UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-4603
Thrivent Series Fund, Inc.
(Exact name of registrant as specified in charter)
625 Fourth Avenue South
Minneapolis, Minnesota 55415
(Address of principal executive offices) (Zip code)
Michael W. Kremenak, Assistant Secretary
625 Fourth Avenue South
Minneapolis, Minnesota 55415
(Name and address of agent for service)
Registrant’s telephone number, including area code: (612) 844-4198
Date of fiscal year end: December 31
Date of reporting period: December 31, 2013
| Item 1. | Report to Stockholders |
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The stock market surged to record highs in 2013 as the U.S. economy accelerated and Europe showed signs of emerging from a recession. Fixed-income markets mostly fell as investors worried that the improving economic picture might prompt the Federal Reserve to temper its accommodative monetary policy. The investment outlook was generally positive heading into 2014.
Economic Review
After nearly stalling in the fourth quarter of 2012, the U.S. economy accelerated steadily through the first nine months of 2013. The housing and auto markets were particularly strong, with housing starts rising to a seasonally adjusted annual rate of 1,091,000 units by November, up nearly 30% from a year earlier and the highest rate in nearly six years. Auto sales rose 8% to 15.6 million units, nearly matching the number of cars and light trucks sold in 2007 just before the start of the last recession.
Gross domestic product (GDP), the sum of all goods and services produced, rose at a 1.1% annual rate in the first quarter, a 2.5% rate in the second, and a 4.1% rate in the third. The latest performance marked only the fourth time in the past 10 years that GDP growth surpassed the 4% level. Rising business inventories accounted for nearly 41% of third-quarter GDP growth, but the economy showed renewed vigor on a broad front. Investment in factories and other nonresidential structures grew at a 13.4% annual rate. Exports rose 3.9%, reflecting improving economic conditions abroad, and hit a record high in November. On the consumer front, personal consumption expenditures grew 2.0% in the third quarter, while spending on durable goods, such as appliances and automobiles, increased 7.9%. All those gains were offset in part by continued reductions in federal spending and investment, which fell 1.5%. We expect fourth-quarter GDP results to show continued economic growth, albeit not at the heady rate exhibited in the third.
Despite the economy’s strong showing in 2013, the recovery from the 2008–2009 recession remains sluggish by historical standards, and that has translated into sluggish gains in the job market, too. The U.S. created an average of 182,000 jobs per month in 2013, about the same as in 2012, leaving the country with 1.2 million fewer jobs than it had prior to the 2008–2009 recession. The unemployment rate, which peaked at 10% in 2009, fell dramatically in 2013, to 6.7% in December from 7.9% a year earlier. But a large part of that improvement was attributable not to job creation but simply to people giving up looking for work.
Economic conditions improved in Europe and China, which are important to the American economy and its financial markets. After a year and a half of economic contraction, GDP for the 17-country eurozone grew 0.3% in the second quarter of 2013 and another 0.1% in the third. China, after watching its economic growth slow for much of the past three years, saw its GDP rise 7.5% year-over-year in the second quarter, then jump 7.8% in the third.
Market Review
Equity investors were generally cheered by the improving global economic outlook, sending several major U.S. stock market indexes to their first record highs since 2007. After posting a total return of 16% in 2012, the S&P 500 Index of large-company stocks earned 32.4% in 2013, its biggest gain since 1997. Small-company stocks did even better, with the Russell 2000 Index earning 38.8%. Growth stocks generally outperformed value stocks. On a price basis alone, the S&P 500 finished the year up 173% from its March 2009 low.
Stocks in developed markets overseas also turned in strong results in 2013 amid improving economic conditions in Europe and a shift in Japan to growth-oriented fiscal and monetary policies. The MSCI EAFE Index, which tracks developed markets in Europe, Asia and Australia, posted a total return of 23.3%.
Emerging market stocks were mostly lower, with the MSCI Emerging Markets index posting a total return of -2.3%. The index slumped during the second quarter as investors worried about slowing economic growth in China, India and Brazil, and about lower commodities prices, which adversely impact the many natural resources companies located in emerging economies. While stock prices rebounded in October when China’s economy began showing new signs of strength, they drifted lower again as the year wound to a close.
While equity markets were clearly helped by the improving economic climate, they also benefited from a dearth of opportunities in the fixed-income markets, where the accommodative monetary policies of the Federal Reserve were helping to keep bond yields near historic lows as the year got under way. New worries swept through the fixed-income markets in May, though, after Federal Reserve Chairman Ben Bernanke said the improving economy might prompt the Fed to pare back its quantitative easing program, which involved the Fed buying $85 billion of bonds each month to help keep long-term interest rates low. In December, the Fed announced that it would reduce its monthly purchases by $10 billion beginning in January 2014, and might schedule further cuts if the economy continued to improve.
Anticipating a shift in Fed policy, bond yields began to rise mid-year, which resulted in falling bond prices. By year-end, the yield on the 10-year Treasury note had jumped to just over 3% from 1.8% a year earlier. With most sectors of the bond market following the lead of the Treasury market, the broad-based Barclays U.S. Aggregate Bond Index finished the year with a loss of 2%. High-yield corporate bonds, which tend to rally when the economy grows, were the standout exception in the fixed-income markets, with the Barclays U.S. Corporate High Yield Bond Index posting a positive return of 7.4%.
2
Our Outlook
The generally tepid pace of the economic recovery over the past four and a half years has an opportunity to accelerate slightly in 2014, barring an unexpected crisis, and that should create a favorable environment for the investment markets. Our economic models suggest GDP growth in 2014 has the potential to meet or exceed the 2.2% rate averaged over the past three years. We also expect further improvement in GDP growth in the U.K. and Europe to about 2%, in China to about 8%, and in Japan to between 1% and 2%.
Continued economic progress will be important to the equity markets, where valuations are now relatively high and reflect a general expectation of stronger corporate profits in the year ahead. We believe profits will improve slightly, a consequence of both organic growth and corporate share repurchases. Stock prices could advance under that scenario, but we expect performance to be modest, especially compared to the extraordinary performance of 2013.
Activity in the fixed-income markets will depend to a large degree on U.S. monetary policy. The Fed is expected to keep short-term interest rates low through 2014, but longer-term rates are likely to ratchet somewhat higher, particularly if the Fed continues to pare back its quantitative easing program. We would not be surprised to see modest losses in the Treasury sector. High-yield bonds could post modest gains as fixed-income investors searching for yield continue buying in that sector.
To ensure that your portfolio is positioned to negotiate the shifting investment environment, we encourage you to meet with your Thrivent Financial representative. He or she can make sure your portfolio remains aligned with your financial goals and tolerance for risk.
As always, thank you for the trust you have placed in our entire team of professionals at Thrivent Financial.
Sincerely,
Russell W. Swansen
President
Thrivent Series Fund, Inc.
3
Thrivent Aggressive Allocation Portfolio
Russell W. Swansen, David C. Francis, CFA and Mark L. Simenstad, CFA, Portfolio Co-Managers
Thrivent Aggressive Allocation Portfolio seeks long-term capital growth.
The Portfolio invests in other Thrivent mutual funds and in directly held equity and debt instruments. The Portfolio is subject to its own operating expenses and the operating expenses of the other funds in which it invests, and is subject to all of the risks of the other funds in which it invests. 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 adviser. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high yield securities are subject to increased credit risk as well as liquidity risk. The use of equity index futures involves transaction costs and the loss from investing in them can exceed the initial investment.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Aggressive Allocation Portfolio earned a return of 27.05%, compared with the median return of its peer group, the Lipper Multi-Cap Core category, of 29.51%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays U.S. Aggregate Bond Index, earned returns of 32.39% and -2.02%, respectively.
What factors affected the Portfolio’s performance?
Most major equity markets meaningfully outperformed fixed-income markets in the period. Across equity markets, small- and mid-cap domestic stocks outperformed large caps in both domestic and foreign developed markets. Emerging market equities, while positive, provided dramatically lower returns versus most other stock groups.
In fixed income, Treasury and agency securities underperformed both investment-grade corporate and high-yield bonds. The Portfolio’s return in its fixed-income segment bested the bond index because the Portfolio had limited exposure to the underperforming sectors.
The Portfolio’s return was aided by its significant exposure to equities across most major market segments. We were overweighted in large-cap stocks within our equity portfolio, which partially limited our advance because large-cap stocks did not keep pace with small and mid caps, although returns to all categories were quite attractive on an absolute basis.
Over the period, the Portfolio had an average exposure to fixed-income securities of 6%. Our holdings performed well versus the fixed-income benchmark, but even the best segment of bonds did not keep pace with the strong advance in U.S. stocks. Performance was mixed across the actively managed equity segments of the Portfolio.
The large-cap growth and value segments outperformed, while the mid-cap growth and small-cap core portfolios underperformed, each measured versus their respective benchmarks. However, absolute returns for all of the domestic equity segments of the Portfolio were quite good.
Within our international section, we had exposure to emerging markets debt and equity, and both of those segments—while performing well against their respective indexes—did not keep pace with the broader market advance. In total, results were close to management expectations given the asset mix of the Portfolio.
What is your outlook?
As the period drew to a close, we became modestly more conservative in our portfolio positioning. Within fixed income, in the absence of an unexpected decline in the economy, we believe U.S. Treasury and agency securities are overvalued due to an aggressive purchase program that the Federal Reserve Bank has undertaken. As a result, we are overweighted in corporate bonds, and underweighted in Treasury and agency securities.
In equities, we have taken steps to modestly reduce our equity exposure. With the significant advance in global stock markets, it is difficult to represent that stocks are undervalued. At best, we would suggest equities are fairly valued. That does not mean any decline is imminent; in our process, however, it suggests it is appropriate to modestly adjust allocations.
While the rally certainly could continue to advance, we believe it will likely be at a more moderate pace. We do think that within equities, small- and mid-cap domestic stocks are richly priced versus large caps, and that within large caps, non-U.S. stocks provide better opportunities. Thus, we have tilted the Portfolio’s positions to take advantage of those opportunities.
4
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | From Inception 4/29/2005 | ||
| 27.05% | 16.03% | 7.54% |
| * | The Barclays U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. |
| *** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
5
Thrivent Moderately Aggressive Allocation Portfolio
Russell W. Swansen, David C. Francis, CFA and Mark L. Simenstad, CFA, Portfolio Co-Managers
Thrivent Moderately Aggressive Allocation Portfolio seeks long-term capital growth.
The Portfolio invests in other Thrivent mutual funds and in directly held equity and debt instruments. The Portfolio is subject to its own operating expenses and the operating expenses of the other funds in which it invests, and is subject to all of the risks of the other funds in which it invests. 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 adviser. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high yield securities are subject to increased credit risk as well as liquidity risk. The use of equity index futures involves transaction costs and the loss from investing in them can exceed the initial investment.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Moderately Aggressive Allocation Portfolio earned a return of 21.30%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Growth category, of 19.15%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays U.S. Aggregate Bond Index, earned returns of 32.39% and -2.02%, respectively.
What factors affected the Portfolio’s performance?
Most major equity markets meaningfully outperformed fixed-income markets in the period. Across equity markets, small- and mid-cap domestic stocks outperformed large caps—both domestic as well as foreign. Emerging market equities, while positive, provided dramatically lower returns versus most other stock groups.
In fixed income, Treasury and agency securities underperformed both investment-grade corporate and high-yield bonds. The Portfolio’s return in its fixed-income segment bested the bond index because the Portfolio had limited exposure to the underperforming sectors.
The Portfolio’s return was aided by its significant exposure to equities across most major market segments. We were overweighted in large-cap stocks within our equity portfolio, which partially limited our advance because large-cap stocks did not keep pace with small and mid caps, but returns to all categories were quite attractive on an absolute basis.
Over the period, the Portfolio had an average exposure to fixed-income securities of 23%. Our holdings performed well versus the fixed-income benchmark, but even the best segment of bonds did not keep pace with the strong advance in U.S. stocks. Performance was mixed across the actively managed equity segments of the Portfolio.
The large-cap growth and value segments outperformed, while the mid-cap growth and small-cap core portfolios underperformed, each measured versus their respective benchmarks. However, absolute returns for all of the domestic equity segments of the Portfolio were quite good.
Within our international section, we had exposure to emerging markets debt and equity, and both of those segments—while performing well against their respective indexes—did not keep pace with the broader market advance. In total, results were close to management expectations given the asset mix of the Portfolio.
What is your outlook?
As the period drew to a close, we became modestly more conservative in our portfolio positioning. Within fixed income, in the absence of an unexpected decline in the economy, we believe U.S. Treasury and agency securities are overvalued due to an aggressive purchase program that the Federal Reserve Bank has undertaken. As a result, we are overweighted in corporate bonds, and underweighted in Treasury and agency securities.
In equities, we have taken steps to modestly reduce our equity exposure. With the significant advance in global stock markets, it is difficult to represent that stocks are undervalued. At best, we would suggest equities are fairly valued. That does not mean any decline is imminent; in our process, however, it suggests it is appropriate to modestly adjust allocations.
While the rally certainly could continue to advance, we believe it will likely be at a more moderate pace. We do think that within equities, small- and mid-cap domestic stocks are richly priced versus large caps, and that within large caps, non-U.S. stocks provide better opportunities. Thus, we have tilted the Portfolio’s positions to take advantage of those opportunities.
6
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | From Inception 4/29/2005 | ||
| 21.30% | 14.78% | 7.10% |
| * | The Barclays U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. |
| *** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
7
Thrivent Moderate Allocation Portfolio
Russell W. Swansen, David C. Francis, CFA and Mark L. Simenstad, CFA, Portfolio Co-Managers
Thrivent Moderate Allocation Portfolio seeks long-term capital growth while providing reasonable stability of principal.
The Portfolio invests in other Thrivent mutual funds and in directly held equity and debt instruments. The Portfolio is subject to its own operating expenses and the operating expenses of the other funds in which it invests, and is subject to all of the risks of the other funds in which it invests. 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 adviser. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high yield securities are subject to increased credit risk as well as liquidity risk. The use of equity index futures involves transaction costs and the loss from investing in them can exceed the initial investment.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Moderate Allocation Portfolio earned a return of 15.12%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Moderate category, of 14.15%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays U.S. Aggregate Bond Index, earned returns of 32.39% and -2.02%, respectively.
What factors affected the Portfolio’s performance?
Most major equity markets meaningfully outperformed fixed-income markets in the period. Across equity markets, small- and mid-cap domestic stocks outperformed large caps—both domestic as well as foreign. Emerging market equities, while positive, provided dramatically lower returns versus most other stock groups.
In fixed income, Treasury and agency securities underperformed both investment-grade corporate and high-yield bonds. The Portfolio’s return in its fixed-income segment bested the bond index because the Portfolio had limited exposure to the underperforming sectors.
The Portfolio’s return was aided by its significant exposure to equities across most major market segments. We were overweighted in large-cap stocks within our equity portfolio, which partially limited our advance because large-cap stocks did not keep pace with small and mid caps, but returns to all categories were quite attractive on an absolute basis.
Over the period, the Portfolio had an average exposure to fixed-income securities of 42%. Our holdings performed well versus the fixed-income benchmark, but even the best segment of bonds did not keep pace with the strong advance in U.S. stocks. Performance was mixed across the actively managed equity segments of the Portfolio.
The large-cap growth and value segments outperformed, while the mid-cap growth and small-cap core portfolios underperformed, each measured versus their respective benchmarks. However, absolute returns for all of the domestic equity segments of the Portfolio were quite good.
Within our international section, we had exposure to emerging markets debt and equity, and both of those segments—while performing well against their respective indexes—did not keep pace with the broader market advance. In total, results were close to management expectations given the asset mix of the Portfolio.
What is your outlook?
As the period drew to a close, we became modestly more conservative in our portfolio positioning. Within fixed income, in the absence of an unexpected decline in the economy, we believe U.S. Treasury and agency securities are overvalued due to an aggressive purchase program that the Federal Reserve Bank has undertaken. As a result, we are overweighted in corporate bonds, and underweighted in Treasury and agency securities.
In equities, we have taken steps to modestly reduce our equity exposure. With the significant advance in global stock markets, it is difficult to represent that stocks are undervalued. At best, we would suggest equities are fairly valued. That does not mean any decline is imminent; in our process, however, it suggests it is appropriate to modestly adjust allocations.
While the rally certainly could continue to advance, we believe it will likely be at a more moderate pace. We do think that within equities, small- and mid-cap domestic stocks are richly priced versus large caps, and that within large caps, non-U.S. stocks provide better opportunities. Thus, we have tilted the Portfolio’s positions to take advantage of those opportunities.
8
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | From Inception 4/29/2005 | ||
| 15.12% | 12.92% | 6.57% |
| * | The Barclays U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. |
| *** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
9
Thrivent Moderately Conservative Allocation Portfolio
Russell W. Swansen, David C. Francis, CFA and Mark L. Simenstad, CFA, Portfolio Co-Managers
Thrivent Moderately Conservative Allocation Portfolio seeks long-term capital growth while providing reasonable stability of principal.
The Portfolio invests in other Thrivent mutual funds and in directly held equity and debt instruments. The Portfolio is subject to its own operating expenses and the operating expenses of the other funds in which it invests, and is subject to all of the risks of the other funds in which it invests. 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 adviser. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high yield securities are subject to increased credit risk as well as liquidity risk. The use of equity index futures involves transaction costs and the loss from investing in them can exceed the initial investment.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Moderately Conservative Allocation Portfolio earned a return of 9.02%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Conservative category, of 7.56%. The Portfolio’s market benchmarks, the S&P 500 Index and the Barclays U.S. Aggregate Bond Index, earned returns of 32.39% and -2.02%, respectively.
What factors affected the Portfolio’s performance?
Most major equity markets meaningfully outperformed fixed-income markets in the period. Across equity markets, small- and mid-cap domestic stocks outperformed large caps—both domestic as well as foreign. Emerging market equities, while positive, provided dramatically lower returns versus most other stock groups.
In fixed income, Treasury and agency securities underperformed both investment-grade corporate and high-yield bonds. The Portfolio’s return in its fixed-income segment bested the bond index because the Portfolio had limited exposure to the underperforming sectors.
The Portfolio’s return was aided by its significant exposure to equities across most major market segments. We were overweighted in large-cap stocks within our equity portfolio, which partially limited our advance because large-cap stocks did not keep pace with small and mid caps, but returns to all categories were quite attractive on an absolute basis.
Over the period, the Portfolio had an average exposure to fixed-income securities of 62%. Our holdings performed well versus the fixed-income benchmark, but even the best segment of bonds did not keep pace with the strong advance in U.S. stocks. Performance was mixed across the actively managed equity segments of the Portfolio.
The large-cap growth and value segments outperformed, while the mid-cap growth and small-cap core portfolios underperformed, each measured versus their respective benchmarks. However, absolute returns for all of the domestic equity segments of the Portfolio were quite good.
Within our international section, we had exposure to emerging markets debt and equity, and both of those segments—while performing well against their respective indexes—did not keep pace with the broader market advance. In total, results were close to management expectations given the asset mix of the Portfolio.
What is your outlook?
As the period drew to a close, we became modestly more conservative in our portfolio positioning. Within fixed income, in the absence of an unexpected decline in the economy, we believe U.S. Treasury and agency securities are overvalued due to an aggressive purchase program that the Federal Reserve Bank has undertaken. As a result, we are overweighted in corporate bonds, and underweighted in Treasury and agency securities.
In equities, we have taken steps to modestly reduce our equity exposure. With the significant advance in global stock markets, it is difficult to represent that stocks are undervalued. At best, we would suggest equities are fairly valued. That does not mean any decline is imminent; in our process, however, it suggests it is appropriate to modestly adjust allocations.
While the rally certainly could continue to advance, we believe it will likely be at a more moderate pace. We do think that within equities, small- and mid-cap domestic stocks are richly priced versus large caps, and that within large caps, non-U.S. stocks provide better opportunities. Thus, we have tilted the Portfolio’s positions to take advantage of those opportunities.
10
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | From Inception 4/29/2005 | ||
| 9.02% | 10.32% | 5.65% |
| * | The Barclays U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. |
| *** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
11
Thrivent Growth and Income Plus Portfolio
David R. Spangler, CFA and Stephen D. Lowe, CFA, Portfolio Co-Managers*
Thrivent Growth and Income Plus Portfolio seeks income plus long-term capital growth.
The Portfolio invests in equity securities and debt 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 adviser. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high yield securities are subject to increased credit risk as well as liquidity risk. Leveraged loans, preferred securities, sovereign debt, and mortgage-related and other asset-backed securities are subject to additional risks. 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. Writing options is a highly specialized activity that can lead to losses and transaction costs.
As of August 16, 2013, the Portfolio changed its name from Thrivent Equity Income Plus Portfolio to its current name.
| * | Effective August 16, 2013, Stephen D. Lowe became a Portfolio Co-Manager. |
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Growth and Income Plus Portfolio earned a return of 21.24%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Growth category, of 19.15%. The Portfolio’s market benchmarks, the S&P 500 Index, the Barclays U.S. High Yield Loan Index and the Barclays U.S. Mortgage-Backed Securities Index, earned returns of 32.39%, 5.39%, and -1.41%, respectively.
What factors affected the Portfolio’s performance?
The former Thrivent Equity Income Plus Portfolio was restructured on August 16, 2013, and renamed Thrivent Growth and Income Plus Portfolio. While the Portfolio continues to be managed as a multi-asset class product with strategic target weights to various asset classes, a fixed-income component was added to its asset mix as a result of this change. Approximately 70% of the Portfolio’s holdings are now composed of domestic dividend equity, international dividend equity, preferred stocks and real estate investment trusts (REITs). The remaining 30% of the Portfolio is invested in fixed-income securities.
For 2013, strong positive contribution came from domestic dividend-paying stocks which performed in line with the S&P 500 Index. Good security selection allowed the dividend equity portion of the Portfolio to keep pace with the broader market, particularly in the technology, industrials and consumer staples sectors. However, stock selection hurt returns in the energy and consumer discretionary sectors, which underperformed the S&P 500 Index. Relative to the S&P 500 Index, underperforming asset classes included international dividend equity in the form of ADRs, preferreds and REITs.
Within fixed-income markets, the improving economy made investors more comfortable with higher-risk sectors, despite a mid-year uptick in interest rates. All fixed-income sectors in the Portfolio generated positive results, particularly high-yield bonds and mortgage-backed securities.
What is your outlook?
Continued economic growth in 2014, at or slightly above the pace in 2013, should create a favorable investment environment for the asset classes in which the Portfolio invests. Stock valuations were much higher heading into 2014 than they were in 2013, suggesting that stock returns are unlikely to match last year’s heady results. We anticipate tilting the Portfolio’s equity holdings slightly away from utilities, telecommunications and consumer staples stocks and into cyclical sectors that typically do well in a growing economy, such as technology, industrials and consumer discretionary.
Interest rates could creep higher in 2014, especially if the Federal Reserve, as expected, announces further cuts in the bond-buying program it has been using to support the economy. That could also moderate or negatively impact returns in the fixed-income markets. We may become slightly more defensive on interest rates by adding to our holdings of floating-rate leveraged loans and keeping the duration of the Portfolio’s bond holdings low.
12
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | From Inception 4/30/2008 | ||
| 21.24% | 12.66% | 4.42% |
| ^ | Effective August 2013, the Portfolio’s benchmark indices changed to include the Barclays U.S. High Yield Loan Index and the Barclays U.S. Mortgage-Backed Securities Index. The Adviser made these benchmark changes because of changes to the Portfolio’s principal investment strategies. It is not possible to invest directly in the Indices shown. The performance of the Indices does not reflect deductions for fees, expenses or taxes. |
| * | The Barclays U.S. High Yield Loan Index measures U.S. Dollar denominated syndicated term loans. |
| ** | The Barclays U.S. Mortgage-Backed Securities Index (MBS) is formed by grouping the universe of over 600,000 individual fixed-rate U.S. government agency MBS pools into approximately 3,500 generic types of securities. |
| *** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| **** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
13
Thrivent Balanced Income Plus Portfolio
Darren M. Bagwell, CFA, Michael G. Landreville, CFA and CPA (inactive), and Stephen D. Lowe, CFA, Portfolio Co-Managers*
Thrivent Balanced Income Plus Portfolio seeks long-term total return through a balance between income and the potential for long-term capital growth.
The Portfolio invests in equity securities and debt 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 adviser. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high yield securities are subject to increased credit risk as well as liquidity risk. Leveraged loans, preferred securities, sovereign debt, and mortgage-related and other asset-backed securities are subject to additional risks. 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 changed its name from Thrivent Balanced Portfolio to its current name.
| * | Effective August 16, 2013, Darren M. Bagwell and Stephen D. Lowe became Portfolio Co-Managers. |
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Balanced Income Plus Portfolio earned a return of 17.95%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Moderate category, of 14.15%. The Portfolio’s market benchmarks, the S&P Composite 1500 Index, the Barclays U.S. High Yield Loan Index and the Barclays U.S. Mortgage-Backed Securities Index, returned 32.79%, 5.39% and -1.41%, respectively.
What factors affected the Portfolio’s performance?
The former Thrivent Balanced Portfolio was restructured on August 16, 2013, and renamed Thrivent Balanced Income Plus Portfolio. While still investing in equities and fixed income, the Portfolio reduced the duration of its fixed-income portfolio to make it less sensitive to interest rates, and increased its allocation to noninvestment-grade assets, which are higher risk but also offer the potential for higher yields. After starting the year with two-thirds of its assets in equities, it ended with equal weightings in equities and fixed income.
Equities performed well as the U.S. economy expanded at an increasingly fast pace, with gross domestic product (GDP) growing at a 4.1% annual rate by the third quarter. The Portfolio’s stock holdings earned 37.5%, outperforming their equity benchmark largely due to security selection. Industrials, media and entertainment stocks, and energy shares all performed well, offset in part by real estate investment trusts (REITs) that underperformed when interest rates moved higher mid-year. The absence of any holdings in gold-related stocks also helped the Portfolio, as gold shares lagged.
The duration of the fixed-income portion of the Portfolio was reduced to 2.6 years from 5.6 as a result of the August makeover. The timing of that change was set by a shareholder vote. Unfortunately, the duration change occurred after the mid-year spike in interest rates relating to concerns the Federal Reserve might throttle back its accommodative monetary policy.
More helpfully, the percentage of the Portfolio allocated to noninvestment-grade securities rose to 60% from 15% in the makeover, and noninvestment-grade debt subsequently outperformed investment-grade debt. Overall, fixed-income generated a modest 0.5% loss.
What is your outlook?
We believe that equity markets have an opportunity to generate returns in a range of 5% to 10% next year, propelled by continued economic growth, expanding corporate profit margins, corporate stock buybacks and dividend increases. We also see an opportunity for a modest expansion of stock price-to-earnings multiples.
We expect an upward but modest bias to interest rates over the course of 2014, especially if the Federal Reserve, as expected, announces further cuts in the bond-buying program it has been using to support the economy. That could moderate or negatively impact returns in the fixed-income market. With its shorter duration and higher yield, we believe the fixed-income portion of the Portfolio should come close to earning its coupon yield.
14
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| 17.95% | 13.76% | 6.40% |
| ^ | Effective August 2013, the Portfolio’s benchmark indices changed from the Barclays U.S. Aggregate Bond Index and the S&P 500 Index to the Barclays U.S. High Yield Loan Index, the Barclays U.S. Mortgage-Backed Securities Index and the S&P Composite 1500 Index. The Adviser made these benchmark changes because of changes to the Portfolio’s principal investment strategies. It is not possible to invest directly in the Indices shown. The performance of the Indices does not reflect deductions for fees, expenses or taxes. |
| * | The Barclays U.S. Aggregate Bond Index measures the performance of U.S. investment grade bonds. |
| ** | The Barclays U.S. Mortgage-Backed Securities Index (MBS) is formed by grouping the universe of over 600,000 individual fixed-rate U.S. government agency MBS pools into approximately 3,500 generic types of securities. |
| *** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s and Standard & Poor’s makes no representation regarding the advisability of investing in the product. |
| **** | The S&P Composite 1500 Index measures the performance of a group of 1500 publicly traded stocks. “S&P Composite 1500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s and Standard & Poor’s makes no representation regarding the advisability of investing in the product. |
| ***** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. |
| # | The Barclays U.S. High Yield Loan Index incepted in January 2006. This index is not shown in the chart because it does not have 10 years of history and thus an accurate comparison of a $10,000 investment over 10 years cannot be shown. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
15
Thrivent 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 invests in debt securities and 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 adviser. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high yield securities are subject to increased credit risk as well as liquidity risk. Leveraged loans and mortgage-related and other asset-backed securities are subject to additional risks.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Diversified Income Plus Portfolio earned a return of 11.17%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Conservative category, of 7.56%. The Portfolio’s market benchmarks, the S&P 500 Index, the Barclays U.S. High Yield Loan Index and the Barclays U.S. Mortgage-Backed Securities Index, returned 32.39%, 5.39% and -1.41%, respectively.
What factors affected the Portfolio’s performance?
A strengthening economy drove the stock market to record highs and also helped spur solid gains in the high-yield sector of the bond market.
Stocks accounted for just 30% of the Portfolio’s holdings, but played an outsized role in its results by generating a total return in line with the S&P 500 Index. Approximately 90% of the Portfolio’s equity holdings consisted of dividend-paying stocks, which typically underperform the broader market when stock prices are climbing sharply. Good security selection allowed the equity portion of the Portfolio to keep pace with the broader market, particularly in the technology, industrials and consumer staples sectors. Stock selection hurt returns in the energy and consumer discretionary sectors, which underperformed the S&P 500 Index.
The improving economy made investors more comfortable with higher-risk sectors of the fixed-income markets, despite a mid-year uptick in interest rates. Within the Portfolio, fixed-income holdings performed relatively well. All sectors had positive results, with nonagency mortgage-backed securities contributing exceptional results once again. The high-yield bond segment was modestly lower than the Barclays U.S. High Yield Bond Index due to our more conservative orientation in this sector. Finally, high-grade corporate bonds and preferred stocks generated positive but low-single-digit returns.
What is your outlook?
Continued economic growth in 2014, at or slightly above the pace in 2013, should create a favorable investment environment for the asset classes in which the Portfolio invests. Stock valuations were much higher heading into 2014 than they were in 2013, however, suggesting that stock returns are unlikely to match last year’s heady results. We anticipate tilting equity holdings slightly away from utilities, telecommunications and consumer staples stocks and into cyclical sectors that typically do well in a growing economy, such as technology, industrials and consumer discretionary stocks.
Interest rates could creep higher in 2014, especially if the Federal Reserve, as expected, announces further cuts in the bond-buying program it has been using to support the economy. We believe this could moderate or negatively impact returns in the fixed-income markets, too. We may consider becoming slightly more defensive on interest rates by adding to our holdings of floating-rate leveraged loans and keeping the duration of the Portfolio’s bond holdings low.
16
Average Annual Total Returns1,2
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| 11.17% | 14.96% | 6.91% |
| ^ | Effective August 2013, the Portfolio’s benchmark indices changed from the Barclays U.S. Corporate High Yield Bond Index and the Barclays U.S. Corporate Investment Grade Index to the Barclays U.S. High Yield Loan Index and the Barclays U.S. Mortgage-Backed Securities Index. The Adviser made these benchmark changes because of changes to the Portfolio’s principal investment strategies. It is not possible to invest directly in the Indices shown. The performance of the Indices does not reflect deductions for fees, expenses or taxes. |
| * | The Barclays U.S. Corporate High Yield Bond Index measures the performance of fixed-rate non-investment grade bonds. |
| ** | The Barclays U.S. Corporate Investment Grade Index measures the performance of investment grade corporate bonds. |
| *** | The Barclays U.S. Mortgage-Backed Securities Index (MBS) is formed by grouping the universe of over 600,000 individual fixed-rate U.S. government agency MBS pools into approximately 3,500 generic types of securities. |
| **** | The S&P 500 Index represents the average performance of a group of 500 widely held, publicly traded stocks. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s and Standard & Poor’s makes no representation regarding the advisability of investing in the product. |
| ***** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. |
| # | The Barclays U.S. High Yield Loan Index incepted in January 2006. This index is not shown in the chart because it does not have 10 years of history and thus an accurate comparison of a $10,000 investment over 10 years cannot be shown. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower.The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
| 2 | Prior to July 3, 2006, the Portfolio, as a high yield fund, invested primarily in “junk bonds”. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
17
Thrivent Opportunity Income Plus Portfolio
Gregory R. Anderson, CFA, Michael G. Landreville, CFA and CPA (inactive) and Conrad Smith, CFA, Portfolio Co-Managers*
Thrivent Opportunity Income Plus Portfolio seeks a combination of current income and long-term capital appreciation.
The Portfolio primarily invests in a broad range of debt 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 adviser. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high yield securities are subject to increased credit risk as well as liquidity risk. Leveraged loans, sovereign debt, and mortgage-related and other asset-backed securities are subject to additional risks. 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. The prices of futures contracts can be highly volatile and the loss from investing in them can exceed the initial investment.
As of August 16, 2013, the Portfolio changed its name from Thrivent Mortgage Securities Portfolio to its current name.
| * | Effective August 16, 2013, Michael G. Landreville and Conrad Smith became Portfolio Co-Managers. |
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Opportunity Income Plus Portfolio generated a return of -1.39%, compared with the median return of its peer group, the Lipper General Bond category, of -0.97%. The Portfolio’s market benchmarks, the Barclays U.S. Mortgage-Backed Securities Index, the Barclays U.S. High Yield Loan Index and the Barclays U.S. High Yield Ba/B 2% Issuer Capped Index, posted returns of -1.41%, 5.39% and 6.23%, respectively.
What factors affected the Portfolio’s performance?
The former Thrivent Mortgage Securities Portfolio changed its name and underwent a significant restructuring on August 16, 2013, to make it less sensitive to interest rate fluctuations while still generating a competitive yield.
Leading up to the restructuring, the Portfolio had approximately 80% of its assets in government agency mortgage-backed securities and 20% in nonagency mortgage-backed securities. The agency securities were under pressure due to rising interest rates and expectations that the Federal Reserve would soon begin paring back its purchases of these securities. It had been buying agency and Treasury securities as part of its quantitative easing program aimed at keeping interest rates low and stimulating the economy.
Upon its restructuring, the Portfolio reduced its allocation to agency mortgage-backed securities to about 20% and added new holdings in the high-yield bond, high-yield bank loan, and investment-grade corporate bond sectors. By year-end, agency mortgage-backed securities and nonagency mortgage-backed securities each accounted for about 10% of the Portfolio.
After posting negative returns prior to the restructuring, the Portfolio generated a positive return of approximately 2.7% after August 16, with high-yield bonds and loans, and corporate bonds all posting gains.
What is your outlook?
The U.S. economy grew at an increasingly fast rate for much of 2013, with gross domestic product (GDP) expanding at a 1.1% annual rate in the first quarter and a 4.1% rate in the third. We anticipate that the economy will continue to improve in 2014, but not dramatically, and that inflation will remain low. An improving economy would likely prompt the Fed to further ratchet down its bond purchases, which it reduced from $85 billion a month to $75 billion in January, creating a headwind for the bond market.
We believe the Portfolio is positioned well for this changing environment. Corporate credit fundamentals remain sound, providing an opportunity for gains in corporate bonds, especially in the high-yield sector. Bank loans also should do well in a rising interest-rate environment, as their yields float with market rates. Barring unforeseen developments in the U.S. or global economies, we feel it would be reasonable to expect Portfolio returns in the low single digits.
18
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| -1.39% | 6.72% | 4.38% |
| ^ | Effective August 2013, the Portfolio’s benchmark indices changed to include the Barclays U.S. High Yield Ba/B 2% Issuer Capped Index and the Barclays U.S. High Yield Loan Index. The Adviser made these benchmark changes because of changes to the Portfolio’s principal investment strategies. It is not possible to invest directly in the Indices shown. The performance of the Indices does not reflect deductions for fees, expenses or taxes. |
| * | The Barclays U.S. Mortgage-Backed Securities Index (MBS) is formed by grouping the universe of over 600,000 individual fixed-rate U.S. government agency MBS pools into approximately 3,500 generic types of securities. |
| ** | The Barclays U.S. High Yield Ba/B 2% Issuer Capped Index covers the USD denominated, non-investment grade, Ba or B rated, fixed-rate, taxable corporate bond market. The Index limits issuer exposures to a maximum 2%, redistributing excess market value index-wide on a pro-rata basis. |
| *** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. |
| # | The Barclays U.S. High Yield Loan Index incepted in January 2006. This index is not shown in the chart because it does not have 10 years of history and thus an accurate comparison of a $10,000 investment over 10 years cannot be shown. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
19
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Partner Technology Portfolio earned a return of 29.01%, compared with the median return of its peer group, the Lipper Science & Technology category, of 27.81%. The Portfolio’s market benchmark, the NASDAQ Composite Index, earned a return of 40.17%.
What factors affected the Portfolio’s performance?
Neither the Lipper category nor the Portfolio kept pace with the unusually strong return for the NASDAQ Composite Index. This was primarily due to the exceptionally strong returns for select companies that held more significant representation in the index than that of the managed portfolios. Google and Microsoft are two examples of companies with strong returns that were under-represented in the Portfolio and its peer group.
Pandora Media, a leading Internet radio service provider, contributed to performance during the year. The outperformance was driven by strong growth in key audience metrics. Listener hours, share of total U.S. radio listening and number of active listeners have all increased from a year ago. The stock was also bolstered by the announcement of a new CEO. In our view, Pandora Media is uniquely positioned to monetize mobile and gain market share within the terrestrial radio market as it grows its active user base. The company’s differentiated business model, first-mover advantage and strong brand recognition, along with a continued shift in ad spend online, should also support sustainable growth.
Rackspace Hosting, a leading provider of managed hosting and cloud computing services, detracted from performance as it reported disappointing results during the year. The slowdown in sales growth highlights the challenges the company is experiencing in gaining traction with its new cloud offering and, more specifically, transitioning large enterprise customers to the new offering. We sold out of our position in Rackspace Hosting during the fourth quarter of 2013 as we realized there are many new entrants into this space, some of which are large, established competitors that we believe could lead to price degradation.
What is your outlook?
Despite strong 2013 performance, we believe U.S. equities have further upside as the U.S. economy accelerates and as real earnings growth serves as a fundamental driver of performance going forward. We believe that U.S. corporate fundamentals remain solid, evidenced by both healthy balance sheets and earnings resilience, and should provide companies with a number of options to increase shareholder value.
20
Average Annual Total Returns1
As of December 31, 2013
| 1-Year | 5-Year | 10-Year | ||
| 29.01% | 21.66% | 5.56% |
| * | The NASDAQ Composite Index is a market capitalization-weighted index of all domestic and foreign securities listed on the NASDAQ Stock Exchange. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
21
 | Thrivent Partner Healthcare Portfolio |
Subadvised by Sectoral Asset Management, Inc.
Thrivent Partner Healthcare Portfolio seeks long-term capital growth.
The Portfolio primarily invests in healthcare companies, which are subject to numerous risks including legislative or regulatory changes and adverse market conditions. 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. 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. The Portfolio is non-diversified, which means that it may invest a greater percentage of its assets in the securities of any single issuer compared with diversified funds.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Partner Healthcare Portfolio earned a return of 31.09%, compared with the median return of its peer group, the Lipper Health/Biotechnology category, of 47.62%. The Portfolio’s market benchmark, the Morgan Stanley Capital International (MSCI) World Healthcare Net Index, earned a return of 36.27%.
What factors affected the Portfolio’s performance?
The key performance factor limiting returns relative to the benchmark and Lipper peers over the past 12 months was stock selection, with an additional negative contribution from holding a modest cash position for liquidity purposes in such a strongly advancing market.
On the stock selection side, performance was negatively impacted by our holdings in two biotechnology companies. Both companies had a product that experienced unexpected safety concerns after the drugs had previously been approved by the FDA. That new information caused significant declines in their stock prices.
In April 2012, Affymax obtained FDA approval for Omontys (for the treatment of anemia), which was taken off the market in February 2013 after a 0.02% rate of death due to hypersensitivity was discovered. Also in December 2012, Ariad Pharmaceuticals obtained FDA approval for Iclusig (for the treatment of blood cancer), which was taken off the market temporarily in October 2013 after the emergence of cardiovascular safety issues. Both of these events were largely unforeseeable as they resulted from the accumulation of significantly more patient safety data than would be typical during clinical development.
What is your outlook?
The outlook for health care is positive based on both long-term fundamentals and recent industry developments. The long-term positive outlook rests upon: global demographic realities (the aging population and their increasing health care needs); the opportunity in emerging markets (where pharmaceutical growth is between 10% and 20% per year compared to low- to mid-single digits in developed markets); and innovation (new treatments for unmet medical needs).
Recent trends have also proven encouraging. First of all, annual new drug approvals are at their highest levels in more than 10 years, providing an encouraging data point relevant to R&D productivity improvement.
Second, sales trends have been improving across the industry with the lapsing of the pharmaceutical generic cliff, stabilization of some medtech end markets, growth in emerging market generic sales and strong performance of some newly launched biotech drugs.
Finally, valuations, following years of multiple contractions, have expanded slightly, but are still attractive. Biotechs, medtechs and generics are trading at forward price/earnings (P/E) multiples in line with their earnings growth rates. Meanwhile, the pharmaceutical segment of the health care industry is trading at a P/E multiple above its growth rate, with an average dividend yield of about 3.5%.
22
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | From Inception | ||
| 31.09% | 15.94% | 11.72% |
| * | The MSCI World Healthcare Index (Gross) is a capitalization-weighted index of selected health care stocks from around the world. The index includes reinvestment of dividends, gross of foreign withholding taxes. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The MSCI World Healthcare Index (Net) is a capitalization-weighted index of selected health care stocks from around the world. The index includes reinvestment of dividends, net of foreign withholding taxes. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. The Adviser believes that this Index is a more appropriate benchmark for the Portfolio. Thus, the MSCI World Healthcare Index (Gross) will not be shown in shareholder reports of the Portfolio for fiscal periods ended December 31, 2014 and beyond (unless the Adviser changes back to this benchmark index). |
| *** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
23
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 primarily invests in natural resource investments, which historically have been very volatile and are subject to risks that particularly affect the precious metals, oil, gas, mining, energy, chemicals, paper, steel or agricultural sectors. REITs are subject to numerous risks and can be affected by interest rates, the values of the properties they own, and the credit quality of mortgage loans they hold. 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 adviser. Small and medium-sized companies often have greater price volatility and less liquidity than larger companies. 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. The Portfolio is non-diversified, which means that it may invest a greater percentage of its assets in the securities of any single issuer compared with diversified funds.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Natural Resources Portfolio earned a return of 9.55%, compared with the median return of its peer group, the Lipper Natural Resources category, of 10.75%. The Portfolio’s market benchmark, the S&P North American Natural Resources Sector Index, earned a return of 16.49%.
What factors affected the Portfolio’s performance?
Relative returns for 2013 were negatively impacted by the Portfolio’s strategic allocation to nonenergy sectors and poor security selection. While 85% of the S&P index is composed of energy issues and the average Lipper peer has a greater than 90% weighting, the Portfolio has a target weighting of 60% in energy. In periods when energy outperforms the other natural resource sectors, as it did so significantly in 2013, performance can be negatively impacted.
Compounding the negative influence of energy was the Portfolio’s strategic exposure to real estate (targeted at 15% to 20%) in the form of yield-focused real estate investment trusts (REITs), which were significant relative underperformers in an environment marked by anticipation of rising interest rates. It is important to note that these allocations, which created such negative volatility in 2013, are not tactical and are not the result of an attempt to anticipate short-term market movements. Rather, they are carefully considered allocations intended to be in place for the foreseeable investment horizon.
We believe our more diversified approach relative to the S&P index and the Lipper peers (the Portfolio also has target exposures to agriculture and materials) is a more appropriate approach for a portfolio intended to reflect commodity market opportunities as a whole, rather than just energy.
More disappointing than the allocation effect in 2013 was the subpar security selection within energy and materials. Within the integrated oils, our positions in Petrobras and BP proved to be value traps, while we were also short the three best performers in the group: Exxon Mobil, Hess and Occidental Petroleum. Our overweighting in coal and metals and mining was also costly, where our value bias once again had us involved too early in names like Peabody Energy, Rio Tinto and Walter Energy. While the relative benefits were mitigated by allocation, the Portfolio did generate solid relative performance in its refining, exploration and equipment investments within energy in names like Valero Energy, EQT and Dril-Quip. Finally, our underweighting in gold mining had a meaningful positive influence on relative performance.
What is your outlook?
By and large, commodity prices are near marginal costs of production and are reasonably valued. Futures curves for West Texas Intermediate oil suggest declining oil prices through 2014, but not dramatically so. Without an expectation of material resource price changes and without broad operational or valuation discrepancies by industry in the energy sector, we believe stock selection will be the most important driver of performance. Exploration and production holdings are low-cost producers, consistent with the modest commodity price landscape. Holdings in other energy industries and materials sectors tend toward higher-quality, conservatively managed enterprises.
24
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | From Inception 4/30/2008 | ||
| 9.55% | 9.11% | -2.11% |
| * | The S&P North American Natural Resources Sector Index is an index of selected U.S. traded natural resource related stocks. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
25
| Thrivent Partner Emerging Markets Equity Portfolio |
Subadvised by Aberdeen Asset Managers Limited
Thrivent Partner Emerging Markets Equity Portfolio seeks long-term capital growth.
The Portfolio primarily invests in emerging markets equities. 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. 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 and may not be able to attain a high growth rate.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Partner Emerging Markets Equity Portfolio earned a return of -7.34%, compared with the median return of its peer group, the Lipper Emerging Markets category, of -1.42%. The Portfolio’s market benchmark, the MSCI Emerging Markets Index, earned a return of -2.27%.
What factors affected the Portfolio’s performance?
Emerging market equities underperformed their developed counterparts by a significant margin in 2013. Notably, concerns over the U.S. Federal Reserve’s planned exit from quantitative easing kept investors on edge for much of the year, prompting capital flight, sharp falls in currencies and monetary tightening. The economic slowdown across the developing world (particularly in the larger economies), at a time when expectations of growth in the developed world were improving, also hurt sentiment.
The Portfolio underperformed the benchmark amidst this challenging backdrop. Currency weakness in markets where we have long-standing overweighted positions had a significant impact on the Portfolio’s performance. The Brazilian real, Indian rupee, Indonesian rupiah, Turkish lira and South African rand were among the emerging market currencies that depreciated the most against the U.S. dollar as capital flows rotated to developed markets. At the stock level, several bank holdings underperformed. Although their earnings met our expectations, their share prices were hit by tapering fears rather than by fundamental issues. However, we are comfortable with our financial holdings, many of which remain well-capitalized and offer good value. Some of our consumer holdings also lagged, owing to tough operating conditions.
What is your outlook?
There are still reasons to remain optimistic about emerging markets’ long-term prospects. Much of the concerns have already been priced in, with the asset class trading at a substantial discount to developed markets.
A repeat of the crisis experienced in the late 1990s is unlikely, given that many emerging markets have improved their balance sheets, built up reserves and have more flexible exchange rate regimes than before. Economies are still in decent shape despite the slowdown, and will likely be supported by any general global upturn. Companies, too, are more profitable and have lower debt compared to their developed market peers. An adjustment process is going on at the country and corporate level, which is ultimately very positive for these markets.
26
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | From Inception | ||
| -7.34% | 18.29% | 4.82% |
| * | The MSCI Emerging Markets Index is a modified capitalization-weighted index of selected emerging economies from around the world. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
27
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 focuses on income-producing equity securities of U.S. real estate companies. Declines in real estate values, changes in interest rates or economic downturns can have a significant negative effect on companies in the real estate industry. Real Estate Investment Trusts are subject to numerous risks and can be affected by interest rates, the values of the properties they own, and the credit quality of mortgage loans they hold. 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 adviser.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Real Estate Securities Portfolio earned a return of 2.18%, compared with the median return of its peer group, the Lipper U.S. Real Estate category, of 1.78%. The Portfolio’s market benchmark, the FTSE NAREIT All Equity REITs Index, earned a return of 2.86%.
What factors affected the Portfolio’s performance?
The yield-to-maturity of 10-year U.S. Treasury notes rose from a low of 1.63% in May to just over 3.00% at the end of December. This 1.50% increase in interest rates during this period was the primary factor impacting real estate investment trust (REIT) stock performance in 2013. Investors preferred the noninterest-rate sensitive sectors, which resulted in fund flows out of REITs during the year. Real estate valuations are negatively affected when interest rates rise meaningfully as investors increase their return requirements for income-producing assets such as real estate, higher-yielding stocks and bonds. As a result, REIT returns were modest in 2013 compared to returns in the general equity market.
Occupancy levels remained steady or improved for all property sectors in 2013, which provided fundamental support for rental rates. With an improving economy typically accompanied by rising interest rates, property sectors that have short-term leases are generally considered the most attractive and somewhat insulated from rising interest rates. This was particularly evident in 2013, with lodging REITs significantly outperforming other property sectors due to their ability to adjust rents daily based on demand. The self-storage property sector also performed well as a result of growing demand for space and its month-to-month lease structure. Retail shopping centers, malls and industrial properties performed well, with minimal new supply and steady improvement in consumer spending and the housing sectors.
The office sector showed strength in the technology and energy sectors, which are expanding and in need of new space. The apartment sector showed some weakness due to an increase in new construction, resulting in slowing rent growth as compared with the strong rent increases during the previous few years.
What is your outlook?
New construction supply is limited in most property types, other than apartments. This should allow real estate owners to maintain or increase occupancy levels in 2014. Rental rates are likely to increase this year, albeit modestly, given the generally weak U.S. economic recovery. Consensus expectations for the REIT industry are for earnings to grow by 7% to 9% in 2014 and, when combined with a 4% dividend yield, could generate attractive total returns if valuations hold or rise from current levels. Risks to our outlook are continued rising interest rates or a weakening U.S. economy that results in downward earnings pressure.
The Portfolio has exposure to companies within each property sector, with the largest concentration in large-capitalization REITs with experienced management teams and quality real estate portfolios. We look for opportunities to add value in all property sectors of the REIT market, and will make adjustments during the year that we believe will benefit Portfolio performance.
28
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| 2.18% | 16.57% | 8.73% |
| * | The FTSE NAREIT All Equity REITs Index is an unmanaged capitalization-weighted index of all equity real estate investment trusts. It is not possible to invest directly in this Index. The performance of this Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
29
 | 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 primarily invests in securities of small companies. Smaller, less seasoned companies often have greater price volatility, lower trading volume, and less liquidity than larger, more established 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.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Partner Small Cap Growth Portfolio earned a return of 41.64%, compared with the median return of its peer group, the Lipper Small Cap Growth category, of 41.22%. The Portfolio’s market benchmark, the Russell 2000® Growth Index, earned a return of 43.30%.
What factors affected the Portfolio’s performance?
During the period, five of the Portfolio’s nine sectors beat their corresponding index sectors on a relative basis. Contributing the most to performance were holdings in the health care sector, while the technology sector detracted the most from results.
The health care sector was an area of strength for the Portfolio. Shares of Acadia Pharmaceuticals rose after it received early approval from the FDA to file an application for its new drug pimavanserin, a treatment for Parkinson’s psychosis. We believe pimavanserin has the potential to become a blockbuster drug as there are currently no FDA-approved treatments for Parkinson’s psychosis in the United States. Shares of NPS Pharmaceuticals also rose as investors have responded favorably to the initial sales of its “orphan” drug Gattex, a treatment for the rare medical condition known as short-bowel syndrome. NPS Pharmaceuticals has exclusivity on Gattex in the U.S. through 2020 and in Europe through 2022.
The technology sector was an area of weakness for the Portfolio. Flash storage provider Fusion-io came under pressure due to weaker-than-expected demand from its clients, increased competition and unexpected management changes. Internet telephony provider BroadSoft suffered from the delayed pickup in enterprise telecommunications spending as it provides Voice over Internet Protocol (VoIP) technology, which is replacing traditional telephony. We elected to sell these positions in the Portfolio and use the assets to invest in more high-conviction names.
What is your outlook?
While we do not expect equity markets to repeat the success of 2013, we do believe they will move higher in 2014, supported by an expanding global economy and an accommodative policy by global central banks. In the U.S., the consumer has gained confidence with improvements in the labor market and an uptick in GDP growth; Europe continues to rebound, and in China we expect to see sustainable growth. We believe equities will be an appealing investment as investors continue to shift out of bonds and into stocks in light of a rising interest rate environment.
30
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| 41.64% | 21.44% | 7.80% |
| * | The Russell 2000® Growth Index is an index comprised of small capitalization companies with a greater than average growth orientation. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
31
| 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 primarily invests in securities of small companies. Smaller, less seasoned companies often have greater price volatility, lower trading volume, and less liquidity than larger, more established 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. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Partner Small Cap Value Portfolio earned a return of 36.76%, compared with the median return of its peer group, the Lipper Small Cap Value category, of 36.12%. The Portfolio’s market benchmark, the Russell 2000® Value Index, earned a return of 34.52%.
What factors affected the Portfolio’s performance?
The Portfolio outperformed the Russell 2000® Value Index due to stock selection and, to a slightly lesser extent, sector allocation.
In the financials sector, the Portfolio benefited from stock selection and a substantially underweighted position relative to the benchmark. Results were driven by investments in commercial banks, notably Home Bancshares—a bank holding company for Centennial Bank—which offers commercial and retail banking services in Arkansas, Florida and Alabama. The bank’s performance over the year was helped by improving margins and stable loan growth.
The information technology sector outperformed its benchmark counterpart, helped by Methode Electronics. Sales of the company’s sensing devices to the automotive industry have led to increased profitability.
The consumer staples sector detracted from results versus the Russell 2000® Value Index, hindered by Alliance One International, which purchases, processes and stores leaf tobacco for sale to tobacco product manufacturers. The company’s share price plunged as delayed shipping orders from previous quarters failed to materialize as anticipated.
The energy sector also weighed on relative performance. Gulf Island Fabrication detracted, hurt by significant losses on a deepwater oil and gas contract and the departure of the company’s CEO due to health concerns.
What is your outlook?
We are cautiously optimistic about U.S. equities due to strong corporate fundamentals and supportive economic data. Improving housing figures and employment trends are signs of strength in the economic recovery.
The small-cap market has appeared frothy in recent months, most notably in the initial public offering (IPO) market. In light of the very strong 2013 gains by small-cap stocks, valuations appear quite high. We have become more defensive by focusing on stocks with more compelling valuations. We have also trimmed longer-term winners, particularly stocks that have appreciated into mid-cap territory. Nevertheless, we are still finding what we believe are good opportunities across sectors.
32
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| 36.76% | 19.77% | 10.73% |
| * | The Russell 2000® Value Index measures the performance of small cap value stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
33
Thrivent Small Cap Stock Portfolio
Matthew D. Finn, CFA, Portfolio Manager*
Thrivent Small Cap Stock Portfolio seeks long-term capital growth.
The Portfolio primarily invests in securities of small companies. Smaller, less seasoned companies often have greater price volatility, lower trading volume, and less liquidity than larger, more established 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 adviser.
| * | Effective March 2013, Matthew D. Finn became the Portfolio Manager. |
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Small Cap Stock Portfolio earned a return of 35.90%, compared with the median return of its peer group, the Lipper Small Cap Core category, of 38.19%. The Portfolio’s market benchmark, the Russell 2000® Index, earned a return of 38.82%.
What factors affected the Portfolio’s performance?
Sector allocation and stock selection hurt the Portfolio’s relative performance early in the period. Underweightings in strong sectors, including technology, health care and consumer discretionary, and an overweighting in the weakest area, utilities, accounted for the negative contribution from sector allocation.
Stock selection was poor in the technology, energy and consumer staples sectors. However, stock selection was positive in the consumer discretionary, materials and financials sectors.
What is your outlook?
A new management team was assigned responsibility for the portfolio on March 31, 2013. We have removed 23 companies from the Portfolio and added 32 new holdings.
Our approach for managing the Portfolio is to add value through stock selection, and we have reduced the differences in sector and industry group weightings versus the benchmark. By purchasing what we view as advantaged companies at prices that allow attractive expected returns, we expect the Portfolio to outperform its peers and benchmark over time.
With the changes we made during the period, we believe overall risk in the Portfolio has been reduced and return potential has been increased.
As we move forward, we remain constructive on the backdrop for equities in 2014 despite strong returns over the past 12 months. Continued gradual improvement in the U.S. economy, coupled with prospects for some growth in Europe, could lead to solid corporate earnings growth. We believe this backdrop will allow equities to move higher despite somewhat elevated valuation levels.
The beauty of the small-cap market is that it always provides opportunities to identify and invest in companies that have sustainable competitive advantages, regardless of the macro environment. By employing our consistent process of rigorous fundamental research to this universe of stocks, we believe we can find quality companies that are executing well at valuation levels that provide 30% to 50% upside over our two- to three-year investment horizon.
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Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| 35.90% | 16.22% | 7.64% |
| * | The Russell 2000® Index measures the performance of small cap stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Thrivent Small Cap Index Portfolio
Kevin R. Brimmer, FSA, Portfolio Manager
Thrivent Small Cap Index Portfolio strives for capital growth that tracks the performance of the S&P SmallCap 600 Index.
The Portfolio primarily invests in small company common stocks. Smaller, less seasoned companies often have greater price volatility, lower trading volume, and less liquidity than larger, more established companies. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Small Cap Index Portfolio earned a return of 40.83%, compared with the median return of its peer group, the Lipper Small Cap Core category, of 38.19%. The Portfolio’s market benchmark, the S&P SmallCap 600 Index, earned a return of 41.31%.
What factors affected the Portfolio’s performance?
The Portfolio seeks to align its holdings with those of the S&P SmallCap 600 Index. As typically occurs in an index fund, the difference in performance between the benchmark index and the Portfolio can largely be attributed to expenses and minor differences in portfolio composition.
Small-cap stocks outperformed both large- and mid-cap stocks over the reporting period. Small-cap stocks tend to outperform during low volatility, risk-on market environments.
All of the sectors within the small-cap market posted positive returns for the year. Health care, consumer discretionary and information technology were the best performing sectors in the market over the past 12 months, posting the strongest returns. The financials, utilities and telecommunications services sectors delivered the lowest, although still positive, returns for the 12-month period.
What is your outlook?
Although small-cap stocks outperformed both large- and mid-cap stocks for the past year, all major domestic equity markets provided excellent returns. Worldwide, central banks continue to provide monetary stimulus, while profit margins remain strong and policy risks have been reduced. Market multiples still have the potential to expand, even with slightly higher interest rates, but valuations appear full. We believe the dollar is fairly valued against other major currencies.
In the absence of negative economic surprises, we think that stocks can continue to advance, although valuation premiums in small-cap stocks would suggest returns going forward will be more moderate than in the most recent period.
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Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| 40.83% | 20.96% | 10.32% |
| * | The S&P SmallCap 600 Index is an index that represents the average performance of a group of 600 small capitalization stocks. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses and taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Thrivent Mid Cap Growth Portfolio
Andrea J. Thomas, CFA, Portfolio Manager
Thrivent Mid Cap Growth Portfolio seeks long-term growth of capital.
The Portfolio primarily invests in securities of mid-sized companies, which often have greater price volatility, lower trading volume, and less liquidity than larger, more established 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 adviser.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Mid Cap Growth Portfolio earned a return of 30.45%, compared with the median return of its peer group, the Lipper Mid Cap Growth category, of 36.82%. The Portfolio’s market benchmark, the Russell Midcap® Growth Index, earned a return of 35.74%.
What factors affected the Portfolio’s performance?
The Portfolio was up strongly on an absolute basis, but underperformed its peers and market benchmark on a relative basis. This was primarily the result of owning fewer high-multiple, high-growth, momentum-driven names that were boosted by liquidity provided from the Federal Reserve. Despite this liquidity, there was a dearth of economic growth worldwide.
Due to this, investors flocked into a relatively narrow list of stocks that had revenue growth, without regard for valuations. Most of the underperformance occurred in the second quarter of 2013, a period in which investors were willing to pay astronomical multiples for seemingly strong organic-growth companies. At the same time, because of the relative weakness of the world economy, companies with a cyclical bias experienced multiple compressions. We have had a bias against the former (extremely high valuations) and toward the latter (more cyclically sensitive, but with attractive valuations) as our experience shows that the latter group will ultimately be the source of sustainable excess returns.
Since mid-year 2013, we have seen a discernible shift on the part of investors away from the select group of highly valued, momentum-driven stocks into later cycle stocks, and this aided relative performance late in the period.
What is your outlook?
We are starting to see the “growth at any price” strategy that has been working for the past two years wane and a rotation beginning to occur. This rotation is toward later-cycle economic growth, and we have positioned the portfolio to take advantage of this move.
We have been very consistent with our strategy of buying growth companies while being cognizant of the valuations of these names. While this limited returns relative to the benchmark early in the period, we believe the rotation in relative performance that began in the third quarter is likely to persist. As we have witnessed in the past, once this begins, these rotations can be very swift.
We continue to buy what we believe are well-managed companies with sustainable growth trajectories and good balance sheets at reasonable prices. Although we believe overall market multiples could expand if the Fed continues its quantitative easing program, we do not believe extreme valuations on a very narrow list of names are ultimately sustainable. As the market broadens out, we expect to outperform our peers.
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Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| 30.45% | 21.96% | 9.87% |
| * | The Russell Midcap® Growth Index measures the performance of mid cap growth stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
39
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Partner Mid Cap Value Portfolio earned a return of 32.74%, compared with the median return of its peer group, the Lipper Mid Cap Value category, of 35.87%. The Portfolio’s market benchmark, the Russell Midcap® Value Index, earned a return of 33.46%.
What factors affected the Portfolio’s performance?
During the year, stock selection within the financials sector contributed to performance, while stock selection in the information technology sector detracted from results.
Over the reporting period, ING U.S. was the top contributor to performance. ING U.S. became publicly available during the second quarter of 2013 as part of a 2008 bailout agreement entered into by its Dutch parent company, ING Groep. We believed the offering share price of the life insurance and retirement product provider was attractive given the then-current level of returns. In our view, the stock has benefited from continued optimism for an increase in interest rates. ING also continues to divest problematic legacy businesses, while focusing on the growth of its more profitable lines of business. As evidenced by its strong rates of return for the nine months ended in September, we continue to believe management’s expectations regarding capital ratios and return on equity have created a favorable risk/reward opportunity.
Digital Realty Trust, a real estate investment trust that specializes in data storage centers, was the top detractor from performance over the reporting period. Its shares came under pressure given investor concerns over supply/demand imbalances in some of its key markets. Shares also traded lower after management announced an accounting change, which caught investors by surprise. At the time, we believed these concerns were unwarranted given that the accounting change had minimal impact on earnings. We also believe Digital Realty Trust benefits from owning a diversified portfolio of data centers with high barriers to entry and high-quality tenants.
What is your outlook?
Despite strong 2013 performance, we believe U.S. equities have further upside as the U.S. economy accelerates and as real earnings growth serves as a fundamental driver of performance going forward. We believe that U.S. corporate fundamentals remain solid, evidenced by both healthy balance sheets and earnings resilience, which should provide companies with a number of options to increase shareholder value.
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Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | From Inception 4/29/2005 | ||
| 32.74% | 19.40% | 9.35% |
| * | The Russell Midcap® Value Index is an index comprised of mid-cap companies with lower than average price-to-book ratios and lower forecasted growth values. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment
will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent. com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent. com.
41
Thrivent Mid Cap Stock Portfolio
Brian J. Flanagan, CFA, Portfolio Manager
Thrivent Mid Cap Stock Portfolio seeks long-term capital growth.
The Portfolio primarily invests in securities of mid-sized companies, which often have greater price volatility, lower trading volume, and less liquidity than larger, more established 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 adviser.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Mid Cap Stock Portfolio earned a return of 35.50%, compared with the median return of its peer group, the Lipper Mid Cap Core category, of 33.13%. The Portfolio’s market benchmark, the Russell Midcap® Index, earned a return of 34.76%.
What factors affected the Portfolio’s performance?
Strong returns within the information technology and industrial sectors offset weak returns within the energy and health care sectors. The information technology sector performance was broad-based as semiconductor, IT services and Internet software stocks contributed to the significant outperformance. Oshkosh led the industrial sector, as productivity improvements combined with solid end markets increased the company’s earnings. Southwest Airlines also contributed to the industrial sector’s performance as a focus on return-on-invested capital versus market share improved returns.
Within the energy sector, Alpha Natural Resources suffered through a declining coal market driven by tougher regulations, increased international supply, and higher natural gas competition. Drillers Patterson-UTI Energy and Ensco were victims of pending capacity additions outpacing demand. Finally, the Portfolio’s health care returns were held back by Thoratec, which faced increasing competition and safety concerns in its core market.
What is your outlook?
While valuation spreads have narrowed significantly, worldwide central banks continue to provide prodigious stimulus to the global economy, and profit margins remain strong. We believe this backdrop requires a balanced approach. The Portfolio’s focus remains heavily weighted toward security selection with an equal emphasis on growth and valuation. As valuations continue to rise and growth factors gain prominence within our analysis, we anticipate holding somewhat smaller position sizes and more stocks.
Semiconductor valuations remain attractive while, at the same time, inventories are low and unit deliveries are below long-term demand—characteristics that should provide attractive returns. We expect the Portfolio will continue to be overweighted in financial stocks that will benefit from rising rates, as Fed tapering is more a question of when than if.
Most corporations remain tight-fisted with expansionary capital, continue to generate significant cash flow and do not require bank loans to expand their businesses. However, as confidence slowly increases and businesses expand once again, the combination of increased loan demand and rising interest rates should benefit regional banks.
Overall, market multiples still have the potential to expand—even with slightly higher interest rates that are anticipated to accompany an improving economy. Given the central banks’ actions around the world, an improving worldwide economy seems likely. However, as valuations continue to move higher and worldwide economies move deeper into an expansionary phase, risks to stocks will increase. In this environment, improving margins and returns will be more important than simply cheap valuations. As previously mentioned, we will balance this risk with more holdings and somewhat smaller position sizes.
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Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| 35.50% | 20.45% | 9.40% |
| * | The Russell Midcap® Index is an index that measures the performance of the smallest 800 securities in the Russell 1000® Index, as ranked by total market capitalization. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
43
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.
The Portfolio primarily invests in mid-sized company stocks, which often have greater price volatility, lower trading volume, and less liquidity than stocks of larger, more established companies. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Mid Cap Index Portfolio earned a return of 32.92%, compared with the median return of its peer group, the Lipper Mid Cap Core category, of 33.13%. The Portfolio’s market benchmark, the S&P MidCap 400 Index, earned a return of 33.50%.
What factors affected the Portfolio’s performance?
The Portfolio seeks to align its holdings with those of the S&P MidCap 400 Index. As typically occurs in an index fund, the difference in performance between the benchmark index and the Portfolio can largely be attributed to expenses and minor differences in portfolio composition.
Mid-cap stocks underperformed small-cap stocks over the reporting period, but outperformed large-cap stocks as large caps tend to underperform during low volatility, risk-on market environments.
All of the sectors within the mid-cap market posted positive returns for the year. Health care, industrial and consumer discretionary were the best performing sectors in the market over the past 12 months, posting the strongest returns. The financials, materials and telecommunications services sectors delivered the lowest, although still positive, returns for the 12-month period.
What is your outlook?
Although mid-cap stocks underperformed small-cap stocks for the past year, all major domestic equity markets provided excellent returns. Worldwide, central banks continue to provide monetary stimulus, while profit margins remain strong and policy risks have been reduced. Market multiples still have the potential to expand, even with slightly higher interest rates, but valuations appear full. We believe the dollar is fairly valued against other major currencies.
In the absence of negative economic surprises, we think that stocks can continue to advance, although valuation premiums in mid-cap stocks would suggest returns going forward will be more moderate than in the most recent period.
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Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| 32.92% | 21.29% | 9.90% |
| * | The S&P MidCap 400 Index is an index that represents the average performance of a group of 400 medium capitalization stocks. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
45
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Partner Worldwide Allocation Portfolio earned a return of 16.31%, compared with the median return of its peer group, the Lipper International Core category, of 20.75%. The Portfolio’s market benchmark, the MSCI All Country World ex-USA Index, returned 15.78%.
What factors affected the Portfolio’s performance?
The Portfolio has allocations in developed markets, including large-cap as well as mid- and small-cap Europe, Asia and Australia markets. We also maintain an allocation in emerging markets debt and equities. Within those categories, the developed market segments outperformed the emerging segments by a significant margin, although the emerging market debt segment did not perform as well as the equity segment. Most of the Portfolio’s component managers did well versus their respective benchmarks, achieving particularly good relative returns in the large-cap growth and value segments of the portfolio. The emerging market managers did not perform as well as their segments.
What is your outlook?
Equity markets have seen a sharp recovery over the period with particular strength in the developed market segments, after several years of underperforming the U.S.
Europe has been in an extended period of unusually low growth and fiscal instability for some time and entered a modest recession in 2012. Data suggests those economies are beginning to recover and the fiscal imbalances are improving.
Generally, however, equity markets outside the U.S. are selling for below-average valuations versus their respective histories, and we believe they present interesting valuation opportunities. Emerging markets, while statistically undervalued, appear to continue to be facing economic headwinds related to both the extended commodity over investment cycle and uncertainty related to growth in the Chinese economy. We are monitoring the situation in emerging markets equities, but have not yet increased our position.
46
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | From Inception 4/30/2008 | ||
| 16.31% | 12.62% | 1.75% |
| * | The MSCI All Country World ex-USA Index is an unmanaged market capitalization-weighted index that is designed to represent the performance of developed and emerging stock markets throughout the world. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
47
| 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.
The Portfolio primarily invests in common stocks. 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 and may not be able to attain a high growth rate.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Partner All Cap Portfolio earned a return of 32.85%, compared with the median return of its peer group, the Lipper Multi-Cap Core category, of 29.51%. The Portfolio’s market benchmark, the Russell 3000® Index, earned a return of 33.55%.
What factors affected the Portfolio’s performance?
Security selection in the financials and health care sectors contributed the most to relative performance. In the financials sector, overweightings in financial services provider Ameriprise Financial and insurer Prudential Financial were key contributors to relative performance.
Shares of Ameriprise Financial advanced significantly as the company released multiple quarterly earnings reports that beat market expectations, driven by strong performance in its asset management business, growth in client acquisition and increased advisor productivity.
Prudential Financial shares also rose substantially as the company posted several quarterly earnings that were higher than Wall Street expectations. The company attributed its results to strong performance in its U.S. retirement solutions and investment management business segment and benefits from its acquisition of Hartford Financial’s life insurance operations.
Among health care stocks, overweightings in generic drug maker Valeant Pharmaceuticals and biopharmaceutical company Gilead Sciences were key contributors to relative performance. Valeant Pharmaceuticals shares advanced dramatically as the company announced multiple quarterly earnings that were higher than analysts’ expectations, owing to sales of its drug Lidoderm, an after-shingles pain reliever. The company also made acquisitions of global eye care company Bausch & Lomb, skin care specialty pharmaceutical firm Obagi Medical Products and medical device company Solta Medical. Shares of Gilead Sciences rose as the company announced better-than-expected quarterly earnings, owing to strong sales of its newer HIV drugs Stribild and Complera.
What is your outlook?
Looking forward to 2014, we believe the U.S. economy will gradually improve and see a variety of reasons for dispersions to exist. We believe that valuations in the large-cap asset class are still not overly expensive given historical levels and where we are in the cycle. While valuations are important, we are focused on looking for fundamental changes, which ultimately drive short- and medium-term moves in stocks and the market.
48
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| 32.85% | 16.74% | 8.75% |
| * | The Russell 3000® Index is an index comprised of the 3,000 largest U.S. companies based on market capitalization. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
49
Thrivent Large Cap Growth Portfolio
David C. Francis, CFA, Portfolio Manager
Thrivent Large Cap Growth Portfolio seeks long-term growth of capital.
The Portfolio primarily invests in securities of large companies, which may be unable to respond quickly to new competitive challenges and may not be able to attain a high growth rate. 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 adviser. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Large Cap Growth Portfolio earned a return of 36.14%, compared with the median return of its peer group, the Lipper Large Cap Growth category, of 34.39%. The Portfolio’s market benchmark, the Russell 1000® Growth Index, earned a return of 33.48%.
What factors affected the Portfolio’s performance?
The Portfolio’s results were favorably impacted compared with its benchmark by good stock selection in the information technology (IT), health care and industrials sectors. Mitigating some of the outperformance were a small cash position held for liquidity and transaction purposes and subpar stock selection in the materials and consumer discretionary groups.
Holdings in Facebook and Google were the lead contributors to results in the technology group, with additional performance support from holdings in Visa and MasterCard in the IT services industry and Texas Instruments in the semiconductor industry. However, Apple, which had previously provided excellent returns, declined in the period as concerns surfaced relative to the sustainability of its still strong organic growth and competitive positioning. VMware and Citrix Systems also limited returns in the software sector.
Holdings in biotechnology and health care equipment industries as well as specialty pharmaceutical company Shire Pharmaceuticals provided superior results in the health care sector. In the industrials sector, Jacobs Engineering and Parker-Hannifin provided excellent results.
In consumer discretionary, specialty retail holdings Sally Beauty and AutoZone performed below their respective groups and the market, detracting from returns.
What is your outlook?
The market has advanced strongly over the past 18 months, largely on the basis of expanding valuations in the form of higher price/earnings (P/E) ratios. After recovering sharply from the financial crisis, earnings growth has advanced. We believe it will continue to do so, but at a more moderate pace, consistent with a tepid-but-sustained recovery. Economic growth could accelerate with employment growth, sustained recovery in housing and moderation of the fiscal drag implicit in a declining deficit. Monetary policy is expected to remain accommodative well into 2014.
That said, valuations are full and profits margins have likely peaked for the cycle, so incremental growth will be challenging. There are signs of recovery in Europe, which could be an additional economic tailwind. Despite the challenges for growth, both domestically and globally, we must remain invested and continue to emphasize companies with strong management, sound business models and organic growth with a multiyear investment horizon, as we believe those attributes are consistent with superior excess returns. Of late, we are finding a number of interesting investment opportunities in large-capitalization companies domiciled outside the U.S. and are selectively taking positions in them.
50
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| 36.14% | 19.20% | 7.20% |
| * | The Russell 1000® Growth Index measures the performance of large cap growth stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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 | Thrivent Partner Growth Stock Portfolio |
Subadvised by T. Rowe Price Associates, Inc.
Thrivent Partner Growth Stock Portfolio seeks long-term growth of capital and, secondarily, to increase dividend income.
The Portfolio primarily invests in common stocks. 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. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Partner Growth Stock Portfolio earned a return of 38.84%, compared with the median return of its peer group, the Lipper Large Cap Growth category, of 34.39%. The Portfolio’s market benchmark, the S&P 500/Citigroup Growth Index, earned a return of 32.75%.
What factors affected the Portfolio’s performance?
Overall, stock selection was the overwhelming reason for relative outperformance, but sector weightings also helped. Six of the Portfolio’s sectors outperformed the S&P 500/Citigroup Growth Index for the year.
Consumer discretionary was the leading relative outperformer, primarily due to stock selection, but a significant overweighting also helped. Shares of online travel company priceline.com benefited from increased travel-related spending, particularly on rental cars through its subsidiary, rentalcars.com. Tesla Motors, which produces fully electric luxury autos, reported quarterly earnings and production figures in May that far exceeded analyst expectations.
Information technology was a robust outperformer, driven by stock selection. Internet giant Google contributed strongly, benefiting from the popularity of smartphones running on its Android operating system and on higher advertising sales. Global payment network MasterCard saw gains from better cost controls and an increase in consumer credit card use outside the United States.
Health care contributed positively on stock selection as our biotechnology industry holdings strongly outperformed. Gilead Sciences benefited from broader approval of its HIV treatment, Stribild, notably in Europe.
Telecommunications services was the leading relative detractor, due to a detrimental overweighting and stock selection. Rising interest rates hurt communication tower companies, including Crown Castle International, as investors turned to lower-risk securities.
The industrials and business services sector underperformed due to stock selection. Praxair, a producer of industrial gases, lagged the overall sector due to currency-exchange headwinds.
What is your outlook?
Equities were driven higher in 2013 as investors moved out of safer assets and into riskier areas of the market. We see a continuation of this trend as we move into 2014, although on a more moderate scale. We are generally optimistic about the environment for equities. As long as interest rates do not rise too precipitously in the coming months, we believe large-cap growth stocks can perform well. While a moderate correction in equities is always a possibility, we do not anticipate a significant sell off. The Portfolio is well-positioned to participate in the ongoing bull market.
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Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| 38.84% | 22.07% | 8.53% |
| * | The S&P 500/Citigroup Growth Index is a capitalization-weighted index comprised of the highest price-to-book ratio securities in the S&P 500 Index. The S&P 500/Citigroup Growth Index is designed so that approximately one-half of the S&P 500 Index market capitalization is characterized as “value” and the other half as “growth.” The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
53
Thrivent Large Cap Value Portfolio
Kurt J. Lauber, CFA, Portfolio Manager*
Thrivent Large Cap Value Portfolio seeks long-term growth of capital.
The Portfolio primarily invests in securities of large companies, which may be unable to respond quickly to new competitive challenges a may not be able to attain a high growth rate. 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 adviser. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards.
| * | Effective March 2013, Kurt J. Lauber became the Portfolio Manager. |
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Large Cap Value Portfolio earned a return of 31.82%, compared with the median return of its peer group, the Lipper Large Cap Value category, of 32.93%. The Portfolio’s market benchmark, the Russell 1000® Value Index, earned a return of 32.53%.
What factors affected the Portfolio’s performance?
Stock selection was strong in consumer discretionary, financials, energy and materials, and negative in health care. In consumer discretionary, Delphi Automotive, an auto parts company, and Lowe’s Companies, a home improvement retailer, were the largest contributors to performance.
The process for selecting shares of Lowe’s Companies is a good illustration of our value investment approach. Due to a decline in the housing market and slow recovery in the economy, consumers put off home improvements and the renovation of homes for sale or after purchase. Under these conditions, Lowe’s was underearning. However, home improvement companies have historically provided good returns due to fewer competitors and less cannibalization from online shopping compared to other retailers. Additionally, retailers that slow square footage and introduce new initiatives tend to achieve improved returns. Lowe’s slowed store builds, initiated a strategic review of all products and is now benefiting from these initiatives and the recovery in home improvement spending.
In the financial sector, State Street, Bank of America and SVB Financial Bank were the best performers. Stock selection continued to be strong in the energy exploration and production sector with EOG Resources and EQT. Both companies have used new drilling techniques in the U.S. to discover more oil and gas than investors expected and at a lower cost.
Health care was the Portfolio’s weakest area of stock selection. Merck had some potential pharmaceutical products fail during late-stage testing and a few products delayed by the FDA, as well as unexpected weakness in its Januvia franchise that put pressure on shares. The Portfolio continues to hold the stock due to a new head of R&D, announced restructuring and new products in the area of cancer treatment.
What is your outlook?
Market valuations are now relatively full. While we believe the market advance can continue, we think it is unlikely that we will repeat the very strong returns of 2013. Economic growth is expected to modestly improve into 2014; should that be the case, it would support further gains in revenues and earnings in the mid-single-digit area—a level we think is a good proxy for the equity market opportunity in 2014.
While never easy, stock selection will become more difficult now that valuation spreads have compressed in most sectors. The largest area of overweight is technology, where valuation spreads remain wide, especially for companies perceived to face secular or long-term challenges, like Cisco Systems, Symantec, NetApp, Oracle and Teradata. However, good-return companies, which are priced at free cash-flow yields that predict no or slow growth, have products or company-specific initiatives that we believe address and overcome secular risks.
In energy, Total has replaced BP as the largest-weighted company. After years of refocus and reinvestment in operations, we believe Total is in a position to provide the best growth among large integrated oil companies with the lowest valuation.
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Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| 31.82% | 15.42% | 7.40% |
| * | The Russell 1000® Value Index measures the performance of large cap value stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
55
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.
The Portfolio primarily invests in securities of large companies, which may be unable to respond quickly to new competitive challenges and may not be able to attain a high growth rate. 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 adviser. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards.
| * | Effective March 2013, Kurt J. Lauber became a Portfolio Co-Manager. |
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Large Cap Stock Portfolio earned a return of 29.60%, compared with the median return of its peer group, the Lipper Large Cap Core category, of 32.79%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 32.39%.
What factors affected the Portfolio’s performance?
Stock selection was the primary factor in the Portfolio’s underperformance compared with its benchmark, although absolute returns were quite strong. Early in the period, underperformance in select holdings in the materials, consumer discretionary and technology sectors limited the Portfolio’s participation in the market advance. Specifically, holdings in Sally Beauty and AutoZone in specialty retail, and Time Warner in media, underperformed.
In health care, holdings in pharmaceutical companies Merck and Eli Lilly did not keep pace, but that was mitigated by good returns in the Portfolio’s holdings in Shire Pharmaceuticals and biotech companies Gilead Sciences and Biogen Idec.
We experienced good returns in our holdings in the energy sector. In particular, our holding in Weatherford International performed quite well, as did a position in EOG Resources. In the industrial segment of the Portfolio, holdings in United Technologies and Honeywell International outperformed, as did Jacobs Engineering and Parker-Hannifin. Apple in the technology sector underperformed as concerns emerged about competitive products and slowing organic growth. A timely purchase of Facebook in the second quarter prior to a significant improvement in earnings and subsequent surge in the stock significantly added to results late in the period. Portfolio performance improved significantly in the second half of the period.
What is your outlook?
The market has advanced strongly over the past 18 months, largely on the basis of expanding valuations in the form of higher P/E ratios. After recovering sharply from the financial crisis, earnings growth has advanced, and we believe will continue to do so, but at a more moderate pace, consistent with a tepid, but sustained, recovery. Economic growth could accelerate with employment growth, sustained recovery in housing and moderation of the fiscal drag implicit in a declining deficit. Monetary policy is expected to remain accommodative well into 2014.
That said, valuations are full and profit margins have likely peaked for the cycle, so incremental growth will be challenging. There are signs of recovery in Europe, which could be an additional economic tailwind. Despite the challenges for growth, both domestically and globally, we must be invested and continue to emphasize companies with strong management, sound business models, organic growth and multiyear investment horizons. We believe those attributes are consistent with superior excess returns. Of late, we are finding a number of interesting investment opportunities in large-capitalization companies domiciled outside the U.S. and are selectively taking positions in those situations.
56
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| 29.60% | 14.97% | 5.59% |
| * | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
57
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.
The Portfolio primarily invests in large company common stocks. Large companies may be unable to respond quickly to new competitive challenges and may not be able to attain a high growth rate. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Large Cap Index Portfolio earned a return of 31.81%, compared with the median return of its peer group, the Lipper S&P 500 Index Objective category, of 31.87%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 32.39%.
What factors affected the Portfolio’s performance?
The Portfolio seeks to align its holdings with those of the S&P 500 Index. As typically occurs in an index fund, the difference in performance between the benchmark index and the Portfolio can largely be attributed to expenses and minor differences in portfolio composition.
Large-cap stocks underperformed small- and mid-cap stocks over the reporting period, as they tend to do during low volatility, risk-on market environments. However, all of the sectors within the large-cap market posted positive returns for the year. Consumer discretionary, health care and industrials were the best performing sectors in the market over the past 12 months, posting the strongest returns. Energy, utilities and telecommunications services delivered the lowest, although still positive, returns for the 12-month period.
What is your outlook?
Although large-cap stocks underperformed both mid- and small-cap stocks for the past year, all major domestic equity markets provided excellent returns. Worldwide, central banks continue to provide monetary stimulus, while profit margins remain strong and policy risks have been reduced. Market multiples still have the potential to expand, even with slightly higher interest rates, but valuations appear full. We believe the dollar is fairly valued against other major currencies. Large-cap companies appear to offer better valuations relative to mid- and small-cap stocks.
58
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| 31.81% | 17.51% | 7.07% |
| * | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial for Lutherans. The product is not sponsored, endorsed or promoted by Standard & Poor’s and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
59
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 primarily invests in high-yield, high-risk bonds, notes, debentures and other debt obligations, or preferred stocks. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high yield securities are subject to increased credit risk as well as liquidity risk. Bond prices generally fall as interest rates rise. Leveraged loans are subject to numerous risks, including liquidity, credit, declines in the value of collateral underlying them, and detrimental legal actions against them. 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 adviser. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent High Yield Portfolio earned a return of 6.91%, compared with the median return of its peer group, the Lipper U.S. High Current Yield category, of 6.60%. The Portfolio’s market benchmark, the Barclays U.S. Corporate High Yield Bond Index, earned 7.44%.
What factors affected the Portfolio’s performance?
Accelerating economic growth and demand for yield among fixed-income investors created a favorable environment for high-yield bonds in 2013. A dearth of opportunities in the investment-grade sector of the market also helped. For example, yields for Treasury bonds and investment-grade corporate bonds were low during the first four months of the year, sending many investors looking for better opportunities elsewhere. Those sectors then came under strong selling pressure when the Federal Reserve announced that it was thinking about paring back its quantitative easing bond-buying program, which had been helping to support prices.
By the end of the year, investor demand had shrunk yields in the high-yield sector to about 380 basis points over comparable-maturity Treasuries, down from 511 at the start of the year. Default rates remained low, however.
The Portfolio outperformed its Lipper peer group in part because the Portfolio was nearly fully invested, holding only about 1% or less of its assets in cash. That compared with a 4% to 6% allocation to cash for the typical peer fund.
Bonds issued by transportation, media, metals and gaming companies were among the Portfolio’s top performers, with transportation issues earning about 22% before expenses.
Performance relative to the peer group was tempered by a slight underweighting in the riskiest segments of the high-yield market, which were among the year’s top performers, and a slight overweighting in less-risky sectors that did not perform as well. Returns for higher-risk CCC-rated bonds averaged about 14% for the year, for example, while returns for less risky BB-rated bonds were about 5%.
The Portfolio’s underperformance relative to its Barclays benchmark was attributable in part to the Portfolio having a greater allocation to more liquid securities, which generally underperformed the broader high-yield market. It also was influenced by the absence of trading and operating expenses for the benchmark.
What is your outlook?
Continued economic growth and healthy corporate balance sheets should create a favorable environment for the high-yield sector again in 2014, despite the likelihood that longer-term interest rates could rise modestly as the Fed pares back its bond-buying program.
We anticipate continued modest tightening of spreads relative to Treasury securities, which should allow the high-yield sector to generate returns in the mid-single-digit range, perhaps a percentage point or two below the results achieved in 2013.
60
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| 6.91% | 16.44% | 8.17% |
| * | The Barclays U.S. Corporate High Yield Bond Index is an index which measures the performance of fixed-rate non-investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
61
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 primarily invests in investment-grade corporate bonds, government bonds, asset-backed securities and mortgage-backed 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 adviser. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high yield securities are subject to increased credit risk as well as liquidity risk. The value of mortgage-related and other asset-backed securities will be influenced by the factors affecting the housing market and the assets underlying such securities. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards. The prices of futures contracts can be highly volatile and the loss from investing in them can exceed the initial investment.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Income Portfolio generated a return of -0.07%, compared with the median return of its peer group, the Lipper Corporate Debt Funds BBB-Rated category, of -1.59%. The Portfolio’s market benchmark, the Barclays U.S. Aggregate Bond Index, posted a return of -2.02%.
What factors affected the Portfolio’s performance?
Since the 2008 financial crisis, the Federal Reserve has engaged in a series of bond-buying programs designed to keep interest rates low and stimulate the economy. During 2013, concern that the Fed would pare back its latest program unsettled the fixed-income markets, driving prices for investment-grade securities lower and bond yields higher. The impact was most pronounced in the Treasury market, where long-term Treasury bonds posted double-digit losses.
The Portfolio nonetheless outperformed its benchmark and peer group, largely due to its higher allocations to better-performing corporate bonds and lower allocations to Treasuries. Its corporate bonds posted a return of 0.6% for the year, while its Treasury holdings lost 6.9%. Within the corporate sector, a higher allocation to financial issues, which generated a 1.6% return, also helped the Portfolio outperform its peers.
Leveraged loans also made a positive contribution in 2013, as their floating yields allowed them to do well in a rising rate environment. They generated a return of 5.5%.
Elsewhere, high-yield corporate bonds earned 4.1%. While helpful on an absolute basis, that performance slightly lagged the returns posted by popular high-yield bond indexes. The indexes generally had higher allocations to the most risky securities with the highest yields, which proved most attractive to yield-hungry investors.
Government agency mortgage-backed securities, which were among the bonds targeted in the Fed’s bond-buying program and could suffer if that program were scaled back, posted a loss of 2.4%. Nonagency residential mortgage securities earned 19.8%, helped by the improving economy and housing market, but represented just 1% of the Portfolio’s total holdings.
What is your outlook?
We anticipate that the U.S. economy will demonstrate slow but steady growth again in the year ahead. Encouraged by this momentum, the Fed did begin tapering its bond-buying program in January 2014, and could reduce it further if the economy continues to do well.
Assuming that happens, we anticipate that longer-term interest rates will move modestly higher in 2014, while short-term rates remain near historic lows. This should create a moderately positive environment for corporate bonds which, despite less compelling valuations than were available at the start of 2013, should still outperform Treasuries again. Overall, we expect returns for the Portfolio to be roughly comparable to those posted in 2013.
62
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| -0.07% | 9.72% | 5.21% |
| * | The Barclays U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Michael G. Landreville, CFA and CPA (inactive), Portfolio Manager
Thrivent Bond Index Portfolio strives for investment results similar to the total return of the Barclays U.S. Aggregate Bond Index.
The Portfolio primarily invests in investment-grade bonds and other debt securities. The value of the Portfolio is influenced by factors impacting the overall market, the debt market in particular, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment adviser. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt. The value of mortgage-related and other asset-backed securities will be influenced by the factors affecting the housing market and the assets underlying such securities.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Bond Index Portfolio generated a return of -2.47%, compared with -2.02% for the Portfolio’s market benchmark, the Barclays U.S. Aggregate Bond Index.
What factors affected the Portfolio’s performance?
In seeking to track the performance of its benchmark, the Portfolio invests across many sectors of the fixed-income market, most of which were adversely affected by a sharp increase in interest rates beginning in May.
The rate increase was attributable to investor concerns that the Federal Reserve would begin to pare back or “taper” its quantitative easing program after then Fed Chairman Ben Bernanke indicated that was a possibility if the economy continued to show signs of sustainable growth. Under that program, the Fed was buying $85 billion of Treasury bonds and mortgage-backed securities each month to help keep interest rates in check and stimulate the economy.
Although the Fed did not announce an actual cutback in its policy until December 2013, which was to take effect in January, many fixed-income investors promptly sold Treasury bonds anyway. This sell off drove bond prices down and interest rates up, particularly at the long end of the yield curve. From May 1 through September 6, for example, the yield on the 10-year Treasury bond jumped from 1.63% to 2.99%, before finishing the year at 3.03%.
The Treasury sector posted some of the fixed-income market’s worst results, with 10-year Treasuries generating a return of -7.81% and 30-year Treasuries losing 15.03%.
Other sectors of the fixed-income market generally outperformed equivalent-maturity Treasuries, but still generated negative returns. Within the Barclays U.S. Aggregate Bond Index, for example, corporate bonds lost 1.53%, mortgage-backed securities lost 1.41%, and asset-backed securities, which typically have shorter durations, lost 0.27%. The Portfolio’s returns in these sectors largely mirrored those of the Barclays index.
The lag between the return of the Portfolio and its benchmark was attributable to the Portfolio’s trading and operating costs, neither of which is applicable to an index.
What is your outlook?
We believe moderate—but perhaps choppy—economic growth and subdued inflation will prevail in 2014. With the Fed in tapering mode relative to quantitative easing, we also believe interest rates will have a bias toward rising over the course of the year, although we are not expecting a violent increase like the one experienced during the summer of 2013.
Newly installed Fed Chair Janet Yellen is expected to continue the policies of her predecessor. This should create an environment in which fixed-income assets are likely to generate returns modestly below their coupon rates. Fixed-income investments should nonetheless still serve as a good source of diversification for investors, especially in the event of any unexpected sell off in equity markets.
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Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| -2.47% | 5.59% | 4.27% |
| * | The Barclays U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
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Thrivent Limited Maturity Bond Portfolio
Michael G. Landreville, CFA and 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 primarily invests in investment-grade debt securities. The value of the Portfolio is influenced by factors impacting the overall market, debt securities in particular, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment adviser. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt. The value of mortgage-related and other asset-backed securities will be influenced by the factors affecting the housing market and the assets underlying such securities. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards. The prices of futures contracts can be highly volatile and the loss from investing in them can exceed the initial investment.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Limited Maturity Bond Portfolio earned a return of 0.45%, compared with the median return of its peer group, the Lipper Short-Intermediate Investment Grade Debt category, of 0.27%. The Portfolio’s market benchmark, the Barclays Government/Credit 1-3 Year Bond Index, returned 0.64%.
What factors affected the Portfolio’s performance?
Rising interest rates translated into negative returns for much of the bond market in 2013, but the Portfolio generated positive results by investing, per its mandate, at the shorter end of the yield curve where bonds are less sensitive to rate changes. Most of the Portfolio’s bonds mature in three years or less.
Interest rates began rising in May after the Federal Reserve disclosed that it was contemplating paring back or “tapering” its quantitative easing program in which it had been buying $85 billion of bonds each month to help keep interest rates low and bolster the economy. The Fed did not begin to taper until January 2014, but many investors began selling bonds in anticipation of that event.
Top-performing sectors for the Portfolio included corporate bonds—which accounted for about 41% of the Portfolio’s holdings and earned 1.25%—and securitized assets (including asset-backed securities and mortgage-backed securities), which accounted for about 32% of the Portfolio and returned 1.8%. Those gains were offset in part by a 3.9% loss on the Portfolio’s Treasury holdings and a -0.13% loss on other government-related debt.
A combination of factors allowed the Portfolio to modestly outperform its Lipper peer group, including the Portfolio’s shorter duration and its higher allocation to corporate bonds and securitized assets. Trading and operating expenses largely accounted for the discrepancy between the Portfolio’s return and the return of its benchmark index, along with the Portfolio’s modest allocation to bonds with maturities exceeding three years (all of the holdings in the index mature in three years or less).
What is your outlook?
U.S. economic growth accelerated in the second half of 2013, and we anticipate that momentum will continue into 2014, especially as the fiscal drag associated with government spending cuts in 2013 begin to fade. Interest rates are likely to stay range-bound early in the year and then edge slightly higher as the Fed further pares its bond-buying program.
We do not expect the Fed to raise its target for the federal funds rate, which drives short-term interest rates, in 2014. Nonetheless, we would not be surprised to see short-term rates creep higher as year-end approaches and investors begin to position their portfolios for a new federal funds target.
Assuming this scenario holds, we would anticipate modestly positive returns for the Portfolio, generally in line with 2013 results.
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Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| 0.45% | 4.88% | 2.98% |
| * | The Barclays Government/Credit 1-3 Year Bond Index is an index that measures the performance of government and corporate fixed-rate debt securities with maturities of 1-3 years. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
| ** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
67
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 Portfolio invests in high quality, short-term money market instruments. Although the Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Portfolio. Credit risk is the risk that an issuer of a debt security may not pay its debt. Low or declining short-term interest rates can negatively impact the Portfolio. The financial services industry is particularly vulnerable to certain factors, such as the availability and cost of borrowing and raising additional capital, changes in interest rates, the rate of corporate and consumer debt defaults, and price competition. The Portfolio could experience a loss when selling portfolio securities to meet redemption requests.
How did the Portfolio perform during the 12-month period ended December 31, 2013?
Thrivent Money Market Portfolio produced a 0.00% return during the period, which mirrored the 0.00% median net return reported by its peer group, the Lipper Money Market category.
What factors affected the Portfolio’s performance?
For a fourth consecutive year, money market funds generated negligible returns as the Federal Reserve kept the target for the federal funds rate—the rate at which banks borrow from each other overnight—in a range of 0% to 0.25%. This widely followed benchmark sets the tone for short-term interest rates across the credit markets.
With yields on short-term, high-quality securities at or near historic lows, it was difficult for money market funds to generate positive returns after accounting for trading and operating expenses. As it did last year, the Portfolio’s investment adviser continued to waive fees on the Portfolio to ensure that investors would not experience a negative return. The Portfolio also maintained exposure to floating-rate notes issued by government agencies, allowing it to capture some additional yield without taking on additional credit risk.
In keeping with its conservative mandate, the Portfolio continued to invest in securities offering high credit quality and liquidity. It also held a smaller percentage of foreign securities than many of its competitors.
What is your outlook?
A material improvement in money market returns is unlikely until the Fed allows its target for the federal funds rate to increase. In December 2012, the Fed announced that it would keep the rate at its current historically low level until the unemployment rate falls to 6.5%, or until the rate of inflation exceeds 2.5%. More recently, it has indicated that it will consider a broader range of employment measures, minimizing the significance of the 6.5% threshold.
The unemployment rate fell to 6.7% by December, down from 7.9% a year earlier, but other employment measures remained weak, with high numbers of part-time workers who would prefer to be working full time, and high levels of long-term unemployment. Meanwhile, core inflation, the Fed’s preferred measure of inflation, remained well below the Fed’s target. Given this environment, we anticipate that the Fed will keep short-term rates low throughout 2014.
On the regulatory front, the Securities and Exchange Commission (SEC) is considering new regulations applicable to money market funds and could announce them in 2014. Perhaps the most controversial change contemplated is one that would allow the net asset value of institutional money market funds to fluctuate with the market value of their underlying securities. As proposed, this change would not apply to retail funds such as Thrivent Money Market Portfolio. Nonetheless, we will continue to monitor regulatory developments and continue to be a strong advocate for shareholders in our discussions with regulators.
An investment in the Thrivent Money Market Portfolio is not insured or guaranteed by
the Federal Deposit Insurance Corporation (FDIC) or any other government agency.
Although the Portfolio seeks to preserve the value of your investment at $1.00 per share,
it is possible to lose money by investing in the Portfolio.
68
Average Annual Total Returns1
As of December 31, 2013
1-Year | 5-Year | 10-Year | ||
| 0.00% | 0.09% | 1.70% |
Money Market Portfolio Yields*
As of December 31, 2013
| Portfolio | ||||
7-Day Yield | 0.00 | % | ||
7-Day Yield Gross of Waivers | -0.30 | % | ||
7-Day Effective Yield | 0.00 | % | ||
7-Day Effective Yield Gross of Waivers | -0.30 | % | ||
| * | Seven-day yields of Thrivent Money Market Portfolio refer to the income generated by an investment in the Portfolio over a specified seven-day period, though they are expressed as annual percentage rates. Effective yields reflect the reinvestment of income. A yield gross of waivers represents what the yield would have been if the Advisor were not waiving or reimbursing certain expenses associated with the Portfolio. Refer to the expense table in the Portfolio’s prospectus for details. Yields are subject to daily fluctuation and should not be considered an indication of future results. |
Past performance is not an indication of future results. Total investment return and principal value of your investment will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT or visit Thrivent.com for performance results current to the most recent month-end.
| 1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
69
(unaudited)
As a shareholder of the Thrivent Series Fund, Inc., you incur ongoing costs, including management fees and other Portfolio expenses. This Shareholder Expense Example is intended to help you understand your ongoing costs (in dollars) of investing in a Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2013 through December 31, 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 7/1/2013 | Ending Account Value 12/31/2013 | Expenses Paid During Period 7/1/2013 - 12/31/2013* | Annualized Expense Ratio | |||||||||||||
Thrivent Aggressive Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,168 | $ | 2.65 | 0.48 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.47 | 0.48 | % | ||||||||
Thrivent Moderately Aggressive Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,132 | $ | 2.39 | 0.45 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.27 | 0.45 | % | ||||||||
Thrivent Moderate Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,099 | $ | 2.33 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.24 | 0.44 | % | ||||||||
Thrivent Moderately Conservative Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,066 | $ | 2.41 | 0.46 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.36 | 0.46 | % | ||||||||
Thrivent Growth and Income Plus Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,096 | $ | 4.22 | 0.80 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.07 | 0.80 | % | ||||||||
Thrivent Balanced Income Plus Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,092 | $ | 3.22 | 0.61 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.11 | 0.61 | % | ||||||||
Thrivent Diversified Income Plus Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,055 | $ | 2.53 | 0.49 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.49 | 0.49 | % | ||||||||
70
| Beginning Account Value 7/1/2013 | Ending Account Value 12/31/2013 | Expenses Paid During Period 7/1/2013 - 12/31/2013* | Annualized Expense Ratio | |||||||||||||
Thrivent Opportunity Income Plus Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,010 | $ | 4.05 | 0.80 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.07 | 0.80 | % | ||||||||
Thrivent Partner Technology Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,246 | $ | 6.04 | 1.07 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.43 | 1.07 | % | ||||||||
Thrivent Partner Healthcare Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,154 | $ | 6.86 | 1.26 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,019 | $ | 6.43 | 1.26 | % | ||||||||
Thrivent Natural Resources Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,098 | $ | 5.45 | 1.03 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 5.25 | 1.03 | % | ||||||||
Thrivent Partner Emerging Markets Equity Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,015 | $ | 7.19 | 1.42 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,018 | $ | 7.20 | 1.42 | % | ||||||||
Thrivent Real Estate Securities Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 966 | $ | 4.62 | 0.93 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.74 | 0.93 | % | ||||||||
Thrivent Partner Small Cap Growth Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,236 | $ | 5.52 | 0.98 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.99 | 0.98 | % | ||||||||
Thrivent Partner Small Cap Value Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,193 | $ | 4.81 | 0.87 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.43 | 0.87 | % | ||||||||
Thrivent Small Cap Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,186 | $ | 4.16 | 0.76 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 3.85 | 0.76 | % | ||||||||
Thrivent Small Cap Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,214 | $ | 2.43 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.22 | 0.44 | % | ||||||||
Thrivent Mid Cap Growth Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,211 | $ | 2.58 | 0.46 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.36 | 0.46 | % | ||||||||
Thrivent Partner Mid Cap Value Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,151 | $ | 4.39 | 0.81 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.13 | 0.81 | % | ||||||||
Thrivent Mid Cap Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,194 | $ | 3.98 | 0.72 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.67 | 0.72 | % | ||||||||
Thrivent Mid Cap Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,162 | $ | 2.67 | 0.49 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.50 | 0.49 | % | ||||||||
Thrivent Partner Worldwide Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,157 | $ | 4.99 | 0.92 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.68 | 0.92 | % | ||||||||
Thrivent Partner All Cap Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,186 | $ | 5.29 | 0.96 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.89 | 0.96 | % | ||||||||
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| Beginning Account Value 7/1/2013 | Ending Account Value 12/31/2013 | Expenses Paid During Period 7/1/2013 - 12/31/2013* | Annualized Expense Ratio | |||||||||||||
Thrivent Large Cap Growth Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,244 | $ | 2.52 | 0.45 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.27 | 0.45 | % | ||||||||
Thrivent Partner Growth Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,252 | $ | 5.33 | 0.94 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020 | $ | 4.79 | 0.94 | % | ||||||||
Thrivent Large Cap Value Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,138 | $ | 3.47 | 0.64 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.29 | 0.64 | % | ||||||||
Thrivent Large Cap Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,169 | $ | 3.70 | 0.68 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.45 | 0.68 | % | ||||||||
Thrivent Large Cap Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,161 | $ | 2.20 | 0.40 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.06 | 0.40 | % | ||||||||
Thrivent High Yield Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,059 | $ | 2.33 | 0.45 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.28 | 0.45 | % | ||||||||
Thrivent Income Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,024 | $ | 2.26 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.26 | 0.44 | % | ||||||||
Thrivent Bond Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,002 | $ | 2.36 | 0.47 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.39 | 0.47 | % | ||||||||
Thrivent Limited Maturity Bond Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,009 | $ | 2.25 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.26 | 0.44 | % | ||||||||
Thrivent Money Market Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,000 | $ | 1.11 | 0.22 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024 | $ | 1.12 | 0.22 | % | ||||||||
| * | Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 to reflect the one-half year period. |
| ** | Assuming 5% annualized total return before expenses. |
72
 | Report of Independent Registered Public Accounting Firm |
To the Board of Directors and Shareholders
of the Thrivent Series Fund, Inc.:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of each of the thirty-three funds constituting Thrivent Series Fund, Inc. (hereafter referred to as the “Funds”) at December 31, 2013, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2013 by correspondence with the custodian, brokers, agent banks and transfer agent, provide a reasonable basis for our opinion.
February 19, 2014
PricewaterhouseCoopers LLP, Suite 1400, 225 South Sixth Street, Minneapolis, MN 55402
T: (612) 596 6000, F: (612) 373 7160, www.pwc.com/us
73
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Mutual Funds (51.7%) | Value | ||||||
| Equity Mutual Funds (47.9%) | |||||||
| 3,574,409 | Thrivent Partner Small Cap Growth Portfolio | $ | 68,748,387 | |||||
| 689,344 | Thrivent Partner Small Cap Value Portfolio | 19,488,107 | ||||||
| 1,714,586 | Thrivent Small Cap Stock Portfolio | 30,462,701 | ||||||
| 1,466,458 | Thrivent Partner Mid Cap Value Portfolio | 27,057,173 | ||||||
| 2,511,818 | Thrivent Mid Cap Stock Portfolio | 44,367,253 | ||||||
| 11,257,943 | Thrivent Partner Worldwide Allocation Portfolio | 112,823,728 | ||||||
| 2,773,409 | Thrivent Large Cap Value Portfolio | 43,220,812 | ||||||
| 3,128,201 | Thrivent Large Cap Stock Portfolio | 36,941,866 | ||||||
|
| |||||||
| Total | 383,110,027 | |||||||
|
| |||||||
| Fixed Income Mutual Funds (3.8%) | |||||||
| 1,813,427 | Thrivent High Yield Portfolio | 9,193,170 | ||||||
| 584,681 | Thrivent Income Portfolio | 6,048,407 | ||||||
| 844,749 | Thrivent Limited Maturity Bond Portfolio | 8,294,764 | ||||||
| 698,926 | Thrivent Opportunity Income Plus Portfolio | 7,094,444 | ||||||
|
| |||||||
| Total | 30,630,785 | |||||||
|
| |||||||
Total Mutual Funds (cost $356,783,352) | 413,740,812 | |||||||
|
| |||||||
Common Stock (41.9%) | ||||||||
| Consumer Discretionary (7.0%) | |||||||
| 11,156 | Amazon.com, Inc.a,b | 4,448,901 | ||||||
| 5,550 | AutoZone, Inc.a | 2,652,567 | ||||||
| 8,900 | Barnes & Noble, Inc.a | 133,055 | ||||||
| 14,500 | Best Buy Company, Inc. | 578,260 | ||||||
| 3,200 | Bloomin’ Brands, Inc.a | 76,832 | ||||||
| 18,300 | Cablevision Systems Corporation | 328,119 | ||||||
| 5,230 | CBS Corporation | 333,360 | ||||||
| 2,600 | Charter Communications, Inc.a | 355,576 | ||||||
| 26,220 | Cheesecake Factory, Inc. | 1,265,639 | ||||||
| 2,500 | Children’s Place Retail Stores, Inc.a | 142,425 | ||||||
| 106,298 | Comcast Corporationb | 5,523,776 | ||||||
| 6,600 | Crocs, Inc.a | 105,072 | ||||||
| 5,800 | Dana Holding Corporation | 113,796 | ||||||
| 15,229 | Delphi Automotive plc | 915,720 | ||||||
| 9,899 | Discovery Communications, Inc.a | 895,068 | ||||||
| 8,300 | DISH Network Corporationa | 480,736 | ||||||
| 17,368 | Dollar Tree, Inc.a | 979,903 | ||||||
| 4,100 | Dunkin’ Brands Group, Inc. | 197,620 | ||||||
| 2,145 | Finish Line, Inc. | 60,425 | ||||||
| 52,400 | Ford Motor Company | 808,532 | ||||||
| 9,300 | Francesca’s Holdings Corporationa | 171,213 | ||||||
| 5,800 | Gannett Company, Inc. | 171,564 | ||||||
| 1,700 | General Motors Companya | 69,479 | ||||||
| 19,920 | GNC Holdings, Inc. | 1,164,324 | ||||||
| 1,400 | Harley-Davidson, Inc. | 96,936 | ||||||
| 2,100 | Harman International Industries, Inc. | 171,885 | ||||||
| 2,414 | Hasbro, Inc. | 132,794 | ||||||
| 36,400 | Home Depot, Inc.b | 2,997,176 | ||||||
| 7,250 | HomeAway, Inc.a | 296,380 | ||||||
| 40,609 | Ignite Restaurant Group, Inc.a | 507,613 | ||||||
| 2,200 | iRobot Corporationa | 76,494 | ||||||
| 1,600 | ITT Educational Services, Inc.a | 53,728 | ||||||
| 2,700 | Kohl’s Corporation | 153,225 | ||||||
| 61,860 | Las Vegas Sands Corporation | 4,878,898 | ||||||
| 8,327 | LeapFrog Enterprises, Inc.a | 66,116 | ||||||
| 7,096 | LifeLock, Inc.a | 116,445 | ||||||
| 4,919 | Limited Brands, Inc. | 304,240 | ||||||
| 22,220 | Lowe’s Companies, Inc. | 1,101,001 | ||||||
| 2,563 | M/I Homes, Inc.a | 65,228 | ||||||
| 8,500 | Macy’s, Inc. | 453,900 | ||||||
| 13,650 | Marriott International, Inc. | 673,764 | ||||||
| 3,300 | Marriott Vacations Worldwide Corporationa | 174,108 | ||||||
| 46,995 | MDC Partners, Inc. | 1,198,842 | ||||||
| 16,010 | Meredith Corporation | 829,318 | ||||||
| 6,700 | Michael Kors Holdings, Ltd.a | 543,973 | ||||||
| 18,360 | News Corporation | 635,256 | ||||||
| 25,580 | Nexstar Broadcasting Group, Inc. | 1,425,573 | ||||||
| 37,750 | NIKE, Inc. | 2,968,660 | ||||||
| 1,300 | Noodles & Companya | 46,696 | ||||||
| 5,700 | Omnicom Group, Inc. | 423,909 | ||||||
| 2,818 | O’Reilly Automotive, Inc.a | 362,705 | ||||||
| 29,340 | Papa John’s International, Inc. | 1,332,036 | ||||||
| 4,142 | PetSmart, Inc. | 301,331 | ||||||
| 20,098 | Pier 1 Imports, Inc. | 463,862 | ||||||
| 100 | Priceline.com, Inc.a | 116,240 | ||||||
| 4,700 | Regal Entertainment Group | 91,415 | ||||||
| 5,550 | Ross Stores, Inc. | 415,861 | ||||||
| 3,000 | Scientific Games Corporationa | 50,790 | ||||||
| 4,400 | Scripps Networks Interactive, Inc. | 380,204 | ||||||
| 3,200 | Signet Jewelers, Ltd. | 251,840 | ||||||
| 14,600 | Smith & Wesson Holding Corporationa | 196,954 | ||||||
| 6,800 | Starwood Hotels & Resorts Worldwide, Inc. | 540,260 | ||||||
| 3,100 | Sturm, Ruger & Company, Inc. | 226,579 | ||||||
| 1,600 | Target Corporation | 101,232 | ||||||
| 6,300 | Tempur-Pedic International, Inc.a | 339,948 | ||||||
| 2,400 | Tenneco, Inc.a | 135,768 | ||||||
| 5,280 | Time Warner Cable, Inc. | 715,440 | ||||||
| 2,700 | TJX Companies, Inc. | 172,071 | ||||||
| 8,900 | Toll Brothers, Inc.a | 329,300 | ||||||
| 11,046 | Tractor Supply Company | 856,949 | ||||||
| 54,330 | Tuesday Morning Corporationa | 867,107 | ||||||
| 74,350 | Twenty-First Century Fox, Inc. | 2,615,633 | ||||||
| 3,600 | Under Armour, Inc.a | 314,280 | ||||||
| 2,200 | Urban Outfitters, Inc.a | 81,620 | ||||||
| 4,104 | VF Corporation | 255,843 | ||||||
| 7,800 | Viacom, Inc. | 681,252 | ||||||
| 4,600 | Weight Watchers International, Inc. | 151,478 | ||||||
| 7,700 | Wyndham Worldwide Corporation | 567,413 | ||||||
| 2,050 | Wynn Resorts, Ltd. | 398,131 | ||||||
|
| |||||||
| Total | 55,677,662 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
74
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (41.9%) | Value | ||||||
| Consumer Staples (2.1%) | |||||||
| 16,400 | Altria Group, Inc. | $ | 629,596 | |||||
| 1,530 | Andersons, Inc. | 136,430 | ||||||
| 12,800 | Anheuser-Busch InBev NV ADR | 1,362,688 | ||||||
| 18,783 | Annie’s, Inc.a | 808,420 | ||||||
| 15,100 | Archer-Daniels-Midland Company | 655,340 | ||||||
| 5,000 | Beam, Inc. | 340,300 | ||||||
| 1,700 | Brown-Forman Corporation | 128,469 | ||||||
| 10,100 | Bunge, Ltd. | 829,311 | ||||||
| 1,300 | Campbell Soup Company | 56,264 | ||||||
| 9,000 | Colgate-Palmolive Company | 586,890 | ||||||
| 22,700 | CVS Caremark Corporation | 1,624,639 | ||||||
| 541 | Energizer Holdings, Inc. | 58,558 | ||||||
| 5,850 | Hain Celestial Group, Inc.a | 531,063 | ||||||
| 20,883 | Ingredion, Inc. | 1,429,650 | ||||||
| 3,300 | Kimberly-Clark Corporation | 344,718 | ||||||
| 3,423 | Kraft Foods Group, Inc. | 184,568 | ||||||
| 13,900 | Kroger Company | 549,467 | ||||||
| 14,470 | Mondelez International, Inc. | 510,791 | ||||||
| 7,050 | Monster Beverage Corporationa | 477,779 | ||||||
| 22,800 | Nestle SA | 1,671,013 | ||||||
| 3,691 | Philip Morris International, Inc. | 321,597 | ||||||
| 1,500 | Prestige Brands Holdings, Inc.a | 53,700 | ||||||
| 7,100 | Procter & Gamble Company | 578,011 | ||||||
| 21,000 | Rite Aid Corporationa | 106,260 | ||||||
| 12,900 | Safeway, Inc. | 420,153 | ||||||
| 3,000 | United Natural Foods, Inc.a | 226,170 | ||||||
| 4,800 | Wal-Mart Stores, Inc. | 377,712 | ||||||
| 64,800 | WhiteWave Foods Companya | 1,486,512 | ||||||
| 5,364 | Whole Foods Market, Inc. | 310,200 | ||||||
|
| |||||||
| Total | 16,796,269 | |||||||
|
| |||||||
| Energy (4.5%) | |||||||
| 115,250 | Alpha Natural Resources, Inc.a | 822,885 | ||||||
| 9,000 | Anadarko Petroleum Corporation | 713,880 | ||||||
| 1,370 | Atwood Oceanics, Inc.a | 73,144 | ||||||
| 900 | Bristow Group, Inc. | 67,554 | ||||||
| 2,300 | C&J Energy Services, Inc.a | 53,130 | ||||||
| 1,485 | Cabot Oil & Gas Corporation | 57,559 | ||||||
| 6,250 | Cameron International Corporationa | 372,062 | ||||||
| 130 | CARBO Ceramics, Inc. | 15,149 | ||||||
| 11,220 | Chevron Corporation | 1,401,490 | ||||||
| 680 | Cimarex Energy Company | 71,339 | ||||||
| 9,600 | Cloud Peak Energy, Inc.a | 172,800 | ||||||
| 20,900 | Cobalt International Energy, Inc.a | 343,805 | ||||||
| 9,888 | Concho Resources, Inc.a | 1,067,904 | ||||||
| 50,600 | Consol Energy, Inc. | 1,924,824 | ||||||
| 3,870 | Denbury Resources, Inc.a | 63,584 | ||||||
| 6,900 | Dril-Quip, Inc.a | 758,517 | ||||||
| 7,115 | Energy XXI, Ltd. | 192,532 | ||||||
| 950 | Ensco plc | 54,321 | ||||||
| 13,683 | EOG Resources, Inc. | 2,296,555 | ||||||
| 15,230 | EQT Corporation | 1,367,349 | ||||||
| 3,300 | Exterran Holdings, Inc.a | 112,860 | ||||||
| 16,900 | Exxon Mobil Corporation | 1,710,280 | ||||||
| 100 | Frank’s International NV | 2,700 | ||||||
| 950 | Helmerich & Payne, Inc. | 79,876 | ||||||
| 10,430 | HollyFrontier Corporation | 518,267 | ||||||
| 10,700 | Key Energy Services, Inc.a | 84,530 | ||||||
| 108,818 | Marathon Oil Corporation | 3,841,275 | ||||||
| 800 | Marathon Petroleum Corporation | 73,384 | ||||||
| 22,500 | Nabors Industries, Ltd. | 382,275 | ||||||
| 11,930 | National Oilwell Varco, Inc. | 948,793 | ||||||
| 1,110 | Newfield Exploration Companya | 27,339 | ||||||
| 1,580 | Noble Corporation | 59,203 | ||||||
| 1,080 | Noble Energy, Inc. | 73,559 | ||||||
| 21,270 | Oasis Petroleum, Inc.a | 999,052 | ||||||
| 4,800 | Occidental Petroleum Corporation | 456,480 | ||||||
| 4,925 | Oceaneering International, Inc. | 388,484 | ||||||
| 790 | Oil States International, Inc.a | 80,359 | ||||||
| 34,079 | Peabody Energy Corporation | 665,563 | ||||||
| 16,800 | Petroleo Brasileiro SA ADR | 231,504 | ||||||
| 1,260 | Pioneer Natural Resources Company | 231,928 | ||||||
| 685 | Range Resources Corporation | 57,752 | ||||||
| 46,650 | Rex Energy Corporationa | 919,472 | ||||||
| 19,400 | Rosetta Resources, Inc.a | 931,976 | ||||||
| 1,450 | Rowan Companies plca | 51,272 | ||||||
| 43,470 | Schlumberger, Ltd. | 3,917,082 | ||||||
| 11,865 | SM Energy Company | 986,100 | ||||||
| 16,200 | Southwestern Energy Companya | 637,146 | ||||||
| 3,320 | Superior Energy Services, Inc.a | 88,345 | ||||||
| 22,600 | Total SA ADR | 1,384,702 | ||||||
| 8,800 | Valero Energy Corporation | 443,520 | ||||||
| 258,168 | Weatherford International, Ltd.a | 3,999,022 | ||||||
| 895 | Whiting Petroleum Corporationa | 55,374 | ||||||
|
| |||||||
| Total | 36,329,857 | |||||||
|
| |||||||
| Financials (7.3%) | |||||||
| 9,330 | ACE, Ltd. | 965,935 | ||||||
| 13,462 | Affiliated Managers Group, Inc.a | 2,919,638 | ||||||
| 3,900 | Allied World Assurance Company Holdings AG | 439,959 | ||||||
| 6,590 | Allstate Corporation | 359,419 | ||||||
| 2,700 | Altisource Residential Corporation | 81,297 | ||||||
| 9,500 | American Assets Trust, Inc. | 298,585 | ||||||
| 13,200 | American International Group, Inc. | 673,860 | ||||||
| 5,900 | Ameriprise Financial, Inc. | 678,795 | ||||||
| 3,300 | AmTrust Financial Services, Inc. | 107,877 | ||||||
| 7,000 | Aspen Insurance Holdings, Ltd. | 289,170 | ||||||
| 6,400 | Axis Capital Holdings, Ltd. | 304,448 | ||||||
| 72,120 | Bank of America Corporation | 1,122,908 | ||||||
| 3,300 | Banner Corporation | 147,906 | ||||||
| 25,730 | BBCN Bancorp, Inc. | 426,861 | ||||||
| 12,300 | Berkshire Hathaway, Inc.a | 1,458,288 | ||||||
| 3,005 | Boston Properties, Inc. | 301,612 | ||||||
| 6,100 | Camden Property Trust | 346,968 | ||||||
| 3,400 | Cash America International, Inc. | 130,220 | ||||||
| 51,671 | Citigroup, Inc. | 2,692,576 | ||||||
| 2,272 | CNA Financial Corporation | 97,446 | ||||||
| 27,060 | CNO Financial Group, Inc. | 478,691 | ||||||
| 12,870 | Columbia Banking System, Inc. | 354,054 | ||||||
| 4,200 | Comerica, Inc. | 199,668 | ||||||
| 39,900 | DCT Industrial Trust, Inc. | 284,487 | ||||||
| 6,900 | DDR Corporation | 106,053 | ||||||
| 6,500 | Deutsche Bank AG | 313,560 | ||||||
| 15,382 | Discover Financial Services | 860,623 | ||||||
| 21,640 | Education Realty Trust, Inc. | 190,865 | ||||||
| 5,589 | Equity Residential | 289,901 | ||||||
| 2,900 | Evercore Partners, Inc. | 173,362 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
75
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (41.9%) | Value | ||||||
| Financials (7.3%) - continued | |||||||
| 5,800 | Extra Space Storage, Inc. | $ | 244,354 | |||||
| 4,400 | F.N.B. Corporation | 55,528 | ||||||
| 27,900 | Fifth Third Bancorp | 586,737 | ||||||
| 12,900 | First Horizon National Corporation | 150,285 | ||||||
| 3,100 | First Industrial Realty Trust, Inc. | 54,095 | ||||||
| 16,000 | First Niagara Financial Group, Inc. | 169,920 | ||||||
| 21,300 | First Republic Bank | 1,115,055 | ||||||
| 6,700 | Franklin Street Properties Corporation | 80,065 | ||||||
| 6,900 | Fulton Financial Corporation | 90,252 | ||||||
| 3,600 | FXCM, Inc. | 64,224 | ||||||
| 5,300 | Gaming and Leisure Properties, Inc.a | 269,293 | ||||||
| 34,040 | Hanmi Financial Corporation | 745,136 | ||||||
| 6,600 | Hatteras Financial Corporation | 107,844 | ||||||
| 14,527 | HCC Insurance Holdings, Inc. | 670,276 | ||||||
| 3,254 | Health Care REIT, Inc. | 174,317 | ||||||
| 23,348 | Host Hotels & Resorts, Inc. | 453,885 | ||||||
| 105,200 | Huntington Bancshares, Inc. | 1,015,180 | ||||||
| 16,730 | Invesco, Ltd. | 608,972 | ||||||
| 17,980 | iShares Russell 2000 Index Fund | 2,073,274 | ||||||
| 48,823 | J.P. Morgan Chase & Company | 2,855,169 | ||||||
| 24,200 | KeyCorp | 324,764 | ||||||
| 9,279 | Kimco Realty Corporation | 183,260 | ||||||
| 9,231 | Lazard, Ltd. | 418,349 | ||||||
| 2,700 | M&T Bank Corporation | 314,334 | ||||||
| 5,800 | Macerich Company | 341,562 | ||||||
| 4,400 | MasterCard, Inc. | 3,676,024 | ||||||
| 20,830 | MetLife, Inc. | 1,123,154 | ||||||
| 3,700 | Montpelier Re Holdings, Inc. | 107,670 | ||||||
| 22,790 | Morgan Stanley | 714,694 | ||||||
| 12,500 | NASDAQ OMX Group, Inc. | 497,500 | ||||||
| 6,600 | Northern Trust Corporation | 408,474 | ||||||
| 15,640 | Parkway Properties, Inc. | 301,696 | ||||||
| 11,100 | Pebblebrook Hotel Trust | 341,436 | ||||||
| 5,100 | PHH Corporationa | 124,185 | ||||||
| 14,500 | Piedmont Office Realty Trust, Inc. | 239,540 | ||||||
| 2,100 | Portfolio Recovery Associates, Inc.a | 110,964 | ||||||
| 3,300 | Progressive Corporation | 89,991 | ||||||
| 5,000 | Prologis, Inc. | 184,750 | ||||||
| 7,100 | Protective Life Corporation | 359,686 | ||||||
| 7,300 | Prudential Financial, Inc. | 673,206 | ||||||
| 1,153 | Public Storage, Inc. | 173,549 | ||||||
| 2,100 | Raymond James Financial, Inc. | 109,599 | ||||||
| 3,300 | RLJ Lodging Trust | 80,256 | ||||||
| 3,310 | Simon Property Group, Inc. | 503,650 | ||||||
| 5,800 | SLM Corporation | 152,424 | ||||||
| 62,650 | SPDR Euro Stoxx 50 ETF | 2,643,830 | ||||||
| 4,900 | SPDR Gold Trusta | 569,233 | ||||||
| 21,200 | SPDR S&P 500 ETF Trust | 3,915,004 | ||||||
| 4,340 | SPDR S&P Biotech ETF | 565,068 | ||||||
| 7,580 | State Street Corporation | 556,296 | ||||||
| 3,436 | Stewart Information Services Corporation | 110,880 | ||||||
| 22,490 | SVB Financial Groupa | 2,358,301 | ||||||
| 4,950 | T. Rowe Price Group, Inc. | 414,661 | ||||||
| 3,600 | Tanger Factory Outlet Centers, Inc. | 115,272 | ||||||
| 4,900 | TCF Financial Corporation | 79,625 | ||||||
| 24,490 | Terreno Realty Corporation | 433,473 | ||||||
| 12,470 | Texas Capital Bancshares, Inc.a | 775,634 | ||||||
| 13,600 | Visa, Inc. | 3,028,448 | ||||||
| 2,797 | Vornado Realty Trust | 248,346 | ||||||
| 3,800 | W.R. Berkley Corporation | 164,882 | ||||||
| 13,890 | Wells Fargo & Company | 630,606 | ||||||
| 46,415 | Zions Bancorporation | 1,390,593 | ||||||
|
| |||||||
| Total | 58,233,762 | |||||||
|
| |||||||
| Health Care (4.6%) | |||||||
| 2,400 | Abbott Laboratories | 91,992 | ||||||
| 7,400 | Acorda Therapeutics, Inc.a | 216,080 | ||||||
| 2,429 | Actavis, Inc.a | 408,072 | ||||||
| 36,500 | Akorn, Inc.a | 898,995 | ||||||
| 14,450 | Align Technology, Inc.a | 825,818 | ||||||
| 25,600 | Allscripts Healthcare Solutions, Inc.a | 395,776 | ||||||
| 7,592 | AmerisourceBergen Corporation | 533,794 | ||||||
| 11,710 | Baxter International, Inc. | 814,430 | ||||||
| 7,600 | BioMarin Pharmaceutical, Inc.a | 534,052 | ||||||
| 59,200 | BioScrip, Inc.a | 438,080 | ||||||
| 2,358 | C.R. Bard, Inc. | 315,831 | ||||||
| 4,386 | Catamaran Corporationa | 208,247 | ||||||
| 3,700 | Centene Corporationa | 218,115 | ||||||
| 6,600 | Cerner Corporationa | 367,884 | ||||||
| 1,600 | Charles River Laboratories International, Inc.a | 84,864 | ||||||
| 3,980 | CIGNA Corporation | 348,170 | ||||||
| 7,900 | Community Health Systems, Inc.a | 310,233 | ||||||
| 69,610 | Covidien plc | 4,740,441 | ||||||
| 5,000 | DENTSPLY International, Inc. | 242,400 | ||||||
| 6,800 | Envision Healthcare Holdings, Inc.a | 241,536 | ||||||
| 33,596 | ExamWorks Group, Inc.a | 1,003,513 | ||||||
| 62,300 | Express Scripts Holding Companya | 4,375,952 | ||||||
| 83,350 | Gilead Sciences, Inc.a | 6,263,753 | ||||||
| 5,700 | HCA Holdings, Inc.a | 271,947 | ||||||
| 5,100 | Healthways, Inc.a | 78,285 | ||||||
| 5,300 | Illumina, Inc.a | 586,286 | ||||||
| 445 | Magellan Health Services, Inc.a | 26,660 | ||||||
| 5,600 | McKesson Corporation | 903,840 | ||||||
| 25,780 | Merck & Company, Inc. | 1,290,289 | ||||||
| 2,104 | Mettler-Toledo International, Inc.a | 510,409 | ||||||
| 2,900 | Molina Healthcare, Inc.a | 100,775 | ||||||
| 20,900 | Neurocrine Biosciences, Inc.a | 195,206 | ||||||
| 30,021 | NuVasive, Inc.a | 970,579 | ||||||
| 3,500 | PAREXEL International Corporationa | 158,130 | ||||||
| 25,586 | PDL BioPharma, Inc. | 215,946 | ||||||
| 5,600 | PerkinElmer, Inc. | 230,888 | ||||||
| 17,101 | Perrigo Company plc | 2,624,319 | ||||||
| 6,200 | Questcor Pharmaceuticals, Inc. | 337,590 | ||||||
| 1,400 | ResMed, Inc. | 65,912 | ||||||
| 13,680 | Sanofi ADR | 733,658 | ||||||
| 4,200 | Team Health Holdings, Inc.a | 191,310 | ||||||
| 20,700 | Thoratec Corporationa | 757,620 | ||||||
| 4,300 | United Therapeutics Corporationa | 486,244 | ||||||
| 14,963 | UnitedHealth Group, Inc. | 1,126,714 | ||||||
| 3,000 | Universal Health Services, Inc. | 243,780 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
76
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (41.9%) | Value | ||||||
| Health Care (4.6%) - continued | |||||||
| 250 | Veeva Systems, Inc.a | $ | 8,025 | |||||
| 4,800 | Waters Corporationa | 480,000 | ||||||
| 6,958 | Zimmer Holdings, Inc. | 648,416 | ||||||
|
| |||||||
| Total | 37,120,856 | |||||||
|
| |||||||
| Industrials (5.9%) | |||||||
| 4,400 | 3M Company | 617,100 | ||||||
| 13,970 | Actuant Corporation | 511,861 | ||||||
| 8,370 | Acuity Brands, Inc. | 915,008 | ||||||
| 14,200 | ADT Corporation | 574,674 | ||||||
| 10,100 | AGCO Corporation | 597,819 | ||||||
| 2,433 | Allegion plca | 107,514 | ||||||
| 20,090 | AMETEK, Inc. | 1,058,140 | ||||||
| 13,950 | Apogee Enterprises, Inc. | 500,945 | ||||||
| 2,300 | Arkansas Best Corporation | 77,464 | ||||||
| 4,800 | Armstrong World Industries, Inc.a | 276,528 | ||||||
| 7,300 | Avis Budget Group, Inc.a | 295,066 | ||||||
| 6,596 | B/E Aerospace, Inc.a | 574,050 | ||||||
| 3,000 | Babcock & Wilcox Company | 102,570 | ||||||
| 21,700 | Boeing Company | 2,961,833 | ||||||
| 5,857 | Briggs & Stratton Corporation | 127,448 | ||||||
| 12,330 | CLARCOR, Inc. | 793,436 | ||||||
| 1,900 | Colfax Corporationa | 121,011 | ||||||
| 32,455 | CSX Corporation | 933,730 | ||||||
| 3,300 | Cummins, Inc. | 465,201 | ||||||
| 2,800 | Deluxe Corporation | 146,132 | ||||||
| 28,200 | DigitalGlobe, Inc.a | 1,160,430 | ||||||
| 5,100 | Dover Corporation | 492,354 | ||||||
| 33,424 | EMCOR Group, Inc. | 1,418,515 | ||||||
| 1,700 | EnerSys, Inc. | 119,153 | ||||||
| 1,000 | Esterline Technologies Corporationa | 101,960 | ||||||
| 9,200 | Exelis, Inc. | 175,352 | ||||||
| 10,300 | Expeditors International of Washington, Inc. | 455,775 | ||||||
| 5,200 | Fastenal Company | 247,052 | ||||||
| 9,781 | Flowserve Corporation | 771,036 | ||||||
| 9,100 | Fluor Corporation | 730,639 | ||||||
| 9,500 | Fortune Brands Home and Security, Inc. | 434,150 | ||||||
| 12,300 | Foster Wheeler AGa | 406,146 | ||||||
| 15,190 | GATX Corporation | 792,462 | ||||||
| 5,200 | Graco, Inc. | 406,224 | ||||||
| 33,800 | HNI Corporation | 1,312,454 | ||||||
| 36,865 | Honeywell International, Inc. | 3,368,355 | ||||||
| 1,700 | Huntington Ingalls Industries, Inc. | 153,017 | ||||||
| 1,100 | IHS, Inc.a | 131,670 | ||||||
| 15,100 | Ingersoll-Rand plc | 930,160 | ||||||
| 45,420 | Jacobs Engineering Group, Inc.a | 2,861,006 | ||||||
| 6,330 | JB Hunt Transport Services, Inc. | 489,309 | ||||||
| 4,868 | Kansas City Southern | 602,804 | ||||||
| 34,850 | Korn/Ferry Internationala | 910,282 | ||||||
| 18,300 | Landstar System, Inc. | 1,051,335 | ||||||
| 800 | Lindsay Manufacturing Company | 66,200 | ||||||
| 1,800 | Lockheed Martin Corporation | 267,588 | ||||||
| 13,367 | Manitowoc Company, Inc. | 311,719 | ||||||
| 31,200 | Manpower, Inc. | 2,678,832 | ||||||
| 2,600 | Matson, Inc. | 67,886 | ||||||
| 5,200 | MRC Global, Inc.a | 167,752 | ||||||
| 6,300 | Mueller Water Products, Inc. | 59,031 | ||||||
| 6,500 | Nielsen Holdings NV | 298,285 | ||||||
| 2,700 | Old Dominion Freight Line, Inc.a | 143,154 | ||||||
| 19,425 | Oshkosh Corporation | 978,632 | ||||||
| 3,128 | Parker Hannifin Corporation | 402,386 | ||||||
| 11,512 | Pentair, Ltd. | 894,137 | ||||||
| 16,950 | Quanta Services, Inc.a | 534,942 | ||||||
| 9,800 | Republic Airways Holdings, Inc.a | 104,762 | ||||||
| 27,320 | Ritchie Brothers Auctioneers, Inc. | 626,448 | ||||||
| 11,600 | Robert Half International, Inc. | 487,084 | ||||||
| 600 | Rockwell Automation, Inc. | 70,896 | ||||||
| 4,782 | Roper Industries, Inc. | 663,168 | ||||||
| 31,900 | Southwest Airlines Company | 600,996 | ||||||
| 6,000 | Spirit Airlines, Inc.a | 272,460 | ||||||
| 5,931 | Stericycle, Inc.a | 689,004 | ||||||
| 9,740 | Tennant Company | 660,469 | ||||||
| 5,300 | Titan International, Inc. | 95,294 | ||||||
| 18,800 | Union Pacific Corporation | 3,158,400 | ||||||
| 8,400 | United Rentals, Inc.a | 654,780 | ||||||
| 2,298 | United Stationers, Inc. | 105,455 | ||||||
| 1,300 | United Technologies Corporation | 147,940 | ||||||
| 7,600 | Wabash National Corporationa | 93,860 | ||||||
| 2,800 | WESCO International, Inc.a | 254,996 | ||||||
|
| |||||||
| Total | 46,835,726 | |||||||
|
| |||||||
| Information Technology (8.1%) | |||||||
| 12,500 | Accenture plc | 1,027,750 | ||||||
| 15,300 | Activision Blizzard, Inc. | 272,799 | ||||||
| 12,507 | Agilent Technologies, Inc. | 715,275 | ||||||
| 3,900 | Alliance Data Systems Corporationa | 1,025,427 | ||||||
| 5,800 | Amdocs, Ltd. | 239,192 | ||||||
| 6,400 | Amphenol Corporation | 570,752 | ||||||
| 900 | Anixter International, Inc. | 80,856 | ||||||
| 8,135 | ANSYS, Inc.a | 709,372 | ||||||
| 13,202 | Apple, Inc.b | 7,407,774 | ||||||
| 30,784 | Applied Materials, Inc. | 544,569 | ||||||
| 6,700 | Arris Group, Inc.a | 163,245 | ||||||
| 1,500 | Aspen Technology, Inc.a | 62,700 | ||||||
| 164,400 | Atmel Corporationa | 1,287,252 | ||||||
| 20,307 | Autodesk, Inc.a | 1,022,051 | ||||||
| 4,900 | AVG Technologies NVa | 84,329 | ||||||
| 5,700 | Avnet, Inc. | 251,427 | ||||||
| 14,190 | Broadridge Financial Solutions, Inc. | 560,789 | ||||||
| 31,400 | Brocade Communications Systems, Inc.a | 278,518 | ||||||
| 11,172 | Ciena Corporationa | 267,346 | ||||||
| 71,850 | Cisco Systems, Inc. | 1,613,032 | ||||||
| 23,538 | CoreLogic, Inc.a | 836,305 | ||||||
| 3,975 | DST Systems, Inc. | 360,692 | ||||||
| 22,711 | E2open, Inc.a | 543,020 | ||||||
| 5,574 | eBay, Inc.a | 305,957 | ||||||
| 2,700 | Ellie Mae, Inc.a | 72,549 | ||||||
| 65,800 | EMC Corporation | 1,654,870 | ||||||
| 7,555 | Euronet Worldwide, Inc.a | 361,507 | ||||||
| 4,542 | F5 Networks, Inc.a | 412,686 | ||||||
| 82,100 | Facebook, Inc.a | 4,487,586 | ||||||
| 8,300 | Fairchild Semiconductor International, Inc.a | 110,805 | ||||||
| 1,300 | FEI Company | 116,168 | ||||||
| 2,300 | FLIR Systems, Inc. | 69,230 | ||||||
| 7,800 | Gartner, Inc.a | 554,190 | ||||||
| 2,900 | Genpact, Ltd.a | 53,273 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
77
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (41.9%) | Value | ||||||
| Information Technology (8.1%) - continued | |||||||
| 6,773 | Google, Inc.a,b | $ | 7,590,569 | |||||
| 18,300 | Guidewire Software, Inc.a | 897,981 | ||||||
| 1,600 | iGATE Corporationa | 64,256 | ||||||
| 34,100 | Informatica Corporationa | 1,415,150 | ||||||
| 7,300 | InterDigital, Inc. | 215,277 | ||||||
| 2,300 | International Business Machines Corporation | 431,411 | ||||||
| 4,400 | Ixiaa | 58,564 | ||||||
| 5,100 | j2 Global, Inc. | 255,051 | ||||||
| 13,810 | Juniper Networks, Inc.a | 311,692 | ||||||
| 8,391 | Lam Research Corporationa | 456,890 | ||||||
| 1,125 | Leidos Holdings, Inc. | 52,301 | ||||||
| 3,165 | Lexmark International, Inc. | 112,421 | ||||||
| 950 | LinkedIn Corporationa | 205,989 | ||||||
| 11,012 | Microchip Technology, Inc. | 492,787 | ||||||
| 13,970 | Microsoft Corporation | 522,897 | ||||||
| 9,900 | Monster Worldwide, Inc.a | 70,587 | ||||||
| 52,782 | NetApp, Inc. | 2,171,451 | ||||||
| 3,500 | NeuStar, Inc.a | 174,510 | ||||||
| 3,875 | Nice Systems, Ltd. ADR | 158,720 | ||||||
| 7,643 | Nuance Communications, Inc.a | 116,174 | ||||||
| 60,518 | NVIDIA Corporation | 969,498 | ||||||
| 12,900 | NXP Semiconductors NVa | 592,497 | ||||||
| 9,300 | Oracle Corporation | 355,818 | ||||||
| 17,066 | Plantronics, Inc. | 792,716 | ||||||
| 14,400 | Polycom, Inc.a | 161,712 | ||||||
| 44,020 | QUALCOMM, Inc.b | 3,268,485 | ||||||
| 36,550 | Salesforce.com, Inc.a | 2,017,195 | ||||||
| 3,103 | Sapient Corporationa | 53,868 | ||||||
| 5,100 | ServiceNow, Inc.a | 285,651 | ||||||
| 9,600 | SunPower Corporationa | 286,176 | ||||||
| 43,980 | Symantec Corporation | 1,037,048 | ||||||
| 9,200 | Synopsys, Inc.a | 373,244 | ||||||
| 9,800 | Take-Two Interactive Software, Inc.a | 170,226 | ||||||
| 8,700 | Teradata Corporationa | 395,763 | ||||||
| 56,864 | Teradyne, Inc.a | 1,001,944 | ||||||
| 28,430 | Texas Instruments, Inc. | 1,248,361 | ||||||
| 6,900 | Trimble Navigation, Ltd.a | 239,430 | ||||||
| 32,306 | TriQuint Semiconductor, Inc.a | 269,432 | ||||||
| 50 | Twitter, Inc.a | 3,183 | ||||||
| 15,000 | Ubiquiti Networks, Inc.a | 689,400 | ||||||
| 9,323 | VeriFone Systems, Inc.a | 250,043 | ||||||
| 23,745 | Virtusa Corporationa | 904,447 | ||||||
| 53,800 | Vishay Intertechnology, Inc.a | 713,388 | ||||||
| 36,900 | VMware, Inc.a | 3,310,299 | ||||||
| 40,200 | Xerox Corporation | 489,234 | ||||||
| 20,313 | Xilinx, Inc. | 932,773 | ||||||
| 2,900 | Xoom Corporationa | 79,373 | ||||||
|
| |||||||
| Total | 64,789,175 | |||||||
|
| |||||||
| Materials (1.5%) | |||||||
| 1,400 | AEP Industries, Inc.a | 73,962 | ||||||
| 4,850 | Airgas, Inc. | 542,473 | ||||||
| 3,200 | Albemarle Corporation | 202,848 | ||||||
| 27,420 | Allied Nevada Gold Corporationa | 97,341 | ||||||
| 11,808 | Celanese Corporation | 653,100 | ||||||
| 1,500 | CF Industries Holdings, Inc. | 349,560 | ||||||
| 7,000 | Cliffs Natural Resources, Inc. | 183,470 | ||||||
| 9,500 | Coeur Mining, Inc.a | 103,075 | ||||||
| 8,490 | Dow Chemical Company | 376,956 | ||||||
| 10,800 | Eagle Materials, Inc. | 836,244 | ||||||
| 2,800 | Eastman Chemical Company | 225,960 | ||||||
| 4,832 | FMC Corporation | 364,623 | ||||||
| 26,860 | H.B. Fuller Company | 1,397,794 | ||||||
| 1,438 | Innophos Holdings, Inc. | 69,887 | ||||||
| 19,700 | Louisiana-Pacific Corporationa | 364,647 | ||||||
| 24,740 | Materials Select Sector SPDR Fund | 1,143,483 | ||||||
| 6,300 | Mosaic Company | 297,801 | ||||||
| 6,230 | Nucor Corporation | 332,557 | ||||||
| 9,700 | Owens-Illinois, Inc.a | 347,066 | ||||||
| 4,000 | Packaging Corporation of America | 253,120 | ||||||
| 2,400 | PPG Industries, Inc. | 455,184 | ||||||
| 4,500 | Schweitzer-Mauduit International, Inc. | 231,615 | ||||||
| 2,900 | Sigma-Aldrich Corporation | 272,629 | ||||||
| 6,454 | Silgan Holdings, Inc. | 309,921 | ||||||
| 6,053 | Silver Wheaton Corporation | 122,210 | ||||||
| 14,545 | Southern Copper Corporation | 417,587 | ||||||
| 23,270 | Steel Dynamics, Inc. | 454,696 | ||||||
| 4,800 | Stillwater Mining Companya | 59,232 | ||||||
| 32,100 | Teck Resources, Ltd. | 834,921 | ||||||
| 800 | Valspar Corporation | 57,032 | ||||||
| 6,400 | Walter Energy, Inc. | 106,432 | ||||||
| 2,200 | Worthington Industries, Inc. | 92,576 | ||||||
|
| |||||||
| Total | 11,630,002 | |||||||
|
| |||||||
| Telecommunications Services (0.3%) | |||||||
| 20,700 | AT&T, Inc. | 727,812 | ||||||
| 15,986 | Cogent Communications Group, Inc. | 645,994 | ||||||
| 2,176 | SBA Communications Corporationa | 195,492 | ||||||
| 8,075 | TW Telecom, Inc.a | 246,045 | ||||||
| 16,558 | Verizon Communications, Inc. | 813,660 | �� | |||||
|
| |||||||
| Total | 2,629,003 | |||||||
|
| |||||||
| Utilities (0.6%) | |||||||
| 2,800 | Calpine Corporationa | 54,628 | ||||||
| 12,700 | CMS Energy Corporation | 339,979 | ||||||
| 19,590 | NiSource, Inc. | 644,119 | ||||||
| 16,390 | NorthWestern Corporation | 710,015 | ||||||
| 18,390 | PG&E Corporation | 740,749 | ||||||
| 31,330 | PNM Resources, Inc. | 755,679 | ||||||
| 8,500 | Public Service Enterprise Group, Inc. | 272,340 | ||||||
| 7,500 | Southern Company | 308,325 | ||||||
| 16,148 | Southwest Gas Corporation | 902,835 | ||||||
| 12,200 | Wisconsin Energy Corporation | 504,348 | ||||||
|
| |||||||
| Total | 5,233,017 | |||||||
|
| |||||||
Total Common Stock (cost $258,419,087) | 335,275,329 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
78
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (3.8%) | Value | ||||||
| Asset-Backed Securities (0.1%) | |||||||
| Renaissance Home Equity Loan Trust | ||||||||
| $650,000 | 6.011%, 5/25/2036 | $ | 455,278 | |||||
|
| |||||||
| Total | 455,278 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (0.1%) | |||||||
| MASTR Alternative Loans Trust | ||||||||
| 41,671 | 0.615%, 12/25/2035c | 22,595 | ||||||
| Residential Asset Securitization Trust | ||||||||
| 52,006 | 0.545%, 8/25/2037c | 16,226 | ||||||
| Sequoia Mortgage Trust | ||||||||
| 185,995 | 2.631%, 9/20/2046 | 156,811 | ||||||
| 33,702 | 2.634%, 9/20/2046 | 2,339 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 76,002 | 2.369%, 9/25/2036 | 66,354 | ||||||
| 109,836 | 2.420%, 10/25/2036 | 93,669 | ||||||
|
| |||||||
| Total | 357,994 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (<0.1%) | |||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 250,000 | 5.509%, 9/15/2039 | 268,437 | ||||||
| Government National Mortgage Association | ||||||||
| 45,839 | 2.164%, 3/16/2033 | 46,064 | ||||||
| 23,316 | 3.214%, 1/16/2040 | 23,660 | ||||||
|
| |||||||
| Total | 338,161 | |||||||
|
| |||||||
| Financials (<0.1%) | |||||||
| Achmea Hypotheekbank NV | ||||||||
| 205,000 | 3.200%, 11/3/2014d | 209,801 | ||||||
| Canadian Imperial Bank of Commerce | ||||||||
| 205,000 | 2.600%, 7/2/2015d | 211,458 | ||||||
|
| |||||||
| Total | 421,259 | |||||||
|
| |||||||
| Mortgage-Backed Securities (1.6%) | |||||||
| Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 2,250,000 | 3.000%, 1/1/2029e | 2,291,660 | ||||||
| Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 1,488,000 | 3.500%, 1/1/2029e | 1,556,064 | ||||||
| Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 2,775,000 | 3.500%, 1/1/2044e | 2,756,572 | ||||||
| 2,775,000 | 4.000%, 1/1/2044e | 2,856,516 | ||||||
| 3,413,000 | 4.500%, 1/1/2044e | 3,616,314 | ||||||
|
| |||||||
| Total | 13,077,126 | |||||||
|
| |||||||
| U.S. Government and Agencies (2.0%) | |||||||
| FDIC Structured Sale Guaranteed Notes | ||||||||
| $85,000 | Zero Coupon, 1/7/2014d | 84,969 | ||||||
| Federal National Mortgage Association | ||||||||
| 860,000 | 1.375%, 11/15/2016 | 874,431 | ||||||
| 665,000 | 0.875%, 5/21/2018 | 643,263 | ||||||
| Tennessee Valley Authority | ||||||||
| 165,000 | 5.250%, 9/15/2039 | 176,107 | ||||||
| U.S. Treasury Bonds | ||||||||
| 3,140,000 | 3.000%, 5/15/2042 | 2,633,185 | ||||||
| U.S. Treasury Notes | ||||||||
| 4,300,000 | 1.250%, 10/31/2018 | 4,215,681 | ||||||
| 250,000 | 1.625%, 8/15/2022 | 227,129 | ||||||
| 1,500,000 | 1.750%, 5/15/2023 | 1,351,992 | ||||||
| 4,350,000 | 2.500%, 8/15/2023 | 4,177,357 | ||||||
| U.S. Treasury Notes, TIPS | ||||||||
| 1,313,532 | 0.125%, 4/15/2018 | 1,339,701 | ||||||
|
| |||||||
| Total | 15,723,815 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $31,370,195) | 30,373,633 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (3.3%)f | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 2,450,000 | 0.040%, 1/6/2014b | 2,449,986 | ||||||
| 5,000,000 | 0.031%, 1/15/2014 | 4,999,942 | ||||||
| 4,000,000 | 0.030%, 1/17/2014 | 3,999,947 | ||||||
| 5,000,000 | 0.065%, 1/22/2014 | 4,999,810 | ||||||
| 1,000,000 | 0.100%, 4/23/2014b | 999,689 | ||||||
| 1,300,000 | 0.120%, 5/28/2014b | 1,299,363 | ||||||
| 1,700,000 | 0.122%, 5/30/2014b | 1,699,141 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 5,000,000 | 0.035%, 1/21/2014 | 4,999,903 | ||||||
| U.S. Treasury Bills | ||||||||
| 500,000 | 0.070%, 4/24/2014 | 499,890 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 25,947,671 | |||||||
|
| |||||||
| Total Investments (cost $672,520,305) 100.7% | $ | 805,337,445 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (0.7%) | (5,937,733 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 799,399,712 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | At December 31, 2013, $19,021,951 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| c | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2013. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
79
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| d | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2013, the value of these investments was $506,228 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. | ||
ETF | - | Exchange Traded Fund. | ||
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 | $ | 146,516,735 | ||
Gross unrealized depreciation | (14,893,356 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 131,623,379 | ||
Cost for federal income tax purposes | $ | 673,714,066 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
80
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 383,110,027 | 383,110,027 | — | — | ||||||||||||
Fixed Income Mutual Funds | 30,630,785 | 30,630,785 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 55,677,662 | 55,677,662 | — | — | ||||||||||||
Consumer Staples | 16,796,269 | 15,125,256 | 1,671,013 | — | ||||||||||||
Energy | 36,329,857 | 36,329,857 | — | — | ||||||||||||
Financials | 58,233,762 | 58,233,762 | — | — | ||||||||||||
Health Care | 37,120,856 | 37,120,856 | — | — | ||||||||||||
Industrials | 46,835,726 | 46,835,726 | — | — | ||||||||||||
Information Technology | 64,789,175 | 64,789,175 | — | — | ||||||||||||
Materials | 11,630,002 | 11,630,002 | — | — | ||||||||||||
Telecommunications Services | 2,629,003 | 2,629,003 | — | — | ||||||||||||
Utilities | 5,233,017 | 5,233,017 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 455,278 | — | 455,278 | — | ||||||||||||
Collateralized Mortgage Obligations | 357,994 | — | 357,994 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 338,161 | — | 338,161 | — | ||||||||||||
Financials | 421,259 | — | 421,259 | — | ||||||||||||
Mortgage-Backed Securities | 13,077,126 | — | 13,077,126 | — | ||||||||||||
U.S. Government and Agencies | 15,723,815 | — | 15,723,815 | — | ||||||||||||
Short-Term Investments | 25,947,671 | — | 25,947,671 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 805,337,445 | $ | 747,345,128 | $ | 57,992,317 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 7,407,441 | 4,954,237 | 2,453,204 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 7,407,441 | $ | 4,954,237 | $ | 2,453,204 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 5,965,139 | 5,965,139 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 5,965,139 | $ | 5,965,139 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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 | ) | March 2014 | ($ | 3,303,001 | ) | ($ | 3,297,187 | ) | $ | 5,814 | |||||||||
5-Yr. U.S. Treasury Bond Futures | (105 | ) | March 2014 | (12,676,672 | ) | (12,527,813 | ) | 148,859 | ||||||||||||
10-Yr. U.S. Treasury Bond Futures | (35 | ) | March 2014 | (4,388,565 | ) | (4,306,640 | ) | 81,925 | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | 45 | March 2014 | 5,867,716 | 5,774,063 | (93,653 | ) | ||||||||||||||
Eurex EURO STOXX 50 Futures | 1,186 | March 2014 | 48,338,074 | 50,791,278 | 2,453,204 | |||||||||||||||
Mini MSCI EAFE Index Futures | 95 | March 2014 | 8,640,988 | 9,109,550 | 468,562 | |||||||||||||||
Russell 2000 Index Mini-Futures | (881 | ) | March 2014 | (98,410,079 | ) | (102,319,340 | ) | (3,909,261 | ) | |||||||||||
S&P 400 Index Mini-Futures | (570 | ) | March 2014 | (74,383,575 | ) | (76,345,800 | ) | (1,962,225 | ) | |||||||||||
S&P 500 Index Futures | 234 | March 2014 | 103,455,273 | 107,704,350 | 4,249,077 | |||||||||||||||
Total Futures Contracts | $ | 1,442,302 | ||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
81
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | $ | 236,598 | |||
Total Interest Rate Contracts | 236,598 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 7,170,843 | ||||
Total Equity Contracts | 7,170,843 | |||||
|
| |||||
| Total Asset Derivatives | $ | 7,407,441 | ||||
|
| |||||
| Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 93,653 | ||||
Total Interest Rate Contracts | 93,653 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 5,871,486 | ||||
Total Equity Contracts | 5,871,486 | |||||
|
| |||||
| Total Liability Derivatives | $ | 5,965,139 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | (8,310,222 | ) | |||
Total Equity Contracts | (8,310,222 | ) | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (54,991 | ) | |||
Total Foreign Exchange Contracts | (54,991 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (371,845 | ) | |||
Total Interest Rate Contracts | (371,845 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (33,502 | ) | |||
Total Credit Contracts | (33,502 | ) | ||||
|
| |||||
Total | ($ | 8,770,560 | ) | |||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
82
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | 206,580 | ||||
Total Interest Rate Contracts | 206,580 | |||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 4,253,398 | ||||
Total Equity Contracts | 4,253,398 | |||||
|
| |||||
Total | $ | 4,459,978 | ||||
|
| |||||
The following table presents Aggressive Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2013.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | Forwards (Notional)* | Forwards (Percentage of Average Net Assets) | Swaps (Notional)* | |||||||||||||||
Equity Contracts | $ | 332,719,790 | 48.2 | % | N/A | N/A | N/A | |||||||||||||
Interest Rate Contracts | 22,747,915 | 3.3 | N/A | N/A | N/A | |||||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 7,322 | <0.1 | % | N/A | |||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 26,990 | ||||||||||||||
| * | 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.
83
Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Growth and Income Plus^ | $ | 5,294,883 | $ | 123,717 | $ | 6,116,764 | — | $ | — | $ | 123,717 | |||||||||||||
Opportunity Income Plus | — | 7,056,360 | — | 698,926 | 7,094,444 | 56,627 | ||||||||||||||||||
Partner Small Cap Growth | 48,539,108 | 1,212,088 | — | 3,574,409 | 68,748,387 | — | ||||||||||||||||||
Partner Small Cap Value | 14,249,724 | 395,759 | — | 689,344 | 19,488,107 | 313,960 | ||||||||||||||||||
Small Cap Stock | 22,415,543 | 94,327 | — | 1,714,586 | 30,462,701 | 94,327 | ||||||||||||||||||
Partner Mid Cap Value | 23,104,644 | 1,262,135 | 3,000,000 | 1,466,458 | 27,057,173 | 234,886 | ||||||||||||||||||
Mid Cap Stock | 32,744,181 | 142,037 | — | 2,511,818 | 44,367,253 | 142,037 | ||||||||||||||||||
Partner Worldwide Allocation | 97,000,260 | 27,429 | — | 11,257,943 | 112,823,728 | 27,429 | ||||||||||||||||||
Large Cap Value | 32,787,456 | 574,266 | — | 2,773,409 | 43,220,812 | 574,266 | ||||||||||||||||||
Large Cap Stock | 28,504,425 | 378,212 | — | 3,128,201 | 36,941,866 | 378,212 | ||||||||||||||||||
High Yield | 9,008,058 | 567,591 | 420,298 | 1,813,427 | 9,193,170 | 567,610 | ||||||||||||||||||
Income | 6,052,390 | 240,306 | — | 584,681 | 6,048,407 | 226,886 | ||||||||||||||||||
Limited Maturity Bond | — | 8,319,150 | — | 844,749 | 8,294,764 | 19,011 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | — | 5,390,025 | 5,390,025 | — | — | 491 | ||||||||||||||||||
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 | 413,740,812 | 2,769,948 | |||||||||||||||||||||
| ^ | On August 6, 2013, the Thrivent Asset Allocation Portfolios, as the shareholders of the Thrivent Growth and Income Plus Portfolio, redeemed their shares in-kind. The Growth and Income Plus Portfolio distributed fund securities rather than cash as payment for the redemption of these fund shares. These in-kind transactions were conducted at market value. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
84
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Bank Loans (2.1%)a | Value | ||||||
| Basic Materials (0.1%) | |||||||
Fortescue Metals Group, Ltd., Term Loan | ||||||||
| $1,036,901 | 4.250%, 6/30/2019 | $ | 1,049,541 | |||||
Ineos Group Holdings, Ltd., Term Loan | ||||||||
| 1,381,979 | 4.000%, 5/4/2018 | 1,385,434 | ||||||
Tronox Pigments BV, Term Loan | ||||||||
| 368,150 | 4.500%, 3/19/2020 | 372,660 | ||||||
US Coatings Acquisition, Inc., Term Loan | ||||||||
| 853,550 | 4.750%, 2/1/2020 | 858,884 | ||||||
|
| |||||||
| Total | 3,666,519 | |||||||
|
| |||||||
| Capital Goods (0.1%) | |||||||
ADS Waste Holdings, Term Loan | ||||||||
| 1,108,800 | 4.250%, 10/9/2019 | 1,113,723 | ||||||
Berry Plastics Group, Inc., Term Loan | ||||||||
| 1,821,237 | 3.500%, 2/8/2020 | 1,813,643 | ||||||
Silver II Borrower, Term Loan | ||||||||
| 477,787 | 4.000%, 12/13/2019 | 478,284 | ||||||
|
| |||||||
| Total | 3,405,650 | |||||||
|
| |||||||
| Communications Services (0.6%) | |||||||
Atlantic Broadband Penn, LLC, Term Loan | ||||||||
| 632,000 | 3.250%, 11/30/2019 | 629,238 | ||||||
Cequel Communications, LLC, Term Loan | ||||||||
| 610,341 | 3.500%, 2/14/2019 | 610,847 | ||||||
Charter Communications Operating, LLC, Term Loan | ||||||||
| 243,775 | 3.000%, 7/1/2020 | 241,871 | ||||||
Clear Channel Communications, Inc., Term Loan | ||||||||
| 24,347 | 3.819%, 1/29/2016 | 23,553 | ||||||
| 1,398,024 | 6.919%, 1/30/2019 | 1,333,366 | ||||||
| 449,628 | 7.669%, 7/30/2019 | 442,605 | ||||||
Cricket Communications, Inc., Term Loan | ||||||||
| 158,400 | 4.750%, 10/10/2019 | 158,796 | ||||||
| 1,034,800 | 4.750%, 3/8/2020 | 1,038,246 | ||||||
Cumulus Media Holdings, Inc., Term Loan | ||||||||
| 924,844 | 0.000%, 12/23/2020b,c | 929,469 | ||||||
Fairpoint Communications, Term Loan | ||||||||
| 1,215,812 | 7.500%, 2/14/2019 | 1,255,022 | ||||||
Grande Communications Networks, LLC, Term Loan | ||||||||
| 741,275 | 4.500%, 5/29/2020 | 739,733 | ||||||
Hargray Communications Group, Inc., Term Loan | ||||||||
| 1,049,725 | 4.750%, 6/26/2019 | 1,054,974 | ||||||
Integra Telecom Holdings, Inc., Term Loan | ||||||||
| 739,413 | 5.250%, 2/22/2019 | 748,345 | ||||||
| 250,000 | 9.750%, 2/21/2020 | 256,687 | ||||||
Level 3 Communications, Inc., Term Loan | ||||||||
| 1,555,000 | 4.000%, 1/15/2020 | 1,565,698 | ||||||
Liberty Cablevision of Puerto Rico, Ltd., Term Loan | ||||||||
| 788,000 | 6.000%, 6/9/2017 | 788,000 | ||||||
LTS Buyer, LLC, Term Loan | ||||||||
| 552,225 | 4.500%, 4/13/2020 | 554,125 | ||||||
| 62,000 | 8.000%, 4/12/2021 | 62,414 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
| 879,113 | 9.000%, 3/22/2019 | 894,128 | ||||||
Mediacom Broadband, LLC, Term Loan | ||||||||
| 632,000 | 4.000%, 1/20/2020 | 631,608 | ||||||
NEP Broadcasting, LLC, Term Loan | ||||||||
| 1,821,600 | 4.750%, 1/22/2020 | 1,826,609 | ||||||
| 68,571 | 9.500%, 7/22/2020 | 70,243 | ||||||
NTelos, Inc., Term Loan | ||||||||
| 365,375 | 5.750%, 11/9/2019 | 365,985 | ||||||
RCN Corporation, Term Loan | ||||||||
| 956,962 | 4.500%, 3/1/2020 | 963,794 | ||||||
SBA Senior Finance II, LLC, Term Loan | ||||||||
| 175,954 | 3.750%, 9/28/2019 | 176,907 | ||||||
Syniverse Holdings, Inc., Term Loan | ||||||||
| 950,131 | 4.000%, 4/23/2019 | 953,295 | ||||||
TNS, Inc., Term Loan | ||||||||
| 722,500 | 5.000%, 2/14/2020 | 725,889 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
| 937,913 | 4.500%, 2/28/2020 | 942,021 | ||||||
| 507,813 | 4.500%, 3/1/2020 | 510,037 | ||||||
| 243,163 | 4.500%, 3/1/2020 | 244,466 | ||||||
Virgin Media Investment Holdings, Ltd., Term Loan | ||||||||
| 1,505,000 | 3.500%, 6/8/2020 | 1,507,257 | ||||||
Visant Corporation, Term Loan | ||||||||
| 1,569,246 | 5.250%, 12/22/2016 | 1,544,405 | ||||||
WideOpenWest Finance, LLC, Term Loan | ||||||||
| 1,617,775 | 4.750%, 4/1/2019 | 1,624,246 | ||||||
Zayo Group, LLC, Term Loan | ||||||||
| 1,476,984 | 4.000%, 7/2/2019b,c | 1,477,324 | ||||||
|
| |||||||
| Total | 26,891,203 | |||||||
|
| |||||||
| Consumer Cyclical (0.4%) | |||||||
Bally Technologies, Inc., Term Loan | ||||||||
| 793,013 | 4.250%, 11/25/2020 | 798,215 | ||||||
Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
| 940,013 | 4.250%, 2/23/2017 | 948,238 | ||||||
Cenveo Corporation, Term Loan | ||||||||
| 507,362 | 6.250%, 2/13/2017 | 509,478 | ||||||
Ceridian Corporation, Term Loan | ||||||||
| 880,000 | 4.415%, 5/9/2017 | 882,473 | ||||||
Chrysler Group, LLC, Term Loan | ||||||||
| 828,626 | 3.875%, 5/24/2017 | 833,573 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
85
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
Principal | Bank Loans (2.1%)a | Value | ||||||
| Consumer Cyclical (0.4%) - continued | |||||||
| Golden Nugget, Inc., Delayed Draw | ||||||||
| $151,500 | 5.000%, 11/21/2019 | $ | 153,583 | |||||
| Golden Nugget, Inc., Term Loan | ||||||||
| 353,500 | 5.500%, 11/21/2019 | 358,361 | ||||||
| J.C. Penney Corporation, Inc., Term Loan | ||||||||
| 368,150 | 6.000%, 5/22/2018 | 359,683 | ||||||
| Las Vegas Sands, LLC, Term Loan | ||||||||
| 4,700,000 | 0.000%, 12/17/2020b,c | 4,693,655 | ||||||
| Marina District Finance Company, Inc., Term Loan | ||||||||
| 3,000,000 | 0.000%, 8/15/2018b,c | 3,009,390 | ||||||
| MGM Resorts International, Term Loan | ||||||||
| 772,200 | 3.500%, 12/20/2019 | 773,652 | ||||||
| Mohegan Tribal Gaming Authority, Term Loan | ||||||||
| 1,500,000 | 5.500%, 11/19/2019 | 1,521,570 | ||||||
| ROC Finance, LLC, Term Loan | ||||||||
| 1,351,612 | 5.000%, 6/20/2019 | 1,292,060 | ||||||
| Seminole Indian Tribe of Florida, Term Loan | ||||||||
| 435,850 | 3.000%, 4/29/2020 | 434,895 | ||||||
| Seven Seas Cruises S de RL, LLC, Term Loan | ||||||||
| 1,422,000 | 4.750%, 12/21/2018 | 1,436,220 | ||||||
| Toys R Us, Inc., Term Loan | ||||||||
| 1,239,639 | 5.250%, 5/25/2018 | 1,043,627 | ||||||
|
| |||||||
| Total | 19,048,673 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.3%) | |||||||
| Albertsons, Inc., Term Loan | ||||||||
| 1,084,550 | 4.750%, 3/21/2019b,c | 1,089,517 | ||||||
| Biomet, Inc., Term Loan | ||||||||
| 995,000 | 3.670%, 7/25/2017 | 1,000,602 | ||||||
| CHS/Community Health Systems, Inc., Term Loan | ||||||||
| 800,000 | 3.737%, 1/25/2017 | 805,872 | ||||||
| Del Monte Corporation, Term Loan | ||||||||
| 150,318 | 4.000%, 3/8/2018 | 150,665 | ||||||
| DJO Finance, LLC, Term Loan | ||||||||
| 1,154,641 | 4.750%, 9/15/2017 | 1,165,471 | ||||||
| Grifols, Inc., Term Loan | ||||||||
| 784,369 | 4.250%, 6/1/2017 | 788,574 | ||||||
| Hologic, Inc., Term Loan | ||||||||
| 770,303 | 3.750%, 8/1/2019 | 774,155 | ||||||
| JBS USA, LLC, Term Loan | ||||||||
| 910,800 | 3.750%, 5/25/2018 | 910,800 | ||||||
| McJunkin Red Man Corporation, Term Loan | ||||||||
| 618,450 | 5.000%, 11/8/2019 | 626,181 | ||||||
| Rite Aid Corporation, Term Loan | ||||||||
| 183,613 | 4.000%, 2/21/2020 | 184,224 | ||||||
| 365,000 | 5.750%, 8/21/2020 | 373,555 | ||||||
| Roundy’s Supermarkets, Inc., Term Loan | ||||||||
| 1,077,089 | 5.750%, 2/13/2019 | 1,075,915 | ||||||
| Supervalu, Inc., Term Loan | ||||||||
| 1,117,742 | 5.000%, 3/21/2019 | 1,127,344 | ||||||
| Van Wagner Communications, LLC, Term Loan | ||||||||
| 678,150 | 6.250%, 8/3/2018 | 685,779 | ||||||
|
| |||||||
| Total | 10,758,654 | |||||||
|
| |||||||
| Energy (0.2%) | |||||||
| Arch Coal, Inc., Term Loan | ||||||||
| 3,219,395 | 6.250%, 5/16/2018 | 3,171,780 | ||||||
| Chesapeake Energy Corporation, Term Loan | ||||||||
| 2,325,000 | 5.750%, 12/2/2017 | 2,371,500 | ||||||
| Offshore Group Investment, Ltd., Term Loan | ||||||||
| 997,463 | 5.750%, 3/28/2019 | 1,008,375 | ||||||
| Pacific Drilling SA, Term Loan | ||||||||
| 492,525 | 4.500%, 6/3/2018 | 497,761 | ||||||
|
| |||||||
| Total | 7,049,416 | |||||||
|
| |||||||
| Financials (0.1%) | |||||||
| GEO Group, Inc., Term Loan | ||||||||
| 244,770 | 3.250%, 4/3/2020 | 242,934 | ||||||
| Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 1,097,851 | 3.750%, 6/30/2019 | 1,105,229 | ||||||
| MoneyGram International, Inc., Term Loan | ||||||||
| 972,650 | 4.250%, 3/27/2020 | 980,859 | ||||||
| WaveDivision Holdings, LLC, Term Loan | ||||||||
| 1,470,150 | 4.000%, 10/12/2019 | 1,475,663 | ||||||
|
| |||||||
| Total | 3,804,685 | |||||||
|
| |||||||
| Technology (0.1%) | |||||||
| First Data Corporation Extended, Term Loan | ||||||||
| 1,540,000 | 4.164%, 3/23/2018 | 1,541,063 | ||||||
| First Data Corporation, Term Loan | ||||||||
| 640,000 | 4.164%, 9/24/2018 | 640,358 | ||||||
| Freescale Semiconductor, Inc., Term Loan | ||||||||
| 883,325 | 5.000%, 3/1/2020 | 891,681 | ||||||
| 600,495 | 5.000%, 1/15/2021 | 606,710 | ||||||
| Infor US, Inc., Term Loan | ||||||||
| 799,639 | 5.250%, 4/5/2018 | 801,470 | ||||||
| 245,000 | 0.000%, 6/3/2020b,c | 244,439 | ||||||
| SunGard Data Systems, Inc., Term Loan | ||||||||
| 1,183,050 | 4.500%, 1/31/2020 | 1,187,983 | ||||||
|
| |||||||
| Total | 5,913,704 | |||||||
|
| |||||||
| Transportation (0.1%) | |||||||
| American Airlines, Inc., Term Loan | ||||||||
| 1,044,750 | 3.750%, 6/27/2019 | 1,049,974 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
86
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
Principal | Bank Loans (2.1%)a | Value | ||||||
| Transportation (0.1%) - continued | |||||||
| American Petroleum Tankers Parent, LLC, Term Loan | ||||||||
| $ | 277,126 | 4.750%, 10/2/2019 | $ | 277,126 | ||||
| Delta Air Lines, Inc., Term Loan | ||||||||
| 1,235,786 | 3.500%, 4/20/2017 | 1,239,543 | ||||||
| United Air Lines, Inc., Term Loan | ||||||||
| 610,388 | 4.000%, 4/1/2019 | 613,440 | ||||||
|
| |||||||
| Total | 3,180,083 | |||||||
|
| |||||||
| Utilities (0.1%) | |||||||
| Calpine Corporation, Term Loan | ||||||||
| 183,117 | 4.000%, 4/1/2018 | 184,174 | ||||||
| 1,264,000 | 4.000%, 10/9/2019 | 1,271,331 | ||||||
| Intergen NV, Term Loan | ||||||||
| 487,550 | 5.500%, 6/15/2020 | 491,207 | ||||||
| NGPL PipeCo, LLC, Term Loan | ||||||||
| 1,108,140 | 6.750%, 9/15/2017 | 1,030,337 | ||||||
|
| |||||||
| Total | 2,977,049 | |||||||
|
| |||||||
Total Bank Loans (cost $86,279,126) | 86,695,636 | |||||||
|
| |||||||
| Shares | Mutual Funds (46.9%) | |||||||
| Equity Mutual Funds (39.6%) | ||||||||
| 5,165,495 | Thrivent Partner Small Cap Growth Portfolio | 99,350,542 | ||||||
| 3,387,094 | Thrivent Partner Small Cap Value Portfolio | 95,754,838 | ||||||
| 4,544,703 | Thrivent Small Cap Stock Portfolio | 80,744,824 | ||||||
| 6,555,161 | Thrivent Partner Mid Cap Value Portfolio | 120,947,314 | ||||||
| 14,161,368 | Thrivent Mid Cap Stock Portfolio | 250,137,905 | ||||||
| 46,799,927 | Thrivent Partner Worldwide Allocation Portfolio | 469,014,832 | ||||||
| 19,051,500 | Thrivent Large Cap Value Portfolio | 296,898,574 | ||||||
| 22,150,339 | Thrivent Large Cap Stock Portfolio | 261,579,999 | ||||||
|
| |||||||
| Total | 1,674,428,828 | |||||||
|
| |||||||
| Fixed Income Mutual Funds (7.3%) | |||||||
| 24,872,766 | Thrivent High Yield Portfolio | 126,092,487 | ||||||
| 13,668,836 | Thrivent Income Portfolio | 141,401,371 | ||||||
| 4,308,948 | Thrivent Limited Maturity Bond Portfolio | 42,310,425 | ||||||
|
| |||||||
| Total | 309,804,283 | |||||||
|
| |||||||
Total Mutual Funds (cost $1,663,974,578) | 1,984,233,111 | |||||||
|
| |||||||
Common Stock (28.9%) | ||||||||
| Consumer Discretionary (4.7%) | |||||||
| 18,100 | 888 Holdings Public Company, Ltd. | 51,736 | ||||||
| 42,042 | Amazon.com, Inc.d | 16,765,929 | ||||||
| 4,000 | Aoyama Trading Company, Ltd. | 108,177 | ||||||
| 20,850 | AutoZone, Inc.d | 9,965,049 | ||||||
| 35,400 | Barnes & Noble, Inc.d | 529,230 | ||||||
| 57,800 | Best Buy Company, Inc. | 2,305,064 | ||||||
| 12,800 | Bloomin’ Brands, Inc.d | 307,328 | ||||||
| 72,900 | Cablevision Systems Corporation | 1,307,097 | ||||||
| 28,650 | CBS Corporation | 1,826,151 | ||||||
| 7,800 | Charter Communications, Inc.d | 1,066,728 | ||||||
| 58,190 | Cheesecake Factory, Inc. | 2,808,831 | ||||||
| 9,900 | Children’s Place Retail Stores, Inc.d | 564,003 | ||||||
| 14,300 | Cineworld Group plc | 90,073 | ||||||
| 405,286 | Comcast Corporation | 21,060,687 | ||||||
| 1,900 | Continental AG | 417,412 | ||||||
| 26,200 | Crocs, Inc.d | 417,104 | ||||||
| 700 | Daimler AG | 60,749 | ||||||
| 23,200 | Dana Holding Corporation | 455,184 | ||||||
| 15,200 | David Jones, Ltd. | 41,082 | ||||||
| 77,569 | Delphi Automotive plc | 4,664,224 | ||||||
| 30,232 | Discovery Communications, Inc.d | 2,733,577 | ||||||
| 23,800 | DISH Network Corporationd | 1,378,496 | ||||||
| 53,756 | Dollar Tree, Inc.d | 3,032,914 | ||||||
| 12,600 | Dunkin’ Brands Group, Inc. | 607,320 | ||||||
| 18,700 | Enterprise Inns plcd | 47,772 | ||||||
| 8,418 | Finish Line, Inc. | 237,135 | ||||||
| 208,500 | Ford Motor Company | 3,217,155 | ||||||
| 37,200 | Francesca’s Holdings Corporationd,e | 684,852 | ||||||
| 13,200 | Fuji Heavy Industries, Ltd. | 379,354 | ||||||
| 23,100 | Gannett Company, Inc. | 683,298 | ||||||
| 7,000 | General Motors Companyd | 286,090 | ||||||
| 49,800 | GNC Holdings, Inc. | 2,910,810 | ||||||
| 44,200 | Halfords Group plc | 327,638 | ||||||
| 5,600 | Harley-Davidson, Inc. | 387,744 | ||||||
| 8,300 | Harman International Industries, Inc. | 679,355 | ||||||
| 9,493 | Hasbro, Inc. | 522,210 | ||||||
| 45,600 | Haseko Corporationd | 347,425 | ||||||
| 110,450 | Home Depot, Inc. | 9,094,453 | ||||||
| 69,900 | Home Retail Group plc | 222,643 | ||||||
| 22,810 | HomeAway, Inc.d,e | 932,473 | ||||||
| 81,197 | Ignite Restaurant Group, Inc.d | 1,014,963 | ||||||
| 8,800 | iRobot Corporationd | 305,976 | ||||||
| 6,400 | ITT Educational Services, Inc.d,e | 214,912 | ||||||
| 118,800 | ITV plc | 382,318 | ||||||
| 13,100 | Kingfisher plc | 83,631 | ||||||
| 15,200 | Kohl’s Corporation | 862,600 | ||||||
| 233,577 | Las Vegas Sands Corporation | 18,422,218 | ||||||
| 33,398 | LeapFrog Enterprises, Inc.d,e | 265,180 | ||||||
| 28,287 | LifeLock, Inc.d | 464,190 | ||||||
| 15,129 | Limited Brands, Inc. | 935,729 | ||||||
| 118,860 | Lowe’s Companies, Inc. | 5,889,513 | ||||||
| 10,286 | M/I Homes, Inc.d | 261,779 | ||||||
| 34,000 | Macy’s, Inc. | 1,815,600 | ||||||
| 45,240 | Marriott International, Inc. | 2,233,046 | ||||||
| 13,100 | Marriott Vacations Worldwide Corporationd | 691,156 | ||||||
| 94,072 | MDC Partners, Inc. | 2,399,777 | ||||||
| 66,100 | Mediaset SPAd | 313,475 | ||||||
| 31,980 | Meredith Corporatione | 1,656,564 | ||||||
| 32,800 | MGM China Holdings, Ltd. | 140,380 | ||||||
| 20,500 | Michael Kors Holdings, Ltd.d | 1,664,395 | ||||||
| 14,600 | Mitchells & Butlers plcd | 102,156 | ||||||
| 6,700 | N Brown Group plc | 59,108 | ||||||
| 101,450 | News Corporation | 3,510,170 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
87
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (28.9%) | Value | ||||||
| Consumer Discretionary (4.7%) - continued | |||||||
| 51,130 | Nexstar Broadcasting Group, Inc. | $ | 2,849,475 | |||||
| 142,150 | NIKE, Inc. | 11,178,676 | ||||||
| 5,400 | Noodles & Companyd,e | 193,968 | ||||||
| 16,200 | Omnicom Group, Inc. | 1,204,794 | ||||||
| 8,613 | O’Reilly Automotive, Inc.d | 1,108,579 | ||||||
| 4,300 | Pandora AS | 233,734 | ||||||
| 58,640 | Papa John’s International, Inc. | 2,662,256 | ||||||
| 12,810 | PetSmart, Inc. | 931,928 | ||||||
| 40,148 | Pier 1 Imports, Inc. | 926,616 | ||||||
| 600 | Priceline.com, Inc.d | 697,440 | ||||||
| 18,900 | Regal Entertainment Groupe | 367,605 | ||||||
| 4,500 | Renault SA | 362,145 | ||||||
| 17,110 | Ross Stores, Inc. | 1,282,052 | ||||||
| 7,100 | Safilo Group SPAd | 165,410 | ||||||
| 12,100 | Scientific Games Corporationd | 204,853 | ||||||
| 13,300 | Scripps Networks Interactive, Inc. | 1,149,253 | ||||||
| 51,000 | Seven West Media, Ltd. | 107,466 | ||||||
| 12,700 | Signet Jewelers, Ltd. | 999,490 | ||||||
| 107,000 | SJM Holdings, Ltd. | 359,677 | ||||||
| 58,300 | Smith & Wesson Holding Corporationd,e | 786,467 | ||||||
| 46,700 | Southern Cross Media Group, Ltd. | 70,656 | ||||||
| 27,200 | Starwood Hotels & Resorts Worldwide, Inc. | 2,161,040 | ||||||
| 12,200 | Sturm, Ruger & Company, Inc.e | 891,698 | ||||||
| 4,000 | Takkt AG | 74,233 | ||||||
| 6,300 | Target Corporation | 398,601 | ||||||
| 12,000 | Technicolor SAd | 63,577 | ||||||
| 18,100 | Tempur-Pedic International, Inc.d | 976,676 | ||||||
| 9,800 | Tenneco, Inc.d | 554,386 | ||||||
| 12,400 | The Restaurant Group plc | 121,642 | ||||||
| 29,080 | Time Warner Cable, Inc. | 3,940,340 | ||||||
| 10,800 | TJX Companies, Inc. | 688,284 | ||||||
| 27,700 | Toll Brothers, Inc.d | 1,024,900 | ||||||
| 11,400 | TomTom NVd | 80,920 | ||||||
| 10,700 | Toyota Motor Corporation | 652,433 | ||||||
| 34,460 | Tractor Supply Company | 2,673,407 | ||||||
| 1,300 | TS Tech Company, Ltd. | 43,876 | ||||||
| 108,570 | Tuesday Morning Corporationd | 1,732,777 | ||||||
| 280,100 | Twenty-First Century Fox, Inc. | 9,853,918 | ||||||
| 11,200 | Under Armour, Inc.d,e | 977,760 | ||||||
| 8,800 | Urban Outfitters, Inc.d | 326,480 | ||||||
| 23,500 | USS Company, Ltd. | 322,338 | ||||||
| 12,952 | VF Corporation | 807,428 | ||||||
| 31,000 | Viacom, Inc. | 2,707,540 | ||||||
| 18,600 | Weight Watchers International, Inc.e | 612,498 | ||||||
| 30,600 | Wyndham Worldwide Corporation | 2,254,914 | ||||||
| 6,570 | Wynn Resorts, Ltd. | 1,275,960 | ||||||
|
| |||||||
| Total | 200,273,554 | |||||||
|
| |||||||
| Consumer Staples (1.5%) | ||||||||
| 65,500 | Altria Group, Inc. | 2,514,545 | ||||||
| 5,979 | Andersons, Inc. | 533,147 | ||||||
| 48,200 | Anheuser-Busch InBev NV ADR | 5,131,372 | ||||||
| 37,476 | Annie’s, Inc.d,e | 1,612,967 | ||||||
| 50,000 | Archer-Daniels-Midland Company | 2,170,000 | ||||||
| 15,490 | Beam, Inc. | 1,054,249 | ||||||
| 6,900 | Brown-Forman Corporation | 521,433 | ||||||
| 35,600 | Bunge, Ltd. | 2,923,116 | ||||||
| 5,500 | Campbell Soup Company | 238,040 | ||||||
| 35,800 | Colgate-Palmolive Company | 2,334,518 | ||||||
| 3,900 | Cranswick plc | 76,801 | ||||||
| 109,800 | CVS Caremark Corporation | 7,858,386 | ||||||
| 2,169 | Energizer Holdings, Inc. | 234,773 | ||||||
| 69,300 | Greencore Group plc | 255,910 | ||||||
| 17,970 | �� | Hain Celestial Group, Inc.d | 1,631,317 | |||||
| 3,500 | Henkel AG & Company KGaA | 406,823 | ||||||
| 57,451 | Ingredion, Inc. | 3,933,095 | ||||||
| 5,900 | Japan Tobacco, Inc. | 191,979 | ||||||
| 18,370 | Kimberly-Clark Corporation | 1,918,930 | ||||||
| 12,600 | Koninklijke (Royal) Ahold NV | 226,437 | ||||||
| 18,480 | Kraft Foods Group, Inc. | 996,442 | ||||||
| 55,300 | Kroger Company | 2,186,009 | ||||||
| 1,955 | Leroy Seafood Group ASA | 57,280 | ||||||
| 2,400 | Mandom Corporation | 75,989 | ||||||
| 80,360 | Mondelez International, Inc. | 2,836,708 | ||||||
| 22,030 | Monster Beverage Corporationd | 1,492,973 | ||||||
| 85,800 | Nestle SA | 6,288,287 | ||||||
| 20,616 | Philip Morris International, Inc. | 1,796,272 | ||||||
| 6,100 | Prestige Brands Holdings, Inc.d | 218,380 | ||||||
| 28,200 | Procter & Gamble Company | 2,295,762 | ||||||
| 83,500 | Rite Aid Corporationd | 422,510 | ||||||
| 700 | Royal Unibrew AS | 95,007 | ||||||
| 51,300 | Safeway, Inc. | 1,670,841 | ||||||
| 9,300 | United Natural Foods, Inc.d | 701,127 | ||||||
| 19,200 | Wal-Mart Stores, Inc. | 1,510,848 | ||||||
| 141,230 | WhiteWave Foods Companyd | 3,239,816 | ||||||
| 16,556 | Whole Foods Market, Inc. | 957,434 | ||||||
| 12,300 | Woolworths, Ltd. | 372,459 | ||||||
|
| |||||||
| Total | 62,981,982 | |||||||
|
| |||||||
| Energy (3.2%) | ||||||||
| 402,090 | Alpha Natural Resources, Inc.d | 2,870,923 | ||||||
| 35,500 | Anadarko Petroleum Corporation | 2,815,860 | ||||||
| 4,000 | Atwood Oceanics, Inc.d | 213,560 | ||||||
| 1,860 | Awilco Drilling plc | 39,685 | ||||||
| 3,500 | Bristow Group, Inc. | 262,710 | ||||||
| 62,951 | BW Offshore, Ltd. | 75,357 | ||||||
| 9,300 | C&J Energy Services, Inc.d | 214,830 | ||||||
| 4,356 | Cabot Oil & Gas Corporation | 168,839 | ||||||
| 19,180 | Cameron International Corporationd | 1,141,785 | ||||||
| 350 | CARBO Ceramics, Inc. | 40,786 | ||||||
| 46,580 | Chevron Corporation | 5,818,308 | ||||||
| 1,920 | Cimarex Energy Company | 201,427 | ||||||
| 38,100 | Cloud Peak Energy, Inc.d | 685,800 | ||||||
| 69,500 | Cobalt International Energy, Inc.d | 1,143,275 | ||||||
| 31,520 | Concho Resources, Inc.d | 3,404,160 | ||||||
| 190,550 | Consol Energy, Inc. | 7,248,522 | ||||||
| 200 | Delek Group, Ltd. | 76,397 | ||||||
| 11,500 | Denbury Resources, Inc.d | 188,945 | ||||||
| 22,900 | Dril-Quip, Inc.d | 2,517,397 | ||||||
| 27,080 | Energy XXI, Ltd. | 732,785 | ||||||
| 2,730 | Ensco plc | 156,101 | ||||||
| 56,136 | EOG Resources, Inc. | 9,421,866 | ||||||
| 67,645 | EQT Corporation | 6,073,168 | ||||||
| 13,100 | Exterran Holdings, Inc.d | 448,020 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
88
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (28.9%) | Value | ||||||
| Energy (3.2%) - continued | |||||||
| 67,000 | Exxon Mobil Corporation | $ | 6,780,400 | |||||
| 400 | Frank’s International NV | 10,800 | ||||||
| 1,239 | Fred Olsen Energy ASA | 50,558 | ||||||
| 2,790 | Helmerich & Payne, Inc. | 234,583 | ||||||
| 34,300 | HollyFrontier Corporation | 1,704,367 | ||||||
| 13,100 | Hunting plc | 169,495 | ||||||
| 42,500 | Key Energy Services, Inc.d | 335,750 | ||||||
| 446,298 | Marathon Oil Corporation | 15,754,319 | ||||||
| 3,200 | Marathon Petroleum Corporation | 293,536 | ||||||
| 89,500 | Nabors Industries, Ltd. | 1,520,605 | ||||||
| 39,260 | National Oilwell Varco, Inc. | 3,122,348 | ||||||
| 3,250 | Newfield Exploration Companyd | 80,048 | ||||||
| 4,590 | Noble Corporation | 171,987 | ||||||
| 3,100 | Noble Energy, Inc. | 211,141 | ||||||
| 54,320 | Oasis Petroleum, Inc.d | 2,551,410 | ||||||
| 16,000 | Occidental Petroleum Corporation | 1,521,600 | ||||||
| 18,680 | Oceaneering International, Inc. | 1,473,478 | ||||||
| 2,315 | Oil States International, Inc.d | 235,482 | ||||||
| 115,419 | Peabody Energy Corporation | 2,254,133 | ||||||
| 55,500 | Petroleo Brasileiro SA ADR | 764,790 | ||||||
| 3,920 | Pioneer Natural Resources Company | 721,554 | ||||||
| 1,990 | Range Resources Corporation | 167,777 | ||||||
| 99,730 | Rex Energy Corporationd | 1,965,678 | ||||||
| 38,770 | Rosetta Resources, Inc.d | 1,862,511 | ||||||
| 4,200 | Rowan Companies plcd | 148,512 | ||||||
| 70 | Royal Dutch Shell plc, Class A | 2,509 | ||||||
| 5,200 | Royal Dutch Shell plc, Class B | 196,146 | ||||||
| 169,220 | Schlumberger, Ltd. | 15,248,414 | ||||||
| 38,000 | SM Energy Company | 3,158,180 | ||||||
| 52,000 | Southwestern Energy Companyd | 2,045,160 | ||||||
| 10,100 | Superior Energy Services, Inc.d | 268,761 | ||||||
| 9,000 | TonenGeneral Sekiyu KK | 82,585 | ||||||
| 107,900 | Total SA ADR | 6,611,033 | ||||||
| 29,000 | Valero Energy Corporation | 1,461,600 | ||||||
| 939,567 | Weatherford International, Ltd.d | 14,553,893 | ||||||
| 2,640 | Whiting Petroleum Corporationd | 163,337 | ||||||
|
| |||||||
| Total | 133,858,986 | |||||||
|
| |||||||
| Financials (5.2%) | ||||||||
| 45,350 | ACE, Ltd. | 4,695,085 | ||||||
| 9,900 | Aegon NV | 93,818 | ||||||
| 33,258 | Affiliated Managers Group, Inc.d | 7,212,995 | ||||||
| 10,100 | Allied World Assurance Company Holdings AG | 1,139,381 | ||||||
| 36,540 | Allstate Corporation | 1,992,892 | ||||||
| 10,700 | Altisource Residential Corporation | 322,177 | ||||||
| 19,100 | American Assets Trust, Inc. | 600,313 | ||||||
| 52,600 | American International Group, Inc. | 2,685,230 | ||||||
| 18,330 | Ameriprise Financial, Inc. | 2,108,866 | ||||||
| 13,100 | AmTrust Financial Services, Inc.e | 428,239 | ||||||
| 13,900 | Aspen Insurance Holdings, Ltd. | 574,209 | ||||||
| 54,300 | Aviva plc | 406,245 | ||||||
| 18,500 | AXA SA | 515,183 | ||||||
| 19,100 | Axis Capital Holdings, Ltd. | 908,587 | ||||||
| 401,340 | Bank of America Corporation | 6,248,864 | ||||||
| 1,500 | Bank of Georgia Holdings plc | 59,511 | ||||||
| 5,600 | Bankinter SA | 38,481 | ||||||
| 13,300 | Banner Corporation | 596,106 | ||||||
| 31,713 | Barclays plc | 143,403 | ||||||
| 51,420 | BBCN Bancorp, Inc. | 853,058 | ||||||
| 48,700 | Berkshire Hathaway, Inc.d | 5,773,872 | ||||||
| 7,100 | BNP Paribas SA | 553,854 | ||||||
| 9,992 | Boston Properties, Inc. | 1,002,897 | ||||||
| 19,100 | Camden Property Trust | 1,086,408 | ||||||
| 71,000 | CapitaMall Trust | 107,446 | ||||||
| 13,700 | Cash America International, Inc. | 524,710 | ||||||
| 242,917 | Citigroup, Inc. | 12,658,405 | ||||||
| 9,065 | CNA Financial Corporation | 388,798 | ||||||
| 54,080 | CNO Financial Group, Inc. | 956,675 | ||||||
| 25,720 | Columbia Banking System, Inc. | 707,557 | ||||||
| 17,000 | Comerica, Inc. | 808,180 | ||||||
| 14,000 | Credit Suisse Group AGd | 432,087 | ||||||
| 79,700 | DCT Industrial Trust, Inc. | 568,261 | ||||||
| 22,800 | DDR Corporation | 350,436 | ||||||
| 36,200 | Deutsche Bank AGe | 1,746,288 | ||||||
| 51,899 | Discover Financial Services | 2,903,749 | ||||||
| 15,316 | DnB ASA | 274,894 | ||||||
| 43,250 | Education Realty Trust, Inc. | 381,465 | ||||||
| 18,288 | Equity Residential | 948,599 | ||||||
| 11,400 | Evercore Partners, Inc. | 681,492 | ||||||
| 11,590 | Extra Space Storage, Inc. | 488,287 | ||||||
| 17,600 | F.N.B. Corporation | 222,112 | ||||||
| 111,100 | Fifth Third Bancorp | 2,336,433 | ||||||
| 51,500 | First Horizon National Corporation | 599,975 | ||||||
| 12,500 | First Industrial Realty Trust, Inc. | 218,125 | ||||||
| 63,800 | First Niagara Financial Group, Inc. | 677,556 | ||||||
| 64,480 | First Republic Bank | 3,375,528 | ||||||
| 26,900 | Franklin Street Properties Corporation | 321,455 | ||||||
| 27,400 | Fulton Financial Corporation | 358,392 | ||||||
| 14,300 | FXCM, Inc. | 255,112 | ||||||
| 17,500 | GAM Holding AGd | 340,732 | ||||||
| 14,900 | Gaming and Leisure Properties, Inc.d | 757,069 | ||||||
| 25,600 | Grainger plc | 86,499 | ||||||
| 2,600 | Grupo Catalana Occidente SA | 93,205 | ||||||
| 21,100 | Hang Seng Bank, Ltd. | 342,697 | ||||||
| 68,030 | Hanmi Financial Corporation | 1,489,177 | ||||||
| 26,500 | Hatteras Financial Corporation | 433,010 | ||||||
| 36,272 | HCC Insurance Holdings, Inc. | 1,673,590 | ||||||
| 11,063 | Health Care REIT, Inc. | 592,645 | ||||||
| 18,731 | Henderson Group plc | 71,174 | ||||||
| 42,000 | Henderson Land Development Company, Ltd. | 240,112 | ||||||
| 69,095 | Host Hotels & Resorts, Inc. | 1,343,207 | ||||||
| 356,500 | Huntington Bancshares, Inc. | 3,440,225 | ||||||
| 43,800 | Intermediate Capital Group plc | 305,399 | ||||||
| 93,010 | Invesco, Ltd. | 3,385,564 | ||||||
| 39,000 | iShares Barclays 1-3 Year Credit Bond Fund | 4,112,940 | ||||||
| 37,400 | iShares Russell 2000 Index Fund | 4,312,594 | ||||||
| 186,910 | J.P. Morgan Chase & Company | 10,930,497 | ||||||
| 70,200 | KeyCorp | 942,084 | ||||||
| 30,676 | Kimco Realty Corporation | 605,851 | ||||||
| 26,850 | Lazard, Ltd. | 1,216,842 | ||||||
| 360,700 | Lloyds TSB Group plcd | 473,309 | ||||||
| 8,400 | M&T Bank Corporatione | 977,928 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
89
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (28.9%) | Value | ||||||
| Financials (5.2%) - continued | |||||||
| 18,000 | Macerich Company | $ | 1,060,020 | |||||
| 192,700 | Man Group plc | 272,225 | ||||||
| 17,200 | MasterCard, Inc. | 14,369,912 | ||||||
| 115,740 | MetLife, Inc. | 6,240,701 | ||||||
| 78,000 | Mitsubishi UFJ Financial Group, Inc. | 517,873 | ||||||
| 7,400 | Mitsui & Company, Ltd. | 103,164 | ||||||
| 175,000 | Mizuho Financial Group, Inc. | 379,931 | ||||||
| 14,900 | Montpelier Re Holdings, Inc. | 433,590 | ||||||
| 126,450 | Morgan Stanley | 3,965,472 | ||||||
| 35,700 | NASDAQ OMX Group, Inc. | 1,420,860 | ||||||
| 12,600 | NKSJ Holdings, Inc. | 350,704 | ||||||
| 9,900 | Nordea Bank AB | 133,480 | ||||||
| 66,200 | North Pacific Bank, Ltd. | 269,579 | ||||||
| 19,700 | Northern Trust Corporation | 1,219,233 | ||||||
| 44,000 | Oversea-Chinese Banking Corporation, Ltd. | 356,630 | ||||||
| 31,250 | Parkway Properties, Inc. | 602,812 | ||||||
| 22,200 | Pebblebrook Hotel Trust | 682,872 | ||||||
| 20,500 | PHH Corporationd | 499,175 | ||||||
| 41,500 | Piedmont Office Realty Trust, Inc. | 685,580 | ||||||
| 8,100 | Portfolio Recovery Associates, Inc.d | 428,004 | ||||||
| 13,200 | Progressive Corporation | 359,964 | ||||||
| 16,700 | Prologis, Inc. | 617,065 | ||||||
| 21,200 | Protective Life Corporation | 1,073,992 | ||||||
| 29,100 | Prudential Financial, Inc. | 2,683,602 | ||||||
| 15,700 | Prudential plc | 350,803 | ||||||
| 3,803 | Public Storage, Inc. | 572,428 | ||||||
| 8,200 | Raymond James Financial, Inc. | 427,958 | ||||||
| 11,100 | RLJ Lodging Trust | 269,952 | ||||||
| 8,100 | SBI Holdings, Inc. | 122,993 | ||||||
| 10,792 | Simon Property Group, Inc. | 1,642,111 | ||||||
| 23,200 | SLM Corporation | 609,696 | ||||||
| 13,100 | Spar Nord Bank ASd | 118,855 | ||||||
| 236,100 | SPDR Euro Stoxx 50 ETF | 9,963,420 | ||||||
| 16,300 | SPDR Gold Trustd,e | 1,893,571 | ||||||
| 99,100 | SPDR S&P 500 ETF Trust | 18,300,797 | ||||||
| 8,680 | SPDR S&P Biotech ETF | 1,130,136 | ||||||
| 41,580 | State Street Corporation | 3,051,556 | ||||||
| 13,953 | Stewart Information Services Corporation | 450,263 | ||||||
| 9,700 | Sumitomo Mitsui Financial Group, Inc. | 504,433 | ||||||
| 55,910 | SVB Financial Groupd | 5,862,723 | ||||||
| 15,340 | T. Rowe Price Group, Inc. | 1,285,032 | ||||||
| 11,700 | Tanger Factory Outlet Centers, Inc. | 374,634 | ||||||
| 19,500 | TCF Financial Corporation | 316,875 | ||||||
| 48,910 | Terreno Realty Corporation | 865,707 | ||||||
| 24,930 | Texas Capital Bancshares, Inc.d | 1,550,646 | ||||||
| 39,700 | The Paragon Group Of Companies plc | 244,224 | ||||||
| 10,500 | Tokio Marine Holdings, Inc. | 351,432 | ||||||
| 51,200 | Visa, Inc. | 11,401,216 | ||||||
| 9,315 | Vornado Realty Trust | 827,079 | ||||||
| 15,100 | W.R. Berkley Corporation | 655,189 | ||||||
| 77,290 | Wells Fargo & Company | 3,508,966 | ||||||
| 111,641 | Zions Bancorporation | 3,344,764 | ||||||
|
| |||||||
| Total | 220,221,940 | |||||||
|
| |||||||
| Health Care (3.3%) | |||||||
| 9,700 | Abbott Laboratories | 371,801 | ||||||
| 21,600 | Acorda Therapeutics, Inc.d | 630,720 | ||||||
| 7,754 | Actavis, Inc.d | 1,302,672 | ||||||
| 1,800 | Actelion, Ltd.d | 152,678 | ||||||
| 73,100 | Akorn, Inc.d | 1,800,453 | ||||||
| 28,880 | Align Technology, Inc.d | 1,650,492 | ||||||
| 73,900 | Allscripts Healthcare Solutions, Inc.d | 1,142,494 | ||||||
| 25,204 | AmerisourceBergen Corporation | 1,772,093 | ||||||
| 65,230 | Baxter International, Inc. | 4,536,747 | ||||||
| 23,460 | BioMarin Pharmaceutical, Inc.d | 1,648,534 | ||||||
| 118,300 | BioScrip, Inc.d | 875,420 | ||||||
| 7,787 | C.R. Bard, Inc. | 1,042,991 | ||||||
| 14,434 | Catamaran Corporationd | 685,326 | ||||||
| 14,800 | Centene Corporationd | 872,460 | ||||||
| 20,180 | Cerner Corporationd | 1,124,833 | ||||||
| 6,300 | Charles River Laboratories International, Inc.d | 334,152 | ||||||
| 12,492 | CIGNA Corporation | 1,092,800 | ||||||
| 31,600 | Community Health Systems, Inc.d | 1,240,932 | ||||||
| 282,270 | Covidien plc | 19,222,587 | ||||||
| 6,567 | Dechra Pharmaceuticals plc | 76,395 | ||||||
| 20,000 | DENTSPLY International, Inc. | 969,600 | ||||||
| 1,000 | Draegerwerk AG & Company KGaA | 130,798 | ||||||
| 20,700 | Envision Healthcare Holdings, Inc.d | 735,264 | ||||||
| 67,144 | ExamWorks Group, Inc.d,e | 2,005,591 | ||||||
| 243,750 | Express Scripts Holding Companyd | 17,121,000 | ||||||
| 9,400 | Faes Farma, SA | 34,240 | ||||||
| 313,900 | Gilead Sciences, Inc.d | 23,589,585 | ||||||
| 5,400 | GlaxoSmithKline plc | 144,275 | ||||||
| 2,700 | GN Store Nord AS | 66,355 | ||||||
| 22,900 | HCA Holdings, Inc.d | 1,092,559 | ||||||
| 20,400 | Healthways, Inc.d | 313,140 | ||||||
| 15,500 | Illumina, Inc.d,e | 1,714,610 | ||||||
| 1,600 | Lonza Group AGd | 152,053 | ||||||
| 1,730 | Magellan Health Services, Inc.d | 103,644 | ||||||
| 22,300 | McKesson Corporation | 3,599,220 | ||||||
| 143,140 | Merck & Company, Inc. | 7,164,157 | ||||||
| 2,100 | Merck KGaA | 376,800 | ||||||
| 6,480 | Mettler-Toledo International, Inc.d | 1,571,983 | ||||||
| 11,800 | Molina Healthcare, Inc.d | 410,050 | ||||||
| 41,700 | Neurocrine Biosciences, Inc.d | 389,478 | ||||||
| 7,800 | Nobel Biocare Holding AGd | 122,135 | ||||||
| 11,700 | Novartis AG | 937,748 | ||||||
| 60,114 | NuVasive, Inc.d | 1,943,486 | ||||||
| 14,000 | PAREXEL International Corporationd | 632,520 | ||||||
| 101,916 | PDL BioPharma, Inc.e | 860,171 | ||||||
| 22,300 | PerkinElmer, Inc. | 919,429 | ||||||
| 61,324 | Perrigo Company plce | 9,410,781 | ||||||
| 24,700 | Questcor Pharmaceuticals, Inc.e | 1,344,915 | ||||||
| 5,400 | ResMed, Inc.e | 254,232 | ||||||
| 3,200 | Roche Holding AG | 896,404 | ||||||
| 600 | Roche Holding AG | 166,879 | ||||||
| 5,700 | Sanofi | 608,733 | ||||||
| 76,200 | Sanofi ADR | 4,086,606 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
90
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (28.9%) | Value | ||||||
| Health Care (3.3%) - continued |
| ||||||
| 1,400 | Stada Arzneimittel AG | $ | 69,314 | |||||
| 13,000 | Team Health Holdings, Inc.d | 592,150 | ||||||
| 61,500 | Thoratec Corporationd | 2,250,900 | ||||||
| 16,800 | United Therapeutics Corporationd | 1,899,744 | ||||||
| 70,136 | UnitedHealth Group, Inc. | 5,281,241 | ||||||
| 12,000 | Universal Health Services, Inc. | 975,120 | ||||||
| 800 | Veeva Systems, Inc.d | 25,680 | ||||||
| 18,700 | Waters Corporationd | 1,870,000 | ||||||
| 22,119 | Zimmer Holdings, Inc. | 2,061,270 | ||||||
|
| |||||||
| Total | 140,470,440 | |||||||
|
| |||||||
| Industrials (3.8%) | ||||||||
| 17,300 | 3M Company | 2,426,325 | ||||||
| 27,920 | Actuant Corporation | 1,022,989 | ||||||
| 16,720 | Acuity Brands, Inc. | 1,827,830 | ||||||
| 49,900 | ADT Corporation | 2,019,454 | ||||||
| 35,500 | AGCO Corporation | 2,101,245 | ||||||
| 9,633 | Allegion plcd | 425,682 | ||||||
| 66,519 | AMETEK, Inc. | 3,503,556 | ||||||
| 27,880 | Apogee Enterprises, Inc. | 1,001,171 | ||||||
| 1,100 | Arcadis NV | 38,793 | ||||||
| 9,200 | Arkansas Best Corporation | 309,856 | ||||||
| 19,200 | Armstrong World Industries, Inc.d | 1,106,112 | ||||||
| 29,000 | Avis Budget Group, Inc.d | 1,172,180 | ||||||
| 20,289 | B/E Aerospace, Inc.d | 1,765,752 | ||||||
| 11,900 | Babcock & Wilcox Company | 406,861 | ||||||
| 19,700 | BAM Group | 102,722 | ||||||
| 6,800 | Berendsen plc | 105,541 | ||||||
| 86,900 | Boeing Company | 11,860,981 | ||||||
| 23,380 | Briggs & Stratton Corporatione | 508,749 | ||||||
| 34,600 | Carillion plc | 189,699 | ||||||
| 300 | Central Japan Railway Company | 35,356 | ||||||
| 29,800 | Chemring Group plc | 110,866 | ||||||
| 24,640 | CLARCOR, Inc. | 1,585,584 | ||||||
| 7,500 | Colfax Corporationd | 477,675 | ||||||
| 600 | Compagnie de Saint-Gobain | 33,052 | ||||||
| 152,984 | CSX Corporation | 4,401,350 | ||||||
| 12,900 | Cummins, Inc. | 1,818,513 | ||||||
| 7,500 | Daifuku Company, Ltd. | 96,002 | ||||||
| 11,000 | Deluxe Corporation | 574,090 | ||||||
| 56,300 | DigitalGlobe, Inc.d | 2,316,745 | ||||||
| 20,400 | Dover Corporation | 1,969,416 | ||||||
| 1,300 | Elbit Systems, Ltd. | 78,516 | ||||||
| 66,614 | EMCOR Group, Inc. | 2,827,098 | ||||||
| 6,600 | EnerSys, Inc. | 462,594 | ||||||
| 4,000 | Esterline Technologies Corporationd | 407,840 | ||||||
| 1,300 | European Aeronautic Defence and Space Company | 99,802 | ||||||
| 36,700 | Exelis, Inc. | 699,502 | ||||||
| 31,940 | Expeditors International of Washington, Inc. | 1,413,345 | ||||||
| 16,100 | Fastenal Company | 764,911 | ||||||
| 18,600 | Ferrovial SA | 360,317 | ||||||
| 29,398 | Flowserve Corporation | 2,317,444 | ||||||
| 34,250 | Fluor Corporation | 2,749,932 | ||||||
| 29,850 | Fortune Brands Home and Security, Inc. | 1,364,145 | ||||||
| 35,400 | Foster Wheeler AGd | 1,168,908 | ||||||
| 35,030 | GATX Corporation | 1,827,515 | ||||||
| 16,300 | Graco, Inc. | 1,273,356 | ||||||
| 14,300 | GWA Group, Ltd. | 38,913 | ||||||
| 13,000 | Hanwa Company, Ltd. | 69,653 | ||||||
| 67,500 | HNI Corporation | 2,621,025 | ||||||
| 150,522 | Honeywell International, Inc. | 13,753,195 | ||||||
| 6,900 | Huntington Ingalls Industries, Inc. | 621,069 | ||||||
| 2,200 | I.M.A. Industria Macchine Automatiche SPA | 84,743 | ||||||
| 4,200 | IHS, Inc.d | 502,740 | ||||||
| 72,000 | Ingersoll-Rand plc | 4,435,200 | ||||||
| 16,900 | ITE Group plc | 85,944 | ||||||
| 192,990 | Jacobs Engineering Group, Inc.d | 12,156,440 | ||||||
| 19,486 | JB Hunt Transport Services, Inc. | 1,506,268 | ||||||
| 11,400 | JM AB | 322,089 | ||||||
| 17,000 | Kamigumi Company, Ltd. | 155,983 | ||||||
| 15,296 | Kansas City Southern | 1,894,104 | ||||||
| 140,000 | Kawasaki Kisen Kaisha, Ltd. | 354,594 | ||||||
| 11,800 | Keller Group plc | 224,518 | ||||||
| 11,900 | Komori Corporation | 202,912 | ||||||
| 11,700 | Koninklijke Philips NV | 430,810 | ||||||
| 69,650 | Korn/Ferry Internationald | 1,819,258 | ||||||
| 5,700 | KUKA AG | 267,515 | ||||||
| 36,600 | Landstar System, Inc. | 2,102,670 | ||||||
| 3,300 | Lindsay Manufacturing Companye | 273,075 | ||||||
| 7,100 | Lockheed Martin Corporation | 1,055,486 | ||||||
| 39,193 | Manitowoc Company, Inc. | 913,981 | ||||||
| 74,400 | Manpower, Inc. | 6,387,984 | ||||||
| 10,400 | Matson, Inc. | 271,544 | ||||||
| 18,500 | Mermaid Marine Australia, Ltd. | 56,163 | ||||||
| 21,000 | MRC Global, Inc.d | 677,460 | ||||||
| 25,100 | Mueller Water Products, Inc. | 235,187 | ||||||
| 20,000 | Nielsen Holdings NV | 917,800 | ||||||
| 27,000 | Nippon Express Company, Ltd. | 130,697 | ||||||
| 2,900 | Nishio Rent All Company, Ltd. | 73,448 | ||||||
| 12,600 | Northgate plc | 107,308 | ||||||
| 10,800 | Old Dominion Freight Line, Inc.d | 572,616 | ||||||
| 63,966 | Oshkosh Corporation | 3,222,607 | ||||||
| 2,500 | Osterreichische Post Aktiengesellschaft | 119,955 | ||||||
| 10,307 | Parker Hannifin Corporation | 1,325,892 | ||||||
| 49,135 | Pentair, Ltd. | 3,816,315 | ||||||
| 57,420 | Quanta Services, Inc.d | 1,812,175 | ||||||
| 5,900 | Randstad Holding NV | 382,871 | ||||||
| 39,300 | Republic Airways Holdings, Inc.d | 420,117 | ||||||
| 54,590 | Ritchie Brothers Auctioneers, Inc.e | 1,251,749 | ||||||
| 35,750 | Robert Half International, Inc. | 1,501,142 | ||||||
| 2,300 | Rockwell Automation, Inc. | 271,768 | ||||||
| 14,842 | Roper Industries, Inc. | 2,058,289 | ||||||
| 12,500 | SAS ABd | 32,004 | ||||||
| 7,700 | Seven Group Holdings, Ltd. | 55,400 | ||||||
| 19,600 | Shanks Group plc | 35,199 | ||||||
| 61,000 | Singapore Airport Terminal Services, Ltd. | 156,304 | ||||||
| 13,500 | Skilled Group, Ltd. | 41,129 | ||||||
| 1,600 | SMC Corporation | 403,822 | ||||||
| 98,500 | Southwest Airlines Company | 1,855,740 | ||||||
| 23,700 | Spirit Airlines, Inc.d | 1,076,217 | ||||||
| 18,573 | Stericycle, Inc.d | 2,157,625 | ||||||
| 2,800 | Temp Holdings Company, Ltd. | 74,555 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
91
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (28.9%) | Value | ||||||
| Industrials (3.8%) - continued |
| ||||||
| 19,570 | Tennant Company | $ | 1,327,042 | |||||
| 21,300 | Titan International, Inc. | 382,974 | ||||||
| 10,000 | Tyco International, Ltd. | 410,400 | ||||||
| 70,800 | Union Pacific Corporation | 11,894,400 | ||||||
| 25,850 | United Rentals, Inc.d,e | 2,015,007 | ||||||
| 8,901 | United Stationers, Inc. | 408,467 | ||||||
| 5,300 | United Technologies Corporation | 603,140 | ||||||
| 30,300 | Wabash National Corporationd | 374,205 | ||||||
| 11,000 | WESCO International, Inc.d | 1,001,770 | ||||||
|
| |||||||
| Total | 158,940,044 | |||||||
|
| |||||||
| Information Technology (5.5%) | ||||||||
| 49,700 | Accenture plc | 4,086,334 | ||||||
| 61,100 | Activision Blizzard, Inc. | 1,089,413 | ||||||
| 39,115 | Agilent Technologies, Inc. | 2,236,987 | ||||||
| 11,400 | Alliance Data Systems Corporationd | 2,997,402 | ||||||
| 22,900 | Amdocs, Ltd. | 944,396 | ||||||
| 19,700 | Amphenol Corporation | 1,756,846 | ||||||
| 3,300 | Anixter International, Inc. | 296,472 | ||||||
| 25,394 | ANSYS, Inc.d | 2,214,357 | ||||||
| 49,678 | Apple, Inc.f | 27,874,823 | ||||||
| 88,952 | Applied Materials, Inc. | 1,573,561 | ||||||
| 26,700 | Arris Group, Inc.d | 650,545 | ||||||
| 5,800 | Aspen Technology, Inc.d | 242,440 | ||||||
| 328,600 | Atmel Corporationd | 2,572,938 | ||||||
| 61,538 | Autodesk, Inc.d | 3,097,208 | ||||||
| 19,700 | AVG Technologies NVd | 339,037 | ||||||
| 22,800 | Avnet, Inc. | 1,005,708 | ||||||
| 28,360 | Broadridge Financial Solutions, Inc. | 1,120,787 | ||||||
| 124,800 | Brocade Communications Systems, Inc.d | 1,106,976 | ||||||
| 1,900 | Cap Gemini SA | 128,603 | ||||||
| 34,485 | Ciena Corporationd | 825,226 | ||||||
| 348,790 | Cisco Systems, Inc. | 7,830,335 | ||||||
| 79,247 | CoreLogic, Inc.d | 2,815,646 | ||||||
| 15,732 | DST Systems, Inc. | 1,427,522 | ||||||
| 45,421 | E2open, Inc.d,e | 1,086,016 | ||||||
| 16,098 | eBay, Inc.d | 883,619 | ||||||
| 13,900 | Electrocomponents plc | 64,342 | ||||||
| 10,700 | Ellie Mae, Inc.d | 287,509 | ||||||
| 247,800 | EMC Corporation | 6,232,170 | ||||||
| 23,034 | Euronet Worldwide, Inc.d | 1,102,177 | ||||||
| 900 | EVS Broadcast Equipment SA | 58,289 | ||||||
| 13,844 | F5 Networks, Inc.d | 1,257,866 | ||||||
| 309,150 | Facebook, Inc.d | 16,898,139 | ||||||
| 33,200 | Fairchild Semiconductor International, Inc.d | 443,220 | ||||||
| 4,900 | FEI Company | 437,864 | ||||||
| 9,300 | FLIR Systems, Inc. | 279,930 | ||||||
| 26,250 | Gartner, Inc.d | 1,865,062 | ||||||
| 11,900 | Genpact, Ltd.d | 218,603 | ||||||
| 25,473 | Google, Inc.d | 28,547,846 | ||||||
| 36,600 | Guidewire Software, Inc.d | 1,795,962 | ||||||
| 6,500 | iGATE Corporationd | 261,040 | ||||||
| 200 | Inficon Holding AGd | 77,250 | ||||||
| 79,900 | Informatica Corporationd | 3,315,850 | ||||||
| 29,300 | InterDigital, Inc.e | 864,057 | ||||||
| 9,000 | International Business Machines Corporation | 1,688,130 | ||||||
| 17,600 | Ixiad | 234,256 | ||||||
| 20,300 | j2 Global, Inc.e | 1,015,203 | ||||||
| 38,827 | Juniper Networks, Inc.d | 876,325 | ||||||
| 23,500 | Laird plc | 108,051 | ||||||
| 25,783 | Lam Research Corporationd | 1,403,884 | ||||||
| 4,375 | Leidos Holdings, Inc. | 203,394 | ||||||
| 12,849 | Lexmark International, Inc.e | 456,396 | ||||||
| 3,160 | LinkedIn Corporationd | 685,183 | ||||||
| 9,153 | Micro Focus International plc | 116,518 | ||||||
| 34,305 | Microchip Technology, Inc.e | 1,535,149 | ||||||
| 51,820 | Microsoft Corporation | 1,939,623 | ||||||
| 39,300 | Monster Worldwide, Inc.d | 280,209 | ||||||
| 212,939 | NetApp, Inc. | 8,760,310 | ||||||
| 14,100 | NeuStar, Inc.d | 703,026 | ||||||
| 12,001 | Nice Systems, Ltd. ADR | 491,561 | ||||||
| 32,200 | Nokia Oyjd | 260,177 | ||||||
| 23,401 | Nuance Communications, Inc.d | 355,695 | ||||||
| 178,819 | NVIDIA Corporation | 2,864,680 | ||||||
| 39,470 | NXP Semiconductors NVd | 1,812,857 | ||||||
| 51,200 | Oracle Corporation | 1,958,912 | ||||||
| 1,600 | Otsuka Corporation | 204,407 | ||||||
| 34,004 | Plantronics, Inc. | 1,579,486 | ||||||
| 57,500 | Polycom, Inc.d | 645,725 | ||||||
| 165,761 | QUALCOMM, Inc. | 12,307,754 | ||||||
| 137,750 | Salesforce.com, Inc.d | 7,602,423 | ||||||
| 12,415 | Sapient Corporationd | 215,524 | ||||||
| 1,600 | SCSK Corporation | 41,996 | ||||||
| 7,600 | Seagate Technology plc | 426,816 | ||||||
| 5,800 | Seiko Epson Corporation | 156,162 | ||||||
| 15,600 | ServiceNow, Inc.d | 873,756 | ||||||
| 27,500 | SunPower Corporationd,e | 819,775 | ||||||
| 222,940 | Symantec Corporation | 5,256,925 | ||||||
| 28,780 | Synopsys, Inc.d | 1,167,605 | ||||||
| 39,200 | Take-Two Interactive Software, Inc.d | 680,904 | ||||||
| 48,400 | Teradata Corporationd | 2,201,716 | ||||||
| 136,495 | Teradyne, Inc.d | 2,405,042 | ||||||
| 139,600 | Texas Instruments, Inc. | 6,129,836 | ||||||
| 27,700 | Trimble Navigation, Ltd.d | 961,190 | ||||||
| 93,737 | TriQuint Semiconductor, Inc.d | 781,767 | ||||||
| 150 | Twitter, Inc.d | 9,548 | ||||||
| 29,980 | Ubiquiti Networks, Inc.d,e | 1,377,881 | ||||||
| 29,010 | VeriFone Systems, Inc.d | 778,048 | ||||||
| 47,450 | Virtusa Corporationd | 1,807,371 | ||||||
| 107,600 | Vishay Intertechnology, Inc.d | 1,426,776 | ||||||
| 138,950 | VMware, Inc.d | 12,465,205 | ||||||
| 3,700 | Wincor Nixdorf AG | 256,833 | ||||||
| 2,100 | Xaar plc | 39,030 | ||||||
| 159,700 | Xerox Corporation | 1,943,549 | ||||||
| 83,756 | Xilinx, Inc. | 3,846,076 | ||||||
| 11,700 | Xoom Corporationd | 320,229 | ||||||
|
| |||||||
| Total | 230,689,267 | |||||||
|
| |||||||
| Materials (0.9%) | ||||||||
| 5,400 | AEP Industries, Inc.d | 285,282 | ||||||
| 14,990 | Airgas, Inc. | 1,676,632 | ||||||
| 10,090 | Albemarle Corporation | 639,605 | ||||||
| 109,213 | Allied Nevada Gold Corporationd,e | 387,706 | ||||||
| 128,300 | Arrium, Ltd. | 201,478 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
92
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (28.9%) | Value | ||||||
| Materials (0.9%) - continued |
| ||||||
| 6,900 | BHP Billiton, Ltd. | $ | 235,241 | |||||
| 30,500 | BlueScope Steel, Ltd.d | 159,131 | ||||||
| 50,477 | Celanese Corporation | 2,791,883 | ||||||
| 5,800 | CF Industries Holdings, Inc. | 1,351,632 | ||||||
| 23,000 | Cliffs Natural Resources, Inc.e | 602,830 | ||||||
| 38,000 | Coeur Mining, Inc.d | 412,300 | ||||||
| 46,880 | Dow Chemical Company | 2,081,472 | ||||||
| 17,300 | DS Smith plc | 95,390 | ||||||
| 21,700 | Eagle Materials, Inc. | 1,680,231 | ||||||
| 10,900 | Eastman Chemical Company | 879,630 | ||||||
| 15,006 | FMC Corporation | 1,132,353 | ||||||
| 53,660 | H.B. Fuller Company | 2,792,466 | ||||||
| 5,492 | Innophos Holdings, Inc. | 266,911 | ||||||
| 78,600 | Louisiana-Pacific Corporationd | 1,454,886 | ||||||
| 49,440 | Materials Select Sector SPDR Fund | 2,285,117 | ||||||
| 20,800 | Mosaic Company | 983,216 | ||||||
| 11,000 | Nippon Paint Company, Ltd. | 183,019 | ||||||
| 17,200 | Nippon Paper Industries Company, Ltd. | 319,453 | ||||||
| 34,800 | Nucor Corporation | 1,857,624 | ||||||
| 28,000 | Owens-Illinois, Inc.d | 1,001,840 | ||||||
| 15,900 | Packaging Corporation of America | 1,006,152 | ||||||
| 9,600 | PPG Industries, Inc. | 1,820,736 | ||||||
| 9,000 | Schweitzer-Mauduit International, Inc. | 463,230 | ||||||
| 11,500 | Sigma-Aldrich Corporation | 1,081,115 | ||||||
| 20,362 | Silgan Holdings, Inc. | 977,783 | ||||||
| 18,752 | Silver Wheaton Corporation | 378,603 | ||||||
| 14,500 | Smurfit Kappa Group plc | 355,847 | ||||||
| 53,303 | Southern Copper Corporation | 1,530,329 | ||||||
| 65,320 | Steel Dynamics, Inc. | 1,276,353 | ||||||
| 19,400 | Stillwater Mining Companyd | 239,396 | ||||||
| 117,100 | Teck Resources, Ltd. | 3,045,771 | ||||||
| 22,100 | UPM-Kymmene Oyj | 374,820 | ||||||
| 3,100 | Valspar Corporation | 220,999 | ||||||
| 21,200 | Walter Energy, Inc.e | 352,556 | ||||||
| 8,500 | Worthington Industries, Inc. | 357,680 | ||||||
|
| |||||||
| Total | 39,238,698 | |||||||
|
| |||||||
| Telecommunications Services (0.3%) | ||||||||
| 82,500 | AT&T, Inc. | 2,900,700 | ||||||
| 73,801 | BT Group plc | 465,387 | ||||||
| 39,340 | Cogent Communications Group, Inc. | 1,589,729 | ||||||
| 12,400 | Freenet AGd | 372,572 | ||||||
| 26,300 | iiNet, Ltd. | 153,307 | ||||||
| 2,000 | KDDI Corporation | 123,230 | ||||||
| 4,900 | Orange SA | 60,834 | ||||||
| 6,826 | SBA Communications Corporationd | 613,248 | ||||||
| 127,000 | Singapore Telecommunications, Ltd. | 369,331 | ||||||
| 78,700 | TalkTalk Telecom Group plc | 399,569 | ||||||
| 15,375 | Telenor ASA | 367,364 | ||||||
| 78,800 | Telstra Corporation, Ltd. | 369,855 | ||||||
| 19,700 | TPG Telecom, Ltd. | 93,940 | ||||||
| 25,353 | TW Telecom, Inc.d | 772,506 | ||||||
| 82,279 | Verizon Communications, Inc. | 4,043,190 | ||||||
|
| |||||||
| Total | 12,694,762 | |||||||
|
| |||||||
| Utilities (0.5%) | ||||||||
| 140,200 | A2A SPA | 164,085 | ||||||
| 11,200 | Calpine Corporationd | 218,512 | ||||||
| 34,500 | CMS Energy Corporation | 923,565 | ||||||
| 92,800 | Electricidade de Portugal SA | 340,865 | ||||||
| 14,500 | Gas Natural SDG SA | 373,222 | ||||||
| 9,800 | Kansai Electric Power Company, Inc.d | 112,791 | ||||||
| 109,210 | NiSource, Inc. | 3,590,825 | ||||||
| 32,760 | NorthWestern Corporation | 1,419,163 | ||||||
| 101,740 | PG&E Corporation | 4,098,087 | ||||||
| 62,600 | PNM Resources, Inc. | 1,509,912 | ||||||
| 37,500 | Power Assets Holdings, Ltd. | 298,517 | ||||||
| 24,500 | Public Service Enterprise Group, Inc. | 784,980 | ||||||
| 29,800 | Southern Company | 1,225,078 | ||||||
| 32,258 | Southwest Gas Corporation | 1,803,545 | ||||||
| 193,278 | SP AusNet | 215,228 | ||||||
| 20,600 | Veolia Environnement SA | 336,449 | ||||||
| 48,500 | Wisconsin Energy Corporation | 2,004,990 | ||||||
|
| |||||||
| Total | 19,419,814 | |||||||
|
| |||||||
| Total Common Stock (cost $963,042,081) | 1,218,789,487 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (15.4%) | |||||||
| Asset-Backed Securities (0.6%) | |||||||
Access Group, Inc. | ||||||||
| 585,804 | 0.665%, 2/25/2036g,h | 583,679 | ||||||
Ally Auto Receivables Trust 2013-SN1 | ||||||||
| 780,000 | 0.720%, 5/20/2016 | 780,393 | ||||||
Avis Budget Rental Car Funding AESOP, LLC | ||||||||
| 384,670 | 2.370%, 11/20/2014g | 389,005 | ||||||
Chesapeake Funding, LLC | ||||||||
| 500,000 | 0.618%, 1/7/2025g,h | 498,795 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
| 1,120,710 | 5.530%, 4/25/2047 | 1,025,680 | ||||||
DT Auto Owner Trust | ||||||||
| 194,644 | 0.750%, 5/16/2016g | 194,677 | ||||||
Edlinc Student Loan Funding Trust | ||||||||
| 466,731 | 3.170%, 10/1/2025h,i | 462,063 | ||||||
Enterprise Fleet Financing, LLC | ||||||||
| 250,000 | 1.060%, 3/20/2019g | 250,407 | ||||||
FirstEnergy Ohio PIRB Special Purpose Trust 2013 | ||||||||
| 780,000 | 0.679%, 1/15/2019 | 779,662 | ||||||
FNA Trust | ||||||||
| 451,993 | 1.980%, 1/10/2018i | 448,377 | ||||||
GE Dealer Floorplan Master Note Trust | ||||||||
| 780,000 | 0.567%, 4/20/2018h | 780,543 | ||||||
GE Equipment Transportation, LLC | ||||||||
| 650,000 | 0.690%, 11/25/2016 | 649,706 | ||||||
Golden Credit Card Trust | ||||||||
| 540,000 | 0.419%, 2/15/2018g,h | 539,073 | ||||||
| 250,000 | 0.597%, 9/15/2018g,h | 250,272 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
93
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Asset-Backed Securities (0.6%) - continued |
| ||||||
Hertz Fleet Lease Funding, LP | ||||||||
| $1,050,000 | 0.716%, 12/10/2027g,h | $ | 1,050,025 | |||||
HLSS Servicer Advance Receivables Backed Notes | ||||||||
| 650,000 | 1.287%, 9/15/2044g | 649,610 | ||||||
Hyundai Auto Receivables Trust | ||||||||
| 780,000 | 0.710%, 9/15/2017 | 780,750 | ||||||
Hyundai Floorplan Master Owner Trust | ||||||||
| 877,500 | 0.517%, 5/15/2018g,h | 878,564 | ||||||
Master Credit Card Trust | ||||||||
| 529,100 | 0.780%, 4/21/2017g | 528,231 | ||||||
Morgan Stanley Capital, Inc. | ||||||||
| 1,087,458 | 0.315%, 2/25/2037h | 587,225 | ||||||
Motor plc | ||||||||
| 936,000 | 0.665%, 2/15/2021g | 936,911 | ||||||
Nationstar Mortgage Advance Receivable Trust | ||||||||
| 780,000 | 1.080%, 6/20/2044g | 779,505 | ||||||
Nissan Master Owner Trust Receivables | ||||||||
| 900,000 | 0.467%, 2/15/2018h | 899,806 | ||||||
Penarth Master Issuer plc | ||||||||
| 1,055,000 | 0.555%, 11/18/2017g,h | 1,054,207 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 1,578,862 | 5.746%, 5/25/2036 | 1,174,683 | ||||||
| 2,800,000 | 6.011%, 5/25/2036 | 1,961,198 | ||||||
| 1,251,033 | 5.580%, 11/25/2036 | 760,215 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
| 650,000 | 0.700%, 9/15/2017 | 650,170 | ||||||
SLM Student Loan Trust | ||||||||
| 374,252 | 0.767%, 8/15/2022g,h | 373,681 | ||||||
| 450,000 | 1.217%, 5/17/2027g,h | 443,831 | ||||||
Volvo Financial Equipment, LLC | ||||||||
| 650,000 | 0.740%, 3/15/2017g | 649,463 | ||||||
World Financial Network Credit Card Master Trust | ||||||||
| 650,000 | 0.910%, 3/16/2020 | 645,843 | ||||||
World Omni Automobile Lease Securitization Trust | ||||||||
| 650,000 | 1.400%, 2/15/2019 | 654,487 | ||||||
World Omni Master Owner Trust | ||||||||
| 540,000 | 0.517%, 2/15/2018g,h | 540,232 | ||||||
|
| |||||||
| Total | 23,630,969 | |||||||
|
| |||||||
| Basic Materials (0.1%) | ||||||||
FMG Resources Pty. Ltd. | ||||||||
| 1,259,634 | 6.875%, 2/1/2018e,g | 1,325,765 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| 344,000 | 2.375%, 3/15/2018 | 343,160 | ||||||
Glencore Funding, LLC | ||||||||
| 108,000 | 1.700%, 5/27/2016g | 108,091 | ||||||
Hexion US Finance Corporation/Hexion Nova Scotia Finance ULC | ||||||||
| 630,000 | 8.875%, 2/1/2018 | 654,412 | ||||||
Ineos Finance plc | ||||||||
| 630,000 | 7.500%, 5/1/2020g | 690,637 | ||||||
Inmet Mining Corporation | ||||||||
| 630,000 | 7.500%, 6/1/2021g | 658,350 | ||||||
International Paper Company | ||||||||
| 117,000 | 5.300%, 4/1/2015 | 123,229 | ||||||
LyondellBasell Industries NV | ||||||||
| 192,000 | 6.000%, 11/15/2021 | 220,821 | ||||||
Mosaic Company | ||||||||
| 99,000 | 5.450%, 11/15/2033 | 100,866 | ||||||
Rio Tinto Finance USA plc | ||||||||
| 134,000 | 1.375%, 6/17/2016 | 136,087 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
| 506,000 | 2.050%, 10/23/2015g | 512,440 | ||||||
|
| |||||||
| Total | 4,873,858 | |||||||
|
| |||||||
| Capital Goods (0.1%) | ||||||||
BAE Systems plc | ||||||||
| 100,000 | 3.500%, 10/11/2016g | 104,535 | ||||||
CNH Capital, LLC | ||||||||
| 630,000 | 3.625%, 4/15/2018 | 638,662 | ||||||
Eaton Corporation | ||||||||
| 58,000 | 1.500%, 11/2/2017 | 56,859 | ||||||
| 87,000 | 4.000%, 11/2/2032 | 79,902 | ||||||
John Deere Capital Corporation | ||||||||
| 390,000 | 0.314%, 1/12/2015h | 390,264 | ||||||
Northrop Grumman Corporation | ||||||||
| 168,000 | 1.750%, 6/1/2018 | 163,894 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
| 629,634 | 5.750%, 10/15/2020 | 642,227 | ||||||
Roper Industries, Inc. | ||||||||
| 155,000 | 2.050%, 10/1/2018 | 150,633 | ||||||
RSC Equipment Rental, Inc. | ||||||||
| 630,000 | 8.250%, 2/1/2021 | 710,325 | ||||||
Textron, Inc. | ||||||||
| 150,000 | 5.600%, 12/1/2017 | 166,121 | ||||||
|
| |||||||
| Total | 3,103,422 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (0.5%) | ||||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 575,085 | 5.500%, 11/25/2035 | 510,240 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
| 1,930,375 | 5.750%, 4/25/2037 | 1,623,654 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 924,215 | 5.066%, 10/25/2035 | 745,425 | ||||||
| 505,595 | 6.500%, 8/25/2036 | 344,391 | ||||||
| 360,610 | 6.000%, 1/25/2037 | 306,340 | ||||||
| 1,735,664 | 5.500%, 5/25/2037 | 1,442,507 | ||||||
| 1,367,710 | 7.000%, 10/25/2037 | 916,639 | ||||||
Countrywide Home Loans, Inc. | ||||||||
| 756,011 | 5.750%, 4/25/2037 | 666,573 | ||||||
Deutsche Alt-A Securities, Inc., Mortgage Loan Trust | ||||||||
| 233,720 | 5.500%, 10/25/2021 | 223,802 | ||||||
| 607,868 | 6.000%, 10/25/2021 | 565,532 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
94
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Collateralized Mortgage Obligations (0.5%) - continued |
| ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| $1,795,050 | 3.000%, 2/15/2033j | $ | 274,260 | |||||
Federal National Mortgage Association | ||||||||
| 3,868,031 | 3.500%, 1/25/2033j | 690,192 | ||||||
HomeBanc Mortgage Trust | ||||||||
| 2,700,152 | 2.409%, 4/25/2037 | 1,877,683 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 168,904 | 2.665%, 10/25/2036 | 139,962 | ||||||
| 1,845,948 | 0.545%, 1/25/2037h | 1,207,612 | ||||||
| 1,966,092 | 6.250%, 8/25/2037 | 1,375,606 | ||||||
MASTR Alternative Loans Trust | ||||||||
| 400,062 | 6.500%, 7/25/2034 | 400,343 | ||||||
| 1,020,947 | �� | 0.615%, 12/25/2035h | 553,580 | |||||
Merrill Lynch Alternative Note Asset Trust | ||||||||
| 413,277 | 6.000%, 3/25/2037 | 375,359 | ||||||
Residential Asset Securitization Trust | ||||||||
| 1,300,151 | 0.545%, 8/25/2037h | 405,635 | ||||||
Sequoia Mortgage Trust | ||||||||
| 1,115,967 | 2.631%, 9/20/2046 | 940,867 | ||||||
| 179,743 | 2.634%, 9/20/2046 | 12,476 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
| 276,369 | 2.369%, 9/25/2036 | 241,285 | ||||||
| 538,197 | 2.420%, 10/25/2036 | 458,980 | ||||||
| 3,748,460 | 2.065%, 11/25/2036 | 3,151,394 | ||||||
|
| |||||||
| Total | 19,450,337 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (0.7%) | ||||||||
Banc of America Commercial Mortgage, Inc. | ||||||||
| 2,800,000 | 5.623%, 4/10/2049 | 3,102,728 | ||||||
| 3,675,000 | 5.649%, 6/10/2049 | 4,060,989 | ||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 1,710,000 | 5.331%, 2/11/2044 | 1,857,347 | ||||||
CGBAM Commercial Mortgage Trust | ||||||||
| 350,000 | 1.268%, 5/15/2030g,h | 350,219 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 3,900,000 | 5.322%, 12/11/2049 | 4,270,921 | ||||||
Commercial Mortgage Pass-Through Certificates | ||||||||
| 780,000 | 1.218%, 6/8/2030g,h | 778,094 | ||||||
Credit Suisse First Boston Mortgage Securities | ||||||||
| 2,800,000 | 5.542%, 1/15/2049 | 3,080,011 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 3,350,000 | 5.509%, 9/15/2039 | 3,597,062 | ||||||
Federal Home Loan Mortgage Corporation Multi Family Structured Pass Thru Certificates | ||||||||
| 866,341 | 0.727%, 12/25/2016 | 860,729 | ||||||
Government National Mortgage Association | ||||||||
| 103,976 | 2.164%, 3/16/2033 | 104,486 | ||||||
| 52,888 | 3.214%, 1/16/2040 | 53,667 | ||||||
Greenwich Capital Commercial Funding Corporation | ||||||||
| 1,750,000 | 5.867%, 12/10/2049 | 1,917,524 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 520,000 | 0.867%, 4/15/2028g,h | 517,728 | ||||||
| 1,300,000 | 5.706%, 2/12/2049 | 1,395,490 | ||||||
Morgan Stanley Capital, Inc. | ||||||||
| 900,000 | 5.406%, 3/15/2044 | 978,295 | ||||||
SCG Trust 2013-SRP1 | ||||||||
| 425,000 | 1.567%, 11/15/2026g,h | 425,490 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
| 2,100,000 | 5.603%, 10/15/2048 | 2,254,243 | ||||||
|
| |||||||
| Total | 29,605,023 | |||||||
|
| |||||||
| Communications Services (0.3%) | ||||||||
AMC Networks, Inc. | ||||||||
| 630,000 | 4.750%, 12/15/2022 | 600,075 | ||||||
America Movil SAB de CV | ||||||||
| 425,000 | 1.244%, 9/12/2016h | 429,409 | ||||||
| 198,000 | 5.000%, 10/16/2019 | 216,315 | ||||||
AT&T, Inc. | ||||||||
| 132,000 | 2.400%, 8/15/2016 | 135,742 | ||||||
| 275,000 | 1.146%, 11/27/2018h | 277,095 | ||||||
| 174,000 | 3.875%, 8/15/2021 | 176,279 | ||||||
British Telecommunications plc | ||||||||
| 133,000 | 1.625%, 6/28/2016 | 134,172 | ||||||
CBS Corporation | ||||||||
| 116,000 | 8.875%, 5/15/2019 | 148,309 | ||||||
CC Holdings GS V, LLC | ||||||||
| 133,000 | 2.381%, 12/15/2017 | 131,734 | ||||||
CCO Holdings, LLC | ||||||||
| 630,000 | 7.375%, 6/1/2020 | 681,975 | ||||||
CenturyLink, Inc. | ||||||||
| 630,000 | 5.625%, 4/1/2020 | 641,025 | ||||||
Comcast Corporation | ||||||||
| 75,000 | 4.650%, 7/15/2042 | 69,795 | ||||||
Cox Communications, Inc. | ||||||||
| 201,000 | 9.375%, 1/15/2019g | 252,879 | ||||||
Crown Castle Towers, LLC | ||||||||
| 100,000 | 4.174%, 8/15/2017g | 105,477 | ||||||
DIRECTV Holdings, LLC | ||||||||
| 108,000 | 2.400%, 3/15/2017 | 109,950 | ||||||
| 116,000 | 1.750%, 1/15/2018 | 113,792 | ||||||
| 112,000 | 5.875%, 10/1/2019 | 126,872 | ||||||
Hughes Satellite Systems Corporation | ||||||||
| 630,000 | 6.500%, 6/15/2019 | 681,975 | ||||||
Intelsat Jackson Holdings SA | ||||||||
| 630,000 | 7.250%, 4/1/2019 | 680,400 | ||||||
Level 3 Financing, Inc. | ||||||||
| 630,000 | 8.625%, 7/15/2020 | 705,600 | ||||||
NBC Universal Enterprise, Inc. | ||||||||
| 390,000 | 0.929%, 4/15/2018 g,h | 391,428 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
95
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Communications Services (0.3%) - continued |
| ||||||
Nippon Telegraph & Telephone Corporation | ||||||||
| $120,000 | 1.400%, 7/18/2017 | $ | 118,555 | |||||
SBA Tower Trust | ||||||||
| 105,000 | 5.101%, 4/17/2017g | 113,183 | ||||||
Sprint Communications, Inc. | ||||||||
| 629,634 | 9.000%, 11/15/2018g | 758,709 | ||||||
Telefonica Emisiones SAU | ||||||||
| 174,000 | 3.992%, 2/16/2016 | 182,769 | ||||||
| 174,000 | 3.192%, 4/27/2018 | 177,205 | ||||||
Univision Communications, Inc. | ||||||||
| 630,000 | 6.875%, 5/15/2019g | 673,313 | ||||||
UPCB Finance V, Ltd. | ||||||||
| 630,000 | 7.250%, 11/15/2021g | 683,550 | ||||||
Verizon Communications, Inc. | ||||||||
| 264,000 | 2.500%, 9/15/2016 | 272,986 | ||||||
| 87,000 | 1.100%, 11/1/2017 | 84,643 | ||||||
| 100,000 | 5.500%, 2/15/2018 | 112,976 | ||||||
| 132,000 | 1.993%, 9/14/2018h | 138,798 | ||||||
| 66,000 | 3.650%, 9/14/2018 | 69,865 | ||||||
| 198,000 | 6.400%, 9/15/2033 | 227,724 | ||||||
| 66,000 | 6.550%, 9/15/2043 | 77,217 | ||||||
Wind Acquisition Finance SA | ||||||||
| 630,000 | 11.750%, 7/15/2017g | 670,162 | ||||||
|
| |||||||
| Total | 11,171,953 | |||||||
|
| |||||||
| Consumer Cyclical (0.2%) | ||||||||
Amazon.com, Inc. | ||||||||
| 58,000 | 1.200%, 11/29/2017 | 56,787 | ||||||
Chrysler Group, LLC | ||||||||
| 635,000 | 8.000%, 6/15/2019 | 701,675 | ||||||
Cinemark USA, Inc. | ||||||||
| 630,000 | 4.875%, 6/1/2023 | 592,200 | ||||||
Daimler Finance North America, LLC | ||||||||
| 330,000 | 1.102%, 8/1/2018g,h | 331,776 | ||||||
Federated Retail Holdings, Inc. | ||||||||
| 75,000 | 5.900%, 12/1/2016 | 84,126 | ||||||
Ford Motor Company | ||||||||
| 75,000 | 7.450%, 7/16/2031 | 91,850 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 194,000 | 12.000%, 5/15/2015 | 222,646 | ||||||
| 390,000 | 1.489%, 5/9/2016h | 395,722 | ||||||
| 125,000 | 1.700%, 5/9/2016 | 126,430 | ||||||
| 130,000 | 2.375%, 1/16/2018 | 131,295 | ||||||
| 116,000 | 5.000%, 5/15/2018 | 129,213 | ||||||
Gap, Inc. | ||||||||
| 125,000 | 5.950%, 4/12/2021 | 138,122 | ||||||
General Motors Company | ||||||||
| 99,000 | 3.500%, 10/2/2018g | 101,228 | ||||||
| 132,000 | 4.875%, 10/2/2023g | 133,650 | ||||||
General Motors Financial Company, Inc. | ||||||||
| 100,000 | 2.750%, 5/15/2016g | 101,250 | ||||||
| 630,000 | 3.250%, 5/15/2018g | 630,000 | ||||||
Home Depot, Inc. | ||||||||
| 132,000 | 4.875%, 2/15/2044 | 133,659 | ||||||
Hyundai Capital America | ||||||||
| 116,000 | 1.625%, 10/2/2015g | 116,581 | ||||||
Jaguar Land Rover Automotive plc | ||||||||
| 630,000 | 5.625%, 2/1/2023g | 630,000 | ||||||
L Brands, Inc. | ||||||||
| 630,000 | 5.625%, 2/15/2022 | 644,175 | ||||||
Lennar Corporation | ||||||||
| 630,000 | 4.125%, 12/1/2018 | 633,150 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
| 57,000 | 3.875%, 1/15/2022 | 56,184 | ||||||
| 52,000 | 4.375%, 9/1/2023 | 52,196 | ||||||
Toll Brothers Finance Corporation | ||||||||
| 100,000 | 8.910%, 10/15/2017 | 120,750 | ||||||
| 66,000 | 4.000%, 12/31/2018 | 67,155 | ||||||
Toyota Motor Credit Corporation | ||||||||
| 520,000 | 0.529%, 5/17/2016h | 521,483 | ||||||
| 75,000 | 1.750%, 5/22/2017 | 75,354 | ||||||
TRW Automotive, Inc. | ||||||||
| 69,000 | 7.250%, 3/15/2017g | 79,178 | ||||||
Viacom, Inc. | ||||||||
| 99,000 | 2.500%, 9/1/2018 | 99,798 | ||||||
Walgreen Company | ||||||||
| 201,000 | 5.250%, 1/15/2019 | 224,707 | ||||||
Western Union Company | ||||||||
| 116,000 | 2.375%, 12/10/2015 | 118,704 | ||||||
Wynn Las Vegas, LLC | ||||||||
| 630,000 | 5.375%, 3/15/2022e | 636,300 | ||||||
|
| |||||||
| Total | 8,177,344 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.3%) | ||||||||
AbbVie, Inc. | ||||||||
| 232,000 | 1.750%, 11/6/2017 | 231,603 | ||||||
Altria Group, Inc. | ||||||||
| 80,000 | 9.700%, 11/10/2018 | 105,151 | ||||||
| 198,000 | 4.000%, 1/31/2024 | 193,528 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 225,000 | 7.750%, 1/15/2019 | 280,948 | ||||||
Avon Products, Inc. | ||||||||
| 50,000 | 2.375%, 3/15/2016 | 50,331 | ||||||
Biomet, Inc. | ||||||||
| 630,000 | 6.500%, 8/1/2020 | 661,500 | ||||||
Boston Scientific Corporation | ||||||||
| 180,000 | 6.000%, 1/15/2020 | 206,645 | ||||||
Bunge Limited Finance Corporation | ||||||||
| 70,000 | 8.500%, 6/15/2019 | 85,994 | ||||||
Celgene Corporation | ||||||||
| 216,000 | 1.900%, 8/15/2017 | 214,978 | ||||||
| 66,000 | 2.300%, 8/15/2018 | 65,638 | ||||||
CHS/Community Health Systems, Inc. | ||||||||
| 630,000 | 7.125%, 7/15/2020 | 653,625 | ||||||
ConAgra Foods, Inc. | ||||||||
| 165,000 | 1.900%, 1/25/2018 | 161,975 | ||||||
Coventry Health Care, Inc. | ||||||||
| 201,000 | 5.950%, 3/15/2017 | 227,248 | ||||||
CVS Caremark Corporation | ||||||||
| 116,000 | 1.200%, 12/5/2016 | 116,118 | ||||||
| 73,000 | 6.125%, 9/15/2039 | 82,791 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
96
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Consumer Non-Cyclical (0.3%) - continued |
| ||||||
Endo Pharmaceuticals Holdings, Inc. | ||||||||
| $630,000 | 7.000%, 7/15/2019 | $ | 674,100 | |||||
Express Scripts Holding Company | ||||||||
| 120,000 | 3.125%, 5/15/2016 | 125,245 | ||||||
Fresenius Medical Care US Finance II, Inc. | ||||||||
| 630,000 | 5.875%, 1/31/2022g | 664,650 | ||||||
Gilead Sciences, Inc. | ||||||||
| 110,000 | 3.050%, 12/1/2016 | 116,146 | ||||||
Hawk Acquisition Sub, Inc. | ||||||||
| 629,634 | 4.250%, 10/15/2020g | 609,171 | ||||||
Heineken NV | ||||||||
| 58,000 | 1.400%, 10/1/2017g | 56,902 | ||||||
IMS Health, Inc. | ||||||||
| 863,000 | 6.000%, 11/1/2020g | 916,937 | ||||||
Kroger Company | ||||||||
| 245,000 | 0.804%, 10/17/2016h | 245,537 | ||||||
| 116,000 | 1.200%, 10/17/2016 | 116,049 | ||||||
Lorillard Tobacco Company | ||||||||
| 120,000 | 2.300%, 8/21/2017e | 120,265 | ||||||
| 165,000 | 8.125%, 6/23/2019 | 200,994 | ||||||
Mallinckrodt International Finance SA | ||||||||
| 110,000 | 3.500%, 4/15/2018g | 107,909 | ||||||
Mattel, Inc. | ||||||||
| 94,000 | 1.700%, 3/15/2018 | 91,841 | ||||||
Medco Health Solutions, Inc. | ||||||||
| 141,000 | 7.125%, 3/15/2018 | 167,546 | ||||||
Merck & Company, Inc. | ||||||||
| 520,000 | 0.599%, 5/18/2018h | 521,364 | ||||||
Mylan, Inc. | ||||||||
| 116,000 | 7.875%, 7/15/2020g | 131,259 | ||||||
PepsiCo, Inc. | ||||||||
| 390,000 | 0.447%, 2/26/2016h | 390,258 | ||||||
Pernod Ricard SA | ||||||||
| 112,000 | 2.950%, 1/15/2017g | 115,664 | ||||||
| 84,000 | 5.750%, 4/7/2021g | 92,590 | ||||||
Perrigo Company, Ltd. | ||||||||
| 483,000 | 1.300%, 11/8/2016g | 481,326 | ||||||
| 132,000 | 2.300%, 11/8/2018g | 130,288 | ||||||
Roche Holdings, Inc. | ||||||||
| 50,000 | 7.000%, 3/1/2039g | 65,568 | ||||||
SABMiller Holdings, Inc. | ||||||||
| 150,000 | 2.450%, 1/15/2017g | 153,598 | ||||||
| 167,000 | 3.750%, 1/15/2022g | 167,623 | ||||||
Safeway, Inc. | ||||||||
| 50,000 | 3.400%, 12/1/2016 | 52,021 | ||||||
| 135,000 | 5.000%, 8/15/2019 | 143,567 | ||||||
Spectrum Brands Escrow Corporation | ||||||||
| 630,000 | 6.375%, 11/15/2020g | 672,525 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
| 145,000 | 1.300%, 2/1/2017 | 144,370 | ||||||
| 58,000 | 2.400%, 2/1/2019 | 57,460 | ||||||
Tyson Foods, Inc. | ||||||||
| 150,000 | 4.500%, 6/15/2022 | 152,725 | ||||||
Valeant Pharmaceuticals International | ||||||||
| 630,000 | 6.875%, 12/1/2014g | 674,100 | ||||||
Watson Pharmaceuticals, Inc. | ||||||||
| 231,000 | 1.875%, 10/1/2017 | 228,591 | ||||||
WM Wrigley Jr. Company | ||||||||
| 295,000 | 1.400%, 10/21/2016g | 295,447 | ||||||
| 165,000 | 2.000%, 10/20/2017g | 164,542 | ||||||
|
| |||||||
| Total | 12,386,251 | |||||||
|
| |||||||
| Energy (0.2%) | ||||||||
BP Capital Markets plc | ||||||||
| 390,000 | 1.846%, 5/5/2017 | 393,916 | ||||||
| 174,000 | 1.375%, 11/6/2017 | 171,354 | ||||||
| 132,000 | 2.241%, 9/26/2018 | 132,381 | ||||||
CNOOC, Ltd. | ||||||||
| 200,000 | 1.125%, 5/9/2016 | 199,263 | ||||||
Concho Resources, Inc. | ||||||||
| 629,634 | 5.500%, 10/1/2022 | 650,097 | ||||||
Continental Resources, Inc. | ||||||||
| 231,000 | 4.500%, 4/15/2023 | 234,176 | ||||||
Devon Energy Corporation | ||||||||
| 232,000 | 1.200%, 12/15/2016 | 231,903 | ||||||
EQT Corporation | ||||||||
| 118,000 | 8.125%, 6/1/2019 | 143,155 | ||||||
Hess Corporation | ||||||||
| 162,000 | 8.125%, 2/15/2019 | 201,222 | ||||||
Linn Energy, LLC | ||||||||
| 629,634 | 7.000%, 11/1/2019g | 635,930 | ||||||
Lukoil International Finance BV | ||||||||
| 140,000 | 3.416%, 4/24/2018g | 141,225 | ||||||
MEG Energy Corporation | ||||||||
| 630,000 | 6.500%, 3/15/2021g | 663,075 | ||||||
Murphy Oil Corporation | ||||||||
| 87,000 | 2.500%, 12/1/2017 | 87,529 | ||||||
Oasis Petroleum, Inc. | ||||||||
| 630,000 | 6.875%, 1/15/2023 | 670,950 | ||||||
Offshore Group Investment, Ltd. | ||||||||
| 630,000 | 7.500%, 11/1/2019e | 685,125 | ||||||
Petrobras Global Finance BV | ||||||||
| 224,000 | 2.000%, 5/20/2016 | 223,823 | ||||||
Petroleos Mexicanos | ||||||||
| 100,000 | 3.500%, 7/18/2018 | 102,625 | ||||||
Pioneer Natural Resources Company | ||||||||
| 60,000 | 5.875%, 7/15/2016 | 66,557 | ||||||
Range Resources Corporation | ||||||||
| 630,000 | 5.000%, 8/15/2022 | 618,975 | ||||||
Shell International Finance BV | ||||||||
| 395,000 | 0.451%, 11/15/2016h | 395,335 | ||||||
Sinopec Capital 2013, Ltd. | ||||||||
| 180,000 | 1.250%, 4/24/2016g | 179,291 | ||||||
Suncor Energy, Inc. | ||||||||
| 107,000 | 6.100%, 6/1/2018 | 123,688 | ||||||
Transocean, Inc. | ||||||||
| 60,000 | 5.050%, 12/15/2016 | 66,280 | ||||||
| 195,000 | 6.000%, 3/15/2018 | 218,682 | ||||||
Weatherford International, Ltd. | ||||||||
| 110,000 | 9.625%, 3/1/2019 | 141,335 | ||||||
| 180,000 | 6.750%, 9/15/2040 | 194,680 | ||||||
|
| |||||||
| Total | 7,572,572 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
97
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Financials (0.7%) |
| ||||||
Abbey National Treasury Services plc | ||||||||
| $132,000 | 3.050%, 8/23/2018 | $ | 135,634 | |||||
Achmea Hypotheekbank NV | ||||||||
| 283,000 | 3.200%, 11/3/2014g | 289,628 | ||||||
Aetna, Inc. | ||||||||
| 134,000 | 1.500%, 11/15/2017 | 132,029 | ||||||
American Express Credit Corporation | ||||||||
| 75,000 | 2.375%, 3/24/2017 | 77,091 | ||||||
American International Group, Inc. | ||||||||
| 275,000 | 2.375%, 8/24/2015 | 280,896 | ||||||
| 165,000 | 3.800%, 3/22/2017 | 176,203 | ||||||
| 124,000 | 8.250%, 8/15/2018 | 155,109 | ||||||
ANZ National International, Ltd. of London | ||||||||
| 181,000 | 3.125%, 8/10/2015e,g | 187,594 | ||||||
Associated Banc Corporation | ||||||||
| 60,000 | 1.875%, 3/12/2014 | 60,084 | ||||||
Aviation Capital Group Corporation | ||||||||
| 132,000 | 3.875%, 9/27/2016g | 136,341 | ||||||
Bank Nederlandse Gemeenten NV | ||||||||
| 195,000 | 1.375%, 3/19/2018g | 191,529 | ||||||
Bank of America Corporation | ||||||||
| 253,000 | 7.750%, 8/15/2015 | 278,355 | ||||||
| 120,000 | 5.750%, 8/15/2016 | 132,337 | ||||||
| 280,000 | 5.750%, 12/1/2017 | 318,672 | ||||||
| 577,000 | 1.316%, 3/22/2018e,h | 584,663 | ||||||
| 120,000 | 5.650%, 5/1/2018 | 136,592 | ||||||
| 198,000 | 2.600%, 1/15/2019 | 198,874 | ||||||
Bank of Montreal | ||||||||
| 134,000 | 1.300%, 7/15/2016 | 135,124 | ||||||
| 390,000 | 0.843%, 4/9/2018h | 391,966 | ||||||
Bank of Nova Scotia | ||||||||
| 390,000 | 0.643%, 3/15/2016h | 390,623 | ||||||
| 100,000 | 0.950%, 3/15/2016 | 100,142 | ||||||
BB&T Corporation | ||||||||
| 67,000 | 1.103%, 6/15/2018h | 67,470 | ||||||
BBVA Banco Continental SA | ||||||||
| 150,000 | 2.250%, 7/29/2016g | 149,250 | ||||||
BBVA US Senior SAU | ||||||||
| 219,000 | 4.664%, 10/9/2015 | 230,230 | ||||||
Berkshire Hathaway Finance Corporation | ||||||||
| 160,000 | 1.600%, 5/15/2017 | 161,543 | ||||||
| 390,000 | 1.300%, 5/15/2018 | 381,102 | ||||||
BNP Paribas SA | ||||||||
| 116,000 | 1.250%, 12/12/2016 | 116,085 | ||||||
| 176,000 | 2.375%, 9/14/2017 | 179,690 | ||||||
Branch Banking and Trust Company | ||||||||
| 174,000 | 0.667%, 12/1/2016h | 174,146 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
| 465,000 | 2.600%, 7/2/2015g | 479,647 | ||||||
Capital One Financial Corporation | ||||||||
| 116,000 | 2.150%, 3/23/2015 | 117,923 | ||||||
| 260,000 | 0.696%, 3/22/2016h | 259,733 | ||||||
| 179,000 | 6.150%, 9/1/2016 | 200,208 | ||||||
Citigroup, Inc. | ||||||||
| 242,000 | 5.000%, 9/15/2014 | 248,893 | ||||||
| 223,000 | 5.500%, 2/15/2017 | 245,709 | ||||||
| 115,000 | 6.000%, 8/15/2017 | 131,072 | ||||||
| 185,000 | 8.500%, 5/22/2019 | 237,094 | ||||||
| 94,000 | 4.050%, 7/30/2022 | 92,953 | ||||||
CNA Financial Corporation | ||||||||
| 145,000 | 7.350%, 11/15/2019 | 175,771 | ||||||
CoBank ACB | ||||||||
| 120,000 | 0.843%, 6/15/2022h,i | 109,950 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
| 138,000 | 3.950%, 11/9/2022 | 133,721 | ||||||
Credit Agricole SA | ||||||||
| 125,000 | 1.625%, 4/15/2016g | 125,771 | ||||||
Credit Suisse AG | ||||||||
| 232,000 | 5.400%, 1/14/2020 | 257,829 | ||||||
CyrusOne, LP | ||||||||
| 630,000 | 6.375%, 11/15/2022 | 652,050 | ||||||
DDR Corporation | ||||||||
| 125,000 | 9.625%, 3/15/2016 | 146,551 | ||||||
Discover Financial Services | ||||||||
| 226,000 | 6.450%, 6/12/2017 | 256,090 | ||||||
DnB Boligkreditt AS | ||||||||
| 520,000 | 1.450%, 3/21/2018g | 508,248 | ||||||
Eksportfinans ASA | ||||||||
| 80,000 | 3.000%, 11/17/2014 | 80,320 | ||||||
| 111,000 | 5.500%, 5/25/2016 | 117,105 | ||||||
Fifth Third Bancorp | ||||||||
| 136,000 | 5.450%, 1/15/2017 | 149,463 | ||||||
General Electric Capital Corporation | ||||||||
| 55,000 | 1.109%, 5/9/2016h | 55,591 | ||||||
| 65,000 | 1.600%, 11/20/2017 | 64,572 | ||||||
| 50,000 | 0.959%, 4/2/2018h | 50,397 | ||||||
| 421,000 | 6.000%, 8/7/2019 | 493,964 | ||||||
| 390,000 | 1.243%, 3/15/2023h | 388,000 | ||||||
| 154,000 | 6.750%, 3/15/2032 | 190,699 | ||||||
Goldman Sachs Group, Inc. | ||||||||
| 281,000 | 3.700%, 8/1/2015 | 292,603 | ||||||
| 100,000 | 2.375%, 1/22/2018 | 100,380 | ||||||
| 390,000 | 1.436%, 4/30/2018h | 394,607 | ||||||
| 205,000 | 1.341%, 11/15/2018h | 205,481 | ||||||
| 136,000 | 7.500%, 2/15/2019 | 165,644 | ||||||
| 174,000 | 5.375%, 3/15/2020 | 193,510 | ||||||
| 241,000 | 5.250%, 7/27/2021 | 263,857 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
| 177,000 | 4.000%, 10/15/2017 | 188,261 | ||||||
| 144,000 | 5.125%, 4/15/2022 | 156,846 | ||||||
HCP, Inc. | ||||||||
| 67,000 | 6.000%, 1/30/2017 | 75,089 | ||||||
| 75,000 | 6.700%, 1/30/2018 | 87,174 | ||||||
Health Care REIT, Inc. | ||||||||
| 154,000 | 4.700%, 9/15/2017 | 167,398 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
98
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Financials (0.7%) - continued |
| ||||||
| $58,000 | 2.250%, 3/15/2018 | $ | 57,342 | |||||
HSBC Bank plc | ||||||||
| 520,000 | 0.881%, 5/15/2018g,h | 521,128 | ||||||
HSBC Finance Corporation | ||||||||
| 198,000 | 6.676%, 1/15/2021 | 227,509 | ||||||
HSBC USA, Inc. | ||||||||
| 116,000 | 1.625%, 1/16/2018 | 114,383 | ||||||
Huntington Bancshares, Inc. | ||||||||
| 66,000 | 2.600%, 8/2/2018 | 66,039 | ||||||
Huntington National Bank | ||||||||
| 155,000 | 1.350%, 8/2/2016 | 154,943 | ||||||
Icahn Enterprises, LP | ||||||||
| 629,634 | 8.000%, 1/15/2018 | 654,819 | ||||||
ING Bank NV | ||||||||
| 116,000 | 3.750%, 3/7/2017g | 122,174 | ||||||
ING Capital Funding Trust III | ||||||||
| 100,000 | 3.847%, 12/29/2049h,k | 99,625 | ||||||
ING US, Inc. | ||||||||
| 144,000 | 2.900%, 2/15/2018 | 147,281 | ||||||
International Lease Finance Corporation | ||||||||
| 249,000 | 2.193%, 6/15/2016h | 250,245 | ||||||
Intesa Sanpaolo SPA | ||||||||
| 135,000 | 3.125%, 1/15/2016 | 137,573 | ||||||
| 165,000 | 3.875%, 1/15/2019 | 164,046 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 260,000 | 0.689%, 4/23/2015h | 260,512 | ||||||
| 94,000 | 1.125%, 2/26/2016 | 94,160 | ||||||
| 241,000 | 3.450%, 3/1/2016 | 252,772 | ||||||
| 255,000 | 2.000%, 8/15/2017 | 258,660 | ||||||
| 80,000 | 1.800%, 1/25/2018 | 79,298 | ||||||
| 206,000 | 6.300%, 4/23/2019 | 243,132 | ||||||
| 50,000 | 3.200%, 1/25/2023 | 47,401 | ||||||
| 192,000 | 7.900%, 4/29/2049k | 211,680 | ||||||
J.P. Morgan Chase Bank NA | ||||||||
| 166,000 | 0.574%, 6/13/2016h | 165,128 | ||||||
KeyBank NA | ||||||||
| 174,000 | 7.413%, 5/6/2015 | 188,534 | ||||||
Liberty Mutual Group, Inc. | ||||||||
| 60,000 | 4.950%, 5/1/2022g | 62,041 | ||||||
| 56,000 | 6.500%, 5/1/2042g | 61,457 | ||||||
Liberty Property, LP | ||||||||
| 189,000 | 5.500%, 12/15/2016 | 208,631 | ||||||
Lloyds TSB Bank plc | ||||||||
| 116,000 | 6.500%, 9/14/2020g | 131,862 | ||||||
Macquarie Bank, Ltd. | ||||||||
| 155,000 | 5.000%, 2/22/2017g | 168,088 | ||||||
Merrill Lynch & Company, Inc. | ||||||||
| 100,000 | 6.400%, 8/28/2017 | 115,291 | ||||||
Mizuho Corporate Bank, Ltd. | ||||||||
| 200,000 | 1.850%, 3/21/2018g | 194,934 | ||||||
Morgan Stanley | ||||||||
| 120,000 | 4.750%, 4/1/2014e | 120,954 | ||||||
| 47,000 | 1.488%, 2/25/2016h | 47,611 | ||||||
| 47,000 | 1.750%, 2/25/2016 | 47,631 | ||||||
| 241,000 | 4.750%, 3/22/2017 | 263,008 | ||||||
| 100,000 | 6.250%, 8/28/2017 | 114,423 | ||||||
| 260,000 | 1.518%, 4/25/2018h | 263,715 | ||||||
| 112,000 | 4.875%, 11/1/2022 | 114,650 | ||||||
| 110,000 | 4.100%, 5/22/2023 | 106,453 | ||||||
Murray Street Investment Trust I | ||||||||
| 305,000 | 4.647%, 3/9/2017 | 328,451 | ||||||
National City Corporation | ||||||||
| 198,000 | 6.875%, 5/15/2019 | 234,617 | ||||||
Nederlandse Waterschapsbank NV | ||||||||
| 260,000 | 0.750%, 3/29/2016g | 259,843 | ||||||
Nomura Holdings, Inc. | ||||||||
| 390,000 | 1.694%, 9/13/2016h | 397,065 | ||||||
| 242,000 | 2.000%, 9/13/2016 | 244,001 | ||||||
Nordea Eiendomskreditt AS | ||||||||
| 390,000 | 2.125%, 9/22/2016g | 400,402 | ||||||
PNC Bank NA | ||||||||
| 448,000 | 1.150%, 11/1/2016 | 448,549 | ||||||
Prologis, LP | ||||||||
| 150,000 | 7.375%, 10/30/2019 | 181,116 | ||||||
Prudential Covered Trust | ||||||||
| 331,500 | 2.997%, 9/30/2015g | 341,770 | ||||||
Realty Income Corporation | ||||||||
| 58,000 | 2.000%, 1/31/2018 | 56,803 | ||||||
Regions Bank | ||||||||
| 305,000 | 7.500%, 5/15/2018 | 360,902 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 105,000 | 5.625%, 3/15/2017 | 115,754 | ||||||
| 58,000 | 5.000%, 6/1/2021 | 60,867 | ||||||
Royal Bank of Canada | ||||||||
| 550,000 | 1.125%, 7/22/2016 | 549,929 | ||||||
| 201,000 | 2.200%, 7/27/2018 | 201,816 | ||||||
Royal Bank of Scotland Group plc | ||||||||
| 237,000 | 5.050%, 1/8/2015 | 244,016 | ||||||
| 94,000 | 2.550%, 9/18/2015 | 96,139 | ||||||
Santander US Debt SAU | ||||||||
| 150,000 | 3.724%, 1/20/2015g | 152,989 | ||||||
| 85,000 | 3.781%, 10/7/2015g | 87,588 | ||||||
Simon Property Group, LP | ||||||||
| 100,000 | 10.350%, 4/1/2019 | 135,317 | ||||||
SLM Corporation | ||||||||
| 75,000 | 3.875%, 9/10/2015 | 77,531 | ||||||
| 58,000 | 6.250%, 1/25/2016 | 62,640 | ||||||
SpareBank 1 Boligkreditt AS | ||||||||
| 520,000 | 1.250%, 5/2/2018g | 503,152 | ||||||
Svensk Exportkredit AB | ||||||||
| 260,000 | 1.125%, 4/5/2018e | 253,640 | ||||||
Svenska Handelsbanken AB | ||||||||
| 115,000 | 3.125%, 7/12/2016 | 120,279 | ||||||
| 42,000 | 1.625%, 3/21/2018 | 41,203 | ||||||
Swedbank Hypotek AB | ||||||||
| 520,000 | 1.375%, 3/28/2018g | 507,988 | ||||||
Swiss RE Capital I, LP | ||||||||
| 125,000 | 6.854%, 5/29/2049g,k | 132,125 | ||||||
Toronto-Dominion Bank | ||||||||
| 360,000 | 2.200%, 7/29/2015g | 369,540 | ||||||
| 195,000 | 0.702%, 9/9/2016h | 195,576 | ||||||
UBS AG London | ||||||||
| 520,000 | 0.750%, 3/24/2016g | 522,900 | ||||||
UBS AG/Stamford, Connecticut | ||||||||
| 116,000 | 5.875%, 12/20/2017 | 133,113 | ||||||
Union Bank NA | ||||||||
| 264,000 | 1.500%, 9/26/2016 | 266,993 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
99
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Financials (0.7%) - continued |
| ||||||
Ventas Realty, LP | ||||||||
| $ | 198,000 | 1.550%, 9/26/2016 | $ | 199,405 | ||||
Wachovia Corporation | ||||||||
| 390,000 | 0.513%, 6/15/2017h | 386,974 | ||||||
Wells Fargo & Company | �� | |||||||
| 463,000 | 1.250%, 7/20/2016 | 466,435 | ||||||
| 175,000 | 2.100%, 5/8/2017 | 178,264 | ||||||
| 142,000 | 1.500%, 1/16/2018 | 141,083 | ||||||
XLIT, Ltd. | ||||||||
| 198,000 | 2.300%, 12/15/2018 | 194,473 | ||||||
|
| |||||||
| Total | 30,399,557 | |||||||
|
| |||||||
| Foreign Government (0.1%) | |||||||
Asian Development Bank | ||||||||
| 520,000 | 0.500%, 6/20/2016 | 518,024 | ||||||
Denmark Government International Bond | ||||||||
| 520,000 | 0.375%, 4/25/2016g | 516,932 | ||||||
Export-Import Bank of Korea | ||||||||
| 116,000 | 1.250%, 11/20/2015 | 116,358 | ||||||
International Finance Corporation | ||||||||
| 390,000 | 0.500%, 5/16/2016 | 389,252 | ||||||
Kommunalbanken AS | ||||||||
| 175,000 | 2.750%, 5/5/2015g | 180,528 | ||||||
| 520,000 | 0.323%, 3/18/2016g,h | 520,380 | ||||||
Kommuninvest i Sverige AB | ||||||||
| 520,000 | 0.500%, 6/15/2016g | 517,088 | ||||||
Mexico Government International Bond | ||||||||
| 132,000 | 4.000%, 10/2/2023 | 130,680 | ||||||
Province of Ontario | ||||||||
| 440,000 | 1.000%, 7/22/2016 | 441,498 | ||||||
Sweden Government International Bond | ||||||||
| 100,000 | 0.375%, 12/22/2015g | 99,895 | ||||||
| 500,000 | 0.375%, 3/29/2016g | 497,450 | ||||||
|
| |||||||
| Total | 3,928,085 | |||||||
|
| |||||||
| Mortgage-Backed Securities (3.5%) | |||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 16,825,000 | 3.000%, 1/1/2029c | 17,136,525 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 457,386 | 1.953%, 6/1/2043h | 464,689 | ||||||
| 3,525,000 | 3.500%, 1/1/2044c | 3,497,461 | ||||||
Federal National Mortgage Association | ||||||||
| 613,206 | 0.595%, 8/25/2015 | 612,111 | ||||||
| 1,114,849 | 1.764%, 7/1/2043h | 1,118,147 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 16,725,000 | 3.500%, 1/1/2029c | 17,490,038 | ||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 1,849,809 | 2.080%, 1/1/2043h | 1,887,125 | ||||||
| 3,287,066 | 2.059%, 3/1/2043h | 3,354,426 | ||||||
| 2,833,309 | 1.753%, 7/1/2043h | 2,853,155 | ||||||
| 1,200,997 | 1.976%, 7/1/2043h | 1,220,132 | ||||||
| 821,010 | 2.023%, 7/1/2043h | 835,112 | ||||||
| 741,974 | 2.120%, 8/1/2043h | 755,766 | ||||||
| 33,775,000 | 3.500%, 1/1/2044c | 33,550,714 | ||||||
| 32,500,000 | 4.000%, 1/1/2044c | 33,454,687 | ||||||
| 28,788,000 | 4.500%, 1/1/2044c | 30,502,910 | ||||||
|
| |||||||
| Total | 148,732,998 | |||||||
|
| |||||||
| Technology (0.1%) | |||||||
Apple, Inc. | ||||||||
| 520,000 | 0.492%, 5/3/2018h | 519,120 | ||||||
| 50,000 | 2.400%, 5/3/2023 | 44,961 | ||||||
Computer Sciences Corporation | ||||||||
| 90,000 | 2.500%, 9/15/2015 | 91,865 | ||||||
EMC Corporation | ||||||||
| 196,000 | 1.875%, 6/1/2018 | 193,773 | ||||||
First Data Corporation | ||||||||
| 630,000 | 7.375%, 6/15/2019g | 672,525 | ||||||
Hewlett-Packard Company | ||||||||
| 120,000 | 2.125%, 9/13/2015 | 122,193 | ||||||
Intel Corporation | ||||||||
| 116,000 | 4.000%, 12/15/2032 | 106,914 | ||||||
Iron Mountain, Inc. | ||||||||
| 630,000 | 6.000%, 8/15/2023 | 645,750 | ||||||
Micron Semiconductor Asia Pte, Ltd. | ||||||||
| 225,000 | 1.258%, 1/15/2019 | 224,214 | ||||||
Oracle Corporation | ||||||||
| 116,000 | 1.200%, 10/15/2017 | 114,151 | ||||||
| 245,000 | 0.824%, 1/15/2019h | 245,970 | ||||||
Samsung Electronics America, Inc. | ||||||||
| 94,000 | 1.750%, 4/10/2017g | 93,398 | ||||||
Tyco Electronics Group SA | ||||||||
| 193,000 | 6.550%, 10/1/2017 | 220,868 | ||||||
Xerox Corporation | ||||||||
| 120,000 | 7.200%, 4/1/2016 | 134,598 | ||||||
|
| |||||||
| Total | 3,430,300 | |||||||
|
| |||||||
| Transportation (<0.1%) | |||||||
American Airlines Pass Through Trust | ||||||||
| 150,000 | 4.950%, 1/15/2023g | 154,594 | ||||||
Avis Budget Car Rental, LLC | ||||||||
| 630,000 | 8.250%, 1/15/2019 | 686,700 | ||||||
Canadian National Railway Company | ||||||||
| 120,000 | 0.438%, 11/6/2015h | 120,087 | ||||||
Canadian Pacific Railway Company | ||||||||
| 65,000 | 7.125%, 10/15/2031 | 78,168 | ||||||
| 76,000 | 5.750%, 3/15/2033 | 80,414 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
100
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| Transportation (<0.1%) - continued | |||||||
| Continental Airlines, Inc. | ||||||||
| $ | 160,939 | 4.150%, 4/11/2024 | $ | 162,851 | ||||
| CSX Corporation | ||||||||
| 126,000 | 6.250%, 4/1/2015 | 134,674 | ||||||
| 115,000 | 3.700%, 11/1/2023 | 111,251 | ||||||
| Delta Air Lines, Inc. | ||||||||
| 179,000 | 6.750%, 5/23/2017 | 189,740 | ||||||
| 108,398 | 4.950%, 5/23/2019 | 117,611 | ||||||
| 27,898 | 4.750%, 5/7/2020 | 29,851 | ||||||
| ERAC USA Finance, LLC | ||||||||
| 116,000 | 1.400%, 4/15/2016g | 116,092 | ||||||
| 67,000 | 2.800%, 11/1/2018g | 67,706 | ||||||
| Kansas City Southern de Mexico SA de CV | ||||||||
| 295,000 | 0.937%, 10/28/2016h | 295,080 | ||||||
| 100,000 | 2.350%, 5/15/2020 | 93,162 | ||||||
| Virgin Australia Holdings, Ltd. | ||||||||
| 110,000 | 5.000%, 10/23/2023g | 112,269 | ||||||
|
| |||||||
| Total | 2,550,250 | |||||||
|
| |||||||
| U.S. Government and Agencies (7.1%) | |||||||
| FDIC Structured Sale Guaranteed Notes | ||||||||
| 185,000 | Zero Coupon, 1/7/2014g | 184,933 | ||||||
| Federal Agricultural Mortgage Corporation | ||||||||
| 360,000 | 2.125%, 9/15/2015 | 370,436 | ||||||
| Federal Home Loan Bank | ||||||||
| 4,120,000 | 0.375%, 6/24/2016 | 4,106,021 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 2,835,000 | 1.375%, 5/1/2020 | 2,657,852 | ||||||
| Federal National Mortgage Association | ||||||||
| 700,000 | 4.375%, 10/15/2015 | 749,350 | ||||||
| 2,830,000 | 0.375%, 7/5/2016 | 2,810,385 | ||||||
| 1,870,000 | 1.375%, 11/15/2016 | 1,901,379 | ||||||
| 1,535,000 | 0.875%, 5/21/2018 | 1,484,824 | ||||||
| 405,000 | 6.250%, 5/15/2029 | 507,725 | ||||||
| Tennessee Valley Authority | ||||||||
| 390,000 | 5.250%, 9/15/2039 | 416,252 | ||||||
| U.S. Treasury Bonds | ||||||||
| 920,000 | 7.625%, 2/15/2025 | 1,314,306 | ||||||
| 4,550,000 | 6.500%, 11/15/2026 | 6,077,094 | ||||||
| 2,900,000 | 5.250%, 11/15/2028 | 3,491,327 | ||||||
| 2,050,000 | 4.375%, 5/15/2040 | 2,226,812 | ||||||
| 18,695,000 | 3.000%, 5/15/2042 | 15,677,515 | ||||||
| 450,000 | 2.875%, 5/15/2043 | 364,711 | ||||||
| U.S. Treasury Bonds, TIPS | ||||||||
| 99,128 | 2.375%, 1/15/2025 | 113,943 | ||||||
| 64,837 | 2.125%, 2/15/2040 | 72,851 | ||||||
| U.S. Treasury Notes | ||||||||
| 175,000 | 0.250%, 4/30/2014 | 175,089 | ||||||
| 4,000,000 | 0.750%, 6/15/2014 | 4,011,564 | ||||||
| 1,390,000 | 2.625%, 2/29/2016 | 1,456,025 | ||||||
| 79,125,000 | 0.625%, 10/15/2016 | 78,976,641 | ||||||
| 1,035,000 | 1.000%, 10/31/2016 | 1,042,843 | ||||||
| 3,430,000 | 0.625%, 12/15/2016e | 3,416,067 | ||||||
| 3,350,000 | 3.250%, 3/31/2017 | 3,600,205 | ||||||
| 535,000 | 0.625%, 5/31/2017 | 528,020 | ||||||
| 4,050,000 | 1.000%, 5/31/2018 | 3,961,406 | ||||||
| 41,050,000 | 1.250%, 10/31/2018 | 40,245,050 | ||||||
| 7,000,000 | 1.375%, 1/31/2020 | 6,695,388 | ||||||
| 6,490,000 | 1.625%, 8/15/2022 | 5,896,269 | ||||||
| 2,350,000 | 1.750%, 5/15/2023 | 2,118,121 | ||||||
| 41,050,000 | 2.500%, 8/15/2023 | 39,420,808 | ||||||
| U.S. Treasury Notes, TIPS | ||||||||
| 29,301,861 | 0.125%, 4/15/2018 | 29,885,642 | ||||||
| 603,690 | 0.125%, 1/15/2022 | 580,204 | ||||||
| 35,643,790 | 0.125%, 1/15/2023 | 33,663,918 | ||||||
|
| |||||||
| Total | 300,200,976 | |||||||
|
| |||||||
| U.S. Municipals (0.8%) | |||||||
| Buckeye Tobacco Settlement Financing Auth. Rev. | ||||||||
| 1,248,000 | 5.125%, 6/1/2024, Ser. A-2 | 1,029,325 | ||||||
| Dallas/Fort Worth Texas International Airport Joint Rev. Improvement | ||||||||
5.000%, 11/1/2038, Ser. A, | ||||||||
| 2,170,000 | AMT | 2,018,599 | ||||||
| Los Angeles Department Of Water and Power System Rev. | ||||||||
| 2,712,000 | 5.000%, 7/1/2043, Ser. B | 2,779,827 | ||||||
| Massachusetts Bay Transportation Auth. Assessment Rev. | ||||||||
| 1,615,000 | 5.000%, 7/1/2041, Ser. A | 1,684,154 | ||||||
| Massachusetts Development Finance Agency Rev. (Boston University) | ||||||||
| 1,546,000 | 5.000%, 10/1/2048 | 1,549,432 | ||||||
| Massachusetts School Building Auth. Sales Tax Rev. | ||||||||
| 2,170,000 | 5.000%, 5/15/2043, Ser. A | 2,262,117 | ||||||
| Metropolitan Transportation Auth. Transportation Rev. | ||||||||
| 2,170,000 | 5.000%, 11/15/2043, Ser. A | 2,153,226 | ||||||
| Miami-Dade County Expressway Auth. Toll System Rev. | ||||||||
| 922,000 | 5.000%, 7/1/2040, Ser. A | 917,971 | ||||||
| New Jersey Transportation Trust Fund Auth. Transportation System Rev. | ||||||||
| 2,713,000 | 5.000%, 6/15/2042, Ser. A | 2,731,855 | ||||||
| New Jersey Turnpike Auth. Turnpike Rev. | ||||||||
| 870,000 | 5.000%, 1/1/2043, Ser. A | 883,215 | ||||||
| New York City Municipal Water Finance Auth. Water and Sewer System Rev. | ||||||||
| 2,170,000 | 5.000%, 6/15/2047, Ser. EE | 2,212,510 | ||||||
| New York City Transitional Finance Auth. Future Tax Rev. | ||||||||
| 2,025,000 | 5.000%, 5/1/2042, Ser. I | 2,095,065 | ||||||
| New York State Dormitory Auth. Personal Income Tax Rev. | ||||||||
| 1,301,000 | 5.000%, 3/15/2042, Ser. B | 1,337,025 | ||||||
| North Texas Tollway Auth. Rev. | ||||||||
| 2,170,000 | 5.000%, 1/1/2042, Ser. B | 2,112,604 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
101
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (15.4%) | Value | ||||||
| U.S. Municipals (0.8%) - continued | |||||||
| San Diego County Regional Airport Auth. Airport Rev. | ||||||||
| $1,871,000 | 5.000%, 7/1/2038, Ser. B, AMT | $ | 1,811,951 | |||||
| South Carolina Public Service Auth. Rev. Obligations | ||||||||
| 2,170,000 | 5.000%, 12/1/2043, Ser. D | 2,166,550 | ||||||
| State of California Various Purpose G.O. | ||||||||
| 1,085,000 | 5.000%, 9/1/2036 | 1,112,527 | ||||||
| 542,000 | 5.000%, 4/1/2042 | 547,799 | ||||||
| 542,000 | 5.000%, 2/1/2043 | 547,892 | ||||||
| University of Massachusetts Building Auth. Proj. Rev. | ||||||||
| 1,736,000 | 5.000%, 11/1/2039, Ser. 2 | 1,804,919 | ||||||
|
| |||||||
| Total | 33,758,563 | |||||||
|
| |||||||
| Utilities (0.1%) | |||||||
| AES Corporation | ||||||||
| 630,000 | 7.375%, 7/1/2021 | 710,325 | ||||||
| American Electric Power Company, Inc. | ||||||||
| 116,000 | 1.650%, 12/15/2017 | 113,658 | ||||||
| Atlas Pipeline Partners, LP | ||||||||
| 630,000 | 4.750%, 11/15/2021g | 576,450 | ||||||
| Buckeye Partners, LP | ||||||||
| 198,000 | 2.650%, 11/15/2018 | 195,091 | ||||||
| Dayton Power and Light Company | ||||||||
| 132,000 | 1.875%, 9/15/2016g | 133,078 | ||||||
| DCP Midstream Operating, LP | ||||||||
| 58,000 | 2.500%, 12/1/2017 | 57,750 | ||||||
| Duke Energy Corporation | ||||||||
| 168,000 | 2.100%, 6/15/2018 | 167,036 | ||||||
| Enel Finance International NV | ||||||||
| 137,000 | 3.875%, 10/7/2014g | 139,971 | ||||||
| 84,000 | 6.250%, 9/15/2017g | 93,813 | ||||||
| Energy Transfer Partners, LP | ||||||||
| 50,000 | 9.700%, 3/15/2019 | 64,738 | ||||||
| 238,000 | 4.650%, 6/1/2021 | 244,817 | ||||||
| Enterprise Products Operating, LLC | ||||||||
| 180,000 | 1.250%, 8/13/2015 | 181,196 | ||||||
| Exelon Corporation | ||||||||
| 135,000 | 4.900%, 6/15/2015 | 142,331 | ||||||
| Exelon Generation Company, LLC | ||||||||
| 150,000 | 5.200%, 10/1/2019 | 161,651 | ||||||
| Iberdrola Finance Ireland, Ltd. | ||||||||
| 100,000 | 3.800%, 9/11/2014g | 102,007 | ||||||
| ITC Holdings Corporation | ||||||||
| 155,000 | 5.875%, 9/30/2016g | 171,534 | ||||||
| 67,000 | 4.050%, 7/1/2023 | 65,676 | ||||||
| Korea Western Power Company, Ltd. | ||||||||
| 231,000 | 2.875%, 10/10/2018g | 229,657 | ||||||
| MidAmerican Energy Holdings Company | ||||||||
| 182,000 | 1.100%, 5/15/2017g | 181,016 | ||||||
| 201,000 | 5.750%, 4/1/2018 | 229,440 | ||||||
| 120,000 | 6.500%, 9/15/2037 | 139,385 | ||||||
| NextEra Energy Capital Holdings, Inc. | ||||||||
| 180,000 | 1.200%, 6/1/2015 | 180,922 | ||||||
| NiSource Finance Corporation | ||||||||
| 58,000 | 6.400%, 3/15/2018 | 66,748 | ||||||
| 166,000 | 6.800%, 1/15/2019 | 193,189 | ||||||
| Northeast Utilities | ||||||||
| 75,000 | 1.450%, 5/1/2018 | 72,641 | ||||||
| NRG Energy, Inc. | ||||||||
| 630,000 | 6.625%, 3/15/2023 | 634,725 | ||||||
| ONEOK Partners, LP | ||||||||
| 113,000 | 8.625%, 3/1/2019 | 141,722 | ||||||
| Pacific Gas & Electric Company | ||||||||
| 177,000 | 5.625%, 11/30/2017 | 200,537 | ||||||
| PPL Capital Funding, Inc. | ||||||||
| 231,000 | 1.900%, 6/1/2018 | 225,564 | ||||||
| 54,000 | 3.500%, 12/1/2022 | 50,998 | ||||||
| Sempra Energy | ||||||||
| 177,000 | 6.150%, 6/15/2018 | 203,192 | ||||||
| Spectra Energy Partners, LP | ||||||||
| 66,000 | 2.950%, 9/25/2018 | 66,899 | ||||||
| 66,000 | 4.750%, 3/15/2024 | 67,281 | ||||||
| Williams Partners, LP | ||||||||
| 60,000 | 7.250%, 2/1/2017 | 69,188 | ||||||
|
| |||||||
| Total | 6,274,226 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $657,594,461) | 649,246,684 | |||||||
|
| |||||||
| Shares | Preferred Stock (<0.1%) | |||||||
| Financials (<0.1%) | |||||||
| 32,300 | Unipol Gruppo Finanziario SPA, Preferred Shares | 162,983 | ||||||
|
| |||||||
Total | 162,983 | |||||||
|
| |||||||
Total Preferred Stock (cost $137,347) | 162,983 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.8%) | ||||||||
| 34,022,252 | Thrivent Cash Management Trust | 34,022,252 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $34,022,252) | 34,022,252 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
102
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares or Principal Amount | Short-Term Investments (9.7%)l | Value | ||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 26,800,000 | 0.045%, 1/3/2014 | $ | 26,799,933 | |||||
| 35,500,000 | 0.036%, 1/8/2014 | 35,499,750 | ||||||
| 38,000,000 | 0.020%, 1/10/2014 | 37,999,810 | ||||||
| 63,100,000 | 0.095%, 1/15/2014f | 63,099,244 | ||||||
| 3,000,000 | 0.030%, 1/17/2014 | 2,999,960 | ||||||
| 31,800,000 | 0.058%, 1/22/2014 | 31,798,916 | ||||||
| 21,000,000 | 0.050%, 1/24/2014 | 20,999,329 | ||||||
| 45,100,000 | 0.040%, 1/29/2014 | 45,097,887 | ||||||
| 10,000,000 | 0.060%, 1/31/2014 | 9,999,500 | ||||||
| 9,000,000 | 0.065%, 2/3/2014 | 8,999,464 | ||||||
| 4,340,000 | 0.080%, 2/5/2014 | 4,339,663 | ||||||
| 12,000,000 | 0.058%, 2/21/2014 | 11,999,008 | ||||||
| 6,000,000 | 0.065%, 2/28/2014 | 5,999,372 | ||||||
| 13,000,000 | 0.085%, 3/12/2014f | 12,997,851 | ||||||
| 23,000,000 | 0.107%, 3/19/2014 | 22,994,736 | ||||||
| 15,000,000 | 0.094%, 3/26/2014f | 14,996,722 | ||||||
| 13,500,000 | 0.124%, 4/23/2014f | 13,495,800 | ||||||
| 11,900,000 | 0.120%, 5/28/2014f | 11,894,169 | ||||||
| 400,000 | 0.122%, 5/30/2014f | 399,798 | ||||||
| Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 12,000,000 | 0.035%, 1/21/2014 | 11,999,767 | ||||||
| 5,250,000 | 0.050%, 3/4/2014 | 5,249,548 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 4,200,000 | 0.030%, 1/29/2014 | 4,199,902 | ||||||
| Freddie Mac Discount Notes | ||||||||
| 6,000,000 | 0.080%, 3/13/2014 | 5,999,053 | ||||||
| U.S. Treasury Bills | ||||||||
| 1,000,000 | 0.070%, 4/24/2014 | 999,780 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 410,858,962 | |||||||
|
| |||||||
Total Investments (cost $3,815,908,807) 103.8% | $ | 4,384,009,115 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (3.8%) | (159,463,065 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 4,224,546,050 | ||||||
|
| |||||||
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | All or a portion of the loan is unfunded. |
| c | Denotes investments purchased on a when-issued or delayed delivery basis. |
| d | Non-income producing security. |
| e | All or a portion of the security is on loan. |
| f | At December 31, 2013, $35,306,224 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| g | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2013, the value of these investments was $40,922,806 or 1.0% 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 December 31, 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 December 31, 2013. |
Security | Acquisition Date | Cost | ||||||
CoBank ACB, 6/15/2022 | 10/18/2013 | $ | 110,791 | |||||
Edlinc Student Loan Funding Trust, 10/1/2025 | 2/28/2013 | $ | 470,594 | |||||
FNA Trust, 1/10/2018 | 4/29/2013 | $ | 451,974 | |||||
| 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. | ||
AMT | - | Subject to Alternative Minimum Tax | ||
Auth. | - | Authority | ||
ETF | - | Exchange Traded Fund. | ||
G.O. | - | General Obligation | ||
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. | ||
Rev. | - | Revenue | ||
Ser. | - | Series | ||
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 | $ | 593,695,525 | ||
Gross unrealized depreciation | (29,662,125 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 564,033,400 | ||
Cost for federal income tax purposes | $ | 3,819,975,715 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
103
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 3,666,519 | — | 3,666,519 | — | ||||||||||||
Capital Goods | 3,405,650 | — | 3,405,650 | — | ||||||||||||
Communications Services | 26,891,203 | — | 26,891,203 | — | ||||||||||||
Consumer Cyclical | 19,048,673 | — | 19,048,673 | — | ||||||||||||
Consumer Non-Cyclical | 10,758,654 | — | 10,758,654 | — | ||||||||||||
Energy | 7,049,416 | — | 7,049,416 | — | ||||||||||||
Financials | 3,804,685 | — | 3,804,685 | — | ||||||||||||
Technology | 5,913,704 | — | 5,913,704 | — | ||||||||||||
Transportation | 3,180,083 | — | 3,180,083 | — | ||||||||||||
Utilities | 2,977,049 | — | 2,977,049 | — | ||||||||||||
Mutual Funds | ||||||||||||||||
Equity Mutual Funds | 1,674,428,828 | 1,674,428,828 | — | — | ||||||||||||
Fixed Income Mutual Funds | 309,804,283 | 309,804,283 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 200,273,554 | 194,440,318 | 5,833,236 | — | ||||||||||||
Consumer Staples | 62,981,982 | 54,935,010 | 8,046,972 | — | ||||||||||||
Energy | 133,858,986 | 133,166,254 | 692,732 | — | ||||||||||||
Financials | 220,221,940 | 211,567,565 | 8,654,375 | — | ||||||||||||
Health Care | 140,470,440 | 136,535,633 | 3,934,807 | — | ||||||||||||
Industrials | 158,940,044 | 153,782,849 | 5,157,195 | — | ||||||||||||
Information Technology | 230,689,267 | 229,177,609 | 1,511,658 | — | ||||||||||||
Materials | 39,238,698 | 37,314,319 | 1,924,379 | — | ||||||||||||
Telecommunications Services | 12,694,762 | 9,919,373 | 2,775,389 | — | ||||||||||||
Utilities | 19,419,814 | 17,578,657 | 1,841,157 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 23,630,969 | — | 22,720,529 | 910,440 | ||||||||||||
Basic Materials | 4,873,858 | — | 4,873,858 | — | ||||||||||||
Capital Goods | 3,103,422 | — | 3,103,422 | — | ||||||||||||
Collateralized Mortgage Obligations | 19,450,337 | — | 19,450,337 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 29,605,023 | — | 29,605,023 | — | ||||||||||||
Communications Services | 11,171,953 | — | 11,171,953 | — | ||||||||||||
Consumer Cyclical | 8,177,344 | — | 8,177,344 | — | ||||||||||||
Consumer Non-Cyclical | 12,386,251 | — | 12,386,251 | — | ||||||||||||
Energy | 7,572,572 | — | 7,572,572 | — | ||||||||||||
Financials | 30,399,557 | — | 30,289,607 | 109,950 | ||||||||||||
Foreign Government | 3,928,085 | — | 3,928,085 | — | ||||||||||||
Mortgage-Backed Securities | 148,732,998 | — | 148,732,998 | — | ||||||||||||
Technology | 3,430,300 | — | 3,430,300 | — | ||||||||||||
Transportation | 2,550,250 | — | 2,550,250 | — | ||||||||||||
U.S. Government and Agencies | 300,200,976 | — | 300,200,976 | — | ||||||||||||
U.S. Municipals | 33,758,563 | — | 33,758,563 | — | ||||||||||||
Utilities | 6,274,226 | — | 6,274,226 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 162,983 | — | 162,983 | — | ||||||||||||
Collateral Held for Securities Loaned | 34,022,252 | 34,022,252 | — | — | ||||||||||||
Short-Term Investments | 410,858,962 | — | 410,858,962 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 4,384,009,115 | $ | 3,196,672,950 | $ | 1,186,315,775 | $ | 1,020,390 | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
104
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 21,781,379 | 10,733,053 | 11,048,326 | — | ||||||||||||
Foreign Currency Forward Contracts^ | 0 | — | 0 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 21,781,379 | $ | 10,733,053 | $ | 11,048,326 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 10,857,062 | 10,857,062 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 10,857,062 | $ | 10,857,062 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2013. Transfers between Levels are identified as of the end of the period.
| ^ | Unrealized gain on Forward Contracts in this section is <$1. |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (110 | ) | March 2014 | ($ | 24,222,009 | ) | ($ | 24,179,375 | ) | $ | 42,634 | |||||||||
5-Yr. U.S. Treasury Bond Futures | (1,005 | ) | March 2014 | (121,150,645 | ) | (119,909,063 | ) | 1,241,582 | ||||||||||||
10-Yr. U.S. Treasury Bond Futures | (135 | ) | March 2014 | (16,927,323 | ) | (16,611,328 | ) | 315,995 | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | 455 | March 2014 | 59,230,295 | 58,382,187 | (848,108 | ) | ||||||||||||||
Eurex EURO STOXX 50 Futures | 5,341 | March 2014 | 217,683,728 | 228,732,054 | 11,048,326 | |||||||||||||||
Mini MSCI EAFE Index Futures | 125 | March 2014 | 11,369,721 | 11,986,250 | 616,529 | |||||||||||||||
Russell 2000 Index Mini-Futures | (1,019 | ) | March 2014 | (113,825,051 | ) | (118,346,660 | ) | (4,521,609 | ) | |||||||||||
S&P 400 Index Mini-Futures | (1,594 | ) | March 2014 | (208,013,015 | ) | (213,500,360 | ) | (5,487,345 | ) | |||||||||||
S&P 500 Index Futures | 469 | March 2014 | 207,352,662 | 215,868,975 | 8,516,313 | |||||||||||||||
Total Futures Contracts | $ | 10,924,317 | ||||||||||||||||||
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||||
Purchases | ||||||||||||||||||||||||
Australian Dollar^ | CITI | 447 | 1/2/2014 | $ | 399 | $ | 399 | $ | 0 | |||||||||||||||
Total Purchases | $ | 399 | $ | 399 | $ | 0 | ||||||||||||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts | $ | 0 | ||||||||||||||||||||||
| ^ | Unrealized gain on Forward Contracts is <$1. |
Counterparty | ||||||||
| CITI | - | Citibank | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
105
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | $ | 1,600,211 | |||
Total Interest Rate Contracts | 1,600,211 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 20,181,168 | ||||
Total Equity Contracts | 20,181,168 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts^ | Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 0 | ||||
Total Foreign Exchange Contracts | 0 | |||||
|
| |||||
Total Asset Derivatives | $ | 21,781,379 | ||||
|
| |||||
| Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 848,108 | ||||
Total Interest Rate Contracts | 848,108 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 10,008,954 | ||||
Total Equity Contracts | 10,008,954 | |||||
|
| |||||
Total Liability Derivatives | $ | 10,857,062 | ||||
|
| |||||
| * | 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. |
| ^ | Unrealized gain on Forward Contracts is <$1. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | 30,527,787 | ||||
| Total Equity Contracts | 30,564,418 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | 332,931 | ||||
Total Foreign Exchange Contracts | 332,931 | |||||
| Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (3,393,373 | ) | |||
Total Interest Rate Contracts | (3,393,373 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (2,642,406 | ) | |||
Total Credit Contracts | (2,642,406 | ) | ||||
|
| |||||
Total | $ | 24,861,570 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
106
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | 1,269,048 | ||||
Total Interest Rate Contracts | 1,269,048 | |||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 17,307,800 | ||||
Total Equity Contracts | 17,307,800 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (412,079 | ) | |||
Total Credit Contracts | (412,079 | ) | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts^ | Change in net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 0 | ||||
Total Foreign Exchange Contracts | 0 | |||||
|
| |||||
Total | $ | 18,164,769 | ||||
|
| |||||
| ^ | Change in unrealized appreciation on Forward Contracts is <$1. |
The following table presents Moderately Aggressive Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 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 | $ | 738,317,613 | 20.6 | % | N/A | N/A | N/A | N/A | 1 | |||||||||||||||||||
Interest Rate Contracts | 154,285,817 | 4.3 | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 174,552 | <0.1 | % | N/A | N/A | N/A | |||||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 20,223,600 | 0.6 | % | N/A | |||||||||||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
107
Moderately Aggressive Allocation Portfolio
Schedule of Investments as of December 31, 2013
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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Growth and Income Plus^ | $ | 22,177,546 | $ | 518,188 | $ | 25,619,980 | — | $ | — | $ | 518,188 | |||||||||||||
Partner Small Cap Growth | 70,145,452 | 1,751,629 | — | 5,165,495 | 99,350,542 | — | ||||||||||||||||||
Partner Small Cap Value | 73,284,587 | 1,944,564 | 3,500,000 | 3,387,094 | 95,754,838 | 1,542,643 | ||||||||||||||||||
Small Cap Stock | 59,414,925 | 250,023 | — | 4,544,703 | 80,744,824 | 250,023 | ||||||||||||||||||
Partner Mid Cap Value | 91,117,912 | 5,641,827 | — | 6,555,161 | 120,947,314 | 1,049,954 | ||||||||||||||||||
Mid Cap Stock | 184,608,248 | 800,789 | — | 14,161,368 | 250,137,905 | 800,789 | ||||||||||||||||||
Partner Worldwide Allocation | 403,235,751 | 114,024 | — | 46,799,927 | 469,014,832 | 114,024 | ||||||||||||||||||
Large Cap Value | 225,228,272 | 3,944,833 | — | 19,051,500 | 296,898,574 | 3,944,833 | ||||||||||||||||||
Large Cap Stock | 201,835,703 | 2,678,067 | — | 22,150,339 | 261,579,999 | 2,678,067 | ||||||||||||||||||
High Yield | 118,287,065 | 7,663,626 | 347,603 | 24,872,766 | 126,092,487 | 7,663,881 | ||||||||||||||||||
Income | 149,352,272 | 5,732,454 | 7,886,644 | 13,668,836 | 141,401,371 | 5,418,509 | ||||||||||||||||||
Limited Maturity Bond | 46,577,538 | 666,407 | 4,478,082 | 4,308,948 | 42,310,425 | 665,697 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | 34,779,781 | 278,111,142 | 278,868,671 | 34,022,252 | 34,022,252 | 468,117 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | 333,230,361 | 310,290,556 | 643,520,918 | — | — | 148,813 | ||||||||||||||||||
Total Value and Income Earned | 2,013,275,413 | 2,018,255,363 | 25,263,538 | |||||||||||||||||||||
| ^ | On August 6, 2013, the Thrivent Asset Allocation Portfolios, as the shareholders of the Thrivent Growth and Income Plus Portfolio, redeemed their shares in-kind. The Growth and Income Plus Portfolio distributed fund securities rather than cash as payment for the redemption of these fund shares. These in-kind transactions were conducted at market value. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
108
Schedule of Investments as of December 31, 2013
| Principal Amount | Bank Loans (4.2%)a | Value | ||||||
| Basic Materials (0.2%) | |||||||
Alpha Natural Resources, Inc., Term Loan | ||||||||
| $ | 4,269,246 | 3.500%, 5/22/2020 | $ | 4,192,400 | ||||
Fortescue Metals Group, Ltd., Term Loan | ||||||||
| 2,192,305 | 4.250%, 6/30/2019 | 2,219,030 | ||||||
HCA, Inc., Term Loan | ||||||||
| 1,496,250 | 2.919%, 3/31/2017 | 1,495,786 | ||||||
Ineos Group Holdings, Ltd., Term Loan | ||||||||
| 3,899,354 | 4.000%, 5/4/2018 | 3,909,102 | ||||||
Tronox Pigments BV, Term Loan | ||||||||
| 1,283,550 | 4.500%, 3/19/2020 | 1,299,274 | ||||||
US Coatings Acquisition, Inc., Term Loan | ||||||||
| 2,977,500 | 4.750%, 2/1/2020 | 2,996,109 | ||||||
|
| |||||||
| Total | 16,111,701 | |||||||
|
| |||||||
| Capital Goods (0.1%) | |||||||
ADS Waste Holdings, Term Loan | ||||||||
| 2,351,250 | 4.250%, 10/9/2019 | 2,361,690 | ||||||
Berry Plastics Group, Inc., Term Loan | ||||||||
| 6,371,850 | 3.500%, 2/8/2020 | 6,345,279 | ||||||
Silver II Borrower, Term Loan | ||||||||
| 1,667,378 | 4.000%, 12/13/2019 | 1,669,112 | ||||||
|
| |||||||
| Total | 10,376,081 | |||||||
|
| |||||||
| Communications Services (1.4%) | |||||||
Atlantic Broadband Penn, LLC, Term Loan | ||||||||
| 1,338,063 | 3.250%, 11/30/2019 | 1,332,215 | ||||||
Cequel Communications, LLC, Term Loan | ||||||||
| 2,138,674 | 3.500%, 2/14/2019 | 2,140,449 | ||||||
Charter Communications Operating, LLC, Term Loan | ||||||||
| 855,700 | 3.000%, 7/1/2020 | 849,017 | ||||||
| 4,477,500 | 3.000%, 12/31/2020 | 4,438,322 | ||||||
Clear Channel Communications, Inc., Term Loan | ||||||||
| 63,482 | 3.819%, 1/29/2016 | 61,410 | ||||||
| 3,645,169 | 6.919%, 1/30/2019 | 3,476,580 | ||||||
| 1,172,348 | 7.669%, 7/30/2019 | 1,154,036 | ||||||
Cricket Communications, Inc., Term Loan | ||||||||
| 331,650 | 4.750%, 10/10/2019 | 332,479 | ||||||
| 4,626,750 | 4.750%, 3/8/2020 | 4,642,157 | ||||||
Cumulus Media Holdings, Inc., Term Loan | ||||||||
| 3,232,377 | 0.000%, 12/23/2020b,c | 3,248,539 | ||||||
Fairpoint Communications, Term Loan | ||||||||
| 4,247,900 | 7.500%, 2/14/2019 | 4,384,895 | ||||||
Grande Communications Networks, LLC, Term Loan | ||||||||
| 2,596,950 | 4.500%, 5/29/2020 | 2,591,548 | ||||||
Hargray Communications Group, Inc., Term Loan | ||||||||
| 3,691,450 | 4.750%, 6/26/2019 | 3,709,907 | ||||||
Integra Telecom Holdings, Inc., Term Loan | ||||||||
| 2,590,425 | 5.250%, 2/22/2019 | 2,621,717 | ||||||
| 1,010,000 | 9.750%, 2/21/2020 | 1,037,018 | ||||||
Level 3 Communications, Inc., Term Loan | ||||||||
| 3,305,000 | 4.000%, 1/15/2020 | 3,327,738 | ||||||
Liberty Cablevision of Puerto Rico, Ltd., Term Loan | ||||||||
| 1,669,575 | 6.000%, 6/9/2017 | 1,669,575 | ||||||
LTS Buyer, LLC, Term Loan | ||||||||
| 3,222,054 | 4.500%, 4/13/2020 | 3,233,138 | ||||||
| 215,000 | 8.000%, 4/12/2021 | 216,434 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
| 3,070,200 | 9.000%, 3/22/2019 | 3,122,639 | ||||||
Mediacom Broadband, LLC, Term Loan | ||||||||
| 1,338,062 | 4.000%, 1/20/2020 | 1,337,233 | ||||||
NEP Broadcasting, LLC, Term Loan | ||||||||
| 9,345,600 | 4.750%, 1/22/2020 | 9,371,301 | ||||||
| 242,857 | 9.500%, 7/22/2020 | 248,778 | ||||||
NTelos, Inc., Term Loan | ||||||||
| 1,259,063 | 5.750%, 11/9/2019 | 1,261,165 | ||||||
Puerto Rico Cable Acquisition Company, Inc., Term Loan | ||||||||
| 1,471,040 | 5.500%, 7/31/2018 | 1,471,658 | ||||||
RCN Telecom Services, LLC, Term Loan | ||||||||
| 3,842,494 | 4.500%, 3/1/2020 | 3,869,930 | ||||||
SBA Senior Finance II, LLC, Term Loan | ||||||||
| 373,902 | 3.750%, 9/28/2019 | 375,928 | ||||||
Syniverse Holdings, Inc., Term Loan | ||||||||
| 3,315,763 | 4.000%, 4/23/2019 | 3,326,805 | ||||||
TNS, Inc., Term Loan | ||||||||
| 5,600,556 | 5.000%, 2/14/2020 | 5,626,822 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
| 1,870,863 | 4.500%, 2/28/2020 | 1,879,057 | ||||||
| 1,079,103 | 4.500%, 3/1/2020 | 1,083,829 | ||||||
| 853,550 | 4.500%, 3/1/2020 | 858,125 | ||||||
Virgin Media Investment Holdings, Ltd., Term Loan | ||||||||
| 7,500,000 | 3.500%, 6/8/2020 | 7,511,250 | ||||||
Visant Corporation, Term Loan | ||||||||
| 3,825,017 | 5.250%, 12/22/2016 | 3,764,468 | ||||||
WideOpenWest Finance, LLC, Term Loan | ||||||||
| 5,657,250 | 4.750%, 4/1/2019 | 5,679,879 | ||||||
Zayo Group, LLC, Term Loan | ||||||||
| 6,921,560 | 3.481%, 7/2/2019b,c | 6,923,152 | ||||||
|
| |||||||
| Total | 102,179,193 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
109
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Bank Loans (4.2%)a | Value | ||||||
| Consumer Cyclical (0.8%) | |||||||
Bally Technologies, Inc., Term Loan | ||||||||
| $ | 4,064,813 | 4.250%, 11/25/2020 | $ | 4,091,478 | ||||
Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
| 1,966,413 | 4.250%, 2/23/2017 | 1,983,619 | ||||||
Cenveo Corporation, Term Loan | ||||||||
| 2,230,567 | 6.250%, 2/13/2017 | 2,239,868 | ||||||
Ceridian Corporation, Term Loan | ||||||||
| 1,430,000 | 4.415%, 5/9/2017 | 1,434,018 | ||||||
Chrysler Group, LLC, Term Loan | ||||||||
| 2,922,519 | 3.875%, 5/24/2017 | 2,939,967 | ||||||
Golden Nugget, Inc., Delayed Draw | ||||||||
| 531,000 | 5.000%, 11/21/2019 | 538,301 | ||||||
Golden Nugget, Inc., Term Loan | ||||||||
| 1,239,000 | 5.500%, 11/21/2019 | 1,256,036 | ||||||
Hilton Worldwide Finance, LLC, Term Loan | ||||||||
| 6,592,105 | 4.000%, 10/26/2020 | 6,641,546 | ||||||
J.C. Penney Corporation, Inc., Term Loan | ||||||||
| 3,960,100 | 6.000%, 5/22/2018 | 3,869,018 | ||||||
Las Vegas Sands, LLC, Term Loan | ||||||||
| 2,150,000 | 0.000%, 12/17/2020b,c | 2,147,098 | ||||||
Marina District Finance Company, Inc., Term Loan | ||||||||
| 2,650,000 | 0.000%, 8/15/2018b,c | 2,658,295 | ||||||
MGM Resorts International, Term Loan | ||||||||
| 2,643,300 | 3.500%, 12/20/2019 | 2,648,269 | ||||||
Mohegan Tribal Gaming Authority, Term Loan | ||||||||
| 6,800,000 | 5.500%, 11/19/2019 | 6,897,784 | ||||||
ROC Finance, LLC, Term Loan | ||||||||
| 6,214,425 | 3.962%, 6/20/2019 | 5,940,617 | ||||||
Scientific Games International, Inc., Term Loan | ||||||||
| 5,700,000 | 4.250%, 10/18/2020 | 5,701,425 | ||||||
Seminole Indian Tribe of Florida, Term Loan | ||||||||
| 1,530,212 | 3.000%, 4/29/2020 | 1,526,861 | ||||||
Seven Seas Cruises S de RL, LLC, Term Loan | ||||||||
| 3,012,000 | 4.750%, 12/21/2018 | 3,042,120 | ||||||
Toys R Us, Inc., Term Loan | ||||||||
| 2,587,461 | 5.250%, 5/25/2018 | 2,178,331 | ||||||
|
| |||||||
| Total | 57,734,651 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.6%) | |||||||
Albertsons, Inc., Term Loan | ||||||||
| 6,946,675 | 4.750%, 3/21/2019b,c | 6,978,491 | ||||||
Biomet, Inc., Term Loan | ||||||||
| 2,587,000 | 3.670%, 7/25/2017 | 2,601,565 | ||||||
Catalina Marketing Corporation, Term Loan | ||||||||
| 2,992,500 | 5.250%, 10/12/2020 | 3,029,906 | ||||||
CHS/Community Health Systems, Inc., Term Loan | ||||||||
| 1,695,000 | 3.737%, 1/25/2017 | 1,707,441 | ||||||
Del Monte Corporation, Term Loan | ||||||||
| 843,718 | 4.000%, 3/8/2018 | 845,667 | ||||||
DJO Finance, LLC, Term Loan | ||||||||
| 2,952,769 | 4.750%, 9/15/2017 | 2,980,466 | ||||||
Grifols, Inc., Term Loan | ||||||||
| 1,661,883 | 4.250%, 6/1/2017 | 1,670,791 | ||||||
Hologic, Inc., Term Loan | ||||||||
| 1,632,882 | 3.750%, 8/1/2019 | 1,641,047 | ||||||
JBS USA, LLC, Term Loan | ||||||||
| 3,187,800 | 3.750%, 5/25/2018 | 3,187,800 | ||||||
McJunkin Red Man Corporation, Term Loan | ||||||||
| 2,159,588 | 5.000%, 11/8/2019 | 2,186,582 | ||||||
Rite Aid Corporation, Term Loan | ||||||||
| 635,200 | 4.000%, 2/21/2020 | 637,315 | ||||||
| 1,285,000 | 5.750%, 8/21/2020 | 1,315,120 | ||||||
Roundy’s Supermarkets, Inc., Term Loan | ||||||||
| 2,670,016 | 5.750%, 2/13/2019 | 2,667,106 | ||||||
Supervalu, Inc., Term Loan | ||||||||
| 8,192,705 | 5.000%, 3/21/2019 | 8,263,080 | ||||||
Van Wagner Communications, LLC, Term Loan | ||||||||
| 2,366,100 | 6.250%, 8/3/2018 | 2,392,719 | ||||||
|
| |||||||
| Total | 42,105,096 | |||||||
|
| |||||||
| Energy (0.3%) | |||||||
Arch Coal, Inc., Term Loan | ||||||||
| 3,486,472 | 6.250%, 5/16/2018 | 3,434,907 | ||||||
Chesapeake Energy Corporation, Term Loan | ||||||||
| 5,600,000 | 5.750%, 12/2/2017 | 5,712,000 | ||||||
Fieldwood Energy, LLC, Term Loan | ||||||||
| 2,094,750 | 3.875%, 9/28/2018 | 2,107,549 | ||||||
| 660,000 | 8.375%, 9/30/2020 | 673,200 | ||||||
Offshore Group Investment, Ltd., Term Loan | ||||||||
| 3,359,613 | 5.750%, 3/28/2019 | 3,396,367 | ||||||
Pacific Drilling SA, Term Loan | ||||||||
| 2,412,875 | 4.500%, 6/3/2018 | 2,438,524 | ||||||
|
| |||||||
| Total | 17,762,547 | |||||||
|
| |||||||
| Financials (0.2%) | |||||||
GEO Group, Inc., Term Loan | ||||||||
| 856,695 | 3.250%, 4/3/2020 | 850,270 | ||||||
Harland Clarke Holdings Corporation, Term Loan | ||||||||
| 4,611,625 | 7.000%, 5/22/2018 | 4,639,617 | ||||||
Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 2,274,236 | 3.750%, 6/30/2019 | 2,289,519 | ||||||
MoneyGram International, Inc., Term Loan | ||||||||
| 3,419,163 | 4.250%, 3/27/2020 | 3,448,020 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
110
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Bank Loans (4.2%)a | Value | ||||||
| Financials (0.2%) - continued | |||||||
WaveDivision Holdings, LLC, Term Loan | ||||||||
| $ | 3,623,400 | 4.000%, 10/12/2019 | $ | 3,636,988 | ||||
|
| |||||||
| Total | 14,864,414 | |||||||
|
| |||||||
| Technology (0.3%) | |||||||
First Data Corporation Extended, Term Loan | ||||||||
| 7,025,000 | 4.166%, 3/23/2018 | 7,029,847 | ||||||
First Data Corporation, Term Loan | ||||||||
| 1,355,000 | 4.164%, 9/24/2018 | 1,355,759 | ||||||
Freescale Semiconductor, Inc., Term Loan | ||||||||
| 3,081,712 | 5.000%, 3/1/2020 | 3,110,866 | ||||||
| 3,142,125 | 5.000%, 1/15/2021 | 3,174,646 | ||||||
Infor US, Inc., Term Loan | ||||||||
| 1,652,596 | 5.250%, 4/5/2018 | 1,656,380 | ||||||
| 100,000 | 0.000%, 6/3/2020b,c | 99,771 | ||||||
SunGard Data Systems, Inc., Term Loan | ||||||||
| 3,836,250 | 4.500%, 1/31/2020 | 3,852,247 | ||||||
|
| |||||||
| Total | 20,279,516 | |||||||
|
| |||||||
| Transportation (0.2%) | |||||||
American Airlines, Inc., Term Loan | ||||||||
| 3,691,450 | 3.750%, 6/27/2019 | 3,709,907 | ||||||
American Petroleum Tankers Parent, LLC, Term Loan | ||||||||
| 976,757 | 4.750%, 10/2/2019 | 976,757 | ||||||
Delta Air Lines, Inc., Term Loan | ||||||||
| 3,018,870 | 3.500%, 4/20/2017 | 3,028,047 | ||||||
U.S. Airways, Inc., Term Loan | ||||||||
| 660,000 | 4.000%, 5/23/2019 | 663,795 | ||||||
United Air Lines, Inc., Term Loan | ||||||||
| 2,138,837 | 4.000%, 4/1/2019 | 2,149,532 | ||||||
|
| |||||||
| Total | 10,528,038 | |||||||
|
| |||||||
| Utilities (0.1%) | |||||||
Calpine Corporation, Term Loan | ||||||||
| 633,486 | 4.000%, 4/1/2018 | 637,141 | ||||||
| 2,676,125 | 4.000%, 10/9/2019 | 2,691,647 | ||||||
Intergen NV, Term Loan | ||||||||
| 1,711,400 | 5.500%, 6/15/2020 | 1,724,235 | ||||||
NGPL PipeCo, LLC, Term Loan | ||||||||
| 2,355,376 | 6.750%, 9/15/2017 | 2,190,006 | ||||||
|
| |||||||
| Total | 7,243,029 | |||||||
|
| |||||||
| Total Bank Loans (cost $297,787,510) | 299,184,266 | |||||||
|
| |||||||
| Shares | Mutual Funds (42.1%) | |||||||
| Equity Mutual Funds (25.2%) | |||||||
| 5,821,599 | Thrivent Partner Small Cap Growth Portfolio | 111,969,730 | ||||||
| 4,368,749 | Thrivent Partner Small Cap Value Portfolio | 123,506,706 | ||||||
| 3,609,909 | Thrivent Small Cap Stock Portfolio | 64,136,532 | ||||||
| 6,230,477 | Thrivent Partner Mid Cap Value Portfolio | 114,956,666 | ||||||
| 11,698,088 | Thrivent Mid Cap Stock Portfolio | 206,628,012 | ||||||
| 53,352,913 | Thrivent Partner Worldwide Allocation Portfolio | 534,686,884 | ||||||
| 26,506,659 | Thrivent Large Cap Value Portfolio | 413,079,767 | ||||||
| 20,525,262 | Thrivent Large Cap Stock Portfolio | 242,388,982 | ||||||
|
| |||||||
| Total | 1,811,353,279 | |||||||
|
| |||||||
| Fixed Income Mutual Funds (16.9%) | |||||||
| 38,692,479 | Thrivent High Yield Portfolio | 196,151,522 | ||||||
| 60,297,283 | Thrivent Income Portfolio | 623,763,330 | ||||||
| 40,337,514 | Thrivent Limited Maturity Bond Portfolio | 396,082,117 | ||||||
|
| |||||||
| Total | 1,215,996,969 | |||||||
|
| |||||||
| Total Mutual Funds (cost $2,633,627,884) | 3,027,350,248 | |||||||
|
| |||||||
Common Stock (23.0%) | ||||||||
| Consumer Discretionary (3.7%) | |||||||
| 24,100 | 888 Holdings Public Company, Ltd. | 68,886 | ||||||
| 58,692 | Amazon.com, Inc.d | 23,405,783 | ||||||
| 5,300 | Aoyama Trading Company, Ltd. | 143,335 | ||||||
| 29,700 | AutoZone, Inc.d | 14,194,818 | ||||||
| 50,500 | Barnes & Noble, Inc.d | 754,975 | ||||||
| 82,500 | Best Buy Company, Inc. | 3,290,100 | ||||||
| 18,200 | Bloomin’ Brands, Inc.d | 436,982 | ||||||
| 104,100 | Cablevision Systems Corporatione | 1,866,513 | ||||||
| 56,150 | CBS Corporation | 3,579,001 | ||||||
| 7,100 | Charter Communications, Inc.d | 970,996 | ||||||
| 59,400 | Cheesecake Factory, Inc. | 2,867,238 | ||||||
| 14,100 | Children’s Place Retail Stores, Inc.d | 803,277 | ||||||
| 19,000 | Cineworld Group plc | 119,677 | ||||||
| 567,294 | Comcast Corporation | 29,479,433 | ||||||
| 2,500 | Continental AG | 549,226 | ||||||
| 37,400 | Crocs, Inc.d | 595,408 | ||||||
| 1,000 | Daimler AG | 86,785 | ||||||
| 33,200 | Dana Holding Corporation | 651,384 | ||||||
| 20,200 | David Jones, Ltd. | 54,595 | ||||||
| 142,208 | Delphi Automotive plc | 8,550,967 | ||||||
| 17,627 | Discovery Communications, Inc.d | 1,593,833 | ||||||
| 21,700 | DISH Network Corporationd | 1,256,864 | ||||||
| 31,220 | Dollar Tree, Inc.d | 1,761,432 | ||||||
| 7,300 | Dunkin’ Brands Group, Inc. | 351,860 | ||||||
| 25,000 | Enterprise Inns plcd | 63,866 | ||||||
| 12,052 | Finish Line, Inc. | 339,505 | ||||||
| 297,500 | Ford Motor Company | 4,590,425 | ||||||
| 53,200 | Francesca’s Holdings Corporationd | 979,412 | ||||||
| 17,500 | Fuji Heavy Industries, Ltd. | 502,932 | ||||||
| 32,900 | Gannett Company, Inc. | 973,182 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
111
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (23.0%) | Value | ||||||
| Consumer Discretionary (3.7%) - continued | ||||||||
| 10,000 | General Motors Companyd | $ | 408,700 | |||||
| 39,948 | GNC Holdings, Inc. | 2,334,961 | ||||||
| 58,900 | Halfords Group plc | 436,604 | ||||||
| 8,000 | Harley-Davidson, Inc. | 553,920 | ||||||
| 11,800 | Harman International Industries, Inc. | 965,830 | ||||||
| 13,518 | Hasbro, Inc. | 743,625 | ||||||
| 60,800 | Haseko Corporationd | 463,234 | ||||||
| 193,000 | Home Depot, Inc. | 15,891,620 | ||||||
| 93,200 | Home Retail Group plc | 296,857 | ||||||
| 13,060 | HomeAway, Inc.d,e | 533,893 | ||||||
| 87,392 | Ignite Restaurant Group, Inc.d | 1,092,400 | ||||||
| 12,500 | iRobot Corporationd | 434,625 | ||||||
| 9,100 | ITT Educational Services, Inc.d,e | 305,578 | ||||||
| 158,400 | ITV plc | 509,757 | ||||||
| 17,500 | Kingfisher plc | 111,721 | ||||||
| 29,700 | Kohl’s Corporation | 1,685,475 | ||||||
| 327,165 | Las Vegas Sands Corporation | 25,803,503 | ||||||
| 47,673 | LeapFrog Enterprises, Inc.d,e | 378,524 | ||||||
| 40,406 | LifeLock, Inc.d | 663,062 | ||||||
| 8,735 | Limited Brands, Inc. | 540,260 | ||||||
| 226,870 | Lowe’s Companies, Inc. | 11,241,408 | ||||||
| 14,739 | M/I Homes, Inc.d | 375,107 | ||||||
| 48,500 | Macy’s, Inc. | 2,589,900 | ||||||
| 37,230 | Marriott International, Inc. | 1,837,673 | ||||||
| 18,800 | Marriott Vacations Worldwide Corporationd | 991,888 | ||||||
| 101,227 | MDC Partners, Inc. | 2,582,301 | ||||||
| 88,100 | Mediaset SPAd | 417,809 | ||||||
| 34,400 | Meredith Corporatione | 1,781,920 | ||||||
| 43,600 | MGM China Holdings, Ltd. | 186,602 | ||||||
| 15,700 | Michael Kors Holdings, Ltd.d | 1,274,683 | ||||||
| 19,400 | Mitchells & Butlers plcd | 135,742 | ||||||
| 8,900 | N Brown Group plc | 78,516 | ||||||
| 198,570 | News Corporation | 6,870,522 | ||||||
| 54,980 | Nexstar Broadcasting Group, Inc. | 3,064,035 | ||||||
| 198,300 | NIKE, Inc. | 15,594,312 | ||||||
| 7,800 | Noodles & Companyd,e | 280,176 | ||||||
| 14,700 | Omnicom Group, Inc. | 1,093,239 | ||||||
| 5,043 | O’Reilly Automotive, Inc.d | 649,084 | ||||||
| 5,800 | Pandora AS | 315,270 | ||||||
| 63,060 | Papa John’s International, Inc. | 2,862,924 | ||||||
| 7,352 | PetSmart, Inc. | 534,858 | ||||||
| 43,182 | Pier 1 Imports, Inc. | 996,641 | ||||||
| 800 | Priceline.com, Inc.d | 929,920 | ||||||
| 26,900 | Regal Entertainment Groupe | 523,205 | ||||||
| 6,000 | Renault SA | 482,860 | ||||||
| 9,940 | Ross Stores, Inc. | 744,804 | ||||||
| 9,400 | Safilo Group SPAd | 218,994 | ||||||
| 17,300 | Scientific Games Corporationd | 292,889 | ||||||
| 11,900 | Scripps Networks Interactive, Inc. | 1,028,279 | ||||||
| 68,100 | Seven West Media, Ltd. | 143,498 | ||||||
| 18,200 | Signet Jewelers, Ltd. | 1,432,340 | ||||||
| 142,000 | SJM Holdings, Ltd. | 477,328 | ||||||
| 83,200 | Smith & Wesson Holding Corporationd,e | 1,122,368 | ||||||
| 62,300 | Southern Cross Media Group, Ltd. | 94,259 | ||||||
| 38,800 | Starwood Hotels & Resorts Worldwide, Inc. | 3,082,660 | ||||||
| 17,400 | Sturm, Ruger & Company, Inc.e | 1,271,766 | ||||||
| 5,300 | Takkt AG | 98,359 | ||||||
| 9,100 | Target Corporation | 575,757 | ||||||
| 16,000 | Technicolor SAd | 84,769 | ||||||
| 16,400 | Tempur-Pedic International, Inc.d | 884,944 | ||||||
| 14,000 | Tenneco, Inc.d | 791,980 | ||||||
| 16,500 | The Restaurant Group plc | 161,863 | ||||||
| 56,710 | Time Warner Cable, Inc. | 7,684,205 | ||||||
| 15,300 | TJX Companies, Inc. | 975,069 | ||||||
| 25,100 | Toll Brothers, Inc.d | 928,700 | ||||||
| 15,100 | TomTom NVd | 107,184 | ||||||
| 14,300 | Toyota Motor Corporation | 871,944 | ||||||
| 19,782 | Tractor Supply Company | 1,534,688 | ||||||
| 1,700 | TS Tech Company, Ltd. | 57,377 | ||||||
| 116,770 | Tuesday Morning Corporationd | 1,863,649 | ||||||
| 391,900 | Twenty-First Century Fox, Inc. | 13,787,042 | ||||||
| 6,470 | Under Armour, Inc.d,e | 564,831 | ||||||
| 12,600 | Urban Outfitters, Inc.d | 467,460 | ||||||
| 31,400 | USS Company, Ltd. | 430,698 | ||||||
| 7,612 | VF Corporation | 474,532 | ||||||
| 44,300 | Viacom, Inc. | 3,869,162 | ||||||
| 26,600 | Weight Watchers International, Inc.e | 875,938 | ||||||
| 43,700 | Wyndham Worldwide Corporation | 3,220,253 | ||||||
| 3,780 | Wynn Resorts, Ltd. | 734,114 | ||||||
|
| |||||||
| Total | 267,681,137 | |||||||
|
| |||||||
| Consumer Staples (1.3%) | ||||||||
| 93,500 | Altria Group, Inc. | 3,589,465 | ||||||
| 8,538 | Andersons, Inc. | 761,333 | ||||||
| 67,500 | Anheuser-Busch InBev NV ADR | 7,186,050 | ||||||
| 40,085 | Annie’s, Inc.d,e | 1,725,258 | ||||||
| 77,400 | Archer-Daniels-Midland Company | 3,359,160 | ||||||
| 9,020 | Beam, Inc. | 613,901 | ||||||
| 9,800 | Brown-Forman Corporation | 740,586 | ||||||
| 53,500 | Bunge, Ltd. | 4,392,885 | ||||||
| 7,900 | Campbell Soup Company | 341,912 | ||||||
| 51,100 | Colgate-Palmolive Company | 3,332,231 | ||||||
| 5,200 | Cranswick plc | 102,401 | ||||||
| 193,360 | CVS Caremark Corporation | 13,838,775 | ||||||
| 3,095 | Energizer Holdings, Inc. | 335,003 | ||||||
| 92,400 | Greencore Group plc | 341,214 | ||||||
| 10,420 | Hain Celestial Group, Inc.d | 945,928 | ||||||
| 4,600 | Henkel AG & Company KGaA | 534,681 | ||||||
| 74,668 | Ingredion, Inc. | 5,111,771 | ||||||
| 7,800 | Japan Tobacco, Inc. | 253,802 | ||||||
| 35,970 | Kimberly-Clark Corporation | 3,757,426 | ||||||
| 16,800 | Koninklijke (Royal) Ahold NV | 301,916 | ||||||
| 36,117 | Kraft Foods Group, Inc. | 1,947,429 | ||||||
| 79,000 | Kroger Company | 3,122,870 | ||||||
| 2,607 | Leroy Seafood Group ASA | 76,383 | ||||||
| 3,200 | Mandom Corporation | 101,318 | ||||||
| 157,362 | Mondelez International, Inc. | 5,554,879 | ||||||
| 12,780 | Monster Beverage Corporationd | 866,101 | ||||||
| 119,800 | Nestle SA | 8,780,149 | ||||||
| 40,316 | Philip Morris International, Inc. | 3,512,733 | ||||||
| 8,800 | Prestige Brands Holdings, Inc.d | 315,040 | ||||||
| 40,200 | Procter & Gamble Company | 3,272,682 | ||||||
| 119,200 | Rite Aid Corporationd | 603,152 | ||||||
| 1,000 | Royal Unibrew AS | 135,725 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
112
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (23.0%) | Value | ||||||
| Consumer Staples (1.3%) - continued | ||||||||
| 73,200 | Safeway, Inc. | $ | 2,384,124 | |||||
| 5,400 | United Natural Foods, Inc.d | 407,106 | ||||||
| 27,300 | Wal-Mart Stores, Inc. | 2,148,237 | ||||||
| 145,540 | WhiteWave Foods Companyd | 3,338,688 | ||||||
| 9,676 | Whole Foods Market, Inc. | 559,563 | ||||||
| 16,400 | Woolworths, Ltd. | 496,613 | ||||||
|
| |||||||
| Total | 89,188,490 | |||||||
|
| |||||||
| Energy (2.7%) | ||||||||
| 460,540 | Alpha Natural Resources, Inc.d | 3,288,256 | ||||||
| 50,700 | Anadarko Petroleum Corporation | 4,021,524 | ||||||
| 3,680 | Atwood Oceanics, Inc.d | 196,475 | ||||||
| 2,480 | Awilco Drilling plc | 52,914 | ||||||
| 5,000 | Bristow Group, Inc. | 375,300 | ||||||
| 83,919 | BW Offshore, Ltd. | 100,457 | ||||||
| 13,300 | C&J Energy Services, Inc.d,e | 307,230 | ||||||
| 3,959 | Cabot Oil & Gas Corporation | 153,451 | ||||||
| 12,090 | Cameron International Corporationd | 719,718 | ||||||
| 300 | CARBO Ceramics, Inc. | 34,959 | ||||||
| 82,060 | Chevron Corporation | 10,250,114 | ||||||
| 1,770 | Cimarex Energy Company | 185,691 | ||||||
| 54,400 | Cloud Peak Energy, Inc.d | 979,200 | ||||||
| 107,700 | Cobalt International Energy, Inc.d | 1,771,665 | ||||||
| 32,245 | Concho Resources, Inc.d | 3,482,460 | ||||||
| 266,100 | Consol Energy, Inc. | 10,122,444 | ||||||
| 300 | Delek Group, Ltd. | 114,596 | ||||||
| 10,450 | Denbury Resources, Inc.d | 171,693 | ||||||
| 35,400 | Dril-Quip, Inc.d | 3,891,522 | ||||||
| 36,670 | Energy XXI, Ltd. | 992,290 | ||||||
| 2,530 | Ensco plc | 144,665 | ||||||
| 90,287 | EOG Resources, Inc. | 15,153,770 | ||||||
| 121,150 | EQT Corporation | 10,876,847 | ||||||
| 18,700 | Exterran Holdings, Inc.d | 639,540 | ||||||
| 95,700 | Exxon Mobil Corporation | 9,684,840 | ||||||
| 600 | Frank’s International NV | 16,200 | ||||||
| 1,652 | Fred Olsen Energy ASA | 67,411 | ||||||
| 2,520 | Helmerich & Payne, Inc. | 211,882 | ||||||
| 30,840 | HollyFrontier Corporation | 1,532,440 | ||||||
| 17,500 | Hunting plc | 226,424 | ||||||
| 60,700 | Key Energy Services, Inc.d | 479,530 | ||||||
| 705,371 | Marathon Oil Corporation | 24,899,596 | ||||||
| 4,600 | Marathon Petroleum Corporation | 421,958 | ||||||
| 127,800 | Nabors Industries, Ltd. | 2,171,322 | ||||||
| 59,470 | National Oilwell Varco, Inc. | 4,729,649 | ||||||
| 3,000 | Newfield Exploration Companyd | 73,890 | ||||||
| 4,140 | Noble Corporation | 155,126 | ||||||
| 2,830 | Noble Energy, Inc. | 192,751 | ||||||
| 72,380 | Oasis Petroleum, Inc.d | 3,399,689 | ||||||
| 24,800 | Occidental Petroleum Corporation | 2,358,480 | ||||||
| 24,970 | Oceaneering International, Inc. | 1,969,634 | ||||||
| 2,100 | Oil States International, Inc.d | 213,612 | ||||||
| 141,260 | Peabody Energy Corporation | 2,758,808 | ||||||
| 86,000 | Petroleo Brasileiro SA ADR | 1,185,080 | ||||||
| 2,640 | Pioneer Natural Resources Company | 485,945 | ||||||
| 1,840 | Range Resources Corporation | 155,130 | ||||||
| 111,960 | Rex Energy Corporationd | 2,206,732 | ||||||
| 41,680 | Rosetta Resources, Inc.d | 2,002,307 | ||||||
| 3,890 | Rowan Companies plcd | 137,550 | ||||||
| 94 | Royal Dutch Shell plc, Class A | 3,369 | ||||||
| 7,000 | Royal Dutch Shell plc, Class B | 264,043 | ||||||
| 265,050 | Schlumberger, Ltd. | 23,883,655 | ||||||
| 43,410 | SM Energy Company | 3,607,805 | ||||||
| 53,830 | Southwestern Energy Companyd | 2,117,134 | ||||||
| 9,200 | Superior Energy Services, Inc.d | 244,812 | ||||||
| 12,000 | TonenGeneral Sekiyu KK | 110,113 | ||||||
| 199,900 | Total SA ADR | 12,247,873 | ||||||
| 44,900 | Valero Energy Corporation | 2,262,960 | ||||||
| 1,270,842 | Weatherford International, Ltd.d | 19,685,342 | ||||||
| 2,410 | Whiting Petroleum Corporationd | 149,107 | ||||||
|
| |||||||
| Total | 194,338,980 | |||||||
|
| |||||||
| Financials (4.3%) | ||||||||
| 80,750 | ACE, Ltd. | 8,360,047 | ||||||
| 13,200 | Aegon NV | 125,091 | ||||||
| 27,095 | Affiliated Managers Group, Inc.d | 5,876,364 | ||||||
| 12,500 | Allied World Assurance Company Holdings AG | 1,410,125 | ||||||
| 71,500 | Allstate Corporation | 3,899,610 | ||||||
| 15,300 | Altisource Residential Corporation | 460,683 | ||||||
| 20,400 | American Assets Trust, Inc. | 641,172 | ||||||
| 75,000 | American International Group, Inc. | 3,828,750 | ||||||
| 10,560 | Ameriprise Financial, Inc. | 1,214,928 | ||||||
| 18,700 | AmTrust Financial Services, Inc.e | 611,303 | ||||||
| 14,900 | Aspen Insurance Holdings, Ltd. | 615,519 | ||||||
| 72,400 | Aviva plc | 541,660 | ||||||
| 24,600 | AXA SA | 685,054 | ||||||
| 17,100 | Axis Capital Holdings, Ltd. | 813,447 | ||||||
| 785,020 | Bank of America Corporation | 12,222,761 | ||||||
| 2,100 | Bank of Georgia Holdings plc | 83,316 | ||||||
| 7,500 | Bankinter SA | 51,538 | ||||||
| 19,000 | Banner Corporation | 851,580 | ||||||
| 42,351 | Barclays plc | 191,507 | ||||||
| 55,310 | BBCN Bancorp, Inc. | 917,593 | ||||||
| 69,500 | Berkshire Hathaway, Inc.d | 8,239,920 | ||||||
| 9,500 | BNP Paribas SA | 741,072 | ||||||
| 15,359 | Boston Properties, Inc. | 1,541,583 | ||||||
| 22,200 | Camden Property Trust | 1,262,736 | ||||||
| 95,000 | CapitaMall Trust | 143,766 | ||||||
| 19,500 | Cash America International, Inc. | 746,850 | ||||||
| 423,107 | Citigroup, Inc. | 22,048,106 | ||||||
| 12,889 | CNA Financial Corporation | 552,809 | ||||||
| 58,150 | CNO Financial Group, Inc. | 1,028,673 | ||||||
| 27,670 | Columbia Banking System, Inc. | 761,202 | ||||||
| 24,200 | Comerica, Inc. | 1,150,468 | ||||||
| 18,700 | Credit Suisse Group AGd | 577,145 | ||||||
| 85,200 | DCT Industrial Trust, Inc. | 607,476 | ||||||
| 35,300 | DDR Corporation | 542,561 | ||||||
| 70,700 | Deutsche Bank AGe | 3,410,568 | ||||||
| 46,489 | Discover Financial Services | 2,601,060 | ||||||
| 20,417 | DnB ASA | 366,448 | ||||||
| 46,510 | Education Realty Trust, Inc. | 410,218 | ||||||
| 28,264 | Equity Residential | 1,466,054 | ||||||
| 16,300 | Evercore Partners, Inc. | 974,414 | ||||||
| 12,460 | Extra Space Storage, Inc. | 524,940 | ||||||
| 25,100 | F.N.B. Corporation | 316,762 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
113
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (23.0%) | Value | ||||||
| Financials (4.3%) - continued | ||||||||
| 158,600 | Fifth Third Bancorp | $ | 3,335,358 | |||||
| 73,500 | First Horizon National Corporation | 856,275 | ||||||
| 17,800 | First Industrial Realty Trust, Inc. | 310,610 | ||||||
| 91,100 | First Niagara Financial Group, Inc. | 967,482 | ||||||
| 44,670 | First Republic Bank | 2,338,474 | ||||||
| 38,300 | Franklin Street Properties Corporation | 457,685 | ||||||
| 39,100 | Fulton Financial Corporation | 511,428 | ||||||
| 20,400 | FXCM, Inc.e | 363,936 | ||||||
| 23,400 | GAM Holding AGd | 455,608 | ||||||
| 13,600 | Gaming and Leisure Properties, Inc.d | 691,016 | ||||||
| 34,200 | Grainger plc | 115,558 | ||||||
| 3,500 | Grupo Catalana Occidente SA | 125,469 | ||||||
| 28,200 | Hang Seng Bank, Ltd. | 458,012 | ||||||
| 73,160 | Hanmi Financial Corporation | 1,601,472 | ||||||
| 37,800 | Hatteras Financial Corporation | 617,652 | ||||||
| 34,963 | HCC Insurance Holdings, Inc. | 1,613,193 | ||||||
| 17,099 | Health Care REIT, Inc. | 915,993 | ||||||
| 25,003 | Henderson Group plc | 95,007 | ||||||
| 56,000 | Henderson Land Development Company, Ltd. | 320,149 | ||||||
| 72,446 | Host Hotels & Resorts, Inc. | 1,408,350 | ||||||
| 427,900 | Huntington Bancshares, Inc. | 4,129,235 | ||||||
| 58,400 | Intermediate Capital Group plc | 407,199 | ||||||
| 181,780 | Invesco, Ltd. | 6,616,792 | ||||||
| 84,000 | iShares Barclays 1-3 Year Credit Bond Fund | 8,858,640 | ||||||
| 43,440 | iShares Russell 2000 Index Fund | 5,009,066 | ||||||
| 262,578 | J.P. Morgan Chase & Company | 15,355,561 | ||||||
| 63,700 | KeyCorp | 854,854 | ||||||
| 47,501 | Kimco Realty Corporation | 938,145 | ||||||
| 24,207 | Lazard, Ltd. | 1,097,061 | ||||||
| 480,900 | Lloyds TSB Group plcd | 631,034 | ||||||
| 7,600 | M&T Bank Corporatione | 884,792 | ||||||
| 20,300 | Macerich Company | 1,195,467 | ||||||
| 257,000 | Man Group plc | 363,061 | ||||||
| 24,100 | MasterCard, Inc. | 20,134,586 | ||||||
| 226,620 | MetLife, Inc. | 12,219,350 | ||||||
| 104,000 | Mitsubishi UFJ Financial Group, Inc. | 690,497 | ||||||
| 9,900 | Mitsui & Company, Ltd. | 138,017 | ||||||
| 233,300 | Mizuho Financial Group, Inc. | 506,502 | ||||||
| 21,300 | Montpelier Re Holdings, Inc. | 619,830 | ||||||
| 247,400 | Morgan Stanley | 7,758,464 | ||||||
| 32,700 | NASDAQ OMX Group, Inc. | 1,301,460 | ||||||
| 16,800 | NKSJ Holdings, Inc. | 467,605 | ||||||
| 13,200 | Nordea Bank AB | 177,973 | ||||||
| 88,200 | North Pacific Bank, Ltd. | 359,167 | ||||||
| 17,700 | Northern Trust Corporation | 1,095,453 | ||||||
| 59,000 | Oversea-Chinese Banking Corporation, Ltd. | 478,209 | ||||||
| 33,610 | Parkway Properties, Inc. | 648,337 | ||||||
| 23,700 | Pebblebrook Hotel Trust | 729,012 | ||||||
| 29,300 | PHH Corporationd | 713,455 | ||||||
| 37,900 | Piedmont Office Realty Trust, Inc. | 626,108 | ||||||
| 11,600 | Portfolio Recovery Associates, Inc.d | 612,944 | ||||||
| 18,900 | Progressive Corporation | 515,403 | ||||||
| 25,800 | Prologis, Inc. | 953,310 | ||||||
| 19,200 | Protective Life Corporation | 972,672 | ||||||
| 41,500 | Prudential Financial, Inc. | 3,827,130 | ||||||
| 21,000 | Prudential plc | 469,227 | ||||||
| 5,892 | Public Storage, Inc. | 886,864 | ||||||
| 11,800 | Raymond James Financial, Inc. | 615,842 | ||||||
| 17,200 | RLJ Lodging Trust | 418,304 | ||||||
| 10,800 | SBI Holdings, Inc. | 163,991 | ||||||
| 16,729 | Simon Property Group, Inc. | 2,545,485 | ||||||
| 33,200 | SLM Corporation | 872,496 | ||||||
| 17,400 | Spar Nord Bank ASd | 157,868 | ||||||
| 330,450 | SPDR Euro Stoxx 50 ETF | 13,944,990 | ||||||
| 25,200 | SPDR Gold Trustd,e | 2,927,484 | ||||||
| 120,400 | SPDR S&P 500 ETF Trust | 22,234,268 | ||||||
| 9,340 | SPDR S&P Biotech ETF | 1,216,068 | ||||||
| 81,510 | State Street Corporation | 5,982,019 | ||||||
| 19,880 | Stewart Information Services Corporation | 641,528 | ||||||
| 12,900 | Sumitomo Mitsui Financial Group, Inc. | 670,844 | ||||||
| 75,070 | SVB Financial Groupd | 7,871,840 | ||||||
| 8,920 | T. Rowe Price Group, Inc. | 747,228 | ||||||
| 18,100 | Tanger Factory Outlet Centers, Inc. | 579,562 | ||||||
| 27,800 | TCF Financial Corporation | 451,750 | ||||||
| 52,580 | Terreno Realty Corporation | 930,666 | ||||||
| 26,810 | Texas Capital Bancshares, Inc.d | 1,667,582 | ||||||
| 52,900 | The Paragon Group Of Companies plc | 325,427 | ||||||
| 14,000 | Tokio Marine Holdings, Inc. | 468,576 | ||||||
| 71,500 | Visa, Inc. | 15,921,620 | ||||||
| 14,346 | Vornado Realty Trust | 1,273,781 | ||||||
| 21,600 | W.R. Berkley Corporation | 937,224 | ||||||
| 151,290 | Wells Fargo & Company | 6,868,566 | ||||||
| 104,403 | Zions Bancorporation | 3,127,914 | ||||||
|
| |||||||
| Total | 307,781,011 | |||||||
|
| |||||||
| Health Care (2.7%) | ||||||||
| 13,900 | Abbott Laboratories | 532,787 | ||||||
| 19,500 | Acorda Therapeutics, Inc.d | 569,400 | ||||||
| 4,470 | Actavis, Inc.d | 750,960 | ||||||
| 2,400 | Actelion, Ltd.d | 203,570 | ||||||
| 78,600 | Akorn, Inc.d | 1,935,918 | ||||||
| 31,060 | Align Technology, Inc.d | 1,775,079 | ||||||
| 66,800 | Allscripts Healthcare Solutions, Inc.d | 1,032,728 | ||||||
| 21,008 | AmerisourceBergen Corporation | 1,477,072 | ||||||
| 128,200 | Baxter International, Inc. | 8,916,310 | ||||||
| 13,630 | BioMarin Pharmaceutical, Inc.d | 957,780 | ||||||
| 127,200 | BioScrip, Inc.d | 941,280 | ||||||
| 7,101 | C.R. Bard, Inc. | 951,108 | ||||||
| 12,372 | Catamaran Corporationd | 587,423 | ||||||
| 21,100 | Centene Corporationd | 1,243,845 | ||||||
| 11,670 | Cerner Corporationd | 650,486 | ||||||
| 9,000 | Charles River Laboratories International, Inc.d | 477,360 | ||||||
| 7,237 | CIGNA Corporation | 633,093 | ||||||
| 45,100 | Community Health Systems, Inc.d | 1,771,077 | ||||||
| 428,510 | Covidien plc | 29,181,531 | ||||||
| 8,704 | Dechra Pharmaceuticals plc | 101,255 | ||||||
| 28,500 | DENTSPLY International, Inc. | 1,381,680 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
114
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (23.0%) | Value | ||||||
| Health Care (2.7%) - continued | ||||||||
| 12,000 | Envision Healthcare Holdings, Inc.d | $ | 426,240 | |||||
| 72,150 | ExamWorks Group, Inc.d,e | 2,155,120 | ||||||
| 356,450 | Express Scripts Holding Companyd | 25,037,048 | ||||||
| 12,500 | Faes Farma, SA | 45,532 | ||||||
| 438,850 | Gilead Sciences, Inc.d | 32,979,577 | ||||||
| 7,200 | GlaxoSmithKline plc | 192,367 | ||||||
| 3,600 | GN Store Nord AS | 88,473 | ||||||
| 32,700 | HCA Holdings, Inc.d | 1,560,117 | ||||||
| 29,100 | Healthways, Inc.d | 446,685 | ||||||
| 14,200 | Illumina, Inc.d,e | 1,570,804 | ||||||
| 2,100 | Lonza Group AGd | 199,570 | ||||||
| 2,472 | Magellan Health Services, Inc.d | 148,098 | ||||||
| 31,800 | McKesson Corporation | 5,132,520 | ||||||
| 280,320 | Merck & Company, Inc. | 14,030,016 | ||||||
| 2,700 | Merck KGaA | 484,457 | ||||||
| 3,811 | Mettler-Toledo International, Inc.d | 924,510 | ||||||
| 16,800 | Molina Healthcare, Inc.d | 583,800 | ||||||
| 44,900 | Neurocrine Biosciences, Inc.d | 419,366 | ||||||
| 10,400 | Nobel Biocare Holding AGd | 162,846 | ||||||
| 15,600 | Novartis AG | 1,250,330 | ||||||
| 64,620 | NuVasive, Inc.d | 2,089,165 | ||||||
| 20,000 | PAREXEL International Corporationd | 903,600 | ||||||
| 145,456 | PDL BioPharma, Inc.e | 1,227,649 | ||||||
| 31,900 | PerkinElmer, Inc. | 1,315,237 | ||||||
| 73,428 | Perrigo Company plc | 11,268,261 | ||||||
| 35,300 | Questcor Pharmaceuticals, Inc.e | 1,922,085 | ||||||
| 7,700 | ResMed, Inc.e | 362,516 | ||||||
| 800 | Roche Holding AG | 222,506 | ||||||
| 4,200 | Roche Holding AG | 1,176,530 | ||||||
| 7,700 | Sanofi | 822,324 | ||||||
| 149,110 | Sanofi ADR | 7,996,769 | ||||||
| 1,800 | Stada Arzneimittel AG | 89,118 | ||||||
| 7,600 | Team Health Holdings, Inc.d | 346,180 | ||||||
| 45,600 | Thoratec Corporationd | 1,668,960 | ||||||
| 23,900 | United Therapeutics Corporationd | 2,702,612 | ||||||
| 119,776 | UnitedHealth Group, Inc. | 9,019,133 | ||||||
| 17,200 | Universal Health Services, Inc. | 1,397,672 | ||||||
| 750 | Veeva Systems, Inc.d | 24,075 | ||||||
| 22,000 | Waters Corporationd | 2,200,000 | ||||||
| 23,734 | Zimmer Holdings, Inc. | 2,211,771 | ||||||
|
| |||||||
| Total | 192,875,381 | |||||||
|
| |||||||
| Industrials (2.8%) | ||||||||
| 24,700 | 3M Company | 3,464,175 | ||||||
| 30,020 | Actuant Corporation | 1,099,933 | ||||||
| 17,980 | Acuity Brands, Inc. | 1,965,574 | ||||||
| 62,050 | ADT Corporation | 2,511,164 | ||||||
| 43,500 | AGCO Corporation | 2,574,765 | ||||||
| 13,733 | Allegion plcd | 606,861 | ||||||
| 53,814 | AMETEK, Inc. | 2,834,383 | ||||||
| 29,990 | Apogee Enterprises, Inc. | 1,076,941 | ||||||
| 1,400 | Arcadis NV | 49,372 | ||||||
| 13,200 | Arkansas Best Corporation | 444,576 | ||||||
| 27,500 | Armstrong World Industries, Inc.d | 1,584,275 | ||||||
| 41,400 | Avis Budget Group, Inc.d | 1,673,388 | ||||||
| 11,745 | B/E Aerospace, Inc.d | 1,022,167 | ||||||
| 17,100 | Babcock & Wilcox Company | 584,649 | ||||||
| 26,300 | BAM Group | 137,137 | ||||||
| 9,100 | Berendsen plc | 141,238 | ||||||
| 130,200 | Boeing Company | 17,770,998 | ||||||
| 33,378 | Briggs & Stratton Corporatione | 726,305 | ||||||
| 46,200 | Carillion plc | 253,298 | ||||||
| 400 | Central Japan Railway Company | 47,141 | ||||||
| 39,800 | Chemring Group plc | 148,069 | ||||||
| 26,500 | CLARCOR, Inc. | 1,705,275 | ||||||
| 10,800 | Colfax Corporationd | 687,852 | ||||||
| 800 | Compagnie de Saint-Gobain | 44,070 | ||||||
| 268,797 | CSX Corporation | 7,733,290 | ||||||
| 18,500 | Cummins, Inc. | 2,607,945 | ||||||
| 10,000 | Daifuku Company, Ltd. | 128,003 | ||||||
| 15,600 | Deluxe Corporation | 814,164 | ||||||
| 60,600 | DigitalGlobe, Inc.d | 2,493,690 | ||||||
| 29,100 | Dover Corporation | 2,809,314 | ||||||
| 1,700 | Elbit Systems, Ltd. | 102,675 | ||||||
| 71,281 | EMCOR Group, Inc. | 3,025,166 | ||||||
| 9,300 | EnerSys, Inc. | 651,837 | ||||||
| 5,700 | Esterline Technologies Corporationd | 581,172 | ||||||
| 1,800 | European Aeronautic Defence and Space Company | 138,187 | ||||||
| 52,300 | Exelis, Inc. | 996,838 | ||||||
| 18,630 | Expeditors International of Washington, Inc. | 824,378 | ||||||
| 9,300 | Fastenal Company | 441,843 | ||||||
| 24,800 | Ferrovial SA | 480,423 | ||||||
| 22,148 | Flowserve Corporation | 1,745,927 | ||||||
| 47,700 | Fluor Corporation | 3,829,833 | ||||||
| 17,340 | Fortune Brands Home and Security, Inc. | 792,438 | ||||||
| 32,200 | Foster Wheeler AGd | 1,063,244 | ||||||
| 31,420 | GATX Corporation | 1,639,181 | ||||||
| 9,490 | Graco, Inc. | 741,359 | ||||||
| 19,100 | GWA Group, Ltd. | 51,975 | ||||||
| 17,000 | Hanwa Company, Ltd. | 91,085 | ||||||
| 72,200 | HNI Corporation | 2,803,526 | ||||||
| 229,972 | Honeywell International, Inc. | 21,012,542 | ||||||
| 9,800 | Huntington Ingalls Industries, Inc. | 882,098 | ||||||
| 3,000 | I.M.A. Industria Macchine Automatiche SPA | 115,559 | ||||||
| 6,000 | IHS, Inc.d | 718,200 | ||||||
| 125,800 | Ingersoll-Rand plc | 7,749,280 | ||||||
| 22,600 | ITE Group plc | 114,931 | ||||||
| 306,570 | Jacobs Engineering Group, Inc.d | 19,310,844 | ||||||
| 11,330 | JB Hunt Transport Services, Inc. | 875,809 | ||||||
| 15,200 | JM AB | 429,452 | ||||||
| 22,000 | Kamigumi Company, Ltd. | 201,860 | ||||||
| 8,845 | Kansas City Southern | 1,095,276 | ||||||
| 186,000 | Kawasaki Kisen Kaisha, Ltd. | 471,103 | ||||||
| 15,700 | Keller Group plc | 298,723 | ||||||
| 15,900 | Komori Corporation | 271,118 | ||||||
| 15,500 | Koninklijke Philips NV | 570,731 | ||||||
| 74,920 | Korn/Ferry Internationald | 1,956,910 | ||||||
| 7,600 | KUKA AG | 356,687 | ||||||
| 39,100 | Landstar System, Inc. | 2,246,295 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
115
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (23.0%) | Value | ||||||
| Industrials (2.8%) - continued | ||||||||
| 4,700 | Lindsay Manufacturing Companye | $ | 388,925 | |||||
| 10,000 | Lockheed Martin Corporation | 1,486,600 | ||||||
| 35,492 | Manitowoc Company, Inc. | 827,673 | ||||||
| 82,600 | Manpower, Inc. | 7,092,036 | ||||||
| 14,800 | Matson, Inc. | 386,428 | ||||||
| 24,700 | Mermaid Marine Australia, Ltd. | 74,985 | ||||||
| 30,000 | MRC Global, Inc.d | 967,800 | ||||||
| 35,900 | Mueller Water Products, Inc. | 336,383 | ||||||
| 11,600 | Nielsen Holdings NV | 532,324 | ||||||
| 36,000 | Nippon Express Company, Ltd. | 174,262 | ||||||
| 3,900 | Nishio Rent All Company, Ltd. | 98,774 | ||||||
| 16,800 | Northgate plc | 143,077 | ||||||
| 15,500 | Old Dominion Freight Line, Inc.d | 821,810 | ||||||
| 73,458 | Oshkosh Corporation | 3,700,814 | ||||||
| 3,300 | Osterreichische Post Aktiengesellschaft | 158,340 | ||||||
| 9,431 | Parker Hannifin Corporation | 1,213,204 | ||||||
| 69,502 | Pentair, Ltd. | 5,398,220 | ||||||
| 50,840 | Quanta Services, Inc.d | 1,604,510 | ||||||
| 7,800 | Randstad Holding NV | 506,168 | ||||||
| 56,000 | Republic Airways Holdings, Inc.d | 598,640 | ||||||
| 58,710 | Ritchie Brothers Auctioneers, Inc.e | 1,346,220 | ||||||
| 20,740 | Robert Half International, Inc. | 870,873 | ||||||
| 3,300 | Rockwell Automation, Inc. | 389,928 | ||||||
| 8,552 | Roper Industries, Inc. | 1,185,991 | ||||||
| 16,700 | SAS ABd | 42,758 | ||||||
| 10,300 | Seven Group Holdings, Ltd. | 74,107 | ||||||
| 26,100 | Shanks Group plc | 46,873 | ||||||
| 81,000 | Singapore Airport Terminal Services, Ltd. | 207,552 | ||||||
| 18,000 | Skilled Group, Ltd. | 54,839 | ||||||
| 2,100 | SMC Corporation | 530,016 | ||||||
| 103,500 | Southwest Airlines Company | 1,949,940 | ||||||
| 33,800 | Spirit Airlines, Inc.d | 1,534,858 | ||||||
| 10,855 | Stericycle, Inc.d | 1,261,025 | ||||||
| 3,700 | Temp Holdings Company, Ltd. | 98,519 | ||||||
| 21,020 | Tennant Company | 1,425,366 | ||||||
| 30,400 | Titan International, Inc. | 546,592 | ||||||
| 13,300 | Tyco International, Ltd. | 545,832 | ||||||
| 99,100 | Union Pacific Corporation | 16,648,800 | ||||||
| 14,990 | United Rentals, Inc.d,e | 1,168,471 | ||||||
| 12,746 | United Stationers, Inc. | 584,914 | ||||||
| 7,500 | United Technologies Corporation | 853,500 | ||||||
| 43,300 | Wabash National Corporationd | 534,755 | ||||||
| 15,700 | WESCO International, Inc.d | 1,429,799 | ||||||
|
| |||||||
| Total | 198,261,018 | |||||||
|
| |||||||
| Information Technology (4.2%) | ||||||||
| 70,900 | Accenture plc | 5,829,398 | ||||||
| 87,200 | Activision Blizzard, Inc. | 1,554,776 | ||||||
| 22,644 | Agilent Technologies, Inc. | 1,295,010 | ||||||
| 10,400 | Alliance Data Systems Corporationd | 2,734,472 | ||||||
| 32,600 | Amdocs, Ltd. | 1,344,424 | ||||||
| 11,400 | Amphenol Corporation | 1,016,652 | ||||||
| 4,800 | Anixter International, Inc. | 431,232 | ||||||
| 14,796 | ANSYS, Inc.d | 1,290,211 | ||||||
| 69,907 | Apple, Inc. | 39,225,517 | ||||||
| 80,731 | Applied Materials, Inc. | 1,428,131 | ||||||
| 38,100 | Arris Group, Inc.d | 928,306 | ||||||
| 8,300 | Aspen Technology, Inc.d | 346,940 | ||||||
| 351,400 | Atmel Corporationd | 2,751,462 | ||||||
| 43,439 | Autodesk, Inc.d | 2,186,285 | ||||||
| 28,200 | AVG Technologies NVd | 485,322 | ||||||
| 32,600 | Avnet, Inc. | 1,437,986 | ||||||
| 30,550 | Broadridge Financial Solutions, Inc. | 1,207,336 | ||||||
| 178,000 | Brocade Communications Systems, Inc.d | 1,578,860 | ||||||
| 2,500 | Cap Gemini SA | 169,214 | ||||||
| 20,057 | Ciena Corporationd | 479,964 | ||||||
| 614,520 | Cisco Systems, Inc. | 13,795,974 | ||||||
| 93,503 | CoreLogic, Inc.d | 3,322,162 | ||||||
| 22,418 | DST Systems, Inc. | 2,034,209 | ||||||
| 48,862 | E2open, Inc.d,e | 1,168,290 | ||||||
| 14,674 | eBay, Inc.d | 805,456 | ||||||
| 18,600 | Electrocomponents plc | 86,099 | ||||||
| 15,200 | Ellie Mae, Inc.d | 408,424 | ||||||
| 346,600 | EMC Corporation | 8,716,990 | ||||||
| 13,388 | Euronet Worldwide, Inc.d | 640,616 | ||||||
| 1,300 | EVS Broadcast Equipment SA | 84,195 | ||||||
| 8,062 | F5 Networks, Inc.d | 732,513 | ||||||
| 431,300 | Facebook, Inc.d | 23,574,858 | ||||||
| 47,400 | Fairchild Semiconductor International, Inc.d | 632,790 | ||||||
| 7,000 | FEI Company | 625,520 | ||||||
| 13,300 | FLIR Systems, Inc. | 400,330 | ||||||
| 24,370 | Gartner, Inc.d | 1,731,489 | ||||||
| 16,900 | Genpact, Ltd.d | 310,453 | ||||||
| 35,734 | Google, Inc.d | 40,047,451 | ||||||
| 39,300 | Guidewire Software, Inc.d | 1,928,451 | ||||||
| 9,300 | iGATE Corporationd | 373,488 | ||||||
| 200 | Inficon Holding AGd | 77,250 | ||||||
| 93,800 | Informatica Corporationd | 3,892,700 | ||||||
| 41,800 | InterDigital, Inc.e | 1,232,682 | ||||||
| 12,900 | International Business Machines Corporation | 2,419,653 | ||||||
| 25,100 | Ixiad | 334,081 | ||||||
| 29,000 | j2 Global, Inc.e | 1,450,290 | ||||||
| 35,924 | Juniper Networks, Inc.d | 810,805 | ||||||
| 31,400 | Laird plc | 144,375 | ||||||
| 15,004 | Lam Research Corporationd | 816,968 | ||||||
| 6,275 | Leidos Holdings, Inc. | 291,725 | ||||||
| 18,402 | Lexmark International, Inc.e | 653,639 | ||||||
| 1,780 | LinkedIn Corporationd | 385,957 | ||||||
| 12,300 | Micro Focus International plc | 156,580 | ||||||
| 19,898 | Microchip Technology, Inc. | 890,436 | ||||||
| 73,890 | Microsoft Corporation | 2,765,703 | ||||||
| 56,100 | Monster Worldwide, Inc.d | 399,993 | ||||||
| 322,770 | NetApp, Inc. | 13,278,758 | ||||||
| 20,200 | NeuStar, Inc.d | 1,007,172 | ||||||
| 7,006 | Nice Systems, Ltd. ADR | 286,966 | ||||||
| 42,900 | Nokia Oyjd | 346,633 | ||||||
| 13,626 | Nuance Communications, Inc.d | 207,115 | ||||||
| 140,366 | NVIDIA Corporation | 2,248,663 | ||||||
| 22,910 | NXP Semiconductors NVd | 1,052,256 | ||||||
| 100,000 | Oracle Corporation | 3,826,000 | ||||||
| 2,200 | Otsuka Corporation | 281,059 | ||||||
| 36,566 | Plantronics, Inc. | 1,698,491 | ||||||
| 82,100 | Polycom, Inc.d | 921,983 | ||||||
| 231,492 | QUALCOMM, Inc. | 17,188,281 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
116
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (23.0%) | Value | ||||||
| Information Technology (4.2%) - continued | ||||||||
| 192,750 | Salesforce.com, Inc.d | $ | 10,637,873 | |||||
| 17,760 | Sapient Corporationd | 308,314 | ||||||
| 2,200 | SCSK Corporation | 57,745 | ||||||
| 10,100 | Seagate Technology plc | 567,216 | ||||||
| 7,700 | Seiko Epson Corporation | 207,319 | ||||||
| 9,000 | ServiceNow, Inc.d | 504,090 | ||||||
| 24,800 | SunPower Corporationd,e | 739,288 | ||||||
| 405,940 | Symantec Corporation | 9,572,065 | ||||||
| 16,700 | Synopsys, Inc.d | 677,519 | ||||||
| 56,000 | Take-Two Interactive Software, Inc.d | 972,720 | ||||||
| 94,500 | Teradata Corporationd | 4,298,805 | ||||||
| 134,127 | Teradyne, Inc.d | 2,363,318 | ||||||
| 247,920 | Texas Instruments, Inc. | 10,886,167 | ||||||
| 39,600 | Trimble Navigation, Ltd.d | 1,374,120 | ||||||
| 85,022 | TriQuint Semiconductor, Inc.d | 709,083 | ||||||
| 200 | Twitter, Inc.d | 12,730 | ||||||
| 32,250 | Ubiquiti Networks, Inc.d,e | 1,482,210 | ||||||
| 16,801 | VeriFone Systems, Inc.d | 450,603 | ||||||
| 51,036 | Virtusa Corporationd | 1,943,961 | ||||||
| 115,700 | Vishay Intertechnology, Inc.d | 1,534,182 | ||||||
| 194,700 | VMware, Inc.d | 17,466,537 | ||||||
| 4,900 | Wincor Nixdorf AG | 340,130 | ||||||
| 2,700 | Xaar plc | 50,182 | ||||||
| 227,900 | Xerox Corporation | 2,773,543 | ||||||
| 124,393 | Xilinx, Inc. | 5,712,127 | ||||||
| 16,700 | Xoom Corporationd | 457,079 | ||||||
|
| |||||||
| Total | 304,306,396 | |||||||
|
| |||||||
| Materials (0.7%) | ||||||||
| 7,800 | AEP Industries, Inc.d | 412,074 | ||||||
| 8,640 | Airgas, Inc. | 966,384 | ||||||
| 5,780 | Albemarle Corporation | 366,394 | ||||||
| 155,845 | Allied Nevada Gold Corporationd,e | 553,250 | ||||||
| 171,100 | Arrium, Ltd. | 268,689 | ||||||
| 9,200 | BHP Billiton, Ltd. | 313,654 | ||||||
| 40,700 | BlueScope Steel, Ltd.d | 212,349 | ||||||
| 72,005 | Celanese Corporation | 3,982,597 | ||||||
| 8,300 | CF Industries Holdings, Inc. | 1,934,232 | ||||||
| 35,600 | Cliffs Natural Resources, Inc.e | 933,076 | ||||||
| 54,200 | Coeur Mining, Inc.d | 588,070 | ||||||
| 91,700 | Dow Chemical Company | 4,071,480 | ||||||
| 23,000 | DS Smith plc | 126,819 | ||||||
| 23,200 | Eagle Materials, Inc. | 1,796,376 | ||||||
| 15,600 | Eastman Chemical Company | 1,258,920 | ||||||
| 8,622 | FMC Corporation | 650,616 | ||||||
| 57,830 | H.B. Fuller Company | 3,009,473 | ||||||
| 7,930 | Innophos Holdings, Inc. | 385,398 | ||||||
| 112,100 | Louisiana-Pacific Corporationd | 2,074,971 | ||||||
| 53,160 | Materials Select Sector SPDR Fund | 2,457,055 | ||||||
| 32,200 | Mosaic Company | 1,522,094 | ||||||
| 15,000 | Nippon Paint Company, Ltd. | 249,571 | ||||||
| 22,900 | Nippon Paper Industries Company, Ltd. | 425,319 | ||||||
| 68,270 | Nucor Corporation | 3,644,253 | ||||||
| 25,400 | Owens-Illinois, Inc.d | 908,812 | ||||||
| 22,700 | Packaging Corporation of America | 1,436,456 | ||||||
| 13,600 | PPG Industries, Inc. | 2,579,376 | ||||||
| 9,700 | Schweitzer-Mauduit International, Inc. | 499,259 | ||||||
| 16,400 | Sigma-Aldrich Corporation | 1,541,764 | ||||||
| 20,874 | Silgan Holdings, Inc. | 1,002,370 | ||||||
| 10,896 | Silver Wheaton Corporation | 219,990 | ||||||
| 19,300 | Smurfit Kappa Group plc | 473,645 | ||||||
| 76,227 | Southern Copper Corporation | 2,188,477 | ||||||
| 60,030 | Steel Dynamics, Inc. | 1,172,986 | ||||||
| 27,700 | Stillwater Mining Companyd | 341,818 | ||||||
| 167,700 | Teck Resources, Ltd.e | 4,361,877 | ||||||
| 29,500 | UPM-Kymmene Oyj | 500,325 | ||||||
| 4,400 | Valspar Corporation | 313,676 | ||||||
| 32,900 | Walter Energy, Inc.e | 547,127 | ||||||
| 12,200 | Worthington Industries, Inc. | 513,376 | ||||||
|
| |||||||
| Total | 50,804,448 | |||||||
|
| |||||||
| Telecommunications Services (0.2%) | ||||||||
| 117,700 | AT&T, Inc. | 4,138,332 | ||||||
| 98,298 | BT Group plc | 619,864 | ||||||
| 31,933 | Cogent Communications Group, Inc. | 1,290,413 | ||||||
| 16,500 | Freenet AGd | 495,761 | ||||||
| 35,000 | iiNet, Ltd. | 204,020 | ||||||
| 2,700 | KDDI Corporation | 166,361 | ||||||
| 6,500 | Orange SA | 80,699 | ||||||
| 3,936 | SBA Communications Corporationd | 353,610 | ||||||
| 170,000 | Singapore Telecommunications, Ltd. | 494,380 | ||||||
| 104,800 | TalkTalk Telecom Group plc | 532,082 | ||||||
| 20,496 | Telenor ASA | 489,723 | ||||||
| 105,100 | Telstra Corporation, Ltd. | 493,296 | ||||||
| 26,300 | TPG Telecom, Ltd. | 125,412 | ||||||
| 14,715 | TW Telecom, Inc.d | 448,366 | ||||||
| 147,606 | Verizon Communications, Inc. | 7,253,359 | ||||||
|
| |||||||
| Total | �� | 17,185,678 | ||||||
|
| |||||||
| Utilities (0.4%) | ||||||||
| 186,900 | A2A SPA | 218,741 | ||||||
| 16,100 | Calpine Corporationd | 314,111 | ||||||
| 31,600 | CMS Energy Corporation | 845,932 | ||||||
| 123,600 | Electricidade de Portugal SA | 453,996 | ||||||
| 19,300 | Gas Natural SDG SA | 496,771 | ||||||
| 13,100 | Kansai Electric Power Company, Inc.d | 150,772 | ||||||
| 213,590 | NiSource, Inc. | 7,022,839 | ||||||
| 35,230 | NorthWestern Corporation | 1,526,164 | ||||||
| 198,800 | PG&E Corporation | 8,007,664 | ||||||
| 67,320 | PNM Resources, Inc. | 1,623,758 | ||||||
| 50,000 | Power Assets Holdings, Ltd. | 398,023 | ||||||
| 22,300 | Public Service Enterprise Group, Inc. | 714,492 | ||||||
| 42,500 | Southern Company | 1,747,175 | ||||||
| 34,691 | Southwest Gas Corporation | 1,939,574 | ||||||
| 257,536 | SP AusNet | 286,784 | ||||||
| 27,500 | Veolia Environnement SA | 449,143 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
117
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (23.0%) | Value | ||||||
| Utilities (0.4%) - continued | ||||||||
| 69,300 | Wisconsin Energy Corporation | $ | 2,864,862 | |||||
|
| |||||||
| Total | 29,060,801 | |||||||
|
| |||||||
| Total Common Stock (cost $1,337,910,458) | 1,651,483,340 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (22.5%) | |||||||
| Asset-Backed Securities (0.8%) |
| ||||||
Access Group, Inc. | ||||||||
| 1,261,732 | 0.665%, 2/25/2036f,g | 1,257,154 | ||||||
Ally Auto Receivables Trust 2013-SN1 | ||||||||
| 1,680,000 | 0.720%, 5/20/2016 | 1,680,847 | ||||||
Avis Budget Rental Car Funding AESOP, LLC | ||||||||
| 828,520 | 2.370%, 11/20/2014f | 837,857 | ||||||
Chesapeake Funding, LLC | ||||||||
| 3,000,000 | 0.618%, 1/7/2025f,g | 2,992,770 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
| 2,241,419 | 5.530%, 4/25/2047 | 2,051,360 | ||||||
DT Auto Owner Trust | ||||||||
| 419,235 | 0.750%, 5/16/2016f | 419,304 | ||||||
Edlinc Student Loan Funding Trust | ||||||||
| 129,458 | 3.170%, 10/1/2025g,h | 128,164 | ||||||
Enterprise Fleet Financing, LLC | ||||||||
| 3,900,000 | 1.060%, 3/20/2019f | 3,906,357 | ||||||
FirstEnergy Ohio PIRB Special Purpose Trust 2013 | ||||||||
| 1,680,000 | 0.679%, 1/15/2019 | 1,679,273 | ||||||
FNA Trust | ||||||||
| 973,523 | 1.980%, 1/10/2018h | 965,735 | ||||||
GE Dealer Floorplan Master Note Trust | ||||||||
| 1,680,000 | 0.567%, 4/20/2018g | 1,681,169 | ||||||
GE Equipment Transportation, LLC | ||||||||
| 1,400,000 | 0.690%, 11/25/2016 | 1,399,366 | ||||||
Golden Credit Card Trust | ||||||||
| 150,000 | 0.419%, 2/15/2018f,g | 149,742 | ||||||
| 2,000,000 | 0.597%, 9/15/2018f,g | 2,002,180 | ||||||
Hertz Fleet Lease Funding, LP | ||||||||
| 3,225,000 | 0.716%, 12/10/2027f,g | 3,225,077 | ||||||
HLSS Servicer Advance Receivables Backed Notes | ||||||||
| 2,750,000 | 1.287%, 9/15/2044f | 2,748,350 | ||||||
Hyundai Auto Receivables Trust | ||||||||
| 1,680,000 | 0.710%, 9/15/2017 | 1,681,614 | ||||||
Hyundai Floorplan Master Owner Trust | ||||||||
| 1,890,000 | 0.517%, 5/15/2018f,g | 1,892,293 | ||||||
Master Credit Card Trust | ||||||||
| 1,139,600 | 0.780%, 4/21/2017f | 1,137,728 | ||||||
Morgan Stanley Capital, Inc. | ||||||||
| 3,161,477 | 0.315%, 2/25/2037g | 1,707,191 | ||||||
Motor plc | ||||||||
| 2,016,000 | 0.665%, 2/15/2021f | 2,017,962 | ||||||
Nationstar Mortgage Advance Receivable Trust | ||||||||
| 1,680,000 | 1.080%, 6/20/2044f | 1,678,934 | ||||||
Nissan Master Owner Trust Receivables | ||||||||
| 250,000 | 0.467%, 2/15/2018g | 249,946 | ||||||
Ohio Phase-In-Recovery Funding, LLC | ||||||||
| 4,000,000 | 0.958%, 7/2/2018 | 4,009,688 | ||||||
Penarth Master Issuer plc | ||||||||
| 3,185,000 | 0.555%, 11/18/2017f,g | 3,182,605 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 6,500,000 | 6.011%, 5/25/2036 | 4,552,782 | ||||||
| 3,753,099 | 5.580%, 11/25/2036 | 2,280,646 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
| 1,400,000 | 0.700%, 9/15/2017 | 1,400,365 | ||||||
SLM Student Loan Trust | ||||||||
| 103,959 | 0.767%, 8/15/2022f,g | 103,800 | ||||||
| 125,000 | 1.217%, 5/17/2027f,g | 123,286 | ||||||
Volvo Financial Equipment, LLC | ||||||||
| 1,400,000 | 0.740%, 3/15/2017f | 1,398,844 | ||||||
World Financial Network Credit Card Master Trust | ||||||||
| 1,400,000 | 0.910%, 3/16/2020 | 1,391,047 | ||||||
World Omni Automobile Lease Securitization Trust | ||||||||
| 2,600,000 | 1.400%, 2/15/2019 | 2,617,948 | ||||||
World Omni Master Owner Trust | ||||||||
| 150,000 | 0.517%, 2/15/2018f,g | 150,064 | ||||||
|
| |||||||
| Total | 58,701,448 | |||||||
|
| |||||||
| Basic Materials (0.2%) |
| ||||||
FMG Resources Pty. Ltd. | ||||||||
| 2,201,432 | 6.875%, 2/1/2018e,f | 2,317,007 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| 1,110,000 | 2.375%, 3/15/2018 | 1,107,288 | ||||||
Glencore Funding, LLC | ||||||||
| 600,000 | 1.700%, 5/27/2016f | 600,505 | ||||||
| 840,000 | 1.604%, 1/15/2019f,g | 823,955 | ||||||
| �� | Hexion US Finance Corporation/Hexion Nova Scotia Finance ULC | |||||||
| 1,100,000 | 8.875%, 2/1/2018 | 1,142,625 | ||||||
Ineos Finance plc | ||||||||
| 1,100,000 | 7.500%, 5/1/2020f | 1,205,875 | ||||||
Inmet Mining Corporation | ||||||||
| 1,100,000 | 7.500%, 6/1/2021f | 1,149,500 | ||||||
International Paper Company | ||||||||
| 560,000 | 5.300%, 4/1/2015 | 589,814 | ||||||
LyondellBasell Industries NV | ||||||||
| 980,000 | 6.000%, 11/15/2021 | 1,127,110 | ||||||
Mosaic Company | ||||||||
| 456,000 | 5.450%, 11/15/2033 | 464,595 | ||||||
Rio Tinto Finance USA plc | ||||||||
| 588,000 | 1.375%, 6/17/2016 | 597,157 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
| 1,444,000 | 2.050%, 10/23/2015f | 1,462,378 | ||||||
|
| |||||||
| Total | 12,587,809 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
118
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (22.5%) | Value | ||||||
| Capital Goods (0.1%) |
| ||||||
BAE Systems plc | ||||||||
| $640,000 | 3.500%, 10/11/2016f | $ | 669,024 | |||||
CNH Capital, LLC | ||||||||
| 1,100,000 | 3.625%, 4/15/2018 | 1,115,125 | ||||||
Eaton Corporation | ||||||||
| 300,000 | 1.500%, 11/2/2017 | 294,100 | ||||||
| 450,000 | 4.000%, 11/2/2032 | 413,284 | ||||||
John Deere Capital Corporation | ||||||||
| 840,000 | 0.314%, 1/12/2015g | 840,570 | ||||||
Northrop Grumman Corporation | ||||||||
| 948,000 | 1.750%, 6/1/2018 | 924,832 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
| 1,101,432 | 5.750%, 10/15/2020 | 1,123,461 | ||||||
Roper Industries, Inc. | ||||||||
| 885,000 | 2.050%, 10/1/2018 | 860,063 | ||||||
RSC Equipment Rental, Inc. | ||||||||
| 1,100,000 | 8.250%, 2/1/2021 | 1,240,250 | ||||||
Textron, Inc. | ||||||||
| 785,000 | 5.600%, 12/1/2017 | 869,366 | ||||||
|
| |||||||
| Total | 8,350,075 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (0.7%) |
| ||||||
Alternative Loan Trust | ||||||||
| 1,877,399 | 6.000%, 6/25/2036 | 1,602,272 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 1,341,864 | 5.500%, 11/25/2035 | 1,190,560 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
| 4,412,286 | 5.750%, 4/25/2037 | 3,711,209 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 3,495,945 | 5.066%, 10/25/2035 | 2,819,651 | ||||||
| 1,808,436 | 6.000%, 4/25/2036 | 1,489,404 | ||||||
| 841,422 | 6.000%, 1/25/2037 | 714,793 | ||||||
| 5,033,908 | 5.500%, 5/25/2037 | 4,183,671 | ||||||
| 3,962,337 | 7.000%, 10/25/2037 | 2,655,559 | ||||||
Countrywide Home Loans, Inc. | ||||||||
| 1,701,024 | 5.750%, 4/25/2037 | 1,499,789 | ||||||
Deutsche Alt-A Securities, Inc., Mortgage Loan Trust | ||||||||
| 545,346 | 5.500%, 10/25/2021 | 522,205 | ||||||
| 1,397,713 | 6.000%, 10/25/2021 | 1,300,366 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 6,046,485 | 3.000%, 2/15/2033i | 923,822 | ||||||
Federal National Mortgage Association | ||||||||
| 13,141,984 | 3.500%, 1/25/2033i | 2,344,990 | ||||||
GSR Mortgage Loan Trust | ||||||||
| 1,611,364 | 0.355%, 8/25/2046g | 1,586,135 | ||||||
HomeBanc Mortgage Trust | ||||||||
| 2,242,868 | 2.409%, 4/25/2037 | 1,559,689 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 939,503 | 2.783%, 6/25/2036 | 767,448 | ||||||
| 394,110 | 2.665%, 10/25/2036 | 326,578 | ||||||
| 5,109,322 | 0.545%, 1/25/2037g | 3,342,498 | ||||||
| 5,277,405 | 6.250%, 8/25/2037 | 3,692,415 | ||||||
MASTR Alternative Loans Trust | ||||||||
| 929,176 | 6.500%, 7/25/2034 | 929,829 | ||||||
| 3,042,006 | 0.615%, 12/25/2035g | 1,649,442 | ||||||
Merrill Lynch Alternative Note Asset Trust | ||||||||
| 964,314 | 6.000%, 3/25/2037 | 875,839 | ||||||
Residential Asset Securitization Trust | ||||||||
| 3,926,456 | 0.545%, 8/25/2037g | 1,225,019 | ||||||
Sequoia Mortgage Trust | ||||||||
| 453,850 | 2.634%, 9/20/2046 | 31,503 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
| 386,917 | 2.369%, 9/25/2036 | 337,799 | ||||||
| 1,340,000 | 2.420%, 10/25/2036 | 1,142,765 | ||||||
| 3,748,460 | 2.065%, 11/25/2036 | 3,151,394 | ||||||
|
| |||||||
| Total | 45,576,644 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (0.9%) |
| ||||||
Banc of America Commercial Mortgage, Inc. | ||||||||
| 7,200,000 | 5.623%, 4/10/2049 | 7,978,442 | ||||||
| 4,975,000 | 5.649%, 6/10/2049 | 5,497,529 | ||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 3,500,000 | 5.331%, 2/11/2044 | 3,801,588 | ||||||
CGBAM Commercial Mortgage Trust | ||||||||
| 5,460,000 | 1.268%, 5/15/2030f,g | 5,463,412 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 3,000,000 | 5.322%, 12/11/2049 | 3,285,324 | ||||||
Commercial Mortgage Pass- Through Certificates | ||||||||
| 1,680,000 | 1.218%, 6/8/2030f,g | 1,675,894 | ||||||
Credit Suisse First Boston Mortgage Securities | ||||||||
| 7,200,000 | 5.542%, 1/15/2049 | 7,920,029 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 8,875,000 | 5.509%, 9/15/2039 | 9,529,531 | ||||||
Federal Home Loan Mortgage Corporation Multi Family Structured Pass Thru Certificates | ||||||||
| 240,650 | 0.727%, 12/25/2016 | 239,091 | ||||||
Government National Mortgage Association | ||||||||
| 136,399 | 2.164%, 3/16/2033 | 137,068 | ||||||
| 69,380 | 3.214%, 1/16/2040 | 70,402 | ||||||
Greenwich Capital Commercial Funding Corporation | ||||||||
| 4,650,000 | 5.867%, 12/10/2049 | 5,095,135 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 1,120,000 | 0.867%, 4/15/2028f,g | 1,115,106 | ||||||
| 3,650,000 | 5.706%, 2/12/2049 | 3,918,107 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
119
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (22.5%) | Value | ||||||
| Commercial Mortgage-Backed Securities (0.9%) - continued |
| ||||||
Morgan Stanley Capital, Inc. | ||||||||
| $2,650,000 | 5.406%, 3/15/2044 | $ | 2,880,537 | |||||
SCG Trust 2013-SRP1 | ||||||||
| 1,150,000 | 1.567%, 11/15/2026f,g | 1,151,325 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
| 5,400,000 | 5.603%, 10/15/2048 | 5,796,625 | ||||||
|
| |||||||
| Total | 65,555,145 | |||||||
|
| |||||||
| Communications Services (0.4%) |
| ||||||
AMC Networks, Inc. | ||||||||
| 1,100,000 | 4.750%, 12/15/2022 | 1,047,750 | ||||||
America Movil SAB de CV | ||||||||
| 1,125,000 | 1.244%, 9/12/2016g | 1,136,671 | ||||||
| 912,000 | 5.000%, 10/16/2019 | 996,360 | ||||||
AT&T, Inc. | ||||||||
| 608,000 | 2.400%, 8/15/2016 | 625,234 | ||||||
| 760,000 | 1.146%, 11/27/2018g | 765,790 | ||||||
| 912,000 | 3.875%, 8/15/2021 | 923,947 | ||||||
British Telecommunications plc | ||||||||
| 588,000 | 1.625%, 6/28/2016 | 593,181 | ||||||
CBS Corporation | ||||||||
| 600,000 | 8.875%, 5/15/2019 | 767,118 | ||||||
CC Holdings GS V, LLC | ||||||||
| 690,000 | 2.381%, 12/15/2017 | 683,433 | ||||||
CCO Holdings, LLC | ||||||||
| 1,100,000 | 7.375%, 6/1/2020 | 1,190,750 | ||||||
CenturyLink, Inc. | ||||||||
| 1,100,000 | 5.625%, 4/1/2020 | 1,119,250 | ||||||
Comcast Corporation | ||||||||
| 375,000 | 4.650%, 7/15/2042 | 348,977 | ||||||
Cox Communications, Inc. | ||||||||
| 932,000 | 9.375%, 1/15/2019f | 1,172,554 | ||||||
Crown Castle Towers, LLC | ||||||||
| 540,000 | 4.174%, 8/15/2017f | 569,574 | ||||||
DIRECTV Holdings, LLC | ||||||||
| 600,000 | 2.400%, 3/15/2017 | 610,835 | ||||||
| 600,000 | 1.750%, 1/15/2018 | 588,581 | ||||||
| 632,000 | 5.875%, 10/1/2019 | 715,919 | ||||||
Hughes Satellite Systems Corporation | ||||||||
| 1,100,000 | 6.500%, 6/15/2019 | 1,190,750 | ||||||
Intelsat Jackson Holdings SA | ||||||||
| 1,100,000 | 7.250%, 4/1/2019 | 1,188,000 | ||||||
Level 3 Financing, Inc. | ||||||||
| 1,100,000 | 8.625%, 7/15/2020 | 1,232,000 | ||||||
NBC Universal Enterprise, Inc. | ||||||||
| 840,000 | 0.929%, 4/15/2018f,g | 843,075 | ||||||
Nippon Telegraph & Telephone Corporation | ||||||||
| 584,000 | 1.400%, 7/18/2017 | 576,968 | ||||||
SBA Tower Trust | ||||||||
| 575,000 | 5.101%, 4/17/2017f | 619,811 | ||||||
Sprint Communications, Inc. | ||||||||
| 1,101,432 | 9.000%, 11/15/2018f | 1,327,226 | ||||||
Telefonica Emisiones SAU | ||||||||
| 912,000 | 3.992%, 2/16/2016 | 957,963 | ||||||
| 912,000 | 3.192%, 4/27/2018 | 928,796 | ||||||
Univision Communications, Inc. | ||||||||
| 1,100,000 | 6.875%, 5/15/2019f | 1,175,625 | ||||||
UPCB Finance V, Ltd. | ||||||||
| 1,100,000 | 7.250%, 11/15/2021f | 1,193,500 | ||||||
Verizon Communications, Inc. | ||||||||
| 1,216,000 | 2.500%, 9/15/2016 | 1,257,388 | ||||||
| 453,000 | 1.100%, 11/1/2017 | 440,726 | ||||||
| 640,000 | 5.500%, 2/15/2018 | 723,046 | ||||||
| 608,000 | 1.993%, 9/14/2018g | 639,311 | ||||||
| 304,000 | 3.650%, 9/14/2018 | 321,803 | ||||||
| 912,000 | 6.400%, 9/15/2033 | 1,048,910 | ||||||
| 304,000 | 6.550%, 9/15/2043 | 355,668 | ||||||
Wind Acquisition Finance SA | ||||||||
| 1,100,000 | 11.750%, 7/15/2017f | 1,170,125 | ||||||
|
| |||||||
| Total | 31,046,615 | |||||||
|
| |||||||
| Consumer Cyclical (0.3%) |
| ||||||
Amazon.com, Inc. | ||||||||
| 300,000 | 1.200%, 11/29/2017 | 293,728 | ||||||
American Honda Finance Corporation | ||||||||
| 1,120,000 | 0.612%, 5/26/2016f,g | 1,122,576 | ||||||
Chrysler Group, LLC | ||||||||
| 1,115,000 | 8.000%, 6/15/2019 | 1,232,075 | ||||||
Cinemark USA, Inc. | ||||||||
| 1,100,000 | 4.875%, 6/1/2023 | 1,034,000 | ||||||
Daimler Finance North America, LLC | ||||||||
| 870,000 | 1.102%, 8/1/2018f,g | 874,683 | ||||||
Federated Retail Holdings, Inc. | ||||||||
| 357,000 | 5.900%, 12/1/2016 | 400,439 | ||||||
Ford Motor Company | ||||||||
| 465,000 | 7.450%, 7/16/2031 | 569,471 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 945,000 | 12.000%, 5/15/2015 | 1,084,539 | ||||||
| 840,000 | 1.489%, 5/9/2016g | 852,325 | ||||||
| 765,000 | 1.700%, 5/9/2016 | 773,753 | ||||||
| 775,000 | 2.375%, 1/16/2018 | 782,719 | ||||||
| 594,000 | 5.000%, 5/15/2018 | 661,662 | ||||||
Gap, Inc. | ||||||||
| 775,000 | 5.950%, 4/12/2021 | 856,354 | ||||||
General Motors Company | ||||||||
| 456,000 | 3.500%, 10/2/2018f | 466,260 | ||||||
| 608,000 | 4.875%, 10/2/2023f | 615,600 | ||||||
General Motors Financial Company, Inc. | ||||||||
| 620,000 | 2.750%, 5/15/2016f | 627,750 | ||||||
| 1,100,000 | 3.250%, 5/15/2018f | 1,100,000 | ||||||
Home Depot, Inc. | ||||||||
| 608,000 | 4.875%, 2/15/2044 | 615,643 | ||||||
Hyundai Capital America | ||||||||
| 604,000 | 1.625%, 10/2/2015f | 607,023 | ||||||
Jaguar Land Rover Automotive plc | ||||||||
| 1,100,000 | 5.625%, 2/1/2023f | 1,100,000 | ||||||
L Brands, Inc. | ||||||||
| 1,100,000 | 5.625%, 2/15/2022 | 1,124,750 | ||||||
Lennar Corporation | ||||||||
| 1,100,000 | 4.125%, 12/1/2018 | 1,105,500 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
| 300,000 | 3.875%, 1/15/2022 | 295,703 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
120
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (22.5%) | Value | ||||||
| Consumer Cyclical (0.3%) - continued |
| ||||||
| $ | 244,000 | 4.375%, 9/1/2023 | $ | 244,919 | ||||
Toll Brothers Finance Corporation | ||||||||
| 620,000 | 8.910%, 10/15/2017e | 748,650 | ||||||
| 304,000 | 4.000%, 12/31/2018 | 309,320 | ||||||
Toyota Motor Credit Corporation | ||||||||
| 1,120,000 | 0.529%, 5/17/2016g | 1,123,194 | ||||||
| 380,000 | 1.750%, 5/22/2017 | 381,792 | ||||||
TRW Automotive, Inc. | ||||||||
| 360,000 | 7.250%, 3/15/2017f | 413,100 | ||||||
Viacom, Inc. | ||||||||
| 456,000 | 2.500%, 9/1/2018 | 459,676 | ||||||
Walgreen Company | ||||||||
| 892,000 | 5.250%, 1/15/2019 | 997,208 | ||||||
Western Union Company | ||||||||
| 600,000 | 2.375%, 12/10/2015 | 613,987 | ||||||
Wynn Las Vegas, LLC | ||||||||
| 1,100,000 | 5.375%, 3/15/2022e | 1,111,000 | ||||||
|
| |||||||
| Total | 24,599,399 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.6%) |
| ||||||
AbbVie, Inc. | ||||||||
| 1,212,000 | 1.750%, 11/6/2017 | 1,209,924 | ||||||
Altria Group, Inc. | ||||||||
| 491,000 | 9.700%, 11/10/2018 | 645,366 | ||||||
| 912,000 | 4.000%, 1/31/2024 | 891,402 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 1,030,000 | 7.750%, 1/15/2019 | 1,286,119 | ||||||
Avon Products, Inc. | ||||||||
| 310,000 | 2.375%, 3/15/2016 | 312,055 | ||||||
Biomet, Inc. | ||||||||
| 1,100,000 | 6.500%, 8/1/2020 | 1,155,000 | ||||||
Boston Scientific Corporation | ||||||||
| 775,000 | 6.000%, 1/15/2020 | 889,724 | ||||||
Bunge Limited Finance Corporation | ||||||||
| 450,000 | 8.500%, 6/15/2019 | 552,817 | ||||||
Celgene Corporation | ||||||||
| 900,000 | 1.900%, 8/15/2017 | 895,741 | ||||||
| 304,000 | 2.300%, 8/15/2018 | 302,331 | ||||||
CHS/Community Health Systems, Inc. | ||||||||
| 1,100,000 | 7.125%, 7/15/2020 | 1,141,250 | ||||||
ConAgra Foods, Inc. | ||||||||
| 900,000 | 1.900%, 1/25/2018 | 883,498 | ||||||
Coventry Health Care, Inc. | ||||||||
| 882,000 | 5.950%, 3/15/2017 | 997,176 | ||||||
CVS Caremark Corporation | ||||||||
| 608,000 | 1.200%, 12/5/2016 | 608,617 | ||||||
| 385,000 | 6.125%, 9/15/2039 | 436,636 | ||||||
Endo Pharmaceuticals Holdings, Inc. | ||||||||
| 1,100,000 | 7.000%, 7/15/2019 | 1,177,000 | ||||||
Express Scripts Holding Company | ||||||||
| 588,000 | 3.125%, 5/15/2016 | 613,703 | ||||||
Fresenius Medical Care US Finance II, Inc. | ||||||||
| 1,100,000 | 5.875%, 1/31/2022f | 1,160,500 | ||||||
Gilead Sciences, Inc. | ||||||||
| 653,000 | 3.050%, 12/1/2016 | 689,485 | ||||||
Hawk Acquisition Sub, Inc. | ||||||||
| 1,101,432 | 4.250%, 10/15/2020f | 1,065,635 | ||||||
Heineken NV | ||||||||
| 300,000 | 1.400%, 10/1/2017f | 294,322 | ||||||
IMS Health, Inc. | ||||||||
| 1,497,000 | 6.000%, 11/1/2020f | 1,590,562 | ||||||
Kroger Company | ||||||||
| 665,000 | 0.804%, 10/17/2016g | 666,459 | ||||||
| 608,000 | 1.200%, 10/17/2016 | 608,260 | ||||||
Lorillard Tobacco Company | ||||||||
| 584,000 | 2.300%, 8/21/2017e | 585,288 | ||||||
| 760,000 | 8.125%, 6/23/2019 | 925,791 | ||||||
Mallinckrodt International Finance SA | ||||||||
| 680,000 | 3.500%, 4/15/2018f | 667,073 | ||||||
Mattel, Inc. | ||||||||
| 600,000 | 1.700%, 3/15/2018 | 586,222 | ||||||
Medco Health Solutions, Inc. | ||||||||
| 900,000 | 7.125%, 3/15/2018 | 1,069,441 | ||||||
Merck & Company, Inc. | ||||||||
| 1,120,000 | 0.599%, 5/18/2018g | 1,122,938 | ||||||
Mylan, Inc. | ||||||||
| 600,000 | 7.875%, 7/15/2020f | 678,925 | ||||||
PepsiCo, Inc. | ||||||||
| 840,000 | 0.447%, 2/26/2016g | 840,555 | ||||||
Pernod Ricard SA | ||||||||
| 632,000 | 2.950%, 1/15/2017f | 652,675 | ||||||
| 474,000 | 5.750%, 4/7/2021f | 522,474 | ||||||
Perrigo Company, Ltd. | ||||||||
| 2,087,000 | 1.300%, 11/8/2016f | 2,079,766 | ||||||
| 608,000 | 2.300%, 11/8/2018f | 600,113 | ||||||
Roche Holdings, Inc. | ||||||||
| 310,000 | 7.000%, 3/1/2039f | 406,520 | ||||||
SABMiller Holdings, Inc. | ||||||||
| 960,000 | 2.450%, 1/15/2017f | 983,027 | ||||||
| 735,000 | 3.750%, 1/15/2022f | 737,742 | ||||||
Safeway, Inc. | ||||||||
| 310,000 | 3.400%, 12/1/2016 | 322,528 | ||||||
| 625,000 | 5.000%, 8/15/2019 | 664,664 | ||||||
Spectrum Brands Escrow Corporation | ||||||||
| 1,100,000 | 6.375%, 11/15/2020f | 1,174,250 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
| 760,000 | 1.300%, 2/1/2017 | 756,698 | ||||||
| 304,000 | 2.400%, 2/1/2019 | 301,170 | ||||||
Tyson Foods, Inc. | ||||||||
| 760,000 | 4.500%, 6/15/2022 | 773,806 | ||||||
Valeant Pharmaceuticals International | ||||||||
| 1,100,000 | 6.875%, 12/1/2014f | 1,177,000 | ||||||
Watson Pharmaceuticals, Inc. | ||||||||
| 1,064,000 | 1.875%, 10/1/2017 | 1,052,904 | ||||||
WM Wrigley Jr. Company | ||||||||
| 1,210,000 | 1.400%, 10/21/2016f | 1,211,833 | ||||||
| 760,000 | 2.000%, 10/20/2017f | 757,889 | ||||||
|
| |||||||
| Total | 40,724,874 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
121
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (22.5%) | Value | ||||||
| Energy (0.3%) |
| ||||||
BP Capital Markets plc | ||||||||
| $ | 840,000 | 1.846%, 5/5/2017 | $ | 848,434 | ||||
| 906,000 | 1.375%, 11/6/2017 | 892,224 | ||||||
| 608,000 | 2.241%, 9/26/2018 | 609,755 | ||||||
CNOOC, Ltd. | ||||||||
| 1,025,000 | 1.125%, 5/9/2016 | 1,021,224 | ||||||
Concho Resources, Inc. | ||||||||
| 1,101,432 | 5.500%, 10/1/2022 | 1,137,229 | ||||||
Continental Resources, Inc. | ||||||||
| 1,064,000 | 4.500%, 4/15/2023 | 1,078,630 | ||||||
Devon Energy Corporation | ||||||||
| 1,216,000 | 1.200%, 12/15/2016 | 1,215,489 | ||||||
EQT Corporation | ||||||||
| 770,000 | 8.125%, 6/1/2019 | 934,144 | ||||||
Hess Corporation | ||||||||
| 900,000 | 8.125%, 2/15/2019 | 1,117,903 | ||||||
Linn Energy, LLC | ||||||||
| 1,101,432 | 7.000%, 11/1/2019f | 1,112,446 | ||||||
Lukoil International Finance BV | ||||||||
| 775,000 | 3.416%, 4/24/2018f | 781,781 | ||||||
MEG Energy Corporation | ||||||||
| 1,100,000 | 6.500%, 3/15/2021f | 1,157,750 | ||||||
Murphy Oil Corporation | ||||||||
| 450,000 | 2.500%, 12/1/2017 | 452,737 | ||||||
Oasis Petroleum, Inc. | ||||||||
| 1,100,000 | 6.875%, 1/15/2023 | 1,171,500 | ||||||
Offshore Group Investment, Ltd. | ||||||||
| 1,100,000 | 7.500%, 11/1/2019e | 1,196,250 | ||||||
Petrobras Global Finance BV | ||||||||
| 1,264,000 | 2.000%, 5/20/2016 | 1,263,000 | ||||||
Petroleos Mexicanos | ||||||||
| 441,000 | 3.500%, 7/18/2018 | 452,576 | ||||||
Pioneer Natural Resources Company | ||||||||
| 294,000 | 5.875%, 7/15/2016 | 326,130 | ||||||
Range Resources Corporation | ||||||||
| 1,100,000 | 5.000%, 8/15/2022 | 1,080,750 | ||||||
Shell International Finance BV | ||||||||
| 1,190,000 | 0.451%, 11/15/2016g | 1,191,008 | ||||||
Sinopec Capital 2013, Ltd. | ||||||||
| 930,000 | 1.250%, 4/24/2016f | 926,337 | ||||||
Suncor Energy, Inc. | ||||||||
| 519,000 | 6.100%, 6/1/2018 | 599,942 | ||||||
Transocean, Inc. | ||||||||
| 292,000 | 5.050%, 12/15/2016 | 322,564 | ||||||
| 1,009,000 | 6.000%, 3/15/2018 | 1,131,539 | ||||||
Weatherford International, Ltd. | ||||||||
| 565,000 | 9.625%, 3/1/2019 | 725,948 | ||||||
| 932,000 | 6.750%, 9/15/2040 | 1,008,009 | ||||||
|
| |||||||
| Total | 23,755,299 | |||||||
|
| |||||||
| Financials (1.6%) |
| ||||||
Abbey National Treasury Services plc | ||||||||
| 608,000 | 3.050%, 8/23/2018 | 624,738 | ||||||
Achmea Hypotheekbank NV | ||||||||
| 371,000 | 3.200%, 11/3/2014f | 379,689 | ||||||
Aetna, Inc. | ||||||||
| 657,000 | 1.500%, 11/15/2017 | 647,337 | ||||||
American Express Credit Corporation | ||||||||
| 380,000 | 2.375%, 3/24/2017 | 390,594 | ||||||
American International Group, Inc. | ||||||||
| 1,355,000 | 2.375%, 8/24/2015 | 1,384,053 | ||||||
| 760,000 | 3.800%, 3/22/2017 | 811,603 | ||||||
| 608,000 | 8.250%, 8/15/2018 | 760,535 | ||||||
ANZ National International, Ltd. of London | ||||||||
| 1,007,000 | 3.125%, 8/10/2015e,f | 1,043,686 | ||||||
Associated Banc Corporation | ||||||||
| 294,000 | 1.875%, 3/12/2014 | 294,410 | ||||||
Aviation Capital Group Corporation | ||||||||
| 608,000 | 3.875%, 9/27/2016f | 627,996 | ||||||
Bank Nederlandse Gemeenten NV | ||||||||
| 420,000 | 1.375%, 3/19/2018e,f | 412,524 | ||||||
Bank of America Corporation | ||||||||
| 1,214,000 | 7.750%, 8/15/2015 | 1,335,663 | ||||||
| 590,000 | 5.750%, 8/15/2016 | 650,658 | ||||||
| 1,360,000 | 5.750%, 12/1/2017 | 1,547,834 | ||||||
| 1,770,000 | 1.316%, 3/22/2018g | 1,793,506 | ||||||
| 595,000 | 5.650%, 5/1/2018 | 677,270 | ||||||
| 912,000 | 2.600%, 1/15/2019 | 916,026 | ||||||
Bank of Montreal | ||||||||
| 588,000 | 1.300%, 7/15/2016 | 592,931 | ||||||
| 840,000 | 0.843%, 4/9/2018g | 844,235 | ||||||
Bank of Nova Scotia | ||||||||
| 840,000 | 0.643%, 3/15/2016g | 841,341 | ||||||
| 620,000 | 0.950%, 3/15/2016 | 620,882 | ||||||
BB&T Corporation | ||||||||
| 294,000 | 1.103%, 6/15/2018g | 296,062 | ||||||
BBVA Banco Continental SA | ||||||||
| 960,000 | 2.250%, 7/29/2016f | 955,200 | ||||||
BBVA US Senior SAU | ||||||||
| 1,058,000 | 4.664%, 10/9/2015 | 1,112,252 | ||||||
Berkshire Hathaway Finance Corporation | ||||||||
| 780,000 | 1.600%, 5/15/2017 | 787,522 | ||||||
| 840,000 | 1.300%, 5/15/2018 | 820,835 | ||||||
BNP Paribas SA | ||||||||
| 608,000 | 1.250%, 12/12/2016 | 608,446 | ||||||
| 894,000 | 2.375%, 9/14/2017 | 912,744 | ||||||
Branch Banking and Trust Company | ||||||||
| 912,000 | 0.667%, 12/1/2016g | 912,767 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
| 610,000 | 2.600%, 7/2/2015f | 629,215 | ||||||
Capital One Financial Corporation | ||||||||
| 604,000 | 2.150%, 3/23/2015 | 614,015 | ||||||
| 560,000 | 0.696%, 3/22/2016g | 559,426 | ||||||
| 908,000 | 6.150%, 9/1/2016 | 1,015,582 | ||||||
Citigroup, Inc. | ||||||||
| 1,213,000 | 5.000%, 9/15/2014 | 1,247,552 | ||||||
| 1,130,000 | 5.500%, 2/15/2017 | 1,245,074 | ||||||
| 618,000 | 6.000%, 8/15/2017 | 704,372 | ||||||
| 991,000 | 8.500%, 5/22/2019 | 1,270,055 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
122
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (22.5%) | Value | ||||||
| Financials (1.6%) - continued |
| ||||||
| $ | 600,000 | 4.050%, 7/30/2022 | $ | 593,314 | ||||
CNA Financial Corporation | ||||||||
| 755,000 | 7.350%, 11/15/2019 | 915,220 | ||||||
CoBank ACB | ||||||||
| 495,000 | 0.843%, 6/15/2022g,h | 453,544 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
| 550,000 | 3.950%, 11/9/2022 | 532,944 | ||||||
Credit Agricole SA | ||||||||
| 775,000 | 1.625%, 4/15/2016f | 779,779 | ||||||
Credit Suisse AG | ||||||||
| 1,216,000 | 5.400%, 1/14/2020 | 1,351,381 | ||||||
CyrusOne, LP | ||||||||
| 1,100,000 | 6.375%, 11/15/2022 | 1,138,500 | ||||||
DDR Corporation | ||||||||
| 775,000 | 9.625%, 3/15/2016 | 908,617 | ||||||
Discover Financial Services | ||||||||
| 1,170,000 | 6.450%, 6/12/2017 | 1,325,774 | ||||||
DnB Boligkreditt AS | ||||||||
| 1,120,000 | 1.450%, 3/21/2018f | 1,094,688 | ||||||
Eksportfinans ASA | ||||||||
| 390,000 | 3.000%, 11/17/2014 | 391,560 | ||||||
| 548,000 | 5.500%, 5/25/2016 | 578,140 | ||||||
Fifth Third Bancorp | ||||||||
| 671,000 | 5.450%, 1/15/2017 | 737,423 | ||||||
General Electric Capital Corporation | ||||||||
| 385,000 | 1.109%, 5/9/2016g | 389,134 | ||||||
| 285,000 | 1.600%, 11/20/2017 | 283,124 | ||||||
| 310,000 | 0.959%, 4/2/2018g | 312,459 | ||||||
| 2,025,000 | 6.000%, 8/7/2019 | 2,375,957 | ||||||
| 840,000 | 1.243%, 3/15/2023g | 835,693 | ||||||
| 767,000 | 6.750%, 3/15/2032 | 949,780 | ||||||
Goldman Sachs Group, Inc. | ||||||||
| 1,350,000 | 3.700%, 8/1/2015 | 1,405,743 | ||||||
| 620,000 | 2.375%, 1/22/2018 | 622,357 | ||||||
| 840,000 | 1.436%, 4/30/2018g | 849,924 | ||||||
| 620,000 | 1.341%, 11/15/2018g | 621,454 | ||||||
| 775,000 | 7.500%, 2/15/2019 | 943,926 | ||||||
| 910,000 | 5.375%, 3/15/2020 | 1,012,037 | ||||||
| 900,000 | 5.250%, 7/27/2021 | 985,358 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
| 841,000 | 4.000%, 10/15/2017 | 894,505 | ||||||
| 600,000 | 5.125%, 4/15/2022 | 653,527 | ||||||
HCP, Inc. | ||||||||
| 294,000 | 6.000%, 1/30/2017 | 329,495 | ||||||
| 265,000 | 6.700%, 1/30/2018 | 308,015 | ||||||
Health Care REIT, Inc. | ||||||||
| 995,000 | 4.700%, 9/15/2017 | 1,081,562 | ||||||
| 300,000 | 2.250%, 3/15/2018 | 296,596 | ||||||
HSBC Bank plc | ||||||||
| 1,120,000 | 0.881%, 5/15/2018f,g | 1,122,429 | ||||||
HSBC Finance Corporation | ||||||||
| 912,000 | 6.676%, 1/15/2021 | 1,047,922 | ||||||
HSBC USA, Inc. | ||||||||
| 620,000 | 1.625%, 1/16/2018 | 611,355 | ||||||
Huntington Bancshares, Inc. | ||||||||
| 304,000 | 2.600%, 8/2/2018 | 304,178 | ||||||
Huntington National Bank | ||||||||
| 775,000 | 1.350%, 8/2/2016 | 774,714 | ||||||
Icahn Enterprises, LP | ||||||||
| 1,101,432 | 8.000%, 1/15/2018 | 1,145,489 | ||||||
ING Bank NV | ||||||||
| 604,000 | 3.750%, 3/7/2017f | 636,145 | ||||||
ING Capital Funding Trust III | ||||||||
| 600,000 | 3.847%, 12/29/2049g,j | 597,750 | ||||||
ING US, Inc. | ||||||||
| 645,000 | 2.900%, 2/15/2018 | 659,697 | ||||||
International Lease Finance Corporation | ||||||||
| 720,000 | 2.193%, 6/15/2016g | 723,600 | ||||||
Intesa Sanpaolo SPA | ||||||||
| 704,000 | 3.125%, 1/15/2016 | 717,420 | ||||||
| 760,000 | 3.875%, 1/15/2019 | 755,604 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 560,000 | 0.689%, 4/23/2015g | 561,103 | ||||||
| 600,000 | 1.125%, 2/26/2016 | 601,021 | ||||||
| 1,044,000 | 3.450%, 3/1/2016 | 1,094,994 | ||||||
| 1,306,000 | 2.000%, 8/15/2017 | 1,324,746 | ||||||
| 415,000 | 1.800%, 1/25/2018 | 411,357 | ||||||
| 930,000 | 6.300%, 4/23/2019 | 1,097,636 | ||||||
| 320,000 | 3.200%, 1/25/2023 | 303,368 | ||||||
| 930,000 | 7.900%, 4/29/2049j | 1,025,325 | ||||||
J.P. Morgan Chase Bank NA | ||||||||
| 815,000 | 0.574%, 6/13/2016g | 810,717 | ||||||
KeyBank NA | ||||||||
| 985,000 | 7.413%, 5/6/2015 | 1,067,277 | ||||||
Liberty Mutual Group, Inc. | ||||||||
| 292,000 | 4.950%, 5/1/2022f | 301,931 | ||||||
| 316,000 | 6.500%, 5/1/2042f | 346,795 | ||||||
Liberty Property, LP | ||||||||
| 830,000 | 5.500%, 12/15/2016 | 916,212 | ||||||
Lloyds TSB Bank plc | ||||||||
| 600,000 | 6.500%, 9/14/2020f | 682,044 | ||||||
Macquarie Bank, Ltd. | ||||||||
| 800,000 | 5.000%, 2/22/2017f | 867,552 | ||||||
Merrill Lynch & Company, Inc. | ||||||||
| 620,000 | 6.400%, 8/28/2017 | 714,802 | ||||||
Mizuho Corporate Bank, Ltd. | ||||||||
| 590,000 | 1.850%, 3/21/2018f | 575,055 | ||||||
Morgan Stanley | ||||||||
| 588,000 | 4.750%, 4/1/2014e | 592,675 | ||||||
| 300,000 | 1.488%, 2/25/2016g | 303,902 | ||||||
| 300,000 | 1.750%, 2/25/2016 | 304,027 | ||||||
| 1,140,000 | 4.750%, 3/22/2017 | 1,244,102 | ||||||
| 630,000 | 6.250%, 8/28/2017 | 720,864 | ||||||
| 560,000 | 1.518%, 4/25/2018g | 568,001 | ||||||
| 632,000 | 4.875%, 11/1/2022 | 646,954 | ||||||
| 800,000 | 4.100%, 5/22/2023 | 774,201 | ||||||
Murray Street Investment Trust I | ||||||||
| 1,638,000 | 4.647%, 3/9/2017 | 1,763,941 | ||||||
National City Corporation | ||||||||
| 980,000 | 6.875%, 5/15/2019 | 1,161,237 | ||||||
Nederlandse Waterschapsbank NV | ||||||||
| 560,000 | 0.750%, 3/29/2016f | 559,662 | ||||||
Nomura Holdings, Inc. | ||||||||
| 840,000 | 1.694%, 9/13/2016g | 855,217 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
123
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (22.5%) | Value | ||||||
| Financials (1.6%) - continued |
| ||||||
| $1,290,000 | 2.000%, 9/13/2016 | $ | 1,300,664 | |||||
Nordea Eiendomskreditt AS | ||||||||
| 840,000 | 2.125%, 9/22/2016f | 862,404 | ||||||
PNC Bank NA | ||||||||
| 1,887,000 | 1.150%, 11/1/2016 | 1,889,312 | ||||||
Prologis, LP | ||||||||
| 950,000 | 7.375%, 10/30/2019 | 1,147,070 | ||||||
Prudential Covered Trust | ||||||||
| 714,000 | 2.997%, 9/30/2015f | 736,119 | ||||||
Realty Income Corporation | ||||||||
| 302,000 | 2.000%, 1/31/2018 | 295,767 | ||||||
Regions Bank | ||||||||
| 1,423,000 | 7.500%, 5/15/2018 | 1,683,816 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 570,000 | 5.625%, 3/15/2017 | 628,380 | ||||||
| 302,000 | 5.000%, 6/1/2021 | 316,930 | ||||||
Royal Bank of Canada | ||||||||
| 1,450,000 | 1.125%, 7/22/2016 | 1,449,813 | ||||||
| 882,000 | 2.200%, 7/27/2018 | 885,582 | ||||||
Royal Bank of Scotland Group plc | ||||||||
| 1,003,000 | 5.050%, 1/8/2015 | 1,032,691 | ||||||
| 600,000 | 2.550%, 9/18/2015 | 613,654 | ||||||
Santander US Debt SAU | ||||||||
| 720,000 | 3.724%, 1/20/2015f | 734,347 | ||||||
| 400,000 | 3.781%, 10/7/2015f | 412,178 | ||||||
Simon Property Group, LP | ||||||||
| 620,000 | 10.350%, 4/1/2019 | 838,967 | ||||||
SLM Corporation | ||||||||
| 480,000 | 3.875%, 9/10/2015 | 496,200 | ||||||
| 300,000 | 6.250%, 1/25/2016 | 324,000 | ||||||
SpareBank 1 Boligkreditt AS | ||||||||
| 1,120,000 | �� | 1.250%, 5/2/2018f | 1,083,712 | |||||
Svensk Exportkredit AB | ||||||||
| 560,000 | 1.125%, 4/5/2018e | 546,302 | ||||||
Svenska Handelsbanken AB | ||||||||
| 600,000 | 3.125%, 7/12/2016 | 627,544 | ||||||
| 370,000 | 1.625%, 3/21/2018 | 362,977 | ||||||
Swedbank Hypotek AB | ||||||||
| 1,120,000 | 1.375%, 3/28/2018f | 1,094,128 | ||||||
Swiss RE Capital I, LP | ||||||||
| 750,000 | 6.854%, 5/29/2049f,j | 792,750 | ||||||
Toronto-Dominion Bank | ||||||||
| 470,000 | 2.200%, 7/29/2015f | 482,455 | ||||||
| 810,000 | 0.702%, 9/9/2016g | 812,391 | ||||||
UBS AG London | ||||||||
| 1,120,000 | 0.750%, 3/24/2016f | 1,126,246 | ||||||
UBS AG/Stamford, Connecticut | ||||||||
| 351,000 | 5.875%, 12/20/2017 | 402,782 | ||||||
Union Bank NA | ||||||||
| 1,216,000 | 1.500%, 9/26/2016 | 1,229,785 | ||||||
Ventas Realty, LP | ||||||||
| 912,000 | 1.550%, 9/26/2016 | 918,472 | ||||||
Wachovia Corporation | ||||||||
| 840,000 | 0.513%, 6/15/2017g | 833,482 | ||||||
Wells Fargo & Company | ||||||||
| 2,186,000 | 1.250%, 7/20/2016 | 2,202,216 | ||||||
| 836,000 | 2.100%, 5/8/2017 | 851,591 | ||||||
| 620,000 | 1.500%, 1/16/2018 | 615,995 | ||||||
XLIT, Ltd. | ||||||||
| 912,000 | 2.300%, 12/15/2018 | 895,756 | ||||||
|
| |||||||
| Total | 118,659,659 | |||||||
|
| |||||||
| Foreign Government (0.1%) |
| ||||||
Asian Development Bank | ||||||||
| 1,120,000 | 0.500%, 6/20/2016 | 1,115,744 | ||||||
Denmark Government International Bond | ||||||||
| 1,120,000 | 0.375%, 4/25/2016f | 1,113,392 | ||||||
Export-Import Bank of Korea | ||||||||
| 600,000 | 1.250%, 11/20/2015 | 601,849 | ||||||
International Finance Corporation | ||||||||
| 275,000 | 0.500%, 5/16/2016 | 274,472 | ||||||
Kommunalbanken AS | ||||||||
| 300,000 | 2.750%, 5/5/2015f | 309,477 | ||||||
| 1,120,000 | 0.323%, 3/18/2016f,g | 1,120,819 | ||||||
Kommuninvest i Sverige AB | ||||||||
| 1,120,000 | 0.500%, 6/15/2016f | 1,113,728 | ||||||
Mexico Government International Bond | ||||||||
| 608,000 | 4.000%, 10/2/2023 | 601,920 | ||||||
Province of Ontario | ||||||||
| 1,160,000 | 1.000%, 7/22/2016 | 1,163,950 | ||||||
Sweden Government International Bond | ||||||||
| 200,000 | 0.375%, 12/22/2015f | 199,790 | ||||||
| 1,000,000 | 0.375%, 3/29/2016f | 994,900 | ||||||
|
| |||||||
| Total | 8,610,041 | |||||||
|
| |||||||
| Mortgage-Backed Securities (6.8%) |
| ||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 44,600,000 | 3.000%, 1/1/2029c | 45,425,796 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 7,167,201 | 1.953%, 6/1/2043g | 7,281,637 | ||||||
| 14,150,000 | 3.500%, 1/1/2044c | 14,039,453 | ||||||
Federal National Mortgage Association | ||||||||
| 1,320,752 | 0.595%, 8/25/2015 | 1,318,392 | ||||||
| 17,391,643 | 1.764%, 7/1/2043g | 17,443,092 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 57,775,000 | 3.500%, 1/1/2029c | 60,417,756 | ||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 7,293,937 | 2.080%, 1/1/2043g | 7,441,077 | ||||||
| 12,879,443 | 2.059%, 3/1/2043g | 13,143,374 | ||||||
| 11,119,893 | 1.753%, 7/1/2043g | 11,197,783 | ||||||
| 18,976,552 | 1.976%, 7/1/2043g | 19,278,897 | ||||||
| 12,788,310 | 2.023%, 7/1/2043g | 13,007,970 | ||||||
| 11,596,551 | 2.120%, 8/1/2043g | 11,812,109 | ||||||
| 88,525,000 | 3.500%, 1/1/2044c | 87,937,141 | ||||||
| 84,937,500 | 4.000%, 1/1/2044c | 87,432,539 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
124
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (22.5%) | Value | ||||||
| Mortgage-Backed Securities (6.8%) - continued |
| ||||||
| $86,279,000 | 4.500%, 1/1/2044c | $ | 91,418,666 | |||||
|
| |||||||
| Total | 488,595,682 | |||||||
|
| |||||||
| Technology (0.2%) |
| ||||||
Apple, Inc. | ||||||||
| 1,120,000 | 0.492%, 5/3/2018g | 1,118,105 | ||||||
| 310,000 | 2.400%, 5/3/2023 | 278,755 | ||||||
Computer Sciences Corporation | ||||||||
| 442,000 | 2.500%, 9/15/2015 | 451,157 | ||||||
EMC Corporation | ||||||||
| 1,106,000 | 1.875%, 6/1/2018 | 1,093,436 | ||||||
First Data Corporation | ||||||||
| 1,100,000 | 7.375%, 6/15/2019f | 1,174,250 | ||||||
Hewlett-Packard Company | ||||||||
| 588,000 | 2.125%, 9/13/2015 | 598,746 | ||||||
Intel Corporation | ||||||||
| 600,000 | 4.000%, 12/15/2032 | 553,005 | ||||||
Iron Mountain, Inc. | ||||||||
| 1,100,000 | 6.000%, 8/15/2023 | 1,127,500 | ||||||
Micron Semiconductor Asia Pte, Ltd. | ||||||||
| 600,000 | 1.258%, 1/15/2019 | 597,904 | ||||||
Oracle Corporation | ||||||||
| 604,000 | 1.200%, 10/15/2017 | 594,371 | ||||||
| 1,010,000 | 0.824%, 1/15/2019g | 1,013,997 | ||||||
Samsung Electronics America, Inc. | ||||||||
| 600,000 | 1.750%, 4/10/2017f | �� | 596,158 | |||||
Tyco Electronics Group SA | ||||||||
| 1,029,000 | 6.550%, 10/1/2017 | 1,177,583 | ||||||
Xerox Corporation | ||||||||
| 588,000 | 7.200%, 4/1/2016 | 659,532 | ||||||
|
| |||||||
| Total | 11,034,499 | |||||||
|
| |||||||
| Transportation (0.1%) |
| ||||||
American Airlines Pass Through Trust | ||||||||
| 775,000 | 4.950%, 1/15/2023f | 798,734 | ||||||
Avis Budget Car Rental, LLC | ||||||||
| 1,100,000 | 8.250%, 1/15/2019 | 1,199,000 | ||||||
Canadian National Railway Company | ||||||||
| 495,000 | 0.438%, 11/6/2015g | 495,360 | ||||||
Canadian Pacific Railway Company | ||||||||
| 405,000 | 7.125%, 10/15/2031 | 487,045 | ||||||
| 480,000 | 5.750%, 3/15/2033 | 507,878 | ||||||
Continental Airlines, Inc. | ||||||||
| 785,190 | 4.150%, 4/11/2024 | 794,514 | ||||||
CSX Corporation | ||||||||
| 671,000 | 6.250%, 4/1/2015 | 717,194 | ||||||
| 532,000 | 3.700%, 11/1/2023 | 514,658 | ||||||
Delta Air Lines, Inc. | ||||||||
| 882,000 | 6.750%, 5/23/2017 | 934,920 | ||||||
| 464,561 | 4.950%, 5/23/2019 | 504,049 | ||||||
| 139,489 | 4.750%, 5/7/2020 | 149,254 | ||||||
ERAC USA Finance, LLC | ||||||||
| 604,000 | 1.400%, 4/15/2016f | 604,477 | ||||||
| 294,000 | 2.800%, 11/1/2018f | 297,098 | ||||||
Kansas City Southern de Mexico SA de CV | ||||||||
| 1,337,000 | 0.937%, 10/28/2016g | 1,337,362 | ||||||
| 620,000 | 2.350%, 5/15/2020 | 577,606 | ||||||
Virgin Australia Holdings, Ltd. | ||||||||
| 445,000 | 5.000%, 10/23/2023f | 454,178 | ||||||
|
| |||||||
| Total | 10,373,327 | |||||||
|
| |||||||
| U.S. Government and Agencies (7.3%) |
| ||||||
FDIC Structured Sale Guaranteed Notes | ||||||||
| 240,000 | Zero Coupon, 1/7/2014f | 239,913 | ||||||
Federal Agricultural Mortgage Corporation | ||||||||
| 465,000 | 2.125%, 9/15/2015 | 478,479 | ||||||
Federal Home Loan Bank | ||||||||
| 6,840,000 | 0.375%, 6/24/2016 | 6,816,792 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 3,535,000 | 1.375%, 5/1/2020 | 3,314,112 | ||||||
Federal National Mortgage Association | ||||||||
| 750,000 | 4.375%, 10/15/2015 | 802,875 | ||||||
| 3,640,000 | 0.375%, 7/5/2016 | 3,614,771 | ||||||
| 2,400,000 | 1.375%, 11/15/2016 | 2,440,272 | ||||||
| 2,290,000 | 0.875%, 5/21/2018 | 2,215,144 | ||||||
| 540,000 | 6.250%, 5/15/2029 | 676,967 | ||||||
Tennessee Valley Authority | ||||||||
| 520,000 | 5.250%, 9/15/2039 | 555,003 | ||||||
U.S. Treasury Bonds | ||||||||
| 1,215,000 | 7.625%, 2/15/2025 | 1,735,742 | ||||||
| 4,750,000 | 5.250%, 11/15/2028 | 5,718,554 | ||||||
| 2,975,000 | 4.375%, 5/15/2040 | 3,231,594 | ||||||
| 12,410,000 | 3.000%, 5/15/2042 | 10,406,952 | ||||||
| 2,488,000 | 2.875%, 5/15/2043 | 2,016,447 | ||||||
U.S. Treasury Bonds, TIPS | ||||||||
| 130,105 | 2.375%, 1/15/2025 | 149,550 | ||||||
| 91,853 | 2.125%, 2/15/2040 | 103,205 | ||||||
U.S. Treasury Notes | ||||||||
| 235,000 | 0.250%, 4/30/2014 | 235,119 | ||||||
| 5,145,000 | 0.750%, 6/15/2014 | 5,159,874 | ||||||
| 1,785,000 | 2.625%, 2/29/2016 | 1,869,788 | ||||||
| 128,525,000 | 0.625%, 10/15/2016 | 128,284,016 | ||||||
| 1,225,000 | 1.000%, 10/31/2016 | 1,234,283 | ||||||
| 23,755,000 | 0.625%, 12/15/2016e | 23,658,507 | ||||||
| 4,350,000 | 3.250%, 3/31/2017 | 4,674,893 | ||||||
| 725,000 | 0.625%, 5/31/2017 | 715,541 | ||||||
| 21,250,000 | 1.000%, 5/31/2018 | 20,785,156 | ||||||
| 67,800,000 | 1.250%, 10/31/2018 | 66,470,510 | ||||||
| 45,000,000 | 1.375%, 1/31/2020 | 43,041,780 | ||||||
| 6,910,000 | 1.625%, 8/15/2022 | 6,277,846 | ||||||
| 2,300,000 | 1.750%, 5/15/2023 | 2,073,054 | ||||||
| 67,700,000 | 2.500%, 8/15/2023 | 65,013,122 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
| 44,242,065 | 2.000%, 1/15/2014 | 44,210,998 | ||||||
| 30,716,434 | 0.125%, 4/15/2018 | 31,328,397 | ||||||
| 794,601 | 0.125%, 1/15/2022 | 763,687 | ||||||
| 34,738,149 | 0.125%, 1/15/2023 | 32,808,582 | ||||||
|
| |||||||
| Total | 523,121,525 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
125
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (22.5%) | Value | ||||||
| U.S. Municipals (1.7%) |
| ||||||
Buckeye Tobacco Settlement Financing Auth. Rev. | ||||||||
| $4,410,000 | 5.125%, 6/1/2024, Ser. A-2 | $ | 3,637,280 | |||||
Dallas/Fort Worth Texas International Airport Joint Rev. Improvement | ||||||||
| 7,665,000 | 5.000%, 11/1/2038, Ser. A, AMT | 7,130,213 | ||||||
Los Angeles Department Of Water and Power System Rev. | ||||||||
| 9,581,000 | 5.000%, 7/1/2043, Ser. B | 9,820,621 | ||||||
Massachusetts Bay Transportation Auth. Assessment Rev. | ||||||||
| 5,705,000 | 5.000%, 7/1/2041, Ser. A | 5,949,288 | ||||||
Massachusetts Development Finance Agency Rev. (Boston University) | ||||||||
| 5,461,000 | 5.000%, 10/1/2048 | 5,473,123 | ||||||
Massachusetts School Building Auth. Sales Tax Rev. | ||||||||
| 7,665,000 | 5.000%, 5/15/2043, Ser. A | 7,990,379 | ||||||
Metropolitan Transportation Auth. Transportation Rev. | ||||||||
| 7,665,000 | 5.000%, 11/15/2043, Ser. A | 7,605,750 | ||||||
Miami-Dade County Expressway Auth. Toll System Rev. | ||||||||
| 3,258,000 | 5.000%, 7/1/2040, Ser. A | 3,243,763 | ||||||
New Jersey Transportation Trust Fund Auth. Transportation System Rev. | ||||||||
| 9,581,000 | 5.000%, 6/15/2042, Ser. A | 9,647,588 | ||||||
New Jersey Turnpike Auth. Turnpike Rev. | ||||||||
| 3,065,000 | 5.000%, 1/1/2043, Ser. A | 3,111,557 | ||||||
New York City Municipal Water Finance Auth. Water and Sewer System Rev. | ||||||||
| 7,665,000 | 5.000%, 6/15/2047, Ser. EE | 7,815,157 | ||||||
New York City Transitional Finance Auth. Future Tax Rev. | ||||||||
| 7,157,000 | 5.000%, 5/1/2042, Ser. I | 7,404,632 | ||||||
New York State Dormitory Auth. Personal Income Tax Rev. | ||||||||
| 4,599,000 | 5.000%, 3/15/2042, Ser. B | 4,726,346 | ||||||
North Texas Tollway Auth. Rev. | ||||||||
| 7,665,000 | 5.000%, 1/1/2042, Ser. B | 7,462,261 | ||||||
San Diego County Regional Airport Auth. Airport Rev. | ||||||||
| 6,611,000 | 5.000%, 7/1/2038, Ser. B, AMT | 6,402,357 | ||||||
South Carolina Public Service Auth. Rev. Obligations | ||||||||
| 7,665,000 | 5.000%, 12/1/2043, Ser. D | 7,652,813 | ||||||
State of California Various Purpose G.O. | ||||||||
| 3,832,000 | 5.000%, 9/1/2036 | 3,929,218 | ||||||
| 1,916,000 | 5.000%, 4/1/2042 | 1,936,501 | ||||||
| 1,916,000 | 5.000%, 2/1/2043 | 1,936,827 | ||||||
University of Massachusetts Building Auth. Proj. Rev. | ||||||||
| 6,132,000 | 5.000%, 11/1/2039, Ser. 2 | 6,375,440 | ||||||
|
| |||||||
| Total | 119,251,114 | |||||||
|
| |||||||
| Utilities (0.4%) |
| ||||||
AES Corporation | ||||||||
| 1,100,000 | 7.375%, 7/1/2021 | 1,240,250 | ||||||
American Electric Power Company, Inc. | ||||||||
| 600,000 | 1.650%, 12/15/2017 | 587,888 | ||||||
Atlas Pipeline Partners, LP | ||||||||
| 1,100,000 | 4.750%, 11/15/2021f | 1,006,500 | ||||||
Buckeye Partners, LP | ||||||||
| 912,000 | 2.650%, 11/15/2018 | 898,599 | ||||||
Dayton Power and Light Company | ||||||||
| 608,000 | 1.875%, 9/15/2016f | 612,967 | ||||||
DCP Midstream Operating, LP | ||||||||
| 300,000 | 2.500%, 12/1/2017 | 298,709 | ||||||
Duke Energy Corporation | ||||||||
| 948,000 | 2.100%, 6/15/2018 | 942,558 | ||||||
Enel Finance International NV | ||||||||
| 773,000 | 3.875%, 10/7/2014f | 789,762 | ||||||
| 474,000 | 6.250%, 9/15/2017f | 529,374 | ||||||
Energy Transfer Partners, LP | ||||||||
| 310,000 | 9.700%, 3/15/2019 | 401,375 | ||||||
| 1,180,000 | 4.650%, 6/1/2021 | 1,213,798 | ||||||
Enterprise Products Operating, LLC | ||||||||
| 876,000 | 1.250%, 8/13/2015 | 881,820 | ||||||
Exelon Corporation | ||||||||
| 790,000 | 4.900%, 6/15/2015 | 832,899 | ||||||
Exelon Generation Company, LLC | ||||||||
| 930,000 | 5.200%, 10/1/2019 | 1,002,236 | ||||||
Iberdrola Finance Ireland, Ltd. | ||||||||
| 540,000 | 3.800%, 9/11/2014f | 550,839 | ||||||
ITC Holdings Corporation | ||||||||
| 746,000 | 5.875%, 9/30/2016f | 825,579 | ||||||
| 294,000 | 4.050%, 7/1/2023 | 288,190 | ||||||
Korea Western Power Company, Ltd. | ||||||||
| 1,064,000 | 2.875%, 10/10/2018f | 1,057,816 | ||||||
MidAmerican Energy Holdings Company | ||||||||
| 811,000 | 1.100%, 5/15/2017f | 806,613 | ||||||
| 965,000 | 5.750%, 4/1/2018 | 1,101,541 | ||||||
| 588,000 | 6.500%, 9/15/2037 | 682,986 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
| 882,000 | 1.200%, 6/1/2015 | 886,519 | ||||||
NiSource Finance Corporation | ||||||||
| 304,000 | 6.400%, 3/15/2018 | 349,849 | ||||||
| 900,000 | 6.800%, 1/15/2019 | 1,047,413 | ||||||
Northeast Utilities | ||||||||
| 465,000 | 1.450%, 5/1/2018 | 450,372 | ||||||
NRG Energy, Inc. | ||||||||
| 1,100,000 | 6.625%, 3/15/2023 | 1,108,250 | ||||||
ONEOK Partners, LP | ||||||||
| 640,000 | 8.625%, 3/1/2019 | 802,675 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
126
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (22.5%) | Value | ||||||
| Utilities (0.4%) - continued |
| ||||||
Pacific Gas & Electric Company | ||||||||
| $ | 1,021,000 | 5.625%, 11/30/2017 | $ | 1,156,767 | ||||
PPL Capital Funding, Inc. | ||||||||
| 1,200,000 | 1.900%, 6/1/2018 | 1,171,760 | ||||||
| 300,000 | 3.500%, 12/1/2022 | 283,323 | ||||||
Sempra Energy | ||||||||
| 891,000 | 6.150%, 6/15/2018 | 1,022,847 | ||||||
Spectra Energy Partners, LP | ||||||||
| 304,000 | 2.950%, 9/25/2018 | 308,142 | ||||||
| 304,000 | 4.750%, 3/15/2024 | 309,899 | ||||||
Williams Partners, LP | ||||||||
| 294,000 | 7.250%, 2/1/2017 | 339,023 | ||||||
|
| |||||||
| Total | 25,789,138 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $1,624,359,450) | 1,616,332,293 | |||||||
|
| |||||||
| Shares | Preferred Stock (<0.1%) | |||||||
| Financials (<0.1%) |
| ||||||
| 43,100 | Unipol Gruppo Finanziario SPA, Preferred Shares | 217,479 | ||||||
|
| |||||||
| Total | 217,479 | |||||||
|
| |||||||
| Health Care (<0.1%) |
| ||||||
| 1,300 | Draegerwerk AG & Company KGaA | 170,038 | ||||||
|
| |||||||
| Total | 170,038 | |||||||
|
| |||||||
Total Preferred Stock (cost $349,127) | 387,517 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (1.0%) | ||||||||
| 67,924,410 | Thrivent Cash Management Trust | 67,924,410 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $67,924,410) | 67,924,410 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (13.4%)k | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 34,000,000 | 0.045%, 1/3/2014 | 33,999,915 | ||||||
| 78,500,000 | 0.040%, 1/8/2014 | 78,499,384 | ||||||
| 94,000,000 | 0.020%, 1/10/2014 | 93,999,530 | ||||||
| 131,300,000 | 0.031%, 1/15/2014l | 131,298,437 | ||||||
| 33,000,000 | 0.051%, 1/22/2014 | 32,999,011 | ||||||
| 132,000,000 | 0.050%, 1/24/2014 | 131,995,790 | ||||||
| 58,200,000 | 0.060%, 1/29/2014 | 58,197,394 | ||||||
| 15,000,000 | 0.060%, 1/31/2014 | 14,999,250 | ||||||
| 6,000,000 | 0.065%, 2/3/2014 | 5,999,643 | ||||||
| 15,000,000 | 0.077%, 2/5/2014 | 14,998,882 | ||||||
| 21,561,000 | 0.050%, 2/12/2014 | 21,559,742 | ||||||
| 15,000,000 | 0.085%, 2/19/2014 | 14,998,265 | ||||||
| 81,900,000 | 0.070%, 2/21/2014l | 81,892,306 | ||||||
| 21,080,000 | 0.068%, 2/28/2014 | 21,077,691 | ||||||
| 25,000,000 | 0.085%, 3/12/2014l | 24,995,868 | ||||||
| 45,000,000 | 0.107%, 3/19/2014 | 44,989,701 | ||||||
| 42,000,000 | 0.094%, 3/26/2014 | 41,990,760 | ||||||
| 7,700,000 | 0.100%, 4/23/2014l | 7,697,604 | ||||||
| 4,400,000 | 0.120%, 5/28/2014l | 4,397,844 | ||||||
| 23,900,000 | 0.122%, 5/30/2014l | 23,887,932 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 15,000,000 | 0.035%, 1/21/2014 | 14,999,708 | ||||||
| 11,000,000 | 0.075%, 2/10/2014 | 10,999,083 | ||||||
| 10,000,000 | 0.050%, 3/4/2014 | 9,999,139 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
| 3,300,000 | 0.020%, 1/10/2014 | 3,299,984 | ||||||
| 20,000,000 | 0.030%, 1/29/2014 | 19,999,533 | ||||||
| 14,725,000 | 0.070%, 2/26/2014 | 14,723,397 | ||||||
U.S. Treasury Bills | ||||||||
| 4,000,000 | 0.070%, 4/24/2014 | 3,999,121 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 962,494,914 | |||||||
|
| |||||||
| Total Investments (cost $6,924,453,753) 106.2% | $ | 7,625,156,988 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (6.2%) | (444,033,188 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 7,181,123,800 | ||||||
|
| |||||||
| 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 December 31, 2013, the value of these investments was $115,130,483 or 1.6% 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 December 31, 2013. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
127
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 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 December 31, 2013. |
Security | Acquisition Date | Cost | ||||||
CoBank ACB, 6/15/2022 | 10/18/2013 | $ | 457,013 | |||||
Edlinc Student Loan Funding Trust, 10/1/2025 | 2/28/2013 | $ | 130,530 | |||||
FNA Trust, 1/10/2018 | 4/29/2013 | $ | 973,482 | |||||
| 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 December 31, 2013, $38,033,159 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. | ||
| AMT | - | Subject to Alternative Minimum Tax | ||
| Auth. | - | Authority | ||
| ETF | - | Exchange Traded Fund. | ||
| G.O. | - | General Obligation | ||
| REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. | ||
| Rev. | - | Revenue | ||
| Ser. | - | Series | ||
| 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 | $ | 739,220,828 | ||
Gross unrealized depreciation | (43,321,982 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 695,898,846 | ||
Cost for federal income tax purposes | $ | 6,929,258,142 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
128
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 16,111,701 | — | 16,111,701 | — | ||||||||||||
Capital Goods | 10,376,081 | — | 10,376,081 | — | ||||||||||||
Communications Services | 102,179,193 | — | 102,179,193 | — | ||||||||||||
Consumer Cyclical | 57,734,651 | — | 57,734,651 | — | ||||||||||||
Consumer Non-Cyclical | 42,105,096 | — | 42,105,096 | — | ||||||||||||
Energy | 17,762,547 | — | 17,762,547 | — | ||||||||||||
Financials | 14,864,414 | — | 14,864,414 | — | ||||||||||||
Technology | 20,279,516 | — | 20,279,516 | — | ||||||||||||
Transportation | 10,528,038 | — | 10,528,038 | — | ||||||||||||
Utilities | 7,243,029 | — | 7,243,029 | — | ||||||||||||
Mutual Funds | ||||||||||||||||
Equity Mutual Funds | 1,811,353,279 | 1,811,353,279 | — | — | ||||||||||||
Fixed Income Mutual Funds | 1,215,996,969 | 1,215,996,969 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 267,681,137 | 259,910,590 | 7,770,547 | — | ||||||||||||
Consumer Staples | 89,188,490 | 78,064,288 | 11,124,202 | — | ||||||||||||
Energy | 194,338,980 | 193,399,653 | 939,327 | — | ||||||||||||
Financials | 307,781,011 | 296,229,414 | 11,551,597 | — | ||||||||||||
Health Care | 192,875,381 | 187,836,503 | 5,038,878 | — | ||||||||||||
Industrials | 198,261,018 | 191,407,911 | 6,853,107 | — | ||||||||||||
Information Technology | 304,306,396 | 302,305,615 | 2,000,781 | — | ||||||||||||
Materials | 50,804,448 | 48,234,077 | 2,570,371 | — | ||||||||||||
Telecommunications Services | 17,185,678 | 13,484,080 | 3,701,598 | — | ||||||||||||
Utilities | 29,060,801 | 26,606,571 | 2,454,230 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 58,701,448 | — | 57,607,549 | 1,093,899 | ||||||||||||
Basic Materials | 12,587,809 | — | 12,587,809 | — | ||||||||||||
Capital Goods | 8,350,075 | — | 8,350,075 | — | ||||||||||||
Collateralized Mortgage Obligations | 45,576,644 | — | 45,576,644 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 65,555,145 | — | 65,555,145 | — | ||||||||||||
Communications Services | 31,046,615 | — | 31,046,615 | — | ||||||||||||
Consumer Cyclical | 24,599,399 | — | 24,599,399 | — | ||||||||||||
Consumer Non-Cyclical | 40,724,874 | — | 40,724,874 | — | ||||||||||||
Energy | 23,755,299 | — | 23,755,299 | — | ||||||||||||
Financials | 118,659,659 | — | 118,206,115 | 453,544 | ||||||||||||
Foreign Government | 8,610,041 | — | 8,610,041 | — | ||||||||||||
Mortgage-Backed Securities | 488,595,682 | — | 488,595,682 | — | ||||||||||||
Technology | 11,034,499 | — | 11,034,499 | — | ||||||||||||
Transportation | 10,373,327 | — | 10,373,327 | — | ||||||||||||
U.S. Government and Agencies | 523,121,525 | — | 523,121,525 | — | ||||||||||||
U.S. Municipals | 119,251,114 | — | 119,251,114 | — | ||||||||||||
Utilities | 25,789,138 | — | 25,789,138 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 217,479 | — | 217,479 | — | ||||||||||||
Health Care | 170,038 | — | 170,038 | — | ||||||||||||
Collateral Held for Securities Loaned | 67,924,410 | 67,924,410 | — | — | ||||||||||||
Short-Term Investments | 962,494,914 | — | 962,494,914 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 7,625,156,988 | $ | 4,692,753,360 | $ | 2,930,856,185 | $ | 1,547,443 | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
129
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 27,957,591 | 10,969,975 | 16,987,616 | — | ||||||||||||
Foreign Currency Forward Contracts^ | 0 | — | 0 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 27,957,591 | $ | 10,969,975 | $ | 16,987,616 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 7,057,625 | 7,057,625 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 7,057,625 | $ | 7,057,625 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2013. Transfers between Levels are identified as of the end of the period.
| ^ | Unrealized gain on Forward Contracts in this section are <$1. |
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (295 | ) | March 2014 | ($ | 64,959,024 | ) | ($ | 64,844,688 | ) | $ | 114,336 | |||||||||
5-Yr. U.S. Treasury Bond Futures | (2,085 | ) | March 2014 | (250,997,900 | ) | (248,766,562 | ) | 2,231,338 | ||||||||||||
10-Yr. U.S. Treasury Bond Futures | (230 | ) | March 2014 | (28,839,143 | ) | (28,300,782 | ) | 538,361 | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | 1,635 | March 2014 | 213,005,461 | 209,790,937 | (3,214,524 | ) | ||||||||||||||
Eurex EURO STOXX 50 Futures | 8,212 | March 2014 | 334,697,017 | 351,684,633 | 16,987,616 | |||||||||||||||
Mini MSCI EAFE Index Futures | 881 | March 2014 | 80,133,791 | 84,479,090 | 4,345,299 | |||||||||||||||
Russell 2000 Index Mini-Futures | (157 | ) | March 2014 | (17,537,324 | ) | (18,233,980 | ) | (696,656 | ) | |||||||||||
S&P 400 Index Mini-Futures | (914 | ) | March 2014 | (119,274,715 | ) | (122,421,160 | ) | (3,146,445 | ) | |||||||||||
S&P 500 Index Futures | 206 | March 2014 | 91,076,009 | 94,816,650 | 3,740,641 | |||||||||||||||
Total Futures Contracts | $ | 20,899,966 | ||||||||||||||||||
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||||
Purchases | ||||||||||||||||||||||||
Australian Dollar^ | CITI | 596 | 1/2/2014 | $ | 532 | $ | 532 | $ | 0 | |||||||||||||||
Total Purchases | $ | 532 | $ | 532 | $ | 0 | ||||||||||||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts | $ | 0 | ||||||||||||||||||||||
| ^ | Unrealized gain on Forward Contracts is <$1. |
Counterparty | ||||||||
| CITI | - | Citibank | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
130
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | $ | 2,884,035 | |||
Total Interest Rate Contracts | 2,884,035 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 25,073,556 | ||||
Total Equity Contracts | 25,073,556 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts^ | Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 0 | ||||
Total Foreign Exchange Contracts | 0 | |||||
|
| |||||
Total Asset Derivatives | $ | 27,957,591 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 3,214,524 | ||||
Total Interest Rate Contracts | 3,214,524 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 3,843,101 | ||||
Total Equity Contracts | 3,843,101 | |||||
|
| |||||
Total Liability Derivatives | $ | 7,057,625 | ||||
|
| |||||
| * | 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. |
| ^ | Unrealized gain on Forward Contracts is <$1. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | 118,730,287 | ||||
Total Equity Contracts | 118,900,766 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | 443,848 | ||||
Total Foreign Exchange Contracts | 443,848 | |||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (15,460,646 | ) | |||
Total Interest Rate Contracts | (15,460,646 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (4,888,957 | ) | |||
Total Credit Contracts | (4,888,957 | ) | ||||
|
| |||||
Total | $ | 98,995,011 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
131
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | 1,942,706 | ||||
Total Interest Rate Contracts | 1,942,706 | |||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 29,603,933 | ||||
Total Equity Contracts | 29,603,933 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (713,911 | ) | |||
Total Credit Contracts | (713,911 | ) | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts^ | Change in net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 0 | ||||
Total Foreign Exchange Contracts | 0 | |||||
|
| |||||
Total | $ | 30,832,728 | ||||
|
| |||||
| ^ | Change in unrealized appreciation on Forward Contracts is <$1. |
The following table presents Moderate Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 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 | $ | 824,691,234 | 13.2 | % | N/A | N/A | N/A | N/A | 7 | |||||||||||||||||||
Interest Rate Contracts | 362,509,443 | 5.8 | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 253,821 | <0.1 | % | N/A | N/A | N/A | |||||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 35,294,343 | 0.6 | % | N/A | |||||||||||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
132
Moderate Allocation Portfolio
Schedule of Investments as of December 31, 2013
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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Growth and Income Plus^ | $ | 29,226,201 | $ | 682,883 | $ | 33,762,739 | — | $ | — | $ | 682,883 | |||||||||||||
Partner Small Cap Growth | 79,055,103 | 1,974,115 | — | 5,821,599 | 111,969,730 | — | ||||||||||||||||||
Partner Small Cap Value | 90,308,232 | 2,508,142 | — | 4,368,749 | 123,506,706 | 1,989,735 | ||||||||||||||||||
Small Cap Stock | 47,193,950 | 198,597 | — | 3,609,909 | 64,136,532 | 198,597 | ||||||||||||||||||
Partner Mid Cap Value | 86,604,747 | 5,362,381 | — | 6,230,477 | 114,956,666 | 997,949 | ||||||||||||||||||
Mid Cap Stock | 152,496,820 | 661,497 | — | 11,698,088 | 206,628,012 | 661,497 | ||||||||||||||||||
Partner Worldwide Allocation | 459,697,332 | 129,990 | — | 53,352,913 | 534,686,884 | 129,990 | ||||||||||||||||||
Large Cap Value | 313,363,721 | 5,488,510 | — | 26,506,659 | 413,079,767 | 5,488,510 | ||||||||||||||||||
Large Cap Stock | 187,027,872 | 2,481,588 | — | 20,525,262 | 242,388,982 | 2,481,588 | ||||||||||||||||||
High Yield | 183,561,939 | 11,915,990 | 83,688 | 38,692,479 | 196,151,522 | 11,916,387 | ||||||||||||||||||
Income | 662,868,511 | 25,360,489 | 38,834,326 | 60,297,283 | 623,763,330 | 23,976,133 | ||||||||||||||||||
Limited Maturity Bond | 431,474,553 | 6,218,219 | 37,351,064 | 40,337,514 | 396,082,117 | 6,211,576 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | 46,692,956 | 468,878,280 | 447,646,826 | 67,924,410 | 67,924,410 | 609,758 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | 834,029,047 | 898,289,256 | 1,732,318,303 | — | — | 395,825 | ||||||||||||||||||
Total Value and Income Earned | 3,603,600,984 | 3,095,274,658 | 55,740,428 | |||||||||||||||||||||
| ^ | On August 6, 2013, the Thrivent Asset Allocation Portfolios, as the shareholders of the Thrivent Growth and Income Plus Portfolio, redeemed their shares in-kind. The Growth and Income Plus Portfolio distributed fund securities rather than cash as payment for the redemption of these fund shares. These in-kind transactions were conducted at market value. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
133
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Bank Loans (4.6%)a | Value | ||||||
| Basic Materials (0.2%) |
| ||||||
| Alpha Natural Resources, Inc., Term Loan | ||||||||
| $1,937,619 | 3.500%, 5/22/2020 | $ | 1,902,742 | |||||
| Fortescue Metals Group, Ltd., Term Loan | ||||||||
| 1,466,475 | 4.250%, 6/30/2019 | 1,484,351 | ||||||
| Ineos Group Holdings, Ltd., Term Loan | ||||||||
| 2,323,296 | 4.000%, 5/4/2018 | 2,329,104 | ||||||
| Tronox Pigments BV, Term Loan | ||||||||
| 686,550 | 4.500%, 3/19/2020 | 694,960 | ||||||
| US Coatings Acquisition, Inc., Term Loan | ||||||||
| 1,602,887 | 4.750%, 2/1/2020 | 1,612,906 | ||||||
|
| |||||||
| Total | 8,024,063 | |||||||
|
| |||||||
| Capital Goods (0.2%) | |||||||
| ADS Waste Holdings, Term Loan | ||||||||
| 1,801,800 | 4.250%, 10/9/2019 | 1,809,800 | ||||||
| Berry Plastics Group, Inc., Term Loan | ||||||||
| 3,443,975 | 3.500%, 2/8/2020 | 3,429,614 | ||||||
| Silver II Borrower, Term Loan | ||||||||
| 901,944 | 4.000%, 12/13/2019 | 902,882 | ||||||
|
| |||||||
| Total | 6,142,296 | |||||||
|
| |||||||
| Communications Services (1.5%) | |||||||
| Atlantic Broadband Penn, LLC, Term Loan | ||||||||
| 1,027,000 | 3.250%, 11/30/2019 | 1,022,512 | ||||||
| Cequel Communications, LLC, Term Loan | ||||||||
| 1,141,288 | 3.500%, 2/14/2019 | 1,142,235 | ||||||
| Charter Communications Operating, LLC, Term Loan | ||||||||
| 457,700 | 3.000%, 7/1/2020 | 454,125 | ||||||
| 2,238,750 | 3.000%, 12/31/2020 | 2,219,161 | ||||||
| Clear Channel Communications, Inc., Term Loan | ||||||||
| 34,700 | 3.819%, 1/29/2016 | 33,567 | ||||||
| 1,992,484 | 6.919%, 1/30/2019 | 1,900,331 | ||||||
| 640,816 | 7.669%, 7/30/2019 | 630,807 | ||||||
| Cricket Communications, Inc., Term Loan | ||||||||
| 257,400 | 4.750%, 10/10/2019 | 258,043 | ||||||
| 1,955,175 | 4.750%, 3/8/2020 | 1,961,686 | ||||||
| Cumulus Media Holdings, Inc., Term Loan | ||||||||
| 1,744,385 | 0.000%, 12/23/2020b,c | 1,753,107 | ||||||
| Fairpoint Communications, Term Loan | ||||||||
| 2,292,675 | 7.500%, 2/14/2019 | 2,366,614 | ||||||
| Grande Communications Networks, LLC, Term Loan | ||||||||
| 1,353,200 | 4.500%, 5/29/2020 | 1,350,385 | ||||||
| Hargray Communications Group, Inc., Term Loan | ||||||||
| 1,925,325 | 4.750%, 6/26/2019 | 1,934,952 | ||||||
| Integra Telecom Holdings, Inc., Term Loan | ||||||||
| 1,354,763 | 5.250%, 2/22/2019 | 1,371,128 | ||||||
| 460,000 | 9.750%, 2/21/2020 | 472,305 | ||||||
| Level 3 Communications, Inc., Term Loan | ||||||||
| 2,540,000 | 4.000%, 1/15/2020 | 2,557,475 | ||||||
| Liberty Cablevision of Puerto Rico, Ltd., Term Loan | ||||||||
| 1,280,500 | 6.000%, 6/9/2017 | 1,280,500 | ||||||
| LTS Buyer, LLC, Term Loan | ||||||||
| 1,478,697 | 4.500%, 4/13/2020 | 1,483,784 | ||||||
| 115,000 | 8.000%, 4/12/2021 | 115,767 | ||||||
| McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
| 1,642,200 | 9.000%, 3/22/2019 | 1,670,249 | ||||||
| Mediacom Broadband, LLC, Term Loan | ||||||||
| 1,027,000 | 4.000%, 1/20/2020 | 1,026,363 | ||||||
| NEP Broadcasting, LLC, Term Loan | ||||||||
| 3,415,500 | 4.750%, 1/22/2020 | 3,424,893 | ||||||
| 134,286 | 9.500%, 7/22/2020 | 137,560 | ||||||
| NTelos, Inc., Term Loan | ||||||||
| 676,437 | 5.750%, 11/9/2019 | 677,567 | ||||||
| Puerto Rico Cable Acquisition Company, Inc., Term Loan | ||||||||
| 490,347 | 5.500%, 7/31/2018 | 490,553 | ||||||
| RCN Telecom Services, LLC, Term Loan | ||||||||
| 1,806,509 | 4.500%, 3/1/2020 | 1,819,408 | ||||||
| SBA Senior Finance II, LLC, Term Loan | ||||||||
| 285,925 | 3.750%, 9/28/2019 | 287,474 | ||||||
| Syniverse Holdings, Inc., Term Loan | ||||||||
| 1,793,615 | 4.000%, 4/23/2019 | 1,799,587 | ||||||
| TNS, Inc., Term Loan | ||||||||
| 1,360,000 | 5.000%, 2/14/2020 | 1,366,378 | ||||||
| Univision Communications, Inc., Term Loan | ||||||||
| 1,741,837 | 4.500%, 2/28/2020 | 1,749,467 | ||||||
| 825,196 | 4.500%, 3/1/2020 | 828,811 | ||||||
| 456,550 | 4.500%, 3/1/2020 | 458,997 | ||||||
| Virgin Media Investment Holdings, Ltd., Term Loan | ||||||||
| 2,825,000 | 3.500%, 6/8/2020 | 2,829,238 | ||||||
| Visant Corporation, Term Loan | ||||||||
| 2,311,507 | 5.250%, 12/22/2016 | 2,274,916 | ||||||
| WideOpenWest Finance, LLC, Term Loan | ||||||||
| 3,022,162 | 4.750%, 4/1/2019 | 3,034,251 | ||||||
| Zayo Group, LLC, Term Loan | ||||||||
| 2,700,816 | 0.000%, 7/2/2019b,c | 2,701,437 | ||||||
|
| |||||||
| Total | 50,885,633 | |||||||
|
| |||||||
| Consumer Cyclical (0.9%) | |||||||
| Bally Technologies, Inc., Term Loan | ||||||||
| 1,840,388 | 4.250%, 11/25/2020 | 1,852,460 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
134
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Bank Loans (4.6%)a | Value | ||||||
| Consumer Cyclical (0.9%) - continued | |||||||
| Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
| $1,227,123 | 4.250%, 2/23/2017 | $ | 1,237,860 | |||||
| Cenveo Corporation, Term Loan | ||||||||
| 946,162 | 6.250%, 2/13/2017 | 950,108 | ||||||
| Ceridian Corporation, Term Loan | ||||||||
| 1,870,000 | 4.415%, 5/9/2017 | 1,875,255 | ||||||
| Chrysler Group, LLC, Term Loan | ||||||||
| 1,523,282 | 3.875%, 5/24/2017 | 1,532,376 | ||||||
| Golden Nugget, Inc., Delayed Draw | ||||||||
| 265,500 | 0.000%, 11/21/2019 | 269,151 | ||||||
| Golden Nugget, Inc., Term Loan | ||||||||
| 619,500 | 5.500%, 11/21/2019 | 628,018 | ||||||
| Hilton Worldwide Finance, LLC, Term Loan | ||||||||
| 1,539,474 | 4.000%, 10/26/2020 | 1,551,020 | ||||||
| J.C. Penney Corporation, Inc., Term Loan | ||||||||
| 2,004,925 | 6.000%, 5/22/2018 | 1,958,812 | ||||||
| Las Vegas Sands, LLC, Term Loan | ||||||||
| 2,000,000 | 0.000%, 12/17/2020b,c | 1,997,300 | ||||||
| Marina District Finance Company, Inc., Term Loan | ||||||||
| 1,850,000 | 0.000%, 8/15/2018b,c | 1,855,790 | ||||||
| MGM Resorts International, Term Loan | ||||||||
| 1,420,650 | 3.500%, 12/20/2019 | 1,423,321 | ||||||
| Mohegan Tribal Gaming Authority, Term Loan | ||||||||
| 3,400,000 | 5.500%, 11/19/2019 | 3,448,892 | ||||||
| ROC Finance, LLC, Term Loan | ||||||||
| 2,523,675 | 3.633%, 6/20/2019 | 2,412,482 | ||||||
| Scientific Games International, Inc., Term Loan | ||||||||
| 2,800,000 | 4.250%, 10/18/2020 | 2,800,700 | ||||||
| Seminole Indian Tribe of Florida, Term Loan | ||||||||
| 819,588 | 3.000%, 4/29/2020 | 817,793 | ||||||
| Seven Seas Cruises S de RL, LLC, Term Loan | ||||||||
| 2,315,000 | 4.750%, 12/21/2018 | 2,338,150 | ||||||
| Toys R Us, Inc., Term Loan | ||||||||
| 1,598,051 | 5.250%, 5/25/2018 | 1,345,367 | ||||||
|
| |||||||
| Total | 30,294,855 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.7%) | |||||||
| Albertsons, Inc., Term Loan | ||||||||
| 3,521,100 | 0.000%, 3/21/2019b,c | 3,537,226 | ||||||
| Biomet, Inc., Term Loan | ||||||||
| 492,525 | 3.670%, 7/25/2017 | 495,298 | ||||||
| Catalina Marketing Corporation, Term Loan | ||||||||
| 997,500 | 5.250%, 10/12/2020 | 1,009,969 | ||||||
| CHS/Community Health Systems, Inc., Term Loan | ||||||||
| 1,300,000 | 3.737%, 1/25/2017 | 1,309,542 | ||||||
| Del Monte Corporation, Term Loan | ||||||||
| 286,088 | 4.000%, 3/8/2018 | 286,749 | ||||||
| DJO Finance, LLC, Term Loan | ||||||||
| 1,959,258 | 4.750%, 9/15/2017 | 1,977,636 | ||||||
| Grifols, Inc., Term Loan | ||||||||
| 1,274,600 | 4.250%, 6/1/2017 | 1,281,432 | ||||||
| Hologic, Inc., Term Loan | ||||||||
| 1,255,755 | 3.750%, 8/1/2019 | 1,262,033 | ||||||
| JBS USA, LLC, Term Loan | ||||||||
| 1,707,750 | 3.750%, 5/25/2018 | 1,707,750 | ||||||
| McJunkin Red Man Corporation, Term Loan | ||||||||
| 1,082,288 | 5.000%, 11/8/2019 | 1,095,816 | ||||||
| Rite Aid Corporation, Term Loan | ||||||||
| 342,412 | 4.000%, 2/21/2020 | 343,553 | ||||||
| 695,000 | 5.750%, 8/21/2020 | 711,291 | ||||||
| Roundy’s Supermarkets, Inc., Term Loan | ||||||||
| 1,474,550 | 5.750%, 2/13/2019 | 1,472,943 | ||||||
| Supervalu, Inc., Term Loan | ||||||||
| 4,279,375 | 5.000%, 3/21/2019 | 4,316,135 | ||||||
| Van Wagner Communications, LLC, Term Loan | ||||||||
| 1,202,850 | 6.250%, 8/3/2018 | 1,216,382 | ||||||
|
| |||||||
| Total | 22,023,755 | |||||||
|
| |||||||
| Energy (0.3%) | |||||||
| Arch Coal, Inc., Term Loan | ||||||||
| 2,672,428 | 6.250%, 5/16/2018 | 2,632,903 | ||||||
| Chesapeake Energy Corporation, Term Loan | ||||||||
| 3,910,000 | 5.750%, 12/2/2017 | 3,988,200 | ||||||
| Fieldwood Energy, LLC, Term Loan | ||||||||
| 897,750 | 3.875%, 9/28/2018 | 903,235 | ||||||
| 340,000 | 8.375%, 9/30/2020 | 346,800 | ||||||
| Offshore Group Investment, Ltd., Term Loan | ||||||||
| 1,836,125 | 5.750%, 3/28/2019 | 1,856,212 | ||||||
| Pacific Drilling SA, Term Loan | ||||||||
| 1,273,600 | 4.500%, 6/3/2018 | 1,287,139 | ||||||
|
| |||||||
| Total | 11,014,489 | |||||||
|
| |||||||
| Financials (0.3%) | |||||||
| GEO Group, Inc., Term Loan | ||||||||
| 457,700 | 3.250%, 4/3/2020 | 454,267 | ||||||
| Harland Clarke Holdings Corporation, Term Loan | ||||||||
| 2,300,875 | 7.000%, 5/22/2018 | 2,314,842 | ||||||
| Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 1,255,968 | 3.750%, 6/30/2019 | 1,264,408 | ||||||
| MoneyGram International, Inc., Term Loan | ||||||||
| 1,826,200 | 4.250%, 3/27/2020 | 1,841,613 | ||||||
| WaveDivision Holdings, LLC, Term Loan | ||||||||
| 2,489,850 | 4.000%, 10/12/2019 | 2,499,187 | ||||||
|
| |||||||
| Total | 8,374,317 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
135
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Bank Loans (4.6%)a | Value | ||||||
| Technology (0.2%) | |||||||
| First Data Corporation Extended, Term Loan | ||||||||
| $2,090,000 | 4.166%, 3/23/2018 | $ | 2,091,442 | |||||
| First Data Corporation, Term Loan | ||||||||
| 1,040,000 | 4.164%, 9/24/2018 | 1,040,582 | ||||||
| Freescale Semiconductor, Inc., Term Loan | ||||||||
| 1,657,475 | 5.000%, 3/1/2020 | 1,673,155 | ||||||
| Infor US, Inc., Term Loan | ||||||||
| 906,432 | 5.250%, 4/5/2018 | 908,508 | ||||||
| 100,000 | 0.000%, 6/3/2020b,c | 99,771 | ||||||
| SunGard Data Systems, Inc., Term Loan | ||||||||
| 2,286,900 | 4.500%, 1/31/2020 | 2,296,436 | ||||||
|
| |||||||
| Total | 8,109,894 | |||||||
|
| |||||||
| Transportation (0.2%) | |||||||
| American Airlines, Inc., Term Loan | ||||||||
| 1,925,325 | 3.750%, 6/27/2019 | 1,934,952 | ||||||
| American Petroleum Tankers Parent, LLC, Term Loan | ||||||||
| 522,452 | 4.750%, 10/2/2019 | 522,451 | ||||||
| Delta Air Lines, Inc., Term Loan | ||||||||
| 1,561,291 | 3.500%, 4/20/2017 | 1,566,037 | ||||||
| U.S. Airways, Inc., Term Loan | ||||||||
| 340,000 | 4.000%, 5/23/2019 | 341,955 | ||||||
| United Air Lines, Inc., Term Loan | ||||||||
| 1,141,375 | 4.000%, 4/1/2019 | 1,147,082 | ||||||
|
| |||||||
| Total | 5,512,477 | |||||||
|
| |||||||
| Utilities (0.1%) | |||||||
| Calpine Corporation, Term Loan | ||||||||
| 341,489 | 4.000%, 4/1/2018 | 343,459 | ||||||
| 2,058,937 | 4.000%, 10/9/2019 | 2,070,879 | ||||||
| Intergen NV, Term Loan | ||||||||
| 890,525 | 5.500%, 6/15/2020 | 897,204 | ||||||
| NGPL PipeCo, LLC, Term Loan | ||||||||
| 1,812,898 | 6.750%, 9/15/2017 | 1,685,615 | ||||||
|
| |||||||
| Total | 4,997,157 | |||||||
|
| |||||||
Total Bank Loans (cost $154,648,174) | 155,378,936 | |||||||
|
| |||||||
| Shares | Mutual Funds (36.7%) | |||||||
| Equity Mutual Funds (13.9%) | |||||||
| 1,304,921 | Thrivent Partner Small Cap Value Portfolio | 36,890,762 | ||||||
| 1,620,681 | Thrivent Small Cap Stock Portfolio | 28,794,314 | ||||||
| 2,270,717 | Thrivent Partner Mid Cap Value Portfolio | 41,896,321 | ||||||
| 2,945,977 | Thrivent Mid Cap Stock Portfolio | 52,035,964 | ||||||
| 15,847,969 | Thrivent Partner Worldwide Allocation Portfolio | 158,823,593 | ||||||
| 7,713,749 | Thrivent Large Cap Value Portfolio | 120,211,070 | ||||||
| 2,314,615 | Thrivent Large Cap Stock Portfolio | 27,333,984 | ||||||
|
| |||||||
| Total | 465,986,008 | |||||||
|
| |||||||
| Fixed Income Mutual Funds (22.8%) | |||||||
| 19,406,171 | Thrivent High Yield Portfolio | 98,379,586 | ||||||
| 24,101,727 | Thrivent Income Portfolio | 249,327,543 | ||||||
| 42,333,099 | Thrivent Limited Maturity Bond Portfolio | 415,677,168 | ||||||
|
| |||||||
| Total | 763,384,297 | |||||||
|
| |||||||
Total Mutual Funds (cost $1,113,470,830) | 1,229,370,305 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (34.7%) | |||||||
| Asset-Backed Securities (1.9%) | |||||||
| Access Group, Inc. | ||||||||
| 1,757,412 | 0.665%, 2/25/2036d,e | 1,751,036 | ||||||
| Ally Auto Receivables Trust 2013- SN1 | ||||||||
| 2,340,000 | 0.720%, 5/20/2016 | 2,341,179 | ||||||
| Avis Budget Rental Car Funding AESOP, LLC | ||||||||
| 1,154,010 | 2.370%, 11/20/2014d | 1,167,015 | ||||||
| Chesapeake Funding, LLC | ||||||||
| 2,300,000 | 0.618%, 1/7/2025d,e | 2,294,457 | ||||||
| Countrywide Asset-Backed Certificates | ||||||||
| 2,241,419 | 5.530%, 4/25/2047 | 2,051,360 | ||||||
| DT Auto Owner Trust | ||||||||
| 583,934 | 0.750%, 5/16/2016d | 584,030 | ||||||
| Edlinc Student Loan Funding Trust | ||||||||
| 1,408,368 | 3.170%, 10/1/2025e,f | 1,394,284 | ||||||
| FirstEnergy Ohio PIRB Special Purpose Trust 2013 | ||||||||
| 2,340,000 | 0.679%, 1/15/2019 | 2,338,987 | ||||||
| FNA Trust | ||||||||
| 1,355,979 | 1.980%, 1/10/2018f | 1,345,131 | ||||||
| GE Dealer Floorplan Master Note Trust | ||||||||
| 2,340,000 | 0.567%, 4/20/2018e | 2,341,629 | ||||||
| GE Equipment Transportation, LLC | ||||||||
| 1,950,000 | 0.690%, 11/25/2016 | 1,949,117 | ||||||
| Golden Credit Card Trust | ||||||||
| 1,620,000 | 0.417%, 2/15/2018d,e | 1,617,218 | ||||||
| 1,000,000 | 0.597%, 9/15/2018d,e | 1,001,090 | ||||||
| Hertz Fleet Lease Funding, LP | ||||||||
| 2,200,000 | 0.716%, 12/10/2027d,e | 2,200,053 | ||||||
| HLSS Servicer Advance Receivables Backed Notes | ||||||||
| 2,175,000 | 1.287%, 9/15/2044d | 2,173,695 | ||||||
| Hyundai Auto Receivables Trust | ||||||||
| 2,340,000 | 0.710%, 9/15/2017 | 2,342,249 | ||||||
| Hyundai Floorplan Master Owner Trust | ||||||||
| 2,632,500 | 0.517%, 5/15/2018d,e | 2,635,693 | ||||||
| Master Credit Card Trust | ||||||||
| 1,587,300 | 0.780%, 4/21/2017d | 1,584,692 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
136
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (34.7%) | Value | ||||||
| Asset-Backed Securities (1.9%) - continued | |||||||
| Morgan Stanley Capital, Inc. | ||||||||
| $2,096,440 | 0.315%, 2/25/2037e | $ | 1,132,073 | |||||
| Motor plc | ||||||||
| 2,808,000 | 0.665%, 2/15/2021d | 2,810,732 | ||||||
| Nationstar Mortgage Advance Receivable Trust | ||||||||
| 2,340,000 | 1.080%, 6/20/2044d | 2,338,515 | ||||||
| Nissan Master Owner Trust Receivables | ||||||||
| 2,700,000 | 0.467%, 2/15/2018e | 2,699,420 | ||||||
| Penarth Master Issuer plc | ||||||||
| 2,200,000 | 0.555%, 11/18/2017d,e | 2,198,346 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 5,500,000 | 6.011%, 5/25/2036 | 3,852,354 | ||||||
| 2,502,066 | 5.580%, 11/25/2036 | 1,520,431 | ||||||
| Santander Drive Auto Receivables Trust | ||||||||
| 1,950,000 | 0.700%, 9/15/2017 | 1,950,509 | ||||||
| SLM Student Loan Trust | ||||||||
| 1,122,757 | 0.767%, 8/15/2022d,e | 1,121,042 | ||||||
| 1,350,000 | 1.217%, 5/17/2027d,e | 1,331,493 | ||||||
| Volvo Financial Equipment, LLC | ||||||||
| 1,950,000 | 0.740%, 3/15/2017d | 1,948,389 | ||||||
| World Financial Network Credit Card Master Trust | ||||||||
| 1,950,000 | 0.910%, 3/16/2020 | 1,937,530 | ||||||
| World Omni Automobile Lease Securitization Trust | ||||||||
| 2,100,000 | 1.400%, 2/15/2019 | 2,114,496 | ||||||
| World Omni Master Owner Trust | ||||||||
| 1,620,000 | 0.517%, 2/15/2018d,e | 1,620,695 | ||||||
|
| |||||||
| Total | 61,688,940 | |||||||
|
| |||||||
| Basic Materials (0.5%) | |||||||
| FMG Resources Pty. Ltd. | ||||||||
| 2,912,019 | 6.875%, 2/1/2018d,g | 3,064,900 | ||||||
| Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| 1,564,000 | 2.375%, 3/15/2018 | 1,560,179 | ||||||
| Glencore Funding, LLC | ||||||||
| 560,000 | 1.700%, 5/27/2016d | 560,471 | ||||||
| 1,170,000 | 1.604%, 1/15/2019d,e | 1,147,652 | ||||||
| Hexion US Finance Corporation/Hexion Nova Scotia Finance ULC | ||||||||
| 1,500,000 | 8.875%, 2/1/2018 | 1,558,125 | ||||||
| Ineos Finance plc | ||||||||
| 1,500,000 | 7.500%, 5/1/2020d | 1,644,375 | ||||||
| Inmet Mining Corporation | ||||||||
| 1,500,000 | 7.500%, 6/1/2021d | 1,567,500 | ||||||
| International Paper Company | ||||||||
| 706,000 | 5.300%, 4/1/2015 | 743,587 | ||||||
| LyondellBasell Industries NV | ||||||||
| 920,000 | 6.000%, 11/15/2021 | 1,058,103 | ||||||
| Mosaic Company | ||||||||
| 423,000 | 5.450%, 11/15/2033 | 430,973 | ||||||
| Rio Tinto Finance USA plc | ||||||||
| 568,000 | 1.375%, 6/17/2016 | 576,846 | ||||||
| Xstrata Finance Canada, Ltd. | ||||||||
| 1,700,000 | 2.050%, 10/23/2015d | 1,721,636 | ||||||
|
| |||||||
| Total | 15,634,347 | |||||||
|
| |||||||
| Capital Goods (0.3%) | |||||||
| BAE Systems plc | ||||||||
| 620,000 | 3.500%, 10/11/2016d | 648,117 | ||||||
| CNH Capital, LLC | ||||||||
| 1,500,000 | 3.625%, 4/15/2018 | 1,520,625 | ||||||
| Eaton Corporation | ||||||||
| 268,000 | 1.500%, 11/2/2017 | 262,729 | ||||||
| 402,000 | 4.000%, 11/2/2032 | 369,201 | ||||||
| John Deere Capital Corporation | ||||||||
| 1,170,000 | 0.314%, 1/12/2015e | 1,170,793 | ||||||
| Northrop Grumman Corporation | ||||||||
| 900,000 | 1.750%, 6/1/2018 | 878,005 | ||||||
| Reynolds Group Issuer, Inc. | ||||||||
| 1,412,019 | 5.750%, 10/15/2020 | 1,440,259 | ||||||
| Roper Industries, Inc. | ||||||||
| 845,000 | 2.050%, 10/1/2018 | 821,190 | ||||||
| RSC Equipment Rental, Inc. | ||||||||
| 1,500,000 | 8.250%, 2/1/2021 | 1,691,250 | ||||||
| Textron, Inc. | ||||||||
| 680,000 | 5.600%, 12/1/2017 | 753,082 | ||||||
|
| |||||||
| Total | 9,555,251 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (1.1%) | |||||||
| Alternative Loan Trust | ||||||||
| 2,239,704 | 6.000%, 6/25/2036 | 1,911,482 | ||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 728,441 | 5.500%, 11/25/2035 | 646,304 | ||||||
| CitiMortgage Alternative Loan Trust | ||||||||
| 2,426,757 | 5.750%, 4/25/2037 | 2,041,165 | ||||||
| Countrywide Alternative Loan Trust | ||||||||
| 3,676,770 | 5.066%, 10/25/2035 | 2,965,495 | ||||||
| 1,348,254 | 6.500%, 8/25/2036 | 918,376 | ||||||
| 456,772 | 6.000%, 1/25/2037 | 388,030 | ||||||
| 4,680,500 | 5.500%, 5/25/2037 | 3,889,955 | ||||||
| 2,574,514 | 7.000%, 10/25/2037 | 1,725,439 | ||||||
| Countrywide Home Loans, Inc. | ||||||||
| 945,013 | 5.750%, 4/25/2037 | 833,216 | ||||||
| Deutsche Alt-A Securities, Inc., Mortgage Loan Trust | ||||||||
| 296,045 | 5.500%, 10/25/2021 | 283,483 | ||||||
| 767,372 | 6.000%, 10/25/2021 | 713,927 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 10,678,294 | 3.000%, 4/15/2028h | 1,343,503 | ||||||
| 6,812,244 | 3.000%, 2/15/2033h | 1,040,820 | ||||||
| Federal National Mortgage Association | ||||||||
| 14,742,724 | 3.500%, 1/25/2033h | 2,630,618 | ||||||
| Greenpoint Mortgage Funding Trust | ||||||||
| 1,476,667 | 0.365%, 10/25/2045e | 1,106,306 | ||||||
| HomeBanc Mortgage Trust | ||||||||
| 1,260,797 | 2.409%, 4/25/2037 | 876,757 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
137
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (34.7%) | Value | ||||||
| Collateralized Mortgage Obligations (1.1%) - continued | |||||||
| J.P. Morgan Mortgage Trust | ||||||||
| $ | 213,945 | 2.665%, 10/25/2036 | $ | 177,285 | ||||
| 3,757,824 | 0.545%, 1/25/2037e | 2,458,353 | ||||||
| 3,776,966 | 6.250%, 8/25/2037 | 2,642,611 | ||||||
| MASTR Alternative Loans Trust | ||||||||
| 529,114 | 6.500%, 7/25/2034 | 529,486 | ||||||
| 2,500,279 | 0.615%, 12/25/2035e | 1,355,706 | ||||||
| Merrill Lynch Alternative Note Asset Trust | ||||||||
| 523,485 | 6.000%, 3/25/2037 | 475,455 | ||||||
| Residential Accredit Loans, Inc. | ||||||||
| 1,033,527 | 5.750%, 9/25/2035 | 910,374 | ||||||
| Residential Asset Securitization Trust | ||||||||
| 3,224,374 | 0.545%, 8/25/2037e | 1,005,976 | ||||||
| Sequoia Mortgage Trust | ||||||||
| 168,509 | 2.634%, 9/20/2046 | 11,697 | ||||||
| 1,673,950 | 2.634%, 9/20/2046 | 1,411,300 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 532,010 | 2.369%, 9/25/2036 | 464,474 | ||||||
| 497,923 | 2.420%, 10/25/2036 | 424,634 | ||||||
| 1,631,982 | 2.065%, 11/25/2036 | 1,372,035 | ||||||
|
| |||||||
| Total | 36,554,262 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (1.4%) | |||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| 4,600,000 | 5.623%, 4/10/2049 | 5,097,338 | ||||||
| 6,000,000 | 5.649%, 6/10/2049 | 6,630,186 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 2,000,000 | 5.331%, 2/11/2044 | 2,172,336 | ||||||
| Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 1,700,000 | 5.322%, 12/11/2049 | 1,861,684 | ||||||
| Commercial Mortgage Pass-Through Certificates | ||||||||
| 2,340,000 | 1.218%, 6/8/2030d,e | 2,334,281 | ||||||
| Credit Suisse First Boston Mortgage Securities | ||||||||
| 4,600,000 | 5.542%, 1/15/2049 | 5,060,019 | ||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 5,800,000 | 5.509%, 9/15/2039 | 6,227,750 | ||||||
| Federal Home Loan Mortgage Corporation Multi Family Structured Pass Thru Certificates | ||||||||
| 2,599,022 | 0.727%, 12/25/2016 | 2,582,186 | ||||||
| Government National Mortgage Association | ||||||||
| 49,193 | 2.164%, 3/16/2033 | 49,434 | ||||||
| 25,023 | 3.214%, 1/16/2040 | 25,391 | ||||||
| Greenwich Capital Commercial Funding Corporation | ||||||||
| 3,100,000 | 5.867%, 12/10/2049 | 3,396,757 | ||||||
| J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 1,560,000 | 0.867%, 4/15/2028d,e | 1,553,183 | ||||||
| 2,300,000 | 5.706%, 2/12/2049 | 2,468,944 | ||||||
| Morgan Stanley Capital, Inc. | ||||||||
| 1,750,000 | 5.406%, 3/15/2044 | 1,902,241 | ||||||
| SCG Trust 2013-SRP1 | ||||||||
| 700,000 | 1.567%, 11/15/2026d,e | 700,806 | ||||||
| Wachovia Bank Commercial Mortgage Trust | ||||||||
| 3,450,000 | 5.603%, 10/15/2048 | 3,703,399 | ||||||
|
| |||||||
| Total | 45,765,935 | |||||||
|
| |||||||
| Communications Services (1.0%) | |||||||
| AMC Networks, Inc. | ||||||||
| 1,500,000 | 4.750%, 12/15/2022 | 1,428,750 | ||||||
| America Movil SAB de CV | ||||||||
| 750,000 | 1.244%, 9/12/2016e | 757,781 | ||||||
| 846,000 | 5.000%, 10/16/2019 | 924,255 | ||||||
| AT&T, Inc. | ||||||||
| 564,000 | 2.400%, 8/15/2016 | 579,987 | ||||||
| 470,000 | 1.146%, 11/27/2018e | 473,580 | ||||||
| 858,000 | 3.875%, 8/15/2021 | 869,240 | ||||||
| British Telecommunications plc | ||||||||
| 568,000 | 1.625%, 6/28/2016 | 573,005 | ||||||
| CBS Corporation | ||||||||
| 686,000 | 8.875%, 5/15/2019 | 877,072 | ||||||
| CC Holdings GS V, LLC | ||||||||
| 653,000 | 2.381%, 12/15/2017 | 646,785 | ||||||
| CCO Holdings, LLC | ||||||||
| 1,500,000 | 7.375%, 6/1/2020 | 1,623,750 | ||||||
| CenturyLink, Inc. | ||||||||
| 1,500,000 | 5.625%, 4/1/2020 | 1,526,250 | ||||||
| Comcast Corporation | ||||||||
| 325,000 | 4.650%, 7/15/2042 | 302,446 | ||||||
| Cox Communications, Inc. | ||||||||
| 852,000 | 9.375%, 1/15/2019d | 1,071,906 | ||||||
| Crown Castle Towers, LLC | ||||||||
| 480,000 | 4.174%, 8/15/2017d | 506,288 | ||||||
| DIRECTV Holdings, LLC | ||||||||
| 560,000 | 2.400%, 3/15/2017 | 570,113 | ||||||
| 536,000 | 1.750%, 1/15/2018 | 525,799 | ||||||
| 600,000 | 5.875%, 10/1/2019 | 679,670 | ||||||
| Hughes Satellite Systems Corporation | ||||||||
| 1,500,000 | 6.500%, 6/15/2019 | 1,623,750 | ||||||
| Intelsat Jackson Holdings SA | ||||||||
| 1,500,000 | 7.250%, 4/1/2019 | 1,620,000 | ||||||
| Level 3 Financing, Inc. | ||||||||
| 1,500,000 | 8.625%, 7/15/2020 | 1,680,000 | ||||||
| NBC Universal Enterprise, Inc. | ||||||||
| 1,170,000 | 0.929%, 4/15/2018d,e | 1,174,283 | ||||||
| Nippon Telegraph & Telephone Corporation | ||||||||
| 504,000 | 1.400%, 7/18/2017 | 497,931 | ||||||
| SBA Tower Trust | ||||||||
| 505,000 | 5.101%, 4/17/2017d | 544,356 | ||||||
| Sprint Communications, Inc. | ||||||||
| 1,412,019 | 9.000%, 11/15/2018d | 1,701,483 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
138
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (34.7%) | Value | ||||||
| Communications Services (1.0%) - continued | |||||||
| Telefonica Emisiones SAU | ||||||||
| $ | 858,000 | 3.992%, 2/16/2016 | $ | 901,242 | ||||
| 858,000 | 3.192%, 4/27/2018 | 873,802 | ||||||
| Univision Communications, Inc. | ||||||||
| 1,500,000 | 6.875%, 5/15/2019d | 1,603,125 | ||||||
| UPCB Finance V, Ltd. | ||||||||
| 1,500,000 | 7.250%, 11/15/2021d | 1,627,500 | ||||||
| Verizon Communications, Inc. | ||||||||
| 1,128,000 | 2.500%, 9/15/2016 | 1,166,393 | ||||||
| 398,000 | 1.100%, 11/1/2017 | 387,216 | ||||||
| 620,000 | 5.500%, 2/15/2018 | 700,451 | ||||||
| 564,000 | 1.993%, 9/14/2018e | 593,045 | ||||||
| 282,000 | 3.650%, 9/14/2018 | 298,515 | ||||||
| 846,000 | 6.400%, 9/15/2033 | 973,002 | ||||||
| 282,000 | 6.550%, 9/15/2043 | 329,928 | ||||||
| Wind Acquisition Finance SA | ||||||||
| 1,500,000 | 11.750%, 7/15/2017d | 1,595,625 | ||||||
|
| |||||||
| Total | 33,828,324 | |||||||
|
| |||||||
| Consumer Cyclical (0.8%) | |||||||
| Amazon.com, Inc. | ||||||||
| 268,000 | 1.200%, 11/29/2017 | 262,397 | ||||||
| American Honda Finance Corporation | ||||||||
| 1,560,000 | 0.612%, 5/26/2016d,e | 1,563,588 | ||||||
| Chrysler Group, LLC | ||||||||
| 1,430,000 | 8.000%, 6/15/2019 | 1,580,150 | ||||||
| Cinemark USA, Inc. | ||||||||
| 1,500,000 | 4.875%, 6/1/2023 | 1,410,000 | ||||||
| Daimler Finance North America, LLC | ||||||||
| 1,200,000 | 1.102%, 8/1/2018d,e | 1,206,460 | ||||||
| Federated Retail Holdings, Inc. | ||||||||
| 305,000 | 5.900%, 12/1/2016 | 342,112 | ||||||
| Ford Motor Company | ||||||||
| 435,000 | 7.450%, 7/16/2031 | 532,731 | ||||||
| Ford Motor Credit Company, LLC | ||||||||
| 884,000 | 12.000%, 5/15/2015 | 1,014,531 | ||||||
| 1,170,000 | 1.489%, 5/9/2016e | 1,187,167 | ||||||
| 725,000 | 1.700%, 5/9/2016 | 733,295 | ||||||
| 700,000 | 2.375%, 1/16/2018 | 706,972 | ||||||
| 550,000 | 5.000%, 5/15/2018 | 612,650 | ||||||
| Gap, Inc. | ||||||||
| 725,000 | 5.950%, 4/12/2021 | 801,105 | ||||||
| General Motors Company | ||||||||
| 423,000 | 3.500%, 10/2/2018d | 432,518 | ||||||
| 564,000 | 4.875%, 10/2/2023d | 571,050 | ||||||
| General Motors Financial Company, Inc. | ||||||||
| 580,000 | 2.750%, 5/15/2016d | 587,250 | ||||||
| 1,500,000 | 3.250%, 5/15/2018d | 1,500,000 | ||||||
| Home Depot, Inc. | ||||||||
| 564,000 | 4.875%, 2/15/2044 | 571,089 | ||||||
| Hyundai Capital America | ||||||||
| 530,000 | 1.625%, 10/2/2015d | 532,653 | ||||||
| Jaguar Land Rover Automotive plc | ||||||||
| 1,500,000 | 5.625%, 2/1/2023d | 1,500,000 | ||||||
| L Brands, Inc. | ||||||||
| 1,500,000 | 5.625%, 2/15/2022 | 1,533,750 | ||||||
| Lennar Corporation | ||||||||
| 1,500,000 | 4.125%, 12/1/2018g | 1,507,500 | ||||||
| Macy’s Retail Holdings, Inc. | ||||||||
| 271,000 | 3.875%, 1/15/2022 | 267,119 | ||||||
| 225,000 | 4.375%, 9/1/2023 | 225,847 | ||||||
| Toll Brothers Finance Corporation | ||||||||
| 580,000 | 8.910%, 10/15/2017 | 700,350 | ||||||
| 282,000 | 4.000%, 12/31/2018 | 286,935 | ||||||
| Toyota Motor Credit Corporation | ||||||||
| 1,560,000 | 0.528%, 5/17/2016e | 1,564,449 | ||||||
| 325,000 | 1.750%, 5/22/2017 | 326,533 | ||||||
| TRW Automotive, Inc. | ||||||||
| 344,000 | 7.250%, 3/15/2017d | 394,740 | ||||||
| Viacom, Inc. | ||||||||
| 423,000 | 2.500%, 9/1/2018 | 426,410 | ||||||
| Walgreen Company | ||||||||
| 862,000 | 5.250%, 1/15/2019 | 963,669 | ||||||
| Western Union Company | ||||||||
| 536,000 | 2.375%, 12/10/2015 | 548,495 | ||||||
| Wynn Las Vegas, LLC | ||||||||
| 1,500,000 | 5.375%, 3/15/2022g | 1,515,000 | ||||||
|
| |||||||
| Total | 27,908,515 | |||||||
|
| |||||||
| Consumer Non-Cyclical (1.2%) | |||||||
| AbbVie, Inc. | ||||||||
| 1,126,000 | 1.750%, 11/6/2017 | 1,124,071 | ||||||
| Altria Group, Inc. | ||||||||
| 478,000 | 9.700%, 11/10/2018 | 628,279 | ||||||
| 846,000 | 4.000%, 1/31/2024 | 826,892 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 1,015,000 | 7.750%, 1/15/2019 | 1,267,389 | ||||||
| Avon Products, Inc. | ||||||||
| 290,000 | 2.375%, 3/15/2016 | 291,923 | ||||||
| Biomet, Inc. | ||||||||
| 1,500,000 | 6.500%, 8/1/2020 | 1,575,000 | ||||||
| Boston Scientific Corporation | ||||||||
| 725,000 | 6.000%, 1/15/2020 | 832,322 | ||||||
| Bunge Limited Finance Corporation | ||||||||
| 445,000 | 8.500%, 6/15/2019 | 546,675 | ||||||
| Celgene Corporation | ||||||||
| 885,000 | 1.900%, 8/15/2017 | 880,812 | ||||||
| 282,000 | 2.300%, 8/15/2018 | 280,452 | ||||||
| CHS/Community Health Systems, Inc. | ||||||||
| 1,500,000 | 7.125%, 7/15/2020 | 1,556,250 | ||||||
| ConAgra Foods, Inc. | ||||||||
| 870,000 | 1.900%, 1/25/2018 | 854,049 | ||||||
| Coventry Health Care, Inc. | ||||||||
| 852,000 | 5.950%, 3/15/2017 | 963,258 | ||||||
| CVS Caremark Corporation | ||||||||
| 572,000 | 1.200%, 12/5/2016 | 572,581 | ||||||
| 330,000 | 6.125%, 9/15/2039 | 374,259 | ||||||
| Endo Pharmaceuticals Holdings, Inc. | ||||||||
| 1,500,000 | 7.000%, 7/15/2019 | 1,605,000 | ||||||
| Express Scripts Holding Company | ||||||||
| 510,000 | 3.125%, 5/15/2016 | 532,294 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
139
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (34.7%) | Value | ||||||
| Consumer Non-Cyclical (1.2%) - continued | |||||||
| Fresenius Medical Care US Finance II, Inc. | ||||||||
| $1,500,000 | 5.875%, 1/31/2022d | $ | 1,582,500 | |||||
| Gilead Sciences, Inc. | ||||||||
| 654,000 | 3.050%, 12/1/2016 | 690,541 | ||||||
| Hawk Acquisition Sub, Inc. | ||||||||
| 1,502,019 | 4.250%, 10/15/2020d | 1,453,203 | ||||||
| Heineken NV | ||||||||
| 268,000 | 1.400%, 10/1/2017d | 262,928 | ||||||
| IMS Health, Inc. | ||||||||
| 859,000 | 6.000%, 11/1/2020d | 912,687 | ||||||
| Kroger Company | ||||||||
| 410,000 | 0.804%, 10/17/2016e | 410,900 | ||||||
| 572,000 | 1.200%, 10/17/2016 | 572,244 | ||||||
| Lorillard Tobacco Company | ||||||||
| 504,000 | 2.300%, 8/21/2017g | 505,111 | ||||||
| 705,000 | 8.125%, 6/23/2019 | 858,793 | ||||||
| Mallinckrodt International Finance SA | ||||||||
| 645,000 | 3.500%, 4/15/2018d | 632,738 | ||||||
| Mattel, Inc. | ||||||||
| 590,000 | 1.700%, 3/15/2018 | 576,451 | ||||||
| Medco Health Solutions, Inc. | ||||||||
| 885,000 | 7.125%, 3/15/2018 | 1,051,617 | ||||||
| Merck & Company, Inc. | ||||||||
| 1,560,000 | 0.598%, 5/18/2018e | 1,564,092 | ||||||
| Mylan, Inc. | ||||||||
| 536,000 | 7.875%, 7/15/2020d | 606,506 | ||||||
| PepsiCo, Inc. | ||||||||
| 1,170,000 | 0.447%, 2/26/2016e | 1,170,773 | ||||||
| Pernod Ricard SA | ||||||||
| 600,000 | 2.950%, 1/15/2017d | 619,628 | ||||||
| 450,000 | 5.750%, 4/7/2021d | 496,020 | ||||||
| Perrigo Company, Ltd. | ||||||||
| 1,786,000 | 1.300%, 11/8/2016d | 1,779,810 | ||||||
| 564,000 | 2.300%, 11/8/2018d | 556,684 | ||||||
| Roche Holdings, Inc. | ||||||||
| 290,000 | 7.000%, 3/1/2039d | 380,293 | ||||||
| SABMiller Holdings, Inc. | ||||||||
| 930,000 | 2.450%, 1/15/2017d | 952,307 | ||||||
| 710,000 | 3.750%, 1/15/2022d | 712,648 | ||||||
| Safeway, Inc. | ||||||||
| 290,000 | 3.400%, 12/1/2016 | 301,719 | ||||||
| 625,000 | 5.000%, 8/15/2019 | 664,664 | ||||||
| Spectrum Brands Escrow Corporation | ||||||||
| 1,500,000 | 6.375%, 11/15/2020d | 1,601,250 | ||||||
| Thermo Fisher Scientific, Inc. | ||||||||
| 715,000 | 1.300%, 2/1/2017 | 711,893 | ||||||
| 286,000 | 2.400%, 2/1/2019 | 283,338 | ||||||
| Tyson Foods, Inc. | ||||||||
| 650,000 | 4.500%, 6/15/2022 | 661,808 | ||||||
| Valeant Pharmaceuticals International | ||||||||
| 1,410,000 | 6.875%, 12/1/2014d | 1,508,700 | ||||||
| Watson Pharmaceuticals, Inc. | ||||||||
| 987,000 | 1.875%, 10/1/2017 | 976,707 | ||||||
| WM Wrigley Jr. Company | ||||||||
| 965,000 | 1.400%, 10/21/2016d | 966,462 | ||||||
| 705,000 | 2.000%, 10/20/2017d | 703,042 | ||||||
|
| |||||||
| Total | 41,439,563 | |||||||
|
| |||||||
| Energy (0.8%) | |||||||
| BP Capital Markets plc | ||||||||
| 1,170,000 | 1.846%, 5/5/2017 | 1,181,747 | ||||||
| 795,000 | 1.375%, 11/6/2017 | 782,912 | ||||||
| 564,000 | 2.241%, 9/26/2018 | 565,628 | ||||||
| CNOOC, Ltd. | ||||||||
| 950,000 | 1.125%, 5/9/2016 | 946,500 | ||||||
| Concho Resources, Inc. | ||||||||
| 1,412,019 | 5.500%, 10/1/2022 | 1,457,910 | ||||||
| Continental Resources, Inc. | ||||||||
| 987,000 | 4.500%, 4/15/2023 | 1,000,571 | ||||||
| Devon Energy Corporation | ||||||||
| 1,144,000 | 1.200%, 12/15/2016 | 1,143,520 | ||||||
| EQT Corporation | ||||||||
| 754,000 | 8.125%, 6/1/2019 | 914,733 | ||||||
| Hess Corporation | ||||||||
| 840,000 | 8.125%, 2/15/2019 | 1,043,376 | ||||||
| Linn Energy, LLC | ||||||||
| 1,412,019 | 7.000%, 11/1/2019d | 1,426,139 | ||||||
| Lukoil International Finance BV | ||||||||
| 725,000 | 3.416%, 4/24/2018d | 731,344 | ||||||
| MEG Energy Corporation | ||||||||
| 1,500,000 | 6.500%, 3/15/2021d | 1,578,750 | ||||||
| Murphy Oil Corporation | ||||||||
| 403,000 | 2.500%, 12/1/2017 | 405,451 | ||||||
| Oasis Petroleum, Inc. | ||||||||
| 1,500,000 | 6.875%, 1/15/2023 | 1,597,500 | ||||||
| Offshore Group Investment, Ltd. | ||||||||
| 1,500,000 | 7.500%, 11/1/2019g | 1,631,250 | ||||||
| Petrobras Global Finance BV | ||||||||
| 1,200,000 | 2.000%, 5/20/2016 | 1,199,051 | ||||||
| Petroleos Mexicanos | ||||||||
| 426,000 | 3.500%, 7/18/2018 | 437,182 | ||||||
| Pioneer Natural Resources Company | ||||||||
| 255,000 | 5.875%, 7/15/2016 | 282,868 | ||||||
| Range Resources Corporation | ||||||||
| 1,500,000 | 5.000%, 8/15/2022 | 1,473,750 | ||||||
| Shell International Finance BV | ||||||||
| 825,000 | 0.451%, 11/15/2016e | 825,699 | ||||||
| Sinopec Capital 2013, Ltd. | ||||||||
| 870,000 | 1.250%, 4/24/2016d | 866,573 | ||||||
| Suncor Energy, Inc. | ||||||||
| 441,000 | 6.100%, 6/1/2018 | 509,777 | ||||||
| Transocean, Inc. | ||||||||
| 252,000 | 5.050%, 12/15/2016 | 278,377 | ||||||
| 954,000 | 6.000%, 3/15/2018 | 1,069,859 | ||||||
| Weatherford International, Ltd. | ||||||||
| 526,000 | 9.625%, 3/1/2019 | 675,838 | ||||||
| 855,000 | 6.750%, 9/15/2040 | 924,730 | ||||||
|
| |||||||
| Total | 24,951,035 | |||||||
|
| |||||||
| Financials (3.6%) | |||||||
| Abbey National Treasury Services plc | ||||||||
| 564,000 | 3.050%, 8/23/2018 | 579,527 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
140
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (34.7%) | Value | ||||||
| Financials (3.6%) - continued | ||||||||
| Achmea Hypotheekbank NV | ||||||||
| $220,000 | 3.200%, 11/3/2014d | $ | 225,152 | |||||
| Aetna, Inc. | ||||||||
| 568,000 | 1.500%, 11/15/2017 | 559,646 | ||||||
| American Express Credit Corporation | ||||||||
| 325,000 | 2.375%, 3/24/2017 | 334,060 | ||||||
| American International Group, Inc. | ||||||||
| 1,272,000 | 2.375%, 8/24/2015 | 1,299,273 | ||||||
| 705,000 | 3.800%, 3/22/2017 | 752,869 | ||||||
| 564,000 | 8.250%, 8/15/2018 | 705,496 | ||||||
| ANZ National International, Ltd. of London | ||||||||
| 982,000 | 3.125%, 8/10/2015d,g | 1,017,775 | ||||||
| Associated Banc Corporation | ||||||||
| 255,000 | 1.875%, 3/12/2014 | 255,355 | ||||||
| Aviation Capital Group Corporation | ||||||||
| 564,000 | 3.875%, 9/27/2016d | 582,549 | ||||||
| Bank Nederlandse Gemeenten NV | ||||||||
| 585,000 | 1.375%, 3/19/2018d,g | 574,587 | ||||||
| Bank of America Corporation | ||||||||
| 1,041,000 | 7.750%, 8/15/2015 | 1,145,326 | ||||||
| 510,000 | 5.750%, 8/15/2016 | 562,433 | ||||||
| 1,280,000 | 5.750%, 12/1/2017 | 1,456,785 | ||||||
| 2,040,000 | 1.316%, 3/22/2018e,g | 2,067,091 | ||||||
| 585,000 | 5.650%, 5/1/2018 | 665,887 | ||||||
| 846,000 | 2.600%, 1/15/2019 | 849,734 | ||||||
| Bank of Montreal | ||||||||
| 568,000 | 1.300%, 7/15/2016 | 572,763 | ||||||
| 1,170,000 | 0.843%, 4/9/2018e | 1,175,899 | ||||||
| Bank of Nova Scotia | ||||||||
| 1,170,000 | 0.643%, 3/15/2016e | 1,171,868 | ||||||
| 580,000 | 0.950%, 3/15/2016 | 580,825 | ||||||
| BB&T Corporation | ||||||||
| 284,000 | 1.103%, 6/15/2018e | 285,992 | ||||||
| BBVA Banco Continental SA | ||||||||
| 930,000 | 2.250%, 7/29/2016d | 925,350 | ||||||
| BBVA US Senior SAU | ||||||||
| 966,000 | 4.664%, 10/9/2015 | 1,015,535 | ||||||
| Berkshire Hathaway Finance Corporation | ||||||||
| 660,000 | 1.600%, 5/15/2017 | 666,365 | ||||||
| 1,170,000 | 1.300%, 5/15/2018 | 1,143,305 | ||||||
| BNP Paribas SA | ||||||||
| 572,000 | 1.250%, 12/12/2016 | 572,419 | ||||||
| 791,000 | 2.375%, 9/14/2017 | 807,584 | ||||||
| Branch Banking and Trust Company | ||||||||
| 858,000 | 0.667%, 12/1/2016e | 858,722 | ||||||
| Canadian Imperial Bank of Commerce | ||||||||
| 220,000 | 2.600%, 7/2/2015d | 226,930 | ||||||
| Capital One Financial Corporation | ||||||||
| 530,000 | 2.150%, 3/23/2015 | 538,788 | ||||||
| 780,000 | 0.696%, 3/22/2016e | 779,201 | ||||||
| 859,000 | 6.150%, 9/1/2016 | 960,776 | ||||||
| Citigroup, Inc. | ||||||||
| 1,149,000 | 5.000%, 9/15/2014 | 1,181,729 | ||||||
| 1,050,000 | 5.500%, 2/15/2017 | 1,156,927 | ||||||
| 571,000 | 6.000%, 8/15/2017 | 650,803 | ||||||
| 915,000 | 8.500%, 5/22/2019 | 1,172,654 | ||||||
| 590,000 | 4.050%, 7/30/2022 | 583,426 | ||||||
| CNA Financial Corporation | ||||||||
| 715,000 | 7.350%, 11/15/2019 | 866,732 | ||||||
| CoBank ACB | ||||||||
| 395,000 | 0.843%, 6/15/2022e,f | 361,919 | ||||||
| Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
| 550,000 | 3.950%, 11/9/2022 | 532,945 | ||||||
| Credit Agricole SA | ||||||||
| 725,000 | 1.625%, 4/15/2016d | 729,470 | ||||||
| Credit Suisse AG | ||||||||
| 1,144,000 | 5.400%, 1/14/2020 | 1,271,365 | ||||||
| CyrusOne, LP | ||||||||
| 1,500,000 | 6.375%, 11/15/2022 | 1,552,500 | ||||||
| DDR Corporation | ||||||||
| 725,000 | 9.625%, 3/15/2016 | 849,997 | ||||||
| Discover Financial Services | ||||||||
| 1,085,000 | 6.450%, 6/12/2017 | 1,229,457 | ||||||
| DnB Boligkreditt AS | ||||||||
| 1,560,000 | 1.450%, 3/21/2018d | 1,524,744 | ||||||
| Eksportfinans ASA | ||||||||
| 330,000 | 3.000%, 11/17/2014 | 331,320 | ||||||
| 465,000 | 5.500%, 5/25/2016 | 490,575 | ||||||
| Fifth Third Bancorp | ||||||||
| 545,000 | 5.450%, 1/15/2017 | 598,950 | ||||||
| General Electric Capital Corporation | ||||||||
| 365,000 | 1.109%, 5/9/2016e | 368,920 | ||||||
| 268,000 | 1.600%, 11/20/2017 | 266,236 | ||||||
| 290,000 | 0.959%, 4/2/2018e | 292,300 | ||||||
| 1,965,000 | 6.000%, 8/7/2019 | 2,305,558 | ||||||
| 1,170,000 | 1.243%, 3/15/2023e | 1,164,001 | ||||||
| 730,000 | 6.750%, 3/15/2032 | 903,963 | ||||||
| Goldman Sachs Group, Inc. | ||||||||
| 1,245,000 | 3.700%, 8/1/2015 | 1,296,407 | ||||||
| 580,000 | 2.375%, 1/22/2018 | 582,205 | ||||||
| 1,170,000 | 1.436%, 4/30/2018e | 1,183,822 | ||||||
| 430,000 | 1.341%, 11/15/2018e | 431,009 | ||||||
| 740,000 | 7.500%, 2/15/2019 | 901,297 | ||||||
| 850,000 | 5.375%, 3/15/2020 | 945,310 | ||||||
| 885,000 | 5.250%, 7/27/2021 | 968,935 | ||||||
| Hartford Financial Services Group, Inc. | ||||||||
| 715,000 | 4.000%, 10/15/2017 | 760,489 | ||||||
| 590,000 | 5.125%, 4/15/2022 | 642,634 | ||||||
| HCP, Inc. | ||||||||
| 284,000 | 6.000%, 1/30/2017 | 318,288 | ||||||
| 250,000 | 6.700%, 1/30/2018 | 290,580 | ||||||
| Health Care REIT, Inc. | ||||||||
| 930,000 | 4.700%, 9/15/2017 | 1,010,907 | ||||||
| 268,000 | 2.250%, 3/15/2018 | 264,959 | ||||||
| HSBC Bank plc | ||||||||
| 1,560,000 | 0.881%, 5/15/2018d,e | 1,563,384 | ||||||
| HSBC Finance Corporation | ||||||||
| 846,000 | 6.676%, 1/15/2021 | 972,085 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
141
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (34.7%) | Value | ||||||
| Financials (3.6%) - continued | |||||||
| HSBC USA, Inc. | ||||||||
| $ | 555,000 | 1.625%, 1/16/2018 | $ | 547,262 | ||||
| Huntington Bancshares, Inc. | ||||||||
| 282,000 | 2.600%, 8/2/2018 | 282,165 | ||||||
| Huntington National Bank | ||||||||
| 720,000 | 1.350%, 8/2/2016 | 719,734 | ||||||
| Icahn Enterprises, LP | ||||||||
| 1,412,019 | 8.000%, 1/15/2018 | 1,468,500 | ||||||
| ING Bank NV | ||||||||
| 650,000 | 3.750%, 3/7/2017d | 684,593 | ||||||
| ING Capital Funding Trust III | ||||||||
| 575,000 | 3.847%, 12/29/2049e,i | 572,844 | ||||||
| ING US, Inc. | ||||||||
| 633,000 | 2.900%, 2/15/2018 | 647,424 | ||||||
| International Lease Finance Corporation | ||||||||
| 865,000 | 2.193%, 6/15/2016e | 869,325 | ||||||
| Intesa Sanpaolo SPA | ||||||||
| 635,000 | 3.125%, 1/15/2016 | 647,104 | ||||||
| 705,000 | 3.875%, 1/15/2019 | 700,922 | ||||||
| J.P. Morgan Chase & Company | ||||||||
| 780,000 | 0.689%, 4/23/2015e | 781,536 | ||||||
| 590,000 | 1.125%, 2/26/2016 | 591,004 | ||||||
| 930,000 | 3.450%, 3/1/2016 | 975,426 | ||||||
| 1,211,000 | 2.000%, 8/15/2017 | 1,228,383 | ||||||
| 475,000 | 1.800%, 1/25/2018 | 470,830 | ||||||
| 915,000 | 6.300%, 4/23/2019 | 1,079,932 | ||||||
| 310,000 | 3.200%, 1/25/2023 | 293,888 | ||||||
| 870,000 | 7.900%, 4/29/2049i | 959,175 | ||||||
| J.P. Morgan Chase Bank NA | ||||||||
| 787,000 | 0.574%, 6/13/2016e | 782,864 | ||||||
| KeyBank NA | ||||||||
| 984,000 | 7.413%, 5/6/2015 | 1,066,194 | ||||||
| Liberty Mutual Group, Inc. | ||||||||
| 252,000 | 4.950%, 5/1/2022d | 260,571 | ||||||
| 300,000 | 6.500%, 5/1/2042d | 329,236 | ||||||
| Liberty Property, LP | ||||||||
| 815,000 | 5.500%, 12/15/2016 | 899,654 | ||||||
| Lloyds TSB Bank plc | ||||||||
| 536,000 | 6.500%, 9/14/2020d | 609,293 | ||||||
| Macquarie Bank, Ltd. | ||||||||
| 750,000 | 5.000%, 2/22/2017d | 813,330 | ||||||
| Merrill Lynch & Company, Inc. | ||||||||
| 250,000 | 6.050%, 5/16/2016 | 275,056 | ||||||
| 580,000 | 6.400%, 8/28/2017 | 668,685 | ||||||
| Mizuho Corporate Bank, Ltd. | ||||||||
| 580,000 | 1.850%, 3/21/2018d | 565,309 | ||||||
| Morgan Stanley | ||||||||
| 510,000 | 4.750%, 4/1/2014g | 514,054 | ||||||
| 295,000 | 1.488%, 2/25/2016e | 298,837 | ||||||
| 295,000 | 1.750%, 2/25/2016 | 298,960 | ||||||
| 1,075,000 | 4.750%, 3/22/2017 | 1,173,167 | ||||||
| 560,000 | 6.250%, 8/28/2017 | 640,768 | ||||||
| 780,000 | 1.518%, 4/25/2018e | 791,145 | ||||||
| 600,000 | 4.875%, 11/1/2022 | 614,197 | ||||||
| 780,000 | 4.100%, 5/22/2023 | 754,846 | ||||||
| Murray Street Investment Trust I | ||||||||
| 1,500,000 | 4.647%, 3/9/2017 | 1,615,330 | ||||||
| National City Corporation | ||||||||
| 896,000 | 6.875%, 5/15/2019 | 1,061,703 | ||||||
| Nederlandse Waterschapsbank NV | ||||||||
| 780,000 | 0.750%, 3/29/2016d | 779,529 | ||||||
| Nomura Holdings, Inc. | ||||||||
| 1,170,000 | 1.694%, 9/13/2016e | 1,191,196 | ||||||
| 1,210,000 | 2.000%, 9/13/2016 | 1,220,003 | ||||||
| Nordea Eiendomskreditt AS | ||||||||
| 1,170,000 | 2.125%, 9/22/2016d | 1,201,205 | ||||||
| PNC Bank NA | ||||||||
| 1,621,000 | 1.150%, 11/1/2016 | 1,622,986 | ||||||
| Prologis, LP | ||||||||
| 910,000 | 7.375%, 10/30/2019 | 1,098,772 | ||||||
| Prudential Covered Trust | ||||||||
| 994,500 | 2.997%, 9/30/2015d | 1,025,309 | ||||||
| Realty Income Corporation | ||||||||
| 265,000 | 2.000%, 1/31/2018 | 259,530 | ||||||
| Regions Bank | ||||||||
| 1,345,000 | 7.500%, 5/15/2018 | 1,591,520 | ||||||
| Reinsurance Group of America, Inc. | ||||||||
| 515,000 | 5.625%, 3/15/2017 | 567,747 | ||||||
| 265,000 | 5.000%, 6/1/2021 | 278,101 | ||||||
| Royal Bank of Canada | ||||||||
| 2,000,000 | 1.125%, 7/22/2016 | 1,999,742 | ||||||
| 852,000 | 2.200%, 7/27/2018 | 855,460 | ||||||
| Royal Bank of Scotland Group plc | ||||||||
| 977,000 | 5.050%, 1/8/2015 | 1,005,921 | ||||||
| 590,000 | 2.550%, 9/18/2015 | 603,427 | ||||||
| Santander US Debt SAU | ||||||||
| 850,000 | 3.724%, 1/20/2015d | 866,938 | ||||||
| 110,000 | 3.781%, 10/7/2015d | 113,349 | ||||||
| Simon Property Group, LP | ||||||||
| 580,000 | 10.350%, 4/1/2019 | 784,840 | ||||||
| SLM Corporation | ||||||||
| 465,000 | 3.875%, 9/10/2015 | 480,694 | ||||||
| 268,000 | 6.250%, 1/25/2016 | 289,440 | ||||||
| SpareBank 1 Boligkreditt AS | ||||||||
| 1,560,000 | 1.250%, 5/2/2018d | 1,509,456 | ||||||
| Svensk Exportkredit AB | ||||||||
| 780,000 | 1.125%, 4/5/2018g | 760,921 | ||||||
| Svenska Handelsbanken AB | ||||||||
| 536,000 | 3.125%, 7/12/2016 | 560,606 | ||||||
| 380,000 | 1.625%, 3/21/2018 | 372,788 | ||||||
| Swedbank Hypotek AB | ||||||||
| 1,560,000 | 1.375%, 3/28/2018d,g | 1,523,964 | ||||||
| Swiss RE Capital I, LP | ||||||||
| 725,000 | 6.854%, 5/29/2049d,i | 766,325 | ||||||
| Toronto-Dominion Bank | ||||||||
| 170,000 | 2.200%, 7/29/2015d | 174,505 | ||||||
| 640,000 | 0.702%, 9/9/2016e | 641,889 | ||||||
| UBS AG London | ||||||||
| 1,560,000 | 0.750%, 3/24/2016d | 1,568,700 | ||||||
| UBS AG/Stamford, Connecticut | ||||||||
| 308,000 | 5.875%, 12/20/2017 | 353,438 | ||||||
| Union Bank NA | ||||||||
| 1,128,000 | 1.500%, 9/26/2016 | 1,140,787 | ||||||
| Ventas Realty, LP | ||||||||
| 846,000 | 1.550%, 9/26/2016 | 852,003 | ||||||
| Wachovia Corporation | ||||||||
| 1,170,000 | 0.513%, 6/15/2017e | 1,160,922 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
142
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (34.7%) | Value | ||||||
| Financials (3.6%) - continued | ||||||||
| Wells Fargo & Company | ||||||||
| $1,946,000 | 1.250%, 7/20/2016 | $ | 1,960,435 | |||||
| 780,000 | 2.100%, 5/8/2017 | 794,546 | ||||||
| 580,000 | 1.500%, 1/16/2018 | 576,253 | ||||||
| XLIT, Ltd. | ||||||||
| 846,000 | 2.300%, 12/15/2018 | 830,932 | ||||||
|
| |||||||
| Total | 119,372,094 | |||||||
|
| |||||||
| Foreign Government (0.3%) | ||||||||
| Asian Development Bank | ||||||||
| 1,560,000 | 0.500%, 6/20/2016 | 1,554,072 | ||||||
| Denmark Government International Bond | ||||||||
| 1,560,000 | 0.375%, 4/25/2016d | 1,550,796 | ||||||
| Export-Import Bank of Korea | ||||||||
| 536,000 | 1.250%, 11/20/2015 | 537,652 | ||||||
| International Finance Corporation | ||||||||
| 1,170,000 | 0.500%, 5/16/2016 | 1,167,755 | ||||||
| Kommunalbanken AS | ||||||||
| 25,000 | 2.750%, 5/5/2015d | 25,790 | ||||||
| 1,560,000 | 0.323%, 3/18/2016d,e | 1,561,140 | ||||||
| Kommuninvest i Sverige AB | ||||||||
| 1,560,000 | 0.500%, 6/15/2016d | 1,551,264 | ||||||
| Mexico Government International Bond | ||||||||
| 564,000 | 4.000%, 10/2/2023 | 558,360 | ||||||
| Province of Ontario | ||||||||
| 1,600,000 | 1.000%, 7/22/2016 | 1,605,448 | ||||||
| Sweden Government International Bond | ||||||||
| 200,000 | 0.375%, 12/22/2015d | 199,790 | ||||||
| 500,000 | 0.375%, 3/29/2016d | 497,450 | ||||||
|
| |||||||
| Total | 10,809,517 | |||||||
|
| |||||||
| Mortgage-Backed Securities (11.1%) | ||||||||
| Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 36,880,000 | 3.000%, 1/1/2029c | 37,562,855 | ||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 21,050,000 | 3.500%, 1/1/2044c | 20,885,547 | ||||||
| Federal National Mortgage Association | ||||||||
| 1,839,619 | 0.595%, 8/25/2015 | 1,836,331 | ||||||
| Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 45,317,000 | 3.500%, 1/1/2029c | 47,389,899 | ||||||
| Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 5,285,168 | 2.070%, 1/1/2043e | 5,391,785 | ||||||
| 9,364,225 | 2.059%, 3/1/2043e | 9,556,121 | ||||||
| 8,067,726 | 1.753%, 7/1/2043e | 8,124,237 | ||||||
| 83,785,000 | 3.500%, 1/1/2044c | 83,228,617 | ||||||
| 88,234,500 | 4.000%, 1/1/2044c | 90,826,389 | ||||||
| 66,694,000 | 4.500%, 1/1/2044c | 70,666,982 | ||||||
|
| |||||||
| Total | 375,468,763 | |||||||
|
| |||||||
| Technology (0.3%) | ||||||||
| Apple, Inc. | ||||||||
| 1,560,000 | 0.492%, 5/3/2018e | 1,557,360 | ||||||
| 290,000 | 2.400%, 5/3/2023 | 260,771 | ||||||
| Computer Sciences Corporation | ||||||||
| 382,000 | 2.500%, 9/15/2015 | 389,914 | ||||||
| EMC Corporation | ||||||||
| 1,050,000 | 1.875%, 6/1/2018 | 1,038,072 | ||||||
| First Data Corporation | ||||||||
| 1,500,000 | 7.375%, 6/15/2019d | 1,601,250 | ||||||
| Hewlett-Packard Company | ||||||||
| 510,000 | 2.125%, 9/13/2015 | 519,320 | ||||||
| Intel Corporation | ||||||||
| 656,000 | 4.000%, 12/15/2032 | 604,619 | ||||||
| Iron Mountain, Inc. | ||||||||
| 1,410,000 | 6.000%, 8/15/2023 | 1,445,250 | ||||||
| Micron Semiconductor Asia Pte, Ltd. | ||||||||
| 375,000 | 1.258%, 1/15/2019 | 373,690 | ||||||
| Oracle Corporation | ||||||||
| 530,000 | 1.200%, 10/15/2017 | 521,551 | ||||||
| 810,000 | 0.824%, 1/15/2019e | 813,205 | ||||||
| Samsung Electronics America, Inc. | ||||||||
| 590,000 | 1.750%, 4/10/2017d | 586,222 | ||||||
| Tyco Electronics Group SA | ||||||||
| 994,000 | 6.550%, 10/1/2017 | 1,137,530 | ||||||
| Xerox Corporation | ||||||||
| 510,000 | 7.200%, 4/1/2016 | 572,043 | ||||||
|
| |||||||
| Total | 11,420,797 | |||||||
|
| |||||||
| Transportation (0.3%) | ||||||||
| American Airlines Pass Through Trust | ||||||||
| 750,000 | 4.950%, 1/15/2023d | 772,969 | ||||||
| Avis Budget Car Rental, LLC | ||||||||
| 1,500,000 | 8.250%, 1/15/2019 | 1,635,000 | ||||||
| Canadian National Railway Company | ||||||||
| 395,000 | 0.438%, 11/6/2015e | 395,287 | ||||||
| Canadian Pacific Railway Company | ||||||||
| 400,000 | 7.125%, 10/15/2031 | 481,032 | ||||||
| 472,000 | 5.750%, 3/15/2033 | 499,414 | ||||||
| Continental Airlines, Inc. | ||||||||
| 712,035 | 4.150%, 4/11/2024 | 720,491 | ||||||
| CSX Corporation | ||||||||
| 628,000 | 6.250%, 4/1/2015 | 671,234 | ||||||
| 494,000 | 3.700%, 11/1/2023 | 477,897 | ||||||
| Delta Air Lines, Inc. | ||||||||
| 760,000 | 6.750%, 5/23/2017 | 805,600 | ||||||
| 441,333 | 4.950%, 5/23/2019 | 478,846 | ||||||
| 120,891 | 4.750%, 5/7/2020 | 129,353 | ||||||
| ERAC USA Finance, LLC | ||||||||
| 530,000 | 1.400%, 4/15/2016d | 530,419 | ||||||
| 284,000 | 2.800%, 11/1/2018d | 286,992 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
143
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (34.7%) | Value | ||||||
| Transportation (0.3%) - continued | ||||||||
| Kansas City Southern de Mexico SA de CV | ||||||||
| $1,170,000 | 0.937%, 10/28/2016e | $ | 1,170,317 | |||||
| 580,000 | 2.350%, 5/15/2020 | 540,341 | ||||||
| Virgin Australia Holdings, Ltd. | ||||||||
| 355,000 | 5.000%, 10/23/2023d | 362,322 | ||||||
|
| |||||||
| Total | 9,957,514 | |||||||
|
| |||||||
| U.S. Government and Agencies (6.5%) | ||||||||
| FDIC Structured Sale Guaranteed Notes | ||||||||
| 90,000 | Zero Coupon, 1/7/2014d | 89,967 | ||||||
| Federal Agricultural Mortgage Corporation | ||||||||
| 175,000 | 2.125%, 9/15/2015 | 180,073 | ||||||
| Federal Home Loan Bank | ||||||||
| 2,930,000 | 0.375%, 6/24/2016 | 2,920,059 | ||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| 1,330,000 | 1.375%, 5/1/2020 | 1,246,894 | ||||||
| Federal National Mortgage Association | ||||||||
| 300,000 | 4.375%, 10/15/2015 | 321,150 | ||||||
| 1,355,000 | 0.375%, 7/5/2016 | 1,345,608 | ||||||
| 870,000 | 1.375%, 11/15/2016 | 884,599 | ||||||
| 870,000 | 0.875%, 5/21/2018 | 841,561 | ||||||
| 205,000 | 6.250%, 5/15/2029 | 256,997 | ||||||
| Tennessee Valley Authority | ||||||||
| 200,000 | 5.250%, 9/15/2039 | 213,463 | ||||||
| U.S. Treasury Bonds | ||||||||
| 440,000 | 7.625%, 2/15/2025 | 628,581 | ||||||
| 1,075,000 | 4.375%, 5/15/2040 | 1,167,719 | ||||||
| 5,145,000 | 3.000%, 5/15/2042 | 4,314,566 | ||||||
| 2,225,000 | 2.875%, 5/15/2043 | 1,803,294 | ||||||
| U.S. Treasury Bonds, TIPS | ||||||||
| 49,564 | 2.375%, 1/15/2025 | 56,971 | ||||||
| 32,419 | 2.125%, 2/15/2040 | 36,425 | ||||||
| U.S. Treasury Notes | ||||||||
| 90,000 | 0.250%, 4/30/2014 | 90,046 | ||||||
| 1,855,000 | 0.750%, 6/15/2014 | 1,860,363 | ||||||
| 650,000 | 2.625%, 2/29/2016 | 680,875 | ||||||
| 33,900,000 | 0.625%, 10/15/2016 | 33,836,437 | ||||||
| 475,000 | 1.000%, 10/31/2016 | 478,600 | ||||||
| 34,670,000 | 0.625%, 12/15/2016g | 34,529,170 | ||||||
| 1,550,000 | 3.250%, 3/31/2017 | 1,665,766 | ||||||
| 300,000 | 0.625%, 5/31/2017 | 296,086 | ||||||
| 15,250,000 | 1.000%, 5/31/2018 | 14,916,406 | ||||||
| 18,900,000 | 1.250%, 10/31/2018 | 18,529,390 | ||||||
| 33,750,000 | 1.375%, 1/31/2020 | 32,281,335 | ||||||
| 10,060,000 | 1.625%, 8/15/2022 | 9,139,671 | ||||||
| 1,000,000 | 1.750%, 5/15/2023 | 901,328 | ||||||
| 18,300,000 | 2.500%, 8/15/2023 | 17,573,710 | ||||||
| U.S. Treasury Notes, TIPS | ||||||||
| 28,089,370 | 0.125%, 4/15/2018 | 28,648,995 | ||||||
| 278,626 | 0.125%, 1/15/2022 | 267,786 | ||||||
| 7,184,412 | 0.125%, 1/15/2023 | 6,785,346 | ||||||
|
| |||||||
| Total | 218,789,237 | |||||||
|
| |||||||
| U.S. Municipals (2.8%) | ||||||||
| Buckeye Tobacco Settlement Financing Auth. Rev. | ||||||||
| 3,450,000 | 5.125%, 6/1/2024, Ser. A-2 | 2,845,491 | ||||||
| Dallas/Fort Worth Texas International Airport Joint Rev. Improvement | ||||||||
| 6,000,000 | 5.000%, 11/1/2038, Ser. A, AMT | 5,581,380 | ||||||
| Los Angeles Department Of Water and Power System Rev. | ||||||||
| 7,498,000 | 5.000%, 7/1/2043, Ser. B | 7,685,525 | ||||||
| Massachusetts Bay Transportation Auth. Assessment Rev. | ||||||||
| 4,464,000 | 5.000%, 7/1/2041, Ser. A | 4,655,148 | ||||||
| Massachusetts Development Finance Agency Rev. (Boston University) | ||||||||
| 4,273,000 | 5.000%, 10/1/2048 | 4,282,486 | ||||||
| Massachusetts School Building Auth. Sales Tax Rev. | ||||||||
| 6,000,000 | 5.000%, 5/15/2043, Ser. A | 6,254,700 | ||||||
| Metropolitan Transportation Auth. Transportation Rev. | ||||||||
| 5,998,000 | 5.000%, 11/15/2043, Ser. A | 5,951,635 | ||||||
| Miami-Dade County Expressway Auth. Toll System Rev. | ||||||||
| 2,549,000 | 5.000%, 7/1/2040, Ser. A | 2,537,861 | ||||||
| New Jersey Transportation Trust Fund Auth. Transportation System Rev. | ||||||||
| 7,497,000 | 5.000%, 6/15/2042, Ser. A | 7,549,104 | ||||||
| New Jersey Turnpike Auth. Turnpike Rev. | ||||||||
| 2,400,000 | 5.000%, 1/1/2043, Ser. A | 2,436,456 | ||||||
| New York City Municipal Water Finance Auth. Water and Sewer System Rev. | ||||||||
| 5,998,000 | 5.000%, 6/15/2047, Ser. EE | 6,115,501 | ||||||
| New York City Transitional Finance Auth. Future Tax Rev. | ||||||||
| 5,601,000 | 5.000%, 5/1/2042, Ser. I | 5,794,795 | ||||||
| New York State Dormitory Auth. Personal Income Tax Rev. | ||||||||
| 3,599,000 | 5.000%, 3/15/2042, Ser. B | 3,698,656 | ||||||
| North Texas Tollway Auth. Rev. | ||||||||
| 5,998,000 | 5.000%, 1/1/2042, Ser. B | 5,839,353 | ||||||
| San Diego County Regional Airport Auth. Airport Rev. | ||||||||
| 5,173,000 | 5.000%, 7/1/2038, Ser. B, AMT | 5,009,740 | ||||||
| South Carolina Public Service Auth. Rev. Obligations | ||||||||
| 5,998,000 | 5.000%, 12/1/2043, Ser. D | 5,988,463 | ||||||
| State of California Various Purpose G.O. | ||||||||
| 3,000,000 | 5.000%, 9/1/2036 | 3,076,110 | ||||||
| 1,500,000 | 5.000%, 4/1/2042 | 1,516,050 | ||||||
| 1,500,000 | 5.000%, 2/1/2043 | 1,516,305 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
144
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (34.7%) | Value | ||||||
| U.S. Municipals (2.8%) - continued | ||||||||
| University of Massachusetts Building Auth. Proj. Rev. | ||||||||
| $4,798,000 | 5.000%, 11/1/2039, Ser. 2 | $ | 4,988,481 | |||||
|
| |||||||
| Total | 93,323,240 | |||||||
|
| |||||||
| Utilities (0.8%) | ||||||||
| AES Corporation | ||||||||
| 1,500,000 | 7.375%, 7/1/2021 | 1,691,250 | ||||||
| American Electric Power Company, Inc. | ||||||||
| 536,000 | 1.650%, 12/15/2017 | 525,180 | ||||||
| Atlas Pipeline Partners, LP | ||||||||
| 1,500,000 | 4.750%, 11/15/2021d | 1,372,500 | ||||||
| Buckeye Partners, LP | ||||||||
| 846,000 | 2.650%, 11/15/2018 | 833,569 | ||||||
| Dayton Power and Light Company | ||||||||
| 564,000 | 1.875%, 9/15/2016d | 568,608 | ||||||
| DCP Midstream Operating, LP | ||||||||
| 268,000 | 2.500%, 12/1/2017 | 266,847 | ||||||
| Duke Energy Corporation | ||||||||
| 900,000 | 2.100%, 6/15/2018 | 894,833 | ||||||
| Enel Finance International NV | ||||||||
| 740,000 | 3.875%, 10/7/2014d | 756,047 | ||||||
| 450,000 | 6.250%, 9/15/2017d | 502,570 | ||||||
| Energy Transfer Partners, LP | ||||||||
| 290,000 | 9.700%, 3/15/2019 | 375,480 | ||||||
| 1,042,000 | 4.650%, 6/1/2021 | 1,071,845 | ||||||
| Enterprise Products Operating, LLC | ||||||||
| 756,000 | 1.250%, 8/13/2015 | 761,023 | ||||||
| Exelon Corporation | ||||||||
| 685,000 | 4.900%, 6/15/2015 | 722,198 | ||||||
| Exelon Generation Company, LLC | ||||||||
| 870,000 | 5.200%, 10/1/2019 | 937,575 | ||||||
| Iberdrola Finance Ireland, Ltd. | ||||||||
| 520,000 | 3.800%, 9/11/2014d | 530,437 | ||||||
| ITC Holdings Corporation | ||||||||
| 644,000 | 5.875%, 9/30/2016d | 712,698 | ||||||
| 284,000 | 4.050%, 7/1/2023 | 278,387 | ||||||
| Korea Western Power Company, Ltd. | ||||||||
| 987,000 | 2.875%, 10/10/2018d | 981,264 | ||||||
| MidAmerican Energy Holdings Company | ||||||||
| 720,000 | 1.100%, 5/15/2017d | 716,106 | ||||||
| 862,000 | 5.750%, 4/1/2018 | 983,967 | ||||||
| 510,000 | 6.500%, 9/15/2037 | 592,385 | ||||||
| NextEra Energy Capital Holdings, Inc. | ||||||||
| 765,000 | 1.200%, 6/1/2015 | 768,920 | ||||||
| NiSource Finance Corporation | ||||||||
| 286,000 | 6.400%, 3/15/2018 | 329,134 | ||||||
| 850,000 | 6.800%, 1/15/2019 | 989,223 | ||||||
| Northeast Utilities | ||||||||
| 435,000 | 1.450%, 5/1/2018 | 421,315 | ||||||
| NRG Energy, Inc. | ||||||||
| 1,500,000 | 6.625%, 3/15/2023 | 1,511,250 | ||||||
| ONEOK Partners, LP | ||||||||
| 596,000 | 8.625%, 3/1/2019 | 747,491 | ||||||
| Pacific Gas & Electric Company | ||||||||
| 895,000 | 5.625%, 11/30/2017 | 1,014,013 | ||||||
| PPL Capital Funding, Inc. | ||||||||
| 1,120,000 | 1.900%, 6/1/2018 | 1,093,643 | ||||||
| 280,000 | 3.500%, 12/1/2022 | 264,435 | ||||||
| Sempra Energy | ||||||||
| 965,000 | 6.150%, 6/15/2018 | 1,107,797 | ||||||
| Spectra Energy Partners, LP | ||||||||
| 282,000 | 2.950%, 9/25/2018 | 285,842 | ||||||
| 282,000 | 4.750%, 3/15/2024 | 287,472 | ||||||
| Williams Partners, LP | ||||||||
| 255,000 | 7.250%, 2/1/2017 | 294,051 | ||||||
|
| |||||||
| Total | 25,189,355 | |||||||
|
| |||||||
| Total Long-Term Fixed Income (cost $1,165,180,821) | 1,161,656,689 | |||||||
|
| |||||||
| Shares | Common Stock (17.8%) | |||||||
| Consumer Discretionary (2.6%) | ||||||||
| 18,406 | Amazon.com, Inc.j | 7,340,129 | ||||||
| 9,200 | AutoZone, Inc.j | 4,397,048 | ||||||
| 18,300 | Barnes & Noble, Inc.j | 273,585 | ||||||
| 29,900 | Best Buy Company, Inc. | 1,192,412 | ||||||
| 6,600 | Bloomin’ Brands, Inc.j | 158,466 | ||||||
| 37,800 | Cablevision Systems Corporation | 677,754 | ||||||
| 31,050 | CBS Corporation | 1,979,127 | ||||||
| 2,850 | Charter Communications, Inc.j | 389,766 | ||||||
| 15,680 | Cheesecake Factory, Inc. | 756,874 | ||||||
| 5,100 | Children’s Place Retail Stores, Inc.j | 290,547 | ||||||
| 185,313 | Comcast Corporation | 9,629,790 | ||||||
| 13,600 | Crocs, Inc.j | 216,512 | ||||||
| 12,000 | Dana Holding Corporation | 235,440 | ||||||
| 73,369 | Delphi Automotive plc | 4,411,678 | ||||||
| 8,650 | DISH Network Corporationj | 501,008 | ||||||
| 4,307 | Finish Line, Inc. | 121,328 | ||||||
| 108,000 | Ford Motor Company | 1,666,440 | ||||||
| 19,300 | Francesca’s Holdings Corporationj | 355,313 | ||||||
| 11,900 | Gannett Company, Inc. | 352,002 | ||||||
| 3,600 | General Motors Companyj | 147,132 | ||||||
| 5,080 | GNC Holdings, Inc. | 296,926 | ||||||
| 2,900 | Harley-Davidson, Inc. | 200,796 | ||||||
| 4,300 | Harman International Industries, Inc. | 351,955 | ||||||
| 4,884 | Hasbro, Inc. | 268,669 | ||||||
| 61,900 | Home Depot, Inc. | 5,096,846 | ||||||
| 18,785 | Ignite Restaurant Group, Inc.j | 234,813 | ||||||
| 4,600 | iRobot Corporationj | 159,942 | ||||||
| 3,300 | ITT Educational Services, Inc.g,j | 110,814 | ||||||
| 16,300 | Kohl’s Corporation | 925,025 | ||||||
| 103,076 | Las Vegas Sands Corporation | 8,129,604 | ||||||
| 17,294 | LeapFrog Enterprises, Inc.g,j | 137,314 | ||||||
| 14,653 | LifeLock, Inc.j | 240,456 | ||||||
| 122,330 | Lowe’s Companies, Inc. | 6,061,451 | ||||||
| 5,320 | M/I Homes, Inc.j | 135,394 | ||||||
| 17,600 | Macy’s, Inc. | 939,840 | ||||||
| 6,700 | Marriott International, Inc. | 330,712 | ||||||
| 6,800 | Marriott Vacations Worldwide Corporationj | 358,768 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
145
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (17.8%) | Value | ||||||
| Consumer Discretionary (2.6%) - continued | ||||||||
| 21,867 | MDC Partners, Inc. | $ | 557,827 | |||||
| 7,470 | Meredith Corporationg | 386,946 | ||||||
| 4,050 | Michael Kors Holdings, Ltd.j | 328,820 | ||||||
| 109,390 | News Corporation | 3,784,894 | ||||||
| 11,660 | Nexstar Broadcasting Group, Inc. | 649,812 | ||||||
| 62,500 | NIKE, Inc. | 4,915,000 | ||||||
| 2,800 | Noodles & Companyg,j | 100,576 | ||||||
| 5,900 | Omnicom Group, Inc. | 438,783 | ||||||
| 13,360 | Papa John’s International, Inc. | 606,544 | ||||||
| 9,379 | Pier 1 Imports, Inc. | 216,467 | ||||||
| 300 | Priceline.com, Inc.j | 348,720 | ||||||
| 9,800 | Regal Entertainment Groupg | 190,610 | ||||||
| 6,300 | Scientific Games Corporationj | 106,659 | ||||||
| 4,650 | Scripps Networks Interactive, Inc. | 401,806 | ||||||
| 6,600 | Signet Jewelers, Ltd. | 519,420 | ||||||
| 30,200 | Smith & Wesson Holding Corporationg,j | 407,398 | ||||||
| 14,100 | Starwood Hotels & Resorts Worldwide, Inc. | 1,120,245 | ||||||
| 6,300 | Sturm, Ruger & Company, Inc.g | 460,467 | ||||||
| 3,300 | Target Corporation | 208,791 | ||||||
| 6,500 | Tempur-Pedic International, Inc.j | 350,740 | ||||||
| 5,000 | Tenneco, Inc.j | 282,850 | ||||||
| 31,340 | Time Warner Cable, Inc. | 4,246,570 | ||||||
| 5,500 | TJX Companies, Inc. | 350,515 | ||||||
| 9,450 | Toll Brothers, Inc.j | 349,650 | ||||||
| 25,330 | Tuesday Morning Corporationj | 404,267 | ||||||
| 122,750 | Twenty-First Century Fox, Inc. | 4,318,345 | ||||||
| 4,500 | Urban Outfitters, Inc.j | 166,950 | ||||||
| 16,100 | Viacom, Inc. | 1,406,174 | ||||||
| 9,600 | Weight Watchers International, Inc.g | 316,128 | ||||||
| 15,900 | Wyndham Worldwide Corporation | 1,171,671 | ||||||
|
| |||||||
| Total | 88,185,321 | |||||||
|
| |||||||
| Consumer Staples (1.0%) | ||||||||
| 33,900 | Altria Group, Inc. | 1,301,421 | ||||||
| 3,061 | Andersons, Inc. | 272,949 | ||||||
| 21,100 | Anheuser-Busch InBev NV ADR | 2,246,306 | ||||||
| 8,556 | Annie’s, Inc.g,j | 368,250 | ||||||
| 37,200 | Archer-Daniels-Midland Company | 1,614,480 | ||||||
| 3,500 | Brown-Forman Corporation | 264,495 | ||||||
| 23,600 | Bunge, Ltd. | 1,937,796 | ||||||
| 2,800 | Campbell Soup Company | 121,184 | ||||||
| 18,500 | Colgate-Palmolive Company | 1,206,385 | ||||||
| 95,570 | CVS Caremark Corporation | 6,839,945 | ||||||
| 1,128 | Energizer Holdings, Inc. | 122,095 | ||||||
| 30,738 | Ingredion, Inc. | 2,104,323 | ||||||
| 19,850 | Kimberly-Clark Corporation | 2,073,531 | ||||||
| 20,063 | Kraft Foods Group, Inc. | 1,081,797 | ||||||
| 28,600 | Kroger Company | 1,130,558 | ||||||
| 86,689 | Mondelez International, Inc. | 3,060,122 | ||||||
| 37,600 | Nestle SA | 2,755,706 | ||||||
| 22,258 | Philip Morris International, Inc. | 1,939,340 | ||||||
| 3,200 | Prestige Brands Holdings, Inc.j | 114,560 | ||||||
| 14,600 | Procter & Gamble Company | 1,188,586 | ||||||
| 43,300 | Rite Aid Corporationj | 219,098 | ||||||
| 26,600 | Safeway, Inc. | 866,362 | ||||||
| 9,900 | Wal-Mart Stores, Inc. | 779,031 | ||||||
| 37,540 | WhiteWave Foods Companyj | 861,168 | ||||||
|
| |||||||
| Total | 34,469,488 | |||||||
|
| |||||||
| Energy (2.4%) | ||||||||
| 150,800 | Alpha Natural Resources, Inc.j | 1,076,712 | ||||||
| 18,400 | Anadarko Petroleum Corporation | 1,459,488 | ||||||
| 1,470 | Atwood Oceanics, Inc.j | 78,483 | ||||||
| 1,800 | Bristow Group, Inc. | 135,108 | ||||||
| 4,800 | C&J Energy Services, Inc.j | 110,880 | ||||||
| 1,565 | Cabot Oil & Gas Corporation | 60,659 | ||||||
| 985 | Cameron International Corporationj | 58,637 | ||||||
| 130 | CARBO Ceramics, Inc. | 15,149 | ||||||
| 42,550 | Chevron Corporation | 5,314,920 | ||||||
| 720 | Cimarex Energy Company | 75,535 | ||||||
| 19,700 | Cloud Peak Energy, Inc.j | 354,600 | ||||||
| 51,500 | Cobalt International Energy, Inc.j | 847,175 | ||||||
| 10,180 | Concho Resources, Inc.j | 1,099,440 | ||||||
| 83,500 | Consol Energy, Inc. | 3,176,340 | ||||||
| 4,120 | Denbury Resources, Inc.j | 67,692 | ||||||
| 17,000 | Dril-Quip, Inc.j | 1,868,810 | ||||||
| 13,370 | Energy XXI, Ltd. | 361,792 | ||||||
| 1,050 | Ensco plc | 60,039 | ||||||
| 39,516 | EOG Resources, Inc. | 6,632,365 | ||||||
| 63,840 | EQT Corporation | 5,731,555 | ||||||
| 6,800 | Exterran Holdings, Inc.j | 232,560 | ||||||
| 34,700 | Exxon Mobil Corporation | 3,511,640 | ||||||
| 300 | Frank’s International NV | 8,100 | ||||||
| 1,000 | Helmerich & Payne, Inc. | 84,080 | ||||||
| 7,285 | HollyFrontier Corporation | 361,992 | ||||||
| 22,000 | Key Energy Services, Inc.j | 173,800 | ||||||
| 295,213 | Marathon Oil Corporation | 10,421,019 | ||||||
| 1,600 | Marathon Petroleum Corporation | 146,768 | ||||||
| 46,400 | Nabors Industries, Ltd. | 788,336 | ||||||
| 28,300 | National Oilwell Varco, Inc. | 2,250,699 | ||||||
| 1,170 | Newfield Exploration Companyj | 28,817 | ||||||
| 1,650 | Noble Corporation | 61,826 | ||||||
| 1,100 | Noble Energy, Inc. | 74,921 | ||||||
| 27,640 | Oasis Petroleum, Inc.j | 1,298,251 | ||||||
| 11,900 | Occidental Petroleum Corporation | 1,131,690 | ||||||
| 9,190 | Oceaneering International, Inc. | 724,907 | ||||||
| 830 | Oil States International, Inc.j | 84,428 | ||||||
| 53,000 | Peabody Energy Corporation | 1,035,090 | ||||||
| 41,300 | Petroleo Brasileiro SA ADR | 569,114 | ||||||
| 385 | Pioneer Natural Resources Company | 70,867 | ||||||
| 740 | Range Resources Corporation | 62,389 | ||||||
| 26,550 | Rex Energy Corporationj | 523,301 | ||||||
| 9,040 | Rosetta Resources, Inc.j | 434,282 | ||||||
| 1,500 | Rowan Companies plcj | 53,040 | ||||||
| 111,350 | Schlumberger, Ltd. | 10,033,748 | ||||||
| 16,560 | SM Energy Company | 1,376,302 | ||||||
| 18,000 | Southwestern Energy Companyj | 707,940 | ||||||
| 3,630 | Superior Energy Services, Inc.j | 96,594 | ||||||
| 107,200 | Total SA ADR | 6,568,144 | ||||||
| 21,600 | Valero Energy Corporation | 1,088,640 | ||||||
| 420,161 | Weatherford International, Ltd.j | 6,508,294 | ||||||
| 950 | Whiting Petroleum Corporationj | 58,777 | ||||||
|
| |||||||
| Total | 79,155,735 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
146
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (17.8%) | Value | ||||||
| Financials (3.7%) | ||||||||
| 40,350 | ACE, Ltd. | $ | 4,177,435 | |||||
| 3,673 | Affiliated Managers Group, Inc.j | 796,600 | ||||||
| 3,650 | Allied World Assurance Company Holdings AG | 411,757 | ||||||
| 39,330 | Allstate Corporation | 2,145,058 | ||||||
| 5,500 | Altisource Residential Corporation | 165,605 | ||||||
| 4,330 | American Assets Trust, Inc. | 136,092 | ||||||
| 27,200 | American International Group, Inc. | 1,388,560 | ||||||
| 6,800 | AmTrust Financial Services, Inc.g | 222,292 | ||||||
| 3,230 | Aspen Insurance Holdings, Ltd. | 133,431 | ||||||
| 6,700 | Axis Capital Holdings, Ltd. | 318,719 | ||||||
| 432,750 | Bank of America Corporation | 6,737,917 | ||||||
| 6,900 | Banner Corporation | 309,258 | ||||||
| 12,000 | BBCN Bancorp, Inc. | 199,080 | ||||||
| 25,200 | Berkshire Hathaway, Inc.j | 2,987,712 | ||||||
| 7,397 | Boston Properties, Inc. | 742,437 | ||||||
| 9,750 | Camden Property Trust | 554,580 | ||||||
| 7,100 | Cash America International, Inc. | 271,930 | ||||||
| 202,498 | Citigroup, Inc. | 10,552,171 | ||||||
| 4,662 | CNA Financial Corporation | 199,953 | ||||||
| 12,620 | CNO Financial Group, Inc. | 223,248 | ||||||
| 6,000 | Columbia Banking System, Inc. | 165,060 | ||||||
| 8,800 | Comerica, Inc. | 418,352 | ||||||
| 18,140 | DCT Industrial Trust, Inc. | 129,338 | ||||||
| 16,900 | DDR Corporation | 259,753 | ||||||
| 38,900 | Deutsche Bank AG | 1,876,536 | ||||||
| 10,000 | Discover Financial Services | 559,500 | ||||||
| 10,090 | Education Realty Trust, Inc. | 88,994 | ||||||
| 13,569 | Equity Residential | 703,824 | ||||||
| 5,900 | Evercore Partners, Inc. | 352,702 | ||||||
| 2,640 | Extra Space Storage, Inc. | 111,223 | ||||||
| 9,100 | F.N.B. Corporation | 114,842 | ||||||
| 57,600 | Fifth Third Bancorp | 1,211,328 | ||||||
| 26,700 | First Horizon National Corporation | 311,055 | ||||||
| 6,400 | First Industrial Realty Trust, Inc. | 111,680 | ||||||
| 33,000 | First Niagara Financial Group, Inc. | 350,460 | ||||||
| 7,900 | First Republic Bank | 413,565 | ||||||
| 13,900 | Franklin Street Properties Corporation | 166,105 | ||||||
| 14,200 | Fulton Financial Corporation | 185,736 | ||||||
| 7,400 | FXCM, Inc.g | 132,016 | ||||||
| 5,400 | Gaming and Leisure Properties, Inc.j | 274,374 | ||||||
| 15,880 | Hanmi Financial Corporation | 347,613 | ||||||
| 13,700 | Hatteras Financial Corporation | 223,858 | ||||||
| 11,608 | HCC Insurance Holdings, Inc. | 535,593 | ||||||
| 8,149 | Health Care REIT, Inc. | 436,542 | ||||||
| 30,948 | Host Hotels & Resorts, Inc. | 601,629 | ||||||
| 160,850 | Huntington Bancshares, Inc. | 1,552,202 | ||||||
| 100,150 | Invesco, Ltd. | 3,645,460 | ||||||
| 117,000 | iShares Barclays 1-3 Year Credit Bond Fund | 12,338,820 | ||||||
| 12,300 | iShares Russell 2000 Index Fund | 1,418,313 | ||||||
| 86,664 | J.P. Morgan Chase & Company | 5,068,111 | ||||||
| 25,550 | KeyCorp | 342,881 | ||||||
| 22,832 | Kimco Realty Corporation | 450,932 | ||||||
| 9,638 | Lazard, Ltd. | 436,794 | ||||||
| 2,950 | M&T Bank Corporationg | 343,439 | ||||||
| 8,850 | Macerich Company | 521,177 | ||||||
| 7,850 | MasterCard, Inc. | 6,558,361 | ||||||
| 124,920 | MetLife, Inc. | 6,735,686 | ||||||
| 7,700 | Montpelier Re Holdings, Inc. | 224,070 | ||||||
| 136,410 | Morgan Stanley | 4,277,818 | ||||||
| 13,100 | NASDAQ OMX Group, Inc. | 521,380 | ||||||
| 6,900 | Northern Trust Corporation | 427,041 | ||||||
| 7,290 | Parkway Properties, Inc. | 140,624 | ||||||
| 5,070 | Pebblebrook Hotel Trust | 155,953 | ||||||
| 10,600 | PHH Corporationj | 258,110 | ||||||
| 15,150 | Piedmont Office Realty Trust, Inc. | 250,278 | ||||||
| 4,200 | Portfolio Recovery Associates, Inc.g,j | 221,928 | ||||||
| 6,800 | Progressive Corporation | 185,436 | ||||||
| 12,300 | Prologis, Inc. | 454,485 | ||||||
| 7,500 | Protective Life Corporation | 379,950 | ||||||
| 15,000 | Prudential Financial, Inc. | 1,383,300 | ||||||
| 2,851 | Public Storage, Inc. | 429,133 | ||||||
| 4,200 | Raymond James Financial, Inc. | 219,198 | ||||||
| 8,200 | RLJ Lodging Trust | 199,424 | ||||||
| 8,098 | Simon Property Group, Inc. | 1,232,192 | ||||||
| 12,000 | SLM Corporation | 315,360 | ||||||
| 103,450 | SPDR Euro Stoxx 50 ETF | 4,365,590 | ||||||
| 12,000 | SPDR Gold Trustg,j | 1,394,040 | ||||||
| 42,400 | SPDR S&P 500 ETF Trust | 7,830,008 | ||||||
| 2,020 | SPDR S&P Biotech ETF | 263,004 | ||||||
| 44,950 | State Street Corporation | 3,298,880 | ||||||
| 7,235 | Stewart Information Services Corporation | 233,473 | ||||||
| 27,360 | SVB Financial Groupj | 2,868,970 | ||||||
| 8,700 | Tanger Factory Outlet Centers, Inc. | 278,574 | ||||||
| 10,100 | TCF Financial Corporation | 164,125 | ||||||
| 13,973 | Terreno Realty Corporation | 247,322 | ||||||
| 5,820 | Texas Capital Bancshares, Inc.j | 362,004 | ||||||
| 22,450 | Visa, Inc. | 4,999,166 | ||||||
| 6,867 | Vornado Realty Trust | 609,721 | ||||||
| 7,800 | W.R. Berkley Corporation | 338,442 | ||||||
| 83,530 | Wells Fargo & Company | 3,792,262 | ||||||
| 28,453 | Zions Bancorporation | 852,452 | ||||||
|
| |||||||
| Total | 125,341,402 | |||||||
|
| |||||||
| Health Care (2.1%) | ||||||||
| 5,000 | Abbott Laboratories | 191,650 | ||||||
| 7,800 | Acorda Therapeutics, Inc.j | 227,760 | ||||||
| 16,850 | Akorn, Inc.j | 415,015 | ||||||
| 6,740 | Align Technology, Inc.j | 385,191 | ||||||
| 26,800 | Allscripts Healthcare Solutions, Inc.j | 414,328 | ||||||
| 3,900 | AmerisourceBergen Corporation | 274,209 | ||||||
| 70,680 | Baxter International, Inc. | 4,915,794 | ||||||
| 27,300 | BioScrip, Inc.j | 202,020 | ||||||
| 2,722 | C.R. Bard, Inc. | 364,585 | ||||||
| 2,400 | Catamaran Corporationj | 113,952 | ||||||
| 7,600 | Centene Corporationj | 448,020 | ||||||
| 3,200 | Charles River Laboratories International, Inc.j | 169,728 | ||||||
| 16,400 | Community Health Systems, Inc.j | 644,028 | ||||||
| 162,600 | Covidien plc | 11,073,060 | ||||||
| 10,300 | DENTSPLY International, Inc. | 499,344 | ||||||
| 15,680 | ExamWorks Group, Inc.j | 468,362 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
147
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (17.8%) | Value | ||||||
| Health Care (2.1%) - continued | ||||||||
| 124,700 | Express Scripts Holding Companyj | $ | 8,758,928 | |||||
| 137,600 | Gilead Sciences, Inc.j | 10,340,640 | ||||||
| 11,900 | HCA Holdings, Inc.j | 567,749 | ||||||
| 10,500 | Healthways, Inc.j | 161,175 | ||||||
| 5,600 | Illumina, Inc.g,j | 619,472 | ||||||
| 890 | Magellan Health Services, Inc.j | 53,320 | ||||||
| 11,600 | McKesson Corporation | 1,872,240 | ||||||
| 154,420 | Merck & Company, Inc. | 7,728,721 | ||||||
| 6,100 | Molina Healthcare, Inc.j | 211,975 | ||||||
| 9,650 | Neurocrine Biosciences, Inc.j | 90,131 | ||||||
| 13,813 | NuVasive, Inc.j | 446,574 | ||||||
| 7,200 | PAREXEL International Corporationj | 325,296 | ||||||
| 52,781 | PDL BioPharma, Inc.g | 445,472 | ||||||
| 11,500 | PerkinElmer, Inc. | 474,145 | ||||||
| 20,202 | Perrigo Company plc | 3,100,199 | ||||||
| 12,800 | Questcor Pharmaceuticals, Inc.g | 696,960 | ||||||
| 2,800 | ResMed, Inc.g | 131,824 | ||||||
| 82,170 | Sanofi ADR | 4,406,777 | ||||||
| 10,900 | Thoratec Corporationj | 398,940 | ||||||
| 8,700 | United Therapeutics Corporationj | 983,796 | ||||||
| 57,308 | UnitedHealth Group, Inc. | 4,315,292 | ||||||
| 6,200 | Universal Health Services, Inc. | 503,812 | ||||||
| 300 | Veeva Systems, Inc.j | 9,630 | ||||||
| 7,800 | Waters Corporationj | 780,000 | ||||||
| 9,118 | Zimmer Holdings, Inc. | 849,706 | ||||||
|
| |||||||
| Total | 69,079,820 | |||||||
|
| |||||||
| Industrials (1.9%) | ||||||||
| 9,000 | 3M Company | 1,262,250 | ||||||
| 6,520 | Actuant Corporation | 238,893 | ||||||
| 3,910 | Acuity Brands, Inc. | 427,441 | ||||||
| 23,050 | ADT Corporation | 932,834 | ||||||
| 17,200 | AGCO Corporation | 1,018,068 | ||||||
| 4,967 | Allegion plcj | 219,492 | ||||||
| 9,200 | AMETEK, Inc. | 484,564 | ||||||
| 6,500 | Apogee Enterprises, Inc. | 233,415 | ||||||
| 4,700 | Arkansas Best Corporation | 158,296 | ||||||
| 9,900 | Armstrong World Industries, Inc.j | 570,339 | ||||||
| 15,100 | Avis Budget Group, Inc.j | 610,342 | ||||||
| 6,200 | Babcock & Wilcox Company | 211,978 | ||||||
| 48,300 | Boeing Company | 6,592,467 | ||||||
| 12,099 | Briggs & Stratton Corporation | 263,274 | ||||||
| 5,750 | CLARCOR, Inc. | 370,012 | ||||||
| 3,900 | Colfax Corporationj | 248,391 | ||||||
| 144,321 | CSX Corporation | 4,152,115 | ||||||
| 6,700 | Cummins, Inc. | 944,499 | ||||||
| 5,700 | Deluxe Corporation | 297,483 | ||||||
| 13,140 | DigitalGlobe, Inc.j | 540,711 | ||||||
| 10,600 | Dover Corporation | 1,023,324 | ||||||
| 15,240 | EMCOR Group, Inc. | 646,786 | ||||||
| 3,400 | EnerSys, Inc. | 238,306 | ||||||
| 2,000 | Esterline Technologies Corporationj | 203,920 | ||||||
| 19,000 | Exelis, Inc. | 362,140 | ||||||
| 5,400 | Flowserve Corporation | 425,682 | ||||||
| 15,000 | Fluor Corporation | 1,204,350 | ||||||
| 12,800 | Foster Wheeler AGj | 422,656 | ||||||
| 5,190 | GATX Corporation | 270,762 | ||||||
| 15,350 | HNI Corporation | 596,040 | ||||||
| 89,061 | Honeywell International, Inc. | 8,137,504 | ||||||
| 3,500 | Huntington Ingalls Industries, Inc. | 315,035 | ||||||
| 2,200 | IHS, Inc.j | 263,340 | ||||||
| 61,700 | Ingersoll-Rand plc | 3,800,720 | ||||||
| 127,550 | Jacobs Engineering Group, Inc.j | 8,034,374 | ||||||
| 16,260 | Korn/Ferry Internationalj | 424,711 | ||||||
| 8,370 | Landstar System, Inc. | 480,857 | ||||||
| 1,700 | Lindsay Manufacturing Companyg | 140,675 | ||||||
| 3,700 | Lockheed Martin Corporation | 550,042 | ||||||
| 14,204 | Manitowoc Company, Inc. | 331,237 | ||||||
| 22,500 | Manpower, Inc. | 1,931,850 | ||||||
| 5,300 | Matson, Inc. | 138,383 | ||||||
| 10,800 | MRC Global, Inc.j | 348,408 | ||||||
| 13,000 | Mueller Water Products, Inc. | 121,810 | ||||||
| 5,600 | Old Dominion Freight Line, Inc.j | 296,912 | ||||||
| 27,817 | Oshkosh Corporation | 1,401,420 | ||||||
| 3,602 | Parker Hannifin Corporation | 463,361 | ||||||
| 32,140 | Pentair, Ltd. | 2,496,314 | ||||||
| 10,700 | Quanta Services, Inc.j | 337,692 | ||||||
| 20,300 | Republic Airways Holdings, Inc.j | 217,007 | ||||||
| 12,730 | Ritchie Brothers Auctioneers, Inc.g | 291,899 | ||||||
| 1,200 | Rockwell Automation, Inc. | 141,792 | ||||||
| 39,950 | Southwest Airlines Company | 752,658 | ||||||
| 12,300 | Spirit Airlines, Inc.j | 558,543 | ||||||
| 4,450 | Tennant Company | 301,755 | ||||||
| 11,000 | Titan International, Inc. | 197,780 | ||||||
| 31,000 | Union Pacific Corporation | 5,208,000 | ||||||
| 4,611 | United Stationers, Inc. | 211,599 | ||||||
| 2,700 | United Technologies Corporation | 307,260 | ||||||
| 15,700 | Wabash National Corporationj | 193,895 | ||||||
| 5,700 | WESCO International, Inc.j | 519,099 | ||||||
|
| |||||||
| Total | 64,086,762 | |||||||
|
| |||||||
| Information Technology (3.1%) | ||||||||
| 25,700 | Accenture plc | 2,113,054 | ||||||
| 31,600 | Activision Blizzard, Inc. | 563,428 | ||||||
| 4,200 | Alliance Data Systems Corporationg,j | 1,104,306 | ||||||
| 11,800 | Amdocs, Ltd. | 486,632 | ||||||
| 1,700 | Anixter International, Inc. | 152,728 | ||||||
| 21,912 | Apple, Inc. | 12,295,042 | ||||||
| 32,505 | Applied Materials, Inc. | 575,013 | ||||||
| 13,800 | Arris Group, Inc.j | 336,237 | ||||||
| 3,000 | Aspen Technology, Inc.j | 125,400 | ||||||
| 74,920 | Atmel Corporationj | 586,624 | ||||||
| 8,350 | Autodesk, Inc.j | 420,256 | ||||||
| 10,200 | AVG Technologies NVj | 175,542 | ||||||
| 11,800 | Avnet, Inc. | 520,498 | ||||||
| 6,510 | Broadridge Financial Solutions, Inc. | 257,275 | ||||||
| 64,700 | Brocade Communications Systems, Inc.j | 573,889 | ||||||
| 304,010 | Cisco Systems, Inc. | 6,825,024 | ||||||
| 35,231 | CoreLogic, Inc.j | 1,251,757 | ||||||
| 8,187 | DST Systems, Inc. | 742,888 | ||||||
| 10,554 | E2open, Inc.g,j | 252,346 | ||||||
| 5,750 | eBay, Inc.j | 315,618 | ||||||
| 5,500 | Ellie Mae, Inc.j | 147,785 | ||||||
| 108,600 | EMC Corporation | 2,731,290 | ||||||
| 135,500 | Facebook, Inc.j | 7,406,430 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
148
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (17.8%) | Value | ||||||
| Information Technology (3.1%) - continued | ||||||||
| 17,200 | Fairchild Semiconductor International, Inc.j | $ | 229,620 | |||||
| 2,600 | FEI Company | 232,336 | ||||||
| 4,800 | FLIR Systems, Inc. | 144,480 | ||||||
| 5,600 | Gartner, Inc.j | 397,880 | ||||||
| 6,100 | Genpact, Ltd.j | 112,057 | ||||||
| 11,169 | Google, Inc.j | 12,517,210 | ||||||
| 8,440 | Guidewire Software, Inc.j | 414,151 | ||||||
| 3,400 | iGATE Corporationj | 136,544 | ||||||
| 25,030 | Informatica Corporationj | 1,038,745 | ||||||
| 15,200 | InterDigital, Inc. | 448,248 | ||||||
| 4,700 | International Business Machines Corporation | 881,579 | ||||||
| 9,100 | Ixiaj | 121,121 | ||||||
| 10,500 | j2 Global, Inc.g | 525,105 | ||||||
| 14,357 | Juniper Networks, Inc.j | 324,037 | ||||||
| 2,200 | Leidos Holdings, Inc. | 102,278 | ||||||
| 6,613 | Lexmark International, Inc.g | 234,894 | ||||||
| 32,480 | Microsoft Corporation | 1,215,726 | ||||||
| 20,400 | Monster Worldwide, Inc.j | 145,452 | ||||||
| 131,937 | NetApp, Inc. | 5,427,888 | ||||||
| 7,300 | NeuStar, Inc.j | 363,978 | ||||||
| 40,756 | NVIDIA Corporation | 652,911 | ||||||
| 55,100 | Oracle Corporation | 2,108,126 | ||||||
| 7,917 | Plantronics, Inc. | 367,745 | ||||||
| 29,800 | Polycom, Inc.j | 334,654 | ||||||
| 72,627 | QUALCOMM, Inc. | 5,392,555 | ||||||
| 60,350 | Salesforce.com, Inc.j | 3,330,717 | ||||||
| 6,466 | Sapient Corporationj | 112,250 | ||||||
| 12,000 | SunPower Corporationg,j | 357,720 | ||||||
| 208,430 | Symantec Corporation | 4,914,779 | ||||||
| 20,300 | Take-Two Interactive Software, Inc.j | 352,611 | ||||||
| 52,000 | Teradata Corporationj | 2,365,480 | ||||||
| 41,445 | Teradyne, Inc.j | 730,261 | ||||||
| 124,280 | Texas Instruments, Inc. | 5,457,135 | ||||||
| 14,300 | Trimble Navigation, Ltd.j | 496,210 | ||||||
| 34,040 | TriQuint Semiconductor, Inc.j | 283,894 | ||||||
| 50 | Twitter, Inc.j | 3,183 | ||||||
| 7,000 | Ubiquiti Networks, Inc.g,j | 321,720 | ||||||
| 11,069 | Virtusa Corporationj | 421,618 | ||||||
| 24,970 | Vishay Intertechnology, Inc.j | 331,102 | ||||||
| 60,900 | VMware, Inc.j | 5,463,339 | ||||||
| 82,700 | Xerox Corporation | 1,006,459 | ||||||
| 61,628 | Xilinx, Inc. | 2,829,958 | ||||||
| 6,000 | Xoom Corporationj | 164,220 | ||||||
|
| |||||||
| Total | 102,771,038 | |||||||
|
| |||||||
| Materials (0.5%) | ||||||||
| 2,800 | AEP Industries, Inc.j | 147,924 | ||||||
| 56,519 | Allied Nevada Gold Corporationg,j | 200,642 | ||||||
| 33,600 | Celanese Corporation | 1,858,416 | ||||||
| 3,000 | CF Industries Holdings, Inc. | 699,120 | ||||||
| 17,100 | Cliffs Natural Resources, Inc.g | 448,191 | ||||||
| 19,700 | Coeur Mining, Inc.j | 213,745 | ||||||
| 50,410 | Dow Chemical Company | 2,238,204 | ||||||
| 4,920 | Eagle Materials, Inc. | 380,956 | ||||||
| 5,600 | Eastman Chemical Company | 451,920 | ||||||
| 12,680 | H.B. Fuller Company | 659,867 | ||||||
| 2,825 | Innophos Holdings, Inc. | 137,295 | ||||||
| 40,700 | Louisiana-Pacific Corporationj | 753,357 | ||||||
| 11,540 | Materials Select Sector SPDR Fund | 533,379 | ||||||
| 15,500 | Mosaic Company | 732,685 | ||||||
| 37,720 | Nucor Corporation | 2,013,494 | ||||||
| 10,250 | Owens-Illinois, Inc.j | 366,745 | ||||||
| 8,200 | Packaging Corporation of America | 518,896 | ||||||
| 5,000 | PPG Industries, Inc. | 948,300 | ||||||
| 2,100 | Schweitzer-Mauduit International, Inc. | 108,087 | ||||||
| 6,000 | Sigma-Aldrich Corporation | 564,060 | ||||||
| 8,154 | Silgan Holdings, Inc. | 391,555 | ||||||
| 26,728 | Southern Copper Corporation | 767,361 | ||||||
| 24,230 | Steel Dynamics, Inc. | 473,454 | ||||||
| 10,000 | Stillwater Mining Companyj | 123,400 | ||||||
| 59,950 | Teck Resources, Ltd. | 1,559,299 | ||||||
| 1,600 | Valspar Corporation | 114,064 | ||||||
| 15,800 | Walter Energy, Inc.g | 262,754 | ||||||
| 4,400 | Worthington Industries, Inc. | 185,152 | ||||||
|
| |||||||
| Total | 17,852,322 | |||||||
|
| |||||||
| Telecommunications Services (0.2%) | ||||||||
| 42,700 | AT&T, Inc. | 1,501,332 | ||||||
| 4,245 | Cogent Communications Group, Inc. | 171,540 | ||||||
| 74,689 | Verizon Communications, Inc. | 3,670,218 | ||||||
|
| |||||||
| Total | 5,343,090 | |||||||
|
| |||||||
| Utilities (0.3%) | ||||||||
| 5,800 | Calpine Corporationj | 113,158 | ||||||
| 12,700 | CMS Energy Corporation | 339,979 | ||||||
| 117,740 | NiSource, Inc. | 3,871,291 | ||||||
| 7,640 | NorthWestern Corporation | 330,965 | ||||||
| 109,550 | PG&E Corporation | 4,412,674 | ||||||
| 14,620 | PNM Resources, Inc. | 352,635 | ||||||
| 8,650 | Public Service Enterprise Group, Inc. | 277,146 | ||||||
| 15,400 | Southern Company | 633,094 | ||||||
| 7,531 | Southwest Gas Corporation | 421,058 | ||||||
| 25,100 | Wisconsin Energy Corporation | 1,037,634 | ||||||
|
| |||||||
| Total | 11,789,634 | |||||||
|
| |||||||
| Total Common Stock (cost $492,912,122) | 598,074,612 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (1.6%) | ||||||||
| 53,397,848 | Thrivent Cash Management Trust | 53,397,848 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $53,397,848) | 53,397,848 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
149
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares or Principal Amount | Short-Term Investments (16.3%)k | Value | ||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 12,000,000 | 0.045%, 1/3/2014 | $ | 11,999,970 | |||||
| 33,000,000 | 0.043%, 1/8/2014 | 32,999,727 | ||||||
| 35,000,000 | 0.020%, 1/10/2014 | 34,999,825 | ||||||
| 8,707,000 | 0.060%, 1/14/2014 | 8,706,811 | ||||||
| 88,100,000 | 0.031%, 1/15/2014l | 88,098,940 | ||||||
| 27,000,000 | 0.063%, 1/22/2014l | 26,999,006 | ||||||
| 55,200,000 | 0.052%, 1/24/2014 | 55,198,171 | ||||||
| 34,000,000 | 0.060%, 1/29/2014 | 33,998,413 | ||||||
| 15,000,000 | 0.060%, 1/31/2014 | 14,999,250 | ||||||
| 10,000,000 | 0.065%, 2/3/2014 | 9,999,404 | ||||||
| 15,000,000 | 0.077%, 2/5/2014 | 14,998,882 | ||||||
| 46,000,000 | 0.065%, 2/7/2014 | 45,996,927 | ||||||
| 10,000,000 | 0.050%, 2/12/2014 | 9,999,417 | ||||||
| 65,000,000 | 0.067%, 2/21/2014 | 64,993,837 | ||||||
| 25,000,000 | 0.068%, 2/28/2014 | 24,997,261 | ||||||
| 12,000,000 | 0.085%, 3/12/2014l | 11,998,017 | ||||||
| 15,000,000 | 0.107%, 3/19/2014 | 14,996,567 | ||||||
| 12,000,000 | 0.096%, 3/26/2014 | 11,997,317 | ||||||
| 1,600,000 | 0.100%, 4/23/2014l | 1,599,502 | ||||||
| 16,000,000 | 0.120%, 5/28/2014l | 15,992,160 | ||||||
| Federal National Mortgage Association Discount Notes | ||||||||
| 10,000,000 | 0.030%, 1/29/2014 | 9,999,767 | ||||||
| U.S. Treasury Bills | ||||||||
| 1,000,000 | 0.070%, 4/24/2014 | 999,780 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 546,568,951 | |||||||
|
| |||||||
| Total Investments (cost $3,526,178,746) 111.7% | $ | 3,744,447,341 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (11.7%) | (391,468,472 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 3,352,978,869 | ||||||
|
| |||||||
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | All or a portion of the loan is unfunded. |
| c | Denotes investments purchased on a when-issued or delayed delivery basis. |
| d | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2013, the value of these investments was $119,682,303 or 3.6% of total net assets. |
| e | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 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 December 31, 2013. |
Security | Acquisition Date | Cost | ||||||
CoBank ACB, 6/15/2022 | 10/18/2013 | $ | 364,688 | |||||
Edlinc Student Loan Funding Trust, 10/1/2025 | 2/28/2013 | $ | 1,420,028 | |||||
FNA Trust, 1/10/2018 | 4/29/2013 | $ | 1,355,921 | |||||
| g | All or a portion of the security is on loan. |
| h | 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. |
| 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 December 31, 2013, $19,141,511 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. | ||
| AMT | - | Subject to Alternative Minimum Tax | ||
| Auth. | - | Authority | ||
| ETF | - | Exchange Traded Fund. | ||
| G.O. | - | General Obligation | ||
| REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. | ||
| Rev. | - | Revenue | ||
| Ser. | - | Series | ||
| 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 | $ | 239,342,301 | ||
Gross unrealized depreciation | (22,734,899 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 216,607,402 | ||
Cost for federal income tax purposes | $ | 3,527,839,939 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
150
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 8,024,063 | — | 8,024,063 | — | ||||||||||||
Capital Goods | 6,142,296 | — | 6,142,296 | — | ||||||||||||
Communications Services | 50,885,633 | — | 50,885,633 | — | ||||||||||||
Consumer Cyclical | 30,294,855 | — | 30,294,855 | — | ||||||||||||
Consumer Non-Cyclical | 22,023,755 | — | 22,023,755 | — | ||||||||||||
Energy | 11,014,489 | — | 11,014,489 | — | ||||||||||||
Financials | 8,374,317 | — | 8,374,317 | — | ||||||||||||
Technology | 8,109,894 | — | 8,109,894 | — | ||||||||||||
Transportation | 5,512,477 | — | 5,512,477 | — | ||||||||||||
Utilities | 4,997,157 | — | 4,997,157 | — | ||||||||||||
Mutual Funds | ||||||||||||||||
Equity Mutual Funds | 465,986,008 | 465,986,008 | — | — | ||||||||||||
Fixed Income Mutual Funds | 763,384,297 | 763,384,297 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 61,688,940 | — | 58,949,525 | 2,739,415 | ||||||||||||
Basic Materials | 15,634,347 | — | 15,634,347 | — | ||||||||||||
Capital Goods | 9,555,251 | — | 9,555,251 | — | ||||||||||||
Collateralized Mortgage Obligations | 36,554,262 | — | 36,554,262 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 45,765,935 | — | 45,765,935 | — | ||||||||||||
Communications Services | 33,828,324 | — | 33,828,324 | — | ||||||||||||
Consumer Cyclical | 27,908,515 | — | 27,908,515 | — | ||||||||||||
Consumer Non-Cyclical | 41,439,563 | — | 41,439,563 | — | ||||||||||||
Energy | 24,951,035 | — | 24,951,035 | — | ||||||||||||
Financials | 119,372,094 | — | 119,010,175 | 361,919 | ||||||||||||
Foreign Government | 10,809,517 | — | 10,809,517 | — | ||||||||||||
Mortgage-Backed Securities | 375,468,763 | — | 375,468,763 | — | ||||||||||||
Technology | 11,420,797 | — | 11,420,797 | — | ||||||||||||
Transportation | 9,957,514 | — | 9,957,514 | — | ||||||||||||
U.S. Government and Agencies | 218,789,237 | — | 218,789,237 | — | ||||||||||||
U.S. Municipals | 93,323,240 | — | 93,323,240 | — | ||||||||||||
Utilities | 25,189,355 | — | 25,189,355 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 88,185,321 | 88,185,321 | — | — | ||||||||||||
Consumer Staples | 34,469,488 | 31,713,782 | 2,755,706 | — | ||||||||||||
Energy | 79,155,735 | 79,155,735 | — | — | ||||||||||||
Financials | 125,341,402 | 125,341,402 | — | — | ||||||||||||
Health Care | 69,079,820 | 69,079,820 | — | — | ||||||||||||
Industrials | 64,086,762 | 64,086,762 | — | — | ||||||||||||
Information Technology | 102,771,038 | 102,771,038 | — | — | ||||||||||||
Materials | 17,852,322 | 17,852,322 | — | — | ||||||||||||
Telecommunications Services | 5,343,090 | 5,343,090 | — | — | ||||||||||||
Utilities | 11,789,634 | 11,789,634 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 53,397,848 | 53,397,848 | — | — | ||||||||||||
Short-Term Investments | 546,568,951 | — | 546,568,951 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,744,447,341 | $ | 1,878,087,059 | $ | 1,863,258,948 | $ | 3,101,334 | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
151
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 11,584,964 | 5,259,168 | 6,325,796 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 11,584,964 | $ | 5,259,168 | $ | 6,325,796 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 3,446,153 | 3,446,153 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 3,446,153 | $ | 3,446,153 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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 | ) | March 2014 | ($ | 55,050,020 | ) | ($ | 54,953,125 | ) | $ | 96,895 | |||||||||
5-Yr. U.S. Treasury Bond Futures | (830 | ) | March 2014 | (99,592,339 | ) | (99,029,375 | ) | 562,964 | ||||||||||||
10-Yr. U.S. Treasury Bond Futures | (155 | ) | March 2014 | (19,435,075 | ) | (19,072,267 | ) | 362,808 | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | 1,060 | March 2014 | 138,071,205 | 136,011,250 | (2,059,955 | ) | ||||||||||||||
Eurex EURO STOXX 50 Futures | 3,058 | March 2014 | 124,635,189 | 130,960,985 | 6,325,796 | |||||||||||||||
Mini MSCI EAFE Index Futures | 791 | March 2014 | 71,947,592 | 75,848,990 | 3,901,398 | |||||||||||||||
Russell 2000 Index Mini-Futures | 53 | March 2014 | 5,820,317 | 6,155,420 | 335,103 | |||||||||||||||
S&P 400 Index Mini-Futures | (168 | ) | March 2014 | (21,923,580 | ) | (22,501,920 | ) | (578,340 | ) | |||||||||||
S&P 500 Index Futures | (73 | ) | March 2014 | (32,792,217 | ) | (33,600,075 | ) | (807,858 | ) | |||||||||||
Total Futures Contracts | $ | 8,138,811 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | 1,022,667 | ||||
Total Interest Rate Contracts | 1,022,667 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 10,562,297 | ||||
Total Equity Contracts | 10,562,297 | |||||
|
| |||||
Total Asset Derivatives | $ | 11,584,964 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 2,059,955 | ||||
Total Interest Rate Contracts | 2,059,955 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 1,386,198 | ||||
Total Equity Contracts | 1,386,198 | |||||
|
| |||||
Total Liability Derivatives | $ | 3,446,153 | ||||
|
| |||||
| * | 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.
152
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | 59,221,328 | ||||
Total Equity Contracts | 59,421,388 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (113,220 | ) | |||
Total Foreign Exchange Contracts | (113,220 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (12,132,755 | ) | |||
Total Interest Rate Contracts | (12,132,755 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (3,543,721 | ) | |||
Total Credit Contracts | (3,543,721 | ) | ||||
|
| |||||
Total | $ | 43,631,692 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | 1,219,439 | ||||
Total Interest Rate Contracts | 1,219,439 | |||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 12,416,168 | ||||
Total Equity Contracts | 12,416,168 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (551,956 | ) | |||
Total Credit Contracts | (551,956 | ) | ||||
|
| |||||
Total | $ | 13,083,651 | ||||
|
| |||||
The following table presents Moderately Conservative Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 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 | $ | 364,806,438 | 11.5 | % | N/A | N/A | N/A | N/A | 8 | |||||||||||||||||||
Interest Rate | ||||||||||||||||||||||||||||
Contracts | 194,011,525 | 6.1 | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||
Foreign Exchange | ||||||||||||||||||||||||||||
Contracts | N/A | N/A | $ | 13,359 | <0.1 | % | N/A | N/A | N/A | |||||||||||||||||||
Credit Contracts | N/A | N/A | N/A | N/A | $ | 27,124,597 | 0.9 | % | 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.
153
Moderately Conservative Allocation Portfolio
Schedule of Investments as of December 31, 2013
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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Growth and Income Plus^ | $ | 11,582,316 | $ | 270,626 | $ | 13,342,544 | — | $ | — | $ | 270,626 | |||||||||||||
Partner Small Cap Value | 26,974,565 | 749,168 | — | 1,304,921 | 36,890,762 | 594,323 | ||||||||||||||||||
Small Cap Stock | 21,187,884 | 89,161 | — | 1,620,681 | 28,794,314 | 89,161 | ||||||||||||||||||
Partner Mid Cap Value | 31,563,374 | 1,954,337 | — | 2,270,717 | 41,896,321 | 363,706 | ||||||||||||||||||
Mid Cap Stock | 38,403,888 | 166,588 | — | 2,945,977 | 52,035,964 | 166,588 | ||||||||||||||||||
Partner Worldwide Allocation | 136,548,668 | 38,612 | — | 15,847,969 | 158,823,593 | 38,612 | ||||||||||||||||||
Large Cap Value | 91,192,528 | 1,597,221 | — | 7,713,749 | 120,211,070 | 1,597,221 | ||||||||||||||||||
Large Cap Stock | 25,408,870 | 337,139 | 5,000,000 | 2,314,615 | 27,333,984 | 337,139 | ||||||||||||||||||
High Yield | 94,848,428 | 6,110,491 | 2,951,943 | 19,406,171 | 98,379,586 | 6,110,690 | ||||||||||||||||||
Income | 290,807,453 | 10,635,142 | 41,375,052 | 24,101,727 | 249,327,543 | 10,066,165 | ||||||||||||||||||
Limited Maturity Bond | 470,691,974 | 6,727,430 | 57,102,046 | 42,333,099 | 415,677,168 | 6,720,459 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | 24,371,265 | 263,911,560 | 234,884,977 | 53,397,848 | 53,397,848 | 235,258 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | 565,122,509 | 681,070,821 | 1,246,193,330 | — | — | 301,781 | ||||||||||||||||||
Total Value and Income Earned | 1,828,703,722 | 1,282,768,153 | 26,891,729 | |||||||||||||||||||||
| ^ | On August 6, 2013, the Thrivent Asset Allocation Portfolios, as the shareholders of the Thrivent Growth and Income Plus Portfolio, redeemed their shares in-kind. The Growth and Income Plus Portfolio distributed fund securities rather than cash as payment for the redemption of these fund shares. These in-kind transactions were conducted at market value. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
154
Growth and Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Bank Loans (8.8%)a | Value | ||||||
| Basic Materials (0.3%) |
| ||||||
| Fortescue Metals Group, Ltd., Term Loan | ||||||||
| $107,459 | 4.250%, 6/30/2019 | $ | 108,769 | |||||
| Ineos Group Holdings, Ltd., Term Loan | ||||||||
| 107,454 | 4.000%, 5/4/2018 | 107,723 | ||||||
|
| |||||||
| Total | 216,492 | |||||||
|
| |||||||
| Capital Goods (0.6%) | ||||||||
| ADS Waste Holdings, Term Loan | ||||||||
| 107,457 | 4.250%, 10/9/2019 | 107,935 | ||||||
| Berry Plastics Group, Inc., Term Loan | ||||||||
| 53,730 | 3.500%, 2/8/2020 | 53,505 | ||||||
| Rexnord, LLC, Term Loan | ||||||||
| 107,730 | 4.000%, 8/21/2020 | 107,954 | ||||||
| Silver II Borrower, Term Loan | ||||||||
| 105,837 | 4.000%, 12/13/2019 | 105,947 | ||||||
|
| |||||||
| Total | 375,341 | |||||||
|
| |||||||
| Communications Services (2.9%) | ||||||||
| Charter Communications Operating, LLC, Term Loan | ||||||||
| 53,730 | 3.000%, 12/31/2020 | 53,260 | ||||||
| Cincinnati Bell, Inc., Term Loan | ||||||||
| 107,730 | 4.000%, 9/10/2020 | 107,865 | ||||||
| Clear Channel Communications, Inc., Term Loan | ||||||||
| 108,000 | 6.919%, 1/30/2019 | 103,005 | ||||||
| Cricket Communications, Inc., Term Loan | ||||||||
| 80,595 | 4.750%, 3/8/2020 | 80,863 | ||||||
| Cumulus Media Holdings, Inc., Term Loan | ||||||||
| 51,902 | 0.000%, 12/23/2020b,c | 52,162 | ||||||
| Fairpoint Communications, Term Loan | ||||||||
| 107,459 | 7.500%, 2/14/2019 | 110,924 | ||||||
| Grande Communications Networks, LLC, Term Loan | ||||||||
| 107,460 | 4.500%, 5/29/2020 | 107,237 | ||||||
| Integra Telecom Holdings, Inc., Term Loan | ||||||||
| 107,459 | 5.250%, 2/22/2019 | 108,757 | ||||||
| Level 3 Communications, Inc., Term Loan | ||||||||
| 54,000 | 4.000%, 8/1/2019 | 54,247 | ||||||
| LTS Buyer, LLC, Term Loan | ||||||||
| 80,595 | 4.500%, 4/13/2020 | 80,872 | ||||||
| McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
| 96,631 | 9.000%, 3/22/2019 | 98,282 | ||||||
| NEP Broadcasting, LLC, Term Loan | ||||||||
| 107,457 | 4.750%, 1/22/2020 | 107,753 | ||||||
| NTelos, Inc., Term Loan | ||||||||
| 107,456 | 5.750%, 11/9/2019 | 107,635 | ||||||
| Puerto Rico Cable Acquisition Company, Inc., Term Loan | ||||||||
| 122,587 | 5.500%, 7/31/2018 | 122,638 | ||||||
| RCN Corporation, Term Loan | ||||||||
| 107,459 | 4.500%, 3/1/2020 | 108,226 | ||||||
| TNS, Inc., Term Loan | ||||||||
| 52,457 | 5.000%, 2/14/2020 | 52,703 | ||||||
| Univision Communications, Inc., Term Loan | ||||||||
| 107,459 | 4.500%, 2/28/2020 | 107,929 | ||||||
| Virgin Media Investment Holdings, Ltd., Term Loan | ||||||||
| 81,000 | 3.500%, 6/8/2020 | 81,122 | ||||||
| Visant Corporation, Term Loan | ||||||||
| 67,500 | 5.250%, 12/22/2016 | 66,432 | ||||||
| WideOpenWest Finance, LLC, Term Loan | ||||||||
| 94,026 | 4.750%, 4/1/2019 | 94,402 | ||||||
| Zayo Group, LLC, Term Loan | ||||||||
| 94,023 | 4.000%, 7/2/2019 | 94,045 | ||||||
|
| |||||||
| Total | 1,900,359 | |||||||
|
| |||||||
| Consumer Cyclical (1.7%) | ||||||||
| Bally Technologies, Inc., Term Loan | ||||||||
| 85,286 | 4.250%, 11/25/2020 | 85,846 | ||||||
| Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
| 80,797 | 4.250%, 2/23/2017 | 81,504 | ||||||
| Cenveo Corporation, Term Loan | ||||||||
| 42,157 | 6.250%, 2/13/2017 | 42,333 | ||||||
| Ceridian Corporation, Term Loan | ||||||||
| 108,000 | 4.415%, 5/9/2017 | 108,304 | ||||||
| Golden Nugget, Inc., Delayed Draw | ||||||||
| 19,200 | 0.500%, 11/21/2019 | 19,464 | ||||||
| Golden Nugget, Inc., Term Loan | ||||||||
| 44,800 | 5.500%, 11/21/2019 | 45,416 | ||||||
| J.C. Penney Corporation, Inc., Term Loan | ||||||||
| 107,460 | 6.000%, 5/22/2018 | 104,988 | ||||||
| Las Vegas Sands, LLC, Term Loan | ||||||||
| 80,000 | 0.000%, 12/17/2020b,c | 79,892 | ||||||
| Marina District Finance Company, Inc., Term Loan | ||||||||
| 90,000 | 0.000%, 8/15/2018b,c | 90,282 | ||||||
| MGM Resorts International, Term Loan | ||||||||
| 40,296 | 3.500%, 12/20/2019 | 40,372 | ||||||
| Mohegan Tribal Gaming Authority, Term Loan | ||||||||
| 96,000 | 5.500%, 11/19/2019 | 97,381 | ||||||
| ROC Finance, LLC, Term Loan | ||||||||
| 107,730 | 5.000%, 6/20/2019 | 102,983 | ||||||
| Scientific Games International, Inc., Term Loan | ||||||||
| 108,000 | 4.250%, 10/18/2020 | 108,027 | ||||||
| Toys R Us, Inc., Term Loan | ||||||||
| 107,433 | 5.250%, 5/25/2018 | 90,445 | ||||||
|
| |||||||
| Total | 1,097,237 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
155
Growth and Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Bank Loans (8.8%)a | Value | ||||||
| Consumer Non-Cyclical (1.2%) |
| ||||||
| Albertsons, Inc., Term Loan | ||||||||
| $157,729 | 3.244%, 3/21/2019b,c | $ | 158,452 | |||||
| Biomet, Inc., Term Loan | ||||||||
| 99,500 | 3.670%, 7/25/2017 | 100,060 | ||||||
| CHS/Community Health Systems, Inc., Term Loan | ||||||||
| 54,000 | 3.737%, 1/25/2017 | 54,396 | ||||||
| Del Monte Corporation, Term Loan | ||||||||
| 54,000 | 4.000%, 3/8/2018 | 54,125 | ||||||
| DJO Finance, LLC, Term Loan | ||||||||
| 53,729 | 4.750%, 9/15/2017 | 54,233 | ||||||
| JBS USA, LLC, Term Loan | ||||||||
| 80,593 | 3.750%, 5/25/2018 | 80,593 | ||||||
| McJunkin Red Man Corporation, Term Loan | ||||||||
| 104,737 | 5.000%, 11/8/2019 | 106,047 | ||||||
| Roundy’s Supermarkets, Inc., Term Loan | ||||||||
| 83,747 | 5.750%, 2/13/2019 | 83,655 | ||||||
| Supervalu, Inc., Term Loan | ||||||||
| 107,181 | 5.000%, 3/21/2019 | 108,102 | ||||||
|
| |||||||
| Total | 799,663 | |||||||
|
| |||||||
| Energy (0.4%) | ||||||||
| Arch Coal, Inc., Term Loan | ||||||||
| 157,329 | 6.250%, 5/16/2018 | 155,002 | ||||||
| Pacific Drilling SA, Term Loan | ||||||||
| 80,595 | 4.500%, 6/3/2018 | 81,452 | ||||||
|
| |||||||
| Total | 236,454 | |||||||
|
| |||||||
| Financials (0.4%) | ||||||||
| Harland Clarke Holdings Corporation, Term Loan | ||||||||
| 106,650 | 7.000%, 5/22/2018 | 107,297 | ||||||
| Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 52,173 | 3.750%, 6/30/2019 | 52,524 | ||||||
| Interactive Data Corporation, Term Loan | ||||||||
| 40,309 | 3.750%, 2/11/2018 | 40,300 | ||||||
| WaveDivision Holdings, LLC, Term Loan | ||||||||
| 67,161 | 4.000%, 10/12/2019 | 67,413 | ||||||
|
| |||||||
| Total | 267,534 | |||||||
|
| |||||||
| Technology (0.7%) | ||||||||
| BMC Software, Inc., Term Loan | ||||||||
| 108,000 | 5.000%, 9/10/2020 | 108,507 | ||||||
| First Data Corporation Extended, Term Loan | ||||||||
| 108,000 | 4.166%, 3/23/2018 | 108,075 | ||||||
| Freescale Semiconductor, Inc., Term Loan | ||||||||
| 107,459 | 5.000%, 3/1/2020 | 108,475 | ||||||
| Infor US, Inc., Term Loan | ||||||||
| 50,000 | 0.000%, 6/3/2020b,c | 49,885 | ||||||
| 53,864 | 3.750%, 6/3/2020 | 53,729 | ||||||
|
| |||||||
| Total | 428,671 | |||||||
|
| |||||||
| Transportation (0.3%) | ||||||||
| American Airlines, Inc., Term Loan | ||||||||
| 107,460 | 3.750%, 6/27/2019 | 107,997 | ||||||
| U.S. Airways, Inc., Term Loan | ||||||||
| 108,000 | 4.000%, 5/23/2019 | 108,621 | ||||||
|
| |||||||
| Total | 216,618 | |||||||
|
| |||||||
| Utilities (0.3%) | ||||||||
| Calpine Corporation, Term Loan | ||||||||
| 40,293 | 4.000%, 4/1/2018 | 40,525 | ||||||
| 70,000 | 4.000%, 10/31/2020 | 70,375 | ||||||
| Intergen NV, Term Loan | ||||||||
| 107,460 | 5.500%, 6/15/2020 | 108,266 | ||||||
|
| |||||||
| Total | 219,166 | |||||||
|
| |||||||
Total Bank Loans (cost $5,750,281) | 5,757,535 | |||||||
|
| |||||||
| Shares | Common Stock (70.5%) | |||||||
| Consumer Discretionary (7.9%) |
| ||||||
| 2,300 | Aaron’s, Inc. | 67,620 | ||||||
| 3,600 | Abercrombie & Fitch Company | 118,476 | ||||||
| 8,400 | Best Buy Company, Inc. | 334,992 | ||||||
| 3,900 | Cablevision Systems Corporation | 69,927 | ||||||
| 2,700 | CEC Entertainment, Inc. | 119,556 | ||||||
| 14,203 | Comcast Corporation | 738,059 | ||||||
| 5,200 | Dana Holding Corporation | 102,024 | ||||||
| 5,400 | Federal-Mogul Corporationd | 106,272 | ||||||
| 33,400 | Ford Motor Company | 515,362 | ||||||
| 6,042 | Home Depot, Inc. | 497,498 | ||||||
| 9,200 | Lowe’s Companies, Inc. | 455,860 | ||||||
| 2,300 | Madison Square Garden Companyd | 132,434 | ||||||
| 1,100 | McDonald’s Corporation | 106,733 | ||||||
| 4,400 | National CineMedia, Inc. | 87,824 | ||||||
| 7,100 | Regis Corporation | 103,021 | ||||||
| 27,700 | Staples, Inc. | 440,153 | ||||||
| 6,500 | Starwood Hotels & Resorts Worldwide, Inc. | 516,425 | ||||||
| 3,394 | Target Corporation | 214,739 | ||||||
| 4,544 | Thomson Reuters Corporation | 171,854 | ||||||
| 1,400 | Viacom, Inc. | 122,276 | ||||||
| 400 | Whirlpool Corporation | 62,744 | ||||||
| 1,300 | Wyndham Worldwide Corporation | 95,797 | ||||||
|
| |||||||
| Total | 5,179,646 | |||||||
|
| |||||||
| Consumer Staples (6.2%) | ||||||||
| 11,800 | Altria Group, Inc. | 453,002 | ||||||
| 11,291 | Coca-Cola Company | 466,431 | ||||||
| 9,625 | CVS Caremark Corporation | 688,861 | ||||||
| 7,200 | Dr Pepper Snapple Group, Inc. | 350,784 | ||||||
| 4,662 | General Mills, Inc. | 232,681 | ||||||
| 5,710 | PepsiCo, Inc. | 473,588 | ||||||
| 3,500 | Prestige Brands Holdings, Inc.d | 125,300 | ||||||
| 5,242 | Procter & Gamble Company | 426,751 | ||||||
| 2,773 | Reynolds American, Inc. | 138,622 | ||||||
| 8,738 | Wal-Mart Stores, Inc. | 687,593 | ||||||
|
| |||||||
| Total | 4,043,613 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
156
Growth and Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (70.5%) | Value | ||||||
| Energy (8.7%) |
| ||||||
| 4,800 | Anadarko Petroleum Corporation | $ | 380,736 | |||||
| 11,000 | Cabot Oil & Gas Corporation | 426,360 | ||||||
| 9,361 | Chevron Corporation | 1,169,283 | ||||||
| 10,909 | ConocoPhillips | 770,721 | ||||||
| 14,002 | Exxon Mobil Corporation | 1,417,002 | ||||||
| 16,100 | Kinder Morgan, Inc. | 579,600 | ||||||
| 5,200 | Oceaneering International, Inc. | 410,176 | ||||||
| 12,000 | RPC, Inc. | 214,200 | ||||||
| 3,700 | Targa Resources Corporation | 326,229 | ||||||
|
| |||||||
| Total | 5,694,307 | |||||||
|
| |||||||
| Financials (16.3%) | ||||||||
| 6,891 | ACE, Ltd. | 713,425 | ||||||
| 2,592 | Aflac, Inc. | 173,146 | ||||||
| 2,400 | American Financial Group, Inc. | 138,528 | ||||||
| 3,000 | Ameriprise Financial, Inc. | 345,150 | ||||||
| 25,600 | Anworth Mortgage Asset Corporation | 107,776 | ||||||
| 14,300 | Ashford Hospitality Trust, Inc. | 118,404 | ||||||
| 1,800 | Berkshire Hathaway, Inc.d | 213,408 | ||||||
| 3,400 | Cash America International, Inc. | 130,220 | ||||||
| 2,888 | Coresite Realty Corporation | 92,965 | ||||||
| 3,700 | Digital Realty Trust, Inc. | 181,744 | ||||||
| 8,700 | Discover Financial Services | 486,765 | ||||||
| 900 | Erie Indemnity Company | 65,808 | ||||||
| 5,600 | Excel Trust, Inc. | 63,784 | ||||||
| 11,000 | F.N.B. Corporation | 138,820 | ||||||
| 14,400 | Fifth Third Bancorp | 302,832 | ||||||
| 12,800 | First Financial Bancorp | 223,104 | ||||||
| 17,300 | First Niagara Financial Group, Inc. | 183,726 | ||||||
| 8,400 | Hancock Holding Company | 308,112 | ||||||
| 9,800 | Hatteras Financial Corporation | 160,132 | ||||||
| 4,300 | Horace Mann Educators Corporation | 135,622 | ||||||
| 14,200 | Huntington Bancshares, Inc. | 137,030 | ||||||
| 4,150 | iShares J.P. Morgan USD Emerging Markets Bond ETF | 448,864 | ||||||
| 13,473 | iShares S&P U.S. Preferred Stock Index Fund | 496,211 | ||||||
| 6,900 | KeyCorp | 92,598 | ||||||
| 9,600 | Lazard, Ltd. | 435,072 | ||||||
| 11,800 | Maiden Holdings, Ltd. | 128,974 | ||||||
| 602 | MasterCard, Inc. | 502,947 | ||||||
| 3,100 | National Bank Holdings Corporation | 66,340 | ||||||
| 4,063 | PartnerRe, Ltd. | 428,362 | ||||||
| 18,944 | PowerShares Preferred Portfolio | 254,607 | ||||||
| 5,600 | Prudential Financial, Inc. | 516,432 | ||||||
| 6,700 | Regions Financial Corporation | 66,263 | ||||||
| 5,673 | Travelers Companies, Inc. | 513,633 | ||||||
| 7,312 | U.S. Bancorp | 295,405 | ||||||
| 7,800 | Vanguard Dividend Appreciation Index Fund ETF | 586,872 | ||||||
| 2,800 | W.R. Berkley Corporation | 121,492 | ||||||
| 28,366 | Wells Fargo & Company | 1,287,816 | ||||||
|
| |||||||
| Total | 10,662,389 | |||||||
|
| |||||||
| Health Care (8.2%) | ||||||||
| 15,790 | Abbott Laboratories | 605,231 | ||||||
| 2,106 | AmerisourceBergen Corporation | 148,073 | ||||||
| 2,002 | Amgen, Inc. | 228,548 | ||||||
| 1,600 | Computer Programs and Systems, Inc. | 98,896 | ||||||
| 2,000 | DaVita HealthCare Partners, Inc.d | 126,740 | ||||||
| 2,258 | Eli Lilly and Company | 115,158 | ||||||
| 1,800 | Forest Laboratories, Inc.d | 108,054 | ||||||
| 1,900 | HCA Holdings, Inc.d | 90,649 | ||||||
| 1,600 | Henry Schein, Inc.d | 182,816 | ||||||
| 5,002 | Johnson & Johnson | 458,133 | ||||||
| 1,800 | Mallinckrodt, LLCd | 94,068 | ||||||
| 1,300 | McKesson Corporation | 209,820 | ||||||
| 14,504 | Medtronic, Inc. | 832,384 | ||||||
| 18,016 | PDL BioPharma, Inc. | 152,055 | ||||||
| 37,201 | Pfizer, Inc. | 1,139,467 | ||||||
| 3,300 | Quintiles Transnational Holdings, Inc.d | 152,922 | ||||||
| 2,100 | St. Jude Medical, Inc. | 130,095 | ||||||
| 5,400 | WellPoint, Inc. | 498,906 | ||||||
|
| |||||||
| Total | 5,372,015 | |||||||
|
| |||||||
| Industrials (8.8%) | ||||||||
| 2,766 | 3M Company | 387,931 | ||||||
| 4,100 | ADT Corporation | 165,927 | ||||||
| 3,800 | Altra Industrial Motion Corporation | 130,036 | ||||||
| 6,000 | Brink’s Company | 204,840 | ||||||
| 2,100 | C.H. Robinson Worldwide, Inc. | 122,514 | ||||||
| 2,300 | Donaldson Company, Inc. | 99,958 | ||||||
| 3,700 | Ennis, Inc. | 65,490 | ||||||
| 23,613 | Exelis, Inc. | 450,064 | ||||||
| 4,300 | Landstar System, Inc. | 247,035 | ||||||
| 3,398 | Lockheed Martin Corporation | 505,147 | ||||||
| 8,799 | Northrop Grumman Corporation | 1,008,453 | ||||||
| 7,976 | Raytheon Company | 723,423 | ||||||
| 14,023 | Republic Services, Inc. | 465,564 | ||||||
| 3,400 | Roper Industries, Inc. | 471,512 | ||||||
| 9,200 | Southwest Airlines Company | 173,328 | ||||||
| 4,500 | Waste Connections, Inc. | 196,335 | ||||||
| 6,700 | Woodward, Inc. | 305,587 | ||||||
|
| |||||||
| Total | 5,723,144 | |||||||
|
| |||||||
| Information Technology (8.2%) | ||||||||
| 1,300 | Accenture plc | 106,886 | ||||||
| 9,000 | Agilent Technologies, Inc. | 514,710 | ||||||
| 6,500 | Altera Corporation | 211,445 | ||||||
| 600 | Apple, Inc. | 336,666 | ||||||
| 6,500 | Booz Allen Hamilton Holding Corporation | 124,475 | ||||||
| 35,010 | Cisco Systems, Inc. | 785,975 | ||||||
| 25,200 | Intel Corporation | 654,192 | ||||||
| 3,444 | International Business Machines Corporation | 645,991 | ||||||
| 7,025 | Leidos Holdings, Inc. | 326,592 | ||||||
| 4,600 | Lexmark International, Inc. | 163,392 | ||||||
| 8,300 | ManTech International Corporation | 248,419 | ||||||
| 10,100 | Microchip Technology, Inc. | 451,975 | ||||||
| 3,300 | Motorola Solutions, Inc. | 222,750 | ||||||
| 5,423 | Oracle Corporation | 207,484 | ||||||
| 6,700 | Take-Two Interactive Software, Inc.d | 116,379 | ||||||
| 8,200 | Xerox Corporation | 99,794 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
157
Growth and Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (70.5%) | Value | ||||||
| Information Technology (8.2%) - continued |
| ||||||
| 3,500 | Yahoo!, Inc.d | $ | 141,540 | |||||
|
| |||||||
| Total | 5,358,665 | |||||||
|
| |||||||
| Materials (2.3%) | ||||||||
| 31,500 | Alcoa, Inc. | 334,845 | ||||||
| 1,125 | CF Industries Holdings, Inc. | 262,170 | ||||||
| 1,800 | Innophos Holdings, Inc. | 87,480 | ||||||
| 3,500 | Sigma-Aldrich Corporation | 329,035 | ||||||
| 16,800 | Southern Copper Corporation | 482,328 | ||||||
|
| |||||||
| Total | 1,495,858 | |||||||
|
| |||||||
| Telecommunications Services (1.7%) | ||||||||
| 21,809 | AT&T, Inc. | 766,804 | ||||||
| 7,258 | Verizon Communications, Inc. | 356,658 | ||||||
|
| |||||||
| Total | 1,123,462 | |||||||
|
| |||||||
| Utilities (2.2%) | ||||||||
| 5,788 | CenterPoint Energy, Inc. | 134,166 | ||||||
| 3,737 | Empire District Electric Company | 84,793 | ||||||
| 1,337 | Laclede Group, Inc. | 60,887 | ||||||
| 2,833 | Otter Tail Corporation | 82,922 | ||||||
| 2,854 | PG&E Corporation | 114,959 | ||||||
| 4,048 | Pinnacle West Capital Corporation | 214,220 | ||||||
| 10,809 | Southern Company | 444,358 | ||||||
| 1,900 | WGL Holdings, Inc. | 76,114 | ||||||
| 5,968 | Wisconsin Energy Corporation | 246,717 | ||||||
|
| |||||||
| Total | 1,459,136 | |||||||
|
| |||||||
Total Common Stock (cost $41,624,575) | 46,112,235 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (15.2%) | |||||||
| Asset-Backed Securities (0.1%) |
| ||||||
| Countrywide Asset-Backed Certificates | ||||||||
| 71,725 | 5.530%, 4/25/2047 | 65,644 | ||||||
|
| |||||||
| Total | 65,644 | |||||||
|
| |||||||
| Basic Materials (0.4%) | ||||||||
| BHP Billiton Finance USA, Ltd. | ||||||||
| 20,000 | 2.050%, 9/30/2018 | 19,997 | ||||||
| Dow Chemical Company | ||||||||
| 10,000 | 8.550%, 5/15/2019 | 12,912 | ||||||
| FMG Resources Pty. Ltd. | ||||||||
| 26,748 | 6.875%, 2/1/2018e | 28,152 | ||||||
| Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| 12,000 | 2.375%, 3/15/2018 | 11,971 | ||||||
| Hexion US Finance Corporation/Hexion Nova Scotia Finance ULC | ||||||||
| 26,748 | 8.875%, 2/1/2018 | 27,784 | ||||||
| Ineos Finance plc | ||||||||
| 31,000 | 7.500%, 5/1/2020e | 33,984 | ||||||
| Inmet Mining Corporation | ||||||||
| 26,748 | 8.750%, 6/1/2020e | 29,022 | ||||||
| LyondellBasell Industries NV | ||||||||
| 10,000 | 5.000%, 4/15/2019 | 11,106 | ||||||
| 10,000 | 6.000%, 11/15/2021 | 11,501 | ||||||
| NOVA Chemicals Corporation | ||||||||
| 40,122 | 5.250%, 8/1/2023e | 41,326 | ||||||
| Xstrata Finance Canada, Ltd. | ||||||||
| 16,000 | 2.050%, 10/23/2015e | 16,204 | ||||||
| 25,000 | 2.700%, 10/25/2017e | 25,284 | ||||||
|
| |||||||
| Total | 269,243 | |||||||
|
| |||||||
| Capital Goods (0.5%) | ||||||||
| BAE Systems plc | ||||||||
| 14,000 | 3.500%, 10/11/2016e | 14,635 | ||||||
| Cemex Finance, LLC | ||||||||
| 26,748 | 9.375%, 10/12/2017e | 30,158 | ||||||
| CNH Capital, LLC | ||||||||
| 26,748 | 3.625%, 4/15/2018 | 27,116 | ||||||
| Crown Americas Capital Corporation IV | ||||||||
| 30,000 | 4.500%, 1/15/2023 | 28,050 | ||||||
| Eaton Corporation | ||||||||
| 14,000 | 1.500%, 11/2/2017 | 13,725 | ||||||
| John Deere Capital Corporation | ||||||||
| 28,000 | 1.050%, 10/11/2016 | 28,081 | ||||||
| Nortek, Inc. | ||||||||
| 26,748 | 8.500%, 4/15/2021 | 29,623 | ||||||
| Reynolds Group Issuer, Inc. | ||||||||
| 26,748 | 9.875%, 8/15/2019 | 29,757 | ||||||
| Roper Industries, Inc. | ||||||||
| 18,000 | 1.850%, 11/15/2017 | 17,843 | ||||||
| Textron, Inc. | ||||||||
| 14,000 | 4.625%, 9/21/2016 | 15,092 | ||||||
| Trinseo Materials Operating SCA | ||||||||
| 30,000 | 8.750%, 2/1/2019e | 30,975 | ||||||
| United Rentals North America, Inc. | ||||||||
| 33,000 | 7.375%, 5/15/2020 | 36,589 | ||||||
|
| |||||||
| Total | 301,644 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (2.5%) | ||||||||
| Banc of America Alternative Loan Trust | ||||||||
| 80,719 | 6.000%, 11/25/2035 | 66,557 | ||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 49,356 | 2.971%, 3/25/2037 | 35,799 | ||||||
| Countrywide Alternative Loan Trust | ||||||||
| 101,119 | 6.500%, 8/25/2036 | 68,878 | ||||||
| Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
| 80,411 | 5.250%, 10/25/2035 | 78,061 | ||||||
| Deutsche Alt-A Securities, Inc., Mortgage Loan Trust | ||||||||
| 88,890 | 5.500%, 11/25/2035 | 80,697 | ||||||
| HomeBanc Mortgage Trust | ||||||||
| 56,616 | 2.409%, 4/25/2037 | 39,371 | ||||||
| J.P. Morgan Alternative Loan Trust | ||||||||
| 114,272 | 6.500%, 3/25/2036 | 100,180 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
158
Growth and Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (15.2%) | Value | ||||||
| Collateralized Mortgage Obligations (2.5%) - continued |
| ||||||
| J.P. Morgan Mortgage Trust | ||||||||
| $129,004 | 2.660%, 6/25/2035 | $ | 128,608 | |||||
| 92,419 | 2.867%, 8/25/2035 | 91,831 | ||||||
| 106,922 | 2.530%, 1/25/2037 | 94,257 | ||||||
| MortgageIT Trust | ||||||||
| 90,467 | 0.425%, 12/25/2035f | 82,877 | ||||||
| New York Mortgage Trust 2006-1 | ||||||||
| 105,512 | 2.755%, 5/25/2036 | 92,092 | ||||||
| Residential Accredit Loans, Inc. | ||||||||
| 100,459 | 5.750%, 9/25/2035 | 88,488 | ||||||
| RFMSI Trust | ||||||||
| 123,117 | 6.000%, 7/25/2037 | 109,663 | ||||||
| Structured Adjustable Rate Mortgage Loan Trust | ||||||||
| 108,220 | 2.715%, 9/25/2035 | 91,670 | ||||||
| Structured Asset Mortgage Investments, Inc. | ||||||||
| 149,303 | 0.475%, 12/25/2035f | 110,577 | ||||||
| Wells Fargo Mortgage Backed Securities Trust | ||||||||
| 98,591 | 2.628%, 3/25/2036 | 98,397 | ||||||
| 78,226 | 2.632%, 7/25/2036 | 72,494 | ||||||
| 90,475 | 6.000%, 7/25/2037 | 85,596 | ||||||
|
| |||||||
| Total | 1,616,093 | |||||||
|
| |||||||
| Communications Services (1.2%) | ||||||||
| AMC Networks, Inc. | ||||||||
| 26,748 | 7.750%, 7/15/2021 | 30,092 | ||||||
| America Movil SAB de CV | ||||||||
| 10,000 | 5.000%, 10/16/2019 | 10,925 | ||||||
| American Tower Corporation | ||||||||
| 16,000 | 7.000%, 10/15/2017 | 18,441 | ||||||
| AT&T, Inc. | ||||||||
| 33,000 | 2.400%, 8/15/2016 | 33,935 | ||||||
| British Telecommunications plc | ||||||||
| 14,000 | 1.625%, 6/28/2016 | 14,123 | ||||||
| CBS Corporation | ||||||||
| 15,000 | 8.875%, 5/15/2019 | 19,178 | ||||||
| CC Holdings GS V, LLC | ||||||||
| 21,000 | 2.381%, 12/15/2017 | 20,800 | ||||||
| CCO Holdings, LLC | ||||||||
| 26,748 | 7.000%, 1/15/2019 | 28,186 | ||||||
| CenturyLink, Inc. | ||||||||
| 26,748 | 5.625%, 4/1/2020 | 27,216 | ||||||
| Cequel Communications Escrow 1, LLC | ||||||||
| 30,000 | 6.375%, 9/15/2020e | 30,750 | ||||||
| Digicel, Ltd. | ||||||||
| 26,748 | 6.000%, 4/15/2021e | 25,812 | ||||||
| DIRECTV Holdings, LLC | ||||||||
| 18,000 | 3.500%, 3/1/2016 | 18,894 | ||||||
| 10,000 | 5.875%, 10/1/2019 | 11,328 | ||||||
| Hughes Satellite Systems Corporation | ||||||||
| 33,000 | 6.500%, 6/15/2019 | 35,723 | ||||||
| Intelsat Jackson Holdings SA | ||||||||
| 26,748 | 7.250%, 10/15/2020 | 29,256 | ||||||
| Level 3 Financing, Inc. | ||||||||
| 33,000 | 8.625%, 7/15/2020 | 36,960 | ||||||
| NBC Universal Enterprise, Inc. | ||||||||
| 15,000 | 1.662%, 4/15/2018e | 14,650 | ||||||
| News America, Inc. | ||||||||
| 10,000 | 4.500%, 2/15/2021 | 10,719 | ||||||
| SBA Tower Trust | ||||||||
| 32,000 | 5.101%, 4/17/2017e | 34,494 | ||||||
| Sprint Communications, Inc. | ||||||||
| 26,748 | 9.000%, 11/15/2018e | 32,231 | ||||||
| Telefonica Emisiones SAU | ||||||||
| 20,000 | 3.992%, 2/16/2016 | 21,008 | ||||||
| 21,000 | 3.192%, 4/27/2018 | 21,387 | ||||||
| T-Mobile USA, Inc. | ||||||||
| 40,000 | 6.633%, 4/28/2021 | 42,100 | ||||||
| Univision Communications, Inc. | ||||||||
| 40,000 | 7.875%, 11/1/2020e | 43,950 | ||||||
| UPCB Finance V, Ltd. | ||||||||
| 40,000 | 7.250%, 11/15/2021e | 43,400 | ||||||
| Verizon Communications, Inc. | ||||||||
| 36,000 | 2.500%, 9/15/2016 | 37,225 | ||||||
| 14,000 | 1.993%, 9/14/2018f | 14,721 | ||||||
| 27,000 | 3.650%, 9/14/2018 | 28,581 | ||||||
| WideOpenWest Finance, LLC | ||||||||
| 40,000 | 10.250%, 7/15/2019 | 44,400 | ||||||
| Wind Acquisition Finance SA | ||||||||
| 26,748 | 11.750%, 7/15/2017e | 28,453 | ||||||
|
| |||||||
| Total | 808,938 | |||||||
|
| |||||||
| Consumer Cyclical (0.7%) | ||||||||
| Amazon.com, Inc. | ||||||||
| 22,000 | 1.200%, 11/29/2017 | 21,540 | ||||||
| Chrysler Group, LLC | ||||||||
| 26,748 | 8.250%, 6/15/2021 | 30,426 | ||||||
| Cinemark USA, Inc. | ||||||||
| 31,000 | 4.875%, 6/1/2023 | 29,140 | ||||||
| Ford Motor Credit Company, LLC | ||||||||
| 35,000 | 3.984%, 6/15/2016 | 37,219 | ||||||
| 20,000 | 3.000%, 6/12/2017 | 20,786 | ||||||
| 16,000 | 5.000%, 5/15/2018 | 17,823 | ||||||
| General Motors Company | ||||||||
| 20,000 | 3.500%, 10/2/2018e | 20,450 | ||||||
| General Motors Financial Company, Inc. | ||||||||
| 26,748 | 3.250%, 5/15/2018e | 26,748 | ||||||
| GLP Capital, LP | ||||||||
| 35,000 | 4.875%, 11/1/2020e | 35,000 | ||||||
| Home Depot, Inc. | ||||||||
| 10,000 | 3.950%, 9/15/2020 | 10,669 | ||||||
| Jaguar Land Rover Automotive plc | ||||||||
| 33,000 | 5.625%, 2/1/2023e | 33,000 | ||||||
| L Brands, Inc. | ||||||||
| 33,000 | 6.625%, 4/1/2021 | 36,218 | ||||||
| Macy’s Retail Holdings, Inc. | ||||||||
| 28,000 | 7.450%, 7/15/2017 | 32,746 | ||||||
| Royal Caribbean Cruises, Ltd. | ||||||||
| 26,748 | 5.250%, 11/15/2022 | 26,748 | ||||||
| Toll Brothers Finance Corporation | ||||||||
| 20,000 | 4.000%, 12/31/2018 | 20,350 | ||||||
| Toyota Motor Credit Corporation | ||||||||
| 16,000 | 2.000%, 10/24/2018 | 15,995 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
159
Growth and Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (15.2%) | Value | ||||||
| Consumer Cyclical (0.7%) - continued |
| ||||||
| West Corporation | ||||||||
| $26,748 | 8.625%, 10/1/2018 | $ | 29,088 | |||||
| Wynn Las Vegas, LLC | ||||||||
| 33,000 | 5.375%, 3/15/2022 | 33,330 | ||||||
|
| |||||||
| Total | 477,276 | |||||||
|
| |||||||
| Consumer Non-Cyclical (1.3%) | ||||||||
| AbbVie, Inc. | ||||||||
| 32,000 | 1.750%, 11/6/2017 | 31,945 | ||||||
| Altria Group, Inc. | ||||||||
| 18,000 | 9.700%, 11/10/2018 | 23,659 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 20,000 | 7.750%, 1/15/2019 | 24,973 | ||||||
| Beam, Inc. | ||||||||
| 10,000 | 5.375%, 1/15/2016 | 10,823 | ||||||
| Biomet, Inc. | ||||||||
| 26,748 | 6.500%, 8/1/2020 | 28,085 | ||||||
| Boston Scientific Corporation | ||||||||
| 18,000 | 2.650%, 10/1/2018 | 18,122 | ||||||
| Celgene Corporation | ||||||||
| 20,000 | 1.900%, 8/15/2017 | 19,905 | ||||||
| CHS/Community Health Systems, Inc. | ||||||||
| 33,000 | 7.125%, 7/15/2020 | 34,238 | ||||||
| ConAgra Foods, Inc. | ||||||||
| 25,000 | 2.100%, 3/15/2018 | 24,725 | ||||||
| CVS Caremark Corporation | ||||||||
| 10,000 | 2.250%, 12/5/2018 | 9,997 | ||||||
| Emergency Medical Services Corporation | ||||||||
| 17,748 | 8.125%, 6/1/2019 | 19,234 | ||||||
| Endo Health Solutions, Inc. | ||||||||
| 26,748 | 7.250%, 1/15/2022 | 28,620 | ||||||
| Express Scripts Holding Company | ||||||||
| 18,000 | 3.125%, 5/15/2016 | 18,787 | ||||||
| 20,000 | 2.650%, 2/15/2017 | 20,613 | ||||||
| Fresenius Medical Care US Finance, Inc. | ||||||||
| 26,748 | 5.750%, 2/15/2021e | 28,353 | ||||||
| Gilead Sciences, Inc. | ||||||||
| 18,000 | 3.050%, 12/1/2016 | 19,006 | ||||||
| Hawk Acquisition Sub, Inc. | ||||||||
| 33,000 | 4.250%, 10/15/2020e | 31,928 | ||||||
| HCA, Inc. | ||||||||
| 26,748 | 4.750%, 5/1/2023 | 25,143 | ||||||
| Health Management Associates, Inc. | ||||||||
| 26,748 | 7.375%, 1/15/2020 | 29,924 | ||||||
| Heineken NV | ||||||||
| 8,000 | 1.400%, 10/1/2017e | 7,849 | ||||||
| IMS Health, Inc. | ||||||||
| 30,000 | 6.000%, 11/1/2020e | 31,875 | ||||||
| JBS Finance II, Ltd. | ||||||||
| 26,748 | 8.250%, 1/29/2018g | 28,085 | ||||||
| Kroger Company | ||||||||
| 20,000 | 1.200%, 10/17/2016 | 20,009 | ||||||
| Lorillard Tobacco Company | ||||||||
| 25,000 | 8.125%, 6/23/2019 | 30,454 | ||||||
| Mylan, Inc. | ||||||||
| 20,000 | 1.350%, 11/29/2016 | 19,963 | ||||||
| Pernod Ricard SA | ||||||||
| 10,000 | 2.950%, 1/15/2017e | 10,327 | ||||||
| 10,000 | 5.750%, 4/7/2021e | 11,023 | ||||||
| Perrigo Company, Ltd. | ||||||||
| 20,000 | 1.300%, 11/8/2016e | 19,931 | ||||||
| 10,000 | 2.300%, 11/8/2018e | 9,870 | ||||||
| Revlon Consumer Products Corporation | ||||||||
| 26,748 | 5.750%, 2/15/2021 | 26,380 | ||||||
| SABMiller plc | ||||||||
| 20,000 | 6.500%, 7/15/2018e | 23,610 | ||||||
| Safeway, Inc. | ||||||||
| 28,000 | 3.400%, 12/1/2016 | 29,132 | ||||||
| Spectrum Brands Escrow Corporation | ||||||||
| 33,000 | 6.375%, 11/15/2020e | 35,227 | ||||||
| Thermo Fisher Scientific, Inc. | ||||||||
| 20,000 | 1.300%, 2/1/2017 | 19,913 | ||||||
| 20,000 | 2.400%, 2/1/2019 | 19,814 | ||||||
| Valeant Pharmaceuticals International | ||||||||
| 26,748 | 7.250%, 7/15/2022e | 28,788 | ||||||
| Watson Pharmaceuticals, Inc. | ||||||||
| 23,000 | 1.875%, 10/1/2017 | 22,760 | ||||||
| WM Wrigley Jr. Company | ||||||||
| 14,000 | 2.000%, 10/20/2017e | 13,961 | ||||||
|
| |||||||
| Total | 857,051 | |||||||
|
| |||||||
| Energy (0.9%) | ||||||||
| BP Capital Markets plc | ||||||||
| 20,000 | 0.658%, 11/7/2016f | 20,084 | ||||||
| 20,000 | 2.241%, 9/26/2018 | 20,058 | ||||||
| CNOOC, Ltd. | ||||||||
| 20,000 | 1.125%, 5/9/2016 | 19,926 | ||||||
| Concho Resources, Inc. | ||||||||
| 26,748 | 6.500%, 1/15/2022 | 28,955 | ||||||
| Continental Resources, Inc. | ||||||||
| 25,000 | 7.125%, 4/1/2021 | 28,344 | ||||||
| Devon Energy Corporation | ||||||||
| 20,000 | 1.200%, 12/15/2016 | 19,992 | ||||||
| Energy Transfer Partners, LP | ||||||||
| 10,000 | 6.700%, 7/1/2018 | 11,610 | ||||||
| EQT Corporation | ||||||||
| 10,000 | 8.125%, 6/1/2019 | 12,132 | ||||||
| Gazprom Neft OAO Via GPN Capital SA | ||||||||
| 35,000 | 6.000%, 11/27/2023e | 35,525 | ||||||
| Harvest Operations Corporation | ||||||||
| 26,748 | 6.875%, 10/1/2017 | 29,289 | ||||||
| Hess Corporation | ||||||||
| 18,000 | 8.125%, 2/15/2019 | 22,358 | ||||||
| Kodiak Oil & Gas Corporation | ||||||||
| 26,748 | 5.500%, 1/15/2021 | 26,681 | ||||||
| Linn Energy, LLC | ||||||||
| 26,748 | 8.625%, 4/15/2020 | 28,888 | ||||||
| Lukoil International Finance BV | ||||||||
| 10,000 | 3.416%, 4/24/2018e | 10,087 | ||||||
| MEG Energy Corporation | ||||||||
| 33,000 | 6.375%, 1/30/2023e | 33,206 | ||||||
| Oasis Petroleum, Inc. | ||||||||
| 33,000 | 6.875%, 1/15/2023 | 35,145 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
160
Growth and Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (15.2%) | Value | ||||||
| Energy (0.9%) - continued |
| ||||||
Offshore Group Investment, Ltd. | ||||||||
| $40,000 | 7.500%, 11/1/2019 | $ | 43,500 | |||||
Petrobras Global Finance BV | ||||||||
| 21,000 | 2.000%, 5/20/2016 | 20,983 | ||||||
Range Resources Corporation | ||||||||
| 37,715 | 5.000%, 8/15/2022 | 37,055 | ||||||
Suncor Energy, Inc. | ||||||||
| 16,000 | 6.100%, 6/1/2018 | 18,495 | ||||||
Transocean, Inc. | ||||||||
| 25,000 | 5.050%, 12/15/2016 | 27,617 | ||||||
Weatherford International, Ltd. | ||||||||
| 16,000 | 6.000%, 3/15/2018 | 17,957 | ||||||
| 10,000 | 9.625%, 3/1/2019 | 12,849 | ||||||
|
| |||||||
| Total | 560,736 | |||||||
|
| |||||||
| Financials (3.0%) |
| ||||||
Abbey National Treasury Services plc | ||||||||
| 10,000 | 3.050%, 8/23/2018 | 10,275 | ||||||
Ally Financial, Inc. | ||||||||
| 40,000 | 4.750%, 9/10/2018 | 41,850 | ||||||
American International Group, Inc. | ||||||||
| 30,000 | 8.250%, 8/15/2018 | 37,526 | ||||||
Aviation Capital Group Corporation | ||||||||
| 17,000 | 3.875%, 9/27/2016e | 17,559 | ||||||
Bank of America Corporation | ||||||||
| 33,000 | 5.750%, 8/15/2016 | 36,393 | ||||||
| 25,000 | 5.750%, 12/1/2017 | 28,453 | ||||||
| 20,000 | 1.316%, 3/22/2018f | 20,266 | ||||||
| 30,000 | 5.650%, 5/1/2018 | 34,148 | ||||||
| 16,000 | 2.600%, 1/15/2019 | 16,071 | ||||||
| 15,000 | 5.625%, 7/1/2020 | 17,141 | ||||||
Bank of Nova Scotia | ||||||||
| 20,000 | 1.100%, 12/13/2016 | 20,096 | ||||||
Barclays Bank plc | ||||||||
| 17,000 | 5.140%, 10/14/2020 | 18,103 | ||||||
BB&T Corporation | ||||||||
| 16,000 | 2.050%, 6/19/2018 | 15,841 | ||||||
BBVA Banco Continental SA | ||||||||
| 16,000 | 2.250%, 7/29/2016e | 15,920 | ||||||
BBVA US Senior SAU | ||||||||
| 25,000 | 4.664%, 10/9/2015 | 26,282 | ||||||
Bear Stearns Companies, LLC | ||||||||
| 32,000 | 6.400%, 10/2/2017 | 37,138 | ||||||
BNP Paribas SA | ||||||||
| 20,000 | 1.250%, 12/12/2016 | 20,015 | ||||||
| 22,000 | 2.375%, 9/14/2017 | 22,461 | ||||||
Branch Banking and Trust Company | ||||||||
| 20,000 | 0.667%, 12/1/2016f | 20,017 | ||||||
Capital One Financial Corporation | ||||||||
| 14,000 | 6.150%, 9/1/2016 | 15,659 | ||||||
Citigroup, Inc. | ||||||||
| 28,000 | 5.000%, 9/15/2014 | 28,797 | ||||||
| 36,000 | 5.500%, 2/15/2017 | 39,666 | ||||||
| 20,000 | 6.000%, 8/15/2017 | 22,795 | ||||||
| 20,000 | 8.500%, 5/22/2019 | 25,632 | ||||||
CNA Financial Corporation | ||||||||
| 15,000 | 7.350%, 11/15/2019 | 18,183 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
| 35,000 | 4.625%, 12/1/2023 | 35,246 | ||||||
Credit Agricole SA | ||||||||
| 20,000 | 1.625%, 4/15/2016e | 20,123 | ||||||
Credit Suisse AG | ||||||||
| 30,000 | 5.400%, 1/14/2020 | 33,340 | ||||||
CyrusOne, LP | ||||||||
| 26,748 | 6.375%, 11/15/2022 | 27,684 | ||||||
Denali Borrower, LLC | ||||||||
| 52,000 | 5.625%, 10/15/2020e | 51,545 | ||||||
Developers Diversified Realty Corporation | ||||||||
| 15,000 | 7.875%, 9/1/2020 | 18,531 | ||||||
Discover Financial Services | ||||||||
| 14,000 | 6.450%, 6/12/2017 | 15,864 | ||||||
Fifth Third Bancorp | ||||||||
| 20,000 | 5.450%, 1/15/2017 | 21,980 | ||||||
General Electric Capital Corporation | ||||||||
| 60,000 | 5.625%, 9/15/2017 | 68,256 | ||||||
| 7,000 | 1.625%, 4/2/2018 | 6,926 | ||||||
Goldman Sachs Group, Inc. | ||||||||
| 24,000 | 6.250%, 9/1/2017 | 27,477 | ||||||
| 19,000 | 7.500%, 2/15/2019 | 23,141 | ||||||
| 20,000 | 5.375%, 3/15/2020 | 22,242 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
| 30,000 | 6.000%, 1/15/2019 | 34,407 | ||||||
HCP, Inc. | ||||||||
| 8,000 | 3.750%, 2/1/2016 | 8,406 | ||||||
| 10,000 | 3.750%, 2/1/2019 | 10,387 | ||||||
Health Care REIT, Inc. | ||||||||
| 10,000 | 4.700%, 9/15/2017 | 10,870 | ||||||
HSBC Finance Corporation | ||||||||
| 25,000 | 6.676%, 1/15/2021 | 28,726 | ||||||
HSBC USA, Inc. | ||||||||
| 5,000 | 1.625%, 1/16/2018 | 4,930 | ||||||
Huntington National Bank | ||||||||
| 20,000 | 1.300%, 11/20/2016 | 20,003 | ||||||
Icahn Enterprises, LP | ||||||||
| 26,748 | 8.000%, 1/15/2018 | 27,818 | ||||||
ING Bank NV | ||||||||
| 12,000 | 3.750%, 3/7/2017e | 12,639 | ||||||
ING Capital Funding Trust III | ||||||||
| 16,000 | 3.847%, 12/29/2049f,h | 15,940 | ||||||
ING US, Inc. | ||||||||
| 16,000 | 2.900%, 2/15/2018 | 16,365 | ||||||
International Lease Finance Corporation | ||||||||
| 10,000 | 2.193%, 6/15/2016f | 10,050 | ||||||
| 30,000 | 5.875%, 4/1/2019 | 31,950 | ||||||
Intesa Sanpaolo SPA | ||||||||
| 14,000 | 3.625%, 8/12/2015e | 14,405 | ||||||
| 15,000 | 3.875%, 1/15/2019 | 14,913 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 21,000 | 3.450%, 3/1/2016 | 22,026 | ||||||
| 14,000 | 6.300%, 4/23/2019 | 16,523 | ||||||
| 31,000 | 7.900%, 4/29/2049h | 34,177 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
161
Growth and Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (15.2%) | Value | ||||||
| Financials (3.0%) - continued |
| ||||||
KeyCorp | ||||||||
| $20,000 | 2.300%, 12/13/2018 | $ | 19,855 | |||||
| 6,000 | 5.100%, 3/24/2021 | 6,557 | ||||||
Liberty Mutual Group, Inc. | ||||||||
| 4,000 | 5.000%, 6/1/2021e | 4,195 | ||||||
Liberty Property, LP | ||||||||
| 17,000 | 5.500%, 12/15/2016 | 18,766 | ||||||
Lloyds TSB Bank plc | ||||||||
| 18,000 | 6.500%, 9/14/2020e | 20,461 | ||||||
Macquarie Bank, Ltd. | ||||||||
| 22,000 | 5.000%, 2/22/2017e | 23,858 | ||||||
Mizuho Corporate Bank, Ltd. | ||||||||
| 20,000 | 1.550%, 10/17/2017e | 19,547 | ||||||
Morgan Stanley | ||||||||
| 21,000 | 4.750%, 4/1/2014 | 21,167 | ||||||
| 23,000 | 1.750%, 2/25/2016 | 23,309 | ||||||
| 21,000 | 6.250%, 8/28/2017 | 24,029 | ||||||
| 10,000 | 4.875%, 11/1/2022 | 10,237 | ||||||
Murray Street Investment Trust I | ||||||||
| 28,000 | 4.647%, 3/9/2017 | 30,153 | ||||||
National City Corporation | ||||||||
| 13,000 | 6.875%, 5/15/2019 | 15,404 | ||||||
Nomura Holdings, Inc. | ||||||||
| 21,000 | 2.000%, 9/13/2016 | 21,174 | ||||||
Omega Healthcare Investors, Inc. | ||||||||
| 26,748 | 5.875%, 3/15/2024 | 27,015 | ||||||
PNC Bank NA | ||||||||
| 32,000 | 1.150%, 11/1/2016 | 32,039 | ||||||
Prologis, LP | ||||||||
| 17,000 | 6.625%, 5/15/2018 | 19,855 | ||||||
Prudential Covered Trust | ||||||||
| 14,450 | 2.997%, 9/30/2015e | 14,898 | ||||||
Realty Income Corporation | ||||||||
| 12,000 | 2.000%, 1/31/2018 | 11,752 | ||||||
Regions Bank | ||||||||
| 24,000 | 7.500%, 5/15/2018 | 28,399 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 25,000 | 5.625%, 3/15/2017 | 27,560 | ||||||
Royal Bank of Scotland Group plc | ||||||||
| 23,000 | 5.050%, 1/8/2015 | 23,681 | ||||||
Santander US Debt SAU | ||||||||
| 21,000 | 3.781%, 10/7/2015e | 21,639 | ||||||
SLM Corporation | ||||||||
| 16,000 | 6.250%, 1/25/2016 | 17,280 | ||||||
Svenska Handelsbanken AB | ||||||||
| 14,000 | 3.125%, 7/12/2016 | 14,643 | ||||||
Swedbank Hypotek AB | ||||||||
| 18,000 | 1.375%, 3/28/2018e | 17,584 | ||||||
Swiss RE Capital I, LP | ||||||||
| 20,000 | 6.854%, 5/29/2049e,h | 21,140 | ||||||
Ventas Realty, LP | ||||||||
| 28,000 | 1.550%, 9/26/2016 | 28,199 | ||||||
Wells Fargo & Company | ||||||||
| 21,000 | 1.250%, 7/20/2016 | 21,156 | ||||||
| 32,000 | 2.150%, 1/15/2019 | 31,900 | ||||||
Westpac Banking Corporation | ||||||||
| 20,000 | 0.668%, 11/25/2016f | 20,028 | ||||||
XLIT, Ltd. | ||||||||
| 20,000 | 2.300%, 12/15/2018 | 19,644 | ||||||
|
| |||||||
| Total | 1,970,301 | |||||||
|
| |||||||
| Mortgage-Backed Securities (3.0%) |
| ||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 180,000 | 3.000%, 1/1/2029c | 183,333 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 100,000 | 3.500%, 1/1/2029c | 104,574 | ||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 550,000 | 3.500%, 1/1/2044c | 546,348 | ||||||
| 600,000 | 4.000%, 1/1/2044c | 617,625 | ||||||
| 375,000 | 4.500%, 1/1/2044c | 397,339 | ||||||
Vericrest Opportunity Loan Transferee | ||||||||
| 175,000 | 3.625%, 3/25/2054g | 174,247 | ||||||
|
| |||||||
| Total | 2,023,466 | |||||||
|
| |||||||
| Technology (0.4%) |
| ||||||
Alliance Data Systems Corporation | ||||||||
| 26,748 | 6.375%, 4/1/2020e | 28,019 | ||||||
BMC Software Finance, Inc. | ||||||||
| 26,748 | 8.125%, 7/15/2021e | 27,550 | ||||||
CommScope, Inc. | ||||||||
| 23,000 | 8.250%, 1/15/2019e | 25,214 | ||||||
Computer Sciences Corporation | ||||||||
| 16,000 | 2.500%, 9/15/2015 | 16,331 | ||||||
EMC Corporation | ||||||||
| 16,000 | 1.875%, 6/1/2018 | 15,818 | ||||||
First Data Corporation | ||||||||
| 26,748 | 7.375%, 6/15/2019e | 28,554 | ||||||
Freescale Semiconductor, Inc. | ||||||||
| 40,000 | 6.000%, 1/15/2022e | 40,500 | ||||||
Hewlett-Packard Company | ||||||||
| 14,000 | 3.300%, 12/9/2016 | 14,653 | ||||||
Iron Mountain, Inc. | ||||||||
| 26,748 | 6.000%, 8/15/2023 | 27,417 | ||||||
Oracle Corporation | ||||||||
| 16,000 | 1.200%, 10/15/2017 | 15,745 | ||||||
Tyco Electronics Group SA | ||||||||
| 16,000 | 6.550%, 10/1/2017 | 18,310 | ||||||
Xerox Corporation | ||||||||
| 16,000 | 7.200%, 4/1/2016 | 17,946 | ||||||
|
| |||||||
| Total | 276,057 | |||||||
|
| |||||||
| Transportation (0.2%) |
| ||||||
Avis Budget Car Rental, LLC | ||||||||
| 26,748 | 8.250%, 1/15/2019 | 29,155 | ||||||
Continental Airlines, Inc. | ||||||||
| 25,393 | 6.250%, 4/11/2020 | 26,980 | ||||||
Delta Air Lines, Inc. | ||||||||
| 11,614 | 4.950%, 5/23/2019 | 12,601 | ||||||
| 9,299 | 4.750%, 5/7/2020 | 9,950 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
162
Growth and Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (15.2%) | Value | ||||||
| Transportation (0.2%) - continued |
| ||||||
ERAC USA Finance, LLC | ||||||||
| $14,000 | 1.400%, 4/15/2016e | $ | 14,011 | |||||
Hertz Corporation | ||||||||
| 33,000 | 6.750%, 4/15/2019 | 35,558 | ||||||
Kansas City Southern de Mexico SA de CV | ||||||||
| 16,000 | 0.937%, 10/28/2016f | 16,004 | ||||||
United Air Lines, Inc. | ||||||||
| 10,176 | 10.400%, 11/1/2016 | 11,550 | ||||||
|
| |||||||
| Total | 155,809 | |||||||
|
| |||||||
| U.S. Government and Agencies (0.3%) |
| ||||||
U.S. Treasury Notes | ||||||||
| 165,000 | 0.250%, 9/30/2015 | 164,852 | ||||||
|
| |||||||
| Total | 164,852 | |||||||
|
| |||||||
| Utilities (0.7%) |
| ||||||
Access Midstream Partners, LP | ||||||||
| 40,000 | 4.875%, 5/15/2023 | 38,600 | ||||||
AES Corporation | ||||||||
| 26,748 | 7.375%, 7/1/2021 | 30,158 | ||||||
Atlas Pipeline Partners, LP | ||||||||
| 33,000 | 4.750%, 11/15/2021e | 30,195 | ||||||
Buckeye Partners, LP | ||||||||
| 20,000 | 2.650%, 11/15/2018 | 19,706 | ||||||
Constellation Energy Group, Inc. | ||||||||
| 16,000 | 5.150%, 12/1/2020 | 17,025 | ||||||
Dayton Power and Light Company | ||||||||
| 16,000 | 1.875%, 9/15/2016e | 16,131 | ||||||
DCP Midstream Operating, LP | ||||||||
| 10,000 | 2.500%, 12/1/2017 | 9,957 | ||||||
Enel Finance International NV | ||||||||
| 14,000 | 3.875%, 10/7/2014e | 14,303 | ||||||
| 10,000 | 5.125%, 10/7/2019e | 10,676 | ||||||
Energy Transfer Partners, LP | ||||||||
| 20,000 | 4.650%, 6/1/2021 | 20,573 | ||||||
Enterprise Products Operating, LLC | ||||||||
| 14,000 | 1.250%, 8/13/2015 | 14,093 | ||||||
Korea Western Power Company, Ltd. | ||||||||
| 20,000 | 2.875%, 10/10/2018e | 19,884 | ||||||
MidAmerican Energy Holdings Company | ||||||||
| 18,000 | 1.100%, 5/15/2017e | 17,903 | ||||||
| 22,000 | 5.750%, 4/1/2018 | 25,113 | ||||||
NiSource Finance Corporation | ||||||||
| 23,000 | 6.400%, 3/15/2018 | 26,469 | ||||||
NRG Energy, Inc. | ||||||||
| 26,748 | 6.625%, 3/15/2023 | 26,949 | ||||||
ONEOK Partners, LP | ||||||||
| 28,000 | 6.150%, 10/1/2016 | 31,443 | ||||||
| 10,000 | 2.000%, 10/1/2017 | 9,951 | ||||||
| 10,000 | 3.200%, 9/15/2018 | 10,225 | ||||||
Pacific Gas & Electric Company | ||||||||
| 10,000 | 5.625%, 11/30/2017 | 11,330 | ||||||
PPL Capital Funding, Inc. | ||||||||
| 25,000 | 1.900%, 6/1/2018 | 24,412 | ||||||
|
| |||||||
| Total | 425,096 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $9,895,655) | 9,972,206 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (8.7%)i | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 200,000 | 0.120%, 5/28/2014j | 199,902 | ||||||
Thrivent Cash Management Trust | ||||||||
| 5,486,510 | 0.060% | 5,486,510 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 5,686,412 | |||||||
|
| |||||||
| Total Investments (cost $62,956,923) 103.2% | $ | 67,528,388 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (3.2%) | (2,076,890 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 65,451,498 | ||||||
|
| |||||||
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | All or a portion of the loan is unfunded. |
| c | Denotes investments purchased on a when-issued or delayed delivery basis. |
| d | Non-income producing security. |
| e | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2013, the value of these investments was $1,498,691 or 2.3% of total net assets. |
| f | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2013. |
| g | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Growth and Income Plus Portfolio owned as of December 31, 2013. |
Security | Acquisition Date | Cost | ||||||
JBS Finance II, Ltd., 1/29/2018 | 8/19/2013 | $ | 27,890 | |||||
Vericrest Opportunity Loan Transferee, 3/25/2054 | 12/11/2013 | 174,242 | ||||||
| h | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| i | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
163
Growth and Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| j | At December 31, 2013, $199,902 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
ETF | - | Exchange Traded Fund. | ||
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 | $ | 4,995,524 | ||
Gross unrealized depreciation | (423,450 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 4,572,074 | ||
Cost for federal income tax purposes | $ | 62,956,314 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2013, in valuing Growth and Income Plus Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 216,492 | — | 216,492 | — | ||||||||||||
Capital Goods | 375,341 | — | 375,341 | — | ||||||||||||
Communications Services | 1,900,359 | — | 1,900,359 | — | ||||||||||||
Consumer Cyclical | 1,097,237 | — | 1,097,237 | — | ||||||||||||
Consumer Non-Cyclical | 799,663 | — | 799,663 | — | ||||||||||||
Energy | 236,454 | — | 236,454 | — | ||||||||||||
Financials | 267,534 | — | 267,534 | — | ||||||||||||
Technology | 428,671 | — | 428,671 | — | ||||||||||||
Transportation | 216,618 | — | 216,618 | — | ||||||||||||
Utilities | 219,166 | — | 219,166 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 5,179,646 | 5,179,646 | — | — | ||||||||||||
Consumer Staples | 4,043,613 | 4,043,613 | — | — | ||||||||||||
Energy | 5,694,307 | 5,694,307 | — | — | ||||||||||||
Financials | 10,662,389 | 10,662,389 | — | — | ||||||||||||
Health Care | 5,372,015 | 5,372,015 | — | — | ||||||||||||
Industrials | 5,723,144 | 5,723,144 | — | — | ||||||||||||
Information Technology | 5,358,665 | 5,358,665 | — | — | ||||||||||||
Materials | 1,495,858 | 1,495,858 | — | — | ||||||||||||
Telecommunications Services | 1,123,462 | 1,123,462 | — | — | ||||||||||||
Utilities | 1,459,136 | 1,459,136 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 65,644 | — | 65,644 | — | ||||||||||||
Basic Materials | 269,243 | — | 269,243 | — | ||||||||||||
Capital Goods | 301,644 | — | 301,644 | — | ||||||||||||
Collateralized Mortgage Obligations | 1,616,093 | — | 1,616,093 | — | ||||||||||||
Communications Services | 808,938 | — | 808,938 | — | ||||||||||||
Consumer Cyclical | 477,276 | — | 477,276 | — | ||||||||||||
Consumer Non-Cyclical | 857,051 | — | 857,051 | — | ||||||||||||
Energy | 560,736 | — | 560,736 | — | ||||||||||||
Financials | 1,970,301 | — | 1,970,301 | — | ||||||||||||
Mortgage-Backed Securities | 2,023,466 | — | 2,023,466 | — | ||||||||||||
Technology | 276,057 | — | 276,057 | — | ||||||||||||
Transportation | 155,809 | — | 155,809 | — | ||||||||||||
U.S. Government and Agencies | 164,852 | — | 164,852 | — | ||||||||||||
Utilities | 425,096 | — | 425,096 | — | ||||||||||||
Short-Term Investments | 5,686,412 | 5,486,510 | 199,902 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 67,528,388 | $ | 51,598,745 | $ | 15,929,643 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
164
Growth and Income Plus Portfolio
Schedule of Investments as of December 31, 2013
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 54,970 | 54,970 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 54,970 | $ | 54,970 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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 | 21 | March 2014 | $ | 1,878,185 | $ | 1,933,155 | $ | 54,970 | ||||||||||
Total Futures Contracts | $ | 54,970 | ||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2013, for Growth and Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 54,970 | ||||
Total Equity Contracts | 54,970 | |||||
|
| |||||
Total Asset Derivatives | $ | 54,970 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2013, for Growth and 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 | 644,003 | ||||
Total Equity Contracts | 644,003 | |||||
|
| |||||
Total | $ | 644,003 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2013, for Growth and 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 | 61,345 | ||||
Total Equity Contracts | 61,345 | |||||
|
| |||||
Total | $ | 61,345 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
165
Growth and Income Plus Portfolio
Schedule of Investments as of December 31, 2013
The following table presents Growth and Income Plus Portfolio’s average volume of derivative activity during the period ended December 31, 2013.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 2,777,421 | 3.0 | % | ||||
| * | 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 Growth and Income Plus Portfolio, is as follows:
Portfolio | Value December 31, 2012 | Gross Purchases | Gross Sales | Shares Held at December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 6,245,979 | $ | 28,112,753 | $ | 34,358,732 | — | $ | — | $ | 21,531 | |||||||||||||
Cash Management Trust- Short Term Investment | 96,842 | 62,843,769 | 57,454,101 | 5,486,510 | 5,486,510 | 3,378 | ||||||||||||||||||
Total Value and Income Earned | 6,342,821 | 5,486,510 | 24,909 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
166
Balanced Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Bank Loans (15.8%)a | Value | ||||||
| Basic Materials (0.7%) |
| ||||||
Fortescue Metals Group, Ltd., Term Loan | ||||||||
| $562,168 | 4.250%, 6/30/2019 | $ | 569,021 | |||||
HCA, Inc., Term Loan | ||||||||
| 658,350 | 2.919%, 3/31/2017 | 658,146 | ||||||
Ineos Group Holdings, Ltd., Term Loan | ||||||||
| 636,767 | 4.000%, 5/4/2018 | 638,359 | ||||||
|
| |||||||
| Total | 1,865,526 | |||||||
|
| |||||||
| Capital Goods (0.9%) |
| ||||||
ADS Waste Holdings, Term Loan | ||||||||
| 577,085 | 4.250%, 10/9/2019 | 579,648 | ||||||
Berry Plastics Group, Inc., Term Loan | ||||||||
| 656,692 | 3.500%, 2/8/2020 | 653,953 | ||||||
Rexnord, LLC, Term Loan | ||||||||
| 638,400 | 4.000%, 8/21/2020 | 639,728 | ||||||
Silver II Borrower, Term Loan | ||||||||
| 612,484 | 4.000%, 12/13/2019 | 613,121 | ||||||
|
| |||||||
| Total | 2,486,450 | |||||||
|
| |||||||
| Communications Services (5.4%) |
| ||||||
Charter Communications Operating, LLC, Term Loan | ||||||||
| 746,250 | 3.000%, 12/31/2020 | 739,720 | ||||||
Cincinnati Bell, Inc., Term Loan | ||||||||
| 573,563 | 4.000%, 9/10/2020 | 574,279 | ||||||
Clear Channel Communications, Inc., Term Loan | ||||||||
| 600,000 | 6.919%, 1/30/2019 | 572,250 | ||||||
Cricket Communications, Inc., Term Loan | ||||||||
| 746,250 | 4.750%, 3/8/2020 | 748,735 | ||||||
Cumulus Media Holdings, Inc., Term Loan | ||||||||
| 720,868 | 0.000%, 12/23/2020b,c | 724,473 | ||||||
Fairpoint Communications, Term Loan | ||||||||
| 636,792 | 7.500%, 2/14/2019b,c | 657,329 | ||||||
Grande Communications Networks, LLC, Term Loan | ||||||||
| 636,800 | 4.500%, 5/29/2020 | 635,475 | ||||||
Hargray Communications Group, Inc., Term Loan | ||||||||
| 517,400 | 4.750%, 6/26/2019 | 519,987 | ||||||
Integra Telecom Holdings, Inc., Term Loan | ||||||||
| 592,018 | 5.250%, 2/22/2019 | 599,169 | ||||||
Level 3 Communications, Inc., Term Loan | ||||||||
| 610,000 | 4.000%, 8/1/2019 | 612,794 | ||||||
LTS Buyer, LLC, Term Loan | ||||||||
| 696,500 | 4.500%, 4/13/2020 | 698,896 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
| 599,474 | 9.000%, 3/22/2019 | 609,713 | ||||||
NEP Broadcasting, LLC, Term Loan | ||||||||
| 656,683 | 4.750%, 1/22/2020 | 658,489 | ||||||
NTelos, Inc., Term Loan | ||||||||
| 994,962 | 5.750%, 11/9/2019 | 996,624 | ||||||
Puerto Rico Cable Acquisition Company, Inc., Term Loan | ||||||||
| 598,223 | 5.500%, 7/31/2018 | 598,474 | ||||||
RCN Telecom Services, LLC, Term Loan | ||||||||
| 606,942 | 4.500%, 3/1/2020 | 611,276 | ||||||
TNS, Inc., Term Loan | ||||||||
| 582,857 | 5.000%, 2/14/2020 | 585,591 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
| 74,624 | 4.500%, 2/28/2020 | 74,951 | ||||||
| 517,394 | 4.500%, 3/1/2020 | 520,167 | ||||||
Virgin Media Investment Holdings, Ltd., Term Loan | ||||||||
| 580,000 | 3.500%, 6/8/2020 | 580,870 | ||||||
Visant Corporation, Term Loan | ||||||||
| 750,000 | 5.250%, 12/22/2016 | 738,128 | ||||||
WideOpenWest Finance, LLC, Term Loan | ||||||||
| 606,942 | 4.750%, 4/1/2019 | 609,370 | ||||||
WMG Acquisition Corporation, Term Loan | ||||||||
| 598,500 | 3.750%, 7/1/2020 | 598,051 | ||||||
Zayo Group, LLC, Term Loan | ||||||||
| 606,921 | 4.000%, 7/2/2019 | 607,060 | ||||||
|
| |||||||
| Total | 14,871,871 | |||||||
|
| |||||||
| Consumer Cyclical (2.9%) |
| ||||||
Bally Technologies, Inc., Term Loan | ||||||||
| 793,013 | 4.250%, 11/25/2020 | 798,215 | ||||||
Booz Allen Hamilton, Inc., Term Loan | ||||||||
| 407,935 | 3.750%, 7/31/2019 | 408,881 | ||||||
Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
| 608,471 | 4.250%, 2/23/2017 | 613,795 | ||||||
Cenveo Corporation, Term Loan | ||||||||
| 292,350 | 6.250%, 2/13/2017 | 293,569 | ||||||
Ceridian Corporation, Term Loan | ||||||||
| 640,000 | 4.415%, 5/9/2017 | 641,798 | ||||||
Golden Nugget, Inc., Delayed Draw | ||||||||
| 78,000 | 0.147%, 11/21/2019 | 79,073 | ||||||
Golden Nugget, Inc., Term Loan | ||||||||
| 182,000 | 1.616%, 11/21/2019 | 184,502 | ||||||
J.C. Penney Corporation, Inc., Term Loan | ||||||||
| 606,950 | 6.000%, 5/22/2018 | 592,990 | ||||||
Las Vegas Sands, LLC, Term Loan | ||||||||
| 525,000 | 0.000%, 12/17/2020b,c | 524,291 | ||||||
Marina District Finance Company, Inc., Term Loan | ||||||||
| 550,000 | 0.000%, 8/15/2018b,c | 551,722 | ||||||
MGM Resorts International, Term Loan | ||||||||
| 547,236 | 3.500%, 12/20/2019 | 548,265 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
167
Balanced Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Bank Loans (15.8%)a | Value | ||||||
| Consumer Cyclical (2.9%) - continued |
| ||||||
Mohegan Tribal Gaming Authority, Term Loan | ||||||||
| $520,000 | 5.500%, 11/19/2019 | $ | 527,478 | |||||
ROC Finance, LLC, Term Loan | ||||||||
| 748,125 | 5.000%, 6/20/2019 | 715,163 | ||||||
Scientific Games International, Inc., Term Loan | ||||||||
| 610,000 | 4.250%, 10/18/2020 | 610,152 | ||||||
Seminole Indian Tribe of Florida, Term Loan | ||||||||
| 433,969 | 3.000%, 4/29/2020 | 433,019 | ||||||
Toys R Us, Inc., Term Loan | ||||||||
| 606,796 | 5.250%, 5/25/2018 | 510,849 | ||||||
|
| |||||||
| Total | 8,033,762 | |||||||
|
| |||||||
| Consumer Non-Cyclical (2.3%) |
| ||||||
Albertsons, Inc., Term Loan | ||||||||
| 838,396 | 3.617%, 3/21/2019b,c | 842,236 | ||||||
Biomet, Inc., Term Loan | ||||||||
| 597,000 | 3.670%, 7/25/2017 | 600,361 | ||||||
CHS/Community Health Systems, Inc., Term Loan | ||||||||
| 750,000 | 3.737%, 1/25/2017 | 755,505 | ||||||
Del Monte Corporation, Term Loan | ||||||||
| 660,000 | 4.000%, 3/8/2018 | 661,525 | ||||||
DJO Finance, LLC, Term Loan | ||||||||
| 656,684 | 4.750%, 9/15/2017 | 662,843 | ||||||
JBS USA, LLC, Term Loan | ||||||||
| 746,231 | 3.750%, 5/25/2018 | 746,231 | ||||||
McJunkin Red Man Corporation, Term Loan | ||||||||
| 528,675 | 5.000%, 11/8/2019 | 535,283 | ||||||
Roundy’s Supermarkets, Inc., Term Loan | ||||||||
| 496,278 | 5.750%, 2/13/2019 | 495,737 | ||||||
Supervalu, Inc., Term Loan | ||||||||
| 525,981 | 5.000%, 3/21/2019 | 530,499 | ||||||
Van Wagner Communications, LLC, Term Loan | ||||||||
| 544,500 | 6.250%, 8/3/2018 | 550,626 | ||||||
|
| |||||||
| Total | 6,380,846 | |||||||
|
| |||||||
| Energy (0.4%) |
| ||||||
Arch Coal, Inc., Term Loan | ||||||||
| 621,848 | 6.250%, 5/16/2018 | 612,651 | ||||||
Pacific Drilling SA, Term Loan | ||||||||
| 592,025 | 4.500%, 6/3/2018 | 598,318 | ||||||
|
| |||||||
| Total | 1,210,969 | |||||||
|
| |||||||
| Financials (0.9%) |
| ||||||
Harland Clarke Holdings Corporation, Term Loan | ||||||||
| 587,563 | 7.000%, 5/22/2018 | 591,129 | ||||||
Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 724,628 | 3.750%, 6/30/2019 | 729,498 | ||||||
Interactive Data Corporation, Term Loan | ||||||||
| 447,877 | 3.750%, 2/11/2018 | 447,783 | ||||||
WaveDivision Holdings, LLC, Term Loan | ||||||||
| 746,231 | 4.000%, 10/12/2019 | 749,030 | ||||||
|
| |||||||
| Total | 2,517,440 | |||||||
|
| |||||||
| Technology (1.0%) |
| ||||||
BMC Software, Inc., Term Loan | ||||||||
| 550,000 | 5.000%, 9/10/2020 | 552,580 | ||||||
First Data Corporation Extended, Term Loan | ||||||||
| 670,000 | 4.166%, 3/23/2018 | 670,462 | ||||||
Freescale Semiconductor, Inc., Term Loan | ||||||||
| 636,792 | 5.000%, 3/1/2020 | 642,817 | ||||||
Infor US, Inc., Term Loan | ||||||||
| 748,113 | 3.750%, 6/3/2020 | 746,242 | ||||||
|
| |||||||
| Total | 2,612,101 | |||||||
|
| |||||||
| Transportation (0.8%) |
| ||||||
American Airlines, Inc., Term Loan | ||||||||
| 1,064,650 | 3.750%, 6/27/2019 | 1,069,973 | ||||||
American Petroleum Tankers Parent, LLC, Term Loan | ||||||||
| 490,650 | 4.750%, 10/2/2019 | 490,650 | ||||||
U.S. Airways, Inc., Term Loan | ||||||||
| 595,000 | 4.000%, 5/23/2019 | 598,421 | ||||||
|
| |||||||
| Total | 2,159,044 | |||||||
|
| |||||||
| Utilities (0.5%) |
| ||||||
Calpine Corporation, Term Loan | ||||||||
| 656,624 | 4.000%, 4/1/2018 | 660,413 | ||||||
Intergen NV, Term Loan | ||||||||
| 592,025 | 5.500%, 6/15/2020 | 596,465 | ||||||
|
| |||||||
| Total | 1,256,878 | |||||||
|
| |||||||
Total Bank Loans (cost $43,408,253) | 43,394,887 | |||||||
|
| |||||||
| Shares | Common Stock (52.5%) | |||||||
| Consumer Discretionary (8.7%) |
| ||||||
| 3,750 | Amazon.com, Inc.d | 1,495,462 | ||||||
| 3,100 | AutoZone, Inc.d | 1,481,614 | ||||||
| 113,665 | Comcast Corporation | 5,906,602 | ||||||
| 9,100 | Dollar Tree, Inc.d | 513,422 | ||||||
| 16,900 | GNC Holdings, Inc. | 987,805 | ||||||
| 54,900 | Kohl’s Corporation | 3,115,575 | ||||||
| 69,600 | Las Vegas Sands Corporation | 5,489,352 | ||||||
| 15,100 | Marriott International, Inc. | 745,336 | ||||||
| 17,900 | NIKE, Inc. | 1,407,656 | ||||||
| 16,400 | Toll Brothers, Inc.d | 606,800 | ||||||
| 42,300 | Tuesday Morning Corporationd | 675,108 | ||||||
| 40,900 | Twenty-First Century Fox, Inc. | 1,438,862 | ||||||
|
| |||||||
| Total | 23,863,594 | |||||||
|
| |||||||
| Consumer Staples (4.3%) |
| ||||||
| 34,850 | Anheuser-Busch InBev NV ADR | 3,710,131 | ||||||
| 9,800 | Hain Celestial Group, Inc.d | 889,644 | ||||||
| 45,500 | Nestle SA | 3,334,698 | ||||||
| 39,147 | PepsiCo, Inc. | 3,246,852 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
168
Balanced Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (52.5%) | Value | ||||||
| Consumer Staples (4.3%) - continued |
| ||||||
| 27,800 | WhiteWave Foods Companyd | $ | 637,732 | |||||
|
| |||||||
| Total | 11,819,057 | |||||||
|
| |||||||
| Energy (5.0%) |
| ||||||
| 6,000 | Concho Resources, Inc.d | 648,000 | ||||||
| 7,700 | EOG Resources, Inc. | 1,292,368 | ||||||
| 77,222 | Marathon Oil Corporation | 2,725,936 | ||||||
| 14,925 | Schlumberger, Ltd. | 1,344,892 | ||||||
| 8,700 | SM Energy Company | 723,057 | ||||||
| 93,900 | Total SA ADR | 5,753,253 | ||||||
| 87,500 | Weatherford International, Ltd.d | 1,355,375 | ||||||
|
| |||||||
| Total | 13,842,881 | |||||||
|
| |||||||
| Financials (10.0%) |
| ||||||
| 3,800 | Affiliated Managers Group, Inc.d | 824,144 | ||||||
| 12,600 | Axis Capital Holdings, Ltd. | 599,382 | ||||||
| 143,654 | Bank of America Corporation | 2,236,693 | ||||||
| 4,400 | Boston Properties, Inc. | 441,628 | ||||||
| 8,800 | Camden Property Trust | 500,544 | ||||||
| 48,038 | Citigroup, Inc. | 2,503,260 | ||||||
| 35,000 | DDR Corporation | 537,950 | ||||||
| 3,200 | Equity Residential | 165,984 | ||||||
| 14,700 | HCC Insurance Holdings, Inc. | 678,258 | ||||||
| 9,800 | Host Hotels & Resorts, Inc. | 190,512 | ||||||
| 102,700 | Invesco, Ltd. | 3,738,280 | ||||||
| 24,260 | iShares J.P. Morgan USD Emerging Markets Bond ETF | 2,623,962 | ||||||
| 35,400 | Lazard, Ltd. | 1,604,328 | ||||||
| 22,350 | Macerich Company | 1,316,192 | ||||||
| 3,500 | MasterCard, Inc. | 2,924,110 | ||||||
| 18,600 | Popular, Inc.d | 534,378 | ||||||
| 4,600 | Prologis, Inc. | 169,970 | ||||||
| 3,100 | Public Storage, Inc. | 466,612 | ||||||
| 3,903 | Simon Property Group, Inc. | 593,880 | ||||||
| 17,000 | Tanger Factory Outlet Centers, Inc. | 544,340 | ||||||
| 11,300 | Vanguard Dividend Appreciation Index Fund ETF | 850,212 | ||||||
| 12,100 | Visa, Inc. | 2,694,428 | ||||||
| 2,000 | Vornado Realty Trust | 177,580 | ||||||
| 19,600 | Zions Bancorporation | 587,216 | ||||||
|
| |||||||
| Total | 27,503,843 | |||||||
|
| |||||||
| Health Care (5.2%) |
| ||||||
| 4,900 | Actavis, Inc.d | 823,200 | ||||||
| 42,500 | Baxter International, Inc. | 2,955,875 | ||||||
| 51,400 | Covidien plc | 3,500,340 | ||||||
| 24,877 | Express Scripts Holding Companyd | 1,747,360 | ||||||
| 9,800 | Gilead Sciences, Inc.d | 736,470 | ||||||
| 25,400 | Hologic, Inc.d | 567,690 | ||||||
| 7,700 | Illumina, Inc.d | 851,774 | ||||||
| 29,150 | Johnson & Johnson | 2,669,849 | ||||||
| 5,800 | Waters Corporationd | 580,000 | ||||||
|
| |||||||
| Total | 14,432,558 | |||||||
|
| |||||||
| Industrials (7.0%) |
| ||||||
| 14,900 | Actuant Corporation | 545,936 | ||||||
| 9,500 | B/E Aerospace, Inc.d | 826,785 | ||||||
| 28,028 | Boeing Company | 3,825,542 | ||||||
| 14,800 | EMCOR Group, Inc. | 628,112 | ||||||
| 9,500 | Flowserve Corporation | 748,885 | ||||||
| 14,900 | HNI Corporation | 578,567 | ||||||
| 39,537 | Honeywell International, Inc. | 3,612,495 | ||||||
| 20,800 | Ingersoll-Rand plc | 1,281,280 | ||||||
| 41,500 | Jacobs Engineering Group, Inc.d | 2,614,085 | ||||||
| 7,200 | Manpower, Inc. | 618,192 | ||||||
| 4,700 | Stericycle, Inc.d | 545,999 | ||||||
| 20,000 | Union Pacific Corporation | 3,360,000 | ||||||
|
| |||||||
| Total | 19,185,878 | |||||||
|
| |||||||
| Information Technology (9.3%) |
| ||||||
| 26,600 | Agilent Technologies, Inc. | 1,521,254 | ||||||
| 11,200 | Apple, Inc. | 6,284,432 | ||||||
| 9,600 | Autodesk, Inc.d | 483,168 | ||||||
| 23,608 | E2open, Inc.d | 564,467 | ||||||
| 75,300 | EMC Corporation | 1,893,795 | ||||||
| 19,800 | Facebook, Inc.d | 1,082,268 | ||||||
| 1,300 | Google, Inc.d | 1,456,923 | ||||||
| 12,200 | Informatica Corporationd | 506,300 | ||||||
| 36,500 | Juniper Networks, Inc.d | 823,805 | ||||||
| 17,900 | NetApp, Inc. | 736,406 | ||||||
| 25,023 | QLIK Technologies, Inc.d | 666,362 | ||||||
| 141,522 | Symantec Corporation | 3,337,089 | ||||||
| 10,800 | Teradata Corporationd | 491,292 | ||||||
| 25,300 | TIBCO Software, Inc.d | 568,744 | ||||||
| 50 | Twitter, Inc.d | 3,183 | ||||||
| 13,150 | Ubiquiti Networks, Inc.d | 604,374 | ||||||
| 18,900 | VMware, Inc.d | 1,695,519 | ||||||
| 60,400 | Xilinx, Inc. | 2,773,568 | ||||||
|
| |||||||
| Total | 25,492,949 | |||||||
|
| |||||||
| Materials (1.7%) |
| ||||||
| 2,100 | Airgas, Inc. | 234,885 | ||||||
| 2,600 | Ashland, Inc. | 252,304 | ||||||
| 5,400 | Crown Holdings, Inc.d | 240,678 | ||||||
| 5,100 | Domtar Corporation | 481,134 | ||||||
| 3,100 | FMC Corporation | 233,926 | ||||||
| 56,400 | Materials Select Sector SPDR Fund | 2,606,808 | ||||||
| 7,400 | Owens-Illinois, Inc.d | 264,772 | ||||||
| 1,300 | PPG Industries, Inc. | 246,558 | ||||||
| 13,200 | Steel Dynamics, Inc. | 257,928 | ||||||
|
| |||||||
| Total | 4,818,993 | |||||||
|
| |||||||
| Utilities (1.3%) |
| ||||||
| 23,500 | MDU Resources Group, Inc. | 717,925 | ||||||
| 10,800 | Southwest Gas Corporation | 603,828 | ||||||
| 56,900 | Utilities Select Sector SPDR Fund | 2,160,493 | ||||||
|
| |||||||
| Total | 3,482,246 | |||||||
|
| |||||||
Total Common Stock (cost $124,173,735) | 144,441,999 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (30.1%) | |||||||
| Asset-Backed Securities (1.3%) |
| ||||||
Asset Backed Securities Corporation Home Equity Loan Trust | ||||||||
| 492,350 | 0.305%, 7/25/2036e | 437,568 | ||||||
Countrywide Home Loans, Inc. | ||||||||
| 226,527 | 6.085%, 6/25/2021f | 264,006 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
169
Balanced Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (30.1%) | Value | ||||||
| Asset-Backed Securities (1.3%) - continued |
| ||||||
Credit Based Asset Servicing and Securitization, LLC | ||||||||
| $280,781 | 5.501%, 12/25/2036 | $ | 182,574 | |||||
First Horizon ABS Trust | ||||||||
| 276,186 | 0.295%, 10/25/2026e,f | 254,596 | ||||||
| 538,696 | 0.325%, 10/25/2034e,f | 445,830 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 878,320 | 0.345%, 8/25/2035e,f | 736,451 | ||||||
| 541,065 | 0.345%, 12/25/2036e,f | 456,860 | ||||||
IndyMac Seconds Asset-Backed Trust | ||||||||
| 356,231 | 0.335%, 10/25/2036e,f | 183,315 | ||||||
Wachovia Asset Securitization, Inc. | ||||||||
| 680,851 | 0.305%, 7/25/2037e,f,g | 597,260 | ||||||
|
| |||||||
| Total | 3,558,460 | |||||||
|
| |||||||
| Basic Materials (0.8%) |
| ||||||
BHP Billiton Finance USA, Ltd. | ||||||||
| 160,000 | 2.050%, 9/30/2018 | 159,980 | ||||||
Dow Chemical Company | ||||||||
| 86,000 | 8.550%, 5/15/2019 | 111,043 | ||||||
FMG Resources Pty. Ltd. | ||||||||
| 227,936 | 6.875%, 2/1/2018h | 239,903 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| 105,000 | 2.375%, 3/15/2018 | 104,743 | ||||||
Hexion US Finance Corporation/Hexion Nova Scotia Finance ULC | ||||||||
| 227,936 | 8.875%, 2/1/2018 | 236,768 | ||||||
Ineos Finance plc | ||||||||
| 263,000 | 7.500%, 5/1/2020h | 288,314 | ||||||
Inmet Mining Corporation | ||||||||
| 227,936 | 8.750%, 6/1/2020h | 247,311 | ||||||
LyondellBasell Industries NV | ||||||||
| 80,000 | 5.000%, 4/15/2019 | 88,850 | ||||||
| 86,000 | 6.000%, 11/15/2021 | 98,910 | ||||||
NOVA Chemicals Corporation | ||||||||
| 341,904 | 5.250%, 8/1/2023h | 352,161 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
| 135,000 | 2.050%, 10/23/2015h | 136,718 | ||||||
| 217,000 | 2.700%, 10/25/2017h | 219,463 | ||||||
|
| |||||||
| Total | 2,284,164 | |||||||
|
| |||||||
| Capital Goods (0.8%) |
| ||||||
BAE Systems plc | ||||||||
| 132,000 | 3.500%, 10/11/2016h | 137,986 | ||||||
Cemex Finance, LLC | ||||||||
| 227,936 | 9.375%, 10/12/2017h | 256,998 | ||||||
CNH Capital, LLC | ||||||||
| 227,936 | 3.625%, 4/15/2018 | 231,070 | ||||||
Eaton Corporation | ||||||||
| 136,000 | 1.500%, 11/2/2017 | 133,325 | ||||||
John Deere Capital Corporation | ||||||||
| 264,000 | 1.050%, 10/11/2016 | 264,760 | ||||||
Nortek, Inc. | ||||||||
| 227,936 | 8.500%, 4/15/2021 | 252,439 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
| 227,936 | 9.875%, 8/15/2019 | 253,579 | ||||||
Roper Industries, Inc. | ||||||||
| 125,000 | 1.850%, 11/15/2017 | 123,908 | ||||||
Textron, Inc. | ||||||||
| 132,000 | 4.625%, 9/21/2016 | 142,298 | ||||||
Trinseo Materials Operating SCA | ||||||||
| 238,000 | 8.750%, 2/1/2019h | 245,735 | ||||||
United Rentals North America, Inc. | ||||||||
| 273,000 | 7.375%, 5/15/2020 | 302,689 | ||||||
|
| |||||||
| Total | 2,344,787 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (3.7%) |
| ||||||
Banc of America Alternative Loan Trust | ||||||||
| 755,935 | 6.000%, 11/25/2035 | 623,306 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 606,715 | 6.500%, 8/25/2036 | 413,269 | ||||||
Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
| 482,464 | 5.250%, 10/25/2035 | 468,367 | ||||||
Deutsche Alt-A Securities, Inc., Mortgage Loan Trust | ||||||||
| 888,898 | 5.500%, 11/25/2035 | 806,970 | ||||||
| 444,905 | 0.900%, 4/25/2047e | 367,176 | ||||||
J.P. Morgan Alternative Loan Trust | ||||||||
| 848,817 | 6.500%, 3/25/2036 | 744,140 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 739,356 | 2.867%, 8/25/2035 | 734,644 | ||||||
| 641,533 | 2.530%, 1/25/2037 | 565,542 | ||||||
MortgageIT Trust | ||||||||
| 904,667 | 0.425%, 12/25/2035e | 828,774 | ||||||
| 941,300 | 0.365%, 4/25/2036e | 623,820 | ||||||
New York Mortgage Trust 2006-1 | ||||||||
| 281,366 | 2.755%, 5/25/2036 | 245,579 | ||||||
Residential Accredit Loans, Inc. | ||||||||
| 206,705 | 5.750%, 9/25/2035 | 182,075 | ||||||
RFMSI Trust | ||||||||
| 984,935 | 6.000%, 7/25/2037 | 877,304 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
| 474,390 | 2.715%, 9/25/2035 | 401,842 | ||||||
Structured Asset Mortgage Investments, Inc. | ||||||||
| 970,472 | 0.475%, 12/25/2035e | 718,749 | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
| 262,910 | 2.628%, 3/25/2036 | 262,393 | ||||||
| 748,973 | 2.632%, 7/25/2036 | 694,090 | ||||||
| 603,168 | 6.000%, 7/25/2037 | 570,637 | ||||||
|
| |||||||
| Total | 10,128,677 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
170
Balanced Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (30.1%) | Value | ||||||
| Commercial Mortgage-Backed Securities (0.7%) | |||||||
| Banc of America Commercial Mortgage, Inc. | ||||||||
| $ | 600,000 | 5.649%, 6/10/2049 | $ | 663,019 | ||||
| Commercial Mortgage Pass-Through Certificates | ||||||||
| 566,462 | 0.297%, 12/15/2020e,h | 559,410 | ||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 739,420 | 0.337%, 10/15/2021e,h | 734,763 | ||||||
|
| |||||||
Total | 1,957,192 | |||||||
|
| |||||||
| Communications Services (2.4%) | ||||||||
| AMC Networks, Inc. | ||||||||
| 227,936 | 7.750%, 7/15/2021 | 256,428 | ||||||
| America Movil SAB de CV | ||||||||
| 88,000 | 5.000%, 10/16/2019 | 96,140 | ||||||
| American Tower Corporation | ||||||||
| 130,000 | 7.000%, 10/15/2017 | 149,837 | ||||||
| AT&T, Inc. | ||||||||
| 284,000 | 2.400%, 8/15/2016 | 292,050 | ||||||
| British Telecommunications plc | ||||||||
| 136,000 | 1.625%, 6/28/2016 | 137,198 | ||||||
| CBS Corporation | ||||||||
| 120,000 | 8.875%, 5/15/2019 | 153,424 | ||||||
| CC Holdings GS V, LLC | ||||||||
| 198,000 | 2.381%, 12/15/2017 | 196,115 | ||||||
| CCO Holdings, LLC | ||||||||
| 227,936 | 7.000%, 1/15/2019 | 240,188 | ||||||
| CenturyLink, Inc. | ||||||||
| 227,936 | 5.625%, 4/1/2020 | 231,925 | ||||||
| Digicel, Ltd. | ||||||||
| 227,936 | 6.000%, 4/15/2021h | 219,958 | ||||||
| DIRECTV Holdings, LLC | ||||||||
| 158,000 | 3.500%, 3/1/2016 | 165,851 | ||||||
| 86,000 | 5.875%, 10/1/2019 | 97,419 | ||||||
| Hughes Satellite Systems Corporation | ||||||||
| 273,000 | 6.500%, 6/15/2019 | 295,523 | ||||||
| Intelsat Jackson Holdings SA | ||||||||
| 227,936 | 7.250%, 10/15/2020 | 249,305 | ||||||
| Level 3 Financing, Inc. | ||||||||
| 273,000 | 8.625%, 7/15/2020 | 305,760 | ||||||
| NBC Universal Enterprise, Inc. | ||||||||
| 132,000 | 1.662%, 4/15/2018h | 128,919 | ||||||
| News America, Inc. | ||||||||
| 86,000 | 4.500%, 2/15/2021 | 92,181 | ||||||
| SBA Tower Trust | ||||||||
| 260,000 | 5.101%, 4/17/2017h | 280,263 | ||||||
| Sprint Communications, Inc. | ||||||||
| 227,936 | 9.000%, 11/15/2018h | 274,663 | ||||||
| Telefonica Emisiones SAU | ||||||||
| 172,000 | 3.992%, 2/16/2016 | 180,668 | ||||||
| 171,000 | 3.192%, 4/27/2018 | 174,149 | ||||||
| T-Mobile USA, Inc. | ||||||||
| 250,000 | 6.633%, 4/28/2021 | 263,125 | ||||||
| Univision Communications, Inc. | ||||||||
| 325,000 | 7.875%, 11/1/2020h | 357,094 | ||||||
| UPCB Finance V, Ltd. | ||||||||
| 325,000 | 7.250%, 11/15/2021h | 352,625 | ||||||
| Verizon Communications, Inc. | ||||||||
| 308,000 | 2.500%, 9/15/2016 | 318,483 | ||||||
| 136,000 | 1.993%, 9/14/2018e | 143,004 | ||||||
| 220,000 | 3.650%, 9/14/2018 | 232,884 | ||||||
| WideOpenWest Finance, LLC | ||||||||
| 325,000 | 10.250%, 7/15/2019 | 360,750 | ||||||
| Wind Acquisition Finance SA | ||||||||
| 227,936 | 11.750%, 7/15/2017h | 242,467 | ||||||
|
| |||||||
Total | 6,488,396 | |||||||
|
| |||||||
| Consumer Cyclical (1.4%) | ||||||||
| Amazon.com, Inc. | ||||||||
| 191,000 | 1.200%, 11/29/2017 | 187,007 | ||||||
| Chrysler Group, LLC | ||||||||
| 227,936 | 8.250%, 6/15/2021 | 259,277 | ||||||
| Cinemark USA, Inc. | ||||||||
| 263,000 | 4.875%, 6/1/2023 | 247,220 | ||||||
| Ford Motor Credit Company, LLC | ||||||||
| 303,000 | 3.984%, 6/15/2016 | 322,210 | ||||||
| 165,000 | 3.000%, 6/12/2017 | 171,488 | ||||||
| 130,000 | 5.000%, 5/15/2018 | 144,808 | ||||||
| General Motors Company | ||||||||
| 176,000 | 3.500%, 10/2/2018h | 179,960 | ||||||
| General Motors Financial Company, Inc. | ||||||||
| 227,936 | 3.250%, 5/15/2018h | 227,936 | ||||||
| Home Depot, Inc. | ||||||||
| 86,000 | 3.950%, 9/15/2020 | 91,753 | ||||||
| Jaguar Land Rover Automotive plc | ||||||||
| 273,000 | 5.625%, 2/1/2023h | 273,000 | ||||||
| L Brands, Inc. | ||||||||
| 273,000 | 6.625%, 4/1/2021 | 299,618 | ||||||
| Macy’s Retail Holdings, Inc. | ||||||||
| 237,000 | 7.450%, 7/15/2017 | 277,169 | ||||||
| Royal Caribbean Cruises, Ltd. | ||||||||
| 227,936 | 5.250%, 11/15/2022 | 227,936 | ||||||
| Toll Brothers Finance Corporation | ||||||||
| 176,000 | 4.000%, 12/31/2018 | 179,080 | ||||||
| Toyota Motor Credit Corporation | ||||||||
| 130,000 | 2.000%, 10/24/2018 | 129,962 | ||||||
| West Corporation | ||||||||
| 227,936 | 8.625%, 10/1/2018 | 247,880 | ||||||
| Wynn Las Vegas, LLC | ||||||||
| 273,000 | 5.375%, 3/15/2022 | 275,730 | ||||||
|
| |||||||
Total | 3,742,034 | |||||||
|
| |||||||
| Consumer Non-Cyclical (2.6%) | ||||||||
| AbbVie, Inc. | ||||||||
| 276,000 | 1.750%, 11/6/2017 | 275,527 | ||||||
| Altria Group, Inc. | ||||||||
| 145,000 | 9.700%, 11/10/2018 | 190,587 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 150,000 | 7.750%, 1/15/2019 | 187,299 | ||||||
| Beam, Inc. | ||||||||
| 80,000 | 5.375%, 1/15/2016 | 86,580 | ||||||
| Biomet, Inc. | ||||||||
| 227,936 | 6.500%, 8/1/2020 | 239,333 | ||||||
| Boston Scientific Corporation | ||||||||
| 158,000 | 2.650%, 10/1/2018 | 159,075 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
171
Balanced Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (30.1%) | Value | ||||||
| Consumer Non-Cyclical (2.6%) - continued | |||||||
| Celgene Corporation | ||||||||
| $ | 167,000 | 1.900%, 8/15/2017 | $ | 166,210 | ||||
| CHS/Community Health Systems, Inc. | ||||||||
| 273,000 | 7.125%, 7/15/2020 | 283,237 | ||||||
| ConAgra Foods, Inc. | ||||||||
| 190,000 | 2.100%, 3/15/2018 | 187,912 | ||||||
| CVS Caremark Corporation | ||||||||
| 86,000 | 2.250%, 12/5/2018 | 85,975 | ||||||
| Emergency Medical Services Corporation | ||||||||
| 147,936 | 8.125%, 6/1/2019 | 160,326 | ||||||
| Endo Health Solutions, Inc. | ||||||||
| 227,936 | 7.250%, 1/15/2022 | 243,892 | ||||||
| Express Scripts Holding Company | ||||||||
| 158,000 | 3.125%, 5/15/2016 | 164,907 | ||||||
| 176,000 | 2.650%, 2/15/2017 | 181,399 | ||||||
| Fresenius Medical Care US Finance, Inc. | ||||||||
| 227,936 | 5.750%, 2/15/2021h | 241,612 | ||||||
| Gilead Sciences, Inc. | ||||||||
| 158,000 | 3.050%, 12/1/2016 | 166,828 | ||||||
| Hawk Acquisition Sub, Inc. | ||||||||
| 273,000 | 4.250%, 10/15/2020h | 264,127 | ||||||
| HCA, Inc. | ||||||||
| 227,936 | 4.750%, 5/1/2023 | 214,260 | ||||||
| Health Management Associates, Inc. | ||||||||
| 227,936 | 7.375%, 1/15/2020 | 255,003 | ||||||
| Heineken NV | ||||||||
| 72,000 | 1.400%, 10/1/2017h | 70,637 | ||||||
| IMS Health, Inc. | ||||||||
| 250,000 | 6.000%, 11/1/2020h | 265,625 | ||||||
| JBS Finance II, Ltd. | ||||||||
| 227,936 | 8.250%, 1/29/2018g | 239,333 | ||||||
| Kroger Company | ||||||||
| 160,000 | 1.200%, 10/17/2016 | 160,068 | ||||||
| Lorillard Tobacco Company | ||||||||
| 218,000 | 8.125%, 6/23/2019 | 265,556 | ||||||
| Mylan, Inc. | ||||||||
| 155,000 | 1.350%, 11/29/2016 | 154,716 | ||||||
| Pernod Ricard SA | ||||||||
| 80,000 | 2.950%, 1/15/2017h | 82,617 | ||||||
| 80,000 | 5.750%, 4/7/2021h | 88,181 | ||||||
| Perrigo Company, Ltd. | ||||||||
| 176,000 | 1.300%, 11/8/2016h | 175,390 | ||||||
| 88,000 | 2.300%, 11/8/2018h | 86,858 | ||||||
| Revlon Consumer Products Corporation | ||||||||
| 227,936 | 5.750%, 2/15/2021 | 224,802 | ||||||
| SABMiller plc | ||||||||
| 128,000 | 6.500%, 7/15/2018h | 151,101 | ||||||
| Safeway, Inc. | ||||||||
| 264,000 | 3.400%, 12/1/2016 | 274,669 | ||||||
| Spectrum Brands Escrow Corporation | ||||||||
| 273,000 | 6.375%, 11/15/2020h | 291,427 | ||||||
| Thermo Fisher Scientific, Inc. | ||||||||
| 172,000 | 1.300%, 2/1/2017 | 171,253 | ||||||
| 172,000 | 2.400%, 2/1/2019 | 170,399 | ||||||
| Valeant Pharmaceuticals International | ||||||||
| 227,936 | 7.250%, 7/15/2022h | 245,316 | ||||||
| Watson Pharmaceuticals, Inc. | ||||||||
| 196,000 | 1.875%, 10/1/2017 | 193,956 | ||||||
| WM Wrigley Jr. Company | ||||||||
| 132,000 | 2.000%, 10/20/2017h | 131,633 | ||||||
|
| |||||||
Total | 7,197,626 | |||||||
|
| |||||||
| Energy (1.7%) | ||||||||
| BP Capital Markets plc | ||||||||
| 176,000 | 0.658%, 11/7/2016e | 176,743 | ||||||
| 160,000 | 2.241%, 9/26/2018 | 160,462 | ||||||
| CNOOC, Ltd. | ||||||||
| 176,000 | 1.125%, 5/9/2016 | 175,352 | ||||||
| Concho Resources, Inc. | ||||||||
| 227,936 | 6.500%, 1/15/2022 | 246,741 | ||||||
| Continental Resources, Inc. | ||||||||
| 200,000 | 7.125%, 4/1/2021 | 226,750 | ||||||
| Devon Energy Corporation | ||||||||
| 160,000 | 1.200%, 12/15/2016 | 159,933 | ||||||
| Energy Transfer Partners, LP | ||||||||
| 88,000 | 6.700%, 7/1/2018 | 102,173 | ||||||
| EQT Corporation | ||||||||
| 88,000 | 8.125%, 6/1/2019 | 106,759 | ||||||
| Gazprom Neft OAO Via GPN Capital SA | ||||||||
| 285,000 | 6.000%, 11/27/2023h | 289,275 | ||||||
| Harvest Operations Corporation | ||||||||
| 227,936 | 6.875%, 10/1/2017 | 249,590 | ||||||
| Hess Corporation | ||||||||
| 158,000 | 8.125%, 2/15/2019 | 196,254 | ||||||
| Kodiak Oil & Gas Corporation | ||||||||
| 227,936 | 5.500%, 1/15/2021 | 227,366 | ||||||
| Linn Energy, LLC | ||||||||
| 227,936 | 8.625%, 4/15/2020 | 246,171 | ||||||
| Lukoil International Finance BV | ||||||||
| 80,000 | 3.416%, 4/24/2018h | 80,700 | ||||||
| MEG Energy Corporation | ||||||||
| 273,000 | 6.375%, 1/30/2023h | 274,706 | ||||||
| Oasis Petroleum, Inc. | ||||||||
| 273,000 | 6.875%, 1/15/2023 | 290,745 | ||||||
| Offshore Group Investment, Ltd. | ||||||||
| 325,000 | 7.500%, 11/1/2019 | 353,437 | ||||||
| Petrobras Global Finance BV | ||||||||
| 204,000 | 2.000%, 5/20/2016 | 203,839 | ||||||
| Range Resources Corporation | ||||||||
| 321,390 | 5.000%, 8/15/2022 | 315,766 | ||||||
| Suncor Energy, Inc. | ||||||||
| 130,000 | 6.100%, 6/1/2018 | 150,274 | ||||||
| Transocean, Inc. | ||||||||
| 220,000 | 5.050%, 12/15/2016 | 243,028 | ||||||
| Weatherford International, Ltd. | ||||||||
| 130,000 | 6.000%, 3/15/2018 | 145,897 | ||||||
| 88,000 | 9.625%, 3/1/2019 | 113,068 | ||||||
|
| |||||||
Total | 4,735,029 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
172
Balanced Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (30.1%) | Value | ||||||
| Financials (6.2%) | |||||||
| Abbey National Treasury Services plc | ||||||||
| $ | 80,000 | 3.050%, 8/23/2018 | $ | 82,202 | ||||
| Ally Financial, Inc. | ||||||||
| 325,000 | 4.750%, 9/10/2018 | 340,031 | ||||||
| American International Group, Inc. | ||||||||
| 261,000 | 8.250%, 8/15/2018 | 326,480 | ||||||
| Aviation Capital Group Corporation | ||||||||
| 138,000 | 3.875%, 9/27/2016 h | 142,539 | ||||||
| Bank of America Corporation | ||||||||
| 272,000 | 5.750%, 8/15/2016 | 299,964 | ||||||
| 175,000 | 5.750%, 12/1/2017 | 199,170 | ||||||
| 150,000 | 1.316%, 3/22/2018e | 151,992 | ||||||
| 265,000 | 5.650%, 5/1/2018 | 301,641 | ||||||
| 130,000 | 2.600%, 1/15/2019 | 130,574 | ||||||
| 130,000 | 5.625%, 7/1/2020 | 148,553 | ||||||
| Bank of Nova Scotia | ||||||||
| 160,000 | 1.100%, 12/13/2016 | 160,767 | ||||||
| Barclays Bank plc | ||||||||
| 145,000 | 5.140%, 10/14/2020 | 154,406 | ||||||
| BB&T Corporation | ||||||||
| 130,000 | 2.050%, 6/19/2018 | 128,705 | ||||||
| BBVA Banco Continental SA | ||||||||
| 130,000 | 2.250%, 7/29/2016h | 129,350 | ||||||
| BBVA US Senior SAU | ||||||||
| 200,000 | 4.664%, 10/9/2015 | 210,256 | ||||||
| Bear Stearns Companies, LLC | ||||||||
| 271,000 | 6.400%, 10/2/2017 | 314,512 | ||||||
| BNP Paribas SA | ||||||||
| 172,000 | 1.250%, 12/12/2016 | 172,126 | ||||||
| 197,000 | 2.375%, 9/14/2017 | 201,130 | ||||||
| Branch Banking and Trust Company | ||||||||
| 176,000 | 0.667%, 12/1/2016e | 176,148 | ||||||
| Capital One Financial Corporation | ||||||||
| 132,000 | 6.150%, 9/1/2016 | 147,640 | ||||||
| Citigroup, Inc. | ||||||||
| 272,000 | 5.000%, 9/15/2014 | 279,748 | ||||||
| 305,000 | 5.500%, 2/15/2017 | 336,060 | ||||||
| 160,000 | 6.000%, 8/15/2017 | 182,362 | ||||||
| 172,000 | 8.500%, 5/22/2019 | 220,433 | ||||||
| CNA Financial Corporation | ||||||||
| 120,000 | 7.350%, 11/15/2019 | 145,465 | ||||||
| Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
| 275,000 | 4.625%, 12/1/2023 | 276,930 | ||||||
| Credit Agricole SA | ||||||||
| 176,000 | 1.625%, 4/15/2016h | 177,085 | ||||||
| Credit Suisse AG | ||||||||
| 258,000 | 5.400%, 1/14/2020 | 286,724 | ||||||
| CyrusOne, LP | ||||||||
| 227,936 | 6.375%, 11/15/2022 | 235,914 | ||||||
| Denali Borrower, LLC | ||||||||
| 425,000 | 5.625%, 10/15/2020h | 421,281 | ||||||
| Developers Diversified Realty Corporation | ||||||||
| 129,000 | 7.875%, 9/1/2020 | 159,364 | ||||||
| Discover Financial Services | ||||||||
| 138,000 | 6.450%, 6/12/2017 | 156,373 | ||||||
| Fifth Third Bancorp | ||||||||
| 167,000 | 5.450%, 1/15/2017 | 183,532 | ||||||
| General Electric Capital Corporation | ||||||||
| 450,000 | 5.625%, 9/15/2017 | 511,919 | ||||||
| 61,000 | 1.625%, 4/2/2018 | 60,352 | ||||||
| Goldman Sachs Group, Inc. | ||||||||
| 202,000 | 6.250%, 9/1/2017 | 231,262 | ||||||
| 179,000 | 7.500%, 2/15/2019 | 218,016 | ||||||
| 145,000 | 5.375%, 3/15/2020 | 161,259 | ||||||
| Hartford Financial Services Group, Inc. | ||||||||
| 259,000 | 6.000%, 1/15/2019 | 297,051 | ||||||
| HCP, Inc. | ||||||||
| 66,000 | 3.750%, 2/1/2016 | 69,353 | ||||||
| 88,000 | 3.750%, 2/1/2019 | 91,404 | ||||||
| Health Care REIT, Inc. | ||||||||
| 88,000 | 4.700%, 9/15/2017 | 95,656 | ||||||
| HSBC Finance Corporation | ||||||||
| 220,000 | 6.676%, 1/15/2021 | 252,788 | ||||||
| HSBC USA, Inc. | ||||||||
| 46,000 | 1.625%, 1/16/2018 | 45,359 | ||||||
| Huntington National Bank | ||||||||
| 176,000 | 1.300%, 11/20/2016 | 176,027 | ||||||
| Icahn Enterprises, LP | ||||||||
| 227,936 | 8.000%, 1/15/2018 | 237,053 | ||||||
| ING Bank NV | ||||||||
| 105,000 | 3.750%, 3/7/2017h | 110,588 | ||||||
| ING Capital Funding Trust III | ||||||||
| 136,000 | 3.847%, 12/29/2049e,i | 135,490 | ||||||
| ING US, Inc. | ||||||||
| 130,000 | 2.900%, 2/15/2018 | 132,962 | ||||||
| International Lease Finance Corporation | ||||||||
| 80,000 | 2.193%, 6/15/2016e | 80,400 | ||||||
| Intesa Sanpaolo SPA | ||||||||
| 132,000 | 3.625%, 8/12/2015h | 135,821 | ||||||
| 132,000 | 3.875%, 1/15/2019 | 131,237 | ||||||
| J.P. Morgan Chase & Company | ||||||||
| 270,000 | 3.450%, 3/1/2016 | 283,188 | ||||||
| 136,000 | 6.300%, 4/23/2019 | 160,515 | ||||||
| 282,000 | 7.900%, 4/29/2049i | 310,905 | ||||||
| KeyCorp | ||||||||
| 176,000 | 2.300%, 12/13/2018 | 174,723 | ||||||
| 52,000 | 5.100%, 3/24/2021 | 56,831 | ||||||
| Liberty Mutual Group, Inc. | ||||||||
| 35,000 | 5.000%, 6/1/2021h | 36,708 | ||||||
| Liberty Property, LP | ||||||||
| 146,000 | 5.500%, 12/15/2016 | 161,165 | ||||||
| Lloyds TSB Bank plc | ||||||||
| 158,000 | 6.500%, 9/14/2020h | 179,605 | ||||||
| Macquarie Bank, Ltd. | ||||||||
| 184,000 | 5.000%, 2/22/2017h | 199,537 | ||||||
| Mizuho Corporate Bank, Ltd. | ||||||||
| 135,000 | 1.550%, 10/17/2017h | 131,940 | ||||||
| Morgan Stanley | ||||||||
| 198,000 | 4.750%, 4/1/2014 | 199,574 | ||||||
| 180,000 | 1.750%, 2/25/2016 | 182,417 | ||||||
| 198,000 | 6.250%, 8/28/2017 | 226,557 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
173
Balanced Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (30.1%) | Value | ||||||
| Financials (6.2%) - continued | |||||||
| $ | 75,000 | 4.875%, 11/1/2022 | $ | 76,775 | ||||
| Murray Street Investment Trust I | ||||||||
| 272,000 | 4.647%, 3/9/2017 | 292,913 | ||||||
| National City Corporation | ||||||||
| 122,000 | 6.875%, 5/15/2019 | 144,562 | ||||||
| Nomura Holdings, Inc. | ||||||||
| 198,000 | 2.000%, 9/13/2016 | 199,637 | ||||||
| Omega Healthcare Investors, Inc. | ||||||||
| 227,936 | 5.875%, 3/15/2024 | 230,215 | ||||||
| PNC Bank NA | ||||||||
| 260,000 | 1.150%, 11/1/2016 | 260,319 | ||||||
| Preferred Term Securities XXIII, Ltd. | ||||||||
| 789,179 | 0.443%, 12/22/2036e,g | 587,457 | ||||||
| Prologis, LP | ||||||||
| 149,000 | 6.625%, 5/15/2018 | 174,028 | ||||||
| Prudential Covered Trust | ||||||||
| 127,500 | 2.997%, 9/30/2015h | 131,450 | ||||||
| Realty Income Corporation | ||||||||
| 95,000 | 2.000%, 1/31/2018 | 93,039 | ||||||
| Regions Bank | ||||||||
| 207,000 | 7.500%, 5/15/2018 | 244,940 | ||||||
| Reinsurance Group of America, Inc. | ||||||||
| 200,000 | 5.625%, 3/15/2017 | 220,484 | ||||||
| Royal Bank of Scotland Group plc | ||||||||
| 193,000 | 5.050%, 1/8/2015 | 198,713 | ||||||
| Santander US Debt SAU | ||||||||
| 207,000 | 3.781%, 10/7/2015h | 213,302 | ||||||
| SLM Corporation | ||||||||
| 138,000 | 6.250%, 1/25/2016 | 149,040 | ||||||
| Svenska Handelsbanken AB | ||||||||
| 132,000 | 3.125%, 7/12/2016 | 138,060 | ||||||
| Swedbank Hypotek AB | ||||||||
| 158,000 | 1.375%, 3/28/2018h | 154,350 | ||||||
| Swiss RE Capital I, LP | ||||||||
| 150,000 | 6.854%, 5/29/2049 h,i | 158,550 | ||||||
| Ventas Realty, LP | ||||||||
| 264,000 | 1.550%, 9/26/2016 | 265,873 | ||||||
| Washington Mutual Bank | ||||||||
| 500,000 | 5.500%, 1/15/2013j,k | 0 | ||||||
| Wells Fargo & Company | ||||||||
| 207,000 | 1.250%, 7/20/2016 | 208,536 | ||||||
| 260,000 | 2.150%, 1/15/2019 | 259,186 | ||||||
| Westpac Banking Corporation | ||||||||
| 176,000 | 0.668%, 11/25/2016e | 176,248 | ||||||
| XLIT, Ltd. | ||||||||
| 176,000 | 2.300%, 12/15/2018 | 172,865 | ||||||
|
| |||||||
Total | 17,207,661 | |||||||
|
| |||||||
| Mortgage-Backed Securities (5.4%) | ||||||||
| Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 91 | 6.000%, 2/1/2014 | 91 | ||||||
| 1,151 | 5.500%, 4/1/2014 | 1,212 | ||||||
| 723 | 6.000%, 4/1/2014 | 723 | ||||||
| 138 | 6.000%, 4/1/2014 | 140 | ||||||
| 978 | 6.500%, 6/1/2014 | 990 | ||||||
| 1,779 | 7.500%, 9/1/2014 | 1,809 | ||||||
| 151,768 | 5.500%, 12/1/2017 | 161,910 | ||||||
| 1,500,000 | 3.000%, 1/1/2029c | 1,527,773 | ||||||
| Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 12,843 | 6.500%, 4/1/2024 | 14,429 | ||||||
| 20,492 | 9.000%, 11/1/2024 | 23,928 | ||||||
| 1,048 | 9.000%, 4/1/2025 | 1,233 | ||||||
| 1,053 | 7.000%, 9/1/2025 | 1,209 | ||||||
| 1,111 | 8.500%, 9/1/2025 | 1,294 | ||||||
| 647 | 6.500%, 5/1/2026 | 733 | ||||||
| 4,041 | 6.000%, 7/1/2026 | 4,516 | ||||||
| 1,434 | 7.500%, 1/1/2027 | 1,611 | ||||||
| 1,298 | 6.500%, 2/1/2027 | 1,473 | ||||||
| 3,478 | 7.000%, 2/1/2027 | 4,013 | ||||||
| 16,503 | 8.000%, 3/1/2027 | 18,972 | ||||||
| 2,440 | 7.500%, 4/1/2027 | 2,743 | ||||||
| 6,123 | 8.000%, 6/1/2027 | 7,042 | ||||||
| 1,405 | 8.500%, 7/1/2027 | 1,638 | ||||||
| 2,606 | 7.000%, 9/1/2027 | 3,007 | ||||||
| 5,081 | 8.000%, 10/1/2027 | 5,844 | ||||||
| 3,922 | 7.500%, 11/1/2027 | 4,409 | ||||||
| 2,949 | 7.500%, 12/1/2027 | 3,316 | ||||||
| 9,429 | 6.500%, 6/1/2028 | 10,715 | ||||||
| 9,866 | 7.000%, 10/1/2028 | 11,405 | ||||||
| 18,630 | 6.000%, 3/1/2029 | 20,846 | ||||||
| 7,597 | 6.500%, 4/1/2029 | 8,624 | ||||||
| 17,134 | 6.000%, 5/1/2029 | 19,172 | ||||||
| 24,894 | 7.000%, 5/1/2029 | 28,724 | ||||||
| 7,169 | 6.500%, 7/1/2029 | 8,138 | ||||||
| 6,309 | 6.500%, 8/1/2029 | 7,161 | ||||||
| 3,613 | 7.000%, 9/1/2029 | 4,169 | ||||||
| 3,564 | 7.000%, 10/1/2029 | 4,113 | ||||||
| 6,201 | 7.500%, 11/1/2029 | 6,985 | ||||||
| 8,106 | 7.000%, 1/1/2030 | 9,337 | ||||||
| 13,525 | 7.500%, 1/1/2030 | 15,252 | ||||||
| 3,621 | 8.000%, 8/1/2030 | 4,170 | ||||||
| 12,971 | 6.000%, 3/1/2031 | 14,513 | ||||||
| 39,576 | 6.000%, 6/1/2031 | 44,280 | ||||||
| 38,210 | 6.000%, 1/1/2032 | 42,752 | ||||||
| Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 241 | 7.500%, 4/1/2015 | 252 | ||||||
| 1,500,000 | 3.500%, 1/1/2029c | 1,568,613 | ||||||
| Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 1,939 | 10.500%, 8/1/2020 | 2,182 | ||||||
| 4,614 | 9.500%, 4/1/2025 | 5,472 | ||||||
| 1,242 | 8.500%, 11/1/2025 | 1,444 | ||||||
| 3,986 | 6.500%, 2/1/2026 | 4,512 | ||||||
| 1,880 | 7.000%, 3/1/2026 | 2,161 | ||||||
| 1,840 | 6.500%, 4/1/2026 | 2,083 | ||||||
| 1,344 | 8.500%, 5/1/2026 | 1,562 | ||||||
| 1,500 | 7.500%, 7/1/2026 | 1,683 | ||||||
| 6,529 | 7.500%, 8/1/2026 | 7,321 | ||||||
| 1,304 | 8.000%, 8/1/2026 | 1,496 | ||||||
| 4,902 | 7.000%, 11/1/2026 | 5,636 | ||||||
| 1,152 | 8.000%, 11/1/2026 | 1,321 | ||||||
| 560 | 7.500%, 12/1/2026 | 628 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
174
Balanced Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (30.1%) | Value | ||||||
| Mortgage-Backed Securities (5.4%) - continued | |||||||
| $ | 1,560 | 7.000%, 3/1/2027 | $ | 1,793 | ||||
| 894 | 7.500%, 5/1/2027 | 1,004 | ||||||
| 5,262 | 6.500%, 7/1/2027 | 5,968 | ||||||
| 923 | 7.500%, 8/1/2027 | 1,037 | ||||||
| 18,397 | 8.000%, 9/1/2027 | 21,124 | ||||||
| 2,898 | 7.000%, 10/1/2027 | 3,340 | ||||||
| 3,554 | 8.000%, 12/1/2027 | 4,081 | ||||||
| 5,759 | 6.500%, 2/1/2028 | 6,531 | ||||||
| 2,334 | 7.000%, 2/1/2028 | 2,689 | ||||||
| 41,140 | 6.500%, 7/1/2028 | 46,702 | ||||||
| 22,616 | 7.000%, 8/1/2028 | 26,101 | ||||||
| 19,443 | 6.500%, 11/1/2028 | 22,071 | ||||||
| 3,989 | 6.500%, 11/1/2028 | 4,528 | ||||||
| 906 | 7.000%, 11/1/2028 | 1,046 | ||||||
| 8,861 | 6.000%, 12/1/2028 | 9,952 | ||||||
| 14,692 | 7.000%, 12/1/2028 | 16,956 | ||||||
| 11,770 | 6.000%, 3/1/2029 | 13,217 | ||||||
| 10,557 | 6.500%, 6/1/2029 | 11,992 | ||||||
| 16,171 | 6.000%, 7/1/2029 | 18,160 | ||||||
| 24,589 | 7.500%, 8/1/2029 | 27,660 | ||||||
| 7,897 | 7.000%, 11/1/2029 | 9,117 | ||||||
| 11,888 | 7.000%, 11/1/2029 | 13,725 | ||||||
| 7,260 | 8.500%, 4/1/2030 | 8,454 | ||||||
| 7,910 | 7.500%, 8/1/2030 | 8,906 | ||||||
| 40,004 | 6.500%, 7/1/2031 | 45,444 | ||||||
| 14,043 | 6.500%, 10/1/2031 | 15,952 | ||||||
| 17,098 | 6.500%, 12/1/2031 | 19,422 | ||||||
| 23,916 | 6.500%, 5/1/2032 | 27,176 | ||||||
| 106,786 | 6.500%, 7/1/2032 | 121,342 | ||||||
| 3,125,000 | 3.500%, 1/1/2044c | 3,104,248 | ||||||
| 4,100,000 | 4.000%, 1/1/2044c | 4,220,438 | ||||||
| 1,500,000 | 4.500%, 1/1/2044c | 1,589,355 | ||||||
| Government National Mortgage Association 15-Yr. Pass Through | ||||||||
| 1,916 | 6.000%, 7/15/2014 | 1,943 | ||||||
| Government National Mortgage Association 30-Yr. Pass Through | ||||||||
| 2,593 | 9.500%, 1/15/2025 | 3,061 | ||||||
| 8,933 | 7.000%, 1/15/2026 | 10,294 | ||||||
| 7,366 | 7.000%, 1/15/2026 | 8,489 | ||||||
| 7,860 | 6.000%, 5/15/2026 | 8,763 | ||||||
| 8,160 | 7.000%, 6/15/2026 | 9,404 | ||||||
| 6,027 | 8.500%, 6/15/2026 | 6,983 | ||||||
| 2,150 | 8.500%, 7/15/2026 | 2,491 | ||||||
| 7,666 | 8.000%, 9/15/2026 | 8,775 | ||||||
| 3,102 | 7.500%, 10/15/2026 | 3,510 | ||||||
| 1,233 | 8.000%, 11/15/2026 | 1,411 | ||||||
| 461 | 8.500%, 11/15/2026 | 534 | ||||||
| 1,505 | 9.000%, 12/15/2026 | 1,758 | ||||||
| 11,571 | 7.500%, 4/15/2027 | 13,106 | ||||||
| 3,841 | 8.000%, 6/20/2027 | 4,397 | ||||||
| 330 | 8.000%, 8/15/2027 | 378 | ||||||
| 26,122 | 6.500%, 10/15/2027 | 29,687 | ||||||
| 10,681 | 7.000%, 10/15/2027 | 12,336 | ||||||
| 20,696 | 7.000%, 11/15/2027 | 23,903 | ||||||
| 985 | 7.000%, 11/15/2027 | 1,137 | ||||||
| 51,209 | 7.000%, 7/15/2028 | 59,251 | ||||||
| 14,841 | 7.500%, 7/15/2028 | 16,828 | ||||||
| 22,144 | 6.500%, 9/15/2028 | 25,195 | ||||||
| 30,998 | 6.000%, 12/15/2028 | 34,976 | ||||||
| 19,027 | 6.500%, 1/15/2029 | 21,670 | ||||||
| 109,207 | 6.500%, 3/15/2029 | 124,374 | ||||||
| 19,488 | 6.500%, 4/15/2029 | 22,194 | ||||||
| 11,129 | 7.000%, 4/15/2029 | 12,875 | ||||||
| 34,544 | 6.000%, 6/15/2029 | 38,914 | ||||||
| 18,488 | 7.000%, 6/15/2029 | 21,389 | ||||||
| 9,873 | 8.000%, 5/15/2030 | 11,333 | ||||||
| 21,458 | 7.000%, 9/15/2031 | 24,808 | ||||||
| 22,324 | 6.500%, 2/15/2032 | 25,469 | ||||||
| Vericrest Opportunity Loan Transferee | ||||||||
| 550,000 | 3.625%, 3/25/2054g | 547,635 | ||||||
| 498,673 | 3.625%, 4/25/2055g | 496,738 | ||||||
|
| |||||||
Total | 14,728,320 | |||||||
|
| |||||||
| Technology (0.8%) | ||||||||
| Alliance Data Systems Corporation | ||||||||
| 227,936 | 6.375%, 4/1/2020h | 238,763 | ||||||
| BMC Software Finance, Inc. | ||||||||
| 227,936 | 8.125%, 7/15/2021h | 234,774 | ||||||
| CommScope, Inc. | ||||||||
| 193,000 | 8.250%, 1/15/2019h | 211,576 | ||||||
| Computer Sciences Corporation | ||||||||
| 130,000 | 2.500%, 9/15/2015 | 132,693 | ||||||
| EMC Corporation | ||||||||
| 130,000 | 1.875%, 6/1/2018 | 128,523 | ||||||
| First Data Corporation | ||||||||
| 227,936 | 7.375%, 6/15/2019h | 243,322 | ||||||
| Freescale Semiconductor, Inc. | ||||||||
| 245,000 | 6.000%, 1/15/2022h | 248,063 | ||||||
| Hewlett-Packard Company | ||||||||
| 136,000 | 3.300%, 12/9/2016 | 142,341 | ||||||
| Iron Mountain, Inc. | ||||||||
| 227,936 | 6.000%, 8/15/2023 | 233,634 | ||||||
| Oracle Corporation | ||||||||
| 134,000 | 1.200%, 10/15/2017 | 131,864 | ||||||
| Tyco Electronics Group SA | ||||||||
| 130,000 | 6.550%, 10/1/2017 | 148,772 | ||||||
| Xerox Corporation | ||||||||
| 130,000 | 7.200%, 4/1/2016 | 145,815 | ||||||
|
| |||||||
Total | 2,240,140 | |||||||
|
| |||||||
| Transportation (0.5%) | ||||||||
| Avis Budget Car Rental, LLC | ||||||||
| 227,936 | 8.250%, 1/15/2019 | 248,450 | ||||||
| Continental Airlines, Inc. | ||||||||
| 216,385 | 6.250%, 4/11/2020 | 229,909 | ||||||
| Delta Air Lines, Inc. | ||||||||
| 102,204 | 4.950%, 5/23/2019 | 110,891 | ||||||
| 81,834 | 4.750%, 5/7/2020 | 87,562 | ||||||
| ERAC USA Finance, LLC | ||||||||
| 132,000 | 1.400%, 4/15/2016h | 132,104 | ||||||
| Hertz Corporation | ||||||||
| 273,000 | 6.750%, 4/15/2019 | 294,158 | ||||||
| Kansas City Southern de Mexico SA de CV | ||||||||
| 130,000 | 0.937%, 10/28/2016e | 130,035 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
175
Balanced Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (30.1%) | Value | ||||||
| Transportation (0.5%) - continued | |||||||
| United Air Lines, Inc. | ||||||||
| $ | 78,632 | 10.400%, 11/1/2016 | $ | 89,248 | ||||
|
| |||||||
Total | 1,322,357 | |||||||
|
| |||||||
| U.S. Government and Agencies (0.5%) | ||||||||
| U.S. Treasury Notes | ||||||||
| 1,250,000 | 0.250%, 9/30/2015 | 1,248,877 | ||||||
|
| |||||||
Total | 1,248,877 | |||||||
|
| |||||||
| Utilities (1.3%) | ||||||||
| Access Midstream Partners, LP | ||||||||
| 325,000 | 4.875%, 5/15/2023 | 313,625 | ||||||
| AES Corporation | ||||||||
| 227,936 | 7.375%, 7/1/2021 | 256,998 | ||||||
| Atlas Pipeline Partners, LP | ||||||||
| 273,000 | 4.750%, 11/15/2021h | 249,795 | ||||||
| Buckeye Partners, LP | ||||||||
| 176,000 | 2.650%, 11/15/2018 | 173,414 | ||||||
| Constellation Energy Group, Inc. | ||||||||
| 130,000 | 5.150%, 12/1/2020 | 138,333 | ||||||
| Dayton Power and Light Company | ||||||||
| 130,000 | 1.875%, 9/15/2016h | 131,062 | ||||||
| DCP Midstream Operating, LP | ||||||||
| 86,000 | 2.500%, 12/1/2017 | 85,630 | ||||||
| Enel Finance International NV | ||||||||
| 132,000 | 3.875%, 10/7/2014h | 134,862 | ||||||
| 80,000 | 5.125%, 10/7/2019h | 85,412 | ||||||
| Energy Transfer Partners, LP | ||||||||
| 172,000 | 4.650%, 6/1/2021 | 176,926 | ||||||
| Enterprise Products Operating, LLC | ||||||||
| 132,000 | 1.250%, 8/13/2015 | 132,877 | ||||||
| Korea Western Power Company, Ltd. | ||||||||
| 176,000 | 2.875%, 10/10/2018h | 174,977 | ||||||
| MidAmerican Energy Holdings Company | ||||||||
| 161,000 | 1.100%, 5/15/2017h | 160,129 | ||||||
| 186,000 | 5.750%, 4/1/2018 | 212,318 | ||||||
| NiSource Finance Corporation | ||||||||
| 195,000 | 6.400%, 3/15/2018 | 224,410 | ||||||
| NRG Energy, Inc. | ||||||||
| 227,936 | 6.625%, 3/15/2023 | 229,645 | ||||||
| ONEOK Partners, LP | ||||||||
| 264,000 | 6.150%, 10/1/2016 | 296,465 | ||||||
| 88,000 | 2.000%, 10/1/2017 | 87,570 | ||||||
| 75,000 | 3.200%, 9/15/2018 | 76,689 | ||||||
| Pacific Gas & Electric Company | ||||||||
| 88,000 | 5.625%, 11/30/2017 | 99,702 | ||||||
| PPL Capital Funding, Inc. | ||||||||
| 206,000 | 1.900%, 6/1/2018 | 201,152 | ||||||
|
| |||||||
Total | 3,641,991 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $83,443,967) | 82,825,711 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (6.7%)l | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 100,000 | 0.110%, 5/1/2014m | 99,963 | ||||||
| 100,000 | 0.120%, 5/28/2014m | 99,951 | ||||||
Thrivent Cash Management Trust | ||||||||
| 18,302,791 | 0.060% | 18,302,791 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 18,502,705 | |||||||
|
| |||||||
| Total Investments (cost $269,528,660) 105.1% | $ | 289,165,302 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (5.1%) | (14,148,105 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 275,017,197 | ||||||
|
| |||||||
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | All or a portion of the loan is unfunded. |
| c | Denotes investments purchased on a when-issued or delayed delivery basis. |
| d | Non-income producing security. |
| e | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2013. |
| f | All or a portion of the security is insured or guaranteed. |
| g | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Balanced Income Plus Portfolio owned as of December 31, 2013. |
Security | Acquisition Date | Cost | ||||||
JBS Finance II, Ltd., 1/29/2018 | 8/19/2013 | $ | 237,668 | |||||
Preferred Term Securities XXIII, Ltd., 12/22/2036 | 9/14/2006 | 789,180 | ||||||
Vericrest Opportunity Loan Transferee, 4/25/2055 | 11/21/2013 | 496,760 | ||||||
Vericrest Opportunity Loan Transferee, 3/25/2054 | 12/11/2013 | 547,619 | ||||||
Wachovia Asset Securitization, Inc., 7/25/2037 | 3/16/2007 | 680,851 | ||||||
| h | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2013, the value of these investments was $13,261,797 or 4.8% of total net assets. |
| i | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| j | Defaulted security. Interest is not being accrued. |
| k | Security is fair valued. |
| l | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
176
Balanced Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| m | At December 31, 2013, $199,914 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. | ||
ETF | - | Exchange Traded Fund. | ||
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 | $ | 23,558,280 | ||
Gross unrealized depreciation | (4,839,139 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 18,719,141 | ||
Cost for federal income tax purposes | $ | 270,446,161 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
177
Balanced Income Plus Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2013, in valuing Balanced Income Plus Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 1,865,526 | — | 1,865,526 | — | ||||||||||||
Capital Goods | 2,486,450 | — | 2,486,450 | — | ||||||||||||
Communications Services | 14,871,871 | — | 14,871,871 | — | ||||||||||||
Consumer Cyclical | 8,033,762 | — | 8,033,762 | — | ||||||||||||
Consumer Non-Cyclical | 6,380,846 | — | 6,380,846 | — | ||||||||||||
Energy | 1,210,969 | — | 1,210,969 | — | ||||||||||||
Financials | 2,517,440 | — | 2,517,440 | — | ||||||||||||
Technology | 2,612,101 | — | 2,612,101 | — | ||||||||||||
Transportation | 2,159,044 | — | 2,159,044 | — | ||||||||||||
Utilities | 1,256,878 | — | 1,256,878 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 23,863,594 | 23,863,594 | — | — | ||||||||||||
Consumer Staples | 11,819,057 | 8,484,359 | 3,334,698 | — | ||||||||||||
Energy | 13,842,881 | 13,842,881 | — | — | ||||||||||||
Financials | 27,503,843 | 27,503,843 | — | — | ||||||||||||
Health Care | 14,432,558 | 14,432,558 | — | — | ||||||||||||
Industrials | 19,185,878 | 19,185,878 | — | — | ||||||||||||
Information Technology | 25,492,949 | 25,492,949 | — | — | ||||||||||||
Materials | 4,818,993 | 4,818,993 | — | — | ||||||||||||
Utilities | 3,482,246 | 3,482,246 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 3,558,460 | — | 3,558,460 | — | ||||||||||||
Basic Materials | 2,284,164 | — | 2,284,164 | — | ||||||||||||
Capital Goods | 2,344,787 | — | 2,344,787 | — | ||||||||||||
Collateralized Mortgage Obligations | 10,128,677 | — | 10,128,677 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 1,957,192 | — | 1,957,192 | — | ||||||||||||
Communications Services | 6,488,396 | — | 6,488,396 | — | ||||||||||||
Consumer Cyclical | 3,742,034 | — | 3,742,034 | — | ||||||||||||
Consumer Non-Cyclical | 7,197,626 | — | 7,197,626 | — | ||||||||||||
Energy | 4,735,029 | — | 4,735,029 | — | ||||||||||||
Financials^ | 17,207,661 | — | 16,620,204 | 587,457 | ||||||||||||
Mortgage-Backed Securities | 14,728,320 | — | 14,728,320 | — | ||||||||||||
Technology | 2,240,140 | — | 2,240,140 | — | ||||||||||||
Transportation | 1,322,357 | — | 1,322,357 | — | ||||||||||||
U.S. Government and Agencies | 1,248,877 | — | 1,248,877 | — | ||||||||||||
Utilities | 3,641,991 | — | 3,641,991 | — | ||||||||||||
Short-Term Investments | 18,502,705 | 18,302,791 | 199,914 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 289,165,302 | $ | 159,410,092 | $ | 129,167,753 | $ | 587,457 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 108,951 | 108,951 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 108,951 | $ | 108,951 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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.
178
Balanced Income Plus Portfolio
Schedule of Investments as of December 31, 2013
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
S&P 500 Index Futures | 6 | March 2014 | $ | 2,652,699 | $ | 2,761,650 | $ | 108,951 | ||||||||||||
Total Futures Contracts | $ | 108,951 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2013, for Balanced Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 108,951 | ||||
Total Equity Contracts | 108,951 | |||||
|
| |||||
Total Asset Derivatives | $ | 108,951 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2013, for Balanced 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 | 941,503 | ||||
Total Equity Contracts | 941,503 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (6,968 | ) | |||
Total Foreign Exchange Contracts | (6,968 | ) | ||||
|
| |||||
Total | $ | 934,535 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2013, for Balanced 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 | 167,533 | ||||
Total Equity Contracts | 167,533 | |||||
|
| |||||
Total | $ | 167,533 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
179
Balanced Income Plus Portfolio
Schedule of Investments as of December 31, 2013
The following table presents Balanced Income Plus Portfolio’s average volume of derivative activity during the period ended December 31, 2013.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | Forwards (Notional)* | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 3,741,104 | 1.5 | % | N/A | N/A | ||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 30,310 | <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 Balanced Income Plus Portfolio, is as follows:
Portfolio | Value December 31, 2012 | Gross Purchases | Gross Sales | Shares Held at December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 1,012,103 | $ | 7,638,196 | $ | 8,650,299 | — | $ | — | $ | 3,414 | |||||||||||||
Cash Management Trust- Short Term Investment | 20,676,563 | 171,377,930 | 173,751,702 | 18,302,791 | 18,302,791 | 19,515 | ||||||||||||||||||
Total Value and Income Earned | 21,688,666 | 18,302,791 | 22,929 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
180
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Bank Loans (12.3%)a | Value | ||||||
| Basic Materials (0.6%) |
| ||||||
Alpha Natural Resources, Inc., Term Loan | ||||||||
| $ | 329,171 | 3.500%, 5/22/2020 | $ | 323,246 | ||||
Fortescue Metals Group, Ltd., Term Loan | ||||||||
| 940,387 | 4.250%, 6/30/2019 | 951,851 | ||||||
Ineos Group Holdings, Ltd., Term Loan | ||||||||
| 872,030 | 4.000%, 5/4/2018 | 874,210 | ||||||
|
| |||||||
| Total | 2,149,307 | |||||||
|
| |||||||
| Capital Goods (0.7%) | |||||||
ADS Waste Holdings, Term Loan | ||||||||
| 594,000 | 4.250%, 10/9/2019 | 596,637 | ||||||
Berry Plastics Group, Inc., Term Loan | ||||||||
| 595,500 | 3.500%, 2/8/2020 | 593,017 | ||||||
Rexnord, LLC, Term Loan | ||||||||
| 598,500 | 4.000%, 8/21/2020 | 599,745 | ||||||
Silver II Borrower, Term Loan | ||||||||
| 587,985 | 4.000%, 12/13/2019 | 588,596 | ||||||
|
| |||||||
| Total | 2,377,995 | |||||||
|
| |||||||
| Communications Services (3.6%) | |||||||
Charter Communications Operating, LLC, Term Loan | ||||||||
| 597,000 | 3.000%, 12/31/2020 | 591,776 | ||||||
Cincinnati Bell, Inc., Term Loan | ||||||||
| 299,250 | 4.000%, 9/10/2020 | 299,624 | ||||||
Clear Channel Communications, Inc., Term Loan | ||||||||
| 7,153 | 3.819%, 1/29/2016 | 6,920 | ||||||
| 570,744 | 6.919%, 1/30/2019 | 544,347 | ||||||
| 132,102 | 7.669%, 7/30/2019 | 130,039 | ||||||
Cumulus Media Holdings, Inc., Term Loan | ||||||||
| 457,844 | 0.000%, 12/23/2020b,c | 460,133 | ||||||
Fairpoint Communications, Term Loan | ||||||||
| 59,699 | 7.500%, 2/14/2019b,c | 61,625 | ||||||
Grande Communications Networks, LLC, Term Loan | ||||||||
| 796,000 | 4.500%, 5/29/2020 | 794,344 | ||||||
Hargray Communications Group, Inc., Term Loan | ||||||||
| 597,000 | 4.750%, 6/26/2019 | 599,985 | ||||||
Integra Telecom Holdings, Inc., Term Loan | ||||||||
| 595,500 | 5.250%, 2/22/2019 | 602,694 | ||||||
Level 3 Communications, Inc., Term Loan | ||||||||
| 800,000 | 4.000%, 1/15/2020 | 805,504 | ||||||
LTS Buyer, LLC, Term Loan | ||||||||
| 908,654 | 4.500%, 4/13/2020 | 911,780 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
| 540,634 | 9.000%, 3/22/2019 | 549,868 | ||||||
NEP Broadcasting, LLC, Term Loan | ||||||||
| 792,000 | 4.750%, 1/22/2020 | 794,178 | ||||||
Puerto Rico Cable Acquisition Company, Inc., Term Loan | ||||||||
| 588,416 | 5.500%, 7/31/2018 | 588,663 | ||||||
RCN Telecom Services, LLC, Term Loan | ||||||||
| 585,895 | 4.500%, 3/1/2020 | 590,078 | ||||||
TNS, Inc., Term Loan | ||||||||
| 566,667 | 5.000%, 2/14/2020 | 569,324 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
| 446,625 | 4.500%, 2/28/2020 | 448,581 | ||||||
| 99,499 | 4.500%, 3/1/2020 | 100,032 | ||||||
| 357,056 | 4.500%, 3/1/2020 | 358,620 | ||||||
Virgin Media Investment Holdings, Ltd., Term Loan | ||||||||
| 600,000 | 3.500%, 6/8/2020 | 600,900 | ||||||
Visant Corporation, Term Loan | ||||||||
| 832,162 | 5.250%, 12/22/2016 | 818,989 | ||||||
WideOpenWest Finance, LLC, Term Loan | ||||||||
| 635,548 | 4.750%, 4/1/2019 | 638,091 | ||||||
WMG Acquisition Corporation, Term Loan | ||||||||
| 598,500 | 3.750%, 7/1/2020 | 598,051 | ||||||
Zayo Group, LLC, Term Loan | ||||||||
| 593,972 | 4.000%, 7/2/2019 | 594,108 | ||||||
|
| |||||||
Total | 13,058,254 | |||||||
|
| |||||||
| Consumer Cyclical (2.8%) | |||||||
Bally Technologies, Inc., Term Loan | ||||||||
| 473,813 | 4.250%, 11/25/2020b,c | 476,921 | ||||||
Booz Allen Hamilton, Inc., Term Loan | ||||||||
| 298,489 | 3.750%, 7/31/2019 | 299,181 | ||||||
Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
| 567,514 | 4.250%, 2/23/2017 | 572,480 | ||||||
Caesars Entertainment Resot Properties, LLC, Term Loan | ||||||||
| 570,000 | 7.000%, 10/11/2020b,c | 566,438 | ||||||
Cenveo Corporation, Term Loan | ||||||||
| 366,583 | 6.250%, 2/13/2017 | 368,112 | ||||||
Ceridian Corporation, Term Loan | ||||||||
| 600,000 | 4.415%, 5/9/2017 | 601,686 | ||||||
Chrysler Group, LLC, Term Loan | ||||||||
| 496,183 | 3.875%, 5/24/2017 | 499,145 | ||||||
Golden Nugget, Inc., Delayed Draw | ||||||||
| 67,500 | 5.500%, 11/21/2019 | 68,428 | ||||||
Golden Nugget, Inc., Term Loan | ||||||||
| 157,500 | 5.500%, 11/21/2019 | 159,666 | ||||||
Hilton Worldwide Finance, LLC, Term Loan | ||||||||
| 236,842 | 4.000%, 10/26/2020 | 238,618 | ||||||
J.C. Penney Corporation, Inc., Term Loan | ||||||||
| 597,000 | 6.000%, 5/22/2018 | 583,269 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
181
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Bank Loans (12.3%)a | Value | ||||||
| Consumer Cyclical (2.8%) - continued |
| ||||||
Las Vegas Sands, LLC, Term Loan | ||||||||
| $ | 500,000 | 0.000%, 12/17/2020b,c | $ | 499,325 | ||||
Marina District Finance Company, Inc., Term Loan | ||||||||
| 450,000 | 0.000%, 8/15/2018b,c | 451,409 | ||||||
MGM Resorts International, Term Loan | ||||||||
| 1,228,794 | 3.500%, 12/20/2019 | 1,231,104 | ||||||
Mohegan Tribal Gaming Authority, Term Loan | ||||||||
| 450,000 | 5.500%, 11/19/2019 | 456,471 | ||||||
Pinnacle Entertainment, Inc., Term Loan | ||||||||
| 597,000 | 3.750%, 8/13/2020 | 599,089 | ||||||
ROC Finance, LLC, Term Loan | ||||||||
| 598,500 | 5.000%, 6/20/2019 | 572,130 | ||||||
Scientific Games International, Inc., Term Loan | ||||||||
| 600,000 | 4.250%, 10/18/2020 | 600,150 | ||||||
Seminole Indian Tribe of Florida, Term Loan | ||||||||
| 568,500 | 3.000%, 4/29/2020 | 567,255 | ||||||
Toys R Us, Inc., Term Loan | ||||||||
| 840,052 | 5.250%, 5/25/2018 | 707,223 | ||||||
|
| |||||||
| Total | 10,118,100 | |||||||
|
| |||||||
| Consumer Non-Cyclical (1.2%) | |||||||
Albertsons, Inc., Term Loan | ||||||||
| 696,749 | 4.750%, 3/21/2019b,c | 699,940 | ||||||
Biomet, Inc., Term Loan | ||||||||
| 995,000 | 3.670%, 7/25/2017 | 1,000,602 | ||||||
CHS/Community Health Systems, Inc., Term Loan | ||||||||
| 450,000 | 3.737%, 1/25/2017 | 453,303 | ||||||
McJunkin Red Man Corporation, Term Loan | ||||||||
| 448,875 | 5.000%, 11/8/2019 | 454,486 | ||||||
Roundy’s Supermarkets, Inc., Term Loan | ||||||||
| 490,437 | 5.750%, 2/13/2019 | 489,902 | ||||||
Supervalu, Inc., Term Loan | ||||||||
| 791,791 | 5.000%, 3/21/2019 | 798,593 | ||||||
Van Wagner Communications, LLC, Term Loan | ||||||||
| 623,700 | 6.250%, 8/3/2018 | 630,717 | ||||||
|
| |||||||
| Total | 4,527,543 | |||||||
|
| |||||||
| Energy (0.7%) | |||||||
Arch Coal, Inc., Term Loan | ||||||||
| 798,722 | 6.250%, 5/16/2018 | 786,909 | ||||||
Chesapeake Energy Corporation, Term Loan | ||||||||
| 885,000 | 5.750%, 12/2/2017 | 902,700 | ||||||
Offshore Group Investment, Ltd., Term Loan | ||||||||
| 297,750 | 5.750%, 3/28/2019 | 301,007 | ||||||
Pacific Drilling SA, Term Loan | ||||||||
| 597,000 | 4.500%, 6/3/2018 | 603,346 | ||||||
|
| |||||||
| Total | 2,593,962 | |||||||
|
| |||||||
| Financials (0.5%) |
| ||||||
Harland Clarke Holdings Corporation, Term Loan | ||||||||
| 592,500 | 7.000%, 5/22/2018 | 596,096 | ||||||
Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 556,029 | 3.750%, 6/30/2019 | 559,765 | ||||||
WaveDivision Holdings, LLC, Term Loan | ||||||||
| 594,000 | 4.000%, 10/12/2019 | 596,228 | ||||||
|
| |||||||
| Total | 1,752,089 | |||||||
|
| |||||||
| Technology (1.0%) | |||||||
BMC Software, Inc., Term Loan | ||||||||
| 600,000 | 5.000%, 9/10/2020 | 602,814 | ||||||
First Data Corporation Extended, Term Loan | ||||||||
| 900,000 | 4.166%, 3/23/2018 | 900,621 | ||||||
Freescale Semiconductor, Inc., Term Loan | ||||||||
| 595,500 | 5.000%, 3/1/2020 | 601,134 | ||||||
Infor US, Inc., Term Loan | ||||||||
| 319,713 | 5.250%, 4/5/2018 | 320,445 | ||||||
| 135,000 | 0.000%, 6/3/2020b,c | 134,691 | ||||||
SunGard Data Systems, Inc., Term Loan | ||||||||
| 990,000 | 4.500%, 1/31/2020 | 994,128 | ||||||
|
| |||||||
| Total | 3,553,833 | |||||||
|
| |||||||
| Transportation (0.8%) | |||||||
American Airlines, Inc., Term Loan | ||||||||
| 1,069,625 | 3.750%, 6/27/2019 | 1,074,973 | ||||||
American Petroleum Tankers Parent, LLC, Term Loan | ||||||||
| 555,651 | 4.750%, 10/2/2019 | 555,651 | ||||||
Delta Air Lines, Inc., Term Loan | ||||||||
| 764,006 | 3.500%, 4/20/2017 | 766,328 | ||||||
U.S. Airways, Inc., Term Loan | ||||||||
| 600,000 | 4.000%, 5/23/2019 | 603,450 | ||||||
|
| |||||||
| Total | 3,000,402 | |||||||
|
| |||||||
| Utilities (0.4%) | |||||||
Calpine Corporation, Term Loan | ||||||||
| 444,289 | 4.000%, 4/1/2018 | 446,853 | ||||||
| 75,000 | 4.000%, 10/31/2020 | 75,402 | ||||||
Intergen NV, Term Loan | ||||||||
| 597,000 | 5.500%, 6/15/2020 | 601,478 | ||||||
NGPL PipeCo, LLC, Term Loan | ||||||||
| 417,291 | 6.750%, 9/15/2017 | 387,993 | ||||||
|
| |||||||
| Total | 1,511,726 | |||||||
|
| |||||||
| Total Bank Loans (cost $44,534,129) | 44,643,211 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
182
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (45.0%) | Value | ||||||
| Asset-Backed Securities (1.3%) |
| ||||||
Asset Backed Securities Corporation Home Equity Loan Trust | ||||||||
| $ | 820,584 | 0.305%, 7/25/2036d | $ | 729,280 | ||||
| 981,387 | 0.325%, 11/25/2036d | 753,279 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
| 672,426 | 5.530%, 4/25/2047 | 615,408 | ||||||
GSAA Home Equity Trust | ||||||||
| 939,001 | 0.435%, 7/25/2037d | 797,243 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 656,365 | 2.716%, 2/25/2036 | 586,406 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 448,729 | 5.746%, 5/25/2036 | 333,857 | ||||||
| 632,000 | 6.011%, 5/25/2036 | 442,671 | ||||||
| 950,000 | 5.797%, 8/25/2036 | 589,599 | ||||||
|
| |||||||
| Total | 4,847,743 | |||||||
|
| |||||||
| Basic Materials (0.9%) | |||||||
ArcelorMittal | ||||||||
| 570,000 | 6.000%, 3/1/2021 | 604,200 | ||||||
BHP Billiton Finance USA, Ltd. | ||||||||
| 128,000 | 2.050%, 9/30/2018 | 127,984 | ||||||
Dow Chemical Company | ||||||||
| 64,000 | 8.550%, 5/15/2019 | 82,636 | ||||||
FMG Resources Pty. Ltd. | ||||||||
| 320,000 | 6.875%, 2/1/2018e | 336,800 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| 75,000 | 2.375%, 3/15/2018 | 74,817 | ||||||
Hexion US Finance Corporation/Hexion Nova Scotia Finance ULC | ||||||||
| 670,000 | 8.875%, 2/1/2018 | 695,962 | ||||||
Ineos Finance plc | ||||||||
| 570,000 | 7.500%, 5/1/2020e | 624,863 | ||||||
Inmet Mining Corporation | ||||||||
| 570,000 | 7.500%, 6/1/2021e | 595,650 | ||||||
LyondellBasell Industries NV | ||||||||
| 64,000 | 5.000%, 4/15/2019 | 71,080 | ||||||
| 64,000 | 6.000%, 11/15/2021 | 73,607 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
| 96,000 | 2.050%, 10/23/2015e | 97,222 | ||||||
|
| |||||||
| Total | 3,384,821 | |||||||
|
| |||||||
| Capital Goods (1.0%) | |||||||
Case New Holland, Inc. | ||||||||
| 170,000 | 7.875%, 12/1/2017 | 200,600 | ||||||
CNH Capital, LLC | ||||||||
| 410,000 | 3.625%, 4/15/2018 | 415,638 | ||||||
Crown Cork & Seal Company, Inc. | ||||||||
| 410,000 | 7.375%, 12/15/2026 | 453,050 | ||||||
Northrop Grumman Corporation | ||||||||
| 200,000 | 1.750%, 6/1/2018 | 195,112 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
| 160,000 | 5.750%, 10/15/2020 | 163,200 | ||||||
| 410,000 | 6.875%, 2/15/2021 | 441,775 | ||||||
Roper Industries, Inc. | ||||||||
| 150,000 | 1.850%, 11/15/2017 | 148,689 | ||||||
RSC Equipment Rental, Inc. | ||||||||
| 160,000 | 8.250%, 2/1/2021 | 180,400 | ||||||
Textron, Inc. | ||||||||
| 300,000 | 7.250%, 10/1/2019 | 347,304 | ||||||
Trinseo Materials Operating SCA | ||||||||
| 570,000 | 8.750%, 2/1/2019e | 588,525 | ||||||
United Rentals North America, Inc. | ||||||||
| 410,000 | 7.375%, 5/15/2020 | 454,587 | ||||||
|
| |||||||
| Total | 3,588,880 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (14.8%) | |||||||
Adjustable Rate Mortgage Trust | ||||||||
| 1,072,000 | 2.845%, 11/25/2035 | 892,171 | ||||||
Alternative Loan Trust | ||||||||
| 1,317,473 | 6.000%, 6/25/2036 | 1,124,401 | ||||||
American Home Mortgage Investment Trust | ||||||||
| 1,549,146 | 6.250%, 12/25/2036 | 873,525 | ||||||
Banc of America Alternative Loan Trust | ||||||||
| 559,671 | 0.665%, 4/25/2035d | 464,874 | ||||||
| 1,493,304 | 6.000%, 11/25/2035 | 1,231,304 | ||||||
Banc of America Funding Corporation | ||||||||
| 383,382 | 5.019%, 5/20/2036 | 319,656 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
| 328,425 | 2.430%, 10/25/2035d | 322,578 | ||||||
| 356,664 | 2.571%, 2/25/2036 | 281,486 | ||||||
Citicorp Mortgage Securities Trust | ||||||||
| 596,243 | 6.000%, 5/25/2037 | 597,683 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
| 471,070 | 5.500%, 11/25/2035 | 417,953 | ||||||
| 1,357,279 | 2.971%, 3/25/2037 | 984,484 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
| 661,843 | 5.750%, 4/25/2037 | 556,681 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 496,861 | 0.565%, 2/25/2035d | 432,795 | ||||||
| 1,226,671 | 2.523%, 10/25/2035 | 1,050,402 | ||||||
| 884,032 | 5.066%, 10/25/2035 | 713,015 | ||||||
| 521,553 | 5.500%, 2/25/2036 | 465,719 | ||||||
| 278,221 | 6.000%, 4/25/2036 | 229,139 | ||||||
| 674,127 | 6.500%, 8/25/2036 | 459,188 | ||||||
| 240,406 | 6.000%, 1/25/2037 | 204,227 | ||||||
| 1,034,365 | 5.500%, 5/25/2037 | 859,659 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust | ||||||||
| 676,653 | 2.586%, 11/25/2035 | 551,876 | ||||||
| 707,119 | 5.085%, 2/20/2036 | 616,954 | ||||||
Deutsche Alt-A Securities, Inc., Mortgage Loan Trust | ||||||||
| 146,075 | 5.500%, 10/25/2021 | 139,876 | ||||||
| 447,425 | 0.365%, 11/25/2035d | 276,907 | ||||||
| 957,877 | 5.500%, 11/25/2035 | 869,591 | ||||||
| 988,677 | 0.900%, 4/25/2047d | 815,946 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
183
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (45.0%) | Value | ||||||
| Collateralized Mortgage Obligations (14.8%) - continued |
| ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| $ | 9,088,823 | 2.500%, 12/15/2022f | $ | 774,482 | ||||
| 2,665,075 | 2.500%, 5/15/2027f | 302,420 | ||||||
| 2,967,006 | 2.500%, 2/15/2028f | 361,048 | ||||||
| 8,890,433 | 2.500%, 3/15/2028f | 1,066,037 | ||||||
| 4,878,876 | 3.000%, 4/15/2028 f | 613,842 | ||||||
| 3,779,053 | 3.000%, 2/15/2033f | 577,389 | ||||||
Federal National Mortgage Association | ||||||||
| 3,803,129 | 2.500%, 2/25/2028 f | 467,294 | ||||||
| 3,276,904 | 3.000%, 4/25/2028f | 475,572 | ||||||
| 3,728,223 | 3.500%, 1/25/2033f | 665,245 | ||||||
First Horizon Alternative Mortgage Securities Trust | ||||||||
| 1,043,292 | 2.250%, 3/25/2035 | 911,053 | ||||||
First Horizon Mortgage Pass- Through Trust | ||||||||
| 1,081,295 | 2.534%, 8/25/2037 | 888,692 | ||||||
Government National Mortgage Association | ||||||||
| 4,735,164 | 4.000%, 1/16/2027f | 673,077 | ||||||
Greenpoint Mortgage Funding Trust | ||||||||
| 767,100 | 0.365%, 10/25/2045d | 574,704 | ||||||
GSR Mortgage Loan Trust | ||||||||
| 268,561 | 0.355%, 8/25/2046d | 264,356 | ||||||
HomeBanc Mortgage Trust | ||||||||
| 435,508 | 2.409%, 4/25/2037 | 302,852 | ||||||
| 1,277,479 | 0.465%, 5/25/2037d | 997,896 | ||||||
IndyMac IMJA Mortgage Loan Trust | ||||||||
| 1,018,521 | 6.250%, 11/25/2037 | 908,453 | ||||||
J.P. Morgan Alternative Loan Trust | ||||||||
| 958,678 | 6.500%, 3/25/2036 | 840,453 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
| 245,605 | 6.500%, 1/25/2035 | 236,844 | ||||||
| 1,228,810 | 2.867%, 8/25/2035 | 1,220,979 | ||||||
| 517,973 | 2.665%, 10/25/2036 | 429,217 | ||||||
| 1,071,309 | 0.545%, 1/25/2037d | 700,846 | ||||||
| 780,532 | 2.530%, 1/25/2037 | 688,077 | ||||||
| 543,262 | 6.250%, 8/25/2037 | 380,102 | ||||||
Lehman Mortgage Trust | ||||||||
| 656,346 | 0.915%, 12/25/2035d | 452,353 | ||||||
Lehman XS Trust | ||||||||
| 960,000 | 5.500%, 9/25/2035 | 830,010 | ||||||
Master Asset Securitization Trust | ||||||||
| 697,049 | 0.665%, 6/25/2036d | 437,795 | ||||||
MASTR Alternative Loans Trust | ||||||||
| 249,169 | 6.500%, 7/25/2034 | 249,345 | ||||||
| 583,398 | 0.615%, 12/25/2035d | 316,331 | ||||||
Morgan Stanley Mortgage Loan Trust | ||||||||
| 604,350 | 5.319%, 11/25/2035 | 445,441 | ||||||
MortgageIT Trust | ||||||||
| 1,131,920 | 0.425%, 12/25/2035d | 1,036,962 | ||||||
New Century Alternative Mortgage Loan Trust | ||||||||
| 1,325,554 | 6.167%, 7/25/2036 | 888,345 | ||||||
RALI Trust | ||||||||
| 767,621 | 5.750%, 4/25/2037 | 599,601 | ||||||
| 1,111,801 | 6.250%, 4/25/2037 | 895,799 | ||||||
| 439,610 | 6.000%, 6/25/2037 | 328,533 | ||||||
Residential Accredit Loans, Inc. | ||||||||
| 930,174 | 5.750%, 9/25/2035 | 819,336 | ||||||
| 1,021,017 | 6.000%, 1/25/2037 | 794,404 | ||||||
Residential Asset Securitization Trust | ||||||||
| 711,584 | 5.500%, 4/25/2035 | 701,601 | ||||||
| 884,103 | 0.545%, 8/25/2037d | 275,832 | ||||||
RFMSI Trust | ||||||||
| 1,115,680 | 5.750%, 2/25/2036 | 980,729 | ||||||
| 1,537,729 | 6.000%, 7/25/2037 | 1,369,691 | ||||||
Sequoia Mortgage Trust | ||||||||
| 1,859,945 | 2.631%, 9/20/2046 | 1,568,112 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
| 326,532 | 5.500%, 12/25/2034 | 315,900 | ||||||
| 447,706 | 2.715%, 9/25/2035 | 379,238 | ||||||
| 804,690 | 4.949%, 5/25/2036 | 612,188 | ||||||
Structured Asset Mortgage Investments, Inc. | ||||||||
| 1,638,903 | 0.475%, 12/25/2035d | 1,213,801 | ||||||
| 908,186 | 0.375%, 5/25/2046d | 671,237 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
| 978,283 | 4.713%, 8/25/2036 | 881,808 | ||||||
| 799,263 | 2.065%, 11/25/2036 | 671,954 | ||||||
| 146,215 | 2.402%, 8/25/2046 | 126,198 | ||||||
| 933,809 | 2.213%, 3/25/2047d | 729,318 | ||||||
Washington Mutual Alternative Mortgage Pass Through Certificates | ||||||||
| 785,755 | 0.765%, 6/25/2035d | 564,780 | ||||||
| 1,044,605 | 6.000%, 11/25/2035 | 862,049 | ||||||
| 771,553 | 0.889%, 2/25/2047d | 518,660 | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
| 1,647,741 | 2.632%, 7/25/2036 | 1,526,998 | ||||||
| 723,802 | 6.000%, 7/25/2037 | 684,764 | ||||||
|
| |||||||
| Total | 53,822,133 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (0.5%) | |||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 1,000,000 | 5.509%, 9/15/2039 | 1,073,750 | ||||||
Greenwich Capital Commercial Funding Corporation | ||||||||
| 650,000 | 5.867%, 12/10/2049 | 712,223 | ||||||
|
| |||||||
| Total | 1,785,973 | |||||||
|
| |||||||
| Communications Services (2.6%) | |||||||
America Movil SAB de CV | ||||||||
| 62,000 | 5.000%, 10/16/2019 | 67,735 | ||||||
American Tower Corporation | ||||||||
| 93,000 | 7.000%, 10/15/2017 | 107,191 | ||||||
AT&T, Inc. | ||||||||
| 205,000 | 2.400%, 8/15/2016 | 210,811 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
184
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (45.0%) | Value | ||||||
| Communications Services (2.6%) - continued |
| ||||||
CBS Corporation | ||||||||
| $ | 96,000 | 8.875%, 5/15/2019 | $ | 122,739 | ||||
CC Holdings GS V, LLC | ||||||||
| 160,000 | 2.381%, 12/15/2017 | 158,477 | ||||||
CenturyLink, Inc. | ||||||||
| 570,000 | 5.625%, 4/1/2020 | 579,975 | ||||||
Cequel Communications Escrow 1, LLC | ||||||||
| 410,000 | 6.375%, 9/15/2020e | 420,250 | ||||||
DIRECTV Holdings, LLC | ||||||||
| 110,000 | 3.500%, 3/1/2016 | 115,466 | ||||||
| 64,000 | 5.875%, 10/1/2019 | 72,498 | ||||||
Dish DBS Corporation | ||||||||
| 90,000 | 6.750%, 6/1/2021 | 95,400 | ||||||
Hughes Satellite Systems Corporation | ||||||||
| 570,000 | 6.500%, 6/15/2019 | 617,025 | ||||||
Intelsat Jackson Holdings SA | ||||||||
| 570,000 | 7.250%, 4/1/2019 | 615,600 | ||||||
Level 3 Financing, Inc. | ||||||||
| 730,000 | 8.625%, 7/15/2020 | 817,600 | ||||||
Nara Cable Funding, Ltd. | ||||||||
| 570,000 | 8.875%, 12/1/2018e | 612,750 | ||||||
NBC Universal Enterprise, Inc. | ||||||||
| 93,000 | 1.662%, 4/15/2018e | 90,830 | ||||||
News America, Inc. | ||||||||
| 64,000 | 4.500%, 2/15/2021 | 68,600 | ||||||
SBA Tower Trust | ||||||||
| 200,000 | 3.598%, 4/16/2043e | 195,495 | ||||||
Sprint Communications, Inc. | ||||||||
| 570,000 | 9.000%, 11/15/2018e | 686,850 | ||||||
Telefonica Emisiones SAU | ||||||||
| 128,000 | 3.992%, 2/16/2016 | 134,451 | ||||||
| 126,000 | 3.192%, 4/27/2018 | 128,321 | ||||||
T-Mobile USA, Inc. | ||||||||
| 570,000 | 6.633%, 4/28/2021 | 599,925 | ||||||
Univision Communications, Inc. | ||||||||
| 160,000 | 6.875%, 5/15/2019e | 171,000 | ||||||
| 410,000 | 7.875%, 11/1/2020e | 450,487 | ||||||
UPCB Finance V, Ltd. | ||||||||
| 570,000 | 7.250%, 11/15/2021e | 618,450 | ||||||
Verizon Communications, Inc. | ||||||||
| 220,000 | 2.500%, 9/15/2016 | 227,488 | ||||||
| 91,000 | 1.993%, 9/14/2018d | 95,686 | ||||||
| 175,000 | 3.650%, 9/14/2018 | 185,249 | ||||||
Wind Acquisition Finance SA | ||||||||
| 330,000 | 11.750%, 7/15/2017e | 351,037 | ||||||
| 240,000 | 7.250%, 2/15/2018e | 252,600 | ||||||
Windstream Corporation | ||||||||
| 570,000 | 7.750%, 10/1/2021 | 604,200 | ||||||
|
| |||||||
| Total | 9,474,186 | |||||||
|
| |||||||
| Consumer Cyclical (1.8%) | |||||||
Brookfield Residential Properties, Inc. | ||||||||
| 570,000 | 6.500%, 12/15/2020e | 591,375 | ||||||
Chrysler Group, LLC | ||||||||
| 530,000 | 8.000%, 6/15/2019 | 585,650 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 225,000 | 3.984%, 6/15/2016 | 239,265 | ||||||
| 277,000 | 1.500%, 1/17/2017 | 276,876 | ||||||
| 93,000 | 3.000%, 6/12/2017 | 96,657 | ||||||
| 70,000 | 6.625%, 8/15/2017 | 81,090 | ||||||
Gap, Inc. | ||||||||
| 200,000 | 5.950%, 4/12/2021 | 220,995 | ||||||
General Motors Company | ||||||||
| 124,000 | 3.500%, 10/2/2018e | 126,790 | ||||||
General Motors Financial Company, Inc. | ||||||||
| 570,000 | 3.250%, 5/15/2018e | 570,000 | ||||||
Hilton Worldwide Finance, LLC | ||||||||
| 570,000 | 5.625%, 10/15/2021e | 591,375 | ||||||
Home Depot, Inc. | ||||||||
| 64,000 | 3.950%, 9/15/2020 | 68,281 | ||||||
Jaguar Land Rover Automotive plc | ||||||||
| 200,000 | 4.125%, 12/15/2018e | 201,250 | ||||||
| 420,000 | 5.625%, 2/1/2023e | 420,000 | ||||||
L Brands, Inc. | ||||||||
| 570,000 | 5.625%, 2/15/2022 | 582,825 | ||||||
Lennar Corporation | ||||||||
| 410,000 | 12.250%, 6/1/2017 | 527,362 | ||||||
| 160,000 | 4.125%, 12/1/2018 | 160,800 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
| 260,000 | 6.700%, 7/15/2034 | 295,845 | ||||||
Toll Brothers Finance Corporation | ||||||||
| 124,000 | 4.000%, 12/31/2018 | 126,170 | ||||||
Toys R Us Property Company II, LLC | ||||||||
| 310,000 | 8.500%, 12/1/2017 | 319,300 | ||||||
Wynn Las Vegas, LLC | ||||||||
| 570,000 | 5.375%, 3/15/2022 | 575,700 | ||||||
|
| |||||||
| Total | 6,657,606 | |||||||
|
| |||||||
| Consumer Non-Cyclical (2.3%) | |||||||
AbbVie, Inc. | ||||||||
| 186,000 | 1.750%, 11/6/2017 | 185,681 | ||||||
Altria Group, Inc. | ||||||||
| 114,000 | 9.700%, 11/10/2018 | 149,841 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 128,000 | 7.750%, 1/15/2019 | 159,828 | ||||||
Beam, Inc. | ||||||||
| 64,000 | 5.375%, 1/15/2016 | 69,264 | ||||||
Biomet, Inc. | ||||||||
| 570,000 | 6.500%, 8/1/2020 | 598,500 | ||||||
Boston Scientific Corporation | ||||||||
| 93,000 | 6.000%, 1/15/2020 | 106,767 | ||||||
Bunge Limited Finance Corporation | ||||||||
| 125,000 | 4.100%, 3/15/2016 | 131,993 | ||||||
Celgene Corporation | ||||||||
| 118,000 | 1.900%, 8/15/2017 | 117,442 | ||||||
CHS/Community Health Systems, Inc. | ||||||||
| 570,000 | 7.125%, 7/15/2020 | 591,375 | ||||||
ConAgra Foods, Inc. | ||||||||
| 160,000 | 2.100%, 3/15/2018 | 158,241 | ||||||
CVS Caremark Corporation | ||||||||
| 64,000 | 2.250%, 12/5/2018 | 63,981 | ||||||
Endo Health Solutions, Inc. | ||||||||
| 410,000 | 7.000%, 12/15/2020 | 438,700 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
185
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (45.0%) | Value | ||||||
| Consumer Non-Cyclical (2.3%) - continued |
| ||||||
Endo Pharmaceuticals Holdings, Inc. | ||||||||
| $ | 160,000 | 7.000%, 7/15/2019 | $ | 171,200 | ||||
Express Scripts Holding Company | ||||||||
| 124,000 | 2.650%, 2/15/2017 | 127,804 | ||||||
Gilead Sciences, Inc. | ||||||||
| 85,000 | 3.050%, 12/1/2016 | 89,749 | ||||||
Hawk Acquisition Sub, Inc. | ||||||||
| 570,000 | 4.250%, 10/15/2020e | 551,475 | ||||||
Health Management Associates, Inc. | ||||||||
| 410,000 | 7.375%, 1/15/2020 | 458,687 | ||||||
Hospira, Inc. | ||||||||
| 560,000 | 5.200%, 8/12/2020 | 581,008 | ||||||
IMS Health, Inc. | ||||||||
| 250,000 | 12.500%, 3/1/2018e | 295,625 | ||||||
| 320,000 | 6.000%, 11/1/2020e | 340,000 | ||||||
Kroger Company | ||||||||
| 128,000 | 1.200%, 10/17/2016 | 128,055 | ||||||
Lorillard Tobacco Company | ||||||||
| 157,000 | 8.125%, 6/23/2019 | 191,249 | ||||||
Mallinckrodt International Finance SA | ||||||||
| 100,000 | 3.500%, 4/15/2018e | 98,099 | ||||||
Medco Health Solutions, Inc. | ||||||||
| 100,000 | 7.125%, 3/15/2018 | 118,827 | ||||||
Mylan, Inc. | ||||||||
| 173,000 | 1.350%, 11/29/2016 | 172,683 | ||||||
Pernod Ricard SA | ||||||||
| 64,000 | 2.950%, 1/15/2017e | 66,094 | ||||||
| 64,000 | 5.750%, 4/7/2021e | 70,545 | ||||||
Perrigo Company, Ltd. | ||||||||
| 124,000 | 1.300%, 11/8/2016e | 123,570 | ||||||
| 62,000 | 2.300%, 11/8/2018e | 61,196 | ||||||
SABMiller plc | ||||||||
| 130,000 | 6.500%, 7/15/2018e | 153,462 | ||||||
Safeway, Inc. | ||||||||
| 185,000 | 3.400%, 12/1/2016 | 192,476 | ||||||
Spectrum Brands Escrow Corporation | ||||||||
| 570,000 | 6.375%, 11/15/2020e | 608,475 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
| 128,000 | 1.300%, 2/1/2017 | 127,444 | ||||||
| 128,000 | 2.400%, 2/1/2019 | 126,808 | ||||||
Valeant Pharmaceuticals International | ||||||||
| 160,000 | 6.875%, 12/1/2014e | 171,200 | ||||||
VPII Escrow Corporation | ||||||||
| 410,000 | 7.500%, 7/15/2021e | 449,975 | ||||||
Watson Pharmaceuticals, Inc. | ||||||||
| 149,000 | 1.875%, 10/1/2017 | 147,446 | ||||||
|
| |||||||
| Total | 8,394,765 | |||||||
|
| |||||||
| Energy (1.8%) | |||||||
BP Capital Markets plc | ||||||||
| 124,000 | 0.658%, 11/7/2016d | 124,524 | ||||||
| 128,000 | 2.241%, 9/26/2018 | 128,369 | ||||||
CNOOC, Ltd. | ||||||||
| 124,000 | 1.125%, 5/9/2016 | 123,543 | ||||||
Concho Resources, Inc. | ||||||||
| 570,000 | 5.500%, 10/1/2022 | 588,525 | ||||||
Continental Resources, Inc. | ||||||||
| 160,000 | 7.125%, 4/1/2021 | 181,400 | ||||||
Devon Energy Corporation | ||||||||
| 128,000 | 1.200%, 12/15/2016 | 127,946 | ||||||
Enbridge Energy Partners, LP | ||||||||
| 810,000 | 8.050%, 10/1/2037 | 896,634 | ||||||
Energy Transfer Partners, LP | ||||||||
| 62,000 | 6.700%, 7/1/2018 | 71,985 | ||||||
EQT Corporation | ||||||||
| 62,000 | 8.125%, 6/1/2019 | 75,217 | ||||||
Gazprom Neft OAO Via GPN Capital SA | ||||||||
| 475,000 | 6.000%, 11/27/2023e | 482,125 | ||||||
Hess Corporation | ||||||||
| 95,000 | 8.125%, 2/15/2019 | 118,001 | ||||||
Linn Energy, LLC | ||||||||
| 570,000 | 7.000%, 11/1/2019e | 575,700 | ||||||
Lukoil International Finance BV | ||||||||
| 64,000 | 3.416%, 4/24/2018e | 64,560 | ||||||
MEG Energy Corporation | ||||||||
| 160,000 | 6.500%, 3/15/2021e | 168,400 | ||||||
| 410,000 | 6.375%, 1/30/2023e | 412,563 | ||||||
Oasis Petroleum, Inc. | ||||||||
| 570,000 | 6.875%, 1/15/2023 | 607,050 | ||||||
Offshore Group Investment, Ltd. | ||||||||
| 570,000 | 7.500%, 11/1/2019 | 619,875 | ||||||
Petrobras Global Finance BV | ||||||||
| 145,000 | 2.000%, 5/20/2016 | 144,885 | ||||||
Range Resources Corporation | ||||||||
| 570,000 | 5.000%, 8/15/2022 | 560,025 | ||||||
Transocean, Inc. | ||||||||
| 155,000 | 5.050%, 12/15/2016 | 171,224 | ||||||
Weatherford International, Ltd. | ||||||||
| 80,000 | 6.000%, 3/15/2018 | 89,783 | ||||||
| 62,000 | 9.625%, 3/1/2019 | 79,662 | ||||||
|
| |||||||
| Total | 6,411,996 | |||||||
|
| |||||||
| Financials (8.8%) | |||||||
Abbey National Treasury Services plc | ||||||||
| 64,000 | 3.050%, 8/23/2018 | 65,762 | ||||||
Aegon NV | ||||||||
| 720,000 | 2.956%, 7/29/2049d,g | 608,400 | ||||||
AGI Life Holdings, Inc. | ||||||||
| 800,000 | 7.570%, 12/1/2045e | 904,000 | ||||||
Ally Financial, Inc. | ||||||||
| 100,000 | 5.500%, 2/15/2017 | 108,250 | ||||||
American Express Company | ||||||||
| 750,000 | 6.800%, 9/1/2066 | 799,125 | ||||||
American International Group, Inc. | ||||||||
| 175,000 | 8.250%, 8/15/2018 | 218,904 | ||||||
Aviation Capital Group Corporation | ||||||||
| 96,000 | 3.875%, 9/27/2016e | 99,157 | ||||||
Bank of America Corporation | ||||||||
| 170,000 | 5.750%, 8/15/2016 | 187,478 | ||||||
| 128,000 | 1.316%, 3/22/2018d | 129,700 | ||||||
| 200,000 | 5.650%, 5/1/2018 | 227,654 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
186
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (45.0%) | Value | ||||||
| Financials (8.8%) - continued |
| ||||||
| $ | 93,000 | 2.600%, 1/15/2019 | $ | 93,410 | ||||
Bank of New York Mellon Corporation | ||||||||
| 480,000 | 4.500%, 12/29/2049g | 435,600 | ||||||
Bank of Nova Scotia | ||||||||
| 128,000 | 1.100%, 12/13/2016 | 128,614 | ||||||
Barclays Bank plc | ||||||||
| 100,000 | 5.140%, 10/14/2020 | 106,487 | ||||||
BB&T Corporation | ||||||||
| 93,000 | 2.050%, 6/19/2018 | 92,073 | ||||||
BBVA Banco Continental SA | ||||||||
| 92,000 | 2.250%, 7/29/2016e | 91,540 | ||||||
BBVA International Preferred SA Unipersonal | ||||||||
| 1,030,000 | 5.919%, 12/29/2049g | �� | 991,375 | |||||
BBVA US Senior SAU | ||||||||
| 160,000 | 4.664%, 10/9/2015 | 168,204 | ||||||
Bear Stearns Companies, LLC | ||||||||
| 205,000 | 6.400%, 10/2/2017 | 237,915 | ||||||
BNP Paribas SA | ||||||||
| 128,000 | 1.250%, 12/12/2016 | 128,094 | ||||||
| 145,000 | 2.375%, 9/14/2017 | 148,040 | ||||||
| 775,000 | 5.186%, 6/29/2049e,g | 791,469 | ||||||
Branch Banking and Trust Company | ||||||||
| 124,000 | 0.667%, 12/1/2016d | 124,104 | ||||||
Capital One Financial Corporation | ||||||||
| 93,000 | 6.150%, 9/1/2016 | 104,019 | ||||||
Citigroup, Inc. | ||||||||
| 181,000 | 5.000%, 9/15/2014 | 186,156 | ||||||
| 220,000 | 5.500%, 2/15/2017 | 242,404 | ||||||
| 128,000 | 6.000%, 8/15/2017 | 145,889 | ||||||
| 128,000 | 8.500%, 5/22/2019 | 164,043 | ||||||
| 1,010,000 | 5.950%, 12/29/2049g | 934,603 | ||||||
CNA Financial Corporation | ||||||||
| 96,000 | 7.350%, 11/15/2019 | 116,372 | ||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||||
| 475,000 | 4.625%, 12/1/2023 | 478,334 | ||||||
| 525,000 | 11.000%, 12/29/2049e,g | 694,969 | ||||||
Credit Agricole SA | ||||||||
| 124,000 | 1.625%, 4/15/2016e | 124,765 | ||||||
Credit Suisse AG | ||||||||
| 190,000 | 5.400%, 1/14/2020 | 211,153 | ||||||
Credit Suisse Group AG | ||||||||
| 400,000 | 7.500%, 12/11/2049e,g | 422,500 | ||||||
CyrusOne, LP | ||||||||
| 570,000 | 6.375%, 11/15/2022 | 589,950 | ||||||
Denali Borrower, LLC | ||||||||
| 570,000 | 5.625%, 10/15/2020e | 565,012 | ||||||
Developers Diversified Realty Corporation | ||||||||
| 96,000 | 7.875%, 9/1/2020 | 118,596 | ||||||
Discover Financial Services | ||||||||
| 90,000 | 6.450%, 6/12/2017 | 101,983 | ||||||
Fifth Third Bancorp | ||||||||
| 118,000 | 5.450%, 1/15/2017 | 129,681 | ||||||
| 600,000 | 5.100%, 12/31/2049g | 531,000 | ||||||
GE Capital Trust I | ||||||||
| 380,000 | 6.375%, 11/15/2067 | 410,400 | ||||||
General Electric Capital Corporation | ||||||||
| 384,000 | 5.625%, 9/15/2017 | 436,837 | ||||||
| 44,000 | 1.625%, 4/2/2018 | 43,533 | ||||||
| 800,000 | 6.250%, 12/15/2049g | 826,000 | ||||||
Goldman Sachs Group, Inc. | ||||||||
| 143,000 | 6.250%, 9/1/2017 | 163,715 | ||||||
| 122,000 | 7.500%, 2/15/2019 | 148,592 | ||||||
| 134,000 | 5.375%, 3/15/2020 | 149,025 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
| 186,000 | 6.000%, 1/15/2019 | 213,326 | ||||||
HCP, Inc. | ||||||||
| 47,000 | 3.750%, 2/1/2016 | 49,388 | ||||||
| 64,000 | 3.750%, 2/1/2019 | 66,476 | ||||||
Health Care REIT, Inc. | ||||||||
| 62,000 | 4.700%, 9/15/2017 | 67,394 | ||||||
HSBC Finance Corporation | ||||||||
| 155,000 | 6.676%, 1/15/2021 | 178,101 | ||||||
Huntington National Bank | ||||||||
| 124,000 | 1.300%, 11/20/2016 | 124,019 | ||||||
Icahn Enterprises, LP | ||||||||
| 570,000 | 8.000%, 1/15/2018 | 592,800 | ||||||
ING Bank NV | ||||||||
| 74,000 | 3.750%, 3/7/2017e | 77,938 | ||||||
ING Capital Funding Trust III | ||||||||
| 819,000 | 3.847%, 12/29/2049d,g | 815,929 | ||||||
ING US, Inc. | ||||||||
| 200,000 | 5.650%, 5/15/2053 | 194,500 | ||||||
| 100,000 | 2.900%, 2/15/2018 | 102,279 | ||||||
International Lease Finance Corporation | ||||||||
| 64,000 | 2.193%, 6/15/2016d | 64,320 | ||||||
| 570,000 | 5.875%, 4/1/2019 | 607,050 | ||||||
Intesa Sanpaolo SPA | ||||||||
| 93,000 | 3.125%, 1/15/2016 | 94,773 | ||||||
| 100,000 | 3.875%, 1/15/2019 | 99,422 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 175,000 | 3.450%, 3/1/2016 | 183,548 | ||||||
| 200,000 | 2.000%, 8/15/2017 | 202,871 | ||||||
| 200,000 | 7.900%, 4/29/2049g | 220,500 | ||||||
| 720,000 | 5.150%, 5/29/2049g | 646,200 | ||||||
| 200,000 | 6.000%, 12/29/2049g | 191,250 | ||||||
KeyCorp | ||||||||
| 124,000 | 2.300%, 12/13/2018 | 123,100 | ||||||
| 37,000 | 5.100%, 3/24/2021 | 40,438 | ||||||
Liberty Mutual Group, Inc. | ||||||||
| 525,000 | 10.750%, 6/15/2058e | 784,875 | ||||||
| 25,000 | 5.000%, 6/1/2021e | 26,220 | ||||||
Liberty Property, LP | ||||||||
| 103,000 | 5.500%, 12/15/2016 | 113,699 | ||||||
Lincoln National Corporation | ||||||||
| 770,000 | 6.050%, 4/20/2067 | 764,225 | ||||||
Lloyds TSB Bank plc | ||||||||
| 96,000 | 6.500%, 9/14/2020e | 109,127 | ||||||
Macquarie Bank, Ltd. | ||||||||
| 135,000 | 5.000%, 2/22/2017e | 146,399 | ||||||
MetLife Capital Trust IV | ||||||||
| 823,000 | 7.875%, 12/15/2037e | 944,392 | ||||||
MetLife, Inc. | ||||||||
| 400,000 | 6.400%, 12/15/2036 | 411,000 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
187
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (45.0%) | Value | ||||||
| Financials (8.8%) - continued |
| ||||||
Mizuho Corporate Bank, Ltd. | ||||||||
| $ | 136,000 | 1.550%, 10/17/2017e | $ | 132,918 | ||||
Morgan Stanley | ||||||||
| 150,000 | 4.750%, 4/1/2014 | 151,192 | ||||||
| 143,000 | 1.750%, 2/25/2016 | 144,920 | ||||||
| 150,000 | 6.250%, 8/28/2017 | 171,634 | ||||||
| 100,000 | 5.500%, 1/26/2020 | 112,257 | ||||||
| 64,000 | 4.875%, 11/1/2022 | 65,514 | ||||||
Murray Street Investment Trust I | ||||||||
| 220,000 | 4.647%, 3/9/2017 | 236,915 | ||||||
National City Corporation | ||||||||
| 126,000 | 6.875%, 5/15/2019 | 149,302 | ||||||
Nomura Holdings, Inc. | ||||||||
| 138,000 | 2.000%, 9/13/2016 | 139,141 | ||||||
Omega Healthcare Investors, Inc. | ||||||||
| 100,000 | 5.875%, 3/15/2024 | 101,000 | ||||||
PNC Bank NA | ||||||||
| 186,000 | 1.150%, 11/1/2016 | 186,228 | ||||||
PNC Financial Services Group, Inc. | ||||||||
| 400,000 | 4.850%, 3/1/2049g | 358,200 | ||||||
Prologis, LP | ||||||||
| 106,000 | 6.625%, 5/15/2018 | 123,805 | ||||||
Prudential Covered Trust | ||||||||
| 90,950 | 2.997%, 9/30/2015e | 93,768 | ||||||
Prudential Financial, Inc. | ||||||||
| 380,000 | 5.875%, 9/15/2042 | 386,175 | ||||||
| 775,000 | 5.625%, 6/15/2043 | 759,500 | ||||||
QBE Capital Funding III, Ltd. | ||||||||
| 400,000 | 7.250%, 5/24/2041e | 413,703 | ||||||
RBS Capital Trust III | ||||||||
| 600,000 | 5.512%, 9/29/2049g | 582,000 | ||||||
Realty Income Corporation | ||||||||
| 78,000 | 2.000%, 1/31/2018 | 76,390 | ||||||
Regions Bank | ||||||||
| 148,000 | 7.500%, 5/15/2018 | 175,126 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 860,000 | 6.750%, 12/15/2065 | 853,550 | ||||||
| 160,000 | 5.625%, 3/15/2017 | 176,388 | ||||||
Royal Bank of Scotland Group plc | ||||||||
| 136,000 | 5.050%, 1/8/2015 | 140,026 | ||||||
Santander US Debt SAU | ||||||||
| 175,000 | 3.724%, 1/20/2015e | 178,487 | ||||||
SLM Corporation | ||||||||
| 100,000 | 6.250%, 1/25/2016 | 108,000 | ||||||
Swiss RE Capital I, LP | ||||||||
| 823,000 | 6.854%, 5/29/2049e,g | 869,911 | ||||||
Ventas Realty, LP | ||||||||
| 185,000 | 1.550%, 9/26/2016 | 186,313 | ||||||
Wells Fargo & Company | ||||||||
| 105,000 | 1.250%, 7/20/2016 | 105,779 | ||||||
| 186,000 | 2.150%, 1/15/2019 | 185,417 | ||||||
Westpac Banking Corporation | ||||||||
| 124,000 | 0.668%, 11/25/2016d | 124,175 | ||||||
XLIT, Ltd. | ||||||||
| 124,000 | 2.300%, 12/15/2018 | 121,791 | ||||||
ZFS Finance USA Trust II | ||||||||
| 977,000 | 6.450%, 12/15/2065e | 1,042,947 | ||||||
|
| |||||||
| Total | 31,832,917 | |||||||
|
| |||||||
| Foreign Government (0.3%) |
| ||||||
Mexico Government International Bond | ||||||||
| 930,000 | 4.000%, 10/2/2023 | 920,700 | ||||||
|
| |||||||
| Total | 920,700 | |||||||
|
| |||||||
| Mortgage-Backed Securities (2.6%) | |||||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||
| 1,100,000 | 3.500%, 1/1/2029c | 1,150,316 | ||||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||
| 2,500,000 | 3.500%, 1/1/2044c | 2,483,399 | ||||||
| 650,000 | 4.000%, 1/1/2044c | 669,094 | ||||||
| 3,000,000 | 4.500%, 1/1/2044c | 3,178,711 | ||||||
Vericrest Opportunity Loan Transferee | ||||||||
| 1,000,000 | 3.625%, 3/25/2054h | 995,700 | ||||||
| 698,142 | 3.625%, 4/25/2055h | 695,433 | ||||||
|
| |||||||
| Total | 9,172,653 | |||||||
|
| |||||||
| Technology (0.8%) | |||||||
Amkor Technology, Inc. | ||||||||
| 670,000 | 6.625%, 6/1/2021 | 695,125 | ||||||
CommScope, Inc. | ||||||||
| 301,000 | 8.250%, 1/15/2019e | 329,971 | ||||||
EMC Corporation | ||||||||
| 200,000 | 1.875%, 6/1/2018 | 197,728 | ||||||
First Data Corporation | ||||||||
| 570,000 | 7.375%, 6/15/2019e | 608,475 | ||||||
Freescale Semiconductor, Inc. | ||||||||
| 570,000 | 6.000%, 1/15/2022e | 577,125 | ||||||
Oracle Corporation | ||||||||
| 97,000 | 1.200%, 10/15/2017 | 95,453 | ||||||
Tyco Electronics Group SA | ||||||||
| 93,000 | 6.550%, 10/1/2017 | 106,429 | ||||||
Xerox Corporation | ||||||||
| 93,000 | 7.200%, 4/1/2016 | 104,314 | ||||||
|
| |||||||
| Total | 2,714,620 | |||||||
|
| |||||||
| Transportation (0.5%) | |||||||
American Airlines Pass Through Trust | ||||||||
| 200,000 | 4.950%, 1/15/2023e | 206,125 | ||||||
Avis Budget Car Rental, LLC | ||||||||
| 260,000 | 8.250%, 1/15/2019 | 283,400 | ||||||
| 410,000 | 5.500%, 4/1/2023 | 397,187 | ||||||
Delta Air Lines, Inc. | ||||||||
| 72,007 | 4.950%, 5/23/2019 | 78,128 | ||||||
| 57,655 | 4.750%, 5/7/2020 | 61,692 | ||||||
ERAC USA Finance, LLC | ||||||||
| 100,000 | 2.800%, 11/1/2018e | 101,054 | ||||||
Hertz Corporation | ||||||||
| 410,000 | 6.750%, 4/15/2019 | 441,775 | ||||||
Kansas City Southern de Mexico SA de CV | ||||||||
| 92,000 | 0.937%, 10/28/2016d | 92,025 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
188
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (45.0%) | Value | ||||||
| Transportation (0.5%) - continued |
| ||||||
United Air Lines, Inc. | ||||||||
| $ | 92,509 | 10.400%, 11/1/2016 | $ | 104,997 | ||||
|
| |||||||
| Total | 1,766,383 | |||||||
|
| |||||||
| U.S. Government and Agencies (0.3%) | |||||||
U.S. Treasury Notes | ||||||||
| 1,215,000 | 0.250%, 9/30/2015 | 1,213,909 | ||||||
|
| |||||||
| Total | 1,213,909 | |||||||
|
| |||||||
| U.S. Municipals (2.7%) | |||||||
Buckeye Tobacco Settlement Financing Auth. Rev. | ||||||||
| 1,200,000 | 5.125%, 6/1/2024, Ser. A-2 | 989,736 | ||||||
Dallas/Fort Worth Texas International Airport Joint Rev. Improvement | ||||||||
| 1,200,000 | 5.000%, 11/1/2038, Ser. A, AMT | 1,116,276 | ||||||
Los Angeles Department Of Water and Power System Rev. | ||||||||
| 1,600,000 | 5.000%, 7/1/2043, Ser. B | 1,640,016 | ||||||
Massachusetts School Building Auth. Sales Tax Rev. | ||||||||
| 1,600,000 | 5.000%, 5/15/2043, Ser. A | 1,667,920 | ||||||
Miami-Dade County Expressway Auth. Toll System Rev. | ||||||||
| 1,200,000 | 5.000%, 7/1/2040, Ser. A | 1,194,756 | ||||||
New Jersey Transportation Trust Fund Auth. Transportation System Rev. | ||||||||
| 800,000 | 5.000%, 6/15/2042, Ser. A | 805,560 | ||||||
New York City Municipal Water Finance Auth. Water and Sewer System Rev. | ||||||||
| 1,200,000 | 5.000%, 6/15/2047, Ser. EE | 1,223,508 | ||||||
New York State Dormitory Auth. Personal Income Tax Rev. | ||||||||
| 1,200,000 | 5.000%, 3/15/2042, Ser. B | 1,233,228 | ||||||
|
| |||||||
| Total | 9,871,000 | |||||||
|
| |||||||
| Utilities (2.0%) | |||||||
Atlas Pipeline Partners, LP | ||||||||
| 570,000 | 4.750%, 11/15/2021e | 521,550 | ||||||
Buckeye Partners, LP | ||||||||
| 124,000 | 2.650%, 11/15/2018 | 122,178 | ||||||
Calpine Corporation | ||||||||
| 560,000 | 6.000%, 1/15/2022e | 574,000 | ||||||
CenterPoint Energy, Inc. | ||||||||
| 140,000 | 6.500%, 5/1/2018 | 163,354 | ||||||
Constellation Energy Group, Inc. | ||||||||
| 90,000 | 5.150%, 12/1/2020 | 95,769 | ||||||
DCP Midstream Operating, LP | ||||||||
| 64,000 | 2.500%, 12/1/2017 | 63,725 | ||||||
DCP Midstream, LLC | ||||||||
| 300,000 | 5.850%, 5/21/2043e | 279,000 | ||||||
Electricite de France SA | ||||||||
| 1,240,000 | 5.250%, 12/29/2049e,g | 1,233,180 | ||||||
Enel Finance International NV | ||||||||
| 93,000 | 3.875%, 10/7/2014e | 95,017 | ||||||
| 64,000 | 5.125%, 10/7/2019e | 68,330 | ||||||
Energy Transfer Partners, LP | ||||||||
| 125,000 | 4.650%, 6/1/2021 | 128,580 | ||||||
Enterprise Products Operating, LLC | ||||||||
| 960,000 | 7.034%, 1/15/2068 | 1,060,800 | ||||||
Exelon Generation Company, LLC | ||||||||
| 200,000 | 5.200%, 10/1/2019 | 215,535 | ||||||
Korea Western Power Company, Ltd. | ||||||||
| 124,000 | 2.875%, 10/10/2018e | 123,279 | ||||||
MidAmerican Energy Holdings Company | ||||||||
| 113,000 | 1.100%, 5/15/2017e | 112,389 | ||||||
| 137,000 | 5.750%, 4/1/2018 | 156,385 | ||||||
National Rural Utilities Cooperative Finance Corporation | ||||||||
| 480,000 | 4.750%, 4/30/2043 | 447,000 | ||||||
NiSource Finance Corporation | ||||||||
| 154,000 | 6.400%, 3/15/2018 | 177,226 | ||||||
ONEOK Partners, LP | ||||||||
| 62,000 | 2.000%, 10/1/2017 | 61,697 | ||||||
| 64,000 | 3.200%, 9/15/2018 | 65,441 | ||||||
Pacific Gas & Electric Company | ||||||||
| 62,000 | 5.625%, 11/30/2017 | 70,244 | ||||||
PPL Capital Funding, Inc. | ||||||||
| 159,000 | 1.900%, 6/1/2018 | 155,258 | ||||||
Southern California Edison Company | ||||||||
| 900,000 | 6.250%, 8/1/2049g | 931,500 | ||||||
TransCanada PipeLines, Ltd. | ||||||||
| 400,000 | 6.350%, 5/15/2067 | 410,885 | ||||||
|
| |||||||
| Total | 7,332,322 | |||||||
|
| |||||||
| Total Long-Term Fixed Income (cost $157,487,751) | 163,192,607 | |||||||
|
| |||||||
| Shares | Common Stock (34.0%) | Value | ||||||
| Consumer Discretionary (3.5%) | |||||||
| 5,600 | Aaron’s, Inc. | 164,640 | ||||||
| 8,700 | Abercrombie & Fitch Company | 286,317 | ||||||
| 20,500 | Best Buy Company, Inc. | 817,540 | ||||||
| 9,500 | Cablevision Systems Corporation | 170,335 | ||||||
| 6,600 | CEC Entertainment, Inc. | 292,248 | ||||||
| 34,500 | Comcast Corporation | 1,792,792 | ||||||
| 12,700 | Dana Holding Corporation | 249,174 | ||||||
| 13,100 | Federal-Mogul Corporationi | 257,808 | ||||||
| 81,100 | Ford Motor Company | 1,251,373 | ||||||
| 14,700 | Home Depot, Inc. | 1,210,398 | ||||||
| 105 | Lear Corporation | 8,502 | ||||||
| 11 | Lear Corporation Warrants, $0.01, expires 11/9/2014i | 1,742 | ||||||
| 22,300 | Lowe’s Companies, Inc. | 1,104,965 | ||||||
| 5,500 | Madison Square Garden Companyi | 316,690 | ||||||
| 2,800 | McDonald’s Corporation | 271,684 | ||||||
| 10,700 | National CineMedia, Inc. | 213,572 | ||||||
| 17,300 | Regis Corporation | 251,023 | ||||||
| 67,400 | Staples, Inc. | 1,070,986 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
189
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (34.0%) | Value | ||||||
| Consumer Discretionary (3.5%) - continued |
| ||||||
| 15,800 | Starwood Hotels & Resorts Worldwide, Inc. | $ | 1,255,310 | |||||
| 8,100 | Target Corporation | 512,487 | ||||||
| 11,000 | Thomson Reuters Corporation | 416,020 | ||||||
| 3,600 | Viacom, Inc. | 314,424 | ||||||
| 1,000 | Whirlpool Corporation | 156,860 | ||||||
| 3,300 | Wyndham Worldwide Corporation | 243,177 | ||||||
|
| |||||||
| Total | 12,630,067 | |||||||
|
| |||||||
| Consumer Staples (2.7%) | |||||||
| 28,800 | Altria Group, Inc. | 1,105,632 | ||||||
| 27,400 | Coca-Cola Company | 1,131,894 | ||||||
| 23,300 | CVS Caremark Corporation | 1,667,581 | ||||||
| 17,400 | Dr Pepper Snapple Group, Inc. | 847,728 | ||||||
| 11,300 | General Mills, Inc. | 563,983 | ||||||
| 13,800 | PepsiCo, Inc. | 1,144,572 | ||||||
| 8,500 | Prestige Brands Holdings, Inc.i | 304,300 | ||||||
| 12,800 | Procter & Gamble Company | 1,042,048 | ||||||
| 6,900 | Reynolds American, Inc. | 344,931 | ||||||
| 21,200 | Wal-Mart Stores, Inc. | 1,668,228 | ||||||
|
| |||||||
| Total | 9,820,897 | |||||||
|
| |||||||
| Energy (3.8%) | |||||||
| 11,700 | Anadarko Petroleum Corporation | 928,044 | ||||||
| 26,700 | Cabot Oil & Gas Corporation | 1,034,892 | ||||||
| 22,700 | Chevron Corporation | 2,835,457 | ||||||
| 26,600 | ConocoPhillips | 1,879,290 | ||||||
| 34,000 | Exxon Mobil Corporation | 3,440,800 | ||||||
| 39,100 | Kinder Morgan, Inc. | 1,407,600 | ||||||
| 12,700 | Oceaneering International, Inc. | 1,001,776 | ||||||
| 29,200 | RPC, Inc.j | 521,220 | ||||||
| 8,900 | Targa Resources Corporation | 784,713 | ||||||
|
| |||||||
| Total | 13,833,792 | |||||||
|
| |||||||
| Financials (10.2%) | |||||||
| 16,800 | ACE, Ltd. | 1,739,304 | ||||||
| 6,300 | Aflac, Inc. | 420,840 | ||||||
| 44,000 | American Capital Agency Corporation | 848,760 | ||||||
| 5,800 | American Financial Group, Inc. | 334,776 | ||||||
| 7,400 | Ameriprise Financial, Inc. | 851,370 | ||||||
| 62,200 | Anworth Mortgage Asset Corporation | 261,862 | ||||||
| 115,400 | Ares Capital Corporation | 2,050,658 | ||||||
| 34,800 | Ashford Hospitality Trust, Inc. | 288,144 | ||||||
| 4,500 | Berkshire Hathaway, Inc.i | 533,520 | ||||||
| 422,520 | BlackRock Enhanced Equity Dividend Trust | 3,354,809 | ||||||
| 8,400 | Cash America International, Inc. | 321,720 | ||||||
| 7,228 | Coresite Realty Corporation | 232,669 | ||||||
| 9,000 | Digital Realty Trust, Inc. | 442,080 | ||||||
| 21,200 | Discover Financial Services | 1,186,140 | ||||||
| 2,200 | Erie Indemnity Company | 160,864 | ||||||
| 13,700 | Excel Trust, Inc. | 156,043 | ||||||
| 26,800 | F.N.B. Corporation | 338,216 | ||||||
| 34,900 | Fifth Third Bancorp | 733,947 | ||||||
| 31,000 | First Financial Bancorp | 540,330 | ||||||
| 42,100 | First Niagara Financial Group, Inc. | 447,102 | ||||||
| 20,500 | Hancock Holding Company | 751,940 | ||||||
| 23,800 | Hatteras Financial Corporation | 388,892 | ||||||
| 10,600 | Horace Mann Educators Corporation | 334,324 | ||||||
| 34,500 | Huntington Bancshares, Inc. | 332,925 | ||||||
| 100,000 | iShares FTSE NAREIT Mortgage Plus Capped Index Fund | 1,152,000 | ||||||
| 14,400 | iShares J.P. Morgan USD Emerging Markets Bond ETF | 1,557,504 | ||||||
| 27,000 | iShares S&P U.S. Preferred Stock Index Fund | 994,410 | ||||||
| 16,900 | KeyCorp | 226,798 | ||||||
| 23,400 | Lazard, Ltd. | 1,060,488 | ||||||
| 28,600 | Maiden Holdings, Ltd. | 312,598 | ||||||
| 1,500 | MasterCard, Inc. | 1,253,190 | ||||||
| 7,600 | National Bank Holdings Corporation | 162,640 | ||||||
| 10,000 | PartnerRe, Ltd. | 1,054,300 | ||||||
| 13,700 | Prudential Financial, Inc. | 1,263,414 | ||||||
| 16,200 | Regions Financial Corporation | 160,218 | ||||||
| 7,067 | Silver Bay Realty Trust Corporation REIT | 113,002 | ||||||
| 93,000 | Solar Capital, Ltd. | 2,097,150 | ||||||
| 13,900 | Travelers Companies, Inc. | 1,258,506 | ||||||
| 144,750 | Two Harbors Investment Corporation | 1,343,280 | ||||||
| 17,700 | U.S. Bancorp | 715,080 | ||||||
| 3,800 | Vanguard Dividend Appreciation Index Fund ETF | 285,912 | ||||||
| 25,000 | Vanguard High Dividend Yield ETF | 1,558,000 | ||||||
| 6,800 | W.R. Berkley Corporation | 295,052 | ||||||
| 69,000 | Wells Fargo & Company | 3,132,600 | ||||||
|
| |||||||
| Total | 37,047,377 | |||||||
|
| |||||||
| Health Care (3.6%) | |||||||
| 38,300 | Abbott Laboratories | 1,468,039 | ||||||
| 5,200 | AmerisourceBergen Corporation | 365,612 | ||||||
| 5,000 | Amgen, Inc. | 570,800 | ||||||
| 4,000 | Computer Programs and Systems, Inc. | 247,240 | ||||||
| 4,800 | DaVita HealthCare Partners, Inc.i | 304,176 | ||||||
| 5,500 | Eli Lilly and Company | 280,500 | ||||||
| 4,400 | Forest Laboratories, Inc.i | 264,132 | ||||||
| 4,600 | HCA Holdings, Inc.i | 219,466 | ||||||
| 3,900 | Henry Schein, Inc.i | 445,614 | ||||||
| 12,300 | Johnson & Johnson | 1,126,557 | ||||||
| 4,500 | Mallinckrodt, LLCi | 235,170 | ||||||
| 3,300 | McKesson Corporation | 532,620 | ||||||
| 35,300 | Medtronic, Inc. | 2,025,867 | ||||||
| 43,661 | PDL BioPharma, Inc.j | 368,499 | ||||||
| 90,453 | Pfizer, Inc. | 2,770,575 | ||||||
| 8,100 | Quintiles Transnational Holdings, Inc.i | 375,354 | ||||||
| 5,200 | St. Jude Medical, Inc. | 322,140 | ||||||
| 13,200 | WellPoint, Inc. | 1,219,548 | ||||||
|
| |||||||
| Total | 13,141,909 | |||||||
|
| |||||||
| Industrials (3.8%) | |||||||
| 6,700 | 3M Company | 939,675 | ||||||
| 9,900 | ADT Corporation | 400,653 | ||||||
| 9,300 | Altra Industrial Motion Corporation | 318,246 | ||||||
| 14,600 | Brink’s Company | 498,444 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
190
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (34.0%) | Value | ||||||
| Industrials (3.8%) - continued |
| ||||||
| 5,300 | C.H. Robinson Worldwide, Inc. | $ | 309,202 | |||||
| 5,600 | Donaldson Company, Inc. | 243,376 | ||||||
| 8,900 | Ennis, Inc. | 157,530 | ||||||
| 57,500 | Exelis, Inc. | 1,095,950 | ||||||
| 10,500 | Landstar System, Inc. | 603,225 | ||||||
| 8,200 | Lockheed Martin Corporation | 1,219,012 | ||||||
| 21,500 | Northrop Grumman Corporation | 2,464,115 | ||||||
| 19,300 | Raytheon Company | 1,750,510 | ||||||
| 34,100 | Republic Services, Inc. | 1,132,120 | ||||||
| 8,300 | Roper Industries, Inc. | 1,151,044 | ||||||
| 22,400 | Southwest Airlines Company | 422,016 | ||||||
| 11,000 | Waste Connections, Inc. | 479,930 | ||||||
| 16,200 | Woodward, Inc. | 738,882 | ||||||
|
| |||||||
| Total | 13,923,930 | |||||||
|
| |||||||
| Information Technology (3.6%) | |||||||
| 3,100 | Accenture plc | 254,882 | ||||||
| 21,900 | Agilent Technologies, Inc. | 1,252,461 | ||||||
| 15,800 | Altera Corporation | 513,974 | ||||||
| 1,500 | Apple, Inc. | 841,665 | ||||||
| 15,800 | Booz Allen Hamilton Holding Corporation | 302,570 | ||||||
| 85,100 | Cisco Systems, Inc. | 1,910,495 | ||||||
| 61,100 | Intel Corporation | 1,586,156 | ||||||
| 8,400 | International Business Machines Corporation | 1,575,588 | ||||||
| 17,025 | Leidos Holdings, Inc.j | 791,492 | ||||||
| 11,200 | Lexmark International, Inc.j | 397,824 | ||||||
| 20,100 | ManTech International Corporation | 601,593 | ||||||
| 24,500 | Microchip Technology, Inc.j | 1,096,375 | ||||||
| 8,000 | Motorola Solutions, Inc. | 540,000 | ||||||
| 13,100 | Oracle Corporation | 501,206 | ||||||
| 16,300 | Take-Two Interactive Software, Inc.i | 283,131 | ||||||
| 20,000 | Xerox Corporation | 243,400 | ||||||
| 8,400 | Yahoo!, Inc.i | 339,696 | ||||||
|
| |||||||
| Total | 13,032,508 | |||||||
|
| |||||||
| Materials (1.0%) | |||||||
| 76,600 | Alcoa, Inc. | 814,258 | ||||||
| 2,800 | CF Industries Holdings, Inc. | 652,512 | ||||||
| 4,500 | Innophos Holdings, Inc. | 218,700 | ||||||
| 8,500 | Sigma-Aldrich Corporation | 799,085 | ||||||
| 40,700 | Southern Copper Corporation | 1,168,497 | ||||||
|
| |||||||
| Total | 3,653,052 | |||||||
|
| |||||||
| Telecommunications Services (0.8%) | |||||||
| 53,100 | AT&T, Inc. | 1,866,996 | ||||||
| 17,700 | Verizon Communications, Inc. | 869,778 | ||||||
|
| |||||||
| Total | 2,736,774 | |||||||
|
| |||||||
| Utilities (1.0%) | |||||||
| 14,200 | CenterPoint Energy, Inc. | 329,156 | ||||||
| 9,100 | Empire District Electric Company | 206,479 | ||||||
| 3,500 | Laclede Group, Inc. | 159,390 | ||||||
| 6,900 | Otter Tail Corporation | 201,963 | ||||||
| 7,100 | PG&E Corporation | 285,988 | ||||||
| 10,100 | Pinnacle West Capital Corporation | 534,492 | ||||||
| 26,300 | Southern Company | 1,081,193 | ||||||
| 4,700 | WGL Holdings, Inc. | 188,282 | ||||||
| 14,400 | Wisconsin Energy Corporation | 595,296 | ||||||
|
| |||||||
| Total | 3,582,239 | |||||||
|
| |||||||
| Total Common Stock (cost $111,337,957) | 123,402,545 | |||||||
|
| |||||||
Preferred Stock (2.5%) | ||||||||
| Financials (2.5%) | |||||||
| 39,710 | Annaly Capital Management, Inc., 7.500%g | 873,620 | ||||||
| 800 | Bank of America Corporation, Convertible, 7.250%g | 848,800 | ||||||
| 13,380 | Cobank ACB, 6.250%e,g | 1,281,971 | ||||||
| 16,000 | Countrywide Capital V, 7.000% | 405,600 | ||||||
| 20,000 | DDR Corporation, 6.250%g | 417,600 | ||||||
| 4,000 | Farm Credit Bank of Texas, 6.750%e,g | 401,250 | ||||||
| 25,900 | Morgan Stanley, 7.125%g | 677,026 | ||||||
| 10,500 | PNC Financial Services Group, Inc., 6.125%g | 265,125 | ||||||
| 8,000 | Royal Bank of Scotland Group plc, 7.250%g | 192,000 | ||||||
| 10,000 | State Street Corporation, 5.250%g | 207,000 | ||||||
| 42,000 | The Allstate Corporation, 5.100% | 1,012,620 | ||||||
| 19,600 | The Goldman Sachs Group, Inc., 5.500%g | 436,884 | ||||||
| 28,000 | U.S. Bancorp, 6.500%g | 736,400 | ||||||
| 16,000 | Wells Fargo & Company, 5.850%g | 377,120 | ||||||
| 800 | Wells Fargo & Company, Convertible, 7.500%g | 884,000 | ||||||
|
| |||||||
| Total | 9,017,016 | |||||||
|
| |||||||
| Total Preferred Stock (cost $9,551,613) | 9,017,016 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.8%) | ||||||||
| 3,011,629 | Thrivent Cash Management Trust | 3,011,629 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $3,011,629) | 3,011,629 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (8.4%)k | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 400,000 | 0.100%, 4/23/2014l | 399,875 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 500,000 | 0.050%, 2/5/2014 | 499,976 | ||||||
Thrivent Cash Management Trust | ||||||||
| 29,566,956 | 0.060% | 29,566,956 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 30,466,807 | |||||||
|
| |||||||
| Total Investments (cost $356,389,886) 103.0% | $ | 373,733,815 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (3.0%) | (11,021,567 | )�� | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 362,712,248 | ||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
191
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | All or a portion of the loan is unfunded. |
| c | Denotes investments purchased on a when-issued or delayed delivery basis. |
| d | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 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 December 31, 2013, the value of these investments was $28,313,476 or 7.8% of total net assets. |
| f | 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. |
| g | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| 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 Diversified Income Plus Portfolio owned as of December 31, 2013. |
Security | Acquisition Date | Cost | ||||||
Vericrest Opportunity Loan Transferee, 3/25/2054 | 12/11/2013 | $ | 995,671 | |||||
Vericrest Opportunity Loan Transferee, 4/25/2055 | 11/21/2013 | $ | 695,464 | |||||
| i | Non-income producing security. |
| j | All or a portion of the security is on loan. |
| k | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| l | At December 31, 2013, $399,875 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
| AMT | - | Subject to Alternative Minimum Tax | ||
| Auth. | - | Authority | ||
| ETF | - | Exchange Traded Fund. | ||
| REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. | ||
| Rev. | - | Revenue | ||
| Ser. | - | Series |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 21,200,878 | ||
Gross unrealized depreciation | (3,873,708 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 17,327,170 | ||
Cost for federal income tax purposes | $ | 356,406,645 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
192
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 2,149,307 | — | 2,149,307 | — | ||||||||||||
Capital Goods | 2,377,995 | — | 2,377,995 | — | ||||||||||||
Communications Services | 13,058,254 | — | 13,058,254 | — | ||||||||||||
Consumer Cyclical | 10,118,100 | — | 10,118,100 | — | ||||||||||||
Consumer Non-Cyclical | 4,527,543 | — | 4,527,543 | — | ||||||||||||
Energy | 2,593,962 | — | 2,593,962 | — | ||||||||||||
Financials | 1,752,089 | — | 1,752,089 | — | ||||||||||||
Technology | 3,553,833 | — | 3,553,833 | — | ||||||||||||
Transportation | 3,000,402 | — | 3,000,402 | — | ||||||||||||
Utilities | 1,511,726 | — | 1,511,726 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 4,847,743 | — | 4,847,743 | — | ||||||||||||
Basic Materials | 3,384,821 | — | 3,384,821 | — | ||||||||||||
Capital Goods | 3,588,880 | — | 3,588,880 | — | ||||||||||||
Collateralized Mortgage Obligations | 53,822,133 | — | 53,822,133 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 1,785,973 | — | 1,785,973 | — | ||||||||||||
Communications Services | 9,474,186 | — | 9,474,186 | — | ||||||||||||
Consumer Cyclical | 6,657,606 | — | 6,657,606 | — | ||||||||||||
Consumer Non-Cyclical | 8,394,765 | — | 8,394,765 | — | ||||||||||||
Energy | 6,411,996 | — | 6,411,996 | — | ||||||||||||
Financials | 31,832,917 | — | 31,832,917 | — | ||||||||||||
Foreign Government | 920,700 | — | 920,700 | — | ||||||||||||
Mortgage-Backed Securities | 9,172,653 | — | 9,172,653 | — | ||||||||||||
Technology | 2,714,620 | — | 2,714,620 | — | ||||||||||||
Transportation | 1,766,383 | — | 1,766,383 | — | ||||||||||||
U.S. Government and Agencies | 1,213,909 | — | 1,213,909 | — | ||||||||||||
U.S. Municipals | 9,871,000 | — | 9,871,000 | — | ||||||||||||
Utilities | 7,332,322 | — | 7,332,322 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 12,630,067 | 12,630,067 | — | — | ||||||||||||
Consumer Staples | 9,820,897 | 9,820,897 | — | — | ||||||||||||
Energy | 13,833,792 | 13,833,792 | — | — | ||||||||||||
Financials | 37,047,377 | 37,047,377 | — | — | ||||||||||||
Health Care | 13,141,909 | 13,141,909 | — | — | ||||||||||||
Industrials | 13,923,930 | 13,923,930 | — | — | ||||||||||||
Information Technology | 13,032,508 | 13,032,508 | — | — | ||||||||||||
Materials | 3,653,052 | 3,653,052 | — | — | ||||||||||||
Telecommunications Services | 2,736,774 | 2,736,774 | — | — | ||||||||||||
Utilities | 3,582,239 | 3,582,239 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 9,017,016 | 7,333,795 | 1,683,221 | — | ||||||||||||
Collateral Held for Securities Loaned | 3,011,629 | 3,011,629 | — | — | ||||||||||||
Short-Term Investments | 30,466,807 | 29,566,956 | 899,851 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 373,733,815 | $ | 163,314,925 | $ | 210,418,890 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 319,462 | 319,462 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 319,462 | $ | 319,462 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 41,111 | 41,111 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 41,111 | $ | 41,111 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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.
193
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2013
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
5-Yr. U.S. Treasury Bond Futures | 26 | March 2014 | $ | 3,143,236 | $ | 3,102,125 | ($ | 41,111 | ) | |||||||||||
10-Yr. U.S. Treasury Bond Futures | (85 | ) | March 2014 | (10,657,944 | ) | (10,458,985 | ) | 198,959 | ||||||||||||
S&P 500 Index Mini-Futures | 41 | March 2014 | 3,653,753 | 3,774,256 | 120,503 | |||||||||||||||
Total Futures Contracts | $ | 278,351 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | 198,959 | ||||
Total Interest Rate Contracts | 198,959 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 120,503 | ||||
Total Equity Contracts | 120,503 | |||||
|
| |||||
Total Asset Derivatives | $ | 319,462 | ||||
|
| |||||
| Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 41,111 | ||||
Total Interest Rate Contracts | 41,111 | |||||
|
| |||||
Total Liability Derivatives | $ | 41,111 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | (1,751,707 | ) | |||
| Total Equity Contracts | (1,742,683 | ) | ||||
| Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (174,459 | ) | |||
| Total Interest Rate Contracts | (174,459 | ) | ||||
| Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | 11,177 | ||||
| Total Credit Contracts | 11,177 | |||||
|
| |||||
| Total | ($ | 1,905,965 | ) | |||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
194
Diversified Income Plus Portfolio
Schedule of Investments as of December 31, 2013
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | 158,880 | ||||
Total Interest Rate Contracts | 158,880 | |||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 164,491 | ||||
Total Equity Contracts | 164,491 | |||||
|
| |||||
Total | $ | 323,371 | ||||
|
| |||||
The following table presents Diversified Income Plus Portfolio’s average volume of derivative activity during the period ended December 31, 2013.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | Swaps (Notional)* | Options (Contracts) | ||||||||||||
Equity Contracts | $ | 10,821,452 | 3.5 | % | N/A | <1 | ||||||||||
Interest Rate Contracts | 8,046,332 | 2.6 | N/A | N/A | ||||||||||||
Credit Contracts | N/A | N/A | $ | 28,908 | 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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 2,814,386 | $ | 45,815,857 | $ | 45,618,614 | 3,011,629 | $ | 3,011,629 | $ | 37,742 | |||||||||||||
Cash Management Trust- Short Term Investment | 35,501,783 | 161,159,187 | 167,094,016 | 29,566,956 | 29,566,956 | 28,178 | ||||||||||||||||||
Total Value and Income Earned | 38,316,169 | 32,578,585 | 65,920 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
195
Opportunity Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Bank Loans (36.9%)a | Value | ||||||
| Basic Materials (1.6%) | |||||||
Alpha Natural Resources, Inc., Term Loan | ||||||||
| $299,246 | 3.500%, 5/22/2020 | $ | 293,860 | |||||
Fortescue Metals Group, Ltd., Term Loan | ||||||||
| 203,973 | 4.250%, 6/30/2019 | 206,459 | ||||||
Ineos Group Holdings, Ltd., Term Loan | ||||||||
| 253,712 | 4.000%, 5/4/2018 | 254,346 | ||||||
|
| |||||||
| Total | 754,665 | |||||||
|
| |||||||
| Capital Goods (1.7%) | |||||||
ADS Waste Holdings, Term Loan | ||||||||
| 253,718 | 4.250%, 10/9/2019 | 254,845 | ||||||
Rexnord, LLC, Term Loan | ||||||||
| 279,300 | 4.000%, 8/21/2020 | 279,881 | ||||||
Silver II Borrower, Term Loan | ||||||||
| 274,393 | 4.000%, 12/13/2019 | 274,678 | ||||||
|
| |||||||
| Total | 809,404 | |||||||
|
| |||||||
| Communications Services (11.6%) | |||||||
Cincinnati Bell, Inc., Term Loan | ||||||||
| 124,687 | 4.000%, 9/10/2020 | 124,843 | ||||||
Clear Channel Communications, Inc., Term Loan | ||||||||
| 255,000 | 6.919%, 1/30/2019 | 243,206 | ||||||
Cricket Communications, Inc., Term Loan | ||||||||
| 1,492,500 | 4.750%, 3/8/2020 | 1,497,470 | ||||||
Fairpoint Communications, Term Loan | ||||||||
| 253,722 | 7.500%, 2/14/2019b,c | 261,904 | ||||||
Grande Communications Networks, LLC, Term Loan | ||||||||
| 253,725 | 4.500%, 5/29/2020 | 253,197 | ||||||
Hargray Communications Group, Inc., Term Loan | ||||||||
| 223,875 | 4.750%, 6/26/2019 | 224,994 | ||||||
Integra Telecom Holdings, Inc., Term Loan | ||||||||
| 253,722 | 5.250%, 2/22/2019 | 256,787 | ||||||
Level 3 Communications, Inc., Term Loan | ||||||||
| 280,000 | 4.000%, 8/1/2019 | 281,283 | ||||||
LTS Buyer, LLC, Term Loan | ||||||||
| 278,600 | 4.500%, 4/13/2020 | 279,559 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
| 241,579 | 9.000%, 3/22/2019 | 245,705 | ||||||
NTelos, Inc., Term Loan | ||||||||
| 29,849 | 5.750%, 11/9/2019 | 29,899 | ||||||
Puerto Rico Cable Acquisition Company, Inc., Term Loan | ||||||||
| 269,691 | 5.500%, 7/31/2018 | 269,804 | ||||||
RCN Telecom Services, LLC, Term Loan | ||||||||
| 253,722 | 4.500%, 3/1/2020 | 255,533 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
| 29,849 | 4.500%, 2/28/2020 | 29,980 | ||||||
| 223,872 | 4.500%, 3/1/2020 | 225,072 | ||||||
Virgin Media Investment Holdings, Ltd., Term Loan | ||||||||
| 255,000 | 3.500%, 6/8/2020 | 255,383 | ||||||
Visant Corporation, Term Loan | ||||||||
| 175,000 | 5.250%, 12/22/2016 | 172,230 | ||||||
WideOpenWest Finance, LLC, Term Loan | ||||||||
| 253,722 | 4.750%, 4/1/2019 | 254,737 | ||||||
Zayo Group, LLC, Term Loan | ||||||||
| 253,713 | 4.000%, 7/2/2019 | 253,771 | ||||||
|
| |||||||
| Total | 5,415,357 | |||||||
|
| |||||||
| Consumer Cyclical (8.6%) | |||||||
Bally Technologies, Inc., Term Loan | ||||||||
| 508,725 | 4.250%, 11/25/2020 | 512,062 | ||||||
Booz Allen Hamilton, Inc., Term Loan | ||||||||
| 124,371 | 3.750%, 7/31/2019 | 124,659 | ||||||
Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
| 279,298 | 4.250%, 2/23/2017 | 281,742 | ||||||
Cenveo Corporation, Term Loan | ||||||||
| 584,700 | 6.250%, 2/13/2017 | 587,138 | ||||||
Ceridian Corporation, Term Loan | ||||||||
| 280,000 | 4.415%, 5/9/2017 | 280,787 | ||||||
Golden Nugget, Inc., Delayed Draw | ||||||||
| 105,000 | 0.198%, 11/21/2019 | 106,444 | ||||||
Golden Nugget, Inc., Term Loan | ||||||||
| 245,000 | 2.180%, 11/21/2019 | 248,369 | ||||||
J.C. Penney Corporation, Inc., Term Loan | ||||||||
| 253,725 | 6.000%, 5/22/2018 | 247,889 | ||||||
Las Vegas Sands, LLC, Term Loan | ||||||||
| 125,000 | 0.000%, 12/17/2020b,c | 124,831 | ||||||
Marina District Finance Company, Inc., Term Loan | ||||||||
| 220,000 | 0.000%, 8/15/2018b,c | 220,689 | ||||||
Mohegan Tribal Gaming Authority, Term Loan | ||||||||
| 750,000 | 5.500%, 11/19/2019 | 760,785 | ||||||
Scientific Games International, Inc., Term Loan | ||||||||
| 255,000 | 4.250%, 10/18/2020 | 255,064 | ||||||
Toys R Us, Inc., Term Loan | ||||||||
| 278,529 | 5.250%, 5/25/2018 | 234,488 | ||||||
|
| |||||||
| Total | 3,984,947 | |||||||
|
| |||||||
| Consumer Non-Cyclical (5.6%) | |||||||
Albertsons, Inc., Term Loan | ||||||||
| 279,298 | 4.750%, 3/21/2019b,c | 280,578 | ||||||
JBS USA, LLC, Term Loan | ||||||||
| 1,492,462 | 3.750%, 5/25/2018 | 1,492,462 | ||||||
McJunkin Red Man Corporation, Term Loan | ||||||||
| 149,625 | 0.000%, 11/8/2019b,c | 151,495 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
196
Opportunity Income Plus Portfolio
Schedule of Investments as of December 31, 2013
Principal | Bank Loans (36.9%)a | Value | ||||||
| Consumer Non-Cyclical (5.6%) - continued | |||||||
| Roundy’s Supermarkets, Inc., Term Loan | ||||||||
| $217,122 | 5.750%, 2/13/2019 | $ | 216,885 | |||||
| Supervalu, Inc., Term Loan | ||||||||
| 228,256 | 5.000%, 3/21/2019 | 230,217 | ||||||
| Van Wagner Communications, LLC, Term Loan | ||||||||
| 247,500 | 6.250%, 8/3/2018 | 250,284 | ||||||
|
| |||||||
| Total | 2,621,921 | |||||||
|
| |||||||
| Energy (1.1%) | |||||||
| Arch Coal, Inc., Term Loan | ||||||||
| 278,588 | 6.250%, 5/16/2018 | 274,467 | ||||||
| Pacific Drilling SA, Term Loan | ||||||||
| 253,725 | 4.500%, 6/3/2018 | 256,422 | ||||||
|
| |||||||
| Total | 530,889 | |||||||
|
| |||||||
| Financials (0.6%) | |||||||
| Harland Clarke Holdings Corporation, Term Loan | ||||||||
| 251,812 | 7.000%, 5/22/2018 | 253,341 | ||||||
|
| |||||||
| Total | 253,341 | |||||||
|
| |||||||
| Technology (1.8%) | |||||||
| BMC Software, Inc., Term Loan | ||||||||
| 280,000 | 5.000%, 9/10/2020 | 281,313 | ||||||
| First Data Corporation Extended, Term Loan | ||||||||
| 255,000 | 4.166%, 3/23/2018 | 255,176 | ||||||
| Freescale Semiconductor, Inc., Term Loan | ||||||||
| 253,722 | 5.000%, 3/1/2020 | 256,122 | ||||||
| Infor US, Inc., Term Loan | ||||||||
| 50,000 | 0.000%, 6/3/2020b,c | 49,886 | ||||||
|
| |||||||
| Total | 842,497 | |||||||
|
| |||||||
| Transportation (2.1%) | |||||||
| American Airlines, Inc., Term Loan | ||||||||
| 502,475 | 3.750%, 6/27/2019 | 504,987 | ||||||
| American Petroleum Tankers Parent, LLC, Term Loan | ||||||||
| 212,300 | 4.750%, 10/2/2019 | 212,301 | ||||||
| U.S. Airways, Inc., Term Loan | ||||||||
| 255,000 | 4.000%, 5/23/2019 | 256,466 | ||||||
|
| |||||||
| Total | 973,754 | |||||||
|
| |||||||
| Utilities (2.2%) | |||||||
| Calpine Corporation, Term Loan | ||||||||
| 750,000 | 4.000%, 10/31/2020 | 754,020 | ||||||
| Intergen NV, Term Loan | ||||||||
| 253,725 | 5.500%, 6/15/2020 | 255,628 | ||||||
|
| |||||||
| Total | 1,009,648 | |||||||
|
| |||||||
| Total Bank Loans (cost $17,200,763) | 17,196,423 | |||||||
|
| |||||||
Long-Term Fixed Income (60.0%) | ||||||||
| Asset-Backed Securities (5.7%) | ||||||||
| Asset Backed Securities Corporation Home Equity Loan Trust | ||||||||
| 246,175 | 0.305%, 7/25/2036d | 218,784 | ||||||
| Countrywide Asset-Backed Certificates | ||||||||
| 186,179 | 5.859%, 10/25/2046 | 125,826 | ||||||
| 242,970 | 5.530%, 4/25/2047 | 222,367 | ||||||
| Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 112,312 | 5.501%, 12/25/2036 | 73,030 | ||||||
| First Horizon ABS Trust | ||||||||
| 276,186 | 0.295%, 10/25/2026d,e | 254,596 | ||||||
| 538,696 | 0.325%, 10/25/2034d,e | 445,830 | ||||||
| GMAC Mortgage Corporation Loan Trust | ||||||||
| 702,656 | 0.345%, 8/25/2035d,e | 589,161 | ||||||
| Popular ABS Mortgage Pass-Through Trust | ||||||||
| 100,000 | 5.297%, 11/25/2035 | 84,342 | ||||||
| Renaissance Home Equity Loan Trust | ||||||||
| 250,000 | 5.797%, 8/25/2036 | 155,158 | ||||||
| 196,557 | 5.285%, 1/25/2037 | 106,602 | ||||||
| Wachovia Asset Securitization, Inc. | ||||||||
| 453,901 | 0.305%, 7/25/2037d,e,f | 398,173 | ||||||
|
| |||||||
| Total | 2,673,869 | |||||||
|
| |||||||
| Basic Materials (1.7%) | |||||||
| ArcelorMittal | ||||||||
| 100,000 | 6.000%, 3/1/2021 | 106,000 | ||||||
| BHP Billiton Finance USA, Ltd. | ||||||||
| 52,000 | 2.050%, 9/30/2018 | 51,994 | ||||||
| Dow Chemical Company | ||||||||
| 24,000 | 8.550%, 5/15/2019 | 30,989 | ||||||
| FMG Resources Pty. Ltd. | ||||||||
| 64,810 | 6.875%, 2/1/2018g | 68,212 | ||||||
| Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| 30,000 | 2.375%, 3/15/2018 | 29,927 | ||||||
| Hexion US Finance Corporation/Hexion Nova Scotia Finance ULC | ||||||||
| 64,810 | 8.875%, 2/1/2018 | 67,321 | ||||||
| Ineos Finance plc | ||||||||
| 80,000 | 7.500%, 5/1/2020g | 87,700 | ||||||
| Inmet Mining Corporation | ||||||||
| 64,810 | 8.750%, 6/1/2020g | 70,319 | ||||||
| LyondellBasell Industries NV | ||||||||
| 26,000 | 5.000%, 4/15/2019 | 28,876 | ||||||
| 24,000 | 6.000%, 11/15/2021 | 27,603 | ||||||
| NOVA Chemicals Corporation | ||||||||
| 97,215 | 5.250%, 8/1/2023g | 100,131 | ||||||
| Xstrata Finance Canada, Ltd. | ||||||||
| 40,000 | 2.050%, 10/23/2015g | 40,509 | ||||||
| 63,000 | 2.700%, 10/25/2017g | 63,715 | ||||||
|
| |||||||
| Total | 773,296 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
197
Opportunity Income Plus Portfolio
Schedule of Investments as of December 31, 2013
Principal | Long-Term Fixed Income (60.0%) | Value | ||||||
| Capital Goods (1.7%) | |||||||
| BAE Systems plc | ||||||||
| $38,000 | 3.500%, 10/11/2016g | $ | 39,723 | |||||
| Cemex Finance, LLC | ||||||||
| 64,810 | 9.375%, 10/12/2017g | 73,073 | ||||||
| CNH Capital, LLC | ||||||||
| 64,810 | 3.625%, 4/15/2018 | 65,701 | ||||||
| Crown Americas Capital Corporation IV | ||||||||
| 80,000 | 4.500%, 1/15/2023 | 74,800 | ||||||
| Eaton Corporation | ||||||||
| 32,000 | 1.500%, 11/2/2017 | 31,371 | ||||||
| John Deere Capital Corporation | ||||||||
| 76,000 | 1.050%, 10/11/2016 | 76,219 | ||||||
| Nortek, Inc. | ||||||||
| 64,810 | 8.500%, 4/15/2021 | 71,777 | ||||||
| Reynolds Group Issuer, Inc. | ||||||||
| 64,810 | 9.875%, 8/15/2019 | 72,101 | ||||||
| Roper Industries, Inc. | ||||||||
| 65,000 | 1.850%, 11/15/2017 | 64,432 | ||||||
| Textron, Inc. | ||||||||
| 38,000 | 4.625%, 9/21/2016 | 40,965 | ||||||
| Trinseo Materials Operating SCA | ||||||||
| 82,000 | 8.750%, 2/1/2019g | 84,665 | ||||||
| United Rentals North America, Inc. | ||||||||
| 77,000 | 7.375%, 5/15/2020 | 85,374 | ||||||
|
| |||||||
| Total | 780,201 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (9.0%) | |||||||
| Citicorp Mortgage Securities, Inc. | ||||||||
| 95,903 | 6.000%, 7/25/2037 | 95,376 | ||||||
| CitiMortgage Alternative Loan Trust | ||||||||
| 173,734 | 5.750%, 4/25/2037 | 146,129 | ||||||
| Countrywide Alternative Loan Trust | ||||||||
| 44,367 | 5.500%, 10/25/2035 | 39,655 | ||||||
| 84,576 | 5.500%, 2/25/2036 | 75,522 | ||||||
| 120,203 | 6.000%, 1/25/2037 | 102,113 | ||||||
| 258,591 | 5.500%, 5/25/2037 | 214,915 | ||||||
| Deutsche Alt-A Securities, Inc., Mortgage Loan Trust | ||||||||
| 148,302 | 0.900%, 4/25/2047d | 122,392 | ||||||
| GMAC Mortgage Corporation Loan Trust | ||||||||
| 92,479 | 4.726%, 9/19/2035 | 90,205 | ||||||
| GSR Mortgage Loan Trust | ||||||||
| 32,899 | 0.355%, 8/25/2046d | 32,384 | ||||||
| Impac CMB Trust | ||||||||
| 288,941 | 0.685%, 4/25/2035d | 263,317 | ||||||
| 51,829 | 0.805%, 8/25/2035d | 44,830 | ||||||
| J.P. Morgan Alternative Loan Trust | ||||||||
| 117,880 | 6.500%, 3/25/2036 | 103,343 | ||||||
| J.P. Morgan Mortgage Trust | ||||||||
| 139,176 | 6.500%, 1/25/2035 | 134,212 | ||||||
| 125,210 | 2.660%, 6/25/2035 | 124,825 | ||||||
| 206,504 | 2.631%, 7/25/2035 | 201,717 | ||||||
| 258,775 | 2.867%, 8/25/2035 | 257,125 | ||||||
| 330,626 | 2.459%, 6/25/2036 | 294,701 | ||||||
| 63,620 | 2.665%, 10/25/2036 | 52,719 | ||||||
| MLCC Mortgage Investors, Inc. | ||||||||
| 280,062 | 0.825%, 8/25/2029d | 274,863 | ||||||
| Morgan Stanley Mortgage Loan Trust | ||||||||
| 153,102 | 5.319%, 11/25/2035 | 112,845 | ||||||
| Residential Accredit Loans, Inc. | ||||||||
| 119,278 | 5.500%, 12/25/2034 | 122,461 | ||||||
| 173,459 | 3.531%, 9/25/2035 | 142,259 | ||||||
| Sequoia Mortgage Trust | ||||||||
| 276,204 | 0.477%, 11/20/2034d | 271,750 | ||||||
| WaMu Mortgage Pass Through Certificates | ||||||||
| 73,224 | 2.420%, 10/25/2036 | 62,446 | ||||||
| 48,738 | 2.402%, 8/25/2046 | 42,066 | ||||||
| Wells Fargo Mortgage Backed Securities Trust | ||||||||
| 221,620 | 5.000%, 3/25/2021 | 226,928 | ||||||
| 295,774 | 2.628%, 3/25/2036 | 295,192 | ||||||
| 138,749 | 2.723%, 4/25/2036 | 129,933 | ||||||
| 73,888 | 6.000%, 7/25/2037 | 69,903 | ||||||
|
| |||||||
| Total | 4,146,126 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (1.3%) | |||||||
| Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 11,610 | 5.654%, 6/11/2040 | 11,575 | ||||||
| Credit Suisse Mortgage Capital Certificates | ||||||||
| 118,000 | 5.509%, 9/15/2039 | 126,703 | ||||||
| Government National Mortgage Association | ||||||||
| 67,082 | 2.164%, 3/16/2033 | 67,410 | ||||||
| LB-UBS Commercial Mortgage Trust | ||||||||
| 299,747 | 4.786%, 10/15/2029 | 304,171 | ||||||
| 75,828 | 5.866%, 9/15/2045 | 84,098 | ||||||
|
| |||||||
| Total | 593,957 | |||||||
|
| |||||||
| Communications Services (4.4%) | |||||||
| AMC Networks, Inc. | ||||||||
| 64,810 | 7.750%, 7/15/2021 | 72,911 | ||||||
| America Movil SAB de CV | ||||||||
| 26,000 | 5.000%, 10/16/2019 | 28,405 | ||||||
| American Tower Corporation | ||||||||
| 38,000 | 7.000%, 10/15/2017 | 43,799 | ||||||
| AT&T, Inc. | ||||||||
| 90,000 | 2.400%, 8/15/2016 | 92,551 | ||||||
| British Telecommunications plc | ||||||||
| 32,000 | 1.625%, 6/28/2016 | 32,282 | ||||||
| CBS Corporation | ||||||||
| 39,000 | 8.875%, 5/15/2019 | 49,863 | ||||||
| CC Holdings GS V, LLC | ||||||||
| 67,000 | 2.381%, 12/15/2017 | 66,362 | ||||||
| CCO Holdings, LLC | ||||||||
| 64,810 | 7.000%, 1/15/2019 | 68,294 | ||||||
| CenturyLink, Inc. | ||||||||
| 64,810 | 5.625%, 4/1/2020 | 65,944 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
198
Opportunity Income Plus Portfolio
Schedule of Investments as of December 31, 2013
Principal | Long-Term Fixed Income (60.0%) | Value | ||||||
| Communications Services (4.4%) - continued | |||||||
| Cequel Communications Escrow 1, LLC | ||||||||
| $80,000 | 6.375%, 9/15/2020g | $ | 82,000 | |||||
| Digicel, Ltd. | ||||||||
| 64,810 | 6.000%, 4/15/2021g | 62,542 | ||||||
| DIRECTV Holdings, LLC | ||||||||
| 46,000 | 3.500%, 3/1/2016 | 48,286 | ||||||
| 24,000 | 5.875%, 10/1/2019 | 27,187 | ||||||
| Hughes Satellite Systems Corporation | ||||||||
| 77,000 | 6.500%, 6/15/2019 | 83,352 | ||||||
| Intelsat Jackson Holdings SA | ||||||||
| 64,810 | 7.250%, 10/15/2020 | 70,886 | ||||||
| Level 3 Financing, Inc. | ||||||||
| 77,000 | 8.625%, 7/15/2020 | 86,240 | ||||||
| NBC Universal Enterprise, Inc. | ||||||||
| 39,000 | 1.662%, 4/15/2018g | 38,090 | ||||||
| News America, Inc. | ||||||||
| 24,000 | 4.500%, 2/15/2021 | 25,725 | ||||||
| SBA Tower Trust | ||||||||
| 76,000 | 5.101%, 4/17/2017g | 81,923 | ||||||
| Sprint Communications, Inc. | ||||||||
| 64,810 | 9.000%, 11/15/2018g | 78,096 | ||||||
| Telefonica Emisiones SAU | ||||||||
| 48,000 | 3.992%, 2/16/2016 | 50,419 | ||||||
| 50,000 | 3.192%, 4/27/2018 | 50,921 | ||||||
| T-Mobile USA, Inc. | ||||||||
| 125,000 | 6.633%, 4/28/2021 | 131,562 | ||||||
| Univision Communications, Inc. | ||||||||
| 100,000 | 7.875%, 11/1/2020g | 109,875 | ||||||
| UPCB Finance V, Ltd. | ||||||||
| 100,000 | 7.250%, 11/15/2021g | 108,500 | ||||||
| Verizon Communications, Inc. | ||||||||
| 96,000 | 2.500%, 9/15/2016 | 99,267 | ||||||
| 37,000 | 1.993%, 9/14/2018d | 38,905 | ||||||
| 60,000 | 3.650%, 9/14/2018 | 63,514 | ||||||
| WideOpenWest Finance, LLC | ||||||||
| 100,000 | 10.250%, 7/15/2019 | 111,000 | ||||||
| Wind Acquisition Finance SA | ||||||||
| 64,810 | 11.750%, 7/15/2017g | 68,942 | ||||||
|
| |||||||
| Total | 2,037,643 | |||||||
|
| |||||||
| Consumer Cyclical (3.1%) | |||||||
| Amazon.com, Inc. | ||||||||
| 55,000 | 1.200%, 11/29/2017 | 53,850 | ||||||
| Brookfield Residential Properties, Inc. | ||||||||
| 100,000 | 6.500%, 12/15/2020g | 103,750 | ||||||
| Chrysler Group, LLC | ||||||||
| 64,810 | 8.250%, 6/15/2021 | 73,721 | ||||||
| Cinemark USA, Inc. | ||||||||
| 80,000 | 4.875%, 6/1/2023 | 75,200 | ||||||
| Ford Motor Credit Company, LLC | ||||||||
| 88,000 | 3.984%, 6/15/2016 | 93,579 | ||||||
| 50,000 | 3.000%, 6/12/2017 | 51,966 | ||||||
| 38,000 | 5.000%, 5/15/2018 | 42,329 | ||||||
| General Motors Company | ||||||||
| 52,000 | 3.500%, 10/2/2018g | 53,170 | ||||||
| General Motors Financial Company, Inc. | ||||||||
| 64,810 | 3.250%, 5/15/2018g | 64,810 | ||||||
| GLP Capital, LP | ||||||||
| 85,000 | 4.875%, 11/1/2020g | 85,000 | ||||||
| Hilton Worldwide Finance, LLC | ||||||||
| 100,000 | 5.625%, 10/15/2021g | 103,750 | ||||||
| Home Depot, Inc. | ||||||||
| 24,000 | 3.950%, 9/15/2020 | 25,605 | ||||||
| Jaguar Land Rover Automotive plc | ||||||||
| 77,000 | 5.625%, 2/1/2023g | 77,000 | ||||||
| L Brands, Inc. | ||||||||
| 77,000 | 6.625%, 4/1/2021 | 84,508 | ||||||
| Macy’s Retail Holdings, Inc. | ||||||||
| 68,000 | 7.450%, 7/15/2017 | 79,525 | ||||||
| MGM Resorts International | ||||||||
| 70,000 | 5.250%, 3/31/2020 | 69,475 | ||||||
| Royal Caribbean Cruises, Ltd. | ||||||||
| 64,810 | 5.250%, 11/15/2022 | 64,810 | ||||||
| Toll Brothers Finance Corporation | ||||||||
| 52,000 | 4.000%, 12/31/2018 | 52,910 | ||||||
| Toyota Motor Credit Corporation | ||||||||
| 38,000 | 2.000%, 10/24/2018 | 37,989 | ||||||
| West Corporation | ||||||||
| 64,810 | 8.625%, 10/1/2018 | 70,481 | ||||||
| Wynn Las Vegas, LLC | ||||||||
| 77,000 | 5.375%, 3/15/2022 | 77,770 | ||||||
|
| |||||||
| Total | 1,441,198 | |||||||
|
| |||||||
| Consumer Non-Cyclical (4.6%) | |||||||
| AbbVie, Inc. | ||||||||
| 80,000 | 1.750%, 11/6/2017 | 79,863 | ||||||
| Altria Group, Inc. | ||||||||
| 48,000 | 9.700%, 11/10/2018 | 63,091 | ||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 52,000 | 7.750%, 1/15/2019 | 64,930 | ||||||
| Beam, Inc. | ||||||||
| 26,000 | 5.375%, 1/15/2016 | 28,139 | ||||||
| Biomet, Inc. | ||||||||
| 64,810 | 6.500%, 8/1/2020 | 68,050 | ||||||
| Boston Scientific Corporation | ||||||||
| 46,000 | 2.650%, 10/1/2018 | 46,313 | ||||||
| Celgene Corporation | ||||||||
| 48,000 | 1.900%, 8/15/2017 | 47,773 | ||||||
| CHS/Community Health Systems, Inc. | ||||||||
| 77,000 | 7.125%, 7/15/2020 | 79,887 | ||||||
| ConAgra Foods, Inc. | ||||||||
| 65,000 | 2.100%, 3/15/2018 | 64,286 | ||||||
| CVS Caremark Corporation | ||||||||
| 24,000 | 2.250%, 12/5/2018 | 23,993 | ||||||
| Emergency Medical Services Corporation | ||||||||
| 41,810 | 8.125%, 6/1/2019 | 45,312 | ||||||
| Endo Health Solutions, Inc. | ||||||||
| 64,810 | 7.250%, 1/15/2022 | 69,347 | ||||||
| Express Scripts Holding Company | ||||||||
| 46,000 | 3.125%, 5/15/2016 | 48,011 | ||||||
| 52,000 | 2.650%, 2/15/2017 | 53,595 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
199
Opportunity Income Plus Portfolio
Schedule of Investments as of December 31, 2013
Principal | Long-Term Fixed Income (60.0%) | Value | ||||||
| Consumer Non-Cyclical (4.6%) - continued | |||||||
| Fresenius Medical Care US Finance, Inc. | ||||||||
| $64,810 | 5.750%, 2/15/2021g | $ | 68,699 | |||||
| Gilead Sciences, Inc. | ||||||||
| 46,000 | 3.050%, 12/1/2016 | 48,570 | ||||||
| Hawk Acquisition Sub, Inc. | ||||||||
| 77,000 | 4.250%, 10/15/2020g | 74,497 | ||||||
| HCA, Inc. | ||||||||
| 64,810 | 4.750%, 5/1/2023 | 60,921 | ||||||
| Health Management Associates, Inc. | ||||||||
| 64,810 | 7.375%, 1/15/2020 | 72,506 | ||||||
| Heineken NV | ||||||||
| 21,000 | 1.400%, 10/1/2017g | 20,603 | ||||||
| IMS Health, Inc. | ||||||||
| 75,000 | 6.000%, 11/1/2020g | 79,688 | ||||||
| JBS Finance II, Ltd. | ||||||||
| 64,810 | 8.250%, 1/29/2018f | 68,050 | ||||||
| Kroger Company | ||||||||
| 52,000 | 1.200%, 10/17/2016 | 52,022 | ||||||
| Lorillard Tobacco Company | ||||||||
| 63,000 | 8.125%, 6/23/2019 | 76,743 | ||||||
| Mylan, Inc. | ||||||||
| 74,000 | 1.350%, 11/29/2016 | 73,864 | ||||||
| Pernod Ricard SA | ||||||||
| 26,000 | 2.950%, 1/15/2017g | 26,851 | ||||||
| 26,000 | 5.750%, 4/7/2021g | 28,659 | ||||||
| Perrigo Company, Ltd. | ||||||||
| 52,000 | 1.300%, 11/8/2016g | 51,820 | ||||||
| 26,000 | 2.300%, 11/8/2018g | 25,663 | ||||||
| Revlon Consumer Products Corporation | ||||||||
| 64,810 | 5.750%, 2/15/2021 | 63,919 | ||||||
| SABMiller plc | ||||||||
| 52,000 | 6.500%, 7/15/2018g | 61,385 | ||||||
| Safeway, Inc. | ||||||||
| 76,000 | 3.400%, 12/1/2016 | 79,071 | ||||||
| Spectrum Brands Escrow Corporation | ||||||||
| 77,000 | 6.375%, 11/15/2020g | 82,197 | ||||||
| Thermo Fisher Scientific, Inc. | ||||||||
| 48,000 | 1.300%, 2/1/2017 | 47,791 | ||||||
| 48,000 | 2.400%, 2/1/2019 | 47,553 | ||||||
| Valeant Pharmaceuticals International | ||||||||
| 64,810 | 7.250%, 7/15/2022g | 69,752 | ||||||
| Watson Pharmaceuticals, Inc. | ||||||||
| 57,000 | 1.875%, 10/1/2017 | 56,406 | ||||||
| WM Wrigley Jr. Company | ||||||||
| 38,000 | 2.000%, 10/20/2017g | 37,894 | ||||||
|
| |||||||
| Total | 2,157,714 | |||||||
|
| |||||||
| Energy (3.0%) | |||||||
| BP Capital Markets plc | ||||||||
| 52,000 | 0.658%, 11/7/2016d | 52,220 | ||||||
| 52,000 | 2.241%, 9/26/2018 | 52,150 | ||||||
| CNOOC, Ltd. | ||||||||
| 52,000 | 1.125%, 5/9/2016 | 51,808 | ||||||
| Concho Resources, Inc. | ||||||||
| 64,810 | 6.500%, 1/15/2022 | 70,157 | ||||||
| Continental Resources, Inc. | ||||||||
| 65,000 | 7.125%, 4/1/2021 | 73,694 | ||||||
| Devon Energy Corporation | ||||||||
| 52,000 | 1.200%, 12/15/2016 | 51,978 | ||||||
| Energy Transfer Partners, LP | ||||||||
| 26,000 | 6.700%, 7/1/2018 | 30,187 | ||||||
| EQT Corporation | ||||||||
| 26,000 | 8.125%, 6/1/2019 | 31,543 | ||||||
| Gazprom Neft OAO Via GPN Capital SA | ||||||||
| 90,000 | 6.000%, 11/27/2023g | 91,350 | ||||||
| Harvest Operations Corporation | ||||||||
| 64,810 | 6.875%, 10/1/2017 | 70,967 | ||||||
| Hess Corporation | ||||||||
| 46,000 | 8.125%, 2/15/2019 | 57,137 | ||||||
| Kodiak Oil & Gas Corporation | ||||||||
| 64,810 | 5.500%, 1/15/2021 | 64,648 | ||||||
| Linn Energy, LLC | ||||||||
| 64,810 | 8.625%, 4/15/2020 | 69,995 | ||||||
| Lukoil International Finance BV | ||||||||
| 26,000 | 3.416%, 4/24/2018g | 26,228 | ||||||
| MEG Energy Corporation | ||||||||
| 77,000 | 6.375%, 1/30/2023g | 77,481 | ||||||
| Oasis Petroleum, Inc. | ||||||||
| 77,000 | 6.875%, 1/15/2023 | 82,005 | ||||||
| Offshore Group Investment, Ltd. | ||||||||
| 100,000 | 7.500%, 11/1/2019 | 108,750 | ||||||
| Petrobras Global Finance BV | ||||||||
| 62,000 | 2.000%, 5/20/2016 | 61,951 | ||||||
| Range Resources Corporation | ||||||||
| 91,382 | 5.000%, 8/15/2022 | 89,783 | ||||||
| Suncor Energy, Inc. | ||||||||
| 38,000 | 6.100%, 6/1/2018 | 43,926 | ||||||
| Transocean, Inc. | ||||||||
| 65,000 | 5.050%, 12/15/2016 | 71,804 | ||||||
| Weatherford International, Ltd. | ||||||||
| 38,000 | 6.000%, 3/15/2018 | 42,647 | ||||||
| 26,000 | 9.625%, 3/1/2019 | 33,406 | ||||||
|
| |||||||
| Total | 1,405,815 | |||||||
|
| |||||||
| Financials (11.0%) | |||||||
| Abbey National Treasury Services plc | ||||||||
| 26,000 | 3.050%, 8/23/2018 | 26,716 | ||||||
| Ally Financial, Inc. | ||||||||
| 100,000 | 4.750%, 9/10/2018 | 104,625 | ||||||
| American International Group, Inc. | ||||||||
| 76,000 | 8.250%, 8/15/2018 | 95,067 | ||||||
| Aviation Capital Group Corporation | ||||||||
| 38,000 | 3.875%, 9/27/2016g | 39,250 | ||||||
| Bank of America Corporation | ||||||||
| 79,000 | 5.750%, 8/15/2016 | 87,122 | ||||||
| 75,000 | 5.750%, 12/1/2017 | 85,358 | ||||||
| 52,000 | 1.316%, 3/22/2018d | 52,691 | ||||||
| 100,000 | 5.650%, 5/1/2018 | 113,827 | ||||||
| 38,000 | 2.600%, 1/15/2019 | 38,168 | ||||||
| 40,000 | 5.625%, 7/1/2020 | 45,709 | ||||||
| Bank of Nova Scotia | ||||||||
| 52,000 | 1.100%, 12/13/2016 | 52,249 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
200
Opportunity Income Plus Portfolio
Schedule of Investments as of December 31, 2013
Principal | Long-Term Fixed Income (60.0%) | Value | ||||||
| Financials (11.0%) - continued | |||||||
| Barclays Bank plc | ||||||||
| $42,000 | 5.140%, 10/14/2020 | $ | 44,725 | |||||
| BB&T Corporation | ||||||||
| 38,000 | 2.050%, 6/19/2018 | 37,621 | ||||||
| BBVA Banco Continental SA | ||||||||
| 38,000 | 2.250%, 7/29/2016g | 37,810 | ||||||
| BBVA US Senior SAU | ||||||||
| 65,000 | 4.664%, 10/9/2015 | 68,333 | ||||||
| Bear Stearns Companies, LLC | ||||||||
| 80,000 | 6.400%, 10/2/2017 | 92,845 | ||||||
| BNP Paribas SA | ||||||||
| 48,000 | 1.250%, 12/12/2016 | 48,035 | ||||||
| 57,000 | 2.375%, 9/14/2017 | 58,195 | ||||||
| Branch Banking and Trust Company | ||||||||
| 52,000 | 0.667%, 12/1/2016d | 52,044 | ||||||
| Capital One Financial Corporation | ||||||||
| 38,000 | 6.150%, 9/1/2016 | 42,502 | ||||||
| Citigroup, Inc. | ||||||||
| 73,000 | 5.000%, 9/15/2014 | 75,079 | ||||||
| 88,000 | 5.500%, 2/15/2017 | 96,961 | ||||||
| 52,000 | 6.000%, 8/15/2017 | 59,268 | ||||||
| 48,000 | 8.500%, 5/22/2019 | 61,516 | ||||||
| CNA Financial Corporation | ||||||||
| 39,000 | 7.350%, 11/15/2019 | 47,276 | ||||||
| Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||||
| 90,000 | 4.625%, 12/1/2023 | 90,632 | ||||||
| Credit Agricole SA | ||||||||
| 52,000 | 1.625%, 4/15/2016g | 52,321 | ||||||
| Credit Suisse AG | ||||||||
| 75,000 | 5.400%, 1/14/2020 | 83,350 | ||||||
| CyrusOne, LP | ||||||||
| 64,810 | 6.375%, 11/15/2022 | 67,078 | ||||||
| Denali Borrower, LLC | ||||||||
| 122,000 | 5.625%, 10/15/2020g | 120,933 | ||||||
| Developers Diversified Realty Corporation | ||||||||
| 36,000 | 7.875%, 9/1/2020 | 44,474 | ||||||
| Discover Financial Services | ||||||||
| 36,000 | 6.450%, 6/12/2017 | 40,793 | ||||||
| Fifth Third Bancorp | ||||||||
| 48,000 | 5.450%, 1/15/2017 | 52,752 | ||||||
| General Electric Capital Corporation | ||||||||
| 156,000 | 5.625%, 9/15/2017 | 177,465 | ||||||
| 18,000 | 1.625%, 4/2/2018 | 17,809 | ||||||
| Goldman Sachs Group, Inc. | ||||||||
| 58,000 | 6.250%, 9/1/2017 | 66,402 | ||||||
| 50,000 | 7.500%, 2/15/2019 | 60,898 | ||||||
| 54,000 | 5.375%, 3/15/2020 | 60,055 | ||||||
| Hartford Financial Services Group, Inc. | ||||||||
| 75,000 | 6.000%, 1/15/2019 | 86,019 | ||||||
| HCP, Inc. | ||||||||
| 19,000 | 3.750%, 2/1/2016 | 19,965 | ||||||
| 25,000 | 3.750%, 2/1/2019 | 25,967 | ||||||
| Health Care REIT, Inc. | ||||||||
| 26,000 | 4.700%, 9/15/2017 | 28,262 | ||||||
| HSBC Finance Corporation | ||||||||
| 65,000 | 6.676%, 1/15/2021 | 74,687 | ||||||
| HSBC USA, Inc. | ||||||||
| 15,000 | 1.625%, 1/16/2018 | 14,791 | ||||||
| Huntington National Bank | ||||||||
| 52,000 | 1.300%, 11/20/2016 | 52,008 | ||||||
| Icahn Enterprises, LP | ||||||||
| 64,810 | 8.000%, 1/15/2018 | 67,402 | ||||||
| ING Bank NV | ||||||||
| 32,000 | 3.750%, 3/7/2017g | 33,703 | ||||||
| ING Capital Funding Trust III | ||||||||
| 40,000 | 3.847%, 12/29/2049d,h | 39,850 | ||||||
| ING US, Inc. | ||||||||
| 38,000 | 2.900%, 2/15/2018 | 38,866 | ||||||
| International Lease Finance Corporation | ||||||||
| 26,000 | 2.193%, 6/15/2016d | 26,130 | ||||||
| 85,000 | 5.875%, 4/1/2019 | 90,525 | ||||||
| Intesa Sanpaolo SPA | ||||||||
| 38,000 | 3.625%, 8/12/2015g | 39,100 | ||||||
| 32,000 | 3.875%, 1/15/2019 | 31,815 | ||||||
| J.P. Morgan Chase & Company | ||||||||
| 71,000 | 3.450%, 3/1/2016 | 74,468 | ||||||
| 32,000 | 6.300%, 4/23/2019 | 37,768 | ||||||
| 79,000 | 7.900%, 4/29/2049h | 87,098 | ||||||
| KeyCorp | ||||||||
| 52,000 | 2.300%, 12/13/2018 | 51,623 | ||||||
| 15,000 | 5.100%, 3/24/2021 | 16,394 | ||||||
| Liberty Mutual Group, Inc. | ||||||||
| 10,000 | 5.000%, 6/1/2021g | 10,488 | ||||||
| Liberty Property, LP | ||||||||
| 42,000 | 5.500%, 12/15/2016 | 46,363 | ||||||
| Lloyds TSB Bank plc | ||||||||
| 46,000 | 6.500%, 9/14/2020g | 52,290 | ||||||
| Macquarie Bank, Ltd. | ||||||||
| 53,000 | 5.000%, 2/22/2017g | 57,475 | ||||||
| Mizuho Corporate Bank, Ltd. | ||||||||
| 54,000 | 1.550%, 10/17/2017g | 52,776 | ||||||
| Morgan Stanley | ||||||||
| 57,000 | 4.750%, 4/1/2014 | 57,453 | ||||||
| 60,000 | 1.750%, 2/25/2016 | 60,806 | ||||||
| 69,000 | 6.250%, 8/28/2017 | 78,952 | ||||||
| 26,000 | 4.875%, 11/1/2022 | 26,615 | ||||||
| Murray Street Investment Trust I | ||||||||
| 89,000 | 4.647%, 3/9/2017 | 95,843 | ||||||
| National City Corporation | ||||||||
| 57,000 | 6.875%, 5/15/2019 | 67,541 | ||||||
| Nomura Holdings, Inc. | ||||||||
| 57,000 | 2.000%, 9/13/2016 | 57,471 | ||||||
| Omega Healthcare Investors, Inc. | ||||||||
| 64,810 | 5.875%, 3/15/2024 | 65,458 | ||||||
| PNC Bank NA | ||||||||
| 76,000 | 1.150%, 11/1/2016 | 76,093 | ||||||
| Prologis, LP | ||||||||
| 43,000 | 6.625%, 5/15/2018 | 50,223 | ||||||
| Prudential Covered Trust | ||||||||
| 35,700 | 2.997%, 9/30/2015g | 36,806 | ||||||
| Realty Income Corporation | ||||||||
| 33,000 | 2.000%, 1/31/2018 | 32,319 | ||||||
| Regions Bank | ||||||||
| 61,000 | 7.500%, 5/15/2018 | 72,180 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
201
Opportunity Income Plus Portfolio
Schedule of Investments as of December 31, 2013
Principal | Long-Term Fixed Income (60.0%) | Value | ||||||
| Financials (11.0%) - continued | |||||||
| Reinsurance Group of America, Inc. | ||||||||
| $65,000 | 5.625%, 3/15/2017 | $ | 71,657 | |||||
| Royal Bank of Scotland Group plc | ||||||||
| 56,000 | 5.050%, 1/8/2015 | 57,658 | ||||||
| Santander US Debt SAU | ||||||||
| 39,000 | 3.781%, 10/7/2015g | 40,187 | ||||||
| SLM Corporation | ||||||||
| 40,000 | 6.250%, 1/25/2016 | 43,200 | ||||||
| Svenska Handelsbanken AB | ||||||||
| 38,000 | 3.125%, 7/12/2016 | 39,744 | ||||||
| Swedbank Hypotek AB | ||||||||
| 46,000 | 1.375%, 3/28/2018g | 44,937 | ||||||
| Swiss RE Capital I, LP | ||||||||
| 52,000 | 6.854%, 5/29/2049g,h | 54,964 | ||||||
| Ventas Realty, LP | ||||||||
| 76,000 | 1.550%, 9/26/2016 | 76,539 | ||||||
| Wells Fargo & Company | ||||||||
| 59,000 | 1.250%, 7/20/2016 | 59,438 | ||||||
| 76,000 | 2.150%, 1/15/2019 | 75,762 | ||||||
| Westpac Banking Corporation | ||||||||
| 52,000 | 0.668%, 11/25/2016d | 52,073 | ||||||
| XLIT, Ltd. | ||||||||
| 52,000 | 2.300%, 12/15/2018 | 51,074 | ||||||
|
| |||||||
| Total | 5,098,780 | |||||||
|
| |||||||
| Mortgage-Backed Securities (8.3%) | |||||||
| Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 250,000 | 3.000%, 1/1/2029c | 254,629 | ||||||
| Federal Home Loan Mortgage Corporation Gold 20-Yr. Pass Through | ||||||||
| 59,548 | 5.500%, 9/1/2024 | 65,105 | ||||||
| Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 500,000 | 3.500%, 1/1/2029c | 522,871 | ||||||
| Federal National Mortgage Association Conventional 20-Yr. Pass Through | ||||||||
| 445,916 | 6.000%, 8/1/2024 | 498,608 | ||||||
| Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 850,000 | 3.500%, 1/1/2044c | 844,355 | ||||||
| 750,000 | 4.000%, 1/1/2044c | 772,031 | ||||||
| 750,000 | 4.500%, 1/1/2044c | 794,678 | ||||||
| Vericrest Opportunity Loan Transferee | ||||||||
| 100,000 | 3.625%, 3/25/2054f | 99,570 | ||||||
|
| |||||||
| Total | 3,851,847 | |||||||
|
| |||||||
| Technology (1.7%) | |||||||
| Alliance Data Systems Corporation | ||||||||
| 64,810 | 6.375%, 4/1/2020g | 67,889 | ||||||
| Amkor Technology, Inc. | ||||||||
| 100,000 | 6.625%, 6/1/2021 | 103,750 | ||||||
| BMC Software Finance, Inc. | ||||||||
| 64,810 | 8.125%, 7/15/2021g | 66,754 | ||||||
| CommScope, Inc. | ||||||||
| 59,000 | 8.250%, 1/15/2019g | 64,679 | ||||||
| Computer Sciences Corporation | ||||||||
| 38,000 | 2.500%, 9/15/2015 | 38,787 | ||||||
| EMC Corporation | ||||||||
| 38,000 | 1.875%, 6/1/2018 | 37,568 | ||||||
| First Data Corporation | ||||||||
| 64,810 | 7.375%, 6/15/2019g | 69,185 | ||||||
| Freescale Semiconductor, Inc. | ||||||||
| 105,000 | 6.000%, 1/15/2022g | 106,313 | ||||||
| Hewlett-Packard Company | ||||||||
| 32,000 | 3.300%, 12/9/2016 | 33,492 | ||||||
| Iron Mountain, Inc. | ||||||||
| 64,810 | 6.000%, 8/15/2023 | 66,430 | ||||||
| Oracle Corporation | ||||||||
| 38,000 | 1.200%, 10/15/2017 | 37,394 | ||||||
| Tyco Electronics Group SA | ||||||||
| 38,000 | 6.550%, 10/1/2017 | 43,487 | ||||||
| Xerox Corporation | ||||||||
| 38,000 | 7.200%, 4/1/2016 | 42,623 | ||||||
|
| |||||||
| Total | 778,351 | |||||||
|
| |||||||
| Transportation (0.8%) | |||||||
| Avis Budget Car Rental, LLC | ||||||||
| 64,810 | 8.250%, 1/15/2019 | 70,643 | ||||||
| Continental Airlines, Inc. | ||||||||
| 61,526 | 6.250%, 4/11/2020 | 65,371 | ||||||
| Delta Air Lines, Inc. | ||||||||
| 30,196 | 4.950%, 5/23/2019 | 32,763 | ||||||
| 24,178 | 4.750%, 5/7/2020 | 25,871 | ||||||
| ERAC USA Finance, LLC | ||||||||
| 38,000 | 1.400%, 4/15/2016g | 38,030 | ||||||
| Hertz Corporation | ||||||||
| 77,000 | 6.750%, 4/15/2019 | 82,967 | ||||||
| Kansas City Southern de Mexico SA de CV | ||||||||
| 38,000 | 0.937%, 10/28/2016d | 38,010 | ||||||
| United Air Lines, Inc. | ||||||||
| 37,004 | 10.400%, 11/1/2016 | 41,999 | ||||||
|
| |||||||
| Total | 395,654 | |||||||
|
| |||||||
| U.S. Government and Agencies (1.2%) | |||||||
| U.S. Treasury Notes | ||||||||
| 550,000 | 0.250%, 9/30/2015 | 549,506 | ||||||
|
| |||||||
| Total | 549,506 | |||||||
|
| |||||||
| Utilities (2.5%) | |||||||
| Access Midstream Partners, LP | ||||||||
| 100,000 | 4.875%, 5/15/2023 | 96,500 | ||||||
| AES Corporation | ||||||||
| 64,810 | 7.375%, 7/1/2021 | 73,073 | ||||||
| Atlas Pipeline Partners, LP | ||||||||
| 77,000 | 4.750%, 11/15/2021g | 70,455 | ||||||
| Buckeye Partners, LP | ||||||||
| 52,000 | 2.650%, 11/15/2018 | 51,236 | ||||||
| Calpine Corporation | ||||||||
| 100,000 | 6.000%, 1/15/2022g | 102,500 | ||||||
| Constellation Energy Group, Inc. | ||||||||
| 38,000 | 5.150%, 12/1/2020 | 40,436 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
202
Opportunity Income Plus Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (60.0%) | Value | ||||||
| Utilities (2.5%) - continued |
| ||||||
Dayton Power and Light Company | ||||||||
| $38,000 | 1.875%, 9/15/2016g | $ | 38,310 | |||||
DCP Midstream Operating, LP | ||||||||
| 24,000 | 2.500%, 12/1/2017 | 23,897 | ||||||
Enel Finance International NV | ||||||||
| 38,000 | 3.875%, 10/7/2014g | 38,824 | ||||||
| 26,000 | 5.125%, 10/7/2019g | 27,759 | ||||||
Energy Transfer Partners, LP | ||||||||
| 50,000 | 4.650%, 6/1/2021 | 51,432 | ||||||
Enterprise Products Operating, LLC | ||||||||
| 38,000 | 1.250%, 8/13/2015 | 38,252 | ||||||
Korea Western Power Company, Ltd. | ||||||||
| 52,000 | 2.875%, 10/10/2018g | 51,698 | ||||||
MidAmerican Energy Holdings Company | ||||||||
| 47,000 | 1.100%, 5/15/2017g | 46,746 | ||||||
| 54,000 | 5.750%, 4/1/2018 | 61,641 | ||||||
NiSource Finance Corporation | ||||||||
| 62,000 | 6.400%, 3/15/2018 | 71,351 | ||||||
NRG Energy, Inc. | ||||||||
| 64,810 | 6.625%, 3/15/2023 | 65,296 | ||||||
ONEOK Partners, LP | ||||||||
| 76,000 | 6.150%, 10/1/2016 | 85,346 | ||||||
| 26,000 | 2.000%, 10/1/2017 | 25,873 | ||||||
| 26,000 | 3.200%, 9/15/2018 | 26,585 | ||||||
Pacific Gas & Electric Company | ||||||||
| 26,000 | 5.625%, 11/30/2017 | 29,457 | ||||||
PPL Capital Funding, Inc. | ||||||||
| 66,000 | 1.900%, 6/1/2018 | 64,447 | ||||||
|
| |||||||
| Total | 1,181,114 | |||||||
|
| |||||||
| Total Long-Term Fixed Income (cost $27,735,687) | 27,865,071 | |||||||
|
| |||||||
| Shares | Common Stock (1.6%) | |||||||
| Financials (1.6%) |
| ||||||
| 6,900 | iShares J.P. Morgan USD Emerging Markets Bond ETF | 746,304 | ||||||
|
| |||||||
| Total | 746,304 | |||||||
|
| |||||||
| Total Common Stock (cost $746,704) | 746,304 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (10.2%)i | |||||||
Thrivent Cash Management Trust | ||||||||
| 4,568,156 | 0.060% | 4,568,156 | ||||||
U.S. Treasury Bill | ||||||||
| 200,000 | 0.065%, 6/12/2014j | 199,942 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 4,768,098 | |||||||
|
| |||||||
| Total Investments (cost $50,451,252) 108.7% | $ | 50,575,896 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (8.7%) | (4,034,713 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 46,541,183 | ||||||
|
| |||||||
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | All or a portion of the loan is unfunded. |
| c | Denotes investments purchased on a when-issued or delayed delivery basis. |
| d | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2013. |
| 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 Opportunity Income Plus Portfolio owned as of December 31, 2013. |
Security | Acquisition Date | Cost | ||||||
JBS Finance II, Ltd., 1/29/2018 | 8/19/2013 | $ | 67,577 | |||||
Vericrest Opportunity Loan Transferee, 3/25/2054 | 12/11/2013 | 99,567 | ||||||
Wachovia Asset Securitization, Inc., 7/25/2037 | 3/16/2007 | 453,901 | ||||||
| g | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2013, the value of these investments was $4,030,444 or 8.7% 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 | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| j | At December 31, 2013, $99,971 of investments were pledged as collateral with the custodian under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
Definitions:
| ETF | - | Exchange Traded Fund. | ||
| 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.
203
Opportunity Income Plus Portfolio
Schedule of Investments as of December 31, 2013
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 656,977 | ||
Gross unrealized depreciation | (532,333 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 124,644 | ||
Cost for federal income tax purposes | $ | 50,451,252 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2013, in valuing Opportunity Income Plus Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 754,665 | — | 754,665 | — | ||||||||||||
Capital Goods | 809,404 | — | 809,404 | — | ||||||||||||
Communications Services | 5,415,357 | — | 5,415,357 | — | ||||||||||||
Consumer Cyclical | 3,984,947 | — | 3,984,947 | — | ||||||||||||
Consumer Non-Cyclical | 2,621,921 | — | 2,621,921 | — | ||||||||||||
Energy | 530,889 | — | 530,889 | — | ||||||||||||
Financials | 253,341 | — | 253,341 | — | ||||||||||||
Technology | 842,497 | — | 842,497 | — | ||||||||||||
Transportation | 973,754 | — | 973,754 | — | ||||||||||||
Utilities | 1,009,648 | — | 1,009,648 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 2,673,869 | — | 2,673,869 | — | ||||||||||||
Basic Materials | 773,296 | — | 773,296 | — | ||||||||||||
Capital Goods | 780,201 | — | 780,201 | — | ||||||||||||
Collateralized Mortgage Obligations | 4,146,126 | — | 4,146,126 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 593,957 | — | 593,957 | — | ||||||||||||
Communications Services | 2,037,643 | — | 2,037,643 | — | ||||||||||||
Consumer Cyclical | 1,441,198 | — | 1,441,198 | — | ||||||||||||
Consumer Non-Cyclical | 2,157,714 | — | 2,157,714 | — | ||||||||||||
Energy | 1,405,815 | — | 1,405,815 | — | ||||||||||||
Financials | 5,098,780 | — | 5,098,780 | — | ||||||||||||
Mortgage-Backed Securities | 3,851,847 | — | 3,851,847 | — | ||||||||||||
Technology | 778,351 | — | 778,351 | — | ||||||||||||
Transportation | 395,654 | — | 395,654 | — | ||||||||||||
U.S. Government and Agencies | 549,506 | — | 549,506 | — | ||||||||||||
Utilities | 1,181,114 | — | 1,181,114 | — | ||||||||||||
Common Stock | ||||||||||||||||
Financials | 746,304 | 746,304 | — | — | ||||||||||||
Short-Term Investments | 4,768,098 | 4,568,156 | 199,942 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 50,575,896 | $ | 5,314,460 | $ | 45,261,436 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Credit Default Swaps | 2,202 | — | 2,202 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 2,202 | $ | — | $ | 2,202 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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.
204
Opportunity Income Plus Portfolio
Schedule of Investments as of December 31, 2013
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Value3 | Unrealized Gain/(Loss) | |||||||||||
CDX HY 21, 5 Year, at 5.00%; Bank of America | Sell | 12/20/2018 | $ | 300,000 | $ | 2,202 | $ | 2,202 | ||||||||
Total Credit Default Swaps | $ | 2,202 | $ | 2,202 | ||||||||||||
| 1 | As the buyer of protection, Opportunity Income Plus Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, Opportunity Income Plus Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
| 2 | The maximum potential amount of future payments Opportunity Income Plus Portfolio could be required to make as the seller or receive as the buyer of protection. |
| 3 | The values for credit indexes (CDX or LCDX) serve as an indicator of the current status of the payment/performance risk and represent the liability or profit for the credit default swap contract had the contract been closed as of the reporting date. When protection has been sold, the value of the swap will increase when the swap spread declines representing an improvement in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. When protection has been purchased, the value of the swap will increase when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread declines representing an improvement in the reference entity’s credit worthiness. |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2013, for Opportunity 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 | ||||||
Credit Contracts | ||||||
Credit Default Swaps | Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 2,202 | ||||
Total Credit Contracts | 2,202 | |||||
|
| |||||
Total Asset Derivatives | $ | 2,202 | ||||
|
| |||||
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2013, for Opportunity 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 | 15,039 | ||||
Total Equity Contracts | 15,039 | |||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 46,023 | ||||
Total Interest Rate Contracts | 46,023 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | 317 | ||||
Total Credit Contracts | 317 | |||||
|
| |||||
Total | $ | 61,379 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
205
Opportunity Income Plus Portfolio
Schedule of Investments as of December 31, 2013
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2013, for Opportunity 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 | ||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 2,202 | ||||
Total Credit Contracts | 2,202 | |||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 2,242 | ||||
Total Interest Rate Contracts | 2,242 | |||||
|
| |||||
Total | $ | 4,444 | ||||
|
| |||||
The following table presents Opportunity Income Plus Portfolio’s average volume of derivative activity during the period ended December 31, 2013.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | Swaps (Notional)* | Options (Contracts) | ||||||||||||
Equity Contracts | N/A | N/A | % | N/A | 1 | |||||||||||
Interest Rate Contracts | $ | 1,181,867 | 3.0 | N/A | N/A | |||||||||||
Credit Contracts | N/A | N/A | $ | 820 | 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 Opportunity Income Plus Portfolio, is as follows:
Portfolio | Value December 31, 2012 | Gross Purchases | Gross Sales | Shares Held at December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | $ | 16,055,160 | $ | 79,334,407 | $ | 90,821,411 | 4,568,156 | $ | 4,568,156 | $ | 11,642 | |||||||||||||
Total Value and Income Earned | 16,055,160 | 4,568,156 | 11,642 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
206
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (98.1%) | Value | ||||||
| Communications Equipment (7.4%) |
| ||||||
| 24,587 | Calix, Inc.a | $ | 237,019 | |||||
| 21,769 | Juniper Networks, Inc.a | 491,326 | ||||||
| 37,872 | QUALCOMM, Inc. | 2,811,996 | ||||||
|
| |||||||
Total | 3,540,341 | |||||||
|
| |||||||
| Computers & Peripherals (12.0%) |
| ||||||
| 7,671 | Apple, Inc. | 4,304,275 | ||||||
| 57,537 | EMC Corporation | 1,447,055 | ||||||
|
| |||||||
Total | 5,751,330 | |||||||
|
| |||||||
| Consumer Discretionary (7.8%) |
| ||||||
| 5,957 | Amazon.com, Inc.a | 2,375,592 | ||||||
| 1,177 | Priceline.com, Inc.a | 1,368,145 | ||||||
|
| |||||||
Total | 3,743,737 | |||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (2.1%) |
| ||||||
| 11,134 | Amphenol Corporation | 992,930 | ||||||
|
| |||||||
Total | 992,930 | |||||||
|
| |||||||
| Financials (5.4%) |
| ||||||
| 20,522 | American Tower Corporation | 1,638,066 | ||||||
| 4,174 | IntercontinentalExchange, Inc. | 938,816 | ||||||
|
| |||||||
Total | 2,576,882 | |||||||
|
| |||||||
| Internet Software & Services (22.7%) |
| ||||||
| 23,587 | eBay, Inc.a | 1,294,690 | ||||||
| 10,673 | Equinix, Inc.a | 1,893,924 | ||||||
| 28,871 | Facebook, Inc.a | 1,578,089 | ||||||
| 2,546 | Google, Inc.a | 2,853,328 | ||||||
| 5,311 | LinkedIn Corporationa | 1,151,584 | ||||||
| 52,555 | Pandora Media, Inc.a | 1,397,963 | ||||||
| 3,920 | Twitter, Inc.a | 249,508 | ||||||
| 11,317 | Yandex NVa | 488,329 | ||||||
|
| |||||||
Total | 10,907,415 | |||||||
|
| |||||||
| IT Consulting & Services (5.3%) |
| ||||||
| 9,755 | Cognizant Technology Solutions Corporationa | 985,060 | ||||||
| 4,091 | FleetCor Technologies, Inc.a | 479,343 | ||||||
| 46,599 | InterXion Holding NVa | 1,100,202 | ||||||
|
| |||||||
Total | 2,564,605 | |||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (5.7%) |
| ||||||
| 22,186 | Altera Corporation | 721,711 | ||||||
| 8,409 | Hittite Microwave Corporationa | 519,087 | ||||||
| 8,344 | Ultratech, Inc.a | 241,976 | ||||||
| 27,824 | Xilinx, Inc. | 1,277,678 | ||||||
|
| |||||||
Total | 2,760,452 | |||||||
|
| |||||||
| Software (23.7%) |
| ||||||
| 19,871 | Adobe Systems, Inc.a | 1,189,876 | ||||||
| 13,702 | CommVault Systems, Inc.a | 1,026,006 | ||||||
| 24,748 | Guidewire Software, Inc.a | 1,214,384 | ||||||
| 16,673 | MICROS Systems, Inc.a | 956,530 | ||||||
| 19,122 | Microsoft Corporation | 715,736 | ||||||
| 12,269 | NetSuite, Inc.a | 1,263,952 | ||||||
| 45,947 | Oracle Corporation | 1,757,932 | ||||||
| 31,157 | Salesforce.com, Inc.a | 1,719,555 | ||||||
| 22,369 | ServiceNow, Inc.a | 1,252,888 | ||||||
| 8,153 | Solarwinds, Inc.a | 308,428 | ||||||
|
| |||||||
Total | 11,405,287 | |||||||
|
| |||||||
| Telecommunications Services (6.0%) |
| ||||||
| 21,498 | SBA Communications Corporationa | 1,931,381 | ||||||
| 31,275 | TW Telecom, Inc.a | 952,949 | ||||||
|
| |||||||
| Total | 2,884,330 | |||||||
|
| |||||||
| Total Common Stock (cost $33,759,728) | 47,127,309 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (1.8%)b | |||||||
Thrivent Cash Management Trust | ||||||||
| 856,402 | 0.060% | 856,402 | ||||||
| Total Short-Term Investments (at amortized cost) | 856,402 | |||||||
|
| |||||||
| Total Investments (cost $34,616,130) 99.9% | $ | 47,983,711 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 0.1% | 71,083 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 48,054,794 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 13,537,490 | ||
Gross unrealized depreciation | (198,792 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 13,338,698 | ||
Cost for federal income tax purposes | $ | 34,645,013 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
207
Partner Technology Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 3,540,341 | 3,540,341 | — | — | ||||||||||||
Computers & Peripherals | 5,751,330 | 5,751,330 | — | — | ||||||||||||
Consumer Discretionary | 3,743,737 | 3,743,737 | — | — | ||||||||||||
Electronic Equipment, Instruments & Components | 992,930 | 992,930 | — | — | ||||||||||||
Financials | 2,576,882 | 2,576,882 | — | — | ||||||||||||
Internet Software & Services | 10,907,415 | 10,907,415 | — | — | ||||||||||||
IT Consulting & Services | 2,564,605 | 2,564,605 | — | — | ||||||||||||
Semiconductors & Semiconductor Equipment | 2,760,452 | 2,760,452 | — | — | ||||||||||||
Software | 11,405,287 | 11,405,287 | — | — | ||||||||||||
Telecommunications Services | 2,884,330 | 2,884,330 | — | — | ||||||||||||
Short-Term Investments | 856,402 | 856,402 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 47,983,711 | $ | 47,983,711 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | $ | 2,884,020 | $ | 25,248,330 | $ | 28,132,350 | — | $ | — | $ | 77,721 | |||||||||||||
Cash Management Trust-Short Term Investment | 513,722 | 14,088,364 | 13,745,684 | 856,402 | 856,402 | 797 | ||||||||||||||||||
Total Value and Income Earned | 3,397,742 | 856,402 | 78,518 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
208
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (96.9%) | Value | ||||||
| Biotechnology (20.2%) |
| ||||||
| 16,800 | Amgen, Inc. | $ | 1,917,888 | |||||
| 7,200 | Biogen Idec, Inc.a | 2,014,200 | ||||||
| 29,400 | Celldex Therapeutics, Inc.a | 711,774 | ||||||
| 7,202 | Gilead Sciences, Inc.a | 541,230 | ||||||
| 20,200 | Halozyme Therapeutics, Inc.a | 302,798 | ||||||
| 49,167 | ImmunoGen, Inc.a | 721,280 | ||||||
| 100,883 | Ironwood Pharmaceuticals, Inc.a | 1,171,252 | ||||||
| 67,633 | Keryx BioPharmaceuticals, Inc.a | 875,847 | ||||||
| 21,193 | Portola Pharmaceuticals, Inc.a | 545,720 | ||||||
| 14,067 | Synageva BioPharma Corporationa | 910,416 | ||||||
| 15,143 | Vertex Pharmaceuticals, Inc.a | 1,125,125 | ||||||
|
| |||||||
Total | 10,837,530 | |||||||
|
| |||||||
| Health Care Equipment (18.5%) |
| ||||||
| 63,195 | Accuray, Inc.a | 550,429 | ||||||
| 153,537 | Boston Scientific Corporationa | 1,845,515 | ||||||
| 26,597 | Covidien plc | 1,811,256 | ||||||
| 16,115 | Dexcom, Inc.a | 570,632 | ||||||
| 42,690 | EOS Imaging SAa | 371,153 | ||||||
| 11,865 | HeartWare International, Inc.a | 1,114,835 | ||||||
| 23,241 | Hologic, Inc.a | 519,436 | ||||||
| 4,832 | Intuitive Surgical, Inc.a | 1,855,875 | ||||||
| 50,907 | NxStage Medical, Inc.a | 509,070 | ||||||
| 40,480 | Tornier NVa | 760,619 | ||||||
|
| |||||||
Total | 9,908,820 | |||||||
|
| |||||||
| Health Care Supplies (2.5%) |
| ||||||
| 23,910 | Align Technology, Inc.a | 1,366,457 | ||||||
|
| |||||||
Total | 1,366,457 | |||||||
|
| |||||||
| Pharmaceuticals (55.7%) |
| ||||||
| 35,500 | AbbVie, Inc. | 1,874,755 | ||||||
| 18,400 | Allergan, Inc. | 2,043,872 | ||||||
| 53,470 | Aspen Pharmacare Holdings, Ltd. | 1,371,353 | ||||||
| 72,681 | Hikma Pharmaceuticals plc | 1,447,751 | ||||||
| 77,962 | Merck & Company, Inc. | 3,901,998 | ||||||
| 32,040 | Mylan, Inc.a | 1,390,536 | ||||||
| 51,792 | Novartis AG | 4,151,097 | ||||||
| 11,525 | Novo Nordisk AS ADR | 2,129,359 | ||||||
| 14,812 | Roche Holding AG | 4,149,230 | ||||||
| 33,400 | Sanofi | 3,566,964 | ||||||
| 7,744 | Sawai Pharmaceutical Company, Ltd. | 500,031 | ||||||
| 14,450 | Shire Pharmaceuticals Group plc ADR | 2,041,640 | ||||||
| 16,127 | Towa Pharmaceutical Company, Ltd. | 676,312 | ||||||
| 287,621 | Vectura Group plca | 666,804 | ||||||
|
| |||||||
Total | 29,911,702 | |||||||
|
| |||||||
| Total Common Stock (cost $42,317,508) | 52,024,509 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (3.0%)b | |||||||
Thrivent Cash Management Trust | ||||||||
| 1,615,477 | 0.060% | 1,615,477 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 1,615,477 | |||||||
|
| |||||||
Total Investments (cost $43,932,985) 99.9% | $ | 53,639,986 | ||||||
|
| |||||||
Other Assets and Liabilities, Net 0.1% | 58,857 | |||||||
|
| |||||||
Total Net Assets 100.0% | $ | 53,698,843 | ||||||
|
| |||||||
| a | Non-income producing security. |
| 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. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 9,940,904 | ||
Gross unrealized depreciation | (342,289 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 9,598,615 | ||
Cost for federal income tax purposes | $ | 44,041,371 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
209
Partner Healthcare Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 10,837,530 | 10,837,530 | — | — | ||||||||||||
Health Care Equipment | 9,908,820 | 9,537,667 | 371,153 | — | ||||||||||||
Health Care Supplies | 1,366,457 | 1,366,457 | — | — | ||||||||||||
Pharmaceuticals | 29,911,702 | 13,382,160 | 16,529,542 | — | ||||||||||||
Short-Term Investments | 1,615,477 | 1,615,477 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 53,639,986 | $ | 36,739,291 | $ | 16,900,695 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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 December 31, 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 | 749 | ||||
Total Foreign Exchange Contracts | 749 | |||||
|
| |||||
Total | $ | 749 | ||||
|
| |||||
The following table presents Partner Healthcare Portfolio’s average volume of derivative activity during the period ended December 31, 2013.
Derivative Risk Category | Forwards (Notional)* | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 73,157 | 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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust-Short Term Investment | $ | 1,046,040 | $ | 17,662,160 | $ | 17,092,723 | 1,615,477 | $ | 1,615,477 | $ | 1,561 | |||||||||||||
Total Value and Income Earned | 1,046,040 | 1,615,477 | 1,561 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
210
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (94.2%) | Value | ||||||
| Coal & Consumable Fuels (2.7%) |
| ||||||
| 48,514 | Alpha Natural Resources, Inc.a | $ | 346,390 | |||||
| 31,394 | Peabody Energy Corporation | 613,125 | ||||||
|
| |||||||
Total | 959,515 | |||||||
|
| |||||||
| Consumer Staples (10.6%) |
| ||||||
| 29,903 | Archer-Daniels-Midland Company | 1,297,790 | ||||||
| 13,710 | Bunge, Ltd. | 1,125,728 | ||||||
| 18,695 | Ingredion, Inc. | 1,279,860 | ||||||
|
| |||||||
Total | 3,703,378 | |||||||
|
| |||||||
| Financials (8.1%) |
| ||||||
| 4,700 | Camden Property Trust | 267,336 | ||||||
| 14,300 | DDR Corporation | 219,791 | ||||||
| 9,500 | Host Hotels & Resorts, Inc. | 184,680 | ||||||
| 3,900 | Macerich Company | 229,671 | ||||||
| 10,400 | Prologis, Inc. | 384,280 | ||||||
| 6,900 | RLJ Lodging Trust | 167,808 | ||||||
| 10,000 | SPDR Gold Trusta,b | 1,161,700 | ||||||
| 7,300 | Tanger Factory Outlet Centers, Inc. | 233,746 | ||||||
|
| |||||||
Total | 2,849,012 | |||||||
|
| |||||||
| Integrated Oil & Gas (11.7%) |
| ||||||
| 13,729 | Chevron Corporation | 1,714,890 | ||||||
| 9,582 | Occidental Petroleum Corporation | 911,248 | ||||||
| 33,226 | Petroleo Brasileiro SA ADR | 457,854 | ||||||
| 16,400 | Total SA ADR | 1,004,828 | ||||||
|
| |||||||
Total | 4,088,820 | |||||||
|
| |||||||
| Materials (5.3%) |
| ||||||
| 14,000 | Cliffs Natural Resources, Inc.b | 366,940 | ||||||
| 12,800 | Mosaic Company | 605,056 | ||||||
| 6,840 | Southern Copper Corporation | 196,376 | ||||||
| 17,500 | Teck Resources, Ltd. | 455,175 | ||||||
| 13,075 | Walter Energy, Inc.b | 217,437 | ||||||
|
| |||||||
Total | 1,840,984 | |||||||
|
| |||||||
| Oil & Gas Equipment & Services (20.3%) |
| ||||||
| 13,701 | Dril-Quip, Inc.a | 1,506,151 | ||||||
| 250 | Frank’s International NV | 6,750 | ||||||
| 23,000 | National Oilwell Varco, Inc. | 1,829,190 | ||||||
| 28,700 | Schlumberger, Ltd. | 2,586,157 | ||||||
| 75,900 | Weatherford International, Ltd.a | 1,175,691 | ||||||
|
| |||||||
Total | 7,103,939 | |||||||
|
| |||||||
| Oil & Gas Exploration & Production (21.8%) |
| ||||||
| 43,200 | Cobalt International Energy, Inc.a | 710,640 | ||||||
| 7,900 | Concho Resources, Inc.a | 853,200 | ||||||
| 7,300 | EOG Resources, Inc. | 1,225,232 | ||||||
| 14,300 | EQT Corporation | 1,283,854 | ||||||
| 29,500 | Marathon Oil Corporation | 1,041,350 | ||||||
| 18,000 | Oasis Petroleum, Inc.a | 845,460 | ||||||
| 13,000 | SM Energy Company | 1,080,430 | ||||||
| 15,100 | Southwestern Energy Companya | 593,883 | ||||||
|
| |||||||
Total | 7,634,049 | |||||||
|
| |||||||
| Oil & Gas Refining & Marketing (2.6%) |
| ||||||
| 17,800 | Valero Energy Corporation | 897,120 | ||||||
|
| |||||||
Total | 897,120 | |||||||
|
| |||||||
| Real Estate Investment Trusts (11.1%) |
| ||||||
| 6,235 | Boston Properties, Inc. | 625,807 | ||||||
| 11,486 | Equity Residential | 595,779 | ||||||
| 6,921 | Health Care REIT, Inc. | 370,758 | ||||||
| 19,200 | Kimco Realty Corporation | 379,200 | ||||||
| 2,444 | Public Storage, Inc. | 367,871 | ||||||
| 6,679 | Simon Property Group, Inc. | 1,016,276 | ||||||
| 5,810 | Vornado Realty Trust | 515,870 | ||||||
|
| |||||||
Total | 3,871,561 | |||||||
|
| |||||||
Total Common Stock (cost $33,833,683) | 32,948,378 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (5.1%) | ||||||||
| 1,771,801 | Thrivent Cash Management Trust | 1,771,801 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $1,771,801) | 1,771,801 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (5.4%)c | |||||||
Thrivent Cash Management Trust | ||||||||
| 1,879,163 | 0.060% | 1,879,163 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 1,879,163 | |||||||
|
| |||||||
Total Investments (cost $37,484,647) 104.7% | $ | 36,599,342 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (4.7%) | (1,647,072 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 34,952,270 | ||||||
|
| |||||||
| 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. |
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 | $ | 5,912,177 | ||
Gross unrealized depreciation | (6,797,482 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (885,305 | ) | |
Cost for federal income tax purposes | $ | 37,484,647 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
211
Natural Resources Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 959,515 | 959,515 | — | — | ||||||||||||
Consumer Staples | 3,703,378 | 3,703,378 | — | — | ||||||||||||
Financials | 2,849,012 | 2,849,012 | — | — | ||||||||||||
Integrated Oil & Gas | 4,088,820 | 4,088,820 | — | — | ||||||||||||
Materials | 1,840,984 | 1,840,984 | — | — | ||||||||||||
Oil & Gas Equipment & Services | 7,103,939 | 7,103,939 | — | — | ||||||||||||
Oil & Gas Exploration & Production | 7,634,049 | 7,634,049 | — | — | ||||||||||||
Oil & Gas Refining & Marketing | 897,120 | 897,120 | — | — | ||||||||||||
Real Estate Investment Trusts | 3,871,561 | 3,871,561 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 1,771,801 | 1,771,801 | — | — | ||||||||||||
Short-Term Investments | 1,879,163 | 1,879,163 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 36,599,342 | $ | 36,599,342 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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 December 31, 2013, for Natural Resources 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 | (6,941 | ) | |||
Total Foreign Exchange Contracts | (6,941 | ) | ||||
|
| |||||
Total | ($ | 6,941 | ) | |||
|
| |||||
The following table presents Natural Resources Portfolio’s average volume of derivative activity during the period ended December 31, 2013.
Derivative Risk Category | Forwards (Notional)* | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 2,992 | < 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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 3,223,242 | $ | 14,649,590 | $ | 16,101,031 | 1,771,801 | $ | 1,771,801 | $ | 9,940 | |||||||||||||
Cash Management Trust- Short Term Investment | 592,217 | 5,305,221 | 4,018,275 | 1,879,163 | 1,879,163 | 1,075 | ||||||||||||||||||
Total Value and Income Earned | 3,815,459 | 3,650,964 | 11,015 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
212
Partner Emerging Markets Equity Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (89.9%) | Value | ||||||
| Brazil (10.7%) |
| ||||||
| 121,079 | Banco Bradesco SA ADR | $ | 1,517,120 | |||||
| 20,521 | Lojas Renner SA | 531,930 | ||||||
| 26,084 | Multiplan Empreendimentos Imobiliarios SA | 551,697 | ||||||
| 8,900 | Petroleo Brasileiro SA ADR | 122,642 | ||||||
| 56,500 | Souza Cruz SA | 577,393 | ||||||
| 59,400 | Ultrapar Participacoes SA | 1,411,592 | ||||||
| 106,660 | Vale SA ADR | 1,626,566 | ||||||
|
| |||||||
| Total | 6,338,940 | |||||||
|
| |||||||
| Chile (1.3%) |
| ||||||
| 33,494 | Banco Santander Chile SA ADRa | 789,454 | ||||||
|
| |||||||
| Total | 789,454 | |||||||
|
| |||||||
| China (2.6%) |
| ||||||
| 1,423,000 | PetroChina Company, Ltd. | 1,561,802 | ||||||
|
| |||||||
| Total | 1,561,802 | |||||||
|
| |||||||
| Hong Kong (11.4%) |
| ||||||
| 339,000 | AIA Group, Ltd. | 1,706,353 | ||||||
| 211,500 | China Mobile, Ltd. | 2,203,053 | ||||||
| 173,000 | Hang Lung Group, Ltd. | 875,161 | ||||||
| 132,000 | Hang Lung Properties, Ltd. | 418,425 | ||||||
| 102,000 | Swire Pacific, Ltd., Class A | 1,198,465 | ||||||
| 100,000 | Swire Pacific, Ltd., Class B | 226,020 | ||||||
| 59,500 | Swire Properties, Ltd. | 150,675 | ||||||
|
| |||||||
| Total | 6,778,152 | |||||||
|
| |||||||
| Hungary (1.4%) |
| ||||||
| 41,710 | Richter Gedeon Nyrt | 847,912 | ||||||
|
| |||||||
| Total | 847,912 | |||||||
|
| |||||||
| India (13.5%) |
| ||||||
| 12,500 | GlaxoSmithKline Pharmaceuticals, Ltd. | 605,913 | ||||||
| 5,200 | Grasim Industries, Ltd. | 228,534 | ||||||
| 4,350 | Grasim Industries, Ltd. GDR | 191,441 | ||||||
| 21,000 | Hero Motocorp, Ltd. | 705,219 | ||||||
| 83,000 | Hindustan Unilever, Ltd. | 766,244 | ||||||
| 118,639 | Housing Development Finance Corporation | 1,527,545 | ||||||
| 30,000 | ICICI Bank, Ltd. | 536,366 | ||||||
| 5,000 | ICICI Bank, Ltd. ADR | 185,850 | ||||||
| 30,000 | Infosys, Ltd. | 1,690,828 | ||||||
| 3,900 | Infosys, Ltd. ADR | 220,740 | ||||||
| 164,000 | ITC, Ltd. | 853,998 | ||||||
| 15,947 | Ultra Tech Cement, Ltd. | 455,398 | ||||||
| 2,484 | Ultra Tech Cement, Ltd. GDR | 70,843 | ||||||
|
| |||||||
| Total | 8,038,919 | |||||||
|
| |||||||
| Indonesia (2.5%) |
| ||||||
| 2,620,000 | PT Astra International Tbk | 1,467,341 | ||||||
|
| |||||||
| Total | 1,467,341 | |||||||
|
| |||||||
| Luxembourg (2.3%) |
| ||||||
| 31,965 | Tenaris SA ADRa | 1,396,551 | ||||||
|
| |||||||
| Total | 1,396,551 | |||||||
|
| |||||||
| Malaysia (2.5%) |
| ||||||
| 335,418 | CIMB Group Holdings Berhad | 781,806 | ||||||
| 120,000 | Public Bank Berhad | 715,860 | ||||||
|
| |||||||
| Total | 1,497,666 | |||||||
|
| |||||||
| Mexico (7.9%) |
| ||||||
| 16,400 | Fomento Economico Mexicano SAB de CV ADR | 1,605,068 | ||||||
| 6,800 | Grupo Aeroportuario del Sureste SAB de CV ADR | 847,484 | ||||||
| 258,577 | Grupo Financiero Banorte SAB de CV ADR | 1,809,336 | ||||||
| 120,300 | Organizacion Soriana SAB de CVb | 428,810 | ||||||
|
| |||||||
| Total | 4,690,698 | |||||||
|
| |||||||
| Philippines (2.6%) |
| ||||||
| 14,000 | Ayala Corporation | 163,854 | ||||||
| 1,388,900 | Ayala Land, Inc. | 778,157 | ||||||
| 312,897 | Bank of the Philippine Islands | 600,491 | ||||||
|
| |||||||
| Total | 1,542,502 | |||||||
|
| |||||||
| Poland (2.0%) |
| ||||||
| 20,523 | Bank Pekao SA | 1,219,201 | ||||||
|
| |||||||
| Total | 1,219,201 | |||||||
|
| |||||||
| Russia (4.3%) |
| ||||||
| 28,400 | Lukoil ADR | 1,776,624 | ||||||
| 2,800 | Magnit OJSC | 788,042 | ||||||
|
| |||||||
| Total | 2,564,666 | |||||||
|
| |||||||
| South Africa (2.7%) |
| ||||||
| 46,921 | Massmart Holdings, Ltd. | 581,858 | ||||||
| 142,193 | Truworths International, Ltd. | 1,041,785 | ||||||
|
| |||||||
| Total | 1,623,643 | |||||||
|
| |||||||
| South Korea (2.5%) |
| ||||||
| 3,670 | E-Mart Company, Ltd.b | 928,168 | ||||||
| 1,230 | Samsung Electronics Company, Ltd. GDR | 596,134 | ||||||
|
| |||||||
| Total | 1,524,302 | |||||||
|
| |||||||
| Taiwan (4.7%) |
| ||||||
| 215,400 | Taiwan Mobile Company, Ltd. | 696,219 | ||||||
| 602,499 | Taiwan Semiconductor Manufacturing Company, Ltd. | 2,127,399 | ||||||
|
| |||||||
| Total | 2,823,618 | |||||||
|
| |||||||
| Thailand (4.1%) |
| ||||||
| 133,700 | PTT Exploration & Production pcl | 679,116 | ||||||
| 64,400 | Siam Cement pcl | 798,515 | ||||||
| 228,600 | Siam Commercial Bank pcl | 1,004,774 | ||||||
|
| |||||||
| Total | 2,482,405 | |||||||
|
| |||||||
| Turkey (4.1%) |
| ||||||
| 310,833 | Akbank TAS | 970,046 | ||||||
| 33,036 | BIM Birlesik Magazalar AS | 667,190 | ||||||
| 260,790 | Turkiye Garanti Bankasi AS | 845,360 | ||||||
|
| |||||||
| Total | 2,482,596 | |||||||
|
| |||||||
| United Kingdom (5.7%) |
| ||||||
| 22,386 | BHP Billiton plc | 693,659 | ||||||
| 25,139 | SABMiller plc | 1,277,920 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
213
Partner Emerging Markets Equity Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (89.9%) | Value | ||||||
| United Kingdom (5.7%) - continued |
| ||||||
| 64,950 | Standard Chartered plc | $ | 1,467,030 | |||||
|
| |||||||
| Total | 3,438,609 | |||||||
|
| |||||||
| United States (1.1%) |
| ||||||
| 9,000 | Yum! Brands, Inc. | 680,490 | ||||||
|
| |||||||
| Total | 680,490 | |||||||
|
| |||||||
Total Common Stock (cost $47,391,607) | 53,789,467 | |||||||
|
| |||||||
Preferred Stock (7.2%) | ||||||||
| Brazil (2.9%) |
| ||||||
| 97,500 | Petroleo Brasileiro SA ADR, Preferred Shares | 1,432,275 | ||||||
| 21,805 | Vale SA ADR, Preferred Shares | 305,488 | ||||||
|
| |||||||
| Total | 1,737,763 | |||||||
|
| |||||||
| South Korea (4.3%) |
| ||||||
| 2,695 | Samsung Electronics Company, Ltd., Preferred Shares | 2,591,805 | ||||||
|
| |||||||
| Total | 2,591,805 | |||||||
|
| |||||||
Total Preferred Stock (cost $4,523,864) | 4,329,568 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (3.7%) | ||||||||
| 2,223,998 | Thrivent Cash Management Trust | 2,223,998 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $2,223,998) | 2,223,998 | |||||||
|
| |||||||
Shares or | Short-Term Investments (3.1%)c | |||||||
| Thrivent Cash Management Trust | ||||||||
| 1,837,201 | 0.060% | 1,837,201 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 1,837,201 | |||||||
|
| |||||||
| Total Investments (cost $55,976,670) 103.9% | $ | 62,180,234 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (3.9%) | (2,311,388 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 59,868,846 | ||||||
|
| |||||||
| 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. |
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 | $ | 10,310,366 | ||
Gross unrealized depreciation | (4,212,937 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 6,097,429 | ||
Cost for federal income tax purposes | $ | 56,082,805 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
214
Partner Emerging Markets Equity Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 5,783,743 | 680,490 | 5,103,253 | — | ||||||||||||
Consumer Staples | 7,117,713 | 1,605,068 | 5,512,645 | — | ||||||||||||
Energy | 6,948,327 | 1,519,193 | 5,429,134 | — | ||||||||||||
Financials | 18,062,864 | 2,492,424 | 15,570,440 | — | ||||||||||||
Health Care | 1,453,825 | — | 1,453,825 | — | ||||||||||||
Industrials | 4,568,397 | 918,327 | 3,650,070 | — | ||||||||||||
Information Technology | 4,635,101 | 220,740 | 4,414,361 | — | ||||||||||||
Materials | 2,320,225 | 1,626,566 | 693,659 | — | ||||||||||||
Telecommunications Services | 2,899,272 | — | 2,899,272 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Energy | 1,432,275 | 1,432,275 | — | — | ||||||||||||
Information Technology | 2,591,805 | — | 2,591,805 | — | ||||||||||||
Materials | 305,488 | 305,488 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 2,223,998 | 2,223,998 | — | — | ||||||||||||
Short-Term Investments | 1,837,201 | 1,837,201 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 62,180,234 | $ | 14,861,770 | $ | 47,318,464 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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 December 31, 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 | (15,144 | ) | |||
Total Foreign Exchange Contracts | (15,144 | ) | ||||
|
| |||||
Total | ($ | 15,144 | ) | |||
|
| |||||
The following table presents Partner Emerging Markets Equity Portfolio’s average volume of derivative activity during the period ended December 31, 2013.
Derivative Risk Category | Forwards (Notional)* | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 26,610 | < 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.
215
Partner Emerging Markets Equity Portfolio
Schedule of Investments as of December 31, 2013
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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 2,001,279 | $ | 28,304,377 | $ | 28,081,658 | 2,223,998 | $ | 2,223,998 | $ | 3,954 | |||||||||||||
Cash Management Trust- Short Term Investment | 1,497,572 | 10,852,517 | 10,512,888 | 1,837,201 | 1,837,201 | 1,467 | ||||||||||||||||||
Total Value and Income Earned | 3,498,851 | 4,061,199 | 5,421 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
216
Real Estate Securities Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (99.3%) | Value | ||||||
| Casinos & Gaming (0.1%) |
| ||||||
| 1,000 | Las Vegas Sands Corporation | $ | 78,870 | |||||
|
| |||||||
| Total | 78,870 | |||||||
|
| |||||||
| Diversified Real Estate Activities (0.1%) | ||||||||
| 2,519 | Brookfield Asset Management, Inc. | 97,813 | ||||||
|
| |||||||
| Total | 97,813 | |||||||
|
| |||||||
| Diversified REITS (7.6%) | ||||||||
| 6,792 | American Assets Trust, Inc. | 213,473 | ||||||
| 5,000 | American Realty Capital Properties, Inc. | 64,300 | ||||||
| 42,450 | Cousins Properties, Inc. | 437,235 | ||||||
| 75,120 | Duke Realty Corporation | 1,129,805 | ||||||
| 19,343 | Empire State Realty Trust, Inc. | 295,948 | ||||||
| 20,176 | First Potomac Realty Trust | 234,647 | ||||||
| 3,150 | Gladstone Commercial Corporation | 56,605 | ||||||
| 30,414 | Lexington Realty Trust | 310,527 | ||||||
| 27,743 | Liberty Property Trust | 939,655 | ||||||
| 5,270 | PS Business Parks, Inc. | 402,733 | ||||||
| 7,620 | Select Income REIT | 203,759 | ||||||
| 26,560 | Spirit Realty Captial, Inc. | 261,085 | ||||||
| 42,850 | Vornado Realty Trust | 3,804,651 | ||||||
| 12,015 | Washington Real Estate Investment Trust | 280,670 | ||||||
| 6,300 | Whitestone REIT | 84,231 | ||||||
| 22,500 | Winthrop Realty Trust | 248,625 | ||||||
| 2,650 | WP Carey, Inc. | 162,578 | ||||||
|
| |||||||
| Total | 9,130,527 | |||||||
|
| |||||||
| Health Care Facilities (0.1%) | ||||||||
| 5,800 | Brookdale Senior Living, Inc.a | 157,644 | ||||||
|
| |||||||
| Total | 157,644 | |||||||
|
| |||||||
| Hotels, Resorts & Cruise Lines (0.8%) | ||||||||
| 5,000 | Hilton Worldwide Holdings, Inc.a | 111,250 | ||||||
| 2,500 | Hyatt Hotels Corporationa | 123,650 | ||||||
| 6,806 | Starwood Hotels & Resorts Worldwide, Inc. | 540,737 | ||||||
| 2,500 | Wyndham Worldwide Corporation | 184,225 | ||||||
|
| |||||||
| Total | 959,862 | |||||||
|
| |||||||
| Industrial REITS (6.0%) | ||||||||
| 72,816 | DCT Industrial Trust, Inc. | 519,178 | ||||||
| 7,724 | EastGroup Properties, Inc. | 447,451 | ||||||
| 34,246 | First Industrial Realty Trust, Inc. | 597,593 | ||||||
| 138,923 | Prologis, Inc. | 5,133,205 | ||||||
| 10,000 | Rexford Industrial Realty, Inc. | 132,000 | ||||||
| 11,150 | STAG Industrial, Inc. | 227,348 | ||||||
| 8,523 | Terreno Realty Corporation | 150,857 | ||||||
|
| |||||||
| Total | 7,207,632 | |||||||
|
| |||||||
| Office REITS (13.4%) | ||||||||
| 18,712 | Alexandria Real Estate Equities, Inc. | 1,190,457 | ||||||
| 46,162 | BioMed Realty Trust, Inc. | 836,455 | ||||||
| 40,868 | Boston Properties, Inc. | 4,101,921 | ||||||
| 27,530 | Brandywine Realty Trust | 387,898 | ||||||
| 5,646 | Coresite Realty Corporation | 181,745 | ||||||
| 18,957 | Corporate Office Properties Trust | 449,091 | ||||||
| 4,250 | CyrusOne, Inc. | 94,903 | ||||||
| 26,768 | Digital Realty Trust, Inc. | 1,314,844 | ||||||
| 48,757 | Douglas Emmett, Inc. | 1,135,551 | ||||||
| 23,543 | DuPont Fabros Technology, Inc. | 581,748 | ||||||
| 5,800 | Franklin Street Properties Corporation | 69,310 | ||||||
| 20,412 | Highwoods Properties, Inc. | 738,302 | ||||||
| 12,749 | Hudson Pacific Properties, Inc. | 278,821 | ||||||
| 22,663 | Kilroy Realty Corporation | 1,137,229 | ||||||
| 16,405 | Mack-Cali Realty Corporation | 352,379 | ||||||
| 13,270 | Parkway Properties, Inc. | 255,978 | ||||||
| 16,963 | Piedmont Office Realty Trust, Inc. | 280,229 | ||||||
| 2,000 | QTS Realty Trust, Inc. | 49,560 | ||||||
| 28,777 | SL Green Realty Corporation | 2,658,419 | ||||||
|
| |||||||
| Total | 16,094,840 | |||||||
|
| |||||||
| Real Estate Operating Companies (0.5%) | ||||||||
| 2,557 | Brookfield Office Properties, Inc. | 49,222 | ||||||
| 29,043 | Forest City Enterprises, Inc.a | 554,722 | ||||||
|
| |||||||
| Total | 603,944 | |||||||
|
| |||||||
| Residential REITS (16.7%) | ||||||||
| 25,853 | American Campus Communities, Inc. | 832,725 | ||||||
| 49,084 | Apartment Investment & Management Company | 1,271,766 | ||||||
| 10,059 | Associated Estates Realty Corporation | 161,447 | ||||||
| 33,654 | AvalonBay Communities, Inc. | 3,978,912 | ||||||
| 17,457 | BRE Properties, Inc. | 955,072 | ||||||
| 32,851 | Camden Property Trust | 1,868,565 | ||||||
| 24,376 | Campus Crest Communities, Inc. | 229,378 | ||||||
| 34,964 | Education Realty Trust, Inc. | 308,383 | ||||||
| 17,578 | Equity Lifestyle Properties, Inc. | 636,851 | ||||||
| 77,690 | Equity Residential | 4,029,780 | ||||||
| 13,299 | Essex Property Trust, Inc. | 1,908,540 | ||||||
| 13,187 | Home Properties, Inc. | 707,087 | ||||||
| 11,474 | Mid-America Apartment Communities, Inc. | 696,931 | ||||||
| 20,535 | Post Properties, Inc. | 928,798 | ||||||
| 9,117 | Sun Communities, Inc. | 388,749 | ||||||
| 48,094 | UDR, Inc. | 1,122,995 | ||||||
|
| |||||||
| Total | 20,025,979 | |||||||
|
| |||||||
| Retail REITS (25.8%) | ||||||||
| 22,163 | Acadia Realty Trust | 550,307 | ||||||
| 5,450 | Agree Realty Corporation | 158,159 | ||||||
| 3,915 | AmREIT, Inc. | 65,772 | ||||||
| 4,000 | Brixmor Property Group, Inc.a | 81,320 | ||||||
| 38,739 | CBL & Associates Properties, Inc. | 695,752 | ||||||
| 10,925 | Cedar Realty Trust, Inc. | 68,391 | ||||||
| 25,250 | Cole Real Estate Investments, Inc. | 354,510 | ||||||
| 127,606 | DDR Corporation | 1,961,304 | ||||||
| 16,517 | Equity One, Inc. | 370,641 | ||||||
| 8,632 | Excel Trust, Inc. | 98,318 | ||||||
| 14,295 | Federal Realty Investment Trust | 1,449,656 | ||||||
| 142,505 | General Growth Properties, Inc. | 2,860,075 | ||||||
| 55,924 | Glimcher Realty Trust | 523,449 | ||||||
| 18,332 | Inland Real Estate Corporation | 192,853 | ||||||
| 73,387 | Kimco Realty Corporation | 1,449,393 | ||||||
| 26,747 | Kite Realty Group Trust | 175,728 | ||||||
| 31,166 | Macerich Company | 1,835,366 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
217
Real Estate Securities Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (99.3%) | Value | ||||||
| Retail REITS (25.8%) - continued |
| ||||||
| 18,286 | National Retail Properties, Inc. | $ | 554,614 | |||||
| 12,526 | Pennsylvania Real Estate Investment Trust | 237,743 | ||||||
| 24,848 | Ramco-Gershenson Properties Trust | 391,108 | ||||||
| 6,500 | Realty Income Corporation | 242,645 | ||||||
| 23,692 | Regency Centers Corporation | 1,096,940 | ||||||
| 9,222 | Retail Opportunity Investments Corporation | 135,748 | ||||||
| 16,500 | Retail Properties of America, Inc. | 209,880 | ||||||
| 1,138 | Saul Centers, Inc. | 54,317 | ||||||
| 83,661 | Simon Property Group, Inc. | 12,729,858 | ||||||
| 21,363 | Tanger Factory Outlet Centers, Inc. | 684,043 | ||||||
| 15,941 | Taubman Centers, Inc. | 1,018,949 | ||||||
| 6,500 | Urstadt Biddle Properties, Inc. | 119,925 | ||||||
| 23,142 | Weingarten Realty Investors | 634,554 | ||||||
|
| |||||||
| Total | 31,001,318 | |||||||
|
| |||||||
| Specialized REITS (28.1%) | ||||||||
| 17,400 | American Tower Corporation | 1,388,868 | ||||||
| 16,278 | Ashford Hospitality Trust, Inc. | 134,782 | ||||||
| 3,100 | Aviv REIT, Inc. | 73,470 | ||||||
| 9,877 | Chatham Lodging Trust | 201,985 | ||||||
| 13,933 | Chesapeake Lodging Trust | 352,365 | ||||||
| 9,444 | Corrections Corporation of America REIT | 302,869 | ||||||
| 53,072 | CubeSmart | 845,968 | ||||||
| 26,095 | DiamondRock Hospitality Company | 301,397 | ||||||
| 11,308 | EPR Properties | 555,901 | ||||||
| 36,520 | Extra Space Storage, Inc. | 1,538,588 | ||||||
| 15,843 | FelCor Lodging Trust, Inc.a | 129,279 | ||||||
| 79,942 | HCP, Inc. | 2,903,493 | ||||||
| 53,052 | Health Care REIT, Inc. | 2,841,996 | ||||||
| 31,262 | Healthcare Realty Trust, Inc. | 666,193 | ||||||
| 14,000 | Healthcare Trust of America, Inc. | 137,760 | ||||||
| 41,647 | Hersha Hospitality Trust | 231,974 | ||||||
| 11,549 | Hospitality Properties Trust | 312,169 | ||||||
| 195,140 | Host Hotels & Resorts, Inc. | 3,793,522 | ||||||
| 23,190 | LaSalle Hotel Properties | 715,643 | ||||||
| 7,022 | LTC Properties, Inc. | 248,509 | ||||||
| 28,964 | Medical Properties Trust, Inc. | 353,940 | ||||||
| 3,620 | National Health Investors, Inc. | 203,082 | ||||||
| 7,161 | Omega Healthcare Investors, Inc. | 213,398 | ||||||
| 23,508 | Pebblebrook Hotel Trust | 723,106 | ||||||
| 6,020 | Physicians Realty Trust | 76,695 | ||||||
| 5,465 | Plum Creek Timber Company, Inc. | 254,177 | ||||||
| 33,783 | Public Storage, Inc. | 5,085,017 | ||||||
| 4,494 | Rayonier, Inc. REIT | 189,197 | ||||||
| 26,080 | RLJ Lodging Trust | 634,266 | ||||||
| 5,792 | Sabra Healthcare REIT, Inc. | 151,403 | ||||||
| 25,466 | Senior Housing Property Trust | 566,109 | ||||||
| 4,099 | Sovran Self Storage, Inc. | 267,132 | ||||||
| 79,774 | Strategic Hotels & Resorts, Inc.a | 753,864 | ||||||
| 42,457 | Summit Hotel Properties, Inc. | 382,113 | ||||||
| 74,923 | Sunstone Hotel Investors, Inc. | 1,003,968 | ||||||
| 75,120 | Ventas, Inc. | 4,302,874 | ||||||
| 28,800 | Weyerhaeuser Company REIT | 909,216 | ||||||
|
| |||||||
| Total | 33,746,288 | |||||||
|
| |||||||
| Wireless Telecommunication Services (0.1%) | ||||||||
| 2,000 | Crown Castle International Corporationa | 146,860 | ||||||
|
| |||||||
| Total | 146,860 | |||||||
|
| |||||||
Total Common Stock (cost $131,668,620) | 119,251,577 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (0.3%)b | |||||||
| Thrivent Cash Management Trust | ||||||||
| 359,706 | 0.060% | 359,706 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 359,706 | |||||||
|
| |||||||
| Total Investments (cost $132,028,326) 99.6% | $ | 119,611,283 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 0.4% | 454,559 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 120,065,842 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Definitions:
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 12,418,924 | ||
Gross unrealized depreciation | (24,861,696 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (12,442,772 | ) | |
Cost for federal income tax purposes | $ | 132,054,055 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
218
Real Estate Securities Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | ||||||||||||||||
Casinos & Gaming | 78,870 | 78,870 | — | — | ||||||||||||
Diversified Real Estate Activities | 97,813 | 97,813 | — | — | ||||||||||||
Diversified REITS | 9,130,527 | 9,130,527 | — | — | ||||||||||||
Health Care Facilities | 157,644 | 157,644 | — | — | ||||||||||||
Hotels, Resorts & Cruise Lines | 959,862 | 959,862 | — | — | ||||||||||||
Industrial REITS | 7,207,632 | 7,207,632 | — | — | ||||||||||||
Office REITS | 16,094,840 | 16,094,840 | — | — | ||||||||||||
Real Estate Operating Companies | 603,944 | 603,944 | — | — | ||||||||||||
Residential REITS | 20,025,979 | 20,025,979 | — | — | ||||||||||||
Retail REITS | 31,001,318 | 31,001,318 | — | — | ||||||||||||
Specialized REITS | 33,746,288 | 33,746,288 | — | — | ||||||||||||
Wireless Telecommunication Services | 146,860 | 146,860 | — | — | ||||||||||||
Short-Term Investments | 359,706 | 359,706 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 119,611,283 | $ | 119,611,283 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust-Short Term Investment | $ | 746,798 | $ | 23,152,247 | $ | 23,539,339 | 359,706 | $ | 359,706 | $ | 742 | |||||||||||||
Total Value and Income Earned | 746,798 | 359,706 | 742 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
219
Partner Small Cap Growth Portfolio
Schedule of Investments as of December 31, 2013
Shares | Common Stock (97.9%) | Value | ||||
Consumer Discretionary (19.1%) |
| |||||
37,090 | American Axle & Manufacturing Holdings, Inc.a | $ | 758,491 | |||
63,560 | American Public Education, Inc.a | 2,762,953 | ||||
106,365 | ANN, Inc.a | 3,888,704 | ||||
30,260 | Arctic Cat, Inc. | 1,724,215 | ||||
16,340 | Asbury Automotive Group, Inc.a | 878,112 | ||||
20,080 | Boyd Gaming Corporationa | 226,101 | ||||
66,660 | Brunswick Corporation | 3,070,360 | ||||
5,030 | Buffalo Wild Wings, Inc.a | 740,416 | ||||
61,450 | Chuy’s Holdings, Inc.a | 2,213,429 | ||||
18,830 | Cracker Barrel Old Country Store, Inc. | 2,072,618 | ||||
12,410 | Dorman Products, Inc.a | 695,829 | ||||
29,080 | E.W. Scripps Companya | 631,618 | ||||
91,650 | Fifth & Pacific Companies, Inc.a | 2,939,215 | ||||
56,280 | Five Below, Inc.a,b | 2,431,296 | ||||
34,600 | Fox Factory Holding Corporationa | 609,652 | ||||
21,990 | Gray Television, Inc.a | 327,211 | ||||
71,220 | HomeAway, Inc.a,b | 2,911,474 | ||||
82,580 | Imax Corporationa,b | 2,434,458 | ||||
11,790 | ITT Educational Services, Inc.a,b | 395,908 | ||||
16,080 | Krispy Kreme Doughnuts, Inc.a | 310,183 | ||||
26,850 | LifeLock, Inc.a | 440,609 | ||||
14,140 | Lithia Motors, Inc. | 981,599 | ||||
53,259 | Meritage Homes Corporationa | 2,555,899 | ||||
5,200 | Modine Manufacturing Companya | 66,664 | ||||
27,980 | Multimedia Games Holding Company, Inc.a | 877,453 | ||||
17,170 | Nexstar Broadcasting Group, Inc. | 956,884 | ||||
11,290 | Oxford Industries, Inc. | 910,764 | ||||
124,180 | Pier 1 Imports, Inc. | 2,866,074 | ||||
14,900 | Red Robin Gourmet Burgers, Inc.a | 1,095,746 | ||||
73,300 | Shutterfly, Inc.a | 3,733,169 | ||||
65,790 | Sotheby’s Holdings, Inc. | 3,500,028 | ||||
11,740 | Stamps.com, Inc.a | 494,254 | ||||
65,180 | Tenneco, Inc.a | 3,687,233 | ||||
102,370 | Texas Roadhouse, Inc. | 2,845,886 | ||||
42,840 | Vail Resorts, Inc. | 3,222,853 | ||||
81,300 | Vitamin Shoppe, Inc.a | 4,228,413 | ||||
45,040 | Zumiez, Inc.a | 1,171,040 | ||||
|
| |||||
| Total | 65,656,811 | |||||
|
| |||||
| Consumer Staples (6.2%) | ||||||
113,790 | B&G Foods, Inc. | 3,858,619 | ||||
3,530 | Boston Beer Company, Inc.a,b | 853,519 | ||||
23,540 | Hain Celestial Group, Inc.a | 2,136,961 | ||||
4,050 | Natural Grocers by Vitamin Cottage, Inc.a | 171,922 | ||||
62,670 | Prestige Brands Holdings, Inc.a | 2,243,586 | ||||
625,020 | Rite Aid Corporationa | 3,162,601 | ||||
55,760 | Susser Holdings Corporationa,b | 3,651,722 | ||||
3,180 | TreeHouse Foods, Inc.a | 219,166 | ||||
66,520 | United Natural Foods, Inc.a | 5,014,943 | ||||
|
| |||||
| Total | 21,313,039 | |||||
|
| |||||
| Energy (4.6%) | ||||||
12,130 | Bonanza Creek Energy, Inc.a | 527,291 | ||||
31,580 | Callon Petroleum Companya | 206,217 | ||||
9,270 | Diamondback Energy, Inc.a | 490,012 | ||||
19,230 | Dril-Quip, Inc.a | 2,113,954 | ||||
330,070 | Kodiak Oil & Gas Corporationa | 3,700,085 | ||||
4,500 | PDC Energy, Inc.a | 239,490 | ||||
156,730 | Rex Energy Corporationa | 3,089,148 | ||||
64,250 | Rosetta Resources, Inc.a | 3,086,570 | ||||
36,120 | SemGroup Corporation | 2,356,108 | ||||
|
| |||||
| Total | 15,808,875 | |||||
|
| |||||
| Financials (7.0%) | ||||||
43,546 | Bank of the Ozarks, Inc. | 2,464,268 | ||||
200,640 | Brandywine Realty Trust | 2,827,018 | ||||
40,640 | eHealth, Inc.a | 1,889,354 | ||||
16,407 | Essent Group, Ltd.a | 394,752 | ||||
13,125 | Evercore Partners, Inc. | 784,612 | ||||
27,440 | Financial Engines, Inc. | 1,906,531 | ||||
22,070 | Hanmi Financial Corporation | 483,112 | ||||
204,940 | Hersha Hospitality Trust | 1,141,516 | ||||
30,250 | Home Loan Servicing Solutions, Ltd. | 694,843 | ||||
28,830 | Independent Bank Corporationa | 345,960 | ||||
21,720 | Infinity Property & Casualty Corporation | 1,558,410 | ||||
59,460 | Portfolio Recovery Associates, Inc.a,b | 3,141,866 | ||||
730,020 | Synovus Financial Corporation | 2,628,072 | ||||
33,790 | Umpqua Holdings Corporationb | 646,741 | ||||
174,580 | WisdomTree Investments, Inc.a | 3,091,812 | ||||
|
| |||||
| Total | 23,998,867 | |||||
|
| |||||
| Health Care (16.3%) | ||||||
69,840 | Acadia Healthcare Company, Inc.a | 3,305,527 | ||||
35,972 | ACADIA Pharmaceuticals, Inc.a,b | 898,940 | ||||
44,680 | Aegerion Pharmaceuticals, Inc.a | 3,170,493 | ||||
76,590 | Air Methods Corporationa | 4,467,495 | ||||
160,134 | Akorn, Inc.a | 3,944,100 | ||||
69,530 | Align Technology, Inc.a | 3,973,639 | ||||
5,270 | Analogic Corporation | 466,711 | ||||
24,740 | ArthroCare Corporationa | 995,538 | ||||
98,490 | Bruker Corporationa | 1,947,147 | ||||
9,950 | Cardiovascular Systems, Inc.a | 341,186 | ||||
57,410 | Cepheid, Inc.a,b | 2,682,195 | ||||
42,860 | Cubist Pharmaceuticals, Inc.a | 2,951,768 | ||||
47,380 | Cyberonics, Inc.a | 3,103,864 | ||||
15,300 | Enanta Pharmaceuticals, Inc.a | 417,384 | ||||
5,880 | Furiex Pharmaceuticals, Inc.a | 247,019 | ||||
89,900 | Impax Laboratories, Inc.a | 2,260,086 | ||||
149,599 | Ironwood Pharmaceuticals, Inc.a,b | 1,736,844 | ||||
19,810 | Lannett Company, Inc.a | 655,711 | ||||
10,290 | Molina Healthcare, Inc.a | 357,578 | ||||
27,130 | Natus Medical, Inc.a | 610,425 | ||||
104,140 | Neurocrine Biosciences, Inc.a | 972,668 | ||||
102,100 | NPS Pharmaceuticals, Inc.a | 3,099,756 | ||||
73,620 | PAREXEL International Corporationa | 3,326,152 | ||||
16,810 | Receptos, Inc.a | 487,322 | ||||
49,080 | Team Health Holdings, Inc.a | 2,235,594 | ||||
31,833 | Teleflex, Inc. | 2,987,845 | ||||
26,980 | Viropharma, Inc.a | 1,344,953 | ||||
67,500 | West Pharmaceutical Services, Inc. | 3,311,550 | ||||
|
| |||||
| Total | 56,299,490 | |||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
220
Partner Small Cap Growth Portfolio
Schedule of Investments as of December 31, 2013
Shares | Common Stock (97.9%) | Value | ||||
Industrials (16.2%) |
| |||||
25,680 | Acuity Brands, Inc. | $ | 2,807,338 | |||
99,560 | CAI International, Inc.a | 2,346,629 | ||||
8,510 | Chart Industries, Inc.a | 813,896 | ||||
2,690 | Copa Holdings SA | 430,696 | ||||
23,400 | Energy Recovery, Inc.a,b | 130,104 | ||||
8,450 | EnPro Industries, Inc.a | 487,142 | ||||
68,170 | Generac Holdings, Inc. | 3,861,149 | ||||
11,450 | Genesee & Wyoming, Inc.a | 1,099,772 | ||||
56,400 | Heico Corporation | 3,268,380 | ||||
79,020 | Hexcel Corporationa | 3,531,404 | ||||
36,940 | Huron Consulting Group, Inc.a | 2,316,877 | ||||
1,390 | Hyster-Yale Materials Handling, Inc. | 129,492 | ||||
96,680 | MasTec, Inc.a | 3,163,370 | ||||
22,090 | Middleby Corporationa | 5,300,937 | ||||
118,160 | On Assignment, Inc.a | 4,126,147 | ||||
33,030 | PGT, Inc.a | 334,264 | ||||
18,370 | Primoris Services Corporation | 571,858 | ||||
43,960 | Proto Labs, Inc.a,b | 3,129,073 | ||||
16,410 | Roadrunner Transportation Systems, Inc.a | 442,250 | ||||
91,470 | Saia, Inc.a | 2,931,614 | ||||
48,710 | Spirit Airlines, Inc.a | 2,211,921 | ||||
92,110 | Swift Transportation Companya,b | 2,045,763 | ||||
97,770 | Thermon Group Holdings, Inc.a | 2,672,054 | ||||
97,060 | USG Corporationa,b | 2,754,563 | ||||
11,420 | WageWorks, Inc.a | 678,805 | ||||
25,630 | Watsco, Inc. | 2,462,018 | ||||
28,620 | Watts Water Technologies, Inc. | 1,770,719 | ||||
|
| |||||
| Total | 55,818,235 | |||||
|
| |||||
| Information Technology (24.0%) | ||||||
31,930 | Ambarella, Inc.a | 1,083,385 | ||||
96,110 | Aspen Technology, Inc.a | 4,017,398 | ||||
8,670 | Autobytel, Inc.a | 131,177 | ||||
29,120 | Belden, Inc. | 2,051,504 | ||||
96,750 | Bottomline Technologies, Inc.a | 3,498,480 | ||||
16,930 | CalAmp Corporationa | 473,532 | ||||
40,380 | Callidus Software, Inc.a | 554,417 | ||||
15,430 | Canadian Solar, Inc.a,b | 460,123 | ||||
92,850 | Cardtronics, Inc.a | 4,034,332 | ||||
79,580 | Cavium, Inc.a | 2,746,306 | ||||
132,130 | Ciena Corporationa,b | 3,161,871 | ||||
98,030 | Cognex Corporationa | 3,742,785 | ||||
9,730 | Coherent, Inc.a | 723,815 | ||||
39,120 | CommVault Systems, Inc.a | 2,929,306 | ||||
62,605 | Cornerstone OnDemand, Inc.a | 3,339,351 | ||||
17,380 | Diodes, Inc.a | 409,473 | ||||
40,460 | Electronics for Imaging, Inc.a | 1,567,016 | ||||
39,955 | Ellie Mae, Inc.a | 1,073,591 | ||||
61,670 | Guidewire Software, Inc.a | 3,026,147 | ||||
13,840 | Heartland Payment Systems, Inc.b | 689,786 | ||||
9,290 | Immersion Corporationa | 96,430 | ||||
14,060 | Imperva, Inc.a | 676,708 | ||||
60,800 | Infoblox, Inc.a | 2,007,616 | ||||
8,420 | Interactive Intelligence Groupa | 567,171 | ||||
13,160 | IntraLinks Holdings, Inc.a | 159,368 | ||||
89,754 | Ixiaa | 1,194,626 | ||||
11,090 | Manhattan Associates, Inc.a | 1,302,853 | ||||
50,650 | MAXIMUS, Inc. | 2,228,093 | ||||
22,080 | Methode Electronics, Inc. | 754,915 | ||||
129,630 | Monolithic Power Systems, Inc.a | 4,492,976 | ||||
18,070 | Monotype Imaging Holdings, Inc. | 575,710 | ||||
9,980 | OSI Systems, Inc.a | 530,038 | ||||
21,290 | Proofpoint, Inc.a | 706,189 | ||||
4,010 | QIWI plc ADR | 224,560 | ||||
60,070 | QLIK Technologies, Inc.a | 1,599,664 | ||||
328,901 | RF Micro Devices, Inc.a | 1,697,129 | ||||
116,400 | Riverbed Technology, Inc.a | 2,104,512 | ||||
88,240 | Semtech Corporationa | 2,230,707 | ||||
4,640 | SPS Commerce, Inc.a | 302,992 | ||||
23,650 | SunPower Corporationa,b | 705,006 | ||||
49,490 | Synaptics, Inc.a,b | 2,564,077 | ||||
81,499 | Synchronoss Technologies, Inc.a | 2,532,174 | ||||
99,250 | Take-Two Interactive Software, Inc.a | 1,723,972 | ||||
11,440 | Trulia, Inc.a,b | 403,489 | ||||
15,790 | Tyler Technologies, Inc.a | 1,612,633 | ||||
19,690 | Ultimate Software Group, Inc.a | 3,016,902 | ||||
24,390 | WEX, Inc.a | 2,415,342 | ||||
39,710 | Yelp, Inc.a | 2,738,004 | ||||
19,750 | Zillow, Inc.a | 1,614,167 | ||||
|
| |||||
| Total | 82,491,818 | |||||
|
| |||||
| Materials (4.4%) | ||||||
115,700 | Chemtura Corporationa | 3,230,344 | ||||
118,360 | Commercial Metals Company | 2,406,259 | ||||
250,270 | Graphic Packaging Holding Companya | 2,402,592 | ||||
16,620 | KapStone Paper and Packaging Corporationa | 928,393 | ||||
177,320 | Louisiana-Pacific Corporationa | 3,282,193 | ||||
87,340 | PolyOne Corporation | 3,087,469 | ||||
|
| |||||
| Total | 15,337,250 | |||||
|
| |||||
| Utilities (0.1%) | ||||||
8,382 | Artesian Resources Corporation | 192,367 | ||||
|
| |||||
| Total | 192,367 | |||||
|
| |||||
Total Common Stock (cost $245,599,316) | 336,916,752 | |||||
|
| |||||
Collateral Held for Securities Loaned (8.6%) | ||||||
29,633,978 | Thrivent Cash Management Trust | 29,633,978 | ||||
|
| |||||
Total Collateral Held for Securities Loaned (cost $29,633,978) | 29,633,978 | |||||
|
| |||||
Shares or | Short-Term Investments (1.7%)c | |||||
| Thrivent Cash Management Trust | ||||||
5,913,423 | 0.060% | 5,913,423 | ||||
|
| |||||
| Total Short-Term Investments (at amortized cost) | 5,913,423 | |||||
|
| |||||
| Total Investments (cost $281,146,717) 108.2% | $ | 372,464,153 | ||||
|
| |||||
| Other Assets and Liabilities, Net (8.2%) | (28,139,099 | ) | ||||
|
| |||||
| Total Net Assets 100.0% | $ | 344,325,054 | ||||
|
| |||||
| a | Non-income producing security. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
221
Partner Small Cap Growth Portfolio
Schedule of Investments as of December 31, 2013
| 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. |
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 | $ | 92,145,656 | ||
Gross unrealized depreciation | (1,178,432 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 90,967,224 | ||
Cost for federal income tax purposes | $ | 281,496,929 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 65,656,811 | 65,656,811 | — | — | ||||||||||||
Consumer Staples | 21,313,039 | 21,313,039 | — | — | ||||||||||||
Energy | 15,808,875 | 15,808,875 | — | — | ||||||||||||
Financials | 23,998,867 | 23,998,867 | — | — | ||||||||||||
Health Care | 56,299,490 | 56,299,490 | — | — | ||||||||||||
Industrials | 55,818,235 | 55,818,235 | — | — | ||||||||||||
Information Technology | 82,491,818 | 82,491,818 | — | — | ||||||||||||
Materials | 15,337,250 | 15,337,250 | — | — | ||||||||||||
Utilities | 192,367 | 192,367 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 29,633,978 | 29,633,978 | — | — | ||||||||||||
Short-Term Investments | 5,913,423 | 5,913,423 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 372,464,153 | $ | 372,464,153 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 25,442,945 | $ | 166,584,300 | $ | 162,393,267 | 29,633,978 | $ | 29,633,978 | $ | 229,058 | |||||||||||||
Cash Management Trust- Short Term Investment | 3,658,848 | 116,235,812 | 113,981,237 | 5,913,423 | 5,913,423 | 5,988 | ||||||||||||||||||
Total Value and Income Earned | 29,101,793 | 35,547,401 | 235,046 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
222
Partner Small Cap Value Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (97.5%) | Value | ||||||
| Consumer Discretionary (14.9%) | ||||||||
| 216,000 | Aaron’s, Inc. | $ | 6,350,400 | |||||
| 14,300 | American Public Education, Inc.a | 621,621 | ||||||
| 22,000 | Ascent Capital Group, Inc.a | 1,882,320 | ||||||
| 58,000 | CSS Industries, Inc. | 1,663,440 | ||||||
| 89,900 | Dorman Products, Inc.a | 5,040,693 | ||||||
| 96,800 | Drew Industries, Inc. | 4,956,160 | ||||||
| 65,600 | Ethan Allen Interiors, Inc.b | 1,995,552 | ||||||
| 136,000 | Fifth & Pacific Companies, Inc.a | 4,361,520 | ||||||
| 75,000 | Fred’s, Inc. | 1,389,000 | ||||||
| 101,000 | Haverty Furniture Companies, Inc. | 3,161,300 | ||||||
| 45,000 | Hooker Furniture Corporation | 750,600 | ||||||
| 68,000 | M/I Homes, Inc.a | 1,730,600 | ||||||
| 103,000 | MarineMax, Inc.a | 1,656,240 | ||||||
| 77,800 | Matthews International Corporation | 3,315,058 | ||||||
| 106,000 | Meritage Homes Corporationa | 5,086,940 | ||||||
| 184,000 | Modine Manufacturing Companya | 2,358,880 | ||||||
| 156,500 | Orient-Express Hotels, Ltd.a | 2,364,715 | ||||||
| 16,700 | Red Robin Gourmet Burgers, Inc.a | 1,228,118 | ||||||
| 159,400 | Shiloh Industries, Inc.a | 3,108,300 | ||||||
| 13,500 | Stanley Furniture Company, Inc.a | 51,840 | ||||||
| 174,000 | Stein Mart, Inc. | 2,340,300 | ||||||
| 43,200 | Steven Madden, Ltd.a | 1,580,688 | ||||||
| 17,100 | Winnebago Industries, Inc.a | 469,395 | ||||||
|
| |||||||
| Total | 57,463,680 | |||||||
|
| |||||||
| Consumer Staples (0.7%) | ||||||||
| 270,000 | Alliance One International, Inc.a | 823,500 | ||||||
| 83,000 | Spartan Stores, Inc. | 2,015,240 | ||||||
|
| |||||||
| Total | 2,838,740 | |||||||
|
| |||||||
| Energy (3.8%) | ||||||||
| 74,400 | C&J Energy Services, Inc.a,b | 1,718,640 | ||||||
| 8,300 | CARBO Ceramics, Inc.b | 967,199 | ||||||
| 109,000 | Cloud Peak Energy, Inc.a | 1,962,000 | ||||||
| 24,600 | Contango Oil & Gas Companya | 1,162,596 | ||||||
| 88,200 | Gulf Island Fabrication, Inc. | 2,048,004 | ||||||
| 208,300 | Hercules Offshore, Inc.a | 1,360,199 | ||||||
| 43,400 | PDC Energy, Inc.a | 2,309,748 | ||||||
| 280,000 | Teekay Tankers, Ltd.b | 1,100,400 | ||||||
| 152,900 | Tetra Technologies, Inc.a | 1,889,844 | ||||||
|
| |||||||
| Total | 14,518,630 | |||||||
|
| |||||||
| Financials (24.7%) | ||||||||
| 204,000 | Ares Capital Corporation | 3,625,080 | ||||||
| 35,000 | Assured Guaranty, Ltd. | 825,650 | ||||||
| 92,600 | BBCN Bancorp, Inc. | 1,536,234 | ||||||
| 161,800 | CBL & Associates Properties, Inc. | 2,905,928 | ||||||
| 176,300 | Cedar Realty Trust, Inc. | 1,103,638 | ||||||
| 420,000 | CoBiz Financial, Inc. | 5,023,200 | ||||||
| 75,000 | Columbia Banking System, Inc. | 2,063,250 | ||||||
| 98,018 | Compass Diversified Holdings | 1,924,093 | ||||||
| 143,500 | Cousins Properties, Inc. | 1,478,050 | ||||||
| 176,000 | East West Bancorp, Inc. | 6,154,720 | ||||||
| 51,210 | Employers Holdings, Inc. | 1,620,797 | ||||||
| 132,000 | First Potomac Realty Trust | 1,535,160 | ||||||
| 97,000 | Glacier Bancorp, Inc. | 2,889,630 | ||||||
| 98,000 | Golub Capital BDC, Inc. | 1,872,780 | ||||||
| 96,000 | Hatteras Financial Corporation | 1,568,640 | ||||||
| 199,000 | Hercules Technology Growth Capital, Inc. | 3,263,600 | ||||||
| 153,800 | Home Bancshares, Inc. | 5,744,430 | ||||||
| 29,000 | iShares Russell 2000 Value Index Fund | 2,885,500 | ||||||
| 67,000 | JMP Group, Inc. | 495,800 | ||||||
| 29,800 | Kilroy Realty Corporation | 1,495,364 | ||||||
| 371,000 | Kite Realty Group Trust | 2,437,470 | ||||||
| 91,000 | LaSalle Hotel Properties | 2,808,260 | ||||||
| 4,060 | Markel Corporationa | 2,356,221 | ||||||
| 206,000 | Meadowbrook Insurance Group, Inc. | 1,433,760 | ||||||
| 83,000 | National Interstate Corporation | 1,909,000 | ||||||
| 19,900 | Piper Jaffray Companiesa | 787,045 | ||||||
| 42,000 | Potlatch Corporation | 1,753,080 | ||||||
| 140,000 | ProAssurance Corporation | 6,787,200 | ||||||
| 11,400 | PS Business Parks, Inc. | 871,188 | ||||||
| 110,000 | Radian Group, Inc.b | 1,553,200 | ||||||
| 213,200 | Redwood Trust, Inc. | 4,129,684 | ||||||
| 120,500 | Safeguard Scientifics, Inc.a | 2,420,845 | ||||||
| 126,400 | Sandy Spring Bancorp, Inc. | 3,563,216 | ||||||
| 2,900 | State Auto Financial Corporation | 61,596 | ||||||
| 52,400 | SVB Financial Groupa | 5,494,664 | ||||||
| 28,550 | The Bank of Kentucky Financial Corporation | 1,053,495 | ||||||
| 90,300 | THL Credit, Inc. | 1,489,047 | ||||||
| 37,800 | Washington Real Estate Investment Trust | 883,008 | ||||||
| 68,000 | Wintrust Financial Corporation | 3,136,160 | ||||||
|
| |||||||
| Total | 94,939,683 | |||||||
|
| |||||||
| Health Care (3.6%) | ||||||||
| 14,600 | Analogic Corporation | 1,292,976 | ||||||
| 7,400 | Atrion Corporation | 2,192,250 | ||||||
| 44,300 | National Healthcare Corporation | 2,388,213 | ||||||
| 96,000 | Triple-S Management Corporationa | 1,866,240 | ||||||
| 126,000 | West Pharmaceutical Services, Inc. | 6,181,560 | ||||||
|
| |||||||
| Total | 13,921,239 | |||||||
|
| |||||||
| Industrials (25.4%) | ||||||||
| 101,700 | A.O. Smith Corporation | 5,485,698 | ||||||
| 101,000 | Aegion Corporationa | 2,210,890 | ||||||
| 90,500 | Alaska Air Group, Inc. | 6,639,985 | ||||||
| 41,000 | Applied Industrial Technologies, Inc. | 2,012,690 | ||||||
| 42,700 | Astec Industries, Inc. | 1,649,501 | ||||||
| 147,000 | Beacon Roofing Supply, Inc.a | 5,921,160 | ||||||
| 42,100 | Circor International, Inc. | 3,400,838 | ||||||
| 95,000 | Comfort Systems USA, Inc. | 1,842,050 | ||||||
| 90,000 | Dolan Companya | 63,000 | ||||||
| 50,700 | ESCO Technologies, Inc. | 1,736,982 | ||||||
| 56,200 | Franklin Electric Company, Inc. | 2,508,768 | ||||||
| 24,500 | FTI Consulting, Inc.a | 1,007,930 | ||||||
| 67,000 | G & K Services, Inc. | 4,169,410 | ||||||
| 47,500 | Genesee & Wyoming, Inc.a | 4,562,375 | ||||||
| 86,200 | Gibraltar Industries, Inc.a | 1,602,458 | ||||||
| 111,000 | Greenbrier Companies, Inc.a | 3,645,240 | ||||||
| 45,000 | Hub Group, Inc.a | 1,794,600 | ||||||
| 31,500 | IDEX Corporation | 2,326,275 | ||||||
| 52,000 | Kaman Corporation | 2,065,960 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
223
Partner Small Cap Value Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (97.5%) | Value | ||||||
| Industrials (25.4%) - continued |
| ||||||
| 151,000 | Kforce, Inc. | $ | 3,089,460 | |||||
| 76,200 | Kirby Corporationa | 7,562,850 | ||||||
| 142,000 | Kratos Defense & Security Solutions, Inc.a | 1,090,560 | ||||||
| 67,300 | Landstar System, Inc. | 3,866,385 | ||||||
| 123,000 | McGrath Rentcorp | 4,895,400 | ||||||
| 43,700 | Mine Safety Appliances Company | 2,237,877 | ||||||
| 129,400 | Navigant Consulting, Inc.a | 2,484,480 | ||||||
| 33,500 | Nordson Corporation | 2,489,050 | ||||||
| 87,500 | Pike Corporationa | 924,875 | ||||||
| 75,500 | Quanex Building Products Corporation | 1,503,960 | ||||||
| 15,000 | RBC Bearings, Inc.a | 1,061,250 | ||||||
| 39,900 | Sun Hydraulics Corporationb | 1,629,117 | ||||||
| 37,000 | Universal Forest Products, Inc. | 1,929,180 | ||||||
| 81,600 | Universal Truckload Services, Inc. | 2,489,616 | ||||||
| 54,800 | Waste Connections, Inc. | 2,390,924 | ||||||
| 70,000 | Woodward, Inc. | 3,192,700 | ||||||
|
| |||||||
| Total | 97,483,494 | |||||||
|
| |||||||
| Information Technology (10.6%) | ||||||||
| 78,000 | Accelrys, Inc.a | 744,120 | ||||||
| 63,500 | Advanced Energy Industries, Inc.a | 1,451,610 | ||||||
| 50,000 | ATMI, Inc.a | 1,510,500 | ||||||
| 60,000 | Belden, Inc. | 4,227,000 | ||||||
| 111,800 | Brooks Automation, Inc. | 1,172,782 | ||||||
| 67,900 | Cabot Microelectronics Corporationa | 3,103,030 | ||||||
| 40,400 | Cognex Corporationa | 1,542,472 | ||||||
| 69,500 | Cohu, Inc. | 729,750 | ||||||
| 134,200 | Electro Rent Corporation | 2,485,384 | ||||||
| 146,900 | Electro Scientific Industries, Inc. | 1,536,574 | ||||||
| 70,200 | Entegris, Inc.a | 814,320 | ||||||
| 29,210 | Fabrineta | 600,558 | ||||||
| 185,000 | Intevac, Inc.a | 1,374,550 | ||||||
| 18,300 | Littelfuse, Inc. | 1,700,619 | ||||||
| 95,000 | Methode Electronics, Inc. | 3,248,050 | ||||||
| 42,000 | Newport Corporationa | 758,940 | ||||||
| 113,000 | Progress Software Corporationa | 2,918,790 | ||||||
| 224,000 | ShoreTel, Inc.a | 2,078,720 | ||||||
| 330,000 | Sonus Networks, Inc.a | 1,039,500 | ||||||
| 69,000 | Synnex Corporationa | 4,650,600 | ||||||
| 81,000 | Teradyne, Inc.a | 1,427,220 | ||||||
| 35,500 | Xyratex, Ltd. | 471,795 | ||||||
| 84,000 | Zygo Corporationa | 1,241,520 | ||||||
|
| |||||||
| Total | 40,828,404 | |||||||
|
| |||||||
| Materials (9.0%) | ||||||||
| 55,200 | AMCOL International Corporation | 1,875,696 | ||||||
| 30,800 | American Vanguard Corporation | 748,132 | ||||||
| 74,000 | AptarGroup, Inc. | 5,017,940 | ||||||
| 18,700 | Carpenter Technology Corporation | 1,163,140 | ||||||
| 83,500 | Clearwater Paper Corporationa | 4,383,750 | ||||||
| 60,100 | Franco-Nevada Corporation | 2,449,262 | ||||||
| 25,500 | Haynes International, Inc. | 1,408,620 | ||||||
| 111,200 | Innospec, Inc. | 5,139,664 | ||||||
| 52,000 | Minerals Technologies, Inc. | 3,123,640 | ||||||
| 127,500 | Myers Industries, Inc. | 2,692,800 | ||||||
| 40,000 | Schnitzer Steel Industries, Inc. | 1,306,800 | ||||||
| 75,800 | Stillwater Mining Companya | 935,372 | ||||||
| 19,400 | Texas Industries, Inc.a,b | 1,334,332 | ||||||
| 223,000 | Wausau Paper Corporation | 2,827,640 | ||||||
|
| |||||||
| Total | 34,406,788 | |||||||
|
| |||||||
| Telecommunications Services (0.3%) | ||||||||
| 107,000 | Premiere Global Services, Inc.a | 1,240,130 | ||||||
|
| |||||||
| Total | 1,240,130 | |||||||
|
| |||||||
| Utilities (4.5%) | ||||||||
| 33,100 | Black Hills Corporation | 1,738,081 | ||||||
| 106,000 | Cleco Corporation | 4,941,720 | ||||||
| 71,000 | El Paso Electric Company | 2,492,810 | ||||||
| 58,500 | NorthWestern Corporation | 2,534,220 | ||||||
| 64,300 | PNM Resources, Inc. | 1,550,916 | ||||||
| 69,700 | Southwest Gas Corporation | 3,896,927 | ||||||
| 2,860 | UNS Energy Corporation | 171,171 | ||||||
|
| |||||||
| Total | 17,325,845 | |||||||
|
| |||||||
Total Common Stock (cost $219,856,912) | 374,966,633 | |||||||
|
| |||||||
Preferred Stock (0.2%) | ||||||||
| Health Care (0.2%) | ||||||||
| 46,367 | National Healthcare Corporation, Convertiblec | 672,321 | ||||||
|
| |||||||
| Total | 672,321 | |||||||
|
| |||||||
Total Preferred Stock (cost $627,545) | 672,321 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (1.7%) | ||||||||
| 6,702,600 | Thrivent Cash Management Trust | 6,702,600 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $6,702,600) | 6,702,600 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (2.1%)d | |||||||
| Thrivent Cash Management Trust | ||||||||
| 8,038,467 | 0.060% | 8,038,467 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 8,038,467 | |||||||
|
| |||||||
| Total Investments (cost $235,225,524) 101.5% | $ | 390,380,021 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (1.5%) | (5,703,864 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 384,676,157 | ||||||
|
| |||||||
| 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. |
| d | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
224
Partner Small Cap Value Portfolio
Schedule of Investments as of December 31, 2013
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 158,556,111 | ||
Gross unrealized depreciation | (5,069,123 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 153,486,988 | ||
Cost for federal income tax purposes | $ | 236,893,033 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 57,463,680 | 57,463,680 | — | — | ||||||||||||
Consumer Staples | 2,838,740 | 2,838,740 | — | — | ||||||||||||
Energy | 14,518,630 | 14,518,630 | — | — | ||||||||||||
Financials | 94,939,683 | 94,939,683 | — | — | ||||||||||||
Health Care | 13,921,239 | 13,921,239 | — | — | ||||||||||||
Industrials | 97,483,494 | 97,483,494 | — | — | ||||||||||||
Information Technology | 40,828,404 | 40,828,404 | — | — | ||||||||||||
Materials | 34,406,788 | 31,957,526 | 2,449,262 | — | ||||||||||||
Telecommunications Services | 1,240,130 | 1,240,130 | — | — | ||||||||||||
Utilities | 17,325,845 | 17,325,845 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Health Care | 672,321 | 672,321 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 6,702,600 | 6,702,600 | — | — | ||||||||||||
Short-Term Investments | 8,038,467 | 8,038,467 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 390,380,021 | $ | 387,930,759 | $ | 2,449,262 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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 December 31, 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 | 555 | ||||
Total Foreign Exchange Contracts | 555 | |||||
|
| |||||
Total | $ | 555 | ||||
|
| |||||
Partner Small Cap Value Portfolio’s average volume of derivative activity for foreign exchange contracts during the period was <0.1% of average net assets.
The accompanying Notes to Financial Statements are an integral part of this schedule.
225
Partner Small Cap Value Portfolio
Schedule of Investments as of December 31, 2013
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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 6,309,263 | $ | 74,959,940 | $ | 74,566,603 | 6,702,600 | $ | 6,702,600 | $ | 79,551 | |||||||||||||
Cash Management Trust- Short Term Investment | 8,475,149 | 21,714,472 | 22,151,154 | 8,038,467 | 8,038,467 | 6,583 | ||||||||||||||||||
Total Value and Income Earned | 14,784,412 | 14,741,067 | 86,134 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
226
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (92.5%) | Value | ||||||
| Consumer Discretionary (14.0%) |
| ||||||
| 93,300 | Cheesecake Factory, Inc. | $ | 4,503,591 | |||||
| 67,810 | GNC Holdings, Inc. | 3,963,495 | ||||||
| 244,034 | Ignite Restaurant Group, Inc.a | 3,050,425 | ||||||
| 314,031 | MDC Partners, Inc. | 8,010,931 | ||||||
| 96,900 | Meredith Corporationb | 5,019,420 | ||||||
| 159,160 | Nexstar Broadcasting Group, Inc. | 8,869,987 | ||||||
| 182,140 | Papa John’s International, Inc. | 8,269,156 | ||||||
| 121,742 | Pier 1 Imports, Inc. | 2,809,805 | ||||||
| 325,390 | Tuesday Morning Corporationa | 5,193,224 | ||||||
|
| |||||||
| Total | 49,690,034 | |||||||
|
| |||||||
| Consumer Staples (4.3%) | ||||||||
| 108,864 | Annie’s, Inc.a,b | 4,685,506 | ||||||
| 43,337 | Ingredion, Inc. | 2,966,851 | ||||||
| 325,290 | WhiteWave Foods Companya | 7,462,153 | ||||||
|
| |||||||
| Total | 15,114,510 | |||||||
|
| |||||||
| Energy (4.1%) | ||||||||
| 75,350 | Oasis Petroleum, Inc.a | 3,539,190 | ||||||
| 265,690 | Rex Energy Corporationa | 5,236,750 | ||||||
| 118,760 | Rosetta Resources, Inc.a | 5,705,230 | ||||||
|
| |||||||
| Total | 14,481,170 | |||||||
|
| |||||||
| Financials (19.6%) | ||||||||
| 42,996 | Affiliated Managers Group, Inc.a | 9,324,972 | ||||||
| 17,050 | Allied World Assurance Company Holdings AG | 1,923,411 | ||||||
| 70,700 | American Assets Trust, Inc. | 2,222,101 | ||||||
| 43,670 | Aspen Insurance Holdings, Ltd. | 1,804,008 | ||||||
| 151,500 | BBCN Bancorp, Inc. | 2,513,385 | ||||||
| 180,350 | CNO Financial Group, Inc. | 3,190,392 | ||||||
| 76,420 | Columbia Banking System, Inc. | 2,102,314 | ||||||
| 357,400 | DCT Industrial Trust, Inc. | 2,548,262 | ||||||
| 130,000 | Education Realty Trust, Inc. | 1,146,600 | ||||||
| 35,300 | Extra Space Storage, Inc. | 1,487,189 | ||||||
| 205,410 | Hanmi Financial Corporation | 4,496,425 | ||||||
| 93,800 | HCC Insurance Holdings, Inc. | 4,327,932 | ||||||
| 25,900 | iShares Russell 2000 Index Fund | 2,986,529 | ||||||
| 102,500 | Parkway Properties, Inc. | 1,977,225 | ||||||
| 89,200 | Pebblebrook Hotel Trust | 2,743,792 | ||||||
| 26,610 | SPDR S&P Biotech ETF | 3,464,622 | ||||||
| 94,100 | SVB Financial Groupa | 9,867,326 | ||||||
| 145,150 | Terreno Realty Corporation | 2,569,155 | ||||||
| 75,460 | Texas Capital Bancshares, Inc.a | 4,693,612 | ||||||
| 133,193 | Zions Bancorporation | 3,990,462 | ||||||
|
| |||||||
| Total | 69,379,714 | |||||||
|
| |||||||
| Health Care (7.7%) | ||||||||
| 240,900 | Akorn, Inc.a | 5,933,367 | ||||||
| 78,200 | Align Technology, Inc.a | 4,469,130 | ||||||
| 400,500 | BioScrip, Inc.a | 2,963,700 | ||||||
| 224,382 | ExamWorks Group, Inc.a,b | 6,702,290 | ||||||
| 126,900 | Neurocrine Biosciences, Inc.a | 1,185,246 | ||||||
| 187,960 | NuVasive, Inc.a | 6,076,747 | ||||||
|
| |||||||
| Total | 27,330,480 | |||||||
|
| |||||||
| Industrials (19.8%) | ||||||||
| 85,230 | Actuant Corporation | 3,122,827 | ||||||
| 50,300 | Acuity Brands, Inc. | 5,498,796 | ||||||
| 85,080 | Apogee Enterprises, Inc. | 3,055,223 | ||||||
| 74,780 | CLARCOR, Inc. | 4,812,093 | ||||||
| 188,500 | DigitalGlobe, Inc.a | 7,756,775 | ||||||
| 233,904 | EMCOR Group, Inc. | 9,926,886 | ||||||
| 59,410 | GATX Corporation | 3,099,420 | ||||||
| 137,100 | HNI Corporation | 5,323,593 | ||||||
| 209,100 | Korn/Ferry Internationala | 5,461,692 | ||||||
| 110,900 | Landstar System, Inc. | 6,371,205 | ||||||
| 93,800 | Manpower, Inc. | 8,053,668 | ||||||
| 159,000 | Ritchie Brothers Auctioneers, Inc.b | 3,645,870 | ||||||
| 60,160 | Tennant Company | 4,079,449 | ||||||
|
| |||||||
| Total | 70,207,497 | |||||||
|
| |||||||
| Information Technology (12.5%) | ||||||||
| 390,500 | Atmel Corporationa | 3,057,615 | ||||||
| 88,220 | Broadridge Financial Solutions, Inc. | 3,486,454 | ||||||
| 151,692 | E2open, Inc.a,b | 3,626,956 | ||||||
| 114,500 | Guidewire Software, Inc.a | 5,618,515 | ||||||
| 158,240 | Informatica Corporationa | 6,566,960 | ||||||
| 102,945 | Plantronics, Inc. | 4,781,795 | ||||||
| 195,720 | Teradyne, Inc.a | 3,448,587 | ||||||
| 89,600 | Ubiquiti Networks, Inc.a,b | 4,118,016 | ||||||
| 144,982 | Virtusa Corporationa | 5,522,364 | ||||||
| 319,400 | Vishay Intertechnology, Inc.a | 4,235,244 | ||||||
|
| |||||||
| Total | 44,462,506 | |||||||
|
| |||||||
| Materials (5.7%) | ||||||||
| 43,700 | Eagle Materials, Inc. | 3,383,691 | ||||||
| 160,560 | H.B. Fuller Company | 8,355,543 | ||||||
| 150,920 | Materials Select Sector SPDR Fund | 6,975,522 | ||||||
| 30,100 | Schweitzer-Mauduit International, Inc. | 1,549,247 | ||||||
|
| |||||||
| Total | 20,264,003 | |||||||
|
| |||||||
| Telecommunications Services (0.7%) | ||||||||
| 61,957 | Cogent Communications Group, Inc. | 2,503,682 | ||||||
|
| |||||||
| Total | 2,503,682 | |||||||
|
| |||||||
| Utilities (4.1%) | ||||||||
| 100,040 | NorthWestern Corporation | 4,333,733 | ||||||
| 191,150 | PNM Resources, Inc. | 4,610,538 | ||||||
| 98,487 | Southwest Gas Corporation | 5,506,408 | ||||||
|
| |||||||
| Total | 14,450,679 | |||||||
|
| |||||||
Total Common Stock (cost $249,552,373) | 327,884,275 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (7.1%) | ||||||||
| 25,019,444 | Thrivent Cash Management Trust | 25,019,444 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $25,019,444) | 25,019,444 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (7.5%)c | |||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 1,000,000 | 0.120%, 5/28/2014d | 999,510 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
227
Small Cap Stock Portfolio
Schedule of Investments as of December 31, 2012
| Shares or Principal Amount | Short-Term Investments (7.5%)c | Value | ||||||
| Thrivent Cash Management Trust | ||||||||
| 25,721,345 | 0.060% | $ | 25,721,345 | |||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 26,720,855 | |||||||
|
| |||||||
| Total Investments (cost $301,292,672) 107.1% | $ | 379,624,574 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (7.1%) | (25,050,928 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 354,573,646 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| d | At December 31, 2013, $999,510 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 | $ | 81,834,085 | ||
Gross unrealized depreciation | (3,491,241 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 78,342,844 | ||
Cost for federal income tax purposes | $ | 301,281,730 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 49,690,034 | 49,690,034 | — | — | ||||||||||||
Consumer Staples | 15,114,510 | 15,114,510 | — | — | ||||||||||||
Energy | 14,481,170 | 14,481,170 | — | — | ||||||||||||
Financials | 69,379,714 | 69,379,714 | — | — | ||||||||||||
Health Care | 27,330,480 | 27,330,480 | — | — | ||||||||||||
Industrials | 70,207,497 | 70,207,497 | — | — | ||||||||||||
Information Technology | 44,462,506 | 44,462,506 | — | — | ||||||||||||
Materials | 20,264,003 | 20,264,003 | — | — | ||||||||||||
Telecommunications Services | 2,503,682 | 2,503,682 | — | — | ||||||||||||
Utilities | 14,450,679 | 14,450,679 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 25,019,444 | 25,019,444 | — | — | ||||||||||||
Short-Term Investments | 26,720,855 | 25,721,345 | 999,510 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 379,624,574 | $ | 378,625,064 | $ | 999,510 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 1,194,990 | 1,194,990 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 1,194,990 | $ | 1,194,990 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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 | 189 | March 2014 | $ | 20,755,470 | $ | 21,950,460 | $ | 1,194,990 | ||||||||||||
Total Futures Contracts | $ | 1,194,990 | ||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
228
Small Cap Stock Portfolio
Schedule of Investments as of December 31, 2013
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | $ | 1,194,990 | |||
| Total Equity Contracts | 1,194,990 | |||||
|
| |||||
Total Asset Derivatives | $ | 1,194,990 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | 7,942,327 | ||||
| Total Equity Contracts | 7,942,327 | |||||
Foreign Exchange Contracts | ||||||
| Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (8,448 | ) | |||
Total Foreign Exchange | (8,448 | ) | ||||
|
| |||||
Total | $ | 7,933,879 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | 1,151,339 | ||||
Total Equity Contracts | 1,151,339 | |||||
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 | $ | 1,153,100 | ||||
|
| |||||
The following table presents Small Cap Stock Portfolio’s average volume of derivative activity during the period ended December 31, 2013.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | Forwards (Notional)* | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 26,930,738 | 8.7 | % | N/A | N/A | ||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 34,899 | < 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.
229
Small Cap Stock Portfolio
Schedule of Investments as of December 31, 2013
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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 14,564,224 | $ | 128,045,439 | $ | 117,590,219 | 25,019,444 | $ | 25,019,444 | $ | 107,975 | |||||||||||||
Cash Management Trust- Short Term Investment | 37,664,178 | 84,402,594 | 96,345,427 | 25,721,345 | 25,721,345 | 27,828 | ||||||||||||||||||
Total Value and Income Earned | 52,228,402 | 50,740,789 | 135,803 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
230
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (96.5%) | Value | ||||||
| Consumer Discretionary (15.6%) |
| ||||||
| 28,700 | Aeropostale, Inc.a,b | $ | 260,883 | |||||
| 6,400 | American Public Education, Inc.b | 278,208 | ||||||
| 4,900 | Arctic Cat, Inc. | 279,202 | ||||||
| 13,600 | Barnes & Noble, Inc.b | 203,320 | ||||||
| 6,500 | Big 5 Sporting Goods Corporation | 128,830 | ||||||
| 515 | Biglari Holdings, Inc.b | 260,920 | ||||||
| 9,100 | BJ’s Restaurants, Inc.b | 282,646 | ||||||
| 4,700 | Blue Nile, Inc.a,b | 221,323 | ||||||
| 3,100 | Blyth, Inc.a | 33,728 | ||||||
| 27,500 | Boyd Gaming Corporationa,b | 309,650 | ||||||
| 14,925 | Brown Shoe Company, Inc. | 419,989 | ||||||
| 10,250 | Buckle, Inc.a | 538,740 | ||||||
| 6,900 | Buffalo Wild Wings, Inc.b | 1,015,680 | ||||||
| 27,200 | Callaway Golf Companya | 229,296 | ||||||
| 4,100 | Capella Education Companya | 272,404 | ||||||
| 21,100 | Career Education Corporationb | 120,270 | ||||||
| 9,800 | Cato Corporation | 311,640 | ||||||
| 6,025 | CEC Entertainment, Inc. | 266,787 | ||||||
| 8,100 | Children’s Place Retail Stores, Inc.b | 461,457 | ||||||
| 13,325 | Christopher & Banks Corporationb | 113,795 | ||||||
| 10,100 | Coinstar, Inc.a,b | 679,427 | ||||||
| 8,700 | Cracker Barrel Old Country Store, Inc. | 957,609 | ||||||
| 32,300 | Crocs, Inc.b | 514,216 | ||||||
| 7,800 | Digital Generation, Inc.a,b | 99,450 | ||||||
| 5,900 | DineEquity, Inc. | 492,945 | ||||||
| 11,100 | Dorman Products, Inc.b | 622,377 | ||||||
| 8,000 | Drew Industries, Inc. | 409,600 | ||||||
| 10,933 | E.W. Scripps Companyb | 237,465 | ||||||
| 9,550 | Ethan Allen Interiors, Inc. | 290,511 | ||||||
| 44,800 | Fifth & Pacific Companies, Inc.b | 1,436,736 | ||||||
| 17,893 | Finish Line, Inc. | 504,046 | ||||||
| 15,300 | Francesca’s Holdings Corporationa,b | 281,673 | ||||||
| 12,450 | Fred’s, Inc. | 230,574 | ||||||
| 6,740 | FTD Companies, Inc.b | 219,589 | ||||||
| 8,800 | Genesco, Inc.b | 642,928 | ||||||
| 6,100 | G-III Apparel Group, Ltd.b | 450,119 | ||||||
| 7,700 | Group 1 Automotive, Inc. | 546,854 | ||||||
| 15,900 | Harte-Hanks, Inc. | 124,338 | ||||||
| 7,300 | Haverty Furniture Companies, Inc. | 228,490 | ||||||
| 11,000 | Helen of Troy, Ltd.b | 544,610 | ||||||
| 9,450 | Hibbett Sports, Inc.a,b | 635,135 | ||||||
| 22,900 | Hillenbrand, Inc. | 673,718 | ||||||
| 18,800 | Iconix Brand Group, Inc.a,b | 746,360 | ||||||
| 14,500 | Interval Leisure Group, Inc. | 448,050 | ||||||
| 10,500 | iRobot Corporationb | 365,085 | ||||||
| 6,600 | ITT Educational Services, Inc.a,b | 221,628 | ||||||
| 15,600 | Jack in the Box, Inc.b | 780,312 | ||||||
| 6,253 | JAKKS Pacific, Inc.a | 42,083 | ||||||
| 10,262 | Joseph A. Bank Clothiers, Inc.b | 561,639 | ||||||
| 5,500 | Kirkland’s, Inc.b | 130,185 | ||||||
| 19,100 | La-Z-Boy, Inc. | 592,100 | ||||||
| 8,200 | Lithia Motors, Inc. | 569,244 | ||||||
| 51,718 | Live Nation Entertainment, Inc.b | 1,021,948 | ||||||
| 10,100 | Lumber Liquidators Holdings, Inc.b | 1,039,189 | ||||||
| 8,800 | M/I Homes, Inc.b | 223,960 | ||||||
| 6,600 | Marcus Corporation | 88,704 | ||||||
| 9,000 | MarineMax, Inc.b | 144,720 | ||||||
| 11,100 | Marriott Vacations Worldwide Corporationb | 585,636 | ||||||
| 16,600 | Men’s Wearhouse, Inc. | 847,928 | ||||||
| 12,400 | Meritage Homes Corporationb | 595,076 | ||||||
| 3,500 | Monarch Casino & Resort, Inc.b | 70,280 | ||||||
| 10,850 | Monro Muffler Brake, Inc.a | 611,506 | ||||||
| 6,600 | Movado Group, Inc. | 290,466 | ||||||
| 10,800 | Multimedia Games Holding Company, Inc.b | 338,688 | ||||||
| 10,500 | NutriSystem, Inc. | 172,620 | ||||||
| 5,300 | Oxford Industries, Inc. | 427,551 | ||||||
| 11,800 | Papa John’s International, Inc. | 535,720 | ||||||
| 19,300 | Pep Boys - Manny, Moe & Jackb | 234,302 | ||||||
| 4,500 | Perry Ellis International, Inc.b | 71,055 | ||||||
| 7,400 | PetMed Express, Inc. | 123,062 | ||||||
| 21,600 | Pinnacle Entertainment, Inc.b | 561,384 | ||||||
| 16,812 | Pool Corporation | 977,450 | ||||||
| 46,700 | Quiksilver, Inc.b | 409,559 | ||||||
| 4,800 | Red Robin Gourmet Burgers, Inc.b | 352,992 | ||||||
| 15,900 | Regis Corporation | 230,709 | ||||||
| 21,000 | Ruby Tuesday, Inc.b | 145,530 | ||||||
| 13,000 | Ruth’s Hospitality Group, Inc. | 184,730 | ||||||
| 16,800 | Ryland Group, Inc. | 729,288 | ||||||
| 9,400 | Scholastic Corporation | 319,694 | ||||||
| 20,200 | Select Comfort Corporationb | 426,018 | ||||||
| 14,500 | Skechers USA, Inc.b | 480,385 | ||||||
| 12,500 | Sonic Automotive, Inc. | 306,000 | ||||||
| 19,052 | Sonic Corporationb | 384,660 | ||||||
| 12,400 | Spartan Motors, Inc. | 83,080 | ||||||
| 11,600 | Stage Stores, Inc. | 257,752 | ||||||
| 5,400 | Stamps.com, Inc.b | 227,340 | ||||||
| 7,500 | Standard Motor Products, Inc. | 276,000 | ||||||
| 54,700 | Standard Pacific Corporationb | 495,035 | ||||||
| 10,200 | Stein Mart, Inc. | 137,190 | ||||||
| 21,575 | Steven Madden, Ltd.b | 789,429 | ||||||
| 4,000 | Strayer Education, Inc.a,b | 137,880 | ||||||
| 7,000 | Sturm, Ruger & Company, Inc.a | 511,630 | ||||||
| 8,500 | Superior Industries International, Inc. | 175,355 | ||||||
| 21,900 | Texas Roadhouse, Inc. | 608,820 | ||||||
| 13,500 | Tuesday Morning Corporationb | 215,460 | ||||||
| 5,700 | Universal Electronic, Inc.b | 217,227 | ||||||
| 7,700 | Universal Technical Institute, Inc. | 107,107 | ||||||
| 11,100 | Vitamin Shoppe, Inc.b | 577,311 | ||||||
| 7,200 | VOXX International Corporationb | 120,240 | ||||||
| 10,200 | Winnebago Industries, Inc.b | 279,990 | ||||||
| 36,700 | Wolverine World Wide, Inc. | 1,246,332 | ||||||
| 12,000 | Zale Corporationb | 189,240 | ||||||
| 8,000 | Zumiez, Inc.b | 208,000 | ||||||
|
| |||||||
| Total | 41,079,092 | |||||||
|
| |||||||
| Consumer Staples (3.6%) | |||||||
| 29,800 | Alliance One International, Inc.b | 90,890 | ||||||
| 6,400 | Andersons, Inc. | 570,688 | ||||||
| 6,150 | Annie’s, Inc.a,b | 264,696 | ||||||
| 19,500 | B&G Foods, Inc. | 661,245 | ||||||
| 3,200 | Boston Beer Company, Inc.a,b | 773,728 | ||||||
| 4,700 | Calavo Growers, Inc.a | 142,222 | ||||||
| 5,400 | Cal-Maine Foods, Inc. | 325,242 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
231
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (96.5%) | Value | ||||||
| Consumer Staples (3.6%) - continued |
| ||||||
| 14,000 | Casey’s General Stores, Inc. | $ | 983,500 | |||||
| 15,300 | Central Garden & Pet Companyb | 103,275 | ||||||
| 57,750 | Darling International, Inc.b | 1,205,820 | ||||||
| 7,500 | Diamond Foods, Inc.a,b | 193,800 | ||||||
| 6,100 | Inter Parfums, Inc. | 218,441 | ||||||
| 5,400 | J & J Snack Foods Corporation | 478,386 | ||||||
| 4,600 | Medifast, Inc.b | 120,198 | ||||||
| 18,900 | Prestige Brands Holdings, Inc.b | 676,620 | ||||||
| 7,400 | Sanderson Farms, Inc. | 535,242 | ||||||
| 2,600 | Seneca Foods Corporationb | 82,914 | ||||||
| 17,800 | Snyders-Lance, Inc. | 511,216 | ||||||
| 13,400 | Spartan Stores, Inc. | 325,352 | ||||||
| 13,300 | TreeHouse Foods, Inc.b | 916,636 | ||||||
| 5,270 | WD-40 Company | 393,564 | ||||||
|
| |||||||
| Total | 9,573,675 | |||||||
|
| |||||||
| Energy (4.0%) | |||||||
| 12,800 | Approach Resources, Inc.a,b | 246,912 | ||||||
| 77,400 | Arch Coal, Inc.a | 344,430 | ||||||
| 9,700 | Basic Energy Services, Inc.b | 153,066 | ||||||
| 13,400 | Bristow Group, Inc. | 1,005,804 | ||||||
| 16,500 | C&J Energy Services, Inc.a,b | 381,150 | ||||||
| 15,100 | Carrizo Oil & Gas, Inc.b | 676,027 | ||||||
| 22,300 | Cloud Peak Energy, Inc.b | 401,400 | ||||||
| 16,200 | Comstock Resources, Inc. | 296,298 | ||||||
| 5,700 | Contango Oil & Gas Companyb | 269,382 | ||||||
| 6,850 | Era Group, Inc.b | 211,391 | ||||||
| 21,400 | Exterran Holdings, Inc.b | 731,880 | ||||||
| 43,700 | Forest Oil Corporationb | 157,757 | ||||||
| 4,700 | Geospace Technologies Corporationb | 445,701 | ||||||
| 8,400 | Green Plains Renewable Energy, Inc. | 162,876 | ||||||
| 4,500 | Gulf Island Fabrication, Inc. | 104,490 | ||||||
| 11,800 | Hornbeck Offshore Services, Inc.b | 580,914 | ||||||
| 44,800 | ION Geophysical Corporationa,b | 147,840 | ||||||
| 9,500 | Matrix Service Companyb | 232,465 | ||||||
| 31,900 | Newpark Resources, Inc.b | 392,051 | ||||||
| 20,700 | Northern Oil and Gas, Inc.a,b | 311,949 | ||||||
| 13,000 | PDC Energy, Inc.b | 691,860 | ||||||
| 19,300 | Penn Virginia Corporationa,b | 181,999 | ||||||
| 20,700 | PetroQuest Energy, Inc.b | 89,424 | ||||||
| 22,800 | Pioneer Energy Services Corporationb | 182,628 | ||||||
| 6,850 | SEACOR Holdings, Inc.b | 624,720 | ||||||
| 18,200 | Stone Energy Corporationb | 629,538 | ||||||
| 15,800 | Swift Energy Companya,b | 213,300 | ||||||
| 11,400 | Tesco Corporationb | 225,492 | ||||||
| 28,850 | Tetra Technologies, Inc.b | 356,586 | ||||||
|
| |||||||
| Total | 10,449,330 | |||||||
|
| |||||||
| Financials (20.8%) | |||||||
| 20,228 | Acadia Realty Trust | 502,261 | ||||||
| 5,400 | Agree Realty Corporation | 156,708 | ||||||
| 12,600 | American Assets Trust, Inc. | 396,018 | ||||||
| 6,700 | Amerisafe, Inc. | 283,008 | ||||||
| 21,100 | Associated Estates Realty Corporation | 338,655 | ||||||
| 15,700 | Bank Mutual Corporation | 110,057 | ||||||
| 11,800 | Bank of the Ozarks, Inc. | 667,762 | ||||||
| 7,100 | Banner Corporation | 318,222 | ||||||
| 29,000 | BBCN Bancorp, Inc. | 481,110 | ||||||
| 4,400 | Bofi Holding, Inc.b | 345,092 | ||||||
| 29,100 | Boston Private Financial Holdings, Inc. | 367,242 | ||||||
| 25,700 | Brookline Bancorp, Inc. | 245,949 | ||||||
| 7,000 | Calamos Asset Management, Inc. | �� | 82,880 | |||||
| 34,900 | Capstead Mortgage Corporation | 421,592 | ||||||
| 11,100 | Cardinal Financial Corporation | 199,800 | ||||||
| 10,300 | Cash America International, Inc. | 394,490 | ||||||
| 22,600 | Cedar Realty Trust, Inc. | 141,476 | ||||||
| 5,700 | City Holding Company | 264,081 | ||||||
| 18,700 | Columbia Banking System, Inc. | 514,437 | ||||||
| 14,700 | Community Bank System, Inc. | 583,296 | ||||||
| 7,800 | Coresite Realty Corporation | 251,082 | ||||||
| 64,500 | Cousins Properties, Inc. | 664,350 | ||||||
| 34,200 | CVB Financial Corporation | 583,794 | ||||||
| 71,367 | DiamondRock Hospitality Company | 824,289 | ||||||
| 10,675 | Dime Community Bancshares, Inc. | 180,621 | ||||||
| 11,200 | EastGroup Properties, Inc. | 648,816 | ||||||
| 6,800 | eHealth, Inc.b | 316,132 | ||||||
| 11,400 | Employers Holdings, Inc. | 360,810 | ||||||
| 8,500 | Encore Capital Group, Inc.b | 427,210 | ||||||
| 18,900 | EPR Properties | 929,124 | ||||||
| 12,000 | Evercore Partners, Inc. | 717,360 | ||||||
| 19,900 | EZCORP, Inc.b | 232,631 | ||||||
| 58,000 | F.N.B. Corporation | 731,960 | ||||||
| 18,400 | Financial Engines, Inc.a | 1,278,432 | ||||||
| 36,273 | First Bancorpb | 224,530 | ||||||
| 10,600 | First Cash Financial Services, Inc.b | 655,504 | ||||||
| 34,900 | First Commonwealth Financial Corporation | 307,818 | ||||||
| 21,100 | First Financial Bancorp | 367,773 | ||||||
| 11,050 | First Financial Bankshares, Inc.a | 732,836 | ||||||
| 27,412 | First Midwest Bancorp, Inc. | 480,532 | ||||||
| 12,700 | Forestar Real Estate Group, Inc.b | 270,129 | ||||||
| 31,900 | Franklin Street Properties Corporation | 381,205 | ||||||
| 13,150 | FXCM, Inc.a | 234,596 | ||||||
| 26,296 | Geo Group, Inc. REIT | 847,257 | ||||||
| 9,700 | Getty Realty Corporation | 178,189 | ||||||
| 27,100 | Glacier Bancorp, Inc. | 807,309 | ||||||
| 19,900 | Government Properties Income Trust | 494,515 | ||||||
| 7,900 | Green Dot Corporationb | 198,685 | ||||||
| 11,562 | Hanmi Financial Corporation | 253,092 | ||||||
| 3,650 | HCI Group, Inc.a | 195,275 | ||||||
| 35,000 | Healthcare Realty Trust, Inc. | 745,850 | ||||||
| 12,100 | HFF, Inc.b | 324,885 | ||||||
| 17,390 | Home Bancshares, Inc. | 649,517 | ||||||
| 14,800 | Horace Mann Educators Corporation | 466,792 | ||||||
| 8,400 | Independent Bank Corporation | 329,196 | ||||||
| 4,200 | Infinity Property & Casualty Corporation | 301,350 | ||||||
| 30,600 | Inland Real Estate Corporation | 321,912 | ||||||
| 18,300 | Interactive Brokers Group, Inc. | 445,422 | ||||||
| 13,300 | Investment Technology Group, Inc.b | 273,448 | ||||||
| 47,700 | Kite Realty Group Trust | 313,389 | ||||||
| 37,900 | LaSalle Hotel Properties | 1,169,594 | ||||||
| 74,159 | Lexington Realty Trust | 757,163 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
232
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (96.5%) | Value | ||||||
| Financials (20.8%) - continued |
| ||||||
| 12,700 | LTC Properties, Inc. | $ | 449,453 | |||||
| 13,700 | MarketAxess Holdings, Inc. | 916,119 | ||||||
| 20,000 | MB Financial, Inc. | 641,800 | ||||||
| 16,874 | Meadowbrook Insurance Group, Inc. | 117,443 | ||||||
| 59,000 | Medical Properties Trust, Inc. | 720,980 | ||||||
| 42,600 | National Penn Bancshares, Inc. | 482,658 | ||||||
| 3,900 | Navigators Group, Inc.b | 246,324 | ||||||
| 15,800 | NBT Bancorp, Inc. | 409,220 | ||||||
| 34,400 | Northwest Bancshares, Inc. | 508,432 | ||||||
| 36,700 | Old National Bancorp | 564,079 | ||||||
| 14,400 | Oritani Financial Corporation | 231,120 | ||||||
| 14,100 | PacWest Bancorpa | 595,302 | ||||||
| 22,100 | Parkway Properties, Inc. | 426,309 | ||||||
| 24,900 | Pennsylvania Real Estate Investment Trust | 472,602 | ||||||
| 12,000 | Pinnacle Financial Partners, Inc. | 390,360 | ||||||
| 5,800 | Piper Jaffray Companiesb | 229,390 | ||||||
| 18,200 | Portfolio Recovery Associates, Inc.a,b | 961,688 | ||||||
| 19,800 | Post Properties, Inc. | 895,554 | ||||||
| 23,800 | PrivateBancorp, Inc. | 688,534 | ||||||
| 22,500 | ProAssurance Corporation | 1,090,800 | ||||||
| 104,882 | Prospect Capital Corporation | 1,176,776 | ||||||
| 19,400 | Provident Financial Services, Inc. | 374,808 | ||||||
| 7,300 | PS Business Parks, Inc. | 557,866 | ||||||
| 6,200 | RLI Corporation | 603,756 | ||||||
| 10,900 | S&T Bancorp, Inc. | 275,879 | ||||||
| 13,800 | Sabra Healthcare REIT, Inc. | 360,732 | ||||||
| 4,700 | Safety Insurance Group, Inc. | 264,610 | ||||||
| 4,600 | Saul Centers, Inc. | 219,558 | ||||||
| 20,400 | Selective Insurance Group, Inc. | 552,024 | ||||||
| 5,900 | Simmons First National Corporation | 219,185 | ||||||
| 11,700 | Sovran Self Storage, Inc. | 762,489 | ||||||
| 28,799 | Sterling Bancorp | 385,043 | ||||||
| 7,600 | Stewart Information Services Corporation | 245,252 | ||||||
| 21,550 | Stifel Financial Corporationb | 1,032,676 | ||||||
| 68,400 | Susquehanna Bancshares, Inc. | 878,256 | ||||||
| 10,626 | SWS Group, Inc.b | 64,606 | ||||||
| 34,500 | Tanger Factory Outlet Centers, Inc. | 1,104,690 | ||||||
| 5,500 | Taylor Capital Group, Inc.b | 146,190 | ||||||
| 15,000 | Texas Capital Bancshares, Inc.b | 933,000 | ||||||
| 4,240 | Tompkins Financial Corporation | 217,894 | ||||||
| 14,289 | Tower Group International, Ltd. | 48,297 | ||||||
| 34,382 | Trustco Bank Corporation NY | 246,863 | ||||||
| 13,700 | UMB Financial Corporation | 880,636 | ||||||
| 40,900 | Umpqua Holdings Corporationa | 782,826 | ||||||
| 16,700 | United Bankshares, Inc.a | 525,215 | ||||||
| 14,075 | United Community Banks, Inc.b | 249,831 | ||||||
| 7,900 | United Fire Group, Inc. | 226,414 | ||||||
| 4,600 | Universal Health Realty Income Trust | 184,276 | ||||||
| 9,300 | Urstadt Biddle Properties, Inc. | 171,585 | ||||||
| 13,100 | ViewPoint Financial Group, Inc. | 359,595 | ||||||
| 2,500 | Virtus Investment Partners, Inc.b | 500,125 | ||||||
| 24,800 | Wilshire Bancorp, Inc. | 271,064 | ||||||
| 14,600 | Wintrust Financial Corporation | 673,352 | ||||||
| 4,012 | World Acceptance Corporationa,b | 351,170 | ||||||
|
| |||||||
| Total | 54,573,216 | |||||||
|
| |||||||
| Health Care (11.0%) | |||||||
| 7,600 | Abaxis, Inc.b | 304,152 | ||||||
| 12,800 | Abiomed, Inc.a,b | 342,272 | ||||||
| 15,100 | Acorda Therapeutics, Inc.b | 440,920 | ||||||
| 26,200 | Affymetrix, Inc.a,b | 224,534 | ||||||
| 12,800 | Air Methods Corporationb | 746,624 | ||||||
| 26,000 | Akorn, Inc.b | 640,380 | ||||||
| 25,800 | Align Technology, Inc.b | 1,474,470 | ||||||
| 3,100 | Almost Family, Inc.b | 100,223 | ||||||
| 11,833 | Amedisys, Inc.b | 173,117 | ||||||
| 16,800 | AMN Healthcare Services, Inc.b | 246,960 | ||||||
| 11,750 | AmSurg Corporationb | 539,560 | ||||||
| 4,500 | Analogic Corporation | 398,520 | ||||||
| 4,200 | Anika Therapeutics, Inc.b | 160,272 | ||||||
| 19,900 | ArQule, Inc.b | 42,785 | ||||||
| 9,000 | Bio-Reference Laboratories, Inc.a,b | 229,860 | ||||||
| 11,000 | Cambrex Corporationb | 196,130 | ||||||
| 12,175 | Cantel Medical Corporation | 412,854 | ||||||
| 20,000 | Centene Corporationb | 1,179,000 | ||||||
| 6,400 | Chemed Corporationa | 490,368 | ||||||
| 3,800 | Computer Programs and Systems, Inc. | 234,878 | ||||||
| 10,050 | CONMED Corporation | 427,125 | ||||||
| 4,200 | Corvel Corporationb | 196,140 | ||||||
| 9,900 | Cross Country Healthcare, Inc.b | 98,802 | ||||||
| 9,150 | CryoLife, Inc. | 101,473 | ||||||
| 9,000 | Cyberonics, Inc.b | 589,590 | ||||||
| 7,100 | Cynosure, Inc.b | 189,428 | ||||||
| 10,500 | Emergent Biosolutions, Inc.b | 241,395 | ||||||
| 7,200 | Ensign Group, Inc. | 318,744 | ||||||
| 10,400 | Gentiva Health Services, Inc.b | 129,064 | ||||||
| 8,800 | Greatbatch, Inc.b | 389,312 | ||||||
| 18,800 | Haemonetics Corporationb | 792,044 | ||||||
| 12,600 | Hanger, Inc.b | 495,684 | ||||||
| 7,500 | HealthStream, Inc.b | 245,775 | ||||||
| 12,800 | Healthways, Inc.b | 196,480 | ||||||
| 4,100 | Hi-Tech Pharmacal Companyb | 177,899 | ||||||
| 4,800 | ICU Medical, Inc.b | 305,808 | ||||||
| 23,600 | Impax Laboratories, Inc.b | 593,304 | ||||||
| 8,600 | Integra LifeSciences Holdings Corporationb | 410,306 | ||||||
| 10,500 | Invacare Corporation | 243,705 | ||||||
| 6,200 | IPC The Hospitalist Company, Inc.b | 368,218 | ||||||
| 19,700 | Kindred Healthcare, Inc. | 388,878 | ||||||
| 3,500 | Landauer, Inc. | 184,135 | ||||||
| 4,500 | LHC Group, Inc.b | 108,180 | ||||||
| 7,400 | Ligand Pharmaceuticals, Inc.b | 389,240 | ||||||
| 13,500 | Luminex Corporationb | 261,900 | ||||||
| 9,900 | Magellan Health Services, Inc.b | 593,109 | ||||||
| 23,300 | Medicines Companyb | 899,846 | ||||||
| 18,400 | Medidata Solutions, Inc.b | 1,114,488 | ||||||
| 15,100 | Meridian Bioscience, Inc.a | 400,603 | ||||||
| 14,775 | Merit Medical Systems, Inc.b | 232,559 | ||||||
| 10,400 | Molina Healthcare, Inc.b | 361,400 | ||||||
| 16,800 | Momenta Pharmaceuticals, Inc.b | 297,024 | ||||||
| 4,700 | MWI Veterinary Supply, Inc.b | 801,773 | ||||||
| 10,100 | Natus Medical, Inc.b | 227,250 | ||||||
| 13,325 | Neogen Corporationb | 608,953 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
233
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (96.5%) | Value | ||||||
| Health Care (11.0%) - continued |
| ||||||
| 16,300 | NuVasive, Inc.b | $ | 526,979 | |||||
| 13,000 | Omnicell, Inc.b | 331,890 | ||||||
| 20,700 | PAREXEL International Corporationb | 935,226 | ||||||
| 10,700 | PharMerica Corporationb | 230,050 | ||||||
| 16,000 | Quality Systems, Inc. | 336,960 | ||||||
| 20,400 | Questcor Pharmaceuticals, Inc.a | 1,110,780 | ||||||
| 22,300 | Santarus, Inc.b | 712,708 | ||||||
| 19,600 | Spectrum Pharmaceuticals, Inc.a,b | 173,460 | ||||||
| 5,200 | SurModics, Inc.b | 126,828 | ||||||
| 13,600 | Symmetry Medical, Inc.b | 137,088 | ||||||
| 23,900 | Viropharma, Inc.b | 1,191,415 | ||||||
| 25,500 | West Pharmaceutical Services, Inc. | 1,251,030 | ||||||
|
| |||||||
| Total | 29,021,927 | |||||||
|
| |||||||
| Industrials (14.2%) | |||||||
| 10,175 | AAON, Inc. | 325,091 | ||||||
| 14,400 | AAR Corporation | 403,344 | ||||||
| 18,700 | ABM Industries, Inc. | 534,633 | ||||||
| 26,700 | Actuant Corporation | 978,288 | ||||||
| 14,100 | Aegion Corporationb | 308,649 | ||||||
| 7,200 | Aerovironment, Inc.b | 209,736 | ||||||
| 10,300 | Albany International Corporation | 370,079 | ||||||
| 5,400 | Allegiant Travel Company | 569,376 | ||||||
| 2,900 | American Science & Engineering, Inc. | 208,539 | ||||||
| 4,400 | American Woodmark Corporationb | 173,932 | ||||||
| 10,500 | Apogee Enterprises, Inc. | 377,055 | ||||||
| 15,350 | Applied Industrial Technologies, Inc. | 753,531 | ||||||
| 8,800 | Arkansas Best Corporation | 296,384 | ||||||
| 6,800 | Astec Industries, Inc. | 262,684 | ||||||
| 9,200 | Atlas Air Worldwide Holdings, Inc.b | 378,580 | ||||||
| 9,300 | AZZ, Inc. | 454,398 | ||||||
| 16,700 | Barnes Group, Inc. | 639,777 | ||||||
| 17,200 | Brady Corporation | 531,996 | ||||||
| 17,400 | Briggs & Stratton Corporation | 378,624 | ||||||
| 5,200 | CDI Corporation | 96,356 | ||||||
| 6,400 | Circor International, Inc. | 516,992 | ||||||
| 13,600 | Comfort Systems USA, Inc. | 263,704 | ||||||
| 3,000 | Consolidated Graphics, Inc.b | 202,320 | ||||||
| 7,600 | Cubic Corporation | 400,216 | ||||||
| 17,300 | Curtiss-Wright Corporation | 1,076,579 | ||||||
| 3,800 | DXP Enterprises, Inc.b | 437,760 | ||||||
| 12,300 | Dycom Industries, Inc.b | 341,817 | ||||||
| 24,500 | EMCOR Group, Inc. | 1,039,780 | ||||||
| 6,800 | Encore Wire Corporation | 368,560 | ||||||
| 17,300 | EnerSys, Inc. | 1,212,557 | ||||||
| 6,202 | Engility Holdings, Inc.b | 207,147 | ||||||
| 7,700 | EnPro Industries, Inc.b | 443,905 | ||||||
| 9,700 | ESCO Technologies, Inc. | 332,322 | ||||||
| 4,800 | Exponent, Inc. | 371,712 | ||||||
| 22,900 | Federal Signal Corporationb | 335,485 | ||||||
| 11,100 | Forward Air Corporation | 487,401 | ||||||
| 14,300 | Franklin Electric Company, Inc. | 638,352 | ||||||
| 7,200 | G & K Services, Inc. | 448,056 | ||||||
| 22,300 | GenCorp, Inc.a,b | 401,846 | ||||||
| 10,500 | Gibraltar Industries, Inc.b | 195,195 | ||||||
| 16,130 | Griffon Corporation | 213,077 | ||||||
| 25,537 | Healthcare Services Group, Inc.a | 724,485 | ||||||
| 17,648 | Heartland Express, Inc. | 346,254 | ||||||
| 5,900 | Heidrick & Struggles International, Inc. | 118,826 | ||||||
| 12,800 | Hub Group, Inc.b | 510,464 | ||||||
| 19,800 | II-VI, Inc.b | 348,480 | ||||||
| 8,300 | Insperity, Inc. | 299,879 | ||||||
| 21,300 | Interface, Inc. | 467,748 | ||||||
| 10,000 | John Bean Technologies Corporation | 293,300 | ||||||
| 9,900 | Kaman Corporation | 393,327 | ||||||
| 10,000 | Kelly Services, Inc. | 249,400 | ||||||
| 21,950 | Knight Transportation, Inc. | 402,563 | ||||||
| 18,100 | Korn/Ferry Internationalb | 472,772 | ||||||
| 4,750 | Lindsay Manufacturing Companya | 393,063 | ||||||
| 6,200 | Lydall, Inc.b | 109,244 | ||||||
| 14,800 | Mobile Mini, Inc.b | 609,464 | ||||||
| 16,650 | Moog, Inc.b | 1,131,201 | ||||||
| 10,300 | Mueller Industries, Inc. | 649,003 | ||||||
| 1,800 | National Presto Industries, Inc.a,b | 144,900 | ||||||
| 18,100 | Navigant Consulting, Inc.b | 347,520 | ||||||
| 16,900 | On Assignment, Inc.b | 590,148 | ||||||
| 22,100 | Orbital Sciences Corporationb | 514,930 | ||||||
| 10,000 | Orion Marine Group, Inc.b | 120,300 | ||||||
| 3,400 | Powell Industries, Inc. | 227,766 | ||||||
| 13,475 | Quanex Building Products Corporation | 268,422 | ||||||
| 14,500 | Resources Global Professionals | 207,785 | ||||||
| 8,900 | Saia, Inc.b | 285,245 | ||||||
| 14,800 | Simpson Manufacturing Company, Inc. | 543,604 | ||||||
| 18,700 | SkyWest, Inc. | 277,321 | ||||||
| 4,700 | Standex International Corporation | 295,536 | ||||||
| 13,700 | Teledyne Technologies, Inc.b | 1,258,482 | ||||||
| 6,700 | Tennant Company | 454,327 | ||||||
| 23,506 | Tetra Tech, Inc.b | 657,698 | ||||||
| 19,500 | Titan International, Inc.a | 350,610 | ||||||
| 20,800 | Toro Company | 1,322,880 | ||||||
| 14,900 | TrueBlue, Inc.b | 384,122 | ||||||
| 5,600 | UniFirst Corporation | 599,200 | ||||||
| 14,600 | United Stationers, Inc. | 669,994 | ||||||
| 7,200 | Universal Forest Products, Inc. | 375,408 | ||||||
| 7,400 | Viad Corporation | 205,572 | ||||||
| 6,600 | Vicor Corporationb | 88,572 | ||||||
| 10,900 | WageWorks, Inc.b | 647,896 | ||||||
| 10,400 | Watts Water Technologies, Inc. | 643,448 | ||||||
|
| |||||||
| Total | 37,186,994 | |||||||
|
| |||||||
| Information Technology (17.7%) | |||||||
| 13,400 | Advanced Energy Industries, Inc.b | 306,324 | ||||||
| 5,200 | Agilysys, Inc.b | 72,384 | ||||||
| 9,800 | Anixter International, Inc. | 880,432 | ||||||
| 41,923 | Arris Group, Inc.b | 1,021,454 | ||||||
| 11,700 | ATMI, Inc.b | 353,457 | ||||||
| 11,313 | Avid Technology, Inc.b | 92,201 | ||||||
| 5,300 | Badger Meter, Inc. | 288,850 | ||||||
| 3,700 | Bel Fuse, Inc. | 78,847 | ||||||
| 15,925 | Belden, Inc. | 1,121,916 | ||||||
| 19,750 | Benchmark Electronics, Inc.b | 455,830 | ||||||
| 5,900 | Black Box Corporation | 175,820 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
234
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (96.5%) | Value | ||||||
| Information Technology (17.7%) - continued |
| ||||||
| 16,700 | Blackbaud, Inc. | $ | 628,755 | |||||
| 15,000 | Blucora, Inc.b | 437,400 | ||||||
| 13,400 | Bottomline Technologies, Inc.b | 484,544 | ||||||
| 24,207 | Brooks Automation, Inc. | 253,931 | ||||||
| 8,600 | Cabot Microelectronics Corporationb | 393,020 | ||||||
| 8,600 | CACI International, Inc.b | 629,692 | ||||||
| 12,200 | CalAmp Corporationb | 341,234 | ||||||
| 16,400 | Cardtronics, Inc.b | 712,580 | ||||||
| 8,100 | Ceva, Inc.b | 123,282 | ||||||
| 15,100 | Checkpoint Systems, Inc.b | 238,127 | ||||||
| 24,500 | CIBER, Inc.b | 101,430 | ||||||
| 23,200 | Cirrus Logic, Inc.a,b | 473,976 | ||||||
| 30,200 | Cognex Corporationb | 1,153,036 | ||||||
| 9,100 | Coherent, Inc.b | 676,949 | ||||||
| 8,400 | Cohu, Inc. | 88,200 | ||||||
| 12,100 | comScore, Inc.b | 346,181 | ||||||
| 5,900 | Comtech Telecommunications Corporation | 185,968 | ||||||
| 12,400 | CSG Systems International, Inc. | 364,560 | ||||||
| 12,300 | CTS Corporation | 244,893 | ||||||
| 14,000 | Daktronics, Inc. | 219,520 | ||||||
| 16,100 | Dealertrack Technologies, Inc.b | 774,088 | ||||||
| 14,000 | Dice Holdings, Inc.b | 101,500 | ||||||
| 9,400 | Digi International, Inc.b | 113,928 | ||||||
| 10,400 | Digital River, Inc.b | 192,400 | ||||||
| 13,350 | Diodes, Inc.b | 314,526 | ||||||
| 8,200 | DSP Group, Inc.b | 79,622 | ||||||
| 6,600 | DTS, Inc.b | 158,268 | ||||||
| 11,600 | Ebix, Inc.a | 170,752 | ||||||
| 9,300 | Electro Scientific Industries, Inc. | 97,278 | ||||||
| 17,200 | Electronics for Imaging, Inc.b | 666,156 | ||||||
| 33,300 | Entropic Communications, Inc.b | 156,843 | ||||||
| 11,000 | EPIQ Systems, Inc. | 178,310 | ||||||
| 17,300 | Exar Corporationb | 203,967 | ||||||
| 11,300 | ExlService Holdings, Inc.b | 312,106 | ||||||
| 6,200 | FARO Technologies, Inc.b | 361,460 | ||||||
| 15,200 | FEI Company | 1,358,272 | ||||||
| 4,600 | Forrester Research, Inc. | 175,996 | ||||||
| 48,400 | GT Advanced Technologies, Inc.a,b | 422,048 | ||||||
| 36,800 | Harmonic, Inc.b | 271,584 | ||||||
| 13,500 | Heartland Payment Systems, Inc.a | 672,840 | ||||||
| 11,800 | Higher One Holdings, Inc.a,b | 115,168 | ||||||
| 11,600 | Hittite Microwave Corporationb | 716,068 | ||||||
| 10,700 | iGATE Corporationb | 429,712 | ||||||
| 15,475 | Insight Enterprises, Inc.b | 351,437 | ||||||
| 5,700 | Interactive Intelligence Groupb | 383,952 | ||||||
| 8,700 | Intevac, Inc.b | 64,641 | ||||||
| 20,600 | Ixiab | 274,186 | ||||||
| 16,000 | j2 Global, Inc.a | 800,160 | ||||||
| 22,300 | Kopin Corporationb | 94,106 | ||||||
| 27,800 | Kulicke and Soffa Industries, Inc.b | 369,740 | ||||||
| 9,300 | Liquidity Services, Inc.a,b | 210,738 | ||||||
| 8,200 | Littelfuse, Inc. | 762,026 | ||||||
| 18,000 | Liveperson, Inc.b | 266,760 | ||||||
| 8,200 | LogMeIn, Inc.b | 275,110 | ||||||
| 7,100 | Manhattan Associates, Inc.b | 834,108 | ||||||
| 25,000 | MAXIMUS, Inc. | 1,099,750 | ||||||
| 5,500 | Measurement Specialties, Inc.b | 333,795 | ||||||
| 12,200 | Mercury Computer Systems, Inc.b | 133,590 | ||||||
| 13,000 | Methode Electronics, Inc. | 444,470 | ||||||
| 16,700 | Micrel, Inc. | 164,829 | ||||||
| 34,300 | Microsemi Corporationb | 855,785 | ||||||
| 3,300 | MicroStrategy, Inc.b | 409,992 | ||||||
| 19,400 | MKS Instruments, Inc. | 580,836 | ||||||
| 12,700 | Monolithic Power Systems, Inc.b | 440,182 | ||||||
| 14,200 | Monotype Imaging Holdings, Inc. | 452,412 | ||||||
| 38,300 | Monster Worldwide, Inc.b | 273,079 | ||||||
| 5,700 | MTS Systems Corporation | 406,125 | ||||||
| 8,100 | Nanometrics, Inc.b | 154,305 | ||||||
| 14,100 | NETGEAR, Inc.b | 464,454 | ||||||
| 13,700 | NetScout Systems, Inc.b | 405,383 | ||||||
| 14,300 | Newport Corporationb | 258,401 | ||||||
| 21,900 | NIC, Inc. | 544,653 | ||||||
| 8,500 | OpenTable, Inc.a,b | 674,645 | ||||||
| 6,500 | Oplink Communications, Inc.b | 120,900 | ||||||
| 6,900 | OSI Systems, Inc.b | 366,459 | ||||||
| 7,550 | Park Electrochemical Corporation | 216,836 | ||||||
| 6,400 | PC-Tel, Inc. | 61,248 | ||||||
| 12,100 | Perficient, Inc.b | 283,382 | ||||||
| 7,600 | Pericom Semiconductor Corporationb | 67,336 | ||||||
| 12,300 | Plexus Corporationb | 532,467 | ||||||
| 10,900 | Power Integrations, Inc. | 608,438 | ||||||
| 7,500 | Procera Networks, Inc.a,b | 112,650 | ||||||
| 18,950 | Progress Software Corporationb | 489,479 | ||||||
| 31,700 | QLogic Corporationb | 375,011 | ||||||
| 10,500 | QuinStreet, Inc.b | 91,245 | ||||||
| 10,300 | Rofin-Sinar Technologies, Inc.b | 278,306 | ||||||
| 6,500 | Rogers Corporationb | 399,750 | ||||||
| 6,400 | Rubicon Technology, Inc.a,b | 63,680 | ||||||
| 12,000 | Rudolph Technologies, Inc.b | 140,880 | ||||||
| 30,700 | Sanmina Corporationb | 512,690 | ||||||
| 10,200 | ScanSource, Inc.b | 432,786 | ||||||
| 11,400 | Sigma Designs, Inc.b | 53,808 | ||||||
| 11,800 | Super Micro Computer, Inc.b | 202,488 | ||||||
| 3,800 | Supertex, Inc.b | 95,190 | ||||||
| 14,300 | Sykes Enterprises, Inc.b | 311,883 | ||||||
| 12,100 | Synaptics, Inc.a,b | 626,901 | ||||||
| 11,100 | Synchronoss Technologies, Inc.b | 344,877 | ||||||
| 9,600 | Synnex Corporationb | 647,040 | ||||||
| 33,650 | Take-Two Interactive Software, Inc.b | 584,501 | ||||||
| 12,400 | Tangoe, Inc.a,b | 223,324 | ||||||
| 7,100 | TeleTech Holdings, Inc.b | 169,974 | ||||||
| 17,900 | Tessera Technologies, Inc. | 352,809 | ||||||
| 58,700 | TriQuint Semiconductor, Inc.b | 489,558 | ||||||
| 20,000 | TTM Technologies, Inc.b | 171,600 | ||||||
| 10,400 | Tyler Technologies, Inc.b | 1,062,152 | ||||||
| 10,100 | Ultratech, Inc.b | 292,900 | ||||||
| 10,600 | VASCO Data Security International, Inc.b | 81,938 | ||||||
| 14,300 | Veeco Instruments, Inc.a,b | 470,613 | ||||||
| 15,300 | Viasat, Inc.b | 958,545 | ||||||
| 8,600 | Virtusa Corporationb | 327,574 | ||||||
| 9,000 | XO Group, Inc.b | 133,740 | ||||||
|
| |||||||
| Total | 46,526,293 | |||||||
|
| |||||||
| Materials (5.9%) | |||||||
| 10,600 | A. Schulman, Inc. | 373,756 | ||||||
| 6,200 | A.M. Castle & Companyb | 91,574 | ||||||
| 49,800 | AK Steel Holding Corporationb | 408,360 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
235
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (96.5%) | Value | ||||||
| Materials (5.9%) - continued |
| ||||||
| 9,100 | AMCOL International Corporation | $ | 309,218 | |||||
| 9,000 | American Vanguard Corporation | 218,610 | ||||||
| 11,000 | Balchem Corporation | 645,700 | ||||||
| 19,900 | Calgon Carbon Corporationb | 409,343 | ||||||
| 18,700 | Century Aluminum Companyb | 195,602 | ||||||
| 7,700 | Clearwater Paper Corporationb | 404,250 | ||||||
| 4,100 | Deltic Timber Corporation | 278,554 | ||||||
| 16,600 | Flotek Industries, Inc.a,b | 333,162 | ||||||
| 8,200 | FutureFuel Corporation | 129,560 | ||||||
| 23,700 | Globe Specialty Metals, Inc. | 426,837 | ||||||
| 18,300 | H.B. Fuller Company | 952,332 | ||||||
| 3,400 | Hawkins, Inc. | 126,446 | ||||||
| 4,500 | Haynes International, Inc. | 248,580 | ||||||
| 26,600 | Headwaters, Inc.b | 260,414 | ||||||
| 8,000 | Innophos Holdings, Inc. | 388,800 | ||||||
| 6,800 | Kaiser Aluminum Corporation | 477,632 | ||||||
| 14,700 | KapStone Paper and Packaging Corporationb | 821,142 | ||||||
| 7,400 | Koppers Holdings, Inc. | 338,550 | ||||||
| 11,900 | Kraton Performance Polymers, Inc.b | 274,295 | ||||||
| 6,900 | LSB Industries, Inc.b | 283,038 | ||||||
| 7,500 | Materion Corporation | 231,375 | ||||||
| 9,763 | Myers Industries, Inc. | 206,194 | ||||||
| 5,900 | Neenah Paper, Inc. | 252,343 | ||||||
| 3,300 | Olympic Steel, Inc. | 95,634 | ||||||
| 11,700 | OM Group, Inc.b | 425,997 | ||||||
| 15,800 | PH Glatfelter Company | 436,712 | ||||||
| 35,200 | PolyOne Corporation | 1,244,320 | ||||||
| 4,800 | Quaker Chemical Corporation | 369,936 | ||||||
| 11,100 | RTI International Metals, Inc.b | 379,731 | ||||||
| 11,500 | Schweitzer-Mauduit International, Inc. | 591,905 | ||||||
| 6,900 | Stepan Company | 452,847 | ||||||
| 43,600 | Stillwater Mining Companyb | 538,024 | ||||||
| 25,327 | SunCoke Energy, Inc.b | 577,709 | ||||||
| 7,900 | Texas Industries, Inc.a,b | 543,362 | ||||||
| 9,200 | Tredegar Corporation | 265,052 | ||||||
| 18,100 | Wausau Paper Corporation | 229,508 | ||||||
| 8,250 | Zep, Inc. | 149,820 | ||||||
|
| |||||||
| Total | 15,386,224 | |||||||
|
| |||||||
| Telecommunications Services (0.4%) | |||||||
| 3,600 | Atlantic Tele-Network, Inc. | 203,652 | ||||||
| 10,200 | Cbeyond, Inc.b | 70,380 | ||||||
| 76,000 | Cincinnati Bell, Inc.b | 270,560 | ||||||
| 11,300 | General Communication, Inc.b | 125,995 | ||||||
| 6,500 | Lumos Networks Corporation | 136,500 | ||||||
| 5,500 | NTELOS Holdings Corporation | 111,265 | ||||||
| 7,900 | USA Mobility, Inc. | 112,812 | ||||||
|
| |||||||
| Total | 1,031,164 | |||||||
|
| |||||||
| Utilities (3.3%) | |||||||
| 13,533 | ALLETE, Inc. | 675,026 | ||||||
| 14,100 | American States Water Company | 405,093 | ||||||
| 21,900 | Avista Corporation | 617,361 | ||||||
| 14,700 | El Paso Electric Company | 516,117 | ||||||
| 11,100 | Laclede Group, Inc. | 505,494 | ||||||
| 15,350 | New Jersey Resources Corporation | 709,784 | ||||||
| 9,900 | Northwest Natural Gas Company | 423,918 | ||||||
| 14,000 | NorthWestern Corporation | 606,480 | ||||||
| 27,700 | Piedmont Natural Gas Company, Inc.a | 918,532 | ||||||
| 11,700 | South Jersey Industries, Inc. | 654,732 | ||||||
| 16,900 | Southwest Gas Corporation | 944,879 | ||||||
| 20,666 | UIL Holdings Corporation | 800,807 | ||||||
| 15,200 | UNS Energy Corporation | 909,720 | ||||||
|
| |||||||
| Total | 8,687,943 | |||||||
|
| |||||||
Total Common Stock (cost $152,432,182) | 253,515,858 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (8.7%) | ||||||||
| 22,919,937 | Thrivent Cash Management Trust | 22,919,937 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $22,919,937) | 22,919,937 | |||||||
|
| |||||||
Shares or | Short-Term Investments (3.7%)c | |||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 100,000 | 0.065%, 2/14/2014d | 99,992 | ||||||
| 100,000 | 0.100%, 4/23/2014d | 99,969 | ||||||
| 200,000 | 0.120%, 5/28/2014d | 199,902 | ||||||
| Thrivent Cash Management Trust | ||||||||
| 9,202,932 | 0.060% | 9,202,932 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 9,602,795 | |||||||
|
| |||||||
| Total Investments (cost $184,954,914) 108.9% | $ | 286,038,590 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (8.9%) | (23,276,742 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 262,761,848 | ||||||
|
| |||||||
| a | All or a portion of the security is on loan. |
| b | Non-income producing security. |
| c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| d | At December 31, 2013, $399,863 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 | $ | 104,231,943 | ||
Gross unrealized depreciation | (7,649,766 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 96,582,177 | ||
Cost for federal income tax purposes | $ | 189,456,413 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
236
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 41,079,092 | 41,079,092 | — | — | ||||||||||||
Consumer Staples | 9,573,675 | 9,573,675 | — | — | ||||||||||||
Energy | 10,449,330 | 10,449,330 | — | — | ||||||||||||
Financials | 54,573,216 | 54,573,216 | — | — | ||||||||||||
Health Care | 29,021,927 | 29,021,927 | — | — | ||||||||||||
Industrials | 37,186,994 | 37,186,994 | — | — | ||||||||||||
Information Technology | 46,526,293 | 46,526,293 | — | — | ||||||||||||
Materials | 15,386,224 | 15,386,224 | — | — | ||||||||||||
Telecommunications Services | 1,031,164 | 1,031,164 | — | — | ||||||||||||
Utilities | 8,687,943 | 8,687,943 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 22,919,937 | 22,919,937 | — | — | ||||||||||||
Short-Term Investments | 9,602,795 | 9,202,932 | 399,863 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 286,038,590 | $ | 285,638,727 | $ | 399,863 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 421,201 | 421,201 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 421,201 | $ | 421,201 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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 | 82 | March 2014 | $ | 9,102,279 | $ | 9,523,480 | $ | 421,201 | ||||||||||||
Total Futures Contracts | $ | 421,201 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | 421,201 | ||||
Total Equity Contracts | 421,201 | |||||
|
| |||||
Total Asset Derivatives | $ | 421,201 | ||||
|
| |||||
| * | 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.
237
Small Cap Index Portfolio
Schedule of Investments as of December 31, 2013
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | 1,330,376 | ||||
Total Equity Contracts | 1,330,376 | |||||
|
| |||||
Total | $ | 1,330,376 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | 401,999 | ||||
Total Equity Contracts | 401,999 | |||||
|
| |||||
Total | $ | 401,999 | ||||
|
| |||||
The following table presents Small Cap Index Portfolio’s average volume of derivative activity during the period ended December 31, 2013.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 5,486,565 | 2.4 | % | ||||
Interest Rate Contracts | 1,184 | 0.0 | ||||||
| * | 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 Small Cap Index Portfolio, is as follows:
Portfolio | Value December 31, 2012 | Gross Purchases | Gross Sales | Shares Held at December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 11,591,213 | $ | 80,832,007 | $ | 69,503,283 | 22,919,937 | $ | 22,919,937 | $ | 282,614 | |||||||||||||
Cash Management Trust- Short Term Investment | 2,465,274 | 26,645,484 | 19,907,826 | 9,202,932 | 9,202,932 | 3,719 | ||||||||||||||||||
Total Value and Income Earned | 14,056,487 | 32,122,869 | 286,333 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
238
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (97.2%) | Value | ||||||
| Consumer Discretionary (17.5%) |
| ||||||
| 104,602 | Discovery Communications, Inc.a | $ | 9,458,113 | |||||
| 189,046 | Dollar Tree, Inc.a | 10,665,975 | ||||||
| 43,400 | Dunkin’ Brands Group, Inc. | 2,091,880 | ||||||
| 96,681 | GNC Holdings, Inc. | 5,651,004 | ||||||
| 80,300 | HomeAway, Inc.a | 3,282,664 | ||||||
| 52,787 | Limited Brands, Inc. | 3,264,876 | ||||||
| 111,400 | Marriott International, Inc. | 5,498,704 | ||||||
| 32,000 | Michael Kors Holdings, Ltd.a | 2,598,080 | ||||||
| 30,786 | O’Reilly Automotive, Inc.a | 3,962,466 | ||||||
| 45,226 | PetSmart, Inc. | 3,290,192 | ||||||
| 59,500 | Ross Stores, Inc. | 4,458,335 | ||||||
| 121,532 | Tractor Supply Company | 9,428,453 | ||||||
| 38,900 | Under Armour, Inc.a | 3,395,970 | ||||||
| 45,572 | VF Corporation | 2,840,958 | ||||||
| 23,200 | Wynn Resorts, Ltd. | 4,505,672 | ||||||
|
| |||||||
| Total | 74,393,342 | |||||||
|
| |||||||
| Consumer Staples (4.8%) | |||||||
| 54,400 | Beam, Inc. | 3,702,464 | ||||||
| 63,800 | Hain Celestial Group, Inc.a | 5,791,764 | ||||||
| 77,600 | Monster Beverage Corporationa | 5,258,952 | ||||||
| 32,200 | United Natural Foods, Inc.a | 2,427,558 | ||||||
| 57,706 | Whole Foods Market, Inc. | 3,337,138 | ||||||
|
| |||||||
| Total | 20,517,876 | |||||||
|
| |||||||
| Energy (7.8%) | |||||||
| 509,700 | Alpha Natural Resources, Inc.a,b | 3,639,258 | ||||||
| 58,400 | Cameron International Corporationa | 3,476,552 | ||||||
| 61,217 | Concho Resources, Inc.a | 6,611,436 | ||||||
| 65,400 | HollyFrontier Corporation | 3,249,726 | ||||||
| 128,682 | Peabody Energy Corporation | 2,513,160 | ||||||
| 10,000 | Pioneer Natural Resources Company | 1,840,700 | ||||||
| 50,800 | SM Energy Company | 4,221,988 | ||||||
| 97,900 | Southwestern Energy Companya | 3,850,407 | ||||||
| 240,535 | Weatherford International, Ltd.a | 3,725,887 | ||||||
|
| |||||||
| Total | 33,129,114 | |||||||
|
| |||||||
| Financials (9.7%) | |||||||
| 62,265 | Affiliated Managers Group, Inc.a | 13,504,033 | ||||||
| 64,400 | Ameriprise Financial, Inc. | 7,409,220 | ||||||
| 113,230 | Discover Financial Services | 6,335,219 | ||||||
| 147,400 | First Republic Bank | 7,716,390 | ||||||
| 54,200 | T. Rowe Price Group, Inc. | 4,540,334 | ||||||
| 60,000 | Zions Bancorporation | 1,797,600 | ||||||
|
| |||||||
| Total | 41,302,796 | |||||||
|
| |||||||
| Health Care (11.0%) | |||||||
| 27,247 | Actavis, Inc.a | 4,577,496 | ||||||
| 62,589 | AmerisourceBergen Corporation | 4,400,632 | ||||||
| 83,200 | BioMarin Pharmaceutical, Inc.a | 5,846,464 | ||||||
| 34,396 | Catamaran Corporationa | 1,633,122 | ||||||
| 70,500 | Cerner Corporationa | 3,929,670 | ||||||
| 44,191 | CIGNA Corporation | 3,865,829 | ||||||
| 72,600 | Envision Healthcare Holdings, Inc.a | 2,578,752 | ||||||
| 22,635 | Mettler-Toledo International, Inc.a | 5,491,025 | ||||||
| 53,600 | Perrigo Company plc | 8,225,456 | ||||||
| 45,000 | Team Health Holdings, Inc.a | 2,049,750 | ||||||
| 108,400 | Thoratec Corporationa | 3,967,440 | ||||||
|
| |||||||
| Total | 46,565,636 | |||||||
|
| |||||||
| Industrials (21.3%) | |||||||
| 173,828 | AMETEK, Inc. | 9,155,521 | ||||||
| 71,690 | B/E Aerospace, Inc.a | 6,239,181 | ||||||
| 113,000 | Expeditors International of Washington, Inc. | 5,000,250 | ||||||
| 56,200 | Fastenal Companyb | 2,670,062 | ||||||
| 50,998 | Flowserve Corporation | 4,020,172 | ||||||
| 105,000 | Fortune Brands Home and Security, Inc. | 4,798,500 | ||||||
| 45,200 | GATX Corporation | 2,358,084 | ||||||
| 57,300 | Graco, Inc. | 4,476,276 | ||||||
| 67,784 | JB Hunt Transport Services, Inc. | 5,239,703 | ||||||
| 54,181 | Kansas City Southern | 6,709,233 | ||||||
| 69,800 | Nielsen Holdings NV | 3,203,122 | ||||||
| 67,466 | Pentair, Ltd. | 5,240,084 | ||||||
| 129,400 | Quanta Services, Inc.a | 4,083,864 | ||||||
| 125,000 | Robert Half International, Inc. | 5,248,750 | ||||||
| 52,319 | Roper Industries, Inc. | 7,255,599 | ||||||
| 65,461 | Stericycle, Inc.a | 7,604,605 | ||||||
| 91,700 | United Rentals, Inc.a,b | 7,148,015 | ||||||
|
| |||||||
| Total | 90,451,021 | |||||||
|
| |||||||
| Information Technology (19.1%) | |||||||
| 137,509 | Agilent Technologies, Inc. | 7,864,140 | ||||||
| 68,400 | Amphenol Corporation | 6,099,912 | ||||||
| 89,535 | ANSYS, Inc.a | 7,807,452 | ||||||
| 134,160 | Autodesk, Inc.a | 6,752,273 | ||||||
| 120,331 | Ciena Corporationa,b | 2,879,521 | ||||||
| 79,698 | Euronet Worldwide, Inc.a | 3,813,549 | ||||||
| 48,097 | F5 Networks, Inc.a | 4,370,093 | ||||||
| 53,700 | Gartner, Inc.a | 3,815,385 | ||||||
| 89,152 | Lam Research Corporationa | 4,854,326 | ||||||
| 11,000 | LinkedIn Corporationa | 2,385,130 | ||||||
| 121,581 | Microchip Technology, Inc.b | 5,440,750 | ||||||
| 43,018 | Nice Systems, Ltd. ADR | 1,762,017 | ||||||
| 81,890 | Nuance Communications, Inc.a,b | 1,244,728 | ||||||
| 232,071 | NVIDIA Corporation | 3,717,778 | ||||||
| 138,100 | NXP Semiconductors NVa | 6,342,933 | ||||||
| 54,100 | ServiceNow, Inc.a | 3,030,141 | ||||||
| 101,100 | Synopsys, Inc.a | 4,101,627 | ||||||
| 101,937 | VeriFone Systems, Inc.a | 2,733,950 | ||||||
| 42,600 | Xilinx, Inc. | 1,956,192 | ||||||
|
| |||||||
| Total | 80,971,897 | |||||||
|
| |||||||
| Materials (4.1%) | |||||||
| 52,800 | Airgas, Inc. | 5,905,680 | ||||||
| 35,500 | Albemarle Corporation | 2,250,345 | ||||||
| 68,125 | Celanese Corporation | 3,767,994 | ||||||
| 52,610 | FMC Corporation | 3,969,950 | ||||||
| 66,159 | Silver Wheaton Corporation | 1,335,750 | ||||||
|
| |||||||
| Total | 17,229,719 | |||||||
|
| |||||||
| Telecommunications Services (1.9%) | |||||||
| 72,600 | Cogent Communications Group, Inc. | 2,933,766 | ||||||
| 24,052 | SBA Communications Corporationa,b | 2,160,832 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
239
Mid Cap Growth Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (97.2%) | Value | ||||||
| Telecommunications Services (1.9%) - continued |
| ||||||
| 89,037 | TW Telecom, Inc.a | $ | 2,712,957 | |||||
|
| |||||||
| Total | 7,807,555 | |||||||
|
| |||||||
Total Common Stock (cost $289,891,194) | 412,368,956 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (4.1%) | ||||||||
| 17,677,617 | Thrivent Cash Management Trust | 17,677,617 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $17,677,617) | 17,677,617 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (2.9%)c | |||||||
Thrivent Cash Management Trust | ||||||||
| 12,208,592 | 0.060% | 12,208,592 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 12,208,592 | |||||||
|
| |||||||
| Total Investments (cost $319,777,403) 104.2% | $ | 442,255,165 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (4.2%) | (17,935,831 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 424,319,334 | ||||||
|
| |||||||
| 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. |
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 | $ | 128,240,097 | ||
Gross unrealized depreciation | (6,124,837 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 122,115,260 | ||
Cost for federal income tax purposes | $ | 320,139,905 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 74,393,342 | 74,393,342 | — | — | ||||||||||||
Consumer Staples | 20,517,876 | 20,517,876 | — | — | ||||||||||||
Energy | 33,129,114 | 33,129,114 | — | — | ||||||||||||
Financials | 41,302,796 | 41,302,796 | — | — | ||||||||||||
Health Care | 46,565,636 | 46,565,636 | — | — | ||||||||||||
Industrials | 90,451,021 | 90,451,021 | — | — | ||||||||||||
Information Technology | 80,971,897 | 80,971,897 | — | — | ||||||||||||
Materials | 17,229,719 | 17,229,719 | — | — | ||||||||||||
Telecommunications Services | 7,807,555 | 7,807,555 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 17,677,617 | 17,677,617 | — | — | ||||||||||||
Short-Term Investments | 12,208,592 | 12,208,592 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 442,255,165 | $ | 442,255,165 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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.
240
Mid Cap Growth Portfolio
Schedule of Investments as of December 31, 2013
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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 4,926,850 | $ | 115,043,885 | $ | 102,293,118 | 17,677,617 | $ | 17,677,617 | $ | 19,303 | |||||||||||||
Cash Management Trust- Short Term Investment | 17,465,291 | 79,104,487 | 84,361,186 | 12,208,592 | 12,208,592 | 11,237 | ||||||||||||||||||
Total Value and Income Earned | 22,392,141 | 29,886,209 | 30,540 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
241
Partner Mid Cap Value Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (98.8%) | Value | ||||||
| Consumer Discretionary (11.8%) |
| ||||||
| 70,581 | Delphi Automotive plc | $ | 4,244,035 | |||||
| 7,413 | Expedia, Inc. | 516,390 | ||||||
| 170,993 | Liberty Interactive Corporationa | 5,018,645 | ||||||
| 30,764 | Liberty Media Corporationa | 4,505,388 | ||||||
| 46,090 | Macy’s, Inc. | 2,461,206 | ||||||
| 180,132 | MGM Resorts Internationala | 4,236,705 | ||||||
| 27,365 | PVH Corporation | 3,722,187 | ||||||
| 38,797 | Scripps Networks Interactive, Inc. | 3,352,449 | ||||||
| 59,639 | Starwood Hotels & Resorts Worldwide, Inc. | 4,738,318 | ||||||
| 108,458 | Toll Brothers, Inc.a | 4,012,946 | ||||||
| 20,944 | TRW Automotive Holdings Corporationa | 1,558,024 | ||||||
| 20,647 | Whirlpool Corporation | 3,238,688 | ||||||
|
| |||||||
| Total | 41,604,981 | |||||||
|
| |||||||
| Consumer Staples (3.5%) | |||||||
| 36,461 | Constellation Brands, Inc.a | 2,566,125 | ||||||
| 22,573 | Green Mountain Coffee Roasters, Inc.a | 1,706,067 | ||||||
| 43,318 | Ingredion, Inc. | 2,965,550 | ||||||
| 34,980 | Monster Beverage Corporationa | 2,370,595 | ||||||
| 81,974 | Tyson Foods, Inc. | 2,742,850 | ||||||
|
| |||||||
| Total | 12,351,187 | |||||||
|
| |||||||
| Energy (7.9%) | |||||||
| 71,073 | Cameron International Corporationa | 4,230,976 | ||||||
| 197,956 | Chesapeake Energy Corporation | 5,372,526 | ||||||
| 36,236 | Cimarex Energy Company | 3,801,519 | ||||||
| 28,635 | EQT Corporation | 2,570,850 | ||||||
| 24,009 | Oil States International, Inc.a | 2,442,196 | ||||||
| 9,688 | Pioneer Natural Resources Company | 1,783,270 | ||||||
| 41,104 | Range Resources Corporation | 3,465,478 | ||||||
| 74,718 | Tesoro Corporation | 4,371,003 | ||||||
|
| |||||||
| Total | 28,037,818 | |||||||
|
| |||||||
| Financials (29.4%) | |||||||
| 37,682 | Arthur J. Gallagher & Company | 1,768,416 | ||||||
| 44,430 | AvalonBay Communities, Inc. | 5,252,959 | ||||||
| 67,141 | Camden Property Trust | 3,818,980 | ||||||
| 66,812 | CIT Group, Inc. | 3,482,910 | ||||||
| 187,242 | DDR Corporation | 2,877,909 | ||||||
| 29,155 | Digital Realty Trust, Inc. | 1,432,094 | ||||||
| 27,194 | Everest Re Group, Ltd. | 4,238,729 | ||||||
| 52,633 | First Republic Bank | 2,755,338 | ||||||
| 238,054 | Genworth Financial, Inc.a | 3,696,979 | ||||||
| 403,868 | Huntington Bancshares, Inc. | 3,897,326 | ||||||
| 108,187 | ING U.S., Inc. | 3,802,773 | ||||||
| 173,038 | Invesco, Ltd. | 6,298,583 | ||||||
| 26,284 | iShares Russell Midcap Value Index Fund | 1,727,122 | ||||||
| 125,416 | Lincoln National Corporation | 6,473,974 | ||||||
| 54,447 | M&T Bank Corporation | 6,338,720 | ||||||
| 227,170 | MFA Financial, Inc. | 1,603,820 | ||||||
| 116,637 | NASDAQ OMX Group, Inc. | 4,642,153 | ||||||
| 120,734 | Principal Financial Group, Inc. | 5,953,393 | ||||||
| 78,365 | Raymond James Financial, Inc. | 4,089,869 | ||||||
| 20,125 | Signature Banka | 2,161,827 | ||||||
| 159,834 | SLM Corporation | 4,200,437 | ||||||
| 132,101 | Starwood Property Trust, Inc. | 3,659,198 | ||||||
| 68,133 | Tanger Factory Outlet Centers, Inc. | 2,181,619 | ||||||
| 50,019 | Taubman Centers, Inc. | 3,197,214 | ||||||
| 214,199 | Two Harbors Investment Corporation | 1,987,767 | ||||||
| 62,633 | Validus Holdings, Ltd. | 2,523,484 | ||||||
| 20,466 | W.R. Berkley Corporation | 888,020 | ||||||
| 40,526 | Willis Group Holdings plc | 1,815,970 | ||||||
| 149,561 | XL Group plc | 4,762,022 | ||||||
| 80,218 | Zions Bancorporation | 2,403,331 | ||||||
|
| |||||||
| Total | 103,932,936 | |||||||
|
| |||||||
| Health Care (8.7%) | |||||||
| 75,645 | Aetna, Inc. | 5,188,491 | ||||||
| 34,011 | C.R. Bard, Inc. | 4,555,433 | ||||||
| 90,555 | Cardinal Health, Inc. | 6,049,980 | ||||||
| 97,639 | CareFusion Corporationa | 3,887,985 | ||||||
| 49,900 | Humana, Inc. | 5,150,678 | ||||||
| 19,223 | Laboratory Corporation of America Holdingsa | 1,756,405 | ||||||
| 100,778 | Tenet Healthcare Corporationa | 4,244,769 | ||||||
|
| |||||||
| Total | 30,833,741 | |||||||
|
| |||||||
| Industrials (12.4%) | |||||||
| 46,974 | Armstrong World Industries, Inc.a | 2,706,172 | ||||||
| 50,053 | Carlisle Companies, Inc. | 3,974,208 | ||||||
| 26,057 | Crane Company | 1,752,333 | ||||||
| 87,478 | KBR, Inc. | 2,789,673 | ||||||
| 56,310 | Stanley Black & Decker, Inc. | 4,543,654 | ||||||
| 91,817 | Terex Corporation | 3,855,396 | ||||||
| 161,216 | Textron, Inc. | 5,926,300 | ||||||
| 74,879 | Timken Company | 4,123,587 | ||||||
| 68,969 | Triumph Group, Inc. | 5,246,472 | ||||||
| 114,246 | Tyco International, Ltd. | 4,688,656 | ||||||
| 65,731 | United Continental Holdings, Inc.a | 2,486,604 | ||||||
| 36,299 | Waste Connections, Inc. | 1,583,725 | ||||||
|
| |||||||
| Total | 43,676,780 | |||||||
|
| |||||||
| Information Technology (13.5%) | |||||||
| 130,371 | Agilent Technologies, Inc. | 7,455,917 | ||||||
| 168,290 | Altera Corporation | 5,474,474 | ||||||
| 204,045 | Applied Materials, Inc. | 3,609,556 | ||||||
| 62,926 | Citrix Systems, Inc.a | 3,980,070 | ||||||
| 20,276 | F5 Networks, Inc.a | 1,842,277 | ||||||
| 67,853 | Fidelity National Information Services, Inc. | 3,642,349 | ||||||
| 28,211 | Global Payments, Inc. | 1,833,433 | ||||||
| 166,561 | Juniper Networks, Inc.a | 3,759,282 | ||||||
| 53,000 | Lam Research Corporationa | 2,885,850 | ||||||
| 134,418 | Maxim Integrated Products, Inc. | 3,751,606 | ||||||
| 43,164 | NetApp, Inc. | 1,775,767 | ||||||
| 145,611 | NVIDIA Corporation | 2,332,688 | ||||||
| 163,176 | Polycom, Inc.a | 1,832,466 | ||||||
| 67,281 | PTC, Inc.a | 2,381,075 | ||||||
| 40,699 | TIBCO Software, Inc.a | 914,914 | ||||||
|
| |||||||
| Total | 47,471,724 | |||||||
|
| |||||||
| Materials (5.0%) | |||||||
| 22,152 | Ashland, Inc. | 2,149,630 | ||||||
| 43,721 | Celanese Corporation | 2,418,209 | ||||||
| 37,712 | International Paper Company | 1,849,019 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
242
Partner Mid Cap Value Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (98.8%) | Value | ||||||
| Materials (5.0%) - continued | |||||||
| 116,086 | Louisiana-Pacific Corporationa | $ | 2,148,752 | |||||
| 43,826 | Packaging Corporation of America | 2,773,309 | ||||||
| 38,464 | Reliance Steel & Aluminum Company | 2,917,110 | ||||||
| 47,845 | Valspar Corporation | 3,410,870 | ||||||
|
| |||||||
| Total | 17,666,899 | |||||||
|
| |||||||
| Utilities (6.6%) | |||||||
| 144,063 | Calpine Corporationa | 2,810,669 | ||||||
| 92,882 | Edison International, Inc. | 4,300,437 | ||||||
| 130,335 | FirstEnergy Corporation | 4,298,448 | ||||||
| 50,987 | SCANA Corporation | 2,392,820 | ||||||
| 64,411 | Sempra Energy | 5,781,532 | ||||||
| 132,212 | Xcel Energy, Inc. | 3,694,003 | ||||||
|
| |||||||
| Total | 23,277,909 | |||||||
|
| |||||||
Total Common Stock (cost $283,090,239) | 348,853,975 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (0.9%)b | |||||||
Thrivent Cash Management Trust | ||||||||
| 3,138,588 | 0.060% | 3,138,588 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 3,138,588 | |||||||
|
| |||||||
| Total Investments (cost $286,228,827) 99.7% | $ | 351,992,563 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 0.3% | 953,385 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 352,945,948 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 69,086,804 | ||
Gross unrealized depreciation | (3,805,731 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 65,281,073 | ||
Cost for federal income tax purposes | $ | 286,711,490 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
243
Partner Mid Cap Value Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 41,604,981 | 41,604,981 | — | — | ||||||||||||
Consumer Staples | 12,351,187 | 12,351,187 | — | — | ||||||||||||
Energy | 28,037,818 | 28,037,818 | — | — | ||||||||||||
Financials | 103,932,936 | 103,932,936 | — | — | ||||||||||||
Health Care | 30,833,741 | 30,833,741 | — | — | ||||||||||||
Industrials | 43,676,780 | 43,676,780 | — | — | ||||||||||||
Information Technology | 47,471,724 | 47,471,724 | — | — | ||||||||||||
Materials | 17,666,899 | 17,666,899 | — | — | ||||||||||||
Utilities | 23,277,909 | 23,277,909 | — | — | ||||||||||||
Short-Term Investments | 3,138,588 | 3,138,588 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 351,992,563 | $ | 351,992,563 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 7,805,669 | $ | 54,268,984 | $ | 62,074,653 | — | $ | — | $ | 11,900 | |||||||||||||
Cash Management Trust- Short Term Investment | 6,943,793 | 95,016,774 | 98,821,979 | 3,138,588 | 3,138,588 | 4,129 | ||||||||||||||||||
Total Value and Income Earned | 14,749,462 | 3,138,588 | 16,029 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
244
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (96.0%) | Value | ||||||
| Consumer Discretionary (11.8%) | ||||||||
| 72,500 | Charter Communications, Inc.a | $ | 9,915,100 | |||||
| 167,800 | Cheesecake Factory, Inc. | 8,099,706 | ||||||
| 220,300 | DISH Network Corporationa | 12,759,776 | ||||||
| 106,500 | Michael Kors Holdings, Ltd.a | 8,646,735 | ||||||
| 150,100 | Omnicom Group, Inc. | 11,162,937 | ||||||
| 123,600 | Scripps Networks Interactive, Inc. | 10,680,276 | ||||||
| 165,200 | Tempur-Pedic International, Inc.a,b | 8,914,192 | ||||||
| 258,800 | Toll Brothers, Inc.a | 9,575,600 | ||||||
|
| |||||||
| Total | 79,754,322 | |||||||
|
| |||||||
| Consumer Staples (2.2%) | ||||||||
| 98,900 | Ingredion, Inc. | 6,770,694 | ||||||
| 342,900 | WhiteWave Foods Companya | 7,866,126 | ||||||
|
| |||||||
| Total | 14,636,820 | |||||||
|
| |||||||
| Energy (6.0%) | ||||||||
| 38,750 | Atwood Oceanics, Inc.a | 2,068,862 | ||||||
| 41,429 | Cabot Oil & Gas Corporation | 1,605,788 | ||||||
| 26,100 | Cameron International Corporationa | 1,553,733 | ||||||
| 3,300 | CARBO Ceramics, Inc.b | 384,549 | ||||||
| 18,750 | Cimarex Energy Company | 1,967,063 | ||||||
| 17,600 | Concho Resources, Inc.a | 1,900,800 | ||||||
| 108,900 | Denbury Resources, Inc.a | 1,789,227 | ||||||
| 36,400 | Energy XXI, Ltd. | 984,984 | ||||||
| 25,900 | Ensco plc | 1,480,962 | ||||||
| 15,720 | EQT Corporation | 1,411,342 | ||||||
| 26,700 | Helmerich & Payne, Inc.b | 2,244,936 | ||||||
| 42,450 | HollyFrontier Corporation | 2,109,341 | ||||||
| 22,950 | National Oilwell Varco, Inc. | 1,825,213 | ||||||
| 31,350 | Newfield Exploration Companya | 772,150 | ||||||
| 43,850 | Noble Corporation | 1,643,059 | ||||||
| 29,700 | Noble Energy, Inc. | 2,022,867 | ||||||
| 28,250 | Oceaneering International, Inc. | 2,228,360 | ||||||
| 21,900 | Oil States International, Inc.a | 2,227,668 | ||||||
| 10,150 | Pioneer Natural Resources Company | 1,868,311 | ||||||
| 19,200 | Range Resources Corporation | 1,618,752 | ||||||
| 40,900 | Rowan Companies plca | 1,446,224 | ||||||
| 19,950 | SM Energy Company | 1,658,044 | ||||||
| 94,750 | Superior Energy Services, Inc.a | 2,521,298 | ||||||
| 25,300 | Whiting Petroleum Corporationa | 1,565,311 | ||||||
|
| |||||||
| Total | 40,898,844 | |||||||
|
| |||||||
| Financials (22.8%) | ||||||||
| 176,400 | Axis Capital Holdings, Ltd. | 8,391,348 | ||||||
| 108,100 | Camden Property Trust | 6,148,728 | ||||||
| 206,000 | First Republic Bank | 10,784,100 | ||||||
| 138,300 | Gaming and Leisure Properties, Inc.a | 7,027,023 | ||||||
| 219,620 | HCC Insurance Holdings, Inc. | 10,133,267 | ||||||
| 490,548 | Host Hotels & Resorts, Inc. | 9,536,253 | ||||||
| 1,439,300 | Huntington Bancshares, Inc. | 13,889,245 | ||||||
| 645,500 | KeyCorp | 8,662,610 | ||||||
| 244,424 | Lazard, Ltd. | 11,077,296 | ||||||
| 80,100 | M&T Bank Corporationb | 9,325,242 | ||||||
| 110,900 | Macerich Company | 6,530,901 | ||||||
| 324,400 | NASDAQ OMX Group, Inc. | 12,911,120 | ||||||
| 177,633 | Northern Trust Corporation | 10,993,706 | ||||||
| 382,200 | Piedmont Office Realty Trust, Inc. | 6,313,944 | ||||||
| 195,800 | Protective Life Corporation | 9,919,228 | ||||||
| 414,172 | Zions Bancorporation | 12,408,593 | ||||||
|
| |||||||
| Total | 154,052,604 | |||||||
|
| |||||||
| Health Care (10.7%) | ||||||||
| 198,800 | Acorda Therapeutics, Inc.a | 5,804,960 | ||||||
| 672,900 | Allscripts Healthcare Solutions, Inc.a | 10,403,034 | ||||||
| 73,082 | C.R. Bard, Inc. | 9,788,603 | ||||||
| 142,500 | Illumina, Inc.a,b | 15,763,350 | ||||||
| 276,000 | Thoratec Corporationa | 10,101,600 | ||||||
| 7,550 | Veeva Systems, Inc.a,b | 242,355 | ||||||
| 77,900 | Waters Corporationa | 7,790,000 | ||||||
| 135,669 | Zimmer Holdings, Inc. | 12,642,994 | ||||||
|
| |||||||
| Total | 72,536,896 | |||||||
|
| |||||||
| Industrials (15.3%) | ||||||||
| 163,744 | ADT Corporation | 6,626,720 | ||||||
| 124,900 | AGCO Corporation | 7,392,831 | ||||||
| 259,193 | CSX Corporation | 7,456,983 | ||||||
| 144,500 | Flowserve Corporation | 11,390,935 | ||||||
| 328,200 | Foster Wheeler AGa | 10,837,164 | ||||||
| 360,766 | Manitowoc Company, Inc. | 8,413,063 | ||||||
| 118,108 | Manpower, Inc. | 10,140,753 | ||||||
| 321,934 | Oshkosh Corporation | 16,219,035 | ||||||
| 94,982 | Parker Hannifin Corporation | 12,218,484 | ||||||
| 659,400 | Southwest Airlines Company | 12,423,096 | ||||||
|
| |||||||
| Total | 103,119,064 | |||||||
|
| |||||||
| Information Technology (20.8%) | ||||||||
| 104,600 | Alliance Data Systems Corporationa,b | 27,502,478 | ||||||
| 827,383 | Applied Materials, Inc. | 14,636,405 | ||||||
| 219,400 | Autodesk, Inc.a | 11,042,402 | ||||||
| 339,466 | CoreLogic, Inc.a | 12,061,227 | ||||||
| 150,704 | eBay, Inc.a | 8,272,143 | ||||||
| 350,032 | Juniper Networks, Inc.a | 7,900,222 | ||||||
| 156,900 | NetApp, Inc. | 6,454,866 | ||||||
| 1,039,566 | NVIDIA Corporation | 16,653,847 | ||||||
| 251,500 | SunPower Corporationa,b | 7,497,215 | ||||||
| 686,022 | Teradyne, Inc.a | 12,087,708 | ||||||
| 861,634 | TriQuint Semiconductor, Inc.a | 7,186,028 | ||||||
| 199,203 | Xilinx, Inc. | 9,147,402 | ||||||
|
| |||||||
| Total | 140,441,943 | |||||||
|
| |||||||
| Materials (4.1%) | ||||||||
| 256,500 | Owens-Illinois, Inc.a | 9,177,570 | ||||||
| 145,612 | Silgan Holdings, Inc. | 6,992,288 | ||||||
| 593,300 | Steel Dynamics, Inc. | 11,593,082 | ||||||
|
| |||||||
| Total | 27,762,940 | |||||||
|
| |||||||
| Utilities (2.3%) | ||||||||
| 297,400 | CMS Energy Corporation | 7,961,398 | ||||||
| 230,400 | Public Service Enterprise Group, Inc. | 7,382,016 | ||||||
|
| |||||||
| Total | 15,343,414 | |||||||
|
| |||||||
| Total Common Stock (cost $450,595,004) | 648,546,847 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
245
Mid Cap Stock Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Collateral Held for Securities Loaned (5.5%) | Value | ||||||
| 37,473,212 | Thrivent Cash Management Trust | $ | 37,473,212 | |||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $37,473,212) | 37,473,212 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (4.0%)c | |||||||
| Thrivent Cash Management Trust | ||||||||
| 26,698,226 | 0.060 % | 26,698,226 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 26,698,226 | |||||||
|
| |||||||
| Total Investments (cost $514,766,442) 105.5% | $ | 712,718,285 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (5.5%) | (37,296,187 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 675,422,098 | ||||||
|
| |||||||
| 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. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 200,051,325 | ||
Gross unrealized depreciation | (2,548,826 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 197,502,499 | ||
Cost for federal income tax purposes | $ | 515,215,786 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 79,754,322 | 79,754,322 | — | — | ||||||||||||
Consumer Staples | 14,636,820 | 14,636,820 | — | — | ||||||||||||
Energy | 40,898,844 | 40,898,844 | — | — | ||||||||||||
Financials | 154,052,604 | 154,052,604 | — | — | ||||||||||||
Health Care | 72,536,896 | 72,536,896 | — | — | ||||||||||||
Industrials | 103,119,064 | 103,119,064 | — | — | ||||||||||||
Information Technology | 140,441,943 | 140,441,943 | — | — | ||||||||||||
Materials | 27,762,940 | 27,762,940 | — | — | ||||||||||||
Utilities | 15,343,414 | 15,343,414 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 37,473,212 | 37,473,212 | — | — | ||||||||||||
Short-Term Investments | 26,698,226 | 26,698,226 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 712,718,285 | $ | 712,718,285 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 33,267,675 | $ | 280,427,365 | $ | 276,221,828 | 37,473,212 | $ | 37,473,212 | $ | 203,375 | |||||||||||||
Cash Management Trust- Short Term Investment | 20,972,804 | 81,566,610 | 75,841,188 | 26,698,226 | 26,698,226 | 22,879 | ||||||||||||||||||
Total Value and Income Earned | 54,240,479 | 64,171,438 | 226,254 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
246
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (96.4%) | Value | ||||||
| Consumer Discretionary (13.6%) | |||||||
| 5,900 | Aaron’s, Inc. | $ | 173,460 | |||||
| 5,900 | Abercrombie & Fitch Company | 194,169 | ||||||
| 5,600 | Advance Auto Parts, Inc. | 619,808 | ||||||
| 4,600 | AMC Networks, Inc.a | 313,306 | ||||||
| 13,080 | American Eagle Outfitters, Inc. | 188,352 | ||||||
| 3,550 | ANN, Inc.a | 129,788 | ||||||
| 7,700 | Apollo Group, Inc.a | 210,364 | ||||||
| 9,900 | Ascena Retail Group, Inc.a | 209,484 | ||||||
| 3,000 | Bally Technologies, Inc.a,b | 235,350 | ||||||
| 4,500 | Big Lots, Inc.a | 145,305 | ||||||
| 2,010 | Bob Evans Farms, Inc. | 101,686 | ||||||
| 5,155 | Brinker International, Inc. | 238,883 | ||||||
| 7,000 | Brunswick Corporation | 322,420 | ||||||
| 3,600 | Cabela’s, Inc.a | 239,976 | ||||||
| 4,200 | Carter’s, Inc. | 301,518 | ||||||
| 3,800 | Cheesecake Factory, Inc. | 183,426 | ||||||
| 12,300 | Chico’s FAS, Inc. | 231,732 | ||||||
| 8,000 | Cinemark Holdings, Inc. | 266,640 | ||||||
| 5,800 | CST Brands, Inc. | 212,976 | ||||||
| 2,700 | Deckers Outdoor Corporationa,b | 228,042 | ||||||
| 4,400 | DeVry Education Group, Inc.b | 156,200 | ||||||
| 7,900 | Dick’s Sporting Goods, Inc. | 458,990 | ||||||
| 4,300 | Domino’s Pizza, Inc. | 299,495 | ||||||
| 5,500 | DreamWorks Animation SKG, Inc.a | 195,250 | ||||||
| 11,500 | Foot Locker, Inc. | 476,560 | ||||||
| 11,120 | Gentex Corporation | 366,849 | ||||||
| 4,500 | Guess ?, Inc. | 139,815 | ||||||
| 7,700 | Hanesbrands, Inc. | 541,079 | ||||||
| 2,600 | HSN, Inc. | 161,980 | ||||||
| 2,170 | International Speedway Corporation | 77,013 | ||||||
| 23,600 | J.C. Penney Company, Inc.a,b | 215,940 | ||||||
| 9,200 | Jarden Corporationa | 564,420 | ||||||
| 3,600 | John Wiley and Sons, Inc. | 198,720 | ||||||
| 6,400 | KB Homeb | 116,992 | ||||||
| 5,000 | Lamar Advertising Companya | 261,250 | ||||||
| 3,100 | Life Time Fitness, Inc.a | 145,700 | ||||||
| 23,200 | LKQ Corporationa | 763,280 | ||||||
| 3,000 | M.D.C. Holdings, Inc.a | 96,720 | ||||||
| 2,100 | Matthews International Corporation | 89,481 | ||||||
| 2,900 | Meredith Corporationb | 150,220 | ||||||
| 3,400 | Murphy USA, Inc.a | 141,304 | ||||||
| 9,700 | New York Times Company | 153,939 | ||||||
| 300 | NVR, Inc.a | 307,803 | ||||||
| 36,900 | Office Depot, Inc.a | 195,201 | ||||||
| 2,100 | Panera Bread Companya | 371,049 | ||||||
| 5,000 | Polaris Industries, Inc.b | 728,200 | ||||||
| 4,200 | Rent-A-Center, Inc. | 140,028 | ||||||
| 3,800 | Scientific Games Corporationa | 64,334 | ||||||
| 16,400 | Service Corporation International | 297,332 | ||||||
| 6,200 | Signet Jewelers, Ltd. | 487,940 | ||||||
| 5,320 | Sotheby’s Holdings, Inc. | 283,024 | ||||||
| 4,700 | Tempur-Pedic International, Inc.a | 253,612 | ||||||
| 3,400 | Thor Industries, Inc. | 187,782 | ||||||
| 12,300 | Toll Brothers, Inc.a | 455,100 | ||||||
| 10,800 | Tractor Supply Company | 837,864 | ||||||
| 3,900 | Tupperware Brands Corporation | 368,667 | ||||||
| 6,200 | Under Armour, Inc.a | 541,260 | ||||||
| 2,900 | Valassis Communications, Inc.b | 99,325 | ||||||
| 21,814 | Wendy’s Companyb | 190,218 | ||||||
| 6,880 | Williams-Sonoma, Inc. | 400,966 | ||||||
|
| |||||||
| Total | 16,727,587 | |||||||
|
| |||||||
| Consumer Staples (3.9%) | ||||||||
| 10,720 | Church & Dwight Company, Inc. | 710,522 | ||||||
| 7,300 | Dean Foods Companya | 125,487 | ||||||
| 4,850 | Energizer Holdings, Inc. | 524,964 | ||||||
| 13,525 | Flowers Foods, Inc. | 290,382 | ||||||
| 10,100 | Green Mountain Coffee Roasters, Inc.a,b | 763,358 | ||||||
| 3,700 | Hain Celestial Group, Inc.a | 335,886 | ||||||
| 3,810 | Harris Teeter Supermarkets, Inc. | 188,023 | ||||||
| 9,500 | Hillshire Brands Company | 317,680 | ||||||
| 6,000 | Ingredion, Inc. | 410,760 | ||||||
| 1,540 | Lancaster Colony Corporation | 135,751 | ||||||
| 2,500 | Post Holdings, Inc.a | 123,175 | ||||||
| 15,200 | SUPERVALU, Inc.a | 110,808 | ||||||
| 1,557 | Tootsie Roll Industries, Inc. | 50,665 | ||||||
| 3,800 | United Natural Foods, Inc.a | 286,482 | ||||||
| 1,840 | Universal Corporationb | 100,464 | ||||||
| 13,400 | WhiteWave Foods Companya | 307,396 | ||||||
|
| |||||||
| Total | 4,781,803 | |||||||
|
| |||||||
| Energy (5.5%) | ||||||||
| 17,100 | Alpha Natural Resources, Inc.a | 122,094 | ||||||
| 4,500 | Atwood Oceanics, Inc.a | 240,255 | ||||||
| 3,800 | Bill Barrett Corporationa,b | 101,764 | ||||||
| 1,500 | CARBO Ceramics, Inc.b | 174,795 | ||||||
| 6,700 | Cimarex Energy Company | 702,897 | ||||||
| 5,900 | Dresser-Rand Group, Inc.a | 351,817 | ||||||
| 3,100 | Dril-Quip, Inc.a | 340,783 | ||||||
| 5,600 | Energen Corporation | 396,200 | ||||||
| 6,500 | Gulfport Energy Corporationa | 410,475 | ||||||
| 7,600 | Helix Energy Solutions Group, Inc.a | 176,168 | ||||||
| 15,390 | HollyFrontier Corporation | 764,729 | ||||||
| 8,400 | Oceaneering International, Inc. | 662,592 | ||||||
| 4,300 | Oil States International, Inc.a | 437,396 | ||||||
| 11,200 | Patterson-UTI Energy, Inc. | 283,584 | ||||||
| 4,700 | Rosetta Resources, Inc.a | 225,788 | ||||||
| 5,200 | SM Energy Company | 432,172 | ||||||
| 12,300 | Superior Energy Services, Inc.a | 327,303 | ||||||
| 3,800 | Tidewater, Inc. | 225,226 | ||||||
| 3,400 | Unit Corporationa | 175,508 | ||||||
| 5,600 | World Fuel Services Corporation | 241,696 | ||||||
|
| |||||||
| Total | 6,793,242 | |||||||
|
| |||||||
| Financials (21.6%) | ||||||||
| 4,100 | Affiliated Managers Group, Inc.a | 889,208 | ||||||
| 3,360 | Alexander & Baldwin, Inc. | 140,213 | ||||||
| 5,500 | Alexandria Real Estate Equities, Inc. | 349,910 | ||||||
| 1,300 | Alleghany Corporationa | 519,948 | ||||||
| 8,100 | American Campus Communities, Inc. | 260,901 | ||||||
| 5,535 | American Financial Group, Inc. | 319,480 | ||||||
| 17,380 | Apollo Investment Corporation | 147,382 | ||||||
| 10,200 | Arthur J. Gallagher & Company | 478,686 | ||||||
| 5,100 | Aspen Insurance Holdings, Ltd. | 210,681 | ||||||
| 12,593 | Associated Banc-Corp | 219,118 | ||||||
| 6,470 | Astoria Financial Corporation | 89,480 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
247
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (96.4%) | Value | ||||||
| Financials (21.6%) - continued | ||||||||
| 6,500 | BancorpSouth, Inc.b | $ | 165,230 | |||||
| 3,400 | Bank of Hawaii Corporation | 201,076 | ||||||
| 14,900 | BioMed Realty Trust, Inc. | 269,988 | ||||||
| 6,000 | BRE Properties, Inc. | 328,260 | ||||||
| 9,200 | Brown & Brown, Inc. | 288,788 | ||||||
| 6,600 | Camden Property Trust | 375,408 | ||||||
| 5,700 | Cathay General Bancorp | 152,361 | ||||||
| 6,800 | CBOE Holdings, Inc. | 353,328 | ||||||
| 3,620 | City National Corporation | 286,777 | ||||||
| 6,233 | Commerce Bancshares, Inc. | 279,924 | ||||||
| 6,800 | Corporate Office Properties Trust | 161,092 | ||||||
| 8,970 | Corrections Corporation of America REIT | 287,668 | ||||||
| 4,100 | Cullen/Frost Bankers, Inc.b | 305,163 | ||||||
| 25,100 | Duke Realty Corporation | 377,504 | ||||||
| 10,700 | East West Bancorp, Inc. | 374,179 | ||||||
| 9,400 | Eaton Vance Corporation | 402,226 | ||||||
| 4,900 | Equity One, Inc. | 109,956 | ||||||
| 2,900 | Essex Property Trust, Inc. | 416,179 | ||||||
| 3,710 | Everest Re Group, Ltd. | 578,278 | ||||||
| 8,500 | Extra Space Storage, Inc. | 358,105 | ||||||
| 5,000 | Federal Realty Investment Trust | 507,050 | ||||||
| 7,300 | Federated Investors, Inc.b | 210,240 | ||||||
| 19,305 | Fidelity National Financial, Inc. | 626,447 | ||||||
| 8,200 | First American Financial Corporation | 231,240 | ||||||
| 18,300 | First Horizon National Corporation | 213,195 | ||||||
| 27,400 | First Niagara Financial Group, Inc. | 290,988 | ||||||
| 12,798 | FirstMerit Corporation | 284,500 | ||||||
| 14,900 | Fulton Financial Corporation | 194,892 | ||||||
| 2,000 | Greenhill & Company, Inc. | 115,880 | ||||||
| 6,400 | Hancock Holding Company | 234,752 | ||||||
| 3,370 | Hanover Insurance Group, Inc. | 201,223 | ||||||
| 7,750 | HCC Insurance Holdings, Inc. | 357,585 | ||||||
| 6,900 | Highwoods Properties, Inc. | 249,573 | ||||||
| 4,400 | Home Properties, Inc. | 235,928 | ||||||
| 11,400 | Hospitality Properties Trust | 308,142 | ||||||
| 4,400 | International Bancshares Corporation | 116,116 | ||||||
| 11,600 | Janus Capital Group, Inc.b | 143,492 | ||||||
| 3,400 | Jones Lang LaSalle, Inc. | 348,126 | ||||||
| 4,000 | Kemper Corporation | 163,520 | ||||||
| 6,300 | Kilroy Realty Corporation | 316,134 | ||||||
| 11,300 | Liberty Property Trust | 382,731 | ||||||
| 6,800 | Mack-Cali Realty Corporation | 146,064 | ||||||
| 2,800 | Mercury General Corporation | 139,188 | ||||||
| 5,800 | Mid-America Apartment Communities, Inc. | 352,292 | ||||||
| 9,200 | MSCI, Inc.a | 402,224 | ||||||
| 9,400 | National Retail Properties, Inc. | 285,102 | ||||||
| 34,111 | New York Community Bancorp, Inc.b | 574,770 | ||||||
| 18,650 | Old Republic International Corporation | 322,086 | ||||||
| 9,500 | Omega Healthcare Investors, Inc. | 283,100 | ||||||
| 3,107 | Potlatch Corporation | 129,686 | ||||||
| 4,200 | Primerica, Inc. | 180,222 | ||||||
| 4,300 | Prosperity Bancshares, Inc. | 272,577 | ||||||
| 6,070 | Protective Life Corporation | 307,506 | ||||||
| 9,525 | Raymond James Financial, Inc. | 497,110 | ||||||
| 9,712 | Rayonier, Inc. REIT | 408,875 | ||||||
| 15,900 | Realty Income Corporation | 593,547 | ||||||
| 7,100 | Regency Centers Corporation | 328,730 | ||||||
| 5,500 | Reinsurance Group of America, Inc. | 425,755 | ||||||
| 11,040 | SEI Investments Company | 383,419 | ||||||
| 14,500 | Senior Housing Property Trust | 322,335 | ||||||
| 3,600 | Signature Banka | 386,712 | ||||||
| 7,400 | SL Green Realty Corporation | 683,612 | ||||||
| 3,400 | StanCorp Financial Group, Inc. | 225,250 | ||||||
| 3,530 | SVB Financial Groupa | 370,156 | ||||||
| 75,100 | Synovus Financial Corporation | 270,360 | ||||||
| 4,900 | Taubman Centers, Inc. | 313,208 | ||||||
| 12,720 | TCF Financial Corporation | 206,700 | ||||||
| 5,200 | Trustmark Corporation | 139,568 | ||||||
| 19,403 | UDR, Inc. | 453,060 | ||||||
| 15,384 | Valley National Bancorpb | 155,686 | ||||||
| 8,475 | W.R. Berkley Corporation | 367,730 | ||||||
| 6,640 | Waddell & Reed Financial, Inc. | 432,397 | ||||||
| 7,927 | Washington Federal, Inc. | 184,620 | ||||||
| 6,930 | Webster Financial Corporation | 216,077 | ||||||
| 8,700 | Weingarten Realty Investors | 238,554 | ||||||
| 2,120 | Westamerica Bancorporation | 119,695 | ||||||
|
| |||||||
| Total | 26,546,224 | |||||||
|
| |||||||
| Health Care (8.6%) | ||||||||
| 12,300 | Allscripts Healthcare Solutions, Inc.a | 190,158 | ||||||
| 1,500 | Bio-Rad Laboratories, Inc.a | 185,415 | ||||||
| 3,800 | Charles River Laboratories International, Inc.a | 201,552 | ||||||
| 7,300 | Community Health Systems, Inc.a | 286,671 | ||||||
| 3,800 | Cooper Companies, Inc. | 470,592 | ||||||
| 4,310 | Covance, Inc.a | 379,539 | ||||||
| 5,700 | Cubist Pharmaceuticals, Inc.a | 392,559 | ||||||
| 8,800 | Endo Pharmaceutical Holdings, Inc.a,b | 593,648 | ||||||
| 20,400 | Health Management Associates, Inc.a | 267,240 | ||||||
| 6,180 | Health Net, Inc.a | 183,361 | ||||||
| 6,600 | Henry Schein, Inc.a | 754,116 | ||||||
| 4,550 | Hill-Rom Holdings, Inc. | 188,097 | ||||||
| 6,800 | HMS Holdings Corporationa | 154,564 | ||||||
| 21,000 | Hologic, Inc.a | 469,350 | ||||||
| 4,000 | IDEXX Laboratories, Inc.a,b | 425,480 | ||||||
| 3,700 | LifePoint Hospitals, Inc.a | 195,508 | ||||||
| 4,400 | Mallinckrodt, LLCa | 229,944 | ||||||
| 4,000 | Masimo Corporationa | 116,920 | ||||||
| 7,800 | Mednax, Inc.a | 416,364 | ||||||
| 2,300 | Mettler-Toledo International, Inc.a | 557,957 | ||||||
| 8,020 | Omnicare, Inc. | 484,087 | ||||||
| 4,850 | Owens & Minor, Inc. | 177,316 | ||||||
| 11,000 | ResMed, Inc.b | 517,880 | ||||||
| 4,800 | Salix Pharmaceuticals, Ltd.a | 431,712 | ||||||
| 4,600 | STERIS Corporation | 221,030 | ||||||
| 2,600 | Techne Corporation | 246,142 | ||||||
| 3,140 | Teleflex, Inc. | 294,720 | ||||||
| 4,400 | Thoratec Corporationa | 161,040 | ||||||
| 3,600 | United Therapeutics Corporationa | 407,088 | ||||||
| 6,900 | Universal Health Services, Inc. | 560,694 | ||||||
| 6,900 | VCA Antech, Inc.a | 216,384 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
248
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (96.4%) | Value | ||||||
| Health Care (8.6%) - continued | ||||||||
| 3,400 | Wellcare Health Plans, Inc.a | $ | 239,428 | |||||
|
| |||||||
| Total | 10,616,556 | |||||||
|
| |||||||
| Industrials (16.5%) | ||||||||
| 5,900 | A.O. Smith Corporation | 318,246 | ||||||
| 3,300 | Acuity Brands, Inc. | 360,756 | ||||||
| 7,600 | Aecom Technology Corporationa | 223,668 | ||||||
| 7,030 | AGCO Corporation | 416,106 | ||||||
| 5,380 | Alaska Air Group, Inc. | 394,731 | ||||||
| 2,500 | Alliant Techsystems, Inc. | 304,200 | ||||||
| 7,600 | B/E Aerospace, Inc.a | 661,428 | ||||||
| 3,760 | Brink’s Company | 128,366 | ||||||
| 4,940 | Carlisle Companies, Inc. | 392,236 | ||||||
| 3,900 | CLARCOR, Inc. | 250,965 | ||||||
| 4,300 | Clean Harbors, Inc.a | 257,828 | ||||||
| 4,330 | Con-way, Inc. | 171,944 | ||||||
| 8,600 | Copart, Inc.a | 315,190 | ||||||
| 2,600 | Corporate Executive Board Company | 201,318 | ||||||
| 3,800 | Crane Company | 255,550 | ||||||
| 3,900 | Deluxe Corporation | 203,541 | ||||||
| 10,400 | Donaldson Company, Inc. | 451,984 | ||||||
| 2,400 | Esterline Technologies Corporationa | 244,704 | ||||||
| 14,600 | Exelis, Inc. | 278,276 | ||||||
| 12,900 | Fortune Brands Home and Security, Inc. | 589,530 | ||||||
| 3,200 | FTI Consulting, Inc.a | 131,648 | ||||||
| 3,520 | GATX Corporation | 183,638 | ||||||
| 3,800 | General Cable Corporation | 111,758 | ||||||
| 3,900 | Genesee & Wyoming, Inc.a | 374,595 | ||||||
| 4,800 | Graco, Inc. | 374,976 | ||||||
| 2,760 | Granite Construction, Inc. | 96,545 | ||||||
| 6,200 | Harsco Corporation | 173,786 | ||||||
| 4,590 | Herman Miller, Inc. | 135,497 | ||||||
| 3,530 | HNI Corporation | 137,070 | ||||||
| 4,130 | Hubbell, Inc. | 449,757 | ||||||
| 3,801 | Huntington Ingalls Industries, Inc. | 342,128 | ||||||
| 6,300 | IDEX Corporation | 465,255 | ||||||
| 7,000 | ITT Corporation | 303,940 | ||||||
| 7,040 | JB Hunt Transport Services, Inc. | 544,192 | ||||||
| 16,775 | JetBlue Airways Corporationa,b | 143,426 | ||||||
| 11,400 | KBR, Inc. | 363,546 | ||||||
| 6,040 | Kennametal, Inc. | 314,503 | ||||||
| 4,400 | Kirby Corporationa | 436,700 | ||||||
| 3,500 | Landstar System, Inc. | 201,075 | ||||||
| 3,500 | Lennox International, Inc. | 297,710 | ||||||
| 6,300 | Lincoln Electric Holdings, Inc. | 449,442 | ||||||
| 6,070 | Manpower, Inc. | 521,170 | ||||||
| 3,260 | Matson, Inc. | 85,119 | ||||||
| 2,400 | Mine Safety Appliances Company | 122,904 | ||||||
| 3,700 | MSC Industrial Direct Company, Inc. | 299,219 | ||||||
| 4,680 | Nordson Corporation | 347,724 | ||||||
| 5,400 | Old Dominion Freight Line, Inc.a | 286,308 | ||||||
| 6,700 | Oshkosh Corporation | 337,546 | ||||||
| 14,100 | R.R. Donnelley & Sons Company | 285,948 | ||||||
| 3,500 | Regal-Beloit Corporation | 258,020 | ||||||
| 4,922 | Rollins, Inc. | 149,087 | ||||||
| 3,460 | SPX Corporation | 344,651 | ||||||
| 8,600 | Terex Corporation | 361,114 | ||||||
| 6,200 | Timken Company | 341,434 | ||||||
| 5,000 | Towers Watson & Company | 638,050 | ||||||
| 5,995 | Trinity Industries, Inc. | 326,847 | ||||||
| 4,000 | Triumph Group, Inc. | 304,280 | ||||||
| 7,198 | United Rentals, Inc.a,b | 561,084 | ||||||
| 5,800 | URS Corporation | 307,342 | ||||||
| 7,000 | UTI Worldwide, Inc. | 122,920 | ||||||
| 2,100 | Valmont Industries, Inc. | 313,152 | ||||||
| 7,500 | Wabtec Corporation | 557,025 | ||||||
| 9,500 | Waste Connections, Inc. | 414,485 | ||||||
| 2,100 | Watsco, Inc. | 201,726 | ||||||
| 3,500 | Werner Enterprises, Inc. | 86,555 | ||||||
| 4,700 | Woodward, Inc. | 214,367 | ||||||
|
| |||||||
| Total | 20,239,831 | |||||||
|
| |||||||
| Information Technology (15.3%) | ||||||||
| 7,400 | 3D Systems Corporationa,b | 687,682 | ||||||
| 3,020 | ACI Worldwide, Inc.a | 196,300 | ||||||
| 5,790 | Acxiom Corporationa | 214,114 | ||||||
| 4,480 | ADTRAN, Inc. | 121,005 | ||||||
| 47,500 | Advanced Micro Devices, Inc.a,b | 183,825 | ||||||
| 3,100 | Advent Software, Inc. | 108,469 | ||||||
| 7,200 | ANSYS, Inc.a | 627,840 | ||||||
| 6,100 | AOL, Inc.a | 284,382 | ||||||
| 7,770 | Arrow Electronics, Inc.a | 421,523 | ||||||
| 33,020 | Atmel Corporationa | 258,547 | ||||||
| 10,620 | Avnet, Inc. | 468,448 | ||||||
| 9,200 | Broadridge Financial Solutions, Inc. | 363,584 | ||||||
| 22,180 | Cadence Design Systems, Inc.a | 310,964 | ||||||
| 7,800 | Ciena Corporationa | 186,654 | ||||||
| 3,400 | CommVault Systems, Inc.a | 254,592 | ||||||
| 16,700 | Compuware Corporation | 187,207 | ||||||
| 3,600 | Concur Technologies, Inc.a | 371,448 | ||||||
| 7,900 | Convergys Corporation | 166,295 | ||||||
| 7,200 | CoreLogic, Inc.a | 255,816 | ||||||
| 9,300 | Cree, Inc.a,b | 581,901 | ||||||
| 10,700 | Cypress Semiconductor Corporationa,b | 112,350 | ||||||
| 4,930 | Diebold, Inc.b | 162,739 | ||||||
| 2,310 | DST Systems, Inc. | 209,609 | ||||||
| 3,800 | Equinix, Inc.a | 674,310 | ||||||
| 3,100 | FactSet Research Systems, Inc.b | 336,598 | ||||||
| 2,650 | Fair Isaac Corporation | 166,526 | ||||||
| 9,900 | Fairchild Semiconductor International, Inc.a | 132,165 | ||||||
| 7,200 | Gartner, Inc.a | 511,560 | ||||||
| 5,600 | Global Payments, Inc. | 363,944 | ||||||
| 8,400 | Informatica Corporationa | 348,600 | ||||||
| 11,900 | Ingram Micro, Inc.a | 279,174 | ||||||
| 10,650 | Integrated Device Technology, Inc.a | 108,523 | ||||||
| 3,200 | InterDigital, Inc. | 94,368 | ||||||
| 5,450 | International Rectifier Corporationa | 142,082 | ||||||
| 9,800 | Intersil Corporation | 112,406 | ||||||
| 3,000 | Itron, Inc.a | 124,290 | ||||||
| 6,560 | Jack Henry & Associates, Inc. | 388,418 | ||||||
| 17,900 | JDS Uniphase Corporationa,b | 232,342 | ||||||
| 5,625 | Leidos Holdings, Inc. | 261,506 | ||||||
| 6,600 | Lender Processing Services, Inc. | 246,708 | ||||||
| 4,800 | Lexmark International, Inc.b | 170,496 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
249
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (96.4%) | Value | ||||||
| Information Technology (15.3%) - continued | ||||||||
| 1,800 | ManTech International Corporation | $ | 53,874 | |||||
| 7,470 | Mentor Graphics Corporation | 179,803 | ||||||
| 5,900 | MICROS Systems, Inc.a | 338,483 | ||||||
| 7,562 | National Instruments Corporation | 242,135 | ||||||
| 12,800 | NCR Corporationa | 435,968 | ||||||
| 4,800 | NeuStar, Inc.a | 239,328 | ||||||
| 3,440 | Plantronics, Inc. | 159,788 | ||||||
| 11,040 | Polycom, Inc.a | 123,979 | ||||||
| 9,200 | PTC, Inc.a | 325,588 | ||||||
| 8,800 | Rackspace Hosting, Inc.a | 344,344 | ||||||
| 21,740 | RF Micro Devices, Inc.a | 112,178 | ||||||
| 12,600 | Riverbed Technology, Inc.a | 227,808 | ||||||
| 7,840 | Rovi Corporationa | 154,370 | ||||||
| 3,214 | Science Applications International Corporation | 106,287 | ||||||
| 5,290 | Semtech Corporationa | 133,731 | ||||||
| 3,000 | Silicon Laboratories, Inc.a | 129,930 | ||||||
| 14,500 | Skyworks Solutions, Inc.a | 414,120 | ||||||
| 5,100 | Solarwinds, Inc.a | 192,933 | ||||||
| 5,300 | Solera Holdings, Inc. | 375,028 | ||||||
| 18,900 | SunEdison, Inc.a | 246,645 | ||||||
| 11,980 | Synopsys, Inc.a | 486,029 | ||||||
| 2,880 | Tech Data Corporationa | 148,608 | ||||||
| 14,800 | Teradyne, Inc.a | 260,776 | ||||||
| 11,800 | TIBCO Software, Inc.a | 265,264 | ||||||
| 19,900 | Trimble Navigation, Ltd.a | 690,530 | ||||||
| 4,900 | ValueClick, Inc.a | 114,513 | ||||||
| 8,400 | VeriFone Systems, Inc.a | 225,288 | ||||||
| 10,420 | Vishay Intertechnology, Inc.a | 138,169 | ||||||
| 3,000 | WEX, Inc.a | 297,090 | ||||||
| 3,900 | Zebra Technologies Corporationa | 210,912 | ||||||
|
| |||||||
| Total | 18,802,809 | |||||||
|
| |||||||
| Materials (6.8%) | ||||||||
| 6,320 | Albemarle Corporation | 400,625 | ||||||
| 5,100 | AptarGroup, Inc. | 345,831 | ||||||
| 5,600 | Ashland, Inc. | 543,424 | ||||||
| 4,590 | Cabot Corporation | 235,926 | ||||||
| 4,100 | Carpenter Technology Corporation | 255,020 | ||||||
| 9,000 | Commercial Metals Company | 182,970 | ||||||
| 2,600 | Compass Minerals International, Inc. | 208,130 | ||||||
| 2,760 | Cytec Industries, Inc. | 257,121 | ||||||
| 2,500 | Domtar Corporation | 235,850 | ||||||
| 3,800 | Eagle Materials, Inc. | 294,234 | ||||||
| 2,400 | Greif, Inc. | 125,760 | ||||||
| 4,300 | Intrepid Potash, Inc.a,b | 68,112 | ||||||
| 10,900 | Louisiana-Pacific Corporationa | 201,759 | ||||||
| 3,620 | Martin Marietta Materials, Inc. | 361,783 | ||||||
| 2,660 | Minerals Technologies, Inc. | 159,786 | ||||||
| 900 | NewMarket Corporationb | 300,735 | ||||||
| 6,200 | Olin Corporationb | 178,870 | ||||||
| 7,600 | Packaging Corporation of America | 480,928 | ||||||
| 6,000 | Reliance Steel & Aluminum Company | 455,040 | ||||||
| 5,600 | Rock-Tenn Company | 588,056 | ||||||
| 5,000 | Royal Gold, Inc. | 230,350 | ||||||
| 10,300 | RPM International, Inc. | 427,553 | ||||||
| 3,400 | Scotts Miracle-Gro Company | 211,548 | ||||||
| 3,830 | Sensient Technologies Corporation | 185,832 | ||||||
| 3,400 | Silgan Holdings, Inc. | 163,268 | ||||||
| 7,780 | Sonoco Products Company | 324,582 | ||||||
| 17,100 | Steel Dynamics, Inc. | 334,134 | ||||||
| 6,260 | Valspar Corporation | 446,275 | ||||||
| 4,100 | Worthington Industries, Inc. | 172,528 | ||||||
|
| |||||||
| Total | 8,376,030 | |||||||
|
| |||||||
| Telecommunications Services (0.4%) | ||||||||
| 7,595 | Telephone & Data Systems, Inc. | 195,799 | ||||||
| 11,100 | TW Telecom, Inc.a | 338,217 | ||||||
|
| |||||||
| Total | 534,016 | |||||||
|
| |||||||
| Utilities (4.2%) | ||||||||
| 8,600 | Alliant Energy Corporation | 443,760 | ||||||
| 13,632 | Aqua America, Inc. | 321,579 | ||||||
| 7,000 | Atmos Energy Corporation | 317,940 | ||||||
| 3,400 | Black Hills Corporation | 178,534 | ||||||
| 4,700 | Cleco Corporation | 219,114 | ||||||
| 11,863 | Great Plains Energy, Inc. | 287,559 | ||||||
| 7,680 | Hawaiian Electric Industries, Inc.b | 200,141 | ||||||
| 3,830 | IDACORP, Inc. | 198,547 | ||||||
| 14,625 | MDU Resources Group, Inc. | 446,794 | ||||||
| 6,500 | National Fuel Gas Company | 464,100 | ||||||
| 15,380 | OGE Energy Corporation | 521,382 | ||||||
| 6,175 | PNM Resources, Inc. | 148,941 | ||||||
| 13,500 | Questar Corporation | 310,365 | ||||||
| 8,800 | UGI Corporation | 364,848 | ||||||
| 6,390 | Vectren Corporation | 226,845 | ||||||
| 9,820 | Westar Energy, Inc. | 315,909 | ||||||
| 4,010 | WGL Holdings, Inc. | 160,641 | ||||||
|
| |||||||
| Total | 5,126,999 | |||||||
|
| |||||||
Total Common Stock (cost $77,716,662) | 118,545,097 | |||||||
|
| |||||||
| Shares | Collateral Held for Securities Loaned (6.6%) | |||||||
| 8,155,102 | Thrivent Cash Management Trust | 8,155,102 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $8,155,102) | 8,155,102 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (3.6%)c | |||||||
| Federal Home Loan Bank Discount Notes | ||||||||
| 200,000 | 0.120%, 5/28/2014d | 199,902 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
250
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2013
| Shares or Principal Amount | Short-Term Investments (3.6%)c | Value | ||||||
| Thrivent Cash Management Trust | ||||||||
| 4,174,053 | 0.060% | $ | 4,174,053 | |||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 4,373,955 | |||||||
|
| |||||||
| Total Investments (cost $90,245,719) 106.6% | $ | 131,074,154 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (6.6%) | (8,081,443 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 122,992,711 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| d | At December 31, 2013, $199,902 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 | $ | 41,400,236 | ||
Gross unrealized depreciation | (2,179,588 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 39,220,648 | ||
Cost for federal income tax purposes | $ | 91,853,506 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 16,727,587 | 16,727,587 | — | — | ||||||||||||
Consumer Staples | 4,781,803 | 4,781,803 | — | — | ||||||||||||
Energy | 6,793,242 | 6,793,242 | — | — | ||||||||||||
Financials | 26,546,224 | 26,546,224 | — | — | ||||||||||||
Health Care | 10,616,556 | 10,616,556 | — | — | ||||||||||||
Industrials | 20,239,831 | 20,239,831 | — | — | ||||||||||||
Information Technology | 18,802,809 | 18,802,809 | — | — | ||||||||||||
Materials | 8,376,030 | 8,376,030 | — | — | ||||||||||||
Telecommunications Services | 534,016 | 534,016 | — | — | ||||||||||||
Utilities | 5,126,999 | 5,126,999 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 8,155,102 | 8,155,102 | — | — | ||||||||||||
Short-Term Investments | 4,373,955 | 4,174,053 | 199,902 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 131,074,154 | $ | 130,874,252 | $ | 199,902 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 149,398 | 149,398 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 149,398 | $ | 149,398 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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 | 33 | March 2014 | $ | 4,270,622 | $ | 4,420,020 | $ | 149,398 | ||||||||||
Total Futures Contracts | $ | 149,398 | ||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
251
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2013
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | ||||
Asset Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 149,398 | |||
Total Equity Contracts | 149,398 | |||||
|
| |||||
Total Asset Derivatives | $ | 149,398 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | 795,765 | ||||
Total Equity Contracts | 795,765 | |||||
|
| |||||
Total | $ | 795,765 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | 155,493 | ||||
Total Equity Contracts | 155,493 | |||||
|
| |||||
Total | $ | 155,493 | ||||
|
| |||||
The following table presents Mid Cap Index Portfolio’s average volume of derivative activity during the period ended December 31, 2013.
Derivative Risk Category | Futures | Futures (Percentage of Average Net Assets) | ||||
Equity Contracts | $3,850,297 | 3.7 | % | |||
| * | 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.
252
Mid Cap Index Portfolio
Schedule of Investments as of December 31, 2013
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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 2,749,485 | $ | 33,489,739 | $ | 28,084,122 | 8,155,102 | $ | 8,155,102 | $ | 38,935 | |||||||||||||
Cash Management Trust- Short Term Investment | 1,118,939 | 20,385,412 | 17,330,298 | 4,174,053 | 4,174,053 | 2,727 | ||||||||||||||||||
Total Value and Income Earned | 3,868,424 | 12,329,155 | 41,662 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
253
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (89.8%) | Value | ||||||
| Australia (4.3%) | |||||||
| 14,765 | Adelaide Brighton, Ltd. | $ | 48,499 | |||||
| 471,627 | Amcor, Ltd. | 4,454,875 | ||||||
| 1,549,668 | Arrium, Ltd. | 2,433,541 | ||||||
| 257,475 | Atlas Iron, Ltd. | 266,167 | ||||||
| 437,509 | Australand Holdings, Ltd. | 1,506,464 | ||||||
| 324,266 | BC Iron, Ltd. | 1,505,184 | ||||||
| 1,104,077 | Beach Energy, Ltd. | 1,413,631 | ||||||
| 269,824 | BHP Billiton, Ltd. | 9,199,063 | ||||||
| 122,778 | BlueScope Steel, Ltd.a | 640,584 | ||||||
| 18,105 | BT Investment Management, Ltd. | 93,243 | ||||||
| 128,007 | BWP Trust | 250,856 | ||||||
| 380,639 | Challenger, Ltd. | 2,113,980 | ||||||
| 35,280 | Charter Hall Group | 115,305 | ||||||
| 5,060 | Credit Corporation Group, Ltd. | 43,667 | ||||||
| 80,899 | CSL, Ltd. | 4,987,153 | ||||||
| 425,224 | DuluxGroup, Ltd. | 2,039,062 | ||||||
| 82,643 | Flight Centre Travel Group, Ltd. | 3,519,657 | ||||||
| 1,208,794 | Fortescue Metals Group, Ltd. | 6,314,509 | ||||||
| 1,157,637 | Goodman Fielder, Ltd. | 709,325 | ||||||
| 19,695 | GWA Group, Ltd. | 53,594 | ||||||
| 285,972 | iiNet, Ltd. | 1,666,975 | ||||||
| 102,273 | JB Hi-Fi, Ltd. | 1,969,059 | ||||||
| 124,918 | M2 Telecommunications Group, Ltd. | 701,114 | ||||||
| 44,098 | Magellan Financial Group, Ltd. | 425,547 | ||||||
| 1,963,269 | Mount Gibson Iron, Ltd. | 1,785,845 | ||||||
| 74,135 | Navitas, Ltd. | 426,614 | ||||||
| 162,660 | Orica, Ltd. | 3,478,265 | ||||||
| 471,627 | Orora, Ltd.a | 488,493 | ||||||
| 295,194 | Primary Health Care, Ltd. | 1,307,813 | ||||||
| 100,620 | Ramsay Health Care, Ltd. | 3,894,120 | ||||||
| 71,627 | RCR Tomlinson, Ltd. | 234,903 | ||||||
| 242,096 | Santos, Ltd. | 3,172,871 | ||||||
| 538,655 | Seven West Media, Ltd. | 1,135,040 | ||||||
| 40,311 | Sims Metal Management, Ltd.a | 392,723 | ||||||
| 332,300 | Slater & Gordon, Ltd. | 1,436,075 | ||||||
| 126,109 | Southern Cross Media Group, Ltd. | 190,801 | ||||||
| 220,312 | STW Communications Group, Ltd. | 295,028 | ||||||
| 153,287 | Super Retial Group, Ltd. | 1,822,393 | ||||||
| 27,303 | Thorn Group, Ltd. | 52,954 | ||||||
| 180,344 | TPG Telecom, Ltd. | 859,974 | ||||||
| 221,355 | Woolworths, Ltd. | 6,702,908 | ||||||
|
| |||||||
| Total | 74,147,874 | |||||||
|
| |||||||
| Austria (0.4%) | |||||||
| 1,287 | Flughafen Wien Aktiengesellschaft | 108,002 | ||||||
| 586 | Mayr-Melnhof Karton AG | 72,555 | ||||||
| 50,483 | OMV AG | 2,416,156 | ||||||
| 5,429 | Osterreichische Post Aktiengesellschaft | 260,493 | ||||||
| 58,950 | Voestalpine AG | 2,832,812 | ||||||
| 13,848 | Wienerberger AG | 219,632 | ||||||
| 5,352 | Zumtobel AG | 83,583 | ||||||
|
| |||||||
| Total | 5,993,233 | |||||||
|
| |||||||
| Belgium (0.5%) | |||||||
| 39,897 | Anheuser-Busch InBev NV | 4,242,513 | ||||||
| 32,489 | Arseus NV | 1,235,378 | ||||||
| 2,600 | EVS Broadcast Equipment SA | 168,391 | ||||||
| 23,656 | Exmar NV | 361,571 | ||||||
| 24,343 | Mobistar SA | 462,864 | ||||||
| 46,874 | NV Bekaert SA | 1,659,026 | ||||||
|
| |||||||
| Total | 8,129,743 | |||||||
|
| |||||||
| Bermuda (0.1%) | |||||||
| 68,677 | Catlin Group, Ltd. | 661,139 | ||||||
| 233,440 | Golden Ocean Group, Ltd. | 562,097 | ||||||
| 23,306 | Hiscox, Ltd. | 268,612 | ||||||
| 1,467,000 | Pacific Basin Shipping, Ltd. | 1,052,993 | ||||||
|
| |||||||
| Total | 2,544,841 | |||||||
|
| |||||||
| Brazil (1.1%) | |||||||
| 201,652 | Banco Bradesco SA ADR | 2,526,699 | ||||||
| 146,500 | BR Properties SA | 1,157,012 | ||||||
| 87,500 | Companhia Paranaense de Energia | 1,137,380 | ||||||
| 268,300 | Embraer SAb | 2,148,220 | ||||||
| 148,900 | Even Construtora e Incorporadora SA | 512,547 | ||||||
| 37,849 | Lojas Renner SA | 981,094 | ||||||
| 47,962 | Multiplan Empreendimentos Imobiliarios SA | 1,014,434 | ||||||
| 333,125 | Petroleo Brasileiro SA ADR | 4,590,463 | ||||||
| 93,500 | Souza Cruz SA | 955,509 | ||||||
| 93,000 | Ultrapar Participacoes SA ADR | 2,199,450 | ||||||
| 133,490 | Vale SA ADR | 2,035,723 | ||||||
|
| |||||||
| Total | 19,258,531 | |||||||
|
| |||||||
| Canada (3.1%) | |||||||
| 50,255 | Alimentation Couche-Tard, Inc. | 3,779,119 | ||||||
| 295,732 | Bellatrix Exploration, Ltd.a | 2,174,316 | ||||||
| 137,297 | Brookfield Asset Management, Inc.c | 5,327,731 | ||||||
| 115,146 | Canadian National Railway Company | 6,564,596 | ||||||
| 175,300 | Canadian Natural Resources, Ltd. | 5,931,073 | ||||||
| 182,791 | Canadian Oil Sands, Ltd. | 3,438,140 | ||||||
| 35,110 | Empire Company, Ltd. | 2,398,949 | ||||||
| 509,650 | Encana Corporationc | 9,199,182 | ||||||
| 36,304 | Magna International, Inc. | 2,976,774 | ||||||
| 35,978 | Methanex Corporationc | 2,127,689 | ||||||
| 71,203 | Pembina Pipeline Corporationc | 2,508,276 | ||||||
| 29,823 | West Fraser Timber Company, Ltd. | 2,908,603 | ||||||
| 343,037 | Whitecap Resources, Inc.c | 4,081,890 | ||||||
|
| |||||||
| Total | 53,416,338 | |||||||
|
| |||||||
| Cayman Islands (0.3%) | |||||||
| 906,400 | MGM China Holdings, Ltd. | 3,879,275 | ||||||
| 504,000 | NagaCorp, Ltd. | 532,385 | ||||||
|
| |||||||
| Total | 4,411,660 | |||||||
|
| |||||||
| Chile (0.1%) | |||||||
| 1,092,994 | Aguas Andinas SA | 705,948 | ||||||
| 47,274 | Banco Santander Chile SA ADRc | 1,114,248 | ||||||
|
| |||||||
| Total | 1,820,196 | |||||||
|
| |||||||
| China (0.7%) | |||||||
| 210,000 | Anhui Conch Cement Company, Ltd.c | 781,318 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
254
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (89.8%) | Value | ||||||
| China (0.7%) - continued | |||||||
| 1,240,000 | China Construction Bank Corporation | $ | 938,819 | |||||
| 768,000 | China Shenhua Energy Company, Ltd. | 2,430,538 | ||||||
| 2,136,000 | Dongfeng Motor Group Company, Ltd. | 3,354,540 | ||||||
| 184,000 | FIH Mobile, Ltd.a | 99,185 | ||||||
| 3,814,000 | PetroChina Company, Ltd. | 4,186,025 | ||||||
|
| |||||||
| Total | 11,790,425 | |||||||
|
| |||||||
| Colombia (0.1%) | |||||||
| 37,681 | Bancolombia SA ADR | 1,847,123 | ||||||
|
| |||||||
| Total | 1,847,123 | |||||||
|
| |||||||
| Czech Republic (0.2%) | |||||||
| 15,446 | Komercni Banka AS | 3,445,235 | ||||||
|
| |||||||
| Total | 3,445,235 | |||||||
|
| |||||||
| Denmark (1.5%) | |||||||
| 265 | A P Moller - Maersk AS | 2,867,818 | ||||||
| 1,421 | Aktieselskabet Schouw & Company | 58,082 | ||||||
| 40,280 | Coloplast AS | 2,670,387 | ||||||
| 458,150 | Danske Bank ASa | 10,524,474 | ||||||
| 4,990 | DFDS AS | 402,126 | ||||||
| 5,429 | Genmab ASa | 212,244 | ||||||
| 39,194 | Jyske Bank ASa | 2,119,198 | ||||||
| 96,803 | Matas ASa | 2,677,691 | ||||||
| 810 | Rockwool International AS | 143,440 | ||||||
| 15,019 | Royal Unibrew AS | 2,038,447 | ||||||
| 9,271 | SimCorp AS | 364,304 | ||||||
| 68,849 | Sydbank ASa | 1,830,686 | ||||||
| 5,814 | Vestas Wind Systems ASa | 172,161 | ||||||
|
| |||||||
| Total | 26,081,058 | |||||||
|
| |||||||
| Finland (0.5%) | |||||||
| 1,746 | Cramo Oyj | 36,951 | ||||||
| 187,677 | Kemira Oyj | 3,142,048 | ||||||
| 400,349 | Nokia Oyja | 3,234,834 | ||||||
| 105,939 | Ramirent Oyj | 1,334,605 | ||||||
| 9,792 | Rautaruukki Oyj | 90,815 | ||||||
| 3,911 | Uponor Oyj | 76,361 | ||||||
|
| |||||||
| Total | 7,915,614 | |||||||
|
| |||||||
| France (6.3%) | |||||||
| 912 | Alten SA | 41,407 | ||||||
| 729,782 | AXA SA | 20,322,771 | ||||||
| 192,094 | Cap Gemini SA | 13,002,008 | ||||||
| 56,850 | Christian Dior SA | 10,760,670 | ||||||
| 3,360 | Club Mediterraneea | 80,429 | ||||||
| 249,067 | Compagnie de Saint-Gobain | 13,720,427 | ||||||
| 21,740 | Eiffage SA | 1,252,996 | ||||||
| 423,000 | GDF Suez | 9,948,756 | ||||||
| 1,579 | Groupe Steria SCA | 31,021 | ||||||
| 86,162 | Havas SA | 710,178 | ||||||
| 8,502 | Ipsen SA | 402,174 | ||||||
| 7,463 | Montupet SA | 329,978 | ||||||
| 8,806 | Neopost SA | 679,540 | ||||||
| 88,251 | Peugeot SAa | 1,148,431 | ||||||
| 46,957 | Publicis Groupe SA | 4,302,466 | ||||||
| 90,880 | Safran SA | 6,318,771 | ||||||
| 19,784 | Saft Groupe SA | 680,330 | ||||||
| 7,910 | Societe d’Edition de Canal Plus | 67,467 | ||||||
| 102,113 | Societe Television Francaise 1 | 1,967,897 | ||||||
| 1,218 | Sopra Group SA | 123,157 | ||||||
| 111,485 | Technicolor SAa | 590,657 | ||||||
| 64,527 | Thales SA | 4,158,366 | ||||||
| 173,700 | Total SA | 10,661,653 | ||||||
| 82,705 | Vinci SA | 5,436,325 | ||||||
|
| |||||||
| Total | 106,737,875 | |||||||
|
| |||||||
| Germany (5.6%) | |||||||
| 29,217 | Allianz SE | 5,256,910 | ||||||
| 27,123 | Balda Aktiengesellschafta | 182,387 | ||||||
| 2,015 | Bauer AG | 52,173 | ||||||
| 82,682 | Bayer AG | 11,609,477 | ||||||
| 15,854 | Comdirect Bank AG | 181,310 | ||||||
| 16,402 | Continental AG | 3,603,360 | ||||||
| 3,140 | CTS Eventim AG | 159,148 | ||||||
| 227,734 | Daimler AG | 19,763,856 | ||||||
| 143,125 | Deutsche Boerse AG | 11,861,385 | ||||||
| 80,181 | Deutsche Post AG | 2,928,622 | ||||||
| 31,871 | Drillisch Aktiengesellschaft | 924,851 | ||||||
| 67,302 | Duerr AGa | 6,014,124 | ||||||
| 133,468 | Heidelberger Druckmaschinen AGa | 474,587 | ||||||
| 5,295 | Indus Holding AG | 212,769 | ||||||
| 13,233 | Leoni AG | 991,438 | ||||||
| 6,159 | LPKF Laser & Electronics Aktiengesellschaft | 157,536 | ||||||
| 38,821 | Nordex SEa | 514,817 | ||||||
| 61,496 | Norma Group SE | 3,057,130 | ||||||
| 2,822 | Pfeiffer Vacuum Technology AG | 384,171 | ||||||
| 55,270 | ProSiebenSat.1 Media AG | 2,744,492 | ||||||
| 121,902 | QSC AG | 720,835 | ||||||
| 5,784 | Rheinmetall AG | 356,843 | ||||||
| 19,567 | SAF-Holland SAa | 291,771 | ||||||
| 9,232 | SAP AG ADR | 800,617 | ||||||
| 25,777 | Siemens AG | 3,534,521 | ||||||
| 2,657 | Stroeer Media AGa | 47,269 | ||||||
| 414,550 | ThyssenKrupp AGa | 10,108,873 | ||||||
| 3,538 | Tipp24 SEa | 236,782 | ||||||
| 87,195 | TUI AGa | 1,438,517 | ||||||
| 78,329 | United Internet AG | 3,339,183 | ||||||
| 45,249 | Wincor Nixdorf AG | 3,140,929 | ||||||
| 4,695 | XING AG | 482,743 | ||||||
|
| |||||||
| Total | 95,573,426 | |||||||
|
| |||||||
| Hong Kong (3.1%) | |||||||
| 530,800 | AIA Group, Ltd. | 2,671,776 | ||||||
| 182,000 | China Merchants Holdings International Company, Ltd. | 666,768 | ||||||
| 758,500 | China Mobile, Ltd. | 7,900,784 | ||||||
| 67,000 | Chow Sang Sang Holdings International, Ltd. | 191,413 | ||||||
| 31,600 | Dah Sing Banking Group, Ltd. | 55,634 | ||||||
| 130,000 | Dah Sing Financial Holdings, Ltd. | 745,883 | ||||||
| 198,000 | Emperor International Holdings, Ltd. | 53,735 | ||||||
| 4,977,225 | Guangzhou Automobile Group Company, Ltd. | 5,462,287 | ||||||
| 365,000 | Hang Lung Group, Ltd. | 1,846,437 | ||||||
| 1,233,425 | Hutchison Whampoa, Ltd. | 16,806,358 | ||||||
| 90,500 | Johnson Electric Holdings, Ltd. | 87,607 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
255
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (89.8%) | Value | ||||||
| Hong Kong (3.1%) - continued | |||||||
| 143,000 | Luk Fook Holdings International, Ltd. | $ | 545,813 | |||||
| 731,600 | Man Wah Holdings, Ltd. | 1,147,456 | ||||||
| 4,383,392 | New World Development Company, Ltd. | 5,550,488 | ||||||
| 154,000 | NewOcean Energy Holdings, Ltd. | 125,995 | ||||||
| 1,101,000 | Samson Holding, Ltd. | 150,765 | ||||||
| 1,584,000 | Shun Tak Holdings, Ltd. | 933,221 | ||||||
| 194,000 | Singamas Container Holdings Ltd. | 45,656 | ||||||
| 1,201,500 | Sinotruk Hong Kong, Ltd. | 675,359 | ||||||
| 98,000 | Sunlight Real Estate Investment Trust | 37,929 | ||||||
| 113,000 | Swire Pacific, Ltd., Class A | 1,327,711 | ||||||
| 340,000 | Swire Pacific, Ltd., Class B | 768,467 | ||||||
| 78,700 | Swire Properties, Ltd. | 199,297 | ||||||
| 119,500 | Techtronic Industries Company, Ltd. | 340,374 | ||||||
| 144,000 | Texwinca Holdings, Ltd. | 151,679 | ||||||
| 47,700 | VTech Holdings, Ltd. | 619,606 | ||||||
| 378,000 | Weichai Power Company, Ltd. | 1,529,017 | ||||||
| 437,000 | Wheelock and Company, Ltd. | 2,013,206 | ||||||
|
| |||||||
| Total | 52,650,721 | |||||||
|
| |||||||
| Hungary (0.1%) | |||||||
| 82,000 | Richter Gedeon Nyrt | 1,666,957 | ||||||
|
| |||||||
| Total | 1,666,957 | |||||||
|
| |||||||
| India (0.7%) | |||||||
| 16,100 | GlaxoSmithKline Pharmaceuticals, Ltd. | 780,416 | ||||||
| 7,344 | Grasim Industries, Ltd. | 322,760 | ||||||
| 8,000 | Grasim Industries, Ltd. GDR | 352,075 | ||||||
| 35,500 | Hero Motocorp, Ltd. | 1,192,157 | ||||||
| 122,000 | Hindustan Unilever, Ltd. | 1,126,286 | ||||||
| 167,741 | Housing Development Finance Corporation | 2,159,760 | ||||||
| 25,000 | ICICI Bank, Ltd. | 446,972 | ||||||
| 10,400 | ICICI Bank, Ltd. ADR | 386,568 | ||||||
| 26,000 | Infosys, Ltd. | 1,465,385 | ||||||
| 16,504 | Infosys, Ltd. ADRc | 934,126 | ||||||
| 260,542 | ITC, Ltd. | 1,356,723 | ||||||
| 50,704 | Reliance Industries, Ltd. GDRd | 1,475,603 | ||||||
| 20,696 | Ultra Tech Cement, Ltd. | 591,015 | ||||||
| 4,570 | Ultra Tech Cement, Ltd. GDR | 130,336 | ||||||
|
| |||||||
| Total | 12,720,182 | |||||||
|
| |||||||
| Indonesia (0.5%) | |||||||
| 1,959,500 | AKR Corporindo Tbk PT | 706,062 | ||||||
| 1,325,000 | Bank Rakyat Indonesia Persero Tbk PT | 791,980 | ||||||
| 622,000 | Indo Tambangraya Megah Tbk PT | 1,459,629 | ||||||
| 5,199,000 | PT Astra International Tbk | 2,911,720 | ||||||
| 1,354,500 | United Tractors Tbk PTa | 2,120,172 | ||||||
| 3,406,500 | Vale Indonesia Tbk PT | 743,144 | ||||||
|
| |||||||
| Total | 8,732,707 | |||||||
|
| |||||||
| Ireland (0.5%) | |||||||
| 251,934 | Beazley plc | 1,137,313 | ||||||
| 10,898 | FBD Holdings plc | 260,222 | ||||||
| 21,609 | Grafton Group plc | 231,520 | ||||||
| 207,873 | Henderson Group plc | 789,878 | ||||||
| 59,076 | Ryanair Holdings plc ADRa | 2,772,437 | ||||||
| 144,479 | Smurfit Kappa Group plc | 3,545,687 | ||||||
|
| |||||||
| Total | 8,737,057 | |||||||
|
| |||||||
| Israel (0.1%) | |||||||
| 174,478 | Mizrahi Tefahot Bank, Ltd. | 2,283,769 | ||||||
|
| |||||||
| Total | 2,283,769 | |||||||
|
| |||||||
| Italy (3.4%) | |||||||
| 123,869 | A2A SPA | 144,972 | ||||||
| 3,268 | Aeroporto di Venezia Marco Polo SPA - SAVE | 55,883 | ||||||
| 465,275 | Assicurazioni Generali SPA | 10,931,336 | ||||||
| 8,599 | Astaldi SPA | 90,498 | ||||||
| 91,422 | Autogrill SPAa | 772,093 | ||||||
| 148,439 | Azimut Holding SPA | 4,050,054 | ||||||
| 110,008 | Banca Generali SPA | 3,404,473 | ||||||
| 24,308 | Banca IFIS SPA | 432,257 | ||||||
| 2,559,367 | Banca Popolare di Milano SCRLa | 1,577,206 | ||||||
| 11,628 | Brunello Cucinelli SPA | 413,386 | ||||||
| 455,375 | Eni SPA | 11,003,570 | ||||||
| 18,386 | Gruppo Editoriale L’Espresso SPAa | 34,414 | ||||||
| 13,702 | I.M.A. Industria Macchine Automatiche SPA | 527,797 | ||||||
| 6,471,425 | Intesa Sanpaolo SPA | 15,917,837 | ||||||
| 906,899 | Mediaset SPAa | 4,300,916 | ||||||
| 108,882 | Recordati SPA | 1,567,770 | ||||||
| 7,413 | Reply SPA | 580,272 | ||||||
| 5,251 | Societa Cattolica di Assicurazioni SCRL | 141,515 | ||||||
| 142,963 | Sogefi SPA | 859,606 | ||||||
| 89,291 | Unipol Gruppo Finanziario SPA | 532,889 | ||||||
| 3,064 | Yoox SPAa | 137,381 | ||||||
|
| |||||||
| Total | 57,476,125 | |||||||
|
| |||||||
| Japan (16.4%) | |||||||
| 12,500 | 3-D Matrix, Ltd.a | 387,157 | ||||||
| 12,000 | 77 Bank, Ltd. | 58,119 | ||||||
| 9,900 | Access Company, Ltd.a | 65,900 | ||||||
| 127,900 | Aderans Company, Ltd. | 1,415,149 | ||||||
| 33,400 | Adways, Inc.a | 929,347 | ||||||
| 94,000 | Aichi Steel Corporation | 389,598 | ||||||
| 8,300 | Aisan Industry Company, Ltd. | 79,857 | ||||||
| 75,800 | Aoyama Trading Company, Ltd. | 2,049,956 | ||||||
| 116,500 | Asahi Group Holdings, Ltd. | 3,287,594 | ||||||
| 66,800 | Avex Group Holdings, Inc. | 1,438,626 | ||||||
| 49,700 | Bit-isle Inc. | 394,580 | ||||||
| 291,150 | Bridgestone Corporationc | 11,030,771 | ||||||
| 3,300 | CMIC Holdings Company, Ltd. | 42,688 | ||||||
| 30,800 | Colopl, Inc.a | 867,363 | ||||||
| 43,000 | Cookpad, Inc. | 1,346,337 | ||||||
| 10,000 | COSMOS Pharmaceutical Corporation | 1,085,034 | ||||||
| 52,000 | Daido Metal Company, Ltd. | 519,992 | ||||||
| 39,500 | Daifuku Company, Ltd. | 505,611 | ||||||
| 20,000 | Daihen Corporation | 92,857 | ||||||
| 5,200 | Daikoku Denki Co., Ltd. | 106,612 | ||||||
| 1,381,601 | Daiwa Securities Group, Inc. | 13,837,493 | ||||||
| 497,300 | DMG Mori Seiki Company, Ltd. | 8,961,911 | ||||||
| 15,300 | Doutor Nichires Holdings Company, Ltd. | 255,253 | ||||||
| 3,000 | Eagle Industry Company, Ltd. | 49,931 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
256
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (89.8%) | Value | ||||||
| Japan (16.4%) - continued | |||||||
| 214,200 | EDION Corporation | $ | 1,253,132 | |||||
| 67,700 | Electric Power Development Company, Ltd. | 1,973,914 | ||||||
| 5,700 | F.C.C. Company, Ltd. | 113,656 | ||||||
| 9,700 | F@N Communications, Inc. | 288,619 | ||||||
| 81,100 | Fancl Corporation | 876,523 | ||||||
| 217,000 | Fuji Heavy Industries, Ltd. | 6,236,354 | ||||||
| 26,800 | Fuji Machine Manufacturing Company, Ltd. | 222,321 | ||||||
| 9,000 | Fujitsu General, Ltd. | 96,125 | ||||||
| 14,000 | GCA Savvian Corporation | 135,189 | ||||||
| 45 | Global One Real Estate Investment Corporation | 305,568 | ||||||
| 142,700 | GMO Internet, Inc. | 1,879,114 | ||||||
| 3,200 | GMO Payment Gateway, Inc. | 127,304 | ||||||
| 11,000 | GNI Group, Ltd.a | 48,863 | ||||||
| 10,300 | Hazama Ando Corporation | 36,815 | ||||||
| 19,900 | Heiwa Real Estate Company, Ltd. | 346,457 | ||||||
| 177,000 | Hino Motors, Ltd. | 2,788,236 | ||||||
| 1,100 | HIS Company, Ltd. | 54,961 | ||||||
| 15,100 | Hitachi Capital Corporation | 440,454 | ||||||
| 102,000 | Hitachi Kokusai Electric, Inc. | 1,437,527 | ||||||
| 576,000 | Hitachi, Ltd. | 4,367,320 | ||||||
| 2,800 | IBJ Leasing Company, Ltd. | 81,381 | ||||||
| 126,400 | Iino Kaiun Kaisha, Ltd. | 781,993 | ||||||
| 1,083 | Ikyu Corporation | 1,537,367 | ||||||
| 83 | Industrial & Infrastructure Fund Investment Corporation | 691,590 | ||||||
| 4,500 | Internet Initiative Japan Inc. | 120,902 | ||||||
| 66,000 | Jaccs Company, Ltd. | 316,286 | ||||||
| 600 | Japan Rental Housing Investments, Inc. | 367,136 | ||||||
| 29,200 | Japan Securities Finance Company, Ltd. | 227,372 | ||||||
| 17 | Japan Tissue Engineering Company, Ltd.a | 68,444 | ||||||
| 211,600 | Japan Tobacco, Inc. | 6,885,202 | ||||||
| 22,000 | JEOL, Ltd. | 104,290 | ||||||
| 37,000 | J-Oil Mills, Inc. | 99,563 | ||||||
| 187,600 | JTEKT Corporation | 3,201,004 | ||||||
| 100,800 | Kakaku.com, Inc. | 1,770,695 | ||||||
| 14,000 | Kanamoto Company, Ltd. | 356,399 | ||||||
| 54,000 | Kandenko Company, Ltd. | 304,497 | ||||||
| 792,000 | Kawasaki Kisen Kaisha, Ltd. | 2,005,987 | ||||||
| 98,600 | KDDI Corporation | 6,075,266 | ||||||
| 9,400 | Keihin Corporation | 145,951 | ||||||
| 323,000 | Kenedix, Inc.a | 1,671,687 | ||||||
| 8,600 | Kissei Pharmaceutical Company, Ltd. | 211,813 | ||||||
| 16,000 | Komori Corporation | 272,823 | ||||||
| 27,000 | Kurimoto, Ltd. | 64,052 | ||||||
| 30,900 | Kyoritsu Maintenance Company, Ltd. | 1,111,554 | ||||||
| 35,000 | LIFENET INSURANCE COMPANYa | 181,344 | ||||||
| 12,800 | Livesense, Inc.a | 313,878 | ||||||
| 226,150 | LIXIL Group Corporation | 6,208,347 | ||||||
| 17,000 | Maeda Corporation | 112,618 | ||||||
| 102,000 | Maeda Road Construction Company, Ltd. | 1,676,198 | ||||||
| 2,700 | Mandom Corporation | 85,487 | ||||||
| 320,000 | Marubeni Corporation | 2,303,704 | ||||||
| 18,000 | Marudai Food Company, Ltd. | 52,687 | ||||||
| 76,400 | Matsumotokiyoshi Holdings Company, Ltd.c | 2,663,843 | ||||||
| 119,900 | Mitsubishi Corporation | 2,301,831 | ||||||
| 68,000 | Mitsubishi Paper Mills, Ltd.a | 59,491 | ||||||
| 360,200 | Mitsubishi UFJ Financial Group, Inc. | 2,391,511 | ||||||
| 778,000 | Mitsui Engineering & Shipbuilding Company, Ltd. | 1,606,909 | ||||||
| 108,000 | Mitsui Fudosan Company, Ltd. | 3,895,633 | ||||||
| 700 | Mochida Pharmaceutical Company, Ltd. | 41,613 | ||||||
| 70,300 | MonotaRO Company, Ltd. | 1,431,261 | ||||||
| 568,895 | MS and AD Insurance Group Holdings, Inc. | 15,291,314 | ||||||
| 131,000 | Namco Bandai Holdings, Inc. | 2,908,526 | ||||||
| 583 | Nanocarrier Company, Ltd.a | 1,267,187 | ||||||
| 4,100 | NEC Networks & System Integration Corporation | 99,055 | ||||||
| 13,400 | Neturen Company, Ltd. | 110,268 | ||||||
| 3,400 | Nichiha Corporation | 46,686 | ||||||
| 600 | Nihon M&A Center, Inc. | 40,547 | ||||||
| 104,852 | Nikkiso Company, Ltd. | 1,322,065 | ||||||
| 101,000 | NIPPO Corporation | 1,679,070 | ||||||
| 24,000 | Nippon Beet Sugar Manufacturing Company, Ltd. | 42,426 | ||||||
| 114,600 | Nippon Paper Industries Company, Ltd. | 2,128,451 | ||||||
| 39,000 | Nippon Road Company, Ltd. | 220,072 | ||||||
| 7,000 | Nippon Seiki Company, Ltd. | 135,562 | ||||||
| 4,150,000 | Nippon Sheet Glass Companya,c | 5,411,021 | ||||||
| 54,200 | Nippon Suisan Kaisha, Ltd.a | 123,235 | ||||||
| 23,000 | Nippon Telegraph & Telephone Corporation | 1,238,789 | ||||||
| 938,000 | Nippon Yusen Kabushiki Kaisha | 2,999,187 | ||||||
| 1,114,650 | Nissan Motor Company, Ltd. | 9,340,776 | ||||||
| 29,200 | Nissha Printing Company, Ltd.a | 464,846 | ||||||
| 62,000 | Nisshin Steel Holdings Company, Ltd. | 742,828 | ||||||
| 96,000 | Nissin Electric Company, Ltd. | 587,234 | ||||||
| 2,100 | Nitta Corporation | 46,223 | ||||||
| 3,000 | Noevir Holdings Company, Ltd. | 54,352 | ||||||
| 18,200 | North Pacific Bank, Ltd. | 74,114 | ||||||
| 143,000 | NS United Kaiun Kaisha, Ltd.a | 421,131 | ||||||
| 266,000 | NSK, Ltd. | 3,314,984 | ||||||
| 128,000 | NTN Corporationa | 582,165 | ||||||
| 4,200 | Okabe Company, Ltd. | 49,561 | ||||||
| 98,100 | OMRON Corporation | 4,335,360 | ||||||
| 16,400 | OncoTherapy Science, Inc.a | 39,626 | ||||||
| 36,336 | Pigeon Corporation | 1,762,280 | ||||||
| 48,700 | Relo Holdings, Inc. | 2,498,696 | ||||||
| 4,200 | Resorttrust, Inc. | 76,576 | ||||||
| 12,800 | Roland DG Corporation | 438,152 | ||||||
| 206,000 | Sanden Corporation | 979,121 | ||||||
| 5,000 | Sanyo Denki Company, Ltd. | 31,146 | ||||||
| 107,000 | Sanyo Special Steel Company, Ltd. | 522,660 | ||||||
| 8,600 | Seikagaku Corporation | 105,176 | ||||||
| 120,400 | Seiko Epson Corporation | 3,241,713 | ||||||
| 80,000 | Seiko Holdings Corporation | 394,499 | ||||||
| 180,000 | Sekisui House, Ltd. | 2,518,777 | ||||||
| 7,000 | SENKO Company, Ltd. | 36,278 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
257
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (89.8%) | Value | ||||||
| Japan (16.4%) - continued | |||||||
| 2,500 | Shima Seiki Manufacturing, Ltd. | $ | 47,026 | |||||
| 77,700 | Shinko Electric Industries Company, Ltd. | 646,608 | ||||||
| 19,400 | SKY Perfect JSAT Holdings, Inc. | 105,002 | ||||||
| 15,000 | Sodick Company, Ltd. | 66,683 | ||||||
| 117,500 | Softbank Corporation | 10,310,715 | ||||||
| 8,300 | Sosei Group Corporationa | 340,892 | ||||||
| 83,400 | Stanley Electric Company, Ltd. | 1,911,999 | ||||||
| 70,100 | Start Today Company, Ltd. | 1,743,073 | ||||||
| 914,825 | Sumitomo Corporation | 11,497,640 | ||||||
| 52,500 | Sumitomo Mitsui Financial Group, Inc. | 2,730,178 | ||||||
| 2,798,475 | Sumitomo Mitsui Trust Holdings, Inc. | 14,807,332 | ||||||
| 79,000 | Sumitomo Osaka Cement Company, Ltd. | 303,701 | ||||||
| 10,000 | Sumitomo Precision Products Company, Ltd. | 43,075 | ||||||
| 56,000 | Sumitomo Realty & Development Company, Ltd. | 2,790,337 | ||||||
| 141,000 | Tadano, Ltd. | 1,894,249 | ||||||
| 2,500 | Takaoka Toko Holdings Company, Ltd. | 46,630 | ||||||
| 82,100 | Takara Bio, Inc. | 1,702,037 | ||||||
| 46,900 | Takata Corporation | 1,345,654 | ||||||
| 109,800 | Tatsuta Electric Wire and Cable Company, Ltd. | 663,665 | ||||||
| 52,900 | Tella, Inc.a | 1,325,765 | ||||||
| 21,000 | Toei Company, Ltd. | 118,915 | ||||||
| 124,900 | Tokio Marine Holdings, Inc. | 4,180,364 | ||||||
| 10,300 | Tokyo Broadcasting System Holdings, Inc. | 128,041 | ||||||
| 5,900 | TOPCON Corporation | 89,575 | ||||||
| 140,900 | Totetsu Kogyo Company, Ltd. | 2,649,668 | ||||||
| 8,000 | Toyo Engineering Corporation | 32,569 | ||||||
| 59,000 | Toyo Kanetsu KK | 165,816 | ||||||
| 278,100 | Toyota Motor Corporation | 16,957,173 | ||||||
| 60,000 | Tsubakimoto Chain Company | 457,874 | ||||||
| 100,200 | Tsukui Corporation | 952,919 | ||||||
| 3,700 | TV Asahi Corporation | 82,070 | ||||||
| 42,400 | ULVAC, Inc.a | 560,194 | ||||||
| 12,400 | UNITED, Inc. | 375,031 | ||||||
| 9,600 | ValueCommerce Company, Ltd. | 118,130 | ||||||
| 12,000 | Wakita & Company, Ltd. | 141,317 | ||||||
| 4,000 | Yokohama Reito Company, Ltd. | 30,345 | ||||||
| 2,400 | Zenkoku Hosho Company, Ltd. | 105,349 | ||||||
| 58,000 | ZEON Corporation | 543,572 | ||||||
| 32,900 | ZUIKO Corporation | 1,985,497 | ||||||
|
| |||||||
| Total | 277,744,212 | |||||||
|
| |||||||
| Jersey (1.0%) | |||||||
| 745,400 | WPP plc | 17,072,688 | ||||||
|
| |||||||
| Total | 17,072,688 | |||||||
|
| |||||||
| Luxembourg (0.5%) | |||||||
| 98,337 | APERAMa | 1,819,066 | ||||||
| 47,000 | Tenaris SA ADRc | 2,053,430 | ||||||
| 124,182 | Ternium SA ADR | 3,886,897 | ||||||
|
| |||||||
| Total | 7,759,393 | |||||||
|
| |||||||
| Malaysia (0.3%) | |||||||
| 511,530 | CIMB Group Holdings Berhad | 1,192,295 | ||||||
| 582,600 | Genting Berhad | 1,827,326 | ||||||
| 145,650 | Genting Berhad Warrantsa | 139,180 | ||||||
| 254,253 | Malayan Banking Berhad | 772,725 | ||||||
| 199,400 | Public Bank Berhad | 1,189,521 | ||||||
|
| |||||||
| Total | 5,121,047 | |||||||
|
| |||||||
| Mexico (0.7%) | |||||||
| 4,678,600 | America Movil SAB de CV | 5,453,858 | ||||||
| 172,000 | Consorcio ARA SAB de CVa | 67,317 | ||||||
| 24,500 | Fomento Economico Mexicano SAB de CV ADR | 2,397,815 | ||||||
| 9,500 | Grupo Aeroportuario del Sureste SAB de CV ADR | 1,183,985 | ||||||
| 388,094 | Grupo Financiero Banorte SAB de CV ADR | 2,715,603 | ||||||
| 259,000 | Organizacion Soriana SAB de CVa | 923,207 | ||||||
|
| |||||||
| Total | 12,741,785 | |||||||
|
| |||||||
| Netherlands (3.2%) | |||||||
| 2,311,500 | Aegon NV | 21,905,079 | ||||||
| 132,599 | Arcelor Mittal | 2,368,514 | ||||||
| 139,353 | BE Semiconductor Industries NV | 1,575,008 | ||||||
| 1,369 | Brunel International NV | 83,940 | ||||||
| 111,714 | European Aeronautic Defence and Space Company | 8,576,341 | ||||||
| 176,325 | Koninklijke DSM NV | 13,876,552 | ||||||
| 12,667 | Koninklijke Ten Cate NV | 399,427 | ||||||
| 269,699 | PostNL NVa | 1,541,858 | ||||||
| 208,160 | TomTom NVa | 1,477,579 | ||||||
| 46,413 | Unilever NV | 1,866,056 | ||||||
| 132,756 | USG People NV | 1,770,964 | ||||||
|
| |||||||
| Total | 55,441,318 | |||||||
|
| |||||||
| New Zealand (0.1%) | |||||||
| 54,525 | Air New Zealand, Ltd. | 73,630 | ||||||
| 208,684 | Fisher & Paykel Healthcare Corporation, Ltd. | 661,377 | ||||||
| 114,737 | Summerset Group Holdings, Ltd. | 306,913 | ||||||
|
| |||||||
| Total | 1,041,920 | |||||||
|
| |||||||
| Norway (0.6%) | |||||||
| 1,925 | Algeta ASAa | 113,876 | ||||||
| 28,333 | Atea ASA | 279,421 | ||||||
| 1,134,153 | BW Offshore, Ltd. | 1,357,668 | ||||||
| 128,479 | DnB ASA | 2,305,962 | ||||||
| 1,239,272 | Marine Harvest | 1,511,692 | ||||||
| 40,246 | Norwegian Air Shuttle ASAa | 1,254,499 | ||||||
| 74,739 | Yara International ASA | 3,223,360 | ||||||
|
| |||||||
| Total | 10,046,478 | |||||||
|
| |||||||
| Panama (<0.1%) | |||||||
| 3,195 | Copa Holdings SA | 511,551 | ||||||
|
| |||||||
| Total | 511,551 | |||||||
|
| |||||||
| Peru (0.1%) | |||||||
| 78,471 | Cia de Minas Buenaventura SA ADR | 880,445 | ||||||
|
| |||||||
| Total | 880,445 | |||||||
|
| |||||||
| Philippines (0.1%) | |||||||
| 2,281,000 | Ayala Land, Inc. | 1,277,973 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
258
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (89.8%) | Value | ||||||
| Philippines (0.1%) - continued | |||||||
| 537,742 | Bank of the Philippine Islands | $ | 1,031,998 | |||||
|
| |||||||
| Total | 2,309,971 | |||||||
|
| |||||||
| Poland (0.5%) | |||||||
| 45,593 | Bank Handlowy w Warszawie SA | 1,579,805 | ||||||
| 83,896 | Bank Pekao SA | 4,983,972 | ||||||
| 62,915 | Grupa Lotos SAa | 738,978 | ||||||
| 459,131 | Telekomunikacja Polska SAa | 1,489,377 | ||||||
|
| |||||||
| Total | 8,792,132 | |||||||
|
| |||||||
| Portugal (0.7%) | |||||||
| 7,785,862 | Banco Espirito Santo SAa | 11,119,238 | ||||||
| 10,993 | Semapa - Sociedade de Investimento e Gestao, SGPS SA | 123,132 | ||||||
| 130,516 | Sonae | 188,632 | ||||||
| 229,386 | Sonaecom- SGPS SA | 812,027 | ||||||
|
| |||||||
| Total | 12,243,029 | |||||||
|
| |||||||
| Russia (0.7%) | |||||||
| 173,119 | Gazprom OAO ADR | 1,497,479 | ||||||
| 38,500 | Lukoil ADR | 2,408,452 | ||||||
| 4,200 | Magnit OJSC | 1,182,063 | ||||||
| 212,794 | Novolipetsk Steel OJSC GDR | 3,603,320 | ||||||
| 71,000 | Phosagro OAO | 684,213 | ||||||
| 216,992 | Sberbank of Russia GDR | 2,737,682 | ||||||
|
| |||||||
| Total | 12,113,209 | |||||||
|
| |||||||
| Singapore (1.2%) | |||||||
| 926,000 | ARA Asset Management, Ltd. | 1,366,242 | ||||||
| 309,000 | DBS Group Holdings, Ltd. | 4,199,238 | ||||||
| 1,661,000 | Ezion Holdings, Ltd. | 2,930,916 | ||||||
| 448,000 | Ezra Holdings, Ltd.a | 489,291 | ||||||
| 562,000 | Frasers Centrepoint Trusta | 784,950 | ||||||
| 74,000 | Frasers Commercial Trusta | 74,612 | ||||||
| 64,000 | Indofood Agri Resources, Ltd. | 44,967 | ||||||
| 1,074,915 | Keppel Corporation, Ltd. | 9,548,100 | ||||||
| 524,000 | Mapletree Logistics Trusta | 438,584 | ||||||
| 138,000 | Starhill Global REITa | 86,044 | ||||||
| 210,000 | Suntec Real Estate Investment Trusta | 256,849 | ||||||
|
| |||||||
| Total | 20,219,793 | |||||||
|
| |||||||
| South Africa (0.6%) | |||||||
| 68,144 | AngloGold Ashanti, Ltd. ADR | 798,648 | ||||||
| 86,008 | Barclays Africa Group | 1,085,881 | ||||||
| 80,310 | Impala Platinum Holdings, Ltd. | 944,168 | ||||||
| 59,584 | Massmart Holdings, Ltd. | 738,890 | ||||||
| 142,183 | MTN Group, Ltd. | 2,944,808 | ||||||
| 174,830 | PPC, Ltd. | 523,720 | ||||||
| 146,190 | Reunert, Ltd. | 954,625 | ||||||
| 173,764 | Sappi, Ltd.a | 543,361 | ||||||
| 181,000 | Truworths International, Ltd. | 1,326,106 | ||||||
|
| |||||||
| Total | 9,860,207 | |||||||
|
| |||||||
| South Korea (3.0%) | |||||||
| 5,401 | E-Mart Company, Ltd.a | 1,365,950 | ||||||
| 9,426 | Hyundai Department Store Company, Ltd.a | 1,441,336 | ||||||
| 17,978 | Hyundai Heavy Industries Company, Ltd.a | 4,390,143 | ||||||
| 11,813 | Hyundai Mobisa | 3,288,786 | ||||||
| 22,727 | Hyundai Motor Companya | 5,101,454 | ||||||
| 42,240 | Kangwon Land, Inc.a | 1,240,274 | ||||||
| 8,510 | LG Chem, Ltd.a | 2,420,598 | ||||||
| 34,725 | POSCO | 10,805,117 | ||||||
| 39,761 | POSCO ADR | 3,101,358 | ||||||
| 803 | Samsung Electronics Company, Ltd. | 1,046,347 | ||||||
| 22,200 | Samsung Heavy Industries Company, Ltd.a | 802,338 | ||||||
| 100,998 | Shinhan Financial Group Company, Ltd.a | 4,534,289 | ||||||
| 6,674 | Shinsegae Company, Ltd.a | 1,598,534 | ||||||
| 8,673 | SK Telecom Company, Ltd. | 1,897,993 | ||||||
| 303,340 | SK Telecom Company, Ltd. ADRc | 7,468,231 | ||||||
|
| |||||||
| Total | 50,502,748 | |||||||
|
| |||||||
| Spain (1.8%) | |||||||
| 49,986 | Atresmedia Corporacion de Medios de Comunicacion SAa | 828,269 | ||||||
| 970,245 | Banco Popular Espanol SAa | 5,860,452 | ||||||
| 284,204 | Bankinter SA | 1,952,959 | ||||||
| 206,431 | Ence Energia y Celulosa SA | 774,675 | ||||||
| 199,946 | Gamesa Corporacion Tecnologia SAa | 2,087,643 | ||||||
| 101,168 | Gas Natural SDG SA | 2,604,007 | ||||||
| 33,866 | Grupo Catalana Occidente SA | 1,214,036 | ||||||
| 2,118,971 | Iberdrola SA | 13,522,821 | ||||||
| 13,992 | Papeles y Cartones de Europa SA | 74,085 | ||||||
| 167,464 | Tubacex SA | 666,796 | ||||||
| 123,435 | Zeltia SAa | 393,097 | ||||||
|
| |||||||
| Total | 29,978,840 | |||||||
|
| |||||||
| Sweden (1.5%) | |||||||
| 5,009 | B&B Tools Aktiebolag | 91,701 | ||||||
| 7,623 | Bilia AB | 194,698 | ||||||
| 82,156 | Eniro ABa | 634,480 | ||||||
| 19,905 | Fingerprint Cards ABa | 169,091 | ||||||
| 74,905 | Intrum Justitia AB | 2,096,860 | ||||||
| 124,491 | Investor AB | 4,290,403 | ||||||
| 58,205 | Loomis AB | 1,380,198 | ||||||
| 25,447 | Medivir ABa | 334,316 | ||||||
| 7,686 | Modern Times Group AB | 398,439 | ||||||
| 35,547 | NCC AB | 1,160,969 | ||||||
| 7,211 | Net Entertainment NE ABa | 152,353 | ||||||
| 28,207 | Nobia AB | 239,011 | ||||||
| 139,372 | Nordea Bank AB | 1,879,125 | ||||||
| 7,941 | Rezidor Hotel Group ABa | 49,385 | ||||||
| 17,097 | SAS ABa | 43,774 | ||||||
| 382,903 | Skandinaviska Enskilda Banken AB | 5,058,635 | ||||||
| 175,057 | Svenska Cellulosa AB SCA | 5,393,132 | ||||||
| 83,066 | Swedbank AB | 2,339,912 | ||||||
|
| |||||||
| Total | 25,906,482 | |||||||
|
| |||||||
| Switzerland (8.6%) | |||||||
| 66,980 | Actelion, Ltd.a | 5,681,297 | ||||||
| 152,600 | Adecco SAa | 12,114,418 | ||||||
| 6,707 | AFG Arbonia-Forster-Holding AGa | 236,514 | ||||||
| 11,637 | Ascom Holding AGa | 195,957 | ||||||
| 1,523 | Autoneum Holding AGa | 233,744 | ||||||
| 4,744 | Basilea Pharmaceutica AGa | 562,870 | ||||||
| 661 | Bossard Holding AG | 153,381 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
259
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (89.8%) | Value | ||||||
| Switzerland (8.6%) - continued | |||||||
| 10,846 | Bucher Industries AG | $ | 3,151,730 | |||||
| 75,672 | Compagnie Financiere Richemont SA | 7,559,441 | ||||||
| 397,279 | Credit Suisse Group AGa | 12,261,373 | ||||||
| 165,671 | Ferrexpo plc | 526,639 | ||||||
| 712 | Forbo Holding AGa | 608,199 | ||||||
| 3,529 | Galenica AG | 3,552,642 | ||||||
| 67,251 | GAM Holding AGa | 1,309,404 | ||||||
| 1,881 | Georg Fischer AGa | 1,324,288 | ||||||
| 6,799 | Givaudan SAa | 9,726,413 | ||||||
| 127,518 | Holcim, Ltd.a | 9,533,840 | ||||||
| 44,990 | Implenia AGa | 3,286,452 | ||||||
| 1,461 | Komax Holding AGa | 221,594 | ||||||
| 5,102 | Kuoni Reisen Holding AGa | 2,301,654 | ||||||
| 66 | LEM Holding SA | 51,643 | ||||||
| 410 | Lindt & Spruengli AG | 1,848,114 | ||||||
| 228,603 | Nestle SA | 16,754,328 | ||||||
| 15,275 | Nobel Biocare Holding AGa | 239,180 | ||||||
| 229,850 | Novartis AG | 18,422,335 | ||||||
| 11,756 | Panalpina Welttransport Holding AG | 1,970,917 | ||||||
| 110,575 | Roche Holding AG | 30,974,962 | ||||||
| 38,328 | Schmolz + Bickenbach AGa | 47,568 | ||||||
| 2,826 | Siegfried Holding AGa | 511,946 | ||||||
| 10,402 | U-Blox AGa | 1,121,667 | ||||||
| 1,316 | Valora Holding AG | 366,896 | ||||||
|
| |||||||
| Total | 146,851,406 | |||||||
|
| |||||||
| Taiwan (0.6%) | |||||||
| 1,062,000 | Advanced Semiconductor Engineering, Inc. | 992,114 | ||||||
| 397,000 | Chipbond Technology Corporation | 626,277 | ||||||
| 3,217,000 | Compal Electronics, Inc. | 2,466,808 | ||||||
| 449,000 | Novatek Microelectronics Corporation | 1,842,044 | ||||||
| 26,000 | Powertech Technology, Inc. | �� | 39,790 | |||||
| 4,000 | Richtek Technology Corporation | 18,695 | ||||||
| 290,300 | Taiwan Mobile Company, Ltd. | 938,311 | ||||||
| 916,951 | Taiwan Semiconductor Manufacturing Company, Ltd. | 3,237,718 | ||||||
| 57,000 | TPK Holding Company, Ltd. | 337,258 | ||||||
|
| |||||||
| Total | 10,499,015 | |||||||
|
| |||||||
| Thailand (1.6%) | |||||||
| 718,625 | Bangkok Bank pcl | 3,911,060 | ||||||
| 178,400 | Kasikornbank pcl | 852,758 | ||||||
| 15,145,150 | Krung Thai Bank pcl | 7,654,273 | ||||||
| 238,100 | PTT Exploration & Production pcl | 1,209,405 | ||||||
| 858,175 | PTT pcl | 7,485,069 | ||||||
| 133,100 | Siam Cement pcl | 1,650,347 | ||||||
| 269,200 | Siam Commercial Bank pcl | 1,183,226 | ||||||
| 1,630,100 | Thai Oil pcl | 2,799,910 | ||||||
|
| |||||||
| Total | 26,746,048 | |||||||
|
| |||||||
| Turkey (0.2%) | |||||||
| 522,982 | Akbank TAS | 1,632,120 | ||||||
| 55,340 | BIM Birlesik Magazalar AS | 1,117,638 | ||||||
| 268,000 | Turkiye Garanti Bankasi AS | 868,731 | ||||||
| 90,158 | Turkiye Halk Bankasi AS | 510,068 | ||||||
|
| |||||||
| Total | 4,128,557 | |||||||
|
| |||||||
| United Kingdom (12.1%) | |||||||
| 116,852 | Abcam plc | 950,095 | ||||||
| 356,429 | ARM Holdings plc | 6,480,938 | ||||||
| 102,973 | Ashmore Group plc | 685,951 | ||||||
| 12,721 | ASOS plca | 1,296,125 | ||||||
| 97,624 | Associated British Foods plc | 3,959,228 | ||||||
| 5,950 | Babcock International Group plc | 133,697 | ||||||
| 2,613,168 | BAE Systems plc | 18,853,565 | ||||||
| 39,436 | Bank of Georgia Holdings plc | 1,564,591 | ||||||
| 184,722 | Bellway plc | 4,811,878 | ||||||
| 14,185 | Berendsen plc | 220,161 | ||||||
| 63,833 | Berkeley Group Holdings plc | 2,814,298 | ||||||
| 30,000 | BHP Billiton plc | 929,588 | ||||||
| 7,214 | Big Yellow Group plc | 57,188 | ||||||
| 913,854 | Blinkx plca | 3,108,304 | ||||||
| 36,294 | Brewin Dolphin Holdings plc | 183,309 | ||||||
| 174,996 | British American Tobacco plc | 9,392,802 | ||||||
| 518,384 | Britvic plc | 5,951,439 | ||||||
| 23,398 | BTG plca | 222,914 | ||||||
| 116,421 | Cable & Wireless Communications plc | 108,632 | ||||||
| 33,799 | Chemring Group plc | 125,743 | ||||||
| 3,808 | Clarkson plc | 126,181 | ||||||
| 275,999 | CSR plc | 2,893,544 | ||||||
| 53,322 | Daily Mail and General Trust plc | 849,396 | ||||||
| 19,087 | Dairy Crest Group plc | 170,679 | ||||||
| 12,177 | Derwent London plc | 503,338 | ||||||
| 43,812 | Diageo plc | 1,451,875 | ||||||
| 139,319 | DS Smith plc | 768,188 | ||||||
| 191,535 | easyJet plc | 4,881,680 | ||||||
| 248,731 | EnQuest plca | 554,752 | ||||||
| 59,432 | Essentra plc | 846,632 | ||||||
| 55,784 | Fenner plc | 449,183 | ||||||
| 4,522 | Galliford Try plc | 87,538 | ||||||
| 76,417 | Globo plca | 75,610 | ||||||
| 7,399 | Go-Ahead Group plc | 215,930 | ||||||
| 43,828 | Grainger plc | 148,090 | ||||||
| 61,696 | Halfords Group plc | 457,330 | ||||||
| 350,198 | Halma plc | 3,503,798 | ||||||
| 43,255 | Hikma Pharmaceuticals plc | 861,607 | ||||||
| 626,804 | Howden Joinery Group plc | 3,586,425 | ||||||
| 187,875 | HSBC Holdings plc ADRc | 10,357,548 | ||||||
| 211,193 | IG Group Holdings plc | 2,157,620 | ||||||
| 260,238 | Intermediate Capital Group plc | 1,814,532 | ||||||
| 44,207 | International Personal Finance plc | 365,699 | ||||||
| 1,613,186 | ITV plc | 5,191,491 | ||||||
| 27,713 | J D Wetherspoon plc | 349,464 | ||||||
| 501,203 | J Sainsbury plc | 3,033,409 | ||||||
| 490,486 | Jupiter Fund Management plc | 3,132,311 | ||||||
| 197,592 | KCOM Group plc | 322,275 | ||||||
| 28,553 | Keller Group plc | 543,277 | ||||||
| 45,737 | Lancashire Holdings, Ltd. | 614,844 | ||||||
| 4,499,269 | Lloyds TSB Group plca | 5,903,916 | ||||||
| 137,656 | London Stock Exchange Group plc | 3,959,890 | ||||||
| 1,368,366 | Man Group plc | 1,933,074 | ||||||
| 48,629 | Michael Page International plc | 393,648 | ||||||
| 24,826 | Micro Focus International plc | 316,037 | ||||||
| 253,959 | Mondi plc | 4,408,372 | ||||||
| 304,361 | Moneysupermarket.com Group plc | 911,257 | ||||||
| 5,175 | Morgan Sindall Group plc | 64,776 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
260
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (89.8%) | Value | ||||||
| United Kingdom (12.1%) - continued | |||||||
| 38,645 | N Brown Group plc | $ | 340,928 | |||||
| 39,030 | Next plc | 3,528,001 | ||||||
| 7,120 | Northgate plc | 60,637 | ||||||
| 176,510 | Ocado Group plca | 1,294,604 | ||||||
| 779,333 | Pace plc | 4,115,033 | ||||||
| 199,814 | Persimmon plca | 4,108,037 | ||||||
| 1,289,725 | Premier Foods plca | 2,669,663 | ||||||
| 359,004 | Prudential plc | 8,021,630 | ||||||
| 51,027 | Rightmove plc | 2,317,381 | ||||||
| 32,588 | SABMiller plc | 1,656,584 | ||||||
| 58,206 | Shaftesbury plc | 606,149 | ||||||
| 155,052 | Shire plc | 7,307,204 | ||||||
| 180,128 | SIG plc | 632,713 | ||||||
| 70,201 | Spirax-Sarco Engineering plc | 3,484,151 | ||||||
| 166,070 | Sports Direct International plca | 1,971,475 | ||||||
| 87,653 | Standard Chartered plc | 1,979,824 | ||||||
| 358,301 | TalkTalk Telecom Group plc | 1,819,136 | ||||||
| 1,414,077 | Taylor Wimpey plc | 2,618,881 | ||||||
| 1,881,225 | Tesco plc | 10,447,129 | ||||||
| 34,452 | The Paragon Group Of Companies plc | 211,940 | ||||||
| 49,997 | Trinity Mirror plca | 169,254 | ||||||
| 254,482 | TUI Travel plc | 1,744,334 | ||||||
| 90,888 | Unilever plc | 3,739,678 | ||||||
| 10,437 | Vesuvius plc | 88,253 | ||||||
| 2,726,587 | Vodafone Group plc | 10,735,153 | ||||||
| 11,574 | WH Smith plc | 192,187 | ||||||
|
| |||||||
| Total | 205,915,621 | |||||||
|
| |||||||
| United States (0.5%) | |||||||
| 146,883 | iShares MSCI Emerging Markets Index Fund | 6,135,303 | ||||||
| 14,000 | Vanguard MSCI Emerging Markets ETF | 575,960 | ||||||
| 13,000 | Yum! Brands, Inc. | 982,930 | ||||||
|
| |||||||
| Total | 7,694,193 | |||||||
|
| |||||||
Total Common Stock (cost $1,308,196,859) | 1,529,502,778 | |||||||
|
| |||||||
| Principal Amount | Long-Term Fixed Income (7.5%) | |||||||
| Angola (<0.1%) | |||||||
Republic of Angola Via Northern Lights III BV | ||||||||
| 320,000 | 7.000%, 8/16/2019 | 346,000 | ||||||
|
| |||||||
| Total | 346,000 | |||||||
|
| |||||||
| Argentina (0.1%) | |||||||
Arcos Dorados BV | ||||||||
| 361,000 | 7.500%, 10/1/2019d | 366,596 | ||||||
Argentina Government International Bond | ||||||||
| 571,195 | 7.820%, 12/31/2033e | 560,665 | ||||||
| 332,318 | 8.280%, 12/31/2033 | 250,900 | ||||||
| 41,540 | 8.280%, 12/31/2033 | 30,324 | ||||||
| 1,970,000 | 0.000%, 12/15/2035f | 170,405 | ||||||
| 5,112,000 | 0.000%, 12/15/2035e,f | 573,157 | ||||||
| 100,000 | 2.260%, 12/31/2038e,g | 53,309 | ||||||
| 1,600,000 | 2.500%, 12/31/2038g | 652,000 | ||||||
|
| |||||||
| Total | 2,657,356 | |||||||
|
| |||||||
| Azerbaijan (<0.1%) | |||||||
State Oil Company of Azerbaijan Republic | ||||||||
| 200,000 | 5.450%, 2/9/2017 | 212,740 | ||||||
|
| |||||||
| Total | 212,740 | |||||||
|
| |||||||
| Belarus (<0.1%) | |||||||
Belarus Government International Bond | ||||||||
| 289,000 | 8.750%, 8/3/2015 | 291,890 | ||||||
|
| |||||||
| Total | 291,890 | |||||||
|
| |||||||
| Belize (<0.1%) | |||||||
Belize Government International Bond | ||||||||
| 116,500 | 5.000%, 2/20/2038g,h | 73,104 | ||||||
|
| |||||||
| Total | 73,104 | |||||||
|
| |||||||
| Bermuda (<0.1%) | |||||||
Bermuda Government International Bond | ||||||||
| 340,000 | 4.854%, 2/6/2024d | 341,086 | ||||||
|
| |||||||
| Total | 341,086 | |||||||
|
| |||||||
| Brazil (0.5%) | |||||||
Banco do Estado do Rio Grande do Sul SA | ||||||||
| 200,000 | 7.375%, 2/2/2022 | 197,500 | ||||||
| 680,000 | 7.375%, 2/2/2022d | 671,500 | ||||||
Brazil Government International Bond | ||||||||
| 1,392,000 | 6.000%, 8/15/2050i | 1,325,578 | ||||||
| 580,000 | 4.875%, 1/22/2021 | 611,900 | ||||||
| 690,000 | 4.250%, 1/7/2025 | 657,225 | ||||||
Brazil Loan Trust 1 | ||||||||
| 1,150,000 | 5.477%, 7/24/2023d | 1,147,125 | ||||||
Brazil Minas SPE via State of Minas Gerais | ||||||||
| 2,270,000 | 5.333%, 2/15/2028d | 2,105,424 | ||||||
Independencia International, Ltd. | ||||||||
| 95,246 | 12.000%, 12/30/2016h,j,k | 0 | ||||||
Marfrig Holdings Europe BV | ||||||||
| 220,000 | 11.250%, 9/20/2021d | 210,100 | ||||||
|
| |||||||
| Total | 6,926,352 | |||||||
|
| |||||||
| Canada (<0.1%) | |||||||
PTTEP Canada International Finance, Ltd. | ||||||||
| 540,000 | 6.350%, 6/12/2042 | 545,322 | ||||||
|
| |||||||
| Total | 545,322 | |||||||
|
| |||||||
| Cayman Islands (0.1%) | |||||||
Cementos Progreso Trust | ||||||||
| 230,000 | 7.125%, 11/6/2023h | 233,163 | ||||||
Raizen Fuels Finance, Ltd. | ||||||||
| 520,000 | 9.500%, 8/15/2014 | 542,880 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
261
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (7.5%) | Value | ||||||
| Cayman Islands (0.1%) - continued |
| ||||||
Sun Hung Kai Properties Capital Market, Ltd. | ||||||||
| $ | 380,000 | 4.500%, 2/14/2022 | $ | 381,374 | ||||
|
| |||||||
| Total | 1,157,417 | |||||||
|
| |||||||
| Chile (0.3%) | |||||||
AES Gener SA | ||||||||
| 450,000 | 8.375%, 12/18/2073d | 469,125 | ||||||
| 520,000 | 5.250%, 8/15/2021 | 526,290 | ||||||
| 120,000 | 5.250%, 8/15/2021d | 121,451 | ||||||
Automotores Gildemeister SA | ||||||||
| 200,000 | 8.250%, 5/24/2021 | 137,000 | ||||||
Banco del Estado de Chile | ||||||||
| 200,000 | 4.125%, 10/7/2020 | 203,168 | ||||||
| 260,000 | 4.125%, 10/7/2020d | 264,119 | ||||||
CFR International SPA | ||||||||
| 340,000 | 5.125%, 12/6/2022 | 312,245 | ||||||
Chile Government International Bond | ||||||||
| 130,000 | 3.875%, 8/5/2020 | 135,200 | ||||||
| 520,000 | 3.250%, 9/14/2021 | 508,300 | ||||||
| 750,000 | 3.625%, 10/30/2042 | 589,125 | ||||||
E-CL SA | ||||||||
| 320,000 | 5.625%, 1/15/2021d | 337,435 | ||||||
Empresa Nacional de Telecomunicaciones SA | ||||||||
| 980,000 | 4.875%, 10/30/2024d | 957,322 | ||||||
Sociedad Quimica y Minera de Chile SA | ||||||||
| 120,000 | 5.500%, 4/21/2020 | 122,188 | ||||||
| 210,000 | 3.625%, 4/3/2023 | 182,350 | ||||||
|
| |||||||
| Total | 4,865,318 | |||||||
|
| |||||||
| China (0.2%) | |||||||
CNOOC Curtis Funding | ||||||||
| 1,110,000 | 4.500%, 10/3/2023d | 1,101,652 | ||||||
Evergrande Real Estate Group, Ltd. | ||||||||
| 200,000 | 8.750%, 10/30/2018d | 201,500 | ||||||
Sinopec Group Overseas Development 2013, Ltd. | ||||||||
| 1,290,000 | 4.375%, 10/17/2023d | 1,266,676 | ||||||
| 200,000 | 5.375%, 10/17/2043d | 198,517 | ||||||
Sparkle Assets, Ltd. | ||||||||
| 220,000 | 6.875%, 1/30/2020 | 210,924 | ||||||
|
| |||||||
| Total | 2,979,269 | |||||||
|
| |||||||
| Colombia (0.5%) | |||||||
Banco de Bogota SA | ||||||||
| 650,000 | 5.000%, 1/15/2017 | 687,375 | ||||||
Bancolombia SA | ||||||||
| 240,000 | 6.125%, 7/26/2020 | 247,500 | ||||||
| 200,000 | 5.950%, 6/3/2021 | 208,000 | ||||||
Colombia Government International Bond | ||||||||
| 30,000 | 8.250%, 12/22/2014 | 31,950 | ||||||
| 400,000 | 7.375%, 1/27/2017 | 462,000 | ||||||
| 1,695,000 | 7.375%, 3/18/2019 | 2,037,389 | ||||||
| 610,000 | 4.000%, 2/26/2024 | 588,040 | ||||||
| 60,000 | 8.125%, 5/21/2024 | 77,100 | ||||||
| 360,000 | 6.125%, 1/18/2041 | 385,200 | ||||||
Ecopetrol SA | ||||||||
| 190,000 | 5.875%, 9/18/2023 | 200,450 | ||||||
| 130,000 | 7.375%, 9/18/2043 | 140,920 | ||||||
Empresa de Energia de Bogota SA | ||||||||
| 210,000 | 6.125%, 11/10/2021 | 223,650 | ||||||
Empresas Publicas de Medellin ESP | ||||||||
| 277,000 | 7.625%, 7/29/2019 | 326,860 | ||||||
Pacific Rubiales Energy Corporation | ||||||||
| 280,000 | 5.375%, 1/26/2019d | 282,100 | ||||||
| 280,000 | 5.125%, 3/28/2023d | 256,900 | ||||||
Transportadora de Gas Internacional SA ESP | ||||||||
| 230,000 | 5.700%, 3/20/2022 | 243,513 | ||||||
| 200,000 | 5.700%, 3/20/2022d | 211,750 | ||||||
|
| |||||||
| Total | 6,610,697 | |||||||
|
| |||||||
| Costa Rica (0.3%) | |||||||
Banco de Costa Rica | ||||||||
| 200,000 | 5.250%, 8/12/2018 | 199,000 | ||||||
| 410,000 | 5.250%, 8/12/2018d | 407,950 | ||||||
Banco Nacional de Costa Rica | ||||||||
| 410,000 | 4.875%, 11/1/2018d | 401,800 | ||||||
| 890,000 | 6.250%, 11/1/2023d | 861,075 | ||||||
Costa Rica Government International Bond | ||||||||
| 30,000 | 9.995%, 8/1/2020 | 37,650 | ||||||
| 960,000 | 4.250%, 1/26/2023d | 878,400 | ||||||
| 1,170,000 | 4.375%, 4/30/2025 | 1,032,525 | ||||||
| 740,000 | 5.625%, 4/30/2043 | 627,150 | ||||||
| 580,000 | 5.625%, 4/30/2043d | 491,550 | ||||||
|
| |||||||
| Total | 4,937,100 | |||||||
|
| |||||||
| Croatia (0.2%) | |||||||
Croatia Government International Bond | ||||||||
| 600,000 | 6.375%, 3/24/2021 | 627,900 | ||||||
| 400,000 | 5.500%, 4/4/2023 | 389,000 | ||||||
| 1,970,000 | 6.000%, 1/26/2024d | 1,955,225 | ||||||
|
| |||||||
| Total | 2,972,125 | |||||||
|
| |||||||
| Dominican Republic (0.3%) | |||||||
Dominican Republic Government International Bond | ||||||||
| 100,000 | 7.500%, 5/6/2021d | 108,500 | ||||||
| 2,068,000 | 7.500%, 5/6/2021 | 2,243,780 | ||||||
| 2,600,000 | 14.500%, 2/10/2023l | 62,718 | ||||||
| 1,060,000 | 6.600%, 1/28/2024d | 1,065,300 | ||||||
| 740,000 | 5.875%, 4/18/2024d | 706,700 | ||||||
| 140,000 | 8.625%, 4/20/2027 | 151,200 | ||||||
| 800,000 | 18.500%, 2/4/2028l | 22,464 | ||||||
| 16,900,000 | 18.500%, 2/4/2028h,l | 474,551 | ||||||
|
| |||||||
| Total | 4,835,213 | |||||||
|
| |||||||
| Egypt (<0.1%) | |||||||
Egypt Government International Bond | ||||||||
| 800,000 | 5.750%, 4/29/2020 | 760,000 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
262
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (7.5%) | Value | ||||||
| Egypt (<0.1%) - continued |
| ||||||
| $ | 100,000 | 6.875%, 4/30/2040 | $ | 83,000 | ||||
|
| |||||||
| Total | 843,000 | |||||||
|
| |||||||
| Gabon (0.1%) |
| ||||||
Gabonese Republic Government International Bond | ||||||||
| 140,000 | 8.200%, 12/12/2017 | 162,050 | ||||||
| 1,405,200 | 6.375%, 12/12/2024d | 1,408,713 | ||||||
|
| |||||||
| Total | 1,570,763 | |||||||
|
| |||||||
| Ghana (<0.1%) |
| ||||||
Ghana Government International Bond | ||||||||
| 450,000 | 8.500%, 10/4/2017 | 481,500 | ||||||
|
| |||||||
| Total | 481,500 | |||||||
|
| |||||||
| Greece (<0.1%) |
| ||||||
Hellenic Republic Government International Bond | ||||||||
| 164,000 | 1.619%, 5/21/2014e,f | 219,436 | ||||||
| 260,000 | 0.971%, 8/10/2014e,f | 341,211 | ||||||
|
| |||||||
| Total | 560,647 | |||||||
|
| |||||||
| Guatemala (<0.1%) |
| ||||||
Guatemala Government International Bond | ||||||||
| 350,000 | 5.750%, 6/6/2022d | 361,375 | ||||||
| 380,000 | 4.875%, 2/13/2028d | 345,800 | ||||||
|
| |||||||
| Total | 707,175 | |||||||
|
| |||||||
| Honduras (0.2%) |
| ||||||
Honduras Government International Bond | ||||||||
| 1,680,000 | 8.750%, 12/16/2020d | 1,692,600 | ||||||
| 1,160,000 | 7.500%, 3/15/2024d | 1,058,500 | ||||||
|
| |||||||
| Total | 2,751,100 | |||||||
|
| |||||||
| Hong Kong (<0.1%) |
| ||||||
Hainan Airlines Hong Kong Company, Ltd. | ||||||||
| 280,000 | 3.625%, 2/7/2020 | 267,551 | ||||||
Metropolitan Light International, Ltd. | ||||||||
| 400,000 | 5.250%, 1/17/2018 | 401,127 | ||||||
|
| |||||||
| Total | 668,678 | |||||||
|
| |||||||
| Hungary (0.1%) |
| ||||||
Hungary Government International Bond | ||||||||
| 1,080,000 | 5.750%, 11/22/2023 | 1,085,400 | ||||||
MFB Magyar Fejlesztesi Bank Zrt | ||||||||
| 210,000 | 6.250%, 10/21/2020d | 216,038 | ||||||
|
| |||||||
| Total | 1,301,438 | |||||||
|
| |||||||
| India (<0.1%) |
| ||||||
Vedanta Resources plc | ||||||||
| 520,000 | 7.125%, 5/31/2023d | 476,450 | ||||||
|
| |||||||
| Total | 476,450 | |||||||
|
| |||||||
| Indonesia (0.5%) |
| ||||||
Indonesia Government International Bond | ||||||||
| 400,000 | 11.625%, 3/4/2019d | 533,000 | ||||||
| 1,280,000 | 11.625%, 3/4/2019 | 1,705,599 | ||||||
| 730,000 | 4.875%, 5/5/2021 | 722,700 | ||||||
| 320,000 | 3.375%, 4/15/2023d | 272,800 | ||||||
| 455,000 | 8.500%, 10/12/2035 | 549,413 | ||||||
| 1,520,000 | 7.750%, 1/17/2038 | 1,715,699 | ||||||
Perusahaan Penerbit SBSN | ||||||||
| 200,000 | 4.000%, 11/21/2018d | 196,000 | ||||||
| 270,000 | 6.125%, 3/15/2019d | 287,888 | ||||||
PT Pertamina Persero | ||||||||
| 840,000 | 5.625%, 5/20/2043d | 665,700 | ||||||
|
| |||||||
| Total | 6,648,799 | |||||||
|
| |||||||
| Iraq (<0.1%) |
| ||||||
Iraq Government International Bond | ||||||||
| 950,000 | 5.800%, 1/15/2028 | 807,500 | ||||||
|
| |||||||
| Total | 807,500 | |||||||
|
| |||||||
| Ireland (0.1%) |
| ||||||
MTS International Funding, Ltd. | ||||||||
| 690,000 | 8.625%, 6/22/2020 | 814,200 | ||||||
Sibur Securities, Ltd. | ||||||||
| 520,000 | 3.914%, 1/31/2018d | 507,650 | ||||||
|
| |||||||
| Total | 1,321,850 | |||||||
|
| |||||||
| Israel (<0.1%) |
| ||||||
Israel Electric Corporation, Ltd. | ||||||||
| 230,000 | 5.625%, 6/21/2018d | 243,283 | ||||||
|
| |||||||
| Total | 243,283 | |||||||
|
| |||||||
| Ivory Coast (0.1%) |
| ||||||
Ivory Coast Government International Bond | ||||||||
| 2,229,000 | 7.100%, 12/31/2032 | 1,989,383 | ||||||
|
| |||||||
| Total | 1,989,383 | |||||||
|
| |||||||
| Kazakhstan (0.1%) |
| ||||||
Kazatomprom Natsionalnaya Atomnaya Kompaniya AO | ||||||||
| 220,000 | 6.250%, 5/20/2015 | 228,800 | ||||||
KazMunayGas National Company | ||||||||
| 450,000 | 11.750%, 1/23/2015 | 493,875 | ||||||
| 100,000 | 9.125%, 7/2/2018 | 121,250 | ||||||
| 1,170,000 | 6.375%, 4/9/2021d | 1,269,450 | ||||||
| 290,000 | 5.750%, 4/30/2043h | 250,183 | ||||||
|
| |||||||
| Total | 2,363,558 | |||||||
|
| |||||||
| Luxembourg (0.2%) |
| ||||||
Gazprom Neft OAO Via GPN Capital SA | ||||||||
| 1,590,000 | 6.000%, 11/27/2023d | 1,613,850 | ||||||
Millicom International Cellular SA | ||||||||
| 280,000 | 4.750%, 5/22/2020d | 268,800 | ||||||
Telefonica Celular del Paraguay SA | ||||||||
| 400,000 | 6.750%, 12/13/2022 | 416,000 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
263
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (7.5%) | Value | ||||||
| Luxembourg (0.2%) - continued |
| ||||||
TNK-BP Finance SA | ||||||||
| $ | 390,000 | 7.875%, 3/13/2018 | $ | 450,450 | ||||
| 756,000 | 7.250%, 2/2/2020 | 853,335 | ||||||
Wind Acquisition Finance SA | ||||||||
| 140,000 | 11.750%, 7/15/2017d | 148,925 | ||||||
Wind Acquisition Holdings Finance SA | ||||||||
| 150,000 | 12.250%, 7/15/2017e | 216,674 | ||||||
|
| |||||||
| Total | 3,968,034 | |||||||
|
| |||||||
| Malaysia (<0.1%) |
| ||||||
Wakala Global Sukuk Bhd | ||||||||
| 420,000 | 4.646%, 7/6/2021 | 437,011 | ||||||
|
| |||||||
| Total | 437,011 | |||||||
|
| |||||||
| Mexico (0.4%) |
| ||||||
Grupo Cementos de Chihuahua SAB de CV | ||||||||
| 200,000 | 8.125%, 2/8/2020d | 209,500 | ||||||
Grupo KUO SAB de CV | ||||||||
| 350,000 | 6.250%, 12/4/2022d | 350,000 | ||||||
Metalsa SA de CV | ||||||||
| 350,000 | 4.900%, 4/24/2023d | 317,625 | ||||||
Mexican Bonos | ||||||||
| 187,000 | 8.000%, 12/7/2023m | 15,930 | ||||||
| 441,600 | 7.750%, 5/29/2031m | 35,407 | ||||||
| 440,200 | 10.000%, 11/20/2036m | 42,818 | ||||||
| 486,900 | 8.500%, 11/18/2038m | 41,191 | ||||||
Mexico Government International Bond | ||||||||
| 290,000 | 5.875%, 1/15/2014 | 290,528 | ||||||
| 20,000 | 6.625%, 3/3/2015 | 21,300 | ||||||
| 370,000 | 3.625%, 3/15/2022 | 370,000 | ||||||
| 596,000 | 4.000%, 10/2/2023 | 590,040 | ||||||
| 260,000 | 6.750%, 9/27/2034 | 306,800 | ||||||
| 1,098,000 | 6.050%, 1/11/2040 | 1,194,075 | ||||||
| 1,330,000 | 4.750%, 3/8/2044 | 1,198,663 | ||||||
| 180,000 | 5.750%, 10/12/2110 | 166,500 | ||||||
Offshore Drilling Holding SA | ||||||||
| 450,000 | 8.375%, 9/20/2020d | 479,250 | ||||||
Pemex Project Funding Master Trust | ||||||||
| 300,000 | 6.625%, 6/15/2035 | 315,750 | ||||||
Petroleos Mexicanos | ||||||||
| 80,000 | 5.500%, 1/21/2021 | 86,000 | ||||||
| 1,070,000 | 4.875%, 1/24/2022 | 1,099,425 | ||||||
| 470,000 | 4.875%, 1/18/2024 | 470,000 | ||||||
| 70,000 | 6.500%, 6/2/2041 | 73,150 | ||||||
Total | 7,673,952 | |||||||
| Mozambique (<0.1%) |
| ||||||
Mozambique EMATUM Finance 2020 BV | ||||||||
| 210,000 | 6.305%, 9/11/2020 | 199,500 | ||||||
|
| |||||||
| Total | 199,500 | |||||||
|
| |||||||
| Netherlands (0.1%) |
| ||||||
Ajecorp BV | ||||||||
| 310,000 | 6.500%, 5/14/2022 | 307,675 | ||||||
Kazakhstan Temir Zholy Finance BV | ||||||||
| 390,000 | 6.950%, 7/10/2042d | 388,050 | ||||||
Listrindo Capital BV | ||||||||
| 340,000 | 6.950%, 2/21/2019 | 354,450 | ||||||
VimpelCom Holdings BV | ||||||||
| 580,000 | 7.504%, 3/1/2022d | 605,880 | ||||||
|
| |||||||
| Total | 1,656,055 | |||||||
|
| |||||||
| Nigeria (0.1%) |
| ||||||
Nigeria Government International Bond | ||||||||
| 310,000 | 5.125%, 7/12/2018 | 317,750 | ||||||
| 850,000 | 6.750%, 1/28/2021 | 918,000 | ||||||
| 700,000 | 6.375%, 7/12/2023d | 722,750 | ||||||
|
| |||||||
| Total | 1,958,500 | |||||||
|
| |||||||
| Pakistan (<0.1%) |
| ||||||
Pakistan Government International Bond | ||||||||
| 370,000 | 6.875%, 6/1/2017 | 360,750 | ||||||
| 100,000 | 7.875%, 3/31/2036 | 82,500 | ||||||
|
| |||||||
| Total | 443,250 | |||||||
|
| |||||||
| Panama (0.2%) |
| ||||||
Panama Government International Bond | ||||||||
| 200,000 | 4.300%, 4/29/2053 | 151,500 | ||||||
| 380,000 | 5.200%, 1/30/2020 | 413,725 | ||||||
| 286,000 | 8.875%, 9/30/2027 | 381,095 | ||||||
| 1,159,000 | 9.375%, 4/1/2029 | 1,608,112 | ||||||
| 790,000 | 6.700%, 1/26/2036 | 882,825 | ||||||
|
| |||||||
| Total | 3,437,257 | |||||||
|
| |||||||
| Paraguay (0.1%) |
| ||||||
Banco Continental SAECA | ||||||||
| 150,000 | 8.875%, 10/15/2017 | 159,375 | ||||||
| 170,000 | 8.875%, 10/15/2017d | 180,625 | ||||||
Paraguay Government International Bond | ||||||||
| 410,000 | 4.625%, 1/25/2023 | 383,350 | ||||||
| 570,000 | 4.625%, 1/25/2023d | 532,950 | ||||||
|
| |||||||
| Total | 1,256,300 | |||||||
|
| |||||||
| Peru (0.2%) |
| ||||||
Ajecorp BV | ||||||||
| 160,000 | 6.500%, 5/14/2022d | 158,800 | ||||||
Banco de Credito del Peru | ||||||||
| 200,000 | 6.125%, 4/24/2027d | 199,500 | ||||||
Corporacion Financiera de Desarrollo SA | ||||||||
| 200,000 | 4.750%, 2/8/2022 | 197,500 | ||||||
| 200,000 | 4.750%, 2/8/2022d | 197,500 | ||||||
Corporacion Lindley SA | ||||||||
| 330,000 | 6.750%, 11/23/2021 | 348,150 | ||||||
| 70,000 | 6.750%, 11/23/2021d | 73,850 | ||||||
| 100,000 | 4.625%, 4/12/2023d | 92,250 | ||||||
Peru Government International Bond | ||||||||
| 350,000 | 5.625%, 11/18/2050 | 350,000 | ||||||
| 600,000 | 7.350%, 7/21/2025 | 756,000 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
264
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (7.5%) | Value | ||||||
| Peru (0.2%) - continued |
| ||||||
| $ | 354,000 | 8.750%, 11/21/2033 | $ | 503,565 | ||||
| 670,000 | 6.550%, 3/14/2037 | 770,500 | ||||||
San Miguel Industrias Pet SA | ||||||||
| 160,000 | 7.750%, 11/6/2020h | 163,600 | ||||||
|
| |||||||
| Total | 3,811,215 | |||||||
|
| |||||||
| Philippines (0.1%) |
| ||||||
Energy Development Corporation | ||||||||
| 630,000 | 6.500%, 1/20/2021 | 656,775 | ||||||
Philippines Government International Bond | ||||||||
| 1,020,000 | 7.500%, 9/25/2024 | 1,269,900 | ||||||
| 350,000 | 7.750%, 1/14/2031 | 460,688 | ||||||
|
| |||||||
| Total | 2,387,363 | |||||||
|
| |||||||
| Romania (0.1%) |
| ||||||
Cable Communications Systems NV | ||||||||
| 100,000 | 7.500%, 11/1/2020e,h | 141,010 | ||||||
Romania Government International Bond | ||||||||
| 45,000 | 6.500%, 6/18/2018e | 70,530 | ||||||
| 390,000 | 4.625%, 9/18/2020e | 560,132 | ||||||
| 660,000 | 6.750%, 2/7/2022 | 749,100 | ||||||
|
| |||||||
| Total | 1,520,772 | |||||||
|
| |||||||
| Russia (0.5%) |
| ||||||
AHML Finance, Ltd. | ||||||||
| 10,700,000 | 7.750%, 2/13/2018d,n | 320,079 | ||||||
EDC Finance, Ltd. | ||||||||
| 300,000 | 4.875%, 4/17/2020d | 291,375 | ||||||
Gazprom Neft Capital SA | ||||||||
| 490,000 | 4.375%, 9/19/2022d | 448,962 | ||||||
Lukoil International Finance BV | ||||||||
| 310,000 | 6.125%, 11/9/2020 | 335,885 | ||||||
Phosagro OAO Via Phosagro Bond Funding, Ltd. | ||||||||
| 310,000 | 4.204%, 2/13/2018d | 307,288 | ||||||
Rosneft Oil Company via Rosneft International Finance, Ltd. | ||||||||
| 300,000 | 4.199%, 3/6/2022d | 275,250 | ||||||
Russian Government International Bond | ||||||||
| 2,000,000 | 3.500%, 1/16/2019d | 2,030,999 | ||||||
| 1,100,000 | 5.000%, 4/29/2020 | 1,176,450 | ||||||
| 1,400,000 | 4.875%, 9/16/2023d | 1,414,000 | ||||||
| 361,075 | 7.500%, 3/31/2030 | 420,724 | ||||||
Uralkali OJSC | ||||||||
| 290,000 | 3.723%, 4/30/2018d | 279,588 | ||||||
|
| |||||||
| Total | 7,300,600 | |||||||
|
| |||||||
| Serbia (0.1%) |
| ||||||
Serbia Government International Bond | ||||||||
| 1,080,000 | 5.875%, 12/3/2018d | 1,098,900 | ||||||
|
| |||||||
| Total | 1,098,900 | |||||||
|
| |||||||
| Slovenia (<0.1%) |
| ||||||
Slovenia Government International Bond | ||||||||
| 400,000 | 5.500%, 10/26/2022 | 399,000 | ||||||
| 200,000 | 5.500%, 10/26/2022d | 199,500 | ||||||
|
| |||||||
| Total | 598,500 | |||||||
|
| |||||||
| South Africa (0.1%) |
| ||||||
Peermont Global Proprietary, Ltd. | ||||||||
| 250,000 | 7.750%, 4/30/2014e | 345,646 | ||||||
South Africa Government International Bond | ||||||||
| 1,010,000 | 5.875%, 9/16/2025 | 1,050,400 | ||||||
|
| |||||||
| Total | 1,396,046 | |||||||
|
| |||||||
| Spain (<0.1%) |
| ||||||
BC Luxco 1 SA | ||||||||
| 200,000 | 7.375%, 1/29/2020 | 185,000 | ||||||
|
| |||||||
| Total | 185,000 | |||||||
|
| |||||||
| Sri Lanka (0.1%) |
| ||||||
National Savings Bank | ||||||||
| 440,000 | 8.875%, 9/18/2018d | 468,050 | ||||||
Sri Lanka Government International Bond | ||||||||
| 410,000 | 6.250%, 10/4/2020 | 403,850 | ||||||
| 320,000 | 6.250%, 7/27/2021 | 311,200 | ||||||
| 200,000 | 5.875%, 7/25/2022 | 187,000 | ||||||
|
| |||||||
| Total | 1,370,100 | |||||||
|
| |||||||
| Supranational (0.1%) |
| ||||||
Corporacion Andina de Fomento | ||||||||
| 639,000 | 3.750%, 1/15/2016 | 664,368 | ||||||
| 600,000 | 5.750%, 1/12/2017 | 655,805 | ||||||
| 643,000 | 4.375%, 6/15/2022 | 636,686 | ||||||
|
| |||||||
| Total | 1,956,859 | |||||||
|
| |||||||
| Turkey (0.3%) |
| ||||||
Coca-Cola Icecek AS | ||||||||
| 330,000 | 4.750%, 10/1/2018d | 335,815 | ||||||
Export Credit Bank of Turkey | ||||||||
| 200,000 | 5.875%, 4/24/2019 | 202,300 | ||||||
Hazine Mustesarligi Varlik Kiralama AS | ||||||||
| 2,360,000 | 2.803%, 3/26/2018 | 2,174,150 | ||||||
| 200,000 | 4.557%, 10/10/2018d | 196,500 | ||||||
Turkey Government International Bond | ||||||||
| 320,000 | 7.000%, 3/11/2019 | 350,400 | ||||||
| 460,000 | 5.625%, 3/30/2021 | 461,840 | ||||||
| 600,000 | 6.250%, 9/26/2022 | 623,100 | ||||||
| 190,000 | 7.375%, 2/5/2025 | 205,105 | ||||||
| 50,000 | 8.000%, 2/14/2034 | 55,625 | ||||||
| 280,000 | 6.875%, 3/17/2036 | 274,680 | ||||||
| 50,000 | 7.250%, 3/5/2038 | 51,450 | ||||||
Turkiye Vakiflar Bankasi Tao | ||||||||
| 280,000 | 3.750%, 4/15/2018d | 262,220 | ||||||
|
| |||||||
| Total | 5,193,185 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
265
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (7.5%) | Value | ||||||
| Ukraine (0.2%) | |||||||
| Financing of Infrastructure Projects State Enterprise | ||||||||
| $430,000 | 9.000%, 12/7/2017 | $ | 402,050 | |||||
| State Export-Import Bank of Ukraine JSC Via Biz Finance plc | ||||||||
| 340,000 | 8.750%, 1/22/2018 | 299,200 | ||||||
| Ukraine Government International Bond | ||||||||
| 720,000 | 6.250%, 6/17/2016 | 675,720 | ||||||
| 430,000 | 9.250%, 7/24/2017 | 428,744 | ||||||
| 460,000 | 8.375%, 11/3/2017 | 419,750 | ||||||
| 200,000 | 7.400%, 4/20/2018 | 182,000 | ||||||
| 100,000 | 7.750%, 9/23/2020 | 92,250 | ||||||
| 1,070,000 | 7.800%, 11/28/2022 | 967,280 | ||||||
| Ukreximbank Via Biz Finance plc | ||||||||
| 230,000 | 8.375%, 4/27/2015 | 219,075 | ||||||
|
| |||||||
| Total | 3,686,069 | |||||||
|
| |||||||
| United Arab Emirates (0.1%) | |||||||
| ADCB Finance Cayman, Ltd. | ||||||||
| 340,000 | 4.500%, 3/6/2023 | 330,650 | ||||||
| Dolphin Energy, Ltd. | ||||||||
| 505,096 | 5.888%, 6/15/2019 | 551,312 | ||||||
| National Bank of Abu Dhabi PJSC | ||||||||
| 200,000 | 3.000%, 8/13/2019 | 197,760 | ||||||
| Ruwais Power Company | ||||||||
| 660,000 | 6.000%, 8/31/2036d | 693,200 | ||||||
|
| |||||||
| Total | 1,772,922 | |||||||
|
| |||||||
| United States (0.2%) | |||||||
| HSBC Bank USA NA/New York | ||||||||
| 680,000 | 6.000%, 8/15/2040o | 652,527 | ||||||
| HSBC USA, Inc. | ||||||||
| 688,000 | 10.000%, 1/5/2017p | 275,672 | ||||||
| U.S. Treasury Bonds | ||||||||
| 500,000 | 3.750%, 11/15/2043 | 483,281 | ||||||
| U.S. Treasury Notes | ||||||||
| 2,000,000 | 1.250%, 11/30/2018 | 1,957,187 | ||||||
|
| |||||||
| Total | 3,368,667 | |||||||
|
| |||||||
| Uruguay (0.2%) | |||||||
| Uruguay Government International Bond | ||||||||
| 1,362,247 | 4.500%, 8/14/2024 | 1,362,247 | ||||||
| 324,186 | 6.875%, 9/28/2025 | 370,383 | ||||||
| 1,090,000 | 7.625%, 3/21/2036 | 1,321,625 | ||||||
|
| |||||||
| Total | 3,054,255 | |||||||
|
| |||||||
| Venezuela (0.3%) | |||||||
| Petroleos de Venezuela SA | ||||||||
| 331,600 | 5.250%, 4/12/2017 | 244,555 | ||||||
| 1,860,000 | 9.000%, 11/17/2021 | 1,381,050 | ||||||
| 156,000 | 6.000%, 11/15/2026 | 84,825 | ||||||
| 130,000 | 5.375%, 4/12/2027 | 69,225 | ||||||
| 30,000 | 5.500%, 4/12/2037 | 15,375 | ||||||
| Venezuela Government International Bond | ||||||||
| 100,000 | 13.625%, 8/15/2018 | 95,000 | ||||||
| 350,000 | 6.000%, 12/9/2020 | 233,275 | ||||||
| 10,000 | 12.750%, 8/23/2022 | 9,225 | ||||||
| 3,800,000 | 7.650%, 4/21/2025 | 2,565,000 | ||||||
|
| |||||||
| Total | 4,697,530 | |||||||
|
| |||||||
| Vietnam (<0.1%) | |||||||
| Vietnam Government International Bond | ||||||||
| 310,000 | 6.875%, 1/15/2016 | 330,925 | ||||||
|
| |||||||
| Total | 330,925 | |||||||
|
| |||||||
| Virgin Islands, British (<0.1%) | |||||||
| Central American Bottling Corporation | ||||||||
| 108,000 | 6.750%, 2/9/2022 | 110,160 | ||||||
| 210,000 | 6.750%, 2/9/2022d | 214,200 | ||||||
| PCCW Capital No. 4, Ltd. | ||||||||
| 200,000 | 5.750%, 4/17/2022 | 200,558 | ||||||
|
| |||||||
| Total | 524,918 | |||||||
|
| |||||||
| Zambia (0.1%) | |||||||
| Zambia Government International Bond | ||||||||
| 400,000 | 5.375%, 9/20/2022d | 346,000 | ||||||
| 1,010,000 | 5.375%, 9/20/2022 | 873,650 | ||||||
|
| |||||||
| Total | 1,219,650 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $135,180,801) | 128,989,448 | |||||||
|
| |||||||
| Shares | Preferred Stock (0.7%) | |||||||
| Brazil (0.3%) | |||||||
| 144,000 | Petroleo Brasileiro SA ADR, Preferred Shares | 2,115,360 | ||||||
| 202,600 | Vale SA | 2,807,812 | ||||||
| 33,532 | Vale SA ADR, Preferred Shares | 469,783 | ||||||
|
| |||||||
| Total | 5,392,955 | |||||||
|
| |||||||
| Italy (0.1%) | |||||||
| 364,615 | Unipol Gruppo Finanziario SPA, Preferred Shares | 1,839,820 | ||||||
|
| |||||||
| Total | 1,839,820 | |||||||
|
| |||||||
| South Korea (0.3%) | |||||||
| 5,150 | Samsung Electronics Company, Ltd., Preferred Shares | 4,952,799 | ||||||
|
| |||||||
Total | 4,952,799 | |||||||
|
| |||||||
Total Preferred Stock (cost $12,591,099) | 12,185,574 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (2.9%) | ||||||||
| 50,312,730 | Thrivent Cash Management Trust | 50,312,730 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $50,312,730) | 50,312,730 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
266
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2013
| Shares or Principal Amount | Short-Term Investments (1.7%)q | Value | ||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 100,000 | 0.100%, 4/23/2014r | $ | 99,969 | |||||
| 200,000 | 0.120%, 5/28/2014r | 199,902 | ||||||
Thrivent Cash Management Trust | ||||||||
| 29,071,341 | 0.060% | 29,071,341 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 29,371,212 | |||||||
|
| |||||||
Total Investments (cost $1,535,652,701) 102.6% | $ | 1,750,361,742 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (2.6%) | (44,373,157 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 1,705,988,585 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | Denotes investments purchased on a when-issued or delayed delivery basis. |
| c | All or a portion of the security is on loan. |
| d | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2013, the value of these investments was $44,119,759 or 2.6% 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 December 31, 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 December 31, 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 December 31, 2013. |
Security | Acquisition Date | Cost | ||||||
Belize Government International Bond, 8/20/2017 | 3/20/2013 | $ | 110,968 | |||||
Cable Communications Systems NV, 11/1/2020 | 10/25/2013 | $ | 141,489 | |||||
Cementos Progreso Trust, 11/6/2023 | 10/30/2013 | $ | 225,982 | |||||
Dominican Republic Government International Bond, 2/4/2028 | 3/6/2013 | $ | 488,003 | |||||
Independencia International, Ltd., 12/30/2016 | 3/29/2010 | $ | 100,623 | |||||
KazMunayGas National Company, 4/30/2043 | 4/24/2013 | $ | 291,140 | |||||
San Miguel Industrias Pet SA, 11/6/2020 | 10/30/2013 | $ | 160,000 | |||||
| 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 Dominican Republic Pesos. |
| m | Principal amount is displayed in Mexican Pesos. |
| n | Principal amount is displayed in Russian Rubles. |
| o | Principal amount is displayed in Brazilian Real. Security is linked to Brazilian Government Bonds due August 15, 2040. |
| p | Principal amount is displayed in Brazilian Real. Security is linked to Brazilian Government Bonds due January 1, 2017. |
| q | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| r | At December 31, 2013, $299,871 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. | ||
ETF | - | Exchange Traded Fund. | ||
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. | ||
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 | $ | 272,697,092 | ||
Gross unrealized depreciation | (60,665,470 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 212,031,622 | ||
Cost for federal income tax purposes | $ | 1,538,330,120 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
267
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | ||||||||||||||||
Communications Services | 322,275 | — | 322,275 | — | ||||||||||||
Consumer Discretionary | 241,379,942 | 982,930 | 240,397,012 | — | ||||||||||||
Consumer Staples | 126,083,620 | 2,397,815 | 123,685,805 | — | ||||||||||||
Energy | 103,757,210 | 19,540,004 | 84,217,206 | — | ||||||||||||
Financials | 367,437,994 | 25,681,131 | 341,756,863 | — | ||||||||||||
Health Care | 96,641,900 | — | 96,641,900 | — | ||||||||||||
Industrials | 303,573,131 | 4,598,309 | 298,974,822 | — | ||||||||||||
Information Technology | 81,441,046 | 934,126 | 80,506,920 | — | ||||||||||||
Materials | 137,769,746 | 11,387,284 | 126,382,462 | — | ||||||||||||
Telecommunications Services | 64,529,693 | 7,468,231 | 57,061,462 | — | ||||||||||||
Utilities | 6,566,221 | — | 6,566,221 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Basic Materials | 1,367,864 | — | 1,367,864 | — | ||||||||||||
Capital Goods | 1,335,151 | — | 1,335,151 | — | ||||||||||||
Communications Services | 3,769,369 | — | 3,769,369 | — | ||||||||||||
Consumer Cyclical | 1,351,867 | — | 1,351,867 | — | ||||||||||||
Consumer Non-Cyclical^ | 2,706,125 | — | 2,706,125 | 0 | ||||||||||||
Energy | 16,887,110 | — | 16,887,110 | — | ||||||||||||
Financials | 10,549,608 | — | 10,549,608 | — | ||||||||||||
Foreign Government | 83,524,404 | — | 82,964,671 | 559,733 | ||||||||||||
Transportation | 655,601 | — | 655,601 | — | ||||||||||||
U.S. Government and Agencies | 2,910,468 | — | 2,910,468 | — | ||||||||||||
Utilities | 3,931,881 | — | 3,931,881 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Energy | 2,115,360 | 2,115,360 | — | — | ||||||||||||
Financials | 1,839,820 | — | 1,839,820 | — | ||||||||||||
Information Technology | 4,952,799 | — | 4,952,799 | — | ||||||||||||
Materials | 3,277,595 | 469,783 | 2,807,812 | — | ||||||||||||
Collateral Held for Securities Loaned | 50,312,730 | 50,312,730 | — | — | ||||||||||||
Short-Term Investments | 29,371,212 | 29,071,341 | 299,871 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,750,361,742 | $ | 154,959,044 | $ | 1,594,842,965 | $ | 559,733 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 705,268 | 696,014 | 9,254 | — | ||||||||||||
Foreign Currency Forward Contracts | 442,409 | — | 442,409 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 1,147,677 | $ | 696,014 | $ | 451,663 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 122,887 | 122,887 | — | — | ||||||||||||
Foreign Currency Forward Contracts | 421,505 | — | 421,505 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 544,392 | $ | 122,887 | $ | 421,505 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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.
268
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2013
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | 20 | March 2014 | $ | 4,405,465 | $ | 4,396,250 | ($ | 9,215 | ) | |||||||||||
5-Yr. U.S. Treasury Bond Futures | 27 | March 2014 | 3,244,772 | 3,221,437 | (23,335 | ) | ||||||||||||||
10-Yr. U.S. Treasury Bond Futures | (83 | ) | March 2014 | (10,401,898 | ) | (10,212,891 | ) | 189,007 | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | (86 | ) | March 2014 | (11,243,755 | ) | (11,034,874 | ) | 208,881 | ||||||||||||
CME 3 Month Eurodollar Futures | (50 | ) | March 2016 | (12,345,002 | ) | (12,321,250 | ) | 23,752 | ||||||||||||
CME 3 Month Eurodollar Futures | (100 | ) | December 2015 | (24,781,025 | ) | (24,718,750 | ) | 62,275 | ||||||||||||
CME 3 Month Eurodollar Futures | (50 | ) | June 2016 | (12,312,394 | ) | (12,281,875 | ) | 30,519 | ||||||||||||
Eurex EURO STOXX 50 Futures | 4 | March 2014 | 162,049 | 171,303 | 9,254 | |||||||||||||||
Mini MSCI EAFE Index Futures | 39 | March 2014 | 3,558,130 | 3,739,710 | 181,580 | |||||||||||||||
Ultra Long Term U.S. Treasury Bond Futures | 37 | March 2014 | 5,131,587 | 5,041,250 | (90,337 | ) | ||||||||||||||
Total Futures Contracts | $ | 582,381 | ||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
269
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2013
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||
Purchases | ||||||||||||||||||||||
Brazilian Real | MSC | 2,481,332 | 1/13/2014 | $ | 1,054,000 | $ | 1,048,305 | ($ | 5,695 | ) | ||||||||||||
Brazilian Real | RBS | 83,107 | 1/2/2014 | 35,275 | 35,226 | (49 | ) | |||||||||||||||
Brazilian Real | UBS | 4,859,549 | 1/10/2014 -1/21/2014 | 2,059,000 | 2,052,885 | (6,115 | ) | |||||||||||||||
Brazilian Real | RBC | 4,425,889 | 1/9/2014 - 1/31/2014 | 1,873,697 | 1,867,559 | (6,138 | ) | |||||||||||||||
Brazilian Real | CITI | 2,465,471 | 1/13/2014 | 1,054,000 | 1,041,604 | (12,396 | ) | |||||||||||||||
British Pound | RBC | 109,668 | 1/24/2014 | 179,347 | 181,606 | 2,259 | ||||||||||||||||
Chinese Yuan | SB | 6,481,726 | 1/8/2014 | 1,062,000 | 1,070,152 | 8,152 | ||||||||||||||||
Colombian Peso | CSFB | 511,408,759 | 1/9/2014 | 263,000 | 264,979 | 1,979 | ||||||||||||||||
Czech Republic Koruna | BNP | 5,310,395 | 3/19/2014 | 264,859 | 267,808 | 2,949 | ||||||||||||||||
Euro | BNP | 363,834 | 3/19/2014 | 498,893 | 500,465 | 1,572 | ||||||||||||||||
Euro | BOA | 390,253 | 3/19/2014 | 533,339 | 536,805 | 3,466 | ||||||||||||||||
Euro | DB | 191,000 | 3/19/2014 | 259,865 | 262,727 | 2,862 | ||||||||||||||||
Indian Rupee | CITI | 16,423,746 | 1/16/2014 | 265,000 | 264,492 | (508 | ) | |||||||||||||||
Indian Rupee | DB | 16,165,847 | 1/13/2014 | 263,000 | 260,528 | (2,472 | ) | |||||||||||||||
Indonesian Rupiah | JPM | 1,191,556,705 | 1/22/2014 | 98,845 | 97,616 | (1,229 | ) | |||||||||||||||
Japanese Yen | JPM | 27,319,245 | 3/19/2014 | 265,181 | 259,574 | (5,607 | ) | |||||||||||||||
Japanese Yen | BNP | 27,442,075 | 3/19/2014 | 265,000 | 260,741 | (4,259 | ) | |||||||||||||||
Japanese Yen | DB | 27,574,331 | 3/19/2014 | 266,000 | 261,997 | (4,003 | ) | |||||||||||||||
Japanese Yen | CITI | 55,641,614 | 3/19/2014 | 532,000 | 528,678 | (3,322 | ) | |||||||||||||||
Japanese Yen | SSB | 28,015,386 | 3/19/2014 | 266,000 | 266,188 | 188 | ||||||||||||||||
Malaysian Ringgit | MSC | 833,477 | 1/10/2014 | 261,828 | 254,336 | (7,492 | ) | |||||||||||||||
Malaysian Ringgit | SB | 3,680,000 | 2/7/2014 | 1,128,090 | 1,121,418 | (6,672 | ) | |||||||||||||||
Malaysian Ringgit | JPM | 840,740 | 2/13/2014 | 261,375 | 256,122 | (5,253 | ) | |||||||||||||||
Malaysian Ringgit | BB | 5,114,606 | 1/13/2014 - 2/13/2014 | 1,578,258 | 1,559,463 | (18,795 | ) | |||||||||||||||
Malaysian Ringgit | WBC | 3,392,068 | 1/28/2014 | 1,048,553 | 1,034,203 | (14,350 | ) | |||||||||||||||
Malaysian Ringgit | UBS | 852,681 | 1/10/2014 | 265,252 | 260,196 | (5,056 | ) | |||||||||||||||
Mexican Peso | CITI | 6,917,650 | 3/19/2014 | 530,000 | 527,008 | (2,992 | ) | |||||||||||||||
Mexican Peso | DB | 73,079,379 | 1/30/2014 - 3/19/2014 | 5,647,471 | 5,568,032 | (79,439 | ) | |||||||||||||||
New Taiwan Dollar | JPM | 7,562,433 | 1/21/2014 | 255,617 | 253,943 | (1,674 | ) | |||||||||||||||
New Taiwan Dollar | CITI | 15,062,074 | 1/10/2014 | 510,146 | 505,569 | (4,577 | ) | |||||||||||||||
New Taiwan Dollar | DB | 15,414,824 | 2/6/2014 | 523,068 | 517,891 | (5,177 | ) | |||||||||||||||
Philippines Peso | BNP | 5,765,396 | 1/28/2014 | 132,599 | 130,046 | (2,553 | ) | |||||||||||||||
Philippines Peso | SB | 18,591,385 | 1/9/2014 | 424,655 | 419,039 | (5,616 | ) | |||||||||||||||
Philippines Peso | HSBC | 19,124,886 | 2/7/2014 | 432,611 | 431,473 | (1,138 | ) | |||||||||||||||
Philippines Peso | BB | 11,023,891 | 1/27/2014 | 253,569 | 248,648 | (4,921 | ) | |||||||||||||||
Philippines Peso | DB | 12,352,000 | 1/28/2014 | 280,027 | 278,616 | (1,411 | ) | |||||||||||||||
Polish Zloty | BNP | 1,634,172 | 3/19/2014 | 535,826 | 538,767 | 2,941 | ||||||||||||||||
Russian Ruble | JPM | 4,332,598 | 1/17/2014 | 131,013 | 131,474 | 461 | ||||||||||||||||
South Korean Won | BB | 584,742,814 | 1/13/2014 | 555,000 | 553,825 | (1,175 | ) | |||||||||||||||
South Korean Won | BOA | 554,101,812 | 1/13/2014 | 526,000 | 524,804 | (1,196 | ) | |||||||||||||||
Turkish Lira | DB | 158,410 | 3/19/2014 | 72,720 | 72,633 | (87 | ) | |||||||||||||||
Turkish Lira | RBS | 2,210,229 | 3/19/2014 | 1,038,000 | 1,013,414 | (24,586 | ) | |||||||||||||||
Turkish Lira | JPM | 556,100 | 3/19/2014 | 266,000 | 254,978 | (11,022 | ) | |||||||||||||||
Turkish Lira | BB | 1,124,042 | 3/19/2014 | 532,000 | 515,385 | (16,615 | ) | |||||||||||||||
Turkish Lira | MSC | 1,021,486 | 3/19/2014 | 492,000 | 468,362 | (23,638 | ) | |||||||||||||||
Total Purchases | $ | 29,039,979 | $ | 28,769,580 | ($ | 270,399 | ) | |||||||||||||||
Sales | ||||||||||||||||||||||
Brazilian Real | CSFB | 221,095 | 1/17/2014 | $ | 99,217 | $ | 93,313 | $ | 5,904 | |||||||||||||
Brazilian Real | JPM | 4,407,000 | 1/17/2014 | 1,949,569 | 1,859,975 | 89,594 | ||||||||||||||||
Brazilian Real | BB | 622,082 | 1/13/2014 | 265,000 | 262,815 | 2,185 | ||||||||||||||||
Brazilian Real | MSC | 575,580 | 1/13/2014 | 243,725 | 243,169 | 556 | ||||||||||||||||
Brazilian Real | HSBC | 739,481 | 1/17/2014 | 333,190 | 312,098 | 21,092 | ||||||||||||||||
Brazilian Real | UBS | 5,507,651 | 1/9/2014 - 1/13/2014 | 2,319,855 | 2,327,124 | (7,269 | ) | |||||||||||||||
Brazilian Real | CITI | 1,021,030 | 1/17/2014 - 1/31/2014 | 438,690 | 429,771 | 8,919 | ||||||||||||||||
Brazilian Real | RBC | 5,371,254 | 1/9/2014 - 1/31/2014 | 2,294,089 | 2,268,522 | 25,567 | ||||||||||||||||
British Pound | JPM | 141,184 | 1/24/2014 | 230,453 | 233,726 | (3,273 | ) | |||||||||||||||
Chilean Peso | RBC | 146,052,760 | 1/31/2014 | 275,743 | 277,085 | (1,342 | ) | |||||||||||||||
Chinese Yuan | HSBC | 12,350 | 1/8/2014 | 2,033 | 2,039 | (6 | ) | |||||||||||||||
Chinese Yuan | DB | 6,469,376 | 1/8/2014 | 1,040,000 | 1,068,017 | (28,017 | ) | |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
270
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2013
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||
Sales - continued | ||||||||||||||||||||||
Czech Republic Koruna | BNP | 15,068,739 | 3/19/2014 | $ | 750,192 | $ | 759,929 | ($ | 9,737 | ) | ||||||||||||
Euro | JPM | 2,354,596 | 1/29/2014 | 3,241,102 | 3,238,930 | 2,172 | ||||||||||||||||
Euro | CSFB | 501,047 | 3/19/2014 | 689,416 | 689,206 | 210 | ||||||||||||||||
Euro | BOA | 384,000 | 3/19/2014 | 526,559 | 528,204 | (1,645 | ) | |||||||||||||||
Euro | BNP | 193,000 | 3/19/2014 | 264,859 | 265,477 | (618 | ) | |||||||||||||||
Hong Kong Dollar | RBS | 985,140 | 1/2/2014 | 127,050 | 127,044 | 6 | ||||||||||||||||
Hungarian Forint | DB | 58,105,305 | 3/19/2014 | 259,865 | 268,053 | (8,188 | ) | |||||||||||||||
Hungarian Forint | BNP | 58,558,500 | 3/19/2014 | 266,497 | 270,143 | (3,646 | ) | |||||||||||||||
Indonesian Rupiah | DB | 4,425,124,001 | 1/22/2014 | 378,216 | 362,519 | 15,697 | ||||||||||||||||
Japanese Yen | CITI | 80,981,382 | 3/19/2014 | 789,000 | 769,444 | 19,556 | ||||||||||||||||
Japanese Yen | SB | 26,982,222 | 3/19/2014 | 263,000 | 256,371 | 6,629 | ||||||||||||||||
Japanese Yen | UBS | 27,124,732 | 3/19/2014 | 263,030 | 257,725 | 5,305 | ||||||||||||||||
Japanese Yen | SSB | 80,629,751 | 3/19/2014 | 789,000 | 766,103 | 22,897 | ||||||||||||||||
Japanese Yen | HSBC | 27,192,392 | 3/19/2014 | 265,000 | 258,368 | 6,632 | ||||||||||||||||
Mexican Peso | UBS | 15,260,541 | 1/30/2014 | 1,184,365 | 1,166,842 | 17,523 | ||||||||||||||||
Polish Zloty | BOA | 1,634,172 | 3/19/2014 | 533,339 | 538,767 | (5,428 | ) | |||||||||||||||
Polish Zloty | BNP | 703,600 | 3/19/2014 | 232,396 | 231,969 | 427 | ||||||||||||||||
Russian Ruble | JPM | 26,200,513 | 1/27/2014 | 790,768 | 794,164 | (3,396 | ) | |||||||||||||||
Russian Ruble | CSFB | 65,608,348 | 1/17/2014 - 2/7/2014 | 1,969,736 | 1,987,978 | (18,242 | ) | |||||||||||||||
Russian Ruble | BOA | 8,998,055 | 2/14/2014 | 271,566 | 272,000 | (434 | ) | |||||||||||||||
Russian Ruble | CITI | 11,009,466 | 1/17/2014 | 336,367 | 334,085 | 2,282 | ||||||||||||||||
Russian Ruble | UBS | 16,778,941 | 2/14/2014 | 505,314 | 507,207 | (1,893 | ) | |||||||||||||||
Singapore Dollar | HSBC | 1,337,905 | 3/19/2014 | 1,061,000 | 1,060,527 | 473 | ||||||||||||||||
Singapore Dollar | SB | 2,066,634 | 3/19/2014 | 1,648,691 | 1,638,174 | 10,517 | ||||||||||||||||
Thai Baht | SSB | 3,722,974 | 1/3/2014 | 113,384 | 113,298 | 86 | ||||||||||||||||
Turkish Lira | RBC | 5,383,895 | 3/19/2014 | 2,588,784 | 2,468,576 | 120,208 | ||||||||||||||||
Total Sales | $ | 29,600,060 | $ | 29,308,757 | $ | 291,303 | ||||||||||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts | $ | 20,904 | ||||||||||||||||||||
Counterparty | ||||||||
BOA | - | Bank of America | ||||||
BB | - | Barclays Bank | ||||||
BNP | - | BNP Paribas | ||||||
CITI | - | Citibank | ||||||
CSFB | - | CS First Boston Corporation | ||||||
DB | - | Deutsche Bank | ||||||
HSBC | - | HSBC Securities, Inc. | ||||||
JPM | - | J.P. Morgan | ||||||
MSC | - | Morgan Stanley & Company | ||||||
RBC | - | The Royal Bank of Canada | ||||||
RBS | - | The Royal Bank of Scotland | ||||||
SB | - | Standard Bank plc | ||||||
SSB | - | State Street Bank | ||||||
UBS | - | UBS Securities, Ltd. | ||||||
WBC | - | Westpac Banking Corporation | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
271
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2013
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | $ | 514,434 | |||
Total Interest Rate Contracts | 514,434 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 190,834 | ||||
Total Equity Contracts | 190,834 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 442,409 | ||||
Total Foreign Exchange Contracts | 442,409 | |||||
|
| |||||
Total Asset Derivatives | $ | 1,147,677 | ||||
|
| |||||
| Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 122,887 | ||||
Total Interest Rate Contracts | 122,887 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency forward contracts | 421,505 | ||||
Total Foreign Exchange Contracts | 421,505 | |||||
|
| |||||
Total Liability Derivatives | $ | 544,392 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | (413,805 | ) | |||
| Total Equity Contracts | (413,805 | ) | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | (126,023 | ) | |||
Total Foreign Exchange Contracts | (126,023 | ) | ||||
| Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (202,865 | ) | |||
Total Interest Rate Contracts | (202,865 | ) | ||||
|
| |||||
Total | ($ | 742,693 | ) | |||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
272
Partner Worldwide Allocation Portfolio
Schedule of Investments as of December 31, 2013
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | 389,791 | ||||
| Total Interest Rate Contracts | 389,791 | |||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 194,200 | ||||
Total Equity Contracts | 194,200 | |||||
| Foreign Exchange Contracts | ||||||
Forward Contracts | Change in net unrealized appreciation/(depreciation) on Foreign currency forward contracts | (65,464 | ) | |||
Total Foreign Exchange Contracts | (65,464 | ) | ||||
|
| |||||
Total | $ | 518,527 | ||||
|
| |||||
The following table presents Partner Worldwide Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2013.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | Forwards (Notional)* | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 2,681,884 | 0.2 | % | N/A | N/A | ||||||||||
Interest Rate Contracts | 41,086,304 | 2.6 | N/A | N/A | ||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 146,532,432 | 9.3 | % | ||||||||||
| * | 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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 34,864,326 | $ | 712,666,484 | $ | 697,218,080 | 50,312,730 | $ | 50,312,730 | $ | 1,223,350 | |||||||||||||
Cash Management Trust- Short Term Investment | 25,452,748 | 428,408,160 | 424,789,567 | 29,071,341 | 29,071,341 | 21,638 | ||||||||||||||||||
Total Value and Income Earned | 60,317,074 | 79,384,071 | 1,244,988 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
273
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (98.7%) | Value | ||||||
| Consumer Discretionary (12.4%) |
| ||||||
| 2,300 | Amazon.com, Inc.a | $ | 917,217 | |||||
| 8,530 | CBS Corporation | 543,702 | ||||||
| 22,130 | Comcast Corporation | 1,149,985 | ||||||
| 9,200 | Delphi Automotive plc | 553,196 | ||||||
| 11,440 | Home Depot, Inc. | 941,970 | ||||||
| 10,200 | Macy’s, Inc. | 544,680 | ||||||
| 3,400 | Mohawk Industries, Inc.a | 506,260 | ||||||
| 3,750 | PVH Corporation | 510,075 | ||||||
| 8,070 | Starbucks Corporation | 632,607 | ||||||
| 11,890 | TJX Companies, Inc. | 757,750 | ||||||
| 24,540 | Twenty-First Century Fox, Inc. | 863,317 | ||||||
|
| |||||||
| Total | 7,920,759 | |||||||
|
| |||||||
| Consumer Staples (9.5%) | |||||||
| 9,910 | Colgate-Palmolive Company | 646,231 | ||||||
| 6,100 | Constellation Brands, Inc.a | 429,318 | ||||||
| 14,760 | CVS Caremark Corporation | 1,056,373 | ||||||
| 6,390 | Estee Lauder Companies, Inc. | 481,295 | ||||||
| 12,270 | Lorillard, Inc. | 621,843 | ||||||
| 11,440 | PepsiCo, Inc. | 948,834 | ||||||
| 14,210 | Procter & Gamble Company | 1,156,836 | ||||||
| 9,400 | Wal-Mart Stores, Inc. | 739,686 | ||||||
|
| |||||||
| Total | 6,080,416 | |||||||
|
| |||||||
| Energy (10.3%) | |||||||
| 3,980 | Apache Corporation | 342,041 | ||||||
| 7,300 | EQT Corporation | 655,394 | ||||||
| 21,720 | Exxon Mobil Corporation | 2,198,064 | ||||||
| 10,360 | FMC Technologies, Inc.a | 540,896 | ||||||
| 4,500 | Hess Corporation | 373,500 | ||||||
| 6,150 | Marathon Petroleum Corporation | 564,139 | ||||||
| 5,810 | Occidental Petroleum Corporation | 552,531 | ||||||
| 10,300 | Schlumberger, Ltd. | 928,133 | ||||||
| 11,460 | Williams Companies, Inc. | 442,012 | ||||||
|
| |||||||
| Total | 6,596,710 | |||||||
|
| |||||||
| Financials (16.2%) | |||||||
| 11,040 | Aflac, Inc. | 737,472 | ||||||
| 5,010 | American Tower Corporation | 399,898 | ||||||
| 12,130 | Capital One Financial Corporation | 929,279 | ||||||
| 22,890 | CBRE Group, Inc.a | 602,007 | ||||||
| 25,850 | Citigroup, Inc. | 1,347,044 | ||||||
| 3,990 | IntercontinentalExchange, Inc. | 897,431 | ||||||
| 27,200 | Invesco, Ltd. | 990,080 | ||||||
| 33,650 | J.P. Morgan Chase & Company | 1,967,852 | ||||||
| 11,410 | Prudential Financial, Inc. | 1,052,230 | ||||||
| 62,500 | Regions Financial Corporation | 618,125 | ||||||
| 10,430 | State Street Corporation | 765,458 | ||||||
|
| |||||||
| Total | 10,306,876 | |||||||
|
| |||||||
| Health Care (13.3%) | |||||||
| 3,740 | Alexion Pharmaceuticals, Inc.a | 497,644 | ||||||
| 7,870 | Allergan, Inc. | 874,200 | ||||||
| 5,330 | BioMarin Pharmaceutical, Inc.a | 374,539 | ||||||
| 11,270 | Express Scripts Holding Companya | 791,605 | ||||||
| 16,700 | Gilead Sciences, Inc.a | 1,255,005 | ||||||
| 11,240 | HCA Holdings, Inc.a | 536,260 | ||||||
| 22,390 | Hologic, Inc.a | 500,417 | ||||||
| 8,320 | Medivation, Inc.a | 530,982 | ||||||
| 25,530 | Merck & Company, Inc. | 1,277,777 | ||||||
| 9,320 | Thermo Fisher Scientific, Inc. | 1,037,782 | ||||||
| 7,063 | Valeant Pharmaceuticals International, Inc.a | 829,196 | ||||||
|
| |||||||
| Total | 8,505,407 | |||||||
|
| |||||||
| Industrials (10.9%) | |||||||
| 7,590 | Boeing Company | 1,035,959 | ||||||
| 3,250 | Cummins, Inc. | 458,152 | ||||||
| 11,310 | Danaher Corporation | 873,132 | ||||||
| 15,040 | Delta Air Lines, Inc. | 413,149 | ||||||
| 8,200 | Eaton Corporation plc | 624,184 | ||||||
| 5,690 | FedEx Corporation | 818,051 | ||||||
| 10,800 | Ingersoll-Rand plc | 665,280 | ||||||
| 4,510 | Pall Corporation | 384,929 | ||||||
| 3,300 | Union Pacific Corporation | 554,400 | ||||||
| 7,840 | United Technologies Corporation | 892,192 | ||||||
| 9,950 | US Airways Group, Inc.a,b | 251,238 | ||||||
|
| |||||||
| Total | 6,970,666 | |||||||
|
| |||||||
| Information Technology (17.7%) | |||||||
| 11,370 | Adobe Systems, Inc.a | 680,835 | ||||||
| 3,670 | Apple, Inc. | 2,059,274 | ||||||
| 14,730 | eBay, Inc.a | 808,530 | ||||||
| 6,210 | Facebook, Inc.a | 339,439 | ||||||
| 7,790 | Fidelity National Information Services, Inc. | 418,167 | ||||||
| 1,950 | Google, Inc.a | 2,185,384 | ||||||
| 49,730 | Microsoft Corporation | 1,861,394 | ||||||
| 5,600 | NXP Semiconductors NVa | 257,208 | ||||||
| 26,160 | Oracle Corporation | 1,000,882 | ||||||
| 14,940 | QUALCOMM, Inc. | 1,109,295 | ||||||
| 11,330 | Total System Services, Inc. | 377,062 | ||||||
| 2,920 | Twitter, Inc.a,b | 185,858 | ||||||
|
| |||||||
| Total | 11,283,328 | |||||||
|
| |||||||
| Materials (3.3%) | |||||||
| 5,260 | Ashland, Inc. | 510,431 | ||||||
| 11,430 | Freeport-McMoRan Copper & Gold, Inc. | 431,368 | ||||||
| 4,100 | LyondellBasell Industries NV | 329,148 | ||||||
| 1,740 | PPG Industries, Inc. | 330,008 | ||||||
| 3,950 | Praxair, Inc. | 513,619 | ||||||
|
| |||||||
| Total | 2,114,574 | |||||||
|
| |||||||
| Telecommunications Services (2.4%) | |||||||
| 6,370 | SBA Communications Corporationa | 572,281 | ||||||
| 16,010 | T-Mobile US, Inc.a | 538,576 | ||||||
| 7,960 | Verizon Communications, Inc. | 391,155 | ||||||
|
| |||||||
| Total | 1,502,012 | |||||||
|
| |||||||
| Utilities (2.7%) | |||||||
| 11,790 | Duke Energy Corporation | 813,628 | ||||||
| 19,540 | Edison International, Inc. | 904,702 | ||||||
|
| |||||||
| Total | 1,718,330 | |||||||
|
| |||||||
| Total Common Stock (cost $52,933,079) | 62,999,078 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
274
Partner All Cap Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Collateral Held for Securities Loaned (0.7%) | Value | ||||||
| 431,587 | Thrivent Cash Management Trust | $ | 431,587 | |||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $431,587) | 431,587 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (1.3%)c | |||||||
Thrivent Cash Management Trust | ||||||||
| 818,729 | 0.060% | 818,729 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 818,729 | |||||||
|
| |||||||
Total Investments (cost $54,183,395) 100.7% | $ | 64,249,394 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (0.7%) | (441,010 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 63,808,384 | ||||||
|
| |||||||
| 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. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 10,228,909 | ||
Gross unrealized depreciation | (179,673 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 10,049,236 | ||
Cost for federal income tax purposes | $ | 54,200,158 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 7,920,759 | 7,920,759 | — | — | ||||||||||||
Consumer Staples | 6,080,416 | 6,080,416 | — | — | ||||||||||||
Energy | 6,596,710 | 6,596,710 | — | — | ||||||||||||
Financials | 10,306,876 | 10,306,876 | — | — | ||||||||||||
Health Care | 8,505,407 | 8,505,407 | — | — | ||||||||||||
Industrials | 6,970,666 | 6,970,666 | — | — | ||||||||||||
Information Technology | 11,283,328 | 11,283,328 | — | — | ||||||||||||
Materials | 2,114,574 | 2,114,574 | — | — | ||||||||||||
Telecommunications Services | 1,502,012 | 1,502,012 | — | — | ||||||||||||
Utilities | 1,718,330 | 1,718,330 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 431,587 | 431,587 | — | — | ||||||||||||
Short-Term Investments | 818,729 | 818,729 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 64,249,394 | $ | 64,249,394 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 831,150 | $ | 8,107,698 | $ | 8,507,261 | 431,587 | $ | 431,587 | $ | 1,396 | |||||||||||||
Cash Management Trust- Short Term Investment | 217,180 | 15,615,704 | 15,014,155 | 818,729 | 818,729 | 498 | ||||||||||||||||||
Total Value and Income Earned | 1,048,330 | 1,250,316 | 1,894 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
275
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (95.7%) | Value | ||||||
| Consumer Discretionary (20.3%) |
| ||||||
| 120,104 | Amazon.com, Inc.a | $ | 47,896,274 | |||||
| 47,050 | AutoZone, Inc.a | 22,487,077 | ||||||
| 624,609 | Comcast Corporation | 32,457,807 | ||||||
| 283,750 | Home Depot, Inc. | 23,363,975 | ||||||
| 468,150 | Las Vegas Sands Corporation | 36,922,990 | ||||||
| 364,750 | NIKE, Inc. | 28,683,940 | ||||||
| 672,350 | Twenty-First Century Fox, Inc. | 23,653,273 | ||||||
|
| |||||||
| Total | 215,465,336 | |||||||
|
| |||||||
| Consumer Staples (2.1%) | |||||||
| 123,150 | Anheuser-Busch InBev NV ADR | 13,110,549 | ||||||
| 122,400 | Nestle SA | 8,970,703 | ||||||
|
| |||||||
| Total | 22,081,252 | |||||||
|
| |||||||
| Energy (7.6%) | |||||||
| 135,050 | Consol Energy, Inc. | 5,137,302 | ||||||
| 83,400 | EOG Resources, Inc. | 13,997,856 | ||||||
| 305,400 | Marathon Oil Corporation | 10,780,620 | ||||||
| 239,169 | Schlumberger, Ltd. | 21,551,519 | ||||||
| 1,868,601 | Weatherford International, Ltd.a | 28,944,629 | ||||||
|
| |||||||
| Total | 80,411,926 | |||||||
|
| |||||||
| Financials (9.1%) | |||||||
| 376,327 | Citigroup, Inc. | 19,610,400 | ||||||
| 356,189 | J.P. Morgan Chase & Company | 20,829,933 | ||||||
| 36,500 | MasterCard, Inc. | 30,494,290 | ||||||
| 116,450 | Visa, Inc. | 25,931,086 | ||||||
|
| |||||||
| Total | 96,865,709 | |||||||
|
| |||||||
| Health Care (14.0%) | |||||||
| 419,000 | Covidien plc | 28,533,900 | ||||||
| 498,250 | Express Scripts Holding Companya | 34,997,080 | ||||||
| 766,800 | Gilead Sciences, Inc.a | 57,625,020 | ||||||
| 182,221 | Perrigo Company plc | 27,963,635 | ||||||
|
| |||||||
| Total | 149,119,635 | |||||||
|
| |||||||
| Industrials (10.7%) | |||||||
| 146,500 | Boeing Company | 19,995,785 | ||||||
| 103,200 | Fluor Corporation | 8,285,928 | ||||||
| 342,750 | Honeywell International, Inc. | 31,317,068 | ||||||
| 508,000 | Jacobs Engineering Group, Inc.a | 31,998,920 | ||||||
| 129,550 | Union Pacific Corporation | 21,764,400 | ||||||
|
| |||||||
| Total | 113,362,101 | |||||||
|
| |||||||
| Information Technology (29.9%) | |||||||
| 155,251 | Apple, Inc. | 87,112,889 | ||||||
| 622,000 | EMC Corporation | 15,643,300 | ||||||
| 758,050 | Facebook, Inc.a | 41,435,013 | ||||||
| 69,039 | Google, Inc.a | 77,372,698 | ||||||
| 236,252 | NetApp, Inc. | 9,719,407 | ||||||
| 592,400 | QUALCOMM, Inc. | 43,985,700 | ||||||
| 343,100 | Salesforce.com, Inc.a | 18,935,689 | ||||||
| 350 | Twitter, Inc.a,b | 22,277 | ||||||
| 256,000 | VMware, Inc.a | 22,965,760 | ||||||
|
| |||||||
| Total | 317,192,733 | |||||||
|
| |||||||
| Materials (2.0%) | |||||||
| 139,750 | Monsanto Company | 16,287,863 | ||||||
| 43,454 | Southern Copper Corporation | 1,247,564 | ||||||
| 142,100 | Teck Resources, Ltd.b | 3,696,021 | ||||||
|
| |||||||
| Total | 21,231,448 | |||||||
|
| |||||||
Total Common Stock (cost $736,372,936) | 1,015,730,140 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.3%) | ||||||||
| 3,392,112 | Thrivent Cash Management Trust | 3,392,112 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $3,392,112) | 3,392,112 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (4.3%)c | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 1,400,000 | 0.071%, 2/14/2014d | 1,399,878 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
| 100,000 | 0.160%, 1/15/2014d | 99,994 | ||||||
| 700,000 | 0.065%, 2/24/2014d | 699,931 | ||||||
Thrivent Cash Management Trust | ||||||||
| 43,932,944 | 0.060% | 43,932,944 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 46,132,747 | |||||||
|
| |||||||
| Total Investments (cost $785,897,795) 100.3% | $ | 1,065,254,999 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (0.3%) | (3,283,221 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 1,061,971,778 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| d | At December 31, 2013, $2,199,803 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 | $ | 282,856,356 | ||
Gross unrealized depreciation | (3,500,336 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 279,356,020 | ||
Cost for federal income tax purposes | $ | 785,898,979 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
276
Large Cap Growth Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 215,465,336 | 215,465,336 | — | — | ||||||||||||
Consumer Staples | 22,081,252 | 13,110,549 | 8,970,703 | — | ||||||||||||
Energy | 80,411,926 | 80,411,926 | — | — | ||||||||||||
Financials | 96,865,709 | 96,865,709 | — | — | ||||||||||||
Health Care | 149,119,635 | 149,119,635 | — | — | ||||||||||||
Industrials | 113,362,101 | 113,362,101 | — | — | ||||||||||||
Information Technology | 317,192,733 | 317,192,733 | — | — | ||||||||||||
Materials | 21,231,448 | 21,231,448 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 3,392,112 | 3,392,112 | — | — | ||||||||||||
Short-Term Investments | 46,132,747 | 43,932,944 | 2,199,803 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,065,254,999 | $ | 1,054,084,493 | $ | 11,170,506 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 1,229,371 | — | 1,229,371 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 1,229,371 | $ | — | $ | 1,229,371 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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) | |||||||||||||||
Eurex EURO STOXX 50 Futures | 594 | March 2014 | $ | 24,209,094 | $ | 25,438,465 | $ | 1,229,371 | ||||||||||||
Total Futures Contracts | $ | 1,229,371 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2013, for Large Cap Growth 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 | 1,229,371 | ||||
Total Equity Contracts | 1,229,371 | |||||
|
| |||||
Total Asset Derivatives | $ | 1,229,371 | ||||
|
| |||||
| * | 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.
277
Large Cap Growth Portfolio
Schedule of Investments as of December 31, 2013
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 109,103 | ||||
Total Equity Contracts | 109,103 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | 23,429 | ||||
Total Foreign Exchange Contracts | 23,429 | |||||
|
| |||||
Total | $ | 132,532 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2013, for Large Cap Growth Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 1,229,371 | ||||
Total Equity Contracts | 1,229,371 | |||||
|
| |||||
Total | $ | 1,229,371 | ||||
|
| |||||
The following table presents Large Cap Growth Portfolio’s average volume of derivative activity during the period ended December 31, 2013.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | Forwards (Notional)* | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 5,868,851 | 0.6 | % | N/A | N/A | ||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 37,004 | <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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | — | $ | 133,726,141 | $ | 130,334,029 | 3,392,112 | $ | 3,392,112 | $ | 13,925 | |||||||||||||
Cash Management Trust- Short Term Investment | 30,218,206 | 124,512,237 | 110,797,499 | 43,932,944 | 43,932,944 | 24,107 | ||||||||||||||||||
Total Value and Income Earned | 30,218,206 | 47,325,056 | 38,032 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
278
Partner Growth Stock Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (99.1%) | Value | ||||||
| Consumer Discretionary (28.3%) |
| ||||||
| 10,100 | Amazon.com, Inc.a | $ | 4,027,779 | |||||
| 1,300 | AutoZone, Inc.a | 621,322 | ||||||
| 9,700 | CarMax, Inc.a | 456,094 | ||||||
| 8,357 | Carnival plc | 345,966 | ||||||
| 1,600 | Charter Communications, Inc.a | 218,816 | ||||||
| 1,700 | Chipotle Mexican Grill, Inc.a | 905,726 | ||||||
| 6,100 | Ctrip.com International, Ltd. ADRa | 302,682 | ||||||
| 12,700 | D.R. Horton, Inc.a | 283,464 | ||||||
| 4,400 | Discovery Communications, Inc.a | 368,984 | ||||||
| 3,400 | Dollar Tree, Inc.a | 191,828 | ||||||
| 4,300 | Harley-Davidson, Inc. | 297,732 | ||||||
| 17,300 | Home Depot, Inc. | 1,424,482 | ||||||
| 11,800 | Las Vegas Sands Corporation | 930,666 | ||||||
| 7,200 | Lennar Corporation | 284,832 | ||||||
| 13,400 | Lowe’s Companies, Inc. | 663,970 | ||||||
| 900 | Lululemon Athletica, Inc.a,b | 53,127 | ||||||
| 4,933 | Marriott International, Inc. | 243,493 | ||||||
| 17,700 | MGM Resorts Internationala | 416,304 | ||||||
| 1,900 | Netflix, Inc.a | 699,523 | ||||||
| 5,400 | NIKE, Inc. | 424,656 | ||||||
| 25,100 | Prada Holding SPA | 224,212 | ||||||
| 1,950 | Priceline.com, Inc.a | 2,266,680 | ||||||
| 4,900 | Ross Stores, Inc. | 367,157 | ||||||
| 4,000 | Sherwin-Williams Company | 734,000 | ||||||
| 17,000 | Starbucks Corporation | 1,332,630 | ||||||
| 6,800 | Starwood Hotels & Resorts Worldwide, Inc. | 540,260 | ||||||
| 1,800 | Tesla Motors, Inc.a,b | 270,684 | ||||||
| 7,400 | Tractor Supply Company | 574,092 | ||||||
| 4,200 | TripAdvisor, Inc.a,b | 347,886 | ||||||
| 13,300 | Twenty-First Century Fox, Inc. | 467,894 | ||||||
| 5,400 | Under Armour, Inc.a,b | 471,420 | ||||||
| 6,400 | Walt Disney Company | 488,960 | ||||||
| 76,800 | Wynn Macau, Ltd. | 349,105 | ||||||
|
| |||||||
| Total | 21,596,426 | |||||||
|
| |||||||
| Consumer Staples (4.1%) | |||||||
| 4,200 | Costco Wholesale Corporation | 499,842 | ||||||
| 11,200 | CVS Caremark Corporation | 801,584 | ||||||
| 2,100 | Green Mountain Coffee Roasters, Inc.a,b | 158,718 | ||||||
| 3,000 | Monster Beverage Corporationa | 203,310 | ||||||
| 3,194 | Nestle SA | 234,089 | ||||||
| 4,100 | PepsiCo, Inc. | 340,054 | ||||||
| 2,600 | Procter & Gamble Company | 211,666 | ||||||
| 11,700 | Whole Foods Market, Inc. | 676,611 | ||||||
|
| |||||||
| Total | 3,125,874 | |||||||
|
| |||||||
| Energy (4.7%) | |||||||
| 900 | Antero Resources Corporationa | 57,096 | ||||||
| 12,000 | Cabot Oil & Gas Corporation | 465,120 | ||||||
| 3,100 | Concho Resources, Inc.a | 334,800 | ||||||
| 2,000 | EOG Resources, Inc. | 335,680 | ||||||
| 3,800 | EQT Corporation | 341,164 | ||||||
| 5,100 | FMC Technologies, Inc.a | 266,271 | ||||||
| 4,400 | Pioneer Natural Resources Company | 809,908 | ||||||
| 7,200 | Range Resources Corporation | 607,032 | ||||||
| 4,300 | Schlumberger, Ltd. | 387,473 | ||||||
|
| |||||||
| Total | 3,604,544 | |||||||
|
| |||||||
| Financials (11.4%) | |||||||
| 1,300 | Affiliated Managers Group, Inc.a | 281,944 | ||||||
| 9,000 | American Express Company | 816,570 | ||||||
| 17,800 | American Tower Corporation | 1,420,796 | ||||||
| 1,300 | BlackRock, Inc. | 411,411 | ||||||
| 4,700 | Franklin Resources, Inc. | 271,331 | ||||||
| 1,300 | IntercontinentalExchange, Inc. | 292,396 | ||||||
| 10,900 | Invesco, Ltd. | 396,760 | ||||||
| 2,750 | MasterCard, Inc. | 2,297,515 | ||||||
| 11,000 | TD Ameritrade Holding Corporation | 337,040 | ||||||
| 9,700 | Visa, Inc. | 2,159,996 | ||||||
|
| |||||||
| Total | 8,685,759 | |||||||
|
| |||||||
| Health Care (11.7%) | |||||||
| 3,400 | Alexion Pharmaceuticals, Inc.a | 452,404 | ||||||
| 4,900 | Biogen Idec, Inc.a | 1,370,775 | ||||||
| 4,900 | Celgene Corporationa | 827,904 | ||||||
| 28,200 | Gilead Sciences, Inc.a | 2,119,230 | ||||||
| 3,300 | IDEXX Laboratories, Inc.a,b | 351,021 | ||||||
| 4,800 | Incyte Corporationa | 243,024 | ||||||
| 8,000 | McKesson Corporation | 1,291,200 | ||||||
| 1,107 | Novo Nordisk ASa | 202,915 | ||||||
| 2,200 | Pharmacyclics, Inc.a | 232,716 | ||||||
| 1,300 | Regeneron Pharmaceuticals, Inc.a | 357,812 | ||||||
| 2,700 | Stryker Corporation | 202,878 | ||||||
| 4,000 | UnitedHealth Group, Inc. | 301,200 | ||||||
| 5,900 | Valeant Pharmaceuticals International, Inc.a | 692,660 | ||||||
| 3,200 | Vertex Pharmaceuticals, Inc.a | 237,760 | ||||||
|
| |||||||
| Total | 8,883,499 | |||||||
|
| |||||||
| Industrials (12.3%) | |||||||
| 8,700 | Boeing Company | 1,187,463 | ||||||
| 22,100 | Danaher Corporation | 1,706,120 | ||||||
| 9,800 | Delta Air Lines, Inc. | 269,206 | ||||||
| 16,100 | Fastenal Company | 764,911 | ||||||
| 3,300 | Flowserve Corporation | 260,139 | ||||||
| 3,000 | JB Hunt Transport Services, Inc. | 231,900 | ||||||
| 7,200 | Kansas City Southern | 891,576 | ||||||
| 6,200 | Precision Castparts Corporation | 1,669,660 | ||||||
| 5,400 | Roper Industries, Inc. | 748,872 | ||||||
| 2,100 | Union Pacific Corporation | 352,800 | ||||||
| 8,700 | United Continental Holdings, Inc.a | 329,121 | ||||||
| 5,300 | United Parcel Service, Inc. | 556,924 | ||||||
| 700 | W.W. Grainger, Inc. | 178,794 | ||||||
| 3,300 | Wabtec Corporation | 245,091 | ||||||
|
| |||||||
| Total | 9,392,577 | |||||||
|
| |||||||
| Information Technology (20.9%) | |||||||
| 4,300 | Akamai Technologies, Inc.a | 202,874 | ||||||
| 1,200 | Alliance Data Systems Corporationa,b | 315,516 | ||||||
| 3,900 | Apple, Inc. | 2,188,329 | ||||||
| 5,400 | Baidu.com, Inc. ADRa | 960,552 | ||||||
| 6,600 | Cognizant Technology Solutions Corporationa | 666,468 | ||||||
| 2,100 | Concur Technologies, Inc.a,b | 216,678 | ||||||
| 16,500 | eBay, Inc.a | 905,685 | ||||||
| 7,300 | Facebook, Inc.a | 399,018 | ||||||
| 5,200 | Fiserv, Inc.a | 307,060 | ||||||
| 4,200 | Google, Inc.a | 4,706,982 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
279
Partner Growth Stock Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (99.1%) | Value | ||||||
| Information Technology (20.9%) - continued |
| ||||||
| 7,900 | Juniper Networks, Inc.a | $ | 178,303 | |||||
| 2,400 | LinkedIn Corporationa | 520,392 | ||||||
| 674 | NAVER Corporationa | 464,472 | ||||||
| 2,100 | NetSuite, Inc.a | 216,342 | ||||||
| 13,000 | QUALCOMM, Inc. | 965,250 | ||||||
| 5,400 | Red Hat, Inc.a | 302,616 | ||||||
| 15,700 | Salesforce.com, Inc.a | 866,483 | ||||||
| 6,500 | ServiceNow, Inc.a | 364,065 | ||||||
| 4,200 | Tencent Holdings, Ltd. | 268,916 | ||||||
| 1,600 | Twitter, Inc.a,b | 101,840 | ||||||
| 9,620 | Twitter, Inc., Restricteda,c,d | 581,697 | ||||||
| 2,900 | Workday, Inc.a | 241,164 | ||||||
|
| |||||||
| Total | 15,940,702 | |||||||
|
| |||||||
| Materials (2.5%) | |||||||
| 7,600 | Ecolab, Inc. | 792,452 | ||||||
| 3,500 | FMC Corporation | 264,110 | ||||||
| 1,900 | Martin Marietta Materials, Inc. | 189,886 | ||||||
| 4,800 | Praxair, Inc. | 624,144 | ||||||
|
| |||||||
| Total | 1,870,592 | |||||||
|
| |||||||
| Telecommunications Services (3.2%) | |||||||
| 23,800 | Crown Castle International Corporationa | 1,747,634 | ||||||
| 3,600 | SBA Communications Corporationa | 323,424 | ||||||
| 4,000 | Softbank Corporation | 351,003 | ||||||
|
| |||||||
| Total | 2,422,061 | |||||||
|
| |||||||
Total Common Stock (cost $39,041,455) | 75,522,034 | |||||||
|
| |||||||
Preferred Stock (<0.1%) | ||||||||
| Information Technology (<0.1%) | |||||||
| 4,432 | LivingSocial.com, Convertiblea,c,d | 2,792 | ||||||
| Total | 2,792 | |||||||
|
| |||||||
| Total Preferred Stock (cost $34,082) | 2,792 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (2.2%) | ||||||||
| 1,711,975 | Thrivent Cash Management Trust | 1,711,975 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $1,711,975) | 1,711,975 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (1.0%)e | |||||||
Thrivent Cash Management Trust | ||||||||
| 724,634 | 0.060% | 724,634 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 724,634 | |||||||
|
| |||||||
| Total Investments (cost $41,512,146) 102.3% | $ | 77,961,435 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (2.3%) | (1,727,444 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 76,233,991 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The following table indicates the acquisition date and cost of restricted securities Partner Growth Stock Portfolio owned as of December 31, 2013. |
Security | Acquisition Date | Cost | ||||||
LivingSocial.com, Convertible | 11/18/2011 | $ | 34,082 | |||||
Twitter, Inc., Restricted | 9/13/2011 | $ | 154,601 | |||||
| d | Security is fair valued. |
| e | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 36,459,142 | ||
Gross unrealized depreciation | (85,212 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 36,373,930 | ||
Cost for federal income tax purposes | $ | 41,587,505 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
280
Partner Growth Stock Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 21,596,426 | 20,677,143 | 919,283 | — | ||||||||||||
Consumer Staples | 3,125,874 | 2,891,785 | 234,089 | — | ||||||||||||
Energy | 3,604,544 | 3,604,544 | — | — | ||||||||||||
Financials | 8,685,759 | 8,685,759 | — | — | ||||||||||||
Health Care | 8,883,499 | 8,680,584 | 202,915 | — | ||||||||||||
Industrials | 9,392,577 | 9,392,577 | — | — | ||||||||||||
Information Technology | 15,940,702 | 14,625,617 | 733,388 | 581,697 | ||||||||||||
Materials | 1,870,592 | 1,870,592 | — | — | ||||||||||||
Telecommunications Services | 2,422,061 | 2,071,058 | 351,003 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Information Technology | 2,792 | — | — | 2,792 | ||||||||||||
Collateral Held for Securities Loaned | 1,711,975 | 1,711,975 | — | — | ||||||||||||
Short-Term Investments | 724,634 | 724,634 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 77,961,435 | $ | 74,936,268 | $ | 2,440,678 | $ | 584,489 | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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 December 31, 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 | 2,456 | ||||
Total Foreign Exchange Contracts | 2,456 | |||||
|
| |||||
Total | $ | 2,456 | ||||
|
| |||||
The following table presents Partner Growth Stock Portfolio’s average volume of derivative activity during the period ended December 31, 2013.
Derivative Risk Category | Forwards (Notional)* | Forwards (Percentage of Average Net Assets) | ||||||
Foreign Exchange Contracts | $ | 9,564 | <0.1 | % | ||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Partner Growth Stock Portfolio, is as follows:
Portfolio | Value December 31, 2012 | Gross Purchases | Gross Sales | Shares Held at December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 304,150 | $ | 17,421,916 | $ | 16,014,091 | 1,711,975 | $ | 1,711,975 | $ | 4,468 | |||||||||||||
Cash Management Trust- Short Term Investment | 1,259,587 | 9,286,186 | 9,821,139 | 724,634 | 724,634 | 512 | ||||||||||||||||||
Total Value and Income Earned | 1,563,737 | 2,436,609 | 4,980 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
281
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (97.6%) | Value | ||||||
| Consumer Discretionary (10.3%) |
| ||||||
| 168,080 | CBS Corporation | $ | 10,713,419 | |||||
| 359,840 | Delphi Automotive plc | 21,637,179 | ||||||
| 93,600 | Kohl’s Corporation | 5,311,800 | ||||||
| 654,100 | Lowe’s Companies, Inc. | 32,410,655 | ||||||
| 615,080 | News Corporation | 21,281,768 | ||||||
| 176,110 | Time Warner Cable, Inc. | 23,862,905 | ||||||
|
| |||||||
| Total | 115,217,726 | |||||||
|
| |||||||
| Consumer Staples (6.7%) | |||||||
| 416,070 | CVS Caremark Corporation | 29,778,130 | ||||||
| 110,500 | Kimberly-Clark Corporation | 11,542,830 | ||||||
| 111,787 | Kraft Foods Group, Inc. | 6,027,555 | ||||||
| 489,572 | Mondelez International, Inc. | 17,281,892 | ||||||
| 124,109 | Philip Morris International, Inc. | 10,813,617 | ||||||
|
| |||||||
| Total | 75,444,024 | |||||||
|
| |||||||
| Energy (12.4%) | |||||||
| 144,375 | Chevron Corporation | 18,033,881 | ||||||
| 107,069 | EOG Resources, Inc. | 17,970,461 | ||||||
| 262,450 | EQT Corporation | 23,562,761 | ||||||
| 803,851 | Marathon Oil Corporation | 28,375,940 | ||||||
| 221,650 | Schlumberger, Ltd. | 19,972,882 | ||||||
| 499,700 | Total SA ADR | 30,616,619 | ||||||
|
| |||||||
| Total | 138,532,544 | |||||||
|
| |||||||
| Financials (23.2%) | |||||||
| 181,280 | ACE, Ltd. | 18,767,918 | ||||||
| 221,660 | Allstate Corporation | 12,089,336 | ||||||
| 2,417,490 | Bank of America Corporation | 37,640,319 | ||||||
| 905,850 | Citigroup, Inc. | 47,203,844 | ||||||
| 222,600 | Deutsche Bank AG | 10,738,224 | ||||||
| 562,960 | Invesco, Ltd. | 20,491,744 | ||||||
| 703,520 | MetLife, Inc. | 37,933,798 | ||||||
| 763,360 | Morgan Stanley | 23,938,970 | ||||||
| 251,280 | State Street Corporation | 18,441,439 | ||||||
| 104,159 | SVB Financial Groupa | 10,922,113 | ||||||
| 467,990 | Wells Fargo & Company | 21,246,746 | ||||||
|
| |||||||
| Total | 259,414,451 | |||||||
|
| |||||||
| Health Care (13.0%) | |||||||
| 398,190 | Baxter International, Inc. | 27,694,115 | ||||||
| 313,790 | Covidien plc | 21,369,099 | ||||||
| 172,300 | Express Scripts Holding Companya | 12,102,352 | ||||||
| 862,700 | Merck & Company, Inc. | 43,178,135 | ||||||
| 456,540 | Sanofi ADRb | 24,484,240 | ||||||
| 225,347 | UnitedHealth Group, Inc. | 16,968,629 | ||||||
|
| |||||||
| Total | 145,796,570 | |||||||
|
| |||||||
| Industrials (9.8%) | |||||||
| 98,100 | Boeing Company | 13,389,669 | ||||||
| 751,200 | CSX Corporation | 21,612,024 | ||||||
| 203,840 | Honeywell International, Inc. | 18,624,861 | ||||||
| 261,800 | Ingersoll-Rand plc | 16,126,880 | ||||||
| 402,600 | Jacobs Engineering Group, Inc.a | 25,359,774 | ||||||
| 180,440 | Pentair, Ltd. | 14,014,775 | ||||||
|
| |||||||
| Total | 109,127,983 | |||||||
|
| |||||||
| Information Technology (13.4%) | |||||||
| 1,335,490 | Cisco Systems, Inc. | 29,981,751 | ||||||
| 483,660 | Microsoft Corporation | 18,103,394 | ||||||
| 361,180 | NetApp, Inc. | 14,858,945 | ||||||
| 315,100 | Oracle Corporation | 12,055,726 | ||||||
| 1,008,780 | Symantec Corporation | 23,787,032 | ||||||
| 297,800 | Teradata Corporationa | 13,546,922 | ||||||
| 550,090 | Texas Instruments, Inc. | 24,154,452 | ||||||
| 300,550 | Xilinx, Inc. | 13,801,256 | ||||||
|
| |||||||
| Total | 150,289,478 | |||||||
|
| |||||||
| Materials (3.1%) | |||||||
| 188,000 | Celanese Corporation | 10,398,280 | ||||||
| 282,980 | Dow Chemical Company | 12,564,312 | ||||||
| 210,540 | Nucor Corporation | 11,238,625 | ||||||
|
| |||||||
| Total | 34,201,217 | |||||||
|
| |||||||
| Telecommunications Services (1.5%) | |||||||
| 348,414 | Verizon Communications, Inc. | 17,121,064 | ||||||
|
| |||||||
| Total | 17,121,064 | |||||||
|
| |||||||
| Utilities (4.2%) | |||||||
| 664,790 | NiSource, Inc. | 21,858,295 | ||||||
| 615,880 | PG&E Corporation | 24,807,647 | ||||||
|
| |||||||
| Total | 46,665,942 | |||||||
|
| |||||||
| Total Common Stock (cost $782,767,243) | 1,091,810,999 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (1.0%) | ||||||||
| 11,313,000 | Thrivent Cash Management Trust | 11,313,000 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $11,313,000) | 11,313,000 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (2.3%)c | |||||||
Thrivent Cash Management Trust | ||||||||
| 26,006,398 | 0.060% | 26,006,398 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 26,006,398 | |||||||
|
| |||||||
| Total Investments (cost $820,086,641) 100.9% | $ | 1,129,130,397 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (0.9%) | (9,968,358 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 1,119,162,039 | ||||||
|
| |||||||
| 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. |
Definitions:
| ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
282
Large Cap Value Portfolio
Schedule of Investments as of December 31, 2013
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 310,545,794 | ||
Gross unrealized depreciation | (1,907,400 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 308,638,394 | ||
Cost for federal income tax purposes | $ | 820,492,003 | ||
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 115,217,726 | 115,217,726 | — | — | ||||||||||||
Consumer Staples | 75,444,024 | 75,444,024 | — | — | ||||||||||||
Energy | 138,532,544 | 138,532,544 | — | — | ||||||||||||
Financials | 259,414,451 | 259,414,451 | — | — | ||||||||||||
Health Care | 145,796,570 | 145,796,570 | — | — | ||||||||||||
Industrials | 109,127,983 | 109,127,983 | — | — | ||||||||||||
Information Technology | 150,289,478 | 150,289,478 | — | — | ||||||||||||
Materials | 34,201,217 | 34,201,217 | — | — | ||||||||||||
Telecommunications Services | 17,121,064 | 17,121,064 | — | — | ||||||||||||
Utilities | 46,665,942 | 46,665,942 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 11,313,000 | 11,313,000 | — | — | ||||||||||||
Short-Term Investments | 26,006,398 | 26,006,398 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,129,130,397 | $ | 1,129,130,397 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 9,489,875 | $ | 206,933,750 | $ | 205,110,625 | 11,313,000 | $ | 11,313,000 | $ | 53,597 | |||||||||||||
Cash Management Trust- Short Term Investment | 25,134,925 | 77,855,013 | 76,983,540 | 26,006,398 | 26,006,398 | 23,909 | ||||||||||||||||||
Total Value and Income Earned | 34,624,800 | 37,319,398 | 77,506 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
283
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (93.2%) | Value | ||||||
| Consumer Discretionary (12.8%) |
| ||||||
| 53,692 | Amazon.com, Inc.a | $ | 21,411,833 | |||||
| 35,300 | AutoZone, Inc.a | 16,871,282 | ||||||
| 353,450 | Comcast Corporation | 18,367,029 | ||||||
| 70,680 | Kohl’s Corporation | 4,011,090 | ||||||
| 289,325 | Las Vegas Sands Corporation | 22,819,063 | ||||||
| 585,350 | Twenty-First Century Fox, Inc. | 20,592,613 | ||||||
|
| |||||||
| Total | 104,072,910 | |||||||
|
| |||||||
| Consumer Staples (8.4%) | |||||||
| 150,850 | Anheuser-Busch InBev NV ADR | 16,059,491 | ||||||
| 132,250 | CVS Caremark Corporation | 9,465,133 | ||||||
| 213,700 | Kimberly-Clark Corporation | 22,323,102 | ||||||
| 229,725 | Philip Morris International, Inc. | 20,015,939 | ||||||
|
| |||||||
| Total | 67,863,665 | |||||||
|
| |||||||
| Energy (9.6%) | |||||||
| 77,495 | EOG Resources, Inc. | 13,006,761 | ||||||
| 487,600 | Marathon Oil Corporation | 17,212,280 | ||||||
| 128,685 | Schlumberger, Ltd. | 11,595,805 | ||||||
| 196,350 | Total SA ADR | 12,030,365 | ||||||
| 1,570,700 | Weatherford International, Ltd.a | 24,330,143 | ||||||
|
| |||||||
| Total | 78,175,354 | |||||||
|
| |||||||
| Financials (16.2%) | |||||||
| 121,880 | ACE, Ltd. | 12,618,236 | ||||||
| 295,434 | Bank of America Corporation | 4,599,907 | ||||||
| 391,780 | Citigroup, Inc. | 20,415,656 | ||||||
| 156,350 | Deutsche Bank AG | 7,542,324 | ||||||
| 350,660 | Invesco, Ltd. | 12,764,024 | ||||||
| 510,999 | J.P. Morgan Chase & Company | 29,883,222 | ||||||
| 10,275 | MasterCard, Inc. | 8,584,351 | ||||||
| 200,081 | State Street Corporation | 14,683,945 | ||||||
| 451,123 | Wells Fargo & Company | 20,480,984 | ||||||
|
| |||||||
| Total | 131,572,649 | |||||||
|
| |||||||
| Health Care (12.5%) | |||||||
| 81,620 | Baxter International, Inc. | 5,676,671 | ||||||
| 118,610 | Covidien plc | 8,077,341 | ||||||
| 207,468 | Express Scripts Holding Companya | 14,572,552 | ||||||
| 229,009 | Gilead Sciences, Inc.a | 17,210,026 | ||||||
| 513,480 | Merck & Company, Inc. | 25,699,674 | ||||||
| 97,732 | Perrigo Company plc | 14,997,953 | ||||||
| 198,540 | UnitedHealth Group, Inc. | 14,950,062 | ||||||
|
| |||||||
| Total | 101,184,279 | |||||||
|
| |||||||
| Industrials (9.4%) | |||||||
| 157,200 | Boeing Company | 21,456,228 | ||||||
| 55,150 | Fluor Corporation | 4,427,993 | ||||||
| 150,440 | Honeywell International, Inc. | 13,745,703 | ||||||
| 269,650 | Jacobs Engineering Group, Inc.a | 16,985,254 | ||||||
| 119,125 | Union Pacific Corporation | 20,013,000 | ||||||
|
| |||||||
| Total | 76,628,178 | |||||||
|
| |||||||
| Information Technology (19.1%) | |||||||
| 70,984 | Apple, Inc. | 39,829,832 | ||||||
| 631,250 | EMC Corporation | 15,875,937 | ||||||
| 162,375 | Facebook, Inc.a | 8,875,418 | ||||||
| 21,744 | Google, Inc.a | 24,368,718 | ||||||
| 249,000 | NetApp, Inc. | 10,243,860 | ||||||
| 216,331 | QUALCOMM, Inc. | 16,062,577 | ||||||
| 142,100 | Salesforce.com, Inc.a | 7,842,499 | ||||||
| 216,300 | Symantec Corporation | 5,100,354 | ||||||
| 171,950 | Teradata Corporationa | 7,822,006 | ||||||
| 300 | Twitter, Inc.a | 19,095 | ||||||
| 117,405 | VMware, Inc.a | 10,532,403 | ||||||
| 186,570 | Xilinx, Inc. | 8,567,294 | ||||||
|
| |||||||
| Total | 155,139,993 | |||||||
|
| |||||||
| Materials (2.3%) | |||||||
| 160,200 | Celanese Corporation | 8,860,662 | ||||||
| 193,500 | Dow Chemical Company | 8,591,400 | ||||||
| 49,257 | Southern Copper Corporation | 1,414,168 | ||||||
|
| |||||||
| Total | 18,866,230 | |||||||
|
| |||||||
| Utilities (2.9%) | |||||||
| 381,680 | NiSource, Inc. | 12,549,638 | ||||||
| 269,700 | PG&E Corporation | 10,863,516 | ||||||
|
| |||||||
| Total | 23,413,154 | |||||||
|
| |||||||
Total Common Stock (cost $596,411,048) | 756,916,412 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (6.7%)b | Value | ||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 100,000 | 0.095%, 4/10/2014c | 99,974 | ||||||
| 3,000,000 | 0.120%, 5/16/2014c | 2,998,650 | ||||||
Thrivent Cash Management Trust | ||||||||
| 51,163,767 | 0.060% | 51,163,767 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 54,262,391 | |||||||
|
| |||||||
| Total Investments (cost $650,673,439) 99.9% | $ | 811,178,803 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net 0.1% | 696,903 | |||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 811,875,706 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| c | At December 31, 2013, $2,998,669 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 | $ | 160,170,108 | ||
Gross unrealized depreciation | (2,124,519 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 158,045,589 | ||
Cost for federal income tax purposes | $ | 653,133,214 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
284
Large Cap Stock Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 104,072,910 | 104,072,910 | — | — | ||||||||||||
Consumer Staples | 67,863,665 | 67,863,665 | — | — | ||||||||||||
Energy | 78,175,354 | 78,175,354 | — | — | ||||||||||||
Financials | 131,572,649 | 131,572,649 | — | — | ||||||||||||
Health Care | 101,184,279 | 101,184,279 | — | — | ||||||||||||
Industrials | 76,628,178 | 76,628,178 | — | — | ||||||||||||
Information Technology | 155,139,993 | 155,139,993 | — | — | ||||||||||||
Materials | 18,866,230 | 18,866,230 | — | — | ||||||||||||
Utilities | 23,413,154 | 23,413,154 | — | — | ||||||||||||
Short-Term Investments | 54,262,391 | 51,163,767 | 3,098,624 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 811,178,803 | $ | 808,080,179 | $ | 3,098,624 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | 1,888,625 | — | 1,888,625 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 1,888,625 | $ | — | $ | 1,888,625 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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) | |||||||||||||||
Eurex EURO STOXX 50 Futures | 913 | March 2014 | $ | 37,211,238 | $ | 39,099,863 | $ | 1,888,625 | ||||||||||||
Total Futures Contracts | $ | 1,888,625 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | ||||
Asset Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 1,888,625 | ||||
Total Equity Contracts | 1,888,625 | |||||
|
| |||||
Total Asset Derivatives | $ | 1,888,625 | ||||
|
| |||||
| * | 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.
285
Large Cap Stock Portfolio
Schedule of Investments as of December 31, 2013
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | 7,631,519 | ||||
Total Equity Contracts | 7,631,519 | |||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | 13,091 | ||||
Total Foreign Exchange Contracts | 13,091 | |||||
|
| |||||
Total | $ | 7,644,610 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | 2,580,953 | ||||
Total Equity Contracts | 2,580,953 | |||||
|
| |||||
Total | $ | 2,580,953 | ||||
|
| |||||
The following table presents Large Cap Stock Portfolio’s average volume of derivative activity during the period ended December 31, 2013.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | Forwards (Notional)* | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 38,252,698 | 5.4 | % | N/A | N/A | ||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 55,953 | <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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | — | $ | 61,239,592 | $ | 61,239,592 | — | $ | — | $ | 13,639 | |||||||||||||
Cash Management Trust- Short Term Investment | 66,760,615 | 84,548,795 | 100,145,643 | 51,163,767 | 51,163,767 | 46,076 | ||||||||||||||||||
Total Value and Income Earned | 66,760,615 | 51,163,767 | 59,715 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
286
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (98.1%) | Value | ||||||
| Consumer Discretionary (12.4%) | ||||||||
| 8,700 | Amazon.com, Inc.a | $ | 3,469,473 | |||||
| 1,500 | AutoNation, Inc.a | 74,535 | ||||||
| 800 | AutoZone, Inc.a | 382,352 | ||||||
| 5,100 | Bed Bath & Beyond, Inc.a | 409,530 | ||||||
| 6,325 | Best Buy Company, Inc. | 252,241 | ||||||
| 5,400 | BorgWarner, Inc. | 301,914 | ||||||
| 5,000 | Cablevision Systems Corporation | 89,650 | ||||||
| 5,300 | CarMax, Inc.a | 249,206 | ||||||
| 10,200 | Carnival Corporation | 409,734 | ||||||
| 13,072 | CBS Corporation | 833,209 | ||||||
| 700 | Chipotle Mexican Grill, Inc.a | 372,946 | ||||||
| 6,500 | Coach, Inc. | 364,845 | ||||||
| 60,915 | Comcast Corporation | 3,165,448 | ||||||
| 6,600 | D.R. Horton, Inc.a | 147,312 | ||||||
| 3,050 | Darden Restaurants, Inc. | 165,828 | ||||||
| 6,600 | Delphi Automotive plc | 396,858 | ||||||
| 11,500 | DIRECTVa | 794,535 | ||||||
| 5,300 | Discovery Communications, Inc.a | 479,226 | ||||||
| 6,900 | Dollar General Corporationa | 416,208 | ||||||
| 4,900 | Dollar Tree, Inc.a | 276,458 | ||||||
| 2,450 | Expedia, Inc. | 170,667 | ||||||
| 2,300 | Family Dollar Stores, Inc. | 149,431 | ||||||
| 92,111 | Ford Motor Company | 1,421,273 | ||||||
| 1,200 | Fossil, Inc.a | 143,928 | ||||||
| 5,300 | Gannett Company, Inc. | 156,774 | ||||||
| 6,262 | Gap, Inc. | 244,719 | ||||||
| 2,800 | Garmin, Ltd. | 129,416 | ||||||
| 26,538 | General Motors Companya | 1,084,608 | ||||||
| 3,600 | Genuine Parts Company | 299,484 | ||||||
| 5,700 | Goodyear Tire & Rubber Company | 135,945 | ||||||
| 70 | Graham Holdings Companya | 46,432 | ||||||
| 6,400 | H&R Block, Inc. | 185,856 | ||||||
| 5,200 | Harley-Davidson, Inc. | 360,048 | ||||||
| 1,600 | Harman International Industries, Inc. | 130,960 | ||||||
| 2,650 | Hasbro, Inc. | 145,777 | ||||||
| 33,000 | Home Depot, Inc. | 2,717,220 | ||||||
| 5,900 | International Game Technology | 107,144 | ||||||
| 9,767 | Interpublic Group of Companies, Inc. | 172,876 | ||||||
| 16,000 | Johnson Controls, Inc. | 820,800 | ||||||
| 4,800 | Kohl’s Corporation | 272,400 | ||||||
| 3,300 | Leggett & Platt, Inc.b | 102,102 | ||||||
| 3,900 | Lennar Corporation | 154,284 | ||||||
| 5,604 | Limited Brands, Inc. | 346,607 | ||||||
| 24,500 | Lowe’s Companies, Inc. | 1,213,975 | ||||||
| 8,668 | Macy’s, Inc. | 462,871 | ||||||
| 5,306 | Marriott International, Inc. | 261,904 | ||||||
| 7,950 | Mattel, Inc. | 378,261 | ||||||
| 23,200 | McDonald’s Corporation | 2,251,096 | ||||||
| 4,100 | Michael Kors Holdings, Ltd.a | 332,879 | ||||||
| 1,400 | Mohawk Industries, Inc.a | 208,460 | ||||||
| 1,400 | Netflix, Inc.a | 515,438 | ||||||
| 6,673 | Newell Rubbermaid, Inc. | 216,272 | ||||||
| 11,625 | News Corporationa | 209,483 | ||||||
| 17,400 | NIKE, Inc. | 1,368,336 | ||||||
| 3,400 | Nordstrom, Inc. | 210,120 | ||||||
| 6,000 | Omnicom Group, Inc. | 446,220 | ||||||
| 2,500 | O’Reilly Automotive, Inc.a | 321,775 | ||||||
| 2,400 | PetSmart, Inc. | 174,600 | ||||||
| 1,200 | Priceline.com, Inc.a | 1,394,880 | ||||||
| 8,092 | Pulte Group, Inc. | 164,834 | ||||||
| 1,900 | PVH Corporation | 258,438 | ||||||
| 1,400 | Ralph Lauren Corporation | 247,198 | ||||||
| 5,100 | Ross Stores, Inc. | 382,143 | ||||||
| 2,500 | Scripps Networks Interactive, Inc. | 216,025 | ||||||
| 2,000 | Sherwin-Williams Company | 367,000 | ||||||
| 1,400 | Snap-On, Inc. | 153,328 | ||||||
| 15,375 | Staples, Inc. | 244,309 | ||||||
| 17,600 | Starbucks Corporation | 1,379,664 | ||||||
| 4,500 | Starwood Hotels & Resorts Worldwide, Inc. | 357,525 | ||||||
| 14,700 | Target Corporation | 930,069 | ||||||
| 2,600 | Tiffany & Company | 241,228 | ||||||
| 6,658 | Time Warner Cable, Inc. | 902,159 | ||||||
| 21,150 | Time Warner, Inc. | 1,474,578 | ||||||
| 16,700 | TJX Companies, Inc. | 1,064,291 | ||||||
| 2,550 | TripAdvisor, Inc.a | 211,217 | ||||||
| 45,900 | Twenty-First Century Fox, Inc. | 1,614,762 | ||||||
| 2,600 | Urban Outfitters, Inc.a | 96,460 | ||||||
| 8,300 | VF Corporation | 517,422 | ||||||
| 9,472 | Viacom, Inc. | 827,284 | ||||||
| 38,247 | Walt Disney Company | 2,922,071 | ||||||
| 1,857 | Whirlpool Corporation | 291,289 | ||||||
| 3,072 | Wyndham Worldwide Corporation | 226,376 | ||||||
| 1,900 | Wynn Resorts, Ltd. | 368,999 | ||||||
| 10,480 | Yum! Brands, Inc. | 792,393 | ||||||
|
| |||||||
| Total | 48,767,891 | |||||||
|
| |||||||
| Consumer Staples (9.6%) | ||||||||
| 46,700 | Altria Group, Inc. | 1,792,813 | ||||||
| 15,368 | Archer-Daniels-Midland Company | 666,971 | ||||||
| 10,100 | Avon Products, Inc. | 173,922 | ||||||
| 3,800 | Beam, Inc. | 258,628 | ||||||
| 3,737 | Brown-Forman Corporation | 282,405 | ||||||
| 4,200 | Campbell Soup Company | 181,776 | ||||||
| 3,100 | Clorox Company | 287,556 | ||||||
| 88,800 | Coca-Cola Company | 3,668,328 | ||||||
| 5,700 | Coca-Cola Enterprises, Inc. | 251,541 | ||||||
| 20,500 | Colgate-Palmolive Company | 1,336,805 | ||||||
| 9,800 | ConAgra Foods, Inc. | 330,260 | ||||||
| 3,800 | Constellation Brands, Inc.a | 267,444 | ||||||
| 10,200 | Costco Wholesale Corporation | 1,213,902 | ||||||
| 27,844 | CVS Caremark Corporation | 1,992,795 | ||||||
| 4,700 | Dr Pepper Snapple Group, Inc. | 228,984 | ||||||
| 5,900 | Estee Lauder Companies, Inc. | 444,388 | ||||||
| 14,900 | General Mills, Inc. | 743,659 | ||||||
| 3,500 | Hershey Company | 340,305 | ||||||
| 3,200 | Hormel Foods Corporation | 144,544 | ||||||
| 2,551 | J.M. Smucker Company | 264,335 | ||||||
| 6,000 | Kellogg Company | 366,420 | ||||||
| 8,892 | Kimberly-Clark Corporation | 928,858 | ||||||
| 13,917 | Kraft Foods Group, Inc. | 750,405 | ||||||
| 12,100 | Kroger Company | 478,313 | ||||||
| 8,700 | Lorillard, Inc. | 440,916 | ||||||
| 3,100 | McCormick & Company, Inc. | 213,652 | ||||||
| 4,728 | Mead Johnson Nutrition Company | 396,017 | ||||||
| 3,600 | Molson Coors Brewing Company | 202,140 | ||||||
| 41,052 | Mondelez International, Inc. | 1,449,136 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
287
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (98.1%) | Value | ||||||
| Consumer Staples (9.6%) - continued | ||||||||
| 3,200 | Monster Beverage Corporationa | $ | 216,864 | |||||
| 35,830 | PepsiCo, Inc. | 2,971,740 | ||||||
| 37,500 | Philip Morris International, Inc. | 3,267,375 | ||||||
| 63,538 | Procter & Gamble Company | 5,172,629 | ||||||
| 7,400 | Reynolds American, Inc. | 369,926 | ||||||
| 5,700 | Safeway, Inc. | 185,649 | ||||||
| 13,600 | Sysco Corporation | 490,960 | ||||||
| 6,400 | Tyson Foods, Inc. | 214,144 | ||||||
| 20,300 | Walgreen Company | 1,166,032 | ||||||
| 37,800 | Wal-Mart Stores, Inc. | 2,974,482 | ||||||
| 8,600 | Whole Foods Market, Inc. | 497,338 | ||||||
|
| |||||||
| Total | 37,624,357 | |||||||
|
| |||||||
| Energy (10.1%) | ||||||||
| 11,672 | Anadarko Petroleum Corporation | 925,823 | ||||||
| 9,320 | Apache Corporation | 800,961 | ||||||
| 10,283 | Baker Hughes, Inc. | 568,239 | ||||||
| 9,800 | Cabot Oil & Gas Corporation | 379,848 | ||||||
| 5,600 | Cameron International Corporationa | 333,368 | ||||||
| 11,800 | Chesapeake Energy Corporation | 320,252 | ||||||
| 44,896 | Chevron Corporation | 5,607,959 | ||||||
| 28,549 | ConocoPhillips | 2,016,987 | ||||||
| 5,300 | Consol Energy, Inc. | 201,612 | ||||||
| 8,600 | Denbury Resources, Inc.a | 141,298 | ||||||
| 8,900 | Devon Energy Corporation | 550,643 | ||||||
| 1,700 | Diamond Offshore Drilling, Inc. | 96,764 | ||||||
| 5,400 | Ensco plc | 308,772 | ||||||
| 6,400 | EOG Resources, Inc. | 1,074,176 | ||||||
| 3,500 | EQT Corporation | 314,230 | ||||||
| 102,090 | Exxon Mobil Corporation | 10,331,508 | ||||||
| 5,500 | FMC Technologies, Inc.a | 287,155 | ||||||
| 19,800 | Halliburton Company | 1,004,850 | ||||||
| 2,500 | Helmerich & Payne, Inc. | 210,200 | ||||||
| 6,700 | Hess Corporation | 556,100 | ||||||
| 15,700 | Kinder Morgan, Inc. | 565,200 | ||||||
| 16,368 | Marathon Oil Corporation | 577,790 | ||||||
| 7,084 | Marathon Petroleum Corporation | 649,815 | ||||||
| 4,100 | Murphy Oil Corporation | 266,008 | ||||||
| 6,100 | Nabors Industries, Ltd. | 103,639 | ||||||
| 10,000 | National Oilwell Varco, Inc. | 795,300 | ||||||
| 3,200 | Newfield Exploration Companya | 78,816 | ||||||
| 5,900 | Noble Corporation | 221,073 | ||||||
| 8,400 | Noble Energy, Inc. | 572,124 | ||||||
| 18,800 | Occidental Petroleum Corporation | 1,787,880 | ||||||
| 6,300 | Peabody Energy Corporation | 123,039 | ||||||
| 14,024 | Phillips 66 | 1,081,671 | ||||||
| 3,300 | Pioneer Natural Resources Company | 607,431 | ||||||
| 4,200 | QEP Resources, Inc. | 128,730 | ||||||
| 3,800 | Range Resources Corporation | 320,378 | ||||||
| 2,900 | Rowan Companies plca | 102,544 | ||||||
| 30,794 | Schlumberger, Ltd. | 2,774,847 | ||||||
| 8,100 | Southwestern Energy Companya | 318,573 | ||||||
| 15,604 | Spectra Energy Corporation | 555,815 | ||||||
| 3,200 | Tesoro Corporation | 187,200 | ||||||
| 8,000 | Transocean, Ltd.b | 395,360 | ||||||
| 12,600 | Valero Energy Corporation | 635,040 | ||||||
| 15,900 | Williams Companies, Inc. | 613,263 | ||||||
| 4,700 | WPX Energy, Inc.a | 95,786 | ||||||
|
| |||||||
| Total | 39,588,067 | |||||||
|
| |||||||
| Financials (17.1%) | ||||||||
| 7,900 | ACE, Ltd. | 817,887 | ||||||
| 10,800 | Aflac, Inc. | 721,440 | ||||||
| 10,682 | Allstate Corporation | 582,596 | ||||||
| 21,500 | American Express Company | 1,950,695 | ||||||
| 34,367 | American International Group, Inc. | 1,754,435 | ||||||
| 9,200 | American Tower Corporation | 734,344 | ||||||
| 4,500 | Ameriprise Financial, Inc. | 517,725 | ||||||
| 7,025 | Aon plc | 589,327 | ||||||
| 3,436 | Apartment Investment & Management Company | 89,027 | ||||||
| 1,700 | Assurant, Inc. | 112,829 | ||||||
| 2,901 | AvalonBay Communities, Inc. | 342,985 | ||||||
| 249,210 | Bank of America Corporation | 3,880,200 | ||||||
| 26,852 | Bank of New York Mellon Corporation | 938,209 | ||||||
| 16,400 | BB&T Corporation | 612,048 | ||||||
| 42,069 | Berkshire Hathaway, Inc.a | 4,987,701 | ||||||
| 3,000 | BlackRock, Inc. | 949,410 | ||||||
| 3,500 | Boston Properties, Inc. | 351,295 | ||||||
| 13,473 | Capital One Financial Corporation | 1,032,167 | ||||||
| 6,500 | CBRE Group, Inc.a | 170,950 | ||||||
| 27,025 | Charles Schwab Corporation | 702,650 | ||||||
| 5,900 | Chubb Corporation | 570,117 | ||||||
| 3,438 | Cincinnati Financial Corporation | 180,048 | ||||||
| 70,793 | Citigroup, Inc. | 3,689,023 | ||||||
| 7,300 | CME Group, Inc. | 572,758 | ||||||
| 4,350 | Comerica, Inc. | 206,799 | ||||||
| 11,225 | Discover Financial Services | 628,039 | ||||||
| 6,610 | E*TRADE Financial Corporationa | 129,820 | ||||||
| 7,800 | Equity Residential | 404,586 | ||||||
| 20,594 | Fifth Third Bancorp | 433,092 | ||||||
| 9,500 | Franklin Resources, Inc. | 548,435 | ||||||
| 12,600 | General Growth Properties, Inc. | 252,882 | ||||||
| 11,500 | Genworth Financial, Inc.a | 178,595 | ||||||
| 9,800 | Goldman Sachs Group, Inc. | 1,737,148 | ||||||
| 10,500 | Hartford Financial Services Group, Inc. | 380,415 | ||||||
| 10,600 | HCP, Inc. | 384,992 | ||||||
| 6,700 | Health Care REIT, Inc. | 358,919 | ||||||
| 17,641 | Host Hotels & Resorts, Inc. | 342,941 | ||||||
| 11,100 | Hudson City Bancorp, Inc. | 104,673 | ||||||
| 19,371 | Huntington Bancshares, Inc. | 186,930 | ||||||
| 2,650 | IntercontinentalExchange, Inc. | 596,038 | ||||||
| 10,300 | Invesco, Ltd. | 374,920 | ||||||
| 87,748 | J.P. Morgan Chase & Company | 5,131,503 | ||||||
| 21,000 | KeyCorp | 281,820 | ||||||
| 9,500 | Kimco Realty Corporation | 187,625 | ||||||
| 2,500 | Legg Mason, Inc. | 108,700 | ||||||
| 7,301 | Leucadia National Corporation | 206,910 | ||||||
| 6,194 | Lincoln National Corporation | 319,734 | ||||||
| 7,100 | Loews Corporation | 342,504 | ||||||
| 3,000 | M&T Bank Corporationb | 349,260 | ||||||
| 3,200 | Macerich Company | 188,448 | ||||||
| 12,800 | Marsh & McLennan Companies, Inc. | 619,008 | ||||||
| 2,400 | MasterCard, Inc. | 2,005,104 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
288
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (98.1%) | Value | ||||||
| Financials (17.1%) - continued | ||||||||
| 6,400 | McGraw-Hill Companies, Inc. | $ | 500,480 | |||||
| 26,132 | MetLife, Inc. | 1,409,037 | ||||||
| 4,500 | Moody’s Corporation | 353,115 | ||||||
| 32,350 | Morgan Stanley | 1,014,496 | ||||||
| 2,700 | NASDAQ OMX Group, Inc. | 107,460 | ||||||
| 5,200 | Northern Trust Corporation | 321,828 | ||||||
| 7,500 | People’s United Financial, Inc. | 113,400 | ||||||
| 4,100 | Plum Creek Timber Company, Inc. | 190,691 | ||||||
| 12,414 | PNC Financial Services Group, Inc. | 963,078 | ||||||
| 6,400 | Principal Financial Group, Inc. | 315,584 | ||||||
| 12,900 | Progressive Corporation | 351,783 | ||||||
| 11,596 | Prologis, Inc. | 428,472 | ||||||
| 10,800 | Prudential Financial, Inc. | 995,976 | ||||||
| 3,400 | Public Storage, Inc. | 511,768 | ||||||
| 32,277 | Regions Financial Corporation | 319,220 | ||||||
| 7,244 | Simon Property Group, Inc. | 1,102,247 | ||||||
| 10,200 | SLM Corporation | 268,056 | ||||||
| 10,300 | State Street Corporation | 755,917 | ||||||
| 12,500 | SunTrust Banks, Inc. | 460,125 | ||||||
| 6,068 | T. Rowe Price Group, Inc. | 508,316 | ||||||
| 2,200 | Torchmark Corporation | 171,930 | ||||||
| 8,481 | Travelers Companies, Inc. | 767,870 | ||||||
| 42,685 | U.S. Bancorp | 1,724,474 | ||||||
| 6,124 | Unum Group | 214,830 | ||||||
| 6,800 | Ventas, Inc. | 389,504 | ||||||
| 11,900 | Visa, Inc. | 2,649,892 | ||||||
| 3,997 | Vornado Realty Trust | 354,894 | ||||||
| 112,040 | Wells Fargo & Company | 5,086,616 | ||||||
| 13,582 | Weyerhaeuser Company REIT | 428,784 | ||||||
| 6,700 | XL Group plc | 213,328 | ||||||
| 4,300 | Zions Bancorporation | 128,828 | ||||||
|
| |||||||
| Total | 66,961,705 | |||||||
|
| |||||||
| Health Care (12.6%) | ||||||||
| 36,200 | Abbott Laboratories | 1,387,546 | ||||||
| 37,100 | AbbVie, Inc. | 1,959,251 | ||||||
| 4,100 | Actavis, Inc.a | 688,800 | ||||||
| 8,639 | Aetna, Inc. | 592,549 | ||||||
| 4,600 | Alexion Pharmaceuticals, Inc.a | 612,076 | ||||||
| 6,900 | Allergan, Inc. | 766,452 | ||||||
| 5,400 | AmerisourceBergen Corporation | 379,674 | ||||||
| 17,540 | Amgen, Inc. | 2,002,366 | ||||||
| 12,600 | Baxter International, Inc. | 876,330 | ||||||
| 4,500 | Becton, Dickinson and Company | 497,205 | ||||||
| 5,500 | Biogen Idec, Inc.a | 1,538,625 | ||||||
| 31,250 | Boston Scientific Corporationa | 375,625 | ||||||
| 38,398 | Bristol-Myers Squibb Company | 2,040,854 | ||||||
| 1,800 | C.R. Bard, Inc. | 241,092 | ||||||
| 7,975 | Cardinal Health, Inc. | 532,810 | ||||||
| 4,987 | CareFusion Corporationa | 198,582 | ||||||
| 9,600 | Celgene Corporationa | 1,622,016 | ||||||
| 6,900 | Cerner Corporationa | 384,606 | ||||||
| 6,500 | CIGNA Corporation | 568,620 | ||||||
| 10,800 | Covidien plc | 735,480 | ||||||
| 4,100 | DaVita HealthCare Partners, Inc.a | 259,817 | ||||||
| 3,300 | DENTSPLY International, Inc. | 159,984 | ||||||
| 2,600 | Edwards Lifesciences Corporationa | 170,976 | ||||||
| 23,100 | Eli Lilly and Company | 1,178,100 | ||||||
| 18,845 | Express Scripts Holding Companya | 1,323,673 | ||||||
| 5,500 | Forest Laboratories, Inc.a | 330,165 | ||||||
| 35,800 | Gilead Sciences, Inc.a | 2,690,370 | ||||||
| 3,880 | Hospira, Inc.a | 160,166 | ||||||
| 3,700 | Humana, Inc. | 381,914 | ||||||
| 900 | Intuitive Surgical, Inc.a | 345,672 | ||||||
| 65,840 | Johnson & Johnson | 6,030,286 | ||||||
| 2,100 | Laboratory Corporation of America Holdingsa | 191,877 | ||||||
| 4,043 | Life Technologies Corporationa | 306,459 | ||||||
| 5,342 | McKesson Corporation | 862,199 | ||||||
| 23,300 | Medtronic, Inc. | 1,337,187 | ||||||
| 68,183 | Merck & Company, Inc. | 3,412,559 | ||||||
| 8,900 | Mylan, Inc.a | 386,260 | ||||||
| 2,000 | Patterson Companies, Inc. | 82,400 | ||||||
| 2,600 | PerkinElmer, Inc. | 107,198 | ||||||
| 3,100 | Perrigo Company plc | 475,726 | ||||||
| 151,460 | Pfizer, Inc. | 4,639,220 | ||||||
| 3,400 | Quest Diagnostics, Inc. | 182,036 | ||||||
| 1,800 | Regeneron Pharmaceuticals, Inc.a | 495,432 | ||||||
| 6,784 | St. Jude Medical, Inc. | 420,269 | ||||||
| 6,800 | Stryker Corporation | 510,952 | ||||||
| 2,375 | Tenet Healthcare Corporationa | 100,035 | ||||||
| 8,400 | Thermo Fisher Scientific, Inc. | 935,340 | ||||||
| 23,600 | UnitedHealth Group, Inc. | 1,777,080 | ||||||
| 2,500 | Varian Medical Systems, Inc.a | 194,225 | ||||||
| 5,500 | Vertex Pharmaceuticals, Inc.a | 408,650 | ||||||
| 2,000 | Waters Corporationa | 200,000 | ||||||
| 7,000 | WellPoint, Inc. | 646,730 | ||||||
| 3,950 | Zimmer Holdings, Inc. | 368,100 | ||||||
| 11,700 | Zoetis, Inc. | 382,473 | ||||||
|
| |||||||
| Total | 49,454,089 | |||||||
|
| |||||||
| Industrials (10.7%) | ||||||||
| 15,000 | 3M Company | 2,103,750 | ||||||
| 4,700 | ADT Corporation | 190,209 | ||||||
| 2,101 | Allegion plca | 92,843 | ||||||
| 5,700 | AMETEK, Inc. | 300,219 | ||||||
| 16,160 | Boeing Company | 2,205,679 | ||||||
| 3,600 | C.H. Robinson Worldwide, Inc. | 210,024 | ||||||
| 14,800 | Caterpillar, Inc. | 1,343,988 | ||||||
| 2,400 | Cintas Corporation | 143,016 | ||||||
| 23,700 | CSX Corporation | 681,849 | ||||||
| 4,100 | Cummins, Inc. | 577,977 | ||||||
| 14,000 | Danaher Corporation | 1,080,800 | ||||||
| 9,000 | Deere & Company | 821,970 | ||||||
| 19,900 | Delta Air Lines, Inc. | 546,653 | ||||||
| 4,000 | Dover Corporation | 386,160 | ||||||
| 900 | Dun & Bradstreet Corporation | 110,475 | ||||||
| 11,044 | Eaton Corporation plc | 840,669 | ||||||
| 16,500 | Emerson Electric Company | 1,157,970 | ||||||
| 2,800 | Equifax, Inc. | 193,452 | ||||||
| 4,800 | Expeditors International of Washington, Inc. | 212,400 | ||||||
| 6,300 | Fastenal Company | 299,313 | ||||||
| 6,960 | FedEx Corporation | 1,000,639 | ||||||
| 1,600 | First Solar, Inc.a | 87,424 | ||||||
| 3,300 | Flowserve Corporation | 260,139 | ||||||
| 3,800 | Fluor Corporation | 305,102 | ||||||
| 7,800 | General Dynamics Corporation | 745,290 | ||||||
| 236,400 | General Electric Company | 6,626,292 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
289
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (98.1%) | Value | ||||||
| Industrials (10.7%) - continued | ||||||||
| 18,275 | Honeywell International, Inc. | $ | 1,669,787 | |||||
| 9,600 | Illinois Tool Works, Inc. | 807,168 | ||||||
| 6,300 | Ingersoll-Rand plc | 388,080 | ||||||
| 3,919 | Iron Mountain, Inc. | 118,942 | ||||||
| 3,100 | Jacobs Engineering Group, Inc.a | 195,269 | ||||||
| 2,500 | Joy Global, Inc. | 146,225 | ||||||
| 2,600 | Kansas City Southern | 321,958 | ||||||
| 2,100 | L-3 Communications Holdings, Inc. | 224,406 | ||||||
| 6,300 | Lockheed Martin Corporation | 936,558 | ||||||
| 8,300 | Masco Corporation | 188,991 | ||||||
| 5,850 | Nielsen Holdings NV | 268,457 | ||||||
| 7,300 | Norfolk Southern Corporation | 677,659 | ||||||
| 5,198 | Northrop Grumman Corporation | 595,743 | ||||||
| 8,237 | PACCAR, Inc. | 487,383 | ||||||
| 2,600 | Pall Corporation | 221,910 | ||||||
| 3,475 | Parker Hannifin Corporation | 447,024 | ||||||
| 4,699 | Pentair, Ltd. | 364,971 | ||||||
| 4,700 | Pitney Bowes, Inc. | 109,510 | ||||||
| 3,400 | Precision Castparts Corporation | 915,620 | ||||||
| 5,000 | Quanta Services, Inc.a | 157,800 | ||||||
| 7,500 | Raytheon Company | 680,250 | ||||||
| 6,320 | Republic Services, Inc. | 209,824 | ||||||
| 3,300 | Robert Half International, Inc. | 138,567 | ||||||
| 3,200 | Rockwell Automation, Inc. | 378,112 | ||||||
| 3,200 | Rockwell Collins, Inc. | 236,544 | ||||||
| 2,300 | Roper Industries, Inc. | 318,964 | ||||||
| 1,200 | Ryder System, Inc. | 88,536 | ||||||
| 16,300 | Southwest Airlines Company | 307,092 | ||||||
| 3,700 | Stanley Black & Decker, Inc. | 298,553 | ||||||
| 2,000 | Stericycle, Inc.a | 232,340 | ||||||
| 6,500 | Textron, Inc. | 238,940 | ||||||
| 10,800 | Tyco International, Ltd. | 443,232 | ||||||
| 10,800 | Union Pacific Corporation | 1,814,400 | ||||||
| 16,700 | United Parcel Service, Inc. | 1,754,836 | ||||||
| 19,700 | United Technologies Corporation | 2,241,860 | ||||||
| 1,400 | W.W. Grainger, Inc. | 357,588 | ||||||
| 10,099 | Waste Management, Inc. | 453,142 | ||||||
| 4,300 | Xylem, Inc. | 148,780 | ||||||
|
| |||||||
| Total | 42,109,323 | |||||||
|
| |||||||
| Information Technology (17.2%) | ||||||||
| 14,900 | Accenture plc | 1,225,078 | ||||||
| 10,900 | Adobe Systems, Inc.a | 652,692 | ||||||
| 7,715 | Agilent Technologies, Inc. | 441,221 | ||||||
| 4,200 | Akamai Technologies, Inc.a | 198,156 | ||||||
| 1,100 | Alliance Data Systems Corporationa | 289,223 | ||||||
| 7,500 | Altera Corporation | 243,975 | ||||||
| 3,700 | Amphenol Corporation | 329,966 | ||||||
| 7,200 | Analog Devices, Inc. | 366,696 | ||||||
| 21,000 | Apple, Inc.c | 11,783,310 | ||||||
| 28,100 | Applied Materials, Inc. | 497,089 | ||||||
| 5,200 | Autodesk, Inc.a | 261,716 | ||||||
| 11,300 | Automatic Data Processing, Inc. | 913,153 | ||||||
| 12,700 | Broadcom Corporation | 376,555 | ||||||
| 7,612 | CA, Inc. | 256,144 | ||||||
| 124,800 | Cisco Systems, Inc. | 2,801,760 | ||||||
| 4,300 | Citrix Systems, Inc.a | 271,975 | ||||||
| 7,000 | Cognizant Technology Solutions Corporationa | 706,860 | ||||||
| 3,500 | Computer Sciences Corporation | 195,580 | ||||||
| 33,900 | Corning, Inc. | 604,098 | ||||||
| 27,200 | eBay, Inc.a | 1,493,008 | ||||||
| 7,200 | Electronic Arts, Inc.a | 165,168 | ||||||
| 48,086 | EMC Corporation | 1,209,363 | ||||||
| 1,900 | F5 Networks, Inc.a | 172,634 | ||||||
| 38,400 | Facebook, Inc.a | 2,098,944 | ||||||
| 6,800 | Fidelity National Information Services, Inc. | 365,024 | ||||||
| 6,000 | Fiserv, Inc.a | 354,300 | ||||||
| 3,300 | FLIR Systems, Inc. | 99,330 | ||||||
| 2,800 | GameStop Corporation | 137,928 | ||||||
| 6,600 | Google, Inc.a | 7,396,686 | ||||||
| 2,500 | Harris Corporation | 174,525 | ||||||
| 44,786 | Hewlett-Packard Company | 1,253,112 | ||||||
| 116,100 | Intel Corporation | 3,013,956 | ||||||
| 23,900 | International Business Machines Corporation | 4,482,923 | ||||||
| 6,700 | Intuit, Inc. | 511,344 | ||||||
| 4,300 | Jabil Circuit, Inc. | 74,992 | ||||||
| 11,800 | Juniper Networks, Inc.a | 266,326 | ||||||
| 3,900 | KLA-Tencor Corporation | 251,394 | ||||||
| 3,800 | Lam Research Corporationa | 206,910 | ||||||
| 5,400 | Linear Technology Corporation | 245,970 | ||||||
| 12,700 | LSI Corporation | 139,954 | ||||||
| 4,600 | Microchip Technology, Inc.b | 205,850 | ||||||
| 24,500 | Micron Technology, Inc.a | 533,120 | ||||||
| 177,400 | Microsoft Corporation | 6,640,082 | ||||||
| 5,455 | Motorola Solutions, Inc. | 368,212 | ||||||
| 8,000 | NetApp, Inc. | 329,120 | ||||||
| 13,450 | NVIDIA Corporation | 215,469 | ||||||
| 82,037 | Oracle Corporation | 3,138,736 | ||||||
| 7,500 | Paychex, Inc. | 341,475 | ||||||
| 39,500 | QUALCOMM, Inc. | 2,932,875 | ||||||
| 4,400 | Red Hat, Inc.a | 246,576 | ||||||
| 12,900 | Salesforce.com, Inc.a | 711,951 | ||||||
| 5,300 | SanDisk Corporation | 373,862 | ||||||
| 7,600 | Seagate Technology plc | 426,816 | ||||||
| 16,224 | Symantec Corporation | 382,562 | ||||||
| 9,600 | TE Connectivity, Ltd. | 529,056 | ||||||
| 3,800 | Teradata Corporationa | 172,862 | ||||||
| 25,600 | Texas Instruments, Inc. | 1,124,096 | ||||||
| 3,800 | Total System Services, Inc. | 126,464 | ||||||
| 3,100 | VeriSign, Inc.a | 185,318 | ||||||
| 5,000 | Western Digital Corporation | 419,500 | ||||||
| 12,880 | Western Union Company | 222,180 | ||||||
| 26,985 | Xerox Corporation | 328,407 | ||||||
| 6,200 | Xilinx, Inc. | 284,704 | ||||||
| 22,100 | Yahoo!, Inc.a | 893,724 | ||||||
|
| |||||||
| Total | 67,662,055 | |||||||
|
| |||||||
| Materials (3.3%) | ||||||||
| 4,900 | Air Products and Chemicals, Inc. | 547,722 | ||||||
| 1,600 | Airgas, Inc. | 178,960 | ||||||
| 24,964 | Alcoa, Inc. | 265,367 | ||||||
| 2,569 | Allegheny Technologies, Inc. | 91,534 | ||||||
| 2,300 | Avery Dennison Corporation | 115,437 | ||||||
| 3,400 | Ball Corporation | 175,644 | ||||||
| 2,400 | Bemis Company, Inc. | 98,304 | ||||||
| 1,300 | CF Industries Holdings, Inc. | 302,952 | ||||||
| 3,600 | Cliffs Natural Resources, Inc.b | 94,356 | ||||||
| 28,293 | Dow Chemical Company | 1,256,209 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
290
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Common Stock (98.1%) | Value | ||||||
| Materials (3.3%) - continued | ||||||||
| 21,611 | E.I. du Pont de Nemours and Company | $ | 1,404,067 | |||||
| 3,600 | Eastman Chemical Company | 290,520 | ||||||
| 6,300 | Ecolab, Inc. | 656,901 | ||||||
| 3,200 | FMC Corporation | 241,472 | ||||||
| 24,192 | Freeport-McMoRan Copper & Gold, Inc. | 913,006 | ||||||
| 1,900 | International Flavors & Fragrances, Inc. | 163,362 | ||||||
| 10,371 | International Paper Company | 508,490 | ||||||
| 10,200 | LyondellBasell Industries NV | 818,856 | ||||||
| 4,081 | MeadWestvaco Corporation | 150,711 | ||||||
| 12,278 | Monsanto Company | 1,431,001 | ||||||
| 7,900 | Mosaic Company | 373,433 | ||||||
| 11,548 | Newmont Mining Corporation | 265,950 | ||||||
| 7,400 | Nucor Corporation | 395,012 | ||||||
| 3,900 | Owens-Illinois, Inc.a | 139,542 | ||||||
| 3,300 | PPG Industries, Inc. | 625,878 | ||||||
| 6,900 | Praxair, Inc. | 897,207 | ||||||
| 4,552 | Sealed Air Corporation | 154,996 | ||||||
| 2,800 | Sigma-Aldrich Corporation | 263,228 | ||||||
| 3,400 | United States Steel Corporation | 100,300 | ||||||
| 3,000 | Vulcan Materials Company | 178,260 | ||||||
|
| |||||||
| Total | 13,098,677 | |||||||
|
| |||||||
| Telecommunications Services (2.2%) | ||||||||
| 123,139 | AT&T, Inc. | 4,329,567 | ||||||
| 13,825 | CenturyLink, Inc.b | 440,326 | ||||||
| 7,800 | Crown Castle International Corporationa | 572,754 | ||||||
| 23,278 | Frontier Communications Corporationb | 108,243 | ||||||
| 66,796 | Verizon Communications, Inc. | 3,282,356 | ||||||
| 13,907 | Windstream Corporationb | 110,978 | ||||||
|
| |||||||
| Total | 8,844,224 | |||||||
|
| |||||||
| Utilities (2.9%) | ||||||||
| 15,250 | AES Corporation | 221,278 | ||||||
| 2,805 | AGL Resources, Inc. | 132,480 | ||||||
| 5,700 | Ameren Corporation | 206,112 | ||||||
| 11,360 | American Electric Power Company, Inc. | 530,966 | ||||||
| 9,973 | CenterPoint Energy, Inc. | 231,174 | ||||||
| 6,200 | CMS Energy Corporation | 165,974 | ||||||
| 6,800 | Consolidated Edison, Inc. | 375,904 | ||||||
| 13,494 | Dominion Resources, Inc. | 872,927 | ||||||
| 4,100 | DTE Energy Company | 272,199 | ||||||
| 16,402 | Duke Energy Corporation | 1,131,902 | ||||||
| 7,600 | Edison International, Inc. | 351,880 | ||||||
| 4,200 | Entergy Corporation | 265,734 | ||||||
| 19,974 | Exelon Corporation | 547,088 | ||||||
| 9,734 | FirstEnergy Corporation | 321,027 | ||||||
| 1,815 | Integrys Energy Group, Inc.b | 98,754 | ||||||
| 10,000 | NextEra Energy, Inc. | 856,200 | ||||||
| 7,309 | NiSource, Inc. | 240,320 | ||||||
| 7,300 | Northeast Utilities | 309,447 | ||||||
| 7,500 | NRG Energy, Inc. | 215,400 | ||||||
| 4,800 | ONEOK, Inc. | 298,464 | ||||||
| 5,800 | Pepco Holdings, Inc. | 110,954 | ||||||
| 10,500 | PG&E Corporation | 422,940 | ||||||
| 2,600 | Pinnacle West Capital Corporation | 137,592 | ||||||
| 14,700 | PPL Corporation | 442,323 | ||||||
| 11,800 | Public Service Enterprise Group, Inc. | 378,072 | ||||||
| 3,200 | SCANA Corporation | 150,176 | ||||||
| 5,275 | Sempra Energy | 473,484 | ||||||
| 20,600 | Southern Company | 846,866 | ||||||
| 4,800 | TECO Energy, Inc.b | 82,752 | ||||||
| 5,300 | Wisconsin Energy Corporation | 219,102 | ||||||
| 11,605 | Xcel Energy, Inc. | 324,244 | ||||||
|
| |||||||
| Total | 11,233,735 | |||||||
|
| |||||||
| Total Common Stock (cost $234,789,437) | 385,344,123 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.4%) | ||||||||
| 1,553,927 | Thrivent Cash Management Trust | 1,553,927 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $1,553,927) | 1,553,927 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (1.8%)d | |||||||
Thrivent Cash Management Trust | ||||||||
| 6,939,002 | 0.060% | 6,939,002 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 6,939,002 | |||||||
|
| |||||||
| Total Investments (cost $243,282,366) 100.3% | $ | 393,837,052 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (0.3%) | (1,207,011 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 392,630,041 | ||||||
|
| |||||||
| a | Non-income producing security. |
| b | All or a portion of the security is on loan. |
| c | At December 31, 2013, $1,122,220 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| d | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Definitions:
| REIT - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 145,772,901 | ||
Gross unrealized depreciation | (11,399,571 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 134,373,330 | ||
Cost for federal income tax purposes | $ | 259,463,722 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
291
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 48,767,891 | 48,767,891 | — | — | ||||||||||||
Consumer Staples | 37,624,357 | 37,624,357 | — | — | ||||||||||||
Energy | 39,588,067 | 39,588,067 | — | — | ||||||||||||
Financials | 66,961,705 | 66,961,705 | — | — | ||||||||||||
Health Care | 49,454,089 | 49,454,089 | — | — | ||||||||||||
Industrials | 42,109,323 | 42,109,323 | — | — | ||||||||||||
Information Technology | 67,662,055 | 67,662,055 | — | — | ||||||||||||
Materials | 13,098,677 | 13,098,677 | — | — | ||||||||||||
Telecommunications Services | 8,844,224 | 8,844,224 | — | — | ||||||||||||
Utilities | 11,233,735 | 11,233,735 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 1,553,927 | 1,553,927 | — | — | ||||||||||||
Short-Term Investments | 6,939,002 | 6,939,002 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 393,837,052 | $ | 393,837,052 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 256,489 | 256,489 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 256,489 | $ | 256,489 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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 | 15 | March 2014 | $ | 6,647,636 | $ | 6,904,125 | $ | 256,489 | ||||||||||||
Total Futures Contracts | $ | 256,489 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | ||||
Asset Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 256,489 | ||||
Total Equity Contracts | 256,489 | |||||
|
| |||||
Total Asset Derivatives | $ | 256,489 | ||||
|
| |||||
| * | 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.
292
Large Cap Index Portfolio
Schedule of Investments as of December 31, 2013
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | 1,004,093 | ||||
Total Equity Contracts | 1,004,093 | |||||
|
| |||||
Total | $ | 1,004,093 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | 278,971 | ||||
Total Equity Contracts | 278,971 | |||||
|
| |||||
Total | $ | 278,971 | ||||
|
| |||||
The following table presents Large Cap Index Portfolio’s average volume of derivative activity during the period ended December 31, 2013.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 5,326,606 | 1.5 | % | ||||
| * | 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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 1,526,426 | $ | 20,498,905 | $ | 20,471,404 | 1,553,927 | $ | 1,553,927 | $ | 9,413 | |||||||||||||
Cash Management Trust- Short Term Investment | 2,166,703 | 23,718,687 | 18,946,388 | 6,939,002 | 6,939,002 | 4,184 | ||||||||||||||||||
Total Value and Income Earned | 3,693,129 | 8,492,929 | 13,597 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
293
Schedule of Investments as of December 31, 2013
| Principal Amount | Bank Loans (3.6%)a | Value | ||||||
| Communications Services (1.3%) |
| ||||||
Clear Channel Communications, Inc., Term Loan | ||||||||
| $ | 134,677 | 3.819%, 1/29/2016 | $ | 130,281 | ||||
| 7,733,196 | 6.919%, 1/30/2019 | 7,375,536 | ||||||
| 2,487,127 | 7.669%, 7/30/2019 | 2,448,278 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
| 2,365,125 | 9.000%, 3/22/2019 | 2,405,521 | ||||||
|
| |||||||
| Total | 12,359,616 | |||||||
|
| |||||||
| Consumer Cyclical (0.3%) | |||||||
Mohegan Tribal Gaming Authority, Term Loan | ||||||||
| 2,710,000 | 5.500%, 11/19/2019 | 2,748,970 | ||||||
|
| |||||||
| Total | 2,748,970 | |||||||
|
| |||||||
| Consumer Non-Cyclical (1.2%) | |||||||
Albertsons, Inc., Term Loan | ||||||||
| 2,985,000 | 4.750%, 3/21/2019b,c | 2,998,671 | ||||||
DJO Finance, LLC, Term Loan | ||||||||
| 3,274,767 | 4.750%, 9/15/2017 | 3,305,485 | ||||||
HCA, Inc., Term Loan | ||||||||
| 4,717,722 | 2.997%, 5/1/2018 | 4,716,731 | ||||||
|
| |||||||
| Total | 11,020,887 | |||||||
|
| |||||||
| Financials (0.3%) | |||||||
Nuveen Investments, Inc., Term Loan | ||||||||
| 2,650,000 | 6.500%, 2/28/2019 | 2,618,200 | ||||||
|
| |||||||
| Total | 2,618,200 | |||||||
|
| |||||||
| Technology (0.5%) | |||||||
First Data Corporation Extended, Term Loan | ||||||||
| 4,280,676 | 4.164%, 3/23/2018 | 4,283,630 | ||||||
|
| |||||||
| Total | 4,283,630 | |||||||
|
| |||||||
| Total Bank Loans (cost $32,390,575) | 33,031,303 | |||||||
|
| |||||||
Long-Term Fixed Income (92.9%) | ||||||||
| Asset-Backed Securities (0.3%) | |||||||
Renaissance Home Equity Loan Trust | ||||||||
| 2,326,745 | 5.746%, 5/25/2036 | 1,731,112 | ||||||
| 1,800,000 | 6.011%, 5/25/2036 | 1,260,770 | ||||||
|
| |||||||
| Total | 2,991,882 | |||||||
|
| |||||||
| Basic Materials (8.4%) | |||||||
APERAM | ||||||||
| 2,645,000 | 7.750%, 4/1/2018d | 2,711,125 | ||||||
Bluescope Steel, Ltd. | ||||||||
| 1,590,000 | 7.125%, 5/1/2018d | 1,665,525 | ||||||
CONSOL Energy, Inc. | ||||||||
| 1,900,000 | 8.000%, 4/1/2017 | 2,002,125 | ||||||
| 2,770,000 | 8.250%, 4/1/2020 | 2,998,525 | ||||||
FMG Resources Pty. Ltd. | ||||||||
| 2,630,000 | 7.000%, 11/1/2015d,e | 2,728,625 | ||||||
| 1,590,000 | 6.000%, 4/1/2017d,e | 1,689,375 | ||||||
| 3,200,000 | 6.875%, 2/1/2018d,e | 3,368,000 | ||||||
| 4,390,000 | 8.250%, 11/1/2019d,e | 4,927,775 | ||||||
Graphic Packaging International, Inc. | ||||||||
| 1,600,000 | 7.875%, 10/1/2018 | 1,736,000 | ||||||
| 790,000 | 4.750%, 4/15/2021 | 782,100 | ||||||
Hexion US Finance Corporation/Hexion Nova Scotia Finance ULC | ||||||||
| 6,410,000 | 8.875%, 2/1/2018 | 6,658,387 | ||||||
INEOS Group Holdings SA | ||||||||
| 3,245,000 | 6.125%, 8/15/2018d | 3,261,225 | ||||||
Inmet Mining Corporation | ||||||||
| 3,300,000 | 8.750%, 6/1/2020d | 3,580,500 | ||||||
| 2,900,000 | 7.500%, 6/1/2021d | 3,030,500 | ||||||
Magnetation, LLC | ||||||||
| 2,640,000 | 11.000%, 5/15/2018d | 2,877,600 | ||||||
Midwest Vanadium, Pty. Ltd. | ||||||||
| 3,430,000 | 11.500%, 2/15/2018f | 2,846,900 | ||||||
NOVA Chemicals Corporation | ||||||||
| 5,500,000 | 8.625%, 11/1/2019 | 6,056,875 | ||||||
Novelis, Inc. | ||||||||
| 3,950,000 | 8.750%, 12/15/2020 | 4,394,375 | ||||||
Resolute Forest Products, Inc. | ||||||||
| 3,170,000 | 5.875%, 5/15/2023d | 2,932,250 | ||||||
Ryerson, Inc. | ||||||||
| 2,100,000 | 9.000%, 10/15/2017 | 2,226,000 | ||||||
Sappi Papier Holding GmbH | ||||||||
| 2,645,000 | 8.375%, 6/15/2019d | 2,902,888 | ||||||
Severstal Columbus, LLC | ||||||||
| 3,600,000 | 10.250%, 2/15/2018 | 3,816,000 | ||||||
Tembec Industries, Inc. | ||||||||
| 3,180,000 | 11.250%, 12/15/2018 | 3,482,100 | ||||||
Westmoreland Coal Company | ||||||||
| 3,930,000 | 10.750%, 2/1/2018 | 4,313,175 | ||||||
|
| |||||||
| Total | 76,987,950 | |||||||
|
| |||||||
| Capital Goods (7.6%) | |||||||
Case New Holland, Inc. | ||||||||
| 2,550,000 | 7.875%, 12/1/2017 | 3,009,000 | ||||||
Cemex Finance, LLC | ||||||||
| 2,130,000 | 9.375%, 10/12/2017d | 2,401,575 | ||||||
Cemex SAB de CV | ||||||||
| 2,630,000 | 9.000%, 1/11/2018d | 2,886,425 | ||||||
| 3,780,000 | 4.999%, 10/15/2018d,e,g | 3,925,530 | ||||||
CNH Capital, LLC | ||||||||
| 2,150,000 | 3.625%, 4/15/2018 | 2,179,563 | ||||||
CTP Transportation Products, LLC | ||||||||
| 1,910,000 | 8.250%, 12/15/2019d | 1,991,175 | ||||||
EnergySolutions, Inc. | ||||||||
| 2,650,000 | 10.750%, 8/15/2018 | 2,828,875 | ||||||
Liberty Tire Recycling | ||||||||
| 2,130,000 | 11.000%, 10/1/2016f | 2,135,325 | ||||||
Manitowoc Company, Inc. | ||||||||
| 4,730,000 | 8.500%, 11/1/2020 | 5,368,550 | ||||||
Milacron, LLC | ||||||||
| 2,640,000 | 7.750%, 2/15/2021d | 2,772,000 | ||||||
Nortek, Inc. | ||||||||
| 3,160,000 | 10.000%, 12/1/2018 | 3,487,850 | ||||||
| 3,640,000 | 8.500%, 4/15/2021 | 4,031,300 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
294
High Yield Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (92.9%) | Value | ||||||
| Capital Goods (7.6%) - continued |
| ||||||
Owens-Illinois, Inc. | ||||||||
| $ | 3,470,000 | 7.800%, 5/15/2018 | $ | 4,007,850 | ||||
Reynolds Group Issuer, Inc. | ||||||||
| 1,580,000 | 9.000%, 4/15/2019 | 1,694,550 | ||||||
| 2,160,000 | 9.875%, 8/15/2019 | 2,403,000 | ||||||
| 2,100,000 | 5.750%, 10/15/2020 | 2,142,000 | ||||||
| 2,630,000 | 8.250%, 2/15/2021e | 2,807,525 | ||||||
RSC Equipment Rental, Inc. | ||||||||
| 3,120,000 | 8.250%, 2/1/2021 | 3,517,800 | ||||||
Safeway Group Holding, LLC | ||||||||
| 3,175,000 | 7.000%, 5/15/2018d | 3,349,625 | ||||||
Silgan Holdings, Inc. | ||||||||
| 3,970,000 | 5.000%, 4/1/2020 | 3,920,375 | ||||||
Tekni-Plex, Inc. | ||||||||
| 2,677,000 | 9.750%, 6/1/2019d | 3,038,395 | ||||||
United Rentals North America, Inc. | ||||||||
| 1,070,000 | 7.375%, 5/15/2020 | 1,186,362 | ||||||
UR Financing Escrow Corporation | ||||||||
| 4,250,000 | 7.625%, 4/15/2022 | 4,722,812 | ||||||
|
| |||||||
| Total | 69,807,462 | |||||||
|
| |||||||
| Communications Services (16.5%) | |||||||
Altice Financing SA | ||||||||
| 1,080,000 | 6.500%, 1/15/2022d | 1,090,800 | ||||||
Altice Finco SA | ||||||||
| 1,050,000 | 9.875%, 12/15/2020d | 1,181,250 | ||||||
| 540,000 | 8.125%, 1/15/2024d | 560,250 | ||||||
AMC Networks, Inc. | ||||||||
| 4,810,000 | 7.750%, 7/15/2021 | 5,411,250 | ||||||
CCO Holdings, LLC | ||||||||
| 4,250,000 | 7.250%, 10/30/2017 | 4,499,687 | ||||||
| 1,610,000 | 7.000%, 1/15/2019 | 1,696,537 | ||||||
| 800,000 | 7.375%, 6/1/2020 | 866,000 | ||||||
CenturyLink, Inc. | ||||||||
| 710,000 | 5.625%, 4/1/2020 | 722,425 | ||||||
Cequel Communications Escrow 1, LLC | ||||||||
| 3,500,000 | 6.375%, 9/15/2020d | 3,587,500 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
| 5,000,000 | 6.500%, 11/15/2022 | 5,106,250 | ||||||
Digicel, Ltd. | ||||||||
| 4,210,000 | 8.250%, 9/1/2017d | 4,378,400 | ||||||
| 1,680,000 | 7.000%, 2/15/2020d | 1,696,800 | ||||||
| 3,220,000 | 6.000%, 4/15/2021d | 3,107,300 | ||||||
DISH DBS Corporation | ||||||||
| 2,645,000 | 5.125%, 5/1/2020 | 2,651,613 | ||||||
Eileme 2 AB | ||||||||
| 4,260,000 | 11.625%, 1/31/2020f | 5,106,586 | ||||||
Frontier Communications Corporation | ||||||||
| 3,190,000 | 8.250%, 4/15/2017 | 3,700,400 | ||||||
Gray Television, Inc. | ||||||||
| 2,710,000 | 7.500%, 10/1/2020 | 2,879,375 | ||||||
Hughes Satellite Systems Corporation | ||||||||
| 4,850,000 | 6.500%, 6/15/2019 | 5,250,125 | ||||||
Intelsat Jackson Holdings SA | ||||||||
| 7,470,000 | 7.250%, 10/15/2020 | 8,170,312 | ||||||
| 1,580,000 | 6.625%, 12/15/2022 | 1,627,400 | ||||||
Intelsat Luxembourg SA | ||||||||
| 3,710,000 | 7.750%, 6/1/2021d | 3,978,975 | ||||||
Level 3 Financing, Inc. | ||||||||
| 4,230,000 | 8.625%, 7/15/2020 | 4,737,600 | ||||||
| 1,620,000 | 6.125%, 1/15/2021d | 1,636,200 | ||||||
McGraw-Hill Global Education Holdings, LLC | ||||||||
| 5,295,000 | 9.750%, 4/1/2021d | 5,850,975 | ||||||
MDC Partners, Inc. | ||||||||
| 3,190,000 | 6.750%, 4/1/2020d | 3,337,537 | ||||||
Satmex Escrow SA de CV | ||||||||
| 5,230,000 | 9.500%, 5/15/2017 | 5,622,250 | ||||||
Sprint Communications, Inc. | ||||||||
| 8,180,000 | 9.000%, 11/15/2018d | 9,856,900 | ||||||
| 2,870,000 | 7.000%, 3/1/2020d | 3,200,050 | ||||||
| 4,000,000 | 6.000%, 11/15/2022 | 3,900,000 | ||||||
Sprint Corporation | ||||||||
| 3,460,000 | 7.125%, 6/15/2024d | 3,511,900 | ||||||
T-Mobile USA, Inc. | ||||||||
| 3,790,000 | 6.542%, 4/28/2020 | 4,026,875 | ||||||
| 985,000 | 6.633%, 4/28/2021 | 1,036,713 | ||||||
| 1,080,000 | 6.125%, 1/15/2022 | 1,098,900 | ||||||
| 810,000 | 6.731%, 4/28/2022 | 844,425 | ||||||
| 1,080,000 | 6.500%, 1/15/2024 | 1,093,500 | ||||||
Unitymedia Hessen GmbH & Company KG | ||||||||
| 5,100,000 | 5.500%, 1/15/2023d | 4,947,000 | ||||||
Univision Communications, Inc. | ||||||||
| 3,000,000 | 6.750%, 9/15/2022d | 3,285,000 | ||||||
UPC Holding BV | ||||||||
| 4,500,000 | 9.875%, 4/15/2018d | 4,826,250 | ||||||
UPCB Finance V, Ltd. | ||||||||
| 1,600,000 | 7.250%, 11/15/2021d | 1,736,000 | ||||||
Verizon Communications, Inc. | ||||||||
| 1,560,000 | 5.150%, 9/15/2023 | 1,674,960 | ||||||
Virgin Media Finance plc | ||||||||
| 1,196,000 | 8.375%, 10/15/2019 | 1,306,630 | ||||||
WideOpenWest Finance, LLC | ||||||||
| 5,120,000 | 10.250%, 7/15/2019 | 5,683,200 | ||||||
Wind Acquisition Finance SA | ||||||||
| 4,760,000 | 11.750%, 7/15/2017d | 5,063,450 | ||||||
Windstream Corporation | ||||||||
| 2,170,000 | 7.750%, 10/1/2021 | 2,300,200 | ||||||
Zayo Group, LLC | ||||||||
| 3,425,000 | 8.125%, 1/1/2020 | 3,750,375 | ||||||
|
| |||||||
| Total | 151,596,125 | |||||||
|
| |||||||
| Consumer Cyclical (14.0%) | |||||||
Beazer Homes USA, Inc. | ||||||||
| 1,050,000 | 9.125%, 6/15/2018 | 1,123,500 | ||||||
| 3,530,000 | 9.125%, 5/15/2019 | 3,777,100 | ||||||
Best Buy Company, Inc. | ||||||||
| 2,640,000 | 5.000%, 8/1/2018 | 2,765,400 | ||||||
Brand Energy & Infrastructure Services, Inc. | ||||||||
| 2,170,000 | 8.500%, 12/1/2021d | 2,205,263 | ||||||
Brookfield Residential Properties, Inc. | ||||||||
| 2,630,000 | 6.500%, 12/15/2020d | 2,728,625 | ||||||
| 2,110,000 | 6.125%, 7/1/2022d | 2,120,550 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
295
High Yield Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (92.9%) | Value | ||||||
| Consumer Cyclical (14.0%) - continued |
| ||||||
Burlington Coat Factory Warehouse Corporation | ||||||||
| $ | 3,650,000 | 10.000%, 2/15/2019e | $ | 4,110,812 | ||||
Choice Hotels International, Inc. | ||||||||
| 6,750,000 | 5.750%, 7/1/2022 | 7,045,312 | ||||||
Chrysler Group, LLC | ||||||||
| 2,770,000 | 8.000%, 6/15/2019 | 3,060,850 | ||||||
| 2,100,000 | 8.250%, 6/15/2021e | 2,388,750 | ||||||
Churchill Downs, Inc. | ||||||||
| 2,170,000 | 5.375%, 12/15/2021d | 2,207,975 | ||||||
Cinemark USA, Inc. | ||||||||
| 5,475,000 | 4.875%, 6/1/2023 | 5,146,500 | ||||||
CST Brands, Inc. | ||||||||
| 2,110,000 | 5.000%, 5/1/2023 | 2,036,150 | ||||||
DineEquity, Inc. | ||||||||
| 4,200,000 | 9.500%, 10/30/2018e | 4,662,000 | ||||||
Eldorado Resorts, LLC | ||||||||
| 4,820,000 | 8.625%, 6/15/2019f | 5,145,350 | ||||||
General Motors Financial Company, Inc. | ||||||||
| 2,900,000 | 4.750%, 8/15/2017d | 3,077,625 | ||||||
| 1,720,000 | 3.250%, 5/15/2018d | 1,720,000 | ||||||
| 1,310,000 | 6.750%, 6/1/2018 | 1,493,400 | ||||||
GLP Capital, LP | ||||||||
| 3,245,000 | 5.375%, 11/1/2023d | 3,188,212 | ||||||
Hilton Worldwide Finance, LLC | ||||||||
| 3,350,000 | 5.625%, 10/15/2021d | 3,475,625 | ||||||
Jaguar Land Rover Automotive plc | ||||||||
| 2,490,000 | 4.125%, 12/15/2018d | 2,505,563 | ||||||
| 1,050,000 | 5.625%, 2/1/2023d | 1,050,000 | ||||||
KB Home | ||||||||
| 1,070,000 | 7.250%, 6/15/2018 | 1,179,675 | ||||||
| 2,000,000 | 8.000%, 3/15/2020e | 2,210,000 | ||||||
| 1,580,000 | 7.500%, 9/15/2022 | 1,662,950 | ||||||
L Brands, Inc. | ||||||||
| 1,570,000 | 6.625%, 4/1/2021 | 1,723,075 | ||||||
| 1,860,000 | 5.625%, 2/15/2022 | 1,901,850 | ||||||
Lear Corporation | ||||||||
| 1,760,000 | 7.875%, 3/15/2018 | 1,843,600 | ||||||
| 1,760,000 | 8.125%, 3/15/2020 | 1,940,400 | ||||||
| 1,110,000 | 4.750%, 1/15/2023d | 1,040,625 | ||||||
LKQ Corporation | ||||||||
| 2,910,000 | 4.750%, 5/15/2023d | 2,706,300 | ||||||
MCE Finance, Ltd. | ||||||||
| 2,370,000 | 5.000%, 2/15/2021d | 2,310,750 | ||||||
MGM Resorts International | ||||||||
| 6,000,000 | 5.250%, 3/31/2020 | 5,955,000 | ||||||
Mohegan Tribal Gaming Authority | ||||||||
| 4,820,000 | 9.750%, 9/1/2021d,e | 5,193,550 | ||||||
New Cotai, LLC | ||||||||
| 3,914,950 | 10.625%, 5/1/2019f | 4,012,824 | ||||||
Rite Aid Corporation | ||||||||
| 3,165,000 | 6.750%, 6/15/2021e | 3,319,294 | ||||||
Seminole Indian Tribe of Florida | ||||||||
| 4,290,000 | 7.804%, 10/1/2020d | 4,697,550 | ||||||
Seven Seas Cruises S de RL, LLC | ||||||||
| 5,270,000 | 9.125%, 5/15/2019d | 5,803,587 | ||||||
Studio City Finance, Ltd. | ||||||||
| 5,240,000 | 8.500%, 12/1/2020d | 5,803,300 | ||||||
Tunica-Biloxi Gaming Authority | ||||||||
| 4,770,000 | 9.000%, 11/15/2015f | 4,293,000 | ||||||
West Corporation | ||||||||
| 4,150,000 | 8.625%, 10/1/2018 | 4,513,125 | ||||||
|
| |||||||
| Total | 129,145,017 | |||||||
|
| |||||||
| Consumer Non-Cyclical (9.9%) | |||||||
B&G Foods, Inc. | ||||||||
| 3,700,000 | 4.625%, 6/1/2021 | 3,552,000 | ||||||
Biomet, Inc. | ||||||||
| 3,105,000 | 6.500%, 8/1/2020 | 3,260,250 | ||||||
| 2,115,000 | 6.500%, 10/1/2020 | 2,178,450 | ||||||
CHS/Community Health Systems, Inc. | ||||||||
| 1,585,000 | 7.125%, 7/15/2020 | 1,644,438 | ||||||
Emergency Medical Services Corporation | ||||||||
| 3,166,000 | 8.125%, 6/1/2019 | 3,431,152 | ||||||
Endo Health Solutions, Inc. | ||||||||
| 4,260,000 | 7.250%, 1/15/2022 | 4,558,200 | ||||||
Fresenius Medical Care US Finance, Inc. | ||||||||
| 2,660,000 | 6.500%, 9/15/2018d | 3,005,800 | ||||||
| 2,150,000 | 5.750%, 2/15/2021d | 2,279,000 | ||||||
HCA, Inc. | ||||||||
| 2,645,000 | 6.500%, 2/15/2020 | 2,906,194 | ||||||
| 2,640,000 | 5.875%, 3/15/2022 | 2,725,800 | ||||||
| 3,360,000 | 4.750%, 5/1/2023 | 3,158,400 | ||||||
Health Management Associates, Inc. | ||||||||
| 4,355,000 | 7.375%, 1/15/2020 | 4,872,156 | ||||||
Healthcare Technology Intermediate, Inc. | ||||||||
| 3,220,000 | 7.375%, 9/1/2018d | 3,348,800 | ||||||
JBS Finance II, Ltd. | ||||||||
| 4,550,000 | 8.250%, 1/29/2018f | 4,777,500 | ||||||
JBS USA, LLC | ||||||||
| 2,900,000 | 7.250%, 6/1/2021d | 3,016,000 | ||||||
Libbey Glass, Inc. | ||||||||
| 3,321,000 | 6.875%, 5/15/2020 | 3,586,680 | ||||||
Michael Foods Holding, Inc. | ||||||||
| 2,507,000 | 8.500%, 7/15/2018d | 2,651,153 | ||||||
Prestige Brands, Inc. | ||||||||
| 1,080,000 | 5.375%, 12/15/2021d | 1,090,800 | ||||||
Revlon Consumer Products Corporation | ||||||||
| 4,760,000 | 5.750%, 2/15/2021 | 4,694,550 | ||||||
Spectrum Brands Escrow Corporation | ||||||||
| 2,220,000 | 6.375%, 11/15/2020d | 2,369,850 | ||||||
| 2,030,000 | 6.625%, 11/15/2022d | 2,159,412 | ||||||
Teleflex, Inc. | ||||||||
| 4,210,000 | 6.875%, 6/1/2019 | 4,420,500 | ||||||
Tenet Healthcare Corporation | ||||||||
| 6,225,000 | 8.125%, 4/1/2022 | 6,707,438 | ||||||
Valeant Pharmaceuticals International | ||||||||
| 2,600,000 | 7.250%, 7/15/2022d | 2,798,250 | ||||||
Valeant Pharmaceuticals International, Inc. | ||||||||
| 520,000 | 5.625%, 12/1/2021d | 522,600 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
296
High Yield Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (92.9%) | Value | ||||||
| Consumer Non-Cyclical (9.9%) - continued |
| ||||||
Visant Corporation | ||||||||
| $ | 4,890,000 | 10.000%, 10/1/2017 | $ | 4,743,300 | ||||
VPII Escrow Corporation | ||||||||
| 1,850,000 | 7.500%, 7/15/2021d | 2,030,375 | ||||||
Warner Chilcott Company, LLC | ||||||||
| 4,565,000 | 7.750%, 9/15/2018 | 4,941,612 | ||||||
|
| |||||||
| Total | 91,430,660 | |||||||
|
| |||||||
| Energy (12.4%) | |||||||
Bonanza Creek Energy, Inc. | ||||||||
| 5,085,000 | 6.750%, 4/15/2021 | 5,326,538 | ||||||
Bristow Group, Inc. | ||||||||
| 4,020,000 | 6.250%, 10/15/2022 | 4,243,914 | ||||||
Chaparral Energy, Inc. | ||||||||
| 4,150,000 | 7.625%, 11/15/2022 | 4,440,500 | ||||||
Concho Resources, Inc. | ||||||||
| 4,740,000 | 6.500%, 1/15/2022 | 5,131,050 | ||||||
Crestwood Midstream Partners, LP | ||||||||
| 2,435,000 | 6.125%, 3/1/2022d | 2,495,875 | ||||||
Diamondback Energy, Inc. | ||||||||
| 3,490,000 | 7.625%, 10/1/2021d | 3,681,950 | ||||||
Energy XXI Gulf Coast, Inc. | ||||||||
| 2,110,000 | 9.250%, 12/15/2017 | 2,347,375 | ||||||
| 1,580,000 | 7.750%, 6/15/2019 | 1,694,550 | ||||||
Exterran Partners, LP | ||||||||
| 3,780,000 | 6.000%, 4/1/2021d | 3,751,650 | ||||||
Harvest Operations Corporation | ||||||||
| 4,790,000 | 6.875%, 10/1/2017 | 5,245,050 | ||||||
Hornbeck Offshore Services, Inc. | ||||||||
| 1,590,000 | 5.000%, 3/1/2021 | 1,558,200 | ||||||
Kodiak Oil & Gas Corporation | ||||||||
| 3,180,000 | 5.500%, 1/15/2021 | 3,172,050 | ||||||
| 1,580,000 | 5.500%, 2/1/2022 | 1,572,100 | ||||||
Linn Energy, LLC | ||||||||
| 1,750,000 | 8.625%, 4/15/2020 | 1,890,000 | ||||||
| 2,195,000 | 7.750%, 2/1/2021 | 2,321,212 | ||||||
Markwest Energy Partners, LP | ||||||||
| 1,729,000 | 6.250%, 6/15/2022 | 1,828,418 | ||||||
MEG Energy Corporation | ||||||||
| 1,055,000 | 6.500%, 3/15/2021d | 1,110,387 | ||||||
| 3,160,000 | 6.375%, 1/30/2023d | 3,179,750 | ||||||
| 1,800,000 | 7.000%, 3/31/2024d | 1,822,500 | ||||||
Memorial Production Partners, LP | ||||||||
| 3,170,000 | 7.625%, 5/1/2021 | 3,257,175 | ||||||
Northern Oil and Gas, Inc. | ||||||||
| 3,965,000 | 8.000%, 6/1/2020 | 4,153,338 | ||||||
Northern Tier Energy, LLC | ||||||||
| 3,020,000 | 7.125%, 11/15/2020 | 3,155,900 | ||||||
Oasis Petroleum, Inc. | ||||||||
| 2,670,000 | 7.250%, 2/1/2019 | 2,870,250 | ||||||
| 1,590,000 | 6.500%, 11/1/2021 | 1,701,300 | ||||||
| 2,000,000 | 6.875%, 3/15/2022d | 2,120,000 | ||||||
Offshore Group Investment, Ltd. | ||||||||
| 4,230,000 | 7.125%, 4/1/2023 | 4,314,600 | ||||||
Pacific Drilling V, Ltd. | ||||||||
| 3,538,000 | 7.250%, 12/1/2017d | 3,821,040 | ||||||
Precision Drilling Corporation | ||||||||
| 2,450,000 | 6.625%, 11/15/2020 | 2,615,375 | ||||||
| 1,060,000 | 6.500%, 12/15/2021 | 1,128,900 | ||||||
QEP Resources, Inc. | ||||||||
| 3,735,000 | 6.875%, 3/1/2021 | 4,005,787 | ||||||
Range Resources Corporation | ||||||||
| 4,240,000 | 5.000%, 3/15/2023 | 4,144,600 | ||||||
SESI, LLC | ||||||||
| 1,700,000 | 6.375%, 5/1/2019 | 1,814,750 | ||||||
| 3,200,000 | 7.125%, 12/15/2021 | 3,568,000 | ||||||
United Refining Company | ||||||||
| 3,062,000 | 10.500%, 2/28/2018 | 3,429,440 | ||||||
Western Refining, Inc. | ||||||||
| 1,060,000 | 6.250%, 4/1/2021 | 1,067,950 | ||||||
Whiting Petroleum Corporation | ||||||||
| 10,000,000 | 5.750%, 3/15/2021 | 10,350,000 | ||||||
|
| |||||||
| Total | 114,331,474 | |||||||
|
| |||||||
| Financials (8.8%) | |||||||
Abengoa Finance SAU | ||||||||
| 3,250,000 | 7.750%, 2/1/2020d | 3,347,500 | ||||||
Algeco Scotsman Global Finance plc | ||||||||
| 3,680,000 | 8.500%, 10/15/2018d | 3,983,600 | ||||||
Ally Financial, Inc. | ||||||||
| 5,590,000 | 7.500%, 9/15/2020 | 6,512,350 | ||||||
Aviv Healthcare Properties, LP | ||||||||
| 5,270,000 | 7.750%, 2/15/2019 | 5,665,250 | ||||||
| 1,700,000 | 6.000%, 10/15/2021d | 1,729,750 | ||||||
Banco do Brasil SA/Cayman Islands | ||||||||
| 1,750,000 | 6.250%, 12/31/2049d,h | 1,351,875 | ||||||
BBVA International Preferred SA Unipersonal | ||||||||
| 1,585,000 | 5.919%, 12/29/2049h | 1,525,562 | ||||||
Citigroup, Inc. | ||||||||
| 1,500,000 | 5.350%, 5/29/2049h | 1,317,000 | ||||||
CyrusOne, LP | ||||||||
| 4,540,000 | 6.375%, 11/15/2022 | 4,698,900 | ||||||
DDR Corporation | ||||||||
| 780,000 | 4.625%, 7/15/2022 | 795,582 | ||||||
Denali Borrower, LLC | ||||||||
| 6,680,000 | 5.625%, 10/15/2020d,e | 6,621,550 | ||||||
Developers Diversified Realty Corporation | ||||||||
| 3,190,000 | 7.875%, 9/1/2020 | 3,940,856 | ||||||
Icahn Enterprises, LP | ||||||||
| 6,860,000 | 8.000%, 1/15/2018 | 7,134,400 | ||||||
| 5,280,000 | 6.000%, 8/1/2020d,e | 5,438,400 | ||||||
International Lease Finance Corporation | ||||||||
| 2,250,000 | 8.625%, 9/15/2015 | 2,497,500 | ||||||
| 1,600,000 | 8.875%, 9/1/2017 | 1,904,000 | ||||||
Jefferies Finance, LLC | ||||||||
| 2,650,000 | 7.375%, 4/1/2020f | 2,756,000 | ||||||
Mariposa Borrower, Inc. | ||||||||
| 3,240,000 | 8.000%, 10/15/2021d | 3,385,800 | ||||||
| 2,160,000 | 8.750%, 10/15/2021d | 2,262,600 | ||||||
Omega Healthcare Investors, Inc. | ||||||||
| 6,400,000 | 5.875%, 3/15/2024 | 6,464,000 | ||||||
PNC Financial Services Group, Inc. | ||||||||
| 520,000 | 4.850%, 3/1/2049e,h | 465,660 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
297
High Yield Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (92.9%) | Value | ||||||
| Financials (8.8%) - continued | |||||||
Royal Bank of Scotland Group plc | ||||||||
| $ | 2,115,000 | 7.640%, 3/29/2049h | $ | 2,062,125 | ||||
Speedy Cash Intermediate Holdings Corporation | ||||||||
| 2,170,000 | 10.750%, 5/15/2018d | 2,283,925 | ||||||
TMX Finance, LLC | ||||||||
| 1,585,000 | 8.500%, 9/15/2018d | 1,688,025 | ||||||
XL Group plc | ||||||||
| 1,500,000 | 6.500%, 12/31/2049h | 1,475,625 | ||||||
|
| |||||||
| Total | 81,307,835 | |||||||
|
| |||||||
| Foreign Government (0.3%) | |||||||
Eksportfinans ASA | ||||||||
| 2,670,000 | 2.375%, 5/25/2016 | 2,626,613 | ||||||
|
| |||||||
| Total | 2,626,613 | |||||||
|
| |||||||
| Technology (5.3%) | |||||||
Alliance Data Systems Corporation | ||||||||
| 4,190,000 | 5.250%, 12/1/2017d | 4,347,125 | ||||||
| 3,340,000 | 6.375%, 4/1/2020d | 3,498,650 | ||||||
Amkor Technology, Inc. | ||||||||
| 3,130,000 | 6.625%, 6/1/2021e | 3,247,375 | ||||||
BMC Software Finance, Inc. | ||||||||
| 4,780,000 | 8.125%, 7/15/2021d | 4,923,400 | ||||||
Brocade Communications Systems, Inc. | ||||||||
| 3,790,000 | 4.625%, 1/15/2023d | 3,505,750 | ||||||
First Data Corporation | ||||||||
| 3,518,000 | 11.250%, 3/31/2016 | 3,526,795 | ||||||
| 500,000 | 7.375%, 6/15/2019d | 533,750 | ||||||
| 1,850,000 | 12.625%, 1/15/2021 | 2,171,437 | ||||||
| 540,000 | 11.750%, 8/15/2021d | 569,700 | ||||||
| 2,710,000 | 11.750%, 8/15/2021c,d | 2,859,050 | ||||||
Flextronics International, Ltd. | ||||||||
| 3,000,000 | 4.625%, 2/15/2020 | 2,925,000 | ||||||
Freescale Semiconductor, Inc. | ||||||||
| 2,110,000 | 8.050%, 2/1/2020e | 2,268,250 | ||||||
| 2,400,000 | 10.750%, 8/1/2020 | 2,724,000 | ||||||
Infor US, Inc. | ||||||||
| 3,090,000 | 9.375%, 4/1/2019 | 3,476,250 | ||||||
NXP BV/NXP Funding, LLC | ||||||||
| 3,715,000 | 5.750%, 3/15/2023d | 3,780,013 | ||||||
Sensata Technologies BV | ||||||||
| 2,100,000 | 6.500%, 5/15/2019d | 2,252,250 | ||||||
| 2,650,000 | 4.875%, 10/15/2023d | 2,491,000 | ||||||
|
| |||||||
| Total | 49,099,795 | |||||||
|
| |||||||
| Transportation (4.7%) | |||||||
American Airlines Pass Through Trust | ||||||||
| 4,225,000 | 5.600%, 7/15/2020d | 4,225,000 | ||||||
Avis Budget Car Rental, LLC | ||||||||
| 5,330,000 | 8.250%, 1/15/2019 | 5,809,700 | ||||||
| 3,550,000 | 5.500%, 4/1/2023e | 3,439,062 | ||||||
Continental Airlines, Inc. | ||||||||
| 3,000,000 | 6.750%, 9/15/2015d | 3,093,750 | ||||||
| 1,560,000 | 6.125%, 4/29/2018 | 1,626,300 | ||||||
Delta Air Lines 2012-1 Class B Pass Through Trust | ||||||||
| 2,785,829 | 6.875%, 5/7/2019d,e | 2,973,872 | ||||||
Eletson Holdings, Inc. | ||||||||
| 2,170,000 | 9.625%, 1/15/2022d | 2,224,250 | ||||||
HDTFS, Inc. | ||||||||
| 790,000 | 6.250%, 10/15/2022 | 815,675 | ||||||
Hornbeck Offshore Services, Inc. | ||||||||
| 2,115,000 | 5.875%, 4/1/2020 | 2,183,738 | ||||||
Navios Maritime Holdings, Inc. | ||||||||
| 2,220,000 | 8.125%, 2/15/2019e | 2,281,050 | ||||||
| 1,895,000 | 8.125%, 11/15/2021d | 1,932,900 | ||||||
Navios South American Logistics, Inc. | ||||||||
| 2,420,000 | 9.250%, 4/15/2019 | 2,610,575 | ||||||
Ultrapetrol Bahamas, Ltd. | ||||||||
| 1,080,000 | 8.875%, 6/15/2021d | 1,162,350 | ||||||
| 2,640,000 | 8.875%, 6/15/2021d | 2,857,800 | ||||||
United Air Lines, Inc. | ||||||||
| 1,515,412 | 9.750%, 1/15/2017 | 1,736,094 | ||||||
United Airlines 2013-1 Class B Pass Through Trust | ||||||||
| 1,560,000 | 5.375%, 8/15/2021 | 1,577,550 | ||||||
United Continental Holdings, Inc. | ||||||||
| 530,000 | 6.375%, 6/1/2018e | 553,850 | ||||||
US Airways Group, Inc. | ||||||||
| 2,600,000 | 6.125%, 6/1/2018 | 2,619,500 | ||||||
|
| |||||||
| Total | 43,723,016 | |||||||
|
| |||||||
| Utilities (4.7%) | |||||||
Access Midstream Partners, LP | ||||||||
| 1,420,000 | 4.875%, 5/15/2023 | 1,370,300 | ||||||
AES Corporation | ||||||||
| 2,900,000 | 7.375%, 7/1/2021 | 3,269,750 | ||||||
Atlas Pipeline Partners, LP | ||||||||
| 4,230,000 | 4.750%, 11/15/2021d | 3,870,450 | ||||||
Chesapeake Midstream Partners, LP | ||||||||
| 930,000 | 6.125%, 7/15/2022 | 995,100 | ||||||
Covanta Holding Corporation | ||||||||
| 2,600,000 | 7.250%, 12/1/2020 | 2,838,404 | ||||||
| 1,850,000 | 6.375%, 10/1/2022 | 1,899,428 | ||||||
Crosstex Energy, LP/Crosstex Energy Finance Corporation | ||||||||
| 3,730,000 | 8.875%, 2/15/2018 | 3,921,163 | ||||||
| 1,060,000 | 7.125%, 6/1/2022 | 1,205,750 | ||||||
Electricite de France SA | ||||||||
| 2,500,000 | 5.250%, 12/29/2049d,h | 2,486,250 | ||||||
Energy Future Intermediate Holding Company, LLC | ||||||||
| 2,640,000 | 12.250%, 3/1/2022d,e | 3,102,000 | ||||||
Holly Energy Partners, LP | ||||||||
| 2,130,000 | 8.250%, 3/15/2018 | 2,247,150 | ||||||
| 930,000 | 6.500%, 3/1/2020 | 971,850 | ||||||
National Rural Utilities Cooperative Finance Corporation | ||||||||
| 1,250,000 | 4.750%, 4/30/2043 | 1,164,063 | ||||||
NRG Energy, Inc. | ||||||||
| 4,900,000 | 6.625%, 3/15/2023 | 4,936,750 | ||||||
Regency Energy Partners, LP | ||||||||
| 3,670,000 | 6.875%, 12/1/2018 | 3,936,075 | ||||||
| 840,000 | 5.500%, 4/15/2023 | 819,000 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
298
High Yield Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (92.9%) | Value | ||||||
| Utilities (4.7%) - continued |
| ||||||
Targa Resources Partners, LP | ||||||||
| $ | 4,720,000 | 5.250%, 5/1/2023 | $ | 4,572,500 | ||||
|
| |||||||
| Total | 43,605,983 | |||||||
|
| |||||||
| Total Long-Term Fixed Income (cost $819,977,044) | 856,653,812 | |||||||
|
| |||||||
| Shares | Preferred Stock (0.5%) | |||||||
| Financials (0.5%) | |||||||
| 48,000 | Discover Financial Services, 6.500%h | 1,105,920 | ||||||
| 51,821 | The Goldman Sachs Group, Inc., 5.500%h | 1,155,090 | ||||||
| 52,872 | Ventas Realty, LP, 5.450% | 1,128,289 | ||||||
| 1,560 | Wells Fargo & Company, Convertible, 7.500%h | 1,723,800 | ||||||
|
| |||||||
| Total | 5,113,099 | |||||||
|
| |||||||
| Total Preferred Stock (cost $5,970,635) | 5,113,099 | |||||||
|
| |||||||
Common Stock (0.1%) | ||||||||
| Consumer Discretionary (<0.1%) | |||||||
| 2,122 | Lear Corporation | 171,818 | ||||||
| 237 | Lear Corporation Warrants, $ 0.01, expires 11/9/2014i | 37,527 | ||||||
| 121,520 | TVMAX Holdings, Inc.i,j | 12 | ||||||
|
| |||||||
| Total | 209,357 | |||||||
|
| |||||||
| Financials (0.1%) | |||||||
| 10 | New Cotai, LLCi,j | 387,446 | ||||||
|
| |||||||
| Total | 387,446 | |||||||
|
| |||||||
| Total Common Stock (cost $6,717,557) | 596,803 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (5.5%) | ||||||||
| 50,419,210 | Thrivent Cash Management Trust | 50,419,210 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $50,419,210) | 50,419,210 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (1.6%)k | |||||||
Thrivent Cash Management Trust | ||||||||
| 14,622,201 | 0.060% | 14,622,201 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 14,622,201 | |||||||
|
| |||||||
| Total Investments (cost $930,097,222) 104.2% | $ | 960,436,428 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (4.2%) | (38,551,919 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 921,884,509 | ||||||
|
| |||||||
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | All or a portion of the loan is unfunded. |
| c | Denotes investments purchased on a when-issued or delayed delivery basis. |
| d | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2013, the value of these investments was $310,745,277 or 33.7% 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 December 31, 2013. |
Security | Acquisition Date | Cost | ||||||
Eileme 2 AB, 1/31/2020 | 7/31/2013 | $ | 4,179,060 | |||||
Eldorado Resorts, LLC, 6/15/2019 | 5/19/2011 | $ | 4,734,376 | |||||
JBS Finance II, Ltd., 1/29/2018 | 7/22/2010 | $ | 4,487,847 | |||||
Jefferies Finance, LLC, 4/1/2020 | 3/19/2013 | $ | 2,650,000 | |||||
Liberty Tire Recycling, 10/1/2016 | 9/23/2010 | $ | 2,107,188 | |||||
Midwest Vanadium, Pty. Ltd., 2/15/2018 | 2/9/2011 | $ | 3,242,091 | |||||
New Cotai, LLC, 5/1/2019 | 4/12/2013 | $ | 3,657,459 | |||||
Tunica-Biloxi Gaming Authority, 11/15/2015 | 11/8/2005 | $ | 4,759,437 | |||||
| g | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2013. |
| 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 | Security is fair valued. |
| k | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 42,764,888 | ||
Gross unrealized depreciation | (12,671,013 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 30,093,875 | ||
Cost for federal income tax purposes | $ | 930,342,553 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
299
High Yield Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 12,359,616 | — | 12,359,616 | — | ||||||||||||
Consumer Cyclical | 2,748,970 | — | 2,748,970 | — | ||||||||||||
Consumer Non-Cyclical | 11,020,887 | — | 11,020,887 | — | ||||||||||||
Financials | 2,618,200 | — | 2,618,200 | — | ||||||||||||
Technology | 4,283,630 | — | 4,283,630 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 2,991,882 | — | 2,991,882 | — | ||||||||||||
Basic Materials | 76,987,950 | — | 76,987,950 | — | ||||||||||||
Capital Goods | 69,807,462 | — | 69,807,462 | — | ||||||||||||
Communications Services | 151,596,125 | — | 151,596,125 | — | ||||||||||||
Consumer Cyclical | 129,145,017 | — | 129,145,017 | — | ||||||||||||
Consumer Non-Cyclical | 91,430,660 | — | 91,430,660 | — | ||||||||||||
Energy | 114,331,474 | — | 114,331,474 | — | ||||||||||||
Financials | 81,307,835 | — | 81,307,835 | — | ||||||||||||
Foreign Government | 2,626,613 | — | 2,626,613 | — | ||||||||||||
Technology | 49,099,795 | — | 49,099,795 | — | ||||||||||||
Transportation | 43,723,016 | — | 43,723,016 | — | ||||||||||||
Utilities | 43,605,983 | — | 43,605,983 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 5,113,099 | 5,113,099 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 209,357 | 209,345 | — | 12 | ||||||||||||
Financials | 387,446 | — | — | 387,446 | ||||||||||||
Collateral Held for Securities Loaned | 50,419,210 | 50,419,210 | — | — | ||||||||||||
Short-Term Investments | 14,622,201 | 14,622,201 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 960,436,428 | $ | 70,363,855 | $ | 889,685,115 | $ | 387,458 | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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 December 31, 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 | 278,866 | ||||
Total Interest Rate Contracts | 278,866 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (1,692,629 | ) | |||
Total Credit Contracts | (1,692,629 | ) | ||||
|
| |||||
Total | ($ | 1,413,763 | ) | |||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
300
High Yield Portfolio
Schedule of Investments as of December 31, 2013
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | ||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 717,431 | ||||
Total Credit Contracts | 717,431 | |||||
|
| |||||
Total | $ | 717,431 | ||||
|
| |||||
The following table presents High Yield Portfolio’s average volume of derivative activity during the period ended December 31, 2013.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | Swaps (Notional)* | Swaps (Percentage of Average Net Assets) | ||||||||||||
Interest Rate | ||||||||||||||||
Contracts | $ | 1,291,583 | 0.1 | % | N/A | N/A | ||||||||||
Credit Contracts | N/A | N/A | $ | 5,469,548 | 0.6 | % | ||||||||||
| * | 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 December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 46,919,696 | $ | 240,646,417 | $ | 237,146,903 | 50,419,210 | $ | 50,419,210 | $ | 153,973 | |||||||||||||
Cash Management Trust- Short Term Investment | 30,490,937 | 296,690,951 | 312,559,687 | 14,622,201 | 14,622,201 | 25,525 | ||||||||||||||||||
Total Value and Income Earned | 77,410,633 | 65,041,411 | 179,498 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
301
Schedule of Investments as of December 31, 2013
| Principal Amount | Bank Loans (5.0%)a | Value | ||||||
| Basic Materials (0.2%) | ||||||||
Fortescue Metals Group, Ltd., Term Loan | ||||||||
| $1,629,416 | 4.250%, 6/30/2019 | $ | 1,649,279 | |||||
Ineos Group Holdings, Ltd., Term Loan | ||||||||
| 1,564,603 | 4.000%, 5/4/2018 | 1,568,514 | ||||||
|
| |||||||
| Total | 3,217,793 | |||||||
|
| |||||||
| Capital Goods (0.2%) | ||||||||
ADS Waste Holdings, Term Loan | ||||||||
| 1,584,000 | 4.250%, 10/9/2019 | 1,591,033 | ||||||
Berry Plastics Group, Inc., Term Loan | ||||||||
| 1,588,000 | 3.500%, 2/8/2020 | 1,581,378 | ||||||
|
| |||||||
| Total | 3,172,411 | |||||||
|
| |||||||
| Communications Services (1.4%) | ||||||||
Charter Communications Operating, LLC, Term Loan | ||||||||
| 955,200 | 3.000%, 12/31/2020 | 946,842 | ||||||
Clear Channel Communications, Inc., Term Loan | ||||||||
| 20,810 | 3.819%, 1/29/2016 | 20,130 | ||||||
| 1,194,893 | 6.919%, 1/30/2019 | 1,139,629 | ||||||
| 384,298 | 7.669%, 7/30/2019 | 378,295 | ||||||
Cumulus Media Holdings, Inc., Term Loan | ||||||||
| 1,465,100 | 0.000%, 12/23/2020b,c | 1,472,425 | ||||||
Hargray Communications Group, Inc., Term Loan | ||||||||
| 1,572,100 | 4.750%, 6/26/2019 | 1,579,961 | ||||||
Level 3 Communications, Inc., Term Loan | ||||||||
| 1,600,000 | 4.000%, 1/15/2020 | 1,611,008 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
| 714,000 | 9.000%, 3/22/2019 | 726,195 | ||||||
NEP Broadcasting, LLC, Term Loan | ||||||||
| 1,584,000 | 4.750%, 1/22/2020 | 1,588,356 | ||||||
RCN Telecom Services, LLC, Term Loan | ||||||||
| 1,562,386 | 4.500%, 3/1/2020 | 1,573,542 | ||||||
TNS, Inc., Term Loan | ||||||||
| 1,520,556 | 5.000%, 2/14/2020 | 1,527,687 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
| 635,200 | 4.500%, 2/28/2020 | 637,982 | ||||||
| 1,015,626 | 4.500%, 3/1/2020 | 1,020,075 | ||||||
Virgin Media Investment Holdings, Ltd., Term Loan | ||||||||
| 1,600,000 | 3.500%, 6/8/2020 | 1,602,400 | ||||||
Visant Corporation, Term Loan | ||||||||
| 1,252,653 | 5.250%, 12/22/2016 | 1,232,824 | ||||||
WideOpenWest Finance, LLC, Term Loan | ||||||||
| 1,588,000 | 4.750%, 4/1/2019 | 1,594,352 | ||||||
Zayo Group, LLC, Term Loan | ||||||||
| 1,583,924 | 4.000%, 7/2/2019 | 1,584,288 | ||||||
|
| |||||||
| Total | 20,235,991 | |||||||
|
| |||||||
| Consumer Cyclical (0.7%) | ||||||||
Bally Technologies, Inc., Term Loan | ||||||||
| 817,950 | 4.250%, 11/25/2020 | 823,316 | ||||||
Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
| 1,459,417 | 4.250%, 2/23/2017 | 1,472,187 | ||||||
Caesars Entertainment Resot Properties, LLC, Term Loan | ||||||||
| 1,910,000 | 7.000%, 10/11/2020b,c | 1,898,062 | ||||||
Cenveo Corporation, Term Loan | ||||||||
| 724,002 | 6.250%, 2/13/2017 | 727,021 | ||||||
Chrysler Group, LLC, Term Loan | ||||||||
| 1,567,939 | 3.875%, 5/24/2017 | 1,577,299 | ||||||
MGM Resorts International, Term Loan | ||||||||
| 950,400 | 3.500%, 12/20/2019 | 952,187 | ||||||
ROC Finance, LLC, Term Loan | ||||||||
| 1,596,000 | 5.000%, 6/20/2019 | 1,525,680 | ||||||
Toys R Us, Inc., Term Loan | ||||||||
| 1,538,537 | 5.250%, 5/25/2018 | 1,295,264 | ||||||
|
| |||||||
| Total | 10,271,016 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.7%) | ||||||||
Albertsons, Inc., Term Loan | ||||||||
| 1,721,674 | 4.750%, 3/21/2019b,c | 1,729,559 | ||||||
Biomet, Inc., Term Loan | ||||||||
| 1,641,750 | 3.670%, 7/25/2017 | 1,650,993 | ||||||
CHS/Community Health Systems, Inc., Term Loan | ||||||||
| 1,600,000 | 3.737%, 1/25/2017 | 1,611,744 | ||||||
McJunkin Red Man Corporation, Term Loan | ||||||||
| 638,400 | 5.000%, 11/8/2019 | 646,380 | ||||||
Michael Foods, Inc., Term Loan | ||||||||
| 1,226,175 | 4.250%, 2/25/2018 | 1,231,546 | ||||||
Roundy’s Supermarkets, Inc., Term Loan | ||||||||
| 1,348,896 | 5.750%, 2/13/2019 | 1,347,425 | ||||||
Van Wagner Communications, LLC, Term Loan | ||||||||
| 990,000 | 6.250%, 8/3/2018 | 1,001,138 | ||||||
|
| |||||||
| Total | 9,218,785 | |||||||
|
| |||||||
| Energy (0.3%) | ||||||||
Arch Coal, Inc., Term Loan | ||||||||
| 1,580,940 | 6.250%, 5/16/2018 | 1,557,558 | ||||||
Chesapeake Energy Corporation, Term Loan | ||||||||
| 1,930,000 | 5.750%, 12/2/2017 | 1,968,600 | ||||||
Offshore Group Investment, Ltd., Term Loan | ||||||||
| 794,000 | 5.750%, 3/28/2019 | 802,687 | ||||||
|
| |||||||
| Total | 4,328,845 | |||||||
|
| |||||||
| Financials (0.3%) | ||||||||
Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 1,789,713 | 3.750%, 6/30/2019 | 1,801,740 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
302
Income Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Bank Loans (5.0%)a | Value | ||||||
| Financials (0.3%) - continued | ||||||||
WaveDivision Holdings, LLC, Term Loan | ||||||||
| $1,584,000 | 4.000%, 10/12/2019 | $ | 1,589,940 | |||||
|
| |||||||
| Total | 3,391,680 | |||||||
|
| |||||||
| Technology (0.6%) | ||||||||
BMC Software, Inc., Term Loan | ||||||||
| 1,590,000 | 5.000%, 9/10/2020 | 1,597,457 | ||||||
First Data Corporation Extended, Term Loan | ||||||||
| 1,600,000 | 4.166%, 3/23/2018 | 1,601,104 | ||||||
Freescale Semiconductor, Inc., Term Loan | ||||||||
| 1,588,000 | 5.000%, 3/1/2020 | 1,603,023 | ||||||
Infor US, Inc., Term Loan | ||||||||
| 1,136,757 | 5.250%, 4/5/2018 | 1,139,360 | ||||||
SunGard Data Systems, Inc., Term Loan | ||||||||
| 1,603,800 | 4.500%, 1/31/2020 | 1,610,488 | ||||||
| 496,250 | 4.000%, 3/8/2020 | 499,352 | ||||||
Syniverse Holdings, Inc., Term Loan | ||||||||
| 614,289 | 4.000%, 4/23/2019 | 614,866 | ||||||
|
| |||||||
| Total | 8,665,650 | |||||||
|
| |||||||
| Transportation (0.3%) | ||||||||
American Airlines, Inc., Term Loan | ||||||||
| 1,572,100 | 3.750%, 6/27/2019 | 1,579,960 | ||||||
American Petroleum Tankers Parent, LLC, Term Loan | ||||||||
| 726,889 | 4.750%, 10/2/2019 | 726,889 | ||||||
Delta Air Lines, Inc., Term Loan | ||||||||
| 2,411,662 | 3.500%, 4/20/2017 | 2,418,994 | ||||||
|
| |||||||
| Total | 4,725,843 | |||||||
|
| |||||||
| Utilities (0.3%) | ||||||||
Calpine Corporation, Term Loan | ||||||||
| 1,275,237 | 4.000%, 4/1/2018 | 1,282,595 | ||||||
| 1,283,750 | 4.000%, 10/9/2019 | 1,291,196 | ||||||
NGPL PipeCo, LLC, Term Loan | ||||||||
| 1,483,702 | 6.750%, 9/15/2017 | 1,379,531 | ||||||
|
| |||||||
| Total | 3,953,322 | |||||||
|
| |||||||
Total Bank Loans (cost $71,044,333) | 71,181,336 | |||||||
|
| |||||||
Long-Term Fixed Income (91.5%) | ||||||||
| Asset-Backed Securities (0.7%) | ||||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 3,513,280 | 0.345%, 8/25/2035d,e | 2,945,805 | ||||||
| 4,148,167 | 0.345%, 12/25/2036d,e | 3,502,592 | ||||||
IndyMac Seconds Asset-Backed Trust | ||||||||
| 712,461 | 0.335%, 10/25/2036d,e | 366,630 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 2,659,137 | 5.746%, 5/25/2036 | 1,978,414 | ||||||
| 2,000,000 | 6.011%, 5/25/2036 | 1,400,856 | ||||||
|
| |||||||
| Total | 10,194,297 | |||||||
|
| |||||||
| Basic Materials (4.4%) | ||||||||
ArcelorMittal | ||||||||
| 2,000,000 | 6.125%, 6/1/2018 | 2,195,000 | ||||||
| 2,750,000 | 5.750%, 8/5/2020 | 2,921,875 | ||||||
Barrick Gold Corporation | ||||||||
| 1,920,000 | 3.850%, 4/1/2022 | 1,729,210 | ||||||
Cliffs Natural Resources, Inc. | ||||||||
| 2,530,000 | 4.875%, 4/1/2021 | 2,460,508 | ||||||
Dow Chemical Company | ||||||||
| 2,570,000 | 4.250%, 11/15/2020 | 2,737,412 | ||||||
| 1,620,000 | 5.250%, 11/15/2041 | 1,614,042 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| 4,475,000 | 3.100%, 3/15/2020 | 4,347,606 | ||||||
| 3,175,000 | 3.875%, 3/15/2023 | 3,002,423 | ||||||
Georgia-Pacific, LLC | ||||||||
| 2,190,000 | 5.400%, 11/1/2020f | 2,446,889 | ||||||
| 1,900,000 | 3.734%, 7/15/2023f | 1,828,720 | ||||||
Glencore Funding, LLC | ||||||||
| 3,180,000 | 4.125%, 5/30/2023f | 2,971,758 | ||||||
Hexion US Finance Corporation/Hexion Nova Scotia Finance ULC | ||||||||
| 1,900,000 | 8.875%, 2/1/2018 | 1,973,625 | ||||||
Inmet Mining Corporation | ||||||||
| 1,920,000 | 7.500%, 6/1/2021f | 2,006,400 | ||||||
International Paper Company | ||||||||
| 1,250,000 | 7.300%, 11/15/2039 | 1,543,403 | ||||||
LYB International Finance BV | ||||||||
| 635,000 | 4.000%, 7/15/2023 | 626,780 | ||||||
LyondellBasell Industries NV | ||||||||
| 3,170,000 | 6.000%, 11/15/2021 | 3,645,855 | ||||||
Mosaic Company | ||||||||
| 2,145,000 | 4.250%, 11/15/2023 | 2,118,393 | ||||||
| 1,590,000 | 5.450%, 11/15/2033 | 1,619,968 | ||||||
Rio Tinto Finance USA, Ltd. | ||||||||
| 3,285,000 | 6.500%, 7/15/2018 | 3,877,860 | ||||||
Teck Resources, Ltd. | ||||||||
| 3,870,000 | 3.750%, 2/1/2023g | 3,607,328 | ||||||
Vale Overseas, Ltd. | ||||||||
| 1,900,000 | 4.625%, 9/15/2020 | 1,945,982 | ||||||
Vale SA | ||||||||
| 1,930,000 | 5.625%, 9/11/2042 | 1,752,021 | ||||||
Weyerhaeuser Company | ||||||||
| 1,265,000 | 4.625%, 9/15/2023 | 1,283,633 | ||||||
| 2,570,000 | 7.375%, 3/15/2032 | 3,144,793 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
| 2,560,000 | 2.700%, 10/25/2017f | 2,589,059 | ||||||
| 2,560,000 | 4.250%, 10/25/2022f | 2,440,911 | ||||||
Yara International ASA | ||||||||
| 50,000 | 7.875%, 6/11/2019f | 60,372 | ||||||
|
| |||||||
| Total | 62,491,826 | |||||||
|
| |||||||
| Capital Goods (2.3%) | ||||||||
BAE Systems plc | ||||||||
| 3,880,000 | 4.750%, 10/11/2021f | 4,044,667 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
303
Income Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (91.5%) | Value | ||||||
| Capital Goods (2.3%) - continued | ||||||||
Case New Holland, Inc. | ||||||||
| $1,635,000 | 7.875%, 12/1/2017 | $ | 1,929,300 | |||||
CNH Capital, LLC | ||||||||
| 450,000 | 6.250%, 11/1/2016 | 496,688 | ||||||
Eaton Corporation | ||||||||
| 5,135,000 | 2.750%, 11/2/2022 | 4,790,226 | ||||||
Masco Corporation | ||||||||
| 1,625,000 | 5.950%, 3/15/2022 | 1,718,437 | ||||||
Republic Services, Inc. | ||||||||
| 630,000 | 5.500%, 9/15/2019 | 708,899 | ||||||
| 1,600,000 | 5.000%, 3/1/2020 | 1,754,592 | ||||||
| 2,200,000 | 5.250%, 11/15/2021 | 2,398,539 | ||||||
| 3,170,000 | 3.550%, 6/1/2022 | 3,056,622 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
| 1,940,000 | 9.875%, 8/15/2019 | 2,158,250 | ||||||
Textron, Inc. | ||||||||
| 2,500,000 | 6.200%, 3/15/2015 | 2,652,032 | ||||||
| 2,360,000 | 5.600%, 12/1/2017 | 2,613,636 | ||||||
Trinseo Materials Operating SCA | ||||||||
| 1,910,000 | 8.750%, 2/1/2019f | 1,972,075 | ||||||
United Rentals North America, Inc. | ||||||||
| 1,300,000 | 5.750%, 7/15/2018 | 1,389,375 | ||||||
| 320,000 | 6.125%, 6/15/2023 | 324,800 | ||||||
|
| |||||||
| Total | 32,008,138 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (1.3%) | ||||||||
CitiMortgage Alternative Loan Trust | ||||||||
| 2,454,334 | 5.750%, 4/25/2037 | 2,064,360 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 3,155,333 | 6.000%, 1/25/2037 | 2,680,474 | ||||||
Deutsche Alt-A Securities, Inc., Mortgage Loan Trust | ||||||||
| 2,471,693 | 0.900%, 4/25/2047e | 2,039,864 | ||||||
HomeBanc Mortgage Trust | ||||||||
| 2,504,173 | 2.409%, 4/25/2037 | 1,741,400 | ||||||
Vericrest Opportunity Loan Transferee | ||||||||
| 3,250,000 | 3.625%, 11/25/2053h | 3,237,000 | ||||||
Wachovia Mortgage Loan Trust, LLC | ||||||||
| 2,630,436 | 2.790%, 5/20/2036 | 2,226,077 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
| 695,950 | 0.455%, 10/25/2045e | 644,347 | ||||||
Washington Mutual Alternative Mortgage Pass Through Certificates | ||||||||
| 4,629,319 | 0.889%, 2/25/2047e | 3,111,963 | ||||||
|
| |||||||
| Total | 17,745,485 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (0.9%) | ||||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 3,500,000 | 5.331%, 2/11/2044 | 3,801,588 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 1,900,000 | 5.322%, 12/11/2049 | 2,080,705 | ||||||
Commercial Mortgage Pass- Through Certificates | ||||||||
| 566,462 | 0.297%, 12/15/2020e,f | 559,410 | ||||||
Credit Suisse First Boston Mortgage Securities | ||||||||
| 3,200,000 | 5.542%, 1/15/2049 | 3,520,013 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 2,772,825 | 0.337%, 10/15/2021e,f | 2,755,361 | ||||||
|
| |||||||
| Total | 12,717,077 | |||||||
|
| |||||||
| Communications Services (9.0%) | ||||||||
America Movil SAB de CV | ||||||||
| 4,100,000 | 1.244%, 9/12/2016e | 4,142,533 | ||||||
| 4,430,000 | 5.000%, 3/30/2020 | 4,797,969 | ||||||
American Tower Corporation | ||||||||
| 3,900,000 | 4.500%, 1/15/2018 | 4,177,926 | ||||||
AT&T, Inc. | ||||||||
| 2,560,000 | 1.400%, 12/1/2017 | 2,523,763 | ||||||
| 3,190,000 | 2.375%, 11/27/2018 | 3,192,737 | ||||||
| 3,170,000 | 3.000%, 2/15/2022 | 2,986,628 | ||||||
CC Holdings GS V, LLC | ||||||||
| 1,280,000 | 3.849%, 4/15/2023 | 1,198,212 | ||||||
CenturyLink, Inc. | ||||||||
| 1,600,000 | 6.150%, 9/15/2019 | 1,688,000 | ||||||
| 1,920,000 | 5.625%, 4/1/2020 | 1,953,600 | ||||||
| 2,700,000 | 5.800%, 3/15/2022 | 2,666,250 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
| 2,570,000 | 6.500%, 11/15/2022 | 2,624,613 | ||||||
Comcast Corporation | ||||||||
| 1,900,000 | 6.300%, 11/15/2017 | 2,212,808 | ||||||
| 1,900,000 | 5.700%, 5/15/2018 | 2,181,683 | ||||||
| 2,700,000 | 6.400%, 5/15/2038 | 3,117,820 | ||||||
Cox Communications, Inc. | ||||||||
| 1,900,000 | 9.375%, 1/15/2019f | 2,390,400 | ||||||
| 2,500,000 | 8.375%, 3/1/2039f | 3,031,935 | ||||||
Crown Castle Towers, LLC | ||||||||
| 5,050,000 | 4.174%, 8/15/2017f | 5,326,573 | ||||||
DIRECTV Holdings, LLC | ||||||||
| 5,775,000 | 5.000%, 3/1/2021 | 6,066,689 | ||||||
| 2,030,000 | 3.800%, 3/15/2022 | 1,950,091 | ||||||
Hughes Satellite Systems Corporation | ||||||||
| 3,220,000 | 6.500%, 6/15/2019 | 3,485,650 | ||||||
Intelsat Jackson Holdings SA | ||||||||
| 1,290,000 | 7.250%, 4/1/2019 | 1,393,200 | ||||||
| 1,900,000 | 7.500%, 4/1/2021 | 2,094,750 | ||||||
Nara Cable Funding, Ltd. | ||||||||
| 1,910,000 | 8.875%, 12/1/2018f | 2,053,250 | ||||||
NBC Universal Enterprise, Inc. | ||||||||
| 1,920,000 | 1.974%, 4/15/2019f | 1,878,104 | ||||||
NBCUniversal Media, LLC | ||||||||
| 3,750,000 | 5.150%, 4/30/2020 | 4,191,548 | ||||||
| 4,510,000 | 4.375%, 4/1/2021 | 4,773,483 | ||||||
News America, Inc. | ||||||||
| 790,000 | 4.000%, 10/1/2023f | 780,804 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
304
Income Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (91.5%) | Value | ||||||
| Communications Services (9.0%) - continued | ||||||||
| $1,900,000 | 7.625%, 11/30/2028 | $ | 2,356,650 | |||||
| 2,140,000 | 6.400%, 12/15/2035 | 2,432,654 | ||||||
Omnicom Group, Inc. | ||||||||
| 4,245,000 | 4.450%, 8/15/2020 | 4,505,490 | ||||||
Qwest Corporation | ||||||||
| 3,200,000 | 6.500%, 6/1/2017 | 3,616,243 | ||||||
SBA Tower Trust | ||||||||
| 60,000 | 4.254%, 4/15/2015f | 60,749 | ||||||
| 3,500,000 | 5.101%, 4/17/2017f | 3,772,766 | ||||||
Sprint Communications, Inc. | ||||||||
| 1,290,000 | 7.000%, 3/1/2020f | 1,438,350 | ||||||
Sprint Corporation | ||||||||
| 1,280,000 | 7.125%, 6/15/2024f | 1,299,200 | ||||||
Telefonica Emisiones SAU | ||||||||
| 4,470,000 | 5.462%, 2/16/2021 | 4,716,489 | ||||||
Time Warner Cable, Inc. | ||||||||
| 2,500,000 | 8.250%, 4/1/2019 | 2,928,763 | ||||||
T-Mobile USA, Inc. | ||||||||
| 1,910,000 | 6.633%, 4/28/2021 | 2,010,275 | ||||||
UPCB Finance VI, Ltd. | ||||||||
| 2,600,000 | 6.875%, 1/15/2022f | 2,762,500 | ||||||
Verizon Communications, Inc. | ||||||||
| 1,600,000 | 3.650%, 9/14/2018 | 1,693,702 | ||||||
| 2,550,000 | 4.500%, 9/15/2020 | 2,729,943 | ||||||
| 5,065,000 | 5.150%, 9/15/2023 | 5,438,250 | ||||||
| 1,910,000 | 6.400%, 9/15/2033 | 2,196,731 | ||||||
| 1,900,000 | 6.550%, 9/15/2043 | 2,222,922 | ||||||
Windstream Corporation | ||||||||
| 1,910,000 | 7.750%, 10/1/2021 | 2,024,600 | ||||||
|
| |||||||
| Total | 127,087,296 | |||||||
|
| |||||||
| Consumer Cyclical (6.6%) | ||||||||
American Honda Finance Corporation | ||||||||
| 4,400,000 | 3.875%, 9/21/2020f | 4,563,024 | ||||||
Choice Hotels International, Inc. | ||||||||
| 1,910,000 | 5.750%, 7/1/2022 | 1,993,562 | ||||||
Chrysler Group, LLC | ||||||||
| 1,900,000 | 8.000%, 6/15/2019 | 2,099,500 | ||||||
Cinemark USA, Inc. | ||||||||
| 1,910,000 | 4.875%, 6/1/2023 | 1,795,400 | ||||||
Daimler Finance North America, LLC | ||||||||
| 2,260,000 | 3.875%, 9/15/2021f | 2,280,792 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 2,560,000 | 1.489%, 5/9/2016e | 2,597,563 | ||||||
| 3,200,000 | 3.984%, 6/15/2016 | 3,402,877 | ||||||
| 3,250,000 | 4.250%, 2/3/2017 | 3,496,246 | ||||||
| 630,000 | 6.625%, 8/15/2017 | 729,813 | ||||||
| 3,170,000 | 2.875%, 10/1/2018g | 3,244,796 | ||||||
| 2,575,000 | 4.250%, 9/20/2022 | 2,586,835 | ||||||
General Motors Company | ||||||||
| 3,170,000 | 3.500%, 10/2/2018f | 3,241,325 | ||||||
General Motors Financial Company, Inc. | ||||||||
| 2,410,000 | 4.750%, 8/15/2017f | 2,557,613 | ||||||
Home Depot, Inc. | ||||||||
| 1,600,000 | 2.700%, 4/1/2023 | 1,474,960 | ||||||
| 3,165,000 | 3.750%, 2/15/2024 | 3,150,232 | ||||||
Hyundai Capital America | ||||||||
| 2,065,000 | 2.875%, 8/9/2018f | 2,072,841 | ||||||
Hyundai Motor Manufacturing Czech | ||||||||
| 2,525,000 | 4.500%, 4/15/2015f | 2,629,310 | ||||||
Jaguar Land Rover Automotive plc | ||||||||
| 1,910,000 | 4.125%, 12/15/2018f | 1,921,938 | ||||||
Johnson Controls, Inc. | ||||||||
| 3,150,000 | 5.250%, 12/1/2041 | 3,062,266 | ||||||
KIA Motors Corporation | ||||||||
| 3,260,000 | 3.625%, 6/14/2016f | 3,404,623 | ||||||
L Brands, Inc. | ||||||||
| 1,900,000 | 5.625%, 2/15/2022 | 1,942,750 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
| 2,210,000 | 7.450%, 7/15/2017 | 2,584,573 | ||||||
| 3,570,000 | 3.875%, 1/15/2022 | 3,518,870 | ||||||
| 1,925,000 | 2.875%, 2/15/2023 | 1,742,171 | ||||||
Marriott International, Inc. | ||||||||
| 3,250,000 | 3.000%, 3/1/2019 | 3,272,769 | ||||||
QVC, Inc. | ||||||||
| 2,235,000 | 4.375%, 3/15/2023 | 2,089,595 | ||||||
Sheraton Holding Corporation | ||||||||
| 1,290,000 | 7.375%, 11/15/2015 | 1,430,636 | ||||||
Spencer Spirit Holdings, Inc. | ||||||||
| 50,000 | 11.000%, 5/1/2017f | 53,625 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
| 1,850,000 | 6.750%, 5/15/2018 | 2,141,214 | ||||||
| 3,210,000 | 3.125%, 2/15/2023 | 2,915,248 | ||||||
Time Warner, Inc. | ||||||||
| 1,600,000 | 7.700%, 5/1/2032 | 2,054,354 | ||||||
Toll Brothers Finance Corporation | ||||||||
| 2,000,000 | 6.750%, 11/1/2019 | 2,285,000 | ||||||
| 960,000 | 4.375%, 4/15/2023 | 890,400 | ||||||
Toys R Us Property Company II, LLC | ||||||||
| 2,570,000 | 8.500%, 12/1/2017 | 2,647,100 | ||||||
Viacom, Inc. | ||||||||
| 3,500,000 | 4.250%, 9/1/2023 | 3,492,720 | ||||||
Western Union Company | ||||||||
| 1,930,000 | 2.875%, 12/10/2017 | 1,959,409 | ||||||
Wyndham Worldwide Corporation | ||||||||
| 1,920,000 | 2.500%, 3/1/2018 | 1,913,484 | ||||||
| 1,270,000 | 5.625%, 3/1/2021 | 1,356,095 | ||||||
| 3,220,000 | 4.250%, 3/1/2022 | 3,142,630 | ||||||
|
| |||||||
| Total | 93,738,159 | |||||||
|
| |||||||
| Consumer Non-Cyclical (8.2%) | ||||||||
Altria Group, Inc. | ||||||||
| 1,595,000 | 4.750%, 5/5/2021 | 1,711,692 | ||||||
| 3,175,000 | 4.000%, 1/31/2024 | 3,103,289 | ||||||
| 804,000 | 9.950%, 11/10/2038 | 1,226,422 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 2,550,000 | 5.375%, 1/15/2020 | 2,926,525 | ||||||
| 2,525,000 | 5.000%, 4/15/2020 | 2,857,568 | ||||||
Biomet, Inc. | ||||||||
| 2,480,000 | 6.500%, 8/1/2020 | 2,604,000 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
305
Income Portfolio
Schedule of Investments as of December 31, 2013
Principal | Long-Term Fixed Income (91.5%) | Value | ||||||
| Consumer Non-Cyclical (8.2%) - continued | ||||||||
Boston Scientific Corporation | ||||||||
| $3,190,000 | 6.000%, 1/15/2020 | $ | 3,662,219 | |||||
Bunge Limited Finance Corporation | ||||||||
| 2,530,000 | 8.500%, 6/15/2019 | 3,108,062 | ||||||
Celgene Corporation | ||||||||
| 2,250,000 | 1.900%, 8/15/2017 | 2,239,353 | ||||||
| 3,770,000 | 3.950%, 10/15/2020 | 3,904,755 | ||||||
| 1,070,000 | 4.000%, 8/15/2023 | 1,053,520 | ||||||
Community Health Systems, Inc. | ||||||||
| 1,910,000 | 8.000%, 11/15/2019 | 2,072,350 | ||||||
ConAgra Foods, Inc. | ||||||||
| 1,895,000 | 2.100%, 3/15/2018 | 1,874,174 | ||||||
| 2,080,000 | 3.200%, 1/25/2023 | 1,931,130 | ||||||
Edwards Lifesciences Corporation | ||||||||
| 2,375,000 | 2.875%, 10/15/2018 | 2,361,140 | ||||||
Energizer Holdings, Inc. | ||||||||
| 1,450,000 | 4.700%, 5/24/2022 | 1,447,370 | ||||||
Express Scripts Holding Company | ||||||||
| 3,235,000 | 4.750%, 11/15/2021 | 3,418,308 | ||||||
Fresenius Medical Care US Finance, Inc. | ||||||||
| 1,290,000 | 6.500%, 9/15/2018f | 1,457,700 | ||||||
Gilead Sciences, Inc. | ||||||||
| 3,200,000 | 4.400%, 12/1/2021 | 3,417,437 | ||||||
HCA, Inc. | ||||||||
| 2,560,000 | 4.750%, 5/1/2023 | 2,406,400 | ||||||
Health Management Associates, Inc. | ||||||||
| 2,530,000 | 7.375%, 1/15/2020 | 2,830,437 | ||||||
Heineken NV | ||||||||
| 2,570,000 | 2.750%, 4/1/2023f | 2,302,278 | ||||||
Hospira, Inc. | ||||||||
| 2,540,000 | 5.200%, 8/12/2020 | 2,635,286 | ||||||
IMS Health, Inc. | ||||||||
| 1,910,000 | 6.000%, 11/1/2020f | 2,029,375 | ||||||
Koninklijke Philips Electronics NV | ||||||||
| 2,765,000 | 3.750%, 3/15/2022 | 2,766,493 | ||||||
Lorillard Tobacco Company | ||||||||
| 3,170,000 | 8.125%, 6/23/2019 | 3,861,523 | ||||||
Mallinckrodt International Finance SA | ||||||||
| 2,560,000 | 3.500%, 4/15/2018f | 2,511,332 | ||||||
Mylan, Inc. | ||||||||
| 3,845,000 | 7.875%, 7/15/2020f | 4,350,779 | ||||||
Pernod Ricard SA | ||||||||
| 5,130,000 | 5.750%, 4/7/2021f | 5,654,625 | ||||||
| 1,910,000 | 4.450%, 1/15/2022f | 1,932,068 | ||||||
Perrigo Company, Ltd. | ||||||||
| 950,000 | 2.300%, 11/8/2018f | 937,677 | ||||||
| 2,550,000 | 4.000%, 11/15/2023f | 2,501,792 | ||||||
Reynolds American, Inc. | ||||||||
| 3,180,000 | 3.250%, 11/1/2022 | 2,931,057 | ||||||
SABMiller Holdings, Inc. | ||||||||
| 1,615,000 | 2.450%, 1/15/2017f | 1,653,737 | ||||||
| 4,425,000 | 3.750%, 1/15/2022f | 4,441,505 | ||||||
Safeway, Inc. | ||||||||
| 1,610,000 | 5.000%, 8/15/2019 | 1,712,174 | ||||||
| 1,900,000 | 4.750%, 12/1/2021g | 1,907,915 | ||||||
Spectrum Brands Escrow Corporation | ||||||||
| 1,460,000 | 6.375%, 11/15/2020f | 1,558,550 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
| 2,550,000 | 3.600%, 8/15/2021 | 2,527,160 | ||||||
| 3,170,000 | 4.150%, 2/1/2024 | 3,139,879 | ||||||
| 630,000 | 5.300%, 2/1/2044 | 637,040 | ||||||
Tyson Foods, Inc. | ||||||||
| 3,205,000 | 4.500%, 6/15/2022 | 3,263,222 | ||||||
Valeant Pharmaceuticals International | ||||||||
| 2,560,000 | 6.375%, 10/15/2020f | 2,697,600 | ||||||
Watson Pharmaceuticals, Inc. | ||||||||
| 3,180,000 | 3.250%, 10/1/2022 | 2,966,046 | ||||||
Whirlpool Corporation | ||||||||
| 3,245,000 | 3.700%, 3/1/2023 | 3,102,090 | ||||||
|
| |||||||
| Total | 115,635,054 | |||||||
|
| |||||||
| Energy (7.8%) | ||||||||
Buckeye Partners, LP | ||||||||
| 3,180,000 | 5.850%, 11/15/2043 | 3,137,792 | ||||||
Cameron International Corporation | ||||||||
| 2,560,000 | 3.600%, 4/30/2022 | 2,508,291 | ||||||
Canadian Oil Sands, Ltd. | ||||||||
| 2,600,000 | 4.500%, 4/1/2022f | 2,618,416 | ||||||
CNOOC Finance 2013, Ltd. | ||||||||
| 3,200,000 | 3.000%, 5/9/2023 | 2,858,186 | ||||||
CNPC HK Overseas Capital, Ltd. | ||||||||
| 2,870,000 | 5.950%, 4/28/2041f | 3,053,379 | ||||||
Concho Resources, Inc. | ||||||||
| 1,930,000 | 6.500%, 1/15/2022 | 2,089,225 | ||||||
Ecopetrol SA | ||||||||
| 1,900,000 | 5.875%, 9/18/2023 | 2,004,500 | ||||||
El Paso Pipeline Partners Operating Company, LLC | ||||||||
| 3,850,000 | 5.000%, 10/1/2021 | 4,032,155 | ||||||
Enbridge Energy Partners, LP | ||||||||
| 2,230,000 | 5.200%, 3/15/2020 | 2,393,782 | ||||||
| 519,000 | 4.200%, 9/15/2021 | 522,174 | ||||||
Encana Corporation | ||||||||
| 1,280,000 | 5.150%, 11/15/2041 | 1,200,001 | ||||||
Energy Transfer Partners, LP | ||||||||
| 4,240,000 | 6.700%, 7/1/2018 | 4,922,869 | ||||||
Gazprom Neft OAO Via GPN Capital SA | ||||||||
| 1,915,000 | 6.000%, 11/27/2023f | 1,943,725 | ||||||
Harvest Operations Corporation | ||||||||
| 1,920,000 | 6.875%, 10/1/2017 | 2,102,400 | ||||||
Hess Corporation | ||||||||
| 3,180,000 | 5.600%, 2/15/2041 | 3,313,929 | ||||||
Key Energy Services, Inc. | ||||||||
| 2,075,000 | 6.750%, 3/1/2021 | 2,126,875 | ||||||
Linn Energy, LLC | ||||||||
| 1,970,000 | 7.750%, 2/1/2021 | 2,083,275 | ||||||
Lukoil International Finance BV | ||||||||
| 3,835,000 | 3.416%, 4/24/2018f | 3,868,556 | ||||||
Marathon Oil Corporation | ||||||||
| 2,364,000 | 5.900%, 3/15/2018 | 2,689,948 | ||||||
| 1,920,000 | 2.800%, 11/1/2022 | 1,769,485 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
306
Income Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (91.5%) | Value | ||||||
| Energy (7.8%) - continued | ||||||||
Marathon Petroleum Corporation | ||||||||
| $1,920,000 | 6.500%, 3/1/2041 | $ | 2,188,245 | |||||
Markwest Energy Partners, LP | ||||||||
| 845,000 | 6.250%, 6/15/2022 | 893,588 | ||||||
MEG Energy Corporation | ||||||||
| 1,920,000 | 6.375%, 1/30/2023f | 1,932,000 | ||||||
Newfield Exploration Company | ||||||||
| 1,125,000 | 5.625%, 7/1/2024 | 1,119,375 | ||||||
Nexen, Inc. | ||||||||
| 1,920,000 | 6.400%, 5/15/2037 | 2,185,565 | ||||||
Noble Energy, Inc. | ||||||||
| 3,100,000 | 8.250%, 3/1/2019 | 3,853,133 | ||||||
Noble Holding International, Ltd. | ||||||||
| 2,560,000 | 3.950%, 3/15/2022g | 2,502,697 | ||||||
Petroleos Mexicanos | ||||||||
| 3,010,000 | 3.500%, 7/18/2018 | 3,089,013 | ||||||
Pioneer Natural Resources Company | ||||||||
| 2,500,000 | 6.875%, 5/1/2018 | 2,927,278 | ||||||
| 2,560,000 | 3.950%, 7/15/2022 | 2,569,807 | ||||||
Range Resources Corporation | ||||||||
| 1,280,000 | 5.000%, 3/15/2023 | 1,251,200 | ||||||
Rowan Companies, Inc. | ||||||||
| 1,260,000 | 7.875%, 8/1/2019 | 1,513,305 | ||||||
| 2,125,000 | 4.875%, 6/1/2022 | 2,156,348 | ||||||
Spectra Energy Partners, LP | ||||||||
| 3,200,000 | 4.600%, 6/15/2021 | 3,317,203 | ||||||
Suncor Energy, Inc. | ||||||||
| 1,940,000 | 6.850%, 6/1/2039 | 2,333,966 | ||||||
Sunoco Logistics Partners Operations, LP | ||||||||
| 3,200,000 | 3.450%, 1/15/2023 | 2,940,310 | ||||||
Talisman Energy, Inc. | ||||||||
| 2,540,000 | 3.750%, 2/1/2021 | 2,459,114 | ||||||
The Williams Companies, Inc. | ||||||||
| 2,560,000 | 3.700%, 1/15/2023 | 2,234,388 | ||||||
Transocean, Inc. | ||||||||
| 2,200,000 | 5.050%, 12/15/2016 | 2,430,276 | ||||||
| 1,920,000 | 7.375%, 4/15/2018 | 2,226,996 | ||||||
| 1,280,000 | 6.375%, 12/15/2021 | 1,438,355 | ||||||
Weatherford International, LLC | ||||||||
| 2,245,000 | 6.350%, 6/15/2017 | 2,538,004 | ||||||
Weatherford International, Ltd. | ||||||||
| 4,500,000 | 6.000%, 3/15/2018 | 5,050,292 | ||||||
Williams Partners, LP | ||||||||
| 3,810,000 | 4.500%, 11/15/2023 | 3,784,111 | ||||||
|
| |||||||
| Total | 110,173,532 | |||||||
|
| |||||||
| Financials (29.4%) | ||||||||
Abbey National Treasury Services plc | ||||||||
| 2,850,000 | 3.050%, 8/23/2018 | 2,928,460 | ||||||
Aegon NV | ||||||||
| 2,600,000 | 2.956%, 7/29/2049e,i | 2,197,000 | ||||||
American International Group, Inc. | ||||||||
| 1,950,000 | 3.800%, 3/22/2017 | 2,082,403 | ||||||
| 4,445,000 | 3.375%, 8/15/2020 | 4,470,852 | ||||||
| 3,000,000 | 6.400%, 12/15/2020 | 3,545,583 | ||||||
| 1,075,000 | 4.125%, 2/15/2024 | 1,068,768 | ||||||
American Tower Trust I | ||||||||
| 3,200,000 | 1.551%, 3/15/2018f | 3,123,136 | ||||||
Ares Capital Corporation | ||||||||
| 3,190,000 | 4.875%, 11/30/2018 | 3,265,176 | ||||||
Associated Banc Corporation | ||||||||
| 3,180,000 | 5.125%, 3/28/2016 | 3,399,147 | ||||||
Associates Corporation of North America | ||||||||
| 3,800,000 | 6.950%, 11/1/2018 | 4,521,274 | ||||||
AXA SA | ||||||||
| 2,580,000 | 8.600%, 12/15/2030 | 3,176,625 | ||||||
Axis Specialty Finance, LLC | ||||||||
| 2,570,000 | 5.875%, 6/1/2020 | 2,819,311 | ||||||
Banco do Brasil SA | ||||||||
| 1,950,000 | 9.250%, 10/31/2049f,g,i | 2,008,500 | ||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | ||||||||
| 1,445,000 | 4.125%, 11/9/2022f | 1,361,912 | ||||||
Bank of America Corporation | ||||||||
| 2,300,000 | 5.750%, 12/1/2017 | 2,617,660 | ||||||
| 3,840,000 | 1.316%, 3/22/2018e,g | 3,890,995 | ||||||
| 3,880,000 | 7.625%, 6/1/2019 | 4,812,469 | ||||||
| 2,560,000 | 3.300%, 1/11/2023 | 2,422,444 | ||||||
| 1,900,000 | 4.100%, 7/24/2023 | 1,908,062 | ||||||
| 1,950,000 | 5.875%, 2/7/2042 | 2,230,195 | ||||||
BBVA Bancomer SA/Texas | ||||||||
| 3,535,000 | 6.750%, 9/30/2022f | 3,764,775 | ||||||
BBVA US Senior SAU | ||||||||
| 2,560,000 | 4.664%, 10/9/2015 | 2,691,272 | ||||||
Berkshire Hathaway, Inc. | ||||||||
| 2,215,000 | 3.750%, 8/15/2021 | 2,283,734 | ||||||
| 1,600,000 | 3.000%, 2/11/2023 | 1,510,990 | ||||||
Boston Properties, LP | ||||||||
| 3,750,000 | 5.875%, 10/15/2019 | 4,306,282 | ||||||
BPCE SA | ||||||||
| 3,815,000 | 5.700%, 10/22/2023f | 3,930,442 | ||||||
Capital One Financial Corporation | ||||||||
| 3,500,000 | 6.150%, 9/1/2016 | 3,914,687 | ||||||
CIT Group, Inc. | ||||||||
| 1,920,000 | 5.250%, 3/15/2018 | 2,059,200 | ||||||
Citigroup, Inc. | ||||||||
| 3,210,000 | 6.000%, 8/15/2017 | 3,658,630 | ||||||
| 3,830,000 | 8.500%, 5/22/2019 | 4,908,486 | ||||||
| 2,560,000 | 4.050%, 7/30/2022 | 2,531,474 | ||||||
| 4,475,000 | 3.500%, 5/15/2023 | 4,169,765 | ||||||
| 2,535,000 | 5.500%, 9/13/2025 | 2,669,961 | ||||||
| 3,840,000 | 5.950%, 12/29/2049i | 3,553,344 | ||||||
CNA Financial Corporation | ||||||||
| 3,775,000 | 7.350%, 11/15/2019 | 4,576,100 | ||||||
| 1,300,000 | 5.875%, 8/15/2020 | 1,482,040 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
| 1,910,000 | 5.750%, 12/1/2043 | 2,024,764 | ||||||
| 1,290,000 | 11.000%, 12/29/2049f,i | 1,707,637 | ||||||
Credit Suisse Group AG | ||||||||
| 1,890,000 | 6.500%, 8/8/2023f | 2,010,487 | ||||||
| 1,260,000 | 7.500%, 12/11/2049f,i | 1,330,875 | ||||||
DDR Corporation | ||||||||
| 2,245,000 | 4.625%, 7/15/2022 | 2,289,848 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
307
Income Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (91.5%) | Value | ||||||
| Financials (29.4%) - continued | ||||||||
Denali Borrower, LLC | ||||||||
| $1,900,000 | 5.625%, 10/15/2020f | $ | 1,883,375 | |||||
Deutsche Bank AG | ||||||||
| 3,180,000 | 4.296%, 5/24/2028 | 2,878,965 | ||||||
Developers Diversified Realty Corporation | ||||||||
| 1,290,000 | 7.875%, 9/1/2020 | 1,593,638 | ||||||
Discover Bank | ||||||||
| 2,200,000 | 7.000%, 4/15/2020 | 2,558,571 | ||||||
| 3,505,000 | 4.200%, 8/8/2023 | 3,457,017 | ||||||
Discover Financial Services | ||||||||
| 1,920,000 | 6.450%, 6/12/2017 | 2,175,629 | ||||||
Duke Realty, LP | ||||||||
| 3,220,000 | 3.875%, 10/15/2022 | 3,060,359 | ||||||
Essex Portfolio, LP | ||||||||
| 2,560,000 | 3.250%, 5/1/2023 | 2,317,263 | ||||||
Fairfax Financial Holdings, Ltd. | ||||||||
| 1,915,000 | 5.800%, 5/15/2021f | 1,941,659 | ||||||
Fifth Third Bancorp | ||||||||
| 3,825,000 | 4.300%, 1/16/2024 | 3,746,362 | ||||||
GE Capital Trust I | ||||||||
| 4,500,000 | 6.375%, 11/15/2067 | 4,860,000 | ||||||
General Electric Capital Corporation | ||||||||
| 3,225,000 | 3.800%, 6/18/2019f | 3,377,810 | ||||||
| 1,900,000 | 6.000%, 8/7/2019 | 2,229,293 | ||||||
| 600,000 | 5.300%, 2/11/2021 | 671,172 | ||||||
| 3,200,000 | 1.243%, 3/15/2023e | 3,183,594 | ||||||
| 1,550,000 | 6.750%, 3/15/2032 | 1,919,373 | ||||||
| 3,200,000 | 7.125%, 12/15/2049i | 3,576,000 | ||||||
Glitnir Banki HF | ||||||||
| 50,000 | Zero Coupon, 1/21/2011f,j | 14,625 | ||||||
Goldman Sachs Group, Inc. | ||||||||
| 3,250,000 | 6.250%, 9/1/2017 | 3,720,795 | ||||||
| 1,560,000 | 2.375%, 1/22/2018 | 1,565,930 | ||||||
| 3,170,000 | 2.900%, 7/19/2018 | 3,226,027 | ||||||
| 2,900,000 | 5.375%, 3/15/2020 | 3,225,174 | ||||||
| 3,275,000 | 5.250%, 7/27/2021 | 3,585,608 | ||||||
| 1,260,000 | 6.750%, 10/1/2037 | 1,401,807 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
| 3,200,000 | 5.125%, 4/15/2022 | 3,485,475 | ||||||
HBOS Capital Funding, LP | ||||||||
| 1,900,000 | 6.071%, 6/29/2049f,i | 1,892,875 | ||||||
HCP, Inc. | ||||||||
| 3,100,000 | 5.625%, 5/1/2017 | 3,456,119 | ||||||
| 2,250,000 | 2.625%, 2/1/2020 | 2,144,675 | ||||||
Health Care REIT, Inc. | ||||||||
| 1,280,000 | 6.125%, 4/15/2020 | 1,440,625 | ||||||
| 3,150,000 | 4.950%, 1/15/2021 | 3,330,700 | ||||||
HSBC Finance Corporation | ||||||||
| 3,210,000 | 6.676%, 1/15/2021 | 3,688,409 | ||||||
HSBC Holdings plc | ||||||||
| 3,200,000 | 4.875%, 1/14/2022 | 3,453,184 | ||||||
| 2,600,000 | 4.000%, 3/30/2022 | 2,672,407 | ||||||
HSBC USA, Inc. | ||||||||
| 2,535,000 | 2.625%, 9/24/2018 | 2,577,783 | ||||||
| 1,900,000 | 5.000%, 9/27/2020 | 2,031,225 | ||||||
Huntington Bancshares, Inc. | ||||||||
| 2,850,000 | 7.000%, 12/15/2020 | 3,304,968 | ||||||
Icahn Enterprises, LP | ||||||||
| 660,000 | 8.000%, 1/15/2018 | 686,400 | ||||||
| 2,540,000 | 6.000%, 8/1/2020f,g | 2,616,200 | ||||||
INB Bank NV | ||||||||
| 3,165,000 | 5.800%, 9/25/2023f | 3,309,305 | ||||||
ING Bank NV | ||||||||
| 1,920,000 | 3.750%, 3/7/2017f | 2,022,182 | ||||||
ING US, Inc. | ||||||||
| 960,000 | 5.650%, 5/15/2053 | 933,600 | ||||||
| 1,760,000 | 2.900%, 2/15/2018 | 1,800,103 | ||||||
| 3,215,000 | 5.500%, 7/15/2022 | 3,496,287 | ||||||
International Lease Finance Corporation | ||||||||
| 1,950,000 | 4.875%, 4/1/2015 | 2,018,250 | ||||||
| 1,600,000 | 5.750%, 5/15/2016 | 1,714,000 | ||||||
| 1,280,000 | 2.193%, 6/15/2016e | 1,286,400 | ||||||
| 1,875,000 | 6.750%, 9/1/2016f | 2,090,625 | ||||||
Intesa Sanpaolo SPA | ||||||||
| 3,810,000 | 3.875%, 1/15/2019 | 3,787,963 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 3,840,000 | 1.138%, 1/25/2018e | 3,878,369 | ||||||
| 3,200,000 | 3.375%, 5/1/2023 | 2,982,400 | ||||||
| 3,150,000 | 5.500%, 10/15/2040 | 3,422,595 | ||||||
| 2,050,000 | 5.150%, 5/29/2049i | 1,839,875 | ||||||
| 2,560,000 | 6.000%, 12/29/2049i | 2,448,000 | ||||||
J.P. Morgan Chase Bank NA | ||||||||
| 2,580,000 | 6.000%, 10/1/2017 | 2,951,827 | ||||||
LBG Capital No. 1 plc | ||||||||
| 1,900,000 | 8.000%, 12/29/2049f,i | 2,028,717 | ||||||
Liberty Mutual Group, Inc. | ||||||||
| 1,920,000 | 5.000%, 6/1/2021f | 2,013,673 | ||||||
| 3,535,000 | 4.950%, 5/1/2022f | 3,655,232 | ||||||
Liberty Property, LP | ||||||||
| 2,840,000 | 5.500%, 12/15/2016 | 3,134,991 | ||||||
| 1,875,000 | 4.750%, 10/1/2020 | 1,970,497 | ||||||
Lincoln National Corporation | ||||||||
| 2,860,000 | 4.000%, 9/1/2023 | 2,822,448 | ||||||
Macquarie Bank, Ltd. | ||||||||
| 3,215,000 | 5.000%, 2/22/2017f | 3,486,475 | ||||||
Merrill Lynch & Company, Inc. | ||||||||
| 3,050,000 | 6.875%, 4/25/2018 | 3,606,222 | ||||||
| 3,000,000 | 7.750%, 5/14/2038 | 3,873,195 | ||||||
MetLife Capital Trust IV | ||||||||
| 700,000 | 7.875%, 12/15/2037f | 803,250 | ||||||
MetLife Capital Trust X | ||||||||
| 2,250,000 | 9.250%, 4/8/2038f | 2,891,250 | ||||||
Mizuho Corporate Bank, Ltd. | ||||||||
| 2,560,000 | 3.500%, 3/21/2023f | 2,399,770 | ||||||
Morgan Stanley | ||||||||
| 2,580,000 | 5.375%, 10/15/2015 | 2,774,973 | ||||||
| 3,730,000 | 6.625%, 4/1/2018 | 4,364,451 | ||||||
| 3,195,000 | 2.125%, 4/25/2018g | 3,167,443 | ||||||
| 3,180,000 | 5.625%, 9/23/2019 | 3,614,661 | ||||||
| 3,400,000 | 5.500%, 1/26/2020 | 3,816,745 | ||||||
| 3,205,000 | 4.875%, 11/1/2022 | 3,280,834 | ||||||
| 2,550,000 | 5.000%, 11/24/2025 | 2,557,625 | ||||||
Murray Street Investment Trust I | ||||||||
| 1,300,000 | 4.647%, 3/9/2017 | 1,399,953 | ||||||
Nationwide Building Society | ||||||||
| 2,400,000 | 6.250%, 2/25/2020f | 2,746,723 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
308
Income Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (91.5%) | Value | ||||||
| Financials (29.4%) - continued | ||||||||
Nordea Bank AB | ||||||||
| $3,170,000 | 4.875%, 5/13/2021f | $ | 3,276,582 | |||||
Omega Healthcare Investors, Inc. | ||||||||
| 2,960,000 | 5.875%, 3/15/2024 | 2,989,600 | ||||||
ORIX Corporation | ||||||||
| 4,450,000 | 5.000%, 1/12/2016 | 4,735,156 | ||||||
Preferred Term Securities XXIII, Ltd. | ||||||||
| 3,682,838 | 0.443%, 12/22/2036e,h | 2,741,468 | ||||||
ProLogis, LP | ||||||||
| 3,200,000 | 6.875%, 3/15/2020 | 3,768,995 | ||||||
Prudential Financial, Inc. | ||||||||
| 1,425,000 | 6.200%, 11/15/2040 | 1,635,634 | ||||||
| 1,930,000 | 5.875%, 9/15/2042 | 1,961,362 | ||||||
| 2,565,000 | 5.625%, 6/15/2043 | 2,513,700 | ||||||
QBE Capital Funding III, Ltd. | ||||||||
| 2,240,000 | 7.250%, 5/24/2041f | 2,316,736 | ||||||
RBS Capital Trust III | ||||||||
| 2,240,000 | 5.512%, 9/29/2049g,i | 2,172,800 | ||||||
Regions Bank | ||||||||
| 1,910,000 | 7.500%, 5/15/2018 | 2,260,076 | ||||||
Reinsurance Group of America, Inc. | ||||||||
| 1,855,000 | 5.625%, 3/15/2017 | 2,044,993 | ||||||
| 1,930,000 | 6.450%, 11/15/2019 | 2,225,504 | ||||||
| 2,535,000 | 4.700%, 9/15/2023 | 2,563,278 | ||||||
Royal Bank of Scotland Group plc | ||||||||
| 2,540,000 | 6.990%, 10/29/2049f,i | 2,705,100 | ||||||
Royal Bank Of Scotland plc | ||||||||
| 1,920,000 | 6.000%, 12/19/2023 | 1,933,670 | ||||||
Santander Holdings USA, Inc. | ||||||||
| 3,855,000 | 3.000%, 9/24/2015 | 3,980,862 | ||||||
Santander UK plc | ||||||||
| 960,000 | 5.000%, 11/7/2023f | 963,571 | ||||||
Simon Property Group, LP | ||||||||
| 1,250,000 | 10.350%, 4/1/2019 | 1,691,465 | ||||||
| 1,025,000 | 2.750%, 2/1/2023 | 936,644 | ||||||
SLM Corporation | ||||||||
| 2,380,000 | 6.250%, 1/25/2016 | 2,570,400 | ||||||
| 4,515,000 | 6.000%, 1/25/2017 | 4,887,487 | ||||||
| 1,024,000 | 4.625%, 9/25/2017 | 1,062,935 | ||||||
Societe Generale SA | ||||||||
| 1,920,000 | 7.875%, 12/31/2049f,i | 1,933,440 | ||||||
Swiss RE Capital I, LP | ||||||||
| 4,200,000 | 6.854%, 5/29/2049f,i | 4,439,400 | ||||||
Union Bank NA | ||||||||
| 2,535,000 | 2.625%, 9/26/2018 | 2,580,511 | ||||||
UnionBanCal Corporation | ||||||||
| 2,580,000 | 3.500%, 6/18/2022 | 2,530,694 | ||||||
UnitedHealth Group, Inc. | ||||||||
| 2,500,000 | 6.500%, 6/15/2037 | 2,965,955 | ||||||
Ventas Realty, LP | ||||||||
| 3,200,000 | 4.000%, 4/30/2019 | 3,362,515 | ||||||
| 1,920,000 | 2.700%, 4/1/2020 | 1,835,906 | ||||||
Vesey Street Investment Trust I | ||||||||
| 1,300,000 | 4.404%, 9/1/2016 | 1,395,823 | ||||||
Wachovia Capital Trust III | ||||||||
| 120,000 | 5.570%, 3/15/2042e,i | 109,800 | ||||||
WEA Finance, LLC | ||||||||
| 2,790,000 | 7.125%, 4/15/2018f | 3,312,648 | ||||||
| 1,280,000 | 6.750%, 9/2/2019f | 1,521,926 | ||||||
WellPoint, Inc. | ||||||||
| 2,550,000 | 4.650%, 1/15/2043 | 2,360,795 | ||||||
Wells Fargo & Company | ||||||||
| 3,035,000 | 3.450%, 2/13/2023 | 2,869,395 | ||||||
| 3,220,000 | 7.980%, 2/28/2049i | 3,590,300 | ||||||
XLIT, Ltd. | ||||||||
| 3,190,000 | 5.250%, 12/15/2043 | 3,211,367 | ||||||
ZFS Finance USA Trust II | ||||||||
| 2,500,000 | 6.450%, 12/15/2065f | 2,668,750 | ||||||
|
| |||||||
| Total | 417,194,008 | |||||||
|
| |||||||
| Foreign Government (1.4%) | ||||||||
Colombia Government International Bond | ||||||||
| 3,220,000 | 2.625%, 3/15/2023 | 2,820,720 | ||||||
Corporacion Andina de Fomento | ||||||||
| 1,968,000 | 4.375%, 6/15/2022 | 1,948,676 | ||||||
Costa Rica Government International Bond | ||||||||
| 2,560,000 | 4.375%, 4/30/2025f | 2,259,200 | ||||||
Eksportfinans ASA | ||||||||
| 3,250,000 | 2.375%, 5/25/2016 | 3,197,188 | ||||||
Export-Import Bank of Korea | ||||||||
| 2,580,000 | 4.375%, 9/15/2021 | 2,691,110 | ||||||
Mexico Government International Bond | ||||||||
| 3,150,000 | 5.125%, 1/15/2020 | 3,490,200 | ||||||
| 3,480,000 | 4.000%, 10/2/2023 | 3,445,200 | ||||||
|
| |||||||
| Total | 19,852,294 | |||||||
|
| |||||||
| Mortgage-Backed Securities (3.4%) | ||||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 4,825,000 | 3.000%, 1/1/2029c | 4,914,338 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 4,500,000 | 3.500%, 1/1/2029c | 4,705,840 | ||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 13,200,000 | 3.500%, 1/1/2044c | 13,112,344 | ||||||
| 16,537,500 | 4.000%, 1/1/2044c | 17,023,289 | ||||||
| 8,150,000 | 4.500%, 1/1/2044c | 8,635,498 | ||||||
|
| |||||||
| Total | 48,391,309 | |||||||
|
| |||||||
| Technology (1.3%) | ||||||||
Amkor Technology, Inc. | ||||||||
| 1,910,000 | 6.375%, 10/1/2022 | 1,962,525 | ||||||
Computer Sciences Corporation | ||||||||
| 2,250,000 | 2.500%, 9/15/2015 | 2,296,613 | ||||||
Hewlett-Packard Company | ||||||||
| 2,590,000 | 4.650%, 12/9/2021 | 2,666,861 | ||||||
Motorola Solutions, Inc. | ||||||||
| 4,500,000 | 3.750%, 5/15/2022 | 4,356,428 | ||||||
Oracle Corporation | ||||||||
| 3,200,000 | 2.500%, 10/15/2022 | 2,930,995 | ||||||
| 790,000 | 3.625%, 7/15/2023 | 783,654 | ||||||
Xerox Corporation | ||||||||
| 1,250,000 | 6.400%, 3/15/2016 | 1,381,612 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
309
Income Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (91.5%) | Value | ||||||
| Technology (1.3%) - continued | ||||||||
| $2,520,000 | 4.500%, 5/15/2021 | $ | 2,593,803 | |||||
|
| |||||||
| Total | 18,972,491 | |||||||
|
| |||||||
| Transportation (3.4%) | ||||||||
American Airlines Pass Through Trust | ||||||||
| 2,550,000 | 5.600%, 7/15/2020f | 2,550,000 | ||||||
| 2,540,000 | 4.950%, 1/15/2023f | 2,617,787 | ||||||
| 2,560,000 | 4.000%, 7/15/2025f | 2,491,200 | ||||||
Avis Budget Car Rental, LLC | ||||||||
| 1,920,000 | 5.500%, 4/1/2023 | 1,860,000 | ||||||
British Airways plc | ||||||||
| 4,480,000 | 4.625%, 6/20/2024f | 4,670,400 | ||||||
Canadian Pacific Railway Company | ||||||||
| 2,560,000 | 7.125%, 10/15/2031 | 3,078,602 | ||||||
Continental Airlines, Inc. | ||||||||
| 2,200,000 | 6.750%, 9/15/2015f | 2,268,750 | ||||||
| 929,336 | 7.250%, 11/10/2019 | 1,068,737 | ||||||
| 1,415,000 | 4.000%, 10/29/2024 | 1,407,925 | ||||||
CSX Corporation | ||||||||
| 2,225,000 | 3.700%, 11/1/2023 | 2,152,472 | ||||||
| 1,807,000 | 6.220%, 4/30/2040 | 2,042,785 | ||||||
Delta Air Lines, Inc. | ||||||||
| 2,013,099 | 4.950%, 5/23/2019g | 2,184,212 | ||||||
| 1,194,960 | 4.750%, 5/7/2020 | 1,278,607 | ||||||
ERAC USA Finance, LLC | ||||||||
| 3,450,000 | 5.250%, 10/1/2020f | 3,793,244 | ||||||
| 1,915,000 | 4.500%, 8/16/2021f | 1,995,710 | ||||||
Hertz Corporation | ||||||||
| 2,570,000 | 6.750%, 4/15/2019 | 2,769,175 | ||||||
Kansas City Southern de Mexico SA de CV | ||||||||
| 1,920,000 | 2.350%, 5/15/2020 | 1,788,714 | ||||||
Navios South American Logistics, Inc. | ||||||||
| 480,000 | 9.250%, 4/15/2019 | 517,800 | ||||||
Penske Truck Leasing Company, LP | ||||||||
| 1,945,000 | 2.500%, 3/15/2016f | 1,992,686 | ||||||
US Airways Pass Through Trust | ||||||||
| 3,200,000 | 3.950%, 11/15/2025 | 3,112,000 | ||||||
Virgin Australia Holdings, Ltd. | ||||||||
| 2,860,000 | 5.000%, 10/23/2023f | 2,918,987 | ||||||
|
| |||||||
| Total | 48,559,793 | |||||||
|
| |||||||
| U.S. Government and Agencies (4.0%) | ||||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 100,000 | 5.250%, 4/18/2016 | 110,777 | ||||||
U.S. Treasury Bonds | ||||||||
| 1,500,000 | 4.375%, 5/15/2041 | 1,627,500 | ||||||
| 2,020,000 | 3.125%, 11/15/2041 | 1,744,775 | ||||||
| 287,000 | 3.125%, 2/15/2042 | 247,448 | ||||||
| 7,129,000 | 3.000%, 5/15/2042 | 5,978,337 | ||||||
U.S. Treasury Notes | ||||||||
| 100,000 | 0.375%, 6/15/2015 | 100,211 | ||||||
| 1,410,000 | 2.875%, 3/31/2018 | 1,494,490 | ||||||
| 7,732,000 | 1.000%, 5/31/2018 | 7,562,862 | ||||||
| 10,023,000 | 1.000%, 6/30/2019 | 9,531,252 | ||||||
| 5,160,000 | 3.625%, 2/15/2020 | 5,616,340 | ||||||
| 7,020,000 | 2.625%, 11/15/2020 | 7,134,075 | ||||||
| 3,000,000 | 2.125%, 8/15/2021 | 2,906,250 | ||||||
| 7,590,000 | 2.000%, 2/15/2022 | 7,202,788 | ||||||
| 6,540,500 | 1.750%, 5/15/2023 | 5,895,136 | ||||||
|
| |||||||
| Total | 57,152,241 | |||||||
|
| |||||||
| U.S. Municipals (0.2%) | ||||||||
Denver, CO City & County Airport Rev. | ||||||||
| 2,550,000 | 5.250%, 11/15/2022, Ser. A, AMT | 2,828,282 | ||||||
|
| |||||||
| Total | 2,828,282 | |||||||
|
| |||||||
| Utilities (7.2%) | ||||||||
AES Corporation | ||||||||
| 880,000 | 7.750%, 10/15/2015 | 972,400 | ||||||
Ameren Illinois Company | ||||||||
| 3,200,000 | 6.125%, 11/15/2017 | 3,667,366 | ||||||
American Electric Power Company, Inc. | ||||||||
| 2,565,000 | 2.950%, 12/15/2022 | 2,372,109 | ||||||
Arizona Public Service Company | ||||||||
| 2,880,000 | 8.750%, 3/1/2019 | 3,660,445 | ||||||
Atlas Pipeline Partners, LP | ||||||||
| 1,280,000 | 4.750%, 11/15/2021f | 1,171,200 | ||||||
Buckeye Partners, LP | ||||||||
| 1,910,000 | 4.150%, 7/1/2023 | 1,836,543 | ||||||
Cleveland Electric Illuminating Company | ||||||||
| 923,000 | 5.700%, 4/1/2017 | 999,864 | ||||||
Commonwealth Edison Company | ||||||||
| 1,500,000 | 6.150%, 9/15/2017 | 1,733,310 | ||||||
DCP Midstream Operating, LP | ||||||||
| 2,560,000 | 3.875%, 3/15/2023 | 2,357,414 | ||||||
DCP Midstream, LLC | ||||||||
| 1,750,000 | 5.850%, 5/21/2043f | 1,627,500 | ||||||
DPL, Inc. | ||||||||
| 3,230,000 | 6.500%, 10/15/2016 | 3,496,475 | ||||||
DTE Energy Company | ||||||||
| 3,400,000 | 6.375%, 4/15/2033 | 3,862,305 | ||||||
El Paso Pipeline Partners Operating Company, LLC | ||||||||
| 1,280,000 | 4.700%, 11/1/2042 | 1,095,780 | ||||||
Electricite de France SA | ||||||||
| 3,200,000 | 5.250%, 12/29/2049f,i | 3,182,400 | ||||||
Energy Transfer Partners, LP | ||||||||
| 3,380,000 | 4.650%, 6/1/2021 | 3,476,810 | ||||||
Enterprise Products Operating, LLC | ||||||||
| 2,675,000 | 7.034%, 1/15/2068 | 2,955,875 | ||||||
| 1,930,000 | 6.650%, 4/15/2018 | 2,258,804 | ||||||
Exelon Generation Company, LLC | ||||||||
| 1,050,000 | 5.200%, 10/1/2019 | 1,131,557 | ||||||
| 2,500,000 | 4.000%, 10/1/2020 | 2,499,033 | ||||||
Florida Power Corporation | ||||||||
| 2,000,000 | 6.400%, 6/15/2038 | 2,465,900 | ||||||
Great River Energy | ||||||||
| 26,783 | 5.829%, 7/1/2017f | 28,408 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
310
Income Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (91.5%) | Value | ||||||
| Utilities (7.2%) - continued |
| ||||||
ITC Holdings Corporation | ||||||||
| $ | 3,000,000 | 5.875%, 9/30/2016f | $ | 3,320,022 | ||||
| 3,170,000 | 4.050%, 7/1/2023 | 3,107,351 | ||||||
Kinder Morgan Energy Partners, LP | ||||||||
| 1,290,000 | 6.850%, 2/15/2020 | 1,533,402 | ||||||
| 2,550,000 | 5.800%, 3/1/2021 | 2,832,244 | ||||||
| 1,890,000 | 4.150%, 2/1/2024 | 1,828,520 | ||||||
| 1,935,000 | 5.000%, 8/15/2042 | 1,787,089 | ||||||
Markwest Energy Partners, LP | ||||||||
| 1,242,000 | 6.500%, 8/15/2021 | 1,335,150 | ||||||
MidAmerican Energy Holdings Company | ||||||||
| 4,450,000 | 3.750%, 11/15/2023f | 4,340,054 | ||||||
National Rural Utilities Cooperative Finance Corporation | ||||||||
| 2,560,000 | 4.750%, 4/30/2043 | 2,384,000 | ||||||
Nevada Power Company | ||||||||
| 2,800,000 | 6.750%, 7/1/2037 | 3,475,156 | ||||||
NiSource Finance Corporation | ||||||||
| 2,800,000 | 6.400%, 3/15/2018 | 3,222,293 | ||||||
| 3,200,000 | 5.450%, 9/15/2020 | 3,558,371 | ||||||
Ohio Edison Company | ||||||||
| 1,550,000 | 6.875%, 7/15/2036 | 1,817,801 | ||||||
Ohio Power Company | ||||||||
| 2,400,000 | 6.050%, 5/1/2018 | 2,743,498 | ||||||
ONEOK Partners, LP | ||||||||
| 635,000 | 3.200%, 9/15/2018 | 649,301 | ||||||
| 1,900,000 | 5.000%, 9/15/2023 | 1,973,004 | ||||||
Pennsylvania Electric Company | ||||||||
| 3,700,000 | 5.200%, 4/1/2020 | 3,962,859 | ||||||
PPL Capital Funding, Inc. | ||||||||
| 3,205,000 | 3.500%, 12/1/2022 | 3,026,831 | ||||||
PPL Energy Supply, Inc. | ||||||||
| 1,920,000 | 4.600%, 12/15/2021g | 1,845,016 | ||||||
PSEG Power, LLC | ||||||||
| 1,300,000 | 5.320%, 9/15/2016 | 1,430,365 | ||||||
Southern California Edison Company | ||||||||
| 2,585,000 | 6.250%, 8/1/2049i | 2,675,475 | ||||||
Southwestern Public Service Company | ||||||||
| 2,770,000 | 6.000%, 10/1/2036 | 3,065,324 | ||||||
|
| |||||||
| Total | 102,764,624 | |||||||
|
| |||||||
| Total Long-Term Fixed Income (cost $1,267,224,056) | 1,297,505,906 | |||||||
|
| |||||||
| Shares | Preferred Stock (1.5%) | |||||||
| Financials (1.5%) | |||||||
| 93,500 | Annaly Capital Management, Inc., 7.500%i | 2,057,000 | ||||||
| 22,500 | Cobank ACB, 6.250%f,i | 2,155,781 | ||||||
| 64,000 | DDR Corporation, 6.250%i | 1,336,320 | ||||||
| 128,000 | Discover Financial Services, 6.500%i | 2,949,120 | ||||||
| 81,250 | HSBC Holdings plc, 8.000%i | 2,188,875 | ||||||
| 88,200 | Morgan Stanley, 7.125%i | 2,305,548 | ||||||
| 63,611 | RBS Capital Funding Trust VII, 6.080%i | 1,334,559 | ||||||
| 79,875 | The Allstate Corporation, 5.100% | 1,925,786 | ||||||
| 95,940 | The Goldman Sachs Group, Inc., 5.500%i | 2,138,503 | ||||||
| 101,500 | Wells Fargo & Company, 5.850%i | 2,392,355 | ||||||
|
| |||||||
| Total | 20,783,847 | |||||||
|
| |||||||
| Total Preferred Stock (cost $21,993,531) | 20,783,847 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (1.5%) | ||||||||
| 21,063,391 | Thrivent Cash Management Trust | 21,063,391 | ||||||
|
| |||||||
| Total Collateral Held for Securities Loaned (cost $21,063,391) | 21,063,391 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (4.7%)k | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 600,000 | 0.120%, 5/28/2014l | 599,706 | ||||||
Thrivent Cash Management Trust | ||||||||
| 65,827,337 | 0.060% | 65,827,337 | ||||||
U.S. Treasury Bills | ||||||||
| 500,000 | 0.070%, 4/24/2014 | 499,890 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 66,926,933 | |||||||
|
| |||||||
| Total Investments (cost $1,448,252,244) 104.2% | $ | 1,477,461,413 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (4.2%) | (59,852,332 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 1,417,609,081 | ||||||
|
| |||||||
| 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 December 31, 2013. |
| 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 December 31, 2013, the value of these investments was $243,573,430 or 17.2% of total net assets. |
| g | All or a portion of the security is on loan. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
311
Income Portfolio
Schedule of Investments as of December 31, 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 Income Portfolio owned as of December 31, 2013. |
Security | Acquisition Date | Cost | ||||||
Preferred Term Securities XXIII, Ltd., 12/22/2036 | 9/14/2006 | $ | 3,682,838 | |||||
Vericrest Opportunity Loan Transferee, 11/25/2053 | 11/8/2013 | $ | 3,237,124 | |||||
| i | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
| j | In bankruptcy. Interest is not being accrued. |
| k | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
| l | At December 31, 2013, $599,706 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
AMT | - | Subject to Alternative Minimum Tax | ||||
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. | ||||
Rev. | - | Revenue | ||||
Ser. | - | Series |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 55,723,048 | ||
Gross unrealized depreciation | (26,657,106 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 29,065,942 | ||
Cost for federal income tax purposes | $ | 1,448,395,471 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
312
Income Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 3,217,793 | — | 3,217,793 | — | ||||||||||||
Capital Goods | 3,172,411 | — | 3,172,411 | — | ||||||||||||
Communications Services | 20,235,991 | — | 20,235,991 | — | ||||||||||||
Consumer Cyclical | 10,271,016 | — | 10,271,016 | — | ||||||||||||
Consumer Non-Cyclical | 9,218,785 | — | 9,218,785 | — | ||||||||||||
Energy | 4,328,845 | — | 4,328,845 | — | ||||||||||||
Financials | 3,391,680 | — | 3,391,680 | — | ||||||||||||
Technology | 8,665,650 | — | 8,665,650 | — | ||||||||||||
Transportation | 4,725,843 | — | 4,725,843 | — | ||||||||||||
Utilities | 3,953,322 | — | 3,953,322 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 10,194,297 | — | 10,194,297 | — | ||||||||||||
Basic Materials | 62,491,826 | — | 62,491,826 | — | ||||||||||||
Capital Goods | 32,008,138 | — | 32,008,138 | — | ||||||||||||
Collateralized Mortgage Obligations | 17,745,485 | — | 17,745,485 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 12,717,077 | — | 12,717,077 | — | ||||||||||||
Communications Services | 127,087,296 | — | 127,087,296 | — | ||||||||||||
Consumer Cyclical | 93,738,159 | — | 93,738,159 | — | ||||||||||||
Consumer Non-Cyclical | 115,635,054 | — | 115,635,054 | — | ||||||||||||
Energy | 110,173,532 | — | 110,173,532 | — | ||||||||||||
Financials | 417,194,008 | — | 414,452,540 | 2,741,468 | ||||||||||||
Foreign Government | 19,852,294 | — | 19,852,294 | — | ||||||||||||
Mortgage-Backed Securities | 48,391,309 | — | 48,391,309 | — | ||||||||||||
Technology | 18,972,491 | — | 18,972,491 | — | ||||||||||||
Transportation | 48,559,793 | — | 48,559,793 | — | ||||||||||||
U.S. Government and Agencies | 57,152,241 | — | 57,152,241 | — | ||||||||||||
U.S. Municipals | 2,828,282 | — | 2,828,282 | — | ||||||||||||
Utilities | 102,764,624 | — | 102,764,624 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 20,783,847 | 18,628,066 | 2,155,781 | — | ||||||||||||
Collateral Held for Securities Loaned | 21,063,391 | 21,063,391 | — | — | ||||||||||||
Short-Term Investments | 66,926,933 | 65,827,337 | 1,099,596 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,477,461,413 | $ | 105,518,794 | $ | 1,369,201,151 | $ | 2,741,468 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 3,310,407 | 3,310,407 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 3,310,407 | $ | 3,310,407 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 1,583,887 | 1,583,887 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 1,583,887 | $ | 1,583,887 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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.
313
Income Portfolio
Schedule of Investments as of December 31, 2013
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | 315 | March 2014 | $ | 69,369,867 | $ | 69,240,938 | ($ | 128,929 | ) | |||||||||||
5-Yr. U.S. Treasury Bond Futures | (595 | ) | March 2014 | (71,960,645 | ) | (70,990,938 | ) | 969,707 | ||||||||||||
10-Yr. U.S. Treasury Bond Futures | (1,000 | ) | March 2014 | (125,387,580 | ) | (123,046,880 | ) | 2,340,700 | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | 600 | March 2014 | 78,442,458 | 76,987,500 | (1,454,958 | ) | ||||||||||||||
Total Futures Contracts | $ | 1,726,520 | ||||||||||||||||||
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | 3,310,407 | ||||
Total Interest Rate Contracts | 3,310,407 | |||||
|
| |||||
Total Asset Derivatives | $ | 3,310,407 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 1,583,887 | ||||
Total Interest Rate Contracts | 1,583,887 | |||||
|
| |||||
Total Liability Derivatives | $ | 1,583,887 | ||||
|
| |||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | (2,136,958 | ) | |||
Total Interest Rate Contracts | (2,136,958 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (2,380,277 | ) | |||
Total Credit Contracts | (2,380,277 | ) | ||||
|
| |||||
Total | ($ | 4,517,235 | ) | |||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | 1,877,479 | ||||
Total Interest Rate Contracts | 1,877,479 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 917,083 | ||||
Total Credit Contracts | 917,083 | |||||
|
| |||||
Total | $ | 2,794,562 | ||||
|
| |||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
314
Income Portfolio
Schedule of Investments as of December 31, 2013
The following table presents Income Portfolio’s average volume of derivative activity during the period ended December 31, 2013.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | Swaps (Notional)* | Swaps (Percentage of Average Net Assets) | ||||||||||||
Interest Rate Contracts | $ | 376,748,308 | 25.3 | % | N/A | N/A | ||||||||||
Credit Contracts | N/A | N/A | $ | 5,463,526 | 0.4 | % | ||||||||||
| * | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Income Portfolio, is as follows:
Portfolio | Value December 31, 2012 | Gross Purchases | Gross Sales | Shares Held at December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 14,562,571 | $ | 212,541,978 | $ | 206,041,158 | 21,063,391 | $ | 21,063,391 | $ | 45,435 | |||||||||||||
Cash Management Trust- Short Term Investment | 118,125,978 | 340,217,373 | 392,516,014 | 65,827,337 | 65,827,337 | 73,394 | ||||||||||||||||||
Total Value and Income Earned | 132,688,549 | 86,890,728 | 118,829 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
315
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (103.0%) | Value | ||||||
| Asset-Backed Securities (2.9%) |
| ||||||
Conseco Financial Corporation | ||||||||
| $ | 12,292 | 6.330%, 11/1/2029 | $ | 12,780 | ||||
Countrywide Home Loans, Inc. | ||||||||
| 226,526 | 6.085%, 6/25/2021a | 264,006 | ||||||
Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 350,977 | 5.501%, 12/25/2036 | 228,218 | ||||||
First Horizon ABS Trust | ||||||||
| 690,465 | 0.295%, 10/25/2026a,b | 636,490 | ||||||
| 673,370 | 0.325%, 10/25/2034a,b | 557,288 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 878,320 | 0.345%, 8/25/2035 a,b | 736,451 | ||||||
| 1,082,131 | 0.345%, 12/25/2036a,b | 913,720 | ||||||
IndyMac Seconds Asset-Backed Trust | ||||||||
| 474,974 | 0.335%, 10/25/2036a,b | 244,420 | ||||||
Wachovia Asset Securitization, Inc. | ||||||||
| 907,802 | 0.305%, 7/25/2037a,b,c | 796,346 | ||||||
|
| |||||||
Total | 4,389,719 | |||||||
|
| |||||||
| Basic Materials (1.3%) | |||||||
Dow Chemical Company | ||||||||
| 27,000 | 7.375%, 11/1/2029 | 34,698 | ||||||
Georgia-Pacific, LLC | ||||||||
| 250,000 | 3.734%, 7/15/2023d | 240,621 | ||||||
Mosaic Company | ||||||||
| 400,000 | 4.250%, 11/15/2023 | 395,038 | ||||||
Packaging Corporation of America | ||||||||
| 200,000 | 4.500%, 11/1/2023 | 200,523 | ||||||
Rio Tinto Alcan, Inc. | ||||||||
| 500,000 | 5.200%, 1/15/2014 | 498,950 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
| 200,000 | 2.050%, 10/23/2015d | 202,546 | ||||||
| 325,000 | 2.700%, 10/25/2017d | 328,689 | ||||||
|
| |||||||
Total | 1,901,065 | |||||||
|
| |||||||
| Capital Goods (0.6%) | |||||||
Precision Castparts Corporation | ||||||||
| 300,000 | 1.250%, 1/15/2018 | 292,050 | ||||||
Roper Industries, Inc. | ||||||||
| 300,000 | 1.850%, 11/15/2017 | 297,379 | ||||||
United Technologies Corporation | ||||||||
| 275,000 | 6.050%, 6/1/2036 | 322,918 | ||||||
|
| |||||||
Total | 912,347 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (2.8%) |
| ||||||
Banc of America Commercial Mortgage, Inc. | ||||||||
| 645,000 | 5.649%, 6/10/2049 | 712,745 | ||||||
Commercial Mortgage Pass- Through Certificates | ||||||||
| 708,077 | 0.297%, 12/15/2020b,d | 699,262 | ||||||
| 500,000 | 5.306%, 12/10/2046 | 544,769 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 924,275 | 0.337%, 10/15/2021b,d | 918,454 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
| 899,242 | 4.786%, 10/15/2029 | 912,512 | ||||||
Morgan Stanley Capital I | ||||||||
| 480,226 | 3.224%, 7/15/2049 | 501,818 | ||||||
|
| |||||||
Total | 4,289,560 | |||||||
|
| |||||||
| Communications Services (1.3%) | |||||||
America Movil SAB de CV | ||||||||
| 300,000 | 1.244%, 9/12/2016b | 303,112 | ||||||
AT&T, Inc. | ||||||||
| 300,000 | 1.400%, 12/1/2017 | 295,753 | ||||||
British Sky Broadcasting Group plc | ||||||||
| 200,000 | 3.125%, 11/26/2022d | 186,207 | ||||||
Cox Communications, Inc. | ||||||||
| 135,000 | 6.450%, 12/1/2036d | 137,513 | ||||||
Crown Castle Towers, LLC | ||||||||
| 500,000 | 4.174%, 8/15/2017d | 527,383 | ||||||
DIRECTV Holdings, LLC | ||||||||
| 250,000 | 1.750%, 1/15/2018 | 245,242 | ||||||
NBC Universal Enterprise, Inc. | ||||||||
| 250,000 | 1.662%, 4/15/2018d | 244,166 | ||||||
Verizon Global Funding Corporation | ||||||||
| 27,000 | 7.750%, 12/1/2030 | 34,486 | ||||||
|
| |||||||
Total | 1,973,862 | |||||||
|
| |||||||
| Consumer Cyclical (2.4%) | |||||||
Amazon.com, Inc. | ||||||||
| 250,000 | 1.200%, 11/29/2017 | 244,773 | ||||||
California Institute of Technology | ||||||||
| 325,000 | 4.700%, 11/1/2111 | 275,691 | ||||||
Daimler Finance North America, LLC | ||||||||
| 27,000 | 8.500%, 1/18/2031 | 39,202 | ||||||
Dartmouth College | ||||||||
| 250,000 | 3.760%, 6/1/2043 | 207,159 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 150,000 | 4.207%, 4/15/2016 | 159,831 | ||||||
| 350,000 | 3.000%, 6/12/2017 | 363,761 | ||||||
Home Depot, Inc. | ||||||||
| 320,000 | 2.250%, 9/10/2018 | 324,401 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
| 200,000 | 4.375%, 9/1/2023 | 200,753 | ||||||
President and Fellows of Harvard College | ||||||||
| 500,000 | 3.619%, 10/1/2037 | 423,462 | ||||||
Starbucks Corporation | ||||||||
| 200,000 | 3.850%, 10/1/2023 | 201,168 | ||||||
The Board of Trustees of The Leland Stanford Junior University | ||||||||
| 550,000 | 3.563%, 6/1/2044 | 448,976 | ||||||
Viacom, Inc. | ||||||||
| 250,000 | 2.500%, 9/1/2018 | 252,015 | ||||||
Wal-Mart Stores, Inc. | ||||||||
| 327,000 | 7.550%, 2/15/2030 | 440,206 | ||||||
|
| |||||||
Total | 3,581,398 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
316
Bond Index Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (103.0%) | Value | ||||||
| Consumer Non-Cyclical (2.7%) |
| ||||||
AbbVie, Inc. | ||||||||
| $ | 350,000 | 1.750%, 11/6/2017 | $ | 349,400 | ||||
Allergan, Inc. | ||||||||
| 325,000 | 1.350%, 3/15/2018 | 316,706 | ||||||
Altria Group, Inc. | ||||||||
| 240,000 | 4.000%, 1/31/2024 | 234,579 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 300,000 | 1.375%, 7/15/2017 | 299,370 | ||||||
Cargill, Inc. | ||||||||
| 325,000 | 4.100%, 11/1/2042d | 278,586 | ||||||
ConAgra Foods, Inc. | ||||||||
| 200,000 | 1.300%, 1/25/2016 | 200,347 | ||||||
Dr Pepper Snapple Group, Inc. | ||||||||
| 250,000 | 2.700%, 11/15/2022 | 227,585 | ||||||
Edwards Lifesciences Corporation | ||||||||
| 300,000 | 2.875%, 10/15/2018 | 298,249 | ||||||
Fomento Economico Mexicano SAB de CV | ||||||||
| 200,000 | 2.875%, 5/10/2023 | 176,732 | ||||||
Heineken NV | ||||||||
| 50,000 | 1.400%, 10/1/2017d | 49,054 | ||||||
McKesson Corporation | ||||||||
| 275,000 | 2.700%, 12/15/2022 | 246,285 | ||||||
Medtronic, Inc. | ||||||||
| 250,000 | 1.375%, 4/1/2018 | 245,412 | ||||||
Sanofi | ||||||||
| 250,000 | 1.250%, 4/10/2018 | 243,404 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
| 300,000 | 1.300%, 2/1/2017 | 298,697 | ||||||
Unilever Capital Corporation | ||||||||
| 300,000 | 2.200%, 3/6/2019 | 299,615 | ||||||
Wyeth, LLC | ||||||||
| 350,000 | 6.000%, 2/15/2036 | 406,048 | ||||||
|
| |||||||
Total | 4,170,069 | |||||||
|
| |||||||
| Energy (1.0%) |
| ||||||
ConocoPhillips Holding Company | ||||||||
| 27,000 | 6.950%, 4/15/2029 | 34,165 | ||||||
Energy Transfer Partners, LP | ||||||||
| 450,000 | 6.700%, 7/1/2018 | 522,475 | ||||||
Marathon Oil Corporation | ||||||||
| 325,000 | 2.800%, 11/1/2022 | 299,522 | ||||||
Petro-Canada | ||||||||
| 300,000 | 6.800%, 5/15/2038 | 359,059 | ||||||
Phillips 66 | ||||||||
| 325,000 | 1.950%, 3/5/2015 | 329,527 | ||||||
|
| |||||||
Total | 1,544,748 | |||||||
|
| |||||||
| Financials (9.3%) |
| ||||||
American Tower Trust I | ||||||||
| 225,000 | 1.551%, 3/15/2018d | 219,595 | ||||||
Australia and New Zealand Banking Group, Ltd. | ||||||||
| 350,000 | 1.000%, 10/6/2015d | 352,270 | ||||||
AXA SA | ||||||||
| 27,000 | 8.600%, 12/15/2030 | 33,244 | ||||||
Bank of America Corporation | ||||||||
| 250,000 | 1.500%, 10/9/2015 | 252,517 | ||||||
Barclays Bank plc | ||||||||
| 300,000 | 5.000%, 9/22/2016 | 330,283 | ||||||
Boston Properties, LP | ||||||||
| 300,000 | 3.125%, 9/1/2023 | 274,017 | ||||||
Camden Property Trust | ||||||||
| 100,000 | 2.950%, 12/15/2022 | 90,364 | ||||||
Chubb Corporation | ||||||||
| 350,000 | 6.500%, 5/15/2038 | 432,300 | ||||||
Citigroup, Inc. | ||||||||
| 250,000 | 4.700%, 5/29/2015 | 263,187 | ||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||||
| 250,000 | 4.625%, 12/1/2023 | 251,755 | ||||||
Credit Suisse AG Guernsey | ||||||||
| 650,000 | 1.625%, 3/6/2015d | 658,125 | ||||||
DnB Boligkreditt AS | ||||||||
| 200,000 | 1.450%, 3/21/2018d | 195,480 | ||||||
Duke Realty, LP | ||||||||
| 250,000 | 3.875%, 10/15/2022 | 237,605 | ||||||
General Electric Capital Corporation | ||||||||
| 475,000 | 5.875%, 1/14/2038 | 541,079 | ||||||
Goldman Sachs Group, Inc. | ||||||||
| 500,000 | 2.375%, 1/22/2018 | 501,900 | ||||||
HCP, Inc. | ||||||||
| 325,000 | 3.750%, 2/1/2016 | 341,512 | ||||||
HSBC Holdings plc | ||||||||
| 300,000 | 6.800%, 6/1/2038 | 369,046 | ||||||
ING Bank NV | ||||||||
| 400,000 | 2.625%, 12/5/2022d | 368,208 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 250,000 | 1.138%, 1/25/2018b | 252,498 | ||||||
Liberty Mutual Group, Inc. | ||||||||
| 150,000 | 4.950%, 5/1/2022d | 155,102 | ||||||
| 200,000 | 4.250%, 6/15/2023d | 193,106 | ||||||
Macquarie Bank, Ltd. | ||||||||
| 200,000 | 5.000%, 2/22/2017d | 216,888 | ||||||
Marsh & McLennan Companies, Inc. | ||||||||
| 89,000 | 5.750%, 9/15/2015 | 96,132 | ||||||
| 400,000 | 2.550%, 10/15/2018 | 400,590 | ||||||
MassMutual Global Funding II | ||||||||
| 350,000 | 2.000%, 4/5/2017d | 351,028 | ||||||
MetLife, Inc. | ||||||||
| 200,000 | 4.368%, 9/15/2023 | 204,177 | ||||||
Morgan Stanley | ||||||||
| 150,000 | 4.100%, 5/22/2023 | 145,163 | ||||||
| 250,000 | 5.000%, 11/24/2025 | 250,748 | ||||||
National Australia Bank, Ltd. | ||||||||
| 325,000 | 2.000%, 6/20/2017d | 331,045 | ||||||
Nordea Bank AB | ||||||||
| 325,000 | 3.125%, 3/20/2017d | 339,846 | ||||||
North American Development Bank | ||||||||
| 400,000 | 2.300%, 10/10/2018 | 393,876 | ||||||
PNC Financial Services Group, Inc. | ||||||||
| 325,000 | 2.854%, 11/9/2022 | 301,828 | ||||||
Preferred Term Securities XXIII, Ltd. | ||||||||
| 789,179 | 0.443%, 12/22/2036b,c | 587,457 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
317
Bond Index Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (103.0%) | Value | ||||||
| Financials (9.3%) - continued |
| ||||||
Principal Life Global Funding II | ||||||||
| $ | 300,000 | 1.000%, 12/11/2015d | $ | 300,610 | ||||
Prudential Covered Trust | ||||||||
| 255,000 | 2.997%, 9/30/2015d | 262,900 | ||||||
Realty Income Corporation | ||||||||
| 300,000 | 2.000%, 1/31/2018 | 293,808 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
| 300,000 | 1.750%, 3/19/2018d | 293,888 | ||||||
Standard Chartered plc | ||||||||
| 200,000 | 3.950%, 1/11/2023d | 185,504 | ||||||
Svenska Handelsbanken AB | ||||||||
| 125,000 | 1.625%, 3/21/2018 | 122,628 | ||||||
Swedbank AB | ||||||||
| 300,000 | 1.750%, 3/12/2018d | 294,758 | ||||||
Swedbank Hypotek AB | ||||||||
| 400,000 | 1.375%, 3/28/2018d | 390,760 | ||||||
Toronto-Dominion Bank | ||||||||
| 325,000 | 0.702%, 9/9/2016b | 325,959 | ||||||
UBS AG/London | ||||||||
| 500,000 | 1.875%, 1/23/2015d | 507,000 | ||||||
Union Bank NA | ||||||||
| 300,000 | 1.500%, 9/26/2016 | 303,401 | ||||||
UnitedHealth Group, Inc. | ||||||||
| 325,000 | 1.400%, 10/15/2017 | 320,897 | ||||||
Ventas Realty, LP | ||||||||
| 250,000 | 2.700%, 4/1/2020 | 239,050 | ||||||
| 175,000 | 4.250%, 3/1/2022 | 176,101 | ||||||
Washington Mutual Bank | ||||||||
| 500,000 | 5.500%, 1/15/2013e,f | 0 | ||||||
Wells Fargo & Company | ||||||||
| 150,000 | 3.450%, 2/13/2023 | 141,815 | ||||||
|
| |||||||
| Total | 14,091,050 | |||||||
|
| |||||||
| Foreign Government (3.2%) |
| ||||||
African Development Bank | ||||||||
| 250,000 | 6.875%, 10/15/2015 | 272,825 | ||||||
Chile Government International Bond | ||||||||
| 350,000 | 3.875%, 8/5/2020 | 364,000 | ||||||
Export Development Canada | ||||||||
| 150,000 | 0.750%, 12/15/2017 | 146,871 | ||||||
Hashemite Kingdom of Jordan | ||||||||
| 500,000 | 2.503%, 10/30/2020 | 489,722 | ||||||
Hydro-Quebec | ||||||||
| 27,000 | 8.400%, 1/15/2022 | 35,284 | ||||||
Inter-American Development Bank | ||||||||
| 500,000 | 3.000%, 10/4/2023 | 488,922 | ||||||
Kommunalbanken AS | ||||||||
| 470,000 | 1.000%, 9/26/2017d | 463,335 | ||||||
Kommuninvest I Sverige AB | ||||||||
| 325,000 | 1.000%, 10/24/2017d | 320,807 | ||||||
Province of Manitoba | ||||||||
| 600,000 | 1.300%, 4/3/2017 | 604,787 | ||||||
Province of New Brunswick | ||||||||
| 125,000 | 2.750%, 6/15/2018 | 129,294 | ||||||
Province of Quebec | ||||||||
| 400,000 | 4.875%, 5/5/2014 | 406,241 | ||||||
| 400,000 | 7.500%, 7/15/2023 | 510,436 | ||||||
Sweden Government International Bond | ||||||||
| 325,000 | 0.375%, 12/22/2015d | 324,659 | ||||||
| 300,000 | 0.375%, 3/29/2016d | 298,470 | ||||||
|
| |||||||
Total | 4,855,653 | |||||||
|
| |||||||
| Mortgage-Backed Securities (33.6%) |
| ||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 372 | 6.000%, 4/1/2014 | 372 | ||||||
| 345 | 7.000%, 10/1/2014 | 350 | ||||||
| 1,477 | 6.500%, 3/1/2016 | 1,530 | ||||||
| 4,552 | 6.000%, 6/1/2016 | 4,788 | ||||||
| 3,749 | 6.000%, 9/1/2016 | 3,944 | ||||||
| 64,283 | 7.000%, 6/1/2017 | 68,452 | ||||||
| 75,884 | 5.500%, 12/1/2017 | 80,955 | ||||||
| 4,775,000 | 3.000%, 1/1/2029g | 4,863,412 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 3,709 | 6.500%, 4/1/2024 | 4,181 | ||||||
| 2,369 | 7.000%, 5/1/2024 | 2,710 | ||||||
| 1,077 | 7.500%, 8/1/2025 | 1,209 | ||||||
| 9,806 | 8.500%, 11/1/2025 | 11,421 | ||||||
| 1,056 | 8.000%, 1/1/2026 | 1,213 | ||||||
| 1,195 | 7.000%, 4/1/2027 | 1,379 | ||||||
| 1,283 | 7.500%, 7/1/2027 | 1,441 | ||||||
| 2,564 | 7.000%, 8/1/2027 | 2,959 | ||||||
| 1,430 | 7.500%, 10/1/2027 | 1,608 | ||||||
| 1,814 | 7.000%, 5/1/2028 | 2,097 | ||||||
| 4,588 | 6.000%, 8/1/2028 | 5,134 | ||||||
| 3,728 | 6.500%, 2/1/2029 | 4,237 | ||||||
| 8,891 | 6.000%, 3/1/2029 | 9,949 | ||||||
| 6,063 | 7.500%, 10/1/2029 | 6,829 | ||||||
| 2,739 | 7.500%, 11/1/2029 | 3,085 | ||||||
| 3,476 | 6.500%, 5/1/2031 | 3,933 | ||||||
| 13,456 | 6.000%, 6/1/2031 | 15,055 | ||||||
| 4,128 | 7.000%, 6/1/2031 | 4,745 | ||||||
| 3,837 | 7.000%, 6/1/2031 | 4,410 | ||||||
| 6,112 | 6.000%, 7/1/2031 | 6,838 | ||||||
| 4,608 | 7.000%, 9/1/2031 | 5,296 | ||||||
| 9,331 | 6.500%, 10/1/2031 | 10,558 | ||||||
| 12,737 | 6.000%, 1/1/2032 | 14,251 | ||||||
| 54,040 | 6.000%, 1/1/2032 | 60,464 | ||||||
| 10,988 | 7.000%, 5/1/2032 | 12,593 | ||||||
| 66,737 | 6.500%, 7/1/2032 | 75,358 | ||||||
| 71,284 | 6.500%, 10/1/2032 | 80,493 | ||||||
| 83,423 | 6.000%, 11/1/2032 | 93,357 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 7,150,000 | 3.500%, 1/1/2029g | 7,477,057 | ||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 1,939 | 10.500%, 8/1/2020 | 2,182 | ||||||
| 1,669 | 8.000%, 12/1/2024 | 1,906 | ||||||
| 2,986 | 7.000%, 10/1/2025 | 3,424 | ||||||
| 9,483 | 6.500%, 11/1/2025 | 10,682 | ||||||
| 355 | 8.500%, 12/1/2025 | 413 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
318
Bond Index Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (103.0%) | Value | ||||||
| Mortgage-Backed Securities (33.6%) - continued |
| ||||||
| $ | 1,674 | 7.500%, 1/1/2026 | $ | 1,876 | ||||
| 2,200 | 6.500%, 5/1/2026 | 2,490 | ||||||
| 1,344 | 8.000%, 9/1/2026 | 1,542 | ||||||
| 4,441 | 7.500%, 2/1/2027 | 4,980 | ||||||
| 3,191 | 7.000%, 3/1/2027 | 3,669 | ||||||
| 3,903 | 9.000%, 11/1/2027 | 4,586 | ||||||
| 25,232 | 7.500%, 2/1/2028 | 28,325 | ||||||
| 1,292 | 6.000%, 5/1/2028 | 1,451 | ||||||
| 814 | 6.500%, 9/1/2028 | 924 | ||||||
| 5,403 | 7.000%, 10/1/2028 | 6,235 | ||||||
| 19,239 | 7.500%, 11/1/2028 | 21,575 | ||||||
| 4,069 | 6.500%, 2/1/2029 | 4,619 | ||||||
| 10,864 | 6.000%, 3/1/2029 | 12,201 | ||||||
| 2,754 | 7.000%, 3/1/2029 | 3,180 | ||||||
| 14,819 | 6.500%, 4/1/2029 | 16,832 | ||||||
| 845 | 6.500%, 8/1/2029 | 959 | ||||||
| 4,918 | 7.500%, 8/1/2029 | 5,532 | ||||||
| 2,153 | 7.000%, 10/1/2029 | 2,486 | ||||||
| 4,353 | 7.500%, 12/1/2029 | 4,897 | ||||||
| 2,729 | 8.000%, 4/1/2030 | 3,137 | ||||||
| 1,265 | 7.500%, 12/1/2030 | 1,424 | ||||||
| 6,140 | 6.000%, 5/1/2031 | 6,890 | ||||||
| 63,238 | 6.500%, 4/1/2032 | 71,858 | ||||||
| 47,833 | 6.500%, 5/1/2032 | 54,353 | ||||||
| 17,093 | 7.000%, 5/1/2032 | 19,720 | ||||||
| 160,421 | 6.500%, 7/1/2032 | 182,288 | ||||||
| 95,875 | 6.500%, 8/1/2032 | 108,944 | ||||||
| 11,875,000 | 3.500%, 1/1/2044g | 11,796,143 | ||||||
| 14,887,500 | 4.000%, 1/1/2044g | 15,324,820 | ||||||
| 9,550,000 | 4.500%, 1/1/2044g | 10,118,896 | ||||||
Government National Mortgage Association 30-Yr. Pass Through | ||||||||
| 4,029 | 7.500%, 3/15/2023 | 4,512 | ||||||
| 2,154 | 9.000%, 9/15/2024 | 2,502 | ||||||
| 2,331 | 8.000%, 6/15/2025 | 2,667 | ||||||
| 1,664 | 8.000%, 9/15/2026 | 1,905 | ||||||
| 7,193 | 7.500%, 10/15/2027 | 8,148 | ||||||
| 5,031 | 7.000%, 11/15/2027 | 5,811 | ||||||
| 4,307 | 6.500%, 7/15/2028 | 4,901 | ||||||
| 3,898 | 7.000%, 8/15/2028 | 4,510 | ||||||
| 8,419 | 7.500%, 11/15/2028 | 9,546 | ||||||
| 6,353 | 6.500%, 12/15/2028 | 7,229 | ||||||
| 24,776 | 6.500%, 3/15/2029 | 28,217 | ||||||
| 1,080 | 6.500%, 4/15/2029 | 1,230 | ||||||
| 4,071 | 8.000%, 10/15/2030 | 4,673 | ||||||
| 8,449 | 7.500%, 1/15/2031 | 9,606 | ||||||
| 4,379 | 7.000%, 4/15/2031 | 5,063 | ||||||
| 8,549 | 6.500%, 6/15/2031 | 9,750 | ||||||
| 11,554 | 7.000%, 9/15/2031 | 13,358 | ||||||
| 127,780 | 6.500%, 1/15/2032 | 145,778 | ||||||
| 19,119 | 6.500%, 4/15/2032 | 21,812 | ||||||
|
| |||||||
Total | 51,074,320 | |||||||
|
| |||||||
| Technology (0.8%) |
| ||||||
Apple, Inc. | ||||||||
| 400,000 | 2.400%, 5/3/2023 | 359,684 | ||||||
Micron Semiconductor Asia Pte, Ltd. | ||||||||
| 300,000 | 1.258%, 1/15/2019 | 298,952 | ||||||
Motorola Solutions, Inc. | ||||||||
| 250,000 | 3.500%, 3/1/2023 | 231,287 | ||||||
Oracle Corporation | ||||||||
| 325,000 | 1.200%, 10/15/2017 | 319,819 | ||||||
|
| |||||||
Total | 1,209,742 | |||||||
|
| |||||||
| Transportation (1.0%) |
| ||||||
American Airlines Pass Through Trust | ||||||||
| 200,000 | 5.600%, 7/15/2020d | 200,000 | ||||||
Continental Airlines, Inc. | ||||||||
| 341,387 | 4.150%, 4/11/2024 | 345,441 | ||||||
Delta Air Lines, Inc. | ||||||||
| 232,280 | 4.950%, 5/23/2019 | 252,024 | ||||||
TTX Company | ||||||||
| 300,000 | 4.125%, 10/1/2023d | 295,702 | ||||||
Union Pacific Corporation | ||||||||
| 437,000 | 4.163%, 7/15/2022 | 449,579 | ||||||
|
| |||||||
Total | 1,542,746 | |||||||
|
| |||||||
| U.S. Government and Agencies (37.2%) |
| ||||||
Federal Agricultural Mortgage Corporation | ||||||||
| 1,000,000 | 2.125%, 9/15/2015 | 1,028,988 | ||||||
Federal Farm Credit Bank | ||||||||
| 400,000 | 2.210%, 8/1/2024 | 350,560 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 1,000,000 | 1.250%, 8/1/2019 | 951,902 | ||||||
| 325,000 | 1.250%, 10/2/2019 | 307,885 | ||||||
| 1,300,000 | 1.375%, 5/1/2020 | 1,218,768 | ||||||
| 350,000 | 6.750%, 3/15/2031 | 463,080 | ||||||
Federal National Mortgage Association | ||||||||
| 2,000,000 | 0.375%, 7/5/2016 | 1,986,138 | ||||||
| 2,690,000 | 0.875%, 5/21/2018 | 2,602,069 | ||||||
| 500,000 | 5.960%, 9/11/2028 | 595,184 | ||||||
| 100,000 | 6.250%, 5/15/2029 | 125,364 | ||||||
Resolution Funding Corporation | ||||||||
| 200,000 | 8.125%, 10/15/2019 | 259,792 | ||||||
Tennessee Valley Authority | ||||||||
| 350,000 | 5.250%, 9/15/2039 | 373,560 | ||||||
U.S. Treasury Bonds | ||||||||
| 2,500,000 | 5.250%, 11/15/2028 | 3,009,765 | ||||||
| 6,075,000 | 3.000%, 5/15/2042 | 5,094,459 | ||||||
U.S. Treasury Notes | ||||||||
| 3,650,000 | 0.250%, 10/31/2014 | 3,653,135 | ||||||
| 1,425,000 | 2.625%, 2/29/2016 | 1,492,687 | ||||||
| 5,000,000 | 1.000%, 10/31/2016 | 5,037,890 | ||||||
| 9,375,000 | 0.625%, 12/15/2016 | 9,336,919 | ||||||
| 3,250,000 | 3.000%, 2/28/2017 | 3,463,281 | ||||||
| 1,000,000 | 2.250%, 11/30/2017 | 1,037,812 | ||||||
| 3,750,000 | 2.375%, 6/30/2018 | 3,889,159 | ||||||
| 6,075,000 | 1.375%, 1/31/2020 | 5,810,640 | ||||||
| 2,500,000 | 2.000%, 7/31/2020 | 2,455,470 | ||||||
| 1,870,000 | 1.625%, 8/15/2022 | 1,698,925 | ||||||
| 400,000 | 1.750%, 5/15/2023 | 360,531 | ||||||
|
| |||||||
Total | 56,603,963 | |||||||
|
| |||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
319
Bond Index Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (103.0%) | Value | ||||||
| Utilities (2.9%) |
| ||||||
American Electric Power Company, Inc. | ||||||||
| $ | 300,000 | 1.650%, 12/15/2017 | $ | 293,944 | ||||
CenterPoint Energy Houston Electric, LLC | ||||||||
| 400,000 | 5.600%, 7/1/2023 | 441,637 | ||||||
Commonwealth Edison Company | ||||||||
| 275,000 | 5.900%, 3/15/2036 | 314,174 | ||||||
Dayton Power and Light Company | ||||||||
| 300,000 | 1.875%, 9/15/2016d | 302,451 | ||||||
El Paso Pipeline Partners Operating Company, LLC | ||||||||
| 325,000 | 4.700%, 11/1/2042 | 278,225 | ||||||
FirstEnergy Corporation | ||||||||
| 27,000 | 7.375%, 11/15/2031 | 29,338 | ||||||
Kansas City Power & Light Company | ||||||||
| 250,000 | 3.150%, 3/15/2023 | 231,835 | ||||||
MidAmerican Energy Holdings Company | ||||||||
| 155,000 | 1.100%, 5/15/2017d | 154,162 | ||||||
| 185,000 | 5.750%, 4/1/2018 | 211,176 | ||||||
National Rural Utilities Cooperative Finance Corporation | ||||||||
| 27,000 | 8.000%, 3/1/2032 | 36,218 | ||||||
NiSource Finance Corporation | ||||||||
| 350,000 | 3.850%, 2/15/2023 | 336,785 | ||||||
NSTAR Electric Company | ||||||||
| 325,000 | 2.375%, 10/15/2022 | 295,106 | ||||||
ONEOK Partners, LP | ||||||||
| 275,000 | 6.650%, 10/1/2036 | 302,630 | ||||||
PPL Capital Funding, Inc. | ||||||||
| 325,000 | 3.500%, 12/1/2022 | 306,933 | ||||||
Public Service Company of Colorado | ||||||||
| 350,000 | 3.600%, 9/15/2042 | 292,327 | ||||||
Sempra Energy | ||||||||
| 325,000 | 2.300%, 4/1/2017 | 329,210 | ||||||
Southern California Gas Company | ||||||||
| 325,000 | 3.750%, 9/15/2042 | 286,642 | ||||||
|
| |||||||
Total | 4,442,793 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $158,490,775) | 156,583,035 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (29.7%)h | |||||||
Thrivent Cash Management Trust | ||||||||
| 45,080,757 | 0.060% | $ | 45,080,757 | |||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 45,080,757 | |||||||
|
| |||||||
Total Investments (cost $203,571,532) 132.7% | $ | 201,663,792 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (32.7%) | (49,647,014 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 152,016,778 | ||||||
|
| |||||||
| a | All or a portion of the security is insured or guaranteed. |
| b | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2013. |
| 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 Bond Index Portfolio owned as of December 31, 2013. |
Security | Acquisition Date | Cost | ||||||
Preferred Term Securities XXIII, Ltd., 12/22/2036 | 9/14/2006 | $ | 789,179 | |||||
Wachovia Asset Securitization, Inc., 7/25/2037 | 3/16/2007 | 907,802 | ||||||
| d | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2013, the value of these investments was $11,788,180 or 7.8% of total net assets. |
| e | Defaulted security. Interest is not being accrued. |
| f | Security is fair valued. |
| g | Denotes investments purchased on a when-issued or delayed delivery basis. |
| h | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 2,745,530 | ||
Gross unrealized depreciation | (4,812,786 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (2,067,256 | ) | |
Cost for federal income tax purposes | $ | 203,731,048 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
320
Bond Index Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 4,389,719 | — | 4,389,719 | — | ||||||||||||
Basic Materials | 1,901,065 | — | 1,901,065 | — | ||||||||||||
Capital Goods | 912,347 | — | 912,347 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 4,289,560 | — | 4,289,560 | — | ||||||||||||
Communications Services | 1,973,862 | — | 1,973,862 | — | ||||||||||||
Consumer Cyclical | 3,581,398 | — | 3,581,398 | — | ||||||||||||
Consumer Non-Cyclical | 4,170,069 | — | 4,170,069 | — | ||||||||||||
Energy | 1,544,748 | — | 1,544,748 | — | ||||||||||||
Financials^ | 14,091,050 | — | 13,503,593 | 587,457 | ||||||||||||
Foreign Government | 4,855,653 | — | 4,855,653 | — | ||||||||||||
Mortgage-Backed Securities | 51,074,320 | — | 51,074,320 | — | ||||||||||||
Technology | 1,209,742 | — | 1,209,742 | — | ||||||||||||
Transportation | 1,542,746 | — | 1,542,746 | — | ||||||||||||
U.S. Government and Agencies | 56,603,963 | — | 56,603,963 | — | ||||||||||||
Utilities | 4,442,793 | — | 4,442,793 | — | ||||||||||||
Short-Term Investments | 45,080,757 | 45,080,757 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 201,663,792 | $ | 45,080,757 | $ | 155,995,578 | $ | 587,457 | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 2013. Transfers between Levels are identified as of the end of the period.
| ^ | Level 3 security in this section is fair valued at <$1. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, or any affiliated mutual fund.
A summary of transactions for the fiscal year to date, in Bond Index Portfolio, is as follows:
Portfolio | Value December 31, 2012 | Gross Purchases | Gross Sales | Shares Held at December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 1,274,400 | $ | 19,762,668 | $ | 21,037,068 | — | $ | — | $ | 7,095 | |||||||||||||
Cash Management Trust- Short Term Investment | 39,325,747 | 60,999,890 | 55,244,880 | 45,080,757 | 45,080,757 | 32,781 | ||||||||||||||||||
Total Value and Income Earned | 40,600,147 | 45,080,757 | 39,876 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
321
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Bank Loans (5.5%)a | Value | ||||||
| Basic Materials (0.2%) |
| ||||||
Fortescue Metals Group, Ltd., Term Loan | ||||||||
| $ | 1,064,637 | 4.250%, 6/30/2019 | $ | 1,077,614 | ||||
Ineos Group Holdings, Ltd., Term Loan | ||||||||
| 1,232,548 | 4.000%, 5/4/2018 | 1,235,630 | ||||||
|
| |||||||
Total | 2,313,244 | |||||||
|
| |||||||
| Capital Goods (0.3%) | |||||||
ADS Waste Holdings, Term Loan | ||||||||
| 1,228,968 | 4.250%, 10/9/2019 | 1,234,425 | ||||||
Berry Plastics Group, Inc., Term Loan | ||||||||
| 957,763 | 3.500%, 2/8/2020 | 953,769 | ||||||
Rexnord, LLC, Term Loan | ||||||||
| 688,275 | 4.000%, 8/21/2020 | 689,706 | ||||||
Silver II Borrower, Term Loan | ||||||||
| 676,182 | 4.000%, 12/13/2019 | 676,886 | ||||||
|
| |||||||
Total | 3,554,786 | |||||||
|
| |||||||
| Communications Services (1.9%) | |||||||
Cincinnati Bell, Inc., Term Loan | ||||||||
| 344,137 | 4.000%, 9/10/2020 | 344,568 | ||||||
Clear Channel Communications, Inc., Term Loan | ||||||||
| 12,551 | 3.819%, 1/29/2016 | 12,141 | ||||||
| 995,670 | 6.919%, 1/30/2019 | 949,620 | ||||||
| 231,780 | 7.669%, 7/30/2019 | 228,159 | ||||||
Cricket Communications, Inc., Term Loan | ||||||||
| 686,550 | 4.750%, 3/8/2020 | 688,836 | ||||||
Fairpoint Communications, Term Loan | ||||||||
| 273,622 | 7.500%, 2/14/2019 b,c | 282,446 | ||||||
Grande Communications Networks, LLC, Term Loan | ||||||||
| 960,175 | 4.500%, 5/29/2020 | 958,178 | ||||||
Hargray Communications Group, Inc., Term Loan | ||||||||
| 1,233,800 | 4.750%, 6/26/2019 | 1,239,969 | ||||||
Integra Telecom Holdings, Inc., Term Loan | ||||||||
| 1,206,509 | 5.250%, 2/22/2019 | 1,221,084 | ||||||
Level 3 Communications, Inc., Term Loan | ||||||||
| 275,000 | 4.000%, 8/1/2019 | 276,260 | ||||||
| 410,000 | 4.000%, 1/15/2020 | 412,821 | ||||||
LTS Buyer, LLC, Term Loan | ||||||||
| 686,550 | 4.500%, 4/13/2020 | 688,912 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
| 857,874 | 9.000%, 3/22/2019 | 872,526 | ||||||
NEP Broadcasting, LLC, Term Loan | ||||||||
| 955,350 | 4.750%, 1/22/2020 | 957,977 | ||||||
NTelos, Inc., Term Loan | ||||||||
| 686,524 | 5.750%, 11/9/2019 | 687,670 | ||||||
Puerto Rico Cable Acquisition Company, Inc., Term Loan | ||||||||
| 1,593,627 | 5.500%, 7/31/2018 | 1,594,296 | ||||||
RCN Telecom Services, LLC, Term Loan | ||||||||
| 1,191,061 | 4.500%, 3/1/2020 | 1,199,565 | ||||||
TNS, Inc., Term Loan | ||||||||
| 1,154,246 | 5.000%, 2/14/2020 | 1,159,659 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
| 1,206,509 | 4.500%, 3/1/2020 | 1,212,976 | ||||||
Virgin Media Investment | ||||||||
Holdings, Ltd., Term Loan | ||||||||
| 1,215,000 | 3.500%, 6/8/2020 | 1,216,823 | ||||||
Visant Corporation, Term Loan | ||||||||
| 480,000 | 5.250%, 12/22/2016 | 472,402 | ||||||
WideOpenWest Finance, LLC, Term Loan | ||||||||
| 1,206,509 | 4.750%, 4/1/2019 | 1,211,335 | ||||||
WMG Acquisition Corporation, Term Loan | ||||||||
| 962,587 | 3.750%, 7/1/2020 | 961,866 | ||||||
Zayo Group, LLC, Term Loan | ||||||||
| 1,204,042 | 4.000%, 7/2/2019 | 1,204,319 | ||||||
|
| |||||||
Total | 20,054,408 | |||||||
|
| |||||||
| Consumer Cyclical (1.0%) | |||||||
Bally Technologies, Inc., Term Loan | ||||||||
| 359,100 | 4.250%, 11/25/2020 | 361,456 | ||||||
Booz Allen Hamilton, Inc., Term Loan | ||||||||
| 407,935 | 3.750%, 7/31/2019 | 408,881 | ||||||
Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
| 688,271 | 4.250%, 2/23/2017 | 694,293 | ||||||
Cenveo Corporation, Term Loan | ||||||||
| 269,439 | 6.250%, 2/13/2017 | 270,562 | ||||||
Ceridian Corporation, Term Loan | ||||||||
| 1,375,000 | 4.415%, 5/9/2017 | 1,378,864 | ||||||
Chrysler Group, LLC, Term Loan | ||||||||
| 957,634 | 3.875%, 5/24/2017 | 963,351 | ||||||
J.C. Penney Corporation, Inc., Term Loan | ||||||||
| 1,233,800 | 6.000%, 5/22/2018 | 1,205,423 | ||||||
MGM Resorts International, Term Loan | ||||||||
| 1,036,266 | 3.500%, 12/20/2019 | 1,038,214 | ||||||
ROC Finance, LLC, Term Loan | ||||||||
| 962,587 | 5.000%, 6/20/2019 | 920,176 | ||||||
Scientific Games International, Inc., Term Loan | ||||||||
| 1,240,000 | 4.250%, 10/18/2020 | 1,240,310 | ||||||
Seminole Hard Rock Entertainment, Inc., Term Loan | ||||||||
| 482,575 | 3.500%, 5/14/2020 | 482,174 | ||||||
Seminole Indian Tribe of Florida, Term Loan | ||||||||
| 914,337 | 3.000%, 4/29/2020 | 912,335 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
322
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2012
| Principal Amount | Bank Loans (5.5%)a | Value | ||||||
| Consumer Cyclical (1.0%) - continued | |||||||
Toys R Us, Inc., Term Loan | ||||||||
| $ | 686,375 | 5.250%, 5/25/2018 | $ | 577,845 | ||||
|
| |||||||
Total | 10,453,884 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.7%) | |||||||
Albertsons, Inc., Term Loan | ||||||||
| 1,229,511 | 4.750%, 3/21/2019b,c | 1,235,142 | ||||||
Biomet, Inc., Term Loan | ||||||||
| 1,368,125 | 3.670%, 7/25/2017 | 1,375,827 | ||||||
Del Monte Corporation, Term Loan | ||||||||
| 150,318 | 4.000%, 3/8/2018 | 150,665 | ||||||
JBS USA, LLC, Term Loan | ||||||||
| 686,533 | 3.750%, 5/25/2018 | 686,533 | ||||||
Roundy’s Supermarkets, Inc., Term Loan | ||||||||
| 535,049 | 5.750%, 2/13/2019 | 534,466 | ||||||
Supervalu, Inc., Term Loan | ||||||||
| 1,909,630 | 5.000%, 3/21/2019 | 1,926,034 | ||||||
Van Wagner Communications, LLC, Term Loan | ||||||||
| 1,024,650 | 6.250%, 8/3/2018 | 1,036,177 | ||||||
|
| |||||||
Total | 6,944,844 | |||||||
|
| |||||||
| Energy (0.2%) | |||||||
Arch Coal, Inc., Term Loan | ||||||||
| 686,520 | 6.250%, 5/16/2018 | 676,366 | ||||||
Offshore Group Investment, Ltd., Term Loan | ||||||||
| 481,362 | 5.750%, 3/28/2019 | 486,629 | ||||||
Pacific Drilling SA, Term Loan | ||||||||
| 1,208,925 | 4.500%, 6/3/2018 | 1,221,776 | ||||||
|
| |||||||
Total | 2,384,771 | |||||||
|
| |||||||
| Financials (0.3%) | |||||||
Harland Clarke Holdings Corporation, Term Loan | ||||||||
| 1,224,500 | 7.000%, 5/22/2018 | 1,231,933 | ||||||
Intelsat Jackson Holdings SA, Term Loan | ||||||||
| 1,019,311 | 3.750%, 6/30/2019 | 1,026,160 | ||||||
WaveDivision Holdings, LLC, Term Loan | ||||||||
| 955,350 | 4.000%, 10/12/2019 | 958,932 | ||||||
|
| |||||||
Total | 3,217,025 | |||||||
|
| |||||||
| Technology (0.4%) | |||||||
BMC Software, Inc., Term Loan | ||||||||
| 1,375,000 | 5.000%, 9/10/2020 | 1,381,449 | ||||||
First Data Corporation Extended, Term Loan | ||||||||
| 1,240,000 | 4.166%, 3/23/2018 | 1,240,856 | ||||||
Freescale Semiconductor, Inc., Term Loan | ||||||||
| 1,206,509 | 5.000%, 3/1/2020 | 1,217,923 | ||||||
SunGard Data Systems, Inc., Term Loan | ||||||||
| 476,400 | 4.000%, 3/8/2020 | 479,377 | ||||||
|
| |||||||
Total | 4,319,605 | |||||||
|
| |||||||
| Transportation (0.3%) |
| ||||||
American Airlines, Inc., Term Loan | ||||||||
| 1,368,125 | 3.750%, 6/27/2019 | 1,374,966 | ||||||
American Petroleum Tankers Parent, LLC, Term Loan | ||||||||
| 889,041 | 4.750%, 10/2/2019 | 889,041 | ||||||
U.S. Airways, Inc., Term Loan | ||||||||
| 1,215,000 | 4.000%, 5/23/2019 | 1,221,986 | ||||||
|
| |||||||
Total | 3,485,993 | |||||||
|
| |||||||
| Utilities (0.2%) | |||||||
Calpine Corporation, Term Loan | ||||||||
| 955,178 | 4.000%, 4/1/2018 | 960,690 | ||||||
| 240,000 | 4.000%, 10/31/2020 | 241,286 | ||||||
Intergen NV, Term Loan | ||||||||
| 1,208,925 | 5.500%, 6/15/2020 | 1,217,992 | ||||||
Total | 2,419,968 | |||||||
|
| |||||||
Total Bank Loans (cost $59,023,336) | 59,148,528 | |||||||
|
| |||||||
Long-Term Fixed Income (92.5%) | ||||||||
| Asset-Backed Securities (15.3%) |
| ||||||
Avis Budget Rental Car Funding AESOP, LLC | ||||||||
| 9,000,000 | 2.370%, 11/20/2014d | 9,101,421 | ||||||
Citibank Omni Master Trust | ||||||||
| 6,000,000 | 4.900%, 11/15/2018d | 6,219,846 | ||||||
Countrywide Home Loans, Inc. | ||||||||
| 1,359,159 | 6.085%, 6/25/2021e | 1,584,033 | ||||||
Credit Based Asset Servicing and Securitization, LLC | ||||||||
| 1,684,688 | 5.501%, 12/25/2036 | 1,095,447 | ||||||
Edlinc Student Loan Funding Trust | ||||||||
| 3,066,113 | 3.170%, 10/1/2025f,g | 3,035,452 | ||||||
Education Loan Asset-Backed Trust I | ||||||||
| 3,489,056 | 0.615%, 6/25/2022d,g | 3,488,072 | ||||||
Enterprise Fleet Financing, LLC | ||||||||
| 522,745 | 1.430%, 10/20/2016d | 522,999 | ||||||
| 1,554,755 | 0.720%, 4/20/2018d | 1,554,693 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates | ||||||||
| 215,069 | 5.500%, 3/25/2036f,h | 2 | ||||||
First Horizon ABS Trust | ||||||||
| 479,279 | 0.295%, 9/25/2029e,g | 444,961 | ||||||
Fosse Master Issuer plc | ||||||||
| 4,644,448 | 1.646%, 10/18/2054d,g | 4,667,284 | ||||||
GE Dealer Floorplan Master Note Trust | ||||||||
| 6,000,000 | 0.607%, 10/20/2017g | 6,004,908 | ||||||
| 6,500,000 | 0.567%, 4/20/2018g | 6,504,524 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
| 1,053,984 | 0.345%, 8/25/2035e,g | 883,741 | ||||||
| 1,432,620 | 5.750%, 10/25/2036e | 1,390,372 | ||||||
| 2,524,972 | 0.345%, 12/25/2036e,g | 2,132,013 | ||||||
Golden Credit Card Trust | ||||||||
| 7,200,000 | 0.419%, 2/15/2018d,g | 7,187,638 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
323
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (92.5%) | Value | ||||||
| Asset-Backed Securities (15.3%) - continued |
| ||||||
| $ | 1,000,000 | 0.597%, 9/15/2018d,g | $ | 1,001,090 | ||||
Great America Leasing Receivables | ||||||||
| 3,000,000 | 0.780%, 6/15/2016d | 3,000,099 | ||||||
Master Credit Card Trust | ||||||||
| 10,000,000 | 0.780%, 4/21/2017d | 9,983,570 | ||||||
Montana Higher Education Student Assistance Corporation | ||||||||
| 901,319 | 0.767%, 9/20/2022g | 901,796 | ||||||
Mortgage Equity Conversion Asset Trust | ||||||||
| 5,157,791 | 0.630%, 1/25/2042f,g | 3,765,187 | ||||||
| 5,098,211 | 0.600%, 2/25/2042f,g | 3,823,658 | ||||||
Nationstar Agency Advance Funding Trust | ||||||||
| 4,200,000 | 0.997%, 2/15/2045d | 4,173,498 | ||||||
Nissan Master Owner Trust Receivables | ||||||||
| 9,000,000 | 0.467%, 2/15/2018g | 8,998,065 | ||||||
Northstar Education Finance, Inc. | ||||||||
| 4,301,449 | 0.865%, 12/26/2031d,g | 4,294,288 | ||||||
Penarth Master Issuer plc | ||||||||
| 5,500,000 | 0.555%, 11/18/2017d,g | 5,495,864 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
| 3,583,913 | 5.608%, 5/25/2036 | 2,420,173 | ||||||
| 1,228,483 | 5.285%, 1/25/2037 | 666,264 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
| 6,000,000 | 0.700%, 9/15/2017 | 6,001,566 | ||||||
SLM Student Loan Trust | ||||||||
| 5,019,660 | 0.308%, 4/27/2020g | 5,013,746 | ||||||
| 2,594,056 | 1.267%, 12/15/2021d,g | 2,606,061 | ||||||
| 5,146,155 | 0.308%, 4/25/2022g | 5,133,357 | ||||||
| 2,744,516 | 0.767%, 8/15/2022d,g | 2,740,325 | ||||||
| 1,155,436 | 0.318%, 4/25/2023g | 1,155,946 | ||||||
| 4,258,850 | 0.917%, 10/16/2023d,g | 4,261,533 | ||||||
| 2,441,257 | 0.565%, 3/25/2025g | 2,433,372 | ||||||
| 7,427,171 | 0.685%, 3/25/2026g | 7,432,311 | ||||||
| 2,700,000 | 1.217%, 5/17/2027d,g | 2,662,986 | ||||||
Volvo Financial Equipment, LLC | ||||||||
| 5,000,000 | 0.740%, 3/15/2017d | 4,995,870 | ||||||
Wachovia Asset Securitization, Inc. | ||||||||
| 1,134,752 | 0.305%, 7/25/2037e,f,g | 995,432 | ||||||
Wachovia Student Loan Trust | ||||||||
| 1,951,477 | 0.348%, 7/27/2020g | 1,949,895 | ||||||
World Financial Network Credit Card Master Trust | ||||||||
| 4,000,000 | 0.910%, 3/16/2020 | 3,974,420 | ||||||
World Omni Auto Receivables Trust | ||||||||
| 4,000,000 | 1.330%, 1/15/2018 | 4,047,388 | ||||||
World Omni Master Owner Trust | ||||||||
| 5,400,000 | 0.517%, 2/15/2018d,g | 5,402,317 | ||||||
|
| |||||||
Total | 165,147,483 | |||||||
|
| |||||||
| Banking-Domestic (0.2%) | |||||||
Bank of New York Mellon Corporation | ||||||||
| 2,500,000 | 1.088%, 11/24/2014g | 2,518,873 | ||||||
|
| |||||||
Total | 2,518,873 | |||||||
|
| |||||||
| Basic Materials (0.9%) | |||||||
Dow Chemical Company | ||||||||
| 2,000,000 | 2.500%, 2/15/2016 | 2,061,198 | ||||||
Freeport-McMoRan Copper & Gold, Inc. | ||||||||
| 1,000,000 | 2.375%, 3/15/2018 | 997,557 | ||||||
Glencore Funding, LLC | ||||||||
| 1,400,000 | 1.604%, 1/15/2019 d,g | 1,373,259 | ||||||
Mosaic Company | ||||||||
| 500,000 | 4.250%, 11/15/2023 | 493,798 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
| 1,875,000 | 2.050%, 10/23/2015d | 1,898,863 | ||||||
| 2,825,000 | 2.700%, 10/25/2017d | 2,857,066 | ||||||
|
| |||||||
Total | 9,681,741 | |||||||
|
| |||||||
| Capital Goods (1.1%) | |||||||
Eaton Corporation | ||||||||
| 2,000,000 | 1.500%, 11/2/2017 | 1,960,664 | ||||||
John Deere Capital Corporation | ||||||||
| 3,000,000 | 0.343%, 10/8/2014g | 3,001,671 | ||||||
Precision Castparts Corporation | ||||||||
| 2,025,000 | 1.250%, 1/15/2018 | 1,971,339 | ||||||
Roper Industries, Inc. | ||||||||
| 2,250,000 | 1.850%, 11/15/2017 | 2,230,342 | ||||||
Textron, Inc. | ||||||||
| 2,700,000 | 6.200%, 3/15/2015 | 2,864,195 | ||||||
|
| |||||||
Total | 12,028,211 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (4.0%) | |||||||
American Home Mortgage Assets Trust | ||||||||
| 2,954,900 | 1.064%, 11/25/2046g | 1,499,715 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
| 1,378,073 | 2.430%, 10/25/2035g | 1,353,537 | ||||||
Countrywide Alternative Loan Trust | ||||||||
| 804,722 | 5.500%, 11/25/2035 | 800,609 | ||||||
| 845,762 | 5.500%, 2/25/2036 | 755,220 | ||||||
| 1,502,539 | 6.000%, 1/25/2037 | 1,276,416 | ||||||
Countrywide Home Loans, Inc. | ||||||||
| 1,953,649 | 2.536%, 3/20/2036 | 1,549,939 | ||||||
| 1,796,443 | 2.604%, 9/20/2036 | 1,266,869 | ||||||
Deutsche Alt-A Securities, Inc., Mortgage Loan Trust | ||||||||
| 3,460,371 | 0.900%, 4/25/2047g | 2,855,809 | ||||||
GSR Mortgage Loan Trust | ||||||||
| 1,912,152 | 0.355%, 8/25/2046g | 1,882,213 | ||||||
HarborView Mortgage Loan Trust | ||||||||
| 2,085,990 | 2.388%, 6/19/2034 | 2,080,634 | ||||||
HomeBanc Mortgage Trust | ||||||||
| 1,742,034 | 2.409%, 4/25/2037 | 1,211,408 | ||||||
Impac CMB Trust | ||||||||
| 866,824 | 0.685%, 4/25/2035g | 789,950 | ||||||
| 621,236 | 0.805%, 8/25/2035g | 537,349 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
324
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (92.5%) | Value | ||||||
| Collateralized Mortgage Obligations (4.0%) - continued |
| ||||||
J.P. Morgan Alternative Loan Trust | ||||||||
| $3,032,474 | 2.622%, 3/25/2036 | $ | 2,373,997 | |||||
J.P. Morgan Mortgage Trust | ||||||||
| 468,428 | 2.665%, 10/25/2036 | 388,161 | ||||||
Master Asset Securitization Trust | ||||||||
| 1,689,004 | 0.665%, 6/25/2036g | 1,060,811 | ||||||
Residential Accredit Loans, Inc. | ||||||||
| 1,541,862 | 3.531%, 9/25/2035 | 1,264,527 | ||||||
Sequoia Mortgage Trust | ||||||||
| 1,657,052 | 0.765%, 9/20/2034g | 1,565,530 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
| 41,638 | 5.500%, 12/25/2034 | 40,283 | ||||||
Vericrest Opportunity Loan Transferee | ||||||||
| 3,500,000 | 3.625%, 11/25/2053f | 3,486,000 | ||||||
Wachovia Mortgage Loan Trust, LLC | ||||||||
| 1,594,203 | 2.790%, 5/20/2036 | 1,349,138 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
| 994,214 | 0.455%, 10/25/2045g | 920,496 | ||||||
| 3,001,057 | 1.009%, 10/25/2046g | 2,371,784 | ||||||
| 2,950,405 | 0.949%, 12/25/2046g | 2,425,935 | ||||||
| 3,111,157 | 0.869%, 1/25/2047g | 2,509,288 | ||||||
Washington Mutual Alternative Mortgage Pass Through Certificates | ||||||||
| 2,389,146 | 1.049%, 9/25/2046g | 1,422,228 | ||||||
| 3,960,639 | 0.889%, 2/25/2047g | 2,662,457 | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
| 1,150,089 | 2.619%, 3/25/2036 | 1,126,013 | ||||||
| 1,596,685 | 2.628%, 3/25/2036 | 1,593,544 | ||||||
|
| |||||||
| Total | 44,419,860 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (5.4%) |
| ||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
| 387,010 | 5.654%, 6/11/2040 | 385,850 | ||||||
| 2,000,000 | 5.331%, 2/11/2044 | 2,172,336 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
| 1,250,000 | 5.705%, 12/10/2049 | 1,397,980 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage | ||||||||
| 3,000,000 | 5.322%, 12/11/2049 | 3,285,324 | ||||||
Commercial Mortgage Pass-Through Certificates | ||||||||
| 5,000,000 | 1.218%, 6/8/2030d,g | 4,987,780 | ||||||
| 1,500,000 | 5.306%, 12/10/2046 | 1,634,308 | ||||||
Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
| 4,611,107 | 4.691%, 4/15/2037 | 4,677,668 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
| 3,746,201 | 5.467%, 9/15/2039 | 4,075,229 | ||||||
Government National Mortgage Association | ||||||||
| 952,638 | 2.870%, 3/16/2051 | 962,055 | ||||||
| 2,459,658 | 2.164%, 3/16/2033 | 2,471,710 | ||||||
| 1,251,111 | 3.214%, 1/16/2040 | 1,269,554 | ||||||
Greenwich Capital Commercial Funding Corporation | ||||||||
| 5,500,000 | 5.224%, 4/10/2037 | 5,800,179 | ||||||
GS Mortgage Securities Corporation II | ||||||||
| 4,800,000 | 1.018%, 11/8/2029d,g | 4,772,957 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
| 6,500,000 | 5.429%, 12/12/2043 | 7,034,839 | ||||||
Morgan Stanley Capital, Inc. | ||||||||
| 2,692,755 | 5.597%, 4/12/2049 | 2,730,806 | ||||||
NCUA Guaranteed Notes | ||||||||
| 5,000,000 | 2.900%, 10/29/2020 | 5,164,795 | ||||||
SCG Trust 2013-SRP1 | ||||||||
| 3,150,000 | 1.567%, 11/15/2026d,g | 3,153,629 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
| 2,109,842 | 5.765%, 7/15/2045 | 2,265,937 | ||||||
|
| |||||||
| Total | 58,242,936 | |||||||
|
| |||||||
| Communications Services (2.3%) |
| ||||||
America Movil SAB de CV | ||||||||
| 3,000,000 | 1.244%, 9/12/2016g | 3,031,122 | ||||||
AT&T, Inc. | ||||||||
| 2,000,000 | 1.400%, 12/1/2017 | 1,971,690 | ||||||
| 2,070,000 | 1.146%, 11/27/2018g | 2,085,769 | ||||||
British Telecommunications plc | ||||||||
| 1,500,000 | 1.625%, 6/28/2016 | 1,513,218 | ||||||
Crown Castle Towers, LLC | ||||||||
| 2,500,000 | 3.214%, 8/15/2015d | 2,548,890 | ||||||
| 1,650,000 | 4.174%, 8/15/2017d | 1,740,366 | ||||||
DIRECTV Holdings, LLC | ||||||||
| 1,125,000 | 1.750%, 1/15/2018 | 1,103,589 | ||||||
GTP Acquisition Partners I, LLC | ||||||||
| 2,000,000 | 4.347%, 6/15/2016d | 2,104,924 | ||||||
NBC Universal Enterprise, Inc. | ||||||||
| 2,250,000 | 1.662%, 4/15/2018d | 2,197,489 | ||||||
SBA Tower Trust | ||||||||
| 4,500,000 | 4.254%, 4/15/2015d | 4,556,205 | ||||||
Verizon Communications, Inc. | ||||||||
| 1,650,000 | 1.773%, 9/15/2016g | 1,699,878 | ||||||
|
| |||||||
| Total | 24,553,140 | |||||||
|
| |||||||
| Consumer Cyclical (2.5%) |
| ||||||
Amazon.com, Inc. | ||||||||
| 2,125,000 | 1.200%, 11/29/2017 | 2,080,573 | ||||||
American Honda Finance Corporation | ||||||||
| 5,000,000 | 1.850%, 9/19/2014d | 5,049,135 | ||||||
Daimler Finance North America, LLC | ||||||||
| 4,000,000 | 0.857%, 3/28/2014d,g | 4,005,536 | ||||||
Ford Motor Credit Company, LLC | ||||||||
| 2,000,000 | 4.207%, 4/15/2016 | 2,131,076 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
325
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (92.5%) | Value | ||||||
| Consumer Cyclical (2.5%) - continued |
| ||||||
| $2,050,000 | 3.984%, 6/15/2016 | $ | 2,179,968 | |||||
| 1,000,000 | 3.000%, 6/12/2017 | 1,039,318 | ||||||
Home Depot, Inc. | ||||||||
| 2,000,000 | 2.250%, 9/10/2018 | 2,027,506 | ||||||
Hyundai Capital America | ||||||||
| 2,750,000 | 1.875%, 8/9/2016d | 2,759,963 | ||||||
Viacom, Inc. | ||||||||
| 1,250,000 | 2.500%, 9/1/2018 | 1,260,076 | ||||||
Volkswagen International Finance NV | ||||||||
| 4,000,000 | 1.625%, 3/22/2015d | 4,045,136 | ||||||
|
| |||||||
| Total | 26,578,287 | |||||||
|
| |||||||
| Consumer Non-Cyclical (4.0%) |
| ||||||
AbbVie, Inc. | ||||||||
| 1,500,000 | 1.200%, 11/6/2015 | 1,515,246 | ||||||
| 1,250,000 | 1.750%, 11/6/2017 | 1,247,859 | ||||||
Allergan, Inc. | ||||||||
| 1,250,000 | 1.350%, 3/15/2018 | 1,218,100 | ||||||
Altria Group, Inc. | ||||||||
| 500,000 | 2.850%, 8/9/2022 | 460,360 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 3,150,000 | 1.375%, 7/15/2017 | 3,143,385 | ||||||
Cargill, Inc. | ||||||||
| 2,146,000 | 4.307%, 5/14/2021d | 2,227,003 | ||||||
Celgene Corporation | ||||||||
| 2,500,000 | 1.900%, 8/15/2017 | 2,488,170 | ||||||
Coca-Cola Enterprises, Inc. | ||||||||
| 3,000,000 | 3.500%, 9/15/2020 | 2,998,866 | ||||||
ConAgra Foods, Inc. | ||||||||
| 1,400,000 | 1.300%, 1/25/2016 | 1,402,426 | ||||||
Dr Pepper Snapple Group, Inc. | ||||||||
| 500,000 | 2.000%, 1/15/2020 | 471,113 | ||||||
Edwards Lifesciences Corporation | ||||||||
| 1,500,000 | 2.875%, 10/15/2018 | 1,491,246 | ||||||
Express Scripts Holding Company | ||||||||
| 3,000,000 | 2.650%, 2/15/2017 | 3,092,025 | ||||||
Heineken NV | ||||||||
| 2,650,000 | 1.400%, 10/1/2017d | 2,599,843 | ||||||
Howard Hughes Medical Institute | ||||||||
| 1,500,000 | 3.500%, 9/1/2023 | 1,475,040 | ||||||
Japan Tobacco, Inc. | ||||||||
| 2,500,000 | 2.100%, 7/23/2018d | 2,493,087 | ||||||
Kroger Company | ||||||||
| 1,830,000 | 0.804%, 10/17/2016g | 1,834,015 | ||||||
Medtronic, Inc. | ||||||||
| 2,000,000 | 1.375%, 4/1/2018 | 1,963,296 | ||||||
SABMiller Holdings, Inc. | ||||||||
| 2,500,000 | 2.450%, 1/15/2017d | 2,559,965 | ||||||
Sanofi | ||||||||
| 1,500,000 | 1.250%, 4/10/2018 | 1,460,421 | ||||||
Teva Pharmaceutical Finance III BV | ||||||||
| 3,000,000 | 0.746%, 3/21/2014g | 3,002,226 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
| 1,700,000 | 1.300%, 2/1/2017 | 1,692,614 | ||||||
Unilever Capital Corporation | ||||||||
| 2,600,000 | 2.200%, 3/6/2019 | 2,596,662 | ||||||
|
| |||||||
| Total | 43,432,968 | |||||||
|
| |||||||
| Energy (1.2%) |
| ||||||
Cameron International Corporation | ||||||||
| 3,000,000 | 1.169%, 6/2/2014g | 3,008,841 | ||||||
Chevron Corporation | ||||||||
| 3,000,000 | 1.718%, 6/24/2018 | 2,988,678 | ||||||
Gazprom Neft OAO Via GPN Capital SA | ||||||||
| 605,000 | 6.000%, 11/27/2023d | 614,075 | ||||||
International Petroleum Investment Company, Ltd. | ||||||||
| 2,000,000 | 3.125%, 11/15/2015d | 2,067,500 | ||||||
Petroleos Mexicanos | ||||||||
| 1,500,000 | 2.266%, 7/18/2018g | 1,545,000 | ||||||
| 1,000,000 | 3.500%, 7/18/2018 | 1,026,250 | ||||||
Weatherford International, Ltd. | ||||||||
| 1,500,000 | 6.000%, 3/15/2018 | 1,683,431 | ||||||
|
| |||||||
| Total | 12,933,775 | |||||||
|
| |||||||
| Financials (23.3%) |
| ||||||
Achmea Hypotheekbank NV | ||||||||
| 805,000 | 3.200%, 11/3/2014d | 823,853 | ||||||
American International Group, Inc. | ||||||||
| 2,000,000 | 5.050%, 10/1/2015 | 2,142,088 | ||||||
American Tower Trust I | ||||||||
| 1,650,000 | 1.551%, 3/15/2018d | 1,610,367 | ||||||
Australia and New Zealand Banking Group, Ltd. | ||||||||
| 5,000,000 | 2.400%, 11/23/2016d | 5,177,000 | ||||||
Aviation Capital Group Corporation | ||||||||
| 1,350,000 | 3.875%, 9/27/2016d | 1,394,399 | ||||||
Bank Nederlandse Gemeenten NV | ||||||||
| 1,000,000 | 1.375%, 3/19/2018d,i | 982,200 | ||||||
Bank of America Corporation | ||||||||
| 1,500,000 | 1.500%, 10/9/2015 | 1,515,103 | ||||||
| 2,000,000 | 5.625%, 10/14/2016 | 2,228,766 | ||||||
| 2,000,000 | 1.316%, 3/22/2018g | 2,026,560 | ||||||
Bank of Montreal | ||||||||
| 6,000,000 | 2.625%, 1/25/2016d | 6,241,800 | ||||||
| 1,500,000 | 0.843%, 4/9/2018g | 1,507,563 | ||||||
Bank of New York Mellon Corporation | ||||||||
| 2,500,000 | 1.700%, 11/24/2014 | 2,527,030 | ||||||
| 675,000 | 4.500%, 12/29/2049j | 612,563 | ||||||
Bank of Nova Scotia | ||||||||
| 3,000,000 | 2.150%, 8/3/2016d | 3,089,739 | ||||||
Barclays Bank plc | ||||||||
| 5,000,000 | 2.500%, 9/21/2015d | 5,154,690 | ||||||
BBVA Banco Continental SA | ||||||||
| 2,000,000 | 2.250%, 7/29/2016d | 1,990,000 | ||||||
Bear Stearns Companies, LLC | ||||||||
| 2,500,000 | 6.400%, 10/2/2017 | 2,901,402 | ||||||
Berkshire Hathaway Finance Corporation | ||||||||
| 3,000,000 | 2.450%, 12/15/2015 | 3,108,984 | ||||||
Caisse Centrale Desjardins du Quebec | ||||||||
| 4,000,000 | 2.550%, 3/24/2016d | 4,162,000 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
326
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (92.5%) | Value | ||||||
| Financials (23.3%) - continued |
| ||||||
Canadian Imperial Bank of Commerce | ||||||||
| $5,000,000 | 0.900%, 9/19/2014d | $ | 5,021,500 | |||||
Capital One Financial Corporation | ||||||||
| 3,000,000 | 1.394%, 7/15/2014g | 3,013,575 | ||||||
CDP Financial, Inc. | ||||||||
| 4,000,000 | 3.000%, 11/25/2014d | 4,096,828 | ||||||
Chesapeake Funding, LLC | ||||||||
| 2,881,289 | 0.618%, 5/7/2024d,g | 2,876,746 | ||||||
CNA Financial Corporation | ||||||||
| 3,000,000 | 6.500%, 8/15/2016 | 3,373,977 | ||||||
CoBank ACB | ||||||||
| 2,060,000 | 0.843%, 6/15/2022f,g | 1,887,475 | ||||||
Commonwealth Bank of Australia | ||||||||
| 3,500,000 | 0.750%, 1/15/2016d,i | 3,501,750 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
| 3,000,000 | 3.200%, 3/11/2015d | 3,093,369 | ||||||
| 1,000,000 | 4.625%, 12/1/2023 | 1,007,018 | ||||||
Credit Agricole Home Loan SFH | ||||||||
| 4,500,000 | 0.992%, 7/21/2014d,g | 4,513,576 | ||||||
Credit Suisse AG Guernsey | ||||||||
| 2,000,000 | 2.600%, 5/27/2016d | 2,080,328 | ||||||
Credit Suisse Group AG | ||||||||
| 1,500,000 | 6.500%, 8/8/2023d | 1,595,625 | ||||||
| 990,000 | 7.500%, 12/11/2049d,j | 1,045,688 | ||||||
DnB Boligkreditt AS | ||||||||
| 4,900,000 | 1.450%, 3/21/2018d | 4,789,260 | ||||||
General Electric Capital Corporation | ||||||||
| 4,500,000 | 1.243%, 3/15/2023g | 4,476,929 | ||||||
Goldman Sachs Group, Inc. | ||||||||
| 3,550,000 | 2.375%, 1/22/2018 | 3,563,494 | ||||||
| 1,915,000 | 1.341%, 11/15/2018g | 1,919,493 | ||||||
HCP, Inc. | ||||||||
| 2,000,000 | 2.700%, 2/1/2014 | 1,998,040 | ||||||
HSBC Bank plc | ||||||||
| 5,000,000 | 1.625%, 7/7/2014d,i | 5,030,895 | ||||||
ING Bank NV | ||||||||
| 5,000,000 | 2.500%, 1/14/2016d | 5,158,500 | ||||||
ING Capital Funding Trust III | ||||||||
| 1,000,000 | 3.847%, 12/29/2049g,j | 996,250 | ||||||
ING US, Inc. | ||||||||
| 500,000 | 5.650%, 5/15/2053 | 486,250 | ||||||
| 1,500,000 | 2.900%, 2/15/2018 | 1,534,179 | ||||||
International Lease Finance Corporation | ||||||||
| 1,100,000 | 8.625%, 9/15/2015 | 1,221,000 | ||||||
J.P. Morgan Chase & Company | ||||||||
| 4,000,000 | 1.138%, 1/25/2018g | 4,039,968 | ||||||
| 1,450,000 | 7.900%, 4/29/2049j | 1,598,625 | ||||||
| 375,000 | 6.000%, 12/29/2049j | 358,594 | ||||||
J.P. Morgan Chase Bank NA | ||||||||
| 1,800,000 | 5.875%, 6/13/2016 | 1,996,360 | ||||||
Kilroy Realty, LP | ||||||||
| 750,000 | 3.800%, 1/15/2023 | 699,416 | ||||||
Landwirtschaftliche Rentenbank | ||||||||
| 7,000,000 | 0.443%, 3/15/2016d,g | 7,023,884 | ||||||
Lloyds TSB Bank plc | ||||||||
| 300,000 | 6.500%, 9/14/2020d | 341,022 | ||||||
Macquarie Bank, Ltd. | ||||||||
| 2,275,000 | 5.000%, 2/22/2017d | 2,467,101 | ||||||
MassMutual Global Funding II | ||||||||
| 3,500,000 | 2.000%, 4/5/2017d | 3,510,283 | ||||||
Metropolitan Life Global Funding I | ||||||||
| 3,250,000 | 3.650%, 6/14/2018d | 3,426,530 | ||||||
Morgan Stanley | ||||||||
| 975,000 | 4.100%, 5/22/2023 | 943,557 | ||||||
| 1,750,000 | 5.000%, 11/24/2025 | 1,755,233 | ||||||
Morgan Stanley Mortgage Loan Trust | ||||||||
| 2,000,000 | 5.750%, 10/18/2016 | 2,232,394 | ||||||
National Australia Bank, Ltd. | ||||||||
| 2,250,000 | 0.541%, 1/22/2015d,g | 2,255,737 | ||||||
| 3,350,000 | 2.000%, 6/20/2017d | 3,412,310 | ||||||
National Bank of Canada | ||||||||
| 2,750,000 | 2.200%, 10/19/2016d | 2,838,278 | ||||||
NCUA Guaranteed Notes | ||||||||
| 2,504,299 | 0.521%, 12/7/2020g | 2,506,625 | ||||||
Nederlandse Waterschapsbank NV | ||||||||
| 2,250,000 | 0.750%, 3/29/2016d | 2,248,641 | ||||||
Network Rail Infrastructure Finance plc | ||||||||
| 6,000,000 | 0.875%, 5/15/2018d | 5,813,280 | ||||||
New York Life Global Funding | ||||||||
| 6,000,000 | 3.000%, 5/4/2015d | 6,191,820 | ||||||
Norddeutsche Landesbank Girozentrale | ||||||||
| 2,000,000 | 0.875%, 10/16/2015d | 2,007,000 | ||||||
Nordea Bank AB | ||||||||
| 2,500,000 | 3.125%, 3/20/2017d | 2,614,202 | ||||||
North American Development Bank | ||||||||
| 2,200,000 | 2.300%, 10/10/2018 | 2,166,318 | ||||||
Principal Life Global Funding II | ||||||||
| 2,250,000 | 1.000%, 12/11/2015d | 2,254,579 | ||||||
Private Export Funding Corporation | ||||||||
| 5,000,000 | 2.125%, 7/15/2016 | 5,186,305 | ||||||
Prudential Covered Trust | ||||||||
| 3,230,000 | 2.997%, 9/30/2015d | 3,330,062 | ||||||
Realty Income Corporation | ||||||||
| 1,500,000 | 2.000%, 1/31/2018 | 1,469,040 | ||||||
Royal Bank of Canada | ||||||||
| 4,000,000 | 1.200%, 9/19/2017 | 3,963,332 | ||||||
Royal Bank of Scotland Group plc | ||||||||
| 1,000,000 | 6.125%, 12/15/2022 | 1,022,001 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
| 2,100,000 | 1.750%, 3/19/2018d | 2,057,215 | ||||||
| 2,500,000 | 1.375%, 5/29/2018d | 2,433,750 | ||||||
SLM Corporation | ||||||||
| 700,000 | 4.625%, 9/25/2017 | 726,615 | ||||||
SpareBank 1 Boligkreditt AS | ||||||||
| 3,000,000 | 1.250%, 5/2/2018d | 2,902,800 | ||||||
Stadshypotek AB | ||||||||
| 2,000,000 | 1.875%, 10/2/2019d | 1,927,600 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
327
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (92.5%) | Value | ||||||
| Financials (23.3%) - continued |
| ||||||
Standard Chartered plc | ||||||||
| $1,225,000 | 3.950%, 1/11/2023d | $ | 1,136,214 | |||||
Svensk Exportkredit AB | ||||||||
| 3,500,000 | 0.539%, 1/23/2017g | 3,509,657 | ||||||
| 1,500,000 | 1.125%, 4/5/2018i | 1,463,310 | ||||||
Svenska Handelsbanken AB | ||||||||
| 2,750,000 | 0.696%, 3/21/2016g | 2,756,254 | ||||||
Swedbank AB | ||||||||
| 1,750,000 | 1.750%, 3/12/2018d | 1,719,421 | ||||||
Swedbank Hypotek AB | ||||||||
| 5,000,000 | 0.697%, 3/28/2014d,g | 5,005,535 | ||||||
Toronto-Dominion Bank | ||||||||
| 3,000,000 | 2.200%, 7/29/2015d | 3,079,500 | ||||||
| 3,100,000 | 0.702%, 9/9/2016g | 3,109,151 | ||||||
U.S. Bank National Association | ||||||||
| 4,000,000 | 3.778%, 4/29/2020 | 4,139,440 | ||||||
UBS AG/London | ||||||||
| 5,000,000 | 1.875%, 1/23/2015d | 5,070,000 | ||||||
Union Bank NA | ||||||||
| 1,900,000 | 1.500%, 9/26/2016 | 1,921,538 | ||||||
Wachovia Corporation | ||||||||
| 1,000,000 | 0.513%, 6/15/2017g | 992,241 | ||||||
WEA Finance, LLC/WT Finance Australia, Pty, Ltd. | ||||||||
| 3,350,000 | 5.750%, 9/2/2015d | 3,613,394 | ||||||
Wells Fargo & Company | ||||||||
| 4,500,000 | 2.625%, 12/15/2016 | 4,712,773 | ||||||
| 925,000 | 3.450%, 2/13/2023 | 874,527 | ||||||
Westpac Banking Corporation | ||||||||
| 2,500,000 | 1.250%, 12/15/2017d | 2,459,500 | ||||||
|
| |||||||
| Total | 252,760,784 | |||||||
|
| |||||||
| Foreign Government (5.4%) |
| ||||||
Canada Government International Bond | ||||||||
| 8,500,000 | 0.875%, 2/14/2017 | 8,500,145 | ||||||
Eksportfinans ASA | ||||||||
| 2,450,000 | 2.375%, 5/25/2016 | 2,410,187 | ||||||
European Investment Bank | ||||||||
| 6,000,000 | 1.750%, 3/15/2017 | 6,135,420 | ||||||
Hydro Quebec | ||||||||
| 3,000,000 | 2.000%, 6/30/2016 | 3,080,400 | ||||||
Inter-American Development Bank | ||||||||
| 3,750,000 | 0.211%, 2/11/2016g | 3,747,911 | ||||||
International Finance Corporation | ||||||||
| 3,090,000 | 0.500%, 5/16/2016 | 3,084,070 | ||||||
Japan Bank for International Cooperation | ||||||||
| 4,000,000 | 1.750%, 7/31/2018 | 3,967,532 | ||||||
Kommunalbanken AS | ||||||||
| 6,000,000 | 2.750%, 5/5/2015d | 6,189,540 | ||||||
Kommuninvest I Sverige AB | ||||||||
| 3,500,000 | 1.000%, 10/24/2017d | 3,454,850 | ||||||
Mexico Government International Bond | ||||||||
| 1,250,000 | 5.125%, 1/15/2020 | 1,385,000 | ||||||
Province of British Columbia | ||||||||
| 6,500,000 | 2.100%, 5/18/2016 | 6,711,900 | ||||||
Province of Manitoba | ||||||||
| 5,100,000 | 1.300%, 4/3/2017 | 5,140,693 | ||||||
Province of Ontario | ||||||||
| 3,500,000 | 0.289%, 8/13/2015g | 3,497,928 | ||||||
| 2,000,000 | 1.000%, 7/22/2016 | 2,006,810 | ||||||
|
| |||||||
| Total | 59,312,386 | |||||||
|
| |||||||
| Mortgage-Backed Securities (7.6%) |
| ||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
| 25,250,000 | 3.000%, 1/1/2029c | 25,717,519 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
| 1,107,103 | 6.500%, 9/1/2037 | 1,239,447 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
| 5,517,730 | 2.250%, 6/25/2025 | 5,625,927 | ||||||
| 22,350,000 | 3.500%, 1/1/2029c | 23,372,338 | ||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
| 1,512,363 | 5.807%, 9/1/2037g | 1,627,147 | ||||||
| 935,424 | 5.560%, 10/1/2037g | 1,004,436 | ||||||
| 5,366,478 | 2.080%, 1/1/2043g | 5,474,736 | ||||||
| 9,509,012 | 2.059%, 3/1/2043g | 9,703,875 | ||||||
| 8,259,815 | 1.753%, 7/1/2043g | 8,317,672 | ||||||
|
| |||||||
| Total | 82,083,097 | |||||||
|
| |||||||
| Technology (1.1%) |
| ||||||
Affiliated Computer Services, Inc. | ||||||||
| 2,000,000 | 5.200%, 6/1/2015 | 2,109,736 | ||||||
Apple, Inc. | ||||||||
| 2,500,000 | 1.000%, 5/3/2018 | 2,417,368 | ||||||
Micron Semiconductor Asia Pte, Ltd. | ||||||||
| 1,375,000 | 1.258%, 1/15/2019 | 1,370,197 | ||||||
Oracle Corporation | ||||||||
| 2,750,000 | 2.375%, 1/15/2019 | 2,774,618 | ||||||
Xerox Corporation | ||||||||
| 3,000,000 | 1.059%, 5/16/2014g | 3,002,481 | ||||||
|
| |||||||
| Total | 11,674,400 | |||||||
|
| |||||||
| Transportation (1.7%) |
| ||||||
American Airlines Pass Through Trust | ||||||||
| 1,550,000 | 5.600%, 7/15/2020d | 1,550,000 | ||||||
| 1,500,000 | 4.950%, 1/15/2023d | 1,545,938 | ||||||
British Airways plc | ||||||||
| 1,500,000 | 4.625%, 6/20/2024d | 1,563,750 | ||||||
Canadian National Railway Company | ||||||||
| 2,105,000 | 0.438%, 11/6/2015g | 2,106,532 | ||||||
Continental Airlines, Inc. | ||||||||
| 3,170,020 | 4.150%, 4/11/2024 | 3,207,664 | ||||||
CSX Corporation | ||||||||
| 2,500,000 | 6.250%, 4/1/2015 | 2,672,110 | ||||||
Delta Air Lines, Inc. | ||||||||
| 883,433 | 4.750%, 5/7/2020 | 945,274 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
328
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2013
| Principal Amount | Long-Term Fixed Income (92.5%) | Value | ||||||
| Transportation (1.7%) - continued |
| ||||||
Kansas City Southern de Mexico SA de CV | ||||||||
| $1,640,000 | 0.937%, 10/28/2016g | $ | 1,640,444 | |||||
TTX Company | ||||||||
| 800,000 | 4.125%, 10/1/2023d | 788,539 | ||||||
Virgin Australia Holdings, Ltd. | ||||||||
| 1,850,000 | 5.000%, 10/23/2023d | 1,888,156 | ||||||
|
| |||||||
| Total | 17,908,407 | |||||||
|
| |||||||
| U.S. Government and Agencies (15.6%) |
| ||||||
Federal Agricultural Mortgage Corporation | ||||||||
| 3,500,000 | 2.000%, 7/27/2016 | 3,612,959 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
| 500,000 | 1.250%, 8/1/2019 | 475,951 | ||||||
| 4,000,000 | 1.250%, 10/2/2019 | 3,789,348 | ||||||
Federal National Mortgage Association | ||||||||
| 9,000,000 | 0.875%, 2/8/2018 | 8,773,020 | ||||||
| 5,000,000 | 0.875%, 5/21/2018 | 4,836,560 | ||||||
U.S. Treasury Bonds | ||||||||
| 2,200,000 | 3.000%, 5/15/2042 | 1,844,907 | ||||||
U.S. Treasury Notes | ||||||||
| 17,325,000 | 0.625%, 10/15/2016 | 17,292,516 | ||||||
| 79,200,000 | 0.875%, 1/31/2018 | 77,690,290 | ||||||
| 200,000 | 1.000%, 5/31/2018 | 195,625 | ||||||
| 8,250,000 | 2.375%, 6/30/2018 | 8,556,149 | ||||||
| 3,000,000 | 1.250%, 10/31/2018 | 2,941,173 | ||||||
| 22,395,000 | 1.375%, 1/31/2020 | 21,420,459 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
| 1,540,875 | 0.125%, 4/15/2018 | 1,571,572 | ||||||
| 907,561 | 1.125%, 1/15/2021 | 953,862 | ||||||
| 8,461,982 | 0.125%, 1/15/2022 | 8,132,768 | ||||||
| 6,906,142 | 0.125%, 1/15/2023 | 6,522,533 | ||||||
|
| |||||||
| Total | 168,609,692 | |||||||
|
| |||||||
| Utilities (0.9%) |
| ||||||
Dayton Power and Light Company | ||||||||
| 1,200,000 | 1.875%, 9/15/2016d | 1,209,804 | ||||||
Electricite de France SA | ||||||||
| 1,500,000 | 5.250%, 12/29/2049d,j | 1,491,750 | ||||||
MidAmerican Energy Holdings Company | ||||||||
| 1,063,000 | 1.100%, 5/15/2017d | 1,057,250 | ||||||
| 1,267,000 | 5.750%, 4/1/2018 | 1,446,272 | ||||||
National Rural Utilities Cooperative Finance Corporation | ||||||||
| 1,150,000 | 4.750%, 4/30/2043 | 1,070,938 | ||||||
Northeast Utilities | ||||||||
| 1,250,000 | 1.450%, 5/1/2018 | 1,210,676 | ||||||
Sempra Energy | ||||||||
| 2,425,000 | 2.300%, 4/1/2017 | 2,456,411 | ||||||
|
| |||||||
| Total | 9,943,101 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $1,011,137,831) | 1,001,829,141 | |||||||
|
| |||||||
| Shares | Preferred Stock (0.5%) | |||||||
| Financials (0.3%) |
| ||||||
| 8,125 | Farm Credit Bank of Texas, 6.750%d,j | 815,039 | ||||||
| 66,000 | HSBC Holdings plc, 8.000%j | 1,778,040 | ||||||
| 20,000 | The Allstate Corporation, 5.100% | 482,200 | ||||||
| 23,000 | The Goldman Sachs Group, Inc., 5.500%j | 512,670 | ||||||
|
| |||||||
| Total | 3,587,949 | |||||||
|
| |||||||
| Utilities (0.2%) |
| ||||||
| 24,375 | Southern California Edison Company, 5.070%g,j | 2,458,828 | ||||||
|
| |||||||
| Total | 2,458,828 | |||||||
|
| |||||||
Total Preferred Stock (cost $5,956,719) | 6,046,777 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.4%) | ||||||||
| 4,107,820 | Thrivent Cash Management Trust | 4,107,820 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $4,107,820) | 4,107,820 | |||||||
|
| |||||||
| Shares or Principal Amount | Short-Term Investments (5.7%)k | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
| 1,300,000 | 0.100%, 4/23/2014l | 1,299,596 | ||||||
| 200,000 | 0.120%, 5/28/2014l | 199,902 | ||||||
Thrivent Cash Management Trust | ||||||||
| 59,226,574 | 0.060% | 59,226,574 | ||||||
U.S. Treasury Bills | ||||||||
| 1,000,000 | 0.070%, 4/24/2014m | 999,780 | ||||||
|
| |||||||
| Total Short-Term Investments (at amortized cost) | 61,725,852 | |||||||
|
| |||||||
| Total Investments (cost $1,141,951,558) 104.6% | $ | 1,132,858,118 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (4.6%) | (50,329,920 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 1,082,528,198 | ||||||
|
| |||||||
| a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
| b | All or a portion of the loan is unfunded. |
| c | Denotes investments purchased on a when-issued or delayed delivery basis. |
| d | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2013, the value of these investments was $320,096,512 or 29.6% of total net assets. |
| e | All or a portion of the security is insured or guaranteed. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
329
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 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 Limited Maturity Bond Portfolio owned as of December 31, 2013. |
Security | Acquisition Date | Cost | ||||||
CoBank ACB, 6/15/2022 | 10/18/2013 | $ | 1,901,915 | |||||
Edlinc Student Loan Funding Trust, 10/1/2025 | 11/29/2012 | $ | 3,092,870 | |||||
First Franklin Mortgage Loan Asset-Backed Certificates, 3/25/2036 | 4/19/2006 | $ | 214,738 | |||||
Mortgage Equity Conversion Asset Trust, 1/25/2042 | 1/18/2007 | $ | 5,157,791 | |||||
Mortgage Equity Conversion Asset Trust, 2/25/2042 | 2/14/2007 | $ | 5,098,211 | |||||
Vericrest Opportunity Loan Transferee, 11/25/2053 | 12/18/2013 | $ | 3,486,134 | |||||
Wachovia Asset Securitization, Inc., 7/25/2037 | 3/16/2007 | $ | 1,134,752 | |||||
| g | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 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 December 31, 2013, $1,499,498 of investments were held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
| m | At December 31, 2013, $899,802 of investments were pledged as collateral with the custodian under the agreement between the counterparty, the custodian and the fund for open swap 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 | $ | 14,144,016 | ||
Gross unrealized depreciation | (23,244,942 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (9,100,926 | ) | |
Cost for federal income tax purposes | $ | 1,141,959,044 | ||
The accompanying Notes to Financial Statements are an integral part of this schedule.
330
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 2,313,244 | — | 2,313,244 | — | ||||||||||||
Capital Goods | 3,554,786 | — | 3,554,786 | — | ||||||||||||
Communications Services | 20,054,408 | — | 20,054,408 | — | ||||||||||||
Consumer Cyclical | 10,453,884 | — | 10,453,884 | — | ||||||||||||
Consumer Non-Cyclical | 6,944,844 | — | 6,944,844 | — | ||||||||||||
Energy | 2,384,771 | — | 2,384,771 | — | ||||||||||||
Financials | 3,217,025 | — | 3,217,025 | — | ||||||||||||
Technology | 4,319,605 | — | 4,319,605 | — | ||||||||||||
Transportation | 3,485,993 | — | 3,485,993 | — | ||||||||||||
Utilities | 2,419,968 | — | 2,419,968 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 165,147,483 | — | 150,349,688 | 14,797,795 | ||||||||||||
Banking-Domestic | 2,518,873 | — | 2,518,873 | — | ||||||||||||
Basic Materials | 9,681,741 | — | 9,681,741 | — | ||||||||||||
Capital Goods | 12,028,211 | — | 12,028,211 | — | ||||||||||||
Collateralized Mortgage Obligations | 44,419,860 | — | 44,419,860 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 58,242,936 | — | 58,242,936 | — | ||||||||||||
Communications Services | 24,553,140 | — | 24,553,140 | — | ||||||||||||
Consumer Cyclical | 26,578,287 | — | 26,578,287 | — | ||||||||||||
Consumer Non-Cyclical | 43,432,968 | — | 43,432,968 | — | ||||||||||||
Energy | 12,933,775 | — | 12,933,775 | — | ||||||||||||
Financials | 252,760,784 | — | 250,873,309 | 1,887,475 | ||||||||||||
Foreign Government | 59,312,386 | — | 59,312,386 | — | ||||||||||||
Mortgage-Backed Securities | 82,083,097 | — | 82,083,097 | — | ||||||||||||
Technology | 11,674,400 | — | 11,674,400 | — | ||||||||||||
Transportation | 17,908,407 | — | 17,908,407 | — | ||||||||||||
U.S. Government and Agencies | 168,609,692 | — | 168,609,692 | — | ||||||||||||
Utilities | 9,943,101 | — | 9,943,101 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 3,587,949 | 2,772,910 | 815,039 | — | ||||||||||||
Utilities | 2,458,828 | — | 2,458,828 | — | ||||||||||||
Collateral Held for Securities Loaned | 4,107,820 | 4,107,820 | — | — | ||||||||||||
Short-Term Investments | 61,725,852 | 59,226,574 | 2,499,278 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,132,858,118 | $ | 66,107,304 | $ | 1,050,065,544 | $ | 16,685,270 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 2,380,260 | 2,380,260 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 2,380,260 | $ | 2,380,260 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 12,125 | 12,125 | — | — | ||||||||||||
Credit Default Swaps | 431,919 | — | 431,919 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 444,044 | $ | 12,125 | $ | 431,919 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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.
331
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2013
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||
5-Yr. U.S. Treasury Bond Futures | (965 | ) | March 2014 | ($ | 116,709,281 | ) | ($ | 115,136,563 | ) | $ | 1,572,718 | |||||||
10-Yr. U.S. Treasury Bond Futures | (345 | ) | March 2014 | (43,258,715 | ) | (42,451,173 | ) | 807,542 | ||||||||||
30-Yr. U.S. Treasury Bond Futures | 5 | March 2014 | 653,687 | 641,562 | (12,125 | ) | ||||||||||||
Total Futures Contracts | $ | 2,368,135 | ||||||||||||||||
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Value3 | Unrealized Gain/(Loss) | |||||||||||||
CDX HY 21, 5 Year, at 5.00%; J.P. Morgan Chase and Co. | Buy | 12/20/2018 | $ | 22,000,000 | ($ | 431,919 | ) | ($ | 431,919 | ) | ||||||||
Total Credit Default Swaps | ($ | 431,919 | ) | ($ | 431,919 | ) | ||||||||||||
| 1 | As the buyer of protection, Limited Maturity Bond Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, Limited Maturity Bond Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
| 2 | The maximum potential amount of future payments Limited Maturity Bond Portfolio could be required to make as the seller or receive as the buyer of protection. |
| 3 | The values for credit indexes (CDX or LCDX) serve as an indicator of the current status of the payment/performance risk and represent the liability or profit for the credit default swap contract had the contract been closed as of the reporting date. When protection has been sold, the value of the swap will increase when the swap spread declines representing an improvement in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. When protection has been purchased, the value of the swap will increase when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread declines representing an improvement in the reference entity’s credit worthiness. |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 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 | 2,380,260 | ||||
Total Interest Rate Contracts | 2,380,260 | |||||
|
| |||||
Total Asset Derivatives | $ | 2,380,260 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 12,125 | ||||
Total Interest Rate Contracts | 12,125 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 431,919 | ||||
Total Credit Contracts | 431,919 | |||||
|
| |||||
Total Liability Derivatives | $ | 444,044 | ||||
|
| |||||
| * | 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.
332
Limited Maturity Bond Portfolio
Schedule of Investments as of December 31, 2013
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 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 | ||||
Equity Contracts | ||||||
Options Purchased | Net realized gains/(losses) on Investments | 156,744 | ||||
Total Equity Contracts | 156,744 | |||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 4,378,457 | ||||
Total Interest Rate Contracts | 4,378,457 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (1,240,838 | ) | |||
Total Credit Contracts | (1,240,838 | ) | ||||
|
| |||||
Total | $ | 3,294,363 | ||||
|
| |||||
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 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 | 1,724,974 | ||||
Total Interest Rate Contracts | 1,724,974 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (38,582 | ) | |||
Total Credit Contracts | (38,582 | ) | ||||
|
| |||||
Total | $ | 1,686,392 | ||||
|
| |||||
The following table presents Limited Maturity Bond Portfolio’s average volume of derivative activity during the period ended December 31, 2013.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | Swaps (Notional)* | Swaps (Percentage of Average Net Assets) | Options (Contracts) | |||||||||||||||
Equity Contracts | N/A | N/A | % | N/A | N/A | 95 | ||||||||||||||
Interest Rate Contracts | $ | 239,060,090 | 21.0 | N/A | N/A | N/A | ||||||||||||||
Credit Contracts | N/A | N/A | $ | 16,973,660 | 1.5 | % | 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 Limited Maturity Bond Portfolio, is as follows:
Portfolio | Value December 31, 2012 | Gross Purchases | Gross Sales | Shares Held at December 31, 2013 | Value December 31, 2013 | Income Earned January 1, 2013 - December 31, 2013 | ||||||||||||||||||
High Yield Fund | $ | 18,329,255 | $ | — | $ | 18,009,522 | — | $ | — | $ | 666,882 | |||||||||||||
Cash Management Trust- Collateral Investment | 10,526,150 | 157,924,418 | 164,342,748 | 4,107,820 | 4,107,820 | 30,997 | ||||||||||||||||||
Cash Management Trust- Short Term Investment | 48,536,050 | 412,290,728 | 401,600,204 | 59,226,574 | 59,226,574 | 44,519 | ||||||||||||||||||
Total Value and Income Earned | 77,391,455 | 63,334,394 | 742,398 | |||||||||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
333
Schedule of Investments as of December 31, 2013
| Principal Amount | Asset Backed Commercial Paper (22.4%)a | Value | ||||||
Barton Capital, LLC | ||||||||
| $1,760,000 | 0.060%, 1/6/2014b | $ | 1,759,985 | |||||
Chariot Funding, LLC | ||||||||
| 725,000 | 0.230%, 6/16/2014b | 724,231 | ||||||
Dealers Capital Access Trust, LLC | ||||||||
| 2,160,000 | 0.253%, 1/8/2014b | 2,159,894 | ||||||
| 1,150,000 | 0.250%, 1/29/2014b | 1,149,776 | ||||||
Golden Funding Corporation | ||||||||
| 1,100,000 | 0.170%, 1/6/2014b | 1,099,974 | ||||||
| 1,400,000 | 0.190%, 1/24/2014b | 1,399,830 | ||||||
| 1,455,000 | 0.200%, 3/3/2014b | 1,454,507 | ||||||
Nieuw Amsterdam Receivables Corporation | ||||||||
| 1,400,000 | 0.200%, 1/8/2014b,c | 1,399,946 | ||||||
| 1,400,000 | 0.140%, 1/22/2014b | 1,399,886 | ||||||
| 1,460,000 | 0.175%, 3/11/2014b | 1,459,510 | ||||||
Old Line Funding, LLC | ||||||||
| 1,800,000 | 0.120%, 1/13/2014b | 1,799,928 | ||||||
| 1,360,000 | 0.210%, 3/10/2014b,c | 1,360,000 | ||||||
| 1,415,000 | 0.200%, 4/10/2014b | 1,414,222 | ||||||
Starbird Funding Corporation | ||||||||
| 7,000,000 | 0.050%, 1/2/2014b | 6,999,990 | ||||||
Sydney Capital Corporation | ||||||||
| 1,500,000 | 0.240%, 1/24/2014b,c | 1,499,770 | ||||||
| 1,420,000 | 0.220%, 2/25/2014b | 1,419,523 | ||||||
| 1,450,000 | 0.200%, 3/17/2014b | 1,449,396 | ||||||
Thunder Bay Funding, LLC | ||||||||
| 1,460,000 | 0.200%, 4/10/2014b | 1,459,197 | ||||||
| 1,450,000 | 0.230%, 6/17/2014b | 1,448,453 | ||||||
|
| |||||||
| Total | 32,858,018 | |||||||
|
| |||||||
Certificate of Deposit (11.8%)a | ||||||||
Bank of Montreal Chicago | ||||||||
| 1,370,000 | 0.418%, 7/24/2014d | 1,371,216 | ||||||
Bank of Nova Scotia | ||||||||
| 1,400,000 | 0.175%, 3/25/2014d | 1,399,977 | ||||||
Bank of Nova Scotia/Houston | ||||||||
| 1,500,000 | 0.260%, 10/24/2014d | 1,500,000 | ||||||
JP Morgan Chase Company | ||||||||
| 730,000 | 0.370%, 7/30/2014 | 730,085 | ||||||
Kells Funding, LLC | ||||||||
| 1,400,000 | 0.242%, 10/8/2014b,c,d | 1,400,000 | ||||||
| 1,470,000 | 0.256%, 11/17/2014b,c,d | 1,469,993 | ||||||
Rabobank Nederland | ||||||||
| 1,360,000 | 0.272%, 4/29/2014d | 1,360,063 | ||||||
| 1,140,000 | 0.284%, 7/10/2014d | 1,140,000 | ||||||
| 1,380,000 | 0.328%, 12/1/2014d | 1,380,000 | ||||||
Royal Bank of Canada | ||||||||
| 1,350,000 | 0.300%, 2/28/2014d | 1,350,000 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
| 1,380,000 | 0.293%, 9/16/2014d | 1,380,000 | ||||||
Toronto Dominion Bank of New York | ||||||||
| 1,440,000 | 0.225%, 11/18/2014d | 1,440,000 | ||||||
Wells Fargo Bank NA | ||||||||
| 1,400,000 | 0.222%, 4/17/2014d | 1,400,000 | ||||||
|
| |||||||
| Total | 17,321,334 | |||||||
|
| |||||||
Financial Company Commercial Paper (9.2%)a | ||||||||
AllianceBernstein, LP | ||||||||
| 1,535,000 | 0.320%, 1/21/2014c | 1,534,727 | ||||||
| 700,000 | 0.200%, 1/27/2014 | 699,899 | ||||||
BNP Paribas Finance, Inc. | ||||||||
| 1,400,000 | 0.160%, 2/6/2014 | 1,399,776 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
| 1,420,000 | 0.275%, 4/1/2014c | 1,419,024 | ||||||
Societe Generale North America, Inc. | ||||||||
| 1,400,000 | 0.250%, 2/3/2014 | 1,399,679 | ||||||
US Bank NA | ||||||||
| 7,000,000 | 0.100%, 1/2/2014 | 7,000,000 | ||||||
|
| |||||||
| Total | 13,453,105 | |||||||
|
| |||||||
Government Agency Debt (20.4%)a | ||||||||
Federal Agricultural Mortgage Corporation | ||||||||
| 1,500,000 | 0.350%, 7/1/2015d | 1,503,640 | ||||||
Federal Home Loan Bank | ||||||||
| 1,420,000 | 0.170%, 2/24/2014d | 1,420,000 | ||||||
| 360,000 | 0.068%, 2/28/2014 | 359,960 | ||||||
| 1,050,000 | 0.220%, 2/28/2014d | 1,050,067 | ||||||
| 1,385,000 | 0.683%, 4/8/2014d | 1,386,656 | ||||||
| 1,410,000 | 0.220%, 6/4/2014d | 1,410,422 | ||||||
Overseas Private Investment Corporation | ||||||||
| 1,206,895 | 0.120%, 1/1/2014d | 1,206,895 | ||||||
| 1,390,000 | 0.120%, 1/7/2014d | 1,390,000 | ||||||
| 1,840,000 | 0.120%, 1/7/2014d | 1,840,000 | ||||||
| 2,300,000 | 0.120%, 1/7/2014d | 2,300,000 | ||||||
| 1,420,000 | 0.120%, 1/7/2014d | 1,420,000 | ||||||
| 1,410,000 | 0.120%, 1/7/2014d | 1,410,000 | ||||||
| 950,000 | 0.120%, 1/7/2014d | 950,000 | ||||||
| 1,308,420 | 0.294%, 4/15/2014 | 1,768,442 | ||||||
| 3,000,000 | 0.400%, 5/2/2014 | 3,008,017 | ||||||
| 2,270,000 | 0.400%, 5/2/2014 | 2,276,066 | ||||||
| 1,000,000 | 0.176%, 9/7/2014 | 1,001,655 | ||||||
| 2,920,000 | 0.300%, 12/9/2014 | 2,920,551 | ||||||
| 1,470,000 | 0.300%, 12/10/2014 | 1,470,266 | ||||||
|
| |||||||
| Total | 30,092,637 | |||||||
|
| |||||||
| Shares | Investment Company (7.1%) | |||||||
BlackRock Cash Funds | ||||||||
| 6,533,000 | 0.080% | 6,533,000 | ||||||
Dreyfus Institutional Cash Advantage Fund | ||||||||
| 670,000 | 0.060% | 670,000 | ||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
334
Money Market Portfolio
Schedule of Investments as of December 31, 2013
| Shares | Investment Company (7.1%) | Value | ||||||
DWS Money Market Series | ||||||||
| $3,150,037 | 0.050% | $ | 3,150,037 | |||||
|
| |||||||
| Total | 10,353,037 | |||||||
|
| |||||||
| Principal Amount | Other Commercial Paper (6.6%)a | |||||||
Caisse d’Amortissement de la Dette Sociale | ||||||||
| 1,000,000 | 0.150%, 2/3/2014 | 999,862 | ||||||
| 1,150,000 | 0.190%, 2/7/2014 | 1,149,775 | ||||||
Caisse des Depots et Consignations | ||||||||
| 1,420,000 | 0.180%, 1/29/2014c | 1,419,801 | ||||||
Cargill Global Funding plc | ||||||||
| 1,410,000 | 0.060%, 1/2/2014 | 1,409,998 | ||||||
COFCO Capital Corporation | ||||||||
| 1,450,000 | 0.180%, 1/23/2014 | 1,449,840 | ||||||
Reckitt Benckiser Treasury Services plc | ||||||||
| 920,000 | 0.220%, 3/18/2014c | 919,573 | ||||||
| 1,420,000 | 0.350%, 9/12/2014c | 1,416,493 | ||||||
Schlumberger Investment SA | ||||||||
| 750,000 | 0.230%, 1/28/2014c | 749,871 | ||||||
|
| |||||||
| Total | 9,515,213 | |||||||
|
| |||||||
Other Note (19.8%)a | ||||||||
Bank of Montreal | ||||||||
| 1,218,000 | 1.750%, 4/29/2014 | 1,223,623 | ||||||
Bank of New York Mellon Corporation | ||||||||
| 1,400,000 | 0.522%, 1/31/2014d | 1,400,367 | ||||||
| 800,000 | 4.300%, 5/15/2014 | 812,053 | ||||||
| 1,875,000 | 0.508%, 7/28/2014d | 1,877,993 | ||||||
| 1,150,000 | 1.088%, 11/24/2014d | 1,158,593 | ||||||
BHP Billiton Finance USA, Ltd. | ||||||||
| 900,000 | 0.508%, 2/18/2014d | 900,341 | ||||||
General Electric Capital Corporation | ||||||||
| 1,400,000 | 1.093%, 1/7/2014b,d | 1,400,199 | ||||||
| 860,000 | 0.375%, 3/20/2014b,d | 860,221 | ||||||
| 1,400,000 | 0.873%, 4/7/2014b,d | 1,402,415 | ||||||
John Deere Capital Corporation | ||||||||
| 1,150,000 | 0.343%, 10/8/2014d | 1,150,771 | ||||||
KFW | ||||||||
| 800,000 | 0.424%, 1/17/2014d | 800,086 | ||||||
Nederlandse Waterschapsbank NV | ||||||||
| 1,480,000 | 0.288%, 10/27/2014c,d | 1,480,387 | ||||||
Nordea Bank AB | ||||||||
| 825,000 | 2.125%, 1/14/2014c | 825,508 | ||||||
Novartis Capital Corporation | ||||||||
| 1,400,000 | 4.125%, 2/10/2014 | 1,405,684 | ||||||
Royal Bank of Canada | ||||||||
| 1,400,000 | 0.346%, 7/3/2014d | 1,400,000 | ||||||
| 700,000 | 0.293%, 10/7/2014c,d | 700,000 | ||||||
SSIF Nevada, LP | ||||||||
| 1,400,000 | 0.944%, 4/14/2014c,d | 1,402,571 | ||||||
Target Corporation | ||||||||
| 708,000 | 0.416%, 7/18/2014d | 708,891 | ||||||
Total Capital Canada, Ltd. | ||||||||
| 1,440,000 | 0.624%, 1/17/2014d | 1,440,267 | ||||||
| 1,380,000 | 1.625%, 1/28/2014 | 1,381,437 | ||||||
Wal-Mart Stores, Inc. | ||||||||
| 1,460,000 | 1.625%, 4/15/2014 | 1,466,074 | ||||||
Wells Fargo Bank NA | ||||||||
| 1,370,000 | 0.293%, 7/14/2014d | 1,370,000 | ||||||
Westpac Banking Corporation | ||||||||
| 1,110,000 | 1.168%, 2/24/2014c,d | 1,111,515 | ||||||
| 1,380,000 | 0.226%, 9/19/2014c,d | 1,379,911 | ||||||
|
| |||||||
| Total | 29,058,907 | |||||||
|
| |||||||
Treasury Debt (1.4%)a | ||||||||
U.S. Treasury Notes | ||||||||
| 2,000,000 | 0.250%, 4/30/2014 | 2,000,553 | ||||||
|
| |||||||
| Total | 2,000,553 | |||||||
|
| |||||||
Variable Rate Demand Note (1.3%)a | ||||||||
Louisiana Housing Finance Agency Qualified Gulf Opportunity Zone Bonds (Canterbury House Apartments - Sherwood) | ||||||||
| 1,940,000 | 0.050%, 1/7/2014d | 1,940,000 | ||||||
|
| |||||||
| Total | 1,940,000 | |||||||
|
| |||||||
| Total Investments (at amortized cost) 100.0% | $ | 146,592,804 | ||||||
|
| |||||||
| Other Assets and Liabilities, Net (<0.1%) | (11,090 | ) | ||||||
|
| |||||||
| Total Net Assets 100.0% | $ | 146,581,714 | ||||||
|
| |||||||
| 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 December 31, 2013. |
| c | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2013, the value of these investments was $21,489,090 or 14.7% of total net assets. |
| d | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
Cost for federal income tax purposes | $ | 146,592,804 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
335
Money Market Portfolio
Schedule of Investments as of December 31, 2013
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 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 | 32,858,018 | — | 32,858,018 | — | ||||||||||||
Certificate of Deposit | 17,321,334 | — | 17,321,334 | — | ||||||||||||
Financial Company Commercial Paper | 13,453,105 | — | 13,453,105 | — | ||||||||||||
Government Agency Debt | 30,092,637 | — | 30,092,637 | — | ||||||||||||
Investment Company | 10,353,037 | 10,353,037 | — | — | ||||||||||||
Other Commercial Paper | 9,515,213 | — | 9,515,213 | — | ||||||||||||
Other Note | 29,058,907 | — | 29,058,907 | — | ||||||||||||
Treasury Debt | 2,000,553 | — | 2,000,553 | — | ||||||||||||
Variable Rate Demand Note | 1,940,000 | — | 1,940,000 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 146,592,804 | $ | 10,353,037 | $ | 136,239,767 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
There were no significant transfers between Levels during the period ended December 31, 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.
336
[THIS PAGE INTENTIONALLY LEFT BLANK]
337
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities
As of December 31, 2013 | Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 672,520,305 | $ | 3,815,908,807 | $ | 6,924,453,753 | $ | 3,526,178,746 | ||||||||
Investments in securities at value | 391,596,633 | 2,365,753,752 | 4,529,882,330 | 2,461,679,188 | ||||||||||||
Investments in affiliates at value | 413,740,812 | 2,018,255,363 | 3,095,274,658 | 1,282,768,153 | ||||||||||||
Investments at Value | 805,337,445 | 4,384,009,115 | 7,625,156,988 | 3,744,447,341 | ||||||||||||
Cash | 6,734,457 | 13,639,540 | (a) | 12,655,289 | (b) | 17,100,202 | ||||||||||
Dividends and interest receivable | 381,018 | 4,093,003 | 9,880,844 | 6,771,673 | ||||||||||||
Prepaid expenses | 1,883 | 5,466 | 8,815 | 5,173 | ||||||||||||
Receivable for investments sold | 399,000 | 3,545,910 | 14,497,428 | 20,008,775 | ||||||||||||
Receivable for fund shares sold | 609,048 | 4,575,522 | 5,768,776 | 1,338,103 | ||||||||||||
Receivable for variation margin | 495,058 | 1,256,448 | 1,351,550 | 555,870 | ||||||||||||
Total Assets | 813,957,909 | 4,411,125,004 | 7,669,319,690 | 3,790,227,137 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 40,133 | 96,443 | 138,152 | 85,869 | ||||||||||||
Payable for investments purchased | 13,550,631 | 149,342,689 | 416,043,089 | 380,748,557 | ||||||||||||
Payable upon return of collateral for securities loaned | — | 34,022,252 | 67,924,410 | 53,397,848 | ||||||||||||
Payable for fund shares redeemed | 10,274 | 246,524 | 80,655 | 797,400 | ||||||||||||
Payable for variation margin | 643,474 | 1,260,301 | 1,161,666 | 678,100 | ||||||||||||
Payable to affiliate | 301,514 | 1,507,524 | 2,519,561 | 1,209,349 | ||||||||||||
Mortgage dollar roll deferred revenue | 12,171 | 103,221 | 328,357 | 331,145 | ||||||||||||
Total Liabilities | 14,558,197 | 186,578,954 | 488,195,890 | 437,248,268 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 640,034,451 | 3,501,867,672 | 6,187,293,999 | 3,010,402,343 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 3,758,799 | 38,714,975 | 90,046,748 | 53,555,301 | ||||||||||||
Accumulated undistributed net realized gain/(loss) | 21,345,430 | 104,931,190 | 182,168,734 | 62,610,040 | ||||||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 75,859,680 | 247,841,775 | 306,980,871 | 102,369,120 | ||||||||||||
Affiliated investments | 56,957,460 | 320,258,533 | 393,722,364 | 115,899,475 | ||||||||||||
Futures contracts | 1,442,302 | 10,924,317 | 20,899,966 | 8,138,811 | ||||||||||||
Foreign currency transactions | 1,590 | 7,588 | 11,118 | 3,779 | ||||||||||||
Swap agreements | — | — | — | — | ||||||||||||
Total Net Assets | $ | 799,399,712 | $ | 4,224,546,050 | $ | 7,181,123,800 | $ | 3,352,978,869 | ||||||||
Shares of beneficial interest outstanding | 53,164,851 | 293,915,272 | 526,681,514 | 263,894,378 | ||||||||||||
Net asset value per share | $ | 15.04 | $ | 14.37 | $ | 13.63 | $ | 12.71 | ||||||||
| (a) | Includes foreign currency holdings of $10,727 (cost $10,604). |
| (b) | Includes foreign currency holdings of $14,269 (cost $14,105). |
The accompanying Notes to Financial Statements are an integral part of this schedule.
338
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
Growth and Income Plus Portfolio | Balanced Income Plus Portfolio | Diversified Income Plus Portfolio | Opportunity Income Plus Portfolio | Partner Technology Portfolio | Partner Healthcare Portfolio | Natural Resources Portfolio | ||||||||||||||||||||
| $ | 62,956,923 | $ | 269,528,660 | $ | 356,389,886 | $ | 50,451,252 | $ | 34,616,130 | $ | 43,932,985 | $ | 37,484,647 | |||||||||||||
| 62,041,878 | 270,862,511 | 341,155,230 | 46,007,740 | 47,127,309 | 52,024,509 | 32,948,378 | ||||||||||||||||||||
| 5,486,510 | 18,302,791 | 32,578,585 | 4,568,156 | 856,402 | 1,615,477 | 3,650,964 | ||||||||||||||||||||
| 67,528,388 | 289,165,302 | 373,733,815 | 50,575,896 | 47,983,711 | 53,639,986 | 36,599,342 | ||||||||||||||||||||
| 2,414 | 13,219 | 17,424 | 5,608 | 4,792 | — | — | ||||||||||||||||||||
| 176,815 | 1,011,816 | 1,900,431 | 272,737 | 2,279 | 66,808 | 78,958 | ||||||||||||||||||||
| 1,119 | 1,350 | 1,379 | 1,064 | 1,063 | 1,055 | 1,058 | ||||||||||||||||||||
| 107,069 | 674,543 | 769,237 | 1,108,220 | 75,424 | — | — | ||||||||||||||||||||
| 78 | 322,321 | 100,131 | 14,657 | 47,371 | 73,894 | 78,267 | ||||||||||||||||||||
| 6,303 | 9,600 | 26,894 | 762 | — | — | — | ||||||||||||||||||||
| 67,822,186 | 291,198,151 | 376,549,311 | 51,978,944 | 48,114,640 | 53,781,743 | 36,757,625 | ||||||||||||||||||||
| 20,045 | 93,902 | 44,034 | 20,441 | 19,315 | 13,759 | 13,141 | ||||||||||||||||||||
| 2,304,483 | 15,528,891 | 10,500,590 | 5,296,410 | — | — | — | ||||||||||||||||||||
| — | — | 3,011,629 | — | — | — | 1,771,801 | ||||||||||||||||||||
| 11,934 | 410,476 | 140,621 | 99,448 | 9,129 | 23,958 | 321 | ||||||||||||||||||||
| — | — | 2,438 | — | — | — | — | ||||||||||||||||||||
| 32,395 | 135,514 | 130,844 | 17,496 | 31,402 | 45,183 | 20,092 | ||||||||||||||||||||
| 1,831 | 12,171 | 6,907 | 3,966 | — | — | — | ||||||||||||||||||||
| 2,370,688 | 16,180,954 | 13,837,063 | 5,437,761 | 59,846 | 82,900 | 1,805,355 | ||||||||||||||||||||
| 53,136,852 | 201,173,977 | 335,691,875 | 48,136,323 | 35,389,840 | 39,841,121 | 38,562,619 | ||||||||||||||||||||
| 1,914,126 | 4,535,096 | 11,868,879 | 753 | (16,529 | ) | (10,237 | ) | 159,631 | ||||||||||||||||||
| 5,774,085 | 49,562,531 | (2,470,786 | ) | (1,722,739 | ) | (686,098 | ) | 4,159,396 | (2,884,675 | ) | ||||||||||||||||
| 4,571,465 | 19,636,642 | 17,343,929 | 124,644 | 13,367,581 | 9,707,001 | (885,305 | ) | |||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 54,970 | 108,951 | 278,351 | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | 1,562 | — | ||||||||||||||||||||
| — | — | — | 2,202 | — | — | — | ||||||||||||||||||||
| $ | 65,451,498 | $ | 275,017,197 | $ | 362,712,248 | $ | 46,541,183 | $ | 48,054,794 | $ | 53,698,843 | $ | 34,952,270 | |||||||||||||
| 5,614,583 | 15,917,845 | 46,259,740 | 4,585,127 | 4,961,446 | 3,188,985 | 4,646,063 | ||||||||||||||||||||
| $ | 11.66 | $ | 17.28 | $ | 7.84 | $ | 10.15 | $ | 9.69 | $ | 16.84 | $ | 7.52 | |||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
339
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
As of December 31, 2013 | Partner Emerging Markets Equity Portfolio | Real Estate Securities Portfolio | Partner Small Cap Growth Portfolio | Partner Small Cap Value Portfolio | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 55,976,670 | $ | 132,028,326 | $ | 281,146,717 | $ | 235,225,524 | ||||||||
Investments in securities at value | 58,119,035 | 119,251,577 | 336,916,752 | 375,638,954 | ||||||||||||
Investments in affiliates at value | 4,061,199 | 359,706 | 35,547,401 | 14,741,067 | ||||||||||||
Investments at Value | 62,180,234 | 119,611,283 | 372,464,153 | 390,380,021 | ||||||||||||
Cash | 14,497 | (a) | — | — | — | |||||||||||
Initial margin deposit on open futures contracts | — | — | — | — | ||||||||||||
Dividends and interest receivable | 59,713 | 581,914 | 123,422 | 524,935 | ||||||||||||
Prepaid expenses | 1,096 | 1,191 | 1,379 | 1,439 | ||||||||||||
Receivable for investments sold | — | 65,583 | 4,407,439 | 6,709,473 | ||||||||||||
Receivable for fund shares sold | 25,187 | 30,595 | 53,933 | 42,075 | ||||||||||||
Unrealized gain on forward contracts | — | — | — | — | ||||||||||||
Receivable for variation margin | — | — | — | — | ||||||||||||
Total Assets | 62,280,727 | 120,290,566 | 377,050,326 | 397,657,943 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 35,263 | 49,557 | 37,863 | 44,987 | ||||||||||||
Other liabilities | — | — | — | — | ||||||||||||
Payable for investments purchased | — | — | 2,776,663 | 5,926,937 | ||||||||||||
Payable upon return of collateral for securities loaned | 2,223,998 | — | 29,633,978 | 6,702,600 | ||||||||||||
Payable for fund shares redeemed | 96,849 | 88,814 | 6,283 | 36,527 | ||||||||||||
Unrealized loss on forward contracts | — | — | — | — | ||||||||||||
Payable for variation margin | — | — | — | — | ||||||||||||
Payable to affiliate | 55,771 | 86,353 | 270,485 | 270,735 | ||||||||||||
Total Liabilities | 2,411,881 | 224,724 | 32,725,272 | 12,981,786 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 53,795,826 | 128,141,196 | 214,558,596 | 220,555,953 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 549,677 | 1,959,695 | (112,650 | ) | (168,608 | ) | ||||||||||
Accumulated undistributed net realized gain/(loss) | (679,261 | ) | 2,382,014 | 38,561,672 | 9,134,315 | |||||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 6,203,564 | (12,417,043 | ) | 91,317,436 | 155,154,497 | |||||||||||
Futures contracts | — | — | — | — | ||||||||||||
Foreign currency forward contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | (960 | ) | (20 | ) | — | — | ||||||||||
Total Net Assets | $ | 59,868,846 | $ | 120,065,842 | $ | 344,325,054 | $ | 384,676,157 | ||||||||
Shares of beneficial interest outstanding | 4,799,851 | 6,676,935 | 17,902,351 | 13,607,542 | ||||||||||||
Net asset value per share | $ | 12.47 | $ | 17.98 | $ | 19.23 | $ | 28.27 | ||||||||
| (a) | Includes foreign currency holdings of $14,497 (cost $14,446). |
The accompanying Notes to Financial Statements are an integral part of this schedule.
340
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
Small Cap Stock Portfolio | Small Cap Index Portfolio | Mid Cap Growth Portfolio | Partner Mid Cap Value Portfolio | Mid Cap Stock Portfolio | Mid Cap Index Portfolio | Partner Worldwide Allocation Portfolio | ||||||||||||||||||||
| $ | 301,292,672 | $ | 184,954,914 | $ | 319,777,403 | $ | 286,228,827 | $ | 514,766,442 | $ | 90,245,719 | $ | 1,535,652,701 | |||||||||||||
| 328,883,785 | 253,915,721 | 412,368,956 | 348,853,975 | 648,546,847 | 118,744,999 | 1,670,977,671 | ||||||||||||||||||||
| 50,740,789 | 32,122,869 | 29,886,209 | 3,138,588 | 64,171,438 | 12,329,155 | 79,384,071 | ||||||||||||||||||||
| 379,624,574 | 286,038,590 | 442,255,165 | 351,992,563 | 712,718,285 | 131,074,154 | 1,750,361,742 | ||||||||||||||||||||
| — | — | — | — | — | — | 2,704,697 | (b) | |||||||||||||||||||
| — | — | — | — | — | — | 314,618 | ||||||||||||||||||||
| 188,169 | 336,436 | 68,700 | 552,187 | 630,195 | 114,518 | 3,939,899 | ||||||||||||||||||||
| 1,412 | 1,299 | 1,475 | 1,410 | 1,771 | 1,143 | 3,047 | ||||||||||||||||||||
| — | — | — | 1,904,098 | — | 71,686 | 417,713 | ||||||||||||||||||||
| 10,302 | 10,327 | 9,736 | 42,154 | 31,849 | 15,476 | 189,529 | ||||||||||||||||||||
| — | — | — | — | — | — | 442,409 | ||||||||||||||||||||
| 90,720 | 41,218 | — | — | — | 11,550 | 303,065 | ||||||||||||||||||||
| 379,915,177 | 286,427,870 | 442,335,076 | 354,492,412 | 713,382,100 | 131,288,527 | 1,758,676,719 | ||||||||||||||||||||
| 60,959 | 64,096 | 103,659 | 35,930 | 72,534 | 25,939 | 246,358 | ||||||||||||||||||||
| — | — | — | — | — | 70,520 | — | ||||||||||||||||||||
| — | 451,217 | — | 1,259,495 | — | — | 130,302 | ||||||||||||||||||||
| 25,019,444 | 22,919,937 | 17,677,617 | — | 37,473,212 | 8,155,102 | 50,312,730 | ||||||||||||||||||||
| 50,258 | 147,815 | 82,752 | 25,222 | 20,441 | 5,497 | 74,265 | ||||||||||||||||||||
| — | — | — | — | — | — | 421,505 | ||||||||||||||||||||
| — | — | — | — | — | — | 260,629 | ||||||||||||||||||||
| 210,870 | 82,957 | 151,714 | 225,817 | 393,815 | 38,758 | 1,242,345 | ||||||||||||||||||||
| 25,341,531 | 23,666,022 | 18,015,742 | 1,546,464 | 37,960,002 | 8,295,816 | 52,688,134 | ||||||||||||||||||||
| 271,716,797 | 146,908,266 | 264,132,109 | 236,220,586 | 444,238,271 | 77,817,419 | 1,648,783,122 | ||||||||||||||||||||
| 703,090 | 1,863,885 | 783,613 | 2,338,230 | 1,932,768 | 978,459 | 32,581,677 | ||||||||||||||||||||
| 2,626,867 | 12,484,820 | 36,925,850 | 48,623,396 | 31,299,216 | 3,219,000 | (190,721,824 | ) | |||||||||||||||||||
| 78,331,902 | 101,083,676 | 122,477,762 | 65,763,736 | 197,951,843 | 40,828,435 | 214,709,041 | ||||||||||||||||||||
| 1,194,990 | 421,201 | — | — | — | 149,398 | 582,381 | ||||||||||||||||||||
| — | — | — | — | — | — | 20,904 | ||||||||||||||||||||
| — | — | — | — | — | — | 33,284 | ||||||||||||||||||||
| $ | 354,573,646 | $ | 262,761,848 | $ | 424,319,334 | $ | 352,945,948 | $ | 675,422,098 | $ | 122,992,711 | $ | 1,705,988,585 | |||||||||||||
| 19,957,140 | 14,708,437 | 16,670,120 | 19,129,143 | 38,238,604 | 7,791,819 | 170,228,930 | ||||||||||||||||||||
| $ | 17.77 | $ | 17.86 | $ | 25.45 | $ | 18.45 | $ | 17.66 | $ | 15.78 | $ | 10.02 | |||||||||||||
| (b) | Includes foreign currency holdings of $2,610,558 (cost $2,611,557). |
The accompanying Notes to Financial Statements are an integral part of this schedule.
341
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
As of December 31, 2013 | Partner All Cap Portfolio | Large Cap Growth Portfolio | Partner Growth Stock Portfolio | Large Cap Value Portfolio | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 54,183,395 | $ | 785,897,795 | $ | 41,512,146 | $ | 820,086,641 | ||||||||
Investments in securities at value | 62,999,078 | 1,017,929,943 | 75,524,826 | 1,091,810,999 | ||||||||||||
Investments in affiliates at value | 1,250,316 | 47,325,056 | 2,436,609 | 37,319,398 | ||||||||||||
Investments at Value | 64,249,394 | 1,065,254,999 | 77,961,435 | 1,129,130,397 | ||||||||||||
Cash | — | 89,934 | 890 | (a) | 7,351 | |||||||||||
Dividends and interest receivable | 56,459 | 522,194 | 23,028 | 1,915,453 | ||||||||||||
Prepaid expenses | 1,087 | 2,232 | 1,096 | 2,274 | ||||||||||||
Receivable for investments sold | — | 415,041 | 28,627 | — | ||||||||||||
Receivable for fund shares sold | 1,516 | 222,731 | 44,724 | 171,725 | ||||||||||||
Receivable for variation margin | — | 40,569 | — | — | ||||||||||||
Total Assets | 64,308,456 | 1,066,547,700 | 78,059,800 | 1,131,227,200 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 20,370 | 280,396 | 21,690 | 122,023 | ||||||||||||
Payable for investments purchased | — | — | — | — | ||||||||||||
Payable upon return of collateral for securities loaned | 431,587 | 3,392,112 | 1,711,975 | 11,313,000 | ||||||||||||
Payable for fund shares redeemed | 7,799 | 522,169 | 45,159 | 38,081 | ||||||||||||
Payable for variation margin | — | — | — | — | ||||||||||||
Payable to affiliate | 40,316 | 381,245 | 46,985 | 592,057 | ||||||||||||
Mortgage dollar roll deferred revenue | — | — | — | — | ||||||||||||
Total Liabilities | 500,072 | 4,575,922 | 1,825,809 | 12,065,161 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 53,942,525 | 973,538,255 | 33,380,826 | 823,121,715 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 382,935 | 578,625 | (17,607 | ) | 14,061,142 | |||||||||||
Accumulated undistributed net realized gain/(loss) | (583,075 | ) | (192,734,729 | ) | 6,421,416 | (27,064,574 | ) | |||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 10,065,999 | 279,357,204 | 36,449,289 | 309,043,756 | ||||||||||||
Futures contracts | — | 1,229,371 | — | — | ||||||||||||
Foreign currency transactions | — | 3,052 | 67 | — | ||||||||||||
Swap agreements | — | — | — | — | ||||||||||||
Total Net Assets | $ | 63,808,384 | $ | 1,061,971,778 | $ | 76,233,991 | $ | 1,119,162,039 | ||||||||
Shares of beneficial interest outstanding | 5,020,064 | 41,717,876 | 4,056,992 | 71,814,967 | ||||||||||||
Net asset value per share | $ | 12.71 | $ | 25.46 | $ | 18.79 | $ | 15.58 | ||||||||
| (a) | Includes foreign currency holdings of $890 (cost $902). |
The accompanying Notes to Financial Statements are an integral part of this schedule.
342
Thrivent Series Fund, Inc.
Statement of Assets and Liabilities – continued
Large Cap Stock | Large Cap Index Portfolio | High Yield Portfolio | Income Portfolio | Bond Index Portfolio | Limited Maturity Bond Portfolio | Money Market Portfolio | ||||||||||||||||||||
| $ | 650,673,439 | $ | 243,282,366 | $ | 930,097,222 | $ | 1,448,252,244 | $ | 203,571,532 | $ | 1,141,951,558 | $ | 146,592,804 | |||||||||||||
| 760,015,036 | 385,344,123 | 895,395,017 | 1,390,570,685 | 156,583,035 | 1,069,523,724 | 146,592,804 | ||||||||||||||||||||
| 51,163,767 | 8,492,929 | 65,041,411 | 86,890,728 | 45,080,757 | 63,334,394 | — | ||||||||||||||||||||
| 811,178,803 | 393,837,052 | 960,436,428 | 1,477,461,413 | 201,663,792 | 1,132,858,118 | 146,592,804 | * | |||||||||||||||||||
| 15,709 | 695 | — | 13,097 | — | 21,913 | 2,881 | ||||||||||||||||||||
| 1,246,130 | 518,806 | 15,348,101 | 14,286,472 | 557,638 | 3,713,322 | 90,784 | ||||||||||||||||||||
| 1,956 | 1,456 | 2,252 | 3,124 | 1,258 | 2,617 | 1,202 | ||||||||||||||||||||
| — | — | 1,087,712 | 1,945,125 | 2,394,000 | 3,472 | — | ||||||||||||||||||||
| 28,942 | 57,913 | 99,328 | 72,440 | 19,663 | 11,533 | 363,726 | ||||||||||||||||||||
| 60,556 | 24,000 | — | 227,651 | — | 149,764 | — | ||||||||||||||||||||
| 812,532,096 | 394,439,922 | 976,973,821 | 1,494,009,322 | 204,636,351 | 1,136,760,739 | 147,051,397 | ||||||||||||||||||||
| 142,269 | 97,209 | 133,901 | 201,141 | 51,282 | 151,478 | 4,167 | ||||||||||||||||||||
| — | — | 4,080,905 | 53,966,871 | 52,257,355 | 49,405,405 | — | ||||||||||||||||||||
| — | 1,553,927 | 50,419,210 | 21,063,391 | — | 4,107,820 | — | ||||||||||||||||||||
| 69,337 | 37,842 | 117,489 | 320,501 | 213,811 | 64,077 | 448,534 | ||||||||||||||||||||
| — | — | — | 281,250 | — | 58,473 | — | ||||||||||||||||||||
| 444,784 | 120,903 | 337,807 | 521,169 | 49,761 | 398,167 | 16,982 | ||||||||||||||||||||
| — | — | — | 45,918 | 47,364 | 47,121 | — | ||||||||||||||||||||
| 656,390 | 1,809,881 | 55,089,312 | 76,400,241 | 52,619,573 | 54,232,541 | 469,683 | ||||||||||||||||||||
| 651,696,182 | 252,783,123 | 975,830,551 | 1,370,301,040 | 156,212,675 | 1,094,915,660 | 146,581,714 | ||||||||||||||||||||
| 7,106,693 | 5,841,728 | 514,131 | (117,618 | ) | (602 | ) | 431,630 | — | ||||||||||||||||||
| (9,322,065 | ) | (16,805,985 | ) | (84,799,379 | ) | 16,489,970 | (2,287,555 | ) | (5,661,868 | ) | — | |||||||||||||||
| 160,505,364 | 150,554,686 | 30,339,206 | 29,209,169 | (1,907,740 | ) | (9,093,440 | ) | — | ||||||||||||||||||
| 1,888,625 | 256,489 | — | 1,726,520 | — | 2,368,135 | — | ||||||||||||||||||||
| 907 | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | (431,919 | ) | — | |||||||||||||||||||
| $ | 811,875,706 | $ | 392,630,041 | $ | 921,884,509 | $ | 1,417,609,081 | $ | 152,016,778 | $ | 1,082,528,198 | $ | 146,581,714 | |||||||||||||
| 68,749,097 | 15,216,180 | 181,850,915 | 137,036,409 | 14,399,504 | 110,246,506 | 146,581,714 | ||||||||||||||||||||
| $ | 11.81 | $ | 25.80 | $ | 5.07 | $ | 10.34 | $ | 10.56 | $ | 9.82 | $ | 1.00 | |||||||||||||
| * | 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.
344
Thrivent Series Fund, Inc.
For the year ended December 31, 2013 | Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 3,741,345 | $ | 13,398,410 | $ | 17,469,587 | $ | 6,621,158 | ||||||||
Interest | 259,177 | 12,410,866 | 33,507,266 | 24,148,944 | ||||||||||||
Income from mortgage dollar rolls | 98,551 | 1,762,146 | 7,095,189 | 8,698,104 | ||||||||||||
Income from securities loaned | 491 | 468,117 | 609,758 | 235,258 | ||||||||||||
Income from affiliated investments | 2,769,457 | 24,795,421 | 55,130,670 | 26,656,471 | ||||||||||||
Foreign tax withholding | (30,288 | ) | (111,403 | ) | (151,808 | ) | (54,453 | ) | ||||||||
Total Investment Income | 6,838,733 | 52,723,557 | 113,660,662 | 66,305,482 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 2,889,864 | 13,216,967 | 22,211,634 | 11,760,273 | ||||||||||||
Sub-Adviser fees | — | — | — | — | ||||||||||||
Administrative service fees | 207,666 | 741,935 | 1,232,210 | 668,295 | ||||||||||||
Audit and legal fees | 26,291 | 56,620 | 85,177 | 55,217 | ||||||||||||
Custody fees | 71,290 | 143,494 | 181,007 | 119,708 | ||||||||||||
Insurance expenses | 7,370 | 21,676 | 34,246 | 19,844 | ||||||||||||
Directors’ fees | 16,316 | 66,856 | 111,910 | 67,483 | ||||||||||||
Other expenses | 13,068 | 50,186 | 57,170 | 45,819 | ||||||||||||
Total Expenses Before Reimbursement | 3,231,865 | 14,297,734 | 23,913,354 | 12,736,639 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | (44,978 | ) | (643,729 | ) | (1,324,817 | ) | (1,046,854 | ) | ||||||||
Custody earnings credit | (5 | ) | (36 | ) | (120 | ) | (90 | ) | ||||||||
Total Net Expenses | 3,186,882 | 13,653,969 | 22,588,417 | 11,689,695 | ||||||||||||
Net Investment Income/(Loss) | 3,651,851 | 39,069,588 | 91,072,245 | 54,615,787 | ||||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 24,840,873 | 68,773,574 | 66,026,674 | 9,878,025 | ||||||||||||
Affiliated investments | 1,563,108 | 4,823,514 | 7,183,463 | 4,956,265 | ||||||||||||
In-kind redemptions | — | — | — | — | ||||||||||||
Distributions of realized capital gains from affiliated investments | 2,334,571 | 7,059,709 | 8,242,705 | 2,315,016 | ||||||||||||
Written option contracts | — | 36,631 | 170,479 | 200,060 | ||||||||||||
Futures contracts | (8,682,067 | ) | 27,134,414 | 103,269,641 | 47,088,573 | |||||||||||
Foreign currency transactions | 54,779 | 351,287 | 609,582 | 194,686 | ||||||||||||
Swap agreements | (33,502 | ) | (2,642,406 | ) | (4,888,957 | ) | (3,543,721 | ) | ||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 55,840,104 | 183,765,041 | 229,268,228 | 68,795,040 | ||||||||||||
Affiliated investments | 81,620,714 | 344,270,203 | 344,337,220 | 76,299,763 | ||||||||||||
Futures contracts | 4,459,978 | 18,576,848 | 31,546,639 | 13,635,607 | ||||||||||||
Foreign currency transactions | 1,069 | 5,341 | 8,029 | 2,551 | ||||||||||||
Swap agreements | — | (412,079 | ) | (713,911 | ) | (551,956 | ) | |||||||||
Net Realized and Unrealized Gains/(Losses) | 161,999,627 | 651,742,077 | 785,059,792 | 219,269,909 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 165,651,478 | $ | 690,811,665 | $ | 876,132,037 | $ | 273,885,696 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
344
Thrivent Series Fund, Inc.
Statement of Operations – continued
Growth and | Balanced Income Plus Portfolio | Diversified Income Plus Portfolio | Opportunity Income Plus Portfolio | Partner Technology Portfolio | Partner Healthcare Portfolio | Natural Resources Portfolio | ||||||||||||||||||||
| $ | 2,276,349 | $ | 3,061,474 | $ | 3,877,891 | $ | 11,238 | $ | 271,559 | $ | 487,191 | $ | 507,793 | |||||||||||||
| 365,601 | 2,450,550 | 9,040,062 | 778,034 | 60 | 91 | 294 | ||||||||||||||||||||
| 21,571 | 482,390 | 364,138 | 521,713 | — | — | — | ||||||||||||||||||||
| 21,531 | 3,414 | 37,742 | — | 77,721 | — | 9,940 | ||||||||||||||||||||
| 3,378 | 19,515 | 28,178 | 11,642 | 797 | 1,561 | 1,075 | ||||||||||||||||||||
| (31,758 | ) | (15,643 | ) | (1,514 | ) | — | — | (40,650 | ) | (8,305 | ) | |||||||||||||||
| 2,656,672 | 6,001,700 | 13,346,497 | 1,322,627 | 350,137 | 448,193 | 510,797 | ||||||||||||||||||||
| 597,412 | 1,098,178 | 1,223,413 | 196,263 | 120,719 | 116,229 | 252,105 | ||||||||||||||||||||
| — | — | — | — | 181,076 | 253,346 | — | ||||||||||||||||||||
| 97,003 | 127,503 | 136,583 | 87,262 | 87,444 | 87,199 | 86,219 | ||||||||||||||||||||
| 20,044 | 25,117 | 21,751 | 19,240 | 19,233 | 19,164 | 19,553 | ||||||||||||||||||||
| 38,272 | 51,222 | 50,563 | 14,734 | 6,654 | 13,090 | 3,504 | ||||||||||||||||||||
| 4,477 | 5,215 | 5,123 | 4,022 | 4,026 | 3,973 | 4,003 | ||||||||||||||||||||
| 7,161 | 25,615 | 19,225 | 7,823 | 7,903 | 7,025 | 6,756 | ||||||||||||||||||||
| 13,910 | 33,046 | 31,742 | 16,820 | 7,833 | 8,723 | 8,105 | ||||||||||||||||||||
| 778,279 | 1,365,896 | 1,488,400 | 346,164 | 434,888 | 508,749 | 380,245 | ||||||||||||||||||||
| (48,705 | ) | — | — | (35,989 | ) | — | (22,329 | ) | (37,377 | ) | ||||||||||||||||
| (35 | ) | (3 | ) | (54 | ) | (78 | ) | (5 | ) | (5 | ) | (5 | ) | |||||||||||||
| 729,539 | 1,365,893 | 1,488,346 | 310,097 | 434,883 | 486,415 | 342,863 | ||||||||||||||||||||
| 1,927,133 | 4,635,807 | 11,858,151 | 1,012,530 | (84,746 | ) | (38,222 | ) | 167,934 | ||||||||||||||||||
| 7,931,441 | 55,285,933 | 11,302,847 | (1,786,050 | ) | 4,503,668 | 4,235,752 | (436,944 | ) | ||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 9,167,685 | — | — | — | — | — | — | ||||||||||||||||||||
| 5 | 23 | 32 | 7 | 1 | 1 | 4 | ||||||||||||||||||||
| — | — | 9,024 | 15,039 | — | — | — | ||||||||||||||||||||
| 644,003 | 941,503 | (1,926,166 | ) | 46,023 | — | — | — | |||||||||||||||||||
| — | (6,636 | ) | (15 | ) | — | — | (16,112 | ) | (1,192 | ) | ||||||||||||||||
| — | — | 11,177 | 317 | — | — | — | ||||||||||||||||||||
| (400,120 | ) | (18,785,523 | ) | 9,198,510 | 283,675 | 6,213,839 | 5,838,207 | 3,320,003 | ||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 61,345 | 167,533 | 323,371 | 2,242 | — | — | — | ||||||||||||||||||||
| — | — | 13 | — | — | 1,495 | — | ||||||||||||||||||||
| — | — | — | 2,202 | — | — | — | ||||||||||||||||||||
| 17,404,359 | 37,602,833 | 18,918,793 | (1,436,545 | ) | 10,717,508 | 10,059,343 | 2,881,871 | |||||||||||||||||||
| $ | 19,331,492 | $ | 42,238,640 | $ | 30,776,944 | $ | (424,015 | ) | $ | 10,632,762 | $ | 10,021,121 | $ | 3,049,805 | ||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
345
Thrivent Series Fund, Inc.
Statement of Operations – continued
For the year ended December 31, 2013 | Partner Emerging Markets Equity Portfolio | Real Estate Securities Portfolio | Partner Small Cap Growth Portfolio | Partner Small Cap Value Portfolio | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 1,624,327 | $ | 3,203,447 | $ | 1,184,784 | $ | 4,674,193 | ||||||||
Interest | 318 | 3 | 3,609 | 1,123 | ||||||||||||
Income from securities loaned | 3,954 | — | 229,058 | 79,551 | ||||||||||||
Income from affiliated investments | 1,467 | 742 | 5,988 | 6,583 | ||||||||||||
Foreign tax withholding | (147,326 | ) | (1,339 | ) | (448 | ) | (6,451 | ) | ||||||||
Total Investment Income | 1,482,740 | 3,202,853 | 1,422,991 | 4,754,999 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 274,694 | 1,042,479 | 1,117,747 | 666,585 | ||||||||||||
Sub-Adviser fees | 433,392 | — | 1,827,473 | 1,997,945 | ||||||||||||
Administrative service fees | 91,119 | 104,107 | 134,487 | 141,617 | ||||||||||||
Audit and legal fees | 41,213 | 20,510 | 21,996 | 22,294 | ||||||||||||
Custody fees | 65,087 | 7,986 | 30,575 | 11,855 | ||||||||||||
Insurance expenses | 4,141 | 4,531 | 5,252 | 5,508 | ||||||||||||
Directors’ fees | 7,025 | 14,953 | 20,243 | 22,686 | ||||||||||||
Other expenses | 11,436 | 8,839 | 9,295 | 9,436 | ||||||||||||
Total Expenses Before Reimbursement | 928,107 | 1,203,405 | 3,167,068 | 2,877,926 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | (86,681 | ) | — | (294,522 | ) | — | ||||||||||
Custody earnings credit | (5 | ) | (3 | ) | (10 | ) | (6 | ) | ||||||||
Total Net Expenses | 841,421 | 1,203,402 | 2,872,536 | 2,877,920 | ||||||||||||
Net Investment Income/(Loss) | 641,319 | 1,999,451 | (1,449,545 | ) | 1,877,079 | |||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | (404,752 | )(a) | 3,729,450 | 40,580,178 | 9,854,070 | |||||||||||
Distributions of realized capital gains from affiliated investments | 4 | — | 50 | 16 | ||||||||||||
Futures contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | (26,180 | ) | — | — | 303 | |||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (4,976,887 | ) | (3,152,345 | ) | 63,097,078 | 91,972,307 | ||||||||||
Futures contracts | — | — | — | — | ||||||||||||
Foreign currency forward contracts | (166 | ) | — | — | — | |||||||||||
Foreign currency transactions | (1,922 | ) | 52 | — | — | |||||||||||
Net Realized and Unrealized Gains/(Losses) | (5,409,903 | ) | 577,157 | 103,677,306 | 101,826,696 | |||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | (4,768,584 | ) | $ | 2,576,608 | $ | 102,227,761 | $ | 103,703,775 | |||||||
| (a) | Includes foreign capital gain taxes paid of $8,185. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
346
Thrivent Series Fund, Inc.
Statement of Operations – continued
Small Cap Stock Portfolio | Small Cap Index Portfolio | Mid Cap Growth Portfolio | Partner Mid Cap Value Portfolio | Mid Cap Stock Portfolio | Mid Cap Index Portfolio | Partner Worldwide Allocation Portfolio | ||||||||||||||||||||
| $ 2,993,316 | $ | 2,616,628 | $ | 2,632,750 | $ | 4,832,461 | $ | 6,203,200 | $ | 1,474,938 | $ | 40,728,087 | ||||||||||||||
| 4,976 | 2,801 | 2,581 | 360 | 5,925 | 1,070 | 7,192,267 | ||||||||||||||||||||
| 107,975 | 282,614 | 19,303 | 11,900 | 203,375 | 38,935 | 1,223,350 | ||||||||||||||||||||
| 27,828 | 3,719 | 11,237 | 4,129 | 22,879 | 2,727 | 21,638 | ||||||||||||||||||||
| (41,972) | — | (10,467 | ) | — | — | — | (3,760,663 | ) | ||||||||||||||||||
| 3,092,123 | 2,905,762 | 2,655,404 | 4,848,850 | 6,435,379 | 1,517,670 | 45,404,679 | ||||||||||||||||||||
| 2,110,662 | 793,988 | 1,550,418 | 811,082 | 3,923,120 | 365,870 | 5,729,620 | ||||||||||||||||||||
| — | — | — | 1,468,790 | — | — | 7,466,448 | ||||||||||||||||||||
| 137,226 | 121,996 | 151,707 | 137,611 | 188,812 | 99,339 | 371,602 | ||||||||||||||||||||
| 22,100 | 21,166 | 23,321 | 21,645 | 25,052 | 19,831 | 47,066 | ||||||||||||||||||||
| 17,258 | 16,650 | 12,544 | 37,741 | 22,480 | 12,652 | 626,346 | ||||||||||||||||||||
| 5,454 | 4,988 | 5,977 | 5,380 | 6,865 | 4,342 | 10,920 | ||||||||||||||||||||
| 23,353 | 21,714 | 33,238 | 20,675 | 34,807 | 8,750 | 85,882 | ||||||||||||||||||||
| 9,197 | 11,221 | 9,717 | 9,049 | 9,898 | 9,787 | 62,311 | ||||||||||||||||||||
| 2,325,250 | 991,723 | 1,786,922 | 2,511,973 | 4,211,034 | 520,571 | 14,400,195 | ||||||||||||||||||||
| — | — | — | (36,970 | ) | — | — | (94,438 | ) | ||||||||||||||||||
| (21) | — | (5 | ) | (5 | ) | (5 | ) | (24 | ) | (28 | ) | |||||||||||||||
| 2,325,229 | 991,723 | 1,786,917 | 2,474,998 | 4,211,029 | 520,547 | 14,305,729 | ||||||||||||||||||||
| 766,894 | 1,914,039 | 868,487 | 2,373,852 | 2,224,350 | 997,123 | 31,098,950 | ||||||||||||||||||||
| 22,975,862 | 16,113,910 | 37,331,631 | 49,541,182 | 56,136,005 | 4,901,487 | 75,100,933 | (b) | |||||||||||||||||||
| 58 | 36 | 35 | 5 | 82 | 13 | 106 | ||||||||||||||||||||
| 7,942,327 | 1,330,376 | — | — | — | 795,765 | (616,670 | ) | |||||||||||||||||||
| (17,239) | — | — | — | — | — | (1,067,174 | ) | |||||||||||||||||||
| 62,042,636 | 57,609,541 | 65,343,840 | 34,483,092 | 119,829,423 | 22,276,921 | 136,305,495 | ||||||||||||||||||||
| 1,151,339 | 401,999 | — | — | — | 155,493 | 583,991 | ||||||||||||||||||||
| 1,761 | — | — | — | — | — | (65,464 | ) | |||||||||||||||||||
| (1,088) | — | — | — | — | — | 24,042 | ||||||||||||||||||||
| 94,095,656 | 75,455,862 | 102,675,506 | 84,024,279 | 175,965,510 | 28,129,679 | 210,265,259 | ||||||||||||||||||||
| $ | 94,862,550 | $ | 77,369,901 | $ | 103,543,993 | $ | 86,398,131 | $ | 178,189,860 | $ | 29,126,802 | $ | 241,364,209 | |||||||||||||
| (b) | Includes foreign capital gain taxes paid of $14,210. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
347
Thrivent Series Fund, Inc.
Statement of Operations – continued
For the year ended December 31, 2013 | Partner All Cap Portfolio | Large Cap Growth Portfolio | Partner Growth Stock Portfolio | Large Cap Value Portfolio | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 956,077 | $ | 10,410,575 | $ | 459,077 | $ | 20,724,110 | ||||||||
Interest | 46 | 5,129 | 243 | 5,424 | ||||||||||||
Income from mortgage dollar rolls | — | — | — | — | ||||||||||||
Income from securities loaned | 1,396 | 13,925 | 4,468 | 53,597 | ||||||||||||
Income from affiliated investments | 498 | 24,107 | 512 | 23,909 | ||||||||||||
Foreign tax withholding | (949 | ) | (75,049 | ) | (4,289 | ) | (245,093 | ) | ||||||||
Total Investment Income | 957,068 | 10,378,687 | 460,011 | 20,561,947 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 200,265 | 3,768,246 | 262,330 | 5,993,361 | ||||||||||||
Sub-Adviser fees | 342,144 | — | 262,159 | — | ||||||||||||
Administrative service fees | 90,563 | 254,281 | 92,129 | 264,795 | ||||||||||||
Audit and legal fees | 19,362 | 29,406 | 19,506 | 29,346 | ||||||||||||
Custody fees | 28,115 | 26,456 | 24,897 | 23,783 | ||||||||||||
Insurance expenses | 4,125 | 8,863 | 4,153 | 8,876 | ||||||||||||
Directors’ fees | 7,803 | 79,480 | 8,018 | 56,060 | ||||||||||||
Other expenses | 8,019 | 12,763 | 9,282 | 12,009 | ||||||||||||
Total Expenses Before Reimbursement | 700,396 | 4,179,495 | 682,474 | 6,388,230 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | (138,478 | ) | — | (65,561 | ) | — | ||||||||||
Custody earnings credit | (5 | ) | (5 | ) | (5 | ) | (6 | ) | ||||||||
Total Net Expenses | 561,913 | 4,179,490 | 616,908 | 6,388,224 | ||||||||||||
Net Investment Income/(Loss) | 395,155 | 6,199,197 | (156,897 | ) | 14,173,723 | |||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 9,321,197 | 91,931,648 | 6,968,363 | 52,222,881 | ||||||||||||
Affiliated investments | — | — | — | — | ||||||||||||
Distributions of realized capital gains from affiliated investments | 1 | 88 | 3 | 75 | ||||||||||||
Futures contracts | — | 109,103 | — | — | ||||||||||||
Foreign currency transactions | — | (3,316 | ) | (5,048 | ) | — | ||||||||||
Swap agreements | — | — | — | — | ||||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 6,528,169 | 194,082,664 | 14,997,971 | 204,156,400 | ||||||||||||
Affiliated investments | — | — | — | — | ||||||||||||
Futures contracts | — | 1,229,371 | — | — | ||||||||||||
Foreign currency transactions | — | 3,052 | 39 | — | ||||||||||||
Swap agreements | — | — | — | — | ||||||||||||
Net Realized and Unrealized Gains/(Losses) | 15,849,367 | 287,352,610 | 21,961,328 | 256,379,356 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 16,244,522 | $ | 293,551,807 | $ | 21,804,431 | $ | 270,553,079 | ||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
348
Thrivent Series Fund, Inc.
Statement of Operations – continued
Large Cap | Large Cap Index Portfolio | High Yield Portfolio | Income Portfolio | Bond Index Portfolio | Limited Maturity Bond Portfolio | Money Market Portfolio | ||||||||||||||||||||
| $ | 12,034,668 | $ | 7,310,552 | $ | 336,639 | $ | 1,432,208 | $ | — | $ | 384,141 | $ | 10,514 | |||||||||||||
| 4,153 | 792 | 61,526,450 | 59,721,820 | 2,867,139 | 20,579,046 | 303,134 | ||||||||||||||||||||
| — | — | — | 1,721,470 | 1,216,456 | 1,047,916 | — | ||||||||||||||||||||
| 13,639 | 9,413 | 153,973 | 45,435 | 7,095 | 30,997 | — | ||||||||||||||||||||
| 46,076 | 4,184 | 25,525 | 73,394 | 32,781 | 711,401 | — | ||||||||||||||||||||
| (47,581) | (1,719 | ) | — | — | — | — | — | |||||||||||||||||||
| 12,050,955 | 7,323,222 | 62,042,587 | 62,994,327 | 4,123,471 | 22,753,501 | 313,648 | ||||||||||||||||||||
| 4,470,188 | 1,164,884 | 3,672,675 | 5,966,185 | 599,390 | 4,545,804 | 567,601 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 211,821 | 144,126 | 249,861 | 355,936 | 111,682 | 290,244 | 106,251 | ||||||||||||||||||||
| 27,275 | 28,968 | 29,997 | 38,338 | 21,070 | 33,372 | 20,138 | ||||||||||||||||||||
| 28,016 | 16,427 | 26,380 | 44,686 | 16,134 | 35,692 | 17,130 | ||||||||||||||||||||
| 7,550 | 5,631 | 8,787 | 12,443 | 4,805 | 10,828 | 4,615 | ||||||||||||||||||||
| 45,134 | 30,669 | 55,671 | 85,509 | 15,158 | 66,549 | 10,271 | ||||||||||||||||||||
| 11,115 | 11,207 | 40,181 | 43,620 | 26,299 | 34,759 | 13,867 | ||||||||||||||||||||
| 4,801,099 | 1,401,912 | 4,083,552 | 6,546,717 | 794,538 | 5,017,248 | 739,873 | ||||||||||||||||||||
| — | (282 | ) | — | — | — | (40,919 | ) | (422,174 | ) | |||||||||||||||||
| (25) | (5 | ) | (28 | ) | (50 | ) | (3 | ) | — | (25 | ) | |||||||||||||||
| 4,801,074 | 1,401,625 | 4,083,524 | 6,546,667 | 794,535 | 4,976,329 | 317,674 | ||||||||||||||||||||
| 7,249,881 | 5,921,597 | 57,959,063 | 56,447,660 | 3,328,936 | 17,777,172 | (4,026 | ) | |||||||||||||||||||
| 55,586,962 | 3,162,612 | 17,751,756 | 26,919,891 | (2,176,508 | ) | 350,289 | 4,026 | |||||||||||||||||||
| — | — | — | — | — | 4,798,068 | — | ||||||||||||||||||||
| 72 | 12 | 107 | 123 | 51 | 65 | — | ||||||||||||||||||||
| 7,631,519 | 1,004,093 | 278,866 | (2,136,958 | ) | — | 4,378,457 | — | |||||||||||||||||||
| (4,873) | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | (1,692,629 | ) | (2,380,277 | ) | — | (1,240,838 | ) | — | |||||||||||||||||
| 111,140,719 | 84,739,767 | (14,011,953 | ) | (83,095,945 | ) | (5,573,292 | ) | (17,373,409 | ) | — | ||||||||||||||||
| — | — | — | — | — | (5,117,801 | ) | — | |||||||||||||||||||
| 2,580,953 | 278,971 | — | 1,877,479 | — | 1,724,974 | — | ||||||||||||||||||||
| 907 | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | 717,431 | 917,083 | — | (38,582 | ) | — | |||||||||||||||||||
| 176,936,259 | 89,185,455 | 3,043,578 | (57,898,604 | ) | (7,749,749 | ) | (12,518,777 | ) | 4,026 | |||||||||||||||||
| $ | 184,186,140 | $ | 95,107,052 | $ | 61,002,641 | $ | (1,450,944 | ) | $ | (4,420,813 | ) | $ | 5,258,395 | $ | — | |||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
349
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets
| Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | |||||||||||||||
For the periods ended | 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 3,651,851 | $ | 8,681,260 | $ | 39,069,588 | $ | 53,372,338 | ||||||||
Net realized gains/(losses) | 20,077,762 | 12,300,903 | 105,536,723 | 84,569,266 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | 141,921,865 | 46,903,989 | 546,205,354 | 208,340,868 | ||||||||||||
Net Change in Net Assets Resulting From Operations | 165,651,478 | 67,886,152 | 690,811,665 | 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 | 71,795,448 | 43,227,880 | 567,241,188 | 196,656,484 | ||||||||||||
Distributions reinvested | 17,336,333 | 29,367,677 | 130,482,889 | 72,154,818 | ||||||||||||
Redeemed | (46,235,687 | ) | (63,479,879 | ) | (89,497,182 | ) | (146,549,857 | ) | ||||||||
In-kind redemptions | — | — | — | — | ||||||||||||
Total Capital Stock Transactions | 42,896,094 | 9,115,678 | 608,226,895 | 122,261,445 | ||||||||||||
Net Increase/(Decrease) in Net Assets | 191,211,239 | 47,634,153 | 1,168,555,671 | 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 | $ | 799,399,712 | $ | 608,188,473 | $ | 4,224,546,050 | $ | 3,055,990,379 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 3,758,799 | $ | 8,597,556 | $ | 38,714,975 | $ | 53,094,523 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 5,238,963 | 3,580,589 | 42,282,717 | 16,559,693 | ||||||||||||
Distributions reinvested | 1,308,788 | 2,649,580 | 10,033,441 | 6,408,009 | ||||||||||||
Redeemed | (3,456,690 | ) | (5,318,437 | ) | (6,725,965 | ) | (12,307,638 | ) | ||||||||
In-kind redemptions | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | 3,091,061 | 911,732 | 45,590,193 | 10,660,064 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
350
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | Growth and Income Plus Portfolio | Balanced Income Plus Portfolio | |||||||||||||||||||||||||||
| 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | |||||||||||||||||||||||
| $ | 91,072,245 | $ | 94,301,202 | $ | 54,615,787 | $ | 48,131,531 | $ | 1,927,133 | $ | 2,506,069 | $ | 4,635,807 | $ | 4,713,023 | |||||||||||||||
| 180,613,587 | 137,059,592 | 61,088,904 | 71,561,345 | 17,743,134 | 4,384,714 | 56,220,823 | 7,532,152 | |||||||||||||||||||||||
| 604,446,205 | 282,792,388 | 158,181,005 | 99,791,222 | (338,775) | 4,835,476 | (18,617,990) | 16,375,928 | |||||||||||||||||||||||
| 876,132,037 | 514,153,182 | 273,885,696 | 219,484,098 | 19,331,492 | 11,726,259 | 42,238,640 | 28,621,103 | |||||||||||||||||||||||
| (94,191,290) | (73,898,100) | (48,161,738) | (38,883,526) | (2,504,677) | (1,466,534) | (4,682,407) | (5,235,804) | |||||||||||||||||||||||
| (125,697,258) | (31,454,770) | (62,314,304) | (17,675,615) | — | — | (8,188,843) | (7,316,452) | |||||||||||||||||||||||
| (219,888,548) | (105,352,870) | (110,476,042) | (56,559,141) | (2,504,677) | (1,466,534) | (12,871,250) | (12,552,256) | |||||||||||||||||||||||
| 1,088,059,591 | 845,383,858 | 276,455,867 | 714,246,147 | 26,381,957 | 8,303,970 | 23,654,926 | 8,546,000 | |||||||||||||||||||||||
| 219,888,548 | 105,352,870 | 110,476,042 | 56,559,141 | 2,504,677 | 1,466,534 | 12,871,250 | 12,552,256 | |||||||||||||||||||||||
| (121,004,094) | (155,247,490) | (117,686,160) | (68,673,573) | (8,480,857) | (6,047,114) | (30,210,315) | (38,355,197) | |||||||||||||||||||||||
| — | — | — | — | (73,842,028) | — | — | — | |||||||||||||||||||||||
| 1,186,944,045 | 795,489,238 | 269,245,749 | 702,131,715 | (53,436,251) | 3,723,390 | 6,315,861 | (17,256,941) | |||||||||||||||||||||||
| 1,843,187,534 | 1,204,289,550 | 432,655,403 | 865,056,672 | (36,609,436) | 13,983,115 | 35,683,251 | (1,188,094) | |||||||||||||||||||||||
| 5,337,936,266 | 4,133,646,716 | 2,920,323,466 | 2,055,266,794 | 102,060,934 | 88,077,819 | 239,333,946 | 240,522,040 | |||||||||||||||||||||||
| $ | 7,181,123,800 | $ | 5,337,936,266 | $ | 3,352,978,869 | $ | 2,920,323,466 | $ | 65,451,498 | $ | 102,060,934 | $ | 275,017,197 | $ | 239,333,946 | |||||||||||||||
| $ | 90,046,748 | $ | 94,401,153 | $ | 53,555,301 | $ | 48,229,190 | $ | 1,914,126 | $ | 2,498,070 | $ | 4,535,096 | $ | 4,638,843 | |||||||||||||||
| 84,058,196 | 70,998,504 | 22,386,150 | 60,615,807 | 2,411,891 | 871,505 | 1,437,170 | 560,304 | |||||||||||||||||||||||
| 17,351,357 | 9,243,912 | 9,098,369 | 4,962,504 | 229,593 | 161,241 | 795,037 | 868,290 | |||||||||||||||||||||||
| (9,333,911) | (13,023,252) | (9,505,090) | (5,836,245) | (775,097) | (631,949) | (1,831,808) | (2,519,201) | |||||||||||||||||||||||
| — | — | — | — | (6,647,883) | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| 92,075,642 | 67,219,164 | 21,979,429 | 59,742,066 | (4,781,496) | 400,797 | 400,399 | (1,090,607) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
351
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Diversified Income Plus Portfolio | Opportunity Income Plus Portfolio | |||||||||||||||
For the periods ended | 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 11,858,151 | $ | 7,433,610 | $ | 1,012,530 | $ | 532,342 | ||||||||
Net realized gains/(losses) | 9,396,899 | 5,431,147 | (1,724,664 | ) | 312,006 | |||||||||||
Change in net unrealized appreciation/(depreciation) | 9,521,894 | 7,417,838 | 288,119 | 1,152,966 | ||||||||||||
Net Change in Net Assets Resulting From Operations | 30,776,944 | 20,282,595 | (424,015 | ) | 1,997,314 | |||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (7,460,218 | ) | (5,452,096 | ) | (1,012,847 | ) | (535,537 | ) | ||||||||
From net realized gains | — | — | (301,210 | ) | (801,702 | ) | ||||||||||
Total Distributions to Shareholders | (7,460,218 | ) | (5,452,096 | ) | (1,314,057 | ) | (1,337,239 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 117,802,735 | 85,753,163 | 17,096,427 | 8,238,613 | ||||||||||||
Issued in connection with merger | — | 13,296,211 | — | — | ||||||||||||
Distributions reinvested | 7,460,218 | 5,452,096 | 1,314,057 | 1,337,239 | ||||||||||||
Redeemed | (15,574,126 | ) | (8,018,198 | ) | (7,403,776 | ) | (5,385,708 | ) | ||||||||
Total Capital Stock Transactions | 109,688,827 | 96,483,272 | 11,006,708 | 4,190,144 | ||||||||||||
Net Increase/(Decrease) in Net Assets | 133,005,553 | 111,313,771 | 9,268,636 | 4,850,219 | ||||||||||||
Net Assets, Beginning of Period | 229,706,695 | 118,392,924 | 37,272,547 | 32,422,328 | ||||||||||||
Net Assets, End of Period | $ | 362,712,248 | $ | 229,706,695 | $ | 46,541,183 | $ | 37,272,547 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 11,868,879 | $ | 7,441,509 | $ | 753 | $ | 753 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 15,537,955 | 12,155,398 | 1,671,877 | 780,204 | ||||||||||||
Issued in connection with merger | — | 1,916,798 | — | — | ||||||||||||
Distributions reinvested | 986,514 | 810,540 | 127,594 | 128,037 | ||||||||||||
Redeemed | (2,050,214 | ) | (1,152,437 | ) | (716,030 | ) | (510,447 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | 14,474,255 | 13,730,299 | 1,083,441 | 397,794 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
352
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Partner Technology Portfolio | Partner Healthcare Portfolio | Natural Resources Portfolio | Partner Emerging Markets Equity Portfolio | |||||||||||||||||||||||||||
| 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | |||||||||||||||||||||||
| $(84,746) | $ | (134,687 | ) | $ | (38,222 | ) | $ | 54,832 | $ | 167,934 | $ | 223,783 | $ | 641,319 | $ | 588,588 | ||||||||||||||
| 4,503,669 | 1,812,386 | 4,219,641 | 1,446,543 | (438,132 | ) | (2,445,969 | ) | (430,928 | ) | (260,387 | ) | |||||||||||||||||||
| 6,213,839 | 4,492,049 | 5,839,702 | 2,327,571 | 3,320,003 | 1,077,255 | (4,978,975 | ) | 10,134,257 | ||||||||||||||||||||||
| 10,632,762 | 6,169,748 | 10,021,121 | 3,828,946 | 3,049,805 | (1,144,931 | ) | (4,768,584 | ) | 10,462,458 | |||||||||||||||||||||
| — | — | (127,607 | ) | (55,995 | ) | (226,334 | ) | (77,727 | ) | (626,603 | ) | (252,692 | ) | |||||||||||||||||
| — | — | (1,382,286 | ) | (248,326 | ) | — | (4,038,356 | ) | — | (239,345 | ) | |||||||||||||||||||
| — | — | (1,509,893 | ) | (304,321 | ) | (226,334 | ) | (4,116,083 | ) | (626,603 | ) | (492,037 | ) | |||||||||||||||||
| 6,827,308 | 4,798,897 | 21,399,137 | 5,683,465 | 4,866,233 | 6,502,876 | 21,174,506 | 13,625,677 | |||||||||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| — | — | 1,509,893 | 304,321 | 226,334 | 4,116,083 | 626,603 | 492,037 | |||||||||||||||||||||||
| (4,902,962) | (5,086,369 | ) | (2,944,132 | ) | (2,289,406 | ) | (4,538,478 | ) | (5,385,638 | ) | (11,204,248 | ) | (8,274,535 | ) | ||||||||||||||||
| 1,924,346 | (287,472 | ) | 19,964,898 | 3,698,380 | 554,089 | 5,233,321 | 10,596,861 | 5,843,179 | ||||||||||||||||||||||
| 12,557,108 | 5,882,276 | 28,476,126 | 7,223,005 | 3,377,560 | (27,693 | ) | 5,201,674 | 15,813,600 | ||||||||||||||||||||||
| 35,497,686 | 29,615,410 | 25,222,717 | 17,999,712 | 31,574,710 | 31,602,403 | 54,667,172 | 38,853,572 | |||||||||||||||||||||||
| $48,054,794 | $ | 35,497,686 | $ | 53,698,843 | $ | 25,222,717 | $ | 34,952,270 | $ | 31,574,710 | $ | 59,868,846 | $ | 54,667,172 | ||||||||||||||||
| $(16,529) | $ | (12,930 | ) | $ | (10,237 | ) | $ | 98,199 | $ | 159,631 | $ | 219,224 | $ | 549,677 | $ | 554,035 | ||||||||||||||
| 836,201 | 664,263 | 1,394,927 | 442,798 | 672,269 | 841,983 | 1,596,634 | 1,096,360 | |||||||||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| — | — | 100,929 | 24,696 | 31,637 | 660,581 | 50,371 | 43,088 | |||||||||||||||||||||||
| (602,916) | (712,541 | ) | (191,019 | ) | (181,834 | ) | (624,700 | ) | (730,252 | ) | (864,595 | ) | (678,851 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| 233,285 | (48,278 | ) | 1,304,837 | 285,660 | 79,206 | 772,312 | 782,410 | 460,597 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
353
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Real Estate Securities Portfolio | Partner Small Cap Growth Portfolio | |||||||||||||||
For the periods ended | 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 1,999,451 | $ | 1,916,151 | $ | (1,449,545) | $ | (279,596) | ||||||||
Net realized gains/(losses) | 3,729,450 | 4,160,478 | 40,580,228 | 17,390,948 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | (3,152,293) | 12,430,846 | 63,097,078 | 9,433,034 | ||||||||||||
Net Change in Net Assets Resulting From Operations | 2,576,608 | 18,507,475 | 102,227,761 | 26,544,386 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (1,880,889) | (4,305,833) | — | — | ||||||||||||
From net realized gains | — | — | (6,075,672) | — | ||||||||||||
Total Distributions to Shareholders | (1,880,889) | (4,305,833) | (6,075,672) | — | ||||||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 19,037,347 | 17,167,276 | 6,878,294 | 40,031,818 | ||||||||||||
Issued in connection with merger | — | — | — | — | ||||||||||||
Distributions reinvested | 1,880,889 | 4,305,833 | 6,075,672 | — | ||||||||||||
Redeemed | (23,990,372) | (21,198,491) | (21,700,165) | (7,147,466) | ||||||||||||
Total Capital Stock Transactions | (3,072,136) | 274,618 | (8,746,199) | 32,884,352 | ||||||||||||
Net Increase/(Decrease) in Net Assets | (2,376,417) | 14,476,260 | 87,405,890 | 59,428,738 | ||||||||||||
Net Assets, Beginning of Period | 122,442,259 | 107,965,999 | 256,919,164 | 197,490,426 | ||||||||||||
Net Assets, End of Period | $ | 120,065,842 | $ | 122,442,259 | $ | 344,325,054 | $ | 256,919,164 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 1,959,695 | $ | 1,863,678 | $ | (112,650) | $ | (29,509) | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 1,004,072 | 990,009 | 402,076 | 3,151,321 | ||||||||||||
Issued in connection with merger | — | — | — | — | ||||||||||||
Distributions reinvested | 99,130 | 257,367 | 379,533 | — | ||||||||||||
Redeemed | (1,287,432) | (1,232,222) | (1,397,890) | (531,966) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | (184,230) | 15,154 | (616,281) | 2,619,355 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
354
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Partner Small Cap Value Portfolio | Small Cap Stock Portfolio | Small Cap Index Portfolio | Mid Cap Growth Portfolio | |||||||||||||||||||||||||||
| 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | |||||||||||||||||||||||
| $1,877,079 | $ | 5,043,515 | $ | 766,894 | $ | 1,331,240 | $ | 1,914,039 | $ | 2,790,212 | $ | 868,487 | $ | 1,415,070 | ||||||||||||||||
| 9,854,389 | 4,051,944 | 30,901,008 | 8,579,146 | 17,444,322 | 9,363,508 | 37,331,666 | 28,286,685 | |||||||||||||||||||||||
| 91,972,307 | 26,826,192 | 63,194,648 | 14,367,012 | 58,011,540 | 16,472,291 | 65,343,840 | 12,421,506 | |||||||||||||||||||||||
| 103,703,775 | 35,921,651 | 94,862,550 | 24,277,398 | 77,369,901 | 28,626,011 | 103,543,993 | 42,123,261 | |||||||||||||||||||||||
| (6,212,011) | (1,705,822 | ) | (1,110,363 | ) | — | (2,774,672 | ) | (1,295,441 | ) | (1,307,135 | ) | (813,792 | ) | |||||||||||||||||
| (1,618,481) | — | — | — | (9,403,427 | ) | (15,926,080 | ) | (216,636 | ) | — | ||||||||||||||||||||
| (7,830,492) | (1,705,822 | ) | (1,110,363 | ) | — | (12,178,099 | ) | (17,221,521 | ) | (1,523,771 | ) | (813,792 | ) | |||||||||||||||||
| 13,620,695 | 11,411,935 | 8,906,708 | 6,532,990 | 15,094,607 | 5,710,690 | 10,907,279 | 8,871,921 | |||||||||||||||||||||||
| — | — | — | — | — | — | — | 16,995,076 | |||||||||||||||||||||||
| 7,830,492 | 1,705,822 | 1,110,363 | — | 12,178,099 | 17,221,521 | 1,523,771 | 813,792 | |||||||||||||||||||||||
| (15,228,121) | (15,134,928 | ) | (18,675,324 | ) | (25,168,678 | ) | (23,380,516 | ) | (29,649,161 | ) | (51,638,208 | ) | (55,317,502 | ) | ||||||||||||||||
| 6,223,066 | (2,017,171 | ) | (8,658,253 | ) | (18,635,688 | ) | 3,892,190 | (6,716,950 | ) | (39,207,158 | ) | (28,636,713 | ) | |||||||||||||||||
| 102,096,349 | 32,198,658 | 85,093,934 | 5,641,710 | 69,083,992 | 4,687,540 | 62,813,064 | 12,672,756 | |||||||||||||||||||||||
| 282,579,808 | 250,381,150 | 269,479,712 | 263,838,002 | 193,677,856 | 188,990,316 | 361,506,270 | 348,833,514 | |||||||||||||||||||||||
| $384,676,157 | $ | 282,579,808 | $ | 354,573,646 | $ | 269,479,712 | $ | 262,761,848 | $ | 193,677,856 | $ | 424,319,334 | $ | 361,506,270 | ||||||||||||||||
| $(168,608) | $ | 4,203,969 | $ | 703,090 | $ | 1,281,836 | $ | 1,863,885 | $ | 2,724,518 | $ | 783,613 | $ | 1,338,695 | ||||||||||||||||
| 565,151 | 585,681 | 579,630 | 516,676 | 964,708 | 431,383 | 486,854 | 466,382 | |||||||||||||||||||||||
| — | — | — | — | — | — | — | 907,397 | |||||||||||||||||||||||
| 324,118 | 91,888 | 72,690 | — | 810,987 | 1,444,298 | 70,344 | 45,076 | |||||||||||||||||||||||
| (626,924) | (761,873 | ) | (1,233,674 | ) | (1,981,702 | ) | (1,502,424 | ) | (2,240,833 | ) | (2,339,125 | ) | (2,900,644 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| 262,345 | (84,304 | ) | (581,354 | ) | (1,465,026 | ) | 273,271 | (365,152 | ) | (1,781,927 | ) | (1,481,789 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
355
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Partner Mid Cap Value Portfolio | Mid Cap Stock Portfolio | |||||||||||||||
For the periods ended | 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 2,373,852 | $ | 3,040,050 | $ | 2,224,350 | $ | 2,478,553 | ||||||||
Net realized gains/(losses) | 49,541,187 | 16,408,514 | 56,136,087 | 33,789,526 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | 34,483,092 | 20,786,907 | 119,829,423 | 28,228,445 | ||||||||||||
Net Change in Net Assets Resulting From Operations | 86,398,131 | 40,235,471 | 178,189,860 | 64,496,524 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (3,042,438 | ) | (1,932,483 | ) | (2,176,782 | ) | (1,205,625 | ) | ||||||||
From net realized gains | (13,305,805 | ) | — | — | — | |||||||||||
Total Distributions to Shareholders | (16,348,243 | ) | (1,932,483 | ) | (2,176,782 | ) | (1,205,625 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 11,505,045 | 9,876,504 | 6,010,562 | 2,158,181 | ||||||||||||
Issued in connection with merger | — | — | — | — | ||||||||||||
Distributions reinvested | 16,348,243 | 1,932,483 | 2,176,782 | 1,205,625 | ||||||||||||
Redeemed | (6,416,261 | ) | (4,483,005 | ) | (15,505,487 | ) | (16,952,960 | ) | ||||||||
Total Capital Stock Transactions | 21,437,027 | 7,325,982 | (7,318,143 | ) | (13,589,154 | ) | ||||||||||
Net Increase/(Decrease) in Net Assets | 91,486,915 | 45,628,970 | 168,694,935 | 49,701,745 | ||||||||||||
Net Assets, Beginning of Period | 261,459,033 | 215,830,063 | 506,727,163 | 457,025,418 | ||||||||||||
Net Assets, End of Period | $ | 352,945,948 | $ | 261,459,033 | $ | 675,422,098 | $ | 506,727,163 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 2,338,230 | $ | 2,978,816 | $ | 1,932,768 | $ | 1,985,562 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 698,248 | 749,716 | 392,094 | 174,975 | ||||||||||||
Issued in connection with merger | — | — | — | — | ||||||||||||
Distributions reinvested | 994,806 | 149,406 | 144,603 | 102,995 | ||||||||||||
Redeemed | (388,569 | ) | (326,697 | ) | (1,023,275 | ) | (1,366,776 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | 1,304,485 | 572,425 | (486,578 | ) | (1,088,806 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
356
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Mid Cap Index Portfolio | Partner Worldwide Allocation Portfolio | Partner All Cap Portfolio | Large Cap Growth Portfolio | |||||||||||||||||||||||||||
| 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | |||||||||||||||||||||||
| $ | 997,123 | $ | 923,726 | $ | 31,098,950 | $ | 20,036,608 | $ | 395,155 | $ | 427,767 | $ | 6,199,197 | $ | 10,064,557 | |||||||||||||||
| 5,697,265 | 3,660,340 | 73,417,195 | 7,577,998 | 9,321,198 | 4,458,734 | 92,037,523 | 66,744,083 | |||||||||||||||||||||||
| 22,432,414 | 8,611,574 | 136,848,064 | 166,501,462 | 6,528,169 | 2,375,425 | 195,315,087 | 73,116,608 | |||||||||||||||||||||||
| 29,126,802 | 13,195,640 | 241,364,209 | 194,116,068 | 16,244,522 | 7,261,926 | 293,551,807 | 149,925,248 | |||||||||||||||||||||||
| (926,864 | ) | (637,407 | ) | (416,617 | ) | (21,291,197 | ) | (428,025 | ) | (239,038 | ) | (5,999,580 | ) | (9,829,304 | ) | |||||||||||||||
| (3,159,150 | ) | (7,803,365 | ) | — | (4,890,102 | ) | — | — | — | — | ||||||||||||||||||||
| (4,086,014 | ) | (8,440,772 | ) | (416,617 | ) | (26,181,299 | ) | (428,025 | ) | (239,038 | ) | (5,999,580 | ) | (9,829,304 | ) | |||||||||||||||
| 19,220,321 | 5,241,846 | 19,622,603 | 165,263,081 | 3,795,626 | 2,188,894 | 33,770,524 | 18,349,962 | |||||||||||||||||||||||
| — | — | — | 714,684,763 | — | — | — | 13,165,950 | |||||||||||||||||||||||
| 4,086,014 | 8,440,772 | 416,617 | 26,181,299 | 428,025 | 239,038 | 5,999,580 | 9,829,304 | |||||||||||||||||||||||
| (10,466,874 | ) | (11,439,046 | ) | (75,334,755 | ) | (49,313,796 | ) | (7,701,099 | ) | (9,349,587 | ) | (125,260,503 | ) | (126,814,342 | ) | |||||||||||||||
| 12,839,461 | 2,243,572 | (55,295,535 | ) | 856,815,347 | (3,477,448 | ) | (6,921,655 | ) | (85,490,399 | ) | (85,469,126 | ) | ||||||||||||||||||
| 37,880,249 | 6,998,440 | 185,652,057 | 1,024,750,116 | 12,339,049 | 101,233 | 202,061,828 | 54,626,818 | |||||||||||||||||||||||
| 85,112,462 | 78,114,022 | 1,520,336,528 | 495,586,412 | 51,469,335 | 51,368,102 | 859,909,950 | 805,283,132 | |||||||||||||||||||||||
| $ | 122,992,711 | $ | 85,112,462 | $ | 1,705,988,585 | $ | 1,520,336,528 | $ | 63,808,384 | $ | 51,469,335 | $ | 1,061,971,778 | $ | 859,909,950 | |||||||||||||||
| $ | 978,459 | $ | 907,451 | $ | 32,581,677 | $ | (1,101,049 | ) | $ | 382,935 | $ | 417,046 | $ | 578,625 | $ | 239,026 | ||||||||||||||
| 1,350,292 | 426,594 | 2,116,956 | 21,091,277 | 343,947 | 234,372 | 1,524,721 | 1,000,002 | |||||||||||||||||||||||
| — | — | — | 91,385,735 | — | — | — | 726,454 | |||||||||||||||||||||||
| 293,994 | 769,224 | 46,389 | 3,040,817 | 38,956 | 27,000 | 240,562 | 523,730 | |||||||||||||||||||||||
| (736,355 | ) | (936,931 | ) | (8,330,270 | ) | (6,170,228 | ) | (702,140 | ) | (1,007,234 | ) | (5,770,940 | ) | (6,972,462 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| 907,931 | 258,887 | (6,166,925 | ) | 109,347,601 | (319,237 | ) | (745,862 | ) | (4,005,657 | ) | (4,722,276 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
357
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Partner Growth Stock Portfolio | Large Cap Value Portfolio | |||||||||||||||
For the periods ended | 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | (156,897 | ) | $ | 12,777 | $ | 14,173,723 | $ | 14,878,742 | |||||||
Net realized gains/(losses) | 6,963,318 | 3,057,022 | 52,222,956 | 59,391,326 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | 14,998,010 | 6,273,595 | 204,156,400 | 55,705,117 | ||||||||||||
Net Change in Net Assets Resulting From Operations | 21,804,431 | 9,343,394 | 270,553,079 | 129,975,185 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (18,555 | ) | — | (14,880,600 | ) | (13,811,639 | ) | |||||||||
From net realized gains | — | — | — | — | ||||||||||||
Total Distributions to Shareholders | (18,555 | ) | — | (14,880,600 | ) | (13,811,639 | ) | |||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 5,772,927 | 6,762,784 | 21,155,090 | 3,612,354 | ||||||||||||
Issued in connection with merger | — | — | — | — | ||||||||||||
Distributions reinvested | 18,555 | — | 14,880,600 | 13,811,639 | ||||||||||||
Redeemed | (9,323,745 | ) | (9,225,615 | ) | (25,189,006 | ) | (32,998,939 | ) | ||||||||
Total Capital Stock Transactions | (3,532,263 | ) | (2,462,831 | ) | 10,846,684 | (15,574,946 | ) | |||||||||
Net Increase/(Decrease) in Net Assets | 18,253,613 | 6,880,563 | 266,519,163 | 100,588,600 | ||||||||||||
Net Assets, Beginning of Period | 57,980,378 | 51,099,815 | 852,642,876 | 752,054,276 | ||||||||||||
Net Assets, End of Period | $ | 76,233,991 | $ | 57,980,378 | $ | 1,119,162,039 | $ | 852,642,876 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | (17,607 | ) | $ | (135 | ) | $ | 14,061,142 | $ | 14,255,729 | ||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 366,880 | 511,739 | 1,506,230 | 319,781 | ||||||||||||
Issued in connection with merger | — | — | — | — | ||||||||||||
Distributions reinvested | 1,209 | — | 1,059,653 | 1,310,837 | ||||||||||||
Redeemed | (593,980 | ) | (707,913 | ) | (1,810,189 | ) | (2,926,037 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | (225,891 | ) | (196,174 | ) | 755,694 | (1,295,419 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
358
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Large Cap Stock Portfolio | Large Cap Index Portfolio | High Yield Portfolio | Income Portfolio | |||||||||||||||||||||||||||
| 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | |||||||||||||||||||||||
| $ | 7,249,881 | $ | 8,194,610 | $ | 5,921,597 | $ | 5,795,386 | $ | 57,959,063 | $ | 60,057,759 | $ | 56,447,660 | $ | 59,355,156 | |||||||||||||||
| 63,213,680 | 38,395,115 | 4,166,717 | 6,997,926 | 16,338,100 | 12,462,614 | 22,402,779 | 21,416,296 | |||||||||||||||||||||||
| 113,722,579 | 36,537,028 | 85,018,738 | 31,083,495 | (13,294,522 | ) | 53,864,145 | (80,301,383 | ) | 79,186,541 | |||||||||||||||||||||
| 184,186,140 | 83,126,753 | 95,107,052 | 43,876,807 | 61,002,641 | 126,384,518 | (1,450,944 | ) | 159,957,993 | ||||||||||||||||||||||
| (8,140,375 | ) | (6,228,672 | ) | (5,733,630 | ) | (5,141,254 | ) | (57,720,706 | ) | (59,938,400 | ) | (56,092,101 | ) | (59,012,268 | ) | |||||||||||||||
| — | — | (3,429,327 | ) | — | — | — | (3,278,491 | ) | — | |||||||||||||||||||||
| (8,140,375 | ) | (6,228,672 | ) | (9,162,957 | ) | (5,141,254 | ) | (57,720,706 | ) | (59,938,400 | ) | (59,370,592 | ) | (59,012,268 | ) | |||||||||||||||
| 6,604,862 | 3,768,385 | 28,709,669 | 13,848,652 | 41,888,839 | 73,539,161 | 25,072,319 | 54,891,014 | |||||||||||||||||||||||
| 31,485,903 | — | — | — | — | — | — | 12,259,837 | |||||||||||||||||||||||
| 8,140,375 | 6,228,672 | 9,162,957 | 5,141,254 | 57,720,706 | 59,938,400 | 59,370,592 | 59,012,268 | |||||||||||||||||||||||
| (32,934,081 | ) | (30,211,843 | ) | (35,155,121 | ) | (45,042,319 | ) | (85,904,394 | ) | (73,552,537 | ) | (181,912,585 | ) | (114,278,014 | ) | |||||||||||||||
| 13,297,059 | (20,214,786 | ) | 2,717,505 | (26,052,413 | ) | 13,705,151 | 59,925,024 | (97,469,674 | ) | 11,885,105 | ||||||||||||||||||||
| 189,342,824 | 56,683,295 | 88,661,600 | 12,683,140 | 16,987,086 | 126,371,142 | (158,291,210 | ) | 112,830,830 | ||||||||||||||||||||||
| 622,532,882 | 565,849,587 | 303,968,441 | 291,285,301 | 904,897,423 | 778,526,281 | 1,575,900,291 | 1,463,069,461 | |||||||||||||||||||||||
| $ | 811,875,706 | $ | 622,532,882 | $ | 392,630,041 | $ | 303,968,441 | $ | 921,884,509 | $ | 904,897,423 | $ | 1,417,609,081 | $ | 1,575,900,291 | |||||||||||||||
| $ | 7,106,693 | $ | 7,673,785 | $ | 5,841,728 | $ | 5,723,096 | $ | 514,131 | $ | 517,132 | $ | (117,618 | ) | $ | (117,619 | ) | |||||||||||||
| 628,688 | 423,296 | 1,237,822 | 715,568 | 8,267,882 | 14,986,031 | 2,371,793 | 5,192,291 | |||||||||||||||||||||||
| 2,953,760 | — | — | — | — | — | — | 1,157,709 | |||||||||||||||||||||||
| 782,300 | 740,090 | 400,945 | 277,975 | 11,421,526 | 12,257,003 | 5,650,047 | 5,624,140 | |||||||||||||||||||||||
| (3,141,637 | ) | (3,403,764 | ) | (1,539,086 | ) | (2,322,549 | ) | (17,037,868 | ) | (15,027,427 | ) | (17,264,108 | ) | (10,754,836 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
| 1,223,111 | (2,240,378 | ) | 99,681 | (1,329,006 | ) | 2,651,540 | 12,215,607 | (9,242,268 | ) | 1,219,304 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
The accompanying Notes to Financial Statements are an integral part of this schedule.
359
Thrivent Series Fund, Inc.
Statement of Changes in Net Assets – continued
| Bond Index Portfolio | Limited Maturity Bond Portfolio | Money Market Portfolio | ||||||||||||||||||||||
For the periods ended | 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | ||||||||||||||||||
Operations | ||||||||||||||||||||||||
Net investment income/(loss) | $ | 3,328,936 | $ | 3,415,714 | $ | 17,777,172 | $ | 22,937,220 | $ | (4,026 | ) | $ | (2,651 | ) | ||||||||||
Net realized gains/(losses) | (2,176,457 | ) | 5,418,206 | 8,286,041 | (273,553 | ) | 4,026 | 2,651 | ||||||||||||||||
Change in net unrealized appreciation/(depreciation) | (5,573,292 | ) | (707,132 | ) | (20,804,818 | ) | 35,192,742 | — | — | |||||||||||||||
Net Change in Net Assets Resulting From Operations | (4,420,813 | ) | 8,126,788 | 5,258,395 | 57,856,409 | — | — | |||||||||||||||||
Distributions to Shareholders | ||||||||||||||||||||||||
From net investment income | (3,328,936 | ) | (3,444,671 | ) | (17,218,976 | ) | (22,206,345 | ) | — | — | ||||||||||||||
From net realized gains | (5,464,327 | ) | (2,019,243 | ) | — | — | — | — | ||||||||||||||||
Total Distributions to Shareholders | (8,793,263 | ) | (5,463,914 | ) | (17,218,976 | ) | (22,206,345 | ) | — | — | ||||||||||||||
Capital Stock Transactions | ||||||||||||||||||||||||
Sold | 13,325,069 | 35,179,446 | 41,686,633 | 57,975,655 | 89,452,873 | 71,091,075 | ||||||||||||||||||
Distributions reinvested | 8,793,263 | 5,463,914 | 17,218,976 | 22,206,345 | — | — | ||||||||||||||||||
Redeemed | (42,349,648 | ) | (22,306,399 | ) | (164,430,498 | ) | (413,650,797 | ) | (91,133,483 | ) | (93,288,632 | ) | ||||||||||||
Total Capital Stock Transactions | (20,231,316 | ) | 18,336,961 | (105,524,889 | ) | (333,468,797 | ) | (1,680,610 | ) | (22,197,557 | ) | |||||||||||||
Net Increase/(Decrease) in Net Assets | (33,445,392 | ) | 20,999,835 | (117,485,470 | ) | (297,818,733 | ) | (1,680,610 | ) | (22,197,557 | ) | |||||||||||||
Net Assets, Beginning of Period | 185,462,170 | 164,462,335 | 1,200,013,668 | 1,497,832,401 | 148,262,324 | 170,459,881 | ||||||||||||||||||
Net Assets, End of Period | $ | 152,016,778 | $ | 185,462,170 | $ | 1,082,528,198 | $ | 1,200,013,668 | $ | 146,581,714 | $ | 148,262,324 | ||||||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | (602 | ) | $ | (602 | ) | $ | 431,630 | $ | (127,052 | ) | $ | — | $ | — | |||||||||
Capital Stock Share Transactions | ||||||||||||||||||||||||
Sold | 1,195,866 | 3,102,653 | 4,221,041 | 5,878,889 | 89,452,873 | 71,091,075 | ||||||||||||||||||
Distributions reinvested | 810,078 | 483,506 | 1,745,050 | 2,260,994 | — | — | ||||||||||||||||||
Redeemed | (3,887,287 | ) | (1,972,935 | ) | (16,634,618 | ) | (42,087,461 | ) | (91,133,483 | ) | (93,288,632 | ) | ||||||||||||
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Total Capital Stock Share Transactions | (1,881,343 | ) | 1,613,224 | (10,668,527 | ) | (33,947,578 | ) | (1,680,610 | ) | (22,197,557 | ) | |||||||||||||
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The accompanying Notes to Financial Statements are an integral part of this schedule.
360
Thrivent Series Fund, Inc.
December 31, 2013
(1) ORGANIZATION
Thrivent Series Fund, Inc. (the “Fund”), a company organized under the laws of Minnesota, is registered under the Investment Company Act of 1940 (the “1940 Act”). The Fund is divided into thirty-three separate series (each, a “Portfolio”), each with its own investment objective and policies. The Fund consists of four asset allocation portfolios, nineteen equity portfolios, four 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) Portfolio Mergers – At a meeting held on August 2, 2013, shareholders of Thrivent Partner All Cap Value Portfolio, Thrivent Partner All Cap Growth Portfolio, and Thrivent Partner Socially Responsible Stock Portfolio (the “Target Portfolios”) approved the merger of the Target Portfolios into Thrivent Large Cap Stock Portfolio (the “Acquiring Portfolio”).
Target Portfolios | Acquiring Portfolios | |||
| Partner All Cap Value | > | Large Cap Stock | ||
| Partner All Cap Growth | > | Large Cap Stock | ||
| Partner Socially Responsible Stock | > | Large Cap Stock |
The mergers occurred at the close of business on August 16, 2013. Acquisition of the assets and liabilities of the Target Portfolios by the Acquiring Portfolio were followed by the distribution of the Acquiring Portfolio shares to the Target Portfolios’ shareholders. The shares issued of the Acquiring Portfolio are disclosed in the Statement of Changes in Net Assets.
The mergers were accomplished by tax free exchanges as detailed below:
Portfolio | Description | Net Assets as of August 16, 2013 | ||||
Large Cap Stock | Acquiring Portfolio | $ | 710,028,233 | |||
Partner All Cap Value | Target Portfolio | $ | 6,754,374 | |||
Partner All Cap Growth | Target Portfolio | $ | 13,237,069 | |||
Partner Socially Responsible Stock | Target Portfolio | $ | 11,494,460 | |||
Large Cap Stock | After Acquisition | $ | 741,514,136 | |||
As of August 16, 2013, the net assets of the Target Portfolios were comprised of the following:
Target Portfolio | Unrealized Appreciation | Undistributed Net Investment (Loss) | Accumulated Net Realized (Losses) | Capital Stock | ||||||||||||
Partner All Cap Value | $ | 495,239 | $ | (11,204 | ) | $ | (24,651 | ) | $ | 6,294,990 | ||||||
Partner All Cap Growth | $ | 2,820,455 | $ | (9,152 | ) | $ | (5,699 | ) | $ | 10,431,465 | ||||||
Partner Socially Responsible Stock | $ | 2,159,274 | $ | (9,094 | ) | $ | (644 | ) | $ | 9,344,924 | ||||||
The Target Portfolios’ capital loss carryovers are carried over to the Acquiring Portfolio. The amounts, if any, and applicable limitations are disclosed in Note (4) Tax Information.
361
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2013
Assuming the mergers had been completed on January 1, 2013 the Acquiring Portfolio’s pro-forma results of operations for the year ended December 31, 2013 would be the following:
Acquiring Portfolio | Net Change in Unrealized Appreciation/ (Depreciation) | Net Investment Income | Net Gains/(Losses) on Investments | Net Increase in Net Assets from Operations | ||||||||||||
Large Cap Stock | $ | 116,147,892 | $ | 7,385,559 | $ | 64,446,500 | $ | 187,979,951 | ||||||||
The financial statements reflect the operations of the Portfolios for the period prior to the merger and the combined Portfolios 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 All Cap Value Portfolio, Thrivent Partner All Cap Growth Portfolio, and Thrivent Partner Socially Responsible Stock Portfolio that have been included in the combined Portfolio’s Statement of Operations since the mergers were completed.
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 Portfolios”) approved the merger of the Target Portfolios into the Portfolios shown below (the “Acquiring Portfolios”).
Target Portfolios | Acquiring Portfolios | |||
| 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 Portfolios by the Acquiring Portfolios were followed by the distribution of the Acquiring Portfolios’ shares to the Target Portfolios’ shareholders. The shares issued of the Acquiring Portfolios are disclosed in the Statement of Changes in Net Assets.
The mergers were accomplished by tax free exchanges as detailed below:
Portfolio | Description | Net Assets as of July 27, 2012 | ||||
Diversified Income Plus | Acquiring Portfolio | $ | 158,364,566 | |||
Partner Utilities | Target Portfolio | $ | 13,296,211 | |||
Diversified Income Plus | After Acquisition | $ | 171,660,777 | |||
Mid Cap Growth | Acquiring Portfolio | $ | 349,852,903 | |||
Mid Cap Growth II | Target Portfolio | $ | 16,995,076 | |||
Mid Cap Growth | After Acquisition | $ | 366,847,979 | |||
Large Cap Growth | Acquiring Portfolio | $ | 852,713,666 | |||
Large Cap Growth II | Target Portfolio | $ | 13,165,950 | |||
Large Cap Growth | After Acquisition | $ | 865,879,616 | |||
Partner Worldwide Allocation | Acquiring Portfolio | $ | 659,297,181 | |||
Partner International Stock | Target Portfolio | $ | 714,684,763 | |||
Partner Worldwide Allocation | After Acquisition | $ | 1,373,981,944 | |||
Income | Acquiring Portfolio | $ | 1,556,630,051 | |||
Partner Socially Responsible Bond | Target Portfolio | $ | 12,259,837 | |||
Income | After Acquisition | $ | 1,568,889,888 | |||
362
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2013
As of July 27, 2012, the net assets of the Target Portfolios were comprised of the following:
Target Portfolio | Unrealized Appreciation/ (Depreciation) | Undistributed Net Investment Income | Accumulated Net Realized Gains/ (Losses) | Capital Stock | ||||||||||||
Partner Utilities | $ | 1,883,202 | $ | (4,232 | ) | $ | (917,265 | ) | $ | 12,334,506 | ||||||
Mid Cap Growth II | $ | 1,078,229 | $ | (112,317 | ) | $ | 88,699 | $ | 15,940,465 | |||||||
Large Cap Growth II | $ | 787,265 | $ | (45,540 | ) | $ | (206,932 | ) | $ | 12,631,157 | ||||||
Partner International Stock | $ | (62,673, 861 | ) | $ | (496,723 | ) | $ | (259,023,355 | ) | $ | 1,036,878,702 | |||||
Partner Socially Responsible Bond | $ | 377,723 | $ | (6,546 | ) | $ | (2,834 | ) | $ | 11,891,494 | ||||||
The Target Portfolios’ capital loss carryovers are carried over to the Acquiring Portfolios. The amounts, if any, and applicable limitations are disclosed in Note (4) Tax Information.
Assuming the mergers had been completed on January 1, 2012 the Acquiring Portfolios’ pro-forma results of operations for the year ended December 31, 2012 would be the following:
Acquiring Portfolio | Net Change in Unrealized Appreciation/ (Depreciation) | Net Investment Income | Net Gains/(Losses) on Investments | Net Increase in Net Assets from Operations | ||||||||||||
Diversified Income Plus | $ | 8,438,199 | $ | 7,821,332 | $ | 5,168,712 | $ | 21,428,243 | ||||||||
Mid Cap Growth | $ | 13,240,804 | $ | 1,428,321 | $ | 28,777,942 | $ | 43,447,067 | ||||||||
Large Cap Growth | $ | 74,772,202 | $ | 10,147,091 | $ | 66,537,151 | $ | 151,456,444 | ||||||||
Partner Worldwide Allocation | $ | 187,852,385 | $ | 34,324,175 | $ | (1,073,755 | ) | $ | 221,102,805 | |||||||
Income | $ | 79,449,288 | $ | 59,500,023 | $ | 21,596,025 | $ | 160,545,336 | ||||||||
The financial statements reflect the operations of the Portfolios for the period prior to the merger and the combined portfolios 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 Portfolio’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. Forward foreign currency exchange contracts are marked-to-market based upon foreign currency exchange rates provided by the pricing service. 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 price challenges, price overrides, stale prices, shadow prices, manual prices, money market pricing, international fair valuation, and other securities requiring fair valuation.
363
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2013
The Committee monitors for significant events occurring prior to the close of trading on the New York Stock Exchange that could have a material impact on the value of any securities that are held by the Portfolios. Examples of such events include trading halts, national news/events, and issuer-specific developments. If the Committee decides that such events warrant using fair value estimates, the Committee will take such events into consideration in determining the fair value of such securities. If market quotations or prices are not readily available or determined to be unreliable, the securities will be valued at fair value as determined in good faith pursuant to procedures adopted by the Board.
Financial Accounting Standards Board (FASB) guidelines require increased fair value disclosure intended to improve the consistency and comparability of fair value measurements used in financial reporting. The guidelines define fair value, establish a framework for measuring fair value in U.S. Generally Accepted Accounting Principles (“GAAP”) and expand disclosures about fair value requirements. The various inputs used to determine the fair value of the Portfolios’ investments are summarized in three broad levels: Level 1 includes quoted prices in active markets for identical securities, typically categorized in this level are U.S. equity securities, futures and options; Level 2 includes other significant observable inputs such as quoted prices for similar securities, interest rates, prepayment speeds and credit risk, typically categorized in this level are fixed income securities, international equity securities, swaps and forward contracts; and Level 3 includes significant unobservable inputs such as the Adviser’s own assumptions and broker evaluations in determining the fair value of investments. Of the Level 3 securities, those for which market values were not readily available or were deemed unreliable were fair valued as determined in good faith under procedures established by the Board. As of December 31, 2013, the following Portfolios held these types of Level 3 securities:
Portfolio | Number of Securities | Percent of Portfolio’s Net Assets | ||||||
Balanced Income Plus | 1 | <0.01 | % | |||||
Partner Worldwide Allocation | 1 | <0.01 | % | |||||
Partner Growth Stock | 2 | 0.77 | % | |||||
High Yield | 2 | 0.04 | % | |||||
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 closed forward currency contracts, disposition of foreign currencies, 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 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.
364
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2013
The Adviser analyzed all open tax years, as defined by the statute of limitations, for all major jurisdictions. Open tax years are those that are open for examination by taxing authorities. Major jurisdictions for the Portfolios include U.S. Federal, Minnesota, and Wisconsin, as well as certain foreign countries. As of December 31, 2013, open U.S. Federal, Minnesota, and Wisconsin tax years include the tax years ended December 31, 2010 through 2013. Additionally, as of December 31, 2013, the tax year ended December 31, 2009 is open for Wisconsin. The Portfolios have no examinations in progress and none are expected at this time.
As of December 31, 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 in 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 in 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 Opportunity Income Plus 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).
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 etted 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
365
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2013
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.
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.
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.
366
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2013
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. Daily fluctuations in the value of the centrally cleared credit default contracts are recorded in variation margin in the Statement of Assets and Liabilities and recorded as unrealized gain or loss. 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 in 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 in 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. Certain interest rate and credit default index swaps must be cleared through a clearinghouse or central counterparty.
Credit Default Swaps – A credit default swap is a swap agreement between two parties to exchange the credit risk of a particular issuer, basket of securities or reference entity. In a credit default swap transaction, a buyer pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. The seller collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. A buyer of a credit default swap is said to buy protection whereas a seller of a credit default swap is said to sell protection. The Portfolios may be either the protection buyer or the protection seller.
Certain Portfolios enter into credit default derivative contracts directly through credit default swaps (CDS) or through credit default swap indices (CDX Indices). CDX Indices are static pools of equally weighted credit default swaps referencing corporate bonds and/or loans designed to provide diversified credit exposure to these asset classes. Portfolios sell default protection and assume long-risk positions in individual credits or indices. Index positions are entered into to gain exposure to the corporate bond and/or loan markets in a cost-efficient and diversified structure. In the event that a position defaults, by going into bankruptcy and failing to pay interest or principal on borrowed money, within any given CDX Index held, the maximum potential amount of future payments required would be equal to the pro-rata share of that position within the index based on the notional amount of the index. In the event of a default under a CDS contract, the maximum potential amount of future payments would be the notional amount. For CDS, the default events could be bankruptcy and failing to pay interest or 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.
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.
367
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2013
Gross Amounts Not Offset in the Statement of Asset and Liabilities | ||||||||||||||
Portfolio | Gross Amounts of Recognized Assets | Gross Amounts Offset | Net Amounts of Recognized Assets | Financial Instruments | Cash Collateral Offset | Non-Cash Collateral Pledged* | Net Amount | |||||||
Aggressive Allocation | ||||||||||||||
Futures Contracts | 495,058 | — | 495,058 | 495,058 | — | — | — | |||||||
Moderately Aggressive Allocation | ||||||||||||||
Futures Contracts | 1,256,448 | — | 1,256,448 | 1,256,448 | — | — | — | |||||||
Securities Lending | 34,022,252 | — | 34,022,252 | — | 34,022,252 | — | — | |||||||
Moderate Allocation | ||||||||||||||
Futures Contracts | 1,351,550 | — | 1,351,550 | 1,161,666 | — | — | 189,884** | |||||||
Securities Lending | 67,924,410 | — | 67,924,410 | — | 67,924,410 | — | — | |||||||
Moderately Conservative Allocation | ||||||||||||||
Futures Contracts | 555,870 | — | 555,870 | 555,870 | — | — | — | |||||||
Securities Lending | 53,397,848 | — | 53,397,848 | — | 53,397,848 | — | — | |||||||
Growth and Income Plus | ||||||||||||||
Futures Contracts | 6,303 | — | 6,303 | — | — | — | 6,303** | |||||||
Balanced Income Plus | ||||||||||||||
Futures Contracts | 9,600 | — | 9,600 | — | — | — | 9,600** | |||||||
Diversified Income Plus | ||||||||||||||
Futures Contracts | 26,894 | — | 26,894 | 2,438 | — | — | 24,456** | |||||||
Securities Lending | 3,011,629 | — | 3,011,629 | — | 3,011,629 | — | — | |||||||
Opportunity Income Plus | ||||||||||||||
Swap Credit Contracts | 762 | — | 762 | — | — | — | 762** | |||||||
Natural Resources | ||||||||||||||
Securities Lending | 1,771,801 | — | 1,771,801 | — | 1,771,801 | — | — | |||||||
Partner Emerging Markets Equity | ||||||||||||||
Securities Lending | 2,223,998 | — | 2,223,998 | — | 2,223,998 | — | — | |||||||
Partner Small Cap Growth | ||||||||||||||
Securities Lending | 29,633,978 | — | 29,633,978 | — | 29,633,978 | — | — | |||||||
Partner Small Cap Value | ||||||||||||||
Securities Lending | 6,702,600 | — | 6,702,600 | — | 6,702,600 | — | — | |||||||
Small Cap Stock | ||||||||||||||
Futures Contracts | 90,720 | — | 90,720 | — | — | — | 90,720** | |||||||
Securities Lending | 25,019,444 | — | 25,019,444 | — | 25,019,444 | — | — | |||||||
Small Cap Index | ||||||||||||||
Futures Contracts | 41,218 | — | 41,218 | — | — | — | 41,218** | |||||||
Securities Lending | 22,919,937 | — | 22,919,937 | — | 22,919,937 | — | — | |||||||
Mid Cap Growth | ||||||||||||||
Securities Lending | 17,677,617 | — | 17,677,617 | — | 17,677,617 | — | — | |||||||
Mid Cap Stock | ||||||||||||||
Securities Lending | 37,473,212 | — | 37,473,212 | — | 37,473,212 | — | — | |||||||
Mid Cap Index | ||||||||||||||
Futures Contracts | 11,550 | — | 11,550 | — | — | — | 11,550** | |||||||
Securities Lending | 8,155,102 | — | 8,155,102 | — | 8,155,102 | — | — | |||||||
Partner Worldwide Allocation | ||||||||||||||
Futures Contracts | 303,065 | — | 303,065 | 260,629 | — | — | 42,436** | |||||||
Exchange Contracts | 442,409 | — | 442,409 | 168,383 | — | — | 274,026** | |||||||
Securities Lending | 50,312,730 | — | 50,312,730 | — | 50,312,730 | — | — | |||||||
Partner All Cap | ||||||||||||||
Securities Lending | 431,587 | — | 431,587 | — | 431,587 | — | — | |||||||
368
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2013
Gross Amounts Not Offset in the Statement of Asset and Liabilities | ||||||||||||||
Portfolio | Gross Amounts of Recognized Assets | Gross Amounts Offset | Net Amounts of Recognized Assets | Financial Instruments | Cash Collateral Offset | Non-Cash Collateral Pledged* | Net Amount | |||||||
Large Cap Growth | ||||||||||||||
Futures Contracts | 40,569 | — | 40,569 | — | — | — | 40,569** | |||||||
Securities Lending | 3,392,112 | — | 3,392,112 | — | 3,392,112 | — | — | |||||||
Partner Growth Stock | ||||||||||||||
Securities Lending | 1,711,975 | — | 1,711,975 | — | 1,711,975 | — | — | |||||||
Large Cap Value | ||||||||||||||
Securities Lending | 11,313,000 | — | 11,313,000 | — | 11,313,000 | — | — | |||||||
Large Cap Stock | ||||||||||||||
Futures Contracts | 60,556 | — | 60,556 | — | — | — | 60,556** | |||||||
Large Cap Index | ||||||||||||||
Futures Contracts | 24,000 | — | 24,000 | — | — | — | 24,000** | |||||||
Securities Lending | 1,553,927 | — | 1,553,927 | — | 1,553,927 | — | — | |||||||
High Yield | ||||||||||||||
Securities Lending | 50,419,210 | — | 50,419,210 | — | 50,419,210 | — | — | |||||||
Income | ||||||||||||||
Futures Contracts | 227,651 | — | 227,651 | 227,651 | — | — | — | |||||||
Securities Lending | 21,063,391 | — | 21,063,391 | — | 21,063,391 | — | — | |||||||
Limited Maturity Bond | ||||||||||||||
Futures Contracts | 149,764 | — | 149,764 | 2,344 | — | — | 147,420** | |||||||
Securities Lending | 4,107,820 | — | 4,107,820 | — | 4,107,820 | — | — | |||||||
| * | Excess of collateral received from the counterparty may not be shown for financial reporting purposes. |
| ** | Net amount represents the net amount receivable from the counterparty in the event of the default. |
369
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2013
Gross Amounts Not Offset in the Statement of Asset and Liabilities | ||||||||||||||||||||||||||||
Portfolio | Gross Amounts of Recognized Liabilities | Gross Amounts Offset | Net Amounts of Recognized Liabilities | Financial Instruments | Cash Collateral Offset | Non-Cash Collateral Pledged* | Net Amount | |||||||||||||||||||||
Aggressive Allocation | ||||||||||||||||||||||||||||
Futures Contracts | 643,474 | — | 643,474 | 495,058 | — | 148,416 | — | |||||||||||||||||||||
Moderately Aggressive Allocation | ||||||||||||||||||||||||||||
Futures Contracts | 1,260,301 | — | 1,260,301 | 1,256,448 | — | 3,853 | — | |||||||||||||||||||||
Moderate Allocation | ||||||||||||||||||||||||||||
Futures Contracts | 1,161,666 | — | 1,161,666 | 1,161,666 | — | — | — | |||||||||||||||||||||
Moderately Conservative Allocation | ||||||||||||||||||||||||||||
Futures Contracts | 678,100 | — | 678,100 | 555,870 | — | 122,230 | — | |||||||||||||||||||||
Diversified Income Plus | ||||||||||||||||||||||||||||
Futures Contracts | 2,438 | — | 2,438 | 2,438 | — | — | — | |||||||||||||||||||||
Partner Worldwide Allocation | ||||||||||||||||||||||||||||
Futures Contracts | 260,629 | — | 260,629 | 260,629 | — | — | — | |||||||||||||||||||||
Exchange Contracts | 421,505 | — | 421,505 | 168,383 | — | — | 253,122 | ** | ||||||||||||||||||||
Income | ||||||||||||||||||||||||||||
Futures Contracts | 281,250 | — | 281,250 | 227,651 | — | 53,599 | — | |||||||||||||||||||||
Limited Maturity Bond | ||||||||||||||||||||||||||||
Futures Contracts | 2,344 | — | 2,344 | 2,344 | — | — | — | |||||||||||||||||||||
Swap Credit Contracts | 56,129 | — | 56,129 | — | — | 56,129 | — | |||||||||||||||||||||
| * | Excess of collateral pledged to the counterparty may not be shown for financial reporting purposes. |
| ** | Net amount represents the net amount payable due to the counterparty in the event of the 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.
(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 in 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 December 31, 2013, the value of securities on loan is as follows:
Portfolio | Securities on Loan | |||
Moderately Aggressive Allocation | $ | 33,285,588 | ||
Moderate Allocation | 66,479,156 | |||
370
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2013
Portfolio | Securities on Loan | |||
Moderately Conservative Allocation | 52,201,607 | |||
Diversified Income Plus | 2,939,458 | |||
Natural Resources | 1,733,535 | |||
Partner Emerging Markets Equity | 2,183,745 | |||
Partner Small Cap Growth | 29,007,436 | |||
Partner Small Cap Value | 6,526,516 | |||
Small Cap Stock | 24,547,865 | |||
Small Cap Index | 22,434,399 | |||
Mid Cap Growth | 17,415,524 | |||
Mid Cap Stock | 36,678,050 | |||
Mid Cap Index | 7,922,280 | |||
Partner Worldwide Allocation | 48,436,499 | |||
Partner All Cap | 434,624 | |||
Large Cap Growth | 3,361,961 | |||
Partner Growth Stock | 1,685,160 | |||
Large Cap Value | 11,235,485 | |||
Large Cap Index | 1,517,595 | |||
High Yield | 48,518,875 | |||
Income | 20,370,865 | |||
Limited Maturity Bond | 4,006,519 | |||
(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 year ended December 31, 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.
(O) Stripped Securities – Certain Portfolios may invest in Interest Only and Principal Only stripped mortgage or asset backed securities. These securities represent a participation in securities that are structured in classes with rights to receive different portions of the interest and principal. Interest only securities receive all the interest and principal only securities receive all the principal. If the underlying pool of mortgages or assets experience greater than anticipated prepayments of principal, the Portfolio may not fully recoup its initial investment in an interest only security. Principal only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.
(P) 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.
(Q) 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.
371
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2013
(R) 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.
(S) Unfunded Bridge Loan Commitment
The following Portfolio entered into a loan commitment with Tenet Healthcare Corporation on July 24, 2013. Maturity of the commitment will be no later than February 28, 2014. The Portfolio will receive a fee of 0.25%.
Portfolio | Unfunded Commitment | |||
High Yield | $ | 7,900,000 | ||
The following Portfolio entered into a loan commitment with Community Health Systems, Inc. on September 11, 2013. Maturity of the initial commitment will be a maximum of 12 months from the closing date. The Portfolio will receive a fee of 0.44%.
Portfolio | Unfunded Commitment | |||
High Yield | $ | 13,193,974 | ||
(T) 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 accrued 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. Management does not believe it is possible at this time to predict with any reasonable certainty the amount or probability of any potential loss.
(U) Litigation – Awards from class action litigation are recorded as realized gains on payment date.
372
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2013
(V) In-kind Redemptions – During the year ended December 31, 2013, the Thrivent Asset Allocation Portfolios, as the shareholders of underlying series of Thrivent Series Fund, Inc. (the “underlying portfolios”), redeemed their shares in-kind (“in-kind redemption”). The underlying portfolios distributed portfolio securities rather than cash as payment for the redemption of these portfolio shares. For financial reporting purposes, the underlying portfolios recognize gain on these transactions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities; they recognize a loss if the cost exceeds the value. Gains or losses on in-kind redemptions are not recognized for tax purposes. The realized gains or losses below are included in the Statement of Operations of the underlying portfolios as net realized gains/losses on in-kind redemptions. The in-kind amounts and shares redeemed are included in the Capital Stock Transactions of the Statement of Changes in Net Assets of the underlying portfolios. These in-kind transactions were conducted at market value. The transactions were as follows:
| Underlying Portfolio | Underlying Shares Redeemed | Date | In-kind Amount | Realized Gain/(Loss) | ||||||||||||||
Aggressive Allocation Portfolio | Growth and Income Plus | 550,683 | 8/6/2013 | $ | 6,116,764 | $ | 792,628 | |||||||||||
Moderately Aggressive Allocation Portfolio | Growth and Income Plus | 2,306,527 | 8/6/2013 | $ | 25,619,981 | $ | 3,136,192 | |||||||||||
Moderate Allocation Portfolio | Growth and Income Plus | 3,039,607 | 8/6/2013 | $ | 33,762,739 | $ | 4,188,389 | |||||||||||
Moderately Conservative Allocation Portfolio | Growth and Income Plus | 751,066 | 8/6/2013 | $ | 8,342,544 | $ | 1,050,476 | |||||||||||
(W) 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.
(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 | % | ||||||
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December 31, 2013
For all other Portfolios, the annual rates of fees as a percent of average daily net assets under the Investment Advisory Agreement were as follows:
Portfolio (M - Millions) | $0 to $50M | $50 to $200M | $200 to $250M | $250 to $500M | $500 to $750M | $750 to $1,000M | $1,000 to $1,500M | $1,500 to $2,000M | $2,000 to $2,500M | $2,500 to $5,000M | Over $5,000M | |||||||||||||||||||||||||||||||||
Growth and 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 Income Plus# | 0.550 | % | 0.550 | % | 0.550 | % | 0.550 | % | 0.500 | % | 0.500 | % | 0.475 | % | 0.475 | % | 0.475 | % | 0.450 | % | 0.425 | % | ||||||||||||||||||||||
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 | % | ||||||||||||||||||||||
Opportunity Income Plus | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | ||||||||||||||||||||||
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 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 | % | ||||||||||||||||||||||
High Yield | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | ||||||||||||||||||||||
Income | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | ||||||||||||||||||||||
Bond Index | 0.350 | % | 0.350 | % | 0.350 | % | 0.300 | % | 0.250 | % | 0.250 | % | 0.200 | % | 0.150 | % | 0.100 | % | 0.100 | % | 0.100 | % | ||||||||||||||||||||||
Limited Maturity Bond | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | ||||||||||||||||||||||
Money Market | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | ||||||||||||||||||||||
| # | During the year, the contractholders of Thrivent Balanced Income Plus Portfolio (formerly Thrivent Balanced Portfolio) approved an increase in the Portfolio’s investment advisory fee from 0.35% to 0.55%. The fee schedule shown reflects the increase effective August 16, 2013. |
(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
374
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2013
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 Asset Managers Limited (“Aberdeen”), DuPont Capital and GSAM for the performance of subadvisory services.
The fee payable for Mercator is equal to 0.75% of the first $25 million of average daily net assets managed by Mercator, 0.60% of the next $25 million, 0.55% of the next $25 million, 0.50% of the next $225 million, 0.40% of the next $200 million and 0.20% of average daily net assets over $500 million. Thrivent Partner Worldwide Allocation Fund is included in determining breakpoints for the assets managed by Mercator.
The fee payable for Principal is equal to 0.35% of the first $500 million of average daily net assets managed by Principal, 0.30% of the next $500 million and 0.25% of average daily net assets over $1 billion. Thrivent Partner Worldwide Allocation Fund is included in determining breakpoints for the assets managed by Principal.
The fee payable for Aberdeen is equal to 0.85% of the first $50 million of average daily net assets managed by Aberdeen, 0.72% of the next $50 million and 0.68% of average daily net assets over $100 million. Thrivent Partner Emerging Markets Equity Portfolio and Partner Worldwide Allocation Fund are included in determining breakpoints for the assets managed by Aberdeen.
The fee payable for GSAM for managing the emerging markets debt portion is equal to 0.50% of the first $200 million of average daily net assets, 0.45% of the next $200 million and 0.40% of average daily net assets over $400 million. The fee payable for GSAM for managing the international small- and mid-cap equities portion is equal to 0.58% of the first $250 million of average daily net assets; and 0.54% of average daily net assets in excess of $250 million. Thrivent Partner Worldwide Allocation Portfolio 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 All Cap Portfolio
The Adviser has entered into a subadvisory agreement with Pyramis Global Advisors, LLC (“Pyramis Advisors”) for the performance of subadvisory services. Pyramis Advisors is a wholly owned subsidiary of Fidelity Management & Research Corporation. The fee payable is equal to 0.60% of average daily net assets for the first $100 million, 0.55% for the next $400 million, 0.50% for the next $250 million and 0.45% for assets over $750 million.
Partner Growth Stock Portfolio
The Adviser has entered into a subadvisory agreement with T. Rowe Price Associates, Inc. for the performance of subadvisory services. The fee payable is equal to 0.40% of average daily net assets for the first $500 million and 0.35% for assets over $500 million.
(C) Expense Reimbursements – As of December 31, 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 | 0.10 | % | N/A | |||||
| 1 | Thrivent Asset Management has voluntarily agreed to reimburse an additional 0.20% of certain portfolio level expenses to the extent necessary in order to maintain a minimum annualized net yield of 0.00%. |
375
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2013
As of December 31, 2013, the following voluntary expense reimbursements to limit expenses to the following percentages were in effect:
Portfolio | Expense Limit | Expiration Date | ||||||
Growth and Income Plus1 | 0.80 | % | N/A | |||||
| 1 | New voluntary expense limit became effective August 6, 2013. |
As of December 31, 2013, contractual expense reimbursements to limit expenses to the following percentages were in effect:
Portfolio | Expense Limit | Expiration Date | ||||||
Opportunity Income Plus | 0.79 | % | 4/30/2014 | |||||
Partner Healthcare | 1.25 | % | 4/30/2014 | |||||
Natural Resources | 1.02 | % | 4/30/2014 | |||||
Partner Emerging Markets Equity | 1.40 | % | 4/30/2014 | |||||
Partner All Cap1 | 0.95 | % | 4/30/2014 | |||||
Large Cap Index2 | 0.40 | % | 4/30/2014 | |||||
| 1 | Change from a 0.20% voluntary 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 year ended December 31, 2013, none of the Portfolios invested in High Yield Fund or Money Market Portfolio and all Portfolios, except Money Market Portfolio, invested in Cash Management Trust. These related-party transactions are subject to the same terms as non-related party transactions except that, to avoid duplicate investment advisory fees, Thrivent Financial reimburses an amount equal to the advisory fee which is charged to the Portfolio for its investment in High Yield Fund 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 year ended December 31, 2013, the Adviser received aggregate fees for accounting and administrative personnel and services of $7,564,519 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 $373,392 in fees from the Fund for the year ended December 31, 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 December 31, 2013, the tax-basis balance has not yet been finalized.
On the Statement of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments were made as follows [Increase/(Decrease)]:
Portfolio | Accumulated Net Investment Income/(Loss) | Accumulated Net Realized Gain/(Loss) | Capital Stock | |||||||||
Aggressive Allocation | $ | 92,253 | $ | (92,253 | ) | $ | — | |||||
Moderately Aggressive Allocation | (533,858 | ) | 533,858 | — | ||||||||
Moderate Allocation | (1,235,360 | ) | 1,235,360 | — | ||||||||
Moderately Conservative Allocation | (1,127,938 | ) | 1,127,938 | — | ||||||||
Growth and Income Plus | (6,400 | ) | (9,141,991 | ) | 9,148,391 | |||||||
Balanced Income Plus | (57,147 | ) | 57,147 | — | ||||||||
Diversified Income Plus | 29,437 | (29,437 | ) | — | ||||||||
Opportunity Income Plus | 317 | (317 | ) | — | ||||||||
Partner Technology | 81,147 | — | (81,147 | ) | ||||||||
Partner Healthcare | 57,393 | (57,393 | ) | — | ||||||||
Natural Resources | (1,193 | ) | 1,193 | — | ||||||||
Partner Emerging Markets Equity | (19,074 | ) | 19,074 | — | ||||||||
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Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2013
Portfolio | Accumulated Net Investment Income/(Loss) | Accumulated Net Realized Gain/(Loss) | Capital Stock | |||||||||
Real Estate Securities | (22,545 | ) | 22,545 | — | ||||||||
Partner Small Cap Growth | 1,366,404 | (1,363,747 | ) | (2,657 | ) | |||||||
Partner Small Cap Value | (37,645 | ) | 37,645 | — | ||||||||
Small Cap Stock | (235,277 | ) | 235,277 | — | ||||||||
Mid Cap Growth | (116,434 | ) | 116,434 | — | ||||||||
Partner Mid Cap Value | 28,000 | (28,000 | ) | — | ||||||||
Mid Cap Stock | (100,362 | ) | 100,362 | — | ||||||||
Mid Cap Index | 749 | (749 | ) | — | ||||||||
Partner Worldwide Allocation | 3,000,393 | (3,000,393 | ) | — | ||||||||
Partner All Cap | (1,241 | ) | 1,241 | — | ||||||||
Large Cap Growth | 139,982 | (139,982 | ) | — | ||||||||
Partner Growth Stock | 157,980 | (157,980 | ) | — | ||||||||
Large Cap Value | 512,290 | (512,290 | ) | — | ||||||||
Large Cap Stock | 352,852 | (350,665 | ) | (2,187 | ) | |||||||
Large Cap Index | (69,335 | ) | 69,335 | — | ||||||||
High Yield | (241,358 | ) | 241,358 | — | ||||||||
Income | (355,558 | ) | 355,558 | — | ||||||||
Limited Maturity Bond | 486 | (486 | ) | — | ||||||||
Money Market | 4,026 | (4,026 | ) | — | ||||||||
At December 31, 2013, the components of distributable earnings on a tax basis were as follows:
Portfolio | Undistributed Ordinary Income# | Undistributed Long-Term Capital Gain | ||||||
Aggressive Allocation | $ | 11,150,252 | $ | 16,386,817 | ||||
Moderately Aggressive | ||||||||
Allocation | 87,206,897 | 73,001,909 | ||||||
Moderate Allocation | 167,533,902 | 130,994,203 | ||||||
Moderately Conservative | ||||||||
Allocation | 70,525,814 | 56,905,061 | ||||||
Growth and Income Plus | 1,925,186 | 5,884,604 | ||||||
Balanced Income Plus | 5,047,403 | 50,803,124 | ||||||
Diversified Income Plus | 11,908,438 | — | ||||||
Opportunity Income Plus | 16,722 | — | ||||||
Partner Healthcare | 545,553 | 3,722,229 | ||||||
Natural Resources | 169,669 | — | ||||||
Partner Emerging Markets | ||||||||
Equity | 625,090 | — | ||||||
Real Estate Securities | 2,006,284 | 2,407,741 | ||||||
Partner Small Cap Growth | 12,110,288 | 26,722,011 | ||||||
Partner Small Cap Value | 1,283,075 | 9,391,830 | ||||||
Small Cap Stock | 760,245 | 3,810,915 | ||||||
Small Cap Index | 3,285,052 | 16,090,138 | ||||||
Mid Cap Growth | 3,409,924 | 34,762,596 | ||||||
Partner Mid Cap Value | 23,497,667 | 27,977,283 | ||||||
Mid Cap Stock | 2,001,346 | 31,748,560 | ||||||
Mid Cap Index | 1,514,960 | 5,599,241 | ||||||
Partner Worldwide | ||||||||
Allocation | 34,636,379 | — | ||||||
Partner All Cap | 398,762 | — | ||||||
Large Cap Growth | 851,764 | — | ||||||
Partner Growth Stock | 188,461 | 6,308,313 | ||||||
Large Cap Value | �� | 14,185,537 | — | |||||
Large Cap Stock | 7,245,394 | — | ||||||
Large Cap Index | 6,470,522 | 330,273 | ||||||
High Yield | 641,103 | — | ||||||
Income | 75,675 | 17,510,490 | ||||||
Bond Index | 53,886 | — | ||||||
Limited Maturity Bond | 585,336 | — | ||||||
| # | Undistributed ordinary income includes income derived from short-term capital gains. |
At December 31, 2013, the following Portfolios had accumulated net realized capital loss carryovers expiring as follows:
Portfolio | Capital Loss Carryover | Expiration Year | ||||||
Diversified Income Plus | $ | 2,252,585 | 2017 | |||||
|
| |||||||
| $ | 2,252,585 | |||||||
|
| |||||||
Partner Technology | 657,215 | 2017 | ||||||
|
| |||||||
| $ | 657,215 | |||||||
|
| |||||||
Partner Worldwide Allocation | 3,042,558 | 2015 | ||||||
| 186,079,623 | 2016 | |||||||
|
| |||||||
| $ | 189,122,181 | |||||||
|
| |||||||
Partner All Cap | 566,312 | 2017 | ||||||
|
| |||||||
| $ | 566,312 | |||||||
|
| |||||||
Large Cap Growth | 5,831,793 | 2016 | ||||||
| 185,657,815 | 2017 | |||||||
|
| |||||||
| $ | 191,489,608 | |||||||
|
| |||||||
Large Cap Value | 26,659,185 | 2017 | ||||||
|
| |||||||
| $ | 26,659,185 | |||||||
|
| |||||||
Large Cap Stock | 4,973,665 | 2017 | ||||||
|
| |||||||
| $ | 4,973,665 | |||||||
|
| |||||||
High Yield | 37,716,044 | 2016 | ||||||
| 46,838,004 | 2017 | |||||||
|
| |||||||
| $ | 84,554,048 | |||||||
|
| |||||||
Limited Maturity Bond | 5,003,777 | 2017 | ||||||
|
| |||||||
| $ | 5,003,777 | |||||||
|
| |||||||
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.
377
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2013
At December 31, 2013, the following Portfolios had accumulated net realized capital loss carryovers subject to the Act, as follows:
Portfolio | Capital Loss Carryover | Tax Character | ||||||
Opportunity Income Plus | $ | 1,722,716 | Short-term | |||||
|
| |||||||
| $ | 1,722,716 | |||||||
|
| |||||||
Natural Resources | 978,936 | Short-term | ||||||
| 1,905,739 | Long-term | |||||||
|
| |||||||
| $ | 2,884,675 | |||||||
|
| |||||||
Partner Emerging Markets Equity | 638,572 | Long-term | ||||||
|
| |||||||
| $ | 638,572 | |||||||
|
| |||||||
Bond Index | 2,128,041 | Short-term | ||||||
|
| |||||||
| $ | 2,128,041 | |||||||
|
| |||||||
Of the capital loss carryovers attributable to Partner Worldwide Allocation Portfolio, the following amounts were obtained as a result of the reorganization, as described in Note (1)(A), with Partner International Stock Portfolio in July 2012:
Portfolio | Capital Loss Carryover | Expiration Year | ||||||
Partner Worldwide Allocation | 3,042,558 | 2015 | ||||||
| 186,079,623 | 2016 | |||||||
|
| |||||||
| $ | 189,122,181 | |||||||
|
| |||||||
The Internal Revenue Code may limit the ability to utilize capital losses after a merger.
During the fiscal year 2013, capital loss carryovers utilized by the Portfolios were as follows:
Portfolio | Capital Loss Carryover | |||
Growth and Income Plus | 2,687,553 | |||
Diversified Income Plus | 9,532,438 | |||
Partner Technology | 4,266,297 | |||
Real Estate Securities | 1,333,363 | |||
Small Cap Stock | 28,378,599 | |||
Mid Cap Stock | 24,266,272 | |||
Partner Worldwide Allocation | 63,764,650 | |||
Partner All Cap | 9,229,908 | |||
Large Cap Growth | 93,184,982 | |||
Partner Growth Stock | 240,199 | |||
Large Cap Value | 50,427,822 | |||
Large Cap Stock | 64,546,158 | |||
High Yield | 16,579,458 | |||
Limited Maturity Bond | 7,827,268 | |||
The tax character of distributions paid during the years ended December 31, 2013 and 2012 was as follows:
| Ordinary Income | Long-term Capital Gain | Return of Capital | ||||||||||||||||||||||
Portfolio | 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | 12/31/2013 | 12/31/2012 | ||||||||||||||||||
Aggressive Allocation | $ | 11,627,216 | $ | 8,491,099 | $ | 5,709,117 | $ | 20,876,578 | $ | — | $ | — | ||||||||||||
Moderately Aggressive Allocation | 94,028,514 | 42,073,556 | 36,454,375 | 30,081,262 | — | — | ||||||||||||||||||
Moderate Allocation | 166,852,796 | 79,898,649 | 53,035,752 | 25,454,221 | — | — | ||||||||||||||||||
Moderately Conservative Allocation | 82,026,029 | 44,867,706 | 28,450,013 | 11,691,435 | — | — | ||||||||||||||||||
Growth and Income Plus | 2,504,677 | 1,466,534 | — | — | — | — | ||||||||||||||||||
Balanced Income Plus | 6,424,903 | 7,020,558 | 6,446,347 | 5,531,698 | — | — | ||||||||||||||||||
Diversified Income Plus | 7,460,218 | 5,452,096 | — | — | — | — | ||||||||||||||||||
Opportunity Income Plus | 1,314,057 | 1,063,244 | — | 273,995 | — | — | ||||||||||||||||||
Partner Healthcare | 505,666 | 55,995 | 1,004,227 | 248,326 | — | — | ||||||||||||||||||
Natural Resources | 226,334 | 77,727 | — | 4,038,356 | — | — | ||||||||||||||||||
Partner Emerging Markets Equity | 626,603 | 252,692 | — | 239,345 | — | — | ||||||||||||||||||
Real Estate Securities | 1,880,889 | 4,305,833 | — | — | — | — | ||||||||||||||||||
Partner Small Cap Growth | — | — | 6,075,672 | — | — | — | ||||||||||||||||||
Partner Small Cap Value | 6,212,011 | 1,705,822 | 1,618,481 | — | — | — | ||||||||||||||||||
Small Cap Stock | 1,110,363 | — | — | — | — | — | ||||||||||||||||||
Small Cap Index | 3,167,163 | 1,510,322 | 9,010,936 | 15,711,199 | — | — | ||||||||||||||||||
Mid Cap Growth | 1,307,135 | 813,792 | 216,636 | — | — | — | ||||||||||||||||||
Partner Mid Cap Value | 3,991,956 | 1,932,483 | 12,356,287 | — | — | — | ||||||||||||||||||
Mid Cap Stock | 2,176,782 | 1,205,625 | — | — | — | — | ||||||||||||||||||
Mid Cap Index | 1,130,073 | 712,523 | 2,955,941 | 7,728,249 | — | — | ||||||||||||||||||
Partner Worldwide Allocation | 416,617 | 21,291,197 | — | 4,890,102 | — | — | ||||||||||||||||||
Partner All Cap | 428,025 | 239,038 | — | — | — | — | ||||||||||||||||||
Large Cap Growth | 5,999,580 | 9,829,304 | — | — | — | — | ||||||||||||||||||
Partner Growth Stock | 18,555 | — | — | — | — | — | ||||||||||||||||||
Large Cap Value | 14,880,600 | 13,811,639 | — | — | — | — | ||||||||||||||||||
Large Cap Stock | 8,140,375 | 6,228,672 | — | — | — | — | ||||||||||||||||||
Large Cap Index | 5,733,630 | 5,141,254 | 3,429,327 | — | — | — | ||||||||||||||||||
High Yield | 57,720,706 | 59,938,400 | — | — | — | — | ||||||||||||||||||
Income | 56,092,101 | 59,012,268 | 3,278,491 | — | — | — | ||||||||||||||||||
Bond Index | 6,585,111 | 5,066,796 | 2,208,152 | 397,118 | — | — | ||||||||||||||||||
Limited Maturity Bond | 17,218,976 | 22,206,345 | — | — | — | — | ||||||||||||||||||
378
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2013
(5) SECURITY TRANSACTIONS
(A) Purchases and Sales of Investment Securities — For the year ended December 31, 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 | $ | 237,437 | $ | 225,377 | ||||
Moderately Aggressive Allocation | 1,168,357 | 903,373 | ||||||
Moderate Allocation | 2,166,144 | 1,360,970 | ||||||
Moderately Conservative Allocation | 1,218,109 | 833,378 | ||||||
Growth and Income Plus | 133,787 | 125,150 | ||||||
Balanced Income Plus | 270,904 | 243,952 | ||||||
Diversified Income Plus | 354,553 | 248,668 | ||||||
Opportunity Income Plus | 40,820 | 6,665 | ||||||
Partner Technology | 20,183 | 18,681 | ||||||
Partner Healthcare | 40,517 | 22,576 | ||||||
Natural Resources | 11,677 | 12,396 | ||||||
Partner Emerging Markets Equity | 13,626 | 2,976 | ||||||
Real Estate Securities | 28,070 | 28,995 | ||||||
Partner Small Cap Growth | 244,427 | 264,207 | ||||||
Partner Small Cap Value | 36,062 | 36,642 | ||||||
Small Cap Stock | 180,995 | 169,129 | ||||||
Small Cap Index | 25,935 | 35,537 | ||||||
Mid Cap Growth | 143,192 | 177,496 | ||||||
Partner Mid Cap Value | 336,299 | 325,554 | ||||||
Mid Cap Stock | 219,543 | 229,894 | ||||||
Mid Cap Index | 19,637 | 11,631 | ||||||
Partner Worldwide Allocation | 1,205,655 | 1,234,144 | ||||||
Partner All Cap | 75,071 | 78,926 | ||||||
Large Cap Growth | 564,993 | 664,518 | ||||||
Partner Growth Stock | 22,052 | 25,358 | ||||||
Large Cap Value | 318,389 | 309,725 | ||||||
Large Cap Stock | 511,516 | 477,984 | ||||||
Large Cap Index | 13,789 | 17,637 | ||||||
High Yield | 501,428 | 467,989 | ||||||
Income | 770,312 | 786,803 | ||||||
Bond Index | 22,056 | 40,099 | ||||||
Limited Maturity Bond | 380,226 | 380,373 | ||||||
Purchases and Sales of U.S. Government Securities were:
| In thousands | ||||||||
Portfolio | Purchases | Sales | ||||||
Aggressive Allocation | $ | 73,816 | $ | 54,610 | ||||
Moderately Aggressive Allocation | 1,309,042 | 1,021,979 | ||||||
Moderate Allocation | 4,459,621 | 3,923,065 | ||||||
Moderately Conservative Allocation | 4,819,928 | 4,603,126 | ||||||
Growth and Income Plus | 13,499 | 11,508 | ||||||
Balanced Income Plus | 276,736 | 310,549 | ||||||
Diversified Income Plus | 188,989 | 181,817 | ||||||
Opportunity Income Plus | 269,074 | 293,789 | ||||||
Partner Worldwide Allocation | 30,787 | 28,237 | ||||||
Income | 919,062 | 1,002,527 | ||||||
Bond Index | 671,003 | 683,698 | ||||||
Limited Maturity Bond | 918,994 | 1,029,786 | ||||||
(B) Investments in Restricted Securities – Certain Portfolios may own restricted securities that have been deemed illiquid and were purchased in private placement transactions without registration under the Securities Act of 1933. Unless such securities subsequently become registered, they generally may be resold only in privately negotiated transactions with a limited number of purchasers. As of December 31, 2013, the following Portfolios held restricted securities:
Portfolio | Number of Securities | Percent of Portfolio’s Net Assets | ||||||
Moderately Aggressive Allocation | 3 | 0.02 | % | |||||
Moderate Allocation | 3 | 0.02 | % | |||||
Moderately Conservative Allocation | 3 | 0.09 | % | |||||
Growth and Income Plus | 2 | 0.31 | % | |||||
Balanced Income Plus | 5 | 0.90 | % | |||||
Diversified Income Plus | 2 | 0.47 | % | |||||
Opportunity Income Plus | 3 | 1.22 | % | |||||
Partner Worldwide Allocation | 7 | 0.08 | % | |||||
Partner Growth Stock | 2 | 0.77 | % | |||||
High Yield | 8 | 3.37 | % | |||||
Income | 2 | 0.42 | % | |||||
Bond Index | 2 | 0.91 | % | |||||
Limited Maturity Bond | 7 | 1.57 | % | |||||
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.
379
Thrivent Series Fund, Inc.
Notes to Financial Statements
December 31, 2013
(E) Written Option Contracts – The number of contracts and premium amounts associated with covered call option contracts written during the year ended December 31, 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 | ) | (22,644 | ) | ||||
Exercised | — | — | ||||||
|
|
|
| |||||
Balance at December 31, 2013 | — | $ | — | |||||
|
|
|
| |||||
Moderate Allocation | ||||||||
Balance at December 31, 2012 | — | $ | — | |||||
Opened | 79 | 220,072 | ||||||
Closed | (40 | ) | (114,685 | ) | ||||
Expired | (39 | ) | (105,387 | ) | ||||
Exercised | — | — | ||||||
|
|
|
| |||||
Balance at December 31, 2013 | — | $ | — | |||||
|
|
|
| |||||
Moderately Conservative Allocation | ||||||||
Balance at December 31, 2012 | — | $ | — | |||||
Opened | 93 | 258,260 | ||||||
Closed | (47 | ) | (134,586 | ) | ||||
Expired | (46 | ) | (123,674 | ) | ||||
Exercised | — | — | ||||||
|
|
|
| |||||
Balance at December 31, 2013 | — | $ | — | |||||
|
|
|
| |||||
Diversified Income Plus | ||||||||
Balance at December 31, 2012 | — | $ | — | |||||
Opened | 4 | 11,648 | ||||||
Closed | (2 | ) | (6,070 | ) | ||||
Expired | (2 | ) | (5,578 | ) | ||||
Exercised | — | — | ||||||
|
|
|
| |||||
Balance at December 31, 2013 | — | $ | — | |||||
|
|
|
| |||||
Opportunity Income Plus | ||||||||
Balance at December 31, 2012 | — | $ | — | |||||
Opened | 7 | 19,414 | ||||||
Closed | (4 | ) | (10,117 | ) | ||||
Expired | (3 | ) | (9,297 | ) | ||||
Exercised | — | — | ||||||
|
|
|
| |||||
Balance at December 31, 2013 | — | $ | — | |||||
|
|
|
| |||||
(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 December 31, 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 | ||||||
Growth and Income Plus | 200,000,000 | 0.01 | ||||||
Balanced Income Plus | 200,000,000 | 0.01 | ||||||
Diversified Income Plus | 250,000,000 | 0.01 | ||||||
Opportunity Income Plus | 50,000,000 | 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 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 | 400,000,000 | 0.01 | ||||||
Large Cap Index | 200,000,000 | 0.01 | ||||||
High Yield | 350,000,000 | 0.01 | ||||||
Income | 300,000,000 | 0.01 | ||||||
Bond Index | 200,000,000 | 0.01 | ||||||
Limited Maturity Bond | 450,000,000 | 0.01 | ||||||
Money Market | 1,200,000,000 | 0.01 | ||||||
(8) SUBSEQUENT EVENTS
Management of the Portfolios has evaluated the impact of subsequent events and, except as already included in the Notes to Financial Statements, has determined that no additional items require disclosure.
380
Thrivent Series Fund, Inc.
| 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 | ||||||||||||||||||||||||
Year Ended 12/31/2013 | $ | 12.15 | $ | 0.07 | $ | 3.17 | $ | 3.24 | $ | (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 | ) | — | |||||||||||||||||
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MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 12.31 | 0.12 | 2.44 | 2.56 | (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 | ) | — | |||||||||||||||||
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MODERATE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 12.28 | 0.16 | 1.66 | 1.82 | (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 | ) | — | |||||||||||||||||
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MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 12.07 | 0.20 | 0.87 | 1.07 | (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 | ) | — | |||||||||||||||||
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GROWTH AND INCOME PLUS PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 9.82 | 0.33 | 1.74 | 2.07 | (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 | ) | — | |||||||||||||||||
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BALANCED INCOME PLUS PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 15.42 | 0.30 | 2.42 | 2.72 | (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 | ) | ||||||||||||||||
| (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 portfolio 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.
381
Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||
| Ratio to Average Net | Before Expenses Waived, | |||||||||||||||||||||||||||||||||
| Net Asset | Net Assets, End | Assets** | Credited or Paid Indirectly** | Portfolio | ||||||||||||||||||||||||||||||
| Total | Value, End of | Total | of Period | Net Investment | Net Investment | Turnover | ||||||||||||||||||||||||||||
Distributions | Period | Return(b) | (in millions) | Expenses | Income/(Loss) | Expenses | Income/(Loss) | Rate | ||||||||||||||||||||||||||
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| $ | (0.35 | ) | $ | 15.04 | 27.05 | % | $ | 799.4 | 0.46 | % | 0.53 | % | 0.47 | % | 0.52 | % | 43 | % | ||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.50 | ) | 14.37 | 21.30 | % | 4,224.5 | 0.38 | % | 1.09 | % | 0.40 | % | 1.07 | % | 60 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.47 | ) | 13.63 | 15.12 | % | 7,181.1 | 0.36 | % | 1.46 | % | 0.38 | % | 1.44 | % | 99 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.43 | ) | 12.71 | 9.02 | % | 3,353.0 | 0.37 | % | 1.72 | % | 0.40 | % | 1.68 | % | 198 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.23 | ) | 11.66 | 21.24 | % | 65.5 | 0.79 | % | 2.10 | % | 0.85 | % | 2.04 | % | 153 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.86 | ) | 17.28 | 17.95 | % | 275.0 | 0.53 | % | 1.81 | % | 0.53 | % | 1.81 | % | 216 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
| (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.
382
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 | ||||||||||||||||||||||||
Year Ended 12/31/2013 | $ | 7.23 | $ | 0.21 | $ | 0.59 | $ | 0.80 | $ | (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 | ) | — | |||||||||||||||||
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OPPORTUNITY INCOME PLUS PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 10.64 | 0.26 | (0.40 | ) | (0.14 | ) | (0.26 | ) | (0.09 | ) | ||||||||||||||
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 | ) | — | |||||||||||||||||
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PARTNER TECHNOLOGY PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 7.51 | (0.02 | ) | 2.20 | 2.18 | — | — | |||||||||||||||||
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 | — | — | |||||||||||||||||
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PARTNER HEALTHCARE PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 13.39 | (0.02 | ) | 4.10 | 4.08 | (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 | — | — | ||||||||||||||||||
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NATURAL RESOURCES PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 6.91 | 0.04 | 0.62 | 0.66 | (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 | — | — | ||||||||||||||||||
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PARTNER EMERGING MARKETS EQUITY PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 13.61 | 0.12 | (1.13 | ) | (1.01 | ) | (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 | ) | — | |||||||||||||||||
| (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 portfolio 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.
383
Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||
| Ratio to Average Net | Before Expenses Waived, | |||||||||||||||||||||||||||||||||
| Net Asset | Net Assets, End | Assets** | Credited or Paid Indirectly** | |||||||||||||||||||||||||||||||
| Total | Value, End of | Total | of Period | Net Investment | Net Investment | Portfolio | ||||||||||||||||||||||||||||
Distributions | Period | Return(b) | (in millions) | Expenses | Income/(Loss) | Expenses | Income/(Loss) | Turnover Rate | ||||||||||||||||||||||||||
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| $ | (0.19 | ) | $ | 7.84 | 11.17 | % | $ | 362.7 | 0.49 | % | 3.88 | % | 0.49 | % | 3.88 | % | 150 | % | ||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.35 | ) | 10.15 | (1.39 | )% | 46.5 | 0.79 | % | 2.58 | % | 0.88 | % | 2.49 | % | 755 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| — | 9.69 | 29.01 | % | 48.1 | 1.08 | % | (0.21 | )% | 1.08 | % | (0.21 | )% | 48 | % | ||||||||||||||||||||
| — | 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 | % | ||||||||||||||||||||
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| (0.63 | ) | 16.84 | 31.09 | % | 53.7 | 1.25 | % | (0.10 | )% | 1.31 | % | (0.16 | )% | 61 | % | |||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.05 | ) | 7.52 | 9.55 | % | 35.0 | 1.02 | % | 0.50 | % | 1.13 | % | 0.39 | % | 37 | % | |||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.13 | ) | 12.47 | (7.34 | )% | 59.9 | 1.40 | % | 1.07 | % | 1.54 | % | 0.92 | % | 5 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
| (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.
384
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 | ||||||||||||||||||||||
REAL ESTATE SECURITIES PORTFOLIO | ||||||||||||||||||||||||||||
Year Ended 12/31/2013 | $ | 17.85 | $ | 0.29 | $ | 0.11 | $ | 0.40 | $ | (0.27 | ) | $ | — | $ | — | |||||||||||||
Year Ended 12/31/2012 | 15.77 | 0.30 | 2.43 | 2.73 | (0.65 | ) | — | — | ||||||||||||||||||||
Year Ended 12/31/2011 (c) | 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 | ) | |||||||||||||||||||
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PARTNER SMALL CAP GROWTH PORTFOLIO | ||||||||||||||||||||||||||||
Year Ended 12/31/2013 | 13.87 | (0.08 | ) | 5.79 | 5.71 | — | (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 | ) | — | — | |||||||||||||||||||
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PARTNER SMALL CAP VALUE PORTFOLIO | ||||||||||||||||||||||||||||
Year Ended 12/31/2013 | 21.17 | 0.14 | 7.55 | 7.69 | (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 | ) | — | |||||||||||||||||||
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SMALL CAP STOCK PORTFOLIO | ||||||||||||||||||||||||||||
Year Ended 12/31/2013 | 13.12 | 0.04 | 4.67 | 4.71 | (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 | ) | — | — | ||||||||||||||||||||
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SMALL CAP INDEX PORTFOLIO | ||||||||||||||||||||||||||||
Year Ended 12/31/2013 | 13.42 | 0.14 | 5.17 | 5.31 | (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 | ) | — | |||||||||||||||||||
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MID CAP GROWTH PORTFOLIO | ||||||||||||||||||||||||||||
Year Ended 12/31/2013 | 19.59 | 0.06 | 5.89 | 5.95 | (0.08 | ) | (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 | — | — | — | |||||||||||||||||||||
| (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 portfolio shares. |
| (c) | 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.
385
Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Ratios to Average Net | ||||||||||||||||||||||||||||||||||
| Ratio to Average Net | Assets Before Expenses Waived, | |||||||||||||||||||||||||||||||||
| Net Asset | Net Assets, End | Assets** | Credited or Paid Indirectly** | |||||||||||||||||||||||||||||||
| Total | Value, End of | Total | of Period | Net Investment | Net Investment | Portfolio | ||||||||||||||||||||||||||||
Distributions | Period | Return(b) | (in millions) | Expenses | Income/(Loss) | Expenses | Income/(Loss) | Turnover Rate | ||||||||||||||||||||||||||
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| $ | (0.27 | ) | $ | 17.98 | 2.18 | % | $ | 120.1 | 0.92 | % | 1.53 | % | 0.92 | % | 1.53 | % | 22 | % | ||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.35 | ) | 19.23 | 41.64 | % | 344.3 | 0.98 | % | (0.49 | )% | 1.08 | % | (0.59 | )% | 85 | % | |||||||||||||||||||
| — | 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 | % | |||||||||||||||||||
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| (0.59 | ) | 28.27 | 36.76 | % | 384.7 | 0.86 | % | 0.56 | % | 0.86 | % | 0.56 | % | 11 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.06 | ) | 17.77 | 35.90 | % | 354.6 | 0.75 | % | 0.25 | % | 0.75 | % | 0.25 | % | 62 | % | |||||||||||||||||||
| — | 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 | % | |||||||||||||||||||
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| (0.87 | ) | 17.86 | 40.83 | % | 262.8 | 0.44 | % | 0.84 | % | 0.44 | % | 0.84 | % | 12 | % | |||||||||||||||||||
| (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 | % | |||||||||||||||||||
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| (0.09 | ) | 25.45 | 30.45 | % | 424.3 | 0.46 | % | 0.22 | % | 0.46 | % | 0.22 | % | 38 | % | |||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (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.
386
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 MID CAP VALUE PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | $ | 14.67 | $ | 0.12 | $ | 4.57 | $ | 4.69 | $ | (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 | ) | — | |||||||||||||||||
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MID CAP STOCK PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 13.09 | 0.06 | 4.57 | 4.63 | (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 | ) | — | |||||||||||||||||
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MID CAP INDEX PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 12.36 | 0.12 | 3.87 | 3.99 | (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 | ) | ||||||||||||||||
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PARTNER WORLDWIDE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 8.62 | 0.18 | 1.22 | 1.40 | — | — | ||||||||||||||||||
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 | ) | — | |||||||||||||||||
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PARTNER ALL CAP PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 9.64 | 0.08 | 3.07 | 3.15 | (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 | ) | — | |||||||||||||||||
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LARGE CAP GROWTH PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 18.81 | 0.15 | 6.64 | 6.79 | (0.14 | ) | — | |||||||||||||||||
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 | ) | — | |||||||||||||||||
| (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 portfolio 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.
387
Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Net Asset | Net Assets, End | Ratio to Average Net Assets** | Ratios to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly** | |||||||||||||||||||||||||||||||
Total | Value, End of Period | Total Return(b) | of Period (in millions) | Expenses | Net Investment Income/(Loss) | Expenses | Net Investment Income/(Loss) | Portfolio Turnover Rate | ||||||||||||||||||||||||||
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| $ | (0.91) | $ | 18.45 | 32.74 | % | $ | 352.9 | 0.79 | % | 0.76 | % | 0.81 | % | 0.75 | % | 108 | % | |||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.06) | 17.66 | 35.50 | % | 675.4 | 0.72 | % | 0.38 | % | 0.72 | % | 0.38 | % | 39 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.57) | 15.78 | 32.92 | % | 123.0 | 0.50 | % | 0.95 | % | 0.50 | % | 0.95 | % | 12 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| — | 10.02 | 16.31 | % | 1,706.0 | 0.91 | % | 1.97 | % | 0.91 | % | 1.97 | % | 80 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.08) | 12.71 | 32.85 | % | 63.8 | 0.98 | % | 0.69 | % | 1.23 | % | 0.45 | % | 133 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.14) | 25.46 | 36.14 | % | 1,062.0 | 0.44 | % | 0.66 | % | 0.44 | % | 0.66 | % | 62 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (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.
388
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 GROWTH STOCK PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | $ | 13.54 | $ | (0.04 | ) | $ | 5.29 | $ | 5.25 | $ | — | $ | — | |||||||||||
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 | ) | — | |||||||||||||||||
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LARGE CAP VALUE PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 12.00 | 0.20 | 3.59 | 3.79 | (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 | ) | — | |||||||||||||||||
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LARGE CAP STOCK PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 9.22 | 0.11 | 2.60 | 2.71 | (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 | ) | — | |||||||||||||||||
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LARGE CAP INDEX PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 20.11 | 0.40 | 5.91 | 6.31 | (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 | ) | ||||||||||||||||
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HIGH YIELD PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 5.05 | 0.32 | 0.02 | 0.34 | (0.32 | ) | — | |||||||||||||||||
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 | ) | — | |||||||||||||||||
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INCOME PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 10.77 | 0.40 | (0.41 | ) | (0.01 | ) | (0.40 | ) | (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 | ) | — | |||||||||||||||||
| (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 portfolio 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.
389
Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Net Asset | Net Assets, End | Ratio to Average Net Assets** | Ratios to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly** | |||||||||||||||||||||||||||||||
Total | Value, End of Period | Total Return(b) | of Period (in millions) | Expenses | Net Investment Income/(Loss) | Expenses | Net Investment Income/(Loss) | Portfolio Turnover Rate | ||||||||||||||||||||||||||
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| $ | — | $ | 18.79 | 38.84 | % | $ | 76.2 | 0.94 | % | (0.24 | )% | 1.04 | % | (0.34 | )% | 34 | % | |||||||||||||||||
| — | 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 | % | ||||||||||||||||||||
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| (0.21) | 15.58 | 31.82 | % | 1,119.2 | 0.64 | % | 1.42 | % | 0.64 | % | 1.42 | % | 32 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.12) | 11.81 | 29.60 | % | 811.9 | 0.67 | % | 1.02 | % | 0.67 | % | 1.02 | % | 73 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.62) | 25.80 | 31.81 | % | 392.6 | 0.40 | % | 1.71 | % | 0.40 | % | 1.71 | % | 4 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.32) | 5.07 | 6.91 | % | 921.9 | 0.44 | % | 6.31 | % | 0.44 | % | 6.31 | % | 53 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.42) | 10.34 | (0.07 | )% | 1,417.6 | 0.44 | % | 3.78 | % | 0.44 | % | 3.78 | % | 115 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
| (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.
390
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 | |||||||||||||||||||
BOND INDEX PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | $ | 11.39 | $ | 0.21 | $ | (0.48 | ) | $ | (0.27 | ) | $ | (0.21 | ) | $ | (0.35 | ) | ||||||||
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 | ) | — | |||||||||||||||||
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LIMITED MATURITY BOND PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 9.92 | 0.15 | (0.10 | ) | 0.05 | (0.15 | ) | — | ||||||||||||||||
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 | ) | — | |||||||||||||||||
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MONEY MARKET PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2013 | 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 | — | — | — | — | — | ||||||||||||||||||
| (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 portfolio 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.
391
Thrivent Series Fund, Inc.
Financial Highlights – continued
| RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Net Asset | Net Assets, End | Ratio to Average Net Assets** | Ratios to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly** | |||||||||||||||||||||||||||||||
Total | Value, End of Period | Total Return(b) | of Period (in millions) | Expenses | Net Investment Income/(Loss) | Expenses | Net Investment Income/(Loss) | Portfolio Turnover Rate | ||||||||||||||||||||||||||
| $ | (0.56) | $ | 10.56 | (2.47 | )% | $ | 152.0 | 0.46 | % | 1.94 | % | 0.46 | % | 1.94 | % | 384 | % | |||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| (0.15) | 9.82 | 0.45 | % | 1,082.5 | 0.44 | % | 1.56 | % | 0.44 | % | 1.56 | % | 114 | % | ||||||||||||||||||||
| (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 | % | ||||||||||||||||||||
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| — | 1.00 | 0.00 | % | 146.6 | 0.22 | % | 0.00 | % | 0.52 | % | (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 | |||||||||||||||||||||
| (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.
392
(unaudited)
Proxy Voting
The policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities are attached to the Fund’s Statement of Additional Information. You may request a free copy of the Statement of Additional Information or the report of how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 by calling 1-800-847-4836. You also may review the Statement of Additional Information or the report of how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 at Thrivent.com or www.sec.gov.
Quarterly Schedule of Portfolio Holdings
The Fund files its Schedule of Portfolio Holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. You may request a free copy of the Fund’s Forms N-Q by calling 1-800-847-4836. The Fund’s most recent Form N-Q Schedule of Investments also is available at Thrivent.com or www.sec.gov. You also may review and copy the Forms N-Q for the Fund at the SEC’s Public Reference Room in Washington, DC. You may get information about the operation of the Public Reference Room by calling 1-800-SEC-0330.
Board Approval of Investment Advisory Agreement and Subadvisory Agreements
Both the Investment Company Act of 1940 (the “Investment Company Act”) and the terms of the Investment Advisory and Subadvisory Agreements of the Thrivent Series Fund, Inc. (the “Fund”) require that these agreements be approved annually by the Board of Directors (the “Board”), including a majority of the Directors who are not “interested persons” of the Fund, as defined in the Investment Company Act (the “Independent Directors”). The nine-member Board consists of eight Independent Directors, including the Chairman.
At its meeting on November 19-20, 2013, the Board voted unanimously to renew the existing Investment Advisory Agreement between the Fund and Thrivent Financial for Lutherans (the “Adviser”) for each series (each, a “Portfolio”) of the Fund. The Board also unanimously approved the Subadvisory Agreements for each of the Portfolios for which there is an investment subadviser (each a “Subadviser”). The Adviser and Subadvisers are referred to, collectively, as the “Advisory Organizations.” In connection with its evaluation of the agreements with the Advisory Organizations, the Board reviewed a broad range of information requested for this purpose and considered a variety of factors, including the following:
| 1. | The nature, extent, and quality of the services provided by the Advisory Organizations; |
| 2. | The performance of each Portfolio; |
| 3. | The advisory fee and net operating expense ratio of each Portfolio compared to a peer group; |
| 4. | The cost of services provided and profit realized by the Adviser; |
| 5. | The extent to which economies of scale may be realized as the Portfolios grow; |
| 6. | Whether the breakpoint levels reflect these economies of scale for the benefit of the Portfolios’ shareholders; |
| 7. | Other benefits realized by the Adviser or its affiliates from their relationship with the Fund; and |
| 8. | Any other factors that the Board deemed relevant to its consideration. |
In connection with the renewal process, the Contracts Committee of the Board (consisting of each of the Independent Directors) met on five occasions from May 21 to November 19, 2013 to consider information relevant to the renewal process. The Independent Directors also retained the services of Management Practice, Inc. (“MPI”) as an independent consultant to assist in the compilation, organization, and evaluation of relevant information. This information included Portfolio-by-Portfolio statistical comparisons of the advisory fees, other fees, net operating expenses and performance of each of the Portfolios in comparison to a peer group of comparable funds; portfolio turnover percentages; information prepared by management with respect to the cost of services provided to the Portfolios and fees charged, including effective advisory fees that take into account breakpoints and fee waivers by the Adviser; asset and flow trends for the Portfolios; profit realized by the Adviser and its affiliates that provide services to the Portfolios; and information regarding the types of services furnished to the Portfolios. The Board received information from management, including the investment management staff of the Adviser regarding the personnel providing services to the Portfolios, as well as changes in staff and systems and compliance improvements. The Board also received periodic reports from the Adviser’s investment management staff with respect to the performance of the Portfolios. In addition to its review of the information presented to the Board during the contract renewal process, the Board also considered information obtained from management throughout the course of the year.
393
Additional Information
(unaudited)
The Independent Directors were represented by independent counsel throughout the review process and during executive sessions without management present to consider reapproval of the agreements. Each Independent Director relied on his or her own business judgment in determining the weight to be given to each factor considered in evaluating the materials that were presented. The Contracts Committee’s and Board’s review and conclusions were based on a comprehensive consideration of all information presented to them and were not the result of any single controlling factor. In addition, each Director may have weighed individual factors differently. The key factors considered and the conclusions reached are described below.
Nature, Extent and Quality of Services
At each of the Board’s regular quarterly meetings, management presented information describing the services furnished to the Portfolios by the Adviser and, as appropriate, the Subadvisers. During these meetings, management reported on the investment management, portfolio trading and compliance services provided to the Portfolios under the Advisory and Subadvisory Agreements. During the renewal process, the Board considered the specific services provided under the Advisory Agreement. The Board also considered information relating to the investment experience and qualifications of the Adviser’s portfolio managers and those of the Subadvisers.
The Board received reports at each of its quarterly meetings from the Adviser’s Head of Equity Investments and Head of Fixed Income Funds, as supplemented by the Adviser’s Chief Investment Officer, who was also present at all of the meetings. At each quarterly meeting, the Head of Equity Investments and Head of Fixed Income Funds presented information about each of the Portfolios. These reports and presentations gave the Board the opportunity to evaluate the portfolio managers’ abilities and the quality of services they provide to the Portfolios. Information was also presented to the Board describing the portfolio compliance functions performed by the Adviser and the Adviser’s oversight of the Subadvisers to the Fund. The Independent Directors also met in-person with and received quarterly reports from the Fund’s Chief Compliance Officer.
The Board considered the adequacy of the Advisory Organizations’ resources used to provide services to the Fund pursuant to the Advisory and Subadvisory Agreements. The Adviser reviewed with the Board the Adviser’s process for overseeing the portfolio management teams of the Portfolios, and explained similarities and differences for how it oversees the Adviser’s teams and the teams of the Subadvisers. In addition, the Adviser explained how it has continued to invest in technology and personnel and the benefits those investments can have on the Portfolios. The Adviser also discussed how it has continued to strengthen its compliance program. The Adviser reviewed with the Board its process for selecting and overseeing the Subadvisers, including the results of recent on-site compliance due diligence visits. The Adviser also reviewed with the Board the services provided by the Subadvisers. The Board viewed these actions as a positive factor in reapproving the existing Advisory Agreement, as they demonstrated the Adviser’s commitment to provide the Portfolios with quality service and competitive investment performance. The Board concluded that, within the context of its full deliberations, the nature, extent and quality of the investment advisory services provided to the Portfolios by the Adviser and Subadvisers supported renewal of the Advisory Agreement and Subadvisory Agreements.
Performance of the Portfolios
In connection with each of its regular quarterly meetings, the Board received information on the performance of each Portfolio, including net performance, relative performance rankings within each Portfolio’s Lipper peer group, Morningstar ratings, and performance as compared to benchmark index returns. At each quarterly Board meeting, the Head of Equity Investments and Head of Fixed Income Funds reviewed with the Board the economic and market environment, risk management, and style consistency in connection with management of the Portfolios. The Board considered investment performance for each Portfolio, to the extent applicable, over the one-, two-, three-, five-, and ten-year periods. When evaluating investment performance, the Board considered longer-term performance and the trend of performance, and focused particularly upon the three-year performance record. Although the Board conducted its review on a Portfolio-by-Portfolio basis, it noted that, for the three-year period ended June 30, 2013, the average ranking of the Portfolios against their Lipper categories was 53% (with 1% being the best).
The Board requested and received from the Adviser additional information about certain Portfolios which had faced performance challenges, and information about how the Adviser was addressing such challenges. In addition, the Adviser discussed with the Board certain Portfolios whose principal investment strategies do not fit well within a Lipper peer group and
394
Additional Information
(unaudited)
described differences between these Portfolios and funds included in their respective Lipper peer group. The Adviser also discussed certain Portfolios whose performance did not compare well to their respective benchmark. In such cases, the Adviser provided additional information regarding these Portfolios’ performance compared to a customized benchmark. The Board concluded that the performance of each individual Portfolio was either satisfactory or that the Adviser had taken appropriate actions in an effort to improve performance.
Advisory Fees and Fund Expenses
The Board reviewed information prepared by MPI comparing each Portfolio’s advisory fee with the advisory fee of its peer group. The Board considered both the contractual and effective advisory fees for each of the Portfolios. The Board noted that the majority of the Portfolios’ advisory fees were at or below the medians of their peer groups, with many in the lower (i.e., less expensive) quartiles. Although the Board conducted its review on a Portfolio-by-Portfolio basis, it noted that the average ranking of the Portfolios was 42%. The Board viewed favorably the Adviser’s proposal to continue or extend fee waivers for certain Portfolios and considered the effect of the waivers in lowering the Portfolios’ expenses.
On the basis of its review, the Board concluded that the advisory fees charged to the Portfolios for investment management services were not excessive.
The Board also reviewed information prepared by MPI comparing each Portfolio’s overall expense ratio with the expense ratio of its peer group. Although the Board conducted its review on a Portfolio-by-Portfolio basis, it noted that approximately 83% of the Portfolios had net operating expenses at or below the median of their peer groups (i.e., in the two least expensive quartiles), with an average ranking of 27%.
Cost of Services and Profitability
The Board considered the Adviser’s estimates of its profitability, which included allocations by the Adviser of its costs in providing advisory services to the Portfolios. The internal audit department (i.e., Business Risk Management) of the Adviser conducted a review of such allocations and a department representative reported to the Board his views regarding the reasonableness and consistency of these allocations. The Board considered the profitability of the Adviser both overall and on a Portfolio-by-Portfolio basis. The Board also considered the expense reimbursements and waivers in effect. Based on its review of the data prepared by MPI and expense and profit information provided by the Adviser, the Board concluded that the profits earned by the Adviser from the Advisory Agreement were not excessive in light of the nature, extent and quality of services provided to the Portfolios.
With respect to fees paid to Subadvisers under the Subadvisory Agreements, the Board did not consider profitability information with respect to the Subadvisers, which are not affiliated with the Adviser. The Board considered that those contracts had been negotiated on an arm’s-length basis between the Adviser and each Subadviser, and that each Subadviser’s separate profitability from its relationship with the Portfolios was not a material factor in determining whether to renew the agreement.
Economies of Scale and Breakpoints
The Board considered information regarding the extent to which economies of scale may be realized as a Portfolio’s assets increase and whether the fee levels reflect these economies of scale for the benefit of shareholders. The Adviser explained its general goal with respect to the employment of fee waivers, expense reimbursements and breakpoints. The Board considered information provided by the Adviser related to advisory fee rates, breakpoints in the advisory fee rates and fee waivers provided by the Adviser. The Board also considered management’s view that it is difficult to generalize as to whether, or to what extent, economies in the advisory function may be realized as a Portfolio’s assets increase. The Board noted that expected economies of scale, where they exist, may be shared through the use of fee breakpoints, fee waivers by the Adviser, and/or a lower overall fee rate.
Other Benefits to the Adviser and its Affiliates
The Board considered information regarding potential “fall-out” or ancillary benefits that the Adviser and its affiliates may receive as a result of their relationship with the Fund, both tangible and intangible, such as their ability to leverage investment
395
Additional Information
(unaudited)
professionals who manage other portfolios, reputational benefits in the investment advisory community and the engagement of affiliates as service providers to the Portfolios. The Board noted that such benefits were difficult to quantify but were consistent with benefits received by other mutual fund advisers.
The Board also considered other potential benefits to the Adviser and its affiliates derived from its relationship with the Fund, including, among other things, research received by the Adviser generated from commission dollars spent on the Portfolios’ portfolio trading. The Board reviewed with the Adviser these arrangements and the reasonableness of the costs relative to the services performed. The Board considered the Adviser’s brokerage reports and representations that it evaluates any soft-dollar arrangements for compliance with applicable requirements, particularly with respect to the safe harbor contained in Section 28(e) of the Securities Exchange Act of 1934, and for compliance with the Adviser’s duty to seek best execution.
Based on the factors discussed above, the Contracts Committee unanimously recommended approval of the Advisory Agreement and the Subadvisory Agreements, and the Board, including all of the Independent Directors voting separately, approved each of the agreements.
396
Board of Directors and Officers
The following table provides information about the Directors and Officers of the Fund. Each Director oversees each of the 33 series of the Fund and also serves as:
| • | Trustee of Thrivent Mutual Funds, a registered investment company consisting of 26 funds that offer Class A and Institutional Class shares. |
| • | Trustee of Thrivent Cash Management Trust, a registered investment company consisting of one portfolio that serves as a cash collateral fund for a securities lending program sponsored by Thrivent Financial. |
The 33 series of the Fund, the 26 funds of Thrivent Mutual Funds and Thrivent Cash Management Trust are referred to herein as the “Fund Complex.” The Statement of Additional Information includes additional information about the Directors and is available, without charge, by calling 1-800-847-4836.
Interested Directors (1)(2)(3)(4)
Name (Year of Birth) Year Elected | Principal Occupation(s) and Directorships of Public Companies and Other Investment Companies During the Past Five Years | |
Russell W. Swansen (1957) 2009 | Senior Vice President, Chief Investment Officer, Thrivent Financial since 2003. | |
Independent Directors (2)(3)(4)(5)
Name (Year of Birth) Year Elected | Principal Occupation(s) and Directorships of Public Companies and Other Investment Companies During the Past Five Years | |
Janice B. Case (1952) 2011 | Independent Trustee of North American Electric Reliability Corporation (self-regulatory organization) since 2008; Independent Director of Western Electricity Coordinating Council (nonprofit corporation coordinating and promoting bulk electric system reliability) from 2002 through 2008. | |
Richard L. Gady (1943) 1987 | Retired. | |
Richard A. Hauser (1943) 2004 | Vice President and Assistant General Counsel, The Boeing Company since 2007. | |
Marc S. Joseph (1960) 2011 | Managing Director of GraniteRidgeLLP (consulting and advisory firm) since 2009; Managing Director of MJosephLLC (private investing and consulting firm) since 2004. | |
Paul R. Laubscher (1956) 2009 | Portfolio Manager for private real estate portfolios of IBM Retirement Funds. | |
James A. Nussle (1960) 2011 | President and Chief Operating Officer of Growth Energy (trade association) since 2010; Advisory Board member of AVISTA Capital Partners (private equity firm) since 2010; Contributor on CNBC (media) since 2010; CEO of The Nussle Group LLC (consulting firm) since 2009; Director of the Office of Management and Budget from 2007 through 2009. | |
Douglas D. Sims (1946) 2006 | Currently, Director of Keystone Science School. Previously, Director of the Center for Corporate Excellence. | |
Constance L. Souders (1950) 2007 | Retired. | |
397
Board of Directors and Officers
Executive Officers (4)
Name (Year of Birth) Position Held With Thrivent | Principal Occupation(s) During the Past Five Years | |
Russell W. Swansen (1957) President | Senior Vice President, Chief Investment Officer, Thrivent Financial since 2003. | |
David S. Royal (1971) Secretary and Chief Legal Officer | Vice President, Deputy General Counsel since 2006; Interim Investment Company and Investment Adviser Chief Compliance Officer from May 2010 until December 2010. | |
Gerard V. Vaillancourt (1967) Treasurer and Principal Accounting Officer | Vice President, Mutual Fund Accounting since 2006. | |
Ted S. Dryden (1965) Chief Compliance Officer | Investment Company and Investment Adviser Chief Compliance Officer, Thrivent Financial since 2010; Chief Compliance Officer, OptumHealth Financial Services from 2009 to 2010; Vice President, Asset Management Compliance, Ameriprise Financial from 2006 to 2009. | |
Janice M. Guimond (1965) Vice President | Vice President, Investment Operations, Thrivent Financial since 2004. | |
Kathleen M. Koelling (1977) Anti-Money Laundering Officer (6) | Privacy and Anti-Money Laundering Officer, Thrivent Financial since 2010; Senior Counsel, Thrivent Financial since 2002. | |
Mark D. Anema (1961) Vice President | Vice President, New Product Management and Development, Thrivent Financial since 2007. | |
Jody L. Bancroft (1971) Assistant Vice President (6) | Director, Investment Field Operations, Thrivent Financial since 2009; Director, Annuity & Settlement Option New Services, Thrivent Financial from 2007 until 2009. | |
Michael W. Kremenak (1978) Assistant Secretary | Senior Counsel, Thrivent Financial since 2013; Vice President and Assistant General Counsel at Nuveen Investments 2011 to 2013; Attorney at FAF Advisors 2009 to 2010; Associate at Skadden, Arps, Slate, Meagher & Flom 2005 to 2009. | |
James M. Odland (1955) Assistant Secretary | Vice President and Managing Counsel, Thrivent Financial since 2005. | |
Rebecca A. Paulzine (1979) Assistant Secretary | Senior Counsel, Thrivent Financial since 2010; Associate, Faegre & Benson LLP from 2005 to 2009. | |
Todd J. Kelly (1969) Assistant Treasurer (6) | Director, Fund Accounting Operations, Thrivent Financial since 2002. | |
Sarah L. Bergstrom (1977) Assistant Treasurer | Director, Fund Accounting Administration, Thrivent Financial since 2007. | |
| (1) | “Interested Director” of the Fund as defined in the Investment Company Act of 1940 by virtue of positions with Thrivent Financial. Mr. Swansen is considered an interested trustee because of his principal occupation with Thrivent Financial. |
| (2) | Each Director generally serves an indefinite term until her or his successor is duly elected and qualified. Directors serve at the discretion of the board until their successors are duly appointed and qualified. |
| (3) | Each Director oversees 60 portfolios. |
| (4) | The address for each Director and Officer unless otherwise noted is 625 Fourth Avenue South, Minneapolis, MN 55415 |
| (5) | The Directors other than Mr. Swansen are not “interested directors” of the Fund and are referred to as “Independent Directors.” |
| (6) | The address for this Officer is 4321 North Ballard Road, Appleton, WI 54913 |
398
Thrivent Series Fund, Inc.
dated April 30, 2013
with respect to
Thrivent Partner All Cap Portfolio
Young Chin, who is currently the Lead Portfolio Manager for Thrivent Partner All Cap Portfolio (the “Portfolio”), plans to retire from Pyramis Global Advisors, LLC (“Pyramis”) – which is the subadviser for the Portfolio – at the end of 2013. In connection with Mr. Chin’s retirement and other personnel changes at Pyramis, the following changes are hereby made in the sections of the prospectus describing the Portfolio.
The “Portfolio Manager(s)” section in the “Summary Section” and the disclosure after the first paragraph in the section about the Portfolio in “Portfolio Management” under “Management” are deleted and replaced with the following:
Chander Willett is the Lead Portfolio Manager of this team. He generally oversees the Portfolio’s day-to-day investment activities. Chad Colman, Katharine O’Donovan, Ed Field, Andrew Swanson, Jody Simes, Chip Perrone and Hamish Clark are each analysts/Global Sector Team Leaders responsible for stock selection for certain sector(s) within the Portfolio.
Mr. Willett has been associated with Pyramis since 2006, and has over 16 years of investment industry experience. Prior to joining Pyramis, Mr. Willett served as a senior analyst at Highline Capital Management, where he analyzed securities in all sectors of health care in both U.S. and international markets, including pharmaceuticals, medical devices, life sciences, and health care services. Chad Colman is a Global Sector Team Leader covering the Global Industrials Sector. Mr. Colman joined Pyramis in 2009 as a research analyst for the Industrials sector. Prior to joining Pyramis, Mr. Colman served as a senior analyst at RiverSource Investments (formerly American Express Financial Advisors). He has over 11 years of investment industry experience. Katharine O’Donovan is a Global Sector Team Leader covering the Financials sector. Ms. O’Donovan joined Pyramis in May 2008 as a research analyst for the European bank sector. Prior to joining Pyramis, Ms. O’Donovan spent 10 years each on the buy side and sell side evaluating at European banks, and subsequently global financials. She was at First State Investments from 2007 through 2008 researching financials on the global team. From 1999 to 2007, she covered European banks including the UK at Credit Suisse Asset Management. From 1989 to 1999, she was a sell side analyst of European banks, at what is now Deutsche Bank. She has over 26 years of investment industry experience. Ed Field is a Global Sector Team Leader covering the Utilities and Telecommunications sectors. Mr. Field joined Pyramis in 2008 as a research analyst covering the telecommunications sector. Prior to joining Pyramis, Mr. Field was a portfolio manager and a telecommunications analyst at Prudential in the UK for 10 years. Andrew Swanson is a Global Sector Team Leader covering the Healthcare sector. Mr. Swanson joined Pyramis in 2008 as a pharmaceutical analyst. Prior to joining Pyramis, Mr. Swanson was a specialty pharmaceutical analyst at Citi Investment Research and before that he covered the European pharmaceutical sector at Citigroup in London. Jody Simes is a Global Sector Team Leader and has managed the global materials sector portfolio since 2006 and was named the manager of the global energy sector portfolio in 2011. Prior to that, Mr. Simes covered the non-ferrous metals, chemicals, and fertilizer sectors, as well as Canadian telecommunications and software companies as an equity research analyst. He has also served as a technology sector specialist for Fidelity Management and Research Company and a fixed income trader for Fidelity Capital Markets. Chip Perrone is a Global Sector Team Leader covering the Consumer Discretionary sector. Mr. Perrone joined Pyramis in October 2010 as a research analyst covering the consumer discretionary sector. Prior to joining Pyramis, Mr. Perrone worked at DuPont Capital Management for 17 years as a senior international equity analyst from 1998-2007. He has over 23 years of investment industry experience. Hamish Clark is a Global Sector Team Leader covering the Consumer Staples sector. Mr. Clark joined Pyramis in 2008 as a research analyst covering the consumer staples sector. Prior to joining Pyramis, Mr. Clark worked as a research analyst covering the European consumer sector at Insight Investment, the asset manager of HBOS Plc in London.
The date of this Supplement is October 31, 2013.
Please include this Supplement with your Prospectus.
399
| Item 2. | Code of Ethics |
As of the end of the period covered by this report, registrant has adopted a code of ethics (as defined in Item 2 of Form N-CSR) applicable to registrant’s Principal Executive Officer, Principal Financial Officer, and Principal Accounting Officer. No waivers were granted to such code of ethics during the period covered by this report. A copy of this code of ethics is filed as an exhibit to this Form N-CSR.
| Item 3. | Audit Committee Financial Expert |
Registrant’s Board of Directors has determined that Constance L. Souders, an independent director, is the Audit Committee Financial Expert.
| Item 4. | Principal Accountant Fees and Services |
| (a) | Audit Fees |
The aggregate fees billed by registrant’s independent public accounts, PricewaterhouseCoopers LLP (“PwC”), for each of the last two complete fiscal years and the fiscal period covered by this report for professional services rendered in connection with the audit of registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $561,380 for the year ended December 31, 2012 and $524,100 for the year ended December 31, 2013.
| (b) | Audit-Related Fees |
The aggregate fees PwC billed to registrant for each of the last two fiscal years for assurance and other services which are reasonably related to the performance of registrant’s audit and are not reported under Item 4(a) were $0 for the fiscal year ended December 31, 2012 and $15,968 for the year ended December 31, 2013. The aggregate fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for assurance and other services directly related to the operations and financial reporting of registrant were $0 for the year ended December 31, 2012 and $0 for the year ended December 31, 2013.
| (c) | Tax Fees |
The aggregate tax fees PwC billed to registrant for each of the last two fiscal years for tax compliance, tax advice, and tax planning services were $92,943 for the year ended December 31, 2012 and $175,974 for the year ended December 31, 2013. The aggregate tax fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for services directly related to the operations and financial reporting of registrant were $0 for the year ended December 31, 2012 and $0 for the year ended December 31, 2013.
| (d) | All Other Fees |
The aggregate fees PwC billed to registrant for each of the last two fiscal years for products and services provided other than the services reported in paragraphs (a) through (c) of this item were $0 for the year ended December 31, 2012 and $0 for the year ended December 31, 2013. The aggregate fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for products and services provided other than the services reported in paragraphs (a) through (c) of this item were $6,800 for the year ended December 31, 2012 and $6,450 for the year ended December 31, 2013. These payments were for access to a PwC-sponsored online library that provides interpretive guidance regarding U.S. and foreign accounting standards. These figures are also reported in response to item 4(g) below.
| (e) | Registrant’s audit committee charter, adopted in February 2010, provides that the audit committee (comprised of the independent Directors of registrant) is responsible for pre-approval of all auditing services performed for the registrant. The audit committee also is responsible for pre-approval (subject to the de minimis exceptions for non-audit services described in Section 10A(i)(1)(B) of the Securities Exchange Act of 1934) of all non-auditing services performed for the registrant or an affiliate of registrant. In addition, registrant’s audit committee charter permits a designated member of the audit committee to pre-approve, between meetings, one or more audit or non-audit service projects, subject to an expense limit and notification to the audit committee at the next committee meeting. Registrant’s audit committee pre-approved all fees described above that PwC billed to registrant. |
| (f) | Less than 50% of the hours billed by PwC for auditing services to registrant for the fiscal year ended December 31, 2013, were for work performed by persons other than full-time permanent employees of PwC. |
| (g) | The aggregate non-audit fees billed by PwC to registrant and to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for the fiscal years ending December 31, 2012 and December 31, 2013 were $6,800 and $6,450, respectively. These figures are also reported in response to item 4(d) above. |
| (h) | Registrant’s audit committee has considered the non-audit services provided to the registrant and registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser as described above and determined that these services do not compromise PwC’s independence. |
| Item 5. | Audit Committee of Listed Registrants |
Not applicable.
| Item 6. | Schedule of Investments |
| (a) | Registrant’s Schedule of Investments is included in the report to shareholders filed under Item 1. |
| (b) | Not applicable to this filing. |
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not applicable.
| Item 8. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
| Item 9. | Submission of Matters to a Vote of Security Holders |
There have been no material changes to the procedures by which shareholders may recommend nominees to registrant’s board of directors.
| Item 10. | Controls and Procedures |
(a)(i) Registrant’s President and Treasurer have concluded that registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) are effective, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) Registrant’s President and Treasurer are aware of no change in registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, registrant’s internal control over financial reporting.
| Item 11. | Exhibits |
| (a) | The code of ethics pursuant to Item 2 is attached hereto. |
| (b) | Certifications pursuant to Rules 30a-2(a) and 30a-2(b) under the Investment Company Act of 1940 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| Date: February 28, 2014 | THRIVENT SERIES FUND, INC. | |||||
| By: | /s/ Russell W. Swansen | |||||
| Russell W. Swansen | ||||||
| President | ||||||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| Date: February 28, 2014 | By: | /s/ Russell W. Swansen | ||||
| Russell W. Swansen | ||||||
| President |
| Date: February 28, 2014 | By: | /s/ Gerard V. Vaillancourt | ||||
| Gerard V. Vaillancourt | ||||||
| Treasurer |