450 | ||||||
| 198,740 | Hersha Hospitality Trust | 1,120,894 | ||||||
| 30,100 | Home Loan Servicing Solutions, Ltd. | 721,497 | ||||||
| 10,590 | Infinity Property & Casualty Corporation | 632,858 | ||||||
| 28,700 | OFG Bancorpa,b | 519,757 | ||||||
| 9,850 | Portfolio Recovery Associates, Inc.a | 1,513,255 | ||||||
| 3,840 | Sovran Self Storage, Inc. | 248,794 | ||||||
| 14,980 | Stewart Information Services Corporation | 392,326 | ||||||
| 7,450 | Sun Communities, Inc. | 370,712 | ||||||
| 93,430 | Tower Group International, Ltd. | 1,916,249 | ||||||
| 27,070 | Umpqua Holdings Corporation | 406,321 | ||||||
| 121,940 | WisdomTree Investments, Inc.a | 1,410,846 | ||||||
|
| |||||||
| Total | 16,680,169 | |||||||
|
| |||||||
| Health Care (18.5%) | |||||||
| 80,790 | Acadia Healthcare Company, Inc.a | 2,671,725 | ||||||
| 164,552 | ACADIA Pharmaceuticals, Inc.a,b | 2,986,619 | ||||||
| 31,580 | Aegerion Pharmaceuticals, Inc.a,b | 2,000,277 | ||||||
| 75,570 | Air Methods Corporationb | 2,560,312 | ||||||
| 149,984 | Akorn, Inc.a | 2,027,784 | ||||||
| 62,920 | Align Technology, Inc.a | 2,330,557 | ||||||
| 13,900 | Analogic Corporation | 1,012,337 | ||||||
| 21,750 | ArthroCare Corporationa | 751,027 | ||||||
| 51,550 | Auxilium Pharmaceuticals, Inc.a | 857,277 | ||||||
| 25,810 | BioScrip, Inc.a | 425,865 | ||||||
| 83,190 | Bruker Corporationa | 1,343,518 | ||||||
| 50,410 | CardioNet, Inc.a | 297,419 | ||||||
| 57,410 | Cepheid, Inc.a | 1,976,052 | ||||||
| 42,860 | Cubist Pharmaceuticals, Inc.a | 2,070,138 | ||||||
| 38,700 | Cyberonics, Inc.a | 2,010,852 | ||||||
| 14,500 | Cynosure, Inc.a | 376,710 | ||||||
| 9,370 | Emeritus Corporationa | 217,197 | ||||||
| 13,460 | Enanta Pharmaceuticals, Inc.a | 238,377 | ||||||
| 8,850 | Endologix, Inc.a | 117,528 | ||||||
| 147,530 | Health Management Associates, Inc.a | 2,319,172 | ||||||
| 20,080 | Molina Healthcare, Inc.a,b | 746,574 | ||||||
| 129,760 | Neurocrine Biosciences, Inc.a | 1,736,189 | ||||||
| 179,800 | NPS Pharmaceuticals, Inc.a | 2,714,980 | ||||||
| 37,126 | PAREXEL International Corporationa | 1,705,568 | ||||||
| 30,270 | Pharmacyclics, Inc.a | 2,405,557 | ||||||
| 6,990 | QLT, Inc. | 30,686 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
106
Table of Contents
Partner Small Cap Growth Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (98.5%) | Value | ||||||
| Health Care (18.5%) - continued | |||||||
| 24,920 | Questcor Pharmaceuticals, Inc.b | $ | 1,132,863 | |||||
| 17,620 | Receptos, Inc.a,b | 350,462 | ||||||
| 31,640 | Santarus, Inc.a | 666,022 | ||||||
| 29,540 | Sarepta Therapeutics, Inc.a,b | 1,123,997 | ||||||
| 21,991 | Synageva BioPharma Corporationa | 923,622 | ||||||
| 50,740 | Team Health Holdings, Inc.a | 2,083,892 | ||||||
| 35,413 | Teleflex, Inc. | 2,744,153 | ||||||
| 72,700 | Viropharma, Inc.a | 2,082,855 | ||||||
| 33,750 | West Pharmaceutical Services, Inc. | 2,371,275 | ||||||
|
| |||||||
| Total | 51,409,438 | |||||||
|
| |||||||
| Industrials (16.9%) | |||||||
| 28,410 | Alaska Air Group, Inc.a | 1,477,320 | ||||||
| 73,860 | Avis Budget Group, Inc.a | 2,123,475 | ||||||
| 46,850 | Belden, Inc. | 2,339,220 | ||||||
| 72,510 | CAI International, Inc.a | 1,709,061 | ||||||
| 24,150 | Chart Industries, Inc.a | 2,272,274 | ||||||
| 39,630 | Clean Harbors, Inc.a | 2,002,504 | ||||||
| 8,160 | Copa Holdings SA | 1,069,939 | ||||||
| 9,570 | EnPro Industries, Inc.a | 485,773 | ||||||
| 42,430 | Generac Holdings, Inc. | 1,570,334 | ||||||
| 24,740 | Genesee & Wyoming, Inc.a | 2,098,942 | ||||||
| 45,120 | Heico Corporation | 2,272,694 | ||||||
| 79,020 | Hexcel Corporationa | 2,690,631 | ||||||
| 36,790 | Huron Consulting Group, Inc.a | 1,701,170 | ||||||
| 72,690 | MasTec, Inc.a | 2,391,501 | ||||||
| 9,650 | Middleby Corporationa | 1,641,368 | ||||||
| 47,130 | Old Dominion Freight Line, Inc.a | 1,961,551 | ||||||
| 104,580 | On Assignment, Inc.a | 2,794,378 | ||||||
| 23,670 | Ply Gem Holdings, Inc.a | 474,820 | ||||||
| 14,920 | Primoris Services Corporation | 294,222 | ||||||
| 35,010 | Proto Labs, Inc.a,b | 2,274,600 | ||||||
| 87,090 | Thermon Group Holdings, Inc.a | 1,776,636 | ||||||
| 5,800 | Trex Company, Inc.a | 275,442 | ||||||
| 64,220 | TrueBlue, Inc.a | 1,351,831 | ||||||
| 139,160 | US Airways Group, Inc.a,b | 2,285,007 | ||||||
| 85,220 | USG Corporationa,b | 1,964,321 | ||||||
| 8,760 | WageWorks, Inc.a | 301,782 | ||||||
| 32,050 | Watts Water Technologies, Inc. | 1,453,147 | ||||||
| 52,376 | Woodward, Inc. | 2,095,040 | ||||||
|
| |||||||
| Total | 47,148,983 | |||||||
|
| |||||||
| Information Technology (24.6%) | |||||||
| 7,920 | ANSYS, Inc.a | 578,952 | ||||||
| 96,110 | Aspen Technology, Inc.a | 2,767,007 | ||||||
| 67,530 | Bottomline Technologies, Inc.a | 1,707,834 | ||||||
| 4,270 | CalAmp Corporationa | 62,342 | ||||||
| 6,700 | Callidus Software, Inc.a | 44,153 | ||||||
| 111,750 | Cardtronics, Inc.a | 3,084,300 | ||||||
| 76,750 | Cavium, Inc.a | 2,714,648 | ||||||
| 132,130 | Ciena Corporationa,b | 2,565,965 | ||||||
| 52,970 | Cognex Corporation | 2,395,303 | ||||||
| 8,550 | Coherent, Inc. | 470,848 | ||||||
| 29,500 | CommVault Systems, Inc.a | 2,238,755 | ||||||
| 61,145 | Cornerstone OnDemand, Inc.a,b | 2,646,967 | ||||||
| 15,280 | Diodes, Inc.a | 396,822 | ||||||
| 35,570 | Electronics for Imaging, Inc.a | 1,006,275 | ||||||
| 84,550 | Ellie Mae, Inc.a | 1,951,414 | ||||||
| 149,020 | Fairchild Semiconductor International, Inc.a | 2,056,476 | ||||||
| 67,510 | Guidewire Software, Inc.a | 2,838,796 | ||||||
| 13,830 | Heartland Payment Systems, Inc.b | 515,167 | ||||||
| 12,360 | Imperva, Inc.a | 556,694 | ||||||
| 60,800 | Infoblox, Inc.a | 1,779,008 | ||||||
| 4,660 | Interactive Intelligence Groupa | 240,456 | ||||||
| 25,890 | IPG Photonics Corporationb | 1,572,300 | ||||||
| 51,700 | Ixiaa | 951,280 | ||||||
| 9,750 | Manhattan Associates, Inc.a | 752,310 | ||||||
| 47,020 | MAXIMUS, Inc. | 3,502,050 | ||||||
| 8,960 | Methode Electronics, Inc. | 152,410 | ||||||
| 115,620 | Monolithic Power Systems, Inc. | 2,787,598 | ||||||
| 15,890 | Monotype Imaging Holdings, Inc. | 403,765 | ||||||
| 17,070 | NETGEAR, Inc.a | 521,318 | ||||||
| 40,760 | OSI Systems, Inc.a | 2,625,759 | ||||||
| 5,300 | QIWI plc | 122,960 | ||||||
| 99,000 | QLIK Technologies, Inc.a | 2,798,730 | ||||||
| 10,350 | Radware, Inc.a,b | 142,726 | ||||||
| 421,770 | RF Micro Devices, Inc.a | 2,256,469 | ||||||
| 75,410 | Semtech Corporationa | 2,641,612 | ||||||
| 3,310 | SPS Commerce, Inc.a | 182,050 | ||||||
| 12,390 | SunPower Corporationa,b | 256,473 | ||||||
| 33,040 | Synaptics, Inc.a | 1,274,022 | ||||||
| 95,000 | Synchronoss Technologies, Inc.a | 2,932,650 | ||||||
| 131,780 | Take-Two Interactive Software, Inc.a | 1,972,747 | ||||||
| 15,700 | Tyler Technologies, Inc.a | 1,076,235 | ||||||
| 22,410 | Ultimate Software Group, Inc.a | 2,628,469 | ||||||
| 17,240 | Web.com Group, Inc.a | 441,344 | ||||||
| 35,220 | WEX, Inc.a | 2,701,374 | ||||||
| 20,490 | Zillow, Inc.a,b | 1,153,587 | ||||||
|
| |||||||
| Total | 68,468,420 | |||||||
|
| |||||||
| Materials (4.0%) | |||||||
| 47,280 | American Vanguard Corporation | 1,107,771 | ||||||
| 214,620 | Boise, Inc. | 1,832,855 | ||||||
| 76,350 | Chemtura Corporationa | 1,549,905 | ||||||
| 118,360 | Commercial Metals Company | 1,748,177 | ||||||
| 27,780 | Kaiser Aluminum Corporation | 1,720,693 | ||||||
| 26,850 | KapStone Paper and Packaging Corporation | 1,078,833 | ||||||
| 87,340 | PolyOne Corporation | 2,164,285 | ||||||
| 2,950 | Rentech Nitrogen Partners, LP | 86,789 | ||||||
|
| |||||||
| Total | 11,289,308 | |||||||
|
| |||||||
| Telecommunications Services (0.3%) | |||||||
| 31,890 | Cogent Communications Group, Inc. | 897,703 | ||||||
|
| |||||||
| Total | 897,703 | |||||||
|
| |||||||
| Utilities (0.4%) | |||||||
| 8,092 | Artesian Resources Corporation | 180,290 | ||||||
| 15,880 | Semgroup Corporation | 855,297 | ||||||
|
| |||||||
| Total | 1,035,587 | |||||||
|
| |||||||
Total Common Stock (cost $226,164,104) | 274,238,604 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
107
Table of Contents
Partner Small Cap Growth Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Collateral Held for Securities Loaned (13.3%) | Value | ||||||
| 37,118,637 | Thrivent Cash Management Trust | $ | 37,118,637 | |||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $37,118,637) | 37,118,637 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (3.0%) | |||||||
| Thrivent Cash Management Trust | ||||||||
| 8,425,702 | 0.080% | 8,425,702 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 8,425,702 | |||||||
|
| |||||||
| Total Investments (cost $271,708,443) 114.8% | $ | 319,782,943 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (14.8%) | (41,193,969 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 278,588,974 | ||||||
|
| |||||||
| 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 | $ | 50,022,326 | ||
Gross unrealized depreciation | (2,605,710 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 47,416,616 | ||
Cost for federal income tax purposes | $ | 272,366,327 |
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 50,867,162 | 50,867,162 | — | — | ||||||||||||
Consumer Staples | 12,706,375 | 12,706,375 | — | — | ||||||||||||
Energy | 13,735,459 | 13,735,459 | — | — | ||||||||||||
Financials | 16,680,169 | 16,680,169 | — | — | ||||||||||||
Health Care | 51,409,438 | 51,409,438 | — | — | ||||||||||||
Industrials | 47,148,983 | 47,148,983 | — | — | ||||||||||||
Information Technology | 68,468,420 | 68,468,420 | — | — | ||||||||||||
Materials | 11,289,308 | 11,289,308 | — | — | ||||||||||||
Telecommunications Services | 897,703 | 897,703 | — | — | ||||||||||||
Utilities | 1,035,587 | 1,035,587 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 37,118,637 | 37,118,637 | — | — | ||||||||||||
Short-Term Investments | 8,425,702 | 8,425,702 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 319,782,943 | $ | 319,782,943 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 25,442,945 | $ | 81,741,554 | $ | 70,065,862 | 37,118,637 | $ | 37,118,637 | $ | 167,526 | |||||||||||||
Cash Management Trust- Short Term Investment | 3,658,848 | 58,959,200 | 54,192,346 | 8,425,702 | 8,425,702 | 3,159 | ||||||||||||||||||
Total Value and Income Earned | 29,101,793 | 45,544,339 | 170,685 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
108
Table of Contents
Partner Small Cap Value Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (97.2%) | Value | ||||||
| Consumer Discretionary (15.7%) | |||||||
| 213,000 | Aaron’s, Inc. | $ | 5,966,130 | |||||
| 30,100 | Ascent Capital Group, Inc.a | 2,349,907 | ||||||
| 58,000 | CSS Industries, Inc. | 1,445,940 | ||||||
| 95,000 | Dorman Products, Inc.b | 4,334,850 | ||||||
| 104,000 | Drew Industries, Inc. | 4,089,280 | ||||||
| 64,500 | Ethan Allen Interiors, Inc.b | 1,857,600 | ||||||
| 140,000 | Fifth & Pacific Companies, Inc.a | 3,127,600 | ||||||
| 75,200 | Fred’s, Inc. | 1,164,848 | ||||||
| 100,000 | Haverty Furniture Companies, Inc. | 2,301,000 | ||||||
| 44,000 | Hooker Furniture Corporation | 715,440 | ||||||
| 68,000 | M/I Homes, Inc.a | 1,561,280 | ||||||
| 103,000 | MarineMax, Inc.a | 1,166,990 | ||||||
| 60,500 | Matthews International Corporation | 2,280,850 | ||||||
| 79,000 | Men’s Wearhouse, Inc. | 2,990,150 | ||||||
| 106,600 | Meritage Homes Corporationa | 4,622,176 | ||||||
| 180,400 | Modine Manufacturing Companya | 1,962,752 | ||||||
| 194,700 | Orient-Express Hotels, Ltd.a | 2,367,552 | ||||||
| 16,700 | Red Robin Gourmet Burgers, Inc.a | 921,506 | ||||||
| 160,000 | Shiloh Industries, Inc. | 1,670,400 | ||||||
| 47,900 | Stanley Furniture Company, Inc.a | 191,600 | ||||||
| 172,000 | Stein Mart, Inc. | 2,347,800 | ||||||
| 28,800 | Steven Madden, Ltd.a | 1,393,344 | ||||||
|
| |||||||
| Total | 50,828,995 | |||||||
|
| |||||||
| Consumer Staples (0.6%) | |||||||
| 265,000 | Alliance One International, Inc.a | 1,007,000 | ||||||
| 39,100 | Nash Finch Company | 860,591 | ||||||
|
| |||||||
| Total | 1,867,591 | |||||||
|
| |||||||
| Energy (3.7%) | |||||||
| 44,000 | C&J Energy Services, Inc.a,b | 852,280 | ||||||
| 8,300 | CARBO Ceramics, Inc.b | 559,669 | ||||||
| 102,000 | Cloud Peak Energy, Inc.a | 1,680,960 | ||||||
| 95,000 | Gulf Island Fabrication, Inc. | 1,819,250 | ||||||
| 230,000 | Hercules Offshore, Inc.a | 1,619,200 | ||||||
| 42,500 | PDC Energy, Inc.a | 2,187,900 | ||||||
| 92,000 | Swift Energy Companya,b | 1,103,080 | ||||||
| 260,000 | Teekay Tankers, Ltd.b | 683,800 | ||||||
| 135,000 | Tetra Technologies, Inc.a | 1,385,100 | ||||||
|
| |||||||
| Total | 11,891,239 | |||||||
|
| |||||||
| Financials (24.7%) | |||||||
| 204,000 | Ares Capital Corporation | 3,508,800 | ||||||
| 35,000 | Assured Guaranty, Ltd. | 772,100 | ||||||
| 161,800 | CBL & Associates Properties, Inc. | 3,465,756 | ||||||
| 176,300 | Cedar Realty Trust, Inc. | 913,234 | ||||||
| 412,000 | CoBiz Financial, Inc. | 3,419,600 | ||||||
| 75,000 | Columbia Banking System, Inc. | 1,785,750 | ||||||
| 55,000 | Compass Diversified Holdings | 964,150 | ||||||
| 143,500 | Cousins Properties, Inc. | 1,449,350 | ||||||
| 172,519 | East West Bancorp, Inc. | 4,744,272 | ||||||
| 53,900 | Employers Holdings, Inc. | 1,317,855 | ||||||
| 129,900 | First Potomac Realty Trust | 1,696,494 | ||||||
| 97,000 | Glacier Bancorp, Inc. | 2,152,430 | ||||||
| 96,500 | Golub Capital BDC, Inc. | 1,688,750 | ||||||
| 65,300 | Hatteras Financial Corporation | 1,608,992 | ||||||
| 199,000 | Hercules Technology Growth Capital, Inc. | 2,774,060 | ||||||
| 186,000 | Home Bancshares, Inc. | 4,830,420 | ||||||
| 29,000 | iShares Russell 2000 Value Index Fund | 2,491,100 | ||||||
| 67,000 | JMP Group, Inc. | 444,880 | ||||||
| 54,200 | Kilroy Realty Corporation | 2,873,142 | ||||||
| 371,000 | Kite Realty Group Trust | 2,237,130 | ||||||
| 91,000 | LaSalle Hotel Properties | 2,247,700 | ||||||
| 5,022 | Markel Corporationa | 2,646,343 | ||||||
| 119,400 | Meadowbrook Insurance Group, Inc. | 958,782 | ||||||
| 82,000 | National Interstate Corporation | 2,398,500 | ||||||
| 18,000 | Potlatch Corporation | 727,920 | ||||||
| 140,000 | ProAssurance Corporation | 7,302,400 | ||||||
| 8,200 | PS Business Parks, Inc. | 591,794 | ||||||
| 110,000 | Radian Group, Inc.b | 1,278,200 | ||||||
| 213,200 | Redwood Trust, Inc. | 3,624,400 | ||||||
| 139,000 | Safeguard Scientifics, Inc.a | 2,230,950 | ||||||
| 122,000 | Sandy Spring Bancorp, Inc. | 2,637,640 | ||||||
| 18,200 | Stifel Financial Corporationa | 649,194 | ||||||
| 56,500 | SVB Financial Groupa | 4,707,580 | ||||||
| 68,000 | Wintrust Financial Corporation | 2,603,040 | ||||||
|
| |||||||
| Total | 79,742,708 | |||||||
|
| |||||||
| Health Care (4.1%) | |||||||
| 14,300 | Analogic Corporation | 1,041,469 | ||||||
| 7,200 | Atrion Corporation | 1,574,712 | ||||||
| 39,100 | National Healthcare Corporation | 1,868,980 | ||||||
| 96,000 | Triple-S Management Corporationa | 2,061,120 | ||||||
| 106,500 | Vanguard Health Systems, Inc.a | 2,208,810 | ||||||
| 63,000 | West Pharmaceutical Services, Inc. | 4,426,380 | ||||||
|
| |||||||
| Total | 13,181,471 | |||||||
|
| |||||||
| Industrials (25.7%) | |||||||
| 126,000 | A.O. Smith Corporation | 4,571,280 | ||||||
| 101,000 | Aegion Corporationa | 2,273,510 | ||||||
| 90,500 | Alaska Air Group, Inc.a | 4,706,000 | ||||||
| 41,000 | Applied Industrial Technologies, Inc. | 1,981,530 | ||||||
| 35,200 | Astec Industries, Inc. | 1,207,008 | ||||||
| 145,500 | Beacon Roofing Supply, Inc.a | 5,511,540 | ||||||
| 60,000 | Belden, Inc. | 2,995,800 | ||||||
| 38,800 | Circor International, Inc. | 1,973,368 | ||||||
| 95,000 | Comfort Systems USA, Inc. | 1,417,400 | ||||||
| 90,000 | Dolan Companya | 146,700 | ||||||
| 56,200 | Franklin Electric Company, Inc. | 1,891,130 | ||||||
| 24,500 | FTI Consulting, Inc.a | 805,805 | ||||||
| 66,000 | G & K Services, Inc. | 3,141,600 | ||||||
| 65,500 | Genesee & Wyoming, Inc.a | 5,557,020 | ||||||
| 114,000 | Gibraltar Industries, Inc.a | 1,659,840 | ||||||
| 111,000 | Greenbrier Companies, Inc.a | 2,705,070 | ||||||
| 44,000 | Hub Group, Inc.a | 1,602,480 | ||||||
| 54,300 | IDEX Corporation | 2,921,883 | ||||||
| 52,000 | Kaman Corporation | 1,797,120 | ||||||
| 151,000 | Kforce, Inc. | 2,204,600 | ||||||
| 79,000 | Kirby Corporationa | 6,283,660 | ||||||
| 140,000 | Kratos Defense & Security Solutions, Inc.a,b | 907,200 | ||||||
| 26,400 | Landstar System, Inc. | 1,359,600 | ||||||
| 121,000 | McGrath Rentcorp | 4,133,360 | ||||||
| 43,000 | Mine Safety Appliances Company | 2,001,650 | ||||||
| 129,400 | Navigant Consulting, Inc.a | 1,552,800 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
109
Table of Contents
Partner Small Cap Value Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (97.2%) | Value | ||||||
| Industrials (25.7%) - continued | |||||||
| 44,900 | Nordson Corporation | $ | 3,112,019 | |||||
| 76,200 | Pike Electric Corporation | 937,260 | ||||||
| 15,000 | RBC Bearings, Inc.a | 779,250 | ||||||
| 9,779 | Sterling Construction Company, Inc.a | 88,598 | ||||||
| 47,000 | Sun Hydraulics Corporationb | 1,470,160 | ||||||
| 31,600 | Universal Forest Products, Inc. | 1,261,472 | ||||||
| 86,000 | Universal Truckload Services, Inc.a | 2,073,460 | ||||||
| 94,000 | Vitran Corporation, Inc.a | 614,760 | ||||||
| 68,000 | Waste Connections, Inc. | 2,797,520 | ||||||
| 70,000 | Woodward, Inc. | 2,800,000 | ||||||
|
| |||||||
| Total | 83,243,453 | |||||||
|
| |||||||
| Information Technology (9.0%) | |||||||
| 78,000 | Accelrys, Inc.a | 655,200 | ||||||
| 83,000 | Advanced Energy Industries, Inc.a | 1,445,030 | ||||||
| 49,100 | ATMI, Inc.a | 1,161,215 | ||||||
| 111,800 | Brooks Automation, Inc. | 1,087,814 | ||||||
| 62,900 | Cabot Microelectronics Corporationa | 2,076,329 | ||||||
| 29,600 | Cognex Corporation | 1,338,512 | ||||||
| 67,000 | Cohu, Inc. | 837,500 | ||||||
| 134,200 | Electro Rent Corporation | 2,253,218 | ||||||
| 121,700 | Electro Scientific Industries, Inc. | 1,309,492 | ||||||
| 175,000 | Intevac, Inc.a | 990,500 | ||||||
| 18,300 | Littelfuse, Inc. | 1,365,363 | ||||||
| 95,000 | Methode Electronics, Inc. | 1,615,950 | ||||||
| 69,600 | Monotype Imaging Holdings, Inc. | 1,768,536 | ||||||
| 42,000 | Newport Corporationa | 585,060 | ||||||
| 113,000 | Progress Software Corporationa | 2,600,130 | ||||||
| 170,000 | ShoreTel, Inc.a | 685,100 | ||||||
| 330,000 | Sonus Networks, Inc.a | 993,300 | ||||||
| 69,000 | Synnex Corporationa,b | 2,917,320 | ||||||
| 81,000 | Teradyne, Inc.a | 1,423,170 | ||||||
| 68,000 | Xyratex, Ltd. | 684,080 | ||||||
| 84,000 | Zygo Corporationa | 1,328,040 | ||||||
|
| |||||||
| Total | 29,120,859 | |||||||
|
| |||||||
| Materials (8.3%) | |||||||
| 42,500 | AMCOL International Corporation | 1,346,825 | ||||||
| 74,000 | AptarGroup, Inc. | 4,085,540 | ||||||
| 28,000 | Carpenter Technology Corporation | 1,261,960 | ||||||
| 83,500 | Clearwater Paper Corporationa | 3,929,510 | ||||||
| 60,100 | Franco-Nevada Corporation | 2,151,531 | ||||||
| 25,000 | Haynes International, Inc. | 1,196,750 | ||||||
| 105,000 | Innospec, Inc. | 4,218,900 | ||||||
| 52,000 | Minerals Technologies, Inc. | 2,149,680 | ||||||
| 127,500 | Myers Industries, Inc. | 1,913,775 | ||||||
| 37,000 | Schnitzer Steel Industries, Inc. | 865,060 | ||||||
| 18,900 | Texas Industries, Inc.a,b | 1,231,146 | ||||||
| 220,000 | Wausau Paper Corporation | 2,508,000 | ||||||
|
| |||||||
| Total | 26,858,677 | |||||||
|
| |||||||
| Telecommunications Services (0.4%) | |||||||
| 103,000 | Premiere Global Services, Inc.a | 1,243,210 | ||||||
|
| |||||||
| Total | 1,243,210 | |||||||
|
| |||||||
| Utilities (5.0%) | |||||||
| 32,500 | Black Hills Corporation | 1,584,375 | ||||||
| 105,000 | Cleco Corporation | 4,875,150 | ||||||
| 72,000 | El Paso Electric Company | 2,542,320 | ||||||
| 57,700 | NorthWestern Corporation | 2,302,230 | ||||||
| 61,800 | PNM Resources, Inc. | 1,371,342 | ||||||
| 69,700 | Southwest Gas Corporation | 3,261,263 | ||||||
| 8,600 | UNS Energy Corporation | 384,678 | ||||||
|
| |||||||
| Total | 16,321,358 | |||||||
|
| |||||||
Total Common Stock (cost $213,370,549) | 314,299,561 | |||||||
|
| |||||||
Preferred Stock (0.2%) | ||||||||
| Health Care (0.2%) | |||||||
| 46,367 | National Healthcare Corporation, Convertiblec | 681,595 | ||||||
|
| |||||||
| Total | 681,595 | |||||||
|
| |||||||
Total Preferred Stock (cost $627,545) | 681,595 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (3.5%) | ||||||||
| 11,398,190 | Thrivent Cash Management Trust | 11,398,190 | ||||||
Total Collateral Held for Securities Loaned (cost $11,398,190) | 11,398,190 | |||||||
| Shares or Principal Amount | Short-Term Investments (2.7%) | |||||||
| Thrivent Cash Management Trust | ||||||||
| 8,568,993 | 0.080% | 8,568,993 | ||||||
|
| |||||||
| Total Short-Term | ||||||||
| Investments (at amortized cost) | 8,568,993 | |||||||
|
| |||||||
Total Investments (cost $233,965,277) 103.6% | $ | 334,948,339 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (3.6%) | (11,563,646 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 323,384,693 | ||||||
|
| |||||||
| 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 | $ | 111,342,813 | ||
Gross unrealized depreciation | (13,094,140 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 98,248,673 | ||
Cost for federal income tax purposes | $ | 236,699,666 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
110
Table of Contents
Partner Small Cap Value Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 50,828,995 | 50,828,995 | — | — | ||||||||||||
Consumer Staples | 1,867,591 | �� | 1,867,591 | — | — | |||||||||||
Energy | 11,891,239 | 11,891,239 | — | — | ||||||||||||
Financials | 79,742,708 | 79,742,708 | — | — | ||||||||||||
Health Care | 13,181,471 | 13,181,471 | — | — | ||||||||||||
Industrials | 83,243,453 | 83,243,453 | — | — | ||||||||||||
Information Technology | 29,120,859 | 29,120,859 | — | — | ||||||||||||
Materials | 26,858,677 | 24,707,146 | 2,151,531 | — | ||||||||||||
Telecommunications Services | 1,243,210 | 1,243,210 | — | — | ||||||||||||
Utilities | 16,321,358 | 16,321,358 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Health Care | 681,595 | 681,595 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 11,398,190 | 11,398,190 | — | — | ||||||||||||
Short-Term Investments | 8,568,993 | 8,568,993 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 334,948,339 | $ | 332,796,808 | $ | 2,151,531 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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 June 28, 2013, 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 | 219 | ||||
Total Foreign Exchange Contracts | 219 | |||||
|
| |||||
Total | $ | 219 | ||||
|
| |||||
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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 6,309,263 | $ | 43,278,377 | $ | 38,189,450 | 11,398,190 | $ | 11,398,190 | $ | 32,667 | |||||||||||||
Cash Management Trust- Short Term Investment | 8,475,149 | 8,456,856 | 8,363,012 | 8,568,993 | 8,568,993 | 3,473 | ||||||||||||||||||
Total Value and Income Earned | 14,784,412 | 19,967,183 | 36,140 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
111
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (88.5%) | Value | ||||||
| Consumer Discretionary (13.0%) | |||||||
| 85,500 | Cheesecake Factory, Inc. | $ | 3,581,595 | |||||
| 201,231 | Foot Locker, Inc. | 7,069,245 | ||||||
| 67,810 | GNC Holdings, Inc. | 2,997,880 | ||||||
| 63,747 | MDC Partners, Inc. | 1,149,996 | ||||||
| 152,900 | Meredith Corporationa | 7,293,330 | ||||||
| 159,160 | Nexstar Broadcasting Group, Inc. | 5,643,814 | ||||||
| 83,570 | Papa John’s International, Inc.b | 5,462,971 | ||||||
| 258,362 | Pier 1 Imports, Inc. | 6,068,923 | ||||||
|
| |||||||
| Total | 39,267,754 | |||||||
|
| |||||||
| Consumer Staples (3.8%) | |||||||
| 75,564 | Annie’s, Inc.a,b | 3,229,605 | ||||||
| 125,537 | Ingredion, Inc. | 8,237,738 | ||||||
|
| |||||||
| Total | 11,467,343 | |||||||
|
| |||||||
| Energy (4.4%) | |||||||
| 123,600 | Oasis Petroleum, Inc.b | 4,804,332 | ||||||
| 190,200 | Patterson-UTI Energy, Inc. | 3,681,321 | ||||||
| 265,690 | Rex Energy Corporationb | 4,670,830 | ||||||
|
| |||||||
| Total | 13,156,483 | |||||||
|
| |||||||
| Financials (23.0%) | |||||||
| 45,996 | Affiliated Managers Group, Inc.b | 7,540,584 | ||||||
| 43,600 | Allied World Assurance Company Holdings AG | 3,989,836 | ||||||
| 70,700 | American Assets Trust, Inc. | 2,181,802 | ||||||
| 105,400 | Aspen Insurance Holdings, Ltd. | 3,909,286 | ||||||
| 66,250 | Colonial Properties Trust | 1,597,950 | ||||||
| 357,400 | DCT Industrial Trust, Inc. | 2,555,410 | ||||||
| 35,300 | Extra Space Storage, Inc. | 1,480,129 | ||||||
| 93,800 | HCC Insurance Holdings, Inc. | 4,043,718 | ||||||
| 92,400 | iShares Russell 2000 Index Fund | 8,977,584 | ||||||
| 81,800 | Pebblebrook Hotel Trust | 2,114,530 | ||||||
| 257,382 | Popular, Inc.b | 7,806,396 | ||||||
| 64,000 | ProAssurance Corporation | 3,338,240 | ||||||
| 94,100 | SVB Financial Groupb | 7,840,412 | ||||||
| 20,550 | Taubman Centers, Inc. | 1,544,333 | ||||||
| 123,800 | Terreno Realty Corporation | 2,294,014 | ||||||
| 134,440 | Tower Group International, Ltd. | 2,757,364 | ||||||
| 185,303 | Zions Bancorporation | 5,351,551 | ||||||
|
| |||||||
| Total | 69,323,139 | |||||||
|
| |||||||
| Health Care (5.7%) | |||||||
| 172,300 | Akorn, Inc.b | 2,329,496 | ||||||
| 138,200 | Align Technology, Inc.b | 5,118,928 | ||||||
| 22,025 | ExamWorks Group, Inc.b | 467,591 | ||||||
| 47,939 | HeartWare International, Inc.b | 4,559,478 | ||||||
| 121,040 | Hologic, Inc.b | 2,336,072 | ||||||
| 95,900 | Neurocrine Biosciences, Inc.b | 1,283,142 | ||||||
| 51,558 | NuVasive, Inc.b | 1,278,123 | ||||||
|
| |||||||
| Total | 17,372,830 | |||||||
|
| |||||||
| Industrials (18.1%) | |||||||
| 183,310 | Actuant Corporation | 6,043,731 | ||||||
| 90,300 | Acuity Brands, Inc. | 6,819,456 | ||||||
| 136,900 | DigitalGlobe, Inc.b | 4,245,269 | ||||||
| 233,904 | EMCOR Group, Inc. | 9,508,197 | ||||||
| 156,900 | GATX Corporation | 7,441,767 | ||||||
| 125,700 | HNI Corporation | 4,533,999 | ||||||
| 110,900 | Landstar System, Inc. | 5,711,350 | ||||||
| 63,500 | Manpower, Inc. | 3,479,800 | ||||||
| 60,160 | Tennant Company | 2,903,923 | ||||||
| 100,000 | Woodward, Inc. | 4,000,000 | ||||||
|
| |||||||
| Total | 54,687,492 | |||||||
|
| |||||||
| Information Technology (11.1%) | |||||||
| 390,500 | Atmel Corporationb | 2,870,175 | ||||||
| 111,600 | ExactTarget, Inc.b | 3,763,152 | ||||||
| 73,900 | Guidewire Software, Inc.b | 3,107,495 | ||||||
| 70,800 | Informatica Corporationb | 2,476,584 | ||||||
| 5,637 | Itron, Inc.b | 239,178 | ||||||
| 176,945 | Plantronics, Inc. | 7,771,425 | ||||||
| 403,720 | Teradyne, Inc.b | 7,093,360 | ||||||
| 447,400 | Vishay Intertechnology, Inc.b | 6,214,386 | ||||||
|
| |||||||
| Total | 33,535,755 | |||||||
|
| |||||||
| Materials (5.1%) | |||||||
| 75,100 | Buckeye Technologies, Inc. | 2,781,704 | ||||||
| 43,700 | Eagle Materials, Inc. | 2,895,999 | ||||||
| 102,000 | H.B. Fuller Company | 3,856,620 | ||||||
| 85,400 | Materials Select Sector SPDR Fund | 3,274,236 | ||||||
| 188,200 | SunCoke Energy, Inc.b | 2,638,564 | ||||||
|
| |||||||
| Total | 15,447,123 | |||||||
|
| |||||||
| Utilities (4.3%) | |||||||
| 253,100 | PNM Resources, Inc. | 5,616,289 | ||||||
| 155,287 | Southwest Gas Corporation | 7,265,879 | ||||||
|
| |||||||
| Total | 12,882,168 | |||||||
|
| |||||||
Total Common Stock (cost $217,620,318) | 267,140,087 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (3.6%) | ||||||||
| 10,762,540 | Thrivent Cash Management Trust | 10,762,540 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $10,762,540) | 10,762,540 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (12.0%) | |||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 100,000 | 0.093%, 11/22/2013c,d | 99,962 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 1,300,000 | 0.100%, 12/4/2013c,d | 1,299,430 | ||||||
| Thrivent Cash Management Trust | ||||||||
| 34,991,227 | 0.080% | 34,991,227 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 36,390,619 | |||||||
|
| |||||||
Total Investments (cost $264,773,477) 104.1% | $ | 314,293,246 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (4.1%) | (12,436,004 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 301,857,242 | ||||||
|
| |||||||
| 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 June 28, 2013, $1,399,392 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.
112
Table of Contents
Small Cap Stock Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 52,540,916 | ||
Gross unrealized depreciation | (2,890,277 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 49,650,639 | ||
Cost for federal income tax purposes | $ | 264,642,607 |
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 39,267,754 | 39,267,754 | — | — | ||||||||||||
Consumer Staples | 11,467,343 | 11,467,343 | — | — | ||||||||||||
Energy | 13,156,483 | 13,156,483 | — | — | ||||||||||||
Financials | 69,323,139 | 69,323,139 | — | — | ||||||||||||
Health Care | 17,372,830 | 17,372,830 | — | — | ||||||||||||
Industrials | 54,687,492 | 54,687,492 | — | — | ||||||||||||
Information Technology | 33,535,755 | 33,535,755 | — | — | ||||||||||||
Materials | 15,447,123 | 15,447,123 | — | — | ||||||||||||
Utilities | 12,882,168 | 12,882,168 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 10,762,540 | 10,762,540 | — | — | ||||||||||||
Short-Term Investments | 36,390,619 | 34,991,227 | 1,399,392 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 314,293,246 | $ | 312,893,854 | $ | 1,399,392 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 238,441 | 238,441 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 238,441 | $ | 238,441 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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 | 278 | September 2013 | $26,858,219 | $27,096,660 | $238,441 | |||||||||||||||
Total Futures Contracts | $ | 238,441 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 28, 2013, 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 | 238,441 | ||||
Total Equity Contracts | 238,441 | |||||
|
| |||||
Total Asset Derivatives | $ | 238,441 | ||||
|
| |||||
| * | 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.
113
Table of Contents
Small Cap Stock Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 28, 2013, 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 | 3,955,441 | ||||
Total Equity Contracts | 3,955,441 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (8,448 | ) | |||
Total Foreign Exchange Contracts | (8,448 | ) | ||||
|
| |||||
Total | $ | 3,946,993 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 28, 2013, 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 | 194,790 | ||||
Total Equity Contracts | 194,790 | |||||
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 | $ | 196,551 | ||||
|
| |||||
The following table presents Small Cap Stock Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 27,688,471 | 9.4 | % | N/A | N/A | ||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 71,366 | <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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 14,564,224 | $ | 58,235,318 | $ | 62,037,002 | 10,762,540 | $ | 10,762,540 | $ | 83,548 | |||||||||||||
Cash Management Trust- Short Term Investment | 37,664,178 | 35,545,100 | 38,218,051 | 34,991,227 | 34,991,227 | 16,298 | ||||||||||||||||||
Total Value and Income Earned | 52,228,402 | 45,753,767 | 99,846 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
114
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (98.4%) | Value | ||||||
| Consumer Discretionary (16.3%) | |||||||
| 11,600 | American Greetings Corporation | $ | 211,352 | |||||
| 6,500 | American Public Education, Inc.a | 241,540 | ||||||
| 9,700 | Arbitron, Inc. | 450,565 | ||||||
| 4,800 | Arctic Cat, Inc. | 215,904 | ||||||
| 6,300 | Big 5 Sporting Goods Corporation | 138,285 | ||||||
| 415 | Biglari Holdings, Inc.a | 170,316 | ||||||
| 9,100 | BJ’s Restaurants, Inc.a | 337,610 | ||||||
| 4,600 | Blue Nile, Inc.a | 173,788 | ||||||
| 3,900 | Blyth, Inc.b | 54,444 | ||||||
| 20,700 | Boyd Gaming Corporationa | 233,910 | ||||||
| 14,925 | Brown Shoe Company, Inc. | 321,335 | ||||||
| 33,100 | Brunswick Corporation | 1,057,545 | ||||||
| 10,050 | Buckle, Inc.b | 522,801 | ||||||
| 6,800 | Buffalo Wild Wings, Inc.a | 667,488 | ||||||
| 26,000 | Callaway Golf Companyb | 171,080 | ||||||
| 4,100 | Capella Education Companya | 170,765 | ||||||
| 18,700 | Career Education Corporationa | 54,230 | ||||||
| 9,900 | Cato Corporation | 247,104 | ||||||
| 6,125 | CEC Entertainment, Inc. | 251,370 | ||||||
| 8,300 | Children’s Place Retail Stores, Inc.a | 454,840 | ||||||
| 13,325 | Christopher & Banks Corporationa | 89,810 | ||||||
| 10,300 | Coinstar, Inc.a,b | 604,301 | ||||||
| 28,700 | Corinthian Colleges, Inc.a,b | 64,288 | ||||||
| 8,700 | Cracker Barrel Old Country Store, Inc. | 823,542 | ||||||
| 32,300 | Crocs, Inc.a | 532,950 | ||||||
| 9,300 | Digital Generation, Inc.a,b | 68,541 | ||||||
| 5,900 | DineEquity, Inc. | 406,333 | ||||||
| 9,900 | Dorman Products, Inc. | 451,737 | ||||||
| 7,000 | Drew Industries, Inc. | 275,240 | ||||||
| 10,833 | E.W. Scripps Companya | 168,778 | ||||||
| 9,550 | Ethan Allen Interiors, Inc.b | 275,040 | ||||||
| 43,900 | Fifth & Pacific Companies, Inc.a | 980,726 | ||||||
| 18,093 | Finish Line, Inc. | 395,513 | ||||||
| 16,200 | Francesca’s Holdings Corporationa,b | 450,198 | ||||||
| 12,450 | Fred’s, Inc. | 192,851 | ||||||
| 8,800 | Genesco, Inc.a | 589,512 | ||||||
| 8,000 | Group 1 Automotive, Inc. | 514,640 | ||||||
| 15,900 | Harte-Hanks, Inc. | 136,740 | ||||||
| 7,200 | Haverty Furniture Companies, Inc. | 165,672 | ||||||
| 11,600 | Helen of Troy, Ltd.a | 445,092 | ||||||
| 9,550 | Hibbett Sports, Inc.a | 530,025 | ||||||
| 23,000 | Hillenbrand, Inc. | 545,330 | ||||||
| 20,900 | Iconix Brand Group, Inc.a,b | 614,669 | ||||||
| 14,200 | Interval Leisure Group, Inc. | 282,864 | ||||||
| 9,600 | iRobot Corporationa | 381,792 | ||||||
| 5,700 | ITT Educational Services, Inc.a,b | 139,080 | ||||||
| 16,200 | Jack in the Box, Inc.a | 636,498 | ||||||
| 7,653 | JAKKS Pacific, Inc.b | 86,096 | ||||||
| 10,262 | Joseph A. Bank Clothiers, Inc.a | 424,026 | ||||||
| 5,500 | Kirkland’s, Inc.a | 94,875 | ||||||
| 19,200 | La-Z-Boy, Inc. | 389,184 | ||||||
| 8,300 | Lincoln Educational Services | 43,741 | ||||||
| 7,700 | Lithia Motors, Inc. | 410,487 | ||||||
| 52,718 | Live Nation Entertainment, Inc.a | 817,129 | ||||||
| 10,000 | Lumber Liquidators Holdings, Inc.a,b | 778,700 | ||||||
| 8,800 | M/I Homes, Inc.a | 202,048 | ||||||
| 8,500 | Maidenform Brands, Inc.a | 147,305 | ||||||
| 6,900 | Marcus Corporation | 87,768 | ||||||
| 8,800 | MarineMax, Inc.a | 99,704 | ||||||
| 10,700 | Marriott Vacations Worldwide Corporationa | 462,668 | ||||||
| 17,300 | Men’s Wearhouse, Inc. | 654,805 | ||||||
| 11,500 | Meritage Homes Corporationa | 498,640 | ||||||
| 3,500 | Monarch Casino & Resort, Inc.a | 59,010 | ||||||
| 10,750 | Monro Muffler Brake, Inc.b | 516,538 | ||||||
| 6,500 | Movado Group, Inc. | 219,895 | ||||||
| 10,500 | Multimedia Games Holding Company, Inc.a | 273,735 | ||||||
| 10,500 | NutriSystem, Inc. | 123,690 | ||||||
| 31,800 | OfficeMax, Inc.b | 325,314 | ||||||
| 5,200 | Oxford Industries, Inc. | 324,480 | ||||||
| 6,000 | Papa John’s International, Inc.a | 392,220 | ||||||
| 19,400 | Pep Boys—Manny, Moe & Jacka | 224,652 | ||||||
| 4,300 | Perry Ellis International, Inc. | 87,333 | ||||||
| 7,400 | PetMed Express, Inc.b | 93,240 | ||||||
| 21,400 | Pinnacle Entertainment, Inc.a | 420,938 | ||||||
| 17,112 | Pool Corporation | 896,840 | ||||||
| 46,000 | Quiksilver, Inc.a | 296,240 | ||||||
| 4,700 | Red Robin Gourmet Burgers, Inc.a | 259,346 | ||||||
| 21,000 | Ruby Tuesday, Inc.a | 193,830 | ||||||
| 5,700 | Rue21, Inc.a | 237,177 | ||||||
| 13,100 | Ruth’s Hospitality Group, Inc. | 158,117 | ||||||
| 16,800 | Ryland Group, Inc.b | 673,680 | ||||||
| 20,400 | Select Comfort Corporationa | 511,224 | ||||||
| 20,625 | SHFL Entertainment, Inc.a | 365,269 | ||||||
| 14,100 | Skechers USA, Inc.a | 338,541 | ||||||
| 12,600 | Sonic Automotive, Inc. | 266,364 | ||||||
| 19,252 | Sonic Corporationa | 280,309 | ||||||
| 11,400 | Spartan Motors, Inc. | 69,768 | ||||||
| 11,900 | Stage Stores, Inc. | 279,650 | ||||||
| 5,100 | Stamps.com, Inc.a | 200,889 | ||||||
| 7,200 | Standard Motor Products, Inc. | 247,248 | ||||||
| 52,900 | Standard Pacific Corporationa,b | 440,657 | ||||||
| 10,100 | Stein Mart, Inc. | 137,865 | ||||||
| 14,950 | Steven Madden, Ltd.a | 723,281 | ||||||
| 7,000 | Sturm, Ruger & Company, Inc.b | 336,280 | ||||||
| 8,500 | Superior Industries International, Inc. | 146,285 | ||||||
| 21,200 | Texas Roadhouse, Inc. | 530,424 | ||||||
| 8,900 | True Religion Apparel, Inc. | 281,774 | ||||||
| 15,600 | Tuesday Morning Corporationa | 161,772 | ||||||
| 5,500 | Universal Electronic, Inc.a | 154,715 | ||||||
| 7,800 | Universal Technical Institute, Inc. | 80,574 | ||||||
| 11,000 | Vitamin Shoppe, Inc.a | 493,240 | ||||||
| 7,000 | VOXX International Corporationa | 85,890 | ||||||
| 10,300 | Winnebago Industries, Inc.a | 216,197 | ||||||
| 18,400 | Wolverine World Wide, Inc.b | 1,004,824 | ||||||
| 9,600 | Zale Corporationa | 87,360 | ||||||
| 7,900 | Zumiez, Inc.a | 227,125 | ||||||
|
| |||||||
| Total | 35,549,010 | |||||||
|
| |||||||
| Consumer Staples (4.0%) | |||||||
| 30,100 | Alliance One International, Inc.a | 114,380 | ||||||
| 6,400 | Andersons, Inc. | 340,416 | ||||||
| 19,300 | B&G Foods, Inc. | 657,165 | ||||||
| 3,100 | Boston Beer Company, Inc.a,b | 528,984 | ||||||
| 4,700 | Calavo Growers, Inc.b | 127,793 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
115
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (98.4%) | Value | ||||||
| Consumer Staples (4.0%) - continued | |||||||
| 5,100 | Cal-Maine Foods, Inc. | $ | 237,201 | |||||
| 14,000 | Casey’s General Stores, Inc. | 842,240 | ||||||
| 15,200 | Central Garden & Pet Companya | 104,880 | ||||||
| 43,200 | Darling International, Inc.a | 806,112 | ||||||
| 8,100 | Diamond Foods, Inc.a,b | 168,075 | ||||||
| 17,200 | Hain Celestial Group, Inc.a | 1,117,484 | ||||||
| 5,900 | Inter Parfums, Inc. | 168,268 | ||||||
| 5,500 | J & J Snack Foods Corporation | 427,900 | ||||||
| 4,500 | Medifast, Inc.a | 115,920 | ||||||
| 4,500 | Nash Finch Company | 99,045 | ||||||
| 18,700 | Prestige Brands Holdings, Inc.a | 544,918 | ||||||
| 7,300 | Sanderson Farms, Inc. | 484,866 | ||||||
| 2,900 | Seneca Foods Corporationa | 88,972 | ||||||
| 17,700 | Snyders-Lance, Inc. | 502,857 | ||||||
| 8,000 | Spartan Stores, Inc. | 147,520 | ||||||
| 13,300 | TreeHouse Foods, Inc.a | 871,682 | ||||||
| 5,370 | WD-40 Company | 292,558 | ||||||
|
| |||||||
| Total | 8,789,236 | |||||||
|
| |||||||
| Energy (4.7%) | |||||||
| 12,200 | Approach Resources, Inc.a,b | 299,754 | ||||||
| 10,000 | Basic Energy Services, Inc.a | 120,900 | ||||||
| 13,200 | Bristow Group, Inc. | 862,224 | ||||||
| 16,500 | C&J Energy Services, Inc.a,b | 319,605 | ||||||
| 13,400 | Carrizo Oil & Gas, Inc.a | 379,622 | ||||||
| 22,300 | Cloud Peak Energy, Inc.a | 367,504 | ||||||
| 16,400 | Comstock Resources, Inc. | 257,972 | ||||||
| 4,700 | Contango Oil & Gas Company | 158,625 | ||||||
| 7,050 | Era Group, Inc.a | 184,358 | ||||||
| 24,000 | Exterran Holdings, Inc.a | 674,880 | ||||||
| 44,000 | Forest Oil Corporationa | 179,960 | ||||||
| 4,700 | Geospace Technologies Corporationa | 324,676 | ||||||
| 5,300 | Gulf Island Fabrication, Inc. | 101,495 | ||||||
| 25,200 | Gulfport Energy Corporationa | 1,186,164 | ||||||
| 11,800 | Hornbeck Offshore Services, Inc.a | 631,300 | ||||||
| 44,100 | ION Geophysical Corporationa | 265,482 | ||||||
| 12,400 | Lufkin Industries, Inc. | 1,097,028 | ||||||
| 9,500 | Matrix Service Companya | 148,010 | ||||||
| 21,700 | Northern Oil and Gas, Inc.a,b | 289,478 | ||||||
| 11,100 | PDC Energy, Inc.a | 571,428 | ||||||
| 20,100 | Penn Virginia Corporationa | 94,470 | ||||||
| 20,700 | PetroQuest Energy, Inc.a | 81,972 | ||||||
| 22,700 | Pioneer Energy Services Corporationa | 150,274 | ||||||
| 6,950 | SEACOR Holdings, Inc.b | 577,197 | ||||||
| 18,200 | Stone Energy Corporationa | 400,946 | ||||||
| 15,800 | Swift Energy Companya | 189,442 | ||||||
| 11,600 | Tesco Corporationa | 153,700 | ||||||
| 28,550 | Tetra Technologies, Inc.a | 292,923 | ||||||
|
| |||||||
| Total | 10,361,389 | |||||||
|
| |||||||
| Financials (21.0%) | |||||||
| 20,128 | Acadia Realty Trust | 496,960 | ||||||
| 6,700 | Amerisafe, Inc. | 217,013 | ||||||
| 18,600 | Associated Estates Realty Corporation | 299,088 | ||||||
| 15,800 | Bank Mutual Corporation | 89,112 | ||||||
| 11,000 | Bank of the Ozarks, Inc. | 476,630 | ||||||
| 6,400 | Banner Corporation | 216,256 | ||||||
| 28,900 | BBCN Bancorp, Inc. | 410,958 | ||||||
| 28,900 | Boston Private Financial Holdings, Inc. | 307,496 | ||||||
| 25,600 | Brookline Bancorp, Inc. | 222,208 | ||||||
| 7,500 | Calamos Asset Management, Inc. | 78,750 | ||||||
| 10,500 | Cash America International, Inc. | 477,330 | ||||||
| 20,100 | Cedar Realty Trust, Inc. | 104,118 | ||||||
| 5,700 | City Holding Companyb | 222,015 | ||||||
| 30,400 | Colonial Properties Trust | 733,248 | ||||||
| 18,700 | Columbia Banking System, Inc. | 445,247 | ||||||
| 14,600 | Community Bank System, Inc. | 450,410 | ||||||
| 7,900 | Coresite Realty Corporation | 251,299 | ||||||
| 38,400 | Cousins Properties, Inc. | 387,840 | ||||||
| 32,300 | CVB Financial Corporation | 379,848 | ||||||
| 71,567 | DiamondRock Hospitality Company | 667,004 | ||||||
| 10,675 | Dime Community Bancshares, Inc. | 163,541 | ||||||
| 11,000 | EastGroup Properties, Inc. | 618,970 | ||||||
| 7,200 | eHealth, Inc.a | 163,584 | ||||||
| 11,300 | Employers Holdings, Inc. | 276,285 | ||||||
| 8,600 | Encore Capital Group, Inc.a,b | 284,746 | ||||||
| 17,200 | EPR Properties | 864,644 | ||||||
| 17,500 | EZCORP, Inc.a | 295,400 | ||||||
| 53,100 | F.N.B. Corporation | 641,448 | ||||||
| 15,500 | Financial Engines, Inc. | 706,645 | ||||||
| 25,773 | First Bancorpa,b | 182,473 | ||||||
| 9,800 | First Cash Financial Services, Inc.a | 482,258 | ||||||
| 35,800 | First Commonwealth Financial Corporation | 263,846 | ||||||
| 21,200 | First Financial Bancorp | 315,880 | ||||||
| 10,950 | First Financial Bankshares, Inc.b | 609,477 | ||||||
| 27,412 | First Midwest Bancorp, Inc. | 376,093 | ||||||
| 12,700 | Forestar Real Estate Group, Inc.a | 254,762 | ||||||
| 31,900 | Franklin Street Properties Corporation | 421,080 | ||||||
| 26,196 | Geo Group, Inc. REIT | 889,354 | ||||||
| 9,800 | Getty Realty Corporation | 202,370 | ||||||
| 26,400 | Glacier Bancorp, Inc. | 585,816 | ||||||
| 20,000 | Government Properties Income Trust | 504,400 | ||||||
| 11,562 | Hanmi Financial Corporationa | 204,301 | ||||||
| 33,000 | Healthcare Realty Trust, Inc. | 841,500 | ||||||
| 12,000 | HFF, Inc. | 213,240 | ||||||
| 16,840 | Home Bancshares, Inc. | 437,335 | ||||||
| 14,500 | Horace Mann Educators Corporation | 353,510 | ||||||
| 8,300 | Independent Bank Corporation | 286,350 | ||||||
| 4,300 | Infinity Property & Casualty Corporation | 256,968 | ||||||
| 31,600 | Inland Real Estate Corporation | 322,952 | ||||||
| 14,900 | Interactive Brokers Group, Inc. | 237,953 | ||||||
| 13,700 | Investment Technology Group, Inc.a | 191,526 | ||||||
| 31,400 | Kite Realty Group Trust | 189,342 | ||||||
| 34,900 | LaSalle Hotel Properties | 862,030 | ||||||
| 67,259 | Lexington Realty Trust | 785,585 | ||||||
| 12,600 | LTC Properties, Inc. | 492,030 | ||||||
| 13,700 | MarketAxess Holdings, Inc. | 640,475 | ||||||
| 20,000 | MB Financial, Inc. | 536,000 | ||||||
| 17,174 | Meadowbrook Insurance Group, Inc. | 137,907 | ||||||
| 54,800 | Medical Properties Trust, Inc. | 784,736 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
116
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (98.4%) | Value | ||||||
| Financials (21.0%) - continued | |||||||
| 15,600 | Mid-America Apartment Communities, Inc. | $ | 1,057,212 | |||||
| 14,700 | National Financial Partnersa | 372,057 | ||||||
| 43,100 | National Penn Bancshares, Inc. | 437,896 | ||||||
| 3,900 | Navigators Group, Inc.a | 222,456 | ||||||
| 16,100 | NBT Bancorp, Inc. | 340,837 | ||||||
| 34,300 | Northwest Bancshares, Inc. | 463,393 | ||||||
| 37,100 | Old National Bancorp | 513,093 | ||||||
| 14,300 | Oritani Financial Corporation | 224,224 | ||||||
| 14,400 | PacWest Bancorp | 441,360 | ||||||
| 15,300 | Parkway Properties, Inc. | 256,428 | ||||||
| 22,900 | Pennsylvania Real Estate Investment Trust | 432,352 | ||||||
| 12,000 | Pinnacle Financial Partners, Inc.a | 308,520 | ||||||
| 5,900 | Piper Jaffray Companiesa | 186,499 | ||||||
| 6,200 | Portfolio Recovery Associates, Inc.a | 952,506 | ||||||
| 20,000 | Post Properties, Inc. | 989,800 | ||||||
| 23,000 | PrivateBancorp, Inc. | 487,830 | ||||||
| 22,600 | ProAssurance Corporation | 1,178,816 | ||||||
| 77,378 | Prospect Capital Corporation | 835,682 | ||||||
| 19,700 | Provident Financial Services, Inc. | 310,866 | ||||||
| 6,600 | PS Business Parks, Inc. | 476,322 | ||||||
| 6,200 | RLI Corporation | 473,742 | ||||||
| 10,900 | S&T Bancorp, Inc. | 213,640 | ||||||
| 13,700 | Sabra Healthcare REIT, Inc. | 357,707 | ||||||
| 4,700 | Safety Insurance Group, Inc. | 227,997 | ||||||
| 4,700 | Saul Centers, Inc. | 208,962 | ||||||
| 20,200 | Selective Insurance Group, Inc. | 465,004 | ||||||
| 6,100 | Simmons First National Corporation | 159,149 | ||||||
| 11,400 | Sovran Self Storage, Inc. | 738,606 | ||||||
| 11,400 | Sterling Bancorp | 132,468 | ||||||
| 7,600 | Stewart Information Services Corporation | 199,044 | ||||||
| 21,550 | Stifel Financial Corporationa | 768,689 | ||||||
| 68,200 | Susquehanna Bancshares, Inc. | 876,370 | ||||||
| 10,326 | SWS Group, Inc.a | 56,277 | ||||||
| 34,500 | Tanger Factory Outlet Centers, Inc. | 1,154,370 | ||||||
| 5,300 | Taylor Capital Group, Inc.a | 89,517 | ||||||
| 14,900 | Texas Capital Bancshares, Inc.a | 660,964 | ||||||
| 4,240 | Tompkins Financial Corporation | 191,606 | ||||||
| 14,289 | Tower Group International, Ltd. | 293,067 | ||||||
| 34,482 | Trustco Bank Corporation NY | 187,582 | ||||||
| 11,900 | UMB Financial Corporation | 662,473 | ||||||
| 40,900 | Umpqua Holdings Corporation | 613,909 | ||||||
| 16,800 | United Bankshares, Inc.b | 444,360 | ||||||
| 16,975 | United Community Banks, Inc.a | 210,829 | ||||||
| 8,000 | United Fire Group, Inc. | 198,640 | ||||||
| 4,600 | Universal Health Realty Income Trust | 198,398 | ||||||
| 9,400 | Urstadt Biddle Properties, Inc. | 189,598 | ||||||
| 13,100 | ViewPoint Financial Group, Inc. | 272,611 | ||||||
| 2,200 | Virtus Investment Partners, Inc.a | 387,794 | ||||||
| 22,700 | Wilshire Bancorp, Inc. | 150,274 | ||||||
| 13,500 | Wintrust Financial Corporation | 516,780 | ||||||
| 4,612 | World Acceptance Corporationa,b | 400,967 | ||||||
|
| |||||||
| Total | 45,999,185 | |||||||
|
| |||||||
| Health Care (11.0%) | |||||||
| 7,600 | Abaxis, Inc. | 361,076 | ||||||
| 12,900 | ABIOMED, Inc.a,b | 278,124 | ||||||
| 14,800 | Acorda Therapeutics, Inc.a | 488,252 | ||||||
| 26,000 | Affymetrix, Inc.a,b | 115,440 | ||||||
| 12,900 | Air Methods Corporationb | 437,052 | ||||||
| 24,900 | Akorn, Inc.a | 336,648 | ||||||
| 26,300 | Align Technology, Inc.a | 974,152 | ||||||
| 3,100 | Almost Family, Inc. | 58,900 | ||||||
| 11,433 | Amedisys, Inc.a | 132,851 | ||||||
| 16,800 | AMN Healthcare Services, Inc.a | 240,576 | ||||||
| 11,750 | AmSurg Corporationa | 412,425 | ||||||
| 4,500 | Analogic Corporation | 327,735 | ||||||
| 21,500 | ArQule, Inc.a | 49,880 | ||||||
| 9,000 | Bio-Reference Laboratories, Inc.a,b | 258,750 | ||||||
| 11,000 | Cambrex Corporationa | 153,670 | ||||||
| 7,850 | Cantel Medical Corporation | 265,880 | ||||||
| 19,900 | Centene Corporationa | 1,043,954 | ||||||
| 7,000 | Chemed Corporationb | 507,010 | ||||||
| 3,900 | Computer Programs and Systems, Inc. | 191,646 | ||||||
| 10,150 | CONMED Corporation | 317,086 | ||||||
| 4,400 | Corvel Corporationa | 128,788 | ||||||
| 11,300 | Cross Country Healthcare, Inc.a | 58,308 | ||||||
| 9,150 | CryoLife, Inc. | 57,279 | ||||||
| 23,800 | Cubist Pharmaceuticals, Inc.a | 1,149,540 | ||||||
| 8,700 | Cyberonics, Inc.a | 452,052 | ||||||
| 6,900 | Cynosure, Inc.a | 179,262 | ||||||
| 9,400 | Emergent Biosolutions, Inc.a | 135,548 | ||||||
| 6,400 | Ensign Group, Inc. | 225,408 | ||||||
| 10,600 | Gentiva Health Services, Inc.a | 105,576 | ||||||
| 8,700 | Greatbatch, Inc.a | 285,273 | ||||||
| 18,700 | Haemonetics Corporationa | 773,245 | ||||||
| 12,600 | Hanger, Inc.a | 398,538 | ||||||
| 7,300 | HealthStream, Inc.a | 184,836 | ||||||
| 12,500 | Healthways, Inc.a | 217,250 | ||||||
| 4,100 | Hi-Tech Pharmacal Company | 136,120 | ||||||
| 4,700 | ICU Medical, Inc.a | 338,682 | ||||||
| 23,900 | Impax Laboratories, Inc.a | 476,805 | ||||||
| 7,300 | Integra LifeSciences Holdings Corporationa | 267,399 | ||||||
| 10,600 | Invacare Corporation | 152,216 | ||||||
| 6,100 | IPC The Hospitalist Company, Inc.a | 313,296 | ||||||
| 19,700 | Kindred Healthcare, Inc.a | 258,661 | ||||||
| 3,500 | Landauer, Inc. | 169,085 | ||||||
| 5,500 | LHC Group, Inc.a | 107,690 | ||||||
| 13,900 | Luminex Corporationa | 286,479 | ||||||
| 10,000 | Magellan Health Services, Inc.a | 560,800 | ||||||
| 20,400 | Medicines Companya | 627,504 | ||||||
| 8,300 | Medidata Solutions, Inc.a | 642,835 | ||||||
| 15,200 | Meridian Bioscience, Inc.b | 326,800 | ||||||
| 14,575 | Merit Medical Systems, Inc.a | 162,511 | ||||||
| 10,700 | Molina Healthcare, Inc.a,b | 397,826 | ||||||
| 16,700 | Momenta Pharmaceuticals, Inc.a | 251,502 | ||||||
| 4,400 | MWI Veterinary Supply, Inc.a | 542,256 | ||||||
| 11,100 | Natus Medical, Inc.a | 151,515 | ||||||
| 8,250 | Neogen Corporationa | 458,370 | ||||||
| 16,100 | NuVasive, Inc.a | 399,119 | ||||||
| 12,500 | Omnicell, Inc.a | 256,875 | ||||||
| 20,900 | PAREXEL International Corporationa | 960,146 | ||||||
| 10,900 | PharMerica Corporationa | 151,074 | ||||||
| 14,600 | Quality Systems, Inc. | 273,166 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
117
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (98.4%) | Value | ||||||
| Health Care (11.0%) - continued | |||||||
| 21,500 | Questcor Pharmaceuticals, Inc. | $ | 977,390 | |||||
| 19,000 | Salix Pharmaceuticals, Ltd.a | 1,256,850 | ||||||
| 19,200 | Spectrum Pharmaceuticals, Inc.b | 143,232 | ||||||
| 4,500 | SurModics, Inc.a | 90,045 | ||||||
| 13,600 | Symmetry Medical, Inc.a | 114,512 | ||||||
| 23,900 | Viropharma, Inc.a | 684,735 | ||||||
| 12,600 | West Pharmaceutical Services, Inc. | 885,276 | ||||||
|
| |||||||
| Total | 24,122,782 | |||||||
|
| |||||||
| Industrials (14.8%) | |||||||
| 28,500 | A.O. Smith Corporation | 1,033,980 | ||||||
| 6,850 | AAON, Inc. | 226,598 | ||||||
| 14,600 | AAR Corporation | 320,908 | ||||||
| 18,600 | ABM Industries, Inc. | 455,886 | ||||||
| 26,800 | Actuant Corporation | 883,596 | ||||||
| 14,300 | Aegion Corporationa | 321,893 | ||||||
| 7,000 | Aerovironment, Inc.a | 141,260 | ||||||
| 10,600 | Albany International Corporation | 349,588 | ||||||
| 5,600 | Allegiant Travel Company | 593,544 | ||||||
| 2,900 | American Science & Engineering, Inc. | 162,400 | ||||||
| 10,500 | Apogee Enterprises, Inc. | 252,000 | ||||||
| 15,450 | Applied Industrial Technologies, Inc. | 746,698 | ||||||
| 8,800 | Arkansas Best Corporation | 201,960 | ||||||
| 7,700 | Astec Industries, Inc. | 264,033 | ||||||
| 9,500 | Atlas Air Worldwide Holdings, Inc.a | 415,720 | ||||||
| 9,300 | AZZ, Inc. | 358,608 | ||||||
| 17,200 | Barnes Group, Inc. | 515,828 | ||||||
| 16,125 | Belden, Inc. | 805,121 | ||||||
| 17,000 | Brady Corporation | 522,410 | ||||||
| 17,600 | Briggs & Stratton Corporation | 348,480 | ||||||
| 5,100 | CDI Corporation | 72,216 | ||||||
| 6,400 | Circor International, Inc. | 325,504 | ||||||
| 13,700 | Comfort Systems USA, Inc. | 204,404 | ||||||
| 3,000 | Consolidated Graphics, Inc.a | 141,030 | ||||||
| 7,300 | Cubic Corporation | 351,130 | ||||||
| 17,200 | Curtiss-Wright Corporation | 637,432 | ||||||
| 12,100 | Dycom Industries, Inc.a | 279,994 | ||||||
| 24,600 | EMCOR Group, Inc. | 999,990 | ||||||
| 6,800 | Encore Wire Corporation | 231,880 | ||||||
| 17,600 | EnerSys, Inc. | 863,104 | ||||||
| 6,202 | Engility Holdings, Inc.a | 176,261 | ||||||
| 7,600 | EnPro Industries, Inc.a | 385,776 | ||||||
| 9,700 | ESCO Technologies, Inc. | 314,086 | ||||||
| 4,800 | Exponent, Inc. | 283,728 | ||||||
| 22,900 | Federal Signal Corporationa | 200,375 | ||||||
| 11,000 | Forward Air Corporation | 421,080 | ||||||
| 14,200 | Franklin Electric Company, Inc. | 477,830 | ||||||
| 7,100 | G & K Services, Inc. | 337,960 | ||||||
| 22,100 | GenCorp, Inc.a,b | 359,346 | ||||||
| 10,600 | Gibraltar Industries, Inc.a | 154,336 | ||||||
| 16,530 | Griffon Corporation | 185,963 | ||||||
| 25,037 | Healthcare Services Group, Inc. | 613,907 | ||||||
| 16,748 | Heartland Express, Inc. | 232,295 | ||||||
| 6,000 | Heidrick & Struggles International, Inc. | 100,320 | ||||||
| 13,000 | Hub Group, Inc.a | 473,460 | ||||||
| 19,800 | II-VI, Inc.a | 321,948 | ||||||
| 8,100 | Insperity, Inc. | 245,430 | ||||||
| 21,100 | Interface, Inc. | 358,067 | ||||||
| 10,600 | John Bean Technologies Corporation | 222,706 | ||||||
| 9,800 | Kaman Corporation | 338,688 | ||||||
| 11,800 | Kaydon Corporation | 325,090 | ||||||
| 10,000 | Kelly Services, Inc. | 174,700 | ||||||
| 21,650 | Knight Transportation, Inc. | 364,153 | ||||||
| 17,700 | Korn/Ferry Internationala | 331,698 | ||||||
| 4,750 | Lindsay Manufacturing Company | 356,155 | ||||||
| 6,300 | Lydall, Inc.a | 91,980 | ||||||
| 14,000 | Mobile Mini, Inc.a | 464,100 | ||||||
| 16,550 | Moog, Inc.a | 852,822 | ||||||
| 10,300 | Mueller Industries, Inc. | 519,429 | ||||||
| 1,800 | National Presto Industries, Inc.b | 129,654 | ||||||
| 18,500 | Navigant Consulting, Inc.a | 222,000 | ||||||
| 25,937 | Old Dominion Freight Line, Inc.a | 1,079,498 | ||||||
| 16,100 | On Assignment, Inc.a | 430,192 | ||||||
| 21,900 | Orbital Sciences Corporationa | 380,403 | ||||||
| 10,000 | Orion Marine Group, Inc.a | 120,900 | ||||||
| 3,400 | Powell Industries, Inc.a | 175,610 | ||||||
| 13,575 | Quanex Building Products Corporation | 228,603 | ||||||
| 15,000 | Resources Global Professionals | 174,000 | ||||||
| 14,700 | Simpson Manufacturing Company, Inc. | 432,474 | ||||||
| 18,900 | SkyWest, Inc. | 255,906 | ||||||
| 4,600 | Standex International Corporation | 242,650 | ||||||
| 13,600 | Teledyne Technologies, Inc.a | 1,051,960 | ||||||
| 6,800 | Tennant Company | 328,236 | ||||||
| 23,706 | Tetra Tech, Inc.a | 557,328 | ||||||
| 19,600 | Titan International, Inc.b | 330,652 | ||||||
| 21,100 | Toro Company | 958,151 | ||||||
| 14,900 | TrueBlue, Inc.a | 313,645 | ||||||
| 5,500 | UniFirst Corporation | 501,875 | ||||||
| 14,800 | United Stationers, Inc. | 496,540 | ||||||
| 7,200 | Universal Forest Products, Inc. | 287,424 | ||||||
| 7,500 | Viad Corporation | 183,900 | ||||||
| 6,600 | Vicor Corporationa | 45,210 | ||||||
| 7,700 | WageWorks, Inc.a | 265,265 | ||||||
| 10,300 | Watts Water Technologies, Inc. | 467,002 | ||||||
|
| |||||||
| Total | 32,369,962 | |||||||
|
| |||||||
| Information Technology (16.8%) | |||||||
| 13,300 | Advanced Energy Industries, Inc.a | 231,553 | ||||||
| 5,200 | Agilysys, Inc.a | 58,708 | ||||||
| 9,900 | Anixter International, Inc.a | 750,519 | ||||||
| 41,923 | Arris Group, Inc.a | 601,595 | ||||||
| 11,700 | ATMI, Inc.a | 276,705 | ||||||
| 11,113 | Avid Technology, Inc.a | 65,344 | ||||||
| 5,300 | Badger Meter, Inc. | 236,115 | ||||||
| 3,800 | Bel Fuse, Inc. | 51,110 | ||||||
| 20,050 | Benchmark Electronics, Inc.a | 403,005 | ||||||
| 6,000 | Black Box Corporation | 151,920 | ||||||
| 16,700 | Blackbaud, Inc. | 543,919 | ||||||
| 14,900 | Blucora, Inc.a | 276,246 | ||||||
| 13,200 | Bottomline Technologies, Inc.a | 333,828 | ||||||
| 24,307 | Brooks Automation, Inc. | 236,507 | ||||||
| 8,500 | Cabot Microelectronics Corporationa | 280,585 | ||||||
| 8,400 | CACI International, Inc.a,b | 533,316 | ||||||
| 11,800 | CalAmp Corporationa | 172,280 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
118
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (98.4%) | Value | ||||||
| Information Technology (16.8%) - continued | |||||||
| 16,400 | Cardtronics, Inc.a | $ | 452,640 | |||||
| 8,100 | Ceva, Inc.a | 156,816 | ||||||
| 15,000 | Checkpoint Systems, Inc.a | 212,850 | ||||||
| 24,800 | CIBER, Inc.a | 82,832 | ||||||
| 23,200 | Cirrus Logic, Inc.a,b | 402,752 | ||||||
| 14,700 | Cognex Corporation | 664,734 | ||||||
| 8,900 | Coherent, Inc. | 490,123 | ||||||
| 8,400 | Cohu, Inc. | 105,000 | ||||||
| 11,900 | comScore, Inc.a | 290,241 | ||||||
| 6,100 | Comtech Telecommunications Corporation | 164,029 | ||||||
| 12,400 | CSG Systems International, Inc.a | 269,080 | ||||||
| 12,300 | CTS Corporation | 167,772 | ||||||
| 13,600 | Daktronics, Inc. | 139,536 | ||||||
| 15,900 | Dealertrack Technologies, Inc.a | 563,337 | ||||||
| 18,300 | Dice Holdings, Inc.a | 168,543 | ||||||
| 9,500 | Digi International, Inc.a | 89,015 | ||||||
| 13,000 | Digital River, Inc.a | 244,010 | ||||||
| 13,150 | Diodes, Inc.a | 341,506 | ||||||
| 8,000 | DSP Group, Inc.a | 66,480 | ||||||
| 6,800 | DTS, Inc.a | 139,944 | ||||||
| 11,700 | Ebix, Inc.b | 108,342 | ||||||
| 9,200 | Electro Scientific Industries, Inc. | 98,992 | ||||||
| 16,900 | Electronics for Imaging, Inc.a | 478,101 | ||||||
| 32,700 | Entropic Communications, Inc.a | 139,629 | ||||||
| 11,900 | EPIQ Systems, Inc. | 160,293 | ||||||
| 16,900 | Exar Corporationa | 182,013 | ||||||
| 9,600 | ExlService Holdings, Inc.a | 283,776 | ||||||
| 6,200 | FARO Technologies, Inc.a | 209,684 | ||||||
| 14,100 | FEI Company | 1,029,159 | ||||||
| 4,900 | Forrester Research, Inc. | 179,781 | ||||||
| 43,700 | GT Advanced Technologies, Inc.a,b | 181,355 | ||||||
| 41,500 | Harmonic, Inc.a | 263,525 | ||||||
| 13,300 | Heartland Payment Systems, Inc.b | 495,425 | ||||||
| 12,100 | Higher One Holdings, Inc.a,b | 140,844 | ||||||
| 9,900 | Hittite Microwave Corporationa | 574,200 | ||||||
| 11,200 | iGATE Corporationa | 183,904 | ||||||
| 15,975 | Insight Enterprises, Inc.a | 283,396 | ||||||
| 5,500 | Interactive Intelligence Groupa | 283,800 | ||||||
| 20,600 | Intermec, Inc.a | 202,498 | ||||||
| 8,700 | Intevac, Inc.a | 49,242 | ||||||
| 19,800 | Ixiaa | 364,320 | ||||||
| 15,800 | j2 Global, Inc.b | 671,658 | ||||||
| 22,600 | Kopin Corporationa | 83,846 | ||||||
| 27,500 | Kulicke and Soffa Industries, Inc.a | 304,150 | ||||||
| 9,000 | Liquidity Services, Inc.a,b | 312,030 | ||||||
| 8,000 | Littelfuse, Inc. | 596,880 | ||||||
| 18,100 | Liveperson, Inc.a | 162,086 | ||||||
| 8,100 | LogMeIn, Inc.a | 198,126 | ||||||
| 7,200 | Manhattan Associates, Inc.a | 555,552 | ||||||
| 12,500 | MAXIMUS, Inc. | 931,000 | ||||||
| 5,700 | Measurement Specialties, Inc.a | 265,221 | ||||||
| 11,900 | Mercury Computer Systems, Inc.a | 109,718 | ||||||
| 12,900 | Methode Electronics, Inc. | 219,429 | ||||||
| 17,300 | Micrel, Inc. | 170,924 | ||||||
| 33,900 | Microsemi Corporationa | 771,225 | ||||||
| 3,200 | MicroStrategy, Inc.a | 278,272 | ||||||
| 19,400 | MKS Instruments, Inc. | 514,876 | ||||||
| 11,900 | Monolithic Power Systems, Inc. | 286,909 | ||||||
| 13,900 | Monotype Imaging Holdings, Inc. | 353,199 | ||||||
| 5,800 | MTS Systems Corporation | 328,280 | ||||||
| 7,700 | Nanometrics, Inc.a | 112,959 | ||||||
| 14,100 | NETGEAR, Inc.a | 430,614 | ||||||
| 13,100 | NetScout Systems, Inc.a | 305,754 | ||||||
| 14,300 | Newport Corporationa | 199,199 | ||||||
| 21,700 | NIC, Inc. | 358,701 | ||||||
| 8,400 | OpenTable, Inc.a,b | 537,180 | ||||||
| 7,000 | Oplink Communications, Inc.a | 121,590 | ||||||
| 6,900 | OSI Systems, Inc.a | 444,498 | ||||||
| 7,150 | Park Electrochemical Corporation | 171,671 | ||||||
| 6,400 | PC-Tel, Inc. | 54,272 | ||||||
| 12,200 | Perficient, Inc.a | 162,748 | ||||||
| 7,700 | Pericom Semiconductor Corporationa | 54,824 | ||||||
| 12,500 | Plexus Corporationa | 373,625 | ||||||
| 10,600 | Power Integrations, Inc. | 429,936 | ||||||
| 7,500 | Procera Networks, Inc.a | 102,975 | ||||||
| 20,250 | Progress Software Corporationa | 465,952 | ||||||
| 33,100 | QLogic Corporationa | 316,436 | ||||||
| 9,400 | QuinStreet, Inc.a | 81,122 | ||||||
| 8,500 | RadiSys Corporationa | 40,885 | ||||||
| 10,400 | Rofin-Sinar Technologies, Inc.a | 259,376 | ||||||
| 6,200 | Rogers Corporationa | 293,384 | ||||||
| 6,300 | Rubicon Technology, Inc.a,b | 50,463 | ||||||
| 11,900 | Rudolph Technologies, Inc.a | 133,280 | ||||||
| 10,200 | ScanSource, Inc.a | 326,400 | ||||||
| 12,400 | Sigma Designs, Inc.a | 62,620 | ||||||
| 11,300 | Sourcefire, Inc.a | 627,715 | ||||||
| 14,100 | STR Holdings, Inc.a | 32,007 | ||||||
| 9,700 | Super Micro Computer, Inc.a | 103,208 | ||||||
| 3,800 | Supertex, Inc. | 90,858 | ||||||
| 14,400 | Sykes Enterprises, Inc.a | 226,944 | ||||||
| 14,950 | Symmetricom, Inc.a | 67,126 | ||||||
| 11,800 | Synaptics, Inc.a | 455,008 | ||||||
| 10,100 | Synchronoss Technologies, Inc.a | 311,787 | ||||||
| 9,700 | Synnex Corporationa | 410,116 | ||||||
| 33,550 | Take-Two Interactive Software, Inc.a | 502,244 | ||||||
| 11,600 | Tangoe, Inc.a | 178,988 | ||||||
| 8,100 | TeleTech Holdings, Inc.a | 189,783 | ||||||
| 19,300 | Tessera Technologies, Inc. | 401,440 | ||||||
| 59,700 | TriQuint Semiconductor, Inc.a | 413,721 | ||||||
| 19,300 | TTM Technologies, Inc.a | 162,120 | ||||||
| 9,900 | Tyler Technologies, Inc.a | 678,645 | ||||||
| 10,100 | Ultratech, Inc.a | 370,872 | ||||||
| 33,800 | United Online, Inc. | 256,204 | ||||||
| 10,600 | VASCO Data Security International, Inc.a | 88,086 | ||||||
| 14,400 | Veeco Instruments, Inc.a,b | 510,048 | ||||||
| 14,900 | Viasat, Inc.a | 1,064,754 | ||||||
| 7,400 | Virtusa Corporationa | 163,984 | ||||||
| 9,200 | Volterra Semiconductor Corporationa | 129,904 | ||||||
| 9,200 | XO Group, Inc.a | 103,040 | ||||||
|
| |||||||
| Total | 36,849,221 | |||||||
|
| |||||||
| Materials (5.7%) | |||||||
| 10,900 | A. Schulman, Inc. | 292,338 | ||||||
| 6,100 | A.M. Castle & Companya,b | 96,136 | ||||||
| 49,800 | AK Steel Holding Corporationa | 151,392 | ||||||
| 9,300 | AMCOL International Corporation | 294,717 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
119
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (98.4%) | Value | ||||||
| Materials (5.7%) - continued | |||||||
| 8,900 | American Vanguard Corporation | $ | 208,527 | |||||
| 10,800 | Balchem Corporation | 483,300 | ||||||
| 14,300 | Buckeye Technologies, Inc. | 529,672 | ||||||
| 19,800 | Calgon Carbon Corporationa | 330,264 | ||||||
| 18,800 | Century Aluminum Companya | 174,464 | ||||||
| 8,200 | Clearwater Paper Corporationa | 385,892 | ||||||
| 4,000 | Deltic Timber Corporation | 231,280 | ||||||
| 23,400 | Globe Specialty Metals, Inc. | 254,358 | ||||||
| 18,400 | H.B. Fuller Company | 695,704 | ||||||
| 3,400 | Hawkins, Inc. | 133,926 | ||||||
| 4,600 | Haynes International, Inc. | 220,202 | ||||||
| 26,700 | Headwaters, Inc.a | 236,028 | ||||||
| 8,000 | Innophos Holdings, Inc. | 377,360 | ||||||
| 6,100 | Kaiser Aluminum Corporation | 377,834 | ||||||
| 14,200 | KapStone Paper and Packaging Corporation | 570,556 | ||||||
| 7,600 | Koppers Holdings, Inc. | 290,168 | ||||||
| 11,900 | Kraton Performance Polymers, Inc.a | 252,280 | ||||||
| 6,900 | LSB Industries, Inc.a | 209,829 | ||||||
| 7,500 | Materion Corporation | 203,175 | ||||||
| 11,263 | Myers Industries, Inc. | 169,058 | ||||||
| 5,800 | Neenah Paper, Inc. | 184,266 | ||||||
| 3,400 | Olympic Steel, Inc. | 83,300 | ||||||
| 11,700 | OM Group, Inc.a | 361,764 | ||||||
| 15,700 | PH Glatfelter Company | 394,070 | ||||||
| 36,400 | PolyOne Corporation | 901,992 | ||||||
| 4,800 | Quaker Chemical Corporation | 297,648 | ||||||
| 11,100 | RTI International Metals, Inc.a | 307,581 | ||||||
| 11,500 | Schweitzer-Mauduit International, Inc. | 573,620 | ||||||
| 6,400 | Stepan Company | 355,904 | ||||||
| 43,200 | Stillwater Mining Companya,b | 463,968 | ||||||
| 25,627 | SunCoke Energy, Inc.a | 359,291 | ||||||
| 7,600 | Texas Industries, Inc.a,b | 495,064 | ||||||
| 8,800 | Tredegar Corporation | 226,160 | ||||||
| 17,000 | Wausau Paper Corporation | 193,800 | ||||||
| 8,250 | Zep, Inc. | 130,597 | ||||||
|
| |||||||
| Total | 12,497,485 | |||||||
|
| |||||||
| Telecommunications Services (0.4%) | |||||||
| 3,500 | Atlantic Tele-Network, Inc. | 173,810 | ||||||
| 11,100 | Cbeyond, Inc.a | 87,024 | ||||||
| 76,000 | Cincinnati Bell, Inc.a | 232,560 | ||||||
| 11,800 | General Communication, Inc.a | 92,394 | ||||||
| 5,500 | Lumos Networks Corporation | 94,050 | ||||||
| 5,500 | NTELOS Holdings Corporation | 90,530 | ||||||
| 8,000 | USA Mobility, Inc. | 108,560 | ||||||
|
| |||||||
| Total | 878,928 | |||||||
|
| |||||||
| Utilities (3.7%) | |||||||
| 13,133 | ALLETE, Inc. | 654,680 | ||||||
| 7,050 | American States Water Company | 378,373 | ||||||
| 21,900 | Avista Corporation | 591,738 | ||||||
| 14,700 | El Paso Electric Company | 519,057 | ||||||
| 11,100 | Laclede Group, Inc. | 506,826 | ||||||
| 15,250 | New Jersey Resources Corporation | 633,332 | ||||||
| 9,900 | Northwest Natural Gas Company | 420,552 | ||||||
| 13,800 | NorthWestern Corporation | 550,620 | ||||||
| 27,800 | Piedmont Natural Gas Company, Inc.b | 937,972 | ||||||
| 11,700 | South Jersey Industries, Inc. | 671,697 | ||||||
| 17,000 | Southwest Gas Corporation | 795,430 | ||||||
| 18,666 | UIL Holdings Corporation | 713,975 | ||||||
| 15,200 | UNS Energy Corporation | 679,896 | ||||||
|
| |||||||
| Total | 8,054,148 | |||||||
|
| |||||||
Total Common Stock (cost $148,604,581) | 215,471,346 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (8.7%) | ||||||||
| 19,120,857 | Thrivent Cash Management Trust | 19,120,857 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $19,120,857) | 19,120,857 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (1.5%) | |||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 100,000 | 0.093%, 11/22/2013c,d | 99,962 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 200,000 | 0.100%, 12/4/2013c,d | 199,912 | ||||||
| Thrivent Cash Management Trust | ||||||||
| 2,955,769 | 0.080% | 2,955,769 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 3,255,643 | |||||||
|
| |||||||
Total Investments (cost $170,981,081) 108.6% | $ | 237,847,846 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (8.6%) | (18,899,373 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 218,948,473 | ||||||
|
| |||||||
| 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 June 28, 2013, $299,874 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 | $ | 74,483,671 | ||
Gross unrealized depreciation | (12,528,377 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 61,955,294 | ||
Cost for federal income tax purposes | $ | 175,892,552 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
120
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 35,549,010 | 35,549,010 | — | — | ||||||||||||
Consumer Staples | 8,789,236 | 8,789,236 | — | — | ||||||||||||
Energy | 10,361,389 | 10,361,389 | — | — | ||||||||||||
Financials | 45,999,185 | 45,999,185 | — | — | ||||||||||||
Health Care | 24,122,782 | 24,122,782 | — | — | ||||||||||||
Industrials | 32,369,962 | 32,369,962 | — | — | ||||||||||||
Information Technology | 36,849,221 | 36,849,221 | — | — | ||||||||||||
Materials | 12,497,485 | 12,497,485 | — | — | ||||||||||||
Telecommunications Services | 878,928 | 878,928 | — | — | ||||||||||||
Utilities | 8,054,148 | 8,054,148 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 19,120,857 | 19,120,857 | — | — | ||||||||||||
Short-Term Investments | 3,255,643 | 2,955,769 | 299,874 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 237,847,846 | $ | 237,547,972 | $ | 299,874 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | ||||||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 24,222 | 24,222 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 24,222 | $ | 24,222 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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 | 35 | September 2013 | $ | 3,387,228 | $ | 3,411,450 | $ | 24,222 | ||||||||||
Total Futures Contracts | $ | 24,222 | ||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 28, 2013, 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 | 24,222 | ||||
Total Equity Contracts | 24,222 | |||||
|
| |||||
Total Asset Derivatives | $ | 24,222 | ||||
|
| |||||
| * | 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 accompanying Notes to Financial Statements are an integral part of this schedule.
121
Table of Contents
Small Cap Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 28, 2013, 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 | 572,327 | ||||
Total Equity Contracts | 572,327 | |||||
|
| |||||
Total | $ | 572,327 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 28, 2013, 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 | 5,020 | ||||
Total Equity Contracts | 5,020 | |||||
|
| |||||
Total | $ | 5,020 | ||||
|
| |||||
The following table presents Small Cap Index Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 3,986,268 | 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 Small Cap Index Portfolio, is as follows:
Portfolio | Value December 31, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 11,591,213 | $ | 42,650,066 | $ | 35,120,422 | 19,120,857 | $ | 19,120,857 | $ | 187,476 | |||||||||||||
Cash Management Trust- Short Term Investment | 2,465,274 | 9,592,497 | 9,102,002 | 2,955,769 | 2,955,769 | 1,453 | ||||||||||||||||||
Total Value and Income Earned | 14,056,487 | 22,076,626 | 188,929 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
122
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (96.0%) | Value | ||||||
| Consumer Discretionary (18.7%) | |||||||
| 82,698 | Abercrombie & Fitch Company | $ | 3,742,084 | |||||
| 32,364 | Darden Restaurants, Inc. | 1,633,735 | ||||||
| 119,802 | Discovery Communications, Inc.a | 9,249,912 | ||||||
| 189,046 | Dollar Tree, Inc.a | 9,611,099 | ||||||
| 96,681 | GNC Holdings, Inc. | 4,274,267 | ||||||
| 127,887 | L Brands, Inc. | 6,298,435 | ||||||
| 85,400 | Marriott International, Inc. | 3,447,598 | ||||||
| 30,786 | O’Reilly Automotive, Inc.a | 3,467,119 | ||||||
| 45,226 | PetSmart, Inc. | 3,029,690 | ||||||
| 37,800 | Ross Stores, Inc. | 2,449,818 | ||||||
| 159,000 | Toll Brothers, Inc.a | 5,188,170 | ||||||
| 60,766 | Tractor Supply Company | 7,146,689 | ||||||
| 45,500 | Under Armour, Inc.a,b | 2,716,805 | ||||||
| 7,693 | VF Corporation | 1,485,211 | ||||||
| 38,000 | Wynn Resorts, Ltd. | 4,864,000 | ||||||
|
| |||||||
| Total | 68,604,632 | |||||||
|
| |||||||
| Consumer Staples (4.7%) | |||||||
| 21,007 | Clorox Company | 1,746,522 | ||||||
| 63,800 | Hain Celestial Group, Inc.a,b | 4,145,086 | ||||||
| 77,600 | Monster Beverage Corporationa | 4,715,752 | ||||||
| 124,906 | Whole Foods Market, Inc. | 6,430,161 | ||||||
|
| |||||||
| Total | 17,037,521 | |||||||
|
| |||||||
| Energy (7.8%) | |||||||
| 509,700 | Alpha Natural Resources, Inc.a | 2,670,828 | ||||||
| 73,500 | Cameron International Corporationa | 4,495,260 | ||||||
| 61,217 | Concho Resources, Inc.a | 5,125,087 | ||||||
| 128,682 | Peabody Energy Corporation | 1,883,904 | ||||||
| 35,200 | Range Resources Corporation | 2,721,664 | ||||||
| 66,200 | SM Energy Company | 3,970,676 | ||||||
| 97,900 | Southwestern Energy Companya | 3,576,287 | ||||||
| 313,535 | Weatherford International, Ltd.a | 4,295,430 | ||||||
|
| |||||||
| Total | 28,739,136 | |||||||
|
| |||||||
| Financials (7.5%) | |||||||
| 62,265 | Affiliated Managers Group, Inc.a | 10,207,724 | ||||||
| 64,400 | Ameriprise Financial, Inc. | 5,208,672 | ||||||
| 66,130 | Discover Financial Services | 3,150,433 | ||||||
| 132,200 | First Republic Bank | 5,087,056 | ||||||
| 54,200 | T. Rowe Price Group, Inc. | 3,964,730 | ||||||
|
| |||||||
| Total | 27,618,615 | |||||||
|
| |||||||
| Health Care (10.5%) | |||||||
| 27,247 | Actavis, Inc.a | 3,439,116 | ||||||
| 62,589 | AmerisourceBergen Corporation | 3,494,344 | ||||||
| 83,200 | BioMarin Pharmaceutical, Inc.a | 4,641,728 | ||||||
| 50,296 | Catamaran Corporationa | 2,450,421 | ||||||
| 44,191 | CIGNA Corporation | 3,203,406 | ||||||
| 85,000 | Hologic, Inc.a | 1,640,500 | ||||||
| 27,635 | Mettler-Toledo International, Inc.a | 5,560,162 | ||||||
| 41,349 | Onyx Pharmaceuticals, Inc.a | 3,589,920 | ||||||
| 53,600 | Perrigo Company | 6,485,600 | ||||||
| 131,000 | Thoratec Corporationa | 4,101,610 | ||||||
|
| |||||||
| Total | 38,606,807 | |||||||
|
| |||||||
| Industrials (20.3%) | |||||||
| 173,828 | AMETEK, Inc. | 7,352,925 | ||||||
| 71,690 | B/E Aerospace, Inc.a | 4,522,205 | ||||||
| 113,000 | Expeditors International of Washington, Inc. | 4,295,130 | ||||||
| 71,298 | Flowserve Corporation | 3,850,805 | ||||||
| 105,000 | Fortune Brands Home and Security, Inc. | 4,067,700 | ||||||
| 45,200 | GATX Corporation | 2,143,836 | ||||||
| 57,300 | Graco, Inc. | 3,621,933 | ||||||
| 27,100 | Jacobs Engineering Group, Inc.a | 1,494,023 | ||||||
| 103,784 | JB Hunt Transport Services, Inc. | 7,497,356 | ||||||
| 71,781 | Kansas City Southern | 7,605,915 | ||||||
| 67,466 | Pentair, Ltd. | 3,892,114 | ||||||
| 171,000 | Quanta Services, Inc.a | 4,524,660 | ||||||
| 82,300 | Robert Half International, Inc. | 2,734,829 | ||||||
| 52,319 | Roper Industries, Inc. | 6,499,066 | ||||||
| 65,461 | Stericycle, Inc.a | 7,228,858 | ||||||
| 66,600 | United Rentals, Inc.a | 3,324,006 | ||||||
|
| |||||||
| Total | 74,655,361 | |||||||
|
| |||||||
| Information Technology (20.4%) | |||||||
| 137,509 | Agilent Technologies, Inc. | 5,879,885 | ||||||
| 89,535 | ANSYS, Inc.a | 6,545,009 | ||||||
| 386,840 | Atmel Corporationa | 2,843,274 | ||||||
| 134,160 | Autodesk, Inc.a | 4,553,390 | ||||||
| 145,000 | Ciena Corporationa,b | 2,815,900 | ||||||
| 53,300 | ExactTarget, Inc.a | 1,797,276 | ||||||
| 72,997 | F5 Networks, Inc.a | 5,022,194 | ||||||
| 143,000 | Juniper Networks, Inc.a | 2,761,330 | ||||||
| 109,852 | Lam Research Corporationa | 4,870,838 | ||||||
| 11,000 | LinkedIn Corporationa | 1,961,300 | ||||||
| 36,984 | Mercadolibre, Inc.b | 3,985,396 | ||||||
| 149,981 | Microchip Technology, Inc.b | 5,586,792 | ||||||
| 43,018 | Nice Systems, Ltd. ADR | 1,586,934 | ||||||
| 194,990 | Nuance Communications, Inc.a | 3,583,916 | ||||||
| 524,871 | NVIDIA Corporation | 7,363,940 | ||||||
| 180,800 | NXP Semiconductors NVa | 5,601,184 | ||||||
| 40,326 | Red Hat, Inc.a | 1,928,389 | ||||||
| 48,800 | Skyworks Solutions, Inc.a | 1,068,232 | ||||||
| 101,100 | Synopsys, Inc.a | 3,614,325 | ||||||
| 101,937 | VeriFone Systems, Inc.a | 1,713,561 | ||||||
|
| |||||||
| Total | 75,083,065 | |||||||
|
| |||||||
| Materials (4.9%) | |||||||
| 52,800 | Airgas, Inc. | 5,040,288 | ||||||
| 56,400 | Albemarle Corporation | 3,513,156 | ||||||
| 68,125 | Celanese Corporation | 3,052,000 | ||||||
| 52,610 | FMC Corporation | 3,212,367 | ||||||
| 66,974 | Newmont Mining Corporation | 2,005,871 | ||||||
| 66,159 | Silver Wheaton Corporationb | 1,301,347 | ||||||
|
| |||||||
| Total | 18,125,029 | |||||||
|
| |||||||
| Telecommunications Services (1.2%) | |||||||
| 24,052 | SBA Communications Corporationa | 1,782,734 | ||||||
| 89,037 | TW Telecom, Inc.a | 2,505,501 | ||||||
|
| |||||||
| Total | 4,288,235 | |||||||
|
| |||||||
Total Common Stock (cost $289,899,391) | 352,758,401 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
123
Table of Contents
Mid Cap Growth Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Collateral Held for Securities Loaned (4.7%) | Value | ||||||
| 17,461,103 | Thrivent Cash Management Trust | $ | 17,461,103 | |||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $17,461,103) | 17,461,103 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (4.1%) | |||||||
Thrivent Cash Management Trust | ||||||||
| 14,926,611 | 0.080% | 14,926,611 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 14,926,611 | |||||||
|
| |||||||
| Total Investments (cost $322,287,105) 104.8% | $ | 385,146,115 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (4.8%) | (17,597,860 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 367,548,255 | ||||||
|
| |||||||
| 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 | $ | 77,597,531 | ||
Gross unrealized depreciation | (15,144,337 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 62,453,194 | ||
Cost for federal income tax purposes | $ | 322,692,921 |
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 68,604,632 | 68,604,632 | — | — | ||||||||||||
Consumer Staples | 17,037,521 | 17,037,521 | — | — | ||||||||||||
Energy | 28,739,136 | 28,739,136 | — | — | ||||||||||||
Financials | 27,618,615 | 27,618,615 | — | — | ||||||||||||
Health Care | 38,606,807 | 38,606,807 | — | — | ||||||||||||
Industrials | 74,655,361 | 74,655,361 | — | — | ||||||||||||
Information Technology | 75,083,065 | 75,083,065 | — | — | ||||||||||||
Materials | 18,125,029 | 18,125,029 | — | — | ||||||||||||
Telecommunications Services | 4,288,235 | 4,288,235 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 17,461,103 | 17,461,103 | — | — | ||||||||||||
Short-Term Investments | 14,926,611 | 14,926,611 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 385,146,115 | $ | 385,146,115 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | $ | 4,926,850 | $ | 64,407,392 | $ | 51,873,139 | 17,461,103 | $ | 17,461,103 | $ | 8,466 | |||||||||||||
Cash Management Trust-Short Term Investment | 17,465,291 | 35,970,219 | 38,508,899 | 14,926,611 | 14,926,611 | 6,218 | ||||||||||||||||||
Total Value and Income Earned | 22,392,141 | 32,387,714 | 14,684 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
124
Table of Contents
Partner Mid Cap Value Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (99.1%) | Value | ||||||
| Consumer Discretionary (11.3%) | |||||||
| 2,674 | AutoZone, Inc.a | $ | 1,132,947 | |||||
| 60,955 | Delphi Automotive plc | 3,089,809 | ||||||
| 29,171 | Expedia, Inc. | 1,754,636 | ||||||
| 166,332 | Liberty Interactive Corporationa | 3,827,299 | ||||||
| 31,052 | Liberty Media Corporationa | 3,936,151 | ||||||
| 60,629 | Macy’s, Inc. | 2,910,192 | ||||||
| 191,101 | MGM Resorts Internationala | 2,824,473 | ||||||
| 22,734 | PVH Corporation | 2,842,887 | ||||||
| 27,701 | Scripps Networks Interactive | 1,849,319 | ||||||
| 40,105 | Starwood Hotels & Resorts Worldwide, Inc. | 2,534,235 | ||||||
| 95,286 | Toll Brothers, Inc.a | 3,109,182 | ||||||
| 28,230 | TRW Automotive Holdings Corporationa | 1,875,601 | ||||||
| 24,196 | Whirlpool Corporation | 2,767,055 | ||||||
|
| |||||||
| Total | 34,453,786 | |||||||
|
| |||||||
| Consumer Staples (3.2%) | |||||||
| 51,057 | Constellation Brands, Inc.a | 2,661,091 | ||||||
| 22,751 | Hain Celestial Group, Inc.a | 1,478,132 | ||||||
| 34,804 | Ingredion, Inc. | 2,283,838 | ||||||
| 52,002 | Monster Beverage Corporationa | 3,160,162 | ||||||
| 10,687 | Tyson Foods, Inc. | 274,442 | ||||||
|
| |||||||
| Total | 9,857,665 | |||||||
|
| |||||||
| Energy (8.9%) | |||||||
| 48,155 | Cameron International Corporationa | 2,945,160 | ||||||
| 169,090 | Chesapeake Energy Corporationb | 3,446,054 | ||||||
| 34,508 | Concho Resources, Inc.a | 2,889,010 | ||||||
| 32,581 | EQT Corporation | 2,585,954 | ||||||
| 15,279 | HollyFrontier Corporation | 653,635 | ||||||
| 19,556 | Oil States International, Inc.a | 1,811,668 | ||||||
| 28,589 | Pioneer Natural Resources Company | 4,138,258 | ||||||
| 37,650 | Range Resources Corporation | 2,911,098 | ||||||
| 75,474 | Southwestern Energy Companya | 2,757,065 | ||||||
| 55,725 | Tesoro Corporation | 2,915,532 | ||||||
|
| |||||||
| Total | 27,053,434 | |||||||
|
| |||||||
| Financials (29.7%) | |||||||
| 42,056 | Alexandria Real Estate Equities, Inc. | 2,763,920 | ||||||
| 39,899 | AvalonBay Communities, Inc. | 5,382,774 | ||||||
| 26,100 | Camden Property Trust | 1,804,554 | ||||||
| 66,383 | CIT Group, Inc.a | 3,095,439 | ||||||
| 118,868 | DDR Corporation | 1,979,152 | ||||||
| 48,903 | Digital Realty Trust, Inc. | 2,983,083 | ||||||
| 24,309 | Everest Re Group, Ltd. | 3,117,872 | ||||||
| 52,633 | First Republic Bank | 2,025,318 | ||||||
| 229,746 | Genworth Financial, Inc.a | 2,621,402 | ||||||
| 102,766 | Hartford Financial Services Group, Inc. | 3,177,525 | ||||||
| 138,318 | ING U.S., Inc.a | 3,742,885 | ||||||
| 139,696 | Invesco, Ltd. | 4,442,333 | ||||||
| 14,684 | iShares Russell Midcap Value Index Fund | 850,497 | ||||||
| 55,351 | Lazard, Ltd. | 1,779,535 | ||||||
| 19,709 | Lincoln National Corporation | 718,787 | ||||||
| 54,097 | M&T Bank Corporationb | 6,045,340 | ||||||
| 4,221 | Markel Corporationa | 2,224,256 | ||||||
| 225,712 | MFA Financial, Inc. | 1,907,266 | ||||||
| 68,274 | NASDAQ OMX Group, Inc. | 2,238,704 | ||||||
| 64,606 | Northern Trust Corporation | 3,740,687 | ||||||
| 130,742 | Principal Financial Group, Inc. | 4,896,288 | ||||||
| 18,946 | Raymond James Financial, Inc. | 814,299 | ||||||
| 19,995 | Signature Banka | 1,659,985 | ||||||
| 218,823 | SLM Corporation | 5,002,294 | ||||||
| 82,100 | Starwood Property Trust, Inc. | 2,031,975 | ||||||
| 67,695 | Tanger Factory Outlet Centers, Inc. | 2,265,075 | ||||||
| 28,207 | Taubman Centers, Inc. | 2,119,756 | ||||||
| 214,199 | Two Harbors Investment Corporation | 2,195,540 | ||||||
| 32,082 | Ventas, Inc. | 2,228,416 | ||||||
| 56,706 | W.R. Berkley Corporation | 2,317,007 | ||||||
| 73,728 | Willis Group Holdings plc | 3,006,628 | ||||||
| 97,884 | XL Group plc | 2,967,843 | ||||||
| 79,703 | Zions Bancorporation | 2,301,823 | ||||||
|
| |||||||
| Total | 90,448,258 | |||||||
|
| |||||||
| Health Care (7.4%) | |||||||
| 90,801 | Aetna, Inc. | 5,769,496 | ||||||
| 203,498 | Boston Scientific Corporationa | 1,886,426 | ||||||
| 79,389 | Cardinal Health, Inc. | 3,747,161 | ||||||
| 193,595 | Hologic, Inc.a | 3,736,384 | ||||||
| 44,401 | Humana, Inc. | 3,746,556 | ||||||
| 75,776 | Mylan, Inc.a | 2,351,329 | ||||||
| 15,308 | Vertex Pharmaceuticals, Inc.a | 1,222,650 | ||||||
|
| |||||||
| Total | 22,460,002 | |||||||
|
| |||||||
| Industrials (12.9%) | |||||||
| 49,732 | Carlisle Companies, Inc. | 3,098,801 | ||||||
| 46,617 | Flowserve Corporation | 2,517,784 | ||||||
| 21,224 | Hubbell, Inc. | 2,101,176 | ||||||
| 49,356 | Jacobs Engineering Group, Inc.a | 2,720,996 | ||||||
| 25,222 | Lennox International, Inc. | 1,627,828 | ||||||
| 91,900 | Owens Corning, Inc.a | 3,591,452 | ||||||
| 41,303 | Parker Hannifin Corporation | 3,940,306 | ||||||
| 60,461 | Sensata Technologies Holding NVa | 2,110,089 | ||||||
| 50,932 | Stanley Black & Decker, Inc. | 3,937,044 | ||||||
| 99,850 | Textron, Inc. | 2,601,092 | ||||||
| 60,856 | Timken Company | 3,424,976 | ||||||
| 34,238 | Triumph Group, Inc. | 2,709,938 | ||||||
| 59,717 | Waste Connections, Inc. | 2,456,757 | ||||||
| 97,664 | Xylem, Inc. | 2,631,068 | ||||||
|
| |||||||
| Total | 39,469,307 | |||||||
|
| |||||||
| Information Technology (11.8%) | |||||||
| 64,836 | Agilent Technologies, Inc. | 2,772,387 | ||||||
| 170,235 | Altera Corporation | 5,616,053 | ||||||
| 18,023 | Amphenol Corporation | 1,404,713 | ||||||
| 41,022 | Avago Technologies, Ltd. | 1,533,402 | ||||||
| 42,971 | Computer Sciences Corporation | 1,880,841 | ||||||
| 67,417 | Fidelity National Information Services, Inc. | 2,888,144 | ||||||
| 215,064 | Juniper Networks, Inc.a | 4,152,886 | ||||||
| 35,785 | KLA-Tencor Corporation | 1,994,298 | ||||||
| 88,577 | Lam Research Corporationa | 3,927,504 | ||||||
| 80,701 | NetApp, Inc.a | 3,048,884 | ||||||
| 214,751 | Polycom, Inc.a | 2,263,475 | ||||||
| 115,870 | PTC, Inc.a | 2,842,291 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
125
Table of Contents
Partner Mid Cap Value Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (99.1%) | Value | ||||||
| Information Technology (11.8%) - continued | |||||||
| 30,629 | Teradata Corporationa | $ | 1,538,495 | |||||
|
| |||||||
| Total | 35,863,373 | |||||||
|
| |||||||
| Materials (4.6%) | |||||||
| 54,871 | Carpenter Technology Corporation | 2,473,036 | ||||||
| 68,067 | Celanese Corporation | 3,049,401 | ||||||
| 45,126 | International Paper Company | 1,999,533 | ||||||
| 34,682 | Packaging Corporation of America | 1,698,031 | ||||||
| 48,744 | Reliance Steel & Aluminum Company | 3,195,657 | ||||||
| 67,128 | Sealed Air Corporation | 1,607,716 | ||||||
|
| |||||||
| Total | 14,023,374 | |||||||
|
| |||||||
| Utilities (9.3%) | |||||||
| 143,138 | Calpine Corporationa | 3,038,820 | ||||||
| 98,651 | CMS Energy Corporation | 2,680,348 | ||||||
| 77,859 | NiSource, Inc. | 2,229,882 | ||||||
| 60,696 | Northeast Utilities | 2,550,446 | ||||||
| 23,325 | OGE Energy Corporation | 1,590,765 | ||||||
| 124,088 | PPL Corporation | 3,754,903 | ||||||
| 73,943 | Questar Corporation | 1,763,540 | ||||||
| 58,131 | SCANA Corporation | 2,854,232 | ||||||
| 49,004 | Sempra Energy | 4,006,567 | ||||||
| 135,242 | Xcel Energy, Inc. | 3,832,758 | ||||||
|
| |||||||
| Total | 28,302,261 | |||||||
|
| |||||||
Total Common Stock (cost $260,617,200) | 301,931,460 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (3.0%) | ||||||||
| 9,205,796 | Thrivent Cash Management Trust | 9,205,796 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $9,205,796) | 9,205,796 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (1.7%) | |||||||
Thrivent Cash Management Trust | ||||||||
| 5,088,843 | 0.080% | 5,088,843 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 5,088,843 | |||||||
|
| |||||||
| Total Investments (cost $274,911,839) 103.8% | $ | 316,226,099 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (3.8%) | (11,442,281 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 304,783,818 | ||||||
|
| |||||||
| 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 | $ | 43,936,265 | ||
Gross unrealized depreciation | (3,553,915 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 40,382,350 | ||
Cost for federal income tax purposes | $ | 275,843,749 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
126
Table of Contents
Partner Mid Cap Value Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 34,453,786 | 34,453,786 | — | — | ||||||||||||
Consumer Staples | 9,857,665 | 9,857,665 | — | — | ||||||||||||
Energy | 27,053,434 | 27,053,434 | — | — | ||||||||||||
Financials | 90,448,258 | 90,448,258 | — | — | ||||||||||||
Health Care | 22,460,002 | 22,460,002 | — | — | ||||||||||||
Industrials | 39,469,307 | 39,469,307 | — | — | ||||||||||||
Information Technology | 35,863,373 | 35,863,373 | — | — | ||||||||||||
Materials | 14,023,374 | 14,023,374 | — | — | ||||||||||||
Utilities | 28,302,261 | 28,302,261 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 9,205,796 | 9,205,796 | — | — | ||||||||||||
Short-Term Investments | 5,088,843 | 5,088,843 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 316,226,099 | $ | 316,226,099 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 7,805,669 | $ | 37,166,659 | $ | 35,766,532 | 9,205,796 | $ | 9,205,796 | $ | 9,187 | |||||||||||||
Cash Management Trust- Short Term Investment | 6,943,793 | 50,713,198 | 52,568,148 | 5,088,843 | 5,088,843 | 2,484 | ||||||||||||||||||
Total Value and Income Earned | 14,749,462 | 14,294,639 | 11,671 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
127
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (94.7%) | Value | ||||||
| Consumer Discretionary (12.6%) | |||||||
| 149,200 | Charter Communications, Inc.a | $ | 18,478,420 | |||||
| 162,000 | Cheesecake Factory, Inc. | 6,786,180 | ||||||
| 212,600 | DISH Network Corporation | 9,039,752 | ||||||
| 102,800 | Michael Kors Holdings, Ltd.a | 6,375,656 | ||||||
| 144,900 | Omnicom Group, Inc. | 9,109,863 | ||||||
| 133,500 | Penn National Gaming, Inc.a | 7,056,810 | ||||||
| 159,400 | Tempur-Pedic International, Inc.a | 6,997,660 | ||||||
| 249,700 | Toll Brothers, Inc.a | 8,147,711 | ||||||
|
| |||||||
| Total | 71,992,052 | |||||||
|
| |||||||
| Consumer Staples (1.8%) | |||||||
| 153,700 | Ingredion, Inc. | 10,085,794 | ||||||
|
| |||||||
| Total | 10,085,794 | |||||||
|
| |||||||
| Energy (5.9%) | |||||||
| 1,009,792 | Alpha Natural Resources, Inc.a | 5,291,310 | ||||||
| 69,400 | Concho Resources, Inc.a | 5,810,168 | ||||||
| 108,700 | Ensco plc | 6,317,644 | ||||||
| 435,700 | Patterson-UTI Energy, Inc. | 8,432,974 | ||||||
| 207,200 | Southwestern Energy Companya | 7,569,016 | ||||||
|
| |||||||
| Total | 33,421,112 | |||||||
|
| |||||||
| Financials (21.6%) | |||||||
| 170,300 | Axis Capital Holdings, Ltd. | 7,796,334 | ||||||
| 408,700 | CBL & Associates Properties, Inc. | 8,754,354 | ||||||
| 402,820 | HCC Insurance Holdings, Inc. | 17,365,570 | ||||||
| 473,248 | Host Hotels & Resorts, Inc. | 7,983,694 | ||||||
| 1,388,200 | Huntington Bancshares, Inc. | 10,939,016 | ||||||
| 235,824 | Lazard, Ltd. | 7,581,742 | ||||||
| 77,300 | M&T Bank Corporationb | 8,638,275 | ||||||
| 312,900 | NASDAQ OMX Group, Inc. | 10,259,991 | ||||||
| 171,333 | Northern Trust Corporation | 9,920,181 | ||||||
| 368,700 | Piedmont Office Realty Trust, Inc. | 6,592,356 | ||||||
| 188,900 | Protective Life Corporation | 7,255,649 | ||||||
| 204,160 | W.R. Berkley Corporation | 8,341,977 | ||||||
| 399,572 | Zions Bancorporation | 11,539,639 | ||||||
|
| |||||||
| Total | 122,968,778 | |||||||
|
| |||||||
| Health Care (13.0%) | |||||||
| 636,900 | Allscripts Healthcare Solutions, Inc.a | 8,241,486 | ||||||
| 70,582 | C.R. Bard, Inc. | 7,670,852 | ||||||
| 137,500 | Illumina, Inc.a,b | 10,290,500 | ||||||
| 162,900 | Medicines Companya | 5,010,804 | ||||||
| 154,400 | ResMed, Inc.b | 6,968,072 | ||||||
| 266,300 | Thoratec Corporationa | 8,337,853 | ||||||
| 127,700 | Vertex Pharmaceuticals, Inc.a | 10,199,399 | ||||||
| 75,200 | Waters Corporationa | 7,523,760 | ||||||
| 130,969 | Zimmer Holdings, Inc. | 9,814,817 | ||||||
|
| |||||||
| Total | 74,057,543 | |||||||
|
| |||||||
| Industrials (12.0%) | |||||||
| 141,644 | ADT Corporationa | 5,644,513 | ||||||
| 33,300 | AGCO Corporation | 1,671,327 | ||||||
| 250,093 | CSX Corporation | 5,799,657 | ||||||
| 139,500 | Flowserve Corporation | 7,534,395 | ||||||
| 316,600 | Foster Wheeler AGa | 6,873,386 | ||||||
| 313,666 | Manitowoc Company, Inc. | 5,617,758 | ||||||
| 114,008 | Manpower, Inc. | 6,247,638 | ||||||
| 310,634 | Oshkosh Corporationa | 11,794,773 | ||||||
| 91,682 | Parker Hannifin Corporation | 8,746,463 | ||||||
| 636,100 | Southwest Airlines Company | 8,199,329 | ||||||
|
| |||||||
| Total | 68,129,239 | |||||||
|
| |||||||
| Information Technology (21.4%) | |||||||
| 126,600 | Alliance Data Systems Corporationa,b | 22,918,398 | ||||||
| 767,983 | Applied Materials, Inc. | 11,450,626 | ||||||
| 211,700 | Autodesk, Inc.a | 7,185,098 | ||||||
| 327,466 | CoreLogic, Inc.a | 7,587,387 | ||||||
| 145,404 | eBay, Inc.a | 7,520,295 | ||||||
| 174,652 | Itron, Inc.a | 7,410,484 | ||||||
| 337,632 | Juniper Networks, Inc.a | 6,519,674 | ||||||
| 44,800 | NetApp, Inc.a | 1,692,544 | ||||||
| 827,466 | NVIDIA Corporation | 11,609,348 | ||||||
| 83,900 | SunPower Corporationa | 1,736,730 | ||||||
| 736,122 | Teradyne, Inc.a | 12,933,664 | ||||||
| 1,040,034 | TriQuint Semiconductor, Inc.a | 7,207,436 | ||||||
| 717 | Workday, Inc.a | 45,952 | ||||||
| 192,203 | Xilinx, Inc. | 7,613,161 | ||||||
| 341,600 | Yahoo!, Inc.a | 8,577,576 | ||||||
|
| |||||||
| Total | 122,008,373 | |||||||
|
| |||||||
| Materials (3.8%) | |||||||
| 247,500 | Owens-Illinois, Inc.a | 6,878,025 | ||||||
| 128,112 | Silgan Holdings, Inc. | 6,016,140 | ||||||
| 572,300 | Steel Dynamics, Inc. | 8,532,993 | ||||||
|
| |||||||
| Total | 21,427,158 | |||||||
|
| |||||||
| Utilities (2.6%) | |||||||
| 286,900 | CMS Energy Corporation | 7,795,073 | ||||||
| 222,300 | Public Service Enterprise Group, Inc. | 7,260,318 | ||||||
|
| |||||||
| Total | 15,055,391 | |||||||
|
| |||||||
Total Common Stock (cost $422,204,629) | 539,145,440 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (8.7%) | ||||||||
| 49,592,150 | Thrivent Cash Management Trust | 49,592,150 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $49,592,150) | 49,592,150 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (5.6%) | |||||||
Thrivent Cash Management Trust | ||||||||
| 32,079,580 | 0.080% | 32,079,580 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 32,079,580 | |||||||
|
| |||||||
| Total Investments (cost $503,876,359) 109.0% | $ | 620,817,170 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (9.0%) | (51,463,882 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 569,353,288 | ||||||
|
| |||||||
| 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.
128
Table of Contents
Mid Cap Stock Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 128,458,086 | ||
Gross unrealized depreciation | (12,326,498 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 116,131,588 | ||
Cost for federal income tax purposes | $ | 504,685,582 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 71,992,052 | 71,992,052 | — | — | ||||||||||||
Consumer Staples | 10,085,794 | 10,085,794 | — | — | ||||||||||||
Energy | 33,421,112 | 33,421,112 | — | — | ||||||||||||
Financials | 122,968,778 | 122,968,778 | — | — | ||||||||||||
Health Care | 74,057,543 | 74,057,543 | — | — | ||||||||||||
Industrials | 68,129,239 | 68,129,239 | — | — | ||||||||||||
Information Technology | 122,008,373 | 122,008,373 | — | — | ||||||||||||
Materials | 21,427,158 | 21,427,158 | — | — | ||||||||||||
Utilities | 15,055,391 | 15,055,391 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 49,592,150 | 49,592,150 | — | — | ||||||||||||
Short-Term Investments | 32,079,580 | 32,079,580 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 620,817,170 | $ | 620,817,170 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | $ | 33,267,675 | $ | 158,842,026 | $ | 142,517,551 | 49,592,150 | $ | 49,592,150 | $ | 27,346 | |||||||||||||
Cash Management Trust-Short Term Investment | 20,972,804 | 42,107,664 | 31,000,888 | 32,079,580 | 32,079,580 | 12,291 | ||||||||||||||||||
Total Value and Income Earned | 54,240,479 | 81,671,730 | 39,637 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
129
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (95.2%) | Value | ||||||
| Consumer Discretionary (12.9%) | |||||||
| 5,100 | Aaron’s, Inc. | $ | 142,851 | |||||
| 5,300 | Advance Auto Parts, Inc. | 430,201 | ||||||
| 5,750 | Aeropostale, Inc.a | 79,350 | ||||||
| 4,200 | AMC Networks, Inc.a | 274,722 | ||||||
| 12,780 | American Eagle Outfitters, Inc. | 233,363 | ||||||
| 3,450 | ANN, Inc.a | 114,540 | ||||||
| 7,500 | Apollo Group, Inc.a | 132,900 | ||||||
| 9,200 | Ascena Retail Group, Inc.a | 160,540 | ||||||
| 2,900 | Bally Technologies, Inc.a | 163,618 | ||||||
| 2,670 | Barnes & Noble, Inc.a | 42,613 | ||||||
| 4,200 | Big Lots, Inc.a | 132,426 | ||||||
| 2,010 | Bob Evans Farms, Inc. | 94,430 | ||||||
| 5,155 | Brinker International, Inc. | 203,262 | ||||||
| 3,300 | Cabela’s, Inc.a | 213,708 | ||||||
| 3,700 | Carter’s, Inc. | 274,059 | ||||||
| 3,500 | Cheesecake Factory, Inc. | 146,615 | ||||||
| 11,800 | Chico’s FAS, Inc. | 201,308 | ||||||
| 7,400 | Cinemark Holdings, Inc. | 206,608 | ||||||
| 4,400 | CST Brands, Inc.a | 135,564 | ||||||
| 2,500 | Deckers Outdoor Corporationa | 126,275 | ||||||
| 4,100 | DeVry, Inc. | 127,182 | ||||||
| 7,200 | Dick’s Sporting Goods, Inc. | 360,432 | ||||||
| 4,100 | Domino’s Pizza, Inc. | 238,415 | ||||||
| 5,200 | DreamWorks Animation SKG, Inc.a,b | 133,432 | ||||||
| 10,900 | Foot Locker, Inc. | 382,917 | ||||||
| 10,420 | Gentex Corporation | 240,181 | ||||||
| 4,500 | Guess ?, Inc.b | 139,635 | ||||||
| 7,200 | Hanesbrands, Inc. | 370,224 | ||||||
| 2,600 | HSN, Inc. | 139,672 | ||||||
| 1,870 | International Speedway Corporation | 58,849 | ||||||
| 7,400 | Jarden Corporationa | 323,750 | ||||||
| 3,400 | John Wiley and Sons, Inc. | 136,306 | ||||||
| 6,000 | KB Home | 117,780 | ||||||
| 4,000 | Lamar Advertising Companya | 173,600 | ||||||
| 2,800 | Life Time Fitness, Inc.a | 140,308 | ||||||
| 21,700 | LKQ Corporationa | 558,775 | ||||||
| 2,800 | M.D.C. Holdings, Inc. | 91,028 | ||||||
| 2,000 | Matthews International Corporation | 75,400 | ||||||
| 2,600 | Meredith Corporationb | 124,020 | ||||||
| 4,370 | Mohawk Industries, Inc.a | 491,581 | ||||||
| 8,900 | New York Times Companya | 98,434 | ||||||
| 300 | NVR, Inc.a | 276,600 | ||||||
| 20,800 | Office Depot, Inc.a,b | 80,496 | ||||||
| 2,000 | Panera Bread Companya | 371,880 | ||||||
| 4,600 | Polaris Industries, Inc. | 437,000 | ||||||
| 4,100 | Regis Corporation | 67,322 | ||||||
| 4,200 | Rent-A-Center, Inc. | 157,710 | ||||||
| 7,350 | Saks, Inc.a,b | 100,254 | ||||||
| 1,910 | Scholastic Corporation | 55,944 | ||||||
| 3,800 | Scientific Games Corporationa | 42,750 | ||||||
| 15,400 | Service Corporation International | 277,662 | ||||||
| 5,900 | Signet Jewelers, Ltd. | 397,837 | ||||||
| 4,920 | Sotheby’s Holdings, Inc. | 186,517 | ||||||
| 800 | Strayer Education, Inc. | 39,064 | ||||||
| 4,400 | Tempur-Pedic International, Inc.a | 193,160 | ||||||
| 3,200 | Thor Industries, Inc. | 157,376 | ||||||
| 11,000 | Toll Brothers, Inc.a | 358,930 | ||||||
| 5,000 | Tractor Supply Company | 588,050 | ||||||
| 3,900 | Tupperware Brands Corporation | 302,991 | ||||||
| 5,600 | Under Armour, Inc.a,b | 334,376 | ||||||
| 2,800 | Valassis Communications, Inc. | 68,852 | ||||||
| 20,514 | Wendy’s Companyb | 119,596 | ||||||
| 6,280 | Williams-Sonoma, Inc. | 350,989 | ||||||
| 4,000 | WMS Industries, Inc.a | 102,040 | ||||||
|
| |||||||
| Total | 13,098,270 | |||||||
|
| |||||||
| Consumer Staples (4.0%) | |||||||
| 10,020 | Church & Dwight Company, Inc. | 618,334 | ||||||
| 13,600 | Dean Foods Companya | 136,272 | ||||||
| 4,550 | Energizer Holdings, Inc. | 457,321 | ||||||
| 12,525 | Flowers Foods, Inc. | 276,176 | ||||||
| 9,000 | Green Mountain Coffee Roasters, Inc.a,b | 675,540 | ||||||
| 3,510 | Harris Teeter Supermarkets, Inc. | 164,479 | ||||||
| 9,000 | Hillshire Brands Company | 297,720 | ||||||
| 5,600 | Ingredion, Inc. | 367,472 | ||||||
| 1,340 | Lancaster Colony Corporation | 104,507 | ||||||
| 2,300 | Post Holdings, Inc.a | 100,418 | ||||||
| 9,100 | Smithfield Foods, Inc.a | 298,025 | ||||||
| 14,600 | SUPERVALU, Inc.a | 90,812 | ||||||
| 1,557 | Tootsie Roll Industries, Inc.b | 49,481 | ||||||
| 3,500 | United Natural Foods, Inc.a | 188,965 | ||||||
| 1,640 | Universal Corporation | 94,874 | ||||||
| 10,100 | WhiteWave Foods Companya,b | 164,125 | ||||||
|
| |||||||
| Total | 4,084,521 | |||||||
|
| |||||||
| Energy (5.0%) | |||||||
| 16,100 | Alpha Natural Resources, Inc.a | 84,364 | ||||||
| 15,400 | Arch Coal, Inc.b | 58,212 | ||||||
| 4,200 | Atwood Oceanics, Inc.a | 218,610 | ||||||
| 3,500 | Bill Barrett Corporationa,b | 70,770 | ||||||
| 1,400 | CARBO Ceramics, Inc.b | 94,402 | ||||||
| 6,300 | Cimarex Energy Company | 409,437 | ||||||
| 5,500 | Dresser-Rand Group, Inc.a | 329,890 | ||||||
| 2,700 | Dril-Quip, Inc.a | 243,783 | ||||||
| 5,300 | Energen Corporation | 276,978 | ||||||
| 7,200 | Helix Energy Solutions Group, Inc.a | 165,888 | ||||||
| 14,790 | HollyFrontier Corporation | 632,716 | ||||||
| 7,900 | Oceaneering International, Inc. | 570,380 | ||||||
| 3,900 | Oil States International, Inc.a | 361,296 | ||||||
| 10,600 | Patterson-UTI Energy, Inc. | 205,163 | ||||||
| 4,400 | Rosetta Resources, Inc.a | 187,088 | ||||||
| 4,800 | SM Energy Company | 287,904 | ||||||
| 11,600 | Superior Energy Services, Inc.a | 300,904 | ||||||
| 3,500 | Tidewater, Inc. | 199,395 | ||||||
| 3,200 | Unit Corporationa | 136,256 | ||||||
| 5,300 | World Fuel Services Corporation | 211,894 | ||||||
|
| |||||||
| Total | 5,045,330 | |||||||
|
| |||||||
| Financials (22.1%) | |||||||
| 3,800 | Affiliated Managers Group, Inc.a | 622,972 | ||||||
| 3,160 | Alexander & Baldwin, Inc.a | 125,610 | ||||||
| 5,100 | Alexandria Real Estate Equities, Inc. | 335,172 | ||||||
| 1,200 | Alleghany Corporationa | 459,972 | ||||||
| 7,600 | American Campus Communities, Inc. | 309,016 | ||||||
| 5,435 | American Financial Group, Inc. | 265,826 | ||||||
| 16,280 | Apollo Investment Corporation | 126,007 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
130
Table of Contents
Mid Cap Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (95.2%) | Value | ||||||
| Financials (22.1%) - continued | |||||||
| 9,200 | Arthur J. Gallagher & Company | $ | 401,948 | |||||
| 5,000 | Aspen Insurance Holdings, Ltd. | 185,450 | ||||||
| 12,193 | Associated Banc-Corp | 189,601 | ||||||
| 5,970 | Astoria Financial Corporation | 64,357 | ||||||
| 6,100 | BancorpSouth, Inc. | 107,970 | ||||||
| 3,200 | Bank of Hawaii Corporation | 161,024 | ||||||
| 13,400 | BioMed Realty Trust, Inc. | 271,082 | ||||||
| 5,600 | BRE Properties, Inc. | 280,112 | ||||||
| 8,600 | Brown & Brown, Inc. | 277,264 | ||||||
| 6,200 | Camden Property Trust | 428,668 | ||||||
| 5,300 | Cathay General Bancorp | 107,855 | ||||||
| 6,400 | CBOE Holdings, Inc. | 298,496 | ||||||
| 3,420 | City National Corporation | 216,725 | ||||||
| 5,637 | Commerce Bancshares, Inc. | 245,548 | ||||||
| 6,200 | Corporate Office Properties Trust | 158,100 | ||||||
| 8,270 | Corrections Corporation of America REIT | 280,105 | ||||||
| 4,400 | Cullen/Frost Bankers, Inc.b | 293,788 | ||||||
| 23,400 | Duke Realty Corporation | 364,806 | ||||||
| 9,900 | East West Bancorp, Inc. | 272,250 | ||||||
| 8,800 | Eaton Vance Corporation | 330,792 | ||||||
| 4,500 | Equity One, Inc. | 101,835 | ||||||
| 2,700 | Essex Property Trust, Inc. | 429,084 | ||||||
| 3,710 | Everest Re Group, Ltd. | 475,845 | ||||||
| 7,500 | Extra Space Storage, Inc. | 314,475 | ||||||
| 4,700 | Federal Realty Investment Trust | 487,296 | ||||||
| 6,800 | Federated Investors, Inc.b | 186,388 | ||||||
| 15,505 | Fidelity National Financial, Inc. | 369,174 | ||||||
| 7,800 | First American Financial Corporation | 171,912 | ||||||
| 18,300 | First Horizon National Corporation | 204,960 | ||||||
| 25,700 | First Niagara Financial Group, Inc. | 258,799 | ||||||
| 11,998 | FirstMerit Corporation | 240,320 | ||||||
| 14,200 | Fulton Financial Corporation | 163,016 | ||||||
| 1,900 | Greenhill & Company, Inc. | 86,906 | ||||||
| 6,200 | Hancock Holding Company | 186,434 | ||||||
| 3,170 | Hanover Insurance Group, Inc. | 155,108 | ||||||
| 7,350 | HCC Insurance Holdings, Inc. | 316,858 | ||||||
| 5,900 | Highwoods Properties, Inc. | 210,099 | ||||||
| 3,800 | Home Properties, Inc. | 248,406 | ||||||
| 10,100 | Hospitality Properties Trust | 265,428 | ||||||
| 4,000 | International Bancshares Corporation | 90,320 | ||||||
| 13,800 | Janus Capital Group, Inc. | 117,438 | ||||||
| 3,200 | Jones Lang LaSalle, Inc. | 291,648 | ||||||
| 4,000 | Kemper Corporation | 137,000 | ||||||
| 5,500 | Kilroy Realty Corporation | 291,555 | ||||||
| 8,700 | Liberty Property Trust | 321,552 | ||||||
| 6,100 | Mack-Cali Realty Corporation | 149,389 | ||||||
| 2,600 | Mercury General Corporation | 114,296 | ||||||
| 8,800 | MSCI, Inc.a | 292,776 | ||||||
| 8,500 | National Retail Properties, Inc. | 292,400 | ||||||
| 32,011 | New York Community Bancorp, Inc.b | 448,154 | ||||||
| 17,550 | Old Republic International Corporation | 225,868 | ||||||
| 8,400 | Omega Healthcare Investors, Inc. | 260,568 | ||||||
| 2,907 | Potlatch Corporation | 117,559 | ||||||
| 3,300 | Primerica, Inc. | 123,552 | ||||||
| 3,500 | Prosperity Bancshares, Inc. | 181,265 | ||||||
| 5,670 | Protective Life Corporation | 217,785 | ||||||
| 8,225 | Raymond James Financial, Inc. | 353,510 | ||||||
| 9,112 | Rayonier, Inc. REIT | 504,714 | ||||||
| 14,200 | Realty Income Corporation | 595,264 | ||||||
| 6,600 | Regency Centers Corporation | 335,346 | ||||||
| 5,300 | Reinsurance Group of America, Inc. | 366,283 | ||||||
| 9,740 | SEI Investments Company | 276,908 | ||||||
| 13,700 | Senior Housing Property Trust | 355,241 | ||||||
| 3,400 | Signature Banka | 282,268 | ||||||
| 6,600 | SL Green Realty Corporation | 582,054 | ||||||
| 3,200 | StanCorp Financial Group, Inc. | 158,112 | ||||||
| 3,230 | SVB Financial Groupa | 269,124 | ||||||
| 57,400 | Synovus Financial Corporation | 167,608 | ||||||
| 4,600 | Taubman Centers, Inc. | 345,690 | ||||||
| 11,920 | TCF Financial Corporation | 169,026 | ||||||
| 4,800 | Trustmark Corporation | 117,984 | ||||||
| 18,203 | UDR, Inc. | 463,994 | ||||||
| 14,484 | Valley National Bancorpb | 137,163 | ||||||
| 7,975 | W.R. Berkley Corporation | 325,859 | ||||||
| 6,240 | Waddell & Reed Financial, Inc. | 271,440 | ||||||
| 7,627 | Washington Federal, Inc. | 143,998 | ||||||
| 6,530 | Webster Financial Corporation | 167,690 | ||||||
| 8,100 | Weingarten Realty Investors | 249,237 | ||||||
| 1,920 | Westamerica Bancorporation | 87,725 | ||||||
|
| |||||||
| Total | 22,452,222 | |||||||
|
| |||||||
| Health Care (9.0%) | |||||||
| 12,800 | Allscripts Healthcare Solutions, Inc.a | 165,632 | ||||||
| 1,400 | Bio-Rad Laboratories, Inc.a | 157,080 | ||||||
| 3,500 | Charles River Laboratories International, Inc.a | 143,605 | ||||||
| 6,800 | Community Health Systems, Inc. | 318,784 | ||||||
| 3,500 | Cooper Companies, Inc. | 416,675 | ||||||
| 4,010 | Covance, Inc.a | 305,321 | ||||||
| 8,200 | Endo Pharmaceutical Holdings, Inc.a | 301,678 | ||||||
| 18,700 | Health Management Associates, Inc.a | 293,964 | ||||||
| 5,780 | Health Net, Inc.a | 183,920 | ||||||
| 6,400 | Henry Schein, Inc.a | 612,800 | ||||||
| 4,350 | Hill-Rom Holdings, Inc. | 146,508 | ||||||
| 6,300 | HMS Holdings Corporationa | 146,790 | ||||||
| 19,500 | Hologic, Inc.a | 376,350 | ||||||
| 3,900 | IDEXX Laboratories, Inc.a,b | 350,142 | ||||||
| 3,400 | LifePoint Hospitals, Inc.a | 166,056 | ||||||
| 4,400 | Mallinckrodt, LLCa | 199,892 | ||||||
| 3,800 | Masimo Corporation | 80,560 | ||||||
| 3,600 | Mednax, Inc.a | 329,688 | ||||||
| 2,200 | Mettler-Toledo International, Inc.a | 442,640 | ||||||
| 7,620 | Omnicare, Inc. | 363,550 | ||||||
| 4,650 | Owens & Minor, Inc.b | 157,310 | ||||||
| 10,400 | ResMed, Inc.b | 469,352 | ||||||
| 4,300 | STERIS Corporation | 184,384 | ||||||
| 2,500 | Techne Corporation | 172,700 | ||||||
| 2,940 | Teleflex, Inc. | 227,821 | ||||||
| 4,100 | Thoratec Corporationa | 128,371 | ||||||
| 3,300 | United Therapeutics Corporationa | 217,206 | ||||||
| 6,500 | Universal Health Services, Inc. | 435,240 | ||||||
| 6,400 | VCA Antech, Inc.a | 166,976 | ||||||
| 16,020 | Vertex Pharmaceuticals, Inc.a | 1,279,517 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
131
Table of Contents
Mid Cap Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (95.2%) | Value | ||||||
| Health Care (9.0%) - continued | |||||||
| 3,100 | Wellcare Health Plans, Inc.a | $ | 172,205 | |||||
|
| |||||||
| Total | 9,112,717 | |||||||
|
| |||||||
| Industrials (15.6%) | |||||||
| 3,100 | Acuity Brands, Inc. | 234,112 | ||||||
| 7,500 | Aecom Technology Corporationa | 238,425 | ||||||
| 7,030 | AGCO Corporation | 352,836 | ||||||
| 5,080 | Alaska Air Group, Inc.a | 264,160 | ||||||
| 2,300 | Alliant Techsystems, Inc. | 189,359 | ||||||
| 17,732 | AMETEK, Inc. | 750,064 | ||||||
| 7,600 | B/E Aerospace, Inc.a | 479,408 | ||||||
| 3,460 | Brink’s Company | 88,265 | ||||||
| 4,640 | Carlisle Companies, Inc. | 289,118 | ||||||
| 3,600 | CLARCOR, Inc. | 187,956 | ||||||
| 3,900 | Clean Harbors, Inc.a | 197,067 | ||||||
| 4,030 | Con-way, Inc. | 157,009 | ||||||
| 7,700 | Copart, Inc.a | 237,160 | ||||||
| 2,400 | Corporate Executive Board Company | 151,728 | ||||||
| 3,500 | Crane Company | 209,720 | ||||||
| 3,600 | Deluxe Corporation | 124,740 | ||||||
| 9,800 | Donaldson Company, Inc. | 349,468 | ||||||
| 2,200 | Esterline Technologies Corporationa | 159,038 | ||||||
| 13,700 | Exelis, Inc. | 188,923 | ||||||
| 12,000 | Fortune Brands Home and Security, Inc. | 464,880 | ||||||
| 2,900 | FTI Consulting, Inc.a | 95,381 | ||||||
| 3,500 | Gardner Denver, Inc. | 263,130 | ||||||
| 3,320 | GATX Corporation | 157,468 | ||||||
| 3,600 | General Cable Corporation | 110,700 | ||||||
| 3,600 | Genesee & Wyoming, Inc.a | 305,424 | ||||||
| 4,400 | Graco, Inc. | 278,124 | ||||||
| 2,560 | Granite Construction, Inc. | 76,185 | ||||||
| 5,900 | Harsco Corporation | 136,821 | ||||||
| 4,290 | Herman Miller, Inc. | 116,130 | ||||||
| 3,230 | HNI Corporation | 116,506 | ||||||
| 3,930 | Hubbell, Inc. | 389,070 | ||||||
| 3,601 | Huntington Ingalls Industries, Inc. | 203,384 | ||||||
| 6,000 | IDEX Corporation | 322,860 | ||||||
| 6,600 | ITT Corporation | 194,106 | ||||||
| 6,640 | JB Hunt Transport Services, Inc. | 479,674 | ||||||
| 16,375 | JetBlue Airways Corporationa | 103,162 | ||||||
| 10,800 | KBR, Inc. | 351,000 | ||||||
| 5,740 | Kennametal, Inc. | 222,884 | ||||||
| 4,100 | Kirby Corporationa | 326,114 | ||||||
| 3,300 | Landstar System, Inc. | 169,950 | ||||||
| 3,300 | Lennox International, Inc. | 212,982 | ||||||
| 6,000 | Lincoln Electric Holdings, Inc. | 343,620 | ||||||
| 5,570 | Manpower, Inc. | 305,236 | ||||||
| 3,060 | Matson, Inc. | 76,500 | ||||||
| 2,200 | Mine Safety Appliances Company | 102,410 | ||||||
| 3,400 | MSC Industrial Direct Company, Inc. | 263,364 | ||||||
| 4,180 | Nordson Corporation | 289,716 | ||||||
| 6,400 | Oshkosh Corporationa | 243,008 | ||||||
| 13,100 | R.R. Donnelley & Sons Companyb | 183,531 | ||||||
| 3,200 | Regal-Beloit Corporation | 207,488 | ||||||
| 4,822 | Rollins, Inc. | 124,890 | ||||||
| 3,360 | SPX Corporation | 241,853 | ||||||
| 8,100 | Terex Corporationa | 213,030 | ||||||
| 5,800 | Timken Company | 326,424 | ||||||
| 4,100 | Towers Watson & Company | 335,954 | ||||||
| 5,795 | Trinity Industries, Inc. | 222,760 | ||||||
| 3,700 | Triumph Group, Inc. | 292,855 | ||||||
| 6,798 | United Rentals, Inc.a | 339,288 | ||||||
| 5,500 | URS Corporation | 259,710 | ||||||
| 7,600 | UTI Worldwide, Inc. | 125,172 | ||||||
| 1,700 | Valmont Industries, Inc. | 243,253 | ||||||
| 7,000 | Wabtec Corporation | 374,010 | ||||||
| 9,000 | Waste Connections, Inc. | 370,260 | ||||||
| 2,100 | Watsco, Inc. | 176,316 | ||||||
| 3,300 | Werner Enterprises, Inc. | 79,761 | ||||||
| 4,300 | Woodward, Inc. | 172,000 | ||||||
|
| |||||||
| Total | 15,856,900 | |||||||
|
| |||||||
| Information Technology (14.6%) | |||||||
| 6,800 | 3D Systems Corporationa,b | 298,520 | ||||||
| 2,820 | ACI Worldwide, Inc.a | 131,074 | ||||||
| 5,390 | Acxiom Corporationa | 122,245 | ||||||
| 4,380 | ADTRAN, Inc. | 107,792 | ||||||
| 2,300 | Advent Software, Inc.a | 80,638 | ||||||
| 3,600 | Alliance Data Systems Corporationa,b | 651,708 | ||||||
| 6,800 | ANSYS, Inc.a | 497,080 | ||||||
| 5,600 | AOL, Inc.a | 204,288 | ||||||
| 7,670 | Arrow Electronics, Inc.a | 305,649 | ||||||
| 31,120 | Atmel Corporationa | 228,732 | ||||||
| 10,020 | Avnet, Inc.a | 336,672 | ||||||
| 8,800 | Broadridge Financial Solutions, Inc. | 233,904 | ||||||
| 20,480 | Cadence Design Systems, Inc.a | 296,550 | ||||||
| 7,400 | Ciena Corporationa | 143,708 | ||||||
| 3,100 | CommVault Systems, Inc.a | 235,259 | ||||||
| 15,500 | Compuware Corporation | 160,425 | ||||||
| 3,300 | Concur Technologies, Inc.a,b | 268,554 | ||||||
| 7,700 | Convergys Corporation | 134,211 | ||||||
| 7,000 | CoreLogic, Inc.a | 162,190 | ||||||
| 8,500 | Cree, Inc.a | 542,810 | ||||||
| 9,800 | Cypress Semiconductor Corporationa,b | 105,154 | ||||||
| 4,630 | Diebold, Inc. | 155,985 | ||||||
| 2,110 | DST Systems, Inc. | 137,846 | ||||||
| 3,600 | Equinix, Inc.a | 664,992 | ||||||
| 2,900 | FactSet Research Systems, Inc.b | 295,626 | ||||||
| 2,550 | Fair Isaac Corporation | 116,866 | ||||||
| 9,300 | Fairchild Semiconductor International, Inc.a | 128,340 | ||||||
| 6,800 | Gartner, Inc.a | 387,532 | ||||||
| 5,700 | Global Payments, Inc. | 264,024 | ||||||
| 7,900 | Informatica Corporationa | 276,342 | ||||||
| 11,000 | Ingram Micro, Inc.a | 208,890 | ||||||
| 10,650 | Integrated Device Technology, Inc.a | 84,561 | ||||||
| 2,900 | InterDigital, Inc.b | 129,485 | ||||||
| 5,050 | International Rectifier Corporationa | 105,747 | ||||||
| 9,200 | Intersil Corporation | 71,944 | ||||||
| 2,800 | Itron, Inc.a | 118,804 | ||||||
| 6,260 | Jack Henry & Associates, Inc. | 295,034 | ||||||
| 6,200 | Lender Processing Services, Inc. | 200,570 | ||||||
| 4,500 | Lexmark International, Inc.b | 137,565 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
132
Table of Contents
Mid Cap Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (95.2%) | Value | ||||||
| Information Technology (14.6%) - continued | |||||||
| 1,700 | ManTech International Corporationb | $ | 44,404 | |||||
| 6,870 | Mentor Graphics Corporation | 134,308 | ||||||
| 5,700 | MICROS Systems, Inc.a,b | 245,955 | ||||||
| 8,500 | Monster Worldwide, Inc.a | 41,735 | ||||||
| 6,962 | National Instruments Corporation | 194,518 | ||||||
| 11,900 | NCR Corporationa | 392,581 | ||||||
| 4,800 | NeuStar, Inc.a | 233,664 | ||||||
| 3,040 | Plantronics, Inc. | 133,517 | ||||||
| 12,540 | Polycom, Inc.a | 132,172 | ||||||
| 8,700 | PTC, Inc.a | 213,411 | ||||||
| 8,000 | Rackspace Hosting, Inc.a | 303,120 | ||||||
| 20,340 | RF Micro Devices, Inc.a | 108,819 | ||||||
| 11,900 | Riverbed Technology, Inc.a | 185,164 | ||||||
| 7,540 | Rovi Corporationa | 172,214 | ||||||
| 4,890 | Semtech Corporationa | 171,297 | ||||||
| 2,800 | Silicon Laboratories, Inc.a | 115,948 | ||||||
| 13,900 | Skyworks Solutions, Inc.a | 304,271 | ||||||
| 4,500 | Solarwinds, Inc.a | 174,645 | ||||||
| 5,000 | Solera Holdings, Inc. | 278,250 | ||||||
| 16,800 | SunEdison, Inc.a | 137,256 | ||||||
| 11,180 | Synopsys, Inc.a | 399,685 | ||||||
| 2,780 | Tech Data Corporationa | 130,910 | ||||||
| 11,300 | TIBCO Software, Inc.a | 241,820 | ||||||
| 18,600 | Trimble Navigation, Ltd.a | 483,786 | ||||||
| 5,200 | ValueClick, Inc.a | 128,336 | ||||||
| 7,900 | VeriFone Systems, Inc.a | 132,799 | ||||||
| 9,620 | Vishay Intertechnology, Inc.a | 133,622 | ||||||
| 2,800 | WEX, Inc.a | 214,760 | ||||||
| 3,700 | Zebra Technologies Corporationa | 160,728 | ||||||
|
| |||||||
| Total | 14,771,011 | |||||||
|
| |||||||
| Materials (6.6%) | |||||||
| 6,420 | Albemarle Corporation | 399,902 | ||||||
| 4,800 | AptarGroup, Inc. | 265,008 | ||||||
| 5,300 | Ashland, Inc. | 442,550 | ||||||
| 4,390 | Cabot Corporation | 164,274 | ||||||
| 3,200 | Carpenter Technology Corporation | 144,224 | ||||||
| 8,500 | Commercial Metals Company | 125,545 | ||||||
| 2,400 | Compass Minerals International, Inc. | 202,872 | ||||||
| 3,060 | Cytec Industries, Inc. | 224,145 | ||||||
| 2,500 | Domtar Corporation | 166,250 | ||||||
| 3,500 | Eagle Materials, Inc. | 231,945 | ||||||
| 2,200 | Greif, Inc. | 115,874 | ||||||
| 3,800 | Intrepid Potash, Inc. | 72,390 | ||||||
| 10,100 | Louisiana-Pacific Corporationa | 149,379 | ||||||
| 3,320 | Martin Marietta Materials, Inc. | 326,754 | ||||||
| 2,460 | Minerals Technologies, Inc. | 101,696 | ||||||
| 800 | NewMarket Corporation | 210,048 | ||||||
| 5,800 | Olin Corporation | 138,736 | ||||||
| 7,100 | Packaging Corporation of America | 347,616 | ||||||
| 5,600 | Reliance Steel & Aluminum Company | 367,136 | ||||||
| 5,200 | Rock-Tenn Company | 519,376 | ||||||
| 4,700 | Royal Gold, Inc. | 197,776 | ||||||
| 9,600 | RPM International, Inc. | 306,624 | ||||||
| 2,800 | Scotts Miracle-Gro Company | 135,268 | ||||||
| 3,630 | Sensient Technologies Corporation | 146,906 | ||||||
| 3,200 | Silgan Holdings, Inc. | 150,272 | ||||||
| 7,380 | Sonoco Products Company | 255,127 | ||||||
| 16,000 | Steel Dynamics, Inc. | 238,560 | ||||||
| 5,960 | Valspar Corporation | 385,433 | ||||||
| 3,900 | Worthington Industries, Inc. | 123,669 | ||||||
|
| |||||||
| Total | 6,655,355 | |||||||
|
| |||||||
| Telecommunications Services (0.5%) | |||||||
| 7,295 | Telephone & Data Systems, Inc. | 179,822 | ||||||
| 10,900 | TW Telecom, Inc.a | 306,726 | ||||||
|
| |||||||
| Total | 486,548 | |||||||
|
| |||||||
| Utilities (4.9%) | |||||||
| 8,100 | Alliant Energy Corporation | 408,402 | ||||||
| 10,266 | Aqua America, Inc. | 321,223 | ||||||
| 6,600 | Atmos Energy Corporation | 270,996 | ||||||
| 3,200 | Black Hills Corporation | 156,000 | ||||||
| 4,400 | Cleco Corporation | 204,292 | ||||||
| 11,163 | Great Plains Energy, Inc. | 251,614 | ||||||
| 7,180 | Hawaiian Electric Industries, Inc. | 181,726 | ||||||
| 3,630 | IDACORP, Inc. | 173,369 | ||||||
| 13,725 | MDU Resources Group, Inc. | 355,615 | ||||||
| 6,100 | National Fuel Gas Company | 353,495 | ||||||
| 17,100 | NV Energy, Inc. | 401,166 | ||||||
| 7,190 | OGE Energy Corporation | 490,358 | ||||||
| 5,775 | PNM Resources, Inc. | 128,147 | ||||||
| 12,700 | Questar Corporation | 302,895 | ||||||
| 8,200 | UGI Corporation | 320,702 | ||||||
| 5,990 | Vectren Corporation | 202,642 | ||||||
| 9,220 | Westar Energy, Inc. | 294,671 | ||||||
| 3,810 | WGL Holdings, Inc. | 164,668 | ||||||
|
| |||||||
| Total | 4,981,981 | |||||||
|
| |||||||
Total Common Stock (cost $68,710,420) | 96,544,855 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (6.0%) | ||||||||
| 6,088,333 | Thrivent Cash Management Trust | 6,088,333 | ||||||
Total Collateral Held for Securities Loaned (cost $6,088,333) | 6,088,333 | |||||||
| Shares or Principal Amount | Short-Term Investments (4.9%) | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 200,000 | 0.093%, 11/22/2013c,d | 199,925 | ||||||
Thrivent Cash Management Trust | ||||||||
| 4,779,264 | 0.080% | 4,779,264 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 4,979,189 | |||||||
|
| |||||||
| Total Investments (cost $79,777,942) 106.1% | $ | 107,612,377 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (6.1%) | (6,223,880 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 101,388,497 | ||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
133
Table of Contents
Mid Cap Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| 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 June 28, 2013, $199,925 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 | $ | 29,745,306 | ||
Gross unrealized depreciation | (3,690,578 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 26,054,728 | ||
Cost for federal income tax purposes | $ | 81,557,649 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 13,098,270 | 13,098,270 | — | — | ||||||||||||
Consumer Staples | 4,084,521 | 4,084,521 | — | — | ||||||||||||
Energy | 5,045,330 | 5,045,330 | — | — | ||||||||||||
Financials | 22,452,222 | 22,452,222 | — | — | ||||||||||||
Health Care | 9,112,717 | 9,112,717 | — | — | ||||||||||||
Industrials | 15,856,900 | 15,856,900 | — | — | ||||||||||||
Information Technology | 14,771,011 | 14,771,011 | — | — | ||||||||||||
Materials | 6,655,355 | 6,655,355 | — | — | ||||||||||||
Telecommunications Services | 486,548 | 486,548 | — | — | ||||||||||||
Utilities | 4,981,981 | 4,981,981 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 6,088,333 | 6,088,333 | — | — | ||||||||||||
Short-Term Investments | 4,979,189 | 4,779,264 | 199,925 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 107,612,377 | $ | 107,412,452 | $ | 199,925 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives Futures Contracts | 43,466 | 43,466 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 43,466 | $ | 43,466 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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 | 42 | September 2013 | $ | 4,906,646 | $ | 4,863,180 | ($ | 43,466 | ) | |||||||||||
Total Futures Contracts | ($ | 43,466 | ) | |||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
134
Table of Contents
Mid Cap Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 28, 2013, 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 | $ | 43,466 | |||
Total Equity Contracts | 43,466 | |||||
|
| |||||
Total Liability Derivatives | $ | 43,466 | ||||
|
| |||||
| * | 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 June 28, 2013, 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 | 333,751 | ||||
Total Equity Contracts | 333,751 | |||||
|
| |||||
Total | $ | 333,751 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 28, 2013, 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 | (37,371 | ) | |||
Total Equity Contracts | (37,371 | ) | ||||
|
| |||||
Total | ($ | 37,371 | ) | |||
|
| |||||
The following table presents Mid Cap Index Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 3,007,650 | 3.1 | % | ||||
| * | 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.
135
Table of Contents
Mid Cap Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | $ | 2,749,485 | $ | 13,956,382 | $ | 10,617,534 | 6,088,333 | $ | 6,088,333 | $ | 15,700 | |||||||||||||
Cash Management Trust-Short Term Investment | 1,118,939 | 9,672,944 | 6,012,619 | 4,779,264 | 4,779,264 | 1,144 | ||||||||||||||||||
Total Value and Income Earned | 3,868,424 | 10,867,597 | 16,844 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
136
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (88.8%) | Value | ||||||
| Australia (3.1%) | |||||||
| 471,627 | Amcor, Ltd. | $ | 4,358,753 | |||||
| 57,485 | Australia & New Zealand Banking Group, Ltd. | 1,492,279 | ||||||
| 1,104,077 | Beach Energy, Ltd. | 1,134,404 | ||||||
| 269,824 | BHP Billiton, Ltd. | 7,766,326 | ||||||
| 569,329 | Breville Group, Ltd.a | 3,676,012 | ||||||
| 2,644,482 | Clough, Ltd.a | 2,583,930 | ||||||
| 103,539 | CSL, Ltd. | 5,831,129 | ||||||
| 425,224 | DuluxGroup, Ltd. | 1,635,722 | ||||||
| 82,643 | Flight Centre, Ltd.a | 2,959,268 | ||||||
| 838,508 | Fortescue Metals Group, Ltd.a | 2,308,291 | ||||||
| 228,964 | McMillan Shakespeare, Ltd. | 3,382,703 | ||||||
| 666,529 | Mermaid Marine Australia, Ltd. | 2,136,245 | ||||||
| 100,620 | Ramsay Health Care, Ltd. | 3,288,838 | ||||||
| 581,479 | RCR Tomlinson, Ltd. | 1,221,977 | ||||||
| 638,755 | SAI Global, Ltd. | 2,115,975 | ||||||
|
| |||||||
| Total | 45,891,852 | |||||||
|
| |||||||
| Austria (0.4%) | |||||||
| 540,304 | Immofinanz AGb | 2,016,127 | ||||||
| 50,483 | OMV AG | 2,277,333 | ||||||
| 37,091 | Voestalpine AGa | 1,311,656 | ||||||
|
| |||||||
| Total | 5,605,116 | |||||||
|
| |||||||
| Belgium (1.1%) | |||||||
| 92,499 | Anheuser-Busch InBev NV | 8,327,936 | ||||||
| 86,948 | Arseus NV | 2,287,901 | ||||||
| 29,181 | Delhaize Group SAa | 1,804,030 | ||||||
| 53,202 | EVS Broadcast Equipment SA | 3,688,547 | ||||||
|
| |||||||
| Total | 16,108,414 | |||||||
|
| |||||||
| Bermuda (0.1%) | |||||||
| 1,467,000 | Pacific Basin Shipping, Ltd. | 829,276 | ||||||
|
| |||||||
| Total | 829,276 | |||||||
|
| |||||||
| Brazil (1.6%) | |||||||
| 60,700 | Autometal SA | 481,498 | ||||||
| 201,652 | Banco Bradesco SA ADRa | 2,623,493 | ||||||
| 36,400 | BR Properties SA | 309,131 | ||||||
| 137,400 | Cia Paranaense de Energia | 1,698,296 | ||||||
| 205,100 | Embraer SA | 1,879,712 | ||||||
| 139,600 | Even Construtora e Incorporadora SA | 498,627 | ||||||
| 37,849 | Lojas Renner SA | 1,084,066 | ||||||
| 633,998 | MMX Mineracao e Metalicos SAb | 420,515 | ||||||
| 47,962 | Multiplan Empreendimentos Imobiliarios SA | 1,117,935 | ||||||
| 262,800 | Petroleo Brasileiro SA ADR | 3,526,775 | ||||||
| 144,000 | Petroleo Brasileiro SA ADR | 2,111,040 | ||||||
| 1,444,207 | Rossi Residencial SAb | 1,889,925 | ||||||
| 93,500 | Souza Cruz SA | 1,154,424 | ||||||
| 62,179 | Sul America SA | 366,439 | ||||||
| 93,000 | Ultrapar Participacoes SA ADR | 2,226,420 | ||||||
| 133,490 | Vale SA ADRa | 1,755,394 | ||||||
| 33,532 | Vale SA ADR | 407,749 | ||||||
|
| |||||||
| Total | 23,551,439 | |||||||
|
| |||||||
| Canada (3.7%) | |||||||
| 50,169 | Agrium, Inc.a | 4,349,538 | ||||||
| 53,526 | ATCO, Ltd. | 2,208,323 | ||||||
| 137,297 | Brookfield Asset Management, Inc. | 4,934,703 | ||||||
| 73,073 | Canadian National Railway Company | 7,114,838 | ||||||
| 145,349 | Canadian Oil Sands, Ltd. | 2,690,829 | ||||||
| 30,084 | Dollarama, Inc. | 2,105,623 | ||||||
| 517,500 | Encana Corporationa | 8,766,450 | ||||||
| 111,131 | Husky Energy, Inc.a | 2,960,816 | ||||||
| 82,825 | Loblaw Companies, Ltd.a | 3,744,727 | ||||||
| 22,957 | Metro, Inc.a | 1,538,470 | ||||||
| 124,210 | Parkland Fuel Corporationa | 2,024,303 | ||||||
| 74,660 | PEYTO Exploration & Development Corporationc | 2,158,091 | ||||||
| 83,992 | RioCan Real Estate Investment Trust | 2,018,140 | ||||||
| 49,699 | Rogers Communications, Inc. | 1,946,942 | ||||||
| 52,790 | ShawCor, Ltd. | 2,086,101 | ||||||
| 29,823 | West Fraser Timber Company, Ltd. | 2,254,377 | ||||||
| 165,457 | Whitecap Resources, Inc. | 1,717,971 | ||||||
|
| |||||||
| Total | 54,620,242 | |||||||
|
| |||||||
| Cayman Islands (0.2%) | |||||||
| 4,524,000 | NagaCorp, Ltd. | 3,516,280 | ||||||
|
| |||||||
| Total | 3,516,280 | |||||||
|
| |||||||
| Chile (0.2%) | |||||||
| 1,024,650 | Aguas Andinas SA | 729,890 | ||||||
| 47,274 | Banco Santander Chile SA ADRa | 1,155,849 | ||||||
| 58,492 | Cia Cervecerias Unidas SA | 1,673,457 | ||||||
|
| |||||||
| Total | 3,559,196 | |||||||
|
| |||||||
| China (0.7%) | |||||||
| 243,000 | Anhui Conch Cement Company, Ltd. | 653,279 | ||||||
| 850,000 | China Construction Bank Corporation | 597,311 | ||||||
| 551,500 | China Shenhua Energy Company, Ltd. | 1,401,955 | ||||||
| 1,712,000 | Dongfeng Motor Group Company, Ltd. | 2,270,661 | ||||||
| 3,692,000 | PetroChina Company, Ltd. | 4,003,442 | ||||||
| 1,186,000 | Yanzhou Coal Mining Company, | |||||||
| Ltd.a | 842,988 | |||||||
|
| |||||||
| Total | 9,769,636 | |||||||
|
| |||||||
| Colombia (0.2%) | |||||||
| 48,994 | Bancolombia SA | 2,768,161 | ||||||
|
| |||||||
| Total | 2,768,161 | |||||||
|
| |||||||
| Cyprus (0.2%) | |||||||
| 360,851 | Prosafe SE | 3,173,140 | ||||||
|
| |||||||
| Total | 3,173,140 | |||||||
|
| |||||||
| Czech Republic (0.2%) | |||||||
| 14,596 | Komercni Banka AS | 2,709,532 | ||||||
|
| |||||||
| Total | 2,709,532 | |||||||
|
| |||||||
| Denmark (1.7%) | |||||||
| 101,410 | Christian Hansen Holding AS | 3,469,427 | ||||||
| 73,336 | Coloplast AS | 4,106,380 | ||||||
| 530,500 | Danske Bank ASb | 9,049,773 | ||||||
| 115,001 | GN Store Nord AS | 2,171,861 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
137
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (88.8%) | Value | ||||||
| Denmark (1.7%) - continued | |||||||
| 39,443 | Novo Nordisk AS | $ | 6,131,905 | |||||
|
| |||||||
| Total | 24,929,346 | |||||||
|
| |||||||
| Finland (0.8%) | |||||||
| 196,799 | Amer Sports Oyj | 3,618,586 | ||||||
| 401,800 | Neste Oil Oyja | 5,863,198 | ||||||
| 190,672 | Outotec Oyja | 2,278,235 | ||||||
|
| |||||||
| Total | 11,760,019 | |||||||
|
| |||||||
| France (5.7%) | |||||||
| 83,247 | Alten SAa | 2,834,622 | ||||||
| 541,154 | AXA SA | 10,667,555 | ||||||
| 208,350 | Cap Gemini SA | 10,117,800 | ||||||
| 252,892 | Compagnie de Saint-Gobaina | 10,247,247 | ||||||
| 429,500 | GDF Suez | 8,424,527 | ||||||
| 83,877 | Ingenico | 5,581,503 | ||||||
| 25,408 | Renault SA | 1,711,411 | ||||||
| 55,456 | Rubis SCAa | 3,412,702 | ||||||
| 85,711 | Safran SA | 4,474,639 | ||||||
| 27,311 | Sartorius Stedim Biotech | 3,572,691 | ||||||
| 176,350 | Total SA | 8,613,450 | ||||||
| 82,705 | Vinci SA | 4,148,507 | ||||||
| 15,275 | Virbac SA | 3,161,332 | ||||||
| 420,754 | Vivendi SA | 7,973,926 | ||||||
|
| |||||||
| Total | 84,941,912 | |||||||
|
| |||||||
| Germany (4.8%) | |||||||
| 19,138 | Bayer AG | 2,037,624 | ||||||
| 16,402 | Continental AG | 2,186,524 | ||||||
| 189,600 | Daimler AG | 11,445,881 | ||||||
| 145,350 | Deutsche Boerse AG | 9,557,919 | ||||||
| 29,724 | Duerr AG | 1,790,611 | ||||||
| 85,225 | Gerry Weber International AGa | 3,602,977 | ||||||
| 46,110 | Hannover Rueckversicherung SE | 3,315,623 | ||||||
| 181,837 | Jenoptik AG | 2,244,043 | ||||||
| 29,837 | Muenchener Rueckversicherungs- Gesellschaft AG | 5,481,407 | ||||||
| 115,555 | Norma Group AG | 4,179,196 | ||||||
| 72,522 | Rheinmetall AG | 3,373,243 | ||||||
| 27,060 | SAP AG ADR | 1,975,993 | ||||||
| 25,777 | Siemens AG | 2,610,256 | ||||||
| 104,485 | Suedzucker AG | 3,234,770 | ||||||
| 86,687 | Symrise AG | 3,508,625 | ||||||
| 381,500 | ThyssenKrupp AGb | 7,478,232 | ||||||
| 58,721 | Wincor Nixdorf AG | 3,176,093 | ||||||
|
| |||||||
| Total | 71,199,017 | |||||||
|
| |||||||
| Hong Kong (2.6%) | |||||||
| 530,800 | AIA Group, Ltd. | 2,236,261 | ||||||
| 796,000 | China Mobile, Ltd. | 8,244,056 | ||||||
| 5,053,750 | Guangzhou Automobile Group Company, Ltd. | 4,742,470 | ||||||
| 365,000 | Hang Lung Group, Ltd. | 1,955,152 | ||||||
| 942,700 | Hutchison Whampoa, Ltd. | 9,862,773 | ||||||
| 3,756,267 | New World Development Company, Ltd. | 5,159,533 | ||||||
| 1,201,500 | Sinotruk Hong Kong, Ltd. | 585,722 | ||||||
| 113,000 | Swire Pacific, Ltd., Class A | 1,361,456 | ||||||
| 340,000 | Swire Pacific, Ltd., Class B | 798,561 | ||||||
| 78,700 | Swire Properties, Ltd. | 231,697 | ||||||
| 378,000 | Weichai Power Company, Ltd. | 1,109,098 | ||||||
| 437,000 | Wheelock and Company, Ltd. | 2,180,352 | ||||||
|
| |||||||
| Total | 38,467,131 | |||||||
|
| |||||||
| Hungary (0.1%) | |||||||
| 8,200 | Richter Gedeon Nyrt | 1,225,746 | ||||||
|
| |||||||
| Total | 1,225,746 | |||||||
|
| |||||||
| India (1.0%) | |||||||
| 16,100 | GlaxoSmithKline Pharmaceuticals, Ltd. | 632,159 | ||||||
| 7,344 | Grasim Industries, Ltd. | 340,224 | ||||||
| 8,000 | Grasim Industries, Ltd. GDR | 369,575 | ||||||
| 35,500 | Hero Motocorp, Ltd. | 990,310 | ||||||
| 146,000 | Hindustan Unilever, Ltd. | 1,437,642 | ||||||
| 140,200 | Housing Development Finance Corporation | 2,063,997 | ||||||
| 25,000 | ICICI Bank, Ltd. | 445,480 | ||||||
| 10,400 | ICICI Bank, Ltd. ADR | 397,800 | ||||||
| 26,000 | Infosys, Ltd. | 1,085,250 | ||||||
| 77,534 | Infosys, Ltd. ADRa | 3,193,625 | ||||||
| 182,542 | ITC, Ltd. | 993,444 | ||||||
| 73,778 | Reliance Industries, Ltd.d | 2,119,987 | ||||||
| 20,696 | Ultra Tech Cement, Ltd. | 651,483 | ||||||
| 4,570 | Ultra Tech Cement, Ltd. GDR | 144,348 | ||||||
|
| |||||||
| Total | 14,865,324 | |||||||
|
| |||||||
| Indonesia (0.6%) | |||||||
| 1,328,500 | AKR Corporindo Tbk PT | 705,262 | ||||||
| 1,094,500 | Bank Rakyat Indonesia Persero Tbk PT | 849,769 | ||||||
| 599,000 | Indo Tambangraya Megah Tbk PT | 1,692,298 | ||||||
| 3,676,000 | PT Astra International Tbk | 2,584,172 | ||||||
| 1,147,000 | United Tractors Tbk PT | 2,093,962 | ||||||
| 4,551,500 | Vale Indonesia Tbk PT | 923,733 | ||||||
|
| |||||||
| Total | 8,849,196 | |||||||
|
| |||||||
| Ireland (0.7%) | |||||||
| 42,230 | Paddy Power plc | 3,623,515 | ||||||
| 91,620 | Ryanair Holdings plc ADR | 4,721,178 | ||||||
| 144,479 | Smurfit Kappa Group plc | 2,409,644 | ||||||
|
| |||||||
| Total | 10,754,337 | |||||||
|
| |||||||
| Israel (0.6%) | |||||||
| 87,556 | Caesarstone Sdot-Yam, Ltd.b | 2,384,150 | ||||||
| 155,600 | Teva Pharmaceutical Industries, Ltd. ADR | 6,099,520 | ||||||
|
| |||||||
| Total | 8,483,670 | |||||||
|
| |||||||
| Italy (2.4%) | |||||||
| 148,439 | Azimut Holding SPA | 2,702,557 | ||||||
| 61,891 | Danieli & Company Officine Meccaniche SPA | 1,443,964 | ||||||
| 422,550 | Eni SPA | 8,672,358 | ||||||
| 7,373,650 | Intesa Sanpaolo SPA | 11,801,766 | ||||||
| 72,931 | Prysmian SPA | 1,360,513 | ||||||
| 108,882 | Recordati SPA | 1,211,434 | ||||||
| 176,204 | Safilo Group SPAb | 3,375,000 | ||||||
| 8,408,025 | Telecom Italia SPA | 4,687,518 | ||||||
|
| |||||||
| Total | 35,255,110 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
138
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (88.8%) | Value | ||||||
| Japan (17.1%) | |||||||
| 207,100 | Aderans Company, Ltd. | $ | 2,873,846 | |||||
| 75,800 | Aoyama Trading Company, Ltd. | 2,016,803 | ||||||
| 55,700 | Asahi Intecc Company, Ltd. | 2,721,402 | ||||||
| 200,205 | Asics Corporation | 3,155,160 | ||||||
| 63,800 | Astellas Pharmaceutical, Inc. | 3,465,878 | ||||||
| 473,300 | Bridgestone Corporation | 16,139,636 | ||||||
| 1,449,601 | Daiwa Securities Group, Inc. | 12,140,297 | ||||||
| 55,100 | East Japan Railway Company | 4,288,573 | ||||||
| 34,300 | Electric Power Development Company, Ltd. | 1,072,378 | ||||||
| 247,000 | Fuji Heavy Industries, Ltd. | 6,099,476 | ||||||
| 177,000 | Hino Motors, Ltd. | 2,597,285 | ||||||
| 576,000 | Hitachi, Ltd. | 3,690,720 | ||||||
| 1,400 | Hogy Medical Company, Ltd. | 79,906 | ||||||
| 8,900 | Horiba, Ltd. | 324,607 | ||||||
| 211,600 | Japan Tobacco, Inc. | 7,468,961 | ||||||
| 187,600 | JTEKT Corporation | 2,102,784 | ||||||
| 660,000 | Kawasaki Heavy Industries, Ltd. | 2,025,535 | ||||||
| 114,300 | KDDI Corporation | 5,951,996 | ||||||
| 1,509 | M3, Inc. | 3,384,642 | ||||||
| 66,400 | Matsumotokiyoshi Holdings Company, Ltd.a | 1,916,961 | ||||||
| 119,900 | Mitsubishi Corporation | 2,048,336 | ||||||
| 564,000 | Mitsubishi Heavy Industries, Ltd. | 3,135,592 | ||||||
| 360,200 | Mitsubishi UFJ Financial Group, Inc. | 2,224,548 | ||||||
| 778,000 | Mitsui Engineering & Shipbuilding Company, Ltd. | 1,136,255 | ||||||
| 108,000 | Mitsui Fudosan Company, Ltd. | 3,175,205 | ||||||
| 122,200 | MonotaRO Company, Ltd. | 2,975,314 | ||||||
| 497,950 | Mori Seiki Company, Ltd. | 5,616,097 | ||||||
| 577,645 | MS and AD Insurance Group Holdings, Inc. | 14,631,861 | ||||||
| 269,297 | Nikkiso Company, Ltd. | 3,530,619 | ||||||
| 274,600 | Nikon Corporation | 6,415,754 | ||||||
| 3,787,950 | Nippon Sheet Glass Companya,b | 3,542,854 | ||||||
| 23,000 | Nippon Telegraph & Telephone Corporation | 1,198,780 | ||||||
| 1,037,250 | Nissan Motor Company, Ltd. | 10,395,952 | ||||||
| 266,000 | NSK, Ltd. | 2,537,602 | ||||||
| 59,718 | Pigeon Corporation | 4,758,552 | ||||||
| 51,200 | Relo Holdings, Inc. | 2,528,835 | ||||||
| 40,131 | Ryohin Keikaku Company, Ltd. | 3,289,707 | ||||||
| 120,400 | Seiko Epson Corporationa | 1,644,427 | ||||||
| 125,000 | Sekisui House, Ltd. | 1,806,061 | ||||||
| 117,500 | Softbank Corporation | 6,839,670 | ||||||
| 131,900 | Sony Corporationa | 2,786,548 | ||||||
| 928,900 | Sumitomo Corporation | 11,577,432 | ||||||
| 52,500 | Sumitomo Mitsui Financial Group, Inc. | 2,403,085 | ||||||
| 2,834,800 | Sumitomo Mitsui Trust Holdings, Inc. | 13,226,774 | ||||||
| 56,000 | Sumitomo Realty & Development Company, Ltd. | 2,231,829 | ||||||
| 54,465 | Sysmex Corporation | 3,567,209 | ||||||
| 108,000 | Tadano, Ltd. | 1,379,926 | ||||||
| 78,800 | Tokyo Electron, Ltd. | 3,984,090 | ||||||
| 326,000 | Tokyo Gas Company, Ltd. | 1,798,560 | ||||||
| 158,400 | Totetsu Kogyo Company, Ltd. | 2,843,070 | ||||||
| 64,000 | Toyo Suisan Kaisha, Ltd. | 2,129,455 | ||||||
| 127,000 | Toyo Tanso Company, Ltd.a | 2,242,452 | ||||||
| 274,400 | Toyota Motor Corporation | 16,551,216 | ||||||
| 270,800 | Tsukui Corporation | 2,611,947 | ||||||
| 38,400 | Tsuruha Holdings, Inc. | 3,629,624 | ||||||
| 121,900 | United Arrows, Ltd. | 5,092,872 | ||||||
| 292,000 | Yaskawa Electric Corporation | 3,543,890 | ||||||
| 93,600 | Zenkoku Hosho Company, Ltd. | 2,993,002 | ||||||
| 36,800 | ZUIKO Corporationa | 2,543,423 | ||||||
|
| |||||||
| Total | 254,085,271 | |||||||
|
| |||||||
| Jersey (0.9%) | |||||||
| 756,850 | WPP plc | 12,936,780 | ||||||
|
| |||||||
| Total | 12,936,780 | |||||||
|
| |||||||
| Luxembourg (0.3%) | |||||||
| 47,000 | Tenaris SA ADRa | 1,892,690 | ||||||
| 116,417 | Ternium SA ADR | 2,634,517 | ||||||
|
| |||||||
| Total | 4,527,207 | |||||||
|
| |||||||
| Malaysia (0.3%) | |||||||
| 502,200 | CIMB Group Holdings Berhad | 1,309,152 | ||||||
| 546,200 | Genting Berhad | 1,798,635 | ||||||
| 234,279 | Malayan Banking Berhad | 768,631 | ||||||
| 199,400 | Public Bank Berhad | 1,074,725 | ||||||
|
| |||||||
| Total | 4,951,143 | |||||||
|
| |||||||
| Mexico (0.8%) | |||||||
| 4,006,900 | America Movil SAB de CV | 4,360,218 | ||||||
| 172,000 | Consorcio ARA SAB de CVb | 62,522 | ||||||
| 24,500 | Fomento Economico Mexicano SAB de CV ADR | 2,528,155 | ||||||
| 9,500 | Grupo Aeroportuario del Sureste SAB de CV ADR | 1,056,780 | ||||||
| 38,100 | Grupo Bimbo SAB de CV | 115,557 | ||||||
| 379,500 | Grupo Financiero Banorte SAB de CV ADR | 2,266,904 | ||||||
| 259,000 | Organizacion Soriana SAB de CV | 972,440 | ||||||
|
| |||||||
| Total | 11,362,576 | |||||||
|
| |||||||
| Netherlands (3.8%) | |||||||
| 2,347,050 | Aegon NV | 15,746,413 | ||||||
| 122,791 | Arcadis NV | 3,306,421 | ||||||
| 132,599 | Arcelor Mittal | 1,484,082 | ||||||
| 111,714 | European Aeronautic Defence and Space Company | 5,976,752 | ||||||
| 179,050 | Koninklijke DSM NV | 11,672,819 | ||||||
| 138,786 | Koninklijke Philips NV | 3,783,440 | ||||||
| 81,609 | Nutreco NV | 3,455,819 | ||||||
| 132,530 | TKH Group NV | 3,407,794 | ||||||
| 172,990 | Unilever NV | 6,809,595 | ||||||
|
| |||||||
| Total | 55,643,135 | |||||||
|
| |||||||
| New Zealand (0.3%) | |||||||
| 826,041 | Ryman Healthcare, Ltd. | 4,067,274 | ||||||
|
| |||||||
| Total | 4,067,274 | |||||||
|
| |||||||
| Norway (0.9%) | |||||||
| 1,796,054 | BW Offshore, Ltd. | 2,153,690 | ||||||
| 128,479 | DnB ASA | 1,863,801 | ||||||
| 51,243 | Petroleum Geo-Services ASA | 625,677 | ||||||
| 92,201 | TGS Nopec Geophysical Company ASA | 2,679,328 | ||||||
| 348,939 | Tomra Systems ASA | 2,958,400 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
139
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (88.8%) | Value | ||||||
| Norway (0.9%) - continued | |||||||
| 74,739 | Yara International ASA | $ | 2,980,520 | |||||
|
| |||||||
| Total | 13,261,416 | |||||||
|
| |||||||
| Panama (0.1%) | |||||||
| 9,470 | Copa Holdings SA | 1,241,706 | ||||||
|
| |||||||
| Total | 1,241,706 | |||||||
|
| |||||||
| Philippines (0.2%) | |||||||
| 2,281,000 | Ayala Land, Inc. | 1,595,531 | ||||||
| 537,742 | Bank of the Philippine Islands | 1,193,253 | ||||||
|
| |||||||
| Total | 2,788,784 | |||||||
|
| |||||||
| Poland (0.5%) | |||||||
| 53,414 | Bank Handlowy w Warszawie SA | 1,492,243 | ||||||
| 87,521 | Bank Pekao SA | 3,950,239 | ||||||
| 68,717 | Grupa Lotos SAb | 741,113 | ||||||
| 383,548 | Telekomunikacja Polska SA | 879,991 | ||||||
|
| |||||||
| Total | 7,063,586 | |||||||
|
| |||||||
| Portugal (0.4%) | |||||||
| 6,522,837 | Banco Espirito Santo SAb | 5,229,316 | ||||||
|
| |||||||
| Total | 5,229,316 | |||||||
|
| |||||||
| Russia (0.6%) | |||||||
| 162,294 | Gazprom OAO | 1,066,272 | ||||||
| 38,500 | Lukoil ADR | 2,206,372 | ||||||
| 16,517 | Magnit OJSC | 942,896 | ||||||
| 199,488 | Novolipetsk Steel OJSC | 2,620,461 | ||||||
| 169,007 | Sberbank of Russia | 1,917,642 | ||||||
|
| |||||||
| Total | 8,753,643 | |||||||
|
| |||||||
| Singapore (1.6%) | |||||||
| 1,999,000 | ARA Asset Management, Ltd. | 2,738,682 | ||||||
| 1,884,000 | Ezion Holdings, Ltd. | 3,141,528 | ||||||
| 735,090 | Keppel Corporation, Ltd. | 6,012,552 | ||||||
| 2,327,000 | Osim International, Ltd.a | 3,599,892 | ||||||
| 1,301,000 | Raffles Medical Group, Ltd. | 3,218,768 | ||||||
| 1,301,000 | Super Group, Ltd. | 4,564,534 | ||||||
|
| |||||||
| Total | 23,275,956 | |||||||
|
| |||||||
| South Africa (0.8%) | |||||||
| 149,686 | ABSA Group, Ltd. | 2,246,236 | ||||||
| 79,745 | AngloGold Ashanti, Ltd.a | 1,140,353 | ||||||
| 169,692 | Impala Platinum Holdings, Ltd. | 1,598,185 | ||||||
| 59,584 | Massmart Holdings, Ltd. | 1,080,765 | ||||||
| 133,292 | MTN Group, Ltd. | 2,479,153 | ||||||
| 163,898 | PPC, Ltd. | 493,930 | ||||||
| 146,190 | Reunert, Ltd. | 1,020,441 | ||||||
| 162,899 | Sappi, Ltd.b,c | 401,546 | ||||||
| 181,000 | Truworths International, Ltd. | 1,593,134 | ||||||
|
| |||||||
| Total | 12,053,743 | |||||||
|
| |||||||
| South Korea (3.0%) | |||||||
| 5,401 | E-Mart Company, Ltd. | 948,506 | ||||||
| 9,426 | Hyundai Department Store | |||||||
| Company, Ltd. | 1,233,467 | |||||||
| 15,302 | Hyundai Heavy Industries | |||||||
| Company, Ltd. | 2,440,890 | |||||||
| 9,826 | Hyundai Mobis | 2,339,303 | ||||||
| 19,892 | Hyundai Motor Company | 3,901,430 | ||||||
| 39,600 | Kangwon Land, Inc. | 1,091,317 | ||||||
| 7,978 | LG Chem, Ltd. | 1,756,894 | ||||||
| 34,350 | POSCO | 8,953,542 | ||||||
| 37,269 | POSCO ADRa | 2,425,467 | ||||||
| 5,650 | Samsung Electronics Company, Ltd. | 4,357,157 | ||||||
| 20,810 | Samsung Heavy Industries Company, Ltd. | 647,538 | ||||||
| 122,418 | Shinhan Financial Group Company, Ltd. | 4,013,841 | ||||||
| 6,257 | Shinsegae Company, Ltd. | 1,151,849 | ||||||
| 8,673 | SK Telecom Company, Ltd. | 1,595,012 | ||||||
| 369,848 | SK Telecom Company, Ltd. ADRa | 7,519,010 | ||||||
|
| |||||||
| Total | 44,375,223 | |||||||
|
| |||||||
| Spain (1.1%) | |||||||
| 280,900 | Almirall SA | 3,569,573 | ||||||
| 294,170 | Banco Popular Espanol SAb | 900,557 | ||||||
| 2,359,321 | Iberdrola SA | 12,468,010 | ||||||
|
| |||||||
| Total | 16,938,140 | |||||||
|
| |||||||
| Sweden (1.4%) | |||||||
| 51,111 | Hexpol AB | 3,317,631 | ||||||
| 181,665 | Intrum Justitia AB | 3,718,208 | ||||||
| 124,491 | Investor AB | 3,341,445 | ||||||
| 58,205 | Loomis AB | 1,118,532 | ||||||
| 139,372 | Nordea Bank AB | 1,556,405 | ||||||
| 382,903 | Skandinaviska Enskilda Banken AB | 3,655,577 | ||||||
| 92,538 | Svenska Cellulosa AB | 2,320,736 | ||||||
| 83,066 | Swedbank AB | 1,902,590 | ||||||
|
| |||||||
| Total | 20,931,124 | |||||||
|
| |||||||
| Switzerland (8.7%) | |||||||
| 66,980 | Actelion, Ltd.b | 4,034,720 | ||||||
| 154,950 | Adecco SAb | 8,824,705 | ||||||
| 15,517 | Bucher Industries AG | 3,712,481 | ||||||
| 9,539 | Burckhardt Compression Holding AG | 3,797,220 | ||||||
| 58,525 | Compagnie Financiere Richemont SA | 5,161,220 | ||||||
| 403,404 | Credit Suisse Group AGb | 10,679,752 | ||||||
| 289,593 | EFG International AGb | 3,522,729 | ||||||
| 6,899 | Givaudan SAb | 8,889,879 | ||||||
| 1,081,185 | Glencore Xstrata plc | 4,475,573 | ||||||
| 193,031 | Holcim, Ltd.b | 13,436,174 | ||||||
| 36,338 | Implenia AGb | 1,811,995 | ||||||
| 218,294 | Nestle SA | 14,324,539 | ||||||
| 231,800 | Novartis AG | 16,418,521 | ||||||
| 107,539 | Roche Holding AG | 26,690,894 | ||||||
| 6,107 | Swatch Group AG | 3,342,670 | ||||||
|
| |||||||
| Total | 129,123,072 | |||||||
|
| |||||||
| Taiwan (0.8%) | |||||||
| 363,000 | Advanced Semiconductor Engineering, Inc. | 302,178 | ||||||
| 397,000 | Chipbond Technology Corporation | 966,041 | ||||||
| 2,694,000 | Compal Electronics, Inc. | 1,506,228 | ||||||
| 406,000 | Novatek Microelectronics Corporation | 1,956,055 | ||||||
| 252,000 | Taiwan Fertilizer Company, Ltd. | 605,872 | ||||||
| 290,300 | Taiwan Mobile Company, Ltd. | 1,143,682 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
140
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (88.8%) | Value | ||||||
| Taiwan (0.8%) - continued | |||||||
| 916,951 | Taiwan Semiconductor Manufacturing Company, Ltd. | $ | 3,319,451 | |||||
| 34,295 | Taiwan Semiconductor Manufacturing Company, Ltd. ADR | 628,284 | ||||||
| 87,000 | TPK Holding Company, Ltd. | 1,383,978 | ||||||
| 107,000 | Walsin Lihwa Corporationb | 30,114 | ||||||
|
| |||||||
| Total | 11,841,883 | |||||||
|
| |||||||
| Thailand (2.2%) | |||||||
| 729,675 | Bangkok Bank pcl | 4,859,862 | ||||||
| 308,400 | Kasikornbank pcl | 1,882,865 | ||||||
| 13,750,600 | Krung Thai Bank pcl | 8,936,074 | ||||||
| 238,100 | PTT Exploration & Production pcl | 1,211,050 | ||||||
| 871,350 | PTT pcl | 9,370,298 | ||||||
| 133,100 | Siam Cement pcl | 1,953,038 | ||||||
| 269,200 | Siam Commercial Bank pcl | 1,482,380 | ||||||
| 1,343,300 | Thai Oil pcl | 2,708,569 | ||||||
|
| |||||||
| Total | 32,404,136 | |||||||
|
| |||||||
| Turkey (0.3%) | |||||||
| 522,982 | Akbank TAS | 2,128,156 | ||||||
| 55,340 | BIM Birlesik Magazalar AS | 1,200,307 | ||||||
| 268,000 | Turkiye Garanti Bankasi AS | 1,168,209 | ||||||
|
| |||||||
| Total | 4,496,672 | |||||||
|
| |||||||
| United Kingdom (9.8%) | |||||||
| 467,437 | Aberdeen Asset Management plc | 2,720,334 | ||||||
| 1,020,038 | Afren plcb | 2,010,817 | ||||||
| 233,574 | ARM Holdings plc | 2,825,580 | ||||||
| 97,624 | Associated British Foods plc | 2,575,343 | ||||||
| 214,275 | Babcock International Group plc | 3,597,894 | ||||||
| 2,642,693 | BAE Systems plc | 15,389,776 | ||||||
| 184,722 | Bellway plc | 3,567,137 | ||||||
| 30,000 | BHP Billiton plc | 770,761 | ||||||
| 170,509 | British American Tobacco plc | 8,745,385 | ||||||
| 306,657 | Devro plc | 1,360,366 | ||||||
| 117,664 | Diageo plc | 3,374,190 | ||||||
| 124,350 | easyJet plc | 2,451,067 | ||||||
| 328,506 | Elementis plc | 1,096,169 | ||||||
| 196,924 | GlaxoSmithKline plc | 4,922,388 | ||||||
| 502,306 | Halma plc | 3,845,988 | ||||||
| 46,795 | Hikma Pharmaceuticals plc | 677,197 | ||||||
| 626,804 | Howden Joinery Group plc | 2,420,333 | ||||||
| 173,650 | HSBC Holdings plc ADRa | 9,012,435 | ||||||
| 284,386 | Inchcape plc | 2,165,193 | ||||||
| 616,061 | Intermediate Capital Group plc | 4,074,717 | ||||||
| 1,613,186 | ITV plc | 3,439,422 | ||||||
| 137,656 | London Stock Exchange Group plc | 2,798,011 | ||||||
| 160,670 | Mondi plc | 2,000,447 | ||||||
| 529,011 | Moneysupermarket.com Group plc | 1,538,326 | ||||||
| 30,161 | Next plc | 2,089,271 | ||||||
| 779,333 | Pace plc | 2,867,321 | ||||||
| 199,814 | Persimmon plcb | 3,586,861 | ||||||
| 139,758 | Prudential plc | 2,281,252 | ||||||
| 98,029 | Royal Dutch Shell plc | 3,246,637 | ||||||
| 32,588 | SABMiller plc | 1,578,811 | ||||||
| 104,045 | Spirax-Sarco Engineering plc | 4,264,187 | ||||||
| 1,475,654 | Spirent Communications plc | 3,158,133 | ||||||
| 166,070 | Sports Direct International plcb | 1,397,544 | ||||||
| 87,653 | Standard Chartered plc | 1,902,992 | ||||||
| 223,930 | Tate & Lyle plc | 2,809,593 | ||||||
| 1,414,077 | Taylor Wimpey plc | 2,060,331 | ||||||
| 257,316 | Telecity Group plc | 3,965,280 | ||||||
| 1,798,850 | Tesco plc | 9,058,731 | ||||||
| 90,888 | Unilever plc | 3,679,367 | ||||||
| 2,768,487 | Vodafone Group plc | 7,933,639 | ||||||
| 476,116 | William Hill plc | 3,192,791 | ||||||
|
| |||||||
| Total | 146,452,017 | |||||||
|
| |||||||
| United States (0.2%) | |||||||
| 76,020 | iShares MSCI Emerging Markets Index Fund | 2,932,091 | ||||||
|
| |||||||
| Total | 2,932,091 | |||||||
|
| |||||||
Total Common Stock (cost $1,265,769,987) | 1,313,568,986 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (8.4%) | |||||||
| Angola (<0.1%) | |||||||
| Republic of Angola Via Northern Lights III BV | ||||||||
| 320,000 | 7.000%, 8/16/2019 | 328,800 | ||||||
|
| |||||||
| Total | 328,800 | |||||||
|
| |||||||
| Argentina (0.1%) | |||||||
| Arcos Dorados SA | ||||||||
| 331,000 | 7.500%, 10/1/2019 | 352,929 | ||||||
| Argentina Government International Bond | ||||||||
| 819,877 | 7.820%, 12/31/2033e | 592,288 | ||||||
| 7,362,000 | 0.000%, 12/15/2035e,f | 516,507 | ||||||
| 100,000 | 2.260%, 12/31/2038e,g | 41,796 | ||||||
| 1,640,000 | 2.500%, 12/31/2038g | 533,000 | ||||||
|
| |||||||
| Total | 2,036,520 | |||||||
|
| |||||||
| Azerbaijan (<0.1%) | |||||||
| State Oil Company of Azerbaijan Republic | ||||||||
| 200,000 | 5.450%, 2/9/2017 | 205,500 | ||||||
|
| |||||||
| Total | 205,500 | |||||||
|
| |||||||
| Belarus (<0.1%) | |||||||
| Belarus Government International Bond | ||||||||
| 289,000 | 8.750%, 8/3/2015 | 289,723 | ||||||
|
| |||||||
| Total | 289,723 | |||||||
|
| |||||||
| Belize (<0.1%) | |||||||
| Belize Government International Bond | ||||||||
| 116,500 | 5.000%, 2/20/2038g,h | 66,988 | ||||||
|
| |||||||
| Total | 66,988 | |||||||
|
| |||||||
| Brazil (0.3%) | |||||||
| Andrade Gutierrez International SA | ||||||||
| 340,000 | 4.000%, 4/30/2018d | 319,600 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (8.4%) | Value | ||||||
| Brazil (0.3%) - continued | |||||||
| Banco do Estado do Rio Grande de Sul SA | ||||||||
| $200,000 | 7.375%, 2/2/2022 | $ | 206,000 | |||||
| Banco do Estado do Rio Grande do Sul SA | ||||||||
| 680,000 | 7.375%, 2/2/2022d | 700,400 | ||||||
| Brazil Government International Bond | ||||||||
| 1,206,000 | Zero Coupon, 8/15/2050i | 1,399,876 | ||||||
| 100,000 | 5.875%, 1/15/2019 | 113,900 | ||||||
| 580,000 | 4.875%, 1/22/2021 | 619,150 | ||||||
| Brazil Minas SPE via State of Minas Gerais | ||||||||
| 1,270,000 | 5.333%, 2/15/2028d | 1,231,900 | ||||||
| Independencia International, Ltd. | ||||||||
| 95,246 | 12.000%, 12/30/2016d,j,k | 0 | ||||||
| OGX Austria GmbH | ||||||||
| 200,000 | 8.375%, 4/1/2022d | 58,000 | ||||||
|
| |||||||
| Total | 4,648,826 | |||||||
|
| |||||||
| Canada (0.1%) | |||||||
| Eldorado Gold Corporation | ||||||||
| 430,000 | 6.125%, 12/15/2020d | 414,950 | ||||||
| PTTEP Canada International Finance, Ltd. | ||||||||
| 270,000 | 5.692%, 4/5/2021d | 288,516 | ||||||
| 540,000 | 6.350%, 6/12/2042 | 562,963 | ||||||
|
| |||||||
| Total | 1,266,429 | |||||||
|
| |||||||
| Cayman Islands (0.1%) | |||||||
| Dubai Holding Commercial Operations MTN, Ltd. | ||||||||
| 250,000 | 6.000%, 2/1/2017l | 368,833 | ||||||
| Raizen Fuels Finance, Ltd. | ||||||||
| 520,000 | 9.500%, 8/15/2014 | 554,320 | ||||||
| Sun Hung Kai Properties Capital Market, Ltd. | ||||||||
| 380,000 | 4.500%, 2/14/2022 | 374,383 | ||||||
|
| |||||||
| Total | 1,297,536 | |||||||
|
| |||||||
| Chile (0.3%) | |||||||
| AES Gener SA | ||||||||
| 120,000 | 5.250%, 8/15/2021d | 123,765 | ||||||
| 520,000 | 5.250%, 8/15/2021 | 536,317 | ||||||
| Banco de Credito e Inversiones | ||||||||
| 200,000 | 3.000%, 9/13/2017 | 196,027 | ||||||
| 1,150,000 | 3.000%, 9/13/2017d | 1,127,157 | ||||||
| Banco del Estado de Chile | ||||||||
| 200,000 | 4.125%, 10/7/2020 | 200,572 | ||||||
| 260,000 | 4.125%, 10/7/2020d | 260,744 | ||||||
| CFR International SPA | ||||||||
| 340,000 | 5.125%, 12/6/2022 | 333,193 | ||||||
| Chile Government International Bond | ||||||||
| 130,000 | 3.875%, 8/5/2020 | 136,500 | ||||||
| 520,000 | 3.250%, 9/14/2021 | 520,000 | ||||||
| 900,000 | 3.625%, 10/30/2042 | 742,500 | ||||||
| CorpGroup Banking SA | ||||||||
| 290,000 | 6.750%, 3/15/2023d | 292,037 | ||||||
| E-CL SA | ||||||||
| $320,000 | 5.625%, 1/15/2021d | 332,252 | ||||||
|
| |||||||
| Total | 4,801,064 | |||||||
|
| |||||||
| China (<0.1%) | |||||||
| CNOOC Finance 2013, Ltd. | ||||||||
| 280,000 | 4.250%, 5/9/2043 | 234,793 | ||||||
| Sparkle Assets, Ltd. | ||||||||
| 220,000 | 6.875%, 1/30/2020 | 208,628 | ||||||
|
| |||||||
| Total | 443,421 | |||||||
|
| |||||||
| Colombia (0.5%) | |||||||
| Banco de Bogota SA | ||||||||
| 650,000 | 5.000%, 1/15/2017 | 672,750 | ||||||
| Bancolombia SA | ||||||||
| 240,000 | 6.125%, 7/26/2020 | 248,400 | ||||||
| 200,000 | 5.950%, 6/3/2021 | 212,500 | ||||||
| Colombia Government International Bond | ||||||||
| 30,000 | 8.250%, 12/22/2014 | 32,700 | ||||||
| 400,000 | 7.375%, 1/27/2017 | 466,000 | ||||||
| 1,695,000 | 7.375%, 3/18/2019 | 2,061,120 | ||||||
| 730,000 | 2.625%, 3/15/2023 | 651,525 | ||||||
| 60,000 | 8.125%, 5/21/2024 | 79,500 | ||||||
| 590,000 | 7.375%, 9/18/2037 | 753,725 | ||||||
| 830,000 | 6.125%, 1/18/2041 | 923,375 | ||||||
| Empresa de Energia de Bogota SA | ||||||||
| 420,000 | 6.125%, 11/10/2021d | 434,700 | ||||||
| 660,000 | 6.125%, 11/10/2021 | 683,100 | ||||||
| Empresas Publicas de Medellin ESP | ||||||||
| 277,000 | 7.625%, 7/29/2019 | 317,165 | ||||||
| Pacific Rubiales Energy Corporation | ||||||||
| 400,000 | 5.125%, 3/28/2023d | 378,000 | ||||||
| Transportadora de Gas del Internacional SA ESP | ||||||||
| 200,000 | 5.700%, 3/20/2022d | 206,500 | ||||||
|
| |||||||
| Total | 8,121,060 | |||||||
|
| |||||||
| Costa Rica (0.2%) | |||||||
| Costa Rica Government International Bond | ||||||||
| 30,000 | 9.995%, 8/1/2020 | 39,750 | ||||||
| 960,000 | 4.250%, 1/26/2023d | 888,000 | ||||||
| 640,000 | 4.375%, 4/30/2025 | 587,200 | ||||||
| 580,000 | 5.625%, 4/30/2043a,d | 524,900 | ||||||
|
| |||||||
| Total | 2,039,850 | |||||||
|
| |||||||
| Croatia (<0.1%) | |||||||
| Hrvatska Elektroprivreda | ||||||||
| 290,000 | 6.000%, 11/9/2017d | 291,160 | ||||||
|
| |||||||
| Total | 291,160 | |||||||
|
| |||||||
| Dominican Republic (0.3%) | |||||||
| Aeropuertos Dominicanos Siglo XXI SA | ||||||||
| 300,000 | 9.250%, 11/13/2019d | 300,750 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
142
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Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (8.4%) | Value | ||||||
| Dominican Republic (0.3%) - continued | |||||||
| Dominican Republic Government International Bond | ||||||||
| $2,068,000 | 7.500%, 5/6/2021 | $ | 2,228,270 | |||||
| 100,000 | 7.500%, 5/6/2021d | 107,750 | ||||||
| 2,600,000 | 14.500%, 2/10/2023m | 73,897 | ||||||
| 740,000 | 5.875%, 4/18/2024d | 712,250 | ||||||
| 800,000 | 18.500%, 2/4/2028m | 27,341 | ||||||
| 16,900,000 | 18.500%, 2/4/2028h,m | 577,589 | ||||||
|
| |||||||
| Total | 4,027,847 | |||||||
|
| |||||||
| Egypt (<0.1%) | |||||||
| Egypt Government International Bond | ||||||||
| 800,000 | 5.750%, 4/29/2020 | 628,160 | ||||||
| 100,000 | 6.875%, 4/30/2040 | 71,020 | ||||||
|
| |||||||
| Total | 699,180 | |||||||
|
| |||||||
| Gabon (0.1%) | |||||||
| Gabon Government International Bond | ||||||||
| 780,000 | 8.200%, 12/12/2017 | 877,500 | ||||||
|
| |||||||
| Total | 877,500 | |||||||
|
| |||||||
| Ghana (<0.1%) | |||||||
| Ghana Government International Bond | ||||||||
| 350,000 | 8.500%, 10/4/2017 | 369,250 | ||||||
|
| |||||||
| Total | 369,250 | |||||||
|
| |||||||
| Guatemala (<0.1%) | |||||||
| Guatemala Government International Bond | ||||||||
| 350,000 | 5.750%, 6/6/2022d | 355,250 | ||||||
| 380,000 | 4.875%, 2/13/2028d | 343,900 | ||||||
|
| |||||||
| Total | 699,150 | |||||||
|
| |||||||
| Honduras (0.1%) | |||||||
| Honduras Government International Bond | ||||||||
| 200,000 | 7.500%, 3/15/2024 | 172,000 | ||||||
| 1,400,000 | 7.500%, 3/15/2024d | 1,204,000 | ||||||
|
| |||||||
| Total | 1,376,000 | |||||||
|
| |||||||
| Hong Kong (0.1%) | |||||||
| China Oil & Gas Group, Ltd. | ||||||||
| 200,000 | 5.250%, 4/25/2018d | 197,000 | ||||||
| Hainan Airlines Hong Kong Company, Ltd. | ||||||||
| 280,000 | 3.625%, 2/7/2020 | 262,455 | ||||||
| Metropolitan Light International, Ltd. | ||||||||
| 400,000 | 5.250%, 1/17/2018 | 372,768 | ||||||
| Yingde Gases Investment, Ltd. | ||||||||
| 350,000 | 8.125%, 4/22/2018d | 339,500 | ||||||
|
| |||||||
| Total | 1,171,723 | |||||||
|
| |||||||
| Hungary (0.1%) | |||||||
| Hungary Government International Bond | ||||||||
| 450,000 | 4.375%, 7/4/2017e | 579,882 | ||||||
| 360,000 | 5.375%, 2/21/2023 | 346,500 | ||||||
| 160,000 | 7.625%, 3/29/2041 | 167,040 | ||||||
|
| |||||||
| Total | 1,093,422 | |||||||
|
| |||||||
| India (0.1%) | |||||||
| Bharti Airtel International Netherlands BV | ||||||||
| 380,000 | 5.125%, 3/11/2023d | 345,344 | ||||||
| Vedanta Resources plc | ||||||||
| 520,000 | 7.125%, 5/31/2023d | 491,400 | ||||||
|
| |||||||
| Total | 836,744 | |||||||
|
| |||||||
| Indonesia (0.6%) | |||||||
| Indonesia Government International Bond | ||||||||
| 49,000 | 6.875%, 1/17/2018 | 55,003 | ||||||
| 400,000 | 11.625%, 3/4/2019d | 544,000 | ||||||
| 1,280,000 | 11.625%, 3/4/2019 | 1,740,800 | ||||||
| 1,400,000 | 3.375%, 4/15/2023d | 1,256,500 | ||||||
| 455,000 | 8.500%, 10/12/2035 | 598,325 | ||||||
| 1,940,000 | 7.750%, 1/17/2038 | 2,395,900 | ||||||
| 730,000 | 4.625%, 4/15/2043d | 638,750 | ||||||
| Perusahaan Penerbit SBSN | ||||||||
| 200,000 | 4.000%, 11/21/2018d | 194,000 | ||||||
| PT Pertamina Persero | ||||||||
| 1,040,000 | 5.625%, 5/20/2043d | 899,600 | ||||||
|
| |||||||
| Total | 8,322,878 | |||||||
|
| |||||||
| Iraq (0.1%) | |||||||
| Iraq Government International Bond | ||||||||
| 1,200,000 | 5.800%, 1/15/2028 | 996,000 | ||||||
|
| |||||||
| Total | 996,000 | |||||||
|
| |||||||
| Ireland (0.1%) | |||||||
| MTS International Funding, Ltd. | ||||||||
| 690,000 | 8.625%, 6/22/2020 | 810,750 | ||||||
| Sibur Securities, Ltd. | ||||||||
| 520,000 | 3.914%, 1/31/2018d | 481,000 | ||||||
|
| |||||||
| Total | 1,291,750 | |||||||
|
| |||||||
| Israel (<0.1%) | |||||||
| Israel Electric Corporation, Ltd. | ||||||||
| 230,000 | 5.625%, 6/21/2018d | 236,325 | ||||||
|
| |||||||
| Total | 236,325 | |||||||
|
| |||||||
| Italy (<0.1%) | |||||||
| Wind Acquisition Finance SA | ||||||||
| 200,000 | 6.500%, 4/30/2020d | 198,500 | ||||||
|
| |||||||
| Total | 198,500 | |||||||
|
| |||||||
| Ivory Coast (0.2%) | |||||||
| Ivory Coast Government International Bond | ||||||||
| 3,489,000 | 5.750%, 12/31/2032 | 2,860,980 | ||||||
|
| |||||||
| Total | 2,860,980 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (8.4%) | Value | ||||||
| Kazakhstan (0.3%) | |||||||
| Kazatomprom Natsionalnaya Atomnaya Kompaniya AO | ||||||||
| $220,000 | 6.250%, 5/20/2015 | $ | 228,800 | |||||
| KazMunayGas National Company | ||||||||
| 450,000 | 11.750%, 1/23/2015 | 509,625 | ||||||
| 1,370,000 | 6.375%, 4/9/2021d | 1,486,450 | ||||||
| 1,510,000 | 5.750%, 4/30/2043h | 1,336,350 | ||||||
| Samruk-Energy JSC | ||||||||
| 200,000 | 3.750%, 12/20/2017 | 190,500 | ||||||
|
| |||||||
| Total | 3,751,725 | |||||||
|
| |||||||
| Luxembourg (0.2%) | |||||||
| Gazprom OAO Via Gaz Capital SA | ||||||||
| 200,000 | 5.999%, 1/23/2021 | 207,000 | ||||||
| Millicom International Cellular SA | ||||||||
| 280,000 | 4.750%, 5/22/2020d | 266,073 | ||||||
| Telefonica Celular del Paraguay SA | ||||||||
| 400,000 | 6.750%, 12/13/2022 | 415,000 | ||||||
| TNK-BP Finance SA | ||||||||
| 282,000 | 7.500%, 7/18/2016 | 312,668 | ||||||
| 390,000 | 7.875%, 3/13/2018 | 443,625 | ||||||
| 476,000 | 7.250%, 2/2/2020 | 533,119 | ||||||
| Vimpel Communications OJSC Via UBS Luxembourg SA | ||||||||
| 100,000 | 8.250%, 5/23/2016 | 109,250 | ||||||
| Wind Acquisition Finance SA | ||||||||
| 140,000 | 11.750%, 7/15/2017d | 145,600 | ||||||
|
| |||||||
| Total | 2,432,335 | |||||||
|
| |||||||
| Malaysia (<0.1%) | |||||||
| Wakala Global Sukuk Bhd | ||||||||
| 420,000 | 4.646%, 7/6/2021 | 440,541 | ||||||
|
| |||||||
| Total | 440,541 | |||||||
|
| |||||||
| Mexico (0.6%) | |||||||
| Grupo Cementos de Chihuahua SAB de CV | ||||||||
| 200,000 | 8.125%, 2/8/2020d | 205,500 | ||||||
| Grupo KUO SAB de CV | ||||||||
| 350,000 | 6.250%, 12/4/2022d | 358,313 | ||||||
| Metalsa SA de CV | ||||||||
| 350,000 | 4.900%, 4/24/2023d | 332,500 | ||||||
| Mexican Bonos | ||||||||
| 5,134,300 | 7.500%, 6/3/2027n | 443,788 | ||||||
| 1,341,500 | 8.500%, 5/31/2029n | 123,406 | ||||||
| 241,000 | 7.750%, 5/29/2031n | 20,555 | ||||||
| 1,681,700 | 10.000%, 11/20/2036n | 172,774 | ||||||
| 268,300 | 8.500%, 11/18/2038n | 24,119 | ||||||
| 8,495,200 | 7.750%, 11/13/2042n | 706,111 | ||||||
| Mexico Government International Bond | ||||||||
| 990,000 | 5.875%, 1/15/2014 | 1,012,770 | ||||||
| 20,000 | 6.625%, 3/3/2015 | 21,700 | ||||||
| 100,000 | 5.625%, 1/15/2017 | 111,150 | ||||||
| 266,000 | 5.950%, 3/19/2019 | 304,437 | ||||||
| 370,000 | 3.625%, 3/15/2022 | 362,600 | ||||||
| 110,000 | 6.750%, 9/27/2034 | 129,800 | ||||||
| 908,000 | 6.050%, 1/11/2040 | 989,720 | ||||||
| 1,890,000 | 4.750%, 3/8/2044 | 1,682,099 | ||||||
| 180,000 | 5.750%, 10/12/2110 | 164,250 | ||||||
| Pemex Project Funding Master Trust | ||||||||
| 300,000 | 6.625%, 6/15/2035 | 315,000 | ||||||
| Petroleos Mexicanos | ||||||||
| 45,000 | 8.000%, 5/3/2019 | 54,450 | ||||||
| 80,000 | 5.500%, 1/21/2021 | 85,200 | ||||||
| 1,070,000 | 4.875%, 1/24/2022 | 1,091,400 | ||||||
| 90,000 | 5.500%, 6/27/2044d | 81,000 | ||||||
| Tenedora Nemak SA de CV | ||||||||
| 350,000 | 5.500%, 2/28/2023d | 331,625 | ||||||
|
| |||||||
| Total | 9,124,267 | |||||||
|
| |||||||
| Netherlands (0.1%) | |||||||
| Ajecorp BV | ||||||||
| 310,000 | 6.500%, 5/14/2022 | 315,580 | ||||||
| Kazakhstan Temir Zholy Finance BV | ||||||||
| 390,000 | 6.950%, 7/10/2042d | 396,357 | ||||||
| Listrindo Capital BV | ||||||||
| 340,000 | 6.950%, 2/21/2019 | 346,800 | ||||||
| VimpelCom Holdings BV | ||||||||
| 580,000 | 7.504%, 3/1/2022d | 600,300 | ||||||
| 200,000 | 5.950%, 2/13/2023d | 187,000 | ||||||
|
| |||||||
| Total | 1,846,037 | |||||||
|
| |||||||
| Nigeria (0.1%) | |||||||
| Nigeria Government International Bond | ||||||||
| 850,000 | 6.750%, 1/28/2021 | 888,250 | ||||||
|
| |||||||
| Total | 888,250 | |||||||
|
| |||||||
| Pakistan (<0.1%) | |||||||
| Pakistan Government International Bond | ||||||||
| 370,000 | 6.875%, 6/1/2017 | 344,100 | ||||||
| 100,000 | 7.875%, 3/31/2036 | 75,000 | ||||||
|
| |||||||
| Total | 419,100 | |||||||
|
| |||||||
| Panama (0.2%) | |||||||
| Panama Government International Bond | ||||||||
| 200,000 | 4.300%, 4/29/2053 | 160,500 | ||||||
| 430,000 | 7.250%, 3/15/2015 | 469,775 | ||||||
| 286,000 | 8.875%, 9/30/2027 | 394,680 | ||||||
| 990,000 | 9.375%, 4/1/2029 | 1,435,500 | ||||||
| 790,000 | 6.700%, 1/26/2036 | 918,375 | ||||||
|
| |||||||
| Total | 3,378,830 | |||||||
|
| |||||||
| Paraguay (0.1%) | |||||||
| Banco Continental SAECA | ||||||||
| 170,000 | 8.875%, 10/15/2017d | 181,475 | ||||||
| Paraguay Government International Bond | ||||||||
| 410,000 | 4.625%, 1/25/2023 | 395,650 | ||||||
| 930,000 | 4.625%, 1/25/2023d | 897,450 | ||||||
|
| |||||||
| Total | 1,474,575 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
144
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Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (8.4%) | Value | ||||||
| Peru (0.3%) | |||||||
| Ajecorp BV | ||||||||
| $160,000 | 6.500%, 5/14/2022d | $ | 162,880 | |||||
| Banco de Credito del Peru | ||||||||
| 290,000 | 6.125%, 4/24/2027d | 293,625 | ||||||
| Corporacion Financiera de Desarrollo SA | ||||||||
| 200,000 | 4.750%, 2/8/2022 | 197,000 | ||||||
| 200,000 | 4.750%, 2/8/2022d | 197,000 | ||||||
| Corporacion Lindley SA | ||||||||
| 200,000 | 6.750%, 11/23/2021 | 217,500 | ||||||
| 70,000 | 6.750%, 11/23/2021d | 76,125 | ||||||
| 100,000 | 4.625%, 4/12/2023d | 97,000 | ||||||
| Peru Government International Bond | ||||||||
| 440,000 | 5.625%, 11/18/2050 | 453,200 | ||||||
| 600,000 | 7.350%, 7/21/2025 | 768,000 | ||||||
| 354,000 | 8.750%, 11/21/2033 | 515,070 | ||||||
| 670,000 | 6.550%, 3/14/2037 | 790,600 | ||||||
| Transportadora de Gas del Peru SA | ||||||||
| 350,000 | 4.250%, 4/30/2028d | 309,750 | ||||||
|
| |||||||
| Total | 4,077,750 | |||||||
|
| |||||||
| Philippines (0.1%) | |||||||
| Energy Development Corporation | ||||||||
| 240,000 | 6.500%, 1/20/2021 | 257,441 | ||||||
| Philippines Government International Bond | ||||||||
| 1,020,000 | 7.500%, 9/25/2024 | 1,305,600 | ||||||
|
| |||||||
| Total | 1,563,041 | |||||||
|
| |||||||
| Romania (0.1%) | |||||||
| Romania Government International Bond | ||||||||
| 45,000 | 6.500%, 6/18/2018e | 64,671 | ||||||
| 270,000 | 6.750%, 2/7/2022 | 301,010 | ||||||
| 690,000 | 6.750%, 2/7/2022d | 769,247 | ||||||
| 170,000 | 4.375%, 8/22/2023d | 161,503 | ||||||
|
| |||||||
| Total | 1,296,431 | |||||||
|
| |||||||
| Russia (0.7%) | |||||||
| AHML Finance, Ltd. | ||||||||
| 10,700,000 | 7.750%, 2/13/2018d,o | 317,845 | ||||||
| EDC Finance, Ltd. | ||||||||
| 300,000 | 4.875%, 4/17/2020d | 274,500 | ||||||
| Gazprom Neft Capital SA | ||||||||
| 490,000 | 4.375%, 9/19/2022d | 448,767 | ||||||
| Lukoil International Finance BV | ||||||||
| 310,000 | 6.125%, 11/9/2020 | 326,275 | ||||||
| Phosagro OAO Via Phosagro Bond Funding, Ltd. | ||||||||
| 310,000 | 4.204%, 2/13/2018d | 305,350 | ||||||
| Rosneft Oil Company via Rosneft International Finance, Ltd. | ||||||||
| 500,000 | 4.199%, 3/6/2022d | 463,250 | ||||||
| Russia Government International Bond | ||||||||
| 1,100,000 | 5.000%, 4/29/2020 | 1,177,000 | ||||||
| 1,000,000 | 4.500%, 4/4/2022 | 1,021,370 | ||||||
| 1,800,000 | 4.500%, 4/4/2022a,d | 1,838,466 | ||||||
| 1,918,375 | 7.500%, 3/31/2030 | 2,246,896 | ||||||
| Sberbank of Russia Via SB Capital SA | ||||||||
| 260,000 | 5.717%, 6/16/2021 | 265,200 | ||||||
| Uralkali OJSC | ||||||||
| 290,000 | 3.723%, 4/30/2018a,d | 278,763 | ||||||
|
| |||||||
| Total | 8,963,682 | |||||||
|
| |||||||
| Slovenia (0.2%) | |||||||
| Slovenia Government International Bond | ||||||||
| 400,000 | 5.500%, 10/26/2022 | 368,000 | ||||||
| 2,290,000 | 5.500%, 10/26/2022d | 2,106,800 | ||||||
| 570,000 | 5.850%, 5/10/2023d | 530,100 | ||||||
|
| |||||||
| Total | 3,004,900 | |||||||
|
| |||||||
| South Africa (<0.1%) | |||||||
| Peermont Global Proprietary, Ltd. | ||||||||
| 250,000 | 7.750%, 4/30/2014e | 320,530 | ||||||
|
| |||||||
| Total | 320,530 | |||||||
|
| |||||||
| Spain (<0.1%) | |||||||
| BC Luxco 1 SA | ||||||||
| 200,000 | 7.375%, 1/29/2020 | 190,000 | ||||||
|
| |||||||
| Total | 190,000 | |||||||
|
| |||||||
| Supranational (0.1%) | |||||||
| Corporacion Andina de Fomento | ||||||||
| 639,000 | 3.750%, 1/15/2016 | 674,571 | ||||||
| 600,000 | 5.750%, 1/12/2017 | 663,847 | ||||||
| 643,000 | 4.375%, 6/15/2022 | 654,760 | ||||||
|
| |||||||
| Total | 1,993,178 | |||||||
|
| |||||||
| Thailand (<0.1%) | |||||||
| PTT pcl | ||||||||
| 200,000 | 3.375%, 10/25/2022 | 181,487 | ||||||
|
| |||||||
| Total | 181,487 | |||||||
|
| |||||||
| Turkey (0.3%) | |||||||
| Anadolu Efes Biracilik Ve Malt Sanayii AS | ||||||||
| 520,000 | 3.375%, 11/1/2022d | 447,200 | ||||||
| Export Credit Bank of Turkey | ||||||||
| 200,000 | 5.875%, 4/24/2019 | 206,000 | ||||||
| Hazine Mustesarligi Varlik Kiralama AS | ||||||||
| 2,360,000 | 2.803%, 3/26/2018 | 2,242,000 | ||||||
| Turkey Government International Bond | ||||||||
| 320,000 | 7.000%, 3/11/2019 | 366,400 | ||||||
| 150,000 | 7.375%, 2/5/2025 | 177,750 | ||||||
| 400,000 | 7.250%, 3/5/2038 | 466,000 | ||||||
| 400,000 | 6.000%, 1/14/2041 | 399,000 | ||||||
| Turkiye Vakiflar Bankasi Tao | ||||||||
| 680,000 | 3.750%, 4/15/2018d | 639,200 | ||||||
|
| |||||||
| Total | 4,943,550 | |||||||
|
| |||||||
| Ukraine (0.3%) | |||||||
| MHP SA | ||||||||
| 200,000 | 8.250%, 4/2/2020d | 181,440 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (8.4%) | Value | ||||||
| Ukraine (0.3%) - continued | |||||||
| State Export-Import Bank of Ukraine JSC Via Biz Finance plc | ||||||||
| $340,000 | 8.750%, 1/22/2018 | $ | 299,200 | |||||
| Ukraine Government International Bond | ||||||||
| 1,840,000 | 9.250%, 7/24/2017 | 1,835,400 | ||||||
| 460,000 | 8.375%, 11/3/2017 | 423,200 | ||||||
| 200,000 | 7.400%, 4/20/2018 | 177,510 | ||||||
| 770,000 | 7.800%, 11/28/2022 | 687,225 | ||||||
| 830,000 | 7.800%, 11/28/2022d | 740,775 | ||||||
|
| |||||||
| Total | 4,344,750 | |||||||
|
| |||||||
| United Arab Emirates (0.1%) | |||||||
| ADCB Finance Cayman, Ltd. | ||||||||
| 600,000 | 4.500%, 3/6/2023 | 588,000 | ||||||
| Dolphin Energy, Ltd. | ||||||||
| 540,588 | 5.888%, 6/15/2019 | 589,241 | ||||||
| National Bank of Abu Dhabi PJSC | ||||||||
| 200,000 | 3.000%, 8/13/2019 | 192,000 | ||||||
|
| |||||||
| Total | 1,369,241 | |||||||
|
| |||||||
| United Kingdom (<0.1%) | |||||||
| Ferrexpo Finance plc | ||||||||
| 200,000 | 7.875%, 4/7/2016 | 184,574 | ||||||
|
| |||||||
| Total | 184,574 | |||||||
|
| |||||||
| United States (0.3%) | |||||||
| HSBC Bank USA NA/New York | ||||||||
| 680,000 | 17.276%, 8/15/2040k,p | 782,582 | ||||||
| HSBC USA, Inc. | ||||||||
| 688,000 | 10.000%, 1/5/2017i,k | 316,099 | ||||||
| U.S. Treasury Bonds | ||||||||
| 400,000 | 2.875%, 5/15/2043 | 354,000 | ||||||
| U.S. Treasury Notes | ||||||||
| 2,100,000 | 1.375%, 6/30/2018 | 2,098,850 | ||||||
| 1,200,000 | 1.375%, 5/31/2020 | 1,158,094 | ||||||
|
| |||||||
| Total | 4,709,625 | |||||||
|
| |||||||
| Uruguay (0.1%) | |||||||
| Uruguay Government International Bond | ||||||||
| 300,000 | 6.875%, 9/28/2025 | 359,400 | ||||||
| 1,090,000 | 7.625%, 3/21/2036 | 1,376,125 | ||||||
|
| |||||||
| Total | 1,735,525 | |||||||
|
| |||||||
| Venezuela (0.6%) | |||||||
| Petroleos de Venezuela SA | ||||||||
| 331,600 | 5.250%, 4/12/2017 | 270,254 | ||||||
| 1,990,000 | 9.000%, 11/17/2021 | 1,671,599 | ||||||
| 130,000 | 5.375%, 4/12/2027 | 78,650 | ||||||
| 30,000 | 5.500%, 4/12/2037 | 17,700 | ||||||
| Venezuela Government | ||||||||
| International Bond | ||||||||
| 100,000 | 13.625%, 8/15/2018 | 102,250 | ||||||
| 350,000 | 6.000%, 12/9/2020 | 255,500 | ||||||
| 510,000 | 12.750%, 8/23/2022 | 522,750 | ||||||
| 440,000 | 9.000%, 5/7/2023 | 366,300 | ||||||
| 335,000 | 8.250%, 10/13/2024 | 259,625 | ||||||
| 4,230,000 | 7.650%, 4/21/2025 | 3,151,350 | ||||||
| 1,140,000 | 9.250%, 9/15/2027 | 963,300 | ||||||
| 90,000 | 9.250%, 5/7/2028 | 73,350 | ||||||
| 780,000 | 11.950%, 8/5/2031 | 744,900 | ||||||
| 30,000 | 9.375%, 1/13/2034 | 24,525 | ||||||
|
| |||||||
| Total | 8,502,053 | |||||||
|
| |||||||
| Vietnam (<0.1%) | |||||||
| Vietnam Government International Bond | ||||||||
| 310,000 | 6.875%, 1/15/2016 | 327,050 | ||||||
|
| |||||||
| Total | 327,050 | |||||||
|
| |||||||
| Virgin Islands, British (0.1%) | |||||||
| Central American Bottling Corporation | ||||||||
| 108,000 | 6.750%, 2/9/2022 | 113,400 | ||||||
| 210,000 | 6.750%, 2/9/2022d | 220,500 | ||||||
| CNOOC Finance 2013, Ltd. | ||||||||
| 1,300,000 | 3.000%, 5/9/2023 | 1,174,364 | ||||||
| PCCW Capital No. 4, Ltd. | ||||||||
| 200,000 | 5.750%, 4/17/2022 | 201,882 | ||||||
|
| |||||||
| Total | 1,710,146 | |||||||
|
| |||||||
| Zambia (0.1%) | |||||||
| Zambia Government International Bond | ||||||||
| 400,000 | 5.375%, 9/20/2022d | 356,000 | ||||||
| 1,010,000 | 5.375%, 9/20/2022 | 898,900 | ||||||
|
| |||||||
| Total | 1,254,900 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $133,483,751) | 125,322,199 | |||||||
|
| |||||||
| Shares | Preferred Stock (0.3%) | |||||||
| Brazil (0.2%) | |||||||
| 208,800 | Vale SA | 2,531,221 | ||||||
|
| |||||||
| Total | 2,531,221 | |||||||
|
| |||||||
| Germany (0.1%) | |||||||
| 10,261 | Draegerwerk AG & Company | |||||||
| KGaAa | 1,403,564 | |||||||
|
| |||||||
| Total | 1,403,564 | |||||||
|
| |||||||
Total Preferred Stock (cost $4,873,547) | 3,934,785 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (6.2%) | ||||||||
| 92,148,841 | Thrivent Cash Management Trust | 92,148,841 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $92,148,841) | 92,148,841 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (2.0%)q | |||||||
| Banco del Estado de Chile | ||||||||
| 775,000 | 0.200%, 8/27/2013q | 775,000 | ||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 200,000 | 0.093%, 11/22/2013q,r | 199,925 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
146
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 28, 2013 (unaudited)
(unaudited)
| Shares or Principal Amount | Short-Term Investments (2.0%)q | Value | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 7,000,000 | 0.060%, 8/21/2013q | $ | 6,999,382 | |||||
Thrivent Cash Management Trust | ||||||||
| 21,309,254 | 0.080% | 21,309,254 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 29,283,561 | |||||||
|
| |||||||
Total Investments (cost $1,525,559,687) 105.7% | $ | 1,564,258,372 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (5.7%) | (84,275,755 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 1,479,982,617 | ||||||
|
| |||||||
| a | All or a portion of the security is on loan. |
| b | Non-income producing security. |
| 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 June 28, 2013, the value of these investments was $35,524,116 or 2.4% of total net assets. |
| 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 June 28, 2013. |
| 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 June 28, 2013. |
| 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 Partner Worldwide Allocation Portfolio owned as of June 28, 2013. |
Security | Acquisition Date | Cost | ||||||
Belize Government | ||||||||
International Bond | 5/20/2013 | $ | 110,911 | |||||
Dominican Republic | ||||||||
Government International Bond | 3/6/2013 | 488,749 | ||||||
KazMunayGas National | ||||||||
Company | 4/24/2013 | 1,504,077 | ||||||
| i | Principal amount is displayed in Brazilian Real. |
| j | Defaulted security. Interest is not being accrued. |
| k | Security is fair valued. |
| l | Principal amount is displayed in British Pounds. |
| m | Principal amount is displayed in Dominican Republic Pesos. |
| n | Principal amount is displayed in Mexican Pesos. |
| o | Principal amount is displayed in Russian Rubles. |
| p | Principal amount is displayed in Brazilian Real. Security is linked to Brazilian Government Bonds due August 15, 2040. |
| q | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| r | At June 28, 2013, $199,925 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. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 155,461,282 | ||
Gross unrealized depreciation | (119,701,355 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 35,759,927 | ||
Cost for federal income tax purposes | $ | 1,528,498,445 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
147
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, in valuing Partner Worldwide Allocation Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 211,394,116 | — | 211,394,116 | — | ||||||||||||
Consumer Staples | 121,342,315 | 4,201,612 | 117,140,703 | — | ||||||||||||
Energy | 109,973,747 | 19,589,647 | 90,384,100 | — | ||||||||||||
Financials | 263,209,505 | 18,889,829 | 244,319,676 | — | ||||||||||||
Health Care | 126,239,228 | 6,099,520 | 120,139,708 | — | ||||||||||||
Industrials | 231,914,658 | 7,164,012 | 224,750,646 | — | ||||||||||||
Information Technology | 78,687,458 | 3,821,909 | 74,865,549 | — | ||||||||||||
Materials | 108,520,845 | 10,747,630 | 97,773,215 | — | ||||||||||||
Telecommunications Services | 54,779,667 | 7,519,010 | 47,260,657 | — | ||||||||||||
Utilities | 7,507,447 | — | 7,507,447 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Basic Materials | 1,675,037 | — | 1,675,037 | — | ||||||||||||
Capital Goods | 1,145,209 | — | 1,145,209 | — | ||||||||||||
Communications Services | 3,279,699 | — | 3,279,699 | — | ||||||||||||
Consumer Cyclical | 1,527,584 | — | 1,527,584 | — | ||||||||||||
Consumer Non-Cyclical^ | 2,719,138 | — | 2,719,138 | 0 | ||||||||||||
Energy | 15,844,643 | — | 15,844,643 | — | ||||||||||||
Financials | 9,642,388 | — | 8,543,707 | 1,098,681 | ||||||||||||
Foreign Government | 80,997,492 | — | 80,318,665 | 678,827 | ||||||||||||
Transportation | 959,562 | — | 959,562 | — | ||||||||||||
U.S. Government and Agencies | 3,926,737 | — | 3,926,737 | — | ||||||||||||
Utilities | 3,604,710 | — | 3,604,710 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Health Care | 1,403,564 | — | 1,403,564 | — | ||||||||||||
Materials | 2,531,221 | — | 2,531,221 | — | ||||||||||||
Collateral Held for Securities Loaned | 92,148,841 | 92,148,841 | — | — | ||||||||||||
Short-Term Investments | 29,283,561 | 21,309,254 | 7,974,307 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,564,258,372 | $ | 191,491,264 | $ | 1,370,989,600 | $ | 1,777,508 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 118,535 | 118,535 | — | — | ||||||||||||
Foreign Currency Forward Contracts | 965,675 | — | 965,675 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 1,084,210 | $ | 118,535 | $ | 965,675 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 154,832 | 154,832 | — | — | ||||||||||||
Foreign Currency Forward Contracts | 823,389 | — | 823,389 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 978,221 | $ | 154,832 | $ | 823,389 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. Transfers between Levels are identified as of the end of the period.
| ^ | Level 3 security in this section is fair valued at <$1. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
148
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | 25 | September 2013 | $ | 5,506,477 | $ | 5,500,000 | ($ | 6,477 | ) | |||||||||||
5-Yr. U.S. Treasury Bond Futures | 15 | September 2013 | 1,838,369 | 1,815,703 | (22,666 | ) | ||||||||||||||
10-Yr. U.S. Treasury Bond Futures | (102 | ) | September 2013 | (12,942,726 | ) | (12,909,375 | ) | 33,351 | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | (21 | ) | September 2013 | (2,937,904 | ) | (2,852,720 | ) | 85,184 | ||||||||||||
Mini MSCI EAFE Index Futures | 19 | September 2013 | 1,627,956 | 1,557,715 | (70,241 | ) | ||||||||||||||
Ultra Long Term U.S. Treasury Bond | ||||||||||||||||||||
Futures | 11 | September 2013 | 1,675,886 | 1,620,438 | (55,448 | ) | ||||||||||||||
Total Futures Contracts | ($ | 36,297 | ) | |||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
149
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||
Purchases | ||||||||||||||||||||||
Australian Dollar | WBC | 843,000 | 9/18/2013 | $ | 792,374 | $ | 766,051 | ($ | 26,323 | ) | ||||||||||||
Australian Dollar | DB | 557,000 | 9/18/2013 | 519,509 | 506,157 | (13,352 | ) | |||||||||||||||
Brazilian Real | RBS | 104,226 | 7/1/2013 - 7/2/2013 | 47,631 | 46,710 | (921 | ) | |||||||||||||||
Brazilian Real | DB | 784,688 | 7/10/2013 | 376,855 | 350,729 | (26,126 | ) | |||||||||||||||
Brazilian Real | JPM | 567,600 | 7/12/2013 | 264,000 | 253,585 | (10,415 | ) | |||||||||||||||
Brazilian Real | UBS | 1,146,991 | 7/8/2013 | 544,000 | 512,894 | (31,106 | ) | |||||||||||||||
British Pound | SSB | 2,840,380 | 7/2/2013 - 7/3/2013 | 4,330,244 | 4,320,101 | (10,143 | ) | |||||||||||||||
Canadian Dollar | SSB | 953,257 | 7/2/2013 | 910,800 | 906,396 | (4,404 | ) | |||||||||||||||
Chilean Peso | CSFB | 132,488,640 | 7/19/2013 | 257,000 | 260,084 | 3,084 | ||||||||||||||||
Chinese Yuan | RBS | 9,637,131 | 8/22/2013 | 1,534,697 | 1,563,117 | 28,420 | ||||||||||||||||
Chinese Yuan | HSBC | 22,778,418 | 7/8/2013 - 7/12/2013 | 3,639,120 | 3,707,361 | 68,241 | ||||||||||||||||
Chinese Yuan | BB | 13,106,280 | 8/22/2013 | 2,081,000 | 2,125,804 | 44,804 | ||||||||||||||||
Chinese Yuan | CITI | 7,396,897 | 7/12/2013 | 1,183,449 | 1,203,633 | 20,184 | ||||||||||||||||
Chinese Yuan | BOA | 785,313 | 8/22/2013 | 125,000 | 127,376 | 2,376 | ||||||||||||||||
Euro | JPM | 1,003,000 | 9/18/2013 | 1,330,548 | 1,305,876 | (24,672 | ) | |||||||||||||||
Euro | BNP | 392,000 | 9/18/2013 | 511,892 | 510,372 | (1,520 | ) | |||||||||||||||
Euro | CITI | 388,000 | 9/18/2013 | 507,678 | 505,164 | (2,514 | ) | |||||||||||||||
Euro | BOA | 398,000 | 9/18/2013 | 522,015 | 518,184 | (3,831 | ) | |||||||||||||||
Euro | DB | 872,000 | 9/18/2013 | 1,154,082 | 1,135,318 | (18,764 | ) | |||||||||||||||
Euro | BB | 398,000 | 9/18/2013 | 525,879 | 518,184 | (7,695 | ) | |||||||||||||||
Euro | RBS | 396,000 | 9/18/2013 | 514,919 | 515,580 | 661 | ||||||||||||||||
Euro | SSB | 1,128,852 | 9/18/2013 | 1,484,557 | 1,469,732 | (14,825 | ) | |||||||||||||||
Euro | BOA | 584,831 | 7/1/2013 - 7/2/2013 | 762,664 | 761,242 | (1,422 | ) | |||||||||||||||
Hong Kong Dollar | RBS | 1,193,350 | 7/2/2013 | 153,838 | 153,861 | 23 | ||||||||||||||||
Hungarian Forint | DB | 174,388,865 | 9/18/2013 | 761,897 | 763,848 | 1,951 | ||||||||||||||||
Hungarian Forint | BB | 58,760,460 | 9/18/2013 | 259,321 | 257,379 | (1,942 | ) | |||||||||||||||
Hungarian Forint | HSBC | 61,946,260 | 9/18/2013 | 273,119 | 271,333 | (1,786 | ) | |||||||||||||||
Hungarian Forint | BOA | 59,305,950 | 9/18/2013 | 264,164 | 259,768 | (4,396 | ) | |||||||||||||||
Indian Rupee | JPM | 15,811,820 | 7/12/2013 | 269,000 | 265,426 | (3,574 | ) | |||||||||||||||
Indonesian Rupiah | SSB | 457,784,725 | 7/1/2013 - 7/2/2013 | 45,921 | 46,124 | 203 | ||||||||||||||||
Israeli Shekel | CITI | 1,004,714 | 9/18/2013 | 278,399 | 275,920 | (2,479 | ) | |||||||||||||||
Israeli Shekel | ML | 727,680 | 9/18/2013 | 201,000 | 199,840 | (1,160 | ) | |||||||||||||||
Japanese Yen | DB | 52,011,808 | 9/18/2013 | 527,000 | 524,740 | (2,260 | ) | |||||||||||||||
Japanese Yen | JPM | 64,398,449 | 9/18/2013 | 656,000 | 649,706 | (6,294 | ) | |||||||||||||||
Japanese Yen | SSB | 25,760,512 | 9/18/2013 | 264,000 | 259,894 | (4,106 | ) | |||||||||||||||
Japanese Yen | SSB | 389,685,648 | 7/2/2013 - 7/3/2013 | 3,956,401 | 3,929,075 | (27,326 | ) | |||||||||||||||
Malaysian Ringgit | BB | 3,522,881 | 7/8/2013 - 7/12/2013 | 1,124,000 | 1,114,322 | (9,678 | ) | |||||||||||||||
Malaysian Ringgit | BNP | 2,533,757 | 7/12/2013 | 813,405 | 801,357 | (12,048 | ) | |||||||||||||||
Mexican Peso | SSB | 3,908,306 | 7/1/2013 | 300,062 | 301,626 | 1,564 | ||||||||||||||||
Mexican Peso | JPM | 6,773,531 | 9/18/2013 | 527,000 | 519,061 | (7,939 | ) | |||||||||||||||
Mexican Peso | SSB | 6,729,330 | 9/18/2013 | 505,000 | 515,674 | 10,674 | ||||||||||||||||
Mexican Peso | DB | 45,236,781 | 9/18/2013 | 3,527,302 | 3,466,531 | (60,771 | ) | |||||||||||||||
Mexican Peso | RBS | 74,141 | 7/2/2013 | 5,684 | 5,722 | 38 | ||||||||||||||||
Philippines Peso | CITI | 40,586,465 | 7/11/2013 - 7/26/2013 | 939,341 | 939,547 | 206 | ||||||||||||||||
Philippines Peso | BB | 10,435,369 | 7/23/2013 | 246,670 | 241,573 | (5,097 | ) | |||||||||||||||
Philippines Peso | DB | 1,192,289 | 7/23/2013 | 27,215 | 27,601 | 386 | ||||||||||||||||
Polish Zloty | BOA | 864,009 | 9/18/2013 | 259,942 | 258,950 | (992 | ) | |||||||||||||||
Polish Zloty | RBS | 280,870 | 7/2/2013 | 84,345 | 84,531 | 186 | ||||||||||||||||
Polish Zloty | DB | 4,312,317 | 9/18/2013 | 1,348,016 | 1,292,433 | (55,583 | ) | |||||||||||||||
Polish Zloty | BOM | 97,354 | 7/1/2013 | 29,271 | 29,300 | 29 | ||||||||||||||||
Polish Zloty | BB | 2,524,240 | 9/18/2013 | 777,884 | 756,533 | (21,351 | ) | |||||||||||||||
Russian Ruble | CSFB | 39,611,106 | 7/11/2013 - 7/25/2013 | 1,208,062 | 1,200,815 | (7,247 | ) | |||||||||||||||
Russian Ruble | DB | 2,463,529 | 7/11/2013 | 75,372 | 74,818 | (554 | ) | |||||||||||||||
Russian Ruble | CITI | 66,940,854 | 7/8/2013 - 7/19/2013 | 2,053,653 | 2,032,502 | (21,151 | ) | |||||||||||||||
Russian Ruble | JPM | 7,800,040 | 7/11/2013 - 7/17/2013 | 241,516 | 236,815 | (4,701 | ) | |||||||||||||||
Russian Ruble | UBS | 25,590,123 | 7/15/2013 - 7/22/2013 | 785,000 | 776,360 | (8,640 | ) | |||||||||||||||
Singapore Dollar | SSB | 328,307 | 9/18/2013 | 257,000 | 259,147 | 2,147 | ||||||||||||||||
Singapore Dollar | BOA | 244,857 | 7/1/2013 - 7/2/2013 | 192,433 | 193,181 | 748 | ||||||||||||||||
Singapore Dollar | JPM | 1,329,536 | 9/18/2013 | 1,065,000 | 1,049,460 | (15,540 | ) | |||||||||||||||
Singapore Dollar | WBC | 337,337 | 9/18/2013 | 268,000 | 266,275 | (1,725 | ) | |||||||||||||||
Singapore Dollar | HSBC | 320,636 | 9/18/2013 | 252,000 | 253,092 | 1,092 | ||||||||||||||||
South African Rand | BB | 2,546,214 | 9/18/2013 | 252,000 | 254,790 | 2,790 | ||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
150
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||
Purchases—continued | ||||||||||||||||||||||
South African Rand | BNP | 1,255,928 | 9/18/2013 | $ | 119,597 | $ | 125,676 | $ | 6,079 | |||||||||||||
South African Rand | DB | 2,669,345 | 9/18/2013 | 263,000 | 267,111 | 4,111 | ||||||||||||||||
South African Rand | RBS | 561,418 | 7/2/2013 | 56,424 | 56,795 | 371 | ||||||||||||||||
South Korean Won | CSFB | 588,291,305 | 8/1/2013 | 511,000 | 514,787 | 3,787 | ||||||||||||||||
South Korean Won | CITI | 297,584,500 | 7/15/2013 | 263,000 | 260,486 | (2,514 | ) | |||||||||||||||
South Korean Won | DB | 1,234,915,121 | 7/5/2013 | 1,093,000 | 1,081,171 | (11,829 | ) | |||||||||||||||
Swiss Franc | UBS | 249,075 | 9/18/2013 | 269,000 | 263,979 | (5,021 | ) | |||||||||||||||
Turkish Lira | MSC | 1,468,317 | 9/18/2013 | 756,518 | 751,988 | (4,530 | ) | |||||||||||||||
Turkish Lira | RBS | 5,057,608 | 9/18/2013 - 9/27/2013 | 2,675,812 | 2,588,516 | (87,296 | ) | |||||||||||||||
Total Purchases | $ | 55,002,497 | $ | 54,609,089 | ($ | 393,408 | ) | |||||||||||||||
Sales | ||||||||||||||||||||||
Australian Dollar | BB | 133,643 | 9/18/2013 | $ | 126,091 | $ | 121,444 | $ | 4,647 | |||||||||||||
Australian Dollar | SB | 281,000 | 9/18/2013 | 256,257 | 255,350 | 907 | ||||||||||||||||
Australian Dollar | WP | 135,500 | 9/18/2013 | 123,932 | 123,132 | 800 | ||||||||||||||||
Australian Dollar | DB | 139,000 | 9/18/2013 | 130,734 | 126,312 | 4,422 | ||||||||||||||||
Australian Dollar | CITI | 562,000 | 9/18/2013 | 531,695 | 510,701 | 20,994 | ||||||||||||||||
Australian Dollar | WBC | 429,857 | 9/18/2013 | 406,422 | 390,620 | 15,802 | ||||||||||||||||
Australian Dollar | SSB | 2,479,574 | 7/2/2013 | 2,305,583 | 2,267,703 | 37,880 | ||||||||||||||||
Brazilian Real | SSB | 43,587 | 7/1/2013 | 19,556 | 19,534 | 22 | ||||||||||||||||
Brazilian Real | MSC | 1,724,137 | 7/8/2013 - 8/2/2013 | 794,855 | 769,596 | 25,259 | ||||||||||||||||
Brazilian Real | CITI | 1,619,230 | 7/10/2013 | 714,892 | 723,741 | (8,849 | ) | |||||||||||||||
Brazilian Real | DB | 1,028,376 | 7/10/2013 | 486,000 | 459,649 | 26,351 | ||||||||||||||||
Brazilian Real | JPM | 586,143 | 7/18/2013 | 268,000 | 261,520 | 6,480 | ||||||||||||||||
Brazilian Real | CSFB | 852,885 | 7/17/2013 | 426,421 | 380,617 | 45,804 | ||||||||||||||||
Brazilian Real | UBS | 2,933,060 | 7/12/2013 - 7/24/2013 | 1,338,000 | 1,308,630 | 29,370 | ||||||||||||||||
British Pound | BOA | 59,724 | 7/1/2013 | 91,457 | 90,837 | 620 | ||||||||||||||||
British Pound | JPM | 249,000 | 8/8/2013 | 385,151 | 378,545 | 6,606 | ||||||||||||||||
British Pound | SSB | 177,513 | 7/1/2013 - 7/3/2013 | 270,113 | 269,990 | 123 | ||||||||||||||||
Canadian Dollar | SSB | 133,893 | 7/2/2013 | 127,928 | 127,311 | 617 | ||||||||||||||||
Chilean Peso | BB | 136,123,152 | 7/24/2013 | 264,000 | 267,049 | (3,049 | ) | |||||||||||||||
Chilean Peso | BOA | 68,165,800 | 7/12/2013 | 134,000 | 133,933 | 67 | ||||||||||||||||
Chilean Peso | CSFB | 450,344,080 | 7/19/2013 - 8/2/2013 | 892,000 | 884,183 | 7,817 | ||||||||||||||||
Chinese Yuan | DB | 3,313,166 | 9/18/2013 | 536,000 | 536,403 | (403 | ) | |||||||||||||||
Chinese Yuan | HSBC | 36,078,862 | 7/8/2013 - 9/18/2013 | 5,814,000 | 5,865,219 | (51,219 | ) | |||||||||||||||
Chinese Yuan | BB | 20,028,259 | 7/8/2013 - 8/22/2013 | 3,201,000 | 3,252,564 | (51,564 | ) | |||||||||||||||
Czech Republic Koruna | SSB | 18,850,325 | 9/18/2013 | 957,848 | 944,412 | 13,436 | ||||||||||||||||
Czech Republic Koruna | BNP | 5,106,780 | 9/18/2013 | 255,123 | 255,853 | (730 | ) | |||||||||||||||
Czech Republic Koruna | BOA | 5,141,902 | 9/18/2013 | 257,725 | 257,612 | 113 | ||||||||||||||||
Euro | CITI | 401,000 | 9/18/2013 | 532,381 | 522,090 | 10,291 | ||||||||||||||||
Euro | BB | 594,000 | 9/18/2013 | 785,205 | 773,370 | 11,835 | ||||||||||||||||
Euro | BOA | 796,000 | 9/18/2013 | 1,059,637 | 1,036,368 | 23,269 | ||||||||||||||||
Euro | MSC | 200,000 | 9/18/2013 | 267,722 | 260,394 | 7,328 | ||||||||||||||||
Euro | HSBC | 206,000 | 9/18/2013 | 273,119 | 268,206 | 4,913 | ||||||||||||||||
Euro | BNP | 251,560 | 9/18/2013 | 335,416 | 327,524 | 7,892 | ||||||||||||||||
Euro | SSB | 3,046,607 | 7/1/2013 - 7/2/2013 | 3,969,932 | 3,965,594 | 4,338 | ||||||||||||||||
Euro | JPM | 1,901,083 | 8/7/2013 | 2,478,768 | 2,474,659 | 4,109 | ||||||||||||||||
Euro | DB | 1,586,000 | 9/18/2013 | 2,109,913 | 2,064,925 | 44,988 | ||||||||||||||||
Hong Kong Dollar | SSB | 496,862 | 7/2/2013 | 64,041 | 64,061 | (20 | ) | |||||||||||||||
Hungarian Forint | BOA | 60,523,000 | 9/18/2013 | 264,290 | 265,099 | (809 | ) | |||||||||||||||
Hungarian Forint | DB | 369,674,187 | 9/18/2013 | 1,625,961 | 1,619,225 | 6,736 | ||||||||||||||||
Indian Rupee | UBS | 15,631,590 | 7/12/2013 | 269,000 | 262,400 | 6,600 | ||||||||||||||||
Indonesian Rupiah | SSB | 114,621,132 | 7/1/2013 - 7/2/2013 | 11,508 | 11,549 | (41 | ) | |||||||||||||||
Israeli Shekel | MSC | 962,465 | 9/18/2013 | 264,000 | 264,317 | (317 | ) | |||||||||||||||
Israeli Shekel | CITI | 769,930 | 9/18/2013 | 211,200 | 211,442 | (242 | ) | |||||||||||||||
Japanese Yen | MSC | 50,159,249 | 9/18/2013 | 511,000 | 506,049 | 4,951 | ||||||||||||||||
Japanese Yen | WBC | 30,536,059 | 9/18/2013 | 321,737 | 308,074 | 13,663 | ||||||||||||||||
Japanese Yen | CITI | 25,683,768 | 9/18/2013 | 264,000 | 259,120 | 4,880 | ||||||||||||||||
Japanese Yen | JPM | 25,087,920 | 9/18/2013 | 255,000 | 253,108 | 1,892 | ||||||||||||||||
Japanese Yen | BOA | 55,781,580 | 7/1/2013 - 7/2/2013 | 568,768 | 562,427 | 6,341 | ||||||||||||||||
Japanese Yen | SSB | 494,251,846 | 7/1/2013 - 7/2/2013 | 5,011,192 | 4,983,381 | 27,811 | ||||||||||||||||
Japanese Yen | SSB | 26,143,303 | 9/18/2013 | 269,000 | 263,756 | 5,244 | ||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
151
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||
Sales - continued | ||||||||||||||||||||||
Malaysian Ringgit | CITI | 2,890,717 | 7/12/2013 | 914,000 | 914,254 | (254 | ) | |||||||||||||||
Malaysian Ringgit | BOA | 2,024,371 | 7/12/2013 | 645,000 | 640,253 | 4,747 | ||||||||||||||||
Mexican Peso | BB | 17,183,088 | 7/26/2013 | 1,294,395 | 1,323,044 | (28,649 | ) | |||||||||||||||
Mexican Peso | UBS | 7,565,863 | 7/26/2013 | $ | 577,096 | $ | 582,547 | ($ | 5,451 | ) | ||||||||||||
Mexican Peso | MSC | 6,909,955 | 9/18/2013 | 537,000 | 529,516 | 7,484 | ||||||||||||||||
Mexican Peso | JPM | 4,944,002 | 7/26/2013 - 9/18/2013 | 377,149 | 379,396 | (2,247 | ) | |||||||||||||||
Mexican Peso | SSB | 28,128,339 | 7/26/2013 - 9/18/2013 | 2,154,432 | 2,156,929 | (2,497 | ) | |||||||||||||||
Mexican Peso | DB | 13,222,000 | 9/18/2013 | 1,001,709 | 1,013,213 | (11,504 | ) | |||||||||||||||
Philippines Peso | CITI | 18,592,518 | 7/11/2013 - 7/23/2013 | 427,000 | 430,402 | (3,402 | ) | |||||||||||||||
Philippines Peso | DB | 208,940 | 7/11/2013 | 4,771 | 4,837 | (66 | ) | |||||||||||||||
Philippines Peso | BB | 11,513,200 | 7/11/2013 | 269,000 | 266,517 | 2,483 | ||||||||||||||||
Polish Zloty | SSB | 8,015,205 | 9/18/2013 | 2,453,229 | 2,402,216 | 51,013 | ||||||||||||||||
Polish Zloty | BOA | 2,563,108 | 9/18/2013 | 770,000 | 768,182 | 1,818 | ||||||||||||||||
Polish Zloty | DB | 861,973 | 9/18/2013 | 258,000 | 258,340 | (340 | ) | |||||||||||||||
Russian Ruble | CITI | 34,641,530 | 7/11/2013 - 7/25/2013 | 1,063,000 | 1,051,120 | 11,880 | ||||||||||||||||
Russian Ruble | UBS | 43,558,122 | 7/8/2013 - 8/1/2013 | 1,340,000 | 1,322,470 | 17,530 | ||||||||||||||||
Russian Ruble | CSFB | 13,242,504 | 7/17/2013 - 7/22/2013 | 407,208 | 401,558 | 5,650 | ||||||||||||||||
Russian Ruble | DB | 53,671,024 | 7/15/2013 - 7/17/2013 | 1,664,851 | 1,628,847 | 36,004 | ||||||||||||||||
Singapore Dollar | SSB | 45,535 | 7/1/2013 | 35,871 | 35,925 | (54 | ) | |||||||||||||||
Singapore Dollar | BIO | 190,324 | 7/2/2013 | 150,096 | 150,157 | (61 | ) | |||||||||||||||
Singapore Dollar | WBC | 2,704,000 | 9/18/2013 | 2,166,320 | 2,134,383 | 31,937 | ||||||||||||||||
South African Rand | UBS | 2,692,702 | 9/18/2013 | 268,905 | 269,448 | (543 | ) | |||||||||||||||
South African Rand | JPM | 1,232,571 | 9/18/2013 | 119,597 | 123,338 | (3,741 | ) | |||||||||||||||
South African Rand | BB | 2,596,354 | 9/18/2013 | 253,000 | 259,807 | (6,807 | ) | |||||||||||||||
South Korean Won | CITI | 913,515,999 | 7/5/2013 - 7/12/2013 | 812,033 | 799,715 | 12,318 | ||||||||||||||||
South Korean Won | WBC | 304,531,200 | 7/5/2013 | 272,000 | 266,618 | 5,382 | ||||||||||||||||
South Korean Won | DB | 303,085,900 | 7/5/2013 | 270,142 | 265,352 | 4,790 | ||||||||||||||||
Swiss Franc | MSC | 304,384 | 9/18/2013 | 325,496 | 322,597 | 2,899 | ||||||||||||||||
Turkish Lira | MSC | 2,523,038 | 9/18/2013 | 1,322,694 | 1,292,156 | 30,538 | ||||||||||||||||
Turkish Lira | RBS | 2,042,563 | 9/18/2013 | 1,043,000 | 1,046,084 | (3,084 | ) | |||||||||||||||
Turkish Lira | DB | 2,526,714 | 9/27/2013 | 1,342,283 | 1,292,337 | 49,946 | ||||||||||||||||
Total Sales | $ | 67,376,850 | $ | 66,841,156 | $ | 535,694 | ||||||||||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts |
| $ | 142,286 | |||||||||||||||||||
Counterparty | ||||||
BOA | - | Bank of America | ||||
BOM | - | Bank of Montreal | ||||
BB | - | Barclays Bank | ||||
BNP | - | BNP Paribas | ||||
BIO | - | Brown Brothers Harriman | ||||
CITI | - | Citibank | ||||
CSFB | - | CS First Boston Corporation | ||||
DB | - | Deutsche Bank | ||||
HSBC | - | HSBC Securities, Inc. | ||||
JPM | - | J.P. Morgan | ||||
ML | - | Merrill Lynch | ||||
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 | ||||
WP | - | Westwind Partners | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
152
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 28, 2013, 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 | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 118,535 | |||
Total Interest Rate Contracts | 118,535 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets—Net unrealized | |||||
| appreciation/(depreciation) on Foreign currency forward contracts | 965,675 | |||||
Total Foreign Exchange Contracts | 965,675 | |||||
|
| |||||
Total Asset Derivatives | $ | 1,084,210 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 84,591 | ||||
Total Interest Rate Contracts | 84,591 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 70,241 | ||||
Total Equity Contracts | 70,241 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Receivable/Payable for forward contracts, Net Assets—Net unrealized | |||||
| appreciation/(depreciation) on Foreign currency forward contracts | 823,389 | |||||
Total Foreign Exchange Contracts | 823,389 | |||||
|
| |||||
Total Liability Derivatives | $ | 978,221 | ||||
|
| |||||
| * | 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 June 28, 2013, 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 | (421,411 | ) | |||
Total Equity Contracts | (421,411 | ) | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | 27,224 | ||||
Total Foreign Exchange Contracts | 27,224 | |||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (433,607 | ) | |||
Total Interest Rate Contracts | (433,607 | ) | ||||
|
| |||||
Total | ($ | 827,794 | ) | |||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
153
Table of Contents
Partner Worldwide Allocation Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 28, 2013, 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 | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 32,188 | ||||
Total Interest Rate Contracts | 32,188 | |||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (66,875) | ||||
Total Equity Contracts | (66,875) | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Change in net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 55,918 | ||||
Total Foreign Exchange Contracts | 55,918 | |||||
|
| |||||
Total | $ | 21,231 | ||||
|
| |||||
The following table presents Partner Worldwide Allocation Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 2,545,962 | 0.2 | % | N/A | N/A | ||||||||||
Interest Rate | ||||||||||||||||
Contracts | 46,035,166 | 3.0 | N/A | N/A | ||||||||||||
Foreign Exchange | ||||||||||||||||
Contracts | N/A | N/A | $ | 174,178,682 | 11.3 | % | ||||||||||
| * | 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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 34,864,326 | $ | 398,388,339 | $ | 341,103,824 | 92,148,841 | $ | 92,148,841 | $ | 950,505 | |||||||||||||
Cash Management Trust- Short Term Investment | 25,452,748 | 228,528,174 | 232,671,668 | 21,309,254 | 21,309,254 | 12,012 | ||||||||||||||||||
Total Value and Income Earned | 60,317,074 | 113,458,095 | 962,517 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
154
Table of Contents
Partner Socially Responsible Stock Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (95.6%) | Value | ||||||
| Consumer Discretionary (17.7%) | |||||||
| 737 | Amazon.com, Inc.a | $ | 204,658 | |||||
| 2,259 | Bed Bath & Beyond, Inc.a | 160,163 | ||||||
| 5,750 | Lowe’s Companies, Inc. | 235,175 | ||||||
| 2,861 | McDonald’s Corporation | 283,239 | ||||||
| 2,972 | NIKE, Inc. | 189,257 | ||||||
| 313 | Panera Bread Companya | 58,199 | ||||||
| 271 | Priceline.com, Inc.a | 224,152 | ||||||
| 1,716 | Ross Stores, Inc. | 111,214 | ||||||
| 4,750 | Starbucks Corporation | 311,078 | ||||||
| 3,482 | Walt Disney Company | 219,888 | ||||||
|
| |||||||
| Total | 1,997,023 | |||||||
|
| |||||||
| Consumer Staples (11.9%) | |||||||
| 8,478 | Coca-Cola Company | 340,052 | ||||||
| 2,852 | Costco Wholesale Corporation | 315,346 | ||||||
| 8,445 | CVS Caremark Corporation | 482,885 | ||||||
| 2,582 | PepsiCo, Inc. | 211,182 | ||||||
|
| |||||||
| Total | 1,349,465 | |||||||
|
| |||||||
| Energy (5.3%) | |||||||
| 5,677 | Cameron International Corporationa | 347,206 | ||||||
| 4,626 | Noble Corporation | 173,845 | ||||||
| 3,004 | QEP Resources, Inc. | 83,451 | ||||||
|
| |||||||
| Total | 604,502 | |||||||
|
| |||||||
| Financials (12.2%) | |||||||
| 3,994 | American Express Company | 298,591 | ||||||
| 2,962 | Aon plc | 190,605 | ||||||
| 1,671 | IntercontinentalExchange, Inc.a | 297,037 | ||||||
| 4,980 | SunTrust Banks, Inc. | 157,218 | ||||||
| 2,619 | T. Rowe Price Group, Inc. | 191,580 | ||||||
| 5,858 | Wells Fargo & Company | 241,760 | ||||||
|
| |||||||
| Total | 1,376,791 | |||||||
|
| |||||||
| Health Care (13.5%) | |||||||
| 3,276 | Allergan, Inc. | 275,970 | ||||||
| 2,935 | CIGNA Corporation | 212,758 | ||||||
| 970 | DaVita HealthCare Partners, Inc.a | 117,176 | ||||||
| 3,718 | Express Scripts Holding Companya | 229,363 | ||||||
| 5,209 | Gilead Sciences, Inc.a | 266,753 | ||||||
| 1,644 | Novartis AG ADR | 116,247 | ||||||
| 1,680 | Perrigo Company | 203,280 | ||||||
| 1,619 | Varian Medical Systems, Inc.a | 109,202 | ||||||
|
| |||||||
| Total | 1,530,749 | |||||||
|
| |||||||
| Industrials (8.5%) | |||||||
| 1,471 | 3M Company | 160,854 | ||||||
| 2,801 | B/E Aerospace, Inc.a | 176,687 | ||||||
| 5,526 | Danaher Corporation | 349,796 | ||||||
| 1,773 | Eaton Corporation plc | 116,681 | ||||||
| 3,404 | Fastenal Company | 156,073 | ||||||
|
| |||||||
| Total | 960,091 | |||||||
|
| |||||||
| Information Technology (23.6%) | |||||||
| 955 | Apple, Inc. | 378,256 | ||||||
| 4,360 | eBay, Inc.a | 225,499 | ||||||
| 526 | Google, Inc.a | 463,075 | ||||||
| 3,111 | Informatica Corporationa | 108,823 | ||||||
| 579 | International Business Machines Corporation | 110,653 | ||||||
| 1,908 | Intuit, Inc. | 116,445 | ||||||
| 7,204 | Juniper Networks, Inc.a | 139,109 | ||||||
| 14,116 | Microsoft Corporation | 487,426 | ||||||
| 6,431 | QUALCOMM, Inc. | 392,805 | ||||||
| 3,903 | Texas Instruments, Inc. | 136,098 | ||||||
| 1,605 | VMware, Inc.a | 107,519 | ||||||
|
| |||||||
| Total | 2,665,708 | |||||||
|
| |||||||
| Materials (2.9%) | |||||||
| 3,790 | Ecolab, Inc. | 322,870 | ||||||
|
| |||||||
| Total | 322,870 | |||||||
|
| |||||||
Total Common Stock (cost $8,969,027) | 10,807,199 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (4.4%) | |||||||
| Thrivent Cash Management Trust | ||||||||
| 498,266 | 0.080% | 498,266 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 498,266 | |||||||
|
| |||||||
Total Investments (cost $9,467,293) 100.0% | $ | 11,305,465 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (<0.1%) | (1,136 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 11,304,329 | ||||||
|
| |||||||
| 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 | $ | 1,950,909 | ||
Gross unrealized depreciation | (114,304 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 1,836,605 | ||
Cost for federal income tax purposes | $ | 9,468,860 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
155
Table of Contents
Partner Socially Responsible Stock Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 1,997,023 | 1,997,023 | — | — | ||||||||||||
Consumer Staples | 1,349,465 | 1,349,465 | — | — | ||||||||||||
Energy | 604,502 | 604,502 | — | — | ||||||||||||
Financials | 1,376,791 | 1,376,791 | — | — | ||||||||||||
Health Care | 1,530,749 | 1,530,749 | — | — | ||||||||||||
Industrials | 960,091 | 960,091 | — | — | ||||||||||||
Information Technology | 2,665,708 | 2,665,708 | — | — | ||||||||||||
Materials | 322,870 | 322,870 | — | — | ||||||||||||
Short-Term Investments | 498,266 | 498,266 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 11,305,465 | $ | 11,305,465 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | $ | 208,392 | $ | 2,435,902 | $ | 2,146,028 | 498,266 | $ | 498,266 | $ | 210 | |||||||||||||
Total Value and Income Earned | 208,392 | 498,266 | 210 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
156
Table of Contents
Partner All Cap Growth Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (96.5%) | Value | ||||||
| Consumer Discretionary (23.1%) | |||||||
| 1,305 | Amazon.com, Inc.a | $ | 362,385 | |||||
| 150 | AutoZone, Inc.a | 63,553 | ||||||
| 1,250 | Conn’s, Inc.a | 64,700 | ||||||
| 1,250 | Delphi Automotive plc | 63,363 | ||||||
| 1,575 | DIRECTVa | 97,052 | ||||||
| 1,175 | Domino’s Pizza, Inc. | 68,326 | ||||||
| 2,050 | Gap, Inc. | 85,546 | ||||||
| 2,350 | Home Depot, Inc. | 182,054 | ||||||
| 2,300 | Las Vegas Sands Corporation | 121,739 | ||||||
| 2,250 | Lululemon Athletica, Inc.a | 147,420 | ||||||
| 4,875 | Michael Kors Holdings, Ltd.a | 302,348 | ||||||
| 750 | Mohawk Industries, Inc.a | 84,367 | ||||||
| 1,200 | NIKE, Inc. | 76,416 | ||||||
| 75 | NVR, Inc.a | 69,150 | ||||||
| 800 | Polaris Industries, Inc. | 76,000 | ||||||
| 260 | Priceline.com, Inc.a | 215,054 | ||||||
| 2,600 | Scripps Networks Interactive | 173,576 | ||||||
| 4,330 | Starbucks Corporation | 283,572 | ||||||
| 2,475 | TJX Companies, Inc. | 123,898 | ||||||
| 1,950 | TripAdvisor, Inc.a | 118,697 | ||||||
| 350 | Tupperware Brands Corporation | 27,192 | ||||||
| 1,000 | Under Armour, Inc.a | 59,710 | ||||||
| 1,575 | Williams-Sonoma, Inc. | 88,027 | ||||||
|
| |||||||
| Total | 2,954,145 | |||||||
|
| |||||||
| Consumer Staples (7.6%) | |||||||
| 900 | Anheuser-Busch InBev NV ADR | 81,234 | ||||||
| 2,050 | Coca-Cola Company | 82,226 | ||||||
| 5,500 | Companhia de Bebidas das Americas ADR | 205,425 | ||||||
| 925 | Costco Wholesale Corporation | 102,277 | ||||||
| 1,700 | Hain Celestial Group, Inc.a | 110,449 | ||||||
| 1,050 | Kellogg Company | 67,441 | ||||||
| 1,525 | Lorillard, Inc. | 66,612 | ||||||
| 1,875 | Philip Morris International, Inc. | 162,413 | ||||||
| 1,200 | Wal-Mart Stores, Inc. | 89,388 | ||||||
|
| |||||||
| Total | 967,465 | |||||||
|
| |||||||
| Energy (6.3%) | |||||||
| 3,600 | Cameron International Corporationa | 220,176 | ||||||
| 1,225 | Continental Resources, Inc.a | 105,424 | ||||||
| 1,675 | EOG Resources, Inc. | 220,564 | ||||||
| 1,750 | EPL Oil & Gas, Inc.a | 51,380 | ||||||
| 2,925 | Schlumberger, Ltd. | 209,605 | ||||||
|
| |||||||
| Total | 807,149 | |||||||
|
| |||||||
| Financials (7.4%) | |||||||
| 1,675 | American Express Company | 125,223 | ||||||
| 575 | Franklin Resources, Inc. | 78,211 | ||||||
| 620 | IntercontinentalExchange, Inc.a | 110,211 | ||||||
| 2,250 | Lazard, Ltd. | 72,338 | ||||||
| 725 | MasterCard, Inc. | 416,513 | ||||||
| 1,900 | T. Rowe Price Group, Inc. | 138,985 | ||||||
|
| |||||||
| Total | 941,481 | |||||||
|
| |||||||
| Health Care (11.0%) | |||||||
| 325 | Biogen Idec, Inc.a | 69,940 | ||||||
| 900 | Celgene Corporationa | 105,219 | ||||||
| 2,925 | Cerner Corporationa | 281,063 | ||||||
| 1,150 | Covance, Inc.a | 87,561 | ||||||
| 7,325 | Gilead Sciences, Inc.a | 375,113 | ||||||
| 2,275 | Insulet Corporationa | 71,458 | ||||||
| 125 | Intuitive Surgical, Inc.a | 63,323 | ||||||
| 1,275 | Jazz Pharmaceuticals, Inc.a | 87,631 | ||||||
| 900 | Medidata Solutions, Inc.a | 69,705 | ||||||
| 2,450 | Mylan, Inc.a | 76,023 | ||||||
| 500 | Regeneron Pharmaceuticals, Inc.a | 112,440 | ||||||
|
| |||||||
| Total | 1,399,476 | |||||||
|
| |||||||
| Industrials (13.2%) | |||||||
| 775 | Allegiant Travel Company | 82,142 | ||||||
| 1,025 | B/E Aerospace, Inc.a | 64,657 | ||||||
| 2,650 | Chicago Bridge and Iron Company | 158,099 | ||||||
| 2,850 | Dover Corporation | 221,331 | ||||||
| 4,775 | Eaton Corporation plc | 314,243 | ||||||
| 1,275 | Flowserve Corporation | 68,863 | ||||||
| 1,275 | Fluor Corporation | 75,620 | ||||||
| 750 | Genesee & Wyoming, Inc.a | 63,630 | ||||||
| 1,300 | Jacobs Engineering Group, Inc.a | 71,669 | ||||||
| 600 | Kansas City Southern | 63,576 | ||||||
| 875 | Kirby Corporationa | 69,597 | ||||||
| 1,775 | MSC Industrial Direct Company, Inc. | 137,492 | ||||||
| 1,050 | Rockwell Automation, Inc. | 87,297 | ||||||
| 875 | Union Pacific Corporation | 134,995 | ||||||
| 725 | United Technologies Corporation | 67,381 | ||||||
|
| |||||||
| Total | 1,680,592 | |||||||
|
| |||||||
| Information Technology (26.4%) | |||||||
| 3,500 | Accenture plc | 251,860 | ||||||
| 1,445 | Apple, Inc. | 572,336 | ||||||
| 1,625 | CommVault Systems, Inc.a | 123,321 | ||||||
| 4,625 | eBay, Inc.a | 239,205 | ||||||
| 8,175 | Facebook, Inc.a | 203,230 | ||||||
| 1,325 | FleetCor Technologies, Inc.a | 107,723 | ||||||
| 697 | Google, Inc.a | 613,618 | ||||||
| 650 | LinkedIn Corporationa | 115,895 | ||||||
| 1,000 | OpenTable, Inc.a | 63,950 | ||||||
| 1,200 | Palo Alto Networks, Inc.a | 50,592 | ||||||
| 2,275 | QLIK Technologies, Inc.a | 64,314 | ||||||
| 4,875 | QUALCOMM, Inc. | 297,765 | ||||||
| 5,400 | Salesforce.com, Inc.a | 206,172 | ||||||
| 2,650 | SanDisk Corporationa | 161,915 | ||||||
| 1,700 | SAP AG ADR | 123,811 | ||||||
| 5,500 | Taiwan Semiconductor Manufacturing Company, Ltd. ADR | 100,760 | ||||||
| 2,275 | Yelp, Inc.a | 79,102 | ||||||
|
| |||||||
| Total | 3,375,569 | |||||||
|
| |||||||
| Materials (1.5%) | |||||||
| 1,025 | Eastman Chemical Company | 71,760 | ||||||
| 1,150 | Rock-Tenn Company | 114,862 | ||||||
|
| |||||||
| Total | 186,622 | |||||||
|
| |||||||
Total Common Stock (cost $10,116,081) | 12,312,499 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
157
Table of Contents
Partner All Cap Growth Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares or Principal Amount | Short-Term Investments (2.7%) | Value | ||||||
Thrivent Cash Management Trust | ||||||||
| 341,776 | 0.080% | $ | 341,776 | |||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 341,776 | |||||||
|
| |||||||
Total Investments (cost $10,457,857) 99.2% | $ | 12,654,275 | ||||||
|
| |||||||
Other Assets and Liabilities, Net 0.8% | 101,886 | |||||||
|
| |||||||
Total Net Assets 100.0% | $ | 12,756,161 | ||||||
|
| |||||||
| 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 | $ | 2,365,743 | ||
Gross unrealized depreciation | (169,577 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 2,196,166 | ||
Cost for federal income tax purposes | $ | 10,458,109 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 2,954,145 | 2,954,145 | — | — | ||||||||||||
Consumer Staples | 967,465 | 967,465 | — | — | ||||||||||||
Energy | 807,149 | 807,149 | — | — | ||||||||||||
Financials | 941,481 | 941,481 | — | — | ||||||||||||
Health Care | 1,399,476 | 1,399,476 | — | — | ||||||||||||
Industrials | 1,680,592 | 1,680,592 | — | — | ||||||||||||
Information Technology | 3,375,569 | 3,375,569 | — | — | ||||||||||||
Materials | 186,622 | 186,622 | — | — | ||||||||||||
Short-Term Investments | 341,776 | 341,776 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 12,654,275 | $ | 12,654,275 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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.
158
Table of Contents
Partner All Cap Growth Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | $ | 29,412 | $ | 3,155,818 | $ | 2,843,454 | 341,776 | $ | 341,776 | $ | 70 | |||||||||||||
Total Value and Income Earned | 29,412 | 341,776 | 70 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
159
Table of Contents
Partner All Cap Value Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (98.7%) | Value | ||||||
| Consumer Discretionary (7.3%) | |||||||
| 2,225 | Aimia, Inc. | $ | 33,300 | |||||
| 1,020 | Darden Restaurants, Inc. | 51,490 | ||||||
| 2,540 | Lowe’s Companies, Inc. | 103,886 | ||||||
| 610 | McDonald’s Corporation | 60,390 | ||||||
| 2,080 | National CineMedia, Inc. | 35,131 | ||||||
| 7,870 | Newell Rubbermaid, Inc. | 206,587 | ||||||
|
| |||||||
| Total | 490,784 | |||||||
|
| |||||||
| Consumer Staples (7.5%) | |||||||
| 990 | B&G Foods, Inc. | 33,709 | ||||||
| 770 | Kraft Foods Group, Inc. | 43,020 | ||||||
| 1,920 | Lorillard, Inc. | 83,866 | ||||||
| 1,430 | Procter & Gamble Company | 110,096 | ||||||
| 2,800 | Sysco Corporation | 95,648 | ||||||
| 3,250 | Walgreen Company | 143,650 | ||||||
|
| |||||||
| Total | 509,989 | |||||||
|
| |||||||
| Energy (14.1%) | |||||||
| 4,240 | BP plc ADR | 176,978 | ||||||
| 1,830 | Chevron Corporation | 216,562 | ||||||
| 860 | Enbridge, Inc. | 36,180 | ||||||
| 2,060 | Kinder Morgan, Inc. | 78,589 | ||||||
| 1,190 | Occidental Petroleum Corporation | 106,184 | ||||||
| 1,813 | Royal Dutch Shell plc ADR | 115,669 | ||||||
| 1,030 | Seadrill, Ltd. | 41,962 | ||||||
| 2,250 | Ship Finance International, Ltd. | 33,390 | ||||||
| 4,940 | Suncor Energy, Inc. ADR | 145,681 | ||||||
|
| |||||||
| Total | 951,195 | |||||||
|
| |||||||
| Financials (24.4%) | |||||||
| 880 | ACE, Ltd. | 78,742 | ||||||
| 5,190 | Banco Bilbao Vizcaya Argentaria SA ADR | 43,648 | ||||||
| 428 | Banco de Chile | 37,270 | ||||||
| 13,460 | Bank of America Corporation | 173,096 | ||||||
| 230 | BlackRock, Inc. | 59,075 | ||||||
| 4,280 | Citigroup, Inc. | 205,312 | ||||||
| 1,130 | Goldman Sachs Group, Inc. | 170,912 | ||||||
| 2,580 | HSBC Holdings plc ADR | 133,902 | ||||||
| 2,660 | Invesco, Ltd. | 84,588 | ||||||
| 3,700 | J.P. Morgan Chase & Company | 195,323 | ||||||
| 1,820 | Morgan Stanley | 44,463 | ||||||
| 1,480 | Omega Healthcare Investors, Inc. | 45,910 | ||||||
| 6,680 | SunTrust Banks, Inc. | 210,888 | ||||||
| 4,160 | Wells Fargo & Company | 171,683 | ||||||
|
| |||||||
| Total | 1,654,812 | |||||||
|
| |||||||
| Health Care (12.6%) | |||||||
| 210 | Amgen, Inc. | 20,719 | ||||||
| 2,100 | Baxter International, Inc. | 145,467 | ||||||
| 1,900 | Bristol-Myers Squibb Company | 84,911 | ||||||
| 2,870 | Merck & Company, Inc. | 133,311 | ||||||
| 590 | Novartis AG ADR | 41,719 | ||||||
| 6,480 | Pfizer, Inc. | 181,505 | ||||||
| 1,970 | Roche Holding AG ADR | 121,874 | ||||||
| 1,910 | UnitedHealth Group, Inc. | 125,067 | ||||||
|
| |||||||
| Total | 854,573 | |||||||
|
| |||||||
| Industrials (9.3%) | |||||||
| 6,890 | Delta Air Lines, Inc.a | 128,912 | ||||||
| 1,340 | Eaton Corporation plc | 88,185 | ||||||
| 2,500 | Fly Leasing, Ltd. ADR | 42,125 | ||||||
| 8,470 | General Electric Company | 196,419 | ||||||
| 600 | Lockheed Martin Corporation | 65,076 | ||||||
| 1,060 | United Continental Holdings, Inc.a | 33,167 | ||||||
| 840 | United Technologies Corporation | 78,070 | ||||||
|
| |||||||
| Total | 631,954 | |||||||
|
| |||||||
| Information Technology (7.9%) | |||||||
| 1,330 | Analog Devices, Inc. | 59,930 | ||||||
| 160 | Apple, Inc. | 63,373 | ||||||
| 3,010 | CA, Inc. | 86,176 | ||||||
| 6,060 | Cisco Systems, Inc. | 147,318 | ||||||
| 3,430 | Intel Corporation | 83,075 | ||||||
| 1,080 | Microchip Technology, Inc. | 40,230 | ||||||
| 14,300 | United Microelectronics Corporation ADR | 33,319 | ||||||
| 3,210 | United Online, Inc. | 24,332 | ||||||
|
| |||||||
| Total | 537,753 | |||||||
|
| |||||||
| Materials (1.1%) | |||||||
| 1,640 | International Paper Company | 72,668 | ||||||
|
| |||||||
| Total | 72,668 | |||||||
|
| |||||||
| Telecommunications Services (7.3%) | |||||||
| 3,540 | AT&T, Inc. | 125,316 | ||||||
| 2,230 | CenturyLink, Inc. | 78,830 | ||||||
| 2,680 | Telefonica SA ADRa | 34,331 | ||||||
| 4,350 | Verizon Communications, Inc. | 218,979 | ||||||
| 1,190 | Vodafone Group plc ADR | 34,201 | ||||||
|
| |||||||
| Total | 491,657 | |||||||
|
| |||||||
| Utilities (7.2%) | |||||||
| 2,230 | Ameren Corporation | 76,801 | ||||||
| 800 | American Electric Power Company, Inc. | 35,824 | ||||||
| 1,780 | Duke Energy Corporation | 120,150 | ||||||
| 1,800 | Pepco Holdings, Inc. | 36,288 | ||||||
| 1,650 | PG&E Corporation | 75,454 | ||||||
| 1,230 | PPL Corporation | 37,220 | ||||||
| 1,400 | SCANA Corporation | 68,740 | ||||||
| 950 | UIL Holdings Corporation | 36,338 | ||||||
|
| |||||||
| Total | 486,815 | |||||||
|
| |||||||
Total Common Stock (cost $6,317,081) | 6,682,200 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (2.1%) | |||||||
| Thrivent Cash Management Trust | ||||||||
| 140,075 | 0.080% | 140,075 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 140,075 | |||||||
|
| |||||||
Total Investments (cost $6,457,156) 100.8% | $ | 6,822,275 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (0.8%) | (52,938 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 6,769,337 | ||||||
|
| |||||||
| a | Non-income producing security. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
160
Table of Contents
Partner All Cap Value Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
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 | $ | 470,980 | ||
Gross unrealized depreciation | (110,331 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 360,649 | ||
Cost for federal income tax purposes | $ | 6,461,626 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 490,784 | 457,484 | 33,300 | — | ||||||||||||
Consumer Staples | 509,989 | 509,989 | — | — | ||||||||||||
Energy | 951,195 | 951,195 | — | — | ||||||||||||
Financials | 1,654,812 | 1,654,812 | — | — | ||||||||||||
Health Care | 854,573 | 854,573 | — | — | ||||||||||||
Industrials | 631,954 | 631,954 | — | — | ||||||||||||
Information Technology | 537,753 | 504,434 | 33,319 | — | ||||||||||||
Materials | 72,668 | 72,668 | — | — | ||||||||||||
Telecommunications Services | 491,657 | 491,657 | — | — | ||||||||||||
Utilities | 486,815 | 486,815 | — | — | ||||||||||||
Short-Term Investments | 140,075 | 140,075 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 6,822,275 | $ | 6,755,656 | $ | 66,619 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives Foreign Currency Forward Contracts^ | 0 | — | 0 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 0 | $ | — | $ | 0 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. Transfers between Levels are identified as of the end of the period.
| ^ | This Forward is fair valued at < $1. |
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||||
Sales | ||||||||||||||||||||||||
Canadian Dollar | SSB | 322 | 7/2/2013 | $ | 306 | $ | 306 | $ | — | |||||||||||||||
Total Sales | $ | 306 | $ | 306 | $ | — | ||||||||||||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts | $ | — | ||||||||||||||||||||||
Counterparty |
SSB - State Street Bank |
The accompanying Notes to Financial Statements are an integral part of this schedule.
161
Table of Contents
Partner All Cap Value Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 28, 2013, for Partner All Cap Value 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 | ||||||
Foreign Exchange Contracts | ||||||
Forward Contracts^ | Receivable/Payable for forward contracts, Net Assets—Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 0 | ||||
Total Foreign Exchange Contracts | 0 | |||||
|
| |||||
Total Liability Derivatives | $ | 0 | ||||
|
| |||||
| ^ | This Forward is fair valued at < $1. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 28, 2013, for Partner All Cap Value Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (272 | ) | |||
Total Foreign Exchange Contracts | (272 | ) | ||||
|
| |||||
Total | ($ | 272 | ) | |||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 28, 2013, for Partner All Cap Value 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 | 0 | ||||
| Total Foreign Exchange Contracts | 0 | |||||
|
| |||||
Total | $ | 0 | ||||
|
| |||||
| ^ | The change in unrealized appreciation/(depreciation) recognized in Income is <$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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | $ | 84,784 | $ | 2,422,738 | $ | 2,367,447 | 140,075 | $ | 140,075 | $ | 67 | |||||||||||||
Total Value and Income Earned | 84,784 | 140,075 | 67 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
162
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (98.8%) | Value | ||||||
| Consumer Discretionary (12.2%) | |||||||
| 2,670 | Amazon.com, Inc.a | $ | 741,432 | |||||
| 19,380 | Comcast Corporation | 811,634 | ||||||
| 10,150 | Gap, Inc. | 423,559 | ||||||
| 10,960 | General Motors Companya | 365,078 | ||||||
| 9,860 | Home Depot, Inc. | 763,854 | ||||||
| 6,270 | Las Vegas Sands Corporation | 331,871 | ||||||
| 13,910 | Lowe’s Companies, Inc. | 568,919 | ||||||
| 28,440 | News Corporation | 927,144 | ||||||
| 3,900 | PVH Corporation | 487,695 | ||||||
| 8,230 | Viacom, Inc. | 560,052 | ||||||
| 12,080 | Walt Disney Company | 762,852 | ||||||
|
| |||||||
| Total | 6,744,090 | |||||||
|
| |||||||
| Consumer Staples (10.4%) | |||||||
| 6,130 | Altria Group, Inc. | 214,489 | ||||||
| 28,950 | CVS Caremark Corporation | 1,655,361 | ||||||
| 7,840 | Estee Lauder Companies, Inc. | 515,637 | ||||||
| 11,030 | Mondelez International, Inc. | 314,686 | ||||||
| 12,450 | PepsiCo, Inc. | 1,018,285 | ||||||
| 16,850 | Procter & Gamble Company | 1,297,281 | ||||||
| 9,730 | Wal-Mart Stores, Inc. | 724,788 | ||||||
|
| |||||||
| Total | 5,740,527 | |||||||
|
| |||||||
| Energy (10.3%) | |||||||
| 6,780 | Apache Corporation | 568,367 | ||||||
| 10,340 | EQT Corporation | 820,686 | ||||||
| 20,970 | Exxon Mobil Corporation | 1,894,640 | ||||||
| 4,420 | Marathon Petroleum Corporation | 314,085 | ||||||
| 6,150 | Occidental Petroleum Corporation | 548,765 | ||||||
| 5,320 | Phillips 66 | 313,401 | ||||||
| 11,900 | Schlumberger, Ltd. | 852,754 | ||||||
| 12,130 | Williams Companies, Inc. | 393,861 | ||||||
|
| |||||||
| Total | 5,706,559 | |||||||
|
| |||||||
| Financials (17.6%) | |||||||
| 7,750 | Aflac, Inc. | 450,430 | ||||||
| 7,490 | American Tower Corporation | 548,043 | ||||||
| 7,690 | Ameriprise Financial, Inc. | 621,967 | ||||||
| 4,710 | Berkshire Hathaway, Inc.a | 527,143 | ||||||
| 12,870 | Capital One Financial Corporation | 808,365 | ||||||
| 19,710 | Citigroup, Inc. | 945,489 | ||||||
| 2,300 | IntercontinentalExchange, Inc.a,b | 408,848 | ||||||
| 28,600 | Invesco, Ltd. | 909,480 | ||||||
| 27,460 | J.P. Morgan Chase & Company | 1,449,613 | ||||||
| 5,010 | M&T Bank Corporationb | 559,868 | ||||||
| 1,060 | MasterCard, Inc. | 608,970 | ||||||
| 11,300 | PNC Financial Services Group, Inc. | 823,996 | ||||||
| 8,040 | Prudential Financial, Inc. | 587,161 | ||||||
| 49,590 | Regions Financial Corporation | 472,593 | ||||||
|
| |||||||
| Total | 9,721,966 | |||||||
|
| |||||||
| Health Care (12.6%) | |||||||
| 13,880 | AbbVie, Inc. | 573,799 | ||||||
| 4,760 | Alexion Pharmaceuticals, Inc.a | 439,062 | ||||||
| 4,450 | Allergan, Inc. | 374,868 | ||||||
| 13,230 | ARIAD Pharmaceuticals, Inc.a | 231,393 | ||||||
| 2,670 | Biogen Idec, Inc.a | 574,584 | ||||||
| 8,720 | Endo Pharmaceutical Holdings, Inc.a | 320,809 | ||||||
| 8,450 | Express Scripts Holding Companya | 521,280 | ||||||
| 7,480 | Gilead Sciences, Inc.a | 383,051 | ||||||
| 7,400 | HCA Holdings, Inc. | 266,844 | ||||||
| 5,270 | Humana, Inc. | 444,683 | ||||||
| 2,250 | Medivation, Inc.a | 110,700 | ||||||
| 19,260 | Merck & Company, Inc. | 894,627 | ||||||
| 2,200 | Onyx Pharmaceuticals, Inc.a | 191,004 | ||||||
| 7,320 | Thermo Fisher Scientific, Inc. | 619,492 | ||||||
| 7,163 | Valeant Pharmaceuticals International, Inc.a | 616,591 | ||||||
| 21,500 | Warner Chilcott plc | 427,420 | ||||||
|
| |||||||
| Total | 6,990,207 | |||||||
|
| |||||||
| Industrials (10.1%) | |||||||
| 8,560 | Boeing Company | 876,886 | ||||||
| 3,800 | Cummins, Inc. | 412,148 | ||||||
| 10,730 | Danaher Corporation | 679,209 | ||||||
| 8,900 | Eaton Corporation plc | 585,709 | ||||||
| 5,170 | FedEx Corporation | 509,659 | ||||||
| 27,230 | General Electric Company | 631,464 | ||||||
| 9,500 | Ingersoll-Rand plc | 527,440 | ||||||
| 4,410 | Union Pacific Corporation | 680,375 | ||||||
| 7,430 | United Technologies Corporation | 690,544 | ||||||
|
| |||||||
| Total | 5,593,434 | |||||||
|
| |||||||
| Information Technology (16.5%) | |||||||
| 3,300 | Accenture plc | 237,468 | ||||||
| 6,770 | Adobe Systems, Inc.a | 308,441 | ||||||
| 4,850 | Apple, Inc. | 1,920,988 | ||||||
| 5,430 | Citrix Systems, Inc.a | 327,592 | ||||||
| 9,200 | eBay, Inc.a | 475,824 | ||||||
| 7,760 | Facebook, Inc.a | 192,914 | ||||||
| 10,220 | Fidelity National Information Services, Inc. | 437,825 | ||||||
| 4,220 | FleetCor Technologies, Inc.a | 343,086 | ||||||
| 480 | Google, Inc.a | 422,578 | ||||||
| 23,630 | Juniper Networks, Inc.a | 456,295 | ||||||
| 41,780 | Microsoft Corporation | 1,442,663 | ||||||
| 7,100 | NXP Semiconductors NVa | 219,958 | ||||||
| 25,020 | Oracle Corporation | 768,614 | ||||||
| 12,290 | QUALCOMM, Inc. | 750,673 | ||||||
| 5,290 | Sourcefire, Inc.a | 293,860 | ||||||
| 13,000 | Symantec Corporation | 292,110 | ||||||
| 11,260 | Total System Services, Inc. | 275,645 | ||||||
|
| |||||||
| Total | 9,166,534 | |||||||
|
| |||||||
| Materials (3.2%) | |||||||
| 5,520 | Albemarle Corporation | 343,841 | ||||||
| 7,200 | LyondellBasell Industries NV | 477,072 | ||||||
| 3,060 | PPG Industries, Inc. | 448,014 | ||||||
| 4,180 | Praxair, Inc. | 481,369 | ||||||
|
| |||||||
| Total | 1,750,296 | |||||||
|
| |||||||
| Telecommunications Services (2.8%) | |||||||
| 4,072 | AT&T, Inc. | 144,149 | ||||||
| 7,300 | SBA Communications Corporationa | 541,076 | ||||||
| 4,950 | T-Mobile US, Inc.a | 122,809 | ||||||
| 15,230 | Verizon Communications, Inc. | 766,678 | ||||||
|
| |||||||
| Total | 1,574,712 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
163
Table of Contents
Partner All Cap Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (98.8%) | Value | ||||||
| Utilities (3.1%) | |||||||
| 12,190 | American Electric Power Company, Inc. | $ | 545,868 | |||||
| 16,160 | Edison International, Inc. | 778,266 | ||||||
| 8,970 | PG&E Corporation | 410,198 | ||||||
|
| |||||||
| Total | 1,734,332 | |||||||
|
| |||||||
Total Common Stock (cost $49,767,887) | 54,722,657 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (1.6%) | ||||||||
| 886,150 | Thrivent Cash Management Trust | 886,150 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $886,150) | 886,150 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (0.5%) | |||||||
| Thrivent Cash Management Trust | ||||||||
| 265,701 | 0.080% | 265,701 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 265,701 | |||||||
|
| |||||||
Total Investments (cost $50,919,738) 100.9% | $ | 55,874,508 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (0.9%) | (518,705 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 55,355,803 | ||||||
|
| |||||||
| 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 | $ | 5,693,177 | ||
Gross unrealized depreciation | (846,460 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 4,846,717 | ||
Cost for federal income tax purposes | $ | 51,027,791 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
164
Table of Contents
Partner All Cap Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 6,744,090 | 6,744,090 | — | — | ||||||||||||
Consumer Staples | 5,740,527 | 5,740,527 | — | — | ||||||||||||
Energy | 5,706,559 | 5,706,559 | — | — | ||||||||||||
Financials | 9,721,966 | 9,721,966 | — | — | ||||||||||||
Health Care | 6,990,207 | 6,990,207 | — | — | ||||||||||||
Industrials | 5,593,434 | 5,593,434 | — | — | ||||||||||||
Information Technology | 9,166,534 | 9,166,534 | — | — | ||||||||||||
Materials | 1,750,296 | 1,750,296 | — | — | ||||||||||||
Telecommunications Services | 1,574,712 | 1,574,712 | — | — | ||||||||||||
Utilities | 1,734,332 | 1,734,332 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 886,150 | 886,150 | — | — | ||||||||||||
Short-Term Investments | 265,701 | 265,701 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 55,874,508 | $ | 55,874,508 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 831,150 | $ | 5,876,296 | $ | 5,821,296 | 886,150 | $ | 886,150 | $ | 624 | |||||||||||||
Cash Management Trust- Short Term Investment | 217,180 | 7,889,811 | 7,841,290 | 265,701 | 265,701 | 227 | ||||||||||||||||||
Total Value and Income Earned | 1,048,330 | 1,151,851 | 851 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
165
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (97.0%) | Value | ||||||
| Consumer Discretionary (20.8%) | |||||||
| 118,854 | Amazon.com, Inc.a | $ | 33,004,567 | |||||
| 61,700 | AutoZone, Inc.a | 26,141,673 | ||||||
| 159,600 | CBS Corporation | 7,799,652 | ||||||
| 725,059 | Comcast Corporation | 30,365,471 | ||||||
| 315,700 | Home Depot, Inc. | 24,457,279 | ||||||
| 277,250 | Las Vegas Sands Corporation | 14,674,843 | ||||||
| 377,100 | NIKE, Inc. | 24,013,728 | ||||||
| 814,900 | Sally Beauty Holdings, Inc.a | 25,343,390 | ||||||
|
| |||||||
| Total | 185,800,603 | |||||||
|
| |||||||
| Consumer Staples (3.2%) | |||||||
| 85,475 | British American Tobacco plc ADRb | 8,798,796 | ||||||
| 122,400 | Nestle SA | 8,031,937 | ||||||
| 157,000 | Procter & Gamble Company | 12,087,430 | ||||||
|
| |||||||
| Total | 28,918,163 | |||||||
|
| |||||||
| Energy (8.0%) | |||||||
| 140,400 | Consol Energy, Inc. | 3,804,840 | ||||||
| 86,400 | EOG Resources, Inc. | 11,377,152 | ||||||
| 313,800 | Marathon Oil Corporation | 10,851,204 | ||||||
| 243,619 | Schlumberger, Ltd. | 17,457,737 | ||||||
| 2,056,101 | Weatherford International, Ltd.a | 28,168,584 | ||||||
|
| |||||||
| Total | 71,659,517 | |||||||
|
| |||||||
| Financials (10.2%) | |||||||
| 304,077 | Citigroup, Inc. | 14,586,574 | ||||||
| 221,339 | J.P. Morgan Chase & Company | 11,684,486 | ||||||
| 37,700 | MasterCard, Inc. | 21,658,650 | ||||||
| 117,400 | Visa, Inc. | 21,454,850 | ||||||
| 525,705 | Wells Fargo & Company | 21,695,845 | ||||||
|
| |||||||
| Total | 91,080,405 | |||||||
|
| |||||||
| Health Care (13.5%) | |||||||
| 403,000 | Covidien plc | 25,324,520 | ||||||
| 529,400 | Express Scripts Holding Companya | 32,658,686 | ||||||
| 680,400 | Gilead Sciences, Inc.a | 34,843,284 | ||||||
| 74,700 | Perrigo Company | 9,038,700 | ||||||
| 192,200 | Shire Pharmaceuticals Group plc ADR | 18,280,142 | ||||||
|
| |||||||
| Total | 120,145,332 | |||||||
|
| |||||||
| Industrials (11.0%) | |||||||
| 173,550 | ADT Corporationa | 6,915,968 | ||||||
| 351,800 | Honeywell International, Inc. | 27,911,812 | ||||||
| 516,200 | Jacobs Engineering Group, Inc.a | 28,458,106 | ||||||
| 132,500 | Union Pacific Corporation | 20,442,100 | ||||||
| 149,700 | United Technologies Corporation | 13,913,118 | ||||||
|
| |||||||
| Total | 97,641,104 | |||||||
|
| |||||||
| Information Technology (28.2%) | |||||||
| 151,051 | Apple, Inc. | 59,828,280 | ||||||
| 408,600 | Citrix Systems, Inc.a | 24,650,838 | ||||||
| 503,904 | eBay, Inc.a | 26,061,915 | ||||||
| 572,200 | Facebook, Inc.a | 14,224,892 | ||||||
| 51,139 | Google, Inc.a | 45,021,241 | ||||||
| 385,800 | Intel Corporation | 9,344,076 | ||||||
| 346,702 | NetApp, Inc.a | 13,098,402 | ||||||
| 606,450 | QUALCOMM, Inc. | 37,041,966 | ||||||
| 335,200 | VMware, Inc.a | 22,455,048 | ||||||
|
| |||||||
| Total | 251,726,658 | |||||||
|
| |||||||
| Materials (2.1%) | |||||||
| 143,300 | Monsanto Company | 14,158,040 | ||||||
| 43,454 | Southern Copper Corporation | 1,200,199 | ||||||
| 142,100 | Teck Resources, Ltd. | 3,036,677 | ||||||
|
| |||||||
| Total | 18,394,916 | |||||||
|
| |||||||
Total Common Stock (cost $751,048,200) | 865,366,698 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.6%) | ||||||||
| 5,166,750 | Thrivent Cash Management Trust | 5,166,750 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $5,166,750) | 5,166,750 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (2.9%) | |||||||
Thrivent Cash Management Trust | ||||||||
| 25,859,439 | 0.080% | 25,859,439 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 25,859,439 | |||||||
|
| |||||||
Total Investments (cost $782,074,389) 100.5% | $ | 896,392,887 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (0.5%) | (4,842,702 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 891,550,185 | ||||||
|
| |||||||
| 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 | $ | 130,527,525 | ||
Gross unrealized depreciation | (16,276,860 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 114,250,665 | ||
Cost for federal income tax purposes | $ | 782,142,222 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
166
Table of Contents
Large Cap Growth Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 185,800,603 | 185,800,603 | — | — | ||||||||||||
Consumer Staples | 28,918,163 | 20,886,226 | 8,031,937 | — | ||||||||||||
Energy | 71,659,517 | 71,659,517 | — | — | ||||||||||||
Financials | 91,080,405 | 91,080,405 | — | — | ||||||||||||
Health Care | 120,145,332 | 120,145,332 | — | — | ||||||||||||
Industrials | 97,641,104 | 97,641,104 | — | — | ||||||||||||
Information Technology | 251,726,658 | 251,726,658 | — | — | ||||||||||||
Materials | 18,394,916 | 18,394,916 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 5,166,750 | 5,166,750 | — | — | ||||||||||||
Short-Term Investments | 25,859,439 | 25,859,439 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 896,392,887 | $ | 888,360,950 | $ | 8,031,937 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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 June 28, 2013, 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 | 22,892 | ||||
| Total Foreign Exchange Contracts | 22,892 | |||||
|
| |||||
Total | $ | 22,892 | ||||
|
| |||||
The following table presents Large Cap Growth Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 75,672 | <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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | — | $ | 51,720,900 | $ | 46,554,150 | 5,166,750 | $ | 5,166,750 | $ | 4,379 | |||||||||||||
Cash Management Trust- Short Term Investment | 30,218,206 | 52,108,642 | 56,467,409 | 25,859,439 | 25,859,439 | 12,376 | ||||||||||||||||||
Total Value and Income Earned | 30,218,206 | 31,026,189 | 16,755 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (99.1%) | Value | ||||||
| Consumer Discretionary (28.1%) | |||||||
| 10,000 | Amazon.com, Inc.a | $ | 2,776,900 | |||||
| 1,300 | AutoZone, Inc.a | 550,797 | ||||||
| 9,200 | CarMax, Inc.a | 424,672 | ||||||
| 7,922 | Carnival plc | 275,369 | ||||||
| 1,800 | Charter Communications, Inc.a | 222,930 | ||||||
| 1,700 | Chipotle Mexican Grill, Inc.a | 619,395 | ||||||
| 5,300 | Ctrip.com International, Ltd. ADRa | 172,939 | ||||||
| 13,200 | D.R. Horton, Inc. | 280,896 | ||||||
| 4,100 | Discovery Communications, Inc., Class Ca | 285,606 | ||||||
| 3,400 | Dollar Tree, Inc.a | 172,856 | ||||||
| 3,900 | Harley-Davidson, Inc. | 213,798 | ||||||
| 16,000 | Home Depot, Inc. | 1,239,520 | ||||||
| 11,700 | Las Vegas Sands Corporation | 619,281 | ||||||
| 7,700 | Lennar Corporationb | 277,508 | ||||||
| 9,300 | Lowe’s Companies, Inc. | 380,370 | ||||||
| 7,100 | Lululemon Athletica, Inc.a,b | 465,192 | ||||||
| 6,433 | Marriott International, Inc. | 259,700 | ||||||
| 16,300 | MGM Resorts Internationala | 240,914 | ||||||
| 2,700 | Netflix, Inc.a | 569,943 | ||||||
| 10,200 | News Corporation | 332,520 | ||||||
| 6,000 | NIKE, Inc. | 382,080 | ||||||
| 1,300 | Panera Bread Companya | 241,722 | ||||||
| 25,100 | Prada Holding SPA | 226,346 | ||||||
| 1,950 | Priceline.com, Inc.a | 1,612,904 | ||||||
| 1,200 | Ralph Lauren Corporation | 208,488 | ||||||
| 4,900 | Ross Stores, Inc. | 317,569 | ||||||
| 3,900 | Sherwin-Williams Company | 688,740 | ||||||
| 15,700 | Starbucks Corporation | 1,028,193 | ||||||
| 7,000 | Starwood Hotels & Resorts Worldwide, Inc. | 442,330 | ||||||
| 4,700 | Tesla Motors, Inc.a,b | 504,921 | ||||||
| 3,500 | Tractor Supply Company | 411,635 | ||||||
| 6,100 | TripAdvisor, Inc.a | 371,307 | ||||||
| 4,900 | Under Armour, Inc.a | 292,579 | ||||||
| 6,400 | Walt Disney Company | 404,160 | ||||||
|
| |||||||
| Total | 17,514,080 | |||||||
|
| |||||||
| Consumer Staples (7.2%) | |||||||
| 2,681 | Anheuser-Busch InBev NV | 241,378 | ||||||
| 8,900 | Coca-Cola Company | 356,979 | ||||||
| 4,800 | Colgate-Palmolive Company | 274,992 | ||||||
| 4,400 | Costco Wholesale Corporation | 486,508 | ||||||
| 11,200 | CVS Caremark Corporation | 640,416 | ||||||
| 6,100 | Green Mountain Coffee Roasters, Inc.a,b | 457,866 | ||||||
| 4,000 | Monster Beverage Corporationa | 243,080 | ||||||
| 3,972 | Nestle SA | 260,644 | ||||||
| 4,400 | PepsiCo, Inc. | 359,876 | ||||||
| 1,617 | Pernod-Ricard SA | 179,476 | ||||||
| 5,000 | Procter & Gamble Company | 384,950 | ||||||
| 11,800 | Whole Foods Market, Inc. | 607,464 | ||||||
|
| |||||||
| Total | 4,493,629 | |||||||
|
| |||||||
| Energy (5.0%) | |||||||
| 4,800 | Cabot Oil & Gas Corporation | 340,896 | ||||||
| 2,500 | Concho Resources, Inc.a | 209,300 | ||||||
| 2,300 | EOG Resources, Inc. | 302,864 | ||||||
| 3,800 | EQT Corporation | 301,606 | ||||||
| 7,800 | FMC Technologies, Inc.a | 434,304 | ||||||
| 3,100 | Phillips 66 | 182,621 | ||||||
| 3,000 | Pioneer Natural Resources Company | 434,250 | ||||||
| 7,200 | Range Resources Corporation | 556,704 | ||||||
| 5,200 | Schlumberger, Ltd. | 372,632 | ||||||
|
| |||||||
| Total | 3,135,177 | |||||||
|
| |||||||
| Financials (11.2%) | |||||||
| 1,000 | Affiliated Managers Group, Inc.a | 163,940 | ||||||
| 10,200 | American Express Company | 762,552 | ||||||
| 16,400 | American Tower Corporation | 1,199,988 | ||||||
| 2,500 | Franklin Resources, Inc. | 340,050 | ||||||
| 1,400 | IntercontinentalExchange, Inc.a,b | 248,864 | ||||||
| 16,700 | Invesco, Ltd. | 531,060 | ||||||
| 4,900 | J.P. Morgan Chase & Company | 258,671 | ||||||
| 2,750 | MasterCard, Inc. | 1,579,875 | ||||||
| 7,300 | TD Ameritrade Holding Corporation | 177,317 | ||||||
| 9,400 | Visa, Inc. | 1,717,850 | ||||||
|
| |||||||
| Total | 6,980,167 | |||||||
|
| |||||||
| Health Care (11.3%) | |||||||
| 4,000 | Alexion Pharmaceuticals, Inc.a | 368,960 | ||||||
| 1,600 | Allergan, Inc. | 134,784 | ||||||
| 4,900 | Biogen Idec, Inc.a | 1,054,480 | ||||||
| 2,280 | Catamaran Corporationa | 111,082 | ||||||
| 4,700 | Celgene Corporationa | 549,477 | ||||||
| 2,800 | Edwards Lifesciences Corporationa | 188,160 | ||||||
| 28,700 | Gilead Sciences, Inc.a | 1,469,727 | ||||||
| 800 | HCA Holdings, Inc. | 28,848 | ||||||
| 3,100 | IDEXX Laboratories, Inc.a,b | 278,318 | ||||||
| 6,700 | McKesson Corporation | 767,150 | ||||||
| 1,852 | Novo Nordisk AS | 287,916 | ||||||
| 1,800 | Onyx Pharmaceuticals, Inc.a | 156,276 | ||||||
| 2,100 | Pharmacyclics, Inc.a | 166,887 | ||||||
| 1,200 | Regeneron Pharmaceuticals, Inc.a | 269,856 | ||||||
| 3,100 | Stryker Corporation | 200,508 | ||||||
| 4,000 | UnitedHealth Group, Inc. | 261,920 | ||||||
| 6,100 | Valeant Pharmaceuticals International, Inc.a | 525,088 | ||||||
| 3,000 | Vertex Pharmaceuticals, Inc.a | 239,610 | ||||||
|
| |||||||
| Total | 7,059,047 | |||||||
|
| |||||||
| Industrials (11.9%) | |||||||
| 4,700 | Boeing Company | 481,468 | ||||||
| 22,500 | Danaher Corporation | 1,424,250 | ||||||
| 10,100 | Delta Air Lines, Inc.a | 188,971 | ||||||
| 16,200 | Fastenal Company | 742,770 | ||||||
| 3,800 | JB Hunt Transport Services, Inc. | 274,512 | ||||||
| 6,800 | Kansas City Southern | 720,528 | ||||||
| 6,100 | Precision Castparts Corporation | 1,378,661 | ||||||
| 5,300 | Roper Industries, Inc. | 658,366 | ||||||
| 4,000 | Union Pacific Corporation | 617,120 | ||||||
| 10,100 | United Continental Holdings, Inc.a | 316,029 | ||||||
| 5,000 | United Parcel Service, Inc. | 432,400 | ||||||
| 700 | W.W. Grainger, Inc. | 176,526 | ||||||
|
| |||||||
| Total | 7,411,601 | |||||||
|
| |||||||
| Information Technology (18.7%) | |||||||
| 7,200 | Accenture plc | 518,112 | ||||||
| 6,300 | Akamai Technologies, Inc.a | 268,065 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Partner Growth Stock Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (99.1%) | Value | ||||||
| Information Technology (18.7%) - continued | ||||||||
| 1,400 | Alliance Data Systems Corporationa,b | $ | 253,442 | |||||
| 1,600 | Apple, Inc. | 633,728 | ||||||
| 4,200 | Autodesk, Inc.a | 142,548 | ||||||
| 3,400 | Baidu.com, Inc. ADRa | 321,402 | ||||||
| 6,000 | Broadcom Corporation | 202,560 | ||||||
| 6,000 | Cognizant Technology Solutions Corporationa | 375,660 | ||||||
| 27,200 | eBay, Inc.a | 1,406,784 | ||||||
| 3,000 | Fiserv, Inc.a | 262,230 | ||||||
| 4,100 | Google, Inc.a | 3,609,517 | ||||||
| 16,100 | Juniper Networks, Inc.a | 310,891 | ||||||
| 3,600 | LinkedIn Corporationa | 641,880 | ||||||
| 2,100 | NetSuite, Inc.a | 192,654 | ||||||
| 13,600 | QUALCOMM, Inc. | 830,688 | ||||||
| 9,000 | Red Hat, Inc.a | 430,380 | ||||||
| 16,800 | Salesforce.com, Inc.a | 641,424 | ||||||
| 5,200 | ServiceNow, Inc.a | 210,028 | ||||||
| 4,200 | Tencent Holdings, Ltd. | 163,998 | ||||||
| 2,380 | Twitter, Inc.a,c,d | 43,268 | ||||||
| 2,900 | Workday, Inc.a | 185,861 | ||||||
|
| |||||||
| Total | 11,645,120 | |||||||
|
| |||||||
| Materials (2.6%) | ||||||||
| 7,200 | Ecolab, Inc. | 613,368 | ||||||
| 3,500 | FMC Corporation | 213,710 | ||||||
| 1,600 | Martin Marietta Materials, Inc. | 157,472 | ||||||
| 5,700 | Praxair, Inc. | 656,412 | ||||||
|
| |||||||
| Total | 1,640,962 | |||||||
|
| |||||||
| Telecommunications Services (3.1%) | ||||||||
| 23,400 | Crown Castle International Corporationa | 1,693,926 | ||||||
| 3,600 | SBA Communications Corporationa | 266,832 | ||||||
|
| |||||||
| Total | 1,960,758 | |||||||
|
| |||||||
| Total Common Stock (cost $38,981,579) | 61,840,541 | |||||||
|
| |||||||
Preferred Stock (0.2%) | ||||||||
| Information Technology (0.2%) | ||||||||
| 4,432 | LivingSocial.com, Convertiblea,c,d | 4,964 | ||||||
| 6 | Twitter, Inc., Convertible, Series Aa,c,d | 109 | ||||||
| 96 | Twitter, Inc., Convertible, Series Ba,c,d | 1,745 | ||||||
| 1,615 | Twitter, Inc., Convertible, Series B, Restricteda,c,d | 29,361 | ||||||
| 25 | Twitter, Inc., Convertible, Series Ca,c,d | 454 | ||||||
| 438 | Twitter, Inc., Convertible, Series C, Restricteda,c,d | 7,963 | ||||||
| 913 | Twitter, Inc., Convertible, Series Da,c,d | 16,598 | ||||||
| 292 | Twitter, Inc., Convertible, Series Fa,c,d | 5,309 | ||||||
| 3,855 | Twitter, Inc., Convertible, Series G-2a,c,d | 70,084 | ||||||
|
| |||||||
| Total | 136,587 | |||||||
|
| |||||||
| Total Preferred Stock (cost $150,380) | 136,587 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (3.1%) | ||||||||
| 1,941,833 | Thrivent Cash Management Trust | 1,941,833 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $1,941,833) | 1,941,833 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (0.6%) | |||||||
| 368,463 | Thrivent Cash Management Trust 0.080% | 368,463 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 368,463 | |||||||
|
| |||||||
Total Investments (cost $41,442,255) 103.0% | $ | 64,287,424 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (3.0%) | (1,888,697 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 62,398,727 | ||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
169
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Partner Growth Stock Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| 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 June 28, 2013. |
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 | $ | 14,693 | |||||
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 | $ | 22,970,375 | ||
Gross unrealized depreciation | (273,687 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 22,696,688 | ||
Cost for federal income tax purposes | $ | 41,590,736 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
170
Table of Contents
Partner Growth Stock Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 17,514,080 | 17,012,365 | 501,715 | — | ||||||||||||
Consumer Staples | 4,493,629 | 3,812,131 | 681,498 | — | ||||||||||||
Energy | 3,135,177 | 3,135,177 | — | — | ||||||||||||
Financials | 6,980,167 | 6,980,167 | — | — | ||||||||||||
Health Care | 7,059,047 | 6,771,131 | 287,916 | — | ||||||||||||
Industrials | 7,411,601 | 7,411,601 | — | — | ||||||||||||
Information Technology | 11,645,120 | 11,437,854 | 163,998 | 43,268 | ||||||||||||
Materials | 1,640,962 | 1,640,962 | — | — | ||||||||||||
Telecommunications Services | 1,960,758 | 1,960,758 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Information Technology | 136,587 | — | — | 136,587 | ||||||||||||
Collateral Held for Securities Loaned | 1,941,833 | 1,941,833 | — | — | ||||||||||||
Short-Term Investments | 368,463 | 368,463 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 64,287,424 | $ | 62,472,442 | $ | 1,635,127 | $ | 179,855 | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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 June 28, 2013, 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 | (328 | ) | |||
Total Foreign Exchange Contracts | (328 | ) | ||||
|
| |||||
Total | ($ | 328 | ) | |||
|
| |||||
The following table presents Partner Growth Stock Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
Derivative Risk Category | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 1,329 | <0.1 | % | ||||
| * | 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.
171
Table of Contents
Partner Growth Stock Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 304,150 | $ | 7,754,716 | $ | 6,117,033 | 1,941,833 | $ | 1,941,833 | $ | 2,169 | |||||||||||||
Cash Management Trust- Short Term Investment | 1,259,587 | 4,673,371 | 5,564,495 | 368,463 | 368,463 | 233 | ||||||||||||||||||
Total Value and Income Earned | 1,563,737 | 2,310,296 | 2,402 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
172
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (97.0%) | Value | ||||||
| Consumer Discretionary (10.6%) | |||||||
| 168,080 | CBS Corporation | $ | 8,214,069 | |||||
| 359,840 | Delphi Automotive plc | 18,240,290 | ||||||
| 83,190 | Harley-Davidson, Inc. | 4,560,476 | ||||||
| 104,900 | iShares Dow Jones US Home Construction Index Fund | 2,347,662 | ||||||
| 762,000 | Lowe’s Companies, Inc. | 31,165,800 | ||||||
| 615,080 | News Corporation | 20,186,925 | ||||||
| 176,110 | Time Warner Cable, Inc. | 19,808,853 | ||||||
|
| |||||||
| Total | 104,524,075 | |||||||
|
| |||||||
| Consumer Staples (6.9%) | |||||||
| 416,070 | CVS Caremark Corporation | 23,790,883 | ||||||
| 110,500 | Kimberly-Clark Corporation | 10,733,970 | ||||||
| 163,187 | Kraft Foods Group, Inc. | 9,117,258 | ||||||
| 489,572 | Mondelez International, Inc. | 13,967,489 | ||||||
| 124,109 | Philip Morris International, Inc. | 10,750,321 | ||||||
|
| |||||||
| Total | 68,359,921 | |||||||
|
| |||||||
| Energy (12.2%) | |||||||
| 681,560 | BP plc ADR | 28,448,314 | ||||||
| 144,375 | Chevron Corporation | 17,085,337 | ||||||
| 107,069 | EOG Resources, Inc. | 14,098,846 | ||||||
| 262,450 | EQT Corporation | 20,830,657 | ||||||
| 803,851 | Marathon Oil Corporation | 27,797,168 | ||||||
| 158,750 | Schlumberger, Ltd. | 11,376,025 | ||||||
|
| |||||||
| Total | 119,636,347 | |||||||
|
| |||||||
| Financials (22.6%) | |||||||
| 181,280 | ACE, Ltd. | 16,220,934 | ||||||
| 221,660 | Allstate Corporation | 10,666,279 | ||||||
| 2,602,590 | Bank of America Corporation | 33,469,308 | ||||||
| 905,850 | Citigroup, Inc. | 43,453,625 | ||||||
| 562,960 | Invesco, Ltd. | 17,902,128 | ||||||
| 703,520 | MetLife, Inc. | 32,193,075 | ||||||
| 763,360 | Morgan Stanley | 18,648,885 | ||||||
| 251,280 | State Street Corporation | 16,385,969 | ||||||
| 104,159 | SVB Financial Groupa | 8,678,528 | ||||||
| 594,890 | Wells Fargo & Company | 24,551,110 | ||||||
|
| |||||||
| Total | 222,169,841 | |||||||
|
| |||||||
| Health Care (13.8%) | |||||||
| 240,690 | Baxter International, Inc. | 16,672,596 | ||||||
| 313,790 | Covidien plc | 19,718,564 | ||||||
| 181,250 | Eli Lilly and Company | 8,903,000 | ||||||
| 970,400 | Merck & Company, Inc. | 45,075,080 | ||||||
| 593,540 | Sanofi ADR | 30,573,245 | ||||||
| 225,347 | UnitedHealth Group, Inc. | 14,755,722 | ||||||
|
| |||||||
| Total | 135,698,207 | |||||||
|
| |||||||
| Industrials (9.6%) | |||||||
| 547,600 | CSX Corporation | 12,698,844 | ||||||
| 424,120 | General Electric Company | 9,835,343 | ||||||
| 203,840 | Honeywell International, Inc. | 16,172,665 | ||||||
| 261,800 | Ingersoll-Rand plc | 14,535,136 | ||||||
| 402,600 | Jacobs Engineering Group, Inc.a | 22,195,338 | ||||||
| 180,440 | Pentair, Ltd. | 10,409,584 | ||||||
| 97,334 | United Technologies Corporation | 9,046,222 | ||||||
|
| |||||||
| Total | 94,893,132 | |||||||
|
| |||||||
| Information Technology (12.0%) | |||||||
| 1,222,490 | Cisco Systems, Inc. | 29,718,732 | ||||||
| 505,660 | Microsoft Corporation | 17,460,440 | ||||||
| 361,180 | NetApp, Inc.a | 13,645,380 | ||||||
| 792,580 | Symantec Corporation | 17,809,273 | ||||||
| 676,490 | Texas Instruments, Inc. | 23,589,206 | ||||||
| 396,550 | Xilinx, Inc. | 15,707,346 | ||||||
|
| |||||||
| Total | 117,930,377 | |||||||
|
| |||||||
| Materials (2.7%) | |||||||
| 188,000 | Celanese Corporation | 8,422,400 | ||||||
| 282,980 | Dow Chemical Company | 9,103,466 | ||||||
| 210,540 | Nucor Corporation | 9,120,593 | ||||||
|
| |||||||
| Total | 26,646,459 | |||||||
|
| |||||||
| Telecommunications Services (1.8%) | |||||||
| 348,414 | Verizon Communications, Inc. | 17,539,161 | ||||||
|
| |||||||
| Total | 17,539,161 | |||||||
|
| |||||||
| Utilities (4.8%) | |||||||
| 664,790 | NiSource, Inc. | 19,039,586 | ||||||
| 615,880 | PG&E Corporation | 28,164,192 | ||||||
|
| |||||||
| Total | 47,203,778 | |||||||
|
| |||||||
| Total Common Stock (cost $753,387,064) | 954,601,298 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (2.9%) | |||||||
| 28,173,872 | Thrivent Cash Management Trust 0.080% | 28,173,872 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 28,173,872 | |||||||
|
| |||||||
Total Investments (cost $781,560,936) 99.9% | $ | 982,775,170 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 0.1% | 949,167 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 983,724,337 | ||||||
|
| |||||||
| a | Non-income producing security. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
173
Table of Contents
Large Cap Value Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
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 | $ | 202,726,479 | ||
Gross unrealized depreciation | (3,732,978 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 198,993,501 | ||
Cost for federal income tax purposes | $ | 783,781,669 |
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 104,524,075 | 104,524,075 | — | — | ||||||||||||
Consumer Staples | 68,359,921 | 68,359,921 | — | — | ||||||||||||
Energy | 119,636,347 | 119,636,347 | — | — | ||||||||||||
Financials | 222,169,841 | 222,169,841 | — | — | ||||||||||||
Health Care | 135,698,207 | 135,698,207 | — | — | ||||||||||||
Industrials | 94,893,132 | 94,893,132 | — | — | ||||||||||||
Information Technology | 117,930,377 | 117,930,377 | — | — | ||||||||||||
Materials | 26,646,459 | 26,646,459 | — | — | ||||||||||||
Telecommunications Services | 17,539,161 | 17,539,161 | — | — | ||||||||||||
Utilities | 47,203,778 | 47,203,778 | — | — | ||||||||||||
Short-Term Investments | 28,173,872 | 28,173,872 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 982,775,170 | $ | 982,775,170 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 9,489,875 | $ | 109,641,475 | $ | 119,131,350 | — | $ | — | $ | 37,404 | |||||||||||||
Cash Management Trust- Short Term Investment | 25,134,925 | 40,584,160 | 37,545,213 | 28,173,872 | 28,173,872 | 13,133 | ||||||||||||||||||
Total Value and Income Earned | 34,624,800 | 28,173,872 | 50,537 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
174
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (92.6%) | Value | ||||||
| Consumer Discretionary (12.7%) | ||||||||
| 27,050 | Amazon.com, Inc.a | $ | 7,511,514 | |||||
| 55,700 | AutoZone, Inc.a | 23,599,533 | ||||||
| 101,000 | CBS Corporation | 4,935,870 | ||||||
| 342,800 | Comcast Corporation | 14,356,464 | ||||||
| 119,500 | Home Depot, Inc. | 9,257,665 | ||||||
| 216,975 | Las Vegas Sands Corporation | 11,484,487 | ||||||
| 482,200 | Sally Beauty Holdings, Inc.a | 14,996,420 | ||||||
|
| |||||||
| Total | 86,141,953 | |||||||
|
| |||||||
| Consumer Staples (9.3%) | ||||||||
| 64,100 | British American Tobacco plc ADRb | 6,598,454 | ||||||
| 205,700 | Kimberly-Clark Corporation | 19,981,698 | ||||||
| 136,800 | Philip Morris International, Inc. | 11,849,616 | ||||||
| 323,200 | Procter & Gamble Company | 24,883,168 | ||||||
|
| |||||||
| Total | 63,312,936 | |||||||
|
| |||||||
| Energy (10.5%) | ||||||||
| 375,691 | BP plc ADR | 15,681,342 | ||||||
| 46,595 | EOG Resources, Inc. | 6,135,630 | ||||||
| 464,500 | Marathon Oil Corporation | 16,062,410 | ||||||
| 123,860 | Schlumberger, Ltd. | 8,875,808 | ||||||
| 1,782,400 | Weatherford International, Ltd.a | 24,418,880 | ||||||
|
| |||||||
| Total | 71,174,070 | |||||||
|
| |||||||
| Financials (16.4%) | ||||||||
| 119,500 | ACE, Ltd. | 10,692,859 | ||||||
| 282,574 | Bank of America Corporation | 3,633,902 | ||||||
| 452,550 | Citigroup, Inc. | 21,708,823 | ||||||
| 66,800 | Goldman Sachs Group, Inc. | 10,103,500 | ||||||
| 557,224 | J.P. Morgan Chase & Company | 29,415,855 | ||||||
| 9,200 | MasterCard, Inc. | 5,285,400 | ||||||
| 194,131 | State Street Corporation | 12,659,282 | ||||||
| 436,480 | Wells Fargo & Company | 18,013,530 | ||||||
|
| |||||||
| Total | 111,513,151 | |||||||
|
| |||||||
| Health Care (13.0%) | ||||||||
| 78,220 | Baxter International, Inc. | 5,418,300 | ||||||
| 103,710 | Covidien plc | 6,517,136 | ||||||
| 369,700 | Eli Lilly and Company | 18,159,664 | ||||||
| 60,500 | Express Scripts Holding Companya | 3,732,245 | ||||||
| 221,100 | Gilead Sciences, Inc.a | 11,322,531 | ||||||
| 483,660 | Merck & Company, Inc. | 22,466,007 | ||||||
| 109,900 | Shire Pharmaceuticals Group plc ADR | 10,452,589 | ||||||
| 155,630 | UnitedHealth Group, Inc. | 10,190,652 | ||||||
|
| |||||||
| Total | 88,259,124 | |||||||
|
| |||||||
| Industrials (8.7%) | ||||||||
| 26,800 | ADT Corporationa | 1,067,980 | ||||||
| 118,040 | Honeywell International, Inc. | 9,365,294 | ||||||
| 258,550 | Jacobs Engineering Group, Inc.a | 14,253,862 | ||||||
| 74,000 | Union Pacific Corporation | 11,416,720 | ||||||
| 252,230 | United Technologies Corporation | 23,442,256 | ||||||
|
| |||||||
| Total | 59,546,112 | |||||||
|
| |||||||
| Information Technology (17.4%) | ||||||||
| 68,224 | Apple, Inc. | 27,022,162 | ||||||
| 123,100 | Citrix Systems, Inc.a | 7,426,623 | ||||||
| 70,800 | eBay, Inc.a | 3,661,776 | ||||||
| 20,921 | Google, Inc.a | 18,418,221 | ||||||
| 691,000 | Intel Corporation | 16,736,020 | ||||||
| 102,719 | Microsoft Corporation | 3,546,887 | ||||||
| 243,100 | NetApp, Inc.a | 9,184,318 | ||||||
| 209,350 | QUALCOMM, Inc. | 12,787,098 | ||||||
| 213,100 | Symantec Corporation | 4,788,357 | ||||||
| 112,800 | VMware, Inc.a | 7,556,472 | ||||||
| 182,070 | Xilinx, Inc. | 7,211,793 | ||||||
|
| |||||||
| Total | 118,339,727 | |||||||
|
| |||||||
| Materials (1.5%) | ||||||||
| 110,000 | Celanese Corporation | 4,928,000 | ||||||
| 45,357 | Southern Copper Corporation | 1,252,760 | ||||||
| 192,100 | Teck Resources, Ltd.b | 4,105,177 | ||||||
|
| |||||||
| Total | 10,285,937 | |||||||
|
| |||||||
| Utilities (3.1%) | ||||||||
| 740,480 | NiSource, Inc. | 21,207,347 | ||||||
|
| |||||||
| Total | 21,207,347 | |||||||
|
| |||||||
| Total Common Stock (cost $558,088,793) | 629,780,357 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.3%) | ||||||||
| 2,173,500 | Thrivent Cash Management Trust | 2,173,500 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $2,173,500) | 2,173,500 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (9.1%) | |||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 2,200,000 | 0.110%, 12/11/2013c,d | 2,198,891 | ||||||
| Thrivent Cash Management Trust | ||||||||
| 59,692,092 | 0.080% | 59,692,092 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 61,890,983 | |||||||
|
| |||||||
| Total Investments (cost $622,153,276) 102.0% | $ | 693,844,840 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (2.0%) | (13,708,224 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 680,136,616 | ||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
175
Table of Contents
Large Cap Stock Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| 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 June 28, 2013, $2,198,891 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. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 77,397,286 | ||
Gross unrealized depreciation | (9,429,069 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 67,968,217 | ||
Cost for federal income tax purposes | $ | 625,876,623 | ||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
176
Table of Contents
Large Cap Stock Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 86,141,953 | 86,141,953 | — | — | ||||||||||||
Consumer Staples | 63,312,936 | 63,312,936 | — | — | ||||||||||||
Energy | 71,174,070 | 71,174,070 | — | — | ||||||||||||
Financials | 111,513,151 | 111,513,151 | — | — | ||||||||||||
Health Care | 88,259,124 | 88,259,124 | — | — | ||||||||||||
Industrials | 59,546,112 | 59,546,112 | — | — | ||||||||||||
Information Technology | 118,339,727 | 118,339,727 | — | — | ||||||||||||
Materials | 10,285,937 | 10,285,937 | — | — | ||||||||||||
Utilities | 21,207,347 | 21,207,347 | — | — | ||||||||||||
| Collateral Held for Securities Loaned | 2,173,500 | 2,173,500 | — | — | ||||||||||||
Short-Term Investments | 61,890,983 | 59,692,092 | 2,198,891 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 693,844,840 | $ | 691,645,949 | $ | 2,198,891 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 655,808 | 655,808 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 655,808 | $ | 655,808 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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 | 76 | September 2013 | $ | 31,042,508 | $ | 30,386,700 | ($ | 655,808 | ) | |||||||||||
Total Futures Contracts | ($ | 655,808 | ) | |||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 28, 2013, 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 | 655,808 | ||||
Total Equity Contracts | 655,808 | |||||
|
| |||||
Total Liability Derivatives | $ | 655,808 | ||||
|
| |||||
| * | 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.
177
Table of Contents
Large Cap Stock Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 28, 2013, 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 | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 5,676,714 | ||||
Total Equity Contracts | 5,676,714 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | 13,838 | ||||
Total Foreign Exchange Contracts | 13,838 | |||||
|
| |||||
Total | $ | 5,690,552 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 28, 2013, 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 | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 36,520 | ||||
Total Equity Contracts | 36,520 | |||||
|
| |||||
Total | $ | 36,520 | ||||
|
| |||||
The following table presents Large Cap Stock Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Forwards (Notional*) | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 44,370,766 | 6.6 | % | N/A | N/A | ||||||||||
Foreign Exchange Contracts | N/A | N/A | $114,420 | <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 Stock Portfolio, is as follows:
Portfolio | Value December 31, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | — | $ | 14,753,750 | $ | 12,580,250 | 2,173,500 | $ | 2,173,500 | $ | 6,530 | |||||||||||||
Cash Management Trust- Short Term Investment | 66,760,615 | 46,082,177 | 53,150,700 | 59,692,092 | 59,692,092 | 28,767 | ||||||||||||||||||
Total Value and Income Earned | 66,760,615 | 61,865,592 | 35,297 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
178
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (98.4%) | Value | ||||||
| Consumer Discretionary (12.1%) | |||||||
| 1,800 | Abercrombie & Fitch Company | $ | 81,450 | |||||
| 8,400 | Amazon.com, Inc.a | 2,332,596 | ||||||
| 1,000 | AutoNation, Inc.a | 43,390 | ||||||
| 900 | AutoZone, Inc.a | 381,321 | ||||||
| 5,100 | Bed Bath & Beyond, Inc.a | 361,590 | ||||||
| 6,225 | Best Buy Company, Inc. | 170,129 | ||||||
| 2,700 | BorgWarner, Inc.a | 232,605 | ||||||
| 5,000 | Cablevision Systems Corporation | 84,100 | ||||||
| 5,300 | CarMax, Inc.a | 244,648 | ||||||
| 10,200 | Carnival Corporation | 349,758 | ||||||
| 13,272 | CBS Corporation | 648,603 | ||||||
| 700 | Chipotle Mexican Grill, Inc.a | 255,045 | ||||||
| 6,500 | Coach, Inc. | 371,085 | ||||||
| 61,015 | Comcast Corporation | 2,555,308 | ||||||
| 6,500 | D.R. Horton, Inc. | 138,320 | ||||||
| 3,050 | Darden Restaurants, Inc. | 153,964 | ||||||
| 6,800 | Delphi Automotive plc | 344,692 | ||||||
| 13,000 | DIRECTVa | 801,060 | ||||||
| 5,700 | Discovery Communications, Inc.a | 440,097 | ||||||
| 7,000 | Dollar General Corporationa | 353,010 | ||||||
| 5,200 | Dollar Tree, Inc.a | 264,368 | ||||||
| 2,250 | Expedia, Inc. | 135,338 | ||||||
| 2,300 | Family Dollar Stores, Inc. | 143,313 | ||||||
| 91,111 | Ford Motor Company | 1,409,487 | ||||||
| 1,300 | Fossil, Inc.a | 134,303 | ||||||
| 5,300 | Gannett Company, Inc. | 129,638 | ||||||
| 6,762 | Gap, Inc. | 282,178 | ||||||
| 2,600 | Garmin, Ltd. | 94,016 | ||||||
| 17,938 | General Motors Companya | 597,515 | ||||||
| 3,600 | Genuine Parts Company | 281,052 | ||||||
| 5,700 | Goodyear Tire & Rubber Companya | 87,153 | ||||||
| 6,400 | H&R Block, Inc. | 177,600 | ||||||
| 5,200 | Harley-Davidson, Inc. | 285,064 | ||||||
| 1,600 | Harman International Industries, Inc. | 86,720 | ||||||
| 2,650 | Hasbro, Inc.b | 118,799 | ||||||
| 33,900 | Home Depot, Inc. | 2,626,233 | ||||||
| 6,100 | International Game Technology | 101,931 | ||||||
| 9,867 | Interpublic Group of Companies, Inc. | 143,565 | ||||||
| 3,400 | J.C. Penney Company, Inc.a | 58,072 | ||||||
| 15,800 | Johnson Controls, Inc. | 565,482 | ||||||
| 4,800 | Kohl’s Corporation | 242,448 | ||||||
| 5,604 | L Brands, Inc. | 275,997 | ||||||
| 3,300 | Leggett & Platt, Inc. | 102,597 | ||||||
| 3,900 | Lennar Corporation | 140,556 | ||||||
| 24,900 | Lowe’s Companies, Inc. | 1,018,410 | ||||||
| 8,968 | Macy’s, Inc. | 430,464 | ||||||
| 5,606 | Marriott International, Inc. | 226,314 | ||||||
| 7,950 | Mattel, Inc. | 360,214 | ||||||
| 23,200 | McDonald’s Corporation | 2,296,800 | ||||||
| 1,300 | Netflix, Inc.a | 274,417 | ||||||
| 6,673 | Newell Rubbermaid, Inc. | 175,166 | ||||||
| 46,100 | News Corporation | 1,502,860 | ||||||
| 16,700 | NIKE, Inc. | 1,063,456 | ||||||
| 3,500 | Nordstrom, Inc. | 209,790 | ||||||
| 6,000 | Omnicom Group, Inc. | 377,220 | ||||||
| 2,600 | O’Reilly Automotive, Inc.a | 292,812 | ||||||
| 2,400 | PetSmart, Inc. | 160,776 | ||||||
| 1,200 | Priceline.com, Inc.a | 992,556 | ||||||
| 7,892 | Pulte Group, Inc.a | 149,711 | ||||||
| 1,800 | PVH Corporation | 225,090 | ||||||
| 1,400 | Ralph Lauren Corporation | 243,236 | ||||||
| 5,100 | Ross Stores, Inc. | 330,531 | ||||||
| 2,000 | Scripps Networks Interactive | 133,520 | ||||||
| 2,000 | Sherwin-Williams Company | 353,200 | ||||||
| 1,400 | Snap-On, Inc. | 125,132 | ||||||
| 15,475 | Staples, Inc. | 245,433 | ||||||
| 17,300 | Starbucks Corporation | 1,132,977 | ||||||
| 4,500 | Starwood Hotels & Resorts Worldwide, Inc. | 284,355 | ||||||
| 14,900 | Target Corporation | 1,026,014 | ||||||
| 2,800 | Tiffany & Company | 203,952 | ||||||
| 6,758 | Time Warner Cable, Inc. | 760,140 | ||||||
| 21,550 | Time Warner, Inc. | 1,246,021 | ||||||
| 16,700 | TJX Companies, Inc. | 836,002 | ||||||
| 2,550 | TripAdvisor, Inc.a | 155,219 | ||||||
| 2,600 | Urban Outfitters, Inc.a | 104,572 | ||||||
| 2,100 | VF Corporation | 405,426 | ||||||
| 10,372 | Viacom, Inc. | 705,815 | ||||||
| 41,647 | Walt Disney Company | 2,630,008 | ||||||
| 70 | Washington Post Company | 33,864 | ||||||
| 1,857 | Whirlpool Corporation | 212,367 | ||||||
| 3,172 | Wyndham Worldwide Corporation | 181,534 | ||||||
| 1,900 | Wynn Resorts, Ltd. | 243,200 | ||||||
| 10,480 | Yum! Brands, Inc. | 726,683 | ||||||
|
| |||||||
| Total | 40,901,453 | |||||||
|
| |||||||
| Consumer Staples (10.3%) | |||||||
| 46,500 | Altria Group, Inc. | 1,627,035 | ||||||
| 15,268 | Archer-Daniels-Midland Company | 517,738 | ||||||
| 10,100 | Avon Products, Inc. | 212,403 | ||||||
| 3,700 | Beam, Inc. | 233,507 | ||||||
| 3,537 | Brown-Forman Corporation | 238,924 | ||||||
| 4,200 | Campbell Soup Company | 188,118 | ||||||
| 3,100 | Clorox Company | 257,734 | ||||||
| 88,800 | Coca-Cola Company | 3,561,768 | ||||||
| 6,000 | Coca-Cola Enterprises, Inc. | 210,960 | ||||||
| 20,300 | Colgate-Palmolive Company | 1,162,987 | ||||||
| 9,600 | ConAgra Foods, Inc. | 335,328 | ||||||
| 3,500 | Constellation Brands, Inc.a | 182,420 | ||||||
| 10,100 | Costco Wholesale Corporation | 1,116,757 | ||||||
| 28,344 | CVS Caremark Corporation | 1,620,710 | ||||||
| 4,800 | Dr Pepper Snapple Group, Inc. | 220,464 | ||||||
| 5,600 | Estee Lauder Companies, Inc. | 368,312 | ||||||
| 14,900 | General Mills, Inc. | 723,097 | ||||||
| 3,500 | Hershey Company | 312,480 | ||||||
| 3,200 | Hormel Foods Corporation | 123,456 | ||||||
| 2,551 | J.M. Smucker Company | 263,136 | ||||||
| 5,800 | Kellogg Company | 372,534 | ||||||
| 8,892 | Kimberly-Clark Corporation | 863,769 | ||||||
| 13,717 | Kraft Foods Group, Inc. | 766,369 | ||||||
| 12,000 | Kroger Company | 414,480 | ||||||
| 8,700 | Lorillard, Inc. | 380,016 | ||||||
| 3,100 | McCormick & Company, Inc. | 218,116 | ||||||
| 4,728 | Mead Johnson Nutrition Company | 374,599 | ||||||
| 3,600 | Molson Coors Brewing Company | 172,296 | ||||||
| 41,352 | Mondelez International, Inc. | 1,179,772 | ||||||
| 3,400 | Monster Beverage Corporationa | 206,618 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
179
Table of Contents
Large Cap Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (98.4%) | Value | ||||||
| Consumer Staples (10.3%)—continued | |||||||
| 35,830 | PepsiCo, Inc. | $ | 2,930,536 | |||||
| 38,000 | Philip Morris International, Inc. | 3,291,560 | ||||||
| 63,538 | Procter & Gamble Company | 4,891,791 | ||||||
| 7,400 | Reynolds American, Inc. | 357,938 | ||||||
| 5,600 | Safeway, Inc. | 132,496 | ||||||
| 13,700 | Sysco Corporation | 467,992 | ||||||
| 6,500 | Tyson Foods, Inc. | 166,920 | ||||||
| 19,900 | Walgreen Company | 879,580 | ||||||
| 38,000 | Wal-Mart Stores, Inc. | 2,830,620 | ||||||
| 8,000 | Whole Foods Market, Inc. | 411,840 | ||||||
|
| |||||||
| Total | 34,787,176 | |||||||
|
| |||||||
| Energy (10.4%) | |||||||
| 11,572 | Anadarko Petroleum Corporation | 994,382 | ||||||
| 9,120 | Apache Corporation | 764,530 | ||||||
| 10,283 | Baker Hughes, Inc. | 474,355 | ||||||
| 4,900 | Cabot Oil & Gas Corporation | 347,998 | ||||||
| 5,800 | Cameron International Corporationa | 354,728 | ||||||
| 12,100 | Chesapeake Energy Corporationb | 246,598 | ||||||
| 44,896 | Chevron Corporation | 5,312,993 | ||||||
| 28,349 | ConocoPhillips | 1,715,114 | ||||||
| 5,300 | Consol Energy, Inc. | 143,630 | ||||||
| 8,600 | Denbury Resources, Inc.a | 148,952 | ||||||
| 8,800 | Devon Energy Corporation | 456,544 | ||||||
| 1,700 | Diamond Offshore Drilling, Inc.b | 116,943 | ||||||
| 5,400 | Ensco plc | 313,848 | ||||||
| 6,300 | EOG Resources, Inc. | 829,584 | ||||||
| 3,500 | EQT Corporation | 277,795 | ||||||
| 103,190 | Exxon Mobil Corporation | 9,323,216 | ||||||
| 5,500 | FMC Technologies, Inc.a | 306,240 | ||||||
| 21,600 | Halliburton Company | 901,152 | ||||||
| 2,500 | Helmerich & Payne, Inc. | 156,125 | ||||||
| 6,900 | Hess Corporation | 458,781 | ||||||
| 14,600 | Kinder Morgan, Inc. | 556,990 | ||||||
| 16,468 | Marathon Oil Corporation | 569,463 | ||||||
| 7,584 | Marathon Petroleum Corporation | 538,919 | ||||||
| 4,200 | Murphy Oil Corporation | 255,738 | ||||||
| 6,800 | Nabors Industries, Ltd. | 104,108 | ||||||
| 9,900 | National Oilwell Varco, Inc. | 682,110 | ||||||
| 3,200 | Newfield Exploration Companya | 76,448 | ||||||
| 5,900 | Noble Corporation | 221,722 | ||||||
| 8,400 | Noble Energy, Inc. | 504,336 | ||||||
| 18,600 | Occidental Petroleum Corporation | 1,659,678 | ||||||
| 6,300 | Peabody Energy Corporation | 92,232 | ||||||
| 14,324 | Phillips 66 | 843,827 | ||||||
| 3,100 | Pioneer Natural Resources Company | 448,725 | ||||||
| 4,200 | QEP Resources, Inc. | 116,676 | ||||||
| 3,800 | Range Resources Corporation | 293,816 | ||||||
| 2,900 | Rowan Companies plca | 98,803 | ||||||
| 30,794 | Schlumberger, Ltd. | 2,206,698 | ||||||
| 8,100 | Southwestern Energy Companya | 295,893 | ||||||
| 15,504 | Spectra Energy Corporation | 534,268 | ||||||
| 3,200 | Tesoro Corporation | 167,424 | ||||||
| 12,700 | Valero Energy Corporation | 441,579 | ||||||
| 15,800 | Williams Companies, Inc. | 513,026 | ||||||
| 4,700 | WPX Energy, Inc.a | 89,018 | ||||||
|
| |||||||
| Total | 34,955,005 | |||||||
|
| |||||||
| Financials (17.4%) | |||||||
| 7,800 | ACE, Ltd. | 697,944 | ||||||
| 10,800 | Aflac, Inc. | 627,696 | ||||||
| 10,882 | Allstate Corporation | 523,642 | ||||||
| 22,200 | American Express Company | 1,659,672 | ||||||
| 34,167 | American International Group, Inc.a | 1,527,265 | ||||||
| 9,200 | American Tower Corporation | 673,164 | ||||||
| 4,700 | Ameriprise Financial, Inc. | 380,136 | ||||||
| 7,225 | Aon plc | 464,929 | ||||||
| 3,436 | Apartment Investment & Management Company | 103,217 | ||||||
| 1,800 | Assurant, Inc. | 91,638 | ||||||
| 2,901 | AvalonBay Communities, Inc. | 391,374 | ||||||
| 249,910 | Bank of America Corporation | 3,213,843 | ||||||
| 26,852 | Bank of New York Mellon Corporation | 753,199 | ||||||
| 16,200 | BB&T Corporation | 548,856 | ||||||
| 42,269 | Berkshire Hathaway, Inc.a | 4,730,746 | ||||||
| 2,900 | BlackRock, Inc. | 744,865 | ||||||
| 3,500 | Boston Properties, Inc. | 369,145 | ||||||
| 13,473 | Capital One Financial Corporation | 846,239 | ||||||
| 7,100 | CBRE Group, Inc.a | 165,856 | ||||||
| 25,525 | Charles Schwab Corporation | 541,896 | ||||||
| 6,100 | Chubb Corporation | 516,365 | ||||||
| 3,438 | Cincinnati Financial Corporation | 157,804 | ||||||
| 70,493 | Citigroup, Inc. | 3,381,549 | ||||||
| 7,100 | CME Group, Inc. | 539,458 | ||||||
| 4,350 | Comerica, Inc. | 173,260 | ||||||
| 11,425 | Discover Financial Services | 544,287 | ||||||
| 6,610 | E*TRADE Financial Corporationa | 83,683 | ||||||
| 7,400 | Equity Residential | 429,644 | ||||||
| 20,194 | Fifth Third Bancorp | 364,502 | ||||||
| 3,200 | Franklin Resources, Inc. | 435,264 | ||||||
| 11,500 | Genworth Financial, Inc.a | 131,215 | ||||||
| 10,000 | Goldman Sachs Group, Inc. | 1,512,500 | ||||||
| 10,500 | Hartford Financial Services Group, Inc. | 324,660 | ||||||
| 10,500 | HCP, Inc. | 477,120 | ||||||
| 6,500 | Health Care REIT, Inc. | 435,695 | ||||||
| 17,241 | Host Hotels & Resorts, Inc. | 290,856 | ||||||
| 11,100 | Hudson City Bancorp, Inc. | 101,676 | ||||||
| 19,371 | Huntington Bancshares, Inc. | 152,643 | ||||||
| 1,700 | IntercontinentalExchange, Inc.a,b | 302,192 | ||||||
| 10,300 | Invesco, Ltd. | 327,540 | ||||||
| 87,648 | J.P. Morgan Chase & Company | 4,626,938 | ||||||
| 21,300 | KeyCorp | 235,152 | ||||||
| 9,500 | Kimco Realty Corporation | 203,585 | ||||||
| 2,600 | Legg Mason, Inc. | 80,626 | ||||||
| 6,801 | Leucadia National Corporation | 178,322 | ||||||
| 6,294 | Lincoln National Corporation | 229,542 | ||||||
| 7,100 | Loews Corporation | 315,240 | ||||||
| 2,900 | M&T Bank Corporationb | 324,075 | ||||||
| 3,200 | Macerich Company | 195,104 | ||||||
| 12,700 | Marsh & McLennan Companies, Inc. | 506,984 | ||||||
| 2,400 | MasterCard, Inc. | 1,378,800 | ||||||
| 6,400 | McGraw-Hill Companies, Inc. | 340,416 | ||||||
| 25,332 | MetLife, Inc. | 1,159,192 | ||||||
| 4,500 | Moody’s Corporation | 274,185 | ||||||
| 31,750 | Morgan Stanley | 775,653 | ||||||
| 2,800 | NASDAQ OMX Group, Inc. | 91,812 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
180
Table of Contents
Large Cap Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (98.4%) | Value | ||||||
| Financials (17.4%)—continued | |||||||
| 5,100 | Northern Trust Corporation | $ | 295,290 | |||||
| 5,600 | NYSE Euronext | 231,840 | ||||||
| 7,800 | People’s United Financial, Inc. | 116,220 | ||||||
| 3,800 | Plum Creek Timber Company, Inc. | 177,346 | ||||||
| 12,214 | PNC Financial Services Group, Inc. | 890,645 | ||||||
| 6,400 | Principal Financial Group, Inc. | 239,680 | ||||||
| 12,900 | Progressive Corporation | 327,918 | ||||||
| 11,496 | Prologis, Inc. | 433,629 | ||||||
| 10,800 | Prudential Financial, Inc. | 788,724 | ||||||
| 3,400 | Public Storage, Inc. | 521,322 | ||||||
| 32,677 | Regions Financial Corporation | 311,412 | ||||||
| 7,244 | Simon Property Group, Inc. | 1,143,972 | ||||||
| 10,400 | SLM Corporation | 237,744 | ||||||
| 10,500 | State Street Corporation | 684,705 | ||||||
| 12,400 | SunTrust Banks, Inc. | 391,468 | ||||||
| 5,968 | T. Rowe Price Group, Inc. | 436,559 | ||||||
| 2,200 | Torchmark Corporation | 143,308 | ||||||
| 8,681 | Travelers Companies, Inc. | 693,786 | ||||||
| 42,985 | U.S. Bancorp | 1,553,908 | ||||||
| 6,224 | Unum Group | 182,799 | ||||||
| 6,800 | Ventas, Inc. | 472,328 | ||||||
| 11,800 | Visa, Inc. | 2,156,450 | ||||||
| 3,997 | Vornado Realty Trust | 331,151 | ||||||
| 114,140 | Wells Fargo & Company | 4,710,558 | ||||||
| 13,482 | Weyerhaeuser Company REIT | 384,102 | ||||||
| 6,800 | XL Group plc | 206,176 | ||||||
| 4,300 | Zions Bancorporation | 124,184 | ||||||
|
| |||||||
| Total | 58,840,085 | |||||||
|
| |||||||
| Health Care (12.4%) | |||||||
| 36,200 | Abbott Laboratories | 1,262,656 | ||||||
| 36,700 | AbbVie, Inc. | 1,517,178 | ||||||
| 3,000 | Actavis, Inc.a | 378,660 | ||||||
| 8,739 | Aetna, Inc. | 555,276 | ||||||
| 4,600 | Alexion Pharmaceuticals, Inc.a | 424,304 | ||||||
| 6,900 | Allergan, Inc. | 581,256 | ||||||
| 5,400 | AmerisourceBergen Corporation | 301,482 | ||||||
| 17,340 | Amgen, Inc. | 1,710,764 | ||||||
| 12,600 | Baxter International, Inc. | 872,802 | ||||||
| 4,500 | Becton, Dickinson and Company | 444,735 | ||||||
| 5,500 | Biogen Idec, Inc.a | 1,183,600 | ||||||
| 31,350 | Boston Scientific Corporationa | 290,615 | ||||||
| 37,998 | Bristol-Myers Squibb Company | 1,698,131 | ||||||
| 1,800 | C.R. Bard, Inc. | 195,624 | ||||||
| 7,975 | Cardinal Health, Inc. | 376,420 | ||||||
| 5,187 | CareFusion Corporationa | 191,141 | ||||||
| 9,700 | Celgene Corporationa | 1,134,027 | ||||||
| 3,400 | Cerner Corporationa | 326,706 | ||||||
| 6,600 | CIGNA Corporation | 478,434 | ||||||
| 10,900 | Covidien plc | 684,956 | ||||||
| 2,000 | DaVita HealthCare Partners, Inc.a | 241,600 | ||||||
| 3,300 | DENTSPLY International, Inc. | 135,168 | ||||||
| 2,700 | Edwards Lifesciences Corporationa | 181,440 | ||||||
| 23,000 | Eli Lilly and Company | 1,129,760 | ||||||
| 18,845 | Express Scripts Holding Companya | 1,162,548 | ||||||
| 5,500 | Forest Laboratories, Inc.a | 225,500 | ||||||
| 35,300 | Gilead Sciences, Inc.a | 1,807,713 | ||||||
| 3,880 | Hospira, Inc.a | 148,643 | ||||||
| 3,700 | Humana, Inc. | 312,206 | ||||||
| 900 | Intuitive Surgical, Inc.a | 455,922 | ||||||
| 65,040 | Johnson & Johnson | 5,584,334 | ||||||
| 2,200 | Laboratory Corporation of America Holdingsa | 220,220 | ||||||
| 4,043 | Life Technologies Corporationa | 299,222 | ||||||
| 5,342 | McKesson Corporation | 611,659 | ||||||
| 23,400 | Medtronic, Inc. | 1,204,398 | ||||||
| 69,983 | Merck & Company, Inc. | 3,250,710 | ||||||
| 8,900 | Mylan, Inc.a | 276,167 | ||||||
| 2,000 | Patterson Companies, Inc. | 75,200 | ||||||
| 2,600 | PerkinElmer, Inc. | 84,500 | ||||||
| 2,100 | Perrigo Company | 254,100 | ||||||
| 154,760 | Pfizer, Inc.b | 4,334,828 | ||||||
| 3,700 | Quest Diagnostics, Inc. | 224,331 | ||||||
| 1,800 | Regeneron Pharmaceuticals, Inc.a | 404,784 | ||||||
| 6,484 | St. Jude Medical, Inc. | 295,865 | ||||||
| 6,700 | Stryker Corporation | 433,356 | ||||||
| 2,475 | Tenet Healthcare Corporationa | 114,098 | ||||||
| 8,300 | Thermo Fisher Scientific, Inc. | 702,429 | ||||||
| 23,600 | UnitedHealth Group, Inc. | 1,545,328 | ||||||
| 2,600 | Varian Medical Systems, Inc.a | 175,370 | ||||||
| 2,000 | Waters Corporationa | 200,100 | ||||||
| 7,000 | WellPoint, Inc. | 572,880 | ||||||
| 3,950 | Zimmer Holdings, Inc. | 296,013 | ||||||
| 11,700 | Zoetis, Inc. | 361,413 | ||||||
|
| |||||||
| Total | 41,930,572 | |||||||
|
| |||||||
| Industrials (10.0%) | |||||||
| 14,700 | 3M Company | 1,607,445 | ||||||
| 5,100 | ADT Corporationa | 203,235 | ||||||
| 2,400 | Avery Dennison Corporation | 102,624 | ||||||
| 15,760 | Boeing Company | 1,614,454 | ||||||
| 3,800 | C.H. Robinson Worldwide, Inc. | 213,978 | ||||||
| 15,200 | Caterpillar, Inc. | 1,253,848 | ||||||
| 2,500 | Cintas Corporation | 113,850 | ||||||
| 23,600 | CSX Corporation | 547,284 | ||||||
| 4,100 | Cummins, Inc. | 444,686 | ||||||
| 13,400 | Danaher Corporation | 848,220 | ||||||
| 9,000 | Deere & Company | 731,250 | ||||||
| 4,000 | Dover Corporation | 310,640 | ||||||
| 1,000 | Dun & Bradstreet Corporation | 97,450 | ||||||
| 10,944 | Eaton Corporation plc | 720,225 | ||||||
| 16,700 | Emerson Electric Company | 910,818 | ||||||
| 2,800 | Equifax, Inc. | 165,004 | ||||||
| 4,800 | Expeditors International of Washington, Inc. | 182,448 | ||||||
| 6,300 | Fastenal Company | 288,855 | ||||||
| 6,760 | FedEx Corporation | 666,401 | ||||||
| 1,600 | First Solar, Inc.a | 71,568 | ||||||
| 3,300 | Flowserve Corporation | 178,233 | ||||||
| 3,700 | Fluor Corporation | 219,447 | ||||||
| 7,700 | General Dynamics Corporation | 603,141 | ||||||
| 239,800 | General Electric Company | 5,560,962 | ||||||
| 18,175 | Honeywell International, Inc. | 1,442,004 | ||||||
| 9,600 | Illinois Tool Works, Inc. | 664,032 | ||||||
| 6,400 | Ingersoll-Rand plc | 355,328 | ||||||
| 3,919 | Iron Mountain, Inc. | 104,285 | ||||||
| 3,100 | Jacobs Engineering Group, Inc.a | 170,903 | ||||||
| 2,500 | Joy Global, Inc. | 121,325 | ||||||
| 2,600 | Kansas City Southern | 275,496 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
181
Table of Contents
Large Cap Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (98.4%) | Value | ||||||
| Industrials (10.0%)—continued | |||||||
| 2,100 | L-3 Communications Holdings, Inc. | $ | 180,054 | |||||
| 6,200 | Lockheed Martin Corporation | 672,452 | ||||||
| 8,300 | Masco Corporation | 161,767 | ||||||
| 7,300 | Norfolk Southern Corporation | 530,345 | ||||||
| 5,498 | Northrop Grumman Corporation | 455,234 | ||||||
| 8,237 | PACCAR, Inc. | 441,997 | ||||||
| 2,600 | Pall Corporation | 172,718 | ||||||
| 3,475 | Parker Hannifin Corporation | 331,515 | ||||||
| 4,799 | Pentair, Ltd. | 276,854 | ||||||
| 4,700 | Pitney Bowes, Inc.b | 68,996 | ||||||
| 3,400 | Precision Castparts Corporation | 768,434 | ||||||
| 5,000 | Quanta Services, Inc.a | 132,300 | ||||||
| 7,600 | Raytheon Company | 502,512 | ||||||
| 6,920 | Republic Services, Inc. | 234,865 | ||||||
| 3,300 | Robert Half International, Inc. | 109,659 | ||||||
| 3,200 | Rockwell Automation, Inc. | 266,048 | ||||||
| 3,200 | Rockwell Collins, Inc. | 202,912 | ||||||
| 2,300 | Roper Industries, Inc. | 285,706 | ||||||
| 1,200 | Ryder System, Inc. | 72,948 | ||||||
| 16,800 | Southwest Airlines Company | 216,552 | ||||||
| 3,700 | Stanley Black & Decker, Inc. | 286,010 | ||||||
| 2,000 | Stericycle, Inc.a | 220,860 | ||||||
| 6,400 | Textron, Inc. | 166,720 | ||||||
| 10,800 | Tyco International, Ltd. | 355,860 | ||||||
| 10,900 | Union Pacific Corporation | 1,681,652 | ||||||
| 16,500 | United Parcel Service, Inc. | 1,426,920 | ||||||
| 19,600 | United Technologies Corporation | 1,821,624 | ||||||
| 1,400 | W.W. Grainger, Inc. | 353,052 | ||||||
| 10,099 | Waste Management, Inc. | 407,293 | ||||||
| 4,300 | Xylem, Inc. | 115,842 | ||||||
|
| |||||||
| Total | 33,709,140 | |||||||
|
| |||||||
| Information Technology (16.6%) | |||||||
| 15,000 | Accenture plc | 1,079,400 | ||||||
| 11,600 | Adobe Systems, Inc.a | 528,496 | ||||||
| 14,100 | Advanced Micro Devices, Inc.a,b | 57,528 | ||||||
| 8,015 | Agilent Technologies, Inc. | 342,721 | ||||||
| 4,200 | Akamai Technologies, Inc.a | 178,710 | ||||||
| 7,500 | Altera Corporation | 247,425 | ||||||
| 3,700 | Amphenol Corporation | 288,378 | ||||||
| 7,100 | Analog Devices, Inc. | 319,926 | ||||||
| 21,700 | Apple, Inc.c | 8,594,936 | ||||||
| 27,800 | Applied Materials, Inc. | 414,498 | ||||||
| 5,300 | Autodesk, Inc.a | 179,882 | ||||||
| 11,300 | Automatic Data Processing, Inc. | 778,118 | ||||||
| 3,100 | BMC Software, Inc.a | 139,934 | ||||||
| 12,200 | Broadcom Corporation | 411,872 | ||||||
| 7,712 | CA, Inc. | 220,795 | ||||||
| 123,900 | Cisco Systems, Inc. | 3,012,009 | ||||||
| 4,300 | Citrix Systems, Inc.a | 259,419 | ||||||
| 7,000 | Cognizant Technology Solutions Corporationa | 438,270 | ||||||
| 3,500 | Computer Sciences Corporation | 153,195 | ||||||
| 34,200 | Corning, Inc. | 486,666 | ||||||
| 34,000 | Dell, Inc. | 453,900 | ||||||
| 27,000 | eBay, Inc.a | 1,396,440 | ||||||
| 7,000 | Electronic Arts, Inc.a | 160,790 | ||||||
| 48,686 | EMC Corporation | 1,149,963 | ||||||
| 1,900 | F5 Networks, Inc.a | 130,720 | ||||||
| 6,800 | Fidelity National Information Services, Inc. | 291,312 | ||||||
| 3,100 | Fiserv, Inc.a | 270,971 | ||||||
| 3,300 | FLIR Systems, Inc. | 89,001 | ||||||
| 2,800 | GameStop Corporationb | 117,684 | ||||||
| 6,200 | Google, Inc.a | 5,458,294 | ||||||
| 2,600 | Harris Corporation | 128,050 | ||||||
| 44,786 | Hewlett-Packard Company | 1,110,693 | ||||||
| 115,200 | Intel Corporation | 2,790,144 | ||||||
| 24,200 | International Business Machines Corporation | 4,624,862 | ||||||
| 6,500 | Intuit, Inc. | 396,695 | ||||||
| 4,200 | Jabil Circuit, Inc. | 85,596 | ||||||
| 5,462 | JDS Uniphase Corporationa | 78,544 | ||||||
| 11,800 | Juniper Networks, Inc.a | 227,858 | ||||||
| 3,900 | KLA-Tencor Corporation | 217,347 | ||||||
| 3,800 | Lam Research Corporationa | 168,492 | ||||||
| 5,400 | Linear Technology Corporation | 198,936 | ||||||
| 12,700 | LSI Corporationa | 90,678 | ||||||
| 4,500 | Microchip Technology, Inc. | 167,625 | ||||||
| 23,800 | Micron Technology, Inc.a | 341,054 | ||||||
| 174,200 | Microsoft Corporation | 6,015,126 | ||||||
| 3,300 | Molex, Inc. | 96,822 | ||||||
| 6,355 | Motorola Solutions, Inc. | 366,874 | ||||||
| 8,400 | NetApp, Inc.a | 317,352 | ||||||
| 13,450 | NVIDIA Corporation | 188,703 | ||||||
| 85,137 | Oracle Corporation | 2,615,409 | ||||||
| 7,500 | Paychex, Inc.b | 273,900 | ||||||
| 40,000 | QUALCOMM, Inc. | 2,443,200 | ||||||
| 4,400 | Red Hat, Inc.a | 210,408 | ||||||
| 6,500 | SAIC, Inc. | 90,545 | ||||||
| 12,500 | Salesforce.com, Inc.a | 477,250 | ||||||
| 5,600 | SanDisk Corporationa | 342,160 | ||||||
| 7,400 | Seagate Technology plc | 331,742 | ||||||
| 16,124 | Symantec Corporation | 362,306 | ||||||
| 9,700 | TE Connectivity, Ltd. | 441,738 | ||||||
| 3,800 | Teradata Corporationa | 190,874 | ||||||
| 4,400 | Teradyne, Inc.a | 77,308 | ||||||
| 25,700 | Texas Instruments, Inc. | 896,159 | ||||||
| 3,800 | Total System Services, Inc. | 93,024 | ||||||
| 3,500 | VeriSign, Inc.a | 156,310 | ||||||
| 5,000 | Western Digital Corporation | 310,450 | ||||||
| 12,980 | Western Union Company | 222,088 | ||||||
| 28,485 | Xerox Corporation | 258,359 | ||||||
| 6,100 | Xilinx, Inc. | 241,621 | ||||||
| 22,100 | Yahoo!, Inc.a | 554,931 | ||||||
|
| |||||||
| Total | 55,852,486 | |||||||
|
| |||||||
| Materials (3.1%) | |||||||
| 4,800 | Air Products and Chemicals, Inc. | 439,536 | ||||||
| 1,600 | Airgas, Inc. | 152,736 | ||||||
| 24,764 | Alcoa, Inc. | 193,655 | ||||||
| 2,569 | Allegheny Technologies, Inc. | 67,590 | ||||||
| 3,500 | Ball Corporation | 145,390 | ||||||
| 2,400 | Bemis Company, Inc. | 93,936 | ||||||
| 1,400 | CF Industries Holdings, Inc. | 240,100 | ||||||
| 3,600 | Cliffs Natural Resources, Inc.b | 58,500 | ||||||
| 27,993 | Dow Chemical Company | 900,535 | ||||||
| 21,411 | E.I. du Pont de Nemours and Company | 1,124,078 | ||||||
| 3,600 | Eastman Chemical Company | 252,036 | ||||||
| 6,200 | Ecolab, Inc. | 528,178 | ||||||
| 3,200 | FMC Corporation | 195,392 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
182
Table of Contents
Large Cap Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (98.4%) | Value | ||||||
| Materials (3.1%)—continued | |||||||
| 24,092 | Freeport-McMoRan Copper & Gold, Inc. | $ | 665,180 | |||||
| 1,900 | International Flavors & Fragrances, Inc. | 142,804 | ||||||
| 10,271 | International Paper Company | 455,108 | ||||||
| 8,800 | LyondellBasell Industries NV | 583,088 | ||||||
| 4,081 | MeadWestvaco Corporation | 139,203 | ||||||
| 12,378 | Monsanto Company | 1,222,946 | ||||||
| 6,400 | Mosaic Company | 344,384 | ||||||
| 11,548 | Newmont Mining Corporation | 345,863 | ||||||
| 7,400 | Nucor Corporation | 320,568 | ||||||
| 3,900 | Owens-Illinois, Inc.a | 108,381 | ||||||
| 3,300 | PPG Industries, Inc. | 483,153 | ||||||
| 6,900 | Praxair, Inc. | 794,604 | ||||||
| 4,552 | Sealed Air Corporation | 109,020 | ||||||
| 2,800 | Sigma-Aldrich Corporation | 225,008 | ||||||
| 3,400 | United States Steel Corporationb | 59,602 | ||||||
| 3,000 | Vulcan Materials Company | 145,230 | ||||||
|
| |||||||
| Total | 10,535,804 | |||||||
|
| |||||||
| Telecommunications Services (2.8%) | |||||||
| 124,839 | AT&T, Inc. | 4,419,300 | ||||||
| 14,125 | CenturyLink, Inc. | 499,319 | ||||||
| 6,800 | Crown Castle International Corporationa | 492,252 | ||||||
| 23,078 | Frontier Communications Corporationb | 93,466 | ||||||
| 69,920 | Sprint Nextel Corporationa | 490,838 | ||||||
| 66,296 | Verizon Communications, Inc. | 3,337,341 | ||||||
| 13,707 | Windstream Corporationb | 105,681 | ||||||
|
| |||||||
| Total | 9,438,197 | |||||||
|
| |||||||
| Utilities (3.3%) | |||||||
| 14,400 | AES Corporation | 172,656 | ||||||
| 2,805 | AGL Resources, Inc. | 120,222 | ||||||
| 5,700 | Ameren Corporation | 196,308 | ||||||
| 11,260 | American Electric Power Company, Inc. | 504,223 | ||||||
| 9,973 | CenterPoint Energy, Inc. | 234,266 | ||||||
| 6,100 | CMS Energy Corporation | 165,737 | ||||||
| 6,800 | Consolidated Edison, Inc. | 396,508 | ||||||
| 13,394 | Dominion Resources, Inc. | 761,047 | ||||||
| 4,100 | DTE Energy Company | 274,741 | ||||||
| 16,302 | Duke Energy Corporation | 1,100,385 | ||||||
| 7,600 | Edison International, Inc. | 366,016 | ||||||
| 4,200 | Entergy Corporation | 292,656 | ||||||
| 19,774 | Exelon Corporation | 610,621 | ||||||
| 9,734 | FirstEnergy Corporation | 363,467 | ||||||
| 1,815 | Integrys Energy Group, Inc. | 106,232 | ||||||
| 9,800 | NextEra Energy, Inc. | 798,504 | ||||||
| 7,209 | NiSource, Inc. | 206,466 | ||||||
| 7,300 | Northeast Utilities | 306,746 | ||||||
| 7,500 | NRG Energy, Inc. | 200,250 | ||||||
| 4,800 | ONEOK, Inc. | 198,288 | ||||||
| 5,700 | Pepco Holdings, Inc. | 114,912 | ||||||
| 10,200 | PG&E Corporation | 466,446 | ||||||
| 2,600 | Pinnacle West Capital Corporation | 144,222 | ||||||
| 13,700 | PPL Corporation | 414,562 | ||||||
| 11,700 | Public Service Enterprise Group, Inc. | 382,122 | ||||||
| 3,200 | SCANA Corporation | 157,120 | ||||||
| 5,275 | Sempra Energy | 431,284 | ||||||
| 20,100 | Southern Company | 887,013 | ||||||
| 4,800 | TECO Energy, Inc. | 82,512 | ||||||
| 5,300 | Wisconsin Energy Corporation | 217,247 | ||||||
| 11,505 | Xcel Energy, Inc. | 326,052 | ||||||
|
| |||||||
| Total | 10,998,831 | |||||||
|
| |||||||
Total Common Stock (cost $231,352,327) | 331,948,749 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (1.7%) | ||||||||
| 5,976,700 | Thrivent Cash Management Trust | 5,976,700 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $5,976,700) | 5,976,700 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (1.5%) | |||||||
| 4,978,909 | Thrivent Cash Management Trust 0.080% | 4,978,909 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 4,978,909 | |||||||
|
| |||||||
| Total Investments (cost $242,307,936) 101.6% | $ | 342,904,358 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (1.6%) | (5,493,162 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 337,411,196 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | At June 28, 2013, $792,160 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 | $ | 99,878,818 | ||
Gross unrealized depreciation | (19,374,909 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 80,503,909 | ||
Cost for federal income tax purposes | $ | 262,400,449 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
183
Table of Contents
Large Cap Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 40,901,453 | 40,901,453 | — | — | ||||||||||||
Consumer Staples | 34,787,176 | 34,787,176 | — | — | ||||||||||||
Energy | 34,955,005 | 34,955,005 | — | — | ||||||||||||
Financials | 58,840,085 | 58,840,085 | — | — | ||||||||||||
Health Care | 41,930,572 | 41,930,572 | — | — | ||||||||||||
Industrials | 33,709,140 | 33,709,140 | — | — | ||||||||||||
Information Technology | 55,852,486 | 55,852,486 | — | — | ||||||||||||
Materials | 10,535,804 | 10,535,804 | — | — | ||||||||||||
Telecommunications Services | 9,438,197 | 9,438,197 | — | — | ||||||||||||
Utilities | 10,998,831 | 10,998,831 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 5,976,700 | 5,976,700 | — | — | ||||||||||||
Short-Term Investments | 4,978,909 | 4,978,909 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 342,904,358 | $ | 342,904,358 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 94,920 | 94,920 | — | — | ||||||||||||
Total Liability Derivatives | $ | 94,920 | $ | 94,920 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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 | 11 | September 2013 | $ | 4,492,995 | $ | 4,398,075 | ($ | 94,920 | ) | |||||||||||
Total Futures Contracts | ($ | 94,920 | ) | |||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 28, 2013, 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 | 94,920 | ||||
Total Equity Contracts | 94,920 | |||||
|
| |||||
Total Liability Derivatives | $ | 94,920 | ||||
|
| |||||
| * | 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 accompanying Notes to Financial Statements are an integral part of this schedule.
184
Table of Contents
Large Cap Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 28, 2013, 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 | 360,220 | ||||
Total Equity Contracts | 360,220 | |||||
|
| |||||
Total | $ | 360,220 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 28, 2013, 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 | (72,438 | ) | |||
Total Equity Contracts | (72,438 | ) | ||||
|
| |||||
Total | ($ | 72,438 | ) | |||
|
| |||||
The following table presents Large Cap Index Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 3,449,625 | 1.0 | % | ||||
| * | 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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 1,526,426 | $ | 12,312,712 | $ | 7,862,438 | 5,976,700 | $ | 5,976,700 | $ | 5,455 | |||||||||||||
Cash Management Trust- Short Term Investment | 2,166,703 | 13,156,513 | 10,344,307 | 4,978,909 | 4,978,909 | 1,579 | ||||||||||||||||||
Total Value and Income Earned | 3,693,129 | 10,955,609 | 7,034 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
185
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (89.5%) | Value | ||||||
| Consumer Discretionary (9.5%) | ||||||||
| 32,500 | Apollo Group, Inc.a,b | $ | 575,900 | |||||
| 19,400 | Brown Shoe Company, Inc. | 417,682 | ||||||
| 28,600 | Comcast Corporation | 1,197,768 | ||||||
| 13,500 | Expedia, Inc. | 812,025 | ||||||
| 27,900 | General Motors Companyb | 929,349 | ||||||
| 9,100 | Hanesbrands, Inc. | 467,922 | ||||||
| 19,000 | Home Depot, Inc. | 1,471,930 | ||||||
| 5,200 | Honda Motor Company, Ltd. ADR | 193,700 | ||||||
| 28,900 | Lowe’s Companies, Inc. | 1,182,010 | ||||||
| 6,900 | Macy’s, Inc. | 331,200 | ||||||
| 7,200 | Shaw Communications, Inc.a | 173,016 | ||||||
| 5,400 | Sherwin-Williams Company | 953,640 | ||||||
| 6,700 | Target Corporation | 461,362 | ||||||
| 22,600 | Thomson Reuters Corporation | 736,082 | ||||||
| 20,900 | TJX Companies, Inc. | 1,046,254 | ||||||
| 3,900 | Toyota Motor Corporation ADR | 470,574 | ||||||
|
| |||||||
| Total | 11,420,414 | |||||||
|
| |||||||
| Consumer Staples (8.5%) | ||||||||
| 3,600 | Anheuser-Busch InBev NV ADR | 324,936 | ||||||
| 1,900 | British American Tobacco plc ADR | 195,586 | ||||||
| 22,600 | Coca-Cola Company | 906,486 | ||||||
| 4,000 | Colgate-Palmolive Company | 229,160 | ||||||
| 6,000 | Companhia de Bebidas das Americas ADR | 224,100 | ||||||
| 20,200 | CVS Caremark Corporation | 1,155,036 | ||||||
| 1,400 | Diageo plc ADR | 160,930 | ||||||
| 5,700 | Energizer Holdings, Inc. | 572,907 | ||||||
| 900 | Fomento Economico Mexicano SAB de CV ADR | 92,871 | ||||||
| 9,700 | General Mills, Inc. | 470,741 | ||||||
| 18,200 | Kraft Foods Group, Inc. | 1,016,834 | ||||||
| 5,000 | PepsiCo, Inc. | 408,950 | ||||||
| 2,200 | Philip Morris International, Inc. | 190,564 | ||||||
| 20,000 | Procter & Gamble Company | 1,539,800 | ||||||
| 6,000 | Reynolds American, Inc. | 290,220 | ||||||
| 6,200 | Unilever NV ADR | 243,722 | ||||||
| 6,100 | Unilever plc ADR | 246,745 | ||||||
| 7,200 | Universal Corporationa | 416,520 | ||||||
| 4,400 | Walgreen Company | 194,480 | ||||||
| 17,500 | Wal-Mart Stores, Inc. | 1,303,575 | ||||||
|
| |||||||
| Total | 10,184,163 | |||||||
|
| |||||||
| Energy (11.5%) | ||||||||
| 4,500 | BP plc ADR | 187,830 | ||||||
| 39,200 | C&J Energy Services, Inc.a,b | 759,304 | ||||||
| 4,100 | Canadian Natural Resources, Ltd. | 115,866 | ||||||
| 18,800 | Chevron Corporation | 2,224,792 | ||||||
| 1,600 | China Petroleum & Chemical Corporation | 146,400 | ||||||
| 900 | CNOOC, Ltd. ADR | 150,732 | ||||||
| 22,500 | ConocoPhillips | 1,361,250 | ||||||
| 3,300 | CVR Energy, Inc. | 156,420 | ||||||
| 5,000 | Diamond Offshore Drilling, Inc.a | 343,950 | ||||||
| 3,900 | Ecopetrol SA ADRa | 164,034 | ||||||
| 3,500 | Eni SPA ADR | 143,640 | ||||||
| 28,100 | Exxon Mobil Corporation | 2,538,835 | ||||||
| 18,600 | HollyFrontier Corporation | 795,708 | ||||||
| 15,900 | Marathon Petroleum Corporation | 1,129,854 | ||||||
| 3,700 | PetroChina Company, Ltd. ADRa | 409,479 | ||||||
| 22,100 | Petroleo Brasileiro SA ADR | 323,986 | ||||||
| 17,300 | Phillips 66 | 1,019,143 | ||||||
| 9,035 | Royal Dutch Shell plc ADR, Class A | 576,433 | ||||||
| 8,500 | Royal Dutch Shell plc ADR, Class B | 563,295 | ||||||
| 5,000 | Statoil ASA ADR | 103,450 | ||||||
| 3,300 | Total SA ADR | 160,710 | ||||||
| 7,100 | Transocean, Ltd. | 340,445 | ||||||
|
| |||||||
| Total | 13,715,556 | |||||||
|
| |||||||
| Financials (23.2%) | ||||||||
| 13,900 | ACE, Ltd. | 1,243,772 | ||||||
| 5,100 | Aflac, Inc. | 296,412 | ||||||
| 1,000 | Alexandria Real Estate Equities, Inc. | 65,720 | ||||||
| 10,000 | American Capital Mortgage Investment Corporation | 179,700 | ||||||
| 4,900 | American Tower Corporation | 358,533 | ||||||
| 7,500 | AmTrust Financial Services, Inc.a | 267,750 | ||||||
| 63,900 | Annaly Capital Management, Inc. | 803,223 | ||||||
| 2,200 | Apartment Investment & Management Company | 66,088 | ||||||
| 20,300 | Aspen Insurance Holdings, Ltd. | 752,927 | ||||||
| 1,200 | AvalonBay Communities, Inc. | 161,892 | ||||||
| 14,231 | Banco Bilbao Vizcaya Argentaria SA ADRa | 119,683 | ||||||
| 9,460 | Banco Bradesco SA ADR | 123,075 | ||||||
| 22,750 | Banco Santander SA ADR | 147,192 | ||||||
| 2,800 | Bank of Nova Scotia | 149,940 | ||||||
| 8,300 | Barclays plc ADR | 142,096 | ||||||
| 2,800 | BioMed Realty Trust, Inc. | 56,644 | ||||||
| 1,900 | Boston Properties, Inc. | 200,393 | ||||||
| 1,300 | BRE Properties, Inc. | 65,026 | ||||||
| 1,200 | Camden Property Trust | 82,968 | ||||||
| 76,100 | CapitalSource, Inc. | 713,818 | ||||||
| 2,700 | CBL & Associates Properties, Inc. | 57,834 | ||||||
| 26,000 | CBOE Holdings, Inc. | 1,212,640 | ||||||
| 260,000 | Chimera Investment Corporation | 780,000 | ||||||
| 4,200 | China Life Insurance Company, Ltd. ADR | 146,496 | ||||||
| 1,700 | Corporate Office Properties Trust | 43,350 | ||||||
| 4,404 | Credit Suisse Group ADRb | 116,530 | ||||||
| 4,500 | DDR Corporation | 74,925 | ||||||
| 2,700 | Deutsche Bank AG ADR | 113,265 | ||||||
| 3,600 | DiamondRock Hospitality Company | 33,552 | ||||||
| 1,400 | Digital Realty Trust, Inc. | 85,400 | ||||||
| 4,200 | Duke Realty Corporation | 65,478 | ||||||
| 34,600 | Dynex Capital, Inc. | 352,574 | ||||||
| 800 | Equity Lifestyle Properties, Inc. | 62,872 | ||||||
| 3,800 | Equity Residential | 220,628 | ||||||
| 500 | Essex Property Trust, Inc. | 79,460 | ||||||
| 900 | Federal Realty Investment Trust | 93,312 | ||||||
| 6,400 | General Growth Properties, Inc. | 127,168 | ||||||
| 5,200 | HCP, Inc. | 236,288 | ||||||
| 2,600 | Health Care REIT, Inc. | 174,278 | ||||||
| 1,500 | Highwoods Properties, Inc. | 53,415 | ||||||
| 900 | Home Properties, Inc. | 58,833 | ||||||
| 2,300 | Hospitality Properties Trust | 60,444 | ||||||
| 9,400 | Host Hotels & Resorts, Inc. | 158,578 | ||||||
| 6,700 | HSBC Holdings plc ADR | 347,730 | ||||||
| 13,400 | ING Groep NV ADRb | 121,806 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
186
Table of Contents
Equity Income Plus Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (89.5%) | Value | ||||||
| Financials (23.2%)—continued | ||||||||
| 33,500 | iShares S&P U.S. Preferred Stock Index Fund | $ | 1,315,880 | |||||
| 11,330 | Itau Unibanco Holding SA ADR | 146,384 | ||||||
| 24,500 | J.P. Morgan Chase & Company | 1,293,355 | ||||||
| 1,100 | Kilroy Realty Corporation | 58,311 | ||||||
| 5,800 | Kimco Realty Corporation | 124,294 | ||||||
| 1,600 | LaSalle Hotel Properties | 39,520 | ||||||
| 1,900 | Liberty Property Trust | 70,224 | ||||||
| 44,400 | Lloyds Banking Group plc ADRa,b | 170,496 | ||||||
| 1,900 | Macerich Company | 115,843 | ||||||
| 1,800 | Mack-Cali Realty Corporation | 44,082 | ||||||
| 9,600 | Manulife Financial Corporation | 153,792 | ||||||
| 1,000 | MasterCard, Inc. | 574,500 | ||||||
| 30,500 | Mitsubishi UFJ Financial Group, Inc. ADR | 189,405 | ||||||
| 25,700 | Mizuho Financial Group, Inc.a | 106,141 | ||||||
| 9,600 | Montpelier Re Holdings, Inc. | 240,096 | ||||||
| 2,000 | Omega Healthcare Investors, Inc. | 62,040 | ||||||
| 10,600 | PartnerRe, Ltd. | 959,936 | ||||||
| 3,100 | Piedmont Office Realty Trust, Inc. | 55,428 | ||||||
| 2,500 | Plum Creek Timber Company, Inc. | 116,675 | ||||||
| 47,100 | PowerShares Preferred Portfolio | 672,117 | ||||||
| 5,978 | Prologis, Inc. | 225,490 | ||||||
| 1,600 | Public Storage, Inc. | 245,328 | ||||||
| 1,800 | Rayonier, Inc. REIT | 99,702 | ||||||
| 2,100 | Realty Income Corporation | 88,032 | ||||||
| 1,500 | Regency Centers Corporation | 76,215 | ||||||
| 5,400 | RenaissanceRe Holdings, Ltd. | 468,666 | ||||||
| 18,200 | Retail Properties of America, Inc. | 259,896 | ||||||
| 1,800 | RLJ Lodging Trust | 40,482 | ||||||
| 3,300 | Royal Bank of Canada ADR | 192,423 | ||||||
| 14,100 | Royal Bank of Scotland Group plc ADRa,b | 118,581 | ||||||
| 2,700 | Senior Housing Property Trust | 70,011 | ||||||
| 3,600 | Simon Property Group, Inc. | 568,512 | ||||||
| 1,300 | SL Green Realty Corporation | 114,647 | ||||||
| 53,170 | SPDR Dow Jones Wilshire International Real Estate ETF | 2,121,483 | ||||||
| 15,900 | Sumitomo Mitsui Financial Group, Inc.a | 146,598 | ||||||
| 1,000 | Taubman Centers, Inc. | 75,150 | ||||||
| 2,200 | Toronto-Dominion Bank | 176,814 | ||||||
| 15,100 | Travelers Companies, Inc. | 1,206,792 | ||||||
| 14,300 | U.S. Bancorp | 516,945 | ||||||
| 9,900 | UBS AG ADRb | 167,805 | ||||||
| 3,300 | UDR, Inc. | 84,117 | ||||||
| 1,900 | Vanguard REIT ETF | 130,568 | ||||||
| 3,722 | Ventas, Inc. | 258,530 | ||||||
| 2,400 | Vornado Realty Trust | 198,840 | ||||||
| 2,200 | Weingarten Realty Investors | 67,694 | ||||||
| 56,700 | Wells Fargo & Company | 2,340,009 | ||||||
| 1,200 | Westpac Banking Corporation ADRa | 158,268 | ||||||
| 7,200 | Weyerhaeuser Company REIT | 205,128 | ||||||
|
| |||||||
| Total | 27,804,953 | |||||||
|
| |||||||
| Health Care (8.4%) | ||||||||
| 24,800 | AbbVie, Inc. | 1,025,232 | ||||||
| 2,200 | Amgen, Inc. | 217,052 | ||||||
| 3,100 | AstraZeneca plc ADR | 146,630 | ||||||
| 17,700 | Bristol-Myers Squibb Company | 791,013 | ||||||
| 17,400 | Eli Lilly and Company | 854,688 | ||||||
| 5,300 | GlaxoSmithKline plc ADR | 264,841 | ||||||
| 10,200 | Johnson & Johnson | 875,772 | ||||||
| 29,100 | Medtronic, Inc. | 1,497,777 | ||||||
| 5,450 | Novartis AG ADR | 385,369 | ||||||
| 1,300 | Novo Nordisk AS ADR | 201,461 | ||||||
| 114,161 | PDL BioPharma, Inc.a | 881,323 | ||||||
| 91,200 | Pfizer, Inc. | 2,554,512 | ||||||
| 6,500 | Sanofi ADR | 334,815 | ||||||
|
| |||||||
| Total | 10,030,485 | |||||||
|
| |||||||
| Industrials (8.8%) | ||||||||
| 11,600 | 3M Company | 1,268,460 | ||||||
| 8,500 | ABB, Ltd. ADRb | 184,110 | ||||||
| 9,300 | ADT Corporationb | 370,605 | ||||||
| 2,100 | Canadian National Railway Company | 204,267 | ||||||
| 2,500 | Copa Holdings SA | 327,800 | ||||||
| 61,100 | Delta Air Lines, Inc.b | 1,143,181 | ||||||
| 9,100 | Dun & Bradstreet Corporationa | 886,795 | ||||||
| 69,000 | Exelis, Inc. | 951,510 | ||||||
| 8,200 | Lockheed Martin Corporation | 889,372 | ||||||
| 17,800 | Northrop Grumman Corporation | 1,473,840 | ||||||
| 16,100 | Raytheon Company | 1,064,532 | ||||||
| 28,400 | Republic Services, Inc. | 963,896 | ||||||
| 2,500 | Siemens AG ADR | 253,275 | ||||||
| 3,400 | Union Pacific Corporation | 524,552 | ||||||
|
| |||||||
| Total | 10,506,195 | |||||||
|
| |||||||
| Information Technology (8.9%) | ||||||||
| 7,300 | Accenture plc | 525,308 | ||||||
| 31,400 | Activision Blizzard, Inc. | 447,764 | ||||||
| 26,400 | AOL, Inc.b | 963,072 | ||||||
| 3,600 | Canon, Inc. ADR | 118,332 | ||||||
| 68,400 | Cisco Systems, Inc. | 1,662,804 | ||||||
| 17,200 | Computer Sciences Corporation | 752,844 | ||||||
| 1,600 | International Business Machines Corporation | 305,776 | ||||||
| 12,400 | j2 Global, Inc.a | 527,124 | ||||||
| 32,200 | Microsoft Corporation | 1,111,866 | ||||||
| 10,400 | Oracle Corporation | 319,488 | ||||||
| 3,000 | SAP AG ADRa | 218,490 | ||||||
| 27,700 | Seagate Technology plc | 1,241,791 | ||||||
| 13,300 | Taiwan Semiconductor Manufacturing Company, Ltd. ADR | 243,656 | ||||||
| 11,800 | Telefonaktiebolaget LM Ericsson ADR | 133,104 | ||||||
| 17,000 | Western Digital Corporation | 1,055,530 | ||||||
| 57,400 | Western Union Company | 982,114 | ||||||
|
| |||||||
| Total | 10,609,063 | |||||||
|
| |||||||
| Materials (2.7%) | ||||||||
| 7,800 | ArcelorMittala | 87,360 | ||||||
| 6,700 | BHP Billiton plc ADRa | 343,509 | ||||||
| 5,300 | BHP Billiton, Ltd. ADRa | 305,598 | ||||||
| 2,300 | CF Industries Holdings, Inc. | 394,450 | ||||||
| 5,300 | Goldcorp, Inc. | 131,069 | ||||||
| 5,600 | Monsanto Company | 553,280 | ||||||
| 1,200 | POSCO ADR | 78,096 | ||||||
| 4,600 | PPG Industries, Inc. | 673,486 | ||||||
| 4,900 | Rio Tinto plc ADRa | 201,292 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
187
Table of Contents
Equity Income Plus Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (89.5%) | Value | ||||||
| Materials (2.7%) - continued | ||||||||
| 4,600 | Schweitzer-Mauduit International, Inc. | $ | 229,448 | |||||
| 2,900 | Southern Copper Corporation | 80,098 | ||||||
| 10,600 | Vale SA ADRa | 139,390 | ||||||
|
| |||||||
| Total | 3,217,076 | |||||||
|
| |||||||
| Telecommunications Services (3.9%) | ||||||||
| 9,100 | America Movil SAB de CV ADR | 197,925 | ||||||
| 35,500 | AT&T, Inc. | 1,256,700 | ||||||
| 3,000 | BCE, Inc. | 123,060 | ||||||
| 7,700 | China Mobile, Ltd. ADRa | 398,629 | ||||||
| 5,000 | Nippon Telegraph & Telephone Corporation ADR | 130,050 | ||||||
| 8,300 | NTT DOCOMO, Inc. ADRa | 129,895 | ||||||
| 2,400 | Rogers Communications, Inc. | 94,080 | ||||||
| 11,300 | Telefonica SA ADRb | 144,753 | ||||||
| 3,600 | Telus Corporation | 105,084 | ||||||
| 35,100 | Verizon Communications, Inc. | 1,766,934 | ||||||
| 9,700 | Vodafone Group plc ADR | 278,778 | ||||||
|
| |||||||
| Total | 4,625,888 | |||||||
|
| |||||||
| Utilities (4.1%) | ||||||||
| 27,400 | American Electric Power Company, Inc. | 1,226,972 | ||||||
| 3,800 | American States Water Company | 203,946 | ||||||
| 13,100 | CenterPoint Energy, Inc. | 307,719 | ||||||
| 10,500 | Consolidated Edison, Inc. | 612,255 | ||||||
| 3,700 | Empresa Nacional de Electricidad SA ADR | 163,429 | ||||||
| 6,100 | Laclede Group, Inc. | 278,526 | ||||||
| 9,600 | PG&E Corporation | 439,008 | ||||||
| 3,600 | Pinnacle West Capital Corporation | 199,692 | ||||||
| 22,800 | Southern Company | 1,006,164 | ||||||
| 12,800 | Wisconsin Energy Corporation | 524,672 | ||||||
|
| |||||||
| Total | 4,962,383 | |||||||
|
| |||||||
Total Common Stock (cost $98,074,428) | 107,076,176 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (4.7%) | |||||||
| Energy (0.3%) | ||||||||
| Enbridge Energy Partners, LP | ||||||||
| 350,000 | 8.050%, 10/1/2037 | 398,025 | ||||||
|
| |||||||
| Total | 398,025 | |||||||
|
| |||||||
| Financials (3.4%) | ||||||||
| Aegon NV | ||||||||
| 500,000 | 2.055%, 7/29/2049c,d | 357,500 | ||||||
| American International Group, Inc. | ||||||||
| 150,000 | 8.175%, 5/15/2058 | 183,000 | ||||||
| Bank of America Corporation | ||||||||
| 305,000 | 7.625%, 6/1/2019 | 366,541 | ||||||
| Bank of New York Mellon Corporation | ||||||||
| 180,000 | 4.500%, 12/29/2049d | 169,200 | ||||||
| BBVA International Preferred SA Unipersonal | ||||||||
| 175,000 | 5.919%, 12/29/2049d | 156,625 | ||||||
| J.P. Morgan Chase & Company | ||||||||
| 175,000 | 7.900%, 4/29/2049d | 197,750 | ||||||
| 330,000 | 5.150%, 5/29/2049d | 314,325 | ||||||
| Liberty Mutual Group, Inc. | ||||||||
| $350,000 | 10.750%, 6/15/2058e | $ | 533,750 | |||||
| MetLife Capital Trust IV | ||||||||
| 400,000 | 7.875%, 12/15/2037e | 476,363 | ||||||
| PNC Financial Services Group, Inc. | ||||||||
| 235,000 | 4.850%, 3/1/2049d | 219,138 | ||||||
| Reinsurance Group of America, Inc. | ||||||||
| 425,000 | 6.750%, 12/15/2065 | 425,531 | ||||||
| Wachovia Capital Trust III | ||||||||
| 250,000 | 5.570%, 3/15/2042c,d | 245,312 | ||||||
| ZFS Finance USA Trust II | ||||||||
| 400,000 | 6.450%, 12/15/2065e | 428,000 | ||||||
|
| |||||||
| Total | 4,073,035 | |||||||
|
| |||||||
| Utilities (1.0%) | ||||||||
| Electricite de France SA | ||||||||
| 400,000 | 5.250%, 1/29/2049d,e | 382,400 | ||||||
| Enterprise Products Operating, LLC | ||||||||
| 425,000 | 7.034%, 1/15/2068 | 477,063 | ||||||
| Southern California Edison Company | ||||||||
| 315,000 | 6.250%, 8/1/2049d | 330,750 | ||||||
|
| |||||||
| Total | 1,190,213 | |||||||
|
| |||||||
| Total Long-Term Fixed Income (cost $5,165,270) | 5,661,273 | |||||||
|
| |||||||
| Shares | Preferred Stock (0.6%) | |||||||
| Financials (0.6%) | ||||||||
| 4,000 | CoBank ACBd,e | 410,875 | ||||||
| 2,500 | J.P. Morgan Chase Capital XXIX | 63,400 | ||||||
| 8,000 | U.S. Bancorpd | 224,800 | ||||||
|
| |||||||
| Total | 699,075 | |||||||
|
| |||||||
| Total Preferred Stock (cost $687,250) | 699,075 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (6.2%) | ||||||||
| 7,458,294 | Thrivent Cash Management Trust | 7,458,294 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $7,458,294) | 7,458,294 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (4.9%) | |||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 100,000 | 0.093%, 11/22/2013f,g | 99,962 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
188
Table of Contents
Equity Income Plus Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares or Principal Amount | Short-Term Investments (4.9%) | Value | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 100,000 | 0.095%, 12/2/2013f,g | $ | 99,959 | |||||
| 100,000 | 0.110%, 12/3/2013f,g | 99,952 | ||||||
| Thrivent Cash Management Trust | ||||||||
| 5,491,476 | 0.080% | 5,491,476 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 5,791,349 | |||||||
|
| |||||||
| Total Investments (cost $117,176,591) 105.9% | $ | 126,686,167 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (5.9%) | (7,090,663 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 119,595,504 | ||||||
|
| |||||||
| a | All or a portion of the security is on loan. |
| b | Non-income producing security. |
| 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 June 28, 2013. |
| 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 June 28, 2013, the value of these investments was $2,231,388 or 1.9% 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 June 28, 2013, $299,873 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 | $ | 12,079,384 | ||
Gross unrealized depreciation | (2,695,435 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 9,383,949 | ||
Cost for federal income tax purposes | $ | 117,302,218 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
189
Table of Contents
Equity Income Plus Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 11,420,414 | 11,420,414 | — | — | ||||||||||||
Consumer Staples | 10,184,163 | 10,184,163 | — | — | ||||||||||||
Energy | 13,715,556 | 13,715,556 | — | — | ||||||||||||
Financials | 27,804,953 | 27,804,953 | — | — | ||||||||||||
Health Care | 10,030,485 | 10,030,485 | — | — | ||||||||||||
Industrials | 10,506,195 | 10,506,195 | — | — | ||||||||||||
Information Technology | 10,609,063 | 10,609,063 | — | — | ||||||||||||
Materials | 3,217,076 | 3,217,076 | — | — | ||||||||||||
Telecommunications Services | 4,625,888 | 4,625,888 | — | — | ||||||||||||
Utilities | 4,962,383 | 4,962,383 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Energy | 398,025 | — | 398,025 | — | ||||||||||||
Financials | 4,073,035 | — | 4,073,035 | — | ||||||||||||
Utilities | 1,190,213 | — | 1,190,213 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 699,075 | 288,200 | 410,875 | — | ||||||||||||
Collateral Held for Securities Loaned | 7,458,294 | 7,458,294 | — | — | ||||||||||||
Short-Term Investments | 5,791,349 | 5,491,476 | 299,873 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 126,686,167 | $ | 120,314,146 | $ | 6,372,021 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 98,055 | 98,055 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 98,055 | $ | 98,055 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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 | 68 | September 2013 | $ | 5,535,675 | $ | 5,437,620 | ($ | 98,055 | ) | |||||||||||
Total Futures Contracts | ($ | 98,055 | ) | |||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 28, 2013, 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 | 98,055 | ||||
Total Equity Contracts | 98,055 | |||||
|
| |||||
Total Liability Derivatives | $ | 98,055 | ||||
|
| |||||
| * | 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.
190
Table of Contents
Equity Income Plus Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 28, 2013, 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/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 238,078 | ||||
Total Equity Contracts | 238,078 | |||||
|
| |||||
Total | $238,078 | |||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 28, 2013, 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 appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (91,680 | ) | |||
Total Equity Contracts | (91,680 | ) | ||||
|
| |||||
Total | ($91,680 | ) | ||||
|
| |||||
The following table presents Equity Income Plus Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 2,424,596 | 2.1 | % | ||||
| * | 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 Equity Income Plus Portfolio, is as follows:
Portfolio | Value December 31, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 6,245,979 | $ | 24,118,016 | $ | 22,905,701 | 7,458,294 | $ | 7,458,294 | $ | 18,873 | |||||||||||||
Cash Management Trust- Short Term Investment | 96,842 | 13,178,588 | 7,783,954 | 5,491,476 | 5,491,476 | 920 | ||||||||||||||||||
Total Value and Income Earned | 6,342,821 | 12,949,770 | 19,793 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
191
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (64.8%) | Value | ||||||
| Consumer Discretionary (8.0%) | ||||||||
| 900 | Abercrombie & Fitch Company | $ | 40,725 | |||||
| 4,100 | Amazon.com, Inc.a | 1,138,529 | ||||||
| 500 | AutoNation, Inc.a | 21,695 | ||||||
| 400 | AutoZone, Inc.a | 169,476 | ||||||
| 2,500 | Bed Bath & Beyond, Inc.a | 177,250 | ||||||
| 3,075 | Best Buy Company, Inc. | 84,040 | ||||||
| 1,300 | BorgWarner, Inc.a | 111,995 | ||||||
| 2,500 | Cablevision Systems Corporation | 42,050 | ||||||
| 2,600 | CarMax, Inc.a | 120,016 | ||||||
| 5,000 | Carnival Corporation | 171,450 | ||||||
| 6,462 | CBS Corporation | 315,798 | ||||||
| 400 | Chipotle Mexican Grill, Inc.a | 145,740 | ||||||
| 3,200 | Coach, Inc. | 182,688 | ||||||
| 29,765 | Comcast Corporation | 1,246,558 | ||||||
| 3,200 | D.R. Horton, Inc. | 68,096 | ||||||
| 1,500 | Darden Restaurants, Inc. | 75,720 | ||||||
| 3,300 | Delphi Automotive plc | 167,277 | ||||||
| 6,400 | DIRECTVa | 394,368 | ||||||
| 2,800 | Discovery Communications, Inc.a | 216,188 | ||||||
| 3,400 | Dollar General Corporationa | 171,462 | ||||||
| 2,600 | Dollar Tree, Inc.a | 132,184 | ||||||
| 1,100 | Expedia, Inc. | 66,165 | ||||||
| 1,100 | Family Dollar Stores, Inc. | 68,541 | ||||||
| 44,488 | Ford Motor Company | 688,229 | ||||||
| 600 | Fossil, Inc.a | 61,986 | ||||||
| 2,600 | Gannett Company, Inc. | 63,596 | ||||||
| 3,300 | Gap, Inc. | 137,709 | ||||||
| 1,300 | Garmin, Ltd. | 47,008 | ||||||
| 8,762 | General Motors Companya | 291,862 | ||||||
| 1,800 | Genuine Parts Company | 140,526 | ||||||
| 2,800 | Goodyear Tire & Rubber Companya | 42,812 | ||||||
| 3,100 | H&R Block, Inc. | 86,025 | ||||||
| 2,600 | Harley-Davidson, Inc. | 142,532 | ||||||
| 800 | Harman International Industries, Inc. | 43,360 | ||||||
| 1,300 | Hasbro, Inc.b | 58,279 | ||||||
| 16,600 | Home Depot, Inc. | 1,286,002 | ||||||
| 3,000 | International Game Technology | 50,130 | ||||||
| 4,789 | Interpublic Group of Companies, Inc. | 69,680 | ||||||
| 1,700 | J.C. Penney Company, Inc.a | 29,036 | ||||||
| 7,700 | Johnson Controls, Inc. | 275,583 | ||||||
| 2,400 | Kohl’s Corporation | 121,224 | ||||||
| 2,662 | L Brands, Inc. | 131,104 | ||||||
| 1,600 | Leggett & Platt, Inc. | 49,744 | ||||||
| 1,900 | Lennar Corporation | 68,476 | ||||||
| 12,200 | Lowe’s Companies, Inc. | 498,980 | ||||||
| 4,400 | Macy’s, Inc. | 211,200 | ||||||
| 2,763 | Marriott International, Inc. | 111,542 | ||||||
| 3,825 | Mattel, Inc. | 173,311 | ||||||
| 11,300 | McDonald’s Corporation | 1,118,700 | ||||||
| 700 | Netflix, Inc.a | 147,763 | ||||||
| 3,226 | Newell Rubbermaid, Inc. | 84,683 | ||||||
| 22,500 | News Corporation | 733,500 | ||||||
| 8,200 | NIKE, Inc. | 522,176 | ||||||
| 1,700 | Nordstrom, Inc. | 101,898 | ||||||
| 3,000 | Omnicom Group, Inc. | 188,610 | ||||||
| 1,300 | O’Reilly Automotive, Inc.a | 146,406 | ||||||
| 1,200 | PetSmart, Inc. | 80,388 | ||||||
| 600 | Priceline.com, Inc.a | 496,278 | ||||||
| 3,837 | Pulte Group, Inc.a | 72,788 | ||||||
| 900 | PVH Corporation | 112,545 | ||||||
| 700 | Ralph Lauren Corporation | 121,618 | ||||||
| 2,500 | Ross Stores, Inc. | 162,025 | ||||||
| 1,000 | Scripps Networks Interactive | 66,760 | ||||||
| 1,000 | Sherwin-Williams Company | 176,600 | ||||||
| 700 | Snap-On, Inc. | 62,566 | ||||||
| 7,600 | Staples, Inc. | 120,536 | ||||||
| 8,400 | Starbucks Corporation | 550,116 | ||||||
| 2,200 | Starwood Hotels & Resorts Worldwide, Inc. | 139,018 | ||||||
| 7,300 | Target Corporation | 502,678 | ||||||
| 1,400 | Tiffany & Company | 101,976 | ||||||
| 3,280 | Time Warner Cable, Inc. | 368,934 | ||||||
| 10,516 | Time Warner, Inc. | 608,035 | ||||||
| 8,200 | TJX Companies, Inc. | 410,492 | ||||||
| 1,300 | TripAdvisor, Inc.a | 79,131 | ||||||
| 1,300 | Urban Outfitters, Inc.a | 52,286 | ||||||
| 1,000 | VF Corporation | 193,060 | ||||||
| 5,062 | Viacom, Inc. | 344,469 | ||||||
| 20,287 | Walt Disney Company | 1,281,124 | ||||||
| 60 | Washington Post Company | 29,026 | ||||||
| 858 | Whirlpool Corporation | 98,121 | ||||||
| 1,632 | Wyndham Worldwide Corporation | 93,399 | ||||||
| 900 | Wynn Resorts, Ltd. | 115,200 | ||||||
| 5,020 | Yum! Brands, Inc. | 348,087 | ||||||
|
| |||||||
| Total | 20,038,939 | |||||||
|
| |||||||
| Consumer Staples (6.8%) | ||||||||
| 22,700 | Altria Group, Inc. | 794,273 | ||||||
| 7,441 | Archer-Daniels-Midland Company | 252,324 | ||||||
| 4,900 | Avon Products, Inc. | 103,047 | ||||||
| 1,800 | Beam, Inc. | 113,598 | ||||||
| 1,787 | Brown-Forman Corporation | 120,712 | ||||||
| 2,100 | Campbell Soup Company | 94,059 | ||||||
| 1,500 | Clorox Company | 124,710 | ||||||
| 43,300 | Coca-Cola Company | 1,736,763 | ||||||
| 2,900 | Coca-Cola Enterprises, Inc. | 101,964 | ||||||
| 9,900 | Colgate-Palmolive Company | 567,171 | ||||||
| 4,700 | ConAgra Foods, Inc. | 164,171 | ||||||
| 1,800 | Constellation Brands, Inc.a | 93,816 | ||||||
| 4,900 | Costco Wholesale Corporation | 541,793 | ||||||
| 13,805 | CVS Caremark Corporation | 789,370 | ||||||
| 2,300 | Dr Pepper Snapple Group, Inc. | 105,639 | ||||||
| 2,700 | Estee Lauder Companies, Inc. | 177,579 | ||||||
| 7,300 | General Mills, Inc. | 354,269 | ||||||
| 1,700 | Hershey Company | 151,776 | ||||||
| 1,500 | Hormel Foods Corporation | 57,870 | ||||||
| 1,255 | J.M. Smucker Company | 129,453 | ||||||
| 2,900 | Kellogg Company | 186,267 | ||||||
| 4,380 | Kimberly-Clark Corporation | 425,473 | ||||||
| 6,720 | Kraft Foods Group, Inc. | 375,447 | ||||||
| 5,800 | Kroger Company | 200,332 | ||||||
| 4,300 | Lorillard, Inc. | 187,824 | ||||||
| 1,500 | McCormick & Company, Inc. | 105,540 | ||||||
| 2,322 | Mead Johnson Nutrition Company | 183,972 | ||||||
| 1,800 | Molson Coors Brewing Company | 86,148 | ||||||
| 20,160 | Mondelez International, Inc. | 575,165 | ||||||
| 1,700 | Monster Beverage Corporationa | 103,309 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
192
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (64.8%) | Value | ||||||
| Consumer Staples (6.8%) - continued | ||||||||
| 17,497 | PepsiCo, Inc. | $ | 1,431,080 | |||||
| 18,500 | Philip Morris International, Inc. | 1,602,470 | ||||||
| 30,979 | Procter & Gamble Company | 2,385,073 | ||||||
| 3,700 | Reynolds American, Inc. | 178,969 | ||||||
| 2,700 | Safeway, Inc. | 63,882 | ||||||
| 6,700 | Sysco Corporation | 228,872 | ||||||
| 3,200 | Tyson Foods, Inc. | 82,176 | ||||||
| 9,700 | Walgreen Company | 428,740 | ||||||
| 18,600 | Wal-Mart Stores, Inc. | 1,385,514 | ||||||
| 4,000 | Whole Foods Market, Inc. | 205,920 | ||||||
|
| |||||||
| Total | 16,996,530 | |||||||
|
| |||||||
| Energy (6.8%) | ||||||||
| 5,636 | Anadarko Petroleum Corporation | 484,301 | ||||||
| 4,368 | Apache Corporation | 366,169 | ||||||
| 5,061 | Baker Hughes, Inc. | 233,464 | ||||||
| 2,400 | Cabot Oil & Gas Corporation | 170,448 | ||||||
| 2,800 | Cameron International Corporationa | 171,248 | ||||||
| 5,900 | Chesapeake Energy Corporation | 120,242 | ||||||
| 21,874 | Chevron Corporation | 2,588,569 | ||||||
| 13,782 | ConocoPhillips | 833,811 | ||||||
| 2,600 | Consol Energy, Inc. | 70,460 | ||||||
| 4,200 | Denbury Resources, Inc.a | 72,744 | ||||||
| 4,300 | Devon Energy Corporation | 223,084 | ||||||
| 800 | Diamond Offshore Drilling, Inc.b | 55,032 | ||||||
| 2,700 | Ensco plc | 156,924 | ||||||
| 3,100 | EOG Resources, Inc. | 408,208 | ||||||
| 1,700 | EQT Corporation | 134,929 | ||||||
| 50,434 | Exxon Mobil Corporation | 4,556,712 | ||||||
| 2,700 | FMC Technologies, Inc.a | 150,336 | ||||||
| 10,500 | Halliburton Company | 438,060 | ||||||
| 1,200 | Helmerich & Payne, Inc. | 74,940 | ||||||
| 3,300 | Hess Corporation | 219,417 | ||||||
| 7,100 | Kinder Morgan, Inc. | 270,865 | ||||||
| 8,022 | Marathon Oil Corporation | 277,401 | ||||||
| 3,761 | Marathon Petroleum Corporation | 267,257 | ||||||
| 2,100 | Murphy Oil Corporation | 127,869 | ||||||
| 3,300 | Nabors Industries, Ltd. | 50,523 | ||||||
| 4,800 | National Oilwell Varco, Inc. | 330,720 | ||||||
| 1,600 | Newfield Exploration Companya | 38,224 | ||||||
| 2,900 | Noble Corporation | 108,982 | ||||||
| 4,100 | Noble Energy, Inc. | 246,164 | ||||||
| 9,100 | Occidental Petroleum Corporation | 811,993 | ||||||
| 3,000 | Peabody Energy Corporation | 43,920 | ||||||
| 6,991 | Phillips 66 | 411,840 | ||||||
| 1,500 | Pioneer Natural Resources Company | 217,125 | ||||||
| 2,100 | QEP Resources, Inc. | 58,338 | ||||||
| 1,900 | Range Resources Corporation | 146,908 | ||||||
| 1,400 | Rowan Companies plca | 47,698 | ||||||
| 15,025 | Schlumberger, Ltd. | 1,076,691 | ||||||
| 3,900 | Southwestern Energy Companya | 142,467 | ||||||
| 7,521 | Spectra Energy Corporation | 259,174 | ||||||
| 1,600 | Tesoro Corporation | 83,712 | ||||||
| 6,200 | Valero Energy Corporation | 215,574 | ||||||
| 7,700 | Williams Companies, Inc. | 250,019 | ||||||
| 2,333 | WPX Energy, Inc.a | 44,187 | ||||||
|
| |||||||
| Total | 17,056,749 | |||||||
|
| |||||||
| Financials (11.5%) | ||||||||
| 3,800 | ACE, Ltd. | 340,024 | ||||||
| 5,300 | Aflac, Inc. | 308,036 | ||||||
| 5,396 | Allstate Corporation | 259,656 | ||||||
| 10,800 | American Express Company | 807,408 | ||||||
| 16,620 | American International Group, Inc.a | 742,914 | ||||||
| 4,400 | American Tower Corporation | 321,948 | ||||||
| 2,340 | Ameriprise Financial, Inc. | 189,259 | ||||||
| 3,550 | Aon plc | 228,442 | ||||||
| 1,654 | Apartment Investment & Management Company | 49,686 | ||||||
| 900 | Assurant, Inc. | 45,819 | ||||||
| 1,453 | AvalonBay Communities, Inc. | 196,024 | ||||||
| 121,854 | Bank of America Corporation | 1,567,042 | ||||||
| 13,101 | Bank of New York Mellon Corporation | 367,483 | ||||||
| 7,900 | BB&T Corporation | 267,652 | ||||||
| 20,550 | Berkshire Hathaway, Inc.a | 2,299,956 | ||||||
| 1,400 | BlackRock, Inc. | 359,590 | ||||||
| 1,700 | Boston Properties, Inc. | 179,299 | ||||||
| 6,565 | Capital One Financial Corporation | 412,348 | ||||||
| 3,500 | CBRE Group, Inc.a | 81,760 | ||||||
| 12,425 | Charles Schwab Corporation | 263,783 | ||||||
| 3,000 | Chubb Corporation | 253,950 | ||||||
| 1,651 | Cincinnati Financial Corporation | 75,781 | ||||||
| 34,438 | Citigroup, Inc. | 1,651,991 | ||||||
| 3,400 | CME Group, Inc. | 258,332 | ||||||
| 2,200 | Comerica, Inc. | 87,626 | ||||||
| 5,595 | Discover Financial Services | 266,546 | ||||||
| 3,230 | E*TRADE Financial Corporationa | 40,892 | ||||||
| 3,600 | Equity Residential | 209,016 | ||||||
| 9,816 | Fifth Third Bancorp | 177,179 | ||||||
| 1,600 | Franklin Resources, Inc. | 217,632 | ||||||
| 5,500 | Genworth Financial, Inc.a | 62,755 | ||||||
| 4,900 | Goldman Sachs Group, Inc. | 741,125 | ||||||
| 5,100 | Hartford Financial Services Group, Inc. | 157,692 | ||||||
| 5,100 | HCP, Inc. | 231,744 | ||||||
| 3,300 | Health Care REIT, Inc. | 221,199 | ||||||
| 8,347 | Host Hotels & Resorts, Inc. | 140,814 | ||||||
| 5,300 | Hudson City Bancorp, Inc. | 48,548 | ||||||
| 9,416 | Huntington Bancshares, Inc. | 74,198 | ||||||
| 800 | IntercontinentalExchange, Inc.a | 142,208 | ||||||
| 5,000 | Invesco, Ltd. | 159,000 | ||||||
| 42,824 | J.P. Morgan Chase & Company | 2,260,679 | ||||||
| 10,400 | KeyCorp | 114,816 | ||||||
| 4,600 | Kimco Realty Corporation | 98,578 | ||||||
| 1,300 | Legg Mason, Inc. | 40,313 | ||||||
| 3,300 | Leucadia National Corporation | 86,526 | ||||||
| 3,011 | Lincoln National Corporation | 109,811 | ||||||
| 3,500 | Loews Corporation | 155,400 | ||||||
| 1,400 | M&T Bank Corporationb | 156,450 | ||||||
| 1,600 | Macerich Company | 97,552 | ||||||
| 6,200 | Marsh & McLennan Companies, Inc. | 247,504 | ||||||
| 1,200 | MasterCard, Inc. | 689,400 | ||||||
| 3,200 | McGraw-Hill Companies, Inc. | 170,208 | ||||||
| 12,316 | MetLife, Inc. | 563,580 | ||||||
| 2,200 | Moody’s Corporation | 134,046 | ||||||
| 15,490 | Morgan Stanley | 378,421 | ||||||
| 1,300 | NASDAQ OMX Group, Inc. | 42,627 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
193
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (64.8%) | Value | ||||||
| Financials (11.5%) - continued | ||||||||
| 2,400 | Northern Trust Corporation | $ | 138,960 | |||||
| 2,800 | NYSE Euronext | 115,920 | ||||||
| 3,900 | People’s United Financial, Inc.b | 58,110 | ||||||
| 1,900 | Plum Creek Timber Company, Inc. | 88,673 | ||||||
| 5,920 | PNC Financial Services Group, Inc. | 431,686 | ||||||
| 3,100 | Principal Financial Group, Inc. | 116,095 | ||||||
| 6,200 | Progressive Corporation | 157,604 | ||||||
| 5,581 | Prologis, Inc. | 210,515 | ||||||
| 5,200 | Prudential Financial, Inc. | 379,756 | ||||||
| 1,700 | Public Storage, Inc. | 260,661 | ||||||
| 15,900 | Regions Financial Corporation | 151,527 | ||||||
| 3,553 | Simon Property Group, Inc. | 561,090 | ||||||
| 5,100 | SLM Corporation | 116,586 | ||||||
| 5,100 | State Street Corporation | 332,571 | ||||||
| 6,100 | SunTrust Banks, Inc. | 192,577 | ||||||
| 3,000 | T. Rowe Price Group, Inc. | 219,450 | ||||||
| 1,100 | Torchmark Corporation | 71,654 | ||||||
| 4,225 | Travelers Companies, Inc. | 337,662 | ||||||
| 20,921 | U.S. Bancorp | 756,294 | ||||||
| 3,058 | Unum Group | 89,813 | ||||||
| 3,300 | Ventas, Inc. | 229,218 | ||||||
| 5,800 | Visa, Inc. | 1,059,950 | ||||||
| 1,970 | Vornado Realty Trust | 163,215 | ||||||
| 55,682 | Wells Fargo & Company | 2,297,996 | ||||||
| 6,640 | Weyerhaeuser Company REIT | 189,174 | ||||||
| 3,300 | XL Group plc | 100,056 | ||||||
| 2,100 | Zions Bancorporation | 60,648 | ||||||
|
| |||||||
| Total | 28,739,729 | |||||||
|
| |||||||
| Health Care (8.2%) | ||||||||
| 17,700 | Abbott Laboratories | 617,376 | ||||||
| 17,900 | AbbVie, Inc. | 739,986 | ||||||
| 1,500 | Actavis, Inc.a | 189,330 | ||||||
| 4,258 | Aetna, Inc. | 270,553 | ||||||
| 2,200 | Alexion Pharmaceuticals, Inc.a | 202,928 | ||||||
| 3,400 | Allergan, Inc. | 286,416 | ||||||
| 2,600 | AmerisourceBergen Corporation | 145,158 | ||||||
| 8,452 | Amgen, Inc. | 833,874 | ||||||
| 6,100 | Baxter International, Inc. | 422,547 | ||||||
| 2,200 | Becton, Dickinson and Company | 217,426 | ||||||
| 2,730 | Biogen Idec, Inc.a | 587,496 | ||||||
| 15,250 | Boston Scientific Corporationa | 141,368 | ||||||
| 18,505 | Bristol-Myers Squibb Company | 826,989 | ||||||
| 900 | C.R. Bard, Inc. | 97,812 | ||||||
| 3,875 | Cardinal Health, Inc. | 182,900 | ||||||
| 2,587 | CareFusion Corporationa | 95,331 | ||||||
| 4,700 | Celgene Corporationa | 549,477 | ||||||
| 1,700 | Cerner Corporationa | 163,353 | ||||||
| 3,300 | CIGNA Corporation | 239,217 | ||||||
| 5,300 | Covidien plc | 333,052 | ||||||
| 1,000 | DaVita HealthCare Partners, Inc.a | 120,800 | ||||||
| 1,700 | DENTSPLY International, Inc. | 69,632 | ||||||
| 1,300 | Edwards Lifesciences Corporationa | 87,360 | ||||||
| 11,200 | Eli Lilly and Company | 550,144 | ||||||
| 9,177 | Express Scripts Holding Companya | 566,129 | ||||||
| 2,700 | Forest Laboratories, Inc.a | 110,700 | ||||||
| 17,200 | Gilead Sciences, Inc.a | 880,812 | ||||||
| 1,930 | Hospira, Inc.a | 73,938 | ||||||
| 1,800 | Humana, Inc. | 151,884 | ||||||
| 400 | Intuitive Surgical, Inc.a | 202,632 | ||||||
| 31,706 | Johnson & Johnson | 2,722,277 | ||||||
| 1,100 | Laboratory Corporation of America Holdingsa | 110,110 | ||||||
| 1,937 | Life Technologies Corporationa | 143,357 | ||||||
| 2,580 | McKesson Corporation | 295,410 | ||||||
| 11,400 | Medtronic, Inc. | 586,758 | ||||||
| 34,127 | Merck & Company, Inc. | 1,585,199 | ||||||
| 4,400 | Mylan, Inc.a | 136,532 | ||||||
| 1,000 | Patterson Companies, Inc. | 37,600 | ||||||
| 1,300 | PerkinElmer, Inc. | 42,250 | ||||||
| 1,000 | Perrigo Company | 121,000 | ||||||
| 75,555 | Pfizer, Inc.b | 2,116,296 | ||||||
| 1,800 | Quest Diagnostics, Inc. | 109,134 | ||||||
| 800 | Regeneron Pharmaceuticals, Inc.a | 179,904 | ||||||
| 3,180 | St. Jude Medical, Inc. | 145,103 | ||||||
| 3,300 | Stryker Corporation | 213,444 | ||||||
| 1,212 | Tenet Healthcare Corporationa | 55,873 | ||||||
| 4,000 | Thermo Fisher Scientific, Inc. | 338,520 | ||||||
| 11,500 | UnitedHealth Group, Inc. | 753,020 | ||||||
| 1,300 | Varian Medical Systems, Inc.a | 87,685 | ||||||
| 1,000 | Waters Corporationa | 100,050 | ||||||
| 3,400 | WellPoint, Inc. | 278,256 | ||||||
| 1,990 | Zimmer Holdings, Inc. | 149,131 | ||||||
| 5,700 | Zoetis, Inc. | 176,073 | ||||||
|
| |||||||
| Total | 20,439,602 | |||||||
|
| |||||||
| Industrials (6.6%) | ||||||||
| 7,100 | 3M Company | 776,385 | ||||||
| 2,500 | ADT Corporationa | 99,625 | ||||||
| 1,100 | Avery Dennison Corporation | 47,036 | ||||||
| 7,728 | Boeing Company | 791,656 | ||||||
| 1,900 | C.H. Robinson Worldwide, Inc. | 106,989 | ||||||
| 7,400 | Caterpillar, Inc. | 610,426 | ||||||
| 1,200 | Cintas Corporation | 54,648 | ||||||
| 11,500 | CSX Corporation | 266,685 | ||||||
| 2,000 | Cummins, Inc. | 216,920 | ||||||
| 6,500 | Danaher Corporation | 411,450 | ||||||
| 4,400 | Deere & Company | 357,500 | ||||||
| 2,000 | Dover Corporation | 155,320 | ||||||
| 500 | Dun & Bradstreet Corporation | 48,725 | ||||||
| 5,349 | Eaton Corporation plc | 352,018 | ||||||
| 8,100 | Emerson Electric Company | 441,774 | ||||||
| 1,400 | Equifax, Inc. | 82,502 | ||||||
| 2,400 | Expeditors International of Washington, Inc. | 91,224 | ||||||
| 3,100 | Fastenal Company | 142,135 | ||||||
| 3,340 | FedEx Corporation | 329,257 | ||||||
| 800 | First Solar, Inc.a | 35,784 | ||||||
| 1,700 | Flowserve Corporation | 91,817 | ||||||
| 1,900 | Fluor Corporation | 112,689 | ||||||
| 3,700 | General Dynamics Corporation | 289,821 | ||||||
| 117,000 | General Electric Company | 2,713,230 | ||||||
| 8,837 | Honeywell International, Inc. | 701,128 | ||||||
| 4,700 | Illinois Tool Works, Inc. | 325,099 | ||||||
| 3,100 | Ingersoll-Rand plc | 172,112 | ||||||
| 1,977 | Iron Mountain, Inc. | 52,608 | ||||||
| 1,500 | Jacobs Engineering Group, Inc.a | 82,695 | ||||||
| 1,200 | Joy Global, Inc. | 58,236 | ||||||
| 1,300 | Kansas City Southern | 137,748 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
194
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (64.8%) | Value | ||||||
| Industrials (6.6%) - continued | ||||||||
| 1,100 | L-3 Communications Holdings, Inc. | $ | 94,314 | |||||
| 3,100 | Lockheed Martin Corporation | 336,226 | ||||||
| 4,100 | Masco Corporation | 79,909 | ||||||
| 3,600 | Norfolk Southern Corporation | 261,540 | ||||||
| 2,706 | Northrop Grumman Corporation | 224,057 | ||||||
| 3,950 | PACCAR, Inc. | 211,957 | ||||||
| 1,300 | Pall Corporation | 86,359 | ||||||
| 1,750 | Parker Hannifin Corporation | 166,950 | ||||||
| 2,399 | Pentair, Ltd. | 138,398 | ||||||
| 2,300 | Pitney Bowes, Inc.b | 33,764 | ||||||
| 1,700 | Precision Castparts Corporation | 384,217 | ||||||
| 2,400 | Quanta Services, Inc.a | 63,504 | ||||||
| 3,700 | Raytheon Company | 244,644 | ||||||
| 3,305 | Republic Services, Inc. | 112,172 | ||||||
| 1,600 | Robert Half International, Inc. | 53,168 | ||||||
| 1,600 | Rockwell Automation, Inc. | 133,024 | ||||||
| 1,600 | Rockwell Collins, Inc. | 101,456 | ||||||
| 1,100 | Roper Industries, Inc. | 136,642 | ||||||
| 600 | Ryder System, Inc. | 36,474 | ||||||
| 8,180 | Southwest Airlines Company | 105,440 | ||||||
| 1,900 | Stanley Black & Decker, Inc. | 146,870 | ||||||
| 1,000 | Stericycle, Inc.a | 110,430 | ||||||
| 3,100 | Textron, Inc. | 80,755 | ||||||
| 5,200 | Tyco International, Ltd. | 171,340 | ||||||
| 5,300 | Union Pacific Corporation | 817,684 | ||||||
| 8,000 | United Parcel Service, Inc. | 691,840 | ||||||
| 9,500 | United Technologies Corporation | 882,930 | ||||||
| 700 | W.W. Grainger, Inc. | 176,526 | ||||||
| 4,930 | Waste Management, Inc. | 198,827 | ||||||
| 2,100 | Xylem, Inc. | 56,574 | ||||||
|
| |||||||
| Total | 16,493,233 | |||||||
|
| |||||||
| Information Technology (10.9%) | ||||||||
| 7,300 | Accenture plc | 525,308 | ||||||
| 5,600 | Adobe Systems, Inc.a | 255,136 | ||||||
| 6,800 | Advanced Micro Devices, Inc.a | 27,744 | ||||||
| 3,863 | Agilent Technologies, Inc. | 165,182 | ||||||
| 2,000 | Akamai Technologies, Inc.a | 85,100 | ||||||
| 3,600 | Altera Corporation | 118,764 | ||||||
| 1,800 | Amphenol Corporation | 140,292 | ||||||
| 3,500 | Analog Devices, Inc. | 157,710 | ||||||
| 10,600 | Apple, Inc.c | 4,198,448 | ||||||
| 13,500 | Applied Materials, Inc. | 201,285 | ||||||
| 2,600 | Autodesk, Inc.a | 88,244 | ||||||
| 5,500 | Automatic Data Processing, Inc. | 378,730 | ||||||
| 1,500 | BMC Software, Inc.a | 67,710 | ||||||
| 5,850 | Broadcom Corporation | 197,496 | ||||||
| 3,775 | CA, Inc. | 108,078 | ||||||
| 60,400 | Cisco Systems, Inc. | 1,468,324 | ||||||
| 2,100 | Citrix Systems, Inc.a | 126,693 | ||||||
| 3,400 | Cognizant Technology Solutions Corporationa | 212,874 | ||||||
| 1,700 | Computer Sciences Corporation | 74,409 | ||||||
| 16,600 | Corning, Inc. | 236,218 | ||||||
| 16,600 | Dell, Inc. | 221,610 | ||||||
| 13,200 | eBay, Inc.a | 682,704 | ||||||
| 3,400 | Electronic Arts, Inc.a | 78,098 | ||||||
| 23,724 | EMC Corporation | 560,361 | ||||||
| 900 | F5 Networks, Inc.a | 61,920 | ||||||
| 3,300 | Fidelity National Information Services, Inc. | 141,372 | ||||||
| 1,550 | Fiserv, Inc.a | 135,485 | ||||||
| 1,700 | FLIR Systems, Inc. | 45,849 | ||||||
| 1,400 | GameStop Corporation | 58,842 | ||||||
| 3,000 | Google, Inc.a | 2,641,110 | ||||||
| 1,300 | Harris Corporation | 64,025 | ||||||
| 21,861 | Hewlett-Packard Company | 542,153 | ||||||
| 56,200 | Intel Corporation | 1,361,164 | ||||||
| 11,800 | International Business Machines Corporation | 2,255,098 | ||||||
| 3,200 | Intuit, Inc. | 195,296 | ||||||
| 2,100 | Jabil Circuit, Inc. | 42,798 | ||||||
| 2,700 | JDS Uniphase Corporationa | 38,826 | ||||||
| 5,800 | Juniper Networks, Inc.a | 111,998 | ||||||
| 1,900 | KLA-Tencor Corporation | 105,887 | ||||||
| 1,900 | Lam Research Corporationa | 84,246 | ||||||
| 2,600 | Linear Technology Corporation | 95,784 | ||||||
| 6,200 | LSI Corporationa | 44,268 | ||||||
| 2,200 | Microchip Technology, Inc. | 81,950 | ||||||
| 11,600 | Micron Technology, Inc.a | 166,228 | ||||||
| 85,000 | Microsoft Corporation | 2,935,050 | ||||||
| 1,650 | Molex, Inc. | 48,411 | ||||||
| 3,117 | Motorola Solutions, Inc. | 179,944 | ||||||
| 4,100 | NetApp, Inc.a | 154,898 | ||||||
| 6,550 | NVIDIA Corporation | 91,897 | ||||||
| 41,559 | Oracle Corporation | 1,276,692 | ||||||
| 3,650 | Paychex, Inc.b | 133,298 | ||||||
| 19,500 | QUALCOMM, Inc. | 1,191,060 | ||||||
| 2,200 | Red Hat, Inc.a | 105,204 | ||||||
| 3,200 | SAIC, Inc. | 44,576 | ||||||
| 6,100 | Salesforce.com, Inc.a | 232,898 | ||||||
| 2,800 | SanDisk Corporationa | 171,080 | ||||||
| 3,600 | Seagate Technology plc | 161,388 | ||||||
| 7,872 | Symantec Corporation | 176,884 | ||||||
| 4,700 | TE Connectivity, Ltd. | 214,038 | ||||||
| 1,900 | Teradata Corporationa | 95,437 | ||||||
| 2,200 | Teradyne, Inc.a | 38,654 | ||||||
| 12,500 | Texas Instruments, Inc. | 435,875 | ||||||
| 1,800 | Total System Services, Inc. | 44,064 | ||||||
| 1,800 | VeriSign, Inc.a | 80,388 | ||||||
| 2,500 | Western Digital Corporation | 155,225 | ||||||
| 6,362 | Western Union Company | 108,854 | ||||||
| 13,883 | Xerox Corporation | 125,919 | ||||||
| 2,900 | Xilinx, Inc. | 114,869 | ||||||
| 10,800 | Yahoo!, Inc.a | 271,188 | ||||||
|
| |||||||
| Total | 27,238,608 | |||||||
|
| |||||||
| Materials (2.1%) | ||||||||
| 2,300 | Air Products and Chemicals, Inc. | 210,611 | ||||||
| 800 | Airgas, Inc. | 76,368 | ||||||
| 12,064 | Alcoa, Inc. | 94,340 | ||||||
| 1,281 | Allegheny Technologies, Inc. | 33,703 | ||||||
| 1,700 | Ball Corporation | 70,618 | ||||||
| 1,200 | Bemis Company, Inc. | 46,968 | ||||||
| 700 | CF Industries Holdings, Inc. | 120,050 | ||||||
| 1,800 | Cliffs Natural Resources, Inc.b | 29,250 | ||||||
| 13,677 | Dow Chemical Company | 439,989 | ||||||
| 10,419 | E.I. du Pont de Nemours and Company | 546,997 | ||||||
| 1,800 | Eastman Chemical Company | 126,018 | ||||||
| 3,000 | Ecolab, Inc. | 255,570 | ||||||
| 1,600 | FMC Corporation | 97,696 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
195
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (64.8%) | Value | ||||||
| Materials (2.1%) - continued | ||||||||
| 11,788 | Freeport-McMoRan Copper & Gold, Inc. | $ | 325,467 | |||||
| 900 | International Flavors & Fragrances, Inc. | 67,644 | ||||||
| 5,021 | International Paper Company | 222,481 | ||||||
| 4,300 | LyondellBasell Industries NV | 284,918 | ||||||
| 1,980 | MeadWestvaco Corporation | 67,538 | ||||||
| 6,066 | Monsanto Company | 599,321 | ||||||
| 3,200 | Mosaic Company | 172,192 | ||||||
| 5,617 | Newmont Mining Corporation | 168,229 | ||||||
| 3,600 | Nucor Corporation | 155,952 | ||||||
| 1,800 | Owens-Illinois, Inc.a | 50,022 | ||||||
| 1,600 | PPG Industries, Inc. | 234,256 | ||||||
| 3,300 | Praxair, Inc. | 380,028 | ||||||
| 2,228 | Sealed Air Corporation | 53,361 | ||||||
| 1,400 | Sigma-Aldrich Corporation | 112,504 | ||||||
| 1,700 | United States Steel Corporationb | 29,801 | ||||||
| 1,500 | Vulcan Materials Company | 72,615 | ||||||
|
| |||||||
| Total | 5,144,507 | |||||||
|
| |||||||
| Telecommunications Services (1.8%) | ||||||||
| 60,979 | AT&T, Inc. | 2,158,657 | ||||||
| 6,894 | CenturyLink, Inc. | 243,703 | ||||||
| 3,300 | Crown Castle International Corporationa | 238,887 | ||||||
| 11,210 | Frontier Communications Corporationb | 45,400 | ||||||
| 34,169 | Sprint Nextel Corporationa | 239,866 | ||||||
| 32,370 | Verizon Communications, Inc. | 1,629,506 | ||||||
| 6,617 | Windstream Corporationb | 51,017 | ||||||
|
| |||||||
| Total | 4,607,036 | |||||||
|
| |||||||
| Utilities (2.1%) | ||||||||
| 7,000 | AES Corporation | 83,930 | ||||||
| 1,286 | AGL Resources, Inc. | 55,118 | ||||||
| 2,800 | Ameren Corporation | 96,432 | ||||||
| 5,440 | American Electric Power Company, Inc. | 243,603 | ||||||
| 4,824 | CenterPoint Energy, Inc. | 113,316 | ||||||
| 3,000 | CMS Energy Corporation | 81,510 | ||||||
| 3,300 | Consolidated Edison, Inc. | 192,423 | ||||||
| 6,530 | Dominion Resources, Inc. | 371,034 | ||||||
| 2,000 | DTE Energy Company | 134,020 | ||||||
| 7,894 | Duke Energy Corporation | 532,845 | ||||||
| 3,700 | Edison International, Inc. | 178,192 | ||||||
| 2,100 | Entergy Corporation | 146,328 | ||||||
| 9,685 | Exelon Corporation | 299,073 | ||||||
| 4,667 | FirstEnergy Corporation | 174,266 | ||||||
| 907 | Integrys Energy Group, Inc. | 53,087 | ||||||
| 4,800 | NextEra Energy, Inc. | 391,104 | ||||||
| 3,534 | NiSource, Inc. | 101,214 | ||||||
| 3,600 | Northeast Utilities | 151,272 | ||||||
| 3,700 | NRG Energy, Inc. | 98,790 | ||||||
| 2,400 | ONEOK, Inc. | 99,144 | ||||||
| 2,800 | Pepco Holdings, Inc. | 56,448 | ||||||
| 5,000 | PG&E Corporation | 228,650 | ||||||
| 1,300 | Pinnacle West Capital Corporation | 72,111 | ||||||
| 6,700 | PPL Corporation | 202,742 | ||||||
| 5,700 | Public Service Enterprise Group, Inc. | 186,162 | ||||||
| 1,600 | SCANA Corporation | 78,560 | ||||||
| 2,587 | Sempra Energy | 211,513 | ||||||
| 9,800 | Southern Company | 432,474 | ||||||
| 2,300 | TECO Energy, Inc. | 39,537 | ||||||
| 2,600 | Wisconsin Energy Corporation | 106,574 | ||||||
| 5,610 | Xcel Energy, Inc. | 158,987 | ||||||
|
| |||||||
| Total | 5,370,459 | |||||||
|
| |||||||
| Total Common Stock (cost $109,453,966) | 162,125,392 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (35.2%) | |||||||
| Asset-Backed Securities (1.2%) | ||||||||
| Countrywide Home Loans, Inc. | ||||||||
| 258,696 | 6.085%, 6/25/2021d | 227,358 | ||||||
| Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 280,789 | 4.078%, 12/25/2036 | 183,917 | ||||||
| First Horizon ABS Trust | ||||||||
| 312,061 | 0.323%, 10/25/2026d,e | 284,191 | ||||||
| 598,797 | 0.353%, 10/25/2034d,e | 455,657 | ||||||
| GMAC Mortgage Corporation Loan Trust | ||||||||
| 955,723 | 0.373%, 8/25/2035d,e | 776,417 | ||||||
| 582,412 | 0.373%, 12/25/2036d,e | 488,633 | ||||||
| IndyMac Seconds Asset-Backed Trust | ||||||||
| 362,980 | 0.363%, 10/25/2036d,e | 81,768 | ||||||
| Wachovia Asset Securitization, Inc. | ||||||||
| 734,029 | 0.333%, 7/25/2037d,e,f | 612,304 | ||||||
|
| |||||||
| Total | 3,110,245 | |||||||
|
| |||||||
| Basic Materials (0.2%) | ||||||||
| Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| 100,000 | 3.550%, 3/1/2022 | 90,836 | ||||||
| Georgia-Pacific, LLC | ||||||||
| 175,000 | 3.734%, 7/15/2023g | 170,214 | ||||||
| Xstrata Finance Canada, Ltd. | ||||||||
| 100,000 | 1.800%, 10/23/2015g | 100,031 | ||||||
| 175,000 | 2.450%, 10/25/2017g | 169,712 | ||||||
|
| |||||||
| Total | 530,793 | |||||||
|
| |||||||
| Capital Goods (0.3%) | ||||||||
| Eaton Corporation | ||||||||
| 150,000 | 2.750%, 11/2/2022g | 140,328 | ||||||
| John Deere Capital Corporation | ||||||||
| 175,000 | 1.700%, 1/15/2020 | 165,509 | ||||||
| Precision Castparts Corporation | ||||||||
| 150,000 | 1.250%, 1/15/2018 | 145,831 | ||||||
| Roper Industries, Inc. | ||||||||
| 150,000 | 1.850%, 11/15/2017 | 147,623 | ||||||
| United Technologies Corporation | ||||||||
| 225,000 | 6.050%, 6/1/2036 | 272,448 | ||||||
|
| |||||||
| Total | 871,739 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
196
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (35.2%) | Value | ||||||
| Collateralized Mortgage Obligations (<0.1%) | ||||||||
| Bear Stearns Mortgage Funding Trust | ||||||||
| $140,122 | 0.473%, 8/25/2036e | $ | 71,202 | |||||
|
| |||||||
| Total | 71,202 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (2.3%) | ||||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| 600,000 | 5.857%, 6/10/2049 | 671,849 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 98,931 | 0.343%, 3/15/2022e,g | 98,903 | ||||||
| Commercial Mortgage Pass- Through Certificates | ||||||||
| 1,466,655 | 0.323%, 12/15/2020e,g | 1,433,674 | ||||||
| 750,000 | 5.306%, 12/10/2046 | 827,416 | ||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 788,460 | 0.363%, 10/15/2021e,g | 775,211 | ||||||
| 672,870 | 5.467%, 9/15/2039 | 741,276 | ||||||
| GE Capital Commercial Mortgage Corporation | ||||||||
| 6,283 | 4.641%, 3/10/2040 | 6,288 | ||||||
| GS Mortgage Securities Corporation II | ||||||||
| 1,000,000 | 1.260%, 3/6/2020e,g | 1,002,519 | ||||||
| Morgan Stanley Capital I | ||||||||
| 225,000 | 3.224%, 7/15/2049 | 235,850 | ||||||
|
| |||||||
| Total | 5,792,986 | |||||||
|
| |||||||
| Communications Services (0.4%) | ||||||||
| AT&T, Inc. | ||||||||
| 175,000 | 1.400%, 12/1/2017 | 170,134 | ||||||
| British Sky Broadcasting Group plc | ||||||||
| 100,000 | 3.125%, 11/26/2022g | 93,511 | ||||||
| Cox Communications, Inc. | ||||||||
| 100,000 | 3.250%, 12/15/2022g | 94,083 | ||||||
| 115,000 | 6.450%, 12/1/2036g | 129,001 | ||||||
| Crown Castle Towers, LLC | ||||||||
| 250,000 | 4.174%, 8/15/2017g | 264,215 | ||||||
| NBC Universal Enterprise, Inc. | ||||||||
| 125,000 | 1.662%, 4/15/2018g | 121,667 | ||||||
|
| |||||||
| Total | 872,611 | |||||||
|
| |||||||
| Consumer Cyclical (0.6%) | ||||||||
| Amazon.com, Inc. | ||||||||
| 125,000 | 1.200%, 11/29/2017 | 120,892 | ||||||
| California Institute of Technology | ||||||||
| 175,000 | 4.700%, 11/1/2111 | 161,769 | ||||||
| Dartmouth College | ||||||||
| 125,000 | 3.760%, 6/1/2043 | 112,780 | ||||||
| Ford Motor Credit Company, LLC | ||||||||
| 100,000 | 4.207%, 4/15/2016 | 104,465 | ||||||
| 150,000 | 3.000%, 6/12/2017 | 150,316 | ||||||
| Home Depot, Inc. | ||||||||
| 125,000 | 2.700%, 4/1/2023 | 118,507 | ||||||
| President and Fellows of Harvard College | ||||||||
| 275,000 | 3.619%, 10/1/2037 | 249,399 | ||||||
| The Board of Trustees of The Leland Stanford Junior University | ||||||||
| 275,000 | 3.563%, 6/1/2044 | 245,382 | ||||||
Wal-Mart Stores, Inc. | ||||||||
| 150,000 | 7.550%, 2/15/2030 | 205,770 | ||||||
|
| |||||||
| Total | 1,469,280 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.8%) | ||||||||
| AbbVie, Inc. | ||||||||
| 150,000 | 1.750%, 11/6/2017g | 146,958 | ||||||
| Allergan, Inc. | ||||||||
| 175,000 | 1.350%, 3/15/2018 | 170,516 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 150,000 | 1.375%, 7/15/2017 | 147,630 | ||||||
| Cargill, Inc. | ||||||||
| 175,000 | 4.100%, 11/1/2042g | 155,894 | ||||||
| Colgate-Palmolive Company | ||||||||
| 250,000 | 1.250%, 5/1/2014 | 251,687 | ||||||
| Dr Pepper Snapple Group, Inc. | ||||||||
| 125,000 | 2.700%, 11/15/2022 | 116,041 | ||||||
| Fomento Economico Mexicano SAB de CV | ||||||||
| 150,000 | 2.875%, 5/10/2023 | 135,813 | ||||||
| Heineken NV | ||||||||
| 25,000 | 1.400%, 10/1/2017g | 24,290 | ||||||
| 125,000 | 2.750%, 4/1/2023g | 114,600 | ||||||
| McKesson Corporation | ||||||||
| 125,000 | 2.700%, 12/15/2022 | 116,549 | ||||||
| Medtronic, Inc. | ||||||||
| 125,000 | 1.375%, 4/1/2018 | 121,520 | ||||||
| Mylan, Inc. | ||||||||
| 125,000 | 3.125%, 1/15/2023g | 114,270 | ||||||
| Sanofi | ||||||||
| 125,000 | 1.250%, 4/10/2018 | 121,073 | ||||||
| Wyeth, LLC | ||||||||
| 150,000 | 6.000%, 2/15/2036 | 179,630 | ||||||
|
| |||||||
| Total | 1,916,471 | |||||||
|
| |||||||
| Energy (0.5%) | ||||||||
| Chevron Corporation | ||||||||
| 75,000 | 2.427%, 6/24/2020 | 74,572 | ||||||
| 150,000 | 3.191%, 6/24/2023 | 149,273 | ||||||
| Energy Transfer Partners, LP | ||||||||
| 300,000 | 6.700%, 7/1/2018 | 352,305 | ||||||
| EOG Resources, Inc. | ||||||||
| 125,000 | 2.625%, 3/15/2023 | 116,968 | ||||||
| Marathon Oil Corporation | ||||||||
| 175,000 | 2.800%, 11/1/2022 | 161,903 | ||||||
| Petro-Canada | ||||||||
| 200,000 | 6.800%, 5/15/2038 | 231,776 | ||||||
| Phillips 66 | ||||||||
| 175,000 | 1.950%, 3/5/2015 | 177,714 | ||||||
| Rowan Companies, Inc. | ||||||||
| 100,000 | 4.875%, 6/1/2022 | 103,186 | ||||||
|
| |||||||
| Total | 1,367,697 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
197
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (35.2%) | Value | ||||||
| Financials (3.1%) | ||||||||
| American Tower Trust I | ||||||||
| $125,000 | 1.551%, 3/15/2018g | $ | 122,835 | |||||
| Australia and New Zealand Banking Group, Ltd. | ||||||||
| 150,000 | 1.000%, 10/6/2015g | 150,510 | ||||||
| Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | ||||||||
| 100,000 | 4.125%, 11/9/2022g | 93,750 | ||||||
| Bank of America Corporation | ||||||||
| 125,000 | 1.500%, 10/9/2015 | 124,716 | ||||||
| 75,000 | 5.875%, 2/7/2042 | 83,851 | ||||||
| Barclays Bank plc | ||||||||
| 200,000 | 5.000%, 9/22/2016 | 220,956 | ||||||
| Berkshire Hathaway Finance Corporation | ||||||||
| 150,000 | 1.600%, 5/15/2017 | 149,369 | ||||||
| Boston Properties, LP | ||||||||
| 150,000 | 3.125%, 9/1/2023 | 138,555 | ||||||
| Camden Property Trust | ||||||||
| 50,000 | 2.950%, 12/15/2022 | 45,428 | ||||||
| Chubb Corporation | ||||||||
| 150,000 | 6.500%, 5/15/2038 | 188,901 | ||||||
| Citigroup, Inc. | ||||||||
| 82,000 | 1.214%, 4/1/2014e | 82,335 | ||||||
| 125,000 | 4.050%, 7/30/2022 | 120,138 | ||||||
| Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||||
| 100,000 | 4.750%, 1/15/2020g | 108,356 | ||||||
| Credit Suisse AG Guernsey | ||||||||
| 350,000 | 1.625%, 3/6/2015g | 355,075 | ||||||
| DnB Boligkreditt AS | ||||||||
| 200,000 | 1.450%, 3/21/2018g | 194,180 | ||||||
| Duke Realty, LP | ||||||||
| 125,000 | 3.875%, 10/15/2022 | 118,406 | ||||||
| General Electric Capital Corporation | ||||||||
| 225,000 | 5.875%, 1/14/2038 | 247,670 | ||||||
| Goldman Sachs Group, Inc. | ||||||||
| 200,000 | 2.375%, 1/22/2018 | 196,366 | ||||||
| HCP, Inc. | ||||||||
| 175,000 | 3.750%, 2/1/2016 | 184,262 | ||||||
| Health Care REIT, Inc. | ||||||||
| 300,000 | 6.125%, 4/15/2020 | 340,801 | ||||||
| HSBC Holdings plc | ||||||||
| 200,000 | 6.800%, 6/1/2038 | 230,032 | ||||||
| ING Bank NV | ||||||||
| 200,000 | 2.625%, 12/5/2022g | 187,560 | ||||||
| J.P. Morgan Chase & Company | ||||||||
| 175,000 | 2.000%, 8/15/2017 | 173,678 | ||||||
| 100,000 | 1.176%, 1/25/2018e | 99,780 | ||||||
| Liberty Mutual Group, Inc. | ||||||||
| 75,000 | 4.950%, 5/1/2022g | 77,001 | ||||||
| Macquarie Bank, Ltd. | ||||||||
| 100,000 | 5.000%, 2/22/2017g | 107,149 | ||||||
| MassMutual Global Funding II | ||||||||
| 150,000 | 2.000%, 4/5/2017g | 150,308 | ||||||
| Morgan Stanley | ||||||||
| 75,000 | 4.100%, 5/22/2023 | 69,294 | ||||||
| National Australia Bank, Ltd. | ||||||||
| 175,000 | 2.000%, 6/20/2017g | 177,450 | ||||||
| Nordea Bank AB | ||||||||
| 175,000 | 3.125%, 3/20/2017g | 180,089 | ||||||
| Northern Trust Corporation | ||||||||
| 250,000 | 3.450%, 11/4/2020 | 257,381 | ||||||
| PNC Financial Services Group, Inc. | ||||||||
| 175,000 | 2.854%, 11/9/2022 | 159,634 | ||||||
| Preferred Term Securities XXIII, Ltd. | ||||||||
| 903,583 | 0.473%, 12/22/2036e,f | 680,019 | ||||||
| Principal Life Global Funding II | ||||||||
| 150,000 | 1.000%, 12/11/2015g | 150,028 | ||||||
| Prudential Covered Trust | ||||||||
| 135,000 | 2.997%, 9/30/2015g | 139,309 | ||||||
| Realty Income Corporation | ||||||||
| 125,000 | 2.000%, 1/31/2018 | 121,294 | ||||||
| Skandinaviska Enskilda Banken AB | ||||||||
| 200,000 | 1.750%, 3/19/2018g | 194,500 | ||||||
| Svenska Handelsbanken AB | ||||||||
| 250,000 | 1.625%, 3/21/2018 | 243,452 | ||||||
| Swedbank AB | ||||||||
| 200,000 | 1.750%, 3/12/2018g | 194,320 | ||||||
| Swedbank Hypotek AB | ||||||||
| 200,000 | 1.375%, 3/28/2018b,g | 193,320 | ||||||
| UBS AG/London | ||||||||
| 250,000 | 1.875%, 1/23/2015g | 254,450 | ||||||
| UnitedHealth Group, Inc. | ||||||||
| 175,000 | 1.400%, 10/15/2017 | 171,822 | ||||||
| Ventas Realty, LP | ||||||||
| 125,000 | 2.700%, 4/1/2020 | 118,193 | ||||||
| 75,000 | 4.250%, 3/1/2022 | 75,643 | ||||||
| Washington Mutual Bank | ||||||||
| 500,000 | 5.500%, 1/15/2013h,i | 0 | ||||||
| Wells Fargo & Company | ||||||||
| 75,000 | 3.450%, 2/13/2023 | 71,628 | ||||||
|
| |||||||
| Total | 7,743,794 | |||||||
|
| |||||||
| Foreign Government (1.3%) | ||||||||
| Bank Nederlandse Gemeenten NV | ||||||||
| 300,000 | 4.375%, 2/16/2021g | 332,610 | ||||||
| Chile Government International Bond | ||||||||
| 150,000 | 3.875%, 8/5/2020 | 157,500 | ||||||
| Kommunalbanken AS | ||||||||
| 235,000 | 1.000%, 9/26/2017g | 229,203 | ||||||
| Kommuninvest I Sverige AB | ||||||||
| 175,000 | 1.000%, 10/24/2017g | 170,888 | ||||||
| Province of Manitoba | ||||||||
| 325,000 | 1.300%, 4/3/2017 | 326,625 | ||||||
| Province of New Brunswick | ||||||||
| 250,000 | 2.750%, 6/15/2018 | 259,997 | ||||||
| Province of Newfoundland | ||||||||
| 500,000 | 8.650%, 10/22/2022 | 694,301 | ||||||
| Province of Quebec | ||||||||
| 600,000 | 4.875%, 5/5/2014 | 622,560 | ||||||
| Sweden Government International Bond | ||||||||
| 175,000 | 0.375%, 12/22/2015g | 173,810 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
198
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (35.2%) | Value | ||||||
| Foreign Government (1.3%) - continued | ||||||||
| $150,000 | 0.375%, 3/29/2016g | $ | 148,665 | |||||
|
| |||||||
| Total | 3,116,159 | |||||||
|
| |||||||
| Mortgage-Backed Securities (9.1%) | ||||||||
| Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 1,205 | 6.000%, 2/1/2014 | 1,232 | ||||||
| 3,600 | 5.500%, 4/1/2014 | 3,815 | ||||||
| 2,560 | 6.000%, 4/1/2014 | 2,576 | ||||||
| 544 | 6.000%, 4/1/2014 | 556 | ||||||
| 4,110 | 6.500%, 6/1/2014 | 4,212 | ||||||
| 3,415 | 7.500%, 9/1/2014 | 3,529 | ||||||
| 186,790 | 5.500%, 12/1/2017 | 199,537 | ||||||
| 2,600,000 | 2.500%, 7/1/2028j | 2,613,000 | ||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 13,427 | 6.500%, 4/1/2024 | 15,192 | ||||||
| 21,390 | 9.000%, 11/1/2024 | 25,206 | ||||||
| 1,109 | 9.000%, 4/1/2025 | 1,319 | ||||||
| 1,273 | 7.000%, 9/1/2025 | 1,475 | ||||||
| 1,153 | 8.500%, 9/1/2025 | 1,356 | ||||||
| 668 | 6.500%, 5/1/2026 | 764 | ||||||
| 4,287 | 6.000%, 7/1/2026 | 4,707 | ||||||
| 1,131 | 7.500%, 7/1/2026 | 1,296 | ||||||
| 1,550 | 7.500%, 1/1/2027 | 1,776 | ||||||
| 1,732 | 6.500%, 2/1/2027 | 1,986 | ||||||
| 4,203 | 7.000%, 2/1/2027 | 4,900 | ||||||
| 16,830 | 8.000%, 3/1/2027 | 19,540 | ||||||
| 2,625 | 7.500%, 4/1/2027 | 3,013 | ||||||
| 6,964 | 8.000%, 6/1/2027 | 8,095 | ||||||
| 1,437 | 8.500%, 7/1/2027 | 1,694 | ||||||
| 2,908 | 7.000%, 9/1/2027 | 3,390 | ||||||
| 5,508 | 8.000%, 10/1/2027 | 6,402 | ||||||
| 4,211 | 7.500%, 11/1/2027 | 4,834 | ||||||
| 3,006 | 7.500%, 12/1/2027 | 3,451 | ||||||
| 11,700 | 6.500%, 6/1/2028 | 13,441 | ||||||
| 10,047 | 7.000%, 10/1/2028 | 11,746 | ||||||
| 55,382 | 6.500%, 11/1/2028 | 63,624 | ||||||
| 21,574 | 6.000%, 3/1/2029 | 23,936 | ||||||
| 10,693 | 6.500%, 4/1/2029 | 12,260 | ||||||
| 19,598 | 6.000%, 5/1/2029 | 21,743 | ||||||
| 25,536 | 7.000%, 5/1/2029 | 29,773 | ||||||
| 8,195 | 6.500%, 7/1/2029 | 9,396 | ||||||
| 6,417 | 6.500%, 8/1/2029 | 7,357 | ||||||
| 4,130 | 7.000%, 9/1/2029 | 4,815 | ||||||
| 5,655 | 7.000%, 10/1/2029 | 6,594 | ||||||
| 6,297 | 7.500%, 11/1/2029 | 7,252 | ||||||
| 8,235 | 7.000%, 1/1/2030 | 9,577 | ||||||
| 13,785 | 7.500%, 1/1/2030 | 15,899 | ||||||
| 4,171 | 8.000%, 8/1/2030 | 4,866 | ||||||
| 13,221 | 6.000%, 3/1/2031 | 14,746 | ||||||
| 43,596 | 6.000%, 6/1/2031 | 48,624 | ||||||
| 43,419 | 6.000%, 1/1/2032 | 48,426 | ||||||
| 1,325,000 | 3.000%, 7/1/2043j | 1,291,461 | ||||||
| Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 1,102 | 6.000%, 11/1/2013 | 1,108 | ||||||
| 5,263 | 5.500%, 12/1/2013 | 5,550 | ||||||
| 2,547 | 6.000%, 12/1/2013 | 2,552 | ||||||
| 326 | 7.500%, 4/1/2015 | 344 | ||||||
| 3,700,000 | 2.500%, 7/1/2028j | 3,721,390 | ||||||
| Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 2,423 | 10.500%, 8/1/2020 | 2,755 | ||||||
| 4,767 | 9.500%, 4/1/2025 | 5,713 | ||||||
| 1,313 | 8.500%, 11/1/2025 | 1,542 | ||||||
| 4,099 | 6.500%, 2/1/2026 | 4,685 | ||||||
| 1,934 | 7.000%, 3/1/2026 | 2,246 | ||||||
| 2,209 | 6.500%, 4/1/2026 | 2,526 | ||||||
| 1,375 | 8.500%, 5/1/2026 | 1,615 | ||||||
| 1,541 | 7.500%, 7/1/2026 | 1,764 | ||||||
| 7,058 | 7.500%, 8/1/2026 | 8,079 | ||||||
| 1,341 | 8.000%, 8/1/2026 | 1,555 | ||||||
| 5,104 | 7.000%, 11/1/2026 | 5,928 | ||||||
| 1,351 | 8.000%, 11/1/2026 | 1,566 | ||||||
| 572 | 7.500%, 12/1/2026 | 654 | ||||||
| 1,759 | 7.000%, 3/1/2027 | 2,043 | ||||||
| 969 | 7.500%, 5/1/2027 | 1,111 | ||||||
| 5,519 | 6.500%, 7/1/2027 | 6,325 | ||||||
| 975 | 7.500%, 8/1/2027 | 1,118 | ||||||
| 20,266 | 8.000%, 9/1/2027 | 23,526 | ||||||
| 2,973 | 7.000%, 10/1/2027 | 3,463 | ||||||
| 3,626 | 8.000%, 12/1/2027 | 4,209 | ||||||
| 9,556 | 6.500%, 2/1/2028 | 10,951 | ||||||
| 2,420 | 7.000%, 2/1/2028 | 2,819 | ||||||
| 44,677 | 6.500%, 7/1/2028 | 51,286 | ||||||
| 23,357 | 7.000%, 8/1/2028 | 27,276 | ||||||
| 24,090 | 6.500%, 11/1/2028 | 27,653 | ||||||
| 4,064 | 6.500%, 11/1/2028 | 4,665 | ||||||
| 930 | 7.000%, 11/1/2028 | 1,086 | ||||||
| 9,052 | 6.000%, 12/1/2028 | 10,066 | ||||||
| 15,329 | 7.000%, 12/1/2028 | 17,901 | ||||||
| 14,026 | 6.000%, 3/1/2029 | 15,598 | ||||||
| 13,857 | 6.500%, 6/1/2029 | 15,927 | ||||||
| 18,938 | 6.000%, 7/1/2029 | 21,061 | ||||||
| 1,888 | 6.500%, 7/1/2029 | 2,170 | ||||||
| 27,947 | 7.500%, 8/1/2029 | 32,133 | ||||||
| 19,947 | 7.000%, 11/1/2029 | 23,300 | ||||||
| 8,190 | 7.000%, 11/1/2029 | 9,567 | ||||||
| 8,281 | 8.500%, 4/1/2030 | 9,765 | ||||||
| 8,027 | 7.500%, 8/1/2030 | 9,242 | ||||||
| 43,926 | 6.500%, 7/1/2031 | 50,530 | ||||||
| 15,302 | 6.500%, 10/1/2031 | 17,603 | ||||||
| 20,237 | 6.500%, 12/1/2031 | 23,280 | ||||||
| 27,758 | 6.500%, 5/1/2032 | 31,952 | ||||||
| 127,844 | 6.500%, 7/1/2032 | 147,162 | ||||||
| 1,500,000 | 3.000%, 7/1/2043j | 1,465,547 | ||||||
| 6,125,000 | 3.500%, 7/1/2043j | 6,217,832 | ||||||
| 5,350,000 | 4.000%, 7/1/2043j | 5,573,404 | ||||||
| Government National Mortgage Association 15-Yr. Pass Through | ||||||||
| 3,784 | 6.000%, 7/15/2014 | 3,891 | ||||||
| Government National Mortgage Association 30-Yr. Pass Through | ||||||||
| 2,877 | 9.500%, 1/15/2025 | 3,416 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
199
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (35.2%) | Value | ||||||
| Mortgage-Backed Securities (9.1%) - continued | ||||||||
| $9,201 | 7.000%, 1/15/2026 | $ | 10,704 | |||||
| 9,278 | 7.000%, 1/15/2026 | 10,793 | ||||||
| 4,320 | 7.000%, 4/15/2026 | 5,026 | ||||||
| 8,265 | 6.000%, 5/15/2026 | 9,200 | ||||||
| 8,776 | 7.000%, 6/15/2026 | 10,209 | ||||||
| 6,230 | 8.500%, 6/15/2026 | 7,266 | ||||||
| 2,206 | 8.500%, 7/15/2026 | 2,572 | ||||||
| 8,533 | 8.000%, 9/15/2026 | 9,828 | ||||||
| 3,210 | 7.500%, 10/15/2026 | 3,654 | ||||||
| 1,445 | 8.000%, 11/15/2026 | 1,664 | ||||||
| 525 | 8.500%, 11/15/2026 | 612 | ||||||
| 1,597 | 9.000%, 12/15/2026 | 1,877 | ||||||
| 11,905 | 7.500%, 4/15/2027 | 13,575 | ||||||
| 4,213 | 8.000%, 6/20/2027 | 4,855 | ||||||
| 367 | 8.000%, 8/15/2027 | 424 | ||||||
| 26,677 | 6.500%, 10/15/2027 | 30,619 | ||||||
| 12,140 | 7.000%, 10/15/2027 | 14,164 | ||||||
| 1,032 | 7.000%, 11/15/2027 | 1,204 | ||||||
| 21,143 | 7.000%, 11/15/2027 | 24,668 | ||||||
| 52,698 | 7.000%, 7/15/2028 | 61,654 | ||||||
| 15,118 | 7.500%, 7/15/2028 | 17,265 | ||||||
| 24,076 | 6.500%, 9/15/2028 | 27,682 | ||||||
| 31,752 | 6.000%, 12/15/2028 | 35,768 | ||||||
| 19,553 | 6.500%, 1/15/2029 | 22,522 | ||||||
| 114,403 | 6.500%, 3/15/2029 | 131,774 | ||||||
| 19,842 | 6.500%, 4/15/2029 | 22,855 | ||||||
| 11,354 | 7.000%, 4/15/2029 | 13,281 | ||||||
| 39,718 | 6.000%, 6/15/2029 | 44,671 | ||||||
| 28,760 | 7.000%, 6/15/2029 | 33,640 | ||||||
| 10,050 | 8.000%, 5/15/2030 | 11,631 | ||||||
| 24,190 | 7.000%, 9/15/2031 | 28,261 | ||||||
| 27,045 | 6.500%, 2/15/2032 | 31,275 | ||||||
|
| |||||||
| Total | 22,870,032 | |||||||
|
| |||||||
| Technology (0.2%) | ||||||||
| Apple, Inc. | ||||||||
| 200,000 | 2.400%, 5/3/2023 | 185,493 | ||||||
| Motorola Solutions, Inc. | ||||||||
| 125,000 | 3.500%, 3/1/2023 | 117,836 | ||||||
| Oracle Corporation | ||||||||
| 175,000 | 1.200%, 10/15/2017 | 169,964 | ||||||
|
| |||||||
| Total | 473,293 | |||||||
|
| |||||||
| Transportation (0.2%) | ||||||||
| Canadian Pacific Railway Company | ||||||||
| 150,000 | 7.125%, 10/15/2031 | 185,477 | ||||||
| Continental Airlines, Inc. | ||||||||
| 175,000 | 4.150%, 4/11/2024 | 171,500 | ||||||
| Delta Air Lines, Inc. | ||||||||
| 123,197 | 4.950%, 5/23/2019 | 130,897 | ||||||
|
| |||||||
| Total | 487,874 | |||||||
|
| |||||||
| U.S. Government and Agencies (13.9%) | ||||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 175,000 | 1.250%, 10/2/2019 | 165,798 | ||||||
| Federal National Mortgage Association | ||||||||
| 1,000,000 | 0.875%, 5/21/2018 | 966,462 | ||||||
| 1,500,000 | 5.625%, 4/17/2028 | 1,800,675 | ||||||
| Resolution Funding Corporation | ||||||||
| 1,000,000 | 8.625%, 1/15/2021 | 1,415,862 | ||||||
| Tennessee Valley Authority | ||||||||
| 150,000 | 5.250%, 9/15/2039 | 168,769 | ||||||
| U.S. Treasury Bonds | ||||||||
| 3,000,000 | 3.000%, 5/15/2042 | 2,734,686 | ||||||
| U.S. Treasury Notes | ||||||||
| 2,000,000 | 0.750%, 6/15/2014 | 2,010,546 | ||||||
| 3,500,000 | 2.375%, 8/31/2014 | 3,587,773 | ||||||
| 2,650,000 | 0.250%, 10/31/2014 | 2,651,036 | ||||||
| 500,000 | 0.250%, 11/30/2014 | 500,117 | ||||||
| 500,000 | 0.250%, 3/31/2015 | 499,453 | ||||||
| 8,050,000 | 0.375%, 2/15/2016 | 8,014,153 | ||||||
| 1,000,000 | 2.625%, 2/29/2016 | 1,054,766 | ||||||
| 1,150,000 | 1.000%, 10/31/2016 | 1,156,829 | ||||||
| 750,000 | 3.000%, 2/28/2017 | 805,781 | ||||||
| 1,250,000 | 0.625%, 5/31/2017 | 1,230,078 | ||||||
| 150,000 | 0.875%, 1/31/2018 | 147,328 | ||||||
| 400,000 | 0.750%, 2/28/2018 | 390,219 | ||||||
| 1,000,000 | 2.375%, 6/30/2018 | 1,048,125 | ||||||
| 3,830,000 | 1.375%, 1/31/2020 | 3,723,480 | ||||||
| 500,000 | 1.625%, 8/15/2022 | 469,102 | ||||||
| 200,000 | 1.750%, 5/15/2023 | 187,312 | ||||||
|
| |||||||
| Total | 34,728,350 | |||||||
|
| |||||||
| Utilities (1.1%) | ||||||||
| American Electric Power Company, Inc. | ||||||||
| 150,000 | 1.650%, 12/15/2017 | 145,819 | ||||||
| Commonwealth Edison Company | ||||||||
| 225,000 | 5.900%, 3/15/2036 | 264,616 | ||||||
| DCP Midstream Operating, LP | ||||||||
| 150,000 | 3.875%, 3/15/2023 | 140,683 | ||||||
| Duke Energy Carolinas, LLC | ||||||||
| 175,000 | 4.000%, 9/30/2042 | 158,540 | ||||||
| El Paso Pipeline Partners Operating Company, LLC | ||||||||
| 175,000 | 4.700%, 11/1/2042 | 155,018 | ||||||
| Entergy Arkansas, Inc. | ||||||||
| 125,000 | 3.050%, 6/1/2023 | 119,226 | ||||||
| Kansas City Power & Light Company | ||||||||
| 150,000 | 3.150%, 3/15/2023 | 142,401 | ||||||
| Kinder Morgan Energy Partners, LP | ||||||||
| 150,000 | 5.300%, 9/15/2020 | 166,559 | ||||||
| NiSource Finance Corporation | ||||||||
| 150,000 | 3.850%, 2/15/2023 | 145,550 | ||||||
| NSTAR Electric Company | ||||||||
| 175,000 | 2.375%, 10/15/2022 | 161,370 | ||||||
| ONEOK Partners, LP | ||||||||
| 225,000 | 6.650%, 10/1/2036 | 249,925 | ||||||
| PPL Capital Funding, Inc. | ||||||||
| 175,000 | 3.500%, 12/1/2022 | 167,417 | ||||||
| Public Service Company of Colorado | ||||||||
| 150,000 | 3.600%, 9/15/2042 | 129,552 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
200
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (35.2%) | Value | ||||||
| Utilities (1.1%) - continued | ||||||||
| Sempra Energy | ||||||||
| $175,000 | 2.300%, 4/1/2017 | $ | 177,245 | |||||
| Southern California Edison Company | ||||||||
| 225,000 | 5.000%, 1/15/2014 | 230,414 | ||||||
| Southern California Gas Company | ||||||||
| 175,000 | 3.750%, 9/15/2042 | 157,536 | ||||||
|
| |||||||
| Total | 2,711,871 | |||||||
|
| |||||||
| Total Long-Term Fixed Income (cost $89,064,923) | 88,134,397 | |||||||
|
| |||||||
| Shares | Collateral Held for Securities Loaned (0.9%) | |||||||
| 2,279,845 | Thrivent Cash Management Trust | 2,279,845 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $2,279,845) | 2,279,845 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (8.2%) | |||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 100,000 | 0.093%, 11/22/2013c,k | 99,962 | ||||||
| Thrivent Cash Management Trust | ||||||||
| 20,458,879 | 0.080% | 20,458,879 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 20,558,841 | |||||||
|
| |||||||
| Total Investments (cost $221,357,575) 109.1% | $ | 273,098,475 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (9.1%) | (22,819,201 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 250,279,274 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | At June 28, 2013, $496,042 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 June 28, 2013. |
| 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 June 28, 2013. |
Security | Acquisition Date | Cost | ||||||
Preferred Term Securities XXIII, Ltd. | 9/14/2006 | $ | 903,583 | |||||
Wachovia Asset Securitization, Inc. | 3/16/2007 | $ | 734,029 | |||||
| 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 June 28, 2013, the value of these investments was $9,234,447 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. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
201
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 66,514,328 | ||
Gross unrealized depreciation | (20,933,441 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 45,580,887 | ||
Cost for federal income tax purposes | $ | 227,517,588 |
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, in valuing Balanced Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 20,038,939 | 20,038,939 | — | — | ||||||||||||
Consumer Staples | 16,996,530 | 16,996,530 | — | — | ||||||||||||
Energy | 17,056,749 | 17,056,749 | — | — | ||||||||||||
Financials | 28,739,729 | 28,739,729 | — | — | ||||||||||||
Health Care | 20,439,602 | 20,439,602 | — | — | ||||||||||||
Industrials | 16,493,233 | 16,493,233 | — | — | ||||||||||||
Information Technology | 27,238,608 | 27,238,608 | — | — | ||||||||||||
Materials | 5,144,507 | 5,144,507 | — | — | ||||||||||||
Telecommunications Services | 4,607,036 | 4,607,036 | — | — | ||||||||||||
Utilities | 5,370,459 | 5,370,459 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 3,110,245 | — | 3,110,245 | — | ||||||||||||
Basic Materials | 530,793 | — | 530,793 | — | ||||||||||||
Capital Goods | 871,739 | — | 871,739 | — | ||||||||||||
Collateralized Mortgage Obligations | 71,202 | — | 71,202 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 5,792,986 | — | 5,792,986 | — | ||||||||||||
Communications Services | 872,611 | — | 872,611 | — | ||||||||||||
Consumer Cyclical | 1,469,280 | — | 1,469,280 | — | ||||||||||||
Consumer Non-Cyclical | 1,916,471 | — | 1,916,471 | — | ||||||||||||
Energy | 1,367,697 | — | 1,367,697 | — | ||||||||||||
Financials^ | 7,743,794 | — | 7,063,775 | 680,019 | ||||||||||||
Foreign Government | 3,116,159 | — | 3,116,159 | — | ||||||||||||
Mortgage-Backed Securities | 22,870,032 | — | 22,870,032 | — | ||||||||||||
Technology | 473,293 | — | 473,293 | — | ||||||||||||
Transportation | 487,874 | — | 487,874 | — | ||||||||||||
U.S. Government and Agencies | 34,728,350 | — | 34,728,350 | — | ||||||||||||
Utilities | 2,711,871 | — | 2,711,871 | — | ||||||||||||
Collateral Held for Securities Loaned | 2,279,845 | 2,279,845 | — | — | ||||||||||||
Short-Term Investments | 20,558,841 | 20,458,879 | 99,962 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 273,098,475 | $ | 184,864,116 | $ | 87,554,340 | $ | 680,019 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 38,211 | 38,211 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 38,211 | $ | 38,211 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. Transfers between Levels are identified as of the end of the period.
| ^ | Level 3 security in this section is fair valued at <$1. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
202
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Index Futures | 9 | September 2013 | $ | 3,636,636 | $ | 3,598,425 | ($ | 38,211 | ) | |||||||||||
Total Futures Contracts | ($ | 38,211 | ) | |||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 28, 2013, 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 | 38,211 | ||||
Total Equity Contracts | 38,211 | |||||
|
| |||||
Total Liability Derivatives | $ | 38,211 | ||||
|
| |||||
| * | 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 June 28, 2013, 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 | 620,851 | ||||
Total Equity Contracts | 620,851 | |||||
|
| |||||
Total | $ | 620,851 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 28, 2013, 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 | 20,371 | ||||
Total Equity Contracts | 20,371 | |||||
|
| |||||
Total | $ | 20,371 | ||||
|
| |||||
The following table presents Balanced Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 4,685,209 | 1.9 | % | ||||
| * | 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.
203
Table of Contents
Balanced Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 1,012,103 | $ | 5,837,363 | $ | 4,569,621 | 2,279,845 | $ | 2,279,845 | $ | 2,472 | |||||||||||||
Cash Management Trust- Short Term Investment | 20,676,563 | 24,043,656 | 24,261,340 | 20,458,879 | 20,458,879 | 8,756 | ||||||||||||||||||
Total Value and Income Earned | 21,688,666 | 22,738,724 | 11,228 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
204
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Bank Loans (3.3%)a | Value | ||||||
| Communications Services (1.3%) | |||||||
| Clear Channel Communications, Inc., Term Loan | ||||||||
| $5,609,036 | 3.845%, 1/29/2016b,c | $ | 5,114,767 | |||||
| 4,745,964 | 6.945%, 1/30/2019 | 4,316,170 | ||||||
| McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
| 2,643,375 | 9.000%, 3/22/2019 | 2,596,455 | ||||||
|
| |||||||
| Total | 12,027,392 | |||||||
|
| |||||||
| Consumer Non-Cyclical (1.2%) | |||||||
| Albertson’s, Inc., Term Loan | ||||||||
| 2,992,500 | 4.750%, 3/21/2019 | 2,970,056 | ||||||
| DJO Finance, LLC, Term Loan | ||||||||
| 3,299,576 | 3.750%, 9/15/2017b,c | 3,315,381 | ||||||
| HCA, Inc., Term Loan | ||||||||
| 4,729,546 | 2.945%, 5/1/2018 | 4,705,142 | ||||||
|
| |||||||
| Total | 10,990,579 | |||||||
|
| |||||||
| Financials (0.3%) | |||||||
| Nuveen Investments, Inc., Term Loan | ||||||||
| 2,650,000 | 6.500%, 2/28/2019 | 2,612,450 | ||||||
|
| |||||||
| Total | 2,612,450 | |||||||
|
| |||||||
| Technology (0.5%) | |||||||
| First Data Corporation Extended, Term Loan | ||||||||
| 4,280,676 | 4.193%, 3/23/2018 | 4,168,308 | ||||||
|
| |||||||
| Total | 4,168,308 | |||||||
|
| |||||||
| Total Bank Loans (cost $29,595,480) | 29,798,729 | |||||||
|
| |||||||
Long-Term Fixed Income (91.9%) | ||||||||
| Asset-Backed Securities (0.3%) | |||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 2,458,812 | 5.746%, 5/25/2036 | 1,821,908 | ||||||
| 1,800,000 | 6.011%, 5/25/2036 | 1,291,687 | ||||||
|
| |||||||
| Total | 3,113,595 | |||||||
|
| |||||||
| Basic Materials (7.5%) | |||||||
| APERAM | ||||||||
| 2,645,000 | 7.750%, 4/1/2018d | 2,512,750 | ||||||
| Bluescope Steel, Ltd. | ||||||||
| 1,590,000 | 7.125%, 5/1/2018d | 1,613,850 | ||||||
| CONSOL Energy, Inc. | ||||||||
| 1,900,000 | 8.000%, 4/1/2017 | 1,999,750 | ||||||
| 2,770,000 | 8.250%, 4/1/2020 | 2,901,575 | ||||||
| FMG Resources Pty. Ltd. | ||||||||
| 2,630,000 | 7.000%, 11/1/2015d,e | 2,656,300 | ||||||
| 1,590,000 | 6.000%, 4/1/2017d,e | 1,546,275 | ||||||
| 3,700,000 | 6.875%, 2/1/2018d,e | 3,653,750 | ||||||
| 4,390,000 | 8.250%, 11/1/2019d,e | 4,521,700 | ||||||
| Graphic Packaging International, Inc. | ||||||||
| 1,600,000 | 7.875%, 10/1/2018 | 1,728,000 | ||||||
| 790,000 | 4.750%, 4/15/2021 | 764,325 | ||||||
| Hexion US Finance Corporation/Hexion Nova Scotia Finance ULC | ||||||||
| 4,270,000 | 8.875%, 2/1/2018e | 4,355,400 | ||||||
| 2,100,000 | 9.000%, 11/15/2020e | 2,005,500 | ||||||
| INEOS Group Holdings SA | ||||||||
| 1,590,000 | 6.125%, 8/15/2018d | 1,518,450 | ||||||
| Inmet Mining Corporation | ||||||||
| 3,800,000 | 8.750%, 6/1/2020d | 3,885,500 | ||||||
| Magnetation, LLC | ||||||||
| 2,640,000 | 11.000%, 5/15/2018d | 2,587,200 | ||||||
| Midwest Vanadium Pty. Ltd. | ||||||||
| 3,430,000 | 11.500%, 2/15/2018f | 2,503,900 | ||||||
| NOVA Chemicals Corporation | ||||||||
| 5,610,000 | 8.625%, 11/1/2019 | 6,149,962 | ||||||
| Novelis, Inc. | ||||||||
| 3,950,000 | 8.750%, 12/15/2020 | 4,236,375 | ||||||
| Resolute Forest Products, Inc. | ||||||||
| 3,170,000 | 5.875%, 5/15/2023d | 2,829,225 | ||||||
| Ryerson, Inc. | ||||||||
| 2,100,000 | 9.000%, 10/15/2017d | 2,131,500 | ||||||
| Sappi Papier Holding GmbH | ||||||||
| 2,645,000 | 8.375%, 6/15/2019d | 2,790,475 | ||||||
| Severstal Columbus, LLC | ||||||||
| 3,600,000 | 10.250%, 2/15/2018 | 3,730,500 | ||||||
| Tembec Industries, Inc. | ||||||||
| 3,180,000 | 11.250%, 12/15/2018 | 3,434,400 | ||||||
| US Coatings Acquisition, Inc./Flash Dutch 2 BV | ||||||||
| 1,580,000 | 7.375%, 5/1/2021d,e | 1,611,600 | ||||||
|
| |||||||
| Total | 67,668,262 | |||||||
|
| |||||||
| Capital Goods (8.2%) | |||||||
| BE Aerospace, Inc. | ||||||||
| 3,720,000 | 6.875%, 10/1/2020 | 4,017,600 | ||||||
| Case New Holland, Inc. | ||||||||
| 2,550,000 | 7.875%, 12/1/2017 | 2,887,875 | ||||||
| Cemex Finance, LLC | ||||||||
| 2,630,000 | 9.375%, 10/12/2017d | 2,866,700 | ||||||
| Cemex SAB de CV | ||||||||
| 2,630,000 | 9.000%, 1/11/2018d | 2,761,500 | ||||||
| CNH Capital, LLC | ||||||||
| 1,500,000 | 3.875%, 11/1/2015 | 1,507,500 | ||||||
| 2,650,000 | 3.625%, 4/15/2018d | 2,524,125 | ||||||
| Coleman Cable, Inc. | ||||||||
| 2,420,000 | 9.000%, 2/15/2018 | 2,565,200 | ||||||
| EnergySolutions, Inc. | ||||||||
| 2,650,000 | 10.750%, 8/15/2018 | 2,855,375 | ||||||
| Liberty Tire Recycling | ||||||||
| 2,130,000 | 11.000%, 10/1/2016f | 2,130,000 | ||||||
| Manitowoc Company, Inc. | ||||||||
| 4,730,000 | 8.500%, 11/1/2020 | 5,155,700 | ||||||
| Milacron, LLC | ||||||||
| 2,640,000 | 7.750%, 2/15/2021d | 2,633,400 | ||||||
| Nortek, Inc. | ||||||||
| 3,160,000 | 10.000%, 12/1/2018 | 3,428,600 | ||||||
| 1,000,000 | 8.500%, 4/15/2021d | 1,060,000 | ||||||
| 3,140,000 | 8.500%, 4/15/2021 | 3,359,800 | ||||||
| Owens-Illinois, Inc. | ||||||||
| 3,470,000 | 7.800%, 5/15/2018 | 3,973,150 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
205
Table of Contents
High Yield Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (91.9%) | Value | ||||||
| Capital Goods (8.2%) - continued | |||||||
| RBS Global, Inc. | ||||||||
| $4,520,000 | 8.500%, 5/1/2018 | $ | 4,802,500 | |||||
| Reynolds Group Issuer, Inc. | ||||||||
| 1,580,000 | 9.000%, 4/15/2019 | 1,631,350 | ||||||
| 2,660,000 | 9.875%, 8/15/2019 | 2,846,200 | ||||||
| 2,100,000 | 5.750%, 10/15/2020 | 2,115,750 | ||||||
| 2,630,000 | 8.250%, 2/15/2021 | 2,603,700 | ||||||
| RSC Equipment Rental, Inc. | ||||||||
| 3,120,000 | 8.250%, 2/1/2021 | 3,416,400 | ||||||
| Silgan Holdings, Inc. | ||||||||
| 3,970,000 | 5.000%, 4/1/2020 | 3,930,300 | ||||||
| Tekni-Plex, Inc. | ||||||||
| 2,960,000 | 9.750%, 6/1/2019d | 3,145,000 | ||||||
| United Rentals North America, Inc. | ||||||||
| 1,070,000 | 7.375%, 5/15/2020 | 1,142,225 | ||||||
| UR Financing Escrow Corporation | ||||||||
| 4,250,000 | 7.625%, 4/15/2022 | 4,600,625 | ||||||
|
| |||||||
| Total | 73,960,575 | |||||||
|
| |||||||
| Communications Services (16.3%) | |||||||
| Altice Finco SA | ||||||||
| 1,050,000 | 9.875%, 12/15/2020d | 1,123,500 | ||||||
| AMC Networks, Inc. | ||||||||
| 5,310,000 | 7.750%, 7/15/2021 | 5,801,175 | ||||||
| CCO Holdings, LLC | ||||||||
| 4,250,000 | 7.250%, 10/30/2017 | 4,510,312 | ||||||
| 2,110,000 | 7.000%, 1/15/2019 | 2,236,600 | ||||||
| 800,000 | 7.375%, 6/1/2020 | 870,000 | ||||||
| CenturyLink, Inc. | ||||||||
| 1,210,000 | 5.625%, 4/1/2020 | 1,222,100 | ||||||
| Cequel Communications Escrow 1, LLC | ||||||||
| 3,500,000 | 6.375%, 9/15/2020d | 3,561,250 | ||||||
| Clear Channel Worldwide Holdings, Inc. | ||||||||
| 5,000,000 | 6.500%, 11/15/2022d | 5,150,000 | ||||||
| Crown Castle International Corporation | ||||||||
| 5,000,000 | 5.250%, 1/15/2023 | 4,800,000 | ||||||
| Digicel, Ltd. | ||||||||
| 4,210,000 | 8.250%, 9/1/2017d | 4,378,400 | ||||||
| 1,680,000 | 7.000%, 2/15/2020d | 1,696,800 | ||||||
| 5,290,000 | 6.000%, 4/15/2021d,e | 4,999,050 | ||||||
| DISH DBS Corporation | ||||||||
| 2,645,000 | 5.125%, 5/1/2020d | 2,592,100 | ||||||
| Eileme 2 AB | ||||||||
| 4,260,000 | 11.625%, 1/31/2020d | 4,813,800 | ||||||
| Frontier Communications Corporation | ||||||||
| 3,190,000 | 8.250%, 4/15/2017 | 3,588,750 | ||||||
| Hughes Satellite Systems Corporation | ||||||||
| 4,850,000 | 6.500%, 6/15/2019 | 5,141,000 | ||||||
| Intelsat Jackson Holdings SA | ||||||||
| 7,970,000 | 7.250%, 10/15/2020 | 8,368,500 | ||||||
| 1,580,000 | 6.625%, 12/15/2022d | 1,532,600 | ||||||
| Intelsat Luxembourg SA | ||||||||
| 3,710,000 | 7.750%, 6/1/2021d | 3,747,100 | ||||||
| Level 3 Financing, Inc. | ||||||||
| 4,230,000 | 8.625%, 7/15/2020 | 4,504,950 | ||||||
| McGraw-Hill Global Education Holdings, LLC | ||||||||
| 5,295,000 | 9.750%, 4/1/2021d | 5,414,138 | ||||||
| MDC Partners, Inc. | ||||||||
| 2,650,000 | 6.750%, 4/1/2020d | 2,643,375 | ||||||
| NII International Telecom Sarl | ||||||||
| 2,640,000 | 7.875%, 8/15/2019d | 2,501,400 | ||||||
| 4,225,000 | 11.375%, 8/15/2019d | 4,520,750 | ||||||
| Satmex Escrow SA de CV | ||||||||
| 5,230,000 | 9.500%, 5/15/2017 | 5,530,725 | ||||||
| Sprint Nextel Corporation | ||||||||
| 8,680,000 | 9.000%, 11/15/2018d | 10,155,600 | ||||||
| 2,870,000 | 7.000%, 3/1/2020d | 3,099,600 | ||||||
| 4,000,000 | 6.000%, 11/15/2022 | 3,920,000 | ||||||
| Unitymedia Hessen GmbH & Company KG | ||||||||
| 5,100,000 | 5.500%, 1/15/2023d | 4,819,500 | ||||||
| Univision Communications, Inc. | ||||||||
| 3,000,000 | 6.750%, 9/15/2022d | 3,150,000 | ||||||
| UPC Holding BV | ||||||||
| 4,500,000 | 9.875%, 4/15/2018d | 4,882,500 | ||||||
| UPCB Finance V, Ltd. | ||||||||
| 1,600,000 | 7.250%, 11/15/2021d | 1,692,000 | ||||||
| Virgin Media Finance plc | ||||||||
| 1,196,000 | 8.375%, 10/15/2019 | 1,297,660 | ||||||
| WideOpenWest Finance, LLC | ||||||||
| 5,120,000 | 10.250%, 7/15/2019d | 5,440,000 | ||||||
| Wind Acquisition Finance SA | ||||||||
| 5,260,000 | 11.750%, 7/15/2017d | 5,470,400 | ||||||
| XM Satellite Radio, Inc. | ||||||||
| 3,680,000 | 7.625%, 11/1/2018d | 4,011,200 | ||||||
| Zayo Group, LLC | ||||||||
| 3,425,000 | 8.125%, 1/1/2020 | 3,716,125 | ||||||
|
| |||||||
| Total | 146,902,960 | |||||||
|
| |||||||
| Consumer Cyclical (14.2%) | |||||||
| Algeco Scotsman Global Finance plc | ||||||||
| 3,680,000 | 8.500%, 10/15/2018d,e | 3,661,600 | ||||||
| Beazer Homes USA, Inc. | ||||||||
| 1,050,000 | 9.125%, 6/15/2018 | 1,092,000 | ||||||
| 3,530,000 | 9.125%, 5/15/2019 | 3,697,675 | ||||||
| Brookfield Residential Properties, Inc. | ||||||||
| 2,630,000 | 6.500%, 12/15/2020d | 2,649,725 | ||||||
| 2,110,000 | 6.125%, 7/1/2022d | 2,070,438 | ||||||
| Burlington Coat Factory Warehouse Corporation | ||||||||
| 3,650,000 | 10.000%, 2/15/2019 | 4,033,250 | ||||||
| Choice Hotels International, Inc. | ||||||||
| 4,475,000 | 5.750%, 7/1/2022 | 4,743,500 | ||||||
| Chrysler Group, LLC | ||||||||
| 2,770,000 | 8.000%, 6/15/2019e | 3,022,763 | ||||||
| 2,600,000 | 8.250%, 6/15/2021e | 2,869,750 | ||||||
| Cinemark USA, Inc. | ||||||||
| 2,475,000 | 4.875%, 6/1/2023d,e | 2,376,000 | ||||||
| CST Brands, Inc. | ||||||||
| 2,110,000 | 5.000%, 5/1/2023d | 2,057,250 | ||||||
| DineEquity, Inc. | ||||||||
| 4,200,000 | 9.500%, 10/30/2018e | 4,662,000 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
206
Table of Contents
High Yield Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (91.9%) | Value | ||||||
| Consumer Cyclical (14.2%) - continued | |||||||
| Eldorado Resorts, LLC | ||||||||
| $4,820,000 | 8.625%, 6/15/2019f | $ | 4,639,250 | |||||
| General Motors Financial Company, Inc. | ||||||||
| 2,900,000 | 4.750%, 8/15/2017d | 2,972,500 | ||||||
| 2,220,000 | 3.250%, 5/15/2018d | 2,158,950 | ||||||
| 1,310,000 | 6.750%, 6/1/2018 | 1,424,625 | ||||||
| Jaguar Land Rover Automotive plc | ||||||||
| 1,050,000 | 5.625%, 2/1/2023d,e | 1,018,500 | ||||||
| KB Home | ||||||||
| 1,070,000 | 7.250%, 6/15/2018 | 1,134,200 | ||||||
| 2,000,000 | 8.000%, 3/15/2020e | 2,220,000 | ||||||
| 1,580,000 | 7.500%, 9/15/2022 | 1,694,550 | ||||||
| Lear Corporation | ||||||||
| 1,760,000 | 7.875%, 3/15/2018 | 1,878,800 | ||||||
| 1,760,000 | 8.125%, 3/15/2020 | 1,927,200 | ||||||
| 1,110,000 | 4.750%, 1/15/2023d | 1,054,500 | ||||||
| Limited Brands, Inc. | ||||||||
| 1,570,000 | 6.625%, 4/1/2021 | 1,705,412 | ||||||
| 1,860,000 | 5.625%, 2/15/2022 | 1,887,900 | ||||||
| LKQ Corporation | ||||||||
| 2,910,000 | 4.750%, 5/15/2023d | 2,779,050 | ||||||
| MCE Finance, Ltd. | ||||||||
| 2,370,000 | 5.000%, 2/15/2021d | 2,221,875 | ||||||
| MGM Resorts International | ||||||||
| 5,365,000 | 10.000%, 11/1/2016 | 6,290,463 | ||||||
| New Cotai, LLC | ||||||||
| 3,705,000 | 10.625%, 5/1/2019f | 3,630,900 | ||||||
| Realogy Group, LLC | ||||||||
| 1,590,000 | 3.375%, 5/1/2016d,e | 1,554,225 | ||||||
| RHP Hotel Properties, LP | ||||||||
| 4,120,000 | 5.000%, 4/15/2021d | 3,996,400 | ||||||
| ROC Finance, LLC | ||||||||
| 4,780,000 | 12.125%, 9/1/2018d | 5,437,250 | ||||||
| Royal Caribbean Cruises, Ltd. | ||||||||
| 6,345,000 | 5.250%, 11/15/2022e | 6,218,100 | ||||||
| Seminole Indian Tribe of Florida | ||||||||
| 4,735,000 | 7.804%, 10/1/2020d | 4,995,425 | ||||||
| Seven Seas Cruises S de RL, LLC | ||||||||
| 5,270,000 | 9.125%, 5/15/2019d | 5,586,200 | ||||||
| Six Flags Entertainment Corporation | ||||||||
| 5,230,000 | 5.250%, 1/15/2021d | 5,046,950 | ||||||
| Studio City Finance, Ltd. | ||||||||
| 5,240,000 | 8.500%, 12/1/2020d | 5,606,800 | ||||||
| Tunica-Biloxi Gaming Authority | ||||||||
| 4,770,000 | 9.000%, 11/15/2015f | 4,197,600 | ||||||
| West Corporation | ||||||||
| 4,650,000 | 8.625%, 10/1/2018 | 4,969,687 | ||||||
| 2,360,000 | 7.875%, 1/15/2019 | 2,454,400 | ||||||
|
| |||||||
| Total | 127,637,663 | |||||||
|
| |||||||
| Consumer Non-Cyclical (11.7%) | |||||||
| B&G Foods, Inc. | ||||||||
| 3,700,000 | 4.625%, 6/1/2021 | 3,533,500 | ||||||
| Biomet, Inc. | ||||||||
| 3,160,000 | 6.500%, 8/1/2020 | 3,256,775 | ||||||
| 2,115,000 | 6.500%, 10/1/2020 | 2,109,713 | ||||||
| CDRT Holding Corporation | ||||||||
| 3,690,000 | 9.250%, 10/1/2017d | 3,736,125 | ||||||
| DJO Finance, LLC | ||||||||
| 3,650,000 | 8.750%, 3/15/2018 | 3,942,000 | ||||||
| Emergency Medical Services Corporation | ||||||||
| 5,370,000 | 8.125%, 6/1/2019 | 5,705,625 | ||||||
| Endo Health Solutions, Inc. | ||||||||
| 4,760,000 | 7.250%, 1/15/2022 | 4,795,700 | ||||||
| Fresenius Medical Care US Finance, Inc. | ||||||||
| 2,660,000 | 6.500%, 9/15/2018d | 2,892,750 | ||||||
| 2,650,000 | 5.750%, 2/15/2021d | 2,782,500 | ||||||
| Grifols, Inc. | ||||||||
| 4,380,000 | 8.250%, 2/1/2018 | 4,708,500 | ||||||
| HCA, Inc. | ||||||||
| 2,645,000 | 6.500%, 2/15/2020 | 2,861,559 | ||||||
| 2,640,000 | 5.875%, 3/15/2022 | 2,709,300 | ||||||
| 3,860,000 | 4.750%, 5/1/2023 | 3,695,950 | ||||||
| Health Management Associates, Inc. | ||||||||
| 4,855,000 | 7.375%, 1/15/2020 | 5,322,294 | ||||||
| JBS Finance II, Ltd. | ||||||||
| 5,050,000 | 8.250%, 1/29/2018f | 5,125,750 | ||||||
| JBS USA, LLC/JBS USA Finance, Inc. | ||||||||
| 3,150,000 | 11.625%, 5/1/2014 | 3,323,250 | ||||||
| Libbey Glass, Inc. | ||||||||
| 3,321,000 | 6.875%, 5/15/2020 | 3,474,596 | ||||||
| Michael Foods Holding, Inc. | ||||||||
| 2,507,000 | 8.500%, 7/15/2018d | 2,582,210 | ||||||
| Michael Foods, Inc. | ||||||||
| 2,645,000 | 9.750%, 7/15/2018 | 2,896,275 | ||||||
| Revlon Consumer Products Corporation | ||||||||
| 5,260,000 | 5.750%, 2/15/2021d | 5,128,500 | ||||||
| Rite Aid Corporation | ||||||||
| 2,060,000 | 9.500%, 6/15/2017 | 2,137,868 | ||||||
| 2,110,000 | 6.750%, 6/15/2021c,d | 2,073,075 | ||||||
| Safeway Group Holding, LLC | ||||||||
| 3,175,000 | 7.000%, 5/15/2018d | 3,111,500 | ||||||
| Spectrum Brands Escrow Corporation | ||||||||
| 2,220,000 | 6.375%, 11/15/2020d | 2,325,450 | ||||||
| 2,030,000 | 6.625%, 11/15/2022d | 2,126,425 | ||||||
| Teleflex, Inc. | ||||||||
| 4,210,000 | 6.875%, 6/1/2019 | 4,441,550 | ||||||
| Valeant Pharmaceuticals International | ||||||||
| 3,100,000 | 7.250%, 7/15/2022d | 3,146,500 | ||||||
| Visant Corporation | ||||||||
| 4,890,000 | 10.000%, 10/1/2017 | 4,511,025 | ||||||
| VPII Escrow Corporation | ||||||||
| 1,850,000 | 7.500%, 7/15/2021c,d | 1,914,750 | ||||||
| Warner Chilcott Company, LLC | ||||||||
| 4,565,000 | 7.750%, 9/15/2018 | 4,930,200 | ||||||
|
| |||||||
| Total | 105,301,215 | |||||||
|
| |||||||
| Energy (12.3%) | |||||||
| Approach Resources, Inc. | ||||||||
| 2,640,000 | 7.000%, 6/15/2021 | 2,659,800 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
207
Table of Contents
High Yield Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (91.9%) | Value | ||||||
| Energy (12.3%) - continued | |||||||
| Bonanza Creek Energy, Inc. | ||||||||
| $2,375,000 | 6.750%, 4/15/2021d | $ | 2,392,813 | |||||
| Bristow Group, Inc. | ||||||||
| 3,180,000 | 6.250%, 10/15/2022 | 3,259,500 | ||||||
| Chaparral Energy, Inc. | ||||||||
| 4,150,000 | 7.625%, 11/15/2022 | 4,233,000 | ||||||
| Concho Resources, Inc. | ||||||||
| 5,240,000 | 6.500%, 1/15/2022 | 5,541,300 | ||||||
| Continental Resources, Inc. | ||||||||
| 2,120,000 | 5.000%, 9/15/2022 | 2,157,100 | ||||||
| 2,915,000 | 4.500%, 4/15/2023d | 2,834,838 | ||||||
| Energy XXI Gulf Coast, Inc. | ||||||||
| 2,110,000 | 9.250%, 12/15/2017 | 2,315,725 | ||||||
| 1,580,000 | 7.750%, 6/15/2019 | 1,627,400 | ||||||
| Exterran Partners, LP | ||||||||
| 3,780,000 | 6.000%, 4/1/2021d | 3,723,300 | ||||||
| Halcon Resources Corporation | ||||||||
| 5,250,000 | 8.875%, 5/15/2021 | 5,092,500 | ||||||
| Harvest Operations Corporation | ||||||||
| 5,290,000 | 6.875%, 10/1/2017 | 5,898,350 | ||||||
| Helix Energy Solutions Group, Inc. | ||||||||
| 2,316,000 | 9.500%, 1/15/2016d | 2,378,532 | ||||||
| Kodiak Oil & Gas Corporation | ||||||||
| 3,680,000 | 5.500%, 1/15/2021d,e | 3,588,000 | ||||||
| Linn Energy, LLC | ||||||||
| 2,250,000 | 8.625%, 4/15/2020 | 2,362,500 | ||||||
| 2,195,000 | 7.750%, 2/1/2021 | 2,200,487 | ||||||
| Markwest Energy Partners, LP | ||||||||
| 1,729,000 | 6.250%, 6/15/2022 | 1,780,870 | ||||||
| MEG Energy Corporation | ||||||||
| 3,160,000 | 6.375%, 1/30/2023d | 3,065,200 | ||||||
| Memorial Production Partners, LP | ||||||||
| 3,170,000 | 7.625%, 5/1/2021d | 3,122,450 | ||||||
| Northern Oil and Gas, Inc. | ||||||||
| 3,965,000 | 8.000%, 6/1/2020 | 4,004,650 | ||||||
| Northern Tier Energy, LLC | ||||||||
| 3,020,000 | 7.125%, 11/15/2020d | 3,050,200 | ||||||
| Oasis Petroleum, Inc. | ||||||||
| 2,670,000 | 7.250%, 2/1/2019 | 2,783,475 | ||||||
| 1,590,000 | 6.500%, 11/1/2021 | 1,629,750 | ||||||
| Offshore Group Investment, Ltd. | ||||||||
| 4,230,000 | 7.125%, 4/1/2023d | 4,155,975 | ||||||
| Pacific Drilling V, Ltd. | ||||||||
| 3,538,000 | 7.250%, 12/1/2017d | 3,679,520 | ||||||
| Plains Exploration & Production Company | ||||||||
| 2,500,000 | 6.125%, 6/15/2019 | 2,650,807 | ||||||
| 2,500,000 | 6.750%, 2/1/2022 | 2,649,440 | ||||||
| Precision Drilling Corporation | ||||||||
| 2,450,000 | 6.625%, 11/15/2020 | 2,486,750 | ||||||
| 1,060,000 | 6.500%, 12/15/2021 | 1,073,250 | ||||||
| QEP Resources, Inc. | ||||||||
| 5,765,000 | 6.875%, 3/1/2021 | 6,211,787 | ||||||
| Range Resources Corporation | ||||||||
| 750,000 | 5.000%, 8/15/2022 | 733,125 | ||||||
| 4,240,000 | 5.000%, 3/15/2023 | 4,144,600 | ||||||
| SESI, LLC | ||||||||
| 1,700,000 | 6.375%, 5/1/2019 | 1,755,250 | ||||||
| 3,200,000 | 7.125%, 12/15/2021 | 3,456,000 | ||||||
| United Refining Company | ||||||||
| 4,710,000 | 10.500%, 2/28/2018 | 5,192,775 | ||||||
| Western Refining, Inc. | ||||||||
| 1,060,000 | 6.250%, 4/1/2021d | 1,036,150 | ||||||
|
| |||||||
| Total | 110,927,169 | |||||||
|
| |||||||
| Financials (6.7%) | |||||||
| Ally Financial, Inc. | ||||||||
| 5,590,000 | 7.500%, 9/15/2020 | 6,442,475 | ||||||
| Aviv Healthcare Properties, LP | ||||||||
| 5,270,000 | 7.750%, 2/15/2019 | 5,625,725 | ||||||
| Banco do Brasil SA/Cayman Islands | ||||||||
| 1,750,000 | 6.250%, 12/31/2049d,g | 1,540,000 | ||||||
| BBVA International Preferred SA Unipersonal | ||||||||
| 1,585,000 | 5.919%, 12/29/2049e,g | 1,418,575 | ||||||
| Citigroup, Inc. | ||||||||
| 1,500,000 | 5.350%, 5/29/2049g | 1,406,250 | ||||||
| Community Choice Financial, Inc. | ||||||||
| 2,620,000 | 10.750%, 5/1/2019 | 2,508,650 | ||||||
| CyrusOne, LP/CyrusOne Finance Corporation | ||||||||
| 5,040,000 | 6.375%, 11/15/2022d | 5,166,000 | ||||||
| DDR Corporation | ||||||||
| 780,000 | 4.625%, 7/15/2022 | 788,259 | ||||||
| Developers Diversified Realty Corporation | ||||||||
| 3,190,000 | 7.875%, 9/1/2020 | 3,891,028 | ||||||
| Icahn Enterprises, LP | ||||||||
| 7,360,000 | 8.000%, 1/15/2018 | 7,728,000 | ||||||
| International Lease Finance Corporation | ||||||||
| 2,250,000 | 8.625%, 9/15/2015 | 2,463,750 | ||||||
| 1,600,000 | 8.875%, 9/1/2017e | 1,804,000 | ||||||
| Jefferies Finance, LLC | ||||||||
| 2,650,000 | 7.375%, 4/1/2020d | 2,570,500 | ||||||
| Milestone Aviation Group, LLC | ||||||||
| 1,050,000 | 8.625%, 12/15/2017f | 1,086,750 | ||||||
| Omega Healthcare Investors, Inc. | ||||||||
| 6,900,000 | 5.875%, 3/15/2024 | 7,124,250 | ||||||
| PNC Financial Services Group, Inc. | ||||||||
| 520,000 | 4.850%, 3/1/2049g | 484,900 | ||||||
| Royal Bank of Scotland Group plc | ||||||||
| 2,115,000 | 7.640%, 3/29/2049g | 1,892,925 | ||||||
| Societe Generale SA | ||||||||
| 2,230,000 | 6.625%, 12/11/2049g | 2,242,443 | ||||||
| Speedy Cash Intermediate Holdings Corporation | ||||||||
| 3,030,000 | 10.750%, 5/15/2018d | 3,166,350 | ||||||
| XL Group plc | ||||||||
| 1,500,000 | 6.500%, 12/31/2049g | 1,462,500 | ||||||
|
| |||||||
| Total | 60,813,330 | |||||||
|
| |||||||
| Foreign Government (0.3%) | |||||||
| Eksportfinans ASA | ||||||||
| 2,670,000 | 2.375%, 5/25/2016 | 2,556,525 | ||||||
|
| |||||||
| Total | 2,556,525 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
208
Table of Contents
High Yield Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (91.9%) | Value | ||||||
| Technology (4.5%) | |||||||
| Alliance Data Systems Corporation | ||||||||
| $4,190,000 | 5.250%, 12/1/2017d | $ | 4,315,700 | |||||
| 3,840,000 | 6.375%, 4/1/2020d | 3,955,200 | ||||||
| Amkor Technology, Inc. | ||||||||
| 3,130,000 | 6.625%, 6/1/2021e | 3,083,050 | ||||||
| Brocade Communications Systems, Inc. | ||||||||
| 3,790,000 | 4.625%, 1/15/2023d | 3,562,600 | ||||||
| First Data Corporation | ||||||||
| 3,518,000 | 11.250%, 3/31/2016e | 3,438,845 | ||||||
| 1,000,000 | 7.375%, 6/15/2019d | 1,027,500 | ||||||
| 1,850,000 | 12.625%, 1/15/2021 | 1,956,375 | ||||||
| Flextronics International, Ltd. | ||||||||
| 3,000,000 | 4.625%, 2/15/2020d | 2,910,000 | ||||||
| Freescale Semiconductor, Inc. | ||||||||
| 2,110,000 | 8.050%, 2/1/2020e | 2,136,375 | ||||||
| 2,400,000 | 10.750%, 8/1/2020 | 2,640,000 | ||||||
| Infor US, Inc. | ||||||||
| 3,090,000 | 9.375%, 4/1/2019 | 3,348,787 | ||||||
| NXP BV/NXP Funding, LLC | ||||||||
| 3,715,000 | 5.750%, 3/15/2023d | 3,742,863 | ||||||
| Sensata Technologies BV | ||||||||
| 2,100,000 | 6.500%, 5/15/2019d | 2,257,500 | ||||||
| 2,650,000 | 4.875%, 10/15/2023d | 2,550,625 | ||||||
|
| |||||||
| Total | 40,925,420 | |||||||
|
| |||||||
| Transportation (4.4%) | |||||||
| Avis Budget Car Rental, LLC | ||||||||
| 5,830,000 | 8.250%, 1/15/2019 | 6,340,125 | ||||||
| 3,550,000 | 5.500%, 4/1/2023d | 3,425,750 | ||||||
| Continental Airlines, Inc. | ||||||||
| 3,000,000 | 6.750%, 9/15/2015d | 3,082,500 | ||||||
| 1,560,000 | 6.125%, 4/29/2018 | 1,575,600 | ||||||
| 530,000 | 6.250%, 4/11/2020 | 543,250 | ||||||
| Delta Air Lines 2012-1 Class B Pass Through Trust | ||||||||
| 2,888,752 | 6.875%, 5/7/2019d | 3,092,770 | ||||||
| HDTFS, Inc. | ||||||||
| 790,000 | 6.250%, 10/15/2022 | 824,563 | ||||||
| Hornbeck Offshore Services, Inc. | ||||||||
| 2,115,000 | 5.875%, 4/1/2020 | 2,125,575 | ||||||
| 1,590,000 | 5.000%, 3/1/2021d | 1,474,725 | ||||||
| Navios Maritime Acquisition Corporation | ||||||||
| 1,570,000 | 8.625%, 11/1/2017 | 1,605,325 | ||||||
| Navios Maritime Holdings, Inc. | ||||||||
| 2,910,000 | 8.875%, 11/1/2017 | 3,011,850 | ||||||
| 2,220,000 | 8.125%, 2/15/2019e | 2,103,450 | ||||||
| Navios South American Logistics, Inc. | ||||||||
| 1,060,000 | 9.250%, 4/15/2019d | 1,136,850 | ||||||
| 1,360,000 | 9.250%, 4/15/2019 | 1,458,600 | ||||||
| Ultrapetrol Bahamas, Ltd. | ||||||||
| 2,640,000 | 8.875%, 6/15/2021d | 2,640,000 | ||||||
| United Air Lines, Inc. | ||||||||
| 1,635,845 | 9.750%, 1/15/2017 | 1,868,953 | ||||||
| United Continental Holdings, Inc. | ||||||||
| 530,000 | 6.375%, 6/1/2018e | 520,725 | ||||||
| US Airways Group, Inc. | ||||||||
| 2,600,000 | 6.125%, 6/1/2018e | 2,457,000 | ||||||
|
| |||||||
| Total | 39,287,611 | |||||||
|
| |||||||
| Utilities (5.5%) | |||||||
| Access Midstream Partners, LP | ||||||||
| 1,420,000 | 4.875%, 5/15/2023 | 1,317,050 | ||||||
| AES Corporation | ||||||||
| 5,900,000 | 7.375%, 7/1/2021 | 6,475,250 | ||||||
| Atlas Pipeline Partners, LP | ||||||||
| 4,230,000 | 4.750%, 11/15/2021d | 3,807,000 | ||||||
| Chesapeake Midstream Partners, LP | ||||||||
| 930,000 | 6.125%, 7/15/2022 | 941,625 | ||||||
| Covanta Holding Corporation | ||||||||
| 2,600,000 | 7.250%, 12/1/2020 | 2,726,324 | ||||||
| 1,850,000 | 6.375%, 10/1/2022 | 1,869,608 | ||||||
| Crosstex Energy, LP/Crosstex Energy Finance Corporation | ||||||||
| 3,730,000 | 8.875%, 2/15/2018 | 3,953,800 | ||||||
| 1,060,000 | 7.125%, 6/1/2022 | 1,070,600 | ||||||
| Electricite de France SA | ||||||||
| 2,500,000 | 5.250%, 1/29/2049d,g | 2,390,000 | ||||||
| Energy Future Intermediate Holding Company, LLC | ||||||||
| 5,290,000 | 11.750%, 3/1/2022d | 5,845,450 | ||||||
| Holly Energy Partners, LP | ||||||||
| 2,130,000 | 8.250%, 3/15/2018 | 2,252,475 | ||||||
| 930,000 | 6.500%, 3/1/2020 | 936,975 | ||||||
| National Rural Utilities Cooperative Finance Corporation | ||||||||
| 1,250,000 | 4.750%, 4/30/2043 | 1,215,625 | ||||||
| NRG Energy, Inc. | ||||||||
| 5,400,000 | 6.625%, 3/15/2023d | 5,400,000 | ||||||
| Regency Energy Partners, LP | ||||||||
| 3,670,000 | 6.875%, 12/1/2018 | 3,862,675 | ||||||
| 840,000 | 5.500%, 4/15/2023 | 827,400 | ||||||
| Targa Resources Partners, LP | ||||||||
| 4,720,000 | 5.250%, 5/1/2023d | 4,519,400 | ||||||
|
| |||||||
| Total | 49,411,257 | |||||||
|
| |||||||
| Total Long-Term Fixed Income (cost $810,102,717) | 828,505,582 | |||||||
|
| |||||||
| Shares | Preferred Stock (0.6%) | |||||||
| Financials (0.6%) | |||||||
| 48,000 | Discover Financial Services, 6.500%g | 1,204,800 | ||||||
| 51,821 | The Goldman Sachs Group, Inc., 5.500%g | 1,250,959 | ||||||
| 52,872 | Ventas Realty, LP, 5.450% | 1,248,837 | ||||||
| 1,560 | Wells Fargo & Company, Convertible, 7.500%g | 1,862,640 | ||||||
|
| |||||||
| Total | 5,567,236 | |||||||
|
| |||||||
| Total Preferred Stock (cost $5,970,635) | 5,567,236 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
209
Table of Contents
High Yield Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (0.1%) | Value | ||||||
| Consumer Discretionary (<0.1%) | |||||||
| 2,122 | Lear Corporation | $ | 128,296 | |||||
| 237 | Lear Corporation Warrants, $0.01, expires 11/9/2014h | 25,833 | ||||||
| 121,520 | TVMAX Holdings, Inc.h,i | 12 | ||||||
|
| |||||||
| Total | 154,141 | |||||||
|
| |||||||
| Financials (0.1%) | |||||||
| 10 | New Cotai, LLCh,i | 309,685 | ||||||
|
| |||||||
| Total | 309,685 | |||||||
|
| |||||||
| Total Common Stock (cost $6,717,557) | 463,826 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (6.9%) | ||||||||
| 62,397,926 | Thrivent Cash Management Trust | 62,397,926 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $62,397,926) | 62,397,926 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (3.5%) | |||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 300,000 | 0.110%, 7/1/2013j | 299,998 | ||||||
| 100,000 | 0.093%, 11/22/2013j,k | 99,962 | ||||||
| 300,000 | 0.105%, 12/4/2013j | 299,862 | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 300,000 | 0.135%, 12/3/2013j | 299,826 | ||||||
| Thrivent Cash Management Trust | ||||||||
| 30,462,329 | 0.080% | 30,462,329 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 31,461,977 | |||||||
|
| |||||||
| Total Investments (cost $946,246,292) 106.3% | $ | 958,195,276 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (6.3%) | (57,093,116 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 901,102,160 | ||||||
|
| |||||||
| 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 June 28, 2013, the value of these investments was $335,914,047 or 37.3% of total net assets. |
| e | All or a portion of the security is on loan. |
| 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 High Yield Portfolio owned as of June 28, 2013. |
Security | Acquisition Date | Cost | ||||||
Eldorado Resorts, LLC | 5/19/2011 | $ | 4,728,381 | |||||
JBS Finance II, Ltd. | 7/22/2010 | $ | 4,981,017 | |||||
Liberty Tire Recycling | 9/23/2010 | $ | 2,107,188 | |||||
Midwest Vanadium Pty. Ltd. | 2/9/2011 | $ | 3,227,633 | |||||
Milestone Aviation Group, LLC | 12/12/2012 | $ | 1,050,000 | |||||
New Cotai, LLC | 4/12/2013 | $ | 3,426,281 | |||||
Tunica-Biloxi Gaming Authority | 11/8/2005 | $ | 4,756,998 | |||||
| g | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| h | Non-income producing security. |
| i | Security is fair valued. |
| j | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| k | At June 28, 2013, $99,962 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 | $ | 29,957,414 | ||
Gross unrealized depreciation | (18,253,761 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 11,703,653 | ||
Cost for federal income tax purposes | $ | 946,491,623 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
210
Table of Contents
High Yield Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, in valuing High Yield Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Communications Services | 12,027,392 | — | 12,027,392 | — | ||||||||||||
Consumer Non-Cyclical | 10,990,579 | — | 10,990,579 | — | ||||||||||||
Financials | 2,612,450 | — | 2,612,450 | — | ||||||||||||
Technology | 4,168,308 | — | 4,168,308 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 3,113,595 | — | 3,113,595 | — | ||||||||||||
Basic Materials | 67,668,262 | — | 67,668,262 | — | ||||||||||||
Capital Goods | 73,960,575 | — | 73,960,575 | — | ||||||||||||
Communications Services | 146,902,960 | — | 146,902,960 | — | ||||||||||||
Consumer Cyclical | 127,637,663 | — | 127,637,663 | — | ||||||||||||
Consumer Non-Cyclical | 105,301,215 | — | 105,301,215 | — | ||||||||||||
Energy | 110,927,169 | — | 110,927,169 | — | ||||||||||||
Financials | 60,813,330 | — | 60,813,330 | — | ||||||||||||
Foreign Government | 2,556,525 | — | 2,556,525 | — | ||||||||||||
Technology | 40,925,420 | — | 40,925,420 | — | ||||||||||||
Transportation | 39,287,611 | — | 39,287,611 | — | ||||||||||||
Utilities | 49,411,257 | — | 49,411,257 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 5,567,236 | 5,567,236 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 154,141 | 154,129 | — | 12 | ||||||||||||
Financials | 309,685 | — | — | 309,685 | ||||||||||||
Collateral Held for Securities Loaned | 62,397,926 | 62,397,926 | — | — | ||||||||||||
Short-Term Investments | 31,461,977 | 30,462,329 | 999,648 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 958,195,276 | $ | 98,581,620 | $ | 859,303,959 | $ | 309,697 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives Futures Contracts | 203,779 | 203,779 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 203,779 | $ | 203,779 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. Transfers between Levels are identified as of the end of the period.
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 28, 2013, 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 | ||||
Asset Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 203,779 | ||||
Total Interest Rate Contracts | 203,779 | |||||
|
| |||||
Total Asset Derivatives | $ | 203,779 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
211
Table of Contents
High Yield Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 28, 2013, 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 | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 78,496 | ||||
Total Interest Rate Contracts | 78,496 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (1,660,839 | ) | |||
Total Credit Contracts | (1,660,839 | ) | ||||
|
| |||||
Total | ($ | 1,582,343 | ) | |||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 28, 2013, 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 | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 203,779 | ||||
Total Interest Rate Contracts | 203,779 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 717,431 | ||||
Total Credit Contracts | 717,431 | |||||
|
| |||||
Total | $ | 921,210 | ||||
|
| |||||
The following table presents High Yield Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | ||||||||||||
Interest Rate Contracts | $ | 2,200,451 | 0.2 | % | N/A | N/A | ||||||||||
Credit Contracts | N/A | N/A | $ | 11,126,015 | 1.2 | % | ||||||||||
| * | 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 High Yield Portfolio, is as follows:
Portfolio | Value December 31, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 46,919,696 | $ | 139,136,231 | $ | 123,658,001 | 62,397,926 | $ | 62,397,926 | $ | 73,603 | |||||||||||||
Cash Management Trust- Short Term Investment | 30,490,937 | 169,615,185 | 169,643,793 | 30,462,329 | 30,462,329 | 17,123 | ||||||||||||||||||
Total Value and Income Earned | 77,410,633 | 92,860,255 | 90,726 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
212
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Bank Loans (10.7%)a | Value | ||||||
| Basic Materials (0.8%) | |||||||
| Arch Coal, Inc., Term Loan | ||||||||
| $ 802,771 | 5.750%, 5/16/2018 | $ | 798,508 | |||||
| FMG Resources August 2006 Pty., Ltd., Term Loan | ||||||||
| 645,125 | 5.250%, 10/18/2017 | 640,790 | ||||||
| Ineos Group Holdings, Ltd., Term Loan | ||||||||
| 876,457 | 4.000%, 5/4/2018 | 857,560 | ||||||
|
| |||||||
| Total | 2,296,858 | |||||||
|
| |||||||
| Capital Goods (0.4%) | |||||||
| ADS Waste Holdings, Term Loan | ||||||||
| 597,000 | 4.250%, 10/9/2019 | 594,463 | ||||||
| Berry Plastics Group, Inc., Term Loan | ||||||||
| 598,500 | 3.500%, 2/8/2020 | 591,354 | ||||||
|
| |||||||
| Total | 1,185,817 | |||||||
|
| |||||||
| Communications Services (3.4%) | |||||||
| Charter Communications Operating, LLC, Term Loan | ||||||||
| 600,000 | 3.000%, 12/31/2020 | 594,084 | ||||||
| Clear Channel Communications, Inc., Term Loan | ||||||||
| 139,256 | 3.845%, 1/29/2016 | 126,985 | ||||||
| 410,744 | 6.945%, 1/30/2019 | 373,547 | ||||||
| Cumulus Media Holdings, Inc., Term Loan | ||||||||
| 476,346 | 4.500%, 9/17/2018 | 476,146 | ||||||
| Grande Communications Networks, LLC, Term Loan | ||||||||
| 600,000 | 4.500%, 5/29/2020 | 596,250 | ||||||
| Hargray Communications Group, Inc., Term Loan | ||||||||
| 600,000 | 0.000%, 6/25/2019b,c | 597,750 | ||||||
| Integra Telecom Holdings, Inc., Term Loan | ||||||||
| 600,000 | 0.000%, 2/22/2019b,c | 599,700 | ||||||
| Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 446,619 | 4.250%, 4/2/2018 | 446,619 | ||||||
| Level 3 Financing, Inc., Term Loan | ||||||||
| 800,000 | 4.750%, 8/1/2019 | 799,248 | ||||||
| McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
| 304,237 | 9.000%, 3/22/2019 | 298,837 | ||||||
| NEP Broadcasting, LLC, Term Loan | ||||||||
| 796,000 | 4.750%, 1/22/2020 | 799,319 | ||||||
| TNS, Inc., Term Loan | ||||||||
| 588,889 | 5.000%, 2/14/2020 | 589,872 | ||||||
| Univision Communications, Inc., Term Loan | ||||||||
| 448,875 | 4.500%, 2/28/2020 | 444,274 | ||||||
| 358,855 | 4.500%, 3/1/2020 | 355,177 | ||||||
| Van Wagner Communications, Inc., Term Loan | ||||||||
| 346,500 | 8.250%, 8/3/2018 | 350,831 | ||||||
| Virgin Media Investment Holdings, Ltd., Term Loan | ||||||||
| 600,000 | 3.500%, 6/7/2020 | 592,836 | ||||||
| Visant Corporation, Term Loan | ||||||||
| 832,162 | 5.250%, 12/22/2016 | 791,444 | ||||||
| WideOpenWest Finance, LLC, Term Loan | ||||||||
| 498,750 | 4.750%, 4/1/2019 | 499,374 | ||||||
| Yankee Cable Acquisition, LLC, Term Loan | ||||||||
| 588,847 | 5.250%, 3/1/2020 | 590,525 | ||||||
| Zayo Group, LLC, Term Loan | ||||||||
| 596,985 | 4.500%, 7/2/2019 | 595,988 | ||||||
|
| |||||||
| Total | 10,518,806 | |||||||
|
| |||||||
| Consumer Cyclical (1.8%) | |||||||
| Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
| 409,965 | 4.250%, 2/23/2017 | 409,350 | ||||||
| Chrysler Group, LLC, Term Loan | ||||||||
| 500,000 | 0.000%, 5/24/2017b,c | 501,720 | ||||||
| J.C. Penney Corporation, Inc., Term Loan | ||||||||
| 600,000 | 6.000%, 5/22/2018 | 600,426 | ||||||
| MGM Resorts International, Term Loan | ||||||||
| 995,000 | 3.500%, 12/20/2019 | 987,537 | ||||||
| ROC Finance, LLC, Term Loan | ||||||||
| 600,000 | 2.273%, 3/27/2019b,c | 598,998 | ||||||
| Scientific Games International, Inc., Term Loan | ||||||||
| 600,000 | 0.000%, 5/22/2020b,c | 590,502 | ||||||
| Seminole Indian Tribe of Florida, Term Loan | ||||||||
| 589,500 | 3.026%, 4/29/2020 | 587,042 | ||||||
| Toys R Us, Inc., Term Loan | ||||||||
| 844,488 | 5.250%, 5/25/2018 | 810,008 | ||||||
| WMG Acquisition Corporation, Term Loan | ||||||||
| 80,488 | 0.000%, 7/7/2020b,c | 79,415 | ||||||
| 519,512 | 0.000%, 7/7/2020b,c | 512,587 | ||||||
|
| |||||||
| Total | 5,677,585 | |||||||
|
| |||||||
| Consumer Non-Cyclical (1.2%) | |||||||
| Albertson’s, Inc., Term Loan | ||||||||
| 598,500 | 4.750%, 3/21/2019 | 594,011 | ||||||
| Bausch & Lomb, Inc., Term Loan | ||||||||
| 445,508 | 4.000%, 5/18/2019 | 444,582 | ||||||
| Biomet, Inc., Term Loan | ||||||||
| 992,500 | 3.963%, 7/25/2017 | 986,714 | ||||||
| CHS/Community Health Systems, Inc., Term Loan | ||||||||
| 450,000 | 3.773%, 1/25/2017 | 449,950 | ||||||
| Roundy’s Supermarkets, Inc., Term Loan | ||||||||
| 444,245 | 5.750%, 2/13/2019 | 432,770 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
213
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Bank Loans (10.7%)a | Value | ||||||
| Consumer Non-Cyclical (1.2%) - continued | |||||||
| Supervalu, Inc., Term Loan | ||||||||
| $ 800,000 | 5.000%, 3/21/2019b,c | $ | 793,888 | |||||
|
| |||||||
| Total | 3,701,915 | |||||||
|
| |||||||
| Energy (0.4%) | |||||||
| Chesapeake Energy Corporation, Term Loan | ||||||||
| 885,000 | 5.750%, 12/2/2017 | 895,877 | ||||||
| Offshore Group Investment, Ltd., Term Loan | ||||||||
| 299,250 | 5.750%, 3/28/2019 | 299,998 | ||||||
|
| |||||||
| Total | 1,195,875 | |||||||
|
| |||||||
| Financials (0.4%) | |||||||
| Harland Clarke Holdings Corporation, Term Loan | ||||||||
| 600,000 | 7.000%, 5/22/2018 | 575,574 | ||||||
| WaveDivision Holdings, LLC, Term Loan | ||||||||
| 597,000 | 4.000%, 10/12/2019 | 595,507 | ||||||
|
| |||||||
| Total | 1,171,081 | |||||||
|
| |||||||
| Technology (0.9%) | |||||||
| First Data Corporation Extended, Term Loan | ||||||||
| 900,000 | 4.193%, 3/23/2018 | 876,375 | ||||||
| Freescale Semiconductor Inc., Term Loan | ||||||||
| 598,500 | 5.000%, 3/1/2020 | 593,156 | ||||||
| Infor US, Inc., Term Loan | ||||||||
| 324,265 | 5.250%, 4/5/2018 | 324,602 | ||||||
| SunGard Data Systems, Inc., Term Loan | ||||||||
| 997,500 | 4.500%, 1/31/2020 | 999,375 | ||||||
|
| |||||||
| Total | 2,793,508 | |||||||
|
| |||||||
| Transportation (0.7%) | |||||||
| American Airlines, Inc., Term Loan | ||||||||
| 600,000 | 0.000%, 6/21/2019b,c | 599,064 | ||||||
| American Petroleum Tankers Parent, LLC, Term Loan | ||||||||
| 300,000 | 4.750%, 10/2/2019 | 298,875 | ||||||
| Delta Air Lines, Inc., Term Loan | ||||||||
| 793,694 | 4.250%, 4/20/2017 | 795,924 | ||||||
| U.S. Airways, Inc., Term Loan | ||||||||
| 600,000 | 0.000%, 5/21/2019b,c | 592,248 | ||||||
|
| |||||||
| Total | 2,286,111 | |||||||
|
| |||||||
| Utilities (0.7%) | |||||||
| Calpine Corporation, Term Loan | ||||||||
| 446,574 | 4.000%, 4/1/2018 | 445,457 | ||||||
| Intergen NV, Term Loan | ||||||||
| 600,000 | 0.000%, 6/5/2020b,c | 588,000 | ||||||
| NGPL PipeCo, LLC, Term Loan | ||||||||
| 429,107 | 6.750%, 9/15/2017 | 425,353 | ||||||
| Pacific Drilling SA, Term loan | ||||||||
| 600,000 | 0.000%, 5/18/2018b,c | 597,150 | ||||||
|
| |||||||
| Total | 2,055,960 | |||||||
|
| |||||||
| Total Bank Loans (cost $33,006,131) | 32,883,516 | |||||||
|
| |||||||
Long-Term Fixed Income (45.7%) | ||||||||
| Asset-Backed Securities (1.4%) | |||||||
| Asset Backed Securities Corporation Home Equity | ||||||||
| 853,274 | 0.333%, 7/25/2036d | 758,743 | ||||||
| 1,000,000 | 0.353%, 11/25/2036d | 790,374 | ||||||
| Countrywide Asset-Backed Certificates | ||||||||
| 750,000 | 5.530%, 4/25/2047 | 698,800 | ||||||
| J.P. Morgan Mortgage Trust | ||||||||
| 714,757 | 2.843%, 2/25/2036 | 607,449 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 474,200 | 5.746%, 5/25/2036 | 351,368 | ||||||
| 632,000 | 6.011%, 5/25/2036 | 453,526 | ||||||
| 950,000 | 5.797%, 8/25/2036 | 609,923 | ||||||
|
| |||||||
| Total | 4,270,183 | |||||||
|
| |||||||
| Basic Materials (0.9%) | |||||||
| Dow Chemical Company | ||||||||
| 200,000 | 8.550%, 5/15/2019 | 255,175 | ||||||
| FMG Resources Pty. Ltd. | ||||||||
| 410,000 | 6.000%, 4/1/2017e,f | 398,725 | ||||||
| Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| 200,000 | 2.375%, 3/15/2018e | 190,215 | ||||||
| Hexion US Finance Corporation/Hexion Nova Scotia Finance ULC | ||||||||
| 510,000 | 8.875%, 2/1/2018f | 520,200 | ||||||
| Ineos Finance plc | ||||||||
| 410,000 | 7.500%, 5/1/2020e | 435,625 | ||||||
| Inmet Mining Corporation | ||||||||
| 410,000 | 7.500%, 6/1/2021e | 392,575 | ||||||
| LyondellBasell Industries NV | ||||||||
| 200,000 | 6.000%, 11/15/2021 | 224,741 | ||||||
| Rio Tinto Finance USA plc | ||||||||
| 200,000 | 2.250%, 12/14/2018 | 194,353 | ||||||
|
| |||||||
| Total | 2,611,609 | |||||||
|
| |||||||
| Capital Goods (0.8%) | |||||||
| Case New Holland, Inc. | ||||||||
| 170,000 | 7.875%, 12/1/2017 | 192,525 | ||||||
| CNH Capital, LLC | ||||||||
| 250,000 | 3.625%, 4/15/2018e | 238,125 | ||||||
| Crown Cork & Seal Company, Inc. | ||||||||
| 410,000 | 7.375%, 12/15/2026 | 451,000 | ||||||
| Northrop Grumman Corporation | ||||||||
| 200,000 | 1.750%, 6/1/2018 | 193,986 | ||||||
| RBS Global, Inc. | ||||||||
| 100,000 | 8.500%, 5/1/2018 | 106,250 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
214
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Diversified Income Plus Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (45.7%) | Value | ||||||
| Capital Goods (0.8%) - continued | |||||||
| Reynolds Group Issuer, Inc. | ||||||||
| $410,000 | 6.875%, 2/15/2021 | $ | 430,500 | |||||
| Textron, Inc. | ||||||||
| 300,000 | 7.250%, 10/1/2019 | 356,247 | ||||||
| United Rentals North America, Inc. | ||||||||
| 410,000 | 7.375%, 5/15/2020 | 437,675 | ||||||
|
| |||||||
| Total | 2,406,308 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (14.2%) | |||||||
| Adjustable Rate Mortgage Trust | ||||||||
| 1,072,000 | 3.008%, 11/25/2035 | 878,737 | ||||||
| American Home Mortgage Investment Trust | ||||||||
| 1,610,451 | 6.250%, 12/25/2036 | 795,143 | ||||||
| Banc of America Alternative Loan Trust | ||||||||
| 610,382 | 0.693%, 4/25/2035d | 480,457 | ||||||
| Banc of America Funding Corporation | ||||||||
| 431,207 | 5.029%, 5/20/2036 | 353,925 | ||||||
| Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
| 363,187 | 2.470%, 10/25/2035d | 345,539 | ||||||
| 393,189 | 2.903%, 2/25/2036 | 296,717 | ||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 504,925 | 5.500%, 11/25/2035 | 453,315 | ||||||
| 1,463,361 | 3.024%, 3/25/2037 | 1,032,102 | ||||||
| CitiMortgage Alternative Loan Trust | ||||||||
| 710,103 | 5.750%, 4/25/2037 | 636,653 | ||||||
| Countrywide Alternative Loan Trust | ||||||||
| 583,330 | 0.593%, 2/25/2035d | 479,062 | ||||||
| 1,325,552 | 2.894%, 10/25/2035 | 1,115,062 | ||||||
| 908,438 | 5.090%, 10/25/2035 | 752,104 | ||||||
| 567,616 | 5.500%, 2/25/2036 | 508,227 | ||||||
| 307,502 | 6.000%, 4/25/2036 | 246,563 | ||||||
| 724,363 | 6.500%, 8/25/2036 | 527,242 | ||||||
| 265,294 | 6.000%, 1/25/2037 | 210,503 | ||||||
| Countrywide Home Loan Mortgage Pass Through Trust | ||||||||
| 756,076 | 2.997%, 11/25/2035 | 606,378 | ||||||
| 825,501 | 5.155%, 2/20/2036 | 702,968 | ||||||
| Deutsche Alt-A Securities Mortgage Loan Trust | ||||||||
| 180,121 | 5.500%, 10/25/2021 | 185,766 | ||||||
| 482,257 | 0.393%, 11/25/2035d | 266,528 | ||||||
| 1,052,615 | 0.939%, 4/25/2047d | 826,801 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 9,949,542 | 2.500%, 12/15/2022g | 779,270 | ||||||
| 2,828,413 | 2.500%, 5/15/2027g | 310,247 | ||||||
| 3,126,449 | 2.500%, 2/15/2028g | 343,403 | ||||||
| 9,352,836 | 2.500%, 3/15/2028g | 1,074,100 | ||||||
| 5,211,406 | 3.000%, 4/15/2028g | 721,306 | ||||||
| 3,922,932 | 3.000%, 2/15/2033g | 557,779 | ||||||
| Federal National Mortgage Association | ||||||||
| 3,960,871 | 2.500%, 2/25/2028g | 429,636 | ||||||
| 3,444,855 | 3.000%, 4/25/2028g | 491,499 | ||||||
| 3,882,940 | 3.500%, 1/25/2033g | 626,271 | ||||||
| First Horizon Alternative Mortgage Securities Trust | ||||||||
| 1,111,446 | 2.375%, 3/25/2035 | 947,815 | ||||||
| First Horizon Mortgage Pass- Through Trust | ||||||||
| 750,934 | 2.516%, 8/25/2037 | 607,253 | ||||||
| Government National Mortgage Association | ||||||||
| 5,538,260 | 4.000%, 1/16/2027g | 754,924 | ||||||
| Greenpoint Mortgage Funding Trust | ||||||||
| 798,617 | 0.393%, 10/25/2045d | 565,341 | ||||||
| GSR Mortgage Loan Trust | ||||||||
| 319,426 | 0.383%, 8/25/2046d | 296,768 | ||||||
| HomeBanc Mortgage Trust | ||||||||
| 455,302 | 2.455%, 4/25/2037 | 305,216 | ||||||
| 1,206,616 | 0.493%, 5/25/2037d | 986,217 | ||||||
| IndyMac IMJA Mortgage Loan Trust | ||||||||
| 1,126,947 | 6.250%, 11/25/2037 | 1,012,542 | ||||||
| J.P. Morgan Alternative Loan Trust | ||||||||
| 1,005,064 | 6.500%, 3/25/2036 | 882,335 | ||||||
| J.P. Morgan Mortgage Trust | ||||||||
| 257,137 | 6.500%, 1/25/2035 | 250,084 | ||||||
| 563,242 | 2.968%, 10/25/2036 | 445,010 | ||||||
| 1,179,845 | 0.573%, 1/25/2037d | 729,607 | ||||||
| 592,923 | 2.867%, 1/25/2037 | 476,616 | ||||||
| 581,107 | 6.250%, 8/25/2037 | 400,916 | ||||||
| Lehman Mortgage Trust | ||||||||
| 745,442 | 0.943%, 12/25/2035d | 512,104 | ||||||
| Lehman XS Trust | ||||||||
| 960,000 | 5.500%, 9/25/2035 | 808,172 | ||||||
| Master Asset Securitization Trust | ||||||||
| 777,300 | 0.693%, 6/25/2036d | 497,026 | ||||||
| MASTR Alternative Loans Trust | ||||||||
| 278,400 | 6.500%, 7/25/2034 | 295,581 | ||||||
| 623,329 | 0.643%, 12/25/2035d | 319,245 | ||||||
| Morgan Stanley Mortgage Loan Trust | ||||||||
| 649,648 | 5.341%, 11/25/2035 | 466,999 | ||||||
| MortgageIT Trust | ||||||||
| 888,317 | 0.453%, 12/25/2035d | 772,447 | ||||||
| New Century Alternative Mortgage Loan Trust | ||||||||
| 1,426,185 | 6.167%, 7/25/2036 | 993,553 | ||||||
| RALI Trust | ||||||||
| 830,574 | 5.750%, 4/25/2037 | 651,833 | ||||||
| 1,202,980 | 6.250%, 4/25/2037 | 978,086 | ||||||
| 471,069 | 6.000%, 6/25/2037 | 373,646 | ||||||
| Residential Accredit Loans, Inc. | ||||||||
| 1,013,549 | 5.750%, 9/25/2035 | 894,757 | ||||||
| 1,096,938 | 6.000%, 1/25/2037 | 894,856 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
215
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (45.7%) | Value | ||||||
| Collateralized Mortgage Obligations (14.2%) - continued | |||||||
| Residential Asset Securitization Trust | ||||||||
| $ 767,110 | 5.500%, 4/25/2035 | $ | 753,806 | |||||
| 958,250 | 0.573%, 8/25/2037d | 305,232 | ||||||
| Sequoia Mortgage Trust | ||||||||
| 2,047,844 | 3.898%, 9/20/2046 | 1,687,243 | ||||||
| Structured Adjustable Rate Mortgage Loan Trust | ||||||||
| 388,440 | 5.500%, 12/25/2034 | 373,796 | ||||||
| 489,020 | 3.033%, 9/25/2035 | 406,821 | ||||||
| 902,078 | 5.056%, 5/25/2036 | 677,597 | ||||||
| Structured Asset Mortgage Investments, Inc. | ||||||||
| 750,392 | 0.503%, 12/25/2035d | 571,314 | ||||||
| 916,730 | 0.403%, 5/25/2046d | 652,324 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 1,138,191 | 5.106%, 8/25/2036 | 1,023,253 | ||||||
| 871,958 | 2.379%, 11/25/2036 | 714,669 | ||||||
| 163,195 | 2.654%, 8/25/2046 | 132,953 | ||||||
| 1,050,610 | 2.217%, 3/25/2047d | 801,972 | ||||||
| Washington Mutual Alternative Mortgage Pass Through Certificates | ||||||||
| 832,553 | 0.793%, 6/25/2035d | 599,909 | ||||||
| 816,741 | 0.919%, 2/25/2047d | 498,301 | ||||||
| Wells Fargo Mortgage Backed Securities Trust | ||||||||
| 357,985 | 6.000%, 7/25/2037 | 340,081 | ||||||
|
| |||||||
| Total | 43,691,523 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (0.6%) | |||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 1,000,000 | 5.509%, 9/15/2039 | 1,073,179 | ||||||
| Greenwich Capital Commercial Funding Corporation | ||||||||
| 650,000 | 5.867%, 12/10/2049 | 696,320 | ||||||
|
| |||||||
| Total | 1,769,499 | |||||||
|
| |||||||
| Communications Services (1.9%) | |||||||
| AMC Networks, Inc. | ||||||||
| 410,000 | 4.750%, 12/15/2022 | 395,650 | ||||||
| American Tower Corporation | ||||||||
| 200,000 | 5.050%, 9/1/2020 | 210,179 | ||||||
| CCO Holdings, LLC | ||||||||
| 410,000 | 6.500%, 4/30/2021 | 427,425 | ||||||
| CenturyLink, Inc. | ||||||||
| 410,000 | 5.625%, 4/1/2020 | 414,100 | ||||||
| Cequel Communications Escrow 1, LLC | ||||||||
| 410,000 | 6.375%, 9/15/2020e | 417,175 | ||||||
| Clear Channel Worldwide Holdings, Inc. | ||||||||
| 410,000 | 6.500%, 11/15/2022e | 422,300 | ||||||
| DIRECTV Holdings, LLC | ||||||||
| 200,000 | 5.875%, 10/1/2019 | 225,079 | ||||||
| Dish DBS Corporation | ||||||||
| 90,000 | 6.750%, 6/1/2021 | 95,625 | ||||||
| Hughes Satellite Systems Corporation | ||||||||
| 410,000 | 6.500%, 6/15/2019 | 434,600 | ||||||
| Intelsat Jackson Holdings SA | ||||||||
| 410,000 | 7.250%, 4/1/2019 | 428,962 | ||||||
| NBCUniversal Media, LLC | ||||||||
| 200,000 | 2.875%, 1/15/2023f | 189,968 | ||||||
| News America, Inc. | ||||||||
| 175,000 | 4.500%, 2/15/2021 | 187,474 | ||||||
| SBA Tower Trust | ||||||||
| 200,000 | 3.598%, 4/16/2043e | 197,897 | ||||||
| Sprint Nextel Corporation | ||||||||
| 170,000 | 9.000%, 11/15/2018e | 198,900 | ||||||
| 265,000 | 6.000%, 11/15/2022 | 259,700 | ||||||
| Telefonica Emisiones SAU | ||||||||
| 100,000 | 5.462%, 2/16/2021 | 103,094 | ||||||
| Univision Communications, Inc. | ||||||||
| 410,000 | 7.875%, 11/1/2020e | 443,825 | ||||||
| UPCB Finance V, Ltd. | ||||||||
| 410,000 | 7.250%, 11/15/2021e | 433,575 | ||||||
| Wind Acquisition Finance SA | ||||||||
| 170,000 | 11.750%, 7/15/2017e | 176,800 | ||||||
| 240,000 | 7.250%, 2/15/2018e | 241,800 | ||||||
|
| |||||||
| Total | 5,904,128 | |||||||
|
| |||||||
| Consumer Cyclical (1.6%) | |||||||
| Chrysler Group, LLC | ||||||||
| 330,000 | 8.000%, 6/15/2019f | 360,113 | ||||||
| Cinemark USA, Inc. | ||||||||
| 400,000 | 4.875%, 6/1/2023e,f | 384,000 | ||||||
| Ford Motor Company | ||||||||
| 100,000 | 7.450%, 7/16/2031 | 119,721 | ||||||
| Ford Motor Credit Company, LLC | ||||||||
| 350,000 | 6.625%, 8/15/2017 | 396,128 | ||||||
| Gap, Inc. | ||||||||
| 200,000 | 5.950%, 4/12/2021 | 221,206 | ||||||
| General Motors Financial Company, Inc. | ||||||||
| 410,000 | 3.250%, 5/15/2018e | 398,725 | ||||||
| Home Depot, Inc. | ||||||||
| 200,000 | 3.950%, 9/15/2020 | 216,822 | ||||||
| Jaguar Land Rover Automotive plc | ||||||||
| 410,000 | 5.625%, 2/1/2023e,f | 397,700 | ||||||
| Lennar Corporation | ||||||||
| 410,000 | 12.250%, 6/1/2017 | 525,825 | ||||||
| Limited Brands, Inc. | ||||||||
| 410,000 | 5.625%, 2/15/2022 | 416,150 | ||||||
| Macy’s Retail Holdings, Inc. | ||||||||
| 260,000 | 6.700%, 7/15/2034 | 295,884 | ||||||
| Royal Caribbean Cruises, Ltd. | ||||||||
| 410,000 | 5.250%, 11/15/2022 | 401,800 | ||||||
| Toll Brothers Finance Corporation | ||||||||
| 200,000 | 4.375%, 4/15/2023 | 186,000 | ||||||
| Toys R Us Property Company II, LLC | ||||||||
| 310,000 | 8.500%, 12/1/2017 | 322,012 | ||||||
| Wynn Las Vegas, LLC | ||||||||
| 410,000 | 5.375%, 3/15/2022f | 414,100 | ||||||
|
| |||||||
| Total | 5,056,186 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
216
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (45.7%) | Value | ||||||
| Consumer Non-Cyclical (2.4%) | ||||||||
AbbVie, Inc. | ||||||||
| $ 200,000 | 2.000%, 11/6/2018e | $ | 193,925 | |||||
| 200,000 | 2.900%, 11/6/2022e | 187,028 | ||||||
Altria Group, Inc. | ||||||||
| 200,000 | 9.700%, 11/10/2018 | 265,881 | ||||||
Baxter International, Inc. | ||||||||
| 200,000 | 3.200%, 6/15/2023 | 196,176 | ||||||
Beam, Inc. | ||||||||
| 175,000 | 5.375%, 1/15/2016 | 191,271 | ||||||
Biomet, Inc. | ||||||||
| 410,000 | 6.500%, 8/1/2020 | 422,556 | ||||||
Boston Scientific Corporation | ||||||||
| 200,000 | 6.000%, 1/15/2020 | 226,375 | ||||||
BRF SA | ||||||||
| 200,000 | 3.950%, 5/22/2023e,f | 176,000 | ||||||
Bunge Limited Finance Corporation | ||||||||
| 125,000 | 4.100%, 3/15/2016 | 131,984 | ||||||
Celgene Corporation | ||||||||
| 225,000 | 3.250%, 8/15/2022 | 213,395 | ||||||
Covidien International Finance SA | ||||||||
| 350,000 | 3.200%, 6/15/2022 | 345,212 | ||||||
Endo Health Solutions, Inc. | ||||||||
| 410,000 | 7.000%, 12/15/2020 | 411,538 | ||||||
Fresenius Medical Care US Finance, Inc. | ||||||||
| 410,000 | 5.750%, 2/15/2021e | 430,500 | ||||||
Gilead Sciences, Inc. | ||||||||
| 85,000 | 3.050%, 12/1/2016 | 89,847 | ||||||
Hawk Acquisition Sub, Inc. | ||||||||
| 410,000 | 4.250%, 10/15/2020e | 392,063 | ||||||
HCA, Inc. | ||||||||
| 410,000 | 5.875%, 3/15/2022 | 420,763 | ||||||
Health Management Associates, Inc. | ||||||||
| 410,000 | 7.375%, 1/15/2020 | 449,463 | ||||||
Heineken NV | ||||||||
| 200,000 | 2.750%, 4/1/2023e | 183,359 | ||||||
Kraft Foods Group, Inc. | ||||||||
| 170,000 | 3.500%, 6/6/2022 | 168,347 | ||||||
Mallinckrodt International Finance SA | ||||||||
| 100,000 | 3.500%, 4/15/2018e | 98,856 | ||||||
Medco Health Solutions, Inc. | ||||||||
| 100,000 | 7.125%, 3/15/2018 | 120,469 | ||||||
Pernod-Ricard SA | ||||||||
| 200,000 | 5.750%, 4/7/2021e | 222,179 | ||||||
SABMiller Holdings, Inc. | ||||||||
| 200,000 | 3.750%, 1/15/2022e | 203,537 | ||||||
| 200,000 | 4.950%, 1/15/2042e | 198,875 | ||||||
Safeway, Inc. | ||||||||
| 100,000 | 5.000%, 8/15/2019 | 106,139 | ||||||
| 200,000 | 4.750%, 12/1/2021f | 203,767 | ||||||
Spectrum Brands Escrow Corporation | ||||||||
| 410,000 | 6.375%, 11/15/2020e | 429,475 | ||||||
Teva Pharmaceutical Finance IV BV | ||||||||
| 165,000 | 3.650%, 11/10/2021 | 165,015 | ||||||
Tyson Foods, Inc. | ||||||||
| 175,000 | 4.500%, 6/15/2022 | 178,819 | ||||||
VPII Escrow Corporation | ||||||||
| 180,000 | 7.500%, 7/15/2021c,e | 186,300 | ||||||
Zoetis, Inc. | ||||||||
| 120,000 | 3.250%, 2/1/2023e | 114,014 | ||||||
|
| |||||||
| Total | 7,323,128 | |||||||
|
| |||||||
| Energy (2.0%) | ||||||||
BP Capital Markets plc | ||||||||
| 175,000 | 4.750%, 3/10/2019 | 194,346 | ||||||
Buckeye Partners, LP | ||||||||
| 200,000 | 4.150%, 7/1/2023 | 194,589 | ||||||
Chevron Corporation | ||||||||
| 200,000 | 2.427%, 6/24/2020 | 198,860 | ||||||
Concho Resources, Inc. | ||||||||
| 410,000 | 5.500%, 10/1/2022 | 405,900 | ||||||
DCP Midstream, LLC | ||||||||
| 300,000 | 5.850%, 5/21/2043e | 288,000 | ||||||
Enbridge Energy Partners, LP | ||||||||
| 600,000 | 8.050%, 10/1/2037 | 682,328 | ||||||
EQT Corporation | ||||||||
| 200,000 | 8.125%, 6/1/2019 | 243,831 | ||||||
Hess Corporation | ||||||||
| 200,000 | 8.125%, 2/15/2019 | 250,696 | ||||||
Lukoil International Finance BV | ||||||||
| 200,000 | 3.416%, 4/24/2018e | 194,500 | ||||||
Marathon Oil Corporation | ||||||||
| 240,000 | 2.800%, 11/1/2022 | 222,038 | ||||||
MEG Energy Corporation | ||||||||
| 410,000 | 6.375%, 1/30/2023e | 397,700 | ||||||
Murphy Oil Corporation | ||||||||
| 160,000 | 3.700%, 12/1/2022 | 148,420 | ||||||
Oasis Petroleum, Inc. | ||||||||
| 410,000 | 6.875%, 1/15/2023 | 422,300 | ||||||
Offshore Group Investment, Ltd. | ||||||||
| 410,000 | 7.500%, 11/1/2019f | 427,425 | ||||||
Pioneer Natural Resources Company | ||||||||
| 140,000 | 3.950%, 7/15/2022 | 138,237 | ||||||
Plains Exploration & Production Company | ||||||||
| 410,000 | 6.125%, 6/15/2019 | 434,732 | ||||||
Range Resources Corporation | ||||||||
| 410,000 | 5.000%, 8/15/2022 | 400,775 | ||||||
Transocean, Inc. | ||||||||
| 200,000 | 6.375%, 12/15/2021 | 224,793 | ||||||
Valero Energy Corporation | ||||||||
| 200,000 | 9.375%, 3/15/2019 | 262,247 | ||||||
Weatherford International, Ltd. | ||||||||
| 210,000 | 6.000%, 3/15/2018 | 235,822 | ||||||
| 260,000 | 4.500%, 4/15/2022 | 257,046 | ||||||
|
| |||||||
| Total | 6,224,585 | |||||||
|
| |||||||
| Financials (8.1%) | ||||||||
Aegon NV | ||||||||
| 400,000 | 2.055%, 7/29/2049d,h | 286,000 | ||||||
Ally Financial, Inc. | ||||||||
| 100,000 | 5.500%, 2/15/2017 | 104,481 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
217
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (45.7%) | Value | ||||||
| Financials (8.1%) - continued | ||||||||
American Express Company | ||||||||
| $ 750,000 | 6.800%, 9/1/2066 | $ | 800,625 | |||||
American General Institutional Capital A | ||||||||
| 800,000 | 7.570%, 12/1/2045e | 952,000 | ||||||
American International Group, Inc. | ||||||||
| 175,000 | 8.250%, 8/15/2018 | 217,025 | ||||||
Bank of America Corporation | ||||||||
| 200,000 | 5.650%, 5/1/2018 | 222,196 | ||||||
| 200,000 | 5.700%, 1/24/2022 | 222,009 | ||||||
| 325,000 | 8.000%, 12/29/2049h | 361,969 | ||||||
Bank of New York Mellon Corporation | ||||||||
| 360,000 | 4.500%, 12/29/2049h | 338,400 | ||||||
BBVA International Preferred SA Unipersonal | ||||||||
| 900,000 | 5.919%, 12/29/2049h | 805,500 | ||||||
BBVA US Senior SAU | ||||||||
| 100,000 | 4.664%, 10/9/2015 | 103,012 | ||||||
BNP Paribas SA | ||||||||
| 87,000 | 3.600%, 2/23/2016 | 91,145 | ||||||
| 775,000 | 5.186%, 6/29/2049e,f,h | 736,250 | ||||||
Cigna Corporation | ||||||||
| 200,000 | 4.000%, 2/15/2022 | 205,324 | ||||||
Citigroup, Inc. | ||||||||
| 200,000 | 5.500%, 2/15/2017 | 218,714 | ||||||
| 1,010,000 | 5.950%, 12/29/2049h | 1,005,051 | ||||||
CNA Financial Corporation | ||||||||
| 200,000 | 7.350%, 11/15/2019 | 242,162 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
| 200,000 | 3.950%, 11/9/2022 | 191,254 | ||||||
| 525,000 | 11.000%, 12/29/2049e,h | 673,313 | ||||||
Coventry Health Care, Inc. | ||||||||
| 85,000 | 5.450%, 6/15/2021 | 94,678 | ||||||
Credit Suisse AG | ||||||||
| 200,000 | 5.400%, 1/14/2020 | 216,688 | ||||||
CyrusOne, LP/CyrusOne Finance Corporation | ||||||||
| 410,000 | 6.375%, 11/15/2022e | 420,250 | ||||||
Deutsche Bank AG | ||||||||
| 200,000 | 4.296%, 5/24/2028 | 184,668 | ||||||
Developers Diversified Realty Corporation | ||||||||
| 260,000 | 7.875%, 9/1/2020 | 317,137 | ||||||
Discover Financial Services | ||||||||
| 200,000 | 3.850%, 11/21/2022e | 187,817 | ||||||
Fifth Third Bancorp | ||||||||
| 600,000 | 5.100%, 12/31/2049f,h | 567,000 | ||||||
GE Capital Trust I | ||||||||
| 380,000 | 6.375%, 11/15/2067 | 393,775 | ||||||
General Electric Capital Corporation | ||||||||
| 200,000 | 6.000%, 8/7/2019 | 232,187 | ||||||
| 800,000 | 6.250%, 12/15/2049h | 850,000 | ||||||
Genworth Financial, Inc. | ||||||||
| 200,000 | 6.515%, 5/22/2018 | 221,061 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
| 170,000 | 5.125%, 4/15/2022 | 184,980 | ||||||
HCP, Inc. | ||||||||
| 205,000 | 3.750%, 2/1/2019 | 210,357 | ||||||
Health Care REIT, Inc. | ||||||||
| 200,000 | 4.700%, 9/15/2017 | 217,327 | ||||||
HSBC Finance Corporation | ||||||||
| 285,000 | 6.676%, 1/15/2021 | 315,082 | ||||||
Icahn Enterprises, LP | ||||||||
| 410,000 | 8.000%, 1/15/2018 | 430,500 | ||||||
ING Bank NV | ||||||||
| 170,000 | 5.000%, 6/9/2021e | 182,617 | ||||||
ING Capital Funding Trust III | ||||||||
| 730,000 | 3.884%, 12/29/2049d,h | 700,800 | ||||||
ING US, Inc. | ||||||||
| 200,000 | 5.650%, 5/15/2053e | 188,000 | ||||||
| 100,000 | 2.900%, 2/15/2018e | 100,503 | ||||||
International Lease Finance Corporation | ||||||||
| 200,000 | 2.224%, 6/15/2016d | 198,500 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 200,000 | 2.000%, 8/15/2017 | 198,489 | ||||||
| 200,000 | 7.900%, 4/29/2049h | 226,000 | ||||||
| 520,000 | 5.150%, 5/29/2049h | 495,300 | ||||||
KeyCorp | ||||||||
| 110,000 | 5.100%, 3/24/2021 | 122,382 | ||||||
Liberty Mutual Group, Inc. | ||||||||
| 525,000 | 10.750%, 6/15/2058e | 800,625 | ||||||
| 185,000 | 4.950%, 5/1/2022e | 189,937 | ||||||
Lincoln National Corporation | ||||||||
| 770,000 | 6.050%, 4/20/2067 | 754,354 | ||||||
Lloyds TSB Bank plc | ||||||||
| 200,000 | 6.500%, 9/14/2020e | 213,223 | ||||||
MetLife Capital Trust IV | ||||||||
| 575,000 | 7.875%, 12/15/2037e | 684,772 | ||||||
MetLife, Inc. | ||||||||
| 400,000 | 6.400%, 12/15/2036 | 409,000 | ||||||
Morgan Stanley | ||||||||
| 100,000 | 5.500%, 1/26/2020 | 107,339 | ||||||
| 200,000 | 4.875%, 11/1/2022 | 197,580 | ||||||
Murray Street Investment Trust I | ||||||||
| 175,000 | 4.647%, 3/9/2017 | 185,279 | ||||||
Northern Trust Corporation | ||||||||
| 175,000 | 3.375%, 8/23/2021 | 177,448 | ||||||
Omega Healthcare Investors, Inc. | ||||||||
| 100,000 | 5.875%, 3/15/2024 | 103,250 | ||||||
PNC Financial Services Group, Inc. | ||||||||
| 240,000 | 4.850%, 3/1/2049h | 223,800 | ||||||
Prologis, LP | ||||||||
| 255,000 | 7.375%, 10/30/2019 | 306,879 | ||||||
Prudential Financial, Inc. | ||||||||
| 200,000 | 4.500%, 11/15/2020f | 213,172 | ||||||
| 380,000 | 5.875%, 9/15/2042 | 380,950 | ||||||
| 775,000 | 5.625%, 6/15/2043 | 759,500 | ||||||
QBE Capital Funding III, Ltd. | ||||||||
| 400,000 | 7.250%, 5/24/2041e | 422,400 | ||||||
RBS Capital Trust III | ||||||||
| 600,000 | 5.512%, 9/29/2049f,h | 438,000 | ||||||
Regions Bank | ||||||||
| 100,000 | 7.500%, 5/15/2018 | 116,641 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 600,000 | 6.750%, 12/15/2065 | 600,750 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
218
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (45.7%) | Value | ||||||
| Financials (8.1%) - continued | ||||||||
Royal Bank of Scotland Group plc | ||||||||
| $ 200,000 | 6.125%, 12/15/2022 | $ | 190,314 | |||||
Santander US Debt SAU | ||||||||
| 175,000 | 3.724%, 1/20/2015e | 176,638 | ||||||
Societe Generale SA | ||||||||
| 100,000 | 5.200%, 4/15/2021e,f | 105,577 | ||||||
Swiss RE Capital I, LP | ||||||||
| 695,000 | 6.854%, 5/29/2049e,h | 717,588 | ||||||
Ventas Realty, LP | ||||||||
| 80,000 | 4.250%, 3/1/2022 | 80,686 | ||||||
Wells Fargo & Company | ||||||||
| 200,000 | 3.450%, 2/13/2023 | 191,007 | ||||||
XLIT, Ltd. | ||||||||
| 200,000 | 5.750%, 10/1/2021 | 226,338 | ||||||
ZFS Finance USA Trust II | ||||||||
| 725,000 | 6.450%, 12/15/2065e | 775,750 | ||||||
|
| |||||||
| Total | 24,981,325 | |||||||
|
| |||||||
| Foreign Government (0.1%) | ||||||||
Costa Rica Government International Bond | ||||||||
| 200,000 | 4.250%, 1/26/2023e | 185,000 | ||||||
Eksportfinans ASA | ||||||||
| 85,000 | 2.375%, 5/25/2016 | 81,388 | ||||||
|
| |||||||
| Total | 266,388 | |||||||
|
| |||||||
| Mortgage-Backed Securities (8.5%) | ||||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 2,650,000 | 3.000%, 7/1/2043c | 2,582,922 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 9,450,000 | 2.500%, 7/1/2028c | 9,504,632 | ||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 10,100,000 | 3.000%, 7/1/2043c | 9,868,015 | ||||||
| 4,000,000 | 3.500%, 7/1/2043c | 4,060,625 | ||||||
|
| |||||||
| Total | 26,016,194 | |||||||
|
| |||||||
| Technology (0.5%) | ||||||||
Amkor Technology, Inc. | ||||||||
| 100,000 | 6.625%, 6/1/2021f | 98,500 | ||||||
CommScope, Inc. | ||||||||
| 410,000 | 8.250%, 1/15/2019e | 437,675 | ||||||
EMC Corporation | ||||||||
| 200,000 | 1.875%, 6/1/2018 | 197,701 | ||||||
First Data Corporation | ||||||||
| 410,000 | 7.375%, 6/15/2019e | 421,275 | ||||||
Freescale Semiconductor, Inc. | ||||||||
| 100,000 | 9.250%, 4/15/2018e | 107,750 | ||||||
Hewlett-Packard Company | ||||||||
| 85,000 | 4.650%, 12/9/2021 | 85,008 | ||||||
Total System Services, Inc. | ||||||||
| 200,000 | 2.375%, 6/1/2018 | 193,769 | ||||||
|
| |||||||
| Total | 1,541,678 | |||||||
|
| |||||||
| Transportation (0.4%) | ||||||||
Avis Budget Car Rental, LLC | ||||||||
| 100,000 | 8.250%, 1/15/2019 | 108,750 | ||||||
| 410,000 | 5.500%, 4/1/2023e | 395,650 | ||||||
Canadian Pacific Railway Company | ||||||||
| 131,000 | 5.750%, 3/15/2033 | 142,917 | ||||||
Delta Air Lines, Inc. | ||||||||
| 67,500 | 4.750%, 5/7/2020 | 70,706 | ||||||
Hertz Corporation | ||||||||
| 410,000 | 6.750%, 4/15/2019 | 433,575 | ||||||
United Air Lines, Inc. | ||||||||
| 95,871 | 10.400%, 11/1/2016 | 110,252 | ||||||
|
| |||||||
| Total | 1,261,850 | |||||||
|
| |||||||
| Utilities (2.3%) | ||||||||
Access Midstream Partners, LP | ||||||||
| 410,000 | 4.875%, 5/15/2023 | 380,275 | ||||||
AES Corporation | ||||||||
| 410,000 | 7.375%, 7/1/2021 | 449,975 | ||||||
Atlas Pipeline Partners, LP | ||||||||
| 410,000 | 4.750%, 11/15/2021e | 369,000 | ||||||
CenterPoint Energy, Inc. | ||||||||
| 140,000 | 6.500%, 5/1/2018 | 165,574 | ||||||
DCP Midstream Operating, LP | ||||||||
| 200,000 | 2.500%, 12/1/2017 | 197,420 | ||||||
Electricite de France SA | ||||||||
| 1,000,000 | 5.250%, 1/29/2049e,h | 956,000 | ||||||
ENEL Finance International NV | ||||||||
| 200,000 | 5.125%, 10/7/2019e | 207,706 | ||||||
Energy Transfer Partners, LP | ||||||||
| 80,000 | 5.200%, 2/1/2022 | 84,662 | ||||||
| 80,000 | 6.500%, 2/1/2042 | 85,314 | ||||||
Enterprise Products Operating, LLC | ||||||||
| 700,000 | 7.034%, 1/15/2068 | 785,750 | ||||||
Exelon Generation Company, LLC | ||||||||
| 200,000 | 5.200%, 10/1/2019 | 219,941 | ||||||
ITC Holdings Corporation | ||||||||
| 200,000 | 4.050%, 7/1/2023c | 200,356 | ||||||
National Rural Utilities Cooperative Finance Corporation | ||||||||
| 480,000 | 4.750%, 4/30/2043 | 466,800 | ||||||
NiSource Finance Corporation | ||||||||
| 200,000 | 5.450%, 9/15/2020 | 223,028 | ||||||
| 350,000 | 6.125%, 3/1/2022 | 394,998 | ||||||
NRG Energy, Inc. | ||||||||
| 230,000 | 8.250%, 9/1/2020 | 247,825 | ||||||
| 180,000 | 6.625%, 3/15/2023e | 180,000 | ||||||
PPL Capital Funding, Inc. | ||||||||
| 200,000 | 4.200%, 6/15/2022 | 201,061 | ||||||
Southern California Edison Company | ||||||||
| 700,000 | 6.250%, 8/1/2049h | 735,000 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
219
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (45.7%) | Value | ||||||
| Utilities (2.3%) - continued | ||||||||
TransCanada PipeLines, Ltd. | ||||||||
| $ 400,000 | 6.350%, 5/15/2067 | $ | 417,136 | |||||
|
| |||||||
| Total | 6,967,821 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $136,799,530) | 140,292,405 | |||||||
|
| |||||||
| Shares | Common Stock (36.2%) | |||||||
| Consumer Discretionary (3.8%) | ||||||||
| 36,400 | Apollo Group, Inc.f,i | 645,008 | ||||||
| 21,700 | Brown Shoe Company, Inc. | 467,201 | ||||||
| 32,000 | Comcast Corporation | 1,340,160 | ||||||
| 15,200 | Expedia, Inc. | 914,280 | ||||||
| 31,200 | General Motors Companyi | 1,039,272 | ||||||
| 10,200 | Hanesbrands, Inc. | 524,484 | ||||||
| 21,300 | Home Depot, Inc. | 1,650,111 | ||||||
| 105 | Lear Corporation | 6,348 | ||||||
| 11 | Lear Corporation Warrants, $0.01, expires 11/9/2014i | 1,199 | ||||||
| 32,400 | Lowe’s Companies, Inc. | 1,325,160 | ||||||
| 7,700 | Macy’s, Inc. | 369,600 | ||||||
| 6,000 | Sherwin-Williams Company | 1,059,600 | ||||||
| 7,600 | Target Corporation | 523,336 | ||||||
| 18,900 | Thomson Reuters Corporationf | 615,573 | ||||||
| 23,400 | TJX Companies, Inc. | 1,171,404 | ||||||
|
| |||||||
| Total | 11,652,736 | |||||||
|
| |||||||
| Consumer Staples (3.2%) | ||||||||
| 25,300 | Coca-Cola Company | 1,014,783 | ||||||
| 4,400 | Colgate-Palmolive Company | 252,076 | ||||||
| 22,500 | CVS Caremark Corporation | 1,286,550 | ||||||
| 6,300 | Energizer Holdings, Inc. | 633,213 | ||||||
| 10,900 | General Mills, Inc. | 528,977 | ||||||
| 20,500 | Kraft Foods Group, Inc. | 1,145,335 | ||||||
| 5,600 | PepsiCo, Inc. | 458,024 | ||||||
| 2,400 | Philip Morris International, Inc. | 207,888 | ||||||
| 22,300 | Procter & Gamble Company | 1,716,877 | ||||||
| 6,800 | Reynolds American, Inc. | 328,916 | ||||||
| 8,000 | Universal Corporationf | 462,800 | ||||||
| 4,900 | Walgreen Company | 216,580 | ||||||
| 19,600 | Wal-Mart Stores, Inc. | 1,460,004 | ||||||
|
| |||||||
| Total | 9,712,023 | |||||||
|
| |||||||
| Energy (3.9%) | ||||||||
| 43,800 | C&J Energy Services, Inc.f,i | 848,406 | ||||||
| 21,100 | Chevron Corporation | 2,496,974 | ||||||
| 25,100 | ConocoPhillips | 1,518,550 | ||||||
| 3,700 | CVR Energy, Inc. | 175,380 | ||||||
| 5,600 | Diamond Offshore Drilling, Inc.f | 385,224 | ||||||
| 31,500 | Exxon Mobil Corporation | 2,846,025 | ||||||
| 20,800 | HollyFrontier Corporation | 889,824 | ||||||
| 17,800 | Marathon Petroleum Corporation | 1,264,868 | ||||||
| 19,300 | Phillips 66 | 1,136,963 | ||||||
| 7,900 | Transocean, Ltd. | 378,805 | ||||||
|
| |||||||
| Total | 11,941,019 | |||||||
|
| |||||||
| Financials (11.5%) | ||||||||
| 15,500 | ACE, Ltd. | 1,386,940 | ||||||
| 5,600 | Aflac, Inc. | 325,472 | ||||||
| 106,800 | AllianzGI NFJ Dividend Interest & Premium Strategy Fund | 1,799,580 | ||||||
| 11,200 | American Capital Mortgage Investment Corporation | 201,264 | ||||||
| 8,400 | AmTrust Financial Services, Inc.f | 299,880 | ||||||
| 71,500 | Annaly Capital Management, Inc. | 898,755 | ||||||
| 115,400 | Ares Capital Corporation | 1,984,880 | ||||||
| 22,600 | Aspen Insurance Holdings, Ltd. | 838,234 | ||||||
| 422,520 | BlackRock Enhanced Equity Dividend Trust | 3,215,377 | ||||||
| 85,200 | CapitalSource, Inc. | 799,176 | ||||||
| 29,100 | CBOE Holdings, Inc. | 1,357,224 | ||||||
| 290,700 | Chimera Investment Corporation | 872,100 | ||||||
| 38,600 | Dynex Capital, Inc. | 393,334 | ||||||
| 239,000 | Eaton Vance Tax-Managed Global Diversified Equity Income Fund | 2,215,530 | ||||||
| 100,000 | iShares FTSE NAREIT Mortgage Plus Capped Index Fund | 1,266,000 | ||||||
| 23,600 | iShares S&P National Municipal Bond Fund | 2,478,944 | ||||||
| 27,000 | iShares S&P U.S. Preferred Stock Index Fund | 1,060,560 | ||||||
| 27,400 | J.P. Morgan Chase & Company | 1,446,446 | ||||||
| 1,100 | MasterCard, Inc. | 631,950 | ||||||
| 10,800 | Montpelier Re Holdings, Inc. | 270,108 | ||||||
| 11,800 | PartnerRe, Ltd. | 1,068,608 | ||||||
| 6,000 | RenaissanceRe Holdings, Ltd. | 520,740 | ||||||
| 20,400 | Retail Properties of America, Inc. | 291,312 | ||||||
| 7,067 | Silver Bay Realty Trust Corporation REITf | 117,030 | ||||||
| 93,000 | Solar Capital, Ltd. | 2,147,370 | ||||||
| 16,900 | Travelers Companies, Inc. | 1,350,648 | ||||||
| 144,750 | Two Harbors Investment Corporation | 1,483,687 | ||||||
| 16,000 | U.S. Bancorp | 578,400 | ||||||
| 25,000 | Vanguard High Dividend Yield ETF | 1,411,000 | ||||||
| 63,500 | Wells Fargo & Company | 2,620,645 | ||||||
|
| |||||||
| Total | 35,331,194 | |||||||
|
| |||||||
| Health Care (3.1%) | ||||||||
| 27,700 | AbbVie, Inc. | 1,145,118 | ||||||
| 2,400 | Amgen, Inc. | 236,784 | ||||||
| 19,700 | Bristol-Myers Squibb Company | 880,393 | ||||||
| 19,400 | Eli Lilly and Company | 952,928 | ||||||
| 11,400 | Johnson & Johnson | 978,804 | ||||||
| 32,500 | Medtronic, Inc. | 1,672,775 | ||||||
| 127,661 | PDL BioPharma, Inc.f | 985,543 | ||||||
| 101,953 | Pfizer, Inc. | 2,855,704 | ||||||
|
| |||||||
| Total | 9,708,049 | |||||||
|
| |||||||
| Industrials (3.6%) | ||||||||
| 13,000 | 3M Company | 1,421,550 | ||||||
| 10,400 | ADT Corporationi | 414,440 | ||||||
| 2,700 | Copa Holdings SA | 354,024 | ||||||
| 68,300 | Delta Air Lines, Inc.i | 1,277,893 | ||||||
| 10,200 | Dun & Bradstreet Corporationf | 993,990 | ||||||
| 77,200 | Exelis, Inc. | 1,064,588 | ||||||
| 9,100 | Lockheed Martin Corporation | 986,986 | ||||||
| 19,900 | Northrop Grumman Corporation | 1,647,720 | ||||||
| 18,000 | Raytheon Company | 1,190,160 | ||||||
| 31,700 | Republic Services, Inc. | 1,075,898 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
220
Table of Contents
Diversified Income Plus Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Common Stock (36.2%) | Value | ||||||
| Industrials (3.6%) - continued | ||||||||
| 3,800 | Union Pacific Corporation | $ | 586,264 | |||||
|
| |||||||
| Total | 11,013,513 | |||||||
|
| |||||||
| Information Technology (3.6%) | ||||||||
| 8,100 | Accenture plc | 582,876 | ||||||
| 35,100 | Activision Blizzard, Inc. | 500,526 | ||||||
| 29,600 | AOL, Inc.i | 1,079,808 | ||||||
| 76,500 | Cisco Systems, Inc. | 1,859,715 | ||||||
| 19,200 | Computer Sciences Corporation | 840,384 | ||||||
| 1,700 | International Business Machines Corporation | 324,887 | ||||||
| 13,800 | j2 Global, Inc.f | 586,638 | ||||||
| 36,000 | Microsoft Corporation | 1,243,080 | ||||||
| 11,600 | Oracle Corporation | 356,352 | ||||||
| 31,000 | Seagate Technology plc | 1,389,730 | ||||||
| 19,000 | Western Digital Corporation | 1,179,710 | ||||||
| 64,200 | Western Union Company | 1,098,462 | ||||||
|
| |||||||
| Total | 11,042,168 | |||||||
|
| |||||||
| Materials (0.7%) | ||||||||
| 2,600 | CF Industries Holdings, Inc. | 445,900 | ||||||
| 6,200 | Monsanto Company | 612,560 | ||||||
| 5,100 | PPG Industries, Inc. | 746,691 | ||||||
| 5,100 | Schweitzer-Mauduit International, Inc. | 254,388 | ||||||
|
| |||||||
| Total | 2,059,539 | |||||||
|
| |||||||
| Telecommunications Services (1.1%) | ||||||||
| 39,700 | AT&T, Inc. | 1,405,380 | ||||||
| 39,300 | Verizon Communications, Inc. | 1,978,362 | ||||||
|
| |||||||
| Total | 3,383,742 | |||||||
|
| |||||||
| Utilities (1.7%) | ||||||||
| 30,600 | American Electric Power Company, Inc. | 1,370,268 | ||||||
| 4,300 | American States Water Company | 230,781 | ||||||
| 14,600 | CenterPoint Energy, Inc. | 342,954 | ||||||
| 11,600 | Consolidated Edison, Inc. | 676,396 | ||||||
| 6,800 | Laclede Group, Inc. | 310,488 | ||||||
| 10,800 | PG&E Corporation | 493,884 | ||||||
| 4,100 | Pinnacle West Capital Corporation | 227,427 | ||||||
| 25,400 | Southern Company | 1,120,902 | ||||||
| 14,300 | Wisconsin Energy Corporation | 586,157 | ||||||
|
| |||||||
| Total | 5,359,257 | |||||||
|
| |||||||
Total Common Stock (cost $103,742,239) | 111,203,240 | |||||||
|
| |||||||
Preferred Stock (2.6%) | ||||||||
| Financials (2.6%) | ||||||||
| 39,710 | Annaly Capital Management, Inc., 7.500%h | 978,057 | ||||||
| 800 | Bank of America Corporation, Convertible, 7.250%h | 888,400 | ||||||
| 10,980 | CoBank ACB, 6.250%e,h | 1,127,853 | ||||||
| 16,000 | Countrywide Capital V, 7.000% | 402,560 | ||||||
| 20,000 | DDR Corporation, 6.250%h | 474,200 | ||||||
| 6,000 | ING Groep NV, 8.500%h | 151,860 | ||||||
| 10,500 | PNC Financial Services Group, Inc., 6.125%h | 282,345 | ||||||
| 8,000 | Royal Bank of Scotland Group plc, 7.250%h | 191,680 | ||||||
| 10,000 | State Street Corporation, 5.250%h | 250,000 | ||||||
| 42,000 | The Allstate Corporation, 5.100% | 1,074,780 | ||||||
| 19,600 | The Goldman Sachs Group, Inc., 5.500%h | 473,144 | ||||||
| 28,000 | U.S. Bancorp, 6.500%h | 786,800 | ||||||
| 800 | Wells Fargo & Company, Convertible, 7.500%h | 955,200 | ||||||
|
| |||||||
| Total | 8,036,879 | |||||||
|
| |||||||
Total Preferred Stock (cost $7,938,067) | 8,036,879 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (3.6%) | ||||||||
| 11,027,628 | Thrivent Cash Management Trust | 11,027,628 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $11,027,628) | 11,027,628 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (15.3%) | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 900,000 | 0.093%, 11/22/2013j,k | 899,661 | ||||||
Thrivent Cash Management Trust | ||||||||
| 46,284,441 | 0.080% | 46,284,441 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 47,184,102 | |||||||
|
| |||||||
| Total Investments (cost $339,697,697) 114.1% | $ | 350,627,770 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (14.1%) | (43,218,590 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 307,409,180 | ||||||
|
| |||||||
| 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 June 28, 2013. |
| 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 June 28, 2013, the value of these investments was $21,179,442 or 6.9% of total net assets. |
| f | All or a portion of the security is on loan. |
| g | Denotes interest only security. Interest only securities represent the right to receive monthly interest payments on an underlying pool of mortgages or assets. The principal shown is the outstanding par amount of the pool as of the end of the period. The actual effective yield of the security is different than the stated coupon rate. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Diversified Income Plus Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| 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 June 28, 2013, $899,661 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 | $ | 15,487,563 | ||
Gross unrealized depreciation | (4,624,663 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 10,862,900 | ||
Cost for federal income tax purposes | $ | 339,764,870 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Diversified Income Plus Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 2,296,858 | — | 2,296,858 | — | ||||||||||||
Capital Goods | 1,185,817 | — | 1,185,817 | — | ||||||||||||
Communications Services | 10,518,806 | — | 10,518,806 | — | ||||||||||||
Consumer Cyclical | 5,677,585 | — | 5,677,585 | — | ||||||||||||
Consumer Non-Cyclical | 3,701,915 | — | 3,701,915 | — | ||||||||||||
Energy | 1,195,875 | — | 1,195,875 | — | ||||||||||||
Financials | 1,171,081 | — | 1,171,081 | — | ||||||||||||
Technology | 2,793,508 | — | 2,793,508 | — | ||||||||||||
Transportation | 2,286,111 | — | 2,286,111 | — | ||||||||||||
Utilities | 2,055,960 | — | 2,055,960 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 4,270,183 | — | 4,270,183 | — | ||||||||||||
Basic Materials | 2,611,609 | — | 2,611,609 | — | ||||||||||||
Capital Goods | 2,406,308 | — | 2,406,308 | — | ||||||||||||
Collateralized Mortgage Obligations | 43,691,523 | — | 43,691,523 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 1,769,499 | — | 1,769,499 | — | ||||||||||||
Communications Services | 5,904,128 | — | 5,904,128 | — | ||||||||||||
Consumer Cyclical | 5,056,186 | — | 5,056,186 | — | ||||||||||||
Consumer Non-Cyclical | 7,323,128 | — | 7,323,128 | — | ||||||||||||
Energy | 6,224,585 | — | 6,224,585 | — | ||||||||||||
Financials | 24,981,325 | — | 24,981,325 | — | ||||||||||||
Foreign Government | 266,388 | — | 266,388 | — | ||||||||||||
Mortgage-Backed Securities | 26,016,194 | — | 26,016,194 | — | ||||||||||||
Technology | 1,541,678 | — | 1,541,678 | — | ||||||||||||
Transportation | 1,261,850 | — | 1,261,850 | — | ||||||||||||
Utilities | 6,967,821 | — | 6,967,821 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 11,652,736 | 11,652,736 | — | — | ||||||||||||
Consumer Staples | 9,712,023 | 9,712,023 | — | — | ||||||||||||
Energy | 11,941,019 | 11,941,019 | — | — | ||||||||||||
Financials | 35,331,194 | 35,331,194 | — | — | ||||||||||||
Health Care | 9,708,049 | 9,708,049 | — | — | ||||||||||||
Industrials | 11,013,513 | 11,013,513 | — | — | ||||||||||||
Information Technology | 11,042,168 | 11,042,168 | — | — | ||||||||||||
Materials | 2,059,539 | 2,059,539 | — | — | ||||||||||||
Telecommunications Services | 3,383,742 | 3,383,742 | — | — | ||||||||||||
Utilities | 5,359,257 | 5,359,257 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 8,036,879 | 6,909,026 | 1,127,853 | — | ||||||||||||
Collateral Held for Securities Loaned | 11,027,628 | 11,027,628 | — | — | ||||||||||||
Short-Term Investments | 47,184,102 | 46,284,441 | 899,661 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 350,627,770 | $ | 175,424,335 | $ | 175,203,435 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 125,397 | 125,397 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 125,397 | $ | 125,397 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 81,727 | 81,727 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 81,727 | $ | 81,727 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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.
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Diversified Income Plus Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
5-Yr. U.S. Treasury Bond Futures | 26 | September 2013 | $ | 3,209,861 | $ | 3,147,219 | ($ | 62,642 | ) | |||||||||||
10-Yr. U.S. Treasury Bond Futures | (5 | ) | September 2013 | (652,407 | ) | (632,813 | ) | 19,594 | ||||||||||||
S&P 500 Index Futures | (24 | ) | September 2013 | (9,701,603 | ) | (9,595,800 | ) | 105,803 | ||||||||||||
S&P 500 Index Mini-Futures | 19 | September 2013 | 1,538,420 | 1,519,335 | (19,085 | ) | ||||||||||||||
Total Futures Contracts | $ | 43,670 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 28, 2013, 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 | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 19,594 | ||||
Total Interest Rate Contracts | 19,594 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 105,803 | ||||
Total Equity Contracts | 105,803 | |||||
|
| |||||
Total Asset Derivatives | $ | 125,397 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 62,642 | ||||
Total Interest Rate Contracts | 62,642 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 19,085 | ||||
Total Equity Contracts | 19,085 | |||||
|
| |||||
Total Liability Derivatives | $ | 81,727 | ||||
|
| |||||
| * | 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 June 28, 2013, 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 | 9,024 | ||||
Futures | Net realized gains/(losses) on Futures contracts | (870,600 | ) | |||
Total Equity Contracts | (861,576 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (2,089 | ) | |||
Total Interest Rate Contracts | (2,089 | ) | ||||
|
| |||||
Total | ($ | 863,665 | ) | |||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Diversified Income Plus Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 28, 2013, 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 | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (42,016 | ) | |||
Total Interest Rate Contracts | (42,016 | ) | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 130,706 | ||||
Total Equity Contracts | 130,706 | |||||
|
| |||||
Total | $ | 88,690 | ||||
|
| |||||
The following table presents Diversified Income Plus Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Options (Contracts) | |||||||||
Equity Contracts | $ | 9,754,771 | 3.6 | % | 1 | |||||||
Interest Rate Contracts | 3,914,266 | 1.4 | 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, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | $ | 2,814,386 | $ | 30,905,801 | $ | 22,692,559 | 11,027,628 | $ | 11,027,628 | $ | 27,170 | |||||||||||||
Cash Management Trust-Short Term Investment | 35,501,783 | 69,918,743 | 59,136,085 | 46,284,441 | 46,284,441 | 17,438 | ||||||||||||||||||
Total Value and Income Earned | 38,316,169 | 57,312,069 | 44,608 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
225
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
Principal | Bank Loans (4.6%)a | Value | ||||||
| Basic Materials (0.3%) | ||||||||
Arch Coal, Inc., Term Loan | ||||||||
| $ 1,588,954 | 5.750%, 5/16/2018 | $ | 1,580,517 | |||||
FMG Resources August 2006 Pty., Ltd., Term Loan | ||||||||
| 1,637,625 | 5.250%, 10/18/2017 | 1,626,620 | ||||||
Ineos Group Holdings, Ltd., Term Loan | ||||||||
| 1,572,546 | 4.000%, 5/4/2018 | 1,538,642 | ||||||
|
| |||||||
| Total | 4,745,779 | |||||||
|
| |||||||
| Capital Goods (0.2%) | ||||||||
ADS Waste Holdings, Term Loan | ||||||||
| 1,592,000 | 4.250%, 10/9/2019 | 1,585,234 | ||||||
Berry Plastics Group, Inc., Term Loan | ||||||||
| 1,596,000 | 3.500%, 2/8/2020 | 1,576,944 | ||||||
|
| |||||||
| Total | 3,162,178 | |||||||
|
| |||||||
| Communications Services (1.6%) | ||||||||
Charter Communications Operating, LLC, Term Loan | ||||||||
| 960,000 | 3.000%, 12/31/2020 | 950,535 | ||||||
Clear Channel Communications, Inc., Term Loan | ||||||||
| 405,107 | 3.854%, 1/29/2016 | 369,409 | ||||||
| 1,194,893 | 6.945%, 1/30/2019 | 1,086,683 | ||||||
Cumulus Media Holdings, Inc., Term Loan | ||||||||
| 1,524,307 | 4.500%, 9/17/2018 | 1,523,667 | ||||||
Hargray Communications Group, Inc., Term Loan | ||||||||
| 1,580,000 | 0.000%, 6/25/2019b,c | 1,574,075 | ||||||
Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 1,857,043 | 4.250%, 4/2/2018 | 1,857,043 | ||||||
Level 3 Financing, Inc., Term Loan | ||||||||
| 1,600,000 | 4.750%, 8/1/2019 | 1,598,496 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
| 798,000 | 9.000%, 3/22/2019 | 783,836 | ||||||
NEP Broadcasting, LLC, Term Loan | ||||||||
| 1,592,000 | 4.750%, 1/22/2020 | 1,598,639 | ||||||
TNS, Inc., Term Loan | ||||||||
| 1,580,185 | 5.000%, 2/14/2020 | 1,582,824 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
| 638,400 | 4.500%, 2/28/2020 | 631,856 | ||||||
| 1,020,743 | 4.500%, 3/1/2020 | 1,010,280 | ||||||
Van Wagner Communications, Inc., Term Loan | ||||||||
| 633,600 | 8.250%, 8/3/2018 | 641,520 | ||||||
Virgin Media Investment Holdings, Ltd., Term Loan | ||||||||
| 1,600,000 | 3.500%, 6/7/2020 | 1,580,896 | ||||||
Visant Corporation, Term Loan | ||||||||
| 1,252,654 | 5.250%, 12/22/2016 | 1,191,361 | ||||||
WideOpenWest Finance, LLC, Term Loan | ||||||||
| 1,596,000 | 4.750%, 4/1/2019 | 1,597,995 | ||||||
Yankee Cable Acquisition, LLC, Term Loan | ||||||||
| 1,570,257 | 5.250%, 3/1/2020 | 1,574,733 | ||||||
Zayo Group, LLC, Term Loan | ||||||||
| 1,591,960 | 4.500%, 7/2/2019 | 1,589,301 | ||||||
|
| |||||||
| Total | 22,743,149 | |||||||
|
| |||||||
| Consumer Cyclical (0.5%) | ||||||||
Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
| 1,466,751 | 4.250%, 2/23/2017 | 1,464,551 | ||||||
Chrysler Group, LLC, Term Loan | ||||||||
| 1,580,000 | 0.000%, 5/24/2017b,c | 1,585,435 | ||||||
MGM Resorts International, Term Loan | ||||||||
| 955,200 | 3.500%, 12/20/2019 | 948,036 | ||||||
ROC Finance, LLC, Term Loan | ||||||||
| 1,600,000 | 2.273%, 3/27/2019b,c | 1,597,328 | ||||||
Toys R Us, Inc., Term Loan | ||||||||
| 1,546,662 | 5.250%, 5/25/2018 | 1,483,512 | ||||||
|
| |||||||
| Total | 7,078,862 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.6%) | ||||||||
Albertson’s, Inc., Term Loan | ||||||||
| 1,596,000 | 4.750%, 3/21/2019 | 1,584,030 | ||||||
Bausch & Lomb, Inc., Term Loan | ||||||||
| 1,584,030 | 4.000%, 5/18/2019 | 1,580,735 | ||||||
Biomet, Inc., Term Loan | ||||||||
| 1,042,125 | 3.963%, 7/25/2017 | 1,036,049 | ||||||
CHS/Community Health Systems, Inc., Term Loan | ||||||||
| 1,600,000 | 3.773%, 1/25/2017 | 1,599,824 | ||||||
Michael Foods, Inc., Term Loan | ||||||||
| 1,261,222 | 4.250%, 2/25/2018 | 1,267,528 | ||||||
Roundy’s Supermarkets, Inc., Term Loan | ||||||||
| 1,579,537 | 5.750%, 2/13/2019 | 1,538,738 | ||||||
|
| |||||||
| Total | 8,606,904 | |||||||
|
| |||||||
| Energy (0.2%) | ||||||||
Chesapeake Energy Corporation, Term Loan | ||||||||
| 1,930,000 | 5.750%, 12/2/2017 | 1,953,720 | ||||||
Offshore Group Investment, Ltd., Term Loan | ||||||||
| 798,000 | 5.750%, 3/28/2019 | 799,995 | ||||||
|
| |||||||
| Total | 2,753,715 | |||||||
|
| |||||||
| Financials (0.1%) | ||||||||
WaveDivision Holdings, LLC, Term Loan | ||||||||
| 1,592,000 | 4.000%, 10/12/2019 | 1,588,020 | ||||||
|
| |||||||
| Total | 1,588,020 | |||||||
|
| |||||||
| Technology (0.5%) | ||||||||
First Data Corporation Extended, Term Loan | ||||||||
| 1,600,000 | 4.193%, 3/23/2018 | 1,558,000 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
226
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Income Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Bank Loans (4.6%)a | Value | ||||||
| Technology (0.5%) - continued | ||||||||
Freescale Semiconductor Inc., Term Loan | ||||||||
| $1,596,000 | 5.000%, 3/1/2020 | $ | 1,581,748 | |||||
Infor US, Inc., Term Loan | ||||||||
| 1,152,942 | 5.250%, 4/5/2018 | 1,154,140 | ||||||
SunGard Data Systems, Inc., Term Loan | ||||||||
| 1,615,950 | 4.500%, 1/31/2020 | 1,618,988 | ||||||
| 500,000 | 4.000%, 3/8/2020 | 499,125 | ||||||
Syniverse Holdings, Inc., Term Loan | ||||||||
| 633,600 | 5.000%, 4/23/2019 | 630,831 | ||||||
|
| |||||||
| Total | 7,042,832 | |||||||
|
| |||||||
| Transportation (0.3%) | ||||||||
American Airlines, Inc., Term Loan | ||||||||
| 1,580,000 | 0.000%, 6/21/2019b,c | 1,577,535 | ||||||
American Petroleum Tankers Parent, LLC, Term Loan | ||||||||
| 800,000 | 4.750%, 10/2/2019 | 797,000 | ||||||
Delta Air Lines, Inc., Term Loan | ||||||||
| 2,505,375 | 4.250%, 4/20/2017 | 2,512,415 | ||||||
|
| |||||||
| Total | 4,886,950 | |||||||
|
| |||||||
| Utilities (0.3%) | |||||||
Calpine Corporation, Term Loan | ||||||||
| 1,281,794 | 4.000%, 4/1/2018 | 1,278,589 | ||||||
| 1,290,250 | 4.500%, 10/9/2019 | 1,287,837 | ||||||
NGPL PipeCo, LLC, Term Loan | ||||||||
| 1,525,714 | 6.750%, 9/15/2017 | 1,512,365 | ||||||
| Total | 4,078,791 | |||||||
|
| |||||||
Total Bank Loans (cost $66,703,816) | 66,687,180 | |||||||
|
| |||||||
Long-Term Fixed Income (93.0%) | ||||||||
| Asset-Backed Securities (0.7%) | ||||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 3,822,894 | 0.373%, 8/25/2035d,e | 3,105,669 | ||||||
| 4,465,158 | 0.373%, 12/25/2036d,e | 3,746,188 | ||||||
IndyMac Seconds Asset-Backed Trust | ||||||||
| 725,959 | 0.363%, 10/25/2036d,e | 163,536 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 2,810,071 | 5.746%, 5/25/2036 | 2,082,181 | ||||||
| 2,000,000 | 6.011%, 5/25/2036 | 1,435,208 | ||||||
|
| |||||||
| Total | 10,532,782 | |||||||
|
| |||||||
| Basic Materials (4.6%) | ||||||||
Agrium, Inc. | ||||||||
| 1,910,000 | 3.500%, 6/1/2023f | 1,837,256 | ||||||
Alcoa, Inc. | ||||||||
| 2,000,000 | 6.750%, 1/15/2028 | 1,987,468 | ||||||
ArcelorMittal | ||||||||
| 4,000,000 | 6.125%, 6/1/2018 | 4,120,000 | ||||||
| 2,750,000 | 5.750%, 8/5/2020 | 2,722,500 | ||||||
Ashland, Inc. | ||||||||
| 3,200,000 | 3.000%, 3/15/2016g | 3,216,000 | ||||||
Barrick Gold Corporation | ||||||||
| 1,920,000 | 4.100%, 5/1/2023g | 1,604,076 | ||||||
Dow Chemical Company | ||||||||
| 2,570,000 | 4.250%, 11/15/2020 | 2,706,374 | ||||||
| 1,620,000 | 5.250%, 11/15/2041 | 1,608,772 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| 4,475,000 | 3.100%, 3/15/2020g | 4,136,305 | ||||||
| 1,275,000 | 3.875%, 3/15/2023g | 1,153,992 | ||||||
Georgia-Pacific, LLC | ||||||||
| 2,190,000 | 5.400%, 11/1/2020g | 2,442,071 | ||||||
| 1,900,000 | 3.734%, 7/15/2023g | 1,848,037 | ||||||
Glencore Funding, LLC | ||||||||
| 3,180,000 | 4.125%, 5/30/2023g | 2,836,191 | ||||||
Inmet Mining Corporation | ||||||||
| 1,920,000 | 7.500%, 6/1/2021g | 1,838,400 | ||||||
International Paper Company | ||||||||
| 1,250,000 | 7.300%, 11/15/2039 | 1,500,201 | ||||||
LyondellBasell Industries NV | ||||||||
| 3,170,000 | 6.000%, 11/15/2021 | 3,562,148 | ||||||
NOVA Chemicals Corporation | ||||||||
| 1,250,000 | 8.625%, 11/1/2019 | 1,370,313 | ||||||
Rio Tinto Finance USA plc | ||||||||
| 2,850,000 | 2.250%, 12/14/2018 | 2,769,525 | ||||||
Rio Tinto Finance USA, Ltd. | ||||||||
| 3,285,000 | 6.500%, 7/15/2018 | 3,887,141 | ||||||
| 1,920,000 | 4.125%, 5/20/2021 | 1,951,839 | ||||||
Teck Resources, Ltd. | ||||||||
| 3,220,000 | 2.500%, 2/1/2018 | 3,129,685 | ||||||
| 3,870,000 | 3.750%, 2/1/2023 | 3,555,694 | ||||||
Vale SA | ||||||||
| 1,930,000 | 5.625%, 9/11/2042f | 1,683,715 | ||||||
Weyerhaeuser Company | ||||||||
| 2,570,000 | 7.375%, 3/15/2032 | 3,085,205 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
| 2,560,000 | 2.450%, 10/25/2017g | 2,482,639 | ||||||
| 2,560,000 | 4.000%, 10/25/2022g | 2,324,150 | ||||||
Yara International ASA | ||||||||
| 50,000 | 7.875%, 6/11/2019g | 60,702 | ||||||
|
| |||||||
| Total | 65,420,399 | |||||||
|
| |||||||
| Capital Goods (2.7%) | ||||||||
BAE Systems plc | ||||||||
| 3,880,000 | 4.750%, 10/11/2021g | 4,103,119 | ||||||
Case New Holland, Inc. | ||||||||
| 1,635,000 | 7.875%, 12/1/2017 | 1,851,638 | ||||||
CNH Capital, LLC | ||||||||
| 450,000 | 6.250%, 11/1/2016 | 479,250 | ||||||
Eaton Corporation | ||||||||
| 5,135,000 | 2.750%, 11/2/2022g | 4,803,890 | ||||||
Masco Corporation | ||||||||
| 1,625,000 | 5.950%, 3/15/2022 | 1,706,250 | ||||||
Northrop Grumman Corporation | ||||||||
| 3,815,000 | 3.250%, 8/1/2023 | 3,610,169 | ||||||
Republic Services, Inc. | ||||||||
| 630,000 | 5.500%, 9/15/2019 | 713,041 | ||||||
| 1,600,000 | 5.000%, 3/1/2020 | 1,751,552 | ||||||
| 2,200,000 | 5.250%, 11/15/2021 | 2,415,415 | ||||||
| 3,170,000 | 3.550%, 6/1/2022 | 3,085,158 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
227
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Income Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (93.0%) | Value | ||||||
| Capital Goods (2.7%) - continued | ||||||||
Reynolds Group Issuer, Inc. | ||||||||
| $1,940,000 | 9.875%, 8/15/2019 | $ | 2,075,800 | |||||
Roper Industries, Inc. | ||||||||
| 2,685,000 | 2.050%, 10/1/2018 | 2,633,416 | ||||||
Textron, Inc. | ||||||||
| 2,500,000 | 6.200%, 3/15/2015 | 2,691,062 | ||||||
| 2,360,000 | 5.600%, 12/1/2017 | 2,587,896 | ||||||
United Rentals North America, Inc. | ||||||||
| 1,300,000 | 5.750%, 7/15/2018 | 1,365,000 | ||||||
| 320,000 | 6.125%, 6/15/2023f | 318,400 | ||||||
Waste Management, Inc. | ||||||||
| 2,415,000 | 2.900%, 9/15/2022 | 2,219,453 | ||||||
|
| |||||||
| Total | 38,410,509 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (1.2%) | ||||||||
Bear Stearns Mortgage Funding Trust | ||||||||
| 653,901 | 0.473%, 8/25/2036e | 332,277 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
| 2,633,300 | 5.750%, 4/25/2037 | 2,360,921 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 3,481,979 | 6.000%, 1/25/2037 | 2,762,846 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust | ||||||||
| 2,631,539 | 0.939%, 4/25/2047e | 2,067,002 | ||||||
HomeBanc Mortgage Trust | ||||||||
| 2,617,989 | 2.455%, 4/25/2037 | 1,754,993 | ||||||
Wachovia Mortgage Loan Trust, LLC | ||||||||
| 2,659,628 | 2.985%, 5/20/2036 | 2,191,608 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
| 746,617 | 0.483%, 10/25/2045e | 674,850 | ||||||
Washington Mutual Alternative Mortgage Pass Through Certificates | ||||||||
| 4,900,446 | 0.919%, 2/25/2047e | 2,989,806 | ||||||
|
| |||||||
| Total | 15,134,303 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (1.2%) | ||||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 118,717 | 0.343%, 3/15/2022e,g | 118,684 | ||||||
| 3,500,000 | 5.331%, 2/11/2044 | 3,832,217 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 1,900,000 | 5.322%, 12/11/2049 | 2,091,588 | ||||||
Commercial Mortgage Pass- Through Certificates | ||||||||
| 1,466,655 | 0.323%, 12/15/2020e,g | 1,433,674 | ||||||
Credit Suisse First Boston Mortgage Securities | ||||||||
| 3,200,000 | 5.542%, 1/15/2049 | 3,543,427 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 2,956,723 | 0.363%, 10/15/2021e,g | 2,907,041 | ||||||
| 3,124,040 | 5.467%, 9/15/2039 | 3,441,637 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 100,000 | 5.250%, 4/18/2016 | 112,568 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
| 1,620 | 5.230%, 7/15/2041 | 1,618 | ||||||
|
| |||||||
| Total | 17,482,454 | |||||||
|
| |||||||
| Communications Services (7.9%) | ||||||||
AMC Networks, Inc. | ||||||||
| 650,000 | 4.750%, 12/15/2022 | 627,250 | ||||||
America Movil SAB de CV | ||||||||
| 3,160,000 | 5.000%, 3/30/2020 | 3,391,596 | ||||||
American Tower Corporation | ||||||||
| 3,900,000 | 4.500%, 1/15/2018 | 4,159,381 | ||||||
| 1,280,000 | 5.900%, 11/1/2021 | 1,424,061 | ||||||
| 1,090,000 | 3.500%, 1/31/2023 | 998,086 | ||||||
AT&T, Inc. | ||||||||
| 2,560,000 | 1.400%, 12/1/2017 | 2,488,812 | ||||||
| 2,600,000 | 4.450%, 5/15/2021 | 2,800,314 | ||||||
| 2,255,000 | 5.550%, 8/15/2041 | 2,347,917 | ||||||
CC Holdings GS V, LLC | ||||||||
| 1,280,000 | 3.849%, 4/15/2023 | 1,206,984 | ||||||
CCO Holdings, LLC | ||||||||
| 1,280,000 | 7.000%, 1/15/2019 | 1,356,800 | ||||||
CenturyLink, Inc. | ||||||||
| 945,000 | 5.150%, 6/15/2017 | 994,613 | ||||||
| 1,600,000 | 6.150%, 9/15/2019 | 1,664,000 | ||||||
| 1,920,000 | 5.625%, 4/1/2020 | 1,939,200 | ||||||
| 2,700,000 | 5.800%, 3/15/2022 | 2,659,500 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
| 2,570,000 | 6.500%, 11/15/2022g | 2,647,100 | ||||||
Comcast Corporation | ||||||||
| 1,900,000 | 6.300%, 11/15/2017 | 2,244,947 | ||||||
| 2,900,000 | 5.700%, 5/15/2018 | 3,380,115 | ||||||
| 2,570,000 | 3.125%, 7/15/2022 | 2,504,020 | ||||||
| 2,700,000 | 6.400%, 5/15/2038 | 3,222,655 | ||||||
Cox Communications, Inc. | ||||||||
| 1,900,000 | 9.375%, 1/15/2019g | 2,509,573 | ||||||
| 1,800,000 | 3.250%, 12/15/2022g | 1,693,487 | ||||||
| 2,500,000 | 8.375%, 3/1/2039g | 3,388,378 | ||||||
Crown Castle Towers, LLC | ||||||||
| 5,050,000 | 4.174%, 8/15/2017g | 5,337,143 | ||||||
DIRECTV Holdings, LLC | ||||||||
| 1,920,000 | 1.750%, 1/15/2018 | 1,853,614 | ||||||
| 3,875,000 | 5.000%, 3/1/2021 | 4,081,720 | ||||||
| 2,030,000 | 3.800%, 3/15/2022 | 1,949,998 | ||||||
Discovery Communications, LLC | ||||||||
| 1,920,000 | 4.375%, 6/15/2021 | 2,015,512 | ||||||
| 1,925,000 | 3.300%, 5/15/2022 | 1,840,700 | ||||||
Hughes Satellite Systems Corporation | ||||||||
| 3,220,000 | 6.500%, 6/15/2019 | 3,413,200 | ||||||
Intelsat Jackson Holdings SA | ||||||||
| 1,290,000 | 7.250%, 4/1/2019 | 1,349,663 | ||||||
| 1,900,000 | 7.500%, 4/1/2021 | 1,995,000 | ||||||
NBC Universal Enterprise, Inc. | ||||||||
| 1,920,000 | 1.974%, 4/15/2019g | 1,868,653 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
228
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Income Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (93.0%) | Value | ||||||
| Communications Services (7.9%) - continued | ||||||||
NBCUniversal Media, LLC | ||||||||
| $3,750,000 | 5.150%, 4/30/2020 | $ | 4,269,341 | |||||
| 4,510,000 | 4.375%, 4/1/2021 | 4,864,910 | ||||||
News America, Inc. | ||||||||
| 1,900,000 | 7.625%, 11/30/2028 | 2,316,161 | ||||||
| 2,140,000 | 6.400%, 12/15/2035 | 2,390,361 | ||||||
Omnicom Group, Inc. | ||||||||
| 4,245,000 | 4.450%, 8/15/2020 | 4,410,593 | ||||||
Qwest Corporation | ||||||||
| 3,200,000 | 6.500%, 6/1/2017 | 3,621,347 | ||||||
SBA Tower Trust | ||||||||
| 60,000 | 4.254%, 4/15/2015g | 62,107 | ||||||
| 3,500,000 | 5.101%, 4/17/2017g | 3,827,933 | ||||||
Sirius XM Radio, Inc. | ||||||||
| 1,300,000 | 5.250%, 8/15/2022g | 1,261,000 | ||||||
Sprint Nextel Corporation | ||||||||
| 650,000 | 7.000%, 3/1/2020g | 702,000 | ||||||
Telefonica Emisiones SAU | ||||||||
| 2,555,000 | 3.192%, 4/27/2018 | 2,474,793 | ||||||
| 2,560,000 | 5.462%, 2/16/2021 | 2,639,217 | ||||||
Time Warner Cable, Inc. | ||||||||
| 2,500,000 | 8.250%, 4/1/2019 | 3,009,985 | ||||||
UPCB Finance VI, Ltd. | ||||||||
| 2,600,000 | 6.875%, 1/15/2022g | 2,691,000 | ||||||
|
| |||||||
| Total | 113,894,740 | |||||||
|
| |||||||
| Consumer Cyclical (5.5%) | ||||||||
American Honda Finance | ||||||||
Corporation | ||||||||
| 4,400,000 | 3.875%, 9/21/2020g | 4,604,838 | ||||||
Daimler Finance North America, LLC | ||||||||
| 2,260,000 | 3.875%, 9/15/2021g | 2,307,207 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 3,900,000 | 3.875%, 1/15/2015 | 4,019,902 | ||||||
| 2,560,000 | 1.525%, 5/9/2016e | 2,577,897 | ||||||
| 3,200,000 | 3.984%, 6/15/2016 | 3,352,416 | ||||||
| 3,250,000 | 4.250%, 2/3/2017 | 3,395,684 | ||||||
| 630,000 | 6.625%, 8/15/2017 | 713,030 | ||||||
| 2,575,000 | 4.250%, 9/20/2022 | 2,530,880 | ||||||
General Motors Financial Company, Inc. | ||||||||
| 2,410,000 | 4.750%, 8/15/2017g | 2,470,250 | ||||||
Home Depot, Inc. | ||||||||
| 1,600,000 | 2.700%, 4/1/2023 | 1,516,891 | ||||||
Hyundai Motor Manufacturing Czech | ||||||||
| 2,525,000 | 4.500%, 4/15/2015g | 2,634,431 | ||||||
Johnson Controls, Inc. | ||||||||
| 3,150,000 | 5.250%, 12/1/2041 | 3,151,206 | ||||||
KIA Motors Corporation | ||||||||
| 3,260,000 | 3.625%, 6/14/2016g | 3,380,082 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
| 3,210,000 | 7.450%, 7/15/2017 | 3,841,535 | ||||||
| 3,570,000 | 3.875%, 1/15/2022 | 3,579,318 | ||||||
| 1,925,000 | 2.875%, 2/15/2023 | 1,775,551 | ||||||
Marriott International, Inc. | ||||||||
| 3,250,000 | 3.000%, 3/1/2019 | 3,278,737 | ||||||
MGM Resorts International | ||||||||
| 1,920,000 | 7.625%, 1/15/2017 | 2,097,600 | ||||||
QVC, Inc. | ||||||||
| 2,235,000 | 4.375%, 3/15/2023g | 2,084,743 | ||||||
Royal Caribbean Cruises, Ltd. | ||||||||
| 2,560,000 | 5.250%, 11/15/2022f | 2,508,800 | ||||||
Sheraton Holding Corporation | ||||||||
| 1,290,000 | 7.375%, 11/15/2015 | 1,462,878 | ||||||
Spencer Spirit Holdings, Inc. | ||||||||
| 50,000 | 11.000%, 5/1/2017g | 53,750 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 1,850,000 | 6.750%, 5/15/2018 | 2,187,375 | ||||||
| 3,210,000 | 3.125%, 2/15/2023 | 2,970,836 | ||||||
Time Warner, Inc. | ||||||||
| 710,000 | 3.400%, 6/15/2022f | 688,181 | ||||||
| 1,600,000 | 7.700%, 5/1/2032 | 2,034,278 | ||||||
Toll Brothers Finance Corporation | ||||||||
| 2,000,000 | 6.750%, 11/1/2019 | 2,260,000 | ||||||
| 960,000 | 4.375%, 4/15/2023f | 892,800 | ||||||
Toys R Us Property Company II, LLC | ||||||||
| 2,570,000 | 8.500%, 12/1/2017 | 2,669,587 | ||||||
Western Union Company | ||||||||
| 1,930,000 | 2.875%, 12/10/2017 | 1,934,964 | ||||||
Wyndham Worldwide Corporation | ||||||||
| 1,920,000 | 2.500%, 3/1/2018 | 1,885,657 | ||||||
| 1,270,000 | 5.625%, 3/1/2021 | 1,360,936 | ||||||
| 3,220,000 | 4.250%, 3/1/2022 | 3,135,971 | ||||||
|
| |||||||
| Total | 79,358,211 | |||||||
|
| |||||||
| Consumer Non-Cyclical (7.9%) | ||||||||
Altria Group, Inc. | ||||||||
| 1,595,000 | 4.750%, 5/5/2021 | 1,708,181 | ||||||
| 2,500,000 | 9.950%, 11/10/2038 | 3,700,030 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 2,550,000 | 5.375%, 1/15/2020 | 2,939,826 | ||||||
| 2,525,000 | 5.000%, 4/15/2020 | 2,866,216 | ||||||
Biomet, Inc. | ||||||||
| 2,480,000 | 6.500%, 8/1/2020 | 2,555,950 | ||||||
Boston Scientific Corporation | ||||||||
| 3,800,000 | 4.500%, 1/15/2015 | 3,975,571 | ||||||
Bunge Limited Finance Corporation | ||||||||
| 2,220,000 | 5.100%, 7/15/2015 | 2,386,773 | ||||||
| 1,920,000 | 3.200%, 6/15/2017 | 1,964,223 | ||||||
Cargill, Inc. | ||||||||
| 1,950,000 | 3.250%, 11/15/2021g | 1,901,260 | ||||||
Celgene Corporation | ||||||||
| 2,250,000 | 1.900%, 8/15/2017 | 2,233,847 | ||||||
| 2,500,000 | 3.950%, 10/15/2020 | 2,589,872 | ||||||
ConAgra Foods, Inc. | ||||||||
| 1,895,000 | 2.100%, 3/15/2018f | 1,877,123 | ||||||
| 2,080,000 | 3.200%, 1/25/2023 | 1,989,044 | ||||||
Covidien International Finance SA | ||||||||
| 2,560,000 | 2.950%, 6/15/2023 | 2,420,050 | ||||||
Energizer Holdings, Inc. | ||||||||
| 1,450,000 | 4.700%, 5/24/2022 | 1,476,506 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
229
Table of Contents
Income Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (93.0%) | Value | ||||||
| Consumer Non-Cyclical (7.9%) - continued | ||||||||
Express Scripts Holding Company | ||||||||
| $2,235,000 | 3.125%, 5/15/2016 | $ | 2,324,078 | |||||
| 3,235,000 | 4.750%, 11/15/2021 | 3,460,968 | ||||||
Fresenius Medical Care US Finance II, Inc. | ||||||||
| 710,000 | 5.625%, 7/31/2019g | 738,400 | ||||||
Fresenius Medical Care US Finance, Inc. | ||||||||
| 1,290,000 | 6.500%, 9/15/2018g | 1,402,875 | ||||||
Gilead Sciences, Inc. | ||||||||
| 3,200,000 | 4.400%, 12/1/2021 | 3,436,272 | ||||||
Grifols, Inc. | ||||||||
| 1,930,000 | 8.250%, 2/1/2018 | 2,074,750 | ||||||
HCA, Inc. | ||||||||
| 1,220,000 | 8.500%, 4/15/2019 | 1,309,212 | ||||||
| 2,560,000 | 4.750%, 5/1/2023 | 2,451,200 | ||||||
Health Management Associates, Inc. | ||||||||
| 2,530,000 | 7.375%, 1/15/2020 | 2,773,513 | ||||||
Heineken NV | ||||||||
| 2,570,000 | 2.750%, 4/1/2023g | 2,356,163 | ||||||
Imperial Tobacco Finance plc | ||||||||
| 3,200,000 | 3.500%, 2/11/2023g | 3,008,512 | ||||||
Koninklijke Philips Electronics NV | ||||||||
| 2,765,000 | 3.750%, 3/15/2022 | 2,773,408 | ||||||
Kraft Foods Group, Inc. | ||||||||
| 1,923,000 | 6.125%, 8/23/2018 | 2,257,887 | ||||||
| 1,600,000 | 6.875%, 1/26/2039 | 1,941,038 | ||||||
Mallinckrodt International Finance SA | ||||||||
| 2,560,000 | 3.500%, 4/15/2018g | 2,530,703 | ||||||
Medtronic, Inc. | ||||||||
| 3,835,000 | 2.750%, 4/1/2023 | 3,584,532 | ||||||
Mylan, Inc. | ||||||||
| 1,580,000 | 2.600%, 6/24/2018g | 1,557,270 | ||||||
| 3,845,000 | 7.875%, 7/15/2020g | 4,436,930 | ||||||
| 2,240,000 | 3.125%, 1/15/2023g | 2,047,721 | ||||||
Pernod-Ricard SA | ||||||||
| 5,130,000 | 5.750%, 4/7/2021g | 5,698,902 | ||||||
Reynolds American, Inc. | ||||||||
| 3,180,000 | 3.250%, 11/1/2022 | 2,956,118 | ||||||
SABMiller Holdings, Inc. | ||||||||
| 1,615,000 | 2.450%, 1/15/2017g | 1,640,627 | ||||||
| 4,425,000 | 3.750%, 1/15/2022g | 4,503,261 | ||||||
Safeway, Inc. | ||||||||
| 1,610,000 | 5.000%, 8/15/2019 | 1,708,843 | ||||||
| 1,900,000 | 4.750%, 12/1/2021f | 1,935,787 | ||||||
Teva Pharmaceutical Finance IV BV | ||||||||
| 4,225,000 | 3.650%, 11/10/2021 | 4,225,389 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
| 2,550,000 | 3.600%, 8/15/2021 | 2,500,920 | ||||||
Tyson Foods, Inc. | ||||||||
| 3,205,000 | 4.500%, 6/15/2022 | 3,274,946 | ||||||
Valeant Pharmaceuticals International | ||||||||
| 2,560,000 | 6.375%, 10/15/2020g | 2,531,200 | ||||||
|
| |||||||
| Total | 114,025,897 | |||||||
|
| |||||||
| Energy (9.9%) | ||||||||
BP Capital Markets plc | ||||||||
| 1,950,000 | 2.248%, 11/1/2016 | 1,996,882 | ||||||
Buckeye Partners, LP | ||||||||
| 1,910,000 | 4.150%, 7/1/2023 | 1,858,325 | ||||||
Cameron International Corporation | ||||||||
| 2,560,000 | 3.600%, 4/30/2022 | 2,550,661 | ||||||
Canadian Oil Sands, Ltd. | ||||||||
| 2,600,000 | 4.500%, 4/1/2022g | 2,641,543 | ||||||
CenterPoint Energy Resources Corporation | ||||||||
| 4,600,000 | 6.125%, 11/1/2017 | 5,359,350 | ||||||
Chevron Corporation | ||||||||
| 2,530,000 | 2.427%, 6/24/2020 | 2,515,582 | ||||||
CNOOC Finance 2013, Ltd. | ||||||||
| 3,200,000 | 3.000%, 5/9/2023 | 2,890,742 | ||||||
CNPC HK Overseas Capital, Ltd. | ||||||||
| 2,870,000 | 5.950%, 4/28/2041g | 3,101,311 | ||||||
Concho Resources, Inc. | ||||||||
| 1,930,000 | 6.500%, 1/15/2022 | 2,040,975 | ||||||
DCP Midstream, LLC | ||||||||
| 1,750,000 | 5.850%, 5/21/2043g | 1,680,000 | ||||||
El Paso Pipeline Partners | ||||||||
Operating Company, LLC | ||||||||
| 3,850,000 | 5.000%, 10/1/2021 | 4,130,700 | ||||||
Enbridge Energy Partners, LP | ||||||||
| 2,230,000 | 5.200%, 3/15/2020 | 2,429,775 | ||||||
| 2,530,000 | 8.050%, 10/1/2037 | 2,877,151 | ||||||
Encana Corporation | ||||||||
| 1,920,000 | 5.900%, 12/1/2017 | 2,177,028 | ||||||
| 1,280,000 | 5.150%, 11/15/2041 | 1,212,945 | ||||||
Energy Transfer Partners, LP | ||||||||
| 4,240,000 | 6.700%, 7/1/2018 | 4,979,252 | ||||||
EQT Corporation | ||||||||
| 1,300,000 | 8.125%, 6/1/2019 | 1,584,899 | ||||||
Harvest Operations Corporation | ||||||||
| 1,920,000 | 6.875%, 10/1/2017 | 2,140,800 | ||||||
Hess Corporation | ||||||||
| 3,180,000 | 5.600%, 2/15/2041 | 3,262,651 | ||||||
Key Energy Services, Inc. | ||||||||
| 2,075,000 | 6.750%, 3/1/2021 | 1,992,000 | ||||||
Kinder Morgan Energy Partners, LP | ||||||||
| 1,290,000 | 6.850%, 2/15/2020 | 1,535,807 | ||||||
| 4,450,000 | 5.800%, 3/1/2021 | 5,043,390 | ||||||
Linn Energy, LLC | ||||||||
| 1,970,000 | 7.750%, 2/1/2021 | 1,974,925 | ||||||
Lukoil International Finance BV | ||||||||
| 3,835,000 | 3.416%, 4/24/2018g | 3,729,538 | ||||||
Marathon Oil Corporation | ||||||||
| 2,364,000 | 5.900%, 3/15/2018 | 2,716,799 | ||||||
| 1,920,000 | 2.800%, 11/1/2022 | 1,776,307 | ||||||
Marathon Petroleum Corporation | ||||||||
| 1,920,000 | 6.500%, 3/1/2041 | 2,192,794 | ||||||
Markwest Energy Partners, LP | ||||||||
| 845,000 | 6.250%, 6/15/2022 | 870,350 | ||||||
MEG Energy Corporation | ||||||||
| 1,920,000 | 6.375%, 1/30/2023g | 1,862,400 | ||||||
Newfield Exploration Company | ||||||||
| 1,125,000 | 5.625%, 7/1/2024 | 1,091,250 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
230
Table of Contents
Income Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (93.0%) | Value | ||||||
| Energy (9.9%) - continued | ||||||||
Nexen, Inc. | ||||||||
| $1,920,000 | 6.400%, 5/15/2037 | $ | 2,086,819 | |||||
Noble Energy, Inc. | ||||||||
| 3,100,000 | 8.250%, 3/1/2019 | 3,904,044 | ||||||
Noble Holding International, Ltd. | ||||||||
| 2,560,000 | 3.950%, 3/15/2022 | 2,504,824 | ||||||
Petrobras Global Finance BV | ||||||||
| 3,835,000 | 2.414%, 1/15/2019e | 3,758,300 | ||||||
Petrobras International Finance Company | ||||||||
| 3,200,000 | 5.375%, 1/27/2021 | 3,215,021 | ||||||
Phillips 66 | ||||||||
| 2,570,000 | 4.300%, 4/1/2022 | 2,655,388 | ||||||
Pioneer Natural Resources Company | ||||||||
| 2,500,000 | 6.875%, 5/1/2018 | 2,951,637 | ||||||
| 2,560,000 | 3.950%, 7/15/2022 | 2,527,754 | ||||||
QEP Resources, Inc. | ||||||||
| 1,940,000 | 5.375%, 10/1/2022 | 1,920,600 | ||||||
Range Resources Corporation | ||||||||
| 1,280,000 | 5.000%, 3/15/2023 | 1,251,200 | ||||||
Rowan Companies, Inc. | ||||||||
| 3,170,000 | 5.000%, 9/1/2017 | 3,426,130 | ||||||
| 2,125,000 | 4.875%, 6/1/2022 | 2,192,696 | ||||||
Southwestern Energy Company | ||||||||
| 2,750,000 | 4.100%, 3/15/2022 | 2,738,271 | ||||||
Spectra Energy Partners, LP | ||||||||
| 3,200,000 | 4.600%, 6/15/2021 | 3,260,061 | ||||||
Suncor Energy, Inc. | ||||||||
| 1,940,000 | 6.850%, 6/1/2039 | 2,285,165 | ||||||
Sunoco Logistics Partners Operations, LP | ||||||||
| 3,200,000 | 3.450%, 1/15/2023 | 2,972,838 | ||||||
The Williams Companies, Inc. | ||||||||
| 2,560,000 | 3.700%, 1/15/2023 | 2,378,452 | ||||||
Transocean, Inc. | ||||||||
| 2,200,000 | 5.050%, 12/15/2016 | 2,392,335 | ||||||
| 1,920,000 | 7.375%, 4/15/2018 | 2,200,072 | ||||||
| 1,280,000 | 6.375%, 12/15/2021 | 1,438,674 | ||||||
Valero Energy Corporation | ||||||||
| 3,125,000 | 6.125%, 2/1/2020 | 3,631,397 | ||||||
| 1,920,000 | 6.625%, 6/15/2037 | 2,206,397 | ||||||
Weatherford International, Inc. | ||||||||
| 2,245,000 | 6.350%, 6/15/2017 | 2,507,818 | ||||||
Weatherford International, Ltd. | ||||||||
| 4,500,000 | 6.000%, 3/15/2018 | 5,053,324 | ||||||
|
| |||||||
| Total | 141,675,349 | |||||||
|
| |||||||
| Financials (29.8%) | ||||||||
Aegon NV | ||||||||
| 2,600,000 | 2.055%, 7/29/2049e,h | 1,859,000 | ||||||
American Express Credit Corporation | ||||||||
| 5,200,000 | 2.800%, 9/19/2016 | 5,398,749 | ||||||
American International Group, Inc. | ||||||||
| 3,225,000 | 4.250%, 9/15/2014 | 3,344,464 | ||||||
| 1,950,000 | 3.800%, 3/22/2017 | 2,044,216 | ||||||
| 3,000,000 | 6.400%, 12/15/2020 | 3,479,058 | ||||||
American Tower Trust I | ||||||||
| 3,200,000 | 1.551%, 3/15/2018g | 3,144,566 | ||||||
Associated Banc Corporation | ||||||||
| 3,180,000 | 5.125%, 3/28/2016 | 3,423,114 | ||||||
Associates Corporation of North America | ||||||||
| 3,800,000 | 6.950%, 11/1/2018 | 4,500,344 | ||||||
AXA SA | ||||||||
| 2,580,000 | 8.600%, 12/15/2030 | 3,121,800 | ||||||
Axis Specialty Finance, LLC | ||||||||
| 2,570,000 | 5.875%, 6/1/2020 | 2,850,464 | ||||||
Banco do Brasil SA | ||||||||
| 1,950,000 | 9.250%, 10/31/2049f,g,h | 2,120,625 | ||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | ||||||||
| 1,445,000 | 4.125%, 11/9/2022g | 1,354,687 | ||||||
Bank of America Corporation | ||||||||
| 3,300,000 | 5.750%, 12/1/2017 | 3,667,537 | �� | |||||
| 3,840,000 | 1.343%, 3/22/2018e | 3,799,953 | ||||||
| 3,880,000 | 7.625%, 6/1/2019 | 4,662,887 | ||||||
| 2,560,000 | 3.300%, 1/11/2023 | 2,419,576 | ||||||
| 1,950,000 | 5.875%, 2/7/2042 | 2,180,119 | ||||||
BBVA Bancomer SA/Texas | ||||||||
| 3,535,000 | 6.750%, 9/30/2022g | 3,817,800 | ||||||
BBVA US Senior SAU | ||||||||
| 2,560,000 | 4.664%, 10/9/2015 | 2,637,115 | ||||||
Berkshire Hathaway, Inc. | ||||||||
| 3,215,000 | 3.750%, 8/15/2021f | 3,315,289 | ||||||
| 1,600,000 | 3.000%, 2/11/2023 | 1,540,475 | ||||||
Boston Properties, LP | ||||||||
| 3,750,000 | 5.875%, 10/15/2019 | 4,325,287 | ||||||
Capital One Financial Corporation | ||||||||
| 3,500,000 | 6.150%, 9/1/2016 | 3,905,692 | ||||||
Cigna Corporation | ||||||||
| 3,220,000 | 4.000%, 2/15/2022 | 3,305,723 | ||||||
CIT Group, Inc. | ||||||||
| 1,920,000 | 5.250%, 3/15/2018 | 1,972,800 | ||||||
Citigroup, Inc. | ||||||||
| 3,210,000 | 6.000%, 8/15/2017 | 3,616,967 | ||||||
| 3,830,000 | 8.500%, 5/22/2019 | 4,825,903 | ||||||
| 2,560,000 | 4.050%, 7/30/2022 | 2,460,431 | ||||||
| 4,475,000 | 3.500%, 5/15/2023 | 4,019,141 | ||||||
| 3,840,000 | 5.950%, 12/29/2049h | 3,821,184 | ||||||
CNA Financial Corporation | ||||||||
| 3,775,000 | 7.350%, 11/15/2019 | 4,570,808 | ||||||
| 1,300,000 | 5.875%, 8/15/2020 | 1,471,245 | ||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||||
| 1,290,000 | 11.000%, 12/29/2049g,h | 1,654,425 | ||||||
CyrusOne, LP/CyrusOne Finance Corporation | ||||||||
| 1,920,000 | 6.375%, 11/15/2022g | 1,968,000 | ||||||
DDR Corporation | ||||||||
| 2,245,000 | 4.625%, 7/15/2022 | 2,268,772 | ||||||
Deutsche Bank AG | ||||||||
| 3,180,000 | 4.296%, 5/24/2028 | 2,936,221 | ||||||
Developers Diversified Realty Corporation | ||||||||
| 1,290,000 | 7.875%, 9/1/2020 | 1,573,488 | ||||||
Discover Bank | ||||||||
| 2,200,000 | 7.000%, 4/15/2020 | 2,567,462 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
231
Table of Contents
Income Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (93.0%) | Value | ||||||
| Financials (29.8%) - continued | ||||||||
Discover Financial Services | ||||||||
| $1,920,000 | 6.450%, 6/12/2017 | $ | 2,181,107 | |||||
DnB Boligkreditt AS | ||||||||
| 4,475,000 | 1.450%, 3/21/2018g | 4,344,778 | ||||||
Duke Realty, LP | ||||||||
| 3,220,000 | 3.875%, 10/15/2022 | 3,050,129 | ||||||
ERP Operating, LP | ||||||||
| 3,200,000 | 4.625%, 12/15/2021 | 3,389,610 | ||||||
Essex Portfolio, LP | ||||||||
| 2,560,000 | 3.250%, 5/1/2023 | 2,358,218 | ||||||
Fairfax Financial Holdings, Ltd. | ||||||||
| 1,915,000 | 5.800%, 5/15/2021g | 1,979,756 | ||||||
Fifth Third Bancorp | ||||||||
| 3,210,000 | 0.692%, 12/20/2016e | 3,150,474 | ||||||
Fifth Third Capital Trust IV | ||||||||
| 1,950,000 | 6.500%, 4/15/2037 | 1,942,687 | ||||||
GE Capital Trust I | ||||||||
| 4,500,000 | 6.375%, 11/15/2067 | 4,663,125 | ||||||
General Electric Capital Corporation | ||||||||
| 3,225,000 | 3.800%, 6/18/2019g | 3,357,151 | ||||||
| 1,900,000 | 6.000%, 8/7/2019 | 2,205,775 | ||||||
| 1,600,000 | 5.300%, 2/11/2021 | 1,755,154 | ||||||
| 3,200,000 | 1.273%, 3/15/2023e | 3,171,021 | ||||||
| 1,550,000 | 6.750%, 3/15/2032 | 1,858,489 | ||||||
| 3,200,000 | 7.125%, 12/15/2049h | 3,616,000 | ||||||
Glitnir Banki HF | ||||||||
| 50,000 | Zero Coupon, 1/21/2011g,i | 14,375 | ||||||
Goldman Sachs Group, Inc. | ||||||||
| 3,250,000 | 6.250%, 9/1/2017 | 3,682,913 | ||||||
| 2,560,000 | 2.375%, 1/22/2018 | 2,513,490 | ||||||
| 2,900,000 | 5.375%, 3/15/2020 | 3,146,657 | ||||||
| 3,275,000 | 5.250%, 7/27/2021 | 3,503,919 | ||||||
| 1,260,000 | 6.750%, 10/1/2037 | 1,290,699 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
| 3,200,000 | 5.125%, 4/15/2022 | 3,481,971 | ||||||
HCP, Inc. | ||||||||
| 3,100,000 | 5.625%, 5/1/2017 | 3,452,296 | ||||||
| 800,000 | 3.750%, 2/1/2019 | 820,906 | ||||||
| 2,250,000 | 2.625%, 2/1/2020 | 2,107,809 | ||||||
Health Care REIT, Inc. | ||||||||
| 1,285,000 | 2.250%, 3/15/2018 | 1,261,654 | ||||||
| 1,280,000 | 6.125%, 4/15/2020 | 1,454,084 | ||||||
| 3,150,000 | 4.950%, 1/15/2021 | 3,351,745 | ||||||
HSBC Finance Corporation | ||||||||
| 3,210,000 | 6.676%, 1/15/2021 | 3,548,812 | ||||||
HSBC Holdings plc | ||||||||
| 3,200,000 | 4.875%, 1/14/2022 | 3,453,869 | ||||||
| 2,600,000 | 4.000%, 3/30/2022 | 2,661,940 | ||||||
HSBC USA, Inc. | ||||||||
| 1,900,000 | 5.000%, 9/27/2020 | 1,990,442 | ||||||
Huntington Bancshares, Inc. | ||||||||
| 2,850,000 | 7.000%, 12/15/2020 | 3,400,477 | ||||||
Icahn Enterprises, LP | ||||||||
| 660,000 | 8.000%, 1/15/2018 | 693,000 | ||||||
ING Bank NV | ||||||||
| 3,860,000 | 2.000%, 9/25/2015g | 3,892,733 | ||||||
| 1,920,000 | 3.750%, 3/7/2017g | 2,009,549 | ||||||
ING US, Inc. | ||||||||
| 960,000 | 5.650%, 5/15/2053g | 902,400 | ||||||
| 1,760,000 | 2.900%, 2/15/2018g | 1,768,856 | ||||||
| 3,215,000 | 5.500%, 7/15/2022g | 3,419,953 | ||||||
International Lease Finance Corporation | ||||||||
| 1,950,000 | 4.875%, 4/1/2015 | 1,981,687 | ||||||
| 1,600,000 | 5.750%, 5/15/2016 | 1,644,214 | ||||||
| 1,280,000 | 2.224%, 6/15/2016e | 1,270,400 | ||||||
| 1,875,000 | 6.750%, 9/1/2016g | 2,025,000 | ||||||
Itau Unibanco Holding SA/Cayman Island | ||||||||
| 3,210,000 | 5.125%, 5/13/2023f,g | 2,997,338 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 3,840,000 | 1.176%, 1/25/2018e | 3,831,552 | ||||||
| 3,200,000 | 3.375%, 5/1/2023 | 2,979,712 | ||||||
| 3,150,000 | 5.500%, 10/15/2040 | 3,316,522 | ||||||
| 2,050,000 | 5.150%, 5/29/2049f,h | 1,952,625 | ||||||
J.P. Morgan Chase Bank NA | ||||||||
| 3,215,000 | 5.875%, 6/13/2016 | 3,584,690 | ||||||
| 2,580,000 | 6.000%, 10/1/2017 | 2,938,855 | ||||||
Kilroy Realty, LP | ||||||||
| 2,565,000 | 4.800%, 7/15/2018 | 2,735,242 | ||||||
| 1,280,000 | 3.800%, 1/15/2023 | 1,199,008 | ||||||
Liberty Mutual Group, Inc. | ||||||||
| 1,920,000 | 5.000%, 6/1/2021g | 2,025,291 | ||||||
| 3,535,000 | 4.950%, 5/1/2022g | 3,629,335 | ||||||
Liberty Property, LP | ||||||||
| 2,840,000 | 5.500%, 12/15/2016 | 3,135,323 | ||||||
| 1,875,000 | 4.750%, 10/1/2020 | 1,974,274 | ||||||
Macquarie Bank, Ltd. | ||||||||
| 3,215,000 | 5.000%, 2/22/2017g | 3,444,837 | ||||||
Merrill Lynch & Company, Inc. | ||||||||
| 3,050,000 | 6.875%, 4/25/2018 | 3,510,315 | ||||||
| 3,000,000 | 7.750%, 5/14/2038 | 3,431,652 | ||||||
MetLife Capital Trust IV | ||||||||
| 700,000 | 7.875%, 12/15/2037g | 833,635 | ||||||
MetLife Capital Trust X | ||||||||
| 2,250,000 | 9.250%, 4/8/2038g | 2,970,000 | ||||||
Mizuho Corporate Bank, Ltd. | ||||||||
| 3,225,000 | 2.550%, 3/17/2017g | 3,250,829 | ||||||
| 2,560,000 | 3.500%, 3/21/2023f,g | 2,468,035 | ||||||
Morgan Stanley | ||||||||
| 2,580,000 | 5.375%, 10/15/2015 | 2,761,823 | ||||||
| 3,730,000 | 6.625%, 4/1/2018 | 4,227,787 | ||||||
| 3,195,000 | 2.125%, 4/25/2018 | 3,057,714 | ||||||
| 3,180,000 | 5.625%, 9/23/2019 | 3,417,963 | ||||||
| 3,400,000 | 5.500%, 1/26/2020 | 3,649,516 | ||||||
| 3,205,000 | 4.875%, 11/1/2022 | 3,166,223 | ||||||
| 2,860,000 | 4.100%, 5/22/2023 | 2,642,408 | ||||||
Murray Street Investment Trust I | ||||||||
| 1,300,000 | 4.647%, 3/9/2017 | 1,376,359 | ||||||
Nationwide Building Society | ||||||||
| 2,400,000 | 6.250%, 2/25/2020g | 2,675,431 | ||||||
Nordea Bank AB | ||||||||
| 3,170,000 | 4.875%, 5/13/2021g | 3,253,054 | ||||||
Omega Healthcare Investors, Inc. | ||||||||
| 2,960,000 | 5.875%, 3/15/2024 | 3,056,200 | ||||||
ORIX Corporation | ||||||||
| 4,450,000 | 5.000%, 1/12/2016 | 4,718,780 | ||||||
PNC Financial Services Group, Inc. | ||||||||
| 1,920,000 | 4.850%, 3/1/2049h | 1,790,400 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
232
Table of Contents
Income Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (93.0%) | Value | ||||||
| Financials (29.8%) - continued | ||||||||
Preferred Term Securities XXIII, Ltd. | ||||||||
| $4,216,720 | 0.473%, 12/22/2036e,j | $ | 3,173,419 | |||||
ProLogis, LP | ||||||||
| 2,550,000 | 6.250%, 3/15/2017f | 2,849,176 | ||||||
| 1,930,000 | 6.875%, 3/15/2020 | 2,239,450 | ||||||
Prudential Financial, Inc. | ||||||||
| 1,425,000 | 6.200%, 11/15/2040 | 1,627,793 | ||||||
| 1,930,000 | 5.875%, 9/15/2042 | 1,934,825 | ||||||
| 2,565,000 | 5.625%, 6/15/2043 | 2,513,700 | ||||||
QBE Capital Funding III, Ltd. | ||||||||
| 2,240,000 | 7.250%, 5/24/2041g | 2,365,440 | ||||||
Rabobank Capital Funding Trust II | ||||||||
| 2,126,000 | 5.260%, 12/29/2049g,h | 2,136,630 | ||||||
RBS Capital Trust III | ||||||||
| 2,240,000 | 5.512%, 9/29/2049f,h | 1,635,200 | ||||||
Regions Bank | ||||||||
| 1,910,000 | 7.500%, 5/15/2018 | 2,227,837 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 1,855,000 | 5.625%, 3/15/2017 | 2,040,450 | ||||||
| 1,930,000 | 6.450%, 11/15/2019 | 2,219,930 | ||||||
Royal Bank of Scotland Group plc | ||||||||
| 2,565,000 | 6.125%, 12/15/2022 | 2,440,777 | ||||||
Santander Holdings USA, Inc. | ||||||||
| 3,855,000 | 3.000%, 9/24/2015 | 3,952,655 | ||||||
Simon Property Group, LP | ||||||||
| 1,250,000 | 10.350%, 4/1/2019 | 1,731,165 | ||||||
| 1,025,000 | 2.750%, 2/1/2023 | 940,933 | ||||||
SLM Corporation | ||||||||
| 2,380,000 | 6.250%, 1/25/2016 | 2,522,800 | ||||||
| 4,515,000 | 6.000%, 1/25/2017 | 4,718,175 | ||||||
| 1,024,000 | 4.625%, 9/25/2017 | 1,008,640 | ||||||
Societe Generale SA | ||||||||
| 3,200,000 | 6.625%, 12/11/2049h | 3,217,856 | ||||||
Standard Chartered plc | ||||||||
| 3,360,000 | 3.950%, 1/11/2023g | 3,125,627 | ||||||
State Street Corporation | ||||||||
| 2,240,000 | 3.100%, 5/15/2023 | 2,098,143 | ||||||
Swedbank AB | ||||||||
| 3,855,000 | 2.125%, 9/29/2017g | 3,831,446 | ||||||
| 2,560,000 | 1.750%, 3/12/2018g | 2,487,296 | ||||||
Swiss RE Capital I, LP | ||||||||
| 4,200,000 | 6.854%, 5/29/2049g,h | 4,336,500 | ||||||
TD Ameritrade Holding Corporation | ||||||||
| 3,775,000 | 5.600%, 12/1/2019 | 4,388,234 | ||||||
U.S. Bank National Association | ||||||||
| 3,260,000 | 3.778%, 4/29/2020 | 3,413,924 | ||||||
UnionBanCal Corporation | ||||||||
| 2,580,000 | 3.500%, 6/18/2022 | 2,525,843 | ||||||
UnitedHealth Group, Inc. | ||||||||
| 2,500,000 | 6.500%, 6/15/2037 | 2,993,635 | ||||||
Unum Group | ||||||||
| 2,500,000 | 7.125%, 9/30/2016 | 2,891,217 | ||||||
Ventas Realty, LP | ||||||||
| 3,200,000 | 4.000%, 4/30/2019 | 3,327,661 | ||||||
| 1,920,000 | 2.700%, 4/1/2020 | 1,815,439 | ||||||
Vesey Street Investment Trust I | ||||||||
| 1,300,000 | 4.404%, 9/1/2016 | 1,384,362 | ||||||
Wachovia Capital Trust III | ||||||||
| 120,000 | 5.570%, 3/15/2042e,h | 117,750 | ||||||
Wachovia Corporation | ||||||||
| 2,500,000 | 5.250%, 8/1/2014 | 2,611,325 | ||||||
WEA Finance, LLC | ||||||||
| 2,790,000 | 7.125%, 4/15/2018g | 3,311,052 | ||||||
| 1,280,000 | 6.750%, 9/2/2019g | 1,511,677 | ||||||
WellPoint, Inc. | ||||||||
| 2,550,000 | 4.650%, 1/15/2043 | 2,376,822 | ||||||
Wells Fargo & Company | ||||||||
| 3,035,000 | 3.450%, 2/13/2023 | 2,898,531 | ||||||
| 3,220,000 | 7.980%, 2/28/2049f,h | 3,638,600 | ||||||
Willis North America, Inc. | ||||||||
| 3,150,000 | 6.200%, 3/28/2017 | 3,507,985 | ||||||
ZFS Finance USA Trust II | ||||||||
| 2,500,000 | 6.450%, 12/15/2065g | 2,675,000 | ||||||
|
| |||||||
| Total | 428,482,359 | |||||||
|
| |||||||
| Foreign Government (2.1%) | ||||||||
Chile Government International Bond | ||||||||
| 4,520,000 | 3.250%, 9/14/2021 | 4,520,000 | ||||||
Colombia Government International Bond | ||||||||
| 3,220,000 | 2.625%, 3/15/2023 | 2,873,850 | ||||||
Corporacion Andina de Fomento | ||||||||
| 1,968,000 | 4.375%, 6/15/2022 | 2,003,993 | ||||||
Costa Rica Government International Bond | ||||||||
| 2,560,000 | 4.375%, 4/30/2025f,g | 2,348,800 | ||||||
Eksportfinans ASA | ||||||||
| 3,250,000 | 2.375%, 5/25/2016 | 3,111,875 | ||||||
Export-Import Bank of Korea | ||||||||
| 2,580,000 | 4.375%, 9/15/2021 | 2,614,801 | ||||||
Korea Development Bank | ||||||||
| 2,500,000 | 4.375%, 8/10/2015 | 2,632,630 | ||||||
Mexico Government International Bond | ||||||||
| 3,150,000 | 5.125%, 1/15/2020 | 3,461,850 | ||||||
Province of Ontario | ||||||||
| 4,780,000 | 3.000%, 7/16/2018 | 5,017,566 | ||||||
|
| |||||||
| Total | 28,585,365 | |||||||
|
| |||||||
| Mortgage-Backed Securities (4.0%) | ||||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 4,825,000 | 2.500%, 7/1/2028c | 4,849,125 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 4,700,000 | 3.000%, 7/1/2043c | 4,581,031 | ||||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 9,750,000 | 2.500%, 7/1/2028c | 9,806,367 | ||||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 6,787,500 | 3.000%, 7/1/2043c | 6,631,599 | ||||||
| 14,200,000 | 3.500%, 7/1/2043c | 14,415,218 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
233
Table of Contents
Income Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (93.0%) | Value | ||||||
| Mortgage-Backed Securities (4.0%) - continued | ||||||||
| $16,537,500 | 4.000%, 7/1/2043c | $ | 17,228,070 | |||||
|
| |||||||
| Total | 57,511,410 | |||||||
|
| |||||||
| Technology (2.0%) | ||||||||
Apple, Inc. | ||||||||
| 3,200,000 | 1.000%, 5/3/2018 | 3,072,954 | ||||||
| 3,200,000 | 2.400%, 5/3/2023 | 2,967,885 | ||||||
Computer Sciences Corporation | ||||||||
| 2,250,000 | 2.500%, 9/15/2015 | 2,293,963 | ||||||
EMC Corporation | ||||||||
| 3,820,000 | 2.650%, 6/1/2020 | 3,765,676 | ||||||
Hewlett-Packard Company | ||||||||
| 3,200,000 | 2.650%, 6/1/2016 | 3,261,760 | ||||||
| 2,590,000 | 4.650%, 12/9/2021 | 2,590,238 | ||||||
Motorola Solutions, Inc. | ||||||||
| 4,500,000 | 3.750%, 5/15/2022 | 4,374,522 | ||||||
| 2,235,000 | 3.500%, 3/1/2023 | 2,106,910 | ||||||
Oracle Corporation | ||||||||
| 3,200,000 | 2.500%, 10/15/2022 | 2,950,969 | ||||||
Xerox Corporation | ||||||||
| 1,250,000 | 6.400%, 3/15/2016 | 1,391,569 | ||||||
|
| |||||||
| Total | 28,776,446 | |||||||
|
| |||||||
| Transportation (3.1%) | ||||||||
American Airlines Pass Through Trust | ||||||||
| 2,560,000 | 4.000%, 7/15/2025g | 2,432,000 | ||||||
Avis Budget Car Rental, LLC | ||||||||
| 1,920,000 | 5.500%, 4/1/2023g | 1,852,800 | ||||||
British Airways plc | ||||||||
| 4,480,000 | 4.625%, 6/20/2024c,g | 4,480,000 | ||||||
Burlington Northern Santa Fe, LLC | ||||||||
| 3,200,000 | 3.000%, 3/15/2023 | 3,049,370 | ||||||
Canadian Pacific Railway Company | ||||||||
| 2,560,000 | 7.125%, 10/15/2031 | 3,165,463 | ||||||
Continental Airlines, Inc. | ||||||||
| 2,200,000 | 6.750%, 9/15/2015g | 2,260,500 | ||||||
| 957,778 | 7.250%, 11/10/2019 | 1,092,346 | ||||||
| 1,415,000 | 4.000%, 10/29/2024 | 1,390,238 | ||||||
CSX Corporation | ||||||||
| 1,293,000 | 7.900%, 5/1/2017 | 1,554,024 | ||||||
| 1,807,000 | 6.220%, 4/30/2040 | 2,104,701 | ||||||
Delta Air Lines, Inc. | ||||||||
| 2,135,422 | 4.950%, 5/23/2019f | 2,268,885 | ||||||
| 1,239,115 | 4.750%, 5/7/2020 | 1,297,973 | ||||||
ERAC USA Finance, LLC | ||||||||
| 3,450,000 | 5.250%, 10/1/2020g | 3,815,013 | ||||||
| 1,915,000 | 4.500%, 8/16/2021g | 2,002,617 | ||||||
Hertz Corporation | ||||||||
| 2,570,000 | 6.750%, 4/15/2019 | 2,717,775 | ||||||
Kansas City Southern de Mexico SA de CV | ||||||||
| 1,920,000 | 2.350%, 5/15/2020g | 1,857,516 | ||||||
Navios Maritime Holdings, Inc. | ||||||||
| 1,510,000 | 8.875%, 11/1/2017 | 1,562,850 | ||||||
Navios South American Logistics, Inc. | ||||||||
| 480,000 | 9.250%, 4/15/2019 | 514,800 | ||||||
Penske Truck Leasing Company, LP | ||||||||
| 1,945,000 | 2.500%, 3/15/2016g | 1,978,415 | ||||||
US Airways Pass Through Trust | ||||||||
| 3,200,000 | 3.950%, 11/15/2025 | 3,072,000 | ||||||
|
| |||||||
| Total | 44,469,286 | |||||||
|
| |||||||
| U.S. Government and Agencies (3.5%) | ||||||||
U.S. Treasury Bonds | ||||||||
| 1,500,000 | 4.375%, 5/15/2041 | 1,759,218 | ||||||
| 2,020,000 | 3.125%, 11/15/2041 | 1,893,750 | ||||||
| 287,000 | 3.125%, 2/15/2042 | 268,704 | ||||||
| 7,129,000 | 3.000%, 5/15/2042 | 6,498,525 | ||||||
U.S. Treasury Notes | ||||||||
| 100,000 | 0.375%, 6/15/2015 | 100,031 | ||||||
| 1,410,000 | 2.875%, 3/31/2018 | 1,512,225 | ||||||
| 2,632,000 | 1.000%, 5/31/2018 | 2,586,761 | ||||||
| 23,000 | 1.000%, 6/30/2019 | 22,109 | ||||||
| 5,160,000 | 3.625%, 2/15/2020 | 5,756,223 | ||||||
| 7,020,000 | 2.625%, 11/15/2020 | 7,314,510 | ||||||
| 7,605,000 | 3.125%, 5/15/2021 | 8,166,462 | ||||||
| 3,000,000 | 2.125%, 8/15/2021 | 2,987,814 | ||||||
| 5,090,000 | 1.750%, 5/15/2023 | 4,767,101 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
| 6,675,869 | 0.625%, 7/15/2021 | 6,889,710 | ||||||
|
| |||||||
| Total | 50,523,143 | |||||||
|
| |||||||
| U.S. Municipals (0.2%) | ||||||||
Denver, Colorado City & County Airport Revenue Bonds | ||||||||
| 2,550,000 | 5.250%, 11/15/2022 | 2,914,854 | ||||||
|
| |||||||
| Total | 2,914,854 | |||||||
|
| |||||||
| Utilities (6.7%) | ||||||||
Access Midstream Partners, LP | ||||||||
| 1,920,000 | 4.875%, 5/15/2023 | 1,780,800 | ||||||
AES Corporation | ||||||||
| 880,000 | 7.750%, 10/15/2015 | 970,200 | ||||||
Ameren Illinois Company | ||||||||
| 3,200,000 | 6.125%, 11/15/2017 | 3,732,794 | ||||||
American Electric Power Company, Inc. | ||||||||
| 2,565,000 | 2.950%, 12/15/2022 | 2,387,748 | ||||||
Arizona Public Service Company | ||||||||
| 2,880,000 | 8.750%, 3/1/2019 | 3,742,629 | ||||||
Atlas Pipeline Partners, LP | ||||||||
| 1,280,000 | 4.750%, 11/15/2021g | 1,152,000 | ||||||
Cleveland Electric Illuminating Company | ||||||||
| 1,775,000 | 5.700%, 4/1/2017 | 1,955,853 | ||||||
Commonwealth Edison Company | ||||||||
| 1,500,000 | 6.150%, 9/15/2017 | 1,748,688 | ||||||
DCP Midstream Operating, LP | ||||||||
| 2,560,000 | 3.875%, 3/15/2023 | 2,400,986 | ||||||
DPL, Inc. | ||||||||
| 3,230,000 | 6.500%, 10/15/2016 | 3,375,350 | ||||||
DTE Energy Company | ||||||||
| 3,400,000 | 6.375%, 4/15/2033 | 3,918,636 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
234
Table of Contents
Income Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (93.0%) | Value | ||||||
| Utilities (6.7%) - continued | ||||||||
El Paso Pipeline Partners | ||||||||
Operating Company, LLC | ||||||||
| $1,280,000 | 4.700%, 11/1/2042 | $ | 1,133,845 | |||||
Electricite de France SA | ||||||||
| 3,200,000 | 5.250%, 1/29/2049g,h | 3,059,200 | ||||||
Energy Transfer Partners, LP | ||||||||
| 4,380,000 | 4.650%, 6/1/2021 | 4,532,761 | ||||||
| 1,750,000 | 5.200%, 2/1/2022 | 1,851,983 | ||||||
Enterprise Products Operating, LLC | ||||||||
| 2,675,000 | 7.034%, 1/15/2068 | 3,002,688 | ||||||
| 1,930,000 | 6.650%, 4/15/2018 | 2,308,849 | ||||||
Exelon Generation Company, LLC | ||||||||
| 1,050,000 | 5.200%, 10/1/2019 | 1,154,688 | ||||||
| 2,500,000 | 4.000%, 10/1/2020 | 2,536,320 | ||||||
Florida Power Corporation | ||||||||
| 2,000,000 | 6.400%, 6/15/2038 | 2,450,066 | ||||||
Great River Energy | ||||||||
| 33,816 | 5.829%, 7/1/2017g | 36,690 | ||||||
ITC Holdings Corporation | ||||||||
| 3,000,000 | 5.875%, 9/30/2016g | 3,348,570 | ||||||
| 3,170,000 | 4.050%, 7/1/2023c | 3,175,639 | ||||||
Kinder Morgan Energy Partners, LP | ||||||||
| 1,935,000 | 5.000%, 8/15/2042 | 1,825,438 | ||||||
Markwest Energy Partners, LP | ||||||||
| 1,242,000 | 6.500%, 8/15/2021 | 1,279,260 | ||||||
National Rural Utilities | ||||||||
Cooperative Finance Corporation | ||||||||
| 2,560,000 | 4.750%, 4/30/2043 | 2,489,600 | ||||||
Nevada Power Company | ||||||||
| 2,800,000 | 6.750%, 7/1/2037 | 3,579,142 | ||||||
NiSource Finance Corporation | ||||||||
| 2,800,000 | 6.400%, 3/15/2018 | 3,252,578 | ||||||
| 3,200,000 | 5.450%, 9/15/2020 | 3,568,448 | ||||||
NRG Energy, Inc. | ||||||||
| 1,290,000 | 8.250%, 9/1/2020 | 1,389,975 | ||||||
Ohio Edison Company | ||||||||
| 1,550,000 | 6.875%, 7/15/2036 | 1,880,271 | ||||||
Ohio Power Company | ||||||||
| 2,400,000 | 6.050%, 5/1/2018 | 2,803,831 | ||||||
Pennsylvania Electric Company | ||||||||
| 3,700,000 | 5.200%, 4/1/2020 | 4,068,180 | ||||||
PPL Capital Funding, Inc. | ||||||||
| 3,205,000 | 3.500%, 12/1/2022 | 3,066,118 | ||||||
PPL Energy Supply, Inc. | ||||||||
| 1,920,000 | 4.600%, 12/15/2021 | 1,953,838 | ||||||
PSEG Power, LLC | ||||||||
| 1,300,000 | 5.320%, 9/15/2016 | 1,441,883 | ||||||
Southern California Edison Company | ||||||||
| 2,585,000 | 6.250%, 8/1/2049h | 2,714,250 | ||||||
Southern Star Central Corporation | ||||||||
| 1,600,000 | 6.750%, 3/1/2016 | 1,608,000 | ||||||
Southwestern Public Service Company | ||||||||
| 2,770,000 | 6.000%, 10/1/2036 | 3,132,684 | ||||||
|
| |||||||
| Total | 95,810,479 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $1,307,485,846) | 1,333,007,986 | |||||||
|
| |||||||
| Shares | Preferred Stock (1.5%) | |||||||
| Financials (1.5%) | |||||||
| 93,500 | Annaly Capital Management, Inc., 7.500%h | 2,302,905 | ||||||
| 22,500 | CoBank ACB, 6.250%g,h | 2,311,173 | ||||||
| 64,000 | DDR Corporation, 6.250%h | 1,517,440 | ||||||
| 128,000 | Discover Financial Services, | |||||||
6.500%h | 3,212,800 | |||||||
| 81,250 | HSBC Holdings plc, 8.000%h | 2,201,875 | ||||||
| 131,064 | PNC Financial Services Group, | |||||||
Inc., 6.125%h | 3,524,311 | |||||||
| 63,611 | RBS Capital Funding Trust VII, | |||||||
6.080%h | 1,353,642 | |||||||
| 79,875 | The Allstate Corporation, 5.100% | 2,044,001 | ||||||
| 95,940 | The Goldman Sachs Group, Inc., | |||||||
5.500%h | 2,315,992 | |||||||
| 29,275 | U.S. Bancorp, 6.500%h | 822,627 | ||||||
|
| |||||||
| Total | 21,606,766 | |||||||
|
| |||||||
Total Preferred Stock (cost $21,271,915) | 21,606,766 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (1.4%) | ||||||||
| 19,893,021 | Thrivent Cash Management Trust | 19,893,021 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $19,893,021) | 19,893,021 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (4.6%) | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 600,000 | 0.093%, 11/22/2013k,l | 599,774 | ||||||
| 400,000 | 0.106%, 12/4/2013k,l | 399,813 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 300,000 | 0.095%, 12/2/2013k | 299,877 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 300,000 | 0.100%, 12/4/2013k,l | 299,868 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
235
Table of Contents
Income Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares or Principal Amount | Short-Term Investments (4.6%) | Value | ||||||
Thrivent Cash Management Trust | ||||||||
| 64,951,645 | 0.080% | $ | 64,951,645 | |||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 66,550,977 | |||||||
|
| |||||||
| Total Investments (cost $1,481,905,575) 105.1% | $ | 1,507,745,930 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (5.1%) | (72,622,787 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 1,435,123,143 | ||||||
|
| |||||||
| 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 | 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 June 28, 2013. |
| 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 June 28, 2013, the value of these investments was $252,239,663 or 17.6% 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. |
| i | In bankruptcy. Interest is not being accrued. |
| j | 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 June 28, 2013. |
Security | Acquisition Date | Cost | ||||||
Preferred Term Securities XXIII, Ltd. | 9/14/2006 | $ | 4,216,720 | |||||
| k | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| l | At June 28, 2013, $999,595 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 | $ | 58,149,968 | ||
Gross unrealized depreciation | (32,452,155 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 25,697,813 | ||
Cost for federal income tax purposes | $ | 1,482,048,117 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
236
Table of Contents
Income Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, in valuing Income Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 4,745,779 | — | 4,745,779 | — | ||||||||||||
Capital Goods | 3,162,178 | — | 3,162,178 | — | ||||||||||||
Communications Services | 22,743,149 | — | 22,743,149 | — | ||||||||||||
Consumer Cyclical | 7,078,862 | — | 7,078,862 | — | ||||||||||||
Consumer Non-Cyclical | 8,606,904 | — | 8,606,904 | — | ||||||||||||
Energy | 2,753,715 | — | 2,753,715 | — | ||||||||||||
Financials | 1,588,020 | — | 1,588,020 | — | ||||||||||||
Technology | 7,042,832 | — | 7,042,832 | — | ||||||||||||
Transportation | 4,886,950 | — | 4,886,950 | — | ||||||||||||
Utilities | 4,078,791 | — | 4,078,791 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 10,532,782 | — | 10,532,782 | — | ||||||||||||
Basic Materials | 65,420,399 | — | 65,420,399 | — | ||||||||||||
Capital Goods | 38,410,509 | — | 38,410,509 | — | ||||||||||||
Collateralized Mortgage Obligations | 15,134,303 | — | 15,134,303 | — | ||||||||||||
Commercial Mortgage-Backed | ||||||||||||||||
Securities | 17,482,454 | — | 17,482,454 | — | ||||||||||||
Communications Services | 113,894,740 | — | 113,894,740 | — | ||||||||||||
Consumer Cyclical | 79,358,211 | — | 79,358,211 | — | ||||||||||||
Consumer Non-Cyclical | 114,025,897 | — | 114,025,897 | — | ||||||||||||
Energy | 141,675,349 | — | 141,675,349 | — | ||||||||||||
Financials | 428,482,359 | — | 425,308,940 | 3,173,419 | ||||||||||||
Foreign Government | 28,585,365 | — | 28,585,365 | — | ||||||||||||
Mortgage-Backed Securities | 57,511,410 | — | 57,511,410 | — | ||||||||||||
Technology | 28,776,446 | — | 28,776,446 | — | ||||||||||||
Transportation | 44,469,286 | — | 44,469,286 | — | ||||||||||||
U.S. Government and Agencies | 50,523,143 | — | 50,523,143 | — | ||||||||||||
U.S. Municipals | 2,914,854 | — | 2,914,854 | — | ||||||||||||
Utilities | 95,810,479 | — | 95,810,479 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 21,606,766 | 19,295,593 | 2,311,173 | — | ||||||||||||
Collateral Held for Securities Loaned | 19,893,021 | 19,893,021 | — | — | ||||||||||||
Short-Term Investments | 66,550,977 | 64,951,645 | 1,599,332 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,507,745,930 | $ | 104,140,259 | $ | 1,400,432,252 | $ | 3,173,419 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 6,147,151 | 6,147,151 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 6,147,151 | $ | 6,147,151 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 3,984,353 | 3,984,353 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 3,984,353 | $ | 3,984,353 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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.
237
Table of Contents
Income Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||
2-Yr. U.S. Treasury Bond Futures | 315 | September 2013 | $ | 69,438,773 | $ | 69,300,000 | ($ | 138,773 | ) | |||||||||
5-Yr. U.S. Treasury Bond Futures | (595 | ) | September 2013 | (73,271,507 | ) | (72,022,894 | ) | 1,248,613 | ||||||||||
10-Yr. U.S. Treasury Bond Futures | (1,250 | ) | September 2013 | (163,101,663 | ) | (158,203,125 | ) | 4,898,538 | ||||||||||
30-Yr. U.S. Treasury Bond Futures | 600 | September 2013 | 85,351,830 | 81,506,250 | (3,845,580 | ) | ||||||||||||
Total Futures Contracts | $ | 2,162,798 | ||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 28, 2013, 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 | 6,147,151 | ||||
Total Interest Rate Contracts | 6,147,151 | |||||
|
| |||||
Total Asset Derivatives | $ | 6,147,151 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 3,984,353 | ||||
Total Interest Rate Contracts | 3,984,353 | |||||
|
| |||||
Total Liability Derivatives | $ | 3,984,353 | ||||
|
| |||||
| * | 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 June 28, 2013, 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 | (1,337,811 | ) | |||
Total Interest Rate Contracts | (1,337,811 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (2,270,763 | ) | |||
Total Credit Contracts | (2,270,763 | ) | ||||
|
| |||||
Total | ($ | 3,608,574 | ) | |||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
238
Table of Contents
Income Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 28, 2013, 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 | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 2,313,757 | ||||
Total Interest Rate Contracts | 2,313,757 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 917,083 | ||||
Total Credit Contracts | 917,083 | |||||
|
| |||||
Total | $ | 3,230,840 | ||||
|
| |||||
The following table presents Income Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | ||||||||||||
Interest Rate Contracts | $ | 397,690,826 | 25.5 | % | N/A | N/A | ||||||||||
Credit Contracts | N/A | N/A | $ | 11,002,428 | 0.7 | % | ||||||||||
| * | 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 Income Portfolio, is as follows:
Portfolio | Value December 31, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 14,562,571 | $ | 113,129,850 | $ | 107,799,400 | 19,893,021 | $ | 19,893,021 | $ | 18,486 | |||||||||||||
Cash Management Trust- Short Term Investment | 118,125,978 | 185,531,218 | 238,705,551 | 64,951,645 | 64,951,645 | 51,838 | ||||||||||||||||||
Total Value and Income Earned | 132,688,549 | 84,844,666 | 70,324 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
239
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (107.2%) | Value | ||||||
| Asset-Backed Securities (3.0%) | |||||||
Conseco Financial Corporation | ||||||||
| $ | 14,360 | 6.330%, 11/1/2029 | $ | 15,071 | ||||
Countrywide Home Loans, Inc. | ||||||||
| 258,696 | 6.085%, 6/25/2021a | 227,358 | ||||||
Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 350,987 | 4.078%, 12/25/2036 | 229,896 | ||||||
First Horizon ABS Trust | ||||||||
| 780,152 | 0.323%, 10/25/2026a,b | 710,478 | ||||||
| 748,496 | 0.353%, 10/25/2034a,b | 569,571 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 955,723 | 0.373%, 8/25/2035a,b | 776,417 | ||||||
| 1,164,824 | 0.373%, 12/25/2036a,b | 977,267 | ||||||
IndyMac Seconds Asset-Backed Trust | ||||||||
| 483,973 | 0.363%, 10/25/2036a,b | 109,024 | ||||||
Master Credit Card Trust | ||||||||
| 750,000 | 0.780%, 4/21/2017c | 744,422 | ||||||
Wachovia Asset Securitization, Inc. | ||||||||
| 978,705 | 0.333%, 7/25/2037a,b,d | 816,405 | ||||||
|
| |||||||
| Total | 5,175,909 | |||||||
|
| |||||||
| Basic Materials (1.0%) | |||||||
Dow Chemical Company | ||||||||
| 27,000 | 7.375%, 11/1/2029 | 34,002 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| 250,000 | 3.550%, 3/1/2022 | 227,089 | ||||||
Georgia-Pacific, LLC | ||||||||
| 375,000 | 3.734%, 7/15/2023c | 364,744 | ||||||
Rio Tinto Alcan, Inc. | ||||||||
| 500,000 | 5.200%, 1/15/2014 | 511,298 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
| 200,000 | 1.800%, 10/23/2015c | 200,063 | ||||||
| 325,000 | 2.450%, 10/25/2017c | 315,179 | ||||||
|
| |||||||
| Total | 1,652,375 | |||||||
|
| |||||||
| Capital Goods (0.9%) | |||||||
Eaton Corporation | ||||||||
| 300,000 | 2.750%, 11/2/2022c | 280,656 | ||||||
John Deere Capital Corporation | ||||||||
| 325,000 | 1.700%, 1/15/2020 | 307,373 | ||||||
Precision Castparts Corporation | ||||||||
| 300,000 | 1.250%, 1/15/2018 | 291,661 | ||||||
Roper Industries, Inc. | ||||||||
| 300,000 | 1.850%, 11/15/2017 | 295,246 | ||||||
United Technologies Corporation | ||||||||
| 275,000 | 6.050%, 6/1/2036 | 332,993 | ||||||
|
| |||||||
| Total | 1,507,929 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (0.1%) | |||||||
Bear Stearns Mortgage Funding Trust | ||||||||
| 140,122 | 0.473%, 8/25/2036b | 71,202 | ||||||
|
| |||||||
| Total | 71,202 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (4.6%) | |||||||
Banc of America Commercial Mortgage, Inc. | ||||||||
| 645,000 | 5.857%, 6/10/2049 | 722,237 | ||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 98,931 | 0.343%, 3/15/2022b,c | 98,903 | ||||||
Commercial Mortgage Pass-Through Certificates | ||||||||
| 1,833,319 | 0.323%, 12/15/2020b,c | 1,792,093 | ||||||
| 500,000 | 5.306%, 12/10/2046 | 551,610 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 985,574 | 0.363%, 10/15/2021b,c | 969,014 | ||||||
| 225,892 | 5.467%, 9/15/2039 | 248,857 | ||||||
GE Capital Commercial Mortgage Corporation | ||||||||
| 25,133 | 4.641%, 3/10/2040 | 25,153 | ||||||
GS Mortgage Securities Corporation II | ||||||||
| 2,000,000 | 1.260%, 3/6/2020b,c | 2,005,038 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
| 900,000 | 4.786%, 10/15/2029 | 928,822 | ||||||
Morgan Stanley Capital I | ||||||||
| 500,000 | 3.224%, 7/15/2049 | 524,111 | ||||||
|
| |||||||
| Total | 7,865,838 | |||||||
|
| |||||||
| Communications Services (1.1%) | |||||||
AT&T, Inc. | ||||||||
| 350,000 | 1.400%, 12/1/2017 | 340,267 | ||||||
BellSouth Corporation | ||||||||
| 27,000 | 6.875%, 10/15/2031 | 30,614 | ||||||
British Sky Broadcasting Group plc | ||||||||
| 200,000 | 3.125%, 11/26/2022c | 187,023 | ||||||
Cox Communications, Inc. | ||||||||
| 200,000 | 3.250%, 12/15/2022c | 188,165 | ||||||
| 135,000 | 6.450%, 12/1/2036c | 151,436 | ||||||
Crown Castle Towers, LLC | ||||||||
| 500,000 | 4.174%, 8/15/2017c | 528,430 | ||||||
DIRECTV Holdings, LLC | ||||||||
| 250,000 | 1.750%, 1/15/2018 | 241,356 | ||||||
NBC Universal Enterprise, Inc. | ||||||||
| 250,000 | 1.662%, 4/15/2018c | 243,335 | ||||||
Verizon Global Funding Corporation | ||||||||
| 27,000 | 7.750%, 12/1/2030 | 34,979 | ||||||
|
| |||||||
| Total | 1,945,605 | |||||||
|
| |||||||
| Consumer Cyclical (1.7%) | |||||||
Amazon.com, Inc. | ||||||||
| 250,000 | 1.200%, 11/29/2017 | 241,783 | ||||||
California Institute of Technology | ||||||||
| 325,000 | 4.700%, 11/1/2111 | 300,429 | ||||||
Daimler Finance North America, LLC | ||||||||
| 27,000 | 8.500%, 1/18/2031 | 38,202 | ||||||
Dartmouth College | ||||||||
| 250,000 | 3.760%, 6/1/2043 | 225,560 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
240
Table of Contents
Bond Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (107.2%) | Value | ||||||
| Consumer Cyclical (1.7%) - continued | |||||||
Ford Motor Credit Company, LLC | ||||||||
| $ | 150,000 | 4.207%, 4/15/2016 | $ | 156,697 | ||||
| 350,000 | 3.000%, 6/12/2017 | 350,738 | ||||||
Home Depot, Inc. | ||||||||
| 250,000 | 2.700%, 4/1/2023 | 237,014 | ||||||
President and Fellows of Harvard College | ||||||||
| 500,000 | 3.619%, 10/1/2037 | 453,453 | ||||||
The Board of Trustees of The Leland Stanford Junior University | ||||||||
| 550,000 | 3.563%, 6/1/2044 | 490,764 | ||||||
Wal-Mart Stores, Inc. | ||||||||
| 327,000 | 7.550%, 2/15/2030 | 448,579 | ||||||
|
| |||||||
| Total | 2,943,219 | |||||||
|
| |||||||
| Consumer Non-Cyclical (2.6%) | |||||||
AbbVie, Inc. | ||||||||
| 350,000 | 1.750%, 11/6/2017c | 342,901 | ||||||
Allergan, Inc. | ||||||||
| 325,000 | 1.350%, 3/15/2018 | 316,672 | ||||||
Anheuser-Busch InBev | ||||||||
Worldwide, Inc. | ||||||||
| 300,000 | 1.375%, 7/15/2017 | 295,260 | ||||||
Cargill, Inc. | ||||||||
| 325,000 | 4.100%, 11/1/2042c | 289,517 | ||||||
Colgate-Palmolive Company | ||||||||
| 500,000 | 1.250%, 5/1/2014 | 503,375 | ||||||
ConAgra Foods, Inc. | ||||||||
| 200,000 | 1.300%, 1/25/2016 | 200,330 | ||||||
Dr Pepper Snapple Group, Inc. | ||||||||
| 250,000 | 2.700%, 11/15/2022 | 232,083 | ||||||
Fomento Economico Mexicano SAB de CV | ||||||||
| 200,000 | 2.875%, 5/10/2023 | 181,084 | ||||||
Heineken NV | ||||||||
| 50,000 | 1.400%, 10/1/2017c | 48,580 | ||||||
| 300,000 | 2.750%, 4/1/2023c | 275,039 | ||||||
McKesson Corporation | ||||||||
| 275,000 | 2.700%, 12/15/2022 | 256,407 | ||||||
Medtronic, Inc. | ||||||||
| 250,000 | 1.375%, 4/1/2018 | 243,040 | ||||||
Mylan, Inc. | ||||||||
| 250,000 | 7.875%, 7/15/2020c | 288,487 | ||||||
| 250,000 | 3.125%, 1/15/2023c | 228,540 | ||||||
Sanofi | ||||||||
| 250,000 | 1.250%, 4/10/2018 | 242,147 | ||||||
Wyeth, LLC | ||||||||
| 350,000 | 6.000%, 2/15/2036 | 419,136 | ||||||
|
| |||||||
| Total | 4,362,598 | |||||||
|
| |||||||
| Energy (1.4%) | |||||||
Chevron Corporation | ||||||||
| 150,000 | 2.427%, 6/24/2020 | 149,145 | ||||||
| 300,000 | 3.191%, 6/24/2023 | 298,545 | ||||||
ConocoPhillips Holding Company | ||||||||
| 27,000 | 6.950%, 4/15/2029 | 34,390 | ||||||
Energy Transfer Partners, LP | ||||||||
| 450,000 | 6.700%, 7/1/2018 | 528,458 | ||||||
EOG Resources, Inc. | ||||||||
| 250,000 | 2.625%, 3/15/2023 | 233,936 | ||||||
Marathon Oil Corporation | ||||||||
| 325,000 | 2.800%, 11/1/2022 | 300,677 | ||||||
Petro-Canada | ||||||||
| 300,000 | 6.800%, 5/15/2038 | 347,665 | ||||||
Phillips 66 | ||||||||
| 325,000 | 1.950%, 3/5/2015 | 330,040 | ||||||
Rowan Companies, Inc. | ||||||||
| 200,000 | 4.875%, 6/1/2022 | 206,371 | ||||||
|
| |||||||
| Total | 2,429,227 | |||||||
|
| |||||||
| Financials (8.7%) | |||||||
American Tower Trust I | ||||||||
| 225,000 | 1.551%, 3/15/2018c | 221,102 | ||||||
Australia and New Zealand Banking Group, Ltd. | ||||||||
| 350,000 | 1.000%, 10/6/2015c | 351,189 | ||||||
AXA SA | ||||||||
| 27,000 | 8.600%, 12/15/2030 | 32,670 | ||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | ||||||||
| 200,000 | 4.125%, 11/9/2022c | 187,500 | ||||||
Bank of America Corporation | ||||||||
| 250,000 | 1.500%, 10/9/2015 | 249,432 | ||||||
| 150,000 | 5.875%, 2/7/2042 | 167,702 | ||||||
Barclays Bank plc | ||||||||
| 300,000 | 5.000%, 9/22/2016 | 331,434 | ||||||
Berkshire Hathaway Finance Corporation | ||||||||
| 500,000 | 1.600%, 5/15/2017 | 497,898 | ||||||
Boston Properties, LP | ||||||||
| 300,000 | 3.125%, 9/1/2023 | 277,110 | ||||||
Camden Property Trust | ||||||||
| 100,000 | 2.950%, 12/15/2022 | 90,856 | ||||||
Chubb Corporation | ||||||||
| 350,000 | 6.500%, 5/15/2038 | 440,769 | ||||||
Citigroup, Inc. | ||||||||
| 164,000 | 1.214%, 4/1/2014b,e | 164,669 | ||||||
| 250,000 | 4.700%, 5/29/2015 | 265,544 | ||||||
| 250,000 | 4.050%, 7/30/2022 | 240,277 | ||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||||
| 250,000 | 4.750%, 1/15/2020c | 270,890 | ||||||
Credit Suisse AG Guernsey | ||||||||
| 650,000 | 1.625%, 3/6/2015c | 659,425 | ||||||
DnB Boligkreditt AS | ||||||||
| 200,000 | 1.450%, 3/21/2018c | 194,180 | ||||||
Duke Realty, LP | ||||||||
| 250,000 | 3.875%, 10/15/2022 | 236,811 | ||||||
General Electric Capital Corporation | ||||||||
| 475,000 | 5.875%, 1/14/2038 | 522,859 | ||||||
Goldman Sachs Group, Inc. | ||||||||
| 500,000 | 2.375%, 1/22/2018 | 490,916 | ||||||
HCP, Inc. | ||||||||
| 325,000 | 3.750%, 2/1/2016 | 342,200 | ||||||
Health Care REIT, Inc. | ||||||||
| 450,000 | 6.125%, 4/15/2020 | 511,201 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
241
Table of Contents
Bond Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (107.2%) | Value | ||||||
| Financials (8.7%) - continued | |||||||
HSBC Holdings plc | ||||||||
| $ | 300,000 | 6.800%, 6/1/2038 | $ | 345,049 | ||||
ING Bank NV | ||||||||
| 400,000 | 2.625%, 12/5/2022c | 375,120 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 350,000 | 2.000%, 8/15/2017 | 347,356 | ||||||
| 250,000 | 1.176%, 1/25/2018b | 249,450 | ||||||
Liberty Mutual Group, Inc. | ||||||||
| 150,000 | 4.950%, 5/1/2022c | 154,003 | ||||||
Macquarie Bank, Ltd. | ||||||||
| 200,000 | 5.000%, 2/22/2017c | 214,298 | ||||||
Marsh & McLennan Companies, Inc. | ||||||||
| 185,000 | 5.750%, 9/15/2015 | 203,124 | ||||||
MassMutual Global Funding II | ||||||||
| 350,000 | 2.000%, 4/5/2017c | 350,719 | ||||||
Morgan Stanley | ||||||||
| 150,000 | 4.100%, 5/22/2023 | 138,588 | ||||||
National Australia Bank, Ltd. | ||||||||
| 325,000 | 2.000%, 6/20/2017c | 329,550 | ||||||
Nordea Bank AB | ||||||||
| 325,000 | 3.125%, 3/20/2017c | 334,451 | ||||||
Northern Trust Corporation | ||||||||
| 500,000 | 3.450%, 11/4/2020 | 514,763 | ||||||
PNC Financial Services Group, Inc. | ||||||||
| 325,000 | 2.854%, 11/9/2022 | 296,464 | ||||||
Preferred Term Securities XXIII, Ltd. | ||||||||
| 903,583 | 0.473%, 12/22/2036b,d | 680,018 | ||||||
Principal Life Global Funding II | ||||||||
| 300,000 | 1.000%, 12/11/2015c | 300,056 | ||||||
Prudential Covered Trust | ||||||||
| 270,000 | 2.997%, 9/30/2015c | 278,618 | ||||||
Realty Income Corporation | ||||||||
| 300,000 | 2.000%, 1/31/2018 | 291,106 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
| 300,000 | 1.750%, 3/19/2018c | 291,750 | ||||||
Standard Chartered plc | ||||||||
| 200,000 | 3.950%, 1/11/2023c | 186,049 | ||||||
Svenska Handelsbanken AB | ||||||||
| 125,000 | 1.625%, 3/21/2018 | 121,726 | ||||||
Swedbank AB | ||||||||
| 300,000 | 1.750%, 3/12/2018c | 291,480 | ||||||
Swedbank Hypotek AB | ||||||||
| 400,000 | 1.375%, 3/28/2018c,e | 386,640 | ||||||
UBS AG/London | ||||||||
| 500,000 | 1.875%, 1/23/2015c | 508,900 | ||||||
UnitedHealth Group, Inc. | ||||||||
| 325,000 | 1.400%, 10/15/2017 | 319,098 | ||||||
Ventas Realty, LP | ||||||||
| 250,000 | 2.700%, 4/1/2020 | 236,385 | ||||||
| 175,000 | 4.250%, 3/1/2022 | 176,500 | ||||||
Washington Mutual Bank | ||||||||
| 500,000 | 5.500%, 1/15/2013f,g | 1 | ||||||
Wells Fargo & Company | ||||||||
| 150,000 | 3.450%, 2/13/2023 | 143,255 | ||||||
|
| |||||||
| Total | 14,811,151 | |||||||
|
| |||||||
| Foreign Government (2.8%) | |||||||
African Development Bank | ||||||||
| 250,000 | 6.875%, 10/15/2015 | 278,550 | ||||||
Bank Nederlandse Gemeenten NV | ||||||||
| 500,000 | 4.375%, 2/16/2021c | 554,350 | ||||||
Chile Government International Bond | ||||||||
| 350,000 | 3.875%, 8/5/2020 | 367,500 | ||||||
Export Development Canada | ||||||||
| 150,000 | 0.750%, 12/15/2017 | 146,036 | ||||||
Hydro-Quebec | ||||||||
| 27,000 | 8.400%, 1/15/2022 | 36,691 | ||||||
Kommunalbanken AS | ||||||||
| 470,000 | 1.000%, 9/26/2017c | 458,405 | ||||||
Kommuninvest I Sverige AB | ||||||||
| 325,000 | 1.000%, 10/24/2017c | 317,362 | ||||||
Province of Manitoba | ||||||||
| 600,000 | 1.300%, 4/3/2017 | 603,000 | ||||||
Province of New Brunswick | ||||||||
| 125,000 | 2.750%, 6/15/2018 | 129,999 | ||||||
Province of Nova Scotia | ||||||||
| 250,000 | 7.250%, 7/27/2013 | 250,053 | ||||||
Province of Quebec | ||||||||
| 400,000 | 4.875%, 5/5/2014 | 415,040 | ||||||
| 400,000 | 7.500%, 7/15/2023 | 532,040 | ||||||
Sweden Government International Bond | ||||||||
| 325,000 | 0.375%, 12/22/2015c | 322,790 | ||||||
| 300,000 | 0.375%, 3/29/2016c | 297,330 | ||||||
|
| |||||||
| Total | 4,709,146 | |||||||
|
| |||||||
| Mortgage-Backed Securities (30.1%) | |||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 147 | 6.000%, 9/1/2013 | 147 | ||||||
| 1,317 | 6.000%, 4/1/2014 | 1,325 | ||||||
| 791 | 7.000%, 10/1/2014 | 813 | ||||||
| 2,202 | 6.500%, 3/1/2016 | 2,305 | ||||||
| 5,700 | 6.000%, 6/1/2016 | 6,044 | ||||||
| 4,643 | 6.000%, 9/1/2016 | 4,923 | ||||||
| 82,686 | 7.000%, 6/1/2017 | 88,641 | ||||||
| 93,395 | 5.500%, 12/1/2017 | 99,768 | ||||||
| 4,775,000 | 2.500%, 7/1/2028h | 4,798,875 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 3,849 | 6.500%, 4/1/2024 | 4,374 | ||||||
| 2,611 | 7.000%, 5/1/2024 | 3,012 | ||||||
| 1,107 | 7.500%, 8/1/2025 | 1,268 | ||||||
| 10,054 | 8.500%, 11/1/2025 | 11,823 | ||||||
| 1,118 | 8.000%, 1/1/2026 | 1,296 | ||||||
| 1,359 | 7.000%, 4/1/2027 | 1,584 | ||||||
| 1,517 | 7.500%, 7/1/2027 | 1,739 | ||||||
| 4,101 | 7.000%, 8/1/2027 | 4,781 | ||||||
| 1,625 | 7.500%, 10/1/2027 | 1,866 | ||||||
| 2,094 | 7.000%, 5/1/2028 | 2,448 | ||||||
| 13,042 | 6.000%, 8/1/2028 | 14,470 | ||||||
| 4,174 | 6.500%, 2/1/2029 | 4,796 | ||||||
| 9,060 | 6.000%, 3/1/2029 | 10,052 | ||||||
| 6,801 | 7.500%, 10/1/2029 | 7,832 | ||||||
| 2,782 | 7.500%, 11/1/2029 | 3,204 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
242
Table of Contents
Bond Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (107.2%) | Value | ||||||
| Mortgage-Backed Securities (30.1%) - continued | |||||||
| $ | 5,034 | 6.500%, 5/1/2031 | $ | 5,744 | ||||
| 14,823 | 6.000%, 6/1/2031 | 16,532 | ||||||
| 4,925 | 7.000%, 6/1/2031 | 5,710 | ||||||
| 4,440 | 7.000%, 6/1/2031 | 5,148 | ||||||
| 6,208 | 6.000%, 7/1/2031 | 6,924 | ||||||
| 5,456 | 7.000%, 9/1/2031 | 6,326 | ||||||
| 9,525 | 6.500%, 10/1/2031 | 10,866 | ||||||
| 14,473 | 6.000%, 1/1/2032 | 16,142 | ||||||
| 64,068 | 6.000%, 1/1/2032 | 71,457 | ||||||
| 14,242 | 7.000%, 5/1/2032 | 16,452 | ||||||
| 70,735 | 6.500%, 7/1/2032 | 80,466 | ||||||
| 86,162 | 6.500%, 10/1/2032 | 98,016 | ||||||
| 103,259 | 6.000%, 11/1/2032 | 115,210 | ||||||
| 2,400,000 | 3.000%, 7/1/2043h | 2,339,250 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 330 | 6.000%, 12/1/2013 | 332 | ||||||
| 7,150,000 | 2.500%, 7/1/2028h | 7,191,336 | ||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 2,423 | 10.500%, 8/1/2020 | 2,755 | ||||||
| 1,858 | 8.000%, 12/1/2024 | 2,140 | ||||||
| 3,090 | 7.000%, 10/1/2025 | 3,577 | ||||||
| 10,206 | 6.500%, 11/1/2025 | 11,593 | ||||||
| 366 | 8.500%, 12/1/2025 | 430 | ||||||
| 1,734 | 7.500%, 1/1/2026 | 1,983 | ||||||
| 2,580 | 6.500%, 5/1/2026 | 2,949 | ||||||
| 1,378 | 8.000%, 9/1/2026 | 1,598 | ||||||
| 4,538 | 7.500%, 2/1/2027 | 5,195 | ||||||
| 3,260 | 7.000%, 3/1/2027 | 3,786 | ||||||
| 4,024 | 9.000%, 11/1/2027 | 4,777 | ||||||
| 1,839 | 7.000%, 1/1/2028 | 2,142 | ||||||
| 28,103 | 7.500%, 2/1/2028 | 32,220 | ||||||
| 1,760 | 6.000%, 5/1/2028 | 1,957 | ||||||
| 832 | 6.500%, 9/1/2028 | 954 | ||||||
| 5,567 | 7.000%, 10/1/2028 | 6,501 | ||||||
| 20,975 | 7.500%, 11/1/2028 | 24,012 | ||||||
| 4,603 | 6.500%, 2/1/2029 | 5,284 | ||||||
| 12,785 | 6.000%, 3/1/2029 | 14,217 | ||||||
| 5,301 | 7.000%, 3/1/2029 | 6,192 | ||||||
| 17,984 | 6.500%, 4/1/2029 | 20,670 | ||||||
| 870 | 6.500%, 8/1/2029 | 1,000 | ||||||
| 5,589 | 7.500%, 8/1/2029 | 6,427 | ||||||
| 2,246 | 7.000%, 10/1/2029 | 2,624 | ||||||
| 5,194 | 7.500%, 12/1/2029 | 5,972 | ||||||
| 3,069 | 8.000%, 4/1/2030 | 3,574 | ||||||
| 1,287 | 7.500%, 12/1/2030 | 1,482 | ||||||
| 6,232 | 6.000%, 5/1/2031 | 6,864 | ||||||
| 72,516 | 6.500%, 4/1/2032 | 83,473 | ||||||
| 55,517 | 6.500%, 5/1/2032 | 63,906 | ||||||
| 36,233 | 7.000%, 5/1/2032 | 42,271 | ||||||
| 177,947 | 6.500%, 7/1/2032 | 204,836 | ||||||
| 103,880 | 6.500%, 8/1/2032 | 119,576 | ||||||
| 7,800,000 | 3.000%, 7/1/2043h | 7,620,843 | ||||||
| 11,875,000 | 3.500%, 7/1/2043h | 12,054,980 | ||||||
| 14,887,500 | 4.000%, 7/1/2043h | 15,509,169 | ||||||
Government National Mortgage Association 30-Yr. Pass Through | ||||||||
| 4,219 | 7.500%, 3/15/2023 | 4,748 | ||||||
| 2,217 | 9.000%, 9/15/2024 | 2,590 | ||||||
| 2,391 | 8.000%, 6/15/2025 | 2,752 | ||||||
| 1,700 | 8.000%, 9/15/2026 | 1,958 | ||||||
| 7,333 | 7.500%, 10/15/2027 | 8,361 | ||||||
| 5,435 | 7.000%, 11/15/2027 | 6,341 | ||||||
| 1,451 | 7.000%, 1/15/2028 | 1,697 | ||||||
| 4,702 | 6.500%, 7/15/2028 | 5,407 | ||||||
| 3,979 | 7.000%, 8/15/2028 | 4,655 | ||||||
| 22,460 | 7.500%, 11/15/2028 | 25,651 | ||||||
| 6,492 | 6.500%, 12/15/2028 | 7,465 | ||||||
| 25,999 | 6.500%, 3/15/2029 | 29,946 | ||||||
| 1,127 | 6.500%, 4/15/2029 | 1,298 | ||||||
| 4,159 | 8.000%, 10/15/2030 | 4,813 | ||||||
| 8,571 | 7.500%, 1/15/2031 | 9,829 | ||||||
| 4,447 | 7.000%, 4/15/2031 | 5,195 | ||||||
| 10,329 | 6.500%, 6/15/2031 | 11,931 | ||||||
| 13,025 | 7.000%, 9/15/2031 | 15,217 | ||||||
| 137,870 | 6.500%, 1/15/2032 | 159,431 | ||||||
| 19,378 | 6.500%, 4/15/2032 | 22,409 | ||||||
|
| |||||||
| Total | 51,276,920 | |||||||
|
| |||||||
| Technology (0.8%) | |||||||
Apple, Inc. | ||||||||
| 400,000 | 2.400%, 5/3/2023 | 370,986 | ||||||
International Business Machines Corporation | ||||||||
| 500,000 | 1.000%, 8/5/2013 | 497,955 | ||||||
Motorola Solutions, Inc. | ||||||||
| 250,000 | 3.500%, 3/1/2023 | 235,672 | ||||||
Oracle Corporation | ||||||||
| 325,000 | 1.200%, 10/15/2017 | 315,647 | ||||||
|
| |||||||
| Total | 1,420,260 | |||||||
|
| |||||||
| Transportation (0.9%) | |||||||
Canadian Pacific Railway Company | ||||||||
| 300,000 | 7.125%, 10/15/2031 | 370,953 | ||||||
Continental Airlines, Inc. | ||||||||
| 350,000 | 4.150%, 4/11/2024 | 343,000 | ||||||
Delta Air Lines, Inc. | ||||||||
| 246,395 | 4.950%, 5/23/2019 | 261,795 | ||||||
Union Pacific Corporation | ||||||||
| 437,000 | 4.163%, 7/15/2022 | 464,937 | ||||||
|
| |||||||
| Total | 1,440,685 | |||||||
|
| |||||||
| U.S. Government and Agencies (44.5%) | |||||||
Federal Agricultural Mortgage Corporation | ||||||||
| 1,000,000 | 2.125%, 9/15/2015 | 1,033,834 | ||||||
Federal Farm Credit Banks | ||||||||
| 400,000 | 2.210%, 8/1/2024 | 366,607 | ||||||
Federal Home Loan Banks | ||||||||
| 5,000,000 | 0.330%, 9/16/2013b | 5,002,805 | ||||||
| 850,000 | 4.500%, 9/16/2013 | 857,715 | ||||||
| 1,000,000 | 3.625%, 10/18/2013 | 1,010,290 | ||||||
| 400,000 | 0.375%, 6/24/2016 | 395,506 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (107.2%) | Value | ||||||
| U.S. Government and Agencies (44.5%) - continued | |||||||
Federal Home Loan Mortgage Corporation | ||||||||
| $ | 1,000,000 | 1.250%, 8/1/2019 | $ | 953,591 | ||||
| 325,000 | 1.250%, 10/2/2019 | 307,910 | ||||||
| 1,300,000 | 1.375%, 5/1/2020e | 1,231,823 | ||||||
| 350,000 | 6.750%, 3/15/2031 | 479,485 | ||||||
Federal National Mortgage Association | ||||||||
| 2,000,000 | 0.375%, 7/5/2016e | 1,975,922 | ||||||
| 2,690,000 | 0.875%, 5/21/2018e | 2,599,783 | ||||||
| 500,000 | 5.960%, 9/11/2028 | 632,932 | ||||||
| 100,000 | 6.250%, 5/15/2029 | 129,997 | ||||||
Resolution Funding Corporation | ||||||||
| 200,000 | 8.125%, 10/15/2019 | 267,477 | ||||||
Tennessee Valley Authority | ||||||||
| 350,000 | 5.250%, 9/15/2039 | 393,794 | ||||||
U.S. Treasury Bonds | ||||||||
| 2,500,000 | 5.250%, 11/15/2028 | 3,178,125 | ||||||
| 500,000 | 3.500%, 2/15/2039 | 508,125 | ||||||
| 6,300,000 | 3.000%, 5/15/2042 | 5,742,841 | ||||||
U.S. Treasury Notes | ||||||||
| 2,500,000 | 2.375%, 8/31/2014 | 2,562,695 | ||||||
| 7,350,000 | 0.250%, 10/31/2014 | 7,352,874 | ||||||
| 11,750,000 | 0.375%, 2/15/2016 | 11,697,677 | ||||||
| 1,425,000 | 2.625%, 2/29/2016 | 1,503,042 | ||||||
| 5,150,000 | 1.000%, 10/31/2016 | 5,180,581 | ||||||
| 3,250,000 | 3.000%, 2/28/2017 | 3,491,719 | ||||||
| 1,000,000 | 2.250%, 11/30/2017 | 1,044,922 | ||||||
| 600,000 | 0.875%, 1/31/2018 | 589,313 | ||||||
| 4,250,000 | 2.375%, 6/30/2018 | 4,454,531 | ||||||
| 9,575,000 | 1.375%, 1/31/2020 | 9,308,700 | ||||||
| 1,370,000 | 1.625%, 8/15/2022 | 1,285,338 | ||||||
| 400,000 | 1.750%, 5/15/2023 | 374,625 | ||||||
|
| |||||||
| Total | 75,914,579 | |||||||
|
| |||||||
| Utilities (3.0%) | |||||||
American Electric Power Company, Inc. | ||||||||
| 300,000 | 1.650%, 12/15/2017 | 291,638 | ||||||
CenterPoint Energy Houston Electric, LLC | ||||||||
| 400,000 | 5.600%, 7/1/2023 | 451,307 | ||||||
Commonwealth Edison Company | ||||||||
| 275,000 | 5.900%, 3/15/2036 | 323,420 | ||||||
DCP Midstream Operating, LP | ||||||||
| 250,000 | 3.875%, 3/15/2023 | 234,471 | ||||||
Duke Energy Carolinas, LLC | ||||||||
| 325,000 | 4.000%, 9/30/2042 | 294,432 | ||||||
El Paso Pipeline Partners Operating Company, LLC | ||||||||
| 325,000 | 4.700%, 11/1/2042 | 287,890 | ||||||
Entergy Arkansas, Inc. | ||||||||
| 275,000 | 3.050%, 6/1/2023 | 262,298 | ||||||
FirstEnergy Corporation | ||||||||
| 27,000 | 7.375%, 11/15/2031 | 28,474 | ||||||
Kansas City Power & Light Company | ||||||||
| 250,000 | 3.150%, 3/15/2023 | 237,335 | ||||||
Kinder Morgan Energy Partners, LP | ||||||||
| 275,000 | 5.300%, 9/15/2020 | 305,358 | ||||||
National Rural Utilities Cooperative Finance Corporation | ||||||||
| 27,000 | 8.000%, 3/1/2032 | 37,416 | ||||||
NiSource Finance Corporation | ||||||||
| 350,000 | 3.850%, 2/15/2023 | 339,616 | ||||||
NSTAR Electric Company | ||||||||
| 325,000 | 2.375%, 10/15/2022 | 299,687 | ||||||
ONEOK Partners, LP | ||||||||
| 275,000 | 6.650%, 10/1/2036 | 305,464 | ||||||
PPL Capital Funding, Inc. | ||||||||
| 325,000 | 3.500%, 12/1/2022 | 310,917 | ||||||
Public Service Company of Colorado | ||||||||
| 350,000 | 3.600%, 9/15/2042 | 302,288 | ||||||
Sempra Energy | ||||||||
| 325,000 | 2.300%, 4/1/2017 | 329,170 | ||||||
Southern California Edison Company | ||||||||
| 225,000 | 5.000%, 1/15/2014 | 230,414 | ||||||
Southern California Gas Company | ||||||||
| 325,000 | 3.750%, 9/15/2042 | 292,566 | ||||||
|
| |||||||
| Total | 5,164,161 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $184,534,146) | 182,690,804 | |||||||
|
| |||||||
| Shares | Collateral Held for Securities Loaned (3.6%) | |||||||
| 6,172,900 | Thrivent Cash Management Trust | 6,172,900 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $6,172,900) | 6,172,900 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (22.0%) | |||||||
Thrivent Cash Management Trust | ||||||||
| 37,458,473 | 0.080% | 37,458,473 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 37,458,473 | |||||||
|
| |||||||
| Total Investments (cost $228,165,519) 132.8% | $ | 226,322,177 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (32.8%) | (55,842,326 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 170,479,851 | ||||||
|
| |||||||
| 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 June 28, 2013. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of June 28, 2013
(unaudited)
| 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 June 28, 2013, the value of these investments was $17,377,722 or 10.2% of total net assets. |
| 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 June 28, 2013. |
Security | Acquisition Date | Cost | ||||
Preferred Term Securities XXIII, Ltd. | 9/14/2006 | $ | 903,583 | |||
Wachovia Asset Securitization, Inc. | 3/16/2007 | $ | 978,705 | |||
| 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 | $ | 3,530,399 | ||
Gross unrealized depreciation | (5,484,841 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (1,954,442 | ) | |
Cost for federal income tax purposes | $ | 228,276,619 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Bond Index Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 5,175,909 | — | 5,175,909 | — | ||||||||||||
Basic Materials | 1,652,375 | — | 1,652,375 | — | ||||||||||||
Capital Goods | 1,507,929 | — | 1,507,929 | — | ||||||||||||
Collateralized Mortgage Obligations | 71,202 | — | 71,202 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 7,865,838 | — | 7,865,838 | — | ||||||||||||
Communications Services | 1,945,605 | — | 1,945,605 | — | ||||||||||||
Consumer Cyclical | 2,943,219 | — | 2,943,219 | — | ||||||||||||
Consumer Non-Cyclical | 4,362,598 | — | 4,362,598 | — | ||||||||||||
Energy | 2,429,227 | — | 2,429,227 | — | ||||||||||||
Financials | 14,811,151 | — | 14,131,132 | 680,019 | ||||||||||||
Foreign Government | 4,709,146 | — | 4,709,146 | — | ||||||||||||
Mortgage-Backed Securities | 51,276,920 | — | 51,276,920 | — | ||||||||||||
Technology | 1,420,260 | — | 1,420,260 | — | ||||||||||||
Transportation | 1,440,685 | — | 1,440,685 | — | ||||||||||||
U.S. Government and Agencies | 75,914,579 | — | 75,914,579 | — | ||||||||||||
Utilities | 5,164,161 | — | 5,164,161 | — | ||||||||||||
Collateral Held for Securities Loaned | 6,172,900 | 6,172,900 | — | — | ||||||||||||
Short-Term Investments | 37,458,473 | 37,458,473 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 226,322,177 | $ | 43,631,373 | $ | 182,010,785 | $ | 680,019 | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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 Bond Index Portfolio, is as follows:
Portfolio | Value December 31, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 1,274,400 | $ | 16,650,008 | $ | 11,751,508 | 6,172,900 | $ | 6,172,900 | $ | 1,284 | |||||||||||||
Cash Management Trust- Short Term Investment | 39,325,747 | 30,425,483 | 32,292,757 | 37,458,473 | 37,458,473 | 17,640 | ||||||||||||||||||
Total Value and Income Earned | 40,600,147 | 43,631,373 | 18,924 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Limited Maturity Bond Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Bank Loans (3.1%)a | Value | ||||||
| Basic Materials (0.1%) | |||||||
Ineos Group Holdings, Ltd., Term Loan | ||||||||
| $ | 963,805 | 4.000%, 5/4/2018 | $ | 943,026 | ||||
|
| |||||||
| Total | 943,026 | |||||||
|
| |||||||
| Capital Goods (0.2%) | |||||||
ADS Waste Holdings, Term Loan | ||||||||
| 960,175 | 4.250%, 10/9/2019 | 956,095 | ||||||
Berry Plastics Group, Inc., Term Loan | ||||||||
| 962,587 | 3.500%, 2/8/2020 | 951,094 | ||||||
|
| |||||||
| Total | 1,907,189 | |||||||
|
| |||||||
| Communications Services (1.0%) | |||||||
Clear Channel Communications, Inc., Term Loan | ||||||||
| 244,330 | 3.845%, 1/29/2016 | 222,800 | ||||||
| 720,670 | 6.945%, 1/30/2019 | 655,406 | ||||||
Grande Communications Networks, LLC, Term Loan | ||||||||
| 965,000 | 4.500%, 5/29/2020 | 958,969 | ||||||
Hargray Communications Group, Inc., Term Loan | ||||||||
| 965,000 | 0.000%, 6/25/2019b,c | 961,381 | ||||||
Integra Telecom Holdings, Inc., Term Loan | ||||||||
| 965,000 | 0.000%, 2/22/2019b,c | 964,518 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
| 478,800 | 9.000%, 3/22/2019 | 470,301 | ||||||
NEP Broadcasting, LLC, Term Loan | ||||||||
| 960,175 | 4.750%, 1/22/2020 | 964,179 | ||||||
TNS, Inc., Term Loan | ||||||||
| 947,130 | 5.000%, 2/14/2020 | 948,711 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
| 962,587 | 4.500%, 3/1/2020 | 951,758 | ||||||
Virgin Media Investment Holdings, Ltd., Term Loan | ||||||||
| 965,000 | 3.500%, 6/7/2020 | 953,478 | ||||||
WideOpenWest Finance, LLC, Term Loan | ||||||||
| 962,587 | 4.750%, 4/1/2019 | 963,791 | ||||||
Yankee Cable Acquisition, LLC, Term Loan | ||||||||
| 947,062 | 5.250%, 3/1/2020 | 949,761 | ||||||
Zayo Group, LLC, Term Loan | ||||||||
| 960,151 | 4.500%, 7/2/2019 | 958,547 | ||||||
|
| |||||||
| �� | Total | 10,923,600 | ||||||
|
| |||||||
| Consumer Cyclical (0.6%) | |||||||
Chrysler Group, LLC, Term Loan | ||||||||
| 965,000 | 0.000%, 5/24/2017b,c | 968,320 | ||||||
J.C. Penney Corporation, Inc., Term Loan | ||||||||
| 965,000 | 6.000%, 5/22/2018 | 965,685 | ||||||
MGM Resorts International, Term Loan | ||||||||
| 696,500 | 3.500%, 12/20/2019 | 691,276 | ||||||
ROC Finance, LLC, Term Loan | ||||||||
| 965,000 | 0.000%, 3/27/2019b,c | 963,388 | ||||||
Scientific Games International, Inc., Term Loan | ||||||||
| 965,000 | 0.000%, 5/22/2020b,c | 949,724 | ||||||
Seminole Hard Rock Entertainment, Inc., Term Loan | ||||||||
| 485,000 | 3.500%, 5/14/2020 | 482,575 | ||||||
Seminole Indian Tribe of Florida, Term Loan | ||||||||
| 948,113 | 3.026%, 4/29/2020 | 944,159 | ||||||
WMG Acquisition Corporation, Term Loan | ||||||||
| 129,451 | 0.000%, 7/7/2020b,c | 127,726 | ||||||
| 835,549 | 0.000%, 7/7/2020b,c | 824,411 | ||||||
|
| |||||||
| Total | 6,917,264 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.3%) | |||||||
Albertson’s, Inc., Term Loan | ||||||||
| 957,600 | 4.750%, 3/21/2019 | 950,418 | ||||||
Del Monte Corporation, Term Loan | ||||||||
| 150,318 | 4.000%, 3/8/2018 | 149,629 | ||||||
Supervalu, Inc., Term Loan | ||||||||
| 1,930,000 | 0.000%, 3/21/2019b,c | 1,915,255 | ||||||
|
| |||||||
| Total | 3,015,302 | |||||||
|
| |||||||
| Energy (<0.1%) | |||||||
Offshore Group Investment, Ltd., Term Loan | ||||||||
| 483,788 | 5.750%, 3/28/2019 | 484,997 | ||||||
|
| |||||||
| Total | 484,997 | |||||||
|
| |||||||
| Financials (0.2%) | |||||||
Harland Clarke Holdings Corporation, Term Loan | ||||||||
| 965,000 | 7.000%, 5/22/2018 | 925,715 | ||||||
WaveDivision Holdings, LLC, Term Loan | ||||||||
| 960,175 | 4.000%, 10/12/2019 | 957,774 | ||||||
|
| |||||||
| Total | 1,883,489 | |||||||
|
| |||||||
| Technology (0.2%) | |||||||
First Data Corporation Extended, Term Loan | ||||||||
| 965,000 | 4.193%, 3/23/2018 | 939,669 | ||||||
Freescale Semiconductor Inc., Term Loan | ||||||||
| 962,587 | 5.000%, 3/1/2020 | 953,991 | ||||||
SunGard Data Systems, Inc., Term Loan | ||||||||
| 480,000 | 4.000%, 3/8/2020 | 479,160 | ||||||
|
| |||||||
| Total | 2,372,820 | |||||||
|
| |||||||
| Transportation (0.2%) | |||||||
American Airlines, Inc., Term Loan | ||||||||
| 965,000 | 0.000%, 6/21/2019b,c | 963,495 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
247
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Limited Maturity Bond Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Bank Loans (3.1%)a | Value | ||||||
| Transportation (0.2%) - continued | |||||||
American Petroleum Tankers Parent, LLC, Term Loan | ||||||||
| $ | 480,000 | 4.750%, 10/2/2019 | $ | 478,200 | ||||
U.S. Airways, Inc., Term Loan | ||||||||
| 965,000 | 0.000%, 5/21/2019b,c | 952,532 | ||||||
|
| |||||||
| Total | 2,394,227 | |||||||
|
| |||||||
| Utilities (0.3%) | |||||||
Calpine Corporation, Term Loan | ||||||||
| 960,089 | 4.000%, 4/1/2018 | 957,689 | ||||||
Intergen NV, Term Loan | ||||||||
| 965,000 | 5.500%, 6/5/2020b,c | 945,700 | ||||||
Pacific Drilling SA, Term loan | ||||||||
| 965,000 | 0.000%, 5/18/2018b,c | 960,416 | ||||||
|
| |||||||
| Total | 2,863,805 | |||||||
|
| |||||||
Total Bank Loans (cost $33,901,164) | 33,705,719 | |||||||
|
| |||||||
Long-Term Fixed Income (95.4%) | ||||||||
| Asset-Backed Securities (15.9%) | |||||||
Avis Budget Rental Car Funding AESOP, LLC | ||||||||
| 9,000,000 | 2.370%, 11/20/2014d | 9,147,726 | ||||||
Citibank Omni Master Trust | ||||||||
| 6,000,000 | 4.900%, 11/15/2018d | 6,339,252 | ||||||
Countrywide Home Loans, Inc. | ||||||||
| 1,552,178 | 6.085%, 6/25/2021e | 1,364,149 | ||||||
Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 1,684,736 | 4.078%, 12/25/2036 | 1,103,502 | ||||||
Edlinc Student Loan Funding Trust | ||||||||
| 3,401,454 | 3.262%, 10/1/2025f,g | 3,418,461 | ||||||
Education Loan Asset-Backed Trust I | ||||||||
| 5,048,619 | 0.643%, 6/25/2022g | 5,041,924 | ||||||
Enterprise Fleet Financing, LLC | ||||||||
| 2,228,134 | 1.430%, 10/20/2016d | 2,230,822 | ||||||
| 2,000,000 | 0.720%, 4/20/2018d | 1,997,370 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates | ||||||||
| 215,069 | 5.500%, 3/25/2036f,h | 2 | ||||||
First Horizon ABS Trust | ||||||||
| 528,580 | 0.323%, 9/25/2029e,g | 485,216 | ||||||
Fosse Master Issuer plc | ||||||||
| 5,222,159 | 1.677%, 10/18/2054d,g | 5,273,002 | ||||||
GE Dealer Floorplan Master Note Trust | ||||||||
| 6,000,000 | 0.632%, 10/20/2017g | 5,956,890 | ||||||
| 6,500,000 | 0.592%, 4/20/2018g | 6,470,659 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 1,146,868 | 0.373%, 8/25/2035e,g | 931,701 | ||||||
| 1,609,360 | 5.750%, 10/25/2036e | 1,518,685 | ||||||
| 2,717,923 | 0.373%, 12/25/2036e,g | 2,280,288 | ||||||
Golden Credit Card Trust | ||||||||
| 7,200,000 | 0.443%, 2/15/2018d,g | 7,194,262 | ||||||
Great America Leasing Receivables | ||||||||
| 3,000,000 | 0.780%, 6/15/2016d | 2,989,005 | ||||||
Master Credit Card Trust | ||||||||
| 10,000,000 | 0.780%, 4/21/2017d | 9,925,630 | ||||||
Montana Higher Education Student Assistance Corporation | ||||||||
| 2,093,277 | 0.792%, 9/20/2022g | 2,095,515 | ||||||
Mortgage Equity Conversion Asset Trust | ||||||||
| 5,594,653 | 0.620%, 1/25/2042f,g | 4,699,508 | ||||||
| 5,489,682 | 0.580%, 2/25/2042f,g | 4,611,333 | ||||||
Nationstar Agency Advance Funding Trust | ||||||||
| 4,200,000 | 0.997%, 2/15/2045d | 4,159,974 | ||||||
Nissan Master Owner Trust Receivables | ||||||||
| 9,000,000 | 0.493%, 2/15/2018g | 8,952,309 | ||||||
Northstar Education Finance, Inc. | ||||||||
| 4,590,585 | 0.893%, 12/26/2031d,g | 4,548,342 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 3,609,405 | 5.608%, 5/25/2036 | 2,564,482 | ||||||
| 1,228,483 | 5.285%, 1/25/2037 | 684,596 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
| 6,000,000 | 0.700%, 9/15/2017 | 5,980,398 | ||||||
SLM Student Loan Trust | ||||||||
| 6,712,107 | 0.346%, 4/27/2020g | 6,696,414 | ||||||
| 3,246,986 | 1.293%, 12/15/2021d,g | 3,261,741 | ||||||
| 6,467,531 | 0.346%, 4/25/2022g | 6,443,621 | ||||||
| 3,031,740 | 0.793%, 8/15/2022d,g | 3,013,567 | ||||||
| 2,324,351 | 0.356%, 4/25/2023g | 2,322,431 | ||||||
| 4,891,740 | 0.943%, 10/16/2023d,g | 4,895,375 | ||||||
| 2,672,149 | 0.593%, 3/25/2025g | 2,652,941 | ||||||
| 8,076,020 | 0.713%, 3/25/2026g | 8,008,545 | ||||||
| 2,700,000 | 1.243%, 5/17/2027d,g | 2,641,990 | ||||||
Volvo Financial Equipment, LLC | ||||||||
| 5,000,000 | 0.740%, 3/15/2017d | 4,977,220 | ||||||
Wachovia Asset Securitization, Inc. | ||||||||
| 1,223,381 | 0.333%, 7/25/2037e,f,g | 1,020,506 | ||||||
Wachovia Student Loan Trust | ||||||||
| 3,282,554 | 0.386%, 7/27/2020g | 3,272,394 | ||||||
World Financial Network Credit Card Master Trust | ||||||||
| 4,000,000 | 0.910%, 3/16/2020 | 3,969,696 | ||||||
World Omni Auto Receivables Trust | ||||||||
| 4,000,000 | 1.330%, 1/15/2018 | 4,025,616 | ||||||
World Omni Master Owner Trust | ||||||||
| 5,400,000 | 0.543%, 2/15/2018d,g | 5,372,833 | ||||||
|
| |||||||
| Total | 174,539,893 | |||||||
|
| |||||||
| Basic Materials (0.8%) | |||||||
Dow Chemical Company | ||||||||
| 2,000,000 | 2.500%, 2/15/2016 | 2,061,308 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
248
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (95.4%) | Value | ||||||
| Basic Materials (0.8%) - continued | |||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| $ | 1,000,000 | 2.375%, 3/15/2018d | $ | 951,076 | ||||
Glencore Funding, LLC | ||||||||
| 1,400,000 | 1.574%, 1/15/2019d,g | 1,301,180 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
| 1,875,000 | 1.800%, 10/23/2015d | 1,875,593 | ||||||
| 2,825,000 | 2.450%, 10/25/2017d | 2,739,631 | ||||||
|
| |||||||
| Total | 8,928,788 | |||||||
|
| |||||||
| Capital Goods (1.2%) | |||||||
Eaton Corporation | ||||||||
| 2,000,000 | 1.500%, 11/2/2017d | 1,941,432 | ||||||
John Deere Capital Corporation | ||||||||
| 3,000,000 | 0.380%, 10/8/2014g | 3,002,319 | ||||||
Precision Castparts Corporation | ||||||||
| 2,250,000 | 1.250%, 1/15/2018 | 2,187,461 | ||||||
Roper Industries, Inc. | ||||||||
| 2,250,000 | 1.850%, 11/15/2017 | 2,214,347 | ||||||
Textron, Inc. | ||||||||
| 2,700,000 | 6.200%, 3/15/2015 | 2,906,347 | ||||||
United Technologies Corporation | ||||||||
| 1,000,000 | 0.775%, 6/1/2015g | 1,006,019 | ||||||
|
| |||||||
| Total | 13,257,925 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (5.2%) | |||||||
American Home Mortgage Assets Trust | ||||||||
| 3,058,352 | 1.094%, 11/25/2046g | 1,679,864 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
| 1,523,931 | 2.470%, 10/25/2035g | 1,449,880 | ||||||
Commercial Mortgage Pass Through Certificates | ||||||||
| 5,000,000 | 1.243%, 6/8/2030d,g | 4,970,898 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 874,108 | 5.500%, 11/25/2035 | 869,179 | ||||||
| 920,458 | 5.500%, 2/25/2036 | 824,153 | ||||||
| 1,658,085 | 6.000%, 1/25/2037 | 1,315,641 | ||||||
Countrywide Home Loans, Inc. | ||||||||
| 2,080,444 | 2.682%, 3/20/2036 | 1,592,033 | ||||||
| 1,992,263 | 2.763%, 9/20/2036 | 1,305,349 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust | ||||||||
| 3,684,154 | 0.939%, 4/25/2047g | 2,893,803 | ||||||
GSR Mortgage Loan Trust | ||||||||
| 2,274,312 | 0.383%, 8/25/2046g | 2,112,990 | ||||||
HarborView Mortgage Loan Trust | ||||||||
| 2,291,249 | 2.396%, 6/19/2034 | 2,284,655 | ||||||
HomeBanc Mortgage Trust | ||||||||
| 1,821,210 | 2.455%, 4/25/2037 | 1,220,865 | ||||||
Impac CMB Trust | ||||||||
| 909,523 | 0.713%, 4/25/2035g | 804,011 | ||||||
| 659,049 | 0.833%, 8/25/2035g | 544,772 | ||||||
J.P. Morgan Alternative Loan Trust | ||||||||
| 3,352,458 | 2.705%, 3/25/2036 | 2,550,134 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 509,367 | 2.968%, 10/25/2036 | 402,444 | ||||||
Master Asset Securitization Trust | ||||||||
| 1,883,459 | 0.693%, 6/25/2036g | 1,204,332 | ||||||
Permanent Master plc | ||||||||
| 10,000,000 | 1.777%, 7/15/2042d,g | 10,037,510 | ||||||
Residential Accredit Loans, Inc. | ||||||||
| 1,642,263 | 3.769%, 9/25/2035 | 1,315,177 | ||||||
Sequoia Mortgage Trust 2004-8 | ||||||||
| 1,724,864 | 0.833%, 9/20/2034g | 1,659,509 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
| 49,533 | 5.500%, 12/25/2034 | 47,665 | ||||||
Wachovia Mortgage Loan Trust, LLC | ||||||||
| 1,611,896 | 2.985%, 5/20/2036 | 1,328,247 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
| 1,066,597 | 0.483%, 10/25/2045g | 964,072 | ||||||
| 3,125,492 | 1.053%, 10/25/2046g | 2,327,979 | ||||||
| 3,108,156 | 0.993%, 12/25/2046g | 2,368,710 | ||||||
| 3,278,859 | 0.913%, 1/25/2047g | 2,552,480 | ||||||
Washington Mutual Alternative Mortgage Pass Through Certificates | ||||||||
| 2,562,420 | 1.094%, 9/25/2046g | 1,523,251 | ||||||
| 4,192,604 | 0.919%, 2/25/2047g | 2,557,945 | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
| 1,786,228 | 2.641%, 3/25/2036 | 1,737,243 | ||||||
| 1,263,657 | 2.770%, 3/25/2036 | 1,193,042 | ||||||
|
| |||||||
| Total | 57,637,833 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (6.4%) | |||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 1,779,100 | 5.613%, 6/11/2050 | 1,795,078 | ||||||
| 158,290 | 0.343%, 3/15/2022d,g | 158,245 | ||||||
| 764,085 | 5.853%, 6/11/2040 | 773,509 | ||||||
| 2,000,000 | 5.331%, 2/11/2044 | 2,189,838 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
| 1,250,000 | 5.885%, 12/10/2049 | 1,415,160 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 3,000,000 | 5.322%, 12/11/2049 | 3,302,508 | ||||||
Commercial Mortgage Pass-Through Certificates | ||||||||
| 1,500,000 | 5.306%, 12/10/2046 | 1,654,832 | ||||||
Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
| 4,835,336 | 4.691%, 4/15/2037 | 4,943,140 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 3,844,973 | 5.467%, 9/15/2039 | 4,235,860 | ||||||
Federal National Mortgage Association | ||||||||
| 8,000,000 | 1.083%, 2/25/2016 | 8,043,200 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
249
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (95.4%) | Value | ||||||
| Commercial Mortgage-Backed Securities (6.4%) - continued | |||||||
Government National Mortgage Association | ||||||||
| $ | 1,020,652 | 2.870%, 3/16/2051 | $ | 1,030,589 | ||||
| 4,864,591 | 2.164%, 3/16/2033 | 4,904,704 | ||||||
| 3,514,561 | 3.214%, 1/16/2040 | 3,617,903 | ||||||
Greenwich Capital Commercial Funding Corporation | ||||||||
| 3,000,000 | 5.074%, 1/5/2036 | 3,029,280 | ||||||
| 5,500,000 | 5.224%, 4/10/2037 | 5,892,739 | ||||||
GS Mortgage Securities Corporation II | ||||||||
| 4,800,000 | 1.043%, 11/8/2029d,g | 4,748,784 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 6,500,000 | 5.429%, 12/12/2043 | 7,141,778 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
| 697,202 | 5.303%, 2/15/2040 | 697,848 | ||||||
Morgan Stanley Capital, Inc. | ||||||||
| 3,152,578 | 5.763%, 4/12/2049 | 3,161,531 | ||||||
NCUA Guaranteed Notes | ||||||||
| 5,000,000 | 2.900%, 10/29/2020 | 5,218,765 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
| 2,475,432 | 5.765%, 7/15/2045 | 2,674,264 | ||||||
|
| |||||||
| Total | 70,629,555 | |||||||
|
| |||||||
| Communications Services (1.9%) | |||||||
AT&T, Inc. | ||||||||
| 2,625,000 | 1.400%, 12/1/2017 | 2,552,004 | ||||||
British Telecommunications plc | ||||||||
| 1,500,000 | 1.625%, 6/28/2016 | 1,506,579 | ||||||
Crown Castle Towers, LLC | ||||||||
| 2,500,000 | 3.214%, 8/15/2015d | 2,573,775 | ||||||
| 1,650,000 | 4.174%, 8/15/2017d | 1,743,819 | ||||||
DIRECTV Holdings, LLC | ||||||||
| 1,125,000 | 1.750%, 1/15/2018 | 1,086,102 | ||||||
GTP Acquisition Partners I, LLC | ||||||||
| 2,000,000 | 4.347%, 6/15/2016d | 2,102,142 | ||||||
NBC Universal Enterprise, Inc. | ||||||||
| 2,250,000 | 1.662%, 4/15/2018d | 2,190,013 | ||||||
Qwest Communications International, Inc. | ||||||||
| 2,000,000 | 7.125%, 4/1/2018 | 2,075,000 | ||||||
SBA Tower Trust | ||||||||
| 4,500,000 | 4.254%, 4/15/2015d | 4,658,017 | ||||||
|
| |||||||
| Total | 20,487,451 | |||||||
|
| |||||||
| Consumer Cyclical (1.9%) | |||||||
Amazon.com, Inc. | ||||||||
| 2,125,000 | 1.200%, 11/29/2017 | 2,055,160 | ||||||
American Honda Finance Corporation | ||||||||
| 5,000,000 | 1.850%, 9/19/2014d | 5,066,640 | ||||||
Daimler Finance North America, LLC | ||||||||
| 4,000,000 | 0.886%, 3/28/2014d,g | 4,011,568 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 2,000,000 | 4.207%, 4/15/2016 | 2,089,296 | ||||||
| 2,050,000 | 3.984%, 6/15/2016 | 2,147,641 | ||||||
| 1,000,000 | 3.000%, 6/12/2017 | 1,002,108 | ||||||
Volkswagen International Finance NV | ||||||||
| 4,000,000 | 1.625%, 3/22/2015d | 4,046,680 | ||||||
|
| |||||||
| Total | 20,419,093 | |||||||
|
| |||||||
| Consumer Non-Cyclical (3.4%) | |||||||
AbbVie, Inc. | ||||||||
| 1,500,000 | 1.200%, 11/6/2015d | 1,501,648 | ||||||
| 1,250,000 | 1.750%, 11/6/2017d | 1,224,646 | ||||||
Allergan, Inc. | ||||||||
| 1,250,000 | 1.350%, 3/15/2018 | 1,217,969 | ||||||
Altria Group, Inc. | ||||||||
| 500,000 | 2.850%, 8/9/2022 | 462,338 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 3,150,000 | 1.375%, 7/15/2017 | 3,100,233 | ||||||
Cargill, Inc. | ||||||||
| 2,146,000 | 4.307%, 5/14/2021d | 2,262,837 | ||||||
Celgene Corporation | ||||||||
| 2,500,000 | 2.450%, 10/15/2015 | 2,574,607 | ||||||
Coca-Cola Enterprises, Inc. | ||||||||
| 3,000,000 | 3.500%, 9/15/2020 | 3,026,898 | ||||||
ConAgra Foods, Inc. | ||||||||
| 1,400,000 | 1.300%, 1/25/2016 | 1,402,309 | ||||||
Dr Pepper Snapple Group, Inc. | ||||||||
| 500,000 | 2.000%, 1/15/2020 | 471,437 | ||||||
Express Scripts Holding Company | ||||||||
| 3,000,000 | 2.650%, 2/15/2017 | 3,054,759 | ||||||
General Mills, Inc. | ||||||||
| 2,000,000 | 0.624%, 5/16/2014g | 2,002,506 | ||||||
Heineken NV | ||||||||
| 2,650,000 | 1.400%, 10/1/2017d | 2,574,745 | ||||||
Medtronic, Inc. | ||||||||
| 2,000,000 | 1.375%, 4/1/2018 | 1,944,322 | ||||||
Mylan, Inc. | ||||||||
| 3,000,000 | 7.875%, 7/15/2020d | 3,461,844 | ||||||
SABMiller Holdings, Inc. | ||||||||
| 2,500,000 | 2.450%, 1/15/2017d | 2,539,670 | ||||||
Sanofi | ||||||||
| 1,500,000 | 1.250%, 4/10/2018 | 1,452,881 | ||||||
Teva Pharmaceutical Finance III BV | ||||||||
| 3,000,000 | 0.772%, 3/21/2014g | 3,005,589 | ||||||
|
| |||||||
| Total | 37,281,238 | |||||||
|
| |||||||
| Energy (1.4%) | |||||||
Cameron International Corporation | ||||||||
| 3,000,000 | 1.205%, 6/2/2014g | 3,013,278 | ||||||
Chevron Corporation | ||||||||
| 3,000,000 | 1.718%, 6/24/2018 | 2,972,409 | ||||||
DCP Midstream, LLC | ||||||||
| 625,000 | 5.850%, 5/21/2043d | 600,000 | ||||||
Energy Transfer Partners, LP | ||||||||
| 2,000,000 | 6.000%, 7/1/2013 | 1,996,220 | ||||||
International Petroleum Investment Company, Ltd. | ||||||||
| 2,000,000 | 3.125%, 11/15/2015d | 2,052,500 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
250
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (95.4%) | Value | ||||||
| Energy (1.4%) - continued | |||||||
Marathon Oil Corporation | ||||||||
| $ | 2,700,000 | 0.900%, 11/1/2015 | $ | 2,685,015 | ||||
Valero Energy Corporation | ||||||||
| 650,000 | 6.125%, 2/1/2020 | 755,331 | ||||||
Weatherford International, Ltd. | ||||||||
| 1,500,000 | 6.000%, 3/15/2018 | 1,684,441 | ||||||
|
| |||||||
| Total | 15,759,194 | |||||||
|
| |||||||
| Financials (23.9%) | |||||||
Achmea Hypotheekbank NV | ||||||||
| 805,000 | 3.200%, 11/3/2014d | 835,590 | ||||||
American Express Company | ||||||||
| 3,000,000 | 0.863%, 5/22/2018g | 2,996,091 | ||||||
American International Group, Inc. | ||||||||
| 2,000,000 | 5.050%, 10/1/2015 | 2,168,016 | ||||||
American Tower Trust I | ||||||||
| 1,650,000 | 1.551%, 3/15/2018d | 1,621,417 | ||||||
Australia and New Zealand Banking Group, Ltd. | ||||||||
| 5,000,000 | 2.400%, 11/23/2016d | 5,174,500 | ||||||
Bank Nederlandse Gemeenten NV | ||||||||
| 1,000,000 | 1.375%, 3/19/2018d | 979,100 | ||||||
Bank of America Corporation | ||||||||
| 1,500,000 | 1.500%, 10/9/2015 | 1,496,592 | ||||||
| 2,000,000 | 5.625%, 10/14/2016 | 2,212,618 | ||||||
| 2,000,000 | 1.343%, 3/22/2018g | 1,979,142 | ||||||
Bank of Montreal | ||||||||
| 6,000,000 | 2.625%, 1/25/2016d | 6,258,000 | ||||||
| 1,500,000 | 0.879%, 4/9/2018g | 1,496,508 | ||||||
Bank of New York Mellon Corporation | ||||||||
| 2,500,000 | 1.124%, 11/24/2014g | 2,524,320 | ||||||
| 2,500,000 | 1.700%, 11/24/2014 | 2,535,460 | ||||||
| 675,000 | 4.500%, 12/29/2049j | 634,500 | ||||||
Bank of Nova Scotia | ||||||||
| 3,000,000 | 2.150%, 8/3/2016d | 3,096,900 | ||||||
Barclays Bank plc | ||||||||
| 5,000,000 | 2.500%, 9/21/2015d,i | 5,176,030 | ||||||
BBVA Banco Continental SA | ||||||||
| 2,000,000 | 2.250%, 7/29/2016d | 1,940,000 | ||||||
Bear Stearns Companies, LLC | ||||||||
| 2,500,000 | 6.400%, 10/2/2017 | 2,883,612 | ||||||
Berkshire Hathaway Finance Corporation | ||||||||
| 3,000,000 | 2.450%, 12/15/2015 | 3,119,691 | ||||||
| 1,000,000 | 1.600%, 5/15/2017 | 995,796 | ||||||
Caisse Centrale Desjardins du Quebec | ||||||||
| 4,000,000 | 2.550%, 3/24/2016d | 4,164,800 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
| 5,000,000 | 0.900%, 9/19/2014d | 5,025,000 | ||||||
Capital One Financial Corporation | ||||||||
| 3,000,000 | 1.427%, 7/15/2014g | 3,025,290 | ||||||
CDP Financial, Inc. | ||||||||
| 4,000,000 | 3.000%, 11/25/2014d | 4,122,212 | ||||||
Chesapeake Funding, LLC | ||||||||
| 3,000,000 | 0.643%, 5/7/2024d,g | 2,993,898 | ||||||
Citigroup, Inc. | ||||||||
| 1,506,000 | 1.214%, 4/1/2014g | 1,512,146 | ||||||
| 1,000,000 | 4.050%, 7/30/2022 | 961,106 | ||||||
CNA Financial Corporation | ||||||||
| 3,000,000 | 6.500%, 8/15/2016 | 3,398,622 | ||||||
Commonwealth Bank of Australia | ||||||||
| 3,500,000 | 0.750%, 1/15/2016d,i | 3,472,000 | ||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||||
| 3,000,000 | 3.200%, 3/11/2015d | 3,110,652 | ||||||
Credit Agricole Home Loan SFH | ||||||||
| 4,500,000 | 1.026%, 7/21/2014d,g | 4,515,993 | ||||||
Credit Suisse AG Guernsey | ||||||||
| 2,000,000 | 2.600%, 5/27/2016d | 2,081,636 | ||||||
DnB Boligkreditt AS | ||||||||
| 4,900,000 | 1.450%, 3/21/2018d | 4,757,410 | ||||||
General Electric Capital Corporation | ||||||||
| 4,500,000 | 1.273%, 3/15/2023g | 4,459,248 | ||||||
Goldman Sachs Group, Inc. | ||||||||
| 3,550,000 | 2.375%, 1/22/2018 | 3,485,504 | ||||||
HCP, Inc. | ||||||||
| 2,000,000 | 2.700%, 2/1/2014 | 2,019,970 | ||||||
Health Care REIT, Inc. | ||||||||
| 750,000 | 6.125%, 4/15/2020 | 852,002 | ||||||
HSBC Bank plc | ||||||||
| 5,000,000 | 1.625%, 7/7/2014d,i | 5,045,985 | ||||||
ING Bank NV | ||||||||
| 5,000,000 | 2.500%, 1/14/2016d | 5,163,500 | ||||||
ING Capital Funding Trust III | ||||||||
| 1,000,000 | 3.884%, 12/29/2049g,j | 960,000 | ||||||
ING US, Inc. | ||||||||
| 500,000 | 5.650%, 5/15/2053d | 470,000 | ||||||
| 1,500,000 | 2.900%, 2/15/2018d | 1,507,548 | ||||||
International Lease Finance Corporation | ||||||||
| 1,100,000 | 8.625%, 9/15/2015 | 1,204,500 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 4,000,000 | 1.176%, 1/25/2018g | 3,991,200 | ||||||
| 1,450,000 | 7.900%, 4/29/2049j | 1,638,500 | ||||||
J.P. Morgan Chase Bank NA | ||||||||
| 1,800,000 | 5.875%, 6/13/2016 | 2,006,980 | ||||||
Kilroy Realty, LP | ||||||||
| 750,000 | 3.800%, 1/15/2023 | 702,544 | ||||||
Landwirtschaftliche Rentenbank | ||||||||
| 7,000,000 | 0.473%, 3/15/2016d,g | 7,002,352 | ||||||
Lloyds TSB Bank plc | ||||||||
| 300,000 | 6.500%, 9/14/2020d | 319,835 | ||||||
Macquarie Bank, Ltd. | ||||||||
| 2,275,000 | 5.000%, 2/22/2017d | 2,437,637 | ||||||
MassMutual Global Funding II | ||||||||
| 3,500,000 | 2.000%, 4/5/2017d | 3,507,193 | ||||||
Metropolitan Life Global Funding I | ||||||||
| 3,250,000 | 3.650%, 6/14/2018d | 3,452,049 | ||||||
Morgan Stanley | ||||||||
| 1,000,000 | 4.100%, 5/22/2023 | 923,919 | ||||||
Morgan Stanley Mortgage Loan Trust | ||||||||
| 2,000,000 | 5.750%, 10/18/2016 | 2,207,798 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
251
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (95.4%) | Value | ||||||
| Financials (23.9%) - continued | |||||||
National Australia Bank, Ltd. | ||||||||
| $ | 2,250,000 | 0.576%, 1/22/2015d,g | $ | 2,253,859 | ||||
| 3,750,000 | 2.000%, 6/20/2017d | 3,802,500 | ||||||
National Bank of Canada | ||||||||
| 3,000,000 | 1.650%, 1/30/2014d | 3,020,100 | ||||||
| 2,750,000 | 2.200%, 10/19/2016d | 2,840,203 | ||||||
NCUA Guaranteed Notes | ||||||||
| 2,893,473 | 0.543%, 12/7/2020g | 2,901,516 | ||||||
Nederlandse Waterschapsbank NV | ||||||||
| 4,500,000 | 0.750%, 3/29/2016d | 4,474,620 | ||||||
Network Rail Infrastructure Finance plc | ||||||||
| 6,000,000 | 0.875%, 5/15/2018d | 5,775,060 | ||||||
New York Life Global Funding | ||||||||
| 6,000,000 | 3.000%, 5/4/2015d | 6,252,174 | ||||||
Norddeutsche Landesbank Girozentrale | ||||||||
| 2,000,000 | 0.875%, 10/16/2015d | 1,998,000 | ||||||
Nordea Bank AB | ||||||||
| 2,500,000 | 3.125%, 3/20/2017d | 2,572,700 | ||||||
Principal Life Global Funding II | ||||||||
| 2,250,000 | 1.000%, 12/11/2015d | 2,250,421 | ||||||
Private Export Funding Corporation | ||||||||
| 5,000,000 | 2.125%, 7/15/2016 | 5,200,865 | ||||||
Prudential Covered Trust | ||||||||
| 3,420,000 | 2.997%, 9/30/2015d | 3,529,166 | ||||||
Rabobank Capital Funding Trust II | ||||||||
| 1,856,000 | 5.260%, 12/29/2049d,j | 1,865,280 | ||||||
Realty Income Corporation | ||||||||
| 1,500,000 | 2.000%, 1/31/2018 | 1,455,528 | ||||||
Royal Bank of Canada | ||||||||
| 4,000,000 | 1.200%, 9/19/2017 | 3,902,640 | ||||||
Royal Bank of Scotland Group plc | ||||||||
| 1,000,000 | 6.125%, 12/15/2022 | 951,570 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
| 2,100,000 | 1.750%, 3/19/2018d | 2,042,250 | ||||||
| 2,500,000 | 1.375%, 5/29/2018d,i | 2,408,250 | ||||||
SLM Corporation | ||||||||
| 700,000 | 4.625%, 9/25/2017 | 689,500 | ||||||
SpareBank 1 Boligkreditt AS | ||||||||
| 3,000,000 | 1.250%, 5/2/2018d | 2,860,800 | ||||||
Stadshypotek AB | ||||||||
| 6,000,000 | 0.826%, 9/30/2013d,g | 6,006,954 | ||||||
| 2,000,000 | 1.875%, 10/2/2019d | 1,912,600 | ||||||
Standard Chartered plc | ||||||||
| 1,225,000 | 3.950%, 1/11/2023d | 1,139,551 | ||||||
Svensk Exportkredit AB | ||||||||
| 3,500,000 | 0.576%, 1/23/2017g | 3,509,912 | ||||||
| 1,500,000 | 1.125%, 4/5/2018 | 1,457,885 | ||||||
Svenska Handelsbanken AB | ||||||||
| 2,750,000 | 0.722%, 3/21/2016g | 2,750,036 | ||||||
Swedbank AB | ||||||||
| 1,750,000 | 1.750%, 3/12/2018d | 1,700,300 | ||||||
Swedbank Hypotek AB | ||||||||
| 5,000,000 | 0.726%, 3/28/2014d,g | 5,015,195 | ||||||
Toronto-Dominion Bank | ||||||||
| 4,000,000 | 0.456%, 7/26/2013g | 4,000,000 | ||||||
| 3,000,000 | 2.200%, 7/29/2015d | 3,092,100 | ||||||
U.S. Bank National Association | ||||||||
| 4,000,000 | 3.778%, 4/29/2020 | 4,188,864 | ||||||
UBS AG/London | ||||||||
| 5,000,000 | 1.875%, 1/23/2015d | 5,089,000 | ||||||
Wachovia Corporation | ||||||||
| 1,000,000 | 0.543%, 6/15/2017g | 982,986 | ||||||
WEA Finance, LLC/WT Finance Australia, Pty, Ltd. | ||||||||
| 3,350,000 | 5.750%, 9/2/2015d | 3,660,056 | ||||||
Wells Fargo & Company | ||||||||
| 4,500,000 | 2.625%, 12/15/2016 | 4,662,756 | ||||||
| 925,000 | 3.450%, 2/13/2023 | 883,407 | ||||||
Westpac Banking Corporation | ||||||||
| 2,500,000 | 1.250%, 12/15/2017d,i | 2,434,000 | ||||||
|
| |||||||
| Total | 262,155,516 | |||||||
|
| |||||||
| Foreign Government (4.8%) | |||||||
Canada Government International Bond | ||||||||
| 8,500,000 | 0.875%, 2/14/2017 | 8,458,350 | ||||||
Eksportfinans ASA | ||||||||
| 2,450,000 | 2.375%, 5/25/2016 | 2,345,875 | ||||||
European Investment Bank | ||||||||
| 6,000,000 | 1.750%, 3/15/2017 | 6,109,416 | ||||||
Hydro Quebec | ||||||||
| 3,000,000 | 2.000%, 6/30/2016 | 3,086,100 | ||||||
Inter-American Development Bank | ||||||||
| 3,750,000 | 0.232%, 2/11/2016g | 3,753,056 | ||||||
International Finance Corporation | ||||||||
| 3,090,000 | 0.500%, 5/16/2016 | 3,068,998 | ||||||
Kommunalbanken AS | ||||||||
| 6,000,000 | 2.750%, 5/5/2015d | 6,242,820 | ||||||
Kommuninvest I Sverige AB | ||||||||
| 3,500,000 | 1.000%, 10/24/2017d | 3,417,750 | ||||||
Mexico Government International Bond | ||||||||
| 1,250,000 | 5.125%, 1/15/2020 | 1,373,750 | ||||||
Province of British Columbia | ||||||||
| 6,500,000 | 2.100%, 5/18/2016 | 6,737,250 | ||||||
Province of Manitoba | ||||||||
| 5,100,000 | 1.300%, 4/3/2017 | 5,125,500 | ||||||
Province of Ontario | ||||||||
| 3,500,000 | 0.325%, 8/13/2015g | 3,498,614 | ||||||
|
| |||||||
| Total | 53,217,479 | |||||||
|
| |||||||
| Mortgage-Backed Securities (5.5%) | |||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 25,250,000 | 2.500%, 7/1/2028c | 25,376,250 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Limited Maturity Bond Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (95.4%) | Value | ||||||
| Mortgage-Backed Securities (5.5%) - continued | |||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| $ | 1,542,914 | 6.500%, 9/1/2037 | $ | 1,735,067 | ||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 6,468,255 | 2.250%, 6/25/2025 | 6,610,498 | ||||||
| 22,350,000 | 2.500%, 7/1/2028c | 22,479,210 | ||||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 2,573,363 | 5.841%, 9/1/2037g | 2,772,362 | ||||||
| 1,104,084 | 5.551%, 10/1/2037g | 1,188,305 | ||||||
|
| |||||||
| Total | 60,161,692 | |||||||
|
| |||||||
| Technology (0.7%) | |||||||
Affiliated Computer Services, Inc. | ||||||||
| 2,000,000 | 5.200%, 6/1/2015 | 2,120,848 | ||||||
Apple, Inc. | ||||||||
| 2,500,000 | 1.000%, 5/3/2018 | 2,400,745 | ||||||
Xerox Corporation | ||||||||
| 3,000,000 | 1.094%, 5/16/2014g | 2,997,873 | ||||||
|
| |||||||
| Total | 7,519,466 | |||||||
|
| |||||||
| Transportation (1.2%) | |||||||
British Airways plc | ||||||||
| 1,500,000 | 4.625%, 6/20/2024c,d | 1,500,000 | ||||||
Canadian Pacific Railway Company | ||||||||
| 425,000 | 7.125%, 10/15/2031 | 525,516 | ||||||
Continental Airlines, Inc. | ||||||||
| 3,250,000 | 4.150%, 4/11/2024 | 3,185,000 | ||||||
CSX Corporation | ||||||||
| 2,500,000 | 6.250%, 4/1/2015 | 2,731,298 | ||||||
Delta Air Lines, Inc. | ||||||||
| 916,078 | 4.750%, 5/7/2020 | 959,591 | ||||||
Erac USA Finance Company | ||||||||
| 4,500,000 | 2.750%, 7/1/2013d | 4,493,070 | ||||||
|
| |||||||
| Total | 13,394,475 | |||||||
|
| |||||||
| U.S. Government and Agencies (20.1%) | |||||||
Federal Agricultural Mortgage Corporation | ||||||||
| 3,500,000 | 2.000%, 7/27/2016 | 3,615,136 | ||||||
Federal Farm Credit Banks | ||||||||
| 4,950,000 | 0.218%, 9/23/2013g | 4,952,168 | ||||||
Federal Home Loan Banks | ||||||||
| 10,000,000 | 0.330%, 9/16/2013g | 10,005,610 | ||||||
| 1,000,000 | 0.375%, 6/24/2016 | 988,765 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 500,000 | 1.250%, 8/1/2019 | 476,796 | ||||||
| 4,000,000 | 1.250%, 10/2/2019 | 3,789,668 | ||||||
Federal National Mortgage Association | ||||||||
| 9,000,000 | 0.875%, 2/8/2018 | 8,737,965 | ||||||
| 5,000,000 | 0.875%, 5/21/2018i | 4,832,310 | ||||||
U.S. Treasury Bonds | ||||||||
| 6,050,000 | 3.000%, 5/15/2042 | 5,514,950 | ||||||
U.S. Treasury Bonds, TIPS | ||||||||
| 4,631,305 | 0.750%, 2/15/2042 | 4,076,998 | ||||||
U.S. Treasury Notes | ||||||||
| 2,765,000 | 1.000%, 10/31/2016 | 2,781,419 | ||||||
| 10,015,000 | 0.625%, 5/31/2017 | 9,855,381 | ||||||
| 94,625,000 | 0.875%, 1/31/2018 | 92,939,539 | ||||||
| 8,250,000 | 2.375%, 6/30/2018 | 8,647,031 | ||||||
| 33,995,000 | 1.375%, 1/31/2020 | 33,049,531 | ||||||
| 3,800,000 | 1.625%, 8/15/2022 | 3,565,171 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
| 1,961,776 | 0.125%, 4/15/2018 | 2,012,355 | ||||||
| 903,634 | 1.125%, 1/15/2021 | 966,395 | ||||||
| 8,425,328 | 0.125%, 1/15/2022 | 8,252,221 | ||||||
| 12,921,303 | 0.125%, 1/15/2023 | 12,528,624 | ||||||
|
| |||||||
| Total | 221,588,033 | |||||||
|
| |||||||
| Utilities (1.1%) | |||||||
Duke Energy Corporation | ||||||||
| 2,000,000 | 2.100%, 6/15/2018 | 1,987,620 | ||||||
Electricite de France SA | ||||||||
| 1,500,000 | 5.250%, 1/29/2049d,j | 1,434,000 | ||||||
National Rural Utilities Cooperative Finance Corporation | ||||||||
| 1,150,000 | 4.750%, 4/30/2043 | 1,118,375 | ||||||
Northeast Utilities | ||||||||
| 3,000,000 | 1.022%, 9/20/2013g | 3,004,164 | ||||||
| 1,250,000 | 1.450%, 5/1/2018 | 1,213,289 | ||||||
ONEOK Partners, LP | ||||||||
| 650,000 | 8.625%, 3/1/2019 | 823,023 | ||||||
Sempra Energy | ||||||||
| 2,750,000 | 2.300%, 4/1/2017 | 2,785,288 | ||||||
|
| |||||||
| Total | 12,365,759 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $1,063,964,807) | 1,049,343,390 | |||||||
|
| |||||||
| Shares | Mutual Funds (1.4%) | |||||||
| Fixed Income Mutual Funds (1.4%) | |||||||
| 3,235,316 | Thrivent High Yield Fund | 16,047,169 | ||||||
|
| |||||||
| Total | 16,047,169 | |||||||
|
| |||||||
| Total Mutual Funds (cost $11,778,883) | 16,047,169 | |||||||
|
| |||||||
Preferred Stock (0.5%) | ||||||||
| Financials (0.3%) | |||||||
| 66,000 | HSBC Holdings plc, 8.000%j | 1,788,600 | ||||||
| 20,000 | The Allstate Corporation, 5.100% | 511,800 | ||||||
| 23,000 | The Goldman Sachs Group, Inc., 5.500%j | 555,220 | ||||||
|
| |||||||
| Total | 2,855,620 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
253
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Shares | Preferred Stock (0.5%) | Value | ||||||
| Utilities (0.2%) | |||||||
| 24,375 | Southern California Edison Company, 4.320%j | $ | 2,471,779 | |||||
|
| |||||||
| Total | 2,471,779 | |||||||
|
| |||||||
| Total Preferred Stock (cost $5,144,219) | 5,327,399 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (1.5%) | ||||||||
| 16,636,155 | Thrivent Cash Management Trust | 16,636,155 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $16,636,155) | 16,636,155 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (4.9%) | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 1,600,000 | 0.093%, 11/22/2013k,l | 1,599,397 | ||||||
| 900,000 | 0.105%, 12/4/2013k | 899,585 | ||||||
Thrivent Cash Management Trust | ||||||||
| 51,987,888 | 0.080% | 51,987,888 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 54,486,870 | |||||||
|
| |||||||
| Total Investments (cost $1,185,912,098) 106.8% | $ | 1,175,546,702 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (6.8%) | (74,484,886 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 1,101,061,816 | ||||||
|
| |||||||
| 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 June 28, 2013, the value of these investments was $332,617,020 or 30.2% of total net assets. |
| e | All or a portion of the security is insured or guaranteed. |
| 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 Limited Maturity Bond Portfolio owned as of June 28, 2013. |
Security | Acquisition Date | Cost | ||||
Edlinc Student Loan Funding Trust | 11/29/2012 | $ | 3,432,173 | |||
First Franklin Mortgage Loan Asset-Backed Certificates | 4/19/2006 | $ | 214,738 | |||
Mortgage Equity Conversion Asset Trust | 2/14/2007 | $ | 5,489,682 | |||
Mortgage Equity Conversion Asset Trust | 1/18/2007 | $ | 5,594,653 | |||
Wachovia Asset Securitization, Inc. | 3/16/2007 | $ | 1,223,381 | |||
| 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 June 28, 2013. |
| h | Defaulted security. Interest is not being accrued. |
| i | All or a portion of the security is on loan. |
| j | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| k | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| l | At June 28, 2013, $1,599,397 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. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
254
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments,based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 18,101,365 | ||
Gross unrealized depreciation | (28,663,061 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (10,561,696 | ) | |
Cost for federal income tax purposes | $ | 1,186,108,398 |
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, in valuing Limited Maturity Bond Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 943,026 | — | 943,026 | — | ||||||||||||
Capital Goods | 1,907,189 | — | 1,907,189 | — | ||||||||||||
Communications Services | 10,923,600 | — | 10,923,600 | — | ||||||||||||
Consumer Cyclical | 6,917,264 | — | 6,917,264 | — | ||||||||||||
Consumer Non-Cyclical | 3,015,302 | — | 3,015,302 | — | ||||||||||||
Energy | 484,997 | — | 484,997 | — | ||||||||||||
Financials | 1,883,489 | — | 1,883,489 | — | ||||||||||||
Technology | 2,372,820 | — | 2,372,820 | — | ||||||||||||
Transportation | 2,394,227 | — | 2,394,227 | — | ||||||||||||
Utilities | 2,863,805 | — | 2,863,805 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 174,539,893 | — | 157,650,617 | 16,889,276 | ||||||||||||
Basic Materials | 8,928,788 | — | 8,928,788 | — | ||||||||||||
Capital Goods | 13,257,925 | — | 13,257,925 | — | ||||||||||||
Collateralized Mortgage Obligations | 57,637,833 | — | 52,666,935 | 4,970,898 | ||||||||||||
Commercial Mortgage-Backed | ||||||||||||||||
Securities | 70,629,555 | — | 70,629,555 | — | ||||||||||||
Communications Services | 20,487,451 | — | 20,487,451 | — | ||||||||||||
Consumer Cyclical | 20,419,093 | — | 20,419,093 | — | ||||||||||||
Consumer Non-Cyclical | 37,281,238 | — | 37,281,238 | — | ||||||||||||
Energy | 15,759,194 | — | 15,759,194 | — | ||||||||||||
Financials | 262,155,516 | — | 262,155,516 | — | ||||||||||||
Foreign Government | 53,217,479 | — | 53,217,479 | — | ||||||||||||
Mortgage-Backed Securities | 60,161,692 | — | 60,161,692 | — | ||||||||||||
Technology | 7,519,466 | — | 7,519,466 | — | ||||||||||||
Transportation | 13,394,475 | — | 13,394,475 | — | ||||||||||||
U.S. Government and Agencies | 221,588,033 | — | 221,588,033 | — | ||||||||||||
Utilities | 12,365,759 | — | 12,365,759 | — | ||||||||||||
Mutual Funds | ||||||||||||||||
Fixed Income Mutual Funds | 16,047,169 | 16,047,169 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 2,855,620 | 2,855,620 | — | — | ||||||||||||
Utilities | 2,471,779 | — | 2,471,779 | — | ||||||||||||
Collateral Held for Securities Loaned | 16,636,155 | 16,636,155 | — | — | ||||||||||||
Short-Term Investments | 54,486,870 | 51,987,888 | 2,498,982 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,175,546,702 | $ | 87,526,832 | $ | 1,066,159,696 | $ | 21,860,174 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 4,875,346 | 4,875,346 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 4,875,346 | $ | 4,875,346 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 32,046 | 32,046 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 32,046 | $ | 32,046 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
255
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
There were no significant transfers between Levels during the period ended June 28, 2013. 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) | |||||||||||||
5-Yr. U.S. Treasury Bond Futures | (1,735 | ) | September 2013 | ($ | 213,657,252 | ) | ($ | 210,016,337 | ) | $ | 3,640,915 | |||||||
10-Yr. U.S. Treasury Bond Futures | (315 | ) | September 2013 | (41,101,619 | ) | (39,867,188 | ) | 1,234,431 | ||||||||||
30-Yr. U.S. Treasury Bond Futures | 5 | September 2013 | 711,265 | 679,219 | (32,046 | ) | ||||||||||||
Total Futures Contracts | $ | 4,843,300 | ||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 28, 2013, 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 | 4,875,346 | ||||
Total Interest Rate Contracts | 4,875,346 | |||||
|
| |||||
Total Asset Derivatives | $ | 4,875,346 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 32,046 | ||||
Total Interest Rate Contracts | 32,046 | |||||
|
| |||||
Total Liability Derivatives | $ | 32,046 | ||||
|
| |||||
| * | 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 June 28, 2013, 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 | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 1,709,992 | ||||
Total Interest Rate Contracts | 1,709,992 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (1,086,964 | ) | |||
Total Credit Contracts | (1,086,964 | ) | ||||
|
| |||||
Total | $ | 623,028 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
256
Table of Contents
Limited Maturity Bond Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 28, 2013, 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 | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 4,200,139 | ||||
Total Interest Rate Contracts | 4,200,139 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 393,337 | ||||
Total Credit Contracts | 393,337 | |||||
|
| |||||
Total | $ | 4,593,476 | ||||
|
| |||||
The following table presents Limited Maturity Bond Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Swaps (Notional*) | Swaps (Percentage of Average Net Assets) | ||||||||||||
Interest Rate Contracts | $ | 287,300,011 | 24.3 | % | N/A | N/A | ||||||||||
Credit Contracts | N/A | N/A | $ | 34,104,752 | 2.9 | % | ||||||||||
| * | 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 Limited Maturity Bond Portfolio, is as follows:
Portfolio | Value December 31, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
High Yield Fund | $ | 18,329,255 | $ | — | $ | 1,930,000 | 3,235,316 | $ | 16,047,169 | $ | 513,473 | |||||||||||||
Cash Management Trust- Collateral Investment | 10,526,150 | 95,692,223 | 89,582,218 | 16,636,155 | 16,636,155 | 17,021 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | 48,536,050 | 218,564,284 | 215,112,446 | 51,987,888 | 51,987,888 | 23,445 | ||||||||||||||||||
Total Value and Income Earned | 77,391,455 | 84,671,212 | 553,939 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
257
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (104.0%) | Value | ||||||
| Asset-Backed Securities (7.0%) | ||||||||
Asset Backed Securities Corporation Home Equity | ||||||||
| $255,982 | 0.333%, 7/25/2036a | $ | 227,623 | |||||
Countrywide Asset-Backed Certificates | ||||||||
| 193,372 | 5.859%, 10/25/2046 | 131,711 | ||||||
Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 112,316 | 4.078%, 12/25/2036 | 73,567 | ||||||
First Horizon ABS Trust | ||||||||
| 312,061 | 0.323%, 10/25/2026a,b | 284,191 | ||||||
| 598,796 | 0.353%, 10/25/2034a,b | 455,657 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 764,579 | 0.373%, 8/25/2035a,b | 621,134 | ||||||
Popular ABS Mortgage Pass- Through Trust | ||||||||
| 100,000 | 5.297%, 11/25/2035 | 83,914 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 250,000 | 5.797%, 8/25/2036 | 160,506 | ||||||
| 196,557 | 5.285%, 1/25/2037 | 109,535 | ||||||
Wachovia Asset Securitization, Inc. | ||||||||
| 489,353 | 0.333%, 7/25/2037a,b,c | 408,202 | ||||||
|
| |||||||
| Total | 2,556,040 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (9.4%) | ||||||||
Citicorp Mortgage Securities, Inc. | ||||||||
| 195,000 | 6.000%, 7/25/2037 | 193,468 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
| 186,402 | 5.750%, 4/25/2037 | 167,122 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 48,601 | 5.500%, 10/25/2035 | 46,031 | ||||||
| 92,046 | 5.500%, 2/25/2036 | 82,415 | ||||||
| 132,647 | 6.000%, 1/25/2037 | 105,251 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 104,837 | 5.341%, 9/19/2035 | 102,467 | ||||||
GSR Mortgage Loan Trust | ||||||||
| 39,130 | 0.383%, 8/25/2046a | 36,354 | ||||||
Impac CMB Trust | ||||||||
| 303,174 | 0.713%, 4/25/2035a | 268,004 | ||||||
| 54,984 | 0.833%, 8/25/2035a | 45,449 | ||||||
J.P. Morgan Alternative Loan Trust | ||||||||
| 123,584 | 6.500%, 3/25/2036 | 108,493 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 145,711 | 6.500%, 1/25/2035 | 141,714 | ||||||
| 376,440 | 2.510%, 6/25/2036 | 325,635 | ||||||
| 69,181 | 2.968%, 10/25/2036 | 54,659 | ||||||
MLCC Mortgage Investors, Inc. | ||||||||
| 299,026 | 0.853%, 8/25/2029a | 291,068 | ||||||
Residential Accredit Loans, Inc. | ||||||||
| 150,272 | 5.500%, 12/25/2034 | 154,444 | ||||||
| 184,754 | 3.769%, 9/25/2035 | 147,957 | ||||||
Sequoia Mortgage Trust | ||||||||
| 287,460 | 0.502%, 11/20/2034a | 279,646 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
| 81,041 | 2.727%, 10/25/2036 | 66,607 | ||||||
| 54,398 | 2.654%, 8/25/2046 | 44,318 | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
| 280,200 | 5.000%, 3/25/2021 | 287,342 | ||||||
| 330,885 | 2.641%, 3/25/2036 | 321,811 | ||||||
| 85,378 | 2.723%, 4/25/2036 | 79,743 | ||||||
| 87,706 | 6.000%, 7/25/2037 | 83,320 | ||||||
|
| |||||||
| Total | 3,433,318 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (5.5%) | ||||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 22,923 | 5.853%, 6/11/2040 | 23,205 | ||||||
Commercial Mortgage Pass-Through Certificates | ||||||||
| 250,000 | 5.306%, 12/10/2046 | 275,805 | ||||||
Credit Suisse First Boston Mortgage Securities | ||||||||
| 200,000 | 5.542%, 1/15/2049 | 221,464 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 118,000 | 5.509%, 9/15/2039 | 126,635 | ||||||
Federal National Mortgage Association | ||||||||
| 350,000 | 1.083%, 2/25/2016 | 351,890 | ||||||
GE Capital Commercial Mortgage Corporation | ||||||||
| 9,582 | 4.641%, 3/10/2040 | 9,590 | ||||||
Government National Mortgage Association | ||||||||
| 132,671 | 2.164%, 3/16/2033 | 133,765 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
| 300,000 | 4.786%, 10/15/2029 | 309,607 | ||||||
| 24,939 | 5.303%, 2/15/2040 | 24,962 | ||||||
| 96,016 | 5.866%, 9/15/2045 | 107,020 | ||||||
Morgan Stanley Capital I | ||||||||
| 100,000 | 3.224%, 7/15/2049 | 104,822 | ||||||
Morgan Stanley Capital, Inc. | ||||||||
| 285,000 | 5.332%, 12/15/2043 | 313,645 | ||||||
|
| |||||||
| Total | 2,002,410 | |||||||
|
| |||||||
| Mortgage-Backed Securities (80.0%) | ||||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 2,650,000 | 2.500%, 7/1/2028d | 2,663,250 | ||||||
Federal Home Loan Mortgage Corporation Gold 20-Yr. Pass Through | ||||||||
| 70,813 | 5.500%, 9/1/2024 | 76,317 | ||||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 242,560 | 2.250%, 6/25/2025 | 247,894 | ||||||
| 3,950,000 | 2.500%, 7/1/2028d | 3,972,836 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
258
Table of Contents
Mortgage Securities Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Long-Term Fixed Income (104.0%) | Value | ||||||
| Mortgage-Backed Securities (80.0%) - continued | ||||||||
Federal National Mortgage Association Conventional 20-Yr. Pass Through | ||||||||
| $527,124 | 6.000%, 8/1/2024 | $ | 580,736 | |||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 7,037,500 | 3.000%, 7/1/2043d | 6,875,857 | ||||||
| 6,600,000 | 3.500%, 7/1/2043d | 6,700,031 | ||||||
| 7,737,500 | 4.000%, 7/1/2043d | 8,060,601 | ||||||
|
| |||||||
| Total | 29,177,522 | |||||||
|
| |||||||
| U.S. Government and Agencies (2.1%) | ||||||||
U.S. Treasury Notes, TIPS | ||||||||
| 754,530 | 0.125%, 4/15/2018 | 773,983 | ||||||
|
| |||||||
| Total | 773,983 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $38,460,060) | 37,943,273 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (72.8%) | |||||||
Fairway Finance, LLC | ||||||||
| 1,000,000 | 0.140%, 7/8/2013e | 999,965 | ||||||
Federal Agricultural Mortgage Corporation Discount Notes | ||||||||
| 4,800,000 | 0.070%, 7/12/2013e | 4,799,879 | ||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 4,000,000 | 0.050%, 7/5/2013e | 3,999,966 | ||||||
| 100,000 | 0.093%, 11/22/2013e,f | 99,962 | ||||||
Liberty Street Funding, LLC | ||||||||
| 1,000,000 | 0.150%, 7/18/2013e | 999,921 | ||||||
Nieuw Amsterdam Receivables | ||||||||
| 1,000,000 | 0.160%, 7/18/2013e | 999,916 | ||||||
Thrivent Cash Management Trust | ||||||||
| 14,678,780 | 0.080% | 14,678,780 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 26,578,389 | |||||||
|
| |||||||
| Total Investments (cost $65,038,449) 176.8% | $ | 64,521,662 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (76.8%) | (28,028,473 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 36,493,189 | ||||||
|
| |||||||
| 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 June 28, 2013. |
| 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 June 28, 2013. |
Security | Acquisition Date | Cost | ||||||
Wachovia Asset Securitization, Inc. | 3/16/2007 | $ | 489,352 | |||||
| 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 June 28, 2013, $99,962 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
| 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 | $ | 468,372 | ||
Gross unrealized depreciation | (985,159 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (516,787 | ) | |
Cost for federal income tax purposes | $ | 65,038,449 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
259
Table of Contents
Mortgage Securities Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 2,556,040 | — | 2,556,040 | — | ||||||||||||
Collateralized Mortgage Obligations | 3,433,318 | — | 3,433,318 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 2,002,410 | — | 2,002,410 | — | ||||||||||||
Mortgage-Backed Securities | 29,177,522 | — | 29,177,522 | — | ||||||||||||
U.S. Government and Agencies | 773,983 | — | 773,983 | — | ||||||||||||
Short-Term Investments | 26,578,389 | 14,678,780 | 11,899,609 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 64,521,662 | $ | 14,678,780 | $ | 49,842,882 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 40,579 | 40,579 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 40,579 | $ | 40,579 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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) | |||||||||||||||
5-Yr. U.S. Treasury Bond Futures | (10 | ) | September 2013 | ($ | 1,231,454 | ) | ($ | 1,210,469 | ) | $ | 20,985 | |||||||||
10-Yr. U.S. Treasury Bond Futures | (5 | ) | September 2013 | (652,407 | ) | (632,813 | ) | 19,594 | ||||||||||||
Total Futures Contracts | $ | 40,579 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of June 28, 2013, 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 | ||||
Asset Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 40,579 | ||||
Total Interest Rate Contracts | 40,579 | |||||
|
| |||||
Total Asset Derivatives | $ | 40,579 | ||||
|
| |||||
| * | 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.
260
Table of Contents
Mortgage Securities Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended June 28, 2013, 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 | ||||
Equity Contracts | ||||||
Options Written | Net realized gains/(losses) on Written option contracts | 15,039 | ||||
Total Equity Contracts | 15,039 | |||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (9,198 | ) | |||
Total Interest Rate Contracts | (9,198 | ) | ||||
|
| |||||
Total | $ | 5,841 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended June 28, 2013, 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 | 42,821 | ||||
Total Interest Rate Contracts | 42,821 | |||||
|
| |||||
Total | $ | 42,821 | ||||
|
| |||||
The following table presents Mortgage Securities Portfolio’s average volume of derivative activity during the period ended June 28, 2013.
Derivative Risk Category | Futures (Notional*) | Futures (Percentage of Average Net Assets) | Options (Contracts) | |||||||||
Equity Contracts | N/A | N/A | % | 1 | ||||||||
Interest Rate Contracts | $ | 1,858,245 | 4.9 | 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 Mortgage Securities Portfolio, is as follows:
Portfolio | Value December 31, 2012 | Gross Purchases | Gross Sales | Shares Held at June 28, 2013 | Value June 28, 2013 | Income Earned January 1, 2013 - June 28, 2013 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | $ | 16,055,160 | $ | 25,314,502 | $ | 26,690,882 | 14,678,780 | $ | 14,678,780 | $ | 7,309 | |||||||||||||
Total Value and Income Earned | 16,055,160 | 14,678,780 | 7,309 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
261
Table of Contents
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Asset Backed Commercial Paper (25.7%)a | Value | ||||||
Barton Capital Corporation | ||||||||
| $3,401,000 | 0.070%, 7/1/2013b,c | $ | 3,400,987 | |||||
Dealers Capital Access Trust, LLC | ||||||||
| 1,350,000 | 0.320%, 7/22/2013b | 1,349,724 | ||||||
| 1,300,000 | 0.320%, 8/8/2013b | 1,299,538 | ||||||
| 1,350,000 | 0.320%, 9/4/2013b | 1,349,196 | ||||||
Fairway Finance, LLC | ||||||||
| 1,370,000 | 0.160%, 7/18/2013b,c | 1,369,884 | ||||||
| 1,320,000 | 0.180%, 8/19/2013b,c | 1,319,663 | ||||||
Golden Funding Corporation | ||||||||
| 1,000,000 | 0.140%, 7/2/2013b,c | 999,988 | ||||||
| 1,400,000 | 0.320%, 7/15/2013b,c | 1,399,801 | ||||||
| 1,300,000 | 0.250%, 8/20/2013b,c | 1,299,530 | ||||||
| 1,400,000 | 0.400%, 8/26/2013b,c | 1,399,098 | ||||||
Jupiter Securitization | ||||||||
Corporation, LLC | ||||||||
| 5,285,000 | 0.100%, 7/1/2013b,c | 5,284,971 | ||||||
Kells Funding, LLC | ||||||||
| 1,400,000 | 0.260%, 8/20/2013b,c | 1,399,474 | ||||||
| 1,400,000 | 0.230%, 9/9/2013b,c | 1,399,356 | ||||||
Nieuw Amsterdam Receivables | ||||||||
| 1,340,000 | 0.180%, 8/13/2013b,c | 1,339,699 | ||||||
Old Line Funding, LLC | ||||||||
| 4,000,000 | 0.050%, 7/1/2013b,c | 3,999,989 | ||||||
| 1,430,000 | 0.230%, 10/15/2013b,c | 1,429,013 | ||||||
| 1,360,000 | 0.233%, 3/10/2014b,c | 1,360,000 | ||||||
Sydney Capital Corporation | ||||||||
| 1,400,000 | 0.270%, 7/11/2013b,c | 1,399,874 | ||||||
| 1,360,000 | 0.260%, 9/16/2013b,c | 1,359,224 | ||||||
| 1,360,000 | 0.260%, 9/24/2013b,c | 1,359,145 | ||||||
|
| |||||||
| Total | 35,518,154 | |||||||
|
| |||||||
Certificate of Deposit (9.8%)a | ||||||||
Bank of Montreal Chicago | ||||||||
| 1,370,000 | 0.455%, 7/24/2014d | 1,372,309 | ||||||
Rabobank Nederland | ||||||||
| 1,430,000 | 0.378%, 7/11/2013d | 1,430,073 | ||||||
| 1,360,000 | 0.311%, 4/29/2014d | 1,360,162 | ||||||
Royal Bank of Canada | ||||||||
| 1,000,000 | 0.323%, 8/27/2013d | 1,000,190 | ||||||
| 1,350,000 | 0.310%, 2/28/2014d | 1,350,000 | ||||||
| 1,360,000 | 0.290%, 6/17/2014d | 1,360,000 | ||||||
Toronto-Dominion Bank NY | ||||||||
| 1,430,000 | 0.272%, 9/13/2013d | 1,430,000 | ||||||
| 1,400,000 | 0.276%, 10/21/2013d | 1,400,000 | ||||||
Wells Fargo Bank NA | ||||||||
| 1,370,000 | 0.150%, 8/12/2013 | 1,370,000 | ||||||
| 1,400,000 | 0.256%, 4/17/2014d | 1,400,000 | ||||||
|
| |||||||
| Total | 13,472,734 | |||||||
|
| |||||||
Financial Company Commercial Paper (0.7%)a | ||||||||
Skandinav Enskilda Bank | ||||||||
| 1,000,000 | 0.230%, 8/1/2013c | 999,789 | ||||||
|
| |||||||
| Total | 999,789 | |||||||
|
| |||||||
Government Agency Debt (32.7%)a | ||||||||
Federal Farm Credit Bank | ||||||||
| 1,540,000 | 0.213%, 8/22/2013d | 1,540,186 | ||||||
| 1,450,000 | 0.181%, 8/27/2013d | 1,450,000 | ||||||
| 800,000 | 0.163%, 1/13/2014d | 800,046 | ||||||
Federal Home Loan Bank | ||||||||
| 1,420,000 | 0.160%, 12/20/2013d | 1,419,794 | ||||||
| 1,420,000 | 0.180%, 2/24/2014d | 1,420,000 | ||||||
| 1,050,000 | 0.220%, 2/28/2014d | 1,050,283 | ||||||
| 1,410,000 | 0.220%, 6/4/2014d | 1,410,931 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 930,000 | 0.300%, 9/3/2013d | 929,964 | ||||||
| 1,440,000 | 0.133%, 9/13/2013d | 1,439,988 | ||||||
| 2,960,000 | 0.164%, 11/4/2013d | 2,960,168 | ||||||
Federal National Mortgage Association | ||||||||
| 850,000 | 0.330%, 10/28/2013d | 849,971 | ||||||
| 1,410,000 | 0.172%, 6/20/2014d | 1,409,722 | ||||||
| 1,410,000 | 0.360%, 8/25/2014d | 1,412,309 | ||||||
Overseas Private Investment Corporation | ||||||||
| 1,379,309 | 0.140%, 7/3/2013d | 1,379,309 | ||||||
| 5,380,000 | 0.140%, 7/5/2013d | 5,380,000 | ||||||
| 2,500,000 | 0.140%, 7/5/2013d | 2,500,000 | ||||||
| 1,420,000 | 0.140%, 7/5/2013d | 1,420,000 | ||||||
| 1,410,000 | 0.150%, 7/5/2013d | 1,410,000 | ||||||
| 920,000 | 0.352%, 7/12/2013 | 936,930 | ||||||
| 3,715,000 | 0.531%, 12/9/2013 | 3,725,860 | ||||||
| 2,270,000 | 0.400%, 5/2/2014 | 2,271,440 | ||||||
| 3,000,000 | 0.400%, 5/2/2014 | 3,001,904 | ||||||
Straight-A Funding, LLC | ||||||||
| 5,000,000 | 0.080%, 7/3/2013b,c | 4,999,956 | ||||||
|
| |||||||
| Total | 45,118,761 | |||||||
|
| |||||||
| Shares | Investment Company (6.8%) | |||||||
AIM Investments Institutional Government and Agency Portfolio | ||||||||
| 15,000 | 0.020% | 15,000 | ||||||
BlackRock Cash Funds | ||||||||
| 6,533,000 | 0.120% | 6,533,000 | ||||||
Dreyfus Institutional Cash Advantage Fund | ||||||||
| 2,670,000 | 0.040% | 2,670,000 | ||||||
DWS Money Market Series | ||||||||
| 150,029 | 0.070% | 150,028 | ||||||
|
| |||||||
| Total | 9,368,028 | |||||||
|
| |||||||
| Principal Amount | Other Commercial Paper (2.0%)a | |||||||
Caisse des Depots et Consignations | ||||||||
| 1,360,000 | 0.210%, 7/30/2013b,c | 1,359,754 | ||||||
Society of New York Hospital Fund | ||||||||
| 1,400,000 | 0.200%, 8/13/2013b | 1,399,650 | ||||||
|
| |||||||
| Total | 2,759,404 | |||||||
|
| |||||||
Other Note (18.3%)a | ||||||||
Bank of New York Mellon Corporation | ||||||||
| 1,400,000 | 0.554%, 1/31/2014d | 1,402,639 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
262
Table of Contents
Money Market Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
| Principal Amount | Other Note (18.3%)a | Value | ||||||
BHP Billiton Finance USA, Ltd. | ||||||||
| $1,200,000 | 6.750%, 11/1/2013b | $ | 1,225,777 | |||||
| 900,000 | 0.544%, 2/18/2014b,d | 901,659 | ||||||
General Electric Capital Corporation | ||||||||
| 1,400,000 | 1.130%, 1/7/2014b,d | 1,406,374 | ||||||
| 860,000 | 0.402%, 3/20/2014b,d | 860,739 | ||||||
| 1,400,000 | 0.910%, 4/7/2014b,d | 1,406,996 | ||||||
KFW International Finance | ||||||||
| 800,000 | 0.458%, 1/17/2014b,d | 801,083 | ||||||
Nordea Bank AB | ||||||||
| 1,420,000 | 1.750%, 10/4/2013c | 1,425,426 | ||||||
| 825,000 | 2.125%, 1/14/2014c | 832,782 | ||||||
Novartis Capital Corporation | ||||||||
| 1,400,000 | 4.125%, 2/10/2014b | 1,432,114 | ||||||
Rabobank Nederland | ||||||||
| 1,440,000 | 0.476%, 7/25/2013d | 1,440,248 | ||||||
Royal Bank of Canada | ||||||||
| 700,000 | 2.100%, 7/29/2013 | 701,090 | ||||||
| 1,410,000 | 1.125%, 1/15/2014 | 1,416,032 | ||||||
Toronto-Dominion Bank | ||||||||
| 1,380,000 | 0.456%, 7/26/2013d | 1,380,295 | ||||||
Total Capital Canada, Ltd. | ||||||||
| 1,440,000 | 0.658%, 1/17/2014b,d | 1,443,376 | ||||||
U.S. Bancorp | ||||||||
| 2,035,000 | 1.375%, 9/13/2013 | 2,038,964 | ||||||
| 1,400,000 | 1.125%, 10/30/2013 | 1,402,866 | ||||||
United Technologies Corporation | ||||||||
| 750,000 | 0.545%, 12/2/2013d | 750,981 | ||||||
Wells Fargo Bank NA | ||||||||
| 1,370,000 | 0.323%, 7/14/2014d | 1,370,000 | ||||||
Westpac Banking Corporation | ||||||||
| 700,000 | 1.005%, 12/9/2013d | 702,340 | ||||||
| 1,110,000 | 1.204%, 2/24/2014c,d | 1,116,727 | ||||||
|
| |||||||
| Total | 25,458,508 | |||||||
|
| |||||||
Variable Rate Demand Note (5.2%)a | ||||||||
Douglas County, Nebraska Hospital Authority No. 2 Health Facilities Revenue Refunding Bonds (Children’s Hospital) | ||||||||
| 1,600,000 | 0.080%, 7/1/2013b,d | 1,600,000 | ||||||
Louisiana Housing Finance Agency Qualified Gulf Opportunity Zone Bonds (Canterbury House Apartments - Sherwood) | ||||||||
| 1,940,000 | 0.070%, 7/5/2013b,d | 1,940,000 | ||||||
St. Cloud, Minnesota Health Care Refunding Revenue Bonds (CentraCare Health System) | ||||||||
| 2,050,000 | 0.060%, 7/5/2013b,d | 2,050,000 | ||||||
Wisconsin State Health & Educational Facilities Authority Revenue Prohealth Care, Inc. | ||||||||
| 1,540,000 | 0.080%, 7/1/2013b,d | 1,540,000 | ||||||
|
| |||||||
| Total | 7,130,000 | |||||||
|
| |||||||
| Total Investments (at amortized cost) 101.2% | $ | 139,825,378 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (1.2)% | (1,627,185 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 138,198,193 | ||||||
|
| |||||||
| a | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| 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 June 28, 2013. |
| c | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
| 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 June 28, 2013, the value of these investments was $42,254,130 or 30.6% of total net assets. |
Cost for federal income tax purposes | $ | 139,825,378 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
263
Table of Contents
Money Market Portfolio
Schedule of Investments as of June 28, 2013
(unaudited)
Fair Valuation Measurements
The following table is a summary of the inputs used, as of June 28, 2013, 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 | 35,518,154 | — | 35,518,154 | — | ||||||||||||
Certificate of Deposit | 13,472,734 | — | 13,472,734 | — | ||||||||||||
Financial Company Commercial Paper | 999,789 | — | 999,789 | — | ||||||||||||
Government Agency Debt | 45,118,761 | — | 45,118,761 | — | ||||||||||||
Investment Company | 9,368,028 | 9,368,028 | — | — | ||||||||||||
Other Commercial Paper | 2,759,404 | — | 2,759,404 | — | ||||||||||||
Other Note | 25,458,508 | — | 25,458,508 | — | ||||||||||||
Variable Rate Demand Note | 7,130,000 | — | 7,130,000 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 139,825,378 | $ | 9,368,028 | $ | 130,457,350 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended June 28, 2013. 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.
264
Table of Contents
THIS PAGE INTENTIONALLY LEFT BLANK
265
Table of Contents
Statement of Assets and Liabilities
As of June 28, 2013 (unaudited) | Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 623,497,639 | $ | 3,374,546,742 | $ | 6,168,941,466 | $ | 3,450,378,017 | ||||||||
Investments in securities at value | 314,239,628 | 1,760,278,981 | 3,592,551,835 | 2,321,556,527 | ||||||||||||
Investments in affiliates at value | 345,891,201 | 1,797,486,735 | 2,825,235,332 | 1,214,783,812 | ||||||||||||
Investments at Value | 660,130,829 | 3,557,765,716 | 6,417,787,167 | 3,536,340,339 | ||||||||||||
Cash | 1,137,098 | 1,352,566 | 1,664,689 | 1,654,084 | ||||||||||||
Dividends and interest receivable | 258,121 | 2,289,127 | 5,760,942 | 4,334,088 | ||||||||||||
Prepaid expenses | 5,508 | 16,255 | 26,303 | 15,375 | ||||||||||||
Receivable for investments sold | 1,041,860 | 36,459,133 | 122,289,609 | 97,693,962 | ||||||||||||
Receivable for fund shares sold | 191,057 | 2,405,978 | 3,145,687 | 145,296 | ||||||||||||
Receivable for variation margin | 362,198 | 605,629 | 510,423 | 244,166 | ||||||||||||
Total Assets | 663,126,671 | 3,600,894,404 | 6,551,184,820 | 3,640,427,310 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 42,201 | 89,918 | 125,694 | 81,542 | ||||||||||||
Payable for investments purchased | 3,738,808 | 109,564,709 | 423,553,262 | 468,260,348 | ||||||||||||
Payable upon return of collateral for securities loaned | — | 40,552,164 | 52,463,197 | 22,428,437 | ||||||||||||
Payable for fund shares redeemed | 100,396 | 151,380 | 430,981 | 1,209,763 | ||||||||||||
Unrealized loss on forward contracts | — | — | — | — | ||||||||||||
Payable for variation margin | 933,382 | 2,930,162 | 4,535,810 | 1,979,854 | ||||||||||||
Payable to affiliate | 232,338 | 1,016,856 | 1,700,382 | 900,286 | ||||||||||||
Mortgage dollar roll deferred revenue | 3,058 | 89,536 | 340,852 | 427,432 | ||||||||||||
Total Liabilities | 5,050,183 | 154,394,725 | 483,150,178 | 495,287,662 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 611,000,909 | 3,196,331,957 | 5,696,710,787 | 3,010,217,728 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 2,838,619 | 24,986,938 | 49,356,804 | 27,135,676 | ||||||||||||
Accumulated undistributed net realized gain/(loss) | 13,211,435 | 57,797,426 | 101,985,371 | 37,645,467 | ||||||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 37,329,070 | 105,702,883 | 117,513,876 | 36,985,263 | ||||||||||||
Affiliated investments | (695,880 | ) | 77,516,091 | 131,331,825 | 48,977,059 | |||||||||||
Futures contracts | (5,606,868 | ) | (15,832,141 | ) | (28,858,963 | ) | (15,819,779 | ) | ||||||||
Foreign currency forward contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | (797 | ) | (3,475 | ) | (5,058 | ) | (1,766 | ) | ||||||||
Total Net Assets | $ | 658,076,488 | $ | 3,446,499,679 | $ | 6,068,034,642 | $ | 3,145,139,648 | ||||||||
Shares of beneficial interest outstanding | 51,112,868 | 271,542,628 | 489,194,550 | 263,845,689 | ||||||||||||
Net asset value per share | $ | 12.87 | $ | 12.69 | $ | 12.40 | $ | 11.92 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
266
Table of Contents
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 | ||||||||||||||||||||
| $ | 34,633,939 | $ | 31,246,031 | $ | 37,994,985 | $ | 56,445,539 | $ | 137,424,695 | $ | 271,708,443 | $ | 233,965,277 | |||||||||||||
| 36,649,867 | 35,383,466 | 30,865,441 | 55,973,559 | 131,391,197 | 274,238,604 | 314,981,156 | ||||||||||||||||||||
| 4,955,289 | 2,005,393 | 3,185,389 | 6,186,805 | 1,127,562 | 45,544,339 | 19,967,183 | ||||||||||||||||||||
| 41,605,156 | 37,388,859 | 34,050,830 | 62,160,364 | 132,518,759 | 319,782,943 | 334,948,339 | ||||||||||||||||||||
| — | 4,770 | (a) | — | 58,095 | (b) | 709 | — | — | ||||||||||||||||||
| 14,408 | 102,064 | 45,844 | 156,246 | 392,327 | 109,281 | 278,878 | ||||||||||||||||||||
| 3,048 | 3,021 | 3,030 | 3,147 | 3,431 | 3,994 | 4,175 | ||||||||||||||||||||
| — | 183,982 | — | — | 29,695 | 2,124,738 | — | ||||||||||||||||||||
| 18,037 | 155,700 | 16,745 | 108,582 | 19,248 | 3,807 | 29,162 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 41,640,649 | 37,838,396 | 34,116,449 | 62,486,434 | 132,964,169 | 322,024,763 | 335,260,554 | ||||||||||||||||||||
| 23,337 | 17,767 | 17,371 | 34,225 | 53,308 | 41,474 | 47,788 | ||||||||||||||||||||
| 234,032 | 556,786 | — | — | 198,065 | 6,067,259 | 197,124 | ||||||||||||||||||||
| 3,561,772 | — | 2,108,929 | 4,684,156 | — | 37,118,637 | 11,398,190 | ||||||||||||||||||||
| 34,134 | 5,213 | 1,532 | 3,208 | 34,746 | 5,146 | 23,494 | ||||||||||||||||||||
| — | 340 | — | 14 | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 28,978 | 29,301 | 21,665 | 54,532 | 90,254 | 203,273 | 209,265 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 3,882,253 | 609,407 | 2,149,497 | 4,776,135 | 376,373 | 43,435,789 | 11,875,861 | ||||||||||||||||||||
| 34,541,928 | 29,805,458 | 38,703,000 | 52,481,749 | 136,411,778 | 214,699,845 | 221,682,905 | ||||||||||||||||||||
| (21,513 | ) | 87,237 | 105,294 | 321,189 | 1,330,567 | (457,865 | ) | (1,248,630 | ) | |||||||||||||||||
| (3,733,236 | ) | 1,195,497 | (2,897,187 | ) | (804,982 | ) | (248,524 | ) | 16,272,494 | 1,967,356 | ||||||||||||||||
| 6,971,217 | 6,142,828 | (3,944,155 | ) | 5,714,825 | (4,905,936 | ) | 48,074,500 | 100,983,062 | ||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | (340 | ) | — | (14 | ) | — | — | — | ||||||||||||||||||
| — | (1,691 | ) | — | (2,468 | ) | (89 | ) | — | — | |||||||||||||||||
| $ | 37,758,396 | $ | 37,228,989 | $ | 31,966,952 | $ | 57,710,299 | $ | 132,587,796 | $ | 278,588,974 | $ | 323,384,693 | |||||||||||||
| 4,856,685 | 2,552,150 | 4,664,603 | 4,698,120 | 7,123,600 | 17,907,471 | 13,647,194 | ||||||||||||||||||||
| $ | 7.77 | $ | 14.59 | $ | 6.85 | $ | 12.28 | $ | 18.61 | $ | 15.56 | $ | 23.70 | |||||||||||||
| (a) | Includes foreign currency holdings of $4,770 (cost $4,822). |
| (b) | Includes foreign currency holdings of $58,095 (cost $58,133). |
The accompanying Notes to Financial Statements are an integral part of this schedule.
267
Table of Contents
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
As of June 28, 2013 (unaudited) | Small Cap Stock Portfolio | Small Cap Index Portfolio | Mid Cap Growth Portfolio | Partner Mid Cap Value Portfolio | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 264,773,477 | $ | 170,981,081 | $ | 322,287,105 | $ | 274,911,839 | ||||||||
Investments in securities at value | 268,539,479 | 215,771,220 | 352,758,401 | 301,931,460 | ||||||||||||
Investments in affiliates at value | 45,753,767 | 22,076,626 | 32,387,714 | 14,294,639 | ||||||||||||
Investments at Value | 314,293,246 | 237,847,846 | 385,146,115 | 316,226,099 | ||||||||||||
Cash | — | 1,894 | — | — | ||||||||||||
Initial margin deposit on open futures contracts | — | — | — | — | ||||||||||||
Dividends and interest receivable | 198,908 | 252,367 | 114,091 | 522,830 | ||||||||||||
Prepaid expenses | 4,095 | 3,754 | 4,425 | 4,087 | ||||||||||||
Receivable for investments sold | 385,417 | 383,409 | — | 6,078,755 | ||||||||||||
Receivable for fund shares sold | 35,772 | 74,378 | 2,769 | 26,024 | ||||||||||||
Unrealized gain on forward contracts | — | — | — | — | ||||||||||||
Receivable for variation margin | — | — | — | — | ||||||||||||
Total Assets | 314,917,438 | 238,563,648 | 385,267,400 | 322,857,795 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 63,075 | 66,734 | 104,781 | 38,359 | ||||||||||||
Payable for investments purchased | 1,984,005 | 328,261 | — | 8,655,140 | ||||||||||||
Payable upon return of collateral for securities loaned | 10,762,540 | 19,120,857 | 17,461,103 | 9,205,796 | ||||||||||||
Payable for fund shares redeemed | 31,785 | 25,299 | 26,822 | 2,756 | ||||||||||||
Unrealized loss on forward contracts | — | — | — | — | ||||||||||||
Payable for variation margin | 50,040 | 5,619 | — | — | ||||||||||||
Payable to affiliate | 168,751 | 68,405 | 126,439 | 171,926 | ||||||||||||
Total Liabilities | 13,060,196 | 19,615,175 | 17,719,145 | 18,073,977 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 274,851,778 | 149,734,131 | 283,292,193 | 234,129,232 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 635,202 | 906,823 | 483,761 | 1,248,950 | ||||||||||||
Accumulated undistributed net realized gain/(loss) | (23,387,948 | ) | 1,416,532 | 20,913,291 | 28,091,376 | |||||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 49,519,769 | 66,866,765 | 62,859,010 | 41,314,260 | ||||||||||||
Futures contracts | 238,441 | 24,222 | — | — | ||||||||||||
Foreign currency forward contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | — | — | — | ||||||||||||
Total Net Assets | $ | 301,857,242 | $ | 218,948,473 | $ | 367,548,255 | $ | 304,783,818 | ||||||||
Shares of beneficial interest outstanding | 20,150,258 | 14,874,258 | 17,491,641 | 19,006,180 | ||||||||||||
Net asset value per share | $ | 14.98 | $ | 14.72 | $ | 21.01 | $ | 16.04 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
268
Table of Contents
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 | ||||||||||||||||||||
| $ | 503,876,359 | $ | 79,777,942 | $ | 1,525,559,687 | $ | 9,467,293 | $ | 10,457,857 | $ | 6,457,156 | $ | 50,919,738 | |||||||||||||
| 539,145,440 | 96,744,780 | 1,450,800,277 | 10,807,199 | 12,312,499 | 6,682,200 | 54,722,657 | ||||||||||||||||||||
| 81,671,730 | 10,867,597 | 113,458,095 | 498,266 | 341,776 | 140,075 | 1,151,851 | ||||||||||||||||||||
| 620,817,170 | 107,612,377 | 1,564,258,372 | 11,305,465 | 12,654,275 | 6,822,275 | 55,874,508 | ||||||||||||||||||||
| — | — | 1,600,120 | (a) | — | — | 306 | (b) | — | ||||||||||||||||||
| — | — | 110,127 | — | — | — | — | ||||||||||||||||||||
| 690,999 | 114,251 | 7,604,965 | 4,684 | 6,140 | 10,515 | 50,773 | ||||||||||||||||||||
| 5,172 | 3,287 | 8,998 | 2,941 | 2,950 | 2,924 | 3,119 | ||||||||||||||||||||
| 4,706,292 | 83,939 | 13,400,220 | — | 264,418 | — | 469,469 | ||||||||||||||||||||
| 1,755 | 108,018 | 54,936 | 14,976 | 38 | 95 | 18,989 | ||||||||||||||||||||
| — | — | 965,675 | — | — | — | — | ||||||||||||||||||||
| — | — | 19,826 | — | — | — | — | ||||||||||||||||||||
| 626,221,388 | 107,921,872 | 1,588,023,239 | 11,328,066 | 12,927,821 | 6,836,115 | 56,416,858 | ||||||||||||||||||||
| 74,479 | 30,404 | 250,177 | 17,277 | 17,321 | 17,606 | 25,288 | ||||||||||||||||||||
| 6,805,501 | 332,709 | 13,913,736 | — | 103,042 | — | 83,754 | ||||||||||||||||||||
| 49,592,150 | 6,088,333 | 92,148,841 | — | — | — | 886,150 | ||||||||||||||||||||
| 89,037 | 34,832 | 17,352 | 2,148 | 45,682 | 48,434 | 29,587 | ||||||||||||||||||||
| — | — | 823,389 | — | — | — | — | ||||||||||||||||||||
| — | 11,852 | 9,279 | — | — | — | — | ||||||||||||||||||||
| 306,933 | 35,245 | 877,848 | 4,312 | 5,615 | 738 | 36,276 | ||||||||||||||||||||
| 56,868,100 | 6,533,375 | 108,040,622 | 23,737 | 171,660 | 66,778 | 1,061,055 | ||||||||||||||||||||
| 448,337,664 | 73,043,719 | 1,655,551,856 | 9,486,663 | 10,126,554 | 6,423,789 | 55,640,740 | ||||||||||||||||||||
| 970,220 | 495,520 | 20,786,622 | 3,751 | (5,575 | ) | 34,878 | 185,549 | |||||||||||||||||||
| 3,104,593 | 58,289 | (235,004,828 | ) | (24,257 | ) | 438,764 | (54,449 | ) | (5,425,256 | ) | ||||||||||||||||
| 116,940,811 | 27,834,435 | 38,698,685 | 1,838,172 | 2,196,418 | 365,119 | 4,954,770 | ||||||||||||||||||||
| — | (43,466 | ) | (36,297 | ) | — | — | — | — | ||||||||||||||||||
| — | — | 142,286 | — | — | — | — | ||||||||||||||||||||
| — | — | (155,707 | ) | — | — | — | — | |||||||||||||||||||
| $ | 569,353,288 | $ | 101,388,497 | $ | 1,479,982,617 | $ | 11,304,329 | $ | 12,756,161 | $ | 6,769,337 | $ | 55,355,803 | |||||||||||||
| 38,490,966 | 7,463,979 | 170,937,107 | 873,176 | 1,160,938 | 687,733 | 5,166,981 | ||||||||||||||||||||
| $ | 14.79 | $ | 13.58 | $ | 8.66 | $ | 12.95 | $ | 10.99 | $ | 9.84 | $ | 10.71 | |||||||||||||
| (a) | Includes foreign currency holdings of $1,423,669 (cost $1,430,638). |
| (b) | Includes foreign currency holdings of $306 (cost $306). |
The accompanying Notes to Financial Statements are an integral part of this schedule.
269
Table of Contents
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
As of June 28, 2013 (unaudited) | Large Cap Growth Portfolio | Partner Growth Stock Portfolio | Large Cap Value Portfolio | Large Cap Stock Portfolio | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 782,074,389 | $ | 41,442,255 | $ | 781,560,936 | $ | 622,153,276 | ||||||||
Investments in securities at value | 865,366,698 | 61,977,128 | 954,601,298 | 631,979,248 | ||||||||||||
Investments in affiliates at value | 31,026,189 | 2,310,296 | 28,173,872 | 61,865,592 | ||||||||||||
Investments at Value | 896,392,887 | 64,287,424 | 982,775,170 | 693,844,840 | ||||||||||||
Cash | — | 4,834 | (a) | — | — | |||||||||||
Dividends and interest receivable | 371,791 | 24,384 | 1,569,115 | 651,177 | ||||||||||||
Prepaid expenses | 6,553 | 3,146 | 6,681 | 5,603 | ||||||||||||
Receivable for investments sold | 777,004 | 647,796 | — | 498,274 | ||||||||||||
Receivable for fund shares sold | 57,920 | 39,899 | 17,672 | 52,118 | ||||||||||||
Receivable for variation margin | — | — | — | — | ||||||||||||
Total Assets | 897,606,155 | 65,007,483 | 984,368,638 | 695,052,012 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 272,956 | 25,893 | 121,489 | 112,088 | ||||||||||||
Payable for investments purchased | — | 585,967 | — | 11,995,739 | ||||||||||||
Payable upon return of collateral for securities loaned | 5,166,750 | 1,941,833 | — | 2,173,500 | ||||||||||||
Payable for fund shares redeemed | 319,736 | 13,816 | 47,334 | 122,533 | ||||||||||||
Payable for variation margin | — | — | — | 162,985 | ||||||||||||
Payable to affiliate | 296,528 | 41,247 | 475,478 | 348,551 | ||||||||||||
Mortgage dollar roll deferred revenue | — | — | — | — | ||||||||||||
Total Liabilities | 6,055,970 | 2,608,756 | 644,301 | 14,915,396 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 1,011,212,514 | 35,075,370 | 823,871,049 | 641,941,018 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 3,142,246 | (72,121 | ) | 6,702,561 | 2,920,685 | |||||||||||
Accumulated undistributed net realized gain/(loss) | (237,122,346 | ) | 4,550,396 | (48,063,507 | ) | (35,760,843 | ) | |||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 114,318,498 | 22,845,169 | 201,214,234 | 71,691,564 | ||||||||||||
Futures contracts | — | — | — | (655,808 | ) | |||||||||||
Foreign currency transactions | (727 | ) | (87 | ) | — | — | ||||||||||
Total Net Assets | $ | 891,550,185 | $ | 62,398,727 | $ | 983,724,337 | $ | 680,136,616 | ||||||||
Shares of beneficial interest outstanding | 43,362,496 | 4,157,694 | 71,862,256 | 67,301,691 | ||||||||||||
Net asset value per share | $ | 20.56 | $ | 15.01 | $ | 13.69 | $ | 10.11 | ||||||||
| (a) | Includes foreign currency holdings of $4,834 (cost $4,898). |
The accompanying Notes to Financial Statements are an integral part of this schedule.
270
Table of Contents
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 | ||||||||||||||||||||
| $ | 242,307,936 | $ | 117,176,591 | $ | 221,357,575 | $ | 946,246,292 | $ | 339,697,697 | $ | 1,481,905,575 | $ | 228,165,519 | |||||||||||||
| 331,948,749 | 113,736,397 | 250,359,751 | 865,335,021 | 293,315,701 | 1,422,901,264 | 182,690,804 | ||||||||||||||||||||
| 10,955,609 | 12,949,770 | 22,738,724 | 92,860,255 | 57,312,069 | 84,844,666 | 43,631,373 | ||||||||||||||||||||
| 342,904,358 | 126,686,167 | 273,098,475 | 958,195,276 | 350,627,770 | 1,507,745,930 | 226,322,177 | ||||||||||||||||||||
| — | 780 | — | 596,392 | 1,086 | 1,949 | — | ||||||||||||||||||||
| 413,522 | 314,642 | 550,084 | 15,241,352 | 1,562,914 | 14,130,150 | 698,301 | ||||||||||||||||||||
| 4,223 | 3,358 | 3,909 | 6,614 | 3,996 | 9,228 | 3,630 | ||||||||||||||||||||
| 42,528 | — | 21,264 | 1,602,250 | 236,743 | 13,967,463 | — | ||||||||||||||||||||
| 335,924 | 161,317 | 358,827 | 9,380 | 537,588 | 2,132 | 78,572 | ||||||||||||||||||||
| — | — | — | 4,063 | 32,626 | 247,663 | — | ||||||||||||||||||||
| 343,700,555 | 127,166,264 | 274,032,559 | 975,655,327 | 353,002,723 | 1,536,104,515 | 227,102,680 | ||||||||||||||||||||
| 99,763 | 19,908 | 94,259 | 134,867 | 44,918 | 200,888 | 56,004 | ||||||||||||||||||||
| 22,784 | — | 21,185,064 | 11,257,456 | 34,379,730 | 79,843,320 | 50,225,279 | ||||||||||||||||||||
| 5,976,700 | 7,458,294 | 2,279,845 | 62,397,926 | 11,027,628 | 19,893,021 | 6,172,900 | ||||||||||||||||||||
| 74,374 | 167 | 78,644 | 461,980 | 2,716 | 478,053 | 66,250 | ||||||||||||||||||||
| 20,075 | 24,593 | 16,425 | — | 6,707 | 23,791 | — | ||||||||||||||||||||
| 95,663 | 67,798 | 77,796 | 300,938 | 104,750 | 482,696 | 56,200 | ||||||||||||||||||||
| — | — | 21,252 | — | 27,094 | 59,603 | 46,196 | ||||||||||||||||||||
| 6,289,359 | 7,570,760 | 23,753,285 | 74,553,167 | 45,593,543 | 100,981,372 | 56,622,829 | ||||||||||||||||||||
| 251,803,740 | 106,518,343 | 199,578,080 | 977,703,394 | 298,714,746 | 1,393,748,366 | 173,232,289 | ||||||||||||||||||||
| 2,818,367 | 1,284,049 | 2,065,610 | 813,487 | 5,044,672 | 227,234 | (602 | ) | |||||||||||||||||||
| (17,712,413) | 2,381,591 | (3,067,105 | ) | (89,567,484 | ) | (7,323,981 | ) | 13,144,390 | (908,494 | ) | ||||||||||||||||
| 100,596,422 | 9,509,576 | 51,740,900 | 11,948,984 | 10,930,073 | 25,840,355 | (1,843,342 | ) | |||||||||||||||||||
| (94,920) | (98,055 | ) | (38,211 | ) | 203,779 | 43,670 | 2,162,798 | — | ||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| $337,411,196 | $ | 119,595,504 | $ | 250,279,274 | $ | 901,102,160 | $ | 307,409,180 | $ | 1,435,123,143 | $ | 170,479,851 | ||||||||||||||
| 15,175,213 | 11,243,441 | 15,817,696 | 182,230,434 | 41,377,589 | 139,309,640 | 16,001,198 | ||||||||||||||||||||
| $ | 22.23 | $ | 10.64 | $ | 15.82 | $ | 4.94 | $ | 7.43 | $ | 10.30 | $ | 10.65 | |||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
271
Table of Contents
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
As of June 28, 2013 (unaudited) | Limited Maturity Bond Portfolio | Mortgage Securities Portfolio | Money Market Portfolio | |||||||||
Assets | ||||||||||||
Investments at cost | $ | 1,185,912,098 | $ | 65,038,449 | $ | 139,825,378 | ||||||
Investments in securities at value | 1,090,875,490 | 49,842,882 | 139,825,378 | |||||||||
Investments in affiliates at value | 84,671,212 | 14,678,780 | — | |||||||||
Investments at Value | 1,175,546,702 | 64,521,662 | 139,825,378 | a | ||||||||
Cash | 22,150 | 779,806 | 3,357 | |||||||||
Dividends and interest receivable | 3,928,937 | 23,253 | 100,113 | |||||||||
Prepaid expenses | 7,708 | 3,049 | 3,464 | |||||||||
Receivable for investments sold | — | 639,561 | — | |||||||||
Receivable for fund shares sold | 1,272 | 15,407 | 55,343 | |||||||||
Receivable for variation margin | 25,861 | 391 | — | |||||||||
Total Assets | 1,179,532,630 | 65,983,129 | 139,987,655 | |||||||||
Liabilities | ||||||||||||
Accrued expenses | 152,178 | 23,892 | 10,738 | |||||||||
Payable for investments purchased | 60,771,863 | 29,412,953 | 1,405,578 | |||||||||
Payable upon return of collateral for securities loaned | 16,636,155 | — | — | |||||||||
Payable for fund shares redeemed | 461,365 | 8,131 | 355,918 | |||||||||
Payable for variation margin | 40,668 | 234 | — | |||||||||
Payable to affiliate | 364,382 | 17,327 | 17,228 | |||||||||
Mortgage dollar roll deferred revenue | 44,203 | 27,403 | — | |||||||||
Total Liabilities | 78,470,814 | 29,489,940 | 1,789,462 | |||||||||
Net Assets | ||||||||||||
Capital stock (beneficial interest) | 1,114,160,074 | 37,885,930 | 138,198,193 | |||||||||
Accumulated undistributed net investment income/(loss) | 277,270 | 753 | (2,429 | ) | ||||||||
Accumulated undistributed net realized gain/(loss) | (7,853,432 | ) | (917,286 | ) | 2,429 | |||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||
Investments | (14,633,681 | ) | (516,787 | ) | — | |||||||
Affiliated investments | 4,268,285 | — | — | |||||||||
Futures contracts | 4,843,300 | 40,579 | — | |||||||||
Total Net Assets | $ | 1,101,061,816 | $ | 36,493,189 | $ | 138,198,193 | ||||||
Shares of beneficial interest outstanding | 112,208,895 | 3,570,572 | 138,198,193 | |||||||||
Net asset value per share | $ | 9.81 | $ | 10.22 | $ | 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.
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273
Table of Contents
Thrivent Series Fund, Inc.
For the six months ended June 28, 2013 (unaudited) | Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 1,815,970 | $ | 6,084,706 | $ | 7,478,836 | $ | 2,820,079 | ||||||||
Interest | 118,268 | 5,052,546 | 12,409,343 | 9,154,831 | ||||||||||||
Income from mortgage dollar rolls | 30,990 | 827,461 | 3,430,546 | 4,018,027 | ||||||||||||
Income from securities loaned | — | 256,224 | 312,764 | 114,774 | ||||||||||||
Income from affiliated investments | 2,284,768 | 17,713,860 | 33,493,764 | 15,079,335 | ||||||||||||
Foreign tax withholding | (20,785 | ) | (69,086 | ) | (90,647 | ) | (34,319 | ) | ||||||||
Total Investment Income | 4,229,211 | 29,865,711 | 57,034,606 | 31,152,727 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 1,292,182 | 5,220,877 | 8,456,943 | 4,677,061 | ||||||||||||
Sub-Adviser fees | — | — | — | — | ||||||||||||
Administrative service fees | 98,880 | 340,944 | 567,407 | 320,658 | ||||||||||||
Audit and legal fees | 13,026 | 28,496 | 42,709 | 27,384 | ||||||||||||
Custody fees | 29,721 | 49,971 | 60,054 | 47,825 | ||||||||||||
Insurance expenses | 3,625 | 10,766 | 16,637 | 9,520 | ||||||||||||
Directors’ fees | 6,465 | 31,345 | 48,167 | 29,682 | ||||||||||||
Other expenses | 6,371 | 19,384 | 20,686 | 19,316 | ||||||||||||
Total Expenses Before Reimbursement | 1,450,270 | 5,701,783 | 9,212,603 | 5,131,446 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | (44,978 | ) | (643,729 | ) | (1,324,818 | ) | (1,046,853 | ) | ||||||||
Custody earnings credit | (5 | ) | (36 | ) | (120 | ) | (90 | ) | ||||||||
Total Net Expenses | 1,405,287 | 5,058,018 | 7,887,665 | 4,084,503 | ||||||||||||
Net Investment Income/(Loss) | 2,823,924 | 24,807,693 | 49,146,941 | 27,068,224 | ||||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 10,037,639 | 32,087,953 | 28,638,216 | 1,504,155 | ||||||||||||
Affiliated investments | 933,463 | 1,526,906 | 2,515,686 | 2,773,734 | ||||||||||||
Distributions of realized capital gains from affiliated investments | 2,334,571 | 7,059,668 | 8,242,639 | 2,314,984 | ||||||||||||
Written option contracts | — | 36,631 | 170,479 | 200,060 | ||||||||||||
Futures contracts | (1,396,196 | ) | 20,568,058 | 66,031,562 | 33,404,447 | |||||||||||
Foreign currency transactions | (57,963 | ) | (213,475 | ) | (245,530 | ) | (93,939 | ) | ||||||||
Swap agreements | — | (2,128,924 | ) | (3,687,468 | ) | (2,851,172 | ) | |||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 17,309,494 | 41,626,149 | 39,801,233 | 3,411,183 | ||||||||||||
Affiliated investments | 23,967,374 | 101,527,761 | 81,946,681 | 9,377,347 | ||||||||||||
Futures contracts | (2,589,192 | ) | (8,179,610 | ) | (18,212,290 | ) | (10,322,983 | ) | ||||||||
Foreign currency forward contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | (1,318 | ) | (5,722 | ) | (8,147 | ) | (2,994 | ) | ||||||||
Swap agreements | — | (412,079 | ) | (713,911 | ) | (551,956 | ) | |||||||||
Net Realized and Unrealized Gains/(Losses) | 50,537,872 | 193,493,316 | 204,479,150 | 39,162,866 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 53,361,796 | $ | 218,301,009 | $ | 253,626,091 | $ | 66,231,090 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
274
Table of Contents
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 | ||||||||||||||||||||
| $ | 122,231 | $ | 348,588 | $ | 277,105 | $ | 887,065 | $ | 1,955,363 | $ | 701,638 | $ | 2,051,470 | |||||||||||||
| — | — | — | 1 | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 72,962 | — | 5,184 | 1,418 | — | 167,526 | 32,667 | ||||||||||||||||||||
| 388 | 724 | 470 | 987 | 575 | 3,159 | 3,473 | ||||||||||||||||||||
| — | (40,031 | ) | (5,340 | ) | (77,937 | ) | (1,016 | ) | (270 | ) | (3,236 | ) | ||||||||||||||
| 195,581 | 309,281 | 277,419 | 811,534 | 1,954,922 | 872,053 | 2,084,374 | ||||||||||||||||||||
| 55,130 | 46,232 | 121,335 | 136,343 | 524,821 | 503,322 | 305,300 | ||||||||||||||||||||
| 82,691 | 100,172 | — | 214,835 | — | 819,553 | 915,586 | ||||||||||||||||||||
| 43,400 | 42,851 | 42,993 | 45,521 | 52,137 | 64,473 | 68,233 | ||||||||||||||||||||
| 9,409 | 9,375 | 9,571 | 13,682 | 10,056 | 10,816 | 10,940 | ||||||||||||||||||||
| 3,225 | 5,701 | 1,930 | 41,886 | 3,997 | 16,618 | 5,302 | ||||||||||||||||||||
| 1,921 | 1,886 | 1,909 | 1,970 | 2,171 | 2,516 | 2,652 | ||||||||||||||||||||
| 4,198 | 3,667 | 3,399 | 3,667 | 9,350 | 10,743 | 12,078 | ||||||||||||||||||||
| 4,195 | 4,679 | 4,437 | 5,514 | 4,614 | 4,665 | 4,877 | ||||||||||||||||||||
| 204,169 | 214,563 | 185,574 | 463,418 | 607,146 | 1,432,706 | 1,324,968 | ||||||||||||||||||||
| — | (21,922 | ) | (20,554 | ) | (45,636 | ) | — | (132,287 | ) | — | ||||||||||||||||
| (5 | ) | (5 | ) | (5 | ) | (5 | ) | (2 | ) | (10 | ) | (6 | ) | |||||||||||||
| 204,164 | 192,636 | 165,015 | 417,777 | 607,144 | 1,300,409 | 1,324,962 | ||||||||||||||||||||
| (8,583) | 116,645 | 112,404 | 393,757 | 1,347,778 | (428,356 | ) | 759,412 | |||||||||||||||||||
| 1,456,531 | 1,206,323 | (448,259 | ) | (529,567 | ) | 1,121,457 | 16,927,303 | 2,725,097 | ||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | (7,974 | ) | (1,192 | ) | (8,008 | ) | — | — | (22 | ) | ||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| (182,525 | ) | 2,274,034 | 261,153 | (5,465,626 | ) | 4,358,762 | 19,854,142 | 37,800,872 | ||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | (340 | ) | — | (180 | ) | — | — | — | ||||||||||||||||||
| — | (1,758 | ) | — | (3,430 | ) | (17 | ) | — | — | |||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 1,274,006 | 3,470,285 | (188,298 | ) | (6,006,811 | ) | 5,480,202 | 36,781,445 | 40,525,947 | ||||||||||||||||||
| $1,265,423 | $ | 3,586,930 | $ | (75,894 | ) | $ | (5,613,054 | ) | $ | 6,827,980 | $ | 36,353,089 | $ | 41,285,359 | ||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
275
Table of Contents
Thrivent Series Fund, Inc.
Statement of Operations – continued
For the six months ended June 28, 2013 (unaudited) | Small Cap Stock Portfolio | Small Cap Index Portfolio | Mid Cap Growth Portfolio | Partner Mid Cap Value Portfolio | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 1,478,468 | $ | 1,226,202 | $ | 1,296,485 | $ | 2,429,596 | ||||||||
Interest | 362 | 88 | — | — | ||||||||||||
Income from securities loaned | 83,548 | 187,476 | 8,466 | 9,187 | ||||||||||||
Income from affiliated investments | 16,298 | 1,453 | 6,218 | 2,484 | ||||||||||||
Foreign tax withholding | (27,226 | ) | — | (4,422 | ) | — | ||||||||||
Total Investment Income | 1,551,450 | 1,415,219 | 1,306,747 | 2,441,267 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 983,981 | 361,370 | 736,065 | 374,621 | ||||||||||||
Sub-Adviser fees | — | — | — | 678,291 | ||||||||||||
Administrative service fees | 66,610 | 59,101 | 74,043 | 66,531 | ||||||||||||
Audit and legal fees | 10,868 | 10,388 | 11,546 | 10,626 | ||||||||||||
Custody fees | 6,233 | 7,975 | 6,404 | 17,307 | ||||||||||||
Insurance expenses | 2,651 | 2,412 | 2,906 | 2,582 | ||||||||||||
Directors’ fees | 12,656 | 11,853 | 18,438 | 11,021 | ||||||||||||
Other expenses | 4,743 | 5,143 | 5,149 | 4,691 | ||||||||||||
Total Expenses Before Reimbursement | 1,087,742 | 458,242 | 854,551 | 1,165,670 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | — | — | — | (36,970 | ) | |||||||||||
Custody earnings credit | (21 | ) | — | (5 | ) | (5 | ) | |||||||||
Total Net Expenses | 1,087,721 | 458,242 | 854,546 | 1,128,695 | ||||||||||||
Net Investment Income/(Loss) | 463,729 | 956,977 | 452,201 | 1,312,572 | ||||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 1,183,269 | 5,803,707 | 21,435,541 | 28,981,167 | ||||||||||||
Futures contracts | 3,955,441 | 572,327 | — | — | ||||||||||||
Foreign currency transactions | (17,240 | ) | — | — | — | |||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 33,230,503 | 23,392,630 | 5,725,088 | 10,033,616 | ||||||||||||
Futures contracts | 194,790 | 5,020 | — | — | ||||||||||||
Foreign currency forward contracts | 1,761 | — | — | — | ||||||||||||
Foreign currency transactions | (1,088 | ) | — | — | — | |||||||||||
Net Realized and Unrealized Gains/(Losses) | 38,547,436 | 29,773,684 | 27,160,629 | 39,014,783 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 39,011,165 | $ | 30,730,661 | $ | 27,612,830 | $ | 40,327,355 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
276
Table of Contents
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 | ||||||||||||||||||||
| $3,078,439 | $ | 739,752 | $ | 27,409,059 | $ | 62,711 | $ | 68,225 | $ | 74,451 | $ | 471,617 | ||||||||||||||
| — | 26 | 3,514,489 | — | — | — | — | ||||||||||||||||||||
| 27,346 | 15,700 | 950,505 | — | — | — | 624 | ||||||||||||||||||||
| 12,291 | 1,144 | 12,012 | 210 | 70 | 67 | 227 | ||||||||||||||||||||
| — | — | (2,750,800 | ) | (735 | ) | (1,755 | ) | (641 | ) | (949 | ) | |||||||||||||||
| 3,118,076 | 756,622 | 29,135,265 | 62,186 | 66,540 | 73,877 | 471,519 | ||||||||||||||||||||
| 1,815,951 | 164,675 | 2,644,883 | 15,867 | 19,732 | 9,906 | 94,418 | ||||||||||||||||||||
| — | — | 3,679,743 | 26,031 | 42,023 | 14,498 | 161,069 | ||||||||||||||||||||
| 90,289 | 48,705 | 179,386 | 40,969 | 41,202 | 40,602 | 44,975 | ||||||||||||||||||||
| 12,340 | 9,721 | 24,680 | 9,245 | 9,286 | 9,264 | 9,480 | ||||||||||||||||||||
| 10,842 | 7,142 | 317,363 | 4,341 | 3,062 | 5,982 | 16,172 | ||||||||||||||||||||
| 3,344 | 2,077 | 4,848 | 1,840 | 1,856 | 1,835 | 1,973 | ||||||||||||||||||||
| 18,722 | 4,707 | 47,349 | 3,635 | 3,667 | 3,667 | 4,132 | ||||||||||||||||||||
| 5,153 | 4,686 | 27,190 | 4,018 | 4,219 | 4,027 | 4,142 | ||||||||||||||||||||
| 1,956,641 | 241,713 | 6,925,442 | 105,946 | 125,047 | 89,781 | 336,361 | ||||||||||||||||||||
| — | — | (94,437 | ) | (54,615 | ) | (60,037 | ) | (57,892 | ) | (61,365 | ) | |||||||||||||||
| (5 | ) | (24 | ) | (28 | ) | (5 | ) | (5 | ) | — | (5 | ) | ||||||||||||||
| 1,956,636 | 241,689 | 6,830,977 | 51,326 | 65,005 | 31,889 | 274,991 | ||||||||||||||||||||
| 1,161,440 | 514,933 | 22,304,288 | 10,860 | 1,535 | 41,988 | 196,528 | ||||||||||||||||||||
| 28,041,826 | 2,202,054 | 27,345,138 | (22,690 | ) | 590,456 | 345,466 | 4,480,258 | |||||||||||||||||||
| — | 333,751 | (855,018 | ) | — | — | — | — | |||||||||||||||||||
| — | — | (356,322 | ) | — | — | 51 | — | |||||||||||||||||||
| 38,818,391 | 9,282,921 | (39,704,861 | ) | 960,455 | 160,404 | 229,195 | 1,416,940 | |||||||||||||||||||
| — | (37,371 | ) | (34,687 | ) | — | — | — | — | ||||||||||||||||||
| — | — | 55,918 | — | — | — | — | ||||||||||||||||||||
| — | — | (164,949 | ) | — | — | — | — | |||||||||||||||||||
| 66,860,217 | 11,781,355 | (13,714,781 | ) | 937,765 | 750,860 | 574,712 | 5,897,198 | |||||||||||||||||||
| $68,021,657 | $ | 12,296,288 | $ | 8,589,507 | $ | 948,625 | $ | 752,395 | $ | 616,700 | $ | 6,093,726 | ||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
277
Table of Contents
Thrivent Series Fund, Inc.
Statement of Operations – continued
For the six months ended June 28, 2013 (unaudited) | Large Cap Growth Portfolio | Partner Growth Stock Portfolio | Large Cap Value Portfolio | Large Cap Stock Portfolio | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 5,511,405 | $ | 236,849 | $ | 10,419,049 | $ | 5,596,747 | ||||||||
Interest | — | — | — | 837 | ||||||||||||
Income from mortgage dollar rolls | — | — | — | — | ||||||||||||
Income from securities loaned | 4,379 | 2,169 | 37,404 | 6,530 | ||||||||||||
Income from affiliated investments | 12,376 | 233 | 13,133 | 28,767 | ||||||||||||
Foreign tax withholding | (50,765 | ) | (3,981 | ) | (184,750 | ) | (12,967 | ) | ||||||||
Total Investment Income | 5,477,395 | 235,270 | 10,284,836 | 5,619,914 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 1,766,845 | 121,087 | 2,765,349 | 2,075,741 | ||||||||||||
Sub-Adviser fees | — | 120,938 | — | — | ||||||||||||
Administrative service fees | 121,717 | 45,597 | 125,265 | 100,868 | ||||||||||||
Audit and legal fees | 14,833 | 9,554 | 14,529 | 13,134 | ||||||||||||
Custody fees | 13,000 | 10,619 | 11,673 | 9,899 | ||||||||||||
Insurance expenses | 4,421 | 1,983 | 4,349 | 3,679 | ||||||||||||
Directors’ fees | 43,955 | 4,273 | 30,046 | 23,725 | ||||||||||||
Other expenses | 6,735 | 4,908 | 6,199 | 5,618 | ||||||||||||
Total Expenses Before Reimbursement | 1,971,506 | 318,959 | 2,957,410 | 2,232,664 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | — | (30,253 | ) | — | — | |||||||||||
Custody earnings credit | (5 | ) | (5 | ) | (6 | ) | (25 | ) | ||||||||
Total Net Expenses | 1,971,501 | 288,701 | 2,957,404 | 2,232,639 | ||||||||||||
Net Investment Income/(Loss) | 3,505,894 | (53,431 | ) | 7,327,432 | 3,387,275 | |||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 47,520,725 | 4,937,877 | 30,711,733 | 30,733,240 | ||||||||||||
Written option contracts | — | — | — | — | ||||||||||||
Futures contracts | — | — | — | 5,676,714 | ||||||||||||
Foreign currency transactions | (10,801 | ) | (3,559 | ) | — | (16,711 | ) | |||||||||
Swap agreements | — | — | — | — | ||||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 29,043,958 | 1,393,851 | 96,326,878 | 27,801,887 | ||||||||||||
Futures contracts | — | — | — | 36,520 | ||||||||||||
Foreign currency transactions | (727 | ) | (115 | ) | — | — | ||||||||||
Swap agreements | — | — | — | — | ||||||||||||
Net Realized and Unrealized Gains/(Losses) | 76,553,155 | 6,328,054 | 127,038,611 | 64,231,650 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 80,059,049 | $ | 6,274,623 | $ | 134,366,043 | $ | 67,618,925 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
278
Table of Contents
Thrivent Series Fund, Inc.
Statement of Operations – continued
Large Cap Index | Equity Income Plus Portfolio | Balanced Portfolio | High Yield Portfolio | Diversified Income Plus Portfolio | Income Portfolio | Bond Index Portfolio | ||||||||||||||||||||
| $ | 3,483,862 | $ | 1,583,361 | $ | 1,723,216 | $ | 161,553 | $ | 1,805,280 | $ | 701,415 | $ | — | |||||||||||||
| (27 | ) | 159,248 | 739,557 | 30,403,880 | 3,717,002 | 29,729,669 | 1,474,379 | |||||||||||||||||||
| — | — | 193,778 | — | 159,924 | 929,489 | 502,853 | ||||||||||||||||||||
| 5,455 | 18,873 | 2,472 | 73,603 | 27,170 | 18,486 | 1,284 | ||||||||||||||||||||
| 1,579 | 920 | 8,756 | 17,123 | 17,438 | 51,838 | 17,640 | ||||||||||||||||||||
| (1,422 | ) | (28,555 | ) | (712 | ) | — | (1,575 | ) | — | — | ||||||||||||||||
| 3,489,447 | 1,733,847 | 2,667,067 | 30,656,159 | 5,725,239 | 31,430,897 | 1,996,156 | ||||||||||||||||||||
| 545,376 | 362,020 | 429,426 | 1,813,259 | 538,126 | 3,061,202 | 311,963 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 69,851 | 50,304 | 62,725 | 123,863 | 64,888 | 181,581 | 56,489 | ||||||||||||||||||||
| 14,735 | 9,835 | 12,618 | 14,914 | 10,701 | 19,576 | 10,353 | ||||||||||||||||||||
| 9,596 | 9,922 | 19,685 | 12,882 | 20,925 | 22,958 | 8,534 | ||||||||||||||||||||
| 2,742 | 2,118 | 2,536 | 4,305 | 2,387 | 6,218 | 2,311 | ||||||||||||||||||||
| 17,032 | 3,737 | 14,471 | 31,017 | 9,858 | 48,626 | 9,715 | ||||||||||||||||||||
| 5,274 | 5,290 | 16,436 | 22,662 | 15,027 | 23,014 | 14,942 | ||||||||||||||||||||
| 664,606 | 443,226 | 557,897 | 2,022,902 | 661,912 | 3,363,175 | 414,307 | ||||||||||||||||||||
| (4,055 | ) | — | — | — | — | — | — | |||||||||||||||||||
| (5 | ) | (35 | ) | (4 | ) | (28 | ) | (54 | ) | (50 | ) | (3 | ) | |||||||||||||
| 660,546 | 443,191 | 557,893 | 2,022,874 | 661,858 | 3,363,125 | 414,304 | ||||||||||||||||||||
| 2,828,901 | 1,290,656 | 2,109,174 | 28,633,285 | 5,063,381 | 28,067,772 | 1,581,852 | ||||||||||||||||||||
| 2,969,404 | 4,970,571 | 3,027,483 | 13,393,696 | 5,377,947 | 23,021,331 | (797,396 | ) | |||||||||||||||||||
| — | — | — | — | 9,024 | — | — | ||||||||||||||||||||
| 360,220 | 238,078 | 620,851 | 78,496 | (872,689 | ) | (1,337,811 | ) | — | ||||||||||||||||||
| — | — | — | — | (15 | ) | — | — | |||||||||||||||||||
| — | — | — | (1,660,839 | ) | — | (2,270,763 | ) | — | ||||||||||||||||||
| 34,781,503 | 4,537,991 | 13,318,735 | (32,402,175 | ) | 2,784,654 | (86,464,759 | ) | (5,508,894 | ) | |||||||||||||||||
| (72,438 | ) | (91,680 | ) | 20,371 | 203,779 | 88,690 | 2,313,757 | — | ||||||||||||||||||
| — | — | — | — | 13 | — | — | ||||||||||||||||||||
| — | — | — | 717,431 | — | 917,083 | — | ||||||||||||||||||||
| 38,038,689 | 9,654,960 | 16,987,440 | (19,669,612 | ) | 7,387,624 | (63,821,162 | ) | (6,306,290 | ) | |||||||||||||||||
| $ | 40,867,590 | $ | 10,945,616 | $ | 19,096,614 | $ | 8,963,673 | $ | 12,451,005 | $ | (35,753,390 | ) | $ | (4,724,438 | ) | |||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
279
Table of Contents
Thrivent Series Fund, Inc.
Statement of Operations – continued
For the six months ended June 28, 2013 (unaudited) | Limited Maturity Bond Portfolio | Mortgage Securities Portfolio | Money Market Portfolio | |||||||||
Investment Income | ||||||||||||
Dividends | $ | 178,268 | $ | — | $ | 6,355 | ||||||
Interest | 9,947,810 | 171,730 | 149,674 | |||||||||
Income from mortgage dollar rolls | 551,855 | 305,206 | — | |||||||||
Income from securities loaned | 17,021 | — | — | |||||||||
Income from affiliated investments | 536,918 | 7,309 | — | |||||||||
Total Investment Income | 11,231,872 | 484,245 | 156,029 | |||||||||
Expenses | ||||||||||||
Adviser fees | 2,321,806 | 92,495 | 274,567 | |||||||||
Administrative service fees | 147,383 | 43,422 | 52,699 | |||||||||
Audit and legal fees | 16,680 | 9,422 | 9,848 | |||||||||
Custody fees | 18,464 | 5,607 | 8,137 | |||||||||
Insurance expenses | 5,616 | 1,916 | 2,232 | |||||||||
Directors’ fees | 38,012 | 4,145 | 5,134 | |||||||||
Other expenses | 17,668 | 7,124 | 7,901 | |||||||||
Total Expenses Before Reimbursement | 2,565,629 | 164,131 | 360,518 | |||||||||
Less: | ||||||||||||
Reimbursement from adviser | (31,611 | ) | (17,911 | ) | (202,036 | ) | ||||||
Custody earnings credit | — | (78 | ) | (24 | ) | |||||||
Total Net Expenses | 2,534,018 | 146,142 | 158,458 | |||||||||
Net Investment Income/(Loss) | 8,697,854 | 338,103 | (2,429 | ) | ||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||
Net realized gains/(losses) on: | ||||||||||||
Investments | 4,973,533 | (925,369 | ) | 2,429 | ||||||||
Affiliated investments | 497,430 | — | — | |||||||||
Written option contracts | — | 15,039 | — | |||||||||
Futures contracts | 1,709,992 | (9,198 | ) | — | ||||||||
Swap agreements | (1,086,964 | ) | — | — | ||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||
Investments | (22,913,650 | ) | (357,756 | ) | — | |||||||
Affiliated investments | (849,516 | ) | — | — | ||||||||
Futures contracts | 4,200,139 | 42,821 | — | |||||||||
Swap agreements | 393,337 | — | — | |||||||||
Net Realized and Unrealized Gains/(Losses) | (13,075,699 | ) | (1,234,463 | ) | 2,429 | |||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | (4,377,845 | ) | $ | (896,360 | ) | $ | — | ||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
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THIS PAGE INTENTIONALLY LEFT BLANK
281
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets
| Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | |||||||||||||||
For the periods ended | 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 2,823,924 | $ | 8,681,260 | $ | 24,807,693 | $ | 53,372,338 | ||||||||
Net realized gains/(losses) | 11,851,514 | 12,300,903 | 58,936,817 | 84,569,266 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | 38,686,358 | 46,903,989 | 134,556,499 | 208,340,868 | ||||||||||||
Net Change in Net Assets Resulting From Operations | 53,361,796 | 67,886,152 | 218,301,009 | 346,282,472 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (8,582,861 | ) | (3,721,260 | ) | (52,915,278 | ) | (34,281,853 | ) | ||||||||
From net realized gains | (8,753,472 | ) | (25,646,417 | ) | (77,567,611 | ) | (37,872,965 | ) | ||||||||
Total Distributions to Shareholders | (17,336,333 | ) | (29,367,677 | ) | (130,482,889 | ) | (72,154,818 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 25,463,688 | 43,227,880 | 218,203,786 | 196,656,484 | ||||||||||||
Distributions reinvested | 17,336,333 | 29,367,677 | 130,482,889 | 72,154,818 | ||||||||||||
Redeemed | (28,937,469 | ) | (63,479,879 | ) | (45,995,495 | ) | (146,549,857 | ) | ||||||||
Total Capital Stock Transactions | 13,862,552 | 9,115,678 | 302,691,180 | 122,261,445 | ||||||||||||
Net Increase/(Decrease) in Net Assets | 49,888,015 | 47,634,153 | 390,509,300 | 396,389,099 | ||||||||||||
Net Assets, Beginning of Period | 608,188,473 | 560,554,320 | 3,055,990,379 | 2,659,601,280 | ||||||||||||
Net Assets, End of Period | $ | 658,076,488 | $ | 608,188,473 | $ | 3,446,499,679 | $ | 3,055,990,379 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 2,838,619 | $ | 8,597,556 | $ | 24,986,938 | $ | 53,094,523 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 1,956,492 | 3,580,589 | 16,710,115 | 16,559,693 | ||||||||||||
Distributions reinvested | 1,308,788 | 2,649,580 | 10,033,441 | 6,408,009 | ||||||||||||
Redeemed | (2,226,202 | ) | (5,318,437 | ) | (3,526,007 | ) | (12,307,638 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | 1,039,078 | 911,732 | 23,217,549 | 10,660,064 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
282
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | Partner Technology Portfolio | Partner Healthcare Portfolio | |||||||||||||||||||||||||||
| 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | |||||||||||||||||||||||
| $ | 49,146,941 | $ | 94,301,202 | $ | 27,068,224 | $ | 48,131,531 | $ | (8,583 | ) | $ | (134,687 | ) | $ | 116,645 | $ | 54,832 | |||||||||||||
| 101,665,584 | 137,059,592 | 37,252,269 | 71,561,345 | 1,456,531 | 1,812,386 | 1,198,349 | 1,446,543 | |||||||||||||||||||||||
| 102,813,566 | 282,792,388 | 1,910,597 | 99,791,222 | (182,525 | ) | 4,492,049 | 2,271,936 | 2,327,571 | ||||||||||||||||||||||
| 253,626,091 | 514,153,182 | 66,231,090 | 219,484,098 | 1,265,423 | 6,169,748 | 3,586,930 | 3,828,946 | |||||||||||||||||||||||
| (94,191,290 | ) | (73,898,100 | ) | (48,161,738 | ) | (38,883,526 | ) | — | — | (127,607 | ) | (55,995 | ) | |||||||||||||||||
| (125,697,258 | ) | (31,454,770 | ) | (62,314,304 | ) | (17,675,615 | ) | — | — | (1,382,286 | ) | (248,326 | ) | |||||||||||||||||
| (219,888,548 | ) | (105,352,870 | ) | (110,476,042 | ) | (56,559,141 | ) | — | — | (1,509,893 | ) | (304,321 | ) | |||||||||||||||||
| 536,073,895 | 845,383,858 | 199,988,750 | 714,246,147 | 3,900,713 | 4,798,897 | 9,597,080 | 5,683,465 | |||||||||||||||||||||||
| 219,888,548 | 105,352,870 | 110,476,042 | 56,559,141 | — | — | 1,509,893 | 304,321 | |||||||||||||||||||||||
| (59,601,610 | ) | (155,247,490 | ) | (41,403,658 | ) | (68,673,573 | ) | (2,905,426 | ) | (5,086,369 | ) | (1,177,738 | ) | (2,289,406 | ) | |||||||||||||||
| 696,360,833 | 795,489,238 | 269,061,134 | 702,131,715 | 995,287 | (287,472 | ) | 9,929,235 | 3,698,380 | ||||||||||||||||||||||
| 730,098,376 | 1,204,289,550 | 224,816,182 | 865,056,672 | 2,260,710 | 5,882,276 | 12,006,272 | 7,223,005 | |||||||||||||||||||||||
| 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 | |||||||||||||||||||||||
| $ | 6,068,034,642 | $ | 5,337,936,266 | $ | 3,145,139,648 | $ | 2,920,323,466 | $ | 37,758,396 | $ | 35,497,686 | $ | 37,228,989 | $ | 25,222,717 | |||||||||||||||
| $ | 49,356,804 | $ | 94,401,153 | $ | 27,135,676 | $ | 48,229,190 | $ | (21,513 | ) | $ | (12,930 | ) | $ | 87,237 | $ | 98,199 | |||||||||||||
| 41,878,240 | 70,998,504 | 16,176,762 | 60,615,807 | 502,795 | 664,263 | 647,546 | 442,798 | |||||||||||||||||||||||
| 17,351,357 | 9,243,912 | 9,098,369 | 4,962,504 | — | — | 100,929 | 24,696 | |||||||||||||||||||||||
| (4,640,919 | ) | (13,023,252 | ) | (3,344,391 | ) | (5,836,245 | ) | (374,271 | ) | (712,541 | ) | (80,473 | ) | (181,834 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| 54,588,678 | 67,219,164 | 21,930,740 | 59,742,066 | 128,524 | (48,278 | ) | 668,002 | 285,660 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
283
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Natural Resources Portfolio | Partner Emerging Markets Equity Portfolio | |||||||||||||||
For the periods ended | 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 112,404 | $ | 223,783 | $ | 393,757 | $ | 588,588 | ||||||||
Net realized gains/(losses) | (449,451 | ) | (2,445,969 | ) | (537,575 | ) | (260,387 | ) | ||||||||
Change in net unrealized appreciation/(depreciation) | 261,153 | 1,077,255 | (5,469,236 | ) | 10,134,257 | |||||||||||
Net Change in Net Assets Resulting From Operations | (75,894 | ) | (1,144,931 | ) | (5,613,054 | ) | 10,462,458 | |||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (226,334 | ) | (77,727 | ) | (626,603 | ) | (252,692 | ) | ||||||||
From net realized gains | — | (4,038,356 | ) | — | (239,345 | ) | ||||||||||
Total Distributions to Shareholders | (226,334 | ) | (4,116,083 | ) | (626,603 | ) | (492,037 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 2,701,051 | 6,502,876 | 14,684,686 | 13,625,677 | ||||||||||||
Distributions reinvested | 226,334 | 4,116,083 | 626,603 | 492,037 | ||||||||||||
Redeemed | (2,232,915 | ) | (5,385,638 | ) | (6,028,505 | ) | (8,274,535 | ) | ||||||||
Total Capital Stock Transactions | 694,470 | 5,233,321 | 9,282,784 | 5,843,179 | ||||||||||||
Net Increase/(Decrease) in Net Assets | 392,242 | (27,693 | ) | 3,043,127 | 15,813,600 | |||||||||||
Net Assets, Beginning of Period | 31,574,710 | 31,602,403 | 54,667,172 | 38,853,572 | ||||||||||||
Net Assets, End of Period | $ | 31,966,952 | $ | 31,574,710 | $ | 57,710,299 | $ | 54,667,172 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 105,294 | $ | 219,224 | $ | 321,189 | $ | 554,035 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 378,219 | 841,983 | 1,077,534 | 1,096,360 | ||||||||||||
Distributions reinvested | 31,637 | 660,581 | 50,371 | 43,088 | ||||||||||||
Redeemed | (312,110 | ) | (730,252 | ) | (447,226 | ) | (678,851 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | 97,746 | 772,312 | 680,679 | 460,597 | ||||||||||||
|
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|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
284
Table of Contents
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 | |||||||||||||||||||||||||||
| 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | |||||||||||||||||||||||
| $ | 1,347,778 | $ | 1,916,151 | $ | (428,356 | ) | $ | (279,596 | ) | $ | 759,412 | $ | 5,043,515 | $ | 463,729 | $ | 1,331,240 | |||||||||||||
| 1,121,457 | 4,160,478 | 16,927,303 | 17,390,948 | 2,725,075 | 4,051,944 | 5,121,470 | 8,579,146 | |||||||||||||||||||||||
| 4,358,745 | 12,430,846 | 19,854,142 | 9,433,034 | 37,800,872 | 26,826,192 | 33,425,966 | 14,367,012 | |||||||||||||||||||||||
| 6,827,980 | 18,507,475 | 36,353,089 | 26,544,386 | 41,285,359 | 35,921,651 | 39,011,165 | 24,277,398 | |||||||||||||||||||||||
| (1,880,889 | ) | (4,305,833 | ) | — | — | (6,212,011 | ) | (1,705,822 | ) | (1,110,363 | ) | — | ||||||||||||||||||
| — | — | (6,075,672 | ) | — | (1,618,481 | ) | — | — | — | |||||||||||||||||||||
| (1,880,889 | ) | (4,305,833 | ) | (6,075,672 | ) | — | (7,830,492 | ) | (1,705,822 | ) | (1,110,363 | ) | — | |||||||||||||||||
| 13,523,325 | 17,167,276 | 1,768,844 | 40,031,818 | 8,212,179 | 11,411,935 | 3,759,502 | 6,532,990 | |||||||||||||||||||||||
| 1,880,889 | 4,305,833 | 6,075,672 | — | 7,830,492 | 1,705,822 | 1,110,363 | — | |||||||||||||||||||||||
| (10,205,768 | ) | (21,198,491 | ) | (16,452,123 | ) | (7,147,466 | ) | (8,692,653 | ) | (15,134,928 | ) | (10,393,137 | ) | (25,168,678 | ) | |||||||||||||||
| 5,198,446 | 274,618 | (8,607,607 | ) | 32,884,352 | 7,350,018 | (2,017,171 | ) | (5,523,272 | ) | (18,635,688 | ) | |||||||||||||||||||
| 10,145,537 | 14,476,260 | 21,669,810 | 59,428,738 | 40,804,885 | 32,198,658 | 32,377,530 | 5,641,710 | |||||||||||||||||||||||
| 122,442,259 | 107,965,999 | 256,919,164 | 197,490,426 | 282,579,808 | 250,381,150 | 269,479,712 | 263,838,002 | |||||||||||||||||||||||
| $ | 132,587,796 | $ | 122,442,259 | $ | 278,588,974 | $ | 256,919,164 | $ | 323,384,693 | $ | 282,579,808 | $ | 301,857,242 | $ | 269,479,712 | |||||||||||||||
| $ | 1,330,567 | $ | 1,863,678 | $ | (457,865 | ) | $ | (29,509 | ) | $ | (1,248,630 | ) | $ | 4,203,969 | $ | 635,202 | $ | 1,281,836 | ||||||||||||
| 700,800 | 990,009 | 117,288 | 3,151,321 | 355,529 | 585,681 | 259,841 | 516,676 | |||||||||||||||||||||||
| 99,130 | 257,367 | 379,533 | — | 324,118 | 91,888 | 72,690 | — | |||||||||||||||||||||||
| (537,495) | (1,232,222) | (1,107,982) | (531,966) | (377,650) | (761,873) | (720,767) | (1,981,702) | |||||||||||||||||||||||
| 262,435 | 15,154 | (611,161) | 2,619,355 | 301,997 | (84,304) | (388,236) | (1,465,026) | |||||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
285
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Small Cap Index Portfolio | Mid Cap Growth Portfolio | |||||||||||||||
For the periods ended | 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 956,977 | $ | 2,790,212 | $ | 452,201 | $ | 1,415,070 | ||||||||
Net realized gains/(losses) | 6,376,034 | 9,363,508 | 21,435,541 | 28,286,685 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | 23,397,650 | 16,472,291 | 5,725,088 | 12,421,506 | ||||||||||||
Net Change in Net Assets Resulting From Operations | 30,730,661 | 28,626,011 | 27,612,830 | 42,123,261 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (2,774,672 | ) | (1,295,441 | ) | (1,307,135 | ) | (813,792 | ) | ||||||||
From net realized gains | (9,403,427 | ) | (15,926,080 | ) | (216,636 | ) | — | |||||||||
Total Distributions to Shareholders | (12,178,099 | ) | (17,221,521 | ) | (1,523,771 | ) | (813,792 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 6,094,670 | 5,710,690 | 4,265,464 | 8,871,921 | ||||||||||||
Issued in connection with merger | — | — | — | 16,995,076 | ||||||||||||
Distributions reinvested | 12,178,099 | 17,221,521 | 1,523,771 | 813,792 | ||||||||||||
Redeemed | (11,554,714 | ) | (29,649,161 | ) | (25,836,309 | ) | (55,317,502 | ) | ||||||||
Total Capital Stock Transactions | 6,718,055 | (6,716,950 | ) | (20,047,074 | ) | (28,636,713 | ) | |||||||||
Net Increase/(Decrease) in Net Assets | 25,270,617 | 4,687,540 | 6,041,985 | 12,672,756 | ||||||||||||
Net Assets, Beginning of Period | 193,677,856 | 188,990,316 | 361,506,270 | 348,833,514 | ||||||||||||
Net Assets, End of Period | $ | 218,948,473 | $ | 193,677,856 | $ | 367,548,255 | $ | 361,506,270 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 906,823 | $ | 2,724,518 | $ | 483,761 | $ | 1,338,695 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 411,123 | 431,383 | 204,256 | 466,382 | ||||||||||||
Issued in connection with merger | — | — | — | 907,397 | ||||||||||||
Distributions reinvested | 810,987 | 1,444,298 | 70,344 | 45,076 | ||||||||||||
Redeemed | (783,018 | ) | (2,240,833 | ) | (1,235,006 | ) | (2,900,644 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | 439,092 | (365,152 | ) | (960,406 | ) | (1,481,789 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
286
Table of Contents
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 | |||||||||||||||||||||||||||
| 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | |||||||||||||||||||||||
| $ | 1,312,572 | $ | 3,040,050 | $ | 1,161,440 | $ | 2,478,553 | $ | 514,933 | $ | 923,726 | $ | 22,304,288 | $ | 20,036,608 | |||||||||||||||
| 28,981,167 | 16,408,514 | 28,041,826 | 33,789,526 | 2,535,805 | 3,660,340 | 26,133,798 | 7,577,998 | |||||||||||||||||||||||
| 10,033,616 | 20,786,907 | 38,818,391 | 28,228,445 | 9,245,550 | 8,611,574 | (39,848,579 | ) | 166,501,462 | ||||||||||||||||||||||
| 40,327,355 | 40,235,471 | 68,021,657 | 64,496,524 | 12,296,288 | 13,195,640 | 8,589,507 | 194,116,068 | |||||||||||||||||||||||
| (3,042,438 | ) | (1,932,483 | ) | (2,176,782 | ) | (1,205,625 | ) | (926,864 | ) | (637,407 | ) | (416,617 | ) | (21,291,197 | ) | |||||||||||||||
| (13,305,805 | ) | — | — | — | (3,159,150 | ) | (7,803,365 | ) | — | (4,890,102 | ) | |||||||||||||||||||
| (16,348,243 | ) | (1,932,483 | ) | (2,176,782 | ) | (1,205,625 | ) | (4,086,014 | ) | (8,440,772 | ) | (416,617 | ) | (26,181,299 | ) | |||||||||||||||
| 7,414,367 | 9,876,504 | 2,734,745 | 2,158,181 | 8,870,009 | 5,241,846 | 6,670,431 | 165,263,081 | |||||||||||||||||||||||
| — | — | — | — | — | — | — | 714,684,763 | |||||||||||||||||||||||
| 16,348,243 | 1,932,483 | 2,176,782 | 1,205,625 | 4,086,014 | 8,440,772 | 416,617 | 26,181,299 | |||||||||||||||||||||||
| (4,416,937 | ) | (4,483,005 | ) | (8,130,277 | ) | (16,952,960 | ) | (4,890,262 | ) | (11,439,046 | ) | (55,613,849 | ) | (49,313,796 | ) | |||||||||||||||
| 19,345,673 | 7,325,982 | (3,218,750 | ) | (13,589,154 | ) | 8,065,761 | 2,243,572 | (48,526,801 | ) | 856,815,347 | ||||||||||||||||||||
| 43,324,785 | 45,628,970 | 62,626,125 | 49,701,745 | 16,276,035 | 6,998,440 | (40,353,911 | ) | 1,024,750,116 | ||||||||||||||||||||||
| 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 | |||||||||||||||||||||||
| $ | 304,783,818 | $ | 261,459,033 | $ | 569,353,288 | $ | 506,727,163 | $ | 101,388,497 | $ | 85,112,462 | $ | 1,479,982,617 | $ | 1,520,336,528 | |||||||||||||||
| $ | 1,248,950 | $ | 2,978,816 | $ | 970,220 | $ | 1,985,562 | $ | 495,520 | $ | 907,451 | $ | 20,786,622 | $ | (1,101,049 | ) | ||||||||||||||
| 459,494 | 749,716 | 188,566 | 174,975 | 644,153 | 426,594 | 749,406 | 21,091,277 | |||||||||||||||||||||||
| — | — | — | — | — | — | — | 91,385,735 | |||||||||||||||||||||||
| 994,806 | 149,406 | 144,603 | 102,995 | 293,994 | 769,224 | 46,389 | 3,040,817 | |||||||||||||||||||||||
| (272,778 | ) | (326,697 | ) | (567,385 | ) | (1,366,776 | ) | (358,056 | ) | (936,931 | ) | (6,254,543 | ) | (6,170,228 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| 1,181,522 | 572,425 | (234,216 | ) | (1,088,806 | ) | 580,091 | 258,887 | (5,458,748 | ) | 109,347,601 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
287
Table of Contents
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 | 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 10,860 | $ | 28,660 | $ | 1,535 | $ | 4,666 | ||||||||
Net realized gains/(losses) | (22,690 | ) | 396,801 | 590,456 | (52,507 | ) | ||||||||||
Change in net unrealized appreciation/(depreciation) | 960,455 | 637,520 | 160,404 | 1,352,702 | ||||||||||||
Net Change in Net Assets Resulting From Operations | 948,625 | 1,062,981 | 752,395 | 1,304,861 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (29,443 | ) | (1,439 | ) | (5,450 | ) | — | |||||||||
From net realized gains | (5,309 | ) | — | — | — | |||||||||||
Total Distributions to Shareholders | (34,752 | ) | (1,439 | ) | (5,450 | ) | — | |||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 1,718,435 | 3,025,259 | 968,769 | 2,904,868 | ||||||||||||
Issued in connection with merger | — | — | — | — | ||||||||||||
Distributions reinvested | 34,752 | 1,439 | 5,450 | — | ||||||||||||
Redeemed | (540,761 | ) | (1,056,501 | ) | (1,807,388 | ) | (4,076,845 | ) | ||||||||
Total Capital Stock Transactions | 1,212,426 | 1,970,197 | (833,169 | ) | (1,171,977 | ) | ||||||||||
Net Increase/(Decrease) in Net Assets | 2,126,299 | 3,031,739 | (86,224 | ) | 132,884 | |||||||||||
Net Assets, Beginning of Period | 9,178,030 | 6,146,291 | 12,842,385 | 12,709,501 | ||||||||||||
Net Assets, End of Period | $ | 11,304,329 | $ | 9,178,030 | $ | 12,756,161 | $ | 12,842,385 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 3,751 | $ | 22,334 | $ | (5,575 | ) | $ | (1,660 | ) | ||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 136,336 | 265,279 | 89,039 | 277,366 | ||||||||||||
Issued in connection with merger | — | — | — | — | ||||||||||||
Distributions reinvested | 2,616 | 134 | 482 | — | ||||||||||||
Redeemed | (42,262 | ) | (93,675 | ) | (164,564 | ) | (400,992 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | 96,690 | 171,738 | (75,043 | ) | (123,626 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
288
Table of Contents
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 | |||||||||||||||||||||||||||
| 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | |||||||||||||||||||||||
| $ | 41,988 | $ | 61,075 | $ | 196,528 | $ | 427,767 | $ | 3,505,894 | $ | 10,064,557 | $ | (53,431 | ) | $ | 12,777 | ||||||||||||||
| 345,517 | 30,469 | 4,480,258 | 4,458,734 | 47,509,924 | 66,744,083 | 4,934,318 | 3,057,022 | |||||||||||||||||||||||
| 229,195 | 605,606 | 1,416,940 | 2,375,425 | 29,043,231 | 73,116,608 | 1,393,736 | 6,273,595 | |||||||||||||||||||||||
| 616,700 | 697,150 | 6,093,726 | 7,261,926 | 80,059,049 | 149,925,248 | 6,274,623 | 9,343,394 | |||||||||||||||||||||||
| (61,851 | ) | (43,276 | ) | (428,025 | ) | (239,038 | ) | (602,674 | ) | (9,829,304 | ) | (18,555 | ) | — | ||||||||||||||||
| — | — | — | — | — | –– | — | ||||||||||||||||||||||||
| (61,851 | ) | (43,276 | ) | (428,025 | ) | (239,038 | ) | (602,674 | ) | (9,829,304 | ) | (18,555 | ) | — | ||||||||||||||||
| 898,806 | 1,157,102 | 1,663,225 | 2,188,894 | 10,225,393 | 18,349,962 | 2,657,631 | 6,762,784 | |||||||||||||||||||||||
| — | — | — | — | — | 13,165,950 | — | — | |||||||||||||||||||||||
| 61,851 | 43,276 | 428,025 | 239,038 | 602,674 | 9,829,304 | 18,555 | — | |||||||||||||||||||||||
| (725,569 | ) | (2,580,566 | ) | (3,870,483 | ) | (9,349,587 | ) | (58,644,207 | ) | (126,814,342 | ) | (4,513,905 | ) | (9,225,615 | ) | |||||||||||||||
| 235,088 | (1,380,188 | ) | (1,779,233 | ) | (6,921,655 | ) | (47,816,140 | ) | (85,469,126 | ) | (1,837,719 | ) | (2,462,831 | ) | ||||||||||||||||
| 789,937 | (726,314 | ) | 3,886,468 | 101,233 | 31,640,235 | 54,626,818 | 4,418,349 | 6,880,563 | ||||||||||||||||||||||
| 5,979,400 | 6,705,714 | 51,469,335 | 51,368,102 | 859,909,950 | 805,283,132 | 57,980,378 | 51,099,815 | |||||||||||||||||||||||
| $ | 6,769,337 | $ | 5,979,400 | $ | 55,355,803 | $ | 51,469,335 | $ | 891,550,185 | $ | 859,909,950 | $ | 62,398,727 | $ | 57,980,378 | |||||||||||||||
| $ | 34,878 | $ | 54,741 | $ | 185,549 | $ | 417,046 | $ | 3,142,246 | $ | 239,026 | $ | (72,121 | ) | $ | (135 | ) | |||||||||||||
| 92,788 | 132,794 | 159,310 | 234,372 | 507,466 | 1,000,002 | 183,503 | 511,739 | |||||||||||||||||||||||
| — | — | — | — | — | 726,454 | — | — | |||||||||||||||||||||||
| 6,101 | 5,385 | 38,956 | 27,000 | 28,553 | 523,730 | 1,209 | — | |||||||||||||||||||||||
| (74,490 | ) | (300,473 | ) | (370,586 | ) | (1,007,234 | ) | (2,897,056 | ) | (6,972,462 | ) | (309,901 | ) | (707,913 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| 24,399 | (162,294 | ) | (172,320 | ) | (745,862 | ) | (2,361,037 | ) | (4,722,276 | ) | (125,189 | ) | (196,174 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
289
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Large Cap Value Portfolio | Large Cap Stock Portfolio | |||||||||||||||
For the periods ended | 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 7,327,432 | $ | 14,878,742 | $ | 3,387,275 | $ | 8,194,610 | ||||||||
Net realized gains/(losses) | 30,711,733 | 59,391,326 | 36,393,243 | 38,395,115 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | 96,326,878 | 55,705,117 | 27,838,407 | 36,537,028 | ||||||||||||
Net Change in Net Assets Resulting From Operations | 134,366,043 | 129,975,185 | 67,618,925 | 83,126,753 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (14,880,600 | ) | (13,811,639 | ) | (8,140,375 | ) | (6,228,672 | ) | ||||||||
From net realized gains | — | — | — | — | ||||||||||||
Total Distributions to Shareholders | (14,880,600 | ) | (13,811,639 | ) | (8,140,375 | ) | (6,228,672 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 8,753,721 | 3,612,354 | 3,415,336 | 3,768,385 | ||||||||||||
Distributions reinvested | 14,880,600 | 13,811,639 | 8,140,375 | 6,228,672 | ||||||||||||
Redeemed | (12,038,303 | ) | (32,998,939 | ) | (13,430,527 | ) | (30,211,843 | ) | ||||||||
Total Capital Stock Transactions | 11,596,018 | (15,574,946 | ) | (1,874,816 | ) | (20,214,786 | ) | |||||||||
Net Increase/(Decrease) in Net Assets | 131,081,461 | 100,588,600 | 57,603,734 | 56,683,295 | ||||||||||||
Net Assets, Beginning of Period | 852,642,876 | 752,054,276 | 622,532,882 | 565,849,587 | ||||||||||||
Net Assets, End of Period | $ | 983,724,337 | $ | 852,642,876 | $ | 680,136,616 | $ | 622,532,882 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 6,702,561 | $ | 14,255,729 | $ | 2,920,685 | $ | 7,673,785 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 659,070 | 319,781 | 340,048 | 423,296 | ||||||||||||
Distributions reinvested | 1,059,653 | 1,310,837 | 782,300 | 740,090 | ||||||||||||
Redeemed | (915,740 | ) | (2,926,037 | ) | (1,346,643 | ) | (3,403,764 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | 802,983 | (1,295,419 | ) | (224,295 | ) | (2,240,378 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
290
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Large Cap Index Portfolio | Equity Income Plus Portfolio | Balanced Portfolio | High Yield Portfolio | |||||||||||||||||||||||||||
| 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | |||||||||||||||||||||||
| $ | 2,828,901 | $ | 5,795,386 | $ | 1,290,656 | $ | 2,506,069 | $ | 2,109,174 | $ | 4,713,023 | $ | 28,633,285 | $ | 60,057,759 | |||||||||||||||
| 3,329,624 | 6,997,926 | 5,208,649 | 4,384,714 | 3,648,334 | 7,532,152 | 11,811,353 | 12,462,614 | |||||||||||||||||||||||
| 34,709,065 | 31,083,495 | 4,446,311 | 4,835,476 | 13,339,106 | 16,375,928 | (31,480,965 | ) | 53,864,145 | ||||||||||||||||||||||
| 40,867,590 | 43,876,807 | 10,945,616 | 11,726,259 | 19,096,614 | 28,621,103 | 8,963,673 | 126,384,518 | |||||||||||||||||||||||
| (5,733,630 | ) | (5,141,254 | ) | (2,504,677 | ) | (1,466,534 | ) | (4,682,407 | ) | (5,235,804 | ) | (28,336,930 | ) | (59,938,400 | ) | |||||||||||||||
| (3,429,327 | ) | — | — | — | (8,188,843 | ) | (7,316,452 | ) | — | — | ||||||||||||||||||||
| (9,162,957 | ) | (5,141,254 | ) | (2,504,677 | ) | (1,466,534 | ) | (12,871,250 | ) | (12,552,256 | ) | (28,336,930 | ) | (59,938,400 | ) | |||||||||||||||
| 11,779,211 | 13,848,652 | 8,776,610 | 8,303,970 | 6,273,330 | 8,546,000 | 25,841,468 | 73,539,161 | |||||||||||||||||||||||
| 9,162,957 | 5,141,254 | 2,504,677 | 1,466,534 | 12,871,250 | 12,552,256 | 28,336,930 | 59,938,400 | |||||||||||||||||||||||
| (19,204,046 | ) | (45,042,319 | ) | (2,187,656 | ) | (6,047,114 | ) | (14,424,616 | ) | (38,355,197 | ) | (38,600,404 | ) | (73,552,537 | ) | |||||||||||||||
| 1,738,122 | (26,052,413 | ) | 9,093,631 | 3,723,390 | 4,719,964 | (17,256,941 | ) | 15,577,994 | 59,925,024 | |||||||||||||||||||||
| 33,442,755 | 12,683,140 | 17,534,570 | 13,983,115 | 10,945,328 | (1,188,094 | ) | (3,795,263 | ) | 126,371,142 | |||||||||||||||||||||
| 303,968,441 | 291,285,301 | 102,060,934 | 88,077,819 | 239,333,946 | 240,522,040 | 904,897,423 | 778,526,281 | |||||||||||||||||||||||
| $ | 337,411,196 | $ | 303,968,441 | $ | 119,595,504 | $ | 102,060,934 | $ | 250,279,274 | $ | 239,333,946 | $ | 901,102,160 | $ | 904,897,423 | |||||||||||||||
| $ | 2,818,367 | $ | 5,723,096 | $ | 1,284,049 | $ | 2,498,070 | $ | 2,065,610 | $ | 4,638,843 | $ | 813,487 | $ | 517,132 | |||||||||||||||
| 529,506 | 715,568 | 823,987 | 871,505 | 385,708 | 560,304 | 5,068,753 | 14,986,031 | |||||||||||||||||||||||
| 400,945 | 277,975 | 229,593 | 161,241 | 795,037 | 868,290 | 5,566,398 | 12,257,003 | |||||||||||||||||||||||
| (871,737 | ) | (2,322,549 | ) | (206,218 | ) | (631,949 | ) | (880,495 | ) | (2,519,201 | ) | (7,604,092 | ) | (15,027,427 | ) | |||||||||||||||
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| |||||||||||||||
| 58,714 | (1,329,006 | ) | 847,362 | 400,797 | 300,250 | (1,090,607 | ) | 3,031,059 | 12,215,607 | |||||||||||||||||||||
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The accompanying Notes to Financial Statements are an integral part of this schedule.
291
Table of Contents
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Diversified Income Plus Portfolio | Income Portfolio | |||||||||||||||
For the periods ended | 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 5,063,381 | $ | 7,433,610 | $ | 28,067,772 | $ | 59,355,156 | ||||||||
Net realized gains/(losses) | 4,514,267 | 5,431,147 | 19,412,757 | 21,416,296 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | 2,873,357 | 7,417,838 | (83,233,919 | ) | 79,186,541 | |||||||||||
Net Change in Net Assets Resulting From Operations | 12,451,005 | 20,282,595 | (35,753,390 | ) | 159,957,993 | |||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (7,460,218 | ) | (5,452,096 | ) | (27,722,919 | ) | (59,012,268 | ) | ||||||||
From net realized gains | — | — | (3,278,491 | ) | — | |||||||||||
Total Distributions to Shareholders | (7,460,218 | ) | (5,452,096 | ) | (31,001,410 | ) | (59,012,268 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 70,532,807 | 85,753,163 | 15,698,144 | 54,891,014 | ||||||||||||
Issued in connection with merger | — | 13,296,211 | — | 12,259,837 | ||||||||||||
Distributions reinvested | 7,460,218 | 5,452,096 | 31,001,410 | 59,012,268 | ||||||||||||
Redeemed | (5,281,327 | ) | (8,018,198 | ) | (120,721,902 | ) | (114,278,014 | ) | ||||||||
Total Capital Stock Transactions | 72,711,698 | 96,483,272 | (74,022,348 | ) | 11,885,105 | |||||||||||
Net Increase/(Decrease) in Net Assets | 77,702,485 | 111,313,771 | (140,777,148 | ) | 112,830,830 | |||||||||||
Net Assets, Beginning of Period | 229,706,695 | 118,392,924 | 1,575,900,291 | 1,463,069,461 | ||||||||||||
Net Assets, End of Period | $ | 307,409,180 | $ | 229,706,695 | $ | 1,435,123,143 | $ | 1,575,900,291 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 5,044,672 | $ | 7,441,509 | $ | 227,234 | $ | (117,619 | ) | |||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 9,304,613 | 12,155,398 | 1,459,463 | 5,192,291 | ||||||||||||
Issued in connection with merger | — | 1,916,798 | — | 1,157,709 | ||||||||||||
Distributions reinvested | 986,514 | 810,540 | 2,899,272 | 5,624,140 | ||||||||||||
Redeemed | (699,023 | ) | (1,152,437 | ) | (11,327,772 | ) | (10,754,836 | ) | ||||||||
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Total Capital Stock Share Transactions | 9,592,104 | 13,730,299 | (6,969,037 | ) | 1,219,304 | |||||||||||
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The accompanying Notes to Financial Statements are an integral part of this schedule.
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Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Bond Index Portfolio | Limited Maturity Bond Portfolio | Mortgage Securities Portfolio | Money Market Portfolio | |||||||||||||||||||||||||||
| 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | 6/28/2013 (unaudited) | 12/31/2012 | |||||||||||||||||||||||
| $ | 1,581,852 | $ | 3,415,714 | $ | 8,697,854 | $ | 22,937,220 | $ | 338,103 | $ | 532,342 | $ | (2,429 | ) | $ | (2,651 | ) | |||||||||||||
| (797,396 | ) | 5,418,206 | 6,093,991 | (273,553 | ) | (919,528 | ) | 312,006 | 2,429 | 2,651 | ||||||||||||||||||||
| (5,508,894 | ) | (707,132 | ) | (19,169,690 | ) | 35,192,742 | (314,935 | ) | 1,152,966 | — | — | |||||||||||||||||||
| (4,724,438 | ) | 8,126,788 | (4,377,845 | ) | 57,856,409 | (896,360 | ) | 1,997,314 | — | — | ||||||||||||||||||||
| (1,581,852 | ) | (3,444,671 | ) | (8,293,532 | ) | (22,206,345 | ) | (338,103 | ) | (535,537 | ) | — | — | |||||||||||||||||
| (5,464,327 | ) | (2,019,243 | ) | – | – | (301,210 | ) | (801,702 | ) | — | — | |||||||||||||||||||
| (7,046,179 | ) | (5,463,914 | ) | (8,293,532 | ) | (22,206,345 | ) | (639,313 | ) | (1,337,239 | ) | — | — | |||||||||||||||||
| 9,976,407 | 35,179,446 | 20,893,184 | 57,975,655 | 4,279,778 | 8,238,613 | 35,058,894 | 71,091,075 | |||||||||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| 7,046,179 | 5,463,914 | 8,293,532 | 22,206,345 | 639,313 | 1,337,239 | — | — | |||||||||||||||||||||||
| (20,234,288 | ) | (22,306,399 | ) | (115,467,191 | ) | (413,650,797 | ) | (4,162,776 | ) | (5,385,708 | ) | (45,123,025 | ) | (93,288,632 | ) | |||||||||||||||
| (3,211,702 | ) | 18,336,961 | (86,280,475 | ) | (333,468,797 | ) | 756,315 | 4,190,144 | (10,064,131 | ) | (22,197,557 | ) | ||||||||||||||||||
| (14,982,319 | ) | 20,999,835 | (98,951,852 | ) | (297,818,733 | ) | (779,358 | ) | 4,850,219 | (10,064,131 | ) | (22,197,557 | ) | |||||||||||||||||
| 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 | |||||||||||||||||||||||
| $ | 170,479,851 | $ | 185,462,170 | $ | 1,101,061,816 | $ | 1,200,013,668 | $ | 36,493,189 | $ | 37,272,547 | $ | 138,198,193 | $ | 148,262,324 | |||||||||||||||
| $ | (602 | ) | $ | (602 | ) | $ | 277,270 | $ | (127,052 | ) | $ | 753 | $ | 753 | $ | (2,429 | ) | $ | — | |||||||||||
| 880,731 | 3,102,653 | 2,105,327 | 5,878,889 | 403,964 | 780,204 | 35,058,894 | 71,091,075 | |||||||||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| 645,494 | 483,506 | 835,592 | 2,260,994 | 61,019 | 128,037 | — | — | |||||||||||||||||||||||
| (1,805,874 | ) | (1,972,935 | ) | (11,647,057 | ) | (42,087,461 | ) | (396,097 | ) | (510,447 | ) | (45,123,025 | ) | (93,288,632 | ) | |||||||||||||||
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| |||||||||||||||
| (279,649 | ) | 1,613,224 | (8,706,138 | ) | (33,947,578 | ) | 68,886 | 397,794 | (10,064,131 | ) | (22,197,557 | ) | ||||||||||||||||||
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The accompanying Notes to Financial Statements are an integral part of this schedule.
293
Table of Contents
Thrivent Series Fund, Inc.
June 28, 2013
(unaudited)
(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”). As of June 28, 2013, 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 | |||
294
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
June 28, 2013
(unaudited)
As of July 27, 2012, the net assets of the Target Funds were comprised of the following:
| Unrealized | Accumulated Net | |||||||||||||||
| Appreciation/ | Undistributed Net | Realized Gains/ | Capital | |||||||||||||
Target Fund | (Depreciation) | Investment Income | (Losses) | 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:
| Net Change in | ||||||||||||||||
| Unrealized | Net | Net Increase in Net | ||||||||||||||
| Appreciation/ | Net Investment | Gains/(Losses)on | Assets from | |||||||||||||
Acquiring Fund | (Depreciation) | Income | Investments | 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 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.
295
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
June 28, 2013
(unaudited)
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 June 28, 2013, the following Portfolios held these types of Level 3 securities:
| Percent of | ||||||||
| Number of | Portfolio’s | |||||||
Portfolio | Securities | Net Assets | ||||||
Partner Worldwide Allocation | 3 | 0.07 | % | |||||
Partner Growth Stock | 10 | 0.29 | % | |||||
Balanced | 1 | <0.01 | % | |||||
High Yield | 2 | 0.03 | % | |||||
Bond Index | 1 | <0.01 | % | |||||
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 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.
(D) 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
296
Table of Contents
Thrivent Series Fund, Inc.
Notes to Financial Statements
June 28, 2013
(unaudited)
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 June 28, 2013, open U.S. Federal, Minnesota, and Wisconsin tax years include the tax years ended December 31, 2009 through 2012. Additionally, as of June 28, 2013, 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 June 28, 2013, 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.
(E) 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.
(F) 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.
(G) 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.
(H) Derivative Financial Instruments – Each of the Portfolios, except Thrivent Money Market Portfolio, may invest in derivatives. Derivatives, a category that includes options, futures, swaps and hybrid instruments, are financial instruments whose value derives from another security, an index or a currency. Each Portfolio may use derivatives for hedging (attempting to offset a potential loss in one position by establishing an interest in an opposite position). This includes the use of currency-based derivatives for hedging its positions in foreign securities. Each Portfolio may also use derivatives for replication of a certain asset class or speculation (investing for potential income or capital gain). These contracts may be transacted on an exchange or over-the-counter (OTC).
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.
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Notes to Financial Statements
June 28, 2013
(unaudited)
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.
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.
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.
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.
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Notes to Financial Statements
June 28, 2013
(unaudited)
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 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.
A derivative may incur a mark to market loss if the value if the derivative decreases due to an unfavorable change in the market rates or values of the underlying derivative. Losses can also occur if the counterparty does not perform under the derivative. A Portfolio’s risk of loss from the counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Portfolio. With exchange traded futures and centrally cleared swaps, there is minimal counterparty credit risk to the Portfolios because the exchange’s clearinghouse, as counterparty to such derivatives, guarantees against a possible default. The clearing house stands between the buyer and the seller of the derivative; thus, the credit risk is limited to the failure of the clearinghouse. However, credit risk still exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers, potentially resulting in losses in the Portfolios. Using derivatives to hedge can guard against potential risks, but it also adds to the Portfolios’ expenses and can eliminate some opportunities for gains. In addition, a derivative used for hedging or replication may not accurately track the value of the underlying asset. Another risk with derivatives is that some types can amplify a gain or loss, potentially earning or losing substantially more money than the actual cost of the derivative.
In order to define their contractual rights and to secure rights that will help the Portfolios mitigate their counterparty risk, the Portfolios may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Portfolio and a counterparty that governs OTC derivatives and foreign exchange contracts and typically includes, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Portfolio may, under certain circumstances, offset with the counterparty certain derivative’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy and insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
Collateral and margin requirements vary by type of derivative. Margin requirements are established by the broker or clearing house for exchange traded and centrally cleared derivatives (futures, options, and centrally cleared swaps). Brokers can ask for margining in excess of the minimum in certain situations. Collateral terms are contract specific for OTC derivatives (foreign currency exchange contracts, options, swaps). For derivatives traded under an IDSA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Portfolio and the counterparty. For financial reporting purposes, non-cash collateral that has been pledged to cover obligations of the Portfolio has been noted in the Schedule of Investments. To the extent amounts due to the Portfolio from its counterparties are not fully collateralized, contractually or otherwise, the Portfolio bears the risk of loss from counterparty nonperformance. The Portfolios attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. The amounts presented in the tables below are offset first by financial instruments that have the right of offset under master netting or similar arrangements, then any remaining amount is reduced by cash and non-cash collateral pledged. The actual amounts of collateral may be greater than amounts presented in the tables.
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Notes to Financial Statements
June 28, 2013
(unaudited)
The following table presents the gross and net information about assets subject to master netting arrangements, as presented in the Statement of Assets and Liabilities:
| Gross Amounts Not Offset in the | ||||||||||||||||||||||||||||
| Statement of Assets and Liabilities | ||||||||||||||||||||||||||||
| Net Amounts | ||||||||||||||||||||||||||||
| Gross Amounts | Gross | of | Cash | Non-Cash | ||||||||||||||||||||||||
| of Recognized | Amounts | Recognized | Financial | Collateral | Collateral | |||||||||||||||||||||||
Portfolio | Assets | Offset | Assets | Instruments | Offset | Pledged | Net Amount | |||||||||||||||||||||
Aggressive Allocation | ||||||||||||||||||||||||||||
Futures Contracts | 362,198 | — | 362,198 | — | — | 362,198 | — | |||||||||||||||||||||
Moderately Aggressive | ||||||||||||||||||||||||||||
Allocation | ||||||||||||||||||||||||||||
Futures Contracts | 605,629 | — | 605,629 | — | — | 605,629 | — | |||||||||||||||||||||
Securities Lending | 40,552,164 | — | 40,552,164 | — | 40,552,164 | — | — | |||||||||||||||||||||
Moderate Allocation | ||||||||||||||||||||||||||||
Futures Contracts | 510,423 | — | 510,423 | — | — | 510,423 | — | |||||||||||||||||||||
Securities Lending | 52,463,197 | — | 52,463,197 | — | 52,463,197 | — | — | |||||||||||||||||||||
Moderately Conservative | ||||||||||||||||||||||||||||
Allocation | ||||||||||||||||||||||||||||
Futures Contracts | 244,166 | — | 244,166 | — | — | 244,166 | — | |||||||||||||||||||||
Securities Lending | 22,428,437 | — | 22,428,437 | — | 22,428,437 | — | — | |||||||||||||||||||||
Partner Technology | ||||||||||||||||||||||||||||
Securities Lending | 3,561,772 | — | 3,561,772 | — | 3,561,772 | — | — | |||||||||||||||||||||
Natural Resources | ||||||||||||||||||||||||||||
Securities Lending | 2,108,929 | — | 2,108,929 | — | 2,108,929 | — | — | |||||||||||||||||||||
Partner Emerging Markets | ||||||||||||||||||||||||||||
Equity | ||||||||||||||||||||||||||||
Securities Lending | 4,684,156 | — | 4,684,156 | — | 4,684,156 | — | — | |||||||||||||||||||||
Partner Small Cap Growth | ||||||||||||||||||||||||||||
Securities Lending | 37,118,637 | — | 37,118,637 | — | 37,118,637 | — | — | |||||||||||||||||||||
Partner Small Cap Value | ||||||||||||||||||||||||||||
Securities Lending | 11,398,190 | — | 11,398,190 | — | 11,398,190 | — | — | |||||||||||||||||||||
Small Cap Stock | ||||||||||||||||||||||||||||
Securities Lending | 10,762,540 | — | 10,762,540 | — | 10,762,540 | — | — | |||||||||||||||||||||
Small Cap Index | ||||||||||||||||||||||||||||
Securities Lending | 19,120,857 | — | 19,120,857 | — | 19,120,857 | — | — | |||||||||||||||||||||
Mid Cap Growth | ||||||||||||||||||||||||||||
Securities Lending | 17,461,103 | — | 17,461,103 | — | 17,461,103 | — | — | |||||||||||||||||||||
Partner Mid Cap Value | ||||||||||||||||||||||||||||
Securities Lending | 9,205,796 | — | 9,205,796 | — | 9,205,796 | — | — | |||||||||||||||||||||
Mid Cap Stock | ||||||||||||||||||||||||||||
Securities Lending | 49,592,150 | — | 49,592,150 | — | 49,592,150 | — | — | |||||||||||||||||||||
Mid Cap Index | ||||||||||||||||||||||||||||
Securities Lending | 6,088,333 | — | 6,088,333 | — | 6,088,333 | — | — | |||||||||||||||||||||
Partner Worldwide | ||||||||||||||||||||||||||||
Allocation | ||||||||||||||||||||||||||||
Futures Contracts | 19,826 | — | 19,826 | — | 19,826 | — | — | |||||||||||||||||||||
Exchange Contracts | 965,675 | — | 965,675 | 45,549 | — | — | 920,126 | * | ||||||||||||||||||||
Securities Lending | 92,148,841 | — | 92,148,841 | — | 92,148,841 | — | — | |||||||||||||||||||||
Partner All Cap | ||||||||||||||||||||||||||||
Securities Lending | 886,150 | — | 886,150 | — | 886,150 | — | — | |||||||||||||||||||||
Large Cap Growth | ||||||||||||||||||||||||||||
Securities Lending | 5,166,750 | — | 5,166,750 | — | 5,166,750 | — | — | |||||||||||||||||||||
Partner Growth Stock | ||||||||||||||||||||||||||||
Securities Lending | 1,941,833 | — | 1,941,833 | — | 1,941,833 | — | — | |||||||||||||||||||||
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| Gross Amounts Not Offset in the | ||||||||||||||||||||||||||||
| Statement of Assets and Liabilities | ||||||||||||||||||||||||||||
| Net Amounts | ||||||||||||||||||||||||||||
| Gross Amounts | Gross | of | Cash | Non-Cash | ||||||||||||||||||||||||
| of Recognized | Amounts | Recognized | Financial | Collateral | Collateral | |||||||||||||||||||||||
Portfolio | Assets | Offset | Assets | Instruments | Offset | Pledged | Net Amount | |||||||||||||||||||||
Large Cap Stock | ||||||||||||||||||||||||||||
Securities Lending | 2,173,500 | — | 2,173,500 | — | 2,173,500 | — | — | |||||||||||||||||||||
Large Cap Index | ||||||||||||||||||||||||||||
Securities Lending | 5,976,700 | — | 5,976,700 | — | 5,976,700 | — | — | |||||||||||||||||||||
Equity Income Plus | ||||||||||||||||||||||||||||
Securities Lending | 7,458,294 | — | 7,458,294 | — | 7,458,294 | — | — | |||||||||||||||||||||
Balanced | ||||||||||||||||||||||||||||
Securities Lending | 2,279,845 | — | 2,279,845 | — | 2,279,845 | — | — | |||||||||||||||||||||
High Yield | ||||||||||||||||||||||||||||
Futures Contracts | 4,063 | — | 4,063 | — | — | 4,063 | — | |||||||||||||||||||||
Securities Lending | 62,397,926 | — | 62,397,926 | — | 62,397,926 | — | — | |||||||||||||||||||||
Diversified Income Plus | ||||||||||||||||||||||||||||
Futures Contracts | 32,626 | — | 32,626 | — | — | 32,626 | — | |||||||||||||||||||||
Securities Lending | 11,027,628 | — | 11,027,628 | — | 11,027,628 | — | — | |||||||||||||||||||||
Income | ||||||||||||||||||||||||||||
Futures Contracts | 247,663 | — | 247,663 | — | — | 247,663 | — | |||||||||||||||||||||
Securities Lending | 19,893,021 | — | 19,893,021 | — | 19,893,021 | — | — | |||||||||||||||||||||
Bond Index | ||||||||||||||||||||||||||||
Securities Lending | 6,172,900 | — | 6,172,900 | — | 6,172,900 | — | — | |||||||||||||||||||||
Limited Maturity Bond | ||||||||||||||||||||||||||||
Futures Contracts | 25,861 | — | 25,861 | — | — | 25,861 | — | |||||||||||||||||||||
Securities Lending | 16,636,155 | — | 16,636,155 | — | 16,636,155 | — | — | |||||||||||||||||||||
Mortgage Securities | ||||||||||||||||||||||||||||
Futures Contracts | 391 | — | 391 | — | — | 391 | — | |||||||||||||||||||||
| * | Net amount represents the net amount receivable from the counterparty in the event of a default. |
The following table presents the gross and net information about liabilities subject to master netting arrangements, as presented in the Statement of Assets and Liabilities:
| Gross Amounts Not Offset in the | ||||||||||||||||||||||||||||
| Statement of Assets and Liabilities | ||||||||||||||||||||||||||||
| Net Amounts | ||||||||||||||||||||||||||||
| Gross Amounts | Gross | of | Cash | Non-Cash | ||||||||||||||||||||||||
| of Recognized | Amounts | Recognized | Financial | Collateral | Collateral | |||||||||||||||||||||||
Portfolio | Liabilities | Offset | Liabilities | Instruments | Offset | Pledged | Net Amount | |||||||||||||||||||||
Aggressive Allocation | ||||||||||||||||||||||||||||
Futures Contracts | 933,382 | — | 933,382 | — | — | 933,382 | — | |||||||||||||||||||||
Moderately Aggressive | ||||||||||||||||||||||||||||
Allocation | ||||||||||||||||||||||||||||
Futures Contracts | 2,930,162 | — | 2,930,162 | — | — | 2,930,162 | — | |||||||||||||||||||||
Moderate Allocation | ||||||||||||||||||||||||||||
Futures Contracts | 4,535,810 | — | 4,535,810 | — | — | 4,535,810 | — | |||||||||||||||||||||
Moderately Conservative | ||||||||||||||||||||||||||||
Allocation | ||||||||||||||||||||||||||||
Futures Contracts | 1,979,854 | — | 1,979,854 | — | — | 1,979,854 | — | |||||||||||||||||||||
Partner Healthcare | ||||||||||||||||||||||||||||
Exchange Contracts | 340 | — | 340 | — | — | — | 340 | * | ||||||||||||||||||||
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Notes to Financial Statements
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(unaudited)
| Gross Amounts Not Offset in the | ||||||||||||||||||||||||||||
| Statement of Assets and Liabilities | ||||||||||||||||||||||||||||
| Net Amounts | ||||||||||||||||||||||||||||
| Gross Amounts | Gross | of | Cash | Non-Cash | ||||||||||||||||||||||||
| of Recognized | Amounts | Recognized | Financial | Collateral | Collateral | |||||||||||||||||||||||
Portfolio | Liabilities | Offset | Liabilities | Instruments | Offset | Pledged | Net Amount | |||||||||||||||||||||
Partner Emerging Markets | ||||||||||||||||||||||||||||
Equity | ||||||||||||||||||||||||||||
Exchange Contracts | 14 | — | 14 | — | — | — | 14 | * | ||||||||||||||||||||
Small Cap Stock | ||||||||||||||||||||||||||||
Futures Contracts | 50,040 | — | 50,040 | — | — | 50,040 | — | |||||||||||||||||||||
Small Cap Index | ||||||||||||||||||||||||||||
Futures Contracts | 5,619 | — | 5,619 | — | — | 5,619 | — | |||||||||||||||||||||
Mid Cap Index | ||||||||||||||||||||||||||||
Futures Contracts | 11,852 | — | 11,852 | — | — | 11,852 | — | |||||||||||||||||||||
Partner Worldwide | ||||||||||||||||||||||||||||
Allocation | ||||||||||||||||||||||||||||
Futures Contracts | 9,279 | — | 9,279 | — | 9,279 | — | — | |||||||||||||||||||||
Exchange Contracts | 823,389 | — | 823,389 | 82,069 | — | — | 741,320 | * | ||||||||||||||||||||
Large Cap Stock | ||||||||||||||||||||||||||||
Futures Contracts | 162,985 | — | 162,985 | — | — | 162,985 | — | |||||||||||||||||||||
Large Cap Index | ||||||||||||||||||||||||||||
Futures Contracts | 20,075 | — | 20,075 | — | — | 20,075 | — | |||||||||||||||||||||
Equity Income Plus | ||||||||||||||||||||||||||||
Futures Contracts | 24,593 | — | 24,593 | — | — | 24,593 | — | |||||||||||||||||||||
Balanced | ||||||||||||||||||||||||||||
Futures Contracts | 16,425 | — | 16,425 | — | — | 16,425 | — | |||||||||||||||||||||
Diversified Income Plus | ||||||||||||||||||||||||||||
Futures Contracts | 6,707 | — | 6,707 | — | — | 6,707 | — | |||||||||||||||||||||
Income | ||||||||||||||||||||||||||||
Futures Contracts | 23,791 | — | 23,791 | — | — | 23,791 | — | |||||||||||||||||||||
Limited Maturity Bond | ||||||||||||||||||||||||||||
Futures Contracts | 40,668 | — | 40,668 | — | — | 40,668 | — | |||||||||||||||||||||
Mortgage Securities | ||||||||||||||||||||||||||||
Futures Contracts | 234 | — | 234 | — | — | 234 | — | |||||||||||||||||||||
| * | Net amount represents the net amount payable to the counterparty in the event of a default. |
(I) 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.
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Notes to Financial Statements
June 28, 2013
(unaudited)
(J) 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.
As of June 28, 2013, the value of securities on loan is as follows:
| Securities on | ||||
Portfolio | Loan | |||
Moderately Aggressive Allocation | $ | 39,450,325 | ||
Moderate Allocation | 51,059,045 | |||
Moderately Conservative Allocation | 21,842,109 | |||
Partner Technology | 3,476,802 | |||
Natural Resources | 2,081,726 | |||
Partner Emerging Markets Equity | 4,540,522 | |||
Partner Small Cap Growth | 35,892,508 | |||
Partner Small Cap Value | 11,008,834 | |||
Small Cap Stock | 10,414,961 | |||
Small Cap Index | 18,632,601 | |||
Mid Cap Growth | 17,129,856 | |||
Partner Mid Cap Value | 9,007,148 | |||
Mid Cap Stock | 48,467,698 | |||
Mid Cap Index | 5,940,122 | |||
Partner Worldwide Allocation | 95,645,431 | |||
Partner All Cap | 864,788 | |||
Large Cap Growth | 4,941,120 | |||
Partner Growth Stock | 1,883,052 | |||
Large Cap Stock | 2,111,895 | |||
Large Cap Index | 5,818,588 | |||
Equity Income Plus | 7,326,622 | |||
Balanced | 2,219,456 | |||
High Yield | 60,227,379 | |||
Diversified Income Plus | 10,749,736 | |||
Income | 19,204,808 | |||
Bond Index | 6,064,887 | |||
Limited Maturity Bond | 16,234,847 | |||
(K) 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.
(L) 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.
(M) 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 six months ended June 28, 2013, no Portfolios engaged in this type of investment.
(N) 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.
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Notes to Financial Statements
June 28, 2013
(unaudited)
(O) 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.
(P) 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.
(Q) 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.
(R) 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.
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.
(S) 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.
(T) 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.
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Thrivent Series Fund, Inc.
Notes to Financial Statements
June 28, 2013
(unaudited)
(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 | Over $50 to $200M | Over $200 to $250M | Over $250 to $500M | Over $500 to $750M | Over $750 to $1,000M | Over $1,000 to $1,500M | Over $1,500 to $2,000M | Over $2,000 to $2,500M | Over $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 | % | ||||||||||||||||||||||
Partner Mid Cap Value | 0.750 | % | 0.750 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | ||||||||||||||||||||||
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 | % | ||||||||||||||||||||||
Balanced Income Plus* | 0.550 | % | 0.550 | % | 0.550 | % | 0.550 | % | 0.500 | % | 0.500 | % | 0.475 | % | 0.475 | % | 0.475 | % | 0.450 | % | 0.425 | % | ||||||||||||||||||||||
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 | % | |||||||||||||||||||||
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Notes to Financial Statements
June 28, 2013
(unaudited)
Portfolio (M - Millions) | $0 to $50M | Over $50 to $200M | Over $200 to $250M | Over $250 to $500M | Over $500 to $750M | Over $750 to $1,000M | Over $1,000 to $1,500M | Over $1,500 to $2,000M | Over $2,000 to $2,500M | Over $2,500 to $5,000M | Over $5,000M | |||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||
| * | As of August 16, 2013, the fee schedule for Thrivent Balanced Income Plus Portfolio (formerly Thrivent Balanced Portfolio) is shown. |
(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.
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Thrivent Series Fund, Inc.
Notes to Financial Statements
June 28, 2013
(unaudited)
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.
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 June 28, 2013, the following voluntary expense reimbursements, as a percentage of net assets, were in effect:
Portfolio | Expense Reimbursement | Expiration Date | ||||||
Aggressive Allocation | 0.01 | % | N/A | |||||
Moderately Aggressive Allocation | 0.02 | % | N/A | |||||
Moderate Allocation | 0.02 | % | N/A | |||||
Moderately Conservative Allocation | 0.03 | % | N/A | |||||
Partner Small Cap Growth | 0.10 | % | N/A | |||||
Partner Mid Cap Value | 0.01 | % | N/A | |||||
Partner Worldwide Allocation | 0.01 | % | N/A | |||||
Partner Growth Stock | 0.10 | % | N/A | |||||
Money Market1 | 0.20 | % | N/A | |||||
| 1 | Thrivent Asset Management has voluntarily agreed to reimburse an additional 0.10% of certain portfolio level expenses of Thrivent Money Market Portfolio in order to maintain a minimum annualized net yield of 0.00%. |
As of June 28, 2013, contractual expense reimbursements to limit expenses to the following percentages were in effect:
Portfolio | Expense Limit | Expiration Date | ||||||
Partner Healthcare | 1.25 | % | 4/30/2014 | |||||
Natural Resources | 1.02 | % | 4/30/2014 | |||||
Partner Emerging Markets Equity | 1.40 | % | 4/30/2014 | |||||
Partner Socially Responsible Stock | 0.98 | % | 4/30/2014 | |||||
Partner All Cap Growth | 1.00 | % | 4/30/2014 | |||||
Partner All Cap Value | 0.98 | % | 4/30/2014 | |||||
Partner All Cap1 | 0.95 | % | 4/30/2014 | |||||
Large Cap Index2 | 0.40 | % | 4/30/2014 | |||||
Mortgage Securities | 0.79 | % | 4/30/2014 | |||||
| 1 | Change from a 0.20% voluntary expense reimbursement to a new contractual expense limit, which became effective May 1, 2013. |
| 2 | New contractual expense limit became effective May 1, 2013. |
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 six months ended June 28, 2013, Limited Maturity Bond Portfolio invested in High Yield Fund. During the six months ended June 28, 2013, no Portfolios invested in Money Market Portfolio. During the six months ended June 28, 2013, all
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Thrivent Series Fund, Inc.
Notes to Financial Statements
June 28, 2013
(unaudited)
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 or Money Market Portfolio.
(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 six months ended June 28, 2013, the Adviser received aggregate fees for accounting and administrative personnel and services of $3,686,558 from the Fund.
Each Director who is not affiliated with the Adviser receives an annual fee from the Fund for services as a Director and is eligible to participate in a deferred compensation plan with respect to these fees. 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.
Those Directors not participating in the above plan received $216,233 in fees from the Fund for the six months ended June 28, 2013. 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. At fiscal year-end, the character and amount of distributions, on a tax basis and components of distributable earnings, are finalized. Therefore, as of June 28, 2013, the tax-basis balance has not yet been finalized.
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 | 1,333,363 | 2017 | ||||||
|
| |||||||
| $ | 1,333,363 | |||||||
|
| |||||||
Small Cap Stock | 28,378,599 | 2017 | ||||||
|
| |||||||
| $ | 28,378,599 | |||||||
|
| |||||||
Mid Cap Stock | 24,266,272 | 2017 | ||||||
|
| |||||||
| $ | 24,266,272 | |||||||
|
| |||||||
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 | 395,188 | 2017 | ||||||
|
| |||||||
| $ | 395,188 | |||||||
|
| |||||||
Partner All Cap | 9,796,220 | 2017 | ||||||
|
| |||||||
| $ | 9,796,220 | |||||||
|
| |||||||
Large Cap Growth | 99,016,775 | 2016 | ||||||
| 185,657,815 | 2017 | |||||||
|
| |||||||
| $ | 284,674,590 | |||||||
|
| |||||||
Partner Growth Stock | 240,199 | 2017 | ||||||
|
| |||||||
| $ | 240,199 | |||||||
|
| |||||||
Large Cap Value | 77,087,007 | 2017 | ||||||
|
| |||||||
| $ | 77,087,007 | |||||||
|
| |||||||
Large Cap Stock | 69,502,264 | 2017 | ||||||
|
| |||||||
| $ | 69,502,264 | |||||||
|
| |||||||
Equity Income Plus | 2,687,553 | 2017 | ||||||
|
| |||||||
| $ | 2,687,553 | |||||||
|
| |||||||
High Yield | 10,993,224 | 2013 | ||||||
| 560,014 | 2014 | |||||||
| 42,742,264 | 2016 | |||||||
| 46,838,004 | 2017 | |||||||
|
| |||||||
| $ | 101,133,506 | |||||||
|
| |||||||
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Thrivent Series Fund, Inc.
Notes to Financial Statements
June 28, 2013
(unaudited)
Portfolio | Capital Loss Carryover | Expiration Year | ||||||
Diversified Income Plus | 2,134,399 | 2016 | ||||||
| 9,650,624 | 2017 | |||||||
|
| |||||||
| $ | 11,785,023 | |||||||
|
| |||||||
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, 2012 and later, are subject to the provisions of the Regulated Investment Company Modernization Act of 2010 (the “Act”). Under the Act, if capital 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 | ||||||||
| $ | 1,285,110 | Short-term | ||||||
| 1,162,626 | Long-term | |||||||
|
| |||||||
| $ | 2,447,736 | |||||||
|
| |||||||
Partner Emerging Markets Equity | ||||||||
| 262,470 | Long-term | |||||||
|
| |||||||
| $ | 262,470 | |||||||
|
| |||||||
Partner Worldwide Allocation | ||||||||
| 4,633,530 | Short-term | |||||||
|
| |||||||
| $ | 4,633,530 | |||||||
|
| |||||||
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 | |||||||
|
| |||||||
The following Portfolios deferred, on a tax basis, the following Post-October 2012 losses:
Portfolio | Post-October Loss | |||
Partner Worldwide Allocation | $ | 6,545,135 | ||
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 year ending December 31, 2013, the losses will be carried forward with no expiration and with the short-term or long-term character of the loss retained.
(5) SECURITY TRANSACTIONS
(A) Purchases and Sales of Investment Securities – For the six months ended June 28, 2013, 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 | $ | 87,299 | $ | 92,284 | ||||
Moderately Aggressive Allocation | 477,179 | 413,047 | ||||||
Moderate Allocation | 969,716 | 684,419 | ||||||
Moderately Conservative Allocation | 658,735 | 498,288 | ||||||
Partner Technology | 8,124 | 7,661 | ||||||
Partner Healthcare | 15,006 | 7,113 | ||||||
Natural Resources | 7,505 | 7,305 | ||||||
Partner Emerging Markets Equity | 10,593 | 1,482 | ||||||
Real Estate Securities | 18,679 | 13,558 | ||||||
Partner Small Cap Growth | 128,241 | 143,931 | ||||||
Partner Small Cap Value | 7,469 | 7,554 | ||||||
Small Cap Stock | 69,194 | 67,700 | ||||||
Small Cap Index | 10,217 | 13,533 | ||||||
Mid Cap Growth | 67,190 | 85,609 | ||||||
Partner Mid Cap Value | 170,251 | 161,782 | ||||||
Mid Cap Stock | 80,728 | 91,673 | ||||||
Mid Cap Index | 7,386 | 5,763 | ||||||
Partner Worldwide Allocation | 575,138 | 608,565 | ||||||
Partner Socially Responsible Stock | 3,390 | 2,394 | ||||||
Partner All Cap Growth | 4,518 | 5,651 | ||||||
Partner All Cap Value | 7,032 | 6,775 | ||||||
Partner All Cap | 41,416 | 43,595 | ||||||
Large Cap Growth | 323,315 | 364,277 | ||||||
Partner Growth Stock | 14,151 | 15,371 | ||||||
Large Cap Value | 183,908 | 183,135 | ||||||
Large Cap Stock | 228,388 | 208,547 | ||||||
Large Cap Index | 4,741 | 11,917 | ||||||
Equity Income Plus | 65,110 | 62,098 | ||||||
Balanced | 8,952 | 24,058 | ||||||
High Yield | 317,353 | 292,691 | ||||||
Diversified Income Plus | 164,875 | 111,269 | ||||||
Income | 448,831 | 427,836 | ||||||
Bond Index | 13,784 | 17,688 | ||||||
Limited Maturity Bond | 249,022 | 242,185 | ||||||
Mortgage Securities | 1,592 | 596 | ||||||
Purchases and Sales of U.S. Government Securities were:
| In thousands | ||||||||
Portfolio | Purchases | Sales | ||||||
Aggressive Allocation | $ | 22,688 | $ | 23,536 | ||||
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Notes to Financial Statements
June 28, 2013
(unaudited)
| In thousands | ||||||||
Portfolio | Purchases | Sales | ||||||
Moderately Aggressive Allocation | 614,965 | 613,333 | ||||||
Moderate Allocation | 2,297,782 | 2,313,284 | ||||||
Moderately Conservative Allocation | 2,675,342 | 2,583,420 | ||||||
Partner Worldwide Allocation | 8,033 | 4,388 | ||||||
Balanced | 153,632 | 145,292 | ||||||
Diversified Income Plus | 106,211 | 81,435 | ||||||
Income | 568,215 | 651,743 | ||||||
Bond Index | 356,351 | 358,518 | ||||||
Limited Maturity Bond | 541,927 | 621,835 | ||||||
Mortgage Securities | 180,699 | 180,197 | ||||||
(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 June 28, 2013, the following Portfolios held restricted securities:
Portfolio | Number of Securities | Percent of Portfolio’s Net Assets | ||||||
Moderately Aggressive Allocation | 1 | 0.02 | % | |||||
Moderate Allocation | 1 | 0.00 | % | |||||
Moderately Conservative Allocation | 1 | 0.05 | % | |||||
Partner Worldwide Allocation | 3 | 0.13 | % | |||||
Partner Growth Stock | 10 | 0.29 | % | |||||
Balanced | 2 | 0.52 | % | |||||
High Yield | 7 | 2.59 | % | |||||
Income | 1 | 0.22 | % | |||||
Bond Index | 2 | 0.88 | % | |||||
Limited Maturity Bond | 5 | 1.25 | % | |||||
Mortgage Securities | 1 | 1.12 | % | |||||
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 six months ended June 28, 2013, were as follows:
| Number of Contracts | Premium Amount | |||||||
Moderately Aggressive Allocation | ||||||||
Balance at December 31, 2012 | — | $ | — | |||||
Opened | 17 | 47,287 | ||||||
Closed | (9 | ) | (24,643 | ) | ||||
Expired | (8 | ) | (22,645 | ) | ||||
Exercised | — | — | ||||||
|
|
|
| |||||
Balance at June 28, 2013 | — | $ | — | |||||
|
|
|
| |||||
Moderate Allocation | ||||||||
Balance at December 31, 2012 | — | $ | — | |||||
Opened | 79 | 220,072 | ||||||
Closed | (40 | ) | (114,686 | ) | ||||
Expired | (39 | ) | (105,387 | ) | ||||
Exercised | — | — | ||||||
|
|
|
| |||||
Balance at June 28, 2013 | — | $ | — | |||||
|
|
|
| |||||
Moderately Conservative Allocation | ||||||||
Balance at December 31, 2012 | — | $ | — | |||||
Opened | 93 | 258,260 | ||||||
Closed | (47 | ) | (134,586 | ) | ||||
Expired | (46 | ) | (123,674 | ) | ||||
Exercised | — | — | ||||||
|
|
|
| |||||
Balance at June 28, 2013 | — | $ | — | |||||
|
|
|
| |||||
Diversified Income Plus | ||||||||
Balance at December 31, 2012 | — | $ | — | |||||
Opened | 4 | 11,648 | ||||||
Closed | (2 | ) | (6,070 | ) | ||||
Expired | (2 | ) | (5,578 | ) | ||||
Exercised | — | — | ||||||
|
|
|
| |||||
Balance at June 28, 2013 | — | $ | — | |||||
|
|
|
| |||||
Mortgage Securities | ||||||||
Balance at December 31, 2012 | — | $ | — | |||||
Opened | 7 | 19,414 | ||||||
Closed | (4 | ) | (10,117 | ) | ||||
Expired | (3 | ) | (9,297 | ) | ||||
Exercised | — | — | ||||||
|
|
|
| |||||
Balance at June 28, 2013 | — | $ | — | |||||
|
|
|
| |||||
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Thrivent Series Fund, Inc.
Notes to Financial Statements
June 28, 2013
(unaudited)
(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.
(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 June 28, 2013, 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 | ||||||
Portfolio | Shares Authorized | Par Value | ||||||
Mortgage Securities | 50,000,000 | 0.01 | ||||||
Money Market | 1,200,000,000 | 0.01 | ||||||
(8) SUBSEQUENT EVENTS
Onyx Pharmaceuticals, Inc. closed at a price of $86.82 USD on June 28, 2013. Due to after-market events related to a potential acquisition, the share price opened on July 1, 2013 at 53% higher than the June 28, 2013 close. The change in market value is reflected in the net asset value of the Portfolios that held shares of this security on July 1, 2013. The Portfolios that held shares of Onyx Pharmaceuticals, Inc. on June 28, 2013 are Mid Cap Growth, Partner All Cap Growth, Partner Growth Stock, Moderate Allocation, Moderately Aggressive Allocation, Aggressive Allocation, and Partner Healthcare.
On August 6, 2013, the Thrivent Asset Allocation Portfolios, as the shareholders of underlying Portfolios (the “underlying portfolios”), redeemed their shares of Equity Income Plus Portfolio in kind. Equity Income Plus Portfolio distributed portfolio securities rather than cash as payment for the redemption of these fund shares. Due to the in-kind redemption, the assets of Equity Income Plus decreased approximately 63%. The in-kind transactions were conducted at market value. For financial reporting purposes, the underlying portfolios recognize gains on these transaction 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 gain of $9.2 million related to this transaction is included in the Statement of Operations of Equity Income Plus on June 28, 2013 as unrealized gains/(losses) on investments. Effective August 16, 2013, a voluntary expense cap of 80 bps was implemented for the Equity Income Plus Portfolio.
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.
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| 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 | |||||||||||||||||||
AGGRESSIVE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Period Ended 6/28/2013 (unaudited) | $ | 12.15 | $ | 0.06 | $ | 1.01 | $ | 1.07 | $ | (0.17 | ) | $ | (0.18 | ) | ||||||||||
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 | ||||||||||||||||||||||||
Period Ended 6/28/2013 (unaudited) | 12.31 | 0.08 | 0.80 | 0.88 | (0.20 | ) | (0.30 | ) | ||||||||||||||||
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 | ||||||||||||||||||||||||
Period Ended 6/28/2013 (unaudited) | 12.28 | 0.08 | 0.51 | 0.59 | (0.20 | ) | (0.27 | ) | ||||||||||||||||
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 | ||||||||||||||||||||||||
Period Ended 6/28/2013 (unaudited) | 12.07 | 0.09 | 0.19 | 0.28 | (0.19 | ) | (0.24 | ) | ||||||||||||||||
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 | ||||||||||||||||||||||||
Period Ended 6/28/2013 (unaudited) | 7.51 | — | 0.26 | 0.26 | — | — | ||||||||||||||||||
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 | ||||||||||||||||||||||||
Period Ended 6/28/2013 (unaudited) | 13.39 | 0.04 | 1.79 | 1.83 | (0.05 | ) | (0.58 | ) | ||||||||||||||||
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.
312
Table of Contents
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 Distributions | 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 | ||||||||||||||||||||||||||
| $(0.35) | $ | 12.87 | 8.79 | % | $ | 658.1 | 0.44 | % | 0.89 | % | 0.46 | % | 0.87 | % | 18 | % | ||||||||||||||||||
| (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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| (0.50) | 12.69 | 7.11 | % | 3,446.5 | 0.31 | % | 1.53 | % | 0.35 | % | 1.49 | % | 35 | % | ||||||||||||||||||||
| (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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| (0.47) | 12.40 | 4.73 | % | 6,068.0 | 0.28 | % | 1.72 | % | 0.32 | % | 1.68 | % | 62 | % | ||||||||||||||||||||
| (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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| (0.43) | 11.92 | 2.28 | % | 3,145.1 | 0.27 | % | 1.78 | % | 0.34 | % | 1.72 | % | 120 | % | ||||||||||||||||||||
| (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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| — | 7.77 | 3.55 | % | 37.8 | 1.11 | % | (0.05 | )% | 1.11 | % | (0.05 | )% | 21 | % | ||||||||||||||||||||
| — | 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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| (0.63) | 14.59 | 13.56 | % | 37.2 | 1.25 | % | 0.76 | % | 1.39 | % | 0.61 | % | 24 | % | ||||||||||||||||||||
| (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.
313
Table of Contents
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 | Return of Capital | ||||||||||||||||||||||
NATURAL RESOURCES PORTFOLIO | ||||||||||||||||||||||||||||
Period Ended 6/28/2013 (unaudited) | $ | 6.91 | $ | 0.02 | $ | (0.03 | ) | $ | (0.01 | ) | $ | (0.05 | ) | $ | — | $ | — | |||||||||||
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 | ||||||||||||||||||||||||||||
Period Ended 6/28/2013 (unaudited) | 13.61 | 0.07 | (1.27 | ) | (1.20 | ) | (0.13 | ) | — | — | ||||||||||||||||||
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 | ||||||||||||||||||||||||||||
Period Ended 6/28/2013 (unaudited) | 17.85 | 0.18 | 0.85 | 1.03 | (0.27 | ) | — | — | ||||||||||||||||||||
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 | ||||||||||||||||||||||||||||
Period Ended 6/28/2013 (unaudited) | 13.87 | (0.02 | ) | 2.06 | 2.04 | — | (0.35 | ) | — | |||||||||||||||||||
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 | ||||||||||||||||||||||||||||
Period Ended 6/28/2013 (unaudited) | 21.17 | 0.06 | 3.06 | 3.12 | (0.47 | ) | (0.12 | ) | — | |||||||||||||||||||
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 | ||||||||||||||||||||||||||||
Period Ended 6/28/2013 (unaudited) | 13.12 | 0.02 | 1.90 | 1.92 | (0.06 | ) | — | — | ||||||||||||||||||||
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.
314
Table of Contents
Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Ratios to Average Net Assets** | Ratio to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly** | |||||||||||||||||||||||||||||||||
Total Distributions | 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 | ||||||||||||||||||||||||||
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| $ (0.05) | $ | 6.85 | (0.20 | )% | $ | 32.0 | 1.02 | % | 0.69 | % | 1.15 | % | 0.57 | % | 23 | % | ||||||||||||||||||
| (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) | 12.28 | (8.75 | )% | 57.7 | 1.40 | % | 1.32 | % | 1.55 | % | 1.17 | % | 3 | % | ||||||||||||||||||||
| (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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| (0.27) | 18.61 | 5.76 | % | 132.6 | 0.93 | % | 2.05 | % | 0.93 | % | 2.05 | % | 10 | % | ||||||||||||||||||||
| (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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| (0.35) | 15.56 | 14.56 | % | 278.6 | 0.98 | % | (0.32 | )% | 1.08 | % | (0.42 | )% | 49 | % | ||||||||||||||||||||
| — | 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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| (0.59) | 23.70 | 14.63 | % | 323.4 | 0.87 | % | 0.50 | % | 0.87 | % | 0.50 | % | 2 | % | ||||||||||||||||||||
| (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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| (0.06) | 14.98 | 14.59 | % | 301.9 | 0.76 | % | 0.32 | % | 0.76 | % | 0.32 | % | 27 | % | ||||||||||||||||||||
| — | 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.
315
Table of Contents
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 | ||||||||||||||||||||||||
Period Ended 6/28/2013 (unaudited) | $ | 13.42 | $ | 0.07 | $ | 2.10 | $ | 2.17 | $ | (0.20 | ) | $ | (0.67 | ) | ||||||||||
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 | ||||||||||||||||||||||||
Period Ended 6/28/2013 (unaudited) | 19.59 | 0.03 | 1.47 | 1.50 | (0.07 | ) | (0.01 | ) | ||||||||||||||||
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 | ||||||||||||||||||||||||
Period Ended 6/28/2013 (unaudited) | 14.67 | 0.07 | 2.21 | 2.28 | (0.17 | ) | (0.74 | ) | ||||||||||||||||
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 | ||||||||||||||||||||||||
Period Ended 6/28/2013 (unaudited) | 13.09 | 0.03 | 1.73 | 1.76 | (0.06 | ) | — | |||||||||||||||||
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 | ||||||||||||||||||||||||
Period Ended 6/28/2013 (unaudited) | 12.36 | 0.06 | 1.73 | 1.79 | (0.13 | ) | (0.44 | ) | ||||||||||||||||
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 | ||||||||||||||||||||||||
Period Ended 6/28/2013 (unaudited) | 8.62 | 0.13 | (0.09 | ) | 0.04 | — | — | |||||||||||||||||
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.
316
Table of Contents
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 | ||||||||||||||||||||||||||
| $ (0.87) | $ | 14.72 | 16.04 | % | $ | 218.9 | 0.44 | % | 0.93 | % | 0.44 | % | 0.93 | % | 5 | % | ||||||||||||||||||
| (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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| (0.08) | 21.01 | 7.69 | % | 367.5 | 0.46 | % | 0.25 | % | 0.46 | % | 0.25 | % | 19 | % | ||||||||||||||||||||
| (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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| (0.91) | 16.04 | 15.37 | % | 304.8 | 0.79 | % | 0.92 | % | 0.81 | % | 0.89 | % | 57 | % | ||||||||||||||||||||
| (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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| (0.06) | 14.79 | 13.47 | % | 569.4 | 0.72 | % | 0.43 | % | 0.72 | % | 0.43 | % | 15 | % | ||||||||||||||||||||
| (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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| (0.57) | 13.58 | 14.39 | % | 101.4 | 0.51 | % | 1.09 | % | 0.51 | % | 1.09 | % | 6 | % | ||||||||||||||||||||
| (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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| — | 8.66 | 0.49 | % | 1,480.0 | 0.91 | % | 2.96 | % | 0.92 | % | 2.95 | % | 39 | % | ||||||||||||||||||||
| (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.
317
Table of Contents
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 |
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Period Ended 6/28/2013 (unaudited) | $ | 11.82 | $ | 0.01 | $ | 1.16 | $ | 1.17 | $ | (0.03 | ) | $ | (0.01 | ) | ||||||||||
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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Period Ended 6/28/2013 (unaudited) | 10.39 | — | 0.60 | 0.60 | — | — | ||||||||||||||||||
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 |
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Period Ended 6/28/2013 (unaudited) | 9.01 | 0.06 | 0.86 | 0.92 | (0.09 | ) | — | |||||||||||||||||
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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Period Ended 6/28/2013 (unaudited) | 9.64 | 0.04 | 1.11 | 1.15 | (0.08 | ) | — | |||||||||||||||||
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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Period Ended 6/28/2013 (unaudited) | 18.81 | 0.08 | 1.68 | 1.76 | (0.01 | ) | — | |||||||||||||||||
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 |
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Period Ended 6/28/2013 (unaudited) | 13.54 | (0.01 | ) | 1.48 | 1.47 | — | — | |||||||||||||||||
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.
318
Table of Contents
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 Distributions | 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 | ||||||||||||||||||||||||||
| $(0.04) | $12.95 | 9.86 | % | $11.3 | 0.98 | % | 0.21 | % | 2.02 | % | (0.84) | % | 24 | % | ||||||||||||||||||||
| — | 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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| — | 10.99 | 5.79 | % | 12.8 | 1.00 | % | 0.02 | % | 1.92 | % | (0.90) | % | 35 | % | ||||||||||||||||||||
| — | 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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| (0.09) | 9.84 | 10.16 | % | 6.8 | 0.98 | % | 1.29 | % | 2.76 | % | (0.49) | % | 107 | % | ||||||||||||||||||||
| (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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| (0.08) | 10.71 | 11.98 | % | 55.4 | 1.02 | % | 0.73 | % | 1.25 | % | 0.50 | % | 77 | % | ||||||||||||||||||||
| (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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| (0.01) | 20.56 | 9.40 | % | 891.6 | 0.45 | % | 0.79 | % | 0.45 | % | 0.79 | % | �� | 37 | % | |||||||||||||||||||
| (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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| — | 15.01 | 10.89 | % | 62.4 | 0.95 | % | (0.18) | % | 1.05 | % | (0.28) | % | 23 | % | ||||||||||||||||||||
| — | 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.
319
Table of Contents
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 |
| |||||||||||||||||||||||
Period Ended 6/28/2013 (unaudited) | $ | 12.00 | $ | 0.10 | $ | 1.80 | $ | 1.90 | $ | (0.21 | ) | $ | — | |||||||||||
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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Period Ended 6/28/2013 (unaudited) | 9.22 | 0.05 | 0.96 | 1.01 | (0.12 | ) | — | |||||||||||||||||
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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Period Ended 6/28/2013 (unaudited) | 20.11 | 0.20 | 2.54 | 2.74 | (0.39 | ) | (0.23 | ) | ||||||||||||||||
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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Period Ended 6/28/2013 (unaudited) | 9.82 | 0.10 | 0.95 | 1.05 | (0.23 | ) | — | |||||||||||||||||
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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Period Ended 6/28/2013 (unaudited) | 15.42 | 0.14 | 1.12 | 1.26 | (0.31 | ) | (0.55 | ) | ||||||||||||||||
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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Period Ended 6/28/2013 (unaudited) | 5.05 | 0.16 | (0.11 | ) | 0.05 | (0.16 | ) | — | ||||||||||||||||
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.
320
Table of Contents
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 Distributions | 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 | ||||||||||||||||||||||||||
| $(0.21) | $13.69 | 15.79 | % | $983.7 | 0.64 | % | 1.59 | % | 0.64 | % | 1.59 | % | 20 | % | ||||||||||||||||||||
| (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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| (0.12) | 10.11 | 10.91 | % | 680.1 | 0.68 | % | 1.03 | % | 0.68 | % | 1.03 | % | 35 | % | ||||||||||||||||||||
| (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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| (0.62) | 22.23 | 13.57 | % | 337.4 | 0.41 | % | 1.75 | % | 0.41 | % | 1.75 | % | 1 | % | ||||||||||||||||||||
| (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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| (0.23) | 10.64 | 10.63 | % | 119.6 | 0.80 | % | 2.32 | % | 0.80 | % | 2.32 | % | 57 | % | ||||||||||||||||||||
| (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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| (0.86) | 15.82 | 8.02 | % | 250.3 | 0.45 | % | 1.72 | % | 0.45 | % | 1.72 | % | 65 | % | ||||||||||||||||||||
| (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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| (0.16) | 4.94 | 0.97 | % | 901.1 | 0.45 | % | 6.32 | % | 0.45 | % | 6.32 | % | 33 | % | ||||||||||||||||||||
| (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.
321
Table of Contents
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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Period Ended 6/28/2013 (unaudited) | $ | 7.23 | $ | 0.07 | $ | 0.32 | $ | 0.39 | $ | (0.19 | ) | $ | — | |||||||||||
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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Period Ended 6/28/2013 (unaudited) | 10.77 | 0.19 | (0.45 | ) | (0.26 | ) | (0.19 | ) | (0.02 | ) | ||||||||||||||
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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Period Ended 6/28/2013 (unaudited) | 11.39 | 0.10 | (0.40 | ) | (0.30 | ) | (0.10 | ) | (0.34 | ) | ||||||||||||||
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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Period Ended 6/28/2013 (unaudited) | 9.92 | 0.07 | (0.11 | ) | (0.04 | ) | (0.07 | ) | — | |||||||||||||||
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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Period Ended 6/28/2013 (unaudited) | 10.64 | 0.09 | (0.33 | ) | (0.24 | ) | (0.10 | ) | (0.08 | ) | ||||||||||||||
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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Period Ended 6/28/2013 (unaudited) | 1.00 | — | — | — | — | — | ||||||||||||||||||
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.
322
Table of Contents
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 Distributions | 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) | $7.43 | 5.34 | % | $307.4 | 0.49 | % | 3.76 | % | 0.49 | % | 3.76 | % | 76 | % | ||||||||||||||||||||
| (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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| (0.21) | 10.30 | (2.44) | % | 1,435.1 | 0.44 | % | 3.67 | % | 0.44 | % | 3.67 | % | 67 | % | ||||||||||||||||||||
| (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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| (0.44) | 10.65 | (2.63) | % | 170.5 | 0.46 | % | 1.77 | % | 0.46 | % | 1.77 | % | 192 | % | ||||||||||||||||||||
| (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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| (0.07) | 9.81 | (0.43) | % | 1,101.1 | 0.44 | % | 1.50 | % | 0.44 | % | 1.49 | % | 67 | % | ||||||||||||||||||||
| (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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| (0.18) | 10.22 | (2.34) | % | 36.5 | 0.79 | % | 1.83 | % | 0.89 | % | 1.73 | % | 471 | % | ||||||||||||||||||||
| (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 | % | 138.2 | 0.23 | % | 0.00 | % | 0.53 | % | (0.30) | % | N/A | |||||||||||||||||||||
| — | 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.
323
Table of Contents
(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.
Results of Special Contractholder Meetings
Special meetings of the contractholders of Thrivent Partner All Cap Growth Portfolio, Thrivent Partner All Cap Value Portfolio and Thrivent Partner Socially Responsible Stock Portfolio convened on August 2, 2013 to approve the mergers of each Portfolio into Thrivent Large Cap Stock Portfolio.
The results were as such:
Name | For | Against | Abstain | |||||||||
Thrivent Partner All Cap Growth Portfolio | 1,065,771.791 | 54,013.529 | 54,450.633 | |||||||||
Thrivent Partner All Cap Value Portfolio | 630,716.312 | 11,126.997 | 44,927.179 | |||||||||
Thrivent Partner Socially Responsible Stock Portfolio | 594,227.483 | 229,913.434 | 43,270.861 | |||||||||
The mergers occurred at the close of business on August 16, 2013.
A special meeting of the contractholders of Thrivent Balanced Portfolio convened on August 2, 2013 to approve an amendment to the investment advisory agreement between Thrivent Financial for Lutherans and the Fund to increase the investment advisory fee paid by the Portfolio to Thrivent Financial.
The results were as such:
Name | For | Against | Abstain | |||||||||
Thrivent Balanced Portfolio | 11,747,682.024 | 2,608,732.252 | 666,176.957 | |||||||||
The increase to the investment advisory fee was effective on August 16, 2013.
324
Table of Contents
Supplement to Prospectus dated April 30, 2013
With respect to
Thrivent Partner Technology Portfolio
The summary section of the prospectus of Thrivent Partner Technology Portfolio is amended. The following replaces the description under “Portfolio Manager(s)”:
GSAM uses its Growth Investment Team to manage the Portfolio. Steven M. Barry and Jeff Rabinowitz, CFA are portfolio managers to the Portfolio. Mr. Barry is a Managing Director, Chief Investment Officer, Growth Equity, Chief Investment Officer, Fundamental Equity and Senior Portfolio Manager at GSAM; he has been with GSAM since 1999 and has been a portfolio manager of this Portfolio since 2009. Mr. Rabinowitz is a Managing Director and Portfolio Manager. He has been with GSAM since 1999 and has been portfolio manager of this Portfolio since 2011.
The “Portfolio Management” section of the prospectus is also amended. The description under Thrivent Partner Technology Portfolio is deleted and replaced with the following.
GSAM uses its Growth Investment Team to manage the Portfolio. Steven M. Barry and Jeff Rabinowitz, CFA are portfolio managers to the Portfolio. Mr. Barry is a Managing Director, Chief Investment Officer, Growth Equity, Chief Investment Officer, Fundamental Equity and Senior Portfolio Manager at GSAM; he has been with GSAM since 1999 and has been a portfolio manager of this Portfolio since 2009. Mr. Rabinowitz is a Managing Director and Portfolio Manager. He has been with GSAM since 1999 and has been portfolio manager of this Portfolio since 2011.
The date of this Supplement is May 3, 2013
Please include this Supplement with your Prospectus
325
Table of Contents
Thrivent Series Fund, Inc.
Supplement to Prospectus dated April 30, 2013
With respect to
Thrivent Balanced Portfolio
At a special meeting of contractholders of Thrivent Balanced Portfolio (the “Portfolio”) held on August 2, 2013, contractholders approved an increase in the Portfolio’s investment advisory fee. As explained in the proxy statement dated June 11, 2013 that was provided to the Portfolio’s contractholders, the following changes will be made effective August 16, 2013 in the sections of the prospectus describing the Portfolio.
| 1. | The Portfolio will change its name to Thrivent Balanced Income Plus Portfolio. |
| 2. | The table under “Fees and Expenses” in the “Summary Section” will be deleted and replaced with the following: |
Shareholder Fees (fees paid directly from your investment) | ||||
Maximum Sales Charge (Load) | N/A | |||
Maximum Deferred Sales Charge (Load) | N/A | |||
Annual Portfolio Operating Expenses As a Percentage of Net Assets (expenses that you pay each year as a percentage of the value of your investment) | ||||
Management Fees | 0.55 | % | ||
Other Expenses | 0.10 | % | ||
Total Annual Operating Expenses | 0.65 | % |
| 3. | The table in the example under “Fees and Expenses” in the “Summary Section” will be deleted and replaced with the following: |
Total operating expenses assuming redemption at the end of the period | ||||
One Year | $ | 66 | ||
Three Years | $ | 208 | ||
Five Years | $ | 362 | ||
Ten Years | $ | 810 |
| 4. | The disclosure under “Principal Strategies” in the ‘Summary Section” and in “More about Investment Strategies and Risks” will be deleted and replaced with the following: |
The Portfolio invests in a combination of common stocks, bonds, and money market instruments. The Adviser focuses on U.S. companies and establishes the Portfolio’s asset allocation mix by forecasting the expected return of each asset class over short-term and long-term time horizons, as well as expected risks of each asset class. The Adviser may invest in foreign securities, including those of issuers in emerging markets. The Adviser tries to maintain higher weighting in those asset classes the Adviser expects to provide the highest returns over a set time horizon. Under normal circumstances, the Portfolio invests in the following three asset classes within the ranges given:
Broad Asset Category | Target Allocation | Allocation Range | ||||||
Equity Securities | 50 | % | 25-75 | % | ||||
Debt Securities | 50 | % | 25-75 | % | ||||
Money Market Instruments | 0 | % | 0-40 | % | ||||
The equity securities in which the Portfolio invests may include common stock, preferred securities, securities convertible into common stock, or securities or other instruments the price of which is linked to the value of common stock. The Adviser focuses on common stocks with varying market capitalizations similar to those companies included in the Russell 3000® Index and the S&P Composite 1500 Index. The debt securities in which the Portfolio invests may be of any maturity or credit quality, including high yield, high risk bonds, notes, debentures and other debt obligations commonly known as “junk bonds.” The Portfolio may also invest in leveraged loans, which are senior secured loans that are made by banks or other lending institutions to companies that are rated below investment grade. In addition, the Portfolio may invest in mortgage-backed securities (including commercially backed ones), asset-backed securities, and sovereign and emerging market debt (both U.S. dollar and non-U.S. dollar denominated).
326
Table of Contents
Thrivent Series Fund, Inc.
Supplement to Prospectus dated April 30, 2013
The Adviser uses fundamental, quantitative, and technical investment research techniques to determine what securities to buy and sell.
| 5. | The following risks will be added under “Principal Risks” in the “Summary Section” and in “More about Investment Strategies and Risks”: |
Foreign Securities Risk. To the extent the Portfolio is exposed to foreign securities, it is subject to various risks associated with such securities. Foreign securities are generally more volatile than their domestic counterparts, in part because of higher political and economic risks, lack of reliable information and fluctuations in currency exchange rates. Foreign securities also may be more difficult to resell than comparable U.S. securities because the markets for foreign securities are often less liquid. Even when a foreign security increases in price in its local currency, the appreciation may be diluted by adverse changes in exchange rates when the security’s value is converted to U.S. dollars. Foreign withholding taxes also may apply and errors and delays may occur in the settlement process for foreign securities.
Emerging Markets Risk. The economic and political structures of developing nations, in most cases, do not compare favorably with the U.S. or other developed countries in terms of wealth and stability, and their financial markets often lack liquidity. The Portfolio’s performance will likely be negatively affected by portfolio exposure to nations in the midst of, among other things, hyperinflation, currency devaluation, trade disagreements, sudden political upheaval or interventionist government policies. Significant buying or selling actions by a few major investors may also heighten the volatility of emerging markets. These factors make investing in emerging market countries significantly riskier than in other countries and events in any one country could cause the Portfolio’s share price to decline.
High Yield Risk. High yield securities to which the Portfolio is exposed are considered predominantly speculative with respect to the issuer’s continuing ability to make principal and interest payments. If the issuer of the security is in default with respect to interest or principal payments, the value of the Portfolio may be negatively affected.
Leveraged Loan Risk. Leveraged loans are subject to the risks typically associated with debt securities. In addition, leveraged loans, which typically hold a senior position in the capital structure of a borrower, are subject to the risk that a court could subordinate such loans to presently existing or future indebtedness or take other action detrimental to the holders of leveraged loans. Leveraged loans are also subject to the risk that the value of the collateral, if any, securing a loan may decline, be insufficient to meet the obligations of the borrower, or be difficult to liquidate. Some leveraged loans are not as easily purchased or sold as publicly-traded securities and others are illiquid, which may make it more difficult for the Portfolio to value them or dispose of them at an acceptable price. Below investment-grade leveraged loans are typically more credit sensitive.
Liquidity Risk. Liquidity is the ability to sell a security relatively quickly for a price that most closely reflects the actual value of the security. High-yield bonds have a less liquid resale market. As a result, Thrivent Financial may have difficulty selling or disposing of securities quickly in certain markets or may only be able to sell the holdings at prices substantially less than what the Portfolio believes they are worth.
Preferred Securities Risk. There are certain additional risks associated with investing in preferred securities, including, but not limited to, preferred securities may include provisions that permit the issuer, at its discretion, to defer or omit distributions for a stated period without any adverse consequences to the issuer; preferred securities are generally subordinated to bonds and other debt instruments in a company’s capital structure in terms of having priority to corporate income and liquidation payments, and therefore will be subject to greater credit risk than more senior debt instruments; preferred securities may be substantially less liquid than many other securities, such as common stocks or U.S. Government securities; generally, traditional preferred securities offer no voting rights with respect to the issuing company unless preferred dividends have been in arrears for a specified number of periods, at which time the preferred security holders may elect a number of directors to the issuer’s board; and in certain varying circumstances, an issuer of preferred securities may redeem the securities prior to a specified date.
Sovereign Debt Risk. Sovereign debt securities are issued or guaranteed by foreign governmental entities. These investments are subject to the risk that a governmental entity may delay or refuse to pay interest or repay principal on its sovereign debt, due, for example, to cash flow problems, insufficient foreign currency reserves, political considerations, the relative size of the governmental entity’s debt position in relation to the economy or the failure to put in place economic reforms required by the International Monetary Fund or other multilateral agencies. If a governmental entity defaults, it may ask for more time in which to pay or for further loans. There is no legal process for collecting sovereign debts that a government does not pay nor are there bankruptcy proceedings through which all or part of the sovereign debt that a governmental entity has not repaid may be collected.
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Supplement to Prospectus dated April 30, 2013
| 6. | “Large Cap Risk” will be deleted under “Principal Risks” in the “Summary Section” and in “More about Investment Strategies and Risks.” |
| 7. | As a result of the aforementioned changes to the Portfolio’s principal strategies, the performance information presented under “Volatility and Performance” in the ‘Summary Section” for periods prior to August 16, 2013 reflects the performance of an investment portfolio that was materially different from the investment portfolio of the Portfolio after that date. |
| 8. | The references in “Portfolio Manager(s)” in the “Summary Section” and in “Portfolio Management” to Kevin R. Brimmer as a portfolio manager of the Portfolio will be deleted. |
| 9. | “Portfolio Manager(s)” in the “Summary Section” and “Portfolio Management” will be updated to reflect the addition of Darren M. Bagwell, CFA and Stephen D. Lowe, CFA as portfolio managers of the Portfolio. |
Mr. Bagwell has served as portfolio managers of various Thrivent mutual funds since 2005. Mr. Bagwell has been with Thrivent Financial since 2002 in an investment management capacity and currently is the firm’s Director of Equity Research.
Mr. Lowe has served as the portfolio manager of a Thrivent mutual fund since 2009. He has also been a senior portfolio manager of the high yield portion of Thrivent Financial’s general account since 2005. Prior to this position, Mr. Lowe was, since 2004, a high yield research manager and, since 2002, an associate portfolio manager of the high yield portion of the general account. He has been with Thrivent Financial since 1997.
The date of this Supplement is August 6, 2013.
Please include this Supplement with your Prospectus.
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Thrivent Series Fund, Inc.
Supplement to Prospectus dated April 30, 2013
With respect to
Thrivent Equity Income Plus Portfolio
In connection with the upcoming changes to Thrivent Equity Income Plus Portfolio (the “Portfolio”) explained in the supplement dated June 6, 2013, effective August 16, 2013 the following risks will be added under “Principal Risks” in the “Summary Section” and in “More about Investment Strategies and Risks” for the Portfolio:
Interest Rate Risk. Interest rate risk is the risk that bond prices decline in value when interest rates rise for bonds that pay a fixed rate of interest. Bonds with longer durations or maturities tend to be more sensitive to changes in interest rates than bonds with shorter durations or maturities. In addition, both mortgage-backed and asset-backed securities are sensitive to changes in the repayment patterns of the underlying security. If the principal payment on the underlying asset is repaid faster or slower than the holder of the asset-backed or mortgage-backed security anticipates, the price of the security may fall, particularly if the holder must reinvest the repaid principal at lower rates or must continue to hold the security when interest rates rise. This effect may cause the value of the Portfolio to decline and reduce the overall return of the Portfolio.
Credit Risk. Credit risk is the risk that an issuer of a bond to which the Portfolio’s portfolio is exposed may no longer be able to pay its debt. As a result of such an event, the bond may decline in price and affect the value of the Portfolio.
Mortgage-Related and Other Asset-Backed Securities Risk. The value of mortgage-related and asset-backed securities will be influenced by the factors affecting the housing market and the assets underlying such securities. As a result, during periods of declining asset value, difficult or frozen credit markets, swings in interest rates, or deteriorating economic conditions, mortgage-related and asset-backed securities may decline in value, face valuation difficulties, become more volatile and/or become illiquid.
The date of this Supplement is August 6, 2013.
Please include this Supplement with your Prospectus.
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Thrivent Series Fund, Inc.
Supplement to Prospectus dated April 30, 2013
With respect to
Thrivent Partner Socially Responsible Stock Portfolio
Thrivent Partner All Cap Growth Portfolio
Thrivent Partner All Cap Value Portfolio
Effective August 16, 2013, Thrivent Partner Socially Responsible Stock Portfolio, Thrivent Partner All Cap Growth Portfolio, and Thrivent Partner All Cap Value Portfolio (collectively, the “Target Portfolios”) will each merge into Thrivent Large Cap Stock Portfolio. A special meeting of contractholders of each Target Portfolio was held on August 2, 2013, and the applicable contractholders of record approved each merger. Therefore, the prospectuses of the Target Portfolios will be eliminated effective August 16, 2013.
The date of this Supplement is August 6, 2013.
Please include this Supplement with your Prospectus.
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THRIVENT VARIABLE LIFE ACCOUNT I
THRIVENT VARIABLE INSURANCE ACCOUNT A
TLIC VARIABLE INSURANCE ACCOUNT A
THRIVENT VARIABLE ANNUITY ACCOUNT I
THRIVENT VARIABLE ANNUITY ACCOUNT II
THRIVENT VARIABLE ANNUITY ACCOUNT A
THRIVENT VARIABLE ANNUITY ACCOUNT B
TLIC VARIABLE ANNUITY ACCOUNT A
Supplement to Prospectuses dated April 30, 2013
A Special Meeting of Contract Owners of the Subaccounts of the Variable Accounts that invest in the Thrivent Partner All Cap
Growth Portfolio, Thrivent Partner All Cap Value Portfolio and Thrivent Partner Socially Responsible Stock Portfolio, each of
which is a separate series of Thrivent Series Fund, Inc. (the “Fund”), was held on August 2, 2013. The Contract Owners of each
Subaccount approved merging the Portfolios listed below into the Thrivent Large Cap Stock Portfolio effective August 16, 2013.
Target Portfolio | Acquiring Portfolio | |||||
Thrivent Partner Socially Responsible Stock Portfolio | g | Thrivent Large Cap Stock Portfolio | ||||
Thrivent Partner All Cap Growth Portfolio | g | Thrivent Large Cap Stock Portfolio | ||||
Thrivent Partner All Cap Value Portfolio | g | Thrivent Large Cap Stock Portfolio | ||||
As described in the prospectuses for Contracts offered by the Variable Accounts listed above, we allocate premiums based on
your designation to one or more Subaccounts of the Variable Account associated with your Contract. The assets of each
Subaccount are invested in a corresponding Portfolio of the Fund. At the close of business on August 16, 2013, the portion of
any purchase payment or other transaction allocated to a subaccount that invests in the Thrivent Partner Socially Responsible
Stock Portfolio, Thrivent Partner All Cap Growth Portfolio, and/or Thrivent All Cap Value Portfolio will be automatically
reallocated to the Thrivent Large Cap Stock Portfolio. As a result of these mergers, the shares of each of the above Portfolios that
fund benefits under your variable contract or retirement plan automatically will be exchanged for an equal dollar value of shares
of the Thrivent Large Cap Stock Portfolio.
Effective August 16, 2013:
| • | The name of Thrivent Balanced Portfolio of the Fund has changed to become “Thrivent Balanced Income Plus Portfolio.” |
| • | The name of Thrivent Mortgage Securities Portfolio of the Fund has changed to become “Thrivent Opportunity Income |
| • | The name of Thrivent Equity Income Plus Portfolio of the Fund has changed to become “Thrivent Growth and Income |
The date of this Supplement is August 6, 2013
Thrivent Financial for Lutherans
Service Center
4321 North Ballard Road
Appleton, WI 54919-0001
Please include this Supplement with your Prospectus
Form #28096
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Thrivent Series Fund, Inc.
Supplement to Prospectus dated April 30, 2013
With respect to
Thrivent Equity Income Plus Portfolio
IMPORTANT NOTICE REGARDING CHANGE IN INVESTMENT POLICY
Effective August 16, 2013, the following changes will be made in the sections of the prospectus describing Thrivent Equity Income Plus Portfolio (the “Portfolio”).
| 1. | The disclosure under “Principal Strategies” in the ‘Summary Section” and in “More about Investment Strategies and Risks” will be deleted and replaced with the following: |
The Portfolio invests in a combination of equity securities, debt securities, and money market instruments. The Adviser expects to achieve long-term capital growth by purchasing equity securities that appreciate in value. The equity securities in which the Portfolio invests primarily are incomeproducing and may include common stock, preferred stock, securities convertible into common stock, or securities or other instruments the price of which is linked to the value of common stock. The Portfolio may invest in foreign equities, including emerging market equities. The Portfolio may also write (sell) covered call or put options on any investments in which the Portfolio may invest or on any securities index (including equity index futures). Under normal circumstances, the Portfolio invests in the following three asset classes at approximately the target allocation percentage, and may invest within the ranges given:
Broad Asset Category | Target Allocation | Allocation Range | ||||||
Equity Securities | 70 | % | 50-90 | % | ||||
Debt Securities | 30 | % | 10-50 | % | ||||
Money Market Instruments | 0 | % | 0-40 | % | ||||
The debt securities in which the Portfolio invests may be of any maturity or credit quality, including high yield, high risk bonds, notes, debentures and other debt obligations commonly known as “junk bonds.” The Portfolio may also invest in leveraged loans, which are senior secured loans that are made by banks or other lending institutions to companies that are rated below investment grade. In addition, the Portfolio may invest in mortgage-backed securities (including commercially backed ones), assetbacked securities, and sovereign and emerging market debt (both U.S. dollar and non-U.S. dollar denominated).
The Adviser uses fundamental, quantitative and technical investment research techniques to determine which securities to buy and sell. The Adviser focuses on factors that may vary depending on market conditions, seeking a portfolio of securities that is broadly diversified across economic sectors and industries. The Adviser constructs portfolios using a “top-down” approach that focuses on broad economic trends and a “bottom-up” approach that focuses on company fundamentals.
| 2. | The following risks will be added under “Principal Risks” in the “Summary Section” and in “More about Investment Strategies and Risks”: |
High Yield Risk. High yield securities to which the Portfolio is exposed are considered predominantly speculative with respect to the issuer’s continuing ability to make principal and interest payments. If the issuer of the security is in default with respect to interest or principal payments, the value of the Portfolio may be negatively affected.
Leveraged Loan Risk. Leveraged loans are subject to the risks typically associated with debt securities. In addition, leveraged loans, which typically hold a senior position in the capital structure of a borrower, are subject to the risk that a court could subordinate such loans to presently existing or future indebtedness or take other action detrimental to the holders of leveraged loans. Leveraged loans are also subject to the risk that the value of the collateral, if any, securing a loan may decline, be insufficient to meet the obligations of the borrower, or be difficult to liquidate. Some leveraged loans are not as easily purchased or sold as publicly-traded securities and others are illiquid, which may make it more difficult for the Portfolio to value them or dispose of them at an acceptable price. Below investment-grade leveraged loans are typically more credit sensitive.
Liquidity Risk. Liquidity is the ability to sell a security relatively quickly for a price that most closely reflects the actual value of the security. High-yield bonds and leveraged loans have a less liquid resale market. As a result, the Adviser may have difficulty selling or disposing of securities quickly in certain markets or may only be able to sell the holdings at prices substantially less than what the Portfolio believes they are worth.
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Sovereign Debt Risk. Sovereign debt securities are issued or guaranteed by foreign governmental entities. These investments are subject to the risk that a governmental entity may delay or refuse to pay interest or repay principal on its sovereign debt, due, for example, to cash flow problems, insufficient foreign currency reserves, political considerations, the relative size of the governmental entity’s debt position in relation to the economy or the failure to put in place economic reforms required by the International Monetary Fund or other multilateral agencies. If a governmental entity defaults, it may ask for more time in which to pay or for further loans. There is no legal process for collecting sovereign debts that a government does not pay nor are there bankruptcy proceedings through which all or part of the sovereign debt that a governmental entity has not repaid may be collected.
| 3. | The references in “Portfolio Manager(s)” in the “Summary Section” and in “Portfolio Management” to Kevin R. Brimmer as a portfolio manager of the Portfolio will be deleted. |
| 4. | “Portfolio Manager(s)” in the “Summary Section” and “Portfolio Management” will be updated to reflect the addition of Stephen D. Lowe, CFA, as a portfolio manager of the Portfolio. Mr. Lowe has served as the portfolio manager of a Thrivent mutual fund since 2009. He has also been a senior portfolio manager of the high yield portion of Thrivent Financial’s general account since 2005. Prior to this position, Mr. Lowe was, since 2004, a high yield research manager and, since 2002, an associate portfolio manager of the high yield portion of the general account. He has been with Thrivent Financial since 1997. |
| 5. | The Fund will change its name to Thrivent Growth and Income Plus Portfolio. |
| 6. | As a result of the aforementioned changes to the Portfolio’s principal strategies, the performance information presented under “Volatility and Performance” in the ‘Summary Section” for periods prior to August 16, 2013 reflects the performance of an investment portfolio that was materially different from the investment portfolio of the Portfolio after that date. |
The date of this Supplement is June 6, 2013.
Please include this Supplement with your Prospectus.
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Thrivent Series Fund, Inc.
Supplement to Prospectus dated April 30, 2013
With respect to
Thrivent Mortgage Securities Portfolio
IMPORTANT NOTICE REGARDING CHANGE IN INVESTMENT POLICY
Effective August 16, 2013, the following changes will be made in the sections of the prospectus describing Thrivent Mortgage Securities Portfolio (the “Portfolio”).
| 1. | “Principal Strategies” in the “Summary Section” and in “More about Investment Strategies and Risks” will be deleted and replaced with the following: |
Under normal circumstances, the Portfolio invests in a broad range of fixed-income securities. The debt securities in which the Portfolio invests may be of any maturity or credit quality, including high yield, high risk bonds, notes, debentures and other debt obligations, commonly known as “junk bonds.” The Portfolio may invest in leveraged loans, which are senior secured loans that are made by banks or other lending institutions to companies that are rated below investment grade. The Portfolio may also invest in investmentgrade corporate bonds, asset-backed structured securities, mortgage-backed structured securities, convertible bonds, convertible stocks, non-agency securities, and sovereign and emerging market debt (both U.S. dollar and non-U.S. dollar denominated). Additionally, the Portfolio may invest in equities to a limited extent.
The Adviser uses fundamental, quantitative, and technical investment research techniques to determine what debt obligations to buy and sell. The Adviser may purchase bonds of companies that it believes are financially sound and have strong cash flow, asset values, and interest or dividend earnings. Some of these companies may be foreign ones. Please note that the Portfolio will likely use an interest rate management technique that includes the purchase and sale of U.S. Treasury securities and related futures contracts for the purpose of managing the duration of the Portfolio.
| 2. | The following risks will be added under “Principal Risks” in the “Summary Section” and in “More about Investment Strategies and Risks”: |
High Yield Risk. High yield securities to which the Portfolio’s portfolio is exposed are considered predominantly speculative with respect to the issuer’s continuing ability to make principal and interest payments. If the issuer of the security is in default with respect to interest or principal payments, the value of the Portfolio may be negatively affected.
Leveraged Loan Risk. Leveraged loans are subject to the risks typically associated with debt securities. In addition, leveraged loans, which typically hold a senior position in the capital structure of a borrower, are subject to the risk that a court could subordinate such loans to presently existing or future indebtedness or take other action detrimental to the holders of leveraged loans. Leveraged loans are also subject to the risk that the value of the collateral, if any, securing a loan may decline, be insufficient to meet the obligations of the borrower, or be difficult to liquidate. Some leveraged loans are not as easily purchased or sold as publicly-traded securities and others are illiquid, which may make it more difficult for the Portfolio to value them or dispose of them at an acceptable price. Below investment-grade leveraged loans are typically more credit sensitive.
Liquidity Risk. Liquidity is the ability to sell a security relatively quickly for a price that most closely reflects the actual value of the security. High-yield bonds and leveraged loans have a less liquid resale market. As a result, the Portfolio may have difficulty selling or disposing of securities quickly in certain markets or may only be able to sell the holdings at prices substantially less than what the Portfolio believes they are worth.
Emerging Markets Risk. The economic and political structures of developing nations, in most cases, do not compare favorably with the U.S. or other developed countries in terms of wealth and stability, and their financial markets often lack liquidity. Portfolio performance will likely be negatively affected by portfolio exposure to nations in the midst of, among other things, hyperinflation, currency devaluation, trade disagreements, sudden political upheaval or interventionist government policies. Significant buying or selling actions by a few major investors may also heighten the volatility of emerging markets. These factors make investing in emerging market countries significantly riskier than in other countries and events in any one country could cause the Portfolio’s share price to decline.
Sovereign Debt Risk. Sovereign debt securities are issued or guaranteed by foreign governmental entities. These investments are subject to the risk that a governmental entity may delay or refuse to pay interest or repay principal on its sovereign debt, due, for example, to cash flow problems, insufficient foreign currency reserves, political considerations, the relative size of the governmental entity’s debt position in relation to the economy or the failure to put in place economic reforms required by the International Monetary Fund or other multilateral agencies. If a governmental entity defaults, it may ask for more time in which to pay or for further loans. There is no legal process for collecting sovereign debts that a government does not pay nor are there bankruptcy proceedings through which all or part of the sovereign debt that a governmental entity has not repaid may be collected.
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Foreign Securities Risk. Securities of foreign companies in which the Portfolio invests generally carry more risk than securities of U.S. companies. The economies and financial markets of certain regions—such as Latin America, Asia, Europe and the Mediterranean region— can be highly interdependent and may decline at the same time. Other risks result from the varying stages of economic and political development of foreign countries; the differing regulatory environments, trading days, and accounting standards of foreign markets; and higher transaction costs. The Portfolio’s investment in any country could be subject to governmental actions such as capital or currency controls, nationalizing a company or industry, expropriating assets, or imposing punitive taxes that would have an adverse effect on security prices and impair the Portfolio’s ability to repatriate capital or income. The Portfolio is also subject to the risk that the value of a foreign currency may decline against the U.S. dollar, which would reduce the dollar value of securities denominated in that country. The overall impact of such a decline of foreign currency can be significant, unpredictable, and longlasting, depending on the currencies represented, how each one appreciates or depreciates in relation to the U.S. dollar, and whether currency positions are hedged. Under normal conditions, the Portfolio does not engage in extensive foreign currency hedging programs. Further, exchange rate movements are volatile, and it is not possible to effectively hedge the currency risks of many developing countries.
Futures Contract Risk. The value of a futures contract tends to increase and decrease in tandem with the value of the underlying instrument. The price of futures can be highly volatile; using them could lower total return, and the potential loss from futures can exceed the Portfolio’s initial investment in such contracts. In addition, the value of the futures contract may not accurately track the value of the underlying instrument.
| 3. | The references in “Portfolio Manager(s)” in the “Summary Section” and in “Portfolio Management” to Scott A. Lalim as a portfolio manager of the Portfolio will be deleted and the following will be added: |
Michael G. Landreville, CFA, CPA (inactive) and Conrad Smith, CFA have served as portfolio managers of the Portfolio since 2013. Mr. Landreville has been with Thrivent Financial since 1983 and has served as a portfolio manager since 1998. Mr. Smith has been with Thrivent Financial since 2004 and also manages the leveraged loan portfolio and the high yield bond portfolio of Thrivent Financial’s general account.
| 4. | The Portfolio will change its name to Thrivent Opportunity Income Plus Portfolio. |
| 5. | As a result of the aforementioned changes to the Portfolio’s principal strategies, the performance information presented under “Volatility and Performance” in the “Summary Section” for periods prior to August 16, 2013 reflects the performance of an investment portfolio that was materially different from the investment portfolio of the Portfolio after that date. |
The date of this Supplement is June 6, 2013.
Please include this Supplement with your Prospectus.
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Thrivent Series Fund, Inc.
Supplement to Prospectus dated April 30, 2013
with respect to
Thrivent Partner Worldwide Allocation Portfolio
Effective September 25, 2013, Goldman Sachs Asset Management, L.P. (“GSAM”) will replace Victory Capital Management Inc. (“Victory”) as the subadviser to the portion of Thrivent Partner Worldwide Allocation Portfolio (the “Portfolio”) that has been managed by Victory. As a result, the following changes will be made effective September 25, 2013 in the sections of the prospectus describing the Portfolio.
| 1. | The fourth and fifth sentences of the last paragraph of “Principal Strategies” in the ‘Summary Section” will be deleted and replaced with the following: |
Goldman Sachs Asset Management, L.P. manages the international small- and mid-cap equities and the emerging markets debt assets.
| 2. | The references to Victory as a subadviser to the Portfolio in “Investment Adviser(s)” in the “Summary Section” and in “Portfolio Management” under “Management” will be deleted. |
| 3. | The two sentences regarding Margaret Lindsay and the sentence thereafter in “Portfolio Manager(s)” in the “Summary Section” will be deleted and replaced with the following: |
GSAM uses its Quantitative Investment Strategies team (the “QIS” team”) to manage the international small-and mid-cap equities of the Portfolio. Ron Hua is a Managing Director and is the Chief Investment Officer of Equity Alpha Strategies for GSAM’s QIS team. Mr. Hua joined GSAM as a partner in 2011, and oversees all research, portfolio management and trading for the QIS quantitative equity business. Prior to joining GSAM, Mr. Hua was the Chief Investment Officer and Head of Research for Equity Investments at PanAgora Asset Management from 2004 to 2011. Len Ioffe, Managing Director, joined the GSAM as an associate in 1995 and has been a portfolio manager since 1996. Osman Ali, Managing Director, joined GSAM in 2003 and has been a member of the research and portfolio management team within the QIS team since 2005. Takashi Suwabe is a Managing Director and is co-head of active equity research in the QIS team. Mr. Suwabe joined GSAM in 2004 and has been a member of the QIS team since 2009. Previously, Mr. Suwabe worked at Nomura Securities and Nomura Research Institute. Denis Suvorov, Vice President, joined GSAM in 2011 as a portfolio manager. Between 2007 and 2011 he was a portfolio manager at Numeric Investors, LLC. GSAM uses its Emerging Market Debt and Fundamental Currency Team (the “EMD” team”) to manage the emerging market debt assets of the Portfolio.
| 4. | The penultimate paragraph and the first sentence in last paragraph in “Principal Strategies” in “More about Investment Strategies and Risks” will be deleted and replaced with the following: |
The investment focus for the Quantitative Investment Strategies team (the “QIS” team) of Goldman Sachs Asset Management, L.P. (“GSAM”), one of the Portfolio’s subadvisers, is international small- and mid-cap equities. The QIS team uses a quantitative style of management, in combination with a qualitative overlay, which emphasizes fundamentally-based stock selection, careful portfolio construction and efficient implementation. Investments are selected using fundamental research and a variety of quantitative techniques based on certain investment themes, including, among others, valuation, quality, and momentum. The valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. The quality theme assesses both firm and management quality. The momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. The QIS team works to enhance the efficacy of their investment techniques and, over time, may make changes to its quantitative and qualitative techniques that are based on GSAM’s proprietary research.
The investment focus for the Emerging Market Debt and Fundamental Currency Team (the “EMD” team) of GSAM is emerging markets debt securities.
| 5. | The last sentence in the paragraph describing GSAM as a subadviser to the Portfolio in “Portfolio Management” under “Management” will be deleted and replaced with the following: |
GSAM uses its Quantitative Investment Strategies team (the “QIS” team) to manage the international small-and mid-cap equities of the Portfolio. GSAM uses its Emerging Market Debt and Fundamental Currency Team (the “EMD” team) to manage the emerging market debt assets of the Portfolio.
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Ron Hua is a Managing Director and is the Chief Investment Officer of Equity Alpha Strategies for GSAM’s QIS team. Mr. Hua joined GSAM as a partner in 2011, and oversees all research, portfolio management and trading for the QIS quantitative equity business. Prior to joining GSAM, Mr. Hua was the Chief Investment Officer and Head of Research for Equity Investments at PanAgora Asset Management from 2004 to 2011. Len Ioffe, Managing Director, joined the GSAM as an associate in 1995 and has been a portfolio manager since 1996. Osman Ali, Managing Director, joined GSAM in 2003 and has been a member of the research and portfolio management team within the QIS team since 2005. Takashi Suwabe is a Managing Director and is co-head of active equity research in the QIS team. Mr. Suwabe joined GSAM in 2004 and has been a member of the QIS team since 2009. Previously, Mr. Suwabe worked at Nomura Securities and Nomura Research Institute. Denis Suvorov, Vice President, joined GSAM in 2011 and has been a portfolio manager since 2011. Between 2007 and 2011 he was a portfolio manager at Numeric Investors, LLC.
The date of this Supplement is August 22, 2013.
Please include this Supplement with your Prospectus.
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Thrivent Variable Life Account I
Thrivent Variable Insurance Account A
TLIC Variable Insurance Account A
Thrivent Variable Annuity Account I
Thrivent Variable Annuity Account II
Thrivent Variable Annuity Account A
Thrivent Variable Annuity Account B
TLIC Variable Annuity Account A
Supplement to Prospectuses dated April 30, 2013
Thrivent Partner Worldwide Allocation Portfolio
Effective September 25, 2013, the prospectuses for Contracts offered above will be amended to reflect the
replacement of Victory Capital Management Inc. (“Victory”) by Goldman Sachs Asset Management, L.P. (“GSAM”)
as the subadviser to the portion of Thrivent Partner Worldwide Allocation Portfolio that has been managed by
Victory. The supplement to the prospectus for Thrivent Series Fund, Inc. dated August 22, 2013 contains additional
information about GSAM.
Thrivent Partner All Cap Growth Portfolio
Thrivent Partner All Cap Value Portfolio
Thrivent Partner Socially Responsible Stock Portfolio
As a result of the mergers of Thrivent Partner All Cap Growth Portfolio, Thrivent Partner All Cap Value Portfolio,
and Thrivent Partner Socially Responsible Stock Portfolio into Thrivent Large Cap Stock Portfolio (described in the
supplement dated August 6, 2013), the prospectuses for Contracts offered above are hereby amended to delete all
references to the following subadvisers: Calvert Investment Management, Inc., Atlanta Capital Management
Company, LLC, Calamos Advisors LLC, and OppenheimerFunds, Inc.
The date of this Supplement is August 22, 2013
Thrivent Financial for Lutherans
Service Center
4321 North Ballard Road
Appleton, WI 54919-0001
Please include this Supplement with your Prospectus
Form #28099
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| Item 2. | Code of Ethics |
Not applicable to semiannual report
| Item 3. | Audit Committee Financial Expert |
Not applicable to semiannual report
| Item 4. | Principal Accountant Fees and Services |
Not applicable to semiannual report
| Item 5. | Audit Committee of Listed Registrants |
Not applicable.
| Item 6. | Schedule of Investments |
| (1) | Registrant’s Schedule of Investments is included in the report to shareholders filed under Item 1. |
| (2) | Not applicable to this filing. |
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not applicable.
| Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not applicable.
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
| Item 10. | Submission of Matters to a Vote of Security Holders |
There have been no material changes to the procedures by which shareholders may recommend nominees to registrant’s board of directors.
| Item 11. | 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 12. | Exhibits |
| (a) | Certifications pursuant to Rules 30a-2(a) and 30a-2(b) under the Investment Company Act of 1940 are attached hereto. |
Table of Contents
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: August 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: August 28, 2013 | By: | /s/ Russell W. Swansen | ||||
| Russell W. Swansen | ||||||
| President |
| Date: August 28, 2013 | By: | /s/ Gerard V. Vaillancourt | ||||
| Gerard V. Vaillancourt | ||||||
| Treasurer |